Markit, a leading, global financial information services company, today announced changes to certain rules governing its Markit iTraxx Europe and Markit CDX North America families of credit default swap (CDS) indices. The new rules will come into effect before the Markit iTraxx and Markit CDX indices roll later on this month.
The rule changes introduce the formal use of CDS trade volume data from The Depository Trust & Clearing Corporation’s (DTCC) Trade Information Warehouse (TIW) for determining which entities will be included in the Markit iTraxx Europe, Markit iTraxx Europe Crossover, Markit CDX.NA.IG and Markit CDX.NA.HY indices.
Furthermore, to be included in the Markit iTraxx Europe index, entities will now need to be more liquid than 75 per cent of existing index constituents in their sectors, rather than 50 per cent previously. The least liquid entities in each sector represented in the index will be excluded.
Financial sector entities will no longer be eligible for inclusion in the Markit iTraxx Europe Crossover index.
New constituents of the Markit CDX.NA.HY index will be selected using trade activity data from the DTCC TIW, as mentioned above, as well as Markit iBoxx Liquid High Yield sector weights.
