6 November 2012 - Markit today announced that Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Yell Limited, which is a constituent of the Markit iTraxx LevX.  

The auction terms, including the auction date, have been determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.

The auction will be held on 15 November 2012.

31 October 2012 - Markit will implement the following rule changes for the Markit iTraxx LevX indices: 

iTraxx LevX Index Rules: Amending the current rule for qualifying as an Eligible LevX Market Maker as defined in the Markit iTraxx LevX Index Rules. The updated rules will include the text below which creates an alternative way for dealers to qualify as Eligible LevX Market Makers. “In addition to the above qualification criteria dealers could qualify as Eligible LevX Market Makers if they are shown to hold open positions on any iTraxx LevX indices according to DTCC Trade Information Warehouse data. This route for qualification is subject to approval by an overall majority of the current Eligible LevX Market Makers and the relevant dealer. In order to remain an Eligible LevX Market Maker, the eligibility of the relevant dealer will be assessed every 6 months in the same manner as described in the previous 2 sentences. For the avoidance of doubt, any such dealer shall not be under any obligation to provide prices pursuant to the above paragraphs of this section XI (Eligible LevX Market Maker) and shall not be suspended or disqualified as an Eligible LevX Market Maker for any failure to provide prices.”  ELCDS Auction Rules: Markit now requires only one Eligible LevX Market Maker to submit an Auction Request before scheduling a conference call with all Eligible LevX Market Makers to vote on whether to hold an auction.     “The term "Public Source Condition" as used in these ELCDS Auction Rules shall mean that (a) two or more Eligible LevX Market Makers have accompanied their Auction Request with information which has been published in one or more Public Sources and which confirms the occurrence of a Credit Event; and (b) confirmation of the occurrence of a Credit Event published in at least two different Public Sources is submitted to the Administrator.”   Changed to:     “The term "Public Source Condition" as used in these ELCDS Auction Rules shall mean that one or more Eligible LevX Market Makers have accompanied their Auction Request with information which has been published in two or more different Public Sources and which confirm the occurrence of a Credit Event.” ELCDS Auction Rules: Removing logic which specifies that an auction should be abandoned after 10 days following the announcement if a majority vote has not been achieved.   There have in the past been a small number of particularly complex Credit Events that have taken considerable time to resolve and process. Taking this into account we have removed the below text from the ELCDS Auction Rules.   “The term "Public Source Condition" as used in these ELCDS Auction Rules shall mean that (a) two or more Eligible LevX Market Makers have accompanied their Auction Request with information which has been published in one or more Public Sources and which confirms the occurrence of a Credit Event; and (b) confirmation of the occurrence of a Credit Event published in at least two different Public Sources is submitted to the Administrator.”

9 August 2012 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Ahlsell loans. The Annex Date on the new versions of the annexes is 09 August 2012 and the Effective Date of the Ahlsell facilities Cancellation was 11 May 2012. Following are the RED codes for the new versions of the indices:

9 August 2012 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Ineos Second Lien loans. The Annex Date on the new versions of the annexes is 09 August 2012 and the Effective Date of the Ineos Second Lien facilities Cancellation was 04 May 2012. Following are the RED codes for the new versions of the indices:

22 May 2012 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Viridian (Electricinvest Acquisitions Limited) loans. The Annex Date on the new versions of the annexes is 22 May 2012 and the Effective Date of the Viridian facilities Cancellation was 14 March 2012. Following are the RED codes for the new versions of the indices:

9 March 2012 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Gambro loans. The Annex Date on the new versions of the annexes is 09 March 2012 and the Effective Date of the Gambro facilities Cancellation was 07 December 2011. Following are the RED codes for the new versions of the indices:

8 February 2012 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Provimi loans. The Annex Date on the new versions of the annexes is 8 February 2012 and the Termination Date of the contracts is 8 February 2012. Following are the RED codes for the new versions of the indices:

11 January 2012 - Markit today announced that Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing SEAT, which is a constituent of the Markit iTraxx LevX.  

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.  

10 November 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Nycomed loans. The Annex Date on the new versions of the annexes is 9 November 2011 and the Termination Date of the contracts is 9 November 2011. Following are the RED codes for the new versions of the indices:

10 November 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Phadia loans. The Annex Date on the new versions of the annexes is 9 November 2011 and the Termination Date of the contracts is 9 November 2011. Following are the RED codes for the new versions of the indices:

20 October 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Brenntag loans. The Annex Date on the new versions of the annexes is 19 October 2011 and the Termination Date of the contracts is 6 October 2011. Following are the RED codes for the new versions of the indices:

5 September 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Amadeus loans. The Annex Date on the new versions of the annexes is 1 September 2011 and the Termination Date of the contracts is 1 September 2011. Following are the RED codes for the new versions of the indices:

2 August 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the Ruhrgas loans. The Annex Date on the new versions of the annexes is 1 August 2011 and the Termination Date of the contracts is 30 July 2011. Following are the RED codes for the new versions of the indices:

29 June 2011 - Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Panrico, which is a constituent of the Markit iTraxx LevX.  

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.  

Panrico is a constituent of the Markit iTraxx LevX Senior Series 2, 3, and 4 indices. New annexes for the affected indices will be published after the auction.

9 June 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the cancellation of the TDC loans. The Annex Date on the new versions of the annexes is 8 June 2011 and the Termination Date of the contracts is 8 June 2011. Following is the RED codes for the new versions of the indices:

18 May 2011 – Markit has published a new version of the Markit iTraxx LevX Senior Series 1 index following the refinancing of the Ruhrgas loans. The Annex Date on the new version of the annex is 17 May 2011 and the Termination Date of the contracts is 21 April 2011. Following is the RED code for the new version of the index:

12 May 2011 – Markit has published new versions of the Markit iTraxx LevX indices following the refinancing of the KBW loans. The Annex Date on the new versions of the annexes is 11 May 2011 and the Termination Date of the contracts is 11 May 2011. Following is the RED codes for the new versions of the indices:

12 May 2011 – Markit has published new versions of the Markit iTraxx LevX Senior Series 2 and 3 indices following the refinancing of the BorsodChem loans. The Annex Date on the new versions of the annexes is 11 May 2011 and the Termination Date of the contracts is 11 May 2011. Following is the RED codes for the new versions of the indices:

5 April 2011 – Markit has published a new version of the Markit iTraxx LevX Subordinated Series 1 index following the refinancing of the KBW loans. The Annex Date on the new version of the annex is 4 April 2011 and the Termination Date of the contracts is 31 March 2011. Following is the RED code for the new version of the index:

9 September 2010 - Today, Markit iTraxx LevX Market Makers held an auction to settle LCDS trades referencing Lien 2 loans of European credit Truvo / World Directories. This credit was a constituent of Markit iTraxx LevX Subordinated Series 2 and 3 indices. New index annex versions have been published with the Truvo / World Directories reference credit weighting set to zero.   

The new index RED Codes are as follows:

7 July 2010 – Following last week’s vote by the International Swaps and Derivatives Association’s (ISDA) Determination Committee to hold an auction on credit default swap (CDS) trades referencing Truvo Subsidiary Corp. (Truvo), Markit today announced that the Markit iTraxx LevX index dealers have voted to conduct a Credit Event Auction to facilitate settlement of second lien European loan-only credit default swap (ELCDS) trades referencing Truvo. 

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to ELCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.  Markit and Creditex are the official administrators of Credit Event Auctions.  An auction date and an auction timeline will be posted on www.creditfixings.com. 

The Common Event Determination Date is 1 July 2010.   

Truvo Second Lien facilities are a constituent of the Markit iTraxx LevX Subordinated S2 (V6) and S3 (V5) indices. New annexes for all affected indices will be published after the auction.

The interim summary determined that a Cancellation had occurred in respect of Reference Obligations on 2 February 2010 and that no Substitute Reference Obligations can be identified.

This interim summary however was subject to challenge by a Markit iTraxx LevX Market Maker prior to the 30th April 2010 deadline, thus as per the Continuity Procedures the designated Law Firm will review the additional information supplied, and provide a final summary by the 13 th May 2010.

Any Markit iTraxx LevX licensed market makers who holds any information related to this event should submit relevant documentation to ELCDSRefinancings@allenovery.com

15 April 2010 - Today, Markit iTraxx LevX Market Makers held an auction to settle LCDS trades referencing senior loans of European credit McCarthy and Stone. This credit was a constituent of Markit iTraxx LevX Senior Series 2 index. New index annex version has been published with the McCarthy and Stone reference credit weighting set to zero.  

The new index RED Code is as follows:

Markit iTraxx LevX Senior RED Code

3 February 2010 - Markit today announced that Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Lafarge Roofing / Monier, which is a constituent of the Markit iTraxx LevX.  

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.  

Lafarge Roofing / Monier is a constituent of the Markit iTraxx LevX Senior Series 2 index. A new annex for the affected index will be published after the auction.

18 November 2009 – Markit today published new versions of the Markit iTraxx LevX Senior and Subordinated Series 1 indices following the cancellation of the Orangina loans. The Annex Date on the new versions of the annex is 18 November 2009 and the Termination Date of the contracts is 12 November 2009. Following are the new RED codes for the new versions of the indices:

9 October 2009 - On 8 October 2009, Markit iTraxx LevX Market Makers held an auction to settle LCDS trades referencing senior loans of European credit SSP. This credit is a constituent of Markit iTraxx LevX Senior Series 1, 2 and 3. New index annex versions have been published with the SSP reference credit weighting set to zero.

5 October 2009 - The Markit iTraxx LevX index dealers voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing SSP First Lien loans, which is a constituent of the Markit iTraxx LevX indices.  

The auction is scheduled for 8 October 2009. The Auction Settlement Terms have been published on the International Swaps and Derivatives Association (ISDA) website.  

The Common Event Determination Date is 23 September 2009.  

SSP First Lien facilities are a constituent of the iTraxx LevX Senior S3 (V5), iTraxx LevX Senior S2 (V6), and iTraxx LevX Senior S1 (V12) indices. New annexes for all affected indices will be published after the auction.

19 March 2009 - Markit would like to clarify the method of calculation of the weights used for the Accrual and Residual Factors for the iTraxx LevX Series 1 trades following a cancellation or a credit event which results in the zero weighting the relevant name in the index.  The general principle to be followed is:

Calculate the exact weights up to 5 places after the decimal point and always round off after the FINAL STAGE and not at any intermediate stage

To illustrate the principle, let us take the case of iTraxx LevX Series 1 index which consists of 35 names.  After 11 removals following defaults / cancellations:

For Accrual Payments following each event factor to be used = (1/35) = 0.02857

For Residual Factor calculation, the number is (1- (11/35)) = 24/35 = 0.68571

Please note that we DO NOT round off (1/35) to 5 places of decimals in this case prior to subtracting from 100%. Rather we subtract (1/35) corresponding to each event from 100% and then round off at the final stage.

The Markit iTraxx LevX Market Makers and the ISDA Operations Committee have approved this methodology. Markit will add 5 places after the decimal point (e.g. 0.02857 = 2.857%) for new Markit iTraxx LevX Series 1 Annexes published going forward and republish the Series 1 Version 1 Annexes with this change since those are the ones referred to in the Confirmations. This news item serves as a confirmation to all parties of the changes.

9 February 2009 - Markit today announced that Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Ferretti, which is a constituent of the Markit iTraxx LevX.

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website. 

The Common Event Determination Date is 13 February 2009.

Ferretti is a constituent of the iTraxx LevX Senior S3 (V4) and iTraxx LevX Senior S2 (V5) indices. New annexes for all affected indices will be published after the auction.

12 January 2009 - Markit today announced that Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing British Vita, which is a constituent of the Markit iTraxx LevX.

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.

The Event Determination Date is 13 January 2009.

British Vita is a constituent of the iTraxx LevX Senior S3 (V2), iTraxx LevX Sub S3 (V2), iTraxx LevX Senior S2 (V3), iTraxx LevX Sub S2 (V2), and iTraxx LevX Sub S1 (V14) indices. New annexes for all affected indices will be published on 14 January 2009.

8 January 2009 -Markit today announced that Markit iTraxx LevX index dealers have voted for a Credit Event Auction to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Sanitec, which is a constituent of the Markit iTraxx LevX.  This will be the first European leveraged loan credit event auction.

The auction terms, including the auction date, will be determined by Markit iTraxx LevX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.

The Event Determination Date is 9 January 2009.

Sanitec is a constituent of iTraxx LevX Senior S3 (V2), iTraxx LevX Sub S3 (V2), iTraxx LevX Senior S2 (V3), iTraxx LevX Sub S2 (V2), iTraxx LevX Senior S1 (V11) , and iTraxx LevX Sub S1 (V14) indices. New annexes for all affected indices will be published on 12 January 2009.

September 25, 2008 - Markit today published the final index membership and the coupons for the iTraxx LevX indices. Please find the lists below.

September 16, 2008 - Following the sequence of events last weekend, the iTraxx LevX market makers have voted to postpone the roll into iTraxx LevX Series 3 by one week to 29th September 2008.

All rules and processes will be upheld. The maturity of the LevX series 3 indices will remain 20th December 2013 and the effective date will be changed to 29th September 2008.

Markit today announced that the Markit iTraxx LevX (“LevX”), which rolled into its second series on 17 March 2008, traded more than EUR 2.8 billion on its first day of trading. These estimated volumes are based on a desk-by-desk survey of market makers conducted by Markit at close of business yesterday.

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