Markit iTraxx LevX indexes roll postponed

By Angela McDaniels

Tacoma, Wash., Sept. 16 - Markit Group Ltd. said it will postpone the roll of its Markit iTraxx LevX indexes by one week to Sept. 29.

iTraxx LevX market makers voted to postpone the roll of the indexes into series 3 following the events of this past weekend, according to a company news release.

The maturity of the LevX series 3 indexes will remain Dec. 20.

The Markit iTraxx LevX Senior index includes the 75 most liquid first-lien credit agreements traded in the European leveraged loan credit default swap market.

The Markit iTraxx LevX Subordinated index includes the 45 most liquid second- and third-lien credit agreements traded in the European leveraged loan CDS market.

The indexes rolled into series 2 on March 17. The coupon levels were set at 525 basis points for the LevX senior and 825 bps for the LevX subordinated.

The company said the recovery rate assumptions are 70% for the LevX senior and 40% for the LevX subordinated.

Markit provides independent data, portfolio valuations and over-the-counter derivatives trade processing to the financial markets.

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