Markit iTraxx LevX indexes to roll on Monday

By Jennifer Chiou

New York, Sept. 26 - Markit Group Ltd. said it will roll its Markit iTraxx LevX indexes into their third series on Monday after a one-week postponement.

iTraxx LevX market makers previously voted to postpone the roll of the indexes into series 3.

Alliance Boots, Biffa, ConvaTec, Expro, Gartmore, CHC Helicopters, Jupiter, SIG and Techem were added to the index and McCarthy and Stone, BAA, Invensys, Cortefiel, Terreal, Lafarge Roofing, Carl Zeiss, Vivarte and Hilding Anders were removed.

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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