Markit to roll CDX high yield index March 28, change some rules

By Angela McDaniels

Tacoma, Wash., March 2 - Markit Group Ltd. made some rule changes for its Markit CDX North America High Yield credit default swap index, according to the company's website.

The changes will come into effect before the index rolls into series 16 on March 28.

Under the rule changes, the company will introduce the use of CDS trade volume data from Depository Trust & Clearing Corp.'s Trade Information Warehouse for determining which entities will be included in the index at each roll.

Liquidity rankings will use the last six months of DTCC's market risk activity for the Top 1,000 names. The entities will be ranked by averaging the previous six month of weekly gross notional trade activity, starting from the last Friday of the month prior to the roll date and going six months back.

Also under the changes, the weightings in the index will be aligned more closely to the index weightings of the Markit iBoxx Liquid High Yield index. Trade activity data from DTCC's Trade Information Warehouse and iBoxx Liquid high Yield sector weights will be used to select new constituents of the index.

Markit will publish the provisional list of additions and removals on its website on March 17, and the composition of the index will be published on March 21.

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