markit iboxx - content.markitcdn.com
TRANSCRIPT
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─ Total Return Swaps Overview
─ Markit iBoxx Indices Used in TRS Contracts
─ Why Total Return Swaps?
─ Total Return Swap Uses and Benefits
─ Market Participants
─ Overview of Markit iBoxx Corporate Bond Indices
─ Overview of the Markit iBoxx index families
Agenda
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─ Markit iBoxx Total Return Swaps provide market participants with an effective
way to get direct and standardised exposure to Markit’s global iBoxx indices
─ The instruments cover Euro, Sterling as well as USD investment grade and
high yield bond and leveraged loan markets
─ Markit iBoxx indices are the market leading fixed income benchmark indices -
independent, objective and transparent
─ Multi-source pricing and independence guarantee that each bond or loan in the
indices is objectively valued and make the indices the optimal underlying for
index-based products such as TRS
Overview
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1. In the TRS format the index buyer receives
the index performance at maturity vs 3
month Libor
2. Dealer will quote the index Initial Level (live
bid/offer) and the Libor leg spread level
3. The Final Level is the official closing level on
the maturity of the swap
Markit iBoxx TRS Pay - off Overview
Index Seller
Index Buyer
Final level – initial level
Initial level
3 Month Libor
Markit iBoxx Total Return Swaps
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IBOXHY Index example as of Feb 28th ‘14
Markit iBoxx TRS Pricing Example
** For illustration purpose only
Index buyer: Enters into a Jun-20-14 Contract
Pays running 3m$LIBOR (Q, ACT/360)
Receives (20-June-14 + 3 BD) a final payment equal to
(Final Level – 234.25) / 234.25
Index Seller: Receives running 3m$LIBOR (Q, ACT/360)
Pays (20-June-14 + 3 BD)
a final payment equal to (Final Level – 233.20) / 233.20
TRS expiry Entry levels Last NAV: 232.09
20-Mar-14 232.40 / 233.35 Funding: 3m$LIBOR Flat
20-Jun-14 233.20 / 234.25
20-Sep-14 233.60 / 234.75
20-Dec-14 233.80 / 235.25
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Markit iBoxx Indices Used in TRS Contracts
Index name ISIN BBG
iBoxx GBP Corporates DE0005993174 IYDU
iBoxx EUR Corporates DE0006301161 QW5A
iBoxx USD Domestic Corporates GB00B05CZG16 ICPRDOV
iBoxx USD Liquid High Yield Index GB00B4K07738 IBOXHY
iBoxx EUR Liquid High Yield Index GB00B57G6H43 IBOXXMJA
iBoxx USD Liquid Leveraged Loans Index GB00B4Q2XT74 IBXXLLTR
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Why Total Return Swaps?
─ Historically, options for investors to take exposure to diversified corporate cash
bond and loans indices has been limited
─ Trading large quantities of individual bonds or loans can be time consuming,
expensive and impractical
─ CDS indices do not directly factor in the interest rate components of cash
bond indices
─ Cash-CDS basis to contend with
─ With bonds, ETFs and CDS indices, the investor needs to cross bid-offer on the
way in and out (vs. expiration)
─ In the case of loans, there has been no other available substitute for
CLO hedgers
─ Additionally, LCDX has demonstrated low liquidity
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─ Markit iBoxx now offers Total Return Swaps on several iBoxx corporate bond and liquid
leveraged loans indices
─ Markit iBoxx corporate bond and loans indices are used widely by credit investors and asset
managers to benchmark against them
─ Allow investors to express views on the corporate credit and CLO market in a simple and
efficient manner
─ Enable investors to benefit from TRS on iBoxx Leveraged Loans Index in an environment of
increasing inflation and CLO issuance
─ Available on Bloomberg and Reuters with daily and historical index data
─ Multi-sourced pricing used for constituents
─ No tracking error and no rolls (rebalancing mechanism built-in)
─ Market weighting, Coupon re-investment
Total Return Swap – Uses and Benefits
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Total Return Swap – Uses and Benefits (cont.)
Trading Allows the ability to deploy capital quickly into the cash leveraged loan or cash bond asset class and gain exposure to multiple
issuers ; Allows Long / Short exposures depending on market views
Access Allows investors with restrictions from buying individual corporate loans or bonds the ability to access an asset class; broad
based beta and dual access (rates and spreads) to bond and loans markets
Hedging Allows accounts the ability to short the total returns of the leveraged loan or corporate bond asset class as a hedge or a
directional view; Markit iBoxx used to remove beta and isolate alpha
Relative value Allows investors to express views of Loans vs. HY and IG (iBoxx Loans vs. iBoxx HY and IG)
Operational Markit iBoxx Indices have fewer documentation and settlement processes (assignments vs. participation) than individual loans or
bonds
Tracking iBoxx Loans is based on pure total loan returns, unlike LCDS/LCDX which is based on CDS on loans
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─ Asset Managers
─ Hedge Funds
─ Insurance Companies
─ Pension/Endowments
─ Private Banks
─ Distributors
─ Retail
─ Bank Credit Portfolio Managers
Market Participants
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Markit iBoxx TRS vs. Other Market Instruments
Instrument Funding
Interest
Rate Risk Liquidity
Diversified
Exposure
Establishing
Size position
Can Be
Shorted?
Tracking
Bond/Loan Market?
Cash Bonds Funded Yes Medium No unless in
a diversified portfolio
Time
consuming
Difficult Yes, if representative
portfolio
ETFs Funded Yes Medium Yes Difficult Yes Yes
Markit
iBoxx TRS
Unfunded Yes Medium Yes Easy Yes Yes
Single-
name CDS
Unfunded No Medium No unless in
a diversified portfolio
Time
consuming
Yes No (basis)
CDS Indices Unfunded No High* Yes Easy Yes No (basis)
* LCDX has demonstrated low liquidity
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Dealer Contacts
Company Contact Contact Bloomberg
BNP Paribas Alexandre Caniou
+44 20 7595 2195
Denis Gardrat
+44 20 7595 8533
BNTR <GO>
Bank of America
Merrill Lynch
Jean-Baptiste Binz (USD)
+1 646 855 6403
Yannig Loyer (GBP, EUR)
+44 20 7996 6166
Credit Suisse Charles Kermisch
+44 20 7888 6416
Marco Pouw
+44 20 7888 1724
JP Morgan Aymeric Paillat
+44 20 7134 0541
Karim Awenat
+44 20 7742 4220
Zaheen Mir
+1 212 834 4544
JIBX <GO>
Morgan Stanley
Ara Tachdjian
+44 20 7677 6877
Adam Schwartz
+ 1 212 761 2549
Goldman Sachs Jonathan Grau
+1 212-902-0483
Manav Gupta
+ 44 20 7774-5153
Gerard Gorski
+1 212-357-1076
Matthew Reid
+44 20 7051-5862
Deutsche Bank Index and ETF Desk
+44 20 7545 2409
The capitalised terms used in these materials but not defined in these materials shall have the meanings given to such terms in the iBoxx Bond Index Transaction Standard Terms Supplement. To the maximum
extent allowed by law, neither Index Sponsor nor its affiliates, data provider, any Primary Dealer and/or Licensed Dealer make any representation, warranty, condition, undertaking or term, whether express,
implied or statutory, regarding or relating to the Index or any data (including any Final Fixing Amount), documentation or materials relating to the Index provided or made available pursuant to such Index
("Materials") including (a) of merchantability or that the Materials are fit for any particular purpose; or (b) as to the accuracy, timeliness or completeness of all or any of such Materials or any of the results to be
attained by any party from the use of such Materials. Neither the Index Sponsor nor its affiliates, data provider, any Primary Dealer and/or Licensed Dealer shall in any way be liable to any party whether in
contract (including under an indemnity), in tort (including negligence), under a warranty, under statute or otherwise, in respect of any loss or damage suffered by any party or its clients arising in respect of, or in
connection with (i) any inaccuracy, error or omission, regardless of cause, in any of the Materials or (ii) any advice, opinion, recommendation, guidance, forecast, judgment, publication, conclusion or any course
of action (or inaction) of any party or its clients, made or taken in reliance of, or based on, any of the Materials.
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─ Markit iBoxx indices are the market leading fixed income indices
─ Markit iBoxx Indices multi-sourced evaluated pricing and rigorous data quality checks
provide the clearest view of the market and ensure that each bond in the indices is
objectively valued
─ All Markit iBoxx indices are independent, objective and transparent
─ The independence of Markit iBoxx indices from individual banks make them optimal
indices for index-based products such as ETFs
─ All Markit iBoxx indices are rebalanced monthly on the last business day of the month after
the close of business, eliminating the need to roll the index.
─ The Markit iBoxx consolidated bond prices reflect high quality pricing in the fixed income
market. Consolidated Euro and Sterling prices are calculated every minute and
disseminated immediately to the market via data vendors
Overview of iBoxx Corporate Bond Indices
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─ Markit is the premier provider of independent, rules-based, and objective loans indices
─ Markit iBoxx Loans Indices are used effectively for trading, product structuring, and
benchmarking
─ The index levels are calculated by incorporating both independent market data from Markit Loan
Pricing and the latest loan reference and transaction information from Markit Loan Reference
Data
─ iBoxx Liquid Loans Index is rebalanced monthly on the last business day of the month after the
close of business, eliminating the need to roll the index
Overview of iBoxx Liquid Leveraged Loans Index
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Markit iBoxx Corporates
The Markit iBoxx Corporates Indices represent the investment grade
fixed-income Bonds issued by public or private corporations.
— Corporate bonds are classified into Financials and Non-Financials and then into
their multiple-level economic sectors, according to the issuer’s business scope.
— The category insurance-wrapped is added under Financials for corporate bonds
whose timely coupon and/or principal payments are guaranteed by a special
monoline insurer such as AMBAC or MBIA
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Overview of Markit iBoxx Corporates Sectors
Economic Sector Market Sector Market Sub-Sector
Financials Financials Banks Banks
Insurance Life Insurance
Nonlife Insurance
Financial Services General Financial
Real Estate
Insurance-wrapped Insurance-wrapped
Non-Financials Oil & Gas Oil & Gas Oil & Gas Producers
Oil Equipment / Services & Distribution
Basic Materials Chemicals Chemicals
Basic Resources Industrial Metals
Mining
Forestry & Paper
Industrials Construction & Materials Construction & Materials
Industrial Goods & Services Aerospace & Defence
Electronic & Electrical Equipment
General Industrials
Industrial Engineering
Industrial Transportation
Support Services
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Overview of Markit iBoxx Corporates Sectors
Economic Sector Market Sector Market Sub-Sector
Non-Financials (cont) Consumer Goods Automobiles & Parts Automobiles & Parts
Food & Beverage Beverages
Food Producers
Personal & Household Goods Household Goods
Personal Goods
Tobacco
Health Care Health Care Pharmaceuticals & Biotechnology
Consumer Services Retail Food & Drug Retailers
General Retailers
Media Media
Travel & Leisure Travel & Leisure
Telecommunications Telecommunications Fixed Line Telecommunications
Mobile Telecommunications
Utilities Utilities Electricity
Gas / Water & Multiutilities
Technology Technology Software & Computer Services
Technology Hardware & Equipment
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Markit iBoxx GBP Corporates Index
The Markit iBoxx GBP Corporates Indices represent the investment grade fixed
income market for GBP denominated Corporate bonds.
The Index Structure:
— Financials - 4 Industries
— Non-Financials - 9 Sectors, 15 Industries
— Senior
— Subordinated
All bonds need to have an average rating of investment grade. Ratings from Fitch Ratings, Moody’s Investor Service and Standard & Poor’s Rating Services are considered. If more than one agency provides a rating, the average rating is attached to the bond.
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The Index Structure
Markit iBoxx GBP Corporates Index
Source: Markit Indices Data; February 2014
AAA AA A BBB
Rating Sectors
Financials Utilities TelecommunicationsConsumer Services Industrials Consumer GoodsHealth Care Oil & Gas Basic MaterialsTechnology
Financials Utilities TelecommunicationsConsumer Services Industrials Consumer GoodsHealth Care Oil & Gas Basic MaterialsTechnology
Financials Utilities TelecommunicationsConsumer Services Industrials Consumer GoodsHealth Care Oil & Gas Basic MaterialsTechnology
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Markit iBoxx EUR Corporates Index
The Markit iBoxx EUR Corporates Indices represent the investment grade fixed
income market for EUR denominated Corporate bonds
The Index Structure:
— Financials - 4 Industries
— Non-Financials - 9 Sectors, 15 Industries
— Senior
— Subordinated
All bonds need to have an average rating of investment grade. Ratings from Fitch Ratings, Moody’s Investor Service and Standard & Poor’s Rating Services are considered. If more than one agency provides a rating, the average rating is attached to the bond.
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The Index Structure
Markit iBoxx EUR Corporates Index
Source: Markit Indices Data; February 2014
AAA AA A BBB
Rating
Financials Utilities Consumer GoodsIndustrials Telecommunications Basic MaterialsConsumer Services Health Care Oil & GasTechnology
Sectors
Financials Utilities Consumer GoodsIndustrials Telecommunications Basic MaterialsConsumer Services Health Care Oil & GasTechnology
Financials Utilities Consumer GoodsIndustrials Telecommunications Basic MaterialsConsumer Services Health Care Oil & GasTechnology
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Markit iBoxx USD Domestic Corporates Index
The Markit iBoxx USD Domestic Corporate Index represents
the investment grade fixed income market for Domestic USD denominated
Corporate bonds
The Index Structure:
— Sectors
— Non-Financials – Industries, Supersectors, Sectors
— Senior
— Subordinated
All bonds need to have an average rating of investment grade. Ratings from Fitch Ratings, Moody’s Investor Service and Standard & Poor’s Rating Services are considered. If more than one agency provides a rating, the average rating is attached to the bond.
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The Index Structure
Markit iBoxx USD Domestic Corporates Index
Source: Markit Indices Data; February 2014
Rating Sectors
AAA AA A BBB
Financials Oil & Gas Consumer ServicesHealth Care Consumer Goods TelecommunicationsIndustrials Basic Materials TechnologyUtilities
Financials Oil & Gas Consumer ServicesHealth Care Consumer Goods TelecommunicationsIndustrials Basic Materials TechnologyUtilities
Financials Oil & Gas Consumer ServicesHealth Care Consumer Goods TelecommunicationsIndustrials Basic Materials TechnologyUtilities
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Markit iBoxx EUR Liquid High Yield Index
The Markit iBoxx EUR Liquid
High Yield Index consists of
liquid EUR sub-investment
grade rated bonds, selected to
provide a balanced
representation of the Markit
iBoxx EUR Core High Yield
Index.
The Markit iBoxx EUR Liquid
High Yield Index tracks the
market for high yield corporate
bonds and currently contains
approximately 250 corporate
bonds with sub-investment
grade ratings.
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Markit iBoxx EUR Liquid High Yield Index
The Index Structure
Source: Markit Indices Data; February 2014
BB B CCC
Rating
Financials Industrials Consumer GoodsTelecommunications Construction & Materials Consumer ServicesTechnology Basic Materials Health CareUtilities Media Oil & Gas
Sectors
Financials Industrials Consumer GoodsTelecommunications Construction & Materials Consumer ServicesTechnology Basic Materials Health CareUtilities Media Oil & Gas
Financials Industrials Consumer GoodsTelecommunications Construction & Materials Consumer ServicesTechnology Basic Materials Health CareUtilities Media Oil & Gas
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Markit iBoxx USD Liquid High Yield Index
The Markit iBoxx USD Liquid
High Yield Index consists of
liquid USD high yield bonds,
selected to provide a balanced
representation of the broad USD
high yield corporate bond
universe.
The index is used as a basis for
tradable products, including
ETFs. Multi-contributor pricing
and support for the index from
leading financial institutions
ensure that the index is a
tradable reflection of the
corporate high yield bond
market.
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Markit iBoxx USD Liquid High Yield Index
Maximum age 5 years
Rating
Each bond assigned an index rating based
on the highest rating from Fitch, Moody’s
and S&P. Only bonds with a rating below
investment grade are eligible. Split-rates
bonds and bonds considered in default by
one or more agencies are excluded. Bonds
previously split rated or investment grade
rated need to be rated sub-investment
grade for 3 months before becoming
eligible for inclusions
Issuer size $1 billion
Issuer cap 3%
Lockout period 3 months
Minimum run 6 months Source: Markit Indices Data; February 2014
Consumer Services Industrials FinancialsOil & Gas Telecommunications Health CareBasic Materials Consumer Goods TechnologyUtilities
Sectors
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Markit iBoxx Liquid Leveraged Loans Index
Number of Bonds 100
Spread
Rated loans must have a minimum current
spread of 125 basis points over LIBOR to
be eligible for the index
Time to maturity Minimum initial time to maturity of 1 year
is required for potential constituents.
Facility level capping 2%
Issuer level capping 5%
Industry level capping 15%
Liquidity
Liquidity scores are calculated based on
Sources Quote, Frequency of Quotes,
Number of Sources with Size, Bid-Offer
spreads, Average quote size, Movers
count
The Markit iBoxx Liquid Leveraged Loans
Index consists of liquid senior loans, selected
to provide a balanced representation of the
broad USD liquid loans universe.
The index is used as a basis for tradable
products, including ETFs. Highland iBoxx
Senior Loan ETF tracks the performance of
the index.
Multi-contributor pricing and support for the
index from leading financial institutions ensure
that the index is a tradable reflection of the
corporate high yield bond market.
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The Index Structure
Markit iBoxx Liquid Leveraged Loans Index
Source: Markit Indices Data; February 2014
Granular Level 1 sectors are aggregated into sector groups.
B BB CCC
Rating
Consumer, Cyclical Industrial Technology
Communications Consumer, Non-cyclical Basic Materials
Utilities Financial Energy
Sectors
Consumer, Cyclical Industrial Technology
Communications Consumer, Non-cyclical Basic Materials
Utilities Financial Energy
Consumer, Cyclical Industrial Technology
Communications Consumer, Non-cyclical Basic Materials
Utilities Financial Energy
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Markit iBoxx EUR Indices
The Markit iBoxx EUR Index family is designed to reflect the performance of EUR denominated
investment grade debt. The index rules aim to offer a broad coverage of the EUR bond universe,
whilst upholding minimum standards of investability and liquidity. As of 31 December 2011, the
index tracks more than 2500 bonds with around EUR 7.1 trillion worth of debt. The indices are an
integral part of the global Markit iBoxx index families, which provide the marketplace with accurate
and objective indices by which to assess the performance of bond markets and investments.
The Markit iBoxx EUR Index family is split into five major indices: Overall, Euro zone,
Collateralized, Corporates, and Sub-sovereigns. These are further broken down into sub-indices
based on ratings, maturities and sectors. All iBoxx indices are multi-source price. Prices for the
bonds in the Markit iBoxx EUR indices are sourced from a number of leading market makers and
other sources. The received quotes are subject to a rigorous quality control process which
excludes stale or off-market prices, and the remaining quotes that pass the quality control are
consolidated to the index price.
Markit iBoxx Indices
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Markit iBoxx GBP Indices
The Markit iBoxx GBP Index family is designed to reflect the performance of GBP denominated
investment grade debt. The index rules aim to offer a broad coverage of the Sterling bond
universe, whilst upholding minimum standards of investability and liquidity. As of 31 December
2011, the index tracks more than 1000 bonds with around GBP 1.5 trillion worth of debt. The
indices are an integral part of the global Markit iBoxx index families, which provide the marketplace
with accurate and objective indices by which to assess the performance of bond markets and
investments.
The Markit iBoxx GBP Index family is split into five major indices: Overall, Gilts, Collateralized,
Corporates, and Sovereigns & Sub-sovereigns. These are further broken down into sub-indices
based on ratings, maturities and sectors. All iBoxx indices are multi-source price. Prices for the
bonds in the Markit iBoxx GBP indices are sourced from a number of leading market makers and
other sources. The received quotes are subject to a rigorous quality control process which
excludes stale or off-market prices, and the remaining quotes that pass the quality control are
consolidated to the index price
Markit iBoxx Indices
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Markit iBoxx USD Indices
The Markit iBoxx USD Index family is designed to reflect the performance of USD denominated
investment grade debt. The index rules aim to offer a broad coverage of the USD bond universe,
whilst upholding minimum standards of investability and liquidity. As of 31 December 2011, the
index tracks more than 4000 bonds with around USD 12.5 trillion worth of debt. The indices are an
integral part of the global Markit iBoxx index families, which provide the marketplace with accurate
and objective indices by which to assess the performance of bond markets and investments.
The Markit iBoxx USD Index family is split into three major indices: Overall, Domestic and
Eurodollar. These are further broken down into sub-indices based on sector, rating and maturity.
All iBoxx indices are multi-source priced. Prices for the bonds in the Markit iBoxx USD indices are
sourced from a number of leading market makers and other sources. The received quotes are
subject to a rigorous quality control process which excludes stale or off-market prices, and the
remaining quotes that pass the quality control are consolidated to the index price
Markit iBoxx Indices
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Markit iBoxx USD Liquid High Yield Index
The Markit iBoxx USD Liquid High Yield Index is designed to reflect the performance of USD
denominated high yield corporate debt. The index rules aim to offer a broad coverage of the USD
high yield liquid bond universe and have been designed to provide a suitable basis for OTC,
exchange-traded derivatives and Exchange Traded Funds (ETFs).
The indices are an integral part of the global Markit iBoxx index families, which provide the
marketplace with accurate and objective indices by which to assess the performance of bond
markets and investments. The index is market-value weighted with an issuer cap of 3%.
The Markit iBoxx USD Liquid High Yield Index is rebalanced once a month at the month-end (the
“rebalancing date”) and consists of sub-investment grade USD denominated bonds issued by
corporate issuers from developed countries and rated by at least one of three rating services: Fitch
Ratings, Moody’s Investors Service, or Standard & Poor’s Rating Services.
The bonds in the Markit iBoxx USD Liquid High Yield Index must meet all the criteria described
below as of the close of business three business days prior to the rebalancing date provided that
the relevant bond data can be verified, at Markit Indices Limited’s sole discretion, as of such date
(“bond selection cut-off date”). The new index composition becomes effective on the first business
day of the next month (the “composition month”).
Markit iBoxx Indices
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Markit iBoxx Liquid Leveraged Loans Index
The Markit iBoxx USD Liquid Leveraged Loan Index is a subset of the benchmark Markit iBoxx
USD Leveraged Loan Index (USD LLI). The index is designed to track the broader loans market
with a smaller subset of index constituents, providing a suitable basis for derivatives and Exchange
Traded Funds (ETFs).
Proper representation of the liquid loan market is ensured by the minimum size requirements,
sophisticated liquidity measures and weighting caps built into the index methodology.
Wide range of analytical values and three sub-indices allow for sophisticated performance
measurement .
Reference loan data is provided by Markit WSOData which represents up-to-date reference and
transactional information on over 4,000 leveraged loans. Markit WSOData is accurately maintained
in real-time by requiring an executed Credit Agreement for each loan, including subsequent
amendments and receives over 7.5 million agent notices per year. This unparalleled access to loan
information makes Markit WSOData the only accurate, up-to-date, comprehensive database for
leveraged loan information
Markit iBoxx Indices
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Markit iBoxx Rules, documentation,
and methodology are all available
online through our website:
www.markit.com/indices
Index rules
mines data
pools intelligence
surfaces information
enables transparency
builds platforms
provides access
scales volume
extends networks
& transforms business.
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