Markit releases index roll timetable and initial changes

Markit has released a timetable for the forthcoming rolls of credit default swap indices later this month. iTraxx indices and CDX IG are due to roll on Monday 22 March, with CDX HY rolling a week later on 29 March.

Dealer provisional lists for iTraxx indices and CDX IG will be available today, with CDX HY tomorrow, MCDX on Tuesday 16 March and LCDX on 23 March. Final membership for iTraxx indices will be published Monday 15 March, with IG on Friday 19 March, HY 26 March and LCDX/MCDX on Thursday 1 April.

Following a round of voting, it has been determined that there will be no changes to the composition and weighting of the CDX EM and CDX EM.Diversified indices for this roll.

Dealers have also already determined that International Lease Finance Corporation will be removed from IG due to ratings. Wells Fargo has also been removed, as the completion of its merger with Wachovia sees it become a licensed CDX market maker and hence ineligible for index inclusion.