Markit LCDX Indices

Markit LCDX consists of 100 reference entities, referencing 1st lien loans listed on the Markit Syndicated Secured List.  The key features of Markit LCDX are:

• 100 reference entities
• 1st Lien Loans only as Deliverable Obligations
• Deliverable Obligations for Markit LCDX must be "Syndicated Secured" loans, which are listed on the Syndicated Secured List (SSL) used for single name loan credit default swaps and updated by dealer polls run by Markit from time to time. Note only reference entities that are on the SSL are eligible for inclusion in the index
• If an entity previously was on the SSL and was included in any given series of Markit LCDX, but is removed due to pay down of their syndicated secured loans (without being replaced by new syndicated secured loans), the entity’s weighting in the index will be set to zero, and the index going forward from that point will trade with a factor
• The applicable credit events for the product will be failure to pay and bankruptcy
• 5 year and 3 year maturities are traded
• The index will be quoted in price terms
• Recovery rate for upfront and unwind calculation is assumed to be 65%
• The index will roll semi-annually. Roll Dates will be 3rd April and 3rd October – 1 week after Markit CDX HY rolls
• The effective date of the first roll of the index will be index launch date + 1. Subsequent series will be roll date + 1
• Credit Event Settlement: It is expected any credit events will be settled via a credit event auction similar to those used for unsecured CDS, with some customization for loan CDS.

For a more in-depth overview, please download the 'Markit LCDX Primer'.

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