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MarketAxess SEF RULEBOOK

Effective as of November 25, 2016September 1, 2021
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Table of Contents

CHAPTER 1: DEFINITIONS .......................................................................................................1

Rule 101. Definitions...............................................................................................1

CHAPTER 2: MARKETAXESS SEF OWNERSHIP AND GOVERNANCE................................................7

Rule 201. Ownership...............................................................................................7

Rule 202. Board......................................................................................................8

Rule 203. Officers .................................................................................................10

Rule 204. Qualifications of Directors, Disciplinary Panel Members, Appeal Panel 

Members, Committee Members, Owners and Officers................................10

Rule 205. Standing Committees..............................................................................11

Rule 206. Pending Legal Proceedings.......................................................................11

Rule 207. Restrictions on Certain Persons who Possess Material, Non-Public 

Information: Improper Use or Disclosure of Material Non-Public 

Information. ..........................................................................................12

Rule 208. Regulatory Oversight Committee..............................................................12

Rule 209. Chief Compliance Officer.........................................................................13

Rule 210. Compliance Staff and Resources........................................................... 1615

Rule 211. Additional Board Committees and MarketAxess SEF Panels.........................16

Rule 212. Emergency Rules....................................................................................16

Rule 213. Conflicts of Interest and Misuse of Material, Non-Public Information ....... 1817

Rule 214. Maintenance of Books and Records...................................................... 2019

Rule 215. Information-Sharing Agreements.............................................................20

Rule 216. Services Agreement with a Regulatory Services Provider.............................21

CHAPTER 3: PARTICIPANTS...................................................................................................21

Rule 301. Criteria for Becoming a Participant Firm................................................ 2221

Rule 302. Participant Firm Application Process.........................................................22

Rule 303. Trading Privileges of a Participant Firm .....................................................23

Rule 304. Reserved. .......................................................................................... 2423

Rule 305. Dues, Assessments and Fees....................................................................24

Rule 306. Authorized Traders.................................................................................24

Rule 307. Authorized Representatives.....................................................................25

Rule 308. Recording of Communications..................................................................25

Rule 309. Notices to Participants............................................................................25

Rule 310. Communications between the MarketAxess SEF and Participants ................26

Rule 311. Application of Rules and Jurisdiction.........................................................26

Rule 312. Description of Participant’s Status............................................................27

Rule 313. Withdrawal of Participant .......................................................................27

Rule 314. Compliance with the CEA.........................................................................27

Rule 315. Impartial Access................................................................................. 2827

CHAPTER 4: OBLIGATIONS OF PARTICIPANTS...................................................................... 2827

Rule 401. Duties and Responsibilities of Participants ................................................28

Rule 402. Required Disclosures to the MarketAxess SEF............................................28

Rule 403. Inspections by the MarketAxess SEF .........................................................29
Rule 404. Minimum Financial and Related Reporting Requirements ...........................30

Rule 405. Confidentiality of Financial and Other Information.....................................30

Rule 406. Information Regarding Orders.............................................................. 3130

Rule 407. Customers.............................................................................................31

CHAPTER 5: TRADING PRACTICES AND BUSINESS CONDUCT.....................................................31

Rule 501. Scope....................................................................................................31

Rule 502. Procedures............................................................................................31

Rule 503. Business Days and Trading Hours .............................................................32

Rule 504. Enforceability.........................................................................................32

Rule 505. Fraudulent Acts Prohibited ......................................................................32

Rule 506. Fictitious, Wash or Non-Competitive Transactions Prohibited.................. 3332

Rule 507. Price Dissemination............................................................................ 3332

Rule 508. Market Manipulation Prohibited..............................................................33

Rule 509. Disruptive Trading Practices Prohibited.....................................................33

Rule 510. Prohibition of Misstatements...................................................................33

Rule 511. Reserved. ..............................................................................................33

Rule 512. Reserved. ..............................................................................................33

Rule 513. Supervision............................................................................................33

Rule 514. Execution of Required Transactions..........................................................33

Rule 515. Misuse of the MarketAxess SEF Trading System ..................................... 3433

Rule 516. Errors and Omissions in Handling Orders...................................................34

Rule 517. Volume Discount Programs......................................................................34

Rule 518. Withholding Orders Prohibited ................................................................34

Rule 519. Priority of Customers’ Orders...................................................................34

Rule 520. Handling of Customer Orders............................................................... 3534

Rule 521. Disclosing Orders Prohibited................................................................ 3534

Rule 522. Simultaneous Buy And Sell Orders For Different Beneficial Owners..............35

Rule 523. Wash Sales Prohibited ............................................................................35

Rule 524. Recordkeeping Requirements for Entering Orders into the 

MarketAxess SEF Trading System .............................................................35

Rule 525. Prearranged and Noncompetitive Trades Prohibited...................................37

Rule 526. Responsibility For Customer Orders..........................................................37

Rule 527. Pre-Execution Credit Checks....................................................................38

Rule 528. Priority of Execution ...............................................................................38

Rule 529. Intermediation.......................................................................................38

Rule 530. Position Limits and Exemptions............................................................ 3938

Rule 531. Position Accountability ...........................................................................39

Rule 532. Publication of Market Data......................................................................39

Rule 533. SDR Reporting........................................................................................39

Rule 534. Reserved. ..............................................................................................40

Rule 535. Identification of Authorized Traders .........................................................40

Rule 536. LIMITATION OF LIABILITY, NO WARRANTIES ..............................................40

Rule 537. The MarketAxess SEF Control Center........................................................42

Rule 538. The MarketAxess SEF Trading System .......................................................43

Rule 539. Trade Cancellations and Price Adjustments ...............................................44

Rule 540. Terms and Conditions......................................................................... 4645

Rule 541. Trading Pauses and Halts.........................................................................46
CHAPTER 6: PRIVATELY NEGOTIATED TRANSACTIONS..............................................................46

Rule 601. Block Trades..........................................................................................46

Rule 602. Recordkeeping Requirements for Privately Negotiated Trades.....................47

CHAPTER 7: DISCIPLINARY RULES...................................................................................... 4847

Rule 701. General............................................................................................. 4847

Rule 702. Inquiries and Investigation ......................................................................49

Rule 703. Reports of Investigations.........................................................................50

Rule 704. Opportunity to Respond...................................................................... 5150

Rule 705. Review of Investigative Reports ...............................................................51

Rule 706. Notice of Charges...................................................................................52

Rule 707. Answer to Notice of Charges....................................................................53

Rule 708. Service of Notice of Charges.....................................................................53

Rule 709. Settlements....................................................................................... 5453

Rule 710. Disciplinary Panel............................................................................... 5554

Rule 711. Convening Hearings of Disciplinary Proceedings.........................................56

Rule 712. Respondent Review of Evidence...............................................................56

Rule 713. Conducting Hearings of Disciplinary Proceedings........................................57

Rule 714. Decision of Disciplinary Panel ..................................................................58

Rule 715. Sanctions and Fines................................................................................59

Rule 716. Reserved. .......................................................................................... 6059

Rule 717. Summary Imposition of Fines............................................................... 6059

Rule 718. Summary Suspensions and Other Summary Actions ...................................60

Rule 719. Rights and Responsibilities after Suspension or Termination ................... 6261

Rule 720. Notice to the Respondent, the Regulatory Services Provider and the 

Public....................................................................................................62

CHAPTER 8: ARBITRATION RULES..........................................................................................62

Rule 801. Disputes Subject to Arbitration ............................................................ 6362

Rule 802. Initiating an Arbitration Claim.............................................................. 6463

Rule 803. Certain Claims against the MarketAxess SEF Involving Trading Systems 

or Services.............................................................................................64

Rule 804. Claims Relating to Trade Cancellations or Price Adjustments .......................65

Rule 805. Right to Counsel.....................................................................................65

Rule 806. Governing Law.......................................................................................65

Rule 807. Costs.....................................................................................................65

CHAPTER 9: CLEARING.........................................................................................................65

Rule 901. Clearing of Swaps............................................................................... 6665

Rule 902. Reserved. .......................................................................................... 6665

Rule 903. Reserved. .......................................................................................... 6665

Rule 904. Clearing House Rules.......................................................................... 6665

Rule 905. Submission of Trades to a Clearing House..................................................66

Rule 906. Execution and Submission to Clearing of New Swap/Old Terms and 

New Swap/Corrected Terms....................................................................66

CHAPTER 10: MISCELLANEOUS ........................................................................................... 7069
Rule 1001. MarketAxess SEF personnel – Trading and Misuse of Material, NonPublic Information.............................................................................. 7069

Rule 1002. Gifts and Gratuities............................................................................. 7170

Rule 1003. Market Data ..........................................................................................71

Rule 1004. Extension or Waiver of Rules ...................................................................71

Rule 1005. Effect of Amendment, Repeal or New Rule............................................ 7271

Rule 1006. Uncleared Swaps................................................................................ 7271

Rule 1007. Issuance of SEF Confirmations..................................................................72

Rule 1008. Forwarding of SEF Confirmations..............................................................73

APPENDIX A: CREDIT CONTRACTS TERMS AND CONDITIONS ......................................................75
APPENDIX A: CREDIT CONTRACTS TERMS AND CONDITIONS

Terms and Conditions

Terms and Conditions of Specific Products

A copy of the terms and conditions for each product that will be listed on the MarketAxess SEF 

is attached as Appendix A. The terms and conditions applicable to all products listed for trading 

on the MarketAxess SEF are described below. 

Terms and Conditions Applicable to All Products Listed in Appendix A

Each of the following terms and conditions applies to all products listed in Appendix A hereto: 

o The trading hours are 3:00 am – 5:30 pm EST Monday through Friday. 

o Each contract has a minimum size of 10,000 and can be traded in increments of 

1,000. 

o There are no daily price limits. 

o Price fluctuations are decimalized to six decimal points. 

o There are no maximum price fluctuation limits. 

o MarketAxess SEF Corporation will comply with the requirements of 17 C.F.R. 

15.03 with respect to reportable levels. 

o Pursuant to the MarketAxess SEF Corporation Rulebook, MarketAxess SEF 

Corporation has the authority to adopt position limits or position accountability 

levels. Currently, no speculative position limits are required by Parts 150 or 151 

of the Commission’s regulations. Therefore, MarketAxess SEF Corporation has 

not adopted any position limits or position accountability levels. 

o The cash settlement method is commonly used for credit default swaps and 

accepted by market participants. The cash settlement process will include the 

following payments: 

• Fixed Quarterly Cash Payments: These payments are reflected in 

basis points and paid by the protection buyer to the protection 

seller.

• Upfront Fee Payment: This fee is a portion of the payments, which 

is expressed in percentage points of the notional. The fee is 

present valued and paid immediately to the seller.

• Contingent Payment: If there is a credit event (bankruptcy or 

failure to pay), payments related to the credit event settlement 

will be determined pursuant to the 2009 ISDA Credit Derivatives 

Determination Committees and Auction Settlement Supplement 

(i.e., the Big Bang Protocol).
Explanation of Compliance with the CEA and Commission Regulations Thereunder

MarketAxess SEF Corporation will continue to comply with the CEA and Commission regulations 

thereunder when listing the products included in Appendix A. MarketAxess SEF Corporation 

uses the indices described below to determine the exchange of cash flows for the products it 

intends to list. The indices listed below are highly liquid indices that are not readily susceptible 

to manipulation. The composition and weighting of each index is governed by Markit’s rules, 

making it extremely difficult to manipulate. 

Each index used by the MarketAxess SEF Corporation for its contracts is a reliable indicator of 

market values and conditions. Each index is highly regarded by the industry. Markit calculates

each referenced price index used by MarketAxess SEF Corporation. Markit uses business 

practices that minimize the opportunity or incentive to manipulate the cash-settlement price 

series. Furthermore, Markit’s cash-settlement calculation involves computational procedures 

that eliminate or reduce the impact of potentially unrepresentative data. 

Markit Credit Indices are made up of the most liquid entities in the relevant single-name CDS 

market. The indices roll on a semi-annual basis, and the composition of each new series (a new 

index) is established based on a transparent set of rules designed to ensure that the current 

series tracks the most liquid instruments in the relevant market.

Description of Each Index

• CDX EM Index

The CDX.EM Index is composed of sovereign issuers (“Issuers”) from three regions: (i) Latin 

America; (ii) Eastern Europe, the Middle East, and Africa; and (iii) Asia.2 The composition of 

the EM Index shall be determined based on submissions by each member of Markit that elects 

to participate in the determination of the EM Index on a continuing basis. 3 Markit asks 

members to identify: (i) those Issuers not in the then current EM Index which the member 

wishes to be added to the next EM Index; (ii) those Issuers in the then current EM Index that 

the member believes should be eliminated from the EM Index; and (iii) whether the member 

wishes to change the weightings of the next EM Index even if the Issuers in the EM Index do not 

change.4 A member should only propose the elimination of an Issuer from the EM Index when 

the member believes the Issuer’s outstanding debt or credit default swap contracts in respect 

of that Issuer have become materially less liquid.5 If three or more members propose to 

eliminate an Issuer, add an Issuer, or change the weightings of the EM Index, Markit will solicit 

a vote by members.6 After the composition of the new EM Index for the next six-month period 

 

2 See “Index Methodology for the CDX Emerging Markets Index, Published as of March 1, 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20EM%20Rules%20Mar%202013.pdf. 

3 See id. at 1.

4 See id. at 3.

5 See id. 

6 See id. 
has been finalized, Markit will identify a single reference obligation of each Issuer in the EM 

Index senior in priority of payment based on the Reference Entity Database.7 If the members 

vote to change the weightings of the next EM Index, the members will vote on the weightings 

to be associated with each Issuer in the EM Index.8 The weightings of all Issuers must total 

100%.9 Four business days prior to the Roll Date, Markit will publish to the public and members 

the composition of the new EM Index.10 Three business days prior to the Roll Date, Markit will 

determine the fixed rate for the maturity of the new EM Index.11 Markit will solicit each 

member to submit an average spread for such maturity and select the median of those 

submissions.12 Markit will then publish a draft of the EM Index to members before publishing 

the final EM Index to the public.13

• CDX EM ex-EU Index

On October 19, 2012, Markit announced that it would create a new CDX EM sub-index, called 

the CDX EM ex-EU Index, beginning on November 1, 2012.14 The new sub-index does not 

include Hungary, and the weight of the remaining constituents was adjusted accordingly.15 

• CDX LATAM CORP Index

The CDX LatAm Corp Index is composed of twenty corporate issuers from Latin America. 16 The 

composition of the CDX LatAm Corp Index shall be determined based on submissions by each 

member of Markit that elects to participate in the determination of the CDX LatAm Corp Index 

on a continuing basis.17 Ten business days before a new Roll Date, Markit will solicit each 

Eligible Latam Corp Member to identify (i) those Issuers not in the then current Latam Corp 

Index which such Eligible Latam Corp Member wishes to be added to the next Latam Corp 

index; (ii) those Issuers in the then current Latam Corp Index that in such Eligible Latam Corp 

Member’s judgment should be eliminated from the next Latam Corp Index; and (iii) whether 

such Eligible Latam Corp Member wishes to change the weightings of the Issuers in the next 

Latam Corp Index, even if the Issuers in the Latam Corp Index do not change. 18 An Eligible 

Latam Corp Member may propose the elimination of an Issuer from the Latam Corp Index for 

 

7 See id. at 4.

8 See id. at 5.

9 See id.

10 See id. 

11 See id. 

12 See id.

13 See id.

14 See “Markit to Launch new CDX EM Sub-Index, October 19, 2012,” available at

http://www.markit.com/en/products/data/indices/credit-and-loan-indices/cdx/news.page?. 

15 See id.

16 See “Markit CDX LatAm Corp Index Methodology,” available at 

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20LatAm%20Corp%20Rules%20Sept%202012.pdf.

17 See id. at 2. 

18 See id. at 3.
the reasons set forth in the “Markit CDX LatAm Corp Index Methodology.”19

 Markit will solicit 

votes from each Eligible Latam Corp Member and alter the composition of the Latam Corp 

Index and the weighting of the index according to the procedures set forth in the “Markit CDX 

LatAm Corp Index Methodology.”20 Markit will then publish to Eligible Latam Corp Members 

and the public the composition of the new Latam Corp Index. After the composition of the new 

Latam Corp Index for the next six-month period has been finalized, Markit will identify a single 

reference obligation of each Issuer in the Latam Corp Index senior in priority of payment based 

on the Reference Entity Database.21 Three business days prior to the Roll Date, Markit will 

determine the fixed rate for the maturity of the new Latam Corp Index.22 Markit will solicit 

each Latam Corp Member to submit an average spread for such maturity and select the median 

of those submissions.23 Markit will then publish a draft of the Latam Corp Index to members 

before publishing the final Latam Corp Index to the public.24

• North American High Yield CDX Index

The composition of Markit’s North American High Yield CDX Index is determined by Markit in 

accordance with the rules and methodologies set forth in Markit CDX High Yield & Markit CDX 

Investment Grade Index Rules.25 

Markit’s North American High Yield CDX Index is composed of one hundred liquid North 

American entities with high yield credit ratings that trade in the CDS market.26 When 

establishing a new index, Markit creates a Liquidity List after each publication of the 6 month 

Analysis Top 1,000 Single Names report published by DTCC.27 Markit creates the Liquidity List 

by using the average weekly trading activity measured in the then-current DTCC report and: (a) 

determining all entities for which single-name CDS are traded under the Standard North 

American Corporate Transaction Type (as defined in the 2003 ISDA Credit Derivatives 

Definitions); (b) including on the list the entities that have been assigned a Relevant Rating of 

below “BBB-” or “Baa3”; (c) ranking the entities resulting from (a) and (b) from the most liquid 

to the least liquid, based on the notional market risk activity as listed in the relevant DTCC 

report.28 Markit then uses certain general criteria, exclusions, and inclusions detailed in the 

Rules to create a new HY Index.29 Markit publishes the Provisional HY Index on its website for 

 

19 See id. at 3-4. 

20 See id. at 4. 

21 See id. at 5. 

22 See id. 

23 See id. at 5-6.

24 See id.

25 See Markit CDX High Yield & Markit CDX Investment Grade Index Rules, March 2013, available at 

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20HY%20and%20IG%20Rules%20Mar%202013.pdf. 

26 See id. at 3.

27 See id. at 5.

28 See id. at 6.

29 See id. at 6-9. 
comment.30

 Based on comments, Markit determines whether amendments are necessary.31 

After the composition of the HY Index has been finalized, Markit will identify a single reference 

obligation for each entity in the HY Index, senior in priority of payment, based on the Reference 

Entity Database.32 Markit then publishes the new index.

• North American Investment Grade CDX Index

The composition of Markit’s North American Investment Grade CDX Index is determined by 

Markit in accordance with the rules and methodologies set forth in Markit CDX High Yield & 

Markit CDX Investment Grade Index Rules.33 

Markit’s North American Investment Grade CDX Index is composed of one hundred and twenty 

five of the most liquid North American entities with investment grade credit ratings that trade 

in the CDS market.34 When establishing a new index, Markit creates a Liquidity List after each 

publication of the 6 month Analysis Top 1,000 Single Names report published by DTCC.35 Markit 

creates the Liquidity List by using the average weekly trading activity measured in the thencurrent DTCC report and: (a) determining all entities for which single-name CDS are traded 

under the Standard North American Corporate Transaction Type (as defined in the 2003 ISDA 

Credit Derivatives Definitions); (b) including on the list the entities that have been assigned a 

Relevant Rating of “BBB-” or “Baa3” or above; (c) ranking the entities resulting from (a) and (b) 

from the most liquid to the least liquid, based on the notional market risk activity as listed in 

the relevant DTCC report.36 Markit then uses certain general criteria, exclusions, and inclusions 

detailed in the Rules to create a new IG Index.37 Markit publishes the Provisional IG Index on its 

website for comment.38 Based on comments, Markit determines whether amendments are 

necessary.39 After the composition of the IG Index has been finalized, Markit will identify a 

single reference obligation for each entity in the IG Index, senior in priority of payment, based 

on the Reference Entity Database.40 Markit then publishes the new index.

• Markit CDX HVOL Sub-index

 

301 See id. at 9.

31 See id.

32 See id. at 14.

33 See “Markit CDX High Yield & Markit CDX Investment Grade Index Rules, March 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-indexannexes/Markit%20CDX%20HY%20and%20IG%20Rules%20Mar%202013.pdf. 

34 See id. at 3.

35 See id. at 10.

36 See id. 

37 See id. at 10-13.

38 See id. at 13.

39 See id.

40 See id. at 14.
The Markit CDX HVOL is a sub-index of the IG Index.41

 The CDX HVol comprises the thirty 

entities in the IG Index with the widest five-year average CDS spreads over the last ninety days 

prior to the date the HVol index is determined.42 

• CDX.NA.XO

Although no further roll dates will occur for the CDX.NA.XO Index, the existing series is 

governed by the Index Methodology for the CDX Indices published on August 31, 2007. 43 The 

XO Index is composed of thirty-five entities that have an “Eligible Rating” and are either 

domiciled in North America or have a majority of their outstanding bonds and loans 

denominated in USD.44 The composition of the XO Index is determined based on submissions 

my each member of Markit that elects to participate in the determination of the XO Index on a 

continuing basis.45 An “Eligible Rating” for the XO Index means: (i) a crossover (7B) rating 

(i.e., a rating in the BBB/Baa rating category by one of S&P, Moody’s or Fitch and in the BB/Ba 

rating category by the other two); (ii) a 6B rating (i.e., a rating in the BB/Ba rating category by 

S&P, Moody’s and Fitch); (iii) a rating in the BBB/Baa rating category by one of S&P, Moody’s or 

Fitch, a rating in the BB/Ba category by one of the other two, and no rating by the other agency; 

or (iv) a rating in the BB/Ba rating category by one or two of S&P, Moody’s and Fitch and no 

rating by the other(s).46 

• iTraxx Asia ex-Japan Index

MarketAxess SEF Corporation currently offers a product based on the iTraxx Asia ex-Japan third 

series. This series is governed by the Dow Jones iTraxx Portfolio Rules of Construction. 47 To 

determine the composition of the Dow Jones iTraxx Asia ex-Japan third series, each market 

maker submitted a list of the most liquid Asian CDS names based on trading volumes of the 

twelve months prior to its publication.48 Names were selected to form each of the regional 

sub-indices.49 DJ iTraxx Korea comprised eight names; DJ iTraxx Greater China was required to 

have nine constituents with a minimum of two each from China, Hong Kong, and Taiwan; DJ 

iTraxx Rest of Asia comprised thirteen names from the remaining Asian countries. 50 The 

 

41 See id. at 16.

42 See id.

43 See “Index Methodology for the CDX Indices,” available at

https://www.markit.com/assets/en/docs/products/data/indices/credit-and-loan-indices/rules/Markit-CDX-LCDXRules.pdf. 

44 See id. at 9.

45 See id. 

46 See id.

47 See “Dow Jones iTraxx –Product Descriptions Asia ex-Japan, Australia & Japan CDS Indices,” included as 

Appendix B hereto.

48 See id. at 3. 

49 See id.

50 See id.
regional sub-indices were aggregated to form DJ iTraxx Asia ex-Japan.51

 DJ iTraxx Asia ex-Japan 

includes both investment grade and non-investment grade names.52 

• iTraxx Asia ex-Japan IG Index

The composition of the iTraxx Asia ex-Japan IG Index is determined by Markit in accordance 

with the rules and methodologies set forth in iTraxx Asia ex-Japan Index Rules.53 The iTraxx 

Asia ex-Japan index is composed of forty liquid Asian (excluding Japanese) entities with 

investment grade credit ratings that trade in the CDS market.54 When establishing a new index, 

Markit creates the iTraxx Asia ex-Japan Index Liquidity List after each publication of the 6 month 

Analysis Top 1,000 Single Names report published by DTCC.55 Markit creates the Liquidity List 

by using the average weekly trading activity measured in the then-current DTCC report and: (a) 

determining all entities that: (i) are incorporated in Asia (excluding Japan); (ii) demonstrate 

trading activity greater than zero during the last eight weeks; (iii) have an investment grade 

Relevant Rating as defined in the iTraxx Asia ex-Japan Index Rules; (b) ranking those entities 

meeting the criteria in (a), from the most liquid to the least liquid, based on the notional market 

risk activity as listed in the relevant DTCC Report.56 If fewer than forty eligible entities are 

identified, Markit will follow procedures set forth in the iTraxx Asia ex-Japan Index Rules.57 

Markit publishes the Provisional iTraxx Asia ex-Japan Index on its website for comment.58 

Based on comments, Markit determines whether amendments are necessary.59 Markit then 

publishes the new index.

 

51 See id.

52 See id.

53 See “Markit iTraxx Asia ex-Japan Index Rules, August 2013” available at 

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Asia%20ex-Japan%20S20%20Rulebook%20Final%20v2.pdf.

54 See id. at 1.

55 See id. at 4.

56 See id. at 5.

57 See id. 

58 See id. at 6.

59 See id.
• iTraxx Australia

The iTraxx Australia Index is determined by Markit in accordance with the rules and 

methodologies set forth in iTraxx Australia Index Rules.60 The iTraxx Australia Index is 

composed of twenty-five liquid Australian entities with investment grade credit ratings that 

trade in the CDS market or have significant domestic bond issuance.61 When establishing a new 

index, Markit creates the iTraxx Australia Index Liquidity List after each publication of the 6 

month Analysis Top 1,000 Single Names report published by DTCC.62 Markit creates the 

Liquidity List by using the average weekly trading activity measured in the then-current DTCC 

report and determining all entities for which the following criteria are satisfied: (a) only entities 

from the Australia DC region as specified in the DTCC Report will be considered for inclusion; (b) 

entities must be incorporated in Australia; (c) no more than five bank entities may be included 

in the index; (d) entities must demonstrate trading activity greater than zero during the last 

eight weeks; (e) entities must be rated investment grade by Fitch, Moody’s, or S&P (this 

translates to a minimum rating of Baa3 from Moody’s and BBB- from Fitch or S&P.63 Markit 

then ranks those entities from the most liquid to the least liquid, based on the notional market 

risk activity as listed in the relevant DTCC Report.64 Markit publishes the Provisional iTraxx 

Australia Index on its website for comment.65 Based on comments, Markit determines whether 

amendments are necessary.66 Markit then publishes the new index.

• iTraxx CEEMEA Index

The composition of the iTraxx CEEMEA Index is determined by Markit in accordance with the 

rules and methodologies set forth in Markit iTraxx CEEMEA Index Rules. 67 The iTraxx CEEMEA 

Index is composed of twenty-five corporate and quasi-sovereign entities from Central and 

Eastern European, Middle Eastern, and African countries.68 No more than forty percent of the 

index can be included from any one sector or jurisdiction.69 To be eligible for inclusion, entities 

must have a minimum of 500 million USD equivalent of debt outstanding.70 In establishing a 

new series of the index, Markit asks market participants which entities they would like to 

remove from the existing index.71 All entities with more than fifty percent of the votes from the 

 

60 See “Markit iTraxx Australia Rules, August 2013” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Australia%20S20%20Rulebook%20Final%20v2.pdf. 

61 See id. 

62 See id. at 4.

63 See id. at 4-5. 

64 See id. at 5.

65 See id. at 6.

66 See id.

67 See “Markit iTraxx CEEMEA Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20CEEMEA%20S20%20Rulebook%20Final.pdf. 

68 See id. at 4. 

69 See id. 

70 See id.

71 See id.
market participants are excluded from the index.72

 Next, Markit requests that dealers submit 

lists of entities market participants would like to include in the new series of the iTraxx CEEMEA 

Index.73 Markit will tally votes and select entities for membership in the new series until the 

number of names in the index is twenty-five.74 

• iTraxx CEEMEA Corp

The iTraxx CEEMEA Corp Index is governed by the rules set forth in the Markit iTraxx CEEMEA 

Index Rules.75 The iTraxx CEEMEA Corp Index comprised of corporate entities included in the 

iTraxx CEEMEA Index. The rules and methodologies applicable to the iTraxx CEEMEA Index are 

described above. 

• iTraxx CEEMEA Ex-EU

The iTraxx SovX CEEMEA ex-EU Index is determined by Markit in accordance with the rules and 

methodologies set forth in Markit iTraxx CEEMEA Index Rules.76 The iTraxx SovX CEEMEA ex-EU 

Index is a tradable index consisting of constituents of the iTraxx SovX CEEMEA Index which are 

not European Union member states or expected to become European Union member states 

during the six month period following the index roll.77 

 

72 See id.

73 See id.

74 See id.

75 See “Markit iTraxx CEEMEA Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20CEEMEA%20S20%20Rulebook%20Final.pdf. 

76 See “Markit iTraxx CEEMEA Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20CEEMEA%20S20%20Rulebook%20Final.pdf. 

77 See id. at 5. 
• iTraxx Europe Index

The composition of the iTraxx Europe Index is determined by Markit in accordance with the 

rules and methodologies set forth in Markit iTraxx Europe Index Rules.78 

The Markit iTraxx Europe Index is composed of one hundred twenty five liquid European 

entities with investment grade credit ratings that trade in the CDS market.79 When establishing 

a new index, Markit creates the Markit iTraxx Europe Liquidity List after each publication of the 

6 month Analysis Top 1,000 Single Names report published by DTCC.80 Markit creates the 

Liquidity List by using the average weekly trading activity measured in the then-current DTCC 

report and: (a) determining all entities that: (i) are incorporated in Europe; (ii) are classified with 

the “DC Region” as “Europe” in the DTCC Report; (iii) demonstrate trading activity greater than 

zero during the last eight weeks; (iv) have an investment grade Relevant Rating as defined in 

the Markit iTraxx Europe Index Rules; (b) ranking those entities meeting the criteria in (a), from 

the most liquid to the least liquid, based on the notional market risk activity as listed in the 

relevant DTCC Report.81 Markit then uses certain general criteria detailed in the Markit iTraxx 

Europe Index Rules to create a new iTraxx Europe Index.82 Markit publishes the Provisional 

Markit iTraxx Europe Index on its website for comment.83 Based on comments, Markit 

determines whether amendments are necessary.84 Markit then publishes the new index.

• iTraxx Senior Financials

The Markit iTraxx Senior Financials comprises the twenty five financial entities from the Markit 

iTraxx Europe index referencing senior debt.85 It is a sub-index of the Markit iTraxx Europe 

Index and is governed by the Markit iTraxx Europe Index Rules.86 

 

78 See “Markit iTraxx Europe Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Europe%20Index%20Rules%20S19.pdf. 

79 See id. at 3.

80 See id. at 6.

81 See id.

82 See id. at 6-8.

83 See id. at 8.

84 See id.

85 See id. at 8. 

86 See id.
• iTraxx Subordinated Financials

The Markit iTraxx Subordinated Financials comprises the twenty five financial entities from the 

Markit iTraxx Europe index referencing subordinate debt.87 It is a sub-index of the Markit iTraxx 

Europe Index and is governed by the Markit iTraxx Europe Index Rules. 88 

• iTraxx HiVol

iTraxx HiVol comprises the thirty entities with the widest five-year CDS spreads from the Markit 

iTraxx Europe Non-Financials Index. The average of five-year mid-spreads, published by Markit, 

calculated over the last ten business days of the month prior to the month in which the Roll 

Date occurs, determine eligibility. iTraxx HiVol is a sub-index of the Markit iTraxx Europe Index 

and is governed by the Markit iTraxx Europe Index Rules.89

• iTraxx Japan

The composition of the iTraxx Japan Index is determined by Markit in accordance with the rules 

and methodologies set forth in the Markit iTraxx Japan Index Rules.90 The Markit iTraxx Japan 

main index comprises fifty investment grade rated Japanese entities.91 When establishing a 

new index, Markit creates the Markit iTraxx Japan Liquidity List after each publication of the 6 

month Analysis Top 1,000 Single Names report published by DTCC.92 Entities on the iTraxx 

Japan Liquidity List must: (a) be incorporated in Japan; and (b) demonstrate trading activity 

greater than zero during the last eight weeks.93 At the time of an iTraxx Japan index roll, the 

composition of the index is initially set to be the same as the previous series. 94 Any entity not 

rated Investment Grade will be excluded and replaced by the next most eligible entity. 95 

Existing constituents will be excluded from the new index if they are either: (a) not part of the 

iTraxx Japan Liquidity List; or (b) if more than seventy five entities are available on the iTraxx 

Japan Liquidity List and they are ranked seventy sixth or below. 96 The reference obligations for 

the reference entities are obtained from Markit Group’s Reference Entity Database in 

conjunction with input from Markit iTraxx market makers.97 For names in the overall index, 

senior reference obligations are used where possible.98

 

87 See id. 

88 See id.

89 See id.

90 See “Markit iTraxx Japan Index Rules, July 2013” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Japan%20S20%20Rulebook.pdf. 

91 See id. at 3. 

92 See id. 

93 See id. 

94 See id. 

95 See id. 

96 See id. 

97 See id. 

98 See id. 
• iTraxx SovX Western Europe Index

The iTraxx SovX Western Europe Index is determined by Markit in accordance with the Markit 

iTraxx SovX Index Rules.99 The Markit iTraxx SovX Western Europe Index is a tradable index 

comprised of up to fifteen equally weighted sovereign constituents from an eighteen name 

universe of European countries that are traded on Western European documentation. 100 The 

eighteen name universe comprises Eurozone countries that are traded on Western European 

documentation (Austria, Belgium, Cyprus, Finland, France, Germany, Greece, Ireland, Italy, 

Luxembourg, Malta, Netherlands, Portugal and Spain) plus Denmark, Norway, Sweden and 

the United Kingdom.101 From that list, the iTraxx SovX Western Europe Index is composed of 

the fifteen countries (or fewer if fifteen are not available) with the largest sum of weekly 

trading activity (as measured in the DTCC Trade Information Warehouse) over the last six 

months.102 The list will be published on Markit’s website after selection. 103

• iTraxx SovX Asia Pacific Index

The iTraxx SovX Asia Pacific Index is determined by Markit in accordance with the Markit iTraxx 

SovX Index Rules.104 The Markit iTraxx SovX Asia Pacific Index is a tradable index comprised of 

the ten most liquid sovereign entities from the Asia Pacific region.105 The eleven name universe 

of Asia Pacific countries includes Australia, China, Hong Kong, Indonesia, Japan, Korea, 

Malaysia, New Zealand, Philippines, Thailand, and Vietnam. From that list, the iTraxx SovX Asia 

Pacific Index is composed of the ten countries with the largest sum of weekly trading activity 

(as measured in the DTCC Trade Information Warehouse) over the last six months. 106 The 

number of index constituents is set at ten but may be changed from time to time at an index 

roll upon reasonable notice.107 The list will be published on Markit’s website after selection. 108

• iTraxx Crossover Index

 

99 See “MarkitiTraxx SovX A Global Sovereign CDS index family, July 2013,” available at https://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/sovx/Markit%20iTraxx%20SovX%20Series%2010%20Rulebook_Final.pdf. 

100 See id. at 4. 

101 See id.

102 See id.

103 See id.

104 See “MarkitiTraxx SovX A Global Sovereign CDS index family, July 2013,” available at https://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/sovx/Markit%20iTraxx%20SovX%20Series%2010%20Rulebook_Final.pdf. 

105 See id. at 7. 

106 See id.

107 See id.

108 See id.
The composition of the iTraxx Crossover Index is determined by Markit in accordance with the 

rules and methodologies set forth in the Markit iTraxx Europe Index Rules.109 

The Markit iTraxx Crossover Index is composed of up to fifty European entities with noninvestment grade credit ratings that trade in the CDS market.110

 When establishing a new 

index, Markit creates the Markit iTraxx Crossover Liquidity List after each publication of the 6 

month Analysis Top 1,000 Single Names report published by DTCC.111 Markit creates the 

Liquidity List by using the average weekly trading activity measured in the then-current DTCC 

report and: (a) determining all entities that: (i) are incorporated in Europe; (ii) are classified with 

the “DC Region” as “Europe” in the DTCC Report; (iii) demonstrate trading activity greater than 

zero during the last eight weeks; (iv) have a below investment grade Relevant Rating as defined 

in the Markit iTraxx Europe Index Rules; (v) are not guaranteed or controlled by (directly or 

indirectly) and do not guarantee or control (directly or indirectly) an affiliate that has a higher 

ranking on the Markit iTraxx Crossover Liquidity List and otherwise satisfies the relevant 

criteria; (b) ranking those entities meeting the criteria in (a), from the most liquid to the least 

liquid, based on the notional market risk activity as listed in the relevant DTCC Report. 112 

Markit then uses certain general criteria detailed in the Markit iTraxx Europe Index Rules to 

create a new iTraxx Crossover Index.113 If fewer than fifty entities are available from the Markit 

iTraxx Crossover Liquidity List that satisfy the criteria, the Markit iTraxx Europe Index Rules 

provide for the creation of a Supplementary List.114 The list of entities resulting from the steps 

above will be published on Markit’s website for comment.115 Based on comments, Markit 

determines whether amendments are necessary.116 Markit then publishes the new index.

 

109 See “Markit iTraxx Europe Index Rules, August 2013,” available at

http://www.markit.com/assets/en/docs/products/data/indices/credit-and-loanindices/iTraxx/Markit%20iTraxx%20Europe%20Index%20Rules%20S19.pdf. 

110 See id. at 3.

111 See id. at 9.

112 See id.

113 See id. at 10-11.

114 See id. at 11.

115 See id. at 14.

116 See id. 
CDX.EM Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

CDX.EM index made up of sovereign issuers from Latin America, Eastern Europe, the 

Middle East, Africa and Asia as published by Markit from time to time at a 

predetermined level as agreed to by the counterparties

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency USD

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

CDX.NA.HY Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

CDX.NA.HY index made up one hundred (100) liquid North American entities with high 

yield credit ratings as published by Markit from time to time at a predetermined level as 

agreed to by the counterparties

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency USD

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

CDX.NA.IG Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

CDX.NA.IG index made up of one hundred twenty five (125) of the most liquid North 

American entities with investment grade credit ratings as published by Markit from time 

to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency USD

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

iTraxx Europe Option Contract
Contract Description Agreement to buy or sell the right to exercise into a swap on the 

iTraxx Europe index made up of one hundred twenty five (125) of the most liquid 

European entities with investment grade credit ratings as published by Markit from time 

to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency EUR

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

iTraxx Europe Crossover Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

iTraxx Europe Crossover index made up of fifty (50) European entities with noninvestment grade credit ratings as published by Markit from time to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency EUR

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European

iTraxx Europe Senior Financials Option Contract

Contract Description Agreement to buy or sell the right to exercise into a swap on the 

iTraxx Europe Senior Financials index made up of twenty five (25) European financial 

entities from the iTraxx Europe index referencing senior debt as published by Markit 

from time to time

Contract Months Any calendar month

Price Quotation Option premium is quoted in cents

Currency EUR

Listing Cycle Tenors of 1 through 10 years based on liquidity

Series All Series not yet expired, initiated with series 1, based on liquidity

First Trade Date Date of contract listing

Last Trade Date (Expiration Date) The third (3rd) Wednesday of the contact month, 

cannot be longer in duration than the last trade date of the referenced index

Option Style European
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