CDW and Dow Jones Indexes have finalised the composition for several indexes including the new Dow Jones CDX US Crossover Index.

The Dow Jones CDX US Crossover Index will consist of 35 equal

CDW and Dow Jones Indexes have finalised the composition for several indexes including the new Dow Jones CDX US Crossover Index.

The Dow Jones CDX US Crossover Index will consist of 35 equally weighted US entities (listed below) or a 2.857 per cent exposure to any name. The ratings required for inclusion are either (i) a crossover (5B) rating (i.e., a rating in the BBB/Baa rating category by one of S&P and Moody’s and in the BB/Ba rating category by the other), (ii) a 4B rating (i.e., a rating in the BB/Ba rating category by both S&P and Moody’s) or (iii) a rating in the BB/Ba rating category by one of S&P and Moody’s and no rating by the other.

Ticker                            Name                                                Tier

ABY                               Abitibi Consol Inc                               Senior

AHC                               Amerada Hess Corp                           Seniot

ARM                               ArvinMeritor Inc                                  Senior

AVT                                Avnet Inc                                           Senior

BOMB                            Bombardier Inc                                  Senior

BOW                              Bowater Inc                                        Senior

CA                                 Comuter Associates Intl Inc                Senior

CTZN                              Ctzns CommsCo                                Seniot

DCN                               Dana Corp                                         Senior

DELBB-America              Delhaize Amer Inc                              Senior

DHI                                DR Horizon Inc                                   Senior

DISH-ESDBS                  EchoStar DBS Corp                           Senior

DTC                               Domtar Inc                                         Senior

EDS                               Electr DataSys Corp                          Senior

EK                                 Eastman Kodak                                 Senior

FLEX                              Flextronics Intl Ltd                              Sub

F-MotorCred                   Ford Motor Cr Co                                Senior

GLW                               Corning Inc                                        Senior

GMAC                            Gen Mtrs Accep Corp                          Senior

GP                                 GA Pac Corp                                      Senior

HCA                               HCA Inc                                             Senior

HOT                               Starwood Hotels & Resorts                  Senior

JCP                                JC Penney Co Inc                              Senior

KBH                               KB Home                                          Senior

KMG                              Kerr Mcgee Corp                                Senior

L                                    Liberty MediaCorp                              Senior

LEA                                Lear Corp                                          Senior

MGG                              MGM MIRAGE                                   Senior

NCX                               Nova Chems Corp                               Senior

QUS-Corp                       Qwest Corp                                        Senior

RCL                                Royal Caribbean Cruises                    Senior

SHC-Acceptance             Sears Roebuck Accep Corp                Senior

SUNW                            Sun Microsystems Inc                        Senior

TXU                                TXU Corp                                           Senior

UNM                               UnumProvident Corp                           Senior

Sixteen firms have agreed to act as market makers for the new Dow Jones CDX.NA.XO Index and include:  ABN AMRO; Bank of America; Barclays Capital; Bear Stearns; BNP Paribas; Citigroup; Credit Suisse First Boston; Deutsche Bank; Goldman Sachs; HSBC; JPMorgan; Lehman Brothers; Merrill Lynch; Morgan Stanley; UBS; and Wachovia.

CDS IndexCo LLC and Dow Jones Indexes have also announced the final portfolio constructions for the Dow Jones CDX NA Investment Grade (DJ CDX.NA.IG) and the Dow Jones CDX NA Investment Grade High Volatility Index (DJ CDX.NA.IG.HVOL). The portfolio selection process was conducted by Markit, the index administrator, with input from the member banks of the CDS IndexCo consortium and approved by Dow Jones Indexes.

The member banks that are part of the CDS IndexCo consortium include: ABN AMRO, Bank of America, Barclays Capital, Bear Stearns, BNP Paribas, Citigroup, Credit Suisse First Boston, Deutsche Bank, Goldman Sachs, HSBC, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia.

INDEX                                 ADDED                                                            REMOVED

 

DJ CDX NA IG                    The Gap Inc.                                                  Eastman Kodak Co

                                            IAC InterActive Corp.                                     Ford Motor Credit Co

                                            Knight Ridder Inc.                                         General Motors Acceptance Corp

                                            Limited Brands Inc.                                        Kerr McGee Corp

                                            Marsh & McLennan Cos. Inc.                       MBNA Corp

                                            Radio Shack Corp.                                        Liberty Media Corp

                                            Sara Lee Corp.                                               Lear Corp

                                            Toll Bros. Inc.                                                 Maytag Corp

                                            Sabre Holdings Corp                                    Sears Roebuck Acceptance Corp

 

(DJ CDX.NA.                      Albertsons Inc                                                Comcast Cable Comms LLC

IG.HVOL                             ConAgra Foods Inc                                       Eastman Kodak Co

                                            The Gap Inc                                                   Ford Motor Credit Co

                                            IAC InterActive Corp                                      FirstEnergy Corp

                                            International Paper Co.                                 Sprint Corp

                                            Jones Apparel Group Inc                             General Motors Acceptance Corp

                                            Knight Ridder Inc                                          Kerr McGee Corp

                                            Limited Brands Inc                                         Lear Corp

                                            Marsh & McLennan Cos Inc                         Liberty Media Corp

                                            Radio Shack Corp.                                        Southwest Airlines Co

                                            SUPERVALU INC.                                           McKesson Corp

                                            Toll Bros. Inc                                                  Maytag Corp

                                            Sabre Holdings Corp                                    News America Inc

                                            Whirlpool Corp                                              Sears Roebuck Acceptance Corp

                                            XL Cap. Ltd                                                     Tyson Foods Inc

 

The index is scheduled to roll every six months in order rebalance the portfolio as necessary. 

Background notes: CDS IndexCo is a consortium of 16 investment banks which are licensed to be market makers in the Dow Jones CDX indexes.  The market makers include:  ABN AMRO, Bank of America, Barclays Capital, Bear Stearns, BNP Paribas, Citigroup, Credit Suisse First Boston, Deutsche Bank, Goldman Sachs, HSBC, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia.

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