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
LEA Lear Corp Senior
MGG MGM MIRAGE Senior
NCX Nova Chems Corp Senior
QUS-Corp Qwest Corp Senior
RCL Royal
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.
for more information on structured products please click here
