The Dow Jones CDX Family of Indexes Rolls its US Investment Grade and Emerging Market Credit Derivative Indexes on March 21; US High Yield Index Expected to Roll on April 13
Also Announced is Upcoming Launch of the Dow Jones CDX.EM Diversified Index Which Will Allow Investors to Gain Additional Exposure to a Broad Portfolio of EM Names
New York, 15 March 2005 - CDS IndexCo LLC and Dow Jones Indexes, publishers of the Dow Jones CDX family of credit derivative indexes, today announced the upcoming roll of the Dow Jones CDX US Investment Grade and Dow Jones CDX Emerging Market credit derivative indexes on March 21, 2005, and the anticipated roll of its Dow Jones CDX US High Yield index on April 13, 2005.1 The roll 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.
Based on client feedback, the maturity date of all North American indexes will be June, not September. For example, five-year indexes will mature on June 20, 2010. The indexes are scheduled to roll every six months, with the next roll planned for September 2005 with a December 2010 maturity.
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.
Dow Jones CDX US Investment Grade and Emerging Market Indexes
The following table outlines the changes in the various indexes which are effective as of the roll date:
| INDEX | ADDED2 | REMOVED3 |
|---|---|---|
| DJ CDX NA IG Series 4 | American Axle & Manufacturing, Inc. Hilton Hotels Corporation Lear Corporation | Bombardier Inc Delphi Corporation The May Department Stores Company |
| DJ CDX NA IG Series 4 HiVol | American Axle & Manufacturing, Inc. Hilton Hotels Corporation Lear Corporation Lennar Corporation | Bombardier Inc Delphi Corporation Halliburton Co Wyeth |
| DJ CDX Emerging Markets Series 3 | No change | No change |
Dow Jones CDX High Yield Index
The Dow Jones CDX US High Yield index (DJ CDX NA HY Series 4) is scheduled to roll on April 13, 2005.1 As stated in the index rules, index composition will be released four days prior to the roll.
Launch of the Dow Jones CDX.EM Diversified Index
CDS IndexCo and Dow Jones Indexes also announced today a broadening of the Dow Jones CDX product range with the launch of the Dow Jones CDX.EM Diversified Index on April 4, 2005.1 The index will consist of 40 emerging market names (30 EM sovereigns and 10 welldiversified top-quality EM corporates). The names in the underlying portfolio will be from Latin America, Eastern Europe/Africa and Asia. The index is equally weighted, giving 2.5% exposure to any single name, and is linked to the five-year CDS spreads of the underlying names. The new index supplements the existing Dow Jones CDX.EM index which was designed as a tradable index that replicates the EM debt market.
As in the investment grade and high yield markets, the member banks of CDS IndexCo are expected to create products based on the Dow Jones CDX.EM Diversified Index. Initially, market makers plan to offer standard tranches, thereby allowing investors to choose where on the risk-return spectrum they want to be located. This will also allow investors to isolate EM correlation as a tradable instrument and brings to the EM asset class the same innovations which drove the growth of the investment grade and high yield indexes.
Eleven firms have agreed to act as market makers for the new Dow Jones CDX.EM Diversified Index and include: ABN AMRO, Barclays, Bear Stearns, Citigroup, Deutsche Bank, Goldman Sachs, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley and UBS.
Please see the "Credit Derivative Indexes" link at www.djindexes.com or go to www.markit.com for more information on the roll, the underlying constituents of each index, daily pricing and the index Annexes. Alternatively, for more information about any of the Dow Jones CDX family of indexes, please contact one of the participating dealers listed below.
Journalists may also e-mail questions regarding this press release to:
PR-Indexes@dowjones.com or contact Sybille A. Reitz, Dow Jones Indexes Public Relations, +1-212-597-5735
Note to Editors:
About CDS IndexCo
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.
About Dow Jones Indexes
Dow Jones Indexes is a premier global provider of investable indexes, including the Dow Jones Averages, the Dow Jones Global Titans 50, the Dow Jones Asian Titans 50, the Dow Jones Sector Titans, the Dow Jones Country Titans Indexes and is co-owner of the Pan-European Dow Jones STOXX Indexes. Dow Jones Indexes is part of Dow Jones & Company, which publishes the world's most vital business and financial news and information.
In addition to Dow Jones Indexes, Dow Jones & Company (NYSE: DJ; dowjones.com) publishes The Wall Street Journal and its international and online editions, Barron's and the Far Eastern Economic Review, Dow Jones Newswires, MarketWatch and the Ottaway group of community newspapers. Dow Jones is co-owner with Reuters Group of Factiva, with Hearst of SmartMoney and with NBC Universal of the CNBC television operations in Asia and Europe. Dow Jones also provides news content to CNBC and radio stations in the U.S.
About Markit
Markit is the leading industry source for asset valuation data and services supporting independent price verification and risk management in global financial and energy markets. Founded in 2001, the company is an independent enterprise with which the world's leading financial institutions and energy traders work strategically to create price transparency. Today, Markit enjoys the sponsorship of 13 financial institutions who manage assets in excess of $10 trillion, and data contribution relationships with over 45 dealing firms. Markit has designed, launched and acquired over 20 financial data services which are now used by over 300 institutions globally. Areas of product expertise and service include an independent valuation perspective on credit default swaps, syndicated loans and OTC derivatives (credit, equity, FX, rates, energy, power, metals and structured products), as well as dividend forecasting and index and ETF management.
1 Subject to change
2 The underlying names which were added to DJ CDX NA IG Series 4 and DJ CDX EMERGING MARKET Series
3 are not present in DJ CDX NA IG Series 3 or DJ CDX EMERGING MARKET Series 2.
4 The underlying names which were not included in DJ CDX NA IG Series 4 and DJ CDX EMERGING MARKET Series 3 remain present in DJ CDX NA IG Series 3 and DJ CDX EMERGING MARKET Series 2.
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