Credit derivatives are the fastest growing segment of the over-the-counter (OTC) derivatives market with more than $26 trillion notional value outstanding. The CME Credit Index Event contract will provide a transparent and liquid means of acquiring protection against the two most frequently declared credit events in this market, bankruptcy, and failure to pay.
"The CME Credit Index Event Contract will bring greater transparency as well as operational and balance sheet efficiencies to the credit derivatives market," said Robin Ross, Managing Director, CME Interest Rate Products. "We believe that our listed credit derivatives product will complement existing OTC products and bring new participants into the credit derivatives marketplace."
The 32 reference entities were selected based on their credit rating and are among the most actively traded names in the five-year credit default swap market. CME will constitute the index semiannually, in March and September, with original terms up to five years. The following reference entities are currently included in the index:
CME North American Investment Grade High-Volatility Index, Series 1
|
|
Reference Entity |
Rating |
Industry Sector |
Weight (W) |
|
1 |
Arrow Electronics Inc |
BBB |
Consumer Cyclical |
3.125% |
|
2 |
Autozone Inc |
BBB |
Consumer Cyclical |
3.125% |
|
3 |
CBS Corporation |
BBB |
Communications and Technology |
3.125% |
|
4 |
Centex Corp |
BBB |
Communications and Technology |
3.125% |
|
5 |
CenturyTel Inc |
BBB |
Consumer Cyclical |
3.125% |
|
6 |
Cox Communications Inc |
BBB |
Communications and Technology |
3.125% |
|
7 |
Embarq Corp |
BBB- |
Consumer Cyclical |
3.125% |
|
8 |
Expedia Inc |
BBB- |
Consumer Cyclical |
3.125% |
|
9 |
Federated Department Stores |
BBB |
Consumer Cyclical |
3.125% |
|
10 |
InterActiveCorp |
BBB |
Consumer Cyclical |
3.125% |
|
11 |
International Paper Co |
BBB |
Communications and Technology |
3.125% |
|
12 |
JC Penney Co |
BBB- |
Consumer Cyclical |
3.125% |
|
13 |
Jones Apparel Group Inc |
BBB |
Consumer Cyclical |
3.125% |
|
14 |
Kroger Co |
BBB |
Consumer Cyclical |
3.125% |
|
15 |
Lennar Corp |
BBB |
Communications and Technology |
3.125% |
|
16 |
Limited Brands |
BBB |
Consumer Cyclical |
3.125% |
|
17 |
MeadWestvaco Corp |
BBB |
Materials |
3.125% |
|
18 |
Pulte Homes Inc |
BBB |
Consumer Cyclical |
3.125% |
|
19 |
R R Donnelley & Sons Co |
BBB |
Industrial |
3.125% |
|
20 |
RadioShack Corp |
BBB |
Industrial |
3.125% |
|
21 |
Residential Capital Corp |
BBB |
Consumer Cyclical |
3.125% |
|
22 |
Safeway Inc |
BBB |
Consumer Stable |
3.125% |
|
23 |
Sara Lee Corp |
BBB |
Consumer Stable |
3.125% |
|
24 |
Sherwin-Williams Co |
A- |
Materials |
3.125% |
|
25 |
Sprint Nextel |
BBB+ |
Communications and Technology |
3.125% |
|
26 |
Starwood Hotels & Resorts Worldwide Inc |
BBB |
Consumer Cyclical |
3.125% |
|
27 |
Temple-Inland Inc |
BBB |
Materials |
3.125% |
|
28 |
The Gap Inc |
BBB |
Consumer Cyclical |
3.125% |
|
29 |
Time Warner Inc |
BBB |
Consumer Cyclical |
3.125% |
|
30 |
Toll Brothers Inc |
BBB |
Consumer Cyclical |
3.125% |
|
31 |
Viacom |
BBB |
Communications and Technology |
3.125% |
|
32 |
Whirlpool Corp |
BBB |
Industrial |
3.125% |
For more information on CME Credit Index Event contracts please visit http://www.cme.com/creditevent .
CME ( http://www.cme.com ) is the world's largest and most diverse financial exchange. As an international marketplace, CME brings together buyers and sellers on the CME Globex(R) electronic trading platform and on its trading floors. CME offers futures and options on futures in these product areas: interest rates, stock indexes, foreign exchange, agricultural commodities, energy, and alternative investment products such as weather, real estate and economic derivatives. CME is a wholly-owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE, Nasdaq: CME), which is part of the Russell 1000(R) Index and the S&P 500(R) Index.
