CME Credit Index Event Contract to Launch in May
CHICAGO, March 16, 2007 /PRNewswire-FirstCall via COMTEX News Network/ -- CME, the world's largest and most diverse financial exchange today announced that CME Credit Index Event contracts are scheduled to begin trading on the CME Globex(R) electronic trading platform on Sunday, May 6, 2007, for a trade date of May 7, pending CFTC approval. The contract will be based on the CME North American Investment Grade High Volatility Index Series 1, which is comprised of 32 investment-grade, high-volatility reference entities. CME Credit Index Event contracts represent the first exchange-traded index product, based on North American reference entities, available to the credit derivatives market.
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 BBB Consumer Cyclical 3.125% Worldwide Inc 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.
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