CDS IndexCo LLC (CDS IndexCo), a consortium of 16 investment banks licensed as market makers in the CDX indices, and Markit Group Limited (Markit), the leading provider of independent data, portfolio valuations and OTC derivatives trade processing, today announced the final portfolio construction for the CDX North America Investment Grade High Volatility Index (CDX.NA.IG.HVOL) which is set to roll on September 20, 2007. The portfolio selection process was conducted by Markit, the index administrator, with input from the member banks of the CDS IndexCo consortium.
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, Deutsche Bank, Goldman Sachs, HSBC, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia.
FINAL PORTFOLIO CONSTRUCTION OF THE CDX NORTH AMERICA INVESTMENT GRADE HIGH VOLATILITY INDEX (CDX.NA.IG.HVOL)
The following table outlines the companies that will be added to and removed from the CDX.NA.IG.HVOL Index. The changes to the index will be effective as of the roll date.
The index is scheduled to roll every six months in order to rebalance the portfolio as necessary.
To view the underlying constituents of each index, daily prices and spreads, constituent information and documentation for CDX.NA.IG.HVOL, please go to www.markit.com.