IG10 Summary

Roll Date: March 25th, 2008

The official name of this index is CDX.NA.IG.10. It includes 125 equally weighted reference entities that are liquid in the Investment Grade CDS market.

Coupon: 155 bps for 5 year, 150 bps for 7 and 10 year

The IG CDX index trades based on spread. For example, ig10 recently closed around 150 bps. This means that if you go long the index, you receive the annual coupon, paid quarterly, as well as an upfront to adjust the equivalent spread to the traded level.

Credit Events: When a Credit Event, such as bankruptcy or failure to pay, occurs on one of the names, if you are long the index you are responsible for the loss. The loss depends on the recovery rate of the name, which is determined in a market auction (click here for auction primer). For example, if the recovery rate was 40%, the loss would be 60%, so you would owe 60% * 1% weight of the name * your notional of trade.

The IG10 constituents are1:

Aetna Inc.
Alcoa Inc.
Allstate Corp
Altria Gp Inc
Amern Elec Pwr Co Inc
Amern Express Co
Amern Intl Gp Inc
Amgen Inc.
Anadarko Pete Corp
Arrow Electrs Inc
AT&T Inc
AT&T Mobility LLC
Autozone Inc
Baxter Intl Inc
Black & Decker Corp
Boeing Cap Corp
Bristol Myers Squibb Co
Brunswick Corp
Burlington Nthn Santa Fe Corp
Campbell Soup Co
Cap One Bk
Cardinal Health Inc
Carnival Corp
Caterpillar Inc
CBS Corp
CenturyTel Inc
Chubb Corp
Cigna Corp
CIT Gp Inc
Comcast Corp
Computer Sciences Corp
ConAgra Foods Inc
Constellation Engy Gp Inc
Cox Comms Inc
CSX Corp
CVS Caremark Corp
Darden Restaurants Inc
Deere & Co
Devon Engy Corp
Dominion Res Inc
Dow Chem Co
Duke Energy Carolinas LLC
E I du Pont de Nemours & Co
Eastman Chem Co
Embarq Corp
Fed Home Ln Mtg Corp
Fed Natl Mtg Assn
FirstEnergy Corp
Fortune Brands Inc
Gannett Co Inc DE
Gen Elec Cap Corp
Gen Mls Inc
Goodrich Corp
Halliburton Co
Hartford Finl Svcs Gp Inc
Hewlett Packard Co
Home Depot Inc
Honeywell Intl Inc
Ingersoll Rand Co
Intl Business Machs Corp
Intl Lease Fin Corp
Intl Paper Co
Istar Finl Inc
J C Penney Co Inc
Kohls Corp
Kraft Foods Inc
The Kroger Co.
Ltd Brands Inc
Liz Claiborne Inc
Lockheed Martin Corp
Loews Corp
M D C Hldgs Inc
Macy s Inc
Marriott Intl Inc
Marsh & Mclennan Cos Inc
Masco Corp
MBIA Ins Corp
McDonalds Corp
McKesson Corp
MeadWestvaco Corp
MetLife Inc
Motorola Inc
Natl Rural Utils Coop Fin Corp
NY Times Co
Newell Rubbermaid Inc
News America Inc
Nordstrom Inc
Norfolk Sthn Corp
Northrop Grumman Corp
Omnicom Gp Inc
Progress Engy Inc
Quest Diagnostics Inc
R R Donnelley & Sons Co
Radian Gp Inc
Raytheon Co
Rio Tinto Alcan Inc
Rohm & Haas Co
Safeway Inc
Sara Lee Corp
Sempra Engy
Sherwin Williams Co
Simon Ppty Gp L P
Southwest Airls Co
Sprint Nextel Corp
Starwood Hotels & Resorts Wwide Inc
Target Corp
Textron Finl Corp
Time Warner Inc
Toll Bros Inc
Transocean Inc
Un Pac Corp
Unvl Health Svcs Inc
Valero Energy Corp
Verizon Comms Inc
Wal Mart Stores Inc
Walt Disney Co
WA Mut Inc
Wells Fargo & Co
Weyerhaeuser Co
Whirlpool Corp
XL Cap Ltd