On April 4, 2005 Dow Jones & Company, Inc. presented emerging market credit derivative index- DJ CDX.EM Diversified

/IRBIS, Andrey Tsalyuk, April 25, 05/ - As informed previously, on April 4, 2005 Dow Jones & Company, Inc. (DJ) announced it rolled the Dow Jones CDX index in which it included international bonds of Kazkommertsbank JSC (Almaty). Below is the general information about the index, prepared by IRBIS agency. Dow Jones CDX.EM Deversified Index (DJ CDX.EM Deversified) allows investors to gain additional exposure to a broad portfolio of emerging market names. The index consists of 40 emerging market names with 29 EM sovereigns and 10 well diversified top-quality EM corporates. 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. Out of CIS countries only Russia and the Ukraine got included in the index at sovereign level and Kazkommertsbank JSC and Gazprom OJSC - at corporate level. As Kazkommertsbank JSC representatives JSC say, only long-term eurobond due 2014, issued through Netherlands-based SPV Kazkomerts Interational B.V. (XS0190240324, $400 m., Apr 7, 04 - Apr 7, 14, semi-annual coupon of 7.875% APR) was included in the composition of the index. As there are no Kazakh long-term sovereign issues outstanding currently, euronotes of the government were not included in the index. DJ CDX.EM Diversified allows investors to gain additional exposure to a broad portfolio of emerging market names. The names in the underlying portfolio will be from Latin America, Eastern Europe/Africa and Asia. The index will be fixed just like LIBOR rates are fixed. It is calculated as follows: each day between 4 and 5 p.m. DJ agent fixes the quotes of securities included in the index as per data of index market-makers. Among received quotes the lowest and the highest are cut off, whereas the remaining quotes are used to calculate an average, which is then published as the value of the index. 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. As DJ informs, 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. For example, issuers with low ratings (from 'B-' to 'B+') will be included in the first tranche with the yield averaging 0% to 10% and being the highest for all three tranches. Second tranche will include higher rated securities ('BB'- to 'BB+'), and hence producing less returns. If tranches are created the liquidity of the underlying asset will improve (40 emerging market debts, included in DJ CDX.EM Diversified) significantly due to active trading in index and various credit derivatives linked to it, Kazkommertbank specialists believe. [2004-04-25]