Markit iboxx Bond Indices

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1 Markit iboxx Bond Indices Content. Valuations. Processing. Distribution.

2 Introduction Markit is the leading independent fixed income index provider committed to open and transparent markets. Markit iboxx indices are the benchmarks of choice for asset managers, investors and investment banks. They are designed to be objective representations of the markets, and are produced to the highest quality standards. The indices are strictly rules-based and are calculated using the best market prices from multiple contributors, each a leading market maker. Rigorous controls ensure a robust production process and high quality indices. Markit provides access to all indices, bond levels and detailed analytics, thus making them ideal for fixed income research, essential for asset allocation and indispensable for performance evaluation. Markit iboxx Index Families Markit iboxx indices are structured in a global hierarchy supported by several regional families to address the needs of international and local fixed income market participants. Each index family has a consistent set of rules governing index membership that reflects local conditions and enables interaction with other index families. The drill-down structure allows investors to select and analyse suitable benchmarks that reflect their specific investment profile and shows index details by maturity, rating and sectors. America Europe Asia Benchmark Indices US Dollar Euro Pound Sterling Euro High Yield Inflation-Linked Asia JGB Tradable Indices $ Liquid $ Pension Liability Liquid Liquid Country Indices Markit iboxx Indices Global Markit iboxx Global Inflation-Linked Indices Markit iboxx Global Inflation-Linked indices cover the sovereign and quasi-sovereign inflation-linked bond markets in investment grade countries. United States Local currency indices aggregate into regional indices and the top-level global inflation-linked index. All local and aggregate indices are calculated hedged and unhedged in several major currencies. The Markit iboxx Global Inflation-Linked indices are fully rules-based, transparent, objective and constructed to the same rigorous specifications as other iboxx index families. International investors and financial institutions now have accurate benchmarks for gauging performance and a platform for producing research and developing structured products. Germany Canada France Greece Italy Japan Sweden UK Country weights Inflation-Linked Index -

3 America Markit iboxx USD Indices The Markit iboxx USD index family covers USD investment grade bonds. Following market conventions, the indices offer three distinct views of the market, one for domestic US investors (including domestic and global bonds), one for international investors focussing on international USD bond issues (global and Eurodollar) and an overall view covering all USD-denominated bonds. Each view is complete with a Treasuries index, an index for US Agencies and several indices for other quasi-sovereign issuers. Both industry and sub-sector indices are calculated for corporate bonds. Rating and maturity indices complete the index family. USD Index (Market Value $ bn) Sector composition USD Corporates Ins.-Wraps. Ins. Basic Mat. Cons. Goods Fin. Svcs Cons. Svcs Health Care US Agencies Inds. Oil & Gas US Agencies Tech. Banks Telecoms Treasuries / Sub- Corporates Utilities Markit iboxx USD Liquid IG Index The Markit iboxx USD Liquid IG index is a subset of the broader USD corporate bond market. It is designed to provide balanced representation of the USD investment grade corporate market by means of the most liquid corporate bonds available. The index may be replicated by portfolio managers or used as the basis of a tradable portfolio. The 100 bonds in the index are equally price-weighted. Markit iboxx USD Liquid HY Index The Markit iboxx USD Liquid HY index is designed to meet investor demand for a USD-denominated, liquid and representative high yield index. It consists of sub-investment grade USD bonds issued by corporate borroweers and is designed to provide a balanced representation of the USD high yield corporate market by the means of the most liquid high yield corporate bonds available. The 50 bonds in the index are equally priceweighted. Markit iboxx US Pension Liability Indices The Markit iboxx US Pension Liability indices, a three-index set of benchmarks that reflects pension liability performance, were launched to help plan sponsors, consultants and investment managers construct more successful liability-based investment strategies: iboxx US Pension Index Aggregate iboxx US Pension Index Active Member iboxx US Pension Index Retired Member The indices are published daily based on actual liability profiles and provide the flexibility to use combinations of the three indices in order to accurately represent customized liability profiles.

4 Europe The Markit iboxx Euro and Sterling indices provide investors with benchmarks for the two largest European fixed income markets. These broad benchmark indices are supplemented by Markit iboxx Liquid Indices, which serve as the basis for OTC and exchange-traded derivatives and are easily replicable. Markit iboxx Euro Indices The Markit iboxx Euro index family represents the investment grade fixed-income universe for Euro-denominated bonds. The overall index is divided into four groups: Sub- Collateralized Corporates In addition to an overall index for each index group, various breakdowns are published, including country indices for sovereigns, sector indices for corporate bonds and separate indices for covered and securitised bonds within the collateralized group. The corporate market sector indices enable users to compare or combine equity and fixed income index data. A wide range of maturity and rating indices is also published. All bond prices and major indices are calculated and distributed once a minute. Analytical values are available twice daily. Euro Index (Market Value Euro bn) Sector composition Euro Corporates Ins. Basic Mat. France Italy Supras Regions France Spain Germany Fin. Svcs Cons. Goods Cons. Svcs Health Care Inds. Oil & Gas Tech. Germany Agencies Banks Telecoms Sub- Collateralized/ Covered Corporates Utilities Markit iboxx Euro Liquid Indices The Markit iboxx Euro Liquid indices complement the broad Markit iboxx Euro indices and are designed to provide a suitable basis for OTC derivatives and exchange-traded funds (ETFs). This is achieved by using additional selection criteria favouring larger, newer (i.e. more liquid) issues and by limiting the number of bonds in each index, to reduce tracking and hedging costs. Markit iboxx Euro High Yield Indices The Markit iboxx Euro High Yield indices track the performance of Euro-denominated corporate high yield debt, and are designed to provide high yield investors with appropriate benchmarks. To address different investors requirements, the indices are calculated both with and without crossover bonds. Markit iboxx EUR ABS 50 Index The Markit iboxx EUR ABS 50 Index tracks the European market for liquid floating rate securitizations. It consists of the 50 largest and most liquid Euro-denominated AAA-rated tranches of ABS MBS SME CLOs Sector Breakdown iboxx Euro High Yield Index TMT Consumers The 50 securities are selected via a liquidity poll of leading ABS banks from a universe of the 70 largest issues of the previous 12 months. The index composition is updated quarterly in March, June, September and December. Industrials Energy

5 Markit iboxx Sterling Indices The Markit iboxx Sterling index family represents the investment grade universe of Sterlingdenominated bonds. The index breakdown is similar to the Euro indices and takes into account market specifics by providing sector indices for ABS, MBS and Whole-Business Securitizations and by calculating additional maturity indices used in the Sterling market. Sterling Index (Market Value bn) Sector composition Sterling Corportes Basic Mat. Ins. -Wraps Cons. Goods Ins. Cons. Svcs Health Care Fin. Svcs Inds. Oil & Gas Tech. Telecoms Gilts Agencies Supras / Sub- ABS MBS WBS Collateralized/ Covered Corporates Markit iboxx Sterling Liquid Index The Markit iboxx Sterling Liquid Corporates Long-Dated index comprises 40 bonds from largest recent corporate issuers of Sterling debt. Banks Utilities Asia Markit iboxx Asian Indices The Markit iboxx Asian indices are compiled for JGBs in Japan and local currency sovereign and quasi-sovereign issues in China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand (part of the ABF2 project), as well as India and Taiwan. Since the ex-japan indices cover countries with small, medium and large bond markets at different stages of development, their weights in the Pan-Asia index combine market size with liquidity, credit quality and market openness factors. Country weights iboxx ABF Pan-Asia Index Thailand China Singapore Hong Kong Philippines Indonesia Malaysia Korea

6 Index Calculation Markit compiles, administers and manages the Markit iboxx cash bond indices. Prices for the bonds in the European and North American indices are provided by 11 major financial institutions: ABN AMRO, Barclays Capital, BNP Paribas, Deutsche Bank, Dresdner Kleinwort, Goldman Sachs, HSBC, JP Morgan, Morgan Stanley, Royal Bank of Scotland and UBS. The Asian indices combine the pricing capability of large international investment banks (including some of the above) with those of leading local market participants and organisations. The Markit iboxx consolidated prices (intraday and end-of-day) are unique in the fixed income market and represent the most accurate and timely bond pricing currently available to investors. Markit has developed rigorous proprietary quality control routines to filter erroneous price contributions and permit only genuine market prices to enter the regular index calculation. Bank Quotes Quality Control Approved Quotes Price Consolidation Dissemination Individual Checks Comparative Checks Intraday Prices End-of-Day Prices Index Calculation Vendors Internet FTP Markit iboxx indices are constructed to conform to the EFFAS European Bond Commission Standardised Rules on Constructing and Calculating Bond Indices. Markit iboxx benchmark indices are rebalanced monthly and some liquid indices quarterly. New bonds entering an index for the first time are included at the ask price, while all bonds already in an index are revalued using bid prices. Each bond is weighted in an index with its market value. Data and Licences Bond indices are published both as price and total return indices. Bond and index analytical values are calculated each business day using the daily closing prices. Closing index values, bond prices and key analytical values are published on and at the end of each business day. The data is also available in a standardized format via an FTP feed. The daily data for Sterling starts from 31 December for Euro, USD and US Pension Liability from 31 December for the Asian and inflation-linked indices from 31 December for the Euro High Yield indices from 31 December 2002 and for the USD Liquid Indices from 31 October Most leading information vendors also provide real-time iboxx data, including Bloomberg: IBOX Reuters: IBOXX iboxx is a registered trademark. Markit owns the intellectual property rights in the indices and their underlying data. A licence is required to create and/or market products that use the data or refer to the iboxx indices. Further Information Markit / International Index Company Goetheplatz Frankfurt Germany Tel.: +49 (0) Fax: +49 (0) Markit 2007

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