Short Markit iboxx Total Return Indices

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1 Shor Marki iboxx Toal Reurn Indices Sepember 2012

2 Marki iboxx Shor EUR Toal Reurn Indices Table of Conens 1 Inroducion Calculaions Descripion Oher Inpu Facors Furher informaion... 5 Copyrigh 2012, Marki Group Limied. All righs reserved. 2

3 Marki iboxx Shor EUR Toal Reurn Indices 1 Inroducion This documen deails he echnical calculaion of he Shor Marki iboxx Toal Reurn Indices: Shor Marki iboxx Eurozone Toal Reurn Index Shor Marki iboxx Eurozone 3-5 Years Toal Reurn Index. The above indices measure he performance of holding a shor posiion in he Marki iboxx Eurozone Index and he Marki iboxx Eurozone 3-5 Years Index respecively (hereafer referred o as he Underlying indices ). The Marki iboxx Eurozone index conains cenral governmen bonds of a leas EUR 2 bn issued by counries whose local currency is he Euro and whose sovereign deb raing is invesmen grade. The Marki iboxx Eurozone 3-5 Years Index conains he corresponding bonds wih a mauriy of 3-5 years. The Marki iboxx Eurozone Toal Reurn Index, Marki iboxx Eurozone 3-5 Years Toal Reurn Index, he EONIA rae and a repo rae are used as inpus. The reurns from EONIA and he repo rae sem from he fac ha he indices are long funding from invesors subscripions and he funding received from holding shor posiions in he consiuen bonds of he indices. This means ha he fund can inves wice he funding in he money marke. The repo rae is he difference beween he EONIA rae and an indicaive marke cos of borrowing he bonds in order o shor hem. Copyrigh 2012, Marki Group Limied. All righs reserved. 3

4 Marki iboxx Shor EUR Toal Reurn Indices 2 Calculaions 2.1 Descripion The indices are calculaed daily, for each day on which an EONIA rae is officially published by he ECB and he underlying indices are published by Marki. The daily reurns for he indices are calculaed as follows: r TR + ( r daily Eonia Re po = 1 r + TR days(, ) ) 360 The corresponding index levels are calculaed as follows: ShoriBoxx daily ShoriBoxx TR ( 1+ r ) TR =, where days( 1, )... Number of calendar days beween -1 and, including bu excluding -1 Eonia r 1... EONIA rae on day -1 po r Re 1... Assumed repo rae on day Calculaion day Previous calculaion day daily r... Daily reurn of he Shor Marki iboxx index on day TR... Toal Reurn Index level of underlying index on day ShoriBoxx TR... Index level of he Shor Marki iboxx index on day 2.2 Oher Inpu Facors EONIA: The Euro Overnigh Average as published by he European Cenral Bank. Repo rae: The assumed repo rae is EONIA COST_repo %. The COST_repo rae is published on hp://indices.marki.com for each index and period. The assumed repo rae may vary a he discreion of Marki, he index calculaor, if, following discussion wih marke paricipans, i is deermined ha a differen rae is a beer reflecion of marke condiions. A noice announcing he change and he new rae will be posed on hp://indices.marki.com a leas one week before he change becomes effecive. Copyrigh 2012, Marki Group Limied. All righs reserved. 4

5 Marki iboxx Shor EUR Toal Reurn Indices 3 Furher informaion For conracual or conen issues please refer o: Marki Indices Limied Walher-von-Cronberg-Plaz Frankfur am Main Germany Tel +49 (0) Fax +49 (0) inerne: iboxx@marki.com For echnical issues and clien suppor please conac iboxx@marki.com or Asia Pacific Europe USA Japan: General: Singapore: UK: Licences and Daa iboxx is a regisered rademark of Marki Indices Limied. Marki Indices Limied owns all iboxx daa, daabase righs, indices and all inellecual propery righs herein. A licence is required from Marki Indices Limied o creae and/or disribue any produc ha uses, is based upon or refers o any iboxx index or iboxx daa. Ownership Marki Indices Limied is a wholly-owned subsidiary of Marki Group. Oher index producs Marki Indices Limied owns, manages, compiles and publishes he itraxx credi derivaive indices and he iboxxfx Trade Weighed Indices. Copyrigh 2012, Marki Group Limied. All righs reserved. 5