Dow Jones CDX.EM Diversified Index

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1 March 2005 Dow Jones CDX.EM Diversified Index Sponsored By:

2 Disclaimer This material has been prepared for information purposes only and is not an offer any offer to buy, any strategy. This material is not a research report and was not prepared by the research department of any consortium member. Past performance is not indicative of future performance. Please see additional 2

3 Overview Dow Jones is pleased to announce the development of a standardized EM product that facilitates standardized tranche correlation trading. Index Structure The DJ CDX.EM Diversified portfolio consists of 40 EM names (30 EM sovereigns and 10 well-diversified EM corporates) in an equally-weighted index (giving 2.50% exposure to any single name if an investor were to take exposure to the index as a whole). The index gives end investors exposure to a well-diversified global pool of EM names; in this sense it supplements the existing DJ CDX.EM Index, which was designed as a tradable index that replicates the EM debt market. Benefits The DJ CDX.EM Diversified Index can be tranched in a standardized form, promoting the evolution of the emerging markets asset class. It is expected that this index will put EM on a par with the correlation products that are offered on the DJ CDX.IG and DJ CDX.HY, increasing the depth and demand for the EM asset class from sophisticated investors. To facilitate relative value trading, the DJ CDX.EM Diversified Index will use the same form of documentation as the analogous Investment Grade (DJ CDX.IG) and High Yield (DJ CDX.HY) indexes. The Dow Jones CDX.EM Diversified Index offers exposure to the Reference Entities in the index and promotes the evolution of the emerging markets asset class. 3

4 Indicative Portfolio Only--Subject to Change The index weighting will be assessed every six months. Changes to the portfolio will maintain diversification between geographic regions and the corporate / sovereign mix. DOW JONES CDX.EM DIVERSIFIED INDEX 1 Credit Country Region Type Industry Moody's / S&P Brazil Brazil LATAM Sovereign Sovereign B1 / BB- Chile Chile LATAM Sovereign Sovereign Baa1 / A Colombia Colombia LATAM Sovereign Sovereign Ba2 / BB Ecuador Ecuador LATAM Sovereign Sovereign Caa1 / B- El Salvador El Salvador LATAM Sovereign Sovereign Baa3 / BB+ Mexico Mexico LATAM Sovereign Sovereign Baa1 / BBB Panama Panama LATAM Sovereign Sovereign Ba1 / BB Peru Peru LATAM Sovereign Sovereign Ba3 / BB Venezuela Venezuela LATAM Sovereign Sovereign B2 / B CVRD Brazil LATAM Corporate Chemicals, Mining, Steel Ba1 / NR Pemex Mexico LATAM Corporate Oil and Gas Baa1 / BBB Petrobras Brazil LATAM Corporate Oil and Gas Ba1 / BB- Bulgaria Bulgaria EMEA Sovereign Sovereign Ba1 / BBB- Croatia Croatia EMEA Sovereign Sovereign Baa3 / BBB Egypt Egypt EMEA Sovereign Sovereign Ba1 / BB+ Hungary Hungary EMEA Sovereign Sovereign A1 / A- Israel Israel EMEA Sovereign Sovereign A2 / A- Lebanon Lebanon EMEA Sovereign Sovereign B2 / B- Poland Poland EMEA Sovereign Sovereign A2 / BBB+ Qatar Qatar EMEA Sovereign Sovereign A3 / A+ Romania Romania EMEA Sovereign Sovereign Ba1 / BB+ Russia Russia EMEA Sovereign Sovereign Baa3 / BBB- South Africa South Africa EMEA Sovereign Sovereign Baa1 / BBB Tunisia Tunisia EMEA Sovereign Sovereign Baa2 / BBB Turkey Turkey EMEA Sovereign Sovereign B1 / BB- Ukraine Ukraine EMEA Sovereign Sovereign B1 / B+ Gazprom Russia EMEA Corporate Oil and Gas Baa3 / BB- Israel Electric Israel EMEA Corporate Utility Baa2 / BBB+ KKB Kazakhstan EMEA Corporate Financial Services Baa2 / BB- China China ASIA Sovereign Sovereign A2 / BBB+ Indonesia Indonesia ASIA Sovereign Sovereign B2 / B+ Malaysia Malaysia ASIA Sovereign Sovereign A3 / A- Philippines Philippines ASIA Sovereign Sovereign B1 / BB- South Korea South Korea ASIA Sovereign Sovereign A3 / A- State Bank of India India ASIA Sovereign Sovereign Baa2 / BB+ Thailand Thailand ASIA Sovereign Sovereign Baa1 / BBB+ Hutchison Whampoa Hong Kong ASIA Corporate Conglomerate A3 / A- ICICI India ASIA Corporate Financial Services Baa3 / BB+ Samsung South Korea ASIA Corporate Electronics A3 / A- Tenaga Nasional Berhad Malaysia ASIA Corporate Utility Baa2 / BBB 1 Ratings as of March 1,

5 Attachment Points Since each name represents only 2.50% of the index, it is possible to form standardized tranches. The DJ CDX.EM Diversified Index tranche structure developed by the consortium is analogous to existing Investment Grade and High Yield tranched products. Attachment Point Exhaustion Point 0% 10% 10% 15% 15% 20% 20% 25% 25% 30% 30% 100% Description It is expected that an investor will be able to buy exposure to any of these standardized tranches with the depth and liquidity advantages enjoyed by DJ CDX.EM. This will allow investors to choose where they wish to be on the risk-return spectrum. Tranches that have greater subordination (a higher attachment point) will have lower spreads, but at a lower probability of loss. By taking tranched exposure and delta-hedging with the index, the investor will be able to isolate correlation either as a position in in itself or as relative value compared to Investment Grade or High Yield correlation. 5

6 Documentation Confirmations for DJ CDX.EM Diversified will use the same form of standardized confirms as are being introduced for the Investment Grade and High Yield products. Standardized documentation promotes liquidity between dealers. Standardized documentation promotes liquidity between asset classes, encouraging crossover investor participation. 6

7 Participating Dealers Each of the dealers participating in the index intends to make markets. PARTICIPATING DEALERS Dealer Contact Number ABN Amro Suthan Jananayagam Barclays Capital Raghu Raghavendra Bear Stearns Dan Epstein Citigroup Michael Hedges Deutsche Bank Jonathon Read Goldman Sachs Krishna Chaganti J.P. Morgan Parisa Golestaneh Lehman Brothers Garry Khasidy Merrill Lynch Jeffrey Lox Morgan Stanley Andrey Krakovsky UBS Zack Vogel

8 Disclaimer This information was prepared by sales, trading or other non-research personnel of one or more of the consortium members (individually and collectively, together with their affiliates, hereinafter the Consortium ). This material was not produced by a Consortium research analyst. Views expressed herein may differ from those of the Consortium fixed income and equity research departments. The index of reference entities has not been finalized, and the list of reference entities included herein remains subject to both change and verification. Subject to the foregoing, the information set forth herein was gathered from various sources which the Consortium believes, but does not guarantee, to be accurate, and the Consortium makes no representation or warranty, express or implied, as to the fairness, correctness, accuracy, reasonableness or completeness of such information. Where specified, the information is believed to have been accurate as of a specific date and may be stale thereafter. The Consortium has no obligation to update the information contained herein or to inform you as to when such information may or does change. This material is in summary form, is not complete and should not be relied upon as such. This material has been prepared for information purposes only and under no circumstances is to be used or considered as an offer security. Any such offer or solicitation may be made only after a prospective investor completes its own independent investigation and receives all information it deems necessary to make its own investment decision. Recipients of this information should seek independent financial advice prior to making any investment decision based on this information. This information does not provide individually tailored investment advice or offer tax, regulatory, accounting or legal advice, and should not be relied upon as such. Prior to making any investment, prospective investors should determine and carefully consider, in consultation with their own investment, legal, tax, regulatory and accounting advisors, the economic risks and merits, as well as the legal, tax, regulatory and accounting characteristics and consequences, of such an investment. Potential investors should conduct their own analysis, using such assumptions as they deem appropriate, and should fully consider other available information in making an investment decision. Past performance is not indicative of future performance. Rules are subject to change. The Dow Jones CDX Indexes are proprietary to CDS IndexCo LLC. Dow Jones is a service mark of Dow Jones & Company, Inc. and CDX is a service mark of CDS IndexCo. Financial products based the Dow Jones CDX Indexes are not sponsored, endorsed or promoted by Dow Jones, CDS or any of their respective affiliates or members, and neither Dow Jones nor CDS makes any recommendation regarding the advisability of investing in same. The trademarks and service marks contained herein are the property of their respective owners. Third-party data providers make no warranties or representations of any kind relating to the accuracy, completeness, or timeliness of the data they provide and shall not have liability for any damages of any kind relating to such data. 8