Markit iBoxx Bond Indices

Content. Valuations. Processing. Distribution.www.markit.com.

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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 qualitystandards. The indices are strictly rules-based and are calculated using the best market prices from multiplecontributors, each a leading market maker. Rigorous controls ensure a robust production process and highquality 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 theirspecific investment profile and shows index details by maturity, rating and sectors.

Markit iBoxx Indices

Global

Markit iBoxx Global Inflation-Linked IndicesMarkit iBoxx Global Inflation-Linked indices cover the sovereign and quasi-sovereign inflation-linked bond markets in investment grade countries. Local currency indices aggregate into regional indices and the top-level global inflation-linked index. All local and aggregate indices are calcu-lated 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 bench-marks for gauging performance and a platform for producing research and developing structured products.

Country weights – Inflation-Linked Index - 1. Nov. ’07

CanadaGermany

Italy

Greece

France

Japan

United States

UK

Sweden

Inflation-Linked

America

Ben

chm

ark

Indi

ces

Trad

able

Indi

ces

Europe Asia

US Dollar

Euro

Country Indices

$ Liquid

$ Pension Liability

Pound Sterling

€ Liquid

£ Liquid

Euro High Yield

Asia

JGB

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America

Markit iBoxx USD IndicesThe Markit iBoxx USD index family covers USD investment grade bonds. Following market conventions, theindices offer three distinct views of the market, one for domestic US investors (including domestic and globalbonds), one for international investors focussing on international USD bond issues (global and Eurodollar) andan overall view covering all USD-denominated bonds. Each view is complete with a Treasuries index, an indexfor 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

Markit iBoxx USD Liquid IG IndexThe Markit iBoxx USD Liquid IG index is a subset of the broader USD corporate bond market. It is designedto provide balanced representation of the USD investment grade corporate market by means of the most li-quid corporate bonds available. The index may be replicated by portfolio managers or used as the basis of atradable portfolio. The 100 bonds in the index are equally price-weighted.

Markit iBoxx USD Liquid HY IndexThe Markit iBoxx USD Liquid HY index is designed to meet investor demand for a USD-denominated, liquidand representative high yield index. It consists of sub-investment grade USD bonds issued by corporate bor-roweers and is designed to provide a balanced representation of the USD high yield corporate market by themeans of the most liquid high yield corporate bonds available. The 50 bonds in the index are equally price-weighted.

Markit iBoxx US Pension Liability IndicesThe Markit iBoxx US Pension Liability indices, a three-index set of benchmarks that reflects pension liabilityperformance, were launched to help plan sponsors, consultants and investment managers construct moresuccessful 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 combinationsof the three indices in order to accurately represent customized liability profiles.

US Agencies

Non-USAgencies

SovereignsOther

Financials

Non-Financials

Financials Non-Financials

CorporatesTreasuries Sovereigns/Sub-

Sovereigns

Tech.

Telecoms

Oil & Gas

Inds.

Health Care

Cons. Svcs

Utilities

Cons. Goods

Basic Mat.Ins.

Ins.-Wraps.

Fin. Svcs

Banks

1. Nov. ’07

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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 IndicesThe Markit iBoxx Euro index family represents the investment grade fixed-income universe for Euro-denominated bonds. The overall index is divided into four groups: • Sovereigns • Sub-Sovereigns • 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 areavailable twice daily.

Euro Index (Market Value Euro bn) Sector composition Euro Corporates

Markit iBoxx Euro Liquid IndicesThe 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 IndexThe Markit iBoxx EUR ABS 50 Index tracks the European market forliquid floating rate securitizations. It consists of the 50 largestand most liquid Euro-denominated AAA-rated tranches of• ABS • MBS • SME CLOs

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.

Germany

Italy

France

Other

Agencies

Regions

Supras

Other

Germany

Spain

France

Other

Financials

Non-Financials

Financials Non-Financials

CorporatesSovereigns Sub-Sovereigns

Collateralized/Covered

Tech.

Telecoms

Oil & Gas

Inds.

Health Care

Cons. Svcs

Utilities

Cons. Goods

Basic Mat.Ins.

Fin. Svcs

Banks

Consumers

Energy

TMT

Industrials

Financials

Sector Breakdown – iBoxx Euro High Yield Index

1. Nov. ’07

1. Nov. ’07

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Markit iBoxx Sterling IndicesThe Markit iBoxx Sterling index family represents the investment grade universe of Sterling-denominated bonds. The index breakdown is similar to the Euro indices and takes into accountmarket specifics by providing sector indices for ABS, MBS and Whole-Business Securitizationsand by calculating additional maturity indices used in the Sterling market.

Sterling Index (Market Value £ bn) Sector composition Sterling Corportes

Markit iBoxx Sterling Liquid IndexThe Markit iBoxx Sterling Liquid Corporates Long-Dated index comprises 40 bonds from largest recentcorporate issuers of Sterling debt.

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 andThailand (part of the ABF2 project), as well as India and Taiwan. Since the ex-Japan indices covercountries with small, medium and large bond markets at different stages of development, their weightsin the Pan-Asia index combine market size with liquidity, credit quality and market openness factors.

Country weights – iBoxx ABF Pan-Asia Index

Supras

Agencies

Sovereigns

Other

WBS

MBSABSOther

Financials

Non-Financials

Financials

Non-

Financials

CorporatesGilts Sovereigns/Sub-

Sovereigns

Collateralized/Covered

Telecoms

Oil & Gas

Inds.

Health Care

Cons. Svcs

Utilities

Cons. Goods

Basic Mat.

Ins.

Ins. -Wraps

Fin. Svcs

Banks

China

Korea

Indonesia

Hong Kong

Malaysia

Thailand

Singapore

Philippines

Tech.

1. Nov. ’07

1. Nov. ’07

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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, BarclaysCapital, BNP Paribas, Deutsche Bank, Dresdner Kleinwort, Goldman Sachs, HSBC, JP Morgan, MorganStanley, Royal Bank of Scotland and UBS. The Asian indices combine the pricing capability of large interna-tional investment banks (including some of the above) with those of leading local market participants and or-ganisations.

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 genuinemarket prices to enter the regular index calculation.

Markit iBoxx indices are constructed to conform to the EFFAS European Bond Commission StandardisedRules on Constructing and Calculating Bond Indices. Markit iBoxx benchmark indices are rebalancedmonthly and some liquid indices quarterly. New bonds entering an index for the first time are included atthe ask price, while all bonds already in an index are revalued using bid prices. Each bond is weighted inan 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 keyanalytical values are published on www.iboxx.com and www.markit.com 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 from31 December 1997 - for Euro, USD and US Pension Liability from 31 December 1998 - for the Asian andinflation-linked indices from 31 December 2000 - for the Euro High Yield indices from 31 December 2002and for the USD Liquid Indices from 31 October 2006.

Most leading information vendors also provide real-time iBoxx data, includingBloomberg: 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 theiBoxx indices.

Further Information

Markit / International Index CompanyGoetheplatz 5 · 60313 Frankfurt · GermanyTel.: +49 (0)69 299 868 140 · Fax: +49 (0)69 299 868 149 · E-mail: info@indexco.com

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