Markit iBoxx EUR Liquid High Yield Index

The Markit iBoxx EUR Liquid High Yield Index consists of liquid EUR sub-investment grade rated bonds, selected to provide a balanced representation of the Markit iBoxx EUR Core High Yield Index.
The Markit iBoxx EUR Liquid High Yield Index tracks the market for high yield corporate bonds and currently contains approximately 150 corporate bonds with sub-investment grade ratings. Issuers need to be based in a country with an investment grade debt rating. Inclusion is based on the currency of the issue, and not the domicile of the issuer.

Inclusion Criteria
Bond types:
n

Rating
To be eligible a bond must be rated subinvestment grade. The average of the ratings from Fitch, Moodys and S&P is used to determine if a bond is investment grade or high yield. The highest rating from the three agencies is used for bonds where all three ratings from the agencies are below investment grade. If any of the agencies rates a bond as CC or lower, such bond is removed from the index at the next rebalancing.

Eligible: Fixed coupon bonds, floating rate notes, callable bonds, callable fixed-to-floaters, rating sensitive bonds, bonds with poison put options, bonds with make-whole call or tax changes call provisions, event-driven bonds, step-up bonds with known schedules Excluded: Perpetuals, zero coupon bonds (including zero coupon step-ups, gains), payment-in-kinds (piks), putables (other than poison puts), sinking funds, convertibles, preferred shares, private placements, index-linked notes

Amount outstanding
EUR 250 million per bond.

Issuer domicile
To ensure that the index is representative of the market, EUR-denominated debt issued by both Eurozone and non-Eurozone issuers is eligible for inclusion.

Minimum time to maturity

2 years for new bonds. No restriction for bonds already in the index.

Maximum original time to maturity

10.5 years to maturity as of the first settlement date of the bond.

Issuer type
Corporate debt only. Government debt, quasisovereign debt, and debt guaranteed or backed by governments is not eligible.
Technology Telecommunications 6% 1% Basic Materials Oil & Gas 14% 3% Construction & Media Materials 9% 9% Industrials 14% Health Care 3% Financials 10% Consumer Services 10% Consumer Goods 21%

Sector breakdown, June 2010

Index Composition
Rebalancing
Monthly in accordance with rules available on indices.markit.com. The membership list and weightings remain constant during the month until the next rebalancing.

CCC 5% B 29%

Index Details
Pricing sources
Barclays Capital, BNP Paribas,Dresdner Kleinwort,HSBC, Morgan Stanley, and UBS.

BB 66%

Rating breakdown, June 2010

Consolidated prices
Bank quotes Quality control Approved quotes Price consolidation Dissemination Index calculation Vendors Internet FTP

The Markit iBoxx EUR Liquid High Yield Index tracks the market for subinvestment grade corporate bonds and currently contains approximately 150 corporate bonds with sub-investment grade ratings.

Individual checks End-of-day Comparative checks

Bond weighting
Market capitalisation weighted with a maximum issuer weight of 5%.

Calculation
Daily at 20:30 GMT.

Base date
31 December 2005

Index Information
Index Name
iBoxx EUR Liquid High Yield Index iBoxx EUR Liquid High Yield Index

Type
TRI CPI

ISIN
GB00B57G6H43 GB00B5VTZ724

Bloomberg Code
IBOXXMJA IBOXXMCA

Reuters Code
.IBOXXMJA .IBOXXMCA

Access to Data
Bloomberg Reuters Internet FTP
IBOX <GO> IBOXX <Enter> indices.markit.com indices.markit.com

More Information on Markit iBoxx

iBoxx is a registered trademark of Markit Indices Limited, a wholly-owned subsidiary of Markit Group, and may not be used without the owners written permission. A license is required to refer to or use any Markit iBoxx index in any nancial products. Index levels and data are published on www.markit.com For additional information and licensing opportunities please visit www.markit.com, contact iBoxx@markit.com, or call +49 69 299 868 140.
Copyright 2010 Markit Group Limited

06-11-11