Markit iBoxx USD Liquid High Yield Index

The Markit iBoxx USD Liquid High Yield Index consists of liquid USD high yield bonds, selected to provide a balanced representation of the broad USD high yield corporate bond universe.
The index is used as a basis for tradable products, including ETFs. Multiple contributor pricing and support for the index from leading financial institutions ensure that the index is a tradable reflection of the corporate bond market.

Inclusion Criteria
Bond types:
n

Maximum age
5 years

Eligible: Fixed coupon bonds, step-up bonds with coupon schedules known at issuance, medium-term notes, sinking funds and make-whole callables, callable bonds and Rule 144A offerings Excluded: Eurodollar and Yankee bonds, preferred shares, convertibles, bonds with equity features, perpetuals, floating rate notes, zero coupon bonds and zero coupon step-ups, RegS bonds, putables, pay-in-kind bonds, bonds trading flat of accrued

Rating
Each bond is assigned an index rating based on the highest rating from Fitch, Moodys and S&P. Only bonds with a rating of below investment grade are eligible. Split-rated bonds and bonds considered being in default by one or more agencies are excluded. Bonds previously split rated or investment grade rated need to be rated sub-investment grade for 3 months before becoming eligible for inclusion.

Issuer domicile
USA, Bermuda, Cayman Islands, Canada, Japan or Western Europe.

Issuer size
The total size of $-denominated debt (including Yankees and Eurodollar bonds must be $ 1.0 billion).

Issuer type
Corporate debt only. Government debt, quasisovereign debt, and debt guaranteed or back by governments is not eligible.

Issuer cap
The weight of a single issuer is capped at 3% at each rebalancing.

Minimum time to maturity:

n n

Amount outstanding
$400 million per bond

3.5 years to maturity for new bonds 3 years for existing index constituents

Lockout period
Bonds are excluded from the index for at least 3 months after being ejected.

Maximum time to maturity

15 years

Index Composition
Transition index
Prior to 30 June 2009, the index consisted of only 100 equallyprice weighted bonds. The transition to the above index rules is carried out over six rebalancings from 30 June to 30 November 2009. At every rebalancing the weighting of the bonds from original index is reduced by 1/6 of their original weight, and the weight of the new bonds is increased by 1/6 of their full weight. In the first month, the transition index effectively represents 1/6 of the new and 5/6 of the old index, etc.
Thailand 8.17% Consumer goods 6.35%

Utilities & energy 23.11%

Consumer services 23.13%

Tele & tech 19.89% Industrials & materials 19.50%

Financials 8.01%

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.

Sector profile as of 31 October 2009

The Markit iBoxx USD Liquid HY Index consists of liquid USD high yield bonds, selected to represent the broader USD high yield corporate universe.
1.0 0.8 0.6 0.4 0.2 0.0

Index Details
Pricing sources
Barclays Capital, BNP Paribas, Deutsche Bank, Dresdner Kleinwort, Goldman Sachs, HSBC, J.P. Morgan, Morgan Stanley, and UBS.

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

Individual checks End-of-day Comparative checks

Bond weighting
Market capitalisation weighted with a maximum issuer weight of 3%.

Calculation
Daily at 16:30 EST/ EDT.

Base date
Basis is the closing value of the Hytop index at 31 October 2006.

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.
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