Markit Alters Index Requirements To Be Up To Date

Markit iTraxx dealers have voted for two new rules which will come into effect before next months index roll into series 11 on 20 March 2009. The first rule change raises the maximum cut off level for inclusion in the

By None

Markit iTraxx dealers have voted for two new rules which will come into effect before next months index roll into series 11 on 20 March 2009.

The first rule change raises the maximum cut off level for inclusion in the Markit iTraxx Europe Crossover from 25% upfront + 500 bps running spreads to 50% upfront + 500 bps running spreads, in line with the spread widening across the market.

The second rule change states that the constituents of the Markit iTraxx Europe Main must comprise 30 entities from the auto and industrial sectors combined, instead of 10 from the auto sector and 20 from the industrial sector as previously required. The change is designed to ensure that only the most liquid entities are selected for inclusion in the index.

L.D.

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