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Markit Announces Changes to Markit Itraxx Europe Rules

Markit, a financial information services provider and owner of the Markit iTraxx indices, today announced that Markit iTraxx dealers have voted to change two rules governing the Markit iTraxx Europe indices in order to make them more reflective of the current economic environment. The new rules will come into effect before next month’s 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.