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Markit Announces Rule Changes to Markit Itraxx Asian Indices

Markit, a financial information services provider and owner of the Markit iTraxx indices, today announced that, after consultation with the dealer community, it has amended two rules governing the Markit iTraxx Japan and Markit iTraxx Asia ex-Japan indices. The new rules will come into effect before next month’s index roll into series 11 on 20 March 2009.

The first rule change introduces a maximum spread cut-off requirement to the eligibility criteria for constituents of the Markit iTraxx Japan. Entities with an average spread of 2,000 bps or more over the last ten trading days of the month preceding the index roll will not be eligible for inclusion in the index. This new rule is designed to ensure that companies with very wide spreads or close to default are not included in the index.

The second rule change introduces a dealer vote on entities deemed necessary for inclusion and exclusion from the Markit iTraxx ex-Japan IG and HY indices. Under the previous process, constituents of these indices were selected on the basis of liquidity lists submitted by dealers.