Markit to Add PENAAA Tranche to ABX.HE Indices on May 14

New York, NY- Markit, a leading provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit ABX.HE index, today announced that the Penultimate AAA sub-index will be added to the Markit ABX.HE indices on May 14. Markit ABX.HE is a synthetic index of U.S. home equity asset-backed securities.

The new tranche will provide enhanced trading opportunities to institutional investors seeking exposure to an additional credit class. Its inclusion was decided following a majority vote of contributing dealers.

The ABX.HE.PENAAA sub-index will reference AAA rated bonds that are second to last in principal distribution priority in the ABX.HE indices. The new tranche will reference the same pools of assets as the bonds referenced in the ABX.HE.AAA indices.

The new sub-index will be added to the existing Markit ABX.HE indices, 06-1, 06-2, 07-1 and 07-2, as well as to future indices. The Markit ABX.HE 07-2 index will remain the on-the-run series until the next index roll which is scheduled for July this year.

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For more information please contact:

John Dooley
Vice President, Corporate Communications
Markit
Tel: 646-257-2722
Email: john.dooley@markit.com

About Markit
Markit is a leading provider of independent data, portfolio valuations and OTC derivatives trade processing to the global financial markets. The company receives daily data contributions from 90 dealing firms, and its services are used by almost 1,000 institutions to enhance trading operations, reduce risk and manage compliance.