Markit iRxx.EM Index Markit Interest Rate Swap Emerging Market Index (iRxx.EM)

February 2016

The Science of Finance

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Markit Indices - Overview

The main suite of Markit Propriety indices comprise of:

Synthetic Indices

— CDS (iTraxx and CDX)

— Securitised Products Indices (ABX, CMBX and IOS/PO/MBX)

Bond indices (iBoxx)

Related Products:

— Markit Purchasing Managers‘ Indices (PMIs)

— Markit‘s Bespoke index calculation service

— Markit‘s Index and ETF Management services

— Extensive Pricing and Reference data powering research and development of new indices

$90 billion

AUM in ETFs

$5.5 trillion Derivative Trades

Outstanding

150+

ETFs

14,000+

Indices 500+

Clients

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Markit iRxx.EM Index

— Emerging market local currency debt has grown significantly in recent years

— Currently there are various instruments available for gaining and hedging global

emerging market exposure for other asset classes, but limited options for interest rates

— The Markit Interest Rate Swap Emerging Market Index (iRxx.EM) will offer market

participants with a tradable index solution for emerging market interest rates

— iRxx.EM is the first independent and transparent tradable index to capture a macro view

of interest rate risk in a single targeted index

— Markit will leverage expertise and a strong history of providing the market with tradable

index products such as CDX, iTraxx and TRS on iBoxx to launch iRxx.EM

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Index Overview

— iRxx.EM consists of 15 interest rate derivatives including interest rate swaps, cross

currency swaps and overnight index swaps (OIS)

— Initial launch will be based on the most liquid EM rates contracts

iRxx.EM

Region Country CCY CODE Product Deliverability Basket Weighting

Asia

India INR OIS Nondeliverable 6.66%

Malaysia MYR IRS Nondeliverable 6.66%

China CNY IRS Nondeliverable 6.66%

South Korea KRW IRS Nondeliverable 6.66%

Thailand THB IRS Nondeliverable 6.66%

EMEA

Russia RUB XCCY Deliverable 6.66%

South Africa ZAR IRS Deliverable 6.66%

Turkey TRY XCCY Deliverable 6.66%

Hungary HUF IRS Deliverable 6.66%

Israel ILS IRS Deliverable 6.66%

Poland PLN IRS Deliverable 6.66%

LATAM

Brazil BRL OIS Nondeliverable 6.66%

Columbia COP OIS Nondeliverable 6.66%

Mexico MXN IRS Deliverable 6.66%

Chile CLP OIS Nondeliverable 6.66%

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Index overview - continued

— Main tradable iRxx.EM index

— Theoretical Sub-indices composed of

low and high yield constituents

— Sub-indices could be made tradable

for future series

— High yield constituents trade at US five

year rate +200 bps

iRxx.EM index family

Main Index Theoretical Sub-indices

iRxx.EM. iRxx.EM.HY iRxx.EM.LY

India Brazil China

Malaysia Columbia Hungary

China India Israel

South Korea Malaysia Poland

Thailand Mexico South Korea

Russia Russia Thailand

South Africa South Africa

Turkey Turkey

Hungary Chile

Israel

Poland

Brazil

Columbia

Mexico

Chile

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Mechanics

— Index of six month forward-starting five year interest rate swaps contracts

— Physically settles into the underlying contracts on forward starting date

— New series launched every six months

— Positions can be rolled forward to new series or unwound prior to physical settlement

— Two week overlap between series

— Swap notional and fixed rates set at index inception

— Streamlined structure with no cash flows while series is ―on-the-run‖

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Timeline

Annex Date Inception date Roll date Forward starting date Final maturity date

Index Composition

published Trading of new series

begins

Last trading day

of previous

Series

Physical settlement date of

index constituent swaps Maturity date for

underlying swaps

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Key features

— Efficient structure offers investors the ability to gain or hedge global emerging market

rate exposure in a single trade

— Independent and transparent

— Trading documentation prepared by industry leading legal counsel

— Index annexes published showing constituency, weights and contract terms

— Intrinsic index price published daily

— Swap valuation methodology by Markit Portfolio Valuations

— Leveraging Markit‘s extensive experience in administering tradable derivative indices

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iRxx.EM quoting convention

— To be quoted in price or yield

— Yield format being a simplified ‗rates‘ format replicating the yield of a synthetic five year

forward starting bond

— Markit will publish a daily theoretical index price and yield derived from the underlying

interest rate swaps:

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Potential customers

Users – market participants looking to hedge or access EM Rates risk:

— Real money asset managers

— Pension funds

— Insurance companies

— EM and macro hedge funds

— Banks

mines data

pools intelligence

surfaces information

enables transparency

builds platforms

provides access

scales volume

extends networks

& transforms business.

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