CDS Indexco and Markit Launch Synthetic ABS Index

ABX.HE, an Asset-Backed Credit Derivative Index, Allows Investors to Go Long or Short U.S. Sub-Prime Residential Mortgages

NEW YORK, 17 January 2006 - CDS IndexCo LLC ("CDS IndexCo"), a consortium of 16 investment banks licensed as market makers in the Dow Jones CDX indexes, and Markit Group Limited ("Markit"), the leading industry source for independent mark-to-market pricing and valuations, announced today the launch of ABX.HE, a synthetic ABS index of U.S. home equity asset-backed securities.

Market-makers in the index at launch include the following: Bank of America; Barclays Capital; Bear Stearns; BNP Paribas; Citigroup; Credit Suisse; Deutsche Bank; Goldman Sachs; JPMorgan; Lehman Brothers; Merrill Lynch; Morgan Stanley; RBS Greenwich; UBS; and Wachovia.

Markit will be the administration, calculation, and marketing agent for ABX. This broad remit includes capturing daily price fixings, publishing monthly fixed and floating payments, and supplying a calculator for the settlement of trades; handling issues around rules, operations, marketing, and analytics; and producing marketing materials, negotiating dealer and data licenses, and communicating information to the wider market.

The index is a family of five sub-indices, each of which consists of a basket of 20 credit default swaps referencing U.S. sub-prime home equity securities. As with the Dow Jones CDX and iTraxx families of credit derivative indices, the ABX index will roll every six months.

The bonds are selected through a polling process of the ABX dealer group by Markit, in order to select the most liquid securities backed by home equity loans.

Bradford S. Levy, Managing Director, Firmwide eBusiness Group at Goldman Sachs and acting Chairman of CDS IndexCo stated: "The CDS of ABS market has grown at a rapid pace over the past six months, and we have seen increasing appetite among clients for a way to take a synthetic view on ABS. ABX is a direct response to that demand, and gives clients an efficient, standardized tool with which to quickly gain exposure to this asset class."

"We expect ABX to build liquidity and transparency in the synthetic asset-backed market, attracting global investors that seek exposure to this asset class, both on the buy-side and sell-side," stated Kevin Gould, Executive Vice President and Head of Data Products and Analytics at Markit.

In order to qualify for index selection, an issuer must have rated bonds for each of the AAA, AA, A, BBB, and BBB- categories. One bond from each deal will be referenced in each sub-index, and bonds must be rated by Moody's and S&P, with the lesser of the two ratings applying. The five sub-indices are based on the rating of the reference obligations which are equally weighted at index launch. Subsequent weightings may change based on the performance of loans in the underlying pools.

The minimum deal size is $500 million, and each tranche referenced must have a weighted average life of between four and six years (except for the AAA tranche, which must have a weighted average life greater than five years). No more than four deals can be selected from the same originator, and no more than six deals can be selected with the same master servicer.

Unlike the corporate CDS indices, the ABX contract component trades are reference obligation-specific, rather than entity-specific. Also, unlike corporate bonds which are bullet maturity, ABS bonds amortize at variable rates over the life of the instrument. An ISDA Pay-As-You-Go (PAUG) template, the standard for U.S. residential mortgage-backed securities, references each bond. Traditional credit events, as they apply to the PAUG contract, do not form part of the index contract. Hence all settlements will occur through the Floating Payment mechanism covering interest shortfalls, principal shortfalls and writedowns.

- Ends -

For information on ABX: see www.markit.com or contact Ben Logan, Director, Product Development at Markit on +212 931 4925, or any of the participating ABX dealers listed below:

Bank of America - Louise Hennessy, GCIB Communications, (212) 847-5403
Barclays Capital - Karina Byrne, Corporate Communications, (212) 412-7561
Bear Stearns - Renu Aldrich, Associate Director, (212) 272-2097
BNP Paribas - Edwina Frawley, (212) 841-3719
Citigroup - Danielle Romero-Apsilos, Corporate and Investment Banking Group Communications, (212) 816-2264
CSFB - Pen Pendleton, Corporate Communications, (212) 325-2590
Deutsche Bank - Michele Agostinho, Press Office, (212) 250-4864
Goldman Sachs - Michael Duvally, VP, Media Relations, (212) 902-2605
JPMorgan - Michael Dorfsman, Corporate Communications, (212) 270-7317
Lehman Brothers - Kerrie Cohen, Corporate Communications, (212) 526-4092
Merrill Lynch - Terez Hanhan, Media Relations, (212) 449-2004
Morgan Stanley - Mark Lake, Media Relations, (212) 761-0814
RBS Greenwich Capital - Peter Ward, Corporate Communications Director, (203) 618 6783
UBS - Kris Kagel, UBS Corporate Communications, (212) 713-8703
Wachovia - Elise Wilkinson, VP, Media Relations, (704) 374-6512

About CDS IndexCo

CDS IndexCo is a consortium of 16 investment banks which are licensed to be market makers in the Dow Jones CDX indexes. The market makers include: ABN AMRO, Bank of America, Barclays Capital, Bear Stearns, BNP Paribas, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia.

About Markit

Markit is the benchmark industry source of independent pricing and valuations for the global financial and energy markets. Markit has data contributed by over 50 dealing firms, and its services are used by 400 institutions globally. Areas of product expertise include OTC derivatives (credit, equity, FX, rates, inflation, energy, power, metals and structured products), corporate bonds, syndicated loans, dividend forecasting, and index and ETF management. Markit has most recently brought price transparency to the European asset-backed securities market with the launch of the first independent ABS pricing service. Markit's position in the derivative markets was acknowledged by the industry in 2005, with awards from IFR for Innovation of the Year (Credit Event Fixings); Financial News for Best Derivatives Data Provider; and Institutional Investor's Operations Management for Vendor of the Year (RED). For more information about Markit, see www.markit.com.