Markit TRX.NA June 30 th, 2009 Strictly Confidential.

Markit TRX.NA

June 30th, 2009

Strictly Confidential

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Markit TRX.NA index

Total Return Swap Index referencing Markit CMBX.NA.AAA cash constituents from all series

Markit is the calculation, marketing, and administrative agent

Exposure to cash CMBS via TRS contracts

Markit published composites determine daily values & monthly settlement

Markit as administrator provides independent 3rd party oversight and consensus pricing for settlement

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Benchmark of TRS on CMBS

Transparency– Objective, rules-based approach to portfolio construction– Daily prices available on Markit website

Standardization– Each index will reference a standardized basket of CMBS reference obligations from the Markit CMBX indices– Standardized documentation for contracts– Monthly payment amounts calculated and posted by Markit– DTCC will offer trade confirmation and settlement

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Operational Efficiency

Trades will confirm over DTCC

Standardized settlement calculation

Valuation analytics publicly available on www.markit.com

Licensed dealers will provide daily closes using streamlined process via Markit website.

Standard ISDA trade documentation for TRS as basis for TRX.NA trade agreements.

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Markit TRX.NA: Indicative terms and conditions

Indices:

Index Reset Date: The Beginning Index Close Date; Thereafter, the last business day of each month (using a modified following business day convention)

Payment Dates: Monthly on the 3th business day following the Period End Date, adjusted (in accordance with the modified following business day convention)

Day Count Basis: 30/360

Interest Amount Upfront: (Spread on TRX.NA.AAA at Index Reset Date) * (Notional Amount) * Index Factor * (Day Count Basis [From Index Reset Date to Transacted Date])

Spread Change Upfront: (The Nominal Spread as of the last Reset Date) – (The Transacted Spread)

Interest Amount Period: (Spread on TRX.NA.AAA at Index Reset Date) * (Notional Amount) * Index Factor * (Day Count Basis [From Index Reset Date to Period End Date])

Spread Change Period: (The Nominal Spread as of the last Index Reset Date) – (Nominal Spread as of the close of the current calculation period)

Index Spread Return Amount: (Spread Change) * (Duration) * (Notional Amount) * Index Factor

Duration: Average Dollar Duration since prior Index Reset Date

Upfront Exchange Upfront exchange accounts for Interest Amount and Index Spread Return Amount as of the Trade Date

Indices Termination DatesTRX.NA.AAA.1.Sep09 September 30th, 2009TRX.NA.AAA.1.Dec09 December 31st, 2009TRX.NA.AAA.1.Mar10 March 31st, 2010TRX.NA.AAA.1.Jun10 June 30th, 2010

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Licensed Dealer Contributions

Dealers will contribute spreads every business day for each index constituent Markit will publish aggregate composites daily and constituent composites

monthly Markit calculates price and duration at index and constituent level Month end spreads are used for fixing & settlement Upfronts are calculated using month end fixings and intraday spreads on the

effective dateMarkit Daily Composites Calculated Fields

Date Spread Price Duration Dollar Duration Average DurationReset Date 28-Feb 1000 65 5.5 3.575 3.575

2-Mar 1050 66 5.45 3.597 3.5863-Mar 900 67 5.68 3.806 3.6594-Mar 950 62 5.79 3.590 3.6425-Mar 1075 68 5.45 3.706 3.6556-Mar 1150 69 5.4 3.726 3.6679-Mar 1200 67 5.5 3.685 3.669

10-Mar 1100 66 5.55 3.663 3.66811-Mar 1000 65 5.65 3.673 3.66912-Mar 900 64 5.68 3.635 3.66613-Mar 950 63.25 5.85 3.700 3.66916-Mar 975 64 5.95 3.808 3.68017-Mar 1000 65 5.68 3.692 3.68118-Mar 1050 66 5.79 3.821 3.691

Trade Date 19-Mar 950 67 5.6 3.752 3.69520-Mar 975 66 5.79 3.821 3.70323-Mar 900 66 5.45 3.597 3.69724-Mar 850 64 5.6 3.584 3.69125-Mar 875 63 5.7 3.591 3.68526-Mar 825 62 5.45 3.379 3.67027-Mar 900 64 5.68 3.635 3.66830-Mar 850 70 5.79 4.053 3.686

Next Reset Date 31-Mar 800 73 5.8 4.234 3.710

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Markit TRX.NA Analytic

Markit will provide a tool for market participants to calculate price, duration, and spread sensitivity for TRX.NA contracts

Analytic utilizes Trepp cashflows with 0% CPR 0% CDR assumptions

Provide 3pm yield curve yield curve to establish market standard and provide consistent outputs via analytic.

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Trading: XYZ Buys $100MM of TRX.NA.AAA.1.Jun09

Firm XYZ – Long Position“Floating Rate Payer” If traded spread is less than

Reset Date spread (“Commencing Index Spread”), XYZ pays upfront amount calculated from spread differential and average dollar duration during that period

XYZ pays accrued interest from the last Reset Date to the Trade Date based on 30/360 daycount and Commencing Index spread

If Ending Index Spread is greater than Commencing Index Spread, XYZ pays product of spread differential and average dollar duration for the calculation period

Firm ABC – Short Position“Fixed Rate Payer” If traded spread is greater than

Reset Date spread (“Commencing Index Spread”), ABC pays upfront amount calculated from spread differential and average dollar duration during the period

ABC receives accrued interest from prior Reset Date up until Trade Date based on 30/360 daycount and Commencing Index spread

If Ending Index Spread is less than Commencing Index Spread, ABC pays product of spread differential and average dollar duration for the calculation period

ABC pays full month’s accrued interest based on prior Commencing Index Spread and 30/360 daycount

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TRX.NA.AAA.1.Jun09 Trade Payments Notional Amount: $100,000,000 Trade Date: March 19th, 2009 Effective Date: March 1st, 2009 Termination Date: June 30th, 2009 First Reset Date: February 28th, 2009 Period End Date: April 1st, 2009 (T+3 swap payment) Commencing Index Spread: +1000 bps Transacted Index Spread: +950 bps Ending Index Spread +800 bps Duration Last Reset Date: 3.575 = (Modified Duration) * ($px) / 100 = (5.5) * (65) / 100 Average Duration on Trade Date: 3.695 = (Avg Modified Duration 2/28 – 3/19) * (Avg $px 2/28 – 3-19) / 100 Average Duration on Payment Date: 3.710 = (Avg Modified Duration 2/28 – 3/31) * (Avg $px 2/28 – 3/31) / 100

Firm XYZ Payments

3/19/09Upfront Value =(Commencing Date Spread – Traded Spread) * (Avg $Duration) * Notional * Index Factor=(1000 – 950) * (3.695) * 100,000,000 * 1 = $1,847,500Interest Amount=Commencing Index Spread * Notional * Index Factor *Daycount=1000 bps * 100,000,000 * 1 * (19/360) = $527,778

4/1/2009Index Spread Return AmountBecause the Ending Index Spread is less than theCommencing Index Spread, XYZ does not owe anything

Firm ABC Payments

3/19/09Receives Upfront & Accrued Interest

4/1/2009Interest Amount=Commencing Index Spread * Daycount * Notional *Index Factor=1000 bps * (30/360) * 100,000,000 * 1=$833,333Index Spread Return Amount=(Commencing Index Spread – Ending Index Spread) *Avg $Duration * Notional * Index Factor=(1000 – 800 bps) * 3.710 * 100,000,000 * 1=$7,420,000 ABC pays XYZ Interest + Spread Return (Carry Amount): $8,253,333

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Markit TRX.NA.AAA.1: Reference EntitiesMarkit Ticker Cusip NameBACM05-5 A-4 05947U2R8 CMBX.NA.AAA.1BACM05-6 A-4 05947U4D7 CMBX.NA.AAA.1BACM05-4 A-5A 05947UX37 CMBX.NA.AAA.1BSCMS05-PWR9 A-4A 07387BAH6 CMBX.NA.AAA.1BSCMS05-TOP20 A-4A 07387BCL5 CMBX.NA.AAA.1BSCMS05-PWR10 A-4 07387BEB5 CMBX.NA.AAA.1CD05-CD1 A-4 12513EAG9 CMBX.NA.AAA.1CSCMT05-C5 A-4 225470AP8 CMBX.NA.AAA.1CSCMT05-C6 A-4 225470NK5 CMBX.NA.AAA.1GMAC06-C1 A-4 361849Q96 CMBX.NA.AAA.1GECMC05-C4 A-4 36828QQE9 CMBX.NA.AAA.1GCMT05-GG5 A-5 396789LL1 CMBX.NA.AAA.1JPMCC05-LDP4 A-4 46625YUA9 CMBX.NA.AAA.1JPMCC05-CIBC13 A-4 46625YVV2 CMBX.NA.AAA.1JPMCC05-LDP5 A-4 46625YXP3 CMBX.NA.AAA.1LBUBS05-C5 A-4 52108H6W9 CMBX.NA.AAA.1LBUBS05-C7 A-4 52108MAF0 CMBX.NA.AAA.1LBUBS06-C1 A-4 52108MDH3 CMBX.NA.AAA.1MLMT05-CKI1 A-6 59022HMU3 CMBX.NA.AAA.1MLMT05-LC1 A-4 59022HNC2 CMBX.NA.AAA.1MSCT05-IQ10 A-4A 617451AF6 CMBX.NA.AAA.1MSCT05-HQ7 A-4 617451CL1 CMBX.NA.AAA.1MSCT06-TOP21 A-4 617451CR8 CMBX.NA.AAA.1WBCMT05-C21 A-4 9297667G2 CMBX.NA.AAA.1WBCMT05-C22 A-4 92976BBN1 CMBX.NA.AAA.1

Markit Ticker Cusip NameBACM06-3 A-4 059500AD0 CMBX.NA.AAA.2BACM06-2 A-4 05950EAE8 CMBX.NA.AAA.2BACM06-4 A-4 05950WAF5 CMBX.NA.AAA.2BACM06-5 A-4 05950XAE6 CMBX.NA.AAA.2BSCMS06-PWR12 A-4 07387JAE6 CMBX.NA.AAA.2BSCMS06-PWR13 A-4 07388LAE0 CMBX.NA.AAA.2CCMT06-C4 A-3 17309DAD5 CMBX.NA.AAA.2COMM06-C7 A-4 20047QAE5 CMBX.NA.AAA.2GCMT06-GG7 A-4 20173MAE0 CMBX.NA.AAA.2CSCMT06-C3 A-3 22545DAD9 CMBX.NA.AAA.2CSCMT06-C4 A-3 22545MAD9 CMBX.NA.AAA.2JPMCC06-CIBC15 A-4 46627QBA5 CMBX.NA.AAA.2JPMCC06-LDP7 A-4 46628FAF8 CMBX.NA.AAA.2JPMCC06-CIBC16 A-4 46629GAE8 CMBX.NA.AAA.2LBUBS06-C6 A-4 50179MAE1 CMBX.NA.AAA.2LBUBS06-C4 A-4 52108RAE2 CMBX.NA.AAA.2MLMT06-C2 A-4 59022KAD7 CMBX.NA.AAA.2MLCW06-2 A-4 60687UAE7 CMBX.NA.AAA.2MLCW06-3 A-4 60687VAE5 CMBX.NA.AAA.2MSCT06-IQ11 A-4 617453AT2 CMBX.NA.AAA.2MSCT06-TOP23 A-4 61749MAV1 CMBX.NA.AAA.2MSCT06-HQ9 A-4 61750CAF4 CMBX.NA.AAA.2WBCMT06-C25 A-4 92976VAE8 CMBX.NA.AAA.2WBCMT06-C27 A-3 92977QAD0 CMBX.NA.AAA.2WBCMT06-C26 A-3 92977RAD8 CMBX.NA.AAA.2

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Markit TRX.NA.AAA.1: Reference EntitiesMarkit Ticker Cusip NameBACM07-1 A-4 059497AX5 CMBX.NA.AAA.3BACM06-6 A-4 05950VAE0 CMBX.NA.AAA.3BSCMS06-PWR14 A-4 07388PAE1 CMBX.NA.AAA.3BSCMS07-PWR15 A-4 07388RAE7 CMBX.NA.AAA.3CD07-CD4 A-4 12513YAF7 CMBX.NA.AAA.3CCMT06-C5 A-4 17310MAE0 CMBX.NA.AAA.3COBALT06-C1 A-4 190749AE1 CMBX.NA.AAA.3COMM06-C8 A-4 20047EAE2 CMBX.NA.AAA.3GCMT07-GG9 A-4 20173QAE1 CMBX.NA.AAA.3CSCMT06-C5 A-3 22545LAD1 CMBX.NA.AAA.3CSCMT07-C1 A-3 22545XAD5 CMBX.NA.AAA.3JPMCC06-LDP9 A-3 46629PAC2 CMBX.NA.AAA.3JPMCC07-CIBC18 A-4 46629YAC3 CMBX.NA.AAA.3JPMCC06-CIBC17 A-4 46630EAC4 CMBX.NA.AAA.3JPMCC07-LDP10 A-3 46630JAC3 CMBX.NA.AAA.3LBUBS07-C1 A-4 50179AAE7 CMBX.NA.AAA.3LBUBS06-C7 A-3 50180CAD2 CMBX.NA.AAA.3MLCW06-4 A-3 55312VAD0 CMBX.NA.AAA.3MLCW07-5 A-4 55312YAE2 CMBX.NA.AAA.3MSCT06-HQ10 A-4 61750HAE6 CMBX.NA.AAA.3MSCT06-IQ12 A-4 61750WAX1 CMBX.NA.AAA.3MSCT07-HQ11 A-4 61751NAF9 CMBX.NA.AAA.3MSCT07-TOP25 A-3 61751XAE0 CMBX.NA.AAA.3MSCT07-IQ13 A-4 61753JAE9 CMBX.NA.AAA.3WBCMT06-C29 A-4 92978PAE9 CMBX.NA.AAA.3

Markit Ticker Cusip NameBACM07-2 A-4 059511AE5 CMBX.NA.AAA.4BACM07-3 A-4 059512AE3 CMBX.NA.AAA.4BSCMS07-PWR16 A-4 07388YAE2 CMBX.NA.AAA.4CCMT07-C6 A-4 17311QBK5 CMBX.NA.AAA.4COBALT07-C3 A-4 19075DAE1 CMBX.NA.AAA.4COMM07-C9 A-4 20047RAE3 CMBX.NA.AAA.4CSCMT07-C3 A-4 22544QAE9 CMBX.NA.AAA.4JPMCC07-CIBC19 A-4 46630VAD4 CMBX.NA.AAA.4JPMCC07-LDP11 A-4 46631BAE5 CMBX.NA.AAA.4LBCMT07-C3 A-4 50177AAE9 CMBX.NA.AAA.4LBUBS07-C2 A-3 50180JAD7 CMBX.NA.AAA.4MLCW07-7 A-4 55313KAE1 CMBX.NA.AAA.4MLMT07-C1 A-4 59025KAE2 CMBX.NA.AAA.4MSCT07-IQ14 A-4 61754KAF2 CMBX.NA.AAA.4MSCT07-TOP27 A-4 61754JAF5 CMBX.NA.AAA.4WBCMT07-C31 A-4 92978TAE1 CMBX.NA.AAA.4WBCMT07-C32 A-3 92978YAD2 CMBX.NA.AAA.4WBCMT07-C33 A-4 92978NAE4 CMBX.NA.AAA.4

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Markit TRX.NA.AAA.1: Reference EntitiesMarkit Ticker Cusip NameBACM07-4 A-4 059513AE1 CMBX.NA.AAA.5BACM07-5 A-4 05952CAE0 CMBX.NA.AAA.5BSCMS07-PWR18 A-4 07401DBC4 CMBX.NA.AAA.5BSCMS07-TOP28 A-4 073945AE7 CMBX.NA.AAA.5CCMT08-C7 A-4 17313KAF8 CMBX.NA.AAA.5CD07-CD5 A-4 12514AAE1 CMBX.NA.AAA.5CSCMT07-C5 A-4 22546BAF7 CMBX.NA.AAA.5CSCMT08-C1 A-3 22546NAD6 CMBX.NA.AAA.5GCMT07-GG11 A-4 20173VAE0 CMBX.NA.AAA.5JPMCC07-C1 A-4 46630DAD4 CMBX.NA.AAA.5JPMCC08-C2 A4 46632MBY5 CMBX.NA.AAA.5LBUBS07-C7 A-3 52109RBM2 CMBX.NA.AAA.5LBUBS08-C1 A-2 50180LAC4 CMBX.NA.AAA.5MLCW07-9 A-4 60688CAE6 CMBX.NA.AAA.5MSCT07-HQ13 A-3 61757RAD9 CMBX.NA.AAA.5MSCT07-IQ16 A-4 61756UAE1 CMBX.NA.AAA.5MSCT08-TOP29 A-4 61757LAE0 CMBX.NA.AAA.5WBCMT07-C34 A-3 92979FAD2 CMBX.NA.AAA.5BSCMS07-PWR17 A-4 07388QAE9 CMBX.NA.AAA 4 & 5CSCMT07-C4 A-4 20173TAE5 CMBX.NA.AAA 4 & 5JPMCC07-CIBC20 A-4 46631QAD4 CMBX.NA.AAA 4 & 5JPMCC07-LDP12 A-4 46632HAD3 CMBX.NA.AAA 4 & 5LBUBS07-C6 A-4 52109PAE5 CMBX.NA.AAA 4 & 5MLCW07-8 A-3 60688BAD0 CMBX.NA.AAA 4 & 5MSCT07-IQ15 A-4 61755YAF1 CMBX.NA.AAA 4 & 5