Fixed Income Index Guide - BlackRock · [10] FIXED INCOME INDEX GUIDE Bloomberg Barclays index family ... Broad family of fixed income indices, including: aggregate, government, corporate,

Fixed Income Index Guide2017

FOR PROFESSIONAL CLIENTS/QUALIFIED INVESTORS/SOPHISTICATED INVESTORS ONLY

356766_6869_•_Fixed Income Index Guide P1.indb 1 29/01/2018 13:23

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[ 2 ] F I X E D I N C O M E I N D E X G U I D EF I X E D I N C O M E I N D E X G U I D E


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F I X E D I N C O M E I N D E X G U I D E [1 ]

Page

Chapter 1: Introduction 2

Chapter 2: Index methodologies 6

Bloomberg Barclays 10

BofA Merrill Lynch 42

Citi 54

eb.rexx 62

FTSE 66

Interactive Data 72

J.P. Morgan 77

Markit

}} Markit iBoxx bond indices 89

}} Markit Credit Default Swaps indices 122

SIX Swiss Exchange 130

Chapter 3: Index comparisons and correlations 134

Broad market benchmarks 136

Government bond benchmarks 138

Inflation-linked government bond benchmarks 142

Corporate bond benchmarks – investment grade 143

Corporate bond benchmarks – high yield 150

Emerging market benchmarks 154

Chapter 4: Appendix 163

Glossary 164

Authors 168

Contents


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Chapter 1Introduction


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F I X E D I N C O M E I N D E X G U I D E [ 3 ]

Index investing has seen unprecedented growth in the last decade. Exchange traded products (ETPs) are now one of the most popular vehicles by which investors can access indexed strategies, with exchange traded funds (ETFs) representing the largest category of ETPs. Year to date, 2017 has seen the strongest flows ever into fixed income ETFs, globally across all providers. Their popularity is set to continue in the coming years, given their advantages of liquidity, diversification and ease of trading. However, navigating and comparing the universe of fixed income ETFs requires an understanding of hundreds of funds and the indices they track, which can be both challenging and time-consuming.

As well as the investment vehicle (product) selected, a key decision investors need to make is choosing the right benchmark that best meets their investment objectives. As the world’s largest ETF provider1, BlackRock has produced this guide to fixed income indices to help investors and advisers in reaching this decision.

In the following sections, we analyse and compare the most commonly used fixed income indices tracked by the main fixed income ETFs in Europe and selectively in the US. Most of the indices in this guide are cash bond indices, although we have also included some credit default swap (CDS) indices. As ETFs continue to grow and develop further as financial instruments, comparisons between other credit instruments such as CDS are becoming increasingly relevant for investors looking to access broad-based corporate bond exposures.

Who should read this guide?This guide provides a source of reference for those selecting a fund, seeking a fund that closely matches a chosen benchmark, or who want to understand the differences between the indices tracked by various ETFs. It does not claim to be exhaustive and neither does it represent a recommendation for any particular indices.

What should one look for in an index?An actively-managed fund will measure performance and generation of alpha against a benchmark.

Benchmark indices are equally important for passively-managed funds (including ETFs) since they reflect the funds’ exposure to markets, investment style, risk/return, transparency and liquidity.

BlackRock carefully considers index selection throughout the product development and enhancement process. We assess the main criteria, putting greater or lesser emphasis on a particular methodology depending on the type of asset class. For this reason, we have added extra notes in Chapter 3, ‘Index comparisons and correlations’, to highlight, from an ETF provider’s viewpoint, the features we believe are most important for investors to consider when comparing and selecting indices.

This guide provides:

}y An overview of the various index families (categorised by provider)

}y An outline of index methodologies

}y A comparison of similar indices by asset class across various index providers showing both index methodology differences and key index metrics

Introduction 1

1 BlackRock has over 800 ETPs globally with more than USD1.6tn in assets under management as at June 2017. Source: BlackRock Global Business Intelligence.


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Indices covered in this guideBroad

market/ aggregate

Government Inflation-linked

Corporate – investment

grade

Corporate – high yield

Securitised Emerging markets

Credit Default Swaps

Currency hedged

Interest rate hedged

Bloomberg Barclays P P P P P P P P P

BofA Merrill Lynch P P P P P

Citi P P P P

eb.rexx P

FTSE P P

Interactive Data P P

J.P.Morgan P P P P P

Markit P P P P P P P P

SIX Swiss Exchange P P P


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Chapter 2Index methodologies


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TerminologyIn order to provide a comprehensive guide that allows for comparison between different indices and index providers we have harmonised some of the wording in the index methodologies. A glossary is included in the appendix explaining the most important technical terms mentioned within the guide.

Performance numbers and key figuresThis index guide contains data from the end of June 2012 to June 2017. We have used the last business day if month-end falls on a holiday or a weekend (e.g. we take data as at Friday 28 April 2017 rather than Sunday 30 April 2017). The guide uses index statistics taken as at 30 June 2017, prior to monthly rebalance. Both volatility and correlations are calculated based on historical monthly returns. These returns are based on our own calculations, which may differ slightly from how index providers publish data. However, in order to make comparison between indices and index providers possible, we have decided to show one consistent metric for indices from all providers.

June 2017 constituent data is used for yield, duration, number of constituents and market capitalisation. Yield and duration numbers are shown as described below. Number of constituents is a simple count of bonds in each index. Market capitalisation is the sum of each bond’s total amount (market value) outstanding. BlackRock’s own calculation methodology is used for key figures to ensure comparability between indices as index providers can have different ways of calculating these figures.

Yield and duration measuresIn this index guide we have shown important index figures along with a description of each index methodology. We have focused on performance, volatility, correlation, yield and duration as these are arguably the most important figures for investors to compare. In practice, comparing the yield and duration of various indices and products can present difficulties. There are a number of ways to calculate both measures, depending on how one accounts for the optionality of bonds for example, or whether yield is weighted by simple bond weight in index or also by duration.

In this guide, we have decided to show yield to maturity and modified duration based on our own calculations for the various indices. This might differ from how the index providers themselves publish this data, although, to make comparisons possible, we show one consistent metric for these indices from all providers. Here is how the various measures are defined and calculated:

}y Yield to maturity (as shown throughout this index guide) – the anticipated rate of return of a bond if it is bought at its current price and held until maturity. It is therefore a forward-looking figure. For fixed income indices, the yield to maturity is calculated as the average of the underlying bonds’ yields to maturity weighted by the bonds’ weight in the index. It takes into account both the return received from coupon payments and the return from the price appreciation or depreciation of the bonds in the index.

Index methodologies 2


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}y Yield to worst – yield to worst is calculated in the same manner as yield to maturity but it also takes into account the optionality of bonds. It calculates the yield to the call date and the yield to maturity and uses the lower (worse) one of the two. It is therefore a more conservative measure than yield to maturity. For bond indices without callable bonds (for example, developed market government bonds), the two measures will be the same.

}y Modified duration (as shown throughout this index guide) – duration is a measure of interest rate risk. It measures the approximate change in a bond’s price for a 1% change in its yield.

}y Modified duration (option adjusted) – this duration measure is calculated in the same manner as modified duration but takes into account the optionality of bonds. It uses a bond’s call date as the maturity date. Further, this measure adjusts the duration of floating-rate notes, accounting for the fact that their reset period is typically significantly lower than their maturity. This measure is therefore lower than modified duration for indices that include bonds with optionality or floating-rate notes.


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[1 0 ] F I X E D I N C O M E I N D E X G U I D E

Bloomberg Barclays index family


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Bloomberg Barclays index familyDistinctive features}y One of the most widely-used benchmark families for bond ETFs globally

}y Broad family of fixed income indices, including: aggregate, government, corporate, securitised, high yield, emerging markets, inflation, convertibles

}y Leading range of inflation-linked bond indices

}y Broad range of customised indices including interest rate-hedged and issuer constrained indices

Bloomberg Barclays index coverage – sorted by index family

Index Exposure Page

Aggregate 13

Bloomberg Barclays Multiverse Index Aggregate 15Bloomberg Barclays Global Aggregate Bond Index Aggregate 16 Bloomberg Barclays Global Aggregate ex-USD Index Aggregate 16 Bloomberg Barclays Global Aggregate Corporate Bond Index Corporate – Investment Grade 17 Bloomberg Barclays Global Aggregate Corporate Bond Index (EUR Hedged) Corporate – Investment Grade 17 Bloomberg Barclays Global Aggregate Corporate Bond ex-GBP Index Corporate – Investment Grade 17 Bloomberg Barclays Euro Aggregate Bond Index Aggregate 17 Bloomberg Barclays Euro Aggregate Treasury Bond Index Government 17 Bloomberg Barclays Euro Short Treasury (0-12 Months) Bond Index Government 17 Bloomberg Barclays France Treasury Bond Index Government 17 Bloomberg Barclays Germany Treasury Bond Index Government 17 Bloomberg Barclays Italy Treasury Bond Index Government 18 Bloomberg Barclays Spain Treasury Bond Index Government 18 Bloomberg Barclays Euro Aggregate Corporate Bond Index Corporate – Investment Grade 18 Bloomberg Barclays Euro Aggregate Corporate Bond Interest Rate Hedged Index Corporate – Investment Grade 18 Bloomberg Barclays Euro Aggregate Corporate 0-3 Years Bond Index Corporate - Investment Grade 18 Bloomberg Barclays Euro Aggregate Corporate 1-5 Years Bond Index Corporate – Investment Grade 18 Bloomberg Barclays Euro Aggregate Corporate Financials Index Corporate – Investment Grade 18 Bloomberg Barclays Euro Aggregate Corporate ex-Financials Bond Index Corporate – Investment Grade 18 Bloomberg Barclays Euro Aggregate Corporate ex-Financials 1-5 Years Bond Index Corporate – Investment Grade 19 Bloomberg Barclays Pan-European Aggregate Index Aggregate 19 Bloomberg Barclays Pan-European Aggregate Corporate Index Corporate – Investment Grade 19 Bloomberg Barclays Sterling Gilt Index Government 19 Bloomberg Barclays Sterling Gilt Float Adjusted Index Government 19 Bloomberg Barclays Sterling Gilt 1-5 Years Index Government 19 Bloomberg Barclays Sterling Aggregate Corporate Bond Index Corporate – Investment Grade 19 Bloomberg Barclays Sterling Aggregate Corporate 1-5 Years Bond Index Corporate – Investment Grade 19 Bloomberg Barclays US Aggregate Bond Index Aggregate 20 Bloomberg Barclays US Aggregate Treasury Bond Index Government 20 Bloomberg Barclays US Aggregate Treasury Float Adjusted Bond Index Government 20 Bloomberg Barclays US Aggregate Corporate Bond Index Corporate – Investment Grade 20 Bloomberg Barclays US Aggregate Corporate 1-5 Years Bond Index Corporate – Investment Grade 21 Bloomberg Barclays USD Liquid Investment Grade Index Corporate – Investment Grade 21 Bloomberg Barclays US FRN < 5 Years Index Corporate – Investment Grade 22 Bloomberg Barclays US MBS Index Securitised 23 Bloomberg Barclays Global Government AAA-AA Capped Bond Index Government 24 Bloomberg Barclays US Credit Bond Index Credit 25 Bloomberg Barclays US Universal Index Aggregate 26


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Index Exposure Page

High yield indices 27

Bloomberg Barclays Global High Yield Bond Index Corporate – High Yield 27 Bloomberg Barclays Euro High Yield Bond Index Corporate – High Yield 27 Bloomberg Barclays Liquidity Screened Euro HY Index Corporate - High Yield 28 Bloomberg Barclays US High Yield Bond Index Corporate – High Yield 28 Bloomberg Barclays US High Yield Very Liquid Index Corporate – High Yield 28 Bloomberg Barclays Global Corporate ex-EM Fallen Angels 3% Issuer Capped Index Corporate – High Yield 29

Government bond term indices 30

Overview: Bloomberg Barclays Euro Government Term Indices 30 Bloomberg Barclays Euro Government Bond 1-3 Year Term Index Government 30 Bloomberg Barclays Euro Government Bond 5 Year Term Index Government 30 Bloomberg Barclays Euro Government Bond 5-7 Year Term Index Government 30 Bloomberg Barclays Euro Government Bond 3-7 Year Term Index Government 31 Bloomberg Barclays Euro Government Bond 10 Year Term Index Government 31 Bloomberg Barclays Euro Government Bond 10-15 Year Term Index Government 31 Bloomberg Barclays Euro Government Bond 30 Year Term Index Government 31

Inflation-linked indices 32

Bloomberg Barclays World Government Inflation-Linked Bond Index Inflation-Linked 32 Bloomberg Barclays Euro Government Inflation-Linked Bond Index Inflation-Linked 32 Bloomberg Barclays US Government Inflation-Linked Bond Index Inflation-Linked 33 Bloomberg Barclays UK Government Inflation-Linked Bond Index Inflation-Linked 33

Emerging Markets indices 34

Bloomberg Barclays Emerging Markets Hard Currency Aggregate Bond Index Emerging Markets 34Bloomberg Barclays Emerging Markets Local Currency Government Bond Index Emerging Markets 34 Bloomberg Barclays Emerging Markets Local Currency Core Gross Government Bond Index Emerging Markets 36 Bloomberg Barclays Emerging Markets Local Currency Core Net Government Bond Index Emerging Markets 37 Bloomberg Barclays Emerging Markets Local Currency Liquid Government Index Emerging Markets 37Bloomberg Barclays Emerging Markets Asia Local Currency Government Country Capped Index Emerging Markets 38

Environmental Social Governance (ESG) indices 39

Bloomberg Barclays MSCI Euro Corporate Sustainable SRI Index ESG – Corporate IG 39 Bloomberg Barclays MSCI Euro Corporate 0-3 Year Sustainable SRI Index ESG – Corporate IG 39Bloomberg Barclays MSCI US Corporate Sustainable SRI Index ESG – Corporate IG 39 Bloomberg Barclays MSCI US Corporate Sustainable SRI Index ESG – Corporate IG 40Bloomberg Barclays Global Green Bond Index (EUR Hedged) ESG – Aggregate 40

Bloomberg Barclays index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see Bloomberg Barclays’ index products website: indices.barclays/IM/12/en/indices/welcome.app. Alternatively, factsheets and index information can be found on Bloomberg using the shortcut “IN <GO>”

Rating methodologyBloomberg Barclays indices use the middle-ranked1 rating of Moody’s, S&P and Fitch ratings. Where ratings are available from only two agencies, the lower is used. Where only one agency rates a bond, that rating is used.

1 Middle-ranked means that the ratings are put into order from best to worst and the median rating is used. Hypothetical example: if a bond is rated AAA by S&P, A by Moody’s and A– by Fitch, Bloomberg Barclays take the middle rating; A, not the numerical average that would be AA.


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Pricing methodologyExposure Prices used for

index calculationPrice source Timing

Aggregate Bid prices

Exceptions:

}y The initial price for new corporate issues entering the index is the offer side; after the first month, the bid price is used

}y Japanese, euro and sterling government bonds use mid prices

Varies by region:

}y US Aggregate Index: Most index-eligible bonds are priced on a daily basis by Bloomberg’s evaluated pricing service, BVAL. Certain segments of Eurodollar issues and LATAM USD-denominated bonds are priced by third-party sources.

}y Pan-European Aggregate Index: pricing is provided by a combination of BVAL and third-party sources. Prices for CHF-denominated bonds are sourced from the Swiss stock exchange.

}y Asian-Pacific Aggregate Index: pricing is provided by a combination of BVAL and third-party sources on a daily basis.

}y 144A/Eurodollar Indices: pricing is provided by a combination of BVAL and third-party sources.

}y Canadian Index: pricing is provided by Reuters.

}y North American currency bonds: 3:00pm, New York (4:00pm, New York for taxable municipal bonds)

}y CAD-denominated securities: 4:00pm, Toronto

}y Pan European currency bonds: 4:15pm, London

}y CHF-denominated securities: 4:00pm, London

}y Asian currency bonds: at each local market close

}y JPY-denominated securities: 3:00pm, Tokyo

}y If the last business day of the month is a public holiday, prices from the previous business day are used

Government term indices

Mid prices }y Bloomberg Barclays trader prices }y Local market close


Inflation-linked Mid prices Combination of:

}y Bloomberg Barclays market maker prices (euro government, US, UK, Australian, Swedish and Japanese linkers)

}y RBC Dominion (Canadian linkers)

}y Local market close

}y Index is calculated daily and has a price for each business day

High yield corporate

Bid prices

Exceptions:

}y New corporate issues entering the index are priced on the offer side, and are priced at bid thereafter

Pricing sources by index:

}y US High Yield Index: priced by BVAL

}y Pan-European High Yield Index: priced by BVAL

}y EM Hard Currency High Yield Index: priced by a combination BVAL and third-party sources

}y North American currency bonds: 3:00pm, New York

}y Pan-European currency bonds: 4:15pm, London

}y CHF-denominated securities: 4:15pm, London


Emerging markets (hard currency)

Bid prices Combination of:

}y BVAL pricing

}y Third-party pricing – if there is no internal price source available

}y North American currency bonds: 3:00pm, New York

}y European currency bonds: 4.15pm, London


Emerging markets (local currency)

Bid prices Combination of:

}y BVAL pricing

}y Third-party pricing (IDC, Reuters and other local pricing providers)

}y LATAM: 3:00pm, New York

}y EMEA: 4:15pm, London

}y Asia: local market close

}y On early market closes: 1:00pm, New York (unless otherwise noted)


Spot and forward foreign exchange ratesFor all multi-currency indices, the spot and forward foreign exchange rates are sourced from WM Company as at 4:00pm London time.


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Currency hedging methodologyThe Bloomberg Barclays FX hedging methodology uses rolling one-month forward contracts that are reset at the end of each month. Any bond in the index that is not denominated in the reporting currency is hedged into the reporting currency. No adjustments are made to the hedge during the month to account for price movements of constituent securities. Total performance figures for currency-hedged indices take account of the cost of hedges as implied by forward rates (interest rate differentials). However, published yield-to-maturity figures do not take hedges into account and are based solely on the long bond positions in the index.

Interest rate hedging methodologyChanges in government bond yield curves have been a dominant driver of total returns in recent years. To allow investors to track standard indices independently of such government bond movements, without having to alter the broad coverage and diversification of their investments, Bloomberg Barclays offers indices that remove the duration (interest rate) element of their fixed income benchmarks. It achieves this by combining a cash index with a short index, a mirror futures index (MFI) that reduces the government bond duration exposure of the cash index in full or in part. The MFI is a basket of government bond futures contracts, weighted to match the option-adjusted duration (OAD) of a Bloomberg Barclays index at the start of the month. For example, the Bloomberg Barclays Euro Aggregate Corporate Bond Interest Rate-Hedged Index will include a number of German government bond futures contracts, weighted to match the OAD profile and market value of the Bloomberg Barclays Euro Aggregate Corporate Bond Index. Through the use of futures, the duration can be reduced to zero or any other chosen level at the end of each month. The MFI futures basket is rebalanced monthly, just like the underlying cash bond index. The yield figures published for the interest rate-hedged index take the hedge into account and as a result are lower than those of the unhedged index when the benchmark yield curve is in positive territory.


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Bloomberg Barclays Multiverse IndexThe Bloomberg Barclays Multiverse Index represents the union of the Bloomberg Barclays Global Aggregate Bond Index and the Bloomberg Barclays Global High Yield Index. It captures both investment grade and high yield securities from all eligible countries. This multi-currency benchmark includes fixed-rate government, government-related, corporate and securitised bonds from both developed and emerging market issuers. To be included, bonds must be publicly issued in both global and regional markets.

Index inclusion criteriaSecurity types included}y Bullet, puttable and callable bonds

}y Soft bullets

}y Original issue zero-coupon bonds

}y Step ups

}y Underwtitten Medium Term Notes (MTNs)

}y US Certificates of Deposit (CDs)

}y Both senior and subordinated debt

Security types excluded}y Bonds with equity type features (e.g. warrants,

convertibility)

}y Private placements

}y STRIPS

}y Inflation-linked bonds

}y Defaulted bonds

}y Privately placed Japanese Government Bonds (JGBs)

}y USD 25/USD 50 par bonds

Credit rating}y Includes both investment grade and high yield-rated

debt

}y A limited number of unrated emerging markets and US high yield securities are included provided they previously held a high yield-rating or have been associated with a high yield issuer and trade accordingly

}y Unrated subordinated securities are included if a issuer rating is applicable

}y German Pfandbriefe are assigned ratings that are one full rating catergory above the issuer’s unsecured debt

MaturityMinimum remaining time to maturity of 1 year

Amount outstanding}y 300m: USD, for US Aggregate, Canadian, Eurodollar and

Investment Grade 144A Index securities

}y 500m: USD, for CMBS and ABS transactions

}y 300m: EUR, for Pan-European Aggregate Index securities

}y 35bn: JPY for Asian-Pacific Aggregate and Euro-Yen Index securities

}y 200m: GBP for GBP-denominated securities

All securities in other Global Aggregate eligible currencies have minimum amount outstanding per bond pegged to one of the four currencies listed above, using an exchange rate that is reset annually.

}y 150m: USD for US High Yield Index securities

}y 100m: EUR for Pan-European High Yield Index Securities

}y For Emerging Market securities, USD / EUR 500m per bond and USD 1bn / EUR 1bn per issuer

RebalancingFrequencyMonthly

Weighting methodologyMarket capitalisation

Reinvestment of cash flowsIntra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding.

Base currency: USD Bloomberg code: LF93TRUU


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Bloomberg Barclays Global Aggregate Bond IndexThe Bloomberg Barclays Global Aggregate Bond Index is a flagship index that measures investment grade debt from 24 local currency markets around the world. This multi-currency benchmark includes fixed-rate government, government-related, corporate and securitised bonds from both developed and emerging market issuers. To be included, bonds must be publicly issued in both global and regional markets.

Index inclusion criteriaSecurity types included}y Senior and subordinated bonds

}y Bullet, puttable, sinkable/amortising and callable bonds

}y Taxable municipal securities, including Build America Bonds (BABs)

}y Original issue zero-coupon and underwritten medium-term notes

}y Enhanced equipment trust certificates

}y Certificates of deposit

}y Fixed-rate and fixed-to-floating rate (including fixed-to-variable) bonds

}y Loan participation notes (as at 1 April 2013)

}y US agency CMBS (as at 1 July 2014)

}y Malaysian government Sukuk (as at 1 April 2015)

Security types excluded}y Contingent capital securities, including traditional

COCOs and contingent write-down securities, with explicit capital ratio or solvency/balance sheet-based triggers

}y Bonds with equity-type features (e.g. warrants, convertibles, preferreds, DRD/QDI-eligible issues)

}y Tax-exempt municipal securities

}y Inflation-linked bonds, floating-rate issues

}y Fixed-rate perpetual bonds

}y Private placements, retail bonds

}y Sinkable Russian OFZ bonds issued prior to 2009

}y USD 25/USD 50 par bonds

}y Structured notes, pass-through certificates

}y Non-ERISA eligible CMBS, US Agency MBS hybrid ARMs

}y Illiquid securities where reliable pricing is unavailable

}y Formosa bonds (as of 1 April 2017)

Credit ratingInvestment grade (Baa3/BBB- or higher)


Amount outstandingMinimum amount outstanding per bond differs per currency:

}y 300m: AUD, CAD, CHF, EUR, USD (excluding MBS)

}y 100bn: CLP

}y 10bn: CZK, MXN, THB

}y 2bn: DKK, HKD, ILS, MYR, NOK, PLN, ZAR

}y 200m: GBP

}y 200bn: HUF

}y 35bn: JPY

}y 500bn: KRW

}y 500m: NZD, SGD

}y 20bn: RUB

}y 2.5bn: SEK

}y 1bn: USD MBS pass-throughs

RebalancingFrequencyBonds are moved monthly and added on the last day of the month, with the rebalancing taking effect from the first day of the following month.



Base currency USD Bloomberg code LEGATRUU

Bloomberg Barclays Global Aggregate ex-USD IndexIndex methodology}y Subset of the Bloomberg Barclays Global Aggregate

Bond Index (same index methodology)

}y Excludes US dollar-denominated issues

Base currency: USD Bloomberg code: LG38TRUU


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Bloomberg Barclays Global Aggregate Corporate Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Global Aggregate


}y Only includes global investment grade, fixed-rate corporate bonds from developed and emerging markets issuers within the industrial utility and financial sectors

Base currency USD Bloomberg code LGCPTRUU

Bloomberg Barclays Global Aggregate Corporate Bond Index (EUR Hedged)Index methodology}y Subset of the Bloomberg Barclays Global Aggregate

Corporate Bond Index (same index methodology)

}y Hedges all currencies inherent in the parent index into euro using Bloomberg Barclays currency hedging methodology (page 14)

Base currency EUR Bloomberg code LGCPTREH

Bloomberg Barclays Global Aggregate Corporate Bond ex-GBP IndexIndex methodology}y Subset of the Bloomberg Barclays Global Aggregate


}y Excludes sterling-denominated corporate bonds

Base currency USD Bloomberg code N/A

Bloomberg Barclays Euro Aggregate Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Global Aggregate


}y Measures the euro-denominated part, including treasuries, government-related corporate and securitised issues

Base currency EUR Bloomberg code LBEATREU

Bloomberg Barclays Euro Aggregate Treasury Bond indexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate Bond

Index (same index methodology)

}y Consists of fixed-rate, investment grade public obligations of the sovereign countries participating in the European Monetary Union

Base currency EUR Bloomberg code LEATTREU

Bloomberg Barclays Euro Short Treasury (0-12 Months) Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate

Treasury Bond Index (same index methodology)

}y Minimum time to maturity of 1 year at issuance

Base currency EUR Bloomberg code LA09TREU

Bloomberg Barclays France Treasury Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Includes only French government bonds publicly issued in the domestic market

Base currency EUR Bloomberg code LTFRTREU

Bloomberg Barclays Germany Treasury Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Includes only German government bonds publicly issued in the domestic market

Base currency EUR Bloomberg code LETGTREU


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Bloomberg Barclays Italy Treasury Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Includes only Italian government bonds publicly issued in the domestic market

Base currency EUR Bloomberg code LTITTREU

Bloomberg Barclays Spain Treasury Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Includes only Spanish government bonds publicly issued in the domestic market

Base currency EUR Bloomberg code LETSTREU

Bloomberg Barclays Euro Aggregate Corporate Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate Bond


}y Measures the euro-denominated corporate bond market with inclusion based on the currency denomination of a bond and not the country of risk of the issuer

Base currency EUR Bloomberg code LECPTREU

Bloomberg Barclays Euro Aggregate Corporate Bond Interest Rate Hedged IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Includes short positions in German government bond futures to reduce the duration to zero (monthly rebalancing of hedge)

}y Hedge is implemented using the Bloomberg Barclays interest rate hedging methodology (page 14)

Base currency EUR Bloomberg code BRDHTREU

Bloomberg Barclays Euro Aggregate Corporate 0-3 Years Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Remaining time to maturity of up to (but not including) 3 years

Base currency: EUR Bloomberg code: BRC3TREU

Bloomberg Barclays Euro Aggregate Corporate 1-5 Years Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Minimum remaining time to maturity of 1 year

}y Maximum remaining time to maturity of up to (but not including) 5 years

Base currency EUR Bloomberg code LEC4TREU

Bloomberg Barclays Euro Aggregate Corporate Financials IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Includes only corporate bonds issued by financial institutions

Base currency EUR Bloomberg code LEEFTREU

Bloomberg Barclays Euro Aggregate Corporate ex-Financials Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Excludes corporate bonds issued by financial institutions

Base currency EUR Bloomberg code LECFTREU


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Bloomberg Barclays Euro Aggregate Corporate ex-Financials 1-5 Years Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Euro Aggregate


}y Excludes corporate bonds issued by financial institutions



Base currency EUR Bloomberg code LECXTREU

Bloomberg Barclays Pan-European Aggregate IndexIndex methodology}y Subset of the Bloomberg Barclays Global Aggregate


}y Includes only bonds issued in a European currency (Czech koruna, Danish krone, euro, Hungarian forint, Norwegian krone, Polish zloty, Russian rouble, Slovakian koruna, Slovenian tolar, Swedish krona, Swiss franc and sterling)

Base currency EUR Bloomberg code LP06TREU

Bloomberg Barclays Pan-European Aggregate Corporate IndexIndex methodology}y Subset of the Bloomberg Barclays Pan-European

Aggregate Index (same index methodology)

}y Measures the pan-European corporate bond market


Bloomberg Barclays Sterling Gilt IndexIndex methodology}y Subset of the Bloomberg Barclays Sterling Aggregate

Index which is part of the Bloomberg Barclays Pan-European Aggregate Index (same index methodology)

}y Only includes UK government bonds (gilts)

Base currency GBP Bloomberg code LSG1TRGU

Bloomberg Barclays Sterling Gilt Float Adjusted IndexIndex methodology}y Subset of the Bloomberg Barclays Sterling Aggregate


}y Only includes nominal UK government bonds (gilts)

}y Float-adjusted by adjusting the par amount outstanding for Bank of England holdings of sterling-denominated government debt

Base currency: GBP Bloomberg code: BGGFTRGU

Bloomberg Barclays Sterling Gilt 1-5 Years IndexIndex methodology}y Subset of the Bloomberg Barclays Sterling Gilt Index

(same index methodology)



Base currency GBP Bloomberg code LF56TRGU

Bloomberg Barclays Sterling Aggregate Corporate Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Sterling Aggregate

Index which is part of the Bloomberg Barclays Pan-European Aggregate Index (same index methodology)

}y Measures the sterling-denominated corporate bond market

Base currency GBP Bloomberg code LC61TRGU

Bloomberg Barclays Sterling Aggregate Corporate 1-5 Years Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Sterling Aggregate




}y Index does include longer-dated, callable bonds with call dates within the 5-year time frame

Base currency GBP Bloomberg code LF68MAT


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[ 2 0 ] F I X E D I N C O M E I N D E X G U I D E

Bloomberg Barclays US Aggregate Bond IndexIndex methodology}y Subset of the Bloomberg Barclays Global Aggregate


}y Measures the US dollar-denominated part, fixed-rate taxable bond market

}y Minimum amount outstanding per bond:

– USD300m: Treasury, government-related and corporate securities (as at 1 April 2017)

– USD1bn: MBS pass-throughs, pool aggregates

– USD500m: ABS (USD25m minimum tranche size)

– USD500m: CMBS minimum deal size with at least USD300m remaining in the deal and USD25m minimum tranche size

– US Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and secondary market transactions) are deducted from the total amount outstanding. New issuance bought at auction by the Federal Reserve does not enter the index. Net secondary market purchases/sales are adjusted at each month-end with a one-month lag

– Hybrid ARMs not included (as at 1 June 2017)1

Base currency USD Bloomberg code LBUSTRUU

Bloomberg Barclays US Aggregate Treasury Bond IndexIndex methodology}y Subset of the Bloomberg Barclays US Aggregate Bond


}y Only includes government bonds issued by the US Treasury (Treasury bills are excluded by the maturity constraint)

}y US Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and secondary market transactions) are deducted from the total amount outstanding. New issuance bought at auction by the Federal Reserve does not enter the index. Net secondary market purchases/sales are adjusted at each month-end with a one-month lag

Base currency USD Bloomberg code LUATTRUU

Bloomberg Barclays US Aggregate Treasury Float Adjusted Bond IndexIndex methodology}y Subset of the Bloomberg Barclays US Aggregate Bond


}y Only includes government bonds issued by the US Treasury (Treasury bills are excluded by the maturity constraint)

}y US Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and secondary market transactions) are deducted from the total amount outstanding. New issuance bought at auction by the Federal Reserve does not enter the index. Net secondary market purchases/sales are adjusted at each month-end with a one-month lag

Base currency USD Bloomberg code BUTFTRUU

Bloomberg Barclays US Aggregate Corporate Bond IndexIndex methodology}y Subset of the Bloomberg Barclays US Aggregate Bond


}y Measures the US dollar-denominated corporate bond market

Base currency USD Bloomberg code LUACTRUU

1 Prior to 1 April 2017, minimum amount outstanding was USD250m for Treasury, Government-Related and Corporate securities.


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F I X E D I N C O M E I N D E X G U I D E [ 2 1 ]

Bloomberg Barclays US Aggregate Corporate 1-5 Years Bond IndexIndex methodology}y Subset of the Bloomberg Barclays US Aggregate




Base currency USD Bloomberg code BUC1TRUU

Bloomberg Barclays USD Liquid Investment Grade IndexIndex methodology}y Subset of the Bloomberg Barclays US Aggregate


}y Minimum original term to maturity of 3 years

}y Minimum amount outstanding per bond of USD750m

}y Minimum amount outstanding per issuer of USD2bn

}y Illiquid securities with no available internal or third-party pricing source/private placements and retail bonds are excluded

Base currency USD Bloomberg code BLQCTRUU


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Bloomberg Barclays US FRN < 5 Years IndexThe Bloomberg Barclays US FRN < 5 Years Index is a subset of the US Floating-Rate-Note (FRN) Index, which measures the performance of US dollar-denominated FRNs across corporate and government-related sectors. This index has a maximum remaining time to maturity of up to (but not including) 5 years and is not part of the US Aggregate Index, which is a fixed coupon index.


}y FRNs with coupon step-ups

}y 3-month LIBOR-based fixed-spread securities

}y Corporate entities and funding agreements

}y Bullet and callable structures

Security types excluded}y Fixed-rate bullet, puttable and callable bonds

}y Fixed-rate and fixed-to-floating securities; securities not floating rate at issuance

}y Bonds with equity type features (e.g. warrants, convertibles, contingent capital securities)


}y Fixed-rate perpetuals

}y Securitised bonds (MBS, ABS, CMBS, covered)

}y Yankee CDs

}y FDIC-guaranteed bank debt

}y Illiquid securities with no available internal or third-party price source

Credit RatingInvestment grade (Baa3/BBB- or higher)

MaturityMinimum remaining time to maturity of 1 month with an issue date of 1998 or later1

Amount outstandingMinimum amount outstanding per bond of USD300m




Base currency: USD Bloomberg code: BFU5TRUU

1 Prior to 1 April 2007, the minimum time to maturity was 13 months


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Bloomberg Barclays US MBS IndexIndex methodologyThe Bloomberg Barclays US MBS Index is a subset of the Bloomberg Barclays US Aggregate Bond Index that measures agency mortgage-backed pass-through securities guaranteed by the US government agencies: Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is constructed by grouping individual TBA-deliverable MBS pools into aggregates or generics based on programme, coupon and vintage.

Index inclusion criteriaSecurity types included}y Agency MBS: GNMA, FNMA, FHLMC

}y 30-year, 15-year and 20-year fixed-rate programmes

}y 3/1, 5/1, 7/1 and 10/1 hybrid ARM programmes

Security types excluded}y TBAs (to-be-announced) securities

}y Collateralised mortgage obligations (CMOs)

}y Non-agency (whole loan) collateral

}y FNMA mega pools, FHLMC giant pools, GNMA platinum pools

}y Floating-rate ARMs

}y Jumbo pools

}y Prepayment penalty mortgages

}y 10-year securities

}y Buydowns

}y High loan-to-value (LTV) FNMA CR/CQ and FHLMC U6/U9 pools1

Credit rating}y Investment grade (Baa3/BBB- or higher)

}y US agency MBS is assigned the same rating as US government debt

Maturity}y Pooled aggregates: minimum-weighted average

maturity of 1 year

}y Hybrid ARM pools: minimum of 1 year remaining in the security’s fixed-rate term prior to conversion to floating-rate coupon

Amount outstanding Pooled aggregates and hybrid ARM aggregates based on agency, programme, coupon and origination year have a minimum amount outstanding of USD1bn




Base currency USD Bloomberg code LUMSTRUU

1 CR, CQ, U6 and U9 refer to convention long-term level payment mortgages, single family, maturing or due in 30 years or less. CR and U9 pools are comprised entirely of mortgages with LTV ratios greater than 125% whilst CQ and U6 pools are comprised entirely of mortgages with LTV ratios greater than 105% and less than or equal to 125%. CR and CQ are pools containing FNMA mortgages whilst U6 and U9 pools contain FHLMC mortgages.


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Bloomberg Barclays Global Government AAA-AA Capped Bond IndexThe Bloomberg Barclays Global Government AAA-AA Capped Bond Index includes fixed-rate local currency government debt of countries that are rated AA3 or above.

Index inclusion criteriaSecurity types included}y Fixed-rate coupon bonds

}y Puttable and callable bonds

}y Soft bullets

}y Original issue zero-coupon and underwritten bonds

}y Medium-term notes

Security types excluded}y Strips


}y Privately placed Japanese government bonds

}y Floating-rate issues

}y Securities with an index rating of BAA and below

Credit ratingAA3/AA- or higher (Local currency government bonds are classified using the middle issuer level rating from each agency)



}y 300m: CAD, EUR, USD

}y 200m: GBP

}y 35bn: JPY

For bonds in other eligible countries, minimum amount outstanding is based on one of the five major currencies above, using exchange rate that is reset annually in November.



Maximum weight}y 20% country cap for countries with AAA credit rating

}y 10% country cap for countries with AA credit rating

}y Excess market value over a country’s cap redistributed on a pro rata basis to all other countries’ bonds in the index that are under each country’s ratings-specific cap


Base currency USD Bloomberg code BGGATRUU


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Bloomberg Barclays US Credit Bond IndexThe Bloomberg Barclays US Credit Bond Index is a subset of the Bloomberg Barclays US Aggregate Bond Index that measures the performance of investment grade, US dollar-denominated, fixed-rate, taxable, corporate and government-related bond markets. It is comprised of the US corporate index and a non-corporate bond component that includes foreign agencies, governments, supranationals and local authorities.

Note: The index was called the Bloomberg Barclays US Corporate Index until July 2000.




}y Original issue zero-coupon and underwritten medium-term notes

}y Enhanced equipment trust certificates

}y Certificates of deposit

}y Fixed-rate and fixed-to-floating-rate (including fixed-to-variable) bonds

Security types excluded}y Contingent capital securities, including traditional

COCOs and contingent write-down securities

}y Bonds with equity type features (e.g. warrants, convertibles, preferred bonds, and DRD/QDI-eligible issues)

}y Tax-exempt municipal securities




}y Retail bonds

}y USD25/USD50 par bonds

}y Structured notes

}y Pass-through certificates

}y Illiquid securities with no available internal or third-party pricing source



Amount outstandingMinimum amount outstanding per bond is USD250m




Base currency USD Bloomberg code LUCRTRUU

Bloomberg Barclays US 1-3 Year Credit Bond IndexIndex methodology}y Subset of the Bloomberg Barclays US Credit Bond Index



}y Maximum remaining time to maturity of 3 years

Base currency USD Bloomberg code LD01TRUU

Bloomberg Barclays US Intermediate Credit Bond IndexIndex methodology}y Subset of the Bloomberg Barclays US Credit Bond Index




Base currency USD Bloomberg code LUICTRUU


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Bloomberg Barclays US Universal IndexThe Bloomberg Barclays US Universal Index represents the union of the Bloomberg Barclays US Aggregate Bond Index, the Bloomberg Barclays US High Yield Index, the Bloomberg Barclays Investment Grade 144A Index, the Bloomberg Barclays Eurodollar Index, the Bloomberg Barclays US Emerging Markets Index and the non-ERISA eligible portfolio of the Bloomberg Barclays CMBS Index. It captures both investment grade and high yield securities from all eligible countries. This benchmark includes fixed-rate government, government-related, corporate and securitised bonds publicly issued in both global and regional markets.

Index inclusion criteriaSecurity types included}y Hybrid ARMs


}y Fixed-rate bullet, puttable and callable bonds

}y Soft bullets

}y SEC registered or exempt from registration at issuance, SEC Rule 144A with or without registration rights

}y Original issue zero-coupon and underwritten Medium Term Notes (MTNs)

}y Enhanced Equipment Trust Certificates (EETC)

}y Certificates of Deposit (CDs)

}y Covered bonds

}y Fixed-rate and fixed-to-floating rate securities

}y Senior and subordinated debt

}y Capital securities during their fixed-rate term (will exit index one year prior to conversion to floating coupon security)

Security types excluded}y Bonds with equity-type features (e.g. warrants,

convertibles, contingent capital securities)

}y Tax-exempt municipal securities, DRD/QDI-eligible securities


}y STRIPS


}y CMBS high yield

}y Fixed-rate perpetuals

}y USD 25/ USD 50 par bonds, retail bonds


}y Illiquid securities with no available internal or third-party price source

}y CMBS A1A tranches

Credit ratingIncludes both investment grade and high yield rated debt

A limited number of unrated emerging markets and US high yield securities are included provided they previously held A high yield rating or have been associated with a high yield issuer and trade accordingly.


Amount outstanding}y 250m: USD, for Treasury, government-related and

corporates securities and MBS pool aggregates

}y 500m: USD deal size for ABS securities, with a USD25m minimum tranche size

}y 500m: USD deal size for CMBS securities, with a USD25m minimum tranche size

}y 150m: USD for US High Yield Index securities

}y 250m: USD for Eurodollar issues (or USD200m for Japanese ex-warrant bonds)

}y 250m: USD for SEC Rule 144A issues

}y For emerging market issues, USD500m per bond and corporate issuers minimum issuer size of USD1bn




Base currency: USD Bloomberg code: LC07TRUU


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Bloomberg Barclays Global High Yield Bond IndexThe Bloomberg Barclays Global High Yield Bond Index provides a broad-based measure of the global high yield fixed income markets. The Bloomberg Barclays Global High Yield Bond Index represents the US high yield, pan-European high yield and Emerging Markets Hard Currency High Yield Indices.




}y Fixed-rate and fixed-to-floating (including fixed-to-variable) bonds

}y Defaulted emerging markets sovereign bonds

}y Loan participation notes

Security types excluded}y Contingent capital securities, including traditional COCOs

and contingent write-down securities, with explicit capital ratio or solvency/balance sheet-based triggers

}y Bonds with equity type features (e.g. warrants, convertibles, preferred bonds and DRD/QDI-eligible issues)



}y USD25/USD50 par bonds

}y Securities where reliable pricing is unavailable

}y Defaulted corporate issues

}y Partial pay-in-kind bonds


Credit ratingHigh yield (Ba1/BB+ or lower)



}y 100m EUR/CHF, 50m GBP, 500m DKK/NOK, 1bn SEK for pan-European high yield securities

}y 150m: USD for US high yield securities

}y 500m: EUR/USD/GBP for emerging markets securities




Base currency USD Bloomberg code LG30TRUU

Bloomberg Barclays Euro High Yield Bond IndexIndex methodology}y Subset of Bloomberg Barclays Global High Yield


}y Includes only euro-denominated, non-investment grade, corporate bonds



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Bloomberg Barclays Liquidity Screened Euro HY IndexThe Bloomberg Barclays Liquidity Screened Euro High Yield Index is a more liquid subset of the Euro High Yield Index.

Index inclusion criteriaSecurity types included}y Senior, senior subordinated and senior unsecured bonds


}y Soft bullets

Security types excluded}y Bonds with equity-type features (e.g. warrants,

convertibles, contingent capital securities)

}y Private placements, including Schuldscheine

}y Floating-rate securities and securities that move from fixed-to-floating-rate

}y Inflation-linked bonds, government-related and securitised bonds

Credit ratingSecurities must currently be rated between Caa3/CCC-/CCC- and Ba1/BB+/BB+

Maturity}y Minimum remaining time to maturity of 1 year


Amount outstandingMinimum amount outstanding per bond is €250m



Maximum weight5% issuer cap


Base currency: EUR Bloomberg code: BEHLTREU

Bloomberg Barclays US High Yield Bond IndexIndex methodology}y Subset of Bloomberg Barclays Global High Yield


}y Includes only US dollar-denominated bonds

}y Includes sinking funds, amortising bonds

}y Excludes emerging markets bonds and contingent capital securities (COCOs)

Base currency USD Bloomberg code LF98TRUU

Bloomberg Barclays US High Yield Very Liquid IndexIndex methodology}y Subset of Bloomberg Barclays US High Yield Bond Index

(same index methodology), but designed to track a more liquid component of the US High Yield bond market

}y Includes only three largest bonds from each issuer


}y Includes only bonds that were issued in the last 5 years

}y 2% issuer cap

Base currency USD Bloomberg code LHVLTRUU


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Bloomberg Barclays Global Corporate ex-EM Fallen Angels 3% Issuer Capped IndexIndex methodologyThe Bloomberg Barclays Global Corporate ex-EM Fallen Angels 3% Issuer Capped Index is designed to measure the performance of corporate fallen angels bonds issued by developed markets with a 3% issuer cap. The index includes bonds that are currently rated high yield while having been assigned an investment grade rating at issuance or at some point since issuance.




}y Pay-in-kind bonds and toggle notes

}y Fixed-rate and fixed-to-floating-rate (including fixed-to-variable) bonds

Security types excluded}y Contingent capital securities including traditional COCOs

and contingent write-down securities, with explicit capital ratio or solvency/balance sheet-based triggers

}y Bonds with equity type features (e.g. warrants, convertibles, preferred bonds and DRD/QDI-eligible issues)

}y Inflation-linked bonds, floating-rate issues



}y Illiquid securities with no available internal or third-party pricing source

}y Partial pay-in-kind bonds

}y Issuers defined as an emerging market under Bloomberg Barclays EM definition1

}y Defaulted bonds

Credit ratingSecurities must currently be rated between B3/B- and Ba1/BB+, while having been assigned an investment grade rating at issuance or at some point since issuance


}y Bonds that covert from fixed-to-floating rate will exit the

index 1 year prior to conversion to floating rate

Amount outstanding Minimum amount outstanding per bond differs depending on currency:

}y 150m: CHF, EUR, GBP, USD

}y 500m: DKK, NOK

}y 1bn: SEK





Base currency USD Bloomberg code BXFATRUU

1 Bloomberg Barclays Emerging Markets country definition. Bloomberg Barclays uses a fixed list of emerging market countries that is reviewed annually to define country eligibility in dedicated EM hard currency, local currency, and inflation-linked benchmarks. Criteria for inclusion in the EM country list are rules-based and include: countries that meet one of the following two criteria – World Bank Income group classifications of low/middle income OR International Monetary Fund (IMF) classification as a non-advanced country. Additional countries that bond investors classify as EM due to factors such as investability concerns, the presence of capital controls, and/or geographic considerations may also be included on the list and are also reviewed on an annual basis. As at April 2013, four additional markets were included in the Bloomberg Barclays EM country list – Czech Republic, Israel, South Korea and Taiwan.


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Overview: Bloomberg Barclays Euro Government Term IndicesThe Bloomberg Barclays Euro Government Term index family includes only bonds which are near to their original term, rather than selecting all bonds in a maturity range. The indices have similar yield, duration and risk/return characteristics to standard maturity based indices but are more compact and more liquid. Term indices have two main distinctive bond inclusion criteria, namely: original term and calculated life or remaining life to maturity. The indices include the major issuers from the eurozone and eligible countries are France, Germany, Italy, the Netherlands and Spain.

Index inclusion criteriaSecurity types included}y Fixed-rate coupon bonds

}y Bullet maturity bonds

Security types excluded}y Callable bonds


}y Zero-coupon bonds (includes both zero-coupon bonds and bonds issued with a coupon of 0%)

Credit ratingInvestment grade (Baa3/BBB- or higher) (Local currency government bonds are classified using the middle issuer level rating from each agency)

MaturityDiffers per individual index. In the event that there are not a sufficient number of eligible bonds, the maximum term of the index will be extended until six bonds are included

Amount outstandingMinimum amount outstanding per bond is €2bn



Maximum weight30% per bond on rebalancing date

Reinvestment of cash flowsIntra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between the rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding.

Bloomberg Barclays Euro Government Bond 1-3 Year Term IndexIndex methodology}y Part of the Bloomberg Barclays Euro Government Term

index family (same index methodology)

}y Original maturity term between 1.50 and 3.75 years

}y Minimum remaining time to maturity of up to (and including) 1 year


Base currency EUR Bloomberg code BCEX6T

Bloomberg Barclays Euro Government Bond 5 Year Term IndexIndex methodology}y Part of the Bloomberg Barclays Euro Government Term


}y Original maturity term between 4.5 and 6 years

}y Eligible bonds must have a calculated life of 3 years or more on the rebalancing date





}y Minimum remaining time to maturity of up to (and including) 5 years


Base currency EUR Bloomberg code BXIIET57


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}y Maximum remaining time to maturity of up to (and including) 15 years

}y Index does not have an original term to maturity requirement

Base currency EUR Bloomberg code BXIIET15



}y Original maturity term between 19 and 33 years




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Bloomberg Barclays World Government Inflation-Linked Bond IndexThe Bloomberg Barclays World Government Inflation-Linked Bond Index measures the performance of inflation-linked bonds from 12 different developed market countries. It only includes government domestic inflation-linked debt issued in the domestic currency of the issuer.

Index inclusion criteriaSecurity types included}y Bonds publicly issued in global markets

}y Capital-indexed and linked to a commonly used domestic inflation index

}y Bonds linked to domestic inflation indices and the EMU HICP in the euro area

}y Minimum aggregate issuance of USD4bn for new bonds to be included from a new market/currency zone. The threshold is USD2bn for existing markets and this is reviewed on a quarterly basis

Security types excluded}y Retail bonds and private placements

}y Nominal and floating-rate bonds

}y Inflation-linked debt issued by emerging market governments

}y Non-government inflation-linked bonds

}y Strips, Treasury bills, bellwethers

}y Debt issued by countries defined as an Emerging Market under the Bloomberg Barclays EM definition1


Until 31 March 2015 the minimum rating criteria was A3/A-. Effective on 31 March 2015 the minimum credit rating for the index was lowered to Baa3/BBB-. As a result bonds from Italy and Spain entered the index on 1 April 2015.



}y 700m: AUD

}y 600m: CAD

}y 5bn: DKK

}y 500m: EUR, USD

}y 300m: GBP

}y 50bn: JPY

}y 1bn: NZD

}y 4bn: SEK




Base currency USD Bloomberg code BCIW1T

Bloomberg Barclays Euro Government Inflation-Linked Bond IndexIndex methodology}y Subset of the Bloomberg Barclays World Government

Inflation-Linked Bond Index (same index methodology)

}y Only includes issues from EMU member governments linked to a domestic measure of inflation or the harmonised EMU HCIP index with a sovereign rating of investment grade

Base currency EUR Bloomberg code BEIG1T

1 The Bloomberg Barclays World Government Inflation-Linked Bond Index is mutually exclusive from the Emerging Markets Government Inflation-Linked Index.


MKTG0218E-325893-1320096


Bloomberg Barclays US Government Inflation-Linked Bond IndexIndex methodology}y Subset of the Bloomberg Barclays World Government


}y Only includes issues from the US government, denominated in US dollar that pay coupon and principal in US dollar (US Treasury Inflation Protected Securities)

Base currency USD Bloomberg code BCIT1T

Bloomberg Barclays UK Government Inflation-Linked Bond IndexIndex methodology}y Subset of the Bloomberg Barclays World Government


}y Only includes issues from the UK government that have been issued in sterling

Base currency GBP Bloomberg code BCIU1T


MKTG0218E-325893-1320096


Bloomberg Barclays Emerging Markets Hard Currency Aggregate Bond IndexThe Bloomberg Barclays Emerging Markets Hard Currency Aggregate Bond Index is a flagship hard currency emerging market debt benchmark that includes euro, sterling and US dollar-denominated debt from government, quasi-government and corporate emerging markets issuers.

The index was previously called Bloomberg Barclays Global EM Index.

Index inclusion criteriaSecurity types included}y Principal and coupon denominated in euro, sterling

or US dollar

}y Hard currency debt from government, agency1 (government owned, government guaranteed and government sponsored entities), local authority and corporate issuers

}y Issuer defined as an emerging market under Bloomberg Barclays EM definition2

}y US dollar-denominated bonds: fixed or floating-rate coupon structures

}y Euro or sterling-denominated bonds: only fixed-rate coupon structures

}y Eurobonds, Loan Participation Notes, International Sukuk bonds, global and local issues

Security types excluded}y Warrants

}y Defaulted bonds

Credit ratingInvestment grade, high yield and unrated securities are permitted. Unrated bonds may use an implied issuer rating when not rated by a credit rating agency (Moody’s, S&P and Fitch).



}y 500m: EUR, USD

}y 350m: GBP




Base currency USD Bloomberg code BEHSTRUU

1 Bloomberg Barclays classifies an issuer as government-related (as opposed to corporate) if it is 50% or more government owned, carries a government guarantee or is government sponsored. Bloomberg Barclays defines quasi-governments as any non-government government-related issuer inclusive of government-related agency and local authority debt.



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2 Prior to 1 February 2016, Nigeria was eligible.

Bloomberg Barclays Emerging Markets Local Currency Government Bond IndexThe flagship Bloomberg Barclays Emerging Markets Local Currency Government Bond Index is designed to provide a measure of the performance of local currency emerging markets government debt.

Index inclusion criteriaSecurity types included}y Government bond issues only from countries which

are not only defined as an emerging market under Bloomberg Barclays EM definition1, but also meet the criteria for market size and market investability. Hence, eligible countries are: Asia Pacific: Indonesia, Malaysia, Philippines, South Korea and Thailand; Europe/Middle East/Africa: Czech Republic, Hungary, Israel, Poland, South Africa, Romania, Russia, Turkey; Latin America: Brazil, Chile, Colombia, Mexico, Peru2

}y Fixed-rate coupon bonds including zero-coupon bonds

}y Nominal bonds including Treasury bills

}y Malaysian Sukuk bonds

}y Globally settled bonds that are denominated in native currency but settle in USD

Security types excluded}y Inflation-linked bonds


}y Retail bonds

}y Floating rate notes

}y Global depositary notes

}y Illiquid bonds where reliable pricing is unavailable


Credit ratingInvestment grade, high yield and unrated securities are permitted. Unrated bonds may use an implied issuer rating when not rated by a credit rating agency (Moody’s, S&P, and Fitch).

MaturityAt least one year until final maturity for new and continuing issues, regardless of optionality. Sub-indices based on maturity are inclusive of lower bounds.

Amount outstandingMinimum total internal debt outstanding of USD5bn or equivalent

Minimum amount outstanding per bond differs per currency:

}y 1bn: BRL, PEN, RON

}y 1tn: COP

}y 10bn: CZK, MXN, THB

}y 2tn: IDR

}y 500bn: KRW

}y 100bn: CLP

}y 200bn: HUF

}y 20bn: RUB, PHP

}y 2bn: TRY, ILS, MYR, PLN, ZAR




Base currency USD Bloomberg code EMLCTRUU


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Bloomberg Barclays Emerging Markets Local Currency Core Gross Government Bond IndexThe Bloomberg Barclays Emerging Markets Local Currency Core Gross Government Bond Index is a sub-index of the flagship Bloomberg Barclays Emerging Markets Local Currency Government Bond Index and is designed to provide a measure of the performance of local currency emerging markets government debt. The index tracks fixed-rate local currency government debt of 15 countries and has a 10% country cap.

Index inclusion criteriaSecurity types included}y Government bond issues only from countries which are

not only defined as an emerging market under Bloomberg Barclays EM definition1, but also meet the criteria for market size and market investability. Hence, eligible countries are: Asia Pacific: Indonesia, Malaysia, Philippines, Thailand; Europe/Middle East/Africa: Hungary, Poland, South Africa, Romania, Russia, Turkey; Latin America: Brazil, Chile, Colombia, Mexico, Peru

}y Fixed-rate coupon bonds

}y Globally settled bonds that are denominated in native currency but settle in USD

}y Nominal bonds including Treasury bills



}y Retail bonds





Credit ratingInvestment grade, high yield and unrated securities are permitted. Unrated bonds may use an implied issuer rating when not rated by a credit rating agency (Moody’s, S&P and Fitch).

Maturity}y Between 13 months and 30 years until final maturity,

regardless of optionality

}y Original term maturity between 2 and 30 years

Amount outstandingMinimum total internal debt outstanding of USD5bn or equivalent

Minimum amount outstanding per bond differs per currency:

}y 1.5bn: BRL

}y 1tn: COP

}y 400bn: CLP

}y 250bn: HUF

}y 10tn: IDR

}y 25bn: MXN

}y 3.5bn: MYR

}y 1bn: PEN

}y 30bn: PHP

}y 40bn: RUB, THB

}y 10bn: PLN

}y 6bn: RON, TRY

}y 16bn: ZAR



Maximum weight}y 10% country cap

}y The excess market value over a country’s cap will be redistributed on a pro rata basis to all other countries’ bonds in the index


Base currency USD Bloomberg code BLCGTRUU



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1 Prior to 31 January 2017 the index deducted 0.02% from the index performance as it did not account for WHT expectations from Brazil.

Bloomberg Barclays Emerging Markets Local Currency Core Net Government Bond IndexIndex methodology}y This index is a net of tax version of the Bloomberg

Barclays Emerging Markets Local Currency Core Gross Government Bond Index

}y Index deducts 0.03% from the index performance per month based on withholding tax (WHT) expectations. These expectations are currently based on WHT from Chile, Indonesia and Brazil and on the historical weights of these countries within the index1

Base currency USD Bloomberg code BLCNTRUU

Bloomberg Barclays Emerging Markets Local Currency Liquid Government IndexThe Bloomberg Barclays Emerging Markets Local Currency Liquid Government Index is a country-constrained, more liquid version of the flagship Bloomberg Barclays Emerging Markets Local Currency Government Index and is designed to provide a broad measure of the performance of local currency emerging markets debt. The index applies higher amount outstanding minimum issue sizes and has a country cap of 10%.

Index inclusion criteriaSecurity types included}y Government bond issues only from countries which

are not only defined as an emerging market under Bloomberg Barclays EM definition1, but also meet the criteria for market size and market investability. Hence, eligible countries are: Asia Pacific: Indonesia, Malaysia, Philippines, South Korea, Thailand; Europe/Middle East/Africa: Czech Republic, Hungary, Israel, Nigeria, Poland, South Africa, Romania, Russia, Turkey; Latin America: Brazil, Colombia, Mexico, Peru


}y Government bond issues only



}y Retail bonds





Credit ratingCaa2/CCC- or higher

Unrated bonds may use an implied issuer rating when not rated by a credit rating agency (Moody’s, S&P and Fitch)



}y 500bn: CLP

}y 2tn: COP

}y 25bn: CZK

}y 300bn: HUF

}y 15tn: IDR

}y 5bn: ILS, PLN, RON, MYR

}y 1.5tn: KRW

}y 15bn: MXN

}y 200bn: NGN

}y 2.5bn: PEN

}y 50bn: PHP, THB

}y 40bn: RUB

}y 2bn: TRY, BRL

}y 10bn: ZAR






Base currency USD Bloomberg code BECLTRUU


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Bloomberg Barclays Emerging Markets Asia Local Currency Government Country Capped IndexThe Bloomberg Barclays Emerging Markets Asia Local Currency Government Country Capped Index provides a broad measure of the performance of local currency emerging market countries in Asia. The index currently tracks fixed-rate local currency government debt of six countries.

Index inclusion criteriaSecurity types included}y Eligible countries include: China (bonds denominated

in offshore renminbi only), Indonesia, Malaysia, Philippines, South Korea and Thailand

}y Locally settled and globally settled government bonds

}y Bonds (denominated in local currency) that settle globally or are clearable through Euroclear and Clearstream in US dollar





}y Bonds without a reliable pricing source

}y China government bonds denominated in onshore renminbi (CNY)

Credit ratingNo rating criteria

Maturity}y Between 1.5 years and 30 years until final maturity,

regardless of optionality

}y Minimum original term maturity of 2 years


}y 1bn: CNH

}y 5,000bn: IDR

}y 750bn: KRW

}y 1.5bn: MYR

}y 20bn: PHP

}y 15bn: THB






Base currency USD Bloomberg code BLANTRUU



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Bloomberg Barclays MSCI Euro Corporate Sustainable SRI IndexIndex methodologyThe Bloomberg Barclays MSCI Euro Corporate Sustainable SRI Index is an investment-grade corporate bond benchmark that follows the rules of the Bloomberg Barclays Euro Corporate Index and applies additional environmental social governance (ESG) criteria for security eligibility. The index includes issuers with MSCI ESG Ratings of BBB or higher and negatively screens issuers with a ‘red’ MSCI ESG Impact Monitor Score and those which have business involvement in controversial military weapons.

Index inclusion criteriaSecurity types included}y Bullet, puttable, sinkable/amortising and callable

corporate bonds

}y Fixed-rate and fixed-to-floating capital securities

}y MSCI ESG criteria: must have MSCI ESG rating of BBB or higher, unrated issuers are excluded

}y Original zero-coupon issues

}y Step-up coupons and those that change according to a predetermined schedule

Security types excluded}y Treasury, government-related and securitised bonds

}y Floating-rate bonds, inflation-linked bonds

}y Private placements and retail bonds

}y Issuers that are not rated under MSCI ESG criteria

}y Issuers involved in business lines ‘Landmine Manufacturing’, ‘Cluster Bomb Manufacturing’, ‘Depleted Uranium Weapons’ and ‘Chemical and Biological Weapons Components’ are excluded under MSCI ESG rules

}y Any issuer with a ‘Red’ MSCI ESG Impact Monitor score is excluded under MSCI ESG rules



Amount outstanding Minimum amount outstanding per bond of €300m




Base currency EUR Bloomberg code BSXWTREU

Bloomberg Barclays MSCI Euro Corporate 0-3 Year Sustainable SRI IndexIndex methodology}y Subset of the Bloomberg Barclays MSCI Euro Corporate

Sustainable SRI Index (same index methodology)

}y Only includes bonds with remaining time to maturity of 3 years or less, regardless of optionality

Base currency EUR Bloomberg code B03WTRE

Bloomberg Barclays MSCI US Corporate Sustainable SRI IndexThe Bloomberg Barclays MSCI US Corporate Sustainable SRI Index is an investment-grade corporate bond benchmark that follows the rules of the Bloomberg Barclays US Corporate Index and applies additional ESG* criteria for security eligibility. The index includes issuers with MSCI ESG Ratings of BBB or higher and negatively screens issuers with a ‘red’ MSCI ESG Impact Monitor Score and those which have business involvement in controversial military weapons.

Index inclusion criteriaSecurity types included}y Bullet, puttable, sinkable/amortising and callable

corporate bonds

}y Fixed-rate and fixed-to-floating capital securities

}y MSCI ESG criteria: Must have MSCI ESG rating of BBB or higher, unrated issuers are excluded

}y Original zero-coupon issues

}y Step-up coupons and those that change according to a predetermined schedule


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Security types excluded}y Treasury, government-related and securitised bonds

}y Floating-rate bonds, inflation-linked bonds


}y Issuers that are not rated under MSCI ESG criteria

}y Issuers involved in business lines ‘Landmine Manufacturing’, ‘Cluster Bomb Manufacturing’, ‘Depleted Uranium Weapons’ and ‘Chemical and Biological Weapons Components’ are excluded under MSCI ESG rules

}y Any issuer with a ‘Red’ MSCI ESG Impact Monitor score is excluded under MSCI ESG rules






Reinvestment of cash flowsIntra-month cash flows from interest and principal payments contribute to monthly index returns, but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding.

Base currency: USD Bloomberg code: RUCMTRUU

Bloomberg Barclays MSCI US Corporate Sustainable SRI IndexIndex methodology}y Subset of the Bloomberg Barclays MSCI US Corporate

Sustainable SRI Index (same index methodology) but excludes minimum maturity constraint

}y Only includes bonds with remaining time to maturity no longer than three years, regardless of optionality

Base currency: USD Bloomberg code: BMSRTRUU

Bloomberg Barclays Global Green Bond Index (EUR Hedged)The Bloomberg Barclays Global Green Bond Index (EUR hedged) is a part of the Barclays MSCI Green Bond Index family which measures the global market for bonds issued to fund projects with direct environmenmental benefits (Green Bonds)1. All currencies other than euro within the index will be hedged back to euro.

Index inclusion criteriaSecurity types includedFixed-rate corporate, government-related and securitised green bonds


MaturityNo minimum remaining time to maturity (bonds are held until their final maturity)

Amount outstandingFixed minimum issue sizes are set for all local currency markets matching the Barclays Global Aggregate and US Aggregate Indices:

}y 250m: USD

}y 300m: CAD, EUR, CHF, AUD

}y 200m: GBP

}y 35bn: JPY

}y 2.5bn: SEK

}y 10bn: CZK, THB

}y 500m: NZD, SGD

}y 100bn: CLP

}y 500bn: KRW

}y 2bn: DKK, NOK, PLN, ZAR, ILS, HKD, MYR



Base currency: EUR Bloomberg code: GBGLTREH

1 To be classified as a green bond, the use of a bond’s proceeds must fall within at least one of 5 eligible environmental categories: alternative energy, energy efficiency, pollution prevention and contol, sustainable water and green building. An eligible green bond’s prospectus must clearly identify the specific criteria and process for determining eligible projects or investments. A formal process to ring-fence net proceeds must also be disclosed in the prospectus. Finally, at issuance, the issuer must either report on eligible projects or state its commitment to report within one year of issuance.

Source: BlackRock, Bloomberg Barclays. Data as at end of June 2017.


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BofA Merrill Lynch index family


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The BofA Merrill Lynch index familyThe BofA Merrill Lynch index coverage – sorted by index family

Index Exposure Page

EMU Broad Market 44

BofA Merrill Lynch Euro Broad Market Index Aggregate 44

Government 45

BofA Merrill Lynch Euro Government Index Government 45BofA Merrill Lynch Developed Markets Sovereign Bond Index Government 46

Corporate – Investment Grade 47

BofA Merrill Lynch Euro Corporate Index Corporate – Investment Grade 47 BofA Merrill Lynch Euro Corporate 1-5 Year Index Corporate – Investment Grade 47BofA Merrill Lynch Sterling Corporate & Collateralized Index Corporate – Investment Grade 48BofA Merrill Lynch Sterling Corporate Index Corporate – Investment Grade 49 BofA Merrill Lynch 1-5 Year Sterling Corporate Index Corporate – Investment Grade 49 BofA Merrill Lynch 5-10 Year Sterling Corporate Index Corporate – Investment Grade 49

Corporate – High Yield 50

BofA Merrill Lynch Global High Yield Index Corporate – High Yield 50 BofA Merrill Lynch Euro High Yield Index Corporate – High Yield 50 BofA Merrill Lynch Euro High Yield Constrained Index Corporate – High Yield 50 BofA Merrill Lynch US High Yield Index Corporate – High Yield 51 BofA Merrill Lynch US High Yield Constrained Index Corporate – High Yield 51BofA Merrill Lynch 0-5 Year US High Yield Constrained Index Corporate – High Yield 52

The BofA Merrill Lynch index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see BofA Merrill Lynch index website: mlindex.ml.com

Rating methodologyThe BofA Merrill Lynch Index composite ratings are the simple averages of ratings from Moody’s, S&P and Fitch. The composite rating is calculated by assigning a numeric equivalent to the ratings in each agency’s scale. The average of the numeric equivalents for each agency that rates a bond is rounded to the nearest integer and then converted back to an equivalent composite rating. If only two agencies rate a bond, the composite rating is based on an average of the two. Likewise, if only one agency rates a bond, the composite rating is based on that one rating. Investment grade is defined as BBB3 or higher (the equivalent of BBB- or higher from S&P and Fitch and Baa3 or higher from Moody’s). High yield is defined as BB1 or lower (the equivalent of BB+ or lower from S&P and Fitch and Ba1 or lower from Moody’s).

Pricing methodologyExposure Prices used for index calculation Price source Timing

Government Bid prices (except UK government bonds which are mid-priced)

IDC, UK DMO, BofA Merrill Lynch traders

US: 3:00pm ET, Europe: 4.15pm GMT; all other local market close

Corporate Bid prices IDC, Statpro US: 3:00pm ET, Europe: 4.15pm GMT

Securitised Bid prices IDC US: 3:00pm ET, Europe: 4.15pm GMT

IDC refers to the Interactive Data Corporation which is an American market research, analysis and advisory firm, specialising in information technology, telecommunications and consumer technology. UK DMO refers to the UK Debt Management Office, an executive agency which manages debt and cash for the UK government. Statpro Group Plc is a provider of asset valuation services and portfolio analysis solutions for the global asset management industry.



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BofA Merrill Lynch Euro Broad Market IndexThe BofA Merrill Lynch Euro Broad Market Index gives exposure to euro-denominated investment grade debt publicly issued in the Eurobond or euro member domestic markets including government, quasi-government, corporate, securitised and collateralised securities.

Index inclusion criteriaSecurity types included}y Fixed coupon bonds

}y Fixed-to-floating-rate securities that are callable within the fixed-rate period and are at least 1 year from the last call prior to the date the bond transitions from a fixed to a floating-rate security

}y Callable perpetual securities that are at least 1 year from the first call date

}y Original issue zero-coupon securities

}y Corporate pay-in-kind securities, including toggle notes

}y Other hybrid capital securities, such as those that potentially convert into preference shares, those with both cumulative and non-cumulative coupon deferral provisions, and those with alternative coupon satisfaction mechanisms

Security types excluded}y Bills


}y Strips

}y Euro legacy currency bonds

}y Equity-linked securities

}y Securities in legal default

}y Contingent capital securities (COCOs)

Credit ratingInvestment grade (average Baa3/BBB- or higher)


}y Minimum original term to final maturity of 1.5 years

Amount outstanding}y Minimum amount outstanding per bond €1bn

for euro-sovereign securities

}y Minimum amount outstanding per bond €250m for all other securities



Reinvestment of cash flowsCash flows from bond payments that are received during the month are retained in the index until the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the index.

Base currency EUR Bloomberg code EMU0


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BofA Merrill Lynch Euro Government IndexThe BofA Merrill Lynch Euro Government Index gives exposure to euro-denominated government debt publicly issued by euro member countries in either the Eurobond or the issuer’s domestic market.

Index inclusion criteriaSecurity types included}y Bonds issued by a euro member country

}y Fixed coupon bonds




Security types excluded}y Bills


}y Strips

}y Euro legacy currency bonds

}y Retail bonds




Amount outstandingMinimum amount outstanding per bond of €1bn




Base currency EUR Bloomberg code EG00


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BofA Merrill Lynch Developed Markets Sovereign Bond IndexThe BofA Merrill Lynch Developed Markets Sovereign Bond Index is a subset of the BofA Merrill Lynch World Sovereign Bond Index and gives exposure to Australia, Canada, Japan, New Zealand, Norway, Sweden, Switzerland, the UK, the US (including US territories), all euro members and western European countries (including territories of western European countries).





}y Brazil Treasury Bills that have at least 1 year to maturity at point of issue and meet all other size and maturity requirements

}y Global securities issued in the US and internal markets

Security types excluded}y Bonds issued in any currency other than the issuer’s

own domestic currency

}y Treasury Bills other than Brazil Treasury Bills

}y Bills


}y Strips

}y Retail bonds




Amount outstandingMinimum amount outstanding per country of USD10bn or equivalent1

Minimum amount outstanding per bond differs depending on currency:

}y 1bn: AUD, BRL, CAD, EUR, NZD, USD, ILS, MYR, NGN, PEN, RON, SGD

}y 100bn: CLP

}y 10bn: CNY, CZK, PHP, RUB, TWD, THB

}y 500bn: COP

}y 2bn: EGP, PLN, TRY

}y 800m: HKD

}y 50bn: HUF

}y 30bn: INR, LKR

}y 5tn: IDR

}y 2.5bn: MAD

}y 500m: CHF, GBP

}y 5bn: DKK, MXN, NOK, SEK, ZAR

}y 20bn: PKR

}y 200bn: JPY

}y 1trn: KRW

}y 4trn: VND




Base currency USD Bloomberg code WSAV

1 Euro sovereigns are treated as a group for this size requirement


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BofA Merrill Lynch Euro Corporate IndexThe BofA Merrill Lynch Euro Corporate Index provides exposure to euro-denominated investment grade debt publicly issued in Eurobond or euro member domestic markets.


}y Fixed-to-floating-rate securities that are callable within the fixed-rate period and are at least 1 year from the last call prior to the date the bond transitions from fixed-to-floating




}y Capital securities where conversion can be mandated by regulatory authority but which have no specific trigger

}y Other hybrid capital securities such as those issues that potentially convert into preference shares, those with both cumulative and non-cumulative coupon deferral provisions, and those with alternative coupon satisfaction mechanisms

Security types excluded}y Euro legacy currency bonds

}y Equity-linked securities



}y Retail bonds




Amount outstandingMinimum amount outstanding per bond of €250m




Base currency EUR Bloomberg code ER00

BofA Merrill Lynch Euro Corporate 1-5 Year IndexIndex methodology}y Subset of the BofA Merrill Lynch Euro Corporate Index


}y Only includes bonds with remaining time to final maturity less than 5 years

Base currency EUR Bloomberg code ER0V


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BofA Merrill Lynch Sterling Corporate & Collateralized IndexThe BofA Merrill Lynch Sterling Corporate & Collateralized Index gives exposure to sterling-denominated investment grade corporate, securitised and collateralised debt publicly issued in the Eurobond or UK domestic market.





}y ‘Global’ securities (debt issued simultaneously in Eurobond and UK domestic bond markets)




Security types excluded}y Equity-linked securities






Amount outstandingMinimum amount outstanding per bond of £100m




Base currency GBP Bloomberg code UC00


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BofA Merrill Lynch Sterling Corporate IndexIndex methodologyThe BofA Merrill Lynch Sterling Corporate Index gives exposure to sterling-denominated investment grade corporate debt publicly issued in the Eurobond or UK domestic market.





}y ‘Global’ securities (debt issued simultaneously in Eurobond and UK domestic bond markets)







}y Hybrid securitised corporate securities




Amount outstanding Minimum amount outstanding per bond of £100m




Base currency GBP Bloomberg code UR00

BofA Merrill Lynch 1-5 Year Sterling Corporate IndexIndex methodology}y Subset of the BofA Merrill Lynch Sterling Corporate


}y Only includes bonds with remaining time to final maturity less than 5 years

Base currency: GBP Bloomberg code: UR0V

BofA Merrill Lynch 5-10 Year Sterling Corporate IndexIndex methodology}y Subset of the BofA Merrill Lynch Sterling Corporate


}y Only includes bonds with remaining time to final maturity greater than or equal to 5 years and less than 10 years

Base currency GBP Bloomberg code UR06


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BofA Merrill Lynch Global High Yield IndexThe BofA Merrill Lynch Global High Yield Index provides exposure to Canadian dollar, euro, sterling and US dollar-denominated below investment grade corporate debt publicly issued in the major domestic or Eurobond markets.


}y Fixed-to-floating-rate securities are included that are callable within the fixed-rate period and are at least 1 year from the last call prior to the date the bond transitions from fixed-to-floating



}y Pay-in-kind securities, including toggle notes

}y Eurodollar bonds



}y 144A securities (with and without registration rights)




}y Retail bonds

}y DRD-eligible securities

}y Hybrid securitised corporates

}y Taxable and tax-exempt US municipal securities

Credit ratingHigh yield (average Ba1/BB+ or lower)



Amount outstandingMinimum amount outstanding per bond differs depending on the currency:

}y 250m: USD, EUR

}y 100m: GBP, CAD




Base currency USD Bloomberg code HW00

BofA Merrill Lynch Euro High Yield IndexIndex methodology}y Subset of the BofA Merrill Lynch Global High Yield Index

}y Euro-denominated below investment grade corporate debt publicly issued in the euro domestic or Eurobond markets

}y Global securities (debt issued simultaneously in the Eurobond and euro domestic markets) are also included

Base currency EUR Bloomberg code HE00

BofA Merrill Lynch Euro High Yield Constrained IndexIndex methodology}y Same constituency as the BofA Merrill Lynch Euro High

Yield Index but with a 3% issuer cap1

Base currency EUR Bloomberg code HEC0

1 In the event that there are fewer than 34 issuers in the Index, each is equally weighted and the face values of their respective bonds are increased or decreased on a pro-rata basis.


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Source: BofA Merrill Lynch, used with permission.BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES AND RELATED DATA ‘AS IS’, MAKES NO WARRANTIES REGARDING SAME, DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE BOFA MERRILL LYNCH INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND BLACKROCK, OR ANY OF ITS PRODUCTS OR SERVICES.

BofA Merrill Lynch US High Yield IndexIndex methodology}y Subset of the BofA Merrill Lynch Global High Yield Index

}y US dollar-denominated below investment grade corporate debt publicly issued in the US domestic market

}y Qualifying bonds must also have risk exposure to countries that are members of the FX-G101, Western Europe or territories of the US and Western Europe

Base currency USD Bloomberg code H0A0

BofA Merrill Lynch US High Yield Constrained IndexIndex methodologySame constituency as the BofA Merrill Lynch US High Yield Index but with a 2% issuer cap2

Base currency USD Bloomberg code HUC0

1 The FX-G10 includes all Euro Members, the US, Japan, the UK, Canada, Australia, New Zealand, Switzerland, Norway and Sweden.



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BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexThe BofA Merrill Lynch 0-5 Year US High Yield Constrained Index gives exposure to short-term US dollar-denominated below investment grade corporate debt publicly issued in the US domestic markets. Qualifying bonds must have risk exposure to countries that are members of the FX-G101, Western Europe or territories of the US and Western Europe.


}y Fixed-to-floating-rate securities are included that are callable within the fixed-rate period and are at least 1 year from the last call prior to the date the bond transitions from fixed-to-floating



}y Pay-in-kind securities, including toggle notes



}y 144A securities (with and without registration rights)




}y Retail bonds

}y DRD-eligible securities

}y Hybrid securitised corporates

}y Taxable and tax-exempt US municipal securities

}y Eurodollar bonds

Credit ratingHigh yield (average Ba1/BB+ or lower)

Maturity}y Minimum remaining time to maturity of 1 month

}y Maximum remaining time to maturity of less than 5 years





Maximum weight2% per issuer2


Base currency USD Bloomberg code HUCD

1 The FX-G10 includes all Euro Members, the US, Japan, the UK, Canada, Australia, New Zealand, Switzerland, Norway and Sweden.


Source: BlackRock, BAML. Data as at end of June 2017.


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Citi index family

Citiindex family


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Citi index family

Citi index coverage – sorted by index familyIndex Exposure Page

Citi World Government Bond Index (WGBI) Government 56 Citi WGBI – EUR Hedged Government 57 Citi WGBI – USD Hedged Government 57 Citi WGBI ex-EGBI Government 57Citi Group-of-Seven (G7) Government Bond Index Government 58Citi EMU Government Bond Index (EGBI) Government 59Citi Euro Broad Investment-Grade Bond Index (EuroBIG®) Corporates - Investment Grade 59Citi Euro Dollar Bond Index Corporates - Investment Grade 60Citi Time-Weighted US Fallen Angel Bond Select Index Corporates - High Yield 60

Citi index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see Citi’s fixed income index guide on yieldbook.com/citi-indices

Rating methodologyCiti’s fixed income indices use ratings from S&P and Moody’s. The quality is first mapped to the S&P rating. If a bond is not rated by S&P but it is rated by Moody’s, the S&P equivalent of the Moody’s rating is assigned. If a bond is split-rated (an investment grade rating by one rating agency and high-yield by the other), the S&P equivalent of the investment grade rating is assigned to the index quality. Investment grade is defined as BBB- or higher from S&P or Baa3 or higher from Moody’s. High yield is defined as BB+ or lower from S&P and Ba1 or lower from Moody’s.


Citi World Government Bond Index (WGBI)

Government Bid prices (Japan and Mexico are mid prices)

Citi trader prices except Malaysia, Mexico, Poland, Singapore and Switzerland

}y Local market close}y Index pricing does not rely on actual

trade activities}y If the market is closed, then the previous

level is rolled over

Citi Group-of-Seven (G7) Government Bond Index

Government Bid prices (Japan are mid prices) Citi trader prices }y Local market close}y Index pricing does not rely on actual



Citi EMU Government Bond Index (EGBI)

Government Bid prices Citi trader prices }y Local market close}y Index pricing does not rely on actual



Citi Euro Broad Investment-Grade Bond Index (EuroBIG®)

Aggregate Bid prices Citi trader prices and third-party pricing sources, transaction-related information, and proprietary pricing models

}y Local market close}y Index pricing does not rely on actual



Citi Euro Dollar Bond Index

Euro Dollar Bid prices Citi trader prices }y 3:00pm, New York

Citi Time-Weighted US Fallen Angel Bond Select Index

Corporates Bid prices Citi trader prices }y 3:00pm, New York



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Citi World Government Bond Index (WGBI)The Citi World Government Bond Index (WGBI) provides exposure to government bonds from the following currencies: Australian dollar, Canadian dollar, Danish krone, euro, Japanese yen, Malaysian ringgit, Mexican peso, Norwegian krone, Polish zloty, Singapore dollar, South African rand, Swedish krona, Swiss franc, sterling and US dollar.

Index inclusion criteriaSecurity types included}y Fixed-rate, non-callable, local currency, investment

grade government bonds

}y Austria: Bundesanleihen

}y France: Obligations Assimilables du Trésor and Bons du Trésor à Intérêt Annuel Normalisé

}y Germany: Bundesrepublic, Schatzanweisungen, Bundesobligationen, Unity bonds, Treuhandanstalt, and Treuhandobligationen

}y Italy: Buoni del Tesoro Poliennale

}y Malaysia: callable bonds

}y Japan: callable bonds

}y Norway: benchmark bonds

}y Spain: Bonos and Obligationes del Estado

}y Sweden: Riksobligationer

}y Switzerland: callable bonds

}y United Kingdom: callable bonds, partly paid bonds and convertible (into other UK government issues) bonds

}y United States: callable bonds

Security types excluded}y Variable rate, floating rate, fixed-to-floating rate,

index-linked, retail directed, bills, stripped zero-coupon, convertibles, savings and private placements

}y Australia: tax rebate bonds

}y Austria: Bundesobligationen bonds

}y Denmark: mortgage credit bonds

}y Finland: sinking fund, puttable, extendable, housing fund and yield bonds

}y Germany: Schuldscheine, Unverzinsliche, Bundespost, Bundesbahn and European recovery programme bonds

}y Japan: Japanese government bonds for individuals and discount bonds

}y Malaysia: Government investment issues

}y Mexico: bonds issued prior to 1st January 2003

}y Norway: loans and lottery loans issued before 1991

}y South Africa: zero-coupon bonds

}y Spain: discount bonds (Letras and Pagares del Tesoro)

}y Switzerland: book liabilities

}y United Kingdom: rump UK government bonds and perpetual bonds (undated)

Credit rating}y A3/A- or higher for all new markets

}y Baa3/BBB- or higher for bonds currently in the index


Amount outstandingMinimum amount outstanding per bond for new markets to be eligible differs per currency:

}y 40bn: EUR

}y 5tn: JPY

}y 50bn: USD

Minimum issue size differs per currency:

}y 750m: AUD

}y 2.5bn: CAD (excludes Bank of Canada Cash Management bond buybacks), EUR

}y 4bn: CHF, MYR

}y 20bn: DKK, NOR

}y 2bn: GBP (excludes Bank of England holdings)

}y 500bn: JPY; 450bn JPY: 20+ year bonds (excludes Bank of Japan holdings and Ministry of Finance buybacks)

}y 10bn: MXN, ZAR

}y 5bn: PLN, USD public amount outstanding (excludes Federal Reserve holdings)

}y 25bn: SEK

}y 1.5bn: SGD


Currency hedging methodologyThe monthly currency hedged return is calculated by using a rolling one-month forward exchange contract as a hedging instrument. The face value of the contract is equal to the estimated end-of-month full market value. To calculate this value, the bond’s yield is assumed to be unchanged from the beginning of the month. Any known cash flows are then taken into account, such as coupon or principal payments, and interest expected to accrue for the period is also added in. This calculation leaves the intra-month changes in bond prices from yield movements unhedged. Any principal movement resulting from yield change is then settled at end-of-month spot exchange rates.


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Reinvestment of cash flowsAt daily average of the one-month euro deposit rate, except for Australia where the dollar bank bill swap reference rate (BBSW) is used. Calculated from actual scheduled payment date of cash flow through end of the reporting period.

Base currency USD Bloomberg code SBWGU

Citi WGBI – EUR HedgedIndex methodology}y Same as that of the Citi World Government Bond

Index (WGBI)

}y Hedges all currencies inherent in the parent index into euro using monthly forwards using Citi’s currency hedging methodology (page 56)

Base currency EUR Bloomberg code SBWGEC

Citi WGBI – USD HedgedIndex methodology}y Same as that of the Citi World Government Bond

Index (WGBI)

}y Hedges all currencies inherent in the parent index into US dollar using monthly forwards using Citi’s currency hedging methodology (page 56)

Base currency USD Bloomberg code SBWGC

Citi WGBI ex-EGBIIndex methodology}y Same as that of the Citi World Government Bond

Index (WGBI)

}y Excludes all EMU-participating countries that would otherwise be eligible for the WGBI index

Base currency: USD Bloomberg code: SBNMEU


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Citi Group-of-Seven (G7) Government Bond IndexThe Citi Group-of-Seven (G7) Government Bond Index provides exposure to government debt from seven countries: Canada, France, Germany, Italy, Japan, the United Kingdom and the United States.

Index inclusion criteriaSecurity types included}y Fixed-rate, non-callable, local currency,

investment grade government bonds


}y Germany: Bundesrepublik, Schatzanweisungen, Bundesobligationen, Unity bonds, Treuhandanstalt and Treuhandobligationen


}y Japan: callable bonds

}y United States: callable bonds

}y United Kingdom: callable bonds, partly paid bonds, and convertible (into other UK government bond issues) bonds


index-linked, retail directed, bills, stripped zero-coupon, convertibles, savings, and private placements


}y Japan: Japanese government bonds for individuals and discount bonds

}y United Kingdom: rump UK government bonds and perpetual bonds (undated)

Credit ratingBaa3/BBB- or higher for bonds currently in the index


Amount outstandingMinimum issue size differs per currency:

}y 2.5bn: EUR, CAD (excludes Bank of Canada Cash Management bond buybacks)

}y 2bn: GBP (excludes Bank of England holdings)

}y 500bn: JPY (450bn JPY for 20+ year bonds), excluding Bank of Japan holdings and Ministry of Finance buybacks

}y 5bn: USD public amount outstanding (excludes Federal Reserve holdings)



Reinvestment of cash flowsAt the daily average of the one-month euro deposit rate. Cash flows are calculated from actual scheduled payment date of cash flow through end of the reporting period.

Base currency USD Bloomberg code SBG7U


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Citi EMU Government Bond Index (EGBI)The Citi EMU Government Bond Index (EGBI) provides exposure to government debt from Austria, Belgium, Finland, France, Germany, Ireland, Italy, the Netherlands and Spain.

Index inclusion criteriaSecurity types included}y Fixed-rate, non-callable bonds originally issued in their

euro-converting currency are included

}y Austria: Bundesanleihen


}y Germany: Bundesrepublik, Schatzanweisungen, Bundesobligationen, Unity bonds, Treuhandanstalt and Treuhandobligationen


}y Spain: Bonos and Obligationes del Estado


index-linked, retail directed, bills, stripped zero-coupon, convertibles, savings and private placements

}y Austria: Bundesobligationen bonds

}y Finland: sinking fund, puttable, extendable, housing fund and yield bonds


}y Spain: discount bonds (Letras and Pagares del Tesoro)

Credit rating}y A3/A- or higher for all new markets

}y Baa3/BBB- or higher for bonds currently in the index


Amount outstandingMinimum amount outstanding per bond of €2.5bn for EMU government bonds (or the equivalent for non-redenominated bonds)




Base currency EUR Bloomberg code SBEGEU

Citi Euro Broad Investment-Grade Bond Index (EuroBIG®)The Citi Euro Broad Investment-Grade Bond Index (EuroBIG) provides exposure to euro-denominated investment grade, government, quasi-government, corporate and collateralised debt.

Index inclusion criteriaSecurity types included}y Fixed-rate bonds

}y Bullet, sinking fund, puttable, extendable or callable bonds

Security types excludedZero-coupon bonds except for domestic sovereign bonds (WGBI)



Amount outstanding}y Minimum amount outstanding per bond of €2.5bn

for EMU government bonds (or the equivalent for non-redenominated bonds)

}y Minimum amount outstanding per bond of €500m for all other bonds (or equivalent for non-redenominated bonds)




Base currency EUR Bloomberg code SBEB


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Citi Euro Dollar Bond IndexIndex methodologyThe Citi Euro Dollar Bond Index provides exposure to US dollar-denominated, investment grade eurodollar bonds.

Index inclusion criteriaSecurity types included}y Fixed-rate bonds

}y Zero-coupon bonds

}y Eurodollar bonds

}y Global bonds

}y Dragon bonds

}y Certain asset-backed securities and medium-term notes (MTNs)

}y Rule 144A corporate securities with registration rights

}y Bullet, sinking fund, puttable, extendable, or callable bonds



Amount outstanding Minimum amount outstanding per bond differs per issuer class:

}y US agency/supranational: USD1bn

}y Government/government-guaranteed/government-sponsored: USD500m

}y Corporate/financial/asset-backed: USD250m



Reinvestment of cash flowsAt the daily average of the one-month euro deposit rate.Cash flows are calculated from actual scheduled payment date of cash flow through end of the reporting period.

Base currency: USD Bloomberg code: SBEID

Citi Time-Weighted US Fallen Angel Bond Select IndexThe Citi Time-Weighted US Fallen Angel Bond Select Index measures the performance of “fallen angels”1 and is made up of US dollar-denominated bonds issued by corporations in the US or Canada.

Index inclusion criteriaSecurity types included}y Fixed-rate “fallen angel” bonds

}y Cash-pay bonds

}y Zero-to-full bonds

}y Pay-in-kind bonds

}y Step-coupon bonds

}y Rule 144A bonds corporate securities domiciled in the US or Canada

Credit rating}y Maximum: BB+ by index quality

}y Minimum: C by index quality




Weighting methodologyThe index’s constituent weights are determined based on the time from inclusion in the index, with higher weights assigned to bonds that have more recently become “fallen angels”. Bonds will be held in the index for a period of five years should they remain eligible for inclusion.2

Maximum weight15% issuer cap and constituents time-based weights are capped at five times their respective market value-based weights


Base currency: USD Bloomberg code: CFIIHYFA

Source: Citigroup LLC, used with permission. Reproduction of Citi Fixed Income Indices data and information herein (collectively, ‘Citi Data’) in any form is prohibited except with the prior written permission of Citigroup Index LLC (‘Citigroup’). Although Citi Data is believed to reliable, Citigroup makes no representation as to the accuracy, adequacy, completeness or availability of Citi Data and is not responsible for any errors or omissions or for the results obtained from the use of Citi Data. CITIGROUP GIVES NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. In no event shall Citigroup be liable for any direct, indirect, special or consequential damages in connection with any use of Citi Data. Duplication or dissemination prohibited without prior written permission. Citi Fixed Income Indices data © 2017 Citigroup Index LLC. All rights reserved. Citi is a trademark and service mark of Citigroup Inc. or its affiliates and are used and registered throughout the world. EuroBIG is a registered service mark of Citigroup Global Markets Inc.1 High-yield debt that was previously rated investment grade.2 This time-based weighting approach aims to encompass the price rebound effect that fallen angels tend to experience

soon after their initial downgrade to high-yield.

Source: BlackRock, Citi. Data as at end of June 2017.


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eb.rexx®

index family



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eb.rexx® index familyeb.rexx® index coverage – sorted by index family

Government Index Exposure Page

eb.rexx® Government Germany Government 64 eb.rexx® Government Germany 1.5-2.5 Government 64 eb.rexx® Government Germany 2.5-5.5 Government 64 eb.rexx® Government Germany 5.5-10.5 Government 64 eb.rexx® Government Germany 10.5+ Government 64 eb.rexx® Money Market Government 64

eb.rexx® index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see the eb.rexx index website: eurex-bonds.com/bonds-en/market-data/eb-rexx

Rating methodologyThe rating methodology is implied by the admission to participation in trading at Eurex Bonds. Thus ratings of the international rating agencies Moody’s, Fitch and Standard & Poors are used as a means of assessing creditworthiness. At least two out of the three ratings should have a minimum rating of AA- by Standard & Poor’s, of Aa3 by Moody’s, of AA- by Fitch.


eb.rexx

Government }y Traded prices are used for calculation. In addition, in the absence of trades, the best binding, non-indicative bid quotes are used

}y New bonds are factored into the respective index using the last traded price or using the last available ask quote

}y Eurex Bonds® electronic trading platform traded prices (prices are reconciled with closing prices from Boerse Frankfurt)

}y If there are no current prices available from Eurex and Boerse Frankfurt, Deutsche Boerse calculates theoretical prices based on previous day prices and yield assumptions

Local market close


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eb.rexx® Government Germany The eb.rexx Government Germany index includes fixed income bonds denominated in euro. All of these bonds are traded on the Eurex Bonds platform. Market-makers are responsible for the continuous provision of traded price data for all bonds during trading hours.

Index inclusion criteriaSecurity types includedGerman government bonds only






Maximum weight}y Minimum six bonds in the index

}y Maximum 25 bonds in the index

}y 30% cap per bond

Reinvestment of cash flowsInterest and principal payments earned by index bonds are held in the index without a reinvestment return until month end when the cash is removed from the index.

Base currency EUR Bloomberg code RXRG

eb.rexx® Government Germany 1.5-2.5Index methodology}y Subset of eb.rexx® Government Germany


}y Minimum remaining time to maturity of 1.5 years

}y Maximum remaining time to maturity of 2.5 years

}y Minimum of six bonds in the index

Base currency EUR Bloomberg code RXR1













eb.rexx® Government Germany 10.5+Index methodology}y Subset of eb.rexx® Government Germany




Base currency EUR Bloomberg code RXRX

eb.rexx® Money MarketIndex methodology}y Part of the eb.rexx® Government Germany index family


}y Minimum remaining time to maturity of 1 month

}y Maximum remaining time to maturity of 1 year


Base currency EUR Bloomberg code I2IC

Source: BlackRock, eb.rexx. Data as at end of June 2017.


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FTSEindex family


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FTSE index familyDistinctive features}y FTSE is a large provider of UK indices; in particular the FTSE Actuaries index family is a popular index that covers UK Gilts.

}y FTSE acquired MTS’s index business in April 2014 and added these indices to their existing range. As such, the previously named EuroMTS euro government bond indices are now known as FTSE MTS indices.

}y The FTSE MTS indices are a set of benchmarks for the European sovereign bond market, calculated and distributed by FTSE, or its agent, using pricing data from the MTS platform (an electronic marketplace for bond trading).

FTSE index coverage – sorted by index family

Index Exposure Page

FTSE Actuaries 68

Overview: FTSE Actuaries Government Securities UK Gilts Index Series Government 68 FTSE Actuaries Government Securities UK Gilts All Stocks Index Government 68 FTSE Actuaries Government Securities UK Gilts Under 5 Years Index Government 68 FTSE Actuaries Government Securities UK Index Linked Gilts Over 5 Years Index Inflation-linked 68

MTS 69

FTSE MTS Eurozone Government Broad IG Index Government 69 FTSE MTS Eurozone Government Broad IG 1-3Y Index Government 69 FTSE MTS Eurozone Government Broad IG 3-5Y Index Government 69FTSE MTS Lowest-Rated Government Bond Investment Grade Index Government 70FTSE MTS Investment Grade Inflation-Linked Bond Index (Mid-priced) Inflation-linked 70

FTSE index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see the FTSE indices website: ftse.com/products/indexmenu

Rating methodologyFTSE indices use the middle1 of the Moody’s, S&P and Fitch ratings and each bond must be rated by at least two rating agencies:

}y Investment grade is defined as BBB- or higher from S&P or Fitch and Baa3 or higher from Moody’s

}y High yield is defined as BB+ or lower from S&P or Fitch and Ba1 or lower from Moody’s


FTSE

Government Bid prices }y TradeWeb pricing (as at 21 July 2017)

}y Prior to 21 July 2017, GEMMA pricing was used, distributed by UK DMO

Local market close

GEMMA refers to the Gilt-edged Market Makers Association. UK DMO refers to the UK Debt Management Office, an executive agency which manages debt and cash for the UK government.

1 For example, if a bond is rated AAA by S&P, A by Moody’s and A- by Fitch, Bloomberg Bloomberg Barclays take the middle rating; A, not the average rating; AA


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Overview: FTSE Actuaries Government Securities UK Gilts Index SeriesThe FTSE Actuaries Government Securities UK Gilts Index series is a comprehensive family of indices covering the conventional UK government bond market. The FTSE Actuaries UK Gilts indices are among the industry’s most widely-used performance benchmarks for the UK government bond market. They are sanctioned by the UK Actuaries and used for benchmarking pension benefits and obligations and mutual funds.

Index inclusion criteriaSecurity types included}y All conventional UK government bonds quoted on the

London Stock Exchange

}y Total market issuance of strippable UK government bonds

Security types excluded}y UK government bonds which are regarded by the Debt

Management Office (DMO) as ‘rump stocks’ (i.e. too small an amount is in issue for an effective market)

}y Partly-paid UK government bonds

}y UK government bonds issued by the DMO under their ‘special repurchase’ or ‘standing repurchase’ arrangements are not included in the indices


MaturityNo maturity criteria

Amount outstandingNo minimum amount outstanding

RebalancingFrequencyThe index is reviewed and rebalanced daily in response to:

}y New issues that are issued fully paid by auction are included in full in the indices at the close of the day when the auction takes place

}y New issues that are issued partly paid are included at the market price at the close of the day when they become fully paid, at the closing market price

}y Bonds are removed from the indices on their redemption dates at the closing price on the previous day. If a bond with a spread of redemption dates is redeemed early it too is removed from the indices on the announced redemption date at the closing price on the previous day; the two redemption dates for such a bond are both altered to the announced redemption date when such an announcement is made. Bonds are removed from the indices at the close of business on the day they join the DMO’s list of rump UK government bonds

}y Alterations to nominal amounts outstanding are adjusted at the close of business on the day the DMO announces the change in nominal, or the day that FTSE becomes aware of the change


Reinvestment of cash flowsCoupons are immediately reinvested in the portfolio

FTSE Actuaries Government Securities UK Gilts All Stocks IndexIndex methodology}y Subset of FTSE Actuaries UK Gilts Index Series


}y Excludes inflation-linked bonds

Base currency GBP Bloomberg code FTFIBGT

FTSE Actuaries Government Securities UK Gilts Under 5 Years IndexIndex methodology}y Subset of FTSE Actuaries Government Securities UK

Gilts All Stocks Index (same index methodology)

}y Minimum remaining time to maturity of up to (but not including) 5 years

Base currency GBP Bloomberg code FTRFBGL

FTSE Actuaries Government Securities UK Index Linked Gilts Over 5 Years IndexIndex methodology}y Subset of FTSE Actuaries UK Gilts Index Series


}y Only includes inflation-linked UK government bonds

}y Minimum remaining time to maturity greater than (but not including) 5 years

Base currency GBP Bloomberg code FTRFILH


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FTSE MTS Eurozone Government Broad IG IndexThe FTSE MTS Eurozone Government Broad IG Index measures the total return of a portfolio of euro-denominated government bonds issued by eurozone countries with at least two investment grade credit ratings from the main rating agencies and listed on the MTS platforms.

Index inclusion criteriaSecurity types included}y Euro-denominated government bullet bonds issued by

eurozone members listed on MTS markets

}y Nominal, fixed-coupon bonds

}y Issued by the government of the following eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, the Netherlands, Portugal and Spain

Security types excluded}y Bonds with embedded options

}y Convertible bonds






Reinvestment of cash flowsCoupons paid out on any bond in an index portfolio are reinvested overnight in the index itself. No deduction is made to a coupon before it is reinvested in the index i.e. no withholding tax is applied.

Base currency EUR Bloomberg code FMMPIEG5

FTSE MTS Eurozone Government Broad IG 1-3Y IndexIndex methodology}y Subset of FTSE MTS Eurozone Government Broad IG Index




Base currency EUR Bloomberg code FMMPIEA5

FTSE MTS Eurozone Government Broad IG 3-5Y IndexIndex methodology}y Subset of FTSE MTS Eurozone Government Broad

IG Index (same index methodology)

}y Minimum remaining time to maturity of 3 years


Base currency EUR Bloomberg code FMMPIEB5


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FTSE MTS Lowest-Rated Government Bond Investment Grade IndexThe FTSE MTS Lowest-Rated Government Bond Investment Grade Index is part of a family of indices grouped by maturity and based on issuers with two or more credit ratings below the highest level. Index invests in eurozone countries.

Index inclusion criteriaSecurity types included}y Nominal, fixed-coupon bullet bonds denominated in

local currency and listed on MTS markets

}y Issued by the government of the following countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, the Netherlands, Portugal and Spain

Security types excluded}y Bonds with embedded options


}y Constituents of the FTSE MTS Highest-Rated Eurozone Bond Index

Credit ratingOne or more credit ratings below the highest level, but with at least two investment grade (Baa1/BBB- or higher) from the three major agencies from at least two of the three rating agencies: Moody’s, S&P and Fitch





Maximum weight}y If four or more countries included in index,

30% country cap

}y The excess market value over a country’s cap will be redistributed on a pro rata basis to all other countries’ bonds in the index that are under each country’s ratings-specific cap


Base currency EUR Bloomberg code FMMPIXG1

FTSE MTS Investment Grade Inflation-Linked Bond Index (Mid Priced)Index methodologyThe FTSE MTS Investment Grade Inflation-Linked Bond Index is designed to measure the performance of investment grade rated eurozone inflation-linked bonds issued by eurozone sovereign governments. The index is mid-priced.

Index inclusion criteria}y Inflation-linked bonds issued by a sovereign government

belonging to the eurozone where both principal and coupon payments are linked to either EMU HICP or Domestic CPI inflation rates

}y Must be listed on MTS markets


}y Issuers must have investment grade ratings from at least two of the three rating agencies: Moody’s, S&P and Fitch


Amount outstanding Minimum amount outstanding per bond of €2bn




Base currency: EUR Bloomberg code: FMMPIIG5

Source: BlackRock, FTSE. Data as at end of June 2017.


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Interactive Data index family


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Interactive Data index familyInteractive Data index coverage – sorted by index family

Index Exposure Page

Government 74

Overview: ICE US Treasury Indices Government 74 ICE US Treasury 1-3 Year Bond Index Government 74 ICE US Treasury 3-7 Year Bond Index Government 74 ICE US Treasury 7-10 Year Bond Index Government 74 ICE US Treasury 20+ Year Bond Index Government 74ICE US Treasury Inflation Linked Bond Index 0-5 Years Inflation-linked 75

Interactive Data (ICE) index methodologies are described in detail in the following section of this guide. Important common features – such as pricing methodology – are covered in this introduction. For more information, please see Interactive Data’s website: interactivedata.com/products-services/ice-indices/index


Interactive Data

Government Bid prices Interactive Data (IDC) 3:00pm New York time

IDC refers to the Interactive Data Corporation which is an American market research, analysis and advisory firm, specialising in information technology, telecommunications and consumer technology.


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Overview: ICE US Treasury IndicesIndex methodologyThe Interactive Data (ICE) US Treasury Index family measures the performance of US Treasury-issued debt across a range of maturity buckets. Only US dollar-denominated fixed and floating-rate securities are included.

Index inclusion criteriaSecurity types included}y US dollar-denominated, fixed rate securities issued by

the US Treasury

}y Qualifying securities issued on or before the month-end rebalancing date may qualify for inclusion

}y Floating-rate bonds are included only in the ICE US Treasury Floating Rate Note (FRN) Index

}y Inflation-linked bonds are included (only in the ICE US Treasury Inflation Linked indices)

Security types excluded}y Zero-coupon bonds

}y Inflation-linked bonds (with the exception of the ICE US Treasury Inflation Linked indices)

}y Floating-rate notes (with the exception of the ICE US Treasury Floating Rate Note (FRN) Index)

}y Cash management and Treasury bills

}y Any government agency debt issued with or without a government guarantee


Maturity}y Pooled aggregates: minimum weighted average maturity

of 1 year

}y US Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and net secondary market transactions) are deducted from the total amount outstanding


RebalancingFrequency}y Monthly

}y Secondary market purchases by the Federal Reserve that occur in the current month are not reflected in the Index until the following month

}y When issued, Treasuries are included in the rebalancing process with a price of USD100 until replaced with an evaluated price as soon as available after auction day


Reinvestment of cash flowsCash that has accrued intra-month from interest and principal payments by the index earns no reinvestment return during the month. Accumulated cash (from coupon and principal payments) is removed from the index at month end, which implies that it is reinvested pro rata across the entire index.

ICE US Treasury 1-3 Year Bond IndexIndex methodology}y Part of the ICE US Treasury Index family


}y Minimum remaining time to maturity of up to (and including) 1 year, maximum remaining time to maturity of up to (and including) 3 years

Base currency: USD Bloomberg code: IDCOT1TR



}y Minimum remaining time to maturity of up to (and including) 3 years, maximum remaining time to maturity of up to (and including) 7 years




}y Minimum remaining time to maturity of up to (and including) 7 years, maximum remaining time to maturity of up to (and including) 10 years


ICE US Treasury 20+ Year Bond IndexIndex methodology}y Part of the ICE US Treasury Index family



Base currency: USD Bloomberg code: IDCOT20T


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ICE US Treasury Inflation Linked Bond Index 0-5 YearsThe Interactive Data (ICE) US Treasury Inflation Linked Bond Index 0-5 Years is part of the ICE US Treasury Index family, but differs in that it includes inflation-linked securities which have a maximum remaining time to maturity of up to (and including) 5 years.

Index inclusion criteriaSecurity types included}y US dollar-denominated, inflation-linked securities

issued by the US Treasury

}y Qualifying securities issued on or before the month-end rebalancing date may qualify for inclusion

Security types excluded}y Zero-coupon bonds

}y Fixed-rate bonds

}y Floating-rate notes

}y Cash management and Treasury bills

}y Any government agency debt issued with or without a government guarantee



}y Callable bonds are removed from the Index at the start of the month in which they will be called

}y US Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and net secondary market transactions) are deducted from the total amount outstanding


RebalancingFrequency}y Monthly

}y Secondary market purchases by the Federal Reserve that occur in the current month are not reflected in the Index until the following month

}y When issued, Treasuries are included in the rebalancing process with a price of USD100 until replaced with an evaluated price as soon as available after auction day


Reinvestment of cash flowsCash that has accrued intra-month from interest and principal payments by the index earns no reinvestment return during the month. Accumulated cash (from coupon and principal payments) is removed from the index at month end, which implies that it is reinvested pro rata across the entire index.

Base currency: USD Bloomberg code: ICETIP0T

Source: BlackRock, Interactive Data. Data as at end of June 2017.


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J.P. Morganindex family


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J.P. Morgan index familyDistinctive features}y One of the most widely used benchmark families for emerging market indices.

}y Hard currency Emerging Markets Sovereign Bond Index family is known under the name ‘EMBI’.

}y To augment the EMBI series, the GBI-EM family was introduced in 2005 as the first comprehensive local currency EM debt benchmark.

}y J.P. Morgan defines emerging market country eligibility rules with a combination of income-based criteria and sovereign long-term credit rating criteria called Index Income Ceiling (IIC)1.

J.P. Morgan index coverage – sorted by index family

Index Exposure Page

GBI 80

J.P. Morgan GBI Global Government 80 J.P. Morgan GBI US Government 80 J.P. Morgan GBI Global ex-UK Government 80

EMU 81

J.P. Morgan EMU Government 81

EMBI 82

J.P. Morgan EMBI Global Emerging Markets 82 J.P. Morgan EMBI Global Diversified Emerging Markets 82 J.P. Morgan EMBI Global Core Emerging Markets 82 J.P. Morgan EMBI Global Core (EUR Hedged) Emerging Markets 83 J.P. Morgan EMBI Global Core (CHF Hedged) Emerging Markets 83

GBI-EM 84

J.P. Morgan GBI-EM Global Emerging Markets 84 J.P. Morgan GBI-EM Global Diversified Emerging Markets 84 J.P. Morgan GBI-EM Global Diversified 10% Cap 1% Floor Emerging Markets 85 J.P. Morgan GBI-EM Global Diversified 15% Cap 4.5% Floor Emerging Markets 85

CEMBI 86

J.P. Morgan Corporate Emerging Market Bond Index Broad (CEMBI Broad) Emerging Markets 86 J.P. Morgan Corporate Emerging Market Bond Index Broad Diversified Emerging Markets 86 J.P. Morgan Corporate Broad Diversified Emerging Market Bond Core Emerging Markets 86

J.P. Morgan index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see J.P. Morgan’s index suite website: jpmorgan.com/pages/jpmorgan/investbk/solutions/research/indices/product

Rating methodologyJ.P. Morgan indices use the lower of the two ratings or middle of the three ratings for hard currency indices and all three ratings have to be investment grade for local currency indices. Investment grade is defined as BBB- or higher from S&P or Fitch and Baa3 or higher from Moody’s. High yield is defined as BB+ or lower from S&P or Fitch and Ba1 or lower from Moody’s.

1 J.P. Morgan defines the Index Income Ceiling (IIC) as the GNI per capita level that is adjusted every year by the growth rate of the World GNI per capita, Atlas method, provided by the World Bank annually.


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Pricing methodology

ExposurePrices used for index calculation Price source Timing

JPMorgan

Government (Local currency and developed emerging markets)

}y External debt indices use bid prices

}y Local currency indices use mid prices

}y Third-party valuation vendor (PricingDirect Inc) prices

}y All principal foreign currency spot and forward rates are supplied by the WM Company


}y Foreign currency spot and forward rates: 4:00pm, London

}y Calculated on weekdays

Emerging Markets – Corporates

Bid prices }y Third-party valuation vendor (PricingDirect Inc) prices

}y Market close in New York

}y Follows US bond market calendar set by Emerging Markets Trader Association

Emerging Markets – Sovereigns

Bid prices }y Third-party valuation vendor (PricingDirect Inc) prices


}y Foreign currency spot and forward rates: 4:00pm, London

}y Follows US bond market calendar set by Emerging Markets Trader Association


Currency hedging methodology: Currency-hedged indices are a combination of the local unhedged to US dollar (or other currency) performance and hedged return from currency forwards.

}y Currency forwards are put on at rebalance, with the notional amount estimated as:

– Interest income will accrue at the average coupon rate of the portfolio being hedged (estimated in the third part)

– Principal return, or the monthly change in the ratio of par value to market value, will be zero

}y The day-to-day return of the hedged index includes the following components:

– Return from the forward contract (the forward valuation is the return on the forward contract purchased on rebalancing date and sold on the current day. This return is discounted back to its present value)

– Total return from the bonds which comprise the portfolio, in local currency

– Currency return


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J.P. Morgan GBI GlobalThe J.P. Morgan GBI Global Diversified offers exposure to government bonds from 13 international developed markets: Australia, Belgium, Canada, Denmark, France, Germany, Italy, Japan, the Netherlands, Spain, Sweden, the UK and the US.

Index inclusion criteriaSecurity types includedRegularly traded, fixed-rate, domestic government bonds that are available to international investors


}y Puttable bonds



MaturityMinimum time to maturity of 13 months at rebalance date


Liquidity criteria}y Daily available pricing from a third-party valuation vendor

}y Due to lack of liquidity, bonds can be removed from the index due to lack of pricing



Reinvestment of cash flowsAll coupons received are immediately reinvested into the index.

Base currency USD Bloomberg code JPMGGLBL

J.P. Morgan GBI USIndex methodology}y Subset of J.P. Morgan GBI Global (same index methodology)

}y Only includes US domestic government bonds

Base currency USD Bloomberg code JPMTUS

J.P. Morgan GBI Global ex-UKIndex methodology}y Subset of J.P. Morgan GBI Global


}y Excludes UK domestic government bonds

Base currency USD Bloomberg code JNDCGXUK


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J.P. Morgan EMUThe J.P. Morgan European Monetary Union Index (EMU) offers exposure to euro-denominated domestic government bonds issued by eurozone countries.

Index inclusion criteriaSecurity types includedLiquid, bullet fixed-rate debt issued by governments where the euro is the official currency


}y Puttable bonds










Base currency EUR Bloomberg code JPMGEMLC


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J.P. Morgan EMBI GlobalThe J.P. Morgan Emerging Markets Bond Index Global (EMBI Global) offers broad exposure to US dollar-denominated emerging market debt. The EMBI family is arguably the most widely used benchmark family for emerging market indices. The index includes quasi-government bonds which are defined as a corporation with 100% government ownership or guarantee.

Index inclusion criteriaSecurity types included}y Only US dollar-denominated bonds

}y Brady bonds

}y Eurobonds

}y Fixed and floating-rate bonds

}y Capitalising/amortising bonds

}y Bonds with embedded options and warrants are eligible for inclusion if (a) the options/warrants are attached to instruments that would otherwise be included in the index and (b) the quotation convention – as recommended by the Emerging Markets Traders Association – is for instrument prices to be quoted cumulative options or warrants

}y A country’s GNI per capita must be below the IIC for three consecutive years1

Security types excluded}y Convertible bonds

}y Instruments with credit has been improved by (a) giving security over commercial receivables or (b) giving a guarantee from a guarantor which is not a subsidiary of the eventual obligor or the parent company/beneficiary of the issuer of the instrument

Credit rating}y No rating criteria

}y A default will not force the removal of the affected bond from the index. As long as the bond satisfies inclusion criteria it will not be removed from the index

MaturityMinimum remaining time to maturity of 1 year for existing index bonds, 2.5 years for new bonds entering the index







Base currency USD Bloomberg code JPEGCOMP

J.P. Morgan EMBI Global DiversifiedIndex methodology}y Composition is identical to the J.P. Morgan EMBI Global

}y The index uses a diversification methodology2 that ensures that weights among the index countries are more evenly distributed by reducing the weight of large countries and redistributing the excess to the smaller weighted countries. The maximum weight per country is 10%, any excess weight above this cap is redistributed to smaller countries that are below the cap to limit concentration risk

Base currency USD Bloomberg code JPGCCOMP

J.P. Morgan EMBI Global CoreIndex methodology}y Subset of the J.P. Morgan EMBI Global

}y Minimum amount outstanding per bond of USD1bn



Base currency USD Bloomberg code JPEICORE

1 J.P. Morgan defines the Index Income Ceiling as the GNI per capita level that is adjusted every year by the growth rate of the World GNI per capita, Atlas method, provided by the World Bank annually.

2 The index follows a diversification methodology anchored on the average size (debt stock) of countries in the index. To calculate the diversified face amount for each country, calculate the index country average (ICA). The ICA is the sum of each country’s face amount divided by the number of countries in the index. Based on the ICA, the diversified face amount for any country in the index is derived according to the following rules:

(a) The country with the largest face amount is capped at double the ICA. This is the maximum threshold and determines the diversified face amounts of other country’s in the index

(b) If the country’s debt stock is below the ICA, the entire amount will be eligible for inclusion(c) If the country’s debt stock falls between the ICA and the maximum threshold (double the ICA) it will be linearly interpolated.


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J.P. Morgan EMBI Global Core (EUR Hedged)Index methodology}y Subset of J.P. Morgan EMBI Global Core

}y Hedges the US dollar exposure inherent in the parent index into euro using currency forwards rolled on a monthly basis using J.P. Morgan currency hedging methodology (page 79)

Base currency EUR Bloomberg code JPEIHDEU

J.P. Morgan EMBI Global Core (CHF Hedged)Index methodology}y Subset of the J.P. Morgan EMBI Global Core

}y Hedges the US dollar exposure inherent in the parent index into Swiss franc using currency forwards rolled on a monthly basis using J.P. Morgan currency hedging methodology (page 79)

Base currency: CHF Bloomberg code: JPEIHCHF


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1 J.P. Morgan defines the Index Income Ceiling as the GNI per capita level that is adjusted every year by the growth rate of the World GNI per capita, Atlas method, provided by the World Bank annually.


(a) The country with the largest face amount is capped at double the ICA. This is the maximum threshold and determines the diversified face amounts of other countries in the index

(b) If the country’s debt stock is below the ICA, the entire amount will be eligible for inclusion

(c) If the country’s debt stock falls between the ICA and the maximum threshold (double the ICA) it will be linearly interpolated.

J.P. Morgan GBI-EM GlobalThe J.P. Morgan Government Bond – Emerging Market Index (GBI-EM) offers broad exposure to local currency bonds issued by emerging market governments. This index is available in both currency hedged and unhedged variants.

Index inclusion criteriaSecurity types included}y Local currency-denominated government bonds

(global bonds)

}y Fixed-rate bonds


}y A country’s GNI per capita must be below the J.P. Morgan defined IIC for three consecutive years1

Security types excluded}y Floating-rate notes

}y Capitalisation/amortising bonds

}y Callable, puttable or convertible bonds

}y Perpetual bonds

}y Bonds that target the domestic market

}y Chinese and Indian government bonds

}y Bonds issued by a country whose long-term local currency government credit rating is A-/A3 or above for three consecutive years

}y Bonds issued by a country whose GNI per capita is above the J.P. Morgan defined IIC1 for three consecutive years

}y Bonds issued by countries with explicit capital controls

}y Bonds issued by countries which cap the amount of government bonds which may be held by a foreign investor, constrain the purchase or sale of government bonds by a foreign investor, or limit the purchase or sale of spot FX by a foreign investor

Credit ratingNo rating criteria; however, an existing country may be considered for removal if its GNI per capita is above the IIC1 for three consecutive years and its long-term local sovereign credit rating is A-/A3 or above for three consecutive years


Amount outstandingMinimum amount outstanding per bond:

}y 1bn USD (or equivalent) for onshore local currency bonds

}y 500m USD (or equivalent) for global bonds (offshore currency-linked bonds)

Once included in the index the size eligibility criteria will only be examined for buybacks and exchanges



}y Bonds included in the index must be accesible for most of the international investor base




Base currency USD Bloomberg code JGENGUUG

J.P. Morgan GBI-EM Global DiversifiedIndex methodology}y Composition is identical to the J.P. Morgan GBI-EM Global


Base currency USD Bloomberg code JGENVUUG


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J.P. Morgan GBI-EM Global Diversified 10% Cap 1% Floor IndexIndex methodology}y Subset of the J.P. Morgan GBI-EM Global Diversified


}y Consists of local currency-denominated bonds that are classified as emerging markets by J.P. Morgan, with country caps in order to provide diversified exposure with even country allocations

}y Minimum weight per country is 1%1

}y Maximum weight per country is 10%

Base currency: USD Bloomberg code: GBIE1001

J.P. Morgan GBI-EM Global Diversified 15% Cap 4.5% Floor IndexIndex methodology}y Subset of the J.P. Morgan GBI-EM Global Diversified


}y Consists of local currency-denominated bonds that are classified as emerging markets by J.P. Morgan, with country caps in order to provide diversified exposure with even country allocations

}y Minimum weight per country is 4.5%1

}y Maximum weight per country is 15%

Base currency: USD Bloomberg code: GBIE1545

Source: BlackRock, J.P. Morgan. Data as at end of June 2017.1 Countries are only eligible if they have a weight of 1% or more in the J.P. Morgan EMBI Global Diversified.


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J.P. Morgan Corporate Emerging Market Bond Index Broad (CEMBI Broad)The J.P. Morgan Corporate Broad Emerging Market Bond Index offers broad exposure to US dollar-denominated emerging market corporate bonds. The index provides exposure to corporate debt issuers in Asia (ex-Japan), Latin America, Eastern Europe and Middle East/Africa. The index excludes quasi-government bonds which are defined as a corporation with 100% government ownership or guarantee.

Index inclusion criteriaSecurity types included}y US dollar-denominated emerging market

corporate bonds


}y Bonds with embedded options and warrants if (a) the options/warrants are attached to instruments that would otherwise be included in the index and (b) the quotation convention (as recommended by the Emerging Markets Traders Association) is for instrument prices to be quoted cum options or warrants


}y Amortising/capitalisation bonds

Security types excluded}y Convertible bonds

}y Defaulted bonds

}y Quasi-sovereigns that are 100% owned or guaranteed by the government are not eligible for the CEMBI series

}y Local law instruments


MaturityMinimum remaining time to maturity of 13 months for existing index bonds, 5 years for new bonds entering the index





(a) The country with the largest face amount is capped at double the ICA. This is the maximum threshold and determines the diversified face amounts of other countries in the index

(b) If the country’s debt stock is below the ICA, the entire amount will be eligible for inclusion(c) If the country’s debt stock falls between the ICA and the maximum threshold (double the ICA) it will be linearly interpolated.




Base currency USD Bloomberg code JCBBCOMP

J.P. Morgan Corporate Emerging Market Bond Index Broad DiversifiedIndex methodology}y Composition is identical to the J.P. Morgan Corporate

Broad Emerging Market Bond Index


Base currency USD Bloomberg code JBCDCOMP

J.P. Morgan Corporate Broad Diversified Emerging Market Bond CoreIndex methodology}y Subset of the J.P. Morgan Corporate Broad Diversified

Emerging Market Bond Index



Base currency: USD Bloomberg code: JBCDCORE


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Markit iBoxx index family


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Markit iBoxx index familyDistinctive features}y The Markit iBoxx ‘Liquid’ indices have been designed to capture the most ‘liquid’ parts of the market by introducing

some stricter rules compared to standard market cap indices. Liquid indices are designed to provide a suitable basis for OTC exchange-traded derivatives and ETFs.

}y Multi-source bond pricing: Varying by market structure, the Markit iBoxx pricing model takes into account a variety of data input such as transaction data and quotes from market makers. For indices calculated in real-time, the source of the data is quotes from market makers. A three-step process is applied to incoming market maker quotes: a pre-filter validates the quote format and timing of the contribution, admissible quotes are checked and clustered, and finally, the consolidated bid and ask quotes are calculated using the remaining eligible quotes.

Markit iBoxx index coverage – sorted by exposure and index family

Index Exposure Page

Government bonds 92

EUR benchmark 92

Markit iBoxx € Sovereigns Eurozone Index Government 92 Markit iBoxx € Sovereigns Eurozone AAA Index Government 92 Markit iBoxx € Sovereigns Eurozone 3-5 Index Government 92 Markit iBoxx € Sovereigns Eurozone Yield Plus Index Government 93 Markit iBoxx € Sovereigns Eurozone Yield Plus 1-3 Index Government 93

EUR liquid 94

Overview: Markit iBoxx € Liquid Sovereigns Index Government 94 Markit iBoxx € Liquid Sovereigns Capped 1.5-10.5 Government 94 Markit iBoxx € Liquid Sovereigns Capped 1.5-2.5 Government 94 Markit iBoxx € Liquid Sovereigns Capped 2.5-5.5 Government 94 Markit iBoxx € Liquid Sovereigns Capped 5.5-10.5 Government 95 Markit iBoxx € Liquid Sovereigns Capped 10.5+ Government 95

EUR sovereigns 96

Markit iBoxx € Eurozone 20yr Target Duration Index Government 96

Inflation-Linked 97

Overview: Markit iBoxx Inflation-Linked Bond Indices Inflation-Linked 97 Markit iBoxx Global Inflation-Linked Index (EUR Hedged) Inflation-Linked 97

Credit/Corporate bonds 98

GBP Non-Gilt 98

Markit iBoxx Sterling Non Gilt Index Credit 98

EUR corporates – benchmark 99

Markit iBoxx EUR Corporates Index Corporate – Investment Grade 99 Markit iBoxx EUR Liquid Non-Financials Diversified Index Corporate – Investment Grade 100Markit iBoxx EUR Covered Index Securitised 101Markit iBoxx Pfandbriefe Index Securitised 102

EUR corporates – liquid 103

Markit iBoxx EUR Liquid Corporates Index Corporate – Investment Grade 103Markit iBoxx EUR Liquid Corporates Large Cap Index Corporate – Investment Grade 104Markit iBoxx EUR Liquid Corporates 100 Index Corporate – Investment Grade 105Markit iBoxx EUR Liquid Corporates 125 Index Corporate – Investment Grade 106Markit iBoxx EUR Corporates BBB-BB (5% Issuer Cap) Corporate – Crossover 107 Markit iBoxx EUR FRN Investment Grade 1-3 Index Corporate – FRN 108


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Index Exposure Page

USD corporates – liquid 109

Markit iBoxx USD Liquid Investment Grade Index Corporate – Investment Grade 109 Markit iBoxx USD Liquid Investment Grade 0-5 Index Corporate – Investment Grade 109 Markit iBoxx USD Liquid Investment Grade Interest Rate Hedged Index Corporate – Investment Grade 109 Markit iBoxx USD Liquid Investment Grade 150 Mid Price TCA Index Corporate – Investment Grade 110

GBP corporates – benchmark 111

Overview: Markit iBoxx GBP Corporates Index Corporate – Investment Grade 111 Markit iBoxx GBP Corporates 0-5 Index Corporate – Investment Grade 111 Markit iBoxx GBP Corporates Non-Financials Index Corporate – Investment Grade 111

GBP corporates – liquid 112

Markit iBoxx GBP Liquid Corporates Large Cap Index Corporate – Investment Grade 112

Ultrashort – liquid 113

Overview: Markit iBoxx Liquid Ultrashort Indices Corporate – Investment Grade 113 Markit iBoxx EUR Liquid Investment Grade Ultrashort Index Corporate – Investment Grade 113 Markit iBoxx USD Liquid Investment Grade Ultrashort Index Corporate – Investment Grade 114 Markit iBoxx GBP Liquid Investment Grade Ultrashort Index Credit – Investment Grade 114

USD Corporates - investment grade 115

Markit iBoxx USD Liquid FRN Investment Grade Corporates 100 Corporate – FRN 115

Inflation-linked 116

Markit iBoxx USD Breakeven 10-Year Inflation Inflation-linked 116

High Yield 116

Markit iBoxx Global Developed Markets High Yield Capped Index Corporate – High Yield 116 Markit iBoxx Global Dev Markets High Yield Capped Index (CHF Hedged) Corporate – High Yield 117 Markit iBoxx Global Dev Markets High Yield Capped Index (GBP Hedged) Corporate – High Yield 117Markit iBoxx EUR Liquid High Yield Index Corporate – High Yield 118 Markit IBoxx EUR Liquid High Yield 30 Ex-Financials Index Corporate – High Yield 118Markit iBoxx $ Liquid High Yield Index Corporate – High Yield 120 Markit iBoxx USD Liquid High Yield Capped Index Corporate – High Yield 120 Markit iBoxx USD Liquid High Yield 0-5 Capped Index Corporate – High Yield 120

Markit iBoxx index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see Markit iBoxx indices website: markit.com/Documentation/Product/IBoxx

Rating methodologyMarkit iBoxx considers ratings from three rating agencies: Fitch Ratings, Moody’s Investors Service and Standard & Poor’s Rating Services. The average rating of the three agencies determines the index rating. (Prior to 1 January 2008, the lowest rating was used.) Investment grade is defined as BBB– or higher from Fitch and Standard & Poor’s and Baa3 or higher from Moody’s.

For the purpose of calculating the average rating, a numerical score is attached to each rating provided by one of the relevant rating agencies. Where more than one rating is available, the numerical average of all scores will be calculated and rounded to the nearest whole number. The resulting score is converted back to the iBoxx index rating. If a tranche of a bond issue is not rated, the rating of its parent is applied.


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Markit iBoxx

Government

Bid prices, with new issues entering the index at offer price

Combination of:

}y Market Makers

}y Markit’s Evaluated Bond Pricing Service

Intraday pricing for euro and sterling, all others end of day

Inflation-linked

Corporate

Securitised


Currency hedging methodologyCurrency hedging is applied to the index constituents on each monthly rebalancing. At the rebalancing day the position is fully hedged, using one month forwards. During the month, the hedge ratio can fluctuate due to bond market value fluctuations (since rebalancing).

Interest rate hedging methodologyThe Markit interest rate hedged strategy uses futures contracts to fully hedge the duration of the underlying index. The hedge positions are reset to achieve neutral duration (i.e. where duration is equal to zero) at each monthly rebalancing day.

On each rebalancing day each long position of the underlying index is paired to a certain number of specific futures contracts in a short position. These long/short pairs are then aggregated into the duration neutral index.

The rebalancing process follows five steps:

}y Determine the cheapest-to-deliver bond of each futures contract

}y Determine the duration for each futures contract

}y Each bond is assigned to the two closest futures contracts

}y The delta distribution ratio is determined for each bond/future pair. The distribution weight can be between 0 and 1

}y Determine the notional for each futures contract

The results from this process are used to calculate the hedged index.


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Markit iBoxx € Sovereigns Eurozone IndexThe Markit iBoxx € Sovereigns Eurozone Index is part of the Markit iBoxx € benchmark index family. It provides exposure to euro-denominated eurozone government debt.

Index inclusion criteriaSecurity types included}y Fixed-coupon bonds


}y Step-up bonds

}y Event-driven bonds, such as rating or tax-driven bonds, with a maximum of one coupon change per period

}y Dated and undated callable subordinated corporate bonds, including fixed-to-floater bonds that change to a floating-rate note at or after the first call date

}y Bonds with call options where the first and subsequent call dates are on a date when the bond is otherwise no longer eligible for the index

}y Soft bullet bonds

Security types excluded}y Sinking funds/amortising bonds

}y Other callable and undated bonds

}y Floating-rate notes and other fixed-to-floater bonds

}y Optionally and mandatory convertible bonds

}y Subordinated bank or insurance debt with mandatory contingent conversion features or with any conversion options before the first call date is ineligible for the index

}y Collateralised Debt Obligations (CDOs) and bonds collateralised by CDOs

}y Retail bonds

}y Private placements1

}y Bonds with differences between accrual and coupon payment periods and monthly-paying bonds


}y All countries in the index require a long-term local currency government debt rating of investment grade





Reinvestment of cash flowsThe amount outstanding of a bond is only adjusted within the monthly rebalancing process at the end of each month. However, bonds that are fully redeemed intra-month are taken into account immediately. Fully redeemed bonds are bonds that are fully called or have been completely repurchased.

Base currency EUR Bloomberg code QW1A

Markit iBoxx € Sovereigns Eurozone AAA IndexIndex methodology}y Subset of Markit iBoxx € Sovereigns Eurozone Index


}y All bonds in the index must have a credit rating of AAA

Base currency EUR Bloomberg code I8KW

Markit iBoxx € Sovereigns Eurozone 3-5 IndexIndex methodology}y Subset of Markit iBoxx € Sovereigns Eurozone Index




Base currency EUR Bloomberg code QW1I

1 Partial private placements where information on the specific amounts publicly placed and privately placed can be ascertained are included in the indices with the amount publicly placed. If the amount publicly placed is below the cut-off, the bond is not included in the indices.


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Markit iBoxx € Sovereigns Eurozone Yield Plus IndexIndex methodology}y Subset of Markit iBoxx € Sovereigns Eurozone Index


}y Only includes the five highest yielding countries in the eurozone

}y Requires a minimum amount outstanding per bond of €2bn

}y 20% cap per bond

Base currency EUR Bloomberg code IBOXEYPO

Markit iBoxx € Sovereigns Eurozone Yield Plus 1-3 IndexIndex methodology}y Subset of Markit iBoxx € Sovereigns Eurozone Yield Plus




Base currency EUR Bloomberg code IBXXEYOT


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Overview: Markit iBoxx € Liquid Sovereigns IndexThe Markit iBoxx € Liquid Sovereigns indices are part of the Markit iBoxx € liquid index family. It provides exposure to the most liquid euro-denominated eurozone government debt.

Index inclusion criteriaSecurity types included}y Bullet fixed-coupon bonds

}y Rating-driven bonds

}y Step-up bonds



}y All callable and perpetual debt – including callable dated and undated hybrid bank/insurance capital


}y Bonds with odd last coupons


MaturityMinimum remaining time to maturity of 1.25 years


RebalancingFrequencyQuarterly


Maximum weight}y Minimum of three bonds in an index

}y Maximum number of bonds differs per sub-index

}y Limits on the number of bonds per country differs per sub-index

Reinvestment of cash flowsCash from received coupons and non-substituted bonds is re-invested at the end of each month in the money market until the end of the following month. Cash from earlier months is also re-invested at the end of each month. The interest rate used is one-month LIBID.

Markit iBoxx € Liquid Sovereigns Capped 1.5-10.5Index methodology}y Subset of Markit iBoxx € Liquid Sovereigns index family




}y Maximum of 25 bonds in the index

}y Maximum of five bonds per country

Base currency EUR Bloomberg code IB82X






}y Maximum of three bonds per country










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Base currency EUR Bloomberg code IB8Z

Markit iBoxx € Liquid Sovereigns Capped 10.5+Index methodology}y Subset of Markit iBoxx € Liquid Sovereigns index family







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Markit iBoxx € Eurozone 20yr Target Duration IndexMarkit iBoxx € Eurozone 20yr Target Duration Index measures the performance of eurozone sovereign debt with duration of around 20 years. Eligible bonds are selected from the Markit iBoxx EUR Sovereigns Eurozone 15+ Index.



}y Euro and legacy currency-denominated bonds only

Security types excluded}y T-Bills and other money-market instruments

}y Private placements1



MaturityMinimum remaining time to maturity of 15 years



Weighting methodologyThe following process is used to achieve an average duration of 20 years +/– a 5% tolerance:

1. For all eligible bonds determine the distance between the nominal modified adjusted duration of the bond and the target duration of the index.

2. Determine the six bonds with the shortest absolute distance to the target duration of the index.

3. Those six bonds are eligible for the index and will be the ‘core bonds’ of the index.

4. In the first step all eligible bonds are treated as part of the index, i.e. ‘index bonds’.

5. Determine the market-value weighted average modified adjusted duration (‘average duration’) of the index.

6. If the ‘average duration’ of all ‘index bonds’ is in between the target duration of the index, i.e. 20 years +/–5%, the index will consist of all ‘index bonds’.

7. If the ‘average duration’ is above the target duration; the full weight of the ‘index bond’ with the highest duration is redistributed pro rata to the ‘core bonds’.2

8. If the ‘average duration’ is below the target duration, the full weight of the ‘index bond’ with the lowest duration is redistributed pro rata to the ‘core bonds’.2

9. Steps 7 and 8 are repeated until either the ‘average duration’ is in the predefined range or weight of the remaining ‘index bonds’ cannot further be reduced without diverging further away from the predefined range.

Maximum weight}y Minimum of six bonds in the index

}y 30% cap per bond in the index

Reinvestment of cash flowsCash from coupon payments and redemptions is held as cash in the index and re-invested into the index at the rebalancing day. During the month the cash component is not earning any interest.

Base currency EUR Bloomberg code IBXX000T

1 Partial private placements where information on the specific amounts publicly placed and privately placed can be ascertained are included in the indices with the amount publicly placed. If the amount publicly placed is below the cut-off, the bond is not included in the indices.

2 Certain lockout periods apply to bonds previously reduced in weight.


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Overview: Markit iBoxx Inflation-Linked Bond IndicesThe Markit iBoxx Inflation-Linked Bond index family is designed to reflect the performance of inflation-linked investment grade debt from developed markets. The indices cover the major government and quasi-government inflation-linked bond markets.

Index inclusion criteriaSecurity types included}y Inflation-linked bonds issued by governments

or quasi-governments

}y Fixed-rate inflation-linked bonds where the cash flow can be determined in advance

}y Zero-coupon inflation-linked bonds

}y Both coupon and principal of the bond need to be linked to a domestic measure of consumer price inflation

Security types excluded}y Callable and puttable bonds

}y Retails bonds (for individual investors)

}y When-issued bonds

}y Bonds where only the coupon or only the principal are linked to an inflation index

}y Bonds whose coupon and principal are linked to product price inflation or other non-domestic consumer price inflation indices




}y 500m: AUD

}y 3bn: CAD

}y 2bn: EUR

}y 1bn: GBP

}y 200bn: JPY

}y 1000bn: KRW

}y 500m: NZD

}y 5bn: SEK

}y 2bn: USD




Markit iBoxx Global Inflation-Linked Index (EUR Hedged)Index methodology}y Part of the Markit iBoxx Inflation-Linked index family


}y Hedges all currencies inherent in the parent index into euro using monthly forwards using Markit currency hedging methodology (page 91)

Base currency EUR Bloomberg code GBB0SDLH


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Markit iBoxx Sterling Non-Gilt IndexThe Markit iBoxx Sterling Non-Gilt Index is a sub-index of the GBP Benchmark Index family and is designed to reflect the performance of corporate and collateralised sterling-denominated bonds.



}y Sinking funds (with fixed sinking schedule)

}y Amortising bonds

}y Step-ups, step-up callable bonds

}y Event-driven bonds


}y Dated and undated callable subordinated corporate bonds, including fixed-to-floater bonds that change to a floating-rate note at or after the first call date. Undated bonds must be callable


}y Subordinated financial debt with a contingent conversion feature at the point of non-viability, in line with capital adequacy requirements of Basel III

Security types excluded}y Bonds with American options

}y Undated bonds


}y Optionally and manually convertible bonds

}y Collateralised Debt Obligations (CDOs)

}y Retail bonds


}y Bonds with differences between accrual period, coupon period and monthly paying bonds







Base currency GBP Bloomberg code IXBW


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Markit iBoxx EUR Corporates IndexThe Markit iBoxx EUR Corporates Index is a sub-index of the EUR Benchmark Index family and is designed to reflect the performance of euro-denominated investment grade corporate bonds.



}y Step-up bonds

}y Event-driven bonds, such as rating or tax-driven bonds, with a maximum of one coupon change per period

}y Dated and undated subordinated corporate debt including fixed-to-floater bonds


}y Soft bullets

}y Subordinated financial debt with a contingent conversion feature at the point of non-viability, in line with capital adequacy requirements of Basel III





}y Subordinated bank or insurance debt with mandatory contingent conversion features

}y Collateralised debt obligations (CDOs) and bonds collateralised by CDOs

}y Retail bonds





Amount outstandingMinimum amount outstanding per bond of €500m (€1bn for legacy currency bonds)




Base currency EUR Bloomberg code QW5A


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[1 0 0 ] F I X E D I N C O M E I N D E X G U I D E

Markit iBoxx EUR Liquid Non-Financials Diversified IndexThe Markit iBoxx EUR Liquid Non-Financials Diversified Index is a sub-index of Markit iBoxx EUR Corporates Index that is comprised of euro and legacy currency-denominated investment grade corporate bonds excluding bonds defined as ‘Financials’ by Markit iBoxx.

Index inclusion criteriaSecurity types included}y Bonds from non-financial issuers only

}y Euro and legacy currency-denominated bullet fixed-coupon bonds

}y Bonds from issuers who are headquartered in a eurozone country or Denmark, Norway, Sweden, Switzerland or the United Kingdom and that are issued in one of these countries

}y Senior debt only


}y Callable bonds



}y Step-up bonds


Maturity}y Minimum remaining time to maturity of 1.5 years


}y Maximum age of bonds – measured from first settlement date – entering the index is 3 years

Amount outstanding}y Minimum amount outstanding per bond of €750m

}y Minimum outstanding debt per issuer of €3bn



Maximum weight}y Maximum of 40 bonds in the index

}y Maximum of two bonds per issue

}y 4% issuer cap

Reinvestment of cash flowsCash received from coupon payments and non-substituted bonds are invested at the end of each month in the money market until the end of the following month. Cash from earlier months will also be re-invested at the end of each month. The interest rate applied is one-month LIBID.

Base currency EUR Bloomberg code IB9B


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F I X E D I N C O M E I N D E X G U I D E [1 0 1 ]

Markit iBoxx EUR Covered IndexThe Markit iBoxx EUR Covered Index is a sub-index of the Markit iBoxx EUR benchmark family and offers exposure to euro-denominated, investment grade covered bonds.

Index inclusion criteriaSecurity types included}y Covered bonds only

}y Austrian and German Pfandbriefe

}y Canadian, Hungarian, Italian, Netherlands, New Zealand, Portuguese, Scandinavian, Switzerland, the UK and the US covered bonds

}y French Obligations à l’Habitat, CRH and General Law Based Covered Bonds

}y Irish Asset Covered Securities

}y Luxembourg Lettres de Gage

}y Spanish Cedulas Hipotecarias and Cedulas Territoreales







}y Retail bonds






Amount outstanding}y Minimum amount outstanding per bond of €500m (€1bn

for legacy currency bonds)

}y Covered bonds with issue size between €500m and €1bn only qualify for inclusion if they have at least three lead managers (not including the issuer itself)



Reinvestment of cash flowsThe amount outstanding of a bond is only adjusted within the monthly rebalancing process at the end of each month. However, bonds that are fully redeemed intra-month are taken into account immediately.

Base currency EUR Bloomberg code IYGB


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Markit iBoxx Pfandbriefe IndexThe Markit iBoxx Pfandbriefe Index reflects the performance of euro-denominated, investment grade Pfandbriefe bonds from German issuers.

Index inclusion criteriaSecurity types includedBullet fixed-coupon Pfandbriefe bonds




}y Step-up bonds


}y Insurance-wrapped bonds

}y Structured bonds and bonds with optional characteristics






Maximum weight}y Minimum of nine issuers in the index

}y 24% issuer cap

}y 78% cap on issuer with greater than 4.5% weight in the index


Base currency EUR Bloomberg code IBXXDECT


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Markit iBoxx EUR Liquid Corporates IndexThe Markit iBoxx EUR Liquid Corporates Index is a sub-index of the Markit iBoxx EUR Corporate Index and is designed to reflect the performance of euro-denominated investment grade corporate bonds.



}y Step-up bonds


Security types excluded}y All callable and perpetual debt, including callable dated

and undated hybrid bank/insurance capital



}y Sinking funds

}y Amortising bonds

}y Bonds classified as retail or private placement by Markit


Maturity}y Minimum remaining time to maturity of 1.5 years

}y Maximum age of bonds - measured from first settlement date - entering the index is 3 years and currently in the index is 4 years

}y Minimum age difference required for exchanges of bonds from the same issuer is 2 years



Weighting methodologyDue to significant differences in the average issue size of financial and non-financial bonds, the amount outstanding of the bonds in the Markit iBoxx EUR Liquid Corporates index is adjusted by a sector specific factor (the market share in the benchmark index divided by the total amount outstanding of all bonds from the respective sector in the liquid index). This ensures that the initial market share of a sector in the liquid index equals that for the Markit iBoxx EUR Benchmark Index. Thus each bond retains its relative weight within each sector. The weights of bonds from the two sectors are different to account for the differences in the average issue size.


}y Maximum of one bond per issuer


Base currency EUR Bloomberg code IB8A


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Markit iBoxx EUR Liquid Corporates Large Cap IndexThe Markit iBoxx EUR Liquid Corporates Large Cap Index consists of liquid euro-denominated investment grade corporate bonds, selected to provide a balanced representation of the liquid euro investment grade corporate bond universe.


}y Rating driven bonds

}y Step-up bonds

}y Non-callable Lower Tier 2 bonds

Security types excluded}y Money-market instruments



}y All callable bonds and perpetual debt, including callable dated and undated hybrid bank/insurance capital

}y Puttable bonds


}y Sinking funds

}y Amortising bonds

}y Retail and private placement bonds



Amount outstanding}y Minimum amount outstanding per bond of €500m

}y Minimum amount outstanding per issuer of €3.5bn




Reinvestment of cash flowsCash received from coupon payments is re-invested intra-month in the money market until the end of the month. The interest rate used is one-month EURIBOR. At the next rebalancing, cash is reinvested in the index.

Base currency EUR Bloomberg code IBXXELAT


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Markit iBoxx EUR Liquid Corporates 100 IndexThe Markit iBoxx EUR Liquid Corporates 100 Index is a sub-index of the Markit iBoxx EUR benchmark index family that is designed to provide exposure to the euro investment grade corporate bond universe. The index uses a ranking procedure to select the top 100 bonds based on specific criteria.

Index inclusion criteriaSecurity types included}y Euro and legacy currency-denominated bullet

fixed-coupon bonds



}y Step-up bonds

Security types excluded}y All other callable debt, including callable dated and

undated hybrid bank/insurance capital



}y Sinking funds

}y Amortising bonds



MaturityMinimum remaining time to maturity of 2 years for existing index bonds, 3 years for new bonds entering the index


RebalancingFrequencySemi-annually

Rebalancing costsThe index incurs semi-annual rebalancing costs of 0.20% of the index level:

TRt open = TRt

close – 0.2%*TRt close

TRt = Total Return index level after cost adjustment at market close



}y Maximum permissible lot size €100,000


Base currency EUR Bloomberg code IBOXLC00


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Markit iBoxx EUR Liquid Corporates 125 IndexIndex methodologyThe Markit iBoxx EUR Liquid Corporates 125 Index is a sub-index of the Markit iBoxx EUR benchmark index family that is designed to provide exposure to the euro investment grade corporate bond universe. The index is mid-priced and market capitalisation weighted and uses a ranking procedure to select the top 125 bonds based on specific criteria.

Index inclusion criteriaSecurity types included}y Euro and legacy currency bullet fixed coupon bonds

}y Step-up bonds




}y All other callable debt – including callable dated and undated hybrid bank/insurance capital




MaturityMinimum remaining time to maturity of 2 years for existing index bonds, 3 years for new bonds entering the index



Rebalancing costsThe index incurs monthly rebalancing costs at the index level:

TRt open = TRt

close – cost*TRt close

TRt = Total Return index level after cost adjustment at market close



}y Maximum of three bonds per issuer

}y Maximum permissible lot size €100,000

}y Should more than the maximum number of bonds be available for inclusion, the following criteria are applied in this order to rank eligible bonds:

(1) Minimum lot size of €50,000 or less

(2) Higher amount outstanding

(3) More recent first settlement date

(4) Longer time to maturity

(5) Higher rating

(6) Lower coupon


Base currency: EUR Bloomberg code: IBXXLMD1


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Markit iBoxx EUR Corporates BBB-BB (5% Issuer Cap) IndexThe Markit iBoxx EUR Corporates BBB-BB (5% Issuer Cap) Index measures the performance of the euro-denominated BBB and BB rated corporate bond crossover market. The index covers bonds rated between BBB+ and BB- whilst maintaining a market-value weighted average rating on index level of investment grade.


}y Callable bonds

}y Step-up bonds with coupon schedules known at issuance

}y Event-driven bonds, such as rating- or tax-driven bonds, with a maximum of one coupon change per period

}y Bonds with poison put options

}y Bonds with make-whole call or tax changes call provisions


}y Callable perpetual bonds that are BBB and still have one year time to maturity

}y Fixed-to-float bonds that have one year time to maturity

Security types excluded}y BB- rated fixed-to-float bonds


}y Sinking funds

}y Amortising bonds

}y Floating-rate notes and other fixed-to-float bonds (during the floating period)

}y Convertibles

}y Zero-coupon bonds, including zero-coupon step-ups (GAINS)

}y Pay-in-kind bonds (during the pay-in-kind period)

}y Puttable bonds (other than ‘poison puts’)

}y Preferred shares

}y Index-linked notes


}y Subordinated bank or insurance debt with mandatory contingent conversion features or with any conversion options before the first call date


Credit ratingBetween Baa1/BBB+ and Ba3/BB-

Maturity}y BB Category: Minimum remaining time to maturity of

2 years. Maximum original time to maturity of 10.5 years

}y BBB Category: Minimum remaining time to maturity of 1 year

Amount outstanding}y BB Category: Minimum amount outstanding per

bond of €250m

}y BBB Category: Minimum amount outstanding per bond of €500m

Liquidity criteriaBonds classified as illiquid by the Technical Committee1 are excluded


Weighting methodology}y Market capitalisation; as long as the average rating of

bonds in the index falls in the investment grade space

}y If the average rating falls below BBB-, the weight BB- bonds will be reduced and reallocated to BBB+ bonds until the average rating falls into investment grade. If still below investment grade, the weight of BB bonds is reduced and reallocated to BBB+ bonds. If still below BBB- the same procedure is applied to BB+ bonds



Base currency EUR Bloomberg code IBXX011T

1 The Technical Committee is composed of representatives from market makers/banks. The main purpose of the group is to provide assistance in the identification of eligible constituents, especially where there is ambiguity around the eligibility of a bond. The committee also discusses any market developments which may warrant index rule changes and provides recommendations as to the nature of these changes. It also reviews the impact of financial sanctions on the eligibility of countries or specific index constituents. The committee meets monthly.


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Markit iBoxx EUR FRN Investment Grade 1-3 IndexIndex methodologyThe Markit iBoxx EUR FRN Investment Grade 1-3 Index measures the performance of the euro-denominated investment grade short duration floating-rate note (FRN) market. The index covers senior floating-rate securities with a time to maturity between 1 and 3 years issued by developed market countries.

Index inclusion criteriaSecurity types includedEuro-denominated senior floating-rate notes (FRNs) linked to EURIBOR with coupon reset at least once per year

Security types excluded}y Preferred shares


}y Bonds with other equity features attached (e.g. options/warrants)

}y Sinking funds/amortising bonds

}y Structured bonds

}y Fixed-to-floaters

}y Leveraged floaters

}y Floaters with a cap and/or floor

}y Reverse floaters



}y A bond that drops out of the index at rebalancing day is excluded from re-entering the index for a 3-month ‘lockout’ period


MaturityAt the rebalancing day, all floating-rate notes in the index must have:

}y Maximum remaining time to maturity of 3 years or less

}y Minimum remaining time to maturity of 1 year or less

}y New bonds eligible for the index need to have at least 18 month time to maturity at rebalancing


Liquidity criteriaBonds classified as illiquid by the Technical Committee1 are excluded





Base currency: EUR Bloomberg code: IBXXFRNT

1 The Technical Committee is composed of representatives from market makers/banks. The main purpose of the group is to provide assistance in the identification of eligible constituents, especially where there is ambiguity around the eligibility of a bond. The committee also discusses any market developments which may warrant index rule changes and provides recommendations as to the nature of these changes. It also reviews the impact of financial sanctions on the eligibility of countries or specific index constituents. The committee meets monthly.


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Markit iBoxx USD Liquid Investment Grade IndexThe Markit iBoxx USD Liquid Investment Grade Index is designed to reflect the performance of US dollar-denominated investment grade corporate debt.


}y US dollar-denominated bonds only


}y Sinking funds

}y Amortising bonds


}y Rule 144A offerings with a registration right (Only 144A bonds where RegulationS version of the bond is eligible)

}y Callable bonds

}y Puttable bonds




}y Bonds with equity features attached (e.g. options/warrants)


}y Perpetual bonds (unless callable)

}y Floating-rate notes and fixed-to-floater bonds


}y Zero-coupon bonds, including zero step-up bonds (GAINS)




MaturityMinimum remaining time to maturity of 3 years for existing index bonds, 3.5 years for new bonds entering the index

Amount outstanding}y Minimum amount outstanding per bond of USD750m

}y Minimum outstanding debt of an issuer of USD2bn





Base currency USD Bloomberg code IBOXIG

Markit iBoxx USD Liquid Investment Grade 0-5 IndexIndex methodology}y Subset of Markit iBoxx USD Liquid Investment Grade





}y Minimum remaining time to maturity of 6 months

}y Minimum original time to maturity of 1 year

Base currency USD Bloomberg code IBXXSIG1

Markit iBoxx USD Liquid Investment Grade Interest Rate Hedged IndexIndex methodology}y Subset of Markit iBoxx USD Liquid Investment Grade


}y Aims to be duration neutral by taking long positions in the underlying index bonds and short positions in US Treasury futures contracts using Markit interest rate hedging methodology (page 91)

Base currency USD Bloomberg code IBXXH1US


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Markit iBoxx USD Liquid Investment Grade 150 Mid Price TCA IndexIndex methodologyThe Markit iBoxx USD Liquid Investment Grade 150 Mid Price TCA Index is designed to reflect the performance of US dollar-denominated investment grade corporate debt. The index is mid priced and market capitalisation weighted with an issuer cap of 3% and uses a ranking procedure to select the top 150 bonds based on specific criteria.

Index inclusion criteriaSecurity types included}y US dollar-denominated bonds only

}y Fixed coupon bonds



}y Medium-term notes (MTNs)

}y Callable bonds

}y Puttable bonds





}y 144As


}y Perpetual bonds



}y Zero-coupon bonds and zero step-up bonds (GAINS)



Maturity}y Minimum remaining time to maturity of 1 year for

existing index bonds, 2 years for new bonds entering the index

}y Bonds from the issuer are replaced by a more recently issued bond if the new bond is at least 2 years younger

Amount outstanding Minimum amount outstanding per bond differs per sector1:

}y USD500m: Utilities and Healthcare

}y USD2bn: Financials

}y USD1.5bn: Industrials, Oil and Gas, Technology, Telecommunications

}y USD1bn: Others


Weighting methodologyThe following selection procedure is applied to the bond universe to determine the most liquid bonds for the index:

1. Bonds are ranked by each category in the following order:

– Amount outstanding (prefer higher)

– Age (prefer lower)

– Expected remaining life (prefer higher)

2. If an issuer has more than 1 bond, only the top 1 bond per issuer are selected.

3. The top 150 bonds are selected.


Reinvestment of cash flowsCash from coupon is reinvested intra-month in the money market at LIBID defined as LIBOR minus 12.5 basis points.

Base currency: USD Bloomberg code: IBXXLMD3

1 Each bond in the Index is assigned to one of the following sectors: Consumer Goods, Consumer Services, Financials, Industrials & Materials, Telecommunication & Technology and Utilities & Energy. All bonds are classified based on the principal activities of the issuer and the main sources of the cash flows used to pay coupons and redemptions. In addition, a bond’s specific collateral type or legal provisions are evaluated. Hence, it is possible that bonds issued from different subsidiaries of the same issuer carry different classifications.


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Overview: Markit iBoxx GBP Corporates IndexThe Markit iBoxx GBP Liquid Corporates Index is a sub-index of the GBP benchmark family and offers exposure to sterling-denominated, investment grade corporate bonds.

Index inclusion criteriaSecurity types included}y Sterling-denominated bonds only

}y Fixed-coupon bonds


}y Event-driven bonds (maximum of one coupon change per period)

}y Dated and undated callable subordinated corporate bonds, including fixed-to-floater bonds

}y Sinking funds (with fixed sinking schedule)/amortising bonds

}y Step-up bonds and step-up callable bonds with European options

}y Callable, puttable and extendable bonds with European options



}y Subordinated financial debt with a contingent conversion feature at the point of non-viability

Security types excluded}y Other bonds with American call options and

undated bonds


}y Optionally and mandatory convertible bonds from non-financial issuers


}y Collateralised Debt Obligations (CDOs) and bonds collateralised by CDOs

}y Retail bonds









Markit iBoxx GBP Corporates 0-5 IndexIndex methodology}y Part of the Markit iBoxx GBP Corporates index family



}y Index does include longer dated, callable bonds with call dates within the 5 year time frame.

Base currency GBP Bloomberg code IYD5

Markit iBoxx GBP Corporates Non-Financials IndexIndex methodology}y Part of the Markit iBoxx GBP Corporates index family


}y Excludes bonds classified as ‘Financials’

Base currency GBP Bloomberg code IYJD


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Markit iBoxx GBP Liquid Corporates Large Cap IndexThe Markit iBoxx GBP Liquid Corporates Large Cap Index is a sub-index of the GBP Benchmark index family and is designed to reflect the performance of sterling-denominated investment grade corporate debt. Only bonds from large issuers are included.

Index inclusion criteriaSecurity types included}y Sterling-denominated bonds only

}y Bullet fixed-coupon bonds


}y Step-up bonds




}y Perpetual bonds

}y All callable and perpetual debt, including callable dated and undated hybrid bank/insurance capital

}y Puttable



}y Structured bonds

}y Retail bonds


}y Domestic non-government bond issues

}y Insurance-wrapped bonds




Amount outstanding}y Minimum amount outstanding per bond of £300m

}y Minimum outstanding debt per issuer of £750m




Reinvestment of cash flowsCash from coupon is reinvested intra-month in the money market at LIBID defined as LIBOR minus 12.5 basis points.

Base currency GBP Bloomberg code IBXXGLAT


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Overview: Markit iBoxx Liquid Ultrashort IndicesThe Markit iBoxx Liquid Ultrashort indices are designed to offer a balanced representation of the investment grade credit market with issues of very short duration. The indices offer exposure to ultrashort corporate bonds (and quasi-government bonds in the case of sterling-denominated bonds).



}y Step-up bonds with known schedules


}y Callable and puttable senior bonds


}y Floating-rate notes linked to EURIBOR or LIBOR with coupon reset at least once per year


}y Perpetual bonds and structured bonds

}y Zero-coupon bonds and zero step-up bonds (GAINS)

}y Fixed-to-floater bonds, leveraged floaters, step-up floaters, reversible floaters and floaters with a cap and/or floor



}y Subordinated debt except non-callable Lower Tier 2 bonds

}y Preferred shares

}y Retail bonds

}y Private Placements






Maturity}y Minimum original time to maturity of 1 year

}y Fixed-rate bonds: time remaining to maturity between 0 and 1 year

}y Floating-rate bonds: time remaining to maturity between 0 and 3 years

Amount outstandingMinimum amount outstanding per bond £250m/ €500m/USD500m



Maximum weightDiffers depending on currency, see individual indices.

}y 4% issuer cap for sterling

}y 3% issuer cap for euro

}y 3% issuer cap for US dollar (includes Rule 144A offerings)


Markit iBoxx EUR Liquid Investment Grade Ultrashort IndexIndex methodology}y Part of the Markit iBoxx Ultrashort index family


}y Includes only euro-denominated corporate bonds; however, the index is designed to add additional fixed income instruments over time as warranted

}y 3% issuer cap

}y Requires a minimum amount outstanding of €500m

}y The index includes floating-rate bonds. Modified duration does not account for the reset period of floating-rate bonds and therefore does not necessarily fairly represent the duration for the indices

Base currency EUR Bloomberg code IBXXUSE1


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Markit iBoxx USD Liquid Investment Grade Ultrashort IndexIndex methodology}y Part of the Markit iBoxx Ultrashort index family


}y Includes only US dollar-denominated corporate bonds; however, the index is designed to add additional fixed income instruments over time as warranted

}y 3% issuer cap

}y Requires a minimum amount outstanding of USD500m

}y Includes Rule 144A offerings and excludes RegulationS bonds


Base currency USD Bloomberg code IBXXUSU1

Markit iBoxx GBP Liquid Investment Grade Ultrashort IndexIndex methodology}y Part of the Markit iBoxx Ultrashort index family


}y Includes sterling-denominated corporate bonds, covered bonds and quasi-government bonds

}y 4% issuer cap

}y Requires a minimum amount outstanding of £250m


Base currency GBP Bloomberg code IBXXUSG1


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Markit iBoxx USD Liquid FRN Investment Grade Corporates 100The Markit iBoxx USD Liquid FRN Investment Grade Corporates 100 Index reflects the performance of the US dollar-denominated corporate investment grade floating rate securities market. The index selects a minimum of 40 and a maximum of 100 of the most liquid bonds-based specific criteria, and has an issuer cap of 5%. Only bonds from developed markets are eligible for inclusion in the index.

Index inclusion criteriaSecurity types included}y Floating-rate notes (FRNs) with a coupon reset of at

least once per year are eligible

}y USD-denominated bonds only



}y Rule 144A offerings

}y Callable senior bonds, including those with cleanup calls (i.e. call option within 6 months of maturity)

}y Puttable senior bonds


}y Floating-rate notes (FRNs) linked to LIBOR or EURIBOR with coupon reset at least once per year

Security types excluded}y Fixed coupon bonds

}y Preferred shares



}y Bonds with other equity features attached (e.g. options/warrants)


}y Perpetual bonds


}y Structured bonds

}y Subordinated debt except non-callable Lower Tier 2 bonds

}y Fixed-to-floaters, leveraged floaters, floaters with a cap and/or floor, step-up floaters, reversible floaters

}y RegulationS bonds


}y Zero-coupon bonds and zero step-ups (GAINS)

}y Bonds with differences between accrual and coupon payment periods and monthly-paying bonds





Liquidity criteria}y TRACE trading volume is used to determine illiquid bonds:

}y For securities issued 180+ days ago, only bonds with at least 90 million trading volume over previous 180 days and at least 24 trades in previous 30 days are eligible

}y For securities issued within last 180 days, only bonds with at least 15 million trading volume in previous 30 days and at least four trades in previous 30 days are eligible.

If application of TRACE & Bond Ranking results in less than 100 bonds, thresholds are further reduced:

}y For securities issued 180+ days ago, only bonds with at least 60 million trading volume over previous 180 days and minimum 18 trades during that period are eligible

}y For securities issued within last 180 days only bonds with at least 10 million trading volume in previous 30 days and at least three trades in previous 30 days are eligible.

If application of liquidity screening results in less than 40 bonds, TRACE screening is not applied and only the ‘Bond Ranking’ is applied.



Maximum weight}y 5% issuer cap

}y Bond Ranking procedure to determine most liquid bonds for index:

1. Bonds ranked by category in following order:

}y Amount outstanding (prefer higher)

}y Age (prefer lower). Bonds entering index must have minimum age of more than 30 days

}y Expected remaining life (prefer higher)

2. Maximum number of bonds per issuer that may be included in the index are three

3. At least 40 and no more than 100 bonds are selected for the index


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Base currency: USD Bloomberg code: IBXXFRN5

Markit iBoxx USD Breakeven 10-Year InflationThe Markitt iBoxx USD Breakeven 10-Year Inflation Index provides exposure to breakeven inflation by entering into a long position in US 10-Year Treasury Inflation-Protected securities (TIPS) and a short position in 10-Year US Treasury bonds with adjacent durations. The base inflation index for the TIPS is US CPI. The Treasury position is constructed in a way that the duration of the index is neutralised. Exposure to any TIPS (within the TIPS portion of index) and any Treasury bond (within the Treasuries portion of index) cannot exceed 30% at any rebalance date. Index must also contain a total of six TIPS and a minimum six Treasury bonds at any point in time.

Index inclusion criteriaSecurity types included}y USD-denominated 10-Year TIPS with a fixed coupon

(base inflation index for the TIPS is US CPI)

}y USD-denominated 10-Year Treasury bonds with a fixed coupon

Maturity}y Minimum original time to maturity of 10 years

}y Minimum remaining time to maturity of 1 year at the rebalance date

Amount outstandingMinimum amount outstanding per bond of USD2bn



Maximum weight}y 30% maximum exposure to any TIPS (within the

TIPS portion) and any Treasury bond (within the Treasuries portion)

}y Total of six TIPS and at least six Treasury bonds at any point in time

Reinvestment of cash flowsPayments from coupons and scheduled partial and unscheduled full redemptions are held as cash, without interest, until the next rebalancing, when the cash is reinvested in the index.

Base currency: USD Bloomberg code: IBXXUBF1

Markit iBoxx Global Developed Markets High Yield Capped IndexThe Markit iBoxx Global Developed Markets High Yield Capped Index reflects the performance of the global developed corporate high yield debt market. The index has a 10% cap for 144A bonds and an issuer cap of 3%.





}y Rule 144A offerings are eligible for Canadian dollar and US dollar, and RegulationS offerings (RegS) for euro and sterling

}y Callable and puttable bonds

Security types excluded}y Perpetual bonds (unless callable)


}y Zero step-up bonds (GAINS)





}y Preferred shares



}y RegulationS offerings for Canadian dollar, sterling and US dollar and Rule 144A offerings for euro




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Amount outstanding}y Minimum amount outstanding per bond differs per currency:

– 100m: CAD

– 250m: EUR

– 250m: GBP

– 400m: USD

}y Minimum issuer amount outstanding for all US dollar-denominated bonds USD1bn




}y 10% cap on 144A/RegS bonds if:

– The 144A bond has no registration rights

– The 144A bond has a registration period longer than 365 days

– Information regarding the length of the registration period of the 144A bond is not available

– The 144A bond has a registration period equal or less than 365 days but failed to register within 320 days

– The RegS version of euro-denominated bonds is not listed on a ‘Recognised Investment Exchange’


Base currency USD Bloomberg code IBXXGH11

Markit iBoxx Global Developed Markets High Yield Capped Index (CHF Hedged)Index methodology}y Subset of Markit iBoxx Global Developed Markets High

Yield Capped Index (same index methodology)

}y Hedges all currencies inherent in the parent index into Swiss Franc using monthly forwards using Markit interest rate hedging methodology (page 91)

Base currency CHF Bloomberg code IBXXGH20

Markit iBoxx Global Developed Markets High Yield Capped Index (GBP Hedged)Index methodology}y Subset of Markit iBoxx Global Developed Markets High

Yield Capped Index (same index methodology)

}y Hedges all currencies inherent in the parent index into sterling using monthly forwards using Markit interest rate hedging methodology (page 91)

Base currency GBP Bloomberg code IBXXGH16


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Markit iBoxx EUR Liquid High Yield IndexThe Markit iBoxx EUR Liquid High Yield Index is designed to reflect the performance of euro-denominated high yield liquid corporate debt This index has an issuer cap of 3% and a country cap of 20%.

Index inclusion criteriaSecurity types included}y Euro-denominated corporate bonds


}y Event-driven bonds

}y Callable bonds

}y Floating-rate notes with EURIBOR as a reference interest rate



}y Poison put option bonds

}y Make-whole call or tax changes call provision bonds

}y Financial subordinated debt with a contingent conversion feature at the point of non-viability

Security types excluded}y Sinking funds

}y Perpetual bonds

}y Zero-coupon bonds, including zero coupon step-ups (GAINS)


}y Puttable bonds (other than ‘poison puts’)

}y Preferred shares



}y Convertibles

}y Defaulted bonds

}y Fixed-to-floaters

}y Subordinated bank or insurance debt with mandatory contingent conversion features that are based on an observable trigger

}y Floating rate with base/overall floors that are not set at 0% or with caps that are not regulated by the usury laws of the relevant jurisdiction

Credit rating}y High yield (Ba1/BB+ or lower)

(Exception to general rating rules: for bonds where all ratings are below investment grade the highest rating from the three agencies is the corresponding iBoxx rating)

}y Minimum CCC-/Caa3 from all three rating agencies

Maturity}y No minimum remaining time to maturity for existing bonds

in the index, 2 years for new bonds entering the index

}y Maximum original time to maturity of 10.5 years





}y 20% country cap

Reinvestment of cash flowsPayments from coupons and scheduled partial and unscheduled full redemptions are held as cash, without interest, until the next rebalancing, when the cash is reinvested in the index.

Base currency EUR Bloomberg code IBOXXMJA

Markit iBoxx EUR Liquid High Yield 30 ex-Financials IndexIndex methodologyThe Markit iBoxx EUR Liquid High Yield 30 ex-Financials Index measures the performance of euro-denominated high yield corporate bonds excluding bonds that are classified as ‘Financials’. The index uses a ranking procedure to select the top 30 bonds from the Markit iBoxx EUR High Yield Core Cum Crossover Index based on specific criteria.

Index inclusion criteriaSecurity types included}y Euro-denominated corporate bonds



}y Callable bonds

}y Callable fixed-to-floaters

}y Rating sensitive bonds


}y Poison put option bonds

}y Make-whole call or tax changes call provision bonds

}y Registration-sensitive bonds


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Security types excluded}y Perpetual bonds

}y Zero-coupon bonds (including zero-coupon step-ups, GAINS)


}y Puttable bonds (other than poison puts)

}y Sinking funds

}y Convertibles

}y Preferred shares


}y Defaulted bonds

}y Retail bonds and private placements

Credit rating}y High yield (Ba1/BB+ or lower)

(Exception to general rating rules: for bonds where all ratings are below investment grade the highest rating from the three agencies is the corresponding iBoxx rating)

}y Minimum CCC-/Caa3 from all three rating agencies

Maturity}y Minimum remaining time to maturity of 1.25 years for

existing index bonds, 2 years for new bonds entering the index

}y Maximum original time to maturity of 10.5 years

}y Only bonds with an age of less than 5 years are included in the index



Weighting methodologyAll eligible bonds are ranked according to the following criteria, with the first criterion applied first, and the second criterion only applied in the case of a tie in the first criterion:

}y Amount outstanding (descending)

}y Age (ascending)

}y Time to maturity (descending)

}y Overall size (aggregate amount outstanding of all bonds) of the issuer in the underlying universe (descending)

}y Time since rating downgrade of the issuer (descending)

}y Alphabetical order of the name of the issuer

Only the highest ranked bond for each issuer is considered for the index.

For each market segment, the issuers are ranked according to the following criteria:

}y Aggregate size of the issuer in the underlying index (descending)

}y If aggregate size of a number of issuers is the same – rank of the highest ranked bond from the issuer (ascending) is used

The bonds from the highest ranked issuers are included in the index until the required number of bonds for the market segment has been selected.


Reinvestment of cash flowsPayments from coupons and scheduled partial and unscheduled full redemptions are held as cash, without interest, until the end of the month. If the end of the month is not a regular rebalancing then the cash is invested in the money market until the end of the next month at a rate of 1-month EURIBOR minus 12.5 bps.

Base currency: EUR Bloomberg code: IBOXLH3T

Source: BlackRock, Markit. Data as at end of June 2017.


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Markit iBoxx $ Liquid High Yield IndexThe Markit iBoxx $ Liquid High Yield Index is designed to reflect the performance of US dollar-denominated high yield, liquid corporate debt. This index has an issuer cap of 3%.

Index inclusion criteriaSecurity types included}y US dollar-denominated bonds


}y Callable and puttable bonds




}y Rule 144A offerings



}y Zero step-up bonds (GAINS)




}y Perpetual bonds (unless callable)





}y RegulationS offerings


Maturity}y Minimum remaining time to maturity of 1 year for

existing index bonds, 1.5 years for new bonds entering the index

}y Maximum original time to maturity of 15 years

Amount outstanding}y Minimum amount outstanding per bond of USD400m





Reinvestment of cash flowsPayments from coupons and scheduled partial and unscheduled full redemptions are reinvested as of the payment date at the money market rate, until end of the month.

Base currency USD Bloomberg code IBOXHY

Markit iBoxx USD Liquid High Yield Capped IndexIndex methodology}y Subset of Markit iBoxx $ Liquid High Yield Index


}y 144A securities are included with a cap of 10% provided they meet the following eligibility criteria:

– The 144A bond has no registration rights

– The 144A bond has a registration period longer than 365 days

– Information regarding the length of the registration period of the 144A bond is not available

– The 144A bond has a registration period equal or less than 365 days but failed to register within 320 days

Base currency USD Bloomberg code IBXXHYCT

Markit iBoxx USD Liquid High Yield 0-5 Capped IndexIndex methodology}y Subset of Markit iBoxx USD Liquid High Yield Capped


}y Requires a minimum amount outstanding of USD350m

}y Minimum remaining time to maturity of 6 months


}y Original time to maturity between 1 and 15 years

}y Bonds with a price of less than USD60 as at the last trading day of the month are excluded from the index at the rebalancing date

Base currency USD Bloomberg code IBXXSHC1


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Markit Credit Default Swap index family



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F I X E D I N C O M E I N D E X G U I D E [12 3 ]

Markit Credit Default Swap index familyDistinctive features}y Markit Credit Default Swap (CDS) indices are made up of the most liquid entities in the relevant CDS market.

The indices roll on a semi-annual basis, and the composition of each new series (a new index) is established based on a transparent set of rules designed to ensure that the current series tracks the most liquid instruments in the relevant market. iTraxx indices include entities from European bond issuers while CDX indices include entities from North American or emerging market bond issuers.

Markit Credit Default Swap index coverage – sorted by index family

Index Exposure Page

iTraxx 125

Markit iTraxx Europe Main Index Corporate – Investment Grade 125Markit iTraxx Europe Crossover Index Corporate – High Yield 126CDX 127

Markit CDX.NA.IG Index Corporate – Investment Grade 127Markit CDX.NA.HY Index Corporate – High Yield 128Markit CDX EM Index Emerging Markets 129

Markit Credit Default Swap index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see Markit iTraxx index website: markit.com/Documentation/Product/ITraxx and Markit CDX index website: markit.com/Documentation/Product/CDX

Rating methodologyiTraxx indices: Investment grade is defined as investment grade-rated issuers only, determined by the lowest rating from Moody’s, S&P and Fitch.

Relevant rating:

}y Lowest of an entity’s issuer rating, senior unsecured debt rating and corporate family rating for Moody’s

}y Lowest of an entity’s long-term issuer credit rating and senior unsecured debt rating for S&P, or

}y Lowest of an entity’s issuer default ratings and senior unsecured debt rating for Fitch

BBB–/ Baa3 rated issuers are excluded if they have a negative outlook or are on negative watch.

High yield is defined as sub-investment grade-rated issuers only, determined by the lowest rating from Moody’s, S&P and Fitch (as described above).

CDX indices: Investment grade is defined as investment grade-rated issuers only; high yield is defined as sub-investment grade-rated issuers only as determined by:

}y If the entity has been rated by all three rating agencies, with none having the same equivalent rating, the median rating is used

}y If the entity has been rated by all three rating agencies, with two of more of the ratings equivalent, the equivalent rating is used

}y If the entity has been rated by two of the three rating agencies, with none having the same equivalent rating, the lower rating is used

}y If the entity has been rated by two of the three rating agencies, with both ratings being equivalent, the equivalent rating is used

}y If the entity has been rated by one of the three rating agencies, such rating is used


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Markit iTraxx and Markit CDX

Credit Default Swaps }y The Markit 5:00pm London Composite price for iTraxx

}y 5:00pm New York Composite price for CDX

}y Mid prices used, however, transaction costs are included in the calculation to account for bid/ask spreads faced when rolling from one series to the next

Markit CDS Pricing Service 5:00pm London Composite price for iTraxx and 5:00pm New York Composite price for CDX

Funding methodologyiTraxx and CDX indices in this guide are total return indices and as such are fully funded. To create a fully funded version of a CDS series, the index is rebased at 100 at inception of each new iTraxx/CDX series and reflects the performance of a long position (selling protection) on the iTraxx/CDX series basket. The notional is assumed to be invested in money-market instruments and coupons reinvested.


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Markit iTraxx Europe Main IndexThe Markit iTraxx Europe Main Index is composed of a basket of 125 liquid European investment grade credit-rated entities that trade in the CDS market. Rules are revised semi-annually prior to the index roll.

Index inclusion criteriaSecurity types includedCredit default swaps (CDS)

Security types excludedAt the discretion of the index provider:

}y CDS on issuers for which a corporate or credit event has occurred or has been announced

}y CDS on issuers with a credit event resolution requested but not yet decided and announced (on or after the index roll date)

}y CDS on entities that are guaranteed or controlled by, or that guarantee or control, an ‘Affiliate’, that has a higher ranking on the liquidity list (see liquidity criteria below) and otherwise satisfies the relevant inclusion criteria

}y Financial entities classified under the sub-sector “Speciality Finance” or “Consumer Finance” under iTraxx sector classification

Credit ratingEntities must have an investment grade rating (Baa3/BBB- or higher) with a positive or stable outlook while not being on negative watch

Maturity}y Maximum remaining maturity per issuer of 30 years

}y Indices with a roll date of 20 September are issued with the 20 December maturity occurring three, five, seven and 10 years from the roll date

}y Indices with a roll date 20 March are issued with 20 June maturity occurring three, five, seven and 10 years from the roll date

Amount outstanding€100m per issuer

Liquidity criteria}y Entities must demonstrate trading activity greater than

zero during the last eight weeks preceding the last Friday of the month, prior to month of the index roll date

}y Those entities that meet the above criteria will be ranked from most-to-least liquid, based on the notional market risk activity as listed in the relevant DTCC Report1

RebalancingFrequencyRoll date: 20 September and 20 March each calendar year

Weighting methodology}y Equally weighted

}y Final Index comprises 125 companies and is constructed by selecting the highest ranking entities in each sector from the liquidity list, subject to the following restrictions:

(a) 30 Autos and Industrials

(b) 25 Consumers

(c) 20 Energy

(d) 20 Technology, Media and Telecommunications

(e) 30 Financials

from the iTraxx Europe liquidity list

Maximum weight125 single names with equal weighting (i.e. 0.8% per single name)

Additions/DeletionsPrior to the publication date for a new series of the Markit iTraxx Europe Main Index, the index provider will create the new Markit iTraxx Europe Main Index by creating the liquidity list and applying the inclusion/exclusion rules to create the New Markit iTraxx Europe Main Index.

Investment of cashThe index is a fully funded index and as such assumes for cash to be invested using EONIA rate.

Base currency EUR Bloomberg code ITRXEBE CBIL Curncy

1 DTCC 6 month Analysis Top 1,000 Single Names report.


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Markit iTraxx Europe Crossover IndexThe Markit iTraxx Europe Crossover Index is composed of up to 75 European entities which do not have an investment grade rating. Rules are revised semi-annually prior to the index roll.

Index inclusion criteriaSecurity types included}y Credit default swaps (CDS)

}y For an eligible entity to be considered for inclusion a bond issued by such entity needs to be identified with an average CDS spread at least one and a half (1.5) times the average spread of the constituents of the new Markit iTraxx Non-Financial Index

}y Maximum CDS upfront of 50 points corresponding to 500 bps running spread

}y Financial entities classified under the sub-sector “Speciality Finance” under iTraxx sector classification

Security types excludedAt discretion of the index provider:



}y CDS on entities that are guaranteed or controlled by, or guarantee or control, an ‘Affiliate’, that has a higher ranking on the liquidity list (see liquidity criteria below) and otherwise satisfies the relevant inclusion criteria

}y Financial entities (with the exception of entities classified under the “Speciality Finance” sub-sector under iTraxx sector classification)

Credit ratingEntities must be assigned a non-investment grade rating (BBB–/Baa3 with negative outlook/watch or below)

Maturity}y Maximum remaining maturity per issuer of 30 years

}y Roll date of 20 September shall be issued with the maturity date of 20 December occurring three, five, seven and 10 years from the roll date. Each index that has a roll date 20 March shall be issued with the maturity date of 20 June occurring three, five, seven and 10 years from roll date

Amount outstanding€100m per issuer





Weighting methodologyEqually weighted


Additions/DeletionsPrior to the publication date for a new series of the Markit iTraxx Europe Crossover Index, the index provider will create the new Markit iTraxx Europe Crossover Index by creating the liquidity list and applying the inclusion/exclusion rules to create the New Markit iTraxx Europe Crossover Index.

Investment of cashThe index is a fully funded index and as such assumes for cash to be invested using EONIA rate.

Base currency EUR Bloomberg code ITRXEXE CBIL Curncy



MKTG0218E-325893-1320096


Markit CDX.NA.IG IndexThe Markit CDX.NA.IG Index is composed of 125 liquid North American entities with investment grade credit ratings that trade in the CDS market.

Index inclusion criteriaSecurity types included}y CDS issuer must not be a swap dealer in products

referencing the IG Index, or be guaranteed or controlled by such a swap dealer

}y CDS issuer must not be guaranteed or controlled by, or guarantee or control, an ‘Affiliate’ that has a higher ranking on the liquidity list

}y The entity should have an average CDS spread over the preceding ninety (90) day period (from the date when the roll inclusion process is carried out) that is less than five times the average CDS spread of the current series of the IG index over the same preceding ninety (90) day period. This ‘average CDS spread’ will be calculated by reference to the markit end of day composite spread on transactions with a 5-year maturity.




}y CDS on entities that are guaranteed or controlled by, or guarantee or control, an ‘Affiliate’, that has a higher ranking on the liquidity list (see liquidity criteria below) and otherwise satisfies the relevant inclusion criteria

Credit ratingEntities must have an investment grade rating (Baa3/BBB- or higher)

Maturity}y Indices with a roll date of 20 September are issued with

the 20 December maturity occurring one, two, three, five, seven and 10 years from the roll date

}y Indices with a roll date 20 March are issued with 20 June maturity occurring one, two, three, five, seven and 10 years from the roll date

Amount outstandingUSD100m per issuer







Investment of cashThe index is a fully funded index and as such assumes for cash to be invested at the Fed Funds rate.

Base currency USD Bloomberg code IBOXUMAE CBBT Curncy



MKTG0218E-325893-1320096


Markit CDX.NA.HY IndexThe Markit CDX.NA.HY Index is composed of 100 liquid North American entities with high yield credit ratings that trade in the CDS market.

Index inclusion criteriaSecurity types included}y Credit default swaps (CDS)

}y CDS issuer must not be a swap dealer in products referencing the HY Index, or be guaranteed or controlled by such a swap dealer




}y CDS on entities that are guaranteed or controlled by, or guarantee or control, an ‘Affiliate’, that has a higher ranking on the liquidity list (see liquidity criteria below)and otherwise satisfies the relevant inclusion criteria

Credit ratingEntities must have a non-investment grade rating (Ba1/BB+ or lower)


the 20 December maturity occurring three, five, seven and 10 years from the roll date

}y Indices with a roll date 27 March are issued with 20 June maturity occurring three, five, seven and 10 years from the roll date

Amount outstandingUSD100m per issuer




}y Liquidity-based inclusion/exclusion criteria is applied to inclusions and exclusions at each roll to ensure no sector in the CDX index has +/3% excess sector weight compared to the Markit iBoxx $ Liquid High Yield Index and to ensure an equal number of inclusion and exclusions at each roll

RebalancingFrequencyRoll date: 27 September and 27 March of each calendar year


Maximum weight}y 100 single names with equal weighting

}y 1.00% per single name


Base currency USD Bloomberg code IBOXHYAE CBIN Curncy

1 DTCC 6 month Analysis Top 1,000 Single Names report


MKTG0218E-325893-1320096


Markit CDX EM IndexThe Markit CDX EM Index is composed of 15 emerging market government reference entities that trade in the CDS market.

Index inclusion criteriaSecurity types includedCredit default swaps (CDS) issued by countries classified as emerging markets under the latest Markit iBoxx Classifications1



the 20 December maturity occurring five and 10 years from the roll date

}y Indices with a roll date 20 March are issued with 20 June maturity occurring five and 10 years from the roll date

Amount outstandingCountries must have issued at least one bond with USD500m in sovereign or USD250m in sub-sovereign minimum amount outstanding

RebalancingFrequencyRoll date: 20 September and 20 March of each calendar year

Weighting methodologyConstituents selected on the basis of CDS volumes, as published by the two latest DTCC reports. Volumes used will be the sum of CDS volumes from both reports for each entity (i.e. 12 months of data) and the 15 entities with largest trailing 12-month volumes are selected

Maximum weight}y 15 single names weighted according to single name

trading volumes (see weighting methodology)

}y 15% cap and 3% floor per single name


Base currency USD Bloomberg code IBOXUME CBIN Curncy

1 Only those countries that have a country score of less than 60 under the latest Markit iBoxx Country Classifications will be eligible for the index. The country score is reviewed annually by Markit and is used to classify countries as developed or emerging markets. Countries where regulations restrict naked shorting of sovereign debt will be excluded. Furthermore, at least three countries per region must be identified to ensure sufficient diversity in the index. The regions are Asia, EEMEA (Eastern Europe, Middle East, Africa) and Latin America.

Source: BlackRock, Markit. Data as at end of June 2017.


MKTG0218E-325893-1320096

SIX Swiss Exchange index family



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SIX Swiss Exchange index familySIX Swiss Exchange index coverage – sorted by index family

Index Exposure Page

Overview: Swiss Bond Index Domestic Government Indices Government 132 Swiss Bond Index Domestic Government® 1-3 Government 132 Swiss Bond Index Domestic Government® 3-7 Government 132 Swiss Bond Index Domestic Government® 7-15 Government 132Swiss Bond Index® Corporate TR Corporate – Investment Grade 133Swiss Bond Index AAA-BBB Aggregate 133

SIX Swiss Exchange index methodologies are described in detail in the following section of this guide. Important common features – such as rating or pricing methodology – are covered in this introduction. For more information, please see SIX Swiss Exchange bond index website: six-swiss-exchange.com/indices/data_centre/bonds/sbi_en.html

Rating methodologyRatings of the international rating agencies, Moody’s, Fitch and Standard & Poor’s (S&P) are used as a means of assessing creditworthiness. Because the coverage of these agencies is incomplete with regard to the Swiss domestic segment, the ratings accorded by the rating agency Fedafin and Swiss banks are drawn upon as additional sources. The Swiss banks are Credit Suisse, UBS and Zürcher Kantonalbank, which place their ratings of domestic issuers and bonds at the disposal of SIX Swiss Exchange.

If a bond is rated by more than one international rating agency, the lowest rating is used for the purposes of the Swiss Bond Index (SBI) Domestic and its sub-indices. If no rating is available from an international rating agency, the ratings of the rating agency Fedafin and Swiss banks will be used. In order to be included in the SBI Domestic, the bond must have a rating of at least two of the four institutions, whereby the lowest of those ratings will be used for the purposes of the SBI and its sub-indices.

In the event that a given bond has no rating of its own, then the official rating of the issuer or the guarantor shall apply.


SIX Swiss Exchange

Government Binding mid quotes are used for index calculations. In the case of new issues of bonds the binding asked quote is used for inclusion in the index calculation SIX Swiss

Exchange

Real time from 8:30am onwards through the close of trading of SIX Swiss Exchange

Corporate Mid prices Real time from 9:30am onwards through the close of trading of SIX Swiss Exchange



MKTG0218E-325893-1320096


Overview: Swiss Bond Index Domestic Government IndicesThe Swiss Bond Index Domestic (SBI) Government indices give exposure to Swiss franc-denominated government bonds. There are several different maturity indices available.

Index inclusion criteriaSecurity types included}y Only Swiss government debt

}y Fixed-rate bonds with no additional clauses, except for premature redemption (callable bonds) or subordinated bonds and step-up bonds

Maturity}y Maturity criteria differs per individual index, but each

bond must have a minimum remaining time to maturity of at least one year

}y Bonds that are redeemable (callable) prior to maturity are eliminated from the index one year before their first call date, and are not re-included even if the issuer does not exercise its right for early redemption

Amount outstandingMinimum amount outstanding per bond of CHF100m



Reinvestment of cash flowsInterest payments earned by index bonds are reinvested intra-month in the index on the day of distribution.

Swiss Bond Index Domestic Government® 1-3Index methodology}y Part of the Swiss Bond Index Domestic Government




Base currency CHF Bloomberg code SBGM1T












MKTG0218E-325893-1320096


Swiss Bond Index Corporate TR Index The Swiss Bond Index (SBI) Corporate TR gives exposure to Swiss franc-denominated corporate bonds that are listed on SIX Swiss Exchange.

Index inclusion criteriaSecurity types included}y Only Swiss franc-denominated corporate debt

}y Fixed interest rate bonds with no additional clauses, except for premature redemption (callable bonds) or subordinated bonds and step-up bonds




Amount outstanding}y Minimum issue size of CHF100m

}y Minimum issue size of CHF400m for SBI special products (Foreign, Corporate, Domestic Swiss Pfandbriefe and Domestic Non-Government)




Base currency CHF Bloomberg code S71T

1 These ratings are SBI composite ratings and their range is equivalent to the range between Aaa/AAA and Baa3/BBB-.

Swiss Bond Index AAA-BBB The Swiss Bond Index (SBI) AAA-BBB gives exposure to Swiss franc-denominated bonds listed on the SIX Swiss Exchange that are rated between AAA and BBB1.

Index inclusion criteriaSecurity types included}y Only Swiss franc-denominated debt (both corporate and

government)

}y Fixed-rate bonds with no additional clauses, except for premature redemption bonds (callable bonds), subordinated bonds and step-up bonds


Maturity}y Minimum remaining time to maturity of one year


Amount outstanding}y Minimum issue size of CHF100m

}y Minimum issue size of CHF400m for SBI special products (Foreign, Corporate, Domestic Swiss Pfandbriefe and Domestic Non-Government)




Base currency CHF Bloomberg code SBR14T

Source: BlackRock, SIX. Data as at end of June 2017.


MKTG0218E-325893-1320096


Chapter 3Index comparisons and correlations


MKTG0218E-325893-1320096


Index comparisonsThe index comparison section of this guide is divided by asset class and provides side-by-side analytics for comparable indices. For example, euro investment grade corporate bond indices from various index providers are compared regarding key characteristics (yield, duration, performance) and the correlations between all indices that fall under one category are provided. For ease of use, the overview tables provide the page reference for each index, should one wish to look up the full index methodology in the first section of this guide. Further, we point out noteworthy differences in methodologies or the area of focus for comparing indices of this asset class.

Overview index comparisons Page

Broad market benchmarks 136 Euro aggregate 136 US aggregate 137Government bond benchmarks 138 Global government 138 Euro government 139 UK government 140 US government 141Inflation-linked government bond benchmarks 142 Euro inflation 142Corporate bond benchmarks – investment grade 143 Euro corporate 143 Euro corporate – short duration 144 UK corporate 145 UK corporate – short duration 146 US corporate 147 US corporate – short duration 148 US floating rate notes 149Corporate bond benchmarks – high yield 150 Global high yield 150 Euro high yield 151 US high yield 152 US high yield – short duration 153Emerging markets benchmarks 154 Emerging markets – hard currency 154 Emerging markets – local currency 157 Emerging markets – corporates 159

Index comparisons and correlations 3


MKTG0218E-325893-1320096


Broad market benchmarksBroad market benchmarks include government bonds, government-related bonds (agencies, local authorities and supranational institutions), corporate bonds and securitised bonds.

All broad market indices analysed in this guide exclude inflation-linked bonds. They exhibit very similar characteristics and relatively high correlations to one another as the tables below show.

Euro aggregate

Index name Bloomberg Barclays Euro Aggregate Bond

Index

Bloomberg Barclays Pan-European

Aggregate Bond Index

BofA Merrill Lynch EMU Broad Market Index

Citi Euro Broad Investment Grade Bond

Index (EuroBIG®)

Key features of the index methodology

}yExposure to euro-denominated

debt only

}yExposure to 10 European currencies

including: Swiss franc, Czech koruna, Danish

krone, euro, sterling, Hungarian forint,

Norwegian krone, Polish zloty, Russian rouble

and Swedish krona


debt only


debt only

Currency EUR EUR EUR EUR

Bloomberg code LBEATREU LP06TREU EMU0 SBEB

Number of constituents 4,388 6,011 4,719 3,685

Total market value of index bonds (billion) 10,268 15,172 10,402 9,657

1 year performance -2.01% -2.39% -1.96% -2.22%

2 year performance 5.06% 2.28% 5.10% 4.92%




Volatility over 3 years 3.59% 4.17% 3.57% 3.61%


Yield to maturity 0.64% 0.80% 0.65% 0.61%

Duration 6.60 7.20 6.58 6.68

Page reference 17 19 44 59

Source: Bloomberg, BAML and Citi. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker LBEATREU LP06TREU EMU0 SBEB

Bloomberg Barclays Euro Aggregate Bond Index LBEATREU 100.00% 91.37% 99.95% 99.91%

Bloomberg Barclays Pan-European Aggregate Bond Index LP06TREU 100.00% 91.22% 91.20%

BofA Merrill Lynch EMU Broad Market Index EMU0 100.00% 99.87%

Citi Euro Broad Investment Grade Bond Index (EuroBIG®) SBEB 100.00%

Source: Bloomberg, BAML and Citi. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


US aggregate

Index name Bloomberg Barclays US Aggregate Bond Index Bloomberg Barclays US Universal Index


}yExposure to US dollar-denominated investment grade debt across Treasuries, government-related

and corporate securities, MBS, ABD and CMBS

}yExposure to US dollar-denominated debt, index represents the union of the US Aggregate

Index, US Corporate High Yield Index, Investment Grade 144A Index, Eurodollar Index, US Emerging

Markets Index, and the non-ERISA eligible portion of the CMBS Index

Currency USD USD

Bloomberg code LBUSTRUU LC07TRUU

Number of constituents 9,355 14,882

Total market value of index bonds (billion) 19,665 23,684

1 year performance -0.31% 0.91%

2 year performance 5.67% 6.78%




Volatility over 3 years 2.91% 2.81%


Yield to maturity 2.47% 2.80%

Duration 5.74 5.55

Page reference 20 26

Source: Bloomberg. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index name Bloomberg ticker LBEATREU LP06TREU

Bloomberg Barclays US Aggregate Bond Index LBUSTRUU 100.00% 98.33%

Bloomberg Barclays US Universal Index LC07TRUU 100.00%

Source: Bloomberg. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


Government bond benchmarksThe main criteria that differentiate government bond benchmarks are the country selection, weighting rules and maturity bands, for example, whether an index includes all countries from a defined universe (for example, all developed countries) or only a specific number/list of countries (for example, Citi Group-of-Seven (G7) Government Bond Index) and whether a simple market capitalisation weighting methodology is used or caps are applied.

Most government bond benchmarks will have investment grade-only criteria or include bonds from only one country. However, this guide also covers some indices that select countries according to a specific rating (for example, FTSE MTS Lowest-Rated Government Index) or their yield (for example, Markit iBoxx € Sovereigns Eurozone Yield Plus Index).

The most important differences in index methodologies per asset category are shown in the comparison tables.

GlobalIndex name Bloomberg Barclays

Global Government AAA-AA Capped

Bond Index

BofA Merrill Lynch Developed Markets

Sovereign Bond Index

Citi World Government Bond

Index (WGBI)

Citi Group-of-Seven (G7) Government

Bond Index

J.P. Morgan GBI Global


}yExposure to fixed-rate local currency

government debt of countries that are

rated AA3 or above

}y20% cap for AAA rated countries

}y10% cap for AA rated countries

}yExposure to government bonds from a defined set

of 27 countries including: Australia,

Canada, Japan, New Zealand,

Norway, Sweden, Switzerland, the UK,

the US (including US territories), all

euro members and western European

countries (including territories of

western European countries)

}yExposure to government bonds

denominated in one of the following

currencies: Australian dollar, Canadian dollar,

Danish krone, euro, Japanese yen, Malaysian

ringgit, Mexican peso, Norwegian

krone, Polish zloty, Singapore dollar,

South African rand, Swedish krona,

Swiss franc, sterling and US dollar

}yExposure to government bonds from a defined set of seven countries

}yCanada, France, Germany, Italy,

Japan, the United Kingdom and the

United States

}yExposure to government bonds

from 13 international developed markets: Australia, Belgium, Canada, Denmark,

France, Germany, Italy, Japan,

Netherlands, Spain, Sweden, the UK and

the US

Currency USD USD USD USD USDBloomberg code BGGATRUU WSAV SBWGU SBG7U JPMGGLBLNumber of constituents 621 1,055 1,018 733 865 Total market value of index bonds (billion) 14,162 23,296 20,706 17,382 21,837 1 year performance -1.77% -4.88% -4.14% -5.05% -4.41%2 year performance 4.16% 6.80% 6.65% 6.60% 6.60%3 year performance -6.40% -1.75% -2.97% -1.92% -1.35%4 year performance 1.17% 4.74% 3.68% 3.64% 5.06%5 year performance -0.16% -0.22% -0.99% -2.73% -0.15%Volatility over 3 years 5.96% 5.91% 5.92% 5.76% 5.60%Volatility over 5 years 5.62% 5.32% 5.33% 5.21% 5.10%Yield to maturity 0.93% 1.05% 1.16% 1.11% 1.16%Duration 7.66 7.77 7.69 7.81 7.83Page reference 24 46 56 58 80

Source: Bloomberg, BAML, Citi and J.P. Morgan. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker BGGATRUU WSAV SBWGU SBG7U JPMGGLBLBloomberg Barclays Global Government AAA-AA Capped Bond Index BGGATRUU 100.00% 87.87% 91.29% 85.10% 88.67%BofA Merrill Lynch Developed Markets Sovereign Bond Index WSAV 100.00% 99.47% 99.54% 99.81%Citi World Government Bond Index (WGBI) SBWGU 100.00% 98.68% 99.38%Citi Group-of-Seven (G7) Government Bond Index SBG7U 100.00% 99.46%J.P. Morgan GBI Global JPMGGLBL 100.00%

Source: Bloomberg, BAML, Citi and J.P. Morgan. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


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MKTG0218E-325893-1320096


UKThe Gilt indices compared are very similar in nature and thus exhibit a very high correlation.

Index name Bloomberg Barclays Sterling Gilt Index

Bloomberg Barclays Sterling Gilt Float

Adjusted Index

FTSE Actuaries Government Securities UK Gilts All

Stocks Index

Key features of the index methodology }yExposure to nominal UK government bonds

(gilts) only

}yExposure to nominal UK government bonds

(gilts) only

}yFloat-adjusted by adjusting the par amount

outstanding for Bank of England holdings of sterling-denominated

government debt

}yExposure to nominal UK government bonds

(gilts) only

}yRebalanced daily

Currency GBP GBP GBP

Bloomberg code LSG1TRGU BGGFTRGU FTFIBGT

Number of constituents 41 41 44

Total market value of index bonds (billion) 1,357 910 1,438

1 year performance -1.00% -1.01% -0.86%

2 year performance 13.05% 13.39% 12.52%




Volatility over 3 years 7.99% 8.22% 7.53%


Yield to maturity 1.21% 1.23% 1.16%

Duration 11.48 12.04 10.85

Page reference 19 19 68

Source: Bloomberg and FTSE. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker LSG1TRGU BGGFTRGU FTFIBGT

Bloomberg Barclays Sterling Gilt Index LSG1TRGU 100.00% 99.98% 99.96%

Bloomberg Barclays Sterling Gilt Float Adjusted Index BGGFTRGU 100.00% 99.93%

FTSE Actuaries Government Securities UK Gilts All Stocks Index FTFIBGT 100.00%

Source: Bloomberg and FTSE. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


USThe US Treasury indices compared are very similar in nature and thus exhibit a very high correlation.

Index name Bloomberg Barclays US Aggregate Treasury Bond

Index

Bloomberg Barclays US Aggregate Treasury Float

Adjusted Bond Index

J.P. Morgan GBI US Government Bond

Key features of the index methodology }yExposure to government bonds issued by the US

Treasury only

}yUS Treasuries held in the Federal Reserve SOMA account are deducted from the total amount

outstanding. New issuance bought at auction by the

Federal Reserve does not enter the index

}yExposure to government bonds issued by the US

Treasury only




}yExposure to government bonds issued by the US

Treasury only




Currency USD USD USD

Bloomberg code LUATTRUU BUTFTRUU JPMTUS


Total market value of index bonds (billion) 7,245 7,245 8,938

1 year performance -2.32% -2.32% -2.49%








Duration 6.09 6.09 6.35


Source: Bloomberg and J.P. Morgan. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker LUATTRUU BUTFTRUU JPMTUS

Bloomberg Barclays US Aggregate Treasury Bond Index LUATTRUU 100.00% 100.00% 99.85%

Bloomberg Barclays US Aggregate Treasury Float Adjusted Bond Index BUTFTRUU 100.00% 99.85%

J.P. Morgan GBI US Government Bond JPMTUS 100.00%

Source: Bloomberg and J.P. Morgan. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


Inflation-linked government bond benchmarksThe eurozone inflation-linked bond benchmarks analysed in this guide all have an investment grade criterion.

Please note that the yield figures shown in this guide are nominal yields as opposed to real yields.

Euro Index name Bloomberg Barclays Euro Government

Inflation-Linked Bond IndexFTSE MTS Investment Grade Inflation-

Linked Bond Index (Mid priced)

Key features of the index methodology }yExposure to issues from an EMU member governments linked to a

domestic measure of inflation or the harmonised EMU HCIP index with a

sovereign rating of investment grade

}yExposure to investment grade rated eurozone inflation-linked bonds issued

by eurozone sovereign governments. The index is mid-priced

Currency EUR EUR

Bloomberg code BEIG1T FMMPIIG5

Number of constituents 37 37

Total market value of index bonds (billion) 493 915

1 year performance -1.10% -0.99%


3 year performance 3.86% n.a.*



Volatility over 3 years 4.56% n.a.*



Duration 7.94 7.85


Source: Bloomberg and FTSE. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy. *Date of inception: 23/10/2014. Since inception performance: 5.73%.

Index name Bloomberg ticker BEIG1T FMMPIIG5

Bloomberg Barclays Euro Government Inflation-Linked Bond Index BEIG1T 100.00% 99.92%

FTSE MTS Investment Grade Inflation-Linked Bond Index (Mid priced) FMMPIIG5 100.00%

Source: Bloomberg and FTSE. Data as at end of June 2017. Correlations calculated based on monthly returns over 2 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


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MKTG0218E-325893-1320096


Euro short durationThe euro-denominated short maturity corporate bond indices analysed in this guide all impose a maximum time to maturity restriction. It is important to note that some of these indices can include longer-dated, callable bonds with call dates within the maximum maturity time frame.

This is a common approach and used for other exposures. It results in the modified duration being longer than the maximum maturity and means it does not necessarily fairly represent the duration of the indices.

Index name Bloomberg Barclays Euro

Aggregate Corporate 0-3

Years Bond Index

Bloomberg Barclays Euro

Aggregate Corporate 1-5

Years Bond Index

Bloomberg Barclays Euro

Aggregate Corporate

ex-Financials 1-5 Years Bond

Index

BofA Merrill Lynch Euro

Corporate 1-5 Years Index

Markit iBoxx EUR FRN

Investment Grade 1-3 Index

Markit iBoxx EUR Liquid Investment

Grade Ultrashort Index


}y Exposure to euro-

denominated investment

grade corporate debt only

}y Remaining time to maturity of up to (but not

including) 3 years




}y Remaining time to maturity

between 1 and 5 years



grade corporate debt excluding

bonds classified by Bloomberg

Barclays as ‘Financials’ only










grade senior floating rate

securities only



}y 5% issuer cap



grade corporate debt

}y Fixed rate bonds with remaining

time to maturity less than 1 year

}y Floating rate securities with remaining time

to maturity less than 3 years

}y 3% issuer cap

}y Currently† the index holds 48% fixed rate bonds,

52% floating rate securities

Minimum amount outstanding

€300m per bond €300m per bond €300m per bond €250m per bond €750m per bond €500m per bond

Currency EUR EUR EUR EUR EUR EURBloomberg code BRC3TREU LEC4TREU LECXTREU ER0V IBXXFRNT IBXXUSE1 Number of constituents 623 982 580 1,215 61 350 Total market value of index bonds (billion) 521 837 453 970 67 319 1 year performance 0.54% 1.19% 0.69% 1.18% 0.52% 0.11%2 year performance 1.67% 3.63% 3.23% 3.61% 0.59% 0.26%3 year performance 2.62% 5.05% 4.58% 4.92% 1.09% 0.64%4 year performance 4.95% 9.84% 8.74% 9.70% n.a.* n.a.**5 year performance 8.97% 16.38% 13.75% 15.98% n.a.* n.a.**Volatility over 3 years 0.43% 1.08% 1.24% 1.03% 0.31% 0.14%Volatility over 5 years 0.66% 1.49% 1.53% 1.43% n.a.* n.a.**Yield to maturity 0.13% 0.53% 0.50% 0.55% -0.02% -0.08%Duration 1.45 3.07 3.13 3.04 1.98 0.36Page reference 18 18 19 47 108 113

Source: Bloomberg, BAML and Markit. Data as at end of June 2017. †As at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy. *Date of inception: 31/07/2013. Since inception performance: 2.03%. **Date of inception: 31/07/2013. Since inception performance: 1.25%.

Index nameBloomberg

ticker BRC3TREU LEC4TREU LECXTREU ER0V IBXXFRNT IBXXUSE1Bloomberg Barclays Euro Aggregate Corporate 0-3 Years Bond Index BRC3TREU 100.00% 96.19% 93.54% 95.39% 47.43% 62.80%Bloomberg Barclays Euro Aggregate Corporate 1-5 Years Bond Index LEC4TREU 100.00% 96.08% 99.37% 37.56% 48.99%Bloomberg Barclays Euro Aggregate Corporate ex Financials 1-5 Years Bond Index LECXTREU 100.00% 95.47% 32.26% 44.23%BofA Merrill Lynch Euro Corporate 1-5 Years Index ER0V 100.00% 37.51% 49.04%Markit iBoxx EUR FRN Investment Grade 1-3 Index IBXXFRNT 100.00% 85.92%Markit iBoxx EUR Liquid Investment Grade Ultrashort Index IBXXUSE1 100.00%

Source: Bloomberg, BAML and Markit. Data as at end of June 2017. Correlations calculated based on monthly returns over 3 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


UKThe corporate bond indices compared in the following table include sterling-denominated, investment grade-rated corporate bonds and some of the indices also include securitised bonds. Differences exist in minimum amounts outstanding, issuer caps and number of issuers, as highlighted below.

Index name Bloomberg Barclays Sterling

Aggregate Corporate Bond

Index

BofA Merrill Lynch Sterling

Corporate & Collaterized

Index

BofA Merrill Lynch Sterling

Corporate Index

Markit iBoxx Sterling Non-

Gilt Index

Markit iBoxx GBP Corporates

Index

Markit iBoxx GBP Liquid Corporates

Large Cap Index


}yExposure to sterling-

denominated, investment grade

corporate debt only


denominated, investment

grade corporate, securitised and

collateralised debt only



corporate debt only



grade corporate, securitised and

collateralised debt only



corporate debt




}y4% issuer cap

}yOnly bonds from large

issuers eligible


£200m per bond £100m per bond £100m per bond £100m per bond £250m per bond £300m per bond. £750m

per issuer

Currency GBP GBP GBP GBP GBP GBP

Bloomberg code LC61TRGU UC00 UR00 IXBW N/A 29 IBXXGLAT

Number of constituents 710 923 734 1,028 694 337

Total market value of index bonds (billion) 366 455 367 565 362 231

1 year performance 0.75% 6.66% 7.12% 5.26% 6.84% 6.60%





Volatility over 3 years 7.31% 6.79% 6.98% 6.23% 6.84% 8.01%

Volatility over 5 years 6.49% 6.48% 6.58% 5.93% 6.52% 7.54%

Yield to maturity 2.48% 2.46% 2.51% 2.21% 2.78% 2.44%

Duration 8.48 8.48 8.55 8.13 8.23 9.07

Page reference 19 48 49 98 111 112

Source: Bloomberg, BAML and Markit. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker LC61TRGU UC00 UR00 IXBW N/A 29 IBXXGLAT

Bloomberg Barclays Sterling Aggregate Corporate Bond Index LC61TRGU 100.00% 89.26% 87.20% 92.49% 86.87% 88.06%

BofA Merrill Lynch Sterling Corporate & Collaterised UC00 100.00% 99.82% 99.56% 99.66% 99.51%

BofA Merrill Lynch Sterling Corporate Index UR00 100.00% 98.99% 99.85% 99.63%

Markit iBoxx Sterling Non-Gilt Index IXBW 100.00% 98.99% 99.00%

Markit iBoxx GBP Corporates Index N/A 29 100.00% 99.78%

Markit iBoxx GBP Liquid Corporates Large Cap Index IBXXGLAT 100.00%



MKTG0218E-325893-1320096


UK short durationThe sterling-denominated short maturity corporate bond indices analysed in this guide all impose a maximum time to maturity restriction. It is important to note that some of these indices can include longer-dated, callable bonds with call dates within the maximum maturity time frame.


Index name Bloomberg Barclays Sterling Aggregate Corporate 1-5

Years Bond Index

Markit iBoxx GBP Corporates 0-5 Index

Markit iBoxx GBP Liquid Investment Grade Ultrashort Index


}yExposure to sterling-denominated investment


}yRemaining time to maturity between 1 and 5 years

}y Index does include longer dated, callable bonds with

call dates within the 5-year time frame

}yExposure to sterling-denominated investment


}yMaximum remaining time to maturity of 5 years

}y Index does include longer dated, callable bonds with call

dates within the 5-year time frame

}yExposure to sterling-denominated investment grade corporate, quasi-

government and covered bonds:

}yFixed rate bonds with remaining time to maturity less than 1 year

}yFloating rate securities with remaining time to maturity less than 3 years.

}y4% issuer cap

}yCurrently† the index holds 52% fixed rate bonds, 48% floating rate securities


£200m per bond £250m per bond £250m per bond

Currency GBP GBP GBP

Bloomberg code LF68MAT IYD5 IBXXUSG1


Total market value of index bonds (billion) 94 99 61




4 year performance 16.46% 16.73% n.a.*

5 year performance 25.27% 26.18% n.a.*


Volatility over 5 years 2.00% 2.01% n.a.*


Duration 2.95 2.93 0.29


Source: Bloomberg and Markit. Data as at end of June 2017. †As at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy. *Date of inception: 31/07/2013. Since inception performance: 3.10%

Index nameBloomberg

ticker LF68MAT IYD5 IBXXUSG1

Bloomberg Barclays Sterling Aggregate Corporate 1-5 Years Bond Index LF68MAT 100.00% 99.76% 50.67%

Markit iBoxx GBP Corporates 0-5 Index IYD5 100.00% 50.63%

Markit iBoxx GBP Liquid Investment Grade Ultrashort Index IBXXUSG1 100.00%

Source: Bloomberg and Markit. Data as at end of June 2017. Correlations calculated based on monthly returns over 3 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


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MKTG0218E-325893-1320096


US short durationThe US dollar-denominated short maturity corporate bond indices analysed in this guide all impose a maximum time to maturity restriction. It is important to note that some of these indices can include longer-dated, callable bonds with call dates within the maximum maturity time frame.


Index name Bloomberg Barclays US Aggregate Corporate 1-5

Years Bond Index

Bloomberg Barclays US 1-3 Years Credit Bond

Index

Markit iBoxx USD Liquid Investment Grade 0-5

Index

Markit iBoxx USD Liquid Investment Grade

Ultrashort IndexKey features of the index methodology

}yExposure to US dollar-denominated investment


}yRemaining time to maturity between

1 and 5 years


grade debt issued by corporates, foreign

agencies, governments, supranationals and local

authorities only

}yRemaining time to maturity between

1 and 3 years



}yRemaining time to maturity of less than

5 years but greater than 6 months

}yMinimum original term to maturity of 1 year

Exposure to US dollar-denominated investment

grade corporate debt:

}yFixed rate bonds with remaining time to

maturity less than 1 year

}yFloating rate securities with remaining time to

maturity less than 3 years.

}y3% issuer cap

}y Includes Rule 144A offerings and excludes

RegulationS bonds

}yCurrently† the index holds 73% fixed rate bonds, 27% floating

rate securitiesMinimum amount outstanding

USD300m per bond USD250m per bond }yUSD500m per bond

}yUSD1bn per issuer

USD500m per bond

Currency USD USD USD USD

Bloomberg code BUC1TRUU LD01TRUU IBXXSIG1 IBXXUSU1

Number of constituents 2,021 1,202 1,831 680

Total market value of index bonds (billion) 1,862 1,240 2,027 614




4 year performance 10.42% 6.64% 8.73% n.a.*

5 year performance 13.23% 8.82% 10.89% n.a.*


Volatility over 5 years 1.55% 0.80% 1.31% n.a.*

Yield to maturity 2.27% 1.93% 2.14% 1.66%

Duration 2.76 1.95 2.39 0.44


Source: Bloomberg and Markit. Data as at end of June 2017. †As at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy. *Date of inception: 31/07/2013. Since inception performance: 3.36%

Index nameBloomberg

ticker BUC1TRUU LD01TRUU IBXXSIG1 IBXXUSU1

Bloomberg Barclays US Aggregate Corporate 1-5 Years Bond Index BUC1TRUU 100.00% 97.75% 99.14% 53.92%

Bloomberg Barclays US 1-3 Years Credit Bond Index LD01TRUU 100.00% 96.96% 57.04%

Markit iBoxx USD Liquid Investment Grade 0-5 Index IBXXSIG1 100.00% 54.13%

Markit iBoxx USD Liquid Investment Grade Ultrashort Index IBXXUSU1 100.00%



MKTG0218E-325893-1320096


US floating rate notes

Index name Bloomberg Barclays US FRN < 5 Years Index Markit iBoxx USD Liquid FRN Investment Grade Corporates 100


}yExposure to US dollar-denominated investment grade senior floating rate securities from corporate

and quasi-government issuers only

}yRemaining time to maturity less than 5 years

}y5% issuer cap

}yExposure to US dollar-denominated investment grade floating rate securities from corporate and

quasi-government issuers only

}yUses a ranking procedure to select between 40 and 100 of the most liquid bonds based

on specific criteria

}y5% issuer cap


USD300m per bond USD500m per bond

Currency USD USD

Bloomberg code BFU5TRUU IBXXFRN5











Duration 0.13 3.30


Source: Bloomberg and Markit. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy. *Date of inception: 31/07/2013. Since inception performance: 1.16%

Index name Bloomberg ticker BFU5TRUU IBXXFRN5

Bloomberg Barclays US FRN < 5 Years Index BFU5TRUU 100.00% 77.15%

Markit iBoxx USD Liquid FRN Investment Grade Corporates 100 IBXXFRN5 100.00%



MKTG0218E-325893-1320096


Corporate bond benchmarks – high yieldThe high yield benchmarks commonly used by investors and active fund managers are very broadly diversified. These broad indices can include bonds which are fairly illiquid, which is why ETFs tend to track other, more ‘liquid’ benchmarks.

These liquid ETF benchmarks are characterised by moving away from the broad, purely market capitalisation-weighted benchmarks and introducing additional criteria, such as higher minimum amount outstanding per bond, higher rating requirements, capping on an issuer and country level, etc. The resulting indices represent the liquid, more frequently traded part of the universe which might be more useful for an ETF that offers intraday liquidity. The liquid high yield indices tend to include fewer bonds and have a slightly lower yield to maturity than the broader market indices, as can be seen in the tables below.

The most important differences in index methodology per asset category are shown in the comparison tables.

Please note the capping of 144A and RegS bonds in certain high yield indices. These caps are requirements for UCITS ETFs.

An ETF could not be launched in a UCITS compliant format on the broad indices that lack these caps. US rules differ from UCITS rules; as a result, UCITS ETFs are based on different indices than equivalent US ETFs from the same ETF provider.

GlobalIndex name Bloomberg Barclays Global High

Yield Bond Index BofA Merrill Lynch Global High

Yield Index Markit iBoxx Global Developed

Markets High Yield Capped IndexKey features of the index methodology

}yExposure to global high yield corporate bonds including

US high yield, pan-European high yield, US emerging markets high

yield and pan-European emerging markets high yield universe

}yExposure to global high yield corporate bonds including bonds

issued in Canadian dollar, euro, sterling and US dollar

}yBonds must be publicly issued in the major domestic or Eurobond

markets

}yExposure to global high yield corporate bonds issued in global

developed markets}y3% issuer cap

}y10% cap on certain* 144A bonds


Per bond differs per region and currency:

}yPan-European: €100m/CHF100m/£50m/

DKK 500m/NOK 500m/SEK 1bn }yUS: USD150m

}yEmerging markets: €500m/£500m/USD500m

Per bond differs per currency: }y£100m/USD250m/€250m/

CAD100m

Per bond differs per currency: }y€250m/£250m/USD400m/

CAD 100m}yFor US dollar-denominated

securities: USD1bn per issuer

Currency USD USD USDBloomberg code LG30TRUU HW00 IBXXGH11 Number of constituents 3,409 3,138 1,440 Total market value of index bonds (billion) 2,543 2,132 884 1 year performance 11.89% 12.41% 13.04%2 year performance 16.10% 14.89% 12.98%3 year performance 11.60% 10.36% 5.80%4 year performance 27.14% 25.43% 19.18%5 year performance 41.11% 39.53% 30.79%Volatility over 3 years 6.24% 6.43% 6.61%Volatility over 5 years 5.83% 5.87% 6.15%Yield to maturity 5.73% 5.79% 4.75%Duration 4.84 4.58 4.40Page reference 27 50 116

Source: Bloomberg, BAML and Markit. Data as at end of June 2017. *10% cap on 144A/RegS bonds if: (1) bond has no registration rights; (2) bond has registration period longer than 365 days; (3) Information regarding length of registration period of bond is not available; (4) bond has registration period equal or less than 365 days but failed to register within 320 days; OR (5) RegS version of euro-denominated bond is not listed on a ‘Recognised Investment Exchange’. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker LG30TRUU HW00 IBXXGH11

Bloomberg Barclays Global High Yield Bond Index LG30TRUU 100.00% 99.52% 96.54%BofA Merrill Lynch Global High Yield Index HW00 100.00% 96.64%Markit iBoxx Global Developed Markets High Yield Capped Index IBXXGH11 100.00%



MKTG0218E-325893-1320096


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US short duration

Index name BofA Merrill Lynch 0-5 Years US High Yield Constrained Index

Markit iBoxx USD Liquid High Yield 0-5 Capped Index


}yExposure to US dollar-denominated high yield corporate debt

}yExcludes emerging market bonds

}yBonds must be publicly issued in the US domestic market

}yRemaining time to maturity of less than 5 years

}yExposure to US dollar-denominated high yield, liquid, corporate debt only

}yExcludes emerging market bonds

}yBond must be publicly issued in the US domestic market

}yRemaining time to maturity of less than 5 years

}y3% issuer cap

}y10% cap on certain* 144A securities

}yOriginal time to maturity between 1 and 15 years

}yBonds with a price of less than USD60 as at the last trading day of the month are excluded from the

index at the rebalancing date


USD250m per bond }yUSD350m per bond

}yUSD1bn per issuer

Currency USD USD

Bloomberg code HUCD IBXXSHC1











Duration 2.89 2.86


Source: BAML and Markit. Data as at end of June 2017. *10% cap on 144A/RegS bonds if: (1) bond has no registration rights; (2) bond has registration period longer than 365 days; (3) Information regarding length of registration period of bond is not available; (4) bond has registration period equal or less than 365 days but failed to register within 320 days; OR (5) RegS version of euro-denominated bond is not listed on a ‘Recognised Investment Exchange’. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index name Bloomberg ticker HUCD IBXXSHC1

BofA Merrill Lynch 0-5 Years US High Yield Constrained Index HUCD 100.00% 96.44%

Markit iBoxx USD Liquid High Yield 0-5 Capped Index IBXXSHC1 100.00%

Source: BAML and Markit. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


Emerging market benchmarksEmerging market (EM) bond ETFs often track reduced, ‘core’ versions of the standard broad indices, which is also the case for high yield corporate bond ETFs. These core indices more accurately represent the liquid, accessible (to foreign investors) components of the broad indices, against which the accuracy of fund tracking can more readily be measured. In contrast, while broad indices may provide useful benchmarks against which to measure active management, they can to an extent be rather theoretical in that it is not always possible to trade all their constituents. In the EM bond markets, the most common benchmarks for client portfolios are J.P. Morgan global diversified benchmarks whereas ETFs most often track ‘core’ or ‘liquid’ indices from J.P. Morgan or Bloomberg Barclays.

Core or liquid indices typically include fewer countries and bonds than the broad or diversified indices. They are often subsets of the broad indices with additional criteria (shown in the comparison tables) that result in a smaller universe of bonds and countries. This can be seen when comparing the number of constituents of the various indices.

Government bondsHard currency emerging marketsUS dollar

Country breakdown J.P. Morgan EMBI Global J.P. Morgan EMBI Global Diversified

J.P. Morgan EMBI Global Core

Markit CDX EM Index

Angola 0.25% 0.42% 0.38%

Argentina 4.40% 3.26% 3.75% 3.00%

Armenia 0.13% 0.21%

Azerbaijan 0.61% 1.02% 1.06%

Belize 0.04% 0.07%

Bolivia 0.24% 0.41% 0.24%

Brazil 4.92% 3.50% 3.72% 15.00%

Cameroon 0.10% 0.17%

Chile 2.19% 2.81% 1.69% 3.00%

China 8.16% 4.23% 3.87% 10.00%

Colombia 2.86% 3.07% 3.47% 4.00%

Costa Rica 0.83% 1.39% 0.74%

Cote D'Ivoire 0.39% 0.65% 0.68%

Croatia 1.05% 1.75% 2.01%

Dominican Republic 1.37% 2.30% 2.68%

Ecuador 1.09% 1.83% 2.25%

Egypt 1.23% 2.06% 2.41%

El Salvador 0.68% 1.14% 0.22%

Ethiopia 0.11% 0.19% 0.24%

Gabon 0.23% 0.38% 0.35%

Georgia 0.13% 0.22%

Ghana 0.34% 0.57% 0.50%

Guatemala 0.31% 0.53%

Honduras 0.22% 0.37%

Hungary 1.92% 2.94% 3.38%

India 0.50% 0.84% 0.24%

Indonesia 8.05% 4.39% 4.96% 4.00%

Iraq 0.29% 0.48% 0.59%

Jamaica 0.56% 0.93% 0.73%


MKTG0218E-325893-1320096


Country breakdown J.P. Morgan EMBI Global J.P. Morgan EMBI Global Diversified

J.P. Morgan EMBI Global Core

Markit CDX EM Index

Jordan 0.24% 0.40% 0.49%

Kazakhstan 1.98% 2.74% 3.12%

Kenya 0.33% 0.55% 0.49%

Latvia 0.08% 0.14%

Lebanon 2.27% 2.73% 2.88%

Lithuania 0.65% 1.09% 1.34%

Malaysia 2.05% 2.75% 3.04% 3.00%

Mexico 11.92% 5.26% 6.05% 13.00%

Mongolia 0.32% 0.53% 0.22%

Morocco 0.28% 0.47% 0.38%

Mozambique 0.06% 0.10%

Namibia 0.15% 0.26%

Nigeria 0.32% 0.53% 0.40%

Oman 1.46% 2.44% 2.88%

Pakistan 0.57% 0.96% 0.78%

Panama 1.68% 2.82% 2.16% 3.00%

Paraguay 0.36% 0.61% 0.27%

Peru 1.64% 2.76% 2.82% 3.00%

Philippines 3.70% 3.56% 4.06% 3.00%

Poland 1.71% 2.73% 2.77%

Romania 0.78% 1.30% 1.60%

Russia 5.44% 3.82% 4.38% 9.00%

Senegal 0.26% 0.43% 0.27%

Serbia 0.58% 0.97% 0.94%

Slovakia 0.19% 0.32% 0.39%

South Africa 2.32% 2.77% 3.11% 9.00%

Sri Lanka 1.27% 2.14% 1.77%

Suriname 0.07% 0.11%

Trinidad and Tobago 0.35% 0.60% 0.24%

Tunisia 0.11% 0.19% 0.23%

Turkey 6.58% 3.96% 4.53% 15.00%

Ukraine 1.85% 2.64% 2.97%

Uruguay 1.39% 2.33% 2.25%

Venezuela 3.26% 1.88% 2.18% 3.00%

Vietnam 0.22% 0.37% 0.25%

Zambia 0.36% 0.61% 0.58%

Totals 100.00% 100.00% 100.00% 100.00%



MKTG0218E-325893-1320096


Index name J.P. Morgan EMBI Global

J.P. Morgan EMBI Global Diversified

J.P. Morgan EMBI Global Core Markit CDX EM Index


}yExposure to US-dollar denominated emerging

market government debt only

}y Includes quasi-government bonds

(defined as a corporation with 100% government ownership

or guarantee



}y Includes quasi-government bonds (defined as a

corporation with 100% government ownership

or guarantee)

}y10% country cap



}y Includes quasi-government bonds (defined as a

corporation with 100% government ownership

or guarantee)

}y10% country cap

}yMinimum remaining time to maturity of 2 years

}yEqually weighted basket of liquid

emerging market sovereign entities +

cash funding

}yPerformance based on Markit CDX.EM

5-Year Total Return Index funded with a

5-year interest rate swap


USD500m per bond }yUses diversification methodology* to

more evenly distribute country weights

}yUses diversification methodology* to


}yUSD1bn per issuer

USD100m per issuer

Currency USD USD USD USD

Bloomberg code JPEGCOMP JPGCCOMP JPEICORE IBOXUME CBIN

Number of constituents 608 608 368 15

Total market value of index bonds (billion) 863 514 419 n.a.



3 year performance 14.59% 17.01% 16.49% -1.19%





Yield to maturity 5.27% 5.08% 5.20% n.a.

Duration 6.76 6.59 6.99 n.a.


Source: J.P. Morgan and Markit. Data as at end of June 2017. * The index follows a diversification methodology anchored on the average size (debt stock) of countries in the index. To

calculate the diversified face amount for each country, calculate the index country average (ICA). The ICA is the sum of each countries face amount divided by the number of countries in the index. Based on the ICA, the diversified face amount for any country in the index is derived according to the following rules:

(a) The country with the largest face amount is capped at double the ICA. This is the maximum threshold and determines the diversified face amounts of other countries in the index.

(b) If the country’s debt stock is below the ICA, the entire amount will be eligible for inclusion. (c) If the country’s debt stock falls between the ICA and the maximum threshold (double the ICA) it will be linearly interpolated.The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker JPEGCOMP JPGCCOMP JPEICORE IBOXUME CBIN

J.P. Morgan EMBI Global JPEGCOMP 100.00% 99.37% 99.37% 83.21%

J.P. Morgan EMBI Global Diversified JPGCCOMP 100.00% 99.84% 80.84%

J.P. Morgan EMBI Global Core JPEICORE 100.00% 81.31%

Markit CDX EM Index IBOXUME CBIN 100.00%

Source: J.P. Morgan and Markit. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


Local currency emerging marketsLocal currency emerging market bond indices can differ in their definition of ‘emerging markets’ and rules on which countries to include and exclude. The country selection explains the majority of differences in index key figures and performance numbers. The countries per index are shown in the following table.

Index name Bloomberg Barclays

Emerging Markets

Local Currency

Government Bond Index

Bloomberg Barclays

Emerging Markets

Local Currency

Core Gross Government

Bond Index

Bloomberg Barclays

Emerging Markets

Local Currency Core Net

Government Bond Index

Bloomberg Barclays

Emerging Markets

Local Currency

Liquid Government

Index

J.P. Morgan GBI-EM

Global

J.P. Morgan GBI-EM

Global Diversified

J.P. Morgan GBI-EM

Global Diversified

10% Cap 1% Floor Index

J.P. Morgan GBI-EM

Global Diversified

15% Cap 4.5% Floor

Index

Argentina 1.21% 1.21% 1.92% 4.50%

Brazil 13.43% 10.00% 10.00% 10.00% 10.17% 10.00% 10.00% 15.00%

Chile 0.23% 0.08% 0.08% 0.10% 1.87% 1.88% 2.41% 4.50%

Colombia 3.17% 7.20% 7.20% 4.49% 7.27% 7.28% 6.38% 4.50%

Czech Republic 2.34% 3.32% 3.41% 3.41% 3.54% 4.50%

Hungary 1.90% 4.18% 4.18% 2.51% 4.50% 4.51% 4.34% 4.50%

Indonesia 6.46% 10.00% 10.00% 8.57% 9.77% 9.81% 10.00% 7.01%

Israel 3.13% 4.51%

Malaysia 6.43% 10.00% 10.00% 8.52% 6.57% 6.58% 5.87% 4.50%

Mexico 7.33% 10.00% 10.00% 10.00% 9.99% 10.00% 10.00% 10.95%

Peru 1.15% 2.53% 2.53% 1.60% 2.33% 2.34% 2.75% 4.50%

Philippines 2.99% 0.31% 0.31% 3.31% 0.33% 0.33% 1.28% 4.50%

Poland 5.65% 10.00% 10.00% 8.12% 9.45% 9.47% 10.00% 7.04%

Romania 1.34% 2.73% 2.73% 1.73% 2.90% 2.90% 3.17% 4.50%

Russia 2.67% 6.07% 6.07% 3.85% 6.31% 6.32% 5.68% 4.50%

South Africa 4.53% 9.19% 9.19% 6.54% 8.49% 8.50% 9.09% 6.00%

South Korea 27.79% 10.00%

Thailand 5.82% 10.00% 10.00% 7.58% 7.46% 7.47% 6.52% 4.50%

Turkey 3.64% 7.70% 7.70% 5.25% 7.97% 7.99% 7.05% 4.50%

Totals 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%



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Corporate bondsUS dollar denominated bonds only

Country breakdown J.P. Morgan Corporate Broad Emerging Market Bond

J.P. Morgan Corporate Broad Diversified Emerging Market Bond

J.P. Morgan Corporate Broad Diversified Emerging Market

Bond Core

Argentina 1.32% 1.32% 1.94%

Bahrain 0.15% 0.15% 0.14%

Bangladesh 0.03% 0.03%

Barbados 0.19% 0.04% 0.36%

Brazil 14.63% 14.63% 7.90%

Chile 2.91% 2.84% 4.80%

China 21.33% 21.78% 9.12%

Colombia 2.67% 2.74% 4.56%

Costa Rica 0.03% 0.03%

Czech Republic 0.04% 0.04%

Dominican Republic 0.04% 0.04%

Egypt 0.18%

El Salvador 0.11% 0.11%

France 0.05%

Georgia 0.04% 0.04%

Ghana 0.17% 0.17% 0.32%

Guatemala 0.33% 0.33% 0.51%

Hong Kong 6.89% 6.51% 5.54%

Hungary 0.06% 0.06% 0.14%

India 5.02% 5.02% 5.16%

Indonesia 0.60% 0.60% 0.82%

Iraq 0.04% 0.08%

Israel 2.96% 3.06% 4.76%

Jamaica 0.55% 0.55% 1.31%

Jordan 0.06% 0.06% 0.13%

Kazakhstan 0.36% 0.36% 0.74%

Kuwait 0.82% 0.82% 1.96%

Latvia 0.04%

Luxembourg 0.05%

Macau 0.35% 0.46% 0.84%

Malaysia 0.84% 0.84% 1.52%

Mexico 6.80% 6.81% 5.80%

Morocco 0.34% 0.34% 0.81%

Nigeria 0.54% 0.60% 0.68%

Norway 0.04%

Oman 0.12% 0.12% 0.13%

Panama 0.40% 0.32% 0.75%

Paraguay 0.07% 0.07%

Peru 1.46% 1.54% 2.00%

Philippines 0.85% 0.85% 0.70%

Poland 0.12% 0.12% 0.28%

Qatar 1.80% 1.80% 3.49%

Russia 7.52% 7.52% 6.03%

Saudi Arabia 0.93% 0.93% 1.95%

Singapore 2.08% 1.98% 3.66%


MKTG0218E-325893-1320096


Country breakdown J.P. Morgan Corporate Broad Emerging Market Bond



Bond Core

South Africa 1.07% 1.01% 2.35%

South Korea 3.25% 3.25% 4.28%

Supranational 0.24% 0.37%

Sweden 0.04%

Taiwan 0.22% 0.22% 0.42%

Tanzania 0.07%

Thailand 1.45% 1.45% 2.11%

The Democratic Republic of Congo 0.07% 0.16%

Trinidad and Tobago 0.15%

Turkey 3.29% 3.29% 4.64%

Ukraine 0.30% 0.30% 0.72%

United Arab Emirates 3.89% 3.88% 4.99%

Zambia 0.47% 0.47% 1.11%

Totals 100.00% 100.00% 100.00%

Source: J.P. Morgan. Data as at end of June 2017. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096


Index name J.P. Morgan Corporate Broad Emerging Market Bond



Bond Core

Index methodology – other noteworthy deviations

}yExposure to US dollar-denominated emerging market

corporate debt only

}yExcludes quasi-government bonds (defined as a corporation

with 100% government ownership or guarantee)

}yExposure to US dollar-denominated emerging market corporate debt only

}yExcludes quasi-government bonds (defined as a corporation with 100%

government ownership or guarantee)

}yExposure to US dollar-denominated emerging market

corporate debt only

}yExcludes quasi-government bonds (defined as a corporation with 100%

government ownership or guarantee)

}yMinimum remaining time to maturity of 2 years

Index methodology – weighting/capping

None }yUses diversification methodology* to more evenly distribute

country weights

}y10% country cap

}yUses diversification methodology* to


}y10% country cap

Index methodology – minimum amount outstanding

USD300m per bond USD300m per bond USD500m per bond

Currency USD USD USD

Bloomberg code JCBBCOMP JBCDCOMP JBCDCORE

Number of constituents 1,242 1,242 855

Total market value of index bonds (billion) 909 431 380









Duration 4.81 4.79 5.15


Source: J.P. Morgan. Data as at end of June 2017. * The index follows a diversification methodology anchored on the average size (debt stock) of countries in the index. To

calculate the diversified face amount for each country, calculate the index country average (ICA). The ICA is the sum of each countries face amount divided by the number of countries in the index. Based on the ICA, the diversified face amount for any country in the index is derived according to the following rules:

(a) The country with the largest face amount is capped at double the ICA. This is the maximum threshold and determines the diversified face amounts of other countries in the index.

(b) If the country’s debt stock is below the ICA, the entire amount will be eligible for inclusion. (c) If the country’s debt stock falls between the ICA and the maximum threshold (double the ICA) it will be linearly interpolated.The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.

Index nameBloomberg

ticker JCBBCOMP JBCDCOMP JBCDCORE

J.P. Morgan Corporate Broad Emerging Market Bond JCBBCOMP 100.00% 99.11% 99.28%

J.P. Morgan Corporate Broad Diversified Emerging Market Bond JBCDCOMP 100.00% 99.80%

J.P. Morgan Corporate Broad Diversified Emerging Market Bond Core JBCDCORE 100.00%

Source: J.P. Morgan. Data as at end of June 2017. Correlations calculated based on monthly returns over 5 years. The figures shown relate to past performance. Past performance is not a reliable indicator of future results and should not be the sole factor of consideration when selecting a product or strategy.


MKTG0218E-325893-1320096



MKTG0218E-325893-1320096


Chapter 4Appendix


MKTG0218E-325893-1320096


Appendix 4GlossaryTerm Definition

144A offerings 144A offering is a term for certain privately placed bonds. It comes from the 144A rule of the US Securities Act, which allows the trading of unregistered bonds among qualified institutional investors.

Amortising bonds Amortising bonds gradually pay back the principal invested rather than a 100% repayment at maturity.

BABs (Build America Bonds) Taxable municipal bonds which feature tax credits and/or federal subsidies for both the bondholder and the issuer (state or government only).

Brady bonds The term Brady bonds describes certain government bonds issued by emerging market countries. These bonds are denominated in USD and were first issued in 1989.

Bullet bonds A bond whose entire principal value is repaid all at once on the maturity date.

Buydowns A buydown is a mortgage financing technique whereby the buyer attempts to obtain a lower interest rate for at least the first few years of the mortgage.

Callable bonds Callable bonds include an option for the issuer of a bond to purchase back (‘call back’) the security at a predefined price and date. Bonds which include a call back feature are said to have ‘embedded optionality’.

CMBS CMBS stands for Commercial Mortgage Backed Securities. CMBS are a type of securitised bond which is backed by a pool of assets, in this case mortgages for commercial property.

COCOs COCO stands for a Contingent Convertible bond. Recently established, these bonds are similar to traditional convertible bonds as they can be converted into equities at a certain strike price. However, this conversion is contingent on a specific event such as the stock price having previously reached another, higher level.

Collateralised Debt Obligations A Collateralised Debt Obligation (CDO) is a structured product that is collateralised by a pool of debt obligations such as credit card debt, mortgages or loans.

Collateralised Mortgage Obligations

A Collateralised Mortgage Obligation (CMO) is a type of mortgage-backed security (MBS) in which principal repayments are organised according to their maturities and into difference classes based on risk. A CMO is a special purpose entity that receives the mortgage repayments and owns the mortgages it receives cash flows from (called a pool). The mortgages serve as collateral and are organised into classes based on their risk profile. Income received from the mortgages is passed to investors based on a predetermined set of rules and investors receive money based on the specific slice of mortgages invested in (called a tranche).

Credit Default Swap Credit Default Swaps (CDS) are derivatives that help protect against the default of a bond issuer. These issuers can be corporations or governments. By selling default protection via CDS, one can earn the risk premium for that issuer.

DRD-eligible securities DRD stands for ‘dividends received deduction’ under US tax law. It is a deduction in tax for corporations for dividends received from a company that the corporation (partly) owns.


MKTG0218E-325893-1320096


Term Definition

Dragon bonds A Dragon bond is a fixed income security issued by a firm in an Asian nation (excluding Japan) which is denominated in a foreign currency, usually US dollars. A Dragon bond could be issued to attract funds from a larger market of foreign investors and/or to issue a bond in a more stable currency.

Duration Duration is a measure of interest rate risk. It approximates the sensitivity in price of a portfolio (index) to a 1% parallel change in the benchmark yield curve. The duration shown in this guide is modified duration.

Eurodollar bonds A Eurodollar bond is a US dollar-denominated bond issued by an overseas company and held in a foreign institution outside both the US and the issuer’s home nation.

Event-driven bonds A bond, such as rating- or tax-driven bonds, that changes its terms upon the occurrence of a specific event.

Federal Home Loan Mortgage Corporation – ‘Freddie Mac’ (FHLMC)

FHLMC (Freddie Mac) is a stockholder-owned US government-sponsored enterprise (GSE) chartered by Congress in 1970 to keep money flowing to mortgage lenders in support of homeownership and rental housing for middle-income Americans. The Freddie Mac purchases, guarantees and securitises mortgages to form mortgage-backed securities (MBS).

Federal National Mortgage Association – ‘Fannie Mae’ (FNMA)

FNMA (Fannie Mae) is a US government-sponsored enterprise (GSE) that was created in 1938 to expand the flow of mortgage money by creating a secondary mortgage market. Fannie Mae is a publicly traded company which operates under a congressional charter that directs Fannie Mae to channel its efforts into increasing the availability and affordability of homeownership for low-, moderate- and middle-income Americans.

Fixed-to-floating bonds A fixed-to-floating bond is a type of bond that initially pays a fixed rate but at some point in the future the fixed rate converts into a floating rate.

Floating-rate ARMs A floating-rate adjustable rate-mortgage (ARM) programme is a type of mortgage in which the interest rate applied to the outstanding balance varies throughout the life of the loan. The interest rate will adjust based on an index plus a margin.

Floating-rate notes A floating-rate note (FRN) is a type of bond which pays a variable rate of interest. This interest rate could be tied to a benchmark such as LIBOR or the fed funds rate. In general, FRN have between two- and five-year maturities. The ‘reset period’ of a FRN refers to how often the interest rate of the FRN adjusts. Typically the reset period will be much shorter than the maturity of the bond, and it is appropriate to use adjusted duration when looking at an index that contains FRNs.

Formosa bonds A bond issued in Taiwan but denominated in a currency other than the New Taiwan dollar. In order to be traded, they must have a credit rating of BBB or higher.

Giant pools A giant pool is a combination of pass-through Freddie Mac mortgage-backed securities (MBS) created by the Freddie Mac agency. These pools can benefit investors who own small pass-through pools or seasoned pools that have paid down. Investors can swap their holdings for a pro rata share of a new giant pool. The pools also help lenders design more marketable securities by taking recently securitised smaller pools that are still held in a portfolio and aggregating them into a bigger pool.


MKTG0218E-325893-1320096


Term Definition

Government National Mortgage Association – ‘Ginnie Mae’ (GNMA)

GNMA (Ginnie Mae) is a US government corporation within the US Department of Housing and GNMA Urban Development (HUD). Ginnie Mae aims to ensure liquidity for government-insured mortgages and bring investors’ capital into the market for these type of loans, so that the issuers have the means to issue more. Ginnie Mae was created by Acts of US Congress to support homeownership by securitising mortgages. Ginnie Mae mortgage-backed securities (MBS) are US government-backed.

Hybrid ARM programmes A hybrid adjustable rate-mortgage (ARM) programme blends the characteristics of a fixed-rate mortgage and a regular adjustable-rate mortgage. This type of mortgage will have an initial fixed interest rate period followed by an adjustable rate period. After the fixed interest rate expires, the interest rate starts to adjust based on an index plus a margin. The date at which the mortgage changes from the fixed rate to the adjustable rate is referred to as the reset date.

IDC IDC refers to the Interactive Data Corporation, which is an American market research, analysis and advisory firm specialising in information technology, telecommunications and consumer technology.

Jumbo pools A pass-through Ginnie Mae mortgage-backed security that is collateralised by multiple-issuer pools. These pools combine loans with similar characteristics and are generally larger than single-issuer pools. The mortgages contained in jumbo pools are more diverse on a geographical basis than single-issuer pools.

Make-whole call A make-whole call is a type of call provision on a bond that allows the issuer to pay off the remaining debt early. The issuer pays a lump sum that is calculated using the Net Present Value (NPV) of future coupon payments that will not be paid due to the call.

Mega pools A mega pool is a combination of pass-through Fannie Mae mortgage-backed securities (MBS) created by the Fannie Mae agency. These pools can benefit investors who own small pass-through pools or seasoned pools that have paid down. Investors can swap their holdings for a pro rata share of a new mega pool. The pools also help lenders design more marketable securities by taking recently securitised smaller pools that are still held in a portfolio and aggregating them into a bigger pool.

Odd coupon bonds Odd coupon bonds are coupons paid for shorter or longer time periods than the standard (six months) period between payments.

Pay-in-kind bonds A pay-in-kind bond is a type of bond that pays interest in additional bonds rather than in cash. Pay-in-kind bonds are also considered a type of deferred coupon bond as there are no cash interest payments during the term of the bond.

Perpetual bonds A perpetual bond is a bond that has no maturity date. Perpetual bonds are not redeemable and have regular interest payments forever.

Platinum pools A platinum pool is a combination of pass-through Ginnie Mae mortgage-backed securities (MBS) created by the Ginnie Mae agency. These pools can benefit investors who own small pass-through pools or seasoned pools that have paid down. Investors can swap their holdings for a pro rata share of a new platinum pool. The pools also help lenders design more marketable securities by taking recently securitised smaller pools that are still held in a portfolio and aggregating them into a bigger pool.

Poison put options A poison put option is an option that allows the buyer of the option to redeem before maturity if certain, named events take place. These events could include restructuring, a leveraged buyout or an attempted hostile takeover.


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Term Definition

Private placements A private placement occurs when securities are sold to a relatively small number of select investors to raise capital in contrast to a public issue.

RegS offerings RegS is short for ‘RegulationS’ which is a SEC regulation that allows US companies to offer certain bonds in Eurobond markets to international investors.

Russian OFZ bonds A sinkable Russian OFZ (Federal Loan Obligation) bond is a type of government bond issued by the state of Russia. OFZs are coupon-bearing Federal Loan bonds issued by the Russian Finance Ministry that trade on the Moscow Inter Bank Currency Exchange (MICEX) as well as five other currency exchanges connected with the MICEX and located in large regional cities.

Sinking funds Sinking funds are funds set aside by the issuer of a bond into a trustee account. The funds are used to buy back/pay off bonds outstanding.

Soft bullets A soft bullet payment refers to the repayment of a bond. The bond can be repaid over a period of time rather than at a final maturity date.

Step-ups A step-up bond pays a coupon for a certain initial period and then a higher coupon for the remaining time to maturity.

Strips A strip bond is a bond for which the principal and coupon elements are sold separately.

Sukuk bonds Sukuk bonds are bonds that comply with Sharia, Islamic religious law.

To-be-announced securities A to-be-announced (TBA) security is a term used to describe a forward mortgage-backed security (MBS) trade. Pass-through securities issued by Freddie Mac, Fannie Mae and Ginnie Mae trade in the TBA market. The term TBA is derived from the fact that the actual MBS that will be delivered to fulfil a TBA trade is not designated at the time the trade is made. When a trade is executed, the only agreed-upon characteristics are agency, coupon, settlement and price. The seller has the option to deliver whichever mortgage pools (the cheapest to deliver ‘CTD’) it wants as long as the agreed-upon characteristics are met. The securities ‘to-be-announced’ 48 hours prior to the established trade settlement date.

Toggle notes A toggle note is a bond for which the issuer can delay the coupon payment. The future coupon payment will be higher than the original coupon.

UK DMO UK DMO refers to the UK Debt Management Office, an executive agency which manages debt and cash for the UK government.

Vintage A slang term used to refer to a mortgage-backed security (MBS) that is seasoned over some time period.

Warrants Option for a bond holder to purchase equities from the bond issuer at a specific price.

Yankee CDs A certificate of deposit (CD) that is issued in the US by a branch or agency of a foreign bank.

Yield Yield is the return on investment from a bond including coupon payments and capital appreciation/depreciation. Yield figures shown in this index guide are yield-to-maturity figures, i.e. the return on a bond if the bond was held to maturity. It does not take into account any optionality of bonds.


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Hui Sien Koay, CFA

Tel: +44 (0)20 7743 [email protected]

Regulatory informationBlackRock Advisors (UK) Limited, which is authorised and regulated by the Financial Conduct Authority (‘FCA’), having its registered offi ce at 12 Throgmorton Avenue, London EC2N 2DL, England, Tel +44 (0)20 7743 3000, has issued this document for access by Professional Clients only and no other person should rely upon the information contained within it. For your protection, calls are usually recorded.

For investors in IsraelBlackRock Investment Management (UK) Limited is not licensed under Israel’s Regulation of Investment Advice, Investment Marketing and Portfolio Management Law, 5755-1995 (the ‘Advice Law’). No action has been taken or will be taken in Israel that would permit a public offering or distribution of the products mentioned in this document to the public in Israel. The products mentioned in this document have not been approved by the Israel Securities Authority. In addition, the products mentioned in this document are not regulated under the provisions of Israel’s Joint Investment Trusts Law, 5754-1994 (the ‘Joint Investment Trusts Law’). This document has not been approved by the Israel Securities Authority and will only be distributed to Israeli residents in a manner that will not constitute ‘an offer to the public’ under sections 15 and 15a of the Israel Securities Law, 5728-1968 (the ‘Securities Law’) or section 25 of the Joint Investment Trusts Law, as applicable.

This document and the products mentioned herein are being offered to those categories of investors listed in the First Addendum (the ‘Addendum’) to the Securities Law, (‘Institutional Investors’); in all cases under circumstances that will fall within the private placement or other exemptions of the Joint Investment Trusts Law, the Securities Law and any applicable guidelines, pronouncements or rulings issued from time to time by the Israel Securities Authority. This document may not be reproduced or used for any other purpose, nor be furnished to any other person other than those to whom copies have been sent. Nothing in this document should be considered investment advice or investment marketing as defi ned in the Regulation of Investment Advice, Investment Marketing and Portfolio Management Law, 5755-1995. This document does not constitute an offer to sell or solicitation of an offer to buy any securities, nor does it constitute an offer to sell to or solicitation of an offer to buy from any person or persons in any state or other jurisdiction in which such offer or solicitation would be unlawful, or in which the person making such offer or solicitation is not qualifi ed to do so, or to a person or persons to whom it is unlawful to make such offer or solicitation.

For investors in SwitzerlandThe iShares ETFs are domiciled in Ireland, Switzerland and Germany. BlackRock Asset Management Schweiz AG, Bahnhofstrasse 39, CH-8001 Zurich, is the Swiss Representative and State Street International GmbH, Munich, Zurich Branch, Beethovenstrasse 19, CH-8002 Zürich the Swiss Paying Agent for the foreign iShares ETFs registered in Switzerland. The Prospectus, the Prospectus with integrated fund contract, the Key Investor Information Document, the general and particular conditions, the Articles of Incorporation, the latest and any previous annual and semi-annual reports of the iShares ETFs domiciled or registered in Switzerland are available free of charge from BlackRock Asset Management Schweiz AG. Investors should read the fund specifi c risks in the Key Investor Information Document and the Prospectus.

AuthorsBlackRock iShares Fixed Income Product Strategy Team – EMEA

Brett Pybus, CFA

Tel: +44 (0)20 7743 [email protected]

Vasiliki Pachatouridi

Tel: +44 (0)20 [email protected]


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For investors in the Dubai International Financial CentreBlackRock Investment Management (UK) Limited is authorised and regulated by the Financial Conduct Authority. Registered office: 12 Throgmorton Avenue, London EC2N 2DL. Tel: 020 7743 3000. Registered in England No. 2020394. For your protection telephone calls are usually recorded. BlackRock is a trading name of BlackRock Investment Management (UK) Limited. Issued by BlackRock Advisors (UK) Limited which is regulated by the Dubai Financial Services Authority in the DIFC and authorised and regulated by the Financial Conduct Authority in the UK, has issued this document for access by Professional Clients and no other person should rely upon them information contained within it. The financial services to which the document relates are only available to Professional Clients. Any decision to invest must be based solely on the information contained in the Company’s Prospectus, Key Investor Information Document and the latest half-yearly report and unaudited accounts and/or annual report and audited accounts. Investors should read the fund specific risks in the Key Investor Information Document and the Company’s Prospectus.

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