data as of september 30th, 2014 spreads start to widen

Spreads start to widen

Markit iBoxx fixed income monthly market monitor

USD and GBP bonds pare losses on the back of rising yield curves and widening spreads

High yield bonds across EUR, GBP and USD suffer the biggest loss in 2014

EUR ABS bonds provide the best return in September

Market movements

Yield curves and spreads rise across EUR, GBP and USD

USD and GBP denominated bonds provided

negative returns in September on the back of rising

yield curves and widening spreads.

European fixed income market gained small returns,

with the exception of high yield bonds, which

suffered significant losses due to rising spreads.

GBP Overall decreased by -0.61% (7.54% YTD),

USD Overall lost -0.83% (4.24% YTD), while EUR

Overall gained 0.14% (8.71% YTD) in September.

Performance in Eurozone sovereigns was mixed.

Bond markets of periphery countries, such as Italy,

Spain and Ireland, gained 0.58%, 0.38% and 0.68%,

respectively, while Germany and France lost -0.16%

and -0.25%.

iBoxx € Corporates returned 0.17%, mainly due to

income and calendar return. The high yield market in

Europe ended the month in negative territory (-

0.91%), with the lower end of the credit curve, CCC

bonds, losing -8.67%.

The best performing fixed income asset class in

Europe was € ABS bonds. The Markit iBoxx € ABS

index and MBS index returned 1.62% and 1.72%,

supported by the ECB’s program for asset-backed

purchases.

The benchmark yield curve in the UK shifted

upwards by 8-12 bps across maturities, leading to

negative duration return in GBP bonds.

UK Gilts decreased by -0.65%, with Gilts 15+ losing -

1.45%. £ Corporates registered a 0.53% loss due to

negative duration return (-0.65%) and negative credit

return (-0.29%). £ High Yield market suffered a big

loss of -3.04% due to spreads widening.

US Treasuries lost -0.61% on the back of a declining

yield curve. iBoxx $ Corporates also provided a

negative return of -1.37% due to negative duration (-

0.91%) and credit (-0.85%) return.

US high yield bonds moved in tandem with their

European counterparts and registered a big loss (-

2.37%) in September.

ETF Market Activity Review

US Treasury ETFs experience outflows

The US fixed income ETF markets experienced

negative outflows of $2.1 bn. during September. The

majority of outflows occurred in treasuries (-$4.84bn).

In Europe, new inflows were almost flat ($0.096 bn).

Sovereigns and Broad market ETFs attracted the

majority of new assets ($0.30 bn each), while High

Yield saw outflows of $0.47 bn.

Markit fixed income research

Issue 10, October 2014 Data as of September 30th, 2014

Markit iBoxx fixed income monthly market monitor \ October 2014

October 2014 2

Top 10 Fixed Income ETF providers by positive inflows in September (in $mm)

Source: Markit ETP Analytics

Vanguard was able to attract the biggest chunk of

inflows to its fixed income ETFs in September, with

$2.8bn. One of its flagship products, Vanguard Total

Bond Market ETF, received $1.35bn of new assets.

New ETF launches in September

September saw one new ETF issuance in Europe

and two in the US.

Amundi launched Amundi FLOATING RATE EURO

CORPORATE 1-3 UCITS ETF, which is a passive

fund, tracking the Markit iBoxx EUR FRN Investment

Grade 1-3Y Index. The fund invests in corporate

bonds with variable-rate coupons, rated investment

grade.

FlexShares added to its portfolio the FlexShares

Disciplined Duration MBS Index Fund. The fund

provides exposure to fixed rate mortgage-backed

pass-through securities (MBS) issued by U.S.

government agencies.

PowerShares introduced the PowerShares

LadderRite 0-5 Year Corporate Bond Portfolio. The

fund follows the NASDAQ LadderRite® 0-5 Year USD

Corporate Bond Index and implements an equal

weighted annual maturity ladder strategy.

0 500 1000 1500 2000 2500 3000

Vanguard

Société Générale

Amundi

Source

UBS AG

Van Eck Securities…

CSOP AM

Charles Schwab

BMO Funds

Others


October 2014 3

Contents

Facts and figures ................................................................................................................................................ 4

Key trends: Markit iBoxx € Corporates and € Eurozone ............................................................................. 11

Key trends: Markit iBoxx € spot and swap curve ........................................................................................ 12

Key trends: Markit iBoxx £ Corporates and £ Gilts .................................................................................... 13

Key trends: Markit iBoxx £ spot and swap curve ........................................................................................ 14

Key trends: Markit iBoxx $ Corporates and $ Treasuries............................................................................ 15

Key trends: Markit iBoxx $ spot and swap curve ........................................................................................ 16

Markit iBoxx € Corporates rebalance movements ....................................................................................... 17

Markit iBoxx £ Corporates rebalance movements ....................................................................................... 17

Markit iBoxx $ Corporates rebalance movements ....................................................................................... 18

Markit iBoxx € Corporates rebalancing activity – Sep 14 ........................................................................... 19

Markit iBoxx £ Corporates rebalancing activity – Sep 14 ........................................................................... 20

Markit iBoxx $ Corporates rebalancing activity – Sep 14 ........................................................................... 21

Analysis and trends .......................................................................................................................................... 25

€ Fixed income return attribution ................................................................................................................. 26

£ Fixed income return attribution ................................................................................................................. 27

$ Fixed income return attribution ................................................................................................................. 28

€ Fixed income stress test ............................................................................................................................ 35

£ Fixed income stress test ............................................................................................................................ 36

$ Fixed income stress test ............................................................................................................................ 37

Fixed income ETF market activity ................................................................................................................... 40


October 2014

4

Fixed income market

Facts and figures


October 2014 5

Figure 1: Global fixed income market YTD total returns

3.8%

7.5%7.4%

8.9%

12.2%13.1%

5.6%

2.5%

6.8%

4.2%

7.6%

0.9%

8.1%

5.7%

10.1%

-1.7%

6.9%

9.3%8.6%

6.4%

2.2%

9.3%

3.5%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

US

UK

Ge

rma

ny

Fra

nce

Italy

Sp

ain

US

IG

US

HY

EU

IG

EU

HY

UK

IG

UK

HY

EM

So

v U

SD

EM

Co

rp U

SD

Bra

zil

Ru

ssia

Ch

ina

Ind

ia

Tu

rke

y

Me

xico US

UK

Ge

rma

ny

Figure 2: Global fixed income market MTD total returns

-0.6%-0.7%

-0.2%-0.3%

0.6%0.4%

-1.4%

-2.37%

0.17%

-0.9%-0.6%

-3.0%

-2.3%

-1.3%-1.5%

2.1%

1.3%

0.9%

-2.1%-1.8%

-2.5%

-0.8%

0.3%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

US

UK

Ge

rma

ny

Fra

nce

Italy

Sp

ain

US

IG

US

HY

EU

IG

EU

HY

UK

IG

UK

HY

EM

So

v U

SD

EM

Co

rp U

SD

Bra

zil

Ru

ssia

Ch

ina

Ind

ia

Tu

rke

y

Me

xico US

UK

Ge

rma

ny

Source: Markit iBoxx Data

Sovereigns

Corporates Emerging Markets Inflation Sovereigns

Sovereigns Corporates Emerging Markets Inflation

YTD

September


October 2014

6

Fixed income correlation

Table 1: 1-month correlation Correlation is based on daily returns for the period stated, excluding common holidays Correlation between indices in different currencies is based on unhedged daily returns in USD of the two indices Markit iBoxx CVBX index represents the performance of USD denominated convertible bonds

EUR GBP USD

Sov Corp IG HY Gilts Corp IG HY IL TSY Corp IG HY TIPS EM Sov

EM Corp Loans CVBX

EUR

Sov 1.00 0.91 0.27 0.60 0.58 0.42 0.52 0.44 0.41 0.00 0.41 -0.18 0.01 -0.06 -0.19

Corp IG 0.91 1.00 0.34 0.54 0.53 0.38 0.41 0.35 0.31 -0.05 0.36 -0.26 -0.08 -0.07 -0.17

HY 0.27 0.34 1.00 0.46 0.49 0.42 0.31 0.23 0.22 0.05 0.31 -0.26 -0.06 0.04 -0.10

GBP

Gilts 0.60 0.54 0.46 1.00 0.97 0.48 0.88 0.44 0.48 0.07 0.35 0.14 0.20 -0.16 -0.28

Corp IG 0.58 0.53 0.49 0.97 1.00 0.62 0.87 0.39 0.45 0.12 0.31 0.15 0.22 -0.10 -0.26

HY 0.42 0.38 0.42 0.48 0.62 1.00 0.55 0.15 0.27 0.22 0.13 0.22 0.22 -0.02 -0.10

IL 0.52 0.41 0.31 0.88 0.87 0.55 1.00 0.48 0.55 0.18 0.39 0.25 0.31 -0.07 -0.22

USD

TSY 0.44 0.35 0.23 0.44 0.39 0.15 0.48 1.00 0.92 0.12 0.87 0.31 0.52 -0.21 -0.40

Corp IG 0.41 0.31 0.22 0.48 0.45 0.27 0.55 0.92 1.00 0.30 0.83 0.39 0.64 -0.05 -0.28

HY 0.00 -0.05 0.05 0.07 0.12 0.22 0.18 0.12 0.30 1.00 0.15 0.05 0.22 0.73 0.06

TIPS 0.41 0.36 0.31 0.35 0.31 0.13 0.39 0.87 0.83 0.15 1.00 0.33 0.59 -0.18 -0.42

EM Sov -0.18 -0.26 -0.26 0.14 0.15 0.22 0.25 0.31 0.39 0.05 0.33 1.00 0.89 0.02 -0.03

EM Corp 0.01 -0.08 -0.06 0.20 0.22 0.22 0.31 0.52 0.64 0.22 0.59 0.89 1.00 0.13 -0.05

Loans -0.06 -0.07 0.04 -0.16 -0.10 -0.02 -0.07 -0.21 -0.05 0.73 -0.18 0.02 0.13 1.00 0.18

CVBX -0.19 -0.17 -0.10 -0.28 -0.26 -0.10 -0.22 -0.40 -0.28 0.06 -0.42 -0.03 -0.05 0.18 1.00



October 2014 7

Fixed income correlation

Table 2: 1-year correlation Correlation is based on daily returns for the period stated, excluding common holidays Correlation between indices in different currencies is based on unhedged daily returns in USD of the two indices Markit iBoxx CVBX index represents the performance of USD denominated convertible bonds

EUR GBP USD

Sov Corp IG HY Gilts Corp IG HY IL TSY Corp IG HY TIPS

EM Sov

EM Corp Loans CVBX

Euro

Sov 1.00 0.83 0.27 0.64 0.61 0.33 0.57 0.45 0.47 0.07 0.46 0.29 0.28 0.10 -0.04

Corp IG 0.83 1.00 0.33 0.59 0.58 0.32 0.50 0.40 0.40 0.05 0.41 0.23 0.23 0.08 -0.07

HY 0.27 0.33 1.00 0.47 0.50 0.41 0.37 0.21 0.26 0.19 0.26 0.28 0.29 0.20 0.05

GBP

Gilts 0.64 0.59 0.47 1.00 0.96 0.16 0.85 0.47 0.51 0.11 0.45 0.22 0.24 0.06 -0.07

Corp IG 0.61 0.58 0.50 0.96 1.00 0.25 0.80 0.40 0.47 0.20 0.38 0.29 0.31 0.16 0.00

HY 0.33 0.32 0.41 0.16 0.25 1.00 0.13 -0.01 0.11 0.33 0.03 0.27 0.30 0.26 0.19

IL 0.57 0.50 0.37 0.85 0.80 0.13 1.00 0.46 0.49 0.12 0.45 0.24 0.24 0.01 -0.08

USD

TSY 0.45 0.40 0.21 0.47 0.40 -0.01 0.46 1.00 0.92 0.02 0.90 0.22 0.31 -0.08 -0.27

Corp IG 0.47 0.40 0.26 0.51 0.47 0.11 0.49 0.92 1.00 0.23 0.86 0.40 0.51 0.09 -0.13

HY 0.07 0.05 0.19 0.11 0.20 0.33 0.12 0.02 0.23 1.00 0.07 0.43 0.49 0.62 0.34

TIPS 0.46 0.41 0.26 0.45 0.38 0.03 0.45 0.90 0.86 0.07 1.00 0.27 0.35 -0.03 -0.23

EM Sov 0.29 0.23 0.28 0.22 0.29 0.27 0.24 0.22 0.40 0.43 0.27 1.00 0.88 0.32 0.09

EM Corp 0.28 0.23 0.29 0.24 0.31 0.30 0.24 0.31 0.51 0.49 0.35 0.88 1.00 0.32 0.14

Loans 0.10 0.08 0.20 0.06 0.16 0.26 0.01 -0.08 0.09 0.62 -0.03 0.32 0.32 1.00 0.30

CVBX -0.04 -0.07 0.05 -0.07 0.00 0.19 -0.08 -0.27 -0.13 0.34 -0.23 0.09 0.14 0.30 1.00



October 2014

8

Table 3: Markit iBoxx € market snapshot: the month in figures

Markit iBoxx Index Total Return Yield OAS Bonds Duration

Month YTD Current Month YTD Current Month YTD

€ Overall 0.14% 8.71% 1.44% 0.00% -1.08% 60.6 -2.3 -23.4 2,901 6.0

Sovereigns

€ Eurozone 0.08% 10.05% 1.57% 0.01% -1.13% 57.8 -2.4 -26.2 282 6.8

€ Germany -0.16% 7.43% 1.05% 0.03% -0.86% -1.3 -1.7 -0.5 53 7.0

€ France -0.25% 8.95% 1.36% 0.04% -0.97% 32.7 1.0 -10.7 43 7.1

€ Italy 0.58% 12.22% 2.33% -0.06% -1.46% 143.2 -6.8 -52.1 60 6.6

€ Spain 0.38% 13.14% 2.00% -0.04% -1.71% 118.1 -4.1 -85.0 33 6.1

€ Portugal 0.68% 19.43% 2.54% -0.09% -2.95% 203.7 -2.6 -200.3 11 5.0

€ Ireland 0.73% 12.14% 1.11% -0.12% -1.77% 65.4 -9.6 -86.9 10 5.2

Corporates

€ Corporates 0.17% 6.77% 1.53% -0.01% -0.95% 108.6 1.3 -12.3 1,505 4.7

€ Corporates A 0.22% 6.66% 1.37% -0.02% -0.95% 87.2 -0.4 -12.6 659 5.0

€ Corporates AA 0.29% 6.48% 1.04% -0.04% -1.02% 59.8 -2.4 -18.6 146 4.6

€ Corporates AAA 0.16% 10.53% 1.53% -0.01% -0.71% 54.4 -3.6 2.1 6 7.6

€ Corporates BBB 0.08% 6.96% 1.87% 0.01% -0.95% 150.1 4.5 -11.9 694 4.5

€ Financials 0.15% 6.29% 1.54% -0.01% -0.97% 122.1 4.0 -13.9 590 4.3

€ Banks 0.21% 6.13% 1.35% -0.03% -1.02% 107.5 2.9 -18.9 427 4.1

€ Insurance -0.61% 7.21% 2.83% 0.15% -0.78% 230.1 18.1 9.0 68 5.2

€ Non-Financials 0.19% 7.15% 1.52% -0.01% -0.93% 100.1 -0.1 -10.2 915 5.1

€ Basic Materials 0.01% 6.77% 1.42% 0.02% -0.97% 97.7 4.0 -11.8 71 4.9

€ Consumer Goods 0.17% 6.26% 1.35% -0.01% -0.74% 85.0 1.0 3.2 171 4.9

€ Consumer Services -0.13% 6.93% 1.58% 0.07% -0.90% 104.4 6.5 -9.8 64 5.4

€ Health Care 0.27% 5.02% 1.22% -0.04% -0.61% 94.4 2.3 22.9 26 4.3

€ Industrials 0.25% 6.72% 1.36% -0.03% -0.99% 97.0 -0.2 -16.6 147 4.6

€ Oil & Gas 0.20% 6.68% 1.74% -0.01% -0.77% 119.1 -4.3 -3.7 81 5.0

€ Technology 0.22% 10.76% 1.48% -0.01% -1.08% 60.3 -3.6 -19.1 12 7.2

€ Telecommunications 0.10% 7.87% 1.65% 0.00% -1.03% 104.9 2.2 -14.1 121 5.5

€ Utilities 0.32% 8.03% 1.62% -0.04% -1.05% 105.1 -3.2 -16.7 222 5.3

€ Covered 0.62% 6.54% 0.84% -0.12% -1.16% 45.0 -10.2 -33.6 632 4.3

High Yield

€ High Yield -0.91% 4.19% 4.29% 0.46% -0.28% 402.8 37.8 53.5 515 3.2

€ High Yield B -1.75% 2.71% 6.37% 0.88% 0.18% 608.4 79.3 137.0 189 3.0

€ High Yield BB -0.09% 5.16% 3.21% 0.17% -0.67% 311.4 25.3 26.8 296 3.4

€ High Yield CCC -8.67% -4.03% 11.20% 3.21% 1.12% 902.8 131.3 80.6 28 2.9

Inflation-linked

€ France Inflation-Linked -0.23% 6.68% -0.12% 0.02% -0.77% -120.2 -2.6 16.3 19 8.2

€ Germany Inflation-Linked

0.32% 3.45% -0.54% -0.07% -0.62% -108.9 -4.6 17.1 5 5.1

€ Italy Inflation-Linked 1.02% 13.37% 1.18% -0.12% -1.41% 14.2 -15.9 -46.8 10 7.8

ABS

iBoxx Europe ABS 1.62% 6.45% 788

iBoxx Europe MBS 1.67% 6.70% 726


€

https://products.markit.com/indices/data/DataOutput.asp?QueryID=DWIndexAnalytics&isd_index=I12100075&return=TRi&date=04%2E01%2E2013&fixing=EU%5FEOD&family=ib%5FEUR&Level0=EUR



October 2014 9

Table 4: Markit iBoxx £ market snapshot: the month in figures



£ Overall -0.61% 7.54% 2.99% 0.09% -0.52% 33.8 0.9 0.3 1100 9.2

Sovereigns

£ Gilts -0.65% 7.54% 2.70% 0.09% -0.51% 0.2 0.2 1.6 39 9.8

£ Gilts 1-3 0.06% 0.66% 0.85% 0.06% 0.12% -3.1 -2.3 -21.7 6 1.6

£ Gilts 3-5 -0.07% 2.20% 1.56% 0.07% -0.04% 3.9 1.4 6.3 5 3.7

£ Gilts 5-7 -0.17% 3.98% 1.89% 0.07% -0.36% -0.3 1.6 12.0 4 5.1

£ Gilts 7-10 -0.30% 6.36% 2.17% 0.07% -0.59% -4.4 0.9 6.0 4 7.0

£ Gilts 10-15 -0.41% 9.81% 2.55% 0.07% -0.75% 1.4 -0.6 -7.3 4 9.5

£ Gilts 15+ -1.45% 13.47% 3.01% 0.10% -0.60% 0.3 0.1 0.9 16 17.4

Corporates

£ Corporates -0.58% 7.62% 4.02% 0.11% -0.49% 147.4 3.5 3.8 728 8.0

£ Corporates A -0.64% 7.55% 3.98% 0.11% -0.41% 134.7 2.6 14.0 310 9.0

£ Corporates AA -0.43% 7.45% 3.50% 0.08% -0.53% 88.8 0.3 1.5 71 8.4

£ Corporates AAA -0.93% 10.05% 3.40% 0.09% -0.46% 53.9 -0.7 6.0 5 14.1

£ Corporates BBB -0.55% 7.67% 4.24% 0.12% -0.58% 186.0 5.0 -9.6 342 6.8

£ Banks -0.57% 6.37% 4.03% 0.14% -0.45% 167.9 7.0 -0.5 162 6.3

£ Basic Materials -0.51% 6.88% 3.69% 0.11% -0.51% 123.1 3.7 2.3 13 7.3

£ Consumer Goods -0.15% 5.05% 3.24% 0.08% -0.45% 104.8 0.8 5.9 52 5.6

£ Consumer Services -1.10% 8.82% 3.90% 0.15% -0.60% 127.9 7.2 -3.7 61 8.9

£ Financials -0.60% 6.95% 4.11% 0.14% -0.48% 170.7 6.5 -2.9 314 6.7

£ Health Care -0.79% 9.75% 3.86% 0.09% -0.50% 100.4 0.0 11.3 12 12.7

£ Industrials -0.38% 7.95% 3.82% 0.08% -0.55% 126.7 0.6 -2.9 49 8.2

£ Insurance -0.92% 7.20% 4.72% 0.20% -0.43% 232.8 12.9 -2.2 73 6.7

£ Non-Financials -0.57% 8.08% 3.97% 0.10% -0.49% 135.2 1.9 7.7 414 8.9

£ Oil & Gas -0.40% 6.18% 4.17% 0.09% -0.12% 167.7 2.1 38.7 19 7.7

£ Telecommunications -0.59% 8.41% 4.09% 0.10% -0.53% 148.3 2.6 2.0 46 8.7

£ Utilities -0.56% 8.79% 4.11% 0.09% -0.47% 143.3 0.8 11.7 161 9.9

Collateralized

£ Collateralized -0.65% 8.42% 3.77% 0.10% -0.60% 117.8 2.4 -0.7 166 9.0

£ Covered -0.27% 9.17% 3.01% 0.07% -0.82% 63.0 -0.1 -18.5 23 7.6

£ ABS -1.49% 7.60% 4.33% 0.19% -0.47% 168.5 11.3 14.1 41 9.2

£ MBS -0.20% 5.75% 3.61% 0.07% -0.47% 116.2 -0.7 8.7 41 7.4

£ Housing Associations -1.01% 11.90% 4.01% 0.10% -0.61% 108.3 0.5 1.0 33 14.1

High Yield

£ High Yield -3.04% 0.88% 6.38% 0.69% 0.61% 453.1 53.0 94.1 44 3.3

Inflation-linked

£ Gilt Inflation-Linked -0.79% 9.33% -0.35% 0.04% -0.41% -337.5 -7.3 17.6 24 21.8


£




October 2014 10

Table 5: Markit iBoxx $ market snapshot: the month in figures



$ Overall -0.83% 4.24% 2.92% 0.18% -0.27% 57.8 4.0 5.2 5404 5.9

Sovereigns

$ Treasuries -0.61% 3.76% 2.35% 0.14% -0.25% 2.0 0.0 0.0 248 5.8

$ Treasuries 1-3Y -0.05% 0.43% 0.64% 0.09% 0.21% 1.2 1.0 -3.1 92 1.8

$ Treasuries 3-5Y -0.35% 1.20% 1.52% 0.16% 0.23% 4.5 0.3 6.1 58 3.8

$ Treasuries 5-7Y -0.68% 2.84% 2.03% 0.19% -0.07% -0.6 -1.0 -4.6 38 5.5

$ Treasuries 7-10Y -1.06% 5.54% 2.39% 0.19% -0.39% -0.8 -0.2 -7.7 17 7.5

$ Treasuries 10-15Y -1.23% 8.77% 2.69% 0.17% -0.66% 7.7 0.9 2.9 13 9.4

$ Treasuries 15Y+ -1.84% 16.46% 3.16% 0.13% -0.78% 2.6 -0.2 2.8 30 17.1

Corporates

$ Corporates -1.37% 5.55% 3.91% 0.25% -0.34% 147.5 11.6 7.8 4,128 6.5

$ Corporates A -1.24% 4.72% 3.58% 0.23% -0.26% 120.0 10.5 13.9 1705 6.2

$ Corporates AA -1.02% 4.54% 3.39% 0.20% -0.25% 100.2 6.9 13.9 469 6.2

$ Corporates AAA -1.14% 6.44% 3.48% 0.16% -0.55% 83.0 3.8 11.0 49 8.3

$ Corporates BBB -1.60% 6.71% 4.37% 0.27% -0.42% 188.2 13.4 0.7 1905 6.9

$ Banks -0.89% 3.74% 3.52% 0.25% -0.16% 146.6 11.4 2.5 898 4.7

$ Basic Materials -2.16% 7.06% 4.42% 0.31% -0.44% 190.8 18.6 0.4 249 7.2

$ Consumer Goods -1.34% 4.75% 3.59% 0.25% -0.28% 121.0 12.3 11.1 352 6.2

$ Consumer Services -1.59% 8.02% 4.04% 0.22% -0.55% 139.4 9.0 0.5 369 8.2

$ Financials -0.94% 4.24% 3.63% 0.24% -0.21% 146.9 10.4 3.0 1392 5.1

$ Health Care -1.54% 5.26% 3.77% 0.24% -0.26% 121.1 11.2 21.6 301 7.4

$ Industrials -1.15% 6.35% 3.73% 0.19% -0.44% 121.7 5.6 2.7 323 7.1

$ Insurance -1.33% 6.87% 4.17% 0.22% -0.50% 164.0 9.4 -1.2 195 7.3

$ Non-Financials -1.62% 6.35% 4.03% 0.26% -0.39% 147.8 12.1 9.8 2736 7.4

$ Oil & Gas -1.97% 5.98% 4.34% 0.31% -0.29% 181.4 18.1 18.8 533 7.3

$ Technology -1.14% 4.95% 3.45% 0.22% -0.28% 108.3 8.7 9.7 162 6.3

$ Telecommunications -1.99% 6.83% 4.34% 0.32% -0.38% 167.9 15.8 14.0 166 8.3

$ Utilities -1.27% 8.39% 4.09% 0.19% -0.56% 140.8 5.3 4.5 281 8.7

High Yield

$ Liquid High Yield -2.37% 2.53% 5.98% 0.76% 0.24% 392.5 56.0 40.6 927 4.0

Inflation-linked

$ TIPS Inflation-Linked -2.53% 2.17% 0.63% 0.29% -0.17% -194.9 19.5 33.5 35 8.4

Emerging Markets

$ EM Sovereigns -2.31% 8.06% 5.27% 0.35% -0.61% 272.3 20.0 -14.0 298 7.2

$ EM Corporates -1.27% 5.74% 5.33% 0.33% -0.37% 311.0 18.2 -13.9 1262 5.0

Loans

$ Leveraged Loans -0.66% 1.88% 0.00% 0.00% 0.00% 0.0 0.0 0.0 1117 0.0

RMBS

$ US RMBS Seniors 1.68% 12.91% 0.00% 0.00% 0.00% 0.0 0.0 0.0 350 0.0

Convertible

$ CVBX -2.51% 8.56% -0.47% -0.47% 1.04% 0.0 0.0 0.0 100 7.2


$




October 2014 11

Key trends: Markit iBoxx € Corporates and € Eurozone

Figure 3: € Total return Figure 4: € Yield

0

0.5

1

1.5

2

2.5

3

3.5

€ Corporates € Eurozone

Figure 5: € Duration Figure 6: € ASW

0

20

40

60

80

100

120

140

160

180

AS

W (

bp

s)

€ Corporates AAA € Corporates AA

€ Corporates A € Corporates BBB


€

0

1

2

3

4

5

6

7

8


90

95

100

105

110

115



October 2014 12

Key trends: Markit iBoxx € spot and swap curve

Figure 7: € Spot curve Figure 8: € Curve steepness

0

20

40

60

80

100

120

140

160

180

200

Bps

2s10s 10s30s

Figure 9: € Spot vs. Swap curve Figure 10: € One month change Spot vs. Swap

-10

-5

0

5

10

15

20

2Y 5Y 10Y 30Y

Bps

Spot Swap


€

-0.5

0

0.5

1

1.5

2

2.5

0 10 20 30 40 50

Yie

ld

Maturity

Yield curve 2014-Sep-30 Yield curve 2014-Aug-31

Swap curve 2014-Sep-30 Swap curve 2014-Aug-31

-0.5

0

0.5

1

1.5

2

2.5

3

0 10 20 30 40 50

Yie

ld

Maturity

2014-Sep-30 2014-Aug-31 2013-Sep-30


October 2014 13

Key trends: Markit iBoxx £ Corporates and £ Gilts

Figure 11: £ Total return Figure 12: £ Yield

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

£ Corporates £ Gilts

Figure 13: £ Duration Figure 14: £ ASW

0

50

100

150

200

250

Bp

s

£ Corporates AAA £ Corporates AA

£ Corporates A £ Corporates BBB


£

0

2

4

6

8

10

12


92

94

96

98

100

102

104

106

108

110

112



October 2014 14

Key trends: Markit iBoxx £ spot and swap curve

Figure 15: £ Spot curve Figure 16: £ Curve steepness

0

50

100

150

200

250

300

Bp

s

2s10s 10s30s

Figure 17: £ Spot vs. Swap curve Figure 18: £ One month change Spot vs. Swap

0

2

4

6

8

10

12

14

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


£

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50

Yie

ld

Maturity



0

0.5

1

1.5

2

2.5

3

3.5

4

0 10 20 30 40 50

Yie

ld

Maturity

2014-Sep-30 2014-Aug-31 2013-Sep-30


October 2014 15

Key trends: Markit iBoxx $ Corporates and $ Treasuries

Figure 19: $ Total return Figure 20: $ Yield

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

$ Treasuries $ Corporates

Figure 21: $ Duration Figure 22: $ ASW

0

50

100

150

200

250

AS

W (

bp

s)

$ Corporates AAA $ Corporates AA

$ Corporates A $ Corporates BBB


$

0

1

2

3

4

5

6

7


94

96

98

100

102

104

106

108

110

112



October 2014 16

Key trends: Markit iBoxx $ spot and swap curve

Figure 23: $ Spot curve Figure 24: $ Curve steepness

0

50

100

150

200

250

300

350

Bp

s

2s10s 10s30s

Figure 25: $ Spot vs. Swap curve Figure 26: $ One month change Spot vs. Swap

0

2

4

6

8

10

12

14

16

18

20

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


$

0

0.5

1

1.5

2

2.5

3

3.5

4

0 5 10 15 20 25 30

Yie

ld

Maturity



0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0 5 10 15 20 25 30

Yie

ld

Maturity

2014-Sep-30 2014-Aug-31 2013-Sep-30


October 2014 17

Markit iBoxx € Corporates rebalance movements

Table 6: Index rebalance stats

After rebalance

Changes due to rebalance

Sub-Index Bonds Weight Yield Duration OAS

Bonds Weight Yield Duration OAS

Corporates 1,529 100% 1.55 4.87 108.36

+24 0.0% 0.02 0.14 -0.21

Non-Financials 934 56.1% 1.53 5.24 99.34

+19 0.3% 0.01 0.12 -0.78

Financials 595 43.9% 1.57 4.40 122.83

+5 -0.3% 0.02 0.14 0.74

AAA 6 0.5% 1.53 7.65 54.35

0 0.0% 0.00 0.00 0.00

AA 152 13.0% 1.09 4.82 59.93

+6 0.2% 0.05 0.22 0.08

A 668 44.6% 1.39 5.08 88.01

+9 0.0% 0.02 0.12 0.85

BBB 703 42.0% 1.88 4.64 149.18

+9 -0.2% 0.01 0.12 -0.90

1-3y 379 26.2% 0.71 1.97 79.32

+1 -0.1% 0.03 0.10 3.70

3-5y 388 24.1% 1.05 3.70 100.55

-1 -0.9% 0.00 0.09 -0.50

5-7y 347 23.0% 1.40 5.48 108.62

+2 -0.1% 0.01 0.09 -0.42

7-10y 295 19.1% 1.83 7.32 115.43

+16 1.0% 0.02 0.07 0.42

10-15y 98 6.2% 2.24 9.91 108.54

+7 0.2% 0.01 0.25 -2.24

15+ 22 1.4% 2.77 13.78 111.50

-1 -0.1% 0.03 0.13 2.31

Markit iBoxx £ Corporates rebalance movements


After rebalance




Corporates 724 100% 4.02 8.07 147.38

-4 0.0% 0.00 0.07 -0.05

Non-Financials 415 59.6% 3.96 8.89 135.10

+1 0.6% 0.00 -0.01 -0.08

Financials 309 40.4% 4.12 6.86 170.74

-5 -0.6% 0.01 0.15 0.06

AAA 5 0.7% 3.40 14.05 53.90

0 0.0% 0.00 0.00 0.00

AA 69 10.6% 3.52 8.85 89.00

-2 -0.5% 0.01 0.40 0.24

A 310 44.8% 3.98 9.00 134.55

0 0.4% 0.00 0.01 -0.12

BBB 340 43.9% 4.25 6.84 185.92

-2 0.0% 0.00 0.05 -0.09

1-3y 120 12.7% 2.36 1.91 136.86

0 -0.3% 0.02 0.12 -1.89

3-5y 116 14.5% 2.98 3.54 146.02

-2 -0.1% 0.00 0.04 -0.85

5-7y 93 11.2% 3.51 5.06 157.92

+1 0.3% 0.01 0.06 -0.61

7-10y 105 14.9% 3.82 6.79 158.43

-1 0.0% 0.01 0.05 0.33

10-15y 122 17.1% 4.13 9.33 157.38

+2 0.7% 0.01 0.11 -0.03

15+ 168 29.6% 4.32 13.99 140.03

-4 -0.6% 0.00 0.08 -0.22


€

£


October 2014 18

Markit iBoxx $ Corporates rebalance movements


After rebalance




Corporates 4,178 100% 3.91 6.60 147.64

+50 0.0% 0.00 0.06 0.11

Non-Financials 2,754 62.3% 4.03 7.44 147.99

+18 -0.3% 0.00 0.04 0.21

Financials 1,424 37.7% 3.64 5.22 146.82

+32 0.3% 0.01 0.11 -0.10

AAA 47 1.0% 3.51 8.69 83.93

-2 -0.1% 0.03 0.41 0.94

AA 478 13.5% 3.39 6.28 100.26

+9 0.1% 0.00 0.06 0.06

A 1,725 43.1% 3.59 6.28 120.18

+20 0.0% 0.01 0.07 0.19

BBB 1,928 42.4% 4.37 6.98 188.47

+23 0.0% 0.00 0.04 0.23

1-3y 896 20.4% 1.50 1.98 78.61

+8 0.3% 0.05 0.11 0.04

3-5y 942 22.9% 2.50 3.65 103.14

+3 -0.5% 0.04 0.07 1.13

5-7y 554 13.2% 3.24 5.23 122.06

+13 0.1% 0.00 0.06 -1.05

7-10y 852 19.5% 3.82 7.13 144.98

+5 0.0% 0.02 0.06 1.42

10-15y 66 1.4% 4.31 9.01 172.06

+12 0.3% -0.05 -0.04 -3.86

15+ 868 22.5% 4.77 13.99 175.57

+9 -0.1% 0.00 0.01 0.20


$


October 2014 19

Markit iBoxx € Corporates rebalancing activity – Sep 14

Table 9: iBoxx € Corporates - Out

ISIN Issuer Sector Rating Maturity Weight Reason

XS0794238583 VOLKSWAGEN LEAS Automobiles & Parts A 15/09/2015 0.07% <1Y

DE000A0T06N0 DAIMLER INTL FIN Automobiles & Parts A 08/09/2015 0.05% <1Y

XS0229593529 ING BANK NV Banks BBB 16/09/2015 0.07% <1Y

XS0538031211 SKANDINAV ENSKIL Banks A 01/09/2015 0.05% <1Y

XS0539845171 LLOYDS BANK PLC Banks A 07/09/2015 0.05% <1Y

FR0010945006 BPCE Banks A 22/09/2015 0.10% <1Y

XS0544720641 CREDIT SUIS GUER Banks BBB 24/09/2015 0.12% <1Y

DE000A1PG3A3 DT PFANDBRIEFBAN Banks BBB 11/09/2015 0.05% <1Y

XS0827818203 UNICREDIT SPA Banks BBB 11/09/2015 0.09% <1Y

XS0829721967 BBVA SENIOR FIN Banks BBB 21/09/2015 0.11% <1Y

XS0541454467 GE CAP EUR FUND Financial Services A 17/09/2015 0.10% <1Y

XS0541608286 LEASEPLAN CORP Financial Services BBB 16/09/2015 0.03% <1Y

XS0230663196 UNILEVER NV Food & Beverage A 29/09/2015 0.05% <1Y

XS0831383194 MAN SE Industrial Goods & Services BBB 21/09/2015 0.03% <500M

XS0177448288 AVIVA PLC Insurance BBB 29/09/2015 0.03% <1Y

XS0385771158 PHILIP MORRIS IN Personal & Household Goods A 04/09/2015 0.05% <1Y

XS0542298012 RWE AG Utilities A 28/09/2015 0.12% <500M

XS0385754733 E.ON INTL FIN BV Utilities A 08/09/2015 0.08% <1Y


Table 10: iBoxx € Corporates - In


XS1105276759 BMW FINANCE NV Automobiles & Parts A 05/09/2022 0.05% New Issue

XS1105264821 BMW FINANCE NV Automobiles & Parts A 05/09/2018 0.07% New Issue

XS1107890763 TOYOTA MTR CRED Automobiles & Parts A 10/09/2021 0.07% New Issue

XS1111858756 FGA CAPITAL IRE Automobiles & Parts BBB 23/10/2019 0.05% New Issue

XS1105680703 UBS AG LONDON Banks A 03/09/2021 0.10% New Issue

DE000DB7XJB9 DEUTSCHE BANK AG Banks A 08/09/2021 0.12% New Issue

XS1107731702 BANK OF AMER CRP Banks BBB 10/09/2021 0.10% New Issue

XS1107727007 CITIGROUP INC Banks A 10/09/2026 0.07% New Issue

XS1109765005 INTESA SANPAOLO Banks BBB 15/09/2026 0.07% New Issue

XS1109743960 MACQUARIE BK LTD Banks A 16/09/2019 0.03% New Issue

XS1110558407 SOCIETE GENERALE Banks BBB 16/09/2021 0.07% New Issue

XS1110449458 JPMORGAN CHASE Banks A 16/09/2021 0.10% New Issue

XS1115208107 MORGAN STANLEY Banks A 30/03/2023 0.08% New Issue

XS1115479559 CREDIT SUISSE LD Banks A 31/01/2022 0.12% New Issue

XS1110430193 GLENCORE FINANCE Basic Resources BBB 18/01/2022 0.05% New Issue

XS1112678559 COCA-COLA CO/THE Food & Beverage AA 22/09/2022 0.05% New Issue

XS1112678989 COCA-COLA CO/THE Food & Beverage AA 22/09/2026 0.08% New Issue

€


October 2014 20

XS1112829947 DIAGEO FIN PLC Food & Beverage A 23/09/2024 0.03% New Issue

XS1112824633 DIAGEO FIN PLC Food & Beverage A 20/04/2019 0.03% New Issue

FR0012173862 PERNOD-RICARD SA Food & Beverage BBB 27/06/2024 0.04% New Issue

FR0012146801 SANOFI Health Care AA 10/09/2026 0.08% New Issue

FR0012146777 SANOFI Health Care AA 10/12/2021 0.07% New Issue

XS1108679645 ALFA LAVAL TREAS Industrial Goods & Services BBB 12/09/2022 0.03% New Issue

XS1109744778 TRANSURBAN FIN Industrial Goods & Services BBB 16/09/2024 0.04% New Issue

XS1111428402 AURIZON NETWORK Industrial Goods & Services BBB 18/09/2024 0.03% New Issue

XS1109950755 CLOVERIE PLC Insurance A 16/09/2024 0.03% New Issue

XS1109836038 HANNOVER RUECKV Insurance A 26/06/2025 0.03% New Issue

XS1110299036 SAMPO OYJ Insurance BBB 16/09/2021 0.03% New Issue

XS1110874820 MET LIFE GLOB Insurance AA 17/09/2021 0.05% New Issue

DE000A13R7Z7 ALLIANZ SE Insurance A 18/09/2024 0.10% New Issue

XS1109741246 BRIT SKY BROADCA Media BBB 15/09/2021 0.10% New Issue

XS1109741329 BRIT SKY BROADCA Media BBB 15/09/2026 0.07% New Issue

XS1112013666 WPP FINANCE Media BBB 22/09/2026 0.05% New Issue

XS1111559768 TOTAL CAP CANADA Oil & Gas AA 18/03/2022 0.07% New Issue

XS1111559925 TOTAL CAP CANADA Oil & Gas AA 18/09/2029 0.10% New Issue

XS1114477133 BP CAPITAL PLC Oil & Gas A 26/09/2022 0.08% New Issue

XS1114473579 BP CAPITAL PLC Oil & Gas A 25/09/2026 0.06% New Issue

FR0012173706 LVMH MOET HENN Personal & Household Goods

A 24/09/2021 0.04% New Issue

FR0012146744 FONCIERE REGIONS Real Estate BBB 10/06/2021 0.03% New Issue

XS1109802303 VODAFONE GROUP Telecommunications BBB 11/09/2020 0.12% New Issue

XS1109802568 VODAFONE GROUP Telecommunications BBB 11/09/2025 0.07% New Issue

XS1112850125 PRICELINE GROUP Travel & Leisure BBB 23/06/2024 0.07% New Issue


Markit iBoxx £ Corporates rebalancing activity – Sep 14

Table 11: iBoxx £ Corporates - Out


XS0230339417 HSBC BANK PLC Banks BBB 29/09/2015 0.14% <1Y

XS0451037062 RABOBANK Banks A 10/09/2015 0.48% Redeemed

XS0790219546 GE CAPITAL UK Financial Services AA 08/09/2015 0.09% Redeemed

XS0230493842 SCOTTISH WIDOWS Insurance BBB 24/09/2015 0.16% <1Y

XS0454936013 QBE INSURANCE Insurance BBB 28/09/2015 0.16% <250M


Table 12: iBoxx £ Corporates - In


FR0012171221 LVMH MOET HENN Personal & Household Goods

A 20/12/2017 0.10% New Issue

£


October 2014 21


Markit iBoxx $ Corporates rebalancing activity – Sep 14

Table 13: iBoxx $ Corporates - Out


US828807BP17 SIMON PROP GROUP Financials A 02/09/2015 0.01% <1Y

US828807BV84 SIMON PROP GP LP Financials BBB 01/12/2016 0.01% <500M

XS0230577941 GAZPROMBANK Financials BBB 23/09/2015 0.02% <1Y

US82460EAA82 SHINHAN BANK Financials BBB 15/09/2015 0.02% <1Y

US06051GED79 BANK OF AMER CRP Financials A 01/09/2015 0.04% <1Y

USN45799AA63 ING BANK NV Financials A 01/09/2015 0.02% <1Y

XS0541403803 DBS BANK LTD/SP Financials AA 14/09/2015 0.02% <1Y

USF8586CAF98 SOCIETE GENERALE Financials A 14/09/2015 0.02% <1Y

US0258M0DA41 AMER EXPRESS CR Financials A 15/09/2015 0.05% <1Y

USJ04237AB91 BK TOKYO-MIT UFJ Financials A 11/09/2015 0.03% <1Y

USC1473XAY60 CAISSE CENT DESJ Financials AA 16/09/2015 0.01% <1Y

US78010XAG60 ROYAL BK SCOTLND Financials A 21/09/2015 0.02% <1Y

US56501RAA41 MANULIFE FIN COR Financials A 17/09/2015 0.01% <1Y

US345397VQ39 FORD MOTOR CRED Financials BBB 15/09/2015 0.02% <1Y

USP1506ADF14 BANCO SANTANDER Financials A 22/09/2015 0.01% <1Y

US6325C1BC26 NATL AUSTRALIABK Financials AA 28/09/2015 0.02% <1Y

US59217FBR10 MET LIFE GLOB Financials AA 29/09/2015 0.02% <1Y

US026874BT38 AIG-CALL10/14 Financials BBB 15/08/2018 0.06% <1Y

US05968LAE20 BCOLO-CALL09/14 Financials 0 10/09/2014 0.00% <1Y

US20271RAB69 COMMONW BK AU NY Financials AA 18/09/2015 0.02% <1Y

US780099CC94 ROYAL BK SCOTLND Financials BBB 18/09/2015 0.05% <1Y

US961214BW22 WESTPAC BANKING Financials AA 25/09/2015 0.03% <1Y

USN45780CR71 ING BANK NV Financials A 25/09/2015 0.03% <1Y

US80282KAB26 SANTANDER HOLD Financials BBB 24/08/2015 0.01% <1Y

US20271BAE56 COM BK AUSTRALIA Financials AAA 18/06/2019 0.03% Reclassified

US74432QBJ31 PRUDENTIAL FIN Financials BBB 17/09/2015 0.02% <1Y

US693476BG73 PNC FUNDING CORP Financials BBB 21/09/2015 0.01% <1Y

US36962G4F89 GEN ELEC CAP CRP Financials AA 21/09/2015 0.01% <1Y

US828807BW67 SIMON PROP GP LP Financials A 02/09/2016 0.02% <500M

US92344GAW69 VERIZON COMM INC Non-Financials BBB 15/09/2015 0.01% <1Y

US94973VAK35 WLP-CALL09/14 Non-Financials 0 11/09/2014 0.00% <1Y

US585055AH96 MEDTRONIC INC Non-Financials A 15/09/2015 0.01% <1Y

US02209SAK96 ALTRIA GROUP INC Non-Financials BBB 11/09/2015 0.02% <1Y

US35177PAU12 FRANCE TELECOM Non-Financials BBB 16/09/2015 0.02% <1Y

US58405UAF93 MEDCO HEALTH SOL Non-Financials BBB 15/09/2015 0.01% <1Y

US428236BC61 HEWLETT-PACK CO Non-Financials A 13/09/2015 0.03% <1Y

XS0540225496 MITSUBISHI CORP Non-Financials BBB 16/09/2015 0.02% <1Y

USY4899GAQ65 KOREA HYDRO & NU Non-Financials AA 16/09/2015 0.01% <1Y

$


October 2014 22

US29364GAE35 ENTERGY CORP Non-Financials BBB 15/09/2015 0.01% <1Y

US02666RAM34 AMER HONDA FIN Non-Financials A 21/09/2015 0.02% <1Y

US594918AG96 MICROSOFT CORP Non-Financials AAA 25/09/2015 0.04% <1Y

US24422ERV38 JOHN DEERE CAP Non-Financials A 04/09/2015 0.01% <1Y

US94973VAZ04 WELLPOINT INC Non-Financials BBB 10/09/2015 0.01% <1Y

USU24652AC00 HARLEY-DAVIDSON Non-Financials A 15/09/2015 0.01% <1Y

USU21180AE13 CLR-EXCH09/14 Non-Financials BBB 01/06/2044 0.02% Redeemed

USU21180AD30 CLR-EXCH09/14 Non-Financials BBB 01/06/2024 0.02% Redeemed

US742718DQ98 PROCTER & GAMBLE Non-Financials AA 01/09/2015 0.01% <1Y

USG46726AA63 HUT WHA INT 0916 Non-Financials A 11/09/2015 0.05% <1Y

US822582AH53 SHELL INTL FIN Non-Financials AA 22/09/2015 0.02% <1Y

US237194AG06 DARDEN RESTAURAN Non-Financials BBB 15/10/2017 0.01% <1Y


Table 14: iBoxx $ Corporates - In


US98105HAC43 WOORI BANK Financials BBB 30/04/2024 0.02% New Issue

XS1105268228 LINK FIN CAYM 09 Financials A 03/09/2024 0.01% New Issue

XS1104029027 CHARMING LIGHT I Financials BBB 03/09/2019 0.01% New Issue

US31677QBC24 FIFTH THIRD BANK Financials A 01/10/2021 0.02% New Issue

US14042E3Z13 CAPITAL ONE NA Financials A 05/09/2017 0.02% New Issue

US14042E4A52 CAPITAL ONE NA Financials A 05/09/2019 0.02% New Issue

US94974BGB09 WELLS FARGO CO Financials A 08/09/2017 0.04% New Issue

US94974BGA26 WELLS FARGO CO Financials A 09/09/2024 0.05% New Issue

XS1103748791 CHINA TAIPING IN Financials BBB 10/09/2019 0.01% New Issue

USJ0423YBT04 BK TOKYO-MIT UFJ Financials A 08/09/2017 0.03% New Issue

USJ0423YBU76 BK TOKYO-MIT UFJ Financials A 08/09/2019 0.03% New Issue

USJ0423YBW33 BK TOKYO-MIT UFJ Financials A 08/09/2021 0.02% New Issue

USJ0423YBX16 BK TOKYO-MIT UFJ Financials A 08/09/2024 0.02% New Issue

US53944VAB53 LLOYDS BANK PLC Financials A 05/09/2019 0.02% New Issue

US6174467Y92 MORGAN STANLEY Financials BBB 08/09/2026 0.05% New Issue

US46625HJY71 JPMORGAN CHASE Financials A 10/09/2024 0.07% New Issue

US828807CS47 SIMON PROP GP LP Financials A 01/10/2024 0.02% New Issue

US345397WT68 FORD MOTOR CRED Financials BBB 08/09/2017 0.02% New Issue

US345397WW97 FORD MOTOR CRED Financials BBB 08/09/2024 0.02% New Issue

US571748AX08 MARSH & MCLENNAN Financials BBB 10/03/2025 0.01% New Issue

XS1107172535 HAITONG 2014 Financials BBB 11/09/2019 0.01% New Issue

US20271RAG56 COMMONW BK AU NY Financials AA 08/09/2017 0.02% New Issue

US20271RAH30 COMMONW BK AU NY Financials AA 06/09/2019 0.03% New Issue

US002799AQ76 ABBEY NATL TREAS Financials A 10/09/2019 0.02% New Issue

XS1107562594 STANDARD CHART Financials A 08/09/2019 0.02% New Issue

XS1107562677 STANDARD CHART Financials A 08/09/2017 0.02% New Issue

XS1108784510 CLOVERIE PLC Financials A 11/09/2024 0.01% New Issue


October 2014 23

US06406HCW79 BANK OF NY MELLO Financials A 11/09/2019 0.03% New Issue

US06406HCX52 BANK OF NY MELLO Financials A 11/09/2024 0.01% New Issue

US06738EAC93 BARCLAYS PLC Financials BBB 11/09/2024 0.03% New Issue

US22546QAP28 CRED SUIS NY Financials A 09/09/2024 0.07% New Issue

US90331HMH39 US BANK NA OHIO Financials AA 11/09/2017 0.03% New Issue

US91159HHK95 US BANCORP Financials A 11/08/2024 0.02% New Issue

US05578UAD63 BPCE Financials BBB 15/03/2025 0.03% New Issue

XS1110651012 ADCB FINANCE CAY Financials A 16/09/2019 0.01% New Issue

US00912XAP96 AIR LEASE CORP Financials BBB 15/01/2018 0.01% New Issue

US00912XAN49 AIR LEASE CORP Financials BBB 15/09/2024 0.01% New Issue

US50248XAC83 CAISSE CENT DESJ Financials AA 12/09/2017 0.02% New Issue

USU94299AD35 WEA FINANCE LLC/ Financials BBB 17/03/2044 0.01% New Issue

USU94299AB78 WEA FINANCE LLC/ Financials BBB 17/08/2019 0.03% New Issue

USU94299AA95 WEA FINANCE LLC/ Financials BBB 15/09/2017 0.02% New Issue

USU94299AC51 WEA FINANCE LLC/ Financials BBB 17/09/2024 0.02% New Issue

XS1111112782 UNITED OVERSEAS Financials AA 18/03/2020 0.01% New Issue

US45112FAG19 ICICI BANK/DUBAI Financials BBB 18/03/2020 0.01% New Issue

US115236AA91 BROWN & BROWN Financials BBB 15/06/2024 0.01% New Issue

US69353RDY18 PNC BANK NA Financials A 18/10/2017 0.01% New Issue

US69353RDZ82 PNC BANK NA Financials A 18/10/2019 0.01% New Issue

US03076CAG15 AMERIPRISE FINL Financials A 15/10/2024 0.01% New Issue

USU87602AW53 TEACHERS INS&ANN Financials AA 15/09/2044 0.04% New Issue

XS1112841561 JANY SUKUK Financials A 23/09/2019 0.01% New Issue

USP3143KEZ95 CORPBANCA Financials BBB 22/09/2019 0.02% New Issue

US00182FAV85 ANZ NZ INTL/LDN Financials AA 23/09/2019 0.01% New Issue

US0258M0DR75 AMERICAN EXPRESS Financials A 22/09/2017 0.02% New Issue

USJ46186AX06 MIZUHO BANK LTD Financials A 25/09/2024 0.01% New Issue

USJ46186AU66 MIZUHO BANK LTD Financials A 25/09/2019 0.02% New Issue

USJ46186AS11 MIZUHO BANK LTD Financials A 25/09/2017 0.01% New Issue

US07330MAA53 BRANCH BKG & TR Financials A 30/09/2026 0.02% New Issue

US20451PKN59 COMPASS BANK Financials BBB 29/08/2019 0.01% New Issue

US002799AR59 ABBEY NATL TREAS Financials A 29/09/2017 0.01% New Issue

XS0611586263 CITIC LTD Non-Financials BBB 15/04/2021 0.01% New Issue




US212015AN15 CONTINENTAL RESO Non-Financials BBB 01/06/2024 0.02% New Issue

US212015AQ46 CONTINENTAL RESO Non-Financials BBB 01/06/2044 0.02% New Issue

XS1102905608 MCC HLDNG HK CP Non-Financials A 28/08/2017 0.01% New Issue

US56585AAG76 MARATHON PETRO Non-Financials BBB 15/09/2024 0.02% New Issue

US56585AAH59 MARATHON PETRO Non-Financials BBB 15/09/2044 0.02% New Issue

US72650RBF82 PLAINS ALL AMER Non-Financials BBB 01/11/2024 0.02% New Issue

US02665WAH43 AMERICAN HONDA F Non-Financials A 15/08/2019 0.02% New Issue

US494550BV76 KINDER MORGAN EN Non-Financials BBB 01/09/2024 0.02% New Issue


October 2014 24

US494550BW59 KINDER MORGAN EN Non-Financials BBB 01/09/2044 0.01% New Issue

US279158AK55 ECOPETROL SA Non-Financials BBB 16/01/2025 0.03% New Issue

US260543CJ01 DOW CHEMICAL CO Non-Financials BBB 01/10/2024 0.02% New Issue

US260543CK73 DOW CHEMICAL CO Non-Financials BBB 01/10/2034 0.01% New Issue

US260543CL56 DOW CHEMICAL CO Non-Financials BBB 01/10/2044 0.01% New Issue

USP57908AF58 MEXICHEM SAB Non-Financials BBB 17/09/2044 0.02% New Issue

USG15632AQ89 BRIT SKY BROADCA Non-Financials BBB 16/09/2019 0.02% New Issue

USG15632AP07 BRIT SKY BROADCA Non-Financials BBB 16/09/2024 0.03% New Issue

US24422ESR17 JOHN DEERE CAP Non-Financials A 15/12/2017 0.01% New Issue

US24422ESS99 JOHN DEERE CAP Non-Financials A 16/09/2019 0.01% New Issue

USU88803AB46 21ST CENTURY FOX Non-Financials BBB 15/09/2044 0.01% New Issue

USU88803AA62 21ST CENTURY FOX Non-Financials BBB 15/09/2024 0.01% New Issue

XS1107634682 CHINA GREAT WALL Non-Financials A 17/09/2017 0.01% New Issue

USP58072AK83 INVERSIONES CMPC Non-Financials BBB 15/09/2024 0.01% New Issue

USU24652AD82 HARLEY-DAVIDSON Non-Financials A 15/09/2019 0.01% New Issue

USK0479SAB45 AP MOELLER Non-Financials BBB 22/09/2019 0.02% New Issue

USK0479SAC28 AP MOELLER Non-Financials BBB 22/06/2024 0.01% New Issue

US444859BD30 HUMANA INC Non-Financials BBB 01/10/2024 0.01% New Issue

US444859BE13 HUMANA INC Non-Financials BBB 01/04/2044 0.02% New Issue

US92936MAF41 WPP FINANCE 2010 Non-Financials BBB 19/09/2024 0.02% New Issue

US884903BU81 THOMSON REUTERS Non-Financials BBB 29/09/2017 0.01% New Issue

USU65354AF68 NIAGARA MOHAWK Non-Financials A 01/07/2024 0.01% New Issue

USU75000BB19 ROCHE HLDGS INC Non-Financials AA 29/09/2017 0.02% New Issue

USU75000BA36 ROCHE HLDGS INC Non-Financials AA 29/09/2021 0.03% New Issue

USU75000AZ95 ROCHE HLDGS INC Non-Financials AA 30/09/2019 0.03% New Issue

USU75000BD74 ROCHE HLDGS INC Non-Financials AA 30/06/2024 0.03% New Issue

USP84050AC02 SAMARCO MINERACA Non-Financials BBB 26/09/2024 0.01% New Issue

US29358QAC33 ENSCO PLC Non-Financials BBB 01/07/2024 0.01% New Issue

US29358QAD16 ENSCO PLC Non-Financials BBB 01/04/2024 0.01% New Issue



October 2014 25

Fixed income market

Analysis and trends


October 2014

26

€ Fixed income return attribution

Table 15: Return attribution (bps) Total Return = Income Return + Price Return + Residual Return Price Return = Duration Return + Credit Return + Calendar Return + Option Return + Redemption Return Duration Return = 1-5Y + 6-10Y + 15+Y Credit Return = Sector Return + Issuer Return

Index Weight Total Return

Income Return

Price Return

Curve Spread Calendar Return

Option Return

Redemp tion

Residual Return Duration

Return 1-5Y 6-10Y 15+Y

Credit Return

Sector Return

Issuer Return

€ Overall 100.00% 14.39 27.26 -12.71 -18.84 8.26 -5.17 -21.93 20.99 11.92 9.07 -14.83 -0.03 0.00 -0.16

€ Sovereigns 59.73% 8.16 26.82 -18.10 -30.40 7.70 -5.67 -32.43 26.37 15.50 10.87 -14.06 0.00 0.00 -0.56

€ Sub-Sovereigns 13.47% 4.78 22.97 -17.34 -6.92 8.81 -5.06 -10.66 2.95 -0.18 3.13 -13.37 0.00 0.00 -0.85

€ Collateralized 9.90% 61.15 23.30 36.88 3.82 9.54 -3.53 -2.18 46.87 40.37 6.50 -13.82 0.00 0.00 0.97

€ Corporates 16.89% 16.97 34.62 -18.78 -0.45 9.08 -4.42 -5.11 1.16 -7.76 8.93 -19.32 -0.18 0.00 1.13

€ Financials 7.52% 14.77 37.44 -24.46 1.69 9.69 -3.56 -4.45 -3.98 -17.62 13.64 -22.17 0.00 0.00 1.79

€ Non-Financials 9.37% 18.72 32.39 -14.28 -2.15 8.59 -5.11 -5.63 5.25 0.06 5.18 -17.06 -0.32 0.00 0.61

€ Corporates AAA 0.08% 16.21 0.00 17.11 -27.27 5.24 -4.99 -27.53 27.74 25.11 2.63 17.08 -0.43 0.00 -0.90

€ Corporates AA 2.16% 29.19 15.52 14.39 2.36 9.42 -4.08 -2.98 16.75 10.60 6.15 -4.71 0.00 0.00 -0.72

€ Corporates A 7.59% 22.04 37.35 -16.43 -1.78 8.69 -5.02 -5.45 8.93 1.20 7.73 -23.20 -0.38 0.00 1.13

€ Corporates BBB 7.06% 7.94 37.90 -31.68 0.42 9.43 -3.89 -5.12 -12.05 -23.16 11.10 -20.04 -0.01 0.00 1.72


€


October 2014 27

£ Fixed income return attribution

Table 16: Return attribution (bps) Total Return = Income Return + Price Return + Residual Return Price Return = Duration Return + Credit Return + Calendar Return + Option Return+ Redemption Return Duration Return = 1-5Y + 6-10Y + 15+Y Credit Return = Sector Return + Issuer Return


Income Return

Price Return


Option Return

Redemp tion



Credit Return

Sector Return

Issuer Return

£ Overall 100.00% -61.49 70.71 -133.37 -79.20 -7.57 -16.79 -54.85 -7.82 -7.33 -0.49 -45.78 0.00 -0.56 1.17

£ Gilts 67.91% -65.41 82.16 -148.01 -86.10 -7.76 -16.28 -62.06 -1.56 -1.76 0.20 -60.34 0.00 0.00 0.44

£ Sub-Sovereigns 6.74% -32.06 29.64 -62.22 -56.51 -8.63 -11.85 -36.03 1.85 0.94 0.91 -7.56 0.00 0.00 0.52

£ Collateralized 4.34% -64.61 49.86 -123.77 -72.76 -5.08 -24.14 -43.54 -27.11 -20.31 -6.80 -14.65 0.00 -9.25 9.30

£ Corporates 20.75% -58.23 51.35 -111.76 -64.88 -7.15 -18.46 -39.27 -28.58 -25.87 -2.71 -17.50 0.00 -0.80 2.17

£ Financials 8.57% -60.05 54.34 -117.11 -52.58 -7.65 -17.16 -27.77 -44.20 -42.71 -1.49 -19.93 0.00 -0.40 2.72

£ Non-Financials 12.18% -56.96 49.27 -108.02 -73.46 -6.81 -19.36 -47.29 -17.69 -14.13 -3.55 -15.80 0.00 -1.07 1.80

£ Corporates AAA 0.14% -93.30 0.00 -91.09 -130.08 -3.17 -25.97 -100.94 10.37 10.09 0.28 28.62 0.00 0.00 -2.21

£ Corporates AA 2.30% -43.42 57.84 -102.02 -69.86 -7.28 -16.29 -46.29 -2.18 -2.59 0.41 -29.99 0.00 0.00 0.76

£ Corporates A 9.33% -64.10 59.25 -124.83 -75.01 -6.77 -18.20 -50.04 -22.60 -22.42 -0.18 -25.80 0.00 -1.42 1.48

£ Corporates BBB 8.98% -55.47 42.49 -101.26 -52.32 -7.57 -19.16 -25.59 -41.94 -35.84 -6.11 -6.62 0.00 -0.38 3.31


£


October 2014 28

$ Fixed income return attribution

Table 17: Return attribution (bps) Total Return = Income Return + Price Return + Residual Return Price Return = Duration Return + Credit Return + Calendar Return + Option Return+ Redemption Return Duration Return = 1-5Y + 6-10Y + 15+Y Credit Return = Sector Return + Issuer Return


Income Return

Price Return


Option Return

Redemp tion



Credit Return

Sector Return

Issuer Return

$ Overall 100.00% -83.44 21.48 -108.11 -81.05 -23.46 -33.16 -24.43 -28.35 -20.67 -7.68 2.84 -0.33 -1.23 3.20

$ Treasuries 58.50% -61.17 6.46 -67.20 -80.27 -24.27 -31.26 -24.74 -0.10 0.13 -0.24 13.17 0.00 0.00 -0.42

$ Sub-Sovereigns 8.82% -25.26 25.17 -52.36 -49.39 -25.72 -17.09 -6.58 3.86 3.45 0.41 -6.63 -0.21 0.00 1.94

$ Covered 0.69% -12.59 30.25 -44.96 -30.54 -26.05 -2.68 -1.81 -1.52 -2.19 0.67 -12.90 0.00 0.00 2.12

$ Corporates 29.16% -136.50 46.06 -192.36 -91.22 -21.51 -40.92 -28.78 -84.92 -71.43 -13.49 -11.50 -0.71 -4.01 9.80

$ Financials 10.88% -93.75 38.58 -137.59 -72.46 -24.08 -33.57 -14.81 -55.25 -49.44 -5.80 -6.10 -0.52 -3.26 5.26

$ Non-Financials 18.28% -161.88 50.49 -224.87 -102.36 -19.99 -45.29 -37.08 -102.53 -84.48 -18.05 -14.71 -0.82 -4.45 12.50

$ Corporates AAA 0.31% -113.56 26.77 -156.20 -110.39 -24.43 -39.10 -46.87 -45.90 -30.23 -15.67 0.27 -0.18 0.00 15.87

$ Corporates AA 3.93% -102.22 37.00 -143.06 -85.82 -22.66 -36.40 -26.76 -45.98 -41.93 -4.05 -11.11 -0.15 0.00 3.85

$ Corporates A 12.66% -124.27 36.21 -170.41 -86.17 -23.02 -36.60 -26.55 -75.28 -63.85 -11.44 -8.48 -0.49 0.00 9.93

$ Corporates BBB 12.26% -160.20 59.31 -230.91 -97.54 -19.56 -46.76 -31.22 -107.87 -89.39 -18.48 -14.97 -1.11 -9.42 11.40


$


October 2014

29

Figure 27: Return attribution for current month (bps) – € Non-Financials and Financials

32

-2

5

-17

0

0

19

37

2

-4

-22

0 0

15

-30

-20

-10

0

10

20

30

40

50

Income Return Duration Return Credit Return Calendar Return Option Return Redemp tion Total Return

€ Non-Financials € Financials

Figure 28: Return attribution by months (bps) - € Corporates

28 2831

26

12

35

24

66

34

20

91

0

48

8 9 911

1

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14

Income Return Duration Return Credit Return


€


October 2014 30

Figure 29: Return attribution for current month (bps) – £ Non-Financials and Financials

49

-73

-18 -16

0 -1

-57

54

-53

-44

-20

0 0

-60

-80

-60

-40

-20

0

20

40

60

80

Income Return Duration Return Credit Return Calendar Return Option Return Redemption Total Return

£ Non-Financials £ Financials

Figure 30: Return attribution by months (bps) - £ Corporates monthly

44 41

63 64

14

5135

61

-79

57

261

-65

56

38

10

-41

-18-29

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

250.00

300.00




£


October 2014 31

Figure 31: Return attribution for current month (bps) – $ Non-Financials and Financials

50

-102 -103

-15

-1 -4

-162

39

-72

-55

-6-1 -3

-94

-200

-150

-100

-50

0

50

100

Income Return Duration Return

Credit Return Calendar Return

Option Return Redemption Return

Total Return

$ Non-Financials $ Financials

Figure 32: Return attribution by months (bps) - $ Corporates monthly

4034

26

68

344644

109

-35 -31

128

-91

12 14

-8 -11 -11

-85

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00




$


October 2014 32

Key rate duration and attribution – € Corporates

Figure 33: Key rate duration at beginning of Sep-14

1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

KRD 0.05 0.20 0.42 0.44 0.52 0.60 0.51 0.45 0.35 0.53 0.27 0.10 0.05 0.06

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

Bp

s

Figure 34: Yield curve shifts for Sep-14 at key rates

1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

RF Delta -15.23 -11.28 -7.63 -4.44 -1.86 0.01 1.30 2.18 2.81 3.37 7.27 12.20 16.65 19.13

-20

-15

-10

-5

0

5

10

15

20

25

Bp

s

Figure 35: Return attribution for Sep-14 by key rates

1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

Return 0.74 2.24 3.18 1.95 0.96 -0.01 -0.66 -0.98 -0.98 -1.79 -1.93 -1.20 -0.80 -1.19

-3

-2

-1

0

1

2

3

4

Bp

s


€


October 2014 33

Key rate duration and attribution – £ Corporates


1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

KRD 0.08 0.18 0.25 0.32 0.38 0.34 0.39 0.40 0.39 1.03 1.45 1.00 0.85 0.63

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

Bp

s


1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

RF Delta 5.41 5.58 5.76 5.97 6.20 6.46 6.75 7.05 7.36 7.66 8.98 10.00 10.76 11.34

0

2

4

6

8

10

12

Bp

s


1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

Return -0.45 -1.00 -1.46 -1.91 -2.33 -2.19 -2.62 -2.84 -2.90 -7.90 -13.03 -10.04 -9.11 -7.10

-14

-12

-10

-8

-6

-4

-2

0

Bp

s


£


October 2014 34

Key rate duration and attribution – $ Corporates


1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

KRD 0.10 0.25 0.40 0.46 0.43 0.40 0.43 0.50 0.46 0.46 0.52 0.64 0.80 0.52

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

Bp

s


1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

RF Delta 3.24 7.80 11.87 15.20 17.55 18.77 19.03 18.60 17.74 16.73 13.00 11.33 11.03 11.43

0

2

4

6

8

10

12

14

16

18

20

Bp

s


1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 15Y 20Y 25Y 30Y

Return -0.32 -1.92 -4.69 -7.01 -7.57 -7.43 -8.27 -9.38 -8.12 -7.73 -6.82 -7.28 -8.78 -5.91

-10

-9

-8

-7

-6

-5

-4

-3

-2

-1

0

Bp

s


$


October 2014

35

€ Fixed income stress test

Table 18: Stress test The table shows how much each index will move in the following scenarios (in bps)

Yield curve shift: Shift up – All key rates 1-30yr (+ 100 bps) Steepener - key rates 1-5 yr (+ 50 bps), key rates 10,15,20,25,30 yr (- 50 bps) Butterfly - key rates 1-5 yr (+ 50 bps), key rates 6-9 yr (- 50 bps), key rates 10,15,20,25,30 yr (+ 50 bps)

Highest historical shift – biggest monthly historical shift of the yield curve for the past 12 months

Spreads shift: Shift up: BBB bonds (+ 100 bps), A bonds (+ 85 bps), AA bonds (+ 52 bps), AAA bonds (- 42 bps) – based on 1 year rolling correlation between spreads

Overall Sovereigns Sub-

Sovereigns Collateralized Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up

-579.3 -657.7 -518.9 -399.9 -453.5 -403.7 -493.2 -760.1 -438.5 -475.9 -430.8

Steepener

-47.5 -97.2 4.1 50.8 30.7 46.0 18.6 -136.9 35.9 20.5 41.9

Butterfly

-101.5 -143.1 -57.5 -20.9 -35.7 -40.8 -31.7 -132.2 -22.3 -31.0 -43.6

Highest historical shift

-214.9 -245.3 -192.6 -143.3 -166.3 -143.7 -184.2 -299.7 -159.8 -176.6 -155.7

Spreads

Shift up

-107.4 -117.8 73.7 113.8 -345.5 -288.8 -390.4 679.4 -173.4 -325.1 -430.8


€


October 2014 36

£ Fixed income stress test



Highest historical shift – biggest historical shift of the yield curve for the past 12 months

Spreads shift: Shift up: BBB bonds (+ 100 bps), A bonds (+ 97 bps), AA bonds (+ 99 bps), AAA bonds (+ 95 bps) – based on 1 year rolling correlation between spreads

Overall Gilts Sub-

Sovereigns Collateralized Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up -893.1 -952.9 -677.3 -860.6 -769.5 -648.1 -854.2 -1356.8 -813.8 -862.4 -654.9

Steepener -245.8 -272.6 -140.9 -256.6 -187.3 -114.5 -238.0 -550.7 -205.3 -249.7 -113.7

Butterfly -301.6 -331.0 -240.8 -255.3 -232.2 -164.4 -279.5 -530.6 -250.8 -297.5 -156.5

Highest historical shift -451.3 -464.8 -366.2 -490.1 -424.7 -368.3 -464.0 -617.0 -436.8 -460.0 -382.8

Spreads

Shift up -787.7 -879.6 -523.5 -668.6 -590.7 -499.5 -654.4 -933.2 -751.3 -482.3 -654.9


£


October 2014 37

$ Fixed income stress test



Highest historical shift – biggest historical shift of the yield curve for the past 12 months

Spreads shift: Shift up: BBB bonds (+ 100 bps), A bonds (+ 96 bps), AA bonds (+ 99 bps), AAA bonds (+ 95 bps) – based on 1 year rolling correlation between spreads

Overall Treasuries Sub-

Sovereigns Covered Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up -576.5 -575.8 -363.4 -265.7 -636.8 -499.4 -718.3 -800.8 -607.0 -606.8 -672.2

Steepener -31.6 -28.3 73.1 109.1 -65.4 11.3 -110.9 -155.6 -48.2 -46.7 -87.5

Butterfly -141.3 -147.6 -104.3 -119.6 -139.2 -102.4 -161.0 -255.4 -143.5 -142.0 -132.1

Highest historical shift -309.0 -304.8 -174.8 -96.7 -353.6 -271.4 -402.4 -440.4 -331.4 -331.7 -380.4

Spreads

Shift up -511.8 -479.4 -315.0 -225.5 -623.4 -486.8 -704.4 -666.8 -565.1 -592.0 -672.2


$


October 2014

38

Relative value opportunities in € Financials

Figure 42: € Financial AA sector curve

0

0.5

1

1.5

2

2.5

3

3.5

0 5 10 15 20 25 30

Yie

ld

Maturity

Yield Curve

Table 21: Top/Bottom 5 bonds according to distance to curve

Bottom 5

ISIN Name TTM OAS

XS0986102605 IND BK OF KOREA 4.08 92

XS0491922828 BNZ INTL FUND/LN 2.43 59

XS0935287275 BNZ INTL FUND/LN 3.64 66

XS0300966495 MET LIFE GLOB 2.62 54

XS0873665706 MET LIFE GLOB 8.28 72

Top 5

ISIN Name TTM OAS

XS0350890470 GE CAP EUR FUND 23.41 103

XS0526606537 HSBC BANK PLC 6.29 51

XS0525602339 RABOBANK 10.78 50

XS0525146907 NATL AUSTRALIABK 5.78 53

DE000A1HG1J8 ALLIANZ FINANCE 3.45 39

Figure 43: € Financial A sector curve

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0 5 10 15 20 25 30

Yie

ld

Maturity

Yield Curve

Table 22: Top/Bottom 5 bonds according to distance to curve

Bottom 5

ISIN Name TTM OAS

AT0000A12GN0 VIENNA INSURANCE 9.02 355

XS0253627136 SWISS RE 1.65 256

XS0211637839 ALLIANZ FINANCE 2.38 258

XS0491211644 GE CAP TRUST II 2.96 259

XS0319639232 GEN ELEC CAP CRP 2.96 257

Top 5

ISIN Name TTM OAS

XS0802756683 SOCIETE GENERALE 7.78 47

XS0765299572 ABN AMRO BANK NV 7.49 64

XS0819130302 BANQ FED CRD MUT 7.89 65

DE000DB5DCS4 DEUTSCHE BANK AG 8.28 66

XS0748187902 ING BANK NV 7.39 67


€


October 2014 39

Figure 44: € Financial BBB sector curve

0

1

2

3

4

5

6

7

0 5 10 15

Yie

ld

Maturity

Yield Curve

Table 23: Top/Bottom 5 bonds according to distance

to curve Bottom 5

ISIN Name TTM OAS

XS1034950672 RAIFFEISEN BK IN 5.39 646

XS0987109658 GAZPROMBANK 4.08 543


XS1084024584 GAZPROMBANK 4.75 518


Top 5

ISIN Name TTM OAS

XS1110299036 SAMPO OYJ 6.96 93

XS1107731702 BANK OF AMER CRP 6.94 94

XS1062493934 AON PLC 11.37 109

DE000A1ZLUN1 DEUTSCHE ANN FIN 7.77 113

XS0986194883 INTESA SANPAOLO 9.08 124

Relative value opportunity trades in £ and $ fixed income markets currently unavailable

Figure 45: € Financial BB sector curve

0

5

10

15

20

25

30

35

40

0 2 4 6 8 10 12

Yie

ldMaturity

Yield Curve

Table 24: Top/Bottom 5 bonds according to distance to curve Bottom 5

ISIN Name TTM OAS

XS0418134663 SANTANDER FINANC 4.46 3609

XS0418134663 SANTANDER FINANC 4.46 3609

XS0253262025 RZB FIN JERSEY 1.63 1312

BE0930906947 ETHIAS 1.22 833

FR0010533414 GROUPAMA SA 3.06 605

Top 5

ISIN Name TTM OAS

ES03136793B0 BANKINTER SA 4.69 127

ES0313307003 BANKIA 4.30 161

ES0214977094 BANCAJA 1.34 120

XS1014670233 BANK OF IRELAND 4.29 193

XS0880063994 BANCO POPOLARE 1.33 166


€


October 2014

40

Fixed income market

ETF market activity


October 2014 41

ETF product launch activity Table 25: Europe fixed income ETF launches

Launch date ETF Name Ticker Provider Type

16/09/2014 Amundi FLOATING RATE EURO CORPORATE 1-3 UCITS ETF

AFRN Amundi ETF Corporate

Table 26: US fixed income ETF launches

Launch date ETF Name Ticker Provider Type

04/09/2014 FlexShares Disciplined Duration MBS Index Fund MBSD FlexShares Asset Backed

10/09/2014 PowerShares LadderRite 0-5 Year Corporate Bond Portfolio LDRI PowerShares - US Corporate

Fixed income ETF cash flows Table 27: Fixed income ETF cash flows by sector All figures in $ million except otherwise stated

Sep-14

YTD

Type Europe* USA* Asia* Total

Europe* USA* Asia* Total

Broad Market 294 2,719 9 3,022

1,653 10,757 39 12,449

Sovereigns 300 (4,840) 2 (4,537)

10,744 6,934 (32) 17,646

Sub-Sovereigns 0 355 42 397

0 2,042 65 2,106

Corporates IG 187 155 (34) 308

5,791 6,932 (224) 12,500

Covered 148 3 0 152

690 (16) 0 674

Convertible 57 70 0 128

0 782 0 782

High Yield (479) (233) 0 (713)

141 (111) 18 48

Loans 0 (348) 0 (348)

0 343 0 343

Asset Backed 0 558 0 558

6 1,527 0 1,533

CDS (50) 0 0 (50)

(291) 16 0 (275)

Inflation (67) (578) 2 (643)

535 265 7 807

Money Market (294) 0 (39) (333)

(261) 0 752 491

Preferred Stock 0 7 0 7

0 1,797 8 1,804

Yield-Curve Strategy 0 0 0 0

0 0 0 0

Total 96 (2,131) (18) (2,053)

19,009 31,267 633 50,909

* Listing Region Source: Markit ETP Analytics


October 2014 42

Fixed income ETF issuers by AUM

Table 28: Top 10 Fixed income ETF issuers by AUM and regions All figures in $ million except otherwise stated

Europe

US

Issuer AUM Share

Issuer AUM Share

iShares - Europe 59,052 59.5%

iShares - US 141,202 48.3%

db x-trackers - Europe 12,429 12.5%

Vanguard - US 61,141 20.9%

Lyxor 7,815 7.9%

SPDR ETFs - US 31,936 10.9%

Source ETF 5,722 5.8%

PowerShares - US 15,540 5.3%

Amundi ETF 4,081 4.1%

PIMCO ETFs 13,365 4.6%

SPDR ETFs - Europe 3,563 3.6%

Guggenheim Funds 6,799 2.3%

Deka ETFs 3,388 3.4%

ProShares ETFs 6,766 2.3%

ComStage ETFs 1,417 1.4%

Market Vectors 4,292 1.5%

UBS ETF - Europe 787 0.8%

FlexShares 2,549 0.9%

Think Capital 602 0.6%

Charles Schwab 2,233 0.8%

Others 420 0.4%

Others 6,416 2.2%

Total 99,276 100.0%

Total 292,239 100.0%

Asia

Total

Issuer AUM Share

Issuer AUM Share

SSgA Asia ETFs 3,080 35.4%

BlackRock 200,548 50.1%

Kodex Korea ETFs 1,233 14.2%

Vanguard 61,190 15.3%

BetaShares Australia ETFs 529 6.1%

State Street 38,596 9.6%

Tiger Korea 488 5.6%

PowerShares 15,862 4.0%

KStar Korea ETFs 452 5.2%

PIMCO 13,365 3.3%

Nikko Singapore ETFs 399 4.6%

Deutsche Bank 12,567 3.1%

HSBC - Hong Kong 379 4.4%

Société Générale 7,815 2.0%

KOSEF Korea ETFs 335 3.9%

Guggenheim Investments 6,799 1.7%

Arirang Korea ETFs 277 3.2%

ProShares 6,766 1.7%

AmInvestment Malaysia ETFs 212 2.4%

Source 5,722 1.4%

Others 1,310 15.1%

Others 30,979 7.7%

Total 8,693 100.0%

Total 400,208 100.0%



October 2014 43

Fixed income ETFs by inflow and outflow

Table 29: Europe top 10 fixed income ETF by inflows during last month All figures in $ million except otherwise stated

ETF Name Ticker Issuer Sep-14 Flows

YTD Flows

db x-trackers II IBOXX Sovereigns Eurozone Yield + 1-3 ETF UCITS ETF XYP1 Deutsche Bank 247 550

iShares $ Treasury Bond 1-3yr UCITS ETF IDBT BlackRock 204 927

Amundi ETF Govt Bond EuroMTS Broad Investment Grade 5-7 UCITS ETF C53 Amundi 183 229

LYXOR UCITS ETF Daily Double Short 10Y US Treasury - C - USD DSUS Société Générale

171 229

LYXOR UCITS ETF EUROMTS 5-7Y INVESTMENT GRADE (DR) LMTC Société Générale

161 113

iShares Euro Corporate Bond UCITS ETF IEAC BlackRock 161 1,592

iShares Euro Corporate Bond ex-Financials 1-5yr UCITS ETF IEX5 BlackRock 147 489

PIMCO US Dollar Short Maturity Source UCITS ETF MINT Source 138 743

PIMCO Euro Short Maturity Source UCITS ETF PJS1 Source 138 874

iShares $ Treasury Bond 7-10yr UCITS ETF IDTM BlackRock 108 202

Table 30: US top 10 fixed income ETF by inflows in last month All figures in $ million except otherwise stated


YTD Flows

Vanguard Total Bond Market ETF BND Vanguard 1,347 4,299

iShares Core U.S. Aggregate Bond ETF AGG BlackRock 1,123 3,538

iShares MBS ETF MBB BlackRock 464 1,283

Vanguard Total International Bond Index Fund BNDX Vanguard 382 1,135

Vanguard Short-Term Corporate Bond Index Fund VCSH Vanguard 255 1,217

Vanguard Short-Term Bond ETF BSV Vanguard 240 962

iShares Short Treasury Bond ETF SHV BlackRock 198 (320)

iShares iBoxx $ High Yield Corporate Bond ETF HYG BlackRock 172 (2,446)

iShares Intermediate Credit Bond ETF CIU BlackRock 164 744

Vanguard Intermediate-Term Bond ETF BIV Vanguard 160 366



October 2014 44

Table 31: Europe top 10 fixed income ETF by outflows during last month All figures in $ million except otherwise stated


YTD Flows

Think iBoxx Government Bond UCITS ETF TGBT ThinkCapital (917) #N/A

Think iBoxx Corporate Bond UCITS ETF TCBT ThinkCapital (458) #N/A

iShares Euro High Yield Corporate Bond UCITS ETF IHYG BlackRock (434) (22)

Think iBoxx AAA-AA Government Bond UCITS ETF TAT ThinkCapital (340) #N/A

iShares Euro Corporate Bond ex-Financials UCITS ETF IEXF BlackRock (174) (74)

db x-trackers II Fed Funds Effective Rate UCITS ETF DXSZ Deutsche Bank

(116) 193

iShares Euro Government Bond 3-5yr UCITS ETF IBGX BlackRock (111) 17

Deka iBoxx EUR Liquid Sovereign Diversified 3-5 UCITS ETF EL4T Deka ETFs (105) 24

db x-trackers II EONIA UCITS ETF DBXT Deutsche Bank

(104) (126)

iShares eb.rexx Government Germany UCITS ETF (DE) EXHA BlackRock (96) (0)

Table 32: US top 10 fixed income ETF by outflows during last month All figures in $ million except otherwise stated


YTD Flows

iShares 7-10 Year Treasury Bond ETF IEF BlackRock (2,666) 1,220

ProShares Ultra 7-10 Year Treasury UST ProShares (879) 49

iShares 1-3 Year Treasury Bond ETF SHY BlackRock (752) 43

iShares TIPS Bond ETF TIP BlackRock (610) (365)

PIMCO Total Return Exchange-Traded Fund BOND PIMCO (543) (625)

iShares 3-7 Year Treasury Bond ETF IEI BlackRock (451) 687

PowerShares Senior Loan Portfolio ETF BKLN PowerShares

(354) 162

iShares iBoxx $ Investment Grade Corporate Bond ETF LQD BlackRock (306) 997

iShares 20+ Year Treasury Bond ETF TLT BlackRock (241) 1,363

SPDR Barclays High Yield Bond ETF JNK State Street (214) (994)



October 2014 45

Fixed income ETFs by assets

Table 33: Europe top 20 fixed income ETFs by assets All figures in $ million except otherwise stated

ETF Name Ticker Issuer Type AUM Turnover

iShares Euro Corporate Bond UCITS ETF IEAC iShares - Europe Corporate 5,083 210

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ iShares - Europe Corporate 4,510 171

iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF IEMB iShares - Europe Sovereign 4,228 557

iShares $ Treasury Bond 1-3yr UCITS ETF IDBT iShares - Europe Treasury 3,192 159

iShares Euro High Yield Corporate Bond UCITS ETF IHYG iShares - Europe High Yield 3,097 454

iShares Euro Corporate Bond ex-Financials UCITS ETF IEXF iShares - Europe Corporate 2,277 92

iShares Euro Government Bond 3-5yr UCITS ETF IBGX iShares - Europe Government 2,244 81

PIMCO US Dollar Short Maturity Source UCITS ETF MINT Source ETF Government 2,148 32

db x-trackers II iBoxx EUR Sovereigns Euro Yield Plus UCITS ETF

XY4P db x-trackers - Europe

Government 2,036 102

PIMCO Euro Short Maturity Source UCITS ETF PJS1 Source ETF Broad Market 1,930 6

Amundi EX AAA Government Bond EuroMTS Investment Grade UCITS ETF

X1G Amundi ETF Government 1,907 93

iShares Emerging Markets Local Government Bond UCITS ETF IEML iShares - Europe Government 1,897 94

iShares £ Corporate Bond UCITS ETF SLXX iShares - Europe Investment Grade

1,804 200

iShares $ Corporate Bond UCITS ETF LQDE iShares - Europe Investment Grade

1,689 172

iShares UK Gilts UCITS ETF IGLT iShares - Europe Government 1,641 210

iShares Euro Aggregate Bond UCITS ETF IEAG iShares - Europe Broad Market 1,636 110

SPDR Barclays Emerging Markets Local Bond UCITS ETF SYBM SPDR ETFs - Europe


iShares Euro Covered Bond UCITS ETF ICOV iShares - Europe Covered Bond

1,485 21

iShares UK Gilts 0-5yr UCITS ETF IGLS iShares - Europe Government 1,393 235

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF DBXN db x-trackers - Europe




October 2014 46

Table 34: US top 20 fixed income ETFs by assets All figures in $ million except otherwise stated

ETF Name Ticker Issuer Type AUM Turnover

Vanguard Total Bond Market ETF BND Vanguard - US Broad Market 22,382 940

iShares Core U.S. Aggregate Bond ETF AGG iShares - US Broad Market 19,202 1,221

iShares iBoxx $ Investment Grade Corporate Bond ETF LQD iShares - US Investment Grade

17,294 1,897

Vanguard Short-Term Bond ETF BSV Vanguard - US Broad Market 14,905 510

iShares iBoxx $ High Yield Corporate Bond ETF HYG iShares - US High Yield 12,494 4,983

iShares TIPS Bond ETF TIP iShares - US TIPS 12,439 793

iShares 1-3 Year Credit Bond ETF CSJ iShares - US Investment Grade

11,419 352

iShares U.S. Preferred Stock ETF PFF iShares - US Preferred Stock 10,419 433

SPDR Barclays High Yield Bond ETF JNK SPDR ETFs - US High Yield 8,898 2,293

Vanguard Short-Term Corporate Bond Index Fund VCSH Vanguard - US Investment Grade

8,645 286

iShares 1-3 Year Treasury Bond ETF SHY iShares - US Treasury 8,263 459

iShares MBS ETF MBB iShares - US Agency MBS 6,634 232

PowerShares Senior Loan Portfolio ETF BKLN PowerShares - US

Leveraged Loan 6,475 640

iShares Intermediate Credit Bond ETF CIU iShares - US Corporate 6,191 202

iShares 7-10 Year Treasury Bond ETF IEF iShares - US Treasury 4,970 1,505

iShares J.P. Morgan USD Emerging Markets Bond ETF EMB iShares - US Sovereign 4,422 786

ProShares UltraShort 20+ Year Treasury ETF TBT ProShares ETFs Treasury 4,257 2,687

Vanguard Intermediate-Term Bond ETF BIV Vanguard - US Broad Market 4,167 117

iShares Floating Rate Bond ETF FLOT iShares - US Investment Grade

4,063 170

Vanguard Intermediate-Term Corporate Bond Index Fund VCIT Vanguard - US Investment Grade

4,024 133



October 2014 47

Markit iBoxx ETF investible universe

Table 35: Markit iBoxx ETFs by asset class All figures in $ million except otherwise stated Summary

Asset Class No. Indices AUM Share

Government 91 14,953 21.0%

Corporate 62 52,657 73.9%

Inflation 14 3,663 5.1%

Total 167 71,274 100%

Government indices

Index Name ETP Name ETP Ticker Issuer Type Region AUM

Markit iBoxx EUR Germany Sov & Sub-Sov Liquid Index (EUR, Total Gross Return)

ProShares German Sovereign/Sub-Sovereign ETF

GGOV ProShares ETFs

Government Americas 6

Markit iBoxx ABF Indices (HKD, ABF Hong Kong, Total Gross Return)

ABF Hong Kong Bond Index Fund

2819 HSBC - Hong Kong

Government APAC 378

Markit iBoxx ABF Indices (IDR, ABF Indonesia, Total Gross Return)

ABF Indonesia Bond Index ETF Fund

R-ABFII Bahana Indonesia ETFs

Government APAC 145

Markit iBoxx ABF Indices (MYR, ABF Malaysia, Total Gross Return)

ABF Malaysia Bond Index Fund

0800EA AmInvestment Malaysia ETFs

Government APAC 212

Markit iBoxx ABF Indices (USD, ABF Pan-Asia, Total Gross Return)

ABF Pan Asia Bond Index Fund

2821 SSgA Asia ETFs

Government APAC 3,088

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

ABF Singapore Bond Index Fund

A35 Nikko Singapore ETFs

Government APAC 399

Markit iBoxx ABF Indices (THB, ABF Thailand, Total Gross Return)

ABF Thailand Bond Index Fund

ABFTH Kasikorn Thailand ETFs

Government APAC 0

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

db x-trackers II Makrit iBoxx ABF Singapore Government UCITS ETF

KV4 db x-trackers - Asia

Government APAC 12

Markit iBoxx $ Short Treasuries 7-10Y (USD, Total Gross Return)

Amundi ETF Short US Treasury 7-10 Daily UCITS ETF

SU7 Amundi ETF Government Europe 113

Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 1-3, Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 1-3 TR UCITS ETF

X502 ComStage ETFs

Government Europe 140



X507 ComStage ETFs


Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 15+, Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 15+ TR UCITS ETF

X508 ComStage ETFs



ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 25+ TR UCITS ETF

X509 ComStage ETFs


Markit iBoxx EUR Liquid Sovereign Diversified 3m-1 (EUR, Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 3m-1 TR UCITS ETF

X501 ComStage ETFs




X504 ComStage ETFs




X505 ComStage ETFs


Markit iBoxx EUR Liquid Sovereigns ComStage ETF iBoxx EUR X500 ComStage Government Europe 51


October 2014 48

Diversified (EUR, Liquid Sovereign Diversified , Total Gross Return)

Liquid Sovereigns Diversified Overall TR UCITS ETF

ETFs

Markit iBoxx EUR Sovereigns Germany Capped Indices (EUR, Sovereigns Germany Capped 1-5, Total Gross Return)

ComStage ETF iBoxx EUR Sovereigns Germany Capped 1-5 TR UCITS ETF

8521 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped Indices (EUR, Sovereigns Germany Capped 10+, Total Gross Return)

ComStage ETF iBoxx EUR Sovereigns Germany Capped 10+ TR UCITS ETF

8523 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped 3m-2 (EUR, Total Gross Return)

Comstage ETF iBoxx EUR Sovereigns Germany Capped 3m-2 TR UCITS ETF

8520 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped Indices (EUR, Sovereigns Germany Capped 5-10, Total Gross Return)

ComStage ETF iBoxx EUR Sovereigns Germany Capped 5-10 TR UCITS ETF

8522 ComStage ETFs


Markit iBoxx EUR Eurozone (EUR, Eurozone AAA, Total Gross Return)

db x-trackers II iBoxx EUR Sovereigns Euro AAA TR UCITS ETF

XBAT db x-trackers - Europe


Markit iBoxx EUR Sovereigns Eurozone Yield Plus (EUR, Total Gross Return)

db x-trackers II iBoxx EUR Sovereigns Euro Yield Plus 2C UCITS ETF

XHYP db x-trackers - Europe

Government Europe 7


db x-trackers II iBoxx EUR Sovereigns Euro Yield Plus UCITS ETF

XY4P db x-trackers - Europe

Government Europe 2,039

Markit iBoxx GBP Gilts Indices (GBP, Gilts, Total Gross Return)

db x-trackers II iBoxx GBP Gitls UCITS ETF

XBUT db x-trackers - Europe


Markit iBoxx EUR Germany Indices (EUR, Germany 1-3, Total Gross Return)

db x-trackers II iBoxx Germany 1-3 UCITS ETF

D5BC db x-trackers - Europe




XGN5 db x-trackers - Europe

Government Europe 1



XG71 db x-trackers - Europe

Government Europe 2


db x-trackers II iBoxx Germany Covered 1-3 UCITS ETF

X03A db x-trackers - Europe


Markit iBoxx EUR Germany Indices (EUR, Germany, Total Gross Return)

db x-trackers II iBoxx Germany UCITS ETF

D5BB db x-trackers - Europe



db x-trackers II iBoxx Germany UCITS ETF 4% - D

X03G db x-trackers - Europe

Government Europe 1

xxx(ETP) Markit iBoxx Japan Sovereign Index (JPY, Short Daily, Total Gross Return)

db x-trackers II IBOXX JAPAN SOVEREIGN SHORT DAILY UCITS ETF

XJSS db x-trackers - Europe

Government Europe 8

Markit iBoxx EUR Eurozone (EUR, Eurozone 10-15, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone 10-15 UCITS ETF

DBXC db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone 15+, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone 15+ UCITS ETF

DBXF db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone 25+, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone 25+ UCITS ETF

DBXG db x-trackers - Europe




DBXR db x-trackers - Europe




DBXB db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone AAA 1-3, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone AAA 1-3 UCITS ETF

XAXA db x-trackers - Europe

Government Europe 4

xxx(ETP) Markit iBoxx EUR Sovereigns Eurozone AAA Index (EUR, Total Gross Return)

db x-trackers II IBOXX SOVEREIGNS EUROZONE AAA UCITS ETF

XBAI db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF

DBXN db x-trackers - Europe

Government Europe 1,394


October 2014 49

Markit iBoxx EUR Eurozone (EUR, Eurozone, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF 4% - D

X03F db x-trackers - Europe


xxx(ETP) Markit iBoxx EUR Sovereigns Eurozone Yield Plus 1-3 Index (EUR, Total Gross Return)

db x-trackers II IBOXX Sovereigns Eurozone Yield + 1-3 ETF UCITS ETF

XYP1 db x-trackers - Europe


xxx(ETP) Markit iBoxx EUR Sovereigns Eurozone Yield Plus 1-3 Index (EUR, Total Gross Return)

db x-trackers II IBOXX SOVEREIGNS EUROZONE YIELD PLUS 1-3 UCITS ETF

XY1D db x-trackers - Europe



db x-trackers II IBOXX SOVEREIGNS EUROZONE YIELD PLUS UCITS ETF

XYPD db x-trackers - Europe

Government Europe 8

xxx(ETP) Markit iBoxx EUR Spain Indices (EUR, Spain 1-3, Total Gross Return)

db x-trackers II IBOXX SPAIN 1-3 UCITS ETF

X1ES db x-trackers - Europe


xxx(ETP) Markit iBoxx EUR Spain Covered (EUR, Total Gross Return)

db x-trackers II IBOXX SPAIN UCITS ETF

XIES db x-trackers - Europe


xxx(ETP) Markit iBoxx ABF Indonesia Government TR Index (IDR, Total Net Return)

db x-trackers II Markit iBoxx ABF Indonesia Government UCITS ETF

XIDR db x-trackers - Europe

Government Europe 3

xxxxMarkit iBoxx EUR Short Sovereigns Eurozone (EUR, Total Gross Return)

db x-trackers II Short Short iBoxx EURO Sovereigns Eurozone Daily UCITS ETF

DXSV db x-trackers - Europe



Deka iBoxx EUR Liquid Sovereign Diversified 1-10 UCITS ETF

EL4K Deka ETFs Government Europe 25



EL4L Deka ETFs Government Europe 366


Deka iBoxx EUR Liquid Sovereign Diversified 10+ UCITS ETF

EL4Q Deka ETFs Government Europe 18



EL4N Deka ETFs Government Europe 94



EL4P Deka ETFs Government Europe 20

Markit iBoxx EUR Liquid Sovereigns Global (EUR, Total Gross Return)

IBOXX? LIQUID SOVEREIGNS GLOBAL THEAM EASY UCITS ETF

EEIB EasyETF Government Europe 208

Markit iBoxx EUR Sovereigns Indices (EUR, Sovereigns 1-3, Total Gross Return)

iShares Euro Government Bond 1-3 UCITS ETF (Acc)

CSBGE3 iShares - Europe










Markit iBoxx EUR Liquid Sovereigns Capped (EUR, Liquid Sovereigns Capped 1.5 - 10.5, Total Gross Return)

iShares Euro Government Bond Capped 1.5-10.5yr UCITS ETF (DE)

EXHF iShares - Europe




EXHG iShares - Europe


Markit iBoxx EUR Liquid Sovereigns Capped (EUR, Liquid Sovereigns Capped 10.5+, Total Gross Return)

iShares Euro Government Bond Capped 10.5+yr UCITS ETF (DE)

EXHK iShares - Europe




EXHH iShares - Europe




EXHJ iShares - Europe


Markit iBoxx GBP Gilts Indices (GBP, Gilts, Total Gross Return)

LYXOR UCITS ETF IBOXX £ GILTS

GILS Lyxor Government Europe 23


PIMCO German Government Bond Index Source UCITS

BUND Source ETF Government Europe 10


October 2014 50

ETF

Markit iBoxx EUR Liquid Sovereigns Capped AAA-AA 1-5 Index (EUR, Total Gross Return)

Think iBoxx AAA-AA Government Bond UCITS ETF

TAT Think Capital Government Europe 411


Think iBoxx Government Bond UCITS ETF

TGBT Think Capital Government Europe 107


UBS ETF - Markit iBoxx € Sovereigns 1-5 UCITS ETF, class (EUR) A-dis

SS1EUA UBS ETC - Swiss

Government Europe 4


UBS ETF Markit iBoxx € Germany 1-3 UCITS ETF (EUR) A-dis

UEFL UBS ETF - Europe




UEFM UBS ETF - Europe

Government Europe 4



UEFN UBS ETF - Europe

Government Europe 7



UEFP UBS ETF - Europe


Markit iBoxx USD Liquid Emerging Markets Sovereigns (USD, Liquid Emerging Markets Sovereigns, Total Gross Return)

Amundi ETF Global Emerging Bond Markit iBoxx UCITS ETF

AGEB Amundi ETF Sovereign Europe 59



X503 ComStage ETFs

Sovereign Europe 21

xxx(ETP) Markit iBoxx Japan Sovereign Index (JPY, Total Gross Return)

db x-trackers II IBOXX JAPAN SOVEREIGN UCITS ETF

XJSE db x-trackers - Europe

Sovereign Europe 8


db x-trackers II iBoxx Sovereigns Eurozone 1-3 UCITS ETF 1C

DBXP db x-trackers - Europe

Sovereign Europe 475


db x-trackers II iBoxx Sovereigns Eurozone 1-3 UCITS ETF 1D

X03B db x-trackers - Europe

Sovereign Europe 7


db x-trackers II iBoxx Sovereigns Eurozone 3-5 UCITS ETF 1C

DBXQ db x-trackers - Europe

Sovereign Europe 560


db x-trackers II iBoxx Sovereigns Eurozone 3-5 UCITS ETF 1D

X03C db x-trackers - Europe

Sovereign Europe 27



EL4M Deka ETFs Sovereign Europe 34

Markit iBoxx USD Liquid Emerging Markets Sovereigns (USD, Liquid Emerging Markets Sovereigns, Total Gross Return)

LYXOR UCITS ETF IBOXX $ LIQUID EMERGING MARKETS SOVEREIGNS

LEMB Lyxor Sovereign Europe 136

Markit iBoxx USD Treasuries (USD, Treasuries 1-3Y, Total Gross Return)

Amundi ETF US Treasury 1-3 UCITS ETF

US1 Amundi ETF Treasury Europe 6

Markit iBoxx $ Treasuries 3-7Y (USD, Total Gross Return)







db x-trackers II iBoxx USD Treasuries 1-3 UCITS ETF

XUT3 db x-trackers - Europe

Treasury Europe 9

Markit iBoxx USD Treasuries (USD, Treasuries, Total Gross Return)

db x-trackers II iBoxx USD Treasuries UCITS ETF

XUTD db x-trackers - Europe

Treasury Europe 32

Markit iBoxx USD Treasuries(Mid Price) (USD, Treasuries 1-3Y, Total Gross Return)

iShares USD Government Bond 1-3 UCITS ETF (Acc)

CSBGU3 iShares - Europe

Treasury Europe 61

Markit iBoxx $ Treasuries 3-7Y (USD, Total Gross Return)



Treasury Europe 155

Markit iBoxx USD Treasuries(Mid Price) (USD, Treasuries 7-10Y, Total Gross



Treasury Europe 16


October 2014 51

Return)


LYXOR UCITS ETF IBOXX $ TREASURIES 1-3Y

US13 Lyxor Treasury Europe 37

Markit iBoxx USD Treasuries (USD, Treasuries 10Y+, Total Gross Return)

LYXOR UCITS ETF IBOXX $ TREASURIES 10Y+



LYXOR UCITS ETF IBOXX $ TREASURIES 5-7Y


Corporate indices


Markit iBoxx EUR Liquid Non-Financials Diversified Index (EUR, Total Gross Return)

Deka iBoxx EUR Liquid Non-Financials Diversified UCITS ETF

EFQ8 Deka ETFs

Corporate Europe 596

Markit iBoxx EUR Liquid Non-Financials (EUR, Non-Financials, Total Gross Return)

Amundi ETF Euro Corporate Ex Financial iBoxx UCITS ETF

AXFI Amundi ETF

Corporate Europe 8

Markit iBoxx EUR Liquid Financials (EUR, Financials, Total Gross Return)

Amundi ETF Euro Corporate Financials iBoxx UCITS ETF

AFIN Amundi ETF


Markit iBoxx EUR Liquid Corporates (EUR, Liquid Corporates, Total Gross Return)

Amundi ETF Euro Corporates UCITS ETF

CC4 Amundi ETF


Markit iBoxx EUR FRN Investment Grade Index (EUR, 1-3 Y, Total Gross Return)

Amundi FLOATING RATE EURO CORPORATE 1-3 UCITS ETF

AFRN Amundi ETF

Corporate Europe 64

Markit iBoxx EUR Liquid Corporates 100 (EUR, 100 Financials Subindex, Total Gross Return)

db x-trackers II iBoxx EUR Liquid Corporate 100 Financials Sub-Index Total Return 2C UCITS ETF

XHCF db x-trackers - Europe

Corporate Europe 0

Markit iBoxx EUR Liquid Corporates 100 (EUR, 100 Financials Subindex, Total Gross Return)

db x-trackers II iBoxx EUR Liquid Corporate 100 Financials Sub-Index Total Return UCITS ETF

XB4F db x-trackers - Europe

Corporate Europe 18

Markit iBoxx EUR Liquid Corporates 100 (EUR, 100 Non-financials Subindex, Total Gross Return)

db x-trackers II iBoxx EUR Liquid Corporate 100 Non-Financials Sub-Index Total Return ETF 2C UCITS E

XHCN db x-trackers - Europe

Corporate Europe 0

Markit iBoxx EUR Liquid Corporates 100 (EUR, 100 Non-financials Subindex, Total Gross Return)

db x-trackers II iBoxx EUR Liquid Corporate 100 Non-Financials Sub-Index Total Return UCITS ETF

XB4N db x-trackers - Europe

Corporate Europe 38

Markit iBoxx EUR Liquid Corporates 100 (EUR, Total Gross Return)

db x-trackers II iBoxx EUR Liquid Corporate UCITS ETF

D5BG db x-trackers - Europe


Markit iBoxx EUR Liquid Corporates 100 (EUR, Total Gross Return)

db x-trackers II iBoxx EUR Liquid Corporate UCITS ETF 2C

XHCP db x-trackers - Europe

Corporate Europe 2

Markit iBoxx EUR Liquid Corporates Diversified (EUR, Total Gross Return)

Deka iBoxx EUR Liquid Corporates Diversified UCITS ETF

EL49 Deka ETFs


Markit iBoxx GBP Corporates Indices (GBP, Corporates 1-5, Total Gross Return)

iShares £ Corporate Bond 1-5yr UCITS ETF

IS15 iShares - Europe

Corporate Europe 1,058


iShares Euro Corporate Bond Large Cap UCITS ETF

IBXLQ iShares - Europe

Corporate Europe 4,513


LYXOR UCITS ETF EURO CORPORATE BOND - C-EUR

CRP Lyxor Corporate Europe 965

Markit iBoxx EUR Liquid Non-Financials (EUR, Non-Financials, Total Gross Return)

LYXOR UCITS ETF EURO CORPORATE BOND EX FINANCIALS - C-EUR

CNB Lyxor Corporate Europe 222


Think iBoxx Corporate Bond UCITS ETF

TCBT Think Capital



UBS ETF Markit iBoxx € Liquid Corporates UCITS ETF (EUR) A-dis

UEFR UBS ETF - Europe

Corporate Europe 69


October 2014 52

Markit iBoxx EUR Germany Covered Capped Indices (EUR, Germany Covered Capped 3-5, Total Gross Return)

ComStage ETF iBoxx € Germany Covered Capped 3-5 TR UCITS ETF

C541 ComStage ETFs

Covered Bond

Europe 33



C542 ComStage ETFs

Covered Bond

Europe 15



C543 ComStage ETFs

Covered Bond

Europe 17

Markit iBoxx EUR Germany Covered Indices (EUR, Germany Covered, Total Gross Return)

ComStage ETF iBoxx € Germany Covered Capped Overall TR UCITS ETF

C540 ComStage ETFs

Covered Bond

Europe 15

Markit iBoxx EUR Liquid Covered Index (EUR, Total Gross Return)

db x-trackers II IBOXX EUR Liquid Covered Index UCITS ETF 1C

XLIQ db x-trackers - Europe

Covered Bond

Europe 3


db x-trackers II iBoxx Germany Covered UCITS ETF

DXSW db x-trackers - Europe

Covered Bond

Europe 321


db x-trackers II IBOXX GERMANY COVERED UCITS ETF 1D

XBCD db x-trackers - Europe

Covered Bond

Europe 3

Markit iBoxx EUR Liquid Germany Covered Diversified (EUR, Liquid Germany Covered Diversified, Total Gross Return)

Deka iBoxx EUR Liquid Ger. Covered Diversified UCITS ETF

EL48 Deka ETFs

Covered Bond

Europe 226

Markit iBoxx EUR Covered Indices (EUR, Covered, Total Gross Return)

iShares Euro Covered Bond UCITS ETF

ICOV iShares - Europe

Covered Bond

Europe 1,522

xxx(ETP) Markit iBoxx Pfandbriefe Index (EUR, Total Return)

iShares Pfandbriefe UCITS ETF (DE) EXHE iShares - Europe

Covered Bond

Europe 1,263

Markit iBoxx USD Liquid High Yield 0-5 Index (USD, Total Gross Return)

iShares 0-5 Year High Yield Corporate Bond ETF

SHYG iShares - US

High Yield Americas 84

Markit iBoxx Global Developed Markets ex-US High Yield Index (USD, Total Gross Return)

iShares Global ex USD High Yield Corporate Bond ETF

HYXU iShares - US


Markit iBoxx Global Developed Markets High Yield Index (USD, Total Gross Return)

iShares Global High Yield Corporate Bond ETF

GHYG iShares - US


Markit iBoxx USD Liquid High Yield Index (USD, Total Gross Return)

iShares iBoxx $ High Yield Corporate Bond ETF

HYG iShares - US

High Yield Americas 12,361


iShares U.S. High Yield Bond Index Fund (CAD-Hedged)

XHY iShares - Canada



ProShares Short High Yield ETF SJB ProShares ETFs



ProShares Ultra High Yield ETF UJB ProShares ETFs



KINDEX SYNTH-iBoxx USD Liquid High Yield ETF

181450 Kindex Korea ETFs

High Yield APAC 6

Markit iBoxx USD Liquid High Yield 0-5 Index (USD, Total Gross Return)

Tiger SYNTH-iBoxx USD Liquid High Yield 0-5Y ETF

182490 Tiger Korea

High Yield APAC 19

xxx(ETP) Markit iBoxx EUR Liquid High Yield 30 Ex-Financial index (EUR, Total Gross Return)

Amundi Euro High Yield Liquid UCITS

AHYE Amundi ETF

High Yield Europe 134

xxx(ETP) Markit iBoxx USD Liquid High Yield 0-5 Capped Index (USD, Total Gross Return)

iShares Short Duration High Yield Corporate Bond UCITS

SDHY iShares - Europe


Markit iBoxx $ Liquid High Yield Capped Index (USD, Total Gross Return)

iShares $ High Yield Corporate Bond UCITS ETF

IHYU iShares - Europe

High Yield Europe 1,036

Markit iBoxx EUR Liquid High Yield (EUR, Total Gross Return)

iShares Euro High Yield Corporate Bond UCITS ETF

IHYG iShares - Europe

High Yield Europe 3,219

Markit iBoxx Global Developed Markets Liquid High Yield Capped Index (GBP, Hedged, Total Gross Return)

iShares Global High Yield Corp Bond GBP Hedged UCITS ETF

GHYS iShares - Europe


Markit iBoxx Global Developed Markets Liquid High Yield Capped Index (USD, Total Gross Return)

iShares Global High Yield Corp Bond UCITS ETF

HYLD iShares - Europe



October 2014 53

Markit iBoxx EUR Liquid High Yield 30 (EUR, Total Gross Return)

LYXOR UCITS ETF IBOXX EUR LIQUID HIGH YIELD 30 EX-FINANCIAL

YIEL Lyxor High Yield Europe 386

xxx(ETP) Markit iBoxx USD Liquid Investment Grade 0-5 Index (USD, Total Gross Return)

iShares 0-5 Year Investment Grade Corporate Bond ETF

SLQD iShares - US

Investment Grade

Americas 23

Markit iBoxx USD Liquid Investment Grade Index (USD, Total Gross Return)

iShares iBoxx $ Investment Grade Corporate Bond ETF

LQD iShares - US

Investment Grade

Americas 17,378

xxx(ETP) Markit iBoxx USD Liquid Investment Grade Interest Rate Hedged Index (USD, Total Gross Return)

iShares Interest Rate Hedged Corporate Bond ETF

LQDH iShares - US

Investment Grade

Americas 10


iShares U.S. IG Corporate Bond Index Fund (CAD-Hedged)

XIG iShares - Canada

Investment Grade

Americas 60


ProShares Short Investment Grade Corporate

IGS ProShares ETFs

Investment Grade

Americas 3


ProShares Ultra Investment Grade Corporate ETF

IGU ProShares ETFs

Investment Grade

Americas 3

Markit iBoxx GBP Liquid Corporates 100 Index (GBP, Total Gross Return)

db x-trackers II iBoxx GBP Liquid Corporate UCITS ETF

XG7C db x-trackers - Europe

Investment Grade

Europe 7

xxx(ETP) Markit iBoxx USD Liquid Investment Grade 0-5 Index (USD, Total Gross Return)

iShares Short Duration Corporate Bond UCITS

SDIG iShares - Europe

Investment Grade

Europe 140

xxx(ETP) Markit iBoxx USD Liquid Investment Grade Interest Rate Hedged Index (USD, Total Gross Return)

iShares $ Corporate Bond Interest Rate Hedged UCITS

LQDH iShares - Europe

Investment Grade

Europe 68


iShares $ Corporate Bond UCITS ETF

LQDE iShares - Europe

Investment Grade

Europe 1,666

xxx(ETP) Markit iBoxx USD Liquid Investment Grade Ultrashort Index (USD, Total Gross Return)

iShares $ Ultrashort Bond UCITS ETF

ERND iShares - Europe

Investment Grade

Europe 59

Markit iBoxx GBP Non-Financials (GBP, Non-Financials, Total Gross Return)

iShares £ Corporate Bond ex-Financials UCITS ETF

SSXF iShares - Europe

Investment Grade

Europe 455

xxx(ETP) Markit iBoxx GBP Liquid Corporates Large Cap Interest Rate Hedged Index (GBP, Total Gross Return)

iShares £ Corporate Bond Interest Rate Hedged UCITS

SLXH iShares - Europe

Investment Grade

Europe 40

Markit iBoxx GBP Liquid Corporates Large Cap (GBP, Liquid Corporates Large Cap, Total Gross Return)

iShares £ Corporate Bond UCITS ETF

SLXX iShares - Europe

Investment Grade

Europe 1,805

xxx(ETP) Markit iBoxx GBP Liquid Investment Grade Ultrashort Index (GBP, Total Gross Return)

iShares £ Ultrashort Bond UCITS ETF

ERNS iShares - Europe

Investment Grade

Europe 182

xxx(ETP) Markit iBoxx EUR Liquid Investment Grade Ultrashort Index (EUR, Total Gross Return)

iShares Euro Ultrashort Bond UCITS ETF

ERNE iShares - Europe

Investment Grade

Europe 42

Markit iBoxx GBP Liquid Corporates Large Cap (GBP, Liquid Corporates Large Cap, Total Gross Return)

LYXOR UCITS ETF IBOXX £ LIQUID CORPORATES LONG DATED

COUK Lyxor Investment Grade

Europe 15

Markit iBoxx USD Liquid Leveraged Loan Index (USD, Total Gross Return)

Highland iBoxx Senior Loan ETF SNLN Highland Funds

Leveraged Loan

Americas 218

Inflation-linked indices


Markit iBoxx EUR Euro Inflation-Linked (EUR, Nominal, Total Gross Return)

Amundi ETF Euro Inflation UCITS ETF

CI3 Amundi ETF

Inflation Europe 24

Markit iBoxx EUR Sovereigns Inflation-Linked Euro-Inflation (EUR, Nominal, Total Gross Return)

ComStage ETF iBoxx Euro Sovereigns Inflation-Linked TR UCITS ETF

8530 ComStage ETFs

Inflation Europe 27

Markit iBoxx Global Inflation-Linked Index All (EUR, EUR Unhedged Nominal, Total Gross Return)

db x-trackers II GLOBAL INFLATION-LINKED UCITS ETF

XGIU db x-trackers - Europe

Inflation Europe 6


October 2014 54


db x-trackers II iBoxx Euro Inflation-Linked UCITS ETF

DBXK db x-trackers - Europe

Inflation Europe 171

Markit iBoxx EUR Global Inflation-Linked Index All (EUR, Hedged Nominal, Total Gross Return)

db x-trackers II iBoxx Global Inflation-Linked UCITS ETF (EUR)

DBXH db x-trackers - Europe


Markit iBoxx Global Inflation-Linked Index All (GBP, GBP Hedged Nominal, Total Gross Return)

db x-trackers II iBoxx Global Inflation-Linked UCITS ETF (GBP)

XGIG db x-trackers - Europe

Inflation Europe 8

Markit iBoxx Global Inflation-Linked Index All (USD, USD Hedged Nominal, Total Gross Return)

db x-trackers II iBoxx Global Inflation-Linked UCITS ETF (USD)

XG7U db x-trackers - Europe


Markit iBoxx Global Inflation-Linked Index All (EUR, EUR Hedged Nominal, Total Gross Return)

db x-trackers II IBOXX GLOBAL INFLATION-LINKED UCITS ETF 1D

XGII db x-trackers - Europe

Inflation Europe 5

Markit iBoxx GBP Gilt Inflation Linked (GBP, Gilt Inflation Linked Nominal, Total Gross Return)

db x-trackers II iBoxx UK Gilts Inflation-Linked UCITS ETF

XBUI db x-trackers - Europe

Inflation Europe 8


iShares Euro Inflation Link Bond UCITS ETF

CSBILE iShares - Europe

Inflation Europe 46

Markit iBoxx TIPS Inflation-Linked Index (USD, Nominal, Total Gross Return)

iShares USD Inflation Linked Bond UCITS ETF

CSBILU iShares - Europe

Inflation Europe 43

Markit iBoxx GBP Gilt Inflation Linked (GBP, Gilt Inflation Linked Nominal, Total Gross Return)

LYXOR UCITS ETF IBOXX £ GILT INFLATION-LINKED

GILI Lyxor Inflation Europe 8

Markit iBoxx Target Duration TIPS Index (USD, 3 Year - Nominal, Total Gross Return)

FlexShares iBoxx 3-Year Target Duration TIPS Index Fund

TDTT FlexShares TIPS Americas 2,237

Markit iBoxx Target Duration TIPS Index (USD, 5 Year - Nominal, Total Gross Return)

FlexShares iBoxx 5-Year Target Duration TIPS Index Fund

TDTF FlexShares TIPS Americas 307



October 2014 55

For further information, please visit www.markit.com

Ivelin Angelov

Associate

Markit Index Research

Tel: +44 20 7064 6207

Email: [email protected]

http://www.markit.com/

data as of september 30th, 2014 spreads start to widen

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