Fall 08 US Broad Market Index making run at record loss High...Total Return Price Return Index Ticker Index Value 1-month 3-month 12-month 1-month 3-month 12-month US Broad Market

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MONTHLY PROFILES | June 4, 2018

US HIGH GRADE INDICES Phil Galdi, Head of Indices

ICE Data Services │ ICE Data Indices

ICE Index Hotline: New York: +1 212-497-3008 London: +44 (0) 20-7429-7128 Email: [email protected]

Broad Index reverses April’s loss but still deep in the red YTD

The US Broad Market Index managed to reverse all but three basis points of April’s loss, but despite the

recovery it is still down almost 1.5% on the year. The May rally was entirely driven by the curve as it shifted an

average of 11bp lower, gaining the index 0.42% or roughly the same amount that it earned from coupon income

on the month. However, spread widening losses in the credit markets cost the Index almost half of what it

gained from the curve rally. (p 2)

Both the curve and spread return factors are solidly negative this year

So far this year the curve has cost the index a hefty 2.5% and spread widening losses of just over half a percent

are also substantial. Since 2002, the index has suffered a large 5 month curve loss 79 times. Of those 79

observations it also incurred a 5 month spread widening loss of a quarter percent or more only a third of the

time. Conversely, the spread return factor was within +/-0.25% a quarter of the time and the index scored a

spread widening gain of at least 0.25% in 42% of the observations. (p 2)

Media spread up 38% since February

Since hitting a 5-year low of 114bp in February of this year, the Media spread has jumped 38% higher. But

given that it is only at its 5-year mean, and more than a third less than its 5-year high (249bp), there is no doubt

that further widening is possible. (p 3)

Corporate Index gets back to back positive rating migration readings

For the second month in a row, more Corporate Index constituent debt was upgraded than was downgraded.

The May upgrade/downgrade ratio was not as strong as in April but it was solid nonetheless (1.25 vs. 1.82) and

the mere fact that both were north of 1.0 is noteworthy. That is the first time in ten months that the index had

back to back positive readings and only the second time since the June-July 2014 occurrence. (p 3)

Spread widening hits all sectors

All Corporate sectors widened in May but only four moved by 10bp or more: Utilities (+10bp), Basic Industry

(+12bp), Telecom (+13bp) and Media (+16bp). All four have longer than average spread durations – Utilities, in

particular (9.22 years vs. 7.05 years for the Corporate Index) – so the impact of their respective spread sell-offs

were exacerbated when measured in terms of excess return.. (p 9)

08

Fall

mailto:[email protected]


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Overview

The US Broad Market Index reversed most of April’s loss in May but it is still

deep in the red for the year.

The US Broad Market Index managed to reverse all but three basis points of April’s loss, but despite the

recovery it is still down almost 1.5% on the year. The May rally was entirely driven by the curve as it shifted an

average of 11bp lower, gaining the index 0.42% or roughly the same amount that it earned from coupon income

on the month. However, spread widening losses in the credit markets cost the Index almost half of what it

gained from the curve rally (Chart 1).

It is not a surprise that the curve and spread performance factors should have moved in opposite directions in

May. While it is not unheard of for spreads to tighten during a substantial curve rally, more often than not it

goes the other way. Since the beginning of 2002, the US Broad Market Index had 85 months in which it had

curve gains totaling more than a quarter percent. Of those observations, it had spread tightening gains of more

than 0.05% only a third of the time. Spreads widened during a curve rally 60% of the time and in a little more

than half of those months the widening reversed at least a quarter of the curve gains.

Both the curve and spread factors are solidly negative YTD.

While the fact that the curve and spread performance factors headed in opposite directions in May is not

surprising, the YTD relationship of the two is a little more unusual. So far this year the curve has cost the index

a hefty 2.5% and spread widening losses of just over half a percent are also substantial (Chart 2). Since 2002,

the index has suffered a large 5 month curve loss (for this purposes defined as a loss of 1.5% or more) 79

times. Of those 79 observations it also incurred a 5 month spread widening loss of a quarter percent or more

only a third of the time. Conversely, the spread return factor was within +/-0.25% a quarter of the time and the

index scored a spread widening gain of at least 0.25% in 42% of the observations.

Chart 1: US Broad Market Index MTD return attribution Chart 2: US Broad Market Index YTD return attribution

0.27% 0.20%

0.44%

-0.02%

-0.18%

0.00% 0.00%

0.70%

-0.19% -0.3%-0.2%-0.1%0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8% 1.26%

0.25%

-2.28%

-0.18% -0.54%

-0.02%

0.03%

-1.48%

-0.33%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%


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The Media sector spread has jumped 38% higher since February and is now

a basis point higher than its 5-year mean.

Spreads widened in May across all Corporate Index sectors but Media suffered the largest setback as it

widened 16bp on the month, or twice as much as the overall Corporate Index. Comcast (+47bp) and Fox

(+17bp) were among the main culprits (see page 10), but more than half of the sector’s constituent issuers

widened by at least 10bp. The May 16bp widening move was just one basis point shy of matching Media’s

worst spread performance in the last 28 months. It also pushed the sector’s spread just over its 5-year mean

(157bp vs. 156bp) – a line it had not crossed since February 2017 (Chart 3). Since hitting a 5-year low of

114bp in February of this year, the Media spread has already jumped 38% higher. But given that it is only at its

5-year mean, and more than a third less than its 5-year high (249bp), there is no doubt that further widening is

possible.

Chart 3: Media sector option-adjusted spread

The Corporate Index had back to back positive monthly upgrade/downgrade

ratios for only the second time in 28 months.

For the second month in a row, more Corporate Index constituent debt was upgraded than was downgraded.

The May upgrade/downgrade ratio was not as strong as in April but it was solid nonetheless (1.25 vs. 1.82) and

the mere fact that both were north of 1.0 is noteworthy. That is the first time in ten months that the index had

back to back positive readings and only the second time since the June-July 2014 occurrence. Unfortunately,

the recent upward trend has come on lower than average volume. The total volume of rating changes over the

last two months was $90bn, which is a third lower than the historical 2-month average ($135bn).

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240

5/31/2013 5/31/2014 5/31/2015 5/31/2016 5/31/2017 5/31/2018

Media OAS 5-year average


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Table 1: US Broad Market Index returns by segment Total Return Price Return

Index Ticker Index Value 1-month 3-month 12-month 1-month 3-month 12-month US Broad Market US00 286.743 0.701 0.618 -0.347 0.439 -0.162 -3.215 US Large Cap USL0 284.739 0.705 0.637 -0.416 0.446 -0.131 -3.227

Domestic Master D0A0 2,005.014 0.702 0.617 -0.369 0.440 -0.162 -3.235 Corporate/Govt Master B0A0 2,238.075 0.695 0.520 -0.398 0.440 -0.235 -3.259 1-3yr Corp/Govt B1A0 445.945 0.365 0.425 0.210 0.166 -0.163 -2.005 3-5yr Corp/Govt B2A0 621.392 0.586 0.413 -0.818 0.369 -0.230 -3.311 5-7yr Corp/Govt B3A0 777.230 0.778 0.451 -1.255 0.529 -0.280 -3.975 7-10yr Corp/Govt B4A0 856.209 0.738 0.201 -1.605 0.458 -0.629 -4.707 10+yr Corp/Govt B9A0 984.652 1.136 0.948 0.413 0.788 -0.085 -3.514 1-5yr Corp/Govt BVA0 510.259 0.459 0.419 -0.235 0.252 -0.193 -2.573 1-10yr Corp/Govt B5A0 547.617 0.557 0.390 -0.637 0.332 -0.278 -3.169 Treasury Master G0Q0 1,577.751 0.908 1.066 -0.776 0.706 0.467 -3.008 1-3yr Treasury G1O2 1,168.078 0.362 0.403 -0.016 0.195 -0.088 -1.832 3-5yr Treasury G2O2 1,961.366 0.650 0.531 -1.162 0.468 -0.004 -3.201 5-7yr Treasury G3O2 2,321.357 0.948 0.825 -1.795 0.747 0.236 -3.941 7-10yr Treasury G4O2 2,460.160 1.076 1.068 -2.393 0.859 0.420 -4.759 10+yr Treasury G9O2 2,588.586 2.026 3.020 -0.072 1.746 2.174 -3.218 1-5yr Treasury GVQ0 1,150.879 0.480 0.454 -0.496 0.307 -0.055 -2.406 1-10yr Treasury G5O2 1,338.493 0.631 0.593 -0.946 0.448 0.054 -2.952 Quasi-Government DQG0 240.300 0.428 0.167 -0.119 0.161 -0.624 -3.113 US Agency Composite UAGY 191.016 0.622 0.593 -0.044 0.398 -0.076 -2.586 AAA Agency Master G0P0 1,499.838 0.626 0.594 -0.059 0.398 -0.085 -2.634 1-3yr Agencies G1P0 1,272.119 0.356 0.413 0.252 0.166 -0.154 -1.766 3-5yr Agencies G2P0 1,740.781 0.653 0.497 -0.769 0.483 -0.008 -3.133 5-7yr Agencies G3P0 2,242.922 0.911 0.718 -1.331 0.634 -0.100 -4.348 7-10yr Agencies G4P0 2,461.564 1.021 0.800 -1.553 0.785 0.104 -4.186 10+yr Agencies G9P0 2,816.002 1.399 1.268 0.289 1.002 0.086 -4.199 1-5yr Agencies GVP0 1,202.613 0.416 0.429 0.008 0.230 -0.126 -2.106 1-10yr Agencies G5P0 1,370.731 0.464 0.457 -0.112 0.272 -0.116 -2.293 Foreign Governments GS00 259.695 0.282 -0.105 -0.666 0.019 -0.883 -3.583 Corporate Master C0A0 2,834.179 0.450 -0.191 0.088 0.121 -1.164 -3.673 1-3yr Corporates C1A0 1,695.002 0.378 0.490 0.751 0.100 -0.341 -2.511 3-5yr Corporates C2A0 2,148.116 0.497 0.231 -0.209 0.215 -0.608 -3.514 5-7yr Corporates C3A0 685.104 0.587 -0.111 -0.457 0.268 -1.056 -4.027 7-10yr Corporates C4A0 506.064 0.510 -0.397 -1.046 0.184 -1.357 -4.678 10+yr Corporates C9A0 2,831.512 0.379 -0.829 0.787 -0.022 -2.002 -3.765 1-5yr Corporates CVA0 1,596.166 0.435 0.362 0.280 0.156 -0.473 -3.004 1-10yr Corporates C5A0 1,894.155 0.480 0.083 -0.190 0.182 -0.804 -3.618 AAA Corporates C0A1 618.326 1.168 0.771 0.707 0.896 -0.043 -2.402 AA Corporates C0A2 643.050 0.722 0.436 0.150 0.460 -0.343 -2.881 A Corporates C0A3 672.380 0.558 -0.007 -0.155 0.254 -0.908 -3.637 BBB Corporates C0A4 797.100 0.283 -0.496 0.281 -0.081 -1.570 -3.886 Financials CF00 322.459 0.329 -0.284 -0.131 0.017 -1.204 -3.682 Banking C0P0 753.165 0.297 -0.293 -0.208 -0.003 -1.180 -3.620 Financial Services CFFS 322.284 0.561 -0.062 0.386 0.216 -1.085 -3.604 Insurance CFIE 366.471 0.387 -0.343 -0.003 0.030 -1.392 -4.049 Industrials CI00 346.379 0.509 -0.153 0.128 0.175 -1.142 -3.696 Automotive CIAU 307.756 0.596 0.219 0.581 0.312 -0.621 -2.636 Basic Industry CIBS 348.844 0.111 -1.004 0.971 -0.269 -2.120 -3.419 Capital Goods CICP 343.983 0.633 -0.049 -1.202 0.321 -0.977 -4.757 Consumer Goods CICS 360.981 0.513 -0.200 -0.799 0.200 -1.125 -4.336 Energy CIEN 349.474 0.492 -0.139 0.945 0.121 -1.242 -3.333 Healthcare CHCR 346.949 0.755 0.096 -0.195 0.443 -0.826 -3.720 Leisure CILE 352.581 0.606 -0.051 -0.450 0.270 -1.044 -4.248 Media CIME 414.284 -0.372 -1.247 -0.847 -0.742 -2.334 -5.091 Real Estate CIRE 385.568 0.766 -0.305 0.251 0.432 -1.290 -3.597 Retail CIRL 345.097 0.782 0.196 -0.011 0.459 -0.758 -3.665 Services CISE 346.075 0.832 0.703 0.874 0.492 -0.307 -3.035 Technology & Electronics CITE 306.436 0.805 0.386 0.265 0.516 -0.476 -3.076 Telecommunication C0R0 871.603 0.019 -0.471 0.800 -0.358 -1.577 -3.505 Transportation C0W0 875.863 0.360 -0.566 -0.370 0.018 -1.572 -4.253 Utilities C0Q0 866.504 0.430 -0.155 0.577 0.083 -1.187 -3.457 Mortgage Master M0A0 2,052.698 0.731 0.926 -0.289 0.445 0.068 -3.172 Conv. 30 Yr MF30 447.515 0.757 0.925 -0.062 0.462 0.041 -3.075 GN 30 Yr MG1S 719.511 0.753 0.994 -0.469 0.467 0.139 -3.281 All 15 Yr M15A 356.388 0.508 0.733 -0.880 0.255 -0.021 -3.387 Fixed Rate ABS R0A0 369.423 0.395 0.563 1.089 0.181 -0.068 -1.182 Credit Card ABS R0C0 417.200 0.379 0.492 0.358 0.200 -0.030 -1.588 Auto Loan ABS R0U0 339.983 0.349 0.539 1.209 0.148 -0.051 -0.870 Home Equity Loan ABS R0H0 454.045 0.331 0.333 2.561 0.045 -0.509 -1.863 Manufactured Housing ABS R0M0 669.808 0.443 0.566 4.687 0.014 -0.685 -0.273


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Table 1: US Broad Market Index returns by segment Total Return Price Return

Index Ticker Index Value 1-month 3-month 12-month 1-month 3-month 12-month Other ABS R0O0 248.158 0.508 0.704 1.753 0.237 -0.105 -1.271 CMBS CMBS 298.474 0.839 0.694 -0.129 0.535 -0.213 -3.492 3-month T Bills G0O1 702.677 0.153 0.424 1.277 0.153 0.424 1.277 US Treasury Inflation Linked G0QI 299.130 0.428 1.488 0.875 0.354 1.268 0.006 High Yield Master II H0A0 1,258.806 -0.015 0.029 2.285 -0.542 -1.530 -3.853 US$ Emerging Markets Sovereign Plus IGOV 1,323.738 -1.576 -2.682 -1.768 -2.061 -4.084 -7.161 Municipal Securities U0A0 553.196 1.175 1.119 1.341 0.813 0.032 -2.915 Non-dollar Governments

(US$ Terms Unhedged) N0G1 305.286 -1.644 -2.557 3.294 -1.793 -3.000 1.412 (US$ Terms 100% Hedged) N0G1 759.221 0.025 1.115 2.534 -0.124 0.662 0.664


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Market Performance With Treasuries reversing course for the third straight month ‒ this time for the better ‒ credit markets lagged

with Corporates and Foreign Governments both widening just under 10bp, though collateralized/securitized

indices held steady. Given that the curve shifted 11bp lower on average, the net impact for Corporates and

Foreign Governments was negligible. But over the four month cycle the trend has been downward. During that

cumulative period the curve shifted 9bp higher, while the Corporate Index widened 31bp on top of that and

Foreign Governments widened 22bp.

Chart 4: Option-adjusted spread vs Treasuries by sector

Table 2: US Broad Market Index total and excess returns by sector and duration

Total Return Treasury Quasi Govt Corporate Mortgage ABS CMBS Broad Mkt

0 - 1 0.22% 0.21% 0.22%

0.24% 0.27% 0.23% 1 - 2 0.31% 0.32% 0.37%

0.33% 0.40% 0.32%

2 - 3 0.46% 0.39% 0.41% 0.01% 0.49% 0.57% 0.42% 3 - 4 0.60% 0.48% 0.48% 0.39% 0.73% 0.70% 0.52% 4 - 5 0.78% 0.35% 0.52% 0.65% 0.60% 0.84% 0.66% 5 - 6 0.95% 0.19% 0.57% 0.79% 0.93% 0.93% 0.78% 6 - 7 1.06% 0.45% 0.49% 0.93% 0.31% 0.99% 0.85% 7 - 8 1.08% 0.69% 0.55% 0.98% 1.00% 0.98% 0.78% 8 - 9 1.11% 1.16% 0.57%

0.57% 0.75% 0.94%

9 - 10 1.28% 0.64% 0.28%

1.16% 1.27% 0.55% 10+ 2.07% 0.33% 0.38%

1.35% 2.26% 1.18%

1-month 0.91% 0.43% 0.45% 0.73% 0.40% 0.84% 0.70% 3-month 1.07% 0.17% -0.19% 0.93% 0.56% 0.69% 0.62% 6-month -0.79% -1.24% -1.76% -0.64% 0.40% -0.66% -1.03% 12-month -0.78% -0.12% 0.09% -0.29% 1.09% -0.13% -0.35% Excess Return Quasi Govt Corporate Mortgage ABS CMBS Broad Mkt

0 - 1

0.01% 0.02%

0.06% 0.09% 0.04% 1 - 2

0.04% 0.08%

0.05% 0.11% 0.04%

2 - 3

-0.06% -0.04% -0.45% 0.04% 0.12% -0.03% 3 - 4

-0.12% -0.13% -0.21% 0.13% 0.09% -0.09%

4 - 5

-0.42% -0.26% -0.08% -0.13% 0.05% -0.10% 5 - 6

-0.71% -0.34% -0.04% 0.03% 0.01% -0.08%

6 - 7

-0.56% -0.52% 0.00% -0.68% -0.01% -0.11% 7 - 8

-0.39% -0.55% -0.05% -0.06% -0.12% -0.33%

8 - 9

0.00% -0.59%

-0.60% -0.40% -0.23% 9 - 10

-0.63% -0.98%

-0.07% -0.01% -0.72%

10+

-1.38% -1.39%

-0.12% 0.77% -0.73% 1-month -0.36% -0.56% -0.07% 0.03% 0.01% -0.19% 3-month -0.70% -1.34% 0.03% 0.10% -0.06% -0.38% 6-month -0.47% -0.65% -0.06% 0.33% 0.47% -0.17% 12-month 0.01% 0.02%

0.06% 0.09% 0.04%

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140

May

-17

Jun

-17

Jul-

17

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g-1

7

Sep

-17

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-17

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v-17

Dec

-17

Jan

-18

Feb

-18

Mar

-18

Ap

r-18

May

-18

Op

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n-A

dju

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Sp

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US Agency MBS Forgn Govt Corp ABS CMBS


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Treasury curve performance

The curve shifted 11bp lower in a nearly parallel move with the best risk-adjusted price returns delivered in the

4-7 year duration buckets. As a result, bullet portfolio structures had a performance edge over those

concentrated in the wings, but the margins were modest with the gap between the best and worst performing

duration-matched combos amounting to only 0.19%.

Chart 5: 1-month change in US Treasury Curve

Chart 6: Duration-adjusted Treasury price returns

Table 3: Duration-matched combinations vs. Treasury Index total return

Eff. Duration 1-2 yr 2-3 yr 3-4 yr 4-5 yr 5-6 yr 6-7 yr 7-8 yr 8-9 yr 9-10 yr 10+ yr 1-2 year na na na na na 0.12 (0.01) (0.05) (0.04) (0.06) 2-3 year

na na na na 0.12 0.00 (0.04) (0.02) (0.03)

3-4 year

na na na 0.12 0.01 (0.03) (0.01) (0.01) 4-5 year

na na 0.12 0.04 0.02 0.04 0.06

5-6 year

na 0.13 0.09 0.08 0.10 0.11 6-7 year

na na na na na

7-8 year

na na na na 8-9 year

na na na

9-10 year

na na 10+ year

na

-0.14

-0.12

-0.10

-0.08

-0.06

-0.04

-0.02

0.00

2 4 6 8 10 12 14 16 18 20 22 24 26 28 30

1-month Change Avg Shift

1-month Change Average Shift = -11bp 2yr-30yr Spread = -4bp 5yr-30yr Spread = +1bp 10yr-30yr Spread = unch

0

2

4

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10

12

14

16

1-2 2-3 3-4 4-5 5-6 6-7 7-8 8-9 9-10 10+

Du

r. A

dj.

Pri

ce R

etu

rn (

bp

s)

Effective Duration

Duration bucket risk-adj return Index risk-adj return


8

Callable agency relative performance

Implied swaption volatility increased during May, roughly returning to where it stood at the end of Q1. Even so,

volatility remains toward the low end of the historical range (Chart 8). With spreads unchanged in both

components that was enough to tip the scales in favor of bullets relative to risk-matched callable agencies. A

0.06% shortfall is not overwhelming but it represents the largest one month shortfall for callable agencies since

last September.

Chart 7: Swaption implied volatility one month change Chart 8: Swaption implied volatility

Table 4: Callable agency vs. duration-matched bullet agency returns

1-month 3-month 6-month 12-month Jun-17 -0.02% 0.09% 0.21% 0.01% Jul-17 0.04% 0.06% 0.22% 0.00% Aug-17 0.08% 0.11% 0.30% 0.04% Sep-17 -0.10% 0.03% 0.12% -0.12% Oct-17 0.03% 0.02% 0.09% -0.11% Nov-17 0.02% -0.04% 0.07% 0.27% Dec-17 0.06% 0.11% 0.14% 0.35% Jan-18 -0.05% 0.03% 0.06% 0.27% Feb-18 0.05% 0.06% 0.02% 0.32% Mar-18 0.10% 0.10% 0.22% 0.34% Apr-18 -0.01% 0.14% 0.18% 0.26% May-18 -0.06% 0.04% 0.10% 0.16%

14

16

18

20

22

24

26

28

30

1x1 1x2 1x3 1x4 2x1 2x2 2x3 2x5 3x2 3x4 3x7 4x3 5x5 5x10

Current Prior Month

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80

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100

Imp

lied

Sw

apti

on

Vo

lati

lity

1x1 2x3 5x5


9

Corporate performance by sector/rating

There was a slightly downward rating bias in May as AAAs held firm, AAs widened 4bp, As widened 6bp and

BBBs widened 10bp on the month. At 154bp the BBB Corporate Index spread closed the month at a 12 month

high, though it is still just half of its 5-year high (303bp on February 12, 2016). All sectors widened as well but

only four moved by 10bp or more: Utilities (+10bp), Basic Industry (+12bp), Telecom (+13bp) and Media

(+16bp). All four have longer than average spread durations – Utilities, in particular (9.22 years vs. 7.05 years

for the Corporate Index) – so the impact of their respective spread sell-offs were exacerbated when measured

in terms of excess return.

Chart 9: Corporate option-adjusted spread vs Treasuries by rating

Table 5: Corporate Index excess return by sector

Excess Return

Spread

Duration 1-mo Chg

OAS 1-mo 3-mo 6-mo 12-mo Banking 5.13 9 -0.49% -1.10% -0.94% 0.89% Financial Services 5.48 4 -0.26% -0.90% -0.35% 1.57% Insurance 7.89 8 -0.71% -1.61% -0.79% 1.20% Financial (Total) 5.56 9 -0.50% -1.16% -0.88% 0.99% Automotive 4.32 3 -0.09% -0.49% -0.41% 1.48% Basic Industry 7.43 12 -0.94% -2.22% -1.10% 2.19% Capital Goods 7.06 4 -0.39% -1.23% -1.15% -0.04% Consumer Goods 7.28 6 -0.54% -1.40% -1.20% 0.34% Energy 7.55 8 -0.57% -1.35% -0.21% 2.16% Healthcare 7.88 4 -0.36% -1.20% -0.61% 0.95% Leisure 4.76 4 -0.18% -0.75% -0.26% 0.99% Media 8.21 16 -1.53% -2.62% -0.96% 0.36% Real Estate 5.71 3 -0.13% -1.19% -0.40% 1.72% Retail 8.11 5 -0.36% -1.16% -0.27% 1.25% Services 9.04 5 -0.42% -0.79% 0.09% 2.01% Technology & Electronics 7.14 3 -0.21% -0.77% -0.07% 1.47% Telecommunications 8.59 13 -1.18% -1.89% 0.09% 2.11% Transportation 9.08 9 -0.89% -2.10% -1.50% 0.68% Industrials (Total) 7.47 7 -0.55% -1.38% -0.55% 1.32% Utility 9.22 10 -0.82% -1.68% -0.71% 1.74% US Corporate Index 7.05 8 -0.56% -1.34% -0.65% 1.26%

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100

120

140

160

May

-17

Jun

-17

Jul-

17

Au

g-1

7

Sep

-17

Oct

-17

No

v-17

Dec

-17

Jan

-18

Feb

-18

Mar

-18

Ap

r-18

May

-18

Op

tio

n-A

dju

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Sp

read

Corp AAA AA A BBB


10

Corporate Index best/worst performers

The combined negative excess return of the 20 worst performers was four times the magnitude of the positive

excess return of the twenty best performers (-1.17% vs. +0.25%). To top it off, the worst performers held a

much larger share of the index (14.7% vs. 3.7%). Banks dominated the bottom of the rankings with seven of

the twenty worst performances, including Intesa Sanpaolo which widened 91bp amidst political upheaval in

southern Europe. Media only had three names on the worst performers list but they all suffered major setbacks.

Most notably, Comcast (+25bp) confirmed that it is considering a higher all cash offer for the Fox (+17bp)

assets that Disney is attempting to acquire. Meanwhile Energy names claimed eight of the top ranked positions

but six of the eight moved 5bp or less and the best among them, Ruby Pipeline (-59bp), only has one bond in

the index. Telecom giants AT&T and Verizon placed among the bottom three in the weighted rankings. AT&T

is awaiting a decision on the antitrust trial over its $85bn takeover of Time Warner, which is due in mid-June.

Table 6: Best/worst performers ranked by weighted excess return

Rank Issuer 1-mo Chg

OAS Excess Return

Begin Weight

Weighted Excess Return Sector

Top twenty: 1 QCOM -9 0.83 0.27 0.0022 Technology & Electronics 2 BBBY -52 5.10 0.02 0.0009 Retail 3 AGN -2 0.23 0.34 0.0008 Healthcare 4 M -7 0.75 0.08 0.0006 Retail 5 AAPL 0 0.05 1.18 0.0005 Technology & Electronics 6 CNOOC -3 0.13 0.30 0.0004 Energy 7 WPZ 0 0.13 0.27 0.0004 Energy 8 WPG -41 2.29 0.02 0.0003 Real Estate 9 TD -5 0.16 0.22 0.0003 Banking 10 CNQCN -1 0.26 0.13 0.0003 Energy 11 RPLLLC -59 2.21 0.01 0.0003 Energy 12 SINOPE -2 0.08 0.36 0.0003 Energy 13 LUKOIL -17 0.43 0.06 0.0003 Energy 14 HON -5 0.20 0.13 0.0003 Capital Goods 15 GRRIVE -19 1.25 0.02 0.0002 Utility 16 ADM -3 0.34 0.07 0.0002 Consumer Goods 17 MRO -1 0.27 0.09 0.0002 Energy 18 WPPLN -1 0.51 0.05 0.0002 Media 19 BWP -5 0.41 0.05 0.0002 Energy 20 FFHCN 2 0.88 0.02 0.0002 Insurance

0.25 3.68 0.0093

Bottom twenty: 1114 AIG 11 -1.36 0.32 -0.0043 Insurance 1115 EDF 26 -1.71 0.25 -0.0043 Utility 1116 CHTR 14 -1.28 0.37 -0.0047 Media 1117 FOXA 17 -1.84 0.28 -0.0052 Media 1118 ISPIM 92 -5.12 0.11 -0.0056 Banking 1119 JPM 6 -0.34 1.65 -0.0057 Banking 1120 VALEBZ 35 -2.95 0.19 -0.0057 Basic Industry 1121 TELEFO 23 -2.40 0.24 -0.0058 Telecommunications 1122 ABIBB 6 -0.52 1.12 -0.0059 Consumer Goods 1123 WFC 7 -0.46 1.33 -0.0061 Banking 1124 TRPCN 28 -2.39 0.26 -0.0061 Energy 1125 C 9 -0.50 1.36 -0.0068 Banking 1126 ENELIM 56 -4.03 0.19 -0.0078 Utility 1127 BACR 26 -1.74 0.45 -0.0078 Banking 1128 GS 9 -0.58 1.47 -0.0085 Banking 1129 HSBC 15 -1.19 0.94 -0.0111 Banking 1130 PEMEX 32 -1.92 0.81 -0.0156 Energy 1131 T 14 -1.29 1.29 -0.0167 Telecommunications 1132 VZ 13 -1.40 1.19 -0.0167 Telecommunications 1133 CMCSA 25 -2.58 0.84 -0.0218 Media

-1.17 14.67 -0.1720


11

Other than the HEL and Manufactured Housing sectors, which together make

up less than 2% of the index, fixed rate ABS managed to keep pace with

Treasuries. Even Utilities, Equipment and Other, which has been the most

volatile sector over the last year, was dead equal to risk-matched Treasuries.

Table 7: Fixed Rate Asset Backed Index excess return by sector

Sector: All Fixed Rate Credit Cards Auto HEL Mfg. Housing

Utilities, Equipment &

Other Ticker: R0A0 R0C0 R0U0 R0H0 R0M0 R0O0 Jun-17 0.10% 0.02% 0.06% 0.68% 0.37% 0.32% Jul-17 0.08% 0.03% 0.06% 0.24% 0.27% 0.18% Aug-17 0.09% 0.08% 0.10% -0.61% 0.40% 0.08% Sep-17 0.10% 0.01% 0.08% 1.22% 1.15% 0.24% Oct-17 0.15% 0.09% 0.10% 0.53% 0.51% 0.29% Nov-17 0.14% 0.10% 0.13% 0.71% 0.57% 0.22% Dec-17 0.02% -0.01% 0.01% -0.07% 0.29% 0.07% Jan-18 0.22% 0.08% 0.14% 0.31% 1.42% 0.53% Feb-18 -0.01% -0.12% -0.03% 0.09% 0.74% 0.16% Mar-18 -0.10% -0.10% -0.08% -0.13% -0.52% -0.14% Apr-18 0.17% 0.15% 0.12% 0.10% 0.61% 0.28% May-18 0.03% 0.01% 0.06% -0.23% -0.21% 0.00%

3-month 0.10% 0.06% 0.10% -0.26% -0.11% 0.14% 6-month 0.33% 0.00% 0.22% 0.07% 2.37% 0.90% 12-month 0.99% 0.33% 0.76% 2.87% 5.72% 2.25%

After a month in which the lowest and highest coupons both outperformed, a

rising curve caused returns to steadily decline as you moved up in coupon

in May.

Table 8: MBS returns by coupon Coupon Conv. 30 GN 30 All 15 All 20 3.0% & lower 0.96 0.94 0.53 1.01 3.5% 0.83 0.77 0.44 0.76 4.0% 0.73 0.68 0.25 0.69 4.5% 0.63 0.60

5.0% 0.20 0.30 >=5.5% -0.34 -0.20

Chart 10: 30-year MBS 1-month total return by coupon

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

3.0% &lower

3.5% 4.0% 4.5% 5.0% >=5.5%

Conv. 30 GN 30 All 30 Yr


12

Index composition The inclusion of new 10- and 30-year securities helped extend the US Treasury Index duration by 0.13 years at

the rebalancing, which is exactly in line with the average May extension over the last 10 years. That, net of

duration drift during the month, left the index 0.09 years longer than where it stood at the beginning of the

month. The rebalancing turnover added $51bn in debt to the index holdings, but that was mostly offset by the

removal of $40bn in coupon payments received during the month. As a result the Treasury share of the Broad

Index increased by less than 0.1%.

A total of $109bn face value from 76 names was added to the US Corporate Index for June. The largest new

additions came from Bank of America (BAC $8.3bn) and Maple Escrow (MAPLEE $8.0bn), which is the funding

vehicle set up to finance the acquisition of Dr Pepper Snapple by Keurig Green Mountain. Other sizable new

additions included General Dynamics (GD $6.5bn), GlaxoSmithKline ($5.3bn) and Goldman Sachs

(GS $5.0bn).

A total of $5bn in face value was removed from the US Corporate Index (C0A0) due to rating downgrades. The

largest departing fallen angel was Pitney Bowes (PBI $2.0bn), but S&P’s downgrade of Turkey’s sovereign

rating also caused the removal of two Turkish telecoms: TURKTI $1.0bn, TCELLT $1.0bn.

Chart 11: US Broad Market Index sector allocations Chart 12: Change in sector allocations

Mortgage, 23.8%

CMBS, 1.7%

Asset Backed,

1.2%

Utility, 2.1% Industrial,

16.4%

Financial, 7.7%

Foreign Gvt, 5.0%

Taxable Muni, 0.7%

US Agency, 1.6%

US Treasury,

39.4%

-0.15%-0.10%-0.05% 0.00% 0.05% 0.10% 0.15% 0.20%

Mortgage

CMBS

Asset Backed

Utility

Industrial

Financial

Foreign Gvt

Taxable Muni

US Agency

US Treasury


13

Table 9: US Broad Market Index sector allocations and characteristics 3/31/2018 vs Prior Month

% Weight Contribution Dur % Weight Contribution Dur Sector Sector Index EffDur Sector Index EffConv OAS Sector Index EffDur Sector Index EffConv OAS US Treasury 100.00 39.44 6.30 6.30 2.48 0.89 0 0.00 0.08 0.09 0.09 0.04 0.02 0 US Agency 22.19 1.61 3.83 0.85 0.06 0.31 14 -0.07 -0.03 0.00 0.00 0.00 -0.02 0 Taxable Munis 9.51 0.69 10.62 1.01 0.07 1.76 113 0.08 -0.01 0.05 0.01 0.00 0.01 4 Foreign Govt & Supranational 68.30 4.95 5.06 3.46 0.25 0.55 77 -0.02 -0.08 0.03 0.02 0.00 0.08 9 Quasi-Government 100.00 7.25 5.32 5.32 0.39 0.61 66 0.00 -0.12 0.04 0.04 0.00 0.05 6 Banking 23.10 6.05 5.08 1.17 0.31 0.49 111 0.18 0.03 -0.01 0.01 0.00 0.00 10 Financial Services 1.98 0.52 5.53 0.11 0.03 0.57 125 -0.02 -0.01 0.14 0.00 0.00 0.02 6 Insurance 4.30 1.13 7.80 0.34 0.09 1.15 132 -0.02 -0.01 -0.02 0.00 0.00 0.00 8 Sub-Total Financial 29.38 7.70 5.51 1.62 0.42 0.59 115 0.13 0.01 0.00 0.01 0.00 -0.01 9 Automotive 2.73 0.71 4.35 0.12 0.03 0.37 107 -0.02 -0.01 0.02 0.00 0.00 0.01 4 Basic Industry 4.15 1.09 7.51 0.31 0.08 1.04 155 -0.14 -0.04 0.06 -0.01 0.00 0.01 11 Capital Goods 4.82 1.26 7.11 0.34 0.09 0.97 99 0.10 0.02 -0.09 0.00 0.00 -0.02 3 Consumer Goods 6.40 1.68 7.37 0.47 0.12 1.04 110 0.16 0.04 -0.07 0.01 0.00 -0.02 7 Energy 11.46 3.00 7.61 0.87 0.23 1.06 154 -0.10 -0.04 0.07 0.00 0.00 0.01 8 Healthcare 8.35 2.19 7.98 0.67 0.17 1.21 106 0.01 0.00 0.01 0.00 0.00 0.00 4 Leisure 0.21 0.06 4.81 0.01 0.00 0.30 127 0.00 0.00 -0.08 0.00 0.00 -0.01 4 Media 3.24 0.85 8.30 0.27 0.07 1.24 157 -0.05 -0.02 -0.12 -0.01 0.00 -0.02 16 Real Estate 2.30 0.60 5.79 0.13 0.03 0.53 130 0.00 0.00 -0.04 0.00 0.00 0.00 4 Retail 4.07 1.07 8.21 0.33 0.09 1.24 112 0.00 0.00 -0.03 0.00 0.00 -0.01 5 Services 1.04 0.27 9.15 0.10 0.02 1.82 112 0.03 0.01 0.00 0.00 0.00 0.00 6 Technology & Electronics 7.58 1.99 7.22 0.55 0.14 1.04 91 -0.09 -0.03 0.11 0.00 0.00 0.03 3 Telecommunications 4.17 1.09 8.68 0.36 0.09 1.38 162 -0.08 -0.02 -0.05 -0.01 0.00 -0.01 13 Transportation 2.20 0.58 9.19 0.20 0.05 1.59 126 0.00 0.00 -0.01 0.00 0.00 0.00 9 Sub-Total Industrial 62.72 16.43 7.55 4.74 1.24 1.09 125 -0.19 -0.10 0.00 -0.01 -0.01 0.00 7 Utility 7.89 2.07 9.31 0.73 0.19 1.51 125 0.06 0.01 0.05 0.01 0.00 0.01 10 Total Corporates 100.00 26.19 7.09 7.09 1.86 0.98 122 0.00 -0.08 0.00 0.00 -0.01 0.00 8 FH&FN 30 Yr 56.24 13.37 5.30 2.98 0.71 -1.40 31 0.19 0.12 -0.22 -0.11 -0.02 -0.15 1 GN 30 Yr 29.04 6.91 5.11 1.48 0.35 -1.28 28 -0.04 0.03 -0.22 -0.07 -0.01 -0.18 -1 All 15 Yr 11.32 2.69 3.96 0.45 0.11 -0.20 22 -0.15 -0.02 -0.06 -0.01 0.00 -0.05 4 All 20 Yr 3.40 0.81 4.71 0.16 0.04 -0.74 24 -0.01 0.00 -0.15 -0.01 0.00 -0.11 -3 Total Mortgages 100.00 23.78 5.08 5.08 1.21 -1.21 29 0.00 0.14 -0.19 -0.19 -0.04 -0.15 1 Total ABS 100.00 1.24 1.97 1.97 0.02 0.09 68 0.00 0.00 0.00 0.00 0.00 0.00 -1 Total CMBS 100.00 1.70 5.13 5.13 0.09 0.35 86 0.00 0.00 -0.02 -0.02 0.00 -0.01 1 Total Covered Bonds 100.00 0.21 2.54 2.54 0.01 0.09 43 0.00 -0.02 0.02 0.02 0.00 0.00 1 Total Hybrid Securitized Corp 100.00 0.19 8.75 8.75 0.02 1.29 130 0.00 0.00 -0.04 -0.04 0.00 -0.01 14 US Broad Market 100.00 100.00 6.07 6.07 6.07 0.37 46 0.00 0.00 0.00 0.00 0.00 -0.03 2

Table 10: US Broad Market Index effective duration distribution

Treasury Quasi-Gvt Corporate Mortgage ABS CMBS Broad Mkt EffDur %Wgt Chg %Wgt Chg %Wgt Chg %Wgt Chg %Wgt Chg %Wgt Chg %Wgt Chg 0 - 1 1.0 0.0 0.3 0.1 0.5 -0.2 0.0 0.0 30.3 0.6 2.4 0.4 1.0 0.0 1 - 2 18.8 -0.6 23.9 0.8 10.2 0.0 0.0 0.0 33.3 -1.3 3.8 -0.7 12.4 -0.3 2 - 3 15.3 -0.1 16.8 -1.2 12.1 0.0 2.9 0.1 18.8 0.3 9.5 0.6 11.6 -0.1 3 - 4 12.3 -0.1 12.7 0.1 10.9 0.1 11.2 0.1 5.0 -0.1 11.6 0.1 11.6 0.0 4 - 5 11.6 0.0 9.4 0.5 10.1 0.0 25.5 4.5 6.8 0.7 18.7 0.3 14.4 1.2 5 - 6 8.5 0.0 4.4 -0.7 8.2 0.4 41.4 3.7 2.3 -0.4 17.4 0.8 16.0 1.0 6 - 7 5.6 0.4 4.4 -0.1 7.9 -0.8 18.9 -8.4 2.4 0.8 15.0 -1.6 9.4 -2.0 7 - 8 3.7 -0.7 5.7 0.3 9.7 0.6 0.2 -0.1 0.4 -0.5 19.6 0.7 4.8 -0.1 8 - 9 4.0 1.0 4.9 -0.5 2.4 -0.1 0.0 0.0 0.2 0.0 1.5 -0.6 2.6 0.3 9 - 10 0.2 0.0 2.0 0.6 0.9 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.5 0.0 10+ 19.1 0.3 15.5 0.2 27.1 0.0 0.0 0.0 0.4 0.0 0.4 0.0 15.8 0.1


14

Table 11: Mortgage Index coupon/production year distribution

Conv 30yr 2.50-3.00 3.50 4.00 4.50 5.00 5.50 6.00-6.50 Total 2018 0.06 1.18 1.61 0.66 0.07

3.58

2017 0.49 5.14 3.68 0.91 0.03

10.25 2016 6.42 2.86 0.93 0.14

10.35

2015 1.51 4.12 1.10 0.09

6.83 2014 0.05 1.38 1.98 0.31 0.02

3.74

2013 3.47 1.75 1.09 0.20 0.01

6.52 2012 2.45 2.72 0.72 0.07

5.97

2011

0.46 0.91 0.72 0.21 0.01

2.31 2010

0.15 0.81 0.74 0.37 0.03

2.09

2009

0.01 0.42 0.92 0.32 0.05

1.72 2008

0.01 0.10 0.15 0.12 0.37

2007

0.03 0.13 0.25 0.42 2006

0.02 0.07 0.23 0.32

2005

0.02 0.19 0.21 0.07 0.49 2004

0.01 0.12 0.18 0.08 0.40

2003

0.06 0.26 0.26 0.07 0.64 2002

0.05 0.10 0.15

2001

0.05 0.05 Total 14.47 19.77 13.26 4.86 1.74 1.14 1.01 56.24

GN 30yr 2.50-3.00 3.50 4.00 4.50 5.00 5.50 6.00 Total 2018 0.09 0.73 0.67 0.27 0.03

1.78

2017 1.20 3.47 1.72 0.33 0.07

6.80 2016 3.30 2.22 0.38 0.10 0.02

6.02

2015 1.00 2.19 0.66 0.04 0.01

3.90 2014 0.12 0.83 0.81 0.14 0.01

1.90

2013 1.31 0.79 0.32 0.16

2.59 2012 0.85 1.27 0.21 0.01 0.01

2.34

2011

0.22 0.42 0.32 0.05

1.01 2010

0.02 0.35 0.47 0.26

1.11

2009

0.06 0.45 0.39 0.05 0.01 0.96 2008

0.03 0.08 0.07 0.18

2007

0.03 0.05 0.07 2006

0.02 0.03 0.06

2005

0.03 0.04 0.01 0.08 2004

0.02 0.04 0.02 0.08

2003

0.01 0.05 0.06 0.02 0.14 Total 7.87 11.74 5.59 2.30 0.98 0.33 0.23 29.04

All 15yr 2.00-3.00 3.50 4.00 Total 2018 0.26 0.21 0.04

0.51

2017 1.51 0.27 0.01

1.80 2016 2.05 0.06

2.12

2015 1.34 0.09

1.43 2014 0.64 0.18

0.82

2013 1.69 0.12

1.81 2012 1.55 0.07

1.62

2011 0.35 0.27 0.12

0.74 2010 0.03 0.20 0.15

0.38

2009

0.10

0.10 Total 9.42 1.48 0.42

11.32

All 20yr 2.50-3.00 3.50 4.00 Total 2018 0.02 0.10 0.02

0.13

2017 0.23 0.24 0.03

0.49 2016 0.59 0.05 0.01

0.65

2015 0.27 0.11 0.01

0.39 2014 0.03 0.10 0.07

0.21

2013 0.34 0.11 0.04

0.49 2012 0.30 0.22 0.02

0.54

2011

0.11 0.09

0.20 2010

0.02 0.08

0.10

Total 1.77 1.06 0.37

3.20 Production years with less than a 0.1% index share not shown.


15

Chart 13: MBS effective duration vs. 10-year Treasury yield

4.20

4.40

4.60

4.80

5.00

5.20

5.40

2.00

2.20

2.40

2.60

2.80

3.00

May

-17

Jun-

17

Jul-1

7

Aug

-17

Sep

-17

Oct

-17

Nov

-17

Dec

-17

Jan-

18

Feb

-18

Mar

-18

Apr

-18

May

-18

Mo

rtg

age

Ind

ex e

ffec

tive

du

rati

on

10-y

ear

Tre

sury

yie

ld

10Yr Tsy Yield Eff Dur


16

Return attributions

Chart 14: 1-month change in the US Treasury curve

Table 12: US Broad Market Index return attributions by sector (current month)

Index Ticker Coupon Amort./Roll Curve

Shift Curve

Reshape Spread Change

Prin Paydn

Vol Change

Total Return

Excess Return

US Broad Market US00 0.27% 0.20% 0.44% -0.02% -0.18%

0.00% 0.70% -0.19% US Large Cap USL0 0.26% 0.21% 0.42% -0.02% -0.17%

0.00% 0.70% -0.18%

Domestic Master D0A0 0.27% 0.21% 0.44% -0.02% -0.19%

0.00% 0.70% -0.19% Corp/Govt Master B0A0 0.25% 0.04% 0.67% 0.01% -0.28%

0.00% 0.69% -0.23%

1-3yr Corp/Govt B1A0 0.20% 0.05% 0.19% -0.07% -0.01%

0.00% 0.36% 0.02% 3-5yr Corp/Govt B2A0 0.22% 0.07% 0.39% 0.03% -0.11%

0.00% 0.59% -0.07%

5-7yr Corp/Govt B3A0 0.25% 0.05% 0.56% 0.08% -0.16%

0.00% 0.78% -0.13% 7-10yr Corp/Govt B4A0 0.28% 0.04% 0.76% 0.07% -0.40%

0.00% 0.74% -0.34%

10+yr Corp/Govt B9A0 0.35% -0.01% 1.55% 0.02% -0.77%

0.00% 1.14% -0.70% 1-5yr Corp/Govt BVA0 0.21% 0.06% 0.27% -0.03% -0.05%

0.00% 0.46% -0.02%

1-10yr Corp/Govt B5A0 0.23% 0.05% 0.40% 0.01% -0.13%

0.00% 0.56% -0.09% Treasury Master G0Q0 0.20% 0.05% 0.65% 0.01% 0.00%

0.00% 0.91% 0.01%

1-3yr Treasury G1O2 0.17% 0.07% 0.19% -0.07% 0.01%

0.00% 0.36% 0.02% 3-5yr Treasury G2O2 0.18% 0.08% 0.39% 0.03% -0.02%

0.00% 0.65% -0.01%

5-7yr Treasury G3O2 0.20% 0.06% 0.57% 0.09% 0.03%

0.00% 0.95% 0.03% 7-10yr Treasury G4O2 0.22% 0.04% 0.79% 0.07% -0.04%

0.00% 1.08% -0.04%

10+yr Treasury G9O2 0.28% -0.01% 1.73% 0.03% 0.00%

0.00% 2.03% 0.00% 1-5yr Treasury GVQ0 0.17% 0.07% 0.27% -0.03% -0.01%

0.00% 0.48% 0.01%

1-10yr Treasury G5O2 0.18% 0.06% 0.38% 0.00% 0.00%

0.00% 0.63% 0.01% Quasi-Government DQG0 0.27% 0.03% 0.56% -0.01% -0.42%

0.00% 0.43% -0.36%

US Agency Composite UAGY 0.22% 0.03% 0.40% -0.04% 0.01%

0.00% 0.62% 0.03% AAA Agency Master G0P0 0.23% 0.03% 0.40% -0.03% 0.01%

0.00% 0.63% 0.03%

1-3yr Agencies G1P0 0.19% 0.05% 0.18% -0.07% 0.01%

0.00% 0.36% 0.03% 3-5yr Agencies G2P0 0.17% 0.10% 0.36% 0.02% 0.01%

-0.01% 0.65% 0.03%

5-7yr Agencies G3P0 0.28% -0.01% 0.56% 0.08% -0.01%

0.00% 0.91% 0.01% 7-10yr Agencies G4P0 0.24% 0.04% 0.76% 0.08% -0.09%

-0.01% 1.02% -0.07%

10+yr Agencies G9P0 0.40% -0.11% 1.10% -0.01% 0.02%

0.00% 1.40% 0.03% 1-5yr Agencies GVP0 0.19% 0.06% 0.22% -0.05% 0.01%

0.00% 0.42% 0.03%

1-10yr Agencies G5P0 0.19% 0.05% 0.26% -0.04% 0.00%

0.00% 0.46% 0.02% Foreign Governments GS00 0.26% 0.04% 0.53% 0.00% -0.56%

0.00% 0.28% -0.49%

Taxable Munis DQTM 0.39% -0.04% 1.11% 0.00% -0.43%

-0.02% 1.03% -0.36% Build America Bonds DBAB 0.41% -0.07% 1.15% -0.01% -0.64%

-0.01% 0.83% -0.58%

Corporate Master C0A0 0.33% 0.02% 0.74% 0.02% -0.66%

0.00% 0.45% -0.56% 1-3yr Corporates C1A0 0.28% 0.01% 0.20% -0.06% -0.05%

0.00% 0.38% 0.02%

-0.14

-0.12

-0.10

-0.08

-0.06

-0.04

-0.02

0.00

2 4 6 8 10 12 14 16 18 20 22 24 26 28 30

1-month Change Avg Shift

1-month Change Average Shift = -11bp 2yr-30yr Spread = -4bp 5yr-30yr Spread = +1bp 10yr-30yr Spread = unch


17

Table 12: US Broad Market Index return attributions by sector (current month)


Shift Curve


Prin Paydn

Vol Change

Total Return

Excess Return

3-5yr Corporates C2A0 0.28% 0.05% 0.38% 0.03% -0.24%

0.00% 0.50% -0.15% 5-7yr Corporates C3A0 0.32% 0.03% 0.55% 0.08% -0.39%

0.00% 0.59% -0.30%

7-10yr Corporates C4A0 0.33% 0.04% 0.74% 0.07% -0.65%

-0.01% 0.51% -0.55% 10+yr Corporates C9A0 0.40% -0.01% 1.43% 0.02% -1.46%

-0.01% 0.38% -1.34%

1-5yr Corporates CVA0 0.28% 0.03% 0.29% -0.02% -0.14%

0.00% 0.43% -0.06% 1-10yr Corporates C5A0 0.30% 0.03% 0.45% 0.02% -0.32%

0.00% 0.48% -0.23%

AAA Corporates C0A1 0.27% 0.04% 1.06% 0.03% -0.22%

-0.01% 1.17% -0.18% AA Corporates C0A2 0.26% 0.05% 0.69% 0.01% -0.28%

0.00% 0.72% -0.21%

A Corporates C0A3 0.30% 0.03% 0.73% 0.02% -0.52%

0.00% 0.56% -0.44% BBB Corporates C0A4 0.36% 0.01% 0.75% 0.02% -0.86%

-0.01% 0.28% -0.74%

Financials CF00 0.31% 0.03% 0.58% 0.01% -0.60%

0.00% 0.33% -0.50% Banking C0P0 0.30% 0.03% 0.53% 0.01% -0.58%

0.00% 0.30% -0.49%

Financial Services CFFS 0.34% 0.01% 0.56% 0.02% -0.37%

0.00% 0.56% -0.26% Insurance CFIE 0.36% 0.00% 0.82% 0.02% -0.81%

0.00% 0.39% -0.71%

Industrials CI00 0.33% 0.02% 0.79% 0.02% -0.65%

-0.01% 0.51% -0.55% Automotive CIAU 0.28% 0.05% 0.45% -0.01% -0.18%

0.00% 0.60% -0.09%

Basic Industry CIBS 0.38% 0.00% 0.78% 0.02% -1.06%

0.00% 0.11% -0.94% Capital Goods CICP 0.31% 0.02% 0.76% 0.01% -0.47%

0.00% 0.63% -0.39%

Consumer Goods CICS 0.31% 0.03% 0.78% 0.02% -0.63%

-0.01% 0.51% -0.54% Energy CIEN 0.37% 0.00% 0.79% 0.02% -0.69%

0.00% 0.49% -0.57%

Healthcare CHCR 0.31% 0.03% 0.84% 0.02% -0.44%

-0.01% 0.75% -0.36% Leisure CILE 0.34% 0.02% 0.51% 0.03% -0.29%

0.00% 0.61% -0.18%

Media CIME 0.37% 0.00% 0.88% 0.02% -1.64%

0.00% -0.37% -1.53% Real Estate CIRE 0.33% 0.03% 0.61% 0.04% -0.24%

-0.01% 0.77% -0.13%

Retail CIRL 0.32% 0.02% 0.86% 0.03% -0.45%

-0.01% 0.78% -0.36% Services CISE 0.34% 0.01% 0.96% 0.03% -0.51%

-0.01% 0.83% -0.42%

Technology & Electronics CITE 0.29% 0.04% 0.74% 0.03% -0.29%

-0.01% 0.80% -0.21% Telecommunication C0R0 0.38% 0.00% 0.92% 0.02% -1.30%

0.00% 0.02% -1.18%

Transportation C0W0 0.34% 0.01% 0.97% 0.03% -0.99%

-0.01% 0.36% -0.89% Utilities C0Q0 0.35% 0.01% 0.97% 0.02% -0.91%

-0.01% 0.43% -0.82%

Mortgage Master M0A0 0.30% 0.74% -0.30% -0.11% 0.11% -

0.02% 0.00% 0.73% -0.07%

Conv. 30 Yr MF30 0.31% 0.78% -0.32% -0.11% 0.10% -

0.02% 0.00% 0.76% -0.07%

GN 30 Yr MG1S 0.31% 0.67% -0.31% -0.10% 0.20% -

0.02% 0.00% 0.75% -0.05% All 15 Yr M15A 0.25% 0.69% -0.23% -0.16% -0.06% 0.01% 0.01% 0.51% -0.15% Fixed Rate ABS R0A0 0.21% 0.02% 0.21% -0.02% -0.03%

0.00% 0.40% 0.03%

Credit Card ABS R0C0 0.18% 0.03% 0.21% 0.01% -0.05%

0.00% 0.38% 0.01% Auto Loan ABS R0U0 0.19% 0.02% 0.15% -0.03% 0.02% 0.01% 0.00% 0.35% 0.06% Home Equity Loan ABS R0H0 0.27% 0.00% 0.35% 0.00% -0.31% 0.02% 0.00% 0.33% -0.23% Manufactured Housing ABS R0M0 0.47% -0.02% 0.42% 0.61% -0.99%

-0.04% 0.00% 0.44% -0.21%

Other ABS R0O0 0.27% 0.01% 0.31% -0.02% -0.07% 0.01% 0.00% 0.51% 0.00% CMBS CMBS 0.30% 0.01% 0.55% 0.04% -0.06%

0.00% 0.84% 0.01%


18

Chart 15: YTD change in the US Treasury curve

Table 13: US Broad Market Index return attributions by sector (YTD)


Shift Curve


Prin Paydn

Vol Change

Total Return

Excess Return

US Broad Market US00 1.26% 0.25% -2.28% -0.18% -0.54% -0.02% 0.03% -1.48% -0.33% US Large Cap USL0 1.24% 0.26% -2.27% -0.18% -0.52% -0.02% 0.03% -1.46% -0.33% Domestic Master D0A0 1.26% 0.25% -2.31% -0.17% -0.55% -0.02% 0.03% -1.51% -0.35% Corp/Govt Master B0A0 1.21% 0.09% -2.25% -0.10% -0.65%

0.00% -1.69% -0.39%

1-3yr Corp/Govt B1A0 0.96% 0.13% -0.63% -0.30% -0.07%

0.00% 0.09% 0.06% 3-5yr Corp/Govt B2A0 1.05% 0.22% -1.28% -0.52% -0.28%

0.00% -0.80% -0.16%

5-7yr Corp/Govt B3A0 1.18% 0.16% -1.86% -0.53% -0.44%

0.00% -1.49% -0.24% 7-10yr Corp/Govt B4A0 1.32% 0.09% -2.51% -0.50% -1.05%

0.00% -2.66% -0.74%

10+yr Corp/Govt B9A0 1.61% -0.10% -5.09% 0.94% -1.54%

0.00% -4.18% -1.04% 1-5yr Corp/Govt BVA0 1.00% 0.17% -0.91% -0.40% -0.16%

0.00% -0.30% -0.03%

1-10yr Corp/Govt B5A0 1.08% 0.16% -1.34% -0.44% -0.36%

0.00% -0.90% -0.19% Treasury Master G0Q0 0.95% 0.18% -2.17% -0.08% -0.01%

0.00% -1.13% 0.08%

1-3yr Treasury G1O2 0.79% 0.23% -0.63% -0.31% -0.01%

0.00% 0.08% 0.05% 3-5yr Treasury G2O2 0.87% 0.30% -1.29% -0.53% -0.03%

0.00% -0.69% -0.02%

5-7yr Treasury G3O2 0.94% 0.25% -1.91% -0.54% 0.03%

0.00% -1.23% 0.08% 7-10yr Treasury G4O2 1.02% 0.13% -2.62% -0.50% -0.05%

0.00% -2.02% 0.00%

10+yr Treasury G9O2 1.30% -0.07% -5.64% 1.32% 0.00%

0.00% -3.09% 0.30% 1-5yr Treasury GVQ0 0.82% 0.26% -0.91% -0.40% -0.02%

0.00% -0.25% 0.02%

1-10yr Treasury G5O2 0.87% 0.24% -1.29% -0.44% -0.01%

0.00% -0.63% 0.03% Quasi-Government DQG0 1.28% 0.05% -1.83% -0.24% -0.70%

0.00% -1.44% -0.43%

US Agency Composite UAGY 1.09% 0.04% -1.37% -0.32% 0.06%

0.00% -0.49% 0.14% AAA Agency Master G0P0 1.11% 0.02% -1.38% -0.32% 0.06%

0.00% -0.51% 0.14%

1-3yr Agencies G1P0 0.92% 0.12% -0.62% -0.30% 0.07%

0.00% 0.19% 0.14% 3-5yr Agencies G2P0 0.87% 0.33% -1.21% -0.53% -0.05%

0.00% -0.58% -0.02%

5-7yr Agencies G3P0 1.32% -0.09% -1.94% -0.54% -0.02%

0.00% -1.27% 0.08% 7-10yr Agencies G4P0 1.12% 0.13% -2.57% -0.52% 0.09%

0.00% -1.75% 0.23%

10+yr Agencies G9P0 1.89% -0.57% -3.68% -0.11% 0.15%

0.00% -2.32% 0.28% 1-5yr Agencies GVP0 0.91% 0.16% -0.76% -0.35% 0.04%

0.00% 0.01% 0.11%

1-10yr Agencies G5P0 0.94% 0.15% -0.89% -0.36% 0.04%

0.00% -0.12% 0.11% Foreign Governments GS00 1.25% 0.10% -1.72% -0.27% -1.03%

0.00% -1.67% -0.73%

Taxable Munis DQTM 1.90% -0.28% -3.71% 0.17% -0.12%

0.02% -2.03% 0.38% Build America Bonds DBAB 1.96% -0.38% -3.86% 0.20% -0.22%

0.01% -2.29% 0.24%

Corporate Master C0A0 1.56% -0.02% -2.47% -0.10% -1.57%

0.00% -2.59% -1.09% 1-3yr Corporates C1A0 1.37% -0.11% -0.64% -0.31% -0.23%

0.00% 0.09% 0.07%

3-5yr Corporates C2A0 1.38% 0.09% -1.25% -0.51% -0.71%

0.00% -0.99% -0.38% 5-7yr Corporates C3A0 1.53% 0.04% -1.78% -0.52% -1.16%

0.00% -1.90% -0.72%

7-10yr Corporates C4A0 1.53% 0.06% -2.44% -0.50% -1.78%

0.00% -3.13% -1.28% 10+yr Corporates C9A0 1.84% -0.10% -4.73% 0.71% -3.02%

0.00% -5.30% -2.34%

1-5yr Corporates CVA0 1.38% -0.01% -0.94% -0.41% -0.47%

0.00% -0.45% -0.15%

0.00

0.10

0.20

0.30

0.40

0.50

0.60

2 4 6 8 10 12 14 16 18 20 22 24 26 28 30

YTD Change Avg YTD Shift

YTD Change Average Shift = +36bp 2yr-30yr Spread = -29bp 5yr-30yr Spread = -23bp

10yr-30yr Spread = -17bp


19

Table 13: US Broad Market Index return attributions by sector (YTD)


Shift Curve


Prin Paydn

Vol Change

Total Return

Excess Return

1-10yr Corporates C5A0 1.44% 0.02% -1.49% -0.45% -0.93%

0.00% -1.41% -0.54% AAA Corporates C0A1 1.29% 0.09% -3.54% 0.30% -1.08%

0.00% -2.92% -0.77%

AA Corporates C0A2 1.26% 0.11% -2.23% -0.07% -0.91%

0.00% -1.84% -0.59% A Corporates C0A3 1.45% 0.01% -2.46% -0.09% -1.55%

0.00% -2.64% -1.16%

BBB Corporates C0A4 1.73% -0.07% -2.49% -0.12% -1.72%

0.00% -2.67% -1.13% Financials CF00 1.49% 0.01% -1.93% -0.26% -1.61%

0.00% -2.31% -1.18%

Banking C0P0 1.43% 0.04% -1.79% -0.31% -1.63%

0.00% -2.25% -1.22% Financial Services CFFS 1.66% -0.10% -1.87% -0.31% -1.10%

0.00% -1.72% -0.62%

Insurance CFIE 1.68% -0.10% -2.71% -0.01% -1.77%

0.00% -2.90% -1.24% Industrials CI00 1.59% -0.02% -2.63% -0.05% -1.55%

0.00% -2.66% -1.05%

Automotive CIAU 1.35% 0.12% -1.54% -0.32% -1.15%

0.00% -1.53% -0.73% Basic Industry CIBS 1.80% -0.15% -2.61% -0.08% -2.05%

0.00% -3.07% -1.47%

Capital Goods CICP 1.49% -0.01% -2.57% -0.08% -1.89%

0.00% -3.06% -1.50% Consumer Goods CICS 1.48% 0.02% -2.54% -0.06% -1.99%

0.00% -3.09% -1.56%

Energy CIEN 1.77% -0.10% -2.62% -0.07% -1.26%

0.00% -2.27% -0.66% Healthcare CHCR 1.47% 0.03% -2.80% 0.03% -1.70%

0.00% -2.96% -1.26%

Leisure CILE 1.61% -0.03% -1.68% -0.50% -0.89%

0.00% -1.47% -0.42% Media CIME 1.75% -0.11% -2.87% 0.00% -2.59%

0.00% -3.81% -2.03%

Real Estate CIRE 1.60% -0.01% -2.01% -0.37% -1.22%

0.00% -2.01% -0.72% Retail CIRL 1.52% 0.01% -2.92% 0.02% -1.44%

0.00% -2.81% -0.99%

Services CISE 1.62% -0.07% -3.13% 0.15% -0.76%

0.00% -2.18% -0.27% Technology & Electronics CITE 1.39% 0.08% -2.52% -0.08% -1.00%

0.00% -2.14% -0.61%

Telecommunication C0R0 1.78% -0.08% -2.94% 0.05% -1.17%

0.00% -2.35% -0.45% Transportation C0W0 1.60% -0.04% -3.19% 0.19% -2.34%

0.00% -3.78% -1.85%

Utilities C0Q0 1.66% -0.08% -3.20% 0.15% -1.62%

0.00% -3.09% -1.10% Mortgage Master M0A0 1.43% 0.75% -2.51% -0.40% -0.27% -0.10% 0.13% -0.97% -0.21% Conv. 30 Yr MF30 1.48% 0.79% -2.61% -0.38% -0.31% -0.11% 0.15% -0.99% -0.21% GN 30 Yr MG1S 1.45% 0.68% -2.54% -0.37% -0.14% -0.13% 0.13% -0.91% -0.15% All 15 Yr M15A 1.17% 0.73% -2.00% -0.56% -0.31% 0.01% 0.03% -0.93% -0.30% Fixed Rate ABS R0A0 0.98% 0.06% -0.69% -0.03% -0.01% 0.02% 0.00% 0.31% 0.31% Credit Card ABS R0C0 0.82% 0.09% -0.70% 0.00% -0.21%

0.00% 0.00% 0.01%

Auto Loan ABS R0U0 0.90% 0.06% -0.47% -0.01% -0.06% 0.02% 0.00% 0.44% 0.21% Home Equity Loan ABS R0H0 1.30% 0.02% -1.00% -0.32% -0.18% 0.05% 0.00% -0.14% 0.14% Manufactured Housing ABS R0M0 2.28% -0.12% -1.46% -0.02% 0.82% -0.21% 0.00% 1.30% 2.07% Other ABS R0O0 1.27% 0.03% -1.12% -0.10% 0.31% 0.03% 0.00% 0.41% 0.83% CMBS CMBS 1.43% 0.00% -1.89% -0.36% -0.08%

0.00% -0.90% 0.31%


20

Index statistics Table 14: Index Characteristics

Index Ticker No.

Issues Full Mkt

Value Avg Mat

Eff Yield

Eff Dur

Eff Conv OAS

Asset Swap Price

Acc Int Cpn

Avg Rating

US Broad Market US00 14,588 24,286,322 8.39 3.22 6.07 0.37 46 35 100.78 0.56 3.26 AA1 US Large Cap USL0 10,192 23,103,068 8.22 3.19 6.00 0.34 43 32 100.59 0.54 3.20 AA1 Domestic Master D0A0 9,929 23,573,204 8.52 3.22 6.14 0.38 45 35 100.82 0.57 3.27 AA1 Corporate/Govt Master B0A0 9,386 17,702,108 8.92 3.17 6.49 0.89 50 39 100.83 0.65 3.17 AA2 1-3yr Corp/Govt B1A0 2,176 5,224,912 1.98 2.62 1.90 0.05 21 -4 99.64 0.53 2.43 AA1 3-5yr Corp/Govt B2A0 1,808 3,791,210 4.00 2.96 3.74 0.16 34 18 98.29 0.55 2.55 AA2 5-7yr Corp/Govt B3A0 1,103 2,243,943 6.01 3.19 5.43 0.33 45 37 98.73 0.60 3.01 AA2 7-10yr Corp/Govt B4A0 1,488 2,218,423 8.49 3.61 7.27 0.61 80 74 97.77 0.71 3.39 AA3 10+yr Corp/Govt B9A0 2,811 4,223,621 23.68 3.82 14.78 3.04 89 94 107.95 0.93 4.60 AA3 1-5yr Corp/Govt BVA0 3,984 9,016,122 2.83 2.76 2.68 0.09 26 6 99.07 0.54 2.48 AA1 1-10yr Corp/Govt B5A0 6,575 13,478,487 4.29 2.97 3.89 0.22 38 22 98.79 0.58 2.72 AA2 Treasury Master G0Q0 262 9,579,392 8.01 2.65 6.30 0.89 0 -12 100.33 0.45 2.48 AAA 1-3yr Treasury G1O2 98 3,215,653 1.95 2.41 1.89 0.05 1 -23 99.33 0.41 2.04 AAA 3-5yr Treasury G2O2 59 2,208,735 3.99 2.62 3.79 0.17 0 -15 97.84 0.40 2.09 AAA 5-7yr Treasury G3O2 36 1,344,194 5.98 2.73 5.52 0.35 -1 -8 98.00 0.44 2.40 AAA 7-10yr Treasury G4O2 20 883,181 8.48 2.81 7.55 0.65 1 -3 98.13 0.44 2.68 AAA 10+yr Treasury G9O2 49 1,927,630 23.92 2.95 16.53 3.59 0 3 108.22 0.61 3.63 AAA 1-5yr Treasury GVQ0 157 5,424,387 2.78 2.50 2.66 0.10 1 -20 98.72 0.41 2.06 AAA 1-10yr Treasury G5O2 213 7,651,762 4.00 2.58 3.73 0.21 0 -16 98.53 0.42 2.19 AAA Quasi-Government DQG0 1,407 1,760,996 7.98 3.28 5.32 0.61 66 54 102.37 0.79 3.51 AA2 US Agency Composite UAGY 381 390,846 4.90 2.67 3.83 0.31 14 -3 103.94 0.70 3.12 AAA AAA Agency Master G0P0 379 384,920 4.95 2.67 3.87 0.31 14 -3 104.07 0.71 3.17 AAA 1-3yr Agencies G1P0 240 229,557 1.82 2.45 1.75 0.02 6 -18 99.99 0.58 2.41 AAA 3-5yr Agencies G2P0 70 58,274 3.77 2.69 3.43 -0.06 9 -8 97.76 0.61 2.08 AAA 5-7yr Agencies G3P0 20 16,028 5.95 2.87 5.34 0.32 13 5 103.03 0.91 3.52 AAA 7-10yr Agencies G4P0 15 13,165 8.19 3.04 7.21 0.55 24 19 97.91 0.49 2.97 AAA 10+yr Agencies G9P0 34 67,895 15.68 3.27 10.42 1.57 42 44 131.52 1.41 6.62 AAA 1-5yr Agencies GVP0 310 287,832 2.22 2.50 2.09 0.01 7 -16 99.53 0.58 2.34 AAA 1-10yr Agencies G5P0 345 317,025 2.65 2.54 2.46 0.05 8 -13 99.63 0.60 2.43 AAA Taxable U.S. Municipal DQTM 305 167,388 21.68 3.98 10.62 1.76 113 121 118.64 1.12 5.81 AA3 Foreign Governments GS00 721 1,202,762 7.07 3.38 5.06 0.55 77 63 99.97 0.78 3.32 AA3 Corporate Master C0A0 7,717 6,361,720 10.54 3.93 7.09 0.98 122 113 101.16 0.92 4.11 A3 1-3yr Corporates C1A0 1,569 1,324,910 2.07 3.10 1.96 0.04 68 43 100.45 0.79 3.39 A3 3-5yr Corporates C2A0 1,489 1,222,825 4.04 3.55 3.69 0.14 93 76 99.15 0.79 3.39 A3 5-7yr Corporates C3A0 967 763,115 6.06 3.92 5.28 0.30 119 110 99.54 0.83 3.90 BBB1 7-10yr Corporates C4A0 1,330 1,160,325 8.50 4.19 7.07 0.57 139 131 97.48 0.91 3.90 A3 10+yr Corporates C9A0 2,362 1,890,546 23.75 4.62 13.63 2.68 169 175 106.27 1.17 5.28 A3 1-5yr Corporates CVA0 3,058 2,547,735 3.02 3.31 2.79 0.09 80 59 99.82 0.79 3.39 A3 1-10yr Corporates C5A0 5,355 4,471,174 4.96 3.64 4.33 0.25 102 86 99.16 0.83 3.61 A3 AAA Corporates C0A1 104 114,418 16.43 3.41 10.04 1.93 63 58 101.09 0.88 3.37 AAA AA Corporates C0A2 576 528,214 9.95 3.38 6.69 1.00 72 61 101.10 0.73 3.33 AA3 A Corporates C0A3 3,060 2,676,874 10.02 3.68 6.97 0.96 98 89 101.26 0.84 3.80 A2 BBB Corporates C0A4 3,977 3,042,214 10.89 4.27 7.15 0.95 154 145 101.09 1.03 4.53 BBB2 Financials CF00 1,833 1,869,113 7.51 3.80 5.51 0.59 115 103 100.42 0.91 3.86 A3 Banking C0P0 1,157 1,469,565 6.63 3.75 5.08 0.49 111 97 99.77 0.87 3.69 A3 Financial Services CFFS 234 126,199 7.44 3.91 5.53 0.57 125 112 101.07 1.03 4.29 BBB1 Insurance CFIE 442 273,349 12.27 4.05 7.80 1.15 132 131 103.78 1.04 4.62 A3 Industrials CI00 4,883 3,990,385 11.46 3.98 7.55 1.09 125 116 101.21 0.93 4.17 A3 Automotive CIAU 225 173,537 5.72 3.67 4.35 0.37 107 90 99.88 0.87 3.53 A3 Basic Industry CIBS 410 264,116 11.44 4.30 7.51 1.04 155 150 102.85 0.91 4.79 BBB2 Capital Goods CICP 426 306,885 10.20 3.69 7.11 0.97 99 89 100.93 0.76 3.87 A3 Consumer Goods CICS 486 407,181 10.85 3.83 7.37 1.04 110 100 100.16 0.90 3.87 BBB1 Energy CIEN 867 728,849 11.84 4.28 7.61 1.06 154 147 102.60 1.04 4.72 BBB1 Healthcare CHCR 593 531,046 12.01 3.80 7.98 1.21 106 97 101.16 0.83 3.88 A3 Leisure CILE 32 13,467 5.68 3.95 4.81 0.30 127 113 100.11 0.86 4.10 BBB2 Media CIME 235 206,424 13.09 4.34 8.30 1.24 157 151 101.78 1.09 4.72 BBB1 Real Estate CIRE 333 146,465 7.46 4.00 5.79 0.53 130 117 99.08 0.95 4.02 BBB1 Retail CIRL 282 258,696 12.35 3.88 8.21 1.24 112 104 101.20 0.94 4.01 A3 Services CISE 130 66,288 17.49 3.89 9.15 1.82 112 107 102.55 0.85 4.27 A3 Technology & Electronics CITE 415 482,132 10.44 3.62 7.22 1.04 91 81 100.14 0.87 3.56 A1 Telecommunication C0R0 199 265,435 14.21 4.39 8.68 1.38 162 155 101.29 1.16 4.76 BBB1 Transportation C0W0 250 139,865 15.12 4.04 9.19 1.59 126 119 100.97 0.92 4.22 BBB1 Utilities C0Q0 1,001 502,222 14.59 4.04 9.31 1.51 125 122 103.67 0.92 4.47 A3 Mortgage Master M0A0 429 5,775,191 7.30 3.34 5.08 -1.21 29 20 100.83 0.30 3.57 AAA Conv. 30 Yr MF30 165 3,247,839 7.84 3.41 5.30 -1.40 31 22 100.96 0.31 3.71 AAA GN 30 Yr MG1S 121 1,677,277 7.45 3.35 5.11 -1.28 28 20 101.27 0.30 3.63 AAA All 15 Yr M15A 89 653,810 4.60 2.98 3.96 -0.20 22 11 99.18 0.24 2.86 AAA All 20 Yr M20A 54 196,265 6.12 3.16 4.71 -0.74 24 15 100.46 0.27 3.31 AAA


21

Table 14: Index Characteristics

Index Ticker No.

Issues Full Mkt

Value Avg Mat

Eff Yield

Eff Dur

Eff Conv OAS

Asset Swap Price

Acc Int Cpn

Avg Rating

Fixed Rate ABS R0A0 1,680 300,891 2.14 3.06 1.97 0.09 68 43 99.27 0.15 2.46 AAA Credit Card ABS R0C0 111 76,397 2.13 2.80 1.97 0.08 42 17 99.01 0.19 2.08 AAA Auto Loan ABS R0U0 1,093 143,676 1.45 2.86 1.38 0.04 56 28 99.31 0.09 2.28 AAA Home Equity Loan ABS R0H0 23 4,625 3.64 3.59 3.27 0.18 97 78 98.08 0.24 3.05 AAA Manufactured Housing ABS R0M0 9 384 5.29 4.36 4.41 0.29 165 156 106.55 0.44 5.83 A1 Other ABS R0O0 444 75,809 3.35 3.64 2.98 0.18 114 96 99.53 0.21 3.12 AA3 CMBS CMBS 2,979 412,227 5.86 3.54 5.13 0.35 86 71 99.38 0.29 3.50 AAA 3-month T Bills G0O1 1 92,602 0.23 1.89 0.22 0.00 -4 -45 99.57 0.00 0.00 AAA US Treasury Inflation Linked G0QI 39 1,286,063 9.00 2.52 7.99 1.04 0 na 102.78 0.27 0.97 AAA High Yield Master II H0A0 1,878 1,256,094 6.21 6.31 4.21 -0.08 363 327 98.23 1.42 6.34 B1 US$ Emerging Sovereigns IGOV 415 635,603 12.70 5.81 7.31 0.98 307 292 100.41 1.54 6.17 BB2 Municipal Securities U0A0 17,960 962,610 14.18 2.59 6.67 -0.10 16 -41 107.19 1.09 4.79 AA3 Non-dollar Governments N0G1 771 17,985,106 10.55 0.60 8.94 1.51 33 1 112.26 0.65 2.18 AA3


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