///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// FIXED INCOME
BLOOMBERG GLOBAL INVESTMENT GRADE CORPORATE BOND INDEX The Bloomberg Global Investment Grade Corporate Bond Index is a rules-based market-value-weighted index engineered to measure the investment-grade, fixed rate, global corporate bond market. Eligible denominations include: USD, GBP, CHF, EUR, NOK, SEK, AUD, CAD and JPY. To be included in the index, a security must have a minimum par amount of USD 250 million, GBP 200 million, CHF 100 million, EUR 250 million, NOK 500 million, SEK 500 million, AUD 200 million, CAD 100 million, JPY 20,000 million and have a maturity of greater than 1 year at rebalancing.
TOTAL RETURN
Bloomberg Global Investment Grade Corporate Bond Index (BCOR) Bloomberg Investment Grade European Corporate Bond Index (BECO) Normalized as of 12/31/2009
INDEX CHARACTERISTICS 3/31/2014 Yield-to-Worst 2.52 OAS 99.46 Effective Duration 6.00 Effective Convexity 0.7 Par-Weighted Coupon 4.23 Quality A– Number of Issues 9,089 Market Capitalization 6.98 ($ in Trillions) BLOOMBERG GLOBAL INVESTMENT GRADE CORPORATE BOND INDEX //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MINIMUM AMOUNT OUTSTANDING SECTOR INDEXES USD 250 Million Communications, Consumer Discretionary, Consumer Staple, Energy, Financials, Health Care, Industrials, Materials, GBP 200 Million Technology and Utilities CHF 100 Million MATURITY INDEXES EUR 250 Million 1+, 1–3, 3–5, 5–7, 7–10, 10+ NOK 500 Million SEK 500 Million AUD 200 Million CAD 100 Million JPY 20,000 Million
INDEX PRICING CUSTOM INDEXES Independent and transparent pricing is a key difference of The technology and deep dataset across reference and Bloomberg’s index family versus other index families that pricing data underlying Bloomberg’s global index family rely on single-dealer pricing or composite pricing across a provide a rich tool set for custom index creation. Variables small number of dealers. Prices of index constituent bonds in for customization include: Bloomberg’s indexes are from BVAL, Bloomberg’s securities » Traditional selection criteria such as currency, country of valuation services. BVAL provides credible, transparent and risk, sectors, ratings or amount outstanding. defensible valuations across a broad spectrum of financial » Bloomberg’s proprietary variables such BVAL scores instruments, including fixed income, derivatives related to pricing quality and depth or calculated variables and structured notes. such as option-adjusted spreads. The prices are completely independent, drawing on market » Caps on issuers or sectors to satisfy diversification or data contributed by more than 4,000 market participants. regulatory needs such as those of UCITS or IRS. This broad global dataset of market observations is combined » Enhanced index weighting methodologies based on with market-leading analytics and Bloomberg’s terms and issuer-specific or algorithmic variables. conditions databases to produce objective third-party pricing with deep transparency in how the prices were derived.
BOND TYPES The following bond types are excluded: » Private Placements (except for emerging market indexes) » Convertible » Perpetuals » Bonds with Non-Fixed Coupon (except Greece since 3/2012) » Inflation-Linked Bonds » Survivor Puts BLOOMBERG GLOBAL INVESTMENT GRADE CORPORATE BOND INDEX //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
TABLE 1 – BLOOMBERG GLOBAL BOND INDEX FAMILY USD Investment-Grade Composite
U.S. Government Government-Related U.S. Corporate MBS
U.S. Treasury U.S. Agency Non-U.S. Regional Developed FNMA GNMA Sovereign & Local Banks & Supra FHLMC
USD Emerging Market Composite Global High-Yield Corporate Composite
Sovereign Corporate U.S. Non-USD
Investment- High-Yield Investment- High-Yield EUR GBP CAD Grade Grade
Global Investment-Grade Corporate Composite Covered
U.S. Europe AUD CAD JPY GBP
EUR EUR GBP CHF Scandinavia
NOK SEK
Global Developed Sovereign Bond Composite SUB-INDEXES U.S. Non-USD BICS Sectors All Corporate Indexes Canada Eurozone Other Europe Pacific Rim » Communications » Health Care » Consumer Discretionary » Industrials Austria Denmark Australia » Consumer Staples » Materials Belgium Norway Hong Kong » Energy » Technology France Switzerland Japan » Financials » Utilities Germany UK New Zealand Maturity Greece Singapore » 1+, 1–3, 1–5, 1–10, 5–10, 10+ Ireland Quality Italy All indexes except MBS: AAA, AA, A, Luxembourg BBB, BB, B, CCC, TABLE 1 – BLOOMBERG GLOBAL BOND INDEX FAMILY (CONT.) Emerging Market Local Currency Composite EMEA LATAM ASIA Bulgaria Egypt Brazil China Croatia Israel Chile India Czech Rep. Kenya Colombia Indonesia Hungary Nigeria Dominican Rep. Malaysia Latvia S. Africa Jamaica Philippines Lithuania Mexico S. Korea Poland Peru Taiwan Russia Thailand Romania Serbia Turkey For additional information and licensing opportunities, please contact +1 212 617 5020 bloombergindexes.com >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> BLOOMBERG and the Bloomberg Global Investment Grade Corporate Bond Index are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates (“collectively, “Bloomberg”) or Bloomberg’s licensors own all proprietary right in the Bloomberg Global Investment Grade Corporate Bond Index. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Bloomberg Global Investment Grade Corporate Bond Index. Bloomberg makes no warranty, express or implied, as to the Bloomberg Global Investment Grade Corporate Bond Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with the Bloomberg Global Investment Grade Corporate Bond Index or any data or values relating thereto - whether arising from their negligence or otherwise. Nothing in the Bloomberg Global Investment Grade Corporate Bond Index shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the Bloomberg Global Investment Grade Corporate Bond Index should not be considered as information sufficient upon which to base an investment decision. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. Bloomberg: BNDX