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Bloomberg Emerging Market Local Currency Sovereign ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// FIXED INCOME BLOOMBERG EMERGING MARKET LOCAL CURRENCY SOVEREIGN BOND INDEX The Bloomberg Emerging Market Local Currency Sovereign Bond Index is a rules-based, market-value-weighted index engineered to measure the performance of local currency sovereign debt issued by emerging market countries. The components of the index are the AsiaPac Emerging Market Local Currency Sovereign Bond Index, the EMEA Emerging Market Local Currency Sovereign Bond Index and the LatAm Emerging Market Local Currency Sovereign Bond Index. Qualification as an emerging market country is based on EMWH <GO>. Additional requirements, such as availability of pricing, are also used to determine country eligibility. Historical performance and characteristics are available from January 1, 2010. TOTAL RETURN Bloomberg Emerging Market Local Sovereign Index (BLCSV) INDEX CHARACTERISTICS As of 3/31/2014 Yield-to-Worst 5.50 OAS 3.02 Effective Duration 5.96 Effective Convexity 0.65 Par-Weighted Coupon 5.42 Quality A- Number of Issues 867 Market Capitalization 3.38 ($ in Trillions) BLOOMBERG EMERGING MARKET LOCAL CURRENCY SOVEREIGN BOND INDEX ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// MINIMUM AMOUNT OUTSTANDING BOND TYPES The following bond types are excluded: 2 Tril. IDR 5 Bil. MXN » Convertible 1.5 Tril. COP 2.5 Bil. BRL » Perpetuals 500 Bil. KRW 2 Bil. PLN, TRY, ILS, ZAR » Bonds with non-fixed coupon 200 Bil. HUF 1 Bil. RON, RSD, EGP, (except Greece since 3/2012) KES, PEN 100 Bil. CLP » Inflation-linked bonds 50 Bil. NGN 500 Mil. HRK » Survivor puts 30 Bil. INR 100 Mil. BGN, LTL, DOP 20 Bil. RUB, CNY 50 Mil. LVL 10 Bil. CZK, TWD, THB COUNTRY OF RISK SUBINDEXES Classification as an EM country is based on the function Region Indexes EMWH <GO>. Inclusion in the Emerging Market Local Global (BLCSV), Asia-Pacific (BASIA), Europe Middle East Currency Sovereign Bond Index depends on additional and Africa (BEMEA), Latin America (BLATAM) qualifications such as market size and availability of pricing; Country Indexes the countries that qualify are listed below. For a bond to be Brazil, Bulgaria, Chile, China, Colombia, Croatia, Czech eligible for this index, its country of risk must be on this list: Republic, Dominican Republic, Egypt, Hungary, India, Brazil, Bulgaria, Chile, China, Colombia, Croatia, Czech Indonesia, Israel, Jamaica, Kenya, Latvia, Lithuania, Malaysia, Republic, Dominican Republic, Egypt, Hungary, India, Mexico, Nigeria, Peru, Philippines, Poland, Romania, Russia, Indonesia, Israel, Jamaica, Kenya, Latvia, Lithuania, Malaysia, South Africa, South Korea, Serbia, Taiwan, Thailand and Turkey Mexico, Nigeria, Peru, Philippines, Poland, Romania, Russia, South Africa, South Korea, Serbia, Taiwan, Thailand or Turkey. INDEX PRICING CUSTOM INDEXES Independent and transparent pricing is a key difference of The technology and deep dataset underlying Bloomberg’s Bloomberg’s index family versus other index families that global index family provide a rich foundation for custom index rely on single-dealer pricing or composite pricing across creation. Variables for customization include: a small number of dealers. Prices of constituent bonds in » Traditional selection criteria such as currency, country of risk, Bloomberg’s indexes are determined by BVAL, Bloomberg’s sectors, ratings or amount outstanding securities valuation service. BVAL provides credible, transparent and defensible valuations across a broad » Bloomberg’s proprietary variables such BVAL scores spectrum of financial instruments, including fixed income, related to pricing quality and depth or calculated variables derivatives and structured notes. such as option-adjusted spreads The prices are completely independent, drawing on market » Caps on issuers or sectors to satisfy diversification needs or data contributed by more than 4,000 market participants. regulatory mandates 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 into how the prices were derived. BLOOMBERG EMERGING MARKET LOCAL CURRENCY SOVEREIGN 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, <CCC Netherlands Portugal Slovakia Slovenia Spain BLOOMBERG EMERGING MARKET LOCAL CURRENCY SOVEREIGN BOND INDEX ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// 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 Emerging Market Local Currency Sovereign 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 Emerging Market Local Currency Sovereign Bond Index. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Bloomberg Emerging Market Local Currency Sovereign Bond Index. Bloomberg makes no warranty, express or implied, as to the Bloomberg Emerging Market Local Currency Sovereign 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 Emerging Market Local Currency Sovereign Bond Index or any data or values relating thereto - whether arising from their negligence or otherwise. Nothing in the Bloomberg Emerging Market Local Currency Sovereign 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 Emerging Market Local Currency Sovereign 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: EMWH <GO> The data included in these materials are for illustrative purposes only. ©2014 Bloomberg Finance L.P. All rights reserved. 57734894 DIG 0414.
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