barclays municipal strategy monthly performance and outlook - april 2016-2

8/17/2019 Barclays Municipal Strategy Monthly Performance and Outlook - April 2016-2

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Municipal Credit Researc3 May 20

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 26

Municipal Strategy Monthly

Performance and Outlook –April 2016 • The Barclays Municipal Index posted a tenth consecutive month of positive total

returns in April, generating returns of +0.74% and bringing year-to-date returns to2.42%. Munis outperformed the US Treasury Index, which returned -0.11% in April.

• The Taxable Muni Index generated excess returns of +1.14% and underperformedthe US Credit Long Index by 1.55%. Spreads for taxable munis tightened 8bp, whilethe long credit index tightened 18bp.

• Muni monthly issuance in April totaled about $34bn, down 20% m/m and 18% y/y.New money issuance accounted for 43% of April supply, while refundings

represented the balance.• Muni fund flows remained positive in April, with inflows averaging about $1.1bn per

week. As of April 20, 2016, ICI data show that fund inflows totaled $3.4bn during themonth. Total inflows for the year stand at $18.3bn.

Outlook and Recommendations• Helped by the Fed’s dovish stance, slower economic data and supportive

technicals, high grade muni yields continued to decline despite poor valuations,while Puerto Rico’s long-awaited default on its GDB bonds failed to affect the restof the HY muni market.

• Long-dated tax-exempt hospitals look attractive to us. In particular, the single-Arated part of the index offers compelling relative value to the AA-rated portion. Thespread between the two indices stands at 30bp, well off the multi-year low of 7bp inlate January 2015.

• Chicago water bonds look attractive to us. Second liens trade with a YTW of 4.07%,70-80bp behind comparable indices. The bonds also offer 10bp of pickup versus long-dated Chicago second lien wastewater bonds, despite being slightly higher rated.

• Given their recent underperformance compared to corporates, taxable munis lookattractive for crossover investors.

Mikhail Foux+1 212 526 [email protected], US

Sarah Xue+1 212 526 [email protected], US

Mayur Patel+1 212 526 [email protected], US

www.barclays.com


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Barclays | Municipal Strategy Monthly

3 May 2016 2

April Market OverviewThe Barclays Municipal Index posted a tenth consecutive month of positive total returns inApril, generating returns of +0.74% and bringing year-to-date returns to 2.42%. Incomparison, munis outperformed the US Treasury Index, which returned -0.11% in April.

The best-performing revenue sectors were IDR/PCR (+0.89%), Transportation (+0.87%),

and leasing (+0.87%); the sectors with the lowest total returns were resource recovery(+0.53%), housing (+0.67%), and hospitals (+0.74%). The Guam (+1.12%), New Jersey(+1.05%), and South Dakota (+0.90%) indices were the best-performing municipal state (orcommonwealth/territory) indices; the Puerto Rico (+0.14%), New Mexico (+0.43%), andMontana (+0.47%) indices generated the lowest returns.

The Taxable Muni Index generated excess returns of +1.14% and underperformed the USCredit Long Index by 1.55%. Spreads for taxable munis tightened 8bp, while the long creditindex tightened 18bp. Revenue bonds underperformed GOs by 0.36% in excess return; inthe revenue sector, the top outperformers were health care, transportation, and power,while the biggest underperformers were industrial revenues, education, and special tax.

Away from investment grade, the HY Index generated total returns of +0.61%. This reflectedtotal returns of +2.1% in HY Tobacco and +1.3% in IDR/PCR (ex-tobacco). The yieldmovement for the HY tobacco index diverged from that on the HY Puerto Rico index, as theHY tobacco index rallied 19bp m/m, while the HY Puerto Rico index sold off 32bp m/m.

Muni issuance in April totaled about $34bn, down 20% m/m and 18% y/y (Figure 40), withnet issuance coming in at approximately +$14bn. Major deals in April included the $1.5bnState of California General Obligation bonds, the $1.0bn Wisconsin Health and EducationalFacilities Authority Revenue bonds (Ascension Health Alliance), and the $813mn Universityof California Revenue bonds.

Muni fund flows remained positive in April, with inflows averaging about $1.1bn per week. Asof April 20, 2016, ICI data show that fund inflows totaled $3.4bn during the month, bringing

total inflows year-to-date to $18.3bn.

Outlook

Strong Performance, Albeit Poor ValuationsIt was hardly a surprise that the Fed kept rates unchanged last week; the vast majority ofinvestors have already discounted any real possibility of a rate hike this month, shifting theirfocus to June’s meeting. Barclays’ economists retain their baseline outlook for two rate hikesin 2016 (likely in June and December), though the risk is skewed to only one.

Helped by the Fed’s dovish stance and slower economic data, US Treasury yields continuedto decline and high grade muni yields dropped as well, though MMD/UST ratios have ticked

up higher, as frequently happens when rates fall; meanwhile, Puerto Rico’s long-awaiteddefault on its GDB bonds failed to affect the rest of the HY muni market (Figure 1). Despitepoor valuations, munis continue to enjoy supportive technicals (see below).

The vast majority of investors want to remain defensive, but are simply forced to put somecash to work, albeit among poor valuations. In our view, being defensive (ie, moving up inquality and shortening duration) is the best way to position at the moment, but that alsomeans possibly underperforming more aggressive peers. Hence, some are choosing instead totrade down in quality and coupon and extend; consequently, credit spreads and thedifferential between 4%s and 5%s have compressed, while the yield curve has flattened. It isnot clear when this will start to change, but at the very least, we would need substantially


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3 May 2016 3

higher rates to achieve it. If the Fed actually hikes in June, which investors are not anticipatingat the moment, and/or the US economy starts growing stronger, higher rates should result.

Muni Market TechnicalsSupply : Per SIFMA, gross supply was an estimated $34bn in April, resulting in net supply of+$14bn. Year-to-date, gross issuance totalled about $133bn, with net supply of +$30bn. Weexpect issuance to continue to ramp up over the next few months, particularly as we getinto June, which tends to be one of the largest supply months of the year.

Flows: Muni funds that report weekly have averaged $700mn of inflows per week with nosigns of slowing. Year-to-date, inflows have totaled $18-19bn, depending on the data source.

Cash Holdings : Municipal mutual funds have accumulated substantial cash and near-cashholdings that are ready to be deployed when opportunity presents itself. In Figure 2, we showcash holdings for some of the largest fund families.

High Yield MunisLong high yield munis rallied 13p during the month, supported by a 19bp rally in HYtobacco; despite this, long HY munis underperformed long HY credit, which rallied 54bp.The HY Puerto Rico index sold off 32bp.

Relative Value and RecommendationsLong Hospitals: The investment grade hospital revenue sector generated positive total returnsof 4.1% in 2015, outperforming all other revenue sectors for the year. The strong performancehas carried over into this year, with hospitals up 2.5% year-to-date. After a 15-month rally, weview the sector as rich for the most part. However, we think there are still pockets of value. Inparticular, long-end single-A hospitals look attractive to us.

The long AA-rated hospitals sector looks rich compared with long A-rated hospitals, and theyield differential between the two is at wides last reached more than 15 months ago. Thespread between the two indices stands at 30bp, well off the multi-year low of 7bp in late January 2015 (Figure 3).

Compared with the revenue index, long single-A hospitals, which were trading as much as18bp through the index, have cheapened recently and are now closer to fair value. On theother hand, long AA-rated hospitals have richened, with the differential relative to the revenueindex tightening since mid-February (Figure 4).

FIGURE 1IG Munis and HY (ex-PR) (yield to worst)

FIGURE 2Cash and Near-Cash Holdings of Main Fund Families

Source: Barclays Research Source: Bloomberg

0

1

2

3

4

5

6

7

8

Jan-12 Jan-13 Jan-14 Jan-15 Jan-16

YTW (%) Municipal Index

Municipal High Yield Index ex PR

0%

2%

4%

6%

8%

10%

12%% Cash


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3 May 2016 4

Callable Munis : As discussed in Call me maybe , April 13, 2016, we explored using the MuniOAS and OAD metrics to evaluate callable munis. These are available in Barclays POINT. Whenlooking at callable bonds issued by a single issuer, the OAS methodology allows us to screenfor bonds on the curve that appear mispriced. We showed that because of a slightly longer callprotection period, the duration of the 15y index is longer than that of the 20y index; hence, ittends to outperform in rallies and underperform in sell-offs. Last, we discussed kicker bondsand highlighted some CUSIPs that we find attractive from a relative value standpoint. Pleaseclick here for more detail.

CIFG Insured Bonds: As discussed in How low can yields go? , April 22, 2016, in mid-April,Assured Guaranty announced that it entered into an agreement to acquire CIFG AssuranceNorth America (CIFG NA or CIFG), a run-off financial guarantor, for $450mn in cash.

Given the transaction, the value of Assured’s wraps has marginally improved, in our view.

While AAA and AA credits are unlikely to react, lower-rated credits, including those of PuertoRico, should benefit. Moreover, since there is still some deal premium baked into bondswrapped by CIFG, in our view, investors should add exposure to low-rated credits wrapped byCIFG where possible.

Chicago Water: On April 26, S&P upgraded Chicago water bonds, with the senior lienratings revised to A+ from A and the second lien ratings revised to A from A-; the outlook isstable. The rating agency’s decision was driven by “removal of counterparty and liquidityrisks in conjunction with the issue of the 2016A bonds and remarketing of the city's series2000 and 2004 second-lien water revenue bonds.”

In terms of relative value, long-dated Chicago water bonds look attractive to us (Figure 5).Second liens trade with a YTW of 4.07%, 70-80bp behind comparable indices. The bonds also

offer 10bp of pickup versus long-dated Chicago second lien wastewater bonds, despite beingslightly higher rated. We believe this relationship could reverse over time; previously, theseChicago water bonds traded as much as 20-25bp through Chicago wastewater bonds.

Taxables: We find good value in taxable munis compared to corporates. As Figure 6 shows,over the past 1-1.5 months, IG credits have outperformed similar-rated taxable munis, moreso for single-A and BBB names. Performance of the triple-B muni bucket is skewed byIllinois, and there are only five CUSIPs in this sub-index. We can make an argument thatdespite their problems, Illinois GOs are quite attractive compared with similar-ratedcorporates, but it remains a difficult credit story to analyze, and we are hard-pressed to seea trigger that should buoy Illinois bonds near term.

FIGURE 3A-AA Hospital +22y Spreads

FIGURE 4Long Hospital versus Long Revenue Index YTW by Quality

Source: Barclays Risk Analytics and Index Solutions Source: Barclays Risk Analytics and Index Solutions

0

5

10

15

20

25

30

35

40

2.2

2.4

2.6

2.8

3.0

3.2

3.4

3.6

Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16

YTW (%) Diff (rhs)Municipal Index Hospital AA +22yMunicipal Index Hospital A +22y

Diff (bp)

-30

-25

-20

-15

-10

-5

05

10

15


YTW Difff(bp)

Long Hospital (AA) - Long Revenue (AA)Long Hospital (A) - Long Revenue (A)Long Hospital (BBB) - Long Revenue (BBB)

https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2228554https://live.barcap.com/go/publications/content?contentPubID=FC2228554https://live.barcap.com/go/publications/content?contentPubID=FC2228554https://live.barcap.com/go/publications/content?contentPubID=FC2228554https://live.barcap.com/go/publications/content?contentPubID=FC2225957https://live.barcap.com/go/publications/content?contentPubID=FC2225957


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3 May 2016 5

FIGURE 5Long-Dated Chicago Water Bonds versus Comps

FIGURE 6Taxable Munis vs. Long Corporates (by rating)

Source: Barclays Risk Analytics and Index Solutions Source: Barclays Research

Meanwhile, there are a number of solid single-A muni credits that have enough value to attractinvestor interest, in our view. While long-dated single-A corporates rallied 52bp from their mid-February highs, muni credits MTA, O’Hare Airport and Penn State Turnpike and some others are alltrading above their 12-month averages, while severely underperforming corporates this year(Figure 7).

Century Bonds: We have frequently discussed the taxable muni century bond sub-sector:most of the credits in this sector are rated AA and higher; about a year ago, there was a lotof primary activity in this space, and it was quite liquid. However, starting last June, theprimary supply and secondary activity have died down due to investor pushback. While theactivity in this sector has been quite scarce lately, some large credits in this sector (ie, OhioUniversity, Ohio State University, University of California) are trading 30-70bp cheap tolong-dated corporates, which are also rated several notches lower than munis. In our view,investors should yet again take a close look at this sector, while issuers might once againfind more appetite for century bonds from market participants (Figure 8).

3.0

3.5

4.0

4.5

5.0

5.5

6.0

Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16

YTW (%)Chicago Wastewater 5% 2044Chicago Water 5% 2042Chicago Park Dist 5% 2037Municipal Index Baa (22+)Municipal Index Illinois (22+)

-50

0

50

100

Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16

OAS (bp) BAB minus Long Credit - AAABAB minus Long Credit - AABAB minus Long Credit - single-ABAB minus Long Credit - Baa

FIGURE 7Single-A Munis vs. Corporates

FIGURE 8100y Munis vs. Long-Dated Corporates


130

150

170

190

210


OAS US Credit Corp (Single-A, 30y)MTA 5.871% 2039Penn St Turnpike 2039Chicago O'Hare 2040

130

180

230


OAS US Credit Corp (Single-A, 30y)Ohio University 5.59% 2114Ohio State University 4.8% 2111University of California 4.858% 2112


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Tax-exempt Indices


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3 May 2016 7

ASSET CLASS RETURNS AND RATIOS

FIGURE 9Asset Class Total Returns as of April 29, 2016

Note: Taxable equivalent returns: * US Treasury income is exempt from state income taxes and is adjusted using a national state average (top bracket), net of federalincome tax. ** Based on an equally weighted national average federal and state (top bracket) income tax rate; local taxes have not been considered.Source: Bloomberg, Barclays Risk Analytics and Index Solutions

-5.9%-2.2% -1.1%

1.2% 1.9% 2.0% 2.3% 2.6%2.6% 2.7% 2.8% 2.9%

5.3% 6.7%

9.1% 9.9%

-15%

-10%

-5%

0%

5%

10%

R u s s e l

l 2 0 0 0

N A S D A Q

U . S . H

i g h Y i e

l d

S & P 5 0 0

A B S

U . S . A

g e n c y

D J I A

M B S

E u r o

d o

l l a r

A g g r e g a t e

C o r p o r a t e

U . S . T

r e a s u r y

*

T a x a b

l e M u n i s

G l o b a l T s y

M u n i *

*

M u n i H Y

* *

Annualized Returns 1 year

0.7%1.3% 1.5% 1.9% 2.3% 2.5% 2.5% 2.6% 2.7%

4.5%7.3% 7.5% 8.5%

8.8%11.3%

14.2%

-5%

0%

5%

10%

15%

20%

G l o b a l T s y

A B S

U . S .

A g e n c y

U . S . T r

e a s u r y

*

A g g r e g a t e

E u r o

d o

l l a r

U . S . H i

g h Y i e

l d

M B S

C o r p o r a t e

T a x a b l e M u n i s

M u n i *

*

R u s s e l

l 2 0 0 0

M u n i H Y

* *

D J I A

S & P 5 0 0

N A S D A Q


0.8% 2.2% 2.3%3.1% 3.4% 3.6% 4.2%

4.9% 5.4%7.0%

8.9% 9.1% 9.5%11.0% 12.0% 12.6%

-5%

0%

5%

10%

15%

20%

25%

G l o b a l T s y

U . S . A

g e n c y

A B S

M B S

U . S . T

r e a s u r y

*

A g g r e g a t e

E u r o

d o

l l a r

C o r p o r a t e

U . S . H

i g h Y i e

l d

R u s s e l

l 2 0 0 0

M u n i *

*

T a x a b

l e M u n i s

D J I A

S & P 5 0 0

N A S D A Q

M u n i H Y

* *



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3 May 2016 8

FIGURE 10Taxable Equivalent Returns for Past 10 Years, Ending April 29, 2016

Note:* US Treasury income is exempt from state income taxes and is adjusted using a national state average (top bracket), net of federal income tax. ** Based on anequally weighted national average federal and state (top bracket) income tax rate; local taxes have not been considered.Source: Bloomberg, Barclays Risk Analytics and Index Solutions

FIGURE 11Taxable Equivalent Muni Returns for Past 10 Years, Ending April 29, 2016

Note:* US Treasury income is exempt from state income taxes and is adjusted using a national state average (top bracket), net of federal income tax. ** Based on anequally weighted national average federal and state (top bracket) income tax rate; local taxes have not been considered.Source: Bloomberg, Barclays Risk Analytics and Index Solutions

Aggregate Treasury*

Agency

US CreditMBS

ABS

US HY

Eurodollar

Global Treasury

Tax-adjusted Muni**

Tax-adjusted Muni HY**

Muni Muni HY

Taxable Muni

DJIASTD = 14.3

S&P 500STD = 15.3

NASDAQSTD = 17.9

Russell2000

STD = 19.9

2%

4%

6%

8%

10%

2 3 4 5 6 7 8 9 10 11 12 13

Annualized Return

Annualized Standard Deviation (%)

1y

3y

5y

7y10y

15y 20y Long

Muni**

Treasury*

US Credit

US HY

4%

5%

6%

7%

8%

9%

10%

0 2 4 6 8 10 12

Annualized Return

Annualized Standard Deviation (%)


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MUNICIPAL HIGH YIELD SPREADS AND PERFORMANCEFIGURE 12BAA Municipal Index Yields minus AAA Municipal Index Yields

FIGURE 13High Yield Municipal Index Yields Minus Investment Grade Municipal Index Yields

FIGURE 14Ratio of Municipal High Yield Index to Corporate High Yield Index Yield to Worst

Source for all figures on this page: Barclays Risk Analytics and Index Solutions

0

50

100

150

200

250

300

350400

450

Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15

Spread (bp)

Avg: 134 bp

Min: 30 bpMax: 413 bp

Std Dev: 91 bp

04/29/16 Spread = 133bp

0

100

200

300

400

500

600

700

Oct-95 Oct-97 Oct-99 Oct-01 Oct-03 Oct-05 Oct-07 Oct-09 Oct-11 Oct-13 Oct-15

04/29/16 Spread = 466bpAvg: 299 bpMin: 113 bpMax: 636 bp

Std Dev: 113 bp

Spread (bp)

40%

50%

60%

70%

80%

90%

100%

110%

120%

130%

140%

Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15

04/29/2016 = 88.1%

Avg: 77.7%Min: 44.3%

Max:135.9%Std Dev: 18.2%


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3 May 2016 10

FIGURE 15Municipal Index (High Grade) Returns by Sector

April 2016 % Year-to-Date 2016 % Full-Year 2015 % Full-Year 2014 % Full-Year 2013 %

IDR/PCR (ex-tobacco) 1.0 IDR/PCR (ex-tobacco) 3.1 Hospital 3.9 Hospital 12.4 Housing -0.3

Transportation 0.8 Transportation 2.7 Tobacco 3.8 IDR/PCR (ex-tobacco) 11.9 Resource Recovery -0.8

Leasing 0.8 Housing 2.6 Transportation 3.7 Transportation 10.5 Tobacco -1.3

Special Tax 0.8 Leasing 2.6 IDR/PCR (ex-tobacco) 3.7 Water & Sewer 9.5 Leasing -2.3

Electric 0.7 Special Tax 2.5 Water & Sewer 3.5 Education 9.1 Hospital -2.4

Water & Sewer 0.7 Tobacco 2.5 Resource Recovery 3.4 Housing 8.9 Education -2.4

Education 0.7 Electric 2.5 Education 3.3 Tobacco 8.9 Transportation -2.5

Hospital 0.7 Water & Sewer 2.5 Special Tax 3.3 Leasing 8.8 Water & Sewer -2.8

Housing 0.7 Education 2.4 Electric 3.3 Special Tax 8.3 IDR/PCR (ex-tobacco) -2.9

Tobacco 0.6 Hospital 2.4 Housing 3.3 Electric 8.2 Electric -3.0

Resource Recovery 0.5 Resource Recovery 1.9 Leasing 2.7 Resource Recovery 8.1 Special Tax -4.1

Note: Returns include pre-refunded bonds. Source: Barclays Risk Analytics and Index Solutions

FIGURE 16Muni High Yield Returns by Sector

April 2016 % Year-to-Date 2016 % Full-Year 2015 % Full-Year 2014 % Full-Year 2013 %

HY Tobacco 2.1 HY Tobacco 9.4 Electric 33.2 Water & Sewer 20.0 Resource Recovery 3.0

IDR/PCR (ex-tobacco) 1.3 Transportation 6.5 HY Tobacco 15.8 HY Tobacco 19.2 Special Tax 1.0

Transportation 1.0 IDR/PCR (ex-tobacco) 4.0 Hospital 6.2 IDR/PCR (ex-tobacco) 18.0 Electric 0.6

Resource Recovery 0.8 Education 3.6 Water & Sewer 5.6 Hospital 16.0 Housing -0.6

Hospital 0.7 Special Tax 3.4 Housing 4.7 Special Tax 14.7 IDR/PCR (ex-tobacco) -1.7

Education 0.6 Resource Recovery 3.3 Education 3.9 Education 14.3 Hospital -1.9

Housing 0.4 Hospital 3.0 IDR/PCR (ex-tobacco) 2.6 Housing 14.2 Transportation -2.3

Leasing -0.1 Water & Sewer 2.2 Resource Recovery -1.2 Transportation 13.3 Education -6.1

Special Tax -0.2 Housing 2.1 Leasing -10.3 Resource Recovery 11.7 Leasing -9.5

Water & Sewer -0.4 Leasing -1.1 Special Tax -13.9 Leasing 1.6 HY Tobacco -11.6

Electric -2.7 Electric -3.7 Transportation -16.4 Electric -14.1 Water & Sewer -17.5

Note: Returns include pre-refunded bonds. Source: Barclays Risk Analytics and Index Solutions

FIGURE 17Puerto Rico Total Returns by Select Issuers (Muni Index and Muni High Yield Index Combined)

Description April 2016 Year-to-Date 2016 Full-Year 2015 Full-Year 2014 Full-Year 2013 Full-Year 2012

Total Puerto Rico -1.0 0.2 -7.9 9.6 -20.8 2.8

Select Issuers

Commonwealth -1.4 -4.2 -3.4 13.6 -19.9 1.5

GDB 3.2 -3.0 -59.7 7.2 -15.4 3.9

COFINA -2.0 3.5 -28.2 11.3 -25.5 6.0

PRASA -1.0 1.4 2.5 17.3 -24.5 0.0

PRHTA 0.7 6.2 -12.0 11.9 -13.7 1.1

PREPA -1.8 -1.5 23.0 -2.7 -20.9 0.0

PRPBA -0.7 -3.5 -7.0 9.7 -23.1 1.4

PRPFC 0.5 1.8 -47.8 -9.5 -21.8 4.7

PRIFA 2.0 16.6 -50.4 17.9 0.0 0.0Note: Returns include pre-refunded bonds. Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 11

MUNICIPAL INDICES TOTAL RETURNS AND STATISTICSFIGURE 18Returns, as of April 29, 2016

NumberIssues

PriceReturn

CouponReturn

MTD TotalReturn

Past3m

Past6m

Year to Date

Past12m

SinceInception

Municipal Bond Index 48,514 0.39 0.35 0.74 1.21 3.55 2.42 5.29 1,031.17

1 Year (1-2) 3,961 -0.26 0.37 0.11 0.13 0.29 0.43 0.82 95.063 Year (2-4) 6,874 -0.11 0.36 0.25 0.38 0.75 1.02 1.84 200.16

5 Year (4-6) 5,266 0.15 0.34 0.49 0.49 1.74 1.64 3.44 336.16

7 Year (6-8) 4,967 0.33 0.34 0.67 0.74 2.90 2.18 4.61 334.05

10 Year (8-12) 9,164 0.47 0.33 0.80 1.20 3.94 2.72 5.89 1,021.12

15 Year (12-17) 9,131 0.55 0.34 0.88 1.49 4.83 3.04 7.02 444.26

20 Year (17-22) 4,938 0.61 0.35 0.96 1.63 4.69 2.93 6.63 1,341.64

Long Bond (22+) 4,213 0.69 0.35 1.05 2.12 5.36 3.31 7.30 1,385.52

GO Bond Index 14,912 0.38 0.34 0.71 1.03 3.29 2.24 5.02 890.03

State GO 6,336 0.32 0.35 0.67 0.89 3.01 2.07 4.70 864.19

Local GO 8,576 0.44 0.32 0.76 1.20 3.63 2.44 5.40 361.92

1 Year GO (1-2) 1,007 -0.24 0.37 0.13 0.12 0.31 0.46 0.85 95.51

3 Year GO (2-4) 1,966 -0.08 0.35 0.27 0.36 0.77 1.06 1.88 318.85

5 Year GO (4-6) 1,895 0.15 0.34 0.49 0.39 1.67 1.60 3.37 690.277 Year GO (6-8) 1,779 0.35 0.33 0.68 0.66 2.84 2.11 4.48 603.34

10 Year GO (8-12) 3,172 0.46 0.33 0.78 1.11 3.73 2.55 5.63 976.59

15 Year GO (12-17) 2,974 0.53 0.33 0.86 1.38 4.70 2.84 6.82 1,182.38

Long Term GO (17+) 2,119 0.70 0.34 1.04 1.80 4.97 2.95 6.95 1,486.90

Revenue Bond Index 29,952 0.46 0.35 0.80 1.39 3.96 2.66 5.80 1,187.38

Electric 2,597 0.45 0.34 0.79 1.36 3.74 2.64 5.59 1,059.96

Hospital 3,421 0.37 0.37 0.74 1.52 3.91 2.52 5.80 1,646.56

Housing 870 0.38 0.32 0.67 1.59 3.65 2.64 5.09 1,076.45

IDR/PCR 518 0.53 0.36 0.89 1.74 4.13 3.00 5.80 1,114.46

Transportation 6,618 0.53 0.35 0.87 1.39 4.19 2.76 6.09 517.07

Education 3,931 0.41 0.34 0.76 1.32 3.85 2.59 5.75 386.80

Water & Sewer 4,596 0.42 0.35 0.77 1.30 3.84 2.63 5.84 402.57

Resource Recovery 99 0.17 0.36 0.53 0.93 2.80 2.02 4.56 337.67Leasing 3,065 0.52 0.35 0.87 1.40 4.22 2.69 5.61 144.34

Special Tax 4,237 0.44 0.35 0.78 1.27 3.79 2.62 5.67 131.00

Prerefunded Index 3,480 -0.19 0.38 0.18 0.26 0.67 0.82 1.62 285.28

1 Year Preref (1-2) 1,448 -0.32 0.39 0.06 0.08 0.16 0.31 0.58 87.18

3 Year Preref (2-4) 1,716 -0.19 0.39 0.20 0.31 0.50 0.85 1.50 188.98

5 Year Preref (4-6) 197 0.07 0.34 0.41 0.32 1.35 1.51 3.06 321.13

7 Year Preref (6-8) 56 0.40 0.24 0.64 0.65 2.96 2.36 4.90 347.79

8+ Yr. Preref 63 0.37 0.24 0.61 0.95 5.01 3.12 7.70 297.94

Insured Bond Index 170 0.06 0.37 0.44 0.90 2.22 1.77 3.89 380.73

Long Insured 16 0.46 0.37 0.83 1.58 3.89 2.45 5.42 488.28

California Exempt 6,724 0.41 0.34 0.75 1.26 3.54 2.37 5.39 242.93

New York Exempt 6,116 0.45 0.35 0.80 1.20 3.49 2.47 5.46 232.66

AMT Index 1,934 0.39 0.37 0.76 1.25 3.75 2.36 5.47 207.39

Zero Coupon Index 1,015 1.75 0.00 1.75 3.27 9.16 5.46 11.44 250.08

Conventional Muni 45,565 0.35 0.36 0.71 1.16 3.40 2.34 5.13 1,024.81

Non-Investment Grade 3,318 0.11 0.50 0.61 2.79 3.94 3.37 4.51 216.98

Managed Money Index 20,195 0.56 0.33 0.89 1.34 4.28 2.83 6.42 242.61

Short Term (1-5) 3,972 -0.04 0.35 0.30 0.30 0.79 1.07 2.02 129.71

Sht/Interm (1-10) 9,627 0.28 0.34 0.62 0.65 2.38 1.97 4.13 184.89

Intermediate (1-17) 16,249 0.42 0.33 0.75 1.00 3.52 2.50 5.58 221.33

Long (10+) 10,568 0.77 0.33 1.09 1.86 5.76 3.48 8.22 291.83Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 12

FIGURE 19Statistics, as of April 29, 2016

NumberIssues

Durat To

Worst

MDur. To

Worst

Mod.Adj.

Durat. Quality Coupon

Time To

Worst Matur. Price

Yield To

Worst

Market

Index MuniValue

Municipal Bond Index 48,863 4.83 4.78 6.07 AA2/AA3 4.79 5.59 13.00 110.73 1.84 1,419,174 100.00 100.00

1 Year (1-2) 3,962 1.32 1.31 1.31 AA2/AA3 4.75 1.37 1.40 105.33 0.77 93,428 6.58 6.58

3 Year (2-4) 6,996 2.52 2.50 2.50 AA2/AA3 4.89 2.69 2.84 110.15 0.97 167,966 11.84 11.845 Year (4-6) 5,271 3.89 3.86 3.87 AA2/AA3 4.81 4.31 4.90 114.21 1.26 125,442 8.84 8.847 Year (6-8) 4,962 4.83 4.79 4.80 AA2/AA3 4.84 5.48 6.90 116.49 1.48 117,754 8.30 8.3010 Year (8-12) 9,186 5.56 5.51 5.72 AA2/AA3 4.76 6.48 9.90 115.70 1.76 219,517 15.47 15.4715 Year (12-17) 9,231 5.78 5.72 6.91 AA2/AA3 4.71 6.76 14.37 112.19 2.12 239,180 16.85 16.8520 Year (17-22) 5,005 5.46 5.39 7.60 AA3/A1 4.75 6.49 19.37 108.18 2.31 180,368 12.71 12.71Long Bond (22+) 4,250 6.04 5.95 9.93 AA3/A1 4.82 7.12 26.52 106.02 2.64 275,519 19.41 19.41

GO Bond Index 14,941 4.95 4.90 5.93 AA1/AA2 4.66 5.67 11.11 111.26 1.69 384,946 100.00 27.12State GO 6,379 4.60 4.56 5.41 AA1/AA2 4.80 5.25 10.55 114.08 1.56 209,305 54.37 14.75Local GO 8,562 5.36 5.30 6.56 AA1/AA2 4.50 6.16 11.78 108.08 1.84 175,641 45.63 12.381 Year GO (1-2) 997 1.32 1.31 1.31 AA1/AA2 4.70 1.36 1.40 105.29 0.75 20,858 5.42 1.473 Year GO (2-4) 1,956 2.55 2.54 2.53 AA1/AA2 4.76 2.71 2.90 110.01 0.95 43,179 11.22 3.045 Year GO (4-6) 1,897 3.91 3.89 3.89 AA1/AA2 4.83 4.32 4.91 114.75 1.21 45,289 11.77 3.197 Year GO (6-8) 1,773 4.96 4.92 4.95 AA1/AA2 4.77 5.63 6.90 117.19 1.40 43,664 11.34 3.08

10 Year GO (8-12) 3,163 5.55 5.50 5.74 AA1/AA2 4.69 6.42 9.84 116.14 1.69 78,120 20.29 5.5015 Year GO (12-17) 3,006 5.92 5.86 7.34 AA1/AA2 4.56 6.89 14.36 111.93 2.07 75,027 19.49 5.29Long Term GO (17+) 2,149 6.28 6.20 9.59 AA2/AA3 4.50 7.31 22.25 103.84 2.42 78,809 20.47 5.55

Revenue Bond Index 30,097 5.04 4.98 6.51 AA3/A1 4.81 5.88 14.87 110.68 2.00 930,747 100.00 65.58Electric 2,570 4.94 4.89 6.26 AA3/A1 4.79 5.84 13.32 113.12 1.86 80,943 8.70 5.70Hospital 3,510 4.52 4.46 6.79 A1/A2 4.99 5.24 18.83 110.57 2.23 120,851 12.98 8.52Housing 882 5.13 5.05 9.79 AA1/AA2 4.06 6.21 18.23 104.67 2.88 17,562 1.89 1.24IDR/PCR 506 5.14 5.07 5.71 A3/BAA1 5.02 6.55 14.09 109.83 2.35 41,125 4.42 2.90Transportation 6,581 5.09 5.03 6.42 A1/A2 4.78 5.85 14.81 110.88 1.97 219,693 23.60 15.48Education 4,010 5.26 5.20 6.80 AA2/AA3 4.78 6.26 15.00 113.58 1.95 100,596 10.81 7.09Water & Sewer 4,667 5.09 5.04 6.67 AA1/AA2 4.84 5.92 15.49 114.14 1.84 121,339 13.04 8.55Resource Recovery 99 4.09 4.05 4.71 AA3/A1 4.96 4.66 13.38 113.55 1.67 2,590 0.28 0.18Leasing 3,032 4.97 4.91 5.97 AA3/A1 4.73 5.70 12.98 106.44 2.07 90,149 9.69 6.35Special Tax 4,240 5.31 5.25 6.41 AA2/AA3 4.81 6.11 12.79 107.95 1.84 135,898 14.60 9.58

Pre-refunded Index 3,640 2.46 2.45 2.51 AA1/AA2 5.04 2.69 2.76 109.26 0.88 99,825 100.00 7.031 Year Preref (1-2) 1,460 1.35 1.35 1.35 AA2/AA3 4.98 1.41 1.41 105.84 0.73 38,129 38.20 2.693 Year Preref (2-4) 1,834 2.47 2.46 2.47 AA2/AA3 5.28 2.65 2.66 111.42 0.84 49,541 49.63 3.495 Year Preref (4-6) 219 4.36 4.34 4.36 AA1/AA2 4.87 4.90 4.90 116.89 1.09 6,037 6.05 0.437 Year Preref (6-8) 64 5.89 5.85 6.01 AA1/AA2 3.75 6.63 6.82 111.65 1.38 1,746 1.75 0.128+ Yr. Preref 63 7.98 7.91 9.09 AA1/AA2 3.49 9.59 11.06 105.39 2.21 4,372 4.38 0.31

Insured Bond Index 185 3.93 3.89 4.74 AA1/AA2 4.95 4.57 13.53 109.89 1.67 3,656 100.00 0.26Long Insured 18 6.23 6.14 9.84 AA2/AA3 4.77 7.60 24.96 109.56 2.64 458 12.51 0.03

California Exempt 6,802 4.92 4.87 5.96 AA2/AA3 4.74 5.69 13.63 110.53 1.66 247,437 100.00 17.44New York Exempt 6,102 4.67 4.62 5.72 AA2/AA3 4.88 5.41 13.59 113.85 1.67 217,471 100.00 15.32AMT Index 1,931 4.38 4.32 6.29 A1/A2 4.99 5.17 15.05 110.13 2.38 52,566 100.00 3.70Zero Coupon Index 1,016 11.90 11.69 12.05 AA3/A1 0.00 11.88 14.67 58.44 3.00 35,509 100.00 2.50Conventional Muni 45,916 4.66 4.61 5.90 AA2/AA3 4.91 5.44 12.87 113.50 1.78 1,331,099 100.00 93.79

Non-Investment Grade 3,353 7.12 6.88 9.20 B2/B3 5.38 11.24 20.34 54.00 6.49 95,606 100.00 100.00Managed Money 20,675 5.83 5.78 7.34 AA1/AA2 4.70 6.77 12.93 115.76 1.82 549,093 100.00 38.69

Short Term (1-5) 4,030 2.78 2.76 2.76 AA1/AA2 4.69 2.98 3.03 110.97 0.88 91,495 16.66 6.45Sht/Interm (1-10) 9,796 4.59 4.56 4.57 AA1/AA2 4.79 5.18 5.67 117.04 1.20 234,048 42.62 16.49Intermediate (1-17) 16,603 5.41 5.36 5.86 AA1/AA2 4.74 6.22 8.75 117.48 1.52 394,206 71.79 27.78Long (10+) 10,879 6.76 6.68 9.39 AA1/AA2 4.63 7.95 18.33 114.83 2.28 315,045 57.38 22.20

Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 13

FIGURE 20Returns, as of April 29, 2016

NumberIssues

PriceReturn

CouponReturn

MTD TotalReturn

Past3m

Past6m

Year to Date

Past12m

SinceInception

Municipal Bond Index 48,514 0.39 0.35 0.74 1.21 3.55 2.42 5.29 1,031.17

GO Bond Index 14,912 0.38 0.34 0.71 1.03 3.29 2.24 5.02 890.03

State GO 6,336 0.32 0.35 0.67 0.89 3.01 2.07 4.70 864.19

1 Year (1-2) 513 -0.24 0.37 0.13 0.12 0.31 0.47 0.87 94.99

3 Year (2-4) 966 -0.08 0.36 0.28 0.34 0.79 1.08 1.88 315.75

5 Year (4-6) 891 0.15 0.35 0.50 0.36 1.70 1.62 3.41 684.92

7 Year (6-8) 813 0.38 0.34 0.72 0.64 2.90 2.15 4.57 601.35

10 Year (8-12) 1,358 0.47 0.33 0.80 1.08 3.66 2.53 5.60 966.39

15 Year (12-17) 1,170 0.53 0.34 0.87 1.28 4.47 2.67 6.57 1,173.57

20 Year (17-22) 465 0.48 0.36 0.84 1.30 4.02 2.35 5.80 1,039.86

Long (22+) 160 0.49 0.36 0.85 1.51 4.49 2.49 6.50 1,505.50

Revenue Bond Index 29,952 0.46 0.35 0.80 1.39 3.96 2.66 5.80 1,187.38

1 Year (1-2) 1,501 -0.20 0.36 0.15 0.19 0.42 0.54 1.04 105.06

3 Year (2-4) 3,177 -0.07 0.35 0.27 0.44 0.91 1.10 2.03 212.35

5 Year (4-6) 3,156 0.16 0.34 0.50 0.55 1.81 1.68 3.50 349.60

7 Year (6-8) 3,112 0.32 0.35 0.67 0.79 2.95 2.22 4.69 342.04

10 Year (8-12) 5,908 0.49 0.34 0.83 1.26 4.06 2.82 6.03 1,148.15

15 Year (12-17) 6,103 0.55 0.34 0.90 1.54 4.88 3.12 7.10 444.06

20 Year (17-22) 3,574 0.62 0.35 0.97 1.69 4.81 3.04 6.74 1,346.38

Long (22+) 3,421 0.67 0.36 1.03 2.12 5.32 3.31 7.26 1,376.71

Insured Bond Index 170 0.06 0.37 0.44 0.90 2.22 1.77 3.89 380.73

1 Year (1-2) 5 -0.27 0.39 0.12 0.00 0.17 0.37 0.74 98.19

3 Year (2-4) 15 -0.16 0.37 0.21 0.43 0.76 1.00 1.74 204.64

5 Year (4-6) 18 -0.16 0.38 0.21 0.47 1.09 1.25 2.32 267.95

7 Year (6-8) 20 -0.22 0.38 0.16 0.49 1.28 1.30 2.61 314.92

10 Year (8-12) 39 0.05 0.37 0.43 0.84 1.99 1.76 3.61 368.23

15 Year (12-17) 40 0.19 0.37 0.57 1.12 3.16 2.19 5.49 435.6820 Year (17-22) 17 0.04 0.38 0.42 0.92 2.07 1.75 3.77 432.56

Long (22+) 16 0.46 0.37 0.83 1.58 3.89 2.45 5.42 488.28

AMT Index 1,934 0.39 0.37 0.76 1.25 3.75 2.36 5.47 207.39

Discount Bond Index 957 1.78 0.01 1.80 3.41 10.05 5.83 12.93 2,081.43

Long (22+) 174 2.37 0.02 2.39 5.41 13.55 7.67 17.20 2,800.28

Current Coup. Index 4,664 0.15 0.33 0.48 1.16 3.24 1.90 4.86 906.06

Long (22+) 615 0.43 0.35 0.77 1.89 4.96 2.85 6.71 885.06

Premium Bond Index 42,893 0.38 0.36 0.74 1.16 3.41 2.40 5.14 687.55

Long (22+) 3,424 0.67 0.36 1.04 2.05 5.13 3.24 7.03 1,001.29

Zero Coupon Index 1,015 1.75 0.00 1.75 3.27 9.16 5.46 11.44 250.08



14/30


3 May 2016 14


NumberIssues

Durat. To Worst

MDur. To

Worst

Mod.Adj.

Durat. Quality Coupon

Time To

Worst Matur. PriceYield

To WorstMarketValue Index Muni

Municipal Bond Index 48,863 4.83 4.78 6.07 AA2/AA3 4.79 5.59 13.00 110.73 1.84 1,419,174 100.00 100.00

GO Bond Index 14,941 4.95 4.90 5.93 AA1/AA2 4.66 5.67 11.11 111.26 1.69 384,946 100.00 27.12

State GO 6,379 4.60 4.56 5.41 AA1/AA2 4.80 5.25 10.55 114.08 1.56 209,305 100.00 14.75

1 Year (1-2) 508 1.32 1.31 1.31 AA1/AA2 4.82 1.36 1.41 105.49 0.75 12,473 5.96 0.88

3 Year (2-4) 963 2.55 2.54 2.53 AA1/AA2 4.84 2.71 2.88 110.29 0.93 25,592 12.23 1.80

5 Year (4-6) 904 3.93 3.91 3.91 AA1/AA2 4.88 4.34 4.89 115.27 1.19 26,336 12.58 1.86

7 Year (6-8) 820 5.03 5.00 5.02 AA1/AA2 4.82 5.72 6.88 118.25 1.37 24,756 11.83 1.74

10 Year (8-12) 1,365 5.47 5.42 5.66 AA1/AA2 4.75 6.33 9.81 117.27 1.63 42,482 20.30 2.99

15 Year (12-17) 1,182 5.53 5.47 6.89 AA2/AA3 4.71 6.44 14.42 114.31 1.92 40,408 19.31 2.85

20 Year (17-22) 476 5.09 5.03 7.41 AA2/AA3 4.81 5.91 19.50 111.67 2.10 22,085 10.55 1.56

Long (22+) 161 5.58 5.52 9.30 AA2/AA3 4.90 6.46 25.63 114.02 2.29 15,173 7.25 1.07

Revenue Bond Index 30,097 5.04 4.98 6.51 AA3/A1 4.81 5.88 14.87 110.68 2.00 930,747 100.00 65.58

1 Year (1-2) 1,500 1.28 1.27 1.26 AA2/AA3 4.53 1.33 1.40 104.80 0.83 34,374 3.69 2.42

3 Year (2-4) 3,191 2.53 2.51 2.51 AA2/AA3 4.70 2.71 2.92 109.42 1.07 75,058 8.06 5.29

5 Year (4-6) 3,137 3.84 3.81 3.82 AA2/AA3 4.80 4.25 4.90 113.67 1.31 73,879 7.94 5.21

7 Year (6-8) 3,105 4.74 4.70 4.69 AA3/A1 4.91 5.38 6.90 116.23 1.53 71,972 7.73 5.07

10 Year (8-12) 5,939 5.53 5.48 5.64 AA3/A1 4.83 6.46 9.92 115.73 1.79 137,291 14.75 9.67

15 Year (12-17) 6,168 5.70 5.64 6.71 AA3/A1 4.79 6.69 14.38 112.39 2.14 162,505 17.46 11.45

20 Year (17-22) 3,606 5.42 5.35 7.45 AA3/A1 4.80 6.47 19.39 108.19 2.33 137,074 14.73 9.66

Long (22+) 3,451 5.89 5.80 9.73 AA3/A1 4.89 6.96 26.65 107.13 2.65 238,593 25.63 16.81

Insured Bond Index 185 3.93 3.89 4.74 AA1/AA2 4.95 4.57 13.53 109.89 1.67 3,656 100.00 0.26

1 Year (1-2) 5 1.25 1.25 1.25 AA1/AA1 5.00 1.29 1.29 105.33 0.83 66 1.81 0.00

3 Year (2-4) 15 2.28 2.27 2.27 AA1/AA2 4.92 2.42 2.82 109.50 0.93 189 5.17 0.01

5 Year (4-6) 18 2.59 2.58 2.58 AA1/AA2 5.06 2.80 4.71 110.57 1.07 236 6.46 0.02

7 Year (6-8) 20 2.60 2.59 2.59 AA1/AA2 5.15 2.81 6.87 110.82 1.08 372 10.17 0.03

10 Year (8-12) 39 3.44 3.41 3.66 AA1/AA2 5.04 3.89 10.05 111.45 1.34 685 18.73 0.0515 Year (12-17) 43 4.42 4.37 5.18 AA2/AA3 4.98 5.12 13.67 111.09 1.93 763 20.86 0.05

20 Year (17-22) 27 4.16 4.11 4.83 AA1/AA2 4.82 4.95 18.54 107.74 1.82 888 24.29 0.06

Long (22+) 18 6.23 6.14 9.84 AA2/AA3 4.77 7.60 24.96 109.56 2.64 458 12.51 0.03

AMT Index 1,931 4.38 4.32 6.29 A1/A2 4.99 5.17 15.05 110.13 2.38 52,566 100.00 3.70

Discount Bond Index 940 12.93 12.70 12.99 A1/A2 0.11 12.94 15.27 54.89 3.19 31,143 100.00 2.19

Long (22+) 171 20.32 19.88 20.24 A1/A2 0.20 19.93 27.02 34.22 4.18 7,096 22.78 0.50

Current Coup. Index 4,437 2.65 2.61 4.65 AA3/A1 4.14 3.09 14.02 101.72 2.23 129,041 100.00 9.09

Long (22+) 522 4.26 4.19 9.67 AA3/A1 4.35 5.24 27.00 102.02 2.91 22,065 17.10 1.55

Premium Bond Index 43,486 4.85 4.80 6.04 AA2/AA3 4.97 5.67 12.83 114.69 1.76 1,258,989 100.00 88.71

Long (22+) 3,557 5.79 5.71 9.66 AA3/A1 5.00 6.92 26.46 113.33 2.57 246,359 19.57 17.36

Zero Coupon Index 1,016 11.90 11.69 12.05 AA3/A1 0.00 11.88 14.67 58.44 3.00 35,509 100.00 2.50Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 15

FIGURE 22Returns, as of April 29, 2016

NumberIssues

PriceReturn

CouponReturn

MTD TotalReturn

Past3m

Past6m

Year to Date

Past12m

SinceInception

Municipal Bond Index 48,514 0.39 0.35 0.74 1.21 3.55 2.42 5.29 1,031.17Alabama Index 364 0.48 0.35 0.83 1.69 3.90 2.80 5.68 229.49Alaska Index 173 0.24 0.35 0.59 0.81 2.47 1.75 4.08 220.50

Arizona Index 1,089 0.36 0.35 0.71 1.15 3.36 2.47 5.21 225.61Arkansas Index 129 0.29 0.32 0.61 0.90 3.09 2.28 4.90 223.48California Index 6,724 0.41 0.34 0.75 1.26 3.54 2.37 5.39 242.93Colorado Index 776 0.38 0.33 0.72 1.48 4.02 2.89 5.85 254.46Connecticut Index 882 0.32 0.33 0.65 0.77 2.98 2.00 4.51 198.21Delaware Index 188 0.38 0.35 0.72 1.19 3.08 2.33 4.41 195.55Dist. of Col. Index 565 0.35 0.34 0.69 1.28 3.88 2.55 5.51 239.14Florida Index 2,950 0.40 0.35 0.75 1.19 3.46 2.46 5.34 235.19Georgia Index 1,113 0.28 0.35 0.63 1.01 2.98 2.12 4.79 216.80Guam Index 66 0.74 0.38 1.12 2.30 5.46 3.73 6.70 250.29Hawaii Index 537 0.45 0.33 0.79 0.97 3.40 2.36 5.19 215.26Idaho Index 61 0.25 0.38 0.63 0.96 3.28 2.32 5.06 218.95Illinois Index 1,967 0.36 0.36 0.73 1.35 4.11 2.47 4.82 243.96Indiana Index 493 0.28 0.36 0.63 1.22 3.12 2.25 4.61 254.33

Iowa Index 120 0.17 0.37 0.53 0.86 2.68 2.01 4.24 239.77Kansas Index 222 0.35 0.34 0.69 1.16 3.93 2.61 6.05 226.18Kentucky Index 446 0.22 0.37 0.59 0.86 2.75 1.95 4.21 228.22Louisiana Index 491 0.42 0.37 0.78 1.39 3.50 2.38 5.20 247.11Maine Index 85 0.38 0.35 0.72 1.34 3.79 2.69 5.45 240.71Massachusetts Index 1,749 0.37 0.35 0.71 1.12 3.44 2.33 5.37 232.77Maryland Index 1,259 0.23 0.34 0.57 0.92 2.81 2.11 4.52 201.57Michigan Index 819 0.28 0.37 0.64 1.16 3.43 2.21 5.32 234.20Minnesota Index 720 0.26 0.33 0.59 0.93 2.76 2.10 4.63 214.74Mississippi Index 180 0.24 0.36 0.60 1.05 3.37 2.33 4.92 228.57Missouri Index 500 0.37 0.34 0.71 1.30 3.47 2.54 5.41 227.33Montana Index 16 0.11 0.36 0.47 0.95 2.70 1.71 4.85 238.07Nebraska Index 344 0.43 0.35 0.77 1.28 3.47 2.53 5.46 225.74Nevada Index 558 0.23 0.35 0.58 0.77 2.48 1.76 4.14 225.31

New Hampshire Index 70 0.13 0.39 0.51 0.89 2.53 1.75 4.12 236.43New Jersey Index 1,338 0.71 0.34 1.05 1.57 5.32 3.09 6.00 224.99New Mexico Index 206 0.09 0.34 0.43 0.95 2.43 1.97 4.05 209.79New York Index 6,116 0.45 0.35 0.80 1.20 3.49 2.47 5.46 232.66North Carolina Index 825 0.22 0.35 0.57 0.92 2.59 1.97 4.40 219.15North Dakota Index 17 0.19 0.38 0.57 2.01 4.28 3.02 5.55 249.05Ohio Index 1,375 0.41 0.35 0.76 1.34 3.86 2.51 5.74 211.64Oklahoma Index 178 0.26 0.36 0.62 0.95 2.81 2.01 4.79 216.61Oregon Index 637 0.36 0.32 0.68 1.17 3.42 2.45 5.52 234.28Pennsylvania Index 1,580 0.37 0.35 0.71 1.23 3.72 2.44 5.56 233.62Puerto Rico Index 173 -0.24 0.38 0.14 2.37 5.77 3.22 6.45 175.94Rhode Island Index 116 0.28 0.37 0.64 1.20 3.16 2.44 4.66 223.25South Carolina Index 525 0.54 0.35 0.89 1.65 4.20 2.99 5.88 243.47South Dakota Index 23 0.57 0.34 0.90 2.11 5.77 3.31 7.71 290.36Tennessee Index 684 0.20 0.34 0.54 0.98 2.97 2.20 4.77 222.53Texas Index 4,715 0.46 0.34 0.80 1.31 3.79 2.57 5.63 241.32Utah Index 184 0.30 0.34 0.64 0.97 2.97 2.07 4.57 208.03Vermont Index 21 0.14 0.36 0.49 1.33 3.88 2.44 5.59 237.22Virginia Index 1,321 0.32 0.34 0.66 1.16 3.23 2.37 5.02 211.41Virgin Island Index 34 0.16 0.40 0.56 0.56 2.28 1.69 3.87 170.52Washington Index 2,009 0.34 0.34 0.68 1.02 3.24 2.25 5.11 235.79West Virginia Index 72 0.40 0.35 0.75 1.42 3.40 2.34 4.98 243.46Wisconsin Index 688 0.19 0.35 0.54 0.99 2.82 2.13 4.66 229.63Wyoming Index 21 0.26 0.38 0.64 1.23 2.88 2.18 4.15 222.26



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3 May 2016 16


NumberIssues

Durat. To

WorstMDur. To

Worst

Mod.Adj.

Durat. Quality Coupon Time To

Worst Matur. PriceYield ToWorst

MarketValue Index

Municipal Bond Index 48,863 4.83 4.78 6.07 AA2/AA3 4.79 5.59 13.00 110.73 1.84 1,419,174 100.00Alabama Index 364 4.79 4.73 6.54 AA3/A1 4.71 6.15 14.67 110.08 2.04 10,563 0.74Alaska Index 172 4.57 4.52 5.70 AA2/AA3 4.91 5.25 9.73 113.48 1.77 3,105 0.22Arizona Index 1,088 4.62 4.57 5.45 AA2/AA3 4.86 5.55 11.67 113.51 1.63 27,429 1.93Arkansas Index 128 4.49 4.44 5.84 AA2/AA3 4.35 5.04 10.53 110.80 1.73 2,457 0.17California Index 6,802 4.92 4.87 5.96 AA2/AA3 4.74 5.69 13.63 110.53 1.66 247,437 17.44Colorado Index 798 5.38 5.32 7.13 AA3/A1 4.61 6.45 14.66 108.11 2.09 20,973 1.48Connecticut Index 902 4.61 4.56 5.63 AA2/AA3 4.56 5.30 10.42 112.24 1.70 21,433 1.51Delaware Index 188 4.99 4.94 6.87 AA2/AA3 4.76 5.71 12.91 113.98 1.81 3,205 0.23Dist. of Col. Index 564 4.69 4.63 5.81 AA2/AA3 4.65 5.50 14.63 109.05 1.82 17,729 1.25Florida Index 2,987 4.62 4.57 5.78 AA3/A1 4.87 5.29 12.72 110.65 1.78 71,827 5.06Georgia Index 1,101 4.40 4.36 5.51 AA2/AA3 4.83 5.07 11.40 113.05 1.63 32,065 2.26Guam Index 66 5.57 5.50 7.53 A3/BAA1 5.26 6.59 18.22 115.14 2.54 2,321 0.16Hawaii Index 527 5.06 5.01 5.88 AA2/AA3 4.85 5.84 11.12 115.53 1.65 12,567 0.89Idaho Index 60 4.35 4.31 5.72 A1/A2 5.28 5.00 11.93 113.72 1.79 1,284 0.09Illinois Index 1,960 5.18 5.10 6.91 A1/A2 4.86 6.23 13.77 104.66 2.76 62,304 4.39Indiana Index 505 4.48 4.43 6.07 AA3/A1 4.84 5.16 14.28 111.36 1.93 14,222 1.00Iowa Index 120 4.00 3.96 5.29 AA2/AA3 4.98 4.51 11.28 112.48 1.86 2,192 0.15Kansas Index 222 5.34 5.28 6.65 AA2/AA3 4.74 6.17 12.85 114.61 1.90 4,907 0.35Kentucky Index 458 4.35 4.30 5.60 A1/A2 5.02 4.99 11.88 111.50 1.95 11,300 0.80Louisiana Index 498 4.74 4.69 6.56 A1/A2 5.00 5.48 14.34 112.59 2.13 15,400 1.09Maine Index 85 4.85 4.79 7.09 AA3/A1 4.68 5.54 14.81 111.34 2.07 1,429 0.10Massachusetts Index 1,774 5.04 4.99 6.32 AA1/AA2 4.86 5.93 12.90 114.23 1.70 56,231 3.96Maryland Index 1,267 4.33 4.30 5.55 AA1/AA2 4.63 4.94 9.97 112.22 1.55 28,201 1.99Michigan Index 814 4.48 4.43 5.92 AA3/A1 5.02 5.22 13.06 111.72 2.03 24,870 1.75Minnesota Index 723 4.65 4.61 5.87 AA1/AA2 4.58 5.28 10.32 112.27 1.58 16,122 1.14Mississippi Index 180 4.84 4.79 5.61 AA3/A1 5.02 5.59 9.56 114.64 1.82 3,422 0.24Missouri Index 510 5.00 4.94 6.72 AA2/AA3 4.68 5.76 12.86 111.51 1.86 11,725 0.83Montana Index 16 2.94 2.90 5.12 A1/A2 4.57 3.25 14.62 105.87 1.97 707 0.05Nebraska Index 353 4.94 4.88 7.26 AA3/A1 4.75 5.72 14.16 111.99 2.00 7,630 0.54Nevada Index 543 3.91 3.87 4.62 AA2/AA3 4.88 4.50 10.65 111.99 1.53 13,548 0.95

New Hampshire Index 70 3.41 3.38 4.04 AA3/A1 5.27 3.81 13.56 112.44 1.58 1,492 0.11New Jersey Index 1,355 5.58 5.49 6.70 A2/A3 4.59 6.15 12.61 99.29 2.64 52,354 3.69New Mexico Index 206 3.86 3.83 4.34 AA2/AA3 4.66 4.35 8.94 111.60 1.49 4,487 0.32New York Index 6,102 4.67 4.62 5.72 AA2/AA3 4.88 5.41 13.59 113.85 1.67 217,471 15.32North Carolina Index 832 4.18 4.15 5.09 AA1/AA2 4.82 4.75 11.24 112.63 1.50 21,909 1.54North Dakota Index 20 5.69 5.61 8.44 A1/A2 4.82 6.69 17.42 110.64 2.51 435 0.03Ohio Index 1,418 5.02 4.96 6.38 AA2/AA3 4.81 5.75 12.90 112.21 1.83 31,972 2.25Oklahoma Index 177 4.02 3.98 5.55 AA3/A1 4.85 4.66 12.39 111.47 1.69 3,958 0.28Oregon Index 627 5.12 5.07 5.93 AA1/AA2 4.50 5.75 10.42 109.24 1.59 12,131 0.85Pennsylvania Index 1,588 4.71 4.65 6.16 A1/A2 4.76 5.42 13.31 111.21 2.00 49,276 3.47Puerto Rico Index 169 6.66 6.49 7.76 A2/A3 4.73 8.25 13.66 69.71 4.13 7,662 0.54Rhode Island Index 119 4.36 4.31 5.93 A1/A2 4.98 5.11 11.67 111.08 2.22 2,561 0.18South Carolina Index 530 5.20 5.14 7.25 AA3/A1 4.83 6.05 16.64 112.38 2.06 15,002 1.06South Dakota Index 23 6.50 6.41 12.20 AA3/A1 4.50 7.57 22.74 109.49 2.96 574 0.04

Tennessee Index 677 4.56 4.51 6.01 AA2/AA3 4.82 5.30 11.37 110.82 1.81 16,098 1.13Texas Index 4,778 5.15 5.10 6.63 AA2/AA3 4.74 5.96 14.11 110.76 1.87 129,981 9.16Utah Index 184 4.54 4.50 5.74 AA1/AA2 4.73 5.34 10.53 113.41 1.56 6,136 0.43Vermont Index 21 5.10 5.03 7.63 AA3/A1 4.79 5.99 22.20 110.99 2.26 614 0.04Virginia Index 1,342 4.57 4.53 5.77 AA1/AA2 4.66 5.22 10.94 112.80 1.63 25,783 1.82Virgin Island Index 33 3.57 3.52 4.62 BAA2/BAA3 5.31 4.06 13.07 109.09 2.37 1,419 0.10Washington Index 2,013 4.74 4.70 5.85 AA1/AA2 4.79 5.45 11.13 113.59 1.63 48,509 3.42West Virginia Index 72 3.94 3.90 5.16 A1/A2 4.73 4.45 15.03 111.15 1.93 1,783 0.13Wisconsin Index 711 4.74 4.70 6.03 AA2/AA3 4.91 5.44 11.73 114.16 1.69 18,412 1.30Wyoming Index 21 3.71 3.66 6.31 A1/A2 4.98 4.19 21.55 107.17 2.13 550 0.04Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 17

FIGURE 24Municipal Index, Market Value Breakdown by Purpose Type

FIGURE 25HY Muni Index, Market Value Breakdown by Purpose Type


FIGURE 26Municipal Index, Market Value Breakdown by Purpose Class

FIGURE 27HY Muni Index, Market Value Breakdown by Purpose Class


FIGURE 28Municipal Index, Market Value Breakdown by Maturity

FIGURE 29HY Muni Index, Market Value Breakdown by Maturity


GO27%

REV66%

INS0%

PRE7%

GO11%

REV89%

ST16%

LOCL14%

ED8%

HOSP9%HSG

1%IDRS3%

PWR

6%

RESR

0%

TRAN16%

WTR10%

LEAS7%

SPET10%

ST7%

LOCL5%

ED7%

HOSP19%

HSG2%IDRS

34%

PWR3%

RESR0%

TRAN2%

WTR4%

LEAS3%

SPET14%

1 Yr7%

3 Yr12%

5 Yr9%

7 Yr8%

10 Yr15%

15 Yr17%

20 Yr13%

Long19%

1 Yr1%

3 Yr3%

5 Yr3%

7 Yr4%

10 Yr11%

15 Yr12%

20 Yr19%

Long47%


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3 May 2016 18

Taxable Indices


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3 May 2016 19

VARIOUS STATISTICS

FIGURE 30Taxable Municipals, by Rating

FIGURE 31US Long Credit Index, by Rating


FIGURE 32Taxable Municipals vs. US Long Credit (OAS, bp)

FIGURE 33Taxable Municipals, OAS by Sector (bp)


FIGURE 34Taxable Municipal vs. US Long Credit (Ex Ret, bp)

FIGURE 35GO and Revenue Bond, Excess Returns (bp)


AAA8%

AA60%

A22%

BAA10%

AAA3% AA

12%

A38%

BAA47%

120

140

160

180

200

220

240

260

280

Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16

Taxable Municipals US Long Credit

110120130140150160170180190200210


State GO Local GO Trans. Special Tax

148

28

-85 -78

95 11422

-114

-389

-63

471

269

-500-400-300-200-1000

100200300400500600


Taxable Municipals US Long Credit

145

1

-127

-84

113137151

46

-60 -75

84101

-150

-100

-50

0

50

100

150

200


GO bonds Revenue bonds


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3 May 2016 20

TAXABLE INDICES: SIZE, DURATION, AND SPREADSFIGURE 36Size, Duration, and Spreads

Index Index Rating # of

Bonds Mkt. Value

($mn) OAD OAS (bp)

Apr-16 Mar-16 Feb-16 Jan-16 Dec-15 Nov-15 Oct-15 Sep-15 Aug-15 July-15 Jun-15 May-15

U.S. Credit Index A2/A3 6,475 5,760,196 7.2 139 154 1 84 181 155 14 7 150 160 15 5 146 137 12 7

Corporate A3/BAA1 5,675 4,713,291 7.3 146 163 197 193 165 155 159 169 163 154 145 133

Industrial A3/BAA1 3,391 2,899,007 7.8 148 168 210 216 183 170 172 184 177 164 153 141

Utility A2/A3 796 352,103 9.6 142 151 163 160 150 145 147 152 149 143 13 7 129

Financial Institutions A2/A3 1,488 1,462,181 5.8 142 155 178 157 134 129 137 145 142 138 133 119

Non-Corporate AA2/AA3 800 1,046,905 6.5 107 114 1 25 123 110 11 1 112 122 1 22 115 107 10 1

Foreign Agency AA2/AA3 188 281,083 5.0 107 118 132 130 109 96 97 107 146 131 121 111

Foreign Local Govt AA2/AA3 341 225,090 9.7 142 149 154 148 14 3 143 152 155 147 143 135 132

Taxable Municipals AA3/A1 288 1 67,082 11.4 170 178 183 176 170 171 183 188 181 176 167 164

Sovereigns BAA1/BAA2 123 238,515 8.6 183 191 220 221 192 204 199 233 194 184 169 160

Supranationals AAA/AA1 148 302,218 3.7 20 22 24 24 21 17 17 17 16 17 17 13

U.S. Long Credit Index A2/A3 2,095 1,731,897 13.8 205 223 257 252 225 217 218 230 224 213 202 193

Taxable Municipals AA3/A1 288 167,082 11.4 170 178 183 176 170 171 183 188 181 176 167 16 4

General Obligations AA3/A1 77 62,296 10.0 185 195 201 191 180 181 194 201 193 186 17 9 178

State GO AA3/A1 44 46,302 9.8 184 197 203 194 181 182 195 201 193 185 180 178

Local GO AA2/AA3 33 15,993 10.4 188 191 193 183 179 179 192 199 192 189 175 176

Revenue AA2/AA3 210 104,408 12.3 162 169 173 168 163 165 177 181 173 170 161 156

Transportation AA3/A1 55 34,640 13.2 147 157 163 157 152 153 165 170 165 163 151 149

Special Tax AA2/AA3 41 19,849 10.5 150 157 162 158 153 155 165 171 162 157 14 8 146

Industrial Revenues AA2/AA3 3 1,107 10.4 137 135 132 131 125 128 139 144 139 137 133 130

Water & Sewer AA1/AA2 27 11,244 12.9 147 152 156 147 140 141 155 156 151 147 13 9 137

Education AA1/AA2 30 11,945 14.5 142 144 148 145 143 145 153 155 148 148 143 145

Power AA3/A1 23 12,439 13.4 193 199 206 199 189 191 203 201 197 188 181 175

Leasing A1/A2 27 11,308 8.8 234 240 240 230 232 237 254 258 240 246 235 208

Health Care AA3/A1 3 1,583 12.9 159 178 186 177 177 173 180 192 203 187 190 182

Insured NR 0 0 0.0 NA NA NA NA NA NA NA NA NA NA NA NA

Pre-Refunded A1 1 378 1.0 29 29 35 33 55 26 40 46 47 55 57 51Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 21

TAXABLE INDICES: EXCESS RETURNSFIGURE 37Excess Returns (bp)

Index YTD LTM 3 Mos. Apr-16 Mar-16 Feb-16 Jan-16 Dec-15 Nov-15 Oct-15 Sep-15 Aug-15 Jul-15 Jun-15 May-15

U.S. Credit Index 157 -54 351 134 236 -26 -193 -60 22 90 -55 -61 -53 -55 -30

Corporate 171 -34 387 150 262 -31 -215 -62 22 85 -33 -60 -52 -61 -36

Industrial 260 -60 531 181 333 3 -267 -94 9 98 -52 -83 -76 -60 -45

Utility 138 -75 220 118 114 -17 -86 -29 12 63 -2 -62 -35 -50 -98

Financial Institutions 4 11 146 93 155 -103 -142 -8 49 68 -3 -17 -10 -65 -7

Non-Corporate 94 -144 189 65 123 -2 -96 -55 19 109 -145 -62 -58 -34 -6

Foreign Agency 124 -341 237 81 136 17 -113 -102 -2 97 -255 -108 -57 -37 6

Foreign Local Govt 42 32 107 86 75 -57 -66 20 113 55 -50 -36 -62 -13 -38

Taxable Municipals 51 39 134 114 95 -78 -85 28 148 75 -63 -51 -83 -13 -53

Sovereigns 227 -188 435 92 306 27 -209 -117 -19 298 -266 -101 -122 -64 -1

Supranationals 9 -10 20 13 8 -1 -11 -10 4 -4 3 2 4 -17 0

U.S. Long Credit Index 306 -182 701 269 471 -63 -389 -114 22 157 -117 -124 -123 -80 -77

Taxable Municipals 51 39 134 114 95 -78 -85 28 148 75 -63 -51 -83 -13 -53

General Obligations 44 29 169 137 113 -84 -127 1 145 108 -66 -65 -65 15 -89

State GO 78 22 219 167 130 -83 -143 -5 142 112 -75 -75 -47 6 -112

Local GO -54 54 25 48 64 -89 -78 19 155 94 -38 -33 -119 42 -20

Revenue 57 46 114 101 84 -75 -60 46 151 54 -62 -43 -96 -31 -30

Transportation 134 130 202 152 121 -76 -74 40 159 73 -49 -36 -156 -9 -26

Special Tax 26 25 77 66 63 -54 -53 43 125 75 -82 -53 -39 -21 -50

Industrial Revenues -104 -86 -33 -6 -15 -11 -69 52 133 70 -43 -7 -197 -34 40Water & Sewer -45 1 37 79 77 -121 -81 40 185 31 -73 -39 -91 -18 6

Education 15 93 53 55 65 -69 -39 48 105 38 -76 -3 -68 37 -11

Power 1 -99 122 98 107 -87 -122 54 177 -13 -49 -112 -72 -61 -18

Leasing 84 -22 48 73 27 -53 33 70 157 65 -88 12 -67 -159 -87

Health Care 234 371 211 246 70 -111 13 -42 113 175 161 -188 59 -95 -42

Insured 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Pre-Refunded 34 47 4 2 1 1 30 -37 16 17 1 16 8 -5 -4Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 22

TAXABLE MUNICIPAL INDEX: LARGEST 25 ISSUERSFIGURE 38Largest 25 Issuers

Index / Issuer

Ratings # of

Bonds

Mkt. Value ($mn)

OAD

OAS

(bp)

Excess Returns (bp)

Moody's S&P Fitch Amount Pct. MTD 3 Mos YTD LTM

Taxable Municipals NA NA NA 288 167,082 100% 11.4 170 114 134 51 39State of California AA3 AA- A+ 12 20,499 12% 11.5 144 182 382 162 121State of Illinois BAA1 A/A- A-/BBB+ 10 13,409 8% 7.6 309 240 137 (16) (129)Port Authority of NY & NJ AA3 AA- AA- 10 7,192 4% 16.3 133 29 0 4 49 313 66

NJ State Turnpike Auth A3 A+ A 2 4,896 3% 13.2 155 249 300 252 180University of California AA2/AA3 AA/AA- AA/AA- 10 4,775 3% 13.7 154 98 121 44 200Bay Area Toll Authority AA3/A1 AA/AA- AA 5 4,742 3% 15.3 147 171 273 193 248NJ Econ. Development Auth A2/A3 AA/AA- A- 10 4,467 3% 6.6 250 94 138 217 12Metropolitan Trans. Authority (NY) A1 AA/AA- AA-/A+ 8 4,323 3% 12.5 163 74 60 (12) 45NY City Municipal Water Fin. Auth. AA1 AA+ AA+ 8 3,833 2% 14.0 124 87 79 (63) 121Los Angeles Unified School District AA2 AA- NR 3 3,507 2% 10.9 147 108 83 64 91American Municipal Power-Ohio Inc A2/A3 A A 7 3,473 2% 13.8 229 53 11 (87) (304)Municipal Elect. Auth. Georgia (MEAG) A2/A3 A+/A A+/A 3 3,279 2% 13.7 249 23 9 3 58 93 (60)City of New York NY AA2 AA AA 8 3,175 2% 10.2 141 18 42 36 146Florida Hurricane Catastrophe Fund AA3 AA AA 4 2,784 2% 3.6 81 72 57 85 145Commonwealth of Massachusetts AAA/AA1 AAA/AA+ AA+ 5 2,681 2% 11.1 110 136 104 81 49Los Angeles Department of Water & Power AA2/AA3 AA/AA- AA/AA- 5 2,636 2% 13.5 138 17 9 2 12 71 114Chicago Trans Auth-Sales Tax A1 AA NR 3 2,572 2% 10.9 268 348 366 221 (215)NY State Dorm. Auth - Pers Inc Tax AA1 AAA AA+ 6 2,468 1% 11.5 130 49 157 60 141NY City Transitional Finance Auth. AA1/AA2 AAA/AA+ AAA/AA+ 5 2,255 1% 11.2 140 58 25 (90) (9)

State of Texas AAA AAA AAA 3 2,184 1% 13.7 112 40 (42) (30) (128)NJ Trans. Trust Fund Auth A3 A- A- 5 2,172 1% 7.8 305 60 (55) (89) (473)State of Oregon AA1 AA+ AA+ 2 2,169 1% 6.0 93 (11) (16) 58 99State of Connecticut AA3 AA AA 3 2,140 1% 10.0 170 10 45 15 (128)Dallas Area Rapid Transit AA2 AA + NR 4 1,969 1% 13.1 118 (19) (79) (88) 62Ohio State University AA1 AA AA 4 1,951 1% 18.3 133 9 4 134 25

Note: As of April 29, 2016. Source: Barclays Risk Analytics and Index Solutions


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3 May 2016 23

Municipal Supply, Redemptions,Fund Flows, and Secondaries


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3 May 2016 24

HISTORICAL SUPPLYFIGURE 39Municipal Supply ($bn)

Year GO Revenue Total New Capital Refunding Total

1996 64.6 120.6 185.2 124.0 61.2 185.2

1997 72.4 148.3 220.7 137.8 82.9 220.71998 93.7 193.1 286.8 160.8 126.0 286.8

1999 71.0 156.5 227.5 157.4 70.1 227.5

2000 66.6 134.3 200.9 165.1 35.7 200.8

2001 101.7 186.0 287.7 197.2 90.5 287.7

2002 125.7 231.8 357.5 236.9 120.6 357.5

2003 142.1 240.6 382.7 262.2 120.5 382.7

2004 129.6 230.1 359.7 229.1 130.7 359.8

2005 144.2 264.0 408.2 222.3 185.9 408.2

2006 114.8 272.0 386.8 256.0 130.5 386.5

2007 131.0 293.5 424.5 273.7 155.6 429.3

2008 110.2 276.2 386.4 208.2 181.4 389.62009 154.9 251.9 406.8 261.4 148.4 409.7

2010 147.0 283.4 430.4 279.8 153.4 433.1

2011 107.8 187.2 294.9 153.1 141.9 294.9

2012 135.3 243.6 378.9 148.0 231.3 379.3

2013 124.6 210.4 334.9 161.3 173.6 334.9

2014 132.7 204.9 337.5 144.7 192.8 337.5

2015 153.4 249.7 403.1 151.1 252.0 403.1Note: Supply amounts may differ due to rounding. Source: SIFMA.org, SDC

FIGURE 40

Municipal Supply by Month ($bn) Total Supply GO Revenue New Capital Refunding

2014 2015 2016 2014 2015 2016 2014 2015 2016 2014 2015 2016 2014 2015 2016

Jan 19.5 29.3 25.4 8.0 10.4 11.5 11.6 19.0 14.0 11.7 8.4 10.5 7.8 20.9 14.9

Feb 16.5 33.4 31.4 6.7 14.5 14.3 9.8 18.9 17.1 9.6 10.6 12.5 6.9 22.7 19.0

Mar 28.5 45.7 42.0 14.4 20.7 19.7 14.1 24.9 22.3 10.2 10.2 15.4 18.3 35.3 26.6

Apr 26.6 41.1 33.7 11.2 16.1 14.2 15.4 25.0 19.5 13.4 13.1 14.6 13.1 28.0 19.1

May 27.8 36.8 8.2 16.0 19.6 20.8 13.4 14.3 14.4 22.3

Jun 35.8 40.0 16.4 16.0 19.3 24.0 15.3 19.5 20.5 21.0

Jul 27.6 35.4 10.5 13.6 17.2 21.8 11.9 14.8 15.8 20.5

Aug 24.6 32.3 9.4 10.5 15.2 21.8 9.7 12.2 14.9 20.1Sep 25.0 24.4 8.9 9.2 16.1 15.2 9.9 9.5 15.1 14.9

Oct 37.0 35.0 13.2 11.6 23.8 23.4 14.2 13.7 22.8 21.2

Nov 29.5 25.2 12.3 8.3 17.2 16.8 12.1 12.4 17.4 12.7

Dec 39.0 24.6 13.3 6.5 25.7 18.1 13.0 12.3 26.0 12.2

Total 337.5 403.1 132.6 132.7 153.4 59.7 204.9 249.7 72.9 144.7 151.1 52.9 192.8 252.0 79.6Note: Supply amounts are as reported and may differ due to rounding. Source: SIFMA.org, SDC


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3 May 2016 25

FIGURE 412016 Redemptions ($mn)

Note: As of April 8, 2016. Includes current refundings, advance refundings, and maturing bonds. Source: IDC

FIGURE 42Municipal Fund Flows ($mn)

Month 2012 2013 2014 2015 2016

Jan 6,660 7,181 433 4,600 4,269

Feb 6,375 2,506 1,681 2,630 4,690

Mar 3,561 -271 1,553 1,482 6,012

Apr 2,663 -1,750 1,190 398 3,372

May 4,935 -937 3,545 -631

Jun 3,989 -16,573 2,349 -1,731

Jul 5,451 -10,233 1,409 -655

Aug 5,468 -12,071 3,256 -1,446Sep 4,061 -6,433 3,017 -488

Oct 4,914 -5,395 2,154 2,381

Nov 5,250 -4,459 2,966 2,482

Dec -3,157 -10,060 4,435 5,770

Total 50,170 -58,495 27,988 14,792 18,343Note: ICI data through April 20, 2016. Source: ICI

05

101520253035404550

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

$bn

Median (2001-15) 2015 2016*


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3 May 2016 26

FIGURE 43Most Actively Traded Tax-Exempts ($1mn-plus in Trade Size)

CUSIP Description StateMoody’s, S&P,

and Fitch Ratings Cpn Maturity

StartingYld(%)

Min Yld(%)

Max Yld(%)

Last Yld(%)

Maturity Size($000s)

Numberof Trades

74514LE86Commonwealth Of PuertoRico PR Caa3/CC/CC 8 7/1/35 12.28 12.28 13.14 12.99 3,500,000 126

13080SML5 Loma Linda Univ Med Obl CA NA/BB/BB+ 5.25 12/1/56 4.68 4.12 4.68 4.12 562,360 71452151LF8 State Of Illinois IL Baa1/A-/BBB+ 5.1 6/1/33 5.73 5.45 5.73 5.45 7,650,000 69

118217AU2

Buckeye TobaccoSettlement FinancingAuthority OH B3/B-/CCC 5.875 6/1/47 6.28 6.14 6.36 6.14 1,383,715 52

167505QY5 Chicago Board Of Education IL NA/B+/B+ 7 12/1/44 7.75 7.47 7.75 7.47 665,000 34

38122NPB2Golden State TobaccoSecuritization Corp CA B3/B-/CCC 5.125 6/1/47 5.60 5.27 5.60 5.27 693,575 31

888808DF6Tobacco SettlementFinancing Corp/Nj NJ B3/B-/NA 5 6/1/41 5.63 5.41 5.65 5.41 1,263,590 27

74514LB89Commonwealth Of PuertoRico PR Caa3/CC/CC 5 7/1/41 9.25 9.02 9.63 9.29 632,975 26

118217AT5

Buckeye TobaccoSettlement Financing

Authority OH B3/B-/CCC 6.5 6/1/47 6.53 6.24 6.75 6.27 750,000 26Note: Excludes debt with maturities less than one year and maturity size below $250mn. Excludes trade sizes below $1mn. For April 2016 only.Source: MSRB, Bloomberg, Moody’s, S&P, Fitch, Barclays Risk Analytics and Index Solutions

FIGURE 44Most Actively Traded Taxable Munis ($1mn-plus in Trade Size)

CUSIP Issuer StateMoody’s, S&P, and

Fitch Ratings Coupon Maturity

StartingOAS(bp)

Min OAS(bp)

Max OAS(bp)

Last OAS(bp)

MaturitySize

($000s)Number of

Trades

592041WJ2 Met Govt Nashville& Davidsonc TN A3/NA/NA 4.053 7/1/26 162 142 168 142 300,000 42

13063A5G5 California St CA Aa3/AA-/A+ 7.55 4/1/39 172 154 172 154 3,000,000 42

341271AB0 Florida St Brd Of

Admin Fin CoFL Aa3/AA/AA 2.638 7/1/21 97 77 99 77 650,000 39

13063BJC7 California St CA Aa3/AA-/A+ 7.6 11/1/40 167 151 167 151 2,110,000 35

341271AA2 Florida St Brd OfAdmin Fin Co FL Aa3/AA/AA 2.163 7/1/19 104 64 104 76 550,000 35

13063BFR8 California St CA Aa3/AA-/A+ 7.625 3/1/40 172 157 174 159 1,250,000 3313063A5E0 California St CA Aa3/AA-/A+ 7.5 4/1/34 172 154 174 154 2,000,000 29

34074GDH4 Florida St HurricaneCatastrop FL Aa3/AA/AA 2.995 7/1/20 104 91 112 92 1,000,000 28

13063BBU5 California St CA Aa3/AA-/A+ 7.35 11/1/39 172 156 175 157 908,000 27452152HU8 Illinois St IL Baa1/A-/BBB+ 5.877 3/1/19 193 193 210 195 900,000 25Note: Excludes debt with maturities less than one year and maturity size below $250mn. Excludes trade sizes below $1mn. For April 2016 only.Source: MSRB, Bloomberg, Moody’s, S&P, Fitch, Barclays Risk Analytics and Index Solutions


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barclays municipal strategy monthly performance and outlook - april 2016-2

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