data as of november 30th, 2014 gbp bonds outperform

GBP bonds outperform

Markit iBoxx fixed income monthly market monitor

Bonds across euro, pound and dollar gain on the back of falling yield curves

£ Gilt-Inflation linked index rallied 5.3% in November, bringing YTD return to 17%

Markit launches Contingent Convertibles indices, offering a high yield of 6.91% in USD

Market movements

Yield curves decline across EUR, GBP and USD

Bonds across the three major currencies, EUR, GBP

and USD, provided positive returns in November on

the back of declining yield curves as central banks

released more dovish statements

Expectations about full blown QE in eurozone have

increased after low inflation numbers and sluggish

demand, pushing 10 year German Bund yields to

0.70%

EUR Overall increased by 1.04% (10.06% YTD),

USD Overall gained 0.85% (5.94% YTD), while GBP

Overall returned 2.95% (12.02% YTD) in November

European sovereigns posted positive returns in

November, with peripheries generally outperforming

the core countries. Italy, Portugal and Ireland gained

2.0%, 1.80%, 1.55% respectively, while Germany

and France returned 0.94% and 1.34%

iBoxx € Corporates returned 0.53%, mainly due to

income (24bps) and duration (39bps) return, with

credit only contributing 1bps to total return. Oil & Gas

corporate bonds were the only ones to end the

month on negative returns (-0.37%) due to concerns

about low oil prices

Spreads in € High Yield market broke the negative

trend from the past months, tightening during

November by 24bps. The iBoxx EUR High Yield

index returned 0.98% for the month, bringing YTD

return to 5.12%

The benchmark yield curve in the UK experienced

the most significant shift downwards (25-30bps

across maturities), as BOE minutes revealed

divisions within committee members on the outlook

of interest rates

UK Gilts increased by 3.25%, bringing YTD return to

12.57%. £ Corporates registered a 2.30% gain

mainly due to positive duration return (190bps), with

income return contributing 40bps. Spreads widening

contributed (-)38bps to total return

£ Inflation bonds were the clear winner this month as

they gained 5.3% in November, bringing the YTD

return to the impressive 17%. The declining of the

real yield curve, combined with the high duration of

the index (22.2), led to the big gain for the month.

Inflation expectations in the UK, as measured by the

10yr breakeven inflation, remained roughly

unchanged

US Treasuries returned 0.97% in November. iBoxx

$ Corporates also provided a positive return of

0.69% due to positive duration (0.47%) and income

return (0.47%). Spreads widening contributed -0.11%

to total return

US high yield bonds slumped 1% as spreads

widened 38bps. Markit iBoxx $ Convertible bond

index was the best performing fixed income sector in

the US for the month with a 2.72% gain on the back

of surging equity markets

Markit iBoxx Contingent Convertible

Indices

The Markit iBoxx Contingent Convertible index family

tracks the performance and emergent issuance of

bank Additional Tier 1 (AT1) and Tier 2 (T2)

Contingent Convertible (CoCo) instruments that are

Basel III compliant.

The indices provide a broad representation of the

developed and emerging market bank CoCo issuance

in GBP, EUR and USD. The sub-indices for AT1 and

T2 capital tiers allow for detailed multidimensional

analysis of the underlying bank CoCo market for

sophisticated performance measurement and

comparison

Markit fixed income research

Issue 11, December 2014 Data as of November 30th, 2014

Markit iBoxx fixed income monthly market monitor \ December 2014

December 2014 2

Outstanding notional of Basel III compliant CoCo securities (in $bn)

ETF market activity review

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

Source: Markit ETP Analytics

BlackRock was able to attract the biggest chunk of

total inflows to its fixed income ETFs in November,

with $3.8bn. One of its flagship products, iShares

Short Treasury Bond ETF, received $1.34bn of new

assets

New ETF launches in November

October saw one new ETF issuance in Europe and

five in the US

In Europe, UBS launched a GBP hedged version of

the UBS Barclays US Liquid Corporates ETF

launched previous month

In the US, First Trust added two new ETFs to its

offerings; First Trust Low Duration Mortgage

Opportunities ETF and First Trust Emerging Markets

Local Currency Bond ETF. The ETFs are actively

managed and will trade on Nasdaq

Market Vectors and Global X ETFs launched Market

Vectors ChinaAMC China Bond ETF and Global X

GF China Bond ETF, respectively. The two funds

invest in onshore Chinese bonds

FlexShares introduced the FlexShares Credit-Scored

US Corporate Bond Index Fund Bond Strategy ETF.

The fund will employ a rule-based strategy to

optimise credit risk in US corporate bonds

US Treasury ETFs experience outflows

The US fixed income ETF market experienced inflows

of $2.45bn during November. The majority of flows

went into Broad Market funds ($4.60bn) and

Corporates ($1.3bn). High Yield ETFs attracted

$0.6bn of new assets, while Treasuries lost $2.2bn of

assets during November. European fixed income

ETFs attracted net inflows of $2.3bn. Corporate bond

ETFs attracted the majority of new assets ($2.3bn)

0

10

20

30

40

50

60

70

80

90

0 1000 2000 3000 4000

BlackRock

First Trust

Vanguard

Deutsche Bank

Van Eck Securities…

Exchange Traded Concepts

PowerShares

Guggenheim Investments

BMO Funds

Others


December 2014 3

Contents

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

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

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

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

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

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

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

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

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

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

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

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

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

Analysis and trends .......................................................................................................................................... 26

€ Fixed income return attribution ................................................................................................................. 27

£ Fixed income return attribution ................................................................................................................. 28

$ Fixed income return attribution ................................................................................................................. 29

€ Fixed income stress test ............................................................................................................................ 36

£ Fixed income stress test ............................................................................................................................ 37

$ Fixed income stress test ............................................................................................................................ 38

Fixed income ETF market activity ................................................................................................................... 41


December 2014

4

Fixed income market

Facts and figures


December 2014 5

Figure 1: Global fixed income market YTD total returns

5.7%

12.6%

9.1%

11.1%

13.3%13.5%

7.0%

3.1%

7.8%

5.1%

10.7%

1.4%

10.0%

6.0%

14.7%

-5.3%

10.4%

14.4%

19.1%

9.2%

3.5%

17.5%

2.6%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

US

UK

Ge

rma

ny

Fra

nce

Italy

Sp

ain

US

IG

US

HY

EU

IG

EU

HY

UK

IG

UK

HY

EM

So

v U

SD

EM

Co

rp U

SD

Bra

zil

Ru

ssia

Ch

ina

Ind

ia

Tu

rke

y

Me

xico US

UK

Ge

rma

ny

Figure 2: Global fixed income market MTD total returns

1.0%

3.2%

0.9%1.3%

2.0%

1.1%0.7%

-0.99%

0.53%1.0%

2.3%

0.2%0.1%

-0.5%

1.4%

-1.7%

1.5%2.0%

3.8%

0.8%

0.3%

5.3%

-0.5%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

US

UK

Ge

rma

ny

Fra

nce

Italy

Sp

ain

US

IG

US

HY

EU

IG

EU

HY

UK

IG

UK

HY

EM

So

v U

SD

EM

Co

rp U

SD

Bra

zil

Ru

ssia

Ch

ina

Ind

ia

Tu

rke

y

Me

xico US

UK

Ge

rma

ny

Source: Markit iBoxx Data

Sovereigns

Corporates Emerging Markets Inflation Sovereigns

Sovereigns Corporates Emerging Markets Inflation

YTD

November


December 2014

6

Fixed income correlation

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

EUR GBP USD

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

EM Corp Loans CVBX

EUR

Sov 1.00 0.60 0.18 0.52 0.52 0.47 0.51 0.28 0.01 -0.36 -0.13 -0.15 -0.14 -0.18 0.06

Corp IG 0.60 1.00 0.41 0.48 0.51 0.52 0.45 0.19 -0.09 -0.31 -0.15 -0.25 -0.17 -0.16 0.03

HY 0.18 0.41 1.00 0.44 0.49 0.57 0.41 0.11 -0.13 -0.28 -0.24 -0.25 -0.10 -0.08 0.10

GBP

Gilts 0.52 0.48 0.44 1.00 0.96 0.14 0.95 0.15 0.19 0.23 0.07 0.26 0.16 -0.16 0.04

Corp IG 0.52 0.51 0.49 0.96 1.00 0.31 0.94 0.06 0.09 0.28 -0.02 0.19 0.14 -0.09 0.04

HY 0.47 0.52 0.57 0.14 0.31 1.00 0.27 -0.11 0.01 0.38 -0.10 0.09 0.26 0.19 0.15

IL 0.51 0.45 0.41 0.95 0.94 0.27 1.00 0.37 0.42 0.30 0.25 0.29 0.29 -0.19 0.06

USD

TSY 0.28 0.19 0.11 0.15 0.06 -0.11 0.37 1.00 0.84 -0.11 0.76 0.07 0.22 -0.41 0.09

Corp IG 0.01 -0.09 -0.13 0.19 0.09 0.01 0.42 0.84 1.00 0.22 0.79 0.44 0.61 -0.21 0.19

HY -0.36 -0.31 -0.28 0.23 0.28 0.38 0.30 -0.11 0.22 1.00 0.17 0.31 0.53 0.45 0.12

TIPS -0.13 -0.15 -0.24 0.07 -0.02 -0.10 0.25 0.76 0.79 0.17 1.00 0.08 0.28 -0.31 0.09

EM Sov -0.15 -0.25 -0.25 0.26 0.19 0.09 0.29 0.07 0.44 0.31 0.08 1.00 0.74 0.00 0.49

EM Corp -0.14 -0.17 -0.10 0.16 0.14 0.26 0.29 0.22 0.61 0.53 0.28 0.74 1.00 0.15 0.50

Loans -0.18 -0.16 -0.08 -0.16 -0.09 0.19 -0.19 -0.41 -0.21 0.45 -0.31 0.00 0.15 1.00 0.11

CVBX 0.06 0.03 0.10 0.04 0.04 0.15 0.06 0.09 0.19 0.12 0.09 0.49 0.50 0.11 1.00



December 2014 7

Fixed income correlation

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

EUR GBP USD

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

EM Sov

EM Corp Loans CVBX

Euro

Sov 1.00 0.81 0.33 0.68 0.66 0.36 0.61 0.45 0.41 -0.14 0.37 0.23 0.18 -0.10 -0.14

Corp IG 0.81 1.00 0.35 0.65 0.64 0.36 0.57 0.38 0.31 -0.16 0.31 0.15 0.12 -0.15 -0.15

HY 0.33 0.35 1.00 0.52 0.56 0.47 0.44 0.21 0.20 0.01 0.17 0.18 0.16 0.04 0.00

GBP

Gilts 0.68 0.65 0.52 1.00 0.97 0.08 0.88 0.53 0.51 -0.12 0.44 0.24 0.20 -0.20 -0.20

Corp IG 0.66 0.64 0.56 0.97 1.00 0.18 0.85 0.45 0.46 -0.02 0.38 0.29 0.26 -0.09 -0.13

HY 0.36 0.36 0.47 0.08 0.18 1.00 0.10 0.01 0.11 0.31 0.04 0.30 0.29 0.19 0.20

IL 0.61 0.57 0.44 0.88 0.85 0.10 1.00 0.54 0.55 -0.06 0.45 0.27 0.23 -0.21 -0.19

USD

TSY 0.45 0.38 0.21 0.53 0.45 0.01 0.54 1.00 0.91 -0.16 0.84 0.23 0.30 -0.24 -0.32

Corp IG 0.41 0.31 0.20 0.51 0.46 0.11 0.55 0.91 1.00 0.08 0.81 0.40 0.50 -0.04 -0.18

HY -0.14 -0.16 0.01 -0.12 -0.02 0.31 -0.06 -0.16 0.08 1.00 -0.01 0.39 0.42 0.68 0.43

TIPS 0.37 0.31 0.17 0.44 0.38 0.04 0.45 0.84 0.81 -0.01 1.00 0.32 0.39 -0.09 -0.24

EM Sov 0.23 0.15 0.18 0.24 0.29 0.30 0.27 0.23 0.40 0.39 0.32 1.00 0.86 0.31 0.09

EM Corp 0.18 0.12 0.16 0.20 0.26 0.29 0.23 0.30 0.50 0.42 0.39 0.86 1.00 0.30 0.12

Loans -0.10 -0.15 0.04 -0.20 -0.09 0.19 -0.21 -0.24 -0.04 0.68 -0.09 0.31 0.30 1.00 0.37

CVBX -0.14 -0.15 0.00 -0.20 -0.13 0.20 -0.19 -0.32 -0.18 0.43 -0.24 0.09 0.12 0.37 1.00



December 2014

8

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

Markit iBoxx Index Total Return Yield OAS Bonds Duration

Month YTD Current Month YTD Current Month YTD

€ Overall 1.04% 10.06% 1.27% -0.14% -1.24% 59.0 -4.8 -24.0 2,947 6.1

Sovereigns

€ Germany 0.94% 9.11% 0.87% -0.11% -1.04% -0.7 0.0 0.0 53 7.1

€ France 1.34% 11.07% 1.15% -0.15% -1.18% 29.4 -5.0 -15.0 43 7.4

€ Italy 1.99% 13.33% 2.15% -0.27% -1.54% 141.5 -19.6 -45.1 62 6.5

€ Spain 1.13% 13.46% 1.90% -0.14% -1.66% 122.0 -6.2 -66.3 35 6.1

€ Portugal 1.80% 20.15% 2.54% -0.25% -2.85% 202.6 -14.6 -193.1 11 5.5

€ Ireland 1.55% 13.17% 0.95% -0.26% -1.90% 60.8 -19.0 -88.6 10 5.2

Corporates

€ Corporates 0.53% 7.80% 1.41% -0.08% -1.08% 105.2 -2.4 -17.6 1,529 4.8

€ Corporates A 0.63% 7.85% 1.22% -0.10% -1.11% 83.2 -3.7 -18.9 661 5.1

€ Corporates AA 0.43% 7.35% 0.96% -0.07% -1.12% 59.3 0.0 -21.2 152 4.7

€ Corporates AAA 1.11% 12.68% 1.33% -0.13% -1.29% 55.4 -0.1 -3.7 6 7.6

€ Corporates BBB 0.44% 7.85% 1.77% -0.06% -1.05% 146.7 -2.3 -17.0 710 4.6

€ Financials 0.51% 7.27% 1.41% -0.10% -1.12% 114.5 -6.9 -23.6 581 4.4

€ Banks 0.47% 6.97% 1.21% -0.12% -1.17% 98.4 -8.9 -30.2 416 4.2

€ Insurance 0.91% 9.34% 2.57% -0.08% -1.05% 215.0 -1.6 -6.8 73 5.4

€ Non-Financials 0.54% 8.22% 1.41% -0.06% -1.06% 99.4 0.4 -12.8 948 5.2

€ Basic Materials 0.50% 7.78% 1.29% -0.07% -1.12% 96.0 -0.6 -16.6 73 4.8

€ Consumer Goods 0.72% 7.53% 1.17% -0.12% -0.93% 78.3 -4.2 -6.1 178 5.1

€ Consumer Services 0.81% 7.97% 1.51% -0.13% -1.00% 107.1 -4.4 -10.4 72 5.6

€ Health Care 0.47% 5.88% 1.19% -0.01% -0.65% 81.3 -6.6 7.9 31 4.9

€ Industrials 0.38% 7.50% 1.28% -0.05% -1.09% 97.3 -0.8 -18.8 151 4.7

€ Oil & Gas -0.37% 6.73% 1.78% 0.09% -0.73% 130.0 16.5 5.8 85 5.2

€ Technology 1.01% 12.60% 1.30% -0.12% -1.36% 62.7 -0.1 -11.0 12 7.2

€ Telecommunications 0.78% 9.36% 1.54% -0.02% -1.15% 107.1 4.0 -14.8 125 5.5

€ Utilities 0.65% 9.33% 1.46% -0.09% -1.22% 102.7 -1.5 -21.0 221 5.4

€ Covered 0.33% 7.48% 0.68% -0.06% -1.32% 38.5 0.2 -42.9 624 4.4

High Yield

€ High Yield 0.98% 5.12% 4.13% -0.27% -0.43% 394.3 -24.0 39.8 518 3.3

€ High Yield B 0.58% 2.65% 6.81% 0.08% 0.54% 646.0 3.8 157.7 184 3.0

€ High Yield BB 1.13% 6.46% 2.98% -0.25% -0.94% 287.1 -28.1 -3.7 304 3.4

€ High Yield CCC 0.83% -2.24% 11.28% 0.00% 1.00% 1013.3 20.8 196.6 28 2.7

Inflation-linked

€ France Inflation-Linked 0.44% 6.80% -0.11% -0.05% -0.78% -98.4 7.9 37.1 19 8.1

€ Germany Inflation-Linked

-0.51% 2.63% -0.36% 0.09% -0.46% -79.9 19.9 43.9 5 5.1

€ Italy Inflation-Linked 1.88% 12.80% 1.17% -0.22% -1.31% 32.2 -11.6 -16.6 10 7.7

ABS

Europe ABS 1.62% 6.45% 788

Contingent Convertible

€ Contingent Convertible 1.25% 7.89% 5.77% -0.03% -0.04% 16 5.0


€

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



December 2014 9

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



£ Overall 2.95% 12.02% 2.61% -0.28% -0.91% 35.2 -0.2 1.7 1090 9.7

Sovereigns

£ Gilts 3.25% 12.57% 2.31% -0.28% -0.90% 0.3 0.1 1.7 39 10.4

£ Gilts 1-3 0.39% 1.52% 0.64% -0.17% -0.10% 0.8 0.3 -17.8 6 1.9

£ Gilts 3-5 1.09% 4.42% 1.14% -0.26% -0.46% 1.6 -0.1 4.0 5 3.8

£ Gilts 5-7 1.67% 7.09% 1.46% -0.29% -0.79% -0.6 0.5 11.7 5 5.3

£ Gilts 7-10 2.45% 10.69% 1.75% -0.31% -1.01% -1.9 0.6 8.5 4 7.4

£ Gilts 10-15 3.29% 15.42% 2.08% -0.33% -1.22% -0.2 -0.9 -8.9 3 9.6

£ Gilts 15+ 5.70% 22.00% 2.61% -0.31% -1.00% 0.5 0.2 1.1 16 17.9

Corporates

£ Corporates 2.29% 10.81% 3.72% -0.25% -0.78% 161.0 3.8 17.3 719 8.2

£ Corporates A 2.57% 11.01% 3.70% -0.24% -0.69% 149.1 5.0 28.4 306 9.1

£ Corporates AA 2.37% 10.98% 3.21% -0.23% -0.82% 101.4 6.1 14.2 69 8.9

£ Corporates AAA 4.36% 16.38% 3.04% -0.28% -0.82% 58.1 1.5 10.2 5 14.5

£ Corporates BBB 1.95% 10.47% 3.94% -0.26% -0.89% 199.9 2.5 4.3 339 6.9

£ Banks 2.05% 9.14% 3.68% -0.32% -0.80% 174.1 -6.4 5.6 154 6.6

£ Basic Materials 2.10% 9.88% 3.39% -0.25% -0.82% 136.5 3.8 15.6 13 7.3

£ Consumer Goods 1.61% 7.62% 2.88% -0.24% -0.81% 115.6 4.6 16.8 55 5.5

£ Consumer Services 2.36% 12.08% 3.63% -0.23% -0.87% 143.8 6.2 12.1 61 8.9

£ Financials 2.21% 10.01% 3.78% -0.30% -0.81% 179.2 -2.3 5.6 303 7.0

£ Health Care 3.16% 13.86% 3.61% -0.23% -0.75% 118.2 8.5 29.1 12 12.7

£ Industrials 2.16% 10.99% 3.55% -0.23% -0.82% 143.3 6.6 13.7 49 8.2

£ Insurance 2.48% 10.57% 4.39% -0.30% -0.77% 242.1 -2.1 7.2 73 7.0

£ Non-Financials 2.34% 11.37% 3.69% -0.23% -0.76% 151.5 7.2 24.0 416 9.0

£ Oil & Gas 0.44% 7.17% 4.09% -0.05% -0.21% 203.6 24.0 74.6 19 7.6

£ Telecommunications 2.37% 11.57% 3.87% -0.20% -0.75% 169.2 9.6 22.8 47 8.8

£ Utilities 2.77% 12.67% 3.83% -0.24% -0.76% 157.4 5.8 25.8 159 10.1

Collateralized

£ Collateralized 2.67% 12.19% 3.46% -0.25% -0.91% 130.0 4.5 11.5 166 9.1

£ Covered 2.63% 13.75% 2.52% -0.32% -1.31% 61.5 -1.5 -20.0 23 7.5

£ ABS 2.93% 10.94% 4.04% -0.28% -0.76% 182.9 2.7 28.4 40 9.5

£ MBS 2.22% 9.14% 3.26% -0.26% -0.82% 125.8 3.3 18.3 41 7.4

£ Housing Associations 3.29% 15.72% 3.82% -0.20% -0.80% 130.2 10.0 22.9 35 14.3

High Yield

£ High Yield 0.21% 1.43% 6.34% -0.09% 0.58% 486.5 7.8 127.5 45 3.2

Inflation-linked

£ Gilt Inflation-Linked 5.33% 16.97% -0.66% -0.24% -0.72% -330.4 7.1 24.7 24 22.2


£ Contingent Convertible 1.29% 2.76% 7.62% -0.13% 0.86% 0.0 0.0 0.0 8 5.6


£




December 2014 10

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



$ Overall 0.85% 5.94% 2.68% -0.11% -0.46% 57.0 -4.7 5.1 5471 6.0

Sovereigns

$ Treasuries 0.97% 5.64% 2.08% -0.12% -0.48% -3.8 -8.7 3.2 253 5.9

$ Treasuries 1-3Y 0.13% 0.83% 0.53% -0.02% 0.08% -2.1 -6.6 -3.8 95 1.8

$ Treasuries 3-5Y 0.51% 2.46% 1.27% -0.09% -0.03% 0.3 -7.4 6.5 58 3.8

$ Treasuries 5-7Y 1.01% 4.76% 1.70% -0.15% -0.36% -4.9 -10.2 0.0 39 5.4

$ Treasuries 7-10Y 1.41% 8.33% 2.03% -0.17% -0.70% -7.7 -10.0 -4.1 18 7.4

$ Treasuries 10-15Y 1.88% 12.15% 2.34% -0.19% -0.95% -1.8 -11.7 5.4 13 9.4

$ Treasuries 15Y+ 3.11% 22.38% 2.84% -0.17% -1.04% -4.3 -8.4 8.5 30 17.4

Corporates

$ Corporates 0.69% 6.96% 3.75% -0.06% -0.44% 157.2 2.2 18.5 4,185 6.6

$ Corporates A 0.82% 6.26% 3.40% -0.09% -0.40% 125.9 -1.0 20.6 1716 6.3

$ Corporates AA 0.89% 6.20% 3.20% -0.08% -0.40% 104.8 -1.0 19.7 486 6.3

$ Corporates AAA 1.17% 8.45% 3.30% -0.10% -0.62% 89.6 -0.1 23.0 47 8.7

$ Corporates BBB 0.49% 7.87% 4.26% -0.03% -0.49% 203.5 6.4 16.5 1936 7.0

$ Banks 0.74% 5.24% 3.29% -0.12% -0.36% 145.6 -6.1 1.2 916 4.8

$ Basic Materials 0.26% 7.74% 4.37% 0.01% -0.44% 214.3 11.2 24.5 258 7.2

$ Consumer Goods 0.84% 6.35% 3.39% -0.09% -0.44% 126.0 -0.9 17.2 352 6.3

$ Consumer Services 1.09% 9.88% 3.85% -0.10% -0.68% 145.9 -1.2 8.9 380 8.3

$ Financials 0.75% 5.74% 3.43% -0.10% -0.38% 150.0 -3.0 6.0 1419 5.2

$ Health Care 0.85% 6.98% 3.56% -0.09% -0.41% 126.8 0.7 29.8 300 7.4

$ Industrials 0.84% 8.02% 3.55% -0.08% -0.57% 129.9 2.0 11.5 326 7.3

$ Insurance 0.69% 8.40% 4.08% -0.03% -0.55% 180.4 8.8 15.8 197 7.6

$ Non-Financials 0.65% 7.70% 3.89% -0.05% -0.46% 160.3 4.3 23.8 2766 7.5

$ Oil & Gas -0.26% 6.27% 4.36% 0.08% -0.22% 209.9 17.9 47.7 541 7.3

$ Technology 0.99% 6.36% 3.26% -0.11% -0.40% 114.5 -4.0 19.5 160 6.3

$ Telecommunications 1.26% 8.77% 4.15% -0.10% -0.48% 173.2 -3.3 22.1 168 8.5

$ Utilities 0.90% 10.29% 3.92% -0.07% -0.68% 152.3 5.7 15.4 281 8.8

High Yield

$ Liquid High Yield -1.03% 3.10% 6.01% 0.36% 0.28% 415.5 38.0 64.8 964 3.9

Inflation-linked

$ TIPS Inflation-Linked 0.22% 3.39% 0.52% -0.01% -0.27% -184.9 4.2 48.9 35 8.5

Emerging Markets

$ EM Sovereigns 0.03% 9.95% 4.97% -0.04% -0.92% 270.3 7.9 -21.5 309 7.3

$ EM Corporates -0.56% 5.94% 5.35% 0.15% -0.36% 338.2 24.2 8.2 1296 5.0

Loans

$ Leveraged Loans 0.43% 2.56% 1131

RMBS

$ US RMBS Seniors 0.70% 14.62% 350

Convertible

$ CVBX 2.72% 11.82% -0.04% -0.26% 1.42% 100 5.9


$ Contingent Convertible -0.15% 7.27% 6.91% 0.07% 0.08% 31 5.2


$




December 2014 11

Key trends: Markit iBoxx € Corporates and € Eurozone

Figure 3: € Total return Figure 4: € Yield

0

0.5

1

1.5

2

2.5

3

€ Corporates € Eurozone

Figure 5: € Duration Figure 6: € ASW

0

20

40

60

80

100

120

140

160

180

AS

W (

bp

s)

€ Corporates AAA € Corporates AA

€ Corporates A € Corporates BBB


€

0

1

2

3

4

5

6

7

8


92

94

96

98

100

102

104

106

108

110

112

114



December 2014 12

Key trends: Markit iBoxx € spot and swap curve

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

0

20

40

60

80

100

120

140

160

180

200

Bps

2s10s 10s30s

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

-25

-20

-15

-10

-5

0

5

10

15

2Y 5Y 10Y 30Y

Bps

Spot Swap


€

-0.5

0

0.5

1

1.5

2

2.5

0 10 20 30 40 50

Yie

ld

Maturity

Yield curve 2014-Nov-28 Yield curve 2014-Oct-31

Swap curve 2014-Nov-28 Swap curve 2014-Oct-31

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50

Yie

ld

Maturity

2014-Nov-28 2014-Oct-31 2013-Nov-28


December 2014 13

Key trends: Markit iBoxx £ Corporates and £ Gilts

Figure 11: £ Total return Figure 12: £ Yield

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

£ Corporates £ Gilts

Figure 13: £ Duration Figure 14: £ ASW

0

50

100

150

200

250

Bp

s

£ Corporates AAA £ Corporates AA

£ Corporates A £ Corporates BBB


£

0

2

4

6

8

10

12


90

95

100

105

110

115



December 2014 14

Key trends: Markit iBoxx £ spot and swap curve

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

0

50

100

150

200

250

300

Bp

s

2s10s 10s30s

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

-35

-30

-25

-20

-15

-10

-5

0

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


£

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50

Yie

ld

Maturity



0

0.5

1

1.5

2

2.5

3

3.5

4

0 10 20 30 40 50

Yie

ld

Maturity

2014-Nov-28 2014-Oct-31 2013-Nov-28


December 2014 15

Key trends: Markit iBoxx $ Corporates and $ Treasuries

Figure 19: $ Total return Figure 20: $ Yield

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

$ Treasuries $ Corporates

Figure 21: $ Duration Figure 22: $ ASW

0

50

100

150

200

250

AS

W (

bp

s)

$ Corporates AAA $ Corporates AA

$ Corporates A $ Corporates BBB


$

0

1

2

3

4

5

6

7


94

96

98

100

102

104

106

108

110



December 2014 16

Key trends: Markit iBoxx $ spot and swap curve

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

0

50

100

150

200

250

300

350

Bp

s

2s10s 10s30s

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

-20

-15

-10

-5

0

5

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


$

0

0.5

1

1.5

2

2.5

3

3.5

0 5 10 15 20 25 30

Yie

ld

Maturity



0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0 5 10 15 20 25 30

Yie

ld

Maturity

2014-Nov-28 2014-Oct-31 2013-Nov-29


December 2014 17

Markit iBoxx € Corporates rebalance movements

Table 6: Index rebalance stats

After rebalance

Changes due to rebalance

Sub-Index Bonds Weight Yield Duration OAS

Bonds Weight Yield Duration OAS

Corporates 1,550 100% 1.42 4.95 105.13

+21 0.0% 0.01 0.10 -0.05

Non-Financials 958 56.7% 1.40 5.32 97.36

+10 0.0% -0.01 0.11 -2.01

Financials 592 43.3% 1.44 4.46 117.66

+11 0.0% 0.04 0.08 3.14

AAA 6 0.5% 1.33 7.60 55.37

0 0.0% 0.00 0.00 0.00

AA 160 13.3% 0.99 4.90 59.28

+8 0.4% 0.03 0.18 0.03

A 672 44.7% 1.23 5.14 83.55

+11 0.2% 0.01 0.07 0.39

BBB 712 41.4% 1.79 4.72 147.46

+2 -0.6% 0.02 0.09 0.74

1-3y 380 26.1% 0.66 1.95 61.38

+3 -0.3% -0.01 0.06 -1.12

3-5y 381 23.3% 1.01 3.73 96.97

+1 0.0% 0.02 0.08 1.55

5-7y 361 23.4% 1.25 5.51 105.65

+7 -0.1% -0.01 0.08 -2.30

7-10y 293 18.6% 1.62 7.35 112.50

-1 -0.3% 0.01 0.06 0.24

10-15y 112 7.1% 2.09 9.91 116.63

+11 0.6% 0.02 0.05 1.72

15+ 23 1.5% 2.48 13.82 111.51

0 0.0% 0.00 0.00 0.00

Markit iBoxx £ Corporates rebalance movements


After rebalance




Corporates 723 100% 3.72 8.21 160.94

+4 0.0% 0.00 0.04 -0.01

Non-Financials 422 60.4% 3.69 8.94 151.13

+6 0.3% -0.01 -0.01 -0.36

Financials 301 39.6% 3.79 7.08 179.83

-2 -0.3% 0.01 0.11 0.63

AAA 5 0.7% 3.04 14.50 58.08

0 0.0% 0.00 0.00 0.00

AA 71 11.0% 3.20 8.79 100.79

+2 0.2% -0.02 -0.08 -0.64

A 304 44.9% 3.70 9.14 149.00

-2 -0.3% 0.00 0.03 -0.09

BBB 343 43.4% 3.95 6.99 199.60

+4 0.1% 0.00 0.10 -0.27

1-3y 118 12.5% 2.03 1.93 136.77

0 0.0% -0.06 0.09 -8.50

3-5y 119 14.0% 2.47 3.59 137.60

+1 -0.3% 0.02 0.08 -0.13

5-7y 92 11.0% 3.13 5.13 166.86

+1 0.2% -0.02 0.05 -2.56

7-10y 104 15.0% 3.45 6.80 169.68

+1 0.1% -0.01 0.05 -1.88

10-15y 125 17.8% 3.84 9.40 174.36

+1 0.2% 0.03 0.05 2.20

15+ 165 29.7% 4.07 14.15 156.84

0 -0.2% 0.00 0.02 0.34


€

£


December 2014 18

Markit iBoxx $ Corporates rebalance movements


After rebalance




Corporates 4,259 100% 3.76 6.70 157.28

+74 0.0% 0.01 0.07 0.10

Non-Financials 2,835 62.9% 3.89 7.53 160.30

+69 0.4% 0.00 0.05 0.05

Financials 1,424 37.1% 3.44 5.29 150.07

+5 -0.4% 0.01 0.07 0.12

AAA 49 1.0% 3.28 8.55 88.37

+2 0.0% -0.02 -0.12 -1.23

AA 490 13.5% 3.19 6.38 104.59

+4 -0.2% 0.00 0.05 -0.26

A 1,761 43.5% 3.41 6.39 125.86

+45 0.4% 0.01 0.10 0.00

BBB 1,959 42.0% 4.27 7.07 204.41

+23 -0.2% 0.01 0.05 0.94

1-3y 911 20.1% 1.49 2.00 86.27

+8 -0.1% 0.04 0.08 0.80

3-5y 939 22.3% 2.34 3.65 108.55

0 -0.3% 0.02 0.06 -0.08

5-7y 582 13.5% 3.06 5.22 133.83

+32 0.4% 0.00 0.06 -1.42

7-10y 859 19.6% 3.62 7.13 155.37

+5 -0.2% 0.03 0.07 2.01

10-15y 74 1.6% 4.10 8.99 180.31

+7 0.1% -0.02 0.04 -2.20

15+ 894 22.9% 4.59 14.12 184.66

+22 0.1% 0.00 0.02 0.02


$


December 2014 19

Markit iBoxx € Corporates rebalancing activity – Nov 14

Table 9: iBoxx € Corporates - Out

ISIN Issuer Sector Rating Maturity Weight Reason

XS0233988004 HSBC FINANCE CRP Banks A 04/11/2015 0.08% <1Y

XS0235620142 MORGAN STANLEY Banks A 17/11/2015 0.09% <1Y

XS0556096831 NYKREDIT BANK Banks A 04/11/2015 0.03% <1Y

XS0563159184 CITIGROUP INC Banks A 26/11/2015 0.08% <1Y

XS0235117891 DSM Chemicals A 10/11/2015 0.03% <1Y

FR0010289496 VINCI SA Construction & Materials A 13/11/2015 0.03% <1Y

XS1112824633 DIAGEO FIN PLC Food & Beverage BBB 20/04/2019 0.03% Redeemed

FR0010941690 AREVA SA Industrial Goods & Services BB 22/03/2021 0.05% Downgraded



FR0011791391 AREVA SA Industrial Goods & Services A 20/03/2023 0.05% Downgraded



FR0010817452 AREVA SA Industrial Goods & Services BBB 06/11/2019 0.05% <500M

XS0260057285 AXA SA Insurance BBB 06/07/2016 0.07% <500M

ES0324244005 MAPFRE SA Insurance BBB 16/11/2015 0.07% <1Y

XS0323922376 AXA SA Insurance A 05/10/2017 0.06% <500M

XS0234434222 HENKEL KGAA Personal & Household Goods BBB 25/11/2015 0.09% <1Y

XS0557635777 LUXOTTICA Personal & Household Goods A 10/11/2015 0.03% <1Y

FR0011223692 MERCIALYS Real Estate BBB 26/03/2019 0.05% <500M

XS0811124790 KPN NV Telecommunications BBB 01/02/2021 0.06% <500M

XS0853679867 SNAM Utilities BBB 13/11/2015 0.05% <1Y

XS0400006234 IBERDROLA FIN SA Utilities BBB 25/11/2015 0.04% <1Y


Table 10: iBoxx € Corporates - In


XS0940658361 BANK OF IRELAND Banks BBB 05/06/2016 0.03% Upgrade to IG

XS1136227094 NATL AUSTRALIABK Banks A 12/11/2019 0.05% New Issue

XS1137512312 MEDIOBANCA SPA Banks BBB 14/11/2017 0.08% New Issue

XS1140857316 STANDARD CHART Banks A 19/11/2024 0.03% New Issue

BE0002479542 KBC GROEP NV Banks BBB 25/11/2019 0.05% New Issue

XS1143070503 ICCREA BANCA SPA Banks BBB 25/11/2019 0.03% New Issue

XS1143974159 MFINANCE FRANCE Banks A 26/11/2021 0.03% New Issue

XS1139091372 LLOYDS BANK PLC Banks A 19/11/2021 0.10% New Issue

XS1136388425 NOMURA EUROPE FN Banks BBB 12/05/2021 0.05% New Issue

XS1136183537 ABBEY NATL TREAS Banks A 13/01/2020 0.07% New Issue

XS1140476604 CREDIT SUISSE LD Banks A 20/11/2018 0.10% New Issue

XS1134519120 AKZO NOBEL NV Chemicals BBB 07/11/2024 0.03% New Issue

€


December 2014 20

XS1135782628 DVB BANK SE Financial Services A 11/11/2019 0.03% New Issue

XS1142279782 THERMO FISHER Health Care BBB 15/01/2025 0.04% New Issue

XS1143486865 ASTRAZENECA PLC Health Care A 24/11/2021 0.05% New Issue

XS1134758116 NOVARTIS FINANCE Health Care AA 09/11/2021 0.04% New Issue

XS1137512668 MOLNLYCKE HLD Health Care BBB 28/02/2022 0.03% New Issue

XS1134729794 NOVARTIS FINANCE Health Care AA 09/11/2026 0.04% New Issue

XS1135309794 BAYER CAP CORPNV Health Care A 13/08/2023 0.03% New Issue

FR0012300812 AUTOROUTES PARIS Industrial Goods & Services BBB 15/10/2024 0.05% New Issue

FR0012300820 AUTOROUTES PARIS Industrial Goods & Services BBB 15/01/2021 0.05% New Issue

XS1136406342 3M CO Industrial Goods & Services AA 09/11/2026 0.05% New Issue

XS1132402709 HUTCH WHA FIN 14 Industrial Goods & Services A 31/10/2021 0.10% New Issue

XS1134541306 AXA SA Insurance BBB 07/11/2024 0.07% New Issue

XS1140860534 GENERALI FINANCE Insurance BBB 21/11/2025 0.10% New Issue

FR0012329845 BNP PARIBAS Insurance BBB 25/11/2025 0.07% New Issue

FR0012317758 CNP ASSURANCES Insurance BBB 18/11/2024 0.03% New Issue

XS1141969912 BRIT SKY BROADCA Media BBB 24/11/2023 0.06% New Issue

XS1135276332 SHELL INTL FIN Oil & Gas AA 06/04/2022 0.07% New Issue

XS1138423774 OMV AG Oil & Gas A 19/11/2018 0.05% New Issue

XS1140054526 BG ENERGY CAP Oil & Gas A 21/11/2029 0.05% New Issue

XS1139315581 TOTAL CAP INTL Oil & Gas AA 19/03/2025 0.06% New Issue


XS1139688268 BG ENERGY CAP Oil & Gas A 21/11/2022 0.05% New Issue

DE000A1ZSAF4 JAB HOLDINGS Personal & Household Goods

BBB 24/11/2021 0.05% New Issue

XS1130507053 GRAND CITY PROP Real Estate BBB 29/10/2021 0.03% New Issue

FR0012346856 SOCIETE FONCIERE Real Estate BBB 26/11/2021 0.03% New Issue

FR0012283653 KLEPI Real Estate A 06/08/2024 0.03% New Issue

XS1138360166 WALGREENS BOOTS Retail BBB 20/11/2026 0.05% New Issue

XS1135337498 APPLE INC Technology AA 10/11/2026 0.09% New Issue

DE000A13SL26 SAP SE Technology A 20/11/2022 0.07% New Issue

DE000A13SL34 SAP SE Technology A 22/11/2026 0.07% New Issue

XS1135334800 APPLE INC Technology AA 10/11/2022 0.09% New Issue

XS1140300663 VERBUND AG Utilities BBB 20/11/2024 0.03% New Issue


Markit iBoxx £ Corporates rebalancing activity – Nov 14

Table 11: iBoxx £ Corporates - Out


XS0559319172 FCE BANK PLC Automobiles & Parts BBB 16/11/2015 0.12% <1Y

XS0120327571 BARCLAYS BK PLC Banks A 27/11/2015 0.04% <1Y

XS0180008905 CITIGROUP INC Banks A 18/11/2015 0.07% <1Y

XS0235423406 PORTMAN BLDG SOC Banks BBB 23/11/2015 0.04% <1Y

XS0205875049 SOCIETY LLOYD'S Insurance A 17/11/2015 0.05% <1Y

£


December 2014 21

XS0855527916 PRUDENTIAL PLC Insurance A 16/11/2015 0.08% <1Y

XS0303070113 KPN NV Telecommunications BBB 29/05/2019 0.08% <250M


Table 12: iBoxx £ Corporates - In


DE000A1ZSQC7 BMW US CAP LLC Automobiles & Parts A 20/11/2019 0.08% New Issue

XS1136679153 FCE BANK PLC Automobiles & Parts BBB 13/11/2019 0.11% New Issue

XS1140677250 YORKSHRE BLD SOC Banks BBB 20/11/2019 0.07% New Issue

XS1134541561 AXA SA Insurance BBB 04/03/2026 0.20% New Issue




XS1138641508 TOTAL CAP INTL Oil & Gas AA 17/12/2020 0.09% New Issue

XS1139918012 HEALTH CARE REIT Real Estate BBB 01/09/2034 0.15% New Issue




Markit iBoxx $ Corporates rebalancing activity – Nov 14

Table 13: iBoxx $ Corporates - Out


US073902KF49 BEAR STEARNS CO Financials A 30/10/2015 0.02% <1Y

US61747YCT01 MORGAN STANLEY Financials BBB 02/11/2015 0.03% <1Y

US36962G4T83 GEN ELEC CAP CRP Financials AA 09/11/2015 0.05% <1Y

XS0559355135 QNB FINANCE LTD Financials BBB 16/11/2015 0.04% <1Y

US37247DAP15 GENWORTH FINL Financials BB 24/09/2021 0.02% Downgraded

XS0615783239 INDIAN OVERSEAS Financials BB 19/10/2016 0.01% Downgraded

US693476AT04 PNC FUNDING CORP Financials A 15/11/2015 0.01% <1Y

US40963MAB81 HANA BANK Financials A 30/10/2015 0.01% <1Y

US472319AJ14 JEFFERIES GROUP Financials BBB 09/11/2015 0.01% <1Y

XS0559277743 SAUDI BRITISH BK Financials A 12/11/2015 0.01% <1Y

US78008SPH30 ROYAL BK CANADA Financials AA 30/10/2015 0.02% <1Y

US06366RJH93 BANK OF MONTREAL Financials AA 06/11/2015 0.02% <1Y

US025815AA91 AMER EXPR CENTUR Financials A 13/11/2015 0.02% <1Y

US38141EB321 GOLDMAN SACHS GP Financials A 23/11/2015 0.05% <1Y

US37247DAK28 GENWORTH HOLDING Financials BB 22/05/2018 0.01% Downgraded

XS0470473231 STANDARD BANK Financials BB 02/12/2019 0.01% Downgraded

US00440EAN76 ACE INA HOLDINGS Financials A 23/11/2015 0.02% <1Y

XS0773015853 INDIAN OVERSEAS Financials BB 21/02/2018 0.01% Downgraded

US14040HBA23 CAPITAL ONE FINL Financials BBB 06/11/2015 0.02% <1Y

US05968AAB26 BANCO DEL ESTADO Financials AA 09/11/2017 0.02% <500M

$


December 2014 22

XS0556042405 ADIB SUKUK Financials A 04/11/2015 0.02% <1Y

US01741RAE27 ALLEGHENY TECH Non-Financials BB 15/10/2020 0.01% Downgraded

US278062AA21 EATON CORP Non-Financials BBB 02/11/2015 0.01% <1Y

US25179MAS26 DVN-CALL11/14 Non-Financials BBB 13/11/2014 0.00% <1Y

USL0037UAB37 ACTAVIS FUNDING Non-Financials BBB 15/06/2019 0.01% <500M

USP78954AA52 PETROTRIN Non-Financials BBB 07/11/2018 0.01% <500M

US94106LAN91 WASTE MANAGEMENT Non-Financials BBB 15/05/2032 0.02% <500M

XS0554434240 SABIC CAPITAL BV Non-Financials A 02/11/2015 0.02% <1Y

US25179MAJ27 DVN-CALL11/14 Non-Financials BBB 13/11/2014 0.00% <1Y

US14912L5H04 CATERPILLAR FINL Non-Financials A 06/11/2015 0.01% <1Y

US92343VBH69 VERIZON COMM INC Non-Financials BBB 02/11/2015 0.02% <1Y

US023135AK22 AMAZON.COM INC Non-Financials A 27/11/2015 0.02% <1Y

US00287YAG44 ABBVIE INC Non-Financials A 06/11/2015 0.08% <1Y

US01741RAF91 ALLEGHENY TECH Non-Financials BB 15/08/2023 0.01% Downgraded

USL0037UAC10 ACT-EXCH11/14 Non-Financials BBB 15/03/2024 0.03% <500M

USL0037UAD92 ACT-EXCH11/14 Non-Financials A 15/06/2044 0.03% <500M

US20030NAJ00 COMCAST CORP Non-Financials BBB 15/11/2015 0.02% <1Y

US893830AX70 TRANSOCEAN INC Non-Financials BBB 15/11/2015 0.03% <1Y

US191216AP57 COCA-COLA CO/THE Non-Financials AA 15/11/2015 0.02% <1Y

US742718DS54 PROCTER & GAMBLE Non-Financials AA 15/11/2015 0.02% <1Y

US92343VAY02 VZ-CALL11/14 Non-Financials BBB 24/11/2014 0.00% <1Y

US565849AJ55 MARATHON OIL COR Non-Financials BBB 01/11/2015 0.02% <1Y

XS0857050834 VOLKSWAGEN INTFN Non-Financials A 20/11/2015 0.02% <1Y

US92343VAQ77 VZ-CALL11/14 Non-Financials BBB 24/11/2014 0.00% <1Y

US92343VAC81 VZ-CALL11/14 Non-Financials BBB 24/11/2014 0.00% <1Y

US74834LAL45 QUEST DIAGNOSTIC Non-Financials BBB 01/11/2015 0.01% <1Y

US767201AJ59 RIO TINTO FINANC Non-Financials A 02/11/2015 0.01% <1Y

XS0558268628 IPIC GMTN LTD Non-Financials AA 15/11/2015 0.02% <1Y

USU62472AD49 MYL-CALL11/14 Non-Financials BBB 15/11/2014 0.00% <1Y

XS0562354182 GAZPROM Non-Financials BBB 29/11/2015 0.02% <1Y

US25179MAM55 DVN-CALL11/14 Non-Financials BBB 13/11/2014 0.00% <1Y

US05565QCA40 BP CAPITAL PLC Non-Financials A 06/11/2015 0.02% <1Y

USL0037UAA53 ACT-EXCH11/14 Non-Financials BBB 15/06/2017 0.01% <500M


Table 14: iBoxx $ Corporates - In


USQ8351LAA19 SCENTRE GROUP TR Financials A 05/10/2019 0.02% New Issue

US254709AK45 DISCOVER FIN SVS Financials BBB 06/08/2024 0.01% New Issue

XS1138687162 BANK EAST ASIA L Financials BBB 20/11/2019 0.01% New Issue

US22546QAR83 CRED SUIS NY Financials A 29/10/2021 0.05% New Issue

US45580KAB44 INDU & COM BK NY Financials A 13/11/2017 0.02% New Issue

US06120TAA60 BANK OF CHINA Financials BBB 13/11/2024 0.07% New Issue


December 2014 23

XS1134020673 EASTERN CREATION Financials A 20/11/2017 0.02% New Issue

US001055AM48 AFLAC INC Financials A 15/11/2024 0.02% New Issue

USU8850TAB36 TIAA ASSET MGMT Financials A 01/11/2024 0.02% New Issue

USU8850TAA52 TIAA ASSET MGMT Financials A 01/11/2019 0.02% New Issue

US45580KAC27 INDU & COM BK NY Financials A 13/11/2019 0.02% New Issue

XS1132156230 DOUBLE ROSY Financials A 18/11/2019 0.02% New Issue

US49327M2F07 KEY BANK NA Financials A 15/12/2019 0.02% New Issue

US172967JE29 CITIGROUP INC Financials A 24/11/2017 0.04% New Issue

US69353REF10 PNC BANK NA Financials A 30/09/2024 0.01% New Issue

US94974BGE48 WELLS FARGO CO Financials A 04/11/2044 0.05% New Issue

US89114QAV05 TORONTO DOM BANK Financials AA 05/11/2019 0.03% New Issue

US06738EAD76 BARCLAYS PLC Financials A 08/11/2019 0.05% New Issue

XS1120403313 DIFC SUKUK Financials BBB 12/11/2024 0.02% New Issue

US40428HPL05 HSBC USA INC Financials A 13/11/2017 0.02% New Issue

US40428HPN60 HSBC USA INC Financials A 13/11/2019 0.02% New Issue

USQ8351LAB91 SCENTRE GROUP TR Financials A 12/11/2024 0.01% New Issue

XS1138457590 EMIRATES NBD Financials A 19/11/2019 0.02% New Issue

US172967JC62 CITIGROUP INC Financials BBB 20/11/2026 0.02% New Issue

US05463EAC21 AXIS BANK Financials BBB 21/05/2020 0.01% New Issue

XS1143333109 ERSTE GROUP Financials BBB 26/05/2020 0.01% New Issue

US28368EAD85 EL PASO CORP Non-Financials BBB 01/08/2031 0.02% New Issue

US49455WAD83 KINDER MORGAN Non-Financials BBB 05/01/2016 0.02% New Issue

USU4945QAA77 KINDER MORGAN Non-Financials BBB 15/01/2021 0.02% New Issue

US29336UAB35 ENLINK MIDSTREAM Non-Financials BBB 01/01/2024 0.01% New Issue

US00507UAB70 ACTAVIS FUNDING Non-Financials BBB 15/06/2017 0.01% New Issue

US00507UAD37 ACTAVIS FUNDING Non-Financials BBB 15/06/2019 0.01% New Issue

XS1120848277 HEBEI IRON HK IN Non-Financials A 27/10/2017 0.01% New Issue

XS1123131929 CNTRL NIPPON EXP Non-Financials AA 05/11/2019 0.01% New Issue

XS1125272143 KING POWER CAP Non-Financials BBB 03/11/2024 0.02% New Issue

USG46747AA27 HUTCH WHA INT 14 Non-Financials A 31/10/2017 0.05% New Issue

US482480AD20 KLA-TENCOR CORP Non-Financials BBB 01/09/2021 0.01% New Issue

US05565QCS57 BP CAPITAL PLC Non-Financials A 04/11/2024 0.02% New Issue

XS1132166031 KAZMUNAYGAS NAT Non-Financials BBB 07/05/2025 0.01% New Issue

US85771PAW23 STATOIL ASA Non-Financials AA 08/11/2019 0.02% New Issue

US20826FAF36 CONOCOPHIL CO Non-Financials A 15/05/2034 0.01% New Issue

US931427AE88 WALGREENS BOOTS Non-Financials BBB 17/11/2017 0.02% New Issue

US166764AL42 CHEVRON CORP Non-Financials AA 15/11/2017 0.02% New Issue

US166764AN08 CHEVRON CORP Non-Financials AA 15/10/2019 0.02% New Issue

US35671DBK00 FREEPORT-MCMORAN Non-Financials BBB 14/11/2017 0.02% New Issue

US718546AL86 PHILLIPS 66 Non-Financials BBB 15/05/2044 0.03% New Issue

US375558AZ68 GILEAD SCIENCES Non-Financials A 01/11/2024 0.04% New Issue

XS1139232299 VOLKSWAGEN GRP Non-Financials A 20/11/2019 0.02% New Issue

US55616XAM92 MACYS RETAIL HLD Non-Financials BBB 15/06/2034 0.01% New Issue

USU75000BG06 ROCHE HLDGS INC Non-Financials AA 28/05/2044 0.01% New Issue


December 2014 24

US478160BL73 JOHNSON&JOHNSON Non-Financials AAA 21/11/2017 0.02% New Issue

US675232AA07 OCEANEERING INTL Non-Financials BBB 15/08/2024 0.01% New Issue

US209111FF50 CONSOLIDATED EDI Non-Financials A 01/06/2054 0.02% New Issue

USP3713QAA50 EMPRESA ANGAMOS Non-Financials BBB 24/11/2023 0.02% New Issue

USG01719AA42 ALIBABA GROUP Non-Financials A 28/09/2021 0.03% New Issue

US86765BAN91 SUNOCO LOGISTICS Non-Financials BBB 01/01/2024 0.01% New Issue

US00507UAF84 ACTAVIS FUNDING Non-Financials BBB 15/03/2024 0.03% New Issue

US718172BL29 PHILIP MORRIS IN Non-Financials A 10/11/2044 0.02% New Issue

US00817YAQ17 AETNA INC Non-Financials A 15/08/2024 0.02% New Issue

US694308HL49 PACIFIC GAS&ELEC Non-Financials BBB 15/09/2044 0.01% New Issue

USU37342AD15 GEORGIA-PACIFIC Non-Financials A 15/10/2019 0.02% New Issue

US655044AH83 NOBLE ENERGY INC Non-Financials BBB 15/08/2024 0.01% New Issue

US85771PAX06 STATOIL ASA Non-Financials AA 10/11/2024 0.01% New Issue

US883556BH49 THERMO FISHER Non-Financials BBB 15/02/2022 0.02% New Issue

US931427AF53 WALGREENS BOOTS Non-Financials BBB 18/09/2021 0.03% New Issue

US931427AH10 WALGREENS BOOTS Non-Financials BBB 18/08/2024 0.05% New Issue

US931427AC23 WALGREENS BOOTS Non-Financials BBB 18/05/2044 0.04% New Issue

US35671DBL82 FREEPORT-MCMORAN Non-Financials BBB 14/08/2024 0.02% New Issue

US86765BAQ23 SUNOCO LOGISTICS Non-Financials BBB 15/11/2044 0.02% New Issue

US136385AU50 CANADIAN NATL RE Non-Financials BBB 15/01/2018 0.01% New Issue

US375558AY93 GILEAD SCIENCES Non-Financials A 01/02/2020 0.01% New Issue

US811065AC57 SCRIPPS NETWORKS Non-Financials BBB 15/08/2024 0.01% New Issue

US26442RAD35 DUKE ENERGY PROG Non-Financials A 01/06/2044 0.01% New Issue

US478160BM56 JOHNSON&JOHNSON Non-Financials AAA 05/12/2019 0.01% New Issue

US70109HAM79 PARKER-HANNIFIN Non-Financials A 21/05/2034 0.01% New Issue

US867224AA59 SUNCOR ENERGY Non-Financials A 01/09/2024 0.02% New Issue

USG01719AB25 ALIBABA GROUP Non-Financials A 28/11/2019 0.05% New Issue

USG01719AE63 ALIBABA GROUP Non-Financials A 28/08/2024 0.05% New Issue

US28368EAE68 EL PASO CORP Non-Financials BBB 15/01/2032 0.03% New Issue

USU49457AA97 KINDER MORGAN Non-Financials BBB 15/01/2018 0.02% New Issue

US00507UAH41 ACTAVIS FUNDING Non-Financials BBB 15/06/2044 0.03% New Issue

USU44264AA42 IHS INC Non-Financials BBB 01/08/2022 0.02% New Issue

US742718EG08 PROCTER & GAMBLE Non-Financials AA 01/11/2019 0.01% New Issue

USP37110AJ50 EMPRESA NACIONAL Non-Financials BBB 30/10/2024 0.01% New Issue

USG46747AB00 HUTCH WHA INT 14 Non-Financials A 31/10/2024 0.03% New Issue

US718172BM02 PHILIP MORRIS IN Non-Financials A 10/11/2024 0.02% New Issue

US85771PAV40 STATOIL ASA Non-Financials AA 10/11/2021 0.01% New Issue

US20826FAE60 CONOCOPHIL CO Non-Financials A 15/09/2021 0.02% New Issue

US20826FAD87 CONOCOPHIL CO Non-Financials A 15/08/2024 0.02% New Issue

US20826FAC05 CONOCOPHIL CO Non-Financials A 15/05/2044 0.02% New Issue

US02209SAT06 ALTRIA GROUP INC Non-Financials BBB 14/12/2019 0.02% New Issue

US35671DBJ37 FREEPORT-MCMORAN Non-Financials BBB 14/05/2034 0.02% New Issue

US277432AQ36 EASTMAN CHEMICAL Non-Financials BBB 15/12/2019 0.02% New Issue

US277432AR19 EASTMAN CHEMICAL Non-Financials BBB 15/12/2024 0.02% New Issue


December 2014 25

US136385AV34 CANADIAN NATL RE Non-Financials BBB 01/11/2024 0.01% New Issue

US008916AN82 AGRIUM INC Non-Financials BBB 15/07/2044 0.01% New Issue

US651229AQ96 NEWELL RUBBERMAI Non-Financials BBB 01/09/2024 0.01% New Issue

US811065AB74 SCRIPPS NETWORKS Non-Financials BBB 15/10/2019 0.01% New Issue

US25746UCB35 DOMINION RES Non-Financials BBB 01/09/2024 0.01% New Issue

US343412AC69 FLUOR CORP Non-Financials A 15/12/2024 0.01% New Issue

XS1143081963 CNPC GENERAL CAP Non-Financials AA 25/11/2019 0.02% New Issue

USG01719AF39 ALIBABA GROUP Non-Financials A 28/05/2034 0.02% New Issue

US655044AJ40 NOBLE ENERGY INC Non-Financials BBB 15/05/2044 0.02% New Issue

US28336LBQ14 EL PASO CORP Non-Financials BBB 15/06/2017 0.02% New Issue

US78412FAL85 SESI LLC Non-Financials BBB 01/05/2015 0.01% New Issue

US78412FAP99 SESI LLC Non-Financials BBB 15/12/2016 0.02% New Issue

USU4945QAB50 KINDER MORGAN Non-Financials BBB 15/08/2023 0.02% New Issue

XS1130524066 AT&T INC Non-Financials A 10/11/2016 0.03% New Issue

US345397WY53 FORD MOTOR CRED Non-Financials BBB 04/11/2019 0.03% New Issue

US482480AE03 KLA-TENCOR CORP Non-Financials BBB 01/08/2024 0.03% New Issue

US05565QCT31 BP CAPITAL PLC Non-Financials A 15/01/2020 0.03% New Issue

XS1134544151 KAZMUNAYGAS NAT Non-Financials BBB 07/11/2044 0.02% New Issue

US718172BN84 PHILIP MORRIS IN Non-Financials A 09/11/2017 0.01% New Issue

USU37342AF62 GEORGIA-PACIFIC Non-Financials A 01/12/2024 0.02% New Issue

US85771PAT93 STATOIL ASA Non-Financials AA 09/11/2017 0.02% New Issue

XS1128996425 MTN MU INVST Non-Financials BBB 11/11/2024 0.02% New Issue

US931427AA66 WALGREENS BOOTS Non-Financials BBB 18/10/2019 0.03% New Issue

US931427AB40 WALGREENS BOOTS Non-Financials BBB 18/05/2034 0.01% New Issue

US35671DBH70 FREEPORT-MCMORAN Non-Financials BBB 14/11/2021 0.01% New Issue

US718546AK04 PHILLIPS 66 Non-Financials BBB 15/05/2034 0.02% New Issue

US375558BA09 GILEAD SCIENCES Non-Financials A 01/08/2044 0.04% New Issue

XS1139231721 VOLKSWAGEN GRP Non-Financials A 20/11/2017 0.02% New Issue

USU76673AB55 RIO OIL FINANCE Non-Financials BBB 26/04/2023 0.03% New Issue

US25746UCA51 DOMINION RES Non-Financials BBB 01/11/2019 0.02% New Issue

US70109HAL96 PARKER-HANNIFIN Non-Financials A 21/08/2024 0.01% New Issue

US70109HAN52 PARKER-HANNIFIN Non-Financials A 21/05/2044 0.01% New Issue

USG01719AC08 ALIBABA GROUP Non-Financials A 28/11/2017 0.02% New Issue



December 2014 26

Fixed income market

Analysis and trends


December 2014

27

€ Fixed income return attribution

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

Index Weight Total Return

Income Return

Price Return

Curve Spread Calendar Return

Option Return

Redemp tion

Residual Return Duration

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

Credit Return

Sector Return

Issuer Return

€ Overall 100.00% 104.13 14.56 86.65 62.63 0.73 30.42 31.47 26.34 27.30 -0.96 -2.33 0.01 0.00 2.93

€ Sovereigns 59.91% 136.61 13.86 117.87 78.04 0.66 31.81 45.57 40.84 39.19 1.65 -1.01 0.00 0.00 4.88

€ Sub-Sovereigns 13.47% 73.06 7.09 63.97 47.50 0.88 30.52 16.10 14.10 13.23 0.87 2.37 0.00 0.00 2.00

€ Collateralized 9.72% 33.28 12.81 20.37 28.91 0.68 24.26 3.97 -3.71 -0.34 -3.37 -4.83 0.00 0.00 0.10

€ Corporates 16.90% 52.79 23.99 30.52 38.60 0.88 28.88 8.84 1.20 11.61 -10.40 -9.35 0.07 0.00 -1.71

€ Financials 7.43% 51.48 23.82 29.23 31.38 0.70 24.09 6.58 7.75 27.63 -19.88 -9.92 0.02 0.00 -1.57

€ Non-Financials 9.48% 53.80 24.11 31.51 44.11 1.01 32.53 10.56 -3.79 -0.62 -3.17 -8.91 0.11 0.00 -1.82

€ Corporates AAA 0.08% 110.89 64.36 45.74 92.89 3.63 32.14 57.12 -0.27 1.24 -1.51 -48.29 1.41 0.00 0.79

€ Corporates AA 2.19% 43.23 21.15 21.30 36.17 0.22 27.91 8.04 -4.07 -0.17 -3.90 -10.83 0.03 0.00 0.78

€ Corporates A 7.54% 63.29 24.41 39.27 42.43 0.85 31.78 9.81 7.98 16.69 -8.71 -11.21 0.06 0.00 -0.38

€ Corporates BBB 7.09% 43.97 23.94 23.94 34.65 1.08 26.07 7.50 -4.31 9.99 -14.30 -6.47 0.08 0.00 -3.92


€


December 2014 28

£ Fixed income return attribution

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


Income Return

Price Return


Option Return

Redemp tion



Credit Return

Sector Return

Issuer Return

£ Overall 100.00% 294.74 9.83 281.01 276.74 27.35 74.35 175.04 -10.78 -9.93 -0.85 15.09 0.00 -0.05 3.90

£ Gilts 67.65% 324.78 0.00 319.33 298.26 28.34 72.31 197.60 -0.83 -1.16 0.33 21.90 0.00 0.00 5.45

£ Sub-Sovereigns 6.81% 210.77 13.91 194.32 196.04 28.10 51.99 115.95 -9.26 -8.16 -1.10 7.55 0.00 0.00 2.54

£ Collateralized 4.40% 266.89 19.20 247.22 266.09 18.82 106.25 141.03 -32.31 -38.46 6.15 14.52 0.00 -1.08 0.47

£ Corporates 20.88% 228.95 39.52 189.48 233.17 25.72 81.52 125.94 -38.32 -33.95 -4.37 -5.39 0.01 0.00 -0.04

£ Financials 8.44% 221.24 37.38 185.81 196.32 26.71 77.56 92.06 -8.68 5.97 -14.65 -1.85 0.01 0.00 -1.95

£ Non-Financials 12.44% 234.08 40.94 191.91 257.65 25.06 84.15 148.45 -58.01 -60.48 2.47 -7.74 0.01 0.00 1.23

£ Corporates AAA 0.14% 435.90 112.64 317.82 422.76 11.53 112.09 299.13 -21.27 -20.18 -1.08 -83.68 0.00 0.00 5.44

£ Corporates AA 2.22% 236.99 27.95 206.24 255.46 26.59 73.66 155.22 -49.76 -51.38 1.62 0.54 0.00 0.00 2.80

£ Corporates A 9.36% 256.58 26.84 229.23 262.18 24.79 79.78 157.62 -39.52 -41.73 2.22 6.56 0.00 0.00 0.51

£ Corporates BBB 9.16% 195.08 54.32 142.17 194.62 26.69 84.76 83.16 -34.52 -21.82 -12.71 -17.95 0.02 0.00 -1.40


£


December 2014 29

$ Fixed income return attribution

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


Income Return

Price Return


Option Return

Redemp tion



Credit Return

Sector Return

Issuer Return

$ Overall 100.00% 86.28 43.46 41.44 39.83 7.75 14.95 17.12 21.11 24.85 -3.74 -12.97 0.29 -6.81 1.37

$ Treasuries 58.64% 98.28 41.29 57.10 29.67 -0.82 10.49 19.99 49.24 49.70 -0.45 -21.81 0.00 0.00 -0.11

$ Sub-Sovereigns 8.68% 55.78 55.81 2.26 40.80 16.15 16.24 8.41 -5.91 -1.87 -4.04 -0.87 3.43 -35.19 -2.29

$ Covered 0.72% 33.24 18.34 16.34 22.92 18.13 2.21 2.58 -7.09 -8.61 1.52 0.51 0.00 0.00 -1.44

$ Corporates 29.12% 71.29 46.99 20.75 46.91 -0.33 18.76 28.48 -10.90 -14.53 3.63 -2.00 -0.13 -13.13 3.55

$ Financials 10.98% 77.55 30.76 46.64 26.71 4.58 12.75 9.39 20.50 19.36 1.14 -0.45 -0.12 0.00 0.15

$ Non-Financials 18.14% 67.54 56.72 7.16 70.68 6.60 26.75 37.33 -39.45 -30.67 -8.78 -2.93 -0.14 -21.01 3.66

$ Corporates AAA 0.29% 118.71 34.31 78.08 84.69 8.31 24.97 51.41 -0.42 0.83 -1.25 -6.33 0.14 0.00 6.31

$ Corporates AA 3.94% 90.66 29.26 57.57 42.15 5.43 16.35 20.37 17.70 5.94 11.77 -2.27 -0.01 0.00 3.84

$ Corporates A 12.55% 83.81 30.32 57.07 41.97 5.52 16.19 20.26 16.25 6.59 9.65 -1.37 0.23 0.00 -3.59

$ Corporates BBB 12.35% 51.27 69.89 -19.65 73.71 7.27 31.59 34.85 -59.40 -42.87 -16.52 -2.45 -0.54 -30.98 1.03


$


December 2014

30

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

24

44

-4

-9

0 0

54

24

31

8

-10

0 0

51

-20

-10

0

10

20

30

40

50

60

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

€ Non-Financials € Financials

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

3126

12

35

26 24

34

20

91

0

24

39

9 911

14

1

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14

Income Return Duration Return Credit Return


€


December 2014 31

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

41

258

-58

-8

0 0

234

37

196

-9-2

0 0

221

-100

-50

0

50

100

150

200

250

300

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

£ Non-Financials £ Financials

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

63 64

14

5136 40

-79

57

261

-65

106

233

10

-41

-18-29

-76

-38

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

250.00

300.00




£


December 2014 32

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

57

71

-39

-3 0

-21

68

3127

21

0 0

0

78

-60

-40

-20

0

20

40

60

80

100

Income Return Duration Return

Credit Return Calendar Return

Option Return Redemption Return

Total Return

$ Non-Financials $ Financials

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

26

68

3446

3547

-35 -31

128

-91

99

47

-8 -11 -11

-85

-39

-11

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00




$


December 2014 33

Key rate duration and attribution – € Corporates

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

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

KRD 0.04 0.10 0.23 0.41 0.51 0.61 0.55 0.44 0.35 0.58 0.29 0.10 0.05 0.05

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

Bp

s

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

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

RF Delta 13.75 8.35 3.31 -1.21 -5.04 -8.05 -10.34 -12.06 -13.36 -14.40 -17.77 -18.91 -18.56 -17.47

-25

-20

-15

-10

-5

0

5

10

15

20

Bp

s

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

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

Return -0.57 -0.85 -0.77 0.50 2.56 4.90 5.73 5.32 4.64 8.29 5.22 1.82 0.86 0.94

-2

0

2

4

6

8

10

Bp

s


€


December 2014 34

Key rate duration and attribution – £ Corporates


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

KRD 0.08 0.18 0.26 0.33 0.36 0.35 0.39 0.43 0.40 1.04 1.46 0.99 0.82 0.58

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

Bp

s


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

RF Delta -9.49 -14.61 -19.31 -23.41 -26.68 -28.99 -30.48 -31.35 -31.80 -32.02 -32.67 -32.88 -32.70 -32.21

-35

-30

-25

-20

-15

-10

-5

0

Bp

s


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

Return 0.73 2.62 4.99 7.67 9.71 10.14 12.01 13.34 12.66 33.35 47.58 32.68 26.85 18.84

0

5

10

15

20

25

30

35

40

45

50

Bp

s


£


December 2014 35

Key rate duration and attribution – $ Corporates


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

KRD 0.10 0.25 0.40 0.46 0.43 0.40 0.44 0.50 0.44 0.48 0.52 0.63 0.78 0.49

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

Bp

s


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

RF Delta 4.43 0.11 -3.86 -7.30 -10.03 -11.93 -13.13 -13.79 -14.10 -14.22 -14.61 -14.87 -15.06 -15.20

-20

-15

-10

-5

0

5

10

Bp

s


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

Return -0.77 -1.15 -0.55 0.66 1.56 2.09 2.66 3.33 3.04 3.31 3.91 5.34 7.39 5.27

-2

-1

0

1

2

3

4

5

6

7

8

Bp

s


$


December 2014

36

€ Fixed income stress test

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

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

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

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

Overall Sovereigns Sub-

Sovereigns Collateralized Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up

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

Steepener

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

Butterfly

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

Highest historical shift

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

Spreads

Shift up

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


€


December 2014 37

£ Fixed income stress test



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

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

Overall Gilts Sub-

Sovereigns Collateralized Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

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

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

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

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

Spreads

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


£


December 2014 38

$ Fixed income stress test



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

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

Overall Treasuries Sub-

Sovereigns Covered Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

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

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

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

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

Spreads

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


$


December 2014

39

Relative value opportunities in € Financials

Figure 42: € Financial AA sector curve

0

0.5

1

1.5

2

2.5

3

0 5 10 15 20 25 30

Yie

ld

Maturity

Yield Curve

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

Bottom 5

ISIN Name TTM OAS

XS0986102605 IND BK OF KOREA 3.91 92

XS0935287275 BNZ INTL FUND/LN 3.47 66

XS0834640541 MET LIFE GLOB 4.83 68

XS1110874820 MET LIFE GLOB 6.79 71

XS0873665706 MET LIFE GLOB 8.11 70

Top 5

ISIN Name TTM OAS

XS0350890470 GE CAP EUR FUND 23.25 100

XS0801636902 NORDEA BANK AB 7.59 45

XS0819759571 SVENSKA HNDLSBKN 7.73 45

DE000A1HG1K6 ALLIANZ FINANCE 13.28 46

XS0256967869 RABOBANK 6.52 48

Figure 43: € Financial A sector curve

0

0.5

1

1.5

2

2.5

3

3.5

4

0 5 10 15 20 25 30

Yie

ld

Maturity

Yield Curve

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

Bottom 5

ISIN Name TTM OAS

AT0000A12GN0 VIENNA INSURANCE 8.85 318

XS0491211644 GE CAP TRUST II 2.79 253

XS0319639232 GEN ELEC CAP CRP 2.79 248

XS0491212451 GE CAP TRUST IV 1.79 240

XS0983704718 STANDARD CHART 5.89 275

Top 5

ISIN Name TTM OAS

XS0606704558 BNP PARIBAS 8.30 51

XS0819130302 BANQ FED CRD MUT 7.73 48

XS0802756683 SOCIETE GENERALE 7.61 50

FR0011689579 BPCE 9.63 56

XS0765299572 ABN AMRO BANK NV 7.32 55


€


December 2014 40

Figure 44: € Financial BBB sector curve

0

1

2

3

4

5

6

7

8

0 5 10 15

Yie

ld

Maturity

Yield Curve

Table 23: Top/Bottom 5 bonds according to distance

to curve Bottom 5

ISIN Name TTM OAS

XS0987109658 GAZPROMBANK 3.91 713

XS1084024584 GAZPROMBANK 4.58 701

XS1034950672 RAIFFEISEN BK IN 5.22 648

XS1082459568 SBERBANK 4.96 554

XS0619437147 RAIFFEISEN BK IN 6.46 551

Top 5

ISIN Name TTM OAS

XS1062493934 AON PLC 11.21 94

XS0986194883 INTESA SANPAOLO 8.91 108

XS0452314536 ASSICURAZIONI 9.79 131

DE000A1ZLUN1 DEUTSCHE ANN FIN 7.60 106

XS1107731702 BANK OF AMER CRP 6.78 93

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

Figure 45: € Financial BB sector curve

0

5

10

15

20

25

30

35

0 2 4 6 8 10 12

Yie

ldMaturity

Yield Curve

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

ISIN Name TTM OAS

XS0418134663 SANTANDER FINANC 4.30 3252

XS0418134663 SANTANDER FINANC 4.30 3252

XS0253262025 RZB FIN JERSEY 1.46 1668

BE0930906947 ETHIAS 1.05 943

XS1076087375 ABH FINANCIAL 2.52 681

Top 5

ISIN Name TTM OAS

PTCG25OM0029 CAIXA GERAL DEPO 1.01 111

ES0214977094 BANCAJA 1.17 123

ES03136793B0 BANKINTER SA 4.52 98

XS0880063994 BANCO POPOLARE 1.16 165

XS0241369577 UNICREDIT SPA 1.17 177


€


December 2014

41

Fixed income market

ETF market activity


December 2014 42

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

Launch date ETF Name Ticker Provider Type

31/10/2014 UBS ETF Barclays US Liquid Corporates UCITS HDG (GBP) A-dis

UC85 UBS ETF - Europe Corporate

Table 26: US fixed income ETF launches

Launch date ETF Name Ticker Provider Type

04/11/2014 First Trust Low Duration Mortgage Opportunities ETF LMBS First Trust ETFs Asset Backed

05/11/2014 First Trust Emerging Markets Local Currency Bond ETF FEMB First Trust ETFs Broad Market

11/11/2014 Market Vectors ChinaAMC China Bond ETF CBON Market Vectors Broad Market

13/11/2014 FlexShares Credit-Scored US Corporate Bond Index Fund SKOR FlexShares Corporate

19/11/2014 Global X GF China Bond ETF CHNB Global X ETFs Broad Market

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

Nov-14

YTD

Type Europe* USA* Asia* Total

Europe* USA* Asia* Total

Broad Market 194 1,356 3 1,553

2,499 16,874 66 19,439

Sovereigns (88) (2,231) 56 (2,263)

10,666 14,607 (479) 24,794

Sub-Sovereigns 0 360 0 360

0 2,863 96 2,959

Corporates IG 2,280 1,325 0 3,606

9,879 9,040 (224) 18,695

Covered (73) 0 0 (73)

755 (13) 0 742

Convertible (32) (29) 0 (61)

21 710 0 731

High Yield 167 679 0 846

805 2,529 7 3,342

Loans 0 (112) 0 (112)

0 126 0 126

Asset Backed 0 118 0 118

6 1,540 0 1,546

CDS 39 0 0 39

(257) 14 0 (243)

Inflation (52) 177 3 128

252 63 12 328

Money Market (94) 0 62 (32)

(168) 0 742 573

Preferred Stock 0 803 0 803

0 3,146 8 3,154

Yield-Curve Strategy 0 0 0 0

0 0 0 0

Total 2,341 2,445 124 4,910

24,458 51,499 229 76,186

* Listing Region Source: Markit ETP Analytics


December 2014 43

Fixed income ETF issuers by AUM

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

Europe

US

Issuer AUM Share

Issuer AUM Share

iShares - Europe 63,140 60.6%

iShares - US 156,733 49.9%

db x-trackers - Europe 12,812 12.3%

Vanguard - US 65,580 20.9%

Lyxor 8,055 7.7%

SPDR ETFs - US 33,449 10.6%

Source ETF 5,106 4.9%

PowerShares - US 15,683 5.0%

Amundi ETF 4,113 3.9%

PIMCO ETFs 11,948 3.8%

SPDR ETFs - Europe 3,806 3.7%

Guggenheim Funds 6,861 2.2%

Deka ETFs 3,399 3.3%

ProShares ETFs 5,764 1.8%

ComStage ETFs 1,486 1.4%

Market Vectors 4,617 1.5%

Think Capital 991 1.0%

FlexShares 2,650 0.8%

UBS ETF - Europe 824 0.8%

Charles Schwab 2,604 0.8%

Others 459 0.4%

Others 8,263 2.6%

Total 104,192 100.0%

Total 314,152 100.0%

Asia

Total

Issuer AUM Share

Issuer AUM Share

SSgA Asia ETFs 3,109 21.7%

BlackRock 220,194 50.9%

Fortune SG China ETFs 2,929 20.4%

Vanguard 65,638 15.2%

Yinhua China ETFs 1,829 12.8%

State Street 40,383 9.3%

Kodex Korea ETFs 1,146 8.0%

PowerShares 16,023 3.7%

CSOP Hong Kong ETFs 667 4.6%

Deutsche Bank 12,951 3.0%

BetaShares Australia ETFs 575 4.0%

PIMCO 11,948 2.8%

Tiger Korea 435 3.0%

Société Générale 8,055 1.9%

KStar Korea ETFs 431 3.0%

Guggenheim Investments 6,861 1.6%

Nikko Singapore ETFs 397 2.8%

ProShares 5,764 1.3%

HSBC - Hong Kong 384 2.7%

Source 5,106 1.2%

Others 2,443 17.0%

Others 39,767 9.2%

Total 14,345 100.0%

Total 432,689 100.0%



December 2014 44

Fixed income ETFs by inflow and outflow

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

ETF Name Ticker Issuer Nov-14 Flows

YTD Flows

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ BlackRock 589 2,001

iShares Euro Corporate Bond UCITS ETF IEAC BlackRock 460 2,402

iShares $ Corporate Bond UCITS ETF LQDE BlackRock 432 1,094

iShares Euro Corporate Bond 1-5yr UCITS ETF IE15 BlackRock 190 789

iShares Euro Corporate Bond ex-Financials UCITS ETF IEXF BlackRock 170 225

iShares Euro Corporate Bond ex-Financials 1-5yr UCITS ETF IEX5 BlackRock 105 644

iShares Euro High Yield Corporate Bond UCITS ETF IHYG BlackRock 101 187

iShares Euro Aggregate Bond UCITS ETF IEAG BlackRock 100 708

iShares $ Treasury Bond 7-10yr UCITS ETF IDTM BlackRock 93 488

iShares Global Corporate Bond EUR Hedged UCITS ETF CRPH BlackRock 92 199

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


YTD Flows

iShares Short Treasury Bond ETF SHV BlackRock 1,345 2,911

First Trust Enhanced Short Maturity ETF FTSM First Trust 1,033 1,600

iShares 20+ Year Treasury Bond ETF TLT BlackRock 840 2,709

iShares iBoxx $ Investment Grade Corporate Bond ETF LQD BlackRock 650 2,302

iShares U.S. Preferred Stock ETF PFF BlackRock 619 2,654

Vanguard Total International Bond Index Fund BNDX Vanguard 492 1,885

iShares Core U.S. Aggregate Bond ETF AGG BlackRock 373 5,744

iShares 7-10 Year Treasury Bond ETF IEF BlackRock 371 2,745

SPDR Barclays High Yield Bond ETF JNK State Street 272 (48)

iShares iBoxx $ High Yield Corporate Bond ETF HYG BlackRock 192 (668)



December 2014 45

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


YTD Flows

iShares $ Treasury Bond 1-3yr UCITS ETF IDBT BlackRock (438) 553

iShares UK Gilts UCITS ETF IGLT BlackRock (188) 216

Think iBoxx Government Bond UCITS ETF TGBT ThinkCapital Asset Management

(157) 229

LYXOR UCITS ETF EURO CASH CSH Société Générale

(146) (140)

Think iBoxx Corporate Bond UCITS ETF TCBT ThinkCapital Asset Management

(116) 87

db x-trackers II iBoxx Germany Covered UCITS ETF DXSW Deutsche Bank

(82) (135)

Think iBoxx AAA-AA Government Bond UCITS ETF TAT ThinkCapital Asset Management

(64) 130

iShares Global Inflation Linked Government Bond UCITS ETF IGIL BlackRock (60) 83

LYXOR UCITS ETF IBOXX $ TREASURIES 1-3Y US13 Société Générale

(52) 43

Deka iBoxx EUR Liquid Sovereign Diversified 1-3 UCITS ETF EL4L Deka ETFs (51) 263

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


YTD Flows

iShares 1-3 Year Treasury Bond ETF SHY BlackRock (3,522) (39)

SPDR Barclays 1-3 Month T-Bill ETF BIL State Street (572) 224

ProShares Ultra 7-10 Year Treasury UST ProShares (352) 64

Vanguard Total Bond Market ETF BND Vanguard (336) 5,576

iShares 3-7 Year Treasury Bond ETF IEI BlackRock (293) 1,078

SPDR Barclays International Treasury Bond ETF BWX State Street (271) (102)

iShares 1-3 Year Credit Bond ETF CSJ BlackRock (253) (824)

PIMCO Enhanced Short Maturity Strategy Fund MINT PIMCO (213) (305)

ProShares UltraShort 20+ Year Treasury ETF TBT ProShares (211) 843

Vanguard Short-Term Bond ETF BSV Vanguard (136) 1,323



December 2014 46

Fixed income ETFs by assets

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

ETF Name Ticker Issuer Type AUM Turnover

iShares Euro Corporate Bond UCITS ETF IEAC iShares - Europe Corporate 5,874 503

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ iShares - Europe Corporate 5,463 573

iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF IEMB iShares - Europe Sovereign 4,214 387

iShares Euro High Yield Corporate Bond UCITS ETF IHYG iShares - Europe High Yield 3,293 582

iShares $ Treasury Bond 1-3yr UCITS ETF IDBT iShares - Europe Treasury 2,829 342

iShares Euro Corporate Bond ex-Financials UCITS ETF IEXF iShares - Europe Corporate 2,568 133

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

2,378 412

PIMCO Euro Short Maturity Source UCITS ETF PJS1 Source ETF Broad Market 2,138 9

iShares Emerging Markets Local Government Bond UCITS ETF IEML iShares - Europe Government 2,026 85

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

XY4P db x-trackers - Europe

Government 2,020 110

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

1,922 261

Amundi EX AAA Government Bond EuroMTS Investment Grade UCITS ETF

X1G Amundi ETF Government 1,907 152

iShares Euro Aggregate Bond UCITS ETF IEAG iShares - Europe Broad Market 1,893 199

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

1,619 36

iShares UK Gilts UCITS ETF IGLT iShares - Europe Government 1,479 877

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

Government 1,469 70

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

Government 1,456 161

iShares Euro Corporate Bond ex-Financials 1-5yr UCITS ETF IEX5 iShares - Europe Corporate 1,431 102

iShares Euro Government Bond 3-5yr UCITS ETF IBGX iShares - Europe Government 1,395 62

iShares $ High Yield Corporate Bond UCITS ETF IHYU iShares - Europe High Yield 1,374 250



December 2014 47

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

ETF Name Ticker Issuer Type AUM Turnover

Vanguard Total Bond Market ETF BND Vanguard - US Broad Market 23,936 714

iShares Core U.S. Aggregate Bond ETF AGG iShares - US Broad Market 21,679 1,138

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

18,887 2,205

Vanguard Short-Term Bond ETF BSV Vanguard - US Broad Market 15,341 372

iShares iBoxx $ High Yield Corporate Bond ETF HYG iShares - US High Yield 14,232 4,316

iShares TIPS Bond ETF TIP iShares - US TIPS 12,480 652

iShares U.S. Preferred Stock ETF PFF iShares - US Preferred Stock 11,710 643

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

11,018 172

SPDR Barclays High Yield Bond ETF JNK SPDR ETFs - US High Yield 9,757 1,814

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

9,057 275

iShares 1-3 Year Treasury Bond ETF SHY iShares - US Treasury 8,207 646

iShares MBS ETF MBB iShares - US Agency MBS 6,709 151

iShares 7-10 Year Treasury Bond ETF IEF iShares - US Treasury 6,636 1,638

iShares Intermediate Credit Bond ETF CIU iShares - US Corporate 6,291 178

PowerShares Senior Loan Portfolio ETF BKLN PowerShares - US

Leveraged Loan 6,163 349

iShares 20+ Year Treasury Bond ETF TLT iShares - US Treasury 5,599 7,892

iShares Short Treasury Bond ETF SHV iShares - US Treasury 5,567 478

iShares J.P. Morgan USD Emerging Markets Bond ETF EMB iShares - US Sovereign 5,266 670

Vanguard Intermediate-Term Bond ETF BIV Vanguard - US Broad Market 4,523 132

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

4,381 155



December 2014 48

Markit iBoxx ETF investible universe

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

Asset Class No. Indices AUM Share

Government 91 15,998 20.5%

Corporate 62 58,622 75.1%

Inflation 13 3,488 4.5%

Total 166 78,107 100%

Government indices

Index Name ETP Name ETP Ticker Issuer Type Region AUM

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

ABF Hong Kong Bond Index Fund

2819 HSBC - Hong Kong

Government

APAC 384

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

ABF Indonesia Bond Index ETF Fund

R-ABFII Bahana Indonesia ETFs

Government

APAC 152

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

ABF Malaysia Bond Index Fund

0800EA AmInvestment Malaysia ETFs

Government

APAC 207

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

ABF Pan Asia Bond Index Fund

2821 SSgA Asia ETFs

Government

APAC 3,109

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

ABF Singapore Bond Index Fund

A35 Nikko Singapore ETFs

Government

APAC 397

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

ABF Thailand Bond Index Fund

ABFTH Kasikorn Thailand ETFs

Government

APAC 177

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

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

KV4 db x-trackers - Asia

Government

APAC 17

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

Amundi ETF Short US Treasury 7-10 Daily UCITS ETF

SU7 Amundi ETF Government

Europe 126

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

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

X502 ComStage ETFs

Government

Europe 150



X507 ComStage ETFs

Government

Europe 41

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

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

X508 ComStage ETFs

Government

Europe 16


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

X509 ComStage ETFs

Government

Europe 30

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

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

X501 ComStage ETFs

Government

Europe 106



X504 ComStage ETFs

Government

Europe 22



X505 ComStage ETFs

Government

Europe 107

Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified

X500 ComStage ETFs

Government

Europe 99


December 2014 49

Diversified , Total Gross Return) Overall TR UCITS ETF

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

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

8521 ComStage ETFs

Government

Europe 29

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

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

8523 ComStage ETFs

Government

Europe 185

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

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

8520 ComStage ETFs

Government

Europe 20

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

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

8522 ComStage ETFs

Government

Europe 27

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

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

XBAT db x-trackers - Europe

Government

Europe 102

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

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

XHYP db x-trackers - Europe

Government

Europe 6

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

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

XY4P db x-trackers - Europe

Government

Europe 2,020

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

db x-trackers II iBoxx GBP Gitls UCITS ETF

XBUT db x-trackers - Europe

Government

Europe 11

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

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

D5BC db x-trackers - Europe

Government

Europe 94



XGN5 db x-trackers - Europe

Government

Europe 1



XG71 db x-trackers - Europe

Government

Europe 2

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

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

X03A db x-trackers - Europe

Government

Europe 25

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

db x-trackers II iBoxx Germany UCITS ETF

D5BB db x-trackers - Europe

Government

Europe 180


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

X03G db x-trackers - Europe

Government

Europe 1

Markit iBoxx Japan Sovereign Indices (JPY, Total Gross Return)

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

XJSS db x-trackers - Europe

Government

Europe 7

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

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

DBXC db x-trackers - Europe

Government

Europe 127

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

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

DBXF db x-trackers - Europe

Government

Europe 86

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

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

DBXG db x-trackers - Europe

Government

Europe 38



DBXR db x-trackers - Europe

Government

Europe 373



DBXB db x-trackers - Europe

Government

Europe 182

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

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

XAXA db x-trackers - Europe

Government

Europe 4

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

db x-trackers II IBOXX SOVEREIGNS EUROZONE AAA UCITS ETF

XBAI db x-trackers - Europe

Government

Europe 43


December 2014 50

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

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF

DBXN db x-trackers - Europe

Government

Europe 1,456

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

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

X03F db x-trackers - Europe

Government

Europe 27

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

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

XYP1 db x-trackers - Europe

Government

Europe 1,148

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

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

XY1D db x-trackers - Europe

Government

Europe 52

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

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

XYPD db x-trackers - Europe

Government

Europe 12

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

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

X1ES db x-trackers - Europe

Government

Europe 22

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

db x-trackers II IBOXX SPAIN UCITS ETF

XIES db x-trackers - Europe

Government

Europe 18

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

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

XIDR db x-trackers - Europe

Government

Europe 5

Markit iBoxx EUR Short Sovereigns Eurozone Index (EUR, Total Gross Return)

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

DXSV db x-trackers - Europe

Government

Europe 167


Deka iBoxx EUR Liquid Sovereign Diversified 1-10 UCITS ETF

EL4K Deka ETFs Government

Europe 25



EL4L Deka ETFs Government

Europe 287


Deka iBoxx EUR Liquid Sovereign Diversified 10+ UCITS ETF

EL4Q Deka ETFs Government

Europe 27



EL4N Deka ETFs Government

Europe 93



EL4P Deka ETFs Government

Europe 151

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

IBOXX? LIQUID SOVEREIGNS GLOBAL THEAM EASY UCITS ETF

EEIB EasyETF Government

Europe 208

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

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

CSBGE3

iShares - Europe

Government

Europe 83



CSBGE7

iShares - Europe

Government

Europe 151



CSBGE0

iShares - Europe

Government

Europe 38

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

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

EXHF iShares - Europe

Government

Europe 244



EXHG iShares - Europe

Government

Europe 61

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

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

EXHK iShares - Europe

Government

Europe 37



EXHH iShares - Europe

Government

Europe 73

Markit iBoxx EUR Liquid Sovereigns Capped (EUR, Liquid Sovereigns Capped

iShares Euro Government Bond Capped 5.5-10.5yr

EXHJ iShares - Europe

Government

Europe 64


December 2014 51

5.5 - 10.5, Total Gross Return) UCITS ETF (DE)

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

LYXOR UCITS ETF IBOXX £ GILTS

GILS Lyxor Government

Europe 23


PIMCO German Government Bond Index Source UCITS ETF

BUND Source ETF Government

Europe 7

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

Think iBoxx AAA-AA Government Bond UCITS ETF

TAT Think Capital Government

Europe 480


Think iBoxx Government Bond UCITS ETF

TGBT Think Capital Government

Europe 349


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

SS1EUA UBS ETC - Swiss

Government

Europe 4


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

UEFL UBS ETF - Europe

Government

Europe 23



UEFM UBS ETF - Europe

Government

Europe 4



UEFN UBS ETF - Europe

Government

Europe 6



UEFP UBS ETF - Europe

Government

Europe 4

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

ProShares German Sovereign/Sub-Sovereign ETF

GGOV ProShares ETFs

Sovereign Americas

6

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

Amundi ETF Global Emerging Bond Markit iBoxx UCITS ETF

AGEB Amundi ETF Sovereign Europe 55



X503 ComStage ETFs

Sovereign Europe 21

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

db x-trackers II IBOXX JAPAN SOVEREIGN UCITS ETF

XJSE db x-trackers - Europe

Sovereign Europe 8


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

DBXP db x-trackers - Europe

Sovereign Europe 497


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

X03B db x-trackers - Europe

Sovereign Europe 7


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

DBXQ db x-trackers - Europe

Sovereign Europe 587


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

X03C db x-trackers - Europe

Sovereign Europe 24



EL4M Deka ETFs Sovereign Europe 40

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

LYXOR UCITS ETF IBOXX $ LIQUID EMERGING MARKETS SOVEREIGNS

LEMB Lyxor Sovereign Europe 143

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

Amundi ETF US Treasury 1-3 UCITS ETF

US1 Amundi ETF Treasury Europe 6

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






Markit iBoxx USD Treasuries (USD, db x-trackers II iBoxx USD XUT3 db x-trackers Treasury Europe 10


December 2014 52

Treasuries 1-3Y, Total Gross Return) Treasuries 1-3 UCITS ETF - Europe

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

db x-trackers II iBoxx USD Treasuries UCITS ETF

XUTD db x-trackers - Europe

Treasury Europe 28

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

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

CSBGU3

iShares - Europe

Treasury Europe 42

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


CSBGU7

iShares - Europe

Treasury Europe 275

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


CSBGU0

iShares - Europe

Treasury Europe 19


LYXOR UCITS ETF IBOXX $ TREASURIES 1-3Y

US13 Lyxor Treasury Europe 65

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

LYXOR UCITS ETF IBOXX $ TREASURIES 10Y+



LYXOR UCITS ETF IBOXX $ TREASURIES 5-7Y


Corporate indices


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

Deka iBoxx EUR Liquid Non-Financials Diversified UCITS ETF

EFQ8 Deka ETFs Corporate Europe 580

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

Amundi ETF Euro Corporate Ex Financial iBoxx UCITS ETF

AXFI Amundi ETF Corporate Europe 9

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

Amundi ETF Euro Corporate Financials iBoxx UCITS ETF

AFIN Amundi ETF Corporate Europe 155

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

Amundi ETF Euro Corporates UCITS ETF

CC4 Amundi ETF Corporate Europe 253

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

Amundi FLOATING RATE EURO CORPORATE 1-3 UCITS ETF

AFRN Amundi ETF Corporate Europe 1

Markit iBoxx EUR Liquid Corporates 100 (EUR, Financials Interest Rate Hedged , Total Gross Return)

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

XHCF db x-trackers - Europe

Corporate Europe 0

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

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

XB4F db x-trackers - Europe

Corporate Europe 18

Markit iBoxx EUR Liquid Corporates 100 (EUR, Non-Financials Interest Rate Hedged, Total Gross Return)

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

XHCN db x-trackers - Europe

Corporate Europe 0

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

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

XB4N db x-trackers - Europe

Corporate Europe 37

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

db x-trackers II iBoxx EUR Liquid Corporate UCITS ETF

D5BG db x-trackers - Europe

Corporate Europe 261

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

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

XHCP db x-trackers - Europe

Corporate Europe 2

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

Deka iBoxx EUR Liquid Corporates Diversified UCITS ETF

EL49 Deka ETFs Corporate Europe 160


December 2014 53

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

iShares £ Corporate Bond 1-5yr UCITS ETF

IS15 iShares - Europe

Corporate Europe 1,074


iShares Euro Corporate Bond Large Cap UCITS ETF

IBXLQ iShares - Europe

Corporate Europe 5,463


LYXOR UCITS ETF EURO CORPORATE BOND - C-EUR

CRP Lyxor Corporate Europe 1,150

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

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

CNB Lyxor Corporate Europe 224


Think iBoxx Corporate Bond UCITS ETF

TCBT Think Capital

Corporate Europe 162


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

UEFR UBS ETF - Europe

Corporate Europe 68

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

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

C541 ComStage ETFs

Covered Bond

Europe 33



C542 ComStage ETFs

Covered Bond

Europe 15



C543 ComStage ETFs

Covered Bond

Europe 17

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

ComStage ETF iBoxx € Germany Covered Capped Overall TR UCITS ETF

C540 ComStage ETFs

Covered Bond

Europe 14

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

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

XLIQ db x-trackers - Europe

Covered Bond

Europe 32


db x-trackers II iBoxx Germany Covered UCITS ETF

DXSW db x-trackers - Europe

Covered Bond

Europe 234


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

XBCD db x-trackers - Europe

Covered Bond

Europe 6

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

Deka iBoxx EUR Liquid Ger. Covered Diversified UCITS ETF

EL48 Deka ETFs Covered Bond

Europe 230

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

iShares Euro Covered Bond UCITS ETF

ICOV iShares - Europe

Covered Bond

Europe 1,619

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

iShares Pfandbriefe UCITS ETF (DE)

EXHE iShares - Europe

Covered Bond

Europe 1,271

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

iShares 0-5 Year High Yield Corporate Bond ETF

SHYG iShares - US High Yield Americas 103

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

iShares Global ex USD High Yield Corporate Bond ETF

HYXU iShares - US High Yield Americas 190

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

iShares Global High Yield Corporate Bond ETF

GHYG iShares - US High Yield Americas 103

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

iShares iBoxx $ High Yield Corporate Bond ETF

HYG iShares - US High Yield Americas 14,232


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

XHY iShares - Canada

High Yield Americas 505


ProShares Short High Yield ETF SJB ProShares ETFs



ProShares Ultra High Yield ETF UJB ProShares ETFs



December 2014 54


KINDEX SYNTH-iBoxx USD Liquid High Yield ETF

181450 Kindex Korea ETFs

High Yield APAC 5

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

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

182490 Tiger Korea High Yield APAC 9

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

Amundi Euro High Yield Liquid UCITS

AHYE Amundi ETF High Yield Europe 114

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

iShares Short Duration High Yield Corporate Bond UCITS

SDHY iShares - Europe

High Yield Europe 160

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

iShares $ High Yield Corporate Bond UCITS ETF

IHYU iShares - Europe

High Yield Europe 1,374

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

iShares Euro High Yield Corporate Bond UCITS ETF

IHYG iShares - Europe

High Yield Europe 3,293

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

iShares Global High Yield Corp Bond GBP Hedged UCITS ETF

GHYS iShares - Europe


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

iShares Global High Yield Corp Bond UCITS ETF

HYLD iShares - Europe


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

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

YIEL Lyxor High Yield Europe 371

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

iShares 0-5 Year Investment Grade Corporate Bond ETF

SLQD iShares - US Investment Grade

Americas 30

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

iShares iBoxx $ Investment Grade Corporate Bond ETF

LQD iShares - US Investment Grade

Americas 18,887

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

iShares Interest Rate Hedged Corporate Bond ETF

LQDH iShares - US Investment Grade

Americas 15


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

XIG iShares - Canada

Investment Grade

Americas 59


ProShares Short Investment Grade Corporate

IGS ProShares ETFs

Investment Grade

Americas 3


ProShares Ultra Investment Grade Corporate ETF

IGU ProShares ETFs

Investment Grade

Americas 3

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

db x-trackers II iBoxx GBP Liquid Corporate UCITS ETF

XG7C db x-trackers - Europe

Investment Grade

Europe 11

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

iShares Short Duration Corporate Bond UCITS

SDIG iShares - Europe

Investment Grade

Europe 189

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

iShares $ Corporate Bond Interest Rate Hedged UCITS

LQDH iShares - Europe

Investment Grade

Europe 45


iShares $ Corporate Bond UCITS ETF

LQDE iShares - Europe

Investment Grade

Europe 2,378

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

iShares $ Ultrashort Bond UCITS ETF

ERND iShares - Europe

Investment Grade

Europe 85

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

iShares £ Corporate Bond ex-Financials UCITS ETF

SSXF iShares - Europe

Investment Grade

Europe 461

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

iShares £ Corporate Bond Interest Rate Hedged UCITS

SLXH iShares - Europe

Investment Grade

Europe 38

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

iShares £ Corporate Bond UCITS ETF

SLXX iShares - Europe

Investment Grade

Europe 1,922

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

iShares £ Ultrashort Bond UCITS ETF

ERNS iShares - Europe

Investment Grade

Europe 183

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

iShares Euro Ultrashort Bond UCITS ETF

ERNE iShares - Europe

Investment Grade

Europe 47


December 2014 55

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

LYXOR UCITS ETF IBOXX £ LIQUID CORPORATES LONG DATED

COUK Lyxor Investment Grade

Europe 4

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

Highland iBoxx Senior Loan ETF SNLN Highland Funds

Leveraged Loan

Americas 317

Inflation-linked indices


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

Amundi ETF Euro Inflation UCITS ETF

CI3 Amundi ETF

Inflation Europe 13

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

ComStage ETF iBoxx Euro Sovereigns Inflation-Linked TR UCITS ETF

8530 ComStage ETFs

Inflation Europe 27

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

db x-trackers II GLOBAL INFLATION-LINKED UCITS ETF

XGIU db x-trackers - Europe

Inflation Europe 7


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

DBXK db x-trackers - Europe

Inflation Europe 165

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

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

DBXH db x-trackers - Europe

Inflation Europe 549

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

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

XGIG db x-trackers - Europe

Inflation Europe 9

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

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

XG7U db x-trackers - Europe

Inflation Europe 60

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

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

XGII db x-trackers - Europe

Inflation Europe 11

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

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

XBUI db x-trackers - Europe

Inflation Europe 24


iShares Euro Inflation Link Bond UCITS ETF

CSBILE iShares - Europe

Inflation Europe 46

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

LYXOR UCITS ETF IBOXX £ GILT INFLATION-LINKED

GILI Lyxor Inflation Europe 19

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

FlexShares iBoxx 3-Year Target Duration TIPS Index Fund

TDTT FlexShares TIPS Americas 2,254

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

FlexShares iBoxx 5-Year Target Duration TIPS Index Fund

TDTF FlexShares TIPS Americas 306



December 2014 56

For further information, please visit www.markit.com

Ivelin Angelov

Associate

Markit Index Research

Tel: +44 20 7064 6207

Email: [email protected]

http://www.markit.com/

data as of november 30th, 2014 gbp bonds outperform

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