the s&p/isda u.s. 150 credit spread index...the s&p/isda u.s. 150 credit spread index 5...

The S&P/ISDA U.S. 150 Credit Spread Index

November 1, 2013


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Executive Summary

The S&P/ISDA 150 U.S. Credit Spread Index (the “S&P 150”) , launched in December 2012, is a

new benchmark for U.S. credit default swap (CDS) spreads.1 Constituents of the S&P 150 are

drawn from the S&P 500® index. This is an ideal starting place for selection, as the S&P 500 is

benchmark for traded products in the U.S. equity market with ETFs, options and futures

contracts linked to it.2

For a company to be included in the S&P 150 as a Reference Entity3 it must meet the following

criteria4 at the time of each rebalance:

Be included in the S&P 500.

Have an investment-grade rating based on ratings issued by Standard & Poor’s, Moody’s

and Fitch5

Be active in the CDS market based on quotation information provided by CMA6

Be one of the 30 largest financial companies or 120 largest non-financial companies in

the S&P 500 based on long term debt outstanding.

The companies selected for inclusion in the S&P 150 are equally weighted.

The index’s selection process, which is described in detail in the next section, ensures that the

S&P 150 consists of well-known investment-grade U.S. corporations that are meaningful

1 TF Market Advisors, LLC (“TFMA”) is an independent financial research provider with deep expertise in fixed income and credit products. TFMA has a global macro and thematic approach to markets, focusing on near term trading strategies along with longer term tactical risk positioning. TFMA’s team of 3 people have a combined 40 years in the markets and have traded over $1 trillion of bonds, loans, and credit derivatives, ranging from sovereign debt to distressed loans. Please contact us with any questions at [email protected] 2 SPY is consistently the most active ETF traded, and the E-mini S&P Futures contract consistently has notional volumes greater than $200 billion traded on a daily basis for at least the past year. 3 An ISDA Credit Default Swap Defined term for what company or issuer a CDS is linked to These citations need to follow some kind of style guide. This is not an appropriate citation for a “professional quality” research paper, per the SOW. 4 http://us.spindices.com/documents/methodologies/methodology-sp-isda-cds-indices.pdf 5 Ratings. A reference entity must possess a “Combined” Investment Grade rating. The criteria used to determine whether a reference entity possesses a “Combined” Investment Grade rating is as follows:

i . If all three of Standard & Poor’s, Moody’s and Fitch rate the reference entity then at least two of these must assign an investment-grade rating.

i i . If only two of Standard & Poor’s, Moody’s and Fitch rate the reference entity then both of these must assign an investment-grade rating.

i i i . If only one of Standard & Poor’s, Moody’s and Fitch rate the reference entity then this rating must be investment-grade.

6 This is a liquidity constraint and is included to ensure that CDS prices are available for a Reference Entity.

http://us.spindices.com/documents/methodologies/methodology-sp-isda-cds-indices.pdf


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participants in the corporate debt markets and have liquid CDS pricing to ensure transparent

valuations of the index. These criteria enhance capital structure trading opportunities between

the S&P 500 and the S&P 150 since there is publicly traded common stock for each company in

the index. The focus on companies with highest debt outstanding is intended to result in high

correlations with bond benchmarks on a spread basis since the most bond indices are based on

the amount of debt outstanding rather than some other metric.

This paper analyzes year-to-date performance and compares it to the performance of the S&P

500 and to the 5-year U.S. Treasury note. The analysis provides clear evidence that the S&P 150

not only perform as a “risk asset” like equities, but it offers a different risk/reward profile than

yield-based products. This piece also analyzes the S&P 150 from a rating, industry and spread

perspective. The analysis indicates that the index is well -balanced — making it a

representative, broad market credit spread benchmark.

A longer history of the index is examined. The discussion particularly focuses on the bankruptcy

of Lehman Brothers (the “Lehman moment”) because that time period is a magnet for any CDS

discussion.

Finally, the two subindices of the S&P 150, the S&P/ISDA 30 U.S. Financial Credit Spread Index

(the “S&P Fins 30”) and the S&P/ISDA 120 U.S. Corporate Credit Spread Index (the “S&P Corp

120”) are also explored. These subindices allow the market to track and trade the spread

performance of financials separate from non-financial companies. Over the past five years,

these broad sectors have often had dramatically different performance . Being able to track and

trade them separately is a valuable tool for the CDS market.

Making the Index Unique

Index Construction

S&P Dow Jones Indices calculates the S&P 150 and follows a rules-based approach for their

determinations7. Having a globally-recognized, independent index provider with such a long

history is a step forward for the CDS index market, where all the traded indices come from one

provider.

The S&P 500 is the universe of names that can be selected as Reference Entities for inclusion in

the S&P 150 Credit Spread Index.

The index comprises investment-grade Reference Entities only, so the first step is to eliminate

constituents that do not meet this criterion. It is important to note that Standard & Poor’s,

7 http://us.spindices.com/documents/methodologies/methodology-sp-isda-cds-indices.pdf

http://us.spindices.com/documents/methodologies/methodology-sp-isda-cds-indices.pdf


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Moody’s, and Fitch ratings are all used to determine whether a name qualifies. This is common

market practice when creating credit-based indices as it places less reliance on any one

Nationally Recognized Statistical Rating Organization (“NRSRO”).

The next step in the constituent selection process is to separate the companies into financials

and non-financials and then rank each company based on total long-term debt outstanding.

The Global Industry Classification Standard (“GICS”)8 are used to separate the financials from

the non-financials at this stage. From the ranked list of companies, the 30 largest financials

issuers and 120 largest non-financials issuer that have CDS traded on them, based on CMA data,

are selected to be in the index.

This industry segmentation reduces the potential risk that the index will be too heavily biased

towards financials because in general financial companies have more debt outstanding than

non-financial corporations.

The entire process is strictly rules based and is maintained and overseen by the S&P Dow Jones

Indices’ Fixed Income Committee.

8 The Global Industry Classification Standard (GICS®) is an enhanced industry classification system jointly developed by Standard & Poor’s Financial Services LLC (S&P) and MSCI in 1999. GICS was developed in response to the global

financial community’s need for one complete, consistent set of global sector and industry definitions and has become the standard widely recognized by market participants worldwide. It sets a foundation for the creation of replicable, custom-tailored portfolios and enables meaningful comparisons of sectors and industries globally. The

Global Industry Classification Standard is the exclusive property of Standard & Poor’s Financial Services LLC (S&P) and MSCI.


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S&P 500 Index

Sort & Rank Largest

Corporate Debt Issuers

S&P/ISDA U.S. 150 Credit Spread Index

S&P/ISDA U.S. Financial 30 Credit

Spread Index

S&P/ISDA U.S. Corporate 120 Credit

Spread Index

Select only Investment Grade and Liquid

Sort & Rank Largest

Financial Debt Issuers

Equal Weighting versus Market Cap Weighting

Many decisions need to be made during the index construction process. A key one involves the

weighting of the index constituents; this decision will ultimately affect the index risk profile and

the ability to benchmark, and replicate, index returns.9 In the credit markets, in particular, this

decision comes down to choosing between market-cap weighted and equal weighted, and the

optimal solution is influenced by some unique market features.

The range of debt that companies issue is much larger than the range of equity market caps.

The largest company in the S&P 500 is Exxon (XOM), with a market cap of USD 415 billion and

the 150th largest company is Charles Schwab (SCHW) at USD 27 billion.10 In a market weighted

index, XOM would count for 15 times as much as SCHW. This is a big difference, but it pales in

9 http://us.spindices.com/documents/research/equal-weight-index-10-years.pdf 10 As of July 2013

http://us.spindices.com/documents/research/equal-weight-index-10-years.pdf


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comparison to the differences in the credit space. By debt outstanding, the largest 10

Reference Entities in the S&P 150 have issued USD 1.7 trillion in debt11. This represents 50% of

the debt outstanding of all companies in the S&P 150. By debt outstanding, the smallest 10

Reference Entities in the S&P 150 have issued only USD 50 billion, or 1.4% of the total. So an

index weighted by debt outstanding would have too much idiosyncratic risk placed on the

biggest issuers.

An index with weighting based on debt outstanding produces a very unbalanced index with a

few names representing the vast majority of the risk. It would create an even greater industry

concentration. In this scenario, the financial sector would dominate the index, with eight of the

10 largest issuers coming from this sector, resulting in an extremely poor proxy for a broad

based index. To avoid such problems, some benchmark bond indices have used “constrained”

market cap, which puts a ceiling on a company’s percentage in an index. This helps the index

be less concentrated, adding a level of complexity beyond simple equal weight.

In the trade-off between market weighted, constrained market weighted and equal weighted

in credit markets, the most successfully traded indices are in fact equal weighted.

A potential reason for this success is that the equal weighting allows for a much more diverse

risk pool. Market weighted credit indices can create risk that is too concentrated in a handful

of issuers or small segments of a particular industry, which defeats the purpose of the index.

One main goal of the index is to provide exposure to a broad basket of issuers. In this context,

an equal weighted index is most successful.

More about the Index

Quarterly Index Resets

The index “rolls” quarterly, and S&P Dow Jones Indices will announce the new constituents at

each roll. This will allow changes in the S&P 500 to be reflected in the S&P 150 but will also

ensure that the index changes with the credit markets. Certain events — such as downgrades

below investment-grade, or Apple issuing large amounts of debt12 and becoming at one time

one of the largest corporate issuers — can be captured in the index composition. This keeps

the index a relevant benchmark.

11 Data from Capital IQ 12 Mackenzie, Michael, Vivianne Rodrigues, and Michael Stothard. "Financial Times." Financial Times. The Financial Times Ltd, 30 Apr. 2013. Web. 15 Sept. 2013.


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The details of the S&P 150 and the related subindices can be found on the S&P Dow Jones

Indices’ website, at www.spdji.com.13 The website provides details on the companies that

make up the index, as well as historical index pricing information and history. Appendices A

and B show the current composition of the S&P Corp 120 and the S&P Fins 30, which together

form the S&P 150.

Performance

Credit Spreads often move in line with equities as part of the “risk on” or “risk off” trade. The

chart below, of the performance of the S&P 150 since the last roll of 2012,14 shows a clear

example of tightening, or improving, credit spreads from January until May 2013, while equities

rose.

Sources: TF Market Advisors, S&P Dow Jones Indices, Bloomberg

13 http://www.spdji.com/indices/fixed-income/sp-isda-150-cds-index-otr-index 14 This is a spread that reflects multiple indices as it encompasses three rolls.


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Then in May credit spreads widened, or deteriorated, while equities also declined. Then in late

June the “risk on” trade was at work again as credit spreads tightened and equities rose.

The correlation varies over time but “credit spreads” are a risk asset similar to equities 15. As

the economy does better and companies improve, the tendency is for credit spreads to tighten

since the economic prospects for the companies look better. Weaker economic prospects tend

to push stocks lower and cause credit spreads to widen. Sometime they can move in opposite

directions, particularly when companies issue a lot of debt to fund dividends or stock

buybacks.16 LBOs are another example of equity prices and credit spreads moving in opposite

directions17. As a general rule, however, credit spreads perform well when equities do.

The S&P 150 improved to 75 bps by the end of July 2013 from about 90 bps in late December

2012. The 15 bps spread change represents a price move of about 0.7% (the duration of the

index is about four years) and would have also gained about 0.6% of accrued interest (the CDS

contracts pay 100 bps per year based on the SNAC18 protocol).

Spread Risk versus Yield Risk

It is also worth examining how credit spreads have performed relative to five -year treasuries

(see Exhibit).

15 Since January 2011, credit spreads (as measured by the on the run CDX index) have widened when stocks (as measured by the S&P 500 equity index) fell, or tightened with stocks rose 85% of the time. 16 In November 2012 Costco was one example where credit spreads widened as the company issued debt to fund a large dividend. 17 Heinz and Dell are two recent examples 18Standard North American Contract or the SNAC protocol was the “big bang” for CDS where in Q2 2009 all market participants adopted new standard terms for CDS. The significant changes were that single name CDS now traded with a pre-set “coupon” of 100 bps and NO R was adopted as the standard Credit Event selection (Restructuring or Modified Restructuring was no longer a Credit Event). These changes made the contract more fungible as the “unwind” or “assignment” process was purely mechanical rather than negotiated.


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This exhibit highlights how five-year U.S. Treasury yields have moved in 2013 relative to credit

spreads. From the middle of March both spreads and yields decreased19. This was an extreme

“chase for yield” that benefited bond markets as spreads tightened and the “risk free rate”20

decreased.

Then the word “taper” entered the market vocabulary and yields rose rapidly. For a period of

time spreads also increased, but those have stabilized. Therefore losses on corporate bonds

since May are primarily due to a shift in treasury yields and not credit spread widening. A

benchmark index such as the S&P 150 CDS Index allows investors to isolate, track and trade

credit spread risk without the interest rate risk. That is very different than most bond indices

and bond products that currently exist, as they track yield not spread.

19 Treasury Yields are from Bloomberg LP data, and are the generic 5 year treasury yields, the S&P 150 credit spreads come from S&P 20 Investment Grade corporate bonds are quoted as T + Spread, where T is the treasury yield for that maturity (the “risk free rate”) and the Spread is the bond spread for that particular bond. When both T and Spread are declining, bond prices benefit from both moves


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Products that may be developed around this index include credit default swaps, futures and

possibly ETFs or ETNs. These products could create an opportunity for spread based investin g

in corporate bonds rather than the yield-based investment products that currently exist.

S&P/ISDA U.S. 150 Credit Spread Index by Rating

The Index is well diversified across various investment grade ratings (see Exhibit). 21

Sources: TF Market Advisors, S&P Dow Jones Indices, Capital IQ

This chart has all 150 Reference Entities plotted with their spread versus rating. 22 Most of the

entities are rated between ‘BBB’ (a score of 91) and ‘A’. Spreads are mostly between 25 and

150 bps.

21 Based on average the average of the Moody’s, Fitch, and Standard & Poor’s Ratings as of August 2013. 22 The spread is the average spread for each Reference Entity using CMA data from July 12 th 2013 until August 12th 2013. A Rating of 90 is BBB- and 100 is AAA.


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Number Average

Rating of Entities Spread

AAA 3.0 25.0

AA+ 2.0 23.3

AA 4.0 59.5

AA- 6.0 33.1

A+ 12.0 42.3

A 25.0 47.5

A- 24.0 68.6

BBB+ 30.0 77.2

BBB 33.0 92.5

BBB- 11.0 144.2 Sources: TF Market Advisors, S&P Dow Jones Indices, Capital IQ

The average rating of S&P 150 constituents falls between ‘BBB+’ and ‘A -‘, which is a “good”

level for an investment-grade portfolio. A portfolio that has a much lower average rating may

be too risky and may not reflect the overall market well. Similarly, one that is too highly rated

on average may be too conservative to benefit from spread tightening, or may be subject to

more rating risk as the included names have little possibility of being upgraded (being so high

already) and may have some downgrade risk.

The distribution of ratings is almost a “normal curve” centered on the average, with ‘BBB’, ‘A -‘

and ‘BBB+’ the most represented. The next most represented ratings are ‘A’, ‘A+’ and ‘BBB-‘.

This rating distribution demonstrates the robustness of the index methodology because it did

not result in a strong bias one way or another.

A “barbell” portfolio where most of the credits are rated at either end of the spectrum is

something that would be a concern to potential users of the index as they tend not to have

“barbelled” portfolios. Portfolios that are “barbelled” are common in structured products

where the goal is to maximize credit spread versus average rating. That is often a sign that the

weakest credits for their ratings have been selected and the low rated names are used to drive

spread and the high rated names are included to keep the average rating statistics reasonable.

This portfolio is very well balanced around its average and both the average and the ratings

buckets seem representative of the credit market as a whole.


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Another useful way to look at the portfolio is to look at the average spread of the names in

each rating bucket. Here you would once again like to see a “natural” flow where ratings and

spread move in line with each other.

Two issuers stick out as having relatively high spreads for their ratings — both from the

histogram, as well as the averages by rating. These two “outliers” deserve some additional

scrutiny. The two outliers are Berkshire Hathaway (BRK) trading at 91 bps in spite of a ‘AA-‘

rating and GE Capital Corp. (GECC) trading at 104 bps with a ‘AA+’ rating. Both of these issuers

have traditionally traded wide relative to their ratings for a long time for a number of reasons.

That anomaly exists and explains why the ‘AA’ bucket appears to have disproportionately wide

average spread.

Aside from the ‘AA’ bucket, most of the average spreads seem to make sense relative to their

ratings. We see the ‘AAA’ spreads very tight, widening as you move down in credit quality,

peaking at the ‘BBB-‘ level.

The Riskiest Names

There are four Reference Entities trading greater than 200 bps. At the current time, those are

the names that the market is pricing as the riskiest. The widest names deserve specific

attention, as they can be drivers of future moves wider (if the risk of a default increases) but

also can be catalysts for the index spread tightening if the credit conditions improve.

While there is a tendency to focus on the widest issuers, it is key to examine and evaluate all

Reference Entities.

S&P/ISDA U.S. 150 Credit Spread Index by Global Industry Classification Standard


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Sources: TF Market Advisors, GICS®

Financials represent the largest industry group at 20% of the S&P 150.

While the largest industry concentration, financials are actually a lower concentration in the

S&P 150 than in any corporate bond index, which is weighted by debt outstanding (financials

can often represent approximately 1/3 of the portfolio).23 The financials include REITs and

other companies that are sometimes classified as other industries. That is to provide enough

diversity to the financial basket.

Having financials in a CDS index has not been common because banks were active markets

makers in CDS indices, and many investors were concerned about “wrong way” risk on bilateral

trades24 where a bank could potentially sell credit protection on itself. As the industry moves

23 According to ishares.com LQD, the largest yield based investment grade ETF, currently holds 32.6% of its assets in financials 24 Customers would face the bank directly on the trade and take the banks credit risk on any payments owed to them


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towards central clearing and futures, this potential risk has been greatly reduced and all ows the

financials to be included in CDS indices just as they are included in equity indices.

At 14%, the utilities represent the next largest industry concentration in the S&P 150. The

utilities are so highly represented in the S&P 150 because, although there are only 32 utilities in

the S&P 500, making it relatively small, the companies tend to issue large amounts of debt

relative to other industries while maintaining an investment-grade rating.

At the other extreme, telecommunications are a low industry concentration compared to some

bond indices because of the equal weighting treatment. AT&T and Verizon are both very large

bond issuers, so have large concentrated weightings in market weighted indices but form a

small sector in equally weighted S&P 150 (see Exhibit).

Industry Avg Spread

Basic Materials 112.8

Consumer Cyclical 58.1

Consumer Discretionary 79.3

Consumer Non-Cyclical 66.8

Financials 105.5

Health Care 43.9

Industrials 45.3

Oil & Gas 94.9

Technology 122.2

Telecommunications 62.9

Utilities 74.0 Sources: TF Market Advisors, S&P Dow Jones Indices

There is definitely a divergence between various sectors. Some of that can be explained by a

sector having relatively few names and one have credit specific issues, but in general industries

can fall in and out of investors’ favor. Economic conditions at any given time can favor some

industries over others and that is reflected in credit spreads.

Financials continue to trade wide as a legacy of the financial crisis of 2007-2008. Prior to the

financial crisis most banks and most broker/dealers (back when GS and MS were not bank

holding companies) tended to trade very tight relative to the rest of the market and all traded

at very similar spreads. Financials are also impacted by ongoing counterparty hedging needs

that are unique to banks. Many investors, and even the Federal Reserve, have commented that

they watch the outright levels of bank CDS closely and the relative levels as a gauge for how

well policy is working and that the market is moving beyond the fear stage that has plagued it

since the financial crisis.

The Subindices


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The creation of the S&P Fins 30 and S&P Corp 120 are important developments in the evolution

of the CDS indices.

There are times that financial risk decouples from non-financial risk. The early stages of the

European debt crisis was just such an example. The money-center banks were hit particularly

hard because of fears surrounding direct exposure to European debt. At the time, investors

were less concerned on the impact the crisis would have on domestic corporate earnings.

Allowing investors to tailor their risk to focus on financials or non-financials is a key

development. Many prior CDS indices did not include financials because of the potential for

“self-referencing” in traded products linked to those indices. The advent of clearing makes it

easier to include this important sector.

As discussed in the prior section, the broad markets have an even heavier concentration of

exposure to financials than the 20% in the S&P 150. Having a separate financial subindex would

allow investors to tailor risk to the concentration level they deem appropriate.

The financials tend to be more volatile and generally more correlated than the non-financials.

The type of business done by non-financials varies greatly, in terms of their mix of business, the

types of risk taken on and the domestic versus foreign exposure. Despite that difference, the

financials, particularly with the inclusion of REITS, tend to have some common ri sk elements

(such as real estate exposure) that make them more highly correlated.

The subindices offer the ability to analyze and track the credit risk of “corporate” America

versus “financial” America in a way that has not been available up until now, but is something

that many investors want to do.


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Long-Term Performance

S&P Dow Jones Indices has calculated how the S&P 150 would have performed over time. 25


In spite of the S&P 500 hitting all-time highs in 2013, the S&P 150 has not returned to 2007

levels. There exists potential for further spread tightening.

The financial crisis shows up clearly in this chart. Credit spreads first started widening in the

summer of 2007 as the markets grew concerned about subprime mortgage exposures The

markets continued wider as Bear Stearns was brought to the brink of collapse, but rallied

sharply after JPMorgan bought Bear and the Fed implemented more policies to help banks and

soothe the markets. Then late in the summer of 2008 Fannie Mae and Freddie Mac came

under pressure and ultimately Lehman collapsed in September of 2008. The Fed, the Treasury 25 Creating the historical time series is required two steps. First, S&P had to go back in time and calculate what the index components would have been. Then each of those indices had to be priced based on the values of the underlying constituents at the time. More details on index pricing and the historical model can be found in [Link to other white paper]

Financials Traded Tighter than

Corporates Prior to the crisis

Financials Traded Wider than

Corporates at the height of the crisis


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Department and the FDIC implemented measure after measure (including the AIG bailout and

TARP) to help calm the markets. What may come as a surprise to many is that credit spreads

did not peak after Lehman went bankrupt. Credit spreads were much higher in December 2008

than in the immediate aftermath, and ultimately peaked in first-quarter 2009.

It is worth spending a moment examining the move in credit spreads from the summer of 2008

when they were approximately 80 bps to when they peaked at about 320 bps. That is a 240

basis point move, but what does it mean in “price” terms. If you wrote five -year CDS at 80 bps

and it instantaneously gapped to 320 bps, how much would you lose? A spread of 80 bps

would imply a “price” of 100.92% on the current index. If somehow the price jumped to 320

bps, the price would drop to 90.80%, translating to about a 10% loss. The index never gapped

that much on any day and rarely had daily moves greater than 1%, but that was the special

occasion when Congress first rejected TARP and stocks dropped by over 8%.

So it is important to remember that the move in bps on a day seem large, especially when

expressed as a % change in the spread, the price volatility (the amount a CDS trade moves) is

much smaller and is typically far less volatile than equities.

In 2009 credit spreads rallied, only to be driven wider by the Euro crisis, but have since

rebounded and have been drifting tighter though still higher than their pre -crisis levels.


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Appendix A - The S&P/ISDA 120 Corporate Spread Index Reference Entities


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Appendix B - The S&P/ISDA 30 Financial Spread Index Reference Entities

ENTITY NAME

S&P

RATING GICS SECTOR

REF OB

CUSIP

Allstate Corp A- Financials 020002AH4

American Express Company BBB+ Financials 025816AW9

American International Group, Inc. A- Financials 026874AZ0

American Tower Corporation BB+ Financials 029912AT9

Bank of America Corp. A- Financials 06051GDX4

Berkshire Hathaway Inc AA+ Financials 084664BE0

Boston Properties L.P. A- Financials 10112RAQ7

Capital One Bank, (USA) N.A. BBB Financials 14040EHK1

Citigroup Inc A- Financials 172967AQ4

ERP Operating LP BBB+ Financials 26884AAX1

General Electric Capital Corp AA+ Financials 36962G3H5

Genworth Financial, Inc. BBB- Financials 37247DAK2

Goldman Sachs Group Inc A- Financials 38141GCM4

HCP, Inc. BBB+ Financials 40414LAA7

Hartford Financial Services Group BBB Financials 416515AT1

Health Care REIT, Inc. BBB- Financials 42217KAL0

JP Morgan Chase & Co. A Financials 46625HCE8

Loews Corporation A+ Financials 540424AN8

Metlife, Inc. A- Financials 59156RAU2

Morgan Stanley A- Financials 61747YCE3

NextEra Energy Capital Holdings, Inc A- Financials 302570BC9

PNC Financial Services Group, Inc. A- Financials 635405AQ6

Prologis BBB- Financials 00163MAB0

Prudential Financial Inc A Financials 74432QBC8

SLM Corp BBB- Financials 78442FAQ1

Simon Property Group, L.P. A- Financials 828807BW6

U.S. Bancorp A+ Financials 91159HGR5

Ventas Realty LP Financials 92276MBA2

Vornado Realty LP BBB+ Financials 929043AF4

Wells Fargo & Company A+ Financials 949746NA5


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IMPORTANT DISCLOSURES

This writing discusses general market activity, industry or sector trends or other broad-based

economic, market or political conditions and is provided for general information purposes,

education purposes and entertainment purposes only. Nothing contained herein should be

relied upon for any other purpose, including making investment decisions. It is not, and is

not intended to be, a research report, a recommendation or investment advice, as it does

not constitute a substantive research or analysis, nor an offer to sell or the solicitation of

offers to buy any product or service in any jurisdiction. It does not take into the account the

particular investment objectives, restrictions, tax and financial situations or other needs of

any specific client or potential client. In addition, the information is not intended to provide a

sufficient basis on which to make an investment decision. Any investment decision about

buying securities or other assets should only be made after consulting appropriate tax, legal,

financial and any other relevant advisors. This writing is for institutional investors only and is

not for retail investors. The information and opinions herein are current only as of the date

appearing on the cover or on the date upon which the writing was originally sent or posted

on the website. Economic, financial and market assumptions and forecasts are subject to

high levels of uncertainty that may affect actual performance and may change

instantaneously and materially as market, financial, economic, political, regulatory or other

conditions change. Any past performance is not indicative of future performance or results

which may vary significantly. The value of any investment can decrease in price as well as

go up in price and future returns are, in no way, guaranteed nor assumed. All information

herein, including statements of fact, opinion and forecasts, do not provide any assurance or

guarantee as to returns that may be realized from investment in any securities or other

assets. This writing is the opinion of the author and TF Market Advisors, LLC, and does not

provide or purport to contain all of the information that an interested party may desire and

provides only a limited view of a particular market. TF Market Advisors, LLC, depends upon

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legal, tax or other type of advice.

TF Market Advisors, LLC was compensated for this writing by S&P Dow Jones Indices.

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