Download Insurance Asset Management Trends in 2014

Insurance Asset Management Trends in 2014
Strategic Asset Alliance Insurer Investment Forum XIV
March, 2014
San Diego, CA
Anthony C. Criscuolo, CFA
Topics For Discussion
1. What can we expect in asset allocation shifts within the P&C space in the near term?
2. What areas within fixed income may provide the best near term opportunities?
3. What can we derive from a prospective 5-year sector forecast?
4. What are the regulatory consequences, particularly surrounding capital
requirements?
1
SBICMAR021314GA
What can we expect in asset allocation shifts
within the P&C space in the near term?
2
SBICMAR021314GA
Low Yields Drive Migration Into Risky Assets
Outsourced Assets of U.S. Insurance Companies
1,600
1,400
1,200
$628 BN
($Billions)
1,000
800
153% Increase
$248 BN
600
400
$742 BN
$768 BN
2007
2011
200
0
High Yield, Bank Loans, Global Fixed Income, Emerging Markets Debt, Equity, Real
Estate and Other Alternatives
US Core Bonds
3
Source: 2012 Insurance Asset Management Survey, Patpatia & Associates
SBICMAR021314GA
Increased Risk Allocations Have Boosted Returns
Cumulative Returns since September 30, 2010
Cumulative Returns - September 30, 2010 – December 31, 2013
High Yield
Bank Loans
Emerging Debt (US$)
Interm. Agg
40%
35%
30%
25%
20%
15%
10%
5%
0%
4
Nov-13
Sep-13
Jul-13
May-13
Mar-13
Jan-13
Nov-12
Sep-12
Jul-12
May-12
Mar-12
Jan-12
Nov-11
Sep-11
Jul-11
May-11
Mar-11
Jan-11
Nov-10
Sep-10
-5%
Source: Bloomberg as of December 31, 2013.
Barclays U.S. Corporate High Yield Index
CSFB Leveraged Loan Index
Barclays Emerging Markets (U.S. Dollar) Index
Barclays U.S. Intermediate Aggregate Index
SBICMAR021314GA
Risky Assets – Assessing Risk at the Portfolio level
Efficient Frontier
6.00%
Potential Return
5.00%
4.00%
3.00%
In our view, modest increases to EMD, Bank Loans, Munis and
HY can potentially increase returns and decrease risk.
2.00%
1.00%
0.00%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
Standard Deviation
 We believe, risky assets can improve risk adjusted returns at the portfolio level, as illustrated above.
 Investment actuaries support Standish’s Insurance clients
 Quantitative tools : Efficient Frontier Analysis and Dynamic Financial Analysis
 Customized to your needs, e.g. using VaR and C-VaR thresholds to design portfolios within ERM limits
 Flexible models and assumptions – use our Capital Market Assumptions, yours or both
 Practical considerations like book yield of alternative portfolios and realized gains and tax implications
 Forward looking return expectations over your investment horizon – provides insight into Standish’s views
on markets
5
Note: The capital market assumptions are Standish’s estimates based on historical performance of relevant indices listed in the disclosures. We do not present the capital market
assumptions as actual or guaranteed future performance. This information is for illustrative purposes only and should not be relied upon as advice or interpreted as a recommendation.
SBICMAR021314GA
What areas within fixed income may
provide the best near term opportunities?
6
SBICMAR021314GA
Higher U.S. Treasury Yields
10-Year Government Bond Yields
US 10-Year Treasury
6
German 10-Year Bund
Japanese 10-Year Government Bond
5
Percent Yield
4
3
2
1
0
So urce: The U.S. Federal Reserve, Deutsche B undesbank and The B ank o f Japan as o f December 31, 2013
7
SBICMAR021314GA
Historically Low Range in Market Volatility
Stock and Bond Market Volatility
300
90
VIX (Right)
80
250
70
200
60
50
150
40
100
30
CBOE Volatility Index (VIX)
Merrill Option Volatility Estimate Index (MOVE)
MOVE (Left)
20
50
10
0
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
0
Jan-14
So urce: M errill Lynch B ank o f A merica and the Chicago B o ard Optio n Exchange as o f December 31, 2013
8
SBICMAR021314GA
2014 May Be a Coupon Clipping Year for IG and HY Bonds
Investment Grade and High Yield Option Adjusted Spreads
1800
High Yield Corporate (Left)
Investment Grade Corporate (Right)
1600
700
600
1400
HY Spread
1000
400
800
300
600
IG Spread
500
1200
200
400
100
200
0
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-09
Oct-09
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jul-11
Oct-11
Jan-12
Apr-12
Jul-12
Oct-12
Jan-13
Apr-13
Jul-13
Oct-13
Jan-14
0
So urce: Standish as o f December 31, 2013
Note: HY & IG Spreads are measured in bps.
9
SBICMAR021314GA
Valuations on EM Debt Are Attractive, But Security Selection Is Key
Emerging Market Debt
Currency Spot Rates Against U.S. Dollar
Emerging Market Dollar Denominated (Left)
Emerging Market Local Currency Denominated (Right)
9.00
700
8.00
500
7.50
400
7.00
300
6.50
200
6.00
Apr-13
Sep-13
Nov-12
Jun-12
Jan-12
Aug-11
Mar-11
Oct-10
May-10
Jul-09
So urce: Standish as o f December 31, 2013
Dec-09
Feb-09
Sep-08
5.00
Apr-08
0
Nov-07
5.50
Jun-07
100
EM Local Percent Yield
8.50
600
Jan-07
EM Dollar Average Spread
110
9.50
Currency Spot Rates Against U.S. Dollar, Index
05/21/2013 = 100
800
Brazilian Real
Mexican Peso
Polish Zloty
Turkish Lira
Chinese Renminbi
Indian Rupee
105
100
95
90
85
80
May-13
Jun-13
Jul-13
Aug-13
Sep-13
Oct-13
Nov-13
So urce: Tho mso n Reuters Datastream as o f December 31, 2013
10
SBICMAR021314GA
Dec-13
Sector Model Summary
Current Fair Value
Model Rsquared
83%
75%
87%
87%
95%
82%
94%
94%
84%
89%
87%
81%
87%
92%
96%
80%
83%
90%
83%
Sector
EM Local Bond Yield (%)
Implied Rate Volatility (bps)
Municipal Bonds (bps)
Emerging Markets (bps)
2s-10s Treasury Yield Slope (%)
Investment Grade Credit (bps)
Asian Credit Spread (bps)
10y Treasury Interest Rates (%)
Long Corporate OAS (bps)
10y TIPS break-even CPI (%)
10y Gilt Rate (%)
High Yield (bps)
European Corp. Bonds (bps)
European High Yield Bonds (bps)
Mortgage Pass Throughs (bps)
10y Bund Rate (%)
UST/Bund Rate Differential (bps)
High Yield Bank Loan Spread (bps)
5y Swap Spreads (bps)
Standard Deviation
6
Six Month Forecast
Actual
Fair Value
Attractiveness Score
(Stand. Dev.)
Forecast
Value
7.20%
84 bps
31 bps
390 bps
2.32%
116 bps
286 bps
2.65%
161 bps
2.13%
2.87%
435 bps
121 bps
374 bps
127 bps
1.80%
0.99%
463 bps
12 bps
6.48%
100 bps
21 bps
303 bps
2.20%
116 bps
304 bps
2.52%
177 bps
2.01%
2.95%
511 bps
152 bps
442 bps
118 bps
2.34%
0.56%
591 bps
38 bps
2.8
1.9
0.6
0.6
0.4
0.0
-0.6
0.3
-0.6
-0.5
-0.2
-0.8
-1.0
-0.5
0.6
-1.1
-1.5
-2.1
-2.3
6.33%
103 bps
-3 bps
247 bps
2.35%
112 bps
266 bps
2.87%
154 bps
2.16%
3.05%
464 bps
126 bps
461 bps
154 bps
2.54%
0.68%
497 bps
45 bps
Current Value
Forecast Value
Attractiveness Score Total Relative
(Stand. Dev.)
Value Score
3.4
2.3
2.1
1.0
-0.1
0.1
0.6
-0.6
0.3
0.1
-0.4
-0.3
-0.2
-0.7
-2.1
-0.7
-1.1
-0.6
-2.9
6.1
4.2
2.7
1.6
0.3
0.1
0.0
-0.2
-0.3
-0.4
-0.6
-1.0
-1.1
-1.2
-1.5
-1.8
-2.6
-2.7
-5.3
Total Relative Score
4
2
0
-2
-4
-6
11
EM Local
Bond Yield
(%)
Implied
Municipal Emerging
2s-10s
Investment Asia n Credit
10y
Rate
Bonds (bps) Markets
Treasury
Grade
Spread
Treasury
Volatility
(bps)
Yield Slope Credit (bps)
(bps)
Interest
(bps)
(%)
Rates (%)
Long
10y TIPS
Corporate break-even
OAS (bps)
CPI (%)
10y Gilt
Rate (%)
High Yield European European Mortgage
(bps)
Corp. Bonds High Yield
Pa ss
(bps)
Bonds (bps) Throughs
(bps)
10y Bund
Rate (%)
UST/Bund High Yield
Rate
Bank Loan
Differential
Spread
(bps)
(bps)
5y Swap
Spreads
(bps)
Source: Standish as of February 1, 2014. For illustrative purposes only. Forecast information is not intended to predict future events, but rather to demonstrate the investment process of the
firm in utilizing its models and market views in constructing its client portfolios. Sector models are run monthly and are subject to change. Model portfolio data is to be considered
supplemental information to the attached GIPS compliant composite presentation found in the Appendix. Refer to Disclosure in Appendix.
SBICMAR021314GA
What can we derive from a prospective
5-year sector forecast?
12
SBICMAR021314GA
Return Expectations Remain Attractive For Risky Assets
Standish 5-Year Annualized Total Returns Forecasts1
Total Return Forecast
Emerging Market Local Currency Denominated
Risky Assets
S&P 500
Emerging Market Dollar Denominated
US High Yield Corporate
US Bank Loans
Real Estate
European High Yield Corporate
Municipal Bonds
Core Bonds
Long US Corporate
European Investment Grade Corporate
US Investment Grade Corporate
2 Year US Treasury
Mortgage Backed Securities
5 Year US Treasury
10 Year US Treasury
Commodities
30 Year US Treasury
US Treasury Inflation Protected Security
-2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0%
Source: Standish as of October 2013. Past performance does not guarantee future results
1 The
Standish 5-Year Returns Forecasts are built based on various inflation and growth regimes. Considering historical experience under each regime, we then forecast yield using econometric methods. Returns are then
calculated considering various factors such as duration and convexity. The returns estimates displayed above assume economic conditions of 2.5% quarter to quarter annualized percent change in GDP and 2% year to year
percent change in Core CPI. For a list of relevant benchmarks, please refer to disclosures at the end of this presentation.
13
References to future returns are not promises or even estimates of actual returns Standish may achieve, and should not be relied upon. The forecasts contained herein are for illustrative
purposes only and are not to be relied upon as advice or interpreted as a recommendation. In addition, the forecasts are based upon subjective estimates and assumptions about
circumstances and events that may not yet have taken place and may never do so.
SBICMAR021314GA
What are the regulatory consequences,
particularly surrounding capital
requirements?
14
SBICMAR021314GA
Regulatory Matters
Dodd-Frank – U.S.
 Financial Stability – Title I
 Systemically Important Financial Institutions (SIFIs)
 Federal Insurance Office – Title V
UCITS IV & V
Hedge fund Reform
 Maintains State-Base Regulatory Model
 International Voice
 Consumer Protection
Corporate Governance
Depository Liabilities
Money Market Reform
Wall Street Reform
 Prudential Standards
 Derivatives Management – Title VII
Taxation
Affordable Care Act
Convergence of
alternatives
 Central Clearing
 Standardization
Dodd-Frank
 Collateral Squeeze
Solvency II Directive – EU
Distribution
Basel III/CRD IV
MiFID Review
Investor Protection
 Target implementation - January 2016
 Risk Management/Reporting
 Impact on Investments
IFRS/GAAP
convergence
Volcker Rule
Global Investing
Solvency II
T2S and infrastructure
developments
New Regulators
15
SBICMAR021314GA
Summary
 Expect risk taking trends to continue on expectation that global economic activity will
continue to slowly improve.
 EM local & US dollar Debt most attractive along with Bank Loans, but careful of
current fundamentals and technicals .
 Long term, we like risky asset classes on improving global economic fundamentals,
albeit with expected returns lower than historical averages.
 Derivative management under Title VII, may result in new collateral requirements.
Coupled with Solvency II initiatives, prices of higher quality, short duration securities
may increase.
16
SBICMAR021314GA
Appendix
Important Disclosures
This information is not provided as a sales or advertising communication. It does not constitute investment
advice. It is not an offer to sell or a solicitation of an offer to buy any security. Many factors affect performance
including changes in market conditions and interest rates and in response to other economic, political, or
financial developments. Past performance is not a guide to or indicative of future results. Future returns are
not guaranteed and a loss of principal may occur. There can be no assurance the investment objectives
described in this presentation will be achieved. This information is not intended to provide specific advice,
recommendations or projected returns of any particular Standish Mellon Asset Management Company LLC
(“Standish”) product. Some information contained herein has been obtained from third party sources and has
not been verified by Standish. Standish makes no representations as to the accuracy or the completeness of
any of the information herein.
The enclosed material is confidential and not to be reproduced or redistributed without the prior written
consent of Standish. Any statements of opinion constitute only current opinions of Standish, which are subject
to change and which Standish does not undertake to update. Views expressed are subject to change rapidly as
market and economic conditions dictate. Portfolio composition is also subject to change.
The Firm is defined as Standish Mellon Asset Management Company LLC ("Standish"), a registered investment
advisor and wholly owned subsidiary of The Bank of New York Mellon Corporation.
BNY Mellon Investment Management is one of the world’s leading investment management organizations and
one of the top U.S. wealth managers, encompassing BNY Mellon’s affiliated investment management firms,
wealth management organization and global distribution companies. BNY Mellon is the corporate brand of
The Bank of New York Mellon Corporation and may also be used as a generic term to reference the
Corporation as a whole or its various subsidiaries generally. Products and services may be provided under
various brand names and in various countries by subsidiaries, affiliates, and joint ventures of The Bank of New
York Mellon Corporation where authorized and regulated as required within each jurisdiction.
BNY Mellon Asset Management (UK) Limited ("AMUK") is an affiliate of Standish Mellon Asset Management
Company LLC ("Standish"), located in London, which provides investment management services to qualified
non US clients. Certain employees of AMUK may act in the capacity as shared employees of Standish and in
such capacity may provide portfolio management support and trading services to certain Standish managed
accounts. Rankings include assets managed by BNY Mellon Asset Management and BNY Mellon Wealth
Management. Each ranking may not include the same mix of firms.
This portfolio data should not be relied upon as a complete listing of the Portfolio’s holdings (or top holdings)
as information on particular holdings may be withheld if it is in the client’s best interest to do so. Portfolio
holdings are subject to change without notice and may not represent current or future portfolio composition.
The portfolio date is “as of” the date indicated.
There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you
receive this report or that securities sold have not been repurchased. The securities discussed do not represent
an account’s entire portfolio and in the aggregate may represent only a small percentage of an account’s
portfolio holdings.
It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be
profitable, or that the investment recommendations or decisions we make in the future will be profitable or
will equal the investment performance of the securities discussed herein.
The allocation distribution and actual percentages may vary from time-to-time. The types of investments
presented in the allocation chart will not always have the same comparable risks and returns. The actual
performance of the portfolio will depend on the Investment Manager’s ability to identify and access
appropriate investments, and balance assets to maximize return while minimizing its risk. The actual
investments in the portfolio may or may not be the same or in the same proportion as those shown above.
Standish believes giving an proprietary Average Quality Credit rating to the holdings in a portfolio more
accurately captures its characteristics versus using a single rating agencies ratings. Standish has a
ratings/number hierarchy whereby we assign a number between 0 (unrated bond) and 21 (S&P or Moody’s
AAA) to all bonds in a portfolio based on the ratings of one or more of the rating agencies (with the lower of
the 2 available agencies ratings prevailing), and then take a weighted numerical average of those bonds (with
weighting based on each bonds percentage to the total portfolio assets). The resulting number is then
compared back to the ratings/number hierarchy to determine a portfolio’s average quality. For example, if
Moody’s AAA, S&P AAA= 21, Moody’s A1, S&P A+= 17, Moody’s Baa1 and S&P BBB+=14, Moody’s B1 and
S&P B+=7. The numeric average of the 4 equally weighted holdings is 14.75, rounded up to the next whole
number of 15. 15 converts to an average credit rating of S&P A/Moody’s A2.
To the extent the strategy invests in foreign securities, its performance will be influenced by political, social
and economic factors affecting investments in foreign companies. Special risks associated with investments in
foreign companies include exposure to currency fluctuations and controls, less liquidity, less developed or less
efficient trading markets, less governmental supervision and regulation, lack of comprehensive company
information, political instability, greater market volatility, and differing auditing and legal standards.
Further, investments in foreign markets can be affected by a host of factors, including political or social
conditions, diplomatic relations, limitations on removal of funds or assets or imposition of (or change in)
exchange control or tax regulations in such markets. Additionally, investments denominated in a foreign
currency will be subject to changes in exchange rates that may have an adverse effect on the value, price or
income of the investment.
These risks are magnified in emerging markets and countries since they generally have less diverse and less
mature economic structures and less stable political systems than those of developed countries.
These benchmarks are broad-based indices which are used for illustrative purposes only and have been
selected as they are well known and are easily recognizable by investors. Comparisons to benchmarks have
limitations because benchmarks have volatility and other material characteristics that may differ from the
portfolio. For example, investments made for the portfolio may differ significantly in terms of security
holdings, industry weightings and asset allocation from those of the benchmark. Accordingly, investment
results and volatility of the portfolio may differ from those of the benchmark. Also, the indices noted in this
presentation are unmanaged, are not available for direct investment, and are not subject to management fees,
transaction costs or other types of expenses that the portfolio may incur. In addition, the performance of the
indices reflects reinvestment of dividends and, where applicable, capital gain distributions. Therefore, investors
should carefully consider these limitations and differences when evaluating the comparative benchmark data
performance.
The information regarding the index is included merely to show the general trends in the periods indicated
and is not intended to imply that the portfolio was similar to the index in composition or risk.
The strategy may use alternative investment techniques (such as derivatives) which carry additional risks. The
low initial margin deposits normally required to establish a position in such instruments may permit a high
degree of leverage. As a result, a relatively small movement in the price of a contract may result in a profit or
loss that is high in proportion to the amount of funds actually placed as initial margin and may result in a
disproportionate loss exceeding any margin deposited. Transactions in over-the-counter derivatives may
involve additional risk as there is no exchange on which to close out a position, only the original counterparty.
Such transactions may therefore be difficult to liquidate, to value, or to assess the exposure. The strategy may
at times use certain types of investment derivatives, such as options, futures, forwards and swaps. These
instruments involve risks different from, and in certain cases, greater than, the risks presented by more
traditional investments.
Standish sector models use regression analysis such as multi-linear data inputs, panel data, and probit
function. Variables that the models take into account are: PMI, US Core CPI, Fed Fund rate, 3-month Libor, 3month T-bill rate, foreign purchases of US Government bonds, Commodity Indices , Capacity Utilization,
Deficit as a percent of GDP, S&P 500 return, Chicago Fed Index, IGOV, US output gap, Europe Core CPI, US
unemployment rate, EU unemployment rate, and slope of the yield curve. Assumptions made are that samples
are representative of the population for the inference prediction; regression residuals are approximately
normally distributed, uncorrelated, and have constant volatility; no high degrees of multi-colinearity in the
independent variables; variable sensitivity remains constant in the short term; and no structural shift in the
short term.
The comments provided herein are a general market overview and do not constitute investment advice, are
not predictive of any future market performance, are not provided as a sales or advertising communication,
and do not represent an offer to sell or a solicitation of an offer to buy any security. Similarly, this information
is not intended to provide specific advice, recommendations or projected returns of any particular product of
Standish Mellon Asset Management Company LLC (Standish). These views are current as of the date of this
communication and are subject to rapid change as economic and market conditions dictate. Though these
views may be informed by information from publicly available sources that we believe to be accurate, we can
make no representation as to the accuracy of such sources nor the completeness of such information. Please
contact Standish for current information about our views of the economy and the markets. Portfolio
composition is subject to change, and past performance is no indication of future performance.
The comments provided herein are a general market overview and do not constitute investment advice, are
not predictive of any future market performance, are not provided as a sales or advertising communication,
and do not represent an offer to sell or a solicitation of an offer to buy any security. Similarly, this information
is not intended to provide specific advice, recommendations or projected returns of any particular product of
Standish Mellon Asset Management Company LLC (Standish). These views are current as of the date of this
communication and are subject to rapid change as economic and market conditions dictate. Though these
views may be informed by information from publicly available sources that we believe to be accurate, we can
make no representation as to the accuracy of such sources nor the completeness of such information. Please
contact Standish for current information about our views of the economy and the markets. Portfolio
composition is subject to change, and past performance is no indication of future performance.
17
SBICMAR021314GA
Appendix
Important Disclosures
Standish sector models use regression analysis such as multi-linear data inputs, panel data, and probit
function. Variables that the models take into account are: PMI, US Core CPI, Fed Fund rate, 3-month Libor, 3month T-bill rate, foreign purchases of US Government bonds, Commodity Indices , Capacity Utilization,
Deficit as a percent of GDP, S&P 500 return, Chicago Fed Index, IGOV, US output gap, Europe Core CPI, US
unemployment rate, EU unemployment rate, and slope of the yield curve. Assumptions made are that samples
are representative of the population for the inference prediction; regression residuals are approximately
normally distributed, uncorrelated, and have constant volatility; no high degrees of multi-colinearity in the
independent variables; variable sensitivity remains constant in the short term; and no structural shift in the
short term.
BNY Mellon is one of the world’s leading asset management organizations, encompassing BNY Mellon’s
affiliated investment management firms, wealth management services and global distribution companies. BNY
Mellon is the corporate brand for The Bank of New York Mellon Corporation. Standish is a registered
investment adviser and BNY Mellon subsidiary.
The information in this presentation may contain projections or other forward-looking statements regarding
future events, targets or expectations regarding the strategies described herein (including those introduced by
the terms “may,” “target,” “expect,” “believe,” “will,” “should” or similar terms), and is only current as of the date
indicated. There is no assurance that such events or targets will be achieved, and may be significantly different
from that shown here. The information in this presentation, including statements concerning financial market
trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent
market events or for other reasons.
The J.P. Morgan Government Bond Index - Emerging Markets (GBI-EM) Global Diversified Composite consists
of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors
can gain exposure.
The S&P 500 Index is considered to be generally representative of the U.S. large capitalization stock market as
a whole. It is an unmanaged capitalization-weighted index of 500 commonly traded stocks designed to
measure performance of the broad domestic economy through changes in the aggregate market value of
those stocks. The index assumes reinvestment of dividends. The index selects its companies based upon their
market size, liquidity, and sector. Most of the companies in the index are solid mid cap or large cap
corporations. The S&P 500 is a market-weighted index.
JP Morgan Emerging Markets Bond Index Global (EMBI Global): tracks total returns for US dollar-denominated
debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans,
Eurobonds.
Barclays U.S. Corporate High Yield Index - An unmanaged index that covers the universe of fixed-rate,
noninvestment-grade debt.
S&P/LSTA U.S. Leveraged Loan 100 Index - designed to reflect the performance of the largest facilities in the
leveraged loan market.
S&P/Case–Shiller U.S. National Home Price Index - a composite of single-family home price indices for the
nine U.S. Census divisions. It is updated quarterly.
BofA Merrill Lynch Euro High Yield Index tracks the performance of EUR denominated below investment grade
corporate debt publicly issued in the euro domestic or eurobond markets. Qualifying securities must have a
below investment grade rating (based on an average of Moody’s, S&P and Fitch).
Barclays Municipal Bond Index - An unmanaged index considered representative of the tax-exempt bond
market.
Barclays Euro Aggregate Bond Index - includes fixed-rate, investment-grade Euro denominated bonds.
Inclusion is based on the currency of the issue, and not the domicile of the issuer. The principal sectors in the
index are the Treasury, corporate, government-related and securitized.
Barclays US Long Corporate Index - The index includes dollar-denominated debt from U.S. and non-U.S.
industrial, utility, and financial institutions issuers with a duration of 10+ years.
Barclays Mortgage-backed Securities Index - An unmanaged index comprising 15- and 30-year fixed-rate
securities backed by mortgage pools of Ginnie Mae, Freddie Mac and Frannie Mae.
Commodity Research Bureau Broad Index - An index that measures the overall direction of commodity
sectors. The CRB was designed to isolate and reveal the directional movement of prices in overall commodity
trades.
Barclays U.S. Aggregate Index - An unmanaged index considered representative of the U.S. Investment-grade,
fixed-rate bond market.
Barclays US TIPs Index - measures the performance of the US Treasury Inflation Protected Securities
("TIPS") market. The index includes TIPS with one or more years remaining maturity with
total outstanding issue size of $500m or more.
The Bloomberg US Treasury Bond Index is a rules-based, market-value weighted index engineered to measure
the performance and characteristics of fixed rate coupon U.S. Treasuries which have a maturity greater than 12
months
Barclays Euro Corporate Bond Index - contains fixed-rate, investment-grade Euro-denominated bonds from
industrial, utility and financial issuers only
18
SBICMAR021314GA
Standish cares about the environment. Whenever possible, we choose double-sided printing to reduce paper use.