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///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// FIXED INCOME BLOOMBERG USD HIGH YIELD CORPORATE BOND INDEX The Bloomberg USD High-Yield Corporate Bond Index is a rules-based, market-value-weighted index engineered to measure publicly issued non-investment grade USD fixed-rate, taxable and corporate bonds. To be included in the index, a security must have a minimum par amount of $250 million and have a minimum maturity of 1 year at rebalancing. Emerging market debt is excluded. TOTAL RETURN B loomberg USD High Yield Corporate Bond Index (BUHY) B loomberg Global High Yield Corporate Bond Index (BHYC) Normalized as of 12/31/2009 INDEX CHARACTERISTICS As of 3/31/2014 Yield-to-Worst OAS 5.56 405.65 Effective Duration 4.13 Effective Convexity 0.24 Par-Weighted Coupon 7.29 Quality Number of Issues Market Capitalization ($ in Trillions) B+ 2,078 1.37 BLOOMBERG USD HIGH YIELD CORPORATE BOND INDEX ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// CRITERIA Quality Minimum Amount Outstanding > = C<BBBUSD 250 million SECTOR INDEXES Communications, Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Materials, Technology, Utilities MATURITY INDEXES 1+, 1–3, 3–5, 5–7, 7–10, 10+ RATING INDEXES BB, B, CCC <CCC INDEX PRICING Independent and transparent pricing is a key difference of Bloomberg’s index family versus other index families that rely on single-dealer pricing or composite pricing across a small number of dealers. Prices of index constituent bonds in Bloomberg’s indexes are received from BVAL, Bloomberg’s securities valuation services. BVAL provides credible, transparent and defensible valuations across a broad spectrum of financial instruments, including fixed income, derivatives and structured notes. The prices are completely independent, drawing on market data contributed by more than 4,000 market participants. This broad global dataset of market observations is combined with market-leading analytics and Bloomberg’s terms and conditions databases to produce objective third-party pricing with deep transparency in how the prices were derived. BOND TYPES The following bond types are excluded: » Private Placements (except for emerging market indices) » Convertible » Perpetuals » Bonds with Non-Fixed Coupon (except Greece since 3/2012) » Inflation-Linked Bonds » Survivor Puts CUSTOM INDEXES The technology and deep dataset across reference and pricing data underlying Bloomberg’s global index family provide a rich tool set for custom index creation. Variables for customization include: » Traditional selection criteria such as currency, country of risk, sectors, ratings or amount outstanding. » Bloomberg’s proprietary variables such BVAL scores related to pricing quality and depth or calculated variables such as option adjusted spreads. » Caps on issuers or sectors to satisfy diversification or regulatory needs such as those of UCITS or IRS. » Enhanced index-weighting methodologies based on issuer-specific or algorithmic variables. BLOOMBERG USD HIGH YIELD CORPORATE BOND INDEX ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// TABLE 1 – BLOOMBERG GLOBAL BOND INDEX FAMILY USD Investment-Grade Composite U.S. Government U.S. Treasury Government-Related U.S. Agency Non-U.S. Sovereign Regional & Local U.S. Corporate MBS Developed Banks & Supra FNMA GNMA FHLMC USD Emerging Market Composite Sovereign InvestmentGrade Global High-Yield Corporate Composite Corporate High-Yield InvestmentGrade U.S. Non-USD EUR High-Yield GBP CAD Covered Global Investment-Grade Corporate Composite U.S. AUD Europe EUR GBP CHF CAD EUR Scandinavia NOK GBP JPY SEK Global Developed Sovereign Bond Composite U.S. Non-USD Canada Eurozone Other Europe Pacific Rim Austria Denmark Australia Belgium Norway Hong Kong France Switzerland Japan Germany UK New Zealand Greece Ireland Italy Luxembourg Netherlands Portugal Slovakia Slovenia Spain Singapore SUB-INDEXES BICS Sectors All Corporate Indexes » Communications » Consumer Discretionary » Consumer Staples » Energy » Financials » Health Care » Industrials » Materials » Technology » Utilities Maturity »1 +, 1–3, 1–5, 1–10, 5–10, 10+ Quality All indexes except MBS: AAA, AA, A, BBB, BB, B, CCC, <CCC BLOOMBERG USD HIGH YIELD CORPORATE BOND INDEX ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// TABLE 1 – BLOOMBERG GLOBAL BOND INDEX FAMILY (CONT.) Emerging Market Local Currency Composite EMEA LATAM ASIA Bulgaria Egypt Brazil China Croatia Israel Chile India Czech Rep. Kenya Colombia Indonesia Hungary Nigeria Dominican Rep. Malaysia Latvia S. Africa Jamaica Philippines Lithuania Mexico S. Korea Poland Peru Taiwan Russia Thailand Romania Serbia Turkey For additional information and licensing opportunities, please contact +1 212 617 5020 bloombergindexes.com >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> BLOOMBERG and the Bloomberg USD High Yield Corporate Bond Index are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates (“collectively, “Bloomberg”) or Bloomberg’s licensors own all proprietary right in the Bloomberg USD High Yield Corporate Bond Index. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Bloomberg USD High Yield Corporate Bond Index. Bloomberg makes no warranty, express or implied, as to the Bloomberg USD High Yield Corporate Bond Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with the Bloomberg USD High Yield Corporate Bond Index or any data or values relating thereto - whether arising from their negligence or otherwise. Nothing in the Bloomberg USD High Yield Corporate Bond Index shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the Bloomberg USD High Yield Corporate Bond Index should not be considered as information sufficient upon which to base an investment decision. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. Bloomberg: BNDX <GO> The data included in these materials are for illustrative purposes only. ©2014 Bloomberg Finance L.P. All rights reserved. 57734438 DIG 0414