Issue 15, March 2015 Data as of February 28th, 2015 USD ......USD and GBP bonds erase gains from...

USD and GBP bonds erase gains from previous month

Markit iBoxx fixed income monthly market monitor

Bonds in USD and GBP lose the gains from previous month as Markit iBoxx GBP Overall loses 3.95% and USD Overall drops 1.32%.

Sovereign bonds in eurozone periphery provide strong returns on the back of spread tightening. Portugal gains 4.24% in February.

US Fixed income ETFs attracted $13.8bn for the month

Market movements

Gains from previous month reverted

Bonds across GBP and USD lost the strong gains

produced last month, as their respective yield curves

shifted upwards, erasing the initial effect of the QE,

announced in the eurozone. Markit iBoxx GBP

Overall lost 3.95%, while USD Overall dropped

1.32%

The yield curve in the eurozone remained flat in

February, after the big drop following Draghi’s QE

announcement. However, bonds in EUR produced

positive returns on the back of spread tightening and

coupon income. Markit iBoxx EUR Overall increased

by 0.69%

The 10 year Bund yield remained at 0.32%, while the

10 year Treasury yield and the 10 year Gilt yield

increased to 2.02 and 1.78%, respectively, at the end

of February

European sovereigns bonds in the core ( Germany,

France) remained flat , while those in Italy, Spain,

Portugal and Ireland gained 2.12%, 1.54%, 4.24%,

1.01%, as credit spreads tightened. The reduction of

credit premium in the periphery was supported by the

approved bailout extension for Greece

Markit iBoxx € Corporates returned 0.70%, mainly

due to income (33bps) and credit (39bps) return. €

Financials outperformed € Non-Financials due to

higher credit return (46 vs. 36bps)

Spreads in Markit iBoxx € High Yield decreased in

February, bringing the total return to 1.95%. The

lowest rated section of the market, € High Yield CCC,

tightened by 227 bps and returned 3.84% for the

month.

UK Gilts dropped by an impressive 4.52%, on the

back of negative duration return of 492bps. Similarly,

£ Corporates registered a 2.55% loss mainly due to

duration return (negative 371bps)

After gaining 5.2% in January, £ Inflation bonds lost

5.62% in February as the real yield curve reverted

the shift from last month

US Treasuries lost 1.79% in February. Markit iBoxx

$ Corporates also provided a negative return of

0.68%, mainly due to negative duration return of

213bps. Spread tightening contributed 110bps to

total return.

Emerging market hard currency sovereign and

corporate bonds outperformed their US counterparts.

Markit iBoxx $EM Sovereigns and $EM Corporates

gained 0.40% and 1.46% in February. Both indices

saw their spreads tightening by 27bps and 48bps,

respectively

ETF market activity review

US Fixed income ETFs attracted $13.8 bn

The US fixed income ETF market experienced

healthy inflows of $13.8bn during February. The flows

were spread across several sectors, with Broad

Market, Treasuries, Corporates and High Yield ETFs

attracting $2.4bn, $3.4bn, $2.9bn and $3.8bn,

respectively

Markit fixed income research

Issue 15, March 2015 Data as of February 28th, 2015

Markit iBoxx fixed income monthly market monitor \ March 2015

March 2015 2

European fixed income ETFs attracted net inflows of

$4.2bn for the last month. Sovereign, Corporates and

High Yield bond ETFs attracted the majority of new

assets - $1.2bn, $1.4bn and $1.3bn

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

Source: Markit ETP Analytics

BlackRock was able to attract the biggest chunk of

total inflows to its fixed income ETFs in February, with

$12.7bn. Two of its flagship products, iShares iBoxx

$ High Yield Corporate Bond ETF and iShares iBoxx

$ Investment Grade Corporate Bond ETF, received

$3.2bn and $2.3bn of new assets

New ETF launches in February

February saw three new ETF issuances in Europe

and two in the US

In Europe, UBS launched UBS ETF Barclays Euro

Area Liquid Corporates 1-5 Year UCITS HDG (USD)

A-acc and UBS ETF Barclays US Liquid Corporates

1-5 Year UCITS HDG (CHF) A-acc

Blackrock added iShares Euro Corporate Bond BBB-

BB UCITS ETF to its ETF portfolio. The ETF tracks

bonds from investment grade and high yield

corporate universe.

In the US, AdvisorShares introduced the

AdvisorShares Pacific Asset Enhanced Floating Rate

ETF, which is an actively managed fund that invests

in floating rate loans

ETF Managers Group launched Sit Rising Rate ETF,

which invests in futures and options in US Treasury

securities to achieve a target duration of negative 10

0 5000 10000 15000

BlackRock

State Street

Fortune SG Fund…

Vanguard

First Trust

PIMCO

Société Générale

BMO Funds

Yinhua Fund Management

Others


March 2015 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

Analysis and trends .......................................................................................................................................... 19

€ Fixed income return attribution ................................................................................................................. 20

£ Fixed income return attribution ................................................................................................................. 21

$ Fixed income return attribution ................................................................................................................. 22

€ Fixed income stress test ............................................................................................................................ 29

£ Fixed income stress test ............................................................................................................................ 30

$ Fixed income stress test ............................................................................................................................ 31

Fixed income ETF market activity ................................................................................................................... 34


March 2015

4

Fixed income market

Facts and figures


March 2015 5

Figure 1: Global fixed income market YTD total returns

1.0%

0.2%

2.1%

2.6%

4.5%

2.9%

1.8%

3.0%

1.5%

2.8%

2.3%2.6%

1.5%1.7%

-0.1%

5.6%

2.0%

2.7%

-0.5%

2.4%

3.4%

-0.7%

2.1%

-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

Figure 2: Global fixed income market MTD total returns

-1.8%

-4.5%

-0.1%

0.2%

2.1%1.5%

-0.7%

2.20%

0.69%

2.0%

-2.6%

1.6%

0.4%

1.5%

-0.8%

3.6%

1.1%0.5%

-4.0%

-1.7%-1.0%

-5.6%

1.1%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

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

February


March 2015

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 0.43 0.62 0.68 0.52 0.53 0.14 0.16 -0.05 0.13 0.44 0.25 0.09 0.51

Corp IG 0.60 1.00 0.29 0.52 0.56 0.47 0.43 0.03 0.05 -0.04 0.01 0.34 0.25 0.11 0.50

HY 0.43 0.29 1.00 0.48 0.55 0.53 0.42 0.03 0.05 0.04 0.08 0.38 0.29 0.17 0.54

GBP

Gilts 0.62 0.52 0.48 1.00 0.98 0.00 0.83 0.68 0.75 -0.23 0.60 0.21 0.20 -0.20 -0.12

Corp IG 0.68 0.56 0.55 0.98 1.00 0.05 0.80 0.67 0.72 -0.13 0.56 0.20 0.27 -0.03 0.02

HY 0.52 0.47 0.53 0.00 0.05 1.00 0.04 0.46 0.43 0.10 0.39 0.04 0.40 0.31 0.28

IL 0.53 0.43 0.42 0.83 0.80 0.04 1.00 0.62 0.67 -0.32 0.62 0.24 0.10 -0.17 0.01

USD

TSY 0.14 0.03 0.03 0.68 0.67 0.46 0.62 1.00 0.94 -0.52 0.82 -0.14 0.10 -0.36 -0.40

Corp IG 0.16 0.05 0.05 0.75 0.72 0.43 0.67 0.94 1.00 -0.38 0.81 -0.05 0.20 -0.36 -0.41

HY -0.05 -0.04 0.04 -0.23 -0.13 0.10 -0.32 -0.52 -0.38 1.00 -0.30 0.44 0.31 0.53 0.43

TIPS 0.13 0.01 0.08 0.60 0.56 0.39 0.62 0.82 0.81 -0.30 1.00 0.11 0.24 -0.22 -0.40

EM Sov 0.44 0.34 0.38 0.21 0.20 0.04 0.24 -0.14 -0.05 0.44 0.11 1.00 0.59 0.16 0.44

EM Corp 0.25 0.25 0.29 0.20 0.27 0.40 0.10 0.10 0.20 0.31 0.24 0.59 1.00 0.30 0.24

Loans 0.09 0.11 0.17 -0.20 -0.03 0.31 -0.17 -0.36 -0.36 0.53 -0.22 0.16 0.30 1.00 0.55

CVBX 0.51 0.50 0.54 -0.12 0.02 0.28 0.01 -0.40 -0.41 0.43 -0.40 0.44 0.24 0.55 1.00



March 2015 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 0.77 0.34 0.67 0.66 0.41 0.57 0.31 0.25 -0.27 0.24 -0.08 -0.11 -0.23 -0.15

Corp IG 0.77 1.00 0.36 0.64 0.63 0.41 0.55 0.26 0.19 -0.26 0.20 -0.11 -0.12 -0.23 -0.13

HY 0.34 0.36 1.00 0.56 0.58 0.49 0.47 0.15 0.11 -0.12 0.13 -0.04 -0.04 -0.07 0.01

GBP

Gilts 0.67 0.64 0.56 1.00 0.94 0.00 0.82 0.55 0.49 -0.28 0.49 -0.09 -0.08 -0.32 -0.17

Corp IG 0.66 0.63 0.58 0.94 1.00 0.08 0.79 0.46 0.42 -0.21 0.41 -0.06 -0.05 -0.24 -0.10

HY 0.41 0.41 0.49 0.00 0.08 1.00 0.03 0.07 0.11 0.19 0.12 0.11 0.17 0.12 0.31

IL 0.57 0.55 0.47 0.82 0.79 0.03 1.00 0.51 0.48 -0.24 0.44 -0.05 -0.04 -0.29 -0.14

USD

TSY 0.31 0.26 0.15 0.55 0.46 0.07 0.51 1.00 0.90 -0.28 0.81 -0.06 0.01 -0.30 -0.33

Corp IG 0.25 0.19 0.11 0.49 0.42 0.11 0.48 0.90 1.00 -0.01 0.77 0.17 0.28 -0.05 -0.15

HY -0.27 -0.26 -0.12 -0.28 -0.21 0.19 -0.24 -0.28 -0.01 1.00 -0.15 0.63 0.65 0.79 0.63

TIPS 0.24 0.20 0.13 0.49 0.41 0.12 0.44 0.81 0.77 -0.15 1.00 0.08 0.13 -0.18 -0.23

EM Sov -0.08 -0.11 -0.04 -0.09 -0.06 0.11 -0.05 -0.06 0.17 0.63 0.08 1.00 0.87 0.57 0.42

EM Corp -0.11 -0.12 -0.04 -0.08 -0.05 0.17 -0.04 0.01 0.28 0.65 0.13 0.87 1.00 0.66 0.45

Loans -0.23 -0.23 -0.07 -0.32 -0.24 0.12 -0.29 -0.30 -0.05 0.79 -0.18 0.57 0.66 1.00 0.56

CVBX -0.15 -0.13 0.01 -0.17 -0.10 0.31 -0.14 -0.33 -0.15 0.63 -0.23 0.42 0.45 0.56 1.00



March 2015

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 0.69% 2.40% 0.84% -0.09% -0.33% 52.6 -10.1 -11.0 2,991 6.4

Sovereigns

€ Germany -0.11% 2.15% 0.45% 0.02% -0.27% -1.7 0.1 -0.7 54 7.4

€ France 0.20% 2.64% 0.74% -0.02% -0.30% 31.7 -3.6 -4.1 42 7.6

€ Italy 2.12% 4.50% 1.47% -0.26% -0.56% 119.0 -32.7 -33.5 61 6.9

€ Spain 1.54% 2.89% 1.31% -0.22% -0.40% 107.2 -22.9 -13.6 35 6.4

€ Portugal 4.24% 5.64% 1.66% -0.53% -0.71% 156.2 -63.9 -55.6 13 6.2

€ Ireland 1.01% 2.21% 0.60% -0.17% -0.37% 54.2 -20.7 -17.1 12 5.5

Corporates

€ Corporates 0.69% 1.55% 1.07% -0.13% -0.28% 101.3 -13.0 -10.7 1,560 5.0

€ Corporates A 0.58% 1.36% 0.91% -0.09% -0.22% 84.4 -9.9 -3.7 677 5.1

€ Corporates AA 0.32% 1.03% 0.71% -0.05% -0.18% 63.4 -5.4 -0.5 163 4.9

€ Corporates AAA 0.32% 2.49% 0.89% -0.03% -0.29% 52.6 -5.4 -4.4 6 7.6

€ Corporates BBB 0.95% 1.92% 1.40% -0.20% -0.39% 139.4 -18.7 -22.0 714 4.8

€ Financials 0.81% 1.36% 1.09% -0.18% -0.29% 116.1 -17.8 -12.8 595 4.5

€ Banks 0.67% 1.01% 0.90% -0.14% -0.25% 90.0 -17.4 -17.3 420 4.2

€ Insurance 1.99% 4.03% 2.11% -0.29% -0.54% 207.6 -30.1 -33.4 76 5.9

€ Non-Financials 0.61% 1.69% 1.06% -0.11% -0.27% 93.4 -10.6 -9.1 965 5.4

€ Basic Materials 0.96% 1.57% 1.00% -0.18% -0.27% 97.7 -19.1 -8.0 76 4.9

€ Consumer Goods 0.34% 1.29% 0.85% -0.05% -0.22% 77.3 -7.0 -5.1 180 5.2

€ Consumer Services 0.67% 2.04% 0.99% -0.26% -0.47% 86.8 -25.9 -28.2 69 5.7

€ Health Care 0.41% 1.57% 0.87% -0.06% -0.22% 78.4 -6.6 -4.2 41 5.1

€ Industrials 0.48% 1.34% 0.85% -0.09% -0.23% 80.3 -10.2 -7.8 151 4.7

€ Oil & Gas 1.42% 1.97% 1.68% -0.20% -0.29% 123.9 -19.8 -15.9 88 5.4

€ Technology 0.35% 2.29% 0.88% -0.04% -0.28% 59.5 -4.8 -2.1 17 7.6

€ Telecommunications 0.52% 2.03% 1.18% -0.07% -0.27% 106.1 -6.4 -6.5 119 5.8

€ Utilities 0.56% 1.76% 1.09% -0.07% -0.26% 97.8 -7.9 -8.8 224 5.5

€ Covered 0.51% 0.99% 0.46% -0.10% -0.18% 46.5 -9.1 -1.0 633 4.5

High Yield

€ High Yield 1.95% 2.78% 3.68% -0.50% -0.69% 332.4 -62.0 -79.1 538 3.3

€ High Yield B 2.54% 3.41% 6.35% -0.65% -0.77% 537.8 -99.9 -121.0 188 2.7

€ High Yield BB 1.68% 2.64% 2.60% -0.34% -0.51% 274.7 -47.4 -52.4 320 3.5

€ High Yield CCC 3.84% 1.24% 18.94% -0.60% 2.69% 1749.9 -226.5 480.3 25 2.2

Inflation-linked

€ France Inflation-Linked 1.26% 3.95% -0.50% -0.16% -0.48% -100.6 -19.1 -23.4 19 8.1

€ Germany Inflation-Linked

1.09% 2.07% -0.67% -0.22% -0.41% -114.3 -22.9 -37.8 5 5.3

€ Italy Inflation-Linked 3.94% 7.21% 0.42% -0.47% -0.84% -9.6 -53.0 -63.8 10 8.0

ABS

Europe ABS 1.62% 6.45% 788

Contingent Convertible

€ Contingent Convertible 1.44% 4.08% 5.22% -0.31% -0.72% 19 4.8


€

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



March 2015 9

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



£ Overall -3.95% 0.71% 2.42% 0.40% -0.04% 30.3 -2.6 -5.8 1054 10.0

Sovereigns

£ Gilts -4.53% 0.17% 2.16% 0.43% 0.01% 0.6 0.0 0.1 37 10.8

£ Gilts 1-3 -0.29% -0.04% 0.61% 0.18% 0.07% -5.9 -1.9 -3.7 4 2.0

£ Gilts 3-5 -1.07% -0.01% 1.08% 0.32% 0.05% 3.3 0.1 0.1 5 3.6

£ Gilts 5-7 -1.90% -0.05% 1.39% 0.39% 0.05% 2.9 -1.1 1.3 5 5.2

£ Gilts 7-10 -3.06% -0.09% 1.66% 0.45% 0.05% 0.4 -0.4 1.4 4 7.3

£ Gilts 10-15 -4.10% 0.17% 1.91% 0.46% 0.01% -1.8 0.5 -0.3 3 9.5

£ Gilts 15+ -7.70% 0.69% 2.42% 0.45% -0.02% 0.6 0.1 0.0 16 18.0

Corporates

£ Corporates -2.57% 2.30% 3.38% 0.33% -0.22% 139.0 -10.0 -24.8 700 8.4

£ Corporates A -3.08% 2.46% 3.36% 0.35% -0.20% 128.6 -8.0 -22.1 298 9.4

£ Corporates AA -3.22% 1.69% 2.95% 0.36% -0.12% 89.4 -6.6 -14.8 66 9.4

£ Corporates AAA -5.74% 2.15% 2.76% 0.41% -0.11% 47.7 -3.7 -11.1 5 14.7

£ Corporates BBB -1.80% 2.30% 3.57% 0.28% -0.28% 173.4 -14.2 -31.1 331 7.0

£ Banks -1.36% 2.56% 3.32% 0.23% -0.26% 148.1 -18.2 -31.2 144 6.9

£ Basic Materials -2.20% 1.11% 3.18% 0.34% -0.12% 128.2 -8.1 -13.9 13 7.3

£ Consumer Goods -1.75% 1.05% 2.62% 0.34% -0.11% 100.1 -5.4 -14.8 56 5.5

£ Consumer Services -3.44% 1.63% 3.22% 0.26% -0.29% 116.8 -18.3 -31.6 57 9.1

£ Financials -1.50% 2.61% 3.41% 0.24% -0.28% 152.9 -17.7 -31.9 288 7.3

£ Health Care -5.27% 2.73% 3.26% 0.44% -0.17% 99.8 -0.9 -17.4 12 12.9

£ Industrials -2.91% 2.32% 3.21% 0.38% -0.21% 121.0 -5.3 -23.7 48 8.4

£ Insurance -0.74% 3.38% 3.93% 0.14% -0.41% 205.5 -28.3 -45.2 69 7.3

£ Non-Financials -3.24% 2.09% 3.36% 0.37% -0.19% 131.8 -6.4 -21.1 412 9.1

£ Oil & Gas -1.80% 0.81% 4.05% 0.33% -0.05% 214.1 -8.3 -8.6 21 7.4

£ Telecommunications -3.07% 2.44% 3.52% 0.37% -0.21% 147.3 -5.8 -22.7 46 9.0

£ Utilities -3.78% 2.55% 3.47% 0.39% -0.19% 136.4 -4.7 -20.6 158 10.3

Collateralized

£ Collateralized -3.09% 1.50% 3.10% 0.20% -0.27% 107.7 -22.5 -28.7 162 9.1

£ Covered -2.63% 0.70% 2.34% 0.38% -0.05% 56.5 -5.7 -7.6 23 7.5

£ ABS -3.08% 1.39% 3.27% -0.28% -0.76% 123.8 -68.6 -74.2 33 9.1

£ MBS -2.40% 1.32% 3.04% 0.36% -0.12% 115.7 -7.4 -14.6 42 7.4

£ Housing Associations -5.06% 3.03% 3.53% 0.38% -0.17% 118.7 -7.3 -17.1 37 14.6

High Yield

£ High Yield 1.59% 2.58% 5.40% -0.54% -0.93% 402.8 -94.7 -96.4 47 2.7

Inflation-linked

£ Gilt Inflation-Linked -5.62% -0.72% -0.70% 0.25% 0.03% -313.6 -20.9 5.0 24 22.6


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


£




March 2015 10

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



$ Overall -1.32% 1.26% 2.60% 0.25% -0.14% 64.8 -5.0 -1.2 5573 6.1

Sovereigns

$ Treasuries -1.79% 1.04% 1.98% 0.31% -0.11% 3.0 0.5 1.1 253 6.1

$ Treasuries 1-3Y -0.23% 0.27% 0.66% 0.17% -0.05% 0.5 0.2 0.8 96 1.8

$ Treasuries 3-5Y -0.94% 0.77% 1.31% 0.29% -0.12% 3.8 1.4 -0.1 58 3.7

$ Treasuries 5-7Y -1.54% 1.17% 1.68% 0.32% -0.16% 0.0 -1.6 0.4 39 5.4

$ Treasuries 7-10Y -2.28% 1.55% 1.92% 0.33% -0.16% -1.7 -1.5 -0.1 17 7.6

$ Treasuries 10-15Y -2.59% 1.63% 2.16% 0.30% -0.14% 7.6 -2.2 1.1 12 9.4

$ Treasuries 15Y+ -5.83% 2.60% 2.57% 0.36% -0.13% 5.2 1.7 2.0 31 17.6

Corporates

$ Corporates -0.69% 1.83% 3.67% 0.15% -0.19% 166.3 -16.7 -6.0 4,291 6.7

$ Corporates A -0.99% 1.70% 3.29% 0.19% -0.17% 131.8 -12.8 -4.9 1774 6.5

$ Corporates AA -1.16% 1.67% 3.05% 0.18% -0.18% 108.8 -11.4 -4.8 484 6.4

$ Corporates AAA -2.16% 1.55% 3.15% 0.26% -0.12% 97.7 -5.3 1.8 49 8.6

$ Corporates BBB -0.19% 2.03% 4.22% 0.08% -0.21% 217.8 -24.3 -8.3 1984 7.1

$ Banks -0.34% 1.50% 3.24% 0.12% -0.20% 151.0 -18.2 -8.1 919 4.9

$ Basic Materials 0.38% 2.04% 4.34% 0.00% -0.20% 228.8 -32.4 -6.4 264 7.2

$ Consumer Goods -0.98% 1.55% 3.27% 0.18% -0.17% 131.0 -12.7 -3.2 352 6.3

$ Consumer Services -1.80% 1.63% 3.71% 0.22% -0.14% 155.3 -10.5 -0.3 389 8.4

$ Financials -0.46% 1.58% 3.34% 0.13% -0.20% 152.9 -17.6 -7.7 1430 5.3

$ Health Care -1.52% 1.93% 3.37% 0.23% -0.17% 127.0 -9.4 -4.4 319 7.8

$ Industrials -1.38% 1.59% 3.43% 0.22% -0.15% 136.9 -9.5 -1.3 336 7.2

$ Insurance -0.96% 2.21% 3.85% 0.17% -0.19% 174.3 -15.9 -6.6 195 7.9

$ Non-Financials -0.83% 1.98% 3.81% 0.16% -0.19% 171.8 -16.3 -5.3 2861 7.6

$ Oil & Gas 0.80% 2.51% 4.47% -0.03% -0.25% 239.3 -35.2 -12.5 577 7.4

$ Technology -1.18% 1.68% 3.14% 0.22% -0.17% 119.7 -9.6 -3.6 166 6.3

$ Telecommunications -1.50% 1.98% 4.09% 0.21% -0.17% 191.7 -11.6 -2.2 165 8.4

$ Utilities -1.54% 2.62% 3.72% 0.20% -0.23% 153.4 -12.1 -9.2 293 8.9

High Yield

$ Liquid High Yield 2.20% 3.05% 5.70% -0.43% -0.66% 392.9 -74.4 -48.8 966 3.8

Inflation-linked

$ TIPS Inflation-Linked -0.99% 3.41% 0.26% 0.11% -0.40% -186.4 -22.3 -24.0 35 8.5

Emerging Markets

$ EM Sovereigns 0.40% 1.48% 4.96% 0.07% -0.24% 277.2 -26.7 -12.9 311 7.5

$ EM Corporates 1.46% 1.70% 5.60% -0.20% -0.29% 368.0 -48.1 -14.9 1336 5.0

Loans

$ Leveraged Loans 1.42% 1.78% 1150

RMBS

$ US RMBS Seniors 1.68% 2.23% 306

Convertible

$ CVBX 2.50% 2.13% -0.19% -0.19% -0.42% 98 5.6


$ Contingent Convertible 1.56% 2.76% 6.84% -0.28% -0.48% 34 5.1


$




March 2015 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

AS

W (

bp

s)

€ Corporates AAA € Corporates AA

€ Corporates A € Corporates BBB


€

0

1

2

3

4

5

6

7

8


90

95

100

105

110

115

120



March 2015 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

Bps

2s10s 10s30s

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

-10

-8

-6

-4

-2

0

2

4

2Y 5Y 10Y 30Y

Bps

Spot Swap


€

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

0 10 20 30 40 50

Yie

ld

Maturity

Yield curve 2015-Feb-27 Yield curve 2015-Jan-31

Swap curve 2015-Feb-27 Swap curve 2015-Jan-31

-0.5

0

0.5

1

1.5

2

2.5

3

0 10 20 30 40 50

Yie

ld

Maturity

2015-Feb-27 2015-Jan-31 2014-Feb-27


March 2015 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

120



March 2015 14

Key trends: Markit iBoxx £ spot and swap curve

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

0

50

100

150

200

250

Bp

s

2s10s 10s30s

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

0

5

10

15

20

25

30

35

40

45

50

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


£

0

0.5

1

1.5

2

2.5

3

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

2015-Feb-27 2015-Jan-31 2014-Feb-27


March 2015 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

300

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



March 2015 16

Key trends: Markit iBoxx $ spot and swap curve

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

0

50

100

150

200

250

300

Bp

s

2s10s 10s30s

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

0

5

10

15

20

25

30

35

40

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


$

0

0.5

1

1.5

2

2.5

3

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

2015-Feb-27 2015-Jan-31 2014-Feb-27


March 2015 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 1,569 100% 1.05 5.10 100.01

+9 0.0% -0.02 0.14 -1.22

Non-Financials 969 56.6% 1.02 5.52 91.11

+4 -0.1% -0.04 0.17 -2.27

Financials 600 43.4% 1.10 4.55 116.79

+5 0.1% 0.01 0.10 0.82

AAA 6 0.5% 0.89 7.63 52.55

0 0.0% 0.00 0.00 0.00

AA 164 13.4% 0.74 5.11 63.77

+1 0.0% 0.03 0.23 0.40

A 677 44.9% 0.91 5.22 84.52

0 -0.3% 0.01 0.07 0.14

BBB 722 41.2% 1.32 4.94 133.77

+8 0.3% -0.08 0.19 -5.54

1-3y 385 25.5% 0.44 1.94 50.35

+6 0.0% -0.06 0.08 -3.28

3-5y 360 21.8% 0.65 3.78 68.47

-16 -1.1% -0.08 0.09 -5.22

5-7y 367 23.9% 0.90 5.53 91.22

+6 0.6% -0.03 0.07 -2.44

7-10y 318 19.7% 1.26 7.51 107.40

+8 0.3% 0.04 0.14 2.78

10-15y 114 7.4% 1.49 10.04 104.02

+3 0.1% -0.07 0.15 -7.18

15+ 25 1.7% 1.82 14.10 105.66

+2 0.1% -0.01 0.18 -2.23

Markit iBoxx £ Corporates rebalance movements


After rebalance




Corporates 701 100% 3.35 8.37 136.29

+1 0.0% -0.03 -0.02 -2.72

Non-Financials 410 60.5% 3.32 9.09 127.97

-2 -0.5% -0.04 0.00 -3.88

Financials 291 39.5% 3.40 7.27 152.20

+3 0.5% -0.01 -0.03 -0.71

AAA 5 0.7% 2.76 14.66 47.69

0 0.0% 0.00 0.00 0.00

AA 66 10.4% 2.95 9.36 88.99

0 -0.1% 0.00 0.00 -0.38

A 295 44.3% 3.32 9.25 126.54

-3 -1.3% -0.04 -0.14 -2.04

BBB 335 44.6% 3.52 7.17 166.23

+4 1.5% -0.05 0.17 -7.13

1-3y 120 12.7% 1.80 2.01 110.74

+2 0.3% 0.00 0.02 -0.21

3-5y 120 14.1% 2.25 3.66 116.69

+2 0.3% -0.01 0.06 -1.91

5-7y 85 10.6% 2.87 5.15 147.60

+1 0.5% -0.01 0.05 -1.81

7-10y 97 14.0% 3.05 6.84 140.53

-1 -0.5% -0.02 0.06 -2.35

10-15y 122 18.1% 3.38 9.40 142.68

0 0.0% -0.07 0.03 -7.30

15+ 157 30.5% 3.68 14.42 135.31

-3 -0.5% -0.01 0.05 -1.32


€

£


March 2015 18

Markit iBoxx $ Corporates rebalance movements


After rebalance




Corporates 4,278 100% 3.62 6.82 160.27

-13 0.0% -0.05 0.10 -5.98

Non-Financials 2,840 62.8% 3.75 7.70 164.59

-21 -0.3% -0.06 0.13 -7.24

Financials 1,438 37.2% 3.31 5.35 149.89

+8 0.3% -0.03 0.05 -2.94

AAA 55 1.3% 3.23 9.39 101.31

+6 0.2% 0.08 0.80 3.58

AA 486 13.3% 3.06 6.44 108.79

+2 0.0% 0.01 0.07 -0.04

A 1,774 43.7% 3.26 6.45 128.64

0 0.0% -0.04 0.00 -3.08

BBB 1,963 41.7% 4.12 7.26 206.92

-21 -0.2% -0.10 0.17 -10.81

1-3y 942 20.9% 1.55 2.03 80.21

0 0.1% -0.06 0.08 -7.99

3-5y 928 21.3% 2.35 3.68 106.40

-5 -0.1% -0.09 0.08 -10.72

5-7y 576 13.3% 2.94 5.23 125.67

-2 0.0% -0.11 0.06 -11.33

7-10y 845 18.9% 3.39 7.14 146.80

-3 0.0% -0.07 0.07 -7.13

10-15y 71 1.6% 3.91 8.98 183.74

-7 -0.1% 0.05 0.13 4.04

15+ 916 23.9% 4.38 14.29 195.40

+4 0.2% -0.03 0.11 -3.16


$


March 2015 19

Fixed income market

Analysis and trends


March 2015

20

€ 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% 69.77 20.60 32.66 -8.02 1.65 0.59 -10.27 54.53 47.16 7.37 -13.85 0.01 0.00 16.51

€ Sovereigns 60.63% 76.99 17.96 43.16 -12.81 1.66 0.16 -14.63 67.04 55.77 11.27 -11.07 0.00 0.00 15.87

€ Sub-Sovereigns 13.11% 47.75 13.46 21.34 -2.77 1.62 1.01 -5.40 32.95 30.96 1.99 -8.85 0.00 0.00 12.95

€ Collateralized 9.49% 51.98 26.24 9.96 2.19 1.74 1.92 -1.48 29.65 25.00 4.66 -21.88 0.00 0.00 15.77

€ Corporates 16.77% 70.30 32.86 15.35 -0.12 1.62 1.12 -2.86 39.03 40.34 -1.31 -23.63 0.07 0.00 22.09

€ Financials 7.15% 81.38 29.57 26.93 1.19 1.68 1.18 -1.67 45.97 43.36 2.62 -20.27 0.04 0.00 24.89

€ Non-Financials 9.62% 61.88 35.37 6.54 -1.11 1.58 1.08 -3.77 33.75 38.05 -4.30 -26.18 0.09 0.00 19.97

€ Corporates AAA 0.08% 32.48 0.00 26.61 -16.56 1.76 1.92 -20.23 34.40 34.28 0.13 8.87 -0.10 0.00 5.87

€ Corporates AA 2.24% 33.19 19.23 5.94 0.30 1.67 1.54 -2.91 18.76 17.76 1.00 -13.13 0.00 0.00 8.02

€ Corporates A 7.51% 58.30 32.35 9.21 -0.59 1.60 1.18 -3.37 34.07 35.10 -1.03 -24.29 0.01 0.00 16.74

€ Corporates BBB 6.94% 96.28 38.31 25.11 0.46 1.63 0.91 -2.08 51.25 53.66 -2.41 -26.74 0.15 0.00 32.86


€


March 2015 21

£ 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% -393.82 9.35 -425.75 -455.33 -37.04 -113.66 -304.63 22.60 29.19 -6.59 7.05 -0.01 -0.06 22.58

£ Gilts 69.20% -452.05 3.84 -482.53 -492.52 -38.37 -109.33 -344.83 0.18 -0.09 0.27 9.81 0.00 0.00 26.63

£ Sub-Sovereigns 6.15% -259.40 12.49 -284.46 -343.81 -38.54 -89.44 -215.83 56.93 54.21 2.72 2.43 0.00 0.00 12.57

£ Collateralized 4.41% -308.32 29.97 -352.46 -408.06 -25.28 -161.26 -221.52 62.94 202.22 -139.28 -6.23 0.00 -1.11 14.17

£ Corporates 19.96% -255.50 22.18 -291.42 -371.23 -34.62 -125.42 -211.19 77.57 85.99 -8.42 2.34 -0.04 -0.07 13.73

£ Financials 7.70% -148.27 11.06 -168.66 -316.87 -36.17 -122.51 -158.20 133.61 131.50 2.10 14.84 -0.04 -0.19 9.33

£ Non-Financials 12.26% -322.83 29.17 -368.49 -405.36 -33.65 -127.25 -244.46 42.40 57.42 -15.02 -5.50 -0.03 0.00 16.50

£ Corporates AAA 0.15% -572.76 0.00 -608.37 -682.86 -14.58 -157.07 -511.22 55.19 54.30 0.89 19.31 0.00 0.00 35.61

£ Corporates AA 2.12% -320.90 2.10 -337.13 -416.73 -38.85 -114.40 -263.48 61.09 62.01 -0.92 18.51 0.00 0.00 14.13

£ Corporates A 8.99% -307.26 17.87 -341.47 -419.12 -32.60 -122.55 -263.97 72.20 75.67 -3.47 5.46 -0.01 0.00 16.34

£ Corporates BBB 8.71% -178.19 32.18 -220.83 -303.10 -36.10 -130.67 -136.33 87.82 103.57 -15.75 -5.31 -0.07 -0.17 10.46


£


March 2015 22

$ 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% -131.55 35.96 -173.38 -193.77 -43.76 -63.90 -86.11 36.77 35.01 1.76 -17.50 1.44 -0.33 5.87

$ Treasuries 58.94% -178.07 43.32 -229.29 -195.90 -45.21 -59.24 -91.45 -3.38 -2.98 -0.40 -30.01 0.00 0.00 7.90

$ Sub-Sovereigns 8.42% -72.10 15.21 -88.07 -102.70 -48.13 -35.05 -19.52 14.01 33.19 -19.18 3.01 1.42 -3.82 0.76

$ Covered 0.63% -18.79 14.72 -35.57 -67.14 -55.67 -5.22 -6.24 31.79 28.65 3.14 -0.22 0.00 0.00 2.06

$ Corporates 29.16% -68.22 28.28 -111.68 -213.61 -40.15 -79.64 -93.82 109.50 115.73 -6.23 -0.42 -7.12 -0.02 15.18

$ Financials 10.77% -44.45 28.40 -87.71 -163.07 -45.76 -67.81 -49.49 86.99 96.18 -9.19 -2.42 -9.21 0.00 14.86

$ Non-Financials 18.39% -82.08 28.20 -125.66 -243.10 -36.88 -86.55 -119.67 122.63 127.14 -4.50 0.74 -5.89 -0.04 15.37

$ Corporates AAA 0.30% -215.07 22.07 -244.70 -282.42 -42.09 -75.75 -164.58 38.01 45.43 -7.42 -0.01 -0.28 0.00 7.56

$ Corporates AA 4.00% -114.66 19.77 -139.52 -201.84 -43.33 -69.98 -88.53 59.91 71.90 -11.99 2.12 0.29 0.00 5.08

$ Corporates A 12.70% -98.45 27.51 -144.08 -203.89 -42.80 -71.27 -89.82 72.70 81.63 -8.93 -3.20 -9.69 0.00 18.12

$ Corporates BBB 12.17% -18.06 31.94 -65.51 -225.87 -36.31 -91.61 -97.95 165.69 167.22 -1.53 1.67 -6.94 -0.06 15.50


$


March 2015

23

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

35

-1

34

-26

0 0

62

30

1

46

-20

0 0

81

-40

-20

0

20

40

60

80

100

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

35

26 24

4944

33

0

24

39

56

76

0

14

1

-21

-3

39

-40.00

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15

Income Return Duration Return Credit Return


€


March 2015 24

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

29

-405

42

-5 0

0

-323

11

-317

134

15

0 0

-148

-500

-400

-300

-200

-100

0

100

200

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

51 36 4064

37 22

-65

106

233

125

340

-371

-29

-76-38 -27

11178

-500.00

-400.00

-300.00

-200.00

-100.00

0.00

100.00

200.00

300.00

400.00




£


March 2015 25

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

28

-243

123

1

-6 0

-82

28

-163

87

-2 -9

0

-44

-300

-250

-200

-150

-100

-50

0

50

100

150

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

46 3547 40 35 28

-91

99

4732

296

-214

-85

-39-11

-101-72

110

-300.00

-200.00

-100.00

0.00

100.00

200.00

300.00

400.00




$


March 2015 26

Key rate duration and attribution – € Corporates

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

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

KRD 0.03 0.08 0.08 0.09 0.11 0.37 0.55 0.42 0.34 0.64 0.32 0.10 0.04 0.04

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

Bp

s

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

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

RF Delta -3.67 -4.10 -4.34 -4.32 -3.94 -3.15 -2.03 -0.73 0.64 1.96 6.07 6.67 4.86 1.71

-6

-4

-2

0

2

4

6

8

Bp

s

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

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

Return 0.11 0.33 0.37 0.39 0.43 1.15 1.12 0.31 -0.22 -1.24 -1.92 -0.66 -0.21 -0.07

-3

-2

-2

-1

-1

0

1

1

2

Bp

s


€


March 2015 27

Key rate duration and attribution – £ Corporates

Figure 36: Key rate duration at beginning of Feb-14

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

KRD 0.06 0.17 0.25 0.32 0.34 0.36 0.38 0.42 0.41 1.10 1.58 1.16 0.99 0.76

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

Bp

s


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

RF Delta 8.01 17.55 26.29 33.81 39.71 43.73 46.13 47.33 47.71 47.70 47.33 47.04 46.81 46.65

0

10

20

30

40

50

60

Bp

s


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

Return -0.49 -3.07 -6.54 -10.96 -13.55 -15.93 -17.56 -19.98 -19.57 -52.38 -74.85 -54.41 -46.49 -35.44

-80

-70

-60

-50

-40

-30

-20

-10

0

Bp

s


£


March 2015 28

Key rate duration and attribution – $ Corporates

Figure 39: Key rate duration at beginning of Feb-14

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

KRD 0.09 0.25 0.39 0.44 0.42 0.41 0.45 0.48 0.44 0.49 0.55 0.72 0.87 0.57

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

Bp

s


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

RF Delta 9.72 16.68 22.97 28.25 32.17 34.53 35.57 35.65 35.14 34.40 32.34 32.85 35.10 38.20

0

5

10

15

20

25

30

35

40

45

Bp

s


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

Return -0.86 -4.24 -8.98 -12.54 -13.53 -14.04 -15.88 -17.25 -15.59 -16.89 -17.94 -23.60 -30.49 -21.78

-35

-30

-25

-20

-15

-10

-5

0

Bp

s


$


March 2015

29

€ 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


€


March 2015 30

£ 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


£


March 2015 31

$ 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


$


March 2015

32

Relative value opportunities in € Financials

Figure 42: € Financial AA sector curve

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2

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 3.66 68

XS0350890470 GE CAP EUR FUND 23.00 101

XS0935287275 BNZ INTL FUND/LN 3.22 51

XS0385688097 GE CAP EUR FUND 3.87 50

XS0691801327 RABOBANK 3.63 45

Top 5

ISIN Name TTM OAS

DE000A1HG1K6 ALLIANZ FINANCE 13.03 51

XS0288429532 GE CAP EUR FUND 11.98 65

DE000A1RE1W1 DEUTSCHE BOERSE 7.59 54

XS0819759571 SVENSKA HNDLSBKN 7.48 56

XS1189263400 NORDEA BANK AB 9.95 71

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 8.61 329

XS1143974159 MFINANCE FRANCE 6.74 254

XS0491212451 GE CAP TRUST IV 1.55 183

XS0319639232 GEN ELEC CAP CRP 2.54 184

XS1050665386 MFINANCE FRANCE 4.08 193

Top 5

ISIN Name TTM OAS

DE000BHY0A56 BERLIN HYP AG 9.89 54

XS0606704558 BNP PARIBAS 8.05 55

XS0802756683 SOCIETE GENERALE 7.36 56

XS0819130302 BANQ FED CRD MUT 7.48 57

XS1038708522 UNIBAIL-RODAMCO 8.99 60


€


March 2015 33

Figure 44: € Financial BBB sector curve

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

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

XS0840062979 ERSTE GROUP 7.61 419

XS1077629225 VAKIFBANK 4.29 320

XS0955552178 BANCO BRASL 3.40 283

XS0821168423 DELTA LLOYD LEVE 7.49 384

XS1084838496 GARANTI BANKASI 4.35 289

Top 5

ISIN Name TTM OAS

XS1062493934 AON PLC 11.03 111

FR0012448025 GECINA 9.71 103

XS0452314536 ASSICURAZIONI 9.62 122

XS1072516690 PROLOGIS LP 11.08 144

XS1119021357 EXOR SPA 9.68 133

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

Figure 45: € Financial BB sector curve

0

10

20

30

40

50

60

70

0 5 10 15

Yie

ldMaturity

Yield Curve

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

ISIN Name TTM OAS

XS0253262025 RZB FIN JERSEY 1.21 5844

XS0418134663 SANTANDER FINANC 4.04 3470

XS0418134663 SANTANDER FINANC 4.04 3470

XS1001668950 RAIFFEISEN BK IN 4.30 1392

XS1034950672 RAIFFEISEN BK IN 4.98 1249

Top 5

ISIN Name TTM OAS

XS0365303675 INTESA SANPAOLO 1.00 -87

XS0993306603 BPE FINANCIACION 1.21 101

XS0619142937 BANCO POPOLARE 1.24 109

ES03138601O6 BANCO SABADELL 1.42 89

XS0876813600 CERVED TECH 1.00 252


€


March 2015

34

Fixed income market

ETF market activity


March 2015 35

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

Launch date ETF Name Ticker Provider Type

30/01/2015 UBS ETF Barclays Euro Area Liquid Corporates 1-5 Year UCITS HDG (USD) A-acc

CBEU5U UBS ETF - Europe Corporate

30/01/2015 UBS ETF Barclays US Liquid Corporates 1-5 Year UCITS HDG (CHF) A-acc

CBUS5S UBS ETF - Europe Corporate

03/02/2015 iShares Euro Corporate Bond BBB-BB UCITS ETF IEBB iShares - Europe Broad Market

03/02/2015 iShares Euro Corporate Bond BBB-BB UCITS ETF IS06 iShares - Europe Broad Market

Table 26: US fixed income ETF launches

Launch date ETF Name Ticker Provider Type

19/02/2015 AdvisorShares Pacific Asset Enhanced Floating Rate ETF FLRT AdvisorShares Corporate

20/02/2015 Sit Rising Rate ETF RISE ETF Managers Group Commodity Trust

Inflation

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

Feb-15

YTD

Type Europe* USA* Asia* Total

Europe* USA* Asia* Total

Broad Market 221 2,434 6 2,662

299 4,372 (11) 4,661

Sovereigns 1,266 3,428 (46) 4,649

2,759 5,491 52 8,301

Sub-Sovereigns 0 404 0 404

0 1,006 12 1,018

Corporates IG 1,436 2,961 0 4,397

3,172 4,146 0 7,318

Covered 88 7 0 95

101 10 0 111

Convertible 57 (53) 0 4

70 17 0 87

High Yield 1,321 3,788 0 5,109

1,976 5,275 0 7,251

Loans 0 58 0 58

0 5 0 5

Asset Backed 0 54 0 54

0 (39) 0 (39)

CDS 27 (2) 0 25

100 (2) 0 98

Inflation 61 178 0 239

241 251 6 499

Money Market (233) 0 1,647 1,414

(17) 0 1,708 1,691

Preferred Stock 0 510 0 510

0 1,207 0 1,207

Yield-Curve Strategy 0 0 0 0

0 0 0 0

Total 4,244 13,768 1,607 19,619

8,702 21,738 1,767 32,207

* Listing Region Source: Markit ETP Analytics


March 2015 36

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 66,464 62.0%

iShares - US 172,818 50.9%

db x-trackers - Europe 13,216 12.3%

Vanguard - US 72,755 21.4%

Lyxor 7,601 7.1%

SPDR ETFs - US 36,423 10.7%

Source ETF 4,748 4.4%

PowerShares - US 15,779 4.7%

Amundi ETF 4,281 4.0%

PIMCO ETFs 11,880 3.5%

SPDR ETFs - Europe 4,225 3.9%

Guggenheim Funds 6,247 1.8%

Deka ETFs 2,998 2.8%

Market Vectors 5,028 1.5%

ComStage ETFs 1,531 1.4%

ProShares ETFs 4,520 1.3%

UBS ETF - Europe 1,124 1.0%

Charles Schwab 3,014 0.9%

Think Capital 591 0.6%

FlexShares 2,684 0.8%

Others 487 0.5%

Others 8,071 2.4%

Total 107,266 100.0%

Total 339,220 100.0%

Asia

Total

Issuer AUM Share

Issuer AUM Share

Fortune SG China ETFs 4,122 29.3%

BlackRock 239,623 52.0%

SSgA Asia ETFs 3,143 22.3%

Vanguard 72,876 15.8%

Kodex Korea ETFs 1,080 7.7%

State Street 43,808 9.5%

CSOP Hong Kong ETFs 692 4.9%

PowerShares 16,069 3.5%

BetaShares Australia ETFs 588 4.2%

Deutsche Bank 13,363 2.9%

Tiger Korea 455 3.2%

PIMCO 11,880 2.6%

KStar Korea ETFs 431 3.1%

Société Générale 7,601 1.7%

Nikko Singapore ETFs 406 2.9%

Guggenheim Investments 6,247 1.4%

HSBC - Hong Kong 387 2.7%

Van Eck Securities Corporation 5,028 1.1%

KOSEF Korea ETFs 342 2.4%

Source 4,748 1.0%

Others 2,447 17.4%

Others 39,335 8.5%

Total 14,093 100.0%

Total 460,578 100.0%



March 2015 37

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 Feb-15 Flows

YTD Flows

iShares Euro High Yield Corporate Bond UCITS ETF IHYG BlackRock 555 1,009

iShares Euro Corporate Bond UCITS ETF IEAC BlackRock 386 883

iShares $ High Yield Corporate Bond UCITS ETF IHYU BlackRock 371 507

db x-trackers EUR Liquid Corporate 12.5 UCITS ETF 2C X12H Deutsche Bank

295 295

iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF IEMB BlackRock 282 282

db x-trackers II iBoxx EUR Sovereigns Euro Yield Plus UCITS ETF XY4P Deutsche Bank

170 206

iShares Global Corporate Bond EUR Hedged UCITS ETF CRPH BlackRock 157 226

iShares J. P. Morgan $ EM Bond EUR Hedged UCITS ETF EMBE BlackRock 155 162

iShares Euro Aggregate Bond UCITS ETF IEAG BlackRock 146 278

iShares $ Treasury Bond 7-10yr UCITS ETF IDTM BlackRock 117 299

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


YTD Flows

iShares iBoxx $ High Yield Corporate Bond ETF HYG BlackRock 2,338 3,185

iShares Short Treasury Bond ETF SHV BlackRock 2,029 2,327

iShares iBoxx $ Investment Grade Corporate Bond ETF LQD BlackRock 1,666 2,322

SPDR Barclays High Yield Bond ETF JNK State Street 1,282 1,894

First Trust Enhanced Short Maturity ETF FTSM First Trust 783 1,257

iShares 3-7 Year Treasury Bond ETF IEI BlackRock 652 1,210

iShares 20+ Year Treasury Bond ETF TLT BlackRock 488 1,005

iShares U.S. Treasury Bond ETF GOVT BlackRock 466 606

Vanguard Total International Bond Index Fund BNDX Vanguard 416 690

iShares U.S. Preferred Stock ETF PFF BlackRock 315 774



March 2015 38

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 (298) (497)

db x-trackers II Sterling Cash UCITS ETF DXS1 Deutsche Bank

(201) (22)

db x-trackers II Fed Funds Effective Rate UCITS ETF DXSZ Deutsche Bank

(193) 68

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ BlackRock (158) (86)

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF DBXN Deutsche Bank

(96) (73)

PIMCO US Dollar Short Maturity Source UCITS ETF MINT Source (60) (24)

Think iBoxx Government Bond UCITS ETF TGBT ThinkCapital Asset Management

(60) #N/A

Deka iBoxx EUR Liquid Sovereign Diversified 3-5 UCITS ETF EL4T Deka ETFs (54) 0

Amundi ETF Govt Bond EuroMTS Broad Investment Grade 3-5 UCITS ETF C33 Amundi (49) (59)

iShares £ Index-Linked Gilts UCITS ETF INXG BlackRock (40) (133)

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

ETF Name Ticker Issuer

Feb-15 Flows

YTD Flows

WisdomTree Asian Local Debt Fund ALD WisdomTree (202) (211)

PIMCO 1-5 Year US TIPS Index Fund STPZ PIMCO (166) (221)

SPDR Barclays International Treasury Bond ETF BWX State Street (141) (30)

Market Vectors Emerging Markets Local Currency Bond Fund EMLC Van Eck Securities Corporation

(108) 41

ProShares UltraShort 20+ Year Treasury ETF TBT ProShares (90) (102)

Guggenheim BulletShares 2015 High Yield Corporate Bond BSJF Guggenheim Investments (87) (102)

iShares 1-3 Year Treasury Bond ETF SHY BlackRock (68) (119)

SPDR Barclays Short Term International Treasury Bond ETF BWZ State Street (66) 14

Vanguard Extended Duration Treasury ETF EDV Vanguard (48) (2)

Market Vectors High-Yield Municipal Index ETF HYD Van Eck Securities Corporation

(47) 3



March 2015 39

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 6,437 477

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ iShares - Europe Corporate 5,284 206

iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF IEMB iShares - Europe Sovereign 4,024 607

iShares Euro High Yield Corporate Bond UCITS ETF IHYG iShares - Europe High Yield 3,949 1,303

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

2,762 534

iShares Euro Corporate Bond ex-Financials UCITS ETF IEXF iShares - Europe Corporate 2,437 88

iShares $ Treasury Bond 1-3yr UCITS ETF IDBT iShares - Europe Treasury 2,239 322

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

XY4P db x-trackers - Europe

Government 2,174 97

iShares Euro Aggregate Bond UCITS ETF IEAG iShares - Europe Broad Market 2,156 187

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

2,145 289

iShares Emerging Markets Local Government Bond UCITS ETF IEML iShares - Europe Government 1,963 60

Amundi EX AAA Government Bond EuroMTS Investment Grade UCITS ETF

X1G Amundi ETF Government 1,929 128

PIMCO Euro Short Maturity Source UCITS ETF PJS1 Source ETF Broad Market 1,815 29

iShares UK Gilts UCITS ETF IGLT iShares - Europe Government 1,814 327

iShares $ High Yield Corporate Bond UCITS ETF IHYU iShares - Europe High Yield 1,764 368

iShares $ Treasury Bond 7-10yr UCITS ETF IDTM iShares - Europe Treasury 1,631 206

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

Government 1,623 176

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

1,604 30

iShares Euro Government Bond 3-5yr UCITS ETF IBGX iShares - Europe Government 1,536 51

iShares Euro Corporate Bond ex-Financials 1-5yr UCITS ETF IEX5 iShares - Europe Corporate 1,495 19



March 2015 40

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 25,984 1,002

iShares Core U.S. Aggregate Bond ETF AGG iShares - US Broad Market 24,110 1,613

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

22,027 2,805

iShares iBoxx $ High Yield Corporate Bond ETF HYG iShares - US High Yield 17,963 5,370

Vanguard Short-Term Bond ETF BSV Vanguard - US Broad Market 15,913 431

iShares TIPS Bond ETF TIP iShares - US TIPS 12,649 531

iShares U.S. Preferred Stock ETF PFF iShares - US Preferred Stock 12,645 648

SPDR Barclays High Yield Bond ETF JNK SPDR ETFs - US High Yield 11,839 2,088

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

10,941 298

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

9,683 334

iShares 1-3 Year Treasury Bond ETF SHY iShares - US Treasury 8,010 579

iShares 20+ Year Treasury Bond ETF TLT iShares - US Treasury 7,581 18,951

iShares 7-10 Year Treasury Bond ETF IEF iShares - US Treasury 7,522 2,032

iShares MBS ETF MBB iShares - US Agency MBS 6,837 151

iShares Intermediate Credit Bond ETF CIU iShares - US Corporate 6,426 234

PowerShares Senior Loan Portfolio ETF BKLN PowerShares - US

Leveraged Loan 5,719 387

iShares Short Treasury Bond ETF SHV iShares - US Treasury 5,436 1,067

Vanguard Intermediate-Term Bond ETF BIV Vanguard - US Broad Market 5,379 162

iShares 3-7 Year Treasury Bond ETF IEI iShares - US Treasury 5,149 520

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

5,068 175



March 2015 41

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 90 16,009 18.5%

Corporate 61 67,202 77.5%

Inflation 13 3,479 4.0%

Total 164 86,690 100%

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 387

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

ABF Indonesia Bond Index ETF Fund

R-ABFII Bahana Indonesia ETFs

Government

APAC 162

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

ABF Malaysia Bond Index Fund

0800EA AmInvestment Malaysia ETFs

Government

APAC 194

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

ABF Pan Asia Bond Index Fund

2821 SSgA Asia ETFs

Government

APAC 3,143

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

ABF Singapore Bond Index Fund

A35 Nikko Singapore ETFs

Government

APAC 406

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 16

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 109

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 136



X507 ComStage ETFs

Government

Europe 69

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 44


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

X509 ComStage ETFs

Government

Europe 97

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 72



X504 ComStage ETFs

Government

Europe 13



X505 ComStage ETFs

Government

Europe 100

Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified

X500 ComStage ETFs

Government

Europe 86


March 2015 42

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 15

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 151

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 12

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 35

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 103

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 2,174

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 276



XGN5 db x-trackers - Europe

Government

Europe 1



XG71 db x-trackers - Europe

Government

Europe 5

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 26

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 133

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

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

X03G db x-trackers - Europe

Government

Europe 12

Markit iBoxx Japan Sovereign Short Index (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 150

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 122

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 68



DBXR db x-trackers - Europe

Government

Europe 282



DBXB db x-trackers - Europe

Government

Europe 190

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

Markit iBoxx EUR Sovereigns db x-trackers II IBOXX XBAI db x-trackers Governmen Europe 61


March 2015 43

Eurozone AAA Index (EUR, Total Gross Return)

SOVEREIGNS EUROZONE AAA UCITS ETF

- Europe t

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 1,463

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 1,091

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 24

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 112

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 11

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

db x-trackers II IBOXX SPAIN UCITS ETF

XIES db x-trackers - Europe

Government

Europe 15

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 145


Deka iBoxx EUR Liquid Sovereign Diversified 1-10 UCITS ETF

EL4K Deka ETFs Government

Europe 29



EL4L Deka ETFs Government

Europe 103


Deka iBoxx EUR Liquid Sovereign Diversified 10+ UCITS ETF

EL4Q Deka ETFs Government

Europe 35



EL4N Deka ETFs Government

Europe 160



EL4P Deka ETFs Government

Europe 159

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

IBOXX? LIQUID SOVEREIGNS GLOBAL THEAM EASY UCITS ETF

EEIB EasyETF Government

Europe 191

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 79




Government

Europe 136




Government

Europe 51

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 252



EXHG iShares - Europe

Government

Europe 49

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 57



EXHH iShares - Europe

Government

Europe 71


March 2015 44



EXHJ iShares - Europe

Government

Europe 76

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

LYXOR UCITS ETF IBOXX £ GILTS

GILS Lyxor Government

Europe 35

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 347


Think iBoxx Government Bond UCITS ETF

TGBT Think Capital Government

Europe 138


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

SS1EUA UBS ETC - Swiss

Government

Europe 3


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

UEFL UBS ETF - Europe

Government

Europe 134



UEFM UBS ETF - Europe

Government

Europe 4



UEFN UBS ETF - Europe

Government

Europe 10



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 46



X503 ComStage ETFs

Sovereign Europe 13

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 40


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

DBXP db x-trackers - Europe

Sovereign Europe 355


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

X03B db x-trackers - Europe

Sovereign Europe 5


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

DBXQ db x-trackers - Europe

Sovereign Europe 477


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

X03C db x-trackers - Europe

Sovereign Europe 16



EL4M Deka ETFs Sovereign Europe 36

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 142

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)







db x-trackers II iBoxx USD Treasuries 1-3 UCITS ETF

XUT3 db x-trackers - Europe

Treasury Europe 10


March 2015 45

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 31

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 50

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



Treasury Europe 420

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



Treasury Europe 35


LYXOR UCITS ETF IBOXX $ TREASURIES 1-3Y

US13 Lyxor Treasury Europe 118

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 10

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

Amundi ETF Euro Corporate Financials iBoxx UCITS ETF

AFIN Amundi ETF

Corporate Europe 146

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

Amundi ETF Euro Corporates UCITS ETF

CC4 Amundi ETF


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 35

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 23

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 39

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


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 3

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

Deka iBoxx EUR Liquid Corporates Diversified UCITS ETF

EL49 Deka ETFs Corporate Europe 161


March 2015 46

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

iShares £ Corporate Bond 1-5yr UCITS ETF

IS15 iShares - Europe

Corporate Europe 1,086


iShares Euro Corporate Bond Large Cap UCITS ETF

IBXLQ iShares - Europe

Corporate Europe 5,284


LYXOR UCITS ETF EURO CORPORATE BOND - C-EUR

CRP Lyxor Corporate Europe 1,171

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 214


Think iBoxx Corporate Bond UCITS ETF

TCBT Think Capital



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

UEFR UBS ETF - Europe

Corporate Europe 79

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 30



C542 ComStage ETFs

Covered Bond

Europe 7



C543 ComStage ETFs

Covered Bond

Europe 10

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 7

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 85


db x-trackers II iBoxx Germany Covered UCITS ETF

DXSW db x-trackers - Europe

Covered Bond

Europe 200


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

XBCD db x-trackers - Europe

Covered Bond

Europe 2

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 195

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

iShares Euro Covered Bond UCITS ETF

ICOV iShares - Europe

Covered Bond

Europe 1,604

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

iShares Pfandbriefe UCITS ETF (DE)

EXHE iShares - Europe

Covered Bond

Europe 1,141

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 192

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


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

iShares Global High Yield Corporate Bond ETF

GHYG iShares - US


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

iShares iBoxx $ High Yield Corporate Bond ETF

HYG iShares - US

High Yield Americas 17,963


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

XHY iShares - Canada



ProShares Short High Yield ETF SJB ProShares ETFs



ProShares Ultra High Yield ETF UJB ProShares ETFs



March 2015 47


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 161

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


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

iShares $ High Yield Corporate Bond UCITS ETF

IHYU iShares - Europe

High Yield Europe 1,764

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

iShares Euro High Yield Corporate Bond UCITS ETF

IHYG iShares - Europe

High Yield Europe 3,949

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 382

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 38

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

iShares iBoxx $ Investment Grade Corporate Bond ETF

LQD iShares - US

Investment Grade

Americas 22,027

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 57


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

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 298

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 52


iShares $ Corporate Bond UCITS ETF

LQDE iShares - Europe

Investment Grade

Europe 2,762

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 86

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

iShares £ Corporate Bond ex-Financials UCITS ETF

SSXF iShares - Europe

Investment Grade

Europe 463

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 39

Markit iBoxx GBP Liquid Corporates Large Cap (GBP, Liquid Corporates

iShares £ Corporate Bond UCITS ETF

SLXX iShares - Europe

Investment Grade

Europe 2,145


March 2015 48

Large Cap, Total Gross Return)

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 201

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 52

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 6

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

Highland iBoxx Senior Loan ETF SNLN Highland Funds

Leveraged Loan

Americas 318

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 40

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 25

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 8


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

DBXK db x-trackers - Europe

Inflation Europe 231

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 464

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 10

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 51

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 6

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 10


iShares Euro Inflation Link Bond UCITS ETF

CSBILE iShares - Europe

Inflation Europe 45

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 20

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 2,144

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 424



March 2015

49

For further information, please visit www.markit.com

Ivelin Angelov

Assistant VP

Markit Index Research

Tel: +44 20 7064 6207

Email: [email protected]

http://www.markit.com/

Issue 15, March 2015 Data as of February 28th, 2015 USD ......USD and GBP bonds erase gains from...

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Transcript of Issue 15, March 2015 Data as of February 28th, 2015 USD ......USD and GBP bonds erase gains from...