for professional clients/qualified investors/sophisticated investors only Fixed Income Index Guide 2015

Transcription

1 for professional clients/qualified investors/sophisticated investors only Fixed Income Index Guide 2015

2 Contents page Chapter 1: Introduction 3 Benchmark coverage overview 4 Chapter 2: Index methodologies 7 Barclays 10 BofA Merrill Lynch 44 Citi 54 Deutsche Bank 62 eb.rexx 68 ftse 72 J.P. Morgan 80 Markit Markit iboxx bond indices 90 Markit credit default swaps indices 128 Morningstar 136 SIX Swiss Exchange 142 Chapter 3: Index comparisons and correlations 146 Broad market benchmarks 148 Government bond benchmarks 149 Inflation-linked government bond benchmarks 158 Corporate and covered bond benchmarks investment grade 160 Corporate bond benchmarks high yield 165 Emerging market benchmarks 169 Chapter 4: Appendix 174 Glossary 175 Authors 177 [2] Fixed Fixed Income Income Index Index Guide Guide Fixed Income Index Guide [1]

3 Introduction Chapter 1 Index investing has seen unprecedented growth in the last decade. Exchange traded products (ETPs) are now one of the most popular vehicles by which investors can access indexed strategies. Exchange traded funds (ETFs) represent the largest category of ETPs saw the strongest flows ever into fixed income ETFs, globally across all providers. Their popularity is set to continue in 2015 and beyond, given their advantages of liquidity, diversification and ease of trading. However, navigating and comparing the universe of fixed income ETFs requires an understanding of hundreds of funds and the indices they track, which can be both challenging and time consuming. Introduction As well as the investment vehicle (product) selected, a key decision investors need to make is choosing the right benchmark that best meets their investment objectives. As the world s largest ETF provider 1, BlackRock has produced this guide to fixed income indices to help investors and advisers in reaching this decision. In the following sections, we analyse and compare the most commonly used fixed income indices tracked by the main fixed income ETFs in Europe and selectively in the US. Most of the indices in this guide are cash bond indices, although we have also included some credit default swap (CDS) indices given their importance in fixed income asset management. Who should read this guide? This guide provides a source of reference for those selecting a fund, seeking a fund that closely matches a chosen benchmark, or who want to understand the differences between the indices tracked by various ETFs. It does not claim to be exhaustive and neither does it represent a recommendation for any particular indices. What should one look for in an index? Actively-managed funds measure their performance and generation of alpha against a benchmark. Benchmark indices are equally important for ETFs since they reflect the funds exposure to markets, investment style, risk/return, transparency and liquidity. BlackRock carefully considers index selection throughout the product development and enhancement process. We assess the main criteria, putting greater or lesser emphasis on a particular methodology depending on the type of asset class. For this reason, we have added extra notes in Chapter 3, Index comparisons and correlations, to highlight, from an ETF provider s viewpoint, the features we believe are most important for investors to consider when comparing and selecting indices. This guide provides: An overview of the various index families (categorised by provider) An outline of index methodologies and key metrics A comparison of similar indices by asset class across various index providers 1 BlackRock has over 700 ETFs globally with more than $1trn in assets under management as of 31 December [2] Fixed Income Index Guide Fixed Income Index Guide [3]

4 Indices covered in this guide Broad market/ Aggregate Government Inflationlinked Corporate Investment Grade Corporate High Yield Securitised Emerging Markets Credit Default Swaps Currency hedged Interest rate hedged Barclays P P P P P P P P P BofA Merrill Lynch P P P P P Citi P P Deutsche Bank P P P P eb.rexx FTSE P P J.P.Morgan P P P P P Markit P P P P P P P P Morningstar P P SIX Swiss Exchange P P [4] Fixed Income Index Guide Fixed Income Index Guide [5]

5 Index methodologies Chapter 2 Terminology In order to provide a comprehensive guide that allows for comparison between different indices and index providers we have harmonised some of the wording in the index methodologies. A glossary is included in the appendix explaining the most important technical terms mentioned within the guide. Index methodologies Performance numbers and key figures This index guide contains data from the end of February 2010 to February We have used the last business day if month-end falls on a holiday or a weekend (e.g. we take data as at Friday 26 February 2010 rather than Sunday 28 February 2010). The guide uses index statistics taken as at 27 February 2015, prior to monthly rebalance. Both volatility and correlations are calculated based on historical These returns are based on our own calculations, which may differ slightly from how index providers publish data. However, in order to make comparison between indices and index providers possible, we have decided to show one consistent metric for indices from all providers. February 2015 constituent data is used for yield, duration, number of constituents and market capitalisation. Yield and duration numbers are shown as described below. Number of constituents is a simple count of bonds in each index. is the sum of each bond s total amount (market value) outstanding. BlackRock s own calculation methodology is used for key figures to ensure comparability between indices as index providers can have different ways of calculating these figures. Yield and duration measures In this index guide we have shown important index figures along with a description of each index methodology. We have focused on performance, volatility, correlation, yield and duration as these are arguably the most important figures for investors to compare. In practice, comparing the yield and duration of various indices and products can present difficulties. There are a number of ways to calculate both measures, depending on how one accounts for the optionality of bonds for example, or whether yield is weighted by simple bond weight in index or also by duration. In this guide, we have decided to show yield to maturity and modified duration based on our own calculations for the various indices. This might differ from how the index providers themselves publish this data although, to make comparisons possible, we show one consistent metric for these indices from all providers. Here is how the various measures are defined and calculated: Yield to maturity (as shown throughout this index guide) the anticipated rate of return of a bond if it is bought at its current price and held until maturity. It is therefore a forward looking figure. For fixed income indices, the yield to maturity is calculated as the average of the underlying bonds yields to maturity weighted by the bonds weight in the index. It takes into account both the return received from coupon payments and the return from the price appreciation or depreciation of the bonds in the index. [6] Fixed Income Index Guide Fixed Income Index Guide [7]

6 Yield to worst yield to worst is calculated in the same manner as yield to maturity but it also takes into account the optionality of bonds. It calculates the yield to the call date and the yield to maturity and uses the lower (worse) one of the two. It is therefore a more conservative measure than yield to maturity. For bond indices without callable bonds (for example, developed market government bonds), the two measures will be the same. Modified duration (as shown throughout this index guide) duration is a measure of interest rate risk. It measures the approximate change in a bond s price for a 1% change in its yield. } } Modified duration (option adjusted) this duration measure is calculated in the same manner as modified duration but takes into account the optionality of bonds. It uses a bond s call date as the maturity date. Further, this measure adjusts the duration of floating-rate notes, accounting for the fact that their reset period is typically significantly lower than their maturity. This measure is therefore lower than modified duration for indices that include bonds with optionality or floating-rate notes. [8] Fixed Income Index Guide Fixed Income Index Guide [9]

7 Barclays index family Distinctive features One of the most widely-used benchmark families for ETFs globally Broad family of fixed income indices, including: aggregate, government, corporate, securitised, high yield, emerging markets, inflation, convertibles Leading range of inflation-linked bond indices Broad range of customised indices including interest rate hedged and issuer constrained indices Barclays index family Barclays index coverage sorted by index family Index exposure Page Aggregate 15 Barclays Global Aggregate aggregate 15 Barclays Global Aggregate Corporate corporate Investment Grade 16 Barclays Global Aggregate Corporate ( Hedged) Corporate Investment Grade 16 Barclays Global Aggregate Corporate ( Hedged) Corporate Investment Grade 16 Barclays Euro Aggregate aggregate 16 Barclays Euro Aggregate, 500 MM Minimum aggregate 17 Barclays Euro Aggregate 1-3 Years Index aggregate 17 Barclays Euro Aggregate 1-3 Years, 500 MM Minimum aggregate 17 Barclays Euro Aggregate Treasury Bond index Government 17 Barclays Euro Short Treasury (0-12 Months) Government 18 Barclays Euro Aggregate Treasury Bond 1-3 Years Index Government 18 Barclays Austria Treasury Government 18 Barclays Belgium Treasury Government 18 Barclays Finland Treasury Government 19 Barclays France Treasury Government 19 Barclays Germany Treasury Government 19 Barclays Italy Treasury Government 19 Barclays Netherlands Treasury Government 20 Barclays Spain Treasury Government 20 Barclays Euro Aggregate Index ex Treasury Index credit 20 Barclays Euro Aggregate Corporate corporate Investment Grade 20 Barclays Euro Aggregate Corporates 500MM corporate Investment Grade 21 Barclays Euro Aggregate Corporate Bond Interest Rate Hedged Index Corporate Investment Grade 21 Barclays Euro Aggregate Corporate 1-5 Years corporate Investment Grade 21 Barclays Euro Aggregate Corporate Financials Index corporate Investment Grade 21 Barclays Euro Aggregate Corporate ex-financials corporate Investment Grade 22 Barclays Euro Aggregate Corporate ex Financials 1-5 Years Corporate Investment Grade 22 Barclays Euro Aggregate Covered Bonds 3% Capped Index covered 22 Barclays Pan-European Aggregate Index aggregate 22 Barclays Pan-European Aggregate Corporate Index corporate Investment Grade 23 Barclays Sterling Gilt Index Government 23 Barclays Sterling Gilt 1-5 Years Index Government 23 Barclays Sterling Aggregate Corporate corporate Investment Grade 23 Barclays Sterling Aggregate Corporate 1-5 Years corporate Investment Grade 24 Barclays US Aggregate aggregate 24 Barclays US 7-10 Year Treasury Government 24 Barclays US 20+ Year Treasury Government 24 Barclays US Aggregate Corporate corporate Investment Grade 25 Barclays US Aggregate Corporate 1-5yr corporate Investment Grade 25 Barclays Global Government AAA-AA Capped Government 26 Overview: Barclays US Credit Bond Indices credit 27 Barclays US 1-3 Year Credit credit 27 Barclays US Intermediate Credit credit 28 [10] Fixed Income Index Guide Fixed Income Index Guide [11]

8 Index exposure Page Aggregate (continued) Barclays Global High Yield corporate High Yield 29 Barclays Euro High Yield corporate High Yield 29 Barclays US High Yield corporate High Yield 30 Government bond term indices 31 Overview: Barclays Euro Government Term Indices 31 Barclays Euro Government Bond 1-3 Year Term Index Government 31 Barclays Euro Government Bond 5 Year Term Index Government 31 Barclays Euro Government Bond 5-7 Year Term Index Government 32 Barclays Euro Government Bond 10 Year Term Index Government 32 Barclays Euro Government Bond Year Term Index Government 32 Barclays Euro Government Bond 30 Year Term Index Government 32 Overview: Barclays Government Term Indices 33 Barclays US Treasury 1-3 Year Term Index Government 33 Barclays US Treasury 3-7 Year Term Index Government 33 Barclays US Treasury 10 Year Term Index Government 34 Inflation-linked indices 35 Barclays World Government Inflation-Linked inflation-linked 35 Barclays Euro Government Inflation-Linked inflation-linked 35 Barclays US Government Inflation-Linked inflation-linked 36 Barclays UK Government Inflation-Linked inflation-linked 36 Emerging Markets indices 37 Barclays Emerging Markets Hard Currency Aggregate Emerging Markets 37 Barclays Emerging Markets Local Currency Government Emerging Markets 38 Barclays Emerging Markets Local Currency Core Gross Government emerging Markets 39 Barclays Emerging Markets Local Currency Core Net Government emerging Markets 40 Barclays Emerging Markets Local Currency Liquid Government Index Emerging Markets 41 Barclays Emerging Markets Asia Local Currency Government Country Capped Index emerging Markets 42 Barclays index methodologies are described in detail in the following section of this guide. Important common features such as rating or pricing methodology are covered in this introduction. For more information, please see Barclays index products website: index.barcap.com/home/guides_and_factsheets methodology Barclays indices use the middle-ranked 1 rating of Moody s, S&P and Fitch ratings. Where ratings are available from only two agencies, the lower is used. Where only one agency rates a bond, that rating is used. Pricing methodology Prices used for Exposure index calculation Price source Timing Aggregate Bid prices Exceptions: The initial price for new Combination of: Barclays trader prices Model/matrix pricing for North American currency bonds: 3:00pm, New York Pan European currency bonds: 4:15pm, London CHF-denominated securities: 4:00pm, London corporate issues entering less liquid bonds Asian currency bonds: at each local market close the index is the offer side; Third-party pricing JPY-denominated securities: 3:00pm, Tokyo after the first month, the Exchanges (CHF-denominated bid price is used If the last business day of the month is a public bonds only) holiday, prices from the previous business day Japanese, euro and Curve-based pricing are used sterling government (Pfandbriefe) bonds use mid prices Government term indices Mid prices Barclays trader prices Spot and forward foreign Local market close Spot and forward foreign exchange rates: exchange rates are sourced from WM Company Inflation-linked Mid prices Combination of: Corporate Bid prices Exceptions: New corporate issues entering the index are priced on the offer side, and are priced at bid thereafter Barclays market maker prices (euro government, US, UK, Australian, Swedish, and Japanese linkers) RBC Dominion (Canadian linkers) Spot and forward foreign exchange rates are sourced from WM Company Combination of: Barclays trader prices Third-party pricing Securitised Bid prices Combination of: Barclays trader prices Third-party pricing Emerging markets (hard currency) Emerging markets (local currency) Bid prices Bid prices Combination of: Barclays trader prices Third-party pricing Combination of: Barclays trader prices Third-party pricing (IDC, Reuters and other local pricing providers) 4:00pm, London If the last business day of the month is a public holiday, prices from the previous business day are used Local market close Spot and forward foreign exchange rates: 4:00pm, London Index is calculated daily and has a price for each business day North American currency bonds: 3:00pm, New York Pan European currency bonds: 4:15pm, London CHF-denominated securities: 4:00pm, London Asian currency bonds: at each local market close JPY-denominated securities: 3:00pm, Tokyo If the last business day of the month is a public holiday, prices from the previous business day are used North American currency bonds: 3:00pm, New York Pan European currency bonds: 4:15pm, London CHF-denominated securities: 4:00pm, London Asian currency bonds: at each local market close JPY-denominated securities: 3:00pm, Tokyo If the last business day of the month is a public holiday, prices from the previous business day are used North American currency bonds: 3:00pm, New York European currency bonds: 4.15pm, London If the last business day of the month is a public holiday, prices from the previous business day are used LATAM: 3:00pm, New York EMEA: 4:15pm, London Asia: local market close On early market closes: 1:00pm, New York (unless otherwise noted) If the last business day of the month is a public holiday, prices from the previous business day are used 1 Middle-ranked means that the ratings are put into order from best to worst and the median rating is used. Hypothetical example: if a bond is rated AAA by S&P, A by Moody s and A by Fitch, Barclays take the middle rating; A, not the numerical average that would be AA. [12] Fixed Income Index Guide Fixed Income Index Guide [13]

9 Currency hedging methodology The Barclays FX hedging methodology uses rolling one-month forward contracts that are reset at the end of each month. Any bond in the index that is not denominated in the reporting currency is hedged into the reporting currency. No adjustments are made to the hedge during the month to account for price movements of constituent securities. Total performance figures for currency hedged indices take account of the cost of hedges as implied by forward rates (interest rate differentials). However, published yield to maturity figures do not take hedges into account and are based solely on the long bond positions in the index. Interest rate hedging methodology Changes in government bond yield curves have been a dominant driver of total returns in recent years. To allow investors to track standard indices independently of such government bond movements, without having to alter the broad coverage and diversification of their investments, Barclays offers indices that remove the duration (interest rate) element of their fixed income benchmarks. It achieves this by combining a cash index with a short index, a mirror futures index (MFI) that reduces the government bond duration exposure of the cash index in full or in part. The MFI is a basket of government bond futures contracts weighted to match the option-adjusted duration (OAD) of a Barclays index at the start of the month. For example, the Barclays Euro Aggregate Corporate Bond Interest Rate Hedged Index will include a number of German government bond futures contracts weighted to match the OAD profile and market value of the Barclays Euro Aggregate Corporate. Through the use of futures, the duration can be reduced to zero or any other chosen level at the end of each month. The MFI futures basket is rebalanced monthly, just like the underlying cash bond index. The yield figures published for the interest rate-hedged index take the hedge into account and as a result are lower than those of the unhedged index when the benchmark yield curve is in positive territory. Barclays Global Aggregate The Barclays Global Aggregate is a flagship index that measures investment grade debt from 24 local currency markets around the world. This multi-currency benchmark includes fixed-rate government, governmentrelated, corporate and securitised bonds from both developed and emerging market issuers. To be included, bonds must be publicly issued in both global and regional markets. ``Senior and subordinated bonds ``Bullet, puttable, sinkable/amortising and callable bonds ``Original issue zero-coupon and underwritten medium-term notes ``Enhanced equipment trust certificates ``Certificates of deposit ``Fixed-rate and fixed-to-floating-rate (including fixed-to-variable) bonds ``Loan participation notes (as at 1 April 2013) ``RUB and TRY denominated bonds (as at 1 April 2014) ``US agency CMBS (as at 1 July 2014) ``Bonds with equity-type features (e.g. warrants, convertibles, contingent capital securities) ``Private placements ``Floating-rate issues ``Retail bonds ``Fixed-rate perpetual bonds Investment grade (Baa3/BBB or higher) Minimum remaining time to maturity of one year Minimum amount outstanding per bond differs per currency: ``300m: AUD, CAD, CHF,, (excluding MBS) ``100bn: CLP ``10bn: CZK, MXN, THB ``2bn: DKK, HKD, ILS, MYR, NOK, PLN, TRY 1, ZAR ``200m: GBP ``35bn: JPY ``500bn: KRW ``500m: NZD, SGD ``20bn: RUB* ``2.5bn: SEK ``1bn: MBS pass-throughs (as at 1 April 2014) Bonds are moved monthly and added on the last day of the month, with the rebalancing taking effect from the first day of the following month. Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Barclays Global Aggregate LEGATRUU Number of constituents 16,315 bonds (billion) 43,129 1 year performance 2.79% 3 year performance 0.38% 5 year performance 12.31% Volatility over 3 years 3.90% Volatility over 5 years 4.79% Yield to maturity 1.44% Duration 6.52% 1 included as at April Prior to April 2013, non-g4 minimums were set by pegging each index-eligible currency to $300m (Americas), 300m (EMEA), or 35bn (Asia) currency equivalents at the start of each year using FX rates as at the previous November month-end. [14] Fixed Income Index Guide Fixed Income Index Guide [15]

10 Barclays Global Aggregate Corporate Subset of the Barclays Global Aggregate Only includes corporate bonds Barclays Global Aggregate Corporate LGCPTRUU Number of constituents 8,918 bonds (billion) 7,564 1 year performance 0.45% 3 year performance 10.13% 5 year performance 26.63% Volatility over 3 years 4.19% Volatility over 5 years 5.70% Yield to maturity 2.40% Duration 6.94% Barclays Global Aggregate Corporate ( Hedged) Subset of the Barclays Global Aggregate Corporate Bond Index Hedges all currencies inherent in the parent index into euro Barclays Global Aggregate Corporate ( Hedged) LGCPTREH Number of constituents 8,918 bonds (billion) 7,564 1 year performance 6.97% 3 year performance 17.15% 5 year performance 33.74% Volatility over 3 years 3.49% Volatility over 5 years 3.68% Yield to maturity 2.40% Duration 6.94% Barclays Global Aggregate Corporate ( Hedged) Subset of the Barclays Global Aggregate Corporate Bond Index Hedges all currencies inherent in the parent index into US dollar Barclays Global Aggregate Corporate ( Hedged) LGCPTRUH Number of constituents 8,918 bonds (billion) 7,564 1 year performance 6.95% 3 year performance 17.54% 5 year performance 33.92% Volatility over 3 years 3.44% Volatility over 5 years 3.64% Yield to maturity 2.39% Duration 6.83% Barclays Euro Aggregate Subset of the Barclays Global Aggregate Measures the euro-denominated part Barclays Euro Aggregate LBEATREU Number of constituents 3,421 bonds (billion) 9,630 1 year performance 11.03% 3 year performance 24.69% 5 year performance 33.82% Volatility over 3 years 2.79% Volatility over 5 years 3.58% Yield to maturity 0.55% Duration 6.64% Barclays Euro Aggregate, 500 MM Minimum Subset of the Barclays Euro Aggregate Requires a minimum amount outstanding per bond of 500 million Barclays Euro Aggregate, 500 MM Minimum LBE5 Number of constituents 3,207 bonds (billion) 9,570 1 year performance 11.04% 3 year performance 24.69% 5 year performance 33.83% Volatility over 3 years 2.79% Volatility over 5 years 3.60% Yield to maturity 0.49% Duration 6.32% Barclays Euro Aggregate 1-3 Years Index Subset of the Barclays Euro Aggregate Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 3 years Barclays Euro Aggregate 1-3 Years Index LE13 Number of constituents 908 bonds (billion) 2,256 1 year performance 1.65% 3 year performance 7.13% 5 year performance 12.70% Volatility over 3 years 0.82% Volatility over 5 years 1.29% Yield to maturity 0.11% Duration 2.04% Barclays Euro Aggregate 1-3 Years, 500 MM Minimum Subset of the Barclays Euro Aggregate Requires a minimum amount outstanding per bond of 500 million Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 3 years Barclays Euro Aggregate 1-3 Years, 500 MM Minimum L513 Number of constituents 844 bonds (billion) 2,230 1 year performance 1.64% 3 year performance 7.06% 5 year performance 12.61% Volatility over 3 years 0.82% Volatility over 5 years 1.30% Yield to maturity 0.10% Duration 2.03% Barclays Euro Aggregate Treasury Bond index Subset of the Barclays Euro Aggregate Measures the euro government bond market Barclays Euro Aggregate Treasury Bond index LEATTREU Number of constituents 321 bonds (billion) 5,768 1 year performance 13.30% 3 year performance 27.55% 5 year performance 35.90% Volatility over 3 years 3.26% Volatility over 5 years 4.38% Yield to maturity 0.55% Duration 7.27% [16] Fixed Income Index Guide Fixed Income Index Guide [17]

11 Barclays Euro Short Treasury (0-12 Months) Subset of the Barclays Euro Aggregate Treasury Bond Index Barclays Austria Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Barclays Finland Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Barclays Germany Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Minimum time to maturity of 1 year at issuance Barclays Euro Short Treasury (0-12 Months) LA09TREU Number of constituents 32 bonds (billion) year performance 0.36% 3 year performance 1.74% 5 year performance 4.57% Volatility over 3 years 0.19% Volatility over 5 years 0.41% Yield to maturity 0.03% Duration 0.49% Barclays Euro Aggregate Treasury Bond 1-3 Years Index Subset of the Barclays Euro Aggregate Treasury Bond Index Minimum remaining time to maturity of 1 year Maximum remaining time to maturity up to (but not including) 3 years Includes only Austrian government bonds publicly issued in the domestic market Barclays Austria Treasury LTATTREU Number of constituents 20 bonds (billion) year performance 12.81% 3 year performance 24.71% 5 year performance 39.02% Volatility over 3 years 4.48% Volatility over 5 years 5.12% Yield to maturity 0.27% Duration 7.92% Barclays Belgium Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Includes only Belgian government bonds publicly issued in the domestic market Includes only Finnish government bonds publicly issued in the domestic market Barclays Finland Treasury LETFTREU Number of constituents 14 bonds (billion) 86 1 year performance 10.04% 3 year performance 17.21% 5 year performance 30.98% Volatility over 3 years 3.97% Volatility over 5 years 4.12% Yield to maturity 0.15% Duration 6.46% Barclays France Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Includes only French government bonds publicly issued in the domestic market Includes only German government bonds publicly issued in the domestic market Barclays Germany Treasury LETGTREU Number of constituents 55 bonds (billion) 1,083 1 year performance 10.14% 3 year performance 14.72% 5 year performance 30.92% Volatility over 3 years 4.11% Volatility over 5 years 4.63% Yield to maturity 0.15% Duration 7.48% Barclays Italy Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Includes only Italian government bonds publicly issued in the domestic market Barclays Euro Aggregate Treasury Bond 1-3 Years Index LET1TREU Number of constituents 79 bonds (billion) 1,215 1 year performance 1.48% 3 year performance 6.19% 5 year performance 10.82% Volatility over 3 years 0.93% Volatility over 5 years 1.62% Yield to maturity 0.09% Duration 1.83% Barclays Belgium Treasury LBTTTREU Number of constituents 23 bonds (billion) year performance 15.25% 3 year performance 31.91% 5 year performance 42.28% Volatility over 3 years 4.59% Volatility over 5 years 5.97% Yield to maturity 0.40% Duration 8.07% Barclays France Treasury LTFRTREU Number of constituents 42 bonds (billion) 1,355 1 year performance 12.52% 3 year performance 23.73% 5 year performance 35.56% Volatility over 3 years 4.71% Volatility over 5 years 4.93% Yield to maturity 0.38% Duration 7.68% Barclays Italy Treasury LTITTREU Number of constituents 59 bonds (billion) 1,391 1 year performance 15.92% 3 year performance 40.05% 5 year performance 44.23% Volatility over 3 years 5.59% Volatility over 5 years 7.62% Yield to maturity 1.02% Duration 6.85% [18] Fixed Income Index Guide Fixed Income Index Guide [19]

12 Barclays Netherlands Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Barclays Euro Aggregate Index ex Treasury Index Subset of the Barclays Euro Aggregate Barclays Euro Aggregate Corporates 500 MM Subset of the Barclays Euro Aggregate Corporate Bond Index Barclays Euro Aggregate Corporate 1-5 Years Subset of the Barclays Euro Aggregate Corporate Bond Index Includes only Dutch government bonds publicly issued in the domestic market Barclays Netherlands Treasury LETNTREU Number of constituents 23 bonds (billion) year performance 11.66% 3 year performance 17.69% 5 year performance 33.67% Volatility over 3 years 4.74% Volatility over 5 years 4.93% Yield to maturity 0.21% Duration 7.41% Barclays Spain Treasury Subset of the Barclays Euro Aggregate Treasury Bond Index Includes only Spanish government bonds publicly issued in the domestic markets Barclays Spain Treasury LETSTREU Number of constituents 33 bonds (billion) year performance 15.35% 3 year performance 36.92% 5 year performance 42.52% Volatility over 3 years 6.04% Volatility over 5 years 7.70% Yield to maturity 0.95% Duration 6.75% Excludes government bonds Barclays Euro Aggregate Index ex Treasury Index LF85TREU Number of constituents 3,100 bonds (billion) 3,862 1 year performance 7.81% 3 year performance 20.62% 5 year performance 30.60% Volatility over 3 years 2.38% Volatility over 5 years 2.95% Yield to maturity 0.55% Duration 5.53% Barclays Euro Aggregate Corporate Subset of the Barclays Euro Aggregate Measures the euro-denominated corporate bond market Barclays Euro Aggregate Corporate LECPTREU Number of constituents 1,554 bonds (billion) 1,476 1 year performance 7.94% 3 year performance 22.07% 5 year performance 33.07% Volatility over 3 years 2.54% Volatility over 5 years 3.61% Yield to maturity 0.83% Duration 6.25% Requires a minimum amount outstanding per bond of 500 million Barclays Euro Aggregate Corporates 500 MM LE5C Number of constituents 1,411 bonds (billion) 1,419 1 year performance 7.94% 3 year performance 21.99% 5 year performance 33.09% Volatility over 3 years 2.56% Volatility over 5 years 3.65% Yield to maturity 0.79% Duration 6.03% Barclays Euro Aggregate Corporate Bond Interest Rate Hedged Index Subset of the Barclays Euro Aggregate Corporate Bond Index Includes short positions in German government bond futures to reduce the duration to zero (monthly rebalancing of hedge) Barclays Euro Aggregate Corporate Bond Interest Rate Hedged Index BRDHTREU Number of constituents 1,554 bonds (billion) 1,476 1 year performance 1.45% 3 year performance 11.30% 5 year performance 10.75% Volatility over 3 years 2.01% Volatility over 5 years 3.68% Yield to maturity 0.59% Duration 0.02% Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 5 years Barclays Euro Aggregate Corporate 1-5 Years LEC4TREU Number of constituents 772 bonds (billion) year performance 3.61% 3 year performance 13.93% 5 year performance 22.58% Volatility over 3 years 1.58% Volatility over 5 years 2.35% Yield to maturity 0.52% Duration 3.77% Barclays Euro Aggregate Corporate Financials Index Subset of the Barclays Euro Aggregate Corporate Bond Index Includes only corporate bonds issued by financial institutions Barclays Euro Aggregate Corporate Financials Index LEEFTREU Number of constituents 629 bonds (billion) year performance 7.32% 3 year performance 24.38% 5 year performance 34.04% Volatility over 3 years 2.59% Volatility over 5 years 4.59% Yield to maturity 0.90% Duration 5.82% [20] Fixed Income Index Guide Fixed Income Index Guide [21]

13 Barclays Euro Aggregate Corporate ex-financials Subset of the Barclays Euro Aggregate Corporate Bond Index Excludes corporate bonds issued by financial institutions Barclays Euro Aggregate Corporate ex-financials LECFTREU Number of constituents 925 bonds (bill ion) year performance 8.49% 3 year performance 19.94% 5 year performance 32.51% Volatility over 3 years 2.78% Volatility over 5 years 3.06% Yield to maturity 0.77% Duration 6.60% Barclays Euro Aggregate Corporate ex Financials 1-5 Years Subset of the Barclays Euro Aggregate Corporate Bond Index Excludes corporate bonds issued by financial institutions Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 5 years Barclays Euro Aggregate Corporate ex Financials 1-5 Years LECXTREU Number of constituents 416 bonds (billion) year performance 3.52% 3 year performance 11.36% 5 year performance 20.80% Volatility over 3 years 1.52% Volatility over 5 years 1.75% Yield to maturity 0.47% Barclays Euro Aggregate Covered Bonds 3% Capped Index Subset of the Barclays Euro Aggregate Measures the euro-denominated covered bond market Caps the weight of each issuer at 3% of the index value Barclays Euro Aggregate Covered Bonds 3% Capped Index BEA3TREU Number of constituents 654 bonds (billion) year performance 6.70% Not available 3 year performance index inception in January 2013 Yield to maturity 0.26% Duration 4.57% Barclays Pan-European Aggregate Index Subset of the Barclays Global Aggregate Includes only bonds issued in a European currency (Czech koruna, Danish krone, euro, Hungarian forint, Norwegian krone, Polish zloty, Russian rouble, Slovakian koruna, Slovenian tolar, Swedish krona, Swiss franc and sterling) Barclays Pan-European Aggregate Index LP06TREU Number of constituents 5,031 bonds (billion) 14,373 1 year performance 7.67% 3 year performance 5.56% 5 year performance 15.16% Volatility over 3 years 7.46% Volatility over 5 years 9.78% Yield to maturity 0.84% Duration 7.18% Barclays Pan-European Aggregate Corporate Index Subset of the Barclays Pan-European Aggregate Index Measures the pan-european corporate bond market Barclays Pan-European Aggregate Corporate Index LP05TREU Number of constituents 2,353 bonds (billion) 2,008 1 year performance 12.40% 3 year performance 27.97% 5 year performance 43.99% Volatility over 3 years 3.78% Volatility over 5 years 4.46% Yield to maturity 1.31% Duration 6.80% Barclays Sterling Gilt Index Subset of the Barclays Sterling Aggregate Index which is part of the Barclays Pan-European Aggregate Index Only includes UK government bonds Barclays Sterling Gilt Index GBP LSG1TRGU Number of constituents 37 bonds (billion) 1,192 1 year performance 12.33% 3 year performance 14.27% 5 year performance 41.57% Volatility over 3 years 6.70% Volatility over 5 years 6.35% Yield to maturity 1.76% Duration 10.49% Barclays Sterling Gilt 1-5 Years Index Subset of the Barclays Sterling Gilt Index Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 5 years Barclays Sterling Gilt 1-5 Years Index GBP LF56TRGU Number of constituents 9 bonds (billion) year performance 2.68% 3 year performance 3.52% 5 year performance 12.63% Volatility over 3 years 1.57% Volatility over 5 years 1.62% Yield to maturity 0.87% Duration 2.93% Barclays Sterling Aggregate Corporate Subset of the Barclays Sterling Aggregate Index which is part of the Barclays Pan-European Aggregate Index Measures the sterling-denominated corporate bond market Barclays Sterling Aggregate Corporate GBP LC61TRGU Number of constituents 679 bonds (billion) year performance 12.18% 3 year performance 29.97% 5 year performance 52.92% Volatility over 3 years 6.23% Volatility over 5 years 6.20% Yield to maturity 2.96% Duration 9.39% Duration 3.89% [22] Fixed Income Index Guide Fixed Income Index Guide [23]

14 Barclays Sterling Aggregate Corporate 1-5 Years Subset of the Barclays Sterling Aggregate Corporate Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 5 years Index does include longer dated, callable bonds with call dates within the 5 year time frame. This results in modified duration being higher than 5% (as the figure ignores optionality). If adjusting for optionality, the index duration changes to 2.86% Barclays Sterling Aggregate Corporate 1-5 Years GBP LF68MAT Number of constituents 204 bonds (billion) 88 1 year performance 4.51% 3 year performance 16.28% 5 year performance 27.75% Volatility over 3 years 2.10% Volatility over 5 years 2.51% Yield to maturity 2.13% Duration 5.12% Barclays US Aggregate Subset of the Barclays Global Aggregate Measures the US dollar-denominated part Barclays US Aggregate LBUSTRUU Number of constituents 9,115 bonds (billion) 17,857 1 year performance 5.34% 3 year performance 9.00% 5 year performance 24.97% Volatility over 3 years 3.10% Volatility over 5 years 2.98% Yield to maturity 2.01% Duration 5.61% Barclays US 7-10 Year Treasury Subset of the Barclays US Aggregate Only includes government bonds issued by the US Treasury Minimum remaining time to maturity of 7 years Maximum remaining time to maturity of up to (but not including) 10 years Barclays US 7-10 Year Treasury LT09TRUU Number of constituents 17 bonds (billion) year performance 7.34% 3 year performance 8.48% 5 year performance 33.32% Volatility over 3 years 5.62% Volatility over 5 years 6.05% Yield to maturity 1.94% Duration 7.78% Barclays US 20+ Year Treasury Subset of the Barclays US Aggregate Only includes government bonds issued by the US Treasury Minimum remaining time to maturity of 20 years Barclays US 20+ Year Treasury LT11TRUU Number of constituents 29 bonds (billion) year performance 28.14% 3 year performance 24.53% 5 year performance 89.64% Volatility over 3 years 15.28% Volatility over 5 years 17.49% Yield to maturity 2.56% Duration 18.18% Barclays US Aggregate Corporate Subset of the Barclays US Aggregate Measures the US dollar-denominated corporate bond market Barclays US Aggregate Corporate LUACTRUU Number of constituents 5,221 bonds (billion) 4,218 1 year performance 6.54% 3 year performance 14.98% 5 year performance 36.97% Volatility over 3 years 4.29% Volatility over 5 years 4.29% Yield to maturity 2.94% Duration 7.28% Barclays US Aggregate Corporate 1-5yr Subset of the Barclays US Aggregate Corporate Bond Index Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of up to (but not including) 5 years Barclays US Aggregate Corporate 1-5yr BUC1TRUU Number of constituents 1,933 bonds (billion) 1,601 1 year performance 1.93% 3 year performance 8.45% 5 year performance 19.11% Volatility over 3 years 1.59% Volatility over 5 years 1.98% Yield to maturity 1.76% Duration 2.96% [24] Fixed Income Index Guide Fixed Income Index Guide [25]

15 Barclays Global Government AAA-AA Capped The Barclays Global Government AAA-AA Capped Bond Index represents the government bond sector of the Barclays Global Aggregate Index. The index includes fixed-rate local currency government debt of countries that are rated as high income by the World Bank and that are rated AA3 or above. ``Fixed-rate coupon bonds ``Puttable and callable bonds ``Soft bullets ``Original issue zero-coupon and underwritten bonds ``Medium-term notes ``Strips ``Inflation-linked bonds ``Privately placed Japanese government bonds ``Floating-rate issues ``Securities with an index rating of BAA and below AA3/AA or higher (Local currency government bonds are classified using the middle issuer level rating from each agency) Minimum remaining time to maturity of 1 year Minimum amount outstanding per bond differs per currency: ``300m: CAD,, ``200m: GBP ``35bn: JPY For bonds in other eligible countries, minimum amount outstanding is based on an exchange rate that is reset in November annually. Maximum weight ``20% country cap for countries with AAA credit rating ``10% country cap for countries with AA credit rating ``Excess market value over a country s cap redistributed on a pro rata basis to all other countries bonds in the index that are under each country s ratings-specific cap Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Barclays Global Government AAA-AA Capped BGGATRUU Number of constituents 611 bonds (billion) 13,292 1 year performance 5.25% 3 year performance 0.40% 5 year performance 12.08% Volatility over 3 years 5.05% Volatility over 5 years 5.69% Yield to maturity 0.80% Duration 7.40% Overview: Barclays US Credit Bond Indices The Barclays US Credit is a subset of the Barclays US Aggregate that measures the performance of investment grade, US dollar-denominated, fixed-rate, taxable, corporate and government-related bond markets. It is comprised of the US corporate index and a non-corporate bond component that includes foreign agencies, governments, supranationals and local authorities. Note: The index was called the Barclays US Corporate Index until July ``Bullet, puttable, sinkable/amortising and callable bonds ``Taxable municipal securities, including Build America Bonds (BAB) ``Original issue zero-coupon and underwritten medium-term notes ``Enhanced equipment trust certificates ``Certificates of deposit ``Fixed-rate and fixed-to-floating-rate (including fixed-to-variable) bonds ``Debt from developed and emerging markets issuers ``Contingent capital securities that convert into equity or are written down based on explicit capital ratio/viability triggers ``Bonds with equity type features (e.g. warrants, convertibles, preferred bonds, and DRD/QDI-eligible issues) ``Tax-exempt municipal securities ``Inflation-linked bonds ``Floating-rate issues ``Private placements ``Retail bonds Minimum remaining time to maturity of 1 year Minimum amount outstanding per bond is $250 million Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Barclays US 1-3 Year Credit Subset of the Barclays US Credit Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of 3 years Barclays US 1-3 Year Credit LD01TRUU Number of constituents 1,179 bonds (billion) 1,137 1 year performance 1.10% 3 year performance 5.43% 5 year performance 11.95% Volatility over 3 years 0.76% ` `$25/$50 par bonds ``Structured notes ``Pass-through certificates ``Illiquid securities with no available internal or third-party pricing source Volatility over 5 years 1.05% Yield to maturity 1.26% Duration 2.19% Investment grade (Baa3/BBB or higher) [26] Fixed Income Index Guide Fixed Income Index Guide [27]

16 Barclays US Intermediate Credit Subset of the Barclays US Credit Minimum remaining time to maturity of 1 year Maximum remaining time to maturity of 10 years Barclays US Intermediate Credit LUICTRUU Number of constituents 4,063 bonds (billion) 3,655 1 year performance 3.72% 3 year performance 10.95% 5 year performance 26.79% Volatility over 3 years 2.68% Volatility over 5 years 2.95% Yield to maturity 2.24% Duration 4.29% Barclays Global High Yield The Barclays Global High Yield provides a broad-based measure of the global high yield fixed income markets. The Barclays Global High Yield represents the US high yield, pan-european high yield, US emerging markets high yield, and pan-european emerging markets high yield universe. ``Corporate bonds ``Bullet, puttable and callable bonds ``Rule 144A offerings ``Original issue zero-coupon bonds ``Pay-in-kind bonds ``Fixed-rate and fixed-to-floating bonds ``US certificates of deposit ``Non-corporate bonds ``Bonds with equity features attached (e.g. warrants, convertibles, preferred bonds, and DRD/QDI-eligible issues) ``Eurobonds ``Defaulted bonds ``Private placements ``Floating-rate bonds ``Inflation-linked bonds ``CHF-denominated bonds High yield (Ba1/BB+ or lower) Minimum remaining time to maturity of 1 year Minimum amount outstanding per bond differs per currency: ``100m: (or equivalent) for pan-european high yield securities ``150m: for US high yield securities ``500m: / (or equivalent) for emerging markets securities For emerging markets securities there is a minimum issuer size: / (or equivalent) 1 billion Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Barclays Global High Yield LG30TRUU Number of constituents 3,399 bonds (billion) 2,275 1 year performance 0.84% 3 year performance 21.52% 5 year performance 52.75% Volatility over 3 years 5.65% Volatility over 5 years 7.95% Yield to maturity 6.49% Duration 4.07% Barclays Euro High Yield Subset of Barclays Global High Yield Includes only euro-denominated bonds Barclays Euro High Yield LP02 Number of constituents 515 bonds (billion) year performance 6.57% 3 year performance 37.91% 5 year performance 63.64% Volatility over 3 years 4.12% Volatility over 5 years 8.54% Yield to maturity 3.71% Duration 3.84% [28] Fixed Income Index Guide Fixed Income Index Guide [29]

17 Barclays US High Yield Subset of Barclays Global High Yield Includes only US dollar-denominated bonds Includes sinking funds, amortising bonds Excludes emerging markets bonds and contingent capital securities (COCOs) Barclays US High Yield LF98TRUU Number of constituents 2,238 bonds (billion) 1,374 1 year performance 2.80% 3 year performance 24.59% 5 year performance 56.57% Volatility over 3 years 4.35% Volatility over 5 years 6.34% Yield to maturity 6.38% Duration 4.05% Overview: Barclays Euro Government Term Indices The Barclays Euro Government Term index family includes only bonds which are near to their original term, rather than selecting all bonds in a maturity range. The indices have similar yield, duration and risk/return characteristics to standard maturity based indices but are more compact and more liquid. Term indices have two main distinctive bond inclusion criteria, namely: original term and calculated life or remaining life to maturity. The indices include the major issuers from the eurozone and eligible countries are France, Germany, Italy, the Netherlands and Spain. ``Fixed-rate coupon bonds ``Bullet maturity bonds ``Callable bonds ``Inflation-linked bonds ``Zero-coupon bonds Investment grade (Baa3/BBB or higher) (Local currency government bonds are classified using the middle issuer level rating from each agency) Differs per individual index. In the event that there are not a sufficient number of eligible bonds, the maximum term of the index will be extended until six bonds are included. Minimum amount outstanding per bond is 2 billion Bonds are moved monthly and added on the last day of the month, with the rebalancing taking effect from the first day of the following month Maximum weight 30% per bond on rebalancing date Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between the rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Barclays Euro Government Bond 1-3 Year Term Index Part of the Barclays Euro Government Term index family Original maturity term between 1.5 and 3.75 years Minimum remaining time to maturity of up to (and including) 1 year Maximum remaining time to maturity of up to (but not including) 3 years Barclays Euro Government Bond 1-3 Year Term Index BCEX6T Number of constituents 12 bonds (billion) year performance 1.81% 3 year performance 8.80% 5 year performance 14.06% Volatility over 3 years 1.54% Volatility over 5 years 1.95% Yield to maturity 0.09% Duration 1.83% Barclays Euro Government Bond 5 Year Term Index Part of the Barclays Euro Government Term index family Original maturity term between 4.5 and 6 years Minimum remaining time to maturity of up to (and including) 3 years Maximum remaining time to maturity of up to (but not including) 5 years Barclays Euro Government Bond 5 Year Term Index BCEX2T Number of constituents 20 bonds (billion) year performance 5.30% 3 year performance 14.74% 5 year performance 24.16% Volatility over 3 years 1.96% Volatility over 5 years 2.89% Yield to maturity 0.13% Duration 3.89% [30] Fixed Income Index Guide Fixed Income Index Guide [31]

18 Barclays Euro Government Bond 5-7 Year Term Index Part of the Barclays Euro Government Term index family Original maturity term between 5.5 and 11 years Minimum remaining time to maturity of up to (and including) 5 years Maximum remaining time to maturity of up to (but not including) 7 years Barclays Euro Government Bond 5-7 Year Term Index BXIIET57 Barclays Euro Government Bond Year Term Index Part of the Barclays Euro Government Term index family Minimum remaining time to maturity of up to (and including) 10 years Maximum remaining time to maturity of up to (and including) 15 years Index does not have an original term to maturity requirement Barclays Euro Government Bond Year Term Index BXIIET15 Overview: Barclays Treasury Term Indices The Barclays Treasury Term index family only include bonds near to their original term, rather than selecting all bonds in a maturity range. The indices have similar yield, duration and risk/return characteristics to standard maturity based indices but are more compact and more liquid. Term indices have two main distinctive bond inclusion criteria, namely: original term and calculated life or remaining life to maturity. The indices only include government bonds issued by the US Treasury. ``Fixed-rate coupon bonds Barclays US Treasury 1-3 Year Term Index Part of the Barclays US Treasury Term index family Original maturity term between 1.5 and 3.75 years Minimum remaining time to maturity of up to (and including) 1 year Maximum remaining time to maturity of up to (but not including) 3 years Barclays US Treasury 1-3 Year Term Index BCEY6T Number of constituents 21 Number of constituents 21 ``Bullet maturity bonds Number of constituents 35 bonds (billion) year performance 7.96% 3 year performance 16.46% 5 year performance 30.21% bonds (billion) year performance 23.99% 3 year performance 49.60% 5 year performance 61.26% ``Callable bonds ``Inflation-linked bonds ``Zero-coupon bonds bonds (billion) 1,036 1 year performance 0.59% 3 year performance 1.67% 5 year performance 4.85% Volatility over 3 years 3.03% Volatility over 5 years 3.76% Yield to maturity 0.40% Duration 5.49% Volatility over 3 years 5.49% Volatility over 5 years 6.72% Yield to maturity 1.15% Duration 9.91% Investment grade (Baa3/BBB or higher) (Local currency government bonds are classified using the middle issuer level rating from each agency) Volatility over 3 years 0.50% Volatility over 5 years 0.64% Yield to maturity 0.57% Duration 1.79% Barclays Euro Government Bond 10 Year Term Index Part of the Barclays Euro Government Term index family Original maturity term between 9.75 and 11 years Minimum remaining time to maturity of up to (and including) 7 years Maximum remaining time to maturity of up to (but not including) 10 years Barclays Euro Government Bond 10 Year Term Index Barclays Euro Government Bond 30 Year Term Index Part of the Barclays Euro Government Term index family Original maturity term between 19 and 33 years Minimum remaining time to maturity of up to (and including) 15 years Maximum remaining time to maturity of up to (but not including) 30 years Barclays Euro Government Bond 30 Year Term Index Differs per individual index. In the event that there are not a sufficient number of eligible bonds, the maximum term of the index will be extended until six bonds are included. Minimum amount outstanding per bond of $5 billion Bonds are moved monthly and added on the last day of the month, with the rebalancing taking effect from the first day of the following month Barclays US Treasury 3-7 Year Term Index Part of the Barclays US Treasury Term index family Original maturity term between 4.5 and 11 years Minimum remaining time to maturity of up to (and including) 3 years Maximum remaining time to maturity of up to (but not including) 7 years Barclays US Treasury 3-7 Year Term Index BCEX4T Number of constituents 27 bonds (billion) year performance 14.67% 3 year performance 29.70% 5 year performance 49.03% Volatility over 3 years 4.66% Volatility over 5 years 5.06% Yield to maturity 0.63% BCEX1T Number of constituents 25 bonds (billion) year performance 35.11% 3 year performance 60.38% 5 year performance 79.76% Volatility over 3 years 8.51% Volatility over 5 years 9.19% Yield to maturity 1.44% Maximum weight 30% per bond on rebalancing date Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between the rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. BCEY7T Number of constituents 84 bonds (billion) 3,209 1 year performance 2.73% 3 year performance 4.28% 5 year performance 17.89% Volatility over 3 years 2.85% Volatility over 5 years 3.20% Yield to maturity 1.59% Duration 7.66% Duration 15.71% Duration 4.53% [32] Fixed Income Index Guide Fixed Income Index Guide [33]

19 Barclays US Treasury 10 Year Term Index Part of the Barclays US Treasury Term index family Original maturity term between 9.75 and 11 years Minimum remaining time to maturity of up to (and including) 7 years Maximum remaining time to maturity of up to (but not including) 10 years Barclays US Treasury 10 Year Term Index BCEY4T Number of constituents 12 bonds (billion) year performance 7.17% 3 year performance 8.26% 5 year performance 32.91% Volatility over 3 years 5.58% Volatility over 5 years 6.03% Yield to maturity 1.92% Duration 7.72% Barclays World Government Inflation-Linked The Barclays World Government Inflation-Linked Bond Index measures the performance of the major government inflation-linked bond markets. Built bottom up from a selection of country/currency indices based on rating, size and investability. Only includes government domestic inflation-linked debt issued in domestic currency of that country. ``Capital-indexed and linked to a commonly used domestic inflation index ``Bonds linked to domestic inflation indices and the EMU HICP in euro area ``Minimum aggregate issuance of $4 billion ``An issue that is not available in whole or part to international investors Investment grade (Baa3/BBB or higher) Until 31 March 2015 the minimum rating criteria was A3/A. Effective on March 31st 2015 the minimum credit rating for the index was lowered to Baa3/BBB-. As a result bonds from Italy and Spain entered the index on 1 April Minimum remaining time to maturity of 1 year Minimum amount outstanding per bond differs per currency: ``700m: AUD ``600m: CAD ``5bn: DKK ``500m:, ``300m: GBP ``50bn: JPY ``1bn: NZD ``4bn: SEK Income received during the month is held as cash until the month-end rebalancing, at which point it is reinvested back into the index. Barclays World Government Inflation-Linked BCIW1T Number of constituents 114 bonds (billion) 2,331 1 year performance 8.62% 3 year performance 8.95% 5 year performance 30.64% Volatility over 3 years 5.38% Volatility over 5 years 4.73% Yield to maturity 1.60% Duration 12.25% Please note that the yield figures shown in this guide are nominal yields as opposed to real yields. Barclays Euro Government Inflation-Linked Subset of the Barclays World Government Inflation Linked Only includes issues from an EMU member government Barclays Euro Government Inflation-Linked BEIG1T Number of constituents 19 bonds (billion) year performance 7.62% 3 year performance 8.85% 5 year performance 16.68% Volatility over 3 years 4.23% Volatility over 5 years 5.80% Yield to maturity 0.25% Duration 7.48% : Please note that the yield figures shown in this guide are nominal yields as opposed to real yields [34] Fixed Income Index Guide Fixed Income Index Guide [35]

20 Barclays US Government Inflation-Linked Subset of the Barclays World Government Inflation-Linked Only includes issues from the US government, denominated in US dollar that pay coupon and principal in US dollar Barclays US Government Inflation-Linked BCIT1T Number of constituents 35 bonds (billion) 1,087 1 year performance 3.72% 3 year performance 1.64% 5 year performance 25.13% Volatility over 3 years 5.76% Volatility over 5 years 5.73% Yield to maturity 1.75% Duration 8.60% Please note that the yield figures shown in this guide are nominal yields as opposed to real yields Barclays UK Government Inflation-Linked Subset of the Barclays World Government Inflation-Linked Only includes issues from the UK government that have been issued in sterling Barclays UK Government Inflation-Linked GBP BCIU1T Number of constituents 24 bonds (billion) year performance 15.98% 3 year performance 20.64% 5 year performance 56.27% Volatility over 3 years 8.67% Volatility over 5 years 8.14% Yield to maturity 2.14% Duration 20.17% Please note that the yield figures shown in this guide are nominal yields as opposed to real yields Barclays Emerging Markets Hard Currency Aggregate The Barclays Emerging Markets Hard Currency Aggregate is a flagship hard currency emerging market debt benchmark that includes euro, sterling and US dollardenominated debt from government, quasi-government and corporate emerging markets issuers. The index was previously called Barclays Global EM Index. ``Principal and coupon denominated in euro, sterling or US dollar ``Hard currency debt from government, agency 1 (government owned, government guaranteed and government sponsored entities), local authority and corporate issuers ``Issuer defined as an emerging market under Barclays EM definition 2 ``US dollar-denominated bonds: fixed or floating-rate coupon structures ``Euro or sterling-denominated bonds: only fixed-rate coupon structures ``Eurobonds, Loan Participation Notes, International Sukuk bonds, global and local issues ``Warrants ``Defaulted bonds Investment grade, high yield and unrated securities are permitted. Unrated bonds may use an implied issuer rating when not rated by a credit rating agency (Moody s, S&P, and Fitch). Minimum remaining time to maturity of 1 year Minimum amount outstanding per bond differs per currency: ``500m:, ``350m: GBP Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Barclays Emerging Markets Hard Currency Aggregate BEHSTRUU Number of constituents 328 bonds (billion) year performance 6.79% 3 year performance 15.99% 5 year performance 46.27% Volatility over 3 years 7.16% Volatility over 5 years 7.07% Yield to maturity 5.44% Duration 7.43% [36] Fixed Income Index Guide Fixed Income Index Guide [37]