MARKET ATTRIBUTES® FIXED INCOME INDICES FEBRUARY 2014

Key Highlights •

Investment-grade, tax-exempt bonds tracked in the S&P National AMT-Free Municipal Bond Index returned 1.13% in February and were up 3.28% YTD.



Despite the uncertainty surrounding the territory, Puerto Rico General Obligation bonds were up 11.57% YTD in anticipation of a USD 2.8 billion deal planned for March. In February, yields came down by 76 bps and the weighted average yield of bonds in the S&P Municipal Bond Puerto Rico General Obligation Index ended at 7.37%, pushing returns to 7.95% for the month.



The S&P/BGCantor Current 10 Year U.S. Treasury Index returned 0.39% for the month and 3.94% YTD.



Returning only 0.05% for the month and 0.67% YTD, the S&P/LSTA U.S. Leveraged Loan 100 Index seemed to be experiencing investor fatigue after consistent returns from 2011 through January 2014.



In February, floating-rate preferreds returned 2.03%, outperforming fixed-rate preferreds (1.72%) by 31 bps. The third coupon structure within this index was the variable rate coupon, which returned 1.39% for the month.



The S&P U.S. Issued Investment Grade Corporate Bond Index closed out with a return of 0.91% MTD and 2.86% YTD. The February return pales in comparison to the 1.92% return for the S&P U.S. Issued High Yield Corporate Bond Index, as the search for yield continues into 2014.

Exhibit 1: Index Performance Index

Total Return (%)

Annualized Return (%)

1-Month

YTD

1-Year

3-Year

5-Year

S&P/BGCantor U.S. Treasury Bond

0.16

1.26

-0.50

2.73

2.68

S&P/BGCantor U.S. Treasury 7 - 10 Year Bond

0.46

3.45

-2.55

5.27

4.80

S&P National AMT-Free Municipal Bond

1.13

3.28

-1.15

5.20

5.31

S&P High Yield Municipal Bond

2.27

5.23

-0.63

9.41

12.01

S&P U.S. Issued Investment Grade Corporate Bond

0.91

2.86

1.33

5.67

8.85

Dow Jones U.S. Corporate Bond

1.12

2.78

1.27

6.41

9.40

S&P U.S. Issued High Yield Corporate Bond

1.92

2.70

7.63

8.42

18.17

S&P/LSTA U.S. Leveraged Loan 100

0.05

0.67

4.37

4.51

12.47

S&P U.S. Preferred Stock

2.24

4.98

2.71

6.13

23.84

S&P Eurozone Government Bond 0.73 3.06 5.82 6.21 4.82 Source: S&P Dow Jones Indices. Data as of Feb. 28, 2014. Tables and graphs are provided for illustrative purposes only. Indices are unmanaged statistical composites and their returns do not include payment of any sales charges or fees an investor would pay to purchase the securities the index represents. Such costs would lower performance. It is not possible to invest directly in an index. Past performance is not an indication of future results. This table may reflect hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

Contributors: Kevin Horan, Fixed Income Indices, Director [email protected] J.R. Rieger, Fixed Income Indices, Vice President [email protected]

Market Snapshot

U.S.Dow Treasury & Agency S&P Jones Indices’ MarketBonds Attributes® series provides market commentary highlighting developments across various asset classes.

MARKET ATTRIBUTES | FIXED INCOME INDICES

February 2014

The U.S. Treasury curve was relatively unchanged between the start and end of February. Longer-duration indices outperformed those with shorter durations because the expected rate increases have not yet materialized. Though tapering was in progress, on average, rates in February remained up until the last few days of the month. The international news of Ukraine’s political unrest, which led to Russian involvement in the region, contributed to moving yields lower. The S&P/BGCantor Current 10 Year U.S. Treasury Index returned 0.39% for the month and 3.94% YTD.

U.S. Municipal Bonds Despite the uncertainty surrounding the territory, Puerto Rico General Obligation bonds were up 11.57% YTD in anticipation of a USD 2.8 billion deal planned for March. In February, yields decreased by 76 bps as the weighted average yield of bonds in the S&P Municipal Bond Puerto Rico General Obligation Index ended at 7.37%, pushing returns to 7.95% MTD. High-yield municipal bonds tracked in the S&P Municipal Bond High Yield Index returned 2.27% for February and 5.23% YTD. Both Puerto Rico and the tobacco settlement sector have been contributing to the positive, highyield municipal performance in 2014. Investment-grade, tax-exempt bonds tracked in the S&P National AMT-Free Municipal Bond Index returned 1.13% in February and were up 3.28% YTD.

U.S. Corporate Bonds The S&P U.S. Issued Investment Grade Corporate Bond Index had a positive last week of the month with a return of 0.69%, the highest weekly return of the month, and the index closed out with a return of 0.91% MTD and 2.86% YTD. The index’s February return pales in comparison to the S&P U.S. Issued High Yield Corporate Bond Index’s 1.92%, and the search for yield continues into 2014. The only down day in February for the S&P U.S. Issued High Yield Corporate Bond Index was Feb. 4, when the return was 1.92% MTD. Year-to-date, it returned 2.70%.

U.S. Senior Loans Senior loans, as measured by the S&P/LSTA U.S. Leveraged Loan 100 Index, sat on the sidelines for the month of February, unlike high-yield debt. Returning only 0.05% MTD and 0.67%YTD, this index seemed to be experiencing investor fatigue after consistent returns from 2011 through January 2014. New issue loan deals were going well and seasoned issuers continued to be able to raise money, although yields continued to drift higher.

U.S. Preferreds The S&P U.S. Preferred Stock Index is off to a good start, returning 2.68% for January and now 1.68% for February, and the index has returned 4.1% YTD. In February, floating-rate preferreds returned 2.03%, outperforming the 1.72% return for fixed-rate preferreds by 31 bps. The third coupon structure within this index was the variable-rate coupons, which returned 1.39% for the month.

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MARKET ATTRIBUTES | FIXED INCOME INDICES

February 2014

Performance Recap Exhibit 2: Asset Class Yields – Feb. 28, 2014

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of Feb. 28, 2014. Taxable Equivalent Yield based on 35% tax rate. Charts and graphs are provided for illustrative purposes. Past performance is no guarantee of future results.

Exhibit 3: Market Returns for February 2014 Index

Total Return (%)

Annualized Return (%)

1-Month

3-Month

YTD

1-Year

3-Year

5-Year

S&P U.S. Commercial Paper

0.01

0.05

0.03

0.22

0.29

0.35

S&P U.S. Commercial Paper Financials

0.02

0.06

0.04

0.23

0.31

0.36

S&P U.S. Commercial Paper Non-Financials

0.01

0.05

0.03

0.19

0.25

0.30

S&P National AMT-Free Municipal VRDO

0.00

0.02

0.01

0.11

0.20

na

S&P National AMT-Free Municipal Bond

1.13

2.84

3.28

-1.15

5.20

5.31

S&P California AMT-Free Municipal Bond

1.32

3.54

3.76

0.70

6.45

6.04

S&P New York AMT-Free Municipal Bond

1.06

2.85

3.09

-0.23

5.35

5.36

S&P Short Term National AMT-Free Municipal Bond

0.33

0.60

0.64

1.08

1.76

2.17

S&P Short Term California AMT-Free Municipal Bond

0.32

0.60

0.63

1.37

1.90

na

S&P Short Term New York AMT-Free Municipal Bond

0.34

0.59

0.67

1.12

1.76

na

S&P 1-5 Year National AMT-Free Municipal Bond

0.39

0.73

0.78

1.27

2.13

2.55

S&P Intermediate Term National AMT-Free Municipal Bond

0.98

2.33

2.60

0.02

4.39

4.60

S&P Municipal Bond

1.26

3.09

3.40

-0.27

5.81

6.00

S&P Investment Grade Municipal Bond

1.20

2.97

3.29

-0.25

5.59

5.73

S&P High Yield Municipal Bond

2.27

5.00

5.23

-0.63

9.41

12.01

Money Market

U.S. Municipal Bond (Investment Grade, Tax Exempt Only)

U.S. Municipal Bond (Broad Market, Tax Exempt, and AMT)

S&P Municipal Yield 2.17 4.48 4.96 -1.21 8.65 10.31 Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of Feb. 28, 2014. Tables and graphs are provided for illustrative purposes. This chart may reflect hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

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MARKET ATTRIBUTES | FIXED INCOME INDICES

February 2014

Exhibit 3: Market Returns for February 2014 (cont.) Index

Total Return (%)

Annualized Return (%)

1-Month

3-Month

YTD

1-Year

3-Year

5-Year

S&P/LSTA U.S. Leveraged Loan 100

0.05

1.10

0.67

4.37

4.51

12.47

S&P/LSTA Leveraged Loan (LLI)

0.18

1.30

0.83

4.83

4.75

12.54

S&P U.S. Issued Investment Grade Corporate Bond

0.91

2.66

2.86

1.33

5.67

8.85

Dow Jones Equal Weight U.S. Issued Corporate Bond

1.12

2.72

2.78

1.27

6.41

9.40

S&P U.S. Issued High Yield Corporate Bond

1.92

3.18

2.70

7.63

8.42

18.17

S&P U.S. Covered Bond

0.26

0.55

0.85

1.54

na

na

S&P/BGCantor U.S. Treasury Bill

0.00

0.02

0.01

0.09

0.10

0.16

S&P U.S. Floating Rate Treasury

-0.03

na

na

na

na

na

S&P/BGCantor U.S. Treasury Bond

0.16

0.52

1.26

-0.50

2.73

2.68

S&P/BGCantor U.S. Treasury 1-3 Year Bond

0.08

0.12

0.26

0.63

0.83

1.27

S&P/BGCantor U.S. Treasury 3-5 Year Bond

0.17

0.10

1.08

0.12

2.52

2.94

S&P/BGCantor U.S. Treasury 5-7 Year Bond

0.21

0.41

2.17

-1.49

3.88

3.97

S&P/BGCantor U.S. Treasury 7-10 Year Bond

0.46

1.37

3.45

-2.55

5.27

4.80

S&P/BGCantor U.S. Treasury 10-20 Year Bond

0.57

2.69

4.77

-2.99

6.57

5.74

S&P/BGCantor U.S. Treasury 20+ Year Bond

0.61

4.96

7.42

-5.52

8.79

5.22

S&P U.S. Agency

0.14

-0.22

0.76

-0.85

2.68

3.28

S&P 1-3 Year U.S. Agency

0.04

0.12

0.22

0.57

1.00

1.93

S&P 3-5 Year U.S. Agency

0.25

0.23

0.90

0.39

2.52

3.13

S&P 5-7 Year U.S. Agency

0.42

0.74

2.09

-0.74

4.14

4.52

S&P 7-10 Year U.S. Agency

0.78

1.82

3.67

-3.48

5.78

5.72

S&P 10+ Year U.S. Agency

0.41

3.13

4.98

-5.06

7.13

6.28

S&P Balanced Equity and Bond - Conservative

1.48

1.91

2.81

3.97

7.67

9.39

S&P Balanced Equity and Bond - Moderate

2.50

2.44

2.18

10.80

9.95

13.89

S&P Balanced Equity and Bond - Growth

3.53

2.98

1.56

17.93

12.11

18.30

S&P 500 TR

4.57

3.51

0.96

25.37

13.94

22.59

S&P High Yield Dividend Aristocrats

3.74

2.50

0.68

20.61

14.62

23.55

S&P U.S. Preferred Stock

2.24

3.86

4.98

2.71

6.13

23.84

S&P Enhanced Yield North American Preferred

1.40

2.56

2.85

6.40

7.09

25.68

S&P/Citigroup International Treasury Bond Ex-U.S.1-3 Year

2.03

1.48

1.24

1.80

-0.89

2.81

S&P/Citigroup International Treasury Bond Ex-U.S.

2.26

2.75

3.20

4.16

2.63

5.27

2.54

2.32

2.09

8.81

6.75

10.00

Leveraged Loan

U.S. Corporate Bond

U.S. Treasury

U.S. Agency

U.S. Balanced Equity and Bond

Equity

Global – Treasury

Global – Corporate S&P International Corporate Bond Global – Senior Loan S&P Global Leveraged Loan 0.68 1.61 0.86 7.25 5.31 12.83 Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of Feb. 28, 2014. Tables and graphs are provided for illustrative purposes. This chart may reflect hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

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MARKET ATTRIBUTES | FIXED INCOME INDICES

February 2014

Exhibit 3: Market Returns for February 2014 (cont.) Index

Total Return (%)

Annualized Return (%)

1-Month

3-Month

YTD

1-Year

3-Year

5-Year

S&P Eurozone Government Bond

0.73

2.45

3.06

5.82

6.21

4.82

S&P Eurozone Government Bond 1-3 Years

0.15

0.58

0.66

2.45

2.50

2.20

S&P Eurozone Government Bond 3-5 Years

0.33

1.32

1.73

4.25

4.85

3.93

S&P Eurozone Government Bond 5-7 Years

0.66

2.30

3.03

6.31

6.76

5.16

S&P Eurozone Government Bond 7-10 Years

0.97

2.85

3.92

6.89

7.81

5.65

S&P Eurozone Government Bond 10+ Years

1.43

4.84

5.73

8.92

9.32

7.23

S&P Government Bond

0.61

0.64

1.44

1.78

3.02

2.78

S&P Corporate Bond

0.72

0.91

0.84

3.40

4.91

4.56

S&P Interbank Bond

1.31

1.73

2.10

0.53

3.12

2.22

S&P Composite Bond

0.96

1.03

1.31

1.84

3.44

2.63

S&P Convertible Bond

0.57

-2.96

-0.51

-7.94

-2.17

2.58

Regional – Eurozone

Regional – China Onshore

Offshore S&P/DB ORBIT Index

0.27

0.61

0.18

2.97

2.04

na

S&P/DB ORBIT Index (USD)

-1.18

0.00

-0.90

4.58

4.40

na

S&P/DB ORBIT Index (HKD)

-1.25

0.11

-0.82

4.64

4.26

na

S&P/DB ORBIT Sovereign and Quasi-Sovereign Index

0.33

0.72

0.32

1.40

0.73

na

S&P/DB ORBIT Sovereign and Quasi-Sovereign Index (USD)

-1.12

0.11

-0.77

2.99

3.06

na

S&P/DB ORBIT Sovereign and Quasi-Sovereign Index (HKD)

-1.19

0.22

-0.69

3.05

2.92

na

0.24

0.55

0.10

3.96

2.89

na

S&P/DB ORBIT Credit Index (USD)

-1.22

-0.06

-0.98

5.59

5.26

na

S&P/DB ORBIT Credit Index (HKD)

-1.28

0.04

-0.90

5.65

5.12

na

S&P/ASX Australian Fixed Interest

0.34

2.05

1.49

3.05

7.03

5.87

S&P/ASX Government Bond

0.28

2.05

1.45

2.44

6.87

5.49

S&P/ASX Australian Government Bond

0.20

1.86

1.41

1.44

6.37

4.71

S&P/ASX State Government Bond

0.40

2.30

1.52

3.74

7.54

6.40

S&P/DB ORBIT Credit Index

Regional – Australia

S&P/ASX Corporate Bond 0.54 2.00 1.50 5.39 8.17 7.80 Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of Feb. 28, 2014. Tables and graphs are provided for illustrative purposes. This chart may reflect hypothetical historical performance. Please see the Performance Disclosures at the end of this document for more information regarding the inherent limitations associated with back-tested performance.

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MARKET ATTRIBUTES | FIXED INCOME INDICES

February 2014

PERFORMANCE DISCLOSURES The S&P/BGCantor U.S. Treasury Indices were launched on March 24, 2010. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P U.S. Preferred Index was launched on September 15, 2006. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P National AMT-Free Municipal Bond Index, the S&P California AMT-Free Municipal Bond Index and the S&P New York AMT-Free Municipal Bond Index were launched on August 31, 2007. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P Short Term AMT-Free Municipal Bond Index was launched on August 29, 2008. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P Short Term California AMT-Free Municipal Bond Index and the S&P Short Term New York AMT-Free Municipal Bond Index were launched on April 2, 2012. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P 1-5 Year National AMT-Free Municipal Bond Index and the S&P Intermediate Term National AMT-Free Municipal Bond Index were launched on July 19, 2010. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P/ISDA CDS International Developed Nation Sovereign Index and the S&P/ISDA CDS Eurozone Developed Nation Sovereign Index were launched on October 25, 2010. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P Municipal Yield Index was launched on September 7, 2010. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P AMT-Free Municipal Series 2020 Index was launched on March 31, 2011. All information presented prior to the Launch Date is back-tested. The backtest calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P U.S. Issued Investment Grade Corporate Bond Index was launched on April 9, 2013. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The Dow Jones Equal Weight U.S. Issued Corporate Bond Index was launched on November 30, 2006. All information presented prior to the Launch Date is backtested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P U.S. Issued High Yield Corporate Bond Index was launched on April 9, 2013. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P/LSTA U.S. Leveraged Loan 100 Index was launched on October 20, 2008. All information presented prior to the Launch Date is back-tested. The backtest calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P/LSTA Leveraged Loan Index was launched on August 20, 2001. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P Balanced Equity and Bond Index Series was launched on February 10, 2011. All information presented prior to the Launch Date is back-tested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P/Citigroup International Treasury Bond Ex-U.S. Indices were launched on November 3, 2008. All information presented prior to the Launch Date is backtested. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P Eurozone Government Bond Indices were launched on November 16, 2009. All information presented prior to the Launch Date is back-tested. The backtest calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. The S&P International Corporate Bond Index was launched on May 21, 2010. All information presented prior to the Launch Date is back-tested. The back-test calculations for the period from Jan 1, 2010 to May 21, 2010 are based on the same methodology that was in effect when the index was officially launched. The back-test calculations for all data prior to Jan 1, 2010 are fully explained in the index methodology document. Complete index methodology details are available at www.spdji.com. Past performance is not an indication of future results. Prospective application of the methodology used to construct the indices may not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the index. Please refer to the methodology paper for the index, available at www.standardandpoors.com for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations. It is not possible to invest directly in an Index. Also, another limitation of hypothetical information is that generally the index is prepared with the benefit of hindsight. Back-tested data reflect the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities (or fixed income, or commodities) markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance. The index returns shown do not represent the results of actual trading of investor assets. Standard & Poor’s maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual and back-tested performance to be lower than the performance shown. In a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US$ 10,000) and an actual assetbased fee of 1.5% were imposed at the end of the period on the investment plus accrued interest (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200).

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MARKET ATTRIBUTES | FIXED INCOME INDICES

February 2014

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