MARKET ATTRIBUTES® FIXED INCOME INDICES JANUARY 2014

Key Highlights 

Treasury yields have remained lower for the start of 2014 despite tapering.



Bonds issued by Puerto Rico, currently rated at the lowest investment-grade rating by Moody’s, S&P Ratings Services and Fitch could slip further to below-investment-grade.



The S&P/LSTA U.S. Leveraged Loan 100 Index experienced similar performance to the S&P U.S. Issued High Yield Corporate Bond Index, closing the last week of the month down 0.08% and returning 0.62% for the month.



High-yield bonds as measured by the S&P U.S. Issued High Yield Corporate Bond Index returned a meager 0.76% for January.



The S&P U.S. Preferred Stock Index returned 2.68% in January, ending the month with a relatively attractive yield of 6.93%.

Exhibit 1: Index Performance Index

Total Return (%) 1-Month YTD

Annualized Return (%) 1-Year 3-Year 5-Year

S&P/BGCantor U.S. Treasury Bond

1.10

1.10

-0.24

2.64

2.55

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

2.98

2.98

-1.89

5.05

4.52

S&P National AMT-Free Municipal Bond

2.12

2.12

-1.90

5.52

5.16

S&P High Yield Municipal Bond

2.89

2.89

-2.49

9.06

11.93

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

1.93

1.93

1.10

5.60

8.31

Dow Jones U.S. Corporate Bond

1.64

1.64

1.03

6.17

8.71

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

0.76

0.76

6.04

8.21

16.87

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

0.62

0.62

4.41

4.55

12.38

S&P U.S. Preferred Stock

2.68

2.68

1.23

5.91

17.33

2.31 2.31 5.32 5.92 4.87 S&P Eurozone Government Bond Source: S&P Dow Jones Indices. Data as of Jan. 31, 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 Disclosure 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] S&P Dow Jones Indices’ Market Attributes® series provides market commentary highlighting developments across various asset classes. Market Snapshot

MARKET ATTRIBUTES | FIXED INCOME INDICES

January 2014

U.S. TREASURY & AGENCY BONDS Counter to the thinking that tapering would drive yields higher; Treasury yields have remained lower for the start of 2014. Additional collateral needs to meet regulatory requirements; risk-off trading and economic uncertainty in emerging market countries such as Turkey have temporarily kept rates lower than at the start of the year. The yield on the S&P/BGCantor Current 10 Year U.S. Treasury Bond Index closed at 2.65% for January, as the index returned 0.68% on the last week and closed the first month of 2014 up 3.54%. The 10-year’s yield is at a much lower level than where it began the year (3.03%). The S&P U.S. Agency Index, with a duration of 2.9 years, returned 0.7% in January. The index’s maturity subindices show that curve placement played a key role in return, as any investor who sought short duration for protection against a rate rise lost out as the longer end of the Treasury curve’s nearly parallel shift brought rates lower by 37 bps. The S&P 10+ Year U.S. Agency Index returned 4.6%, while the S&P 7-10 Year U.S. Agency Index added 2.9% for the month.

U.S. MUNICIPAL BONDS Puerto Rico remains a top story in the municipal bond market as it prepares to come to market with more debt. Bonds issued by Puerto Rico are rated at the lowest investment-grade rating by Moody’s, S&P and Fitch. Each ratings service has recently announced the possibility of a downgrade to below investment grade. Since the start of 2014, the average yield of bonds in the S&P Municipal Bond Puerto Rico Index has ended unchanged at 7.44%. The yield dipped as low as a 7.19% on January 24, but has climbed 25 bps since, bringing bond prices back down. Throughout the ups and downs, the index has a YTD total return of 1.33%, helping to offset its 2013 return of -20.46%. Investment-grade bonds tracked in the S&P National AMT-Free Municipal Bond Index have seen yields drop by 33 bps this year to end at 2.78%. The drop in yields pushes bond prices up, resulting in a positive 2.12% total return YTD. High-yield municipal bonds tracked in the S&P Municipal Bond High Yield index have seen a positive 2.89% return YTD with yields of bonds in this index dropping by 30 bps during January to end the month at 6.46%.

U.S. CORPORATE BONDS The S&P U.S. Issued Investment Grade Corporate Bond Index closed last week with a return of 0.33% and 1.92% in January. The positive performance was spread out among the varying issuers of this broad index as investors sought value in the higher credits. High-yield bonds as measured by the S&P U.S. Issued High Yield Corporate Bond Index ended the week down 0.03%, returning only 0.76% for January.

U.S. SENIOR LOANS The S&P/LSTA U.S. Leveraged Loan 100 Index experienced similar performance to high yield, closing the last week of the month off 0.08%, dragging its January return down to 0.62%. In addition to general selling, energy issuer TXU’s performance negatively impacted both the high-yield and loan indices.

U.S. PREFERREDS The S&P U.S. Preferred Stock Index returned 2.68% for the month. The yield of the index closed January at 6.93%, still attractive, though lower than the 7.14% at the close of 2013.

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MARKET ATTRIBUTES | FIXED INCOME INDICES

January 2014

Performance Recap Exhibit 2: Asset Class Yields – Jan. 31, 2014 12% Taxable Equivalent Yield, 9.11%

10%

8% Yield 5.92% 6%

4%

Taxable Equivalent Yield, 1.77%

Yield 2% 1.15%

Yield 1.96%

Taxable Equivalent Yield, 4.28% Yield Yield 3.02% 2.78%

Yield 2.91%

Yield 6.93% Yield 5.44%

Yield 2.67%

Yield 1.00%

0%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of Jan. 31, 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.

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MARKET ATTRIBUTES | FIXED INCOME INDICES

January 2014

Market Returns for January 2014 Total Return (%)

Annualized Return (%)

Index 1-Month

3-Month

YTD

1-Year

3-Year

5-Year

S&P U.S. Commercial Paper

0.02

0.05

0.02

0.23

0.30

0.36

S&P U.S. Commercial Paper Financials

0.02

0.05

0.02

0.24

0.31

0.38

S&P U.S. Commercial Paper Non-Financials S&P National AMT-Free Municipal VRDO

0.02 0.01

0.05 0.02

0.02 0.01

0.21 0.12

0.26 0.21

0.31 na

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

2.12 2.41 2.01 0.31 0.31 0.34

1.43 2.08 1.56 0.33 0.30 0.28

2.12 2.41 2.01 0.31 0.31 0.34

-1.90 -0.23 -1.00 0.98 1.27 1.01

5.52 6.85 5.56 1.78 1.89 1.74

5.16 5.85 5.29 2.03 na na

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

0.39 1.60

0.39 1.14

0.39 1.60

1.15 -0.58

2.12 4.61

2.38 4.29

S&P Municipal Bond S&P Investment Grade Municipal Bond

2.11 2.06

1.60 1.55

2.11 2.06

-1.10 -1.02

5.91 5.72

5.85 5.57

S&P High Yield Municipal Bond S&P Municipal Yield

2.89 2.73

2.36 1.98

2.89 2.73

-2.49 -2.92

9.06 8.38

11.93 10.20

0.62 0.65

1.60 1.62

0.62 0.65

4.41 4.86

4.55 4.84

12.38 12.68

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

1.93

1.47

1.93

1.10

5.60

8.31

Dow Jones Equal Weight U.S. Issued Corporate Bond S&P U.S. Issued High Yield Corporate Bond S&P U.S. Covered Bond

1.64 0.76 0.58

1.35 1.61 0.50

1.64 0.76 0.58

1.03 6.04 2.03

6.17 8.21 na

8.71 16.87 na

S&P/BGCantor U.S. Treasury Bill S&P/BGCantor U.S. Treasury Bond S&P/BGCantor U.S. Treasury 1 - 3 Year Bond S&P/BGCantor U.S. Treasury 3 - 5 Year Bond S&P/BGCantor U.S. Treasury 5 - 7 Year Bond S&P/BGCantor U.S. Treasury 7 - 10 Year Bond

0.01 1.10 0.18 0.91 1.95 2.98

0.02 0.21 0.21 0.21 -0.03 -0.03

0.01 1.10 0.18 0.91 1.95 2.98

0.09 -0.24 0.64 0.41 -0.81 -1.89

0.10 2.64 0.78 2.31 3.67 5.05

0.16 2.55 1.22 2.81 3.73 4.52

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

4.17 6.77

0.38 1.50

4.17 6.77

-2.36 -4.88

6.63 9.19

5.45 4.74

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

0.62

-0.30

0.62

-0.72

2.69

3.23

0.17

0.20

0.17

0.61

0.98

1.77

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

0.65

0.35

0.65

0.51

2.39

3.07

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

1.67

0.46

1.67

-0.51

3.93

4.30

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

2.87

0.99

2.87

-3.31

5.50

5.53

S&P 10+ Year U.S. Agency

4.55

1.64

4.55

-4.48

7.40

Money Market

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

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

Leveraged Loan S&P/LSTA U.S. Leveraged Loan 100 S&P/LSTA Leveraged Loan (LLI)

U.S. Corporate Bond

U.S. Treasury

U.S. Agency

6.22 S&P U.S. Floating Rate Agency 0.03 0.11 0.03 0.20 0.19 na Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of January 31, 2014. Tables and graphs are provided for illustrative purposes. This chart may reflect hypothetical historical performance. Please see the Performance Disclosure 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

January 2014

Market Returns for January 2014 Total Return (%)

Annualized Return (%)

Index 1-Month

3-Month

YTD

1-Year

3-Year

S&P Balanced Equity and Bond - Conservative

1.31

S&P Balanced Equity and Bond - Moderate S&P Balanced Equity and Bond - Growth

-0.31 -1.90

S&P 500 TR S&P High Yield Dividend Aristocrats S&P U.S. Preferred Stock S&P Enhanced Yield North American Preferred

5-Year

0.53

1.31

3.69

7.37

8.39

1.06 1.55

-0.31 -1.90

9.45 15.40

9.56 11.62

12.08 15.57

-3.46 -2.95

2.00 -0.25

-3.46 -2.95

21.52 19.00

13.53 14.53

18.85 19.20

2.68 1.43

1.99 1.84

2.68 1.43

1.23 5.63

5.91 7.43

17.33 18.71

-0.78 0.92

-1.42 -0.34

-0.78 0.92

-2.89 -0.42

-1.30 2.11

1.89 4.32

-0.44

0.00

-0.44

3.50

6.56

9.03

0.18

1.62

0.18

6.81

5.32

12.95

S&P Eurozone Government Bond S&P Eurozone Government Bond 1-3 Years S&P Eurozone Government Bond 3-5 Years S&P Eurozone Government Bond 5-7 Years

2.31 0.51 1.40 2.35

2.11 0.72 1.49 2.28

2.31 0.51 1.40 2.35

5.32 2.49 4.44 6.23

5.92 2.46 4.74 6.55

4.87 2.30 4.06 5.32

S&P Eurozone Government Bond 7-10 Years S&P Eurozone Government Bond 10+ Years

2.93 4.24

2.28 3.64

2.93 4.24

6.46 7.08

7.43 8.68

5.79 7.07

S&P Government Bond S&P Corporate Bond S&P Interbank Bond

0.83 0.12 0.78

-0.33 -0.17 -0.71

0.83 0.12 0.78

1.60 3.36 -0.41

2.98 4.69 2.70

2.68 4.51 1.94

S&P Composite Bond S&P Convertible Bond Offshore S&P/DB ORBIT Index S&P/DB ORBIT Index (USD) S&P/DB ORBIT Index (HKD) S&P/DB ORBIT Sovereign and Quasi-Sovereign Index S&P/DB ORBIT Sovereign and Quasi-Sovereign Index (USD) S&P/DB ORBIT Sovereign and Quasi-Sovereign Index (HKD) S&P/DB ORBIT Credit Index S&P/DB ORBIT Credit Index (USD) S&P/DB ORBIT Credit Index (HKD)

0.34 -1.07

-0.58 -4.86

0.34 -1.07

1.34 -8.88

3.18 -2.45

2.48 3.42

-0.09 0.28 0.43 -0.02 0.36 0.51 -0.14 0.23 0.39

0.78 1.56 1.73 0.55 1.34 1.51 0.91 1.70 1.87

-0.09 0.28 0.43 -0.02 0.36 0.51 -0.14 0.23 0.39

3.14 6.18 6.29 1.21 4.20 4.31 4.37 7.44 7.55

2.18 5.12 5.00 0.89 3.79 3.67 2.99 5.95 5.83

na na na na na na na na na

1.14 1.17 1.20 1.12

1.57 1.51 1.23 1.88

1.14 1.17 1.20 1.12

3.35 2.86 1.90 4.09

7.06 6.92 6.41 7.59

5.54 5.05 4.38 5.86

U.S. Balanced Equity and Bond

Equity

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

Global - Corporate S&P International Corporate Bond

Global - Senior Loan S&P Global Leveraged Loan

Regional - Eurozone

Regional - China Onshore

Regional - Australia S&P/ASX Australian Fixed Interest S&P/ASX Government Bond S&P/ASX Australian Government Bond S&P/ASX State Government Bond

S&P/ASX Corporate Bond 0.96 1.75 0.96 5.43 8.16 7.59 Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of January 31, 2014. Tables and graphs are provided for illustrative purposes. This chart may reflect hypothetical historical performance. Please see the Performance Disclosure 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

January 2014

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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

January 2014

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