MARKET ATTRIBUTES FIXED INCOME November 2012

BROAD MARKET UPDATE S&P Dow Jones Indices' Market Attributes series provides market commentary highlighting developments across various asset classes. Analy sis. Research. Education. w w w.spdji.com/spindices Fixed Income Indices Contributors: J.R. Rieger Vice President [email protected]

Kevin Horan Director kev [email protected]

The S&P Enhanced Yield North American Preferred Index led the fixed income indices w ith a total return of 18.64% year-to-date (YTD). Just behind it, the S&P Preferred Stock Index returned 18.05% YTD. In the first half of November, preferred stocks sold off as fiscal cliff concerns took hold. The threat of higher taxes and their constraining effect on dividends turned the outlook of this product negative. Adding to fiscal cliff fears w as the additional threat of increasing government regulation tow ard financial institutions that traditionally have been the largest issuers of preferred securities. Since November 15, preferred stock has recovered to beginning-of-month levels as investors come to grips w ith the ever-changing outlook for these policy issues. Leading the monthly (+5.66%) and three-month (+2.77%) total rate of return category w as the S&P Eurozone Government Bond 10+ Years Index. As w ith the rest of the Eurozone government family of indices, this longer-duration (12.5-year modified duration) index led the w ay. Euro government bonds reversed their dow nw ard course on November 21 as it w as announced that European leaders w ere close to a deal regarding Greece. Trending dow nw ard for most of the month, the Dow Jones U.S. Corporate Bond Index saw a little upside action after November 23 but ended the month dow n 0.33%. U.S. Treasuries began the month sliding to the dow nside, but became the flight-to-quality trade as equity trading opened w ith a strong drop on November 7. Concerns about the fiscal cliff, Europe and the Middle East persisted throughout the month, pushing returns on maturities of seven years and out above 1% for November. (1.03%, 1.33% and 1.51% for the S&P/BGCantor U.S. Treasury 7 – 10 Year, 10 – 20 Year and 20+ Year Bond Indices, respectively).

Exhibit 1: Asset Class Yields – November 30, 2012

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 30, 2012. Taxable Equivalent Yield based on 35% tax rate. Charts and graphs are provided for illustrative purposes. Past performance is no guarantee of future results.

McGR AW-HILL

1

MARKET ATTRIBUTES | FIXED INCOME

Exhibit 2: Market Returns for November 2012 Total Return Index

Annualized Return

1-Month

3-Month

YTD

1-Year

3-Year

5-Year

S&P U.S. Commercial Paper

0.03%

0.09%

0.36%

0.40%

0.32%

NA

S&P U.S. Commercial Paper Financials

0.03%

0.10%

0.39%

0.43%

0.34%

NA

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

0.02%

0.08%

0.29%

0.32%

0.28%

NA

S&P National AMT-Free Municipal VRDO

0.02%

0.05%

0.21%

0.23%

NA

NA

Money Market

U.S. Municipal Bond (Investm ent Grade, Tax-Exem pt Only) S&P National AMT-Free Municipal Bond

1.80%

2.64%

8.39%

10.59%

7.11%

5.98%

S&P California AMT-Free Municipal Bond

1.98%

3.02%

9.36%

11.75%

8.12%

6.23%

S&P New York AMT -Free Municipal Bond

1.76%

2.74%

8.12%

10.08%

6.84%

6.00%

S&P Short Term National AMT-Free Municipal Bond

0.12%

0.24%

1.45%

1.90%

2.00%

3.20%

S&P Short Term California AMT-Free Municipal Bond

0.17%

0.35%

1.49%

1.94%

NA

NA

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

0.12%

0.25%

1.44%

1.88%

NA

NA

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

0.14%

0.28%

1.75%

2.32%

2.37%

NA

S&P Intermediate Term National AMT-Free Municipal Bond

1.33%

2.01%

6.08%

7.94%

5.80%

NA

U.S. Municipal Bond (Broad Market, Tax-Exem pt and AMT) S&P Municipal Bond

1.73%

2.72%

8.88%

10.94%

7.26%

5.98%

S&P Investment Grade Municipal Bond

1.70%

2.63%

8.35%

10.39%

7.03%

6.00%

S&P High Yield Municipal Bond

2.22%

4.27%

18.10%

20.39%

11.94%

5.93%

S&P Municipal Yield

2.16%

3.94%

15.80%

18.18%

10.97%

5.92%

0.07%

1.31%

9.33%

10.11%

7.71%

5.68%

0.31%

1.74%

8.82%

9.36%

7.57%

5.48%

-0.33%

1.59%

10.84%

13.52%

8.72%

9.33%

S&P/BGCantor U.S. Treasury Bill

0.02%

0.03%

0.10%

0.10%

0.13%

0.64%

S&P/BGCantor U.S. Treasury 0 - 3 Month Bill

0.01%

0.02%

0.06%

0.06%

0.07%

0.45%

S&P/BGCantor U.S. Treasury Bond

0.43%

-0.02%

1.88%

2.59%

3.98%

4.62%

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

0.09%

0.04%

0.40%

0.40%

1.15%

2.36%

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

0.43%

0.16%

1.77%

2.10%

3.80%

4.97%

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

0.75%

0.35%

3.53%

4.50%

6.13%

6.74%

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

1.03%

0.32%

4.93%

6.85%

8.25%

8.05%

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

1.33%

0.00%

5.43%

7.99%

10.01%

9.05%

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

1.51%

-1.49%

5.57%

9.16%

13.19%

10.24%

S&P Balanced Equity and Bond - Conservative

0.92%

0.56%

7.51%

9.27%

9.25%

7.14%

S&P Balanced Equity and Bond - Moderate

0.80%

0.80%

10.05%

11.62%

10.03%

5.72%

S&P Balanced Equity and Bond - Growth

0.69%

1.04%

12.53%

13.91%

10.59%

3.79%

S&P 500 TR

0.58%

1.27%

14.96%

16.13%

10.93%

1.32%

S&P High Yield Dividend Aristocrats

0.94%

3.21%

11.37%

12.58%

12.36%

4.46%

S&P U.S. Preferred Stock

0.13%

2.10%

18.05%

18.24%

12.20%

6.54%

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

1

U.S. Corporate Bond Dow Jones U.S. Corporate Bond

U.S. Treasury

U.S. Balanced Equity and Bond

Equity

S&P Enhanced Yield North American Preferred 0.11% 1.66% 18.64% 18.95% 12.03% 8.21% Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 30, 2012. Charts and graphs are provided for ill ustrative 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. McGRAW-HILL

2

MARKET ATTRIBUTES | FIXED INCOME

Exhibit 2: Market Returns for November 2012 (continued) Total Return Index

Annualized Return

1-Month

3-Month

YTD

1-Year

3-Year

5-Year

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

-0.12%

1.46%

2.04%

0.51%

-1.28%

2.36%

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

0.54%

2.90%

7.54%

7.50%

1.15%

4.39%

1.21%

4.83%

13.94%

14.68%

5.05%

6.02%

S&P Eurozone Government Bond

1.55%

3.58%

10.57%

14.95%

4.13%

5.25%

S&P Eurozone Government Bond 1-3 Years

0.43%

1.08%

4.23%

6.19%

1.83%

3.29%

S&P Eurozone Government Bond 3-5 Years

0.92%

2.41%

8.11%

11.43%

3.44%

4.91%

S&P Eurozone Government Bond 5-7 Years

1.53%

4.06%

11.90%

16.27%

4.33%

5.68%

S&P Eurozone Government Bond 7-10 Years

2.04%

5.02%

13.85%

18.89%

4.76%

5.97%

S&P Eurozone Government Bond 10+ Years

2.77%

5.66%

15.71%

23.30%

6.33%

6.66%

S&P/CITIC Government Bond

0.27%

0.56%

3.09%

3.40%

3.34%

4.11%

S&P/CITIC Corporate Bond

0.53%

1.50%

6.97%

7.99%

5.84%

6.84%

S&P/CITIC Interbank Bond

0.36%

0.20%

2.76%

4.00%

3.15%

4.41%

S&P/CITIC Composite Bond

0.36%

0.63%

3.61%

4.41%

3.07%

3.85%

S&P/CITIC Convertible Bond

0.05%

-1.41%

0.13%

0.24%

-5.29%

-1.00%

S&P/ASX Australian Fixed Interest

-0.01%

1.00%

7.70%

8.49%

8.18%

8.35%

S&P/ASX Government Bond

-0.08%

0.60%

6.74%

7.63%

8.10%

8.32%

S&P/ASX Commonwealth Government Bond

-0.01%

0.21%

5.67%

6.78%

7.77%

7.99%

S&P/ASX State Government Bond

-0.18%

1.09%

8.05%

8.67%

8.48%

8.72%

Global - Treasury

Global - Corporate S&P International Corporate Bond

Regional - Eurozone

Regional - China

2

3

Regional - Australia

4

S&P/ASX Corporate Bond 0.20% 2.58% 10.27% 10.76% 8.96% 9.01% Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 30, 2012. Charts and graphs are provided for ill ustrative 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.

Introducing a new way to explore indices www.spindices.com

McGRAW-HILL

3

MARKET ATTRIBUTES | FIXED INCOME

PERFORMANCE DISCLOSURES The inception date of the S&P/BGCantor U.S. Treasury Indices was March 24, 2010, at the market close. All information presented prior to the index inception 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 av ailable at www.indices.standardandpoors.com. The inception date of the S&P U.S. Preferred Index was September 15, 2006, at the market close. All information presented prior to the index inception 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 av ailable at www.indices.standardandpoors.com. The inception date of the S&P National AMT-Free Municipal Bond Index, the S&P California AMT-Free Municipal Bond Index and the S&P New Y ork AMT-Free Municipal Bond Index was August 31, 2007, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P Short Term AMT-Free Municipal Bond Index was August 29, 2008, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P Short Term California AMT-Free Municipal Bond Index and the S&P Short Term New Y ork AMT-Free Municipal Bond Index was April 2, 2012, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P 1-5 Y ear National AMT-Free Municipal Bond Index and the S&P Intermediate Term National AMT-Free Municipal Bond Index was July 19, 2010, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P/ISDA CDS International Developed Nation Sovereign Index and the S&P/ISDA CDS Eurozone Developed Nation Sovereign Index was October 25, 2010, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P Municipal Yield Index was September 7, 2010, at the market close. All information presented prior to the index inception 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 av ailable at www.indices.standardandpoors.com. The inception date of the S&P AMT-Free Municipal Series 2020 Index was March 31, 2011, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P/LSTA U.S. Leveraged Loan 100 Index was October 20, 2008, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P/LSTA Leveraged Loan Index was August 20, 2001, at the market close. All information presented prior to the index inception 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 av ailable at www.indices.standardandpoors.com. The inception date of the S&P Balanced Equity and Bond Index Series was February 10, 2011, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P/Citigroup International Treasury Bond Ex-U.S. Indices was November 3, 2008, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P Eurozone Government Bond Indices was November 16, 2009, at the market close. All information presented prior to the index inception 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.indices.standardandpoors.com. The inception date of the S&P International Corporate Bond Index was May 21, 2010, at the market close. All information presented prior to the index inception 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 of f icially 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 av ailable at www.indices.standardandpoors.com. Past perf ormance 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 in dices and calculates the index levels and perf ormance 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 asset-based 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 y ears, 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).

McGRAW-HILL

4

MARKET ATTRIBUTES | FIXED INCOME

DISCLAIMER Copy right © 2012 by S&P Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies, Inc., and/or its affiliates. All rights reserved. Standard & Poor’s and S&P are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”), a subsidiary of The McGraw-Hill Companies, Inc. Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). Trademarks have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively “S&P Dow Jones Indices”) do not have the necessary licenses. All information prov ided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through in vestable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offe red by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices m akes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an inv estment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such inv estment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an inv estment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other investment vehicle. S&P Dow Jones Indices LLC is not a tax adv isor. A tax advisor should be consulted to evaluate the impact of any tax-exempt securities on portfolios and the tax consequences of making any particular inv estment decision. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. These materials have been prepared solely for informational purposes based upon information generally available to the public from sources believed to be reliable. No content contained in these materials (including index data, ratings, credit -related analyses and data, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse-engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of S&P Dow Jones Indices. The Cont ent shall not be used for any unlawful or unauthorized purposes. S&P Dow Jones Indices and its third-party data providers and licensors (collectively “S&P Dow Jones Indices Parties”) do not guarantee the accuracy, completeness , timeliness or availability of the Content. S&P Dow Jones Indices Parties are not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use of the Content. THE CONTENT IS PROVIDED ON AN “AS IS” BASIS. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Dow Jones Indices Parties be liable to any pa rty for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, cos ts, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, are generally provided by affiliates of S&P Dow Jones Indices, including but not limited to Standard & Poor’s Financial Services LLC and Capital IQ, Inc. Such analyses and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. Any opinion, analyses and rating acknowledgement decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P Dow Jones Indices does not assume any obligation to update the Content f ollowing publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P Dow Jones Indices LLC does not act as a fiduciary or an inv estment advisor. While S&P Dow Jones Indices has obtained information from sources they believe to be reliable, S&P Dow Jones Indices does not perform an audit or undertake any duty of due diligence or independent verification of any information it receives.] To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P Ratings Services reserves the right to assign, withdraw or suspend such acknowledgement at any time and in its sole discretion. S&P Dow Jones Indices, including S&P Ratings Services disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgement as well as any liability f or any damage alleged to have been suffered on account thereof. Af f iliates of S&P Dow Jones Indices LLC may receive compensation for its ratings and certain credit-related analyses, normally from issuers or underwriters of securities or from obligors. Such affiliates of S&P Dow Jones Indices LLC reserve the right to disseminate its opinions and analyses. Public ratings and analyses from S&P Ratings Services are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P Rating Services publications and third-party redistributors. Additional information about our ratings f ees is available at www.standardandpoors.com/usratingsfees. S&P Dow Jones Indices keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P Dow Jones Indices may have information that is not available to other business units. S&P Dow Jones Indices has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. In addition, S&P Dow Jones Indices provides a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. BGCantor and BGCantor Market Data are trademarks of BGCantor Market Data L.P. or its affiliates and have been licensed for us e by Standard & Poor’s. None of the f inancial products based on the S&P/BGCantor U.S. Treasury Indices are sponsored, endorsed, sold or promoted by BGCantor Market Data, L.P. and BGCantor Market Data, L.P. makes no representation regarding the advisability of investing in such products. CITIGROUP is a registered trademark and service mark of Citigroup Inc. or its affiliates and is used under license for certain purposes by Standard & Poor’s. Reproduction of the Citigroup data and information in any form is prohibited ex cept with the prior written permission of S&P or Citigroup Index LLC (“Citigroup”). Because of the possibility of human or mechanical error, Citigroup does not guarantee the accuracy, adequacy, completeness or availability of any data and inf ormation and is not responsible for any errors or omissions or for the results obtained from the use of such data and information. CITIGROUP GIVES NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICU LAR PURPOSE OR USE. In no event shall Citigroup be liable for any direct, indirect, special or consequential damages in connection with any use of the Citigroup data or inf ormation. ISDA is a trademark of the International Swaps and Derivatives Association, Inc. and has been licensed for use by S&P.

Sign up to receive future index-related research, commentary and educational publications at www.spindices.com

McGRAW-HILL

5