data as of october 31st, 2014 yield curves decline on ... › www › blog › commentary › pdf...

Yield curves decline on growth fears

Markit iBoxx fixed income monthly market monitor

Bonds across euro, pound and dollar gain on the back of falling yield curves

Long term € covered bonds return 3.23% for October, 27% for the year to date

US Treasury ETFs received close to $10bn of inflows in October

Market movements

Yield curves decline across EUR, GBP and USD

Bonds across the three major currencies, EUR, GBP

and USD, provided positive returns in October on the

back of declining yield curves as fears about global

growth slowdown struck market participants

EUR Overall increased by 0.32% (9.06% YTD), USD

Overall gained 1.02% (5.31% YTD), while GBP

Overall returned 1.19% (8.82% YTD) in October

Performance in eurozone sovereigns was mixed.

Contrary to previous months this year, bond markets

of core countries gained positive returns (Germany –

0.62%, France – 0.56%), while those of periphery

countries pared losses (Italy, Spain, Portugal and

Ireland lost 0.44%, 0.03%, 0.60%, 0.44%,

respectively)

iBoxx € Corporates returned 0.42%, mainly due to

income (26bps) and duration (2bps) return, with

credit only contributing 4bps to total return. Spreads

in € High Yield market continued to widen. The iBoxx

EUR High Yield index was flat for the month, as the

positive duration return was matched by negative

credit return

Long term bonds across sectors outperformed during

October. German Bunds 10+ returned 1.95%, while €

Corporates 10+ gained 1.22% for the month. €

Covered 10+ increased 3.23% in October, bringing

the YTD return to the impressive 27.22% (vs. 17.5%

for € Corporates 10+). Having the same duration as

the € Corporates 10+, the € Covered 10+ index

outperformed as it experienced significant spread

tightening YTD (82bps vs 13bps for corporates)

The benchmark yield curve in the UK shifted

downwards by 15-20bps across maturities, as BOE

talked down the possibility of early interest rate rise

UK Gilts increased by 1.39%, bringing YTD return to

9.03%. £ Corporates registered a 0.67% gain due to

positive duration return (1.06%) and income return of

0.36%. Spreads widening contributed -0.76% to total

return. Similarly to € HY market, £ High Yield market

increased by a small margin (0.30%) as the positive

duration return was matched by negative credit

return

US Treasuries returned 1.07% as fears about global

growth led investors to buy safe assets. iBoxx

$ Corporates also provided a positive return of

0.97% due to positive duration (0.99%) and income

return (0.35%). Spreads widening contributed -0.39%

to total return

US high yield bonds outperformed their European

counterparts and registered a return of 1.69% in

October as spreads tightened by 15bps during the

month. This could be a sign that investors no longer

find $ high yield to be expensive

ETF Market Activity Review

US Treasury ETFs experience strong inflows

The US fixed income ETF market experienced

impressive inflows of $17.7bn during October

(compared to $2.1bn outflows in Sep). The majority of

flows went into Treasuries ($9.90bn) and Broad

Market funds ($4.60bn). High Yield ETFs attracted

$2bn of new assets. European fixed income ETFs

attracted net inflows of $1.9bn. Corporates and Broad

market ETFs attracted the majority of new assets

($1.90bn and $0.65bn, respectively)

Markit fixed income research

Issue 10, November 2014 Data as of October 31st, 2014

Markit iBoxx fixed income monthly market monitor \ November 2014

November 2014 2

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

Source: Markit ETP Analytics

BlackRock was able to attract the biggest chunk of

total inflows to its fixed income ETFs in October, with

$14.6bn. One of its flagship products, iShares 1-3

Year Treasury Bond ETF, received $3.40bn of new

assets

New ETF launches in October

October saw one new ETF issuance in Europe and

four in the US

In Europe, UBS launched UBS Barclays US Liquid

Corporates ETF, which is a passive fund, tracking the

Barclays US Liquid Corporates Index

In the US, Fidelity added three new ETFs that

complement its mutual fund offerings - Fidelity Total

Bond ETF, Fidelity Limited Term Bond ETF and

Fidelity Corporate Bond ETF. The ETFs are actively

managed and attempt to outperform their respective

benchmarks

Vident Financial issued a bond ETF in the name of

Vident Core U.S. Bond Strategy ETF. The fund

invests in Treasuries, TIPs, MBS, IG and HY

corporate bonds and tracks the performance of

Vident Core U.S. Bond Strategy Index. This rules-

based strategy index will seek to “improve corporate

bond exposure by tilting toward companies with

strong Leadership, Governance & Creditworthiness”,

as the prospectus said

0 5000 10000 15000 20000

BlackRock

Vanguard

State Street

ThinkCapital Asset…

First Trust

Société Générale

Charles Schwab

ProShares

Kasikorn Asset…

Others


November 2014 3

Contents

Facts and figures ................................................................................................................................................ 4

Key trends: Markit iBoxx € Corporates and € Eurozone ............................................................................. 11

Key trends: Markit iBoxx € spot and swap curve ........................................................................................ 12

Key trends: Markit iBoxx £ Corporates and £ Gilts .................................................................................... 13

Key trends: Markit iBoxx £ spot and swap curve ........................................................................................ 14

Key trends: Markit iBoxx $ Corporates and $ Treasuries............................................................................ 15

Key trends: Markit iBoxx $ spot and swap curve ........................................................................................ 16

Markit iBoxx € Corporates rebalance movements ....................................................................................... 17

Markit iBoxx £ Corporates rebalance movements ....................................................................................... 17

Markit iBoxx $ Corporates rebalance movements ....................................................................................... 18

Markit iBoxx € Corporates rebalancing activity – Oct 14 ........................................................................... 19

Markit iBoxx £ Corporates rebalancing activity – Oct 14 ........................................................................... 20

Markit iBoxx $ Corporates rebalancing activity – Oct 14 ........................................................................... 21

Analysis and trends .......................................................................................................................................... 25

€ Fixed income return attribution ................................................................................................................. 26

£ Fixed income return attribution ................................................................................................................. 27

$ Fixed income return attribution ................................................................................................................. 28

€ Fixed income stress test ............................................................................................................................ 35

£ Fixed income stress test ............................................................................................................................ 36

$ Fixed income stress test ............................................................................................................................ 37

Fixed income ETF market activity ................................................................................................................... 40


November 2014

4

Fixed income market

Facts and figures


November 2014 5

Figure 1: Global fixed income market YTD total returns

4.9%

9.0%8.1%

9.6%

11.7%

13.1%

6.6%

4.3%

7.2%

4.2%

8.3%

1.2%

10.0%

6.7%

12.9%

-3.6%

8.8%

12.4%

14.5%

8.7%

3.2%

11.0%

3.1%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

US

UK

Ge

rma

ny

Fra

nce

Italy

Sp

ain

US

IG

US

HY

EU

IG

EU

HY

UK

IG

UK

HY

EM

So

v U

SD

EM

Co

rp U

SD

Bra

zil

Ru

ssia

Ch

ina

Ind

ia

Tu

rke

y

Me

xico US

UK

Ge

rma

ny

Figure 2: Global fixed income market MTD total returns

1.1%1.4%

0.6%0.6%

-0.4%0.0%

1.0%

1.69%

0.42%0.0%

0.7%0.3%

1.8%

0.9%

2.5%

-1.9%

1.8%

2.8%

5.4%

2.2%

1.0%

1.6%

-0.4%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

US

UK

Ge

rma

ny

Fra

nce

Italy

Sp

ain

US

IG

US

HY

EU

IG

EU

HY

UK

IG

UK

HY

EM

So

v U

SD

EM

Co

rp U

SD

Bra

zil

Ru

ssia

Ch

ina

Ind

ia

Tu

rke

y

Me

xico US

UK

Ge

rma

ny

Source: Markit iBoxx Data

Sovereigns

Corporates Emerging Markets Inflation Sovereigns

Sovereigns Corporates Emerging Markets Inflation

YTD

October


November 2014

6

Fixed income correlation

Table 1: 1-month correlation Correlation is based on daily returns for the period stated, excluding common holidays Correlation between indices in different currencies is based on unhedged daily returns in USD of the two indices Markit iBoxx CVBX index represents the performance of USD denominated convertible bonds

EUR GBP USD

Sov Corp IG HY Gilts Corp IG HY IL TSY Corp IG HY TIPS EM Sov

EM Corp Loans CVBX

EUR

Sov 1.00 0.82 0.50 0.83 0.82 0.44 0.78 0.59 0.46 -0.41 0.31 0.06 -0.03 -0.37 -0.35

Corp IG 0.82 1.00 0.39 0.87 0.85 0.47 0.83 0.54 0.38 -0.41 0.28 0.06 -0.03 -0.43 -0.32

HY 0.50 0.39 1.00 0.74 0.78 0.65 0.68 0.33 0.28 -0.13 0.11 0.19 0.11 -0.13 -0.08

GBP

Gilts 0.83 0.87 0.74 1.00 0.97 -0.24 0.94 0.65 0.51 -0.50 0.42 -0.08 -0.07 -0.52 -0.30

Corp IG 0.82 0.85 0.78 0.97 1.00 -0.07 0.91 0.54 0.45 -0.38 0.36 0.00 0.03 -0.36 -0.16

HY 0.44 0.47 0.65 -0.24 -0.07 1.00 -0.18 -0.11 -0.05 0.31 -0.12 0.27 0.19 0.17 0.54

IL 0.78 0.83 0.68 0.94 0.91 -0.18 1.00 0.67 0.57 -0.47 0.42 -0.11 -0.12 -0.57 -0.31

USD

TSY 0.59 0.54 0.33 0.65 0.54 -0.11 0.67 1.00 0.91 -0.54 0.65 -0.13 -0.04 -0.51 -0.61

Corp IG 0.46 0.38 0.28 0.51 0.45 -0.05 0.57 0.91 1.00 -0.26 0.56 -0.04 0.13 -0.23 -0.40

HY -0.41 -0.41 -0.13 -0.50 -0.38 0.31 -0.47 -0.54 -0.26 1.00 -0.37 0.52 0.43 0.78 0.74

TIPS 0.31 0.28 0.11 0.42 0.36 -0.12 0.42 0.65 0.56 -0.37 1.00 0.13 0.17 -0.25 -0.55

EM Sov 0.06 0.06 0.19 -0.08 0.00 0.27 -0.11 -0.13 -0.04 0.52 0.13 1.00 0.81 0.59 0.27

EM Corp -0.03 -0.03 0.11 -0.07 0.03 0.19 -0.12 -0.04 0.13 0.43 0.17 0.81 1.00 0.66 0.29

Loans -0.37 -0.43 -0.13 -0.52 -0.36 0.17 -0.57 -0.51 -0.23 0.78 -0.25 0.59 0.66 1.00 0.53

CVBX -0.35 -0.32 -0.08 -0.30 -0.16 0.54 -0.31 -0.61 -0.40 0.74 -0.55 0.27 0.29 0.53 1.00



November 2014 7

Fixed income correlation

Table 2: 1-year correlation Correlation is based on daily returns for the period stated, excluding common holidays Correlation between indices in different currencies is based on unhedged daily returns in USD of the two indices Markit iBoxx CVBX index represents the performance of USD denominated convertible bonds

EUR GBP USD

Sov Corp IG HY Gilts Corp IG HY IL TSY Corp IG HY TIPS

EM Sov

EM Corp Loans CVBX

Euro

Sov 1.00 0.84 0.33 0.69 0.67 0.36 0.62 0.46 0.46 -0.08 0.43 0.29 0.25 -0.09 -0.10

Corp IG 0.84 1.00 0.33 0.66 0.65 0.37 0.59 0.40 0.37 -0.11 0.37 0.21 0.19 -0.15 -0.12

HY 0.33 0.33 1.00 0.52 0.56 0.47 0.44 0.20 0.24 0.08 0.22 0.27 0.25 0.05 0.03

GBP

Gilts 0.69 0.66 0.52 1.00 0.97 0.07 0.88 0.56 0.54 -0.12 0.48 0.22 0.21 -0.21 -0.19

Corp IG 0.67 0.65 0.56 0.97 1.00 0.17 0.85 0.48 0.50 -0.02 0.41 0.28 0.28 -0.09 -0.12

HY 0.36 0.37 0.47 0.07 0.17 1.00 0.07 0.02 0.13 0.32 0.05 0.31 0.31 0.19 0.21

IL 0.62 0.59 0.44 0.88 0.85 0.07 1.00 0.55 0.56 -0.08 0.47 0.26 0.23 -0.22 -0.19

USD

TSY 0.46 0.40 0.20 0.56 0.48 0.02 0.55 1.00 0.92 -0.15 0.85 0.21 0.28 -0.23 -0.31

Corp IG 0.46 0.37 0.24 0.54 0.50 0.13 0.56 0.92 1.00 0.07 0.83 0.36 0.46 -0.03 -0.17

HY -0.08 -0.11 0.08 -0.12 -0.02 0.32 -0.08 -0.15 0.07 1.00 -0.02 0.39 0.41 0.70 0.46

TIPS 0.43 0.37 0.22 0.48 0.41 0.05 0.47 0.85 0.83 -0.02 1.00 0.31 0.37 -0.09 -0.23

EM Sov 0.29 0.21 0.27 0.22 0.28 0.31 0.26 0.21 0.36 0.39 0.31 1.00 0.87 0.32 0.10

EM Corp 0.25 0.19 0.25 0.21 0.28 0.31 0.23 0.28 0.46 0.41 0.37 0.87 1.00 0.33 0.14

Loans -0.09 -0.15 0.05 -0.21 -0.09 0.19 -0.22 -0.23 -0.03 0.70 -0.09 0.32 0.33 1.00 0.36

CVBX -0.10 -0.12 0.03 -0.19 -0.12 0.21 -0.19 -0.31 -0.17 0.46 -0.23 0.10 0.14 0.36 1.00



November 2014

8

Table 3: Markit iBoxx € market snapshot: the month in figures

Markit iBoxx Index Total Return Yield OAS Bonds Duration

Month YTD Current Month YTD Current Month YTD

€ Overall 0.32% 9.06% 1.41% -0.03% -1.12% 63.8 3.2 -20.2 2,931 6.1

Sovereigns

€ Eurozone 0.26% 10.33% 1.55% -0.02% -1.15% 63.0 5.2 -21.1 286 6.9

€ Germany 0.62% 8.10% 0.98% -0.07% -0.93% -0.6 0.7 0.2 54 7.0

€ France 0.56% 9.56% 1.31% -0.06% -1.02% 34.4 1.7 -9.0 43 7.2

€ Italy -0.44% 11.73% 2.42% 0.09% -1.36% 161.1 18.0 -34.2 61 6.5

€ Spain -0.03% 13.11% 2.04% 0.04% -1.67% 128.2 10.1 -74.8 34 6.0

€ Portugal -0.60% 18.72% 2.79% 0.25% -2.71% 217.2 13.5 -186.8 12 5.2

€ Ireland -0.44% 11.65% 1.21% 0.10% -1.67% 79.7 14.3 -72.5 10 5.2

Corporates

€ Corporates 0.42% 7.22% 1.49% -0.05% -1.00% 107.5 -1.0 -13.3 1,529 4.8

€ Corporates A 0.46% 7.14% 1.32% -0.05% -1.00% 86.9 -0.3 -12.9 668 5.0

€ Corporates AA 0.36% 6.86% 1.03% -0.01% -1.03% 59.3 -0.5 -19.1 152 4.8

€ Corporates AAA 0.68% 11.29% 1.46% -0.07% -0.79% 55.5 1.1 3.2 6 7.6

€ Corporates BBB 0.41% 7.40% 1.83% -0.04% -0.99% 149.0 -1.1 -13.0 703 4.6

€ Financials 0.41% 6.73% 1.50% -0.04% -1.01% 121.4 -0.7 -14.6 595 4.3

€ Banks 0.33% 6.48% 1.32% -0.03% -1.05% 107.3 -0.2 -19.1 429 4.2

€ Insurance 1.13% 8.42% 2.65% -0.18% -0.97% 216.6 -13.5 -4.5 72 5.3

€ Non-Financials 0.43% 7.62% 1.47% -0.05% -0.98% 99.0 -1.1 -11.3 934 5.2

€ Basic Materials 0.44% 7.23% 1.36% -0.06% -1.03% 96.6 -1.1 -12.9 72 4.8

€ Consumer Goods 0.44% 6.73% 1.30% -0.06% -0.79% 82.5 -2.5 0.8 177 5.1

€ Consumer Services 0.12% 7.06% 1.63% 0.05% -0.85% 111.5 7.2 -2.7 68 5.6

€ Health Care 0.38% 5.41% 1.20% -0.02% -0.63% 87.9 -6.6 16.4 28 4.5

€ Industrials 0.32% 7.06% 1.33% -0.03% -1.02% 98.1 1.2 -15.4 149 4.6

€ Oil & Gas 0.41% 7.12% 1.69% -0.04% -0.81% 113.6 -5.6 -9.3 85 5.2

€ Technology 0.53% 11.34% 1.43% -0.05% -1.13% 62.8 2.6 -16.5 12 7.2

€ Telecommunications 0.56% 8.48% 1.57% -0.08% -1.10% 103.1 -1.8 -15.9 123 5.5

€ Utilities 0.51% 8.59% 1.55% -0.07% -1.11% 104.2 -0.9 -17.7 220 5.4

€ Covered 0.52% 7.10% 0.74% -0.10% -1.26% 38.3 -6.7 -40.3 630 4.3

High Yield

€ High Yield 0.02% 4.22% 4.41% 0.12% -0.16% 418.4 15.5 69.0 518 3.3

€ High Yield B -0.61% 2.08% 6.73% 0.37% 0.54% 642.2 33.8 170.7 188 3.1

€ High Yield BB 0.24% 5.41% 3.23% 0.02% -0.65% 315.2 3.8 30.6 300 3.4

€ High Yield CCC 1.28% -2.80% 11.28% 0.09% 1.20% 992.5 89.8 170.4 28 2.8

Inflation-linked

€ France Inflation-Linked -0.46% 6.19% -0.06% 0.05% -0.71% -106.3 14.0 30.3 19 8.1

€ Germany Inflation-Linked

-0.38% 3.06% -0.45% 0.09% -0.53% -99.7 9.2 26.3 5 5.2

€ Italy Inflation-Linked -1.45% 11.73% 1.39% 0.21% -1.20% 43.8 29.6 -17.2 10 7.7

ABS

iBoxx Europe ABS 1.62% 6.45% 788

iBoxx Europe MBS 1.67% 6.70% 726


€

https://products.markit.com/indices/data/DataOutput.asp?QueryID=DWIndexAnalytics&isd_index=I12100075&return=TRi&date=04%2E01%2E2013&fixing=EU%5FEOD&family=ib%5FEUR&Level0=EURhttps://products.markit.com/indices/data/DataOutput.asp?QueryID=DWIndexAnalytics&isd_index=I12100093&return=TRi&date=04%2E01%2E2013&fixing=EU%5FEOD&family=ib%5FEUR&Level0=EUR


November 2014 9

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



£ Overall 1.19% 8.82% 2.90% -0.10% -0.62% 35.4 1.6 1.9 1093 9.4

Sovereigns

£ Gilts 1.39% 9.03% 2.59% -0.11% -0.62% 0.1 0.0 1.6 39 10.1

£ Gilts 1-3 0.46% 1.13% 0.81% -0.04% 0.08% 0.5 3.5 -18.1 6 2.0

£ Gilts 3-5 1.07% 3.30% 1.39% -0.16% -0.20% 1.7 -2.2 4.1 5 3.9

£ Gilts 5-7 1.30% 5.33% 1.75% -0.14% -0.50% -1.1 -0.8 11.2 5 5.4

£ Gilts 7-10 1.57% 8.03% 2.06% -0.11% -0.70% -2.5 1.9 7.9 4 7.4

£ Gilts 10-15 1.76% 11.74% 2.41% -0.15% -0.90% 0.7 -0.7 -8.0 3 9.5

£ Gilts 15+ 1.72% 15.42% 2.92% -0.09% -0.69% 0.3 0.0 0.9 16 17.4

Corporates

£ Corporates 0.67% 8.33% 3.97% -0.04% -0.53% 157.1 9.7 13.5 724 8.0

£ Corporates A 0.63% 8.23% 3.94% -0.04% -0.45% 144.1 9.4 23.4 310 8.9

£ Corporates AA 0.89% 8.41% 3.45% -0.06% -0.58% 95.3 6.5 8.0 69 8.8

£ Corporates AAA 1.33% 11.52% 3.32% -0.08% -0.53% 56.6 2.7 8.6 5 14.1

£ Corporates BBB 0.64% 8.36% 4.20% -0.04% -0.63% 197.4 11.4 1.8 340 6.8

£ Banks 0.54% 6.94% 4.00% -0.03% -0.47% 180.5 12.6 12.0 160 6.4

£ Basic Materials 0.68% 7.61% 3.64% -0.05% -0.57% 132.6 9.5 11.8 13 7.2

£ Consumer Goods 0.83% 5.92% 3.12% -0.12% -0.57% 111.0 6.3 12.2 53 5.5

£ Consumer Services 0.62% 9.49% 3.86% -0.04% -0.63% 137.6 9.6 5.9 61 8.8

£ Financials 0.63% 7.63% 4.07% -0.04% -0.52% 181.5 10.8 7.9 309 6.8

£ Health Care 0.56% 10.37% 3.84% -0.02% -0.52% 109.7 9.3 20.6 12 12.6

£ Industrials 0.64% 8.64% 3.78% -0.04% -0.59% 136.7 10.0 7.1 49 8.2

£ Insurance 0.64% 7.89% 4.69% -0.03% -0.47% 244.2 11.4 9.3 71 6.8

£ Non-Financials 0.69% 8.82% 3.92% -0.05% -0.53% 144.3 9.2 16.8 415 8.8

£ Oil & Gas 0.50% 6.70% 4.14% -0.03% -0.15% 179.6 11.9 50.6 19 7.6

£ Telecommunications 0.53% 8.99% 4.07% -0.03% -0.55% 159.6 11.2 13.2 46 8.6

£ Utilities 0.78% 9.64% 4.07% -0.05% -0.52% 151.6 8.4 20.1 161 9.9

Collateralized

£ Collateralized 0.79% 9.27% 3.71% -0.06% -0.66% 125.5 7.7 7.0 165 9.0

£ Covered 1.52% 10.84% 2.84% -0.17% -0.99% 63.0 0.1 -18.5 23 7.5

£ ABS 0.16% 7.78% 4.32% -0.02% -0.48% 180.1 11.6 25.7 40 9.4

£ MBS 0.96% 6.77% 3.52% -0.09% -0.56% 122.5 6.3 15.0 41 7.4

£ Housing Associations 0.12% 12.03% 4.02% 0.02% -0.59% 120.2 11.9 12.9 33 14.0

High Yield

£ High Yield 0.34% 1.22% 6.43% 0.05% 0.66% 478.6 25.6 119.6 45 3.3

Inflation-linked £ Gilt Inflation-Linked 1.57% 11.05% -0.42% -0.07% -0.48% -337.5 0.0 17.6 24 21.9


£



November 2014 10

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



$ Overall 1.02% 5.31% 2.79% -0.13% -0.39% 61.6 3.8 9.1 5469 5.9

Sovereigns

$ Treasuries 1.07% 4.87% 2.20% -0.14% -0.39% 4.8 2.8 2.8 252 5.9

$ Treasuries 1-3Y 0.28% 0.71% 0.55% -0.09% 0.11% 4.5 3.3 0.3 94 1.8

$ Treasuries 3-5Y 0.82% 2.03% 1.35% -0.16% 0.07% 7.7 3.1 9.3 58 3.8

$ Treasuries 5-7Y 1.12% 3.99% 1.86% -0.17% -0.24% 5.3 5.9 1.3 39 5.4

$ Treasuries 7-10Y 1.59% 7.22% 2.20% -0.19% -0.58% 2.3 3.1 -4.6 18 7.4

$ Treasuries 10-15Y 1.71% 10.63% 2.52% -0.16% -0.82% 9.9 2.2 5.2 13 9.3

$ Treasuries 15Y+ 2.82% 19.74% 3.01% -0.15% -0.93% 4.1 1.4 4.2 30 17.2

Corporates

$ Corporates 0.97% 6.58% 3.82% -0.09% -0.43% 155.0 7.5 15.3 4,178 6.6

$ Corporates A 0.97% 5.73% 3.48% -0.10% -0.35% 126.9 6.9 20.9 1725 6.3

$ Corporates AA 1.04% 5.62% 3.28% -0.11% -0.36% 105.8 5.6 19.5 478 6.3

$ Corporates AAA 1.25% 7.77% 3.41% -0.07% -0.62% 89.7 6.7 17.7 47 8.7

$ Corporates BBB 0.95% 7.72% 4.29% -0.08% -0.50% 197.1 8.9 9.6 1928 7.0

$ Banks 0.88% 4.65% 3.41% -0.11% -0.27% 151.7 5.0 7.5 919 4.8

$ Basic Materials 0.77% 7.89% 4.37% -0.05% -0.49% 203.1 12.3 12.7 259 7.2

$ Consumer Goods 1.04% 5.84% 3.48% -0.11% -0.39% 126.8 5.9 17.0 351 6.3

$ Consumer Services 1.11% 9.22% 3.94% -0.09% -0.64% 147.1 7.6 8.1 374 8.2

$ Financials 0.89% 5.17% 3.53% -0.10% -0.31% 153.0 6.0 9.1 1424 5.2

$ Health Care 1.23% 6.56% 3.65% -0.12% -0.38% 126.1 5.1 26.7 303 7.5

$ Industrials 1.10% 7.52% 3.63% -0.10% -0.55% 127.9 6.2 8.8 326 7.2

$ Insurance 1.09% 8.04% 4.11% -0.06% -0.56% 171.6 7.6 6.4 196 7.5

$ Non-Financials 1.02% 7.43% 3.94% -0.09% -0.47% 155.9 8.2 18.0 2754 7.4

$ Oil & Gas 0.88% 6.91% 4.28% -0.06% -0.35% 192.0 10.6 29.3 539 7.3

$ Technology 0.78% 5.77% 3.37% -0.08% -0.36% 118.5 10.2 19.9 158 6.3

$ Telecommunications 1.08% 7.99% 4.25% -0.08% -0.47% 176.5 8.6 22.6 164 8.3

$ Utilities 1.22% 9.71% 3.99% -0.10% -0.66% 146.6 5.8 10.3 280 8.7

High Yield

$ Liquid High Yield 1.69% 4.26% 5.65% -0.33% -0.08% 377.5 -15.0 25.6 948 3.8

Inflation-linked

$ TIPS Inflation-Linked 0.96% 3.15% 0.53% -0.11% -0.28% -189.1 5.7 39.3 35 8.4

Emerging Markets

$ EM Sovereigns 1.77% 9.98% 5.02% -0.25% -0.87% 262.3 -9.9 -23.9 308 7.3

$ EM Corporates 0.88% 6.68% 5.21% -0.12% -0.49% 314.0 3.0 -10.9 1276 5.0

Loans

$ Leveraged Loans 0.28% 2.17% 0.00% 0.00% 0.00% 0.0 0.0 0.0 1129 0.0

RMBS

$ US RMBS Seniors 0.71% 13.71% 0.00% 0.00% 0.00% 0.0 0.0 0.0 350 0.0

Convertible

$ CVBX 0.88% 9.52% 0.22% 0.69% 1.72% 0.0 0.0 0.0 100 5.9


$



November 2014 11

Key trends: Markit iBoxx € Corporates and € Eurozone

Figure 3: € Total return Figure 4: € Yield

0

0.5

1

1.5

2

2.5

3

€ Corporates € Eurozone

Figure 5: € Duration Figure 6: € ASW

0

20

40

60

80

100

120

140

160

180

AS

W (

bp

s)

€ Corporates AAA € Corporates AA

€ Corporates A € Corporates BBB


€

0

1

2

3

4

5

6

7

8


92

94

96

98

100

102

104

106

108

110

112

114



November 2014 12

Key trends: Markit iBoxx € spot and swap curve

Figure 7: € Spot curve Figure 8: € Curve steepness

0

20

40

60

80

100

120

140

160

180

200

Bps

2s10s 10s30s

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

-12

-10

-8

-6

-4

-2

0

2

4

2Y 5Y 10Y 30Y

Bps

Spot Swap


€

-0.5

0

0.5

1

1.5

2

2.5

0 10 20 30 40 50

Yie

ld

Maturity

Yield curve 2014-Oct-31 Yield curve 2014-Sep-30

Swap curve 2014-Oct-31 Swap curve 2014-Sep-30

-0.5

0

0.5

1

1.5

2

2.5

3

0 10 20 30 40 50

Yie

ld

Maturity

2014-Oct-31 2014-Sep-30 2013-Oct-31


November 2014 13

Key trends: Markit iBoxx £ Corporates and £ Gilts

Figure 11: £ Total return Figure 12: £ Yield

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

£ Corporates £ Gilts

Figure 13: £ Duration Figure 14: £ ASW

0

50

100

150

200

250

Bp

s

£ Corporates AAA £ Corporates AA

£ Corporates A £ Corporates BBB


£

0

2

4

6

8

10

12


90

92

94

96

98

100

102

104

106

108

110

112



November 2014 14

Key trends: Markit iBoxx £ spot and swap curve

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

0

50

100

150

200

250

300

Bp

s

2s10s 10s30s

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

-25

-20

-15

-10

-5

0

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


£

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50

Yie

ld

Maturity



0

0.5

1

1.5

2

2.5

3

3.5

4

0 10 20 30 40 50

Yie

ld

Maturity

2014-Oct-31 2014-Sep-30 2013-Oct-31


November 2014 15

Key trends: Markit iBoxx $ Corporates and $ Treasuries

Figure 19: $ Total return Figure 20: $ Yield

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

$ Treasuries $ Corporates

Figure 21: $ Duration Figure 22: $ ASW

0

50

100

150

200

250

AS

W (

bp

s)

$ Corporates AAA $ Corporates AA

$ Corporates A $ Corporates BBB


$

0

1

2

3

4

5

6

7


94

96

98

100

102

104

106

108

110



November 2014 16

Key trends: Markit iBoxx $ spot and swap curve

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

0

50

100

150

200

250

300

350

Bp

s

2s10s 10s30s

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

-25

-20

-15

-10

-5

0

5

2Y 5Y 10Y 30Y

Bp

s

Spot Swap


$

0

0.5

1

1.5

2

2.5

3

3.5

4

0 5 10 15 20 25 30

Yie

ld

Maturity



0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0 5 10 15 20 25 30

Yie

ld

Maturity

2014-Oct-31 2014-Sep-30 2013-Oct-31


November 2014 17

Markit iBoxx € Corporates rebalance movements

Table 6: Index rebalance stats

After rebalance

Changes due to rebalance

Sub-Index Bonds Weight Yield Duration OAS

Bonds Weight Yield Duration OAS

Corporates 1,529 100% 1.49 4.90 107.35

0 0.0% 0.01 0.09 -0.20

Non-Financials 948 56.7% 1.49 5.26 99.91

+14 0.6% 0.02 0.08 0.92

Financials 581 43.3% 1.50 4.44 119.58

-14 -0.6% -0.01 0.10 -1.82

AAA 6 0.5% 1.46 7.59 55.45

0 0.0% 0.00 0.00 0.00

AA 152 13.0% 1.03 4.78 59.66

0 0.0% 0.00 0.02 0.36

A 661 44.5% 1.32 5.12 86.14

-7 -0.1% 0.00 0.09 -0.71

BBB 710 42.1% 1.83 4.69 148.44

+7 0.1% 0.01 0.11 -0.56

1-3y 377 26.5% 0.69 1.97 72.09

-2 0.4% 0.00 0.08 -0.06

3-5y 380 23.3% 1.01 3.72 96.76

-8 -0.7% 0.00 0.10 -0.73

5-7y 354 23.4% 1.34 5.49 107.89

+7 0.4% 0.01 0.09 -0.31

7-10y 294 18.8% 1.75 7.35 114.07

-1 -0.3% 0.00 0.09 -1.06

10-15y 101 6.4% 2.20 9.92 112.73

+3 0.2% 0.05 0.07 4.29

15+ 23 1.5% 2.64 13.78 110.38

+1 0.0% -0.01 0.05 -1.04

Markit iBoxx £ Corporates rebalance movements


After rebalance




Corporates 719 100% 3.97 8.10 156.21

-5 0.0% 0.00 0.08 -0.90

Non-Financials 416 60.1% 3.92 8.87 144.82

+1 0.5% 0.00 0.04 0.49

Financials 303 39.9% 4.05 6.93 178.08

-6 -0.5% -0.02 0.13 -3.44

AAA 5 0.7% 3.32 14.06 56.55

0 0.0% 0.00 0.00 0.00

AA 69 10.8% 3.45 8.79 95.28

0 0.1% 0.00 0.00 0.00

A 306 45.0% 3.95 9.02 144.25

-4 0.2% 0.00 0.08 0.13

BBB 339 43.5% 4.18 6.87 194.97

-1 -0.3% -0.02 0.09 -2.43

1-3y 118 12.7% 2.24 1.92 143.27

-2 0.0% -0.03 0.09 -6.07

3-5y 118 14.4% 2.69 3.57 137.06

+2 -0.1% -0.12 0.11 -14.25

5-7y 91 10.9% 3.41 5.13 167.35

-2 -0.3% 0.03 0.13 0.44

7-10y 103 14.9% 3.77 6.80 171.40

-2 0.0% 0.04 0.06 2.81

10-15y 124 17.6% 4.08 9.34 167.52

+2 0.5% 0.01 0.06 0.88

15+ 165 29.5% 4.31 13.97 149.50

-3 -0.1% -0.01 0.03 -0.80


€

£


November 2014 18

Markit iBoxx $ Corporates rebalance movements


After rebalance




Corporates 4,185 100% 3.82 6.65 154.81

+7 0.0% 0.00 0.06 -0.24

Non-Financials 2,766 62.5% 3.94 7.48 155.93

+12 0.2% 0.00 0.04 0.00

Financials 1,419 37.5% 3.52 5.26 152.16

-5 -0.2% 0.00 0.07 -0.80

AAA 47 1.0% 3.41 8.67 89.71

0 0.0% 0.00 0.00 0.00

AA 486 13.6% 3.29 6.34 106.99

+8 0.1% 0.01 0.07 1.15

A 1,716 43.0% 3.48 6.31 126.81

-9 -0.1% 0.00 0.05 -0.12

BBB 1,936 42.4% 4.28 7.04 196.35

+8 0.0% 0.00 0.07 -0.78

1-3y 903 20.4% 1.47 2.00 87.74

+7 0.1% 0.03 0.09 -0.46

3-5y 939 22.7% 2.41 3.66 112.83

-3 -0.1% 0.03 0.07 -0.25

5-7y 550 13.1% 3.15 5.22 132.90

-4 -0.1% 0.02 0.06 0.25

7-10y 854 19.7% 3.69 7.11 151.41

+2 0.1% 0.01 0.05 0.04

10-15y 67 1.5% 4.20 9.01 178.82

+1 0.1% 0.04 0.03 4.49

15+ 872 22.7% 4.66 14.07 180.74

+4 0.0% 0.00 0.02 -0.07


$


November 2014 19

Markit iBoxx € Corporates rebalancing activity – Feb 14

Table 9: iBoxx € Corporates - Out

ISIN Issuer Sector Rating Maturity Weight Reason

XS0683639933 RCI BANQUE Automobiles & Parts BBB 05/10/2015 0.04%


November 2014 20

XS1130067140 WELLS FARGO CO Banks A 29/10/2021 0.08% New Issue

FR0012188456 VALLOUREC SA Basic Resources BBB 30/09/2024 0.03% New Issue

XS1119021357 EXOR SPA Financial Services BBB 08/10/2024 0.03% New Issue

XS1028941976 MERCK & CO INC Health Care A 15/07/2021 0.07% New Issue



XS0858089740 VOLVO TREAS AB Industrial Goods & Services BBB 26/11/2019 0.04% New Issue

XS1117528189 BABCOCK INTL GRP Industrial Goods & Services BBB 06/07/2022 0.04% New Issue

FR0012206993 AEROPORT PARIS Industrial Goods & Services A 07/04/2025 0.03% New Issue

XS1128224703 AIRBUS GROUP FIN Industrial Goods & Services A 29/10/2029 0.03% New Issue

XS1115800655 ASR NEDERLAND NV Insurance BBB 30/09/2024 0.03% New Issue

FR0012222297 CRDT AGR ASSR Insurance BBB 14/10/2025 0.05% New Issue

XS1121177767 BERTELSMANN SE Media BBB 14/10/2024 0.03% New Issue

FR0012199008 KERING Personal & Household Goods

BBB 01/10/2021 0.03% New Issue

XS1117452778 PROLOGIS LP Real Estate BBB 07/10/2020 0.04% New Issue

XS1121177338 UNIBAIL-RODAMCO Real Estate A 17/10/2022 0.05% New Issue

XS1118029633 WESFARMERS LTD Retail A 07/10/2021 0.04% New Issue

FR0012236677 INFRA FOCH SAS Retail BBB 16/10/2020 0.03% New Issue

DE000A13R8M3 METRO AG Retail BBB 28/10/2021 0.03% New Issue

XS1115490523 ORANGE Telecommunications BBB 01/10/2021 0.07% New Issue


XS1120892507 TELEFONICA EMIS Telecommunications BBB 17/10/2029 0.05% New Issue

FR0012199065 RTE RESEAU DE TR Utilities A 08/07/2024 0.03% New Issue

XS1116408235 IBERDROLA INTL Utilities BBB 08/10/2024 0.03% New Issue

XS1126183760 SNAM Utilities BBB 21/04/2023 0.03% New Issue


Markit iBoxx £ Corporates rebalancing activity – Feb 14

Table 11: iBoxx £ Corporates - Out


XS0784809393 VOLKSWAGEN FIN Automobiles & Parts BBB 23/10/2015 0.07%


November 2014 21


Table 12: iBoxx £ Corporates - In


XS0103214762 GKN HOLDINGS PLC Automobiles & Parts BBB 28/10/2019 0.12% Upgraded

XS0830978259 GKN HOLDINGS PLC Automobiles & Parts BBB 19/09/2022 0.15% Upgraded

FR0012188670 RCI BANQUE Automobiles & Parts BBB 06/10/2017 0.07% New Issue

XS1120891012 ABBEY NATL TREAS Banks A 15/10/2029 0.14% New Issue

XS1120081283 RSA INSURANCE Insurance BBB 10/10/2025 0.12% New Issue

XS1130913558 SOCIETY LLOYD'S Insurance A 30/10/2024 0.14% New Issue



Markit iBoxx $ Corporates rebalancing activity – Feb 14

Table 13: iBoxx $ Corporates - Out


US61746SBR94 MORGAN STANLEY Financials A 15/10/2015 0.05%


November 2014 22

US38143VAA70 GOLDMAN SACHS Financials BBB 15/02/2034 0.08%


November 2014 23

Table 14: iBoxx $ Corporates - In


XS0901578681 AQUARIUS + INV S Financials BBB 01/09/2019 0.02% New Issue

XS0976879279 ICBC ASIA Financials BBB 10/10/2018 0.01% New Issue

XS1045409965 UNITED OVERSEAS Financials A 19/09/2019 0.02% New Issue

USQ0426RNB07 AUST & NZ BANK Financials A 19/03/2024 0.02% New Issue

USG6180BAB39 MIZUHO FIN GROUP Financials BBB 27/03/2024 0.04% New Issue

US03879QAB05 ARC PROP OPER LP Financials BBB 06/02/2017 0.03% New Issue

US03879QAD60 ARC PROP OPER LP Financials BBB 06/02/2019 0.02% New Issue

US03879QAF19 ARC PROP OPER LP Financials BBB 06/02/2024 0.01% New Issue

USN45780CU01 ING BANK NV Financials A 01/10/2019 0.03% New Issue

XS1113240268 BANK COMMUNICATI Financials BBB 03/10/2019 0.03% New Issue

XS1117537172 NATL BANK OMAN Financials A 07/10/2019 0.01% New Issue

USU3136KAA17 FARMERS CAP III Financials BBB 15/10/2034 0.01% New Issue

US05579T5G71 BNP PARIBAS Financials BBB 15/10/2024 0.02% New Issue

US78010U4A25 ROYAL BK CANADA Financials AA 13/10/2017 0.02% New Issue

XS1122384685 GREENLAND GLB Financials BBB 17/10/2017 0.01% New Issue

USJ4506XAM05 MIT UFJ TR&BK Financials A 16/10/2017 0.02% New Issue

USJ4506XAN87 MIT UFJ TR&BK Financials A 16/10/2019 0.02% New Issue

USJ54675AB95 NIPPON LIFE INS Financials A 16/10/2024 0.05% New Issue

XS1028938915 YAPI KREDI BANKA Financials BBB 22/10/2019 0.01% New Issue

US48127HAA77 JPMORGAN CHASE Financials A 22/10/2019 0.05% New Issue

US06051GFL86 BANK OF AMER CRP Financials BBB 22/10/2026 0.05% New Issue

US87236YAD04 TD AMERITRADE Financials A 01/04/2025 0.01% New Issue

US61761JVL06 MORGAN STANLEY Financials A 23/10/2024 0.07% New Issue

US38148FAB58 GOLDMAN SACHS GP Financials A 23/10/2019 0.06% New Issue

US55608RAK68 MACQUARIE BK LTD Financials A 27/10/2017 0.02% New Issue

US90331HML41 US BANK NA OHIO Financials AA 28/10/2019 0.04% New Issue

XS1130968453 CITIC SEC FIN MT Financials BBB 30/10/2019 0.01% New Issue

USJ09748AC83 DAI-ICHI LIFE Financials BBB 28/10/2024 0.02% New Issue

XS1121459074 IS BANKASI Financials BBB 30/04/2020 0.02% New Issue

US75913MAA71 REGIONS BK ALAB Financials BBB 26/06/2037 0.01% New Issue

US75913MAB54 REGIONS BK ALAB Financials BBB 15/05/2018 0.02% New Issue

USG6391AAC83 ONOSM-CALL12/14 Non-Financials BBB 01/12/2014 0.02% New Issue

US927804FR06 VIRGINIA EL&PWR Non-Financials A 15/08/2043 0.01% New Issue

US714294AB16 PERRIGO CO PLC Non-Financials BBB 08/11/2016 0.01% New Issue

US714294AF20 PERRIGO CO PLC Non-Financials BBB 08/11/2018 0.01% New Issue

US714294AD71 PERRIGO CO PLC Non-Financials BBB 15/08/2023 0.02% New Issue

XS1109736592 VERIZON COMM INC Non-Financials BBB 23/09/2044 0.02% New Issue

US68235PAF53 ONE GAS INC Non-Financials A 01/08/2043 0.02% New Issue

US71654QBQ47 PETROLEOS MEXICA Non-Financials BBB 23/01/2019 0.01% New Issue

US71654QBR20 PETROLEOS MEXICA Non-Financials BBB 23/01/2045 0.08% New Issue

US871829AR85 SYSCO CORP Non-Financials A 02/10/2017 0.01% New Issue

US871829AS68 SYSCO CORP Non-Financials A 02/09/2019 0.02% New Issue


November 2014 24

US871829AT42 SYSCO CORP Non-Financials A 02/08/2021 0.02% New Issue

US871829AU15 SYSCO CORP Non-Financials A 02/07/2024 0.03% New Issue

US871829AV97 SYSCO CORP Non-Financials A 02/04/2034 0.02% New Issue

US871829AW70 SYSCO CORP Non-Financials A 02/04/2044 0.02% New Issue

XS1114425769 HERO ASIA INV Non-Financials BBB 03/10/2017 0.01% New Issue

USY7140DAA82 PELABUHAN INDONE Non-Financials BBB 01/10/2024 0.01% New Issue

USJ7818LAB65 SUNTORY HOLDINGS Non-Financials BBB 29/09/2017 0.01% New Issue

USJ7818LAC49 SUNTORY HOLDINGS Non-Financials BBB 29/09/2019 0.01% New Issue

USG8020EAB77 SEMICONDUCTOR MA Non-Financials BBB 07/10/2019 0.01% New Issue

USU05632AG67 BAE SYSTEMS HLDG Non-Financials BBB 07/10/2024 0.02% New Issue

USU07264AG68 BAYER US FINANCE Non-Financials A 08/10/2024 0.04% New Issue

USU07264AB71 BAYER US FINANCE Non-Financials A 06/10/2017 0.02% New Issue

USU07264AF85 BAYER US FINANCE Non-Financials A 08/10/2021 0.03% New Issue

USU07264AD38 BAYER US FINANCE Non-Financials A 08/10/2019 0.05% New Issue

US29379VBD47 ENTERPRISE PRODU Non-Financials BBB 15/09/2019 0.02% New Issue

US29379VBE20 ENTERPRISE PRODU Non-Financials BBB 15/11/2024 0.03% New Issue

US049560AM78 ATMOS ENERGY Non-Financials A 15/04/2044 0.01% New Issue

USU49140AB99 KEYSIGHT TECHNOL Non-Financials BBB 30/10/2019 0.01% New Issue

USU49140AA17 KEYSIGHT TECHNOL Non-Financials BBB 30/10/2024 0.01% New Issue

US71656MBA62 PETROLEOS MEXICA Non-Financials BBB 15/01/2025 0.02% New Issue

US71656MBB46 PETROLEOS MEXICA Non-Financials BBB 27/06/2044 0.04% New Issue

USU12227AB77 CDK GLOBAL INC Non-Financials BBB 15/10/2024 0.01% New Issue

USU4610AAA61 INVISTA FINANCE Non-Financials BBB 15/10/2019 0.02% New Issue

US370334BU72 GENERAL MILLS IN Non-Financials BBB 20/10/2017 0.01% New Issue

US370334BV55 GENERAL MILLS IN Non-Financials BBB 21/10/2019 0.01% New Issue

US713448CQ97 PEPSICO INC Non-Financials A 22/10/2044 0.01% New Issue

US501044CZ28 KROGER CO/THE Non-Financials BBB 01/11/2021 0.01% New Issue

US92343VCN29 VERIZON COMM INC Non-Financials BBB 01/11/2021 0.03% New Issue

US92343VCR33 VERIZON COMM INC Non-Financials BBB 01/11/2024 0.06% New Issue

US92343VCQ59 VERIZON COMM INC Non-Financials BBB 01/11/2034 0.06% New Issue

US681919BA38 OMNICOM GROUP Non-Financials BBB 01/11/2024 0.02% New Issue

US456873AB47 INGERSOLL-RAND Non-Financials BBB 01/11/2024 0.01% New Issue



November 2014 25

Fixed income market

Analysis and trends


November 2014

26

€ Fixed income return attribution

Table 15: Return attribution (bps) Total Return = Income Return + Price Return + Residual Return Price Return = Duration Return + Credit Return + Calendar Return + Option Return + Redemption Return Duration Return = 1-5Y + 6-10Y + 15+Y Credit Return = Sector Return + Issuer Return

Index Weight Total Return

Income Return

Price Return

Curve Spread Calendar Return

Option Return

Redemp tion

Residual Return Duration

Return 1-5Y 6-10Y 15+Y

Credit Return

Sector Return

Issuer Return

€ Overall 100.00% 32.07 38.94 -4.78 41.65 0.47 18.15 23.04 -20.24 -17.14 -3.11 -26.19 0.01 0.00 -2.10

€ Sovereigns 59.88% 25.68 44.84 -16.12 53.09 0.45 18.89 33.75 -37.42 -32.15 -5.27 -31.79 0.00 0.00 -3.04

€ Sub-Sovereigns 13.49% 33.29 34.22 0.19 30.62 0.57 18.50 11.55 -6.59 -5.22 -1.36 -23.84 0.00 0.00 -1.11

€ Collateralized 9.82% 51.65 32.41 18.39 17.54 0.35 14.55 2.64 24.19 24.34 -0.16 -23.34 0.00 0.00 0.85

€ Corporates 16.80% 42.46 25.54 18.15 23.77 0.49 17.28 5.99 4.22 2.73 1.49 -9.88 0.04 0.00 -1.22

€ Financials 7.44% 41.33 28.96 13.82 19.33 0.34 14.25 4.74 8.20 2.35 5.85 -13.72 0.01 0.00 -1.45

€ Non-Financials 9.37% 43.35 22.85 21.54 27.24 0.61 19.65 6.97 1.10 3.03 -1.93 -6.87 0.07 0.00 -1.04

€ Corporates AAA 0.08% 68.32 0.00 70.88 59.97 2.06 20.08 37.83 -7.96 -8.21 0.25 17.79 1.07 0.00 -2.55

€ Corporates AA 2.13% 35.59 20.30 16.81 22.67 0.07 17.25 5.35 2.87 2.76 0.11 -8.75 0.02 0.00 -1.52

€ Corporates A 7.50% 45.65 22.76 23.83 26.12 0.53 19.06 6.53 5.86 1.90 3.96 -8.19 0.04 0.00 -0.95

€ Corporates BBB 7.09% 40.91 30.40 11.91 21.19 0.57 15.36 5.25 3.03 3.73 -0.70 -12.35 0.04 0.00 -1.40


€


November 2014 27

£ Fixed income return attribution

Table 16: Return attribution (bps) Total Return = Income Return + Price Return + Residual Return Price Return = Duration Return + Credit Return + Calendar Return + Option Return+ Redemption Return Duration Return = 1-5Y + 6-10Y + 15+Y Credit Return = Sector Return + Issuer Return


Income Return

Price Return


Option Return

Redemp tion



Credit Return

Sector Return

Issuer Return

£ Overall 100.00% 118.59 13.49 105.56 112.46 25.80 44.06 42.60 -20.15 -19.16 -0.99 16.61 0.00 -3.36 -0.46

£ Gilts 68.17% 138.78 0.00 139.95 115.91 26.46 43.26 46.19 0.21 0.13 0.08 23.83 0.00 0.00 -1.17

£ Sub-Sovereigns 6.70% 106.17 11.73 94.87 93.08 29.20 30.94 32.93 -9.37 -9.73 0.36 11.17 0.00 0.00 -0.43

£ Collateralized 4.32% 78.69 116.65 -40.21 118.64 17.44 60.97 40.23 -76.92 -65.75 -11.17 -5.42 0.00 -76.50 2.25

£ Corporates 20.56% 66.55 36.00 29.29 106.04 24.41 47.22 34.41 -76.30 -75.13 -1.18 -0.45 0.00 0.00 1.26

£ Financials 8.45% 63.30 36.70 24.51 96.39 26.17 45.30 24.92 -72.50 -71.20 -1.30 0.62 -0.01 0.00 2.09

£ Non-Financials 12.11% 68.76 35.53 32.53 112.59 23.22 48.52 40.86 -78.89 -77.80 -1.09 -1.17 0.00 0.00 0.70

£ Corporates AAA 0.14% 133.17 27.16 107.91 140.44 10.80 64.42 65.23 -35.33 -35.27 -0.06 2.80 0.00 0.00 -1.91

£ Corporates AA 2.28% 88.64 8.71 80.31 111.72 24.99 44.36 42.37 -52.64 -55.40 2.76 21.22 0.00 0.00 -0.38

£ Corporates A 9.14% 62.79 40.40 22.27 111.24 23.23 45.63 42.39 -82.89 -80.87 -2.02 -6.08 0.00 0.00 0.11

£ Corporates BBB 9.00% 64.00 38.27 22.85 98.82 25.70 49.26 23.86 -75.96 -74.67 -1.29 0.00 -0.01 0.00 2.88


£


November 2014 28

$ Fixed income return attribution

Table 17: Return attribution (bps) Total Return = Income Return + Price Return + Residual Return Price Return = Duration Return + Credit Return + Calendar Return + Option Return+ Redemption Return Duration Return = 1-5Y + 6-10Y + 15+Y Credit Return = Sector Return + Issuer Return


Income Return

Price Return


Option Return

Redemp tion



Credit Return

Sector Return

Issuer Return

$ Overall 100.00% 102.23 20.01 81.73 88.26 24.58 33.14 30.54 -11.81 -24.43 12.62 8.64 0.09 -3.46 0.49

$ Treasuries 58.18% 107.22 6.31 97.46 87.64 25.39 31.00 31.24 -5.54 -15.92 10.39 15.36 0.00 0.00 3.44

$ Sub-Sovereigns 8.80% 57.15 59.68 0.97 52.91 27.20 17.76 7.95 -13.79 -14.07 0.27 -3.77 1.12 -35.51 -3.50

$ Covered 0.69% 38.82 12.52 28.11 35.40 30.82 2.35 2.23 -14.33 -12.22 -2.11 7.05 0.00 0.00 -1.81

$ Corporates 29.45% 97.14 34.82 57.75 99.19 22.41 41.21 35.57 -39.31 -47.35 8.03 -0.74 -0.09 -1.29 4.57

$ Financials 10.97% 89.15 32.39 52.41 77.88 25.16 34.31 18.41 -24.70 -28.74 4.04 -0.91 0.13 0.00 4.35

$ Non-Financials 18.48% 101.98 36.29 60.99 112.09 20.74 45.39 45.96 -48.17 -58.62 10.45 -0.64 -0.23 -2.06 4.70

$ Corporates AAA 0.31% 124.56 8.79 110.22 129.54 24.16 41.88 63.51 -39.88 -54.25 14.37 20.48 0.09 0.00 5.55

$ Corporates AA 3.95% 103.61 27.40 68.43 93.56 23.84 36.32 33.41 -25.70 -33.85 8.15 0.62 -0.06 0.00 7.78

$ Corporates A 12.64% 96.80 30.10 60.05 93.74 23.98 36.74 33.02 -33.64 -41.31 7.66 -0.19 0.14 0.00 6.65

$ Corporates BBB 12.54% 94.77 42.58 50.79 105.81 20.31 47.30 38.20 -49.41 -57.63 8.22 -2.23 -0.35 -3.03 1.40


$


November 2014

29

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

23

27

1

-7

0 0

43

29

19

8

-14

0 0

41

-20

-10

0

10

20

30

40

50

Income Return Duration Return Credit Return Calendar Return Option Return Redemp tion Total Return

€ Non-Financials € Financials

Figure 28: Return attribution by months (bps) - € Corporates

2831

26

12

35

26

66

34

20

91

0

24

8 9 911

14

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14

Income Return Duration Return Credit Return


€


November 2014 30

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

36

113

-79

-1 0

0

69

37

96

-72

1

0

0

63

-100

-50

0

50

100

150

Income Return Duration Return Credit Return Calendar Return Option Return Redemption Total Return

£ Non-Financials £ Financials

Figure 30: Return attribution by months (bps) - £ Corporates monthly

41

63 64

14

5136

61

-79

57

261

-65

106

38

10

-41

-18-29

-76-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

250.00

300.00




£


November 2014 31

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

36

112

-48

-1 0 -2

102

32

78

-25

-1

0 0

89

-60

-40

-20

0

20

40

60

80

100

120

140

Income Return Duration Return

Credit Return Calendar Return

Option Return Redemption Return

Total Return

$ Non-Financials $ Financials

Figure 32: Return attribution by months (bps) - $ Corporates monthly

3426

68

3446

35

109

-35 -31

128

-91

99

14

-8 -11 -11

-85

-39

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00




$


November 2014 32

Key rate duration and attribution – € Corporates

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

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

KRD 0.04 0.10 0.24 0.42 0.51 0.60 0.54 0.45 0.34 0.56 0.28 0.09 0.04 0.05

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

Bp

s

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

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

RF Delta 9.57 5.77 2.26 -0.82 -3.33 -5.17 -6.44 -7.30 -7.90 -8.39 -11.23 -14.07 -15.76 -15.15

-20

-15

-10

-5

0

5

10

15

Bp

s

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

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

Return -0.41 -0.59 -0.53 0.34 1.69 3.11 3.46 3.29 2.71 4.71 3.17 1.30 0.71 0.82

-1

0

1

2

3

4

5

Bp

s


€


November 2014 33

Key rate duration and attribution – £ Corporates


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

KRD 0.08 0.18 0.26 0.33 0.37 0.34 0.39 0.41 0.39 1.03 1.45 1.00 0.83 0.60

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

Bp

s


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

RF Delta -17.28 -18.62 -19.73 -20.51 -20.84 -20.66 -20.05 -19.13 -18.03 -16.87 -12.00 -8.60 -6.45 -5.28

-25

-20

-15

-10

-5

0

Bp

s


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

Return 1.36 3.41 5.10 6.75 7.79 7.09 7.83 7.82 7.09 17.38 17.36 8.57 5.34 3.15

0

2

4

6

8

10

12

14

16

18

20

Bp

s


£


November 2014 34

Key rate duration and attribution – $ Corporates


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

KRD 0.10 0.25 0.41 0.46 0.43 0.40 0.43 0.50 0.44 0.47 0.52 0.62 0.76 0.48

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

Bp

s


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

RF Delta -5.42 -9.17 -12.53 -15.32 -17.34 -18.46 -18.83 -18.66 -18.15 -17.52 -15.27 -14.51 -14.76 -15.50

-20

-18

-16

-14

-12

-10

-8

-6

-4

-2

0

Bp

s


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

Return 0.53 2.30 5.09 7.01 7.47 7.39 8.11 9.37 8.06 8.28 7.86 9.04 11.21 7.45

0

2

4

6

8

10

12

Bp

s


$


November 2014

35

€ Fixed income stress test

Table 18: Stress test The table shows how much each index will move in the following scenarios (in bps)

Yield curve shift: Shift up – All key rates 1-30yr (+ 100 bps) Steepener - key rates 1-5 yr (+ 50 bps), key rates 10,15,20,25,30 yr (- 50 bps) Butterfly - key rates 1-5 yr (+ 50 bps), key rates 6-9 yr (- 50 bps), key rates 10,15,20,25,30 yr (+ 50 bps)

Highest historical shift – biggest monthly historical shift of the yield curve for the past 12 months

Spreads shift: Shift up: BBB bonds (+ 100 bps), A bonds (+ 85 bps), AA bonds (+ 52 bps), AAA bonds (- 42 bps) – based on 1 year rolling correlation between spreads

Overall Sovereigns Sub-

Sovereigns Collateralized Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up

-579.3 -657.7 -518.9 -399.9 -453.5 -403.7 -493.2 -760.1 -438.5 -475.9 -430.8

Steepener

-47.5 -97.2 4.1 50.8 30.7 46.0 18.6 -136.9 35.9 20.5 41.9

Butterfly

-101.5 -143.1 -57.5 -20.9 -35.7 -40.8 -31.7 -132.2 -22.3 -31.0 -43.6

Highest historical shift

-214.9 -245.3 -192.6 -143.3 -166.3 -143.7 -184.2 -299.7 -159.8 -176.6 -155.7

Spreads

Shift up

-107.4 -117.8 73.7 113.8 -345.5 -288.8 -390.4 679.4 -173.4 -325.1 -430.8


€


November 2014 36

£ Fixed income stress test



Highest historical shift – biggest historical shift of the yield curve for the past 12 months

Spreads shift: Shift up: BBB bonds (+ 100 bps), A bonds (+ 97 bps), AA bonds (+ 99 bps), AAA bonds (+ 95 bps) – based on 1 year rolling correlation between spreads

Overall Gilts Sub-

Sovereigns Collateralized Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up -893.1 -952.9 -677.3 -860.6 -769.5 -648.1 -854.2 -1356.8 -813.8 -862.4 -654.9

Steepener -245.8 -272.6 -140.9 -256.6 -187.3 -114.5 -238.0 -550.7 -205.3 -249.7 -113.7

Butterfly -301.6 -331.0 -240.8 -255.3 -232.2 -164.4 -279.5 -530.6 -250.8 -297.5 -156.5

Highest historical shift -451.3 -464.8 -366.2 -490.1 -424.7 -368.3 -464.0 -617.0 -436.8 -460.0 -382.8

Spreads

Shift up -787.7 -879.6 -523.5 -668.6 -590.7 -499.5 -654.4 -933.2 -751.3 -482.3 -654.9


£


November 2014 37

$ Fixed income stress test



Highest historical shift – biggest historical shift of the yield curve for the past 12 months

Spreads shift: Shift up: BBB bonds (+ 100 bps), A bonds (+ 96 bps), AA bonds (+ 99 bps), AAA bonds (+ 95 bps) – based on 1 year rolling correlation between spreads

Overall Treasuries Sub-

Sovereigns Covered Corporates Financials

Non-Financials

Corporates AAA

Corporates AA

Corporates A

Corporates BBB

Yield Curve

Shift up -576.5 -575.8 -363.4 -265.7 -636.8 -499.4 -718.3 -800.8 -607.0 -606.8 -672.2

Steepener -31.6 -28.3 73.1 109.1 -65.4 11.3 -110.9 -155.6 -48.2 -46.7 -87.5

Butterfly -141.3 -147.6 -104.3 -119.6 -139.2 -102.4 -161.0 -255.4 -143.5 -142.0 -132.1

Highest historical shift -309.0 -304.8 -174.8 -96.7 -353.6 -271.4 -402.4 -440.4 -331.4 -331.7 -380.4

Spreads

Shift up -511.8 -479.4 -315.0 -225.5 -623.4 -486.8 -704.4 -666.8 -565.1 -592.0 -672.2


$


November 2014

38

Relative value opportunities in € Financials

Figure 42: € Financial AA sector curve

0

0.5

1

1.5

2

2.5

3

3.5

0 5 10 15 20 25 30

Yie

ld

Maturity

Yield Curve

Table 21: Top/Bottom 5 bonds according to distance to curve

Bottom 5

ISIN Name TTM OAS

XS0986102605 IND BK OF KOREA 3.99 92

XS0935287275 BNZ INTL FUND/LN 3.55 64

XS0300966495 MET LIFE GLOB 2.53 55

XS0491922828 BNZ INTL FUND/LN 2.34 51

XS0834640541 MET LIFE GLOB 4.91 70

Top 5

ISIN Name TTM OAS

XS0350890470 GE CAP EUR FUND 23.32 102

XS0256967869 RABOBANK 6.59 51

XS0526606537 HSBC BANK PLC 6.20 51

XS0490013801 COM BK AUSTRALIA 5.31 48

XS0525602339 RABOBANK 10.69 51

Figure 43: € Financial A sector curve

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0 5 10 15 20 25 30

Yie

ld

Maturity

Yield Curve

Table 22: Top/Bottom 5 bonds according to distance to curve

Bottom 5

ISIN Name TTM OAS

AT0000A12GN0 VIENNA INSURANCE 8.93 336

XS0319639232 GEN ELEC CAP CRP 2.87 252

XS0491211644 GE CAP TRUST II 2.87 251

XS0491212451 GE CAP TRUST IV 1.87 246

DE000A1YCQ29 ALLIANZ SE 8.97 274

Top 5

ISIN Name TTM OAS

XS0802756683 SOCIETE GENERALE 7.69 56

XS0606704558 BNP PARIBAS 8.38 62

XS0819130302 BANQ FED CRD MUT 7.80 63

FR0011689579 BPCE 9.71 64

XS0579847673 ING BANK NV 6.21 59


€


November 2014 39

Figure 44: € Financial BBB sector curve

0

1

2

3

4

5

6

7

0 5 10 15

Yie

ld

Maturity

Yield Curve

Table 23: Top/Bottom 5 bonds according to distance to curve Bottom 5

ISIN Name TTM OAS

XS1034950672 RAIFFEISEN BK IN 5.30 589

XS0987109658 GAZPROMBANK 3.99 530

XS1084024584 GAZPROMBANK 4.66 526

XS0619437147 RAIFFEISEN BK IN 6.54 507

XS1082459568 SBERBANK 5.03 457

Top 5

ISIN Name TTM OAS

XS1062493934 AON PLC 11.28 104

XS1107731702 BANK OF AMER CRP 6.85 91

XS0986194883 INTESA SANPAOLO 8.99 119

XS1110299036 SAMPO OYJ 6.87 97

DE000A1ZLUN1 DEUTSCHE ANN FIN 7.68 116

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

Figure 45: € Financial BB sector curve

0

5

10

15

20

25

30

35

40

0 2 4 6 8 10 12

Yie

ldMaturity

Yield Curve

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

ISIN Name TTM OAS

XS0418134663 SANTANDER FINANC 4.38 3683

XS0418134663 SANTANDER FINANC 4.38 3683

XS0253262025 RZB FIN JERSEY 1.54 1396

BE0930906947 ETHIAS 1.13 939

FR0010533414 GROUPAMA SA 2.97 641

Top 5

ISIN Name TTM OAS

ES03136793B0 BANKINTER SA 4.60 106

PTCG25OM0029 CAIXA GERAL DEPO 1.08 160

ES0214977094 BANCAJA 1.24 122

ES0313307003 BANKIA 4.21 142

XS0880063994 BANCO POPOLARE 1.24 165


€


November 2014

40

Fixed income market

ETF market activity


November 2014 41

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

Launch date ETF Name Ticker Provider Type

30/09/2014 UBS ETF Barclays US Liquid Corporates UCITS HDG (CHF) A-acc

CBUSS UBS ETF - Europe Corporate

Table 26: US fixed income ETF launches

Launch date ETF Name Ticker Provider Type

06/10/2014 Fidelity Total Bond ETF FBND Fidelity Broad Market

06/10/2014 Fidelity Limited Term Bond ETF FLTB Fidelity Broad Market

06/10/2014 Fidelity Corporate Bond ETF FCOR Fidelity Corporate

16/10/2014 Vident Core U.S. Bond Strategy ETF VBND Exchange Traded Concepts

Government

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

Oct-14

YTD

Type Europe* USA* Asia* Total

Europe* USA* Asia* Total

Broad Market 652 4,619 24 5,295

2,305 15,375 63 17,744

Sovereigns (270) 9,919 (503) 9,146

10,474 16,853 (535) 26,792

Sub-Sovereigns 0 461 31 493

0 2,503 96 2,599

Corporates IG 1,897 907 0 2,804

7,659 7,865 (224) 15,300

Covered 222 3 0 225

912 (13) 0 899

Convertible 19 (43) 0 (24)

0 739 0 739

High Yield 497 1,927 (10) 2,413

638 1,821 7 2,466

Loans 0 (104) 0 (104)

0 238 0 238

Asset Backed 0 (104) 0 (104)

6 1,422 0 1,428

CDS 21 (2) 0 19

(270) 14 0 (256)

Inflation (240) (377) 2 (615)

292 (112) 9 189

Money Market 160 0 (73) 87

(102) 0 679 578

Preferred Stock 0 544 1 545

0 2,343 8 2,351

Yield-Curve Strategy 0 0 0 0

0 0 0 0

Total 2,957 17,749 (528) 20,178

21,914 49,049 105 71,068

* Listing Region Source: Markit ETP Analytics


November 2014 42

Fixed income ETF issuers by AUM

Table 28: Top 10 Fixed income ETF issuers by AUM and regions All figures in $ million except otherwise stated

Europe

US

Issuer AUM Share

Issuer AUM Share

iShares - Europe 60,704 59.8%

iShares - US 154,992 49.8%

db x-trackers - Europe 12,472 12.3%

Vanguard - US 64,608 20.7%

Lyxor 8,230 8.1%

SPDR ETFs - US 33,980 10.9%

Source ETF 5,125 5.0%

PowerShares - US 15,480 5.0%

Amundi ETF 3,893 3.8%

PIMCO ETFs 12,189 3.9%

SPDR ETFs - Europe 3,537 3.5%

Guggenheim Funds 6,780 2.2%

Deka ETFs 3,405 3.4%

ProShares ETFs 6,711 2.2%

ComStage ETFs 1,504 1.5%

Market Vectors 4,485 1.4%

Think Capital 1,326 1.3%

FlexShares 2,627 0.8%

UBS ETF - Europe 855 0.8%

Charles Schwab 2,541 0.8%

Others 451 0.4%

Others 7,126 2.3%

Total 101,501 100.0%

Total 311,520 100.0%

Asia

Total

Issuer AUM Share

Issuer AUM Share

SSgA Asia ETFs 3,101 21.7%

BlackRock 216,013 50.6%

Fortune SG China ETFs 2,944 20.6%

Vanguard 64,660 15.1%

Yinhua China ETFs 1,833 12.8%

State Street 40,635 9.5%

Kodex Korea ETFs 1,151 8.1%

PowerShares 15,822 3.7%

CSOP Hong Kong ETFs 653 4.6%

Deutsche Bank 12,608 3.0%

BetaShares Australia ETFs 570 4.0%

PIMCO 12,189 2.9%

Tiger Korea 442 3.1%

Société Générale 8,230 1.9%

KStar Korea ETFs 431 3.0%

Guggenheim Investments 6,780 1.6%

Nikko Singapore ETFs 400 2.8%

ProShares 6,711 1.6%

HSBC - Hong Kong 382 2.7%

Source 5,125 1.2%

Others 2,376 16.6%

Others 38,532 9.0%

Total 14,284 100.0%

Total 427,304 100.0%



November 2014 43

Fixed income ETFs by inflow and outflow

Table 29: Europe top 10 fixed income ETF by inflows during last month All figures in $ million except otherwise stated

ETF Name Ticker Issuer Oct-14 Flows

YTD Flows

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ BlackRock 416 1,412

Think iBoxx Government Bond UCITS ETF TGBT ThinkCapital Asset Management

402 385

iShares $ High Yield Corporate Bond UCITS ETF IHYU BlackRock 394 142

iShares Euro Corporate Bond UCITS ETF IEAC BlackRock 351 1,943

iShares $ Corporate Bond UCITS ETF LQDE BlackRock 236 662

PIMCO Euro Short Maturity Source UCITS ETF PJS1 Source 233 1,108

Think iBoxx Corporate Bond UCITS ETF TCBT ThinkCapital Asset Management

195 203

iShares $ Treasury Bond 7-10yr UCITS ETF IDTM BlackRock 193 395

db x-trackers II Barclays Global Aggregate Bond UCITS ETF 5C XBAE Deutsche Bank 186 378

LYXOR UCITS ETF EURO CASH CSH Société Générale 164 6

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


YTD Flows

iShares 1-3 Year Treasury Bond ETF SHY BlackRock 3,440 3,483

iShares Short Treasury Bond ETF SHV BlackRock 1,885 1,566

iShares Core U.S. Aggregate Bond ETF AGG BlackRock 1,833 5,371

Vanguard Total Bond Market ETF BND Vanguard 1,614 5,913

iShares iBoxx $ High Yield Corporate Bond ETF HYG BlackRock 1,586 (860)

iShares 7-10 Year Treasury Bond ETF IEF BlackRock 1,154 2,374

SPDR Barclays 1-3 Month T-Bill ETF BIL State Street 919 796

iShares 3-7 Year Treasury Bond ETF IEI BlackRock 684 1,371

SPDR Barclays High Yield Bond ETF JNK State Street 674 (320)

iShares J.P. Morgan USD Emerging Markets Bond ETF EMB BlackRock 656 1,465



November 2014 44

Table 31: Europe top 10 fixed income ETF by outflows during last month All figures in $ million except otherwise stated


YTD Flows

iShares Euro Government Bond 3-5yr UCITS ETF IBGX BlackRock (837) (821)

PIMCO US Dollar Short Maturity Source UCITS ETF MINT Source (813) (70)

iShares UK Gilts 0-5yr UCITS ETF IGLS BlackRock (159) (201)

iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF IEMB BlackRock (121) 1,243

db x-trackers II iBoxx Global Inflation-Linked UCITS ETF (EUR) DBXH Deutsche Bank

(117) (247)

LYXOR UCITS ETF DAILY DOUBLE SHORT BUND DSB Société Générale

(98) 146

db x-trackers II iBoxx Sovereigns Eurozone 5-7 UCITS ETF DBXR Deutsche Bank

(94) 138

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

(79) 354

Amundi ETF Govt Bond EuroMTS Broad Investment Grade 5-7 UCITS ETF C53 Amundi (74) 155

PIMCO Short-Term High Yield Corporate Bond Index Source UCITS ETF STHY Source (49) (64)

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


YTD Flows

PIMCO 0-5 Year High Yield Corporate Bond Index Fund HYS PIMCO (576) (231)

PIMCO Total Return Exchange-Traded Fund BOND PIMCO (525) (1,150)

iShares TIPS Bond ETF TIP BlackRock (259) (624)

PowerShares Senior Loan Portfolio ETF BKLN PowerShares (194) (32)

Guggenheim Enhanced Short Duration ETF GSY Guggenheim Investments

(190) 61

iShares 1-3 Year Credit Bond ETF CSJ BlackRock (169) (571)

iShares MBS ETF MBB BlackRock (131) 1,152

iShares Intermediate Credit Bond ETF CIU BlackRock (98) 646

PIMCO Broad US TIPS Index Fund TIPZ PIMCO (68) 4

ProShares UltraShort 20+ Year Treasury ETF TBT ProShares (66) 1,054



November 2014 45

Fixed income ETFs by assets

Table 33: Europe top 20 fixed income ETFs by assets All figures in $ million except otherwise stated

ETF Name Ticker Issuer Type AUM Turnover

iShares Euro Corporate Bond UCITS ETF IEAC iShares - Europe Corporate 5,412 567

iShares Euro Corporate Bond Large Cap UCITS ETF IBXLQ iShares - Europe Corporate 4,902 374

iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF IEMB iShares - Europe Sovereign 4,164 664

iShares $ Treasury Bond 1-3yr UCITS ETF IDBT iShares - Europe Treasury 3,264 188

iShares Euro High Yield Corporate Bond UCITS ETF IHYG iShares - Europe High Yield 3,182 509

iShares Euro Corporate Bond ex-Financials UCITS ETF IEXF iShares - Europe Corporate 2,396 64

PIMCO Euro Short Maturity Source UCITS ETF PJS1 Source ETF Broad Market 2,144 13

iShares Emerging Markets Local Government Bond UCITS ETF IEML iShares - Europe Government 1,976 62

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

1,943 334

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

XY4P db x-trackers - Europe

Government 1,937 98

Amundi EX AAA Government Bond EuroMTS Investment Grade UCITS ETF

X1G Amundi ETF Government 1,880 117

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

1,857 237

iShares Euro Aggregate Bond UCITS ETF IEAG iShares - Europe Broad Market 1,783 339

iShares UK Gilts UCITS ETF IGLT iShares - Europe Government 1,655 314

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

1,590 90

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

Government 1,474 141

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF DBXN db x-trackers - Europe

Government 1,420 106

iShares $ High Yield Corporate Bond UCITS ETF IHYU iShares - Europe High Yield 1,409 439

iShares Euro Government Bond 3-5yr UCITS ETF IBGX iShares - Europe Government 1,385 299

PIMCO US Dollar Short Maturity Source UCITS ETF MINT Source ETF Government 1,334 73



November 2014 46

Table 34: US top 20 fixed income ETFs by assets All figures in $ million except otherwise stated

ETF Name Ticker Issuer Type AUM Turnover

Vanguard Total Bond Market ETF BND Vanguard - US Broad Market 24,156 1,872

iShares Core U.S. Aggregate Bond ETF AGG iShares - US Broad Market 21,192 2,413

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

18,102 2,809

Vanguard Short-Term Bond ETF BSV Vanguard - US Broad Market 15,453 816

iShares iBoxx $ High Yield Corporate Bond ETF HYG iShares - US High Yield 14,247 9,412

iShares TIPS Bond ETF TIP iShares - US TIPS 12,284 740

iShares 1-3 Year Treasury Bond ETF SHY iShares - US Treasury 11,721 1,344

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

11,268 272

iShares U.S. Preferred Stock ETF PFF iShares - US Preferred Stock 11,004 508

SPDR Barclays High Yield Bond ETF JNK SPDR ETFs - US High Yield 9,633 3,967

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

8,854 318

iShares MBS ETF MBB iShares - US Agency MBS 6,561 263

PowerShares Senior Loan Portfolio ETF BKLN PowerShares - US

Leveraged Loan 6,296 747

iShares 7-10 Year Treasury Bond ETF IEF iShares - US Treasury 6,195 2,179

iShares Intermediate Credit Bond ETF CIU iShares - US Corporate 6,122 345

iShares J.P. Morgan USD Emerging Markets Bond ETF EMB iShares - US Sovereign 5,148 1,240

iShares 20+ Year Treasury Bond ETF TLT iShares - US Treasury 4,618 20,704

Vanguard Intermediate-Term Bond ETF BIV Vanguard - US Broad Market 4,417 225

SPDR Barclays Short Term High Yield Bond ETF SJNK SPDR ETFs - US High Yield 4,233 277

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

4,222 228



November 2014 47

Markit iBoxx ETF investible universe

Table 35: Markit iBoxx ETFs by asset class All figures in $ million except otherwise stated Summary

Asset Class No. Indices AUM Share

Government 91 15,759 20.7%

Corporate 62 56,745 74.7%

Inflation 13 3,450 4.5%

Total 166 75,955 100%

Government indices

Index Name ETP Name ETP Ticker Issuer Type Region AUM

Markit iBoxx EUR Germany Sov & Sub-Sov Liquid Index (EUR, Total Gross Return)

ProShares German Sovereign/Sub-Sovereign ETF

GGOV ProShares ETFs

Government Americas 6

Markit iBoxx ABF Indices (HKD, ABF Hong Kong, Total Gross Return)

ABF Hong Kong Bond Index Fund

2819 HSBC - Hong Kong

Government APAC 382

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

ABF Indonesia Bond Index ETF Fund

R-ABFII Bahana Indonesia ETFs

Government APAC 149

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

ABF Malaysia Bond Index Fund 0800EA AmInvestment Malaysia ETFs

Government APAC 213

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

ABF Pan Asia Bond Index Fund

2821 SSgA Asia ETFs

Government APAC 3,101

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

ABF Singapore Bond Index Fund

A35 Nikko Singapore ETFs

Government APAC 400

Markit iBoxx ABF Indices (THB, ABF Thailand, Total Gross Return)

ABF Thailand Bond Index Fund ABFTH Kasikorn Thailand ETFs

Government APAC 176

Markit iBoxx ABF Singapore (SGD, Total Gross Return)

db x-trackers II Makrit iBoxx ABF Singapore Government UCITS ETF

KV4 db x-trackers - Asia

Government APAC 12

Markit iBoxx $ Short Treasuries 7-10Y (USD, Total Gross Return)

Amundi ETF Short US Treasury 7-10 Daily UCITS ETF

SU7 Amundi ETF Government Europe

Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 1-3, Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 1-3 TR UCITS ETF

X502 ComStage ETFs

Government Europe 151



X507 ComStage ETFs


Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 15+, Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 15+ TR UCITS ETF

X508 ComStage ETFs


Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 25+, Total Gross Return)

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

X509 ComStage ETFs


Markit iBoxx EUR Liquid Sovereign Diversified 3m-1 (EUR, Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 3m-1 TR UCITS ETF

X501 ComStage ETFs




X504 ComStage ETFs


Markit iBoxx EUR Liquid Sovereigns ComStage ETF iBoxx EUR X505 ComStage Government Europe 105


November 2014 48

Diversified (EUR, Liquid Sovereign Diversified 7-10, Total Gross Return)

Liquid Sovereigns Diversified 7-10 TR UCITS ETF

ETFs

Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified , Total Gross Return)

ComStage ETF iBoxx EUR Liquid Sovereigns Diversified Overall TR UCITS ETF

X500 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped Indices (EUR, Sovereigns Germany Capped 1-5, Total Gross Return)

ComStage ETF iBoxx EUR Sovereigns Germany Capped 1-5 TR UCITS ETF

8521 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped Indices (EUR, Sovereigns Germany Capped 10+, Total Gross Return)

ComStage ETF iBoxx EUR Sovereigns Germany Capped 10+ TR UCITS ETF

8523 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped 3m-2 (EUR, Total Gross Return)

Comstage ETF iBoxx EUR Sovereigns Germany Capped 3m-2 TR UCITS ETF

8520 ComStage ETFs


Markit iBoxx EUR Sovereigns Germany Capped Indices (EUR, Sovereigns Germany Capped 5-10, Total Gross Return)

ComStage ETF iBoxx EUR Sovereigns Germany Capped 5-10 TR UCITS ETF

8522 ComStage ETFs


Markit iBoxx EUR Eurozone (EUR, Eurozone AAA, Total Gross Return)

db x-trackers II iBoxx EUR Sovereigns Euro AAA TR UCITS ETF

XBAT db x-trackers - Europe


Markit iBoxx EUR Sovereigns Eurozone Yield Plus (EUR, Total Gross Return)

db x-trackers II iBoxx EUR Sovereigns Euro Yield Plus 2C UCITS ETF

XHYP db x-trackers - Europe

Government Europe 6


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

XY4P db x-trackers - Europe

Government Europe 1,937

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

db x-trackers II iBoxx GBP Gitls UCITS ETF

XBUT db x-trackers - Europe


Markit iBoxx EUR Germany Indices (EUR, Germany 1-3, Total Gross Return)

db x-trackers II iBoxx Germany 1-3 UCITS ETF

D5BC db x-trackers - Europe




XGN5 db x-trackers - Europe

Government Europe 1



XG71 db x-trackers - Europe

Government Europe 2


db x-trackers II iBoxx Germany Covered 1-3 UCITS ETF

X03A db x-trackers - Europe


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

db x-trackers II iBoxx Germany UCITS ETF

D5BB db x-trackers - Europe


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

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

X03G db x-trackers - Europe

Government Europe 1

xxx(ETP) Markit iBoxx Japan Sovereign Index (JPY, Short Daily, Total Gross Return)

db x-trackers II IBOXX JAPAN SOVEREIGN SHORT DAILY UCITS ETF

XJSS db x-trackers - Europe

Government Europe 7

Markit iBoxx EUR Eurozone (EUR, Eurozone 10-15, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone 10-15 UCITS ETF

DBXC db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone 15+, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone 15+ UCITS ETF

DBXF db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone 25+, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone 25+ UCITS ETF

DBXG db x-trackers - Europe




DBXR db x-trackers - Europe




DBXB db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone AAA 1-3, Total Gross Return)

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

XAXA db x-trackers - Europe

Government Europe 4


November 2014 49

xxx(ETP) Markit iBoxx EUR Sovereigns Eurozone AAA Index (EUR, Total Gross Return)

db x-trackers II IBOXX SOVEREIGNS EUROZONE AAA UCITS ETF

XBAI db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF

DBXN db x-trackers - Europe


Markit iBoxx EUR Eurozone (EUR, Eurozone, Total Gross Return)

db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF 4% - D

X03F db x-trackers - Europe


xxx(ETP) Markit iBoxx EUR Sovereigns Eurozone Yield Plus 1-3 Index (EUR, Total Gross Return)

db x-trackers II IBOXX Sovereigns Eurozone Yield + 1-3 ETF UCITS ETF

XYP1 db x-trackers - Europe


xxx(ETP) Markit iBoxx EUR Sovereigns Eurozone Yield Plus 1-3 Index (EUR, Total Gross Return)

db x-trackers II IBOXX SOVEREIGNS EUROZONE YIELD PLUS 1-3 UCITS ETF

XY1D db x-trackers - Europe



db x-trackers II IBOXX SOVEREIGNS EUROZONE YIELD PLUS UCITS ETF

XYPD db x-trackers - Europe

Government Europe 7

xxx(ETP) Markit iBoxx EUR Spain Indices (EUR, Spain 1-3, Total Gross Return)

db x-trackers II IBOXX SPAIN 1-3 UCITS ETF

X1ES db x-trackers - Europe


xxx(ETP) M

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