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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014
4
Fixed income market
Facts and figures
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
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
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 9
Table 4: 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 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
Source: Markit iBoxx Data
£
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
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 10
Table 5: 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 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
Source: Markit iBoxx Data
$
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
0
1
2
3
4
5
6
7
8
€ Corporates € Eurozone
92
94
96
98
100
102
104
106
108
110
112
114
€ Corporates € Eurozone
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
-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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
£
0
2
4
6
8
10
12
£ Corporates £ Gilts
90
92
94
96
98
100
102
104
106
108
110
112
£ Corporates £ Gilts
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
£
0
0.5
1
1.5
2
2.5
3
3.5
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
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
$
0
1
2
3
4
5
6
7
$ Treasuries $ Corporates
94
96
98
100
102
104
106
108
110
$ Treasuries $ Corporates
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
$
0
0.5
1
1.5
2
2.5
3
3.5
4
0 5 10 15 20 25 30
Yie
ld
Maturity
Yield curve 2014-Oct-31 Yield curve 2014-Sep-30
Swap curve 2014-Oct-31 Swap curve 2014-Sep-30
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Table 7: Index rebalance stats
After rebalance
Changes due to rebalance
Sub-Index Bonds Weight Yield Duration OAS
Bonds Weight Yield Duration OAS
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
Source: Markit iBoxx Data
€
£
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 18
Markit iBoxx $ Corporates rebalance movements
Table 8: Index rebalance stats
After rebalance
Changes due to rebalance
Sub-Index Bonds Weight Yield Duration OAS
Bonds Weight Yield Duration OAS
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
Source: Markit iBoxx Data
$
Markit iBoxx fixed income monthly market monitor \ November 2014
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%
Markit iBoxx fixed income monthly market monitor \ November 2014
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
XS1028941117 MERCK & CO INC Health Care A 15/07/2026 0.07% New Issue
XS1028941893 MERCK & CO INC Health Care A 15/07/2034 0.03% 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
XS1115498260 ORANGE Telecommunications BBB 01/10/2026 0.09% 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
Source: Markit iBoxx Data
Markit iBoxx £ Corporates rebalancing activity – Feb 14
Table 11: iBoxx £ Corporates - Out
ISIN Issuer Sector Rating Maturity Weight Reason
XS0784809393 VOLKSWAGEN FIN Automobiles & Parts BBB 23/10/2015 0.07%
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 21
Source: Markit iBoxx Data
Table 12: iBoxx £ Corporates - In
ISIN Issuer Sector Rating Maturity Weight Reason
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
XS1115502988 ORANGE Telecommunications BBB 01/04/2023 0.17% New Issue
Source: Markit iBoxx Data
Markit iBoxx $ Corporates rebalancing activity – Feb 14
Table 13: iBoxx $ Corporates - Out
ISIN Issuer Sector Rating Maturity Weight Reason
US61746SBR94 MORGAN STANLEY Financials A 15/10/2015 0.05%
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 22
US38143VAA70 GOLDMAN SACHS Financials BBB 15/02/2034 0.08%
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 23
Table 14: iBoxx $ Corporates - In
ISIN Issuer Sector Rating Maturity Weight Reason
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 25
Fixed income market
Analysis and trends
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
Markit iBoxx fixed income monthly market monitor \ November 2014
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
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% 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
Source: Markit iBoxx Data
£
Markit iBoxx fixed income monthly market monitor \ November 2014
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
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% 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
Source: Markit iBoxx Data
$
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
Markit iBoxx fixed income monthly market monitor \ November 2014
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
May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14
Income Return Duration Return Credit Return
Source: Markit iBoxx Data
£
Markit iBoxx fixed income monthly market monitor \ November 2014
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
May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14
Income Return Duration Return Credit Return
Source: Markit iBoxx Data
$
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 33
Key rate duration and attribution – £ Corporates
Figure 36: Key rate duration at beginning of Oct-14
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
Figure 37: 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 -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
Figure 38: Return attribution for Oct-14 by key rates
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
Source: Markit iBoxx Data
£
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 34
Key rate duration and attribution – $ Corporates
Figure 39: Key rate duration at beginning of Oct-14
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
Figure 40: 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 -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
Figure 41: Return attribution for Oct-14 by key rates
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
Source: Markit iBoxx Data
$
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 36
£ Fixed income stress test
Table 19: 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 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
Source: Markit iBoxx Data
£
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014 37
$ Fixed income stress test
Table 20: 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 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
Source: Markit iBoxx Data
$
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Source: Markit iBoxx Data
€
Markit iBoxx fixed income monthly market monitor \ November 2014
November 2014
40
Fixed income market
ETF market activity
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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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%
Source: Markit ETP Analytics
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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
ETF Name Ticker Issuer Oct-14 Flows
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
Source: Markit ETP Analytics
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November 2014 44
Table 31: Europe top 10 fixed income ETF by outflows during last month All figures in $ million except otherwise stated
ETF Name Ticker Issuer Oct-14 Flows
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
ETF Name Ticker Issuer Oct-14 Flows
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
Source: Markit ETP Analytics
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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
Source: Markit ETP Analytics
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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
Source: Markit ETP Analytics
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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
Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 10-15, Total Gross Return)
ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 10-15 TR UCITS ETF
X507 ComStage ETFs
Government Europe 40
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
Government Europe 15
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
Government Europe 15
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
Government Europe 138
Markit iBoxx EUR Liquid Sovereigns Diversified (EUR, Liquid Sovereign Diversified 5-7, Total Gross Return)
ComStage ETF iBoxx EUR Liquid Sovereigns Diversified 5-7 TR UCITS ETF
X504 ComStage ETFs
Government Europe 22
Markit iBoxx EUR Liquid Sovereigns ComStage ETF iBoxx EUR X505 ComStage Government Europe 105
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Government Europe 99
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
Government Europe 29
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
Government Europe 182
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
Government Europe 20
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
Government Europe 27
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
Government Europe 83
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
Markit iBoxx EUR Sovereigns Eurozone Yield Plus (EUR, Total Gross Return)
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
Government Europe 11
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
Government Europe 136
Markit iBoxx EUR Germany Indices (EUR, Germany 3-5, Total Gross Return)
db x-trackers II iBoxx Germany 3-5 UCITS ETF
XGN5 db x-trackers - Europe
Government Europe 1
Markit iBoxx EUR Germany Indices (EUR, Germany 7-10, Total Gross Return)
db x-trackers II iBoxx Germany 7-10 UCITS ETF
XG71 db x-trackers - Europe
Government Europe 2
Markit iBoxx EUR Germany Indices (EUR, Germany 1-3, Total Gross Return)
db x-trackers II iBoxx Germany Covered 1-3 UCITS ETF
X03A db x-trackers - Europe
Government Europe 21
Markit iBoxx EUR Germany Indices (EUR, Germany, Total Gross Return)
db x-trackers II iBoxx Germany UCITS ETF
D5BB db x-trackers - Europe
Government Europe 174
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
Government Europe 135
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
Government Europe 70
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
Government Europe 26
Markit iBoxx EUR Eurozone (EUR, Eurozone 5-7, Total Gross Return)
db x-trackers II iBoxx Sovereigns Eurozone 5-7 UCITS ETF
DBXR db x-trackers - Europe
Government Europe 386
Markit iBoxx EUR Eurozone (EUR, Eurozone 7-10, Total Gross Return)
db x-trackers II iBoxx Sovereigns Eurozone 7-10 UCITS ETF
DBXB db x-trackers - Europe
Government Europe 174
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
Markit iBoxx fixed income monthly market monitor \ November 2014
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
Government Europe 38
Markit iBoxx EUR Eurozone (EUR, Eurozone, Total Gross Return)
db x-trackers II iBoxx Sovereigns Eurozone UCITS ETF
DBXN db x-trackers - Europe
Government Europe 1,420
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
Government Europe 26
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
Government Europe 1,117
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
Government Europe 43
Markit iBoxx EUR Sovereigns Eurozone Yield Plus (EUR, Total Gross Return)
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
Government Europe 18
xxx(ETP) M