Scott Atha scott.atha@barcap.com +1 212 526 9038 Sherwood Kuo, CFA sherwood.kuo@barcap.com +1 212 526 2490 Nikki Stefanelli nikki.stefanelli@barcap.com +1 212 526 6190
100 90 80 70 60 50 40 30 20 10 0
2.4 11.4
6.6 11.4
7.3 11.2
7.8 12.0
12.2 8.8
100 90 80 70 60 50 40 30 20 10 0
1.8 13.4
.9 15.8
.9 20.0
6.8 19.5
8.4 19.6
42.8
47.8
43.1
35.0
34.7
86.2
82.0
81.5
80.2
79.0
42.0
35.5
36.1
38.6
37.3
2005
2006 Industrial
2007 Utility
2008 Financial
2009
2005
2006 Ba B
2007 Caa
2008 Ca-NR
2009
Must be rated high yield (Ba1/BB+/BB+ or below) using the middle rating of Moodys, S&P, and Fitch after dropping the highest and lowest available ratings. When a rating from only two agencies is available, the lower (more conservative) is used. When a rating from only one agency is available, that is used to determine index eligibility. Expected ratings at issuance may be used when there are other index-eligible bonds from the same issuer that hold the same actual rating as the expected rating. At least one year until final maturity, regardless of optionality. For securities with coupons that convert from fixed to floating rate, at least one year until the conversion date. Fixed-to-floating perpetual securities are included in the index. These are included until one year before their first call date, provided that they meet all other index criteria. Senior and subordinated issues are included. Capital securities (hybrid capital) are eligible during their fixed-rate term and exit the index one year prior to their conversion to floating-coupon securities. Only fully taxable issues are eligible, including taxable municipal securities. Dividend Received Deduction (DRD) and Qualified Dividend Income (QDI) eligible securities are excluded.
Maturity