US High Yield Master II Index (H0A0) - distribution characteristics as of 5/23/2018

Index distribution by Rating # FullVal %Full Val Eff Dur Contr EffDur Eff Yld OAS TRR%MTD ExRtn%MTD
AAA 0 3,869.900 0.30570 0.00 0.00 1.78 0 N/A N/A
BB 824 575,176.480 45.43633 4.71 2.14 5.23 238 -0.471 -0.384
B 796 536,563.154 42.38605 3.85 1.63 6.53 369 0.156 0.179
CCC 238 143,779.444 11.35792 3.25 0.37 9.35 658 0.794 0.782
CC 15 6,245.644 0.49338 2.53 0.01 18.96 1,658 7.159 7.094
C 1 261.062 0.02062 1.13 0.00 46.94 4,441 7.643 7.549
Grand Total 1,874 1,265,895.683 100.00000 4.15 4.15 6.31 348 -0.025 0.023

Index distribution by Maturity # FullVal %Full Val Eff Dur Contr EffDur Eff Yld OAS TRR%MTD ExRtn%MTD
0-1 Year 10 10,248.339 0.80957 0.33 0.00 2.06 49 N/A N/A
1-2 Year 96 59,306.222 4.68492 1.32 0.06 5.82 335 0.488 0.397
2-3 Year 156 91,674.891 7.24190 1.82 0.13 6.22 363 0.453 0.369
3-4 Year 237 162,730.761 12.85499 2.51 0.32 6.54 383 0.428 0.363
4-5 Year 323 213,762.130 16.88624 3.12 0.53 6.32 352 0.265 0.218
5-6 Year 216 154,615.459 12.21392 3.69 0.45 6.25 338 0.418 0.398
6-7 Year 316 217,350.026 17.16966 4.69 0.81 6.27 336 -0.189 -0.147
7-8 Year 231 167,438.098 13.22685 5.27 0.70 6.68 373 -0.501 -0.410
8-9 Year 92 64,950.804 5.13082 6.20 0.32 6.04 308 -0.715 -0.547
9-10 Year 80 55,377.364 4.37456 6.89 0.30 5.91 293 -0.773 -0.501
10-15 Year 29 21,127.019 1.66894 7.98 0.13 6.95 395 -1.017 -0.605
15-20 Year 43 24,618.416 1.94474 9.89 0.19 6.64 361 -1.180 -0.562
20-25 Year 32 15,433.215 1.21915 11.36 0.14 6.99 390 -0.592 0.134
25+ Year 13 7,262.941 0.57374 12.38 0.07 6.86 374 0.199 0.942
Grand Total 1,874 1,265,895.683 100.00000 4.15 4.15 6.31 348 -0.025 0.023

Index distribution by Duration # FullVal %Full Val Eff Dur Contr EffDur Eff Yld OAS TRR%MTD ExRtn%MTD
0-1 Year 95 66,566.860 5.25848 0.52 0.03 4.45 202 0.307 0.205
1-2 Year 200 129,560.904 10.23472 1.52 0.16 6.02 339 0.427 0.342
2-3 Year 290 187,781.863 14.83391 2.53 0.38 6.59 386 0.350 0.286
3-4 Year 356 234,142.119 18.49616 3.49 0.65 6.51 370 0.267 0.234
4-5 Year 333 238,676.922 18.85439 4.50 0.85 6.65 375 0.164 0.189
5-6 Year 322 224,738.092 17.75329 5.41 0.96 6.29 336 -0.457 -0.355
6-7 Year 126 89,258.552 7.05102 6.45 0.45 6.05 307 -0.913 -0.692
7-8 Year 55 39,479.333 3.11869 7.30 0.23 6.15 315 -0.928 -0.600
8-9 Year 16 11,508.244 0.90910 8.52 0.08 6.74 374 -1.317 -0.848
9-10 Year 24 11,513.169 0.90949 9.59 0.09 7.55 451 -0.229 0.349
10-11 Year 27 15,249.760 1.20466 10.43 0.13 6.16 311 -1.824 -1.155
11-12 Year 12 6,826.599 0.53927 11.54 0.06 6.67 358 0.039 0.767
12+ Year 18 10,593.266 0.83682 12.90 0.11 6.09 297 -1.013 -0.206
Grand Total 1,874 1,265,895.683 100.00000 4.15 4.15 6.31 348 -0.025 0.023

Refer to important disclosures at the end of the document. 1

US High Yield Master II Index (H0A0) - distribution characteristics as of 5/23/2018

Index distribution by Industry # FullVal %Full Val Eff Dur Contr EffDur Eff Yld OAS TRR%MTD ExRtn%MTD
Banking 42 41,514.521 3.27946 5.48 0.18 5.21 235 -0.700 -0.544
Brokerage 5 2,750.839 0.21730 3.36 0.01 6.67 390 0.060 0.054
Cons/Comm/Lease Financing 62 36,793.004 2.90648 3.36 0.10 5.64 295 0.133 0.121
Investments & Misc Financial 11 10,130.914 0.80030 2.56 0.02 5.31 255 -0.195 -0.242
Financial Services (Sub Total) 78 49,674.757 3.92408 3.19 0.13 5.63 292 0.062 0.043
Insurance Brokerage 7 5,247.749 0.41455 4.66 0.02 7.16 423 0.252 0.319
Life Insurance 7 3,284.577 0.25947 4.67 0.01 4.85 204 -0.167 -0.088
Monoline Insurance 3 1,125.238 0.08889 4.59 0.00 5.88 301 -0.068 -0.042
Multi-Line Insurance 7 2,890.556 0.22834 4.04 0.01 8.00 522 3.546 3.597
P&C 1 852.215 0.06732 10.52 0.01 5.99 293 -0.206 0.477
Insurance (Sub Total) 25 13,400.336 1.05857 4.90 0.05 6.59 372 0.780 0.883
Financial (Total) 145 104,589.614 8.26210 4.32 0.36 5.59 280 -0.151 -0.084
Auto Parts & Equipment 25 13,984.345 1.10470 4.62 0.05 6.70 380 -0.996 -0.929
Automakers 10 8,373.806 0.66149 3.77 0.02 5.30 252 -0.338 -0.324
Automotive (Sub Total) 35 22,358.151 1.76619 4.30 0.08 6.18 332 -0.752 -0.704
Building & Construction 73 29,876.909 2.36014 4.14 0.10 5.48 268 -0.550 -0.494
Building Materials 35 18,431.910 1.45604 4.28 0.06 5.67 278 -0.951 -0.906
Chemicals 56 33,801.020 2.67013 4.12 0.11 5.88 313 -0.051 0.007
Forestry/Paper 15 5,486.700 0.43342 4.19 0.02 5.77 292 -0.164 -0.122
Metals/Mining Excluding Steel 70 44,320.534 3.50112 4.72 0.17 6.46 361 -0.220 -0.120
Steel Producers/Products 29 15,205.645 1.20118 4.65 0.06 5.34 249 -0.223 -0.108
Basic Industry (Sub Total) 278 147,122.717 11.62203 4.38 0.51 5.89 307 -0.339 -0.264
Aerospace/Defense 24 18,286.752 1.44457 3.52 0.05 5.67 285 -0.078 -0.081
Diversified Capital Goods 20 8,263.304 0.65276 3.16 0.02 5.80 300 -0.372 -0.398
Machinery 16 7,194.117 0.56830 4.13 0.02 7.26 439 -0.747 -0.713
Packaging 50 34,901.167 2.75703 3.82 0.11 5.23 245 -0.650 -0.638
Capital Goods (Sub Total) 110 68,645.339 5.42267 3.69 0.20 5.63 283 -0.475 -0.470
Beverage 1 744.823 0.05884 5.16 0.00 5.64 271 -0.400 -0.331
Food - Wholesale 26 16,921.449 1.33672 4.99 0.07 6.08 317 -0.241 -0.155
Personal & Household Products 34 15,590.996 1.23162 3.92 0.05 6.92 410 -0.622 -0.597
Tobacco 3 1,773.650 0.14011 3.50 0.00 8.77 597 -0.842 -0.858
Consumer Goods (Sub Total) 64 35,030.918 2.76728 4.44 0.12 6.58 372 -0.445 -0.392
Energy - Exploration & Production 149 89,388.674 7.06130 3.87 0.27 6.90 406 0.645 0.664
Gas Distribution 103 60,755.076 4.79937 4.97 0.24 5.70 288 0.032 0.135
Oil Field Equipment & Services 78 38,555.702 3.04573 5.00 0.15 7.68 481 2.463 2.581
Oil Refining & Marketing 10 6,836.331 0.54004 2.89 0.02 6.38 365 0.511 0.471
Energy (Sub Total) 340 195,535.784 15.44644 4.40 0.68 6.67 383 0.800 0.863
Health Facilities 58 62,183.645 4.91223 3.91 0.19 6.53 374 0.348 0.371
Health Services 22 16,084.542 1.27061 4.02 0.05 6.17 330 -0.310 -0.287
Managed Care 9 10,028.270 0.79219 3.49 0.03 5.31 247 0.879 0.868
Medical Products 17 11,511.799 0.90938 3.90 0.04 6.72 387 0.096 0.120
Pharmaceuticals 32 29,815.803 2.35531 3.68 0.09 7.50 466 2.040 2.044
Healthcare (Sub Total) 138 129,624.059 10.23971 3.84 0.39 6.63 381 0.668 0.684
Gaming 42 32,058.491 2.53247 3.93 0.10 5.40 256 -0.205 -0.178
Hotels 15 9,545.662 0.75406 4.71 0.04 5.47 257 -0.704 -0.640
Recreation & Travel 13 7,139.066 0.56395 4.70 0.03 6.01 310 -0.927 -0.857
Theaters & Entertainment 9 4,321.026 0.34134 4.59 0.02 5.55 266 0.117 0.170
Leisure (Sub Total) 79 53,064.245 4.19183 4.23 0.18 5.50 264 -0.366 -0.324
Advertising 19 14,520.075 1.14702 2.55 0.03 6.30 355 -0.637 -0.693
Cable & Satellite TV 68 81,539.829 6.44128 4.38 0.28 6.43 356 0.185 0.239
Media - Diversified 3 1,527.149 0.12064 3.64 0.00 5.52 270 -0.081 -0.082
Media Content 51 33,136.671 2.61765 4.63 0.12 5.80 293 -0.398 -0.325
Printing & Publishing 17 8,210.675 0.64861 3.77 0.02 7.59 476 -0.163 -0.154

Refer to important disclosures at the end of the document. 2

US High Yield Master II Index (H0A0) - distribution characteristics as of 5/23/2018

Index distribution by Industry # FullVal %Full Val Eff Dur Contr EffDur Eff Yld OAS TRR%MTD ExRtn%MTD
Media (Sub Total) 158 138,934.398 10.97519 4.21 0.46 6.32 347 -0.065 -0.021
RealEstate Dev & Mgt 9 5,435.716 0.42940 4.30 0.02 6.03 315 -0.331 -0.303
REITs 14 6,482.734 0.51211 3.12 0.02 5.64 289 0.724 0.706
Real Estate (Sub Total) 23 11,918.449 0.94150 3.65 0.03 5.82 301 0.239 0.243
Department Stores 8 2,966.722 0.23436 4.26 0.01 17.96 1,514 -0.782 -0.691
Food & Drug Retailers 14 9,855.293 0.77852 4.75 0.04 7.72 485 1.817 1.935
Restaurants 19 13,727.961 1.08445 4.83 0.05 5.97 309 -0.470 -0.396
Specialty Retail 58 28,420.507 2.24509 4.60 0.10 7.26 440 -1.417 -1.326
Retail (Sub Total) 99 54,970.483 4.34242 4.66 0.20 7.60 473 -0.580 -0.488
Environmental 12 5,490.799 0.43375 2.77 0.01 5.04 228 -0.457 -0.482
Support-Services 104 63,412.646 5.00931 4.20 0.21 6.75 388 -0.885 -0.848
Services (Sub Total) 116 68,903.445 5.44306 4.08 0.22 6.61 376 -0.851 -0.819
Electronics 24 13,611.069 1.07521 3.82 0.04 4.89 208 0.497 0.526
Software/Services 46 36,751.393 2.90319 2.95 0.09 6.02 319 -0.199 -0.223
Tech Hardware & Equipment 26 21,101.517 1.66692 3.82 0.06 5.02 221 0.006 0.035
Technology & Electronics (Sub Total) 96 71,463.979 5.64533 3.37 0.19 5.51 269 -0.007 -0.005
Telecom - Satellite 17 17,135.323 1.35361 3.30 0.04 8.16 540 3.240 3.227
Telecom - Wireless 33 44,029.927 3.47816 4.35 0.15 6.14 329 -1.922 -1.859
Telecom - Wireline Integrated & 72 55,472.122 4.38205 4.84 0.21 7.87 499 0.202 0.311
Telecommunications (Sub Total) 122 116,637.372 9.21382 4.43 0.41 7.26 441 -0.185 -0.111
Air Transportation 10 4,255.145 0.33614 2.18 0.01 5.31 274 0.042 -0.025
Rail 1 415.254 0.03280 1.81 0.00 5.14 230 0.394 0.331
Transport Infrastructure/Services 14 7,017.706 0.55437 2.60 0.01 7.90 544 0.775 0.735
Trucking & Delivery 2 729.671 0.05764 5.84 0.00 6.84 391 0.111 0.335
Transportation (Sub Total) 27 12,417.776 0.98095 2.62 0.03 6.86 432 0.471 0.437
Industrials (Total) 1,685 1,126,627.116 88.99842 4.16 3.70 6.41 358 -0.007 0.040
Electric-Generation 30 23,478.179 1.85467 3.72 0.07 5.45 266 -0.151 -0.126
Electric-Integrated 14 7,330.874 0.57911 4.30 0.02 6.53 376 -0.612 -0.573
Utility (Total) 44 30,809.053 2.43378 3.86 0.09 5.70 292 -0.262 -0.233
Corporate (Total) 1,874 1,262,025.784 99.69430 4.17 4.15 6.33 350 -0.025 0.023
Cash 0 3,869.900 0.30570 0.00 0.00 1.78 0 0 0
Grand Total 1,874 1,265,895.683 100.00000 4.15 4.15 6.31 348 -0.025 0.023

Refer to important disclosures at the end of the document. 3

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