91-Day T-bill Index
This index is the 1-3 Months component of the U.S. Treasury Bills index. The Barclays Capital Treasury Bill Index includes U.S. Treasury bills with a remaining maturity from 1 up to (but not including) 3 months. It excludes zero coupon strips.

Index Rules

  • Must be a publicly-issued U.S. Treasury Bill.
  • Must have a remaining maturity from 1 up to (but not including) 3 months.

Barclays Capital Government Index (BCG)
The Government Index includes Securities issued by the U.S. Government (i.e., securities in the Treasury and Agency Indices):

  • Public obligations of the U.S. Treasury with a remaining maturity of one year or more.
  • Publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt.

Rules (inherited)

  • Must have at least one year to final maturity regardless of call features.
  • Must have at least $150 million par amount outstanding.
  • Must be rated investment grade (Baa3 or better) by Moody's Investors Service. If a Moody's rating is not available, the S&P or Fitch rating is used.
  • Must be fixed rate, although it can carry a coupon that steps up or changes according to a predetermined schedule.
  • Must be dollar-denominated and non-convertible.
  • Must be publicly issued.

Rules (unique)

  • Must be a U.S. Treasury or Agency security.

Barclays Capital Government Intermediate Index (BCGI)
Securities in the U.S. Government Index with a maturity from 1 up to (but not including) 10 years.

The Government Index includes Securities issued by the U.S. Government (i.e., securities in the Treasury and Agency Indices):

  • Public obligations of the U.S. Treasury with a remaining maturity of one year or more.
  • Publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt.

Rules (inherited)

  • Must have at least one year to final maturity regardless of call features.
  • Must have at least $150 million par amount outstanding.
  • Must be rated investment grade (Baa3 or better) by Moody's Investors Service. If a Moody's rating is not available, the S&P or Fitch rating is used.
  • Must be fixed rate, although it can carry a coupon that steps up or changes according to a predetermined schedule.
  • Must be dollar-denominated and non-convertible.
  • Must be publicly issued.
  • Must be a U.S. Government security.

Rules (unique)

  • Must have a maturity from 1 up to (but not including) 10 years.

Barclays Capital 1-3 Year Government Index
Securities in the U.S. Government Index with a maturity from 1 up to (but not including) 3 years.

The Government Index includes Securities issued by the U.S. Government (i.e., securities in the Treasury and Agency Indices):

  • Public obligations of the U.S. Treasury with a remaining maturity of one year or more.
  • Publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt.

Rules (inherited)

  • Must have at least one year to final maturity regardless of call features.
  • Must have at least $150 million par amount outstanding.
  • Must be rated investment grade (Baa3 or better) by Moody's Investors Service. If a Moody's rating is not available, the S&P or Fitch rating is used.
  • Must be fixed rate, although it can carry a coupon that steps up or changes according to a predetermined schedule.
  • Must be dollar-denominated and non-convertible.
  • Must be publicly issued.
  • Must be a U.S. Government security.

Rules (unique)

  • Must have a maturity from 1 up to (but not including) 3 years.

Barclays Capital Government/Credit Intermediate Index (BCGCI)
The Government/Credit Intermediate Index includes securities in the Government and Credit Indices:

  • The Governement Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Governement).
  • The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.

Rules (inherited)

  • Must have at least one year to final maturity regardless of call features.
  • Must have at least $150 million par amount outstanding.
  • Must be rated investment grade (Baa3 or better) by Moody's Investors Service. If a Moody's rating is not available, the S&P or Fitch rating is used.
  • Must be fixed rate, although it can carry a coupon that steps up or changes according to a predetermined schedule.
  • Must be dollar-denominated and non-convertible.
  • Must be publicly issued.
  • Must be a U.S. Government or Investment Grade Credit security.

Rules (unique)

  • Must have a maturity from 1 year up to (but not including) 10 years.

Barclays Capital Government/Credit Index (BCGC)
The Government/Credit Index includes securities in the Government and Credit Indices:

  • The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Governement).
  • The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.

Rules (inherited)

  • Must have at least one year to final maturity regardless of call features.
  • Must have at least $150 million par amount outstanding.
  • Must be rated investment grade (Baa3 or better) by Moody's Investors Service. If a Moody's rating is not available, the S&P or Fitch rating is used.
  • Must be fixed rate, although it can carry a coupon that steps up or changes according to a predetermined schedule.
  • Must be dollar-denominated and non-convertible.
  • Must be publicly issued.

Rules (unique)

  • Must be a U.S. Government or Investment Grade Credit security.

Barclays Capital Aggregate Intermediate Index
This index is the Intermediate component of the U.S. Aggregate index.

The Aggregate Index represents securities that are U.S. domestic, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices (e.g., by duration) that are calculated and reported on a regular basis.

Rules

  • Must have at least one year to final maturity regardless of call features.
  • Must have at least $150 million par amount outstanding.
  • Must be rated investment grade (Baa3 or better) by Moody's Investors Service. If a Moody's rating is not available, the S&P or Fitch rating is used.
  • Must be fixed rate, although it can carry a coupon that steps up or changes according to a predetermined schedule.
  • Must be dollar-denominated and non-convertible.
  • Must be publicly issued.

Rules (unique)

  • Must have a maturity from 1 up to (but not including) 10 years.

Barclays Capital Municipal Bond Index (BCMB)
The Barclays Capital Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market.

Rules

To be included in the LBMB, bonds must have a minimum credit rating of Baa. They must have an outstanding par value of at least $5 million and be issued as part of a transaction of at least $50 million. The bonds must have a dated-date after December 31, 1990 and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark.

Barclays Capital 7-Year General Obligation Index
The Barclays Capital 7-Year General Obligation Index is a subset of the LB Municipal Bond index consisting of securties with maturities restricted to 7 years or less. Parent Index

The Barclays Capital Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market.

Rules

To be included in the LBMB, bonds must have a minimum credit rating of Baa. They must have an outstanding par value of at least $5 million and be issued as part of a transaction of at least $50 million. The bonds must have a dated-date after December 31, 1990 and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark.

Merrill Lynch 1-3 Year Government/Corporate Index
The US Corporate & Government 1-3 Year Index tracks the performance of US dollar-denominated investment grade Government and Corporate public debt with maturities between 1 and 3 years issued in the US Domestic bond market, excluding collateralized products such as Mortgage Pass-Through and Asset Backed securities. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule and a minimum amount outstanding of $1 billion for US Treasuries and $150 million for all other securities. Bonds must be rated investment grade based on a composite of Moody’s and S&P. “Yankee” bonds (debt of foreign issuers issued in the US domestic market) are included in the Index provided the issuer is a Supranational or is domiciled in a country having an investment grade foreign currency longterm debt rating (based on a composite of Moody’s and S&P). “Global” bonds (debt issued simultaneously in the eurobond and US domestic bond markets) also qualify for inclusion. 144a issues are not included in the Index until they are exchanged for registered securities. Tax-exempt municipals are excluded from the Index. The index is re-balanced on the last calendar day of the month. Issues that meet the qualifying criteria are included in the index for the following month. Issues that no longer meet the criteria during the course of the month remain in the index until the next month-end re-balancing at which point they are dropped from the index. The inception date of the Index is December 31, 1972.

Merrill Lynch 3-7 Year Municipal Bond Index
The 3-7 Year Municipal Securities Index tracks the performance of tax-exempt investment grade debt of US Municipalities having at least three years and less than 7 years remaining term to maturity. Qualifying bonds must have a fixed coupon schedule, a minimum original maturity issue size of $50 million and an investment grade rating from Moody’s. In addition, securities must be within five years of their original issue date. The index is re-balanced on the last calendar day of the month. Issues that meet the qualifying criteria are included in the index for the following month. Issues that no longer meet the criteria during the course of the month remain in the index until the next month-end re-balancing at which point they are dropped from the index. Additional sub-indices are available that segment the Index by maturity and sector. The inception date of the Index is December 31, 1988.

Merrill Lynch Global Index
The Global Broad Market Index tracks the performance of investment grade public debt issued in the major domestic and eurobond markets, including 'global' bonds.

Qualifying currencies and minimum issue size requirements for local currency sovereign debt are: AUD 1 billion, CAD 1 billion, CHF 500 million, DKK 5 billion, EUR 1 billion, (EUR equivalent for euro legacy currencies), GBP 500 million, JPY 200 billion, NZD 1 billion, SEK 5 billion, and USD 1 billion. Qualifying currencies and minimum issue size requirements for non-sovereign debt and foreign currency sovereign debt are: AUD 100 million, CAD 100 million, EUR 100 million (EUR equivalent for euro legacy currencies), GBP 100 million, JPY 20 billion, and USD 150 million (USD 25 million per tranche for asset-backed securities). Qualifying bonds must have at least one year remaining term to maturity and a fixed coupon schedule. Bonds must be rated investment grade based on a composite of Moody's and S&P. (Moody's and S&P senior unsecured debt and Pfandbrief issuer ratings are used for Quasi-Government, Mortgage and Pfandbrief securities that do not have individual bond ratings.) In addition to their own rating requirements, qualifying issuers (other than Supranationals) must be domiciled in a country having an investment grade foreign currency long-term debt rating (based on a composite of Moody's and S&P). The index is re-balanced on the last calendar day of the month. Issues that meet the qualifying criteria are included in the index for the following month. Issues that no longer meet the criteria during the course of the month remain in the index until the next month-end re-balancing at which point they are dropped from the index. Additional sub-indices are available that segment the Index by maturity and sector (All Non-Sovereign, Quasi-Government, Collateralized and Corporate).

The inception date of the Index is December 31, 1996.

Standard and Poor's 500
The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock's weight in the Index proportionate to its market value. The "500" is one of the most widely used benchmarks of U.S. equity performance.

Please contact Matthew Smith, President, for the complete documentation, including fully GIPS-compliant presentations, on these or any of our other composite products, or for information regarding the standards used in presenting the performance data on this sheet.