How we forecast bond returns

LQD: US dollar investment-grade corporate bonds; iBoxx USD liquid corporate proxy. Yield to worst 6.089% and effective duration 7.643 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.082%/year; assumed recovery 40%; annual performing credit loss 0.049%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

HYG: US dollar high-yield corporate bonds; iBoxx USD liquid high-yield proxy. Yield to worst 7.553% and effective duration 3.208 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 3.325%/year; assumed recovery 40%; annual performing credit loss 1.978%. 0.857% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

EMB: US dollar emerging-market sovereign and quasi-sovereign debt; J.P. Morgan EMBI Global Core proxy. Yield to worst 6.982% and effective duration 6.375 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1975 to 2025 foreign-currency sovereign one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 1.736%/year; assumed recovery 40%; annual performing credit loss 1.038%. 0.356% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

LEMB: Emerging-market sovereign bonds in their actual local currencies; J.P. Morgan GBI-EM 15% cap/4% floor proxy. Yield to worst 7.438% and effective duration 5.238 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1993 to 2025 local-currency sovereign one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.160%/year; assumed recovery 40%; annual performing credit loss 0.096%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: PYG 4.1%, UYU 4.1%, RSD 4.0%, DOP 4.0%, TRY 4.0%, BRL 4.1%, CLP 3.9%, PEN 3.9%, ZAR 4.1%, HUF 3.9%, COP 3.9%, MXN 5.4%, PLN 4.4%, INR 9.0%, CNY 15.4%, CZK 3.9%, RON 3.9%, IDR 4.9%, THB 4.2%, MYR 4.9%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

TAXI: ICE intermediate tax-exempt investment-grade municipals; proxy for the app's 1-15-year municipal blend. Yield to worst 4.170% and effective duration 4.680 years, observed 2026-09-25; issuer portfolio yield to worst. 0.05% annual IG municipal default planning allowance; a conservative model assumption, not a measured current fund default probability. Default prior 0.050%/year; assumed recovery 50%; annual performing credit loss 0.025%. Issuer aggregate: individual missing-yield coverage is not published. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

CGHM: Capital Group Municipal High-Income active portfolio proxy, including lower-rated investment-grade and high-yield/unrated US municipal debt; not an exact broad-index replication. Yield to worst 5.500% and effective duration 8.100 years, observed 2026-09-25; issuer portfolio yield to worst. 1.2% annual high-income municipal default planning prior, rounded from the separately dated 1.19% historical study; applied to the entire active proxy because a usable current rating breakdown is unavailable. Default prior 1.200%/year; assumed recovery 50%; annual performing credit loss 0.600%. Issuer aggregate: individual missing-yield coverage is not published. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

AGG: US aggregate securitized sleeve only: agency mortgage pass-throughs, ABS and CMBS, weighted by actual market value. Yield to worst 5.780% and effective duration 5.713 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current sector weights × explicit annual default allowances: 0.01% government/agency/agency-MBS/supranational, 0.14% other investment-grade credit/ABS/CMBS. The latter uses the corporate BBB historical prior as a conservative proxy; it is not a tranche cash-flow or issuer-level default model. Default prior 0.020%/year; assumed recovery 40%; annual performing credit loss 0.012%. 0.024% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

AGG: US aggregate government/credit sleeve with remaining contractual maturity from one to three years; excludes mortgages, ABS and CMBS. Yield to worst 4.912% and effective duration 1.788 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current sector weights × explicit annual default allowances: 0.01% government/agency/agency-MBS/supranational, 0.14% other investment-grade credit/ABS/CMBS. The latter uses the corporate BBB historical prior as a conservative proxy; it is not a tranche cash-flow or issuer-level default model. Default prior 0.040%/year; assumed recovery 40%; annual performing credit loss 0.024%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

IGLB: US dollar corporate bonds with remaining maturity over ten years; ICE BofA long corporate proxy. Yield to worst 6.477% and effective duration 11.607 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.084%/year; assumed recovery 40%; annual performing credit loss 0.051%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

IGOV: Developed-market government bonds outside the US in their actual currencies; FTSE WGBI developed ex-US capped proxy. Yield to worst 3.947% and effective duration 7.243 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1993 to 2025 local-currency sovereign one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.035%/year; assumed recovery 40%; annual performing credit loss 0.021%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: EUR 54.6%, DKK 1.5%, ILS 3.4%, JPY 11.7%, GBP 7.1%, NZD 2.2%, CAD 4.6%, AUD 4.6%, KRW 4.8%, SGD 2.9%, SEK 1.4%, NOK 1.3%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

CEMB: US dollar emerging-market corporate bonds; J.P. Morgan CEMBI Broad Diversified Core proxy. Yield to worst 6.595% and effective duration 4.190 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.936%/year; assumed recovery 40%; annual performing credit loss 0.558%. 0.585% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

AGG: US investment-grade aggregate: Treasury, agency, corporate and securitized holdings weighted by market value. Yield to worst 5.456% and effective duration 5.733 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current sector weights × explicit annual default allowances: 0.01% government/agency/agency-MBS/supranational, 0.14% other investment-grade credit/ABS/CMBS. The latter uses the corporate BBB historical prior as a conservative proxy; it is not a tranche cash-flow or issuer-level default model. Default prior 0.047%/year; assumed recovery 40%; annual performing credit loss 0.028%. 0.006% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01.

IGLT: FTSE Actuaries UK Conventional Gilts All Stocks; sterling UK sovereign bonds. GBP portfolio yield 5.15% and duration 7.01 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Local-currency sovereign priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.012%; marginal-allocation range 0.012 to 0.012%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

IGL5: FTSE UK Conventional Gilts up to 5 years; short sterling UK sovereign bonds. GBP portfolio yield 4.59% and duration 2.18 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Local-currency sovereign priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.012%; marginal-allocation range 0.012 to 0.012%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

IEGA: Bloomberg Euro Treasury; euro-area sovereign bonds. EUR portfolio yield 3.92% and duration 6.64 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.038%; marginal-allocation range 0.038 to 0.038%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

IITB: Bloomberg Italy Treasury; euro-denominated Italian government bonds. EUR portfolio yield 4.13% and duration 5.99 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.096%; marginal-allocation range 0.096 to 0.096%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

EXHB: eb.rexx Government Germany 1.5–2.5 years; matching historical EXHB proxy. EUR portfolio yield 3.26% and duration 1.85 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.006%; marginal-allocation range 0.006 to 0.006%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

EXHA: eb.rexx Government Germany 1.5–10.5 years; matching historical EXHA proxy. EUR portfolio yield 3.43% and duration 5.1 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.006%; marginal-allocation range 0.006 to 0.006%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

EXHE: German Pfandbriefe covered-bond proxy, matching EXHE history; not the entire euro-area covered-bond universe. EUR portfolio yield 3.75% and duration 4.02 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating priors are a conservative planning proxy for this covered-bond sleeve; they do not estimate the benefit of dual recourse or model the cover pool. This calibration gap remains. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.006%; marginal-allocation range 0.006 to 0.006%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

SLXX: iBoxx GBP liquid investment-grade corporate bonds. GBP portfolio yield 6.08% and duration 5.35 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating default priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.057%; marginal-allocation range 0.057 to 0.057%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

IEAC: Bloomberg Euro Corporate; euro-denominated investment-grade corporate bonds. EUR portfolio yield 4.29% and duration 4.32 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating default priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.055%; marginal-allocation range 0.055 to 0.055%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

IHYG: iBoxx EUR Liquid High Yield; euro-denominated high-yield corporate bonds. EUR portfolio yield 6.52% and duration 2.51 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating default priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 1.601%; marginal-allocation range 1.601 to 1.601%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

XSB: FTSE Canada Short Term Overall Bond Index; Canadian dollar government and corporate bonds. CAD portfolio yield 3.67% and duration 2.84 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only federal exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. The issuer labels 0.26% as Other, not a credit rating. This residual is retained with a full-loss annual reserve and zero assumed recovery; it is not silently assigned investment-grade credit. More than 1% unclassified exposure requires review. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.280%; marginal-allocation range 0.279 to 0.282%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

XBB: FTSE Canada Universe Bond Index; Canadian dollar government and corporate bonds. CAD portfolio yield 4.09% and duration 6.73 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only federal exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. The issuer labels 0.18% as Other, not a credit rating. This residual is retained with a full-loss annual reserve and zero assumed recovery; it is not silently assigned investment-grade credit. More than 1% unclassified exposure requires review. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.199%; marginal-allocation range 0.197 to 0.200%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

XLB: FTSE Canada Long Term Overall Bond Index; Canadian dollar government and corporate bonds. CAD portfolio yield 4.85% and duration 13.74 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only federal exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.019%; marginal-allocation range 0.018 to 0.020%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.

SYBA: Bloomberg Euro Aggregate Bond Index; plain aggregate exposure, replacing the changed ESG/SRI IEAG proxy for current inputs. EUR portfolio yield 3.96% and duration 5.93 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only Treasury exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.036%; marginal-allocation range 0.034 to 0.037%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01.