2013MarketOutlook YearoftheSnake

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

January8,2013

Announcements WebcastNews
PhilipBarach January22,2013 p y
LowDuration BuildingPortfolioHorizons 1:15pmPDT/4:15pmEDT

LuzPadilla February5,2013 Luz Padilla February 5, 2013

EmergingMarkets 1:15pmPDT/4:15pmEDT

JeffreyGundlach March5,2013 Jeffrey Gundlach March 5 2013

TotalReturn&Core 1:15pmPDT/4:15pmEDT

ToReceivePresentationSlides: Youcanemail info@doubleline.com info@doubleline com

1

TABI
BloodlessVerdictoftheMarket Bl dl V di f h M k

BofA/MerrillFixedIncomeIndexReturns
Grey=Year2011 Blue=Year2012
3.75% Convertibles(VOSO) HighYield(JOAO) InternationalEmerging(IGOV) Corporate(COAO) Corporate (COAO) InternationalDeveloped(NOGO) Mortgages(MOAO) Government(G0A0) 4.50% 8.16% 7.51% 9.52% 5.60% 3.28% 6.14% 6 14% 2.59% 9.19% 2.19%
3

13.63% 15.44% 15 44% 18.30%

DataSource:BofA/MerrillLynchIndicesthroughyearendDecember31,2011andDecember31,2012fortherespectiveyearsindicated. PleaseseetheAppendixforindexdefinitions.Aninvestmentcannotbemadedirectlyinanindex.

BofA/MerrillFixedIncomeIndexReturns
Grey=Year2011 G Y 2011 Blue=Year2012
CCCRatedHighYield(JOA3) CCC Rated High Yield (JOA3) BBRatedHighYieldCredit(JOA1) BRatedHighYield(JOA2) BBBRatedCredit(COA4) BBBRated Credit (COA4) ARatedCredit(COA3) AAARatedCredit(COA1) 1.33% 19.70% 6.12% 14.36% 4.72% 15.03%

8.12% 11.98% 7.39% 9.82% 9.11% 3.97%

InvestmentGrade=IndicesratedAAAtoBBB (shownabove)areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB or higherbyStandard&PoorsorBaa3byMoodys.Thehighertherating,themorelikelythebondistopaybackatpar/$100cents onthedollar.AAAisconsideredthehighest hi h b S d d & P B 3 b M d Th hi h h i h lik l h b d i b k /$100 h d ll AAA i id d h hi h qualityandthelowestdegreeofrisk.Theyareconsideredtobestableanddependable. BelowInvestmentGrade=Alsoknownasjunkbond(shownabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas havinghigherdefaultriskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinorder to makethemattractive.Theyarelesslikelytopay backatpar/$100centsonthedollar. Source:BofA/MerrillLynchIndices asofyearendDecember31,2011andDecember31,2012fortheirrespectiveyearsindicated. Aninvestmentcannotbemadedirectlyinanindex.

MerrillInternationalFixedIncomeIndexReturns
AsofDecember31,2012
Latest1Year Bestperformer:Russia(GDRU) WorstPerformer:Japan(G0Y0)

Japan(G0Y0)

9.45%

Germany(G0D0) Germany (G0D0)

6.14% 6 14%

UnitedKingdom(G0L0)

7.53%

Mexico(GDMX)

10.64%

France(G0F0)

11.90%

Brazil(GDBR)

12.23%

Russia(GDRU) 15% 10% 5% 0% 5% 10% 15%

18.61% 20% 25%

5

DataSource:MerrillLynch

U.S.Bond,Currency,andCommodityPerformance 2012TotalReturn
USBond,Currency,andCommodityPerformance1
(2012TotalReturn)
20.00%
18.91%

10.00%
5.99% 4.18% 2.48% 1.79% 4.23%

9.66%

0.00%
0.51% 3.37%

10.00%
11.31% 11.48%

20.00%
22.99% 25.43%

30.00%

UST10yr

UST30yr

DXY

EURUSD

JPYUSD

Copper

Gold

CrudeOil

NatGas

Wheat

Corn

CRBIndex

VIX

Source:Bloomberg;DoubleLine Notes:(1)Returnsfortheyear2012endingDecember31,2012;(2)BasedonBofAMerrillLynchCurrent10yrUST Index;(3)BasedonBofAMerrillLynchCurrent30yrUSTIndex;(4)BasedonS&PGSCISingleNameCommodity ExcessReturnIndices

GlobalEquityPerformance 2012PriceReturn
GlobalEquityPerformance
(2012PriceReturn)

Yen Euro DXY

11.31% 1.79% 0.51%

30.00% 25.00% 20.00% 20 00% 15.00% 13.41% 10.00% 5.00% 0.00%

29.06% 25.70% 22.91% 17.88% 17 88% 15.91% 14.63% 15.23% 13.46% 9.38% 9 38% 7.26% 5.84% 7.40% 3.17% 22.94%

Source:Bloomberg;DoubleLine Returnsfortheyear2012endingDecember31,2012.

NetWorthinHousingvs.Equities
AsofDecember31,2010

Source:OrganizationforEconomicCooperationandDevelopment(OECD),GoldmanSachsEquityResearchThebestofFortnightThoughts,December13, 2012

NetWorthinFinancialAssetsbyCountry
AsofDecember31,2012

Source:OrganizationforEconomicCooperationandDevelopment(OECD),GoldmanSachsEquityResearchThebestofFortnightThoughts,December13,2012

TABII
GlobalEconomy Gl b l E

EuropeanCrisis:SovereignBondYields

Source:JPMorgan,FactSet,ECB DataisasofDecember31,2012.

11

PIIGSGDP
December31,1997EndingSeptember30,2012

Source:EuroStat PIIGS=Portugal,Italy,Ireland,GreeceandSpain. GDP=ReferstothegrossDomesticProductormarketvalueofallfinalgoodsandservicesproducedwithinacountryinagivenperiod.

12

EuroZoneUnemployment
December31,1998throughSeptember30,2012

Source:Eurostat Eurozoneincludes27memberstates:Austria,Belgium,Bulgaria,Cyprus,CzechRepublic,Denmark,Estonia,Finland,France,Germany,Greece,Hungary, Ireland,Italy,Latvia,Lithuania,Luxembourg,Malta,Netherlands,Poland,Portugal,Romania,Slovakia,Slovenia,Spain,SwedenandtheUnitedKingdom.

13

EuroZoneUnemployment
January31,1994throughOctober31,2012andDecember31,2013

Eurozoneincludes27memberstates:Austria,Belgium,Bulgaria,Cyprus,CzechRepublic,Denmark,Estonia,Finland,France,Germany,Greece,Hungary, Ireland,Italy,Latvia,Lithuania,Luxembourg,Malta,Netherlands,Poland,Portugal,Romania,Slovakia,Slovenia,Spain,SwedenandtheUnitedKingdom. Source:BiancoResearch

14

WheretoBeBornIndex Rankingsasof1988

Source:TheEconomistIntelligenceUnit http://media.economist.com/sites/default/files/images/2012/11/blogs/graphicdetail/where_to_be_born_in_1988.jpg

15

WheretoBeBornIndex Rankingsasof2013

16
http://www.economist.com/blogs/graphicdetail/2013/01/dailychart

U.S.Surplus/DeficitAsAPercentageofGNP/GDP
December31,1790throughDecember31,2011

Source:http://www.ritholtz.com/blog/wpcontent/uploads/2012/12/surplusdeficitgnp.png GrossNationalProduct(GNP)orGrossDomesticProduct(GDP)=ReferstothegrossDomesticProductormarketvalueofallfinal goodsandservicesproduced withinacountryinagivenperiod.

17

JobLossesinLast11Recessions

18
Source:CalculatedRiskthroughOctober28,2012. http://www.calculatedriskblog.com/2013/01/decemberemploymentreport155000jobs.html

CapitalGainsIncome
December31,1914throughDecember31,2010

Source:BiancoResearch,LLC,WeekofJanuary2,2013

19

2013S&PRevenueEstimates
March3,2011throughJanuary1,2013

Source:BiancoResearch,LLC,WeekofJanuary2,2013

20

FiscalCliffQuote StartingDowntheFiscalCliff Published:August8,2012 Published: August 8, 2012 FavoriteQuote:Regrettably,itsdistinctlypossiblethatwe havethesametypeofuncertainty[astheAugust2011debt h th t f t i t [ th A t 2011 d bt limitdebate]upuntilthe11th hour,59th minute. JuddGregg,FormerUSSenator

21

FiscalCliff WhatWas/WasNotIncluded
AsofJanuary1,2013

Source:NYTimeshttp://www.nytimes.com/interactive/2013/01/01/us/themcconnellbidenplan.html?ref=politics

22

ImpactoftheTaxDeal
AsofJanuary1,2013 HowthedealpassedbyCongressonTuesdayisestimatedtochangetaxesateachincomelevel,on topoftheeffectsoftheexpiringpayrolltaxcutandnewtaxesfromthehealthcarelaw.
AverageIncome BeforeTaxes Average Federal TaxBurden TaxChangein2013 Impactof taxbill tax bill +$322,528 +$50,508 +$2,483 $ $2 +$0 +$1 +$0 Payrolltaxincrease andnewhealthcare taxesonthewealthy taxes on the wealthy +$121,382 +$23,125 +$3,091 $ +$1,149 +$679 +$366 +$120 Changein AfterTax Income Total +$443,910 +$73,633 +$5,574 $ +$1,147 +$679 +$367 +$120 8.4% 6.5% 3.1% 1.7% 1.5% 1.3% 1.1%

Top0.1% Top1% Top20% Fourth20% Middle20% Second20% Bottom20%

$7,985,826 $1,671,536 $244,576 $ $84,355 $52,294 $30,031 $11,290

$2,720,367 $542,927 $63,256 $ $14,891 $7,457 $2,483 $99

Source:DoubleLine;NYTimeshttp://www.nytimes.com/interactive/2013/01/01/us/politics/impactofthetaxdeal.html?ref=politics

23

TotalFederalRevenues
AsofJanuary1,2013

http://www.ritholtz.com/blog/2013/01/detailsofthenewfiscaldeal/, http://www.nytimes.com/interactive/2013/01/01/us/politics/impactofthetaxdeal.html

24

EstimateofBudgetaryEffectsoftheAmerican TaxpayerReliefActof2012
AsofJanuary1,2013 100 0
Bu udgetaryEffectsofChangeinRevenue e/Spending ($Bn)

100 200 300 300 400 RevenueChg Revenue Chg 500 600 600 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
25

DirectSpendingChg

Source:CongressionalBudgetOffice(CBO)http://www.cbo.gov/sites/default/files/cbofiles/attachments/American%20Taxpayer%20Relief%20Act.pdf

PossibleImpactofFiscalPolicyonGDPGrowth
December31,2011throughDecember31,2013Estimates

EffectonGDPgrowthfromFederal,StateandLocalfiscalpolicy:

Source:GoldmanSachsGlobalEconomics,CommoditiesandStrategyResearchPublishedJanuary2,2013

26

ObligatoryDebtCeilingChart
December10,2010throughJanuary4,2013

Source:BiancoResearch,LLC,WeekofJanuary2,2013

27

Q1/Q2GDPForecastsTrendingDown

Source:BiancoResearch,LLC,WeekofJanuary2,2013

28

WhatContributedtotheFiscalCliff?

Source:WallStreetjournalHowBigDeficitsBecametheNorm,December18,2012 http://online.wsj.com/article/SB10001424127887324677204578185451218436548.html

29

U.S.DollarIndexSpot
YearEnd2007throughJanuary8,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP DXY=DXYistheUSDollarIndex(USDX)indicatesthegeneralvalueoftheUSdollar.AverageexchangeratesbetweentheUSdollarandsixmajorworldcurrencies. Aninvestmentcannotbemadedirectlyinanindex.

30

GlobalCurrencySpotPriceRankings
FortheYear2012

Source:BloombergFinancialServices,DoubleLineCapitalLP

31

JapaneseIndexvs.S&P500Growthof$1
December31,1979throughDecember31,2012

32 Source:BloombergFinancialServices,DoubleLineCapitalLP

JapaneseIndexvs.S&P500Growthof$1
December31,1989throughDecember31,2012

33 Source:BloombergFinancialServices,DoubleLineCapitalLP

12MonthUSD/JPYvs.5yearUSD/JPY
AsofJanuary8,2013

34
Source:BloombergFinancialServices,DoubleLineCapitalLP Aninvestmentcannotbemadedirectlyinanindex.

GoldSpotIndex
YearEnd2007throughJanuary8,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP Aninvestmentcannotbemadedirectlyinanindex.

35

CRBCommodityIndex
YearEnd2007throughJanuary7,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP Note:TheTR/JCRBCommodityExcessReturnIndexisanarithmeticaverageofcommodityfuturespriceswithmonthlyrebalancing. Aninvestmentcannotbemadedirectlyinanindex.

36

ShanghaiIndex
YearEnd2007throughJanuary8,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP Note:TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedontheShanghaiStock Exchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100. Aninvestmentcannotbemadedirectlyinanindex.

37

EmergingMarketsETFvs.S&P500
January9,2012throughJanuary8,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP SPY=S&P500.EEM=EmergingMarketsETF. Aninvestmentcannotbemadedirectlyinanindex.

38

S&PIndex
YearEnd2009throughJanuary8,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP Note:S&P500indexisabasketof500stocksthatareconsideredtobewidelyheld.Itisweightedbymarketvalueanditsperformanceisthoughttoberepresentative ofthestockmarketasawhole. Aninvestmentcannotbemadedirectlyinanindex.

39

GlobalEquitiesvs.US
January4,2012throughJanuary3,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP ACWI=iSharesMSCIACWIIndexfundisanexchangetradedfundreplicatingtheACWIUSEquityindex.S&P500indexisabasketof500stocksthatareconsideredto bewidelyheld.Itisweightedbymarketvalueanditsperformanceisthoughttoberepresentativeofthestockmarketasawhole. Aninvestmentcannotbemadedirectlyinanindex.

40

S&P500IndexandShanghaiIndex
December31,2008throughJanuary4,2013

Source:BloombergFinancialServices,DoubleLineCapitalLP S&P500indexisabasketof500stocksthatareconsideredtobewidelyheld.Itisweightedbymarketvalueanditsperformanceisthoughttoberepresentativeof thestockmarketasawhole. TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedontheShanghaiStock Exchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100. Aninvestmentcannotbemadedirectlyinanindex.

41

10YearUSTreasuryYield
YearEnd2007throughJanuary8,2013

Source:BloombergFinancialServices Pleaseseetheappendixfordefinition.

42

InvestmentGradeIndexYields
YearEnd2007throughJanuary8,2013

Source:BloombergFinancialServices,JPMorgan JACIICYM=TheJPMorganInvestmentGradeCorporateIndex,YieldtoMaturity.Investmentgrademeansthatthesecurityisratedbyoneofthethreenationally recognizedmajorratingagencies,Moodys,S&PorFitch,asaboveBBB. Pleaseseeslide67ofthispresentationforfurtherratingsdescriptions. Aninvestmentcannotbemadedirectlyinanindex.

43

RelativeGrowthofMerrillCorporateIndexto MerrillTreasuryIndex
1.40

1.30 1 30

Rela ativeGrowthRa ate (December31,1985 Janua 04,2013) ary

1.20

1.10

1.00

0.90 0 90

Trend
0.80

1SigmaRelativetoTrend

2SigmasRelativetoTrend

Corporate/Treasury

44 DataSource:MerrillLynch(C0A0;G0Q0);Monthlydatawithmostrecentobservationappended.

HighYieldIndexYields
YearEnd1994throughJanuary7,2013

Source:BloombergFinancialServices,JPMorgan PleaseseetheappendixfordefinitionofBofA/MerrillLynchHighYieldCashPayIndex(J0A0). Aninvestmentcannotbemadedirectlyinanindex.

45

RelativeGrowthofMerrillHighYieldCashPayIndexto Merrill15+YearTreasuriesIndex
1.30 1.20

Relat tiveGrowthRat te (December31, ,1985 January 04,2013) y

1.10

1.00 1 00

0.90

0.80

0.70

0.60

Trend

1SigmaRelativetoTrend

2SigmasRelativetoTrend

HighYield/15+yr Treasury

0.50 0 50

46 DataSource:MerrillLynch(J0A0;G0Q0);Monthlydatawithmostrecentobservationappended.

RelativeGrowthofMerrillMortgageIndexto MerrillTreasuryIndex y
1.15

Relativ veGrowthRate e (December31,1985 January y04,2013)

1.10

1.05

1.00

0.95

Trend
0.90 0 90

1SigmaRelativetoTrend

2SigmasRelativetoTrend

Mortgage/Treasury

47 DataSource:MerrillLynch(M0A0;G0Q0);Monthlydatawithmostrecentobservationappended.

RelativeGrowthofMerrillUSMunicipalIndexto Merrill1015YearTreasuryIndex y
1.10

1.05

Relativ veGrowthRate e (December31,1996 January 04,2013) (

1.00

0.95

0.90

0.85

0.80

0.75

Trend
0.70

1SigmaRelativetoTrend

2SigmasRelativetoTrend

Municipal/1015yr Treasury

48 DataSource:MerrillLynch(U0A0;G7O2);Monthlydatawithmostrecentobservationappended.

RelativeGrowthofMerrillEmergingMarketIndexto MerrillTreasuryIndex y
3.50

3.00 3 00

Relativ veGrowthRate e (D December31,1991 January y04,2013)

2.50

2.00

1.50 1 50

1.00

0.50

Trend

1SigmaRelativetoTrend

2SigmasRelativetoTrend

EmergingMarket/Treasury

0.00

49 DataSource:MerrillLynch(IGOV;G0Q0);Monthlydatawithmostrecentobservationappended.

AgeofFarmers,US

Source:USDepartmentofAgriculture(USDA),GoldmanSachsThebestofFortnightThoughts,December13,2012

50

CornBushelYield

51
Source:BiancoResearch

CornStocksUseRatio

Source:BloombergFinancialServices

52

TABIII
HousingandMBSMarketTrends

HomeownershipRate

Source:BloombergFinancialServices Homeownershipaffordabilitymeasuredquarterlyandsubjecttoaonemonthlag. Aninvestmentcannotbemadedirectlyinanindex.

5454

MortgageRefinancingIndex

Source:BloombergFinancialServices MortgageRefinancingIndexasmeasuredbytheMortgageBankersAssociation.Reflectsthenumberofapplicationsforrefinance.Notallapplicationsareaccepted. Aninvestmentcannotbemadedirectlyinanindex.

5555

30YearU.S.MortgageRates

Source:BloombergFinancialServices,Bankrate.com ILM3NAVG=TheOvernightNationalAverageoftheU.S.30yearTreasuryinterestrate.Theyhelpconsumersseethemovementof ratesdaytoday.Subjecttoone daylag.

5656

HomePriceIndexLevelsandYearOverYearChange

Source:BloombergFinancialServices,CaseShiller S&P/CaseShillerHomePriceIndexiscomprisedofpricechangeswithinthefollowingsubsetof20metropolitanmarkets:10City I d S& /C Shill H i I d i i d f i h i hi h f ll i b f 20 li k 10 Ci IndexBoston,Chicago,Denver,LasVegas,Los Chi L V L Angeles,Miami,NewYork,SanDiego,SanFranciscoandWashingtonDC.Inadditiontothe10CityIndexitincludes:Atlanta,Charlotte,Cleveland,Dallas,Detroit,Minneapolis, Phoenix,Portland,Seattle,andTampa. CoreLogicNationalHousingPriceIndex(HPI)=CoreLogicisaleadingproviderofinformationandanalytics.Thisindexcovers 6,208zipcodes,572statisticalareasand1,027 countieslocatedinall50statesandDistrictofColumbia.Itisanationalaverage. Aninvestmentcannotbemadedirectlyinanindex.

57

57

HomePricesinMajorUSMetropolitanAreas

58

ABXAAA071Index

Source:BloombergFinancialServices,DoubleLineCapitalLP TheABX071AAAIndexisabasketofhomeequity.Constitutedfromreferenceobligationsissuedby20issuersofresidentialmortgagebackedsecurities. Aninvestmentcannotbemadedirectlyinanindex.

59

NonAgencyRMBS60++DelinquencyRate
January31,2005throughNovember30,2012
60%

50% 40.0% 6 60++SeriousDelinq quencies Januar ry2005throughNo ovember2012

40%

30% Prime 20% AltA Subprime

24.1%

11.3% 10%

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO status. PrimedefinedasFICO>725andLTV<75 AltAdefinedasFICO675725;orFICO>725andLTV>=75 SubprimedefinedasFICO<675 Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

60

NonAgencyRMBSConditionalDefaultRate
January31,2005throughNovember30,2012
18% 16% 14% CDR Januar ry2005throughNo ovember2012 12% 9.8% 10% 8% 6% Prime 4% 2% 0% AltA Subprime

9.9%

4.7%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO i li i i d fi d b h d li d fi d l d l i l d i f l status. PrimedefinedasFICO>725andLTV<75 AltAdefinedasFICO675725;orFICO>725andLTV>=75 SubprimedefinedasFICO<675 Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

61

NonAgencyRMBSLossSeverity
January31,2005throughNovember30,2012 y , g ,
90% Prime 80% AltA 70% LossSeverity January2 2005throughNovember2012 60% 58.5% 50% 47.4% 40% 30% 20% 10% 0% Subprime 71.9%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO status. PrimedefinedasFICO>725andLTV<75 AltAdefinedasFICO675725;orFICO>725andLTV>=75 SubprimedefinedasFICO<675 Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

62

NonAgencyRMBSConditionalRepaymentRate
January31,2005throughNovember30,2012
45%

40%

35%

CRR Januar ry2005throughNo ovember2012

30%

25%

20% 16.1% 15% Prime AltA 5% Subprime p 2.5% 0% 7.1%

10%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO status. PrimedefinedasFICO>725andLTV<75 AltAdefinedasFICO675725;orFICO>725andLTV>=75 SubprimedefinedasFICO<675 Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

63

2013MarketOutlook YearoftheSnake
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

January8,2013

Announcements WebcastNews
PhilipBarach January22,2013 p y
LowDuration BuildingPortfolioHorizons 1:15pmPDT/4:15pmEDT

LuzPadilla February5,2013 Luz Padilla February 5, 2013

EmergingMarkets 1:15pmPDT/4:15pmEDT

JeffreyGundlach March5,2013 Jeffrey Gundlach March 5 2013

TotalReturn&Core 1:15pmPDT/4:15pmEDT

ToReceivePresentationSlides: Youcanemail info@doubleline.com info@doubleline com

65

TABVI TAB VI
Appendix

Back to In IWS?requ U 1 .S. Aggr getIndexA

IndexDescriptions
BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered, taxable,anddollardenominated.Theindex
coverstheUSinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbacked securities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.

BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemaining
maturityofoneyearormore.

BarclaysCapitalUSTreasury2YearIndex Thisindexisthe2yearcomponentoftheUSGovernmentindex. BarclaysCapitalUSTreasury5YearIndex Thisindexisthe5yearcomponentoftheUSGovernmentindex. BarclaysCapitalUSTreasury7YearIndex Thisindexisthe7yearcomponentoftheUSGovernmentindex. l C i l S d BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex. BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex. BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebtissuer
fromcountriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianandglobal bonds(SECregistered)ofissuersinnonEMGcountries areincluded.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.

BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesinthe
TreasuryandAgencyindices.)

BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominated investmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&Pand Fitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleast oneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM. BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocks BofA Merrill Lynch US All Convertibles Index (VOSO) Th M ill L h All C tibl I d i l di i d hi h i l d ll b d d f d t k ofU.S.registeredcompanies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsorcashequivalents. Pleasenoteaninvestorcannotinvestdirectlyinanindex. BofAMerrillLynchMunicipalMasterIndex(UOAO) TheMerrillLynchUSMunicipalSecuritiesIndextrackstheperformanceofUSdollardenominated investmentgradetaxexemptdebtpublicallyissuedbyUSstatesandterritories,andtheirpoliticalsubdivisions,intheUSdomesticmarket. CRBCommodityIndex Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.The
indextracksenergy,grains,industrials,livestock,preciousmetals,andagriculturals. index tracks energy grains industrials livestock precious metals and agriculturals S&P500 S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedintheUnited States. StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow standarddeviationindicatedthatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicated thatthedateisspreadoutovera largerangeofvalues. DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withthe Dow Jones UBS DJ Commodity Index The Dow Jones UBS Commodity index is composed of commodities traded on U S exchanges with the exceptionofaluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME). BofA/MerrillLynchMexicanGovernmentIndex(GDMX) TheindextrackstheperformanceofUSDdenominatedsovereigndebtpubliclyissuedbytheMexican governmentintheMexicandomesticmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining. 67 BofA/MerrillLynchUnitedKingdomGovernmentIndex(GOLO) TheindextrackstheperformanceofGBPdenominatedsovereigndebtpubliclyissuedbytheUK governmentinitsdomesticmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining.

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IndexDescriptions
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomesticmarket.Qualifying countriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).

BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,thatispubliclyissued intheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirthforeigncurrencylongtermsovereigndebt ratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.

BofAMerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebtpubliclyissuedand denominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleanda minimumamountoutstanding.

BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0)
ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepass throughsecuritiespubliclyissuedbyUSagenciesintheUSdomestic This index tracks the performance of US dollar denominated fixed rate and hybrid residential mortgage passthrough securities publicly issued by US agencies in the US domestic market.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremainingtermtofinalmaturityanda minimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyearwithineachgenericcoupon.

BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpoliticalsubdivisions,intheUS domesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleand aninvestmentgraderating(basedonMoodys,S&P andFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattimeofissuance.

BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmerging B l C it l Gl b l E i M k t I d MarketsindexandthepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,MiddleEast,Africa, andAsia.AswithotherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthemarketplaceandeasyreplicability. JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgrade corporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&PandFitch)andan investmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleastoneyear remainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM. g y p g CPI
ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodandmedicalcare.

CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome. BofA/MerrillLynchFrenchGovernmentIndex(GOFO) TheindextrackstheperformanceofEURdenominatedsovereigndebtpubliclyissuedbytheFrenchgovernmentinthe

Frenchdomesticoreurobondmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining.

BofA/MerrillLynchGermanGovernmentIndex(GODO) TheindextrackstheperformanceofEURdenominatedsovereigndebtpubliclyissuedbytheGermangovernmentin
theGermandomesticoreurobondmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining.

BofA/MerrillLynchRussianGovernmentIndex(GDRU) Th i d B fA/M ill L h R i G t I d (GDRU) TheindextrackstheperformanceofUSDdenominatedsovereigndebtpubliclyissuedbytheRussiangovernmentinthe k h f f USD d i d i d b bli l i db h R i i h

Russiandomesticmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining. BofA/MerrillLynchJapanGovernmentIndex(GOYO) TheindextrackstheperformanceofJPYdenominatedsovereigndebtpubliclyissuedbytheJapanesegovernmentinthe Japanesedomesticmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining. 68 BofA/MerrillLynchBrazilianGovernmentIndex(GDBR) TheindextrackstheperformanceofUSDdenominatedsovereigndebtpubliclyissuedbytheBraziliangovernmentin theBraziliandomesticmarket.Fixedratesecuritieswithminimumoneyearmaturityremaining.

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IndexDescriptions
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpublicly BofA Merrill Lynch US Treasury Index (G0Q0) The Merrill Lynch US Treasury Index tracks the performance of US dollar denominated sovereign debt publicly issuedbytheUSgovernmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal maturity,afixedcouponschedule andaminimumamountoutstandingof$1billion. BofAMerrillLynchUS1015YearTreasuryIndexLongTreasuryTheMerrillLynchUS1015TreasuryIndextrackstheperformanceofUSdollardenominated10 15yearsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO). BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCrated HighYieldcreditonly. g y BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBrated HighYieldcreditonly. BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHigh Yieldcreditonly. BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBB investmentgradecredits. BofA/MerrillLynchCreditIndexAratedIndex(COA3) AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingontheAratedinvestmentgrade BofA/Merrill Lynch Credit Index A rated Index (COA3) . A component of the BofA/Merrill Lynch Credit Index concentrating on the A rated investment grade credits. BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAA investmentgradecredits. DowJones UBSCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionof aluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME). ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalization weightedindextrackingdailypriceperformanceofallAandB shareslistedonthe Shanghai Index The Shanghai Stock Exchange Composite is a capitalizationweighted index tracking daily price performance of all A and Bshares listed on the ShanghaiStockExchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100. S&P/CaseShillerCompositeHomePriceIndex TheCaseShillerHomePriceIndices,onecomprisedofpricechangeswithinall20metropolitanmarkets,and anothercomprisedofpricechangeswithinthefollowingsubsetof10metropolitanmarkets:Boston,Chicago,Denver,LasVegas,LosAngeles,Miami,NewYork, SanDiego,SanFranciscoandWashingtonDC.Inadditiontothose10markets,the20HomePriceindexreflectspricechangesforAtlanta,Charlotte,Dallas,Detroit, Minneapolis,Phoenix,Portland,SeattleandTampa. DowJonesIndustrialAverage AlsoknownastheDOWisastockmarketindexthatincludes30largepublicallyownedcompaniesbasedintheU.S.havetraded duringastandardtradingsessioninthestockmarket. NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedover thecounterstocks. Createdin1971,theNasdaqwastheworld'sfirstelectronicstockmarket. Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureand distributionof capitalgoods,includingaerospace&defense,construction,engineering&buildingproducts,electricalequipmentandindustrial machinery Utilities Apublicutilityisabusinessthatfurnishesaneverydaynecessitytothepublicatlarge.Publicutilitiesprovidewater,electricity,naturalgas,telephone service,andotheressentials.Utilitiesmaybepubliclyorprivatelyowned,butmostareoperatedasprivatebusinesses. service and other essentials Utilities may be publicly or privately owned but most are operated as private businesses BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument. REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebt 69 securities,priortomaturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.

Disclaimer
ImportantInformationRegardingThisReport
Issueselectionprocessesandtoolsillustratedthroughoutthispresentationaresamplesandmaybemodifiedperiodically.Suchchartsarenottheonlytoolsused bytheinvestmentteams,areextremelysophisticated,maynotalwaysproducetheintendedresultsandarenotintendedforusebynonprofessionals. DoubleLinehasnoobligationtoproviderevisedassessmentsintheeventofchangedcircumstances.Whilewehavegatheredthisinformationfromsources believedtobereliable,DoubleLinecannotguaranteetheaccuracyoftheinformationprovided.Securitiesdiscussedarenotrecommendationsandarepresented asexamplesofissueselectionorportfoliomanagementprocesses.Theyhavebeenpickedforcomparisonorillustrationpurposesonly.Nosecuritypresented withiniseitherofferedforsaleorpurchase.DoubleLinereservestherighttochangeitsinvestmentperspectiveandoutlook withoutnoticeasmarketconditions dictateorasadditionalinformationbecomesavailable.

ImportantInformationRegardingRiskFactors
Investmentstrategiesmaynotachievethedesiredresultsduetoimplementationlag,othertimingfactors,portfoliomanagementdecisionmaking,economicor marketconditionsorotherunanticipatedfactors.Theviewsandforecastsexpressedinthismaterialareasofthedateindicated,aresubjecttochangewithout notice,maynotcometopassanddonotrepresentarecommendationorofferofanyparticularsecurity,strategy,orinvestment. Pastperformanceisno notice ma not come to pass and do not represent a recommendation or offer of an partic lar sec rit strateg or in estment Past performance is no guaranteeoffutureresults.

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