InOurTime

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

September8,2015

FundOfferings
TotalReturnBondFund
RetailandInstitutionalClass
NoLoadMutualFund
Retail
Nshare
Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio

DLTNX
$2,000
$500
0.72%

Inst.
Ishare
DBLTX
$100,000
$5,000
0.47%

TheFundsinvestmentobjectives,risks,chargesandexpensesmustbeconsideredcarefullybeforeinvesting.The
statutoryprospectusandsummaryprospectus(ifavailable)containsthisandotherimportantinformationabout
theFunds,anditmaybeobtainedbycalling1(877)3546311/1(877)DLINE11,orvisiting
www.doublelinefunds.com.Readitcarefullybeforeinvesting.
Investmentsindebtsecuritiestypicallydecreaseinvaluewheninterestratesrise.Thisriskisusuallygreaterforlongertermdebtsecurities.Investmentsinlowerratedandnonratedsecuritiespresenta
greaterriskoflosstoprincipalandinterestthanhigherratedsecurities.InvestmentsinAssetBackedandMortgageBackedSecuritiesincludeadditionalrisksthatinvestorsshouldbeawareofsuchas
creditrisk,prepaymentrisk,possibleilliquidityanddefault,aswellasincreasedsusceptibilitytoadverseeconomicdevelopments.
TheFundmayusecertaintypesofinvestmentderivatives.Derivativesinvolverisksdifferentfrom,andincertaincases,greaterthantheriskspresentedbymoretraditionalinvestments.Derivativesmay
involvecertaincostsandrisksuchasliquidity,interestrate,market,credit,managementandtheriskthatapositioncouldnotbeclosedwhenmostadvantageous.Investinginderivativescouldlosemore
thantheamountinvested.TheFundmayalsoinvestinsecuritiesrelatedtorealestate,whichmaydeclineinvalueasaresultoffactorsaffectingtherealestateindustry.
TheDoubleLineTotalReturnBondFundintendstoinvestmorethan50%ofitsnetassetsinmortgagebackedsecuritiesofanymaturityortype.TheFundtherefore,potentiallyismorelikelytoreacttoany
volatilityorchangesinthemortgagebackedsecuritiesmarketplace.Theserisksaregreaterforinvestmentsinemergingmarkets.
Opinionsexpressedaresubjecttochangeatanytime,arenotforecastsandshouldnotbeconsideredinvestmentadvice.
DoubleLineFundsaredistributedbyQuasarDistributors,LLC.
WhiletheFundsarenoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
Fundholdingsandsectorallocationsaresubjecttochangeandarenotrecommendationstobuyorsellanysecurity.

Performance
DoubleLineTotalReturnBondFund QuarterEndingJune30,2015

QuarterEnd
June30,2015

2Q
2015

YeartoDate
2015

1Year

Ishare

0.51%

1.10%

Nshare

0.66%

BarclaysU.S.
AggregateIndex

SinceInception

3Year

5Year

Annualized

Annualized

Annualized
(4610to63015)

3.27%

4.03%

6.83%

8.11%

0.89%

2.92%

3.74%

6.56%

7.84%

1.68%

0.10%

1.86%

1.83%

3.35%

3.98%

Asof June30,2015

IShare NShare

BarclaysU.S.
AggregateIndex

1YrStd Deviation1

2.05%

2.12%

GrossExpenseRatio

0.47%

0.72%

3.27%

1.Standarddeviationisameasureofthevariationordispersionofasetofdatafromitsmeanorexpected/budgetedvalue.Alowstandarddeviationindicatesthatthedatapointstendtobeverycloseto
themean,whereasahighstandarddeviationindicatesthatthedataisspreadoutoveralargerangeofvalues.Ameasureofaninvestment'svolatility.

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate
bondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectors
aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.

UpcomingWebcastAnnouncements
StrategicCommodityFund September29,2015
JeffreyShermanwilldiscuss
StrategicCommodityFund
Gotowww.doublelinefunds.com,HomepageunderEvents
2015WebcastScheduletoregister
1:15pmPDT/4:15pmEDT

EmergingMarkets October6,2015
LuzPadillawilldiscuss
EmergingMarkets
Gotowww.doublelinefunds.com,HomepageunderEvents
2015WebcastScheduletoregister
1:15pmPDT/4:15pmEDT

RisingRateFunds October20,2015
PhilBarach,RobertCohenandtheEMTeamwilldiscuss
EmergingMarketsFund&LowDurationEmergingMarketsFund
Gotowww.doublelinefunds.com,HomepageunderEvents
2015WebcastScheduletoregister
1:15pmPDT/4:15pmEDT

ToReceivePresentationSlides:
Youcanemailfundinfo@doubleline.com

InOurTime

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

September8,2015

TABI TheFed
Dammit, Janet!

ProbabilityofaFederalReserveHike

Source:Bloomberg.ProbabilitycalculatedusingFedFundsfuturesdata.
Youcannotinvestdirectlyinanindex.

9/1/2015

8/26/2015

8/20/2015

8/14/2015

8/10/2015

8/4/2015

7/29/2015

7/23/2015

7/17/2015

7/13/2015

7/7/2015

6/30/2015

6/24/2015

6/18/2015

6/12/2015

6/8/2015

6/2/2015

5/27/2015

5/20/2015

5/14/2015

5/8/2015

5/4/2015

4/28/2015

4/22/2015

4/16/2015

4/10/2015

4/6/2015

3/31/2015

3/25/2015

3/19/2015

3/13/2015

3/9/2015

3/3/2015

2/25/2015

2/19/2015

2/12/2015

2/6/2015

2/2/2015

ProbabilityofRateHike

February2,2015throughSeptember4,2015
ProbabilityofRateHike
*basedonFedFundFutures

100%

90%

80%

70%

60%

50%
Sep

40%
Dec

30%

20%

10%

0%

Source:Bloomberg;Doubleline
CalculationimpliedbythepricesoftheFedFundsfutures.

WhyHikeNow?NominalGDPvs.RealGDP
6%

NominalGDPYoY
RealGDPYoY

QE3September2012
NominalGDP=4.10%
RealGDP=2.40%

RateHike? 2015
NominalGDP=3.70%
RealGDP=2.70%

GDPYearoverYear%Change
December31,2010 June30,2015

5%

4%

4.10%

3.70%
3%
2.40%

2.70%

2%

1%

0%

Source:DoubleLine,Bianco,Bloomberg
YoY yearoveryear.GDP=theamountofgoodsandserviceproducedwithinagivencountry/territoryQE3=QuantitativeEasing3 program.NominalGDPisthegrossdomesticproductbuthasnot
beenadjustedforinflation.RealGDPisamacroeconomicmeasureofthevalueofeconomicoutputadjustedforpricechangesorinflation.Thisadjustmenttransformsthemoneyvaluemeasure,
nominalGDP,intoanindexfroquantityoftotaloutput.Youcannotinvestdirectlyinanindex..

ProbabilityofaFederalReserveHike
September3,2013toSeptember3,2015

Source:Bloomberg
GDDCAFJP=AtlantaFedGFPNow Forecaststhatprovidesanestimateofoveralleconomicactivityinaneconomy.GDPCQOQIndex=AtlantaFedGDPNow Forecasts.GDPUSChained2009DollarsQoQ.
GDP=GrossDomesticProductistheamountofgoodsandservicesproducedwithinagivencountry.Youcannotinvestdirectlyinanindex.

U.S.NominalGDPYoY September30,1990toAugust19,2015

Source:DoubleLine,Bloomberg
GDP=theamountofgoodsandserviceproducedwithinagivencountry/territory.Yoy =yearoveryear.Youcannotinvestdirectlyinanindex..

10

WhyHikeNow? CommodityPrices
September8,2005toSeptember8,2015

Source:DoubleLine,Bloomberg
CRY=Thompson/Rueters CRBExcessReturnIndexisanarithmeticaverageofcommodityfuturesprocesswithmonthlyrebalancing.Youcannotinvestdirectlyinanindex..

11

WhyHikeNow? JunkBondsSeptember8,2010toSeptember8,2015

Source:DoubleLine,Bloomberg
JNK=SPDRBarclaysHighYieldBondETFinanexchangetradedincorporatedintheU.S.ItseeksinvestmentresultsthatcorrespondtothepriceandyieldoftheBarclaysHighYieldVeryLiquidBond
Index.Pleaseseetheappendixforprospectuslink,description,expenses,etc.forJNK.DoubleLine TotalReturnBondFundowns0%JNKasofSeptember8,2015.Youcannotinvestdirectlyinan
index.

12

WhyHikeNow? EmergingMarketEquities
September3,2005throughSeptember1,2015

831

882

883

918

910

468

Source:DoubleLine,Bloomberg
EMEquities(MXEFIndex)=TheMSCIEmergingMarketsIndexisafreefloatweightedequityindex.Youcannotinvestdirectlyin anindex.

13

WhyHikeNow?PCE
3.50%
NominalCorePCEYoY
HeadlinePCEYoY

PCEYearoverYear%Change
December31,2010 July31,2015

3.00%

2.50%

QE3September2012
2.00%

1.70%

1.50%

1.24%
1.00%

0.50%

0.30%
0.00%

Source:DoubleLine,Bianco,Bloomberg
PCE=personalconsumptionexpenditures.YoY =yearoveryear.Youcannotinvestdirectlyinanindex..

14

CoreCPIandCorePCESeptember30,2005toSeptember8,2015

Source:DoubleLine,Bloomberg
CPIXYOYIndex=consumerpriceindexlessfoodandenergyyearoveryearmeasuresthepricespaidbyconsumersforamarketbasketofconsumergoodsandservices.Yearlygrowthratesrepresent
theinflationrate.PCECYOYIndex=USCPIUrbanConsumerslessfoodandenergymeasuresPCEdeflatorstracksoverallpricechangesforgoodsandservicespurchasedbyconsumers.Youcannot
investdirectlyinanindex..

15

CPI&PCEWeightings
AsofMay31,2015

CPI= consumerpriceindex.PCE=personalconsumptionexpenditures.OER=OwnersEquivalentRent.Youcannotinvestdirectlyinanindex.

16

WTICrudeandCPI
April30,2005throughJuly31,2015
6.00%

5.00%

USCPI(LHS)
WTIYOY%(RHS)

120%
100%
80%

4.00%

3.00%
40%
2.00%

20%

1.00%

0%
20%

0.00%

WTICrudeYoY%Change
April30,2005 August31,2015

USCPIYoY%Change
April30,2005 July31,2015

60%

40%
1.00%
60%
2.00%

3.00%

80%
100%

CPI=consumerpriceindex.WTI=WestTexasIntermediatecrudeoil.YoY =Yearoveryear.LHS=lefthandside.RHS=righthandside. Youcannotinvestdirectlyinanindex.

17

U.S.CrudeOilProductionvs.WTIPrice
September8,2010throughSeptember8,2015

Source:DoubleLine,Bloomberg
DOETCRUDIndex=DCECrudeOilTotalProductiondatatracksweeklybarrelsofpetroleumstatusreleasedbytheEnergyInformationAdministration.CL1Comdty =genericcrudeoilfuturescurrent
contract.Youcannotinvestdirectlyinanindex.

18

GlobalOilSupplyandDemandMismatch
March31,1995throughSeptember3,2015

Source:DoubleLine,Bloomberg
OPCBRTOTIndex=DataisobtainedbytheEnergyIntelligenceGroupsOilMarketIntelligencePublicationandquotestheminimumbarrelsperdaytocalculateamonthlyaggregate.OPCBTSUPIndex=
DataisobtainedbytheEnergyIntelligenceGroupsOilMarketIntelligencePublicationandquotestheminimumbarrelsoftotalsupply.Youcannotinvestdirectlyinanindex.

19

WhyHikeNow? InflationExpectations
April26,2007throughSeptember1,2015
6%

Percent
April26,2007 September1,2015

4%

2%

0%

2%

FederalReserve5YearInflation
Expectation
FiveYearFiveYearsForward
2YearBreakevens

4%

5YearBreakevens
10YearBreakevens

6%

30YearBreakevens

8%

Source:BloombergFinancialServices,DoubleLineCapitalLP
USGGBE02Index=U.S.BreakevenIndexforyearsindicated(02=2Yr).USGGB05=U.S.BreakevenIndexforyearsindicated(05=5 Yr). USGGB10=U.S.BreakevenIndexforyearsindicated(10=10Yr).
USGGB30=U.S.BreakevenIndexforyearsindicated(30=30Yr). Yieldsareyieldtomaturityandpretax.TheratesareUnitedStatesbreakeveninflationrates.Theyarecalculatedbysubtractingthe
realyieldoftheinflationlinkedmaturitycurvefromtheyieldoftheclosestnominalTreasurymaturity.Youcannotinvestdirectlyinanindex.

20

WhyHikeNow? USAverageHourlyEarnings
March31,2007throughSeptember3,2015

Source:DoubleLine,Bloomberg
AHEYOY%Index=AverageHourlyEarningsallemployeestotalprivateyearlypercentagechangetrackstotalhourlyremunerationpaidtoemployeesinreturnforworkdone.Youcannotinvestdirectly
inanindex.

21

WhyHikeNow?U.S.EmploymentCostIndex
December31,2000throughSeptember3,2015

Source:DoubleLine,Bloomberg
ECISA%Index=Theemploymentcostindexmeasureschangesinemployeecompensationcosts.Theseincludedirectcosts(wages, bonuses,benefits)aswellasindirectcosts(socialsecurity
contributions,trainingcosts,medicalbenefits,taxes).Youcannotinvestdirectlyinanindex.

22

WhyHikeNow? U.S.DollarIndexSpot
December31,2007throughSeptember8,2015

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

23

Value-Added Imports from Asia and Trade Prices

December31,2005throughMay31,2015

CPB=ConsumerProtectionBoard,OECD=OrganizationofEconomicCooperationandDevelopment,y/y=yearoveryear.Youcannotinvestdirectlyinanindex.

24

WhyHikeNow? PurchaseManagersIndex(PMI)
61
ISMManufacturingPMI

PMIManufacturingIndex
December31,2010 Augst31,2015

59

QE3September2012

57

55

53
51.9
51.1
51

49

47

45

Source:DoubleLine,Bianco,Bloomberg
ISMManufacturingPMI=PurchaseManagersIndexindicatestheeconomichealthofthemanufacturingsector.Youcannotinvestdirectlyinanindex..

25

WhyHikeNow?LaborMarketConditions
December31,2010toJuly31,2015
1.80%
LaborMarketConditionsIndex
1.60%

LaborMarketConditionsIndex
December31,2010 July31,2015

1.40%

1.20%

QE3September2012
1.00%

0.75%

0.80%
0.78%
0.60%

0.40%

0.20%

0.00%

Source:DoubleLine,Bianco,Bloomberg
LaborMarketConditionsindex(LMCI)sarelativelyrecentindicatordevelopedbyFederalReserveeconomiststoassesschangesinthelabormarketconditions.Itsprimarysourceofcommon
variationamong19labormarketindicatorsplacinggreaterweightonindicatorswhosemovementsarehighlycorrelatedwitheachother.Youcannotinvestdirectlyinanindex..

26

BloombergFinancialConditionsDipstoNegative
September30,2005toSeptember1,2015

TheBloombergU.S.FinancialConditionsIndextrackstheoverallleveloffinancialstressintheU.S.money,bond,andequitymarketstohelpassesstheavailabilityandcostofcredit.Apositivevalueindicates
accommodativefinancialconditions,whileanegativevalueindicatestighterfinancialconditionsrelativetoprecrisisnorms.TEDspread=thedifferencebetweentheinterestratesoninterbankloansandon
shorttermU.S.governmentdebt.OAS=OptionAdjustSpreads.Muni=MunicipalBonds.VIX=volatilityindex.S*P500=Standard &Poors500isanindexbasedonthemarketcapitalizationof500large
companieslistedontheNYSE.LIBOR=LondonInterbankOfferedRateisabenchmarkratethatsomeoftheworldsleadingbankschargeeachotherforshorttermloans.OIS=overnightindexedswapwhere
theperiodicfloatingpaymentisgenerallybasedonareturncalculatedfromadailycompoundinterestinvestment.USHighYield =BofA/MLHighYieldIndex(JOAO),USMuni=BofA/MLMunicipalSecurities
Index.Baa=BelowInvestmentGraderatingitsasubsectoroftheBarclaysHighYieldIndex.BelowInvestmentGrade=BelowInvestmentGrade=Alsoknownasjunkbondisasecurityratedbelow
investmentgradehavingaratingofBBB orbelow.Thesebondsareseenashavinghigherdefaultriskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomake
themattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.Pleaseseetheappendixforindexdefinitions.Youcannotinvestdirectlyinanindex.

27

GSFinancialConditionsIndex
September8,2000throughSeptember8,2015

Definition:OurUSGoldmanSachsFinancialConditionsIndex(GSFCI)isaweightedaverageofsixvariables:thefederalfundsrate,the10yearTreasuryyield,theTEDspread,theiBoxx domestic
nonfinancials BBB15Y+/10yearTnotespread,theratiooftheS&P500toa10yearaverageofearningspershareandthebroadGStradeweighteddollarindex.OuroiladjustedUSGSFCIaddsthereal
Brentoilpricebutisotherwiseidentical.Youcannotinvestdirectlyinanindex.

28

S&PRevenuesandU.S.BusinessSales(YoY%)
September5,1995throughMay31,2015
TheYoY changeofUSbusinesssaleshasfallenfromover5%ayearagotolessthan2%recently

YoY =yearoveryear.Youcannotinvestdirectlyinanindex.

29

TABII
ChinasImpact
Imgoingtostaywithyou.Ifyougotojail,wemightaswell
bothgo
ErnestHemingway,InOurTime,OutofSeason

NPRhttp://www.npr.org/sections/thetwoway/2015/08/30/436097645/chinaarrestsnearly200overonlinerumors

30

TradeWeightedValueofChineseYuan
September8,2005throughSeptember8,2015

Source:Bloomberg
ATWICNYIndexisanincreaseintheindexindicatesthatth ecurrencyisstrengtheningagainstitsmajortradingpartnersandhencebecominglesscompetitive.Youcannotinvestdirectlyinanindex.

31

Chinese Renminbi (CNY) Remains Strong While Asia

Foreign Exchange has Depreciated
September4,2012toSeptember4,2015

Source:Bloomberg
SpecifiedcurrencyminustheUSdollarspotprice.INR=IndianRupeespotprice,IDR=IndonesianRupiahspotprice,THB=ThaiBhatspotprice,PHP=PhilippinePesospotprice,MYR=MalaysianRiggit spot
price,SGD=SingaporeDollarspotprice,KRW=SouthKoreanWonspotprice,JPY=Japaneseyenspotprice,CNH=ChineseRenminbi spotprice.Youcannotinvestdirectlyinanindex.

32

ChinasShanghaiMarketandPolicyTimeline
October1,2014toAugust25,2015

2964.967
August25,2015

2363.87
October1,2014

Source:ValueWalk ChinasMarketAndpolicyTimeline,August26,2015
PBOC=PeoplesBankofChina,GDP=Allthegoodsandservicesproducedwithinagiventerritoryorcountry. ShanghaiComposite=IsacapitalizedweightedindextracksthedailypriceperformanceofallA
&BsharesontheShanghaiStockExchange.RRR=ReserveRequirementRatio,IPO=InitialPublicOfferingreferstothefirsttimeacompanypubliclysellssharesofitsstockontheopenmarket.CSRC=
ChinaSecuritiesRegulatoryCommissionisthemainregulatorybodyinChina.Basispoint=onehundredthofonepercent,used mainlyforexpressingthedifferencesininterestrates.Rs =rightside,ls=left
side.MSCI=MSCIEmergingMarketsIndexisafreefloatweightedequityindex.Youcannotinvestdirectlyinanindex.

33

MarginFinanceinChineseStockMarket
September27,2012throughSeptember1,2015
25000

5500

OutstandingBalanceofMarginFinance(BillionsYuan)(LHS)
5000

20000
4500

15000

4000

3500
10000

3000

2500

ShanghaiCompositeIndex
September27,2012 September1,2015

OutstandingBalanceofMarginFinance(BillionsofYuan)
September27,2012 September1,2015

ShanghaiCompositeIndex(RHS)

5000
2000

1500

Source:Bloomberg
Yuan=thespotpriceoftheRenminbi,ShanghaiComposite=IsacapitalizedweightedindextracksthedailypriceperformanceofallA&BsharesontheShanghaiStockExchange.RHS=rightside,LHS
=leftside.Youcannotinvestdirectlyinanindex.

34

ChinaConstruction,FloorSpaceofNewBuildings
CumulativeYoY%ChangeMarch31,2004throughMarch31,2015

CSTNYFNB=Chinasconstructionindexbasedonfloorspaceofnewbuildings,YoY =yearoveryear.Youcannotinvestdirectlyinanindex.

35

CountryDemandforCommodityUsage2015Forecast
AsofJuly31,2015

36

ChineseHoldingsofU.S.TreasuriesAugust1,20015throughJuly31.2015

Source:Bloomberg

37

ForeignHoldingsofU.S.TreasurybyMaturity

Source:FederalReserve

38

TABIII
BloodlessVerdictoftheMarket

39

BofA/MerrillFixedIncomeIndexReturns
Grey=Year2014
Blue=YearToDate2015
9.97%

Convertibles(VOSO)0.22%
HighYield(JOAO)

0.30%

2.45%
7.31%

InternationalEmerging(IGOV)
0.61%
Corporate(COAO) 0.05%
InternationalDeveloped(NOGO)
Mortgages(MOAO)
Government(G0A0)

7.51%
8.11%

0.53%
1.10%

6.07%
5.88%

1.26%

DataSource:BofA/MerrillLynchIndicesthroughyearendDecember31,2014andSeptember7,2015fortherespectiveyearsindicated.
PleaseseetheAppendixforindexdefinitions.Aninvestmentcannotbemadedirectlyinanindex.

40

BofA/MerrillFixedIncomeIndexReturns
Grey=Year2014
Blue=YearToDate2015
3.36%
CCCRatedHighYield(JOA3)
4.09%
BBRatedHighYieldCredit(JOA1)

5.34%
1.41%
1.28%
0.50%

BRatedHighYield(JOA2)

7.70%

BBBRatedCredit(COA4) 0.68%
ARatedCredit(COA3)
AAARatedCredit(COA1)

0.46%
0.18%

7.37%
9.43%

InvestmentGrade=IndicesratedAAAtoBBB (shownabove)areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB orhigherbyStandard&

PoorsorBaa3byMoodys.Thehighertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.AAAisconsideredthehighestqualityandthelowestdegreeofrisk.They
areconsideredtobestableanddependable.
BelowInvestmentGrade=Alsoknownasjunkbond(shownabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenashavinghigherdefault
riskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive. Theyarelesslikelytopaybackatpar/$100centsonthedollar.
CreditdistributionfromthehighestavailablecreditratingfromanyNationallyRecognizesStatisticalRatingOrganization(S&P,Moodys,andFitch).
Source:BofA/MerrillLynchIndicesasofDecember31,2014andSeptember7,2015andfortheirrespectiveyearsindicated.
PleaseseeappendixforIndexdefinitions
Aninvestmentcannotbemadedirectlyinanindex.

41

U.S.2YearTreasury
September8,2010throughSeptember8,2015

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT02=US2YearTreasuryBond.Youcannotinvestdirectlyinanindex.Pastperformanceisnoguaranteeoffutureresults.Youcannotinvestdirectlyinanindex.

42

U.S.5YearTreasury
September8,2010throughSeptember8,2015

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT5=US5YearTreasuryBond.Youcannotinvestdirectlyinanindex.Pastperformanceisnoguaranteeoffutureresults.Youcannotinvestdirectlyinanindex.

43

U.S.10YearTreasury
September8,2010throughSeptember8,2015

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT10=US10YearTreasuryBond.Youcannotinvestdirectlyinanindex.Pastperformanceisnoguaranteeoffutureresults.

44

U.S.30YearTreasury
September8,2010throughSeptember8,2015

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT30=US30YearTreasuryBond.Youcannotinvestdirectlyinanindex.

45

USRates:UST2s5s,2s10s,2s30s,5s10sSpreads
September2,2010throughSeptember1,2015

Source:BloombergFinancialServices,DoubleLineCapitalLP
2s5s=2yearUSTreasuryratesvs.5yearUSTreasuryrates,2s10s=2yearUSTreasuryratesvs.10yearUSTreasuryrates,2s30s=2yearUSTreasuryratesvs.30yearUSTreasuryrates,5s10s=5yearUS
Treasuryratesvs.10yearUSTreasuryrates .Youcannotinvestdirectlyinanindex.

46

ChangeinGlobal10yearBondYieldsYearToDate
AsofSeptember4,2015

ChangeinGlobal10yBondYTD(BPS)
300
256
238

250

200

150
114
100
47

50

27
7

19

13

49

41

12

59

14

0
4
50

11
35

47

15

10
25

60

100

Source:Bloomberg;Doubleline

47

10YearBundYieldvs.10YearU.S.TreasuryYield
7%

10YearUSTreasuryYield
10YearGermanBundYield

Yield(%)
December31,1999 September4,2015

6%

5%

4%

3%

2%

1%

0%

Source:Bloomberg,DoubleLine
Yield=Theincomereturnonaninvestment.Thisreferstotheinterestordividendsreceivedfromasecurity.

48

RelativeGrowthofMerrillCorporateIndexto
MerrillTreasuryIndex
7%
AverageYieldSpread

YieldSpread

CorporateYieldLessTreasuries
(December31,1985 September03,2015)

6%

5%

4%

CurrentYields
Corporate: 3.46%
Treasury: 1.52%

3%

Spread: 1.94%

2%

1%

0%

DataSource:MerrillLynch(C0A0;G0Q0)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.

49

BarclaysUSCorporateHYSpread
September5,2006throughSeptember3,2015

Source:BloombergFinancialServices,DoubleLineCapitalLP
LF98OASIndex=BarclaysU.S.CorporateHighYieldAverageOASIndex.Youcannotinvestdirectlyinanindex.

50

MerrillHighYieldCashPayIndexYieldSpreadRelative
toMerrill15+YearTreasuryIndex
20%

HighYieldLess15+YearTreasuries
(December31,1985 September03,2015)

18%

AverageYieldSpread

YieldSpread

16%
14%

Current Yields
12%
10%

HY: 7.45%
Treasury: 2.89%
Spread: 4.56%

8%
6%
4%
2%
0%

DataSource:MerrillLynch(J0A0;G802)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
HY=HighYield

51

HighYield,HighYieldEnergyandHighYieldMetals&
MiningSpreads
February6,2014throughAugust31,2015

HYandHYEnergySpreads
1300

GOVTOAS

1100

900
HY
HYEnergy
700

HYMetals&Mining

500

8/6/2015

7/6/2015

6/6/2015

5/6/2015

4/6/2015

3/6/2015

2/6/2015

1/6/2015

12/6/2014

11/6/2014

10/6/2014

9/6/2014

8/6/2014

7/6/2014

6/6/2014

5/6/2014

4/6/2014

3/6/2014

2/6/2014

300

DataSource:BarclaysUSHighYieldCashPayIndex.EnergyandMetalsandMiningareseparatecomponentsofthisindex.Govt =government,OAS=Optionadjustedspread.Youcannotinvestdirectly
inanindex.

52

RecordTurnoverinHYGETF
March1,2009throughAugust21,2015

HYGETF=iShares IBOXXHighYieldCorporateBondETFisanexchangetradedfundincorporatedintheUS.TheETFseekstotracktheinvestmentresultsofanindexcomposedofU.S.dollar
denominatedhighyieldcorporatebonds. Pleaseseetheappendixforprospectuslink,description,expenses,etc. DoubleLine TotalReturnBondFundowns0%ofHYGETFasofSeptember8,2015.You
cannotinvestdirectlyinanindex.

53

HighYieldEnergyDefaultRates 12monthTrailingBasis

E&P=Explorationandproductionisaspecificsectorwithintheoilandgasindustry.Youcannotinvestdirectlyinanindex.

54

DefaultsAreRisingButStillatLowLevels
January1,2014throughJuly31,2015

HY=HighYield,OAS=optionadjustedspread,RHS=righthandside.Youcannotinvestdirectlyinanindex.

55

JPMorganEMBIGlobalSpread
September4,2005toSeptember4,2015

Source:Bloomberg
JPMorganEMBIGlobaliis anindexthattrackstotalreturnsforU.S.dollardenominateddebtinstrumentsissuedbyemergingmarketsovereignandquasisovereignentities.Youcannotinvestdirectlyin
anindex.

56

1YearChangeofEmergingMarketForeignReserve
HoldingsMarch1,1999throughMarch31,2015

Source:IMF;Doubleline
FX=ForeignExchange.Youcannotinvestdirectlyinanindex.

57

U.S.DollarDenominatedEmergingMarket(EM)Bonds
HaveNotReactedtoLowerEMForeignExchange
September8,2014throughSeptember4 2015

Source:Bloomberg,Doubleline
Thechartshowstheperformancefortheindicesasindicated.IGOV=BofA/MLUSDollarEmergingMarketsSovereignPlusIndex.JOAO=BofA/MLHighYieldCashPayIndex.Pleaseseeappendixfor
fulldefinitions.BLCNTRUUIndex=BarclaysEMLocalCurrencyCoreNetTotalReturnUnhedgedUSDIndexdesignedtoprovideabroadmeasureoftheperformanceoflocalcurrencyEmerging
Marketsdebt.Youcannotinvestdirectlyinanindex.Pastperformanceisnoguaranteeoffutureresults.

58

TABIV
DoubleLineTotalReturnBondFund

59

TotalReturnBondFundPortfolioStatistics

Total Return
BondFund

BarclaysCapitalU.S.
AggregateIndex

$99.08

$104.41

Duration

3.78

5.61

Average Life

5.53

7.88

AveragePrice

PortfoliostatisticsasofJuly31,2015basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumberofsecuritiesanddoesnotincludecash.Averagepriceshouldnot
beconfusedwithnetassetvalue.
AverageDuration =Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterestratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Averagelifeiscomputedastheweightedaveragetimetothereceiptofallfuture
cashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP
Youcannotinvestdirectlyinanindex.Pleaseseeindexdefinitionintheappendix.

60

Duration:DBLTXvs.BarclaysU.S.AggregateIndex
April1,2010throughJuly31,2015
6.00

5.00

Years

4.00

3.00

2.00

1.00

0.00

DoubleLineTotalReturnBondFund

BarclaysUSAggregateBondIndex

Source:DoubleLine,Barclays
BarclaysAGGDuration=BarclaysUSAggregateIndexduration.Durationisameasureofsensitivityofthepriceofafixedincomeinvestmenttoachangeininterestrates.Itsexpressedinyears

61

DBLTXDurationvs.10YearU.S.TreasuryYield
May31,2010throughJuly31,2015
4.50

4.00

4.00

3.50

3.50

3.00

Duration

2.50
2.50
2.00
2.00
1.50
1.50

YieldtoMaturity(%)

3.00

1.00

1.00

0.50

0.50

0.00

0.00

DoubleLineTotalReturnBondFund

US10yearTreasuryYield

Source:DoubleLine,Bloomberg
Durationisameasureofsensitivityofthepriceofafixedincomeinvestmenttoachangeininterestrates.Itsexpressedinyears.

62

TotalReturnBondFundPortfolioComposition
BySecurityType
Collateralized
Loan
Obligations,
4.80%
Commercial
MBS,7.80%

AssetBacked
Securities,
1.60%
Cash,
7.30%

NonAgency
Residential
MBS,22.30%

Treasury,4.20%

AgencyPass
Throughs,
29.50%

AgencyCMO,
22.50%
PortfoliocompositionasofJuly31,2015.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalancesheetsthatmayinclude
securitiesthatmaturewithin90days.
Government U.S.treasurysecurities.
Agency=MortgagesecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
NonAgency=ResidentialMortgagesBondSecuritiesareatypeofbondbackedbyresidentialmortgages.NonAgencymeanstheywereissuedby aprivateissuer.
CMBS =CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.
CLO =CollateralizedMortgageObligations
63

TotalReturnBondFundPortfolioComposition
ByAgencyCollateralizeMortgageObligation(CMO)
SecurityType
CMOLocked
8.2%

IOCurrent
0.8%

Cash
7.3% Inverse
Floater
1.0%

AgencyCMOComposition
Cash
InverseFloater
PassThrough
CMOCurrent
CMOLocked
IOCurrent
IOLocked

CMOCurrent
12.6%
Subtotal

7.3%
1.0%
29.5%
12.6%
8.2%
0.8%
0.0%
59.26%

PassThrough
29.5%
PortfoliocompositionasofJuly31,2015. Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
PassThrough=MortgagepassthroughsecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC)ornon
agencyprivateissuewithnogovernmentguarantee.
CMOCurrent=CollateralizedMortgageObligation(CMO)isafinancialdebtvehicle/specialpurposeentitycalledapool.Investorsbuybondsissuedbytheentityandreceivepayments
accordingtoadefinedsetofrules.Themortgagesthemselvesarethecollateral,thebondsarethetranches(alsocalledclasses),andthesetofrulesthatdictateshowmoneyisreceived
fromthecollateralwillbedistributediscalledthestructure.Thelegalentity,collateralandstructurearecollectivelyreferredtoasthedeal.
IO =InterestOnlymortgagepoolsinwhichtheborrowersmonthlypaymentisonlytowardtheinterestontheloan.Anonamortized loan.
InverseFloater=Amortgagepoolthathasayieldthatisinverselyrelatedtointerestrates.
IOCurrentpay =Loansthatarecurrentlyreceivingprincipalpayments.
LockedOut/CMOLockedOut=Loansthatforasetperiodoftimewillnotreceiveprincipalpayments.
64

TotalReturnBondFundPortfolio
NonAgencyResidentialMortgageBackedSecurities
(RMBS)BreakdownByOriginalRating

BB
1%

CC
0%

NR
21%

A BBB
0% 1%
AA
1%
AAA
76%

Portfoliocompositionandcreditratingsasofsecurityorigination.Portfoliocompositionissubjecttochangewithoutnotice.TherearesomenonratedsecuritiesintheFundasshowninthegraphabove.
CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB orhigherbyStandard&PoorsorBaa3byMoodys.
Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.AAAisconsideredthehighestqualityandthelowestdegreeofrisk.
Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=AlsoknownasjunkbondisasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas havinghigherdefaultriskorotheradversecredit
events,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
Source:DoubleLineCapitalLPasofJuly31,2015

65

TotalReturnBondFundPortfolio
NonAgencyResidentialMortgageBackedSecurities
(RMBS)BreakdownByCurrentRating
AAA
5%

AA
A+
1%
1%

BB
2%

BB
1%

B+
2%

NR
20%

B
2%
B
4%
CCC+
6%

D
16%
CCC
17%
CC
8%

CCC
14%

Portfoliocompositionandcreditratingsasofsecurityorigination.Portfoliocompositionissubjecttochangewithoutnotice.TherearesomenonratedsecuritiesintheFundasshowninthegraphabove.
CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB orhigherbyStandard&PoorsorBaa3byMoodys.
Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.AAAisconsideredthehighestqualityandthelowestdegreeofrisk.
Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=AlsoknownasjunkbondisasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas havinghigherdefaultriskorotheradversecredit
events,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
Source:DoubleLineCapitalLPasofJuly31,2015

66

InOurTime

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

September8,2015

SPDRBarclaysHighYieldBondETF(JNK)
InvestmentObjective&Summary
TheinvestmentobjectiveoftheSPDRBarclaysHighYieldBondETFseekstoprovideinvestmentresultsthat,beforefeesandexpenses,
correspondsgenerallytothepriceandyieldperformanceoftheBarclaysHighYieldVeryLiquidIndex.TheETFinvestsinU.S.highyield
bonds.
TheBarclaysHighYieldVeryLiquidIndexisdesignedtomeasuretheperformanceofpubliclyissuedU.S.dollardenominatedhighyieldcorporatebondswithaboveaverage
liquidity.Highyieldsecuritiesaregenerallyratedbelowinvestmentgradeandarecommonlyreferredtoas"junkbonds."The IndexincludespubliclyissuedU.S.dollar
denominated,noninvestmentgrade,fixedrate,taxablecorporatebondsthathavearemainingmaturityofatleastoneyear,regardlessofoptionality,areratedhighyield
(Ba1/BB+/BB+orbelow)usingthemiddleratingofMoody'sInvestorsService,Inc.,FitchInc.,orStandard&Poor's,Inc.Respectively,andhave$500millionormoreofoutstanding
facevalue
ImportantRiskInformation Ingeneral,ETFscanbeexpectedtomoveupordowninvaluewiththevalueoftheapplicableindex.AlthoughETFsharesmaybeboughtandsoldonthe
exchangethroughanybrokerageaccount,ETFsharesarenotindividuallyredeemablefromtheFund.InvestorsmayacquireETFsand tenderthemforredemptionthroughtheFundin
CreationUnitAggregationsonly.Pleaseseetheprospectusformoredetails.
Bondfundscontaininterestraterisk(asinterestratesrisebondpricesusuallyfall);theriskofissuerdefault;issuercreditrisk;liquidityrisk;andinflationrisk.
Investinginhighyieldfixedincomesecurities,otherwiseknownas"junkbonds"isconsideredspeculativeandinvolvesgreaterriskoflossofprincipalandinterestthaninvestingin
investmentgradefixedincomesecurities.Theselowerqualitydebtsecuritiesinvolvegreaterriskofdefaultorpricechangeduetopotentialchangesinthecreditqualityoftheissuer.
TheFundinvestsbysamplingtheIndex,holdingarangeofsecuritiesthat,intheaggregate,approximatesthefullIndexintermsofkeyriskfactorsandothercharacteristicswhichmay
causethefundtoexperiencetrackingerrorsrelativetoperformanceoftheIndex.
Distributor:StateStreetGlobalMarkets,LLC,memberFINRA,SIPC,awhollyownedsubsidiaryofStateStreetCorporation.ReferencestoStateStreetmayincludeStateStreet
Corporationanditsaffiliates.CertainStateStreetaffiliatesprovideservicesandreceivefeesfromtheSPDRETFs.

Beforeinvesting,considerthefunds'investmentobjectives,risks,chargesandexpenses.Toobtainaprospectusorsummaryprospectuswhich
containsthisandotherinformation,call18667872257ortalktoyourfinancialadvisor.Readitcarefullybeforeinvesting.
JNKisdistributedbyStateStreetGlobalMarkets,LLC

68

iBOXX HighYieldCorporateBondETF(HYG)
InvestmentObjective
TheiShares iBoxx $HighYieldCorporateBondETFseekstotracktheinvestmentresultsofanindexcomposedofU.S.dollardenominated,high
yieldcorporatebonds.

CarefullyconsidertheFunds'investmentobjectives,riskfactors,andchargesandexpensesbeforeinvesting.Thisandotherinformationcanbefound
intheFunds'prospectusesor,ifavailable,thesummaryprospectuseswhichmaybeobtainedbyvisitingtheiShares ETF andBlackRockFund
prospectuspages.Readtheprospectuscarefullybeforeinvesting.
Investinginvolvesrisk,includingpossiblelossofprincipal.TheiShares EnhancedETFs,iShares ShortMaturityBondETF,iShares LiquidityIncomeETFandtheiShares InterestRate
HedgedETFsareactivelymanagedfundsanddonotseektoreplicatetheperformanceofaspecifiedindex.TheFundsmayhaveahigherportfolioturnoverthanfundsthatseekto
replicatetheperformanceofanindex.Fixedincomerisksincludeinterestrateandcreditrisk.Typically,wheninterestratesrise,thereisacorrespondingdeclineinbondvalues.Credit
riskreferstothepossibilitythatthebondissuerwillnotbeabletomakeprincipalandinterestpayments.
Noninvestmentgradedebtsecurities(highyield/junkbonds)maybesubjecttogreatermarketfluctuations,riskofdefaultorlossofincomeandprincipalthanhigherrated
securities.
TheiShares ShortMaturityBondETFwillinvestinprivatelyissuedsecuritiesthathavenotbeenregisteredundertheSecuritiesActof1933andasaresultaresubjecttolegal
restrictionsonresale.Privatelyissuedsecuritiesarenottradedonestablishedmarketsandmaybeilliquid,difficulttovalueandsubjecttowidefluctuationsinvalue.Delayor
difficultyinsellingsuchsecuritiesmayresultinalosstotheiShares ShortMaturityBondETF.Thefundmayinvestinassetbacked(ABS)andmortgagebackedsecurities(MBS)
whicharesubjecttocredit,prepaymentandextensionrisk,andreactdifferentlytochangesininterestratesthanotherbonds. Smallmovementsininterestratesmayquicklyreduce
thevalueofcertainABSandMBS.SharesofETFsareboughtandsoldatmarketprice(notNAV)andarenotindividuallyredeemedfromtheFund.Brokeragecommissionswillreduce
returns.Marketreturnsarebaseduponthemidpointofthebid/askspreadat4:00p.m.Easterntime(whenNAVisnormallydeterminedformostETFs),anddonotrepresentthe
returnsyouwouldreceiveifyoutradedsharesatothertimes.Fortheprospectuspleasecall18008820052.
HJYisdistributedbyBlackRock

69

IndexDescriptions
BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.The
indexcoverstheUSinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,
andassetbackedsecurities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedona regularbasis.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemaining
maturityofoneyearormore.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebt
issuerfromcountriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianand globalbonds(SECregistered)of
issuersinnonEMGcountriesareincluded.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.
BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesinthe
TreasuryandAgencyindices.)
BofAMerrillLynchUS15+YearTreasuryIndexLongTreasuries(G802) ThisindexisasubsetoftheBofAMerrillLynchUSTreasuryIndexincludingallsecurities
witharemainingtermoffinalmaturitygreaterthan15years..
BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominated
investmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageof
Moodys,S&PandFitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebt
ratings).Securitiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocks
ofU.S.registeredcompanies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsor
cashequivalents.Pleasenoteaninvestorcannotinvestdirectlyinanindex.
CRBCommodityIndex(CRY) Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.The
indextracksenergy,grains,industrials,livestock,preciousmetals,andagriculturals.
S&P500(SPX) S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedinthe
UnitedStates.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow standard
deviationindicatedthatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicatedthatthe dateisspreadoutoveralargerange
ofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionof
aluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME).
Copper=CopperSpotPrice(HGI)Copperistheworldsthirdmostusedmetalbehindironandaluminumprimarilyusedinhighlycyclicalindustriesincluding
constructionandindustrialmachinerymanufacturing.SpotpricequotedinUSD/lb.
Gold=GoldSpotPrice(Golds)TheGoldSpotpriceisquotedasUSDollarperTroyOunce.
CrudeOil=Crudeoilvariesgreatlyinappearancedependingonitscomposition.WestTexasintermediate(WTI)=Texaslightsweetcrudeisusedasabenchmarkin
oilpricing.Itslightbecauseofthelowdensityandsweetbecauseoflowsulfur.Brentcrude=Isamajortradingclassificationofsweetlightcrude.Brentistheoil
makeralsoknownasBrentBlend.
VolatilityIndex(VIX)TheVIXshowsthemarket'sexpectationof30dayvolatility.Itisconstructedusingtheimpliedvolatilitiesofawiderangeof S&P500index
options. Thisvolatilityismeanttobeforwardlookingandiscalculatedfrombothcallsandputs. TheVIXisawidelyusedmeasureofmarketriskandisoften
referredtoas the"investorfeargauge".
70

IndexDescriptions
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomesticmarket.
QualifyingcountriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).
BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,
thatispubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirth
foreigncurrencylongtermsovereigndebtratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
BofAMerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebt
publiclyissuedanddenominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,
afixedcouponscheduleandaminimumamountoutstanding.
BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0)
ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepassthroughsecuritiespubliclyissuedbyUSagenciesinthe
USdomesticmarket.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremaining
termtofinalmaturityandaminimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyear withineachgenericcoupon.
BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpolitical
subdivisions,intheUSdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandan
investmentgraderating(basedonMoodys,S&PandFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattime ofissuance.
BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmerging
MarketsindexandthepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,
MiddleEast,Africa,andAsia.AswithotherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthe
marketplaceandeasyreplicability.
JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgrade
corporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&Pand
Fitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securities
musthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedasthepercentage
betweenthepeakandthetrough.
NAV Amutualfund'spricepershareorexchangetradedfund's(ETF)persharevalue.Inbothcases,thepersharedollaramountof thefundiscalculatedbydividing
thetotalvalueofallthesecuritiesinitsportfolio,lessanyliabilities,bythenumberoffundsharesoutstanding.
CMO Atypeofmortgagebackedsecuritythatcreatesseparatepoolsofpassthroughratesfordifferentclassesofbondholderswith varyingmaturities,called
tranches.Therepaymentsfromthepoolofpassthroughsecuritiesareusedtoretirethebondsintheorderspecifiedbythebonds'prospectus
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSare
consideredanextremelylowriskinvestmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbythe
ConsumerPriceIndex,whiletheirinterestrateremainsfixed.
CPI ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodand
medicalcare.
CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.

71

IndexDescriptions
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHigh
Yieldcreditonly.
BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBB
investmentgradecredits.
BofA/MerrillLynchCreditIndexAratedIndex(COA3) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingontheAratedinvestmentgrade
credits.
BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAA
investmentgradecredits.
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal maturity,afixedcouponschedule
andaminimumamountoutstandingof$1billion.
BofAMerrillLynchUS1015YearTreasuryIndexLongTreasuryTheMerrillLynchUS1015TreasuryIndextrackstheperformanceofUSdollardenominated10
15yearsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofAMerrillLynchMunicipalIndexTheMerrillLynchMunicipal
BofAMerrillLynchCurrent10yearUSTIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BofAMerrillLynchCurrent30yearUSTIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
JPMorganCorporateEMBIBroadDiversifiedIndex(JBCDCOMP) Thisindextrackstheperformanceofinvestmentgradecorporatedebtpublicallyissuedacrossa
rangeofemergingmarketcountries.
ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedonthe
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.
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.
BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument.
REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebt
securities,priortomaturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
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IndexDescriptions

BofA/MerrillLynchInflationLinkedIndex(G0Q1) TheBofAMerrillLynchUSInflationLinkedTreasuryIndextrackstheperformanceofUSdollardenominated
inflationlinkedsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The priceof
eachissueintheUSLSIisadjustedbyusinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbytheinflationindexlevelat
thetimeofissueofthesecurity.Theinflationindexispublishedonamonthlybasis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
BarclaysCapitalCMBSIndex trackstheperformanceofUSdollardenominatedsecuritizedcommercialmortgagebackedsecurities.
Russell2000 measurestheperformanceofthesmallcapsegmentoftheUSequityuniverse.Russell2000isasubsetoftheRussell3000indexrepresenting
approximately10%ofthetotalmarketcapitalizationofthatindex.
S&PGSCI isacompositeindexofcommoditysectorreturnrepresentinganunleveraged,longonlyinvestmentincommodityfuturesthatisbroadlydiversified
acrossthespectrumofcommodities.
S&PGSCIAgriculture isacompositeindexofagriculturecommodityfuturesunleveraged,longonlyinvestment.
BarclaysCapitalUS30YearTIPSIndex .BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
CitigroupEconomicSurpriseIndex .TheCitigroupEconomicSurpriseIndicesareobjectiveandquantitativemeasuresofeconomicnews.Theyaredefinedas
weightedhistoricalstandarddeviationsofdatasurprises(actualreleasesvsBloombergsurveymedian).Apositivereadingof theEconomicSurpriseIndexsuggests
thateconomicreleaseshaveonbalancebeatingconsensus.Theindicesarecalculateddailyinarollingthreemonthwindow.Theweightsofeconomicindicators
arederivedfromrelativehighfrequencyspotFXimpactsof1standarddeviationdatasurprises.Theindicesalsoemployatimedecayfunctiontoreplicatethe
limitedmemoryofmarkets.
DAX ThisindexistheGermanStockIndexisatotalreturnindexof30selectedGermanbluechipstockstradedontheFrankfurtStockExchange.
CAC40 ThisindexthemostwidelyusedindicatoroftheParismarket,reflectstheperformanceofthe40largestequitieslistedinFrance,measuredbyfreefloat
marketcapitalizationandliquidity.
FTSE100 Isacapitalizationweightedindexofthe100mosthighlycapitalizedcompaniestradedontheLondonStockExchange.
MexicoIPC TheMexicanIPCindexisacapitalizationweightedindexoftheleadingstockstradedontheMexicanStockExchange.
HangSeng TheHangSengChinaEnterprisesIndexisafreefloatcapitalizationweightedindexcomprisedofHshareslistedontheHongKong StockExchangeand
includedintheHangSengMainlandCompositeIndex.
KOSPI ThisindexisacapitalizedweightedindexofallcommonsharesontheKoreanStockExchanges.
Nikkei225 TheNikkei225Stockaverageisapriceweightedaverageof225topratedJapanesecompanieslistedintheFirstSectionofthe TokyoStockExchange.
AustraliaAORD S&P/ASXAllOrdinariesrepresents500largestcompaniesintheAustralianequitiesmarket.Indexconstitutesaredrawnfromeligiblecompanies
listedontheAustralianStockExchange.
BrazilBovespaIndex(IBOV)TheBovespaIndexisagrossreturnindexweightedbytradedvolumeandiscomprisedofthemostliquidstockstradedontheSao
PauloStockExchange.TheBovespaIndexhasbeendivided10timesbyafactorof10sinceJanuary1,1985.
ShanghaiIndex(SHCOMP)TheShanghaiStockExchangeCompositeIndexisacapitalizationweightedindex.TheindextracksthedailyperformanceofallAshares
andBshareslistedontheShanghaiStockExchange.TheindexwasdevelopedonDecember19,1990withabasevalueof100.
BSEIndiaSensitiveIndex(Sensex)TheSensexisacapweightedindex.Theselectionoftheindexmembershasbeenmadeonthebasisofliquidity,depthand
floatingstockadjustmentdepthandindustryrepresentation.
S&PLSTALevLoanIndex(BankLoans) CreatedbytheLeveragedCommentary&Data(LCD)teamatS&PCapitalIQ,thereviewprovides an overviewandoutlook
oftheleveragedloanmarketaswellasanexpansivereviewoftheS&PLeveragedLoanIndexandsubindexes. Thereviewconsistsofindexgeneralcharacteristics,
results,riskreturnprofile,default/distressstatistics, andrepaymentanalysis.Itisnotpossibletoinvestdirectlyinanindex.
Citigroup3MonthTBill(SBMMTB3) 3MonthUSTBillinUSdollars.
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Disclaimer
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InOurTime

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

September8,2015