FIXED INCOME The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the U.S. dollar leveraged loan market. Description Index Attributes The S&P/LSTA (Loan Syndications and Trading Association) U.S. Leveraged Loan 100 Index was the first index to track the investable senior loan market. This rules-based index consists of the 100 largest loan facilities in the benchmark S&P/LSTA Leveraged Loan Index (LLI). Methodology Construction Universe. All syndicated leveraged loans covered by the LLI universe are eligible for inclusion. Constituent Selection Criteria. Term loans from syndicated credits must meet the following criteria at issuance to be eligible for inclusion in the LLI: Senior secured Minimum initial term of one year Minimum initial spread of LIBOR + 125 basis points U.S. dollar denominated All constituents must have a publicly assigned CUSIP Par Amount Outstanding. The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to include the largest loan facilities from the LLI universe. Par outstanding is a key criterion for loan selection, and loan facilities are included if they are among the largest first-lien facilities from the LLI in terms of par amount outstanding. Minimum Par Amount. No minimum size requirement on individual facilities in the S&P/LSTA U.S. Leveraged Loan 100 Index, but the LLI universe minimum is USD 50 million. Only the 100 largest first-lien facilities from the LLI that meet all eligibility requirements are considered for inclusion. Domicile. The S&P/LSTA U.S. Leveraged Loan 100 Index covers all issuers, regardless of origin; however, all facilities must be denominated in U.S. dollars. 2% Loan Cap. At each weekly review, which typically occurs on Friday, facilities that exceed 2% of the market cap weight of the S&P/LSTA U.S. Leveraged Loan 100 Index are reduced to 1.90%. Quick Facts Capped WEIGHTING METHOD Weekly, to reflect pay-downs and ensure the index portfolio maintains 100 loan facilities, and complete review semiannually, in June and December REBALANCING FREQUENCY End of day CALCULATION FREQUENCY USD CALCULATION CURRENCIES October 20, 2008 LAUNCH DATE December 28, 2001 FIRST VALUE DATE For more information, including the complete methodology document, please visit www.spdji.com. AS OFMAY 31, 2014 www.spdji.com index_services@spdji.com BLOOMBERG SM SPX <GO> S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX FIXED INCOME Historical Performance S&P/LSTA U.S. Leveraged Loan 100 Index S&P U.S. Issued High Yield Corporate Bond Index * Data has been re-based at 100 Performance YTD 3 MOS 1 MO 10 YRS 3 YRS 5 YRS INDEX LEVEL 1 YR RETURNS ANNUALIZED RETURNS 5.27% 0.76% 1.23% 1.91% 4.07% 5.07% 9.04% 1,872.56 TOTAL RETURNS 9.03% 0.99% 1.94% 4.69% 7.32% 8.45% 14.08% 111.42 BENCHMARK* TOTAL RETURNS * The index benchmark is the S&P U.S. Issued High Yield Corporate Bond Index Calendar Year Performance 2013 2012 2011 2010 2009 2006 2008 2007 2005 2004 6.60% 0.63% 9.65% 52.23% -28.18% 1.73% 10.50% TOTAL RETURNS 5.02% 5.00% 5.02% 11.39% 5.61% 15.11% 54.95% -23.43% 2.02% 14.99% BENCHMARK* TOTAL RETURNS N/A 2.60% 6.43% * The index benchmark is the S&P U.S. Issued High Yield Corporate Bond Index AS OFMAY 31, 2014 www.spdji.com index_services@spdji.com BLOOMBERG SM SPX <GO> S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX FIXED INCOME 10 YRS 5 YRS 3 YRS Risk ANNUALIZED RISK ANNUALIZED RISK-ADJUSTED RETURNS 3 YRS 10 YRS 5 YRS 4.75% 5.66% 8.68% 1.07 1.60 0.61 STD DEV 5.81% 6.20% 9.70% 1.45 2.27 0.93 BENCHMARK* STD DEV * The index benchmark is the S&P U.S. Issued High Yield Corporate Bond Index Calculated based on total returns using monthly values. Index Characteristics 236,581.11 100 MARKET VALUE OUTSTANDING [ USD MILLION ] NUMBER OF CONSTITUENTS 239,666 98.71 TOTAL PAR VALUE WEIGHTED AVERAGE PRICE 4.26% 1872.56 YIELD TO MATURITY 10-YEAR HISTORICAL INDEX LEVEL HIGH [MAY 31, 2014] 894.16 10-YEAR HISTORICAL INDEX LEVEL LOW [DECEMBER 17, 2008] Tickers REUTERS BLOOMBERG TOTAL RETURNS SPBDLL N/A Related Products This is a complete list of all ETFs and ETNs currently linked to this selection of indices. While we have tried to include all ETFs and ETNs, we do not guarantee the completeness of such list. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any product linked to our indices. PRODUCT NAME TICKER EXCHANGE PRODUCT TYPE First Trust Senior Loan ETF CAD Hedge FSL CN PowerShares Senior Loan CAD Hedged Index ETF BKL CN ETF Toronto ETF Toronto PowerShares Senior Loan Portfolio BKLN ETF NYSE Arca AS OFMAY 31, 2014 www.spdji.com index_services@spdji.com BLOOMBERG SM SPX <GO> S&P/LSTA U.S. LEVERAGED LOAN 100 INDEX FIXED INCOME Disclaimer Source: S&P Dow Jones Indices LLC. The launch date of the S&P/LSTA U.S. Leveraged Loan 100 Index was October 20, 2008. The launch date of the S&P U.S. Issued High Yield Corporate Bond Index was April 9, 2013. All information presented prior to the index launch date is back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Past performance is not a guarantee of future results. Please see the Performance Disclosure at http://www.spindices.com/regulatory-affairs-disclaimers/ for more information regarding the inherent limitations associated with back-tested performance. S&P Dow Jones Indices LLC, a part of McGraw Hill Financial 2014. All rights reserved. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without the written permission of S&P Dow Jones Indices. Standard & Poor's and S&P are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"), a part of McGraw Hill Financial, Inc. Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). 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