Presentation of Performance of Market Indices
Various market indices may be referred to in these materials. Please see following for a brief description of these indices and comparisons. Indices are unmanaged and not available for direct investment. The performance of an index does not reflect expenses associated with the active management of an actual portfolio.
ICE BofA US Mortgage Backed Securities Index tracks the performance of US dollar denominated fixed rate residential mortgage pass-through securities publicly issued by US agencies in the US domestic market. 30-year, 20-year and 15-year fixed rate mortgage pools are included in the Index provided they have at least one year remaining term to final maturity and a minimum amount outstanding of at least $5 billion per generic coupon and $250 million per production year within each generic coupon. Hybrid, interest-only, balloon, mobile home, graduated payment and quarter coupon fixed rate mortgages are excluded from the index, as are all collateralized mortgage obligations.
ICE BofA Conventional 30-Year Mortgage backed Securities Index is a subset of ICE BofA US Mortgage Backed Securities Index including all 30-year securities issued by Fannie Mae and Freddie Mac except for interest-only fixed rate mortgage pools and hybrids.
ICE BofA US 15-Year Mortgage Backed Securities Index is a subset of ICE BofA US Mortgage Backed Securities Index including all 15-year securities except for interest-only fixed rate mortgage pools and hybrids.
ICE BofA AAA US Credit Card Asset Backed Securities Index is a subset of ICE BofA US Fixed Rate Asset Backed Securities Index including all asset backed securities collateralized by credit card loans and rated AAA.
ICE BofA AAA US Fixed Rate Automobile Asset Backed Securities Index is a subset of ICE BofA US Fixed Rate Asset Backed Securities Index including all securities collateralized by auto loan receivables and rated AAA.
Bloomberg US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency).
Bloomberg US Government Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized component of the US Aggregate Index. The index includes investment grade, US dollar-denominated, fixed-rate treasuries, government-related and corporate securities.
ICE BofA US Corporate Index tracks the performance of US dollar denominated investment grade corporate debt publicly issued in the US domestic market.
ICE Data Indices, LLC (“ICE Data”), is used with
permission. ICE Data, its affiliates and their respective third party suppliers
disclaim any and all warranties and representations, express and/or implied,
including any warranties of merchantability or fitness for a particular purpose
or use, including the indices, index data and any data included in, related to,
or derived therefrom. Neither ICE Data, its affiliates nor their respective
third party suppliers shall be subject to any damages or liability with respect
to the adequacy, accuracy, timeliness or completeness of the indices or the
index data or any component thereof, and the indices and index data and all
components thereof are provided on an “as is” basis and your use is at your own
risk. ICE Data, its affiliates and their respective third party suppliers do
not sponsor, endorse, or recommend PNC Bank, NA, or any of its products or
“Bloomberg®” and the Bloomberg indices are service marks of
Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services
Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”)
and have been licensed for use for certain purposes by PNC Capital Advisors
LLC. (PCA). Bloomberg is not affiliated with PCA, and Bloomberg does not
approve, endorse, review, or recommend this material. Bloomberg does not
guarantee the timeliness, accurateness, or completeness of any data or
information relating to the information herein. This publication is for
informational purposes only. Information contained herein is believed to be
accurate, but has not been verified and cannot be guaranteed. Unless otherwise
noted, all data showing results from January 1997 to December 2019. We exclude the time
period between June 2008 and September 2009 from this analysis due to the
exceptional volatility and correlations of excess returns exhibited at that
time. Opinions represented are not intended as an offer or
solicitation with respect to the purchase or sale of any security and are
subject to change without notice. Statements in this material should not be
considered investment advice or a forecast or guarantee of future results. To
the extent specific securities are referenced herein, they have been selected
on an objective basis to illustrate the views expressed in the commentary. Such
references do not include all material information about such securities,
including risks, and are not intended to be recommendations to take any action
with respect to such securities. The securities identified do not represent all
of the securities purchased, sold or recommended and it should not be assumed
that any listed securities were or will prove to be profitable. Past performance is no
guarantee of future results.
PNC Capital Advisors, LLC claims compliance with the Global Investment Performance Standards (GIPS®). A list of composite descriptions for PNC Capital Advisors, LLC and/or a presentation that complies with the GIPS® standards are available upon request.
PNC Capital Advisors, LLC is a wholly-owned subsidiary of PNC Bank N.A. and an indirect subsidiary of The PNC Financial Services Group, Inc. serving institutional clients. PNC Capital Advisors’ strategies and the investment risks and advisory fees associated with each strategy can be found within Part 2A of the firm’s Form ADV, which is available at https://pnccapitaladvisors.com.
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