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Municipal Credit Research

3 May 2016

Municipal Strategy Monthly

Performance and Outlook


April 2016
The Barclays Municipal Index posted a tenth consecutive month of positive total
returns in April, generating returns of +0.74% and bringing year-to-date returns to
2.42%. Munis outperformed the US Treasury Index, which returned -0.11% in April.

The Taxable Muni Index generated excess returns of +1.14% and underperformed
the US Credit Long Index by 1.55%. Spreads for taxable munis tightened 8bp, while
the long credit index tightened 18bp.

Muni monthly issuance in April totaled about $34bn, down 20% m/m and 18% y/y.
New money issuance accounted for 43% of April supply, while refundings
represented the balance.

Muni fund flows remained positive in April, with inflows averaging about $1.1bn per
week. As of April 20, 2016, ICI data show that fund inflows totaled $3.4bn during the
month. Total inflows for the year stand at $18.3bn.

Outlook and Recommendations


Helped by the Feds dovish stance, slower economic data and supportive
technicals, high grade muni yields continued to decline despite poor valuations,
while Puerto Ricos long-awaited default on its GDB bonds failed to affect the rest
of the HY muni market.

Long-dated tax-exempt hospitals look attractive to us. In particular, the single-A


rated part of the index offers compelling relative value to the AA-rated portion. The
spread between the two indices stands at 30bp, well off the multi-year low of 7bp in
late January 2015.

Chicago water bonds look attractive to us. Second liens trade with a YTW of 4.07%,
70-80bp behind comparable indices. The bonds also offer 10bp of pickup versus longdated Chicago second lien wastewater bonds, despite being slightly higher rated.

Given their recent underperformance compared to corporates, taxable munis look


attractive for crossover investors.

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 26

Mikhail Foux
+1 212 526 7849
mikhail.foux@barclays.com
BCI, US
Sarah Xue
+1 212 526 0790
sarah.xue@barclays.com
BCI, US
Mayur Patel
+1 212 526 7609
mayur.xa.patel@barclays.com
BCI, US
www.barclays.com

Barclays | Municipal Strategy Monthly

April Market Overview


The Barclays Municipal Index posted a tenth consecutive month of positive total returns in
April, generating returns of +0.74% and bringing year-to-date returns to 2.42%. In
comparison, munis outperformed the US Treasury Index, which returned -0.11% in April.
The best-performing revenue sectors were IDR/PCR (+0.89%), Transportation (+0.87%),
and leasing (+0.87%); the sectors with the lowest total returns were resource recovery
(+0.53%), housing (+0.67%), and hospitals (+0.74%). The Guam (+1.12%), New Jersey
(+1.05%), and South Dakota (+0.90%) indices were the best-performing municipal state (or
commonwealth/territory) indices; the Puerto Rico (+0.14%), New Mexico (+0.43%), and
Montana (+0.47%) indices generated the lowest returns.
The Taxable Muni Index generated excess returns of +1.14% and underperformed the US
Credit Long Index by 1.55%. Spreads for taxable munis tightened 8bp, while the long credit
index tightened 18bp. Revenue bonds underperformed GOs by 0.36% in excess return; in
the revenue sector, the top outperformers were health care, transportation, and power,
while the biggest underperformers were industrial revenues, education, and special tax.
Away from investment grade, the HY Index generated total returns of +0.61%. This reflected
total returns of +2.1% in HY Tobacco and +1.3% in IDR/PCR (ex-tobacco). The yield
movement for the HY tobacco index diverged from that on the HY Puerto Rico index, as the
HY tobacco index rallied 19bp m/m, while the HY Puerto Rico index sold off 32bp m/m.
Muni issuance in April totaled about $34bn, down 20% m/m and 18% y/y (Figure 40), with
net issuance coming in at approximately +$14bn. Major deals in April included the $1.5bn
State of California General Obligation bonds, the $1.0bn Wisconsin Health and Educational
Facilities Authority Revenue bonds (Ascension Health Alliance), and the $813mn University
of California Revenue bonds.
Muni fund flows remained positive in April, with inflows averaging about $1.1bn per week. As
of April 20, 2016, ICI data show that fund inflows totaled $3.4bn during the month, bringing
total inflows year-to-date to $18.3bn.

Outlook
Strong Performance, Albeit Poor Valuations
It was hardly a surprise that the Fed kept rates unchanged last week; the vast majority of
investors have already discounted any real possibility of a rate hike this month, shifting their
focus to Junes meeting. Barclays economists retain their baseline outlook for two rate hikes
in 2016 (likely in June and December), though the risk is skewed to only one.
Helped by the Feds dovish stance and slower economic data, US Treasury yields continued
to decline and high grade muni yields dropped as well, though MMD/UST ratios have ticked
up higher, as frequently happens when rates fall; meanwhile, Puerto Ricos long-awaited
default on its GDB bonds failed to affect the rest of the HY muni market (Figure 1). Despite
poor valuations, munis continue to enjoy supportive technicals (see below).
The vast majority of investors want to remain defensive, but are simply forced to put some
cash to work, albeit among poor valuations. In our view, being defensive (ie, moving up in
quality and shortening duration) is the best way to position at the moment, but that also
means possibly underperforming more aggressive peers. Hence, some are choosing instead to
trade down in quality and coupon and extend; consequently, credit spreads and the
differential between 4%s and 5%s have compressed, while the yield curve has flattened. It is
not clear when this will start to change, but at the very least, we would need substantially

3 May 2016

Barclays | Municipal Strategy Monthly

FIGURE 1
IG Munis and HY (ex-PR) (yield to worst)
YTW (%)

FIGURE 2
Cash and Near-Cash Holdings of Main Fund Families

Municipal Index

Municipal High Yield Index ex PR

% Cash
12%
10%

8%

6%

4
3

4%

2%

1
0
Jan-12

0%

Jan-13

Jan-14

Jan-15

Jan-16

Source: Barclays Research

Source: Bloomberg

higher rates to achieve it. If the Fed actually hikes in June, which investors are not anticipating
at the moment, and/or the US economy starts growing stronger, higher rates should result.

Muni Market Technicals


Supply: Per SIFMA, gross supply was an estimated $34bn in April, resulting in net supply of
+$14bn. Year-to-date, gross issuance totalled about $133bn, with net supply of +$30bn. We
expect issuance to continue to ramp up over the next few months, particularly as we get
into June, which tends to be one of the largest supply months of the year.
Flows: Muni funds that report weekly have averaged $700mn of inflows per week with no
signs of slowing. Year-to-date, inflows have totaled $18-19bn, depending on the data source.
Cash Holdings: Municipal mutual funds have accumulated substantial cash and near-cash
holdings that are ready to be deployed when opportunity presents itself. In Figure 2, we show
cash holdings for some of the largest fund families.

High Yield Munis


Long high yield munis rallied 13p during the month, supported by a 19bp rally in HY
tobacco; despite this, long HY munis underperformed long HY credit, which rallied 54bp.
The HY Puerto Rico index sold off 32bp.

Relative Value and Recommendations


Long Hospitals: The investment grade hospital revenue sector generated positive total returns
of 4.1% in 2015, outperforming all other revenue sectors for the year. The strong performance
has carried over into this year, with hospitals up 2.5% year-to-date. After a 15-month rally, we
view the sector as rich for the most part. However, we think there are still pockets of value. In
particular, long-end single-A hospitals look attractive to us.
The long AA-rated hospitals sector looks rich compared with long A-rated hospitals, and the
yield differential between the two is at wides last reached more than 15 months ago. The
spread between the two indices stands at 30bp, well off the multi-year low of 7bp in late
January 2015 (Figure 3).
Compared with the revenue index, long single-A hospitals, which were trading as much as
18bp through the index, have cheapened recently and are now closer to fair value. On the
other hand, long AA-rated hospitals have richened, with the differential relative to the revenue
index tightening since mid-February (Figure 4).
3 May 2016

Barclays | Municipal Strategy Monthly

FIGURE 3
A-AA Hospital +22y Spreads

FIGURE 4
Long Hospital versus Long Revenue Index YTW by Quality

Diff (bp)
Diff (rhs)
Municipal Index Hospital AA +22y
40
Municipal Index Hospital A +22y
35

YTW (%)
3.6
3.4
3.2
3.0

25

15

2.6

10

2.4

2.2
Jan-15

0
Apr-15

Jul-15

Oct-15

Source: Barclays Risk Analytics and Index Solutions

Jan-16

Apr-16

Long Hospital (AA) - Long Revenue (AA)


Long Hospital (A) - Long Revenue (A)
Long Hospital (BBB) - Long Revenue (BBB)

10

30

20

2.8

YTW Difff
(bp)
15

-5
-10
-15
-20
-25
-30
Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Source: Barclays Risk Analytics and Index Solutions

Callable Munis: As discussed in Call me maybe, April 13, 2016, we explored using the Muni
OAS and OAD metrics to evaluate callable munis. These are available in Barclays POINT. When
looking at callable bonds issued by a single issuer, the OAS methodology allows us to screen
for bonds on the curve that appear mispriced. We showed that because of a slightly longer call
protection period, the duration of the 15y index is longer than that of the 20y index; hence, it
tends to outperform in rallies and underperform in sell-offs. Last, we discussed kicker bonds
and highlighted some CUSIPs that we find attractive from a relative value standpoint. Please
click here for more detail.
CIFG Insured Bonds: As discussed in How low can yields go?, April 22, 2016, in mid-April,
Assured Guaranty announced that it entered into an agreement to acquire CIFG Assurance
North America (CIFG NA or CIFG), a run-off financial guarantor, for $450mn in cash.
Given the transaction, the value of Assureds wraps has marginally improved, in our view.
While AAA and AA credits are unlikely to react, lower-rated credits, including those of Puerto
Rico, should benefit. Moreover, since there is still some deal premium baked into bonds
wrapped by CIFG, in our view, investors should add exposure to low-rated credits wrapped by
CIFG where possible.
Chicago Water: On April 26, S&P upgraded Chicago water bonds, with the senior lien
ratings revised to A+ from A and the second lien ratings revised to A from A-; the outlook is
stable. The rating agencys decision was driven by removal of counterparty and liquidity
risks in conjunction with the issue of the 2016A bonds and remarketing of the city's series
2000 and 2004 second-lien water revenue bonds.
In terms of relative value, long-dated Chicago water bonds look attractive to us (Figure 5).
Second liens trade with a YTW of 4.07%, 70-80bp behind comparable indices. The bonds also
offer 10bp of pickup versus long-dated Chicago second lien wastewater bonds, despite being
slightly higher rated. We believe this relationship could reverse over time; previously, these
Chicago water bonds traded as much as 20-25bp through Chicago wastewater bonds.
Taxables: We find good value in taxable munis compared to corporates. As Figure 6 shows,
over the past 1-1.5 months, IG credits have outperformed similar-rated taxable munis, more
so for single-A and BBB names. Performance of the triple-B muni bucket is skewed by
Illinois, and there are only five CUSIPs in this sub-index. We can make an argument that
despite their problems, Illinois GOs are quite attractive compared with similar-rated
corporates, but it remains a difficult credit story to analyze, and we are hard-pressed to see
a trigger that should buoy Illinois bonds near term.

3 May 2016

Barclays | Municipal Strategy Monthly

FIGURE 5
Long-Dated Chicago Water Bonds versus Comps

FIGURE 6
Taxable Munis vs. Long Corporates (by rating)

Chicago Wastewater 5% 2044


Chicago Water 5% 2042
Chicago Park Dist 5% 2037
Municipal Index Baa (22+)
Municipal Index Illinois (22+)

YTW (%)
6.0
5.5

BAB minus Long Credit - AAA


BAB minus Long Credit - AA
BAB minus Long Credit - single-A
BAB minus Long Credit - Baa

OAS (bp)
100

50

5.0
4.5

4.0
3.5
3.0
Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16
Source: Barclays Risk Analytics and Index Solutions

-50
Apr-15

Aug-15 Oct-15

Jun-15

Dec-15

Feb-16

Apr-16

Source: Barclays Research

Meanwhile, there are a number of solid single-A muni credits that have enough value to attract
investor interest, in our view. While long-dated single-A corporates rallied 52bp from their midFebruary highs, muni credits MTA, OHare Airport and Penn State Turnpike and some others are all
trading above their 12-month averages, while severely underperforming corporates this year
(Figure 7).
Century Bonds: We have frequently discussed the taxable muni century bond sub-sector:
most of the credits in this sector are rated AA and higher; about a year ago, there was a lot
of primary activity in this space, and it was quite liquid. However, starting last June, the
primary supply and secondary activity have died down due to investor pushback. While the
activity in this sector has been quite scarce lately, some large credits in this sector (ie, Ohio
University, Ohio State University, University of California) are trading 30-70bp cheap to
long-dated corporates, which are also rated several notches lower than munis. In our view,
investors should yet again take a close look at this sector, while issuers might once again
find more appetite for century bonds from market participants (Figure 8).

FIGURE 7
Single-A Munis vs. Corporates
OAS
210

FIGURE 8
100y Munis vs. Long-Dated Corporates

US Credit Corp (Single-A, 30y)


MTA 5.871% 2039
Penn St Turnpike 2039
Chicago O'Hare 2040

OAS

190

US Credit Corp (Single-A, 30y)


Ohio University 5.59% 2114
Ohio State University 4.8% 2111
University of California 4.858% 2112

230

170
180
150

130
Jan-15

Apr-15

Jul-15

Oct-15

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

Jan-16

Apr-16

130
Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Source: Barclays Risk Analytics and Index Solutions

Barclays | Municipal Strategy Monthly

Tax-exempt Indices

3 May 2016

Barclays | Municipal Strategy Monthly

ASSET CLASS RETURNS AND RATIOS


FIGURE 9
Asset Class Total Returns as of April 29, 2016
1 year

Annualized Returns

DJIA

2.6%

2.7%

2.8%

2.9%

U.S. Treasury*

U.S. Agency

2.6%

Corporate

2.3%

Aggregate

2.0%

Eurodollar

1.9%

MBS

1.2%

ABS

5%

S&P 500

10%

5.3%

6.7%

9.1%

9.9%

-10%

-5.9%

-2.2%

-1.1%

U.S. High Yield

-5%

NASDAQ

0%

Muni HY**

Muni**

Global Tsy

Taxable Munis

Russell 2000

-15%

3 year

Annualized Returns
20%

14.2%

15%
10%
2.5%

2.5%

Eurodollar

U.S. High Yield

2.6%

2.7%

Corporate

2.3%

MBS

1.9%

Aggregate

0.7%

1.5%

U.S. Treasury*

0%

1.3%

U.S. Agency

5%

ABS

7.3%

7.5%

8.5%

8.8%

11.3%

4.5%

Taxable Munis

DJIA

NASDAQ

Muni HY**

9.5%

S&P 500

Russell 2000

9.1%

DJIA

Muni**

8.9%

Muni**

Annualized Returns

Taxable Munis

Global Tsy

-5%

5 year

25%
20%
15%
3.6%

4.2%

4.9%

5.4%

Aggregate

Eurodollar

Corporate

U.S. High Yield

2.3%

3.4%

U.S. Treasury*

2.2%

MBS

0.8%

ABS

5%

3.1%

U.S. Agency

10%

7.0%

12.6%
11.0% 12.0%

0%
Muni HY**

NASDAQ

S&P 500

Russell 2000

Global Tsy

-5%

Note: Taxable equivalent returns: * US Treasury income is exempt from state income taxes and is adjusted using a national state average (top bracket), net of federal
income tax. ** Based on an equally weighted national average federal and state (top bracket) income tax rate; local taxes have not been considered.
Source: Bloomberg, Barclays Risk Analytics and Index Solutions

3 May 2016

Barclays | Municipal Strategy Monthly


FIGURE 10
Taxable Equivalent Returns for Past 10 Years, Ending April 29, 2016
Annualized Return
10%

NASDAQ
STD = 17.9

Tax-adjusted Muni HY**


Tax-adjusted Muni**

8%

Taxable Muni
6%

Eurodollar

MBS

4%

Agency

S&P 500
STD = 15.3

US Credit

Muni
Treasury*

Aggregate

US HY

DJIA
STD = 14.3

Muni HY

Russell
2000
STD = 19.9

Global Treasury

ABS

2%
2

10

11

12

13

Annualized Standard Deviation (%)


Note:* US Treasury income is exempt from state income taxes and is adjusted using a national state average (top bracket), net of federal income tax. ** Based on an
equally weighted national average federal and state (top bracket) income tax rate; local taxes have not been considered.
Source: Bloomberg, Barclays Risk Analytics and Index Solutions

FIGURE 11
Taxable Equivalent Muni Returns for Past 10 Years, Ending April 29, 2016
Annualized Return
10%
10y

9%

15y

20y

Long

7y

8%

5y

Muni**
US HY

7%

3y

6%

1y

US Credit

5%

Treasury*

4%
0

10

12

Annualized Standard Deviation (%)


Note:* US Treasury income is exempt from state income taxes and is adjusted using a national state average (top bracket), net of federal income tax. ** Based on an
equally weighted national average federal and state (top bracket) income tax rate; local taxes have not been considered.
Source: Bloomberg, Barclays Risk Analytics and Index Solutions

3 May 2016

Barclays | Municipal Strategy Monthly

MUNICIPAL HIGH YIELD SPREADS AND PERFORMANCE


FIGURE 12
BAA Municipal Index Yields minus AAA Municipal Index Yields
Spread (bp)
450

Avg: 134 bp
Min: 30 bp
Max: 413 bp
Std Dev: 91 bp

400
350
300
250
200
150
100
50

04/29/16 Spread = 133bp

0
Jan-93

Jan-95

Jan-97

Jan-99

Jan-01

Jan-03

Jan-05

Jan-07

Jan-09

Jan-11

Jan-13

Jan-15

FIGURE 13
High Yield Municipal Index Yields Minus Investment Grade Municipal Index Yields
Spread (bp)
700

04/29/16 Spread = 466bp

Avg: 299 bp
Min: 113 bp
Max: 636 bp
Std Dev: 113 bp

600
500
400
300
200
100
0
Oct-95

Oct-97

Oct-99

Oct-01

Oct-03

Oct-05

Oct-07

Oct-09

Oct-11

Oct-13

Oct-15

FIGURE 14
Ratio of Municipal High Yield Index to Corporate High Yield Index Yield to Worst
140%
130%
120%
110%

Avg: 77.7%
Min: 44.3%
Max:135.9%
Std Dev: 18.2%

100%
90%
80%
70%
60%
50%
40%
Dec-95

04/29/2016 = 88.1%
Dec-97

Dec-99

Dec-01

Dec-03

Dec-05

Dec-07

Dec-09

Dec-11

Dec-13

Dec-15

Source for all figures on this page: Barclays Risk Analytics and Index Solutions

3 May 2016

Barclays | Municipal Strategy Monthly

FIGURE 15
Municipal Index (High Grade) Returns by Sector
April 2016

Year-to-Date 2016

Full-Year 2015

Full-Year 2014

Full-Year 2013

IDR/PCR (ex-tobacco)

1.0

IDR/PCR (ex-tobacco)

3.1

Hospital

3.9

Hospital

12.4

Housing

-0.3

Transportation

0.8

Transportation

2.7

Tobacco

3.8

IDR/PCR (ex-tobacco)

11.9

Resource Recovery

-0.8
-1.3

Leasing

0.8

Housing

2.6

Transportation

3.7

Transportation

10.5

Tobacco

Special Tax

0.8

Leasing

2.6

IDR/PCR (ex-tobacco)

3.7

Water & Sewer

9.5

Leasing

-2.3

Electric

0.7

Special Tax

2.5

Water & Sewer

3.5

Education

9.1

Hospital

-2.4

Water & Sewer

0.7

Tobacco

2.5

Resource Recovery

3.4

Housing

8.9

Education

-2.4

Education

0.7

Electric

2.5

Education

3.3

Tobacco

8.9

Transportation

-2.5

Hospital

0.7

Water & Sewer

2.5

Special Tax

3.3

Leasing

8.8

Water & Sewer

-2.8

Housing

0.7

Education

2.4

Electric

3.3

Special Tax

8.3

IDR/PCR (ex-tobacco)

-2.9

Tobacco

0.6

Hospital

2.4

Housing

3.3

Electric

8.2

Electric

-3.0

Resource Recovery

0.5

Resource Recovery

1.9

Leasing

2.7

Resource Recovery

8.1

Special Tax

-4.1

Note: Returns include pre-refunded bonds. Source: Barclays Risk Analytics and Index Solutions

FIGURE 16
Muni High Yield Returns by Sector
April 2016

Year-to-Date 2016

Full-Year 2015

Full-Year 2014

Full-Year 2013

HY Tobacco

2.1

HY Tobacco

9.4

Electric

33.2

Water & Sewer

20.0

Resource Recovery

3.0

IDR/PCR (ex-tobacco)

1.3

Transportation

6.5

HY Tobacco

15.8

HY Tobacco

19.2

Special Tax

1.0

Transportation

1.0

IDR/PCR (ex-tobacco)

4.0

Hospital

6.2

IDR/PCR (ex-tobacco)

18.0

Electric

0.6

Resource Recovery

0.8

Education

3.6

Water & Sewer

5.6

Hospital

16.0

Housing

-0.6

Hospital

0.7

Special Tax

3.4

Housing

4.7

Special Tax

14.7

IDR/PCR (ex-tobacco)

-1.7

Education

0.6

Resource Recovery

3.3

Education

3.9

Education

14.3

Hospital

-1.9

Housing

0.4

Hospital

3.0

IDR/PCR (ex-tobacco)

2.6

Housing

14.2

Transportation

-2.3
-6.1

Leasing

-0.1

Water & Sewer

2.2

Resource Recovery

-1.2

Transportation

13.3

Education

Special Tax

-0.2

Housing

2.1

Leasing

-10.3

Resource Recovery

11.7

Leasing

-9.5

Water & Sewer

-0.4

Leasing

-1.1

Special Tax

-13.9

Leasing

1.6

HY Tobacco

-11.6

Electric

-2.7

Electric

-3.7

Transportation

-16.4

Electric

-14.1

Water & Sewer

-17.5

Note: Returns include pre-refunded bonds. Source: Barclays Risk Analytics and Index Solutions

FIGURE 17
Puerto Rico Total Returns by Select Issuers (Muni Index and Muni High Yield Index Combined)
Description

April 2016

Year-to-Date 2016

Full-Year 2015

Full-Year 2014

Full-Year 2013

Full-Year 2012

-1.0

0.2

-7.9

9.6

-20.8

2.8

Commonwealth

-1.4

-4.2

-3.4

13.6

-19.9

1.5

GDB

3.2

-3.0

-59.7

7.2

-15.4

3.9

Total Puerto Rico


Select Issuers

COFINA

-2.0

3.5

-28.2

11.3

-25.5

6.0

PRASA

-1.0

1.4

2.5

17.3

-24.5

0.0

PRHTA

0.7

6.2

-12.0

11.9

-13.7

1.1

PREPA

-1.8

-1.5

23.0

-2.7

-20.9

0.0

PRPBA

-0.7

-3.5

-7.0

9.7

-23.1

1.4

PRPFC

0.5

1.8

-47.8

-9.5

-21.8

4.7

PRIFA

2.0

16.6

-50.4

17.9

0.0

0.0

Note: Returns include pre-refunded bonds. Source: Barclays Risk Analytics and Index Solutions

3 May 2016

10

Barclays | Municipal Strategy Monthly

MUNICIPAL INDICES TOTAL RETURNS AND STATISTICS


FIGURE 18
Returns, as of April 29, 2016
Number
Issues
Municipal Bond Index

Price
Return

Coupon
Return

MTD Total
Return

Past
3m

Past
6m

Year
to Date

Past
12m

Since
Inception
1,031.17

48,514

0.39

0.35

0.74

1.21

3.55

2.42

5.29

1 Year (1-2)

3,961

-0.26

0.37

0.11

0.13

0.29

0.43

0.82

95.06

3 Year (2-4)

6,874

-0.11

0.36

0.25

0.38

0.75

1.02

1.84

200.16

5 Year (4-6)

5,266

0.15

0.34

0.49

0.49

1.74

1.64

3.44

336.16

7 Year (6-8)

4,967

0.33

0.34

0.67

0.74

2.90

2.18

4.61

334.05

10 Year (8-12)

9,164

0.47

0.33

0.80

1.20

3.94

2.72

5.89

1,021.12

15 Year (12-17)

9,131

0.55

0.34

0.88

1.49

4.83

3.04

7.02

444.26

20 Year (17-22)

4,938

0.61

0.35

0.96

1.63

4.69

2.93

6.63

1,341.64

Long Bond (22+)

4,213

0.69

0.35

1.05

2.12

5.36

3.31

7.30

1,385.52

14,912

0.38

0.34

0.71

1.03

3.29

2.24

5.02

890.03

State GO

6,336

0.32

0.35

0.67

0.89

3.01

2.07

4.70

864.19

Local GO

8,576

0.44

0.32

0.76

1.20

3.63

2.44

5.40

361.92

1 Year GO (1-2)

1,007

-0.24

0.37

0.13

0.12

0.31

0.46

0.85

95.51

3 Year GO (2-4)

1,966

-0.08

0.35

0.27

0.36

0.77

1.06

1.88

318.85

5 Year GO (4-6)

1,895

0.15

0.34

0.49

0.39

1.67

1.60

3.37

690.27

7 Year GO (6-8)

1,779

0.35

0.33

0.68

0.66

2.84

2.11

4.48

603.34

10 Year GO (8-12)

3,172

0.46

0.33

0.78

1.11

3.73

2.55

5.63

976.59

15 Year GO (12-17)

2,974

0.53

0.33

0.86

1.38

4.70

2.84

6.82

1,182.38

GO Bond Index

Long Term GO (17+)

2,119

0.70

0.34

1.04

1.80

4.97

2.95

6.95

1,486.90

29,952

0.46

0.35

0.80

1.39

3.96

2.66

5.80

1,187.38

Electric

2,597

0.45

0.34

0.79

1.36

3.74

2.64

5.59

1,059.96

Hospital

3,421

0.37

0.37

0.74

1.52

3.91

2.52

5.80

1,646.56

Housing

870

0.38

0.32

0.67

1.59

3.65

2.64

5.09

1,076.45

IDR/PCR

518

0.53

0.36

0.89

1.74

4.13

3.00

5.80

1,114.46

Transportation

6,618

0.53

0.35

0.87

1.39

4.19

2.76

6.09

517.07

Education

3,931

0.41

0.34

0.76

1.32

3.85

2.59

5.75

386.80

Water & Sewer

4,596

0.42

0.35

0.77

1.30

3.84

2.63

5.84

402.57

99

0.17

0.36

0.53

0.93

2.80

2.02

4.56

337.67

Leasing

3,065

0.52

0.35

0.87

1.40

4.22

2.69

5.61

144.34

Special Tax

4,237

0.44

0.35

0.78

1.27

3.79

2.62

5.67

131.00

3,480

-0.19

0.38

0.18

0.26

0.67

0.82

1.62

285.28

1 Year Preref (1-2)

1,448

-0.32

0.39

0.06

0.08

0.16

0.31

0.58

87.18

3 Year Preref (2-4)

1,716

-0.19

0.39

0.20

0.31

0.50

0.85

1.50

188.98

5 Year Preref (4-6)

197

0.07

0.34

0.41

0.32

1.35

1.51

3.06

321.13

7 Year Preref (6-8)

56

0.40

0.24

0.64

0.65

2.96

2.36

4.90

347.79

8+ Yr. Preref

63

0.37

0.24

0.61

0.95

5.01

3.12

7.70

297.94

170

0.06

0.37

0.44

0.90

2.22

1.77

3.89

380.73

Long Insured

16

0.46

0.37

0.83

1.58

3.89

2.45

5.42

488.28

California Exempt

6,724

0.41

0.34

0.75

1.26

3.54

2.37

5.39

242.93

New York Exempt

6,116

0.45

0.35

0.80

1.20

3.49

2.47

5.46

232.66

AMT Index

1,934

0.39

0.37

0.76

1.25

3.75

2.36

5.47

207.39

Zero Coupon Index

1,015

1.75

0.00

1.75

3.27

9.16

5.46

11.44

250.08

Conventional Muni

45,565

0.35

0.36

0.71

1.16

3.40

2.34

5.13

1,024.81

Non-Investment Grade

3,318

0.11

0.50

0.61

2.79

3.94

3.37

4.51

216.98

Managed Money Index

20,195

0.56

0.33

0.89

1.34

4.28

2.83

6.42

242.61

Short Term (1-5)

3,972

-0.04

0.35

0.30

0.30

0.79

1.07

2.02

129.71

Sht/Interm (1-10)

9,627

0.28

0.34

0.62

0.65

2.38

1.97

4.13

184.89

Intermediate (1-17)

16,249

0.42

0.33

0.75

1.00

3.52

2.50

5.58

221.33

Long (10+)
10,568
0.77
Source: Barclays Risk Analytics and Index Solutions

0.33

1.09

1.86

5.76

3.48

8.22

291.83

Revenue Bond Index

Resource Recovery

Prerefunded Index

Insured Bond Index

3 May 2016

11

Barclays | Municipal Strategy Monthly


FIGURE 19
Statistics, as of April 29, 2016
Durat
Number
To
Issues Worst
Municipal Bond Index

48,863

4.83

MDur.
To
Worst

Mod.
Adj.
Durat.

Quality

4.78

6.07

AA2/AA3

Time
To
Coupon Worst

Matur.

Price

Yield
To
Worst

4.79

5.59

13.00

110.73

1.84

Market
Value

Index

Muni

1,419,174

100.00

100.00

1 Year (1-2)

3,962

1.32

1.31

1.31

AA2/AA3

4.75

1.37

1.40

105.33

0.77

93,428

6.58

6.58

3 Year (2-4)
5 Year (4-6)

6,996

2.52

2.50

2.50

AA2/AA3

4.89

2.69

2.84

110.15

0.97

167,966

11.84

11.84

5,271

3.89

3.86

3.87

AA2/AA3

4.81

4.31

4.90

114.21

1.26

125,442

8.84

8.84

7 Year (6-8)

4,962

4.83

4.79

4.80

AA2/AA3

4.84

5.48

6.90

116.49

1.48

117,754

8.30

8.30

10 Year (8-12)
15 Year (12-17)

9,186

5.56

5.51

5.72

AA2/AA3

4.76

6.48

9.90

115.70

1.76

219,517

15.47

15.47

9,231

5.78

5.72

6.91

AA2/AA3

4.71

6.76

14.37

112.19

2.12

239,180

16.85

16.85

20 Year (17-22)
Long Bond (22+)

5,005

5.46

5.39

7.60

AA3/A1

4.75

6.49

19.37

108.18

2.31

180,368

12.71

12.71

GO Bond Index
State GO

4,250

6.04

5.95

9.93

AA3/A1

4.82

7.12

26.52

106.02

2.64

275,519

19.41

19.41

14,941

4.95

4.90

5.93

AA1/AA2

4.66

5.67

11.11

111.26

1.69

384,946

100.00

27.12

6,379

4.60

4.56

5.41

AA1/AA2

4.80

5.25

10.55

114.08

1.56

209,305

54.37

14.75

Local GO
1 Year GO (1-2)

8,562

5.36

5.30

6.56

AA1/AA2

4.50

6.16

11.78

108.08

1.84

175,641

45.63

12.38

997

1.32

1.31

1.31

AA1/AA2

4.70

1.36

1.40

105.29

0.75

20,858

5.42

1.47

3 Year GO (2-4)
5 Year GO (4-6)

1,956

2.55

2.54

2.53

AA1/AA2

4.76

2.71

2.90

110.01

0.95

43,179

11.22

3.04

1,897

3.91

3.89

3.89

AA1/AA2

4.83

4.32

4.91

114.75

1.21

45,289

11.77

3.19

7 Year GO (6-8)
10 Year GO (8-12)

1,773

4.96

4.92

4.95

AA1/AA2

4.77

5.63

6.90

117.19

1.40

43,664

11.34

3.08

3,163

5.55

5.50

5.74

AA1/AA2

4.69

6.42

9.84

116.14

1.69

78,120

20.29

5.50

15 Year GO (12-17)

3,006

5.92

5.86

7.34

AA1/AA2

4.56

6.89

14.36

111.93

2.07

75,027

19.49

5.29

Long Term GO (17+)


Revenue Bond Index

2,149

6.28

6.20

9.59

AA2/AA3

4.50

7.31

22.25

103.84

2.42

78,809

20.47

5.55

30,097

5.04

4.98

6.51

AA3/A1

4.81

5.88

14.87

110.68

2.00

930,747

100.00

65.58

Electric
Hospital

2,570

4.94

4.89

6.26

AA3/A1

4.79

5.84

13.32

113.12

1.86

80,943

8.70

5.70

3,510

4.52

4.46

6.79

A1/A2

4.99

5.24

18.83

110.57

2.23

120,851

12.98

8.52

Housing
IDR/PCR

882

5.13

5.05

9.79

AA1/AA2

4.06

6.21

18.23

104.67

2.88

17,562

1.89

1.24

506

5.14

5.07

5.71

A3/BAA1

5.02

6.55

14.09

109.83

2.35

41,125

4.42

2.90

Transportation
Education

6,581

5.09

5.03

6.42

A1/A2

4.78

5.85

14.81

110.88

1.97

219,693

23.60

15.48

4,010

5.26

5.20

6.80

AA2/AA3

4.78

6.26

15.00

113.58

1.95

100,596

10.81

7.09

Water & Sewer


Resource Recovery

4,667

5.09

5.04

6.67

AA1/AA2

4.84

5.92

15.49

114.14

1.84

121,339

13.04

8.55

99

4.09

4.05

4.71

AA3/A1

4.96

4.66

13.38

113.55

1.67

2,590

0.28

0.18

Leasing

3,032

4.97

4.91

5.97

AA3/A1

4.73

5.70

12.98

106.44

2.07

90,149

9.69

6.35

4,240

5.31

5.25

6.41

AA2/AA3

4.81

6.11

12.79

107.95

1.84

135,898

14.60

9.58

3,640

2.46

2.45

2.51

AA1/AA2

5.04

2.69

2.76

109.26

0.88

99,825

100.00

7.03

1 Year Preref (1-2)


3 Year Preref (2-4)

1,460

1.35

1.35

1.35

AA2/AA3

4.98

1.41

1.41

105.84

0.73

38,129

38.20

2.69

1,834

2.47

2.46

2.47

AA2/AA3

5.28

2.65

2.66

111.42

0.84

49,541

49.63

3.49

5 Year Preref (4-6)


7 Year Preref (6-8)

219

4.36

4.34

4.36

AA1/AA2

4.87

4.90

4.90

116.89

1.09

6,037

6.05

0.43

64

5.89

5.85

6.01

AA1/AA2

3.75

6.63

6.82

111.65

1.38

1,746

1.75

0.12

63

7.98

7.91

9.09

AA1/AA2

3.49

9.59

11.06

105.39

2.21

4,372

4.38

0.31

185

3.93

3.89

4.74

AA1/AA2

4.95

4.57

13.53

109.89

1.67

3,656

100.00

0.26

18

6.23

6.14

9.84

AA2/AA3

4.77

7.60

24.96

109.56

2.64

458

12.51

0.03

Special Tax
Pre-refunded Index

8+ Yr. Preref
Insured Bond Index
Long Insured
California Exempt

6,802

4.92

4.87

5.96

AA2/AA3

4.74

5.69

13.63

110.53

1.66

247,437

100.00

17.44

New York Exempt


AMT Index

6,102

4.67

4.62

5.72

AA2/AA3

4.88

5.41

13.59

113.85

1.67

217,471

100.00

15.32

1,931

4.38

4.32

6.29

A1/A2

4.99

5.17

15.05

110.13

2.38

52,566

100.00

3.70

Zero Coupon Index

1,016

11.90

11.69

12.05

AA3/A1

0.00

11.88

14.67

58.44

3.00

35,509

100.00

2.50

Conventional Muni

45,916

4.66

4.61

5.90

AA2/AA3

4.91

5.44

12.87

113.50

1.78

1,331,099

100.00

93.79

Non-Investment Grade

3,353

7.12

6.88

9.20

B2/B3

5.38

11.24

20.34

54.00

6.49

95,606

100.00

100.00

Managed Money

20,675

5.83

5.78

7.34

AA1/AA2

4.70

6.77

12.93

115.76

1.82

549,093

100.00

38.69

Short Term (1-5)

4,030

2.78

2.76

2.76

AA1/AA2

4.69

2.98

3.03

110.97

0.88

91,495

16.66

6.45

Sht/Interm (1-10)

9,796

4.59

4.56

4.57

AA1/AA2

4.79

5.18

5.67

117.04

1.20

234,048

42.62

16.49

Intermediate (1-17)
Long (10+)

16,603

5.41

5.36

5.86

AA1/AA2

4.74

6.22

8.75

117.48

1.52

394,206

71.79

27.78

10,879

6.76

6.68

9.39

AA1/AA2

4.63

7.95

18.33

114.83

2.28

315,045

57.38

22.20

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

12

Barclays | Municipal Strategy Monthly


FIGURE 20
Returns, as of April 29, 2016
Number
Issues

Price
Return

Coupon
Return

MTD Total
Return

Past
3m

Past
6m

Year
to Date

Past
12m

Since
Inception

Municipal Bond Index

48,514

0.39

0.35

0.74

1.21

3.55

2.42

5.29

1,031.17

GO Bond Index

14,912

0.38

0.34

0.71

1.03

3.29

2.24

5.02

890.03

6,336

0.32

0.35

0.67

0.89

3.01

2.07

4.70

864.19

1 Year (1-2)

513

-0.24

0.37

0.13

0.12

0.31

0.47

0.87

94.99

3 Year (2-4)

966

-0.08

0.36

0.28

0.34

0.79

1.08

1.88

315.75

5 Year (4-6)

891

0.15

0.35

0.50

0.36

1.70

1.62

3.41

684.92

7 Year (6-8)

813

0.38

0.34

0.72

0.64

2.90

2.15

4.57

601.35

10 Year (8-12)

1,358

0.47

0.33

0.80

1.08

3.66

2.53

5.60

966.39

15 Year (12-17)

1,170

0.53

0.34

0.87

1.28

4.47

2.67

6.57

1,173.57

20 Year (17-22)

465

0.48

0.36

0.84

1.30

4.02

2.35

5.80

1,039.86

Long (22+)

160

0.49

0.36

0.85

1.51

4.49

2.49

6.50

1,505.50

State GO

Revenue Bond Index

29,952

0.46

0.35

0.80

1.39

3.96

2.66

5.80

1,187.38

1 Year (1-2)

1,501

-0.20

0.36

0.15

0.19

0.42

0.54

1.04

105.06

3 Year (2-4)

3,177

-0.07

0.35

0.27

0.44

0.91

1.10

2.03

212.35

5 Year (4-6)

3,156

0.16

0.34

0.50

0.55

1.81

1.68

3.50

349.60

7 Year (6-8)

3,112

0.32

0.35

0.67

0.79

2.95

2.22

4.69

342.04

10 Year (8-12)

5,908

0.49

0.34

0.83

1.26

4.06

2.82

6.03

1,148.15

15 Year (12-17)

6,103

0.55

0.34

0.90

1.54

4.88

3.12

7.10

444.06

20 Year (17-22)

3,574

0.62

0.35

0.97

1.69

4.81

3.04

6.74

1,346.38

Long (22+)

3,421

0.67

0.36

1.03

2.12

5.32

3.31

7.26

1,376.71
380.73

Insured Bond Index

170

0.06

0.37

0.44

0.90

2.22

1.77

3.89

1 Year (1-2)

-0.27

0.39

0.12

0.00

0.17

0.37

0.74

98.19

3 Year (2-4)

15

-0.16

0.37

0.21

0.43

0.76

1.00

1.74

204.64

5 Year (4-6)

18

-0.16

0.38

0.21

0.47

1.09

1.25

2.32

267.95

7 Year (6-8)

20

-0.22

0.38

0.16

0.49

1.28

1.30

2.61

314.92

10 Year (8-12)

39

0.05

0.37

0.43

0.84

1.99

1.76

3.61

368.23

15 Year (12-17)

40

0.19

0.37

0.57

1.12

3.16

2.19

5.49

435.68

20 Year (17-22)

17

0.04

0.38

0.42

0.92

2.07

1.75

3.77

432.56
488.28

Long (22+)
AMT Index
Discount Bond Index
Long (22+)
Current Coup. Index
Long (22+)
Premium Bond Index
Long (22+)
Zero Coupon Index

16

0.46

0.37

0.83

1.58

3.89

2.45

5.42

1,934

0.39

0.37

0.76

1.25

3.75

2.36

5.47

207.39

957

1.78

0.01

1.80

3.41

10.05

5.83

12.93

2,081.43

174

2.37

0.02

2.39

5.41

13.55

7.67

17.20

2,800.28

4,664

0.15

0.33

0.48

1.16

3.24

1.90

4.86

906.06

615

0.43

0.35

0.77

1.89

4.96

2.85

6.71

885.06

42,893

0.38

0.36

0.74

1.16

3.41

2.40

5.14

687.55

3,424

0.67

0.36

1.04

2.05

5.13

3.24

7.03

1,001.29

1,015

1.75

0.00

1.75

3.27

9.16

5.46

11.44

250.08

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

13

Barclays | Municipal Strategy Monthly


FIGURE 21
Statistics, as of April 29, 2016
MDur. Mod.
Number
Durat.
To
Adj.
Issues To Worst Worst Durat.

Quality

Coupon

Time
To
Worst

Matur.

Price

Yield
To Worst

Market
Value

Index

Muni

1,419,174 100.00

100.00

Municipal Bond Index

48,863

4.83

4.78

6.07

AA2/AA3

4.79

5.59

13.00

110.73

1.84

GO Bond Index

14,941

4.95

4.90

5.93

AA1/AA2

4.66

5.67

11.11

111.26

1.69

384,946

100.00

27.12

State GO

6,379

4.60

4.56

5.41

AA1/AA2

4.80

5.25

10.55

114.08

1.56

209,305

100.00

14.75

508

1.32

1.31

1.31

AA1/AA2

4.82

1.36

1.41

105.49

0.75

12,473

5.96

0.88

1 Year (1-2)
3 Year (2-4)

963

2.55

2.54

2.53

AA1/AA2

4.84

2.71

2.88

110.29

0.93

25,592

12.23

1.80

5 Year (4-6)

904

3.93

3.91

3.91

AA1/AA2

4.88

4.34

4.89

115.27

1.19

26,336

12.58

1.86

7 Year (6-8)

820

5.03

5.00

5.02

AA1/AA2

4.82

5.72

6.88

118.25

1.37

24,756

11.83

1.74

10 Year (8-12)

1,365

5.47

5.42

5.66

AA1/AA2

4.75

6.33

9.81

117.27

1.63

42,482

20.30

2.99

15 Year (12-17)

1,182

5.53

5.47

6.89

AA2/AA3

4.71

6.44

14.42

114.31

1.92

40,408

19.31

2.85

20 Year (17-22)

476

5.09

5.03

7.41

AA2/AA3

4.81

5.91

19.50

111.67

2.10

22,085

10.55

1.56

Long (22+)

161

5.58

5.52

9.30

AA2/AA3

4.90

6.46

25.63

114.02

2.29

15,173

7.25

1.07
65.58

Revenue Bond Index

30,097

5.04

4.98

6.51

AA3/A1

4.81

5.88

14.87

110.68

2.00

930,747

100.00

1 Year (1-2)

1,500

1.28

1.27

1.26

AA2/AA3

4.53

1.33

1.40

104.80

0.83

34,374

3.69

2.42

3 Year (2-4)

3,191

2.53

2.51

2.51

AA2/AA3

4.70

2.71

2.92

109.42

1.07

75,058

8.06

5.29

5 Year (4-6)

3,137

3.84

3.81

3.82

AA2/AA3

4.80

4.25

4.90

113.67

1.31

73,879

7.94

5.21

7 Year (6-8)

3,105

4.74

4.70

4.69

AA3/A1

4.91

5.38

6.90

116.23

1.53

71,972

7.73

5.07

10 Year (8-12)

5,939

5.53

5.48

5.64

AA3/A1

4.83

6.46

9.92

115.73

1.79

137,291

14.75

9.67
11.45

15 Year (12-17)

6,168

5.70

5.64

6.71

AA3/A1

4.79

6.69

14.38

112.39

2.14

162,505

17.46

20 Year (17-22)

3,606

5.42

5.35

7.45

AA3/A1

4.80

6.47

19.39

108.19

2.33

137,074

14.73

9.66

Long (22+)

3,451

5.89

5.80

9.73

AA3/A1

4.89

6.96

26.65

107.13

2.65

238,593

25.63

16.81

185

3.93

3.89

4.74

AA1/AA2

4.95

4.57

13.53

109.89

1.67

3,656

100.00

0.26

1 Year (1-2)

1.25

1.25

1.25

AA1/AA1

5.00

1.29

1.29

105.33

0.83

66

1.81

0.00

3 Year (2-4)

15

2.28

2.27

2.27

AA1/AA2

4.92

2.42

2.82

109.50

0.93

189

5.17

0.01

5 Year (4-6)

18

2.59

2.58

2.58

AA1/AA2

5.06

2.80

4.71

110.57

1.07

236

6.46

0.02

Insured Bond Index

7 Year (6-8)

20

2.60

2.59

2.59

AA1/AA2

5.15

2.81

6.87

110.82

1.08

372

10.17

0.03

10 Year (8-12)

39

3.44

3.41

3.66

AA1/AA2

5.04

3.89

10.05

111.45

1.34

685

18.73

0.05

15 Year (12-17)

43

4.42

4.37

5.18

AA2/AA3

4.98

5.12

13.67

111.09

1.93

763

20.86

0.05

20 Year (17-22)

27

4.16

4.11

4.83

AA1/AA2

4.82

4.95

18.54

107.74

1.82

888

24.29

0.06

Long (22+)

18

6.23

6.14

9.84

AA2/AA3

4.77

7.60

24.96

109.56

2.64

458

12.51

0.03

AMT Index

1,931

4.38

4.32

6.29

A1/A2

4.99

5.17

15.05

110.13

2.38

52,566

100.00

3.70

940

12.93

12.70

12.99

A1/A2

0.11

12.94

15.27

54.89

3.19

31,143

100.00

2.19
0.50

Discount Bond Index


Long (22+)
Current Coup. Index
Long (22+)

171

20.32

19.88

20.24

A1/A2

0.20

19.93

27.02

34.22

4.18

7,096

22.78

4,437

2.65

2.61

4.65

AA3/A1

4.14

3.09

14.02

101.72

2.23

129,041

100.00

9.09

522

4.26

4.19

9.67

AA3/A1

4.35

5.24

27.00

102.02

2.91

22,065

17.10

1.55

1,258,989 100.00

88.71

Premium Bond Index

43,486

4.85

4.80

6.04

AA2/AA3

4.97

5.67

12.83

114.69

1.76

Long (22+)

3,557

5.79

5.71

9.66

AA3/A1

5.00

6.92

26.46

113.33

2.57

246,359

19.57

17.36

Zero Coupon Index

1,016

11.90

11.69

12.05

AA3/A1

0.00

11.88

14.67

58.44

3.00

35,509

100.00

2.50

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

14

Barclays | Municipal Strategy Monthly


FIGURE 22
Returns, as of April 29, 2016
Number
Issues

Price
Return

Coupon
Return

MTD Total
Return

Past
3m

Past
6m

Year
to Date

Past
12m

Since
Inception

Municipal Bond Index

48,514

0.39

0.35

0.74

1.21

3.55

2.42

5.29

1,031.17

Alabama Index
Alaska Index
Arizona Index
Arkansas Index
California Index
Colorado Index
Connecticut Index
Delaware Index
Dist. of Col. Index
Florida Index
Georgia Index
Guam Index
Hawaii Index
Idaho Index
Illinois Index
Indiana Index
Iowa Index
Kansas Index
Kentucky Index
Louisiana Index
Maine Index
Massachusetts Index
Maryland Index
Michigan Index
Minnesota Index
Mississippi Index
Missouri Index
Montana Index
Nebraska Index
Nevada Index
New Hampshire Index
New Jersey Index
New Mexico Index
New York Index
North Carolina Index
North Dakota Index
Ohio Index
Oklahoma Index
Oregon Index
Pennsylvania Index
Puerto Rico Index
Rhode Island Index
South Carolina Index
South Dakota Index
Tennessee Index
Texas Index
Utah Index
Vermont Index
Virginia Index
Virgin Island Index
Washington Index
West Virginia Index
Wisconsin Index
Wyoming Index

364
173
1,089
129
6,724
776
882
188
565
2,950
1,113
66
537
61
1,967
493
120
222
446
491
85
1,749
1,259
819
720
180
500
16
344
558
70
1,338
206
6,116
825
17
1,375
178
637
1,580
173
116
525
23
684
4,715
184
21
1,321
34
2,009
72
688
21

0.48
0.24
0.36
0.29
0.41
0.38
0.32
0.38
0.35
0.40
0.28
0.74
0.45
0.25
0.36
0.28
0.17
0.35
0.22
0.42
0.38
0.37
0.23
0.28
0.26
0.24
0.37
0.11
0.43
0.23
0.13
0.71
0.09
0.45
0.22
0.19
0.41
0.26
0.36
0.37
-0.24
0.28
0.54
0.57
0.20
0.46
0.30
0.14
0.32
0.16
0.34
0.40
0.19
0.26

0.35
0.35
0.35
0.32
0.34
0.33
0.33
0.35
0.34
0.35
0.35
0.38
0.33
0.38
0.36
0.36
0.37
0.34
0.37
0.37
0.35
0.35
0.34
0.37
0.33
0.36
0.34
0.36
0.35
0.35
0.39
0.34
0.34
0.35
0.35
0.38
0.35
0.36
0.32
0.35
0.38
0.37
0.35
0.34
0.34
0.34
0.34
0.36
0.34
0.40
0.34
0.35
0.35
0.38

0.83
0.59
0.71
0.61
0.75
0.72
0.65
0.72
0.69
0.75
0.63
1.12
0.79
0.63
0.73
0.63
0.53
0.69
0.59
0.78
0.72
0.71
0.57
0.64
0.59
0.60
0.71
0.47
0.77
0.58
0.51
1.05
0.43
0.80
0.57
0.57
0.76
0.62
0.68
0.71
0.14
0.64
0.89
0.90
0.54
0.80
0.64
0.49
0.66
0.56
0.68
0.75
0.54
0.64

1.69
0.81
1.15
0.90
1.26
1.48
0.77
1.19
1.28
1.19
1.01
2.30
0.97
0.96
1.35
1.22
0.86
1.16
0.86
1.39
1.34
1.12
0.92
1.16
0.93
1.05
1.30
0.95
1.28
0.77
0.89
1.57
0.95
1.20
0.92
2.01
1.34
0.95
1.17
1.23
2.37
1.20
1.65
2.11
0.98
1.31
0.97
1.33
1.16
0.56
1.02
1.42
0.99
1.23

3.90
2.47
3.36
3.09
3.54
4.02
2.98
3.08
3.88
3.46
2.98
5.46
3.40
3.28
4.11
3.12
2.68
3.93
2.75
3.50
3.79
3.44
2.81
3.43
2.76
3.37
3.47
2.70
3.47
2.48
2.53
5.32
2.43
3.49
2.59
4.28
3.86
2.81
3.42
3.72
5.77
3.16
4.20
5.77
2.97
3.79
2.97
3.88
3.23
2.28
3.24
3.40
2.82
2.88

2.80
1.75
2.47
2.28
2.37
2.89
2.00
2.33
2.55
2.46
2.12
3.73
2.36
2.32
2.47
2.25
2.01
2.61
1.95
2.38
2.69
2.33
2.11
2.21
2.10
2.33
2.54
1.71
2.53
1.76
1.75
3.09
1.97
2.47
1.97
3.02
2.51
2.01
2.45
2.44
3.22
2.44
2.99
3.31
2.20
2.57
2.07
2.44
2.37
1.69
2.25
2.34
2.13
2.18

5.68
4.08
5.21
4.90
5.39
5.85
4.51
4.41
5.51
5.34
4.79
6.70
5.19
5.06
4.82
4.61
4.24
6.05
4.21
5.20
5.45
5.37
4.52
5.32
4.63
4.92
5.41
4.85
5.46
4.14
4.12
6.00
4.05
5.46
4.40
5.55
5.74
4.79
5.52
5.56
6.45
4.66
5.88
7.71
4.77
5.63
4.57
5.59
5.02
3.87
5.11
4.98
4.66
4.15

229.49
220.50
225.61
223.48
242.93
254.46
198.21
195.55
239.14
235.19
216.80
250.29
215.26
218.95
243.96
254.33
239.77
226.18
228.22
247.11
240.71
232.77
201.57
234.20
214.74
228.57
227.33
238.07
225.74
225.31
236.43
224.99
209.79
232.66
219.15
249.05
211.64
216.61
234.28
233.62
175.94
223.25
243.47
290.36
222.53
241.32
208.03
237.22
211.41
170.52
235.79
243.46
229.63
222.26

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

15

Barclays | Municipal Strategy Monthly


FIGURE 23
Statistics, as of April 29, 2016
Number
Issues
Municipal Bond Index 48,863
Alabama Index
364
Alaska Index
172
Arizona Index
1,088
Arkansas Index
128
California Index
6,802
Colorado Index
798
Connecticut Index
902
Delaware Index
188
Dist. of Col. Index
564
Florida Index
2,987
Georgia Index
1,101
Guam Index
66
Hawaii Index
527
Idaho Index
60
Illinois Index
1,960
Indiana Index
505
Iowa Index
120
Kansas Index
222
Kentucky Index
458
Louisiana Index
498
Maine Index
85
Massachusetts Index
1,774
Maryland Index
1,267
Michigan Index
814
Minnesota Index
723
Mississippi Index
180
Missouri Index
510
Montana Index
16
Nebraska Index
353
Nevada Index
543
New Hampshire Index
70
New Jersey Index
1,355
New Mexico Index
206
New York Index
6,102
North Carolina Index
832
North Dakota Index
20
Ohio Index
1,418
Oklahoma Index
177
Oregon Index
627
Pennsylvania Index
1,588
Puerto Rico Index
169
Rhode Island Index
119
South Carolina Index
530
South Dakota Index
23
Tennessee Index
677
Texas Index
4,778
Utah Index
184
Vermont Index
21
Virginia Index
1,342
Virgin Island Index
33
Washington Index
2,013
West Virginia Index
72
Wisconsin Index
711
Wyoming Index
21

Durat.
Mod.
To
MDur. To Adj.
Worst
Worst
Durat.
4.83
4.79
4.57
4.62
4.49
4.92
5.38
4.61
4.99
4.69
4.62
4.40
5.57
5.06
4.35
5.18
4.48
4.00
5.34
4.35
4.74
4.85
5.04
4.33
4.48
4.65
4.84
5.00
2.94
4.94
3.91
3.41
5.58
3.86
4.67
4.18
5.69
5.02
4.02
5.12
4.71
6.66
4.36
5.20
6.50
4.56
5.15
4.54
5.10
4.57
3.57
4.74
3.94
4.74
3.71

4.78
4.73
4.52
4.57
4.44
4.87
5.32
4.56
4.94
4.63
4.57
4.36
5.50
5.01
4.31
5.10
4.43
3.96
5.28
4.30
4.69
4.79
4.99
4.30
4.43
4.61
4.79
4.94
2.90
4.88
3.87
3.38
5.49
3.83
4.62
4.15
5.61
4.96
3.98
5.07
4.65
6.49
4.31
5.14
6.41
4.51
5.10
4.50
5.03
4.53
3.52
4.70
3.90
4.70
3.66

Quality

6.07
AA2/AA3
6.54
AA3/A1
5.70
AA2/AA3
5.45
AA2/AA3
5.84
AA2/AA3
5.96
AA2/AA3
7.13
AA3/A1
5.63
AA2/AA3
6.87
AA2/AA3
5.81
AA2/AA3
5.78
AA3/A1
5.51
AA2/AA3
7.53
A3/BAA1
5.88
AA2/AA3
5.72
A1/A2
6.91
A1/A2
6.07
AA3/A1
5.29
AA2/AA3
6.65
AA2/AA3
5.60
A1/A2
6.56
A1/A2
7.09
AA3/A1
6.32
AA1/AA2
5.55
AA1/AA2
5.92
AA3/A1
5.87
AA1/AA2
5.61
AA3/A1
6.72
AA2/AA3
5.12
A1/A2
7.26
AA3/A1
4.62
AA2/AA3
4.04
AA3/A1
6.70
A2/A3
4.34
AA2/AA3
5.72
AA2/AA3
5.09
AA1/AA2
8.44
A1/A2
6.38
AA2/AA3
5.55
AA3/A1
5.93
AA1/AA2
6.16
A1/A2
7.76
A2/A3
5.93
A1/A2
7.25
AA3/A1
12.20
AA3/A1
6.01
AA2/AA3
6.63
AA2/AA3
5.74
AA1/AA2
7.63
AA3/A1
5.77
AA1/AA2
4.62 BAA2/BAA3
5.85
AA1/AA2
5.16
A1/A2
6.03
AA2/AA3
6.31
A1/A2

Coupon

Time To
Worst

Matur.

Price

Yield To
Worst

Market
Value

Index

4.79
4.71
4.91
4.86
4.35
4.74
4.61
4.56
4.76
4.65
4.87
4.83
5.26
4.85
5.28
4.86
4.84
4.98
4.74
5.02
5.00
4.68
4.86
4.63
5.02
4.58
5.02
4.68
4.57
4.75
4.88
5.27
4.59
4.66
4.88
4.82
4.82
4.81
4.85
4.50
4.76
4.73
4.98
4.83
4.50
4.82
4.74
4.73
4.79
4.66
5.31
4.79
4.73
4.91
4.98

5.59
6.15
5.25
5.55
5.04
5.69
6.45
5.30
5.71
5.50
5.29
5.07
6.59
5.84
5.00
6.23
5.16
4.51
6.17
4.99
5.48
5.54
5.93
4.94
5.22
5.28
5.59
5.76
3.25
5.72
4.50
3.81
6.15
4.35
5.41
4.75
6.69
5.75
4.66
5.75
5.42
8.25
5.11
6.05
7.57
5.30
5.96
5.34
5.99
5.22
4.06
5.45
4.45
5.44
4.19

13.00
14.67
9.73
11.67
10.53
13.63
14.66
10.42
12.91
14.63
12.72
11.40
18.22
11.12
11.93
13.77
14.28
11.28
12.85
11.88
14.34
14.81
12.90
9.97
13.06
10.32
9.56
12.86
14.62
14.16
10.65
13.56
12.61
8.94
13.59
11.24
17.42
12.90
12.39
10.42
13.31
13.66
11.67
16.64
22.74
11.37
14.11
10.53
22.20
10.94
13.07
11.13
15.03
11.73
21.55

110.73
110.08
113.48
113.51
110.80
110.53
108.11
112.24
113.98
109.05
110.65
113.05
115.14
115.53
113.72
104.66
111.36
112.48
114.61
111.50
112.59
111.34
114.23
112.22
111.72
112.27
114.64
111.51
105.87
111.99
111.99
112.44
99.29
111.60
113.85
112.63
110.64
112.21
111.47
109.24
111.21
69.71
111.08
112.38
109.49
110.82
110.76
113.41
110.99
112.80
109.09
113.59
111.15
114.16
107.17

1.84
2.04
1.77
1.63
1.73
1.66
2.09
1.70
1.81
1.82
1.78
1.63
2.54
1.65
1.79
2.76
1.93
1.86
1.90
1.95
2.13
2.07
1.70
1.55
2.03
1.58
1.82
1.86
1.97
2.00
1.53
1.58
2.64
1.49
1.67
1.50
2.51
1.83
1.69
1.59
2.00
4.13
2.22
2.06
2.96
1.81
1.87
1.56
2.26
1.63
2.37
1.63
1.93
1.69
2.13

1,419,174
10,563
3,105
27,429
2,457
247,437
20,973
21,433
3,205
17,729
71,827
32,065
2,321
12,567
1,284
62,304
14,222
2,192
4,907
11,300
15,400
1,429
56,231
28,201
24,870
16,122
3,422
11,725
707
7,630
13,548
1,492
52,354
4,487
217,471
21,909
435
31,972
3,958
12,131
49,276
7,662
2,561
15,002
574
16,098
129,981
6,136
614
25,783
1,419
48,509
1,783
18,412
550

100.00
0.74
0.22
1.93
0.17
17.44
1.48
1.51
0.23
1.25
5.06
2.26
0.16
0.89
0.09
4.39
1.00
0.15
0.35
0.80
1.09
0.10
3.96
1.99
1.75
1.14
0.24
0.83
0.05
0.54
0.95
0.11
3.69
0.32
15.32
1.54
0.03
2.25
0.28
0.85
3.47
0.54
0.18
1.06
0.04
1.13
9.16
0.43
0.04
1.82
0.10
3.42
0.13
1.30
0.04

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

16

Barclays | Municipal Strategy Monthly

FIGURE 24
Municipal Index, Market Value Breakdown by Purpose Type
PRE
7%

INS
0%

FIGURE 25
HY Muni Index, Market Value Breakdown by Purpose Type
GO
11%

GO
27%

REV
66%

REV
89%

Source: Barclays Risk Analytics and Index Solutions

Source: Barclays Risk Analytics and Index Solutions

FIGURE 26
Municipal Index, Market Value Breakdown by Purpose Class

FIGURE 27
HY Muni Index, Market Value Breakdown by Purpose Class

LEAS
7%

SPET
10%

ST
16%

WTR
10%

LEAS
3%

LOCL
14%

ED
8%

RESR
0%

ED
7%

WTR
4%
TRAN
2%
RESR
0%

TRAN
16%

HOSP
19%

PWR
3%

HOSP
9%

PWR
HSG
6% IDRS 1%
3%

LOCL
5%

ST
7%

SPET
14%

HSG
2%

IDRS
34%

Source: Barclays Risk Analytics and Index Solutions

Source: Barclays Risk Analytics and Index Solutions

FIGURE 28
Municipal Index, Market Value Breakdown by Maturity

FIGURE 29
HY Muni Index, Market Value Breakdown by Maturity

Long
19%

1 Yr
7%

1 Yr
1%

3 Yr
12%

5 Yr
9%

20 Yr
13%

3 Yr
3%

5 Yr 7 Yr
3% 4%
10 Yr
11%

Long
47%

15 Yr
12%

7 Yr
8%
15 Yr
17%

10 Yr
15%

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

20 Yr
19%
Source: Barclays Risk Analytics and Index Solutions

17

Barclays | Municipal Strategy Monthly

Taxable Indices

3 May 2016

18

Barclays | Municipal Strategy Monthly

VARIOUS STATISTICS
FIGURE 30
Taxable Municipals, by Rating

FIGURE 31
US Long Credit Index, by Rating
AAA
3%

AAA
8%

BAA
10%

A
22%

AA
12%

BAA
47%

A
38%

AA
60%

Source: Barclays Risk Analytics and Index Solutions

Source: Barclays Risk Analytics and Index Solutions

FIGURE 32
Taxable Municipals vs. US Long Credit (OAS, bp)

FIGURE 33
Taxable Municipals, OAS by Sector (bp)

280

210

260

200
190

240

180

220

170

200

160

180

150
140

160

130

140

120

120
Nov-15

Dec-15

Jan-16

Feb-16

Taxable Municipals

Mar-16

Apr-16

110
Nov-15

US Long Credit

Dec-15

State GO

Jan-16

Feb-16

Local GO

Mar-16

Trans.

Source: Barclays Risk Analytics and Index Solutions

Source: Barclays Risk Analytics and Index Solutions

FIGURE 34
Taxable Municipal vs. US Long Credit (Ex Ret, bp)

FIGURE 35
GO and Revenue Bond, Excess Returns (bp)

600
500
400
300
200
100
0
-100
-200
-300
-400
-500

200

471
269
148
22

95

28

114

150

-78 -63

113

100

Jan-16

Taxable Municipals
Source: Barclays Risk Analytics and Index Solutions

3 May 2016

101

-60

-150
Feb-16

84

-50

-389
Dec-15

137

46

50

-100
Nov-15

Special Tax

145 151

0
-114 -85

Apr-16

Mar-16

US Long Credit

Apr-16

Nov-15

Dec-15

GO bonds

-127
Jan-16

-84 -75
Feb-16

Mar-16

Apr-16

Revenue bonds

Source: Barclays Risk Analytics and Index Solutions

19

Barclays | Municipal Strategy Monthly

TAXABLE INDICES: SIZE, DURATION, AND SPREADS


FIGURE 36
Size, Duration, and Spreads

Index
U.S. Credit Index
Corporate

Index Rating

# of
Bonds

Mkt. Value
($mn)

OAS (bp)
OAD

Apr-16

Mar-16

Feb-16

Jan-16

Dec-15

Nov-15

Oct-15

Sep-15 Aug-15 July-15

Jun-15

May-15

A2/A3

6,475

5,760,196

7.2

139

154

184

181

155

147

150

160

155

146

137

127

A3/BAA1

5,675

4,713,291

7.3

146

163

197

193

165

155

159

169

163

154

145

133

A3/BAA1

3,391

2,899,007

7.8

148

168

210

216

183

170

172

184

177

164

153

141

Utility

A2/A3

796

352,103

9.6

142

151

163

160

150

145

147

152

149

143

137

129

Financial Institutions

A2/A3

1,488

1,462,181

5.8

142

155

178

157

134

129

137

145

142

138

133

119

Industrial

AA2/AA3

800

1,046,905

6.5

107

114

125

123

110

111

112

122

122

115

107

101

Foreign Agency

AA2/AA3

188

281,083

5.0

107

118

132

130

109

96

97

107

146

131

121

111

Foreign Local Govt

AA2/AA3

341

225,090

9.7

142

149

154

148

143

143

152

155

147

143

135

132

AA3/A1

288

167,082

11.4

170

178

183

176

170

171

183

188

181

176

167

164

Non-Corporate

Taxable Municipals
Sovereigns
Supranationals
U.S. Long Credit Index
Taxable Municipals

BAA1/BAA2

123

238,515

8.6

183

191

220

221

192

204

199

233

194

184

169

160

AAA/AA1

148

302,218

3.7

20

22

24

24

21

17

17

17

16

17

17

13

A2/A3

2,095

1,731,897

13.8

205

223

257

252

225

217

218

230

224

213

202

193

AA3/A1

288

167,082

11.4

170

178

183

176

170

171

183

188

181

176

167

164

AA3/A1

77

62,296

10.0

185

195

201

191

180

181

194

201

193

186

179

178

State GO

AA3/A1

44

46,302

9.8

184

197

203

194

181

182

195

201

193

185

180

178

Local GO

AA2/AA3

33

15,993

10.4

188

191

193

183

179

179

192

199

192

189

175

176

AA2/AA3

210

104,408

12.3

162

169

173

168

163

165

177

181

173

170

161

156

AA3/A1

55

34,640

13.2

147

157

163

157

152

153

165

170

165

163

151

149

Special Tax

AA2/AA3

41

19,849

10.5

150

157

162

158

153

155

165

171

162

157

148

146

Industrial Revenues

AA2/AA3

1,107

10.4

137

135

132

131

125

128

139

144

139

137

133

130

Water & Sewer

AA1/AA2

27

11,244

12.9

147

152

156

147

140

141

155

156

151

147

139

137

Education

AA1/AA2

30

11,945

14.5

142

144

148

145

143

145

153

155

148

148

143

145

General Obligations

Revenue
Transportation

Power

AA3/A1

23

12,439

13.4

193

199

206

199

189

191

203

201

197

188

181

175

Leasing

A1/A2

27

11,308

8.8

234

240

240

230

232

237

254

258

240

246

235

208

AA3/A1

1,583

12.9

159

178

186

177

177

173

180

192

203

187

190

182

Insured

NR

0.0

NA

NA

NA

NA

NA

NA

NA

NA

NA

NA

NA

NA

Pre-Refunded

A1

378

1.0

29

29

35

33

55

26

40

46

47

55

57

51

Health Care

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

20

Barclays | Municipal Strategy Monthly

TAXABLE INDICES: EXCESS RETURNS


FIGURE 37
Excess Returns (bp)
Index

YTD

LTM

3 Mos.

Apr-16

Mar-16

Feb-16

Jan-16

Dec-15

Nov-15

Oct-15

Sep-15

Aug-15

Jul-15

Jun-15

May-15

U.S. Credit Index

157

-54

351

134

236

-26

-193

-60

22

90

-55

-61

-53

-55

-30

Corporate

171

-34

387

150

262

-31

-215

-62

22

85

-33

-60

-52

-61

-36

Industrial

260

-60

531

181

333

-267

-94

98

-52

-83

-76

-60

-45

Utility

138

-75

220

118

114

-17

-86

-29

12

63

-2

-62

-35

-50

-98

11

146

93

155

-103

-142

-8

49

68

-3

-17

-10

-65

-7

94

-144

189

65

123

-2

-96

-55

19

109

-145

-62

-58

-34

-6

124

-341

237

81

136

17

-113

-102

-2

97

-255

-108

-57

-37

Financial Institutions
Non-Corporate
Foreign Agency
Foreign Local Govt
Taxable Municipals

42

32

107

86

75

-57

-66

20

113

55

-50

-36

-62

-13

-38

51

39

134

114

95

-78

-85

28

148

75

-63

-51

-83

-13

-53
-1

227

-188

435

92

306

27

-209

-117

-19

298

-266

-101

-122

-64

Supranationals

-10

20

13

-1

-11

-10

-4

-17

U.S. Long Credit Index

306

-182

701

269

471

-63

-389

-114

22

157

-117

-124

-123

-80

-77

Sovereigns

51

39

134

114

95

-78

-85

28

148

75

-63

-51

-83

-13

-53

44

29

169

137

113

-84

-127

145

108

-66

-65

-65

15

-89

State GO

78

22

219

167

130

-83

-143

-5

142

112

-75

-75

-47

-112

Local GO

-54

54

25

48

64

-89

-78

19

155

94

-38

-33

-119

42

-20

57

46

114

101

84

-75

-60

46

151

54

-62

-43

-96

-31

-30

134

130

202

152

121

-76

-74

40

159

73

-49

-36

-156

-9

-26

Taxable Municipals
General Obligations

Revenue
Transportation

26

25

77

66

63

-54

-53

43

125

75

-82

-53

-39

-21

-50

Industrial Revenues

-104

-86

-33

-6

-15

-11

-69

52

133

70

-43

-7

-197

-34

40

Special Tax
Water & Sewer

-45

37

79

77

-121

-81

40

185

31

-73

-39

-91

-18

Education

15

93

53

55

65

-69

-39

48

105

38

-76

-3

-68

37

-11

Power

-99

122

98

107

-87

-122

54

177

-13

-49

-112

-72

-61

-18

Leasing

84

-22

48

73

27

-53

33

70

157

65

-88

12

-67

-159

-87

Health Care

234

371

211

246

70

-111

13

-42

113

175

161

-188

59

-95

-42

Insured

Pre-Refunded

34

47

30

-37

16

17

16

-5

-4

Source: Barclays Risk Analytics and Index Solutions

3 May 2016

21

Barclays | Municipal Strategy Monthly

TAXABLE MUNICIPAL INDEX: LARGEST 25 ISSUERS


FIGURE 38
Largest 25 Issuers
Ratings
Index / Issuer

Moody's

# of

Mkt. Value ($mn)

S&P

Fitch

Bonds

Amount

Excess Returns (bp)

OAS

Pct.

OAD

(bp)

MTD

3 Mos

YTD

LTM

NA

NA

NA

288

167,082

100%

11.4

170

114

134

51

39

State of California

AA3

AA-

A+

12

20,499

12%

11.5

144

182

382

162

121

State of Illinois

BAA1

A/A-

A-/BBB+

10

13,409

8%

7.6

309

240

137

(16)

(129)

Port Authority of NY & NJ

AA3

AA-

AA-

10

7,192

4%

16.3

133

290

449

313

66

NJ State Turnpike Auth

A3

A+

4,896

3%

13.2

155

249

300

252

180

University of California

AA2/AA3

AA/AA-

AA/AA-

10

4,775

3%

13.7

154

98

121

44

200

Bay Area Toll Authority

AA3/A1

AA/AA-

AA

4,742

3%

15.3

147

171

273

193

248

A2/A3

AA/AA-

A-

10

4,467

3%

6.6

250

94

138

217

12

Metropolitan Trans. Authority (NY)

A1

AA/AA-

AA-/A+

4,323

3%

12.5

163

74

60

(12)

45

NY City Municipal Water Fin. Auth.

AA1

AA+

AA+

3,833

2%

14.0

124

87

79

(63)

121

Los Angeles Unified School District

AA2

AA-

NR

3,507

2%

10.9

147

108

83

64

91

American Municipal Power-Ohio Inc

A2/A3

3,473

2%

13.8

229

53

11

(87)

(304)

Municipal Elect. Auth. Georgia (MEAG)

Taxable Municipals

NJ Econ. Development Auth

A2/A3

A+/A

A+/A

3,279

2%

13.7

249

239

358

93

(60)

City of New York NY

AA2

AA

AA

3,175

2%

10.2

141

18

42

36

146

Florida Hurricane Catastrophe Fund

AA3

AA

AA

2,784

2%

3.6

81

72

57

85

145

Commonwealth of Massachusetts

AAA/AA1

AAA/AA+

AA+

2,681

2%

11.1

110

136

104

81

49

Los Angeles Department of Water & Power

AA2/AA3

AA/AA-

AA/AA-

2,636

2%

13.5

138

179

212

71

114

A1

AA

NR

2,572

2%

10.9

268

348

366

221

(215)

NY State Dorm. Auth - Pers Inc Tax

AA1

AAA

AA+

2,468

1%

11.5

130

49

157

60

141

NY City Transitional Finance Auth.

AA1/AA2

AAA/AA+

AAA/AA+

2,255

1%

11.2

140

58

25

(90)

(9)

AAA

AAA

AAA

2,184

1%

13.7

112

40

(42)

(30)

(128)
(473)

Chicago Trans Auth-Sales Tax

State of Texas

A3

A-

A-

2,172

1%

7.8

305

60

(55)

(89)

State of Oregon

AA1

AA+

AA+

2,169

1%

6.0

93

(11)

(16)

58

99

State of Connecticut

AA3

AA

AA

2,140

1%

10.0

170

10

45

15

(128)

Dallas Area Rapid Transit

AA2

AA+

NR

1,969

1%

13.1

118

(19)

(79)

(88)

62

Ohio State University

AA1

AA

AA

1,951

1%

18.3

133

134

25

NJ Trans. Trust Fund Auth

Note: As of April 29, 2016. Source: Barclays Risk Analytics and Index Solutions

3 May 2016

22

Barclays | Municipal Strategy Monthly

Municipal Supply, Redemptions,


Fund Flows, and Secondaries

3 May 2016

23

Barclays | Municipal Strategy Monthly

HISTORICAL SUPPLY
FIGURE 39
Municipal Supply ($bn)
Year

GO

Revenue

Total

New Capital

Refunding

Total

1996

64.6

120.6

185.2

124.0

61.2

185.2

1997

72.4

148.3

220.7

137.8

82.9

220.7

1998

93.7

193.1

286.8

160.8

126.0

286.8

1999

71.0

156.5

227.5

157.4

70.1

227.5

2000

66.6

134.3

200.9

165.1

35.7

200.8

2001

101.7

186.0

287.7

197.2

90.5

287.7

2002

125.7

231.8

357.5

236.9

120.6

357.5

2003

142.1

240.6

382.7

262.2

120.5

382.7

2004

129.6

230.1

359.7

229.1

130.7

359.8

2005

144.2

264.0

408.2

222.3

185.9

408.2

2006

114.8

272.0

386.8

256.0

130.5

386.5

2007

131.0

293.5

424.5

273.7

155.6

429.3

2008

110.2

276.2

386.4

208.2

181.4

389.6

2009

154.9

251.9

406.8

261.4

148.4

409.7

2010

147.0

283.4

430.4

279.8

153.4

433.1

2011

107.8

187.2

294.9

153.1

141.9

294.9

2012

135.3

243.6

378.9

148.0

231.3

379.3

2013

124.6

210.4

334.9

161.3

173.6

334.9

2014

132.7

204.9

337.5

144.7

192.8

337.5

2015

153.4

249.7

403.1

151.1

252.0

403.1

Note: Supply amounts may differ due to rounding. Source: SIFMA.org, SDC

FIGURE 40
Municipal Supply by Month ($bn)
Total Supply
2014

2015

2016

GO
2014

2015

Revenue
2016

2014

2015

New Capital
2016

2014

Refunding

2015

2016

2014

2015

2016

Jan

19.5

29.3

25.4

8.0

10.4

11.5

11.6

19.0

14.0

11.7

8.4

10.5

7.8

20.9

14.9

Feb

16.5

33.4

31.4

6.7

14.5

14.3

9.8

18.9

17.1

9.6

10.6

12.5

6.9

22.7

19.0

10.2

15.4

18.3

35.3

26.6

14.6

13.1

28.0

19.1

14.4

22.3

Mar

28.5

45.7

42.0
33.7

14.4

20.7

19.7
14.2

14.1

24.9

22.3
19.5

10.2

Apr

26.6

41.1

11.2

16.1

15.4

25.0

13.4

13.1

May

27.8

36.8

8.2

16.0

19.6

20.8

13.4

14.3

Jun

35.8

40.0

16.4

16.0

19.3

24.0

15.3

19.5

20.5

21.0

Jul

27.6

35.4

10.5

13.6

17.2

21.8

11.9

14.8

15.8

20.5

Aug

24.6

32.3

9.4

10.5

15.2

21.8

9.7

12.2

14.9

20.1

Sep

25.0

24.4

8.9

9.2

16.1

15.2

9.9

9.5

15.1

14.9

Oct

37.0

35.0

13.2

11.6

23.8

23.4

14.2

13.7

22.8

21.2

Nov

29.5

25.2

12.3

8.3

17.2

16.8

12.1

12.4

17.4

12.7

Dec

39.0

24.6

13.3

6.5

25.7

18.1

13.0

12.3

26.0

12.2

Total

337.5

403.1

132.7

153.4

204.9

249.7

144.7

151.1

192.8

252.0

132.6

59.7

72.9

52.9

79.6

Note: Supply amounts are as reported and may differ due to rounding. Source: SIFMA.org, SDC

3 May 2016

24

Barclays | Municipal Strategy Monthly


FIGURE 41
2016 Redemptions ($mn)
$bn
50
45
40
35
30
25
20
15
10
5
0
Jan

Feb

Mar

Apr

May

Jun

Median (2001-15)

Jul

Aug

2015

Sep

Oct

Nov

Dec

2016*

Note: As of April 8, 2016. Includes current refundings, advance refundings, and maturing bonds. Source: IDC

FIGURE 42
Municipal Fund Flows ($mn)
Month

2012

2013

2014

2015

Jan

6,660

7,181

433

4,600

4,269

Feb

6,375

2,506

1,681

2,630

4,690

Mar

3,561

-271

1,553

1,482

6,012

Apr

2,663

-1,750

1,190

398

3,372

May

4,935

-937

3,545

-631

Jun

3,989

-16,573

2,349

-1,731

Jul

5,451

-10,233

1,409

-655

Aug

5,468

-12,071

3,256

-1,446

Sep

4,061

-6,433

3,017

-488

Oct

4,914

-5,395

2,154

2,381

Nov

5,250

-4,459

2,966

2,482

Dec

-3,157

-10,060

4,435

5,770

Total

50,170

-58,495

27,988

14,792

2016

18,343

Note: ICI data through April 20, 2016. Source: ICI

3 May 2016

25

Barclays | Municipal Strategy Monthly


FIGURE 43
Most Actively Traded Tax-Exempts ($1mn-plus in Trade Size)

CUSIP

74514LE86
13080SML5
452151LF8

118217AU2
167505QY5
38122NPB2
888808DF6
74514LB89

118217AT5

Moodys, S&P,
State and Fitch Ratings Cpn

Description

Commonwealth Of Puerto
Rico
Loma Linda Univ Med Obl
State Of Illinois
Buckeye Tobacco
Settlement Financing
Authority
Chicago Board Of Education
Golden State Tobacco
Securitization Corp
Tobacco Settlement
Financing Corp/Nj
Commonwealth Of Puerto
Rico
Buckeye Tobacco
Settlement Financing
Authority

Starting
Yld
Min Yld Max Yld Last Yld Maturity Size Number
Maturity
(%)
(%)
(%)
(%)
($000s)
of Trades

PR
CA
IL

Caa3/CC/CC
NA/BB/BB+
Baa1/A-/BBB+

8
7/1/35
5.25 12/1/56
5.1 6/1/33

12.28
4.68
5.73

12.28
4.12
5.45

13.14
4.68
5.73

12.99
4.12
5.45

3,500,000
562,360
7,650,000

126
71
69

OH
IL

B3/B-/CCC
NA/B+/B+

5.875 6/1/47
7 12/1/44

6.28
7.75

6.14
7.47

6.36
7.75

6.14
7.47

1,383,715
665,000

52
34

CA

B3/B-/CCC

5.125 6/1/47

5.60

5.27

5.60

5.27

693,575

31

NJ

B3/B-/NA

6/1/41

5.63

5.41

5.65

5.41

1,263,590

27

PR

Caa3/CC/CC

7/1/41

9.25

9.02

9.63

9.29

632,975

26

OH

B3/B-/CCC

6.5

6/1/47

6.53

6.24

6.75

6.27

750,000

26

Note: Excludes debt with maturities less than one year and maturity size below $250mn. Excludes trade sizes below $1mn. For April 2016 only.
Source: MSRB, Bloomberg, Moodys, S&P, Fitch, Barclays Risk Analytics and Index Solutions

FIGURE 44
Most Actively Traded Taxable Munis ($1mn-plus in Trade Size)

CUSIP

Issuer

Met Govt Nashville


& Davidsonc
13063A5G5 California St
Florida St Brd Of
341271AB0
Admin Fin Co
13063BJC7
California St
Florida St Brd Of
341271AA2
Admin Fin Co
13063BFR8 California St
13063A5E0 California St
Florida St Hurricane
34074GDH4
Catastrop
13063BBU5 California St
452152HU8 Illinois St
592041WJ2

Moodys, S&P, and


State
Fitch Ratings
Coupon Maturity

Starting
OAS Min OAS Max OAS Last OAS
(bp)
(bp)
(bp)
(bp)

Maturity
Size
($000s)

Number of
Trades

TN

A3/NA/NA

4.053

7/1/26

162

142

168

142

300,000

42

CA

Aa3/AA-/A+

7.55

4/1/39

172

154

172

154

3,000,000

42

FL

Aa3/AA/AA

2.638

7/1/21

97

77

99

77

650,000

39

CA

Aa3/AA-/A+

7.6

11/1/40

167

151

167

151

2,110,000

35

FL

Aa3/AA/AA

2.163

7/1/19

104

64

104

76

550,000

35

CA
CA

Aa3/AA-/A+
Aa3/AA-/A+

7.625
7.5

3/1/40
4/1/34

172
172

157
154

174
174

159
154

1,250,000
2,000,000

33
29

FL

Aa3/AA/AA

2.995

7/1/20

104

91

112

92

1,000,000

28

CA
IL

Aa3/AA-/A+
Baa1/A-/BBB+

7.35
5.877

11/1/39
3/1/19

172
193

156
193

175
210

157
195

908,000
900,000

27
25

Note: Excludes debt with maturities less than one year and maturity size below $250mn. Excludes trade sizes below $1mn. For April 2016 only.
Source: MSRB, Bloomberg, Moodys, S&P, Fitch, Barclays Risk Analytics and Index Solutions

3 May 2016

26

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US30726