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SmallChange

LiveWebcasthostedby:

JeffreyGundlach
ChiefExecutiveOfficer

June13,2017
FundOfferings

TotalReturnBondFund
RetailandInstitutionalClass
NoLoadMutualFund

Retail Inst.
Nshare Ishare

Ticker DLTNX DBLTX


MinInvestment $2,000 $100,000
MinIRAInvestment $500 $5,000
GrossExpenseRatio 0.72% 0.47%

TheFundsinvestmentobjectives,risks,chargesandexpensesmustbeconsideredcarefullybeforeinvesting.The
statutoryprospectusandsummaryprospectus(ifavailable)containsthisandotherimportantinformationabout
theFunds,anditmaybeobtainedbycalling1(877)3546311/1(877)DLINE11,orvisiting
www.doublelinefunds.com.Readitcarefullybeforeinvesting.
Mutualfundinvestinginvolvesrisk;Principallossispossible.Investmentsindebtsecuritiestypicallydecreaseinvaluewheninterestratesrise.Thisriskisusuallygreaterforlongertermdebtsecurities.
InvestmentsinAssetBackedandMortgageBackedSecuritiesincludeadditionalrisksthatinvestorsshouldbeawareofsuchascreditrisk,prepaymentrisk,possibleilliquidityanddefault,aswellasincreased
susceptibilitytoadverseeconomicdevelopments.Investmentsinlowerratedandnonratedsecuritiespresentagreaterriskoflosstoprincipalandinterestthanhigherratedsecurities.TheFundmayuse
certaintypesofinvestmentderivatives.Derivativesinvolverisksdifferentfrom,andincertaincases,greaterthantheriskspresentedbyhigherratesecurities.TheDoubleLineTotalReturnBondFundintendsto
investmorethan50%ofitsnetassetsinmortgagebackedsecuritiesofanymaturityortype.TheFundtherefore,potentiallyis morelikelytoreacttoanyvolatilityorchangesinthemortgagebackedsecurities
marketplace.
Opinionsexpressedaresubjecttochangeatanytime,arenotforecastsandshouldnotbeconsideredinvestmentadvice.
DoubleLineFundsaredistributedbyQuasarDistributors,LLC.
WhiletheFundsarenoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
Fundholdingsandsectorallocationsaresubjecttochangeandarenotrecommendationstobuyorsellanysecurity.

61317TRWebcast1
Performance
DoubleLineTotalReturnBondFund QuarterEndingMarch31,2017

FundPerformance
Annualized
MonthEndReturns SinceInception 1Yr
May31,2017 May YeartoDate 1Year 3Year 5Year (4610to53117) Std Deviation1
Ishare 0.79% 2.62% 2.73% 3.17% 3.71% 6.76% 2.37%
Nshare 0.76% 2.52% 2.48% 2.91% 3.45% 6.50% 2.31%
Benchmark* 0.77% 2.38% 1.58% 2.53% 2.24% 3.71% 3.51%
Annualized
QuarterEndReturns SinceInception
March 31,2017 1Q17 YeartoDate 1Year 3Year 5Year (4610to33117)
Ishare 1.05% 1.05% 1.46% 3.26% 3.64% 6.69%
Nshare 0.98% 0.98% 1.21% 3.04% 3.40% 6.43%
Benchmark* 0.82% 0.82% 0.44% 2.68% 2.34% 3.57%

SEC30DayYield IShare NShare


Gross 3.63% 3.38%
Net 3.63% 3.38%
ExpenseRatio IShare NShare
Gross 0.47% 0.72%

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
1. Standard deviation measures the amount of variation or dispersion of a set of data values.
*BloombergBarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.TheindexcoverstheUSinvestmentgradefixedratebondmarket,withindex
componentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedand
reportedonaregularbasis.Itisnotpossibletoinvestinanindex.

61317TRWebcast2
Announcements
Webcasts:
RisingRates June27,2017
PhilipBarachandPhilKenneywilldiscussDoubleLines LowDurationandFloatingRateFunds
Gotowww.doublelinefunds.com,HomepageunderEvents
1:15pmPDT/4:15pmEDT

EmergingMarketsWebcast July11,2017
LuzPadillawilldiscussDoubleLines EmergingMarketsandLowDurationEmergingMarketsFunds
Gotowww.doublelinefunds.com,HomepageunderEvents
1:15pmPDT/4:15pmEDT

Viewthe2017WebcastScheduletoregisterformore.
www.doublelinefunds.com

ToReceiveTodaysPresentationSlides:
Youcanemailfundinfo@doubleline.com

ShermanShowPodcasts Availableondoubleline.com,itunes,SoundCloudandGoogle
Play

AdvisorUseOnlyWebpageNowAvailableondoublelinefunds.com
Signupandapasswordwillbesenttoyouoncewehaveverifiedyouarearegisteredrep
61317TRWebcast3
TABI
GlobalEconomy

61317TRWebcast4
5 61317TRWebcast5
PMI Eurozonevs.U.S.

Source:Citigroup,Bloomberg
Markit EurozoneManufacturingPMI(PurchaseManagersIndex seasonallyadjusted).PMIisanindicatoroftheeconomichealthofthemanufacturingsectorbasedonfivemajorindicators:neworders,
inventorylevels,production,supplierdeliveriesandtheemploymentenvironment.Youcannotinvestdirectlyinanindex..
61317TRWebcast6
LowVolatilityisCommonAcrossMostAssets&Markets
AsofMay17,2017

Source:BAML
FX=ForeignExchange,Comdty =Commodity,Imp=Implied,HY=HighYield,IG=InvestmentGrade,EURUSD=EurosinUSdollars,GBPUSD=BritishpoundsterlinginUSdollars,
USDJPY=USdollarsinJapaneseyen,CDS=creditdefaultswap.Pleaseseeappendixforindexdefinitions(SP500,Nikkei,FTSE, ESTX50).Youcannotinvestdirectlyinanindex.
61317TRWebcast7
TABII U.S.

61317TRWebcast8
RealGDPGrowthbyDecade

7%
6.38%
6.04%
6%
5.59%
5.16%
AverageAnnualRealGDPGrowthbyDecade

5.03%
5%
4.49% 4.52%
4.24% 4.25%
3.89%
4% 3.73% 3.73%
1790 2016

3.56%
3.26% 3.24% 3.25%
3.07% 3.14%
2.92%
3%
2.67%

2.09%*
2% 1.81%

1.33%

1%

0%

DataSource:MeasuringWorth*20102016
GDP=GrossDomesticProductmeasurestheoverallamountofgoodsandservicesproducedwithinagiventerritory/country.You cannotinvestdirectlyinanindex.
61317TRWebcast9
U.S.RealGDP:Noisy?!?!

Source:Bloomberg
GDP=GrossDomesticproductistheamountofgoodsandservicesproducedwithinagivencountry.RealGDPisinflationadjusted.YoY=yearoveryear.Youcannotinvestdirectlyinanindex.
61317TRWebcast10
U.S.NominalGDPForecasts
January1,2011throughApril30,2017

6
2013 2014 2015
5.5 2016 2017
USNominalGDPForecast(%)

5
4.7%

4.5

4
4.0%

3.5
3.4%
2.9%
3

2.5 2.5%

Source:Bloomberg
GDP=GrossDomesticproductistheamountofgoodsandservicesproducedwithinagivencountry.Nominal GDPisnotadjustedforinflation. Youcannotinvestdirectlyinanindex.
61317TRWebcast11
CorporateDebttoGDP

Source:Bloomberg
GDP=GrossDomesticproductistheamountofgoodsandservicesproducedwithinagivencountry.Nominal GDPisnotadjustedforinflation. SAAR=Seasonallyadjustedannualrate.
FOF=Flowoffunds. 61317TRWebcast12
Youcannotinvestdirectlyinanindex.
U.S.ConferenceBoardLeadingEconomicIndicator

Source:Bloomberg,DoubleLine
ConferenceBoardU.S.LeadingIndex=Leadingindicatorsincludeeconomicvariablesthattendtomovebeforechangeintheoveralleconomy.Theseindicatorsgiveasenseofthe
futurestateofaneconomy.Youcannotinvestdirectlyinanindex.
61317TRWebcast13
ConsumerDebt
December31,2004toMarch31,2017

Americansowemorethan$4.1trillioninnonmortgagedebt.$2.09increditcardandstudentloans.
Evenmorethanmortgagedebtrecordssetattheheightofthehousingbubble

Source:60SecondStatistics
Youcannotinvestdirectlyinanindex.. 61317TRWebcast14
U.S.HouseholdDebtSince2008

61317TRWebcast15
TABIII
FedPolicy

61317TRWebcast16
61317TRWebcast17
FedDotsvs.MarketImplied

Source:Bloomberg
Youcannotinvestdirectlyinanindex. 61317TRWebcast18
TaylorRulevs.FedFundsRate

Source:Bloomberg
ATaylorruleisareducedformapproximationoftheresponsivenessofthenominalinterestrate,assetbythecentralbank, to changesininflation,output,orothereconomic
conditions.Youcannotinvestdirectlyinanindex. 61317TRWebcast19
Wheres Waldo? Find the Phillips Curve in this
picture

Source:ISI
ThePhillipscurveisasupposedinverserelationshipbetweenthelevelofunemploymentandtherateofinflation.Youcannot investdirectlyinanindex. 61317TRWebcast20
FedHikesAlmostAlwaysFlattentheYieldCurve:
2s10sandFedHikingCycles

Source:DoubleLine;Bloomberg
2s10s=2yearUSTreasuryvs.10yearUSTreasury
61317TRWebcast21
FedFunds
December31,1982toDecember31,2016

Youcannotinvestdirectlyinanindex.

61317TRWebcast22
RecentFedHikesvs.U.S.Treasury10YearYield

Source:Bloomberg,DoubleLine
Youcannotinvestdirectlyinanindex. MAG1APP
61317TRWebcast23
TABIV
BloodlessVerdictoftheMarkets

61317TRWebcast24
61317TRWebcast25
MaximumDrawdownofEquityandBondMarkets

0%

10%
December31,1988 May31,2017

20%
MaximumDrawdown

S&P500
30%
BarclaysUSAggregate

40%

50%

60%

DataSource:Bloomberg
Drawdown=Isthepeaktotroughdeclineduringaspecificrecordedperiodofaninvestment,fundorcommodity.Pleaseseeappendixforindexdefinitions.
Youcannotinvestdirectlyinanindex. 61317TRWebcast26
ImpliedVolatilityofEquityandBondMarkets

DataSource:Bloomberg
VIX=VolatilityIndex.MOVEIndexistheMerrillOptionVolatilityEstimate.Itsayieldcurveweightedindexofthenormalizedimpliedvolatilityon1monthTreasuryoptions.
ChicagoBoardofOptionsExchangeSPXVolatilityIndexreflectsamarketestimateoffuturevolatility,basedontheweighted averageoftheimpliedvolatilitiesforawiderange
ofstrikes.SPX=S&P500.Pleaseseeappendixforindexdefinitions.Youcannotinvestdirectlyinanindex. 61317TRWebcast27
NearRecordLowVolatility
Chartshowspercentofdaysoverarolling6monthperiodthatS&P500daily
returnshavebeenwithina+/ 25bpsrange.

AsofMay2,2017
Source:Bianco.Bps=basispoints.Pleaseseeappendixforindexdefinitions.Youcannotinvestdirectlyinanindex.
61317TRWebcast28
VIXNetSpeculativePosition

Source:Bloomberg.Pleaseseeappendixforindexdefinitions.VIX=VolatilityIndex.Youcannotinvestdirectlyinanindex.

61317TRWebcast29
VXXSharesOutstanding

Currentlypermystockloanteam,VXXshortutilization
spikedtoaninsane95%yesterday(%ofthefreeshares
beingusedtoshort). RBC

Source:Bloomberg.
VXX=iPath S&P500VIXShortTermFuturesETNinanexchangetradednoteissuedintheUS.Youcannotinvestdirectlyinanindex. 61317TRWebcast30
PerformanceofVIXFuturesContractsOverTime

Source:Bloomberg.
VIX=VolatilityIndex.UXH7,UXG7,UXF7,UXZ6,UXX^,UXV6,UXU6,UXQ6,UXN6areallCBOEVolatilityIndexfutureswithdifferentendingcontractdates.CBOEVolatilityIndex(VIX)Futuresisthe
ChicagoBoardofExchangetrackslevelsofvolatility.Thefuturesprovideapureplayonimpliedvolatilityindependentofthedirectionandlevelofstockprices.Itsbasedonrealtimepricesof
optionsontheS&P500Index.Youcannotinvestdirectlyinanindex.
61317TRWebcast31
S&P500OperatingEarnings

Source:Bloomberg.
S&P500isacapitalizationweightedindexof500stocks.Itsdesignedtomeasureperformanceofthebroaddomesticeconomythroughchangesintheaggregatemarketvalueof500stocks
representingallmajorindustries.VIX=VolatilityIndex.EPS=Earningspershare.Youcannotinvestdirectlyinanindex.
61317TRWebcast32
U.S.LowVolatilityEquityIndicesarenotAlwaysLow
Volatility December31,2000throughMay31,2017
45%

S&PLowVolatilityTR
40% MSCIUSAMinimumVolatilityGrossTR
BarclaysUSAggregateTR

35%
Trailing252dayAnnualizedStandardDeviation

30%

25%

20%

15%

10%

5%

0%

DataSource:Bloomberg
Pleaseseetheappendixforindexdefinitions.TR=Totalreturn.Youcannotinvestdirectlyinanindex. 61317TRWebcast33
U.S.LowVolatilityEquityIndicesarenotAlwaysLow
Volatility December31,2000throughMay31,2017
0%

5%

10%

15%
December31,1999 May31,2017

20%
MaximumDrawdown

25%

30%

35%

40%
S&PLowVolatilityTR

45% MSCIUSAMinimumVolatilityGrossTR

BarclaysUSAggregateTR
50%

DataSource:Bloomberg
Pleaseseetheappendixforindexdefinitions.TR=Totalreturn.Youcannotinvestdirectlyinanindex. 61317TRWebcast34
BofA MLBBUSHighYield EffectiveConvexity

DataSource:Bloomberg
Convexityisameasureofthecurvatureintherelationshipbetweenbondpricesandbondyieldsthatdemonstrateshowthedurationofabondchangesastheinterestrate
changes.Youcannotinvestdirectlyinanindex.
61317TRWebcast35
U.S.2YearTreasury
January1,2010throughJune13,2017

(Inbasispoints)
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT02=US2YearTreasuryBond.Youcannotinvestdirectlyinanindex.
61317TRWebcast36
U.S.5YearTreasury
January1,2010throughJune13,2017

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT5=US5YearTreasuryBond.Youcannotinvestdirectlyinanindex. 61317TRWebcast37
U.S.10YearTreasury
January1,2010throughJune13,2017

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT10=US10YearTreasuryBond.Youcannotinvestdirectlyinanindex.

61317TRWebcast38
U.S.Rates:U.S.Treasury10yYieldForecast
August4,2011toJune13,2017

Source:Bloomberg
Youcannotinvestdirectlyinanindex.
61317TRWebcast39
Copper/GoldRatiovs.U.S.Treasury10yearYield
(5yearchart)

Source:Bloomberg
USGG10YrIndex=U.S.10yearTreasury.HG1Comdty =Copper.GC1=Goldfutures.Youcannotinvestdirectlyinanindex. 61317TRWebcast40
U.S.30YearTreasury
January1,2010toJune13,2017

Source:BloombergFinancialServices,DoubleLineCapitalLP
GT30=US30YearTreasuryBond.Youcannotinvestdirectlyinanindex.
61317TRWebcast41
TABV
DoubleLineTotalReturnBondFund

61317TRWebcast42
Duration:DBLTXvs.BarclaysU.S.AggregateIndex
May31,2010throughMay31,2017

7.00

6.00

5.00
Duration(years)

4.00

3.00

2.00

1.00

0.00

DBLTX BarclaysU.S.AggregateIndex

Source:DoubleLine,Barclays
BarclaysAGGDuration=BarclaysUSAggregateIndexduration.Durationisameasureofsensitivityofthepriceofafixedincomeinvestmenttoachangeininterestrates.Itsexpressedinyears
61317TRWebcast43
DBLTXDurationvs.10YearU.S.TreasuryYield
May31,2010throughMay31,2017

4.50 4.00%

4.00 3.50%

3.50
3.00%

3.00
2.50%
Duration(years)

2.50

Percent
2.00%
2.00

1.50%
1.50

1.00%
1.00

0.50 0.50%

0.00%

DBLTXDuration(LHS) 10yearU.S.TreasuryYield(RHS)

Source:DoubleLine,Bloomberg
Durationisameasureofsensitivityofthepriceofafixedincomeinvestmenttoachangeininterestrates.Itsexpressedinyears.
61317TRWebcast44
TotalReturnBondFundPortfolioStatistics
Asof5/31/2017

Total Return BarclaysCapitalU.S.


BondFund AggregateIndex
AveragePrice $98.83 $103.74
Duration 3.72 5.95
Average Life 5.27 8.18

PortfoliostatisticsasofMay31,2017basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumberofsecuritiesanddoesnotincludecash.Averagepriceshouldnot
beconfusedwithnetassetvalue.
AverageDuration =Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterestratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Averagelifeiscomputedastheweightedaveragetimetothereceiptofallfuture
cashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP
Youcannotinvestdirectlyinanindex.Pleaseseeindexdefinitionintheappendix.
61317TRWebcast45
TotalReturnBondFundPortfolioComposition
BySecurityType

Collateralized
AssetBacked
Loan
Securities,3.0% Cash,6.2% Treasury
Obligations,
Inflation
3.8% Treasury,3.9%
Protected
Securities(TIPS),
Commercial 1.0%
MBS,6.9%
Investment
Grade
Corporates,
0.5%
NonAgency AgencyPass
ResidentialMBS, throughs,29.7%
23.4%

Agency
Collateralized
Mortgage
Obligation
(CMO),21.6%

PortfoliocompositionasofMay31,2017.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 61317TRWebcast46
SmallChange

LiveWebcasthostedby:

JeffreyGundlach
ChiefExecutiveOfficer

June13,2017
IPATHS&P500VIXShortTermFuturesETN(VXX)
InvestmentObjective&Summary
TheinvestmentobjectiveoftheIPATHS&P500VIXShortTermFuturesETNisdesignedtoprovideinvestorswithexposuretooneor
morematuritiesoffuturescontractsontheCBOEVolatilityIndex(theVIXIndex).

The return on each series of ETNs is linked to the performance of the relevant Index. Each Index seeks to provide investors with exposure to one or
more maturities of futures contracts on the VIX Index, which reflect implied volatility of the S&P 500 at various points along the volatility forward
curve. The calculation of the spot level of the VIX Index is based on prices of put and call options on the S&P 500. Futures on the VIX Index allow
investors the ability to invest in forward volatility based on their view of the future direction of movement of the VIX Index. Each index is intended to
reflect the returns that are potentially available through an unleveraged investment in the futures contract or contracts on the VIX index plus the rate
of interest that could be earned on reinvestment into the Index of the return on the notional value of the Index based on the 3-month U.S. Treasury
rate. The S&P 500 VIX Short-Term Futures Index TR targets a constant weighted average futures maturity of 1 month. The S&P 500 VIX Mid-Term
Futures Index TR targets a constant weighted average futures maturity of 5 months. The Indices were created by S&P Dow Jones Indices LLC
(S&P Dow Jones Indices or the index sponsor). The index sponsor calculates the level of the relevant Index daily when the Chicago Board Options
Exchange, Incorporated (the CBOE) is open.
The VIX Index Is a Theoretical Calculation and Is Not a Tradable Index The VIX Index is a theoretical calculation and cannot be traded on a spot price
basis. The settlement price at maturity of the VIX futures contained in the Index is based on this theoretically derived calculation. As a result the
behavior of the futures contracts may be different from futures contracts whose settlement price is based on a tradable asset.

ImportantRiskInformationTheETNsdonotguaranteeanyreturnofprincipalatmaturityanddonotpayanyinterestduringtheirterm.Instead,youwillreceivea
cashpaymentatmaturityoruponearlyredemptionbasedontheperformanceoftheIndextowhichyourseriesofETNsislinked,lessaninvestorfee(and,inthe
caseofearlyredemption,aredemptioncharge).YoumaylosesomeorallofyourprincipalifyouinvestintheETNs.AnypaymentontheETNsatorpriortomaturity
issubjecttothecreditworthinessofBarclaysBankPLCandisnotguaranteedbyanythirdparty.SeeRiskFactorsbeginningonpagePS10ofthispricing
supplementforrisksrelatingtoaninvestmentintheETNs.

Barclays Bank PLC has filed a registration statement (including a prospectus) with the SEC for the offering to which this
communication relates. Before you invest, you should read the prospectus and other documents Barclays Bank PLC has filed with
the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting
www.iPathETN.com or EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC will arrange for Barclays
Capital Inc. to send you the prospectus if you request it by calling 212-528-7990, or you may request a copy from any other dealer
participating in the offering.

VXXisdistributedbyBarclaysBankPLC
DoubleLineTotalReturnBondFundowns0%ofVXXasofJune13,2017.

61317TRWebcast48
Definitions
BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe
USinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthrough securities,andassetbackedsecurities.These
majorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemainingmaturityofone
yearormore.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebtissuer from
countriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianandglobalbonds(SECregistered)ofissuersinnonEMGcountriesare
included.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.
BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesintheTreasuryandAgency
indices.)
BofAMerrillLynchUS15+YearTreasuryIndexLongTreasuries(G802) ThisindexisasubsetoftheBofAMerrillLynchUSTreasuryIndexincludingallsecuritieswitharemaining
termoffinalmaturitygreaterthan15years..
BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominatedinvestmentgrade
corporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&PandFitch)andan
investmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleastoneyear
remainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocksofU.S.registered
companies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsorcashequivalents.Pleasenotean
investorcannotinvestdirectlyinanindex.
CRBCommodityIndex(CRY) Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.Theindextracksenergy,
grains,industrials,livestock,preciousmetals,andagriculturals.
S&P500(SPX) S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedintheUnitedStates.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow standarddeviationindicated
thatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicatedthatthedateisspreadoutoveralargerangeofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionofaluminum,nickeland
zinc,whichtradeontheLondonMetalExchange(LME).
Copper=CopperSpotPrice(HGI)Copperistheworldsthirdmostusedmetalbehindironandaluminumprimarilyusedinhighlycyclicalindustriesincludingconstructionand
industrialmachinerymanufacturing.SpotpricequotedinUSD/lb.
Gold=GoldSpotPrice(Golds)TheGoldSpotpriceisquotedasUSDollarperTroyOunce.
CrudeOil=Crudeoilvariesgreatlyinappearancedependingonitscomposition.WestTexasintermediate(WTI)=Texaslightsweetcrudeisusedasabenchmarkinoilpricing.Its
lightbecauseofthelowdensityandsweetbecauseoflowsulfur.Brentcrude=Isamajortradingclassificationofsweetlightcrude.BrentistheoilmakeralsoknownasBrent
Blend.
VolatilityIndex(VIX)TheVIXshowsthemarket'sexpectationof30dayvolatility.Itisconstructedusingtheimpliedvolatilitiesofawiderangeof S&P500indexoptions. This
volatilityismeanttobeforwardlookingandiscalculatedfrombothcallsandputs. TheVIXisawidelyusedmeasureofmarket riskandisoftenreferredtoas the"investorfear
gauge".
Spread Spreadisthepercentagepointdifferencebetweenyieldsofvariousclassesofbondscomparedtotreasurybonds.
YieldtoMaturity(YTM) Thediscountrateatwhichthesumofallfuturecashflowsfromthebond(couponsandprincipal)isequaltothepriceofthe bond.TheYTMcalculation
takesintoaccountthebondscurrentmarketprice,parvalue,couponinterestrateandtimetomaturity.Itisalsoassumedthatallcouponpaymentsarereinvestedatthesamerate
asthebondscurrentyield.

61317TRWebcast49
Definitions
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomesticmarket.Qualifying
countriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).
BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,thatispubliclyissued
intheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirthforeigncurrencylongtermsovereigndebt
ratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
BofA MerrillLynchU.S.HighYieldIndex(H0A0)
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifying
securitiesmusthaveabelowinvestmentgraderating(basedonaverageofMoodys,S&PandFitch)atleast18monthstofinalmaturityattimeofissueofissuance,afinalmaturity,a
fixedcouponscheduleandaminimumamountoutstandingof$100MM.
BofA MerrillLynchU.S.HighYieldExcludingEnergy,MetalsandMiningIndex(HXNM)
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket excluding
energy,metalsandmining.
BofA MerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebtpubliclyissuedand
denominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleanda
minimumamountoutstanding.
BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0)
ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepassthroughsecuritiespubliclyissuedbyUSagenciesintheUSdomestic
market.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremainingtermtofinalmaturityanda
minimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyearwithineachgenericcoupon.
BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpoliticalsubdivisions,intheUS
domesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleand aninvestmentgraderating(basedonMoodys,S&P
andFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattimeofissuance.
BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmergingMarketsindexand
thepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas, Europe,MiddleEast,Africa,andAsia.Aswith
otherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthemarketplaceandeasyreplicability.
JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgradecorporatedebt
publiclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageof Moodys,S&PandFitch)andaninvestmentgraderated
countryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securities musthaveatleastoneyearremainingtermtofinal
maturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedasthepercentagebetweenthepeakand
thetrough.
NAV Amutualfund'spricepershareorexchangetradedfund's(ETF)persharevalue.Inbothcases,thepersharedollaramountof thefundiscalculatedbydividingthetotalvalueof
allthesecuritiesinitsportfolio,lessanyliabilities,bythenumberoffundsharesoutstanding.
CMO Atypeofmortgagebackedsecuritythatcreatesseparatepoolsofpassthroughratesfordifferentclassesofbondholderswith varyingmaturities,calledtranches.The
repaymentsfromthepoolofpassthroughsecuritiesareusedtoretirethebondsintheorderspecifiedbythebonds'prospectus
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSareconsideredanextremely
lowriskinvestmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbytheConsumerPriceIndex,whiletheirinterestrate
remainsfixed.
CPI ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodandmedicalcare.
CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.
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Definitions
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCratedHighYieldcredit
only.
BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBratedHighYieldcredit
only.
BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHighYieldcreditonly.
BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBBinvestmentgradecredits.
BofA/MerrillLynchCreditIndexAratedIndex(COA3) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingontheAratedinvestmentgradecredits.
BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAAinvestmentgradecredits.
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpubliclyissuedbytheUS
governmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstanding
of$1billion.
BofAMerrillLynchUS1015YearTreasuryIndexLongTreasuryTheMerrillLynchUS1015TreasuryIndextrackstheperformanceofUSdollardenominated1015yearsovereign
debtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofAMerrillLynchMunicipalIndexTheMerrillLynchMunicipal
BofAMerrillLynchCurrent10yearUSTIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BofAMerrillLynchCurrent30yearUSTIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedontheShanghaiStock
Exchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100.
S&P/CaseShillerCompositeHomePriceIndex TheCaseShillerHomePriceIndices,onecomprisedofpricechangeswithinall20metropolitanmarkets,andanothercomprisedof
pricechangeswithinthefollowingsubsetof10metropolitanmarkets:Boston,Chicago,Denver,LasVegas,LosAngeles,Miami, NewYork,SanDiego,SanFranciscoandWashington
DC.Inadditiontothose10markets,the20HomePriceindexreflectspricechangesforAtlanta,Charlotte,Dallas,Detroit,Minneapolis,Phoenix,Portland,SeattleandTampa.
NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedover thecounterstocks.Createdin1971,the
Nasdaqwastheworld'sfirstelectronicstockmarket.
Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureand distributionofcapitalgoods,
includingaerospace&defense,construction,engineering&buildingproducts,electricalequipmentandindustrialmachinery
Utilities Apublicutilityisabusinessthatfurnishesaneverydaynecessitytothepublicatlarge.Publicutilitiesprovidewater,electricity,naturalgas,telephoneservice,andother
essentials.Utilitiesmaybepubliclyorprivatelyowned,butmostareoperatedasprivatebusinesses.
BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument.
REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebtsecurities,priorto
maturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
ISM=ISMManufacturingIndexisbasedonasurveyof300manufacturingfirmsbytheInstituteofSupplyManagement.
DXY=U.S.dollarspotindexindicatesthegeneralinternationalvalueoftheUSdollarbyaveragingtheexchangeratesbetweentheUSDandmajorworldcurrencies.
PE =price/earningsratioistheratioofvaluingacompanythatmeasuresitscurrentsharepricerelativetotispershareearnings
S&PLowVolatilityTR =TheS&P500LowVolatilityIndexisdesignedtomeasuretheperformanceofthe100leastvolatilestocksoftheS&P500Index Volatilityisdefinedasthe
standarddeviationofthesecuritycomputedusingthedailypricereturnsover252tradingdays.
MSCIUSAMinimumVolatilityGrossTR IndexisdesignedtoreflecttheperformanceofaminimumvarianceequitystrategybyoptimizingatraditionalcapweightedparentMSCI
Indextoattainthelowestlevelofvolatilityforasetofconstraints.

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Definitions
BofA/MerrillLynchInflationLinkedIndex(G0Q1) TheBofA MerrillLynchUSInflationLinkedTreasuryIndextrackstheperformanceofUSdollardenominatedinflationlinked
sovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The priceofeachissueinthe
USLSIisadjustedbyusinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbythe inflationindexlevelatthetimeofissueofthesecurity.The
inflationindexispublishedonamonthlybasis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
BarclaysCapitalCMBSIndex trackstheperformanceofUSdollardenominatedsecuritizedcommercialmortgagebackedsecurities.
Russell2000 measurestheperformanceofthesmallcapsegmentoftheUSequityuniverse.Russell2000isasubsetoftheRussell3000indexrepresentingapproximately10%of
thetotalmarketcapitalizationofthatindex.
S&PGSCI isacompositeindexofcommoditysectorreturnrepresentinganunleveraged,longonlyinvestmentincommodityfuturesthatisbroadlydiversifiedacrossthespectrum
ofcommodities.
S&PGSCIAgriculture isacompositeindexofagriculturecommodityfuturesunleveraged,longonlyinvestment.
BarclaysCapitalUS30YearTIPSIndex .BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
CitigroupEconomicSurpriseIndex .TheCitigroupEconomicSurpriseIndicesareobjectiveandquantitativemeasuresofeconomicnews.Theyaredefinedasweightedhistorical
standarddeviationsofdatasurprises(actualreleasesvsBloombergsurveymedian).ApositivereadingoftheEconomicSurpriseIndexsuggeststhateconomicreleaseshaveon
balancebeatingconsensus.Theindicesarecalculateddailyinarollingthreemonthwindow.TheweightsofeconomicindicatorsarederivedfromrelativehighfrequencyspotFX
impactsof1standarddeviationdatasurprises.Theindicesalsoemployatimedecayfunctiontoreplicatethelimitedmemory of markets.
DAX ThisindexistheGermanStockIndexisatotalreturnindexof30selectedGermanbluechipstockstradedontheFrankfurtStockExchange.
CAC40 ThisindexthemostwidelyusedindicatoroftheParismarket,reflectstheperformanceofthe40largestequitieslistedinFrance,measuredbyfreefloatmarket
capitalizationandliquidity.
FTSE100 Isacapitalizationweightedindexofthe100mosthighlycapitalizedcompaniestradedontheLondonStockExchange.
Nikkei225 TheNikkei225Stockaverageisapriceweightedaverageof225topratedJapanesecompanieslistedintheFirstSectionofthe TokyoStockExchange.
ESTX50 EuroSToxx 50indexisEuropesleadingbluechipindexfortheEurozone,providesabluechiprepresentationofsupersector leadersintheEurozone.
MerrillLynchOptionMOVEIndex MerrillLynchOptionVolatilityEstimateisaweightedindexofthenormalizedimpliedvolatilityon1monthTreasuryoptions.
MSCIUSAMinimumVolatility TheindexiscalculatedbyoptimizingtheMSCIUSAindex,itsparentindex,inUSDforthelowestabsoluterisk(withingiven constraints).
BarclaysU.S.HighYieldIndex Anindexthatiscomposedoffixedrate,publiclyissued,noninvestmentgradedebt.
BarclaysEuroCorporateIndex AsubsetoftheBarclaysEuroAgg measurestheinvestmentgrade,eurodenominated,fixedratebondmarket,includingtreasuries,government
related,corporateandsecuritizedissues.
BarclaysEuroHighYieldIndex Measuresthemarketofnoninvestmentgrade,fixedratecorporatebondsdenominatedinEuro.Inclusionisbasedonthecurrencyofissue,and
notthedomicileoftheissuer.
JPMorganCorporateEMBIBroadDiversifiedIndex(JBCDCOMP) Thisindextracksabroadbasketofperformanceofinvestmentgradecorporatedebt,includingsmallerissues
coveringawiderarrayofpublicallyissuedacrossarangeofemergingmarketcountries.
JPMorganCorporateEmergingMarketIndex(JCMHCOR) Thisindexisaliquidbasketofemergingmarketscorporateissueswhichinclude80bonds,representing60issuersand16
countries.Ithasstrictliquiditycriteriaforinclusioninordertoprovidereplicability,tradability,robustpricinganddataintegrity.
JPMorganGlobalBondIndexexEM(JGAGGUSD) isacomprehensiveglobalinvestmentgradebenchmarkexcludingemergingmarkets.
JPMorganEMBondIndexGlobalDiversified trackstotalreturnsfortradedexternaldebtinstrumentsintheemergingmarketslimitingtheweightsofthoseindexcountrieswith
largerdebtstocksbyonlyincludingaspecifiedportionofthesecountrieseligiblecurrentfaceamountsofdebtoutstanding..
BarclaysU.S.CorporateIndex IsasubsetoftheBarclaysU.S.Aggregateindexwhichisabroadbasedflagshipbenchmarkthatmeasurestheinvestmentgrade,U.S.dollar
denominated,fixedratetaxablebondmarket.ITincludesTreasuries,governmentrelatedandcorporatesecurities,MBS,ABSandCMBS.Thissubsetrepresentstheinvestment
gradeportionofthatindex.

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Disclaimer

ImportantInformationRegardingThisReport
Thisreportwaspreparedasaprivatecommunicationandwasnotintendedforpubliccirculation.Clientsorprospectsmayauthorizedistributiontotheir
consultantsorotheragents.

Issueselectionprocessesandtoolsillustratedthroughoutthispresentationaresamplesandmaybemodifiedperiodically.Suchchartsarenottheonlytoolsused
bytheinvestmentteams,areextremelysophisticated,maynotalwaysproducetheintendedresultsandarenotintendedforusebynonprofessionals.

DoubleLinehasnoobligationtoproviderevisedassessmentsintheeventofchangedcircumstances.Whilewehavegatheredthisinformationfromsources
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clientsaccount,ormarketorregulatorydevelopments.

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