1 Source: Bloomberg L.P.

2 JP Morgan as of July 1, 2015

Important information

Spread represents the difference between two values.

A basis point is one hundredth of a percentage point.

Duration, which measures the price sensitivity of a fixed income investment to interest rate changes, is the number of years it will take a bond’s cash flow to repay an investor the bond’s purchase price.

The Barclays US Corporate High Yield 2% Issuer Capped Index is an unmanaged index that covers US corporate, fixed-rate, noninvestment-grade debt with at least one year to maturity and $150 million in par outstanding.

The S&P/LSTA Leveraged Loan Index is a weekly total return index that tracks the current outstanding balance and spread over Libor for fully funded term loans

The S&P 500 Index is an unmanaged index considered representative of the US stock market.

The U.S. Broad Investment-Grade Bond Index (USBIG) tracks the performance of US dollar-denominated bonds issued in the US investment-grade bond market. Introduced in 1985, the index includes US Treasury, government-sponsored, collateralized, and corporate debt and provides a reliable representation of the US investment-grade bond market. The index provides exposure to a broad array of asset classes, and many sub-indices are available including the USBIG Mortgage, USBIG Agencies, USBIG Treasuries, and USBIG Corporates Indices.

The J.P.Morgan US High Yield Index is designed to mirror the investible universe of the US high yield corporate debt market, including issues of US and Canadian domiciled issuers.

Fixed income investments are subject to credit risk of the issuer and the effects of changing interest rates. Interest rate risk refers to the risk that bond prices generally fall as interest rates rise and vice versa. An issuer may be unable to meet interest and/or principal payments, thereby causing its instruments to decrease in value and lowering the issuer’s credit rating.

Junk bonds involve a greater risk of default or price changes due to changes in the issuer’s credit quality. The values of junk bonds fluctuate more than those of high quality bonds and can decline significantly over short time periods.