FTSE Russell Factsheet

Data as at: June 2023

Russell 3000® Fixed Income Index –Credit | US dollar
The Russell 3000® Fixed Income Index is a multi-sector benchmark tracking investment-grade and high-yield USD corporate bonds issued by the U.S.
public companies that are also members of the Russell 3000 Index and their U.S. subsidiaries. The Russell 3000 Fixed Income Index derives its issuers
from the members of the Russell 3000 Index and is aligned to Russell 3000 through annual reconstitution and quarterly reviews. The index is also
rebalanced monthly. Sub-indices are available in any combinations of investment-grade, high-yield, maturity, rating, and industry classification, tracked
under both GLIC/COBS and ICB frameworks. Sub-indices based on issuer universe and membership in Russell 1000® and Russell 2000® indices arealso available.
Index Profile# of issues

Par amount*Market value*

Market weight(%)

Averagecoupon (%)

Average life(years)

Yield tomaturity (%)

Effectiveduration

OAS (bps)

Russell 3000 Fixed Income Index

7,168

6,126.91

5,688.82

100.00

3.98

10.95

5.32

7.07

155

Russell 1000 Fixed Income Index

6,546

5,798.89

5,397.53

94.88

3.89

11.24

5.16

7.23

140

Russell 2000 Fixed Income Index622

328.02291.29

5.12

5.55

5.69

8.27

4.15

445

Investment-grade

6,047

5,310.48

4,947.37

86.97

3.75

11.75

4.96

7.50

120

High-yield

1,121

816.42741.45

13.03

5.50

5.71

7.73

4.20

392

1-3 years

1,233

1,066.23

1,045.60

18.38

3.62

2.01

5.21

1.82

91

3-5 years

1,242

1,123.57

1,072.39

18.85

3.85

3.97

5.40

3.47

163

5-7 years

1,055

830.34771.17

13.56

4.205.93

5.81

4.96

218

7-10 years

1,215

1,097.12985.10

17.32

3.55

8.23

5.26

6.79

177

10+ years

2,423

2,009.64

1,814.57

31.90

4.39

23.14

5.16

13.27

150

Industrial

4,171

3,561.75

3,304.74

58.09

4.13

11.19

5.45

7.13

169

Utility

1,284

837.90762.13

13.40

3.91

14.73

5.18

8.98

148

Finance

1,713

1,727.26

1,621.95

28.51

3.71

8.62

5.11

6.04

132

Description* In USD billions

Industry Classification Benchmark (ICB) and Quality Composition (Market Weight %)Financials

22.37

Consumer Discretionary

12.91Industrials

12.00

Health Care

9.45

Utilities

9.15

Technology

8.81

Telecommunications

32.08%

47.68%

6.05%
1.15%

7.39

Energy5.61

Consumer Staples

5.58

Real Estate

4.78

Basic Materials

BBB

1.96
05

1015

2025

AAAAAA

Index Quality: Index quality is defined to be the rating assigned by Standard
and Poor’s Financial Services LLC (“S&P”) when it exists. If a bond is not
rated by S&P but it is rated by Moody’s Investor Service, Inc (“Moody’s”), theS&P equivalent of the Moody’s rating is assigned. If a bond is split-rated, thatis rated investment grade by S&P or Moody’s and high yield by the other,
index quality is taken to be S&P equivalent of the investment grade rating.

Source: FTSE Russell as of January 31, 2023. Past performance is no guarantee of future results.
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.

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Russell 3000® Fixed Income Index – Credit | US dollar

Data as at: June 2023

Historical Index LevelOption Adjusted Spread

Top 10 Issuers (By Market Weight)# of issues

Par amount*Market value*

Market weight(%)

Averagecoupon (%)

Average life(years)

Yield tomaturity (%)

Effectiveduration

OAS (bps)

BANK OF AMERICA CORP

74

185.43172.21

3.03

3.43

8.07

5.02

5.84

122

JPMORGAN CHASE & CO

77

167.63157.56

2.77

3.46

7.94

4.95

5.75

113

MORGAN STANLEY

54

122.58115.95

2.04

3.55

6.99

5.00

5.30

119

CITIGROUP INC

59108.57104.65

1.84

3.85

7.31

5.06

5.45

128

GOLDMAN SACHS GROUP INC

45109.80104.08

1.83

3.60

7.37

5.02

5.56

121WELLS FARGO & CO

44

101.00

97.01

1.71

3.85

9.82

4.98

6.64

119

APPLE INC

48

87.75

78.76

1.38

2.83

13.75

4.36

8.54

55

AT&T INC

51

90.38

78.23

1.38

3.74

19.56

5.22

10.65

155

VERIZON COMMUNICATIONS INC

46

84.60

74.54

1.31

3.41

15.51

4.86

9.39

121

COMCAST CORP

57

80.74

72.14

1.27

3.72

17.37

4.69

9.90

99

Description* In USD billions

Design Criteria and Calculation Methodology
Coupon:Fixed-rate, fixed-to-floating rate, zero coupon and fixed-rate bonds that step up according to a predetermined schedule

Currency:

USD

Minimum maturity:

At least one year
Fixed-to-floating rate bonds are removed one year prior to the fixed-to-floating rate start date

Minimum size outstanding:

USD 250 million

Minimum quality:

C by S&P and Ca by Moody’s (excludes defaulted and non-rated bonds)

Weighting:Market capitalization

Rebalancing:Once a month at month end

Reinvestment of cash flows:

Intra-month cash flows from interest and principal payments are not reinvested as part of monthly index total return calculations

Pricing:

LSEG Data & Analytics

Calculation frequency:Daily

Settlement date:Monthly – Settlement is on the last calendar day of the month
Daily – Same day settlement, except if the last business day of the month is not the last calendar day of the month; then, settlement is on the last calendar day of the monthBase date:

December 31, 2012

Vendor Codes
SBRFIU

Russell 3000 Fixed Income Index, in USD terms

SBR1FIGz

Russell 1000 Fixed Income Index, in GBP terms

SBRFIE

Russell 3000 Fixed Income Index, in EUR terms

SBR2FIU

Russell 2000 Fixed Income Index, in USD terms

SBRFIG

Russell 3000 Fixed Income Index, in GBP terms

SBR2FIE

Russell 2000 Fixed Income Index, in EUR terms

SBR1FIU

Russell 1000 Fixed Income Index, in USD terms

SBR2FIG

Russell 2000 Fixed Income Index, in GBP terms

SBR1FIE

Russell 1000 Fixed Income Index, in EUR terms

Source: FTSE Russell as of January 31, 2023. Past performance is no guarantee of future results.
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.

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Russell 3000® Fixed Income Index – Credit | US dollar© 2023 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE InternationalLimited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited(together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) The Yield Book
Inc (“YB”) and (7) Beyond Ratings S. A. S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”,“FTSE4Good®”, “ICB®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered orunregistered) are trademarks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and areowned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB or BR. FTSE International Limited is authorised andregulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, fromsources believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, suchinformation and data is provided “as is” without warranty of any kind. No member of the LSE Group nor their respective directors, officers, employees,
partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the accuracy, timeliness,completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited to indexes,
data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation ofhistorical data accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.

No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors
for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involvedin procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or dataor from use of this document or links to this document or (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if any
member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information. No
member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing contained
herein or accessible through FTSE Russell products, including statistical data and industry reports, should be taken as constituting financial or investment
advice or a financial promotion.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not
represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented
prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test
calculations are based on the same methodology that was in effect when the index was officially launched. However, back-tested data may reflect theapplication of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based onrevisions to the underlying economic data used in the calculation of the index.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical,
photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSEGroup data requires a licence from FTSE, Russell, FTSE Canada, Mergent, FTSE FI, YB, BR and/or their respective licensors.

Data as at: June 2023

Data definitions available fromfi_index@ftserussell.com
To learn more, visit lseg.com/ftse-russell;email fi_index@ftserussell.com; or call yourregional Client Services Team office:
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Source: FTSE Russell as of January 31, 2023. Past performance is no guarantee of future results.
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.

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