IC00, total return

ICE BofA Merrill Lynch Global Emerging Markets Credit Index tracks the performance of USD and EUR denominated emerging market quasi-government and corporate debt publicly issued in the eurobond or US domestic market. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Fitch) and a below investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings). Issuers with a country of risk that is not rated, or that is rated “D” or “SD” by one or several rating agencies, qualify for the Index. In addition, qualifying securities must have at least one year remaining term to final maturity, at least 18 months to final maturity at point of issuance, a fixed coupon schedule and a minimum amount outstanding of USD 250 million or EUR 250 million. Original issue zero coupon bonds, "global" securities (debt issued simultaneously in the eurobond and domestic bond markets), 144a securities (both with and without registration rights), corporate pay-in-kind securities, including toggle notes, qualify for inclusion in the Index. Callable perpetual securities qualify provided they are at least one year from the first call date. Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. Contingent capital securities (“cocos”) are excluded, but capital securities where conversion can be mandated by a regulatory authority, but which have no specified trigger, are included. Other hybrid capital securities, such as those issues that potentially convert into preference shares, those with both cumulative and non-cumulative coupon deferral provisions, and those with alternative coupon satisfaction mechanisms, are also included in the index. Equity-linked, legally defaulted and euro legacy currency securities are excluded from the Index. Index constituents are market capitalization weighted. Accrued interest is calculated assuming next-day settlement. Cash flows from bond payments that are received during the month are retained in the index until the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the index. The index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. New issues must settle on or before the calendar month end rebalancing date in order to qualify for the coming month. No changes are made to constituent holdings other than on month end rebalancing dates.