1. D UTCH C OMMISSION ON B ONDS A Standing Committee of Dutch Society of Financial Analysts, VBA London October 16th, 2003 Vereniging van Beleggingsanalisten High Yield Bond Indices Introduction Objectives Features of High Yield Market Benchmark Selection Criteria HY Benchmark Analyzed Constrained Indices Final Remarks

2. “ You cannot please everyone, but constructing a High Yield Bond Index, seems to please nobody … ” I NTRODUCTION October 2003

3. Foundation of EMU Expansion of credit horizon (beyond Investment Grade) Moderate inflation and interest rate environment I NTRODUCTION October 2003

4. Source: Merrill Lynch USD and Euro High Yield Indices

5. O BJECTIVES October 2003 To provide a fair, non-judgmental and transparant comparison of HY Bond Benchmark Indices Not to judge the attractiveness of the HY market Not to give outspoken recommendations

6. F EATURES OF H IGH Y IELD M ARKET October 2003 Low correlation with other asset classes Both original HY issues & “fallen angels” Public, non-convertible bonds, issued by corporates not being in default

7. L OW C ORRELATION October 2003 Source: PIMCO, Merrill Lynch & Co., Loan Pricing Corporation, Standard & Poor’s, Russell Indices

8. B ENCHMARK S ELECTION C RITERIA October 2003 Quality of the index Transparency Availability Consistency Flexibility Practical usefulness of the index Replicability & Investibility Representativeness Relevancy Acceptance

9. Index Providers CSFB JP Morgan Lehman Brothers Merrill Lynch Citigroup HY B ENCHMARKS A NALYZED October 2003

11. Criteria Eligible Currency Maturity Domicile and Market Type Coupon Type and Structure Rating Size Construction Methodology and Pricing Data Sources and Availability Returns and Composition

12. C ONSTRAINED I NDICES October 2003

13. F INAL R EMARKS October 2003 Constrained Indices Control maximum weights Seasoning Conclusions No outspoken recommendations due to diversity Booklet meant to be a useful tool for structuring the benchmark selection process and sorting out the implications of a certain choice Dialogue needs to be continued in order to improve the quality of benchmarks

14. Telephone/e-mail Rolf-Pieter ter Horst + 31 20 563 8048 rolf-pieter.ter.horst@ingbank.com Chairman Jurgen Aarts + 31 30 257 6183 jurgen.aarts@fortis.com Vice Chairman Irene Ruis + 31 30 232 9212 iruis@spfbeheer.nl Secretary Koos ‘t Hart + 31 20 583 4484 j.thart@sfbgroep.nl Advisor Internet Dutch Society of Financial Analysts (VBA) & www.nvba.nl Dutch Commission on Bonds (DCB) I NFORMATION October 2003