S-Network Municipal Bond Closed-End Fund Index...© 2020 S-Network Global Indexes, 267 Fifth Avenue,...

© 2020 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.

S-Network Municipal Bond Closed-End Fund Index

Q2 2020


Index Overview

q A Diversified Portfolio of 62 Municipal Bond Closed-End Fundsq Targets Federal Income Tax Exempt Yieldq All US-Registered Funds q Modified Net Asset-Weighted Methodologyq Multiple Qualitative Screens

§ Discount§ Expense Ratio

q Screened for Liquidityq Designed to Take Advantage of Inefficiencies in the Closed-End Fund Market

CEFMX Provides Diversified Exposure to a Broad Range of High Quality Municipal Bond Closed-End Funds.

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Key Features

q Diversification q Professional Managementq Efficient Portfolio Managementq Periodic Distributionsq Yield Exempt From Federal Income Taxesq Opportunity to Buy at a Discountq Leverage Potentialq Lower Expense Ratios

CEFMX Provides an Effective Benchmark for US Municipal Bond Closed-End Funds.

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Index Rationale

q Diversification by Asset Classq Diversification by Investment Strategyq Diversification by Managerq High Current Yieldq Yield Exempt From Federal Income Taxesq High Current Discount to NAV

CEFMX Substantially Diminishes the Risks Implied in Owning a Single Municipal Bond Closed-End Fund While Providing High Current Yields Tax Free.

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Index Constituents and Performance


Historical Performance vs. Benchmark

Source: Bloomberg as of 6/30/2020

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0

500

1000

1500

2000

2500

3000

Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19

S-Network Municipal Bond Closed-End Fund TR vs. S&P National AMT-Free Municipal Bond TR(8/31/2007–6/30/2020)

SNET Muni Bond CEF TR Index S&P Natl AMT-Free Muni Bond TR


Index Rationale – Sector Breakdown

CEFMX Diversifies Risk by Including Municipal Bond Closed-End Funds that Employ Differing Investment Strategies and Use Different Levels of Leverage to Increase Yield.

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Leveraged83.94%

Unleveraged7.81%

Leveraged High Yield6.63%

Unleveraged High Yield

1.62%

S-Network Municipal Bond Closed-End Fund Index:Sector Distribution


Index Rationale – Manager Breakdown

CEFMX Also Diversifies Risk by Manager and Includes the Leading Fixed Income Closed-End Fund Managers in the US.

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Nuveen42.34%

BlackRock25.48%Invesco

12.21%Eaton Vance5.54%

BNY Mellon3.07%

Legg Mason2.07%

Others9.30%

S-Network Municipal Bond Closed-End Fund Index:Manager Distribution


Index Rationale – Yield

With a Current Yield of 4.61%, CEFMX Indicates a Higher Yield Tax Free than Most Other Classes of Fixed Income Investments, Including Government and Corporate Bonds.

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Source: US Dept. of the Treasury as of 6/30/2020

0.16%

0.49%0.66%

4.61%

0.10%0.32% 0.43%

4.61%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

1-Year US Treasury 7-Year US Treasury 10-Year US Treasury CEFMX

Current Yields

Pre-Tax Yield After Tax Yield


Index Rationale – Discount/Premium

CEFMX’s Current Market Value Trades at a Discount to Net Asset Value of -8.12%.


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-5.56%

-4.50%

-5.91%

-4.20%-4.20%

-2.37%-3.36%

-5.23%

-9.51%

-4.98%-5.31%

-10.43%

-12.40%

-6.87%

-5.31%

-2.87%-3.50%

-1.00%

0.48%

1.74%

-3.16%

-0.76%-1.20%-1.25%

1.61%

-0.58%

1.50%

3.18%

-0.90%

-1.78%

-3.74%

-6.36%

-7.29%-6.87%

-6.71%

-8.93%

-7.96%-6.98%

-9.61%

-8.78%

-6.46%

-4.10%

-2.48%-2.75%

-4.93%-4.88%

-4.00%-4.12%

-5.67%

-8.93%-8.64%-9.18%

-11.71%

-7.25%-6.52%

-5.40%-5.01%

-7.99%-8.12%

-14.00%

-12.00%

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19

S-Network Municipal Bond Closed-End Fund Index: Historical Discounts/Premiums


Index Construction


Index Construction – Eligibility

q A Total Universe of ~100 Municipal Bond Closed-End Funds

q Must Be Registered in the United States

q Minimum Market Capitalization for Inclusion = $100 million

q Fund Must be Listed on Regulated Exchange (No OTCs)

q At Least 95% of Index Weight Must Be Allocated to Funds That Have 3-Month ADTV >$500,000

q Total Expense Ratio Must Be Below Threshold§ Threshold varies based on current US Federal Funds Effective Rate

q Funds Trading at Premiums > 20% Eliminated

CEFMX is Rules Based, Providing a Fair and Accurate Measure of the Municipal Bond Closed-End Fund Sector.

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Index Construction – Weighting

q Weights Based on Net Assetsq Net Assets Adjusted for Premium/Discount

q Increases in Fund Net Assets for Funds Trading at a Discount*§ Discount > 6% = 30% Increase in Net Assets§ Discount > 3% and < 6% = 20% Increase in Net Assets

§ Discount > 0% and < 3% = 10% Increase in Net Assets

q Decreases in Fund Net Assets for Funds Trading at a Premium*§ Premium > 6% = 30% Decrease in Net Assets§ Premium > 3% and < 6% = 20% Decrease in Net Assets

§ Premium > 0% and < 3% = 10% Decrease

q Funds Capped at 8% Index Weightq Combined Weight of Funds with Weights over 5% Capped at 45%

CEFMX’s Unique Weighting Methodology Accords Higher Weights to Municipal Bond Closed-End Funds that Trade at Discounts.

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Fund Name Ticker Sector Weight AUM

Nuveen AMT-Free Quality Municipal Income Fund NEA UN Leveraged 8.03% 3.87 Billion USD

Nuveen Quality Municipal Income Fund NAD UN Leveraged 7.96% 2.97 Billion USD

Nuveen AMT-Free Municipal Credit Income Fund NVG UN Leveraged 7.93% 3.26 Billion USD

Nuveen Enhanced Municipal Credit Income Fund NZF UN Leveraged 5.96% 2.10 Billion USD

BlackRock Municipal 2030 Target Term Trust BTT UN Leveraged 4.74% 1.68 Billion USD

Nuveen Municipal Value Fund Inc NUV UN Unleveraged 4.69% 2.11 Billion USD

BlackRock MuniYield Quality Closed Fund III MYI UN Leveraged 2.87% 887.32 Million USD

Eaton Vance Municipal Bond Closed Fund EIM UN Leveraged 2.80% 963.42 Million USD

Invesco Municipal Opportunity Trust VMO UN Leveraged 2.33% 799.54 Million USD

Invesco Value Municipal Income Closed Fund IIM UN Leveraged 2.20% 679.97 Million USD

Top Ten Holdings

CEFMX Includes Many of the Largest Municipal Bond Closed-End Funds on the Market Today.

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Capitalization Profile

With an Average Market Capitalization of Approximately $632.80 Million, CEFMX Offers a Broad Spectrum of Fund Sizes.

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Number of Constituents 62

Total Market Capitalization 39.23 Billion USD

Largest Market Capitalization 3.87 Billion USD

Smallest Market Capitalization 146.89 Million USD

Average Market Capitalization 632.80 Million USD

Median Market Capitalization 382.00 Million USD

S-Network Municipal Bond Closed-End Fund Index: Market Capitalization Profile



Summary – Index Features and Benefits

CEFMX Offers Multiple Forms of Diversification that Help Diminish Specific Risks, while Providing High Current Yield and High Current Discount.

Feature Benefit

Asset Diversification Index constituents hold various types of municipal bond closed-end funds, including leveraged, unleveraged, leveraged high yield and unleveraged high yield.

Strategy Diversification Index constituents employ a wide range of trading strategies that diversify specific fund risk.

Manager Diversification Constituent municipal bond closed-end funds employ a wide range of managers, including some of the leading fixed income managers in the world.

High Current Yield At 4.61%, CEFMX offers yields substantially higher than most fixed income investments.

High Current Discount At -8.12%, CEFMX currently trades at a low valuation – exceeded only in times of severe market disruption.

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Statistical Profiles


Statistical Profile I

CEFMX Includes Many of the Largest Closed-End Funds on the Market Today.

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CEFMXTR SPMUNUST

Since Inception* 136.25% 71.69%

10 Year 83.18% 48.55%

5 Year 34.05% 20.65%

3 Year 12.41% 12.73%

1 Year 1.85% 4.23%

Total Return Appreciation

CEFMXTR SPMUNUSTSince Inception* 6.93% 4.30%

10 Year 6.24% 4.04%

5 Year 6.04% 3.83%

3 Year 3.98% 4.08%

1 Year 1.85% 4.23%

Compound Annual Growth Rate

*S&P AMT National AMT-Free Municipal Bond Index inception date of 8/31/2007Source: Bloomberg as of 6/30/2020


Statistical Profile II

CEFMX Includes Many of the Largest Closed-End Funds on the Market Today.

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CEFMXTR SPMUNUST

Since Inception* 12.30% 4.70%

10 Year 9.27% 3.98%

5 Year 8.80% 3.67%

3 Year 9.47% 3.83%

1 Year 13.12% 5.81%

Source: S-Network as of 6/30/2020

Annualized Standard Deviation

CEFMXTR SPMUNUSTSince Inception* 0.5494 0.7715

10 Year 0.6351 0.8625

5 Year 0.5805 0.7283

3 Year 0.2829 0.6272

1 Year 0.1052 0.5242

Sharpe Ratio

*S&P AMT National AMT-Free Municipal Bond Index inception date of 8/31/2007


Data Sources and Availability

q Rule Book Available at: www.closedendfundindex.comq Historic Data and Portfolio Snapshots at: www.closedendfundindex.com

and various data vendorsq Constituent Data Available at: www.closedendfundindex.com and various

data vendorsq Back Test Data from December 31, 2005q Live Data from October 29, 2009q Real Time Price Index Values in USD q EOD Total Return Index Values in USD

Extensive and Detailed Data Will be Available on CEFMX to Support Analysis and Investment.

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http://www.closedendfundindex.com




S-Network Indexes – Company History

q S-Network Global IndexesS-Network Global Indexes, Inc. is a publisher and developer of proprietary and custom indexes. S-Network began publishing indexes in 2006 and currently publishes over 350 indexes, which serve as the underlying universes and portfolios for financial products with approximately USD 4 billion in assets under management. S-Network indexes, which are supported by a state-of-the-art technology platform, are known for their transparency and efficiency.S-Network is a leader in socially responsible investment, publishing best-practice benchmark indexes in collaboration with Thomson Reuters. S-Network published the first global alternative energy and water indexes, which today serve as the recognized benchmarks for those sectors worldwide. In addition to publishing socially responsible indexes, S-Network produces proprietary environmental, social and governance ratings on nearly 5,000 public companies worldwide.S-Network publishes a comprehensive suite of benchmark indexes covering US, European, Pacific Basin and emerging markets companies and mirroring the performance characteristics of the most popular indexes. The benchmark series offers detailed historical data, including daily constituent level data, from December 31, 1999 to the present. S-Network benchmarks serve as starting universes for smart beta indexes, as institutional-quality performance benchmarks, and as bases for Separately Managed Accounts.S-Network is a prominent provider of smart beta indexes that incorporate both standard market statistics, as well as unique and highly specialized proprietary data sets derived from non-traditional sources. Smart beta indexes developed by S-Network embrace powerful single-factor models as well as complex multi-factor models that incorporate over 200 discrete factors. All indexes developed by S-Network address and resolve issues such as liquidity, investability and index turnover characteristics.For more information please visit http://www.snetglobalindexes.com

q Paul MazzilliPaul most recently served as an Executive Director at Morgan Stanley, which he joined in 1975. From 1997 to 2008, Paul was Director of Morgan Stanley’s ETF Research team covering index-linked ETFs and actively managed closed-end fund companies. Paul also spent five years in Equity Capital Markets Services. Paul’s team was the first to provide research coverage on index-linked ETFs and won many awards, including the Most Useful ETF Research in the U.S. Every Year Since Inception in 2004 at the annual ETF Global Awards Conference and the Best Research Team for Exchange-Traded Funds in 2007 at the 7th Annual Capital Link Forum on Closed-End Funds and ETFs in April 2008.

CEFMX Was Developed by S-Network, a Leading Provider of Thematic Indexes and Paul Mazzilli, One of America’s Leading Closed-End Fund Analysts.

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http://www.snetglobalindexes.com/

S-Network Municipal Bond Closed-End Fund Index...© 2020 S-Network Global Indexes, 267 Fifth Avenue,...

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Transcript of S-Network Municipal Bond Closed-End Fund Index...© 2020 S-Network Global Indexes, 267 Fifth Avenue,...