TFI Fund Description

The SPDR Nuveen Barclays Municipal Bond ETF tracks a market weighted index of long term tax-exempt US bond market.

TFI ETF.com Insight

TFI provides exposure to the US municipal bond market at low expense ratio, but the fund takes some significant bets that haven’t fared well lately. TFI tilts toward higher-qualitythe fund takes on more interest-rate risk than our benchmark securities with a weighted average credit rating of AA. However, the fund takes on more interest-rate risk as shown by longer duration than our benchmark. TFI’s lower credit risk apparently dominates higher interest-rate risk, resulting in a lower YTM relative to our benchmark. Still, TFI trades well, tracks its index well and charges the segment’s lowest fee. For those who find TFI’s tilts agreeable, it’s a solid offering. (Insight updated 09/30/2014)

1 Year

Performance [as of 12/18/14]
1 Month
3 Month
YTD
1 Year
3 Years
5 Years
10 Years

TFI
0.91% 1.73% 9.14% 8.76% 4.07% 4.73% --

TFI (NAV)
0.83% 1.58% 8.84% 8.65% -- -- --

-- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

TFI Top 10 Countries

TFI Top 10 Sectors

TFI Top 10 Holdings

TFI Summary Data

Issuer SSgA

A company that produces and manages ETFs.

Inception Date 09/11/07

The first date of a fund's operations, as documented by the issuer.

Legal Structure Open-Ended Fund

The organizational structure of the fund or ETN.

Expense Ratio 0.23%

The net total annual fee a fund holder pays to the issuer.

Assets Under Management $1.18 B

The market value of total assets that a fund has accumulated and now manages on behalf of investors.

Average Daily $ Volume $7.01 M

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

(60-Day) | The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 60 days, as a percent." href="javascript:void(0)" class="term">Average Spread (60-Day) 0.05%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 60 days, as a percent.

TFI Portfolio Data

Duration 7.4

Price sensitivity in percentage to a 100 basis point parallel shift (up or down) in interest rates.

Weighted Avg. Maturity 12.2 Years

The weighted average of remaining time until maturity for all securities in the portfolio.

Yield to Maturity 2.61%

The weighted average yield if all securities in the portfolio were held until maturity. Assumes that interest can be reinvested at YTM rate.

Next Ex-Dividend Date 12/29/14

The date on which a security's price excludes an upcoming dividend.

Number of Holdings 423

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

TFI Index Data

Index Tracked Barclays Municipal Managed
Money Index

This is the benchmark an ETF is desigend to track or replicate.

Index Weighting Methodology Market Value

A set of rules that the underlying index provider follows to weight its constituent securities.

Index Selection Methodology Market Value

A set of rules that the underlying index provider follows to select its constituent securities.

Segment Benchmark Barclays Municipal Bond Index

This is the index that we have chosen as the best-in-class gauge for each segment's broad market.

Related ETFs to TFI

Top Competing ETFs MUB, PRB, PZA

ETFs from within the same segment or closely related segments with similar investment objectives or market exposures.

TFI Commentary & News

22 October 2014
Bond ETFs | ETF.com
20 October 2014
Muni ETFs | ETF.com

TFI ETF.com Efficiency Insight

TFI’s 23 bp expense ratio makes it one of the cheapest offering in the US municipals segment. However, advertised fee doesn’t tell the old story. Sloppy tracking elevates true period holding cost. Assets are massive. Like some peers, TFI suffers from some tax inefficiency—the fund has made annual cap gains payouts in recent years. Still, it’s highly efficient overall. (Insight updated 09/30/2014)

Total Return - 09/30/2014

Performance [as of 09/30/14]
1 Month
3 Month
YTD
1 Year
3 Years
5 Years
10 Years

TFI
0.20% 1.96% 8.19% 8.42% 4.34% 4.34% --

TFI (NAV)
-0.07% 1.72% 7.78% 7.94% 4.14% 4.35% --

Barclays Municipal Managed Money Index
-0.06% 1.66% 7.72% 8.04% 4.48% 4.60% 4.85%

Barclays Municipal Bond Index
0.10% 1.49% 7.58% 7.93% 4.56% 4.67% 4.72%
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

TFI Portfolio Management

Expense Ratio 0.23%

The net total annual fee a fund holder pays to the issuer.

(12 Mo) | Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results." href="javascript:void(0)" class="term">Median Tracking Difference (12 Mo) -0.50%

Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results.

TFI Tax exposures

Max LT/ST Capital Gains Rate 20.00% / 39.60%

The maximum long-term and short-term U.S. tax rates applicable to a realized capital gain.

Tax on Distributions N/A

IRS treatment of the majority of the fund's distributions.

Distributes K1 No

ETFs that are structured as commodities pools and classified as limited partnerships by the IRS will issue K-1 forms to holders.

TFI Fund Structure

Legal Structure Open-Ended Fund

The organizational structure of the fund or ETN.

OTC Derivative Use No

An indicator of whether a fund uses over-the-counter derivatives such as swaps or forwards to achieve its objectives.

Securities Lending Active No

An indicator of whether or not a fund actively lends its portfolio holdings.

ETN Counterparty N/A

The institution responsible for providing the return of the stated index and whose credit is the sole backing of the ETN.

ETN Counterparty Risk N/A

The risk of default by the ETN counterparty.

Fund Closure Risk Low

The likelihood that an issuer will shut down a fund for business or regulatory reasons.

Portfolio Disclosure Daily

The frequency of an issuer's disclosure of all fund holdings.

TFI ETF.com Tradability Insight

TFI trades well. On most days, over $6M changes hands, and spreads average 6 bps. The fund trades the equivalent of more than two creation units per day. As with other segment funds however, creates and redeems may move underlying prices due to general liquidity issue in the muni market. (Insight updated 09/30/2014)

Average Spread

Premium/Discount

Volume

TFI ETF.com/ Block LiquidityAs of 12/19/2014

5
4
3
2
1

This measurement shows how easy it is to trade 25,000 shares of TFI. TFI is rated a 2 out of 5.

TFI Tradability

Avg. Daily Share Volume 290,959

It is the daily number of shares traded, averaged over the past 45 trading days.

Average Daily $ Volume $7.01 M

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

Median Daily Share Volume 265,209

Median number of shares traded over the past 45 trading days.

(%) | The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent." href="javascript:void(0)" class="term">Average Spread (%) 0.05%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent.

($) | The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars." href="javascript:void(0)" class="term">Average Spread ($) $0.01

The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars.

(12 Mo) | The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period." href="javascript:void(0)" class="term">Max. Premium / Discount (12 Mo) 0.23% / -0.41%

The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period.

Impediment to Creations None

This flags whether there is currently a systemic issue that has restricted the ability to create or redeem shares of the fund. This may be imposed by the fund's issuer, or by external circumstances.

Market Hours Overlap 100.00%

The percent of time that the underlying securities of an ETF are open to trading while US exchanges are open.

(Shares) | The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund." href="javascript:void(0)" class="term">Creation Unit Size (Shares) 100,000

The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund.

(45 Day Average) | The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots." href="javascript:void(0)" class="term">Creation Unit/Day (45 Day Average) 2.65

The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots.

(%) | The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit." href="javascript:void(0)" class="term">Creation Unit Cost (%) 0.01%

The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit.

Open Interest on ETF Options 771

The total number of net outstanding options contracts for an ETF.

ETF.com Implied Liquidity 2

An estimate of liquidity for the underlying baskets of securities, scaled 1 to 5.

TFI ETF.com Fit Insight

TFI makes some significant bets relative to our broad market benchmark. The fund loads up on higher-quality bonds with 95% in securities rated AA or better versus 60% in the benchmark, pushing its weighted average credit rating higher. The fund tilts slightly toward the intermediate part of the curve, increasing its duration, but its yield to maturity trails our benchmark. The fund also lays off a bit on California issues, with a bias toward New York municipals. In all, TFI takes less credit risk and more interest-rate risk. (Insight updated 09/30/2014)

TFI Top 5 Countries

Ny 15.71% 20.08%

Ca 17.72% 13.64%

Tx 8.59% 8.18%

Ma 3.97% 5.41%

Md 1.88% 4.38%

TFI Top 5 Currencies

USD 100.00% 100.00%

Developed Market Currencies 100.00% 100.00%

TFI Performance Statistics

Beta 1.23

The sensitivity of the returns of the fund to the movement of the ETF.com segment benchmark. Beta of 1.0 means magnitude of fund returns equals that of IU benchmark returns.

Annualized Alpha -1.65%

The excess return of fund relative to ETF.com segment benchmark on a risk adjusted basis. Only reported if statistically significant.

Up Beta 1.22

The comparison of a fund's return to our benchmark's for days when the benchmark is up. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

Down Beta 1.23

The comparison of a fund's return to our benchmark's for days when the benchmark is down. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

Downside Standard Deviation 0.03%

A measure of the variability between the fund's returns and the ETF.com segment benchmark returns on days when the fund underperforms the benchmark.

TFI Holdings Statistics

Sector TFI Segment Benchmark
Weighted Avg. Maturity 12.77 12.20

The weighted average of remaining time until maturity for all securities in the portfolio.

Effective Duration 6.40 7.37

A measure of interest rate risk. Estimates change in value to the portfolio based on a 1% parallel shift in the yield curve.

(2 year) | A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 2 year interest rates holding other rates constant." href="javascript:void(0)" class="term">Key Rate Duration (2 year) 0.23 0.13

A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 2 year interest rates holding other rates constant.

(10 year) | A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 10 year interest rates holding other rates constant." href="javascript:void(0)" class="term">Key Rate Duration (10 year) 2.29 2.83

A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 10 year interest rates holding other rates constant.

Yield to Maturity 3.13% 2.61%

The weighted average yield if all securities in the portfolio were held until maturity. Assumes that interest can be reinvested at YTM rate.

Credit Spread Duration 6.12 7.06

Price sensitivity in percentage to a 100 basis point change (widening or narrowing) of spread relative to Treasury spot curve.

Concentration Low Low

The Herfindahl Index number – a metric of portfolio concentration where higher numbers mean higher concentration of holdings.

Number of Holdings 45,564 423

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

Weighted Avg. Credit A+ AA+

Market–value–weighted average credit quality of the portfolio.

TFI Maturity Distribution

0 - 1 Year 0.31% 1.43%

Percent of the portfolio's exposure to securities with 0 - 1 years until maturity.

1 - 3 Years 11.15% 6.98%

Percent of the portfolio's exposure to securities with 1 - 3 years until maturity.

3 - 5 Years 9.93% 11.72%

Percent of the portfolio's exposure to securities with 3 - 5 years until maturity.

5 - 7 Years 8.99% 16.19%

Percent of the portfolio's exposure to securities with 5 - 7 years until maturity.

7 - 10 Years 12.58% 12.56%

Percent of the portfolio's exposure to securities with 7 - 10 years until maturity

10+ Years 57.03% 51.11%

Percent of the portfolio's exposure to securities with 10+ years until maturity.

TFI Credit Breakdown

AAA 10.52% 17.12%

Percent of portfolio's exposure to AAA rated bonds (Investment Grade).

AA 50.22% 81.44%

Percent of portfolio's exposure to AA rated bonds (Investment Grade).

A 33.31% 1.41%

Percent of portfolio's exposure to A rated bonds (Investment Grade).

BBB 5.41% 0.00%

Percent of portfolio's exposure to BBB rated bonds (Investment Grade).

BB 0.31% 0.00%

Percent of portfolio's exposure to BB rated bonds (High Yield).

B 0.00% 0.00%

Percent of portfolio's exposure to B rated bonds (High Yield).

CCC 0.00% 0.00%

Percent of portfolio's exposure to CCC rated bonds (High Yield).

CC 0.00% 0.00%

Percent of portfolio's exposure to CC rated bonds (High Yield).

C 0.00% 0.00%

Percent of portfolio's exposure to C rated bonds (High Yield).