Government Related
Corporates
MBS
ABS
Sovereign
CMBS
Other
Cash
Less than 1 yr
1-3 yrs
3-5 yrs
5-7 yrs
7-10 yrs
10-20 yrs
More than 20 yrs

Credit Quality Distribution as of 01/30/2015

Treasury
Agency
AAA
AA
A
BBB
< BBB

Portfolio Details as of 01/30/2015

Total Net Assets
$1.29 B
Number of Holdings
403
Average Coupon
3.72%
Average Life
7.23 Years
Effective Duration
5.22 Years

Portfolio Positioning as of 12/31/2014

  • Although the portfolio’s higher-quality bias remained intact during the fourth quarter, we decreased its overall position in Treasuries in order to take advantage of wider spreads. The Treasury yield curve continued to flatten over the quarter, with short-maturity Treasury yields trending higher and longer-dated Treasury yields falling, despite the fact that central banks globally are expected to remain generally accommodative.
  • The portfolio increased its exposure to corporates, with a focus on higher-quality securities, resulting in an overweight position to this sector relative to the benchmark, the Barclays U.S. Aggregate Bond Index. We maintain a constructive outlook for corporate securities, and continue to seek to take advantage of relative-value opportunities across the sector.
  • The portfolio increased its allocation to the mortgage-backed securities (MBS) sector, although it still remains slightly underweight relative to its benchmark, as we see better relative value in other sectors.
  • As international markets continued to lag their domestic counterparts, we took the opportunity to add exposure to emerging market corporates and sovereign debt at a measured pace.  Within these markets, we maintain a preference for higher-quality securities.
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