Government Related
Corporates
MBS
ABS
CMBS
Sovereign
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 03/31/2015

Treasury
Agency
AAA
AA
A
BBB
< BBB

Portfolio Details as of 03/31/2015

Total Net Assets
$1.30 B
Number of Holdings
403
Average Coupon
3.29%
Average Life
7.31 Years
Effective Duration
5.33 Years

Portfolio Positioning as of 03/31/2015

  • Given expectations for near-term volatility and less attractive valuations, the portfolio managers modestly lowered the portfolio’s aggregate risk exposure, with the major portfolio shifts occurring toward the latter half of March.  Most notably, the team lowered the portfolio’s exposure to agency mortgage-backed securities (MBS) over concerns that heightened rate volatility will increase prepayment uncertainty and thus increase volatility in the sector.  Specifically within agency MBS, we maintain the portfolio’s underweight to Ginnie Maes, currently finding better value in Fannie Mae and Freddie Mac-backed securities.
  • The portfolio managers modestly increased the strategy’s overweight in AAA rated, highly liquid asset-backed securities (ABS), particularly adding collateralized loan obligations (CLO), which represent attractive risk-adjusted yields in their view.
  • The portfolio managers decreased the portfolio’s exposure to corporates, although the portfolio remained overweight 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.
  • After emerging markets corporate debt outperformed other segments of the fixed income market in the first quarter following the dovish interpretation of Federal Reserve comments by the market, the portfolio’s exposure to this sector was reduced. The remaining exposure is focused in higher-quality securities.
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