U.S. Government Related
MBS
ABS
CMBS
Sovereign
Corporates
Other
Cash
Less than 1 year
1-2.99 years
3-4.99 years
5-6.99 years
7-9.99 years
Greater than 10 years

Credit Quality Distribution as of 03/31/2016

U.S. Treasury
Agency
AAA
AA
A
BBB
<BBB

Portfolio Details as of 03/31/2016

Total Net Assets
$1.38 B
Number of Issues
396
Average Coupon
2.97%
Average Life
7.8 Years
Average Effective Duration
5.46 Years

Portfolio Positioning as of 03/31/2016

  • Although most fixed-income sectors posted positive returns over the quarter, heightened levels of volatility provided opportunities to invest tactically during the period. Specifically, as spreads widened through the first half of the period, we increased the portfolio’s allocation to credit-sensitive, liquid, U.S.-centric sectors, such as mortgage-backed securities (MBS). As spreads tightened through late February and March, we reduced risk within the portfolio primarily by reducing the allocation to investment-grade corporates.
  • We continued to reduce the portfolio’s allocation to asset-backed securities (ABS), while maintaining a large overweight in the sector.  Despite the overall reduction to the sector, the team continues to uncover attractive risk-adjusted yield in various sectors of the ABS market, and we continue to use the sector as a source of liquidity.
  • As global growth concerns persisted, we continued to lower the portfolio’s non-U.S. exposure.  Most notably, we continued to lower the portfolio’s exposure to sovereign debt throughout the quarter, rotating into commercial mortgage-backed securities (CMBS), given its U.S. focus, strong fundamentals, and favorable valuations.
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