Portfolio Breakdown as of 12/31/2015

Bank Loans
High Yield Bonds
Other
Cash

Credit Quality Distribution as of 12/31/2015

BBB
BB
B
CCC
<CCC
Not Rated

Portfolio Details as of 12/31/2015

Total Net Assets
$6.07 B
Number of Holdings
421
Average Loan Size
$1.61 B
Average Spread
3.59%

Portfolio Positioning as of 12/31/2015

  • Although the pace of mutual fund outflows has increased, technicals in the loan market have become more favorable; issuance is down year over year, and the bid from CLO issuers has helped offset mutual fund outflows.
  • The portfolio has overweight positions, relative to its benchmark, the Credit Suisse Leveraged Loan Index, in consumer-oriented sectors, including food and drug, retail, and gaming/leisure. We targeted these sectors, and certain companies within them, as beneficiaries of increased consumer spending resulting from savings due to the decline in energy prices.
  • The portfolio currently is underweight ‘B’ rated credits, relative to its benchmark, as we have transitioned the portfolio up in quality. Given attractive valuations, however, we may look to transition some ‘BB’ exposure into ‘B’ names going forward.
  • Spreads on the leveraged-loan index are still above long-term averages, and the average dollar price remains at a discount. Thus, we believe there remains the opportunity for both current income and some capital appreciation in the loan market in 2016.

Sector Allocation as of 12/31/2015

Media/Telecom
Service
Information Technology
Healthcare
Gaming/Leisure
Retail
Transportation
Food And Drug
Housing
Financial
Aerospace
Forest Products
Manufacturing
Utility
Chemicals
Energy
Food/Tobacco
Metals/Minerals
Consumer Non-Durables
Consumer Durables
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