Portfolio Breakdown as of 07/31/2015

Bank Loans
High Yield Bonds
Other
Cash

Credit Quality Distribution as of 07/31/2015

BBB
BB
B
CCC
<CCC
Not Rated

Portfolio Details as of 07/31/2015

Total Net Assets
$6.72 B
Number of Holdings
441
Average Loan Size
$1.48 B
Average Spread
3.71%

Portfolio Positioning as of 06/30/2015

  • During the quarter, we saw a previously deteriorating trend in underwriting standards improve somewhat. However, we continue to apply discipline regarding which new issues we buy, since pricing and the structure of deals in the current new-issue market often have not been up to our underwriting standards.
  • Technicals in the loan market have become more favorable; issuance is down year over year, the pace of outflows has slowed, and the bid from CLO issuers remains strong.
  • 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 following a strong start to 2015. Re-pricing activity increased in the second quarter, which has caused dollar prices in the market to decline modestly.
  • Spreads on the leveraged-loan index are still above long-term averages; however, the average dollar price remains at a discount. Thus, we believe there remains the opportunity for some capital appreciation in the loan market in 2015.

Sector Allocation as of 07/31/2015

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