High Yield Bonds
Investment Grade Bonds
Bank Loans
Equity
Convertibles
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

AAA
A
BBB
BB
B
<B
Not Rated

Portfolio Details as of 03/31/2016

Total Net Assets
$4.54 B
Number of Issues
699
Average Coupon
6.69%
Average Maturity
6.94 Years
Average Effective Duration
4.57 Years

Portfolio Positioning as of 03/31/2016

  • Volatility in the credit markets experienced in the second half of 2015 continued into 2016, as markets digested the U.S. Federal Reserve’s interest rate increase. We believe volatility may continue as markets assess further potential rate increases, economic data from China, and supply/demand fundamentals in the commodities space.
  • The portfolio has underweight positions, relative to its benchmark, the BofA Merrill Lynch U.S. High Yield Constrained Index, in the healthcare and telecom sectors. Concerns relating to the pharmaceutical industry and a loss of earnings momentum in hospitals drove the portfolio’s underweight in health care during the quarter, while competitive pressures within the telecom space drove the portfolio’s underweight therein.
  • The portfolio transitioned from an underweight position in the energy sector to a modest overweight position. We have found opportunities in select exploration & production companies trading at attractive valuations.
  • As of quarter-end, the portfolio had modest allocations in out-of-index sectors, such as bank loans, convertibles, investment grade bonds, and equities, as we found opportunities that offer attractive risk/reward profiles, while also providing additional portfolio diversification and avenues for liquidity.

Sector Allocation as of 03/31/2016

Basic Industry
Energy
Media
Telecommunications
Retail
Healthcare
Leisure
Consumer Goods
Capital Goods
Technology & Electronics
Banking
Services
Financial Services
Transportation
Utility
Automotive
Other
Insurance
Real Estate
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