Investment Grade Corporate
High Yield Corporate
ABS
Currency
MBS
CMBS
Government Related
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 07/31/2015

Treasury
Agency
AAA
AA
A
BBB
BB
B
< B
Not Rated

Portfolio Details as of 07/31/2015

Total Net Assets
$2.11 B
Number of Holdings
552
Average Coupon
5.68%
Average Life
9.85 Years
Effective Duration
5.53 Years

Portfolio Positioning as of 06/30/2015

  • The portfolio maintains its diversified exposure to various credit-sensitive sectors of the market, above and beyond the corporate bonds and sovereign debt represented in the benchmark.  Consistent with the past several years, the portfolio maintained only minor exposures to Treasuries and agency securities over the quarter, primarily holding positions in these sectors for liquidity management purposes.
  • In aggregate, we maintain an up in quality bias, and, accordingly, reduced the portfolio’s risk exposure over the quarter.  The primary shift in the portfolio was a rotation from high-yield corporate bonds, which had performed strongly over the previous several months, into various securitized sectors, serving to reduce the overall portfolio risk. 
  • The asset-backed securities (ABS) sector continues to present unique opportunities for us to find pockets of relative value and attractive risk-adjusted spread.  We continue to add to the sector in a diversified manner, focusing on higher-quality securities, which is consistent with the aforementioned up in quality bias.
  • We tactically added to the agency mortgage-backed securities (MBS) sector toward the end of the quarter, following a stretch of soft performance.  However, we remain cautious on the sector, as the primary and secondary effects of the Federal Reserve’s tighter monetary policy appear mostly negative for the space.
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $17,379,760
Argentine Peso Long 09/10/2015 $9,344,103
Argentine Peso Long 08/12/2015 $200,117
Argentine Peso Long 08/12/2015 $2,141,791
Argentine Peso Long 07/13/2015 $5,693,749
Australian Dollar Total Contracts: $-3,786,629
Australian Dollar Short 08/12/2015 $-2,170,385
Australian Dollar Short 08/12/2015 $-1,616,244
Baht Total Contracts: $13,198,705
Baht Long 09/10/2015 $6,896,339
Baht Long 08/13/2015 $620,786
Baht Long 08/13/2015 $310,393
Baht Short 07/13/2015 $-281,136
Baht Long 07/13/2015 $5,652,323
Brazilian Real Total Contracts: $11,993,271
Brazilian Real Long 09/10/2015 $4,236,338
Brazilian Real Long 08/12/2015 $3,450,147
Brazilian Real Long 08/12/2015 $136,107
Brazilian Real Short 07/13/2015 $-214,455
Brazilian Real Long 07/13/2015 $4,385,134
Chilean Peso Total Contracts: $19,153,410
Chilean Peso Long 09/10/2015 $13,461,621
Chilean Peso Long 08/12/2015 $2,352,351
Chilean Peso Long 08/12/2015 $1,370,906
Chilean Peso Long 07/13/2015 $1,968,532
Colombian Peso Total Contracts: $12,080,846
Colombian Peso Long 09/10/2015 $5,740,216
Colombian Peso Long 08/12/2015 $6,551,500
Colombian Peso Short 08/12/2015 $-210,870
Euro Total Contracts: $-2,328,129
Euro Short 08/13/2015 $-5,633,470
Euro Short 08/13/2015 $-2,710,759
Euro Long 08/13/2015 $4,886,059
Euro Long 08/13/2015 $1,130,041
Forint Total Contracts: $13,232,367
Forint Long 09/10/2015 $4,606,639
Forint Long 08/12/2015 $706,243
Forint Long 08/12/2015 $198,454
Forint Long 08/12/2015 $2,948,563
Forint Short 07/13/2015 $-421,526
Forint Long 07/13/2015 $5,193,994
Indian Rupee Total Contracts: $16,357,819
Indian Rupee Long 09/10/2015 $5,908,732
Indian Rupee Long 09/10/2015 $183,482
Indian Rupee Long 08/12/2015 $5,062,637
Indian Rupee Long 08/12/2015 $290,633
Indian Rupee Long 07/13/2015 $5,238,569
Indian Rupee Short 07/13/2015 $-326,234
Malaysian Ringgit Total Contracts: $-2,205,102
Malaysian Ringgit Short 07/27/2015 $-2,205,102
Mexican Peso Total Contracts: $17,043,365
Mexican Peso Long 09/10/2015 $1,803,885
Mexican Peso Long 09/10/2015 $25,318
Mexican Peso Long 08/12/2015 $8,276,493
Mexican Peso Long 07/13/2015 $7,468,402
Mexican Peso Short 07/13/2015 $-530,733
New Israeli Sheqel Total Contracts: $0
New Israeli Sheqel Short 07/27/2015 $-2,358,441
New Israeli Sheqel Long 07/27/2015 $2,358,441
Nuevo Sol Total Contracts: $-4,511,145
Nuevo Sol Short 07/27/2015 $-4,511,145
Philippine Peso Total Contracts: $12,713,332
Philippine Peso Long 09/10/2015 $1,383,695
Philippine Peso Long 08/12/2015 $329,856
Philippine Peso Long 08/12/2015 $1,372,557
Philippine Peso Long 07/13/2015 $7,137,845
Philippine Peso Short 07/13/2015 $-261,573
Philippine Peso Long 07/13/2015 $2,750,952
Pound Sterling Total Contracts: $-12,211,219
Pound Sterling Short 09/11/2015 $-5,857,682
Pound Sterling Short 09/11/2015 $-3,297,891
Pound Sterling Short 07/20/2015 $-3,055,646
Rand Total Contracts: $11,787,372
Rand Long 09/10/2015 $389,502
Rand Long 08/12/2015 $2,707,793
Rand Short 07/13/2015 $-330,055
Rand Long 07/13/2015 $9,020,132
Rupiah Total Contracts: $19,162,427
Rupiah Long 09/10/2015 $10,016,320
Rupiah Long 09/10/2015 $220,948
Rupiah Long 09/10/2015 $110,842
Rupiah Long 08/12/2015 $6,243,511
Rupiah Long 07/13/2015 $2,951,943
Rupiah Short 07/13/2015 $-538,076
Rupiah Long 07/13/2015 $156,939
Russian Ruble Total Contracts: $11,325,370
Russian Ruble Long 09/10/2015 $6,819,651
Russian Ruble Long 08/12/2015 $1,069,669
Russian Ruble Long 08/12/2015 $319,118
Russian Ruble Short 07/13/2015 $-322,690
Russian Ruble Long 07/13/2015 $338,915
Russian Ruble Long 07/13/2015 $3,100,707
Singapore Dollar Total Contracts: $-4,413,043
Singapore Dollar Short 09/10/2015 $-4,413,043
Turkish Lira Total Contracts: $18,349,024
Turkish Lira Long 08/12/2015 $578,222
Turkish Lira Long 08/12/2015 $2,246,594
Turkish Lira Long 08/12/2015 $1,933,544
Turkish Lira Long 08/12/2015 $1,694,153
Turkish Lira Short 07/13/2015 $-328,859
Turkish Lira Long 07/13/2015 $12,225,370
Won Total Contracts: $19,326,390
Won Long 09/10/2015 $4,074,246
Won Long 08/12/2015 $2,426,337
Won Long 08/12/2015 $1,025,841
Won Short 07/13/2015 $-322,705
Won Long 07/13/2015 $5,994,236
Won Long 07/13/2015 $6,128,435
Yen Total Contracts: $0
Yen Short 07/13/2015 $-2,201,858
Yen Long 07/13/2015 $2,201,858
Zloty Total Contracts: $10,618,091
Zloty Long 09/10/2015 $929,027
Zloty Long 08/12/2015 $5,180,072
Zloty Short 07/13/2015 $-316,374
Zloty Long 07/13/2015 $4,998,175
Zloty Short 07/13/2015 $-172,809
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