Investment Grade Corporate
High Yield Corporate
ABS
Currency
MBS
CMBS
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 02/27/2015

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

Portfolio Details as of 02/27/2015

Total Net Assets
$2.21 B
Number of Holdings
598
Average Coupon
5.77%
Average Life
9.50 Years
Effective Duration
5.5 Years

Portfolio Positioning as of 12/31/2014

  • Consistent with the portfolio’s strategic design, we maintained minor exposures to Treasuries and agency securities over the quarter, instead seeking to find relative value opportunities within more credit-sensitive sectors of the market.  Further, we added to those credit-sensitive sectors during the quarter as spreads widened, slightly increasing the portfolio’s overall level of risk.
  • Within the portfolio’s corporate bond allocation, we increased the portfolio’s exposure to investment-grade bonds, while reducing its position in non-investment-grade corporates.
  • We maintained the portfolio’s position in asset-backed securities (ABS) throughout the fourth quarter. Within the sector, we continue to find value in the liquidity offered by ‘AAA’ rated securities backed by auto loans and, to a lesser extent, securities backed by credit card receivables.  In addition, we continue to find value in the additional yield offered by ‘AAA’ rated collateralized loan obligations (CLO).
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $16,913,822
Argentine Peso Long 04/13/2015 $5,567,920
Argentine Peso Long 03/10/2015 $8,430,899
Argentine Peso Long 02/12/2015 $2,589,455
Argentine Peso Long 02/12/2015 $325,548
Baht Total Contracts: $16,345,650
Baht Long 04/10/2015 $989,592
Baht Long 04/10/2015 $4,418,147
Baht Long 04/10/2015 $460,541
Baht Long 03/10/2015 $8,742,843
Baht Long 03/10/2015 $667,835
Baht Long 02/12/2015 $297,245
Baht Long 02/12/2015 $769,447
Brazilian Real Total Contracts: $17,603,353
Brazilian Real Long 04/13/2015 $7,037,681
Brazilian Real Long 04/13/2015 $372,325
Brazilian Real Long 03/10/2015 $293,129
Brazilian Real Long 03/10/2015 $3,814,365
Brazilian Real Long 02/12/2015 $599,857
Brazilian Real Long 02/12/2015 $5,485,996
Chilean Peso Total Contracts: $10,289,546
Chilean Peso Long 04/13/2015 $2,060,965
Chilean Peso Long 03/10/2015 $10,045,734
Chilean Peso Short 03/10/2015 $-4,001,001
Chilean Peso Long 03/10/2015 $424,468
Chilean Peso Long 02/12/2015 $325,017
Chilean Peso Long 02/12/2015 $3,152,447
Chilean Peso Long 02/12/2015 $228,552
Chilean Peso Short 02/12/2015 $-1,946,636
Colombian Peso Total Contracts: $10,135,122
Colombian Peso Long 03/10/2015 $338,866
Colombian Peso Long 03/10/2015 $4,554,277
Colombian Peso Long 03/10/2015 $504,216
Colombian Peso Long 02/12/2015 $4,469,665
Colombian Peso Long 02/12/2015 $268,098
Euro Total Contracts: $-8,869,191
Euro Short 04/20/2015 $-2,617,900
Euro Short 04/13/2015 $-3,154,833
Euro Short 04/13/2015 $-243,114
Euro Long 04/13/2015 $395,768
Euro Short 03/10/2015 $-1,243,417
Euro Long 03/10/2015 $1,243,417
Euro Short 02/13/2015 $-1,624,556
Euro Short 02/13/2015 $-1,624,556
Forint Total Contracts: $13,586,362
Forint Long 04/13/2015 $2,473,408
Forint Long 04/13/2015 $4,045,548
Forint Long 03/10/2015 $4,376,406
Forint Long 03/10/2015 $229,534
Forint Long 02/12/2015 $2,291,722
Forint Long 02/12/2015 $169,744
Indian Rupee Total Contracts: $19,567,852
Indian Rupee Long 04/13/2015 $4,857,329
Indian Rupee Long 04/13/2015 $525,547
Indian Rupee Long 03/10/2015 $2,206,046
Indian Rupee Long 03/10/2015 $4,996,422
Indian Rupee Long 03/10/2015 $477,870
Indian Rupee Long 02/12/2015 $9,094,582
Indian Rupee Short 02/12/2015 $-3,016,504
Indian Rupee Long 02/12/2015 $426,560
Malaysian Ringgit Total Contracts: $-2,011,050
Malaysian Ringgit Short 02/12/2015 $-2,874,894
Malaysian Ringgit Short 02/12/2015 $-2,118,343
Malaysian Ringgit Long 02/12/2015 $2,982,187
Mexican Peso Total Contracts: $14,426,489
Mexican Peso Long 04/13/2015 $5,506,430
Mexican Peso Long 04/13/2015 $2,191,416
Mexican Peso Long 04/13/2015 $329,044
Mexican Peso Long 03/10/2015 $718,700
Mexican Peso Long 03/10/2015 $124,774
Mexican Peso Long 03/10/2015 $295,466
Mexican Peso Long 02/12/2015 $4,652,737
Mexican Peso Long 02/12/2015 $274,631
Mexican Peso Long 02/12/2015 $333,291
New Israeli Sheqel Total Contracts: $-2,203,481
New Israeli Sheqel Short 04/27/2015 $-2,203,481
Philippine Peso Total Contracts: $16,201,819
Philippine Peso Long 04/13/2015 $6,932,915
Philippine Peso Long 04/13/2015 $459,111
Philippine Peso Long 03/10/2015 $578,283
Philippine Peso Long 03/10/2015 $6,345,300
Philippine Peso Long 02/12/2015 $5,712,976
Philippine Peso Short 02/12/2015 $-4,320,396
Philippine Peso Long 02/12/2015 $493,630
Pound Sterling Total Contracts: $-11,404,822
Pound Sterling Short 04/20/2015 $-2,660,722
Pound Sterling Short 04/20/2015 $-150,536
Pound Sterling Short 04/20/2015 $-2,660,722
Pound Sterling Short 03/11/2015 $-5,932,842
Rand Total Contracts: $17,584,268
Rand Long 04/13/2015 $6,848,824
Rand Long 04/13/2015 $2,602,468
Rand Long 03/10/2015 $6,546,521
Rand Long 03/10/2015 $105,410
Rand Long 02/12/2015 $257,126
Rand Long 02/12/2015 $1,042,217
Rand Long 02/12/2015 $181,702
Rupiah Total Contracts: $21,073,743
Rupiah Long 04/13/2015 $680,243
Rupiah Long 04/13/2015 $2,599,226
Rupiah Long 03/10/2015 $2,199,146
Rupiah Long 03/10/2015 $6,212,101
Rupiah Long 03/10/2015 $641,450
Rupiah Long 03/10/2015 $311,384
Rupiah Long 02/12/2015 $5,080,890
Rupiah Long 02/12/2015 $286,634
Rupiah Long 02/12/2015 $3,062,669
Russian Ruble Total Contracts: $8,431,666
Russian Ruble Long 04/13/2015 $2,678,703
Russian Ruble Long 03/10/2015 $336,218
Russian Ruble Short 03/10/2015 $-1,875,142
Russian Ruble Long 03/10/2015 $6,238,154
Russian Ruble Long 02/12/2015 $625,181
Russian Ruble Long 02/12/2015 $244,167
Russian Ruble Long 02/12/2015 $184,385
Singapore Dollar Total Contracts: $-4,391,097
Singapore Dollar Short 03/10/2015 $-1,972,116
Singapore Dollar Short 03/10/2015 $-2,090,295
Singapore Dollar Short 03/10/2015 $-328,686
Turkish Lira Total Contracts: $19,001,769
Turkish Lira Long 04/13/2015 $2,644,866
Turkish Lira Long 04/13/2015 $487,255
Turkish Lira Long 04/13/2015 $5,289,732
Turkish Lira Long 04/13/2015 $5,289,732
Turkish Lira Long 03/10/2015 $218,964
Turkish Lira Long 03/10/2015 $468,340
Turkish Lira Long 03/10/2015 $2,307,233
Turkish Lira Long 03/10/2015 $679,194
Turkish Lira Short 02/12/2015 $-1,767,294
Turkish Lira Long 02/12/2015 $309,837
Turkish Lira Long 02/12/2015 $2,825,225
Turkish Lira Long 02/12/2015 $248,685
Won Total Contracts: $11,625,774
Won Long 04/13/2015 $6,202,777
Won Long 03/10/2015 $3,612,806
Won Long 03/10/2015 $357,659
Won Short 02/12/2015 $-3,196,481
Won Long 02/12/2015 $223,116
Won Long 02/12/2015 $4,170,907
Won Long 02/12/2015 $254,990
Zloty Total Contracts: $13,466,228
Zloty Long 04/13/2015 $2,356,052
Zloty Long 04/13/2015 $2,688,592
Zloty Long 03/10/2015 $489,316
Zloty Long 03/10/2015 $326,211
Zloty Long 02/12/2015 $171,362
Zloty Long 02/12/2015 $7,434,695
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