Investment Grade Corporate
High Yield Corporate
ABS
Currency
CMBS
Government Related
MBS
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 03/31/2015

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

Portfolio Details as of 03/31/2015

Total Net Assets
$2.25 B
Number of Holdings
592
Average Coupon
5.57%
Average Life
9.40 Years
Effective Duration
5.56 Years

Portfolio Positioning as of 03/31/2015

  • In keeping with the portfolio’s strategic design, we continue to find relative value opportunities within various credit-sensitive sectors of the market, and maintained only minor exposures to Treasuries and agency securities over the quarter.  Further, given expectations for near-term volatility and less attractive valuations, the portfolio managers modestly lowered the portfolio’s aggregate risk exposure.
  • Notably, the team lowered the portfolio’s exposure to agency mortgage-backed securities (MBS) over concerns that heightened rate volatility will increase prepayment uncertainty and thus increase volatility in the sector.
  • The bulk of the up-in-quality theme was implemented via the corporate bond sector, as portfolio managers increased the portfolio’s exposure to high grade debt, while modestly reducing high yield corporates.  Additionally, after emerging markets corporate debt outperformed other segments of the fixed income market in the first quarter following a dovish interpretation of Federal Reserve comments by the market, the portfolio’s exposure to this sector was reduced. The remaining exposure is focused in higher-quality securities.
  • Also in line with the up-in-quality theme, the portfolio managers increased the portfolio’s exposure to AAA rated highly liquid asset-backed securities (ABS), particularly adding collateralized loan obligations (CLO), which represent attractive risk-adjusted yields in their view.
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $17,912,792
Argentine Peso Long 06/10/2015 $8,752,813
Argentine Peso Long 06/10/2015 $571,304
Argentine Peso Long 05/12/2015 $2,884,796
Argentine Peso Long 04/13/2015 $5,703,879
Australian Dollar Total Contracts: $-2,143,010
Australian Dollar Short 06/10/2015 $-2,143,010
Baht Total Contracts: $17,262,282
Baht Long 06/10/2015 $9,865,975
Baht Long 06/10/2015 $398,316
Baht Long 05/12/2015 $1,078,158
Baht Long 04/10/2015 $998,285
Baht Long 04/10/2015 $464,587
Baht Long 04/10/2015 $4,456,961
Brazilian Real Total Contracts: $12,072,249
Brazilian Real Long 06/10/2015 $444,863
Brazilian Real Long 06/10/2015 $3,571,178
Brazilian Real Short 05/12/2015 $-2,045,398
Brazilian Real Long 05/12/2015 $5,202,528
Brazilian Real Long 05/12/2015 $218,320
Brazilian Real Long 05/12/2015 $181,159
Brazilian Real Long 04/13/2015 $6,020,283
Brazilian Real Short 04/13/2015 $-1,839,184
Brazilian Real Long 04/13/2015 $318,500
Chilean Peso Total Contracts: $11,088,886
Chilean Peso Long 06/10/2015 $6,713,893
Chilean Peso Long 06/10/2015 $365,923
Chilean Peso Long 05/12/2015 $1,751,613
Chilean Peso Long 05/12/2015 $154,104
Chilean Peso Long 04/13/2015 $2,103,353
Colombian Peso Total Contracts: $12,645,216
Colombian Peso Long 06/10/2015 $314,561
Colombian Peso Long 06/10/2015 $152,514
Colombian Peso Long 06/10/2015 $5,128,300
Colombian Peso Long 05/12/2015 $2,505,981
Colombian Peso Long 05/12/2015 $182,305
Colombian Peso Long 05/12/2015 $4,361,555
Euro Total Contracts: $-1,291,058
Euro Long 05/13/2015 $1,194,229
Euro Long 05/13/2015 $607,874
Euro Short 05/13/2015 $-773,290
Euro Short 05/13/2015 $-773,290
Euro Short 05/13/2015 $-773,290
Euro Short 05/13/2015 $-773,290
Euro Long 04/20/2015 $720,616
Euro Long 04/20/2015 $1,726,252
Euro Long 04/20/2015 $43,022
Euro Short 04/20/2015 $-2,489,890
Euro Long 04/13/2015 $376,404
Euro Short 04/13/2015 $-3,000,481
Euro Long 04/13/2015 $2,855,296
Euro Short 04/13/2015 $-231,220
Forint Total Contracts: $12,661,984
Forint Long 06/10/2015 $4,537,971
Forint Long 05/12/2015 $126,654
Forint Long 05/12/2015 $322,848
Forint Long 05/12/2015 $2,427,616
Forint Long 04/13/2015 $2,438,677
Forint Long 04/13/2015 $3,988,742
Forint Short 04/13/2015 $-1,180,524
Indian Rupee Total Contracts: $21,571,545
Indian Rupee Long 06/10/2015 $380,691
Indian Rupee Long 06/10/2015 $1,379,211
Indian Rupee Long 06/10/2015 $7,718,503
Indian Rupee Long 05/12/2015 $219,847
Indian Rupee Long 05/12/2015 $6,472,641
Indian Rupee Long 04/13/2015 $527,283
Indian Rupee Long 04/13/2015 $4,873,369
Malaysian Ringgit Total Contracts: $0
Malaysian Ringgit Long 05/12/2015 $2,126,749
Malaysian Ringgit Short 05/12/2015 $-2,126,749
Mexican Peso Total Contracts: $18,348,365
Mexican Peso Long 06/10/2015 $1,435,252
Mexican Peso Long 06/10/2015 $293,574
Mexican Peso Long 05/12/2015 $5,186,965
Mexican Peso Long 05/12/2015 $2,144,076
Mexican Peso Long 05/12/2015 $1,156,036
Mexican Peso Long 05/12/2015 $215,061
Mexican Peso Long 04/13/2015 $5,431,321
Mexican Peso Long 04/13/2015 $2,161,524
Mexican Peso Long 04/13/2015 $324,556
New Israeli Sheqel Total Contracts: $-2,176,198
New Israeli Sheqel Short 04/27/2015 $-2,176,198
Nuevo Sol Total Contracts: $0
Nuevo Sol Short 05/12/2015 $-2,184,961
Nuevo Sol Long 05/12/2015 $2,184,961
Philippine Peso Total Contracts: $11,899,862
Philippine Peso Long 06/10/2015 $446,223
Philippine Peso Long 06/10/2015 $2,260,119
Philippine Peso Long 05/12/2015 $1,865,673
Philippine Peso Long 04/13/2015 $455,125
Philippine Peso Long 04/13/2015 $6,872,722
Pound Sterling Total Contracts: $-8,830,333
Pound Sterling Short 06/11/2015 $-5,945,532
Pound Sterling Long 04/20/2015 $2,506,588
Pound Sterling Short 04/20/2015 $-2,621,535
Pound Sterling Short 04/20/2015 $-2,621,535
Pound Sterling Short 04/20/2015 $-148,319
Rand Total Contracts: $19,064,168
Rand Long 06/10/2015 $472,560
Rand Long 06/10/2015 $6,534,366
Rand Long 05/12/2015 $192,785
Rand Long 05/12/2015 $1,078,534
Rand Long 05/12/2015 $189,920
Rand Long 05/12/2015 $1,435,044
Rand Long 04/13/2015 $6,638,436
Rand Long 04/13/2015 $2,522,523
Rupiah Total Contracts: $21,690,130
Rupiah Long 06/10/2015 $677,573
Rupiah Long 06/10/2015 $9,358,744
Rupiah Long 05/12/2015 $8,033,501
Rupiah Long 05/12/2015 $217,346
Rupiah Long 05/12/2015 $172,066
Rupiah Long 04/13/2015 $2,560,731
Rupiah Long 04/13/2015 $670,169
Russian Ruble Total Contracts: $11,018,152
Russian Ruble Long 06/10/2015 $5,634,595
Russian Ruble Long 06/10/2015 $570,803
Russian Ruble Long 05/12/2015 $1,280,587
Russian Ruble Long 05/12/2015 $262,944
Russian Ruble Long 04/13/2015 $3,269,223
Singapore Dollar Total Contracts: $-4,436,924
Singapore Dollar Short 06/10/2015 $-4,436,924
Turkish Lira Total Contracts: $14,759,347
Turkish Lira Long 05/12/2015 $1,682,954
Turkish Lira Long 05/12/2015 $125,508
Turkish Lira Long 05/12/2015 $456,394
Turkish Lira Short 04/13/2015 $-557,738
Turkish Lira Long 04/13/2015 $5,035,362
Turkish Lira Long 04/13/2015 $5,035,362
Turkish Lira Long 04/13/2015 $2,517,681
Turkish Lira Long 04/13/2015 $463,824
Won Total Contracts: $11,983,958
Won Long 06/10/2015 $383,140
Won Long 06/10/2015 $3,934,825
Won Long 05/12/2015 $175,533
Won Long 05/12/2015 $1,309,749
Won Long 04/13/2015 $6,180,711
Zloty Total Contracts: $13,662,773
Zloty Long 06/10/2015 $816,096
Zloty Long 05/12/2015 $304,345
Zloty Long 05/12/2015 $150,196
Zloty Long 05/12/2015 $7,450,516
Zloty Long 04/13/2015 $2,307,936
Zloty Long 04/13/2015 $2,633,684
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