Investment Grade Corporate
High Yield Corporate
ABS
Currency
MBS
Government Related
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 12/31/2015

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

Portfolio Details as of 12/31/2015

Total Net Assets
$1.86 B
Number of Holdings
499
Average Coupon
5.61%
Average Life
9.88 Years
Effective Duration
5.27 Years

Portfolio Positioning as of 12/31/2015

  • The portfolio maintains its diversified exposure to various credit-sensitive sectors of the market with only minor exposures to Treasury and agency securities over the quarter, primarily holding positions in these sectors for liquidity management purposes.
  • Although we broadly maintained the portfolio’s up-in-quality bias, we believe the volatility experienced in Q4 has resulted in unique opportunities to capture relative value across all sectors. We will seek to uncover attractive valuations in lower quality corporate debt, particularly within ‘BBB’ rated debt.  
  • After allowing select high-yield securities to mature early in the quarter, we tactically added to the portfolio’s allocation in the latter half as credit spreads widened further.
  • The asset-backed securities sector continues to present unique opportunities to find pockets of relative value and attractive risk-adjusted spread. While we remain focused on higher-quality securities owing to their more liquid nature, we have expanded our presence within the sector due to the attractiveness of spreads in lower-rated, investment-grade securities.
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $14,660,400
Argentine Peso Short 03/17/2016 $-1,454,658
Argentine Peso Long 03/17/2016 $4,231,353
Argentine Peso Short 03/17/2016 $-913,030
Argentine Peso Long 03/10/2016 $3,023,135
Argentine Peso Long 03/10/2016 $1,487,620
Argentine Peso Long 03/02/2016 $2,988,162
Argentine Peso Long 03/02/2016 $1,521,897
Argentine Peso Long 01/13/2016 $3,775,921
Australian Dollar Total Contracts: $-1,945,625
Australian Dollar Short 03/10/2016 $-1,945,625
Baht Total Contracts: $14,689,177
Baht Long 03/10/2016 $5,896,624
Baht Long 03/10/2016 $4,154,509
Baht Long 01/13/2016 $4,974,295
Baht Short 01/13/2016 $-336,251
Brazilian Real Total Contracts: $8,974,408
Brazilian Real Long 03/10/2016 $3,077,409
Brazilian Real Short 01/13/2016 $-1,862,875
Brazilian Real Long 01/13/2016 $7,759,874
Chilean Peso Total Contracts: $12,426,584
Chilean Peso Long 03/10/2016 $5,419,430
Chilean Peso Long 03/10/2016 $1,587,724
Chilean Peso Long 03/10/2016 $5,419,430
Colombian Peso Total Contracts: $13,992,115
Colombian Peso Long 03/10/2016 $2,037,485
Colombian Peso Long 03/10/2016 $6,851,468
Colombian Peso Long 02/12/2016 $5,103,162
Euro Total Contracts: $-3,944,924
Euro Short 02/16/2016 $-1,401,915
Euro Short 01/13/2016 $-2,010,498
Euro Long 01/13/2016 $88,027
Euro Short 01/13/2016 $-620,538
Forint Total Contracts: $12,889,561
Forint Long 03/10/2016 $506,547
Forint Long 02/12/2016 $3,604,411
Forint Short 01/13/2016 $-275,672
Forint Long 01/13/2016 $9,166,094
Forint Short 01/13/2016 $-111,819
Indian Rupee Total Contracts: $16,459,519
Indian Rupee Long 03/10/2016 $6,118,848
Indian Rupee Long 02/12/2016 $997,638
Indian Rupee Long 02/12/2016 $5,320,737
Indian Rupee Long 01/13/2016 $4,489,372
Indian Rupee Short 01/13/2016 $-467,076
Malaysian Ringgit Total Contracts: $-2,329,102
Malaysian Ringgit Long 01/13/2016 $2,119,483
Malaysian Ringgit Short 01/13/2016 $-4,448,585
Mexican Peso Total Contracts: $13,901,475
Mexican Peso Long 03/10/2016 $1,900,548
Mexican Peso Long 02/12/2016 $7,484,986
Mexican Peso Long 01/13/2016 $4,740,491
Mexican Peso Short 01/13/2016 $-224,550
New Leu Total Contracts: $0
New Leu Long 01/13/2016 $3,835,748
New Leu Short 01/13/2016 $-3,835,748
New Taiwan Dollar Total Contracts: $-4,225,652
New Taiwan Dollar Short 03/10/2016 $-4,225,652
Philippine Peso Total Contracts: $12,992,883
Philippine Peso Long 03/10/2016 $2,242,058
Philippine Peso Long 02/12/2016 $1,955,159
Philippine Peso Long 01/13/2016 $9,000,108
Philippine Peso Short 01/13/2016 $-204,442
Pound Sterling Total Contracts: $-8,100,777
Pound Sterling Short 03/11/2016 $-5,248,183
Pound Sterling Short 01/20/2016 $-2,852,594
Rand Total Contracts: $11,199,483
Rand Long 03/10/2016 $4,591,012
Rand Long 01/13/2016 $6,705,464
Rand Short 01/13/2016 $-96,993
Rupiah Total Contracts: $13,951,981
Rupiah Long 03/10/2016 $8,849,880
Rupiah Short 02/12/2016 $-1,414,530
Rupiah Long 02/12/2016 $4,612,456
Rupiah Long 01/13/2016 $344,565
Rupiah Short 01/13/2016 $-377,208
Rupiah Long 01/13/2016 $1,936,818
Russian Ruble Total Contracts: $13,949,315
Russian Ruble Long 03/10/2016 $7,547,945
Russian Ruble Long 02/12/2016 $1,013,699
Russian Ruble Long 02/12/2016 $1,109,589
Russian Ruble Short 01/13/2016 $-187,671
Russian Ruble Long 01/13/2016 $4,465,753
Singapore Dollar Total Contracts: $-3,004,443
Singapore Dollar Short 02/12/2016 $-3,004,443
Turkish Lira Total Contracts: $14,672,198
Turkish Lira Long 03/10/2016 $1,789,878
Turkish Lira Long 02/12/2016 $6,429,159
Turkish Lira Long 01/13/2016 $4,731,861
Turkish Lira Short 01/13/2016 $-298,313
Turkish Lira Long 01/13/2016 $2,177,342
Turkish Lira Short 01/13/2016 $-157,729
Won Total Contracts: $12,894,941
Won Long 03/10/2016 $3,940,121
Won Long 03/10/2016 $3,581,928
Won Long 02/12/2016 $2,771,730
Won Long 01/13/2016 $2,601,162
Zloty Total Contracts: $12,756,683
Zloty Long 03/10/2016 $726,550
Zloty Long 02/12/2016 $4,945,636
Zloty Long 01/13/2016 $7,380,215
Zloty Short 01/13/2016 $-183,549
Zloty Short 01/13/2016 $-112,169
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