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 06/30/2015

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

Portfolio Details as of 06/30/2015

Total Net Assets
$2.15 B
Number of Holdings
566
Average Coupon
5.63%
Average Life
9.44 Years
Effective Duration
5.59 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: $17,588,054
Argentine Peso Long 08/12/2015 $199,355
Argentine Peso Long 08/12/2015 $2,133,633
Argentine Peso Long 07/13/2015 $5,679,167
Argentine Peso Long 06/10/2015 $8,989,168
Argentine Peso Long 06/10/2015 $586,731
Australian Dollar Total Contracts: $-2,147,076
Australian Dollar Short 08/12/2015 $-2,147,076
Australian Dollar Short 06/10/2015 $-2,158,474
Australian Dollar Short 06/10/2015 $-2,391,512
Australian Dollar Long 06/10/2015 $4,549,986
Baht Total Contracts: $13,571,135
Baht Long 08/13/2015 $311,366
Baht Long 08/13/2015 $622,732
Baht Long 07/13/2015 $5,669,150
Baht Short 06/10/2015 $-2,986,237
Baht Long 06/10/2015 $9,567,845
Baht Long 06/10/2015 $386,279
Brazilian Real Total Contracts: $11,783,136
Brazilian Real Long 08/12/2015 $3,330,273
Brazilian Real Long 08/12/2015 $131,378
Brazilian Real Long 07/13/2015 $4,230,899
Brazilian Real Long 06/10/2015 $453,121
Brazilian Real Long 06/10/2015 $3,637,465
Chilean Peso Total Contracts: $19,814,213
Chilean Peso Long 08/12/2015 $2,425,123
Chilean Peso Long 08/12/2015 $1,413,317
Chilean Peso Long 07/13/2015 $2,029,415
Chilean Peso Long 06/10/2015 $6,819,656
Chilean Peso Long 06/10/2015 $6,755,015
Chilean Peso Long 06/10/2015 $371,687
Colombian Peso Total Contracts: $12,518,163
Colombian Peso Long 08/12/2015 $6,726,683
Colombian Peso Long 06/10/2015 $157,860
Colombian Peso Long 06/10/2015 $325,586
Colombian Peso Long 06/10/2015 $5,308,034
Euro Total Contracts: $377,129
Euro Short 08/13/2015 $-5,552,494
Euro Long 08/13/2015 $1,113,797
Euro Long 08/13/2015 $4,815,826
Forint Total Contracts: $13,598,438
Forint Long 08/12/2015 $709,419
Forint Long 08/12/2015 $2,961,826
Forint Long 08/12/2015 $199,347
Forint Long 07/13/2015 $5,217,378
Forint Long 06/10/2015 $4,510,468
Indian Rupee Total Contracts: $16,439,271
Indian Rupee Long 08/12/2015 $5,009,700
Indian Rupee Long 08/12/2015 $287,594
Indian Rupee Long 07/13/2015 $5,193,233
Indian Rupee Long 06/10/2015 $7,606,514
Indian Rupee Long 06/10/2015 $375,167
Indian Rupee Long 06/10/2015 $1,359,199
Indian Rupee Short 06/10/2015 $-3,392,136
Malaysian Ringgit Total Contracts: $-2,262,442
Malaysian Ringgit Short 07/27/2015 $-2,262,442
Mexican Peso Total Contracts: $17,752,094
Mexican Peso Long 08/12/2015 $8,427,995
Mexican Peso Long 07/13/2015 $7,604,733
Mexican Peso Long 06/10/2015 $1,427,398
Mexican Peso Long 06/10/2015 $291,968
New Israeli Sheqel Total Contracts: $0
New Israeli Sheqel Long 07/27/2015 $2,300,263
New Israeli Sheqel Short 07/27/2015 $-2,300,263
Nuevo Sol Total Contracts: $-4,517,153
Nuevo Sol Short 07/27/2015 $-4,517,153
Philippine Peso Total Contracts: $13,111,090
Philippine Peso Long 08/12/2015 $333,296
Philippine Peso Long 08/12/2015 $1,386,870
Philippine Peso Long 07/13/2015 $7,213,669
Philippine Peso Long 07/13/2015 $2,780,175
Philippine Peso Short 06/10/2015 $-3,431,032
Philippine Peso Long 06/10/2015 $2,271,657
Philippine Peso Long 06/10/2015 $448,501
Philippine Peso Long 06/10/2015 $2,107,954
Pound Sterling Total Contracts: $-9,099,904
Pound Sterling Short 07/20/2015 $-2,971,598
Pound Sterling Short 06/11/2015 $-6,128,306
Rand Total Contracts: $12,138,050
Rand Long 08/12/2015 $2,698,437
Rand Long 07/13/2015 $8,987,654
Rand Long 06/10/2015 $6,590,389
Rand Long 06/10/2015 $476,612
Rand Short 06/10/2015 $-6,615,042
Rupiah Total Contracts: $19,505,003
Rupiah Long 08/12/2015 $6,264,986
Rupiah Long 07/13/2015 $2,962,731
Rupiah Long 07/13/2015 $157,512
Rupiah Long 06/10/2015 $9,436,567
Rupiah Long 06/10/2015 $683,207
Russian Ruble Total Contracts: $12,087,698
Russian Ruble Long 08/12/2015 $1,113,335
Russian Ruble Long 08/12/2015 $332,145
Russian Ruble Long 07/13/2015 $352,609
Russian Ruble Long 07/13/2015 $3,226,000
Russian Ruble Long 06/10/2015 $649,746
Russian Ruble Long 06/10/2015 $6,413,863
Singapore Dollar Total Contracts: $-4,523,693
Singapore Dollar Short 06/10/2015 $-4,523,693
Turkish Lira Total Contracts: $18,632,886
Turkish Lira Long 08/12/2015 $2,241,644
Turkish Lira Long 08/12/2015 $1,690,420
Turkish Lira Long 08/12/2015 $1,929,284
Turkish Lira Long 08/12/2015 $576,948
Turkish Lira Long 07/13/2015 $12,194,590
Won Total Contracts: $19,927,319
Won Long 08/12/2015 $2,435,312
Won Long 08/12/2015 $1,029,636
Won Long 07/13/2015 $6,003,585
Won Long 07/13/2015 $6,137,994
Won Long 06/10/2015 $3,937,402
Won Long 06/10/2015 $383,390
Yen Total Contracts: $0
Yen Short 07/13/2015 $-2,172,129
Yen Long 07/13/2015 $2,172,129
Zloty Total Contracts: $11,042,649
Zloty Long 08/12/2015 $5,198,310
Zloty Long 07/13/2015 $5,016,358
Zloty Long 06/10/2015 $827,981
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