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: $17,029,374
Argentine Peso Long 05/12/2015 $2,857,740
Argentine Peso Long 04/13/2015 $5,652,040
Argentine Peso Long 03/10/2015 $8,519,594
Australian Dollar Total Contracts: $-2,194,527
Australian Dollar Short 06/10/2015 $-2,194,527
Baht Total Contracts: $16,570,144
Baht Long 05/12/2015 $1,083,006
Baht Long 04/10/2015 $1,002,946
Baht Long 04/10/2015 $4,477,769
Baht Long 04/10/2015 $466,756
Baht Long 03/10/2015 $8,862,678
Baht Long 03/10/2015 $676,989
Brazilian Real Total Contracts: $15,144,704
Brazilian Real Long 05/12/2015 $242,804
Brazilian Real Long 05/12/2015 $201,476
Brazilian Real Long 05/12/2015 $5,785,975
Brazilian Real Long 04/13/2015 $6,696,403
Brazilian Real Short 04/13/2015 $-2,045,737
Brazilian Real Long 04/13/2015 $354,270
Brazilian Real Long 03/10/2015 $279,000
Brazilian Real Long 03/10/2015 $3,630,513
Chilean Peso Total Contracts: $10,708,744
Chilean Peso Long 05/12/2015 $1,768,191
Chilean Peso Long 05/12/2015 $155,562
Chilean Peso Long 04/13/2015 $2,122,828
Chilean Peso Long 03/10/2015 $10,345,376
Chilean Peso Long 03/10/2015 $437,129
Chilean Peso Short 03/10/2015 $-4,120,342
Colombian Peso Total Contracts: $12,597,786
Colombian Peso Long 05/12/2015 $189,187
Colombian Peso Long 05/12/2015 $2,600,576
Colombian Peso Long 05/12/2015 $4,526,193
Colombian Peso Long 03/10/2015 $331,613
Colombian Peso Long 03/10/2015 $493,424
Colombian Peso Long 03/10/2015 $4,456,793
Euro Total Contracts: $-2,727,247
Euro Short 05/13/2015 $-805,079
Euro Short 05/13/2015 $-805,079
Euro Short 05/13/2015 $-805,079
Euro Long 05/13/2015 $1,243,321
Euro Short 05/13/2015 $-805,079
Euro Long 04/20/2015 $44,791
Euro Long 04/20/2015 $1,797,247
Euro Short 04/20/2015 $-2,592,290
Euro Short 04/13/2015 $-240,733
Euro Long 04/13/2015 $391,891
Euro Long 04/13/2015 $2,972,775
Euro Short 04/13/2015 $-3,123,933
Euro Long 03/10/2015 $1,231,130
Euro Short 03/10/2015 $-1,231,130
Forint Total Contracts: $13,062,823
Forint Long 05/12/2015 $332,960
Forint Long 05/12/2015 $2,503,654
Forint Long 05/12/2015 $130,621
Forint Short 04/13/2015 $-1,217,622
Forint Long 04/13/2015 $2,515,312
Forint Long 04/13/2015 $4,114,086
Forint Long 03/10/2015 $233,415
Forint Long 03/10/2015 $4,450,397
Indian Rupee Total Contracts: $19,935,315
Indian Rupee Long 05/12/2015 $221,223
Indian Rupee Long 05/12/2015 $6,513,158
Indian Rupee Long 04/13/2015 $4,913,433
Indian Rupee Long 04/13/2015 $531,617
Indian Rupee Long 03/10/2015 $5,045,569
Indian Rupee Long 03/10/2015 $482,570
Indian Rupee Long 03/10/2015 $2,227,745
Malaysian Ringgit Total Contracts: $0
Malaysian Ringgit Long 05/12/2015 $2,177,727
Malaysian Ringgit Short 05/12/2015 $-2,177,727
Mexican Peso Total Contracts: $18,090,357
Mexican Peso Long 05/12/2015 $2,186,348
Mexican Peso Long 05/12/2015 $1,178,828
Mexican Peso Long 05/12/2015 $219,301
Mexican Peso Long 05/12/2015 $5,289,229
Mexican Peso Long 04/13/2015 $2,203,487
Mexican Peso Long 04/13/2015 $330,857
Mexican Peso Long 04/13/2015 $5,536,762
Mexican Peso Long 03/10/2015 $722,868
Mexican Peso Long 03/10/2015 $125,498
Mexican Peso Long 03/10/2015 $297,179
New Israeli Sheqel Total Contracts: $-2,174,739
New Israeli Sheqel Short 04/27/2015 $-2,174,739
Nuevo Sol Total Contracts: $-2,177,395
Nuevo Sol Short 05/12/2015 $-2,177,395
Philippine Peso Total Contracts: $11,457,915
Philippine Peso Long 05/12/2015 $1,892,294
Philippine Peso Long 04/13/2015 $6,968,650
Philippine Peso Long 04/13/2015 $461,477
Philippine Peso Short 03/10/2015 $-2,007,341
Philippine Peso Long 03/10/2015 $6,371,324
Philippine Peso Long 03/10/2015 $580,655
Philippine Peso Short 03/10/2015 $-2,809,144
Pound Sterling Total Contracts: $-11,691,999
Pound Sterling Short 04/20/2015 $-154,327
Pound Sterling Short 04/20/2015 $-2,727,727
Pound Sterling Short 04/20/2015 $-2,727,727
Pound Sterling Short 03/11/2015 $-6,082,218
Rand Total Contracts: $19,133,636
Rand Long 05/12/2015 $196,434
Rand Long 05/12/2015 $1,484,261
Rand Long 05/12/2015 $1,115,524
Rand Long 05/12/2015 $199,397
Rand Long 04/13/2015 $6,863,488
Rand Long 04/13/2015 $2,608,041
Rand Long 03/10/2015 $6,560,850
Rand Long 03/10/2015 $105,641
Rupiah Total Contracts: $20,879,025
Rupiah Long 05/12/2015 $8,017,939
Rupiah Long 05/12/2015 $216,925
Rupiah Long 05/12/2015 $171,732
Rupiah Long 04/13/2015 $2,551,251
Rupiah Long 04/13/2015 $667,688
Rupiah Long 03/10/2015 $307,706
Rupiah Long 03/10/2015 $633,874
Rupiah Long 03/10/2015 $2,173,174
Rupiah Long 03/10/2015 $6,138,736
Russian Ruble Total Contracts: $9,789,783
Russian Ruble Long 05/12/2015 $1,182,251
Russian Ruble Long 05/12/2015 $242,752
Russian Ruble Long 04/13/2015 $3,033,433
Russian Ruble Short 03/10/2015 $-2,127,377
Russian Ruble Long 03/10/2015 $381,444
Russian Ruble Long 03/10/2015 $7,077,280
Singapore Dollar Total Contracts: $-4,360,822
Singapore Dollar Short 03/10/2015 $-2,075,883
Singapore Dollar Short 03/10/2015 $-1,958,519
Singapore Dollar Short 03/10/2015 $-326,420
Turkish Lira Total Contracts: $14,694,290
Turkish Lira Long 05/12/2015 $1,730,112
Turkish Lira Long 05/12/2015 $129,025
Turkish Lira Long 04/13/2015 $5,172,651
Turkish Lira Long 04/13/2015 $5,172,651
Turkish Lira Long 04/13/2015 $2,586,326
Turkish Lira Long 04/13/2015 $476,470
Turkish Lira Short 04/13/2015 $-572,945
Turkish Lira Long 03/10/2015 $459,012
Turkish Lira Long 03/10/2015 $214,603
Turkish Lira Long 03/10/2015 $665,666
Turkish Lira Short 03/10/2015 $-1,545,935
Turkish Lira Long 03/10/2015 $2,261,278
Turkish Lira Short 03/10/2015 $-2,054,624
Won Total Contracts: $11,700,283
Won Long 05/12/2015 $176,549
Won Long 05/12/2015 $1,317,327
Won Long 04/13/2015 $6,217,854
Won Long 03/10/2015 $3,629,265
Won Long 03/10/2015 $359,288
Zloty Total Contracts: $13,931,477
Zloty Long 05/12/2015 $310,723
Zloty Long 05/12/2015 $153,344
Zloty Long 05/12/2015 $7,606,663
Zloty Long 04/13/2015 $2,356,249
Zloty Long 04/13/2015 $2,688,817
Zloty Long 03/10/2015 $489,409
Zloty Long 03/10/2015 $326,272
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