Government Related
Investment Grade Corporate
High Yield Corporate
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 10/30/2015

Not Rated

Portfolio Details as of 10/30/2015

Total Net Assets
$2.44 B
Number of Holdings
Average Coupon
Average Life
7.56 Years
Effective Duration
5.19 Years

Portfolio Positioning as of 09/30/2015

  • As spreads widened in the quarter, we increased the investment grade portion of the corporate sector allocation to a slight underweight relative to the Barclays U.S. Universal Index, with a focus on ‘BBB’ exposure. We believe firms in this segment of the corporate market are hesitant to increase leverage in order to protect their investment grade rating and, therefore, represent an attractive risk-return profile. Additionally, we increased the portfolio’s high yield corporate allocation to a marginal overweight.
  • We increased the portfolio’s overweight in asset-backed securities (ABS), consistent with our up-in-quality bias in the portfolio. The team has found attractive yield in various sectors of the ABS market, primarily the highly liquid ‘AAA’ segment, and continue to modestly increase the portfolio’s exposure to below ‘AAA’-rated securities.
  • We continued to maintain the portfolio’s persistent relative underweight to mortgage-backed securities (MBS) during the quarter relative to the benchmark, believing that the heightened interest-rate volatility has increased the pre-payment risks within the sector.  Within agency MBS, we maintain the portfolio’s underweight to Ginnie Maes, however, we are tactically trading in favored coupons of Fannie Mae and Freddie Mac-backed securities.  
  • As volatility amid interest-rate hike speculation continued, we lowered the portfolio’s non-U.S. exposure.  Most notably, the team continued to lower the portfolio’s exposure to emerging markets corporate debt throughout the quarter, rotating into commercial mortgage-backed securities (CMBS) and ABS, given their U.S. focus.
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