Investment Grade Corporate
Government Related
MBS
ABS
High Yield Corporate
Sovereign
CMBS
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 01/30/2015

Treasury
Agency
AAA
AA
A
BBB
< BBB
Not Rated

Portfolio Details as of 01/30/2015

Total Net Assets
$2.16 B
Number of Holdings
540
Average Coupon
4.07%
Average Life
7.14 Years
Effective Duration
4.93 Years

Portfolio Positioning as of 12/31/2014

  • Although the portfolio’s higher-quality bias remained intact during the fourth quarter, we decreased its overall position in Treasuries in order to take advantage of wider spreads. The Treasury yield curve continued to flatten over the quarter, with short-maturity Treasury yields trending higher and longer-dated Treasury yields falling, despite the fact that central banks globally are expected to remain generally accommodative.
  • The portfolio increased its allocation to the mortgage-backed securities (MBS) sector, although it still remains slightly underweight relative to its benchmark, the Barclays U.S. Universal Index, as we see better relative value in other sectors.
  • The portfolio increased its overweight position in corporates, relative to the benchmark, with a focus on higher-quality securities in this sector. We maintain a constructive outlook for the sector, and continue to take advantage of relative-value opportunities.
  • As international markets continued to lag their domestic counterparts, we took the opportunity to add exposure to emerging market corporates and sovereign debt at a measured pace, maintaining a preference for higher-quality securities. The portfolio now is overweight, relative to its benchmark, in the emerging markets sovereign debt sector.
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