Portfolio Characteristics & Allocation¹ as of 9/30/2017

Characteristics

  High Yield Fixed Income Barclays Capital U.S. Corporate High-Yield Index
Weighted Average Life (Years) 5.86 6.26
Effective Duration (Years) 3.89 3.76
Average Quality Ba2 B1
Yield to Maturity 4.79% 5.98%
Turnover (12-month trailing) NA 0.0%
Number of Holdings 82 2,041

Sector Allocation

  High Yield Fixed Income Barclays Capital U.S. Corporate High-Yield Index
Agency 0.0% 0.0%
Mortgage-Backed 0.0% 0.0%
Treasury 0.0% 0.0%
Asset-Backed 0.0% 0.0%
Credit 97.6% 100.0%
CMBS 0.0% 0.0%
Other 2.4% 0.0%
Commercial Paper 0.0% 0.0%

Duration Distribution

  High Yield Fixed Income Barclays Capital U.S. Corporate High-Yield Index
Over 8 Years 2.7% 4.7%
6-8 Years 19.4% 8.5%
4-6 Years 28.2% 30.5%
3-4 Years 13.6% 15.6%
1-3 Years 16.8% 27.5%
Under 1 Year 19.4% 13.3%

Quality Allocation

  High Yield Fixed Income Barclays Capital U.S. Corporate High-Yield Index
AAA 2.4% 0.0%
AA 0.0% 0.0%
A 1.4% 0.0%
BBB 8.0% 0.0%
BB 57.6% 0.0%
B or Lower 30.6% 0.0%