US Core*

Description

The strategy includes portfolios that employ an active, team-managed investment approach around a long-term, value-oriented investment philosophy. These portfolios use diversified strategies and all investment-grade sectors of the fixed-income market in seeking to add value while minimizing risk. The approach is to construct a portfolio using all major fixed-income sectors with a bias toward non-Treasuries, especially corporate, mortgage-backed and asset-backed securities.

Investment Vehicles

Separate Account: Contact your Client Service Executive or call +61-(0)3-9016-5600
Commingled Vehicle Available

Performance as of 31 December 2018

Returns for periods greater than one year are annualized. Please see the Performance and Risk Disclosures for more detail.

Portfolio Characteristics as of 31 December 2018

Leverage None
Credit Quality A+
Effective Duration 5.68 years
Spread Duration 7.35 years
Yield-to-Worst 7.35%

Snapshot

Strategy AUM: Total US Core Assets:
USD39.0 billion (as of 31 December 2018)
Benchmark: Bloomberg Barclays US Aggregate Index
Inception Date: 01 Jan 89

Sector Allocation as of 31 December 2018

Sectors Market Value (%) Notional
Market Value1 (%)
Benchmark (%)
Treasury 10.8 0.0 38.9
Inflation-Linked 1.6 0.0 0.0
Agency 1.2 0.0 1.6
Agency MBS 37.6 0.0 28.2
CMBS 6.7 0.0 2.0
Non-Agency MBS 6.6 0.0 0.0
Asset Backed 1.4 0.0 0.6
Investment-Grade Credit 24.8 25.3 27.1
High-Yield Credit 0.1 0.0 0.0
CLO 3.1 0.0 0.0
EM Government 5.9 0.0 1.2
EM Corporate 2.0 0.0 0.5
Cash & Cash Equivalents -1.9 0.0 0.0
Note: Sector allocation includes look-through to any underlying commingled vehicles if held. All weightings are a percentage of total market value. A negative cash position may be reported, which is primarily due to the portfolio's unsettled trade activity. Data may not sum to 100% due to rounding.
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IMPORTANT INFORMATION: All investments involve risk including loss of principal. Past performance is not indicative of future investment results. This information is only for use by professional clients, eligible counterparties or qualified investors. It is not aimed at, or for use by, retail clients.
The benchmark does not provide an allocation to the "Emerging Markets" sector. The emerging market sector allocation shown for the benchmark is based on Western Asset's emerging market countries definition for comparison purposes.

¹ Notional market value represents derivatives notional market value excluding interbank derivatives.
* Represented by US Core Investment Grade Futures & Options Composite.
Employees and/or clients of Western Asset may have a position in the securities mentioned. This has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence.

Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brasil. Western Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Financial Services Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R is a holder of a Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is a registered Financial Instruments Business Operator and regulated by the Financial Services Agency of Japan. Western Asset Management Company Limited is authorised and regulated by the Financial Conduct Authority ("FCA"). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in the UK and EEA countries as defined by the FCA or MiFID II rules.