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Structured Product Levered

Description

The investment objective is to maximize total return on a risk adjusted basis. The strategy seeks to deliver attractive income with low correlation and volatility relative to other fixed-income sectors. The team takes an active relative value approach across all sectors of the residential, commercial and consumer markets. The strategy utilizes opportunistic leverage to enhance returns. The strategy invests significantly in floating rate assets seeking to minimize sensitivity to changes in interest rates. The Firm deploys multiple diversified strategies that benefit in different environments so no one strategy dominates performance, helping to dampen volatility.

Investment Vehicles

Performance as of March 31, 2020

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

Portfolio Characteristics as of March 31, 2020

Leverage Yes
Credit Quality C-
Effective Duration 6.53 years
Spread Duration 6.56 years
Yield-to-Worst 16.83%

Snapshot

Strategy AUM: Total Structured Product Levered Assets:
USD212.9 million (as of March 31, 2020)
Benchmark: There is no benchmark available which appropriately reflects the strategy.
Inception Date: 01 Mar 10

Sector Allocation as of March 31, 2020

Sectors Portfolio (%) Benchmark (%)
Residential Mortgages 65.5 0.0
Legacy Residential Mortgages 39.0 0.0
New-Issue RMBS 15.8 0.0
GSE Risk Transfer 10.4 0.0
Other Residential Mortgages 0.2 0.0
Commercial Mortgages 19.2 0.0
Large Loan Credit 15.1 0.0
Agency CMBS 2.7 0.0
Legacy AJ/AM 1.2 0.0
Conduit Credit 0.2 0.0
Opportunistic ABS 3.3 0.0
Credit Hedge 0.7 0.0
Treasury Derivative 0.0 0.0
Foreign Exchange -0.0 0.0
Cash 11.2 0.0
Total 100.0 0.0
Note: Sector allocation includes look-through to any underlying commingled vehicles if held. Data may not sum to total due to rounding.
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.
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.