LIBOR Plus Total Return Strategy

Primarily invests in a broad range of fixed income securities, including investment grade and below investment grade corporate debt, bank loans, emerging markets hard and local currency sovereign and corporate debt, and derivatives. Duration is constrained with an effective duration of less than one year. The portfolios may be customized in terms of target return, permitted asset classes, and major base currency. The strategy aims to achieve total return through broad credit exposure while seeking to provide downside protection. Though the strategy is not managed against a benchmark, performance is measured against a cash target return.

Portfolio Attributes

Inception Date	11/1/2006
Benchmark	ICE BofAML 3 Month LIBOR

Portfolio Managers Industry Start Date

David Torchia
Managing Director, Senior Portfolio Manager—Multi Asset Credit Strategies, Investment Grade Corporates Sector Manager

1984
Roger Lavan
Portfolio Manager—Multi-Asset Credit Strategies, Securitized Products Sector Manager

1985
David Scott
Portfolio Manager—Multi-Asset Credit Strategies, Developed Markets Sector Manager

1983

Documents

Spotlight on Global Credit - August 2023

Important risk considerations

Emerging Markets Investing: Emerging markets securities may be more volatile, or more greatly affected by negative conditions, than those of their counterparts in more established foreign markets.

Foreign Investing: Investing in foreign securities subjects the portfolio to additional risks such as increased volatility; currency fluctuations; less liquidity; less publicly available information about the foreign investment; and political, regulatory, economic, and market risk.

Credit & Interest: Debt instruments are subject to various risks, including credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt instruments may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.

Bank Loans: Bank loans may be unsecured or not fully collateralized, may be subject to restrictions on resale, may be less liquid and may trade infrequently on the secondary market. Bank loans settle on a delayed basis; thus, sale proceeds may not be available to meet redemptions for a substantial period of time after the sale of the loan.

High Yield Fixed Income Securities: There is a greater risk of issuer default, less liquidity, and increased price volatility related to high yield securities than investment grade securities.

Leverage: When a portfolio is leveraged, the value of its securities may be more volatile and all other risks may be compounded.

Liquidity: Certain instruments may be difficult or impossible to sell at a time and price beneficial to the portfolio.

Counterparties: There is risk that a party upon whom the portfolio relies to complete a transaction will default.

Currency Rate: Fluctuations in the exchange rates between the U.S. dollar and foreign currencies may negatively affect the value of the portfolio's shares.

Derivatives: Derivatives may include, among other things, futures, options, forwards and swap agreements and may be used in order to hedge portfolio risks, create leverage, or attempt to increase returns. Investments in derivatives may result in increased volatility and the portfolio may incur a loss greater than its principal investment.

Income: Income received from the portfolio may vary widely over the short- and long-term and/or be less than anticipated if the proceeds from maturing securities in the portfolio are reinvested in lower-yielding securities.

Market Volatility: The value of the securities in the portfolio may go up or down in response to the prospects of individual companies and/or general economic conditions. Price changes may be short- or long-term. Local, regional, or global events such as war (e.g., Russia's invasion of Ukraine), acts of terrorism, the spread of infectious illness (e.g., COVID-19 pandemic) or other public health issues, recessions, or other events could have a significant impact on the portfolio and its investments, including hampering the ability of the portfolio's manager(s) to invest the portfolio's assets as intended.