composite
FACT SHEET
June 30
2016
Long Duration Credit Bond
Management Team
Neil A. Burke
John Hyll
Nicholas Savoulides, PhD, CFA
Highlights
• Invests primarily in long duration US investment grade fixed income securities
• Fundamental research from Loomis Sayles credit research is a primary source for investment ideas and
specific industry and security selection recommendations are developed by the Loomis Sayles investment
grade sector team
• Quantitative risk analysis is applied to portfolio construction to help manage both market and specific
Objective
Seeks to provide diversified,
actively managed exposure to the
long end of the US investment
grade credit market
portfolio risks, by seeking to diversify and minimize unintended risks
• Duration bands +/- 2 years (typically within +/- 0.5 year)
• Typical portfolio: 175 to 225 issuers
• Allocations to non-US dollar and emerging markets debt securities may be allowed, per client guidelines
• Investments in securities rated <BBB may be allowed per client guidelines
• Maximum issuer position of 5% or benchmark weight plus 2%, whichever is greater at the time of
purchase (Treasurys and GSEs excluded)
• Maximum industry allocation of 25% or the benchmark weight plus 10%, whichever is greater at the time
of purchase
Benchmark
Barclays US Long Credit Index
portfolio characteristics
FACTS
Strategy inception
4/1/13
Composite inception
4/1/13
*
Average maturity
Composite
24.33 yrs
Index
23.22 yrs
Average duration
13.79 yrs
13.90 yrs
4.33%
4.16%
A3
A3
Strategy assets
$8,789.9M
Average yield
Composite assets
$3,079.6M
Average credit quality
Average number of issues
339
-
Weighted average coupon
5.04%
5.49%
235 bps
216 bps
OAS
composite Performance (%)
cumulative return
average annualized return
1 Year
3 Year
5 Year
Since
Inception
3 Mo
YTD
10 Year
GROSS
7.04
14.99
13.71
9.07
-
-
6.39
NET
6.98
14.86
13.44
8.82
-
-
6.14
BENCHMARK
6.65
13.92
13.76
8.70
-
-
5.86
composite period performance (%)
*Strategy assets are comprised of Long
Duration Corporate Bond and Long
Duration Credit.
Diversi­fication does not ensure a profi­t
or guarantee against a loss.
Loomis, Sayles & Company, L.P.
(“Loomis Sayles”) is an independent
advisory firm registered under the
Investment Advisors Act of 1940. For
additional information on this and
other Loomis Sayles strategies, please
visit our website at www.loomissayles.
com.
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
GROSS
-5.10
16.36
-3.69
-
-
-
-
-
-
-
NET
-5.33
16.11
-3.86
-
-
-
-
-
-
-
Benchmark
-4.56
16.39
-4.92
-
-
-
-
-
-
-
2013: since composite inception 4/1/2013
Performance data shown represents past performance and is no guarantee of future results. Current
performance may be lower or higher than quoted. Returns are shown in US dollars and are annualized for one and
multi-year periods. Gross returns are net of trading costs. Net returns are gross returns less effective management fees.
There is no guarantee that the investment objective will be realized or that the strategy will generate positive or excess return.
For Institutional Use Only. Not For Further Distribution.
1
One Financial Center Boston, MA 02111
Currency Distribution (%)
Sector Distribution (%)
Long Duration Credit Bond
www.loomissayles.com
Country Distribution (%)
Composite
Index
100
100
Composite
Index
Investment Grade
Credit
85.7
97.3
High Yield Credit
5.8
-
Mexico
3.1
3.0
Municipals
3.9
2.7
Canada
2.3
2.7
US Treasury
1.9
-
Belgium
1.7
1.7
Brazil
1.1
0.3
Emerging Markets
Debt
0.3
-
US Agency
0.1
-
CMBS
0.1
-
Cash & Equivalents
2.1
-
Credit Quality (%)
AAA
US Dollar
Index
5.9
3.9
Index
80.5
80.1
3.8
2.3
United States
United Kingdom
Duration Distribution (%)
Composite
Composite
Less than 1 Yr.
France
0.8
0.5
Colombia
0.7
0.8
Turkey
0.7
1.3
Other
5.2
7.3
Maturity Distribution (%)
Composite
Index
0.3
-
Less than 1 Yr.
Composite
Index
0.3
-
AA
14.0
19.0
1 to 3 Yrs.
-
0.1
1 to 3 Yrs.
-
0.1
A
38.3
45.4
3 to 5 Yrs.
1.3
0.5
3 to 5 Yrs.
0.6
0.4
BAA
38.6
31.8
5 to 7 Yrs.
3.0
0.3
5 to 7 Yrs.
2.3
-
BA
2.6
-
7 to 10 Yrs.
10.8
12.2
7 to 10 Yrs.
8.0
2.4
B
82.5
87.0
10 Yrs. or more
86.6
97.1
2.1
-
2.1
-
0.7
-
10 Yrs. or more
CAA & Lower
-
-
Cash & Equivalents
Not Rated
-
-
Cash & Equivalents
key risks
Credit Risk, Issuer Risk, Interest Rate Risk, Liquidity Risk, Derivatives Risk, Leverage Risk, Counterparty Risk, Non-US Securities
Risk, Prepayment Risk, Extension Risk and Management Risk. Investing involves risk including possible loss of principal.
Due to rounding, Sector, Currency, Country, Credit Quality, Duration and Maturity distribution totals may not equal 100%. This portfolio is
actively managed and characteristics are subject to change. Credit Quality reflects the highest credit rating assigned to individual holdings of the composite
among Moody’s, S&P or Fitch; ratings are subject to change. Within the Credit Quality allocation, any cash and equivalents are assigned to an individual
quality rating based on the long-term currency issuer/debt rating of the sovereign country. Cash & Equivalents may include unsettled trades, fees and/
or derivatives. In the Sector, Duration and Maturity distributions, the calculations are based on the specific traits of each security related to that
distribution, which can result in variations of the Cash & Equivalents weightings. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed
Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities.
The Long Duration Credit Bond Composite includes all discretionary accounts with market values greater than $20 million managed by Loomis Sayles
with investment guidelines that allow from 0 to 20% in high yield and non-USD denominated securities and seeks to provide diversified, actively managed
exposure primarily to the long end of the US investment grade credit market. Prior to June 1, 2015 the composite minimum size requirement was $5
million. The composite was created in 2013. For additional information on this and other Loomis Sayles strategies, please visit our web site at www.
loomissayles.com.
june 30, 2016
For Institutional Use Only. Not For Further Distribution.
MALR014122-0816
2