High Yield

As of 09/30/2017
  Portfolio BofAML HY
Yield-to-Worst 5.9% 5.5%
Modified Duration 3.3 years 3.6 years
Spread over Treasuries 397 bps 355 bps
Average Coupon Rate 6.8% 6.4%
Number of Issuers 147 861
  Portfolio Coupon
Horsehead Holding Corp. 1.0 - -
Kosmos Energy Ltd. 1.0 7.875% 08/01/2021
Rain CII Carbon LLC 0.9 7.250% 04/01/2025
Weekley Homes LP 0.9 6.000% 02/01/2023
Momentive Performance Materials 0.9 3.880% 10/24/2021
  Portfolio BofAML HY
Cash & Equivalents 3.4 0.0
Investment Grade 2.6 8.2
BB 42.6 51.4
B 44.8 32.2
CCC+ or lower 7.0 8.2
Non-Rated 2.2 0.0
Credit Default Swap Index -2.6 0.0
  Portfolio less
Jonah Energy 1.3 1.3
Pinnacle Agriculture Holdings LLC 1.2 1.2
Horsehead Holding Corp. 1.0 1.0
Kosmos Energy Ltd. 1.0 1.0
Staples Inc. 1.0 1.0
Rain Industries Ltd. 0.9 1.0
Weekley Homes LP 0.9 0.9
McDermott International Inc. 0.8 0.9
Rayonier Advanced Materials Inc. 0.8 0.9
AMAG Pharmaceuticals Inc. 0.8 0.9

% of Total Portfolio
BofAML HY = BofA Merrill Lynch US High Yield Index

Data source: Hotchkis & Wiley, FactSet, Bloomberg

Information provided is based on a representative portfolio of the High Yield strategy. Statistics and holdings may vary due to different restrictions, cash flows, and other relevant considerations. Holdings identified do not represent all of the securities purchased, sold, or recommended for advisory clients, and may not be indicative of current or future holdings or trading activity. Securities shown in aggregate may represent only a limited portion of an account’s portfolio holdings. No assumptions should be made that companies identified, or all investment decisions were, or will be profitable. A complete list of portfolio holdings is available upon request. Investing in high yield securities is subject to certain risks, including market, credit, liquidity, issuer, interest-rate, inflation, and derivatives risks.  Lower-rated and non-rated securities involve greater risk than higher-rated securities. Information supplemental to strategy’s GIPS Compliant Presentation.

Credit Quality weights by rating were derived from the highest bond rating as determined by S&P, Moody's or Fitch. In limited situations when none of the three rating agencies have issued a formal rating, the Advisor will determine an internal rating.

Index definitions

Glossary of financial terms