Q4 2020 Bond Compass

Using ETFs for Efficient Transition Management

SPIB NAV

$36.82

Market Value of Create

$100,000,000

Shares

2,715,915

1 Unit

100,000 Shares

Create Size (rounded)

27 units

Bond

Notional

NAV Price

Principal

Accrued Interest (t+2)

Total Market Value

CVS 4.3 03/25/28

13,200,000

117.881

 $15,560,292

 $ 7,848

 $ 15,568,140

TMUS 3 7/8 04/15/30

5,250,000

114.896

 $ 6,032,040

 $ 2,543

 $ 6,034,538

BAC 3.149 12/20/28

26,500,000

112.068

 $29,698,020

 $ 5,793

 $ 29,703,813

AAPL 2.4 05/03/23

11,000,000

105.464

 $ 11,601,040

 $ 2,880

 $ 11,603,920

BA 5.15 05/03/23

9,000,000

112.285

 $ 10,105,650

 $ 5,114

 $ 10,110,764

PCG 4.55 07/01/30

5,000,000

110.738

 $ 5,536,900

 $ 1,314

 $ 5,538,214

WMT 3.7 06/26/28

7,000,000

119.351

 $ 8,354,570

 $ 1,272

 $ 8,355,842

DD 4.205 11/15/23

3,500,000

110.536

 $ 3,868,760

 $ 1,402

 $ 3,870,162

RDSALN 3 1/4 05/11/25

8,000,000

111.604

 $ 8,928,320

 $ 2,438

 $ 8,930,803

Cash

 

 

 

 

 $100,000,000

TOTAL

 

 

 

 

 

 

2019 (%)

Jan 2020 (%)

Feb 2020 (%)

Mar 2020 (%)

Apr 2020 (%)

May 2020 (%)

Investment Grade

9.1

11.2

11.9

20.5

12.8

9.9

High Yield

22.1

21.5

30.1

32.5

22.1

20.3

*“Institutional size” defined as $50 M for JNK, SJNK, SPIB, SPLB and CWB. As represented by the Barclays Liquidity Cost Score (LCS) metric for the respective index - Bloomberg Barclays High Yield Very Liquid Index, Bloomberg Barclays U.S. High Yield 350mn Cash Pay 0-5 Yr 2% Capped Index, Bloomberg Barclays Intermediate U.S. Corporate Index, Bloomberg Barclays Long U.S. Corporate Index, Bloomberg Barclays U.S. Convertibles Liquid Bond Index. There can be no assurance that a liquid market will be maintained for ETF shares. As of 12/31/2019.

Footnotes
Glossary
Disclosures