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Investment
Grade Corporate Bonds (IGC)
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Private
Placements
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Structured
Assets
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Mortgage
Backed Securities
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High
Yield/Bank Loans
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Emerging
Market Debt
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Equity
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Municipal
Bonds
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Commercial
Mortgages
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Commercial
Mortgage Backed Securities (CMBS)
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Private
Equity Funds
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Private
Real Estate
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Hedge
Funds
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Consists of publicly traded securities as well as
144A securities
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Consists of domestic and foreign issues across
the investment grade rating and maturity spectrum
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Portfolios with both total
return and enhanced income performance mandates
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Utilizes both cash and synthetic credit
opportunities
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Adheres to a disciplined relative value framework
for both income oriented and total return strategies
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Utilizes fundamental research and quantitative
risk tools to evaluate the market’s pricing of risk versus our own views to
position portfolios to achieve the best possible returns
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Employs active portfolio management strategies
and trading to maximize alpha
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Maintains rigorous credit analysis discipline to
seek profitable long or hedged trading opportunities
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Consists of Private Placements which are
non-registered debt securities (e.g., corporate bonds not filed with the SEC
and can be owned only by qualified institutional investors)
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Notes are typically senior unsecured or senior
secured and governed by a legal document which contain financial covenants and
prepayment restrictions
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Consists of mostly traditional, straight
corporate (“plain vanilla”) issues but also includes project finance, credit
tenant and leveraged leases, and tax-enhanced structures
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Consists of securities that are primarily
fixed rate and investment grade credit quality
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Maturity range is typically between five and
twelve years, structured as either bullets or amortizing tranches
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Roughly 70% of holdings are
domestic issuers and 30% are foreign issuers
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Sources new issues through agent banks (e.g.,
investment banks, large commercial banks, and boutiques)
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Uses quantitative and qualitative measures to
evaluate credit worthiness and to assign internal, issue-specific credit
ratings
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Employs relative value pricing analysis to aid in
purchase decisions
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Utilizes buy and managed philosophy to generate
current income for life insurance client. While private placement issues are
generally less liquid than public bonds, a secondary market does exist and can
be used for portfolio management purposes.
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Performs quarterly covenant compliance and
formalized annual reviews to monitor credit quality of individual holdings
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Consists of asset-backed securities (ABS), cash
and synthetic collateralized debt obligations (CDOs), and other structured
products
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The ABS portfolio is a short duration (typically
2-4 years), high quality (AA/AA+ average) portfolio that is invested for both
total return and buy-and-managed mandates
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The CDO portfolio is a longer duration (typically
7-10 years) portfolio that is invested almost exclusively for buy-and-managed
mandates. The credit quality of our portfolio differs by type of underlying
risk exposure (e.g., leveraged loans, investment grade corporate debt)
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That are predominantly domestic and US dollar
denominated in nature
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Participation in a transaction and its related
capital structure depends upon our views of the underlying portfolio risk, the
structural elements of the transaction, the type of CDO itself, the quality of
the manager, originator or servicer (where applicable), and the transaction’s
contribution to portfolio risk
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Incorporate relative value considerations into
investment decisions
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Domestic/foreign split: 100% domestic, 0% foreign
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Maturity range: 4 years (duration)
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Average credit quality: AAA
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Currencies: U.S. dollar
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Private/public issuers: Public
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Total return focus
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Alpha generation achieved mainly from 3 sources:
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Superior convexity/prepayment profiles
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Rate/curve/volatility calls
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Incremental yield via relatively illiquid holdings
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Philosophy to be client focused and opportunistic
by:
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Taking a stand on market opportunities
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Looking outside the box
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Being an early adopter
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Domestic/foreign split: 90% domestic, 10% foreign
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Maturity range: 4-5 years
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Average credit quality: BB-/B+
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Currencies: U.S. dollar
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Private/public issuers: Public
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Total return focus
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Internal credit rating is critical to the overall
investment/portfolio decision
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Decision process: “provide clients with index
beating performance”
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Foreign/domestic split: 100% foreign, 0% domestic
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Maturity range: 7 years (duration)
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Average credit quality: BB
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Currencies: U.S. dollar
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Private/public issuers: Public
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Total return focus
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Internal credit rating is critical to the overall
investment/portfolio decision
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Decision process: “provide clients with index
beating performance”
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Domestic/foreign/[Convertibe/ELN] split: 60%
domestic, 10% foreign, 30% Convertibe/ELN
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Seventy percent of equity assets are actively
managed including Value, Growth, Foreign, Real Estate Investment Trusts (REIT)
and Convertible Bonds
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Active quantitative products are growing and now
account for almost 10% of total equity assets with additional active equity
funds under development.
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Additional fundamental portfolios are under
development which entail higher risk, higher return strategies
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The broad array of equity products makes one
approach insufficient to accomplish our mission. Therefore, we employ all three
of the major investment disciplines:
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Fundamental
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Quantitative
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Technical
In this way, equity maximizes the likelihood of success in each measurement
period.
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Hold municipal securities in each of the fifty
states, as well as the District of Columbia and Puerto Rico
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Majority exposure to traditional general
obligation bonds (secured by unlimited taxes) as well as over a dozen
other sectors including utilities, hospitals, higher education, airports and
toll roads
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Includes both tax-exempt and taxable securities
to meet the needs of our primary clients; Allstate Protection and Allstate
Financial
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Primary investment objective is total return with
a meaningful secondary goal of producing a competitive income return
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Predominant strategy is focused on relative
value; to be an active manager continually seeking out trading
opportunities across the entire market to produce incremental returns |
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Expanding our use of municipal rate and credit
derivatives, both a source of additional return opportunities and improved
capacity to manage risk
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Allstate has one of the largest commitments to
credit research capabilities in the market proving a unique competitive
advantage in the analysis of new opportunities as well as the surveillance of
our existing holdings
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$10.6 billion portfolio of primarily first
mortgage loans on office, retail, industrial and multifamily commercial
properties
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Product Offerings:
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Loan Size: $5 to $175 million
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Floating Rate Loans: 3 to 7 years
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Fixed Rate Loans: 3 to 30 years
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Structured Loan Products including:
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Forward Commitments up to 24 months
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Flexible Prepayment Options
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Earn out and Subsequent Advance Features
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Bridge Loans for Value-Added Properties
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Construction to Permanent
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Originate and service loans through a long
established mortgage banking – correspondent network
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Selectively take more risk
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Co-invest with other portfolio lenders
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Deliver “best in class” customer service
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$6.7 billion portfolio
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We seek the best relative value across the
spectrum of real estate fixed income investment alternatives:
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CMBS
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REIT Debt
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High Yield Debt Funds
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CDOs
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B-Notes
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Mezzanine Funds
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Transactions are sourced primarily through
Investment Banks and Co-investment partners
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The risk profile of the portfolio spans the
spectrum from AAA-rated securities to High Yield Debt Funds
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Develop and maintain a diversified structured
products portfolio which meets or exceeds the needs of our clients
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Provide consistent excellence in investment
performance to all of our clients
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Provide profitable product offerings that are
highly valued
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Our real estate securities investment
professionals combine real estate, fixed income and structured asset expertise
to build our portfolio
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Includes Private Equity (Buyouts, Growth, and
Venture), Private Debt (Mezzanine and Distressed), and related strategies
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Consists of partnership/fund investments and
direct investments in sponsor-led transactions
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International investments are 15% of portfolio
and growing rapidly
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Significant emphasis on direct origination and
development of long-term sponsor relationships
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Intensive quantitative and qualitative diligence
process focused on historical value creation
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Prospective investments evaluated based on
absolute return potential and fit with broader portfolio
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Over $1.2 billion of fund
capital commitments outstanding and growing
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Allstate’s 10-year track record in fund
investments has generated over a 20% net return
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Provide consistent relationships and access to
“top quartile” managers
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Consists of 2/3 Opportunity funds and 1/3 Value
Added funds
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Blind pool, closed end fund investments
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Fund sizes on new investments range from $400
million to $5 billion plus
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Investment terms typically 8-10 years with a 3 or
4 year investment period
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“Just in time funding,” capital only called when
needed
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Expand Fund Investment Strategy to reach $1
billion of annual commitments
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Total return investor with an income orientation
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Identify top management with proven track records
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Continued focus on opportunistic and value-add
strategies
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Additional focus on select international and
co-investment opportunities
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Diversify risk across fund sponsors, strategies,
markets, property types, etc.
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Utilize internal experience via direct “hands on”
due diligence
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Hedge Fund Investments
across the Allstate enterprise of approximately $2 billion
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Diversified across all major hedge fund
strategies
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Utilized in traditional portfolios for Allstate
Protection, alpha transport programs for Allstate Pension Plans, structured
notes for Allstate Financial, and corporate insurance policies for Allstate
Corporation
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Utilizes strategic relationships with top tier
fund of fund managers
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Emphasis placed on managed accounts with hedge
fund managers
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Managers and strategies that deliver true
uncorrelated alpha receive special emphasis
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