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Below-Investment-Grade Securities
(1)
2016
2015
(In millions)
Par
Value
Amortized
Cost
Fair
Value
Unrealized
Gain
(Loss)
Par
Value
Amortized
Cost
Fair
Value
Unrealized
Gain
(Loss)
Investcorp Capital Limited
$ 368 $ 368 $ 346 $
(22)
$ 357 $ 357 $ 324 $
(33)
Republic of Tunisia
318
191
264
73
307
185
243
58
Navient Corp.
287
152
197
45
279
148
155
7
KLM Royal Dutch Airlines
(2)
257
189
213
24
249
183
205
22
Barclays Bank PLC
(2)
236
152
221
69
230
148
228
80
Deutsche Postbank AG
206
206
179
(27)
199
199
175
(24)
UPM-Kymmene
180
178
188
10
257
257
252
(5)
Telecom Italia SpA
172
172
212
40
166
166
214
48
Generalitat de Catalunya
154
57
111
54
149
55
126
71
Diamond Offshore Drilling Inc.
124
141
96
(45)
*
*
*
*
IKB Deutsche Industriebank AG
112
47
91
44
108
46
79
33
Alcoa, Inc.
100
80
97
17
100
77
81
4
Noble Holdings International Ltd.
95
98
68
(30)
*
*
*
*
Petrobras International
Finance Company
91
90
83
(7)
91
88
64
(24)
EMC Corp.
85
86
76
(10)
*
*
*
*
Cenovus Energy Inc.
75
78
71
(7)
*
*
*
*
Teck Resources Ltd.
70
73
66
(7)
70
69
32
(37)
Transocean Inc.
68
72
57
(15)
68
71
38
(33)
CF Industries Inc.
60
59
54
(5)
*
*
*
*
Votorantim OverseasTrading
IV Ltd.
50
49
54
5
*
*
*
*
Weatherford Bermuda
49
49
39
(10)
94
92
70
(22)
Eskom Holdings Limited
35
35
35
0
50
50
43
(7)
Commerzbank AG (includes
Dresdner Bank)
*
*
*
*
332
213
321
108
DEPFA Bank PLC
0
0
0
0
166
166
166
0
Societe Generale
(2)
0
0
0
0
83
61
73
12
Other Issuers (below $50 million
in par value)
(3)
249
237
235
(2)
333
306
277
(29)
Subtotal
(4)
3,441
2,859 3,053
194
3,688
2,937 3,166
229
Senior secured bank loans
(5)
1,758
1,855 1,764
(91)
1,400
1,327 1,362
35
High yield corporate bonds
(6)
614
602
624
22
609
621
581
(40)
Grand Total
$ 5,813 $ 5,316 $ 5,441 $
125
$ 5,697 $ 4,885 $ 5,109 $ 224
* Investment grade at respective reporting date
(1)
Excludes middle market loan portfolio which are primarily identified as below investment grade
(2)
Includes perpetual security
(3)
Includes 13 issuers in 2016 and 15 issuers in 2015
(4)
Securities initially purchased as investment grade, but have subsequently been downgraded to below investment grade
(5)
Includes 197 issuers in 2016 and 201 in 2015; all issuers below $40 million in par value
(6)
Includes 62 issuers in 2016 and 57 issuers in 2015; all issuers below $25 million in par value
We invest in senior secured bank loans and middle market loans primarily to U.S. corporate borrowers, most of which
have below-investment-grade ratings. The bank loan and middle market loan investment programs are managed
externally by third party firms specializing in this asset class and require a minimum average portfolio rating of low BB and
a minimum single investment rating of low B from one of the NRSROs. The objectives of these programs include
enhancing the yield on invested assets, achieving further diversification of credit risk, and mitigating the risk of rising
interest rates and hedge costs through the acquisition of floating rate assets. Our investments in these programs totaled
$2.3 billion at December 31, 2016, compared with $1.5 billion at December 31, 2015, on an amortized cost basis.
58