Risk Management Framework

We aim to deliver consistent, risk-adjusted returns by tracking and managing liquidity risk, credit risk, and price risk across the underlying Asset Pool

Liquidity Risk

• Maintain minimum 80% allocation to liquid, freely tradable bonds (ie. capping illiquid private credit positions to 20% of the Asset Pool)

• Significant portion allocated to Investment Grade bonds that exhibit lower volatility

• Credit lines available with our prime broker to have access to fast liquidity while managing the selldown of the underlying bonds

Credit Risk

• Target blended portfolio rating of BBB or higher

• Ongoing monitoring of credit events of all positions, with periodic assessment of the ratings drift of the overall portfolio

• Restrict Private Credit deals to co-investments with other reputable lenders to mitigate counterparty risk

Price Risk

• Manage duration to maximum of 5, limiting adverse MtM impacts of changes in rates

• Maintain maturity ladders and staggered bond durations to ensure regular cash flows without forced selling

• Active management strategy to take profit during times of portfolio outperformance