Invested assetsMARKET VALUE
50.2$bn
▲ $1.4bn YTD
Investment strategy
Portfolio Composition & Strategy
Allocation, income, risk characteristics and private-credit deployment in one investment view.
Aug 28, 2026 · Tested position
● Within limits
Expected total returnTESTED
6.4%
+46 bps vs. current
Investment incomeYTD ACTUAL
2.93$bn
$146m above plan
Private creditALLOCATION
23%
18% current · +5 pp
Portfolio durationALM
6.45yrs
Gap reduced to −0.12 yrs
Strategic asset allocation
Current versus tested portfolio
Asset classCurrentTestedChangeInvestment-grade bonds32%27%−5 ppPrivate credit18%23%+5 ppHigh-yield bonds10%10%—Equities8%9%+1 ppReal assets6%6%—Cash & short duration6%5%−1 ppAlternatives / other20%20%—
Portfolio composition
Tested economic market value
Public credit37%Private credit23%Equity / alternatives17%Real assets13%Cash / other10%
Portfolio characteristics
Risk, yield and liquidity
Investment grade
83%
Floating rate
46%
Private / illiquid
32%
Currency matched
94%
30-day liquidity
72%
Average quality
A
Private credit portfolio
Sector composition, return and expected loss
SectorAssetsWeightYieldCapitalDefault PDExpected lossDirect lending$3.4B29.6%8.5%9.8%0.72%$18.1mInfrastructure debt$2.2B19.1%7.4%7.4%0.38%$8.7mCommercial real estate$1.8B15.7%8.2%10.5%0.91%$14.9mPrivate placements$1.7B14.8%7.0%6.8%0.34%$7.1mAsset-based finance$1.5B13.0%8.4%9.2%0.66%$8.8mSpecialty / other$0.9B7.8%8.1%8.7%0.59%$4.2m
Private credit limits
Concentration and risk guardrails
Expected yield8.1%+60 bps vs. current
Expected loss$61.8m0.54% of assets
Total allocation
23 / 30%
Largest sector
29.6 / 40%
Single issuer
1.2 / 2.5%
Below investment grade
14 / 25%
Portfolio interpretation: The tested allocation reallocates five percentage points from investment-grade public bonds into private credit, increasing expected return while maintaining investment quality, liquidity and concentration within approved limits.