Fixed-Inc Style Box
Listed for both domestic and international fixed-income separate accounts, with the exception of convertible bond separate accounts. The data focus on the two pillars of fixed-income performance: interest-rate sensitivity and credit quality. Morningstar splits fixed-income separate accounts into duration groups (Limited, <3.5 years; Moderate, >3.5 to 6 years; and Extensive, > 6 years) and three credit-quality groups (High, AAA or AA; Medium, A or BBB; and Low, BB and below). These groupings display a portfolio’s effective duration and credit quality to provide an overall representation of the separate account’s risk, given the length and quality of bonds in its portfolio. As with equity separate accounts, nine possible combinations exist, ranging from short duration/high quality for the safest separate accounts to long duration/low quality for the riskiest.
12-Month Yield
Also known as a distribution yield, Morningstar computes this figure by summing the trailing 12-month’s income distributions and dividing the sum by the last month’s ending NAV, plus any capital gains distributed over the same period. Income refers only to interest payments from fixed-income securities and dividend payoffs from common stocks.
Average Maturity
This figure is computed by weighting the maturity of each security in the portfolio by the market value of the security, then averaging these weighted figures.
We list Average Effective Maturity for Taxable Fixed-Income and Hybrid Separate Accounts.
We list Average Nominal Maturity for Municipal Bond Separate Accounts.
Average Effective Maturity Used for taxable fixed-income separate accounts only, this figure takes into consideration all mortgage prepayments, puts, and adjustable coupons; it does not, however, account for call provisions. The number listed is a weighted average of all the maturities of the bonds in the portfolio, computed by weighing each maturity date (the date the security comes due) by the market value of the security.
Average Nominal Maturity Listed only for municipal bond separate accounts, average nominal maturity is computed by weighting the nominal maturity of each security in the portfolio by the market value of the security, then averaging these weighted figures. Unlike Morningstar’s duration figure, it does not take into account prepayments, puts, calls, or adjustable coupons.
Average Effective Duration
A measure of a separate account product’s interest-rate sensitivity--the longer a separate account's duration, the more sensitive the separate account is to shifts in interest rates. Duration is determined by a formula that includes coupon rates and bond maturities. Small coupons tend to increase duration, while shorter maturities and higher coupons shorten duration. The relationship between separate accounts with different durations is straightforward: A separate account with a duration of 10 years is twice as volatile as a separate account with a five-year duration. Morningstar prints an average effective duration statistic that incorporates call, put, and prepayment possibilities.
Average Weighted Coupon
This figure is calculated by weighting each bond's coupon by its relative size in the portfolio.
Average Weighted Price
Morningstar generates this figure from the separate account’s representative holdings by weighting the price of each bond by its relative size in the portfolio. This number reveals if the separate account favors bonds selling at prices above or below face value (discount or premium securities, respectively). A higher number indicates a bias toward premiums. This statistic is expressed as a percentage of par (face) value.
Average Credit Quality
An average of all the credit quality positions for a separate account’s bond holdings. For corporate-bond and municipal bond separate accounts, Morningstar also shows the percentage of fixed-income securities that fall within each credit-quality rating, as assigned by Standard & Poor's or Moody's. Because it's rare to find individual bonds in a portfolio with a rating below B, the average credit quality of bond separate accounts in Morningstar's database ranges from AAA (highest) to B (lowest). U.S. Government bonds carry the highest credit rating, while bonds issued by speculative or bankrupt companies usually carry the lowest credit ratings. Anything at or below BB is considered a high-yield or "junk" bond.
Credit Quality: US Govt/ Agency, AAA, AA, A, BBB, BB, B, Below B, NR/NA
For corporate-bond and municipal-bond separate accounts, the credit analysis depicts the quality of bonds in the separate account's portfolio. The analysis reveals the percentage of fixed-income securities that fall within each credit-quality rating as assigned by Standard & Poor's or Moody's.
At the top of the ratings are U.S. government bonds. Bonds issued and backed by the federal government are of extremely high quality and thus are considered superior to bonds rated AAA, which is the highest possible rating a corporate issue can receive. Morningstar gives U.S. government bonds a credit rating separate from AAA securities to allow for a more accurate credit analysis of a portfolio's holdings. Bonds with a B rating are the lowest bonds that are still considered to be of investment grade. Bonds that are rated lower than B (often called junk bonds or high-yield bonds) are considered to be quite speculative. Any bonds that appear in the NR/NA category are either not rated by Standard & Poor's or Moody's, or did not have a rating available at the time of software release.
Credit Analysis Date
The date of the most-recent credit analysis of the separate account.
Total Number of Holdings
The total number of different holdings in the representative holdings of a separate account. This figure is meant to be a measure of portfolio risk. Specifically, the lower the figure, the more concentrated the separate account is in a few companies or issues, and the more the separate account is susceptible to the market fluctuations in these few holdings. This figure also provides a context for the importance of % assets in top 10 holdings. The figure is calculated from the most recent available separate account representative holdings. It does not include a separate account’s short positions.
% Assets in Top 10 Holdings
The aggregate assets, expressed as a percentage, of the separate account's top 10 representative holdings. This figure is meant to be a measure of portfolio risk. Specifically, the higher the percentage, the more concentrated the separate account is in a few companies or issues, and the more the separate account is susceptible to the market fluctuations in these few holdings. The figure is calculated from the most recent available separate account holdings.
Portfolio Date
The date of the most recent portfolio of the separate account, taken from representative holdings information provided to Morningstar by the asset management firm running the separate account.