Amtrak 2015 Annual Report Download - page 47

National Railroad Passenger Corporation and Subsidiaries (Amtrak)
Notes to Consolidated Financial Statements (continued)
12. Postretirement Employee Benefits (continued)
45
Fixed Income Securities
This investment category consists of Agency bonds, U.S. government securities, Corporate bonds,
Government bonds, Municipal bonds, Asset-backed securities and Mortgage-backed securities (government
and corporate). These assets are valued based on a compilation of primarily observable market information
or a broker quote in a non-active market. These assets are classified as Level 2 investments.
Common/Collective Trust
As of September 30, 2015, this category consisted of an investment in the Loomis Sayles Multi Sector Credit
Fund (the Loomis Sayles Fund) and the Eaton Vance Parametric Fund (the Eaton Vance Fund). At September
30, 2014, in addition to these two funds, the Company also had investments in the Thornburg International
Equity Fund (the Thornburg Fund).
The Loomis Sayles Fund (fair value of $19.6 million and $20.0 million as of September 30, 2015 and 2014,
respectively) seeks to generate solid long-term risk-adjusted investment performance with significant
allocations to non-U.S. dollar and emerging market debt securities. Securities rated below BBB- are limited
to 20-50% of the portfolio. The units are not traded on a recognized stock exchange and the value of the
Loomis units is determined daily by calculating NAV. The investments in the Loomis Sayles Fund are
redeemable any day the Loomis Sayles Fund is open for business.
The Eaton Vance Fund (fair value of $9.2 million and $11.9 million as of September 30, 2015 and 2014,
respectively) seeks long-term capital appreciation and normally invests at least 80% of its net assets in equity
securities of companies located in emerging market countries. It intends to invest primarily in securities of
companies located in countries included in the MSCI Emerging Markets Index or the MSCI Frontier Markets
Index. The units are not traded on a recognized stock exchange and the value of the Eaton units is determined
daily by calculating NAV. The investments in the Eaton Vance Fund are redeemable any day the Eaton Vance
Fund is open for business.
The Thornburg Fund (fair value of $44.0 million as of September 30, 2014) seeks long-term capital
appreciation by investing in equity securities of all types. As a secondary consideration, the Thornburg Fund
also seeks current income. The units are not traded on a recognized stock exchange and the value of the
Thornburg Fund units is determined daily by calculating the NAV. The investments in the Thornburg Fund
are redeemable any day the Thornburg Fund is open for business. During FY2015, the Vanguard FTSE fund
was selected to replace the Thornburg Fund due to performance issues and the departure of the Thornburg
Fund’s portfolio manager.
All investments in this category are classified as Level 2 investments.
Real Estate Investment Trust
This category consists of an investment in the Morgan Stanley Prime Property fund. The fair value of the
investments in the Prime Property Fund has been estimated using the NAV of the Plan’s ownership interest
(units) in the partner’s capital. The investment in the Prime Property Fund can be redeemed on a quarterly
basis but with no guarantee that cash will be available at any particular time to fund the redemption request.
If the cash is not available, the redemption will be deferred at the discretion of the fund manager until sufficient