Putnam Allstate Advisor

Putnam Diversified Income Subaccount

The subaccount seeks as high a level of current income as Putnam Management believes is consistent with preservation of capital.

Putnam Diversified Income Subaccount

Fund description

The subaccount seeks income from three sectors: U.S. corporate and government investment-grade bonds, foreign bonds, and higher-yielding, lower-rated corporate bonds. The benchmark allocation for each sector is typically one-third of total assets. The management team can adjust the weightings and may allocate from 15%-65% of assets to each sector. By diversifying its assets, the subaccount seeks to reduce the risk of overexposure to any one sector.

Sales story

Offering a diversified portfolio of income opportunities Diverse income opportunities: The fund provides exposure to bonds in all sectors of the expanding global fixed-income market and across the complete credit spectrum.Multiple strategies: Putnam's bond specialists employ 70-80 active investment strategies to pursue a diverse range of opportunities for performance.Active risk management: In today's complex bond market, the fund's experienced managers actively manage risk with the goal of superior risk-adjusted performance over time.

Management team

Daily pricing as of 04/25/18

with optional enhanced death benefits
Unit Value $20.526995 $19.943468
Unit Value Change -0.000705 -0.000768

Lipper ranking ‡ as of 03/31/18

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 51% 13/25
1 yr. 11% 5/48
3 yrs. 19% 8/43
5 yrs. 21% 7/33

Maturity detail includes only cash bonds and cash equivalents.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.'

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Quick facts as of 03/31/18

Fiscal Year End December
Asset Class Putnam Allstate Advisor
Subaccount Status Open to new investors
Number of issues 1445
Turnover (fiscal year end) 1,100%
Net Assets $213M
Inception Date 09/15/93

Performance

Performance as of 03/31/18

Annualized Performance Last Quarter Year
to Date		 1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 1.76% 1.76% 5.45% 2.78% 2.04% 3.84% 3.97%
Standardized -7.10% -7.10% -3.67% -2.09% -1.79% 0.92% 1.31%
With optional enhanced death benefit
Unit Value 1.72% 1.72% 5.29% 2.62% 1.88% 3.69% 3.81%
Standardized -7.14% -7.14% -3.82% -2.25% -1.96% 0.74% 1.10%
Actual performance
Unit Value 1.76% 1.76% 5.45% 2.78% 2.04% 3.84% 3.85%
Standardized -7.10% -7.10% -3.67% -2.09% -1.79% 0.92% 1.07%
With optional enhanced death benefit
Unit Value 1.72% 1.72% 5.29% 2.62% 1.88% 3.69% 3.70%
Standardized -7.14% -7.14% -3.82% -2.25% -1.96% 0.74% 0.87%

Annual Performance at NAV

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
-31.68% 53.42% 11.26% -4.38% 10.13% 6.47% -0.91% -3.56% 4.11% 5.79%
With optional enhanced death benefit
-31.78% 53.18% 11.09% -4.52% 9.96% 6.30% -1.06% -3.71% 3.95% 5.63%

Restated performance

Monthly as of 03/31/18

Unit Value 0.18%
Standardized -8.57%

YTD as of 04/25/18

Unit Value 2.17%
Standardized -6.72%

With optional enhanced death benefit

Monthly as of 03/31/18

Unit Value 0.17%
Standardized -8.58%

YTD as of 04/25/18

Unit Value 2.12%
Standardized -6.76%

Unit values and performance information shown apply to the specific annuity product listed, not the underlying Putnam Variable Trust fund. This information should not be used by investors who hold an interest in Putnam Variable Trust funds through a different annuity or other variable product. The unit values and performance of other variable products that offer Putnam Variable Trust funds may be higher or lower due to product charges and expenses or other factors.

Data is historical. Past performance is no guarantee of future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units.

Returns shown for the subaccounts for periods before their inception are derived from the historical performance of the underlying fund, adjusted to reflect the mortality, expense risk, and surrender charges applicable to this product and do not factor in the annual $30 contract maintenance fee. Additional riders and options for insurance-related charges will increase expenses and lower returns. Please see the prospectus for details. For a portion of the period, subaccounts may have limited expenses, without which returns would have been lower.

Variable annuities are long-term investments designed for retirement purposes. Putnam Hartford products are flexible-premium variable annuities issued by Hartford Life and Annuity Insurance Company, Simsbury, CT.

Putnam Allstate variable annuities are flexible-premium deferred variable annuities issued by Allstate Life Insurance Company (Allstate Life); underwritten by Allstate Distributors, L.L.C., both of Northbrook, IL; and sold through registered representatives or bank employees who are licensed insurance agents. Please check for availability in your specific state.

These policies have limitations and are sold by prospectus only. The prospectus contains details on the variable annuity, the subaccounts, contract features, fees, expenses, and other pertinent information.

Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund before investing. For a prospectus containing this and other information for any variable annuity or variable life product that invests in Putnam Variable Trust funds, contact your financial advisor for a contract prospectus and prospectus for the underlying funds. You may also call Hartford at 1-800-521-0538 or Allstate at 1-800-390-1277. Read the prospectuses carefully before investing.

For the most recent month-end performance, please call Hartford at 1-800-521-0538 or Allstate at 1-800-390-1277.

Maturity detail includes only cash bonds and cash equivalents.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Risk Characteristics as of 03/31/18

Avg. Eff. Maturity 6.24
Avg. Price 90.61
Avg. Eff. Duration 2.50
Avg. Coupon 5.42
Avg. Yield to Maturity 5.89

Maturity Details

0 to 1 yr. 3.72%
1 to 5 yrs. 23.87%
5 to 10 yrs. 67.13%
10 to 15 yrs. 2.52%
Over 15 yrs. 2.76%

Quality Ratings

AAA 40.87%
A 0.50%
BBB 10.07%
BB 20.79%
B 19.92%
CCC and Below 10.75%
Not Rated -2.90%

Holdings

Top 10 holdings as of 03/31/18

Fnma Fn30 Tba 03.5000 05/01/2048 8.91%
Fnma Fn30 Tba 04.0000 04/01/2048 2.88%
Fnma Fn30 Tba 05.5000 04/01/2048 1.53%
Gnma Gii30 Tba 04.5000 04/01/2048 1.46%
Gnma Gii30 Tba 04.5000 05/01/2048 1.46%
Gnma Gii30 Tba 04.0000 05/01/2048 1.44%
Fnma Fn30 Tba 02.5000 04/01/2048 1.32%
Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.92%
Cas 2015-C03 1m2 06.8715 07/25/2025 0.86%
Cas 2016-C03 2m2 07.7715 10/25/2028 0.86%
Top 10 holdings, total: 21.64%

 
Equity Holdings  | Full portfolio  |  Prior top 10 holdings

Equity Holdings as of 12/31/17
AVAYA HOLDINGS CORP 0.17%
GMAC CAPITAL TRUST I PCT 07.2008 0.09%
HALCON RESOURCES CORP 0.04%
SANDRIDGE ENERGY INC 0.03%
CAESARS ENTERTAINMENT CORP 0.01%
NINE POINT ENERGY CNV PRF 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
CHC GROUP LLC P/P 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
MILAGRO OIL & GAS 0.00%
NINE POINT ENERGY COM 0.00%
TERVITA CORP CLASS A 0.00%
TXU TCEH RIGHTS 0.00%

Full Portfolio Holdings as of 12/31/17
FNMA FN30 TBA 03.5000 02/01/2048 13.67%
GNMA GII30 TBA 04.5000 01/01/2048 3.00%
FNMA FN30 TBA 02.5000 01/01/2048 2.76%
SPAIN LETRAS DEL TESORO 00.0000 03/09/2018 2.12%
FNMA FN30 TBA 05.5000 01/01/2048 1.57%
FNMA FN30 TBA 04.0000 02/01/2048 1.49%
GNMA GII30 TBA 04.0000 01/01/2048 1.49%
FNMA FN30 TBA 03.5000 01/01/2048 1.47%
BUONI ORDINARI DEL TES 00.0000 03/29/2018 1.06%
CERT DI CREDITO DEL TES 00.0000 03/28/2018 1.06%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.94%
CAS 2015-C03 1M2 06.5521 07/25/2025 0.91%
CAS 2016-C03 2M2 07.4521 10/25/2028 0.86%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.86%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.86%
CWALT 2006-OA10 4A1 01.7421 08/25/2046 0.79%
BILHETES DO TESOURO 00.0000 05/18/2018 0.76%
CAS 2015-C04 1M2 07.2521 04/25/2028 0.73%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.66%
GNR 2016-H23 NI IO 02.4489 10/20/2066 0.64%
CAS 2016-C02 1B 13.8021 09/25/2028 0.61%
PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.61%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.59%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.56%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.54%
WFRBS 2013-C15 D P/P 144A 04.4811 08/15/2046 0.54%
STACR 2016-DNA1 B 11.5521 07/25/2028 0.51%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.50%
CWALT 2006-OA7 1A1 02.4981 06/25/2046 0.48%
OJSC RUSS AGRIC RSHB P/P 144A 07.7500 05/29/2018 0.44%
MSBAM 2014-C17 D P/P 144A 04.6972 08/15/2047 0.43%
WFRBS 2012-C10 D P/P 144A 04.4476 12/15/2045 0.42%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.41%
CAS 2016-C01 1B 13.3021 08/25/2028 0.40%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.40%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.40%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.40%
WAMU 2005-AR17 A1B3 01.9021 12/25/2045 0.39%
STACR 2015-DNA3 B 10.9021 04/25/2028 0.38%
CMLTI 2007-AMC3 A2D 01.9021 03/25/2037 0.37%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.37%
GSMS 2014-GC18 D P/P 144A 04.9441 01/10/2047 0.37%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.37%
JPMBB 2014-C18 D P/P 144A 04.8136 02/15/2047 0.36%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.36%
WBCMT 2006-C26 AJ 06.0270 06/15/2045 0.36%
CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 0.35%
CGCMT 2014-GC21 D P/P 144A 04.8349 05/10/2047 0.35%
JPMCC 2012-LC9 E P/P 144A 04.3718 12/15/2047 0.35%
MSBAM 2014-C15 D P/P 144A 04.8911 04/15/2047 0.35%
WFRBS 2012-C7 E P/P 144A 04.8255 06/15/2045 0.35%
CAS 2016-C03 1B 13.3021 10/25/2028 0.34%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.34%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.34%
VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 0.34%
BSCMS 2005-PWR7 B 05.2140 02/11/2041 0.33%
CSAIL 2015-C1 D P/P 144A 03.7980 04/15/2050 0.33%
STACR 2016-HQA2 M3 06.7021 11/25/2028 0.33%
LETRAS BANCO CENT ARGENT 00.0000 08/15/2018 0.32%
PETROBRAS GLOBAL FIN P/P 144A 05.9990 01/27/2028 0.32%
WFRBS 2014-C19 E P/P 144A 04.9711 03/15/2047 0.31%
BSCMS 2007-T26 AJ 05.5355 01/12/2045 0.30%
CWALT 2005-38 A3 01.9021 09/25/2035 0.30%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.30%
FHR 4425 IO IO 04.0000 01/15/2045 0.29%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.29%
COMM 2014-CR18 D P/P 144A 04.7347 07/15/2047 0.28%
FHR 4604 QI IO 03.5000 07/15/2046 0.28%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.28%
GNR 2017-H10 MI IO 01.7635 04/20/2067 0.28%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.28%
MSBAM 2013-C10 D P/P 144A 04.0822 07/15/2046 0.28%
GNR 2016-H09 BI IO 02.0340 04/20/2066 0.27%
GNR 2017-H16 JI IO 02.2626 08/20/2067 0.27%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.27%
SPRINT CORP 07.8750 09/15/2023 0.27%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.26%
GNR 2017-H08 NI IO 02.2302 03/20/2067 0.26%
JPMBB 2014-C26 D P/P 144A 03.9241 01/15/2048 0.26%
RALI 2006-QO10 A1 01.7121 01/25/2037 0.26%
WFCM 2013-LC12 D P/P 144A 04.2910 07/15/2046 0.26%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.25%
CWCI 2007-C3 AJ 05.8394 05/15/2046 0.25%
FNR 2013-90 SD IO 05.0479 09/25/2043 0.25%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.25%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.25%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.25%
MSC 2007-HQ11 B 05.5380 02/12/2044 0.25%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.25%
STACR 2015-DNA2 B 09.1021 12/25/2027 0.25%
CAS 2017-C02 2B1 07.0521 09/25/2029 0.24%
GNR 2015-H25 AI IO 01.6145 09/20/2065 0.24%
MSC 2008-T29 D P/P 144A 06.3131 01/11/2043 0.24%
SAMI 2007-AR1 2A1 01.7321 01/25/2037 0.24%
SERVICE CORP INTL 05.3750 05/15/2024 0.24%
WAMU 2005-AR10 1A3 03.2963 09/25/2035 0.24%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.23%
BCAP 2011-RR3 3A6 03.2660 11/27/2036 0.23%
CAS 2017-C03 1B1 06.4021 10/25/2029 0.23%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.23%
CWALT 2005-59 1A1 01.8311 11/20/2035 0.23%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.23%
LUKOIL INTL FINANCE P/P 144A 06.6560 06/07/2022 0.23%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.23%
CWALT 2006-OA7 1A2 02.0029 06/25/2046 0.22%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.22%
FHR 4452 QI IO 04.0000 11/15/2044 0.22%
FHR 4580 ID IO 03.5000 08/15/2045 0.22%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.22%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.22%
GNR 2016-H06 DI IO 01.9394 07/20/2065 0.22%
GNR 2016-H22 AI IO 02.4798 10/20/2066 0.22%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.21%
FIRST QUANTUM MINERA P/P 144A 07.5000 04/01/2025 0.21%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.21%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.21%
GNR 2016-H06 CI IO 01.6657 02/20/2066 0.21%
GNR 2016-H10 AI IO 01.7249 04/20/2066 0.21%
GNR 2017-130 LS IO 04.7092 08/16/2047 0.21%
GNR 2017-H06 BI IO 02.3312 02/20/2067 0.21%
PETROLEOS MEXICANOS USD 05.6250 01/23/2046 0.21%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.21%
CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 0.20%
GNR 2016-H24 JI IO 02.3471 11/20/2066 0.20%
GNR 2017-H09 IO IO 01.7782 04/20/2067 0.20%
GNR 2017-H12 QI IO 02.0646 05/20/2067 0.20%
MSBAM 2012-C6 F P/P 144A 04.5752 11/15/2045 0.20%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.20%
SFR GROUP SA P/P 144A 06.0000 05/15/2022 0.20%
WAMU 2005-AR19 A1C4 01.9521 12/25/2045 0.20%
ALTA MESA HLDGS 07.8750 12/15/2024 0.19%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.19%
GNR 2014-44 IA IO 03.5000 05/20/2028 0.19%
GNR 2016-H02 HI IO 01.7287 01/20/2066 0.19%
GNR 2017-H16 IB IO 01.8491 08/20/2067 0.19%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.19%
JPMCC 2007-CB20 E P/P 144A 06.2772 02/12/2051 0.19%
JPMCC 2011-C3 F P/P 144A 05.6311 02/15/2046 0.19%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.19%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.19%
BALTA 2005-8 21A1 03.4143 10/25/2035 0.18%
CAS 2015-C03 2M2 06.5521 07/25/2025 0.18%
COMM 2013-CCRE9 D P/P 144A 04.2541 07/10/2045 0.18%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.18%
CONTINENTAL RESOURCES 03.8000 06/01/2024 0.18%
CWALT 2006-OA10 3A1 01.7421 08/25/2046 0.18%
DIAMOND BC BV P/P 144A 05.6250 08/15/2025 0.18%
FNR 2016-102 JI IO 03.5000 02/25/2046 0.18%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.18%
GNR 2014-119 SA IO 04.0989 08/20/2044 0.18%
GNR 2015-H23 BI IO 01.7290 09/20/2065 0.18%
GNR 2016-42 IO IO 05.0000 02/20/2046 0.18%
GNR 2017-H02 BI IO 02.3626 01/20/2067 0.18%
GNR 2017-H16 IG IO 01.6832 07/20/2067 0.18%
GSAA 2006-8 2A2 01.7321 05/25/2036 0.18%
JPMBB 2014-C19 D P/P 144A 04.6608 04/15/2047 0.18%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.18%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.18%
AVAYA HOLDINGS CORP 0.17%
CIT GROUP INC. 05.0000 08/15/2022 0.17%
CLUBCORP HLDG INC P/P 144A 08.5000 09/15/2025 0.17%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.17%
GNR 2015-H24 AI IO 02.1065 09/20/2065 0.17%
GNR 2016-104 GI IO 04.5000 01/20/2046 0.17%
GNR 2016-H03 DI IO 02.0164 12/20/2065 0.17%
JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 0.17%
LNSTR 2015-3 C P/P 144A 03.1131 04/20/2048 0.17%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.17%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.17%
UNITYMEDIA HESSEN / NRW REGS 06.2500 01/15/2029 0.17%
BLUELINE RENTAL CRP P/P 144A 09.2500 03/15/2024 0.16%
BRAND ENERGY & I P/P 144A 08.5000 07/15/2025 0.16%
BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 0.16%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.16%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.16%
FHR 4077 IK IO 05.0000 07/15/2042 0.16%
FNR 2013-107 SB IO 04.3979 02/25/2043 0.16%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.16%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.16%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.16%
GNR 2013-22 OI IO 05.0000 01/20/2043 0.16%
GNR 2016-48 MI IO 03.5000 04/16/2046 0.16%
GNR 2016-H16 EI IO 02.2359 06/20/2066 0.16%
PROVINCIA DE BUENOS P/P 144A 26.8925 05/31/2022 0.16%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.16%
UBSBB 2012-C2 F P/P 144A 04.8942 05/10/2063 0.16%
VTB BK (VTB EURASIA) P/P 144A 09.5000 12/29/2049 0.16%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.15%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 0.15%
CFCRE 2011-C2 E P/P 144A 05.7536 12/15/2047 0.15%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.15%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.15%
DBALT 2006-AR4 A2 01.7421 12/25/2036 0.15%
DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 0.15%
FHR 3065 DC 15.4289 03/15/2035 0.15%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.15%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.15%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.15%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.15%
GNR 2013-H08 CI IO 01.6783 02/20/2063 0.15%
GNR 2015-95 PI IO 03.5000 07/20/2045 0.15%
GNR 2015-H25 EI IO 01.8419 10/20/2065 0.15%
GNR 2016-H14 AI IO 02.3267 06/20/2066 0.15%
GNR 2017-H11 DI IO 01.8656 05/20/2067 0.15%
GNR 2017-H11 TI IO 02.1547 04/20/2067 0.15%
INTELSAT JACKSON HLD P/P 144A 09.7500 07/15/2025 0.15%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.15%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.15%
AES CORP/VA 05.5000 04/15/2025 0.14%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.14%
COMM 2012-CR3 E P/P 144A 04.7551 10/15/2045 0.14%
CWALT 2006-OA10 2A1 01.7421 08/25/2046 0.14%
FHR 4530 TI IO 04.0000 11/15/2045 0.14%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.14%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.14%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.14%
GNR 2016-H03 AI IO 01.9366 01/20/2066 0.14%
GOLDEN NUGGET INC P/P 144A 08.7500 10/01/2025 0.14%
GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 0.14%
JPMCC 2007-CB20 C P/P 144A 06.2772 02/12/2051 0.14%
MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 0.14%
MSC 2008-T29 F P/P 144A 06.3131 01/11/2043 0.14%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.14%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.14%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.14%
STACR 2016-DNA2 M3 06.2021 10/25/2028 0.14%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.14%
TARGA RESOURCES PART P/P 144A 05.0000 01/15/2028 0.14%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.14%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.14%
ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 0.13%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.13%
BSCMS 2007-T28 D P/P 144A 05.6555 09/11/2042 0.13%
CASELLA WASTE TLB L+250 03.9908 10/17/2023 0.13%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.13%
CSC HOLDINGS LLC P/P 144A 10.1250 01/15/2023 0.13%
FHR 4024 PI IO 04.5000 12/15/2041 0.13%
GNR 2014-H21 BI IO 01.5454 10/20/2064 0.13%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.13%
GNR 2017-63 PI IO 04.0000 12/20/2043 0.13%
GOLDEN NUGGET INC P/P 144A 06.7500 10/15/2024 0.13%
INFOR SOFTWARE P/P 144A 07.1250 05/01/2021 0.13%
JPMBB 2014-C18 E P/P 144A 04.3136 02/15/2047 0.13%
MLMT 2008-C1 AJ 06.4478 02/12/2051 0.13%
NAVISTAR TLB L+350 04.7500 11/06/2024 0.13%
OMIR 2017-1A B1 P/P 144A 07.3021 04/25/2027 0.13%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.13%
SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 0.13%
SOLERA LLC / SOLERA P/P 144A 10.5000 03/01/2024 0.13%
SWPTN 1YX30Y R 1.673 GBP 10/05/2018 GS 0.13%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.13%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.13%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.13%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.13%
VALEANT PHARMA P/P 144A 05.8750 05/15/2023 0.13%
WFRBS 2013-UBS1 E P/P 144A 04.6237 03/15/2046 0.13%
ADS INC P/P 144A 05.6250 11/15/2024 0.12%
BALTA 2004-3 B 04.4771 04/25/2034 0.12%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.12%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.12%
CLEAR CHANNEL TLD L+675 08.4434 01/30/2019 0.12%
CONSTELLIUM NV P/P 144A 05.8750 02/15/2026 0.12%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.12%
FHR 4122 TI IO 04.5000 10/15/2042 0.12%
FHR 4678 MS IO 05.1072 04/15/2047 0.12%
FNR 2010-140 GS IO 04.4479 07/25/2039 0.12%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.12%
GNR 2015-60 PI IO 04.0000 04/20/2045 0.12%
GNR 2015-69 IK IO 03.5000 03/20/2038 0.12%
GNR 2015-H10 BI IO 02.1044 04/20/2065 0.12%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.12%
GNR 2016-H24 CI IO 01.6960 10/20/2066 0.12%
GREAT LAKES D&D 08.0000 05/15/2022 0.12%
HCA INC 06.5000 02/15/2020 0.12%
INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 0.12%
JPMBB 2013-C14 D P/P 144A 04.5688 08/15/2046 0.12%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.12%
ORTHO-CLINICAL INC/S P/P 144A 06.6250 05/15/2022 0.12%
REPUBLIC OF EL SALVADOR REGS 05.8750 01/30/2025 0.12%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.12%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.12%
SWPTN 1YX10Y R 1.522 GBP 10/05/2018 GS 0.12%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.12%
WERNER FINCO LP/INC P/P 144A 08.7500 07/15/2025 0.12%
ARAB REPUBLIC OF EGYPT REGS 08.5000 01/31/2047 0.11%
BMIR 2017-1 B1 P/P 144A 06.3021 10/25/2027 0.11%
CALPINE CORP 05.7500 01/15/2025 0.11%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.11%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.11%
CORNERSTONE CHEM CO P/P 144A 06.7500 08/15/2024 0.11%
CSMC 2007-C4 C P/P 144A 06.0732 09/15/2039 0.11%
CWALT 2005-38 A1 02.5629 09/25/2035 0.11%
FHR 4000 LI IO 04.0000 02/15/2042 0.11%
FIRST DATA CORP P/P 144A 05.7500 01/15/2024 0.11%
FNR 2017-7 JI IO 04.0000 02/25/2047 0.11%
FRAC TECH INTL TLB L+475 06.3190 04/16/2021 0.11%
GAZPROM (GAZ CAP SA) P/P 144A 09.2500 04/23/2019 0.11%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.11%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.11%
GNR 2015-64 PI IO 03.5000 05/20/2045 0.11%
GNR 2016-37 IW IO 04.5000 02/20/2046 0.11%
GNR 2016-H17 KI IO 02.2718 07/20/2066 0.11%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.11%
HUB INTL LTD P/P 144A 07.8750 10/01/2021 0.11%
INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 0.11%
IRON MOUNTAIN INC P/P 144A 04.8750 09/15/2027 0.11%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.11%
ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 0.11%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.11%
SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 0.11%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.11%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.11%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.11%
T-MOBILE USA INC 06.6250 04/01/2023 0.11%
UNITED MEXICAN STATES USD 05.7500 10/12/2110 0.11%
AES CORP/VA 07.3750 07/01/2021 0.10%
ALPHA 3 BV / US BID P/P 144A 06.2500 02/01/2025 0.10%
ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 0.10%
ALTICE FINANCING SA P/P 144A 07.5000 05/15/2026 0.10%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.10%
AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 0.10%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.10%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.10%
CAS 2015-C04 2M2 07.1021 04/25/2028 0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.10%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.10%
CONTINENTAL RESOURCES 04.9000 06/01/2044 0.10%
DYNEGY INC 07.3750 11/01/2022 0.10%
EVEREST ACQ LLC/FIN 09.3750 05/01/2020 0.10%
FNR 2006-8 HP 18.8755 03/25/2036 0.10%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.10%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.10%
FREEDOM MTGE CORP P/P 144A 08.1250 11/15/2024 0.10%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.10%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.10%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.10%
GSR 2007-OA1 2A3A 01.6386 05/25/2037 0.10%
HCA INC 05.5000 06/15/2047 0.10%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.10%
JPALT 2007-A2 12A1 01.7521 06/25/2037 0.10%
NAVISTAR INTL CORP P/P 144A 06.6250 11/01/2025 0.10%
PENSKE AUTO GRP INC 05.7500 10/01/2022 0.10%
PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 0.10%
PLATFORM SPECIALTY P/P 144A 05.8750 12/01/2025 0.10%
REP OF COSTA RICA P/P 144A 07.0000 04/04/2044 0.10%
REPUBLIC OF ECUADOR REGS 07.9500 06/20/2024 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
SFR GROUP SA P/P 144A 06.2500 05/15/2024 0.10%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.10%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.10%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.10%
USD/MXN CALL 21.50 20180531 BCAP-FX 0.10%
VALEANT PHARMA P/P 144A 06.1250 04/15/2025 0.10%
AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 0.09%
ARGENTINE REPUBLIC USD 07.5000 04/22/2026 0.09%
AVAYA TLB-EXIT L+475 06.2270 11/09/2024 0.09%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.09%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.09%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.09%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.09%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.09%
CWALT 2007-OH1 A1D 01.7621 04/25/2047 0.09%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.09%
FHR 4403 CI IO 04.0000 10/15/2044 0.09%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.09%
GMAC CAPITAL TRUST I PCT 07.2008 0.09%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.09%
GNR 2015-H08 CI IO 01.7923 03/20/2065 0.09%
GNR 2016-H14 IO IO 01.6754 06/20/2066 0.09%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.09%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.09%
INFOR US INC 06.5000 05/15/2022 0.09%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.09%
JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 0.09%
MGM RESORTS INTL 06.6250 12/15/2021 0.09%
RANGE RESOURCES CORP 05.7500 06/01/2021 0.09%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.09%
SPRINT CORP 07.2500 09/15/2021 0.09%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.09%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.09%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.09%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.09%
TENNECO INC 05.3750 12/15/2024 0.09%
TRIDENT MERGER SUB P/P 144A 06.6250 11/01/2025 0.09%
UKRAINE GOVERNMENT P/P 144A 07.7500 09/01/2027 0.09%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.09%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.09%
ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 0.09%
ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 0.08%
ARCELORMITTAL USD 07.5000 10/15/2039 0.08%
BIG RVR STL/FIN P/P 144A 07.2500 09/01/2025 0.08%
CAS 2016-C04 1B 11.8021 01/25/2029 0.08%
CAS 2017-C05 1B1 05.1521 01/25/2030 0.08%
CENTENE CORP 06.1250 02/15/2024 0.08%
CF INDUSTRIES INC 04.9500 06/01/2043 0.08%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.08%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.08%
CRC ESCROW ISSUER LL P/P 144A 05.2500 10/15/2025 0.08%
CSC HOLDINGS LLC 06.7500 11/15/2021 0.08%
DOMINICAN REPUBLIC P/P 144A 05.9500 01/25/2027 0.08%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.08%
FHR 4546 TI IO 04.0000 12/15/2045 0.08%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.08%
FNR 2010-35 SG IO 04.8479 04/25/2040 0.08%
FNR 2011-98 AI IO 03.5000 11/25/2037 0.08%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.08%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.08%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.08%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.08%
GNR 2014-122 IC IO 05.0000 08/20/2044 0.08%
GNR 2015-187 KI IO 05.0000 06/20/2043 0.08%
GNR 2015-H26 CI IO 00.6165 08/20/2065 0.08%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.08%
JONAH NRG LLC/FINANC P/P 144A 07.2500 10/15/2025 0.08%
KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 0.08%
LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 0.08%
MHL 2005-3 M2 02.3471 08/25/2035 0.08%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.08%
NRG ENERGY INC 06.6250 01/15/2027 0.08%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.08%
PULTEGROUP INC 05.5000 03/01/2026 0.08%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.08%
REVLON CONS TLB L+350 05.0690 09/07/2023 0.08%
REVLON CONSUMER PROD 06.2500 08/01/2024 0.08%
RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 0.08%
SIX FLAGS ENT P/P 144A 05.5000 04/15/2027 0.08%
SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 0.08%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.08%
TENET HEALTHCARE 06.0000 10/01/2020 0.08%
TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 0.08%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.07%
AES CORP/VA 05.1250 09/01/2027 0.07%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.07%
ANTERO RESOURCES 05.3750 11/01/2021 0.07%
BEACON ESCROW CORP P/P 144A 04.8750 11/01/2025 0.07%
BIOSCRIP INC 08.8750 02/15/2021 0.07%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.07%
CENTENE CORP 04.7500 05/15/2022 0.07%
DEAN FOODS CO P/P 144A 06.5000 03/15/2023 0.07%
DIAMONDBACK ENERGY INC 05.3750 05/31/2025 0.07%
DYNEGY INC 07.6250 11/01/2024 0.07%
FLEX ACQ CO INC P/P 144A 06.8750 01/15/2025 0.07%
FNR 2005-122 SE 17.6675 11/25/2035 0.07%
FORTERRA TL L+300 04.5690 10/25/2023 0.07%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.07%
GENON ENERGY INC. 09.8750 10/15/2020 0.07%
GNR 2013-129 SN IO 04.6489 09/20/2043 0.07%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.07%
GNR 2013-6 IC IO 05.0000 01/20/2043 0.07%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.07%
GW HONOS SECURITY CO P/P 144A 08.7500 05/15/2025 0.07%
HCA INC 05.2500 06/15/2026 0.07%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.07%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.07%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.07%
LIONS GATE ENT P/P 144A 05.8750 11/01/2024 0.07%
MERCER INTL INC USD 06.5000 02/01/2024 0.07%
MILLER HOMES GRP HLDS REGS 05.5000 10/15/2024 0.07%
NEIMAN MARCUS TL L+325 04.8050 10/25/2020 0.07%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.07%
PARK-OHIO INDUSTRIES INC 06.6250 04/15/2027 0.07%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.07%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.07%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.07%
REYNOLDS GRP ISS/REY P/P 144A 07.0000 07/15/2024 0.07%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.07%
SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP 0.07%
SWPTN 10YX10Y R 2.7575 USD 12/20/2027 JP 0.07%
SWPTN 10YX10Y R 2.795 USD 12/20/2027 JP 0.07%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.07%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.07%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.07%
T-MOBILE USA INC 06.3750 03/01/2025 0.07%
TMS INTL CORP P/P 144A 07.2500 08/15/2025 0.07%
TRANSDIGM INC 06.5000 07/15/2024 0.07%
TTM TECHNOLOGIES INC P/P 144A 05.6250 10/01/2025 0.07%
USG CORP P/P 144A 04.8750 06/01/2027 0.07%
VALEANT PHARMA P/P 144A 07.0000 03/15/2024 0.07%
VIRGIN MEDIA SECURED FIN REGS 05.1250 01/15/2025 0.07%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.07%
WRANGLER BUYER CORP P/P 144A 06.0000 10/01/2025 0.07%
1.40 R ISWP FWD NOKOIB6M P 03/21/2023 0.06%
2.10 R ISWP FWD US0003M P 03/21/2020 0.06%
ALTICE LUXEMBOURG SA REGS 06.2500 02/15/2025 0.06%
AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 0.06%
AMC ENTERTAINMENT HOLDIN 05.7500 06/15/2025 0.06%
ARD FINANCE SA 06.6250 09/15/2023 0.06%
ASP AMC MERGER SUB P/P 144A 08.0000 05/15/2025 0.06%
BOYD GAMING CORPORATION 06.8750 05/15/2023 0.06%
CALIFORNIA RESOURC TL L+475 06.2408 11/17/2022 0.06%
CAS 2016-C05 2B 12.3021 01/25/2029 0.06%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.06%
CBS RADIO INC P/P 144A 07.2500 11/01/2024 0.06%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.06%
CIT GROUP INC 05.0000 08/01/2023 0.06%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.06%
CODERE FINANCE 2 LUXEMBO REGS 06.7500 11/01/2021 0.06%
CREDIT ACCEPTANC 06.1250 02/15/2021 0.06%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.06%
DISH DBS CORP 05.8750 11/15/2024 0.06%
ENDEAVOR ENERGY P/P 144A 05.7500 01/30/2028 0.06%
ENDO FIN LLC/ENDO FI P/P 144A 05.3750 01/15/2023 0.06%
EUROPCAR GROUPE SA REGS 04.1250 11/15/2024 0.06%
FHR 3072 SM 04.2533 11/15/2035 0.06%
FHR 4000 PI IO 04.5000 01/15/2042 0.06%
FHR 4105 HI IO 03.5000 07/15/2041 0.06%
FHS 304 C37 IO 03.5000 12/15/2027 0.06%
FNR 2007-53 SP 18.5089 06/25/2037 0.06%
FNR 2008-24 SP 17.5922 02/25/2038 0.06%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.06%
FXI HOLDINGS INC P/P 144A 07.8750 11/01/2024 0.06%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.06%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.06%
GNR 2013-183 JI IO 04.5000 02/16/2043 0.06%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.06%
JPMCC 2011-C3 E P/P 144A 05.6311 02/15/2046 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 0.06%
KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 0.06%
MASARIA INVESTMENTS SAU REGS 05.0000 09/15/2024 0.06%
MATALAN FINANCE PLC REGS 06.8750 06/01/2019 0.06%
NEW GOLD INC P/P 144A 06.2500 11/15/2022 0.06%
NOVA CHEMICALS CORP P/P 144A 05.2500 06/01/2027 0.06%
NOVAFIVES REGS 04.5000 06/30/2021 0.06%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.06%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.06%
STARWOOD PROP TR P/P 144A 04.7500 03/15/2025 0.06%
SWPTN 10YX10Y P 2.795 USD 12/20/2027 JP 0.06%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.06%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.06%
UNILABS SUBHOLD REGS 05.7500 05/15/2025 0.06%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.06%
USIS MERGER SUB INC P/P 144A 06.8750 05/01/2025 0.06%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.06%
WINDSTREAM SRVC / FIN 06.3750 08/01/2023 0.06%
WPX ENERGY INC 06.0000 01/15/2022 0.06%
WPX ENERGY INC 07.5000 08/01/2020 0.06%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.05%
2.40 R ISWP FWD AUDBB6M P 03/21/2023 0.05%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.05%
ARCELORMITTAL USD 06.1250 06/01/2025 0.05%
BARCLAYS BANK PLC P/P 144A 10.1790 06/12/2021 0.05%
BERRY GLOBAL INC 05.5000 05/15/2022 0.05%
BOMBARDIER INC P/P 144A 07.5000 12/01/2024 0.05%
CAS 2015-C02 2M2 05.5521 05/25/2025 0.05%
CAS 2016-C06 1M2 05.8021 04/25/2029 0.05%
CEC ENT INC 08.0000 02/15/2022 0.05%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.05%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.05%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.05%
CPTFEMU R 1.4 P 07/15/27 0.05%
CROWNROCK LP/CROWNRO P/P 144A 05.6250 10/15/2025 0.05%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.05%
FHR 4210 PI IO 03.0000 12/15/2041 0.05%
FNR 2005-83 QP 13.3585 11/25/2034 0.05%
FNR 2012-127 BI IO 04.5000 11/25/2042 0.05%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.05%
GLP CAP LP / FIN II 04.8750 11/01/2020 0.05%
JPMBB 2013-C12 E P/P 144A 04.0912 07/15/2045 0.05%
LOUISIANA-PACIFIC CORP 04.8750 09/15/2024 0.05%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.05%
MATCH GROUP INC P/P 144A 05.0000 12/15/2027 0.05%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.05%
MICROCHIP TEC P/P 144A CV 01.6250 02/15/2027 0.05%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.05%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.05%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.05%
NEWFIELD EXPLORATION CO 05.7500 01/30/2022 0.05%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.05%
QEP RESOURCES INC 05.6250 03/01/2026 0.05%
RBS GLOBAL/REXNO P/P 144A 04.8750 12/15/2025 0.05%
SESI LLC P/P 144A 07.7500 09/15/2024 0.05%
SHELF DRILL HOLD LTD P/P 144A 09.5000 11/02/2020 0.05%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.05%
SM ENERGY CO 06.1250 11/15/2022 0.05%
SM ENERGY CO 06.5000 11/15/2021 0.05%
SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 0.05%
SPECTRUM BRANDS INC 05.7500 07/15/2025 0.05%
STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 0.05%
SUGAR HSP GAMING P/P 144A 05.8750 05/15/2025 0.05%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.05%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.05%
SWPTN 5WX10Y R 2.3388 USD 02/01/2018 MS 0.05%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 0.05%
TEMPO ACQ LLC/FI P/P 144A 06.7500 06/01/2025 0.05%
TENNANT CO P/P 144A 05.6250 05/01/2025 0.05%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.05%
US CONCRETE INC 06.3750 06/01/2024 0.05%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.05%
ADT CORP 04.1250 06/15/2023 0.04%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.04%
AMC ENTERTAINMENT HOLDIN 05.8750 02/15/2022 0.04%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.04%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.04%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.04%
BCAP 2012-RR5 4A8 01.4975 06/26/2035 0.04%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.04%
CALATLANTIC GROUP INC 05.8750 11/15/2024 0.04%
CALFRAC HOLDINGS LP P/P 144A 07.5000 12/01/2020 0.04%
CAS 2015-C02 1M2 05.5521 05/25/2025 0.04%
CBRE SERVICES INC 05.2500 03/15/2025 0.04%
CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 0.04%
CCO HOLDINGS LLC P/P 144A 05.1250 05/01/2027 0.04%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.04%
CLEAR CHNL WORLD 07.6250 03/15/2020 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.04%
CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 0.04%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.04%
DAKOTA MERGER SUB P/P 144A 10.7500 09/01/2024 0.04%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.04%
FHR 3249 PS 17.4008 12/15/2036 0.04%
FIRST DATA TL L+225 03.8021 04/26/2024 0.04%
FNS 378 19 IO 05.0000 06/25/2035 0.04%
FRONTIER COMM 10.5000 09/15/2022 0.04%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.04%
GNR 2010-158 IP IO 04.5000 06/20/2039 0.04%
GNR 2013-99 VS IO 04.6092 07/16/2043 0.04%
GOEASY LTD P/P 144A 07.8750 11/01/2022 0.04%
HALCON RESOURCES CORP 0.04%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.04%
HCA INC. 07.5000 02/15/2022 0.04%
HESS INFRASTRUCTURE P/P 144A 05.6250 02/15/2026 0.04%
ICAHN ENTER/FIN 06.7500 02/01/2024 0.04%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.04%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.04%
KCA DEUTAG TL L+525 07.1959 05/16/2020 0.04%
KRONOS 2NDL L+825 09.6268 11/01/2024 0.04%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.04%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.04%
MATTAMY GROUP CORP P/P 144A 06.5000 10/01/2025 0.04%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.04%
MICRON TECH INC P/P 144A 05.2500 01/15/2024 0.04%
MURRAY ENERGY CORP P/P 144A 11.2500 04/15/2021 0.04%
NETFLIX INC P/P 144A 04.8750 04/15/2028 0.04%
NEWFIELD EXPLORATION CO 05.3750 01/01/2026 0.04%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.04%
NIELSEN FIN LLC/CO P/P 144A 05.0000 04/15/2022 0.04%
NRG ENERGY INC 07.2500 05/15/2026 0.04%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.04%
OPTN FN30 3.0 01/04/18 CALL 100.03125 JPMC 0.04%
OSHKOSH CORP 05.3750 03/01/2025 0.04%
PENN NATIONAL GAMING P/P 144A 05.6250 01/15/2027 0.04%
PILGRIM'S PRIDE CORP P/P 144A 05.7500 03/15/2025 0.04%
REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 0.04%
ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 0.04%
SEMGROUP CORP P/P 144A 06.3750 03/15/2025 0.04%
SEVEN GENERATIONS P/P 144A 05.3750 09/30/2025 0.04%
SINCLAIR TELEVISION P/P 144A 05.1250 02/15/2027 0.04%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.04%
SWPTN 3MX5Y P 0.303 EUR 03/19/2018 MS 0.04%
SWPTN 3WX10Y R 2.363 USD 01/17/2018 CI 0.04%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.04%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.04%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.04%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
SWPTN LIABILITY 2YX30Y P 2.43 USD 11/13/2019 MS 0.04%
SWPTN LIABILITY 2YX30Y R 2.826 USD 11/08/2019 JP 0.04%
SWPTN LIABILITY 5WX10Y P 2.42 USD 02/01/2018 MS 0.04%
SWPTN LIABILITY 5WX10Y R 2.42 USD 02/01/2018 MS 0.04%
TALBOTS INC 1STL L+450 06.0690 03/19/2020 0.04%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.04%
TARGA RES PRTNRS 05.3750 02/01/2027 0.04%
THE AES CORPORATION 04.8750 05/15/2023 0.04%
THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 0.04%
TR OP / TR FIN P/P 144A 05.3750 09/01/2025 0.04%
TRANSDIGM INC 06.3750 06/15/2026 0.04%
VALEANT PHARMA P/P 144A 09.0000 12/15/2025 0.04%
VALEANT PHARMACEUTIC P/P 144A 05.5000 03/01/2023 0.04%
VENATOR FIN SARL/VEN P/P 144A 05.7500 07/15/2025 0.04%
VERMILION ENERGY INC P/P 144A 05.6250 03/15/2025 0.04%
WEATHERFORD BERMUDA 09.8750 02/15/2024 0.04%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.04%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.04%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.04%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.03%
A SCHULMAN INC 06.8750 06/01/2023 0.03%
ACADEMY SPORTS TLB L+400 05.5463 07/02/2022 0.03%
AIR METHODS TLB L+350 04.7964 04/21/2024 0.03%
AK STEEL CORP 06.3750 10/15/2025 0.03%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.03%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.03%
BWAY CORP TLB L+325 04.9580 04/03/2024 0.03%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.03%
CALPINE CORP P/P 144A 05.2500 06/01/2026 0.03%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.03%
CCC INFO 2NDL L+675 08.3190 03/30/2025 0.03%
CHEMOURS CO 05.3750 05/15/2027 0.03%
CHEMOURS CO 07.0000 05/15/2025 0.03%
CHS/COMMUNITY HEALTH SYS 07.1250 07/15/2020 0.03%
CINEMARK USA INC 04.8750 06/01/2023 0.03%
CINEMARK USA INC 05.1250 12/15/2022 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.03%
CONTINENTAL RES 04.5000 04/15/2023 0.03%
CPTFEMU R 1.4275 P 08/15/27 0.03%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.03%
DISH NETWORK CV 03.3750 08/15/2026 0.03%
DYNEGY INC P/P 144A 08.1250 01/30/2026 0.03%
EP ENER/EVEREST ACQ P/P 144A 08.0000 02/15/2025 0.03%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.03%
FNR 2006-62 PS 30.5872 07/25/2036 0.03%
GATES GLOBAL TLB L+300 04.6934 03/31/2024 0.03%
GETTY IMAGES TLB L+350 04.7500 10/18/2019 0.03%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.03%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.03%
HUB HLDG LLC/HUB HOL P/P 144A 08.1250 07/15/2019 0.03%
ICAHN ENTER/FIN 06.0000 08/01/2020 0.03%
INFOR US INC P/P 144A 05.7500 08/15/2020 0.03%
INTEL CORP CV 03.2500 08/01/2039 0.03%
JAZZ INVESTME USD 01.8750 08/15/2021 0.03%
JC PENNEY CORP INC 07.4000 04/01/2037 0.03%
JELD-WEN INC P/P 144A 04.6250 12/15/2025 0.03%
JELD-WEN INC P/P 144A 04.8750 12/15/2027 0.03%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.03%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.03%
LIVE NATION ENT P/P 144A 04.8750 11/01/2024 0.03%
MEG ENERGY TLB L+350 05.2000 12/31/2023 0.03%
MERCER INTL INC P/P 144A 05.5000 01/15/2026 0.03%
NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 0.03%
NOVA CHEMICALS CORP P/P 144A 04.8750 06/01/2024 0.03%
NOVELLUS SYS CV 02.6250 05/15/2041 0.03%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.03%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.03%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.03%
POMEGRANATE MERGER S P/P 144A 09.7500 05/01/2023 0.03%
RACKSPACE HOSTING INC L+300 04.3848 11/03/2023 0.03%
REGENCY ENERGY P 04.5000 11/01/2023 0.03%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.03%
ROBERTSHAW 1STL L+450 05.7500 08/10/2024 0.03%
SANDRIDGE ENERGY INC 0.03%
SPRINGLEAF FINANCE CORP 08.2500 12/15/2020 0.03%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.03%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 13WX3Y P 1.964 USD 01/08/2018 JP 0.03%
SWPTN 2MX10Y R 2.28 USD 02/22/2018 CI 0.03%
SWPTN 2MX10Y R 2.298 USD 01/30/2018 CI 0.03%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 5WX10Y P 2.5012 USD 02/01/2018 MS 0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.03%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
SWPTN LIABILITY 2YX20Y P 2.584 USD 11/08/2019 GS 0.03%
SWPTN LIABILITY 2YX20Y R 2.584 USD 11/08/2019 GS 0.03%
SWPTN LIABILITY 2YX30Y P 2.615 USD 11/12/2019 CI 0.03%
SWPTN LIABILITY 2YX30Y R 2.615 USD 11/12/2019 CI 0.03%
T-MOBILE USA INC 05.3750 04/15/2027 0.03%
TALBOTS INC 2NDL L+850 10.0690 03/19/2021 0.03%
TENET HEALTHCARE CORP 08.1250 04/01/2022 0.03%
USG CORP P/P 144A 05.5000 03/01/2025 0.03%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.03%
WABASH NATIONAL CORP P/P 144A 05.5000 10/01/2025 0.03%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.03%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.03%
WERNER TLB L+400 05.0000 07/24/2024 0.03%
WHITING PETROLEUM C P/P 144A 06.6250 01/15/2026 0.03%
-0.15 R ISWP FWD CHL6M P 03/21/2023 0.02%
2.25 R ISWP FWD US0003M P 03/21/2023 0.02%
7.48 R ISWP JIBA3M P 10/31/2020 0.02%
AMC ENT HOLDIN 05.8750 11/15/2026 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
AUD/USD 01/17/2018 UBS 0.02%
BAYTEX ENERGY CORP P/P 144A 05.1250 06/01/2021 0.02%
BLACKSTONE MORTGAGE TR CV 05.2500 12/01/2018 0.02%
CAD/USD 01/17/2018 JPMCB 0.02%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CCO HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 0.02%
CENTENE CORP 04.7500 01/15/2025 0.02%
CENTURYLINK INC 05.6250 04/01/2020 0.02%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.02%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 06/15/2027 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
COLONY STARWO P/P 144A CV 03.5000 01/15/2022 0.02%
COMMSCOPE TECH LLC P/P 144A 05.0000 03/15/2027 0.02%
CPG INTL TL L+375 05.0828 05/05/2024 0.02%
CPTFEMU R 1.3013 P 10/15/22 0.02%
CPTFEMU R 1.42 P 08/15/27 0.02%
CPTFEMU R 1.4475 P 09/15/27 0.02%
CPURNSA R 1.89 P 07/05/22 0.02%
CSMC 2006-C5 AX IO 00.6661 12/15/2039 0.02%
DIAMONDBACK ENERGY INC 04.7500 11/01/2024 0.02%
DYCOM IND INC CV 00.7500 09/15/2021 0.02%
ENDEAVOR ENERGY P/P 144A 05.5000 01/30/2026 0.02%
ENERGY TRANSFER EQUITY 05.5000 06/01/2027 0.02%
EP ENER/EVEREST P/P 144A 08.0000 11/29/2024 0.02%
EURONET WORLD CV 01.5000 10/01/2044 0.02%
FHR 3408 EK 19.8497 04/15/2037 0.02%
GMACC 2004-C3 B 04.9650 12/10/2041 0.02%
ISTAR INC 05.2500 09/15/2022 0.02%
ISTAR INC 06.0000 04/01/2022 0.02%
ITRON INC P/P 144A 05.0000 01/15/2026 0.02%
JACOBS ENT INC P/P 144A 07.8750 02/01/2024 0.02%
JPMCC 2007-CB20 B P/P 144A 06.2772 02/12/2051 0.02%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 0.02%
LIBERTY EXPEDIA HOLD INC 144A 0.02%
LIBERTY INTER P/P 144A CV 01.7500 09/30/2046 0.02%
LIBERTY MEDIA CV 01.3750 10/15/2023 0.02%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.02%
MERCER INTL INC USD 07.7500 12/01/2022 0.02%
MGM GROWTH/MGM FIN P/P 144A 04.5000 01/15/2028 0.02%
MICRON TECHNO CV 03.0000 11/15/2043 0.02%
NEIMAN MARCUS GROUP P/P 144A 08.7500 10/15/2021 0.02%
NEW GOLD INC P/P 144A 06.3750 05/15/2025 0.02%
NORTHWEST ACQ/DOMIN P/P 144A 07.1250 11/01/2022 0.02%
NRG ENERGY INC P/P 144A 05.7500 01/15/2028 0.02%
ON SEMICONDUC CV 01.0000 12/01/2020 0.02%
OPTN FN30 3.0 02/06/18 CALL 100.0 JPMC 0.02%
OPTN FN30 3.0 02/06/18 CALL 100.03125 JPMC 0.02%
OPTN FN30 3.0 02/06/18 CALL 99.8125 JPMC 0.02%
OPTN FN30 3.0 02/06/18 CALL 99.875 JPMC 0.02%
OPTN FN30 3.0 03/06/18 PUT 99.2109375 JPMC 0.02%
OPTN FN30 3.0 03/06/18 PUT 99.3359375 JPMC 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
PETSMART INC TLB L+300 04.2460 03/11/2022 0.02%
PRECISION DRILLING CORP USD 07.7500 12/15/2023 0.02%
PRICELINE GRP INC/THE CV 01.0000 03/15/2018 0.02%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.02%
REALPAGE INC P/P 144A CV 01.5000 11/15/2022 0.02%
REGAL ENTERTAINMENT GRP 05.7500 02/01/2025 0.02%
REVLON CONSUMER PRODS 05.7500 02/15/2021 0.02%
SALESFORCE.CO CV 00.2500 04/01/2018 0.02%
SEALED AIR CORP P/P 144A 05.5000 09/15/2025 0.02%
SEK/USD 03/21/2018 BANKAM 0.02%
SERVICE CORP INTL 04.6250 12/15/2027 0.02%
SESI LLC 07.1250 12/15/2021 0.02%
SM ENERGY CO 06.5000 01/01/2023 0.02%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.02%
STARWOOD PROP TR CV 04.0000 01/15/2019 0.02%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.02%
STEEL DYNAMICS INC P/P 144A 04.1250 09/15/2025 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 1YX1Y R 0.882 GBP 11/05/2018 JP 0.02%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.02%
SWPTN 2MX10Y P 2.526 USD 01/30/2018 CI 0.02%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.02%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.02%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.02%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.02%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.02%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX2Y P -0.152 EUR 02/21/2018 MS 0.02%
SWPTN 3MX2Y P -0.154 EUR 02/21/2018 GS 0.02%
SWPTN 3WX10Y P 2.493 USD 01/17/2018 CI 0.02%
SWPTN 5WX10Y R 2.33875 USD 01/26/2018 CS 0.02%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.02%
SWPTN LIABILITY 2YX20Y P 2.875 USD 11/18/2019 GS 0.02%
SWPTN LIABILITY 2YX30Y P 2.826 USD 11/08/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.43 USD 11/13/2019 MS 0.02%
TARGA RES PRTNRS 05.1250 02/01/2025 0.02%
TERADYNE INC CV 01.2500 12/15/2023 0.02%
TRANSDIGM INC 06.5000 05/15/2025 0.02%
TRONOX FINANCE PLC P/P 144A 05.7500 10/01/2025 0.02%
VALEANT PHARMA P/P 144A 05.3750 03/15/2020 0.02%
VALEANT PHARMA P/P 144A 05.5000 11/01/2025 0.02%
VALEANT PHARMA P/P 144A 06.5000 03/15/2022 0.02%
VALEANT PHARMA TLB1 L+350 04.7635 04/01/2022 0.02%
WPX ENERGY INC 08.2500 08/01/2023 0.02%
-0.245 R ISWP SES3M P 11/10/2019 0.01%
-0.246 R ISWP SES3M P 11/10/2019 0.01%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.01%
0.766 R ISWP GBL6M P 09/15/2019 0.01%
0.85 R ISWP FWD GBL6M P 12/20/2019 0.01%
2.427 R ISWP AUDBB6M P 11/03/2022 0.01%
2.4685 R ISWP US0003M P 12/27/2027 0.01%
2.74875 R ISWP FWD US0003M P 10/27/2027 0.01%
3.20 R ISWP FWD NFIX3MID P 03/21/2028 0.01%
AEROJET ROCK CV 02.2500 12/15/2023 0.01%
AIR TRANSPORT P/P 144A CV 01.1250 10/15/2024 0.01%
ALLEGHENY TECHNOLOGIES 05.9500 01/15/2021 0.01%
ALLEGHENY TECHNOLOGIES 07.8750 08/15/2023 0.01%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.01%
ASCEND LEARNING LLC P/P 144A 06.8750 08/01/2025 0.01%
AUD/USD 01/17/2018 GSFX 0.01%
AUD/USD 01/17/2018 RBSF 0.01%
BIOMARIN PHARMA CV 01.5000 10/15/2020 0.01%
BON-TON DEPT STORES 08.0000 06/15/2021 0.01%
CAD/USD 01/17/2018 BCAP-FX 0.01%
CAD/USD 01/17/2018 SSBT 0.01%
CAESARS ENTERTAINMENT CORP 0.01%
CARBONITE INC P/P 144A CV 02.5000 04/01/2022 0.01%
CEMEX SAB DE CV USD 03.7200 03/15/2020 0.01%
CENTURYLINK INC 06.7500 12/01/2023 0.01%
CHESAPEAKE EN P/P 144A CV 05.5000 09/15/2026 0.01%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.01%
CHF/USD 03/21/2018 BCAP-FX 0.01%
CITRIX SYSTEM CV 00.5000 04/15/2019 0.01%
CLOVIS INC CV 02.5000 09/15/2021 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CONCORDIA INTL P/P 144A 07.0000 04/15/2023 0.01%
CPTFEMU R 1.305 P 10/15/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
CYPRESS SEMIC CV 04.5000 01/15/2022 0.01%
DENBURY RESOURCES INC 06.3750 08/15/2021 0.01%
ELECTRONICS F CV 00.7500 09/01/2019 0.01%
ENCORE CAPITA CV 03.0000 07/01/2020 0.01%
EUR/USD 03/21/2018 UBS 0.01%
EVERBRIDGE INC CV 01.5000 11/01/2022 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FINISAR CORP CV 00.5000 12/15/2036 0.01%
FNGT 2000-T6 IO IO 00.7166 11/25/2040 0.01%
FNS 374 6 IO 05.5000 08/25/2036 0.01%
FRONTIER COMM 11.0000 09/15/2025 0.01%
FSPC T-57 1AX IO 00.3645 07/25/2043 0.01%
FTS INTL INC P/P 144A 09.0885 06/15/2020 0.01%
GNR 2010-168 PI IO 04.5000 11/20/2039 0.01%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.01%
GNR 2011-41 BI IO 05.0000 05/20/2040 0.01%
GNR 2013-130 IB IO 05.0000 12/20/2040 0.01%
GREENBRIER C P/P 144A CV 02.8750 02/01/2024 0.01%
HALYARD HEALTH INC 06.2500 10/15/2022 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
HERCULES CAPI P/P 144A CV 04.3750 02/01/2022 0.01%
HERITAGE INS P/P 144A CV 05.8750 08/01/2037 0.01%
HORIZON GLOBAL CORP CV 02.7500 07/01/2022 0.01%
HUBSPOT INC P/P 144A CV 00.2500 06/01/2022 0.01%
IAC FINANCECO P/P 144A CV 00.8750 10/01/2022 0.01%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.01%
II-VI INC P/P 144A CV 00.2500 09/01/2022 0.01%
IMPAX LABORAT CV 02.0000 06/15/2022 0.01%
INPHI CORP P/P CV 00.7500 09/01/2021 0.01%
INTEGRATED DE CV 00.8750 11/15/2022 0.01%
INTELSAT JACKSON HLDG USD 07.5000 04/01/2021 0.01%
INTELSAT LUXEMB USD 07.7500 06/01/2021 0.01%
IOS.FN30.350.13 P US0001M R 01/12/44 JP 0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.01%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.01%
J2 GLOBAL COMM CV 03.2500 06/15/2029 0.01%
JAZZ US HOLDINGS INC CV 08.0000 12/31/2018 0.01%
KAMAN CORP P/P 144A CV 03.2500 05/01/2024 0.01%
LIBERTY MEDIA CV 02.2500 09/30/2046 0.01%
LIVE NATION E CV 02.5000 05/15/2019 0.01%
MACQUARIE INFRASTRUCTU CV 02.0000 10/01/2023 0.01%
MASONITE INTL C P/P 144A 05.6250 03/15/2023 0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC 0.01%
MEDICINES CO CV 02.7500 07/15/2023 0.01%
MEZZ 2007-C5 X IO P/P 144A 05.8645 12/15/2049 0.01%
MICRON TECH CV 01.6250 02/15/2033 0.01%
MOLINA HEALTHCARE IN P/P 144A 04.8750 06/15/2025 0.01%
MXN/USD 01/17/2018 HSBCB 0.01%
NAVISTAR INTL CV 04.7500 04/15/2019 0.01%
NEVRO CORP CV 01.7500 06/01/2021 0.01%
NICE SYS INC P/P 144A CV 01.2500 01/15/2024 0.01%
NINE POINT ENERGY CNV PRF 0.01%
NOK/USD 03/21/2018 CITI 0.01%
NOK/USD 03/21/2018 JPMCB 0.01%
NOK/USD 03/21/2018 SSBT 0.01%
NOK/USD 03/21/2018 UBS 0.01%
NORBORD INC P/P 144A 06.2500 04/15/2023 0.01%
NOVELIS CORP P/P 144A 05.8750 09/30/2026 0.01%
NXP SEMICONDUCTORS USD 01.0000 12/01/2019 0.01%
NZD/USD 01/17/2018 HSBCB 0.01%
OASIS PETROLEUM INC CV 02.6250 09/15/2023 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.0859375 JPMC 0.01%
OSI SYS INC P/P 144A CV 01.2500 09/01/2022 0.01%
PACIRA PHARMA P/P 144A CV 02.3750 04/01/2022 0.01%
PACTIV LLC 08.3750 04/15/2027 0.01%
PETSMART INC P/P 144A 07.1250 03/15/2023 0.01%
PRICELINE GRO CV 00.9000 09/15/2021 0.01%
PROOFPOINT IN CV 00.7500 06/15/2020 0.01%
PULTEGROUP INC. 07.8750 06/15/2032 0.01%
RED HAT INC CV 00.2500 10/01/2019 0.01%
ROBERTSHAW 2NDL L+900 10.5000 02/04/2025 0.01%
SCORPIO TANKERS INC P/P 144A 02.3750 07/01/2019 0.01%
SERVICENOW CV 00.0000 11/01/2018 0.01%
SOLENIS 2NDL L+675 08.2288 07/31/2022 0.01%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.01%
SQUARE INC P/P 144A CV 00.3750 03/01/2022 0.01%
SUCAMPO PHARM CV 03.2500 12/15/2021 0.01%
SWPTN 1MX10Y P 2.478 USD 01/11/2018 CI 0.01%
SWPTN 1MX10Y R 2.318 USD 01/11/2018 CI 0.01%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.01%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.01%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.01%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.01%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.01%
SWPTN 2YX5Y P 2.34 USD 11/12/2019 CI 0.01%
SWPTN 2YX5Y R 2.553 USD 11/08/2019 JP 0.01%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
TELADOC INC P/P 144A CV 03.0000 12/15/2022 0.01%
TESLA INC CV 01.2500 03/01/2021 0.01%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.01%
TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
TTM TECHNOLOGIES INC CV 01.7500 12/15/2020 0.01%
TWITTER INC CV 01.0000 09/15/2021 0.01%
VECTOR GROUP LTD CV 01.7500 04/15/2020 0.01%
WAYFAIR INC P/P 144A CV 00.3750 09/01/2022 0.01%
WEATHERFORD BERMUDA 08.2500 06/15/2023 0.01%
WHITING PETRO CV 01.2500 04/01/2020 0.01%
WHITING PETROLEUM CORP 05.0000 03/15/2019 0.01%
WORKDAY INC P/P 144A CV 00.2500 10/01/2022 0.01%
WRIGHT MEDCL CV 02.0000 02/15/2020 0.01%
-0.104 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.124 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.2225 R ISWP SES3M P 11/13/2019 0.00%
-0.23 R ISWP SES3M P 11/13/2019 0.00%
-0.526 R ISWP CHL6M P 10/02/2019 0.00%
-0.528 R ISWP CHL6M P 09/29/2019 0.00%
-0.53 R ISWP CHL6M P 10/06/2019 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.00%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.00%
0.09 R ISWP JPL6M P 12/19/2022 0.00%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.00%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.00%
0.25 R ISWP FWD CHL6M P 03/21/2028 0.00%
0.29 R ISWP JPL6M P 12/19/2027 0.00%
1.125 R ISWP SES3M P 11/10/2027 0.00%
1.13 R ISWP SES3M P 11/10/2027 0.00%
1.1575 R ISWP SES3M P 11/13/2027 0.00%
1.16 R ISWP SES3M P 11/13/2027 0.00%
1.41 R ISWP FWD EUR006M P 12/20/2067 0.00%
1.85 R ISWP FWD EUR006M P 12/20/2047 0.00%
2.1725 R ISWP KRW3MCD P 12/13/2027 0.00%
2.30 R ISWP FWD CDOR03 P 03/21/2028 0.00%
2.3575 R ISWP US0003M P 12/20/2027 0.00%
2.40 R ISWP FWD US0003M P 03/21/2028 0.00%
2.4525 R ISWP AUDBB6M P 11/15/2022 0.00%
2.55 R ISWP FWD US0003M P 03/21/2048 0.00%
2.70 R ISWP FWD NFIX3MID P 03/21/2023 0.00%
3.925 P ISWP MYR-KLI3M R 12/12/2022 JP 0.00%
6.715 R ISWP IN00O/N P 12/22/2022 0.00%
8.12 R ISWP MXIBTIIE P 12/24/2026 0.00%
8.20 R ISWP MXIBTIIE P 01/07/2027 0.00%
AUD/USD 01/17/2018 JPMCB 0.00%
AVAYA INC ESCROW P/P 144A 07.0000 04/01/2019 0.00%
BACM 2007-5 XW IO P/P 144A 00.0092 02/10/2051 0.00%
CAD/USD 01/17/2018 GSFX 0.00%
CAD/USD 01/17/2018 UBS 0.00%
CD 2007-CD5 XS IO 144A 00.0000 11/15/2044 0.00%
CHC GROUP LLC P/P 0.00%
CHF/USD 03/21/2018 JPMCB 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPURNSA P 2.19 R 12/06/27 0.00%
CPURNSA P 2.1939 R 12/21/27 0.00%
CPURNSA R 2.05 P 12/06/22 0.00%
CPURNSA R 2.068 P 12/21/22 0.00%
ESC SEVENTYSEVENERG 06.5000 07/15/2022 0.00%
EUR/USD 03/21/2018 HSBCB 0.00%
EUR/USD 03/21/2018 JPMCB 0.00%
EUR/USD 03/21/2018 SSBT 0.00%
EURO-OAT FUTURE MAR18 OATH8 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNR 1999-51 N PO 00.0000 09/17/2029 0.00%
FNS 366 22 IO 04.5000 10/25/2035 0.00%
GBP/USD 03/21/2018 BCAP-FX 0.00%
GBP/USD 03/21/2018 CITI 0.00%
GBP/USD 03/21/2018 GSFX 0.00%
GBP/USD 03/21/2018 JPMCB 0.00%
GBP/USD 03/21/2018 SSBT 0.00%
GBP/USD 03/21/2018 UBS 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GSMS 2005-GG4 XC IO P/P 144A 01.3716 07/10/2039 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
INTELSAT CONNECT FIN P/P 144A 12.5000 04/01/2022 0.00%
INTELSAT JACKSON HLD P/P 144A 08.0000 02/15/2024 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 JP 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPMCC 07-CB20 X1 IO P/P 144A 00.0000 02/12/2051 0.00%
JPY/USD 02/22/2018 CITI 0.00%
JPY/USD 02/22/2018 RBSF 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 CS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 DE 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 0.00%
MILAGRO OIL & GAS 0.00%
NEUROCRINE P/P 144A CV 02.2500 05/15/2024 0.00%
NINE POINT ENERGY COM 0.00%
NOK/USD 03/21/2018 BANKAM 0.00%
NOK/USD 03/21/2018 GSFX 0.00%
NOK/USD 03/21/2018 RBSF 0.00%
OPTN FN30 2.5 01/04/18 CALL 96.595703125 JPMC 0.00%
OPTN FN30 2.5 01/04/18 PUT 96.595703125 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.8046875 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.859375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.0859375 JPMC 0.00%
PRECISION DRILL USD 05.2500 11/15/2024 0.00%
SEK/USD 03/21/2018 BCAP-FX 0.00%
SEK/USD 03/21/2018 CSI-FX 0.00%
STRIP 2003-1A N P/P 144A 05.0000 03/24/2018 0.00%
SWPTN 13WX10Y P 2.4115 USD 01/08/2018 JP 0.00%
SWPTN 13WX10Y R 2.3205 USD 01/08/2018 JP 0.00%
SWPTN 13WX3Y R 1.964 USD 01/08/2018 JP 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y P 1.091 EUR 07/13/2018 CI 0.00%
SWPTN 1YX5Y P 1.291 EUR 07/13/2018 CI 0.00%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
SWPTN 3MX2Y R -0.152 EUR 02/21/2018 MS 0.00%
SWPTN 3MX2Y R -0.154 EUR 02/21/2018 GS 0.00%
SWPTN 3MX5Y R 0.185 EUR 02/21/2018 GS 0.00%
SWPTN 3MX5Y R 0.189 EUR 02/21/2018 MS 0.00%
SWPTN 5WX10Y P 2.505 USD 01/08/2018 CI 0.00%
SWPTN 5WX10Y P 2.63625 USD 01/26/2018 CS 0.00%
SWPTN 5WX10Y R 2.205 USD 01/08/2018 CI 0.00%
SWPTN 6MX1Y R 1.85125 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.00%
SWPTN 6MX1Y R 2.01 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI 0.00%
SWPTN 7WX10Y R 2.218 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.2875 USD 01/12/2018 GS 0.00%
SWPTN 8WX10Y P 2.68675 USD 01/26/2018 GS 0.00%
SWPTN 8WX10Y R 2.10125 USD 01/26/2018 GS 0.00%
SWPTN LIABILITY 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
TENNECO INC 05.0000 07/15/2026 0.00%
TERVITA CORP CLASS A 0.00%
TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 0.00%
TXU TCEH RIGHTS 0.00%
USD/JPY PUT 103.00 20180109 JPMCB 0.00%
USD/JPY PUT 107.00 20180109 JPMCB 0.00%
VICI PROP 1 / VICI FC 08.0000 10/15/2023 0.00%
WBCMT 2007-C34 IO IO 00.1486 05/15/2046 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.40 R ISWP FWD SES3M P 03/21/2023 -0.01%
1.10 R ISWP FWD GBL6M P 03/21/2023 -0.01%
1.35 R ISWP FWD GBL6M P 03/21/2028 -0.01%
1.61375 R ISWP FWD EUR006M P 10/27/2027 -0.01%
2.02 R ISWP CDOR03 P 11/02/2022 -0.01%
2.0525 R ISWP CDOR03 P 11/14/2022 -0.01%
2.75 R ISWP FWD AUDBB6M P 03/21/2028 -0.01%
8.365 R ISWP JIBA3M P 10/31/2027 -0.01%
AUD/USD 01/17/2018 BCAP-FX -0.01%
BRL/USD 04/03/2018 GSFX -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
EUR/USD 03/21/2018 CITI -0.01%
JPY/USD 02/22/2018 CSI-FX -0.01%
JPY/USD 02/22/2018 GSFX -0.01%
JPY/USD 02/22/2018 HSBCB -0.01%
JPY/USD 02/22/2018 JPMCB -0.01%
JPY/USD 02/22/2018 SSBT -0.01%
JPY/USD 02/22/2018 WPAC -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
NOK/USD 03/21/2018 BCAP-FX -0.01%
NOK/USD 03/21/2018 CSI-FX -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.21484375 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.2890625 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.40234375 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.4453125 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.6171875 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.703125 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.2109375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.3359375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.5859375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.7109375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.8359375 JPMC -0.01%
SEK/USD 03/21/2018 SSBT -0.01%
SEK/USD 03/21/2018 UBS -0.01%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.01%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.01%
SWPTN 2MX10Y P 2.675 USD 02/22/2018 CI -0.01%
SWPTN 7WX10Y R 2.357 USD 01/12/2018 GS -0.01%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.01%
SWPTN LIABILITY 2YX10Y R 2.2525 USD 11/12/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
1.863 R ISWP FWD GBL6M P 09/22/2032 -0.02%
1.90 R ISWP FWD NOKOIB6M P 03/21/2028 -0.02%
2.30 R ISWP FWD US0003M P 03/21/2023 -0.02%
2.48 R ISWP FWD US0003M P 02/26/2028 -0.02%
AUD/USD 01/17/2018 SSBT -0.02%
BRL/USD 04/03/2018 CITI -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CPURNSA P 2.05 R 07/05/27 -0.02%
CPURNSA P 2.085 R 07/03/27 -0.02%
EUR/USD 03/21/2018 BCAP-FX -0.02%
EUR/USD 03/21/2018 GSFX -0.02%
JPY/USD 02/22/2018 BCAP-FX -0.02%
JPY/USD 02/22/2018 UBS -0.02%
NZD/USD 01/17/2018 JPMCB -0.02%
NZD/USD 01/17/2018 RBSF -0.02%
RUB/USD 03/21/2018 BANKAM -0.02%
SEK/USD 03/21/2018 GSFX -0.02%
SEK/USD 03/21/2018 JPMCB -0.02%
SWPTN 1MX10Y P 2.398 USD 01/11/2018 CI -0.02%
SWPTN 1MX10Y R 2.398 USD 01/11/2018 CI -0.02%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.02%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.02%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.02%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.02%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.02%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.02%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.02%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.02%
SWPTN 3MX5Y P 0.321 EUR 02/21/2018 GS -0.02%
SWPTN 3MX5Y P 0.325 EUR 02/21/2018 MS -0.02%
SWPTN 3MX5Y P 2.3675 USD 03/19/2018 MS -0.02%
SWPTN 3WX10Y P 2.428 USD 01/17/2018 CI -0.02%
SWPTN LIABILITY 2YX10Y P 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y R 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
ZAR/USD 01/17/2018 GSFX -0.02%
0.25 R ISWP FWD EUR006M P 03/21/2023 -0.03%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.03%
2.48875 R ISWP FWD US0003M P 01/30/2028 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.03%
SEK/USD 03/21/2018 RBSF -0.03%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.03%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS -0.03%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.03%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.03%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.03%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.03%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.03%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.03%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.03%
SWPTN LIABILITY 2YX10Y P 2.2525 USD 11/12/2019 JP -0.03%
SWPTN LIABILITY 2YX10Y R 2.7725 USD 11/18/2019 GS -0.03%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.03%
1.15 R ISWP FWD SES3M P 03/21/2028 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CPTFEMU P 1.71 R 08/15/37 -0.04%
CPTFEMU P 1.735 R 09/15/37 -0.04%
EUR/USD 03/21/2018 BANKAM -0.04%
NZD/USD 01/17/2018 GSFX -0.04%
NZD/USD 01/17/2018 UBS -0.04%
OPTN FN30 3.0 01/04/18 PUT 100.03125 JPMC -0.04%
SWPTN 2MX10Y P 2.412 USD 01/30/2018 CI -0.04%
SWPTN 2MX10Y R 2.412 USD 01/30/2018 CI -0.04%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.04%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.04%
SWPTN 3WX10Y R 2.428 USD 01/17/2018 CI -0.04%
SWPTN 5WX10Y P 2.42 USD 02/01/2018 MS -0.04%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.04%
SWPTN LIABILITY 5WX10Y P 2.5012 USD 02/01/2018 MS -0.04%
SWPTN LIABILITY 5WX10Y R 2.3388 USD 02/01/2018 MS -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.05%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.05%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.05%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.05%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.05%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.05%
SWPTN 5WX10Y R 2.42 USD 02/01/2018 MS -0.05%
SWPTN 5YX5Y R 1.106 GBP 11/03/2022 JP -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.05%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.05%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.05%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.05%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.06%
CPTFEMU P 1.7138 R 08/15/37 -0.06%
NZD/USD 01/17/2018 SSBT -0.06%
2.10 R ISWP FWD CDOR03 P 03/21/2023 -0.07%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.07%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.07%
USD/MXN CALL 22.00 20180531 BCAP-FX -0.07%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.08%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.08%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.08%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.08%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.08%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.09%
CPTFEMU P 1.71 R 07/15/37 -0.09%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.09%
2.45 R ISWP FWD US0003M P 03/21/2028 -0.11%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.11%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.12%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.12%
SWPTN 10YX10Y R 2.01 EUR 12/20/2027 GS -0.13%
SWPTN 10YX10Y P 2.01 EUR 12/20/2027 GS -0.14%
0.85 R ISWP FWD EUR006M P 03/21/2028 -0.15%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.15%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.15%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.15%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.16%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.18%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.18%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.23%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.23%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.24%
SWPTN 1YX20Y R 1.6975 GBP 10/05/2018 GS -0.25%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.26%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.31%
FNMA FN30 TBA 04.5000 01/01/2048 -1.52%
FNMA FN30 TBA 03.0000 01/01/2048 -10.96%

Prior top 10 holdings

Top 10 holdings as of 03/31/18
1: Fnma Fn30 Tba 03.5000 05/01/2048 8.91%
2: Fnma Fn30 Tba 04.0000 04/01/2048 2.88%
3: Fnma Fn30 Tba 05.5000 04/01/2048 1.53%
4: Gnma Gii30 Tba 04.5000 04/01/2048 1.46%
5: Gnma Gii30 Tba 04.5000 05/01/2048 1.46%
6: Gnma Gii30 Tba 04.0000 05/01/2048 1.44%
7: Fnma Fn30 Tba 02.5000 04/01/2048 1.32%
8: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.92%
9: Cas 2015-C03 1m2 06.8715 07/25/2025 0.86%
10: Cas 2016-C03 2m2 07.7715 10/25/2028 0.86%
Holdings represent 21.64% of portfolio
Top 10 holdings as of 02/28/18
1: Fnma Fn30 Tba 03.5000 04/01/2048 10.23%
2: Gnma Gii30 Tba 04.5000 03/01/2048 2.91%
3: Fnma Fn30 Tba 05.5000 03/01/2048 1.52%
4: Gnma Gii30 Tba 04.0000 03/01/2048 1.44%
5: Fnma Fn30 Tba 04.0000 03/01/2048 1.43%
6: Fnma Fn30 Tba 02.5000 03/01/2048 1.31%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
8: Cas 2015-C03 1m2 06.6207 07/25/2025 0.87%
9: Cas 2016-C03 2m2 07.5207 10/25/2028 0.86%
10: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.81%
Holdings represent 22.29% of portfolio
Top 10 holdings as of 01/31/18
1: Fnma Fn30 Tba 03.5000 03/01/2048 14.40%
2: Gnma Gii30 Tba 04.5000 02/01/2048 2.89%
3: Fnma Fn30 Tba 02.5000 03/01/2048 2.61%
4: Fnma Fn30 Tba 05.5000 03/01/2048 1.50%
5: Fnma Fn30 Tba 04.0000 03/01/2048 1.43%
6: Gnma Gii30 Tba 04.0000 02/01/2048 1.43%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.90%
8: Cas 2015-C03 1m2 06.5614 07/25/2025 0.87%
9: Cas 2016-C03 2m2 07.4614 10/25/2028 0.83%
10: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.81%
Holdings represent 27.67% of portfolio
Top 10 holdings as of 12/31/17
1: Fnma Fn30 Tba 03.5000 02/01/2048 13.67%
2: Gnma Gii30 Tba 04.5000 01/01/2048 3.00%
3: Fnma Fn30 Tba 02.5000 01/01/2048 2.76%
4: Spain Letras Del Tesoro 00.0000 03/09/2018 2.12%
5: Fnma Fn30 Tba 05.5000 01/01/2048 1.57%
6: Fnma Fn30 Tba 04.0000 02/01/2048 1.49%
7: Gnma Gii30 Tba 04.0000 01/01/2048 1.49%
8: Fnma Fn30 Tba 03.5000 01/01/2048 1.47%
9: Buoni Ordinari Del Tes 00.0000 03/29/2018 1.06%
10: Cert Di Credito Del Tes 00.0000 03/28/2018 1.06%
Holdings represent 29.69% of portfolio

Sector Weightings as of 03/31/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Commercial MBS 12.96% 0.51 10.11% 0.36 23.07% 0.87
High-yield corporate bonds 24.63% 0.98 -2.96% -0.13 21.67% 0.85
Agency CMO 18.27% 0.69 0.82% 0.04 19.09% 0.73
Agency pass-through 0.00% 0.00 15.25% 1.02 15.25% 1.02
Net cash 13.24% 0.00 0.00% 0.00 13.24% 0.00
Residential MBS (non-agency) 11.88% 0.58 0.00% 0.00 11.88% 0.58
Emerging-market bonds 11.29% 0.56 0.00% 0.00 11.29% 0.56
International Treasury/agency 2.99% 0.21 0.00% -0.21 2.99% 0.00
Investment-grade corporate bonds 1.75% 0.12 0.00% 0.00 1.75% 0.12
Bank loans 1.55% 0.06 0.00% 0.00 1.55% 0.06
Convertible securities 1.07% 0.07 0.00% 0.00 1.07% 0.07
Equity investments 0.37% 0.00 0.00% 0.00 0.37% 0.00
Interest rate swaps 0.00% 0.00 0.00% 0.58 0.00% 0.58
U.S. Treasury/agency 0.00% 0.00 0.00% -0.07 0.00% -0.07

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.

Maturity detail includes only cash bonds and cash equivalents.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 03/31/18

United States 80.34%
Greece 2.99%
Argentina 2.80%
Brazil 2.46%
Russia 2.37%
Canada 1.58%
Indonesia 1.05%
Mexico 0.91%
Luxembourg 0.86%
 
Other		 4.64%
United Kingdom 0.73%
France 0.51%
Bermuda 0.40%
Egypt 0.39%
European Community 0.38%
Ivory Coast 0.38%
Venezuela 0.38%
Ireland 0.30%
Netherlands 0.30%
Dominican Republic 0.28%
Cayman Islands 0.17%
Germany 0.17%
Jamaica 0.17%
Sweden 0.15%
El Salvador 0.12%
Ecuador 0.10%
Italy 0.10%
Spain 0.06%
Norway -0.01%
Switzerland -0.02%
Japan -0.10%
Australia -0.32%

Expenses

Sales Charges/Fees

Breakpoint Sales Charge Dealer Allowance CDSC Liab
$0 - $0 0.00% 0.00% N

Maturity detail includes only cash bonds and cash equivalents.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.'

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

CDSC

Year Percent
1 7.00%
2 7.00%
3 6.00%
4 5.00%
5 4.00%
6 3.00%
7 2.00%
8+ 0.00%