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 06/19/19

with optional enhanced death benefits
Unit Value $20.752476 $20.127597
Unit Value Change -0.070008 -0.067984

Lipper ranking ‡ as of 05/31/19

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 36% 5/13
1 yr. 95% 32/33
3 yrs. 8% 2/27
5 yrs. 67% 14/20

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 05/31/19

Fiscal Year End December
Asset Class Putnam Allstate Advisor
Subaccount Status Open to new investors
Number of issues 1392
Turnover (fiscal year end) 790%
Net Assets $204M
Inception Date 09/15/93

Performance

Performance as of 03/31/19

Annualized Performance Last Quarter Year
to Date		 1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 4.17% 4.17% 0.10% 5.49% 0.97% 6.97% 3.81%
Standardized -4.86% -4.86% -8.65% 0.87% -2.97% 4.99% 1.18%
With optional enhanced death benefit
Unit Value 4.14% 4.14% -0.05% 5.33% 0.81% 6.81% 3.65%
Standardized -4.89% -4.89% -8.79% 0.71% -3.13% 4.82% 0.96%
Actual performance
Unit Value 4.17% 4.17% 0.10% 5.49% 0.97% 6.97% 3.66%
Standardized -4.86% -4.86% -8.65% 0.87% -2.97% 4.99% 0.89%
With optional enhanced death benefit
Unit Value 4.14% 4.14% -0.05% 5.33% 0.81% 6.81% 3.50%
Standardized -4.89% -4.89% -8.79% 0.71% -3.13% 4.82% 0.69%

Annual Performance at NAV

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
53.42% 11.26% -4.38% 10.13% 6.47% -0.91% -3.56% 4.11% 5.79% -2.22%
With optional enhanced death benefit
53.18% 11.09% -4.52% 9.96% 6.30% -1.06% -3.71% 3.95% 5.63% -2.37%

Restated performance

Monthly as of 05/31/19

Unit Value 0.14%
Standardized -8.61%

YTD as of 06/19/19

Unit Value 5.64%
Standardized -3.49%

With optional enhanced death benefit

Monthly as of 05/31/19

Unit Value 0.14%
Standardized -8.61%

YTD as of 06/19/19

Unit Value 5.57%
Standardized -3.56%

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 Capital Manager products are flexible-premium variable annuities held by Talcott Resolution Life, Inc., 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 Talcott Resolution 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 Talcott Resolution 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 05/31/19

Avg. Eff. Maturity 5.20
Avg. Price 87.60
Avg. Eff. Duration 3.66
Avg. Coupon 4.81
Avg. Yield to Maturity 5.04
Alpha (%) --
Beta --
R Squared --
Standard Deviation (3 yrs.) 3.45

Maturity Details

0 to 1 yr. 8.45%
1 to 5 yrs. 49.34%
5 to 10 yrs. 36.91%
10 to 15 yrs. 2.86%
Over 15 yrs. 2.44%

Quality Ratings

AAA 39.36%
AA 1.74%
A 1.37%
BBB 8.65%
BB 23.71%
B 10.50%
CCC and Below 5.10%
Not Rated 9.57%

Holdings

Top 10 holdings as of 05/31/19

Umbs Fn30 Tba 03.5000 06/01/2049 13.47%
Umbs Fn30 Tba 04.0000 06/01/2049 4.55%
Fnma Fn30 Tba Umbs 04.0000 07/01/2049 4.54%
Fnma Fn30 Tba Umbs 02.5000 07/01/2049 3.85%
Gnma Gii30 Tba 04.5000 06/01/2049 3.05%
Umbs Fn30 Tba 05.5000 06/01/2049 1.57%
Gnma Gii30 Tba 04.0000 06/01/2049 1.52%
United Mexican States Usd 05.5500 01/21/2045 0.98%
Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
Cas 2016-C03 2m2 08.3298 10/25/2028 0.79%
Top 10 holdings, total: 35.23%

 
Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 03/31/19
FNMA FN30 TBA 03.5000 04/01/2049 13.18%
FNMA FN30 TBA 04.0000 04/01/2049 9.26%
GNMA GII30 TBA 04.5000 04/01/2049 3.12%
FNMA FN30 TBA 05.5000 04/01/2049 1.60%
GNMA GII30 TBA 04.0000 04/01/2049 1.55%
UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.99%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.91%
CAS 2016-C03 2M2 08.3855 10/25/2028 0.83%
CAS 2015-C03 1M2 07.4855 07/25/2025 0.76%
ARGENTINE REPUBLIC USD 07.5000 04/22/2026 0.75%
CWALT 2006-OA10 4A1 02.6755 08/25/2046 0.72%
CAS 2016-C02 1B 14.7355 09/25/2028 0.63%
CAS 2015-C04 1M2 08.1855 04/25/2028 0.62%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.62%
GNR 2016-H23 NI IO 02.2332 10/20/2066 0.56%
REPUBLIC OF INDONESIA REGS 04.7500 01/08/2026 0.56%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.54%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.52%
FNMA FN30 TBA 03.5000 05/01/2049 0.51%
STACR 2016-DNA1 B 12.4855 07/25/2028 0.51%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.51%
WFRBS 2012-C10 D P/P 144A 04.4419 12/15/2045 0.51%
ARGENTINE REPUBLIC USD 06.8750 01/26/2027 0.50%
WFRBS 2013-C15 D P/P 144A 04.4721 08/15/2046 0.49%
JPMBB 2014-C18 D P/P 144A 04.8219 02/15/2047 0.46%
FEDERATIVE REP OF BRAZIL USD 04.6250 01/13/2028 0.45%
GNR 2018-94 AI IO 04.5000 07/20/2048 0.45%
CWALT 2006-OA7 1A1 03.0076 06/25/2046 0.40%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.40%
STACR 2015-DNA3 B 11.8355 04/25/2028 0.39%
CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 0.38%
WFRBS 2012-C7 E P/P 144A 04.8223 06/15/2045 0.38%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.37%
2.65 R ISWP FWD US0003M P 06/19/2029 0.36%
CMLTI 2007-AMC3 A2D 02.8355 03/25/2037 0.36%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.36%
CAS 2016-C03 1B 14.2355 10/25/2028 0.35%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.35%
STACR 2016-HQA2 M3 07.6355 11/25/2028 0.34%
WAMU 2005-AR17 A1B3 02.8355 12/25/2045 0.34%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.34%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.33%
BSCMS 2007-T26 AJ 05.4599 01/12/2045 0.32%
BSCMS 2005-PWR7 B 05.1421 02/11/2041 0.31%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.31%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.31%
GSMS 2014-GC24 D P/P 144A 04.5297 09/10/2047 0.30%
HELLENIC REPUBLIC P/P REGS 03.4500 04/02/2024 0.30%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.29%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.29%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.29%
WFCM 2013-LC12 D P/P 144A 04.2867 07/15/2046 0.29%
2.60 R ISWP FWD US0003M P 06/19/2026 0.28%
FHR 4425 IO IO 04.0000 01/15/2045 0.28%
FNR 2015-42 LS IO 03.7145 06/25/2045 0.28%
GNR 2018-127 IC IO 05.0000 10/20/2044 0.28%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.28%
CAS 2016-C01 1B 14.2355 08/25/2028 0.27%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.27%
FNR 2015-30 IO IO 05.5000 05/25/2045 0.27%
GNR 2017-H16 JI IO 02.2880 08/20/2067 0.27%
SPRINT CORP 07.8750 09/15/2023 0.27%
CAS 2017-C02 2B1 07.9855 09/25/2029 0.26%
GNR 2017-26 MI IO 05.0000 11/20/2039 0.26%
PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.26%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.26%
CAS 2017-C03 1B1 07.3355 10/25/2029 0.25%
CEQUEL COM & CAP P/P 144A 07.5000 04/01/2028 0.25%
GNR 2017-H10 MI IO 01.8010 04/20/2067 0.25%
SERVICE CORP INTL 05.3750 05/15/2024 0.25%
STACR 2015-DNA2 B 10.0355 12/25/2027 0.25%
BCAP 2011-RR3 3A6 04.2242 11/27/2036 0.24%
CPTFEMU P 1.71 R 07/15/37 0.24%
FHR 4604 QI IO 03.5000 07/15/2046 0.24%
GNR 2018-H05 BI IO 02.8502 02/20/2068 0.24%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.24%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.24%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.24%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.24%
CSAIL 2015-C1 D P/P 144A 03.7956 04/15/2050 0.23%
FNR 2018-86 DS IO 03.6145 12/25/2048 0.23%
MSBAM 2013-C10 D P/P 144A 04.0851 07/15/2046 0.23%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.23%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.23%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.22%
GNR 2016-H09 BI IO 01.4456 04/20/2066 0.22%
GNR 2017-H08 NI IO 02.6325 03/20/2067 0.22%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.22%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.22%
RALI 2006-QO10 A1 02.6455 01/25/2037 0.22%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.21%
FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 0.21%
FHR 4452 QI IO 04.0000 11/15/2044 0.21%
FNR 2013-90 SD IO 04.1145 09/25/2043 0.21%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.21%
GNR 2018-H03 XI IO 02.3745 02/20/2068 0.21%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.21%
SAMI 2007-AR1 2A1 02.6655 01/25/2037 0.21%
ARAB REP OF EGYPT P/P 144A 05.5770 02/21/2023 0.20%
COMM 2013-CR9 D P/P 144A 04.2568 07/10/2045 0.20%
CWALT 2005-59 1A1 02.8178 11/20/2035 0.20%
FIRST QUANTUM MINERA P/P 144A 07.5000 04/01/2025 0.20%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.20%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.20%
GNR 2015-H25 AI IO 01.6266 09/20/2065 0.20%
GNR 2016-75 EI IO 03.5000 08/20/2045 0.20%
GNR 2016-H06 DI IO 01.6332 07/20/2065 0.20%
JPMCC 2007-CB20 E P/P 144A 06.1064 02/12/2051 0.20%
JPMCC 2011-C3 F P/P 144A 05.6616 02/15/2046 0.20%
MSBAM 2013-C11 D P/P 144A 04.3652 08/15/2046 0.20%
CWALT 2005-38 A3 02.8355 09/25/2035 0.19%
FHR 4580 ID IO 03.5000 08/15/2045 0.19%
FNR 2016-96 ST IO 03.6145 12/25/2046 0.19%
GNR 2012-128 IA IO 03.5000 10/20/2042 0.19%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.19%
GNR 2016-H22 AI IO 02.2985 10/20/2066 0.19%
GNR 2016-H24 JI IO 02.1747 11/20/2066 0.19%
GNR 2018-H05 AI IO 02.9333 02/20/2068 0.19%
LNSTR 2015-3 C P/P 144A 03.1280 04/20/2048 0.19%
PROVINCIA DE CORDOBA REGS 07.4500 09/01/2024 0.19%
BALTA 2005-8 21A1 04.4639 10/25/2035 0.18%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.18%
CWALT 2006-OA7 1A2 03.3365 06/25/2046 0.18%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 0.18%
DOMINICAN REPUBLIC REGS 07.4500 04/30/2044 0.18%
GNR 2016-H06 CI IO 01.5728 02/20/2066 0.18%
GNR 2016-H10 AI IO 01.6847 04/20/2066 0.18%
GNR 2017-H06 BI IO 02.3410 02/20/2067 0.18%
GNR 2017-H12 QI IO 02.1513 05/20/2067 0.18%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.18%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.18%
SWPTN 1YX1Y R 3.02 USD 08/28/2019 MS 0.18%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.17%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.17%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.17%
GNR 2017-H09 IO IO 01.7433 04/20/2067 0.17%
GNR 2017-H16 IG IO 01.6582 07/20/2067 0.17%
JPMBB 2013-C14 D P/P 144A 04.5639 08/15/2046 0.17%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.17%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.17%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.17%
UBSBB 2012-C2 F P/P 144A 04.8925 05/10/2063 0.17%
WAMU 2005-AR10 1A3 04.1168 09/25/2035 0.17%
CFCRE 2011-C2 E P/P 144A 05.7568 12/15/2047 0.16%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.16%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.16%
CWALT 2006-OA10 3A1 02.6755 08/25/2046 0.16%
DIAMOND BC BV P/P 144A 05.6250 08/15/2025 0.16%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.16%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.16%
GNR 2016-H02 HI IO 01.8663 01/20/2066 0.16%
GNR 2017-H02 BI IO 02.3379 01/20/2067 0.16%
GNR 2017-H11 DI IO 01.8647 05/20/2067 0.16%
GNR 2017-H16 IB IO 01.8160 08/20/2067 0.16%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.16%
WAMU 2005-AR19 A1C4 02.8855 12/25/2045 0.16%
3.073 R ISWP FWD US0003M P 03/04/2029 0.15%
AES CORP/THE 05.5000 04/15/2025 0.15%
CPTFEMU P 1.7138 R 08/15/37 0.15%
GNR 2015-H23 BI IO 01.7477 09/20/2065 0.15%
GNR 2015-H24 AI IO 01.8569 09/20/2065 0.15%
GNR 2016-42 IO IO 05.0000 02/20/2046 0.15%
JPMBB 2014-C18 E P/P 144A 04.3219 02/15/2047 0.15%
MSRR 2010-R4 4B 03.4395 02/26/2037 0.15%
OMIR 2017-1A B1 P/P 144A 08.2355 04/25/2027 0.15%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.15%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.15%
SWPTN 10YX30Y R 1.72 EUR 11/27/2028 UB 0.15%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.15%
UNITYMEDIA HESSEN / NRW REGS 06.2500 01/15/2029 0.15%
0.60 R ISWP FWD EUR006M P 06/19/2029 0.14%
BSCMS 2006-PW11 B P/P 144A 05.2509 03/11/2039 0.14%
DOMINICAN REPUBLIC REGS 07.5000 05/06/2021 0.14%
FNR 2013-107 SB IO 03.4645 02/25/2043 0.14%
FNR 2016-102 JI IO 03.5000 02/25/2046 0.14%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.14%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.14%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.14%
GNR 2016-H03 DI IO 02.0039 12/20/2065 0.14%
GNR 2016-H16 EI IO 02.2094 06/20/2066 0.14%
GNR 2017-H11 TI IO 02.0175 04/20/2067 0.14%
GSAA 2006-8 2A2 02.6655 05/25/2036 0.14%
IVORY COAST REGS 05.3750 07/23/2024 0.14%
IVORY COAST REGS 06.1250 06/15/2033 0.14%
JPMCC 2013-LC11 D 04.1692 04/15/2046 0.14%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.14%
REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 0.14%
REPUBLIC OF VENEZUELA REGS 08.2500 10/13/2024 0.14%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.14%
TTM TECHNOLOGIES INC P/P 144A 05.6250 10/01/2025 0.14%
3.312 R ISWP US0003M P 11/08/2048 0.13%
ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 0.13%
CALPINE CORPORATION 05.7500 01/15/2025 0.13%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.13%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.13%
DBALT 2006-AR4 A2 02.6755 12/25/2036 0.13%
DISH DBS CORP 05.8750 11/15/2024 0.13%
GCP APPLIED TECH P/P 144A 05.5000 04/15/2026 0.13%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.13%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.13%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.13%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.13%
GNR 2014-119 SA IO 03.1123 08/20/2044 0.13%
GNR 2015-H25 EI IO 01.8658 10/20/2065 0.13%
GNR 2016-104 GI IO 04.5000 01/20/2046 0.13%
GNR 2016-H03 AI IO 02.1004 01/20/2066 0.13%
GNR 2016-H14 AI IO 01.9534 06/20/2066 0.13%
IVORY COAST P/P 144A 05.2500 03/22/2030 0.13%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.13%
SWPTN LIABILITY 5YX30Y P 3.215 USD 11/27/2023 GS 0.13%
SWPTN LIABILITY 5YX30Y R 3.215 USD 11/27/2023 GS 0.13%
TRANSDIGM INC P/P 144A 06.2500 03/15/2026 0.13%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.13%
BMIR 2017-1 B1 P/P 144A 07.2355 10/25/2027 0.12%
CAS 2018 - C01 1B1 06.0355 07/25/2030 0.12%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.12%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.12%
CONSTELLIUM NV P/P 144A 05.8750 02/15/2026 0.12%
CPTFEMU P 1.735 R 09/15/37 0.12%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.12%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.12%
GNR 2013-H08 CI IO 01.6899 02/20/2063 0.12%
GNR 2014-44 IA IO 03.5000 05/20/2028 0.12%
NAVISTAR INTL TLB L+350 05.8900 11/06/2024 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%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.12%
SWPTN 1YX30Y R 1.288 EUR 02/17/2020 JP 0.12%
UNITED MEXICAN STATES USD 04.0000 10/02/2023 0.12%
ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 0.11%
CBS RADIO INC P/P 144A 07.2500 11/01/2024 0.11%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.11%
CLEAR CHANNEL TLD L+875 11.2430 01/30/2020 0.11%
CWALT 2006-OA10 2A1 02.6755 08/25/2046 0.11%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.11%
FHR 4077 IK IO 05.0000 07/15/2042 0.11%
FHR 4530 TI IO 04.0000 11/15/2045 0.11%
FHR 4678 MS IO 05.1072 04/15/2047 0.11%
FIRST DATA CORP P/P 144A 05.7500 01/15/2024 0.11%
GNR 2014-H21 BI IO 01.5606 10/20/2064 0.11%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.11%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.11%
PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 0.11%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.11%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 0.11%
ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 0.11%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.11%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.11%
ALTICE FRANCE SA P/P 144A 06.2500 05/15/2024 0.10%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.10%
ARAB REPUBLIC OF EGYPT REGS 05.5770 02/21/2023 0.10%
ARAB REPUBLIC OF EGYPT REGS 05.8750 06/11/2025 0.10%
ARAB REPUBLIC OF EGYPT REGS 06.1250 01/31/2022 0.10%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.10%
COMM 2012-CR3 E P/P 144A 04.7530 10/15/2045 0.10%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.10%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.10%
CWALT 2005-38 A1 03.8965 09/25/2035 0.10%
CWALT 2006-24CB A13 02.8355 08/01/2036 0.10%
FHR 3065 DC 12.4088 03/15/2035 0.10%
FHR 4122 TI IO 04.5000 10/15/2042 0.10%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.10%
GNR 2015-H10 BI IO 01.4951 04/20/2065 0.10%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.10%
GNR 2016-48 MI IO 03.5000 04/16/2046 0.10%
GNR 2016-H17 KI IO 01.9195 07/20/2066 0.10%
GNR 2016-H24 CI IO 01.7068 10/20/2066 0.10%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.10%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.10%
INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 0.10%
MGM RESORTS INTL 06.6250 12/15/2021 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%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.10%
STACR 2019-DNA2 M2 04.9368 03/25/2049 0.10%
TEVA PHARMACEUTICALS NE USD 06.0000 04/15/2024 0.10%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.10%
WFMBS 2006-AR2 1A1 04.8869 03/25/2036 0.10%
WFMBS 2006-AR5 1A1 05.0795 04/25/2036 0.10%
BALTA 2004-3 B 05.4105 04/25/2034 0.09%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.09%
CAS 2015-C03 2M2 07.4855 07/25/2025 0.09%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.09%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.09%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.09%
CPTFEMU P 1.71 R 08/15/37 0.09%
FHR 4000 LI IO 04.0000 02/15/2042 0.09%
FHR 4024 PI IO 04.5000 12/15/2041 0.09%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.09%
FNR 2017-7 JI IO 04.0000 02/25/2047 0.09%
GMAC CAPITAL TRUST I PCT 08.4687 0.09%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.09%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.09%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.09%
GNR 2016-37 IW IO 04.5000 02/20/2046 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
GNR 2017-63 PI IO 04.0000 12/20/2043 0.09%
GOLDEN NUGGET INC P/P 144A 06.7500 10/15/2024 0.09%
GSR 2007-OA1 2A3A 02.7955 05/25/2037 0.09%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.09%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.09%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.09%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.09%
JPALT 2007-A2 12A1 02.6855 06/25/2037 0.09%
LEVEL 3 FINANCING INC 05.2500 03/15/2026 0.09%
LEVEL 3 FINANCING INC 05.6250 02/01/2023 0.09%
MSC 2007-HQ11 B 05.5380 02/12/2044 0.09%
MSC 2008-T29 F P/P 144A 05.7454 01/11/2043 0.09%
NCI BUILDING SYS INC P/P 144A 08.0000 04/15/2026 0.09%
PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 0.09%
RBS GLOBAL/REXNO P/P 144A 04.8750 12/15/2025 0.09%
SPRINT CORP 07.2500 09/15/2021 0.09%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.09%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.09%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.09%
TENET HEALTHCARE 06.0000 10/01/2020 0.09%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.09%
WEWORK COS INC P/P 144A 07.8750 05/01/2025 0.09%
ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 0.09%
2.776 R ISWP FWD US0003M P 03/21/2029 0.08%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.08%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.08%
BAUSCH HLTH COS INC P/P 144A 06.1250 04/15/2025 0.08%
BIG RVR STL/FIN P/P 144A 07.2500 09/01/2025 0.08%
BSCMS 2007-T28 D P/P 144A 05.1647 09/11/2042 0.08%
CAS 2015-C04 2M2 08.0355 04/25/2028 0.08%
CAS 2017-C05 1B1 06.0855 01/25/2030 0.08%
CENTENE CORP 06.1250 02/15/2024 0.08%
CF INDUSTRIES INC 04.9500 06/01/2043 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%
CWALT 2007-OH1 A1D 02.6955 04/25/2047 0.08%
FHR 4403 CI IO 04.0000 10/15/2044 0.08%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.08%
FNR 2006-8 HP 15.4532 03/25/2036 0.08%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.08%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.08%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.08%
GRAY TELEVISION INC P/P 144A 07.0000 05/15/2027 0.08%
GREAT LAKES D&D 08.0000 05/15/2022 0.08%
HVMLT 2005-2 1A 03.0018 05/19/2035 0.08%
IRON MOUNTAIN INC P/P 144A 04.8750 09/15/2027 0.08%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.08%
JO-ANN STORES 2NDL L+925 11.7272 05/21/2024 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%
NRG ENERGY INC 06.6250 01/15/2027 0.08%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.08%
PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 0.08%
PULTEGROUP INC 05.5000 03/01/2026 0.08%
REPUBLIC OF VENEZUELA REGS 09.0000 05/07/2023 0.08%
RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 0.08%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 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%
STEVENS HLDG CO INC P/P 144A 06.1250 10/01/2026 0.08%
SWPTN 10YX20Y R 1.921 EUR 10/18/2028 JP 0.08%
SWPTN 10YX30Y P 1.72 EUR 11/27/2028 UB 0.08%
SWPTN 1YX2Y R 2.56 USD 02/06/2020 JP 0.08%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.08%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.08%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.07%
AES CORP/THE 05.1250 09/01/2027 0.07%
AMC ENTERTAINMENT HLDGS 06.1250 05/15/2027 0.07%
BAUSCH HLTH COS INC P/P 144A 07.0000 03/15/2024 0.07%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.07%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.07%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.07%
CENTENE CORP 04.7500 05/15/2022 0.07%
CIT GROUP INC 05.0000 08/01/2023 0.07%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.07%
DIAMONDBACK ENERGY INC 05.3750 05/31/2025 0.07%
FHR 4546 TI IO 04.0000 12/15/2045 0.07%
FNR 2010-140 GS IO 03.5145 07/25/2039 0.07%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.07%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.07%
FRONTIER COMM P/P 144A 08.5000 04/01/2026 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.07%
GNR 2015-69 IK IO 03.5000 03/20/2038 0.07%
GNR 2015-H08 CI IO 01.8064 03/20/2065 0.07%
GNR 2016-H14 IO IO 01.6926 06/20/2066 0.07%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.07%
HCA INC 05.2500 06/15/2026 0.07%
HESS INFRASTRUCTURE P/P 144A 05.6250 02/15/2026 0.07%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.07%
INGEVITY CORP P/P 144A 04.5000 02/01/2026 0.07%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.07%
LIONS GATE CAP HOLD P/P 144A 05.8750 11/01/2024 0.07%
MATCH GROUP INC P/P 144A 05.0000 12/15/2027 0.07%
MILLER HOMES GRP HLDS REGS 05.5000 10/15/2024 0.07%
PROVINCIA DE BUENOS P/P 144A 47.7755 05/31/2022 0.07%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.07%
SCIENTIFIC GAMES P/P 144A 08.2500 03/15/2026 0.07%
SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP 0.07%
SWPTN 10YX10Y P 2.795 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 10YX10Y R 2.988 USD 02/26/2029 GS 0.07%
SWPTN 1YX2Y R 2.486 USD 01/31/2020 JP 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%
USG CORP P/P 144A 04.8750 06/01/2027 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%
VISTRA OPERATIONS CO P/P 144A 05.5000 09/01/2026 0.07%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.07%
0.4419 R ISWP EUR006M P 01/30/2023 0.06%
AMC ENTERTAINMENT HLDGS 05.7500 06/15/2025 0.06%
ANTERO RESOURCES CORP 05.0000 03/01/2025 0.06%
ARCELORMITTAL USD 07.0000 10/15/2039 0.06%
ARGENTINE REPUBLIC USD 06.6250 07/06/2028 0.06%
BAUSCH HEALTH COS INC REGS 04.5000 05/15/2023 0.06%
BAUSCH HLTH AMERICAS P/P 144A 08.5000 01/31/2027 0.06%
BAUSCH HLTH AMERICAS P/P 144A 09.2500 04/01/2026 0.06%
BAUSCH HLTH COS INC P/P 144A 05.8750 05/15/2023 0.06%
BOYD GAMING CORPORATION 06.0000 08/15/2026 0.06%
CAS 2016-C05 2B 13.2355 01/25/2029 0.06%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.06%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.06%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.06%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.06%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.06%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.06%
DIGICEL LTD P/P 144A 06.7500 03/01/2023 0.06%
ENDEAVOR ENERGY P/P 144A 05.7500 01/30/2028 0.06%
EQUINIX INC 05.3750 05/15/2027 0.06%
FHR 3072 SM 04.2533 11/15/2035 0.06%
FNR 2010-35 SG IO 03.9145 04/25/2040 0.06%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.06%
GNR 2013-129 SN IO 03.6623 09/20/2043 0.06%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.06%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.06%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 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%
MEREDITH CORP 06.8750 02/01/2026 0.06%
MHL 2005-3 M2 03.2805 08/25/2035 0.06%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.06%
NIELSEN FIN LLC/CO P/P 144A 05.0000 04/15/2022 0.06%
NORDEX SE REGS 06.5000 02/01/2023 0.06%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.06%
PQ CORP P/P 144A 05.7500 12/15/2025 0.06%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.06%
RANGE RESOURCES CORP 05.7500 06/01/2021 0.06%
REFINITIV TLB L+375 06.2486 10/01/2025 0.06%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.06%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.06%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.06%
STARWOOD PROP TR 04.7500 03/15/2025 0.06%
SWPTN 1YX2Y R 0.025 EUR 08/28/2019 GS 0.06%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.06%
SWPTN LIABILITY 6MX5Y P 0.215 EUR 08/07/2019 JP 0.06%
TALBOTS TLB L+700 09.4986 11/28/2022 0.06%
TENDAM BRANDS SAU REGS 05.0000 09/15/2024 0.06%
TOPBUILD CORP P/P 144A 05.6250 05/01/2026 0.06%
TRAVELPORT CORP FIN P/P 144A 06.0000 03/15/2026 0.06%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.06%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.06%
UKRPI P 3.665 R 12/15/28 0.06%
US CONCRETE INC 06.3750 06/01/2024 0.06%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.05%
3.05125 R ISWP FWD US0003M P 03/07/2028 0.05%
3.11 R ISWP FWD US0003M P 02/27/2028 0.05%
ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 0.05%
ALLEGHENY TECHNOLOGIES 07.8750 08/15/2023 0.05%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.05%
ALTICE LUXEMBOURG SA REGS 06.2500 02/15/2025 0.05%
APERGY CORP 06.3750 05/01/2026 0.05%
BAUSCH HLTH COS INC P/P 144A 09.0000 12/15/2025 0.05%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.05%
BERRY GLOBAL INC 05.5000 05/15/2022 0.05%
BOMBARDIER INC P/P 144A 07.5000 12/01/2024 0.05%
CARRIAGE SVCS INC P/P 144A 06.6250 06/01/2026 0.05%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.05%
COMSTOCK RESOURCES P/P 144A 09.7500 08/15/2026 0.05%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.05%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.05%
FIRST DATA TL L+200 04.4899 04/26/2024 0.05%
FNR 2005-122 SE 14.4008 11/25/2035 0.05%
FNR 2007-53 SP 15.0865 06/25/2037 0.05%
GLP CAPITAL LP / FIN II 05.2500 06/01/2025 0.05%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.05%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.05%
GREIF INC P/P 144A 06.5000 03/01/2027 0.05%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.05%
HCA INC 05.0000 03/15/2024 0.05%
HOUSTON FUEL TLB L+275 05.2500 06/26/2025 0.05%
INDIGO NATURAL P/P 144A 06.8750 02/15/2026 0.05%
JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 0.05%
LIONS GATE CAP HOLD P/P 144A 06.3750 02/01/2024 0.05%
LLOYDS BANKING GROUP P/P 144A 06.6570 05/21/2037 0.05%
LOUISIANA-PACIFIC CORPORATION 04.8750 09/15/2024 0.05%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.05%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.05%
NABORS INDUSTRIES INC. 05.7500 02/01/2025 0.05%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.05%
NETFLIX INC 04.8750 04/15/2028 0.05%
NOVAFIVES REGS 05.0000 06/15/2025 0.05%
NRG ENERGY INC 07.2500 05/15/2026 0.05%
OASIS PETROLEUM INC P/P 144A 06.2500 05/01/2026 0.05%
PANTHER BF AGGRE 2 P/P 144A 08.5000 05/15/2027 0.05%
PAR PHARMA INC P/P 144A 07.5000 04/01/2027 0.05%
SPECTRUM BRANDS INC 05.7500 07/15/2025 0.05%
SPRINGLEAF FINANCE CORP 06.8750 03/15/2025 0.05%
STACR 2019-DNA1 M2 05.1355 01/25/2049 0.05%
SUGAR HSP GAMING P/P 144A 05.8750 05/15/2025 0.05%
SWPTN 10YX10Y P 2.988 USD 02/26/2029 GS 0.05%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.05%
SWPTN 5YX20Y R 1.11125 JPY 08/24/2023 BC 0.05%
T-MOBILE USA INC 04.7500 02/01/2028 0.05%
TARGA RESOURCES PART 05.0000 01/15/2028 0.05%
TRANSOCEAN INC 07.5000 04/15/2031 0.05%
USA COMPRESSION PART 06.8750 04/01/2026 0.05%
VISTRA ENERGY CORP 07.6250 11/01/2024 0.05%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.05%
WYNDHAM HOTELS & RE P/P 144A 05.3750 04/15/2026 0.05%
0.12 R ISWP FWD EUR006M P 06/19/2024 0.04%
0.20 R ISWP FWD CHL6M P 06/19/2029 0.04%
1.3775 R ISWP SES3M P 01/30/2028 0.04%
ALBERTSONS COS LLC P/P 144A 07.5000 03/15/2026 0.04%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.04%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.04%
AVAYA HOLDINGS CORP 0.04%
AVAYA TLB L+425 06.7775 12/15/2024 0.04%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.04%
BEACON ROOFING SUPP P/P 144A 04.8750 11/01/2025 0.04%
BOYD GAMING TLB L+225 04.6576 09/15/2023 0.04%
BRAND ENERGY & I P/P 144A 08.5000 07/15/2025 0.04%
BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 0.04%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.04%
CALIFORNIA RESOURC TL L+475 07.2455 12/31/2022 0.04%
CAS 2015-C02 2M2 06.4855 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 HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 0.04%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.04%
CHESAPEAKE ENERGY CORPORATION 08.0000 01/15/2025 0.04%
CIT GROUP INC. 05.0000 08/15/2022 0.04%
CLUBCORP HLDG INC P/P 144A 08.5000 09/15/2025 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.04%
CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 0.04%
CONTINENTAL RESOURCES 04.9000 06/01/2044 0.04%
CPG INTL TL L+375 06.6330 05/05/2024 0.04%
DCP MIDSTREAM P/P 144A 06.7500 09/15/2037 0.04%
EAGLECLAW MID TL L+425 06.8789 06/30/2024 0.04%
EP ENER/EVEREST ACQ P/P 144A 09.3750 05/01/2024 0.04%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.04%
FHR 4000 PI IO 04.5000 01/15/2042 0.04%
FHR 4105 HI IO 03.5000 07/15/2041 0.04%
FHS 304 C37 IO 03.5000 12/15/2027 0.04%
FNR 2005-83 QP 10.9317 11/25/2034 0.04%
FNR 2008-24 SP 14.1698 02/25/2038 0.04%
FNR 2012-127 BI IO 04.5000 11/25/2042 0.04%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.04%
FREEDOM MTGE CORP P/P 144A 08.2500 04/15/2025 0.04%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.04%
GFL ENVIRONMENTAL P/P 144A 07.0000 06/01/2026 0.04%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.04%
GNR 2013-183 JI IO 04.5000 02/16/2043 0.04%
GNR 2015-H26 CI IO 00.6227 08/20/2065 0.04%
GOEASY LTD P/P 144A 07.8750 11/01/2022 0.04%
GOLDEN NUGGET INC P/P 144A 08.7500 10/01/2025 0.04%
HCA INC. 07.5000 02/15/2022 0.04%
HUSKY TLB L+300 05.4986 03/28/2025 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%
INTELSAT CONNECT FIN P/P 144A 09.5000 02/15/2023 0.04%
LENNAR CORP 05.8750 11/15/2024 0.04%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.04%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.04%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.04%
MERCER INTL INC USD 06.5000 02/01/2024 0.04%
MICROCHIP TEC CV 01.6250 02/15/2027 0.04%
MURRAY ENERGY TLB2 L+725 09.7489 10/17/2022 0.04%
NETFLIX INC. P/P 144A 05.8750 11/15/2028 0.04%
OPTN FN30 2.5 04/03/19 CALL 94.5625 JPMC 0.04%
ORYX TLB L+325 05.7486 02/28/2025 0.04%
OSHKOSH CORP 05.3750 03/01/2025 0.04%
PENN NATIONAL GAMING P/P 144A 05.6250 01/15/2027 0.04%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.04%
PRECISION DRILL P/P 144A 07.1250 01/15/2026 0.04%
QORVO INC P/P 144A 05.5000 07/15/2026 0.04%
REGENCY ENERGY P 04.5000 11/01/2023 0.04%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.04%
ROBERTSHAW US HOLDING L+350 06.0000 02/28/2025 0.04%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.04%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.04%
SM ENERGY CO 06.1250 11/15/2022 0.04%
SWPTN 10YX20Y P 1.921 EUR 10/18/2028 JP 0.04%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 1YX30Y P 1.288 EUR 02/17/2020 JP 0.04%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.04%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.04%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.04%
TEMPO ACQ LLC/FI P/P 144A 06.7500 06/01/2025 0.04%
TENNANT CO 05.6250 05/01/2025 0.04%
THE AES CORPORATION 04.8750 05/15/2023 0.04%
TITAN ACQ LTD P/P 144A 07.7500 04/15/2026 0.04%
TRANSDIGM INC 06.3750 06/15/2026 0.04%
TRANSOCEAN PONTUS LT P/P 144A 06.1250 08/01/2025 0.04%
TRAVELPORT TLB L+500 07.6326 03/18/2026 0.04%
VERTIV GROUP CORP P/P 144A 09.2500 10/15/2024 0.04%
WERNER FINCO LP/INC P/P 144A 08.7500 07/15/2025 0.04%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.04%
WPX ENERGY INC 05.7500 06/01/2026 0.04%
0.95 R ISWP FWD SES3M P 06/19/2029 0.03%
1.125 R ISWP SES3M P 11/10/2027 0.03%
1.13 R ISWP SES3M P 11/10/2027 0.03%
1.1575 R ISWP SES3M P 11/13/2027 0.03%
1.16 R ISWP SES3M P 11/13/2027 0.03%
1.20 R ISWP FWD GBL6M P 06/19/2024 0.03%
2.86 R ISWP US0003M P 01/22/2020 0.03%
AES CORP/THE 04.5000 03/15/2023 0.03%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.03%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.03%
BWAY CORP TLB L+325 06.0325 04/03/2024 0.03%
CALPINE CORP P/P 144A 05.2500 06/01/2026 0.03%
CAS 2016-C06 1M2 06.7355 04/25/2029 0.03%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.03%
CENTENE ESCROW I CO P/P 144A 05.3750 06/01/2026 0.03%
CHEMOURS CO 07.0000 05/15/2025 0.03%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.03%
CINEMARK USA INC 04.8750 06/01/2023 0.03%
CINEMARK USA INC 05.1250 12/15/2022 0.03%
CIT GROUP INC. 05.2500 03/07/2025 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
CROWN AMER/CAP 04.7500 02/01/2026 0.03%
DCP MIDSTREAM OPERATING 05.3750 07/15/2025 0.03%
DIAMONDBACK ENERGY INC 04.7500 11/01/2024 0.03%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.03%
ENDEAVOR ENERGY P/P 144A 05.5000 01/30/2026 0.03%
ENERGY TRANSFER OPERATNG 05.5000 06/01/2027 0.03%
ENSCO PLC USD 07.7500 02/01/2026 0.03%
EP ENER/EVEREST ACQ P/P 144A 07.7500 05/15/2026 0.03%
EUR/USD 06/19/2019 BCAP-FX 0.03%
EUR/USD 06/19/2019 SSBT 0.03%
EUR/USD 06/19/2019 UBS 0.03%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.03%
FHR 3249 PS 14.0786 12/15/2036 0.03%
FHR 4210 PI IO 03.0000 12/15/2041 0.03%
FNR 2006-62 PS 24.9870 07/25/2036 0.03%
FNR 2011-98 AI IO 03.5000 11/25/2037 0.03%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.03%
FNS 378 19 IO 05.0000 06/25/2035 0.03%
FREEDOM MTGE CORP P/P 144A 08.1250 11/15/2024 0.03%
GATES GLOBAL TLB L+275 05.2486 03/31/2024 0.03%
GNR 2013-99 VS IO 03.6183 07/16/2043 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.03%
ICAHN ENTER/FIN 06.0000 08/01/2020 0.03%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.03%
ITRON INC P/P 144A 05.0000 01/15/2026 0.03%
JACOBS ENT INC P/P 144A 07.8750 02/01/2024 0.03%
JAZZ INVESTME USD 01.8750 08/15/2021 0.03%
JELD-WEN INC P/P 144A 04.8750 12/15/2027 0.03%
JO-ANN STORES TL L+500 07.7610 10/16/2023 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%
LIVE NATION ENTERTAI P/P 144A 05.6250 03/15/2026 0.03%
MERCER INTL INC USD 05.5000 01/15/2026 0.03%
NETFLIX INC P/P 144A 06.3750 05/15/2029 0.03%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.03%
NOBLE HLDG INTL LTD P/P 144A 07.8750 02/01/2026 0.03%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.03%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.03%
OPTN FN30 3.0 05/06/19 CALL 99.625 JPMC 0.03%
PALO ALTO NET P/P 144A CV 00.7500 07/01/2023 0.03%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.03%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.03%
PRICELINE.COM CV 00.3500 06/15/2020 0.03%
RESIDEO FUNDING INC P/P 144A 06.1250 11/01/2026 0.03%
REVLON CONS TLB L+350 06.1289 09/07/2023 0.03%
ROBERTSHAW TL 2L L+800 10.5000 02/28/2026 0.03%
SESI LLC 07.7500 09/15/2024 0.03%
SPRINGLEAF FINANCE CORP 07.1250 03/15/2026 0.03%
SS&C TECH INC P/P 144A 05.5000 09/30/2027 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 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 1YX2Y R -0.065 EUR 08/28/2019 GS 0.03%
SWPTN 5WX2Y R 2.41 USD 04/23/2019 CI 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 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
TENET HEALTHCARE 04.6250 07/15/2024 0.03%
THE WILLIAMS COMPANIES INC. 08.7500 03/15/2032 0.03%
TMX FIN LLC/TITLEMAX P/P 144A 11.1250 04/01/2023 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%
VISTRA ENERGY CORP P/P 144A 08.1250 01/30/2026 0.03%
VISTRA OPERATIONS CO P/P 144A 05.6250 02/15/2027 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 06.7970 07/24/2024 0.03%
WHITING PETROLEUM CORP 06.6250 01/15/2026 0.03%
0.354 R ISWP FWD EUR006M P 09/21/2021 0.02%
1.02 R ISWP TELBOR03 P 03/20/2024 GS 0.02%
1.35 R ISWP FWD GBL6M P 06/19/2029 0.02%
1.354 R ISWP FWD EUR006M P 02/19/2050 0.02%
2.1825 R ISWP AUDBB6M P 03/20/2029 0.02%
2.536 R ISWP FWD US0003M P 12/02/2023 0.02%
ABC SUPPLY CO INC P/P 144A 05.8750 05/15/2026 0.02%
AIR METHODS TLB L+350 06.1010 04/21/2024 0.02%
AKER BP ASA P/P 144A 05.8750 03/31/2025 0.02%
ALLEGHENY TECHNOLOGIES 05.9500 01/15/2021 0.02%
AMC ENT HOLDIN 05.8750 11/15/2026 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
ASCENT RESOURCES/AR P/P 144A 07.0000 11/01/2026 0.02%
BAUSCH HLTH COS INC P/P 144A 05.5000 11/01/2025 0.02%
BAUSCH HLTH COS INC P/P 144A 05.7500 08/15/2027 0.02%
BAUSCH HLTH COS INC P/P 144A 06.5000 03/15/2022 0.02%
BERRY GLOBAL INC P/P 144A 04.5000 02/15/2026 0.02%
BIOMARIN PHARMA CV 00.5990 08/01/2024 0.02%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.02%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.02%
CAD/USD 04/17/2019 BCAP-FX 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CAS 2015-C02 1M2 06.4855 05/25/2025 0.02%
CHEMOURS CO 05.3750 05/15/2027 0.02%
CHESAPEAKE EN CV 05.5000 09/15/2026 0.02%
CHESAPEAKE ENERGY CORP 08.0000 06/15/2027 0.02%
CHS/COMMUNITY HEALTH P/P 144A 08.0000 03/15/2026 0.02%
CLEVELAND-CLIFFS INC 05.7500 03/01/2025 0.02%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 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 MS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.02%
COLONY STARWO CV 03.5000 01/15/2022 0.02%
CPURNSA P 2.19 R 12/06/27 0.02%
CPURNSA P 2.1939 R 12/21/27 0.02%
CREDIT ACCEPTANC P/P 144A 06.6250 03/15/2026 0.02%
CSMC 2007-C4 C P/P 144A 05.8056 09/15/2039 0.02%
DENBURY RESOURCES P/P 144A 07.5000 02/15/2024 0.02%
DISH NETWORK CV 03.3750 08/15/2026 0.02%
ENERGIZER HLDG INC P/P 144A 06.3750 07/15/2026 0.02%
EQUINIX INC 05.8750 01/15/2026 0.02%
EUR/USD 06/19/2019 BANKAM 0.02%
EUR/USD 06/19/2019 CITI 0.02%
EUR/USD 06/19/2019 HSBCB 0.02%
EUR/USD 06/19/2019 JPMCB 0.02%
FHR 3408 EK 15.7988 04/15/2037 0.02%
FREEPORT-MCMORAN INC 05.4500 03/15/2043 0.02%
FRONTIER COMM 11.0000 09/15/2025 0.02%
GBP/USD CALL 1.37 20190726 BANKAM 0.02%
GENON ENERGY/NRG AMER 09.3923 12/01/2023 0.02%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.02%
GRAY TELEVISION INC P/P 144A 05.8750 07/15/2026 0.02%
ILLUMINA INC P/P 144A CV 00.0000 08/15/2023 0.02%
INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 0.02%
INTEL CORP CV 03.2500 08/01/2039 0.02%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.02%
IRON MOUNTAIN INC P/P 144A 05.2500 03/15/2028 0.02%
ISTAR INC 06.0000 04/01/2022 0.02%
ISTAR INC. 05.2500 09/15/2022 0.02%
JAGGED PEAK ENERGY 05.8750 05/01/2026 0.02%
JC PENNEY CORP INC 07.4000 04/01/2037 0.02%
JELD-WEN INC P/P 144A 04.6250 12/15/2025 0.02%
JPY/USD 05/15/2019 CITI 0.02%
JPY/USD 05/15/2019 SSBT 0.02%
JPY/USD 05/15/2019 UBS 0.02%
KCA DEUTAG US FIN LLC L+675 09.5530 03/21/2023 0.02%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 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 06.5000 10/01/2025 0.02%
MEDICINES CO CV 02.5000 01/15/2022 0.02%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.02%
MERCER INTL INC USD 07.7500 12/01/2022 0.02%
MGM GROWTH/MGM FINANCE 04.5000 01/15/2028 0.02%
NATIONSTAR MTG P/P 144A 09.1250 07/15/2026 0.02%
NINE ENERGY SERVICE P/P 144A 08.7500 11/01/2023 0.02%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.02%
NRG ENERGY INC 05.7500 01/15/2028 0.02%
NRG ENERGY P/P 144A CV 02.7500 06/01/2048 0.02%
ON SEMICONDUC CV 01.6250 10/15/2023 0.02%
OPTN FN30 3.5 04/03/19 CALL 99.84765625 JPMC 0.02%
OPTN FN30 3.5 05/06/19 PUT 101.06640625 JPMC 0.02%
OPTN FN30 3.5 05/06/19 PUT 101.19140625 JPMC 0.02%
OPTN FN30 3.5 05/06/19 PUT 101.31640625 JPMC 0.02%
OPTN FN30 3.5 05/06/19 PUT 101.44140625 JPMC 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.02%
REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.02%
SERVICE CORP INTL 04.6250 12/15/2027 0.02%
SERVICENOW IN CV 00.0000 06/01/2022 0.02%
SESI LLC 07.1250 12/15/2021 0.02%
SM ENERGY CO 06.6250 01/15/2027 0.02%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.02%
STAR MERGER SUB INC P/P 144A 06.8750 08/15/2026 0.02%
STEEL DYNAMICS INC 04.1250 09/15/2025 0.02%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 1MX5Y P 2.38875 USD 04/29/2019 CI 0.02%
SWPTN 1MX5Y R 2.19625 USD 04/29/2019 CI 0.02%
SWPTN 1YX2Y P 2.486 USD 01/31/2020 JP 0.02%
SWPTN 1YX2Y P 2.56 USD 02/06/2020 JP 0.02%
SWPTN 5WX5Y P 2.3975 USD 05/02/2019 GS 0.02%
SWPTN 5WX5Y R 2.1975 USD 05/02/2019 GS 0.02%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS 0.02%
SWPTN 6MX30Y P 1.28 EUR 08/07/2019 JP 0.02%
SWPTN LIABILITY 1MX5Y P 2.2925 USD 04/29/2019 CI 0.02%
SWPTN LIABILITY 1MX5Y R 2.2925 USD 04/29/2019 CI 0.02%
SWPTN LIABILITY 5WX5Y R 2.2975 USD 05/02/2019 GS 0.02%
T-MOBILE USA INC 04.5000 02/01/2026 0.02%
TARGA RESOURCES PART P/P 144A 06.5000 07/15/2027 0.02%
TARGA RESOURCES PART P/P 144A 06.8750 01/15/2029 0.02%
TENET HEALTHCARE P/P 144A 06.2500 02/01/2027 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
TRANSDIGM INC 06.5000 05/15/2025 0.02%
TRANSOCEAN POSEIDON P/P 144A 06.8750 02/01/2027 0.02%
TRIBUNE CLASS 1C LITIGAT 0.02%
TRONOX FINANCE PLC P/P 144A 05.7500 10/01/2025 0.02%
WELLCARE HLTH PLANS P/P 144A 05.3750 08/15/2026 0.02%
WMG ACQUISITION CORP P/P 144A 05.5000 04/15/2026 0.02%
WORKDAY INC CV 00.2500 10/01/2022 0.02%
-0.2225 R ISWP SES3M P 11/13/2019 0.01%
-0.23 R ISWP SES3M P 11/13/2019 0.01%
-0.245 R ISWP SES3M P 11/10/2019 0.01%
-0.246 R ISWP SES3M P 11/10/2019 0.01%
0.09 R ISWP JPL6M P 12/19/2022 0.01%
0.135 R ISWP JPL6M P 01/15/2023 0.01%
0.148 R ISWP JPL6M P 02/16/2023 0.01%
2.02 R ISWP CDOR03 P 11/02/2022 0.01%
2.0525 R ISWP CDOR03 P 11/14/2022 0.01%
2.524 R ISWP FWD NFIX3MID P 03/28/2029 0.01%
2.80 R ISWP FWD US0003M P 06/19/2049 0.01%
2.806 R ISWP FWD US0003M P 03/05/2030 0.01%
8X8 INC P/P 144A CV 00.5000 02/01/2024 0.01%
AIR TRANSPORT CV 01.1250 10/15/2024 0.01%
AKAMAI TECH P/P 144A CV 00.1250 05/01/2025 0.01%
ALTERYX INC P/P 144A CV 00.5000 06/01/2023 0.01%
ARCELORMITTAL USD 06.1250 06/01/2025 0.01%
AUD/USD 04/17/2019 RBSF 0.01%
BLACKSTONE MORTGAGE TR CV 04.7500 03/15/2023 0.01%
CAD/USD 04/17/2019 RBSF 0.01%
CARBONITE INC CV 02.5000 04/01/2022 0.01%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.01%
CHEGG INC P/P 144A CV 00.1250 03/15/2025 0.01%
CHENIERE ENERGY INC CV 04.2500 03/15/2045 0.01%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
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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 GS 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 ML 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.01%
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JPY/USD 05/15/2019 CSI-FX 0.01%
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AUD/USD 04/17/2019 CITI 0.00%
AUD/USD 04/17/2019 HSBCB 0.00%
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CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
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CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 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 CS 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 GS 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 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
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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%
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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%
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IOS.FN30.400.10 P USL1M R 01/12/41 CS 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%
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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%
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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%
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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%
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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%
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JPY/USD 05/15/2019 HSBCB 0.00%
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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%
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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%
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MBX.FN30.650.67 P USL1M R 01/12/38 DE 0.00%
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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%
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OPTN FN30 3.5 05/06/19 PUT 100.06640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.19140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.31640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.44140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.56640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.69140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.81640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.94140625 JPMC 0.00%
SAREPTA THERA P/P CV 01.5000 11/15/2024 0.00%
SEK/USD 06/19/2019 BANKAM 0.00%
SEK/USD 06/19/2019 BCAP-FX 0.00%
SEK/USD 06/19/2019 JPMCB 0.00%
SEK/USD 06/19/2019 SSBT 0.00%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.00%
STANDARD IND INC P/P 144A 04.7500 01/15/2028 0.00%
STRIP 2003-1A N P/P 144A 05.0000 03/24/2020 0.00%
SWPTN 13WX10Y P 0.8 EUR 05/07/2019 MS 0.00%
SWPTN 13WX10Y P 0.9 EUR 05/07/2019 MS 0.00%
SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP 0.00%
SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP 0.00%
SWPTN 3MX10Y P 1.516 GBP 04/16/2019 JP 0.00%
SWPTN 3MX10Y P 1.52 GBP 04/16/2019 RB 0.00%
SWPTN 3MX10Y P 1.668 GBP 04/16/2019 RB 0.00%
SWPTN 3MX30Y P 1.628 GBP 04/16/2019 JP 0.00%
SWPTN 3MX5Y P 1.361 GBP 04/16/2019 JP 0.00%
SWPTN 5WX10Y P 0.6 EUR 04/23/2019 MS 0.00%
SWPTN 5WX10Y P 1.369 GBP 04/23/2019 MS 0.00%
SWPTN LIABILITY 5WX5Y P 2.2975 USD 05/02/2019 GS 0.00%
TERVITA CORP 0.00%
TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 0.00%
TRANSOCEAN INC P/P 144A 09.0000 07/15/2023 0.00%
TXU TCEH RIGHTS 0.00%
UKRPI P 3.3875 R 03/15/28 0.00%
UKRPI P 3.4025 R 03/15/28 0.00%
US 10YR ULTRA FUT JUN19 UXYM9 0.00%
US 2YR NOTE (CBT) JUN19 TUM9 0.00%
US 5YR NOTE (CBT) JUN19 FVM9 0.00%
US ULTRA BOND CBT JUN19 WNM9 0.00%
USD/CNH CALL 7.00 20190404 GSFX 0.00%
USD/CNH CALL 7.20 20190404 GSFX 0.00%
WBCMT 2007-C34 IO IO 00.0909 05/15/2046 0.00%
0.106 R ISWP EUR006M P 03/21/2024 -0.01%
0.7495 R ISWP FWD JPL6M P 08/29/2043 -0.01%
1.2115 R ISWP FWD EUR006M P 03/12/2050 -0.01%
1.267 R ISWP FWD EUR006M P 03/11/2050 -0.01%
1.484 R ISWP FWD EUR006M P 11/29/2058 -0.01%
1.52 R ISWP FWD GBL6M P 04/16/2029 -0.01%
2.00 R ISWP FWD CDOR03 P 06/19/2024 -0.01%
2.25 R ISWP FWD AUDBB6M P 06/19/2029 -0.01%
2.40 R ISWP FWD NFIX3MID P 06/19/2029 -0.01%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.01%
AUD/USD 04/17/2019 CSI-FX -0.01%
AUD/USD 04/17/2019 GSFX -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.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 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 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 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 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 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 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 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 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 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 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 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 ML -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -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-.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-.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-.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-.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 CS -0.01%
CPURNSA R 2.05 P 12/06/22 -0.01%
CPURNSA R 2.068 P 12/21/22 -0.01%
GBP/USD 06/19/2019 HSBCB -0.01%
GBP/USD 06/19/2019 JPMCB -0.01%
GBP/USD 06/19/2019 SSBT -0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS -0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS -0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 GS -0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 GS -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
NOK/USD 06/19/2019 BANKAM -0.01%
NOK/USD 06/19/2019 JPMCB -0.01%
NOK/USD 06/19/2019 SSBT -0.01%
NZD/USD 04/17/2019 GSFX -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.56640625 JPMC -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.69140625 JPMC -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.81640625 JPMC -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.94140625 JPMC -0.01%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.01%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.01%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.01%
SWPTN 5WX5Y R 2.20625 USD 04/29/2019 GS -0.01%
UKRPI P 3.34 R 02/15/28 -0.01%
-0.046 R ISWP FWD CHL6M P 09/21/2021 -0.02%
0.29 R ISWP JPL6M P 12/19/2027 -0.02%
0.365 R ISWP JPL6M P 01/15/2028 -0.02%
0.366 R ISWP JPL6M P 02/16/2028 -0.02%
2.208 R ISWP CDOR03 P 03/19/2029 -0.02%
2.375 R ISWP FWD US0003M P 04/16/2029 -0.02%
2.6785 R ISWP US0003M P 02/13/2029 -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.6 2063-05-11 500.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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 BA -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -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 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 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
NOK/USD 06/19/2019 GSFX -0.02%
SWPTN 1MX5Y P 2.2925 USD 04/29/2019 CI -0.02%
SWPTN 1MX5Y R 2.2925 USD 04/29/2019 CI -0.02%
SWPTN 5WX5Y P 2.2975 USD 05/02/2019 GS -0.02%
SWPTN 5WX5Y R 2.2975 USD 05/02/2019 GS -0.02%
SWPTN 6MX5Y P 0.215 EUR 08/07/2019 JP -0.02%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.02%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.02%
SWPTN LIABILITY 1MX5Y P 2.38875 USD 04/29/2019 CI -0.02%
SWPTN LIABILITY 1MX5Y R 2.19625 USD 04/29/2019 CI -0.02%
SWPTN LIABILITY 5WX5Y P 2.3975 USD 05/02/2019 GS -0.02%
SWPTN LIABILITY 5WX5Y R 2.1975 USD 05/02/2019 GS -0.02%
SWPTN LIABILITY 5YX20Y P 1.11125 JPY 08/24/2023 BC -0.02%
SWPTN LIABILITY 5YX20Y R 1.11125 JPY 08/24/2023 BC -0.02%
UKRPI P 3.34 R 03/15/28 -0.02%
-0.30 R ISWP FWD CHL6M P 06/19/2024 -0.03%
1.948 R ISWP CZECH INTERBANK RATES 6 MONTH P 03/19/2029 -0.03%
2.20 R ISWP FWD US0003M P 04/10/2024 -0.03%
CAD/USD 04/17/2019 SSBT -0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -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 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%
CPTFEMU R 1.42 P 08/15/27 -0.03%
SWPTN 5WX10Y R 2.421 USD 04/23/2019 CI -0.03%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.03%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -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 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.03%
0.66875 R ISWP SES3M P 01/30/2023 -0.04%
0.9987 R ISWP EUR006M P 01/30/2028 -0.04%
1.104 R ISWP FWD EUR006M P 03/21/2029 -0.04%
2.55 R ISWP FWD US0003M P 06/19/2029 -0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -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%
OPTN FN30 3.0 05/06/19 PUT 99.625 JPMC -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 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.05%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.05%
CPTFEMU R 1.4475 P 09/15/27 -0.05%
SWPTN 10YX10Y P 1.722 GBP 02/26/2029 GS -0.05%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.05%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 5YX30Y P 3.27 USD 10/17/2023 MS -0.05%
SWPTN LIABILITY 5YX30Y R 3.27 USD 10/17/2023 MS -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%
2.77 R ISWP US0003M P 01/22/2021 -0.06%
CPTFEMU R 1.4275 P 08/15/27 -0.06%
SWPTN 1YX1Y R 2.58 USD 08/28/2019 MS -0.06%
SWPTN 3YX2Y P 2.486 USD 01/31/2022 JP -0.06%
SWPTN 3YX2Y P 2.56 USD 02/07/2022 JP -0.06%
SWPTN 5YX30Y P 3.215 USD 11/27/2023 GS -0.06%
SWPTN LIABILITY 10YX20Y P 1.921 EUR 10/18/2028 JP -0.06%
SWPTN LIABILITY 10YX20Y R 1.921 EUR 10/18/2028 JP -0.06%
0.21 R ISWP EURIBOR6MD P 05/04/2022 -0.07%
2.40 R ISWP FWD US0003M P 06/19/2024 -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.07%
CPTFEMU R 1.4375 P 09/15/23 -0.07%
CPTFEMU R 1.4413 P 09/15/23 -0.07%
CPTFEMU R 1.4425 P 09/15/23 -0.07%
CPTFEMU R 1.4438 P 09/15/23 -0.07%
SWPTN 10YX10Y R 1.722 GBP 02/26/2029 GS -0.07%
SWPTN 7YX10Y P 1.667 EUR 02/16/2026 JP -0.07%
SWPTN LIABILITY 6MX30Y P 1.28 EUR 08/07/2019 JP -0.07%
1.61375 R ISWP FWD EUR006M P 10/27/2027 -0.08%
1.815 R ISWP FWD EUR006M P 02/27/2028 -0.08%
SWPTN 13WX10Y R 0.5 EUR 05/07/2019 MS -0.08%
SWPTN 1YX2Y R 0.115 EUR 08/28/2019 GS -0.08%
2.00 R ISWP FWD NFIX3MID P 06/19/2024 -0.09%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.09%
CPTFEMU R 1.4 P 07/15/27 -0.09%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.09%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.09%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.09%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.09%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.11%
SWPTN 3YX2Y R 2.486 USD 01/31/2022 JP -0.11%
SWPTN 7YX10Y R 1.667 EUR 02/16/2026 JP -0.11%
SWPTN LIABILITY 10YX30Y P 1.72 EUR 11/27/2028 UB -0.11%
SWPTN LIABILITY 10YX30Y R 1.72 EUR 11/27/2028 UB -0.11%
SWPTN 1YX1Y R 2.8 USD 08/28/2019 MS -0.12%
SWPTN 3YX2Y R 2.56 USD 02/07/2022 JP -0.12%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.12%
1.90 R ISWP FWD AUDBB6M P 06/19/2024 -0.13%
SWPTN 5YX24Y R 3.0 USD 04/04/2024 MS -0.14%
SWPTN 5YX24Y R 3.0 USD 04/12/2024 MS -0.14%
SWPTN 6YX24Y R 3.0 USD 01/31/2025 MS -0.15%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.16%
SWPTN 5YX30Y R 3.215 USD 11/27/2023 GS -0.19%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.20%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.20%
CDX CDX.NA.HY.32 500.0 06/20/2024 -0.26%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.27%
2.55 R ISWP FWD US0003M P 06/19/2021 -0.33%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.34%
2.50 R ISWP FWD US0003M P 06/19/2024 -0.47%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.49%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.60%
FNMA FN30 TBA 04.5000 04/01/2049 -1.56%
FNMA FN30 TBA 03.0000 04/01/2049 -8.47%

Prior top 10 holdings

Top 10 holdings as of 05/31/19
1: Umbs Fn30 Tba 03.5000 06/01/2049 13.47%
2: Umbs Fn30 Tba 04.0000 06/01/2049 4.55%
3: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 4.54%
4: Fnma Fn30 Tba Umbs 02.5000 07/01/2049 3.85%
5: Gnma Gii30 Tba 04.5000 06/01/2049 3.05%
6: Umbs Fn30 Tba 05.5000 06/01/2049 1.57%
7: Gnma Gii30 Tba 04.0000 06/01/2049 1.52%
8: United Mexican States Usd 05.5500 01/21/2045 0.98%
9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
10: Cas 2016-C03 2m2 08.3298 10/25/2028 0.79%
Holdings represent 35.23% of portfolio
Top 10 holdings as of 04/30/19
1: Umbs Fn30 Tba 03.5000 06/01/2049 13.24%
2: Umbs Fn30 Tba 04.0000 06/01/2049 8.98%
3: Gnma Gii30 Tba 04.5000 05/01/2049 3.03%
4: Fnma Fn30 Tba 05.5000 05/01/2049 1.56%
5: Gnma Gii30 Tba 04.0000 05/01/2049 1.50%
6: Fnma Fn30 Tba 02.5000 05/01/2049 1.40%
7: United Mexican States Usd 05.5500 01/21/2045 0.97%
8: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.89%
9: Cas 2016-C03 2m2 08.3766 10/25/2028 0.80%
10: Cas 2015-C03 1m2 07.4766 07/25/2025 0.73%
Holdings represent 33.10% of portfolio
Top 10 holdings as of 03/31/19
1: Fnma Fn30 Tba 03.5000 04/01/2049 13.18%
2: Fnma Fn30 Tba 04.0000 04/01/2049 9.26%
3: Gnma Gii30 Tba 04.5000 04/01/2049 3.12%
4: Fnma Fn30 Tba 05.5000 04/01/2049 1.60%
5: Gnma Gii30 Tba 04.0000 04/01/2049 1.55%
6: United Mexican States Usd 05.5500 01/21/2045 0.99%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
8: Cas 2016-C03 2m2 08.3855 10/25/2028 0.83%
9: Cas 2015-C03 1m2 07.4855 07/25/2025 0.76%
10: Argentine Republic Usd 07.5000 04/22/2026 0.75%
Holdings represent 32.95% of portfolio
Top 10 holdings as of 02/28/19
1: Fnma Fn30 Tba 03.5000 03/01/2049 13.09%
2: Fnma Fn30 Tba 04.0000 03/01/2049 9.24%
3: Gnma Gii30 Tba 04.5000 03/01/2049 3.12%
4: Fnma Fn30 Tba 05.5000 03/01/2049 1.60%
5: Gnma Gii30 Tba 04.0000 03/01/2049 1.55%
6: United Mexican States Usd 05.5500 01/21/2045 0.94%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.89%
8: Cas 2016-C03 2m2 08.3899 10/25/2028 0.86%
9: Cas 2015-C03 1m2 07.4899 07/25/2025 0.78%
10: Argentine Republic Usd 07.5000 04/22/2026 0.77%
Holdings represent 32.84% of portfolio

Sector Weightings as of 05/31/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Net cash 23.78% 0.00 0.00% 0.00 23.78% 0.00
Agency pass-through 0.57% 0.02 22.78% 0.88 23.35% 0.90
Commercial MBS 9.02% 0.32 12.97% 0.32 21.99% 0.64
Agency CMO 17.90% 0.66 0.59% 0.03 18.49% 0.69
High-yield corporate bonds 16.13% 0.55 -3.89% -0.18 12.24% 0.37
Residential MBS (non-agency) 11.25% 0.52 0.00% 0.00 11.25% 0.52
Emerging-market bonds 9.72% 0.56 0.00% 0.00 9.72% 0.56
Convertible securities 3.96% 0.08 0.00% 0.00 3.96% 0.08
International Treasury/agency 3.39% 0.21 0.00% -0.07 3.39% 0.14
Investment-grade corporate bonds 1.86% 0.11 0.00% 0.00 1.86% 0.11
Bank loans 1.57% 0.07 0.00% 0.00 1.57% 0.07
Asset-backed securities (ABS) 0.64% 0.01 0.00% 0.00 0.64% 0.01
Equity investments 0.21% 0.00 0.00% 0.00 0.21% 0.00
Interest rate swaps 0.00% 0.00 0.00% 2.18 0.00% 2.18
U.S. Treasury/agency 0.00% 0.00 0.00% 0.12 0.00% 0.12

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 05/31/19

United States 84.03%
Greece 3.39%
Argentina 2.22%
Brazil 1.98%
Mexico 1.45%
Indonesia 1.27%
Canada 0.72%
United Kingdom 0.68%
Ivory Coast 0.62%
 
Other		 3.64%
Dominican Republic 0.58%
Egypt 0.49%
Venezuela 0.40%
Luxembourg 0.39%
Russia 0.28%
Bermuda 0.27%
European Community 0.25%
Sweden 0.23%
Germany 0.20%
Switzerland 0.19%
Israel 0.17%
Ireland 0.16%
France 0.15%
South Africa 0.14%
Cayman Islands 0.13%
El Salvador 0.12%
Senegal 0.10%
Italy 0.09%
Jamaica 0.07%
Spain 0.05%
Czech Republic -0.04%
Norway -0.04%
New Zealand -0.06%
Japan -0.19%
Australia -0.49%

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%