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.

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 10/20/17

with optional enhanced death benefits
Unit Value $20.00752 $19.45378
Unit Value Change 0.032114 0.031145

Lipper ranking ‡ as of 09/30/17

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 85% 21/24
1 yr. 5% 2/47
3 yrs. 91% 36/39
5 yrs. 19% 6/32

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 09/30/17

Fiscal Year End December
Asset Class Putnam Allstate Advisor
Subaccount Status Open to new investors
Number of issues 1297
Turnover (fiscal year end) 846%
Net Assets $211M
Inception Date 09/15/93

Performance

Performance as of 09/30/17

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 1.70% 4.74% 8.52% 0.45% 2.72% 3.18% 3.93%
Standardized -7.16% -4.33% -0.81% -4.46% -0.98% 0.13% 1.22%
With optional enhanced death benefit
Unit Value 1.66% 4.62% 8.36% 0.30% 2.57% 3.02% 3.77%
Standardized -7.19% -4.44% -0.96% -4.62% -1.14% -0.05% 1.01%
Actual performance
Unit Value 1.70% 4.74% 8.52% 0.45% 2.72% 3.18% 3.80%
Standardized -7.16% -4.33% -0.81% -4.46% -0.98% 0.13% 0.94%
With optional enhanced death benefit
Unit Value 1.66% 4.62% 8.36% 0.30% 2.57% 3.02% 3.65%
Standardized -7.19% -4.44% -0.96% -4.62% -1.14% -0.05% 0.74%

Annual Performance at NAV

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
2.82% -31.68% 53.42% 11.26% -4.38% 10.13% 6.47% -0.91% -3.56% 4.11%
With optional enhanced death benefit
2.67% -31.78% 53.18% 11.09% -4.52% 9.96% 6.30% -1.06% -3.71% 3.95%

Restated performance

Monthly as of 09/30/17

Unit Value 1.58%
Standardized -7.27%

YTD as of 10/20/17

Unit Value 5.35%
Standardized -3.76%

With optional enhanced death benefit

Monthly as of 09/30/17

Unit Value 1.56%
Standardized -7.29%

YTD as of 10/20/17

Unit Value 5.23%
Standardized -3.88%

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 09/30/17

Avg. Eff. Maturity 6.61
Avg. Price 91.24
Avg. Eff. Duration -1.42
Avg. Coupon 5.74
Avg. Yield to Maturity 5.68
Alpha (%) --
Beta -0.89
R Squared 0.19
Standard Deviation (3 yrs.) 5.72

Maturity Details

0 to 1 yr. -1.72%
1 to 5 yrs. 26.74%
5 to 10 yrs. 68.21%
10 to 15 yrs. 3.58%
Over 15 yrs. 3.19%

Quality Ratings

AAA 40.23%
A 0.60%
BBB 10.91%
BB 22.54%
B 20.51%
CCC and Below 10.72%
Not Rated -5.51%

Holdings

Top 10 holdings as of 09/30/17

Fnma Fn30 Tba 03.5000 11/01/2047 15.15%
Fnma Fn30 Tba 02.5000 10/01/2047 2.76%
Gnma Gii30 Tba 04.0000 10/01/2047 2.50%
Gnma Gii30 Tba 04.5000 10/01/2047 2.02%
Fnma Fn30 Tba 05.5000 10/01/2047 1.58%
Cas 2015-C03 1m2 06.2372 07/25/2025 0.93%
Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.93%
Cas 2016-C03 2m2 07.1372 10/25/2028 0.85%
Petroleos Mexicanos Usd 04.5000 01/23/2026 0.85%
Cwalt 2006-Oa10 4a1 01.4272 08/25/2046 0.84%
Top 10 holdings, total: 28.41%

Equity Holdings as of 06/30/17

GMAC CAPITAL TRUST I PCT 06.9667 0.09%
SANDRIDGE ENERGY INC 0.03%
HALCON RESOURCES CORP 0.02%
NINE POINT ENERGY CNV PRF 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
TXU TCEH RIGHTS 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%

Full Portfolio Holdings as of 06/30/17

FNMA FN30 TBA 03.5000 08/01/2047 15.99%
FNMA FN30 TBA 03.5000 07/01/2047 6.79%
FNMA FN30 TBA 04.5000 07/01/2047 2.53%
FNMA FN30 TBA 02.5000 07/01/2047 1.82%
FNMA FN30 TBA 05.5000 07/01/2047 1.57%
CWALT 2006-OA10 4A1 01.4061 08/25/2046 1.02%
CAS 2015-C03 1M2 06.2161 07/25/2025 0.99%
FNMA FN30 TBA 04.0000 07/01/2047 0.99%
FNMA FN30 TBA 02.5000 08/01/2047 0.91%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.91%
CAS 2016-C03 2M2 07.1161 10/25/2028 0.86%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.84%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.82%
CAS 2015-C04 1M2 06.9161 04/25/2028 0.76%
STACR 2015-DN1 B 12.7161 01/25/2025 0.73%
VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 0.64%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.63%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.62%
PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.60%
CAS 2016-C02 1B 13.4661 09/25/2028 0.57%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.52%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.52%
WBCMT 2006-C26 AJ 06.3084 06/15/2045 0.50%
WFRBS 2013-C15 D P/P 144A 04.6285 08/15/2046 0.49%
STACR 2016-DNA1 B 11.2161 07/25/2028 0.46%
OJSC RUSS AGRIC RSHB P/P 144A 07.7500 05/29/2018 0.45%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.44%
BSCMS 2007-T26 AJ 05.5353 01/12/2045 0.42%
MSBAM 2014-C17 D P/P 144A 04.6974 08/15/2047 0.42%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.41%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.41%
WFRBS 2012-C10 D P/P 144A 04.5944 12/15/2045 0.41%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.40%
WAMU 2005-AR17 A1B3 01.5661 12/25/2045 0.40%
CAS 2016-C01 1B 12.9661 08/25/2028 0.38%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.37%
BSCMS 2005-PWR7 B 05.2140 02/11/2041 0.36%
FHR 4425 IO IO 04.0000 01/15/2045 0.36%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.36%
CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 0.35%
CGCMT 2012-GC8 D P/P 144A 04.8549 09/10/2045 0.35%
COMM 2014-CR18 D P/P 144A 04.8933 07/15/2047 0.35%
JPMBB 2014-C18 D P/P 144A 04.9740 02/15/2047 0.35%
STACR 2015-DNA3 B 10.5661 04/25/2028 0.35%
WAMU 2005-AR19 A1C3 01.7161 12/25/2045 0.35%
WFRBS 2012-C7 E P/P 144A 04.9849 06/15/2045 0.35%
CGCMT 2014-GC21 D P/P 144A 04.8350 05/10/2047 0.34%
CWALT 2006-OA7 1A1 02.3144 06/25/2046 0.34%
JPMCC 2012-LC9 E P/P 144A 04.5352 12/15/2047 0.34%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.34%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.34%
JPMCC 2007-CB20 C P/P 144A 06.3104 02/12/2051 0.33%
CAS 2016-C03 1B 12.9661 10/25/2028 0.32%
CSAIL 2015-C1 D P/P 144A 03.9422 04/15/2050 0.32%
FHR 4604 QI IO 03.5000 07/15/2046 0.32%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.32%
STACR 2016-HQA2 M3 06.3661 11/25/2028 0.32%
CWALT 2005-38 A3 01.5661 09/25/2035 0.31%
JPMBB 2014-C26 D P/P 144A 04.0686 01/15/2048 0.31%
STACR 2015-DNA2 B 08.7661 12/25/2027 0.31%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.31%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.30%
PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 0.30%
WFRBS 2014-C19 E P/P 144A 05.1353 03/15/2047 0.30%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.29%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.29%
JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 0.29%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.29%
SPRINT CORP 07.8750 09/15/2023 0.29%
FNR 2013-90 SD IO 05.3839 09/25/2043 0.28%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.28%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.28%
GNR 2016-H09 BI IO 02.2729 04/20/2066 0.28%
MSBAM 2013-C10 D P/P 144A 04.2190 07/15/2046 0.28%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.28%
WAMU 2005-AR10 1A3 02.8076 09/25/2035 0.28%
WFCM 2013-LC12 D P/P 144A 04.4307 07/15/2046 0.28%
CD 2007-CD5 E P/P 144A 06.5058 11/15/2044 0.27%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.27%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.27%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.27%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.27%
RALI 2006-QO10 A1 01.3761 01/25/2037 0.27%
CWALT 2006-OA7 1A2 01.6716 06/25/2046 0.26%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.26%
GNR 2017-H10 MI IO 01.7249 04/20/2067 0.26%
FHR 4580 ID IO 03.5000 08/15/2045 0.25%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.25%
GNR 2017-H08 NI IO 02.1945 03/20/2067 0.25%
GSMS 2014-GC18 D P/P 144A 04.9445 01/10/2047 0.25%
JPMBB 2013-C15 D P/P 144A 05.2318 11/15/2045 0.25%
CWALT 2005-59 1A1 01.5422 11/20/2035 0.24%
GNR 2016-H06 DI IO 01.9035 07/20/2065 0.24%
GNR 2016-H10 AI IO 01.9042 04/20/2066 0.24%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.24%
MSC 2008-T29 D P/P 144A 06.5033 01/11/2043 0.24%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.24%
SERVICE CORP INTL 05.3750 05/15/2024 0.24%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.23%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.23%
GNR 2015-H25 AI IO 01.6137 09/20/2065 0.23%
GNR 2016-H06 CI IO 01.7520 02/20/2066 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%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.23%
SAMI 2007-AR1 2A1 01.3961 01/25/2037 0.23%
BCAP 2011-RR3 3A6 03.1359 11/27/2036 0.22%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.22%
COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 0.22%
GNR 2014-44 IA IO 03.5000 05/20/2028 0.22%
GNR 2016-104 GI IO 04.5000 01/20/2046 0.22%
MSC 2007-HQ11 B 05.5380 02/12/2044 0.22%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.22%
WAMU 2005-AR19 A1C4 01.6161 12/25/2045 0.22%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.21%
FHR 4452 QI IO 04.0000 11/15/2044 0.21%
GNR 2014-119 SA IO 04.3878 08/20/2044 0.21%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.21%
2.20 R ISWP FWD USL3M P 09/20/2027 0.20%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.20%
BALTA 2005-8 21A1 03.4282 10/25/2035 0.20%
CAS 2015-C03 2M2 06.2161 07/25/2025 0.20%
CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 0.20%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.20%
GNR 2013-22 OI IO 05.0000 01/20/2043 0.20%
GNR 2016-H24 JI IO 02.3016 11/20/2066 0.20%
GNR 2017-H09 IO IO 01.7751 04/20/2067 0.20%
PETROLEOS MEXICANOS USD 05.6250 01/23/2046 0.20%
SFR GROUP SA P/P 144A 06.0000 05/15/2022 0.20%
WFRBS 2013-UBS1 E P/P 144A 04.7796 03/15/2046 0.20%
AVAYA INC P/P 144A 07.0000 04/01/2019 0.19%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.19%
GNR 2016-H02 HI IO 01.9413 01/20/2066 0.19%
GNR 2017-H06 BI IO 02.2858 02/20/2067 0.19%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.19%
JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 0.19%
MSBAM 2012-C6 F P/P 144A 04.7750 11/15/2045 0.19%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.19%
PETROLEOS MEXICANOS USD 06.6250 06/15/2035 0.19%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.19%
BSCMS 2006-PW11 B P/P 144A 05.3019 03/11/2039 0.18%
COMM 2013-CCRE9 D P/P 144A 04.2549 07/10/2045 0.18%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.18%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.18%
CWCI 2007-C2 AJFX 05.5680 04/15/2047 0.18%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.18%
FHR 4077 IK IO 05.0000 07/15/2042 0.18%
FNR 2016-102 JI IO 03.5000 02/25/2046 0.18%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.18%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.18%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.18%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.18%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.18%
GNR 2015-95 PI IO 03.5000 07/20/2045 0.18%
GNR 2015-H23 BI IO 01.7299 09/20/2065 0.18%
GNR 2015-H24 AI IO 01.9557 09/20/2065 0.18%
GNR 2016-H03 DI IO 02.0319 12/20/2065 0.18%
GNR 2017-H02 BI IO 02.3120 01/20/2067 0.18%
GSAA 2006-8 2A2 01.3961 05/25/2036 0.18%
JPMCC 2011-C3 F P/P 144A 05.8007 02/15/2046 0.18%
JPMCC 2013-C16 D P/P 144A 05.1404 12/15/2046 0.18%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.18%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.18%
PROVINCIA DE BUENOS P/P REGS 23.9550 05/31/2022 0.18%
ALTA MESA HLDGS P/P 144A 07.8750 12/15/2024 0.17%
CALPINE CORP 05.7500 01/15/2025 0.17%
CASELLA WASTE TLB L+275 03.9594 10/17/2023 0.17%
CIT GROUP INC. 05.0000 08/15/2022 0.17%
FHR 3065 DC 16.3833 03/15/2035 0.17%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.17%
LBCMT 1998-C4 J P/P 144A 05.6000 10/15/2035 0.17%
LNSTR 2015-3 C P/P 144A 03.3453 04/20/2048 0.17%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.17%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.17%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.17%
TENET HEALTHCARE 06.2500 11/01/2018 0.17%
TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 0.17%
CAESARS GROWTH PROP TL L+300 04.2261 05/08/2021 0.16%
CFCRE 2011-C2 E P/P 144A 05.9452 12/15/2047 0.16%
CONTINENTAL RESOURCES 03.8000 06/01/2024 0.16%
CWCI 2007-C3 AJ 06.0607 05/15/2046 0.16%
FNR 2010-140 GS IO 04.7839 07/25/2039 0.16%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.16%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.16%
GNR 2013-H08 CI IO 01.6743 02/20/2063 0.16%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.16%
GNR 2015-H25 EI IO 01.8460 10/20/2065 0.16%
GNR 2016-48 MI IO 03.5000 04/16/2046 0.16%
GNR 2016-H03 AI IO 02.1650 01/20/2066 0.16%
GNR 2016-H16 EI IO 02.3507 06/20/2066 0.16%
MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 0.16%
MTW FOODSERVICE ESCR 09.5000 02/15/2024 0.16%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.16%
UNITYMEDIA HESSEN / NRW REGS 06.2500 01/15/2029 0.16%
VTB BK (VTB EURASIA) P/P 144A 09.5000 12/29/2049 0.16%
BMIR 2015-1A M2 05.5161 07/25/2025 0.15%
CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 0.15%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.15%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.15%
FHR 4530 TI IO 04.0000 11/15/2045 0.15%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.15%
GNR 2015-64 PI IO 03.5000 05/20/2045 0.15%
GNR 2015-69 IK IO 03.5000 03/20/2038 0.15%
GNR 2016-H14 AI IO 02.3970 06/20/2066 0.15%
GNR 2017-H11 DI IO 01.8486 05/20/2067 0.15%
JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 0.15%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.15%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.15%
NAVISTAR INTERNATIONAL CORP 08.2500 11/01/2021 0.15%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.15%
STACR 2016-DNA2 B 11.7161 10/25/2028 0.15%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.15%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.15%
TAYLOR MORRISON COMM P/P 144A 05.2500 04/15/2021 0.15%
UBSBB 2012-C2 F P/P 144A 04.8980 05/10/2063 0.15%
AES CORP/VA 05.5000 04/15/2025 0.14%
CGCMT 2006-C4 C 06.2032 03/15/2049 0.14%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.14%
COMM 2012-CR3 E P/P 144A 04.9266 10/15/2045 0.14%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.14%
FHR 4000 LI IO 04.0000 02/15/2042 0.14%
FHR 4024 PI IO 04.5000 12/15/2041 0.14%
FHR 4122 TI IO 04.5000 10/15/2042 0.14%
GNR 2015-60 PI IO 04.0000 04/20/2045 0.14%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.14%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.14%
GNR 2017-63 PI IO 04.0000 12/20/2043 0.14%
GNR 2017-H11 TI IO 02.1232 04/20/2067 0.14%
GSMS 2013-GC10 D P/P 144A 04.4098 02/10/2046 0.14%
MSC 2008-T29 F P/P 144A 06.5033 01/11/2043 0.14%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.14%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.14%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.14%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.14%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.14%
WPX ENERGY INC 06.0000 01/15/2022 0.14%
ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 0.13%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.13%
BALTA 2004-3 B 04.1411 04/25/2034 0.13%
BLUELINE RENTAL CRP P/P 144A 09.2500 03/15/2024 0.13%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.13%
CONCHO RESOURCES INC 05.5000 04/01/2023 0.13%
CSC HOLDINGS LLC P/P 144A 10.1250 01/15/2023 0.13%
FHR 4678 MS IO 05.1072 04/15/2047 0.13%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.13%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.13%
GNR 2014-H21 BI IO 01.5488 10/20/2064 0.13%
GNR 2016-37 IW IO 04.5000 02/20/2046 0.13%
GNR 2016-H24 CI IO 01.6993 10/20/2066 0.13%
GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 0.13%
INFOR SOFTWARE P/P 144A 07.1250 05/01/2021 0.13%
JPMBB 2014-C18 E P/P 144A 04.4740 02/15/2047 0.13%
MLMT 2008-C1 AJ 06.5421 02/12/2051 0.13%
MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 0.13%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.13%
OMIR 2017-1A B1 P/P 144A 06.9661 04/25/2027 0.13%
OSHKOSH CORP 05.3750 03/01/2022 0.13%
SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 0.13%
STACR 2016-DNA2 M3 05.8661 10/25/2028 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%
TECHEM ENERGY MET P/P 144A 07.8750 10/01/2020 0.13%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.13%
ADS INC P/P 144A 05.6250 11/15/2024 0.12%
BROOKFIELD RESID P/P 144A 06.5000 12/15/2020 0.12%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.12%
CLEAR CHANNEL TLD L+675 07.9761 01/30/2019 0.12%
CWALT 2005-38 A1 02.2316 09/25/2035 0.12%
FNR 2011-98 AI IO 03.5000 11/25/2037 0.12%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.12%
FNR 2017-7 JI IO 04.0000 02/25/2047 0.12%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.12%
GAZPROM (GAZ CAP SA) P/P 144A 09.2500 04/23/2019 0.12%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.12%
GETTY IMAGES TLB L+350 04.7500 10/18/2019 0.12%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.12%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.12%
GNR 2015-H10 BI IO 02.3597 04/20/2065 0.12%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.12%
HCA INC 06.5000 02/15/2020 0.12%
JPMBB 2013-C14 D P/P 144A 04.7206 08/15/2046 0.12%
JPMCC 2007-CB20 B P/P 144A 06.3104 02/12/2051 0.12%
JPMCC 2012-C8 E P/P 144A 04.8071 10/15/2045 0.12%
MATTAMY GROUP CORP P/P 144A 06.5000 11/15/2020 0.12%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.12%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.12%
SEALED AIR CORP P/P 144A 06.8750 07/15/2033 0.12%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.12%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.12%
T-MOBILE USA INC 06.1250 01/15/2022 0.12%
VALEANT PHARMA P/P 144A 05.8750 05/15/2023 0.12%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.12%
WEST CORP P/P 144A 05.3750 07/15/2022 0.12%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.12%
ALTICE FINANCING SA P/P 144A 07.5000 05/15/2026 0.11%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.11%
CAS 2015-C04 2M2 06.7661 04/25/2028 0.11%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.11%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.11%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.11%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.11%
FNR 2006-8 HP 20.1076 03/25/2036 0.11%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.11%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.11%
GNR 2016-H17 KI IO 02.3181 07/20/2066 0.11%
HUB INTL LTD P/P 144A 07.8750 10/01/2021 0.11%
IRON MOUNTAIN INCORPORATED 06.0000 08/15/2023 0.11%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.11%
MASTEC INC 04.8750 03/15/2023 0.11%
ORTHO-CLINICAL INC/S P/P 144A 06.6250 05/15/2022 0.11%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.11%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.11%
SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 0.11%
SFR GROUP SA P/P 144A 07.3750 05/01/2026 0.11%
T-MOBILE USA INC 06.6250 04/01/2023 0.11%
UBS AG JERSEY BRANCH EUR 07.1520 12/29/2049 0.11%
UNITED MEXICAN STATES USD 05.7500 10/12/2110 0.11%
WFCM 2012-LC5 E P/P 144A 04.9343 10/15/2045 0.11%
ZF NA CAPITAL P/P 144A 04.7500 04/29/2025 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 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%
ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 0.10%
ASHTEAD CAPITAL INC P/P 144A 05.6250 10/01/2024 0.10%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.10%
BUILDERS FIRSTSOURCE P/P 144A 10.7500 08/15/2023 0.10%
CEMEX FINANCE LLC P/P 144A 06.0000 04/01/2024 0.10%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.10%
DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 0.10%
DYNEGY INC 07.3750 11/01/2022 0.10%
FHR 4403 CI IO 04.0000 10/15/2044 0.10%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.10%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.10%
GNR 2015-187 KI IO 05.0000 06/20/2043 0.10%
GNR 2016-H14 IO IO 01.6717 06/20/2066 0.10%
HCA INC 05.5000 06/15/2047 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%
KRATON POLYMERS P/P 144A 10.5000 04/15/2023 0.10%
MERCER INTL INC USD 07.7500 12/01/2022 0.10%
MSC 2006-HQ8 D 05.6280 03/12/2044 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%
RANGE RESOURCES CORP P/P 144A 05.7500 06/01/2021 0.10%
REP OF COSTA RICA P/P 144A 07.0000 04/04/2044 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 0.10%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.10%
SFR GROUP SA P/P 144A 06.2500 05/15/2024 0.10%
SOLERA LLC / SOLERA P/P 144A 10.5000 03/01/2024 0.10%
SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 0.10%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.10%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.10%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.10%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.10%
0.75 R ISWP FWD GBL6M P 09/20/2022 0.09%
AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 0.09%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.09%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 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%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.09%
COMM 2006-C8 AJ 05.3770 12/10/2046 0.09%
CWALT 2007-OH1 A1D 01.4261 04/25/2047 0.09%
DIAMONDBACK ENER P/P 144A 05.3750 05/31/2025 0.09%
DIGICEL GROUP LTD P/P 144A 08.2500 09/30/2020 0.09%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.09%
FHR 4546 TI IO 04.0000 12/15/2045 0.09%
FIRST DATA CORP P/P 144A 05.7500 01/15/2024 0.09%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.09%
FLEX ACQ CO INC P/P 144A 06.8750 01/15/2025 0.09%
FNR 2010-35 SG IO 05.1839 04/25/2040 0.09%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.09%
GLP CAP LP / FIN II 04.8750 11/01/2020 0.09%
GMAC CAPITAL TRUST I PCT 06.9667 0.09%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.09%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.09%
GNR 2014-122 IC IO 05.0000 08/20/2044 0.09%
GNR 2015-H08 CI IO 01.7903 03/20/2065 0.09%
GNR 2015-H26 CI IO 00.5541 08/20/2065 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%
KLX INC P/P 144A 05.8750 12/01/2022 0.09%
MGM RESORTS INTL 06.6250 12/15/2021 0.09%
MHL 2005-3 M2 02.0111 08/25/2035 0.09%
MICRON TECH INC 05.8750 02/15/2022 0.09%
PROVINCIA DE BUENOS P/P 144A 06.5000 02/15/2023 0.09%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.09%
SPRINT CORP 07.2500 09/15/2021 0.09%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 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%
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%
ALLEGHENY TECHNOLOGIES INC 09.3750 06/01/2019 0.08%
AVAYA TLB7 L+525 06.4165 05/29/2020 0.08%
BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 0.08%
CENTENE CORP 06.1250 02/15/2024 0.08%
CHEMOURS CO 06.6250 05/15/2023 0.08%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.08%
CSC HOLDINGS LLC 06.7500 11/15/2021 0.08%
ENDEAVOR ENERGY P/P 144A 08.1250 09/15/2023 0.08%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.08%
EVEREST ACQ LLC/FIN 09.3750 05/01/2020 0.08%
FHR 4462 IO IO 04.0000 04/15/2045 0.08%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.08%
FNR 2005-122 SE 18.8436 11/25/2035 0.08%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.08%
FRONTIER COMM 10.5000 09/15/2022 0.08%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.08%
GNR 2013-129 SN IO 04.9378 09/20/2043 0.08%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.08%
GNR 2013-6 IC IO 05.0000 01/20/2043 0.08%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.08%
GREAT LAKES D&D P/P 144A 08.0000 05/15/2022 0.08%
HALYARD HEALTH INC 06.2500 10/15/2022 0.08%
INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 0.08%
INTELSAT JACKSON HLD P/P 144A 09.7500 07/15/2025 0.08%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.08%
JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 0.08%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.08%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.08%
PULTEGROUP INC 05.5000 03/01/2026 0.08%
REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 0.08%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.08%
REVLON CONSUMER PRODS 05.7500 02/15/2021 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%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.08%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.08%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.08%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.08%
TENET HEALTHCARE 06.0000 10/01/2020 0.08%
UKRAINE GOVERNMENT P/P 144A 07.7500 09/01/2027 0.08%
VALEANT PHARMA P/P 144A 06.1250 04/15/2025 0.08%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.08%
WINDSTREAM SERVICES LLC 06.3750 08/01/2023 0.08%
WPX ENERGY INC 07.5000 08/01/2020 0.08%
1.90 R ISWP FWD USL3M P 09/20/2022 0.07%
2.15 R ISWP FWD USL3M P 06/27/2027 0.07%
ACADEMY SPORTS TLB L+400 05.1964 07/02/2022 0.07%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.07%
AMC ENTERTAINMENT HOLDIN 05.7500 06/15/2025 0.07%
ANTERO RESOURCES 05.3750 11/01/2021 0.07%
ASURION LLC 2NDL L+750 08.7261 03/03/2021 0.07%
BACM 2007-3 AJ 05.6762 06/10/2049 0.07%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.07%
CAESARS GROW PROP HLD/FI 09.3750 05/01/2022 0.07%
CAS 2016-C04 1B 11.4661 01/25/2029 0.07%
CENTENE CORP 04.7500 05/15/2022 0.07%
CENTURYLINK INC 06.7500 12/01/2023 0.07%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.07%
DEAN FOODS CO P/P 144A 06.5000 03/15/2023 0.07%
FHR 3072 SM 04.2533 11/15/2035 0.07%
FHR 4105 HI IO 03.5000 07/15/2041 0.07%
FHS 304 C37 IO 03.5000 12/15/2027 0.07%
FNR 2007-53 SP 19.7409 06/25/2037 0.07%
FNR 2008-24 SP 18.8243 02/25/2038 0.07%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.07%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.07%
GNR 2013-183 JI IO 04.5000 02/16/2043 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%
HELLENIC REPUBLIC REGS 03.0000 02/24/2024 0.07%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.07%
HILTON WORLDWIDE FIN P/P 144A 04.8750 04/01/2027 0.07%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.07%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.07%
MOOG INC P/P 144A 05.2500 12/01/2022 0.07%
NAVISTAR TLB L+400 05.2300 08/07/2020 0.07%
NORBORD INC P/P 144A 06.2500 04/15/2023 0.07%
NRG ENERGY INC 06.6250 01/15/2027 0.07%
PARK-OHIO IND INC P/P 144A 06.6250 04/15/2027 0.07%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.07%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.07%
REVLON CONS TLB L+350 04.7261 09/07/2023 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%
SEVEN GENS ENER P/P 144A 08.2500 05/15/2020 0.07%
STEEL DYNAMICS INC 06.3750 08/15/2022 0.07%
T-MOBILE USA INC 06.3750 03/01/2025 0.07%
TENET HEALTHCARE COR 04.7456 06/15/2020 0.07%
TRANSDIGM INC 06.5000 07/15/2024 0.07%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.07%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.07%
VALEANT PHARMA P/P 144A 07.0000 03/15/2024 0.07%
WIND ACQ FIN SA P/P 144A 04.0000 07/15/2020 0.07%
1011778 BC / NEW RED P/P 144A 06.0000 04/01/2022 0.06%
A SCHULMAN INC 06.8750 06/01/2023 0.06%
AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 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%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.06%
BCAP 2012-RR5 4A8 01.1936 06/26/2035 0.06%
BOYD GAMING CORPORATION 06.8750 05/15/2023 0.06%
CAS 2015-C02 2M2 05.2161 05/25/2025 0.06%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.06%
CIRSA FUNDING LUXEMBOURG REGS 05.8750 05/15/2023 0.06%
CIT GROUP INC 05.0000 08/01/2023 0.06%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.06%
CONSTELLIUM NV REGS 07.0000 01/15/2023 0.06%
CREDIT ACCEPTANC 06.1250 02/15/2021 0.06%
DISH DBS CORP 05.8750 11/15/2024 0.06%
DRESDNER FDG TRST I P/P 144A 08.1510 06/30/2031 0.06%
DYNEGY INC 07.6250 11/01/2024 0.06%
ENDO FIN LLC/ENDO FI P/P 144A 05.3750 01/15/2023 0.06%
FHR 4000 PI IO 04.5000 01/15/2042 0.06%
FHR 4210 PI IO 03.0000 12/15/2041 0.06%
FNR 2005-83 QP 14.2321 11/25/2034 0.06%
GNR 2010-158 IP IO 04.5000 06/20/2039 0.06%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.06%
JPMCC 2006-LDP8 B 05.5200 05/15/2045 0.06%
JPMCC 2011-C3 E P/P 144A 05.8007 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%
KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 0.06%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.06%
LIONS GATE ENT P/P 144A 05.8750 11/01/2024 0.06%
LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 0.06%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.06%
MATALAN FINANCE PLC REGS 06.8750 06/01/2019 0.06%
NEIMAN MARCUS TL L+325 04.4744 10/25/2020 0.06%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.06%
NOVA CHEMICALS CORP P/P 144A 05.2500 06/01/2027 0.06%
NOVAFIVES REGS 04.5000 06/30/2021 0.06%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.06%
OPTN FN30 3.0 08/01/17 CALL 100.421875 JPMC 0.06%
PATHEON HLDG I BV P/P 144A 07.5000 02/01/2022 0.06%
PATHEON TLB L+325 04.5044 04/20/2024 0.06%
PIZZAEXPRESS FINANCING 2 REGS 06.6250 08/01/2021 0.06%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.06%
SWPTN 1MX10Y P 1.0625 GBP 07/14/2017 BC 0.06%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.06%
TMS INTL CORP P/P 144A 07.6250 10/15/2021 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%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.06%
WERNER FINCO LP/INC P/P 144A 08.7500 07/15/2025 0.06%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.05%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.05%
ARCELORMITTAL USD 06.1250 06/01/2025 0.05%
AVAYA INC TLB6 L+550 06.6665 03/31/2018 0.05%
BERRY PLASTICS CORP 05.5000 05/15/2022 0.05%
BLUE CUBE SPINCO INC 09.7500 10/15/2023 0.05%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.05%
CAS 2016-C06 1M2 05.4661 04/25/2029 0.05%
CEC ENT INC 08.0000 02/15/2022 0.05%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.05%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.05%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.05%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.05%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.05%
CONCHO RESOURCES INC 04.3750 01/15/2025 0.05%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.05%
DYNEGY INC. 06.7500 11/01/2019 0.05%
FHR 3249 PS 18.4507 12/15/2036 0.05%
FIRST DATA TL L+250 03.7161 04/26/2024 0.05%
FNR 2012-127 BI IO 04.5000 11/25/2042 0.05%
GENON ENERGY INC. 09.8750 10/15/2020 0.05%
GNR 2013-99 VS IO 04.9283 07/16/2043 0.05%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.05%
HIGH RIDGE BRANDS CO P/P 144A 08.8750 03/15/2025 0.05%
JPMBB 2013-C12 E P/P 144A 04.2223 07/15/2045 0.05%
KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 0.05%
LAMAR MEDIA CORP 05.3750 01/15/2024 0.05%
LAREDO PETROLEUM INC 05.6250 01/15/2022 0.05%
LOUISIANA-PACIFIC CORP 04.8750 09/15/2024 0.05%
MEG ENERGY TLB L+350 04.6960 12/31/2023 0.05%
MERCER INTL INC P/P 144A 06.5000 02/01/2024 0.05%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.05%
NEW GOLD INC P/P 144A 06.2500 11/15/2022 0.05%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.05%
NRG ENERGY INC 07.8750 05/15/2021 0.05%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.05%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.05%
PRESTIGE BRANDS INC P/P 144A 05.3750 12/15/2021 0.05%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.05%
SEK/USD 09/20/2017 SSBT 0.05%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.05%
SM ENERGY CO 06.5000 11/15/2021 0.05%
SPECTRUM BRANDS INC 05.7500 07/15/2025 0.05%
SUGAR HSP GAMING P/P 144A 05.8750 05/15/2025 0.05%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.05%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.05%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.05%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.05%
SWPTN 5WX10Y P 1.095 GBP 07/17/2017 GS 0.05%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.05%
TEMPO ACQ LLC/FI P/P 144A 06.7500 06/01/2025 0.05%
USG CORP P/P 144A 04.8750 06/01/2027 0.05%
VALEANT PHARMA P/P 144A 05.3750 03/15/2020 0.05%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.05%
YONKERS RACING CORP L+325 04.4800 05/31/2024 0.05%
0.30 R ISWP FWD SES3M P 09/20/2022 0.04%
AES CORP/VA 04.8750 05/15/2023 0.04%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.04%
AMC ENTERTAINMENT HOLDIN 05.8750 02/15/2022 0.04%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.04%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.04%
BRAND ENERGY & I P/P 144A 08.5000 07/15/2025 0.04%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.04%
CALATLANTIC GROUP INC 05.8750 11/15/2024 0.04%
CAS 2015-C02 1M2 05.2161 05/25/2025 0.04%
CBRE SERVICES INC 05.2500 03/15/2025 0.04%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.04%
CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 0.04%
CLEAR CHNL WORLD 07.6250 03/15/2020 0.04%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 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%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.04%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.04%
EW SCRIPPS CO P/P 144A 05.1250 05/15/2025 0.04%
FIRST QUANTUM P/P 144A 07.0000 02/15/2021 0.04%
FNR 2006-62 PS 32.6033 07/25/2036 0.04%
FNR 2012-96 PI IO 04.0000 07/25/2041 0.04%
FNS 378 19 IO 05.0000 06/25/2035 0.04%
FREEPORT-MCMORAN INC 06.7500 02/01/2022 0.04%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.04%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.04%
HCA INC. 07.5000 02/15/2022 0.04%
ICAHN ENTER/FIN 06.7500 02/01/2024 0.04%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.04%
INTELSAT LUXEMB USD 08.1250 06/01/2023 0.04%
KRONOS 2NDL L+825 09.4196 11/01/2024 0.04%
LANDRY'S INC P/P 144A 06.7500 10/15/2024 0.04%
LENNAR CORP 04.7500 11/15/2022 0.04%
NEWFIELD EXPLORATION CO 05.3750 01/01/2026 0.04%
NEWFIELD EXPLORATION CO 05.7500 01/30/2022 0.04%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 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%
ORTHO-CLINICAL TLB L+375 05.0464 06/30/2021 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%
POMEGRANATE MERGER S P/P 144A 09.7500 05/01/2023 0.04%
REVLON CONSUMER PROD 06.2500 08/01/2024 0.04%
SEMGROUP CORP P/P 144A 06.3750 03/15/2025 0.04%
SHELF DRILL HOLD LTD P/P 144A 09.5000 11/02/2020 0.04%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.04%
SM ENERGY CO 06.1250 11/15/2022 0.04%
STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 0.04%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.04%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.04%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.04%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.04%
TALBOTS INC 1STL L+450 05.7261 03/19/2020 0.04%
TARGA RES PRTNRS P/P 144A 05.3750 02/01/2027 0.04%
TAYLOR MORRISON P/P 144A 05.6250 03/01/2024 0.04%
THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 0.04%
USG CORP P/P 144A 05.5000 03/01/2025 0.04%
VALEANT PHARMA TLBF1 L+475 05.9800 04/01/2022 0.04%
VENATOR FIN SARL/VEN P/P 144A 05.7500 07/15/2025 0.04%
WIDEOPENWEST FIN 10.2500 07/15/2019 0.04%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.04%
1.505 R ISWP CDOR03 P 06/23/2022 0.03%
AIR METHODS TLB L+350 04.7964 04/13/2024 0.03%
ALLIANCE RES OP/FINA P/P 144A 07.5000 05/01/2025 0.03%
ARCELORMITTAL USD 07.5000 10/15/2039 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%
BERRY PLASTICS ESCRO 06.0000 10/15/2022 0.03%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.03%
BWAY CORP TLB L+325 04.4739 04/03/2024 0.03%
CALIFORNIA RESOURCES 05.0000 01/15/2020 0.03%
CALPINE CORP P/P 144A 06.0000 01/15/2022 0.03%
CCC INFO 2NDL L+675 07.9761 03/30/2025 0.03%
CENTURYLINK INC 05.6250 04/01/2020 0.03%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.03%
CHEMOURS CO 05.3750 05/15/2027 0.03%
CHEMOURS CO 07.0000 05/15/2025 0.03%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 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 GS 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
CONTINENTAL RES 04.5000 04/15/2023 0.03%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.03%
DFC FINANCE CORP P/P 144A 10.5000 06/15/2020 0.03%
EP ENER/EVEREST ACQ P/P 144A 08.0000 02/15/2025 0.03%
FHR 3408 EK 21.1299 04/15/2037 0.03%
FRONTIER COMM 11.0000 09/15/2025 0.03%
GATES GLOBAL TLB L+325 04.5464 03/31/2024 0.03%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.03%
GMACC 2004-C3 B 04.9650 12/10/2041 0.03%
GNR 2014-108 IP IO 04.5000 12/20/2042 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%
HUDBAY MINERALS INC P/P 144A 07.6250 01/15/2025 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%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.03%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.03%
LIVE NATION ENT P/P 144A 04.8750 11/01/2024 0.03%
MASONITE INTL C P/P 144A 05.6250 03/15/2023 0.03%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.03%
MURRAY ENERGY CORP P/P 144A 11.2500 04/15/2021 0.03%
NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 0.03%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.03%
NOVA CHEMICALS CORP P/P 144A 04.8750 06/01/2024 0.03%
NZD/USD 07/19/2017 HSBCB 0.03%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.03%
REGENCY ENERGY P 04.5000 11/01/2023 0.03%
ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 0.03%
SANDRIDGE ENERGY INC 0.03%
SM ENERGY CO 05.0000 01/15/2024 0.03%
SPRINGLEAF FINANCE CORP 08.2500 12/15/2020 0.03%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.03%
STEEL DYNAMICS INC 05.5000 10/01/2024 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.03%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.03%
SWPTN 3MX2Y P 0.5715 GBP 08/17/2017 RB 0.03%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.03%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.03%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.03%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.03%
T-MOBILE USA INC 05.3750 04/15/2027 0.03%
TECK RESOURCES LIMITED USD 04.7500 01/15/2022 0.03%
TESORO LOGISTICS LP/CORP 05.2500 01/15/2025 0.03%
US CONCRETE INC 06.3750 06/01/2024 0.03%
US CONCRETE INC P/P 144A 06.3750 06/01/2024 0.03%
VALEANT PHARMACEUTIC P/P 144A 05.5000 03/01/2023 0.03%
VERTIV TLB L+400 05.2261 11/30/2023 0.03%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.03%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.03%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.03%
-0.30 R ISWP FWD CHL6M P 09/20/2022 0.02%
2.18 R ISWP FWD USL3M P 07/13/2027 0.02%
2.65 R ISWP BUBOR06M P 02/28/2027 0.02%
ADT CORP 04.1250 06/15/2023 0.02%
AMC ENT HOLDIN 05.8750 11/15/2026 0.02%
AMC ENT HOLDIN 06.1250 05/15/2027 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
BACM 2006-4 AJ 05.6950 07/10/2046 0.02%
BON-TON DEPT STORES 08.0000 06/15/2021 0.02%
CAD/USD 07/19/2017 UBS 0.02%
CAD/USD 07/19/2017 WPAC 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CAPITAL AUTO 2NDL L+600 07.2200 03/24/2025 0.02%
CBS RADIO INC P/P 144A 07.2500 11/01/2024 0.02%
CCM MERGER INC P/P 144A 06.0000 03/15/2022 0.02%
CCO HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 0.02%
CCO HLDGS LLC/CAP CORP 05.2500 09/30/2022 0.02%
CENTENE CORP 04.7500 01/15/2025 0.02%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 06/15/2027 0.02%
CHS/COMMUNITY HEALTH SYS 07.1250 07/15/2020 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 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%
CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 0.02%
CPG INTL TL L+375 05.0464 05/03/2024 0.02%
DIAMONDBACK ENER P/P 144A 04.7500 11/01/2024 0.02%
EAGLE HLDG CO II LLC P/P 144A 07.6250 05/15/2022 0.02%
ELDORADO RESORTS INC P/P 144A 06.0000 04/01/2025 0.02%
EP ENER/EVEREST P/P 144A 08.0000 11/29/2024 0.02%
EUR/USD 09/20/2017 HSBCB 0.02%
EVOLUTION ESCROW P/P 144A 07.5000 03/15/2022 0.02%
FNS 374 6 IO 05.5000 08/25/2036 0.02%
FTS INTL INC 06.2500 05/01/2022 0.02%
GNR 2010-168 PI IO 04.5000 11/20/2039 0.02%
GNR 2011-41 BI IO 05.0000 05/20/2040 0.02%
GNR 2013-130 IB IO 05.0000 12/20/2040 0.02%
GRINDING MEDIA/M P/P 144A 07.3750 12/15/2023 0.02%
HALCON RESOURCES CORP 0.02%
ISTAR INC 06.0000 04/01/2022 0.02%
JACOBS ENT INC P/P 144A 07.8750 02/01/2024 0.02%
JC PENNEY CORP INC 07.4000 04/01/2037 0.02%
JPMCC 2007-CB20 AJ 06.2104 02/12/2051 0.02%
JPY/USD 08/16/2017 UBS 0.02%
KRONOS TLB L+350 04.6804 11/01/2023 0.02%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 0.02%
LAREDO PETROLEUM INC 07.3750 05/01/2022 0.02%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.02%
MGM RESORTS INTL 05.2500 03/31/2020 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%
NZD/USD 07/19/2017 BCAP-FX 0.02%
PARSLEY ENERGY P/P 144A 05.3750 01/15/2025 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
PETSMART INC P/P 144A 07.1250 03/15/2023 0.02%
PETSMART INC TLB L+300 04.2460 03/11/2022 0.02%
PRECISION DRILLING C P/P 144A 07.7500 12/15/2023 0.02%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.02%
REGAL ENTERTAINMENT GRP 05.7500 02/01/2025 0.02%
SCIENTIFIC GAMES INTERNA 06.2500 09/01/2020 0.02%
SEALED AIR CORP P/P 144A 05.5000 09/15/2025 0.02%
SEK/USD 09/20/2017 JPMCB 0.02%
SPRINGLEAF FINANCE CORP 05.2500 12/15/2019 0.02%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.02%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.02%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.02%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.02%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.02%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.02%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.02%
SWPTN 3MX2Y P 0.561 GBP 08/18/2017 RB 0.02%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.02%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.02%
T-MOBILE USA INC. 04.0000 04/15/2022 0.02%
TALBOTS INC 2NDL L+850 09.7261 03/19/2021 0.02%
TARGA RES PRTNRS P/P 144A 05.1250 02/01/2025 0.02%
TECK RESOURCES LIMITED USD 03.7500 02/01/2023 0.02%
TENET HEALTHCARE 04.7500 06/01/2020 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.02%
TRANSDIGM INC 06.5000 05/15/2025 0.02%
USD/JPY PUT 107.00 20171106 BANKAM 0.02%
VALEANT PHARMA P/P 144A 06.5000 03/15/2022 0.02%
WEATHERFORD BERMUDA P/P 144A 09.8750 02/15/2024 0.02%
WPX ENERGY INC 08.2500 08/01/2023 0.02%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.01%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.01%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.01%
1.15 R ISWP FWD GBL6M P 09/20/2027 0.01%
2.1965 R ISWP USL3M P 06/30/2027 0.01%
2.60 R ISWP BUBOR06M P 03/01/2027 0.01%
2.905 R ISWP BUBOR06M P 03/20/2027 0.01%
7.73 R ISWP MXIBTIIE P 04/22/2032 0.01%
7.785 R ISWP JIBA3M P 03/24/2027 0.01%
ALPINE FIN MERGER P/P 144A 06.8750 08/01/2025 0.01%
AUD/USD 07/19/2017 BANKAM 0.01%
AUD/USD 07/19/2017 RBSF 0.01%
BACM 2007-5 XW IO P/P 144A 00.2541 02/10/2051 0.01%
BAYTEX ENERGY CORP P/P 144A 05.1250 06/01/2021 0.01%
BSABS 2004-FR3 M6 06.0911 09/25/2034 0.01%
CAD/USD 07/19/2017 CITI 0.01%
CAD/USD 07/19/2017 CSI-FX 0.01%
CAD/USD 07/19/2017 GSFX 0.01%
CAD/USD 07/19/2017 HSBCB 0.01%
CAD/USD 07/19/2017 JPMCB 0.01%
CAD/USD 07/19/2017 SSBT 0.01%
CALATLANTIC GROUP INC. 06.2500 12/15/2021 0.01%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.01%
CHF/USD 09/20/2017 BCAP-FX 0.01%
CHF/USD 09/20/2017 GSFX 0.01%
CHS/COMMUNITY HEALTH 08.0000 11/15/2019 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 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 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%
CONCORDIA INTL P/P 144A 09.0000 04/01/2022 0.01%
CONTINENTAL RESOURCES 04.9000 06/01/2044 0.01%
CPTFEMU R 0.27 P 08/31/17 GS 0.01%
CPTFEMU R 0.37 P 09/01/17 GS 0.01%
CSMC 2006-C5 AX IO 00.8667 12/15/2039 0.01%
DENBURY RESOURCES INC 06.3750 08/15/2021 0.01%
EUR/USD 09/20/2017 CSI-FX 0.01%
EUR/USD 09/20/2017 RBSF 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FNGT 2000-T6 IO IO 00.7112 11/25/2040 0.01%
FRONTIER COMMUNICATIONS 07.6250 04/15/2024 0.01%
FSPC T-57 1AX IO 00.3706 07/25/2043 0.01%
FTS INTL INC P/P 144A 08.7456 06/15/2020 0.01%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.01%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
INTELSAT JACKSON HLDG USD 07.5000 04/01/2021 0.01%
INTELSAT LUXEMB USD 07.7500 06/01/2021 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01%
JC PENNEY CORP INC 05.6500 06/01/2020 0.01%
JPY/USD 08/16/2017 CITI 0.01%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.01%
MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 0.01%
MOLINA HEALTHCARE IN P/P 144A 04.8750 06/15/2025 0.01%
NINE POINT ENERGY CNV PRF 0.01%
NOK/USD 09/20/2017 CITI 0.01%
NOVELIS CORP P/P 144A 05.8750 09/30/2026 0.01%
OPTN FN30 2.5 08/07/17 CALL 96.53125 JPMC 0.01%
PACTIV LLC 08.3750 04/15/2027 0.01%
PLATFORM SPECIALTY P P/P 144A 10.3750 05/01/2021 0.01%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.01%
SEK/USD 09/20/2017 BANKAM 0.01%
SEK/USD 09/20/2017 GSFX 0.01%
SEK/USD 09/20/2017 RBSF 0.01%
SEK/USD 09/20/2017 UBS 0.01%
SM ENERGY CO 06.5000 01/01/2023 0.01%
SOLENIS 2NDL L+675 07.9518 07/31/2022 0.01%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.01%
STEEL DYNAMICS INC 05.2500 04/15/2023 0.01%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX2Y P -0.108 EUR 08/02/2017 GS 0.01%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.01%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.01%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.01%
SWPTN 6MX1Y P 0.51 GBP 09/18/2017 BC 0.01%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.01%
TENNANT CO P/P 144A 05.6250 05/01/2025 0.01%
TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
TXU TCEH RIGHTS 0.01%
USD/CNH PUT 6.70 20171006 GSFX 0.01%
USD/CNH PUT 6.70 20171013 BANKAM 0.01%
WEATHERFORD BERMUDA 08.2500 06/15/2023 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%
0.69 R ISWP BUBOR06M P 03/01/2019 0.00%
0.745 R ISWP BUBOR06M P 03/20/2019 0.00%
1.45 R ISWP FWD NOKOIB6M P 09/20/2022 0.00%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
2.75 R ISWP FWD NFIX3MID P 09/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 06/28/2027 0.00%
3.0475 R ISWP FWD NFIX3MID P 03/29/2020 0.00%
7.11 R ISWP JIBA3M P 03/24/2019 0.00%
7.305 R ISWP JIBA3M P 03/09/2019 0.00%
7.67 R ISWP MXIBTIIE P 03/12/2032 0.00%
8.32625 R ISWP JIBA3M P 10/11/2026 0.00%
AUD/USD 07/19/2017 BCAP-FX 0.00%
AUD/USD 07/19/2017 CSI-FX 0.00%
AUD/USD 07/19/2017 GSFX 0.00%
AUD/USD 07/19/2017 JPMCB 0.00%
AUD/USD 07/19/2017 SSBT 0.00%
AUD/USD 07/19/2017 WPAC 0.00%
CAD/USD 07/19/2017 BANKAM 0.00%
CAD/USD 07/19/2017 RBSF 0.00%
CD 2007-CD5 XS IO 144A 00.1346 11/15/2044 0.00%
CHC GROUP LLC P/P 0.00%
CHF/USD 09/20/2017 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 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 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 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 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPTFEMU R 0.435 P 09/15/17 BC 0.00%
CPTFEMU R 0.46 P 09/15/17 BC 0.00%
CPTFEMU R 0.4975 P 09/15/17 BC 0.00%
CPTFEMU R 0.63 P 08/10/17 GS 0.00%
CPTFEMU R 0.63 P 08/11/17 GS 0.00%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
ESC SEVENTYSEVENERG 06.5000 07/15/2022 0.00%
EUR/USD 09/20/2017 BANKAM 0.00%
EUR/USD 09/20/2017 BCAP-FX 0.00%
EUR/USD 09/20/2017 CITI 0.00%
EUR/USD 09/20/2017 JPMCB 0.00%
EUR/USD 09/20/2017 SSBT 0.00%
EUR/USD 09/20/2017 UBS 0.00%
EUR/USD 09/20/2017 WPAC 0.00%
EURO-OAT FUTURE SEP17 OATU7 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 09/20/2017 BCAP-FX 0.00%
GBP/USD 09/20/2017 CITI 0.00%
GBP/USD 09/20/2017 GSFX 0.00%
GBP/USD 09/20/2017 HSBCB 0.00%
GBP/USD 09/20/2017 JPMCB 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2010-98 PI IO 04.5000 10/20/2037 0.00%
GSMS 2005-GG4 XC IO P/P 144A 01.3775 07/10/2039 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
INR/USD 08/16/2017 BANKAM 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 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 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 P USL1M R 01/12/41 JP 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%
ISTAR INC. 05.0000 07/01/2019 0.00%
JPMCC 07-CB20 X1 IO P/P 144A 00.1513 02/12/2051 0.00%
JPY/USD 08/16/2017 BANKAM 0.00%
JPY/USD 08/16/2017 BCAP-FX 0.00%
JPY/USD 08/16/2017 CSI-FX 0.00%
JPY/USD 08/16/2017 GSFX 0.00%
JPY/USD 08/16/2017 JPMCB 0.00%
JPY/USD 08/16/2017 RBSF 0.00%
JPY/USD 08/16/2017 SSBT 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 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%
MEZZ 2007-C5 X IO P/P 144A 05.5038 12/15/2049 0.00%
MILAGRO OIL & GAS 0.00%
MXN/USD 07/19/2017 BANKAM 0.00%
MXN/USD 07/19/2017 CITI 0.00%
NINE POINT ENERGY COM 0.00%
NOK/USD 09/20/2017 CSI-FX 0.00%
NOK/USD 09/20/2017 SSBT 0.00%
NOK/USD 09/20/2017 UBS 0.00%
NZD/USD 07/19/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 GSFX 0.00%
NZD/USD 07/19/2017 JPMCB 0.00%
PRECISION DRILL USD 05.2500 11/15/2024 0.00%
SEK/USD 09/20/2017 BCAP-FX 0.00%
SGD/USD 08/16/2017 HSBCB 0.00%
STRIP 2003-1A N P/P 144A 02.0971 03/24/2018 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 3MX10Y R 1.005 GBP 08/18/2017 RB 0.00%
SWPTN 3MX10Y R 1.0436 GBP 08/17/2017 RB 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS 0.00%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS 0.00%
SWPTN 3MX2Y R -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y R 0.561 GBP 08/18/2017 RB 0.00%
SWPTN 3MX2Y R 0.5715 GBP 08/17/2017 RB 0.00%
SWPTN 3MX5Y R 0.15875 EUR 08/02/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX1Y P 1.736 USD 09/18/2017 BC 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
TERVITA CORP CLASS A 0.00%
TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 0.00%
TRY/USD 09/20/2017 RBSF 0.00%
TRY/USD 09/20/2017 UBS 0.00%
TWD/USD 08/16/2017 CITI 0.00%
USD/CNH PUT 6.60 20171006 GSFX 0.00%
USD/CNH PUT 6.60 20171013 BANKAM 0.00%
WBCMT 2007-C34 IO IO 00.4614 05/15/2046 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.15 R ISWP FWD CHL6M P 09/20/2027 -0.01%
0.715 R ISWP BUBOR06M P 02/28/2019 -0.01%
1.10 R ISWP FWD SES3M P 09/20/2027 -0.01%
1.8165 R ISWP USL3M P 06/27/2022 -0.01%
1.90 R ISWP FWD NOKOIB6M P 09/20/2027 -0.01%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.01%
1.95 R ISWP FWD CDOR03 P 09/20/2027 -0.01%
1.95 R ISWP FWD USL3M P 09/20/2022 -0.01%
8.12 R ISWP MXIBTIIE P 12/24/2026 -0.01%
BRL/USD 10/03/2017 CITI -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 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 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 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%
EUR/USD 09/20/2017 GSFX -0.01%
GBP/USD 09/20/2017 SSBT -0.01%
GBP/USD 09/20/2017 UBS -0.01%
INR/USD 08/16/2017 GSFX -0.01%
IOS.FN30.400.10 P USL1M R 01/12/41 GS -0.01%
MXN/USD 07/19/2017 JPMCB -0.01%
NOK/USD 09/20/2017 BANKAM -0.01%
NOK/USD 09/20/2017 GSFX -0.01%
NOK/USD 09/20/2017 JPMCB -0.01%
NOK/USD 09/20/2017 RBSF -0.01%
NZD/USD 07/19/2017 BANKAM -0.01%
NZD/USD 07/19/2017 SSBT -0.01%
OPTN FN30 2.5 08/07/17 PUT 96.53125 JPMC -0.01%
SEK/USD 09/20/2017 CITI -0.01%
SEK/USD 09/20/2017 CSI-FX -0.01%
SGD/USD 08/16/2017 BANKAM -0.01%
SGD/USD 08/16/2017 SSBT -0.01%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.01%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.01%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS -0.01%
SWPTN 3MX5Y P 0.36125 EUR 08/02/2017 GS -0.01%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI -0.01%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.01%
USD/JPY PUT 103.00 20171106 BANKAM -0.01%
ZAR/USD 07/19/2017 GSFX -0.01%
1.60 R ISWP FWD CDOR03 P 09/20/2022 -0.02%
2.25 R ISWP FWD USL3M P 09/20/2027 -0.02%
3.25 R ISWP FWD NFIX3MID P 09/20/2027 -0.02%
8.20 R ISWP MXIBTIIE P 01/07/2027 -0.02%
AUD/USD 07/19/2017 CITI -0.02%
AUD/USD 07/19/2017 UBS -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 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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.02%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.02%
NZD/USD 07/19/2017 UBS -0.02%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.02%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.02%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.02%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.02%
SWPTN 3MX10Y P 1.267 GBP 08/18/2017 RB -0.02%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.02%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI -0.02%
SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 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%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.03%
2.60 R ISWP FWD AUDBB6M P 06/28/2022 -0.03%
5.93 R ISWP MXIBTIIE P 10/06/2021 -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%
NZD/USD 07/19/2017 RBSF -0.03%
NZD/USD 07/19/2017 WPAC -0.03%
SWPTN 3MX10Y P 1.3056 GBP 08/17/2017 RB -0.03%
SWPTN 5WX10Y P 1.207 GBP 07/17/2017 GS -0.03%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.03%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -0.03%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -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%
ZAR/USD 07/19/2017 CITI -0.03%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.04%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.04%
2.11504 R ISWP USL3M P 06/26/2027 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.04%
SWPTN 1MX10Y P 1.1625 GBP 07/14/2017 BC -0.04%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.04%
SWPTN 5WX10Y P 1.151 GBP 07/17/2017 GS -0.04%
0.20 R ISWP FWD EURIBOR6MD P 09/20/2022 -0.05%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.05%
NZD/USD 07/19/2017 CITI -0.05%
SWPTN 1MX10Y P 1.1125 GBP 07/14/2017 BC -0.05%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.05%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -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%
2.45 R ISWP FWD USL3M P 09/20/2047 -0.06%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.06%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.06%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -0.08%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.08%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.08%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.08%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -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%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.09%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.09%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.10%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.11%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.12%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.12%
0.80 R ISWP FWD EURIBOR6MD P 09/20/2027 -0.13%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.14%
FLR USL3M 6.00 03/07/2018 JP -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%
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 CS -0.21%
OPTN FN30 3.0 08/07/17 PUT 100.421875 JPMC -0.22%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.30%
CDX CDX.NA.HY.28 500.0 06/20/2022 -0.41%
FNMA FN30 TBA 03.0000 07/01/2047 -12.27%

Prior top 10 holdings

Top 10 holdings as of 09/30/17
1: Fnma Fn30 Tba 03.5000 11/01/2047 15.15%
2: Fnma Fn30 Tba 02.5000 10/01/2047 2.76%
3: Gnma Gii30 Tba 04.0000 10/01/2047 2.50%
4: Gnma Gii30 Tba 04.5000 10/01/2047 2.02%
5: Fnma Fn30 Tba 05.5000 10/01/2047 1.58%
6: Cas 2015-C03 1m2 06.2372 07/25/2025 0.93%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.93%
8: Cas 2016-C03 2m2 07.1372 10/25/2028 0.85%
9: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.85%
10: Cwalt 2006-Oa10 4a1 01.4272 08/25/2046 0.84%
Holdings represent 28.41% of portfolio
Top 10 holdings as of 08/31/17
1: Fnma Fn30 Tba 03.5000 10/01/2047 8.89%
2: Fnma Fn30 Tba 03.5000 09/01/2047 6.43%
3: Fnma Fn30 Tba 02.5000 09/01/2047 2.81%
4: Fnma Fn30 Tba 04.5000 09/01/2047 2.57%
5: Fnma Fn30 Tba 05.5000 09/01/2047 1.58%
6: Fnma Fn30 Tba 04.0000 09/01/2047 1.51%
7: Gnma Gii30 Tba 04.0000 10/01/2047 1.51%
8: Cwalt 2006-Oa10 4a1 01.4244 08/25/2046 1.02%
9: Cas 2015-C03 1m2 06.2344 07/25/2025 0.95%
10: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.94%
Holdings represent 28.21% of portfolio
Top 10 holdings as of 07/31/17
1: Fnma Fn30 Tba 03.5000 09/01/2047 17.41%
2: Fnma Fn30 Tba 02.5000 09/01/2047 2.73%
3: Fnma Fn30 Tba 04.5000 09/01/2047 2.52%
4: Fnma Fn30 Tba 05.5000 09/01/2047 1.56%
5: Fnma Fn30 Tba 04.0000 09/01/2047 1.48%
6: Cwalt 2006-Oa10 4a1 01.4222 08/25/2046 1.00%
7: Cas 2015-C03 1m2 06.2322 07/25/2025 0.98%
8: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
9: Cas 2016-C03 2m2 07.1322 10/25/2028 0.87%
10: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.83%
Holdings represent 30.29% of portfolio
Top 10 holdings as of 06/30/17
1: Fnma Fn30 Tba 03.5000 08/01/2047 15.99%
2: Fnma Fn30 Tba 03.5000 07/01/2047 6.79%
3: Fnma Fn30 Tba 04.5000 07/01/2047 2.53%
4: Fnma Fn30 Tba 02.5000 07/01/2047 1.82%
5: Fnma Fn30 Tba 05.5000 07/01/2047 1.57%
6: Cwalt 2006-Oa10 4a1 01.4061 08/25/2046 1.02%
7: Cas 2015-C03 1m2 06.2161 07/25/2025 0.99%
8: Fnma Fn30 Tba 04.0000 07/01/2047 0.99%
9: Fnma Fn30 Tba 02.5000 08/01/2047 0.91%
10: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
Holdings represent 33.52% of portfolio

Sector Weightings as of 09/30/17

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Commercial MBS 15.90% 0.62 8.16% 0.33 24.06% 0.95
High-yield corporate bonds 25.69% 0.94 -3.05% -0.13 22.64% 0.81
Agency CMO 19.36% 0.71 0.93% 0.05 20.29% 0.76
Agency pass-through 0.00% 0.00 16.44% 0.97 16.44% 0.97
Residential MBS (non-agency) 11.92% 0.58 0.00% 0.00 11.92% 0.58
Emerging-market bonds 11.27% 0.68 0.00% 0.00 11.27% 0.68
Net cash 9.22% 0.00 0.00% 0.00 9.22% 0.00
International Treasury/agency 2.64% 0.20 0.00% -0.09 2.64% 0.11
Bank loans 1.48% 0.05 0.00% 0.00 1.48% 0.05
Investment-grade corporate bonds 1.28% 0.08 0.00% 0.00 1.28% 0.08
Convertible securities 1.06% 0.07 0.00% 0.00 1.06% 0.07
Equity investments 0.18% 0.00 0.00% 0.00 0.18% 0.00
Interest rate swaps 0.00% 0.00 0.00% -4.71 0.00% -4.71

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 09/30/17

United States 80.22%
Greece 2.64%
Russia 2.52%
Brazil 2.44%
Argentina 2.18%
Canada 1.50%
Mexico 1.28%
Indonesia 1.11%
Luxembourg 1.01%
 
Other
5.10%
United Kingdom 0.78%
France 0.55%
Venezuela 0.44%
Bermuda 0.42%
Ireland 0.32%
Egypt 0.31%
Dominican Republic 0.30%
Germany 0.30%
Cayman Islands 0.29%
Ivory Coast 0.25%
Jamaica 0.19%
Jersey 0.18%
Netherlands 0.16%
Sweden 0.14%
Costa Rica 0.10%
Italy 0.10%
Turkey 0.09%
Ukraine 0.09%
Japan 0.08%
Switzerland 0.07%
European Community 0.03%
Czech Republic 0.01%
South Africa 0.01%
Australia -0.02%
New Zealand -0.03%
Norway -0.06%

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%