Putnam Allstate Advisor Plus

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 10/14/19

with optional enhanced death benefits
Unit Value $19.869713 $19.284495
Unit Value Change 0.029788 0.028674

Lipper ranking ‡ as of 08/31/19

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 54% 8/14
1 yr. 77% 26/33
3 yrs. 8% 2/27
5 yrs. 51% 11/21

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 09/30/19

Fiscal Year End December
Asset Class Putnam Allstate Advisor Plus
Subaccount Status Open to new investors
Number of issues 1390
Turnover (fiscal year end) 790%
Net Assets $206M
Inception Date 09/15/93

Performance

Performance as of 09/30/19

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 1.07% 7.09% 2.77% 4.42% 1.09% 3.66% 3.49%
Standardized -6.93% -0.91% -5.23% 1.92% -0.08% 3.66% 3.49%
With optional enhanced death benefit
Unit Value 1.04% 6.97% 2.62% 4.26% 0.94% 3.50% 3.33%
Standardized -6.96% -1.03% -5.38% 1.75% -0.24% 3.50% 3.33%
Actual performance
Unit Value 1.07% 7.09% 2.77% 4.42% 1.09% 3.66% 3.57%
Standardized -6.93% -0.91% -5.23% 1.92% -0.08% 3.66% 3.57%
With optional enhanced death benefit
Unit Value 1.04% 6.97% 2.62% 4.26% 0.94% 3.50% 3.42%
Standardized -6.96% -1.03% -5.38% 1.75% -0.24% 3.50% 3.42%

Annual Performance at NAV

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
52.87% 10.87% -4.71% 9.74% 6.09% -1.26% -3.90% 3.74% 5.41% -2.57%
With optional enhanced death benefit
52.64% 10.70% -4.86% 9.57% 5.93% -1.41% -4.05% 3.58% 5.26% -2.72%

Restated performance

Monthly as of 09/30/19

Unit Value 0.19%
Standardized -7.81%

YTD as of 10/14/19

Unit Value 7.38%
Standardized -0.62%

With optional enhanced death benefit

Monthly as of 09/30/19

Unit Value 0.18%
Standardized -7.82%

YTD as of 10/14/19

Unit Value 7.25%
Standardized -0.75%

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 08/31/19

Avg. Eff. Maturity 3.97
Avg. Eff. Duration 3.30
Avg. Coupon 5.33
Avg. Yield to Maturity 4.69
Alpha (%) --
Beta --
R Squared --
Standard Deviation (3 yrs.) 3.30

Maturity Details

0 to 1 yr. -10.25%
1 to 5 yrs. 74.74%
5 to 10 yrs. 30.92%
10 to 15 yrs. 2.17%
Over 15 yrs. 2.42%

Quality Ratings

AAA 59.65%
AA 1.36%
A 1.51%
BBB 10.45%
BB 23.63%
B 9.09%
CCC and Below 5.13%
Not Rated -10.82%

Holdings

Top 10 holdings as of 08/31/19

Fnma Fn30 Tba Umbs 03.5000 09/01/2049 13.45%
Fnma Fn30 Tba Umbs 03.0000 09/01/2049 9.39%
Fnma Fn30 Tba Umbs 04.0000 09/01/2049 9.06%
Fnma Fn30 Tba Umbs 02.5000 09/01/2049 3.90%
Gnma Gii30 Tba 04.5000 09/01/2049 3.04%
Fnma Fn30 Tba Umbs 05.5000 09/01/2049 1.57%
Gnma Gii30 Tba 04.0000 09/01/2049 1.52%
United Mexican States Usd 05.5500 01/21/2045 1.07%
Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.94%
Hellenic Republic Regs 03.0000 02/24/2030 0.70%
Top 10 holdings, total: 44.64%

Full Portfolio Holdings as of 09/30/19

90DAY EURO$ FUTR MAR20 EDH0 23.42%
FNMA FN30 TBA UMBS 03.5000 10/01/2049 13.46%
FNMA FN30 TBA UMBS 03.0000 10/01/2049 11.34%
FNMA FN30 TBA UMBS 04.0000 10/01/2049 9.08%
US 2YR NOTE (CBT) DEC19 TUZ9 3.88%
FNMA FN30 TBA UMBS 02.5000 11/01/2049 3.87%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 3.73%
GNMA GII30 TBA 04.5000 10/01/2049 3.05%
FNMA FN30 TBA UMBS 05.5000 10/01/2049 1.58%
GNMA GII30 TBA 04.0000 10/01/2049 1.52%
TREASURY BILL 00.0000 10/10/2019 1.14%
UNITED MEXICAN STATES USD 05.5500 01/21/2045 1.05%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.94%
TREASURY BILL 00.0000 11/07/2019 0.92%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.82%
TREASURY BILL 00.0000 03/12/2020 0.80%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.72%
CAS 2016-C02 1B 14.2684 09/25/2028 0.68%
CWALT 2006-OA10 4A1 02.2084 08/25/2046 0.67%
FNR 2017-32 SA IO 04.1316 05/25/2047 0.66%
US ULTRA BOND CBT DEC19 WNZ9 0.65%
CAS 2015-C03 1M2 07.0184 07/25/2025 0.65%
CAS 2016-C03 2M2 07.9184 10/25/2028 0.63%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.59%
REPUBLIC OF INDONESIA REGS 04.7500 01/08/2026 0.56%
GNR 2016-H23 NI IO 02.2585 10/20/2066 0.53%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.52%
CAS 2015-C04 1M2 07.7184 04/25/2028 0.52%
GNR 2019-96 SY IO 04.0558 08/20/2049 0.52%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.52%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.52%
SWPTN 1YX30Y R 1.288 EUR 02/17/2020 JP 0.52%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.51%
STACR 2016-DNA1 B 12.0184 07/25/2028 0.51%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.49%
SPST 2019-7 A 02.7365 09/24/2020 0.49%
SPST 2019-3 A 02.7365 06/24/2020 0.48%
WFRBS 2013-C15 D P/P 144A 04.6242 08/15/2046 0.48%
WFRBS 2012-C10 D P/P 144A 04.5851 12/15/2045 0.48%
GNR 2019-83 SY IO 04.0558 07/20/2049 0.48%
FEDERATIVE REP OF BRAZIL USD 04.6250 01/13/2028 0.46%
JPMBB 2014-C18 D P/P 144A 04.9728 02/15/2047 0.45%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.45%
CPTFEMU P 1.71 R 07/15/37 0.44%
CCO HOLDINGS LLC P/P 144A 05.3750 06/01/2029 0.41%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.41%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.40%
CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 0.38%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.38%
2.776 R ISWP FWD US0003M P 03/21/2029 0.38%
WFRBS 2012-C7 E P/P 144A 04.9687 06/15/2045 0.37%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.36%
ARGENTINE REPUBLIC USD 07.5000 04/22/2026 0.36%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.35%
CWALT 2006-OA7 1A1 03.0864 06/25/2046 0.35%
CAS 2016-C03 1B 13.7684 10/25/2028 0.35%
CMLTI 2007-AMC3 A2D 02.3684 03/25/2037 0.35%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.34%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.34%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.34%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.34%
3.073 R ISWP FWD US0003M P 03/04/2029 0.34%
GNR 2018-94 AI IO 04.5000 07/20/2048 0.33%
CAS 2018-C05 1B1 06.2684 01/25/2031 0.33%
STACR 2015-DNA3 B 11.3684 04/25/2028 0.33%
FNR 2018-20 SB IO 04.2316 03/25/2048 0.32%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.32%
STACR 2016-HQA2 M3 07.1684 11/25/2028 0.31%
TREASURY BILL 00.0000 12/05/2019 0.31%
GNR 2014-60 SD IO 04.1358 04/20/2044 0.31%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.31%
WAMU 2005-AR17 A1B3 02.3684 12/25/2045 0.31%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.30%
HELLENIC REPUBLIC REGS 03.4500 04/02/2024 0.30%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.30%
WFCM 2013-LC12 D P/P 144A 04.4203 07/15/2046 0.30%
BSCMS 2005-PWR7 B 05.2140 02/11/2041 0.29%
3.312 R ISWP US0003M P 11/08/2048 0.29%
SWPTN BERM 5YX25Y R 2.75 USD 05/26/2048 MS 0.29%
FNR 2019-43 JS IO 04.0316 08/25/2049 0.29%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.28%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.28%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.28%
GSMS 2014-GC24 D P/P 144A 04.6665 09/10/2047 0.28%
FNR 2015-42 LS IO 04.1816 06/25/2045 0.27%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.27%
CPTFEMU P 1.7138 R 08/15/37 0.27%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.26%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.26%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.25%
GNR 2017-H16 JI IO 02.7333 08/20/2067 0.25%
STACR 2015-DNA2 B 09.5684 12/25/2027 0.25%
CAS 2017-C03 1B1 06.8684 10/25/2029 0.24%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.24%
SERVICE CORP INTL 05.3750 05/15/2024 0.24%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.24%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.23%
GNR 2017-H10 MI IO 01.8534 04/20/2067 0.23%
MSBAM 2013-C10 D P/P 144A 04.2179 07/15/2046 0.23%
FNR 2015-30 IO IO 05.5000 05/25/2045 0.23%
CAS 2017-C02 2B1 07.5184 09/25/2029 0.23%
GNR 2018-127 IC IO 05.0000 10/20/2044 0.23%
GNR 2018-H05 BI IO 02.3582 02/20/2068 0.23%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.22%
SPST 2019-11 A 02.7865 10/24/2020 0.22%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.22%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.22%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.22%
FNR 2015-83 IO IO 04.0000 10/25/2043 0.22%
FNR 2018-86 DS IO 04.0816 12/25/2048 0.22%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.22%
GNR 2017-26 MI IO 05.0000 11/20/2039 0.21%
GNR 2016-H09 BI IO 02.1348 04/20/2066 0.21%
GNR 2017-H08 NI IO 02.2255 03/20/2067 0.21%
FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 0.21%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.20%
COMM 2013-CR9 D P/P 144A 04.3969 07/10/2045 0.20%
BCAP 2011-RR3 3A6 04.0903 11/27/2036 0.20%
GNR 2018-H03 XI IO 02.3803 02/20/2068 0.20%
RBIT 2019-1 M5 P/P 144A 06.0000 07/25/2029 0.20%
FNR 2016-96 ST IO 04.0816 12/25/2046 0.20%
RALI 2006-QO10 A1 02.1784 01/25/2037 0.20%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.20%
ARAB REP OF EGYPT P/P 144A 05.5770 02/21/2023 0.19%
MSBAM 2013-C11 D P/P 144A 04.4989 08/15/2046 0.19%
FHR 4425 IO IO 04.0000 01/15/2045 0.19%
CAS 2016-C01 1B 13.7684 08/25/2028 0.19%
JPMCC 2007-CB20 E P/P 144A 06.3895 02/12/2051 0.19%
GNR 2015-H25 AI IO 01.6297 09/20/2065 0.19%
TRANSDIGM INC P/P 144A 06.2500 03/15/2026 0.19%
FNR 2013-90 SD IO 04.5816 09/25/2043 0.19%
JPMCC 2011-C3 F P/P 144A 05.8526 02/15/2046 0.18%
FHR 4742 S IO 04.1725 12/15/2047 0.18%
GNR 2016-H06 DI IO 01.7825 07/20/2065 0.18%
GNR 2016-H24 JI IO 02.1586 11/20/2066 0.18%
GNR 2018-H05 AI IO 02.4156 02/20/2068 0.18%
FHR 4604 QI IO 03.5000 07/15/2046 0.18%
SAMI 2007-AR1 2A1 02.1984 01/25/2037 0.18%
CWALT 2005-59 1A1 02.3743 11/20/2035 0.18%
GNR 2016-H22 AI IO 02.3858 10/20/2066 0.18%
JPMCC 2013-LC11 D 04.3069 04/15/2046 0.18%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.18%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 0.18%
DOMINICAN REPUBLIC REGS 07.4500 04/30/2044 0.18%
SPRINT CORP 07.8750 09/15/2023 0.18%
TENET HEALTHCARE P/P 144A 04.8750 01/01/2026 0.18%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.17%
CWALT 2005-38 A3 02.3684 09/25/2035 0.17%
GNR 2017-H12 QI IO 02.3523 05/20/2067 0.17%
GNR 2016-H06 CI IO 01.6957 02/20/2066 0.17%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.17%
GNR 2017-H09 IO IO 01.8613 04/20/2067 0.17%
GNR 2016-H10 AI IO 01.8733 04/20/2066 0.16%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.16%
GNR 2017-H06 BI IO 02.3547 02/20/2067 0.16%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.16%
CFCRE 2011-C2 E P/P 144A 05.9394 12/15/2047 0.16%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.16%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.16%
CWALT 2006-OA7 1A2 03.3861 06/25/2046 0.16%
JPMBB 2014-C18 E P/P 144A 04.4728 02/15/2047 0.16%
SPRINT CORP TLB L+300 05.0625 02/03/2024 0.16%
GNR 2012-128 IA IO 03.5000 10/20/2042 0.16%
GNR 2017-H16 IB IO 02.1548 08/20/2067 0.16%
BALTA 2005-8 21A1 04.1831 10/25/2035 0.16%
FHR 4452 QI IO 04.0000 11/15/2044 0.16%
GNR 2017-H02 BI IO 02.3414 01/20/2067 0.16%
GNR 2017-H16 IG IO 02.2017 07/20/2067 0.16%
PETROBRAS GLOBAL FIN P/P 144A 05.0930 01/15/2030 0.16%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.16%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.16%
WAMU 2005-AR10 1A3 04.1759 09/25/2035 0.15%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.15%
SWPTN 3MX5Y P 1.3 USD 12/05/2019 CI 0.15%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.15%
CWALT 2006-OA10 3A1 02.2084 08/25/2046 0.15%
SWPTN 5YX30Y R 1.304 EUR 06/05/2024 BA 0.15%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.15%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.15%
CSAIL 2015-C1 D P/P 144A 03.9167 04/15/2050 0.14%
OMIR 2017-1A B1 P/P 144A 07.7684 04/25/2027 0.14%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.14%
GNR 2016-H02 HI IO 01.9929 01/20/2066 0.14%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.14%
GNR 2015-H23 BI IO 01.7561 09/20/2065 0.14%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.14%
GNR 2015-H24 AI IO 01.7741 09/20/2065 0.14%
GNR 2017-H11 DI IO 01.9269 05/20/2067 0.14%
JPMBB 2013-C14 D P/P 144A 04.8586 08/15/2046 0.14%
REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 0.14%
STACR 2019-DNA1 M2 04.6684 01/25/2049 0.14%
AES CORP/THE 05.5000 04/15/2025 0.14%
FNR 2013-107 SB IO 03.9316 02/25/2043 0.14%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.14%
PROVINCIA DE CORDOBA REGS 07.4500 09/01/2024 0.14%
SPST 2019-WL1 A 02.6684 08/25/2052 0.14%
WAMU 2005-AR19 A1C4 02.4184 12/25/2045 0.14%
DOMINICAN REPUBLIC REGS 05.5000 01/27/2025 0.14%
FHR 4580 ID IO 03.5000 08/15/2045 0.14%
IVORY COAST REGS 06.1250 06/15/2033 0.14%
IVORY COAST REGS 05.3750 07/23/2024 0.14%
SWPTN 10YX10Y R 2.795 USD 12/20/2027 JP 0.14%
TTM TECHNOLOGIES INC P/P 144A 05.6250 10/01/2025 0.14%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.14%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.14%
GNR 2014-119 SA IO 03.5558 08/20/2044 0.13%
GNR 2017-H11 TI IO 02.3866 04/20/2067 0.13%
IVORY COAST REGS 05.2500 03/22/2030 0.13%
SWPTN 10YX10Y R 2.7575 USD 12/20/2027 JP 0.13%
GNR 2016-H16 EI IO 02.3966 06/20/2066 0.13%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.13%
CWALT 2005-38 A1 03.9461 09/25/2035 0.13%
GSAA 2006-8 2A2 02.1984 05/25/2036 0.13%
IVORY COAST P/P 144A 05.2500 03/22/2030 0.13%
MSRR 2010-R4 4B 02.9746 02/26/2037 0.13%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.13%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.13%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.13%
TREASURY BILL 00.0000 01/02/2020 0.13%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.13%
SWPTN 10YX10Y R 2.988 USD 02/26/2029 GS 0.13%
GCP APPLIED TECH P/P 144A 05.5000 04/15/2026 0.12%
GNR 2016-75 EI IO 03.5000 08/20/2045 0.12%
GNR 2016-H03 DI IO 02.0013 12/20/2065 0.12%
REPUBLIC OF EL SALVADOR REGS 05.8750 01/30/2025 0.12%
SCRT 2019-2 M 04.7500 08/25/2058 0.12%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.12%
BRAND ENERGY TL L+425 06.4076 06/21/2024 0.12%
CALPINE CORPORATION 05.7500 01/15/2025 0.12%
DBALT 2006-AR4 A2 02.2084 12/25/2036 0.12%
SIX FLAGS ENT P/P 144A 05.5000 04/15/2027 0.12%
GNR 2016-42 IO IO 05.0000 02/20/2046 0.12%
GNR 2016-H14 AI IO 02.1652 06/20/2066 0.12%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.12%
GNR 2015-H25 EI IO 01.8744 10/20/2065 0.12%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.12%
SPLUNK INC CV 01.1250 09/15/2025 0.12%
0.05 R ISWP FWD EUR006M P 12/18/2029 0.12%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.12%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.12%
NAVISTAR INTL TLB L+350 05.5300 11/06/2024 0.12%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.12%
AKAMAI TECH CV 00.1250 05/01/2025 0.12%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.12%
CWALT 2006-OA10 2A1 02.2084 08/25/2046 0.12%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.12%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.12%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.12%
SWPTN 10YX20Y R 1.921 EUR 10/18/2028 JP 0.12%
GNR 2016-H03 AI IO 02.2288 01/20/2066 0.11%
PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.11%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.11%
UNITED MEXICAN STATES USD 04.0000 10/02/2023 0.11%
SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.11%
BMIR 2017-1 B1 P/P 144A 06.7684 10/25/2027 0.11%
GNR 2016-48 MI IO 03.5000 04/16/2046 0.11%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.11%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.11%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.11%
PRICELINE GRO CV 00.9000 09/15/2021 0.11%
CAS 2018 - C01 1B1 05.5684 07/25/2030 0.11%
CEC ENTERTAINMENT INC L+650 08.5435 08/30/2026 0.11%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.11%
MATCH GROUP INC P/P 144A 05.0000 12/15/2027 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%
ARDAGH PKG FIN/HLDGS P/P 144A 04.1250 08/15/2026 0.10%
CAS 2019-R04 2B1 07.2684 06/25/2039 0.10%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.10%
GNR 2014-H21 BI IO 01.5593 10/20/2064 0.10%
STAPLES INC P/P 144A 07.5000 04/15/2026 0.10%
1.343 R ISWP FWD EUR006M P 11/29/2058 0.10%
CAS 2019-R03 1B1 06.1184 09/25/2031 0.10%
COMM 2012-CR3 E P/P 144A 04.9103 10/15/2045 0.10%
GNMA GII30 BP3708 05.0000 08/20/2049 0.10%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.10%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.10%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.10%
PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 0.10%
DISH NETWORK CV 03.3750 08/15/2026 0.10%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.10%
GNR 2013-H08 CI IO 01.6655 02/20/2063 0.10%
GRAY TELEVISION INC P/P 144A 07.0000 05/15/2027 0.10%
INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 0.10%
ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 0.10%
ALTICE FRANCE SA P/P 144A 06.2500 05/15/2024 0.10%
ARAB REPUBLIC OF EGYPT REGS 06.1250 01/31/2022 0.10%
FNR 2016-102 JI IO 03.5000 02/25/2046 0.10%
GNR 2015-H10 BI IO 02.1737 04/20/2065 0.10%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 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%
DIAMOND SPORTS GR/DI P/P 144A 06.6250 08/15/2027 0.10%
FHR 3065 DC 13.7775 03/15/2035 0.10%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.10%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
FHR 4678 MS IO 05.1072 04/15/2047 0.10%
LEVEL 3 FINANCING INC 05.2500 03/15/2026 0.10%
PALO ALTO NET CV 00.7500 07/01/2023 0.10%
PENSKE AUTO GRP INC 05.7500 10/01/2022 0.10%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.10%
TENET HEALTHCARE COR P/P 144A 05.1250 11/01/2027 0.10%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.10%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.10%
FORTIVE CORP P/P 144A CV 00.8750 02/15/2022 0.10%
RBS GLOBAL/REXNO P/P 144A 04.8750 12/15/2025 0.10%
FHR 4077 IK IO 05.0000 07/15/2042 0.10%
TREASURY BILL 00.0000 11/14/2019 0.10%
DEXCOM INC P/P 144A CV 00.7500 12/01/2023 0.10%
GNR 2014-44 IA IO 03.5000 05/20/2028 0.10%
GNR 2016-104 GI IO 04.5000 01/20/2046 0.10%
NAVISTAR INTL CORP P/P 144A 06.6250 11/01/2025 0.10%
CCMFC 2006-4A A2 02.1984 11/25/2047 0.09%
GNR 2016-H24 CI IO 01.7120 10/20/2066 0.09%
BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 0.09%
DIGICEL LTD P/P 144A 06.7500 03/01/2023 0.09%
LIVE NATION CV 02.5000 03/15/2023 0.09%
GCI LIBERTY I P/P 144A CV 01.7500 09/30/2046 0.09%
GNR 2016-H17 KI IO 02.0772 07/20/2066 0.09%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.09%
MGM RESORTS INTL 06.6250 12/15/2021 0.09%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.09%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.09%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.09%
SPRINT CORP 07.2500 09/15/2021 0.09%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.09%
GMAC CAPITAL TRUST I PCT 07.9431 0.09%
GOLDEN NUGGET INC P/P 144A 06.7500 10/15/2024 0.09%
IAC FIN 2 P/P 144A CV 00.8750 06/15/2026 0.09%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.09%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.09%
DOMINICAN REPUBLIC REGS 07.5000 05/06/2021 0.09%
STEVENS HLDG CO INC P/P 144A 06.1250 10/01/2026 0.09%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.09%
LIBERTY MEDIA CV 01.3750 10/15/2023 0.09%
TWITTER INC CV 01.0000 09/15/2021 0.09%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.09%
ON SEMICONDUC CV 01.6250 10/15/2023 0.09%
1.354 R ISWP FWD EUR006M P 02/19/2050 0.08%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.08%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.08%
STACR 2019-DNA2 M2 04.4684 03/25/2049 0.08%
IRON MOUNTAIN INC P/P 144A 04.8750 09/15/2027 0.08%
TEVA PHARMACEUTICALS NE USD 06.0000 04/15/2024 0.08%
CCO HLDGS LLC/CAP CO P/P 144A 05.0000 02/01/2028 0.08%
ITRON INC P/P 144A 05.0000 01/15/2026 0.08%
JAZZ INVT I LTD USD 01.5000 08/15/2024 0.08%
BIG RVR STL/FIN P/P 144A 07.2500 09/01/2025 0.08%
CAS 2017-C05 1B1 05.6184 01/25/2030 0.08%
MWST 2018-W1 A 02.8684 11/25/2051 0.08%
NRG ENERGY CV 02.7500 06/01/2048 0.08%
PULTEGROUP INC 05.5000 03/01/2026 0.08%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.08%
FNR 2006-8 HP 17.1659 03/25/2036 0.08%
LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 0.08%
SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 0.08%
WFMBS 2006-AR5 1A1 05.1915 04/25/2036 0.08%
CWALT 2006-24CB A13 02.3684 08/25/2036 0.08%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.08%
IHEARTCOMMUNICATIONS INC 08.3750 05/01/2027 0.08%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.08%
CRC ESCROW ISSUER LL P/P 144A 05.2500 10/15/2025 0.08%
CROWN AMER/CAP 04.7500 02/01/2026 0.08%
FHR 4122 TI IO 04.5000 10/15/2042 0.08%
GSR 2007-OA1 2A3A 02.3284 05/25/2037 0.08%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.08%
JPALT 2007-A2 12A1 02.2184 06/25/2037 0.08%
NETFLIX INC. 05.8750 11/15/2028 0.08%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.08%
WFMBS 2006-AR2 1A1 04.9647 03/25/2036 0.08%
CENTENE CORP 06.1250 02/15/2024 0.08%
CIT GROUP INC 05.0000 08/01/2023 0.08%
SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA 0.08%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.08%
FHR 4530 TI IO 04.0000 11/15/2045 0.08%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.08%
SS&C TECH INC P/P 144A 05.5000 09/30/2027 0.08%
SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB 0.08%
SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS 0.08%
BAUSCH HLTH COS INC P/P 144A 06.1250 04/15/2025 0.08%
BSCMS 2007-T28 D P/P 144A 05.7181 09/11/2042 0.08%
CSC HOLDINGS LLC 06.7500 11/15/2021 0.08%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.08%
AKER BP ASA P/P 144A 06.0000 07/01/2022 0.08%
GNMA GII30 BP6877 05.0000 08/20/2049 0.08%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.08%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.08%
GREAT LAKES D&D 08.0000 05/15/2022 0.08%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.08%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.07%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.07%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.07%
STARFRUIT US/STAR FI P/P 144A 08.0000 10/01/2026 0.07%
GNR 2016-37 IW IO 04.5000 02/20/2046 0.07%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.07%
HVMLT 2005-2 1A 02.5770 05/19/2035 0.07%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.07%
WESTERN DIGITAL CORPORATION 04.7500 02/15/2026 0.07%
CAS 2015-C03 2M2 07.0184 07/25/2025 0.07%
DIAMONDBACK ENERGY INC 05.3750 05/31/2025 0.07%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.07%
SWPTN 5YX30Y R 1.053 EUR 06/04/2024 BA 0.07%
HCA INC 05.2500 06/15/2026 0.07%
FHR 4024 PI IO 04.5000 12/15/2041 0.07%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.07%
GNR 2017-63 PI IO 04.0000 12/20/2043 0.07%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.07%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.07%
CAS 2015-C04 2M2 07.5684 04/25/2028 0.07%
FNR 2017-7 JI IO 04.0000 02/25/2047 0.07%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.07%
SERVICE CORP INTL 05.1250 06/01/2029 0.07%
T-MOBILE USA INC 06.3750 03/01/2025 0.07%
1.45 R ISWP FWD US0003M P 12/18/2024 0.07%
CENTENE CORP 04.7500 05/15/2022 0.07%
GNR 2015-H08 CI IO 01.8149 03/20/2065 0.07%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.07%
ASCEND LEARNING TLB L+300 05.0435 07/12/2024 0.07%
BAUSCH HLTH COS INC P/P 144A 07.0000 03/15/2024 0.07%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.07%
CWALT 2007-OH1 A1D 02.2284 04/25/2047 0.07%
DOCUSIGN INC P/P 144A CV 00.5000 09/15/2023 0.07%
GNR 2016-H14 IO IO 01.6976 06/20/2066 0.07%
HESS INFRASTRUCTURE P/P 144A 05.6250 02/15/2026 0.07%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.07%
MWST 2019-1 A 02.8184 06/25/2052 0.07%
VISTRA OPERATIONS CO P/P 144A 05.5000 09/01/2026 0.07%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.06%
GREIF INC P/P 144A 06.5000 03/01/2027 0.06%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.06%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.06%
MARRIOTT VAC CV 01.5000 09/15/2022 0.06%
PQ CORP P/P 144A 05.7500 12/15/2025 0.06%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.06%
BOYD GAMING CORPORATION 06.0000 08/15/2026 0.06%
CPURNSA P 2.19 R 12/06/27 0.06%
CPURNSA P 2.1939 R 12/21/27 0.06%
EURONET WORLD P/P 144A CV 00.7500 03/15/2049 0.06%
GNMA GII30 BP2045 05.0000 07/20/2049 0.06%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.06%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.06%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.06%
INGEVITY CORP P/P 144A 04.5000 02/01/2026 0.06%
LIONS GATE CAP HOLD P/P 144A 05.8750 11/01/2024 0.06%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.06%
SWPTN 5YX10Y P 2.39 USD 06/04/2024 MS 0.06%
SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB 0.06%
SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS 0.06%
BAUSCH HLTH AMERICAS P/P 144A 08.5000 01/31/2027 0.06%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.06%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.06%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.06%
TOPBUILD CORP P/P 144A 05.6250 05/01/2026 0.06%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.06%
ENDEAVOR ENERGY P/P 144A 05.7500 01/30/2028 0.06%
REFINITIV TLB L+375 05.7935 10/01/2025 0.06%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.06%
BAUSCH HLTH AMERICAS P/P 144A 09.2500 04/01/2026 0.06%
DIAMOND SPORTS P/P 144A 05.3750 08/15/2026 0.06%
FNR 2010-35 SG IO 04.3816 04/25/2040 0.06%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.06%
GNMA GII30 BO3369 05.0000 06/20/2049 0.06%
INPHI CORP CV 00.7500 09/01/2021 0.06%
MILLER HOMES GRP HLDS REGS 05.5000 10/15/2024 0.06%
NUANCE COMM CV 01.2500 04/01/2025 0.06%
FHR 4000 LI IO 04.0000 02/15/2042 0.06%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.06%
II-VI INC CV 00.2500 09/01/2022 0.06%
NIELSEN FIN LLC/CO P/P 144A 05.0000 04/15/2022 0.06%
NRG ENERGY INC 05.7500 01/15/2028 0.06%
PANTHER BF AGGREGA P/P 144A 06.2500 05/15/2026 0.06%
PLURALSIGHT P/P 144A CV 00.3750 03/01/2024 0.06%
STARWOOD PROP TR 04.7500 03/15/2025 0.06%
VERTIV TLB L+400 06.0435 11/15/2023 0.06%
0.75 R ISWP FWD GBL6M P 12/18/2024 0.06%
2.536 R ISWP FWD US0003M P 12/02/2023 0.06%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.06%
ISTAR INC 04.7500 10/01/2024 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 0.06%
T-MOBILE USA INC 04.7500 02/01/2028 0.06%
CAS 2016-C05 2B 12.7684 01/25/2029 0.06%
CHS/COMMUNITY HEALTH P/P 144A 08.0000 03/15/2026 0.06%
EQUINIX INC 05.3750 05/15/2027 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 0.06%
SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI 0.06%
US CONCRETE INC 06.3750 06/01/2024 0.06%
WORKDAY INC CV 00.2500 10/01/2022 0.06%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.06%
TELADOC INC CV 01.3750 05/15/2025 0.06%
ZENDESK INC CV 00.2500 03/15/2023 0.06%
DISH DBS CORP 05.8750 11/15/2024 0.06%
FHR 4403 CI IO 04.0000 10/15/2044 0.06%
GNR 2013-129 SN IO 04.1058 09/20/2043 0.06%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.06%
FHR 3072 SM 04.2533 11/15/2035 0.06%
IRON MOUNTAIN INC P/P 144A 05.2500 03/15/2028 0.06%
LIBERTY MEDIA CV 01.0000 01/30/2023 0.06%
SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS 0.06%
ALLEGHENY TECHNOLOGIES INC 07.8750 08/15/2023 0.05%
BWAY CORP TLB L+325 05.5895 04/03/2024 0.05%
CPG INTL TL L+375 05.9333 05/05/2024 0.05%
GENON 939CER907 0.05%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.05%
GNR 2015-69 IK IO 03.5000 03/20/2038 0.05%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.05%
MHL 2005-3 M2 02.8134 08/25/2035 0.05%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.05%
NORDEX SE REGS 06.5000 02/01/2023 0.05%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.05%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.05%
STACR 2018-HQA2 M2 04.3184 10/25/2048 0.05%
1.1575 R ISWP SES3M P 11/13/2027 0.05%
1.16 R ISWP SES3M P 11/13/2027 0.05%
BAUSCH HEALTH COS INC REGS 04.5000 05/15/2023 0.05%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.05%
GNMA GII30 BL2894 05.0000 04/20/2049 0.05%
GNMA GII30 BO2715 05.0000 07/20/2049 0.05%
GNMA GII30 BO4614 05.0000 06/20/2049 0.05%
GNMA GII30 BP3611 05.0000 07/20/2049 0.05%
GNMA GII30 BP3623 05.0000 08/20/2049 0.05%
MICROCHIP TEC CV 01.6250 02/15/2027 0.05%
BERRY GLOBAL INC 05.5000 05/15/2022 0.05%
CODERE FINANCE 2 LUXEMBO REGS 06.7500 11/01/2021 0.05%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.05%
JPMORGAN CHAS P/P 144A CV 00.2500 05/01/2023 0.05%
NATIONSTAR MTG P/P 144A 09.1250 07/15/2026 0.05%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.05%
UNIVISION COMM P/P 144A 05.1250 02/15/2025 0.05%
WAYFAIR INC P/P 144A CV 01.1250 11/01/2024 0.05%
1.13 R ISWP SES3M P 11/10/2027 0.05%
CENTURYLINK TLB L+275 05.2724 01/31/2025 0.05%
CORNERSTONE BUILDING P/P 144A 08.0000 04/15/2026 0.05%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.05%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.05%
FNR 2007-53 SP 16.7993 06/25/2037 0.05%
GUIDEWIRE SOFTWARE INC CV 01.2500 03/15/2025 0.05%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.05%
SPRINGLEAF FINANCE CORP 06.8750 03/15/2025 0.05%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.05%
ATOTECH TLB1 L+300 05.1044 01/31/2024 0.05%
BERRY GLOBAL INC 05.1250 07/15/2023 0.05%
GFL ENVIRONMENTAL TLB L+300 05.0435 05/31/2025 0.05%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.05%
HCA INC 05.0000 03/15/2024 0.05%
HOUSTON FUEL TLB L+275 04.8000 06/26/2025 0.05%
LOUISIANA-PACIFIC CORPORATION 04.8750 09/15/2024 0.05%
NRG ENERGY INC P/P 144A 05.2500 06/15/2029 0.05%
REPUBLIC OF VENEZUELA REGS 08.2500 10/13/2024 0.05%
SWPTN 5YX5Y R 0.153 EUR 09/10/2024 UB 0.05%
TALBOTS TLB L+700 09.0435 11/28/2022 0.05%
ZILLOW GROUP INC CV 01.5000 07/01/2023 0.05%
BAUSCH HLTH COS INC P/P 144A 09.0000 12/15/2025 0.05%
CHEGG INC P/P 144A CV 00.1250 03/15/2025 0.05%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.05%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.05%
FTI CONSULTIN CV 02.0000 08/15/2023 0.05%
GNMA 10000 BO5417 05.0000 06/20/2049 0.05%
IHEARTMEDIA TL L+400 06.0315 05/01/2026 0.05%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.05%
NRG ENERGY INC 06.6250 01/15/2027 0.05%
ASURION TLB7 L+300 05.0435 11/03/2024 0.05%
COLONY STARWO CV 03.5000 01/15/2022 0.05%
GLP CAPITAL LP / FIN II 05.2500 06/01/2025 0.05%
GNMA GII30 BO4634 05.0000 06/20/2049 0.05%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.05%
NEW RELIC INC CV 00.5000 05/01/2023 0.05%
VIAVI SOLUT CV 01.7500 06/01/2023 0.05%
MEREDITH CORP 06.8750 02/01/2026 0.05%
NZD/USD 10/16/2019 JPMCB 0.05%
SWPTN 5YX20Y R 1.11125 JPY 08/24/2023 BC 0.05%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.05%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.05%
BERRY GLOBAL TLU L+250 5.02189 05/15/2026 0.05%
ENTERCOM MEDIA CORP P/P 144A 06.5000 05/01/2027 0.05%
FNR 2005-122 SE 16.0357 11/25/2035 0.05%
FNR 2010-140 GS IO 03.9816 07/25/2039 0.05%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.05%
INDIGO NATURAL P/P 144A 06.8750 02/15/2026 0.05%
LIONS GATE CAP HOLD P/P 144A 06.3750 02/01/2024 0.05%
TRAVELPORT TLB L+500 07.5413 05/30/2026 0.05%
WYNDHAM HOTELS & RE P/P 144A 05.3750 04/15/2026 0.05%
WYNN RESORTS FIN LLC P/P 144A 05.1250 10/01/2029 0.05%
BAUSCH HLTH COS INC P/P 144A 07.2500 05/30/2029 0.04%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.04%
CNO FINANCIAL GROUP INC 05.2500 05/30/2029 0.04%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.04%
NETFLIX INC 04.8750 04/15/2028 0.04%
SQUARE INC CV 00.5000 05/15/2023 0.04%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.04%
FHR 4546 TI IO 04.0000 12/15/2045 0.04%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.04%
GNMA GII30 BN1509 05.0000 05/20/2049 0.04%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.04%
HUSKY TLB L+300 05.0435 03/28/2025 0.04%
ICAHN ENTER/FIN P/P 144A 06.2500 05/15/2026 0.04%
PANTHER BF AGGRE 2 P/P 144A 08.5000 05/15/2027 0.04%
SWPTN 5YX5Y P 0.153 EUR 09/10/2024 UB 0.04%
ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 0.04%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.04%
BLACKSTONE MORTGAGE TR CV 04.7500 03/15/2023 0.04%
CIT GROUP INC. 05.0000 08/15/2022 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.04%
KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 0.04%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.04%
NEWELL BRANDS INC 04.2000 04/01/2026 0.04%
OSHKOSH CORP 05.3750 03/01/2025 0.04%
TARGA RESOURCES PART 05.0000 01/15/2028 0.04%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.04%
APERGY CORP 06.3750 05/01/2026 0.04%
CONMED CORP P/P 144A CV 02.6250 02/01/2024 0.04%
ENTERCOM MEDIA CORP P/P 144A 07.2500 11/01/2024 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.04%
IHEARTCOMMUNICATIONS INC 06.3750 05/01/2026 0.04%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.04%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.04%
PACIRA BIOSCIENCES INC CV 02.3750 04/01/2022 0.04%
PROOFPOINT IN P/P 144A CV 00.2500 08/15/2024 0.04%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.04%
ARBY'S TLB L+325 05.5495 02/05/2025 0.04%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.04%
CBRE SERVICES INC 05.2500 03/15/2025 0.04%
GOLDEN NUGGET INC P/P 144A 08.7500 10/01/2025 0.04%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.04%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.04%
NABORS INDUSTRIES INC. 05.7500 02/01/2025 0.04%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.04%
WERNER TLB L+400 06.0435 07/24/2024 0.04%
WIX LTD USD 00.0000 07/01/2023 0.04%
AKAMAI TECH P/P 144A CV 00.3750 09/01/2027 0.04%
ENVESTNET INC CV 01.7500 12/15/2019 0.04%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.04%
HCA INC. 07.5000 02/15/2022 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.04%
ILLUMINA INC CV 00.0000 08/15/2023 0.04%
LUMENTUM HOLD CV 00.2500 03/15/2024 0.04%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.04%
NRG ENERGY INC. 07.2500 05/15/2026 0.04%
PETSMART INC TLB L+300 06.0400 03/11/2022 0.04%
SNAP INC P/P 144A CV 00.7500 08/01/2026 0.04%
TENNANT CO 05.6250 05/01/2025 0.04%
WPX ENERGY INC 05.2500 10/15/2027 0.04%
AUD/JPY PUT 70.00 20200214 CITI 0.04%
AUD/JPY PUT 70.00 20200214 GSFX 0.04%
BUILDERS FIRSTSOURCE P/P 144A 06.7500 06/01/2027 0.04%
DIAMOND SPORTS TLB L+325 05.3000 08/24/2026 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
INSULET CORP P/P 144A CV 00.3750 09/01/2026 0.04%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.04%
NEUROCRINE CV 02.2500 05/15/2024 0.04%
RH CV 00.0000 06/15/2023 0.04%
TRANSOCEAN SENTR P/P 144A 05.3750 05/15/2023 0.04%
AMSTED INDUSTRIES P/P 144A 05.6250 07/01/2027 0.04%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.04%
AVAYA TLB L+425 06.3343 12/15/2024 0.04%
BIOMARIN PHARMA CV 00.5990 08/01/2024 0.04%
CINEWORLD TLB L+225 04.2935 02/28/2025 0.04%
FNR 2008-24 SP 15.8826 02/25/2038 0.04%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.04%
GNR 2015-H26 CI IO 00.0902 08/20/2065 0.04%
GOEASY LTD P/P 144A 07.8750 11/01/2022 0.04%
ICAHN ENTER/FIN 06.7500 02/01/2024 0.04%
IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9 0.04%
QORVO INC 05.5000 07/15/2026 0.04%
BEACON ROOFING SUPP P/P 144A 04.8750 11/01/2025 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.04%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.04%
EUR/USD PUT 1.097 20191017 BANKAM 0.04%
EXACT SCIENCES CORP CV 00.3750 03/15/2027 0.04%
GOLDEN NUGGET TL L+275 04.7995 10/04/2023 0.04%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.04%
LENNAR CORP 05.8750 11/15/2024 0.04%
MERCER INTL INC USD 06.5000 02/01/2024 0.04%
SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
TRANSDIGM INC 06.3750 06/15/2026 0.04%
TRANSOCEAN PONTUS LT P/P 144A 06.1250 08/01/2025 0.04%
VERINT SYSTEMS INC CV 01.5000 06/01/2021 0.04%
CREE INC CV 00.8750 09/01/2023 0.04%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.04%
INTELSAT CONNECT FIN P/P 144A 09.5000 02/15/2023 0.04%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.04%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.04%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.04%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.04%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.04%
ORYX TLB L+400 06.0536 05/09/2026 0.04%
PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 0.04%
REGENCY ENERGY P 04.5000 11/01/2023 0.04%
SWPTN 10YX10Y P 2.795 USD 12/20/2027 JP 0.04%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.04%
THE AES CORPORATION 04.8750 05/15/2023 0.04%
WRIGHT MEDICA CV 01.6250 06/15/2023 0.04%
ALBERTSON'S TLB7 L+275 04.7935 11/17/2025 0.04%
FHR 4000 PI IO 04.5000 01/15/2042 0.04%
NUTANIX INC CV 00.0000 01/15/2023 0.04%
PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 0.04%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.04%
ZYNGA INC P/P 144A CV 00.2500 06/01/2024 0.04%
CIT GROUP INC. 05.2500 03/07/2025 0.03%
CLEAR CHANNEL TLB L+350 05.5435 08/09/2026 0.03%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.03%
ENCORE CAPITA CV 03.2500 03/15/2022 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%
MESSER INDUST TLB L+250 04.6044 03/01/2026 0.03%
SM ENERGY CO 06.1250 11/15/2022 0.03%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.03%
WPX ENERGY INC 05.7500 06/01/2026 0.03%
ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 0.03%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.03%
CALPINE CORP P/P 144A 05.2500 06/01/2026 0.03%
CAS 2016-C06 1M2 06.2684 04/25/2029 0.03%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.03%
CLEAN HARBORS INC P/P 144A 04.8750 07/15/2027 0.03%
CLEAR CHANNEL WORLDW P/P 144A 05.1250 08/15/2027 0.03%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.03%
FHR 3249 PS 15.5843 12/15/2036 0.03%
FNR 2005-83 QP 12.1462 11/25/2034 0.03%
GNR 2013-183 JI IO 04.5000 02/16/2043 0.03%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.03%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.03%
NRG ENERGY INC P/P 144A 04.4500 06/15/2029 0.03%
RESIDEO FUNDING INC P/P 144A 06.1250 11/01/2026 0.03%
RINGCENTRAL CV 00.0000 03/15/2023 0.03%
ROBERTSHAW US HOLDING L+325 05.3125 02/28/2025 0.03%
TRANSOCEAN INC CV 00.5000 01/30/2023 0.03%
2.806 R ISWP FWD US0003M P 03/05/2030 0.03%
CINEMARK USA INC 04.8750 06/01/2023 0.03%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.03%
SUPERNUS PH CV 00.6250 04/01/2023 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
TABULA RASA H P/P 144A CV 01.7500 02/15/2026 0.03%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.03%
FIVE9 INC CV 00.1250 05/01/2023 0.03%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 0.03%
GNR 2013-99 VS IO 04.0725 07/16/2043 0.03%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.03%
REPUBLIC OF VENEZUELA REGS 09.0000 05/07/2023 0.03%
ROBERTSHAW TL 2L L+800 10.0625 02/28/2026 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%
CALIFORNIA RESOURCES L+1038 12.4185 12/31/2021 0.03%
CAS 2015-C02 2M2 06.0184 05/25/2025 0.03%
CHESAPEAKE ENERGY CORPORATION 08.0000 01/15/2025 0.03%
COMMSCOPE INC P/P 144A 06.0000 03/01/2026 0.03%
FHR 4105 HI IO 03.5000 07/15/2041 0.03%
FNR 2012-127 BI IO 04.5000 11/25/2042 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.03%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.03%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.03%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.03%
VISTRA OPERATION P/P 144A 05.0000 07/31/2027 0.03%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.03%
2.32 R ISWP FWD US0003M P 02/09/2024 0.03%
2.86 R ISWP US0003M P 01/22/2020 0.03%
AIR TRANSPORT CV 01.1250 10/15/2024 0.03%
FHS 304 C37 IO 03.5000 12/15/2027 0.03%
FNS 378 19 IO 05.0000 06/25/2035 0.03%
INTELSAT SA USD 04.5000 06/15/2025 0.03%
JELD-WEN INC P/P 144A 04.8750 12/15/2027 0.03%
SCIENTIFIC GAMES TLB5 L+275 04.8758 08/14/2024 0.03%
SWPTN 10YX10Y P 2.988 USD 02/26/2029 GS 0.03%
TMX FIN LLC/TITLEMAX P/P 144A 11.1250 04/01/2023 0.03%
VISTRA OPERATIONS CO P/P 144A 05.6250 02/15/2027 0.03%
VONAGE HLDGS P/P 144A CV 01.7500 06/01/2024 0.03%
ANTERO MIDSTREAM P/P 144A 05.7500 01/15/2028 0.03%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.03%
RAPID7 INC CV 01.2500 08/01/2023 0.03%
REVLON CONS TLB L+350 05.6241 09/07/2023 0.03%
SCIENTIFIC GAMES INT P/P 144A 05.0000 10/15/2025 0.03%
SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.03%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.03%
GATES GLOBAL TLB L+275 04.7935 03/31/2024 0.03%
GNMA 10000 BO6603 05.0000 07/20/2049 0.03%
ICAHN ENTER P/P 144A 04.7500 09/15/2024 0.03%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.03%
INTELSAT S.A. TLB3 L+375 05.8036 11/27/2023 0.03%
NETFLIX INC. P/P 144A 06.3750 05/15/2029 0.03%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.03%
SPRINGLEAF FINANCE CORP 07.1250 03/15/2026 0.03%
SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS 0.03%
TENET HEALTHCARE 04.6250 07/15/2024 0.03%
AES CORP/THE 05.1250 09/01/2027 0.03%
CINEMARK USA INC 05.1250 12/15/2022 0.03%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.03%
JO-ANN STORES 2NDL L+925 11.5094 05/21/2024 0.03%
KRW/USD 11/20/2019 GSFX 0.03%
LEVEL 3 FINANCING INC 05.6250 02/01/2023 0.03%
MERCER INTL INC USD 05.5000 01/15/2026 0.03%
QUOTIENT TECH CV 01.7500 12/01/2022 0.03%
8X8 INC P/P 144A CV 00.5000 02/01/2024 0.02%
AES CORP/THE 04.5000 03/15/2023 0.02%
AIR METHODS TLB L+350 05.6044 04/21/2024 0.02%
AUD/USD 10/16/2019 GSFX 0.02%
CENTENE ESCROW I CO P/P 144A 05.3750 06/01/2026 0.02%
FNR 2006-62 PS 27.7897 07/25/2036 0.02%
FRONTIER COMM P/P 144A 08.5000 04/01/2026 0.02%
GNMA GII30 BO8266 05.0000 07/20/2049 0.02%
J2 GLOBAL COMM CV 03.2500 06/15/2029 0.02%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.02%
SPECTRUM BRANDS INC P/P 144A 05.0000 10/01/2029 0.02%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.02%
TRANSOCEAN POSEIDON P/P 144A 06.8750 02/01/2027 0.02%
0.40 R ISWP FWD SES3M P 12/18/2029 0.02%
AVAYA HOLDINGS CORP SEDOL BD9G9B3 0.02%
BAUSCH HLTH COS INC P/P 144A 07.0000 01/15/2028 0.02%
CALIFORNIA RESOURC TL L+475 06.7935 12/31/2022 0.02%
DUN & BRADSTREET COR P/P 144A 06.8750 08/15/2026 0.02%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
SILICON LABOR CV 01.3750 03/01/2022 0.02%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.02%
TARGA RESOURCES PART P/P 144A 06.5000 07/15/2027 0.02%
TAYLOR MORRISON COMM P/P 144A 05.7500 01/15/2028 0.02%
0.80 R ISWP FWD GBL6M P 12/18/2029 0.02%
1.60 R ISWP FWD US0003M P 12/18/2021 0.02%
BAUSCH HLTH COS INC P/P 144A 06.5000 03/15/2022 0.02%
BERRY GLOBAL INC P/P 144A 04.8750 07/15/2026 0.02%
BERRY GLOBAL INC P/P 144A 05.6250 07/15/2027 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02%
CREDIT ACCEPTANC P/P 144A 06.6250 03/15/2026 0.02%
GNR 2019-78 SJ IO 04.0058 06/20/2049 0.02%
GO DADDY OPCO/FINCO P/P 144A 05.2500 12/01/2027 0.02%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.02%
LIVEPERSON INC P/P 144A CV 00.7500 03/01/2024 0.02%
NEXSTAR ESCROW INC P/P 144A 05.6250 07/15/2027 0.02%
NZD/USD 10/16/2019 BCAP-FX 0.02%
SESI LLC 07.1250 12/15/2021 0.02%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.02%
T-MOBILE USA INC 04.5000 02/01/2026 0.02%
TENET HEALTHCARE P/P 144A 06.2500 02/01/2027 0.02%
YUM! BRANDS INC P/P 144A 04.7500 01/15/2030 0.02%
2.2225 R ISWP FWD US0003M P 06/05/2029 0.02%
BROOKFIELD RESID P/P 144A 06.2500 09/15/2027 0.02%
CHEMOURS CO 07.0000 05/15/2025 0.02%
CHESAPEAKE EN CV 05.5000 09/15/2026 0.02%
GNMA GII30 BN1507 05.0000 05/20/2049 0.02%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
ISTAR INC. 05.2500 09/15/2022 0.02%
LEVEL 3 FIN INC P/P 144A 04.6250 09/15/2027 0.02%
MAUSER PACKAGING SOL P/P 144A 05.5000 04/15/2024 0.02%
NZD/USD 10/16/2019 GSFX 0.02%
OPTN FN30 3.0 11/06/19 PUT 101.2421875 JPMC 0.02%
PROVINCIA DE BUENOS 63.0419 05/31/2022 0.02%
SAILPOINT TCH P/P 144A CV 00.1250 09/15/2024 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%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 0.02%
GNMA GII30 BN1508 05.0000 05/20/2049 0.02%
GNMA GII30 BN1510 05.5000 05/20/2049 0.02%
GNMA GII30 BP3716 05.0000 08/20/2049 0.02%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.02%
KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 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%
BEACON ROOFING SUPPL P/P 144A 04.5000 11/15/2026 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CARBONITE INC CV 02.5000 04/01/2022 0.02%
FHR 4210 PI IO 03.0000 12/15/2041 0.02%
FREEDOM MTGE CORP P/P 144A 08.1250 11/15/2024 0.02%
MATTAMY GROUP CORP P/P 144A 06.5000 10/01/2025 0.02%
MGM GROWTH/MGM FINANCE 04.5000 01/15/2028 0.02%
NOVELIS CORP P/P 144A 05.8750 09/30/2026 0.02%
NRG P/P 144A 03.7500 06/15/2024 0.02%
VISTRA OPERATION P/P 144A 04.3000 07/15/2029 0.02%
2.3075 R ISWP FWD US0003M P 02/02/2024 0.02%
2.55 R ISWP FWD US0003M P 11/20/2039 0.02%
ALLEGHENY TECHNOLOGIES 05.9500 01/15/2021 0.02%
ANTERO RESOURCES 05.3750 11/01/2021 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
FHR 3408 EK 17.6347 04/15/2037 0.02%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 0.02%
IRONWOOD PHAR P/P 144A CV 00.7500 06/15/2024 0.02%
JELD-WEN INC P/P 144A 04.6250 12/15/2025 0.02%
JO-ANN STORES TL L+500 07.2516 10/16/2023 0.02%
MERCER INTL INC USD 07.7500 12/01/2022 0.02%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.02%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.02%
REDFIN CORP CV 01.7500 07/15/2023 0.02%
SWPTN 3MX5Y P -0.46 EUR 12/05/2019 BC 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%
CHEMOURS CO 05.3750 05/15/2027 0.02%
CLEAN HARBORS INC P/P 144A 05.1250 07/15/2029 0.02%
ENERGIZER HLDG INC P/P 144A 06.3750 07/15/2026 0.02%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.02%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.02%
MASONITE INTL C P/P 144A 05.3750 02/01/2028 0.02%
NINE ENERGY SERVICE P/P 144A 08.7500 11/01/2023 0.02%
PRECISION DRILL P/P 144A 07.1250 01/15/2026 0.02%
SERVICE CORPORATION INTL 04.6250 12/15/2027 0.02%
1.626 R ISWP FWD US0003M P 09/12/2052 0.02%
1.80 R ISWP FWD CDOR03 P 12/18/2024 0.02%
AKER BP ASA P/P 144A 05.8750 03/31/2025 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
EUR/USD 12/18/2019 SSBT 0.02%
GNR 2019-99 KS IO 04.0058 08/20/2049 0.02%
KRONOS TLB L+300 05.2531 11/01/2023 0.02%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
1.30 R ISWP FWD AUDBB6M P 12/18/2029 0.02%
1.30 R ISWP US0003M P 12/09/2024 0.02%
1.4925 R ISWP CDOR03 P 08/15/2029 0.02%
1.82 R ISWP NOKOIB6M P 07/01/2029 0.02%
EQUINIX INC 05.8750 01/15/2026 0.02%
FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 0.02%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.02%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.02%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
KRW/USD 11/20/2019 HSBCB 0.02%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 0.02%
NZD/USD 10/16/2019 CITI 0.02%
TARGA RESOURCES PART P/P 144A 06.8750 01/15/2029 0.02%
ABC SUPPLY CO INC P/P 144A 05.8750 05/15/2026 0.02%
BERRY GLOBAL INC P/P 144A 04.5000 02/15/2026 0.02%
CLEAR CHANNEL OUTDOOR HOLDIN SEDOL BJHVCH9 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.02%
COMMSCOPE INC P/P 144A 05.5000 03/01/2024 0.02%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.02%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.02%
TRIBUNE CLASS 1C LITIGAT 0.02%
2.57 R ISWP FWD US0003M P 02/02/2024 0.01%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.01%
CAS 2015-C02 1M2 06.0184 05/25/2025 0.01%
CHESAPEAKE ENERGY CORP 08.0000 06/15/2027 0.01%
JC PENNEY CORP INC 07.4000 04/01/2037 0.01%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.01%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.01%
MSC 2007-HQ11 B 05.5380 02/12/2044 0.01%
RACKSPACE HOSTING INC L+300 05.2868 11/03/2023 0.01%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.01%
1.15 R ISWP NFIX3MID P 08/07/2021 0.01%
CAD/USD 10/16/2019 BCAP-FX 0.01%
CAS 2017-C07 2B1 06.4684 05/25/2030 0.01%
DIVERSEY TL L+300 05.2555 09/06/2024 0.01%
IDR/USD 11/20/2019 GSFX 0.01%
MOLINA HEALTHCARE IN P/P 144A 04.8750 06/15/2025 0.01%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.01%
PQ CORP TLB L+250 04.7555 02/08/2025 0.01%
VALARIS PLC USD 07.7500 02/01/2026 0.01%
VISTRA OPERATION P/P 144A 03.5500 07/15/2024 0.01%
WPX ENERGY INC 08.2500 08/01/2023 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
ELDORADO RESORTS INC 06.0000 09/15/2026 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
OASIS PETROLEUM INC P/P 144A 06.2500 05/01/2026 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.01%
INSTALLED BUILDI P/P 144A 05.7500 02/01/2028 0.01%
MERCER INTL INC USD 07.3750 01/15/2025 0.01%
RUB/USD 12/18/2019 GSFX 0.01%
SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI 0.01%
-0.35 R ISWP FWD CHL6M P 12/18/2029 0.01%
1.425 R ISWP FWD US0003M P 09/18/2024 0.01%
ASCENT RESOURCES/AR P/P 144A 07.0000 11/01/2026 0.01%
AUD/USD 10/16/2019 HSBCB 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.7 2047-01-17 500.0 01/17/2047 MS 0.01%
FNR 2011-98 AI IO 03.5000 11/25/2037 0.01%
FNS 374 6 IO 05.5000 08/25/2036 0.01%
FREEPORT-MCMORAN INC 05.4500 03/15/2043 0.01%
REFINITIV US HLDG P/P 144A 06.2500 05/15/2026 0.01%
RUB/USD 12/18/2019 BANKAM 0.01%
SESI LLC 07.7500 09/15/2024 0.01%
SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS 0.01%
1.175 R ISWP NFIX3MID P 08/08/2021 0.01%
1.43125 R ISWP FWD US0003M P 09/18/2024 0.01%
1.534 R ISWP US0003M P 09/26/2029 0.01%
CAD/USD 10/16/2019 JPMCB 0.01%
CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
EUR/USD 12/18/2019 BCAP-FX 0.01%
JPY/USD 11/20/2019 JPMCB 0.01%
OASIS PETROLEUM INC CV 02.6250 09/15/2023 0.01%
STEEL DYNAMICS INC 04.1250 09/15/2025 0.01%
T-MOBILE USA INC 05.3750 04/15/2027 0.01%
1011778 BC / NEW RED P/P 144A 03.8750 01/15/2028 0.01%
2.5725 R ISWP FWD US0003M P 02/02/2024 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FNGT 2000-T6 IO IO 00.7166 11/25/2040 0.01%
REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01%
AUD/USD 10/16/2019 SSBT 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 MS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
EUR/USD 12/18/2019 CITI 0.01%
HORIZON GLOBAL CORP CV 02.7500 07/01/2022 0.01%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01%
NABORS INDUSTRIES INC. 05.5000 01/15/2023 0.01%
SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 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 CS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
ENERGIZER HLDG INC P/P 144A 07.7500 01/15/2027 0.00%
OPTN FN30 3.0 10/03/19 CALL 101.71875 JPMC 0.00%
PULTEGROUP INC. 07.8750 06/15/2032 0.00%
SEK/USD 12/18/2019 UBS 0.00%
STANDARD IND INC P/P 144A 04.7500 01/15/2028 0.00%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.00%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.00%
SWPTN 6MX2Y P -0.337 EUR 01/16/2020 UB 0.00%
TREASURY BILL 00.0000 12/12/2019 0.00%
CHC GRP LLC P/P CV 00.0000 10/01/2020 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00%
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 ML 0.00%
CSMC 2007-C4 C P/P 144A 05.9096 09/15/2039 0.00%
FSPC T-57 1AX IO 00.3744 07/25/2043 0.00%
INTELSAT JACKSON HLD P/P 144A 08.0000 02/15/2024 0.00%
JPY/USD 11/20/2019 GSFX 0.00%
JPY/USD 11/20/2019 HSBCB 0.00%
OPTN FN30 3.0 11/06/19 PUT 99.7421875 JPMC 0.00%
SEK/USD 12/18/2019 HSBCB 0.00%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.00%
TXU TCEH RIGHTS 0.00%
-0.65 R ISWP FWD CHL6M P 12/18/2024 0.00%
0.712 R ISWP FWD GBL6M P 09/18/2021 0.00%
1.30 R ISWP FWD NFIX3MID P 12/18/2029 0.00%
1.50 R ISWP US0003M P 09/30/2024 0.00%
ADVANZ PHARMA CORP SEDOL BH4P601 0.00%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 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 MS 0.00%
EUR/USD 12/18/2019 JPMCB 0.00%
EUR/USD 12/18/2019 UBS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 0.00%
SEK/USD 12/18/2019 BANKAM 0.00%
SEK/USD 12/18/2019 RBSF 0.00%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.00%
SWPTN 10YX10Y R 0.43 EUR 08/20/2029 UB 0.00%
0.616 R ISWP FWD GBL6M P 09/18/2029 0.00%
1.8125 R ISWP NOKOIB6M P 09/18/2021 0.00%
AUD/USD 10/16/2019 CITI 0.00%
CHF/USD 12/18/2019 BCAP-FX 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.00%
CSMC 2006-C5 AX IO 01.0895 12/15/2039 0.00%
FNR 1999-51 N PO 00.0000 09/17/2029 0.00%
MWO HOLDINGS LLC 0.00%
SEK/USD 12/18/2019 GSFX 0.00%
TRANSOCEAN INC P/P 144A 09.0000 07/15/2023 0.00%
CAD/USD 10/16/2019 CSI-FX 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 MS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 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 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-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
FRAC TECH INTL TLB L+475 06.7935 04/16/2021 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
JPY/USD 11/20/2019 UBS 0.00%
NINE POINT ENERGY CNV PRF 0.00%
NINE POINT ENERGY COM 0.00%
SWPTN 1YX30Y P 1.288 EUR 02/17/2020 JP 0.00%
TERVITA CORP SEDOL BD1DCC4 0.00%
UKRPI P 3.665 R 12/15/28 0.00%
-0.35 R ISWP FWD EUR006M P 12/18/2024 0.00%
0.233 R ISWP FWD EUR006M P 02/19/2050 0.00%
1.00 R ISWP FWD AUDBB6M P 12/18/2024 0.00%
1.00 R ISWP FWD NFIX3MID P 12/18/2024 0.00%
1.60 R ISWP FWD US0003M P 12/18/2024 0.00%
1.75 R ISWP FWD NOKOIB6M P 12/18/2024 0.00%
1.80 R ISWP FWD NOKOIB6M P 12/18/2029 0.00%
AUD/USD 10/16/2019 CSI-FX 0.00%
AVAYA INC ESCROW P/P 144A 07.0000 04/01/2020 0.00%
BACM 2007-5 XW IO P/P 144A 00.0000 02/10/2051 0.00%
BRL/USD 02/04/2020 CITI 0.00%
BRL/USD 02/04/2020 GSFX 0.00%
CAD/USD 10/16/2019 GSFX 0.00%
CAD/USD 10/16/2019 WPAC 0.00%
CD 2007-CD5 XS IO 144A 00.0000 11/15/2044 0.00%
CHC GROUP LLC P/P SEDOL BYXD3K4 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG 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 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 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 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-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
ESC SEVENTYSEVENERG 06.5000 07/15/2022 0.00%
EUR/USD 12/18/2019 GSFX 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNS 366 22 IO 04.5000 10/25/2035 0.00%
GBP/USD 12/18/2019 BANKAM 0.00%
GBP/USD 12/18/2019 HSBCB 0.00%
GSMS 2005-GG4 XC IO P/P 144A 01.5898 07/10/2039 0.00%
JPMCC 07-CB20 X1 IO P/P 144A 00.0000 02/12/2051 0.00%
MEZZ 2007-C5 X IO P/P 144A 06.2193 12/15/2049 0.00%
NOK/USD 12/18/2019 HSBCB 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.1171875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.3046875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.4921875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.0546875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.2421875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.4296875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.5859375 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.7734375 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.9609375 JPMC 0.00%
OPTN FN30 3.5 10/03/19 CALL 102.9375 JPMC 0.00%
SEK/USD 12/18/2019 JPMCB 0.00%
SEK/USD 12/18/2019 SSBT 0.00%
STRIP 2003-1A N P/P 144A 05.0000 03/24/2020 0.00%
SWPTN 10YX10Y P 0.43 EUR 08/20/2029 UB 0.00%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS 0.00%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS 0.00%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 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 4MX10Y P 2.265 USD 10/03/2019 MS 0.00%
SWPTN 4MX10Y P 2.401 USD 09/30/2019 BA 0.00%
TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 0.00%
WBCMT 2007-C34 IO IO 00.0966 05/15/2046 0.00%
CHF/USD 12/18/2019 JPMCB -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 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 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%
CZK/USD 12/18/2019 BANKAM -0.00%
GBP/USD 12/18/2019 SSBT -0.00%
NOK/USD 12/18/2019 SSBT -0.00%
SWPTN 10YX10Y P 0.762 GBP 08/20/2029 UB -0.00%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.00%
SWPTN 6MX10Y P 0.498 EUR 01/16/2020 UB -0.00%
-0.765 R ISWP CHL6M P 09/13/2024 -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 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 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%
EUR/USD 12/18/2019 CSI-FX -0.00%
NOK/USD 12/18/2019 BANKAM -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.09375 JPMC -0.00%
SWPTN 10YX10Y R 0.762 GBP 08/20/2029 UB -0.00%
1.735 R ISWP NOKOIB6M P 07/01/2024 -0.00%
AUD/USD 10/16/2019 JPMCB -0.00%
CAD/USD 10/16/2019 BANKAM -0.00%
CAD/USD 10/16/2019 SSBT -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 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 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%
EUR/USD 12/18/2019 BANKAM -0.00%
IDR/USD 11/20/2019 HSBCB -0.00%
NOK/USD 12/18/2019 GSFX -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.1875 JPMC -0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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 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 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 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 CS -0.00%
INR/USD 11/20/2019 GSFX -0.00%
BRL/USD 02/04/2020 BANKAM -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 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 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%
MXN/USD 10/16/2019 BANKAM -0.00%
OPTN FN30 3.5 10/03/19 PUT 102.9375 JPMC -0.00%
SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS -0.00%
CAD/USD 10/16/2019 CITI -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 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 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%
OPTN FN30 4.0 11/06/19 CALL 104.0 JPMC -0.01%
CAD/USD 10/16/2019 RBSF -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -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 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%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
OPTN FN30 3.0 11/06/19 PUT 100.2421875 JPMC -0.01%
1.53 R ISWP US0003M P 10/01/2024 -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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 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%
-0.8475 R ISWP CHL6M P 08/09/2024 -0.01%
1.733 R ISWP FWD US0003M P 02/07/2024 -0.01%
2.3075 R ISWP FWD US0003M P 06/22/2052 -0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP -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 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
JPY/USD 11/20/2019 BCAP-FX -0.01%
0.207 R ISWP FWD EUR006M P 06/06/2054 -0.01%
1.638 R ISWP FWD CDOR03 P 09/18/2024 -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -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%
SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI -0.01%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.01%
1.63 R ISWP FWD CDOR03 P 09/18/2024 -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 MS -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
INR/USD 11/20/2019 RBSF -0.01%
NZD/USD 10/16/2019 HSBCB -0.01%
SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS -0.01%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.01%
0.05 R ISWP FWD SES3M P 12/18/2024 -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%
OPTN FN30 3.0 11/06/19 PUT 100.7421875 JPMC -0.01%
1.85 R ISWP FWD CDOR03 P 12/18/2029 -0.01%
1.9665 R ISWP FWD US0003M P 07/06/2030 -0.01%
AUD/USD 10/16/2019 UBS -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 MS -0.01%
TWD/USD 11/20/2019 GSFX -0.01%
TWD/USD 11/20/2019 RBSF -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-.7 2047-01-17 300.0 01/17/2047 CS -0.01%
0.7495 R ISWP FWD JPL6M P 08/29/2043 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.02%
JPY/USD 11/20/2019 SSBT -0.02%
2.035 R ISWP FWD US0003M P 01/22/2031 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
AUD/USD 10/16/2019 BANKAM -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02%
UKRPI P 3.3875 R 03/15/28 -0.02%
2.528 R ISWP FWD US0003M P 02/02/2024 -0.02%
JPY/USD 11/20/2019 CITI -0.02%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.02%
AUD/JPY PUT 66.00 20200214 CITI -0.02%
AUD/JPY PUT 66.00 20200214 GSFX -0.02%
1.9185 R ISWP FWD US0003M P 08/08/2052 -0.02%
OPTN FN30 3.0 10/03/19 PUT 101.71875 JPMC -0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
SWPTN 5YX20Y P 1.11125 JPY 08/24/2023 BC -0.02%
SWPTN 5YX30Y P 1.053 EUR 06/04/2024 BA -0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -0.02%
CPURNSA R 2.05 P 12/06/22 -0.02%
JPY/USD 11/20/2019 RBSF -0.02%
SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS -0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -0.02%
CPURNSA R 2.068 P 12/21/22 -0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP -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%
SWPTN 3MX5Y P 1.482 USD 12/05/2019 BC -0.02%
SWPTN 7YX10Y P 1.667 EUR 02/16/2026 JP -0.02%
IOS.FN30.350.12 P USL1M R 01/12/43 JP -0.03%
0.80 R ISWP FWD EUR006M P 02/21/2050 -0.03%
IOS.FN30.400.10 P USL1M R 01/12/41 BC -0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI -0.03%
0.49 R ISWP FWD EUR006M P 08/08/2054 -0.03%
SWPTN 10YX10Y P 1.722 GBP 02/26/2029 GS -0.03%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP -0.03%
SWPTN 5YX30Y P 1.304 EUR 06/05/2024 BA -0.03%
1.28 R ISWP CZECH INTERBANK RATES 6 MONTH P 08/09/2024 -0.03%
1.61 R ISWP CDOR03 P 08/15/2021 -0.03%
1.6625 R ISWP CZECH INTERBANK RATES 6 MONTH P 08/09/2021 -0.03%
1.58 R ISWP FWD US0003M P 12/18/2021 -0.03%
1.655 R ISWP US0003M P 09/24/2029 -0.03%
AUD/USD 10/16/2019 RBSF -0.03%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS -0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
AUD/USD 10/16/2019 WPAC -0.04%
UKRPI P 3.34 R 02/15/28 -0.04%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.04%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.04%
SWPTN 2YX5Y R 1.3 USD 08/27/2021 UB -0.04%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS -0.04%
2.25 R ISWP FWD US0003M P 07/05/2052 -0.04%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.04%
SWPTN 10YX20Y P 1.921 EUR 10/18/2028 JP -0.04%
IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.05%
UKRPI P 3.4025 R 03/15/28 -0.05%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.05%
SWPTN 5YX10Y P 0.385 EUR 09/10/2024 UB -0.05%
0.9035 R ISWP FWD EUR006M P 02/19/2050 -0.05%
1.65 R ISWP FWD US0003M P 12/18/2049 -0.05%
IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.05%
SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS -0.05%
SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA -0.05%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.05%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.05%
SWPTN 5YX10Y R 0.385 EUR 09/10/2024 UB -0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.06%
1.054 R ISWP FWD EUR006M P 06/07/2054 -0.06%
1.525 R ISWP FWD US0003M P 12/18/2029 -0.06%
IOS.FN30.500.10 P USL1M R 01/12/41 BC -0.06%
IOS.FN30.500.10 P USL1M R 01/12/41 GS -0.06%
IOS.FN30.500.10 P USL1M R 01/12/41 JP -0.06%
SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS -0.06%
SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI -0.06%
2.6785 R ISWP US0003M P 02/13/2029 -0.06%
SWPTN 2YX5Y P 1.3 USD 08/27/2021 UB -0.06%
1.484 R ISWP FWD EUR006M P 11/29/2058 -0.06%
SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS -0.06%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.06%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.07%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.07%
2.0625 R ISWP FWD US0003M P 06/22/2030 -0.07%
2.184 R ISWP FWD US0003M P 12/07/2030 -0.07%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.08%
CPTFEMU R 1.4375 P 09/15/23 -0.08%
1.2115 R ISWP FWD EUR006M P 03/12/2050 -0.08%
1.948 R ISWP CZECH INTERBANK RATES 6 MONTH P 03/19/2029 -0.08%
CPTFEMU R 1.4413 P 09/15/23 -0.08%
CPTFEMU R 1.4425 P 09/15/23 -0.08%
CPTFEMU R 1.4438 P 09/15/23 -0.08%
UKRPI R 3.4425 P 07/15/49 -0.08%
UKRPI P 3.34 R 03/15/28 -0.08%
1.267 R ISWP FWD EUR006M P 03/11/2050 -0.09%
1.051 R ISWP FWD EUR006M P 02/19/2050 -0.09%
1.113 R ISWP FWD EUR006M P 03/26/2050 -0.09%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.09%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.09%
CPTFEMU R 1.4275 P 08/15/27 -0.10%
SWPTN 5YX10Y R 2.39 USD 06/04/2024 MS -0.10%
SWPTN 10YX10Y R 1.722 GBP 02/26/2029 GS -0.10%
1.30 R ISWP FWD US0003M P 12/18/2026 -0.10%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.11%
2.793 R ISWP FWD US0003M P 11/29/2053 -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.13%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.14%
2.2685 R ISWP FWD US0003M P 07/22/2052 -0.15%
CPTFEMU R 1.4 P 07/15/27 -0.15%
1.70 R ISWP FWD US0003M P 12/18/2029 -0.15%
IOS.GII30.500.10 P USL1M R 01/12/41 JP -0.15%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.15%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.15%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.15%
IOS.FN30.400.10 P USL1M R 01/12/41 GS -0.16%
MBX.FN30.650.67 P USL1M R 01/12/38 CS -0.16%
MBX.FN30.650.67 P USL1M R 01/12/38 DE -0.16%
SWPTN 3MX5Y P 1.475 USD 12/05/2019 CI -0.16%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.17%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.21%
SWPTN 7YX10Y R 1.667 EUR 02/16/2026 JP -0.24%
CDX CDX.NA.HY.33 500.0 12/20/2024 -0.25%
IOS.FN30.350.13 P US0001M R 01/12/44 JP -0.25%
SWPTN 6YX24Y R 2.75 USD 05/22/2025 MS -0.27%
1.104 R ISWP FWD EUR006M P 03/21/2029 -0.27%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.30%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.32%
SWPTN 4YX25Y R 3.0 USD 01/31/2024 MS -0.32%
SWPTN 4YX25Y R 3.0 USD 04/04/2023 MS -0.32%
SWPTN 4YX25Y R 3.0 USD 04/12/2023 MS -0.32%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.43%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.60%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.65%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -1.09%
FNMA FN30 TBA UMBS 04.5000 10/01/2049 -1.54%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -2.34%
EURO-SCHATZ FUT DEC19 DUZ9 -2.56%
US 5YR NOTE (CBT) DEC19 FVZ9 -4.11%
EURO-BUND FUTURE DEC19 RXZ9 -6.65%
90DAY EURO$ FUTR MAR21 EDH1 -23.48%

Prior top 10 holdings

Top 10 holdings as of 08/31/19
1: Fnma Fn30 Tba Umbs 03.5000 09/01/2049 13.45%
2: Fnma Fn30 Tba Umbs 03.0000 09/01/2049 9.39%
3: Fnma Fn30 Tba Umbs 04.0000 09/01/2049 9.06%
4: Fnma Fn30 Tba Umbs 02.5000 09/01/2049 3.90%
5: Gnma Gii30 Tba 04.5000 09/01/2049 3.04%
6: Fnma Fn30 Tba Umbs 05.5000 09/01/2049 1.57%
7: Gnma Gii30 Tba 04.0000 09/01/2049 1.52%
8: United Mexican States Usd 05.5500 01/21/2045 1.07%
9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.94%
10: Hellenic Republic Regs 03.0000 02/24/2030 0.70%
Holdings represent 44.64% of portfolio
Top 10 holdings as of 07/31/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 13.29%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 8.95%
3: Fnma Fn30 Tba Umbs 02.5000 08/01/2049 3.80%
4: Gnma Gii30 Tba 04.5000 08/01/2049 3.00%
5: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 2.91%
6: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 1.54%
7: Gnma Gii30 Tba 04.0000 08/01/2049 1.50%
8: United Mexican States Usd 05.5500 01/21/2045 0.99%
9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.92%
10: Argentine Republic Usd 07.5000 04/22/2026 0.72%
Holdings represent 37.62% of portfolio
Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 13.33%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 5.49%
3: Fnma Fn30 Tba Umbs 02.5000 08/01/2049 3.83%
4: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 3.49%
5: Gnma Gii30 Tba 04.5000 07/01/2049 3.02%
6: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 1.55%
7: Gnma Gii30 Tba 04.0000 07/01/2049 1.50%
8: United Mexican States Usd 05.5500 01/21/2045 1.03%
9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
10: Cas 2016-C03 2m2 08.3044 10/25/2028 0.75%
Holdings represent 34.90% of portfolio
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

Sector Weightings as of 08/31/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 0.44% 0.01 42.82% 1.54 43.26% 1.55
Net cash 23.32% 0.00 0.00% 0.00 23.32% 0.00
Commercial MBS 8.90% 0.30 13.04% 0.29 21.94% 0.59
Agency CMO 17.55% 0.63 0.46% 0.02 18.01% 0.65
High-yield corporate bonds 16.38% 0.44 -3.90% -0.17 12.48% 0.27
Residential MBS (non-agency) 11.31% 0.48 0.00% 0.00 11.31% 0.48
Emerging-market bonds 8.51% 0.53 0.00% 0.00 8.51% 0.53
Convertible securities 4.02% 0.08 0.00% 0.00 4.02% 0.08
International Treasury/agency 3.58% 0.22 0.00% -0.05 3.58% 0.17
Investment-grade corporate bonds 2.30% 0.13 0.00% 0.00 2.30% 0.13
Bank loans 2.03% 0.09 0.00% 0.00 2.03% 0.09
Asset-backed securities (ABS) 1.46% 0.06 0.00% 0.00 1.46% 0.06
Equity investments 0.20% 0.00 0.00% 0.00 0.20% 0.00
Interest rate swaps 0.00% 0.00 0.00% 1.67 0.00% 1.67
U.S. Treasury/agency 0.00% 0.00 0.00% 0.02 0.00% 0.02

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 08/31/19

United States 85.58%
Greece 3.58%
Brazil 1.96%
Mexico 1.45%
Indonesia 1.30%
Argentina 0.82%
Ivory Coast 0.79%
Canada 0.67%
Dominican Republic 0.66%
 
Other
3.19%
Egypt 0.50%
United Kingdom 0.46%
Luxembourg 0.38%
Sweden 0.37%
Switzerland 0.29%
Ireland 0.27%
Bermuda 0.26%
Russia 0.24%
Venezuela 0.23%
Germany 0.19%
South Africa 0.15%
Israel 0.14%
Cayman Islands 0.13%
El Salvador 0.12%
Senegal 0.11%
France 0.10%
Italy 0.10%
Jamaica 0.09%
Netherlands 0.07%
South Korea 0.06%
New Zealand 0.04%
Cash and net other assets 0.01%
Taiwan -0.01%
Australia -0.02%
India -0.02%
Japan -0.12%
Czech Republic -0.14%
European Community -0.81%

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 8.00%
2 8.00%
3 8.00%
4 7.00%
5 6.00%
6 5.00%
7 4.00%
8 3.00%
9+ 0.00%