Putnam Allstate Advisor Preferred

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 09/17/19

with optional enhanced death benefits
Unit Value $19.884893 $19.306369
Unit Value Change 0.031748 0.030745

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 08/31/19

Fiscal Year End December
Asset Class Putnam Allstate Advisor Preferred
Subaccount Status Open to new investors
Number of issues 1398
Turnover (fiscal year end) 790%
Net Assets $206M
Inception Date 09/15/93

Performance

Performance as of 06/30/19

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 1.78% 5.93% 1.39% 5.32% 0.80% 4.98% 3.43%
Standardized -0.22% 3.93% -0.61% 5.32% 0.80% 4.98% 3.43%
With optional enhanced death benefit
Unit Value 1.75% 5.85% 1.23% 5.16% 0.65% 4.82% 3.27%
Standardized -0.25% 3.85% -0.77% 5.16% 0.65% 4.82% 3.27%
Actual performance
Unit Value 1.78% 5.93% 1.39% 5.32% 0.80% 4.98% 3.70%
Standardized -0.22% 3.93% -0.61% 5.32% 0.80% 4.98% 3.70%
With optional enhanced death benefit
Unit Value 1.75% 5.85% 1.23% 5.16% 0.65% 4.82% 3.55%
Standardized -0.25% 3.85% -0.77% 5.16% 0.65% 4.82% 3.55%

Annual Performance at NAV

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
52.80% 10.81% -4.76% 9.68% 6.03% -1.31% -3.95% 3.69% 5.36% -2.62%
With optional enhanced death benefit
52.56% 10.64% -4.91% 9.51% 5.87% -1.46% -4.10% 3.53% 5.20% -2.77%

Restated performance

Monthly as of 08/31/19

Unit Value -0.14%
Standardized -2.13%

YTD as of 09/17/19

Unit Value 6.76%
Standardized 4.76%

With optional enhanced death benefit

Monthly as of 08/31/19

Unit Value -0.15%
Standardized -2.15%

YTD as of 09/17/19

Unit Value 6.65%
Standardized 4.65%

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. Price 91.12
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 06/30/19

90DAY EURO$ FUTR SEP19 EDU9 23.20%
FNMA FN30 TBA UMBS 03.5000 08/01/2049 13.33%
FNMA FN30 TBA UMBS 04.0000 08/01/2049 5.49%
US 2YR NOTE (CBT) SEP19 TUU9 4.37%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 3.84%
FNMA FN30 TBA UMBS 02.5000 08/01/2049 3.83%
FNMA FN30 TBA UMBS 04.0000 07/01/2049 3.50%
GNMA GII30 TBA 04.5000 07/01/2049 3.02%
FNMA FN30 TBA UMBS 05.5000 08/01/2049 1.55%
TREASURY BILL 00.0000 08/06/2019 1.50%
GNMA GII30 TBA 04.0000 07/01/2049 1.50%
US ULTRA BOND CBT SEP19 WNU9 1.20%
UNITED MEXICAN STATES USD 05.5500 01/21/2045 1.00%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.91%
TREASURY BILL 00.0000 08/08/2019 0.88%
2.60 R ISWP FWD US0003M P 06/19/2026 0.76%
CAS 2016-C03 2M2 08.3044 10/25/2028 0.74%
ARGENTINE REPUBLIC USD 07.5000 04/22/2026 0.69%
CAS 2015-C03 1M2 07.4044 07/25/2025 0.68%
CWALT 2006-OA10 4A1 02.5944 08/25/2046 0.68%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.65%
CAS 2016-C02 1B 14.6544 09/25/2028 0.62%
CAS 2015-C04 1M2 08.1044 04/25/2028 0.56%
REPUBLIC OF INDONESIA REGS 04.7500 01/08/2026 0.55%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.55%
GNR 2016-H23 NI IO 02.2542 10/20/2066 0.53%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.52%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.50%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.50%
STACR 2016-DNA1 B 12.4044 07/25/2028 0.50%
WFRBS 2013-C15 D P/P 144A 04.6216 08/15/2046 0.48%
SPST 2019-3 A 03.1296 06/24/2020 0.48%
ARGENTINE REPUBLIC USD 06.8750 01/26/2027 0.47%
WFRBS 2012-C10 D P/P 144A 04.5864 12/15/2045 0.47%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.46%
FEDERATIVE REP OF BRAZIL USD 04.6250 01/13/2028 0.45%
JPMBB 2014-C18 D P/P 144A 04.9778 02/15/2047 0.44%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.40%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.40%
CPTFEMU P 1.71 R 07/15/37 0.38%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.38%
CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 0.38%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.38%
GNR 2018-94 AI IO 04.5000 07/20/2048 0.38%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.37%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.37%
CWALT 2006-OA7 1A1 03.0808 06/25/2046 0.37%
WFRBS 2012-C7 E P/P 144A 04.9695 06/15/2045 0.37%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.36%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.36%
CMLTI 2007-AMC3 A2D 02.7544 03/25/2037 0.35%
CAS 2016-C03 1B 14.1544 10/25/2028 0.34%
SWPTN 1YX1Y R 3.02 USD 08/28/2019 MS 0.34%
STACR 2015-DNA3 B 11.7544 04/25/2028 0.33%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.33%
FNR 2018-20 SB IO 03.8456 03/25/2048 0.32%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.32%
STACR 2016-HQA2 M3 07.5544 11/25/2028 0.32%
WAMU 2005-AR17 A1B3 02.7544 12/25/2045 0.32%
CAS 2018-C05 1B1 06.6544 01/25/2031 0.32%
HELLENIC REPUBLIC REGS 03.4500 04/02/2024 0.31%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.30%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.30%
BSCMS 2005-PWR7 B 05.2140 02/11/2041 0.30%
GSMS 2014-GC24 D P/P 144A 04.6707 09/10/2047 0.29%
TREASURY BILL 00.0000 07/16/2019 0.29%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.29%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.29%
FNR 2015-42 LS IO 03.7956 06/25/2045 0.29%
WFCM 2013-LC12 D P/P 144A 04.4208 07/15/2046 0.29%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.28%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.28%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.27%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.26%
GNR 2017-H16 JI IO 02.3674 08/20/2067 0.26%
SWPTN 1YX30Y R 1.288 EUR 02/17/2020 JP 0.26%
FNR 2015-83 IO IO 04.0000 10/25/2043 0.25%
3.073 R ISWP FWD US0003M P 03/04/2029 0.25%
STACR 2015-DNA2 B 09.9544 12/25/2027 0.25%
GNR 2018-127 IC IO 05.0000 10/20/2044 0.24%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.24%
CAS 2017-C03 1B1 07.2544 10/25/2029 0.24%
FNR 2015-30 IO IO 05.5000 05/25/2045 0.24%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.24%
PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.24%
SERVICE CORP INTL 05.3750 05/15/2024 0.24%
CPTFEMU P 1.7138 R 08/15/37 0.23%
GNR 2017-H10 MI IO 01.8617 04/20/2067 0.23%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.23%
2.776 R ISWP FWD US0003M P 03/21/2029 0.23%
GNR 2017-26 MI IO 05.0000 11/20/2039 0.23%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.23%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.23%
GNR 2018-H05 BI IO 02.3623 02/20/2068 0.23%
MSBAM 2013-C10 D P/P 144A 04.2183 07/15/2046 0.23%
FHR 4425 IO IO 04.0000 01/15/2045 0.22%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.22%
CAS 2017-C02 2B1 07.9044 09/25/2029 0.22%
BCAP 2011-RR3 3A6 04.3006 11/27/2036 0.22%
FNR 2018-86 DS IO 03.6956 12/25/2048 0.22%
GNR 2016-H09 BI IO 02.0187 04/20/2066 0.22%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.22%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.22%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.22%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.21%
GNR 2017-H08 NI IO 02.2303 03/20/2067 0.21%
FNR 2013-90 SD IO 04.1956 09/25/2043 0.21%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.21%
FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 0.21%
FHR 4604 QI IO 03.5000 07/15/2046 0.20%
RALI 2006-QO10 A1 02.5644 01/25/2037 0.20%
COMM 2013-CR9 D P/P 144A 04.3975 07/10/2045 0.20%
GNR 2018-H03 XI IO 02.3834 02/20/2068 0.20%
2.05 R ISWP FWD US0003M P 09/18/2029 0.20%
RBIT 2019-1 M5 P/P 144A 06.0000 07/25/2029 0.20%
2.647 R ISWP US0003M P 06/12/2049 0.19%
FNR 2016-96 ST IO 03.6956 12/25/2046 0.19%
JPMCC 2011-C3 F P/P 144A 05.8525 02/15/2046 0.19%
ARAB REP OF EGYPT P/P 144A 05.5770 02/21/2023 0.19%
JPMCC 2007-CB20 E P/P 144A 06.3895 02/12/2051 0.19%
CAS 2016-C01 1B 14.1544 08/25/2028 0.19%
GNR 2015-H25 AI IO 01.6143 09/20/2065 0.19%
MSBAM 2013-C11 D P/P 144A 04.4992 08/15/2046 0.19%
SAMI 2007-AR1 2A1 02.5844 01/25/2037 0.19%
3.312 R ISWP US0003M P 11/08/2048 0.19%
LNSTR 2015-3 C P/P 144A 03.2727 04/20/2048 0.19%
GNR 2016-H06 DI IO 01.7116 07/20/2065 0.19%
GNR 2016-H24 JI IO 02.1896 11/20/2066 0.19%
CSAIL 2015-C1 D P/P 144A 03.9364 04/15/2050 0.19%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.18%
TRANSDIGM INC P/P 144A 06.2500 03/15/2026 0.18%
CWALT 2005-59 1A1 02.7129 11/20/2035 0.18%
GNR 2016-H22 AI IO 02.3132 10/20/2066 0.18%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.18%
SWPTN BERM 5YX25Y R 2.75 USD 05/26/2048 MS 0.18%
GNR 2018-H05 AI IO 02.4150 02/20/2068 0.18%
PROVINCIA DE CORDOBA REGS 07.4500 09/01/2024 0.18%
CWALT 2005-38 A3 02.7544 09/25/2035 0.18%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.18%
DOMINICAN REPUBLIC REGS 06.8750 01/29/2026 0.17%
FHR 4452 QI IO 04.0000 11/15/2044 0.17%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.17%
GNR 2017-H12 QI IO 02.3632 05/20/2067 0.17%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.17%
GNR 2016-H06 CI IO 01.6309 02/20/2066 0.17%
GNR 2016-H10 AI IO 01.7727 04/20/2066 0.17%
SPRINT CORP 07.8750 09/15/2023 0.17%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.17%
DOMINICAN REPUBLIC REGS 07.4500 04/30/2044 0.17%
JPMBB 2013-C14 D P/P 144A 04.7134 08/15/2046 0.17%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.17%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.17%
GNR 2017-H09 IO IO 01.8625 04/20/2067 0.17%
GNR 2017-H06 BI IO 02.3610 02/20/2067 0.17%
CWALT 2006-OA7 1A2 03.4437 06/25/2046 0.17%
GNR 2012-128 IA IO 03.5000 10/20/2042 0.17%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.16%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.16%
BALTA 2005-8 21A1 04.4665 10/25/2035 0.16%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.16%
GNR 2017-H16 IG IO 01.7116 07/20/2067 0.16%
CFCRE 2011-C2 E P/P 144A 05.9393 12/15/2047 0.16%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.16%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.16%
GNR 2017-H16 IB IO 01.8669 08/20/2067 0.16%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.16%
TREASURY BILL 00.0000 08/13/2019 0.16%
WAMU 2005-AR10 1A3 04.1000 09/25/2035 0.16%
GNR 2017-H02 BI IO 02.3484 01/20/2067 0.16%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.15%
JPMBB 2014-C18 E P/P 144A 04.4778 02/15/2047 0.15%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.15%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.15%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.15%
GNR 2016-H02 HI IO 01.8883 01/20/2066 0.15%
WAMU 2005-AR19 A1C4 02.8044 12/25/2045 0.15%
GNR 2017-H11 DI IO 01.9268 05/20/2067 0.15%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.15%
CWALT 2006-OA10 3A1 02.5944 08/25/2046 0.15%
GNR 2016-75 EI IO 03.5000 08/20/2045 0.15%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.14%
OMIR 2017-1A B1 P/P 144A 08.1544 04/25/2027 0.14%
GNR 2015-H23 BI IO 01.7384 09/20/2065 0.14%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.14%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.14%
FNR 2013-107 SB IO 03.5456 02/25/2043 0.14%
GNR 2015-H24 AI IO 01.8895 09/20/2065 0.14%
REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 0.14%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.14%
UNITYMEDIA HESSEN / NRW REGS 06.2500 01/15/2029 0.14%
AES CORP/THE 05.5000 04/15/2025 0.14%
CCO HOLDINGS LLC P/P 144A 05.3750 06/01/2029 0.14%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.14%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.14%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.14%
FHR 4580 ID IO 03.5000 08/15/2045 0.14%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.14%
GNR 2016-H16 EI IO 02.2306 06/20/2066 0.14%
JPMCC 2013-LC11 D 04.3070 04/15/2046 0.14%
IVORY COAST REGS 05.3750 07/23/2024 0.13%
GNR 2014-119 SA IO 03.2171 08/20/2044 0.13%
GNR 2017-H11 TI IO 02.3921 04/20/2067 0.13%
GSAA 2006-8 2A2 02.5844 05/25/2036 0.13%
IVORY COAST REGS 06.1250 06/15/2033 0.13%
MSRR 2010-R4 4B 03.2458 02/26/2037 0.13%
TTM TECHNOLOGIES INC P/P 144A 05.6250 10/01/2025 0.13%
BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 0.13%
GNR 2016-42 IO IO 05.0000 02/20/2046 0.13%
IVORY COAST P/P 144A 05.2500 03/22/2030 0.13%
TRAVELPORT TLB L+500 07.5412 03/18/2026 0.13%
GNR 2016-H03 DI IO 02.0041 12/20/2065 0.13%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.13%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.13%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.13%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.13%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.13%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.12%
GCP APPLIED TECH P/P 144A 05.5000 04/15/2026 0.12%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.12%
GNR 2016-H14 AI IO 02.0710 06/20/2066 0.12%
DBALT 2006-AR4 A2 02.5944 12/25/2036 0.12%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.12%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.12%
SPLUNK INC P/P 144A CV 01.1250 09/15/2025 0.12%
REPUBLIC OF EL SALVADOR REGS 05.8750 01/30/2025 0.12%
SWPTN 1YX2Y R 0.025 EUR 08/28/2019 GS 0.12%
GNR 2016-H03 AI IO 02.1154 01/20/2066 0.12%
REPUBLIC OF VENEZUELA REGS 08.2500 10/13/2024 0.12%
SCRT 2019-2 M 04.7500 08/25/2058 0.12%
CALPINE CORPORATION 05.7500 01/15/2025 0.12%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.12%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.12%
CAS 2018 - C01 1B1 05.9544 07/25/2030 0.12%
GNR 2015-H25 EI IO 01.8589 10/20/2065 0.12%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.12%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.12%
NAVISTAR INTL TLB L+350 05.8900 11/06/2024 0.12%
BMIR 2017-1 B1 P/P 144A 07.1544 10/25/2027 0.11%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.11%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.11%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.11%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.11%
CWALT 2006-OA10 2A1 02.5944 08/25/2046 0.11%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.11%
UNITED MEXICAN STATES USD 04.0000 10/02/2023 0.11%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.11%
AKAMAI TECH CV 00.1250 05/01/2025 0.11%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.11%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.11%
GNR 2016-104 GI IO 04.5000 01/20/2046 0.11%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.11%
GNR 2013-H08 CI IO 01.6600 02/20/2063 0.11%
GNR 2014-H21 BI IO 01.5448 10/20/2064 0.11%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.11%
CEQUEL COM & CAP P/P 144A 07.5000 04/01/2028 0.11%
FIRST DATA CORP P/P 144A 05.7500 01/15/2024 0.11%
PRICELINE GRO CV 00.9000 09/15/2021 0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.10%
FHR 4678 MS IO 05.1072 04/15/2047 0.10%
FNR 2016-102 JI IO 03.5000 02/25/2046 0.10%
GNR 2014-44 IA IO 03.5000 05/20/2028 0.10%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.10%
ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 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 AI IO 04.5000 03/20/2040 0.10%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 0.10%
COMM 2012-CR3 E P/P 144A 04.9105 10/15/2045 0.10%
PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 0.10%
FORTIVE CORP P/P 144A CV 00.8750 02/15/2022 0.10%
GNR 2015-H10 BI IO 02.0523 04/20/2065 0.10%
STAPLES INC P/P 144A 07.5000 04/15/2026 0.10%
ARAB REPUBLIC OF EGYPT REGS 06.1250 01/31/2022 0.10%
CAS 2019-R03 1B1 06.5044 09/25/2031 0.10%
FHR 3065 DC 12.6773 03/15/2035 0.10%
STACR 2019-DNA2 M2 04.8544 03/25/2049 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%
CAS 2019-R04 2B1 07.6544 06/25/2039 0.10%
GRAY TELEVISION INC P/P 144A 07.0000 05/15/2027 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 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%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.10%
NAVISTAR INTL CORP P/P 144A 06.6250 11/01/2025 0.10%
PENSKE AUTO GRP INC 05.7500 10/01/2022 0.10%
SPRINT CORP TLB L+300 05.4375 02/03/2024 0.10%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.10%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.10%
LEVEL 3 FINANCING INC 05.2500 03/15/2026 0.10%
PALO ALTO NET P/P 144A CV 00.7500 07/01/2023 0.10%
CCMFC 2006-4A A2 02.5844 11/25/2047 0.10%
CWALT 2006-24CB A13 02.7544 08/01/2036 0.10%
GNR 2016-H24 CI IO 01.6950 10/20/2066 0.10%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.10%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.10%
DEXCOM INC P/P 144A CV 00.7500 12/01/2023 0.10%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.10%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.10%
SWPTN 1YX2Y R -0.065 EUR 08/28/2019 GS 0.10%
AKER BP ASA P/P 144A 05.8750 03/31/2025 0.09%
INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 0.09%
LIVE NATION CV 02.5000 03/15/2023 0.09%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.09%
GNR 2016-H17 KI IO 01.9988 07/20/2066 0.09%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.09%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.09%
CWALT 2005-38 A1 04.0037 09/25/2035 0.09%
DISH NETWORK CV 03.3750 08/15/2026 0.09%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.09%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.09%
MGM RESORTS INTL 06.6250 12/15/2021 0.09%
TEVA PHARMACEUTICALS NE USD 06.0000 04/15/2024 0.09%
GOLDEN NUGGET INC P/P 144A 06.7500 10/15/2024 0.09%
SPRINT CORP 07.2500 09/15/2021 0.09%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.09%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.09%
DOMINICAN REPUBLIC REGS 07.5000 05/06/2021 0.09%
GCI LIBERTY I P/P 144A CV 01.7500 09/30/2046 0.09%
GMAC CAPITAL TRUST I PCT 08.3030 0.09%
FHR 4077 IK IO 05.0000 07/15/2042 0.09%
FHR 4122 TI IO 04.5000 10/15/2042 0.09%
MSC 2008-T29 F P/P 144A 06.2883 01/11/2043 0.09%
ON SEMICONDUC CV 01.6250 10/15/2023 0.09%
SWPTN 10YX10Y R 2.795 USD 12/20/2027 JP 0.09%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.09%
WFMBS 2006-AR5 1A1 05.2076 04/25/2036 0.09%
FHR 4530 TI IO 04.0000 11/15/2045 0.09%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.09%
PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 0.09%
WFMBS 2006-AR2 1A1 04.9486 03/25/2036 0.09%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.08%
IAC FIN 2 P/P 144A CV 00.8750 06/15/2026 0.08%
JPALT 2007-A2 12A1 02.6044 06/25/2037 0.08%
SWPTN 10YX10Y R 2.7575 USD 12/20/2027 JP 0.08%
3.05125 R ISWP FWD US0003M P 03/07/2028 0.08%
JAZZ INVT I LTD USD 01.5000 08/15/2024 0.08%
TWITTER INC CV 01.0000 09/15/2021 0.08%
ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 0.08%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.08%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.08%
PLURALSIGHT P/P 144A CV 00.3750 03/01/2024 0.08%
RBS GLOBAL/REXNO P/P 144A 04.8750 12/15/2025 0.08%
SWPTN 10YX10Y R 2.988 USD 02/26/2029 GS 0.08%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.08%
CHEGG INC P/P 144A CV 00.1250 03/15/2025 0.08%
GSR 2007-OA1 2A3A 02.7144 05/25/2037 0.08%
TENET HEALTHCARE 06.0000 10/01/2020 0.08%
BIG RVR STL/FIN P/P 144A 07.2500 09/01/2025 0.08%
FNR 2006-8 HP 15.7506 03/25/2036 0.08%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.08%
IRON MOUNTAIN INC P/P 144A 04.8750 09/15/2027 0.08%
LIBERTY MEDIA CV 01.3750 10/15/2023 0.08%
MWST 2018-W1 A 03.2544 11/25/2051 0.08%
PULTEGROUP INC 05.5000 03/01/2026 0.08%
RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 0.08%
CAS 2017-C05 1B1 06.0044 01/25/2030 0.08%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.08%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.08%
NETFLIX INC. 05.8750 11/15/2028 0.08%
GNR 2016-37 IW IO 04.5000 02/20/2046 0.08%
LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 0.08%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.08%
CAS 2015-C03 2M2 07.4044 07/25/2025 0.08%
CENTENE CORP 06.1250 02/15/2024 0.08%
CRC ESCROW ISSUER LL P/P 144A 05.2500 10/15/2025 0.08%
FNR 2017-7 JI IO 04.0000 02/25/2047 0.08%
NRG ENERGY CV 02.7500 06/01/2048 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%
3.11 R ISWP FWD US0003M P 02/27/2028 0.08%
CIT GROUP INC 05.0000 08/01/2023 0.08%
GNR 2017-63 PI IO 04.0000 12/20/2043 0.08%
IHEARTCOMMUNICATIONS INC 08.3750 05/01/2027 0.08%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.08%
FHR 4024 PI IO 04.5000 12/15/2041 0.08%
SS&C TECH INC P/P 144A 05.5000 09/30/2027 0.08%
WORKDAY INC CV 00.2500 10/01/2022 0.08%
AKER BP ASA P/P 144A 06.0000 07/01/2022 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%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.08%
REPUBLIC OF VENEZUELA REGS 09.0000 05/07/2023 0.08%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.08%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.07%
BAUSCH HLTH COS INC P/P 144A 06.1250 04/15/2025 0.07%
CAS 2015-C04 2M2 07.9544 04/25/2028 0.07%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.07%
GNR 2016-48 MI IO 03.5000 04/16/2046 0.07%
GREAT LAKES D&D 08.0000 05/15/2022 0.07%
STARFRUIT US/STAR FI P/P 144A 08.0000 10/01/2026 0.07%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.07%
HVMLT 2005-2 1A 02.9103 05/19/2035 0.07%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.07%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.07%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.07%
MATCH GROUP INC P/P 144A 05.0000 12/15/2027 0.07%
STEVENS HLDG CO INC P/P 144A 06.1250 10/01/2026 0.07%
DIAMONDBACK ENERGY INC 05.3750 05/31/2025 0.07%
FHR 4000 LI IO 04.0000 02/15/2042 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.07%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.07%
PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 0.07%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.07%
CWALT 2007-OH1 A1D 02.6144 04/25/2047 0.07%
HCA INC 05.2500 06/15/2026 0.07%
GNR 2016-H14 IO IO 01.6844 06/20/2066 0.07%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.07%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.07%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.07%
GNR 2015-H08 CI IO 01.7934 03/20/2065 0.07%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.07%
T-MOBILE USA INC 06.3750 03/01/2025 0.07%
BAUSCH HLTH COS INC P/P 144A 07.0000 03/15/2024 0.07%
CENTENE CORP 04.7500 05/15/2022 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.07%
TELADOC INC CV 01.3750 05/15/2025 0.07%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.07%
EURONET WORLD P/P 144A CV 00.7500 03/15/2049 0.07%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.07%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.07%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.07%
JO-ANN STORES 2NDL L+925 11.7272 05/21/2024 0.07%
SERVICE CORP INTL 05.1250 06/01/2029 0.07%
VISTRA OPERATIONS CO P/P 144A 05.5000 09/01/2026 0.07%
ZENDESK INC CV 00.2500 03/15/2023 0.07%
ASCEND LEARNING TLB L+300 05.4024 07/12/2024 0.06%
FHR 4403 CI IO 04.0000 10/15/2044 0.06%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.06%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.06%
MWST 2019-1 A 03.2044 06/25/2052 0.06%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.06%
HESS INFRASTRUCTURE P/P 144A 05.6250 02/15/2026 0.06%
LIONS GATE CAP HOLD P/P 144A 05.8750 11/01/2024 0.06%
VIRGIN MEDIA SECURED FIN REGS 05.1250 01/15/2025 0.06%
BOYD GAMING CORPORATION 06.0000 08/15/2026 0.06%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.06%
PQ CORP P/P 144A 05.7500 12/15/2025 0.06%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.06%
CAESARS ENTERTAIN CORP CV 05.0000 10/01/2024 0.06%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.06%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.06%
FNR 2010-35 SG IO 03.9956 04/25/2040 0.06%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.06%
IHEARTMEDIA TL L+400 06.5790 05/01/2026 0.06%
INGEVITY CORP P/P 144A 04.5000 02/01/2026 0.06%
MARRIOTT VAC CV 01.5000 09/15/2022 0.06%
MILLER HOMES GRP HLDS REGS 05.5000 10/15/2024 0.06%
TOPBUILD CORP P/P 144A 05.6250 05/01/2026 0.06%
WAYFAIR INC P/P 144A CV 01.1250 11/01/2024 0.06%
BAUSCH HLTH AMERICAS P/P 144A 08.5000 01/31/2027 0.06%
ENDEAVOR ENERGY P/P 144A 05.7500 01/30/2028 0.06%
GNR 2015-69 IK IO 03.5000 03/20/2038 0.06%
II-VI INC CV 00.2500 09/01/2022 0.06%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.06%
NUANCE COMM CV 01.2500 04/01/2025 0.06%
PROVINCIA DE BUENOS P/P 54.1681 05/31/2022 0.06%
ARGENTINE REPUBLIC USD 06.6250 07/06/2028 0.06%
DOCUSIGN INC P/P 144A CV 00.5000 09/15/2023 0.06%
FNR 2010-140 GS IO 03.5956 07/25/2039 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%
REFINITIV TLB L+375 06.1524 10/01/2025 0.06%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.06%
BAUSCH HLTH AMERICAS P/P 144A 09.2500 04/01/2026 0.06%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.06%
STARWOOD PROP TR 04.7500 03/15/2025 0.06%
ANTERO RESOURCES CORP 05.0000 03/01/2025 0.06%
GNMA GII30 BO3369 05.0000 06/20/2049 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.06%
GNR 2013-129 SN IO 03.7671 09/20/2043 0.06%
GREIF INC P/P 144A 06.5000 03/01/2027 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 0.06%
US CONCRETE INC 06.3750 06/01/2024 0.06%
1.50 R ISWP FWD NOKOIB6M P 09/18/2024 0.06%
2.04 R ISWP AUDBB6M P 05/06/2029 0.06%
CAS 2016-C05 2B 13.1544 01/25/2029 0.06%
EQUINIX INC 05.3750 05/15/2027 0.06%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 0.06%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.06%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.06%
BAUSCH HEALTH COS INC REGS 04.5000 05/15/2023 0.06%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.06%
MHL 2005-3 M2 03.1994 08/25/2035 0.06%
SQUARE INC CV 00.5000 05/15/2023 0.06%
TENDAM BRANDS SAU REGS 05.0000 09/15/2024 0.06%
ALTICE LUXEMBOURG SA REGS 06.2500 02/15/2025 0.06%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.06%
DIGICEL LTD P/P 144A 06.7500 03/01/2023 0.06%
FHR 3072 SM 04.2533 11/15/2035 0.06%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.06%
NORDEX SE REGS 06.5000 02/01/2023 0.06%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.06%
ZILLOW GROUP INC CV 01.5000 07/01/2023 0.06%
FHR 4546 TI IO 04.0000 12/15/2045 0.05%
INPHI CORP CV 00.7500 09/01/2021 0.05%
NEW RELIC INC CV 00.5000 05/01/2023 0.05%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.05%
SWPTN 10YX20Y R 1.921 EUR 10/18/2028 JP 0.05%
SWPTN 1MX30Y R 2.29 USD 06/28/2019 JP 0.05%
SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.05%
ALLEGHENY TECHNOLOGIES INC 07.8750 08/15/2023 0.05%
BIOMARIN PHARMA CV 00.5990 08/01/2024 0.05%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.05%
DISH DBS CORP 05.8750 11/15/2024 0.05%
GNMA GII30 BN1506 04.5000 05/20/2049 0.05%
INDIGO NATURAL P/P 144A 06.8750 02/15/2026 0.05%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.05%
SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP 0.05%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.05%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.05%
LIBERTY MEDIA CV 01.0000 01/30/2023 0.05%
NOVAFIVES REGS 05.0000 06/15/2025 0.05%
PRECISION DRILL P/P 144A 07.1250 01/15/2026 0.05%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.05%
SWPTN 10YX10Y P 2.795 USD 12/20/2027 JP 0.05%
T-MOBILE USA INC 04.7500 02/01/2028 0.05%
WPX ENERGY INC 05.7500 06/01/2026 0.05%
BERRY GLOBAL INC 05.5000 05/15/2022 0.05%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.05%
FNR 2007-53 SP 15.3839 06/25/2037 0.05%
JPMORGAN CHAS P/P 144A CV 00.2500 05/01/2023 0.05%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.05%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.05%
PANTHER BF AGGREGA P/P 144A 06.2500 05/15/2026 0.05%
SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS 0.05%
2.86 R ISWP US0003M P 01/22/2020 0.05%
APERGY CORP 06.3750 05/01/2026 0.05%
ATOTECH TLB1 L+300 05.3299 01/31/2024 0.05%
CORNERSTONE BUILDING P/P 144A 08.0000 04/15/2026 0.05%
GFL ENVIRONMENTAL TLB L+300 05.4024 05/31/2025 0.05%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.05%
GUIDEWIRE SOFTWARE INC CV 01.2500 03/15/2025 0.05%
HCA INC 05.0000 03/15/2024 0.05%
HOUSTON FUEL TLB L+275 05.2500 06/26/2025 0.05%
MICROCHIP TEC CV 01.6250 02/15/2027 0.05%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.05%
SPRINGLEAF FINANCE CORP 06.8750 03/15/2025 0.05%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.05%
TALBOTS TLB L+700 09.3299 11/28/2022 0.05%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.05%
BAUSCH HLTH COS INC P/P 144A 09.0000 12/15/2025 0.05%
BERRY GLOBAL INC 05.1250 07/15/2023 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.05%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.05%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.05%
INSULET CORP CV 01.3750 11/15/2024 0.05%
LOUISIANA-PACIFIC CORPORATION 04.8750 09/15/2024 0.05%
MEREDITH CORP 06.8750 02/01/2026 0.05%
NABORS INDUSTRIES INC. 05.7500 02/01/2025 0.05%
NATIONSTAR MTG P/P 144A 09.1250 07/15/2026 0.05%
NRG ENERGY INC 06.6250 01/15/2027 0.05%
NRG ENERGY INC P/P 144A 05.2500 06/15/2029 0.05%
RINGCENTRAL CV 00.0000 03/15/2023 0.05%
STACR 2019-DNA1 M2 05.0544 01/25/2049 0.05%
SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.05%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.05%
CPG INTL TL L+375 05.9332 05/05/2024 0.05%
EXACT SCIENCES CORP CV 00.3750 03/15/2027 0.05%
FNR 2005-122 SE 14.6847 11/25/2035 0.05%
GNMA GII30 DU4515 05.0000 05/20/2049 0.05%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.05%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.05%
WERNER TLB L+400 06.3299 07/24/2024 0.05%
GENON 939CER907 0.05%
GLP CAPITAL LP / FIN II 05.2500 06/01/2025 0.05%
GNMA GII30 BO4634 05.0000 06/20/2049 0.05%
BERRY GLOBAL TLU L+250 5.02189 05/17/2026 0.05%
ENTERCOM MEDIA CORP P/P 144A 06.5000 05/01/2027 0.05%
LIBERTY EXPEDIA HOLD INC 144A 0.05%
LIONS GATE CAP HOLD P/P 144A 06.3750 02/01/2024 0.05%
VIAVI SOLUT CV 01.7500 06/01/2023 0.05%
WYNDHAM HOTELS & RE P/P 144A 05.3750 04/15/2026 0.05%
2.536 R ISWP FWD US0003M P 12/02/2023 0.04%
ALBERTSON'S TLB7 L+300 05.4024 11/16/2025 0.04%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.04%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.04%
ASURION TLB7 L+300 05.4024 11/03/2024 0.04%
ENVESTNET INC CV 01.7500 12/15/2019 0.04%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.04%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.04%
NETFLIX INC 04.8750 04/15/2028 0.04%
PANTHER BF AGGRE 2 P/P 144A 08.5000 05/15/2027 0.04%
SWPTN 10WX10Y P 2.011 USD 08/09/2019 GS 0.04%
WIX LTD P/P 144A 00.0000 07/01/2023 0.04%
1.354 R ISWP FWD EUR006M P 02/19/2050 0.04%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.04%
CNO FINANCIAL GROUP INC 05.2500 05/30/2029 0.04%
COLONY STARWO CV 03.5000 01/15/2022 0.04%
FIRST DATA TL L+200 04.4899 04/26/2024 0.04%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 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%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.04%
OASIS PETROLEUM INC P/P 144A 06.2500 05/01/2026 0.04%
8X8 INC P/P 144A CV 00.5000 02/01/2024 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%
BAUSCH HLTH COS INC P/P 144A 07.2500 05/30/2029 0.04%
BLACKSTONE MORTGAGE TR CV 04.7500 03/15/2023 0.04%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.04%
CIT GROUP INC. 05.0000 08/15/2022 0.04%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.04%
ENTERCOM MEDIA CORP P/P 144A 07.2500 11/01/2024 0.04%
FTI CONSULTIN P/P 144A CV 02.0000 08/15/2023 0.04%
GNMA GII30 BN1509 05.0000 05/20/2049 0.04%
HUSKY TLB L+300 05.4024 03/28/2025 0.04%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.04%
OSHKOSH CORP 05.3750 03/01/2025 0.04%
PACIRA BIOSCIENCES INC CV 02.3750 04/01/2022 0.04%
PAR PHARMA INC P/P 144A 07.5000 04/01/2027 0.04%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.04%
1.1575 R ISWP SES3M P 11/13/2027 0.04%
1.16 R ISWP SES3M P 11/13/2027 0.04%
SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA 0.04%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.04%
TARGA RESOURCES PART 05.0000 01/15/2028 0.04%
THE AES CORPORATION 04.8750 05/15/2023 0.04%
ARBY'S TLB L+325 05.6824 02/05/2025 0.04%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.04%
GFL ENVIRONMENTAL P/P 144A 07.0000 06/01/2026 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
GOLDEN NUGGET INC P/P 144A 08.7500 10/01/2025 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.FN30.650.67 R USL1M P 01/12/38 BC 0.04%
NEWELL BRANDS INC 04.2000 04/01/2026 0.04%
SUPERNUS PH CV 00.6250 04/01/2023 0.04%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.04%
WRIGHT MEDICA CV 01.6250 06/15/2023 0.04%
1.125 R ISWP SES3M P 11/10/2027 0.04%
1.13 R ISWP SES3M P 11/10/2027 0.04%
1.343 R ISWP FWD EUR006M P 11/29/2058 0.04%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.04%
CBRE SERVICES INC 05.2500 03/15/2025 0.04%
CHESAPEAKE EN CV 05.5000 09/15/2026 0.04%
CPURNSA P 2.19 R 12/06/27 0.04%
CPURNSA P 2.1939 R 12/21/27 0.04%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 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%
LUMENTUM HOLD CV 00.2500 03/15/2024 0.04%
NRG ENERGY INC. 07.2500 05/15/2026 0.04%
OASIS PETROLEUM INC CV 02.6250 09/15/2023 0.04%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.04%
SWPTN 10YX10Y P 2.988 USD 02/26/2029 GS 0.04%
TENNANT CO 05.6250 05/01/2025 0.04%
TRANSOCEAN INC CV 00.5000 01/30/2023 0.04%
CONMED CORP P/P 144A CV 02.6250 02/01/2024 0.04%
FNR 2008-24 SP 14.4673 02/25/2038 0.04%
GNMA GII30 BJ9611 04.5000 05/20/2049 0.04%
GNR 2015-H26 CI IO 00.4564 08/20/2065 0.04%
HCA INC. 07.5000 02/15/2022 0.04%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.04%
LEVEL 3 FINANCING INC 05.6250 02/01/2023 0.04%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.04%
TRANSOCEAN SENTR P/P 144A 05.3750 05/15/2023 0.04%
VERINT SYSTEMS INC CV 01.5000 06/01/2021 0.04%
2.1825 R ISWP AUDBB6M P 03/20/2029 0.04%
AVAYA TLB L+425 06.7226 12/15/2024 0.04%
CHESAPEAKE ENERGY CORPORATION 08.0000 01/15/2025 0.04%
FHR 4000 PI IO 04.5000 01/15/2042 0.04%
GNR 2013-183 JI IO 04.5000 02/16/2043 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 0.04%
J2 GLOBAL COMM CV 03.2500 06/15/2029 0.04%
QORVO INC 05.5000 07/15/2026 0.04%
SWPTN 5YX20Y R 1.11125 JPY 08/24/2023 BC 0.04%
TRANSOCEAN PONTUS LT P/P 144A 06.1250 08/01/2025 0.04%
1.02 R ISWP TELBOR03 P 03/20/2024 GS 0.04%
BEACON ROOFING SUPP P/P 144A 04.8750 11/01/2025 0.04%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.04%
GNMA GII30 BN2618 04.5000 05/20/2049 0.04%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 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%
NEUROCRINE CV 02.2500 05/15/2024 0.04%
ORYX TLB L+400 06.4360 05/09/2026 0.04%
GOLDEN NUGGET TL L+275 05.1488 10/04/2023 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.04%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.04%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.04%
AMSTED INDUSTRIES P/P 144A 05.6250 07/01/2027 0.04%
CCO HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 0.04%
CINEWORLD TLB L+225 04.6885 02/28/2025 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%
ITRON INC P/P 144A 05.0000 01/15/2026 0.04%
NUTANIX INC CV 00.0000 01/15/2023 0.04%
OPTN FN30 3.0 08/06/19 CALL 100.8125 JPMC 0.04%
REGENCY ENERGY P 04.5000 11/01/2023 0.04%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.04%
SM ENERGY CO 06.1250 11/15/2022 0.04%
SWPTN 5WX10Y R 1.965 USD 07/15/2019 BC 0.04%
TRANSDIGM INC 06.3750 06/15/2026 0.04%
CIT GROUP INC. 05.2500 03/07/2025 0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.03%
ENCORE CAPITA CV 03.2500 03/15/2022 0.03%
FHR 3249 PS 14.3740 12/15/2036 0.03%
FNR 2005-83 QP 11.1426 11/25/2034 0.03%
ROBERTSHAW US HOLDING L+350 06.0000 02/28/2025 0.03%
UKRPI P 3.665 R 12/15/28 0.03%
ANTERO MIDSTREAM P/P 144A 05.7500 01/15/2028 0.03%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.03%
CAS 2015-C02 2M2 06.4044 05/25/2025 0.03%
CAS 2016-C06 1M2 06.6544 04/25/2029 0.03%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.03%
ELDORADO RESORTS INC 07.0000 08/01/2023 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%
GNR 2013-99 VS IO 03.7058 07/16/2043 0.03%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 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%
NRG ENERGY INC P/P 144A 04.4500 06/15/2029 0.03%
RAPID7 INC P/P 144A CV 01.2500 08/01/2023 0.03%
RESIDEO FUNDING INC P/P 144A 06.1250 11/01/2026 0.03%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.03%
0.354 R ISWP FWD EUR006M P 09/21/2021 0.03%
CALPINE CORP P/P 144A 05.2500 06/01/2026 0.03%
CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 0.03%
CINEMARK USA INC 04.8750 06/01/2023 0.03%
CLEAN HARBORS INC P/P 144A 04.8750 07/15/2027 0.03%
FHS 304 C37 IO 03.5000 12/15/2027 0.03%
GNMA GII30 BO4627 04.5000 06/20/2049 0.03%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.03%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.03%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.03%
AIR TRANSPORT CV 01.1250 10/15/2024 0.03%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.03%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 0.03%
FNS 378 19 IO 05.0000 06/25/2035 0.03%
FRONTIER COMM P/P 144A 08.5000 04/01/2026 0.03%
MESSER INDUST TLB L+250 04.9892 03/01/2026 0.03%
REVLON CONS TLB L+350 06.0469 09/07/2023 0.03%
ROBERTSHAW TL 2L L+800 10.4375 02/28/2026 0.03%
VISTRA ENERGY CORP P/P 144A 08.1250 01/30/2026 0.03%
CALIFORNIA RESOURC TL L+475 07.1524 12/31/2022 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.03%
COMMSCOPE INC P/P 144A 06.0000 03/01/2026 0.03%
CROWN AMER/CAP 04.7500 02/01/2026 0.03%
IRONWOOD PHAR CV 02.2500 06/15/2022 0.03%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.03%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.03%
TMX FIN LLC/TITLEMAX P/P 144A 11.1250 04/01/2023 0.03%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.03%
VISTRA OPERATION P/P 144A 05.0000 07/31/2027 0.03%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.03%
ENSCO ROWAN PLC USD 07.7500 02/01/2026 0.03%
FIVE9 INC CV 00.1250 05/01/2023 0.03%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.03%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.03%
NOK/USD 09/18/2019 GSFX 0.03%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.03%
TABULA RASA H P/P 144A CV 01.7500 02/15/2026 0.03%
VISTRA OPERATIONS CO P/P 144A 05.6250 02/15/2027 0.03%
2.569 R ISWP FWD US0003M P 06/12/2049 0.03%
AVAYA HOLDINGS CORP 0.03%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.03%
CLEAR CHANNEL OUTDOOR HOLDIN 0.03%
JELD-WEN INC P/P 144A 04.8750 12/15/2027 0.03%
VONAGE HLDGS P/P 144A CV 01.7500 06/01/2024 0.03%
ENERGY TRANSFER OPERATNG 05.5000 06/01/2027 0.03%
GATES GLOBAL TLB L+275 05.1524 03/31/2024 0.03%
ILLUMINA INC P/P 144A CV 00.0000 08/15/2023 0.03%
INTELSAT SA P/P 144A 04.5000 06/15/2025 0.03%
NETFLIX INC P/P 144A 06.3750 05/15/2029 0.03%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.03%
SCIENTIFIC GAMES INT P/P 144A 05.0000 10/15/2025 0.03%
TENET HEALTHCARE 04.6250 07/15/2024 0.03%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.03%
CARBONITE INC CV 02.5000 04/01/2022 0.03%
FNR 2006-62 PS 25.4737 07/25/2036 0.03%
FNR 2011-98 AI IO 03.5000 11/25/2037 0.03%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.03%
INTELSAT S.A. TLB3 L+375 06.2291 11/27/2023 0.03%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.03%
MERCER INTL INC USD 05.5000 01/15/2026 0.03%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.03%
QUOTIENT TECH CV 01.7500 12/01/2022 0.03%
SPRINGLEAF FINANCE CORP 07.1250 03/15/2026 0.03%
AES CORP/THE 04.5000 03/15/2023 0.02%
AES CORP/THE 05.1250 09/01/2027 0.02%
AIR METHODS TLB L+350 05.8299 04/21/2024 0.02%
BWAY CORP TLB L+325 05.8535 04/03/2024 0.02%
CENTENE ESCROW I CO P/P 144A 05.3750 06/01/2026 0.02%
CHEMOURS CO 07.0000 05/15/2025 0.02%
CINEMARK USA INC 05.1250 12/15/2022 0.02%
GNMA GII30 BN7073 04.5000 05/20/2049 0.02%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.02%
JO-ANN STORES TL L+500 07.5915 10/16/2023 0.02%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.02%
TRANSOCEAN POSEIDON P/P 144A 06.8750 02/01/2027 0.02%
AUD/JPY PUT 73.00 20190917 HSBCB 0.02%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.02%
FHR 4210 PI IO 03.0000 12/15/2041 0.02%
FREEPORT-MCMORAN INC 05.4500 03/15/2043 0.02%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.02%
IRON MOUNTAIN INC P/P 144A 05.2500 03/15/2028 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
SWPTN 4MX10Y P 2.265 USD 10/03/2019 MS 0.02%
SWPTN 5YX30Y R 1.053 EUR 06/04/2024 BA 0.02%
TARGA RESOURCES PART P/P 144A 06.5000 07/15/2027 0.02%
1.65 R ISWP FWD CDOR03 P 09/18/2024 0.02%
BAUSCH HLTH COS INC P/P 144A 06.5000 03/15/2022 0.02%
BAUSCH HLTH COS INC P/P 144A 07.0000 01/15/2028 0.02%
BERRY GLOBAL ESCR P/P 144A 05.6250 07/15/2027 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CREDIT ACCEPTANC P/P 144A 06.6250 03/15/2026 0.02%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
P/P 144A 06.8750 08/15/2026 0.02%
SESI LLC 07.1250 12/15/2021 0.02%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.02%
SWPTN 5YX30Y R 1.304 EUR 06/05/2024 BA 0.02%
BERRY GLOBAL ESCRO P/P 144A 04.8750 07/15/2026 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
GNMA GII30 BN1507 05.0000 05/20/2049 0.02%
GNR 2019-78 SJ IO 03.6390 06/20/2049 0.02%
GO DADDY OPCO/FINCO P/P 144A 05.2500 12/01/2027 0.02%
ISTAR INC 06.0000 04/01/2022 0.02%
ISTAR INC. 05.2500 09/15/2022 0.02%
NOK/USD 09/18/2019 BANKAM 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%
2.806 R ISWP FWD US0003M P 03/05/2030 0.02%
CHS/COMMUNITY HEALTH P/P 144A 08.0000 03/15/2026 0.02%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 0.02%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.02%
GNMA GII30 BN1508 05.0000 05/20/2049 0.02%
NINE ENERGY SERVICE P/P 144A 08.7500 11/01/2023 0.02%
TRONOX FINANCE PLC P/P 144A 05.7500 10/01/2025 0.02%
VOCERA COMM CV 01.5000 05/15/2023 0.02%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
FHR 3408 EK 16.1589 04/15/2037 0.02%
GENON ENERGY/NRG AMER 09.0438 12/01/2023 0.02%
GNMA GII30 BN1510 05.5000 05/20/2049 0.02%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.02%
LIVEPERSON INC P/P 144A CV 00.7500 03/01/2024 0.02%
MATTAMY GROUP CORP P/P 144A 06.5000 10/01/2025 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%
WELLCARE HLTH PLANS P/P 144A 05.3750 08/15/2026 0.02%
ALLEGHENY TECHNOLOGIES 05.9500 01/15/2021 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
CHEMOURS CO 05.3750 05/15/2027 0.02%
CPURNSA P 2.05 R 07/05/27 0.02%
GNMA GII30 BN3999 04.5000 05/20/2049 0.02%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.02%
MERCER INTL INC USD 07.7500 12/01/2022 0.02%
MGM GROWTH/MGM FINANCE 04.5000 01/15/2028 0.02%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.02%
REDFIN CORP CV 01.7500 07/15/2023 0.02%
SWPTN 5WX30Y R 2.3025 USD 07/15/2019 GS 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
2.32 R ISWP FWD US0003M P 02/09/2024 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%
CHESAPEAKE ENERGY CORP 08.0000 06/15/2027 0.02%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 0.02%
FREEDOM MTGE CORP P/P 144A 08.1250 11/15/2024 0.02%
GNMA GII30 BM1987 04.5000 05/20/2049 0.02%
JELD-WEN INC P/P 144A 04.6250 12/15/2025 0.02%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.02%
CLEAN HARBORS INC P/P 144A 05.1250 07/15/2029 0.02%
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CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
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CHC GRP LLC P/P CV 00.0000 10/01/2020 0.00%
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CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
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CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.00%
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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%
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CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.00%
CSMC 2007-C4 C P/P 144A 05.9096 09/15/2039 0.00%
FSPC T-57 1AX IO 00.3739 07/25/2043 0.00%
INTELSAT JACKSON HLD P/P 144A 08.0000 02/15/2024 0.00%
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TXU TCEH RIGHTS 0.00%
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CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.00%
CSMC 2006-C5 AX IO 01.0888 12/15/2039 0.00%
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MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 0.00%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.00%
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SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI 0.00%
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2.252 R ISWP FWD US0003M P 07/17/2049 0.00%
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CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
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CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
FNR 1999-51 N PO 00.0000 09/17/2029 0.00%
IDR/USD 11/20/2019 HSBCB 0.00%
INR/USD 11/20/2019 GSFX 0.00%
INR/USD 11/20/2019 RBSF 0.00%
MWO HOLDINGS LLC 0.00%
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TRANSOCEAN INC P/P 144A 09.0000 07/15/2023 0.00%
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2.194 R ISWP FWD US0003M P 07/17/2049 0.00%
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2.241 R ISWP FWD US0003M P 07/17/2049 0.00%
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CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
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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 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
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FRAC TECH INTL TLB L+475 06.0000 04/16/2021 0.00%
GBP/USD 09/18/2019 HSBCB 0.00%
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IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
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MXN/USD 10/16/2019 BANKAM 0.00%
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CAD/USD 07/17/2019 CITI 0.00%
CD 2007-CD5 XS IO 144A 00.0000 11/15/2044 0.00%
CHC GROUP LLC P/P 0.00%
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CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
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CMB CMBX.NA.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 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%
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FNS 366 22 IO 04.5000 10/25/2035 0.00%
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ILS/USD 07/17/2019 SSBT 0.00%
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KRW/USD 11/20/2019 HSBCB 0.00%
MEZZ 2007-C5 X IO P/P 144A 06.2193 12/15/2049 0.00%
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OPTN FN30 3.5 07/08/19 PUT 100.59765625 JPMC 0.00%
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OPTN FN30 3.5 07/08/19 PUT 101.09765625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 101.28515625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 99.59765625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 99.78515625 JPMC 0.00%
STRIP 2003-1A N P/P 144A 05.0000 03/24/2020 0.00%
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TERVITA CORP 0.00%
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CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
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RUB/USD 09/18/2019 GSFX -0.00%
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CAD/USD 07/17/2019 WPAC -0.00%
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CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.00%
0.80 R ISWP FWD EUR006M P 02/21/2050 -0.00%
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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 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%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.00%
SWPTN 2MX10Y P 2.283 USD 07/30/2019 CI -0.00%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.00%
SWPTN 3MX5Y R 1.746 USD 09/26/2019 CI -0.00%
SWPTN 5YX10Y R 2.39 USD 06/04/2024 MS -0.00%
0.20 R ISWP FWD EUR006M P 09/18/2029 -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 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
NZD/USD 07/17/2019 BCAP-FX -0.00%
OPTN FN30 3.5 08/06/19 PUT 102.06640625 JPMC -0.00%
SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS -0.00%
0.85 R ISWP FWD GBL6M P 09/18/2024 -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 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
SEK/USD 09/18/2019 JPMCB -0.00%
SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI -0.00%
SWPTN 9WX10Y P 2.265 USD 08/05/2019 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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-.7 2047-01-17 300.0 01/17/2047 CS -0.01%
EUR/USD 09/18/2019 BANKAM -0.01%
JPY/USD 08/21/2019 RBSF -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
AUD/JPY PUT 69.00 20190917 HSBCB -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
SWPTN 5YX30Y P 1.304 EUR 06/05/2024 BA -0.01%
UKRPI P 3.3875 R 03/15/28 -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
2.0625 R ISWP FWD US0003M P 06/22/2030 -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
JPY/USD 08/21/2019 HSBCB -0.01%
0.7495 R ISWP FWD JPL6M P 08/29/2043 -0.01%
0.9035 R ISWP FWD EUR006M P 02/19/2050 -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 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%
SEK/USD 09/18/2019 UBS -0.01%
1.054 R ISWP FWD EUR006M P 06/07/2054 -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
NZD/USD 07/17/2019 CITI -0.01%
SEK/USD 09/18/2019 SSBT -0.01%
SWPTN 10WX10Y P 2.191 USD 08/09/2019 GS -0.01%
2.528 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.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
SEK/USD 09/18/2019 GSFX -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 CG -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%
SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS -0.01%
SWPTN 5YX30Y P 1.053 EUR 06/04/2024 BA -0.01%
2.00 R ISWP FWD US0003M P 09/18/2029 -0.02%
AUD/USD 07/17/2019 BANKAM -0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CPURNSA R 2.05 P 12/06/22 -0.02%
CPURNSA R 2.068 P 12/21/22 -0.02%
EUR/USD 09/18/2019 UBS -0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.02%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP -0.02%
2.184 R ISWP FWD US0003M P 12/07/2030 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.02%
EUR/USD 09/18/2019 BCAP-FX -0.02%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP -0.02%
AUD/USD 07/17/2019 CITI -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
SWPTN 5YX20Y P 1.11125 JPY 08/24/2023 BC -0.02%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI -0.02%
UKRPI P 3.34 R 02/15/28 -0.02%
UKRPI P 3.4025 R 03/15/28 -0.02%
2.488 R ISWP FWD US0003M P 06/12/2049 -0.02%
2.565 R ISWP FWD US0003M P 06/12/2049 -0.02%
CAD/USD 07/17/2019 BCAP-FX -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
EUR/USD 09/18/2019 SSBT -0.02%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.02%
CAD/USD 07/17/2019 JPMCB -0.02%
NZD/USD 07/17/2019 JPMCB -0.02%
AUD/USD 07/17/2019 UBS -0.02%
NZD/USD 07/17/2019 GSFX -0.02%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS -0.02%
1.25 R ISWP FWD AUDBB6M P 09/18/2024 -0.02%
1.70 R ISWP FWD NOKOIB6M P 09/18/2029 -0.02%
2.208 R ISWP CDOR03 P 03/19/2029 -0.02%
JPY/USD 08/21/2019 UBS -0.02%
0.366 R ISWP JPL6M P 02/16/2028 -0.02%
AUD/USD 07/17/2019 HSBCB -0.02%
SWPTN 10WX10Y P 2.101 USD 08/09/2019 GS -0.02%
JPY/USD 08/21/2019 CITI -0.02%
JPY/USD 08/21/2019 GSFX -0.02%
1.00 R ISWP FWD GBL6M P 09/18/2029 -0.03%
2.5365 R ISWP FWD US0003M P 06/12/2049 -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.03%
1.484 R ISWP FWD EUR006M P 11/29/2058 -0.03%
2.5335 R ISWP FWD US0003M P 06/12/2049 -0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -0.03%
IOS.FN30.350.12 P USL1M R 01/12/43 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.03%
2.524 R ISWP FWD NFIX3MID P 03/28/2029 -0.03%
2.537 R ISWP FWD US0003M P 06/12/2049 -0.03%
SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA -0.03%
-0.046 R ISWP FWD CHL6M P 09/21/2021 -0.03%
1.051 R ISWP FWD EUR006M P 02/19/2050 -0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -0.03%
IOS.FN30.400.10 P USL1M R 01/12/41 BC -0.03%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.03%
JPY/USD 08/21/2019 SSBT -0.04%
SWPTN 10YX20Y P 1.921 EUR 10/18/2028 JP -0.04%
SWPTN 5WX10Y R 2.065 USD 07/15/2019 BC -0.04%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS -0.04%
1.113 R ISWP FWD EUR006M P 03/26/2050 -0.04%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.04%
OPTN FN30 3.0 08/06/19 PUT 100.8125 JPMC -0.04%
1.2115 R ISWP FWD EUR006M P 03/12/2050 -0.04%
1.365 R ISWP AUDBB3M P 05/06/2021 -0.04%
2.6059 R ISWP FWD US0003M P 06/12/2049 -0.04%
AUD/USD 07/17/2019 RBSF -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
SWPTN 10YX10Y P 1.722 GBP 02/26/2029 GS -0.04%
1.267 R ISWP FWD EUR006M P 03/11/2050 -0.04%
2.6785 R ISWP US0003M P 02/13/2029 -0.04%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.04%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.04%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.04%
UKRPI P 3.34 R 03/15/28 -0.04%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.05%
SWPTN 7YX10Y P 1.667 EUR 02/16/2026 JP -0.05%
SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS -0.05%
-0.30 R ISWP FWD CHL6M P 09/18/2029 -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.05%
IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.05%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.05%
1.948 R ISWP CZECH INTERBANK RATES 6 MONTH P 03/19/2029 -0.05%
2.793 R ISWP FWD US0003M P 11/29/2053 -0.05%
IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.05%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.06%
SWPTN 1MX30Y R 2.38 USD 06/28/2019 JP -0.06%
SWPTN 10YX10Y R 1.722 GBP 02/26/2029 GS -0.06%
IOS.FN30.500.10 P USL1M R 01/12/41 BC -0.07%
IOS.FN30.500.10 P USL1M R 01/12/41 GS -0.07%
IOS.FN30.500.10 P USL1M R 01/12/41 JP -0.07%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.07%
CPTFEMU R 1.4375 P 09/15/23 -0.08%
CPTFEMU R 1.4413 P 09/15/23 -0.08%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.08%
CPTFEMU R 1.4425 P 09/15/23 -0.08%
CPTFEMU R 1.4438 P 09/15/23 -0.08%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.08%
CPTFEMU R 1.4275 P 08/15/27 -0.08%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.08%
1.80 R ISWP FWD US0003M P 09/18/2024 -0.09%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.10%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.10%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.10%
1.61375 R ISWP FWD EUR006M P 10/27/2027 -0.11%
1.815 R ISWP FWD EUR006M P 02/27/2028 -0.11%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.12%
CPTFEMU R 1.4 P 07/15/27 -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.12%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.14%
2.77 R ISWP US0003M P 01/22/2021 -0.14%
1.104 R ISWP FWD EUR006M P 03/21/2029 -0.15%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.15%
SWPTN 1YX2Y R 0.115 EUR 08/28/2019 GS -0.15%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.16%
SWPTN 6YX24Y R 2.75 USD 05/22/2025 MS -0.16%
SWPTN 7YX10Y R 1.667 EUR 02/16/2026 JP -0.16%
IOS.GII30.500.10 P USL1M R 01/12/41 JP -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 2YX3Y R 2.975 USD 11/30/2020 JP -0.17%
IOS.FN30.400.10 P USL1M R 01/12/41 GS -0.18%
SWPTN 5YX24Y R 3.0 USD 04/04/2024 MS -0.19%
SWPTN 5YX24Y R 3.0 USD 04/12/2024 MS -0.19%
SWPTN 6YX24Y R 3.0 USD 01/31/2025 MS -0.19%
SWPTN 1YX1Y R 2.58 USD 08/28/2019 MS -0.21%
SWPTN 1YX1Y R 2.8 USD 08/28/2019 MS -0.27%
IOS.FN30.350.13 P US0001M R 01/12/44 JP -0.28%
CDX CDX.NA.HY.32 500.0 06/20/2024 -0.28%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.44%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.44%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.45%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.47%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.74%
FNMA FN30 TBA UMBS 04.5000 08/01/2049 -1.51%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -2.41%
EURO-SCHATZ FUT SEP19 DUU9 -3.02%
US 5YR NOTE (CBT) SEP19 FVU9 -4.34%
FNMA FN30 TBA UMBS 03.0000 08/01/2049 -10.71%
90DAY EURO$ FUTR MAR21 EDH1 -23.31%

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 2.00%
2 1.00%
3+ 0.00%