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 12/15/17

with optional enhanced death benefits
Unit Value $19.108052 $18.601086
Unit Value Change 0.030303 0.029423

Lipper ranking ‡ as of 11/30/17

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 77% 19/24
1 yr. 23% 11/47
3 yrs. 52% 21/40
5 yrs. 19% 6/32

Maturity detail includes only cash bonds and cash equivalents.

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

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

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

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

Quick facts as of 11/30/17

Fiscal Year End December
Asset Class Putnam Allstate Advisor Preferred
Subaccount Status Open to new investors
Number of issues 1442
Turnover (fiscal year end) 846%
Net Assets $211M
Inception Date 09/15/93

Performance

Performance as of 09/30/17

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 1.60% 4.42% 8.08% 0.04% 2.30% 2.76% 3.51%
Standardized -0.40% 2.42% 6.08% 0.04% 2.30% 2.76% 3.51%
With optional enhanced death benefit
Unit Value 1.56% 4.30% 7.92% -0.11% 2.15% 2.60% 3.35%
Standardized -0.44% 2.30% 5.92% -0.11% 2.15% 2.60% 3.35%
Actual performance
Unit Value 1.60% 4.42% 8.08% 0.04% 2.30% 2.76% 3.85%
Standardized -0.40% 2.42% 6.08% 0.04% 2.30% 2.76% 3.85%
With optional enhanced death benefit
Unit Value 1.56% 4.30% 7.92% -0.11% 2.15% 2.60% 3.69%
Standardized -0.44% 2.30% 5.92% -0.11% 2.15% 2.60% 3.69%

Annual Performance at NAV

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
2.40% -31.96% 52.80% 10.81% -4.76% 9.68% 6.03% -1.31% -3.95% 3.69%
With optional enhanced death benefit
2.25% -32.06% 52.56% 10.64% -4.91% 9.51% 5.87% -1.46% -4.10% 3.53%

Restated performance

Monthly as of 11/30/17

Unit Value 0.03%
Standardized -1.97%

YTD as of 12/15/17

Unit Value 5.26%
Standardized 3.26%

With optional enhanced death benefit

Monthly as of 11/30/17

Unit Value 0.01%
Standardized -1.99%

YTD as of 12/15/17

Unit Value 5.10%
Standardized 3.10%

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

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

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

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

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

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

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

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

Maturity detail includes only cash bonds and cash equivalents.

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

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

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

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

Risk Characteristics as of 11/30/17

Avg. Eff. Maturity 6.59
Avg. Price 90.76
Avg. Eff. Duration -0.61
Avg. Coupon 5.61
Avg. Yield to Maturity 5.62
Alpha (%) --
Beta -0.84
R Squared 0.17
Standard Deviation (3 yrs.) 5.58

Maturity Details

0 to 1 yr. 1.19%
1 to 5 yrs. 27.40%
5 to 10 yrs. 64.61%
10 to 15 yrs. 2.75%
Over 15 yrs. 4.05%

Quality Ratings

AAA 39.71%
A 0.70%
BBB 10.90%
BB 22.45%
B 20.30%
CCC and Below 11.15%
Not Rated -5.21%

Holdings

Top 10 holdings as of 11/30/17

Fnma Fn30 Tba 03.5000 01/01/2048 15.07%
Gnma Gii30 Tba 04.5000 01/01/2048 3.00%
Fnma Fn30 Tba 02.5000 01/01/2048 2.74%
Fnma Fn30 Tba 05.5000 01/01/2048 1.57%
Fnma Fn30 Tba 04.0000 01/01/2048 1.49%
Gnma Gii30 Tba 04.0000 01/01/2048 1.49%
Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.93%
Cas 2015-C03 1m2 06.3286 07/25/2025 0.91%
Cas 2016-C03 2m2 07.2286 10/25/2028 0.86%
Petroleos Mexicanos Usd 04.5000 01/23/2026 0.86%
Top 10 holdings, total: 28.92%

Equity Holdings as of 09/30/17

GMAC CAPITAL TRUST I PCT 07.1000 0.09%
HALCON RESOURCES CORP 0.04%
SANDRIDGE ENERGY INC 0.03%
NINE POINT ENERGY CNV PRF 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
TXU TCEH RIGHTS 0.01%
CHC GROUP LLC P/P 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
MILAGRO OIL & GAS 0.00%
NINE POINT ENERGY COM 0.00%
TERVITA CORP CLASS A 0.00%

Full Portfolio Holdings as of 09/30/17

FNMA FN30 TBA 03.5000 11/01/2047 15.15%
FNMA FN30 TBA 02.5000 10/01/2047 2.76%
GNMA GII30 TBA 04.0000 10/01/2047 2.50%
GNMA GII30 TBA 04.5000 10/01/2047 2.02%
FNMA FN30 TBA 05.5000 10/01/2047 1.58%
TRY/USD 12/20/2017 GSFX 1.44%
NOK/USD 12/20/2017 SSBT 1.23%
JPY/USD 11/15/2017 CSI-FX 1.02%
RUB/USD 12/20/2017 BANKAM 1.02%
JPY/USD 11/15/2017 UBS 1.01%
RUB/USD 12/20/2017 CITI 1.01%
EUR/USD 12/20/2017 BCAP-FX 1.00%
SEK/USD 12/20/2017 GSFX 0.99%
SEK/USD 12/20/2017 JPMCB 0.97%
CAS 2015-C03 1M2 06.2372 07/25/2025 0.93%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.93%
TRY/USD 12/20/2017 RBSF 0.89%
NOK/USD 12/20/2017 BANKAM 0.88%
NOK/USD 12/20/2017 UBS 0.88%
CAS 2016-C03 2M2 07.1372 10/25/2028 0.85%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.85%
CWALT 2006-OA10 4A1 01.4272 08/25/2046 0.84%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.84%
AUD/USD 10/18/2017 RBSF 0.80%
CAS 2015-C04 1M2 06.9372 04/25/2028 0.75%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.70%
GBP/USD 12/20/2017 CITI 0.66%
GNR 2016-H23 NI IO 02.3375 10/20/2066 0.64%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.64%
GBP/USD 12/20/2017 UBS 0.61%
PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.60%
AUD/USD 10/18/2017 JPMCB 0.55%
AUD/USD 10/18/2017 UBS 0.55%
CAS 2016-C02 1B 13.4872 09/25/2028 0.54%
WFRBS 2013-C15 D P/P 144A 04.6281 08/15/2046 0.54%
AUD/USD 10/18/2017 CSI-FX 0.53%
CAD/USD 10/18/2017 UBS 0.53%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.53%
FNMA FN30 TBA 04.5000 11/01/2047 0.51%
GBP/USD 12/20/2017 SSBT 0.51%
JPY/USD 11/15/2017 JPMCB 0.51%
AUD/USD 10/18/2017 SSBT 0.50%
CWALT 2006-OA7 1A1 02.3831 06/25/2046 0.50%
EUR/USD 12/20/2017 BANKAM 0.50%
EUR/USD 12/20/2017 HSBCB 0.50%
EUR/USD 12/20/2017 UBS 0.50%
FNMA FN30 TBA 04.0000 11/01/2047 0.50%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.50%
JPY/USD 11/15/2017 HSBCB 0.50%
JPY/USD 11/15/2017 WPAC 0.50%
SEK/USD 12/20/2017 RBSF 0.50%
SEK/USD 12/20/2017 UBS 0.50%
EUR/USD 12/20/2017 JPMCB 0.49%
EUR/USD 12/20/2017 SSBT 0.49%
HUF/USD 12/20/2017 GSFX 0.49%
NOK/USD 12/20/2017 CITI 0.49%
NOK/USD 12/20/2017 JPMCB 0.49%
SEK/USD 12/20/2017 CSI-FX 0.49%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.46%
NZD/USD 10/18/2017 SSBT 0.45%
OJSC RUSS AGRIC RSHB P/P 144A 07.7500 05/29/2018 0.45%
STACR 2016-DNA1 B 11.2372 07/25/2028 0.44%
CAD/USD 10/18/2017 RBSF 0.43%
ZAR/USD 10/18/2017 GSFX 0.43%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.42%
MSBAM 2014-C17 D P/P 144A 04.8539 08/15/2047 0.42%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.42%
WFRBS 2012-C10 D P/P 144A 04.5930 12/15/2045 0.42%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.41%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.40%
WAMU 2005-AR17 A1B3 01.5872 12/25/2045 0.40%
JPY/USD 11/15/2017 RBSF 0.39%
CMLTI 2007-AMC3 A2D 01.5872 03/25/2037 0.38%
NZD/USD 10/18/2017 JPMCB 0.38%
WBCMT 2006-C26 AJ 06.2304 06/15/2045 0.38%
BRL/USD 01/03/2018 CITI 0.37%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.37%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.37%
GSMS 2014-GC18 D P/P 144A 05.1091 01/10/2047 0.36%
JPMBB 2014-C18 D P/P 144A 04.9740 02/15/2047 0.36%
MXN/USD 10/18/2017 HSBCB 0.36%
SEK/USD 12/20/2017 SSBT 0.36%
CAS 2016-C01 1B 12.9872 08/25/2028 0.35%
CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 0.35%
CGCMT 2014-GC21 D P/P 144A 04.9961 05/10/2047 0.35%
COMM 2014-CR18 D P/P 144A 04.8929 07/15/2047 0.35%
JPMCC 2012-LC9 E P/P 144A 04.5299 12/15/2047 0.35%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.35%
STACR 2015-DN1 B 12.7372 01/25/2025 0.35%
VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 0.35%
WFRBS 2012-C7 E P/P 144A 04.9810 06/15/2045 0.35%
CGCMT 2012-GC8 D P/P 144A 05.0357 09/10/2045 0.34%
STACR 2015-DNA3 B 10.5872 04/25/2028 0.34%
BSCMS 2005-PWR7 B 05.2140 02/11/2041 0.33%
CSAIL 2015-C1 D P/P 144A 03.9453 04/15/2050 0.33%
FHR 4425 IO IO 04.0000 01/15/2045 0.33%
JPMCC 2007-CB20 C P/P 144A 06.5559 02/12/2051 0.33%
JPMBB 2014-C19 D P/P 144A 04.8204 04/15/2047 0.32%
PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 0.32%
STACR 2016-HQA2 M3 06.3872 11/25/2028 0.32%
CAS 2016-C03 1B 12.9872 10/25/2028 0.31%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.31%
FHR 4604 QI IO 03.5000 07/15/2046 0.31%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.31%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.31%
WFRBS 2014-C19 E P/P 144A 05.1370 03/15/2047 0.31%
CWALT 2005-38 A3 01.5872 09/25/2035 0.30%
EUR/USD 12/20/2017 CSI-FX 0.30%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.30%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.30%
STACR 2015-DNA2 B 08.7872 12/25/2027 0.30%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.29%
SPRINT CORP 07.8750 09/15/2023 0.29%
WFCM 2013-LC12 D P/P 144A 04.4301 07/15/2046 0.29%
CWCI 2007-C3 AJ 06.0488 05/15/2046 0.28%
GNR 2016-H09 BI IO 02.0408 04/20/2066 0.28%
MSBAM 2013-C10 D P/P 144A 04.2186 07/15/2046 0.28%
FNR 2013-90 SD IO 05.3628 09/25/2043 0.27%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.27%
GNR 2017-H10 MI IO 01.7487 04/20/2067 0.27%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.27%
RALI 2006-QO10 A1 01.3972 01/25/2037 0.27%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.26%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.26%
GNR 2017-H08 NI IO 02.2185 03/20/2067 0.26%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.26%
WAMU 2005-AR10 1A3 03.2781 09/25/2035 0.26%
GNR 2016-H06 DI IO 01.9285 07/20/2065 0.25%
GNR 2017-H16 JI IO 02.2463 08/20/2067 0.25%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.25%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.25%
JPMBB 2014-C26 D P/P 144A 04.0679 01/15/2048 0.25%
MSC 2007-HQ11 B 05.5380 02/12/2044 0.25%
SERVICE CORP INTL 05.3750 05/15/2024 0.25%
FHR 4580 ID IO 03.5000 08/15/2045 0.24%
GBP/USD 12/20/2017 JPMCB 0.24%
GNR 2015-H25 AI IO 01.6125 09/20/2065 0.24%
MSC 2008-T29 D P/P 144A 06.4980 01/11/2043 0.24%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.24%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.23%
CWALT 2005-59 1A1 01.5661 11/20/2035 0.23%
EUR/USD 12/20/2017 GSFX 0.23%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.23%
GNR 2016-H06 CI IO 01.5931 02/20/2066 0.23%
GNR 2016-H10 AI IO 01.7184 04/20/2066 0.23%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.23%
LUKOIL INTL FINANCE P/P 144A 06.6560 06/07/2022 0.23%
SAMI 2007-AR1 2A1 01.4172 01/25/2037 0.23%
BCAP 2011-RR3 3A6 03.1939 11/27/2036 0.22%
CAS 2017-C03 1B1 06.0872 10/25/2029 0.22%
CWALT 2006-OA7 1A2 01.8291 06/25/2046 0.22%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.22%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.22%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.22%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.22%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.22%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.21%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.21%
FHR 4452 QI IO 04.0000 11/15/2044 0.21%
GNR 2017-H09 IO IO 01.7779 04/20/2067 0.21%
GNR 2017-H12 QI IO 02.0562 05/20/2067 0.21%
PETROLEOS MEXICANOS USD 05.6250 01/23/2046 0.21%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.21%
SWPTN LIABILITY 2YX20Y R 1.733 EUR 09/30/2019 JP 0.21%
WAMU 2005-AR19 A1C4 01.6372 12/25/2045 0.21%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.21%
AVAYA INC P/P 144A 07.0000 04/01/2019 0.20%
CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 0.20%
GNR 2014-44 IA IO 03.5000 05/20/2028 0.20%
GNR 2016-H02 HI IO 01.7176 01/20/2066 0.20%
GNR 2017-H06 BI IO 02.3126 02/20/2067 0.20%
MSBAM 2012-C6 F P/P 144A 04.7602 11/15/2045 0.20%
PETROLEOS MEXICANOS USD 06.6250 06/15/2035 0.20%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.20%
SFR GROUP SA P/P 144A 06.0000 05/15/2022 0.20%
ALTA MESA HLDGS P/P 144A 07.8750 12/15/2024 0.19%
BALTA 2005-8 21A1 03.3850 10/25/2035 0.19%
CAS 2015-C03 2M2 06.2372 07/25/2025 0.19%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.19%
COMM 2013-CCRE9 D P/P 144A 04.3964 07/10/2045 0.19%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.19%
GNR 2014-119 SA IO 04.3639 08/20/2044 0.19%
GNR 2016-104 GI IO 04.5000 01/20/2046 0.19%
GNR 2016-42 IO IO 05.0000 02/20/2046 0.19%
GNR 2016-H24 JI IO 02.2031 11/20/2066 0.19%
GNR 2017-H16 IB IO 01.8326 08/20/2067 0.19%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.19%
JPMCC 2011-C3 F P/P 144A 05.8018 02/15/2046 0.19%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.19%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.19%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.19%
BSCMS 2006-PW11 B P/P 144A 05.2857 03/11/2039 0.18%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.18%
DIAMOND BC BV P/P 144A 05.6250 08/15/2025 0.18%
FNR 2016-102 JI IO 03.5000 02/25/2046 0.18%
GBP/USD 12/20/2017 BCAP-FX 0.18%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.18%
GNR 2013-22 OI IO 05.0000 01/20/2043 0.18%
GNR 2015-H23 BI IO 01.7262 09/20/2065 0.18%
GNR 2015-H24 AI IO 02.1060 09/20/2065 0.18%
GNR 2017-H02 BI IO 02.3362 01/20/2067 0.18%
GSAA 2006-8 2A2 01.4172 05/25/2036 0.18%
PROVINCIA DE BUENOS P/P 144A 25.0800 05/31/2022 0.18%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.18%
CIT GROUP INC. 05.0000 08/15/2022 0.17%
CONTINENTAL RESOURCES 03.8000 06/01/2024 0.17%
FHR 4077 IK IO 05.0000 07/15/2042 0.17%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.17%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.17%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.17%
GNR 2016-H03 DI IO 02.0241 12/20/2065 0.17%
GNR 2017-H16 IG IO 01.6646 07/20/2067 0.17%
LNSTR 2015-3 C P/P 144A 03.3278 04/20/2048 0.17%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.17%
NOK/USD 12/20/2017 RBSF 0.17%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.17%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.17%
SEK/USD 12/20/2017 CITI 0.17%
TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 0.17%
CFCRE 2011-C2 E P/P 144A 05.9453 12/15/2047 0.16%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.16%
FHR 3065 DC 16.1567 03/15/2035 0.16%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.16%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.16%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.16%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.16%
GNR 2013-H08 CI IO 01.6763 02/20/2063 0.16%
GNR 2015-95 PI IO 03.5000 07/20/2045 0.16%
GNR 2015-H25 EI IO 01.8459 10/20/2065 0.16%
GNR 2016-48 MI IO 03.5000 04/16/2046 0.16%
GNR 2016-H14 AI IO 02.3319 06/20/2066 0.16%
GNR 2016-H16 EI IO 02.2370 06/20/2066 0.16%
JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 0.16%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.16%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.16%
UNITYMEDIA HESSEN / NRW REGS 06.2500 01/15/2029 0.16%
VTB BK (VTB EURASIA) P/P 144A 09.5000 12/29/2049 0.16%
CAESARS ENT OPER TLB6B L+775 11.7500 03/01/2018 0.15%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.15%
COMM 2012-CR3 E P/P 144A 04.9194 10/15/2045 0.15%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.15%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.15%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.15%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.15%
GNR 2016-H03 AI IO 01.9275 01/20/2066 0.15%
GNR 2017-H11 DI IO 01.8597 05/20/2067 0.15%
GOLDEN NUGGET INC P/P 144A 06.7500 10/15/2024 0.15%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.15%
MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 0.15%
STACR 2016-DNA2 B 11.7372 10/25/2028 0.15%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.15%
TAYLOR MORRISON COMM P/P 144A 05.2500 04/15/2021 0.15%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.15%
WPX ENERGY INC 06.0000 01/15/2022 0.15%
AES CORP/VA 05.5000 04/15/2025 0.14%
BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 0.14%
CGCMT 2006-C4 C 06.2499 03/15/2049 0.14%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.14%
FNR 2010-140 GS IO 04.7628 07/25/2039 0.14%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.14%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.14%
GNR 2017-63 PI IO 04.0000 12/20/2043 0.14%
GNR 2017-H11 TI IO 02.1429 04/20/2067 0.14%
INTELSAT JACKSON HLD P/P 144A 09.7500 07/15/2025 0.14%
JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 0.14%
MSC 2008-T29 F P/P 144A 06.4980 01/11/2043 0.14%
OMIR 2017-1A B1 P/P 144A 06.9872 04/25/2027 0.14%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.14%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.14%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.14%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.14%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.14%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.14%
TECHEM ENERGY MET P/P 144A 07.8750 10/01/2020 0.14%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.14%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.14%
ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 0.13%
BALTA 2004-3 B 04.1622 04/25/2034 0.13%
BLUELINE RENTAL CRP P/P 144A 09.2500 03/15/2024 0.13%
BMIR 2015-1A M2 05.5372 07/25/2025 0.13%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.13%
BSCMS 2007-T28 D P/P 144A 06.1222 09/11/2042 0.13%
CASELLA WASTE TLB L+275 03.9844 10/17/2023 0.13%
CLUBCORP HLDG INC P/P 144A 08.5000 09/15/2025 0.13%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.13%
CSC HOLDINGS LLC P/P 144A 10.1250 01/15/2023 0.13%
CWALT 2006-OA10 2A1 01.4272 08/25/2046 0.13%
FHR 4024 PI IO 04.5000 12/15/2041 0.13%
FHR 4122 TI IO 04.5000 10/15/2042 0.13%
FHR 4530 TI IO 04.0000 11/15/2045 0.13%
FHR 4678 MS IO 05.1072 04/15/2047 0.13%
GNR 2014-H21 BI IO 01.5430 10/20/2064 0.13%
GNR 2015-69 IK IO 03.5000 03/20/2038 0.13%
GNR 2015-H10 BI IO 02.1155 04/20/2065 0.13%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.13%
GNR 2016-H24 CI IO 01.6954 10/20/2066 0.13%
GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 0.13%
GSMS 2013-GC10 D P/P 144A 04.4100 02/10/2046 0.13%
INFOR SOFTWARE P/P 144A 07.1250 05/01/2021 0.13%
JPMBB 2014-C18 E P/P 144A 04.4740 02/15/2047 0.13%
MLMT 2008-C1 AJ 06.6650 02/12/2051 0.13%
MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 0.13%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.13%
NOK/USD 12/20/2017 GSFX 0.13%
SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 0.13%
SOLERA LLC / SOLERA P/P 144A 10.5000 03/01/2024 0.13%
STACR 2016-DNA2 M3 05.8872 10/25/2028 0.13%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.13%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.13%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.13%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.13%
WFRBS 2013-UBS1 E P/P 144A 04.6268 03/15/2046 0.13%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.13%
2.25 R ISWP FWD US0003M P 12/20/2027 0.12%
ADS INC P/P 144A 05.6250 11/15/2024 0.12%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.12%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.12%
CLEAR CHANNEL TLD L+675 08.0828 01/30/2019 0.12%
DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 0.12%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.12%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.12%
GAZPROM (GAZ CAP SA) P/P 144A 09.2500 04/23/2019 0.12%
GNR 2015-60 PI IO 04.0000 04/20/2045 0.12%
GNR 2015-64 PI IO 03.5000 05/20/2045 0.12%
GNR 2016-37 IW IO 04.5000 02/20/2046 0.12%
HCA INC 06.5000 02/15/2020 0.12%
INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 0.12%
JPMBB 2013-C14 D P/P 144A 04.7211 08/15/2046 0.12%
JPMCC 2007-CB20 B P/P 144A 06.5559 02/12/2051 0.12%
ORTHO-CLINICAL INC/S P/P 144A 06.6250 05/15/2022 0.12%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.12%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.12%
SEALED AIR CORP P/P 144A 06.8750 07/15/2033 0.12%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.12%
UBS AG JERSEY BRANCH EUR 07.1520 12/29/2049 0.12%
VALEANT PHARMA P/P 144A 05.8750 05/15/2023 0.12%
WEST CORP P/P 144A 05.3750 07/15/2022 0.12%
ALTICE FINANCING SA P/P 144A 07.5000 05/15/2026 0.11%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.11%
CALPINE CORP 05.7500 01/15/2025 0.11%
CAS 2015-C04 2M2 06.7872 04/25/2028 0.11%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.11%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.11%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.11%
CWALT 2005-38 A1 02.3891 09/25/2035 0.11%
FHR 4000 LI IO 04.0000 02/15/2042 0.11%
FNR 2006-8 HP 20.0302 03/25/2036 0.11%
FNR 2011-98 AI IO 03.5000 11/25/2037 0.11%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.11%
FNR 2017-7 JI IO 04.0000 02/25/2047 0.11%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.11%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.11%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.11%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.11%
GNR 2016-H17 KI IO 02.2812 07/20/2066 0.11%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.11%
HUB INTL LTD P/P 144A 07.8750 10/01/2021 0.11%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.11%
MASTEC INC 04.8750 03/15/2023 0.11%
OPTN FN30 3.0 11/06/17 CALL 100.23828125 JPMC 0.11%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.11%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.11%
ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 0.11%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.11%
SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 0.11%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.11%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.11%
T-MOBILE USA INC 06.6250 04/01/2023 0.11%
UNITED MEXICAN STATES USD 05.7500 10/12/2110 0.11%
WFCM 2012-LC5 E P/P 144A 04.7802 10/15/2045 0.11%
ZF NA CAPITAL P/P 144A 04.7500 04/29/2025 0.11%
AES CORP/VA 07.3750 07/01/2021 0.10%
ALPHA 3 BV / US BID P/P 144A 06.2500 02/01/2025 0.10%
ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 0.10%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.10%
AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 0.10%
ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 0.10%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.10%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.10%
BUILDERS FIRSTSOURCE P/P 144A 10.7500 08/15/2023 0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.10%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.10%
COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 0.10%
DIAMONDBACK ENERGY INC 05.3750 05/31/2025 0.10%
DYNEGY INC 07.3750 11/01/2022 0.10%
FIRST QUANTUM MINERA P/P 144A 07.5000 04/01/2025 0.10%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.10%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.10%
GNR 2016-H14 IO IO 01.6697 06/20/2066 0.10%
GREAT LAKES D&D 08.0000 05/15/2022 0.10%
HCA INC 05.5000 06/15/2047 0.10%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.10%
INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 0.10%
JONAH NRG LLC/FINANC P/P 144A 07.2500 10/15/2025 0.10%
MGM RESORTS INTL 06.6250 12/15/2021 0.10%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.10%
PENSKE AUTO GRP INC 05.7500 10/01/2022 0.10%
PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 0.10%
RANGE RESOURCES CORP 05.7500 06/01/2021 0.10%
REP OF COSTA RICA P/P 144A 07.0000 04/04/2044 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
SFR GROUP SA P/P 144A 06.2500 05/15/2024 0.10%
SFR GROUP SA P/P 144A 07.3750 05/01/2026 0.10%
SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 0.10%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.10%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.10%
TENNECO INC 05.3750 12/15/2024 0.10%
WERNER FINCO LP/INC P/P 144A 08.7500 07/15/2025 0.10%
AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 0.09%
ALLEGHENY TECHNOLOGIES INC 09.3750 06/01/2019 0.09%
AVAYA TLB7 L+525 06.5639 05/29/2020 0.09%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.09%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.09%
CHEMOURS CO 06.6250 05/15/2023 0.09%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.09%
CWALT 2007-OH1 A1D 01.4472 04/25/2047 0.09%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.09%
FHR 4403 CI IO 04.0000 10/15/2044 0.09%
FIRST DATA CORP P/P 144A 05.7500 01/15/2024 0.09%
FLEX ACQ CO INC P/P 144A 06.8750 01/15/2025 0.09%
GMAC CAPITAL TRUST I PCT 07.1000 0.09%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.09%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.09%
GNR 2014-122 IC IO 05.0000 08/20/2044 0.09%
GNR 2015-187 KI IO 05.0000 06/20/2043 0.09%
GNR 2015-H08 CI IO 01.7883 03/20/2065 0.09%
GOLDEN NUGGET INC P/P 144A 08.7500 10/01/2025 0.09%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.09%
INFOR US INC 06.5000 05/15/2022 0.09%
IRON MOUNTAIN INC P/P 144A 04.8750 09/15/2027 0.09%
JPY/USD 11/15/2017 BCAP-FX 0.09%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.09%
PROVINCIA DE BUENOS P/P 144A 06.5000 02/15/2023 0.09%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.09%
SPRINT CORP 07.2500 09/15/2021 0.09%
SWPTN 3MX2Y P 0.597 GBP 11/21/2017 GS 0.09%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.09%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.09%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.09%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.09%
TENET HEALTHCARE 06.0000 10/01/2020 0.09%
UKRAINE GOVERNMENT P/P 144A 07.7500 09/01/2027 0.09%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.09%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.09%
ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 0.09%
ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 0.08%
BIG RVR STL/FIN P/P 144A 07.2500 09/01/2025 0.08%
BRAND ENERGY & I P/P 144A 08.5000 07/15/2025 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%
CSC HOLDINGS LLC 06.7500 11/15/2021 0.08%
DOMINICAN REPUBLIC P/P 144A 05.9500 01/25/2027 0.08%
ENDEAVOR ENERGY P/P 144A 08.1250 09/15/2023 0.08%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.08%
EVEREST ACQ LLC/FIN 09.3750 05/01/2020 0.08%
FHR 4546 TI IO 04.0000 12/15/2045 0.08%
FNR 2005-122 SE 18.7697 11/25/2035 0.08%
FNR 2010-35 SG IO 05.1628 04/25/2040 0.08%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.08%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.08%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.08%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.08%
GNR 2015-H26 CI IO 00.5342 08/20/2065 0.08%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.08%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.08%
JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 0.08%
LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 0.08%
MERCER INTL INC USD 07.7500 12/01/2022 0.08%
MHL 2005-3 M2 02.0322 08/25/2035 0.08%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.08%
PULTEGROUP INC 05.5000 03/01/2026 0.08%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.08%
REVLON CONSUMER PROD 06.2500 08/01/2024 0.08%
RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 0.08%
SIX FLAGS ENT P/P 144A 05.5000 04/15/2027 0.08%
SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 0.08%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.08%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 0.08%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.08%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.08%
VALEANT PHARMA P/P 144A 06.1250 04/15/2025 0.08%
-0.25 R ISWP FWD CHL6M P 12/20/2022 0.07%
AA BOND CO LTD REGS 05.5000 07/31/2022 0.07%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.07%
ANTERO RESOURCES 05.3750 11/01/2021 0.07%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.07%
CAS 2016-C04 1B 11.4872 01/25/2029 0.07%
CAS 2017-C05 1B1 04.8372 01/25/2030 0.07%
CENTENE CORP 04.7500 05/15/2022 0.07%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.07%
DEAN FOODS CO P/P 144A 06.5000 03/15/2023 0.07%
DYNEGY INC 07.6250 11/01/2024 0.07%
FHR 3072 SM 04.2533 11/15/2035 0.07%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.07%
FNR 2007-53 SP 19.6635 06/25/2037 0.07%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.07%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.07%
GENON ENERGY INC. 09.8750 10/15/2020 0.07%
GNR 2013-129 SN IO 04.9139 09/20/2043 0.07%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.07%
GNR 2013-6 IC IO 05.0000 01/20/2043 0.07%
GW HONOS SECURITY CO P/P 144A 08.7500 05/15/2025 0.07%
HCA INC 05.2500 06/15/2026 0.07%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.07%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.07%
JPY/USD 11/15/2017 GSFX 0.07%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.07%
LIONS GATE ENT P/P 144A 05.8750 11/01/2024 0.07%
MERCER INTL INC USD 06.5000 02/01/2024 0.07%
NAVISTAR TLB L+400 05.2400 08/07/2020 0.07%
NORBORD INC P/P 144A 06.2500 04/15/2023 0.07%
NRG ENERGY INC 06.6250 01/15/2027 0.07%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.07%
PARK-OHIO INDUSTRIES INC 06.6250 04/15/2027 0.07%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.07%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.07%
REVLON CONS TLB L+350 04.7350 09/07/2023 0.07%
REYNOLDS GRP ISS/REY P/P 144A 07.0000 07/15/2024 0.07%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.07%
SEVEN GENS ENER P/P 144A 08.2500 05/15/2020 0.07%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.07%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.07%
T-MOBILE USA INC 06.3750 03/01/2025 0.07%
TMS INTL CORP P/P 144A 07.2500 08/15/2025 0.07%
TRANSDIGM INC 06.5000 07/15/2024 0.07%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.07%
USG CORP P/P 144A 04.8750 06/01/2027 0.07%
VALEANT PHARMA P/P 144A 07.0000 03/15/2024 0.07%
VIRGIN MEDIA SECURED FIN REGS 05.1250 01/15/2025 0.07%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.07%
WINDSTREAM SERVICES LLC 06.3750 08/01/2023 0.07%
ACADEMY SPORTS TLB L+400 05.2737 07/02/2022 0.06%
AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 0.06%
AMC ENTERTAINMENT HOLDIN 05.7500 06/15/2025 0.06%
ARD FINANCE SA 06.6250 09/15/2023 0.06%
ASP AMC MERGER SUB P/P 144A 08.0000 05/15/2025 0.06%
AVAYA INC TLB6 L+550 06.8139 03/31/2018 0.06%
BOYD GAMING CORPORATION 06.8750 05/15/2023 0.06%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.06%
CIRSA FUNDING LUXEMBOURG REGS 05.8750 05/15/2023 0.06%
CIT GROUP INC 05.0000 08/01/2023 0.06%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.06%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.06%
CONSTELLIUM NV REGS 07.0000 01/15/2023 0.06%
CREDIT ACCEPTANC 06.1250 02/15/2021 0.06%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.06%
DISH DBS CORP 05.8750 11/15/2024 0.06%
DRESDNER FDG TRST I P/P 144A 08.1510 06/30/2031 0.06%
DYNEGY INC P/P 144A 08.1250 01/30/2026 0.06%
ENDO FIN LLC/ENDO FI P/P 144A 05.3750 01/15/2023 0.06%
FHR 4000 PI IO 04.5000 01/15/2042 0.06%
FHR 4105 HI IO 03.5000 07/15/2041 0.06%
FHS 304 C37 IO 03.5000 12/15/2027 0.06%
FNR 2005-83 QP 14.1772 11/25/2034 0.06%
FNR 2008-24 SP 18.7469 02/25/2038 0.06%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.06%
FRONTIER COMM 10.5000 09/15/2022 0.06%
GETTY IMAGES TLB L+350 04.7500 10/18/2019 0.06%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.06%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.06%
GNR 2013-183 JI IO 04.5000 02/16/2043 0.06%
JPMCC 2011-C3 E P/P 144A 05.8018 02/15/2046 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 0.06%
KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 0.06%
KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 0.06%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.06%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.06%
MATALAN FINANCE PLC REGS 06.8750 06/01/2019 0.06%
NEIMAN MARCUS TL L+325 04.4878 10/25/2020 0.06%
NEW GOLD INC P/P 144A 06.2500 11/15/2022 0.06%
NOVA CHEMICALS CORP P/P 144A 05.2500 06/01/2027 0.06%
NOVAFIVES REGS 04.5000 06/30/2021 0.06%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.06%
PIZZAEXPRESS FINANCING 2 REGS 06.6250 08/01/2021 0.06%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.06%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.06%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.06%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.06%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.06%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.06%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.06%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.06%
TTM TECHNOLOGIES INC P/P 144A 05.6250 10/01/2025 0.06%
UNILABS SUBHOLD REGS 05.7500 05/15/2025 0.06%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.06%
US CONCRETE INC 06.3750 06/01/2024 0.06%
USIS MERGER SUB INC P/P 144A 06.8750 05/01/2025 0.06%
VENATOR FIN SARL/VEN P/P 144A 05.7500 07/15/2025 0.06%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.06%
WPX ENERGY INC 07.5000 08/01/2020 0.06%
1.00 R ISWP FWD EUR006M P 12/20/2027 0.05%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.05%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.05%
ARCELORMITTAL USD 06.1250 06/01/2025 0.05%
BCAP 2012-RR5 4A8 01.4044 06/26/2035 0.05%
BERRY GLOBAL INC 05.5000 05/15/2022 0.05%
BIOSCRIP INC 08.8750 02/15/2021 0.05%
CAS 2015-C02 2M2 05.2372 05/25/2025 0.05%
CAS 2016-C05 2B 11.9872 01/25/2029 0.05%
CAS 2016-C06 1M2 05.4872 04/25/2029 0.05%
CEC ENT INC 08.0000 02/15/2022 0.05%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.05%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.05%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.05%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.05%
CSTN MERGER SUB INC P/P 144A 06.7500 08/15/2024 0.05%
FHR 3249 PS 18.2013 12/15/2036 0.05%
FHR 4210 PI IO 03.0000 12/15/2041 0.05%
FIRST DATA TL L+250 03.7372 04/26/2024 0.05%
FNR 2012-127 BI IO 04.5000 11/25/2042 0.05%
GLP CAP LP / FIN II 04.8750 11/01/2020 0.05%
GNR 2010-158 IP IO 04.5000 06/20/2039 0.05%
GNR 2013-99 VS IO 04.8656 07/16/2043 0.05%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.05%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.05%
HIGH RIDGE BRANDS CO P/P 144A 08.8750 03/15/2025 0.05%
JPMBB 2013-C12 E P/P 144A 04.2222 07/15/2045 0.05%
KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 0.05%
LAREDO PETROLEUM INC 05.6250 01/15/2022 0.05%
LOUISIANA-PACIFIC CORP 04.8750 09/15/2024 0.05%
MEG ENERGY TLB L+350 04.8328 12/31/2023 0.05%
MICROCHIP TEC P/P 144A CV 01.6250 02/15/2027 0.05%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.05%
NIELSEN FIN LLC/CO P/P 144A 05.0000 04/15/2022 0.05%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.05%
NRG ENERGY INC 07.8750 05/15/2021 0.05%
OPTN FN30 3.0 12/06/17 PUT 100.421875 JPMC 0.05%
OPTN FN30 3.0 12/06/17 PUT 100.515625 JPMC 0.05%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.05%
REVLON CONSUMER PRODS 05.7500 02/15/2021 0.05%
SHELF DRILL HOLD LTD P/P 144A 09.5000 11/02/2020 0.05%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.05%
SM ENERGY CO 06.1250 11/15/2022 0.05%
SM ENERGY CO 06.5000 11/15/2021 0.05%
SPECTRUM BRANDS INC 05.7500 07/15/2025 0.05%
STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 0.05%
SUGAR HSP GAMING P/P 144A 05.8750 05/15/2025 0.05%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.05%
SWPTN 5WX10Y R 2.214 USD 10/30/2017 BA 0.05%
SWPTN 5WX10Y R 2.22 USD 10/30/2017 GS 0.05%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.05%
TEMPO ACQ LLC/FI P/P 144A 06.7500 06/01/2025 0.05%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.05%
WRANGLER BUYER CORP P/P 144A 06.0000 10/01/2025 0.05%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.05%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.04%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.04%
A SCHULMAN INC 06.8750 06/01/2023 0.04%
AES CORP/VA 05.1250 09/01/2027 0.04%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.04%
ARCELORMITTAL USD 07.5000 10/15/2039 0.04%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.04%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.04%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.04%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.04%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.04%
CALATLANTIC GROUP INC 05.8750 11/15/2024 0.04%
CAS 2015-C02 1M2 05.2372 05/25/2025 0.04%
CBRE SERVICES INC 05.2500 03/15/2025 0.04%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.04%
CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 0.04%
CF INDUSTRIES INC 04.9500 06/01/2043 0.04%
CLEAR CHNL WORLD 07.6250 03/15/2020 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.04%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.04%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.04%
DAKOTA MERGER SUB P/P 144A 10.7500 09/01/2024 0.04%
DYNEGY INC P/P 144A 08.0000 01/15/2025 0.04%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.04%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.04%
FIRST QUANTUM P/P 144A 07.0000 02/15/2021 0.04%
FNR 2006-62 PS 32.4767 07/25/2036 0.04%
FNS 378 19 IO 05.0000 06/25/2035 0.04%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.04%
HALCON RESOURCES CORP 0.04%
HCA INC. 07.5000 02/15/2022 0.04%
ICAHN ENTER/FIN 06.7500 02/01/2024 0.04%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.04%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.04%
KRONOS 2NDL L+825 09.5606 11/01/2024 0.04%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.04%
LENNAR CORP 04.7500 11/15/2022 0.04%
MATTAMY GROUP CORP P/P 144A 06.5000 10/01/2025 0.04%
MICRON TECH INC P/P 144A 05.2500 01/15/2024 0.04%
MURPHY OIL CORP 05.7500 08/15/2025 0.04%
NEWFIELD EXPLORATION CO 05.3750 01/01/2026 0.04%
NEWFIELD EXPLORATION CO 05.7500 01/30/2022 0.04%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.04%
NOVA CHEMICALS CORP P/P 144A 04.8750 06/01/2024 0.04%
NOVELLUS SYS CV 02.6250 05/15/2041 0.04%
NRG ENERGY INC 07.2500 05/15/2026 0.04%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.04%
OPTN FN30 3.0 12/06/17 PUT 100.328125 JPMC 0.04%
OSHKOSH CORP 05.3750 03/01/2025 0.04%
PENN NATIONAL GAMING P/P 144A 05.6250 01/15/2027 0.04%
PILGRIM'S PRIDE CORP P/P 144A 05.7500 03/15/2025 0.04%
REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 0.04%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.04%
ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 0.04%
SEMGROUP CORP P/P 144A 06.3750 03/15/2025 0.04%
SEVEN GENERATIONS P/P 144A 05.3750 09/30/2025 0.04%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 0.04%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.04%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.04%
SWPTN 2MX10Y P 2.41625 USD 10/27/2017 CS 0.04%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.04%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.04%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 5WX10Y P 2.398 USD 10/30/2017 BA 0.04%
SWPTN LIABILITY 5WX10Y P 2.306 USD 10/30/2017 BA 0.04%
SWPTN LIABILITY 5WX10Y R 2.304 USD 10/30/2017 GS 0.04%
SWPTN LIABILITY 5WX10Y R 2.306 USD 10/30/2017 BA 0.04%
TALBOTS INC 1STL L+450 05.7350 03/19/2020 0.04%
TARGA RES PRTNRS 05.3750 02/01/2027 0.04%
THE AES CORPORATION 04.8750 05/15/2023 0.04%
THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 0.04%
TR OP / TR FIN P/P 144A 05.3750 09/01/2025 0.04%
TRANSDIGM INC 06.3750 06/15/2026 0.04%
VALEANT PHARMA P/P 144A 05.3750 03/15/2020 0.04%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.04%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.04%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.03%
1.05 R ISWP FWD GBL6M P 12/20/2022 0.03%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.03%
1011778 BC / NEW RED P/P 144A 06.0000 04/01/2022 0.03%
2.201 R ISWP US0003M P 10/03/2027 0.03%
2.25 R ISWP FWD CDOR03 P 12/20/2022 0.03%
AIR METHODS TLB L+350 04.7964 04/21/2024 0.03%
AK STEEL CORP 06.3750 10/15/2025 0.03%
AMC ENTERTAINMENT HOLDIN 05.8750 02/15/2022 0.03%
ANDEAVOR LOGIS LP/CORP 05.2500 01/15/2025 0.03%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.03%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.03%
BWAY CORP TLB L+325 04.5986 04/03/2024 0.03%
CALPINE CORP P/P 144A 05.2500 06/01/2026 0.03%
CCC INFO 2NDL L+675 07.9850 03/30/2025 0.03%
CENTURYLINK INC 05.6250 04/01/2020 0.03%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.03%
CHEMOURS CO 05.3750 05/15/2027 0.03%
CHEMOURS CO 07.0000 05/15/2025 0.03%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.03%
CINEMARK USA INC 04.8750 06/01/2023 0.03%
CINEMARK USA INC 05.1250 12/15/2022 0.03%
CONTINENTAL RES 04.5000 04/15/2023 0.03%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.03%
DFC FINANCE CORP P/P 144A 10.5000 06/15/2020 0.03%
DISH NETWORK CV 03.3750 08/15/2026 0.03%
EP ENER/EVEREST ACQ P/P 144A 08.0000 02/15/2025 0.03%
FHR 3408 EK 20.8259 04/15/2037 0.03%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.03%
GATES GLOBAL TLB L+325 04.5828 03/31/2024 0.03%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.03%
GMACC 2004-C3 B 04.9650 12/10/2041 0.03%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.03%
HALYARD HEALTH INC 06.2500 10/15/2022 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.03%
HUB HLDG LLC/HUB HOL P/P 144A 08.1250 07/15/2019 0.03%
ICAHN ENTER/FIN 06.0000 08/01/2020 0.03%
INFOR US INC P/P 144A 05.7500 08/15/2020 0.03%
INTEL CORP CV 03.2500 08/01/2039 0.03%
JAZZ INVESTME USD 01.8750 08/15/2021 0.03%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.03%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.03%
LIBERTY INTER P/P 144A CV 01.7500 09/30/2046 0.03%
LIBERTY MEDIA CV 01.3750 10/15/2023 0.03%
LIVE NATION ENT P/P 144A 04.8750 11/01/2024 0.03%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.03%
MURRAY ENERGY CORP P/P 144A 11.2500 04/15/2021 0.03%
NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 0.03%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.03%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.03%
POMEGRANATE MERGER S P/P 144A 09.7500 05/01/2023 0.03%
PRICELINE GRP INC/THE CV 01.0000 03/15/2018 0.03%
REGENCY ENERGY P 04.5000 11/01/2023 0.03%
ROBERTSHAW 1STL L+450 05.7500 08/10/2024 0.03%
SANDRIDGE ENERGY INC 0.03%
SM ENERGY CO 05.0000 01/15/2024 0.03%
SPRINGLEAF FINANCE CORP 08.2500 12/15/2020 0.03%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 3MX1Y P 1.6775 USD 11/30/2017 GS 0.03%
SWPTN 5WX10Y R 2.1565 USD 10/27/2017 CI 0.03%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.03%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.03%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.03%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.03%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.03%
SWPTN LIABILITY 15DX10Y P 2.3 USD 10/13/2017 GS 0.03%
SWPTN LIABILITY 15DX10Y R 2.3 USD 10/13/2017 GS 0.03%
T-MOBILE USA INC 05.3750 04/15/2027 0.03%
TALBOTS INC 2NDL L+850 09.7350 03/19/2021 0.03%
TAYLOR MORRISON P/P 144A 05.6250 03/01/2024 0.03%
TENET HEALTHCARE CORP 08.1250 04/01/2022 0.03%
USG CORP P/P 144A 05.5000 03/01/2025 0.03%
VALEANT PHARMA TLBF1 L+475 05.9900 04/01/2022 0.03%
VALEANT PHARMACEUTIC P/P 144A 05.5000 03/01/2023 0.03%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.03%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.03%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.03%
2.2405 R ISWP US0003M P 10/03/2027 0.02%
ADT CORP 04.1250 06/15/2023 0.02%
AMC ENT HOLDIN 05.8750 11/15/2026 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
BLACKSTONE MORTGAGE TR CV 05.2500 12/01/2018 0.02%
BON-TON DEPT STORES 08.0000 06/15/2021 0.02%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CAPITAL AUTO 2NDL L+600 07.2400 03/24/2025 0.02%
CBS RADIO INC P/P 144A 07.2500 11/01/2024 0.02%
CCM MERGER INC P/P 144A 06.0000 03/15/2022 0.02%
CCO HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 0.02%
CCO HLDGS LLC/CAP CORP 05.2500 09/30/2022 0.02%
CCO HOLDINGS LLC P/P 144A 05.1250 05/01/2027 0.02%
CENTENE CORP 04.7500 01/15/2025 0.02%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.02%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 06/15/2027 0.02%
CHS/COMMUNITY HEALTH SYS 07.1250 07/15/2020 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 0.02%
CPG INTL TL L+375 05.0828 05/03/2024 0.02%
DIAMONDBACK ENERGY INC 04.7500 11/01/2024 0.02%
DYCOM IND INC CV 00.7500 09/15/2021 0.02%
EP ENER/EVEREST P/P 144A 08.0000 11/29/2024 0.02%
EURONET WORLD CV 01.5000 10/01/2044 0.02%
FRAC TECH INTL TLB L+475 05.9850 04/16/2021 0.02%
GNR 2010-168 PI IO 04.5000 11/20/2039 0.02%
GRINDING MEDIA/M P/P 144A 07.3750 12/15/2023 0.02%
INTEGRATED DE CV 00.8750 11/15/2022 0.02%
ISTAR INC 05.2500 09/15/2022 0.02%
ISTAR INC 06.0000 04/01/2022 0.02%
JACOBS ENT INC P/P 144A 07.8750 02/01/2024 0.02%
JC PENNEY CORP INC 07.4000 04/01/2037 0.02%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 0.02%
LAREDO PETROLEUM INC 07.3750 05/01/2022 0.02%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.02%
MEDICINES CO CV 02.7500 07/15/2023 0.02%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.02%
MGM GROWTH/MGM FIN P/P 144A 04.5000 01/15/2028 0.02%
MICRON TECH CV 01.6250 02/15/2033 0.02%
MICRON TECHNO CV 03.0000 11/15/2043 0.02%
NEIMAN MARCUS GROUP P/P 144A 08.7500 10/15/2021 0.02%
NEW GOLD INC P/P 144A 06.3750 05/15/2025 0.02%
ON SEMICONDUC CV 01.0000 12/01/2020 0.02%
OPTN FN30 3.0 11/06/17 CALL 100.90625 JPMC 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
PETSMART INC P/P 144A 07.1250 03/15/2023 0.02%
PETSMART INC TLB L+300 04.2460 03/11/2022 0.02%
PRECISION DRILLING CORP USD 07.7500 12/15/2023 0.02%
PROOFPOINT IN CV 00.7500 06/15/2020 0.02%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.02%
REALPAGE INC P/P 144A CV 01.5000 11/15/2022 0.02%
REGAL ENTERTAINMENT GRP 05.7500 02/01/2025 0.02%
SALESFORCE.CO CV 00.2500 04/01/2018 0.02%
SEALED AIR CORP P/P 144A 05.5000 09/15/2025 0.02%
SESI LLC 07.1250 12/15/2021 0.02%
SESI LLC P/P 144A 07.7500 09/15/2024 0.02%
SM ENERGY CO 06.5000 01/01/2023 0.02%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.02%
STARWOOD PROP TR CV 04.0000 01/15/2019 0.02%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.02%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.02%
STEEL DYNAMICS INC P/P 144A 04.1250 09/15/2025 0.02%
SWPTN 15DX10Y R 2.21 USD 10/13/2017 GS 0.02%
SWPTN 1MX10Y R 2.135 USD 10/23/2017 CI 0.02%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.02%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX2Y R -0.117 EUR 11/03/2017 GS 0.02%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.02%
TARGA RES PRTNRS 05.1250 02/01/2025 0.02%
TENET HEALTHCARE 04.7500 06/01/2020 0.02%
TERADYNE INC P/P 144A CV 01.2500 12/15/2023 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.02%
TRANSDIGM INC 06.5000 05/15/2025 0.02%
TRONOX FINANCE PLC P/P 144A 05.7500 10/01/2025 0.02%
UNITED STATES STEEL CORP 06.8750 08/15/2025 0.02%
VALEANT PHARMA P/P 144A 06.5000 03/15/2022 0.02%
VERMILION ENERGY INC P/P 144A 05.6250 03/15/2025 0.02%
WABASH NATIONAL CORP P/P 144A 05.5000 10/01/2025 0.02%
WEATHERFORD BERMUDA P/P 144A 09.8750 02/15/2024 0.02%
WPX ENERGY INC 08.2500 08/01/2023 0.02%
0.25 R ISWP FWD CHL6M P 12/20/2027 0.01%
0.50 R ISWP FWD SES3M P 12/20/2022 0.01%
1.35 R ISWP CZECH INTERBANK RATES 6 MONTH P 07/13/2027 0.01%
1.50 R ISWP FWD NOKOIB6M P 12/20/2022 0.01%
1.80 R ISWP FWD US0003M P 12/20/2019 0.01%
2.00 R ISWP FWD US0003M P 12/20/2022 0.01%
2.2495 R ISWP US0003M P 10/03/2027 0.01%
AEROJET ROCK P/P 144A CV 02.2500 12/15/2023 0.01%
AIR TRANSPORT P/P 144A CV 01.1250 10/15/2024 0.01%
ALLEGHENY TECHNOLOGIES 05.9500 01/15/2021 0.01%
ALLEGHENY TECHNOLOGIES 07.8750 08/15/2023 0.01%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.01%
ASCEND LEARNING LLC P/P 144A 06.8750 08/01/2025 0.01%
AUD/USD 10/18/2017 GSFX 0.01%
BIOMARIN PHARMA CV 01.5000 10/15/2020 0.01%
BSABS 2004-FR3 M6 06.1122 09/25/2034 0.01%
CAD/USD 10/18/2017 HSBCB 0.01%
CARBONITE INC P/P 144A CV 02.5000 04/01/2022 0.01%
CEMEX SAB DE CV USD 03.7200 03/15/2020 0.01%
CENTURYLINK INC 06.7500 12/01/2023 0.01%
CHESAPEAKE EN P/P 144A CV 05.5000 09/15/2026 0.01%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.01%
CHF/USD 12/20/2017 GSFX 0.01%
CHS/COMMUNITY HEALTH 08.0000 11/15/2019 0.01%
CITRIX SYSTEM CV 00.5000 04/15/2019 0.01%
CLOVIS INC CV 02.5000 09/15/2021 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
COLONY STARWO P/P 144A CV 03.5000 01/15/2022 0.01%
CONCORDIA INTL P/P 144A 07.0000 04/15/2023 0.01%
CONCORDIA INTL P/P 144A 09.0000 04/01/2022 0.01%
CONTINENTAL RESOURCES 04.9000 06/01/2044 0.01%
CPTFEMU R 1.4 P 07/15/27 0.01%
CPTFEMU R 1.4275 P 08/15/27 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
CSMC 2006-C5 AX IO 00.8670 12/15/2039 0.01%
CYPRESS SEMIC CV 04.5000 01/15/2022 0.01%
DENBURY RESOURCES INC 06.3750 08/15/2021 0.01%
ELECTRONICS F CV 00.7500 09/01/2019 0.01%
ENCORE CAPITA CV 03.0000 07/01/2020 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FINISAR CORP P/P 144A CV 00.5000 12/15/2036 0.01%
FNGT 2000-T6 IO IO 00.7143 11/25/2040 0.01%
FNS 374 6 IO 05.5000 08/25/2036 0.01%
FORTERRA TL L+300 04.2350 10/25/2023 0.01%
FRONTIER COMM 11.0000 09/15/2025 0.01%
FRONTIER COMMUNICATIONS 07.6250 04/15/2024 0.01%
FSPC T-57 1AX IO 00.3674 07/25/2043 0.01%
FTS INTL INC P/P 144A 08.8200 06/15/2020 0.01%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.01%
GNR 2011-41 BI IO 05.0000 05/20/2040 0.01%
GNR 2013-130 IB IO 05.0000 12/20/2040 0.01%
GREENBRIER C P/P 144A CV 02.8750 02/01/2024 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
HERCULES CAPI P/P 144A CV 04.3750 02/01/2022 0.01%
HERITAGE INS P/P 144A CV 05.8750 08/01/2037 0.01%
HOLOGIC INC CV 02.0000 03/01/2042 0.01%
HORIZON GLOBAL CORP CV 02.7500 07/01/2022 0.01%
HUBSPOT INC P/P 144A CV 00.2500 06/01/2022 0.01%
IAC FINANCECO P/P 144A CV 00.8750 10/01/2022 0.01%
IDR/USD 11/15/2017 GSFX 0.01%
IDR/USD 11/15/2017 JPMCB 0.01%
II-VI INC P/P 144A CV 00.2500 09/01/2022 0.01%
IMPAX LABORAT CV 02.0000 06/15/2022 0.01%
INPHI CORP P/P 144A CV 00.7500 09/01/2021 0.01%
INTELSAT JACKSON HLDG USD 07.5000 04/01/2021 0.01%
INTELSAT LUXEMB USD 07.7500 06/01/2021 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01%
J2 GLOBAL COMM CV 03.2500 06/15/2029 0.01%
JAZZ US HOLDINGS INC CV 08.0000 12/31/2018 0.01%
KAMAN CORP P/P 144A CV 03.2500 05/01/2024 0.01%
LIBERTY EXPEDIA HOLD INC 144A 0.01%
LIBERTY MEDIA CV 02.2500 09/30/2046 0.01%
LIVE NATION E CV 02.5000 05/15/2019 0.01%
MACQUARIE INFRASTRUCTU CV 02.0000 10/01/2023 0.01%
MASONITE INTL C P/P 144A 05.6250 03/15/2023 0.01%
MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 0.01%
MEZZ 2007-C5 X IO P/P 144A 06.1715 12/15/2049 0.01%
MOLINA HEALTHCARE IN P/P 144A 04.8750 06/15/2025 0.01%
NAVISTAR INTL CV 04.7500 04/15/2019 0.01%
NEUROCRINE P/P 144A CV 02.2500 05/15/2024 0.01%
NEVRO CORP CV 01.7500 06/01/2021 0.01%
NICE SYS INC P/P 144A CV 01.2500 01/15/2024 0.01%
NINE POINT ENERGY CNV PRF 0.01%
NOVELIS CORP P/P 144A 05.8750 09/30/2026 0.01%
NXP SEMICONDUCTORS USD 01.0000 12/01/2019 0.01%
OASIS PETROLEUM INC CV 02.6250 09/15/2023 0.01%
OSI SYS INC P/P 144A CV 01.2500 09/01/2022 0.01%
PACIRA PHARMA P/P 144A CV 02.3750 04/01/2022 0.01%
PACTIV LLC 08.3750 04/15/2027 0.01%
PLATFORM SPECIALTY P P/P 144A 10.3750 05/01/2021 0.01%
PRICELINE GRO CV 00.9000 09/15/2021 0.01%
PULTEGROUP INC. 07.8750 06/15/2032 0.01%
RED HAT INC CV 00.2500 10/01/2019 0.01%
ROBERTSHAW 2NDL L+900 10.2500 02/04/2025 0.01%
SCORPIO TANKERS INC P/P 144A 02.3750 07/01/2019 0.01%
SERVICENOW CV 00.0000 11/01/2018 0.01%
SOLENIS 2NDL L+675 08.0669 07/31/2022 0.01%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.01%
SQUARE INC P/P 144A CV 00.3750 03/01/2022 0.01%
SUCAMPO PHARM P/P 144A CV 03.2500 12/15/2021 0.01%
SWPTN 15DX10Y P 2.39 USD 10/13/2017 GS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX1Y R 1.6525 USD 12/20/2017 CI 0.01%
SWPTN 3MX2Y P -0.117 EUR 11/03/2017 GS 0.01%
SWPTN 5WX10Y P 2.456 USD 10/16/2017 JP 0.01%
SWPTN 5WX10Y P 2.55 USD 10/27/2017 GS 0.01%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.01%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.01%
TELADOC INC P/P 144A CV 03.0000 12/15/2022 0.01%
TENNANT CO P/P 144A 05.6250 05/01/2025 0.01%
TESLA INC CV 01.2500 03/01/2021 0.01%
TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
TTM TECHNOLOGIES INC CV 01.7500 12/15/2020 0.01%
TWITTER INC CV 01.0000 09/15/2021 0.01%
TXU TCEH RIGHTS 0.01%
USD/CNH PUT 6.50 20171207 BANKAM 0.01%
VECTOR GROUP LTD CV 01.7500 04/15/2020 0.01%
WAYFAIR INC P/P 144A CV 00.3750 09/01/2022 0.01%
WEATHERFORD BERMUDA 08.2500 06/15/2023 0.01%
WHITING PETRO CV 01.2500 04/01/2020 0.01%
WORKDAY INC P/P 144A CV 00.2500 10/01/2022 0.01%
WRIGHT MEDCL CV 02.0000 02/15/2020 0.01%
-0.104 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.124 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.526 R ISWP CHL6M P 10/02/2019 0.00%
-0.528 R ISWP CHL6M P 09/29/2019 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 0.00%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.00%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.00%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.00%
0.30 R ISWP FWD EUR006M P 12/20/2022 0.00%
0.766 R ISWP GBL6M P 09/15/2019 0.00%
0.85 R ISWP FWD GBL6M P 12/20/2019 0.00%
1.40 R ISWP FWD GBL6M P 12/20/2027 0.00%
1.863 R ISWP FWD GBL6M P 09/22/2032 0.00%
2.00 R ISWP FWD NOKOIB6M P 12/20/2027 0.00%
2.05 R ISWP FWD US0003M P 12/20/2022 0.00%
2.2935 R ISWP US0003M P 10/02/2027 0.00%
2.30 R ISWP FWD US0003M P 10/17/2027 0.00%
2.30 R ISWP FWD US0003M P 12/20/2027 0.00%
2.304 R ISWP FWD US0003M P 11/01/2027 0.00%
2.4925 R ISWP FWD AUDBB3M P 09/27/2020 0.00%
2.50 R ISWP FWD CDOR03 P 12/20/2027 0.00%
2.51 R ISWP FWD AUDBB3M P 09/26/2020 0.00%
2.65 R ISWP FWD AUDBB6M P 12/20/2022 0.00%
2.764 R ISWP FWD NFIX3MID P 09/30/2020 0.00%
2.78 R ISWP FWD NFIX3MID P 09/27/2020 0.00%
2.80 R ISWP FWD NFIX3MID P 12/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 12/20/2027 0.00%
3.30 R ISWP FWD NFIX3MID P 12/20/2027 0.00%
BACM 2007-5 XW IO P/P 144A 00.0831 02/10/2051 0.00%
CAD/USD 10/18/2017 HSBCB 0.00%
CD 2007-CD5 XS IO 144A 00.0000 11/15/2044 0.00%
CHC GROUP LLC P/P 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPTFEMU R 1.42 P 08/15/27 0.00%
CPTFEMU R 1.4475 P 09/15/27 0.00%
ESC SEVENTYSEVENERG 06.5000 07/15/2022 0.00%
EUR/USD 12/20/2017 RBSF 0.00%
EURO-OAT FUTURE DEC17 OATZ7 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNR 1999-51 N PO 00.0000 09/17/2029 0.00%
FNS 366 22 IO 04.5000 10/25/2035 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2010-98 PI IO 04.5000 10/20/2037 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GSMS 2005-GG4 XC IO P/P 144A 01.5945 07/10/2039 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
IDR/USD 11/15/2017 GSFX 0.00%
IDR/USD 11/15/2017 JPMCB 0.00%
INTELSAT CONNECT FIN P/P 144A 12.5000 04/01/2022 0.00%
INTELSAT JACKSON HLD P/P 144A 08.0000 02/15/2024 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 JP 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPMCC 07-CB20 X1 IO P/P 144A 00.0333 02/12/2051 0.00%
JPMCC 2007-CB20 AJ 06.4559 02/12/2051 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 CS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 DE 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MILAGRO OIL & GAS 0.00%
NINE POINT ENERGY COM 0.00%
OPTN FN30 2.5 10/05/17 CALL 98.1640625 JPMC 0.00%
PRECISION DRILL USD 05.2500 11/15/2024 0.00%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.00%
STRIP 2003-1A N P/P 144A 05.0000 03/24/2018 0.00%
SWPTN 1MX10Y P 2.53 USD 10/23/2017 JP 0.00%
SWPTN 1MX10Y R 1.892 USD 10/05/2017 CS 0.00%
SWPTN 1YX5Y P 1.091 EUR 07/13/2018 CI 0.00%
SWPTN 1YX5Y P 1.291 EUR 07/13/2018 CI 0.00%
SWPTN 3MX10Y P 2.6 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y P 2.62 USD 10/27/2017 GS 0.00%
SWPTN 3MX10Y R 1.3463 GBP 10/03/2017 GS 0.00%
SWPTN 3MX10Y R 1.95 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y R 1.995 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y R 2.015 USD 10/27/2017 GS 0.00%
SWPTN 3MX1Y P 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 0.538 GBP 10/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.296 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.541 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.619 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.755 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.796 USD 10/20/2017 GS 0.00%
SWPTN 3MX2Y R 0.597 GBP 11/21/2017 GS 0.00%
SWPTN 3MX30Y R 1.6 GBP 10/03/2017 GS 0.00%
SWPTN 3MX3Y P 1.993 USD 10/06/2017 JP 0.00%
SWPTN 3MX3Y R 0.779 GBP 10/06/2017 GS 0.00%
SWPTN 3MX3Y R 1.783 USD 10/06/2017 JP 0.00%
SWPTN 3MX5Y P 0.393 EUR 11/03/2017 GS 0.00%
SWPTN 3MX5Y R 0.7685 GBP 11/21/2017 GS 0.00%
SWPTN 4WX10Y R 2.09275 USD 10/13/2017 GS 0.00%
SWPTN 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 1.925 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.023 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y R 2.03 USD 10/10/2017 GS 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 7WX10Y R 1.905 USD 10/27/2017 CI 0.00%
SWPTN 7WX10Y R 2.033 USD 10/27/2017 CI 0.00%
SWPTN LIABILITY 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
TENNECO INC 05.0000 07/15/2026 0.00%
TERVITA CORP CLASS A 0.00%
TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 0.00%
USD/CNH PUT 6.40 20171207 BANKAM 0.00%
WBCMT 2007-C34 IO IO 00.3284 05/15/2046 0.00%
1.25 R ISWP FWD SES3M P 12/20/2027 -0.01%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.01%
2.50 R ISWP FWD US0003M P 12/20/2047 -0.01%
CHF/USD 12/20/2017 GSFX -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CPTFEMU P 1.71 R 08/15/37 -0.01%
CPTFEMU P 1.735 R 09/15/37 -0.01%
CPURNSA P 2.05 R 07/05/27 -0.01%
CPURNSA P 2.085 R 07/03/27 -0.01%
EUR/USD 12/20/2017 RBSF -0.01%
IOS.FN30.350.13 P US0001M R 01/12/44 JP -0.01%
IOS.FN30.400.10 P USL1M R 01/12/41 GS -0.01%
OPTN FN30 3.0 11/06/17 CALL 101.34375 JPMC -0.01%
OPTN FN30 3.0 11/06/17 CALL 101.78125 JPMC -0.01%
SWPTN 3MX10Y P 2.5525 USD 11/03/2017 GS -0.01%
SWPTN 3MX1Y R 2.0 USD 12/20/2017 CI -0.01%
SWPTN 3MX5Y R 0.217 EUR 11/03/2017 GS -0.01%
SWPTN 4WX10Y R 2.18375 USD 10/13/2017 GS -0.01%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.02%
8.12 R ISWP MXIBTIIE P 12/24/2026 -0.02%
8.20 R ISWP MXIBTIIE P 01/07/2027 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CPTFEMU P 1.71 R 07/15/37 -0.02%
CPTFEMU P 1.7138 R 08/15/37 -0.02%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.02%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.02%
OPTN FN30 2.5 10/05/17 PUT 98.1640625 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.2109375 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.3046875 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.3984375 JPMC -0.02%
SWPTN 1MX10Y R 2.227 USD 10/23/2017 CI -0.02%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.02%
SWPTN 5WX10Y P 2.313 USD 10/16/2017 CI -0.02%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI -0.02%
SWPTN LIABILITY 15DX10Y P 2.39 USD 10/13/2017 GS -0.02%
SWPTN LIABILITY 15DX10Y R 2.21 USD 10/13/2017 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.03%
OPTN FN30 3.0 12/06/17 PUT 99.76953125 JPMC -0.03%
OPTN FN30 3.0 12/06/17 PUT 99.86328125 JPMC -0.03%
OPTN FN30 3.0 12/06/17 PUT 99.95703125 JPMC -0.03%
SWPTN 15DX10Y P 2.3 USD 10/13/2017 GS -0.03%
SWPTN 15DX10Y R 2.3 USD 10/13/2017 GS -0.03%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.03%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.03%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.03%
SWPTN 3MX1Y P 1.495 USD 11/30/2017 GS -0.03%
SWPTN 5WX10Y R 2.253 USD 10/27/2017 CI -0.03%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.03%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.03%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.04%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA -0.04%
SWPTN LIABILITY 5WX10Y P 2.398 USD 10/30/2017 BA -0.04%
SWPTN LIABILITY 5WX10Y R 2.214 USD 10/30/2017 BA -0.04%
SWPTN LIABILITY 5WX10Y R 2.22 USD 10/30/2017 GS -0.04%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.05%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.05%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS -0.05%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA -0.05%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.05%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.05%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.05%
AUD/USD 10/18/2017 GSFX -0.06%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.06%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.06%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.06%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.06%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.07%
JPY/USD 11/15/2017 GSFX -0.07%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP -0.07%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.07%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.07%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.07%
SWPTN 3MX5Y P 0.9135 GBP 11/21/2017 GS -0.07%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS -0.07%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.08%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.08%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.08%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.08%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.08%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.08%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.08%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.08%
JPY/USD 11/15/2017 BCAP-FX -0.09%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.09%
FLR USL3M 6.00 03/07/2018 JP -0.10%
SWPTN 5WX10Y P 2.284 USD 10/16/2017 JP -0.10%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.11%
SWPTN LIABILITY 2YX10Y R 1.376 EUR 09/30/2019 JP -0.11%
SWPTN LIABILITY 2YX30Y R 1.758 EUR 09/30/2019 JP -0.11%
OPTN FN30 3.0 11/06/17 PUT 100.23828125 JPMC -0.12%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.13%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.14%
NOK/USD 12/20/2017 GSFX -0.14%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.15%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.15%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS -0.16%
SEK/USD 12/20/2017 CITI -0.17%
NOK/USD 12/20/2017 RBSF -0.18%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.18%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.18%
GBP/USD 12/20/2017 BCAP-FX -0.19%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.21%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.22%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.23%
EUR/USD 12/20/2017 GSFX -0.23%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.24%
GBP/USD 12/20/2017 JPMCB -0.25%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.27%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.29%
EUR/USD 12/20/2017 CSI-FX -0.31%
SEK/USD 12/20/2017 SSBT -0.35%
BRL/USD 01/03/2018 CITI -0.36%
MXN/USD 10/18/2017 HSBCB -0.36%
JPY/USD 11/15/2017 RBSF -0.38%
NZD/USD 10/18/2017 JPMCB -0.39%
CAD/USD 10/18/2017 RBSF -0.40%
ZAR/USD 10/18/2017 GSFX -0.42%
NZD/USD 10/18/2017 SSBT -0.47%
JPY/USD 11/15/2017 HSBCB -0.48%
EUR/USD 12/20/2017 HSBCB -0.49%
EUR/USD 12/20/2017 JPMCB -0.49%
EUR/USD 12/20/2017 UBS -0.49%
HUF/USD 12/20/2017 GSFX -0.49%
JPY/USD 11/15/2017 WPAC -0.49%
SEK/USD 12/20/2017 CSI-FX -0.49%
SEK/USD 12/20/2017 RBSF -0.49%
SEK/USD 12/20/2017 UBS -0.49%
AUD/USD 10/18/2017 SSBT -0.50%
EUR/USD 12/20/2017 BANKAM -0.50%
EUR/USD 12/20/2017 SSBT -0.50%
GBP/USD 12/20/2017 SSBT -0.50%
JPY/USD 11/15/2017 JPMCB -0.50%
NOK/USD 12/20/2017 CITI -0.50%
NOK/USD 12/20/2017 JPMCB -0.50%
AUD/USD 10/18/2017 CSI-FX -0.52%
CAD/USD 10/18/2017 UBS -0.53%
AUD/USD 10/18/2017 UBS -0.55%
AUD/USD 10/18/2017 JPMCB -0.57%
GBP/USD 12/20/2017 UBS -0.63%
GBP/USD 12/20/2017 CITI -0.69%
AUD/USD 10/18/2017 RBSF -0.77%
NOK/USD 12/20/2017 BANKAM -0.89%
NOK/USD 12/20/2017 UBS -0.89%
TRY/USD 12/20/2017 RBSF -0.91%
SEK/USD 12/20/2017 GSFX -0.96%
SEK/USD 12/20/2017 JPMCB -0.96%
EUR/USD 12/20/2017 BCAP-FX -0.99%
JPY/USD 11/15/2017 UBS -0.99%
RUB/USD 12/20/2017 CITI -0.99%
RUB/USD 12/20/2017 BANKAM -1.00%
JPY/USD 11/15/2017 CSI-FX -1.01%
NOK/USD 12/20/2017 SSBT -1.25%
TRY/USD 12/20/2017 GSFX -1.47%
FNMA FN30 TBA 03.0000 10/01/2047 -8.57%

Prior top 10 holdings

Top 10 holdings as of 11/30/17
1: Fnma Fn30 Tba 03.5000 01/01/2048 15.07%
2: Gnma Gii30 Tba 04.5000 01/01/2048 3.00%
3: Fnma Fn30 Tba 02.5000 01/01/2048 2.74%
4: Fnma Fn30 Tba 05.5000 01/01/2048 1.57%
5: Fnma Fn30 Tba 04.0000 01/01/2048 1.49%
6: Gnma Gii30 Tba 04.0000 01/01/2048 1.49%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.93%
8: Cas 2015-C03 1m2 06.3286 07/25/2025 0.91%
9: Cas 2016-C03 2m2 07.2286 10/25/2028 0.86%
10: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.86%
Holdings represent 28.92% of portfolio
Top 10 holdings as of 10/31/17
1: Fnma Fn30 Tba 03.5000 12/01/2047 15.07%
2: Gnma Gii30 Tba 04.0000 11/01/2047 3.48%
3: Gnma Gii30 Tba 04.5000 11/01/2047 3.01%
4: Fnma Fn30 Tba 02.5000 11/01/2047 2.74%
5: Fnma Fn30 Tba 05.5000 11/01/2047 1.57%
6: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.93%
7: Cas 2015-C03 1m2 06.2379 07/25/2025 0.92%
8: Cas 2016-C03 2m2 07.1379 10/25/2028 0.85%
9: Petrobras Global Finance Usd 07.3750 01/17/2027 0.85%
10: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.84%
Holdings represent 30.26% of portfolio
Top 10 holdings as of 09/30/17
1: Fnma Fn30 Tba 03.5000 11/01/2047 15.15%
2: Fnma Fn30 Tba 02.5000 10/01/2047 2.76%
3: Gnma Gii30 Tba 04.0000 10/01/2047 2.50%
4: Gnma Gii30 Tba 04.5000 10/01/2047 2.02%
5: Fnma Fn30 Tba 05.5000 10/01/2047 1.58%
6: Cas 2015-C03 1m2 06.2372 07/25/2025 0.93%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.93%
8: Cas 2016-C03 2m2 07.1372 10/25/2028 0.85%
9: Petroleos Mexicanos Usd 04.5000 01/23/2026 0.85%
10: Cwalt 2006-Oa10 4a1 01.4272 08/25/2046 0.84%
Holdings represent 28.41% of portfolio
Top 10 holdings as of 08/31/17
1: Fnma Fn30 Tba 03.5000 10/01/2047 8.89%
2: Fnma Fn30 Tba 03.5000 09/01/2047 6.43%
3: Fnma Fn30 Tba 02.5000 09/01/2047 2.81%
4: Fnma Fn30 Tba 04.5000 09/01/2047 2.57%
5: Fnma Fn30 Tba 05.5000 09/01/2047 1.58%
6: Fnma Fn30 Tba 04.0000 09/01/2047 1.51%
7: Gnma Gii30 Tba 04.0000 10/01/2047 1.51%
8: Cwalt 2006-Oa10 4a1 01.4244 08/25/2046 1.02%
9: Cas 2015-C03 1m2 06.2344 07/25/2025 0.95%
10: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.94%
Holdings represent 28.21% of portfolio

Sector Weightings as of 11/30/17

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Commercial MBS 14.70% 0.60 9.35% 0.36 24.05% 0.96
High-yield corporate bonds 26.13% 1.01 -3.08% -0.13 23.05% 0.88
Agency CMO 19.58% 0.73 0.91% 0.04 20.49% 0.77
Agency pass-through 0.00% 0.00 12.96% 0.78 12.96% 0.78
Residential MBS (non-agency) 12.00% 0.60 0.00% 0.00 12.00% 0.60
Emerging-market bonds 11.27% 0.72 0.00% 0.00 11.27% 0.72
Net cash 9.25% 0.00 0.00% 0.00 9.25% 0.00
International Treasury/agency 2.77% 0.20 0.00% -0.10 2.77% 0.10
Bank loans 1.71% 0.07 0.00% 0.00 1.71% 0.07
Investment-grade corporate bonds 1.36% 0.09 0.00% 0.00 1.36% 0.09
Convertible securities 1.04% 0.07 0.00% 0.00 1.04% 0.07
Equity investments 0.19% 0.00 0.00% 0.00 0.19% 0.00
Interest rate swaps 0.00% 0.00 0.00% -3.89 0.00% -3.89

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 11/30/17

United States 80.77%
Greece 2.77%
Russia 2.46%
Brazil 2.36%
Argentina 2.22%
Canada 1.48%
Mexico 1.28%
Indonesia 1.11%
Luxembourg 0.83%
 
Other
4.72%
United Kingdom 0.77%
France 0.57%
Bermuda 0.41%
Egypt 0.33%
Ireland 0.31%
Venezuela 0.31%
Dominican Republic 0.30%
Cayman Islands 0.28%
European Community 0.26%
Ivory Coast 0.25%
Netherlands 0.22%
Jamaica 0.19%
Germany 0.17%
Sweden 0.15%
El Salvador 0.12%
Jersey 0.12%
Costa Rica 0.10%
Ecuador 0.10%
Italy 0.10%
Ukraine 0.09%
New Zealand 0.08%
Spain 0.06%
Switzerland 0.01%
South Africa -0.03%
Japan -0.09%
Australia -0.13%
Norway -0.33%

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%