Putnam Hartford Capital Manager

Putnam High Yield Subaccount

The fund seeks high current income. Capital growth is a secondary goal when consistent with achieving high current income.

Fund description

The subaccount seeks high current income by investing principally in corporate bonds rated below investment grade. It offers the potential for higher income than investment-grade bond funds in exchange for the increased risk that accompanies high-yield bond investments. The subaccount is diversified across a range of industries and the management team conducts intensive research to select companies that appear capable of servicing their outstanding debt obligations.

Sales story

Seeking a high level of income for investorsIncome-focused: The portfolio managers strive for a higher level of income than most bonds offer by investing in higher-yielding, lower rated corporate bonds.Focus on performance: The managers can invest across a range of industries and companies, and can adjust the fund's holdings to capitalize on market opportunities.Leading research: The fund's managers, supported by Putnam's fixed-income research division, analyze a range of bonds to build a diversified portfolio.

Management team

Lipper ranking ‡ as of 10/31/17

Category: High Yield Funds

  Percentile ranking Rank/Funds in category
10 yrs. 41% 31/76
1 yr. 46% 50/108
3 yrs. 50% 52/105
5 yrs. 44% 42/96

Risk characteristics as of 10/31/17

Avg. Eff. Maturity 4.60
Avg. Price 106.14
Avg. Eff. Duration 3.27
Avg. Coupon 6.28
Avg. Yield to Maturity 5.71
Alpha (%) --
Beta 0.97
R squared 0.99
Standard deviation (3 yrs.) 5.64

Maturity details

0 to 1 yr. 13.34%
1 to 5 yrs. 47.49%
5 to 10 yrs. 33.99%
10 to 15 yrs. 3.43%
Over 15 yrs. 1.75%

Quality ratings

A 0.32%
BBB 4.28%
BB 38.39%
B 37.00%
CCC and Below 14.43%
Not Rated 3.37%
Net cash 2.21%

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more 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.

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 10/31/17

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 530
Turnover (fiscal year end) 48%
Net Assets $226M
Inception Date 02/01/88

Holdings

Top 10 holdings as of 10/31/17

Sprint Communications 1.93%
Cequel Communications 1.63%
Ally Financial 1.14%
Charter Communications 1.11%
Hca 1.08%
Altice Numericable 1.04%
Valeant Pharmaceuticals International 1.03%
Jack Ohio 0.96%
Scientific Games 0.95%
Dell 0.90%
Top 10 holdings, total: 11.77%

Equity Holdings as of 09/30/17

AMERICAN TOWER CORP 05.5000 CV PFD 0.30%
ALLY FINANCIAL INC 0.25%
ALLERGAN PLC 05.5000 CV PFD 0.21%
CIT GROUP INC 0.21%
GAMING AND LEISURE PROPERTIE 0.20%
KEANE GROUP INC 0.17%
T-MOBILE US INC 05.5000 CV PFD 0.17%
CHARTER COMMUNICATIONS INC-A 0.16%
CROWN CASTLE INTL CORP 06.8750 CUM CV PFD 0.16%
EPR PROPERTIES 05.7500 CUM CV PFD 0.16%
BERRY GLOBAL GROUP INC 0.15%
ISTAR INC 04.5000 CUM CV PFD 0.11%
ELDORADO RESORTS INC 0.10%
SANDRIDGE ENERGY INC 0.10%
HALCON RESOURCES CORP 0.09%
SEVEN GENERATIONS ENERGY - A 0.09%
BELDEN INC 06.7500 CV PFD 0.08%
COMMUNITY HEALTH SYSTEMS INC 0.08%
LIVE NATION ENTERTAINMENT IN 0.07%
NINE POINT ENERGY CNV PRF 0.07%
NINE POINT ENERGY COM 0.03%
VANTAGE DRILLING INT-UNIT 0.03%
TXU TCEH RIGHTS 0.02%
CHC GROUP LLC P/P 0.01%
MILAGRO OIL & GAS 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
ACC CLAIMS HOLDING LLC CLASS A 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
TERVITA CORP CLASS A 0.00%

Full Portfolio Holdings as of 09/30/17

SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.79%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.70%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.70%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.65%
CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 0.61%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.58%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.58%
SOLERA LLC / SOLERA P/P 144A 10.5000 03/01/2024 0.58%
SPRINT CORP 07.2500 09/15/2021 0.58%
BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 0.55%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.55%
INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 0.54%
SPRINT CORP 07.8750 09/15/2023 0.54%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.53%
GOLDEN NUGGET INC P/P 144A 06.7500 10/15/2024 0.52%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.51%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.50%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.49%
MTW FOODSERVICE ESCR 09.5000 02/15/2024 0.48%
CLUBCORP HLDG INC P/P 144A 08.5000 09/15/2025 0.47%
INTELSAT JACKSON HLD P/P 144A 09.7500 07/15/2025 0.47%
TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 0.47%
AVAYA INC P/P 144A 07.0000 04/01/2019 0.43%
ALTA MESA HLDGS P/P 144A 07.8750 12/15/2024 0.42%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.42%
CSC HOLDINGS LLC P/P 144A 10.1250 01/15/2023 0.42%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.42%
T-MOBILE USA INC 06.3750 03/01/2025 0.41%
BLUELINE RENTAL CRP P/P 144A 09.2500 03/15/2024 0.40%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.40%
CAESARS ENT OPER TLB6B L+775 11.7500 03/01/2018 0.40%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.40%
HCA INC 06.5000 02/15/2020 0.40%
JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 0.40%
NAVISTAR TLB L+400 05.2400 08/07/2020 0.40%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.40%
PULTEGROUP INC. 07.8750 06/15/2032 0.40%
US CONCRETE INC 06.3750 06/01/2024 0.40%
ADS INC P/P 144A 05.6250 11/15/2024 0.39%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.39%
CIT GROUP INC 05.0000 08/01/2023 0.39%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.39%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.39%
LOUISIANA-PACIFIC CORP 04.8750 09/15/2024 0.38%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.38%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.37%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.37%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.37%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.36%
DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 0.36%
INFOR SOFTWARE P/P 144A 07.1250 05/01/2021 0.36%
MASONITE INTL C P/P 144A 05.6250 03/15/2023 0.36%
ORTHO-CLINICAL INC/S P/P 144A 06.6250 05/15/2022 0.36%
SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 0.36%
HCA INC 05.5000 06/15/2047 0.35%
PLANTRONICS INC P/P 144A 05.5000 05/31/2023 0.35%
RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 0.35%
TENET HEALTHCARE 06.0000 10/01/2020 0.35%
TRANSDIGM INC 06.3750 06/15/2026 0.35%
ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 0.34%
AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 0.34%
ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 0.34%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.34%
DIAMONDBACK ENERGY INC 05.3750 05/31/2025 0.34%
JONAH NRG LLC/FINANC P/P 144A 07.2500 10/15/2025 0.34%
NORBORD INC P/P 144A 06.2500 04/15/2023 0.34%
AES CORP/VA 07.3750 07/01/2021 0.33%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.33%
BRAND ENERGY TL L+425 05.5219 06/21/2024 0.33%
RANGE RESOURCES CORP 05.7500 06/01/2021 0.33%
VALEANT PHARMA P/P 144A 06.1250 04/15/2025 0.33%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.33%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.32%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.32%
MASTEC INC 04.8750 03/15/2023 0.32%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.32%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.32%
BLUE CUBE SPINCO INC 09.7500 10/15/2023 0.31%
DEAN FOODS CO P/P 144A 06.5000 03/15/2023 0.31%
GOLDEN NUGGET INC P/P 144A 08.7500 10/01/2025 0.31%
MERCER INTL INC USD 07.7500 12/01/2022 0.31%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.31%
AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 0.30%
AMERICAN TOWER CORP 05.5000 CV PFD 0.30%
BROOKFIELD RESID P/P 144A 06.5000 12/15/2020 0.30%
BUILDERS FIRSTSOURCE P/P 144A 10.7500 08/15/2023 0.30%
CEC ENT INC 08.0000 02/15/2022 0.30%
CEMEX FINANCE LLC P/P 144A 06.0000 04/01/2024 0.30%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.30%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.30%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.30%
IRON MOUNTAIN INC P/P 144A 04.8750 09/15/2027 0.30%
ALLISON TRANSMISSION P/P 144A 05.0000 10/01/2024 0.29%
ALTICE FINCO SA P/P 144A 07.6250 02/15/2025 0.29%
CALPINE CORP 05.7500 01/15/2025 0.29%
DRESDNER FDG TRST I P/P 144A 08.1510 06/30/2031 0.29%
EMI MUSIC PUBLISHING P/P 144A 07.6250 06/15/2024 0.29%
LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 0.29%
NEWFIELD EXPLORATION CO 05.7500 01/30/2022 0.29%
BIG RVR STL/FIN P/P 144A 07.2500 09/01/2025 0.28%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.28%
INFOR US INC 06.5000 05/15/2022 0.28%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.28%
ALPHA 3 BV / US BID P/P 144A 06.2500 02/01/2025 0.27%
CRC ESCROW ISSUER LL P/P 144A 05.2500 10/15/2025 0.27%
ENDEAVOR ENERGY P/P 144A 08.1250 09/15/2023 0.27%
FIRST DATA CORP P/P 144A 05.7500 01/15/2024 0.27%
GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 0.27%
GREAT LAKES D&D 08.0000 05/15/2022 0.27%
WERNER FINCO LP/INC P/P 144A 08.7500 07/15/2025 0.27%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.26%
ASP AMC MERGER SUB P/P 144A 08.0000 05/15/2025 0.26%
DAKOTA MERGER SUB P/P 144A 10.7500 09/01/2024 0.26%
DYNEGY INC 07.3750 11/01/2022 0.26%
FLEX ACQ CO INC P/P 144A 06.8750 01/15/2025 0.26%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.26%
NRG ENERGY INC 06.6250 01/15/2027 0.26%
SEVEN GENS ENER P/P 144A 08.2500 05/15/2020 0.26%
SIX FLAGS ENT P/P 144A 05.5000 04/15/2027 0.26%
SM ENERGY CO 06.5000 11/15/2021 0.26%
SPCM SA P/P 144A 04.8750 09/15/2025 0.26%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.26%
TEMPO ACQ LLC/FI P/P 144A 06.7500 06/01/2025 0.26%
AES CORP/VA 05.5000 04/15/2025 0.25%
ALLEGHENY TECHNOLOGIES INC 09.3750 06/01/2019 0.25%
ALLY FINANCIAL INC 0.25%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.25%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.25%
GW HONOS SECURITY CO P/P 144A 08.7500 05/15/2025 0.25%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.25%
SERVICE CORP INTL 05.3750 01/15/2022 0.25%
SFR GROUP SA P/P 144A 07.3750 05/01/2026 0.25%
VIRGIN MEDIA FIN PLC P/P 144A 05.7500 01/15/2025 0.25%
ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 0.25%
CAD/USD 10/18/2017 JPMCB 0.24%
CENTENE CORP 06.1250 02/15/2024 0.24%
CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 0.24%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.24%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.24%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.24%
PARK-OHIO INDUSTRIES INC 06.6250 04/15/2027 0.24%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.24%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.24%
SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 0.24%
SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 0.24%
T-MOBILE USA INC 05.3750 04/15/2027 0.24%
USG CORP P/P 144A 04.8750 06/01/2027 0.24%
VALEANT PHARMA P/P 144A 07.0000 03/15/2024 0.24%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.23%
CHEMOURS CO 07.0000 05/15/2025 0.23%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.23%
DISH NETWORK CV 03.3750 08/15/2026 0.23%
EVEREST ACQ LLC/FIN 09.3750 05/01/2020 0.23%
FIRST QUANTUM MINERA P/P 144A 07.2500 05/15/2022 0.23%
HCA INC 05.2500 06/15/2026 0.23%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.23%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.23%
LIONS GATE ENT P/P 144A 05.8750 11/01/2024 0.23%
MERCER INTL INC USD 06.5000 02/01/2024 0.23%
REVLON CONS TLB L+350 04.7350 09/07/2023 0.23%
REVLON CONSUMER PROD 06.2500 08/01/2024 0.23%
TENNECO INC 05.3750 12/15/2024 0.23%
TMS INTL CORP P/P 144A 07.2500 08/15/2025 0.23%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.23%
WPX ENERGY INC 07.5000 08/01/2020 0.23%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.22%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.22%
ASHTEAD CAPITAL INC P/P 144A 04.1250 08/15/2025 0.22%
AVAYA TLB7 L+525 06.5639 05/29/2020 0.22%
CLEAR CHANNEL TLD L+675 08.0828 01/30/2019 0.22%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.22%
FRAC TECH INTL TLB L+475 05.9850 04/16/2021 0.22%
JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 0.22%
NOVA CHEMICALS CORP P/P 144A 05.2500 06/01/2027 0.22%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.22%
TTM TECHNOLOGIES INC P/P 144A 05.6250 10/01/2025 0.22%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.22%
ALLERGAN PLC 05.5000 CV PFD 0.21%
BRAND ENERGY & I P/P 144A 08.5000 07/15/2025 0.21%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.21%
CIT GROUP INC 0.21%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.21%
DIAMOND BC BV P/P 144A 05.6250 08/15/2025 0.21%
DYNEGY INC P/P 144A 08.1250 01/30/2026 0.21%
EUR/USD 12/20/2017 BANKAM 0.21%
NOVELIS CORP P/P 144A 05.8750 09/30/2026 0.21%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.21%
SM ENERGY CO 05.0000 01/15/2024 0.21%
UNIVISION COMM P/P 144A 05.1250 02/15/2025 0.21%
ASURION 2NDL L+600 07.3000 08/04/2025 0.20%
CEMEX FINANCE LLC P/P 144A 09.3750 10/12/2022 0.20%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.20%
GAMING AND LEISURE PROPERTIE 0.20%
GRAY TELEVISION INC P/P 144A 05.8750 07/15/2026 0.20%
KRATON POLYMERS P/P 144A 10.5000 04/15/2023 0.20%
NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 0.20%
NEWFIELD EXPLORATION CO 05.3750 01/01/2026 0.20%
PRECISION DRILLING CORP USD 07.7500 12/15/2023 0.20%
SEALED AIR CORP P/P 144A 06.8750 07/15/2033 0.20%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.20%
USIS MERGER SUB INC P/P 144A 06.8750 05/01/2025 0.20%
ARCELORMITTAL USD 06.1250 06/01/2025 0.19%
FRONTIER COMM 10.5000 09/15/2022 0.19%
JAZZ US HOLDINGS INC CV 08.0000 12/31/2018 0.19%
KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 0.19%
KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 0.19%
KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 0.19%
LAREDO PETROLEUM INC 07.3750 05/01/2022 0.19%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.19%
ON SEMICONDUC CV 01.0000 12/01/2020 0.19%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.19%
VALEANT PHARMA P/P 144A 05.8750 05/15/2023 0.19%
WRANGLER BUYER CORP P/P 144A 06.0000 10/01/2025 0.19%
AMC ENTERTAINMENT HOLDIN 05.7500 06/15/2025 0.18%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.18%
AXALTA COATING SYS P/P 144A 04.8750 08/15/2024 0.18%
CONTINENTAL RES 04.5000 04/15/2023 0.18%
CSTN MERGER SUB INC P/P 144A 06.7500 08/15/2024 0.18%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.18%
FIRST QUANTUM MINERA P/P 144A 07.5000 04/01/2025 0.18%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.18%
NRG ENERGY INC 07.2500 05/15/2026 0.18%
PENSKE AUTO GRP INC 05.7500 10/01/2022 0.18%
SERVICE CORP INTL 05.3750 05/15/2024 0.18%
SOLENIS 2NDL L+675 08.0669 07/31/2022 0.18%
WMG ACQUISITION CORP P/P 144A 05.0000 08/01/2023 0.18%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.17%
ARDAGH PKG FIN/HLDGS P/P 144A 06.0000 02/15/2025 0.17%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.17%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.17%
KEANE GROUP INC 0.17%
NEW GOLD INC P/P 144A 06.2500 11/15/2022 0.17%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.17%
SFR GROUP SA P/P 144A 06.0000 05/15/2022 0.17%
T-MOBILE US INC 05.5000 CV PFD 0.17%
TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 0.17%
WPX ENERGY INC 08.2500 08/01/2023 0.17%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.17%
A SCHULMAN INC 06.8750 06/01/2023 0.16%
ACADEMY SPORTS TLB L+400 05.2737 07/02/2022 0.16%
BOYD GAMING CORPORATION 06.8750 05/15/2023 0.16%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.16%
CBS RADIO INC P/P 144A 07.2500 11/01/2024 0.16%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.16%
CENTENE CORP 04.7500 05/15/2022 0.16%
CHARTER COMMUNICATIONS INC-A 0.16%
CROWN CASTLE INTL CORP 06.8750 CUM CV PFD 0.16%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.16%
DYNEGY INC 07.6250 11/01/2024 0.16%
EPR PROPERTIES 05.7500 CUM CV PFD 0.16%
GETTY IMAGES TLB L+350 04.7500 10/18/2019 0.16%
HIGH RIDGE BRANDS CO P/P 144A 08.8750 03/15/2025 0.16%
LLOYDS BANKING GROUP PLC USD 07.5000 04/30/2049 0.16%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.16%
NIELSEN FIN LLC/CO P/P 144A 05.0000 04/15/2022 0.16%
PENN NATIONAL GAMING P/P 144A 05.6250 01/15/2027 0.16%
REALOGY GROUP/CO-ISS P/P 144A 04.8750 06/01/2023 0.16%
SHELF DRILL HOLD LTD P/P 144A 09.5000 11/02/2020 0.16%
SUGAR HSP GAMING P/P 144A 05.8750 05/15/2025 0.16%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.16%
USG CORP P/P 144A 05.5000 03/01/2025 0.16%
WEST CORP P/P 144A 05.3750 07/15/2022 0.16%
WINDSTREAM SERVICES LLC 06.3750 08/01/2023 0.16%
AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 0.15%
BERRY GLOBAL GROUP INC 0.15%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.15%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.15%
DIGICEL GROUP LTD P/P 144A 08.2500 09/30/2020 0.15%
DISH DBS CORP 05.8750 11/15/2024 0.15%
GLP CAP LP / FIN II 04.8750 11/01/2020 0.15%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.15%
NAVISTAR INTERNATIONAL CORP 08.2500 11/01/2021 0.15%
SCHAEFFLER VERWA P/P 144A 04.7500 09/15/2026 0.15%
SEMGROUP CORP P/P 144A 06.3750 03/15/2025 0.15%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.15%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.15%
STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 0.15%
VALEANT PHARMA P/P 144A 05.3750 03/15/2020 0.15%
ZF NA CAPITAL P/P 144A 04.7500 04/29/2025 0.15%
AMC ENT HOLDIN 05.8750 11/15/2026 0.14%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.14%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.14%
CALATLANTIC GROUP INC 05.8750 11/15/2024 0.14%
CHEMOURS CO 05.3750 05/15/2027 0.14%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.14%
CONSTELLIUM NV P/P 144A 05.7500 05/15/2024 0.14%
CONTINENTAL RESOURCES 04.9000 06/01/2044 0.14%
COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 0.14%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.14%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.14%
ICAHN ENTER/FIN 06.7500 02/01/2024 0.14%
KRONOS 2NDL L+825 09.5606 11/01/2024 0.14%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.14%
MATTAMY GROUP CORP P/P 144A 06.5000 10/01/2025 0.14%
MURPHY OIL CORP 05.7500 08/15/2025 0.14%
NRG ENERGY INC 07.8750 05/15/2021 0.14%
OSHKOSH CORP 05.3750 03/01/2025 0.14%
REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 0.14%
SPECTRUM BRANDS INC 06.1250 12/15/2024 0.14%
SPRINGLEAF FINANCE CORP 06.1250 05/15/2022 0.14%
TALBOTS INC 1STL L+450 05.7350 03/19/2020 0.14%
TR OP / TR FIN P/P 144A 05.3750 09/01/2025 0.14%
VENATOR FIN SARL/VEN P/P 144A 05.7500 07/15/2025 0.14%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.14%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.13%
ALLIANT HOLD / CO-IS P/P 144A 08.2500 08/01/2023 0.13%
ANTERO RESOURCES FIN 05.1250 12/01/2022 0.13%
ARCELORMITTAL USD 07.5000 10/15/2039 0.13%
CINEMARK USA INC 05.1250 12/15/2022 0.13%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.13%
CLEAR CHNL WORLD 07.6250 03/15/2020 0.13%
CONCORDIA HEALTH TLB L+425 05.4850 10/21/2021 0.13%
FIRST QUANTUM MINERA P/P 144A 07.2500 04/01/2023 0.13%
FIRST QUANTUM P/P 144A 07.0000 02/15/2021 0.13%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.13%
LLOYDS BANK PLC 13.0000 01/29/2049 0.13%
PILGRIM'S PRIDE CORP P/P 144A 05.7500 03/15/2025 0.13%
PLATFORM SPECIALTY P/P 144A 06.5000 02/01/2022 0.13%
SEVEN GENERATIONS P/P 144A 05.3750 09/30/2025 0.13%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.13%
STEEL DYNAMICS INC 05.5000 10/01/2024 0.13%
TARGA RES PRTNRS 05.3750 02/01/2027 0.13%
THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 0.13%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.13%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.12%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.12%
CALFRAC HOLDINGS LP P/P 144A 07.5000 12/01/2020 0.12%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.12%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.12%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.12%
CREDIT ACCEPTANC 07.3750 03/15/2023 0.12%
FREEPORT-MCMORAN COPPER & GOL 03.5500 03/01/2022 0.12%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.12%
KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 0.12%
MICRON TECH INC P/P 144A 05.2500 01/15/2024 0.12%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.12%
NOVA CHEMICALS CORP P/P 144A 04.8750 06/01/2024 0.12%
OSHKOSH CORP 05.3750 03/01/2022 0.12%
REVLON CONSUMER PRODS 05.7500 02/15/2021 0.12%
REYNOLDS GRP ISS/REY P/P 144A 07.0000 07/15/2024 0.12%
ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 0.12%
THE AES CORPORATION 04.8750 05/15/2023 0.12%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.11%
AIR METHODS TLB L+350 04.7964 04/21/2024 0.11%
CALPINE CORP P/P 144A 05.2500 06/01/2026 0.11%
CHEMOURS CO 06.6250 05/15/2023 0.11%
CIT GROUP INC. 05.0000 08/15/2022 0.11%
CONSTELLIUM NV P/P 144A 06.6250 03/01/2025 0.11%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.11%
CSC HOLDINGS LLC P/P 144A 10.8750 10/15/2025 0.11%
GENON AMERICAS GENR LLC 08.5000 10/01/2021 0.11%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.11%
HCA INC. 07.5000 02/15/2022 0.11%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.11%
ISTAR INC 04.5000 CUM CV PFD 0.11%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.11%
LIVE NATION ENT P/P 144A 04.8750 11/01/2024 0.11%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.11%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.11%
POMEGRANATE MERGER S P/P 144A 09.7500 05/01/2023 0.11%
SEVEN GENERATIONS EN P/P 144A 06.7500 05/01/2023 0.11%
SFR GROUP SA P/P 144A 06.2500 05/15/2024 0.11%
TENET HEALTHCARE CORP 08.1250 04/01/2022 0.11%
THE WILLIAMS COMPANIES INC. 08.7500 03/15/2032 0.11%
TRAVERSE TLB L+400 05.0000 09/27/2024 0.11%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.11%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.11%
WILLIAMS COS INC 07.7500 06/15/2031 0.11%
ZUFFA (UFC) 2NDL L+750 08.7372 08/18/2024 0.11%
AK STEEL CORP 06.3750 10/15/2025 0.10%
ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 0.10%
ANDEAVOR LOGIS LP/CORP 05.2500 01/15/2025 0.10%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.10%
BIOSCRIP INC 08.8750 02/15/2021 0.10%
CCO HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 0.10%
CHS/COMMUNITY HEALTH SYS 07.1250 07/15/2020 0.10%
DFC FINANCE CORP P/P 144A 10.5000 06/15/2020 0.10%
ELDORADO RESORTS INC 0.10%
MGP ESCROW ISSUER/CO 05.6250 05/01/2024 0.10%
MOOG INC P/P 144A 05.2500 12/01/2022 0.10%
MURRAY ENERGY CORP P/P 144A 11.2500 04/15/2021 0.10%
SANDRIDGE ENERGY INC 0.10%
SPECTRUM BRANDS INC 05.7500 07/15/2025 0.10%
TENNECO INC 05.0000 07/15/2026 0.10%
UNITYMEDIA KABELBW P/P 144A 06.1250 01/15/2025 0.10%
VALEANT PHARMACEUTIC P/P 144A 05.5000 03/01/2023 0.10%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.10%
1011778 BC / NEW RED P/P 144A 05.0000 10/15/2025 0.09%
ALLEGHENY TECHNOLOGIES 05.9500 01/15/2021 0.09%
AMC ENT HOLDIN 06.1250 05/15/2027 0.09%
ANTERO RESOURCES 05.3750 11/01/2021 0.09%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.09%
BANCO BILBAO VIZCAYA ARG REGS 09.0000 05/29/2049 0.09%
BON-TON DEPT STORES 08.0000 06/15/2021 0.09%
CALIFORNIA RESOURCES 05.0000 01/15/2020 0.09%
CCC INFO 2NDL L+675 07.9850 03/30/2025 0.09%
CDK GLOBAL INC P/P 144A 04.8750 06/01/2027 0.09%
CEMEX SAB DE CV P/P 144A 05.7000 01/11/2025 0.09%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.09%
CITIGROUP INC 06.2500 12/29/2049 0.09%
CONTINENTAL RESOURCES 03.8000 06/01/2024 0.09%
CPG INTL TL L+375 05.0828 05/03/2024 0.09%
CSC HOLDINGS LLC 06.7500 11/15/2021 0.09%
DIAMONDBACK ENERGY INC 04.7500 11/01/2024 0.09%
ENDO FIN LLC/ENDO FI P/P 144A 05.3750 01/15/2023 0.09%
ENDO PHARMA TLB L+425 05.5000 04/27/2024 0.09%
EP ENER/EVEREST ACQ P/P 144A 08.0000 02/15/2025 0.09%
GENON AMERICAS GENR LLC 09.1250 05/01/2031 0.09%
HALCON RESOURCES CORP 0.09%
ISTAR INC 06.0000 04/01/2022 0.09%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.09%
ROBERTSHAW 1STL L+450 05.7500 08/10/2024 0.09%
SEVEN GENERATIONS ENERGY - A 0.09%
SPRINGLEAF FINANCE CORP 08.2500 12/15/2020 0.09%
TALBOTS INC 2NDL L+850 09.7350 03/19/2021 0.09%
AES CORP/VA 05.1250 09/01/2027 0.08%
ASCEND LEARNING LLC P/P 144A 06.8750 08/01/2025 0.08%
BELDEN INC 06.7500 CV PFD 0.08%
BOYD GAMING CORP 06.3750 04/01/2026 0.08%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.08%
CAPITAL AUTO 2NDL L+600 07.2400 03/24/2025 0.08%
CCM MERGER INC P/P 144A 06.0000 03/15/2022 0.08%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.08%
COMMUNITY HEALTH SYSTEMS INC 0.08%
CREDIT ACCEPTANC 06.1250 02/15/2021 0.08%
DEL MONTE 2NDL L+725 08.6900 08/18/2021 0.08%
DENBURY RESOURCES INC 06.3750 08/15/2021 0.08%
HALYARD HEALTH INC 06.2500 10/15/2022 0.08%
JACOBS ENT INC P/P 144A 07.8750 02/01/2024 0.08%
LIBERTY MUTUAL GROUP P/P 144A 07.8000 03/15/2037 0.08%
MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 0.08%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.08%
SESI LLC 07.1250 12/15/2021 0.08%
SESI LLC P/P 144A 07.7500 09/15/2024 0.08%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.08%
TECK RESOURCES LIMITED USD 03.7500 02/01/2023 0.08%
TRANSDIGM INC 06.5000 05/15/2025 0.08%
UNITED STATES STEEL CORP 06.8750 08/15/2025 0.08%
VALEANT PHARMA P/P 144A 06.5000 03/15/2022 0.08%
WEATHERFORD BERMUDA P/P 144A 09.8750 02/15/2024 0.08%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.07%
CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 0.07%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 06/15/2027 0.07%
CINEMARK USA INC 04.8750 06/01/2023 0.07%
EP ENER/EVEREST P/P 144A 08.0000 11/29/2024 0.07%
GRINDING MEDIA/M P/P 144A 07.3750 12/15/2023 0.07%
HALCON RESOURCES COR P/P 144A 12.0000 02/15/2022 0.07%
ISTAR INC 05.2500 09/15/2022 0.07%
J CREW TLB L+300 04.2437 03/05/2021 0.07%
LAREDO PETROLEUM INC 05.6250 01/15/2022 0.07%
LIVE NATION ENTERTAINMENT IN 0.07%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.07%
MGM GROWTH/MGM FIN P/P 144A 04.5000 01/15/2028 0.07%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.07%
NINE POINT ENERGY CNV PRF 0.07%
REGAL ENTERTAINMENT GRP 05.7500 02/01/2025 0.07%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.07%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.07%
TARGA RES PRTNRS 05.1250 02/01/2025 0.07%
TRONOX FINANCE PLC P/P 144A 05.7500 10/01/2025 0.07%
WABASH NATIONAL CORP P/P 144A 05.5000 10/01/2025 0.07%
CAD/USD 10/18/2017 CITI 0.06%
CENTENE CORP 04.7500 01/15/2025 0.06%
CF INDUSTRIES INC 04.9500 06/01/2043 0.06%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.06%
DYNEGY INC P/P 144A 08.0000 01/15/2025 0.06%
HUB HLDG LLC/HUB HOL P/P 144A 08.1250 07/15/2019 0.06%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 0.06%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.06%
MEG ENERGY TLB L+350 04.8328 12/31/2023 0.06%
MGM RESORTS INTL 06.6250 12/15/2021 0.06%
NEIMAN MARCUS GROUP P/P 144A 08.7500 10/15/2021 0.06%
NEW GOLD INC P/P 144A 06.3750 05/15/2025 0.06%
OASIS PETROLEUM INC 06.5000 11/01/2021 0.06%
PETSMART INC P/P 144A 07.1250 03/15/2023 0.06%
PETSMART INC TLB L+300 04.2460 03/11/2022 0.06%
STEEL DYNAMICS INC P/P 144A 04.1250 09/15/2025 0.06%
T-MOBILE USA INC 06.6250 04/01/2023 0.06%
1011778 BC / NEW RED P/P 144A 06.0000 04/01/2022 0.05%
CAD/USD 10/18/2017 SSBT 0.05%
CHS/COMMUNITY HEALTH 08.0000 11/15/2019 0.05%
CONCORDIA INTL P/P 144A 07.0000 04/15/2023 0.05%
FORTERRA TL L+300 04.2350 10/25/2023 0.05%
FRONTIER COMM 11.0000 09/15/2025 0.05%
FRONTIER COMMUNICATIONS 07.6250 04/15/2024 0.05%
FTS INTL INC P/P 144A 08.8200 06/15/2020 0.05%
GBP/USD 12/20/2017 UBS 0.05%
GENON ENERGY INC. 09.8750 10/15/2020 0.05%
INTELSAT LUXEMB USD 07.7500 06/01/2021 0.05%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.05%
MGM RESORTS INTL 08.6250 02/01/2019 0.05%
NEW ARCLIN 2NDL L+875 10.0828 02/14/2025 0.05%
QUEBECOR MEDIA INC USD 05.7500 01/15/2023 0.05%
ROBERTSHAW 2NDL L+900 10.2500 02/04/2025 0.05%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.05%
TECK RESOURCES LIMITED USD 04.7500 01/15/2022 0.05%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.04%
AMC ENTERTAINMENT HOLDIN 05.8750 02/15/2022 0.04%
CABLEVISION SYS CORP 08.0000 04/15/2020 0.04%
CONTINENTAL RESOURCES 05.0000 09/15/2022 0.04%
FREEPORT-MCMORAN INC 06.7500 02/01/2022 0.04%
LENNAR CORP 04.7500 11/15/2022 0.04%
MOLINA HEALTHCARE IN P/P 144A 04.8750 06/15/2025 0.04%
PLATFORM SPECIALTY P P/P 144A 10.3750 05/01/2021 0.04%
TECK RESOURCES LTD P/P 144A 08.5000 06/01/2024 0.04%
TENNANT CO P/P 144A 05.6250 05/01/2025 0.04%
WEATHERFORD BERMUDA 08.2500 06/15/2023 0.04%
ALLEGHENY TECHNOLOGIES 07.8750 08/15/2023 0.03%
CD&R WATERWORKS MERGER 144A 6.125000 08/15/2025 0.03%
CONCORDIA INTL P/P 144A 09.0000 04/01/2022 0.03%
INTELSAT JACKSON HLDG USD 07.5000 04/01/2021 0.03%
LENNAR CORPORATION 04.7500 04/01/2021 0.03%
NINE POINT ENERGY COM 0.03%
PACTIV LLC 08.3750 04/15/2027 0.03%
VANTAGE DRILLING INT-UNIT 0.03%
SM ENERGY CO 06.1250 11/15/2022 0.02%
TXU TCEH RIGHTS 0.02%
CHC GROUP LLC P/P 0.01%
INTELSAT CONNECT FIN P/P 144A 12.5000 04/01/2022 0.01%
MILAGRO OIL & GAS 0.01%
PRECISION DRILL USD 05.2500 11/15/2024 0.01%
PULTEGROUP INC 05.5000 03/01/2026 0.01%
SM ENERGY CO 06.7500 09/15/2026 0.01%
TRIBUNE CLASS 1C LITIGAT 0.01%
ACC CLAIMS HOLDING LLC CLASS A 0.00%
ESC CHESAPEAKEOILFIELD 06.6250 11/15/2019 0.00%
ESC SEVENTYSEVENERG 06.5000 07/15/2022 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
TERVITA CORP CLASS A 0.00%
TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 0.00%
GBP/USD 12/20/2017 UBS -0.05%
CAD/USD 10/18/2017 CITI -0.06%
CAD/USD 10/18/2017 SSBT -0.06%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.12%
EUR/USD 12/20/2017 BANKAM -0.21%
CAD/USD 10/18/2017 JPMCB -0.25%

Prior top 10 holdings

Top 10 holdings as of 10/31/17
1: Sprint Communications 1.93%
2: Cequel Communications 1.63%
3: Ally Financial 1.14%
4: Charter Communications 1.11%
5: Hca 1.08%
6: Altice Numericable 1.04%
7: Valeant Pharmaceuticals International 1.03%
8: Jack Ohio 0.96%
9: Scientific Games 0.95%
10: Dell 0.90%
Holdings represent 11.77% of portfolio
Top 10 holdings as of 09/30/17
1: Sprint Communications 1.98%
2: Cequel Communications 1.63%
3: Charter Communications 1.13%
4: Ally Financial 1.09%
5: Hca 1.09%
6: Valeant Pharmaceuticals International 1.09%
7: Altice Numericable 1.04%
8: Jack Ohio 0.95%
9: Scientific Games 0.94%
10: Chesapeake Energy 0.91%
Holdings represent 11.85% of portfolio
Top 10 holdings as of 08/31/17
1: Scientific Games Int 10.0000 12/01/2022 0.78%
2: Sprint Capital Corporation 06.8750 11/15/2028 0.77%
3: Diamond 1 Fin/Diamon P/P 144a 07.1250 06/15/2024 0.70%
4: Royal Bk Scotlnd Grp Usd 07.6480 08/29/2049 0.64%
5: Ceridian Hcm Holding P/P 144a 11.0000 03/15/2021 0.63%
6: Sprint Corp 07.2500 09/15/2021 0.59%
7: Cco Hldgs Llc/Cap P/P 144a 05.8750 04/01/2024 0.58%
8: Ally Financial 08.0000 11/01/2031 0.57%
9: Ti Group Auto Sys Ll P/P 144a 08.7500 07/15/2023 0.56%
10: Jack Ohio Fin Llc/Fi P/P 144a 06.7500 11/15/2021 0.55%
Holdings represent 6.37% of portfolio
Top 10 holdings as of 07/31/17
1: Scientific Games Int 10.0000 12/01/2022 0.76%
2: Sprint Capital Corporation 06.8750 11/15/2028 0.74%
3: Diamond 1 Fin/Diamon P/P 144a 07.1250 06/15/2024 0.68%
4: Royal Bk Scotlnd Grp Usd 07.6480 08/29/2049 0.63%
5: Ceridian Hcm Holding P/P 144a 11.0000 03/15/2021 0.61%
6: Sprint Corp 07.2500 09/15/2021 0.58%
7: Cco Hldgs Llc/Cap P/P 144a 05.8750 04/01/2024 0.57%
8: Ti Group Auto Sys Ll P/P 144a 08.7500 07/15/2023 0.54%
9: Ally Financial 08.0000 11/01/2031 0.54%
10: Jack Ohio Fin Llc/Fi P/P 144a 06.7500 11/15/2021 0.53%
Holdings represent 6.18% of portfolio

Sector Weightings as of 10/31/17

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
High-yield corporate bonds 83.68% 3.09 -1.63% -0.07 82.05% 3.02
Investment-grade corporate bonds 5.01% 0.32 0.00% 0.00 5.01% 0.32
Bank loans 4.52% 0.17 0.00% 0.00 4.52% 0.17
Net cash 2.21% 0.00 0.00% 0.00 2.21% 0.00
Convertible securities 1.98% 0.05 0.00% 0.00 1.98% 0.05
Equity investments 1.81% 0.00 0.00% 0.00 1.81% 0.00
Emerging-market bonds 0.79% 0.02 0.00% 0.00 0.79% 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.

Lower rated bonds may offer higher yields in return for more 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.

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.

Top Industry Sectors as of 10/31/17

Consumer cyclicals 20.20%
Basic materials 15.40%
Energy 12.06%
Communication services 10.58%
Financials 9.07%
Capital goods 7.26%
Health care 7.15%
Consumer staples 6.41%
Technology 6.03%
 
Other
4.21%
Utilities 3.32%
Net Cash 2.21%
Transportation 0.31%
Non-cash investments -1.63%

Country Allocation as of 10/31/17

United States 84.85%
Canada 6.04%
United Kingdom 1.99%
Luxembourg 1.64%
France 1.44%
Ireland 1.17%
Netherlands 0.54%
Bermuda 0.50%
Indonesia 0.40%
 
Other
1.43%
Jamaica 0.38%
Mexico 0.38%
Germany 0.25%
Switzerland 0.25%
Spain 0.09%
Cayman Islands 0.08%