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Putnam Allstate Advisor Plus
Putnam Diversified Income Subaccount
The subaccount seeks as high a level of current income as Putnam Management believes is consistent with preservation of capital.
- Highlights
- Performance
- Holdings
- Expenses
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
- Michael V. Salm (Investing since 1989)
- Paul D. Scanlon, CFA (Investing since 1986)
- Michael J. Atkin (Investing since 1988)
- D. William Kohli (Investing since 1988)
Daily Pricing as of 09/28/16
| with optional enhanced death benefits | ||
|---|---|---|
| Unit Value | $17.347063 | $16.913398 |
| Unit Value Change | 0.029044 | 0.028248 |
‡ Lipper Ranking as of 08/31/16
Category: General Bond Funds
| Percentile ranking | Rank/Funds in category | |
|---|---|---|
| 10 yrs. | 93% | 23/24 |
| 1 yr. | 98% | 48/48 |
| 3 yrs. | 98% | 39/39 |
| 5 yrs. | 80% | 23/28 |
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.
You can lose money by investing in a fund. Any given fund may not achieve its goal, and is not intended as a complete investment program. All funds have risk. The value and/or returns of a portfolio will fluctuate with market conditions. You may have more or less than the original amount invested when you redeem your shares.
‡ 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.
Performance as of 06/30/16
| Annualized Performance | Last Quarter | Year to Date |
1 yr. | 3 yrs. | 5 yrs. | 10 yrs. | Life of subaccount |
|---|---|---|---|---|---|---|---|
| Restated performance | |||||||
| Unit Value | 1.04% | -3.52% | -6.41% | -1.67% | -0.05% | 2.31% | 3.23% |
| Standardized | -6.96% | -11.24% | -13.90% | -4.37% | -1.27% | 2.31% | 3.23% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.00% | -3.59% | -6.55% | -1.82% | -0.20% | 2.16% | 3.08% |
| Standardized | -7.00% | -11.31% | -14.03% | -4.51% | -1.43% | 2.16% | 3.08% |
| Actual performance | |||||||
| Unit Value | 1.04% | -3.52% | -6.41% | -1.67% | -0.05% | 2.31% | 3.23% |
| Standardized | -6.96% | -11.24% | -13.90% | -4.37% | -1.27% | 2.31% | 3.23% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.00% | -3.59% | -6.55% | -1.82% | -0.20% | 2.16% | 3.08% |
| Standardized | -7.00% | -11.31% | -14.03% | -4.51% | -1.43% | 2.16% | 3.08% |
| Cumulative Performance | Last Quarter | Year to Date |
1 yr. | 3 yrs. | 5 yrs. | 10 yrs. | Life of subaccount |
|---|---|---|---|---|---|---|---|
| Restated performance | |||||||
| Unit Value | 1.04% | -3.52% | -6.41% | -4.93% | -0.23% | 25.68% | 106.55% |
| Standardized | -6.96% | -11.24% | -13.90% | -12.54% | -6.21% | 25.68% | 106.55% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.00% | -3.59% | -6.55% | -5.37% | -0.99% | 23.77% | 99.49% |
| Standardized | -7.00% | -11.31% | -14.03% | -12.94% | -6.93% | 23.77% | 99.49% |
| Actual performance | |||||||
| Unit Value | 1.04% | -3.52% | -6.41% | -4.93% | -0.23% | 25.68% | 68.14% |
| Standardized | -6.96% | -11.24% | -13.90% | -12.54% | -6.21% | 25.68% | 68.14% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.00% | -3.59% | -6.55% | -5.37% | -0.99% | 23.77% | 64.00% |
| Standardized | -7.00% | -11.31% | -14.03% | -12.94% | -6.93% | 23.77% | 64.00% |
Annual Performance at NAV
| 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 |
|---|---|---|---|---|---|---|---|---|---|
| 4.60% | 2.46% | -31.92% | 52.87% | 10.87% | -4.71% | 9.74% | 6.09% | -1.26% | -3.90% |
| With optional enhanced death benefit | |||||||||
| 4.44% | 2.30% | -32.03% | 52.64% | 10.70% | -4.86% | 9.57% | 5.93% | -1.41% | -4.05% |
Restated performance
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With optional enhanced death benefit
|
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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.
You can lose money by investing in a fund. Any given fund may not achieve its goal, and is not intended as a complete investment program. All funds have risk. The value and/or returns of a portfolio will fluctuate with market conditions. You may have more or less than the original amount invested when you redeem your shares.
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.
Top 10 holdings as of 08/31/16
| Fnma Fn30 Tba 03.5000 09/01/2046 | 10.58% |
|
|---|---|---|
| Fnma Fn30 Tba 03.5000 10/01/2046 | 9.61% |
|
| Fnma Fn30 Tba 02.5000 09/01/2046 | 9.22% |
|
| Fnma Fn30 Tba 03.0000 09/01/2046 | 3.32% |
|
| Fnma Fn30 Tba 05.5000 09/01/2046 | 1.54% |
|
| Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.11% |
|
| Cas 2015-C03 1m2 05.5244 07/25/2025 | 1.06% |
|
| Cas 2015-C04 1m2 06.2244 04/25/2028 | 1.06% |
|
| Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 1.03% |
|
| Fnma Fn30 Tba 04.5000 09/01/2046 | 1.00% |
|
| Top 10 holdings, total: | 39.53% |
|
Equity Holdings as of 06/30/16
| GMAC CAPITAL TRUST I PCT 06.4111 | 0.08% |
|---|---|
| TRIBUNE CLASS 1C LITIGAT | 0.01% |
| LONE PINE RESOURCES CANADA L | 0.00% |
| LONE PINE RESOURCES INC-CL A | 0.00% |
Full Portfolio Holdings as of 06/30/16
| FNMA FN30 TBA 03.5000 07/01/2046 | 14.06% |
|---|---|
| FNMA FN30 TBA 03.0000 07/01/2046 | 7.63% |
| FNMA FN30 TBA 03.0000 08/01/2046 | 7.14% |
| FNMA FN30 TBA 03.5000 08/01/2046 | 2.90% |
| SEK/USD 09/21/2016 JPMCB | 2.80% |
| SEK/USD 09/21/2016 CSI-FX | 2.06% |
| GNMA GII30 TBA 03.5000 08/01/2046 | 1.95% |
| EUR/USD 09/21/2016 HSBCB | 1.61% |
| FNMA FN30 TBA 05.5000 07/01/2046 | 1.55% |
| NZD/USD 07/21/2016 CSI-FX | 1.48% |
| GNMA GII30 TBA 03.5000 07/01/2046 | 1.46% |
| GBP/USD 09/21/2016 JPMCB | 1.44% |
| NOK/USD 09/21/2016 CSI-FX | 1.26% |
| NZD/USD 07/21/2016 RBSF | 1.25% |
| AUD/USD 07/21/2016 GSFX | 1.18% |
| CAD/USD 07/21/2016 SSBT | 1.17% |
| CWCI 2007-C3 AJ 05.9562 05/15/2046 | 1.16% |
| NZD/USD 07/21/2016 GSFX | 1.16% |
| SEK/USD 09/21/2016 GSFX | 1.15% |
| NOK/USD 09/21/2016 RBSF | 1.14% |
| CAD/USD 07/21/2016 RBSF | 1.12% |
| JPY/USD 08/18/2016 GSFX | 1.12% |
| PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 | 1.12% |
| EUR/USD 09/21/2016 JPMCB | 1.09% |
| CAS 2015-C04 1M2 06.1533 04/25/2028 | 1.05% |
| CAS 2015-C03 1M2 05.4533 07/25/2025 | 1.02% |
| WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 | 1.02% |
| FNMA FN30 TBA 04.5000 07/01/2046 | 1.00% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2025 | 1.00% |
| GBP/USD 09/21/2016 GSFX | 0.99% |
| CAS 2016-C03 2M2 06.3533 10/25/2028 | 0.98% |
| GBP/USD 09/21/2016 BCAP-FX | 0.98% |
| CAD/USD 07/21/2016 CITI | 0.92% |
| CWALT 2006-OA10 4A1 00.6433 08/25/2046 | 0.91% |
| NZD/USD 07/21/2016 BANKAM | 0.89% |
| PETROLEOS DE VENEZUELA S USD 05.1250 10/28/2016 | 0.88% |
| AUD/USD 07/21/2016 BANKAM | 0.87% |
| CAD/USD 07/21/2016 CSI-FX | 0.87% |
| NZD/USD 07/21/2016 JPMCB | 0.87% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2023 | 0.86% |
| EUR/USD 09/21/2016 GSFX | 0.84% |
| AUD/USD 07/21/2016 UBS | 0.79% |
| VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 | 0.77% |
| WBCMT 2006-C26 AJ 06.2537 06/15/2045 | 0.77% |
| EUR/USD 09/21/2016 CITI | 0.75% |
| MSC 2006-HQ9 C 05.8420 07/12/2044 | 0.75% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.67% |
| COMM 2006-C8 AJ 05.3770 12/10/2046 | 0.65% |
| HELLENIC REPUBLIC P/P REGS 04.7500 04/17/2019 | 0.64% |
| STACR 2015-DN1 B 11.9533 01/25/2025 | 0.64% |
| EUR/USD 09/21/2016 BCAP-FX | 0.60% |
| GBP/USD 09/21/2016 CITI | 0.60% |
| REP OF ARGENTINA P/P 144A 07.5000 04/22/2026 | 0.60% |
| CAD/USD 07/21/2016 BCAP-FX | 0.59% |
| JPY/USD 08/18/2016 BCAP-FX | 0.56% |
| AUD/USD 07/21/2016 RBSF | 0.55% |
| HKD/USD 08/18/2016 JPMCB | 0.54% |
| AUD/USD 07/21/2016 HSBCB | 0.53% |
| HKD/USD 08/18/2016 BANKAM | 0.53% |
| HKD/USD 08/18/2016 HSBCB | 0.53% |
| AUD/USD 07/21/2016 CITI | 0.52% |
| SEK/USD 09/21/2016 BANKAM | 0.52% |
| SGD/USD 08/18/2016 SSBT | 0.52% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.52% |
| GBP/USD 09/21/2016 CSI-FX | 0.51% |
| GBP/USD 09/21/2016 HSBCB | 0.51% |
| GSMS 2014-GC18 D P/P 144A 05.1124 01/10/2047 | 0.51% |
| IDR/USD 08/18/2016 GSFX | 0.51% |
| JPY/USD 08/18/2016 CSI-FX | 0.51% |
| MYR/USD 08/18/2016 BANKAM | 0.51% |
| REPUBLIC OF TURKEY USD 06.0000 01/14/2041 | 0.51% |
| CAD/USD 07/21/2016 GSFX | 0.50% |
| EUR/USD 09/21/2016 RBSF | 0.50% |
| JPY/USD 08/18/2016 RBSF | 0.50% |
| RUB/USD 09/21/2016 JPMCB | 0.50% |
| ZAR/USD 07/21/2016 CITI | 0.50% |
| FNMA FN30 TBA 04.0000 08/01/2046 | 0.49% |
| IDR/USD 11/16/2016 JPMCB | 0.49% |
| GBP/USD 09/21/2016 SSBT | 0.48% |
| NZD/USD 07/21/2016 UBS | 0.48% |
| GBP/USD 09/21/2016 BANKAM | 0.47% |
| MLCFC 2006-3 AJ 05.4850 07/12/2046 | 0.46% |
| CAS 2016-C02 1B 12.7033 09/25/2028 | 0.45% |
| NOK/USD 09/21/2016 BCAP-FX | 0.45% |
| OJSC RUSS AGRIC RSHB P/P 144A 07.7500 05/29/2018 | 0.45% |
| GNR 2015-186 AI IO 04.0000 12/20/2045 | 0.44% |
| BACM 2006-4 AJ 05.6950 07/10/2046 | 0.43% |
| HKD/USD 08/18/2016 CSI-FX | 0.43% |
| JPMCC 2007-CB20 C P/P 144A 06.3837 02/12/2051 | 0.43% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.42% |
| CAD/USD 07/21/2016 UBS | 0.41% |
| GBP/USD 09/21/2016 RBSF | 0.41% |
| BSCMS 2005-PWR7 B 05.2140 02/11/2041 | 0.40% |
| CAD/USD 07/21/2016 HSBCB | 0.40% |
| WAMU 2005-AR17 A1B3 00.8033 12/25/2045 | 0.40% |
| EUR/USD 09/21/2016 BANKAM | 0.39% |
| BACM 2005-6 G 05.4155 09/10/2047 | 0.37% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2028 | 0.37% |
| WFRBS 2014-C19 E P/P 144A 05.1361 03/15/2047 | 0.37% |
| BSCMS 2006-PW11 AJ 05.5616 03/11/2039 | 0.36% |
| BSCMS 2007-T26 AJ 05.5660 01/12/2045 | 0.36% |
| FNR 2012-132 PI IO 05.0000 10/25/2042 | 0.35% |
| NOTA DO TESOURO NACIONAL 10.0000 01/01/2017 | 0.35% |
| REP OF VENEZUELA P/P 144A 13.6250 08/15/2018 | 0.35% |
| STACR 2016-DNA1 B 10.4533 07/25/2028 | 0.35% |
| WAMU 2005-AR19 A1C3 00.9533 12/25/2045 | 0.35% |
| CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 | 0.34% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.34% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.34% |
| CWALT 2005-38 A3 00.8033 09/25/2035 | 0.33% |
| CWALT 2006-OA7 1A1 02.1448 06/25/2046 | 0.33% |
| GNR 2016-H06 DI IO 01.7281 07/20/2065 | 0.33% |
| NOK/USD 09/21/2016 JPMCB | 0.33% |
| REP OF INDONESIA P/P 144A 06.6250 02/17/2037 | 0.33% |
| EUR/USD 09/21/2016 UBS | 0.32% |
| GNR 2015-40 IO IO 04.0000 03/20/2045 | 0.31% |
| GNR 2015-H25 AI IO 01.6106 09/20/2065 | 0.31% |
| GNR 2016-H09 BI IO 02.2358 04/20/2066 | 0.31% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2029 | 0.31% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2030 | 0.31% |
| JPMCC 2007-CB20 AJ 06.2837 02/12/2051 | 0.31% |
| MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 | 0.31% |
| MSC 2006-HQ10 AJ 05.3890 11/12/2041 | 0.31% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.31% |
| MSRR 2010-C30A A3B P/P 144A 05.2460 12/17/2043 | 0.31% |
| NZD/USD 07/21/2016 CITI | 0.31% |
| GNR 2016-H10 AI IO 01.8203 04/20/2066 | 0.30% |
| AUD/USD 07/21/2016 BCAP-FX | 0.29% |
| CAS 2016-C01 1B 12.2033 08/25/2028 | 0.29% |
| GNR 2016-H06 CI IO 01.6086 02/20/2066 | 0.29% |
| GSMS 2013-GC10 D P/P 144A 04.5572 02/10/2046 | 0.29% |
| JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 | 0.29% |
| LBUBS 2006-C6 C 05.4820 09/15/2039 | 0.29% |
| GNR 2015-79 CI IO 04.0000 05/20/2045 | 0.28% |
| JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 | 0.28% |
| MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 | 0.28% |
| MSBAM 2014-C17 D P/P 144A 04.8545 08/15/2047 | 0.28% |
| NUMERICABLE-SFR SA P/P 144A 06.0000 05/15/2022 | 0.28% |
| 1.55 R ISWP USL3M P 06/21/2026 | 0.27% |
| BRL/USD 10/03/2016 SSBT | 0.27% |
| BSCMS 2006-PW11 B P/P 144A 05.5616 03/11/2039 | 0.27% |
| RALI 2006-QO10 A1 00.6133 01/25/2037 | 0.27% |
| STACR 2016-HQA2 M3 05.6033 11/25/2028 | 0.27% |
| 1.05 R ISWP FWD USL3M P 09/21/2018 | 0.26% |
| CD 2007-CD5 E P/P 144A 06.3259 11/15/2044 | 0.26% |
| HCA INC 06.5000 02/15/2020 | 0.26% |
| JPY/USD 08/18/2016 JPMCB | 0.26% |
| MSC 2007-HQ11 B 05.5380 02/12/2044 | 0.26% |
| NZD/USD 07/21/2016 BCAP-FX | 0.26% |
| STACR 2015-DNA3 B 09.8033 04/25/2028 | 0.26% |
| AUD/USD 07/21/2016 DEUTB-L | 0.25% |
| CAS 2016-C03 1B 12.2033 10/25/2028 | 0.25% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.25% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.25% |
| GNR 2013-34 IH IO 04.5000 03/20/2043 | 0.25% |
| GNR 2015-H24 AI IO 01.9848 09/20/2065 | 0.25% |
| STACR 2015-DNA2 B 08.0033 12/25/2027 | 0.25% |
| CAD/USD 07/21/2016 BANKAM | 0.24% |
| CWALT 2006-OA7 1A2 01.3771 06/25/2046 | 0.24% |
| GNR 2016-H02 HI IO 01.8590 01/20/2066 | 0.24% |
| GSMS 2014-GC26 D P/P 144A 04.6614 11/10/2047 | 0.24% |
| ROC FINANCE TL L+375 05.0000 06/20/2019 | 0.24% |
| AUD/USD 07/21/2016 JPMCB | 0.23% |
| CAD/USD 07/21/2016 JPMCB | 0.23% |
| CAESARS ENT OPER TLB6B L+675 07.0052 03/01/2017 | 0.23% |
| CWALT 2005-59 1A1 00.7778 11/20/2035 | 0.23% |
| GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 | 0.23% |
| PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 | 0.23% |
| SAMI 2007-AR1 2A1 00.6333 01/25/2037 | 0.23% |
| SERVICE CORP INTL 05.3750 05/15/2024 | 0.23% |
| WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 | 0.23% |
| BSCMS 2005-PWR9 C 05.0550 09/11/2042 | 0.22% |
| GNR 2015-H23 BI IO 01.7199 09/20/2065 | 0.22% |
| GSMS 2013-GC13 D P/P 144A 04.2030 07/10/2046 | 0.22% |
| JBS USA LLC/JBS P/P 144A 07.2500 06/01/2021 | 0.22% |
| LUKOIL INTL FINANCE P/P 144A 06.6560 06/07/2022 | 0.22% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.22% |
| WAMU 2005-AR19 A1C4 00.8533 12/25/2045 | 0.22% |
| CROATIA P/P 144A 06.0000 01/26/2024 | 0.21% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.21% |
| FNR 2012-30 HI IO 04.5000 12/25/2040 | 0.21% |
| GNR 2013-76 IO IO 03.5000 05/20/2043 | 0.21% |
| GNR 2015-H25 EI IO 01.8433 10/20/2065 | 0.21% |
| GNR 2016-48 MI IO 03.5000 04/16/2046 | 0.21% |
| JPMCC 2007-CB20 B P/P 144A 06.3837 02/12/2051 | 0.21% |
| TELENET FINANCE V P/P 144A 06.7500 08/15/2024 | 0.21% |
| 1.30 R ISWP FWD USL3M P 09/21/2021 | 0.20% |
| FHR 4425 IO IO 04.0000 01/15/2045 | 0.20% |
| GECMC 2006-C1 AJ 05.5201 03/10/2044 | 0.20% |
| GNR 2013-22 OI IO 05.0000 01/20/2043 | 0.20% |
| GNR 2013-H08 CI IO 01.6569 02/20/2063 | 0.20% |
| GNR 2016-H03 DI IO 02.0418 12/20/2065 | 0.20% |
| MSBAM 2012-C6 F P/P 144A 04.8125 11/15/2045 | 0.20% |
| MSC 2006-HQ9 D 05.8620 07/12/2044 | 0.20% |
| PETROLEOS MEXICANOS USD 05.6250 01/23/2046 | 0.20% |
| WFRBS 2013-UBS1 E P/P 144A 04.7827 03/15/2046 | 0.20% |
| ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 | 0.19% |
| COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 | 0.19% |
| EL PASO NATURAL GAS 08.6250 01/15/2022 | 0.19% |
| FHR 3065 DC 18.5339 03/15/2035 | 0.19% |
| FNS 409 81 IO 04.5000 11/25/2040 | 0.19% |
| GNR 2012-146 IO IO 05.0000 12/20/2042 | 0.19% |
| GNR 2013-182 IQ IO 04.5000 12/16/2043 | 0.19% |
| GNR 2016-H03 AI IO 02.0510 01/20/2066 | 0.19% |
| GSAA 2006-8 2A2 00.6333 05/25/2036 | 0.19% |
| JPMCC 2011-C3 F P/P 144A 05.8013 02/15/2046 | 0.19% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.19% |
| NRG ENERGY INC 07.8750 05/15/2021 | 0.19% |
| STACR 2016-HQA1 M3 06.8033 09/25/2028 | 0.19% |
| WFCM 2012-LC5 E P/P 144A 04.9355 10/15/2045 | 0.19% |
| WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 | 0.19% |
| WIDEOPENWEST FIN 10.2500 07/15/2019 | 0.19% |
| ADVANCED DISPOSAL SRVCES 08.2500 10/01/2020 | 0.18% |
| AES CORP/VA 05.5000 04/15/2025 | 0.18% |
| BMIR 2015-1A M2 04.7460 07/25/2025 | 0.18% |
| CAS 2015-C03 2M2 05.4533 07/25/2025 | 0.18% |
| CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 | 0.18% |
| CGCMT 2014-GC21 D P/P 144A 04.9963 05/10/2047 | 0.18% |
| CLEAR CHNL WORLD 06.5000 11/15/2022 | 0.18% |
| COMM 2014-CR18 D P/P 144A 04.8956 07/15/2047 | 0.18% |
| CROATIA P/P 144A 06.3750 03/24/2021 | 0.18% |
| FNR 2013-103 SK IO 05.4667 10/25/2043 | 0.18% |
| GAZPROM (GAZ CAPITAL SA) REGS 07.2880 08/16/2037 | 0.18% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.18% |
| GNR 2012-140 IC IO 03.5000 11/20/2042 | 0.18% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2038 | 0.18% |
| INFOR US INC 06.5000 05/15/2022 | 0.18% |
| JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 | 0.18% |
| LBCMT 1998-C4 J P/P 144A 05.6000 10/15/2035 | 0.18% |
| LBUBS 2006-C3 C 05.7035 03/15/2039 | 0.18% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.18% |
| PETROLEOS MEXICANOS USD 06.6250 06/15/2035 | 0.18% |
| SPRINT COMM P/P 144A 09.0000 11/15/2018 | 0.18% |
| 1.32125 R ISWP JPL6M P 11/13/2045 | 0.17% |
| ALLY FINANCIAL INC 08.0000 11/01/2031 | 0.17% |
| BCAP 2015-RR5 2A3 01.4800 01/26/2046 | 0.17% |
| DYNEGY INC. 06.7500 11/01/2019 | 0.17% |
| FHR 4122 CI IO 03.5000 10/15/2042 | 0.17% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.17% |
| GNR 2012-136 BI IO 03.5000 11/20/2042 | 0.17% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.17% |
| GNR 2013-H08 IO IO 02.9231 03/20/2063 | 0.17% |
| GNR 2015-69 IK IO 03.5000 03/20/2038 | 0.17% |
| JPMCC 2006-LDP6 B 05.8556 04/15/2043 | 0.17% |
| LBUBS 2006-C6 E 05.5410 09/15/2039 | 0.17% |
| LNSTR 2015-3 C P/P 144A 03.4103 04/20/2048 | 0.17% |
| MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 | 0.17% |
| MSBAM 2014-C19 D P/P 144A 03.2500 12/15/2047 | 0.17% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.17% |
| MSC 2006-HQ8 D 05.5897 03/12/2044 | 0.17% |
| REP OF INDONESIA P/P 144A 05.9500 01/08/2046 | 0.17% |
| SCIENTIFIC GAMES INT 10.0000 12/01/2022 | 0.17% |
| TENET HEALTHCARE 06.2500 11/01/2018 | 0.17% |
| VIRGIN MEDIA SEC P/P 144A 06.0000 04/15/2021 | 0.17% |
| 1.4825 R ISWP USL3M P 06/28/2026 | 0.16% |
| 1011778 BC / NEW RED P/P 144A 06.0000 04/01/2022 | 0.16% |
| 2.06188 R ISWP USL3M P 06/08/2046 | 0.16% |
| AVAYA INC P/P 144A 07.0000 04/01/2019 | 0.16% |
| BALTA 2004-3 B 03.3783 04/25/2034 | 0.16% |
| CGCMT 2006-C5 AJ 05.4820 10/15/2049 | 0.16% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.16% |
| JPMBB 2014-C18 D P/P 144A 04.9739 02/15/2047 | 0.16% |
| JPMCC 2005-LDP2 E 04.9810 07/15/2042 | 0.16% |
| SPRINT CORP 07.8750 09/15/2023 | 0.16% |
| WFCM 2013-LC12 D P/P 144A 04.4329 07/15/2046 | 0.16% |
| BUILDERS FIRSTSOURCE P/P 144A 10.7500 08/15/2023 | 0.15% |
| CALPINE CORP 05.7500 01/15/2025 | 0.15% |
| CFCRE 2011-C2 E P/P 144A 05.8229 12/15/2047 | 0.15% |
| CIT GROUP INC 05.0000 08/15/2022 | 0.15% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.15% |
| FHR 4024 PI IO 04.5000 12/15/2041 | 0.15% |
| FNR 2006-8 HP 22.9046 03/25/2036 | 0.15% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.15% |
| GNR 2015-95 PI IO 03.5000 07/20/2045 | 0.15% |
| GNR 2015-H26 CI IO 00.7424 08/20/2065 | 0.15% |
| JPMCC 2011-C3 E P/P 144A 05.8013 02/15/2046 | 0.15% |
| NOVELIS INC 08.7500 12/15/2020 | 0.15% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.15% |
| VTB BK (VTB EURASIA) P/P 144A 09.5000 12/29/2049 | 0.15% |
| WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 | 0.15% |
| BCAP 2011-RR3 3A6 02.5892 11/27/2036 | 0.14% |
| BOISE CASCADE 06.3750 11/01/2020 | 0.14% |
| CAD/USD 07/21/2016 WPAC | 0.14% |
| COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 | 0.14% |
| COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 | 0.14% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.14% |
| FNR 2013-41 IP IO 04.0000 05/25/2043 | 0.14% |
| FNR 2015-88 QI IO 04.0000 10/25/2044 | 0.14% |
| GNR 2015-187 KI IO 05.0000 06/20/2043 | 0.14% |
| HD SUPPLY INC. 07.5000 07/15/2020 | 0.14% |
| LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 | 0.14% |
| MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 | 0.14% |
| MSC 2008-T29 F P/P 144A 06.4767 01/11/2043 | 0.14% |
| SWPTN 2YX10Y R 2.117 USD 02/23/2017 JP | 0.14% |
| TAYLOR MORRISON COMM P/P 144A 05.2500 04/15/2021 | 0.14% |
| AMERICAN AXLE & MFG INC 07.7500 11/15/2019 | 0.13% |
| CAS 2016-C03 2B 13.2033 10/25/2028 | 0.13% |
| CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 | 0.13% |
| CSMC 2009-13R 3A2 02.5892 11/26/2036 | 0.13% |
| DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 | 0.13% |
| FNS 409 C16 IO 04.0000 11/25/2040 | 0.13% |
| GAZPROM (GAZ CAP SA) P/P 144A 07.2880 08/16/2037 | 0.13% |
| GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 | 0.13% |
| GRAY TELEVISION INC 07.5000 10/01/2020 | 0.13% |
| JPMCC 2006-LDP8 B 05.5200 05/15/2045 | 0.13% |
| L BRANDS INC 06.6250 04/01/2021 | 0.13% |
| MLMT 2008-C1 AJ 06.4720 02/12/2051 | 0.13% |
| MPT OPER PARTNERSP/FINL 06.3750 02/15/2022 | 0.13% |
| OSHKOSH CORP 05.3750 03/01/2022 | 0.13% |
| PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 | 0.13% |
| REVLON CONSUMER PRODS 05.7500 02/15/2021 | 0.13% |
| SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 | 0.13% |
| SIX FLAGS ENT P/P 144A 05.2500 01/15/2021 | 0.13% |
| SWPTN 2YX10Y R 2.035 USD 02/27/2017 JP | 0.13% |
| T-MOBILE USA INC 06.2500 04/01/2021 | 0.13% |
| TECHEM ENERGY MET P/P 144A 07.8750 10/01/2020 | 0.13% |
| VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 | 0.13% |
| WFRBS 2012-C7 E P/P 144A 04.9916 06/15/2045 | 0.13% |
| 1.09 R ISWP JPL6M P 11/26/2035 | 0.12% |
| ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 | 0.12% |
| ASHTEAD CAPITAL INC P/P 144A 06.5000 07/15/2022 | 0.12% |
| BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 | 0.12% |
| CGCMT 2014-GC19 D P/P 144A 05.0630 03/10/2047 | 0.12% |
| COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 | 0.12% |
| CWALT 2005-38 A1 01.9371 09/25/2035 | 0.12% |
| FNR 2005-122 SE 21.5135 11/25/2035 | 0.12% |
| FNR 2013-44 PI IO 04.0000 01/25/2043 | 0.12% |
| FNS 409 82 IO 04.5000 11/25/2040 | 0.12% |
| GAZPROM (GAZ CAP SA) P/P 144A 09.2500 04/23/2019 | 0.12% |
| GMACC 2004-C3 B 04.9650 12/10/2041 | 0.12% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.12% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.12% |
| GNR 2015-64 PI IO 03.5000 05/20/2045 | 0.12% |
| GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 | 0.12% |
| JPMBB 2014-C18 E P/P 144A 04.4739 02/15/2047 | 0.12% |
| LOUISIANA PACIF 07.5000 06/01/2020 | 0.12% |
| MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 | 0.12% |
| NEIMAN MARCUS TL L+325 04.2500 10/25/2020 | 0.12% |
| NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 | 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% |
| STACR 2015-HQA2 B 10.9533 05/25/2028 | 0.12% |
| STACR 2016-DNA2 B 10.9533 10/25/2028 | 0.12% |
| STACR 2016-HQA1 B 13.2033 09/25/2028 | 0.12% |
| T-MOBILE USA INC 06.1250 01/15/2022 | 0.12% |
| ACADIA HEALTH 06.1250 03/15/2021 | 0.11% |
| BROOKFIELD RESID P/P 144A 06.5000 12/15/2020 | 0.11% |
| CAESARS GROWTH PROP TL L+525 06.2500 04/10/2021 | 0.11% |
| CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 | 0.11% |
| CELANESE US HOLDINGS LLC 05.8750 06/15/2021 | 0.11% |
| CLEAR CHANNEL TLD L+675 07.2103 01/30/2019 | 0.11% |
| CORRECTIONS CORP 04.6250 05/01/2023 | 0.11% |
| FNR 2013-53 JI IO 03.0000 12/25/2041 | 0.11% |
| GNR 2014-122 IC IO 05.0000 08/20/2044 | 0.11% |
| GNR 2015-H08 CI IO 01.7872 03/20/2065 | 0.11% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2024 | 0.11% |
| JO-ANN STORES INC P/P 144A 08.1250 03/15/2019 | 0.11% |
| LENNAR CORP 04.7500 11/15/2022 | 0.11% |
| MANITOWOC FOODSERVIC P/P 144A 09.5000 02/15/2024 | 0.11% |
| MATTAMY GROUP CORP P/P 144A 06.5000 11/15/2020 | 0.11% |
| MGM RESORTS INTERNATIONAL 06.7500 10/01/2020 | 0.11% |
| MHL 2005-3 M2 00.9833 08/25/2035 | 0.11% |
| NATIONSTAR MORT/ 06.5000 07/01/2021 | 0.11% |
| NMRR 2015-4R 1A14 00.5904 03/26/2047 | 0.11% |
| NORTEK INC 08.5000 04/15/2021 | 0.11% |
| PROVIDENT FDG/PFG P/P 144A 06.7500 06/15/2021 | 0.11% |
| RITE AID CORP P/P 144A 06.1250 04/01/2023 | 0.11% |
| SEALED AIR CORP P/P 144A 06.8750 07/15/2033 | 0.11% |
| STACR 2016-DNA2 M3 05.1033 10/25/2028 | 0.11% |
| T-MOBILE USA INC 06.6250 04/01/2023 | 0.11% |
| THOMAS COOK FIN PLC P/P 144A 06.7500 06/15/2021 | 0.11% |
| UBS AG JERSEY BRANCH EUR 07.1520 12/29/2049 | 0.11% |
| UNITED MEXICAN STATES USD 05.7500 10/12/2110 | 0.11% |
| WILLIAMS PARTNERS/ACMP 04.8750 05/15/2023 | 0.11% |
| ZEBRA TECH CORP 07.2500 10/15/2022 | 0.11% |
| 2.10 R ISWP FWD USL3M P 09/21/2046 | 0.10% |
| AES CORP/VA 07.3750 07/01/2021 | 0.10% |
| BEACON ROOFING SUPPL 06.3750 10/01/2023 | 0.10% |
| BSCMS 2007-PW17 AJ 06.0827 06/11/2050 | 0.10% |
| CAS 2015-C04 2M2 06.0033 04/25/2028 | 0.10% |
| CEMEX SAB DE CV P/P 144A 06.5000 12/10/2019 | 0.10% |
| CONCHO RESOURCES INC 05.5000 04/01/2023 | 0.10% |
| ENERGY TRANSFER EQUITY 07.5000 10/15/2020 | 0.10% |
| EVEREST ACQ LLC/FIN 09.3750 05/01/2020 | 0.10% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.10% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.10% |
| GNR 2013-129 SN IO 05.7020 09/20/2043 | 0.10% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.10% |
| GNR 2013-54 JI IO 03.5000 02/20/2043 | 0.10% |
| HUB INTL LTD P/P 144A 07.8750 10/01/2021 | 0.10% |
| IRON MOUNTAIN INCORPORATED 06.0000 08/15/2023 | 0.10% |
| JLL/DELTA DUTCH NEW P/P 144A 07.5000 02/01/2022 | 0.10% |
| KLX INC P/P 144A 05.8750 12/01/2022 | 0.10% |
| MSRR 2015-R4 CB2 00.5977 08/26/2047 | 0.10% |
| PERSTORP HOLDING AB P/P 144A 08.7500 05/15/2017 | 0.10% |
| PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 | 0.10% |
| RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 | 0.10% |
| SERVICE CORP INTL 05.3750 01/15/2022 | 0.10% |
| SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 | 0.10% |
| SPRINGLEAF FIN CORP 06.0000 06/01/2020 | 0.10% |
| VIDEOTRON LTD USD 05.0000 07/15/2022 | 0.10% |
| WEST CORP P/P 144A 05.3750 07/15/2022 | 0.10% |
| WINDSTREAM SERVICES LLC 06.3750 08/01/2023 | 0.10% |
| WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 | 0.10% |
| ZF NA CAPITAL P/P 144A 04.7500 04/29/2025 | 0.10% |
| ACADEMY SPORTS TLB L+400 05.0000 07/02/2022 | 0.09% |
| ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 | 0.09% |
| AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 | 0.09% |
| ASHTEAD CAPITAL INC P/P 144A 05.6250 10/01/2024 | 0.09% |
| AVIS BUDGET CAR 05.5000 04/01/2023 | 0.09% |
| BCAP 2012-RR5 4A8 00.6160 06/26/2035 | 0.09% |
| CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 | 0.09% |
| COMM 2013-CR11 D P/P 144A 05.3373 10/10/2046 | 0.09% |
| COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 | 0.09% |
| CRIMSON MERGER P/P 144A 06.6250 05/15/2022 | 0.09% |
| ELDORADO RESORTS INC 07.0000 08/01/2023 | 0.09% |
| ESAL GMBH P/P 144A 06.2500 02/05/2023 | 0.09% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.09% |
| FHR 4105 HI IO 03.5000 07/15/2041 | 0.09% |
| FHS 304 C37 IO 03.5000 12/15/2027 | 0.09% |
| FIAT CHRYSLER AUTOMOBILE USD 05.2500 04/15/2023 | 0.09% |
| FNR 2007-53 SP 22.5379 06/25/2037 | 0.09% |
| FNR 2008-24 SP 21.6212 02/25/2038 | 0.09% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.09% |
| GENON ENERGY INC 09.8750 10/15/2020 | 0.09% |
| GLP CAP LP / FIN II 04.8750 11/01/2020 | 0.09% |
| GNR 2010-158 IP IO 04.5000 06/20/2039 | 0.09% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.09% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.09% |
| GNR 2013-165 IL IO 04.0000 03/20/2043 | 0.09% |
| HILAND PART LP/CORP P/P 144A 07.2500 10/01/2020 | 0.09% |
| ICAHN ENTERPRISES/FI 05.8750 02/01/2022 | 0.09% |
| MASTEC INC 04.8750 03/15/2023 | 0.09% |
| MGM RESORTS INTL 06.6250 12/15/2021 | 0.09% |
| NHLT 2015-1A A P/P 144A 03.8440 05/25/2018 | 0.09% |
| NUMERICABLE-SFR SA P/P 144A 06.2500 05/15/2024 | 0.09% |
| NXP BV/NXP FUNDING L P/P 144A 04.6250 06/01/2023 | 0.09% |
| ONEX USI AC P/P 144A 07.7500 01/15/2021 | 0.09% |
| PENN NATL GAMING 05.8750 11/01/2021 | 0.09% |
| PENSKE AUTO GRP INC 05.7500 10/01/2022 | 0.09% |
| REGENCY ENERGY PART/FINA 05.8750 03/01/2022 | 0.09% |
| REP OF COSTA RICA P/P 144A 07.0000 04/04/2044 | 0.09% |
| ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 | 0.09% |
| SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 | 0.09% |
| STANDARD IND INC P/P 144A 05.3750 11/15/2024 | 0.09% |
| WPX ENERGY INC 06.0000 01/15/2022 | 0.09% |
| AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 | 0.08% |
| ARCELORMITTAL USD 10.8500 06/01/2019 | 0.08% |
| CENTENE CORP P/P 144A 06.1250 02/15/2024 | 0.08% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.08% |
| CIT GROUP INC 05.3750 05/15/2020 | 0.08% |
| CWALT 2007-OH1 A1D 00.6633 04/25/2047 | 0.08% |
| DELL INC TLB2 L+325 04.0000 04/29/2020 | 0.08% |
| DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 | 0.08% |
| DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 | 0.08% |
| ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 | 0.08% |
| FHR 4210 PI IO 03.0000 12/15/2041 | 0.08% |
| FHR 4462 IO IO 04.0000 04/15/2045 | 0.08% |
| FHR 4546 TI IO 04.0000 12/15/2045 | 0.08% |
| FIRST DATA CORP P/P 144A 05.7500 01/15/2024 | 0.08% |
| FIRST DATA CORP P/P 144A 07.0000 12/01/2023 | 0.08% |
| FNR 2005-83 QP 16.2154 11/25/2034 | 0.08% |
| GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 | 0.08% |
| GETTY IMAGES TLB L+350 04.7500 10/18/2019 | 0.08% |
| GMAC CAPITAL TRUST I PCT 06.4111 | 0.08% |
| GNR 2013-6 IC IO 05.0000 01/20/2043 | 0.08% |
| GNR 2015-79 GI IO 05.0000 10/20/2039 | 0.08% |
| HUDBAY MINERALS INC USD 09.5000 10/01/2020 | 0.08% |
| LAREDO PETROLEUM INC 07.3750 05/01/2022 | 0.08% |
| LEND PROC SER/BLK KNGHT 05.7500 04/15/2023 | 0.08% |
| MICRON TECH INC 05.8750 02/15/2022 | 0.08% |
| MOOG INC P/P 144A 05.2500 12/01/2022 | 0.08% |
| ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 | 0.08% |
| SEALED AIR CORP P/P 144A 05.2500 04/01/2023 | 0.08% |
| SEVEN GENS ENER P/P 144A 08.2500 05/15/2020 | 0.08% |
| SUGAR HSP GAMING P/P 144A 06.3750 06/01/2021 | 0.08% |
| SWPTN 2YX10Y R 1.0 USD 04/18/2017 JP | 0.08% |
| SWPTN 3WX10Y R 1.4825 USD 07/13/2016 GS | 0.08% |
| TENET HEALTHCARE 06.0000 10/01/2020 | 0.08% |
| TEXAS COMP ELEC TL EXT L+450 04.9430 10/10/2017 | 0.08% |
| TRIBUNE MEDIA CO 05.8750 07/15/2022 | 0.08% |
| UKRAINE GOVERNMENT P/P 144A 07.7500 09/01/2027 | 0.08% |
| WAMU 2005-AR10 1A3 02.5030 09/25/2035 | 0.08% |
| WFRBS 2013-C15 D P/P 144A 04.6286 08/15/2046 | 0.08% |
| WFRBS 2013-C16 D P/P 144A 05.1491 09/15/2046 | 0.08% |
| WILLIAMS PARTNERS/ACMP 06.1250 07/15/2022 | 0.08% |
| 1.22839 R ISWP USL3M P 06/08/2021 | 0.07% |
| 1.4825 R ISWP USL3M P 07/01/2026 | 0.07% |
| A SCHULMAN INC P/P 144A 06.8750 06/01/2023 | 0.07% |
| ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 | 0.07% |
| ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 | 0.07% |
| AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 | 0.07% |
| ANTERO RESOURCES 05.3750 11/01/2021 | 0.07% |
| AVAYA TLB7 L+525 06.2500 05/29/2020 | 0.07% |
| BLUELINE RENTAL FIN P/P 144A 07.0000 02/01/2019 | 0.07% |
| CALATLANTIC GROUP INC. 06.2500 12/15/2021 | 0.07% |
| CENTURYLINK INC 06.7500 12/01/2023 | 0.07% |
| CLEAR CHNL WORLD 07.6250 03/15/2020 | 0.07% |
| CSC HOLDINGS LLC 05.2500 06/01/2024 | 0.07% |
| CSC HOLDINGS LLC 06.7500 11/15/2021 | 0.07% |
| DEAN FOODS CO P/P 144A 06.5000 03/15/2023 | 0.07% |
| E*TRADE FINANCIAL CORP 04.6250 09/15/2023 | 0.07% |
| ENDO FIN LLC/ENDO FI P/P 144A 05.8750 01/15/2023 | 0.07% |
| ENERGY FUTURE P/P 144A 11.7500 03/01/2022 | 0.07% |
| EUR/USD 09/21/2016 DEUTB-L | 0.07% |
| EXTERRAN PARTNERS/EX 06.0000 10/01/2022 | 0.07% |
| FHR 3249 PS 20.8162 12/15/2036 | 0.07% |
| FIRST DATA CORP P/P 144A 05.3750 08/15/2023 | 0.07% |
| FRONTIER COMM 08.8750 09/15/2020 | 0.07% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.07% |
| GNR 2013-102 IP IO 03.5000 06/20/2043 | 0.07% |
| GNR 2013-183 JI IO 04.5000 02/16/2043 | 0.07% |
| GNR 2013-28 IO IO 03.5000 02/20/2043 | 0.07% |
| GNR 2013-99 VS IO 05.6577 07/16/2043 | 0.07% |
| HALYARD HEALTH INC 06.2500 10/15/2022 | 0.07% |
| HOWARD HUGHES CORP P/P 144A 06.8750 10/01/2021 | 0.07% |
| HUNTSMAN INTERNATIONAL LLC 04.8750 11/15/2020 | 0.07% |
| JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 | 0.07% |
| KINETICS/KCI USA P/P 144A 07.8750 02/15/2021 | 0.07% |
| MERCER INTL INC USD 07.7500 12/01/2022 | 0.07% |
| NAVISTAR TLB L+550 06.5000 08/07/2020 | 0.07% |
| NEIMAN MARCUS GROUP P/P 144A 08.7500 10/15/2021 | 0.07% |
| OASIS PETROLEUM INC 06.8750 03/15/2022 | 0.07% |
| OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 | 0.07% |
| PRESTIGE BRANDS INC P/P 144A 05.3750 12/15/2021 | 0.07% |
| PULTEGROUP INC 05.5000 03/01/2026 | 0.07% |
| REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 | 0.07% |
| REGENCY ENERGY PART/FINA 05.5000 04/15/2023 | 0.07% |
| SABRE GLBL INC P/P 144A 05.3750 04/15/2023 | 0.07% |
| SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 | 0.07% |
| SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 | 0.07% |
| SPRINT CORP 07.2500 09/15/2021 | 0.07% |
| STEEL DYNAMICS INC 06.3750 08/15/2022 | 0.07% |
| T-MOBILE USA INC 06.3750 03/01/2025 | 0.07% |
| TENET HEALTHCARE COR 04.1525 06/15/2020 | 0.07% |
| TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 | 0.07% |
| 1.56 R ISWP USL3M P 06/24/2026 | 0.06% |
| ASURION LLC 2NDL L+750 08.5000 03/03/2021 | 0.06% |
| AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 | 0.06% |
| BON-TON DEPT STORES 10.6250 07/15/2017 | 0.06% |
| BRL/USD 10/03/2016 CITI | 0.06% |
| BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 | 0.06% |
| CAS 2015-C02 2M2 04.4533 05/25/2025 | 0.06% |
| CBS OUT AMER CAP LLC 05.8750 03/15/2025 | 0.06% |
| CEDAR FAIR LP/CA 05.2500 03/15/2021 | 0.06% |
| CENTENE CORP 04.7500 05/15/2022 | 0.06% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.06% |
| CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 | 0.06% |
| CHS/COMMUNITY HEALTH 06.8750 02/01/2022 | 0.06% |
| CIT GROUP INC 05.0000 08/01/2023 | 0.06% |
| CLEAR CHANNEL COMMUN 09.0000 12/15/2019 | 0.06% |
| CONSTELLATION BRANDS INC 06.0000 05/01/2022 | 0.06% |
| CREDIT ACCEPTANC 06.1250 02/15/2021 | 0.06% |
| CSMC 2006-C5 AX IO 00.8588 12/15/2039 | 0.06% |
| E*TRADE FINANCIAL CORP 05.3750 11/15/2022 | 0.06% |
| FHR 4000 PI IO 04.5000 01/15/2042 | 0.06% |
| FNR 2012-127 BI IO 04.5000 11/25/2042 | 0.06% |
| FREEPORT-MCMORAN OIL&GAS 06.8750 02/15/2023 | 0.06% |
| FREESCALE SEMICONDUC P/P 144A 06.0000 01/15/2022 | 0.06% |
| HCA INC 05.2500 06/15/2026 | 0.06% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2040 | 0.06% |
| ISTAR INC CV 03.0000 11/15/2016 | 0.06% |
| JELD-WEN INC TLB L+425 05.2500 10/15/2021 | 0.06% |
| JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 | 0.06% |
| JPMCC 07-CB20 X1 IO P/P 144A 00.4537 02/12/2051 | 0.06% |
| LEVEL 3 FINANCING IN 05.3750 08/15/2022 | 0.06% |
| LINN ENERGY LLC/FIN P/P 144A 12.0000 12/15/2020 | 0.06% |
| LLOYDS BANKING GROUP P/P 144A 06.6570 01/29/2049 | 0.06% |
| NORBORD INC P/P 144A 06.2500 04/15/2023 | 0.06% |
| OWENS CORNING 04.2000 12/01/2024 | 0.06% |
| PATHEON INC TLB L+325 04.2500 03/11/2021 | 0.06% |
| PETCO TLB1 L+400 05.0000 01/26/2023 | 0.06% |
| PETROLEOS DE VEN P/P 144A 08.5000 11/02/2017 | 0.06% |
| REYNOLDS GRP ISS/REY P/P 144A 07.0000 07/15/2024 | 0.06% |
| SM ENERGY CO 06.5000 01/01/2023 | 0.06% |
| SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 | 0.06% |
| SWPTN LIABILITY 2YX2Y P 2.56 USD 02/27/2017 JP | 0.06% |
| SWPTN LIABILITY 2YX2Y P 2.655 USD 02/23/2017 JP | 0.06% |
| TEREX CORP 06.0000 05/15/2021 | 0.06% |
| TIAAC 2003-1A E 144A 08.0000 12/28/2038 | 0.06% |
| TRI POINTE GROUP / HOMES 05.8750 06/15/2024 | 0.06% |
| UNIVAR USA INC P/P 144A 06.7500 07/15/2023 | 0.06% |
| USG CORP P/P 144A 05.8750 11/01/2021 | 0.06% |
| VALEANT PHARMA P/P 144A 05.8750 05/15/2023 | 0.06% |
| VALEANT PHARMA P/P 144A 06.1250 04/15/2025 | 0.06% |
| WIND ACQ FIN SA P/P 144A 04.0000 07/15/2020 | 0.06% |
| 1.10 R ISWP FWD SES3M P 09/21/2026 | 0.05% |
| AMC ENT INC 05.8750 02/15/2022 | 0.05% |
| AMSTED INDUSTRIES P/P 144A 05.0000 03/15/2022 | 0.05% |
| AMSTED INDUSTRIES P/P 144A 05.3750 09/15/2024 | 0.05% |
| AVAYA INC TLB6 L+550 06.5000 03/31/2018 | 0.05% |
| BACM 2007-5 XW IO P/P 144A 00.4940 02/10/2051 | 0.05% |
| BERRY PLASTICS CORP 05.5000 05/15/2022 | 0.05% |
| BOYD GAMING CORPORATION 06.8750 05/15/2023 | 0.05% |
| CBRE SERVICES INC 05.0000 03/15/2023 | 0.05% |
| CEC ENT INC 08.0000 02/15/2022 | 0.05% |
| CONCORDIA INTL P/P 144A 07.0000 04/15/2023 | 0.05% |
| CROWN CORK & SEAL CO INC 07.3750 12/15/2026 | 0.05% |
| DH SERVICES LUX SARL P/P 144A 07.7500 12/15/2020 | 0.05% |
| DISH DBS CORP 05.8750 11/15/2024 | 0.05% |
| FIRST DATA EXT TL L+400 04.4520 03/24/2021 | 0.05% |
| FIRST QUANTUM P/P 144A 07.0000 02/15/2021 | 0.05% |
| FNR 2006-62 PS 37.1802 07/25/2036 | 0.05% |
| FNS 378 19 IO 05.0000 06/25/2035 | 0.05% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2026 | 0.05% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2027 | 0.05% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2039 | 0.05% |
| HUNTSMAN INTL L 05.1250 11/15/2022 | 0.05% |
| INTELSAT JACKSON HLDG USD 07.5000 04/01/2021 | 0.05% |
| ISLE OF CAPRI CASINO 05.8750 03/15/2021 | 0.05% |
| JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 | 0.05% |
| JPMBB 2013-C12 E P/P 144A 04.2219 07/15/2045 | 0.05% |
| KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 | 0.05% |
| KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 | 0.05% |
| L BRANDS INC 05.6250 02/15/2022 | 0.05% |
| LBUBS 2006-C3 AJ 05.7200 03/15/2039 | 0.05% |
| MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 | 0.05% |
| MILAGRO OIL & GAS 10.5000 05/15/2017 | 0.05% |
| MOLINA HEALTHCARE IN P/P 144A 05.3750 11/15/2022 | 0.05% |
| MPT OP PARTNERSHIP 06.8750 05/01/2021 | 0.05% |
| MXN/USD 07/21/2016 CITI | 0.05% |
| NEWFIELD EXPLORATION CO 05.7500 01/30/2022 | 0.05% |
| NUMERICABLE-SFR SA P/P 144A 05.6250 05/15/2024 | 0.05% |
| OASIS PETROLEUM INC 06.8750 01/15/2023 | 0.05% |
| ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 | 0.05% |
| PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 | 0.05% |
| REGAL ENTERTAINMENT GRP 05.7500 02/01/2025 | 0.05% |
| REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 | 0.05% |
| ROYAL BK SCOTLND GRP PLC USD 05.1250 05/28/2024 | 0.05% |
| SABINE PASS LIQU 06.2500 03/15/2022 | 0.05% |
| SABINE PASS LIQUEFAC 05.7500 05/15/2024 | 0.05% |
| SABINE PASS LIQUEFACTION 05.6250 04/15/2023 | 0.05% |
| SABINE PASS LNG LP 06.5000 11/01/2020 | 0.05% |
| SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 | 0.05% |
| SPECTRUM BRANDS INC 05.7500 07/15/2025 | 0.05% |
| SWPTN 1MX10Y P 1.455 USD 07/29/2016 CI | 0.05% |
| SWPTN LIABILITY 2YX2Y R 1.0 USD 04/18/2017 JP | 0.05% |
| SWPTN LIABILITY 2YX2Y R 1.56 USD 02/27/2017 JP | 0.05% |
| SWPTN LIABILITY 2YX2Y R 1.655 USD 02/23/2017 JP | 0.05% |
| TALBOTS INC 1STL L+450 05.5000 03/19/2020 | 0.05% |
| TENET HEALTHCARE 04.3750 10/01/2021 | 0.05% |
| THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 | 0.05% |
| TMS INTL CORP P/P 144A 07.6250 10/15/2021 | 0.05% |
| UKRAINE GOVERNMENT P/P 144A 00.0000 05/31/2040 | 0.05% |
| UNITYMEDIA HESSEN / NRW REGS 05.6250 04/15/2023 | 0.05% |
| UNITYMEDIA HESSEN / NRW REGS 05.7500 01/15/2023 | 0.05% |
| VALEANT PHARMA P/P 144A 05.3750 03/15/2020 | 0.05% |
| VALEANT PHARMA P/P 144A 06.3750 10/15/2020 | 0.05% |
| VALEANT PHARMA TLE L+400 04.7500 08/05/2020 | 0.05% |
| WR GRACE & CO-CONN P/P 144A 05.1250 10/01/2021 | 0.05% |
| 0.55 R ISWP FWD EURIBOR6MD P 09/21/2026 | 0.04% |
| ACADIA HEALTHCARE CO 05.1250 07/01/2022 | 0.04% |
| AES CORP/VA 04.8750 05/15/2023 | 0.04% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.04% |
| AMC ENT INC 05.7500 06/15/2025 | 0.04% |
| AMERICAN INTL GROUP 08.1750 05/15/2058 | 0.04% |
| ANTERO RESOURCES FIN 05.1250 12/01/2022 | 0.04% |
| ARCELORMITTAL USD 06.1250 06/01/2025 | 0.04% |
| BANK OF AMERICA CORP 06.5000 10/29/2049 | 0.04% |
| BAYTEX ENERGY CORP P/P 144A 05.6250 06/01/2024 | 0.04% |
| BELDEN INC P/P 144A 05.2500 07/15/2024 | 0.04% |
| BLUE CUBE SPINCO INC P/P 144A 09.7500 10/15/2023 | 0.04% |
| CAESARS ENT OPER TLB7 L+825 11.7500 03/01/2017 | 0.04% |
| CALATLANTIC GROUP INC 05.8750 11/15/2024 | 0.04% |
| CAS 2015-C02 1M2 04.4533 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 C P/P 144A 05.5000 05/01/2026 | 0.04% |
| CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 | 0.04% |
| CNO FINANCIAL GROUP INC 04.5000 05/30/2020 | 0.04% |
| CNO FINANCIAL GROUP INC 05.2500 05/30/2025 | 0.04% |
| CONTINENTAL RESOURCES 03.8000 06/01/2024 | 0.04% |
| CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 | 0.04% |
| CWALT 2006-OC2 2A3 00.7433 02/25/2036 | 0.04% |
| DFC FINANCE CORP P/P 144A 10.5000 06/15/2020 | 0.04% |
| ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 | 0.04% |
| FHR 3408 EK 24.0143 04/15/2037 | 0.04% |
| FNR 2012-96 PI IO 04.0000 07/25/2041 | 0.04% |
| FREEPORT-MCMORAN OIL&GAS 06.7500 02/01/2022 | 0.04% |
| FRONTIER COMM 11.0000 09/15/2025 | 0.04% |
| GATES GLOBAL LLC L+325 04.2500 07/06/2021 | 0.04% |
| GIBSON BRANDS INC P/P 144A 08.8750 08/01/2018 | 0.04% |
| HALCON RESOURCES COR 08.8750 05/15/2021 | 0.04% |
| HANESBRANDS INC P/P 144A 04.6250 05/15/2024 | 0.04% |
| HCA INC. 07.5000 02/15/2022 | 0.04% |
| HESS CORP 07.3000 08/15/2031 | 0.04% |
| JBS USA LLC/JBS USA P/P 144A 08.2500 02/01/2020 | 0.04% |
| JELD-WEN TLB L+375 05.0000 07/01/2022 | 0.04% |
| JPY/USD 08/18/2016 BANKAM | 0.04% |
| JPY/USD 08/18/2016 DEUTB-L | 0.04% |
| LAMAR MEDIA CORP 05.3750 01/15/2024 | 0.04% |
| LENNAR CORPORATION 04.7500 04/01/2021 | 0.04% |
| NATIONSTAR MORT/ 07.8750 10/01/2020 | 0.04% |
| NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 | 0.04% |
| NEW GOLD INC P/P 144A 06.2500 11/15/2022 | 0.04% |
| NEWFIELD EXPLORATION CO 05.3750 01/01/2026 | 0.04% |
| NRG ENERGY INC P/P 144A 07.2500 05/15/2026 | 0.04% |
| ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 | 0.04% |
| OSHKOSH CORP 05.3750 03/01/2025 | 0.04% |
| PETROLEOS MEXICANOS USD 04.5000 01/23/2026 | 0.04% |
| PILGRIM'S PRIDE CORP P/P 144A 05.7500 03/15/2025 | 0.04% |
| REGENCY ENERGY PART/FINA 05.0000 10/01/2022 | 0.04% |
| SPRINGLEAF FINANCE CORP 05.2500 12/15/2019 | 0.04% |
| STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 | 0.04% |
| SWPTN 2YX10Y R 1.0 USD 04/18/2017 JP | 0.04% |
| T-MOBILE USA INC 06.4640 04/28/2019 | 0.04% |
| USG CORP P/P 144A 05.5000 03/01/2025 | 0.04% |
| WBCMT 2007-C34 IO IO 00.4558 05/15/2046 | 0.04% |
| WHITEWAVE FOODS CO 05.3750 10/01/2022 | 0.04% |
| 0.75 R ISWP FWD GBL6M P 09/21/2018 | 0.03% |
| 1.42 R ISWP FWD USL3M P 06/21/2026 | 0.03% |
| 1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 | 0.03% |
| ANTERO RESOURCES COR 05.6250 06/01/2023 | 0.03% |
| BERRY PLASTICS ESCRO 06.0000 10/15/2022 | 0.03% |
| CABLEVISION SYS CORP 08.0000 04/15/2020 | 0.03% |
| CINEMARK USA INC 04.8750 06/01/2023 | 0.03% |
| CINEMARK USA INC 05.1250 12/15/2022 | 0.03% |
| CIT GROUP INC 03.8750 02/19/2019 | 0.03% |
| COMMSCOPE TECH FIN L P/P 144A 06.0000 06/15/2025 | 0.03% |
| DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 | 0.03% |
| FAMILY TREE ESCROW L P/P 144A 05.7500 03/01/2023 | 0.03% |
| FRONTIER COMM 10.5000 09/15/2022 | 0.03% |
| GLP CAPITAL LP / FIN II 05.3750 04/15/2026 | 0.03% |
| GNR 2013-130 IB IO 05.0000 12/20/2040 | 0.03% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.03% |
| HELLENIC REPUBLIC P/P REGS 03.3750 07/17/2017 | 0.03% |
| INFOR US INC P/P 144A 05.7500 08/15/2020 | 0.03% |
| INTELSAT JACKSON USD 06.6250 12/15/2022 | 0.03% |
| IRON MOUNTAIN INC P/P 144A 06.0000 10/01/2020 | 0.03% |
| JC PENNEY CORP INC 08.1250 10/01/2019 | 0.03% |
| LAMAR MEDIA CORP 05.8750 02/01/2022 | 0.03% |
| LEVEL 3 COMMUNICATIONS INC. 05.7500 12/01/2022 | 0.03% |
| LEVEL 3 FIN INC 06.1250 01/15/2021 | 0.03% |
| LEVEL 3 FINANCING IN 05.3750 01/15/2024 | 0.03% |
| MASONITE INTL C P/P 144A 05.6250 03/15/2023 | 0.03% |
| MEDIA GENERAL FI 05.8750 11/15/2022 | 0.03% |
| MEDNAX INC P/P 144A 05.2500 12/01/2023 | 0.03% |
| MEZZ 2007-C5 X IO P/P 144A 05.8856 12/15/2049 | 0.03% |
| NAVISTAR INTERNATIONAL CORP 08.2500 11/01/2021 | 0.03% |
| ORTHO-CLINICAL TLB L+375 04.7500 06/30/2021 | 0.03% |
| PHH CORP 06.3750 08/15/2021 | 0.03% |
| REGENCY ENERGY P 04.5000 11/01/2023 | 0.03% |
| ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 | 0.03% |
| SANDRIDGE ENERGY INC P/P 144A 08.7500 06/01/2020 | 0.03% |
| SEALED AIR CORP P/P 144A 04.8750 12/01/2022 | 0.03% |
| SM ENERGY CO 05.0000 01/15/2024 | 0.03% |
| SWPTN LIABILITY 1MX10Y P 1.515 USD 07/29/2016 CI | 0.03% |
| TAYLOR MORRISON P/P 144A 05.6250 03/01/2024 | 0.03% |
| TEGNA INC P/P 144A 04.8750 09/15/2021 | 0.03% |
| TEMPUR SEALY INTL P/P 144A 05.5000 06/15/2026 | 0.03% |
| TERVITA CORP P/P 144A 08.0000 11/15/2018 | 0.03% |
| TRANSDIGM INC. 07.5000 07/15/2021 | 0.03% |
| UNIVISION COMM INC. P/P 144A 08.5000 05/15/2021 | 0.03% |
| US CONCRETE INC P/P 144A 06.3750 06/01/2024 | 0.03% |
| VALEANT PHARMACEUTIC P/P 144A 05.5000 03/01/2023 | 0.03% |
| WEEKLEY HOMES LLC 06.0000 02/01/2023 | 0.03% |
| WINDSTREAM CORP 07.7500 10/01/2021 | 0.03% |
| BANK OF AMERICA CORP 06.1000 12/29/2049 | 0.02% |
| BBVA INTL PREF UNIPERSON USD 05.9190 04/29/2049 | 0.02% |
| BOARDWALK PIPELINES LP 05.9500 06/01/2026 | 0.02% |
| BON-TON DEPT STORES 08.0000 06/15/2021 | 0.02% |
| CALPINE CORP P/P 144A 05.8750 01/15/2024 | 0.02% |
| CALPINE CORP P/P 144A 06.0000 01/15/2022 | 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% |
| CD 2007-CD5 XS IO 144A 00.5142 11/15/2044 | 0.02% |
| CENTENE CORP P/P 144A 05.6250 02/15/2021 | 0.02% |
| CENTURYLINK INC 05.6250 04/01/2020 | 0.02% |
| CHC HELICOPTER SA USD 09.2500 10/15/2020 | 0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.02% |
| CORRECTIONS CORP 04.1250 04/01/2020 | 0.02% |
| CPG INTL TLB L+375 04.7500 09/30/2020 | 0.02% |
| EP ENER/EVEREST AC 06.3750 06/15/2023 | 0.02% |
| EUR/USD PUT 1.10 20160719 CITI | 0.02% |
| FAMILY TREE ESCROW L P/P 144A 05.2500 03/01/2020 | 0.02% |
| FNS 374 6 IO 05.5000 08/25/2036 | 0.02% |
| FRONTIER COMMUNICATIONS 07.6250 04/15/2024 | 0.02% |
| GENERAL MOTORS CO 06.7500 04/01/2046 | 0.02% |
| GENON ENERGY INC 09.5000 10/15/2018 | 0.02% |
| GNR 2010-168 PI IO 04.5000 11/20/2039 | 0.02% |
| GNR 2011-41 BI IO 05.0000 05/20/2040 | 0.02% |
| GOODYEAR TIRE & RUBBER 05.0000 05/31/2026 | 0.02% |
| HALCON RESOURCES CORP 09.7500 07/15/2020 | 0.02% |
| HCA INC 05.3750 02/01/2025 | 0.02% |
| HILAND PART LP/CORP P/P 144A 05.5000 05/15/2022 | 0.02% |
| HUB HLDG LLC/HUB HOL P/P 144A 08.1250 07/15/2019 | 0.02% |
| LANDRY'S HLDG II INC P/P 144A 10.2500 01/01/2018 | 0.02% |
| LEAR CORP 05.3750 03/15/2024 | 0.02% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 0.02% |
| MSRR 2015-R4 CB3 00.5977 08/26/2047 | 0.02% |
| NAVISTAR INTL CV 04.5000 10/15/2018 | 0.02% |
| PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 | 0.02% |
| PETROBRAS GLOBAL FINANCE USD 06.8750 01/20/2040 | 0.02% |
| PHH CORPORATION 07.3750 09/01/2019 | 0.02% |
| PLN/USD 09/21/2016 HSBCB | 0.02% |
| PQ CORP P/P 144A 06.7500 11/15/2022 | 0.02% |
| QUEBECOR MEDIA INC USD 05.7500 01/15/2023 | 0.02% |
| RIVERS PITTSBURGH LP P/P 144A 09.5000 06/15/2019 | 0.02% |
| SEALED AIR CORP P/P 144A 05.5000 09/15/2025 | 0.02% |
| SEALED AIR CORP P/P 144A 06.5000 12/01/2020 | 0.02% |
| STEEL DYNAMICS INC 05.5000 10/01/2024 | 0.02% |
| SWPTN 3MX5Y P 2.01575 USD 09/29/2016 JP | 0.02% |
| SWPTN 3MX5Y P 2.0745 USD 09/29/2016 GS | 0.02% |
| SWPTN 3MX5Y R 1.5595 USD 09/29/2016 GS | 0.02% |
| SWPTN 5WX10Y R 1.3275 USD 07/18/2016 GS | 0.02% |
| SWPTN LIABILITY 1MX10Y P 1.585 USD 07/29/2016 CI | 0.02% |
| SWPTN LIABILITY 2YX2Y R 1.0 USD 04/18/2017 JP | 0.02% |
| SWPTN LIABILITY 6MX1Y P 1.134 USD 12/29/2016 JP | 0.02% |
| SWPTN LIABILITY 6MX1Y P 1.1665 USD 12/29/2016 GS | 0.02% |
| SWPTN LIABILITY 6MX1Y R 0.634 USD 12/29/2016 JP | 0.02% |
| SWPTN LIABILITY 6MX1Y R 0.6665 USD 12/29/2016 GS | 0.02% |
| TALBOTS INC 2NDL L+850 09.5000 03/19/2021 | 0.02% |
| TENET HEALTHCARE 04.7500 06/01/2020 | 0.02% |
| TERVITA CORP P/P 144A 09.0000 11/15/2018 | 0.02% |
| TEXAS COMP/TCEH P/P 144A 11.5000 10/01/2020 | 0.02% |
| VALEANT PHARMA P/P 144A 07.0000 10/01/2020 | 0.02% |
| 0.90 R ISWP FWD CDOR03 P 09/21/2018 | 0.01% |
| 1.336 R ISWP USL3M P 06/29/2026 | 0.01% |
| 1.3534 R ISWP USL3M P 06/29/2026 | 0.01% |
| 1.35629 R ISWP USL3M P 06/30/2026 | 0.01% |
| 1.35735 R ISWP USL3M P 06/29/2026 | 0.01% |
| 1.50 R ISWP FWD NOKOIB6M P 09/21/2026 | 0.01% |
| 2.40 R ISWP FWD NFIX3MID P 06/15/2018 | 0.01% |
| 2.50 R ISWP FWD NFIX3MID P 09/21/2021 | 0.01% |
| 6.16 R ISWP MXIBTIIE P 01/01/2026 JP | 0.01% |
| ARCELORMITTAL USD 08.0000 10/15/2039 | 0.01% |
| AVAYA INC P/P 144A 10.5000 03/01/2021 | 0.01% |
| BAYTEX ENERGY CORP P/P 144A 05.1250 06/01/2021 | 0.01% |
| BSABS 2004-FR3 M6 05.2106 09/25/2034 | 0.01% |
| CABLEVISION SYSTEMS CORP 07.7500 04/15/2018 | 0.01% |
| CHF/USD 09/21/2016 BCAP-FX | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| CONCHO RESOURCES INC 05.5000 10/01/2022 | 0.01% |
| DENBURY RESOURCES INC 06.3750 08/15/2021 | 0.01% |
| DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 | 0.01% |
| DYNEGY INC 07.3750 11/01/2022 | 0.01% |
| FFCA 2000-1 IO IO P/P 144A 00.9607 09/18/2027 | 0.01% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.01% |
| FNGT 2000-T6 IO IO 00.7214 06/25/2030 | 0.01% |
| FREEPORT-MCMORAN COPPER & GOL 03.5500 03/01/2022 | 0.01% |
| FRONTIER COMMUNICATIONS 06.2500 09/15/2021 | 0.01% |
| FSPC T-57 1AX IO 00.3785 07/25/2043 | 0.01% |
| GENWORTH HOLDINGS INC 06.1500 11/15/2066 | 0.01% |
| GNR 2010-98 PI IO 04.5000 10/20/2037 | 0.01% |
| GNR 2011-18 PI IO 04.5000 08/20/2040 | 0.01% |
| GNR 2013-16 IB IO 05.0000 10/20/2040 | 0.01% |
| INTELSAT LUXEMB USD 08.1250 06/01/2023 | 0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | 0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | 0.01% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | 0.01% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | 0.01% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | 0.01% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | 0.01% |
| JC PENNEY CORP INC 05.6500 06/01/2020 | 0.01% |
| KEY ENERGY SERVICES INC 06.7500 03/01/2021 | 0.01% |
| LEAR CORP 05.2500 01/15/2025 | 0.01% |
| LIGHTSTREAM P/P 144A 08.6250 02/01/2020 | 0.01% |
| MGM RESORTS INTL 05.2500 03/31/2020 | 0.01% |
| NZD/USD 07/21/2016 WPAC | 0.01% |
| OCWEN FINANCIAL CORP 06.6250 05/15/2019 | 0.01% |
| OPTN FN30 3.0 09/07/16 PUT 101.78125 JPMC | 0.01% |
| OPTN FN30 3.0 09/07/16 PUT 102.421875 JPMC | 0.01% |
| OPTN FN30 3.0 09/07/16 PUT 102.515625 JPMC | 0.01% |
| OPTN FN30 3.0 09/07/16 PUT 102.703125 JPMC | 0.01% |
| OPTN FN30 3.0 09/07/16 PUT 102.796875 JPMC | 0.01% |
| PACTIV LLC 08.3750 04/15/2027 | 0.01% |
| ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 | 0.01% |
| SCIENTIFIC GAMES INTERNA 06.2500 09/01/2020 | 0.01% |
| SINCLAIR TELE 05.3750 04/01/2021 | 0.01% |
| SPEC BND ES CORP 06.3750 11/15/2020 | 0.01% |
| SPEC BRNDS ESCROW CO 06.6250 11/15/2022 | 0.01% |
| STANDARD IND INC P/P 144A 05.1250 02/15/2021 | 0.01% |
| STANDARD IND INC P/P 144A 06.0000 10/15/2025 | 0.01% |
| STEEL DYNAMICS INC 05.1250 10/01/2021 | 0.01% |
| STEEL DYNAMICS INC 05.2500 04/15/2023 | 0.01% |
| STRIP 2003-1A N P/P 144A 01.0000 03/24/2018 | 0.01% |
| SWPTN 1MX10Y P 1.65 USD 07/22/2016 GS | 0.01% |
| SWPTN 1MX10Y R 2.089 AUD 07/18/2016 GS | 0.01% |
| SWPTN 2YX30Y P 2.915 USD 04/20/2017 CS | 0.01% |
| SWPTN 3MX5Y R 1.49825 USD 09/29/2016 JP | 0.01% |
| TERVITA CORP P/P 144A 10.8750 02/15/2018 | 0.01% |
| TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 | 0.01% |
| TRIBUNE CLASS 1C LITIGAT | 0.01% |
| USD/CAD CALL 1.32 20160719 CITI | 0.01% |
| VANDER INTERMED P/P 144A 09.7500 02/01/2019 | 0.01% |
| VEREIT OPERATING PARTNER 04.8750 06/01/2026 | 0.01% |
| WALTER INV MGMT 07.8750 12/15/2021 | 0.01% |
| WILLIAMS COMPANIES INC 03.7000 01/15/2023 | 0.01% |
| 0.711 R ISWP USL3M P 06/29/2018 | 0.00% |
| 0.7115 R ISWP USL3M P 06/29/2018 | 0.00% |
| 0.716 R ISWP USL3M P 06/29/2018 | 0.00% |
| 0.80 R ISWP FWD NOKOIB6M P 09/21/2018 | 0.00% |
| 1.10 R ISWP FWD NOKOIB6M P 09/21/2021 | 0.00% |
| 1.35 R ISWP FWD GBL6M P 09/21/2026 | 0.00% |
| 1.36146 R ISWP USL3M P 06/29/2026 | 0.00% |
| 1.75 R ISWP FWD AUDBB3M P 09/28/2018 | 0.00% |
| 2.7003 R ISWP FWD NFIX3MID P 06/15/2021 | 0.00% |
| 2.90 R ISWP FWD NFIX3MID P 09/21/2026 | 0.00% |
| 6.14 R ISWP MXIBTIIE P 01/02/2026 JP | 0.00% |
| CHF/USD 09/21/2016 BCAP-FX | 0.00% |
| CHIRON MERGER SUB 10.5000 11/01/2018 | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| CPTFEMU R 0.27 P 08/31/17 GS | 0.00% |
| CPTFEMU R 0.37 P 09/01/17 GS | 0.00% |
| CPTFEMU R 0.435 P 09/15/17 BC | 0.00% |
| CPTFEMU R 0.46 P 09/15/17 BC | 0.00% |
| DYNEGY INC 07.6250 11/01/2024 | 0.00% |
| FHR 2979 AS 22.6525 03/15/2034 | 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% |
| FNW 2003-W10 1IO IO 00.6602 06/25/2043 | 0.00% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| GSMS 2005-GG4 XC IO P/P 144A 00.6728 07/10/2039 | 0.00% |
| INTELSAT LUXEMB USD 07.7500 06/01/2021 | 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.FN30.400.10 P USL1M R 01/12/41 BC | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 GS | 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.FN30.500.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.600.08 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 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% |
| ISTAR INC. 05.0000 07/01/2019 | 0.00% |
| JPY/USD 08/18/2016 UBS | 0.00% |
| KRW/USD 08/18/2016 GSFX | 0.00% |
| LONE PINE RES ESCROW 10.3750 02/15/2017 | 0.00% |
| LONE PINE RESOURCES CANADA L | 0.00% |
| LONE PINE RESOURCES INC-CL A | 0.00% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.00% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 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% |
| MLMT 2007-C1 A3 06.0211 06/12/2050 | 0.00% |
| OPTN FN30 3.0 07/07/16 PUT 100.734375 JPMC | 0.00% |
| OPTN FN30 3.0 07/07/16 PUT 100.734375 JPMC | 0.00% |
| OPTN FN30 3.0 07/07/16 PUT 101.359375 JPMC | 0.00% |
| OPTN FN30 3.0 07/07/16 PUT 101.390625 JPMC | 0.00% |
| OPTN FN30 3.0 07/07/16 PUT 101.984375 JPMC | 0.00% |
| OPTN FN30 3.0 07/07/16 PUT 102.03125 JPMC | 0.00% |
| OPTN FN30 3.0 08/04/16 PUT 100.09375 JPMC | 0.00% |
| OPTN FN30 3.0 08/04/16 PUT 100.6796875 JPMC | 0.00% |
| OPTN FN30 3.0 08/04/16 PUT 100.8046875 JPMC | 0.00% |
| OPTN FN30 3.0 08/04/16 PUT 101.390625 JPMC | 0.00% |
| OPTN FN30 3.0 08/04/16 PUT 101.515625 JPMC | 0.00% |
| OPTN FN30 3.0 08/04/16 PUT 99.96875 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 100.015625 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 100.109375 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 100.296875 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 100.5625 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 100.75 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 100.8515625 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.0390625 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.1875 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.28125 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.296875 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.46875 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.484375 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.5625 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 101.59375 JPMC | 0.00% |
| OPTN FN30 3.0 09/07/16 PUT 99.828125 JPMC | 0.00% |
| REGAL ENTERTAINMENT GRP 05.7500 03/15/2022 | 0.00% |
| SAMSON INVESTMENT CO 09.7500 02/15/2020 | 0.00% |
| SEK/USD 09/21/2016 BCAP-FX | 0.00% |
| SEVENTY SEVEN ENERGY 06.5000 07/15/2022 | 0.00% |
| SWPTN 1MX10Y P 1.73 USD 07/22/2016 GS | 0.00% |
| SWPTN 2YX10Y P 3.035 USD 02/27/2017 JP | 0.00% |
| SWPTN 2YX10Y P 3.117 USD 02/23/2017 JP | 0.00% |
| SWPTN 2YX2Y P 2.56 USD 02/27/2017 JP | 0.00% |
| SWPTN 2YX2Y P 2.655 USD 02/23/2017 JP | 0.00% |
| SWPTN 2YX30Y P 3.315 USD 04/20/2017 CS | 0.00% |
| SWPTN 3MX1Y P 1.15 USD 07/20/2016 JP | 0.00% |
| SWPTN 3MX1Y P 1.28 USD 07/20/2016 JP | 0.00% |
| SWPTN 3MX1Y P 1.306 USD 07/20/2016 GS | 0.00% |
| SWPTN 3MX1Y P 1.41 USD 07/20/2016 JP | 0.00% |
| SWPTN 3MX1Y P 1.82 USD 07/20/2016 GS | 0.00% |
| SWPTN 3WX10Y P 1.65875 USD 07/13/2016 GS | 0.00% |
| TEGNA INC 05.1250 10/15/2019 | 0.00% |
| TEXAS COMP ELEC PP L+450 04.9430 10/10/2017 | 0.00% |
| TRIANGLE USA PETRO P/P 144A 06.7500 07/15/2022 | 0.00% |
| US 10YR NOTE (CBT)SEP16 TYU6 | 0.00% |
| US 10YR ULTRA FUT SEP16 UXYU6 | 0.00% |
| US LONG BOND(CBT) SEP16 USU6 | 0.00% |
| US ULTRA BOND CBT SEP16 WNU6 | 0.00% |
| -0.70 R ISWP FWD CHL6M P 09/21/2018 | -0.01% |
| 0.30 R ISWP FWD SES3M P 09/21/2021 | -0.01% |
| 1.05 R ISWP FWD CDOR03 P 09/21/2021 | -0.01% |
| 1.4215 R ISWP USL3M P 06/20/2026 | -0.01% |
| 2.05 R ISWP FWD AUDBB6M P 09/28/2021 | -0.01% |
| 2.4001 R ISWP FWD NFIX3MID P 06/15/2018 | -0.01% |
| AUD/USD 07/21/2016 CSI-FX | -0.01% |
| AUD/USD 07/21/2016 CSI-FX | -0.01% |
| AUD/USD 07/21/2016 SSBT | -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 BA | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -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% |
| CPTFEMU R 0.4975 P 09/15/17 BC | -0.01% |
| CPTFEMU R 0.63 P 08/11/17 GS | -0.01% |
| CPTFEMU R 0.75 P 01/26/21 GS | -0.01% |
| CPTFEMU R 0.75 P 01/26/21 JP | -0.01% |
| CPTFEMU R 0.755 P 01/27/21 JP | -0.01% |
| CPTFEMU R 0.85 P 09/07/20 JP | -0.01% |
| CPTFEMU R 0.8675 P 09/04/20 JP | -0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | -0.01% |
| IOS.FN30.350.13 R USL1M P 01/12/44 GS | -0.01% |
| IOS.FN30.350.13 R USL1M P 01/12/44 GS | -0.01% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | -0.01% |
| IOS.FN30.400.09 R USL1M P 01/12/40 GS | -0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | -0.01% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | -0.01% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | -0.01% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | -0.01% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | -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% |
| IOS.GII30.500.10 R USL1M P 01/12/41 CS | -0.01% |
| KRW/USD 08/18/2016 GSFX | -0.01% |
| MBX.FN30.550.08 P USL1M R 01/12/39 BC | -0.01% |
| NZD/USD 07/21/2016 WPAC | -0.01% |
| OPTN FN30 3.0 09/07/16 PUT 101.8046875 JPMC | -0.01% |
| OPTN FN30 3.0 09/07/16 PUT 101.8984375 JPMC | -0.01% |
| OPTN FN30 3.0 09/07/16 PUT 102.0859375 JPMC | -0.01% |
| OPTN FN30 3.0 09/07/16 PUT 102.1796875 JPMC | -0.01% |
| SEK/USD 09/21/2016 BCAP-FX | -0.01% |
| SWPTN 1MX10Y P 1.57 USD 07/22/2016 GS | -0.01% |
| SWPTN 3MX1Y R 0.901 USD 07/20/2016 GS | -0.01% |
| SWPTN 3MX1Y R 1.215 USD 07/20/2016 GS | -0.01% |
| -0.15 R ISWP FWD CHL6M P 09/21/2026 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.02% |
| CPTFEMU R 0.7975 P 09/10/20 GS | -0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | -0.02% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | -0.02% |
| JPY/USD 08/18/2016 UBS | -0.02% |
| PLN/USD 09/21/2016 HSBCB | -0.02% |
| SWPTN 1MX10Y P 1.585 USD 07/29/2016 CI | -0.02% |
| SWPTN 5WX2Y R 0.7325 USD 07/18/2016 GS | -0.02% |
| SWPTN 6MX1Y P 1.134 USD 12/29/2016 JP | -0.02% |
| SWPTN 6MX1Y P 1.1665 USD 12/29/2016 GS | -0.02% |
| SWPTN 6MX1Y R 0.634 USD 12/29/2016 JP | -0.02% |
| SWPTN 6MX1Y R 0.6665 USD 12/29/2016 GS | -0.02% |
| SWPTN LIABILITY 3MX5Y P 2.01575 USD 09/29/2016 JP | -0.02% |
| SWPTN LIABILITY 3MX5Y P 2.0745 USD 09/29/2016 GS | -0.02% |
| SWPTN LIABILITY 3MX5Y R 1.49825 USD 09/29/2016 JP | -0.02% |
| SWPTN LIABILITY 3MX5Y R 1.5595 USD 09/29/2016 GS | -0.02% |
| 2.35 R ISWP FWD AUDBB6M P 09/28/2026 | -0.03% |
| AUD/USD 07/21/2016 SSBT | -0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.03% |
| JPY/USD 08/18/2016 BANKAM | -0.03% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -0.03% |
| SWPTN 1MX10Y P 1.515 USD 07/29/2016 CI | -0.03% |
| SWPTN 2YX30Y P 2.515 USD 04/20/2017 CS | -0.03% |
| SWPTN LIABILITY 2YX10Y R 1.0 USD 04/18/2017 JP | -0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.04% |
| CPTFEMU R 0.63 P 08/10/17 GS | -0.04% |
| 1.5675 R ISWP FWD USL3M P 06/28/2026 | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.05% |
| MXN/USD 07/21/2016 CITI | -0.05% |
| SWPTN 2YX2Y R 1.0 USD 04/18/2017 JP | -0.05% |
| SWPTN LIABILITY 1MX10Y P 1.455 USD 07/29/2016 CI | -0.05% |
| SWPTN LIABILITY 2YX10Y R 1.0 USD 04/18/2017 JP | -0.05% |
| SWPTN LIABILITY 2YX10Y R 2.035 USD 02/27/2017 JP | -0.05% |
| SWPTN LIABILITY 2YX10Y R 2.117 USD 02/23/2017 JP | -0.05% |
| 1.40 R ISWP FWD USL3M P 09/21/2021 | -0.06% |
| 1.50 R ISWP FWD CDOR03 P 09/21/2026 | -0.06% |
| JPY/USD 08/18/2016 DEUTB-L | -0.06% |
| SWPTN LIABILITY 2YX10Y P 3.035 USD 02/27/2017 JP | -0.06% |
| SWPTN LIABILITY 2YX10Y P 3.117 USD 02/23/2017 JP | -0.06% |
| BRL/USD 10/03/2016 CITI | -0.07% |
| EUR/USD 09/21/2016 DEUTB-L | -0.07% |
| -0.55 R ISWP FWD CHL6M P 09/21/2021 | -0.08% |
| 0.05 R ISWP FWD EURIBOR6MD P 09/21/2021 | -0.08% |
| 0.95082 R ISWP USL3M P 06/08/2018 | -0.08% |
| 1.00 R ISWP FWD GBL6M P 09/21/2021 | -0.08% |
| 2.17 R ISWP FWD USL3M P 09/21/2046 | -0.08% |
| 3.10 R ISWP FWD NFIX3MID P 06/15/2026 | -0.08% |
| SWPTN 2YX2Y R 1.0 USD 04/18/2017 JP | -0.09% |
| 1.60208 R ISWP USL3M P 06/08/2026 | -0.10% |
| 1.00875 R ISWP JPL6M P 01/05/2036 | -0.11% |
| 1.4825 R ISWP USL3M P 06/28/2026 | -0.12% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.12% |
| CAD/USD 07/21/2016 WPAC | -0.14% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.14% |
| SWPTN 2YX2Y R 1.56 USD 02/27/2017 JP | -0.14% |
| 1.22015 R ISWP JPL6M P 01/05/2046 | -0.15% |
| 2.70 R ISWP FWD NFIX3MID P 06/15/2021 | -0.15% |
| SWPTN 2YX2Y R 1.655 USD 02/23/2017 JP | -0.16% |
| 1.65875 R ISWP USL3M P 06/28/2026 | -0.22% |
| CAD/USD 07/21/2016 BANKAM | -0.23% |
| CAD/USD 07/21/2016 JPMCB | -0.23% |
| 1.715 R ISWP USL3M P 06/21/2026 | -0.26% |
| AUD/USD 07/21/2016 DEUTB-L | -0.26% |
| AUD/USD 07/21/2016 JPMCB | -0.26% |
| 1.12 R ISWP FWD USL3M P 09/21/2018 | -0.27% |
| JPY/USD 08/18/2016 JPMCB | -0.27% |
| NZD/USD 07/21/2016 BCAP-FX | -0.27% |
| BRL/USD 10/03/2016 SSBT | -0.29% |
| AUD/USD 07/21/2016 BCAP-FX | -0.30% |
| NZD/USD 07/21/2016 CITI | -0.30% |
| 1.65 R ISWP FWD USL3M P 09/21/2026 | -0.31% |
| 1.75 R ISWP FWD USL3M P 09/21/2026 | -0.31% |
| EUR/USD 09/21/2016 UBS | -0.31% |
| NOK/USD 09/21/2016 JPMCB | -0.35% |
| FLR USL3M 6.00 03/07/2018 JP | -0.38% |
| CAD/USD 07/21/2016 HSBCB | -0.40% |
| EUR/USD 09/21/2016 BANKAM | -0.40% |
| CAD/USD 07/21/2016 UBS | -0.41% |
| GBP/USD 09/21/2016 RBSF | -0.41% |
| HKD/USD 08/18/2016 CSI-FX | -0.43% |
| NOK/USD 09/21/2016 BCAP-FX | -0.45% |
| GBP/USD 09/21/2016 BANKAM | -0.46% |
| GBP/USD 09/21/2016 SSBT | -0.46% |
| NZD/USD 07/21/2016 UBS | -0.46% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.47% |
| CAD/USD 07/21/2016 GSFX | -0.48% |
| EUR/USD 09/21/2016 RBSF | -0.49% |
| RUB/USD 09/21/2016 JPMCB | -0.49% |
| SEK/USD 09/21/2016 BANKAM | -0.49% |
| ZAR/USD 07/21/2016 CITI | -0.49% |
| GBP/USD 09/21/2016 CSI-FX | -0.50% |
| GBP/USD 09/21/2016 HSBCB | -0.50% |
| IDR/USD 08/18/2016 GSFX | -0.50% |
| IDR/USD 11/16/2016 JPMCB | -0.50% |
| JPY/USD 08/18/2016 RBSF | -0.50% |
| AUD/USD 07/21/2016 CITI | -0.51% |
| AUD/USD 07/21/2016 HSBCB | -0.51% |
| MYR/USD 08/18/2016 BANKAM | -0.51% |
| SGD/USD 08/18/2016 SSBT | -0.52% |
| HKD/USD 08/18/2016 BANKAM | -0.53% |
| HKD/USD 08/18/2016 HSBCB | -0.53% |
| HKD/USD 08/18/2016 JPMCB | -0.54% |
| JPY/USD 08/18/2016 BCAP-FX | -0.55% |
| JPY/USD 08/18/2016 CSI-FX | -0.55% |
| CAD/USD 07/21/2016 BCAP-FX | -0.58% |
| AUD/USD 07/21/2016 RBSF | -0.59% |
| EUR/USD 09/21/2016 BCAP-FX | -0.59% |
| GBP/USD 09/21/2016 CITI | -0.64% |
| EUR/USD 09/21/2016 CITI | -0.74% |
| AUD/USD 07/21/2016 UBS | -0.77% |
| NZD/USD 07/21/2016 JPMCB | -0.82% |
| AUD/USD 07/21/2016 BANKAM | -0.84% |
| EUR/USD 09/21/2016 GSFX | -0.85% |
| CAD/USD 07/21/2016 CSI-FX | -0.87% |
| NZD/USD 07/21/2016 BANKAM | -0.87% |
| CAD/USD 07/21/2016 CITI | -0.92% |
| GBP/USD 09/21/2016 BCAP-FX | -0.96% |
| GBP/USD 09/21/2016 GSFX | -0.96% |
| EUR/USD 09/21/2016 JPMCB | -1.10% |
| CAD/USD 07/21/2016 RBSF | -1.11% |
| NZD/USD 07/21/2016 GSFX | -1.11% |
| JPY/USD 08/18/2016 GSFX | -1.12% |
| NOK/USD 09/21/2016 RBSF | -1.14% |
| SEK/USD 09/21/2016 GSFX | -1.14% |
| CAD/USD 07/21/2016 SSBT | -1.18% |
| AUD/USD 07/21/2016 GSFX | -1.21% |
| NZD/USD 07/21/2016 RBSF | -1.23% |
| NOK/USD 09/21/2016 CSI-FX | -1.25% |
| GBP/USD 09/21/2016 JPMCB | -1.41% |
| NZD/USD 07/21/2016 CSI-FX | -1.44% |
| EUR/USD 09/21/2016 HSBCB | -1.60% |
| SEK/USD 09/21/2016 CSI-FX | -2.02% |
| SEK/USD 09/21/2016 JPMCB | -2.74% |
Prior top 10 holdings
| Top 10 holdings as of 08/31/16 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 09/01/2046 | 10.58% |
| 2: Fnma Fn30 Tba 03.5000 10/01/2046 | 9.61% |
| 3: Fnma Fn30 Tba 02.5000 09/01/2046 | 9.22% |
| 4: Fnma Fn30 Tba 03.0000 09/01/2046 | 3.32% |
| 5: Fnma Fn30 Tba 05.5000 09/01/2046 | 1.54% |
| 6: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.11% |
| 7: Cas 2015-C03 1m2 05.5244 07/25/2025 | 1.06% |
| 8: Cas 2015-C04 1m2 06.2244 04/25/2028 | 1.06% |
| 9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 1.03% |
| 10: Fnma Fn30 Tba 04.5000 09/01/2046 | 1.00% |
| Holdings represent 39.53% of portfolio | |
| Top 10 holdings as of 07/31/16 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 09/01/2046 | 16.82% |
| 2: Fnma Fn30 Tba 03.0000 09/01/2046 | 9.47% |
| 3: Gnma Gii30 Tba 03.5000 08/01/2046 | 3.39% |
| 4: Fnma Fn30 Tba 03.0000 08/01/2046 | 2.37% |
| 5: Fnma Fn30 Tba 05.5000 08/01/2046 | 1.54% |
| 6: Cwci 2007-C3 Aj 05.7646 05/15/2046 | 1.15% |
| 7: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.08% |
| 8: Cas 2015-C03 1m2 05.4879 07/25/2025 | 1.05% |
| 9: Cas 2015-C04 1m2 06.1879 04/25/2028 | 1.05% |
| 10: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 1.03% |
| Holdings represent 38.95% of portfolio | |
| Top 10 holdings as of 06/30/16 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 07/01/2046 | 14.06% |
| 2: Fnma Fn30 Tba 03.0000 07/01/2046 | 7.63% |
| 3: Fnma Fn30 Tba 03.0000 08/01/2046 | 7.14% |
| 4: Fnma Fn30 Tba 03.5000 08/01/2046 | 2.90% |
| 5: Gnma Gii30 Tba 03.5000 08/01/2046 | 1.95% |
| 6: Fnma Fn30 Tba 05.5000 07/01/2046 | 1.55% |
| 7: Gnma Gii30 Tba 03.5000 07/01/2046 | 1.46% |
| 8: Cwci 2007-C3 Aj 05.9562 05/15/2046 | 1.16% |
| 9: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.12% |
| 10: Cas 2015-C04 1m2 06.1533 04/25/2028 | 1.05% |
| Holdings represent 40.02% of portfolio | |
| Top 10 holdings as of 05/31/16 | |
|---|---|
| 1: Fnma Fn30 Tba 03.0000 07/01/2046 | 14.62% |
| 2: Fnma Fn30 Tba 03.5000 07/01/2046 | 11.21% |
| 3: Fnma Fn30 Tba 03.5000 06/01/2046 | 5.15% |
| 4: Gnma Gii30 Tba 03.5000 06/01/2046 | 3.30% |
| 5: Fnma Fn30 Tba 05.5000 06/01/2046 | 1.50% |
| 6: Cwci 2007-C3 Aj 05.7632 05/15/2046 | 1.12% |
| 7: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.07% |
| 8: Cas 2015-C04 1m2 06.1460 04/25/2028 | 1.04% |
| 9: Hellenic Republic Regs 03.0000 02/24/2025 | 1.04% |
| 10: Cas 2016-C03 2m2 06.3460 10/25/2028 | 1.03% |
| Holdings represent 41.08% of portfolio | |
Sector Weightings as of 08/31/16
| Cash Investment | Non-Cash Investment | Total Portfolio | ||||
|---|---|---|---|---|---|---|
| Weight | Spread Duration | Weight | Spread Duration | Weight | Spread Duration | |
| Agency pass-through | 0.00% | 0.00 | 35.75% | 2.00 | 35.75% | 2.00 |
| Commercial MBS | 20.74% | 0.78 | 9.17% | 0.56 | 29.91% | 1.34 |
| High-yield corporate bonds | 23.77% | 0.85 | 0.00% | 0.00 | 23.77% | 0.85 |
| Agency CMO | 14.93% | 0.38 | 2.56% | 0.11 | 17.49% | 0.49 |
| Residential MBS (non-agency) | 12.59% | 0.68 | 0.00% | 0.00 | 12.59% | 0.68 |
| Emerging-market bonds | 12.25% | 0.67 | 0.00% | 0.00 | 12.25% | 0.67 |
| Net cash | 6.90% | 0.00 | 0.00% | 0.00 | 6.90% | 0.00 |
| International Treasury/agency | 3.72% | 0.26 | 0.00% | 0.00 | 3.72% | 0.26 |
| Investment-grade corporate bonds | 3.00% | 0.14 | 0.00% | 0.00 | 3.00% | 0.14 |
| Bank loans | 1.98% | 0.06 | 0.00% | 0.00 | 1.98% | 0.06 |
| Equity investments | 0.12% | 0.00 | 0.00% | 0.00 | 0.12% | 0.00 |
| Interest rate swaps | 0.00% | 0.00 | 0.00% | -2.65 | 0.00% | -2.65 |
| U.S. Treasury/agency | 0.00% | 0.00 | 0.00% | -0.03 | 0.00% | -0.03 |
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 sector 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 fund's interest-rate sensitivity. The longer a fund's duration, the more sensitive the fund is to shifts in interest rates.
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.
You can lose money by investing in a fund. Any given fund may not achieve its goal, and is not intended as a complete investment program. All funds have risk. The value and/or returns of a portfolio will fluctuate with market conditions. You may have more or less than the original amount invested when you redeem your shares.
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.
You can lose money by investing in a fund. Any given fund may not achieve its goal, and is not intended as a complete investment program. All funds have risk. The value and/or returns of a portfolio will fluctuate with market conditions. You may have more or less than the original amount invested when you redeem your shares.
‡ 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.