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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 06/23/17
| with optional enhanced death benefits | ||
|---|---|---|
| Unit Value | $18.404358 | $17.9243 |
| Unit Value Change | 0.030383 | 0.029517 |
Lipper ranking ‡ as of 05/31/17
Category: General Bond Funds
| Percentile ranking | Rank/Funds in category | |
|---|---|---|
| 10 yrs. | 81% | 21/25 |
| 1 yr. | 5% | 2/48 |
| 3 yrs. | 86% | 34/39 |
| 5 yrs. | 44% | 14/31 |
Maturity detail includes only cash bonds and cash equivalents.
International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.
The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.'
Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.
‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.
Performance as of 03/31/17
| Annualized Performance | Last Quarter | Year to Date |
1 yr. | 3 yrs. | 5 yrs. | 10 yrs. | Life of subaccount |
|---|---|---|---|---|---|---|---|
| Restated performance | |||||||
| Unit Value | 2.00% | 2.00% | 10.82% | -0.55% | 2.15% | 2.70% | 3.53% |
| Standardized | -6.00% | -6.00% | 2.82% | -3.28% | 1.02% | 2.70% | 3.53% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.96% | 1.96% | 10.65% | -0.70% | 1.99% | 2.55% | 3.38% |
| Standardized | -6.04% | -6.04% | 2.65% | -3.43% | 0.86% | 2.55% | 3.38% |
| Actual performance | |||||||
| Unit Value | 2.00% | 2.00% | 10.82% | -0.55% | 2.15% | 2.70% | 3.65% |
| Standardized | -6.00% | -6.00% | 2.82% | -3.28% | 1.02% | 2.70% | 3.65% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.96% | 1.96% | 10.65% | -0.70% | 1.99% | 2.55% | 3.49% |
| Standardized | -6.04% | -6.04% | 2.65% | -3.43% | 0.86% | 2.55% | 3.49% |
| Cumulative Performance | Last Quarter | Year to Date |
1 yr. | 3 yrs. | 5 yrs. | 10 yrs. | Life of subaccount |
|---|---|---|---|---|---|---|---|
| Restated performance | |||||||
| Unit Value | 2.00% | 2.00% | 10.82% | -1.65% | 11.21% | 30.56% | 126.53% |
| Standardized | -6.00% | -6.00% | 2.82% | -9.52% | 5.21% | 30.56% | 126.53% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.96% | 1.96% | 10.65% | -2.10% | 10.37% | 28.58% | 118.54% |
| Standardized | -6.04% | -6.04% | 2.65% | -9.93% | 4.37% | 28.58% | 118.54% |
| Actual performance | |||||||
| Unit Value | 2.00% | 2.00% | 10.82% | -1.65% | 11.21% | 30.56% | 84.41% |
| Standardized | -6.00% | -6.00% | 2.82% | -9.52% | 5.21% | 30.56% | 84.41% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.96% | 1.96% | 10.65% | -2.10% | 10.37% | 28.58% | 79.67% |
| Standardized | -6.04% | -6.04% | 2.65% | -9.93% | 4.37% | 28.58% | 79.67% |
Annual Performance at NAV
| 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 |
|---|---|---|---|---|---|---|---|---|---|
| 2.46% | -31.92% | 52.87% | 10.87% | -4.71% | 9.74% | 6.09% | -1.26% | -3.90% | 3.74% |
| With optional enhanced death benefit | |||||||||
| 2.30% | -32.03% | 52.64% | 10.70% | -4.86% | 9.57% | 5.93% | -1.41% | -4.05% | 3.58% |
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.
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 05/31/17
| Fnma Fn30 Tba 03.5000 07/01/2047 | 18.76% |
|
|---|---|---|
| Fnma Fn30 Tba 03.5000 06/01/2047 | 3.86% |
|
| Fnma Fn30 Tba 02.5000 06/01/2047 | 2.72% |
|
| Fnma Fn30 Tba 04.5000 06/01/2047 | 2.52% |
|
| Fnma Fn30 Tba 05.5000 06/01/2047 | 1.56% |
|
| Cwalt 2006-Oa10 4a1 01.2136 08/25/2046 | 1.02% |
|
| Cas 2015-C03 1m2 06.0236 07/25/2025 | 1.00% |
|
| Fnma Fn30 Tba 04.0000 06/01/2047 | 0.99% |
|
| Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 0.90% |
|
| Cas 2016-C03 2m2 06.9236 10/25/2028 | 0.85% |
|
| Top 10 holdings, total: | 34.18% |
|
Equity Holdings as of 03/31/17
| GMAC CAPITAL TRUST I PCT 06.8240 | 0.08% |
|---|---|
| HALCON RESOURCES CORP | 0.04% |
| SANDRIDGE ENERGY INC | 0.03% |
| TRIBUNE CLASS 1C LITIGAT | 0.01% |
| TXU TCEH RIGHTS | 0.01% |
| CHC GROUP LLC P/P | 0.00% |
| HALCON RESOURCES CORP - WARRA | 0.00% |
| MILAGRO OIL & GAS | 0.00% |
| TERVITA CORP CLASS A | 0.00% |
Full Portfolio Holdings as of 03/31/17
| FNMA FN30 TBA 03.5000 05/01/2047 | 22.19% |
|---|---|
| FNMA FN30 TBA 02.5000 04/01/2047 | 2.65% |
| FNMA FN30 TBA 04.0000 04/01/2047 | 2.43% |
| EUR/USD 06/21/2017 UBS | 2.27% |
| AUD/USD 04/19/2017 JPMCB | 2.08% |
| FNMA FN30 TBA 05.5000 04/01/2047 | 1.54% |
| SEK/USD 06/21/2017 UBS | 1.51% |
| NZD/USD 04/19/2017 UBS | 1.47% |
| NZD/USD 04/19/2017 GSFX | 1.25% |
| NZD/USD 04/19/2017 JPMCB | 1.12% |
| PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 | 1.12% |
| SEK/USD 06/21/2017 GSFX | 1.05% |
| SEK/USD 06/21/2017 SSBT | 1.05% |
| INR/USD 05/17/2017 GSFX | 1.03% |
| SEK/USD 06/21/2017 CITI | 1.02% |
| AUD/USD 04/19/2017 CSI-FX | 1.00% |
| CAS 2015-C03 1M2 05.9817 07/25/2025 | 1.00% |
| CLP/USD 07/19/2017 BANKAM | 1.00% |
| BRL/USD 07/03/2017 BANKAM | 0.99% |
| FNMA FN30 TBA 04.5000 04/01/2047 | 0.99% |
| NZD/USD 04/19/2017 CITI | 0.98% |
| CWALT 2006-OA10 4A1 01.1717 08/25/2046 | 0.97% |
| EUR/USD 06/21/2017 SSBT | 0.92% |
| WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 | 0.89% |
| PETROLEOS MEXICANOS USD 04.5000 01/23/2026 | 0.84% |
| CAS 2016-C03 2M2 06.8817 10/25/2028 | 0.82% |
| SEK/USD 06/21/2017 JPMCB | 0.82% |
| AUD/USD 04/19/2017 UBS | 0.81% |
| SEK/USD 06/21/2017 RBSF | 0.78% |
| VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 | 0.77% |
| NZD/USD 04/19/2017 CSI-FX | 0.76% |
| STACR 2015-DN1 B 12.4817 01/25/2025 | 0.76% |
| NOK/USD 06/21/2017 CITI | 0.75% |
| CAS 2015-C04 1M2 06.6817 04/25/2028 | 0.73% |
| GBP/USD 06/21/2017 CITI | 0.73% |
| NZD/USD 04/19/2017 SSBT | 0.71% |
| GNR 2016-H23 NI IO 02.5913 10/20/2066 | 0.67% |
| AUD/USD 04/19/2017 SSBT | 0.65% |
| BSCMS 2007-T26 AJ 05.5660 01/12/2045 | 0.65% |
| EUR/USD 06/21/2017 RBSF | 0.64% |
| HELLENIC REPUBLIC P/P REGS 04.7500 04/17/2019 | 0.60% |
| REP OF ARGENTINA P/P 144A 06.8750 01/26/2027 | 0.59% |
| JPY/USD 05/17/2017 BCAP-FX | 0.57% |
| WBCMT 2006-C26 AJ 06.0867 06/15/2045 | 0.57% |
| JPY/USD 05/17/2017 GSFX | 0.56% |
| SEK/USD 06/21/2017 BANKAM | 0.55% |
| CAS 2016-C02 1B 13.2317 09/25/2028 | 0.53% |
| INR/USD 05/17/2017 BANKAM | 0.53% |
| EUR/USD 06/21/2017 CITI | 0.52% |
| SEK/USD 06/21/2017 BCAP-FX | 0.52% |
| SEK/USD 06/21/2017 CSI-FX | 0.52% |
| EUR/USD 06/21/2017 CSI-FX | 0.51% |
| AUD/USD 04/19/2017 RBSF | 0.50% |
| EUR/USD 06/21/2017 WPAC | 0.50% |
| IDR/USD 05/17/2017 CITI | 0.50% |
| JPY/USD 05/17/2017 RBSF | 0.50% |
| NOK/USD 06/21/2017 CSI-FX | 0.50% |
| NZD/USD 04/19/2017 WPAC | 0.50% |
| SGD/USD 05/17/2017 BANKAM | 0.50% |
| SGD/USD 05/17/2017 SSBT | 0.50% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.50% |
| AUD/USD 04/19/2017 BCAP-FX | 0.49% |
| MXN/USD 07/19/2017 BANKAM | 0.49% |
| NOK/USD 06/21/2017 UBS | 0.49% |
| ZAR/USD 07/19/2017 GSFX | 0.48% |
| GNR 2015-186 AI IO 04.0000 12/20/2045 | 0.47% |
| NZD/USD 04/19/2017 RBSF | 0.47% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.47% |
| ZAR/USD 07/19/2017 CITI | 0.47% |
| EUR/USD 06/21/2017 JPMCB | 0.46% |
| OJSC RUSS AGRIC RSHB P/P 144A 07.7500 05/29/2018 | 0.45% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.43% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2029 | 0.42% |
| STACR 2016-DNA1 B 10.9817 07/25/2028 | 0.42% |
| FHR 4425 IO IO 04.0000 01/15/2045 | 0.41% |
| JPMCC 2007-CB20 C P/P 144A 06.2777 02/12/2051 | 0.41% |
| MSBAM 2014-C17 D P/P 144A 04.6978 08/15/2047 | 0.41% |
| WAMU 2005-AR17 A1B3 01.3317 12/25/2045 | 0.40% |
| AUD/USD 04/19/2017 WPAC | 0.39% |
| NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 | 0.39% |
| GBP/USD 06/21/2017 UBS | 0.38% |
| BSCMS 2005-PWR7 B 05.2140 02/11/2041 | 0.37% |
| JPY/USD 05/17/2017 JPMCB | 0.37% |
| EUR/USD 06/21/2017 GSFX | 0.36% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.36% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.35% |
| JPMBB 2014-C26 D P/P 144A 03.9259 01/15/2048 | 0.35% |
| CAS 2016-C01 1B 12.7317 08/25/2028 | 0.34% |
| CFCRE 2011-C2 F P/P 144A 05.2500 12/15/2047 | 0.34% |
| CGCMT 2012-GC8 D P/P 144A 05.0359 09/10/2045 | 0.34% |
| CWALT 2006-OA7 1A1 02.2800 06/25/2046 | 0.34% |
| JPMBB 2014-C18 D P/P 144A 04.8140 02/15/2047 | 0.34% |
| WAMU 2005-AR19 A1C3 01.4817 12/25/2045 | 0.34% |
| REP OF INDONESIA P/P 144A 06.6250 02/17/2037 | 0.33% |
| WFRBS 2013-C15 D P/P 144A 04.4801 08/15/2046 | 0.33% |
| CGCMT 2014-GC21 D P/P 144A 04.8357 05/10/2047 | 0.32% |
| COMM 2014-CR18 D P/P 144A 04.7367 07/15/2047 | 0.32% |
| FHR 4604 QI IO 03.5000 07/15/2046 | 0.32% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2023 | 0.32% |
| STACR 2015-DNA3 B 10.3317 04/25/2028 | 0.32% |
| CSAIL 2015-C1 D P/P 144A 03.7997 04/15/2050 | 0.31% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2030 | 0.31% |
| PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 | 0.31% |
| WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 | 0.31% |
| CWALT 2005-38 A3 01.3317 09/25/2035 | 0.30% |
| DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 | 0.30% |
| STACR 2016-HQA2 M3 06.1317 11/25/2028 | 0.30% |
| WFRBS 2014-C19 E P/P 144A 04.9704 03/15/2047 | 0.30% |
| CAS 2016-C03 1B 12.7317 10/25/2028 | 0.29% |
| GNR 2015-40 IO IO 04.0000 03/20/2045 | 0.29% |
| GNR 2015-79 CI IO 04.0000 05/20/2045 | 0.29% |
| GNR 2016-H09 BI IO 01.9398 04/20/2066 | 0.29% |
| NZD/USD 04/19/2017 BCAP-FX | 0.29% |
| PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 | 0.29% |
| RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 | 0.29% |
| STACR 2015-DNA2 B 08.5317 12/25/2027 | 0.29% |
| FNR 2013-90 SD IO 05.6183 09/25/2043 | 0.28% |
| GBP/USD 06/21/2017 SSBT | 0.28% |
| GNR 2013-34 IH IO 04.5000 03/20/2043 | 0.28% |
| JPMCC 2012-LC9 E P/P 144A 04.4128 12/15/2047 | 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% |
| NOK/USD 06/21/2017 BANKAM | 0.28% |
| CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 | 0.27% |
| FHR 4580 ID IO 03.5000 08/15/2045 | 0.27% |
| GNR 2013-76 IO IO 03.5000 05/20/2043 | 0.27% |
| SPRINT CORP 07.8750 09/15/2023 | 0.27% |
| WFCM 2013-LC12 D P/P 144A 04.2961 07/15/2046 | 0.27% |
| CD 2007-CD5 E P/P 144A 06.1589 11/15/2044 | 0.26% |
| GBP/USD 06/21/2017 GSFX | 0.26% |
| JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 | 0.26% |
| MSBAM 2013-C10 D P/P 144A 04.0838 07/15/2046 | 0.26% |
| PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 | 0.26% |
| RALI 2006-QO10 A1 01.1417 01/25/2037 | 0.26% |
| SCIENTIFIC GAMES INT 10.0000 12/01/2022 | 0.26% |
| CWALT 2006-OA7 1A2 01.5776 06/25/2046 | 0.25% |
| EUR/USD 06/21/2017 HSBCB | 0.25% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.25% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.25% |
| GNR 2016-H06 DI IO 01.9169 07/20/2065 | 0.25% |
| GSMS 2014-GC18 D P/P 144A 04.9454 01/10/2047 | 0.25% |
| JPY/USD 05/17/2017 UBS | 0.25% |
| MSC 2007-HQ11 B 05.5380 02/12/2044 | 0.25% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.24% |
| GBP/USD 06/21/2017 JPMCB | 0.24% |
| GNR 2015-H25 AI IO 01.6033 09/20/2065 | 0.24% |
| GNR 2016-104 GI IO 04.5000 01/20/2046 | 0.24% |
| GNR 2016-H10 AI IO 02.0139 04/20/2066 | 0.24% |
| JPMBB 2013-C15 D P/P 144A 05.0466 11/15/2045 | 0.24% |
| NOK/USD 06/21/2017 RBSF | 0.24% |
| BSCMS 2005-PWR9 C 05.0550 09/11/2042 | 0.23% |
| CWALT 2005-59 1A1 01.3061 11/20/2035 | 0.23% |
| GNR 2014-44 IA IO 03.5000 05/20/2028 | 0.23% |
| GNR 2016-H06 CI IO 01.9056 02/20/2066 | 0.23% |
| GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 | 0.23% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2032 | 0.23% |
| LUKOIL INTL FINANCE P/P 144A 06.6560 06/07/2022 | 0.23% |
| SERVICE CORP INTL 05.3750 05/15/2024 | 0.23% |
| WBCMT 2007-C30 AJ 05.4130 12/15/2043 | 0.23% |
| BSCMS 2006-PW11 B P/P 144A 05.3285 03/11/2039 | 0.22% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.22% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.22% |
| SAMI 2007-AR1 2A1 01.1617 01/25/2037 | 0.22% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.21% |
| CROATIA P/P 144A 06.0000 01/26/2024 | 0.21% |
| GNR 2014-119 SA IO 04.6217 08/20/2044 | 0.21% |
| GNR 2016-H02 HI IO 02.1361 01/20/2066 | 0.21% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2028 | 0.21% |
| WAMU 2005-AR19 A1C4 01.3817 12/25/2045 | 0.21% |
| ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 | 0.20% |
| BALTA 2005-8 21A1 03.3114 10/25/2035 | 0.20% |
| EUR/USD 06/21/2017 BANKAM | 0.20% |
| FHR 4077 IK IO 05.0000 07/15/2042 | 0.20% |
| GNR 2012-140 IC IO 03.5000 11/20/2042 | 0.20% |
| GNR 2013-22 OI IO 05.0000 01/20/2043 | 0.20% |
| GNR 2016-H24 JI IO 02.4959 11/20/2066 | 0.20% |
| JPMCC 2007-CB20 B P/P 144A 06.2777 02/12/2051 | 0.20% |
| MSBAM 2012-C6 F P/P 144A 04.6477 11/15/2045 | 0.20% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.20% |
| PETROLEOS MEXICANOS USD 05.6250 01/23/2046 | 0.20% |
| TELENET FINANCE V P/P 144A 06.7500 08/15/2024 | 0.20% |
| WFRBS 2012-C10 D P/P 144A 04.4551 12/15/2045 | 0.20% |
| ALLY FINANCIAL INC 08.0000 11/01/2031 | 0.19% |
| ALTA MESA HLDGS P/P 144A 07.8750 12/15/2024 | 0.19% |
| BCAP 2011-RR3 3A6 03.0724 11/27/2036 | 0.19% |
| CAD/USD 04/19/2017 GSFX | 0.19% |
| CAS 2015-C03 2M2 05.9817 07/25/2025 | 0.19% |
| CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 | 0.19% |
| CWCI 2007-C2 AJFX 05.5680 04/15/2047 | 0.19% |
| FNR 2016-102 JI IO 03.5000 02/25/2046 | 0.19% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.19% |
| GNR 2012-146 IO IO 05.0000 12/20/2042 | 0.19% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.19% |
| GNR 2013-182 IQ IO 04.5000 12/16/2043 | 0.19% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.19% |
| GNR 2015-95 PI IO 03.5000 07/20/2045 | 0.19% |
| GNR 2015-H23 BI IO 01.7153 09/20/2065 | 0.19% |
| GNR 2015-H24 AI IO 02.1409 09/20/2065 | 0.19% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2025 | 0.19% |
| JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 | 0.19% |
| JPMCC 2011-C3 F P/P 144A 05.6216 02/15/2046 | 0.19% |
| SFR GROUP SA P/P 144A 06.0000 05/15/2022 | 0.19% |
| WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 | 0.19% |
| WFRBS 2013-UBS1 E P/P 144A 04.6266 03/15/2046 | 0.19% |
| AUD/USD 04/19/2017 CITI | 0.18% |
| AVAYA INC P/P 144A 07.0000 04/01/2019 | 0.18% |
| COMM 2006-C8 AJ 05.3770 12/10/2046 | 0.18% |
| COMM 2013-CCRE9 D P/P 144A 04.2561 07/10/2045 | 0.18% |
| COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 | 0.18% |
| CROATIA P/P 144A 06.3750 03/24/2021 | 0.18% |
| CSC HOLDINGS LLC 05.2500 06/01/2024 | 0.18% |
| FNR 2010-140 GS IO 05.0183 07/25/2039 | 0.18% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.18% |
| GNR 2016-48 MI IO 03.5000 04/16/2046 | 0.18% |
| GNR 2016-H03 DI IO 02.0360 12/20/2065 | 0.18% |
| GSAA 2006-8 2A2 01.1617 05/25/2036 | 0.18% |
| LBCMT 1998-C4 J P/P 144A 05.6000 10/15/2035 | 0.18% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.18% |
| PETROLEOS MEXICANOS USD 06.6250 06/15/2035 | 0.18% |
| WFCM 2012-LC5 E P/P 144A 04.7761 10/15/2045 | 0.18% |
| 1011778 BC / NEW RED P/P 144A 06.0000 04/01/2022 | 0.17% |
| BMIR 2015-1A M2 05.2817 07/25/2025 | 0.17% |
| BUILDERS FIRSTSOURCE P/P 144A 10.7500 08/15/2023 | 0.17% |
| CASELLA WASTE TLB L+300 04.0000 10/17/2023 | 0.17% |
| DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 | 0.17% |
| EVEREST ACQ LLC/FIN 09.3750 05/01/2020 | 0.17% |
| FHR 3065 DC 17.1233 03/15/2035 | 0.17% |
| FHR 4122 CI IO 03.5000 10/15/2042 | 0.17% |
| FNR 2012-30 HI IO 04.5000 12/25/2040 | 0.17% |
| GNR 2012-136 BI IO 03.5000 11/20/2042 | 0.17% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.17% |
| GNR 2015-64 PI IO 03.5000 05/20/2045 | 0.17% |
| GNR 2015-64 YI IO 04.0000 11/20/2044 | 0.17% |
| GNR 2015-H25 EI IO 01.8332 10/20/2065 | 0.17% |
| GNR 2016-H16 EI IO 02.1754 06/20/2066 | 0.17% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.17% |
| MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 | 0.17% |
| NOVELIS CORP P/P 144A 06.2500 08/15/2024 | 0.17% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.17% |
| TENET HEALTHCARE 06.2500 11/01/2018 | 0.17% |
| CALPINE CORP 05.7500 01/15/2025 | 0.16% |
| CIT GROUP INC. 05.0000 08/15/2022 | 0.16% |
| CONTINENTAL RESOURCES 03.8000 06/01/2024 | 0.16% |
| GNR 2013-H08 CI IO 01.6628 02/20/2063 | 0.16% |
| GNR 2015-69 IK IO 03.5000 03/20/2038 | 0.16% |
| GNR 2016-H03 AI IO 02.3706 01/20/2066 | 0.16% |
| GNR 2016-H14 AI IO 02.2329 06/20/2066 | 0.16% |
| GNR 2017-42 IC IO 04.5000 08/20/2041 | 0.16% |
| LNSTR 2015-3 C P/P 144A 03.2290 04/20/2048 | 0.16% |
| MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 | 0.16% |
| NZD/USD 04/19/2017 BANKAM | 0.16% |
| REP OF INDONESIA P/P 144A 05.9500 01/08/2046 | 0.16% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | 0.16% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.16% |
| VTB BK (VTB EURASIA) P/P 144A 09.5000 12/29/2049 | 0.16% |
| CAESARS GROWTH PROP TL L+525 06.2500 05/08/2021 | 0.15% |
| CFCRE 2011-C2 E P/P 144A 05.7548 12/15/2047 | 0.15% |
| COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 | 0.15% |
| FHR 4024 PI IO 04.5000 12/15/2041 | 0.15% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.15% |
| GBP/USD 06/21/2017 BANKAM | 0.15% |
| GNR 2015-60 PI IO 04.0000 04/20/2045 | 0.15% |
| GNR 2016-27 IB IO 04.0000 11/20/2045 | 0.15% |
| JPMCC 2011-C3 E P/P 144A 05.6216 02/15/2046 | 0.15% |
| MTW FOODSERVICE ESCR 09.5000 02/15/2024 | 0.15% |
| NAVISTAR INTERNATIONAL CORP 08.2500 11/01/2021 | 0.15% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.15% |
| TAYLOR MORRISON COMM P/P 144A 05.2500 04/15/2021 | 0.15% |
| BACM 2007-3 AJ 05.8502 06/10/2049 | 0.14% |
| CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 | 0.14% |
| CGCMT 2006-C4 C 05.9946 03/15/2049 | 0.14% |
| COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 | 0.14% |
| DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 | 0.14% |
| FNR 2013-103 SK IO 04.9383 10/25/2043 | 0.14% |
| FNR 2015-88 QI IO 04.0000 10/25/2044 | 0.14% |
| GNR 2014-H21 BI IO 01.5356 10/20/2064 | 0.14% |
| GNR 2016-37 IW IO 04.5000 02/20/2046 | 0.14% |
| GNR 2016-H24 CI IO 01.6886 10/20/2066 | 0.14% |
| MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 | 0.14% |
| MSC 2008-T29 F P/P 144A 06.3010 01/11/2043 | 0.14% |
| MXN/USD 04/19/2017 CITI | 0.14% |
| OPTN FN30 3.0 05/04/17 CALL 98.953125 JPMC | 0.14% |
| PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 | 0.14% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.14% |
| STACR 2016-DNA2 B 11.4817 10/25/2028 | 0.14% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.14% |
| TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 | 0.14% |
| WPX ENERGY INC 06.0000 01/15/2022 | 0.14% |
| WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 | 0.14% |
| AES CORP/VA 05.5000 04/15/2025 | 0.13% |
| BALTA 2004-3 B 03.9067 04/25/2034 | 0.13% |
| BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 | 0.13% |
| CHENIERE CORP CHRIST P/P 144A 05.8750 03/31/2025 | 0.13% |
| CLEAR CHANNEL TLD L+675 07.7322 01/30/2019 | 0.13% |
| CONCHO RESOURCES INC 05.5000 04/01/2023 | 0.13% |
| COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 | 0.13% |
| CSC HOLDINGS LLC P/P 144A 10.1250 01/15/2023 | 0.13% |
| CWCI 2007-C3 AJ 05.8796 05/15/2046 | 0.13% |
| FNR 2011-98 AI IO 03.5000 11/25/2037 | 0.13% |
| FNR 2013-41 IP IO 04.0000 05/25/2043 | 0.13% |
| FNR 2017-7 JI IO 04.0000 02/25/2047 | 0.13% |
| GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 | 0.13% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.13% |
| GNR 2013-54 JI IO 03.5000 02/20/2043 | 0.13% |
| GNR 2015-H10 BI IO 02.0081 04/20/2065 | 0.13% |
| GSMS 2013-GC10 D P/P 144A 04.4105 02/10/2046 | 0.13% |
| INFOR SOFTWARE P/P 144A 07.1250 05/01/2021 | 0.13% |
| MLMT 2008-C1 AJ 06.3006 02/12/2051 | 0.13% |
| NATIONSTAR MORT/ 06.5000 07/01/2021 | 0.13% |
| OSHKOSH CORP 05.3750 03/01/2022 | 0.13% |
| PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 | 0.13% |
| REP OF ARGENTINA P/P 144A 07.1250 07/06/2036 | 0.13% |
| SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 | 0.13% |
| SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 | 0.13% |
| STACR 2016-DNA2 M3 05.6317 10/25/2028 | 0.13% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.13% |
| SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP | 0.13% |
| SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP | 0.13% |
| VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 | 0.13% |
| WINDSTREAM SERVICES LLC 06.3750 08/01/2023 | 0.13% |
| ARDAGH PKG FIN/HLDGS P/P 144A 07.2500 05/15/2024 | 0.12% |
| BLUELINE RENTAL CRP P/P 144A 09.2500 03/15/2024 | 0.12% |
| BRL/USD 07/03/2017 CITI | 0.12% |
| BROOKFIELD RESID P/P 144A 06.5000 12/15/2020 | 0.12% |
| CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 | 0.12% |
| CWALT 2005-38 A1 02.1376 09/25/2035 | 0.12% |
| ENERGY TRANSFER EQUITY 07.5000 10/15/2020 | 0.12% |
| FNR 2006-8 HP 20.9672 03/25/2036 | 0.12% |
| FNR 2013-53 JI IO 03.0000 12/25/2041 | 0.12% |
| GAZPROM (GAZ CAP SA) P/P 144A 09.2500 04/23/2019 | 0.12% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.12% |
| GNR 2015-187 KI IO 05.0000 06/20/2043 | 0.12% |
| GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 | 0.12% |
| HCA INC 06.5000 02/15/2020 | 0.12% |
| JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 | 0.12% |
| JPMBB 2013-C14 D P/P 144A 04.5637 08/15/2046 | 0.12% |
| JPMBB 2014-C18 E P/P 144A 04.3140 02/15/2047 | 0.12% |
| JPMCC 2012-C8 E P/P 144A 04.6773 10/15/2045 | 0.12% |
| LBUBS 2006-C6 C 05.4820 09/15/2039 | 0.12% |
| MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 | 0.12% |
| PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 | 0.12% |
| PROVIDENT FDG/PFG P/P 144A 06.7500 06/15/2021 | 0.12% |
| RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 | 0.12% |
| SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA | 0.12% |
| SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA | 0.12% |
| T-MOBILE USA INC 06.1250 01/15/2022 | 0.12% |
| TECHEM ENERGY MET P/P 144A 07.8750 10/01/2020 | 0.12% |
| ADS INC P/P 144A 05.6250 11/15/2024 | 0.11% |
| BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 | 0.11% |
| CAS 2015-C04 2M2 06.5317 04/25/2028 | 0.11% |
| CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 | 0.11% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.11% |
| COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 | 0.11% |
| FHR 4403 CI IO 04.0000 10/15/2044 | 0.11% |
| GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 | 0.11% |
| GETTY IMAGES TLB L+350 04.7500 10/18/2019 | 0.11% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.11% |
| GNR 2016-H17 KI IO 02.1974 07/20/2066 | 0.11% |
| HUB INTL LTD P/P 144A 07.8750 10/01/2021 | 0.11% |
| JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 | 0.11% |
| LBUBS 2006-C3 C 05.5468 03/15/2039 | 0.11% |
| MATTAMY GROUP CORP P/P 144A 06.5000 11/15/2020 | 0.11% |
| ORTHO-CLINICAL INC/S P/P 144A 06.6250 05/15/2022 | 0.11% |
| RITE AID CORP P/P 144A 06.1250 04/01/2023 | 0.11% |
| SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 | 0.11% |
| SEALED AIR CORP P/P 144A 06.8750 07/15/2033 | 0.11% |
| T-MOBILE USA INC 06.6250 04/01/2023 | 0.11% |
| UBS AG JERSEY BRANCH EUR 07.1520 12/29/2049 | 0.11% |
| VALEANT PHARMA P/P 144A 05.8750 05/15/2023 | 0.11% |
| WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 | 0.11% |
| WEST CORP P/P 144A 05.3750 07/15/2022 | 0.11% |
| AES CORP/VA 07.3750 07/01/2021 | 0.10% |
| ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 | 0.10% |
| ALTICE FINANCING SA P/P 144A 07.5000 05/15/2026 | 0.10% |
| ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 | 0.10% |
| ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 | 0.10% |
| ASHTEAD CAPITAL INC P/P 144A 05.6250 10/01/2024 | 0.10% |
| BEACON ROOFING SUPPL 06.3750 10/01/2023 | 0.10% |
| CAD/USD 04/19/2017 RBSF | 0.10% |
| CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 | 0.10% |
| CEMEX FINANCE LLC P/P 144A 06.0000 04/01/2024 | 0.10% |
| CHS/COMMUNITY HEALTH 06.8750 02/01/2022 | 0.10% |
| DYNEGY INC 07.3750 11/01/2022 | 0.10% |
| FHR 4546 TI IO 04.0000 12/15/2045 | 0.10% |
| FIRST QUANTUM P/P 144A 07.2500 10/15/2019 | 0.10% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.10% |
| GNR 2013-165 IL IO 04.0000 03/20/2043 | 0.10% |
| GNR 2016-H14 IO IO 01.6604 06/20/2066 | 0.10% |
| HELLENIC REPUBLIC P/P REGS 03.3750 07/17/2017 | 0.10% |
| IRON MOUNTAIN INCORPORATED 06.0000 08/15/2023 | 0.10% |
| JPMCC 2013-C16 D P/P 144A 04.9752 12/15/2046 | 0.10% |
| KLX INC P/P 144A 05.8750 12/01/2022 | 0.10% |
| KRATON POLYMERS P/P 144A 10.5000 04/15/2023 | 0.10% |
| MASTEC INC 04.8750 03/15/2023 | 0.10% |
| MERCER INTL INC USD 07.7500 12/01/2022 | 0.10% |
| MSC 2006-HQ8 D 05.3987 03/12/2044 | 0.10% |
| PENSKE AUTO GRP INC 05.7500 10/01/2022 | 0.10% |
| PERTAMINA PERSERO PT P/P 144A 04.8750 05/03/2022 | 0.10% |
| REP OF COSTA RICA P/P 144A 07.0000 04/04/2044 | 0.10% |
| RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 | 0.10% |
| SFR GROUP SA P/P 144A 07.3750 05/01/2026 | 0.10% |
| STANDARD IND INC P/P 144A 05.3750 11/15/2024 | 0.10% |
| UNITED MEXICAN STATES USD 05.7500 10/12/2110 | 0.10% |
| VIDEOTRON LTD USD 05.0000 07/15/2022 | 0.10% |
| ZF NA CAPITAL P/P 144A 04.7500 04/29/2025 | 0.10% |
| AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 | 0.09% |
| ALPHA 3 BV / US BID P/P 144A 06.2500 02/01/2025 | 0.09% |
| AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 | 0.09% |
| BMC EAST LLC P/P 144A 05.5000 10/01/2024 | 0.09% |
| BOMBARDIER INC P/P 144A 08.7500 12/01/2021 | 0.09% |
| CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 | 0.09% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.09% |
| CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 | 0.09% |
| COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 | 0.09% |
| DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 | 0.09% |
| DIAMONDBACK ENER P/P 144A 05.3750 05/31/2025 | 0.09% |
| ELDORADO RESORTS INC 07.0000 08/01/2023 | 0.09% |
| FHR 4462 IO IO 04.0000 04/15/2045 | 0.09% |
| FIRST DATA CORP P/P 144A 07.0000 12/01/2023 | 0.09% |
| FLEX ACQ CO INC P/P 144A 06.8750 01/15/2025 | 0.09% |
| FNR 2005-122 SE 19.6642 11/25/2035 | 0.09% |
| FNR 2013-44 PI IO 04.0000 01/25/2043 | 0.09% |
| GLP CAP LP / FIN II 04.8750 11/01/2020 | 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 2013-102 IP IO 03.5000 06/20/2043 | 0.09% |
| GNR 2014-122 IC IO 05.0000 08/20/2044 | 0.09% |
| GNR 2015-H08 CI IO 01.7797 03/20/2065 | 0.09% |
| GNR 2015-H26 CI IO 00.6481 08/20/2065 | 0.09% |
| ICAHN ENTERPRISES/FI 05.8750 02/01/2022 | 0.09% |
| INFOR US INC 06.5000 05/15/2022 | 0.09% |
| INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 | 0.09% |
| JPMCC 2013-C13 D P/P 144A 04.0531 01/15/2046 | 0.09% |
| LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 | 0.09% |
| MGM RESORTS INTL 06.6250 12/15/2021 | 0.09% |
| MHL 2005-3 M2 01.5117 08/25/2035 | 0.09% |
| MICRON TECH INC 05.8750 02/15/2022 | 0.09% |
| NRG ENERGY INC P/P 144A 06.6250 01/15/2027 | 0.09% |
| ONEX USI AC P/P 144A 07.7500 01/15/2021 | 0.09% |
| REVLON CONSUMER PRODS 05.7500 02/15/2021 | 0.09% |
| ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 | 0.09% |
| ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 | 0.09% |
| SFR GROUP SA P/P 144A 06.2500 05/15/2024 | 0.09% |
| SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 | 0.09% |
| SM ENERGY CO 06.1250 11/15/2022 | 0.09% |
| SOLERA LLC / SOLERA P/P 144A 10.5000 03/01/2024 | 0.09% |
| SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 | 0.09% |
| SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 | 0.09% |
| SPRINT COMM P/P 144A 09.0000 11/15/2018 | 0.09% |
| SPRINT CORP 07.2500 09/15/2021 | 0.09% |
| SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI | 0.09% |
| TENNECO INC 05.3750 12/15/2024 | 0.09% |
| ZEKELMAN IND INC P/P 144A 09.8750 06/15/2023 | 0.09% |
| ALLEGHENY TECHNOLOGIES INC 09.3750 06/01/2019 | 0.08% |
| ARCELORMITTAL USD 10.6000 06/01/2019 | 0.08% |
| AVAYA TLB7 L+525 06.2818 05/29/2020 | 0.08% |
| BLK KNIGHT INFOSERVE 05.7500 04/15/2023 | 0.08% |
| CENTENE CORP 06.1250 02/15/2024 | 0.08% |
| CHEMOURS CO 06.6250 05/15/2023 | 0.08% |
| CNO FINANCIAL GROUP INC 05.2500 05/30/2025 | 0.08% |
| CWALT 2007-OH1 A1D 01.1917 04/25/2047 | 0.08% |
| DIGICEL GROUP LTD P/P 144A 08.2500 09/30/2020 | 0.08% |
| ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 | 0.08% |
| FIRST DATA CORP P/P 144A 05.7500 01/15/2024 | 0.08% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.08% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.08% |
| FRONTIER COMM 10.5000 09/15/2022 | 0.08% |
| GMAC CAPITAL TRUST I PCT 06.8240 | 0.08% |
| GNR 2013-129 SN IO 05.1717 09/20/2043 | 0.08% |
| GNR 2013-183 JI IO 04.5000 02/16/2043 | 0.08% |
| GNR 2013-28 IO IO 03.5000 02/20/2043 | 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% |
| HALYARD HEALTH INC 06.2500 10/15/2022 | 0.08% |
| HKD/USD 05/17/2017 CSI-FX | 0.08% |
| INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 | 0.08% |
| JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 | 0.08% |
| LAREDO PETROLEUM INC 07.3750 05/01/2022 | 0.08% |
| NOK/USD 06/21/2017 JPMCB | 0.08% |
| PROVINCIA DE BUENOS P/P 144A 06.5000 02/15/2023 | 0.08% |
| RANGE RESOURCES CORP P/P 144A 05.7500 06/01/2021 | 0.08% |
| RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 | 0.08% |
| SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 | 0.08% |
| SUGAR HSP GAMING P/P 144A 06.3750 06/01/2021 | 0.08% |
| TENET HEALTHCARE 06.0000 10/01/2020 | 0.08% |
| TRIBUNE MEDIA CO 05.8750 07/15/2022 | 0.08% |
| UKRAINE GOVERNMENT P/P 144A 07.7500 09/01/2027 | 0.08% |
| WPX ENERGY INC 07.5000 08/01/2020 | 0.08% |
| ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 | 0.07% |
| ACADEMY SPORTS TLB L+400 05.0550 07/02/2022 | 0.07% |
| ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 | 0.07% |
| AMC ENTERTAINMENT HOLDIN 05.7500 06/15/2025 | 0.07% |
| ANTERO RESOURCES 05.3750 11/01/2021 | 0.07% |
| ASURION LLC 2NDL L+750 08.5000 03/03/2021 | 0.07% |
| BACM 2006-4 AJ 05.6950 07/10/2046 | 0.07% |
| BCAP 2012-RR5 4A8 00.9483 06/26/2035 | 0.07% |
| BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 | 0.07% |
| CAESARS GROW PROP HLD/FI 09.3750 05/01/2022 | 0.07% |
| CALATLANTIC GROUP INC. 06.2500 12/15/2021 | 0.07% |
| CENTENE CORP 04.7500 05/15/2022 | 0.07% |
| CENTURYLINK INC 06.7500 12/01/2023 | 0.07% |
| CLEAR CHANNEL COMMUN 09.0000 12/15/2019 | 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% |
| ENDEAVOR ENERGY P/P 144A 08.1250 09/15/2023 | 0.07% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.07% |
| FHR 4000 PI IO 04.5000 01/15/2042 | 0.07% |
| FHR 4105 HI IO 03.5000 07/15/2041 | 0.07% |
| FHR 4210 PI IO 03.0000 12/15/2041 | 0.07% |
| FHS 304 C37 IO 03.5000 12/15/2027 | 0.07% |
| FIRST DATA CORP P/P 144A 05.3750 08/15/2023 | 0.07% |
| FNR 2007-53 SP 20.6005 06/25/2037 | 0.07% |
| FNR 2008-24 SP 19.6839 02/25/2038 | 0.07% |
| FRONTIER COMM 08.8750 09/15/2020 | 0.07% |
| GBP/USD 06/21/2017 RBSF | 0.07% |
| GNR 2010-158 IP IO 04.5000 06/20/2039 | 0.07% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.07% |
| HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 | 0.07% |
| INTELSAT JACKSON HLDG USD 07.5000 04/01/2021 | 0.07% |
| JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 | 0.07% |
| JPMCC 2006-LDP8 B 05.5200 05/15/2045 | 0.07% |
| MEG ENERGY TLB L+350 04.5400 12/31/2023 | 0.07% |
| MOOG INC P/P 144A 05.2500 12/01/2022 | 0.07% |
| MSC 2007-T27 AJ 05.7908 06/11/2042 | 0.07% |
| NAVISTAR TLB L+400 05.0000 08/07/2020 | 0.07% |
| NORBORD INC P/P 144A 06.2500 04/15/2023 | 0.07% |
| PULTEGROUP INC 05.5000 03/01/2026 | 0.07% |
| REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 | 0.07% |
| REP OF ARGENTINA P/P 144A 06.6250 07/06/2028 | 0.07% |
| REVLON CONS TLB L+350 04.4822 09/07/2023 | 0.07% |
| SABRE GLBL INC P/P 144A 05.3750 04/15/2023 | 0.07% |
| SEVEN GENS ENER P/P 144A 08.2500 05/15/2020 | 0.07% |
| SIX FLAGS ENT P/P 144A 05.5000 04/15/2027 | 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 04.6312 06/15/2020 | 0.07% |
| TMS INTL CORP P/P 144A 07.6250 10/15/2021 | 0.07% |
| TRANSDIGM INC 06.5000 07/15/2024 | 0.07% |
| WAMU 2005-AR10 1A3 02.7841 09/25/2035 | 0.07% |
| WFRBS 2013-C16 D P/P 144A 04.9817 09/15/2046 | 0.07% |
| WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 | 0.07% |
| 3.75 R ISWP FWD NFIX3MID P 06/21/2027 | 0.06% |
| AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 | 0.06% |
| AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 | 0.06% |
| BOYD GAMING CORPORATION 06.8750 05/15/2023 | 0.06% |
| BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 | 0.06% |
| CAS 2015-C02 2M2 04.9817 05/25/2025 | 0.06% |
| CAS 2016-C04 1B 11.2317 01/25/2029 | 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% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.06% |
| CIT GROUP INC 05.0000 08/01/2023 | 0.06% |
| CREDIT ACCEPTANC 06.1250 02/15/2021 | 0.06% |
| DISH DBS CORP 05.8750 11/15/2024 | 0.06% |
| DRESDNER FDG TRST I P/P 144A 08.1510 06/30/2031 | 0.06% |
| DYNEGY INC 07.6250 11/01/2024 | 0.06% |
| ENDO FIN LLC/ENDO FI P/P 144A 05.3750 01/15/2023 | 0.06% |
| EP ENER/EVEREST ACQ P/P 144A 08.0000 02/15/2025 | 0.06% |
| FNR 2005-83 QP 14.8417 11/25/2034 | 0.06% |
| FNR 2012-127 BI IO 04.5000 11/25/2042 | 0.06% |
| FREEPORT-MCMORAN INC P/P 144A 06.8750 02/15/2023 | 0.06% |
| GENON ENERGY INC 09.8750 10/15/2020 | 0.06% |
| GNR 2013-99 VS IO 05.1717 07/16/2043 | 0.06% |
| HCA INC 05.2500 06/15/2026 | 0.06% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2026 | 0.06% |
| HILTON WORLDWIDE FIN P/P 144A 04.8750 04/01/2027 | 0.06% |
| INTELSAT LUXEMB USD 08.1250 06/01/2023 | 0.06% |
| JLL/DELTA DUTCH NEW P/P 144A 07.5000 02/01/2022 | 0.06% |
| KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 | 0.06% |
| KFC HLD/PIZZA HUT/TA P/P 144A 05.2500 06/01/2026 | 0.06% |
| KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 | 0.06% |
| LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 | 0.06% |
| LIONS GATE ENT P/P 144A 05.8750 11/01/2024 | 0.06% |
| LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 | 0.06% |
| LPL HOLDINGS INC P/P 144A 05.7500 09/15/2025 | 0.06% |
| MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 | 0.06% |
| NEIMAN MARCUS TL L+325 04.2500 10/25/2020 | 0.06% |
| NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 | 0.06% |
| OASIS PETROLEUM INC 06.8750 03/15/2022 | 0.06% |
| PATHEON INC TLB L+325 04.2500 03/10/2021 | 0.06% |
| PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 | 0.06% |
| PIZZAEXPRESS FINANCING 2 REGS 06.6250 08/01/2021 | 0.06% |
| REYNOLDS GRP ISS/REY P/P 144A 07.0000 07/15/2024 | 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% |
| VALEANT PHARMA P/P 144A 06.1250 04/15/2025 | 0.06% |
| VALEANT PHARMA P/P 144A 07.0000 03/15/2024 | 0.06% |
| VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 | 0.06% |
| WIDEOPENWEST FIN 10.2500 07/15/2019 | 0.06% |
| WIND ACQ FIN SA P/P 144A 04.0000 07/15/2020 | 0.06% |
| AMSTED INDUSTRIES P/P 144A 05.0000 03/15/2022 | 0.05% |
| ARD FINANCE SA REGS 06.6250 09/15/2023 | 0.05% |
| AVAYA INC TLB6 L+550 06.5000 03/31/2018 | 0.05% |
| BERRY PLASTICS CORP 05.5000 05/15/2022 | 0.05% |
| BLUE CUBE SPINCO INC 09.7500 10/15/2023 | 0.05% |
| CEC ENT INC 08.0000 02/15/2022 | 0.05% |
| CHF/USD 06/21/2017 BCAP-FX | 0.05% |
| CIRSA FUNDING LUXEMBOURG REGS 05.8750 05/15/2023 | 0.05% |
| CLEAR CHNL WORLD 06.5000 11/15/2022 | 0.05% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 0.05% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.05% |
| CROWN CORK & SEAL CO INC 07.3750 12/15/2026 | 0.05% |
| DYNEGY INC. 06.7500 11/01/2019 | 0.05% |
| EUROPCAR GROUPE SA REGS 05.7500 06/15/2022 | 0.05% |
| FHR 3249 PS 19.2647 12/15/2036 | 0.05% |
| FIRST DATA TL L+300 03.9839 03/24/2021 | 0.05% |
| FNR 2012-96 PI IO 04.0000 07/25/2041 | 0.05% |
| FNS 378 19 IO 05.0000 06/25/2035 | 0.05% |
| GENERAL MOTORS FINL CO 04.0000 10/06/2026 | 0.05% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2024 | 0.05% |
| HIGH RIDGE BRANDS CO P/P 144A 08.8750 03/15/2025 | 0.05% |
| HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 | 0.05% |
| JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 | 0.05% |
| JPMBB 2013-C12 E P/P 144A 04.0869 07/15/2045 | 0.05% |
| KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 | 0.05% |
| LAMAR MEDIA CORP 05.3750 01/15/2024 | 0.05% |
| LAREDO PETROLEUM INC 05.6250 01/15/2022 | 0.05% |
| LOUISIANA-PACIFIC CORP 04.8750 09/15/2024 | 0.05% |
| MATALAN FINANCE PLC REGS 06.8750 06/01/2019 | 0.05% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 0.05% |
| MERCER INTL INC P/P 144A 06.5000 02/01/2024 | 0.05% |
| MOLINA HEALTHCARE IN 05.3750 11/15/2022 | 0.05% |
| NEW GOLD INC P/P 144A 06.2500 11/15/2022 | 0.05% |
| NEWFIELD EXPLORATION CO 05.3750 01/01/2026 | 0.05% |
| NEWFIELD EXPLORATION CO 05.7500 01/30/2022 | 0.05% |
| NOVAFIVES REGS 04.5000 06/30/2021 | 0.05% |
| NRG ENERGY INC 07.8750 05/15/2021 | 0.05% |
| OASIS PETROLEUM INC 06.8750 01/15/2023 | 0.05% |
| OPTN FN30 3.0 06/06/17 CALL 98.5078125 JPMC | 0.05% |
| OPTN FN30 3.0 06/06/17 CALL 98.6328125 JPMC | 0.05% |
| PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 | 0.05% |
| PETROLEOS DE VENEZUELA S REGS 09.0000 11/17/2021 | 0.05% |
| PRESTIGE BRANDS INC P/P 144A 05.3750 12/15/2021 | 0.05% |
| REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 | 0.05% |
| ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 | 0.05% |
| SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 | 0.05% |
| SM ENERGY CO 06.5000 11/15/2021 | 0.05% |
| SPECTRUM BRANDS INC 05.7500 07/15/2025 | 0.05% |
| SWPTN 13WX20Y R 2.62 USD 05/02/2017 BC | 0.05% |
| TALBOTS INC 1STL L+450 05.5000 03/19/2020 | 0.05% |
| THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 | 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% |
| WHITING PETROLEUM CORP 05.7500 03/15/2021 | 0.05% |
| A SCHULMAN INC 06.8750 06/01/2023 | 0.04% |
| AES CORP/VA 04.8750 05/15/2023 | 0.04% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 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% |
| BELDEN INC P/P 144A 05.2500 07/15/2024 | 0.04% |
| CALATLANTIC GROUP INC 05.8750 11/15/2024 | 0.04% |
| CAS 2015-C02 1M2 04.9817 05/25/2025 | 0.04% |
| CAS 2016-C06 1M2 05.2317 04/25/2029 | 0.04% |
| CBRE SERVICES INC 05.2500 03/15/2025 | 0.04% |
| CBS OUT AMER CAP LLC 05.6250 02/15/2024 | 0.04% |
| CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 | 0.04% |
| CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 | 0.04% |
| CLEAR CHNL WORLD 07.6250 03/15/2020 | 0.04% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.04% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.04% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 0.04% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.04% |
| CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 | 0.04% |
| DAKOTA MERGER SUB P/P 144A 10.7500 09/01/2024 | 0.04% |
| ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 | 0.04% |
| EP ENER/EVEREST P/P 144A 08.0000 11/29/2024 | 0.04% |
| ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 | 0.04% |
| FIRST QUANTUM P/P 144A 07.0000 02/15/2021 | 0.04% |
| FNR 2006-62 PS 34.0100 07/25/2036 | 0.04% |
| FREEPORT-MCMORAN INC P/P 144A 06.7500 02/01/2022 | 0.04% |
| GATES GLOBAL LLC L+325 04.3968 07/06/2021 | 0.04% |
| GMACC 2004-C3 B 04.9650 12/10/2041 | 0.04% |
| HALCON RESOURCES CORP | 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% |
| ICAHN ENTER/FIN P/P 144A 06.7500 02/01/2024 | 0.04% |
| ICAHN ENTERPRISES/FI P/P 144A 06.2500 02/01/2022 | 0.04% |
| ISLE OF CAPRI CASINO 05.8750 03/15/2021 | 0.04% |
| JBS USA LLC/JBS USA P/P 144A 08.2500 02/01/2020 | 0.04% |
| JC PENNEY CORP INC 08.1250 10/01/2019 | 0.04% |
| KRONOS 2NDL L+825 09.2500 11/01/2024 | 0.04% |
| LANDRY'S INC P/P 144A 06.7500 10/15/2024 | 0.04% |
| LENNAR CORP 04.7500 11/15/2022 | 0.04% |
| NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 | 0.04% |
| NIELSEN FIN LLC/CO P/P 144A 05.0000 04/15/2022 | 0.04% |
| NRG ENERGY INC 07.2500 05/15/2026 | 0.04% |
| OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 | 0.04% |
| ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 | 0.04% |
| OPTN FN30 3.0 06/06/17 CALL 98.7578125 JPMC | 0.04% |
| ORTHO-CLINICAL TLB L+375 04.7500 06/30/2021 | 0.04% |
| OSHKOSH CORP 05.3750 03/01/2025 | 0.04% |
| PENN NATIONAL GAMING P/P 144A 05.6250 01/15/2027 | 0.04% |
| PILGRIM'S PRIDE CORP P/P 144A 05.7500 03/15/2025 | 0.04% |
| POMEGRANATE MERGER S P/P 144A 09.7500 05/01/2023 | 0.04% |
| ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 | 0.04% |
| SEMGROUP CORP P/P 144A 06.3750 03/15/2025 | 0.04% |
| SM ENERGY CO 05.0000 01/15/2024 | 0.04% |
| STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 | 0.04% |
| SWPTN 13WX10Y R 2.4427 USD 05/03/2017 JP | 0.04% |
| SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA | 0.04% |
| SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA | 0.04% |
| TARGA RES PRTNRS P/P 144A 05.3750 02/01/2027 | 0.04% |
| UNITYMEDIA HESSEN / NRW REGS 05.6250 04/15/2023 | 0.04% |
| USD/MXN PUT 19.00 20170421 GSFX | 0.04% |
| USG CORP P/P 144A 05.5000 03/01/2025 | 0.04% |
| VALEANT PHARMA TLBF3 L+475 05.5000 04/01/2022 | 0.04% |
| WHITEWAVE FOODS CO 05.3750 10/01/2022 | 0.04% |
| WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 | 0.04% |
| 1.70 R ISWP FWD CDOR03 P 06/21/2022 | 0.03% |
| 2.15 R ISWP FWD CDOR03 P 06/21/2027 | 0.03% |
| 3.20 R ISWP FWD NFIX3MID P 06/21/2022 | 0.03% |
| AMC ENTERTAINMENT HOLDIN 05.8750 02/15/2022 | 0.03% |
| ANTERO RESOURCES COR 05.6250 06/01/2023 | 0.03% |
| ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 | 0.03% |
| BAYTEX ENERGY CORP P/P 144A 05.6250 06/01/2024 | 0.03% |
| BERRY PLASTICS ESCRO 06.0000 10/15/2022 | 0.03% |
| BOARDWALK PIPELINES LP 05.9500 06/01/2026 | 0.03% |
| BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 | 0.03% |
| BWAY CORP TLB L+325 04.4068 03/22/2024 | 0.03% |
| CABLEVISION SYS CORP 08.0000 04/15/2020 | 0.03% |
| CALIFORNIA RESOURCES 05.0000 01/15/2020 | 0.03% |
| CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 | 0.03% |
| CHEMOURS CO 07.0000 05/15/2025 | 0.03% |
| CINEMARK USA INC 04.8750 06/01/2023 | 0.03% |
| CINEMARK USA INC 05.1250 12/15/2022 | 0.03% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.03% |
| CONCHO RESOURCES INC 04.3750 01/15/2025 | 0.03% |
| CONTINENTAL RES 04.5000 04/15/2023 | 0.03% |
| DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 | 0.03% |
| DFC FINANCE CORP P/P 144A 10.5000 06/15/2020 | 0.03% |
| EUR/USD 06/21/2017 BCAP-FX | 0.03% |
| FHR 3408 EK 22.1224 04/15/2037 | 0.03% |
| FRONTIER COMM 11.0000 09/15/2025 | 0.03% |
| GARTNER INC P/P 144A 05.1250 04/01/2025 | 0.03% |
| GLP CAPITAL LP / FIN II 05.3750 04/15/2026 | 0.03% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.03% |
| HKD/USD 05/17/2017 JPMCB | 0.03% |
| HUDBAY MINERALS INC P/P 144A 07.6250 01/15/2025 | 0.03% |
| ICAHN ENTER/FIN 06.0000 08/01/2020 | 0.03% |
| IOS.FN30.400.11 P USL1M R 01/12/42 JP | 0.03% |
| LIVE NATION ENT P/P 144A 04.8750 11/01/2024 | 0.03% |
| MASONITE INTL C P/P 144A 05.6250 03/15/2023 | 0.03% |
| MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 | 0.03% |
| NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 | 0.03% |
| NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 | 0.03% |
| OLIN CORP 05.1250 09/15/2027 | 0.03% |
| ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 | 0.03% |
| PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 | 0.03% |
| REGENCY ENERGY P 04.5000 11/01/2023 | 0.03% |
| REVLON CONSUMER PROD 06.2500 08/01/2024 | 0.03% |
| SANDRIDGE ENERGY INC | 0.03% |
| SPRINGLEAF FINANCE CORP 08.2500 12/15/2020 | 0.03% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | 0.03% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.03% |
| SWPTN 13WX10Y R 2.9498 USD 05/03/2017 JP | 0.03% |
| T-MOBILE USA INC 05.3750 04/15/2027 | 0.03% |
| TAYLOR MORRISON P/P 144A 05.6250 03/01/2024 | 0.03% |
| TECK RESOURCES LIMITED USD 04.7500 01/15/2022 | 0.03% |
| US CONCRETE INC 06.3750 06/01/2024 | 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% |
| VERTIV TLB L+400 05.0304 11/30/2023 | 0.03% |
| VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 | 0.03% |
| WEEKLEY HOMES LLC 06.0000 02/01/2023 | 0.03% |
| 0.80 R ISWP FWD GBL6M P 06/21/2022 | 0.02% |
| 1.35 R ISWP FWD SES3M P 06/21/2027 | 0.02% |
| 2.70 R ISWP FWD USL3M P 06/21/2047 | 0.02% |
| ADT CORP 04.1250 06/15/2023 | 0.02% |
| AMC ENT HOLDIN P/P 144A 05.8750 11/15/2026 | 0.02% |
| AMC ENT HOLDIN P/P 144A 06.1250 05/15/2027 | 0.02% |
| BACM 2007-5 XW IO P/P 144A 00.4780 02/10/2051 | 0.02% |
| BANK OF AMERICA CORP 06.1000 12/29/2049 | 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% |
| CAPITAL AUTO 2NDL L+600 07.0000 03/24/2025 | 0.02% |
| CBS RADIO INC P/P 144A 07.2500 11/01/2024 | 0.02% |
| CCM MERGER INC P/P 144A 06.0000 03/15/2022 | 0.02% |
| CCO HLDGS LLC/CAP CO P/P 144A 05.7500 02/15/2026 | 0.02% |
| CCO HLDGS LLC/CAP CORP 05.2500 09/30/2022 | 0.02% |
| CENTENE CORP 04.7500 01/15/2025 | 0.02% |
| CENTURYLINK INC 05.6250 04/01/2020 | 0.02% |
| CHS/COMMUNITY HEALTH SYS 07.1250 07/15/2020 | 0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.02% |
| CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 | 0.02% |
| CPG INTL TLB L+375 04.8968 09/30/2020 | 0.02% |
| DIAMONDBACK ENER P/P 144A 04.7500 11/01/2024 | 0.02% |
| EAGLE II ACQ CO P/P 144A 06.0000 04/01/2025 | 0.02% |
| EVOLUTION ESCROW P/P 144A 07.5000 03/15/2022 | 0.02% |
| FNS 374 6 IO 05.5000 08/25/2036 | 0.02% |
| FTS INTL INC 06.2500 05/01/2022 | 0.02% |
| GENERAL MOTORS CO 05.2000 04/01/2045 | 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% |
| GNR 2013-130 IB IO 05.0000 12/20/2040 | 0.02% |
| GRINDING MEDIA/M P/P 144A 07.3750 12/15/2023 | 0.02% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2033 | 0.02% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2036 | 0.02% |
| HKD/USD 05/17/2017 BANKAM | 0.02% |
| HKD/USD 05/17/2017 HSBCB | 0.02% |
| HUB HLDG LLC/HUB HOL P/P 144A 08.1250 07/15/2019 | 0.02% |
| HUNTSMAN INTL L 05.1250 11/15/2022 | 0.02% |
| INFOR US INC P/P 144A 05.7500 08/15/2020 | 0.02% |
| INTELSAT LUXEMB USD 07.7500 06/01/2021 | 0.02% |
| ISTAR INC 06.0000 04/01/2022 | 0.02% |
| JACOBS ENT INC P/P 144A 07.8750 02/01/2024 | 0.02% |
| JPMCC 2007-CB20 AJ 06.1777 02/12/2051 | 0.02% |
| JPY/USD 05/17/2017 CITI | 0.02% |
| KRONOS 1STL L+400 05.0000 11/01/2023 | 0.02% |
| KRW/USD 05/17/2017 JPMCB | 0.02% |
| LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 | 0.02% |
| MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 | 0.02% |
| MURRAY ENERGY CORP P/P 144A 11.2500 04/15/2021 | 0.02% |
| NEIMAN MARCUS GROUP P/P 144A 08.7500 10/15/2021 | 0.02% |
| OPTN FN30 2.5 04/05/17 CALL 94.230469 JPMC | 0.02% |
| PARSLEY ENERGY P/P 144A 05.3750 01/15/2025 | 0.02% |
| PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 | 0.02% |
| PQ CORP P/P 144A 06.7500 11/15/2022 | 0.02% |
| PRECISION DRILLING C P/P 144A 07.7500 12/15/2023 | 0.02% |
| QUEBECOR MEDIA INC USD 05.7500 01/15/2023 | 0.02% |
| REGAL ENTERTAINMENT GRP 05.7500 02/01/2025 | 0.02% |
| SCIENTIFIC GAMES INTERNA 06.2500 09/01/2020 | 0.02% |
| SEALED AIR CORP P/P 144A 05.5000 09/15/2025 | 0.02% |
| SM ENERGY CO 06.5000 01/01/2023 | 0.02% |
| SPRINGLEAF FINANCE CORP 05.2500 12/15/2019 | 0.02% |
| STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 | 0.02% |
| STEEL DYNAMICS INC 05.5000 10/01/2024 | 0.02% |
| STEEL DYNAMICS INC P/P 144A 05.0000 12/15/2026 | 0.02% |
| SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC | 0.02% |
| SWPTN 3MX10Y R 0.843 EUR 06/29/2017 JP | 0.02% |
| SWPTN 3MX10Y R 2.3125 USD 04/13/2017 BA | 0.02% |
| SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI | 0.02% |
| T-MOBILE USA INC 04.0000 04/15/2022 | 0.02% |
| TALBOTS INC 2NDL L+850 09.5000 03/19/2021 | 0.02% |
| TARGA RES PRTNRS P/P 144A 05.1250 02/01/2025 | 0.02% |
| TECK RESOURCES LIMITED USD 03.7500 02/01/2023 | 0.02% |
| TEMPUR SEALY INTL 05.5000 06/15/2026 | 0.02% |
| TENET HEALTHCARE 04.7500 06/01/2020 | 0.02% |
| TESORO LOGISTICS LP/CORP 05.2500 01/15/2025 | 0.02% |
| TIAAC 2003-1A E 144A 08.0000 12/28/2038 | 0.02% |
| TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 | 0.02% |
| TRANSDIGM INC P/P 144A 06.5000 05/15/2025 | 0.02% |
| VALEANT PHARMA P/P 144A 06.5000 03/15/2022 | 0.02% |
| VALEANT PHARMA TLBF1 L+475 05.7400 04/01/2022 | 0.02% |
| WEATHERFORD BERMUDA P/P 144A 09.8750 02/15/2024 | 0.02% |
| WHITING PETROLEUM CORP 05.0000 03/15/2019 | 0.02% |
| WPX ENERGY INC 08.2500 08/01/2023 | 0.02% |
| 0.513 R ISWP FWD SES3M P 03/22/2020 | 0.01% |
| 2.10 R ISWP FWD NOKOIB6M P 06/21/2027 | 0.01% |
| 2.905 R ISWP BUBOR06M P 03/20/2027 | 0.01% |
| 7.785 R ISWP JIBA3M P 03/24/2027 | 0.01% |
| ARCELORMITTAL USD 07.7500 10/15/2039 | 0.01% |
| BAYTEX ENERGY CORP P/P 144A 05.1250 06/01/2021 | 0.01% |
| BSABS 2004-FR3 M6 05.8567 09/25/2034 | 0.01% |
| CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 | 0.01% |
| CHF/USD 06/21/2017 JPMCB | 0.01% |
| CHS/COMMUNITY HEALTH 08.0000 11/15/2019 | 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 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% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 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 JP | 0.01% |
| CONCHO RESOURCES INC 05.5000 10/01/2022 | 0.01% |
| CONCORDIA INTL P/P 144A 07.0000 04/15/2023 | 0.01% |
| CONCORDIA INTL P/P 144A 09.0000 04/01/2022 | 0.01% |
| CONTINENTAL RESOURCES 04.9000 06/01/2044 | 0.01% |
| CPTFEMU R 0.27 P 08/31/17 GS | 0.01% |
| CPTFEMU R 0.37 P 09/01/17 GS | 0.01% |
| CPTFEMU R 0.435 P 09/15/17 BC | 0.01% |
| CPTFEMU R 0.4975 P 09/15/17 BC | 0.01% |
| CSMC 2006-C5 AX IO 00.6519 12/15/2039 | 0.01% |
| DENBURY RESOURCES INC 06.3750 08/15/2021 | 0.01% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.01% |
| FNGT 2000-T6 IO IO 00.7158 06/25/2030 | 0.01% |
| FREEPORT-MCMORAN COPPER & GOL 03.5500 03/01/2022 | 0.01% |
| FRONTIER COMMUNICATIONS 07.6250 04/15/2024 | 0.01% |
| FSPC T-57 1AX IO 00.3724 07/25/2043 | 0.01% |
| GBP/USD 06/21/2017 BCAP-FX | 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% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2027 | 0.01% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2040 | 0.01% |
| IOS.FN30.400.10 P USL1M R 01/12/41 GS | 0.01% |
| JC PENNEY CORP INC 05.6500 06/01/2020 | 0.01% |
| JPMCC 07-CB20 X1 IO P/P 144A 00.3457 02/12/2051 | 0.01% |
| JPY/USD 05/17/2017 BANKAM | 0.01% |
| MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 | 0.01% |
| MEG ENERGY CORP P/P 144A 07.0000 03/31/2024 | 0.01% |
| MGM RESORTS INTL 05.2500 03/31/2020 | 0.01% |
| NOVELIS CORP P/P 144A 05.8750 09/30/2026 | 0.01% |
| OPTN FN30 3.5 05/04/17 PUT 100.703125 JPMC | 0.01% |
| OPTN FN30 3.5 05/04/17 PUT 100.828125 JPMC | 0.01% |
| OPTN FN30 3.5 05/04/17 PUT 100.953125 JPMC | 0.01% |
| PACTIV LLC 08.3750 04/15/2027 | 0.01% |
| PLATFORM SPECIALTY P P/P 144A 10.3750 05/01/2021 | 0.01% |
| RITCHIE BROS AUC P/P 144A 05.3750 01/15/2025 | 0.01% |
| ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 | 0.01% |
| SOLENIS 2NDL L+675 07.8040 07/31/2022 | 0.01% |
| SPEC BRNDS ESCROW CO 06.6250 11/15/2022 | 0.01% |
| STANDARD IND INC P/P 144A 06.0000 10/15/2025 | 0.01% |
| STEEL DYNAMICS INC 05.2500 04/15/2023 | 0.01% |
| SWPTN 1MX10Y R 2.297 USD 04/13/2017 CI | 0.01% |
| SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC | 0.01% |
| SWPTN 3MX10Y R 2.3525 USD 04/13/2017 JP | 0.01% |
| SWPTN 3MX1Y P 1.34 USD 04/04/2017 CI | 0.01% |
| SWPTN 3MX1Y R 1.54 USD 06/02/2017 BA | 0.01% |
| SWPTN 5WX1Y R 1.425 USD 04/03/2017 BC | 0.01% |
| SWPTN 6MX1Y P 0.51 GBP 09/18/2017 BC | 0.01% |
| SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA | 0.01% |
| SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA | 0.01% |
| TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 | 0.01% |
| TRIBUNE CLASS 1C LITIGAT | 0.01% |
| TXU TCEH RIGHTS | 0.01% |
| WBCMT 2007-C34 IO IO 00.4004 05/15/2046 | 0.01% |
| WEATHERFORD BERMUDA 08.2500 06/15/2023 | 0.01% |
| ZAR/USD 04/19/2017 CITI | 0.01% |
| ZAR/USD 04/19/2017 CITI | 0.01% |
| -0.104 R ISWP FWD EONIA P 02/18/2020 | 0.00% |
| -0.124 R ISWP FWD EONIA P 02/18/2020 | 0.00% |
| 0.69 R ISWP BUBOR06M P 03/01/2019 | 0.00% |
| 0.745 R ISWP BUBOR06M P 03/20/2019 | 0.00% |
| 0.918 R ISWP FWD GBL6M P 02/11/2020 | 0.00% |
| 0.955 R ISWP FWD GBL6M P 02/14/2020 | 0.00% |
| 1.00 R ISWP FWD EURIBOR6MD P 06/21/2027 | 0.00% |
| 1.25 R ISWP FWD GBL6M P 06/21/2027 | 0.00% |
| 1.665 R ISWP FWD EURIBOR6MD P 01/24/2032 | 0.00% |
| 1.75 R ISWP FWD NOKOIB6M P 06/21/2022 | 0.00% |
| 2.388 R ISWP FWD AUDBB3M P 02/13/2020 | 0.00% |
| 2.39859 R ISWP USL3M P 04/04/2027 | 0.00% |
| 2.446 R ISWP FWD AUDBB3M P 02/15/2020 | 0.00% |
| 2.475 R ISWP FWD AUDBB3M P 02/15/2020 | 0.00% |
| 2.516 R ISWP FWD AUDBB3M P 02/16/2020 | 0.00% |
| 2.60 R ISWP BUBOR06M P 03/01/2027 | 0.00% |
| 2.60 R ISWP FWD AUDBB6M P 06/28/2022 | 0.00% |
| 2.65 R ISWP BUBOR06M P 02/28/2027 | 0.00% |
| 2.65 R ISWP FWD USL3M P 06/21/2027 | 0.00% |
| 3.00 R ISWP FWD AUDBB6M P 06/28/2027 | 0.00% |
| 3.0475 R ISWP FWD NFIX3MID P 03/29/2020 | 0.00% |
| 3.14 R ISWP FWD NFIX3MID P 02/13/2020 | 0.00% |
| 7.305 R ISWP JIBA3M P 03/09/2019 | 0.00% |
| 7.67 R ISWP MXIBTIIE P 03/09/2032 | 0.00% |
| 7.67 R ISWP MXIBTIIE P 03/12/2032 | 0.00% |
| 8.32625 R ISWP JIBA3M P 10/11/2026 | 0.00% |
| BRL/USD 07/03/2017 JPMCB | 0.00% |
| BRL/USD 07/03/2017 JPMCB | 0.00% |
| CD 2007-CD5 XS IO 144A 00.1510 11/15/2044 | 0.00% |
| CHC GROUP LLC P/P | 0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 JP | 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 0.46 P 09/15/17 BC | 0.00% |
| CPTFEMU R 0.63 P 08/10/17 GS | 0.00% |
| CPTFEMU R 0.63 P 08/11/17 GS | 0.00% |
| ESC SEVENTYSEVENERG 06.5000 07/15/2022 | 0.00% |
| EUR/JPY CALL 127.50 20170612 BANKAM | 0.00% |
| EURO-OAT FUTURE JUN17 OATM7 | 0.00% |
| FHR 2979 AS 20.9285 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% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| GNR 2010-98 PI IO 04.5000 10/20/2037 | 0.00% |
| GSMS 2005-GG4 XC IO P/P 144A 01.4773 07/10/2039 | 0.00% |
| HALCON RESOURCES CORP - WARRA | 0.00% |
| IDR/USD 05/17/2017 JPMCB | 0.00% |
| IDR/USD 05/17/2017 JPMCB | 0.00% |
| INTELSAT CONNECT FIN P/P 144A 12.5000 04/01/2022 | 0.00% |
| INTELSAT JACKSON HLD P/P 144A 08.0000 02/15/2024 | 0.00% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | 0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | 0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | 0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.00% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.00% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.00% |
| IOS.FN30.350.13 R USL1M P 01/12/44 GS | 0.00% |
| IOS.FN30.350.13 R USL1M P 01/12/44 GS | 0.00% |
| IOS.FN30.350.13 R USL1M P 01/12/44 GS | 0.00% |
| IOS.FN30.400.09 R USL1M P 01/12/40 GS | 0.00% |
| IOS.FN30.400.10 P USL1M R 01/12/41 BC | 0.00% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| IOS.FN30.400.11 R USL1M P 01/12/42 BC | 0.00% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.GII30.500.10 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 05/17/2017 SSBT | 0.00% |
| KRW/USD 05/17/2017 GSFX | 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% |
| MEZZ 2007-C5 X IO P/P 144A 04.5456 12/15/2049 | 0.00% |
| MILAGRO OIL & GAS | 0.00% |
| NOK/USD 06/21/2017 GSFX | 0.00% |
| NOK/USD 06/21/2017 GSFX | 0.00% |
| OPTN FN30 2.5 04/05/17 PUT 94.230469 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.1328125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.2578125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.3828125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.5625 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.6875 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.8125 JPMC | 0.00% |
| PRECISION DRILL USD 05.2500 11/15/2024 | 0.00% |
| STRIP 2003-1A N P/P 144A 05.0000 03/24/2018 | 0.00% |
| SWPTN 1MX10Y P 2.58 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.6 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.695 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.715 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.7655 USD 04/21/2017 CI | 0.00% |
| SWPTN 1MX10Y P 2.81 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.83 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.8945 USD 04/13/2017 CI | 0.00% |
| SWPTN 1MX10Y R 2.163 USD 04/21/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.34 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.63875 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.698 USD 06/02/2017 BA | 0.00% |
| SWPTN 3MX1Y R 1.75125 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.86375 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX3Y P 1.942 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX3Y R 1.652 USD 04/04/2017 CI | 0.00% |
| SWPTN 5WX10Y P 2.8625 USD 04/10/2017 BA | 0.00% |
| SWPTN 5WX10Y R 2.265 USD 04/10/2017 BA | 0.00% |
| SWPTN 5WX1Y R 1.426 USD 04/24/2017 JP | 0.00% |
| SWPTN 5WX1Y R 2.06 USD 04/24/2017 JP | 0.00% |
| SWPTN 5WX1Y R 2.13975 USD 04/03/2017 BC | 0.00% |
| TERVITA CORP CLASS A | 0.00% |
| TEXAS COHLD TCEH ESCROW 11.5000 10/01/2020 | 0.00% |
| TRIANGLE USA PETRO P/P 144A 06.7500 07/15/2022 | 0.00% |
| UKRPI P 3.4531 R 11/03/26 BC | 0.00% |
| UKRPI P 3.52 R 11/18/26 GS | 0.00% |
| UKRPI P 3.56 R 11/10/26 GS | 0.00% |
| USD/MXN PUT 18.25 20170421 GSFX | 0.00% |
| -0.40 R ISWP FWD CHL6M P 06/21/2022 | -0.01% |
| 0.028 R ISWP FWD EONIA P 03/22/2020 | -0.01% |
| 0.10 R ISWP FWD CHL6M P 06/21/2027 | -0.01% |
| 0.55 R ISWP FWD SES3M P 06/21/2022 | -0.01% |
| 0.715 R ISWP BUBOR06M P 02/28/2019 | -0.01% |
| 7.11 R ISWP JIBA3M P 03/24/2019 | -0.01% |
| 7.715 R ISWP MXIBTIIE P 12/03/2026 | -0.01% |
| 8.12 R ISWP MXIBTIIE P 12/24/2026 | -0.01% |
| 8.20 R ISWP MXIBTIIE P 01/07/2027 | -0.01% |
| CHF/USD 06/21/2017 JPMCB | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| GBP/USD 06/21/2017 BCAP-FX | -0.01% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | -0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | -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 CS | -0.01% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | -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% |
| JPY/USD 05/17/2017 BANKAM | -0.01% |
| JPY/USD 05/17/2017 SSBT | -0.01% |
| OPTN FN30 3.0 06/06/17 CALL 100.1328125 JPMC | -0.01% |
| SWPTN 3MX5Y R 2.01 USD 04/13/2017 BA | -0.01% |
| SWPTN 3MX5Y R 2.05 USD 04/13/2017 JP | -0.01% |
| SWPTN 3MX5Y R 2.6475 USD 04/13/2017 BA | -0.01% |
| SWPTN 3MX5Y R 2.69 USD 04/13/2017 JP | -0.01% |
| SWPTN 6MX1Y P 1.736 USD 09/18/2017 BC | -0.01% |
| SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA | -0.01% |
| SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA | -0.01% |
| 1.912 R ISWP FWD GBL6M P 01/19/2032 | -0.02% |
| 5.895 R ISWP MXIBTIIE P 10/08/2021 JP | -0.02% |
| 6.09 R ISWP MXIBTIIE P 10/26/2021 JP | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.02% |
| EUR/JPY PUT 115.30 20170612 BANKAM | -0.02% |
| EUR/USD 06/21/2017 BCAP-FX | -0.02% |
| HKD/USD 05/17/2017 BANKAM | -0.02% |
| HKD/USD 05/17/2017 HSBCB | -0.02% |
| JPY/USD 05/17/2017 CITI | -0.02% |
| KRW/USD 05/17/2017 GSFX | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 100.0078125 JPMC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.8828125 JPMC | -0.02% |
| SWPTN 13WX10Y R 2.905 USD 05/02/2017 BC | -0.02% |
| SWPTN 3MX1Y R 1.993 USD 06/02/2017 BA | -0.02% |
| SWPTN 3MX30Y R 1.389 EUR 06/29/2017 JP | -0.02% |
| SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI | -0.02% |
| SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC | -0.02% |
| SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC | -0.02% |
| 1.75 R ISWP FWD USL3M P 06/21/2019 | -0.03% |
| 2.50 R ISWP FWD USL3M P 06/21/2027 | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.03% |
| HKD/USD 05/17/2017 JPMCB | -0.03% |
| OPTN FN30 3.0 06/06/17 CALL 99.1953125 JPMC | -0.03% |
| OPTN FN30 3.0 06/06/17 CALL 99.3203125 JPMC | -0.03% |
| OPTN FN30 3.0 06/06/17 CALL 99.4453125 JPMC | -0.03% |
| SWPTN 13WX10Y R 2.4 USD 05/02/2017 BC | -0.03% |
| SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.03% |
| SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS | -0.03% |
| 2.20 R ISWP FWD USL3M P 06/21/2022 | -0.04% |
| 5.93 R ISWP MXIBTIIE P 10/06/2021 JP | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.04% |
| SWPTN 13WX10Y R 2.206 USD 06/12/2017 CI | -0.04% |
| SWPTN 1MX10Y R 2.435 USD 04/13/2017 BC | -0.04% |
| 2.30 R ISWP FWD USL3M P 06/21/2022 | -0.05% |
| CHF/USD 06/21/2017 BCAP-FX | -0.05% |
| SWPTN 1MX10Y R 2.43 USD 04/10/2017 CS | -0.05% |
| SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA | -0.05% |
| SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA | -0.05% |
| GBP/USD 06/21/2017 RBSF | -0.06% |
| KRW/USD 05/17/2017 JPMCB | -0.06% |
| 6.16 R ISWP MXIBTIIE P 01/01/2026 JP | -0.07% |
| SWPTN 13WX20Y R 2.6657 USD 05/03/2017 JP | -0.07% |
| HKD/USD 05/17/2017 CSI-FX | -0.08% |
| NOK/USD 06/21/2017 JPMCB | -0.08% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.10% |
| SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA | -0.10% |
| CAD/USD 04/19/2017 RBSF | -0.11% |
| SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA | -0.11% |
| SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP | -0.11% |
| BRL/USD 07/03/2017 CITI | -0.12% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.12% |
| SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP | -0.12% |
| MXN/USD 04/19/2017 CITI | -0.13% |
| OPTN FN30 3.0 05/04/17 PUT 98.953125 JPMC | -0.13% |
| 0.40 R ISWP FWD EURIBOR6MD P 06/21/2022 | -0.14% |
| SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA | -0.14% |
| SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA | -0.14% |
| AUD/USD 04/19/2017 CITI | -0.15% |
| GBP/USD 06/21/2017 BANKAM | -0.15% |
| NZD/USD 04/19/2017 BANKAM | -0.16% |
| CAD/USD 04/19/2017 GSFX | -0.18% |
| SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.18% |
| SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP | -0.18% |
| FLR USL3M 6.00 03/07/2018 JP | -0.19% |
| EUR/USD 06/21/2017 BANKAM | -0.20% |
| GBP/USD 06/21/2017 JPMCB | -0.24% |
| JPY/USD 05/17/2017 UBS | -0.25% |
| NOK/USD 06/21/2017 RBSF | -0.25% |
| EUR/USD 06/21/2017 HSBCB | -0.26% |
| GBP/USD 06/21/2017 GSFX | -0.27% |
| NOK/USD 06/21/2017 BANKAM | -0.28% |
| GBP/USD 06/21/2017 SSBT | -0.29% |
| NZD/USD 04/19/2017 BCAP-FX | -0.29% |
| EUR/USD 06/21/2017 GSFX | -0.36% |
| JPY/USD 05/17/2017 JPMCB | -0.37% |
| AUD/USD 04/19/2017 WPAC | -0.39% |
| GBP/USD 06/21/2017 UBS | -0.39% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.43% |
| CDX CDX.NA.HY.27 500.0 12/20/2021 | -0.45% |
| EUR/USD 06/21/2017 JPMCB | -0.47% |
| ZAR/USD 07/19/2017 CITI | -0.47% |
| ZAR/USD 07/19/2017 GSFX | -0.47% |
| AUD/USD 04/19/2017 RBSF | -0.48% |
| IDR/USD 05/17/2017 CITI | -0.49% |
| MXN/USD 07/19/2017 BANKAM | -0.49% |
| NOK/USD 06/21/2017 CSI-FX | -0.49% |
| NZD/USD 04/19/2017 WPAC | -0.49% |
| AUD/USD 04/19/2017 BCAP-FX | -0.50% |
| INR/USD 05/17/2017 BANKAM | -0.50% |
| JPY/USD 05/17/2017 RBSF | -0.50% |
| NOK/USD 06/21/2017 UBS | -0.50% |
| NZD/USD 04/19/2017 RBSF | -0.50% |
| EUR/USD 06/21/2017 CSI-FX | -0.51% |
| EUR/USD 06/21/2017 WPAC | -0.51% |
| SEK/USD 06/21/2017 BCAP-FX | -0.51% |
| SEK/USD 06/21/2017 CSI-FX | -0.51% |
| SGD/USD 05/17/2017 BANKAM | -0.52% |
| SGD/USD 05/17/2017 SSBT | -0.52% |
| EUR/USD 06/21/2017 CITI | -0.53% |
| SEK/USD 06/21/2017 BANKAM | -0.54% |
| JPY/USD 05/17/2017 GSFX | -0.56% |
| JPY/USD 05/17/2017 BCAP-FX | -0.58% |
| EUR/USD 06/21/2017 RBSF | -0.64% |
| AUD/USD 04/19/2017 SSBT | -0.65% |
| NZD/USD 04/19/2017 SSBT | -0.71% |
| NOK/USD 06/21/2017 CITI | -0.73% |
| GBP/USD 06/21/2017 CITI | -0.74% |
| NZD/USD 04/19/2017 CSI-FX | -0.74% |
| SEK/USD 06/21/2017 RBSF | -0.77% |
| AUD/USD 04/19/2017 UBS | -0.79% |
| SEK/USD 06/21/2017 JPMCB | -0.82% |
| EUR/USD 06/21/2017 SSBT | -0.92% |
| NZD/USD 04/19/2017 CITI | -0.97% |
| AUD/USD 04/19/2017 CSI-FX | -1.00% |
| CLP/USD 07/19/2017 BANKAM | -1.00% |
| INR/USD 05/17/2017 GSFX | -1.00% |
| SEK/USD 06/21/2017 CITI | -1.00% |
| BRL/USD 07/03/2017 BANKAM | -1.01% |
| SEK/USD 06/21/2017 GSFX | -1.03% |
| SEK/USD 06/21/2017 SSBT | -1.03% |
| NZD/USD 04/19/2017 JPMCB | -1.11% |
| NZD/USD 04/19/2017 GSFX | -1.24% |
| NZD/USD 04/19/2017 UBS | -1.47% |
| SEK/USD 06/21/2017 UBS | -1.49% |
| AUD/USD 04/19/2017 JPMCB | -2.05% |
| EUR/USD 06/21/2017 UBS | -2.30% |
| FNMA FN30 TBA 03.0000 05/01/2047 | -27.00% |
Prior top 10 holdings
| Top 10 holdings as of 05/31/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 07/01/2047 | 18.76% |
| 2: Fnma Fn30 Tba 03.5000 06/01/2047 | 3.86% |
| 3: Fnma Fn30 Tba 02.5000 06/01/2047 | 2.72% |
| 4: Fnma Fn30 Tba 04.5000 06/01/2047 | 2.52% |
| 5: Fnma Fn30 Tba 05.5000 06/01/2047 | 1.56% |
| 6: Cwalt 2006-Oa10 4a1 01.2136 08/25/2046 | 1.02% |
| 7: Cas 2015-C03 1m2 06.0236 07/25/2025 | 1.00% |
| 8: Fnma Fn30 Tba 04.0000 06/01/2047 | 0.99% |
| 9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 0.90% |
| 10: Cas 2016-C03 2m2 06.9236 10/25/2028 | 0.85% |
| Holdings represent 34.18% of portfolio | |
| Top 10 holdings as of 04/30/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 06/01/2047 | 22.30% |
| 2: Fnma Fn30 Tba 02.5000 05/01/2047 | 2.67% |
| 3: Fnma Fn30 Tba 04.5000 05/01/2047 | 2.49% |
| 4: Fnma Fn30 Tba 05.5000 05/01/2047 | 1.54% |
| 5: Cwalt 2006-Oa10 4a1 01.1806 08/25/2046 | 1.01% |
| 6: Cas 2015-C03 1m2 05.9906 07/25/2025 | 1.00% |
| 7: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.00% |
| 8: Fnma Fn30 Tba 04.0000 05/01/2047 | 0.97% |
| 9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 0.88% |
| 10: Cas 2016-C03 2m2 06.8906 10/25/2028 | 0.84% |
| Holdings represent 34.70% of portfolio | |
| Top 10 holdings as of 03/31/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 05/01/2047 | 22.19% |
| 2: Fnma Fn30 Tba 02.5000 04/01/2047 | 2.65% |
| 3: Fnma Fn30 Tba 04.0000 04/01/2047 | 2.43% |
| 4: Fnma Fn30 Tba 05.5000 04/01/2047 | 1.54% |
| 5: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.12% |
| 6: Cas 2015-C03 1m2 05.9817 07/25/2025 | 1.00% |
| 7: Fnma Fn30 Tba 04.5000 04/01/2047 | 0.99% |
| 8: Cwalt 2006-Oa10 4a1 01.1717 08/25/2046 | 0.97% |
| 9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 0.89% |
| 10: Petroleos Mexicanos Usd 04.5000 01/23/2026 | 0.84% |
| Holdings represent 34.62% of portfolio | |
| Top 10 holdings as of 02/28/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 04/01/2047 | 27.44% |
| 2: Fnma Fn30 Tba 02.5000 03/01/2047 | 2.64% |
| 3: Fnma Fn30 Tba 05.5000 03/01/2047 | 1.54% |
| 4: Provincia De Buenos P/P 144a 10.8750 01/26/2021 | 1.12% |
| 5: Cas 2015-C03 1m2 05.7783 07/25/2025 | 1.10% |
| 6: Cas 2015-C04 1m2 06.4783 04/25/2028 | 1.10% |
| 7: Cas 2016-C03 2m2 06.6783 10/25/2028 | 1.02% |
| 8: Fnma Fn30 Tba 04.5000 03/01/2047 | 0.99% |
| 9: Cwalt 2006-Oa10 4a1 00.9683 08/25/2046 | 0.94% |
| 10: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 | 0.89% |
| Holdings represent 38.78% of portfolio | |
Sector Weightings as of 05/31/17
| Cash Investment | Non-Cash Investment | Total Portfolio | ||||
|---|---|---|---|---|---|---|
| Weight | Spread Duration | Weight | Spread Duration | Weight | Spread Duration | |
| Commercial MBS | 17.37% | 0.71 | 7.37% | 0.35 | 24.74% | 1.06 |
| Agency CMO | 19.30% | 0.53 | 1.37% | 0.07 | 20.67% | 0.60 |
| High-yield corporate bonds | 26.46% | 0.95 | -6.21% | -0.26 | 20.25% | 0.69 |
| Agency pass-through | 0.00% | 0.00 | 18.20% | 1.11 | 18.20% | 1.11 |
| Residential MBS (non-agency) | 12.01% | 0.61 | 0.00% | 0.00 | 12.01% | 0.61 |
| Emerging-market bonds | 10.96% | 0.68 | 0.00% | 0.00 | 10.96% | 0.68 |
| Net cash | 8.13% | 0.00 | 0.00% | 0.00 | 8.13% | 0.00 |
| International Treasury/agency | 2.22% | 0.18 | 0.00% | -0.09 | 2.22% | 0.09 |
| Bank loans | 1.95% | 0.07 | 0.00% | 0.00 | 1.95% | 0.07 |
| Investment-grade corporate bonds | 1.40% | 0.07 | 0.00% | 0.00 | 1.40% | 0.07 |
| Equity investments | 0.17% | 0.00 | 0.00% | 0.00 | 0.17% | 0.00 |
| Convertible securities | 0.03% | 0.00 | 0.00% | 0.00 | 0.03% | 0.00 |
| Interest rate swaps | 0.00% | 0.00 | 0.00% | -1.38 | 0.00% | -1.38 |
Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.
Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.
Maturity detail includes only cash bonds and cash equivalents.
International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.
The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.
Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.
Sales Charges/Fees
| Breakpoint | Sales Charge | Dealer Allowance | CDSC Liab |
|---|---|---|---|
| $0 - $0 | 0.00% | 0.00% | N |
Maturity detail includes only cash bonds and cash equivalents.
International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.
The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.'
Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.
‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.