Diversified Income Trust  (PDINX)

Offering a diversified portfolio of income opportunities since 1988

Objective

The fund seeks as high a level of current income as Putnam management believes is consistent with preservation of capital.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $7.07
0.00% | $0.00
$7.12
02/03/17
$6.87
10/21/16
Historical fund price

Fund facts as of 09/30/17

Total net assets
$3,595.11M
Turnover (fiscal year end)
835%
Dividend frequency (view rate)
Monthly
Number of holdings
1427
Fiscal year end
September
CUSIP / Fund code
746704105 / 0022
Inception Date
10/03/88
Category
Taxable Income
Open to new investors
Ticker
PDINX

Management team


Chief Investment Officer, Fixed Income

Portfolio Manager

Portfolio Manager

Portfolio Manager

Co-Head of Fixed Income

Co-Head of Fixed Income

Strategy and process

  • Broad diversification: The fund seeks multiple sources of return outside the constraints of its benchmark, investing across traditional and alternative bond markets.
  • Flexible risk allocations: The fund takes a unique approach to asset allocation, dynamically establishing diversified risk exposures rather than sector exposures.
  • Active duration management: As the fund`s duration is independent of any index, the fund employs strategies that seek to reduce interest-rate risk.

Manager commentary | Q2 2017

What is the bond market saying about growth?

Bill Kohli, Chief Investment Officer for Fixed Income, discusses the post-election rise in interest rates.


Literature


Longevity and medical costs – education for the great unknowns
Understanding the impact of longevity and medical costs on savings requires education and a proactive approach to saving.
Why a meaningful near-term market correction is unlikely
2017 is a rare year without a stock market correction of at least 5%, but that doesn't make a correction more likely in the fourth quarter.
How the Japan election may influence global interest rates
The Japan election could have consequences for the future leadership of the Bank of Japan and the country's impact on global interest rate trends.

Performance

Consistency of positive performance over five years

Performance represents 5-year returns in rolling quarter-end periods since inception.

Performance shown above does not reflect the effects of any sales charges. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please see below.

15.94%

Best 5-year annualized return

(for period ending 12/31/13)


-4.49%

Worst 5-year annualized return

(for period ending 12/31/08)


6.15%

Average 5-year annualized return


  • Total return (%) as of 09/30/17

  • Annual performance as of 09/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 9.04% 1.52% 3.95% 3.83%
After sales charge 4.67% 0.15% 3.11% 3.40%
Bloomberg Barclays U.S. Aggregate Bond Index 0.07% 2.71% 2.06% 4.27%

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. To obtain the most recent month-end performance, visit putnam.com. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and Putnam Absolute Return 500 Fund and 700 Fund, and 4.00% and 3.25% for income funds (1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, R, T1, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for Class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A, M, and T1 shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 09/30/17 1.19 % -2.86 %
YTD as of 10/19/17 5.68 % 1.45 %

Yield

Distribution rate before sales charge
as of 10/19/17
5.60%
Distribution rate after sales charge
as of 10/19/17
5.38%
30-day SEC yield as of 09/29/17
(after sales charge)
4.18%

Risk-adjusted performance as of 09/30/17

Sharpe ratio (3 yrs.) 0.22
Information ratio (3 yrs.) -0.16

Volatility as of 09/30/17

Standard deviation (3 yrs.) 5.62%
Beta -0.87
R-squared 0.19

Lipper rankings as of 09/30/17

Multi-Sector Income Funds Percentile ranking Rank/Funds in category
1 yr. 8% 23/320
3 yrs. 94% 242/257
5 yrs. 39% 75/195
10 yrs. 84% 94/111

Morningstar ratings as of 09/30/17

Nontraditional Bond Rating Funds in category
Overall (264)
3 yrs. (264)
5 yrs. (160)
10 yrs. (39)

Distributions

Record/Ex dividend date 10/16/17
Payable date 10/20/17
Income $0.033
Extra income $0.0
Short-term cap. gain --
Long-term cap. gain --

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Holdings

Top 10 holdings as of 09/30/17

Fnma Fn30 Tba 03.5000 11/01/2047 15.23%
Fnma Fn30 Tba 02.5000 10/01/2047 2.45%
Gnma Gii30 Tba 04.0000 10/01/2047 2.40%
Gnma Gii30 Tba 04.5000 10/01/2047 1.90%
Fhlmc Fh30g Tba 04.0000 10/01/2047 1.29%
Cwalt 2005-38 A3 01.5872 09/25/2035 0.93%
Fnma Fn30 Tba 03.0000 11/01/2047 0.86%
Cas 2015-C04 1m2 06.9372 04/25/2028 0.84%
Vtb Bank (Vtb Cap P/P 144a 06.9500 10/17/2022 0.84%
Cwalt 2005-59 1a1 01.5661 11/20/2035 0.80%
Top 10 holdings, percent of portfolio 27.54%

Full portfolio holdings as of 06/30/17

FNMA FN30 TBA 03.5000 08/01/2047 16.33%
FNMA FN30 TBA 03.5000 07/01/2047 6.68%
FNMA FN30 TBA 02.5000 07/01/2047 1.53%
FHLMC FH30G TBA 04.0000 07/01/2047 1.31%
FNMA FN30 TBA 04.5000 07/01/2047 1.25%
CWALT 2005-38 A3 01.5661 09/25/2035 0.97%
FNMA FN30 TBA 02.5000 08/01/2047 0.96%
CAS 2015-C04 1M2 06.9161 04/25/2028 0.87%
CWALT 2005-59 1A1 01.5422 11/20/2035 0.85%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.84%
FNMA FN30 TBA 05.5000 07/01/2047 0.72%
VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 0.66%
MSBAM 2014-C17 D P/P 144A 04.6974 08/15/2047 0.59%
CAS 2015-C03 1M2 06.2161 07/25/2025 0.57%
CAS 2016-C02 1B 13.4661 09/25/2028 0.55%
STACR 2015-DN1 B 12.7161 01/25/2025 0.53%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.51%
WBCMT 2005-C21 D 05.4679 10/15/2044 0.50%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.49%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.49%
WFRBS 2013-C15 D P/P 144A 04.6285 08/15/2046 0.48%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.47%
WAMU 2005-AR13 A1C3 01.7061 10/25/2045 0.47%
CWALT 2006-OA7 1A2 01.6716 06/25/2046 0.46%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.46%
CAS 2016-C01 1B 12.9661 08/25/2028 0.45%
COMM 2014-CR18 D P/P 144A 04.8933 07/15/2047 0.45%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.44%
WFRBS 2012-C10 D P/P 144A 04.5944 12/15/2045 0.44%
STACR 2015-DNA3 B 10.5661 04/25/2028 0.42%
CFCRE 2011-C2 E P/P 144A 05.9452 12/15/2047 0.40%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.40%
JPMBB 2014-C26 D P/P 144A 04.0686 01/15/2048 0.40%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.38%
STACR 2015-DNA2 B 08.7661 12/25/2027 0.38%
WBCMT 2006-C26 AJ 06.3084 06/15/2045 0.38%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.37%
WFCM 2013-LC12 D P/P 144A 04.4307 07/15/2046 0.37%
MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 0.36%
PETROLEOS MEXICANOS USD 05.6250 01/23/2046 0.36%
CAS 2017-C01 1B1 06.9661 07/25/2029 0.35%
CWALT 2006-OA10 4A1 01.4061 08/25/2046 0.35%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.35%
SPRINT CORP 07.8750 09/15/2023 0.33%
BMIR 2015-1A M2 05.5161 07/25/2025 0.32%
FED REPUBLIC OF BRAZIL USD 05.0000 01/27/2045 0.32%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.32%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.31%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.31%
CAS 2016-C03 1B 12.9661 10/25/2028 0.30%
CAS 2016-C03 2M2 07.1161 10/25/2028 0.30%
GNR 2017-H10 MI IO 01.7249 04/20/2067 0.30%
JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 0.30%
STACR 2015-HQA2 B 11.7161 05/25/2028 0.30%
CAS 2015-C03 2M2 06.2161 07/25/2025 0.29%
CSMC 2008-C1 AJ P/P 144A 06.5200 02/15/2041 0.29%
PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 0.29%
WFCM 2013-LC12 E P/P 144A 03.5000 07/15/2046 0.29%
CSAIL 2015-C1 D P/P 144A 03.9422 04/15/2050 0.28%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.27%
GNR 2015-89 IP IO 04.0000 02/20/2045 0.27%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.27%
WAMU 2005-AR10 1A3 02.8076 09/25/2035 0.27%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.27%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.26%
GNR 2015-H12 AI IO 01.8531 05/20/2065 0.26%
GNR 2015-H15 BI IO 02.2327 06/20/2065 0.26%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.26%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.26%
REP OF ARGENTINA USD 07.1250 07/06/2036 0.26%
BCAP 2011-RR3 3A6 03.1359 11/27/2036 0.25%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.25%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.25%
WFRBS 2013-UBS1 E P/P 144A 04.7796 03/15/2046 0.25%
CD 2007-CD5 E P/P 144A 06.5058 11/15/2044 0.24%
GNR 2012-140 IC IO 03.5000 11/20/2042 0.24%
GNR 2017-H06 BI IO 02.2858 02/20/2067 0.24%
GNR 2017-H08 NI IO 02.1945 03/20/2067 0.24%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.24%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.23%
FHR 4193 PI IO 04.0000 03/15/2043 0.23%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.23%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.23%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.23%
JPMCC 2007-CB20 C P/P 144A 06.3104 02/12/2051 0.23%
BSMF 2006-AR2 2A1 01.4461 09/25/2046 0.22%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.22%
GNR 2015-H23 BI IO 01.7299 09/20/2065 0.22%
GNR 2017-H03 HI IO 01.5434 01/20/2067 0.22%
JPMBB 2013-C15 D P/P 144A 05.2318 11/15/2045 0.22%
LNSTR 2015-3 C P/P 144A 03.3453 04/20/2048 0.22%
MSC 2008-T29 D P/P 144A 06.5033 01/11/2043 0.22%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.21%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.21%
GNR 2015-H03 CI IO 01.7188 01/20/2065 0.21%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.21%
GNR 2016-77 SC IO 04.8878 10/20/2045 0.21%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.21%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.21%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.21%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.20%
BCAP 2012-RR5 4A8 01.1936 06/26/2035 0.20%
CAS 2015-C01 1M2 05.5161 02/25/2025 0.20%
CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 0.20%
COMM 2012-CR3 E P/P 144A 04.9266 10/15/2045 0.20%
GNR 2015-H08 CI IO 01.7903 03/20/2065 0.20%
GNR 2016-H04 HI IO 02.3622 07/20/2065 0.20%
JPMBB 2014-C25 D P/P 144A 04.0958 11/15/2047 0.20%
JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 0.20%
MSC 2008-T29 F P/P 144A 06.5033 01/11/2043 0.20%
REP OF INDONESIA P/P 144A 05.1250 01/15/2045 0.20%
2.20 R ISWP FWD USL3M P 09/20/2027 0.19%
ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 0.19%
BSCMS 2007-T26 AJ 05.5353 01/12/2045 0.19%
FHR 4635 PI IO 04.0000 12/15/2046 0.19%
GNR 2017-H06 MI IO 02.1735 02/20/2067 0.19%
GSAA 2006-8 2A2 01.3961 05/25/2036 0.19%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.19%
SCIENTIFIC GAMES INT 10.0000 12/01/2022 0.19%
STACR 2017-DNA2 B1 06.3661 10/25/2029 0.19%
CAS 2015-C01 2M2 05.7661 02/25/2025 0.18%
CGCMT 2014-GC21 D P/P 144A 04.8350 05/10/2047 0.18%
CWCI 2007-C3 AJ 06.0607 05/15/2046 0.18%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.18%
FNMA FN30 TBA 04.0000 07/01/2047 0.18%
FNR 2011-101 SA IO 04.6839 10/25/2041 0.18%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.18%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.18%
GNR 2012-128 IA IO 03.5000 10/20/2042 0.18%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.18%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.18%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.18%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.18%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.18%
PROVINCIA DE BUENOS P/P REGS 23.9550 05/31/2022 0.18%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.18%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.18%
BACM 2005-1 B 05.3775 11/10/2042 0.17%
BSCMS 2005-PWR7 B 05.2140 02/11/2041 0.17%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.17%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.17%
GNR 2014-119 SA IO 04.3878 08/20/2044 0.17%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.17%
GNR 2015-64 YI IO 04.0000 11/20/2044 0.17%
GNR 2015-H20 BI IO 01.8950 08/20/2065 0.17%
GNR 2016-126 PI IO 05.0000 02/20/2046 0.17%
GNR 2016-H18 IO IO 01.6455 08/20/2066 0.17%
JPMCC 2007-CB20 B P/P 144A 06.3104 02/12/2051 0.17%
JPMCC 2011-C3 E P/P 144A 05.8007 02/15/2046 0.17%
REP OF INDONESIA P/P 144A 03.3750 04/15/2023 0.17%
ALTA MESA HLDGS P/P 144A 07.8750 12/15/2024 0.16%
CCO HLDGS LLC/CAP CO P/P 144A 05.1250 05/01/2023 0.16%
CREST 2003-2A E2 P/P 144A 08.0000 12/28/2038 0.16%
FNR 2012-123 DI IO 03.5000 05/25/2041 0.16%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.16%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.16%
GNR 2010-20 BI IO 04.5000 02/16/2040 0.16%
GNR 2015-H18 BI IO 02.1807 07/20/2065 0.16%
GNR 2016-H12 AI IO 01.6623 07/20/2065 0.16%
GNR 2016-H16 EI IO 02.3507 06/20/2066 0.16%
GNR 2017-H09 IO IO 01.7751 04/20/2067 0.16%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.16%
JPMBB 2014-C18 E P/P 144A 04.4740 02/15/2047 0.16%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.16%
STACR 2017-DNA1 B1 06.1661 07/25/2029 0.16%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.16%
TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 0.16%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.15%
BACM 2005-1 C 05.3775 11/10/2042 0.15%
CSC HOLDINGS LLC 05.2500 06/01/2024 0.15%
GNR 2015-105 LI IO 05.0000 10/20/2039 0.15%
GNR 2016-138 DI IO 04.0000 10/20/2046 0.15%
GNR 2016-H14 IO IO 01.6717 06/20/2066 0.15%
GNR 2017-42 IC IO 04.5000 08/20/2041 0.15%
MSBAM 2013-C13 F P/P 144A 03.7070 11/15/2046 0.15%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.15%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.15%
SERVICE CORP INTL 05.3750 05/15/2024 0.15%
UNITYMEDIA HESSEN / NRW REGS 06.2500 01/15/2029 0.15%
BSCMS 2005-PWR7 C 05.2350 02/11/2041 0.14%
CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 0.14%
CASELLA WASTE TLB L+275 03.9594 10/17/2023 0.14%
CONTINENTAL RESOURCES 03.8000 06/01/2024 0.14%
CSFB 2005-C5 F 05.1000 08/15/2038 0.14%
FED REPUBLIC OF BRAZIL USD 05.6250 02/21/2047 0.14%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.14%
GNR 2014-H25 BI IO 01.6842 12/20/2064 0.14%
GNR 2015-79 GI IO 05.0000 10/20/2039 0.14%
GNR 2015-H15 AI IO 01.8058 06/20/2065 0.14%
GNR 2017-H03 EI IO 02.3757 01/20/2067 0.14%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.14%
TENET HEALTHCARE 06.0000 10/01/2020 0.14%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.14%
ADS INC P/P 144A 05.6250 11/15/2024 0.13%
BACM 2007-3 AJ 05.6762 06/10/2049 0.13%
BALTA 2005-7 21A1 03.4578 09/25/2035 0.13%
CAESARS GROWTH PROP TL L+300 04.2261 05/08/2021 0.13%
CIT GROUP INC 05.0000 08/01/2023 0.13%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.13%
COMPASS MINERALS INT P/P 144A 04.8750 07/15/2024 0.13%
DRESDNER FDG TRST I P/P 144A 08.1510 06/30/2031 0.13%
FNR 2013-41 IP IO 04.0000 05/25/2043 0.13%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.13%
GNR 2014-71 PI IO 04.5000 12/20/2039 0.13%
GNR 2015-131 BI IO 03.5000 06/20/2041 0.13%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.13%
GNR 2015-H23 DI IO 01.8404 09/20/2065 0.13%
GNR 2015-H24 AI IO 01.9557 09/20/2065 0.13%
GNR 2017-H11 TI IO 02.1232 04/20/2067 0.13%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.13%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.13%
JACK OHIO FIN LLC/FI P/P 144A 10.2500 11/15/2022 0.13%
PENSKE AUTO GRP INC 05.7500 10/01/2022 0.13%
SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 0.13%
SFR GROUP SA P/P 144A 06.2500 05/15/2024 0.13%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.13%
T-MOBILE USA INC 06.1250 01/15/2022 0.13%
UBSBB 2012-C2 F P/P 144A 04.8980 05/10/2063 0.13%
WFCM 2012-LC5 E P/P 144A 04.9343 10/15/2045 0.13%
WFRBS 2014-C19 E P/P 144A 05.1353 03/15/2047 0.13%
WPX ENERGY INC 06.0000 01/15/2022 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%
BSCMS 2005-PWR7 D 05.3040 02/11/2041 0.12%
BSCMS 2006-PW11 C P/P 144A 05.3019 03/11/2039 0.12%
CAS 2017-C02 2B1 06.7161 09/25/2029 0.12%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.12%
COMM 2013-CCRE9 D P/P 144A 04.2549 07/10/2045 0.12%
DRESDNER FNDG TRUST I REGS 08.1510 06/30/2031 0.12%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.12%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.12%
GNR 2013-34 IH IO 04.5000 03/20/2043 0.12%
GNR 2013-37 LI IO 03.5000 01/20/2042 0.12%
GNR 2015-H10 BI IO 02.3597 04/20/2065 0.12%
GNR 2016-H06 CI IO 01.7520 02/20/2066 0.12%
GNR 2017-H06 DI IO 01.7691 02/20/2067 0.12%
INFOR SOFTWARE P/P 144A 07.1250 05/01/2021 0.12%
NAVISTAR INTERNATIONAL CORP 08.2500 11/01/2021 0.12%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.12%
PROVINCIA DE BUENOS P/P 144A 06.5000 02/15/2023 0.12%
REP OF INDONESIA P/P 144A 06.6250 02/17/2037 0.12%
SOLERA LLC / SOLERA P/P 144A 10.5000 03/01/2024 0.12%
SPRINT CORP 07.2500 09/15/2021 0.12%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.12%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.12%
T-MOBILE USA INC 06.3750 03/01/2025 0.12%
TRIONISTA TOPCO GMBH P/P 144A 06.8750 04/30/2021 0.12%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.12%
AIR MEDICAL MERGER S P/P 144A 06.3750 05/15/2023 0.11%
ASHTEAD CAPITAL INC P/P 144A 06.5000 07/15/2022 0.11%
COMM 2006-C8 AJ 05.3770 12/10/2046 0.11%
CONCHO RESOURCES INC 05.5000 04/01/2023 0.11%
FED REPUBLIC OF BRAZIL USD 04.8750 01/22/2021 0.11%
FHR 4678 MS IO 05.1072 04/15/2047 0.11%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.11%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.11%
GNR 2013-54 JI IO 03.5000 02/20/2043 0.11%
GNR 2014-132 IO IO 05.0000 09/20/2044 0.11%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.11%
GNR 2014-4 BI IO 04.0000 01/20/2044 0.11%
GNR 2015-H01 BI IO 01.5670 01/20/2065 0.11%
GNR 2016-H17 KI IO 02.3181 07/20/2066 0.11%
GNR 2017-H11 DI IO 01.8486 05/20/2067 0.11%
IRON MOUNTAIN INCORPORATED 06.0000 08/15/2023 0.11%
JPMCC 2007-CB20 AJ 06.2104 02/12/2051 0.11%
LIBERTY MUTUAL INSUR P/P 144A 07.6970 10/15/2097 0.11%
NATIONSTAR MORT/ 06.5000 07/01/2021 0.11%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.11%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.11%
SFR GROUP SA P/P 144A 06.0000 05/15/2022 0.11%
SOUTHERN STAR CENT P/P 144A 05.1250 07/15/2022 0.11%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.11%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.11%
VIDEOTRON LTD USD 05.0000 07/15/2022 0.11%
VIRGIN MEDIA FIN PLC P/P 144A 04.5000 01/15/2025 0.11%
WAMU 2005-AR19 A1C4 01.6161 12/25/2045 0.11%
WATCO COS LLC/FI P/P 144A 06.3750 04/01/2023 0.11%
AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 0.10%
CAS 2015-C02 2M2 05.2161 05/25/2025 0.10%
CAS 2016-C07 2M2 05.5661 05/25/2029 0.10%
CAS 2017-C03 1B1 06.0661 10/25/2029 0.10%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.10%
CSFB 2005-C3 B 04.8820 07/15/2037 0.10%
ENDO FIN LLC/ENDO FI P/P 144A 05.3750 01/15/2023 0.10%
FHR 4024 PI IO 04.5000 12/15/2041 0.10%
FHR 4077 IK IO 05.0000 07/15/2042 0.10%
FHR 4199 CI IO 03.5000 12/15/2037 0.10%
FHR 4213 GI IO 04.0000 11/15/2041 0.10%
FHR 4462 IO IO 04.0000 04/15/2045 0.10%
FHS 326 S2 IO 04.7911 03/15/2044 0.10%
FLEX ACQ CO INC P/P 144A 06.8750 01/15/2025 0.10%
FNR 2013-40 YI IO 03.5000 06/25/2042 0.10%
GETTY IMAGES TLB L+350 04.7500 10/18/2019 0.10%
GLP CAP LP / FIN II 04.8750 11/01/2020 0.10%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.10%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.10%
GNR 2014-60 SE IO 04.8878 04/20/2044 0.10%
GNR 2015-17 LI IO 03.5000 05/16/2040 0.10%
GNR 2015-60 PI IO 04.0000 04/20/2045 0.10%
GNR 2016-H24 JI IO 02.3016 11/20/2066 0.10%
GNR 2017-H02 BI IO 02.3120 01/20/2067 0.10%
HCA INC 05.5000 06/15/2047 0.10%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.10%
JAGUAR HL / PPDI P/P 144A 06.3750 08/01/2023 0.10%
JPMCC 2012-C8 E P/P 144A 04.8071 10/15/2045 0.10%
MERCER INTL INC USD 07.7500 12/01/2022 0.10%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.10%
MSBAM 2013-C7 D P/P 144A 04.3979 02/15/2046 0.10%
MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 0.10%
MSC 2006-HQ8 D 05.6280 03/12/2044 0.10%
MTW FOODSERVICE ESCR 09.5000 02/15/2024 0.10%
RANGE RESOURCES CORP P/P 144A 05.7500 06/01/2021 0.10%
RIVERS PITTSBURGH LP P/P 144A 06.1250 08/15/2021 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
STACR 2016-HQA2 M3 06.3661 11/25/2028 0.10%
STANDARD IND INC P/P 144A 05.3750 11/15/2024 0.10%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.10%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.10%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.10%
TENET HEALTHCARE COR 04.7456 06/15/2020 0.10%
VNESHECONOMBANK P/P 144A 06.9020 07/09/2020 0.10%
WINDSTREAM SERVICES LLC 06.3750 08/01/2023 0.10%
0.75 R ISWP FWD GBL6M P 09/20/2022 0.09%
AES CORP/VA 08.0000 06/01/2020 0.09%
ALPHA 3 BV / US BID P/P 144A 06.2500 02/01/2025 0.09%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.09%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.09%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.09%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.09%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.09%
BUILDERS FIRSTSOURCE P/P 144A 10.7500 08/15/2023 0.09%
BWAY HOLDING CO P/P 144A 07.2500 04/15/2025 0.09%
CALPINE CORP 05.7500 01/15/2025 0.09%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.09%
CHS/COMMUNITY HEALTH 06.8750 02/01/2022 0.09%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.09%
CROWN CORK & SEAL CO INC 07.3750 12/15/2026 0.09%
DEAN FOODS CO P/P 144A 06.5000 03/15/2023 0.09%
DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 0.09%
DYNEGY INC 07.3750 11/01/2022 0.09%
FHR 4484 TI IO 03.5000 11/15/2044 0.09%
FHS 311 S1 IO 04.7911 08/15/2043 0.09%
FNR 2013-115 CI IO 04.0000 02/25/2043 0.09%
FNR 2013-35 PI IO 03.0000 02/25/2042 0.09%
FNR 2013-49 IP IO 03.5000 12/25/2042 0.09%
GNR 2012-106 QI IO 04.0000 07/20/2042 0.09%
GNR 2014-H06 BI IO 01.4817 02/20/2064 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
LBCMT 1998-C4 J P/P 144A 05.6000 10/15/2035 0.09%
MASONITE INTL C P/P 144A 05.6250 03/15/2023 0.09%
MASTEC INC 04.8750 03/15/2023 0.09%
NAVISTAR TLB L+400 05.2300 08/07/2020 0.09%
NOVELIS CORP P/P 144A 06.2500 08/15/2024 0.09%
REVLON CONSUMER PRODS 05.7500 02/15/2021 0.09%
ROYAL BK SCOTLND GRP PLC USD 07.6480 08/29/2049 0.09%
SIX FLAGS ENT P/P 144A 04.8750 07/31/2024 0.09%
STACR 2016-DNA2 B 11.7161 10/25/2028 0.09%
TENNECO INC 05.3750 12/15/2024 0.09%
VALEANT PHARMA P/P 144A 05.8750 05/15/2023 0.09%
VALEANT PHARMA P/P 144A 06.1250 04/15/2025 0.09%
1.90 R ISWP FWD USL3M P 09/20/2022 0.08%
AES CORP/VA 05.5000 04/15/2025 0.08%
AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 0.08%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.08%
AVAYA INC P/P 144A 07.0000 04/01/2019 0.08%
BMC EAST LLC P/P 144A 05.5000 10/01/2024 0.08%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.08%
CBS OUT AMER CAP LLC 05.8750 03/15/2025 0.08%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.08%
CENTENE CORP 06.1250 02/15/2024 0.08%
CNG HOLDINGS INC P/P 144A 09.3750 05/15/2020 0.08%
COLORADO INTERSTATE GAS CO 06.8500 06/15/2037 0.08%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.08%
DIAMONDBACK ENER P/P 144A 05.3750 05/31/2025 0.08%
EVEREST ACQ LLC/FIN 09.3750 05/01/2020 0.08%
FHR 4165 TI IO 03.0000 12/15/2042 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%
FIRST QUANTUM P/P 144A 07.0000 02/15/2021 0.08%
FNR 2010-35 SG IO 05.1839 04/25/2040 0.08%
FNR 2012-127 BI IO 04.5000 11/25/2042 0.08%
GNR 2012-146 IO IO 05.0000 12/20/2042 0.08%
GNR 2013-182 SY IO 04.8878 12/20/2043 0.08%
GNR 2013-183 JI IO 04.5000 02/16/2043 0.08%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.08%
GNR 2014-4 IC IO 04.0000 01/20/2044 0.08%
GNR 2014-62 CI IO 03.5000 02/20/2042 0.08%
GNR 2015-134 LI IO 03.5000 05/20/2039 0.08%
GNR 2017-17 DI IO 03.5000 09/20/2043 0.08%
GREAT CANADIAN GAMIN P/P 144A 06.6250 07/25/2022 0.08%
HALYARD HEALTH INC 06.2500 10/15/2022 0.08%
HOWARD HUGHES CORP P/P 144A 05.3750 03/15/2025 0.08%
INFOR US INC 06.5000 05/15/2022 0.08%
INTELSAT JACKSON HLD P/P 144A 09.7500 07/15/2025 0.08%
LUKOIL INTL FINANCE P/P 144A 06.6560 06/07/2022 0.08%
MATTAMY GROUP CORP P/P 144A 06.5000 11/15/2020 0.08%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.08%
NEW GOLD INC P/P 144A 06.2500 11/15/2022 0.08%
NEWFIELD EXPLORATION CO 05.7500 01/30/2022 0.08%
NORBORD INC P/P 144A 06.2500 04/15/2023 0.08%
NOVELIS CORP P/P 144A 05.8750 09/30/2026 0.08%
PATHEON HLDG I BV P/P 144A 07.5000 02/01/2022 0.08%
REGAL ENTERTAINMENT GRP 05.7500 06/15/2023 0.08%
SAMI 2006-AR7 A1A 01.4261 08/25/2036 0.08%
SERVICE CORP INTL 05.3750 01/15/2022 0.08%
SIX FLAGS ENT P/P 144A 05.5000 04/15/2027 0.08%
SMURFIT KAPPA TREASURY USD 07.5000 11/20/2025 0.08%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.08%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.08%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.08%
USG CORP P/P 144A 05.5000 03/01/2025 0.08%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.08%
WIND ACQ FIN SA P/P 144A 04.0000 07/15/2020 0.08%
AES CORP/VA 07.3750 07/01/2021 0.07%
ALLEGHENY TECHNOLOGIES INC 09.3750 06/01/2019 0.07%
ALTICE US FIN II CRP P/P 144A 07.7500 07/15/2025 0.07%
ANTERO RESOURCES 05.3750 11/01/2021 0.07%
ASURION LLC 2NDL L+750 08.7261 03/03/2021 0.07%
CEMEX FINANCE LLC P/P 144A 06.0000 04/01/2024 0.07%
CHEMOURS CO 07.0000 05/15/2025 0.07%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.07%
COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 0.07%
CSC HOLDINGS LLC 06.7500 11/15/2021 0.07%
CSC HOLDINGS LLC P/P 144A 10.1250 01/15/2023 0.07%
CWALT 2006-OA7 1A1 02.3144 06/25/2046 0.07%
ENDEAVOR ENERGY P/P 144A 08.1250 09/15/2023 0.07%
FHR 4000 PI IO 04.5000 01/15/2042 0.07%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.07%
FNR 2015-88 QI IO 04.0000 10/25/2044 0.07%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.07%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.07%
GNR 2013-37 UI IO 03.0000 02/20/2042 0.07%
GNR 2014-25 MI IO 05.0000 11/20/2043 0.07%
GNR 2014-4 PI IO 05.0000 12/16/2043 0.07%
GREAT LAKES D&D P/P 144A 08.0000 05/15/2022 0.07%
GW HONOS SECURITY CO P/P 144A 08.7500 05/15/2025 0.07%
HOLLY ENERGY PARTNE P/P 144A 06.0000 08/01/2024 0.07%
HUB HLDG LLC/HUB HOL P/P 144A 08.1250 07/15/2019 0.07%
INCEPTION MRGR/RACK P/P 144A 08.6250 11/15/2024 0.07%
ISTAR INC. 05.0000 07/01/2019 0.07%
JOSEPH T RYERSON & S P/P 144A 11.0000 05/15/2022 0.07%
KLX INC P/P 144A 05.8750 12/01/2022 0.07%
KRATON POLYMERS P/P 144A 10.5000 04/15/2023 0.07%
LAMAR MEDIA CORP 05.8750 02/01/2022 0.07%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.07%
MICRON TECH INC 05.8750 02/15/2022 0.07%
MOLINA HEALTHCARE IN 05.3750 11/15/2022 0.07%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.07%
OJSC RUSS AGRIC BK P/P 144A 05.2980 12/27/2017 0.07%
ORTHO-CLINICAL INC/S P/P 144A 06.6250 05/15/2022 0.07%
OSHKOSH CORP 05.3750 03/01/2022 0.07%
OWENS CORNING 04.2000 12/01/2024 0.07%
PARK-OHIO IND INC P/P 144A 06.6250 04/15/2027 0.07%
PROVINCIA DE CORDOBA P/P 144A 07.1250 06/10/2021 0.07%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.07%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.07%
SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 0.07%
SM ENERGY CO 06.5000 01/01/2023 0.07%
SPCM SA P/P 144A 04.8750 09/15/2025 0.07%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.07%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.07%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.07%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.07%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.07%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.07%
T-MOBILE USA INC 06.6250 04/01/2023 0.07%
TRANSDIGM INC 06.5000 07/15/2024 0.07%
TRIBUNE MEDIA CO 05.8750 07/15/2022 0.07%
UBS AG JERSEY BRANCH EUR 07.1520 12/29/2049 0.07%
US CONCRETE INC P/P 144A 06.3750 06/01/2024 0.07%
VNESHECONOMBANK(VEB) P/P 144A 05.9420 11/21/2023 0.07%
WEST CORP P/P 144A 05.3750 07/15/2022 0.07%
WPX ENERGY INC 07.5000 08/01/2020 0.07%
ZF NA CAPITAL P/P 144A 04.7500 04/29/2025 0.07%
1011778 BC / NEW RED P/P 144A 06.0000 04/01/2022 0.06%
2.15 R ISWP FWD USL3M P 06/27/2027 0.06%
A SCHULMAN INC 06.8750 06/01/2023 0.06%
ABC SUPPLY CO INC P/P 144A 05.7500 12/15/2023 0.06%
ALLIANCE DATA SYS CO P/P 144A 05.3750 08/01/2022 0.06%
ARCELORMITTAL USD 06.1250 06/01/2025 0.06%
ASP AMC MERGER SUB P/P 144A 08.0000 05/15/2025 0.06%
AXALTA COATING SYS P/P 144A 04.8750 08/15/2024 0.06%
BACM 2006-4 AJ 05.6950 07/10/2046 0.06%
BANCO NAL COSTA RICA P/P 144A 04.8750 11/01/2018 0.06%
BEACON ROOFING SUPPL 06.3750 10/01/2023 0.06%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.06%
BWAY HOLDING CO P/P 144A 05.5000 04/15/2024 0.06%
CALPINE CORP P/P 144A 06.0000 01/15/2022 0.06%
CAS 2014-C03 1M2 04.2161 07/25/2024 0.06%
CAS 2015-C02 1M2 05.2161 05/25/2025 0.06%
CEC ENT INC 08.0000 02/15/2022 0.06%
CINEMARK USA INC 04.8750 06/01/2023 0.06%
CLEAR CHANNEL TLD L+675 07.9761 01/30/2019 0.06%
CONSTELLIUM NV P/P 144A 05.7500 05/15/2024 0.06%
CSC HOLDINGS LLC P/P 144A 10.8750 10/15/2025 0.06%
ESH HOSPITALITY INC P/P 144A 05.2500 05/01/2025 0.06%
FHR 4122 TI IO 04.5000 10/15/2042 0.06%
FIRST QUANTUM MINERA P/P 144A 07.5000 04/01/2025 0.06%
FNR 2012-36 SN IO 05.2339 04/25/2042 0.06%
FNR 2013-18 SB IO 04.9339 10/25/2041 0.06%
FNR 2013-60 IP IO 04.0000 10/25/2042 0.06%
FREEPORT-MCMORAN INC 06.8750 02/15/2023 0.06%
FRONTIER COMM 10.5000 09/15/2022 0.06%
GARTNER INC P/P 144A 05.1250 04/01/2025 0.06%
GNR 2013-129 SN IO 04.9378 09/20/2043 0.06%
GNR 2013-167 IO IO 04.5000 09/20/2040 0.06%
GNR 2013-27 IJ IO 04.0000 02/20/2043 0.06%
GNR 2013-41 MI IO 03.0000 11/20/2041 0.06%
GNR 2013-99 VS IO 04.9283 07/16/2043 0.06%
GNR 2014-163 PI IO 04.0000 10/20/2043 0.06%
GNR 2015-79 MI IO 04.0000 05/20/2044 0.06%
GRAY TELEVISION INC P/P 144A 05.8750 07/15/2026 0.06%
HCA INC 05.8750 03/15/2022 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%
KRATON POLYMERS LLC/ P/P 144A 07.0000 04/15/2025 0.06%
LBUBS 2006-C6 C 05.4820 09/15/2039 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%
MLMT 2008-C1 AJ 06.5421 02/12/2051 0.06%
NOVA CHEMICALS CORP P/P 144A 05.2500 06/01/2027 0.06%
NRG ENERGY INC 06.6250 01/15/2027 0.06%
OSHKOSH CORP 05.3750 03/01/2025 0.06%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.06%
PROVIDENT FDG/PFG FI P/P 144A 06.3750 06/15/2025 0.06%
PULTEGROUP INC. 07.8750 06/15/2032 0.06%
REVLON CONS TLB L+350 04.7261 09/07/2023 0.06%
REYNOLDS GRP ISS/REY P/P 144A 07.0000 07/15/2024 0.06%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.06%
SCHAEFFLER VERWA P/P 144A 04.7500 09/15/2026 0.06%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.06%
SPECTRUM BRANDS INC 05.7500 07/15/2025 0.06%
STEEL DYNAMICS INC 05.5000 10/01/2024 0.06%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.06%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.06%
T-MOBILE USA INC 06.0000 03/01/2023 0.06%
TMS INTL CORP P/P 144A 07.6250 10/15/2021 0.06%
TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 0.06%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.06%
UNIVISION COMM P/P 144A 05.1250 02/15/2025 0.06%
VALEANT PHARMA P/P 144A 07.0000 03/15/2024 0.06%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.06%
WERNER FINCO LP/INC P/P 144A 08.7500 07/15/2025 0.06%
ACADEMY SPORTS TLB L+400 05.1964 07/02/2022 0.05%
AMC ENTERTAINMENT HOLDIN 05.8750 02/15/2022 0.05%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.05%
AVAYA INC TLB6 L+550 06.6665 03/31/2018 0.05%
AVAYA TLB7 L+525 06.4165 05/29/2020 0.05%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.05%
BLUE CUBE SPINCO INC 09.7500 10/15/2023 0.05%
CAESARS GROW PROP HLD/FI 09.3750 05/01/2022 0.05%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.05%
CAS 2016-C04 1M2 05.4661 01/25/2029 0.05%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.05%
CHEMOURS CO 05.3750 05/15/2027 0.05%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.05%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.05%
CONCHO RESOURCES INC 04.3750 01/15/2025 0.05%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.05%
DYNEGY INC. 06.7500 11/01/2019 0.05%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.05%
EVOLUTION ESCROW P/P 144A 07.5000 03/15/2022 0.05%
FHR 4020 IA IO 04.0000 03/15/2027 0.05%
FIRST DATA CORP P/P 144A 05.3750 08/15/2023 0.05%
FIRST QUANTUM MINERA P/P 144A 07.2500 05/15/2022 0.05%
FNR 2012-30 HI IO 04.5000 12/25/2040 0.05%
FNR 2013-44 PI IO 04.0000 01/25/2043 0.05%
FRAC TECH INTL TLB L+475 05.9761 04/16/2021 0.05%
GNR 2010-20 SC IO 04.9378 02/20/2040 0.05%
GNR 2012-92 AI IO 03.5000 04/20/2042 0.05%
GNR 2012-H29 AI IO 01.4737 10/20/2062 0.05%
GNR 2012-H29 FI IO 01.4737 10/20/2062 0.05%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.05%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.05%
GNR 2013-28 IO IO 03.5000 02/20/2043 0.05%
GSMS 2013-GC10 D P/P 144A 04.4098 02/10/2046 0.05%
HCA INC 05.2500 06/15/2026 0.05%
HIGH RIDGE BRANDS CO P/P 144A 08.8750 03/15/2025 0.05%
JPMCC 2006-LDP7 B 06.1385 04/17/2045 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%
KINETIC CONCEPT/KCI P/P 144A 12.5000 11/01/2021 0.05%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.05%
LIONS GATE ENT P/P 144A 05.8750 11/01/2024 0.05%
LUKOIL INTL FIN BV P/P 144A 04.5630 04/24/2023 0.05%
MERCER INTL INC P/P 144A 06.5000 02/01/2024 0.05%
NEIMAN MARCUS TL L+325 04.4744 10/25/2020 0.05%
NEWFIELD EXPLORATION CO 05.3750 01/01/2026 0.05%
NEXSTAR BROADC P/P 144A 05.6250 08/01/2024 0.05%
NOBLE HOLDING INTL LTD USD 07.7500 01/15/2024 0.05%
PENSKE AUTOMOTIVE GROUP 05.3750 12/01/2024 0.05%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.05%
PETROLEOS MEXICANOS USD 04.8750 01/18/2024 0.05%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.05%
REGENCY ENERGY PART/FINA 05.0000 10/01/2022 0.05%
REP OF COSTA RICA P/P 144A 07.0000 04/04/2044 0.05%
REYNOLDS GROUP TL L+300 04.2261 02/05/2023 0.05%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.05%
SEK/USD 09/20/2017 SSBT 0.05%
SEVEN GENS ENER P/P 144A 08.2500 05/15/2020 0.05%
STEEL DYNAMICS INC 05.0000 12/15/2026 0.05%
STEEL DYNAMICS INC 05.2500 04/15/2023 0.05%
STERIGENICS-NORDION P/P 144A 06.5000 05/15/2023 0.05%
SWPTN 1MX10Y P 1.0625 GBP 07/14/2017 BC 0.05%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.05%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.05%
TALBOTS INC 1STL L+450 05.7261 03/19/2020 0.05%
TALBOTS INC 2NDL L+850 09.7261 03/19/2021 0.05%
TECHEM ENERGY MET P/P 144A 07.8750 10/01/2020 0.05%
TEMPO ACQ LLC/FI P/P 144A 06.7500 06/01/2025 0.05%
USIS MERGER SUB INC P/P 144A 06.8750 05/01/2025 0.05%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.05%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.05%
WYNN LAS VEGAS P/P 144A 05.2500 05/15/2027 0.05%
YONKERS RACING CORP L+325 04.4800 05/31/2024 0.05%
0.30 R ISWP FWD SES3M P 09/20/2022 0.04%
1011778 BC / NEW RED P/P 144A 04.2500 05/15/2024 0.04%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.04%
ARDAGH PKG FIN/HLDGS P/P 144A 06.0000 02/15/2025 0.04%
BRAND ENERGY & I P/P 144A 08.5000 07/15/2025 0.04%
CAS 2016-C03 1M2 06.5161 10/25/2028 0.04%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.04%
CENTENE CORP 04.7500 05/15/2022 0.04%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.04%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 01/15/2025 0.04%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.04%
CIT GROUP INC. 05.0000 08/15/2022 0.04%
COMMSCOPE TECH LLC P/P 144A 06.0000 06/15/2025 0.04%
COVEY PARK ENERGY LL P/P 144A 07.5000 05/15/2025 0.04%
CREDIT ACCEPTANC 06.1250 02/15/2021 0.04%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/29/2049 0.04%
DENBURY RESOURCES IN P/P 144A 09.0000 05/15/2021 0.04%
DIGICEL GROUP LTD P/P 144A 08.2500 09/30/2020 0.04%
EW SCRIPPS CO P/P 144A 05.1250 05/15/2025 0.04%
FHR 4210 PI IO 03.0000 12/15/2041 0.04%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.04%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.04%
FREEPORT-MCMORAN INC 06.7500 02/01/2022 0.04%
GNR 2012-48 AI IO 03.5000 02/20/2036 0.04%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.04%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.04%
GNR 2013-6 IC IO 05.0000 01/20/2043 0.04%
GSMS 2012-GC6 D P/P 144A 05.6522 01/10/2045 0.04%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.04%
INMARSAT FINANCE PLC REGS 04.8750 05/15/2022 0.04%
JO-ANN HOLDCO P/P 144A 09.7500 10/15/2019 0.04%
LAMAR MEDIA CORP 05.3750 01/15/2024 0.04%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.04%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.04%
MEG ENERGY TLB L+350 04.6960 12/31/2023 0.04%
METLIFE INC P/P 144A 09.2500 04/08/2038 0.04%
NATIONSTAR MORT/ 07.8750 10/01/2020 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%
NRG ENERGY INC 07.8750 05/15/2021 0.04%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.04%
ORTHO-CLINICAL TLB L+375 05.0464 06/30/2021 0.04%
PATHEON TLB L+325 04.5044 04/20/2024 0.04%
PENN NATIONAL GAMING P/P 144A 05.6250 01/15/2027 0.04%
PRESTIGE BRANDS INC P/P 144A 05.3750 12/15/2021 0.04%
REPUBLIC OF VENEZUELA REGS 07.0000 03/31/2038 0.04%
REVLON CONSUMER PROD 06.2500 08/01/2024 0.04%
ROSE ROCK MIDSTREAM/ 05.6250 11/15/2023 0.04%
SEMGROUP CORP P/P 144A 06.3750 03/15/2025 0.04%
SHELF DRILL HOLD LTD P/P 144A 09.5000 11/02/2020 0.04%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.04%
SM ENERGY CO 06.5000 11/15/2021 0.04%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.04%
SUGAR HSP GAMING P/P 144A 05.8750 05/15/2025 0.04%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.04%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 5WX10Y P 1.095 GBP 07/17/2017 GS 0.04%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.04%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.04%
TAYLOR MORRISON P/P 144A 05.6250 03/01/2024 0.04%
UBSBB 2013-C6 D P/P 144A 04.3437 04/10/2046 0.04%
USG CORP P/P 144A 04.8750 06/01/2027 0.04%
VALEANT PHARMACEUTIC P/P 144A 05.5000 03/01/2023 0.04%
VENATOR FIN SARL/VEN P/P 144A 05.7500 07/15/2025 0.04%
VTB BK (VTB EURASIA) P/P 144A 09.5000 12/29/2049 0.04%
ZIGGO BOND FIN BV P/P 144A 04.6250 01/15/2025 0.04%
AES CORP/VA 04.8750 05/15/2023 0.03%
AIR METHODS TLB L+350 04.7964 04/13/2024 0.03%
ALLIANCE RES OP/FINA P/P 144A 07.5000 05/01/2025 0.03%
ALTICE FINANCING SA P/P 144A 06.6250 02/15/2023 0.03%
AMC ENT HOLDIN 06.1250 05/15/2027 0.03%
AMC ENTERTAINMENT HOLDIN 05.7500 06/15/2025 0.03%
ANGLO AMERICAN CAP P/P 144A 04.7500 04/10/2027 0.03%
ARCELORMITTAL USD 07.5000 10/15/2039 0.03%
ASCENT RESOURCES/AEU P/P 144A 10.0000 04/01/2022 0.03%
BON-TON DEPT STORES 08.0000 06/15/2021 0.03%
BOYD GAMING CORPORATION 06.8750 05/15/2023 0.03%
BROOKFIELD RESID P/P 144A 06.5000 12/15/2020 0.03%
CAD/USD 07/19/2017 WPAC 0.03%
CALATLANTIC GROUP INC 05.8750 11/15/2024 0.03%
CAS 2014-C02 1M2 03.8161 05/25/2024 0.03%
CEMEX FINANCE LLC P/P 144A 09.3750 10/12/2022 0.03%
CGCMT 2006-C4 B 06.2032 03/15/2049 0.03%
CHS/COMMUNITY HEALTH SYS 06.2500 03/31/2023 0.03%
CINEMARK USA INC 05.1250 12/15/2022 0.03%
CLEAR CHNL WORLD 07.6250 03/15/2020 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.03%
COMMERZBANK AG P/P 144A 08.1250 09/19/2023 0.03%
CONTINENTAL RES 04.5000 04/15/2023 0.03%
CONTINENTAL RESOURCES 04.9000 06/01/2044 0.03%
DAKOTA MERGER SUB P/P 144A 10.7500 09/01/2024 0.03%
DEL MONTE 2NDL L+725 08.6900 08/18/2021 0.03%
DYNEGY INC 07.6250 11/01/2024 0.03%
EP ENER/EVEREST ACQ P/P 144A 08.0000 02/15/2025 0.03%
FHR 4105 HI IO 03.5000 07/15/2041 0.03%
FNR 2006-8 HP 20.1076 03/25/2036 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
FNR 2013-70 CI IO 03.5000 01/25/2043 0.03%
GAZPROM (GAZ CAP SA) P/P 144A 09.2500 04/23/2019 0.03%
GENON ENERGY INC. 09.8750 10/15/2020 0.03%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.03%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.03%
GRUPO TELEVISA SAB USD 06.6250 01/15/2040 0.03%
HELLENIC REPUBLIC REGS 03.0000 02/24/2024 0.03%
HUB INTL LTD P/P 144A 07.8750 10/01/2021 0.03%
HUDBAY MINERALS INC P/P 144A 07.6250 01/15/2025 0.03%
ICAHN ENTER/FIN 06.7500 02/01/2024 0.03%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.03%
KFC HLD/PIZZA HUT/TA P/P 144A 04.7500 06/01/2027 0.03%
KRONOS 2NDL L+825 09.4196 11/01/2024 0.03%
LANDRY'S INC P/P 144A 06.7500 10/15/2024 0.03%
LENNAR CORP 04.5000 11/15/2019 0.03%
MURRAY ENERGY CORP P/P 144A 11.2500 04/15/2021 0.03%
NIELSEN CO LUXEM P/P 144A 05.0000 02/01/2025 0.03%
NOVA CHEMICALS CORP P/P 144A 04.8750 06/01/2024 0.03%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.03%
OPTN FN30 3.0 08/01/17 CALL 100.421875 JPMC 0.03%
PARSLEY ENERGY P/P 144A 05.3750 01/15/2025 0.03%
PETROLEOS DE VENEZUELA S REGS 06.0000 11/15/2026 0.03%
PETROLEOS MEXICANOS USD 06.5000 06/02/2041 0.03%
PILGRIM'S PRIDE CORP P/P 144A 05.7500 03/15/2025 0.03%
POMEGRANATE MERGER S P/P 144A 09.7500 05/01/2023 0.03%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.03%
SCIENTIFIC GAMES INTERNA 06.2500 09/01/2020 0.03%
SPRINT CAPITAL CORPORATION 06.8750 11/15/2028 0.03%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.03%
STACR 2016-DNA1 B 11.2161 07/25/2028 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.03%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.03%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.03%
SWPTN 3MX2Y P 0.5715 GBP 08/17/2017 RB 0.03%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.03%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.03%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.03%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.03%
T-MOBILE USA INC 05.3750 04/15/2027 0.03%
TARGA RES PRTNRS P/P 144A 05.3750 02/01/2027 0.03%
TESORO LOGISTICS LP/CORP 05.2500 01/15/2025 0.03%
THE NEIMAN MARCUS GROUP LLC 07.1250 06/01/2028 0.03%
VALEANT PHARMA P/P 144A 05.6250 12/01/2021 0.03%
VERTIV TLB L+400 05.2261 11/30/2023 0.03%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.03%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.03%
WIDEOPENWEST FIN 10.2500 07/15/2019 0.03%
WOLVERINE WORLD WIDE P/P 144A 05.0000 09/01/2026 0.03%
-0.30 R ISWP FWD CHL6M P 09/20/2022 0.02%
1.505 R ISWP CDOR03 P 06/23/2022 0.02%
2.18 R ISWP FWD USL3M P 07/13/2027 0.02%
ADT CORP 04.1250 06/15/2023 0.02%
ALTICE FINANCING SA P/P 144A 07.5000 05/15/2026 0.02%
ALTICE FINCO SA P/P 144A 07.6250 02/15/2025 0.02%
AMC ENT HOLDIN 05.8750 11/15/2026 0.02%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.02%
ARD FINANCE SA 06.6250 09/15/2023 0.02%
BANCO BILBAO VIZCAYA ARG REGS 09.0000 05/29/2049 0.02%
BELDEN INC P/P 144A 05.5000 09/01/2022 0.02%
BWAY CORP TLB L+325 04.4739 04/03/2024 0.02%
CAD/USD 07/19/2017 CITI 0.02%
CALATLANTIC GROUP INC. 06.2500 12/15/2021 0.02%
CALIFORNIA RESOURCES 05.0000 01/15/2020 0.02%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.02%
CAPITAL AUTO 2NDL L+600 07.2200 03/24/2025 0.02%
CAS 2016-C06 1M2 05.4661 04/25/2029 0.02%
CBS RADIO INC P/P 144A 07.2500 11/01/2024 0.02%
CCC INFO 2NDL L+675 07.9761 03/30/2025 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%
CEMEX SAB DE CV P/P 144A 06.1250 05/05/2025 0.02%
CENTURYLINK INC 06.7500 12/01/2023 0.02%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.02%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 06/15/2027 0.02%
CHS/COMMUNITY HEALTH SYS 07.1250 07/15/2020 0.02%
CIRSA FUNDING LUXEMBOURG REGS 05.8750 05/15/2023 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CONSTELLIUM NV REGS 07.0000 01/15/2023 0.02%
DFC FINANCE CORP P/P 144A 10.5000 06/15/2020 0.02%
DIAMONDBACK ENER P/P 144A 04.7500 11/01/2024 0.02%
EAGLE HLDG CO II LLC P/P 144A 07.6250 05/15/2022 0.02%
ELDORADO RESORTS INC P/P 144A 06.0000 04/01/2025 0.02%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.02%
EUR/USD 09/20/2017 HSBCB 0.02%
EUR/USD 09/20/2017 RBSF 0.02%
FHR 3687 CI IO 05.0000 11/15/2038 0.02%
FIRST DATA TL L+250 03.7161 04/26/2024 0.02%
FNR 2012-96 PI IO 04.0000 07/25/2041 0.02%
FRONTIER COMM 11.0000 09/15/2025 0.02%
FTS INTL INC 06.2500 05/01/2022 0.02%
GNR 2010-158 IP IO 04.5000 06/20/2039 0.02%
GNR 2010-168 PI IO 04.5000 11/20/2039 0.02%
GNR 2013-6 CI IO 05.0000 12/20/2042 0.02%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.02%
GRINDING MEDIA/M P/P 144A 07.3750 12/15/2023 0.02%
HCA INC. 07.5000 02/15/2022 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2038 0.02%
INTESA SANPAOLO SPA P/P 144A 07.7000 12/31/2049 0.02%
ISTAR INC 06.0000 04/01/2022 0.02%
JACOBS ENT INC P/P 144A 07.8750 02/01/2024 0.02%
KRONOS TLB L+350 04.6804 11/01/2023 0.02%
LIVE NATION ENT P/P 144A 04.8750 11/01/2024 0.02%
LOUISIANA-PACIFIC CORP 04.8750 09/15/2024 0.02%
MATALAN FINANCE PLC REGS 06.8750 06/01/2019 0.02%
MEG ENERGY CORP P/P 144A 06.3750 01/30/2023 0.02%
MEG ENERGY CORP P/P 144A 06.5000 01/15/2025 0.02%
NEIMAN MARCUS GROUP P/P 144A 08.0000 10/15/2021 0.02%
NEIMAN MARCUS GROUP P/P 144A 08.7500 10/15/2021 0.02%
NEW GOLD INC P/P 144A 06.3750 05/15/2025 0.02%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.02%
NOVAFIVES REGS 04.5000 06/30/2021 0.02%
NZD/USD 07/19/2017 BCAP-FX 0.02%
NZD/USD 07/19/2017 HSBCB 0.02%
OASIS PETROLEUM INC 06.8750 01/15/2023 0.02%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.02%
PETROLEOS MEXICANOS USD 06.6250 06/15/2038 0.02%
PETSMART INC P/P 144A 07.1250 03/15/2023 0.02%
PETSMART INC TLB L+300 04.2460 03/11/2022 0.02%
PIZZAEXPRESS FINANCING 2 REGS 06.6250 08/01/2021 0.02%
PRECISION DRILLING C P/P 144A 07.7500 12/15/2023 0.02%
RACKSPACE TLB L+300 04.1723 11/03/2023 0.02%
ROSE ROCK MIDSTREAM/ 05.6250 07/15/2022 0.02%
ROYAL BK SCOTLND GRP PLC USD 08.0000 12/29/2049 0.02%
SABINE PASS LIQUEFAC 05.7500 05/15/2024 0.02%
SEK/USD 09/20/2017 BANKAM 0.02%
SEK/USD 09/20/2017 GSFX 0.02%
SEK/USD 09/20/2017 UBS 0.02%
SFR GROUP SA P/P 144A 07.3750 05/01/2026 0.02%
SOCIALIST REP OF VIE P/P 144A 04.8000 11/19/2024 0.02%
SPRINGLEAF FINANCE CORP 05.2500 12/15/2019 0.02%
SPRINGLEAF FINANCE CORP 08.2500 12/15/2020 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.02%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.02%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.02%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.02%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.02%
SWPTN 3MX2Y P 0.561 GBP 08/18/2017 RB 0.02%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 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%
TARGA RES PRTNRS P/P 144A 05.1250 02/01/2025 0.02%
TECK RESOURCES LIMITED USD 03.7500 02/01/2023 0.02%
TECK RESOURCES LIMITED USD 04.7500 01/15/2022 0.02%
TENET HEALTHCARE 06.2500 11/01/2018 0.02%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.02%
TRANSDIGM INC 06.5000 05/15/2025 0.02%
US CONCRETE INC 06.3750 06/01/2024 0.02%
USD/JPY PUT 107.00 20171106 BANKAM 0.02%
VALEANT PHARMA P/P 144A 06.5000 03/15/2022 0.02%
VALEANT PHARMA TLBF1 L+475 05.9800 04/01/2022 0.02%
WEATHERFORD BERMUDA P/P 144A 09.8750 02/15/2024 0.02%
WPX ENERGY INC 08.2500 08/01/2023 0.02%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.01%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.01%
1.15 R ISWP FWD GBL6M P 09/20/2027 0.01%
2.1965 R ISWP USL3M P 06/30/2027 0.01%
2.60 R ISWP BUBOR06M P 03/01/2027 0.01%
2.65 R ISWP BUBOR06M P 02/28/2027 0.01%
2.905 R ISWP BUBOR06M P 03/20/2027 0.01%
7.73 R ISWP MXIBTIIE P 04/22/2032 0.01%
7.785 R ISWP JIBA3M P 03/24/2027 0.01%
ALPINE FIN MERGER P/P 144A 06.8750 08/01/2025 0.01%
AUD/USD 07/19/2017 BANKAM 0.01%
AUD/USD 07/19/2017 JPMCB 0.01%
AUD/USD 07/19/2017 RBSF 0.01%
BAYTEX ENERGY CORP P/P 144A 05.1250 06/01/2021 0.01%
CAD/USD 07/19/2017 BANKAM 0.01%
CAD/USD 07/19/2017 GSFX 0.01%
CAD/USD 07/19/2017 HSBCB 0.01%
CAD/USD 07/19/2017 JPMCB 0.01%
CAD/USD 07/19/2017 UBS 0.01%
CBS OUT AMER CAP LLC 05.6250 02/15/2024 0.01%
CENT ELET BRASIL P/P 144A 05.7500 10/27/2021 0.01%
CENTENE CORP 04.7500 01/15/2025 0.01%
CENTURYLINK INC 05.6250 04/01/2020 0.01%
CHESAPEAKE ENERGY CORP 05.7500 03/15/2023 0.01%
CHF/USD 09/20/2017 BCAP-FX 0.01%
CHS/COMMUNITY HEALTH 08.0000 11/15/2019 0.01%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CONCORDIA INTL P/P 144A 07.0000 04/15/2023 0.01%
CONCORDIA INTL P/P 144A 09.0000 04/01/2022 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%
DENBURY RESOURCES INC 06.3750 08/15/2021 0.01%
ENDO DAC/FIN LLC/FIN P/P 144A 05.8750 10/15/2024 0.01%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 02/01/2025 0.01%
EP ENER/EVEREST P/P 144A 08.0000 11/29/2024 0.01%
EUR/USD 09/20/2017 BANKAM 0.01%
EUR/USD 09/20/2017 JPMCB 0.01%
FHR 3408 EK 21.1299 04/15/2037 0.01%
FIRST QUANTUM MINERA P/P 144A 07.2500 04/01/2023 0.01%
FNR 2005-83 QP 14.2321 11/25/2034 0.01%
FNS 374 6 IO 05.5000 08/25/2036 0.01%
FNS 378 19 IO 05.0000 06/25/2035 0.01%
FRONTIER COMMUNICATIONS 07.6250 04/15/2024 0.01%
FTS INTL INC P/P 144A 08.7456 06/15/2020 0.01%
GBP/USD 09/20/2017 JPMCB 0.01%
GII30 06.500 1995 0.01%
GMACC 2004-C3 B 04.9650 12/10/2041 0.01%
GNR 2011-41 BI IO 05.0000 05/20/2040 0.01%
GNR 2013-130 IB IO 05.0000 12/20/2040 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2036 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
INTELSAT LUXEMB USD 07.7500 06/01/2021 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01%
JC PENNEY CORP INC 05.6500 06/01/2020 0.01%
JC PENNEY CORP INC 07.4000 04/01/2037 0.01%
JPY/USD 08/16/2017 BCAP-FX 0.01%
JPY/USD 08/16/2017 UBS 0.01%
KCA DEUTAG UK FIN PL P/P 144A 09.8750 04/01/2022 0.01%
LAMB WESTON HOLDINGS P/P 144A 04.6250 11/01/2024 0.01%
LAREDO PETROLEUM INC 05.6250 01/15/2022 0.01%
LBUBS 2006-C6 D 05.5020 09/15/2039 0.01%
LLOYDS BANK PLC 13.0000 01/29/2049 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%
MOLINA HEALTHCARE IN P/P 144A 04.8750 06/15/2025 0.01%
NINE POINT ENERGY COM 0.01%
NZD/USD 07/19/2017 JPMCB 0.01%
OPTN FN30 2.5 08/07/17 CALL 96.53125 JPMC 0.01%
PLATFORM SPECIALTY P P/P 144A 10.3750 05/01/2021 0.01%
SEK/USD 09/20/2017 JPMCB 0.01%
SEK/USD 09/20/2017 RBSF 0.01%
SOLENIS 2NDL L+675 07.9518 07/31/2022 0.01%
STEEL DYNAMICS INC 06.3750 08/15/2022 0.01%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.01%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.01%
SWPTN 6MX1Y P 0.51 GBP 09/18/2017 BC 0.01%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.01%
TENNANT CO P/P 144A 05.6250 05/01/2025 0.01%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.01%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.01%
USD/CNH PUT 6.70 20171006 GSFX 0.01%
USD/CNH PUT 6.70 20171013 BANKAM 0.01%
WEATHERFORD BERMUDA 08.2500 06/15/2023 0.01%
WFRBS 2011-C5 E P/P 144A 05.8613 11/15/2044 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%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.00%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.00%
0.69 R ISWP BUBOR06M P 03/01/2019 0.00%
0.745 R ISWP BUBOR06M P 03/20/2019 0.00%
1.45 R ISWP FWD NOKOIB6M P 09/20/2022 0.00%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
2.75 R ISWP FWD NFIX3MID P 09/20/2022 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%
7.11 R ISWP JIBA3M P 03/24/2019 0.00%
7.305 R ISWP JIBA3M P 03/09/2019 0.00%
7.67 R ISWP MXIBTIIE P 03/12/2032 0.00%
8.32625 R ISWP JIBA3M P 10/11/2026 0.00%
AUD/USD 07/19/2017 BCAP-FX 0.00%
AUD/USD 07/19/2017 CSI-FX 0.00%
AUD/USD 07/19/2017 HSBCB 0.00%
AUD/USD 07/19/2017 SSBT 0.00%
BACM 2007-5 XW IO P/P 144A 00.2541 02/10/2051 0.00%
BRL/USD 10/03/2017 CITI 0.00%
BSABS 2004-FR3 M6 06.0911 09/25/2034 0.00%
CAD/USD 07/19/2017 SSBT 0.00%
CD 2007-CD5 XS IO 144A 00.1346 11/15/2044 0.00%
CHF/USD 09/20/2017 GSFX 0.00%
CHF/USD 09/20/2017 JPMCB 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 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 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPTFEMU R 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%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
CSMC 2006-C5 AX IO 00.8667 12/15/2039 0.00%
ESC SEVENTYSEVENERG 06.5000 07/15/2022 0.00%
EUR/USD 09/20/2017 BCAP-FX 0.00%
EUR/USD 09/20/2017 CITI 0.00%
EUR/USD 09/20/2017 SSBT 0.00%
EUR/USD 09/20/2017 UBS 0.00%
EUR/USD 09/20/2017 WPAC 0.00%
EURO-OAT FUTURE SEP17 OATU7 0.00%
FHR 1208 F PO 00.0000 02/15/2022 0.00%
FHR 3314 PO PO 00.0000 11/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNGT 1998-T2 A4 IO 06.5000 10/25/2036 0.00%
FNGT 2000-T6 IO IO 00.7112 11/25/2040 0.00%
FNR 1999-51 N PO 00.0000 09/17/2029 0.00%
FNR 2001-50 BI IO 00.4044 10/25/2041 0.00%
FNS 366 22 IO 04.5000 10/25/2035 0.00%
FNS 399 2 IO 05.5000 11/25/2039 0.00%
FNS 404 2 IO 04.5000 05/25/2040 0.00%
FNS 405 2 IO 04.0000 10/25/2040 0.00%
FNW 2002-W8 IO1 IO 00.3023 06/25/2042 0.00%
FSPC T-57 1AX IO 00.3706 07/25/2043 0.00%
GBP/USD 09/20/2017 BANKAM 0.00%
GBP/USD 09/20/2017 BCAP-FX 0.00%
GBP/USD 09/20/2017 CITI 0.00%
GBP/USD 09/20/2017 CSI-FX 0.00%
GBP/USD 09/20/2017 GSFX 0.00%
GBP/USD 09/20/2017 HSBCB 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2006-64 PO PO 00.0000 04/16/2034 0.00%
GNR 2010-98 PI IO 04.5000 10/20/2037 0.00%
GNR 2011-140 BI IO 04.5000 12/20/2040 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GSMS 2005-GG4 XC IO P/P 144A 01.3775 07/10/2039 0.00%
INR/USD 08/16/2017 BANKAM 0.00%
INR/USD 08/16/2017 GSFX 0.00%
IOS.FN30.300.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.300.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 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.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 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 GS 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 GS 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.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.450.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.450.11 R USL1M P 01/12/42 CS 0.00%
IOS.FN30.500.09 R USL1M P 01/12/40 CS 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.FN30.500.10 R USL1M P 01/12/41 BC 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 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.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 GS 0.00%
JPY/USD 08/16/2017 BANKAM 0.00%
JPY/USD 08/16/2017 CITI 0.00%
JPY/USD 08/16/2017 CSI-FX 0.00%
JPY/USD 08/16/2017 GSFX 0.00%
JPY/USD 08/16/2017 RBSF 0.00%
JPY/USD 08/16/2017 SSBT 0.00%
LAREDO PETROLEUM INC 07.3750 05/01/2022 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.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 DE 0.00%
MBX.FN30.450.09 P USL1M R 01/12/40 GS 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.10 R USL1M P 01/12/41 BC 0.00%
MBX.FN30.500.09 P USL1M R 01/12/40 GS 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 CS 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.550.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.550.08 R USL1M P 01/12/39 GS 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 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.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 R USL1M P 01/12/38 GS 0.00%
MBX.GII30.450.10 R USL1M P 01/12/41 CS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MEZZ 2004-C1 X IO P/P 144A 09.3210 01/15/2037 0.00%
MEZZ 2007-C5 X IO P/P 144A 05.5038 12/15/2049 0.00%
MXN/USD 07/19/2017 CITI 0.00%
NOK/USD 09/20/2017 CITI 0.00%
NOK/USD 09/20/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 RBSF 0.00%
NZD/USD 07/19/2017 SSBT 0.00%
PRECISION DRILL USD 05.2500 11/15/2024 0.00%
SGD/USD 08/16/2017 BANKAM 0.00%
SGD/USD 08/16/2017 HSBCB 0.00%
SPEC BRNDS ESCROW CO 06.6250 11/15/2022 0.00%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.00%
STRIP 2003-1A N P/P 144A 02.0971 03/24/2018 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 3MX10Y R 1.005 GBP 08/18/2017 RB 0.00%
SWPTN 3MX10Y R 1.0436 GBP 08/17/2017 RB 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS 0.00%
SWPTN 3MX2Y P -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS 0.00%
SWPTN 3MX2Y R -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y R 0.561 GBP 08/18/2017 RB 0.00%
SWPTN 3MX2Y R 0.5715 GBP 08/17/2017 RB 0.00%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y P 0.36125 EUR 08/02/2017 GS 0.00%
SWPTN 3MX5Y R 0.15875 EUR 08/02/2017 GS 0.00%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX1Y P 1.736 USD 09/18/2017 BC 0.00%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
TRY/USD 09/20/2017 RBSF 0.00%
TRY/USD 09/20/2017 UBS 0.00%
TWD/USD 08/16/2017 CITI 0.00%
UNITED MEXICAN STATES USD 04.7500 03/08/2044 0.00%
USD/CNH PUT 6.60 20171006 GSFX 0.00%
USD/CNH PUT 6.60 20171013 BANKAM 0.00%
WBCMT 2007-C34 IO IO 00.4614 05/15/2046 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.15 R ISWP FWD CHL6M P 09/20/2027 -0.01%
0.715 R ISWP BUBOR06M P 02/28/2019 -0.01%
1.10 R ISWP FWD SES3M P 09/20/2027 -0.01%
1.8165 R ISWP USL3M P 06/27/2022 -0.01%
1.90 R ISWP FWD NOKOIB6M P 09/20/2027 -0.01%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.01%
1.95 R ISWP FWD CDOR03 P 09/20/2027 -0.01%
1.95 R ISWP FWD USL3M P 09/20/2022 -0.01%
8.12 R ISWP MXIBTIIE P 12/24/2026 -0.01%
AUD/USD 07/19/2017 CITI -0.01%
AUD/USD 07/19/2017 GSFX -0.01%
AUD/USD 07/19/2017 WPAC -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 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 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.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%
EUR/USD 09/20/2017 GSFX -0.01%
GBP/USD 09/20/2017 UBS -0.01%
IOS.FN30.400.10 P USL1M R 01/12/41 BC -0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.01%
JPY/USD 08/16/2017 JPMCB -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
NOK/USD 09/20/2017 BANKAM -0.01%
NOK/USD 09/20/2017 GSFX -0.01%
NOK/USD 09/20/2017 JPMCB -0.01%
NOK/USD 09/20/2017 RBSF -0.01%
NOK/USD 09/20/2017 SSBT -0.01%
NOK/USD 09/20/2017 UBS -0.01%
NZD/USD 07/19/2017 CSI-FX -0.01%
NZD/USD 07/19/2017 GSFX -0.01%
OPTN FN30 2.5 08/07/17 PUT 96.53125 JPMC -0.01%
SEK/USD 09/20/2017 CITI -0.01%
SEK/USD 09/20/2017 CSI-FX -0.01%
SGD/USD 08/16/2017 SSBT -0.01%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.01%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.01%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.01%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.01%
SWPTN 3MX10Y P 1.267 GBP 08/18/2017 RB -0.01%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI -0.01%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.01%
USD/JPY PUT 103.00 20171106 BANKAM -0.01%
ZAR/USD 07/19/2017 GSFX -0.01%
1.60 R ISWP FWD CDOR03 P 09/20/2022 -0.02%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.02%
2.25 R ISWP FWD USL3M P 09/20/2027 -0.02%
3.25 R ISWP FWD NFIX3MID P 09/20/2027 -0.02%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.02%
8.20 R ISWP MXIBTIIE P 01/07/2027 -0.02%
AUD/USD 07/19/2017 UBS -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 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
GBP/USD 09/20/2017 SSBT -0.02%
NZD/USD 07/19/2017 UBS -0.02%
NZD/USD 07/19/2017 WPAC -0.02%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.02%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.02%
SWPTN 3MX10Y P 1.3056 GBP 08/17/2017 RB -0.02%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.02%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -0.02%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI -0.02%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
ZAR/USD 07/19/2017 CITI -0.02%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.03%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.03%
2.11504 R ISWP USL3M P 06/26/2027 -0.03%
2.60 R ISWP FWD AUDBB6M P 06/28/2022 -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.03%
SWPTN 1MX10Y P 1.1625 GBP 07/14/2017 BC -0.03%
SWPTN 5WX10Y P 1.151 GBP 07/17/2017 GS -0.03%
SWPTN 5WX10Y P 1.207 GBP 07/17/2017 GS -0.03%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.03%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.03%
2.45 R ISWP FWD USL3M P 09/20/2047 -0.04%
NZD/USD 07/19/2017 BANKAM -0.04%
SWPTN 1MX10Y P 1.1125 GBP 07/14/2017 BC -0.04%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.04%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.04%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.04%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.04%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.04%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.04%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.04%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.04%
0.20 R ISWP FWD EURIBOR6MD P 09/20/2022 -0.05%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.05%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.05%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.05%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -0.05%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
NZD/USD 07/19/2017 CITI -0.06%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -0.06%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.06%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.07%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.07%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.07%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.07%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.07%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.07%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.07%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.07%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.08%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.08%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.08%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.10%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.10%
OPTN FN30 3.0 08/07/17 PUT 100.421875 JPMC -0.11%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.12%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.12%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.12%
0.80 R ISWP FWD EURIBOR6MD P 09/20/2027 -0.13%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.15%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.15%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.22%
FLR USL3M 6.00 03/07/2018 JP -0.27%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.36%
CDX CDX.NA.HY.28 500.0 06/20/2022 -0.37%
FNMA FN30 TBA 03.0000 07/01/2047 -5.50%

Prior top 10 holdings

Top 10 holdings as of 09/30/17
Fnma Fn30 Tba 03.5000 11/01/2047
Fnma Fn30 Tba 02.5000 10/01/2047
Gnma Gii30 Tba 04.0000 10/01/2047
Gnma Gii30 Tba 04.5000 10/01/2047
Fhlmc Fh30g Tba 04.0000 10/01/2047
Cwalt 2005-38 A3 01.5872 09/25/2035
Fnma Fn30 Tba 03.0000 11/01/2047
Cas 2015-C04 1m2 06.9372 04/25/2028
Vtb Bank (Vtb Cap P/P 144a 06.9500 10/17/2022
Cwalt 2005-59 1a1 01.5661 11/20/2035
Holdings represent 27.54% of portfolio
Top 10 holdings as of 08/31/17
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Gnma Gii30 Tba 04.0000 10/01/2047
Fhlmc Fh30g Tba 04.0000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Cwalt 2005-38 A3 01.5844 09/25/2035
Fnma Fn30 Tba 03.0000 10/01/2047
Cas 2015-C04 1m2 06.9344 04/25/2028
Vtb Bank (Vtb Cap P/P 144a 06.9500 10/17/2022
Holdings represent 25.62% of portfolio
Top 10 holdings as of 07/31/17
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Fhlmc Fh30g Tba 04.0000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Cwalt 2005-38 A3 01.5822 09/25/2035
Cas 2015-C04 1m2 06.9322 04/25/2028
Vtb Bank (Vtb Cap P/P 144a 06.9500 10/17/2022
Cwalt 2005-59 1a1 01.5578 11/20/2035
Fnma Fn30 Tba 05.5000 09/01/2047
Vtb Bank (Vtb Cap P/P 144a 06.8750 05/29/2018
Holdings represent 27.40% of portfolio
Top 10 holdings as of 06/30/17
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 02.5000 07/01/2047
Fhlmc Fh30g Tba 04.0000 07/01/2047
Fnma Fn30 Tba 04.5000 07/01/2047
Cwalt 2005-38 A3 01.5661 09/25/2035
Fnma Fn30 Tba 02.5000 07/01/2047
Cas 2015-C04 1m2 06.9161 04/25/2028
Cwalt 2005-59 1a1 01.5422 11/20/2035
Vtb Bank (Vtb Cap P/P 144a 06.9500 10/17/2022
Holdings represent 31.59% of portfolio

Fixed income statistics as of 09/30/17

Average effective maturity 6.92 yrs.
Average effective duration -1.37 yrs.
Average yield to maturity 5.53%
Average coupon 5.51%
Average price $90.90

Sector weightings as of 09/30/17

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Commercial MBS 14.07% 0.56 9.62% 0.39 23.69% 0.95
Agency pass-through 0.01% 0.00 23.31% 1.41 23.32% 1.41
High-yield corporate bonds 24.33% 0.89 -2.97% -0.13 21.36% 0.76
Agency CMO 17.90% 0.64 0.78% 0.04 18.68% 0.68
Net cash 14.89% 0.00 0.00% 0.00 14.89% 0.00
Residential MBS (non-agency) 11.65% 0.57 0.00% 0.00 11.65% 0.57
Emerging-market bonds 10.29% 0.66 0.00% 0.00 10.29% 0.66
International Treasury/agency 2.59% 0.19 0.00% -0.08 2.59% 0.11
Investment-grade corporate bonds 1.70% 0.12 0.00% 0.00 1.70% 0.12
Bank loans 1.51% 0.05 0.00% 0.00 1.51% 0.05
Convertible securities 1.05% 0.07 0.00% 0.00 1.05% 0.07
Equity investments 0.01% 0.00 0.00% 0.00 0.01% 0.00
Interest rate swaps 0.00% 0.00 0.00% -4.60 0.00% -4.60

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.

Maturity detail as of 09/30/17

0 - 1 yr. -2.15%
1 - 5 yrs. 25.78%
5 - 10 yrs. 69.65%
10 - 15 yrs. 3.57%
Over 15 yrs. 3.15%

Quality rating as of 09/30/17

AAA 47.40%
AA 0.09%
A 3.82%
BBB 8.81%
BB 20.65%
B 20.46%
CCC and Below 9.60%
Not Rated -10.83%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio. You can lose money by investing in the fund

Credit qualities are shown as a percentage of net assets as of the date indicated above. A bond rated BBB or higher (A-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 are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. 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. Derivative offset values are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 09/30/17

United States 81.46%
Greece 2.59%
Russia 2.37%
Argentina 2.36%
Brazil 1.89%
Canada 1.72%
Indonesia 1.06%
Mexico 1.04%
United Kingdom 0.79%
 
Other
4.72%
Luxembourg 0.71%
France 0.48%
Venezuela 0.43%
Germany 0.41%
Bermuda 0.40%
Egypt 0.34%
Ireland 0.34%
Dominican Republic 0.28%
Ivory Coast 0.23%
Netherlands 0.21%
Jamaica 0.20%
Cayman Islands 0.17%
Sweden 0.11%
Switzerland 0.11%
Jersey 0.09%
Turkey 0.09%
Japan 0.07%
Costa Rica 0.05%
European Community 0.03%
Italy 0.02%
Spain 0.02%
Vietnam 0.02%
Czech Republic 0.01%
South Africa 0.01%
Australia -0.02%
New Zealand -0.03%
Norway -0.06%

Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 1.00% 1.75% 1.75% 1.25% 1.25% 0.65% 0.75%
What you pay 1.00% 1.75% 1.75% 1.25% 1.25% 0.65% 0.75%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 4.00% 0.00% 0.00% 3.25% -- -- --
$50,000-$99,999 4.00% 0.00% 0.00% 2.25% -- -- --
$100,000-$249,999 3.25% -- 0.00% 1.25% -- -- --
$250,000-$499,999 2.50% -- 0.00% 1.00% -- -- --
$500,000-$999,999 0.00% -- -- -- -- -- --
$1M-$4M 0.00% -- -- -- -- -- --
$4M-$50M 0.00% -- -- -- -- -- --
$50M+ 0.00% -- -- -- -- -- --

CDSC

  Class A (sales for $500,000+) Class B Class C Class M Class R Class R6 Class Y
0 to 9 mts. 1.00% 5.00% 1.00% -- -- -- --
9 to 12 mts. 0.00% 5.00% 1.00% -- -- -- --
2 yrs. -- 4.00% 0.00% -- -- -- --
3 yrs. -- 3.00% 0.00% -- -- -- --
4 yrs. -- 3.00% 0.00% -- -- -- --
5 yrs. -- 2.00% 0.00% -- -- -- --
6 yrs. -- 1.00% 0.00% -- -- -- --
7+ yrs. -- 0.00% 0.00% -- -- -- --

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities. You cannot invest directly in an index.

Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio. You can lose money by investing in the fund

Credit qualities are shown as a percentage of net assets as of the date indicated above. A bond rated BBB or higher (A-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 are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. 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. Derivative offset values are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.