Top 10 Fixed-Income Holdings |
| Portfolio % |
1) U.S. Treasury Notes 2.25%, 02/15/27 |
| 1.33 % |
2) CCO Holdings 4.50%, 08/15/30 - 06/01/33 |
| 0.69 % |
3) U.S. Treasury Notes 2.875%, 08/15/28 |
| 0.67 % |
4) Dominican Republic Intl Bond 8.625%, 04/20/27 |
| 0.65 % |
5) CCO Holdings 4.75%, 02/01/32 |
| 0.63 % |
6) Sirius XM Radio, Inc. 4.00%, 07/15/28 |
| 0.57 % |
7) Royal Caribbean Cruises 5.50%, 08/31/26 - 04/01/28 |
| 0.52 % |
8) AMMC CLO 25 Ltd. 12.576%, 04/15/35 |
| 0.50 % |
9) Ford Motor Credit Co. LLC 7.35%, 11/04/27 |
| 0.50 % |
10) Ford Motor Co. 6.10%, 08/19/32 |
| 0.49 % |
|
|
|
Investment Type |
| Portfolio % |
Corporates - Non-Investment Grade |
|
|
Industrial |
|
|
Communications - Media |
| 7.37 % |
Consumer Non-Cyclical |
| 7.16 % |
Consumer Cyclical - Automotive |
| 4.46 % |
Energy |
| 3.95 % |
Capital Goods |
| 3.61 % |
Services |
| 3.48 % |
Consumer Cyclical - Other |
| 3.38 % |
Basic |
| 3.10 % |
Consumer Cyclical - Entertainment |
| 2.91 % |
Communications - Telecommunications |
| 2.78 % |
Consumer Cyclical - Retailers |
| 2.46 % |
Technology |
| 2.27 % |
Transportation - Services |
| 0.83 % |
Transportation - Airlines |
| 0.59 % |
Consumer Cyclical - Restaurants |
| 0.54 % |
Other Industrial |
| 0.25 % |
SUBTOTAL |
| 49.14 % |
Credit Default Swaps |
| 20.34 % |
Financial Institutions |
|
|
Finance |
| 1.88 % |
REITs |
| 1.03 % |
Brokerage |
| 0.85 % |
Banking |
| 0.61 % |
Other Finance |
| 0.60 % |
Insurance |
| 0.29 % |
SUBTOTAL |
| 5.26 % |
Utility |
|
|
Electric |
| 0.62 % |
Natural Gas |
| 0.18 % |
Other Utility |
| 0.14 % |
SUBTOTAL |
| 0.94 % |
SUBTOTAL |
| 75.68 % |
Corporates - Investment Grade |
|
|
Financial Institutions |
|
|
Banking |
| 5.14 % |
Insurance |
| 1.15 % |
Finance |
| 1.05 % |
REITs |
| 0.13 % |
Brokerage |
| 0.11 % |
SUBTOTAL |
| 7.58 % |
Industrial |
|
|
Energy |
| 2.07 % |
Consumer Cyclical - Other |
| 0.96 % |
Consumer Cyclical - Automotive |
| 0.94 % |
Basic |
| 0.85 % |
Communications - Media |
| 0.56 % |
Technology |
| 0.37 % |
Consumer Non-Cyclical |
| 0.36 % |
Capital Goods |
| 0.33 % |
Transportation - Airlines |
| 0.31 % |
Consumer Cyclical - Entertainment |
| 0.22 % |
Consumer Cyclical - Retailers |
| 0.22 % |
Communications - Telecommunications |
| 0.12 % |
Services |
| 0.05 % |
Transportation - Railroads |
| 0.04 % |
Transportation - Services |
| 0.03 % |
SUBTOTAL |
| 7.43 % |
Utility |
|
|
Electric |
| 0.25 % |
SUBTOTAL |
| 0.25 % |
SUBTOTAL |
| 15.26 % |
Interest Rate Futures |
| 11.56 % |
Emerging Markets - Corporate Bonds |
|
|
Industrial |
|
|
Basic |
| 1.35 % |
Consumer Cyclical - Other |
| 1.23 % |
Consumer Non-Cyclical |
| 0.94 % |
Energy |
| 0.67 % |
Capital Goods |
| 0.38 % |
Technology |
| 0.20 % |
Communications - Media |
| 0.10 % |
Communications - Telecommunications |
| 0.09 % |
Services |
| 0.05 % |
Transportation - Services |
| 0.02 % |
SUBTOTAL |
| 5.03 % |
Utility |
|
|
Electric |
| 0.26 % |
SUBTOTAL |
| 0.26 % |
Financial Institutions |
|
|
Finance |
| 0.02 % |
REITs |
| 0.02 % |
Other Finance |
| 0.01 % |
SUBTOTAL |
| 0.05 % |
SUBTOTAL |
| 5.34 % |
Collateralized Loan Obligations |
|
|
CLO - Floating Rate |
| 4.74 % |
SUBTOTAL |
| 4.74 % |
Collateralized Mortgage Obligations |
|
|
Risk Share Floating Rate |
| 3.50 % |
Non-Agency Fixed Rate |
| 0.39 % |
Non-Agency Floating Rate |
| 0.33 % |
Agency Fixed Rate |
| 0.31 % |
SUBTOTAL |
| 4.53 % |
Bank Loans |
|
|
Industrial |
|
|
Consumer Non-Cyclical |
| 0.80 % |
Technology |
| 0.77 % |
Communications - Telecommunications |
| 0.71 % |
Energy |
| 0.44 % |
Capital Goods |
| 0.38 % |
Other Industrial |
| 0.30 % |
Communications - Media |
| 0.22 % |
Consumer Cyclical - Retailers |
| 0.08 % |
Services |
| 0.08 % |
Consumer Cyclical - Automotive |
| 0.05 % |
Consumer Cyclical - Other |
| 0.04 % |
Consumer Cyclical - Restaurants |
| 0.02 % |
SUBTOTAL |
| 3.89 % |
Financial Institutions |
|
|
Insurance |
| 0.16 % |
Finance |
| 0.03 % |
SUBTOTAL |
| 0.19 % |
Utility |
|
|
Electric |
| 0.18 % |
SUBTOTAL |
| 0.18 % |
SUBTOTAL |
| 4.26 % |
Emerging Markets - Sovereigns |
|
|
Emerging Markets - Sovereigns |
| 2.33 % |
Credit Default Swaps |
| 0.27 % |
SUBTOTAL |
| 2.60 % |
U.S. Government & Government Sponsored Agency Obligations |
| 2.60 % |
Commercial Mortgage-Backed Securities |
|
|
Credit Default Swaps |
| 1.54 % |
Non-Agency Fixed Rate CMBS |
| 0.58 % |
Non-Agency Floating Rate CMBS |
| 0.03 % |
SUBTOTAL |
| 2.15 % |
Total Return Swaps |
| 1.09 % |
Quasi-Sovereigns |
|
|
Quasi-Sovereign Bonds |
| 0.93 % |
SUBTOTAL |
| 0.93 % |
Common Stocks |
| 0.71 % |
Local Governments - US Municipal Bonds |
| 0.47 % |
Preferred Stocks |
|
|
Industrials |
| 0.20 % |
SUBTOTAL |
| 0.20 % |
Inflation-Linked Securities |
| 0.19 % |
Asset-Backed Securities |
|
|
Other ABS - Fixed Rate |
| 0.10 % |
Autos - Fixed Rate |
| 0.08 % |
SUBTOTAL |
| 0.18 % |
EM Government Agencies |
| 0.07 % |
Forward Currency Exchange Contracts |
|
|
Currency Instruments |
| -0.21 % |
SUBTOTAL |
| -0.21 % |
Reverse Repurchase Agreements |
| -0.93 % |
Cash & Cash Equivalents |
|
|
Cash |
| 2.18 % |
Funds and Investment Trusts |
| 0.43 % |
U.S. Treasury Bills |
| 0.36 % |
SUBTOTAL |
| 2.97 % |
Derivative Offsets |
|
|
Futures Offsets |
| -11.26 % |
Swap Offsets |
| -23.13 % |
SUBTOTAL |
| -34.39 % |
TOTAL |
| 100.00 % |
|
|
|
Country Breakdown |
| Portfolio % |
United States |
| 71.90 % |
United Kingdom |
| 4.66 % |
Germany |
| 2.07 % |
France |
| 1.82 % |
Canada |
| 1.81 % |
Luxembourg |
| 1.76 % |
Brazil |
| 1.43 % |
Italy |
| 0.99 % |
Mexico |
| 0.95 % |
India |
| 0.76 % |
Spain |
| 0.74 % |
Macau |
| 0.69 % |
Dominican Republic |
| 0.66 % |
Australia |
| 0.64 % |
Colombia |
| 0.62 % |
Hong Kong |
| 0.61 % |
Israel |
| 0.52 % |
Nigeria |
| 0.50 % |
China |
| 0.41 % |
Ireland |
| 0.40 % |
Netherlands |
| 0.39 % |
Peru |
| 0.37 % |
South Africa |
| 0.35 % |
Angola |
| 0.33 % |
Finland |
| 0.32 % |
Sweden |
| 0.31 % |
Switzerland |
| 0.28 % |
Norway |
| 0.27 % |
Kazakhstan |
| 0.24 % |
Japan |
| 0.22 % |
Gabon |
| 0.21 % |
Indonesia |
| 0.21 % |
Slovenia |
| 0.17 % |
Zambia |
| 0.16 % |
Egypt |
| 0.15 % |
Argentina |
| 0.14 % |
El Salvador |
| 0.14 % |
Ecuador |
| 0.13 % |
Turkey |
| 0.13 % |
Ukraine |
| 0.13 % |
Czech Republic |
| 0.12 % |
Jersey (Channel Islands) |
| 0.12 % |
Guatemala |
| 0.10 % |
South Korea |
| 0.10 % |
Panama |
| 0.09 % |
Venezuela |
| 0.09 % |
Ghana |
| 0.07 % |
Jamaica |
| 0.07 % |
Belgium |
| 0.05 % |
Chile |
| 0.05 % |
Kuwait |
| 0.04 % |
Morocco |
| 0.04 % |
Cayman Islands |
| 0.02 % |
Trinidad and Tobago |
| 0.02 % |
Cash & Cash Equivalents |
| 0.43 % |
Total Investments |
| 100.00 % |
|
|
|
Net Currency Exposure Breakdown |
| Portfolio % |
US Dollar |
| 100.25 % |
Canadian Dollar |
| 0.13 % |
Norwegian Krone |
| 0.02 % |
Argentine Peso |
| 0.01 % |
Japanese Yen |
| 0.01 % |
Australian Dollar |
| -0.01 % |
Swiss Franc |
| -0.01 % |
Colombian Peso |
| -0.13 % |
Euro |
| -0.27 % |
Total Net Assets |
| 100.00 % |
|
|
|
Credit Rating |
| Portfolio % |
AAA |
| 4.20 % |
AA |
| 0.80 % |
A |
| 2.66 % |
BBB |
| 15.72 % |
BB |
| 39.41 % |
B |
| 24.23 % |
CCC |
| 7.11 % |
CC |
| 0.23 % |
C |
| 0.11 % |
D |
| 0.04 % |
Not Rated |
| 3.14 % |
Short Term Investments |
| 0.79 % |
Reverse Repurchase Agreements |
| -0.93 % |
N/A |
| 2.49 % |
Total |
| 100.00 % |
|
|
|
Bonds by Maturity |
| Portfolio % |
Less than 1 Year |
| 4.36 % |
1 To 5 Years |
| 48.17 % |
5 To 10 Years |
| 39.28 % |
10 To 20 Years |
| 3.68 % |
20 To 30 Years |
| 1.50 % |
More than 30 Years |
| 2.30 % |
Other |
| 0.71 % |
Total Net Assets |
| 100.00 % |
|
|
|
Portfolio Statistics: |
|
|
Average Coupon: |
| 7.53 % |
Average Bond Price: |
| 89.72 |
Percentage of Leverage(based on gross assets): |
|
|
Bank Borrowing: |
| 0.00 % |
Investment Operations:* |
| 23.80 % |
Preferred Stock: |
| 0.00 % |
Tender Option Bonds: |
| 0.00 % |
VMTP Shares: |
| 0.00 % |
Total Fund Leverage: |
| 23.80 % |
Average Maturity: |
| 6.16 Years |
Effective Duration: |
| 4.04 Years |
Total Net Assets: |
| $914.71 Million |
Net Asset Value: |
| $10.61 |
Total Number of Holdings: |
| 1,521 |
Portfolio Turnover: |
| 40.00 % |