Top 10 Fixed-Income Holdings |
| Portfolio % |
1) U.S. Treasury Notes 2.25%, 2/15/27 |
| 2.47% |
2) Brazil Notas do Tesouro Nacional Series F 10.00%, 1/01/21 | 1.70% |
3) U.S. Treasury Notes 2.875%, 8/15/28 |
| 1.56% |
4) Argentine Republic Government International Bond 0.125%, 7/09/30 - 7/09/41 | 0.84% |
5) Indonesia Treasury Bond Series FR78 8.25%, 5/15/29 | 0.72% |
6) Dominican Republic International Bond 8.625%, 4/20/27 | 0.65% |
7) Colombian TES Series B 10.00%, 7/24/24 | 0.55% |
8) Nigeria Government International Bond 7.625%, 11/21/25 - 11/28/47 | 0.51% |
9) Ukraine Government International Bond 7.75%, 9/01/22 - 9/01/24 | 0.50% |
10) U.S. Treasury Bonds 5.25%, 2/15/29 |
| 0.44% |
|
|
|
Investment Type |
| Portfolio % |
Corporates - Non-Investment Grade |
|
|
Industrial |
|
|
Communications - Media |
| 3.31% |
Energy |
| 3.19% |
Consumer Non-Cyclical |
| 2.92% |
Consumer Cyclical - Other |
| 2.80% |
Basic |
| 2.67% |
Capital Goods |
| 2.48% |
Services |
| 2.36% |
Consumer Cyclical - Automotive |
| 2.15% |
Communications - Telecommunications |
| 2.04% |
Consumer Cyclical - Retailers |
| 1.66% |
Technology |
| 1.59% |
Consumer Cyclical - Entertainment |
| 1.45% |
Transportation - Services |
| 0.55% |
Other Industrial |
| 0.34% |
Consumer Cyclical - Restaurants |
| 0.31% |
Transportation - Airlines |
| 0.17% |
SUBTOTAL |
| 29.99% |
Credit Default Swaps |
| 28.85% |
SUBTOTAL |
| 28.85% |
Financial Institutions |
|
|
Banking |
| 2.41% |
Finance |
| 0.93% |
Insurance |
| 0.80% |
REITS |
| 0.78% |
Brokerage |
| 0.48% |
Other Finance |
| 0.44% |
SUBTOTAL |
| 5.84% |
Utility |
|
|
Electric |
| 0.55% |
SUBTOTAL |
| 0.55% |
SUBTOTAL |
| 65.23% |
Corporates - Investment Grade |
|
|
Financial Institutions |
|
|
Banking |
| 5.40% |
Insurance |
| 2.00% |
Finance |
| 0.63% |
REITS |
| 0.45% |
Brokerage |
| 0.14% |
Other Finance |
| 0.02% |
SUBTOTAL |
| 8.64% |
Industrial |
|
|
Energy |
| 1.47% |
Basic |
| 0.98% |
Consumer Cyclical - Other |
| 0.93% |
Technology |
| 0.74% |
Consumer Cyclical - Automotive |
| 0.74% |
Transportation - Airlines |
| 0.49% |
Consumer Non-Cyclical |
| 0.41% |
Transportation - Services |
| 0.35% |
Communications - Telecommunications |
| 0.29% |
Capital Goods |
| 0.18% |
Other Industrial |
| 0.16% |
Services |
| 0.13% |
Communications - Media |
| 0.13% |
SUBTOTAL |
| 7.00% |
Utility |
|
|
Electric |
| 0.06% |
SUBTOTAL |
| 0.06% |
SUBTOTAL |
| 15.70% |
Emerging Markets - Sovereigns |
|
|
Emerging Markets - Sovereigns |
| 10.81% |
Credit Default Swaps |
| 0.48% |
SUBTOTAL |
| 11.29% |
Collateralized Mortgage Obligations |
|
|
Risk Share Floating Rate |
| 8.40% |
Non-Agency Fixed Rate |
| 0.66% |
Non-Agency Floating Rate |
| 0.55% |
Agency Fixed Rate |
| 0.51% |
SUBTOTAL |
| 10.12% |
Global Governments |
| 7.56% |
Interest Rate Futures |
| 6.24% |
Commercial Mortgage-Backed Securities |
|
|
Credit Default Swaps |
| 4.63% |
Non-Agency Fixed Rate CMBS |
| 1.30% |
Non-Agency Floating Rate CMBS |
| 0.09% |
SUBTOTAL |
| 6.02% |
Bank Loans |
|
|
Industrial |
|
|
Consumer Non-Cyclical |
| 0.90% |
Technology |
| 0.77% |
Capital Goods |
| 0.55% |
Consumer Cyclical - Other |
| 0.53% |
Services |
| 0.53% |
Communications - Media |
| 0.33% |
Energy |
| 0.20% |
Consumer Cyclical - Retailers |
| 0.16% |
Other Industrial |
| 0.13% |
Consumer Cyclical - Restaurants |
| 0.11% |
Communications - Telecommunications |
| 0.10% |
Consumer Cyclical - Entertainment |
| 0.09% |
Consumer Cyclical - Automotive |
| 0.08% |
Basic |
| 0.05% |
Transportation - Airlines |
| 0.02% |
SUBTOTAL |
| 4.55% |
Utility |
|
|
Electric |
| 0.19% |
SUBTOTAL |
| 0.19% |
Financial Institutions |
|
|
Insurance |
| 0.13% |
Finance |
| 0.03% |
SUBTOTAL |
| 0.16% |
SUBTOTAL |
| 4.90% |
Emerging Markets - Corporate Bonds |
|
|
Industrial |
|
|
Basic |
| 1.30% |
Energy |
| 0.66% |
Consumer Cyclical - Other |
| 0.47% |
Consumer Non-Cyclical |
| 0.43% |
Communications - Telecommunications |
| 0.29% |
Capital Goods |
| 0.23% |
Communications - Media |
| 0.08% |
Transportation - Services |
| 0.05% |
SUBTOTAL |
| 3.51% |
Utility |
|
|
Electric |
| 0.40% |
SUBTOTAL |
| 0.40% |
Financial Institutions |
|
|
Insurance |
| 0.07% |
Banking |
| 0.05% |
SUBTOTAL |
| 0.12% |
SUBTOTAL |
| 4.03% |
Emerging Markets - Treasuries |
| 1.70% |
Total Return Swaps |
| 1.36% |
Collateralized Loan Obligations |
|
|
CLO - Floating Rate |
| 1.32% |
SUBTOTAL |
| 1.32% |
Quasi-Sovereigns |
|
|
Quasi-Sovereign Bonds |
| 1.22% |
SUBTOTAL |
| 1.22% |
Asset-Backed Securities |
|
|
Other ABS - Fixed Rate |
| 0.50% |
Autos - Fixed Rate |
| 0.28% |
Home Equity Loans - Fixed Rate |
| 0.28% |
Home Equity Loans - Floating Rate |
| 0.01% |
SUBTOTAL |
| 1.07% |
Common Stocks |
| 1.06% |
Investment Companies |
|
|
Funds and Investment Trusts |
| 0.52% |
SUBTOTAL |
| 0.52% |
Local Governments - US Municipal Bonds |
| 0.37% |
Preferred Stocks |
|
|
Financial Institutions |
| 0.23% |
Industrial |
| 0.10% |
SUBTOTAL |
| 0.33% |
Inflation-Linked Securities |
| 0.24% |
Currency Instruments |
|
|
Forward Currency Exchange Contracts |
| 0.16% |
SUBTOTAL |
| 0.16% |
Warrants |
| 0.03% |
Options Purchased - Puts |
|
|
Swaptions |
| 0.02% |
SUBTOTAL |
| 0.02% |
Whole Loan Trusts |
|
|
Performing Asset |
| 0.01% |
SUBTOTAL |
| 0.01% |
Reverse Repurchase Agreements |
| -0.05% |
Net Cash Equivalents |
|
|
Cash |
| 2.18% |
Investment Companies |
| 0.64% |
Governments - Treasuries |
| 0.28% |
Foreign Currency |
| -0.03% |
SUBTOTAL |
| 3.07% |
Derivative Offsets |
|
|
Futures Offsets |
| -6.40% |
Swaps Offsets |
| -37.12% |
SUBTOTAL |
| -43.52% |
Total |
| 100.00% |
|
|
|
Country Breakdown |
| Portfolio % |
United States |
| 64.84% |
Brazil |
| 4.47% |
United Kingdom |
| 2.69% |
Mexico |
| 1.68% |
Canada |
| 1.62% |
Egypt |
| 1.34% |
France |
| 1.14% |
Colombia |
| 1.11% |
Dominican Republic |
| 1.03% |
Indonesia |
| 0.98% |
Cayman Islands |
| 0.97% |
Netherlands |
| 0.94% |
Italy |
| 0.92% |
Argentina |
| 0.89% |
Switzerland |
| 0.89% |
Luxembourg |
| 0.83% |
Nigeria |
| 0.82% |
Ukraine |
| 0.80% |
Bahrain |
| 0.76% |
Spain |
| 0.67% |
Russia |
| 0.67% |
Ivory Coast |
| 0.60% |
Ireland |
| 0.56% |
South Africa |
| 0.53% |
Kenya |
| 0.51% |
Oman |
| 0.47% |
Bermuda |
| 0.43% |
Gabon |
| 0.42% |
Senegal |
| 0.40% |
Finland |
| 0.39% |
Ghana |
| 0.37% |
Angola |
| 0.36% |
Sweden |
| 0.34% |
Germany |
| 0.30% |
Honduras |
| 0.30% |
Ecuador |
| 0.29% |
Zambia |
| 0.28% |
Macau |
| 0.28% |
El Salvador |
| 0.27% |
Denmark |
| 0.27% |
Costa Rica |
| 0.26% |
Israel |
| 0.22% |
Hong Kong |
| 0.19% |
Turkey |
| 0.19% |
Chile |
| 0.19% |
Mongolia |
| 0.18% |
Norway |
| 0.16% |
Australia |
| 0.15% |
Jamaica |
| 0.14% |
Peru |
| 0.13% |
Japan |
| 0.10% |
China |
| 0.08% |
Kazakhstan |
| 0.08% |
Venezuela |
| 0.07% |
Guatemala |
| 0.06% |
Jordan |
| 0.06% |
United Arab Emirates |
| 0.06% |
Iraq |
| 0.06% |
Morocco |
| 0.05% |
Sri Lanka |
| 0.05% |
Kuwait |
| 0.04% |
Lebanon |
| 0.03% |
Pakistan |
| 0.02% |
Total Investments |
| 100.00% |
|
|
|
Net Currency Exposure Breakdown |
| Portfolio % |
United States Dollar |
| 101.22% |
Egypt Pound |
| 0.28% |
Nigerian Naira |
| 0.06% |
Great British Pound |
| 0.03% |
Argentine Peso |
| 0.02% |
Indian Rupee |
| 0.01% |
Malaysian Ringgit |
| 0.01% |
Canadian Dollar |
| -0.01% |
Swiss Franc |
| -0.01% |
Chinese Yuan Renminbi (Offshore) |
| -0.01% |
Polish Zloty |
| -0.01% |
Brazilian Real |
| -0.05% |
Colombian Peso |
| -0.06% |
Australian Dollar |
| -0.25% |
New Zealand Dollar |
| -0.25% |
Russian Rubles |
| -0.26% |
Euro |
| -0.72% |
Total Net Assets |
| 100.00% |
|
|
|
Credit Rating |
| Portfolio % |
AAA |
| 7.15% |
AA |
| 1.04% |
A |
| 1.35% |
BBB |
| 22.46% |
BB |
| 26.49% |
B |
| 22.11% |
CCC |
| 8.34% |
CC |
| 0.67% |
C |
| 0.11% |
D |
| 0.37% |
Not Rated |
| 5.82% |
Short Term Investments |
| 0.92% |
Reverse Repurchase Agreements |
| -0.05% |
N/A |
| 3.22% |
Total |
| 100.00% |
|
|
|
Bonds By Maturity |
| Portfolio % |
Less than 1 year |
| 4.56% |
1 to 5 years |
| 56.13% |
5 to 10 years |
| 26.87% |
10 to 20 years |
| 7.01% |
20 to 30 years |
| 3.91% |
More Than 30 years |
| 0.43% |
Other |
| 1.09% |
Total Net Assets |
| 100.00% |
|
|
|
Portfolio Statistics: |
|
|
Average Coupon: |
| 7.64% |
Average Bond Price: |
| 101.63 |
Percentage of Leverage(based on gross assets): |
|
Bank Borrowing: |
| 0.00% |
Investment Operations: |
| 29.61% |
Preferred stock: |
| 0.00% |
Tender Option Bonds: |
| 0.00% |
VMTP Shares: |
| 0.00% |
Total Fund Leverage: |
| 29.61% |
Average Maturity: |
| 5.92 Years |
Effective Duration: |
| 4.47 Years |
Total Net Assets: |
| $1,044.48 Million |
Net Asset Value: |
| $12.11 |
Number of Holdings: |
| 1507 |
Portfolio Turnover: |
| 32% |