Top 10
Fixed-Income Holdings
|
|
Portfolio
%
|
1) U.S. Treasury
Notes 2.25%, 2/15/27
|
|
1.80%
|
2) U.S. Treasury
Notes 2.875%, 8/15/28
|
|
1.27%
|
3) CCO Holdings
LLC/CCO Holdings Capital Corp. 4.50%, 8/15/30 -
6/01/33
|
|
0.70%
|
4) Dominican Republic
International Bond 8.625%, 4/20/27
|
|
0.62%
|
5) Sirius XM Radio,
Inc. 4.00%, 7/15/28
|
|
0.59%
|
6) Altice France
SA/France 5.125%, 7/15/29
|
|
0.56%
|
7) Altice Financing
SA 5.75%, 8/15/29
|
|
0.51%
|
8) Argentine Republic
Government International Bond 1.125%,
7/09/35
|
|
0.50%
|
9) Royal Caribbean
Cruises Ltd. 5.50%, 8/31/26 - 4/01/28
|
|
0.48%
|
10) Nigeria
Government International Bond 7.625%, 11/21/25 -
11/28/47
|
|
0.47%
|
|
|
|
Investment
Type
|
|
Portfolio
%
|
Corporates -
Non-Investment Grade
|
|
|
Industrial
|
|
|
Energy
|
|
6.84%
|
Communications -
Media
|
|
5.77%
|
Consumer
Non-Cyclical
|
|
5.27%
|
Services
|
|
3.47%
|
Basic
|
|
3.10%
|
Communications -
Telecommunications
|
|
2.99%
|
Consumer Cyclical -
Automotive
|
|
2.93%
|
Technology
|
|
2.79%
|
Consumer Cyclical -
Other
|
|
2.70%
|
Capital
Goods
|
|
2.63%
|
Consumer Cyclical -
Entertainment
|
|
2.38%
|
Consumer Cyclical -
Retailers
|
|
2.19%
|
Consumer Cyclical -
Restaurants
|
|
0.65%
|
Transportation -
Services
|
|
0.53%
|
Transportation -
Airlines
|
|
0.47%
|
Other
Industrial
|
|
0.18%
|
SUBTOTAL
|
|
44.89%
|
Credit Default
Swaps
|
|
21.72%
|
SUBTOTAL
|
|
21.72%
|
Financial
Institutions
|
|
|
Banking
|
|
2.23%
|
Finance
|
|
1.69%
|
REITS
|
|
1.26%
|
Insurance
|
|
0.89%
|
Brokerage
|
|
0.29%
|
Other
Finance
|
|
0.24%
|
SUBTOTAL
|
|
6.60%
|
Utility
|
|
|
Electric
|
|
1.01%
|
Other
Utility
|
|
0.14%
|
SUBTOTAL
|
|
1.15%
|
SUBTOTAL
|
|
74.36%
|
Corporates -
Investment Grade
|
|
|
Financial
Institutions
|
|
|
Banking
|
|
3.59%
|
Insurance
|
|
1.69%
|
Finance
|
|
0.57%
|
Brokerage
|
|
0.12%
|
REITS
|
|
0.12%
|
Other
Finance
|
|
0.02%
|
SUBTOTAL
|
|
6.11%
|
Industrial
|
|
|
Basic
|
|
0.94%
|
Communications -
Telecommunications
|
|
0.75%
|
Consumer Cyclical -
Other
|
|
0.55%
|
Energy
|
|
0.50%
|
Consumer
Non-Cyclical
|
|
0.49%
|
Transportation -
Airlines
|
|
0.43%
|
Technology
|
|
0.32%
|
Capital
Goods
|
|
0.21%
|
Other
Industrial
|
|
0.17%
|
Consumer Cyclical -
Automotive
|
|
0.11%
|
Communications -
Media
|
|
0.05%
|
Consumer Cyclical -
Retailers
|
|
0.04%
|
Services
|
|
0.02%
|
SUBTOTAL
|
|
4.58%
|
SUBTOTAL
|
|
10.69%
|
Collateralized
Mortgage Obligations
|
|
|
Risk Share Floating
Rate
|
|
6.30%
|
Non-Agency Fixed
Rate
|
|
0.49%
|
Non-Agency Floating
Rate
|
|
0.43%
|
Agency Fixed
Rate
|
|
0.37%
|
SUBTOTAL
|
|
7.59%
|
Emerging Markets -
Sovereigns
|
|
|
Emerging Markets -
Sovereigns
|
|
7.20%
|
Credit Default
Swaps
|
|
0.23%
|
SUBTOTAL
|
|
7.43%
|
Commercial
Mortgage-Backed Securities
|
|
|
Credit Default
Swaps
|
|
4.02%
|
Non-Agency Fixed Rate
CMBS
|
|
1.02%
|
Non-Agency Floating
Rate CMBS
|
|
0.02%
|
SUBTOTAL
|
|
5.06%
|
Emerging Markets -
Corporate Bonds
|
|
|
Industrial
|
|
|
Basic
|
|
1.57%
|
Energy
|
|
0.76%
|
Consumer Cyclical -
Other
|
|
0.62%
|
Communications -
Telecommunications
|
|
0.40%
|
Capital
Goods
|
|
0.34%
|
Consumer
Non-Cyclical
|
|
0.16%
|
Communications -
Media
|
|
0.07%
|
Services
|
|
0.03%
|
SUBTOTAL
|
|
3.95%
|
Utility
|
|
|
Electric
|
|
0.36%
|
SUBTOTAL
|
|
0.36%
|
Financial
Institutions
|
|
|
REITS
|
|
0.13%
|
Banking
|
|
0.05%
|
Insurance
|
|
0.04%
|
Other
Finance
|
|
0.02%
|
Finance
|
|
0.02%
|
SUBTOTAL
|
|
0.26%
|
SUBTOTAL
|
|
4.57%
|
Interest Rate
Futures
|
|
4.55%
|
Bank Loans
|
|
|
Industrial
|
|
|
Consumer
Non-Cyclical
|
|
0.86%
|
Communications -
Telecommunications
|
|
0.71%
|
Technology
|
|
0.63%
|
Capital
Goods
|
|
0.54%
|
Energy
|
|
0.26%
|
Consumer Cyclical -
Retailers
|
|
0.24%
|
Communications -
Media
|
|
0.21%
|
Consumer Cyclical -
Other
|
|
0.20%
|
Services
|
|
0.18%
|
Other
Industrial
|
|
0.17%
|
Consumer Cyclical -
Restaurants
|
|
0.07%
|
Consumer Cyclical -
Automotive
|
|
0.04%
|
SUBTOTAL
|
|
4.11%
|
Financial
Institutions
|
|
|
Insurance
|
|
0.22%
|
SUBTOTAL
|
|
0.22%
|
Utility
|
|
|
Electric
|
|
0.22%
|
SUBTOTAL
|
|
0.22%
|
SUBTOTAL
|
|
4.55%
|
Global
Governments
|
|
3.91%
|
Collateralized Loan
Obligations
|
|
|
CLO - Floating
Rate
|
|
1.83%
|
SUBTOTAL
|
|
1.83%
|
Common
Stocks
|
|
1.80%
|
Quasi-Sovereigns
|
|
|
Quasi-Sovereign
Bonds
|
|
1.35%
|
SUBTOTAL
|
|
1.35%
|
Total Return
Swaps
|
|
0.95%
|
Asset-Backed
Securities
|
|
|
Other ABS - Fixed
Rate
|
|
0.25%
|
Home Equity Loans -
Fixed Rate
|
|
0.21%
|
Autos - Fixed
Rate
|
|
0.17%
|
Home Equity Loans -
Floating Rate
|
|
0.01%
|
SUBTOTAL
|
|
0.64%
|
Local Governments -
US Municipal Bonds
|
|
0.47%
|
Preferred
Stocks
|
|
|
Industrial
|
|
0.34%
|
Financial
Institutions
|
|
0.10%
|
SUBTOTAL
|
|
0.44%
|
Inflation-Linked
Securities
|
|
0.23%
|
Warrants
|
|
0.05%
|
Currency
Instruments
|
|
|
Forward Currency
Exchange Contracts
|
|
0.01%
|
SUBTOTAL
|
|
0.01%
|
Reverse Repurchase
Agreements
|
|
-0.06%
|
Net Cash
Equivalents
|
|
|
Investment
Companies
|
|
1.48%
|
Cash
|
|
0.71%
|
Foreign
Currency
|
|
-0.02%
|
SUBTOTAL
|
|
2.17%
|
Derivative
Offsets
|
|
|
Futures
Offsets
|
|
-4.53%
|
Swaps
Offsets
|
|
-28.06%
|
SUBTOTAL
|
|
-32.59%
|
Total
|
|
100.00%
|
|
|
|
Country
Breakdown
|
|
Portfolio
%
|
United
States
|
|
72.27%
|
United
Kingdom
|
|
2.84%
|
Canada
|
|
2.21%
|
Luxembourg
|
|
1.52%
|
France
|
|
1.48%
|
Mexico
|
|
1.43%
|
Brazil
|
|
1.24%
|
Spain
|
|
0.94%
|
Switzerland
|
|
0.85%
|
Argentina
|
|
0.82%
|
Nigeria
|
|
0.80%
|
Egypt
|
|
0.74%
|
Ukraine
|
|
0.72%
|
Germany
|
|
0.72%
|
Bahrain
|
|
0.67%
|
Dominican
Republic
|
|
0.63%
|
Italy
|
|
0.58%
|
Ivory
Coast
|
|
0.57%
|
Zambia
|
|
0.52%
|
Colombia
|
|
0.51%
|
Oman
|
|
0.51%
|
Finland
|
|
0.48%
|
Sweden
|
|
0.44%
|
Ghana
|
|
0.40%
|
Netherlands
|
|
0.40%
|
Angola
|
|
0.40%
|
China
|
|
0.38%
|
Senegal
|
|
0.36%
|
Macau
|
|
0.36%
|
Gabon
|
|
0.34%
|
Australia
|
|
0.30%
|
Jersey (Channel
Islands)
|
|
0.30%
|
El
Salvador
|
|
0.27%
|
Turkey
|
|
0.26%
|
Jamaica
|
|
0.25%
|
Indonesia
|
|
0.24%
|
Hong Kong
|
|
0.24%
|
Israel
|
|
0.23%
|
Peru
|
|
0.23%
|
India
|
|
0.20%
|
Ecuador
|
|
0.18%
|
Bermuda
|
|
0.17%
|
South
Africa
|
|
0.15%
|
Denmark
|
|
0.13%
|
Chile
|
|
0.13%
|
Japan
|
|
0.11%
|
Panama
|
|
0.10%
|
Trinidad &
Tobago
|
|
0.09%
|
Venezuela
|
|
0.07%
|
Ireland
|
|
0.07%
|
Kuwait
|
|
0.04%
|
Morocco
|
|
0.04%
|
Cayman
Islands
|
|
0.02%
|
Belgium
|
|
0.02%
|
Czech
Republic
|
|
0.02%
|
Norway
|
|
0.01%
|
Total
Investments
|
|
100.00%
|
|
|
|
Net Currency
Exposure Breakdown
|
|
Portfolio
%
|
United States
Dollar
|
|
100.48%
|
Canadian
Dollar
|
|
0.11%
|
Great British
Pound
|
|
0.02%
|
Argentine
Peso
|
|
0.01%
|
Indian
Rupee
|
|
0.01%
|
Malaysian
Ringgit
|
|
0.01%
|
Norwegian
Krone
|
|
0.01%
|
Polish
Zloty
|
|
0.01%
|
Russian
Rubles
|
|
0.01%
|
Brazilian
Real
|
|
-0.01%
|
Chinese Yuan Renminbi
(Offshore)
|
|
-0.01%
|
Japanese
Yen
|
|
-0.01%
|
New Zealand
Dollar
|
|
-0.01%
|
Colombian
Peso
|
|
-0.10%
|
Euro
|
|
-0.53%
|
Total Net
Assets
|
|
100.00%
|
|
|
|
Credit
Rating
|
|
Portfolio
%
|
AAA
|
|
3.19%
|
AA
|
|
0.31%
|
A
|
|
0.82%
|
BBB
|
|
14.97%
|
BB
|
|
33.79%
|
B
|
|
27.07%
|
CCC
|
|
8.73%
|
CC
|
|
0.21%
|
C
|
|
0.14%
|
D
|
|
0.21%
|
Not Rated
|
|
4.86%
|
Short Term
Investments
|
|
1.48%
|
Reverse Repurchase
Agreements
|
|
-0.06%
|
N/A
|
|
4.28%
|
Total
|
|
100.00%
|
|
|
|
Bonds By
Maturity
|
|
Portfolio
%
|
Less than 1
year
|
|
9.42%
|
1 to 5
years
|
|
54.96%
|
5 to 10
years
|
|
24.62%
|
10 to 20
years
|
|
5.42%
|
20 to 30
years
|
|
3.49%
|
More Than 30
years
|
|
0.24%
|
Other
|
|
1.85%
|
Total Net
Assets
|
|
100.00%
|
|
|
|
Portfolio
Statistics:
|
|
|
Average
Coupon:
|
|
6.98%
|
Average Bond
Price:
|
|
104.08
|
Percentage of
Leverage(based on gross assets):
|
|
Bank
Borrowing:
|
|
0.00%
|
Investment
Operations:
|
|
27.32%
|
Preferred
stock:
|
|
0.00%
|
Tender Option
Bonds:
|
|
0.00%
|
VMTP
Shares:
|
|
0.00%
|
Total Fund
Leverage:
|
|
27.32%
|
Average
Maturity:
|
|
5.35
Years
|
Effective
Duration:
|
|
4.38
Years
|
Total Net
Assets:
|
|
$1,129.28
Million
|
Net Asset
Value:
|
|
$13.10
|
Number of
Holdings:
|
|
1563
|
Portfolio
Turnover:
|
|
51%
|
|
|
|