Top 10 Fixed-Income Holdings
Portfolio %
1) U.S. Treasury Notes 2.25%, 02/15/27
1.10 %
2) CCO Holdings 4.50%, 08/15/30 – 06/01/33
0.68 %
3) Dominican Republic Intl Bond 8.625%, 04/20/27
0.65 %
4) CCO Holdings 4.75%, 02/01/32
0.61 %
5) Sirius XM Radio, Inc. 4.00%, 07/15/28
0.57 %
6) Royal Caribbean Cruises 5.50%, 08/31/26 – 04/01/28
0.55 %
7) AMMC CLO 25 Ltd. 12.898%, 04/15/35
0.52 %
8) Ford Motor Credit Co. LLC 7.35%, 11/04/27
0.50 %
9) Ford Motor Co. 6.10%, 08/19/32
0.47 %
10) Carnival Holdings Bermuda 10.375%, 05/01/28
0.44 %
Investment Type
Portfolio %
Corporates – Non-Investment Grade
Industrial
Communications – Media
7.04 %
Consumer Non-Cyclical
6.73 %
Energy
4.60 %
Capital Goods
4.01 %
Consumer Cyclical – Other
3.34 %
Services
3.25 %
Consumer Cyclical – Entertainment
2.85 %
Basic
2.83 %
Consumer Cyclical – Automotive
2.65 %
Technology
2.64 %
Communications – Telecommunications
2.57 %
Consumer Cyclical – Retailers
2.47 %
Transportation – Services
0.91 %
Transportation – Airlines
0.82 %
Consumer Cyclical – Restaurants
0.37 %
Other Industrial
0.24 %
SUBTOTAL
47.32 %
Credit Default Swaps
20.28 %
Financial Institutions
Finance
2.16 %
REITs
1.05 %
Brokerage
0.83 %
Insurance
0.47 %
Other Finance
0.35 %
Banking
0.15 %
SUBTOTAL
5.01 %
Utility
Electric
0.63 %
Natural Gas
0.15 %
Other Utility
0.15 %
SUBTOTAL
0.93 %
SUBTOTAL
73.54 %
Corporates – Investment Grade
Industrial
Consumer Cyclical – Automotive
3.11 %
Energy
2.08 %
Basic
1.02 %
Consumer Cyclical – Other
0.87 %
Consumer Non-Cyclical
0.87 %
Communications – Media
0.67 %
Transportation – Airlines
0.35 %
Technology
0.23 %
Consumer Cyclical – Entertainment
0.22 %
Other Industrial
0.22 %
Communications – Telecommunications
0.18 %
Consumer Cyclical – Retailers
0.18 %
Services
0.18 %
Capital Goods
0.14 %
Transportation – Railroads
0.04 %
Transportation – Services
0.03 %
SUBTOTAL
10.39 %
Financial Institutions
Banking
6.12 %
Finance
1.15 %
Insurance
1.11 %
REITs
0.21 %
Brokerage
0.15 %
SUBTOTAL
8.74 %
Utility
Electric
0.59 %
SUBTOTAL
0.59 %
SUBTOTAL
19.72 %
Interest Rate Futures
10.37 %
Emerging Markets – Corporate Bonds
Industrial
Basic
1.34 %
Consumer Cyclical – Other
1.19 %
Energy
0.74 %
Consumer Non-Cyclical
0.72 %
Capital Goods
0.36 %
Technology
0.20 %
Communications – Telecommunications
0.11 %
Communications – Media
0.10 %
Services
0.04 %
Transportation – Services
0.02 %
SUBTOTAL
4.82 %
Utility
Electric
0.33 %
SUBTOTAL
0.33 %
Financial Institutions
Banking
0.14 %
Finance
0.02 %
Other Finance
0.02 %
SUBTOTAL
0.18 %
SUBTOTAL
5.33 %
Collateralized Loan Obligations
CLO – Floating Rate
4.93 %
SUBTOTAL
4.93 %
Collateralized Mortgage Obligations
Risk Share Floating Rate
3.05 %
Non-Agency Fixed Rate
0.36 %
Non-Agency Floating Rate
0.31 %
Agency Fixed Rate
0.29 %
SUBTOTAL
4.01 %
Bank Loans
Industrial
Communications – Telecommunications
0.72 %
Consumer Non-Cyclical
0.66 %
Technology
0.56 %
Energy
0.41 %
Capital Goods
0.33 %
Other Industrial
0.31 %
Communications – Media
0.25 %
Consumer Cyclical – Automotive
0.09 %
Consumer Cyclical – Retailers
0.05 %
Consumer Cyclical – Restaurants
0.02 %
SUBTOTAL
3.40 %
Financial Institutions
Insurance
0.17 %
Finance
0.03 %
SUBTOTAL
0.20 %
Utility
Electric
0.19 %
SUBTOTAL
0.19 %
SUBTOTAL
3.79 %
Emerging Markets – Sovereigns
Emerging Markets – Sovereigns
2.29 %
Credit Default Swaps
0.28 %
SUBTOTAL
2.57 %
U.S. Govt & Agency Securities
2.03 %
Commercial Mortgage-Backed Securities
Credit Default Swaps
1.43 %
Non-Agency Fixed Rate CMBS
0.56 %
Non-Agency Floating Rate CMBS
0.03 %
SUBTOTAL
2.02 %
Total Return Swaps
1.03 %
Quasi-Sovereigns
Quasi-Sovereign Bonds
0.73 %
SUBTOTAL
0.73 %
Common Stocks
0.62 %
Local Governments – US Municipal Bonds
0.42 %
Forward Currency Exchange Contracts
Currency Instruments
0.23 %
SUBTOTAL
0.23 %
Inflation-Linked Securities
0.21 %
Asset-Backed Securities
Autos – Fixed Rate
0.08 %
Other ABS – Fixed Rate
0.07 %
Other ABS – Floating Rate
0.01 %
SUBTOTAL
0.16 %
Preferred Stocks
Industrials
0.10 %
SUBTOTAL
0.10 %
EM Government Agencies
0.06 %
Options Purchased – Puts
Options on Equity Indices
0.05 %
SUBTOTAL
0.05 %
Put Options Written
-0.02 %
Reverse Repurchase Agreements
-1.38 %
Cash & Cash Equivalents
Cash
2.77 %
Funds and Investment Trusts
0.42 %
SUBTOTAL
3.19 %
Derivative Offsets
Futures Offsets
-10.53 %
Swap Offsets
-23.18 %
SUBTOTAL
-33.71 %
TOTAL
100.00 %
Country Breakdown
Portfolio %
United States
72.13 %
United Kingdom
3.84 %
France
2.17 %
Germany
1.85 %
Canada
1.68 %
Luxembourg
1.68 %
Brazil
1.35 %
Spain
1.12 %
Mexico
1.05 %
Italy
0.98 %
Colombia
0.87 %
India
0.82 %
Australia
0.72 %
Dominican Republic
0.66 %
Macau
0.62 %
Hong Kong
0.61 %
China
0.55 %
Nigeria
0.55 %
Israel
0.50 %
Switzerland
0.41 %
South Africa
0.34 %
Angola
0.33 %
Finland
0.32 %
Ireland
0.32 %
Kazakhstan
0.30 %
Netherlands
0.30 %
Norway
0.30 %
Peru
0.29 %
Turkey
0.28 %
Zambia
0.25 %
Japan
0.23 %
Ukraine
0.22 %
Indonesia
0.21 %
El Salvador
0.20 %
Egypt
0.15 %
Slovenia
0.15 %
Guatemala
0.13 %
Jersey (Channel Islands)
0.13 %
Argentina
0.12 %
Czech Republic
0.12 %
Sweden
0.11 %
South Korea
0.10 %
Venezuela
0.09 %
Jamaica
0.07 %
Chile
0.05 %
Gabon
0.05 %
Ghana
0.05 %
Panama
0.05 %
Senegal
0.05 %
Kuwait
0.04 %
Cayman Islands
0.02 %
Ecuador
0.02 %
Trinidad and Tobago
0.02 %
Cash & Cash Equivalents
0.43 %
Total Investments
100.00 %
Net Currency Exposure Breakdown
Portfolio %
US Dollar
100.11 %
Canadian Dollar
0.19 %
Pound Sterling
0.07 %
Norwegian Krone
0.02 %
Chilean Peso
0.01 %
South African Rand
0.01 %
Peruvian Sol
-0.01 %
Singapore Dollar
-0.01 %
Colombian Peso
-0.15 %
Euro
-0.24 %
Total Net Assets
100.00 %
Credit Rating
Portfolio %
AAA
3.70 %
AA
0.90 %
A
2.62 %
BBB
19.69 %
BB
38.86 %
B
23.08 %
CCC
6.49 %
CC
0.12 %
C
0.09 %
Not Rated
3.40 %
Short Term Investments
0.42 %
Reverse Repurchase Agreements
-1.38 %
N/A
2.01 %
Total
100.00 %
Bonds by Maturity
Portfolio %
Less than 1 Year
4.07 %
1 To 5 Years
51.54 %
5 To 10 Years
36.47 %
10 To 20 Years
3.50 %
20 To 30 Years
2.45 %
More than 30 Years
1.35 %
Other
0.62 %
Total Net Assets
100.00 %
Portfolio Statistics:
Average Coupon:
7.69 %
Average Bond Price:
89.76
Percentage of Leverage(based on gross assets):
Bank Borrowing:
0.00 %
Investment Operations:*
24.43 %
Preferred Stock:
0.00 %
Tender Option Bonds:
0.00 %
VMTP Shares:
0.00 %
Total Fund Leverage:
24.43 %
Average Maturity:
6.64 Years
Effective Duration:
3.90 Years
Total Net Assets:
$907.97 Million
Net Asset Value:
$10.53
Total Number of Holdings:
1,402
Portfolio Turnover:
40.00 %
* Investment Operations may include the use of certain portfolio management
techniques such as credit default swaps, dollar rolls, negative cash, reverse
repurchase agreements and when-issued securities.