Top 10 Fixed-Income Holdings
Portfolio %
1) U.S. Treasury Notes 2.25%, 02/15/27
1.06 %
2) CCO Holdings 4.50%, 08/15/30 – 06/01/33
0.63 %
3) Dominican Republic Intl Bond 8.625%, 04/20/27
0.62 %
4) CCO Holdings 4.75%, 02/01/32
0.58 %
5) Royal Caribbean Cruises 5.50%, 08/31/26 – 04/01/28
0.53 %
6) AMMC CLO 25 Ltd. 12.919%, 04/15/35
0.53 %
7) Palmer Square CLO Ltd. 11.74%, 01/15/35
0.43 %
8) Allied Universal Holdco/Allied Universal Finance Corp. 4.625%, 06/01/28
0.42 %
9) Carnival Holdings Bermuda 10.375%, 05/01/28
0.41 %
10) Balboa Bay Loan Funding 13.255%, 04/20/34
0.39 %
Investment Type
Portfolio %
Corporates – Non-Investment Grade
Industrial
Energy
6.96 %
Consumer Non-Cyclical
6.73 %
Communications – Media
6.49 %
Capital Goods
4.29 %
Basic
3.52 %
Services
3.40 %
Consumer Cyclical – Other
3.18 %
Consumer Cyclical – Retailers
2.86 %
Technology
2.76 %
Communications – Telecommunications
2.47 %
Consumer Cyclical – Automotive
2.42 %
Consumer Cyclical – Entertainment
2.27 %
Transportation – Services
1.14 %
Transportation – Airlines
0.84 %
Consumer Cyclical – Restaurants
0.24 %
Other Industrial
0.23 %
SUBTOTAL
49.80 %
Credit Default Swaps
16.41 %
Financial Institutions
Finance
2.24 %
REITs
1.28 %
Insurance
1.07 %
Brokerage
0.82 %
Banking
0.36 %
Other Finance
0.36 %
SUBTOTAL
6.13 %
Utility
Electric
0.48 %
Natural Gas
0.07 %
SUBTOTAL
0.55 %
SUBTOTAL
72.89 %
Corporates – Investment Grade
Industrial
Consumer Cyclical – Automotive
2.13 %
Energy
1.67 %
Consumer Non-Cyclical
1.08 %
Communications – Media
0.99 %
Basic
0.94 %
Consumer Cyclical – Other
0.79 %
Capital Goods
0.41 %
Consumer Cyclical – Retailers
0.29 %
Transportation – Services
0.20 %
Consumer Cyclical – Entertainment
0.12 %
Transportation – Airlines
0.12 %
Communications – Telecommunications
0.09 %
Technology
0.07 %
Services
0.04 %
Transportation – Railroads
0.03 %
SUBTOTAL
8.97 %
Financial Institutions
Banking
6.57 %
Insurance
1.16 %
Finance
0.84 %
REITs
0.17 %
Brokerage
0.16 %
SUBTOTAL
8.90 %
Utility
Electric
1.08 %
Other Utility
0.05 %
SUBTOTAL
1.13 %
SUBTOTAL
19.00 %
Emerging Markets – Corporate Bonds
Industrial
Basic
1.66 %
Consumer Cyclical – Other
1.04 %
Consumer Non-Cyclical
0.77 %
Energy
0.76 %
Technology
0.20 %
Consumer Cyclical – Retailers
0.17 %
Capital Goods
0.16 %
Communications – Media
0.15 %
Consumer Cyclical – Automotive
0.05 %
Transportation – Services
0.05 %
Communications – Telecommunications
0.04 %
Services
0.04 %
SUBTOTAL
5.09 %
Utility
Electric
0.30 %
Other Utility
0.07 %
SUBTOTAL
0.37 %
Financial Institutions
Banking
0.10 %
Other Finance
0.02 %
SUBTOTAL
0.12 %
SUBTOTAL
5.58 %
Interest Rate Futures
4.22 %
Collateralized Loan Obligations
CLO – Floating Rate
3.81 %
SUBTOTAL
3.81 %
Collateralized Mortgage Obligations
Risk Share Floating Rate
2.32 %
Non-Agency Fixed Rate
0.33 %
Non-Agency Floating Rate
0.30 %
Agency Fixed Rate
0.24 %
SUBTOTAL
3.19 %
Bank Loans
Industrial
Consumer Non-Cyclical
0.55 %
Technology
0.48 %
Communications – Telecommunications
0.37 %
Energy
0.36 %
Communications – Media
0.27 %
Capital Goods
0.22 %
Other Industrial
0.22 %
Consumer Cyclical – Automotive
0.07 %
Consumer Cyclical – Retailers
0.05 %
Transportation – Airlines
0.05 %
Consumer Cyclical – Restaurants
0.02 %
SUBTOTAL
2.66 %
Financial Institutions
Insurance
0.33 %
Finance
0.02 %
SUBTOTAL
0.35 %
Utility
Electric
0.18 %
SUBTOTAL
0.18 %
SUBTOTAL
3.19 %
Emerging Markets – Sovereigns
Emerging Markets – Sovereigns
2.35 %
Credit Default Swaps
0.27 %
SUBTOTAL
2.62 %
Commercial Mortgage-Backed Securities
Credit Default Swaps
1.28 %
Non-Agency Fixed Rate CMBS
0.39 %
Non-Agency Floating Rate CMBS
0.03 %
SUBTOTAL
1.70 %
U.S. Govt & Agency Securities
1.63 %
Quasi-Sovereigns
Quasi-Sovereign Bonds
1.10 %
SUBTOTAL
1.10 %
EM Government Agencies
0.50 %
Asset-Backed Securities
Other ABS – Floating Rate
0.31 %
Autos – Fixed Rate
0.08 %
Other ABS – Fixed Rate
0.03 %
SUBTOTAL
0.42 %
Local Governments – US Municipal Bonds
0.40 %
Inflation-Linked Securities
0.25 %
Common Stocks
0.15 %
Forward Currency Exchange Contracts
Currency Instruments
0.13 %
SUBTOTAL
0.13 %
Preferred Stocks
Industrials
0.10 %
SUBTOTAL
0.10 %
Reverse Repurchase Agreements
-0.84 %
Cash & Cash Equivalents
Cash
1.53 %
Funds and Investment Trusts
0.92 %
SUBTOTAL
2.45 %
Derivative Offsets
Futures Offsets
-4.27 %
Swap Offsets
-18.22 %
SUBTOTAL
-22.49 %
TOTAL
100.00 %
Country Breakdown
Portfolio %
United States
68.36 %
United Kingdom
4.17 %
France
2.46 %
Germany
1.85 %
Spain
1.78 %
Canada
1.72 %
Brazil
1.38 %
Mexico
1.30 %
Colombia
1.29 %
Luxembourg
1.29 %
India
1.04 %
Australia
0.94 %
Italy
0.82 %
Nigeria
0.66 %
Dominican Republic
0.65 %
Chile
0.63 %
Macau
0.57 %
China
0.56 %
Hong Kong
0.54 %
Israel
0.54 %
Peru
0.52 %
Switzerland
0.50 %
Ireland
0.46 %
South Africa
0.42 %
Netherlands
0.37 %
Kazakhstan
0.36 %
Indonesia
0.33 %
Finland
0.32 %
Turkey
0.30 %
Norway
0.26 %
Zambia
0.26 %
Angola
0.25 %
Argentina
0.22 %
El Salvador
0.22 %
Egypt
0.21 %
Slovenia
0.21 %
Ukraine
0.20 %
Japan
0.18 %
Jersey (Channel Islands)
0.17 %
Panama
0.14 %
Czech Republic
0.11 %
Sweden
0.10 %
Guatemala
0.08 %
Venezuela
0.06 %
Cayman Islands
0.05 %
Ghana
0.05 %
Kuwait
0.04 %
Morocco
0.04 %
Trinidad and Tobago
0.04 %
Romania
0.03 %
Malaysia
0.02 %
Cash & Cash Equivalents
0.93 %
Total Investments
100.00 %
Net Currency Exposure Breakdown
Portfolio %
US Dollar
100.29 %
Canadian Dollar
0.19 %
Pound Sterling
0.08 %
Brazilian Real
0.01 %
Hungarian Forint
0.01 %
Indonesian Rupiah
0.01 %
Norwegian Krone
0.01 %
Swiss Franc
-0.01 %
Chinese Yuan Renminbi (Offshore)
-0.01 %
Peruvian Sol
-0.01 %
Singapore Dollar
-0.01 %
Colombian Peso
-0.14 %
Euro
-0.42 %
Total Net Assets
100.00 %
Credit Rating
Portfolio %
AAA
1.47 %
AA
0.45 %
A
2.94 %
BBB
18.66 %
BB
41.91 %
B
21.26 %
CCC
7.90 %
CC
0.31 %
C
0.08 %
D
0.09 %
Not Rated
2.62 %
Short Term Investments
0.92 %
Reverse Repurchase Agreements
-0.84 %
N/A
2.23 %
Total
100.00 %
Bonds by Maturity
Portfolio %
Less than 1 Year
5.56 %
1 To 5 Years
57.89 %
5 To 10 Years
30.47 %
10 To 20 Years
3.12 %
20 To 30 Years
1.10 %
More than 30 Years
1.71 %
Other
0.15 %
Total Net Assets
100.00 %
Portfolio Statistics:
Average Coupon:
7.51 %
Average Bond Price:
93.27
Percentage of Leverage(based on gross assets):
Bank Borrowing:
0.00 %
Investment Operations:*
19.01 %
Preferred Stock:
0.00 %
Tender Option Bonds:
0.00 %
VMTP Shares:
0.00 %
Total Fund Leverage:
19.01 %
Average Maturity:
5.84 Years
Effective Duration:
3.36 Years
Total Net Assets:
$949.50 Million
Net Asset Value:
$11.01
Total Number of Holdings:
1,340
Portfolio Turnover:
40.00 %