Top 10 Fixed-Income Holdings
Portfolio %
1) U.S. Treasury Notes 2.25%, 02/15/27
1.09 %
2) CCO Holdings 4.50%, 08/15/30 – 06/01/33
0.68 %
3) Dominican Republic Intl Bond 8.625%, 04/20/27
0.64 %
4) CCO Holdings 4.75%, 02/01/32
0.62 %
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
0.51 %
8) Ford Motor Credit Co. LLC 7.35%, 11/04/27
0.49 %
9) Ford Motor Co. 6.10%, 08/19/32
0.48 %
10) Carnival Holdings Bermuda 10.375%, 05/01/28
0.44 %
Investment Type
Portfolio %
Corporates – Non-Investment Grade
Industrial
Communications – Media
7.07 %
Consumer Non-Cyclical
6.65 %
Energy
4.22 %
Capital Goods
4.02 %
Consumer Cyclical – Automotive
3.54 %
Consumer Cyclical – Other
3.35 %
Services
3.24 %
Consumer Cyclical – Entertainment
2.92 %
Basic
2.90 %
Technology
2.70 %
Communications – Telecommunications
2.39 %
Consumer Cyclical – Retailers
2.39 %
Transportation – Services
0.90 %
Transportation – Airlines
0.65 %
Consumer Cyclical – Restaurants
0.54 %
Other Industrial
0.23 %
SUBTOTAL
47.71 %
Credit Default Swaps
20.34 %
Financial Institutions
Finance
2.21 %
REITs
1.05 %
Brokerage
0.83 %
Insurance
0.47 %
Other Finance
0.35 %
Banking
0.14 %
SUBTOTAL
5.05 %
Utility
Electric
0.60 %
Natural Gas
0.17 %
Other Utility
0.15 %
SUBTOTAL
0.92 %
SUBTOTAL
74.02 %
Corporates – Investment Grade
Financial Institutions
Banking
6.72 %
Finance
1.10 %
Insurance
1.07 %
REITs
0.21 %
Brokerage
0.15 %
SUBTOTAL
9.25 %
Industrial
Energy
2.16 %
Consumer Cyclical – Automotive
2.10 %
Consumer Cyclical – Other
0.87 %
Basic
0.79 %
Communications – Media
0.67 %
Consumer Non-Cyclical
0.55 %
Technology
0.39 %
Transportation – Airlines
0.36 %
Capital Goods
0.33 %
Other Industrial
0.22 %
Consumer Cyclical – Entertainment
0.21 %
Communications – Telecommunications
0.18 %
Consumer Cyclical – Retailers
0.18 %
Services
0.05 %
Transportation – Railroads
0.04 %
Transportation – Services
0.03 %
SUBTOTAL
9.13 %
Utility
Electric
0.59 %
SUBTOTAL
0.59 %
SUBTOTAL
18.97 %
Interest Rate Futures
10.27 %
Emerging Markets – Corporate Bonds
Industrial
Basic
1.31 %
Consumer Cyclical – Other
1.18 %
Consumer Non-Cyclical
0.93 %
Energy
0.74 %
Capital Goods
0.36 %
Technology
0.20 %
Communications – Telecommunications
0.12 %
Communications – Media
0.10 %
Services
0.04 %
Transportation – Services
0.02 %
SUBTOTAL
5.00 %
Utility
Electric
0.32 %
SUBTOTAL
0.32 %
Financial Institutions
Finance
0.02 %
Other Finance
0.02 %
SUBTOTAL
0.04 %
SUBTOTAL
5.36 %
Collateralized Loan Obligations
CLO – Floating Rate
4.85 %
SUBTOTAL
4.85 %
Collateralized Mortgage Obligations
Risk Share Floating Rate
2.98 %
Non-Agency Fixed Rate
0.37 %
Non-Agency Floating Rate
0.31 %
Agency Fixed Rate
0.28 %
SUBTOTAL
3.94 %
Bank Loans
Industrial
Communications – Telecommunications
0.73 %
Consumer Non-Cyclical
0.65 %
Technology
0.55 %
Energy
0.40 %
Capital Goods
0.33 %
Other Industrial
0.30 %
Communications – Media
0.24 %
Consumer Cyclical – Automotive
0.09 %
Consumer Cyclical – Retailers
0.05 %
Consumer Cyclical – Restaurants
0.02 %
SUBTOTAL
3.36 %
Financial Institutions
Insurance
0.17 %
Finance
0.03 %
SUBTOTAL
0.20 %
Utility
Electric
0.18 %
SUBTOTAL
0.18 %
SUBTOTAL
3.74 %
Emerging Markets – Sovereigns
Emerging Markets – Sovereigns
2.23 %
Credit Default Swaps
0.28 %
SUBTOTAL
2.51 %
U.S. Govt & Agency Securities
2.03 %
Commercial Mortgage-Backed Securities
Credit Default Swaps
1.42 %
Non-Agency Fixed Rate CMBS
0.55 %
Non-Agency Floating Rate CMBS
0.03 %
SUBTOTAL
2.00 %
Total Return Swaps
1.12 %
Quasi-Sovereigns
Quasi-Sovereign Bonds
0.73 %
SUBTOTAL
0.73 %
Common Stocks
0.67 %
Local Governments – US Municipal Bonds
0.43 %
Inflation-Linked Securities
0.21 %
Asset-Backed Securities
Autos – Fixed Rate
0.08 %
Other ABS – Fixed Rate
0.08 %
SUBTOTAL
0.16 %
Preferred Stocks
Industrials
0.10 %
SUBTOTAL
0.10 %
EM Government Agencies
0.07 %
Forward Currency Exchange Contracts
Currency Instruments
0.07 %
SUBTOTAL
0.07 %
DM Government Agencies
0.06 %
Options Purchased – Puts
Options on Equity Indices
0.02 %
SUBTOTAL
0.02 %
Put Options Written
-0.01 %
Reverse Repurchase Agreements
-1.57 %
Cash & Cash Equivalents
Cash
1.95 %
Funds and Investment Trusts
1.15 %
SUBTOTAL
3.10 %
Derivative Offsets
Futures Offsets
-10.20 %
Swap Offsets
-22.65 %
SUBTOTAL
-32.85 %
TOTAL
100.00 %
Country Breakdown
Portfolio %
United States
71.06 %
United Kingdom
4.50 %
France
2.01 %
Germany
1.91 %
Canada
1.82 %
Luxembourg
1.76 %
Brazil
1.45 %
Spain
1.00 %
Mexico
0.99 %
Italy
0.98 %
Colombia
0.87 %
India
0.80 %
Dominican Republic
0.65 %
Macau
0.61 %
Hong Kong
0.60 %
Australia
0.59 %
China
0.53 %
Israel
0.50 %
Nigeria
0.45 %
Switzerland
0.42 %
Netherlands
0.35 %
South Africa
0.34 %
Angola
0.32 %
Finland
0.32 %
Ireland
0.32 %
Peru
0.31 %
Kazakhstan
0.29 %
Norway
0.26 %
Zambia
0.25 %
Japan
0.22 %
Ukraine
0.21 %
Indonesia
0.20 %
Gabon
0.17 %
Egypt
0.15 %
Slovenia
0.15 %
Argentina
0.14 %
Guatemala
0.13 %
Jersey (Channel Islands)
0.13 %
Turkey
0.13 %
Czech Republic
0.12 %
El Salvador
0.12 %
South Korea
0.10 %
Sweden
0.10 %
Venezuela
0.09 %
Ghana
0.07 %
Jamaica
0.07 %
Chile
0.05 %
Panama
0.05 %
Senegal
0.05 %
Belgium
0.04 %
Kuwait
0.04 %
Cayman Islands
0.02 %
Trinidad and Tobago
0.02 %
Ecuador
0.01 %
Cash & Cash Equivalents
1.16 %
Total Investments
100.00 %
Net Currency Exposure Breakdown
Portfolio %
US Dollar
100.13 %
Canadian Dollar
0.19 %
Pound Sterling
0.04 %
Australian Dollar
0.01 %
Chilean Peso
0.01 %
Norwegian Krone
0.01 %
Peruvian Sol
-0.01 %
Singapore Dollar
-0.01 %
Colombian Peso
-0.14 %
Euro
-0.23 %
Total Net Assets
100.00 %
Credit Rating
Portfolio %
AAA
2.63 %
AA
0.91 %
A
3.03 %
BBB
17.75 %
BB
40.07 %
B
23.37 %
CCC
6.41 %
CC
0.17 %
C
0.09 %
Not Rated
3.27 %
Short Term Investments
1.15 %
Reverse Repurchase Agreements
-1.57 %
N/A
2.72 %
Total
100.00 %
Bonds by Maturity
Portfolio %
Less than 1 Year
5.04 %
1 To 5 Years
51.99 %
5 To 10 Years
35.75 %
10 To 20 Years
2.92 %
20 To 30 Years
1.72 %
More than 30 Years
1.90 %
Other
0.68 %
Total Net Assets
100.00 %
Portfolio Statistics:
Average Coupon:
7.60 %
Average Bond Price:
90.83
Percentage of Leverage(based on gross assets):
Bank Borrowing:
0.00 %
Investment Operations:*
23.64 %
Preferred Stock:
0.00 %
Tender Option Bonds:
0.00 %
VMTP Shares:
0.00 %
Total Fund Leverage:
23.64 %
Average Maturity:
6.32 Years
Effective Duration:
3.88 Years
Total Net Assets:
$924.41 Million
Net Asset Value:
$10.72
Total Number of Holdings:
1,419
Portfolio Turnover:
40.00 %