Cision PR Newswire

Top 10 Fixed-Income Holdings

Portfolio %

1) U.S. Treasury Notes 2.25%, 02/15/27

1.49 %

2) U.S. Treasury Notes 2.875%, 08/15/28

0.73 %

3) CCO Holdings 4.50%, 08/15/30 - 06/01/33

0.69 %

4) Dominican Repubic Intl Bond 8.625%, 04/20/27

0.66 %

5) CCO Holdings 4.75%, 02/01/32

0.65 %

6) Sirius XM Radio, Inc. 4.00%, 07/15/28

0.55 %

7) Altice France SA/France 5.125%, 07/15/29

0.52 %

8) Ford Motor Credit Co. LLC 7.35%, 11/04/27

0.51 %

9) AMMC CLO 25 Ltd. 11.454%, 04/15/35

0.50 %

10) Royal Caribbean Cruises 5.50%, 08/31/26 - 04/01/28

0.49 %

Investment Type

Portfolio %

Corporates - Non-Investment Grade

Industrial

Communications - Media

6.87 %

Consumer Non-Cyclical

6.25 %

Energy

4.60 %

Consumer Cyclical - Automotive

3.97 %

Communications - Telecommunications

3.42 %

Basic

3.40 %

Services

3.32 %

Consumer Cyclical - Other

3.30 %

Capital Goods

3.27 %

Consumer Cyclical - Retailers

2.85 %

Consumer Cyclical - Entertainment

2.63 %

Technology

2.57 %

Transportation - Services

1.21 %

Transportation - Airlines

0.80 %

Consumer Cyclical - Restaurants

0.67 %

Other Industrial

0.21 %

SUBTOTAL

49.34 %

Credit Default Swaps

17.41 %

Financial Institutions

Finance

1.89 %

REITs

1.07 %

Brokerage

0.95 %

Banking

0.84 %

Other Finance

0.61 %

Insurance

0.58 %

SUBTOTAL

5.94 %

Utility

Electric

0.43 %

Natural Gas

0.17 %

Other Utility

0.15 %

SUBTOTAL

0.75 %

SUBTOTAL

73.44 %

Corporates - Investment Grade

Financial Institutions

Banking

4.65 %

Insurance

1.42 %

Finance

0.76 %

REITs

0.29 %

Brokerage

0.13 %

SUBTOTAL

7.25 %

Industrial

Energy

1.25 %

Basic

0.98 %

Consumer Non-Cyclical

0.89 %

Communications - Media

0.65 %

Consumer Cyclical - Other

0.62 %

Technology

0.46 %

Transportation - Airlines

0.33 %

Capital Goods

0.28 %

Consumer Cyclical - Retailers

0.24 %

Consumer Cyclical - Entertainment

0.22 %

Other Industrial

0.20 %

Communications - Telecommunications

0.18 %

Consumer Cyclical - Automotive

0.12 %

Services

0.05 %

Transportation - Railroads

0.04 %

SUBTOTAL

6.51 %

Utility

Electric

0.20 %

SUBTOTAL

0.20 %

SUBTOTAL

13.96 %

Interest Rate Futures

11.80 %

Emerging Markets - Corporate Bonds

Industrial

Basic

1.27 %

Consumer Cyclical - Other

0.97 %

Consumer Non-Cyclical

0.81 %

Energy

0.74 %

Capital Goods

0.35 %

Technology

0.21 %

Communications - Media

0.11 %

Communications - Telecommunications

0.09 %

Services

0.05 %

Transportation - Services

0.02 %

SUBTOTAL

4.62 %

Utility

Electric

0.34 %

SUBTOTAL

0.34 %

Financial Institutions

REITs

0.10 %

Insurance

0.04 %

Finance

0.02 %

Other Finance

0.01 %

SUBTOTAL

0.17 %

SUBTOTAL

5.13 %

Collateralized Mortgage Obligations

Risk Share Floating Rate

3.81 %

Non-Agency Fixed Rate

0.41 %

Agency Fixed Rate

0.34 %

Non-Agency Floating Rate

0.34 %

SUBTOTAL

4.90 %

Bank Loans

Industrial

Consumer Non-Cyclical

0.91 %

Technology

0.79 %

Communications - Telecommunications

0.73 %

Capital Goods

0.55 %

Energy

0.47 %

Other Industrial

0.32 %

Communications - Media

0.23 %

Consumer Cyclical - Retailers

0.14 %

Consumer Cyclical - Other

0.12 %

Services

0.12 %

Consumer Cyclical - Restaurants

0.09 %

Consumer Cyclical - Automotive

0.05 %

SUBTOTAL

4.52 %

Utility

Electric

0.19 %

SUBTOTAL

0.19 %

Financial Institutions

Finance

0.03 %

SUBTOTAL

0.03 %

SUBTOTAL

4.74 %

Collateralized Loan Obligations

CLO - Floating Rate

4.72 %

SUBTOTAL

4.72 %

Commercial Mortgage-Backed Securities

Credit Default Swaps

3.65 %

Non-Agency Fixed Rate CMBS

0.79 %

Non-Agency Floating Rate CMBS

0.03 %

SUBTOTAL

4.47 %

Emerging Markets - Sovereigns

Emerging Markets - Sovereigns

3.91 %

Credit Default Swaps

0.28 %

SUBTOTAL

4.19 %

Global Governments

2.88 %

Total Return Swaps

1.09 %

Common Stocks

0.95 %

Quasi-Sovereigns

Quasi-Sovereign Bonds

0.81 %

SUBTOTAL

0.81 %

Local Governments - US Municipal Bonds

0.46 %

Inflation-Linked Securities

0.21 %

Asset-Backed Securities

Other ABS - Fixed Rate

0.12 %

Autos - Fixed Rate

0.08 %

SUBTOTAL

0.20 %

Preferred Stocks

Industrials

0.18 %

SUBTOTAL

0.18 %

Interest Rate Swaps

-0.01 %

Forward Currency Exchange Contracts

Currency Instruments

-0.15 %

SUBTOTAL

-0.15 %

Reverse Repurchase Agreements

-1.02 %

Cash & Cash Equivalents

Funds and Investment Trusts

0.62 %

U.S. Treasury Bills

0.22 %

Cash

0.19 %

SUBTOTAL

1.03 %

Derivative Offsets

Futures Offsets

-11.83 %

Swap Offsets

-22.15 %

SUBTOTAL

-33.98 %

TOTAL

100.00 %

Country Breakdown

Portfolio %

United States

68.73 %

United Kingdom

4.42 %

France

2.37 %

Luxembourg

2.05 %

Germany

1.80 %

Canada

1.63 %

Italy

1.41 %

Brazil

1.39 %

Mexico

1.16 %

Spain

1.13 %

Netherlands

0.78 %

India

0.69 %

Switzerland

0.68 %

Dominican Republic

0.66 %

Colombia

0.59 %

Australia

0.58 %

Hong Kong

0.56 %

Bahrain

0.55 %

China

0.52 %

Israel

0.51 %

Macau

0.50 %

Sweden

0.50 %

Cote D'Ivoire

0.46 %

Finland

0.46 %

Oman

0.40 %

Ireland

0.39 %

Peru

0.36 %

Angola

0.34 %

Nigeria

0.32 %

Senegal

0.28 %

Norway

0.26 %

Gabon

0.24 %

Indonesia

0.21 %

Egypt

0.19 %

Jersey (Channel Islands)

0.18 %

Denmark

0.16 %

Ecuador

0.16 %

Argentina

0.15 %

Ukraine

0.15 %

Zambia

0.15 %

Kazakhstan

0.14 %

El Salvador

0.13 %

Japan

0.13 %

South Africa

0.13 %

Turkey

0.13 %

Guatemala

0.10 %

Panama

0.09 %

Ghana

0.07 %

Jamaica

0.06 %

Venezuela

0.06 %

Chile

0.05 %

Belgium

0.04 %

Bermuda

0.04 %

Kuwait

0.04 %

Morocco

0.04 %

Cayman Islands

0.02 %

Czech Republic

0.02 %

Trinidad and Tobago

0.02 %

Cash & Cash Equivalents

0.62 %

Total Investments

100.00 %

Net Currency Exposure Breakdown

Portfolio %

US Dollar

100.31 %

Norwegian Krone

0.02 %

Argentine Peso

0.01 %

Mexican Peso

0.01 %

New Zealand Dollar

0.01 %

Polish Zloty

0.01 %

New Taiwan Dollar

0.01 %

Canadian Dollar

-0.01 %

Swiss Franc

-0.01 %

Chinese Yuan Renminbi (Offshore)

-0.01 %

Indian Rupee

-0.01 %

South Korean Won

-0.01 %

Pound Sterling

-0.02 %

Colombian Peso

-0.11 %

Euro

-0.20 %

Total Net Assets

100.00 %

Credit Rating

Portfolio %

AAA

5.52 %

AA

0.60 %

A

2.23 %

BBB

14.56 %

BB

38.37 %

B

28.65 %

CCC

6.78 %

CC

0.14 %

C

0.08 %

D

0.02 %

Not Rated

3.52 %

Short Term Investments

0.84 %

Reverse Repurchase Agreements

-1.02 %

N/A

-0.29 %

Total

100.00 %

Bonds by Maturity

Portfolio %

Less than 1 Year

2.24 %

1 To 5 Years

45.25 %

5 To 10 Years

43.99 %

10 To 20 Years

3.23 %

20 To 30 Years

1.61 %

More than 30 Years

2.73 %

Other

0.95 %

Total Net Assets

100.00 %

Portfolio Statistics:

Average Coupon:

7.39 %

Average Bond Price:

87.37

Percentage of Leverage(based on gross assets):

Bank Borrowing:

0.00 %

Investment Operations:*

23.88 %

Preferred Stock:

0.00 %

Tender Option Bonds:

0.00 %

VMTP Shares:

0.00 %

Total Fund Leverage:

23.88 %

Average Maturity:

    6.25 Years

Effective Duration:

    4.17 Years

Total Net Assets:

$894.60 Million

Net Asset Value:

$10.37

Total Number of Holdings:

1,566

Portfolio Turnover:

40.00 %