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 %