Fixed Income Holdings by Security Type
Portfolio %
Corporates - Non-Investment Grades
Industrial
Consumer Non-Cyclical
7.79%
Energy
6.02%
Capital Goods
5.25%
Communications - Media
4.87%
Technology
4.46%
Basic
4.33%
Consumer Cyclical - Other
2.74%
Communications - Telecommunications
2.55%
Consumer Cyclical - Automotive
2.15%
Other Industrial
2.05%
Services
1.99%
Consumer Cyclical - Retailers
1.82%
Transportation - Services
1.23%
Consumer Cyclical - Entertainment
0.58%
Transportation - Airlines
0.27%
Consumer Cyclical - Restaurants
0.11%
SUBTOTAL
48.21%
Financial Institutions
Banking
1.94%
Other Finance
1.69%
Insurance
0.89%
Finance
0.88%
Brokerage
0.39%
REITS
0.12%
SUBTOTAL
5.91%
Utility
Electric
1.65%
Natural Gas
0.85%
SUBTOTAL
2.50%
SUBTOTAL
56.62%
Corporates - Investment Grades
Financial Institutions
Insurance
1.51%
Banking
1.37%
REITS
0.47%
Finance
0.24%
Other Finance
0.20%
SUBTOTAL
3.79%
Industrial
Basic
1.54%
Communications - Media
0.24%
Capital Goods
0.23%
Communications - Telecommunications
0.18%
Transportation - Airlines
0.07%
Consumer Cyclical - Other
0.02%
SUBTOTAL
2.28%
Non Corporate Sectors
Agencies - Not Government Guaranteed
0.26%
SUBTOTAL
0.26%
Utility
Natural Gas
0.14%
Electric
0.06%
SUBTOTAL
0.20%
SUBTOTAL
6.53%
Collateralized Mortgage Obligations
Non-Agency Fixed Rate
3.48%
Non-Agency Floating Rate
2.59%
SUBTOTAL
6.07%
Bank Loans
Industrial
Consumer Non-Cyclical
0.93%
Consumer Cyclical - Automotive
0.76%
Technology
0.57%
Consumer Cyclical - Entertainment
0.52%
Services
0.47%
Basic
0.39%
Consumer Cyclical - Retailers
0.30%
Capital Goods
0.19%
Other Industrial
0.17%
Communications - Media
0.16%
Energy
0.08%
Consumer Cyclical - Other
0.03%
SUBTOTAL
4.57%
Non Corporate Sectors
Foreign Local Government - Municipal
0.12%
SUBTOTAL
0.12%
SUBTOTAL
4.69%
Governments - Treasuries
Treasuries
4.43%
SUBTOTAL
4.43%
Emerging Markets - Corporate Bonds
Industrial
Consumer Non-Cyclical
1.18%
Communications - Telecommunications
0.70%
Capital Goods
0.49%
Basic
0.45%
Consumer Cyclical - Other
0.31%
Transportation - Airlines
0.18%
Consumer Cyclical - Retailers
0.14%
Communications - Media
0.13%
Transportation - Services
0.07%
SUBTOTAL
3.65%
Financial Institutions
Banking
0.22%
Finance
0.19%
SUBTOTAL
0.41%
SUBTOTAL
4.06%
Emerging Markets - Sovereigns
4.00%
Commercial Mortgage-Backed Securities
Non-Agency Fixed Rate CMBS
2.08%
Non-Agency Floating Rate CMBS
0.32%
SUBTOTAL
2.40%
Preferred Stocks
Financial Institutions
2.12%
Industrial
0.01%
SUBTOTAL
2.13%
Quasi-Sovereigns
Quasi-Sovereign Bonds
1.66%
SUBTOTAL
1.66%
Emerging Markets - Treasuries
1.02%
Governments - Sovereign Agencies
0.95%
Local Governments - Municipal Bonds
0.89%
Governments - Sovereign Bonds
0.79%
Asset-Backed Securities
Home Equity Loans - Fixed Rate
0.63%
Home Equity Loans - Floating Rate
0.13%
SUBTOTAL
0.76%
Local Governments - Regional Bonds
0.37%
Inflation-Linked Securities
0.20%
Common Stocks
0.18%
Supranationals
0.13%
Options Purchased - Puts
Options on Funds and Investment Trusts
0.03%
Swaptions
0.03%
SUBTOTAL
0.06%
Short-Term Investments
Investment Companies
2.06%
Total Fixed Income
100.00%
Country Breakdown
Portfolio %
United States
66.22%
United Kingdom
4.17%
Brazil
3.32%
Russia
3.18%
Luxembourg
1.63%
Canada
1.48%
Argentina
1.48%
Netherlands
1.41%
Germany
1.32%
Dominican Republic
1.29%
South Africa
0.98%
Ireland
0.81%
France
0.81%
Italy
0.79%
Ivory Coast
0.76%
Switzerland
0.74%
El Salvador
0.60%
Bermuda
0.60%
Indonesia
0.60%
United Arab Emirates
0.53%
Peru
0.47%
Spain
0.46%
Colombia
0.45%
Croatia
0.45%
Mexico
0.40%
Kazakhstan
0.37%
Portugal
0.33%
Barbados
0.32%
Chile
0.28%
Australia
0.27%
Costa Rica
0.27%
Philippines
0.25%
Ghana
0.23%
Norway
0.23%
Sweden
0.22%
Nigeria
0.22%
China
0.22%
Singapore
0.22%
Serbia
0.21%
Uruguay
0.20%
Belgium
0.13%
Japan
0.13%
Supranational
0.13%
Bahrain
0.13%
Austria
0.10%
Greece
0.09%
Ukraine
0.08%
Denmark
0.08%
Turkey
0.07%
Hong Kong
0.07%
India
0.07%
Virgin Islands (BVI)
0.06%
Jamaica
0.05%
Czech Republic
0.02%
Total Investments
100.00%
Net Currency Exposure Breakdown
Portfolio %
United States Dollar
103.00%
Mexican Peso
1.98%
Russian Rubles
0.77%
Dominican Peso
0.51%
Brazilian Real
0.38%
Costa Rican Colon
0.29%
Philippine Peso
0.27%
Nigerian Naira
0.24%
Chilean Peso
0.22%
Uruguayan Peso
0.21%
Colombian Peso
0.19%
Hungarian Forint
0.18%
Swiss Franc
0.04%
South African Rand
-0.01%
Canadian Dollar
-0.01%
Indonesian Rupiah
-0.02%
New Turkish Lira
-0.17%
Peruvian Nuevo Sol
-0.47%
Euro
-1.49%
Great British Pound
-2.11%
Australian Dollar
-4.00%
Total Investments
100.00%
Credit Quality Breakdown
Portfolio %
AAA
2.33%
AA
0.58%
A
4.21%
BBB
13.61%
BB
24.12%
B
34.44%
CCC
14.85%
CC
0.85%
D
0.87%
Not Rated
2.07%
Short Term Investments
2.07%
Total Investments
100.00%
Portfolio Statistics:
Average Coupon:
8.31%
Average Bond Price :
101.49
Percentage of Leverage:
Bank Borrowing:
0.00%
Investment Operations:
17.72%*
Preferred Stock:
0.00%
Tender Option Bonds:
0.00%
Term Asset-Backed Loans Facility (TALF):
0.00%
Total Fund Leverage:
17.72%
Average Maturity:
6.92 Years
Effective Duration:
4.70 Years
Total Net Assets:
$1,300.56 Million
Net Asset Value:
$15.08
Number of Holdings:
936
Portfolio Turnover:
38%
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