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Item No. 12: Annual Presentation by Neuberger Berman Fixed Income, LLC – Active Global Credit/Global High-Yield Manager (June 8, 2016, Regular Retirement Board Meeting)

______________________________________________________________________________

INVESTMENT MANAGER SUMMARY

MANAGEMENT

Firm Name Neuberger Berman Fixed Income, LLC (NBFI) Manager Tenure with Fund 0.75 Year Investment Strategy/Vehicle Global Credit/High-Yield

Contract Expiration 1/31/2018

ASSETS

Total Firm AUM (as of 3/31/16) $243 Billion Total Firm Assets in Strategy (as of 3/31/16) $84 Billion*

Total Assets Managed for the Plan (as of 4/30/16) RP - $569 Million HP - $95 Million

*Assets are a combination of Investment Grade and High Yield

PERFORMANCE

3-Month YTD Inception*

NBFI Global Credit/High-Yield (gross) 4.25% 3.77% 3.40%

NBFI Global Credit/High-Yield (est. net) 4.19% 3.70% 3.24%

BC Global Credit / BC High-Yield 5.62% 5.39% 4.38%

Difference (net) -1.43% -1.69% -1.14% *Performance inception date of 9/1/15

FEES

Current Fee 0.23% Flat Rate

WATCH STATUS Not Applicable

PREVIOUSLY DISCLOSED LITIGATION

Not Applicable

Los Angeles Water & Power Board PresentationJune 8, 2016

CONFIDENTIAL PRESENTATION

Not for use with beneficial owners or the general public.

Andrew JohnsonHead of Global Investment Grade Fixed Income

Paul Sauer, CFAInstitutional Client Advisor

Table of Contents

I. FIRM OVERVIEW

II. PORTFOLIO REVIEW

I. RETIREMENT PLAN

II. HEALTH PLAN

III. MARKET ENVIRONMENT

IV. INVESTMENT PROCESS

V. PORTFOLIO RISK MANAGEMENT

VI. PORTFOLIO GUIDELINES & FEE SCHEDULE

VII. HOLDINGS

VIII. DISCLOSURES

Presenter Biographies

Paul Sauer, CFA, Managing Director, joined the firm in 2013. Paul is responsible for West Coast Public Institutions as part of the North American ClientCoverage Team. Prior to joining Neuberger Berman, Paul was a managing director and head of BlackRock’s Endowment and Foundation institutional salesteam, and began his financial services career at Goldman Sachs and Credit Suisse in the Equities Division. Paul also served 10 years in the US Navy as aFlight Officer deploying to Southwest Asia. Paul earned a BS from California State University at Northridge, an MBA from USC’s Marshall School ofBusiness, and has been awarded the Chartered Financial Analyst designation..

Andrew A. Johnson, Managing Director, joined the firm in 1989. Andy is the Head of Global Investment Grade Fixed Income and lead Portfolio Manager formultiple Fixed Income strategies. Andy has responsibility for the overall direction of the investment process and research and leads the senior investmentteam that sets overall portfolio strategy. He serves on numerous investment grade sector specialty teams. He is also a member of Neuberger Berman’sFixed Income LLC’s Board of Directors and Neuberger Berman’s Partnership Committee. Prior to joining the firm, Andy was a manager of financial planningand analysis at Illinois Bell. Previously, he had been an R&D engineer at Northrop Defense Systems Division. Andy earned his BS and MS degrees inElectrical Engineering at the Illinois Institute of Technology and his MBA from the University of Chicago.

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Coverage led by senior members of the investment grade and client coverage teams

INVESTMENT TEAMAndy JohnsonManaging Director Head of Global Investment Grade Fixed [email protected]

Dave BrownManaging Director Head of Global Investment Grade [email protected]

Ronit WalnyManaging Director Portfolio Manager / Client [email protected]

CLIENT COVERAGEPaul SauerManaging DirectorInstitutional Client [email protected]

Jennifer MichelSenior Vice PresidentInstitutional Client [email protected]

CLIENT REPORTING AND ANALYTICSMansoor AhmedVice President, ManagerClient Reporting and [email protected]

Tom SobanskiAssociateClient Reporting and [email protected]

Tyler DziamaAnalystInstitutional Client [email protected]

Melissa WybleVice PresidentInstitutional Client [email protected]

LADWP Client Service and Investment Management Coverage Team

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FIRM OVERVIEW

CITIES

Firm Overview

OF CLIENTS’ ASSETSMANAGED BY LEADPORTFOLIO MANAGERS WHO HAVE 20+ YRSINDUSTRY EXPERIENCE

RESEARCH MEETINGS WITHCOMPANY MANAGEMENTTEAMS AT OUR OFFICES IN 2015

ANNUALIZED RETENTION RATE OF INVESTMENT PROFESSIONALS AT SVP AND MD LEVEL SINCE 2009

TOTAL ASSETSUNDERMANAGEMENT

PORTFOLIO MANAGERS AVERAGE INDUSTRYEXPERIENCE

1,65725+ YRS$243BN

COUNTRIES

19

Employee-owned investment management firm

_______________________1. Employee assets include current and former employees and their family members.All information is as of March 31, 2016, except as otherwise noted. Data regarding number of employees and investment professionals is as of April 30, 2016. Firm data reflects the collective data for the various subsidiaries of Neuberger Berman Group LLC.

97%~$3BN1,968INVESTED BY NBEMPLOYEES AND THEIR FAMILIES IN NB STRATEGIES/ ACCOUNTS1

NUMBER OFEMPLOYEESWORLDWIDE

97%29

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EQUITY

Integrated Investment Platform Anchored in Research

ASSET CLASS FUNDAMENTALINVESTMENTPROFESSIONALS

240

144

107

31

FIXED INCOME

ALTERNATIVES

MULTI-ASSET CLASS

AUM $243BN1

$94

$111

$471AUM & Committed Capital

$31

QUANTITATIVE

Strategic Partnerships

• Global• EAFE• Emerging Markets• Regional

• U.S. Value/Core/Growth• SRI• MLP• Income• REITs

• Global• U.S.• Emerging Markets• Custom Beta

• Global Investment Grade• Global High Yield• Loans• Special Situations

• Opportunistic• Emerging Markets• Currency• Municipals

― Primaries― Co-Investment― Secondaries― DYAL; Specialty Strategies

― Equity L/S― Credit L/S― Event Driven― Multi-Manager

• Risk Premia• Options • Global Macro• Commodities

• Risk Parity• Global Tactical

Asset Allocation

• Global Relative & Absolute Return

• Income Focused

• Liability Aware• Inflation Management

• Private Equity:

• Private Debt

• Hedge Funds:

_______________________ 1. Firm assets under management (AUM) includes $93.5 billion in Equity assets, $110.6 billion in Fixed Income assets and $38.5 billion in Alternatives assets under management. Please note, difference is due to rounding. Alternatives AUM includes AUM & Committed Capital. Committed capital represents commitments since inception of the private equity businesses advised by NB Alternatives Advisers LLC, the oldest of which was founded in 1981. Includes commitments still in process of documentation. Committed capital is a contractual agreement between an investor and a fund that obligates the investor to contribute that money to the fund as requested. The investor will generally make contributions over a period of time, typically over a number of years. Multi-Asset Class (MAC) AUM reflects the equity, fixed income and alternatives AUM that comprise MAC mandates, such as funds and strategic partnerships that allocate among Neuberger Berman equity, fixed income and alternatives strategies. MAC AUM is also reflected under equity, fixed income and alternatives AUM. All information is as of March 31, 2016, except as otherwise noted. Data regarding investment professionals is as of April 30, 2016. Firm data reflects the collective data for the various subsidiaries of Neuberger Berman Group LLC. See Additional Disclosures at the end of the piece, which are an important part of this presentation, for additional information on the definition of “investment professionals” and certain exclusions.

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RISK MANAGEMENTEXPERIENCED TEAMS MULTIPLE ALPHA SOURCES

• Asset allocation

• Sector rotation

• Security selection

• Currency decisions

• Country decisions

• Interest rate/duration

• Strong fundamental and quantitative framework

• Relative value driven

• Asset allocation framework

• In-depth credit analysis and review

• State-Space Analysis

• “Credit Best Practices” checklist

RESEARCH FOCUSED

Tenured professionals and continuity of senior leadership make up our organization

Integrated top-down and bottom-up research processes drive portfolio construction

Opportunity is a function of volatility. Teams seek to add value across market environments

Many small “bets” with an emphasis on monitoring tail risk

$111 billion in fixed income assets under management over a spectrum of investment styles1

_______________________1. As of March 31, 2016. Represents assets under management of Neuberger Berman LLC. Includes Alternative capabilities. Additionally, we have over $2 billion in assets under advisement. 2. As of March 31, 2016. Investment professionals includes fixed income portfolio managers, research analysts/associates, traders, economists/strategists and investment support (product specialists, portfolio analysts, and trading

support).

• Portfolio managers have an average of 25 years of investment experience

• 144 investment professionals with sector expertise2

• Integrated platform across full suite of fixed income strategies

Fixed Income at Neuberger Berman

• Proprietary risk management framework

• Extensive toolkit- Torpedo Monitor- FirstLook- BlackRock Aladdin- Proprietary credit database (>2,000 issuers)

• Highly customized, client-focused approach

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Supported by over 100 Money Managers, Research Analysts and Associates

Fixed Income Organization

_______________________As of April 30, 2016. Combined investment professionals of the firm and affiliated investment management entities.

BRAD TANKChief Investment Officer

ROB DRIJKONINGEN GORKY URQUIETAEmerging Markets Debt

Hard CurrencyBart van der Made

Local Currency Raoul Luttik

CorporatesJennifer GorgollNish Popat

Macro ResearchKaan NazliPuay Yeong GohVera Kartseva

Dedicated Asian StrategiesPrashant Singh

TOM O’REILLY Global Non-Investment Grade Credit

High YieldTom O’ReillyRuss CovodeDan DoylePatrick Flynn

Senior Floating Rate Loans /Structured CreditStephen CaseyJoseph LynchMartin RotheramDan DoylePim Van Schie

Special SituationsMichael Holmberg

ResearchVivek BommiChris Kocinski

European High YieldAndrew Wilmont

RICK DOWDLENORMAN MILNERGlobal Credit Long / Short

ResearchDarren CarterItai Baron

ANDREW JOHNSONGlobal Investment Grade Fixed Income

Interest Rates & InflationThanos Bardas

CreditDave Brown

SecuritizedTom SontagTerry Glomski

CurrencyUgo Lancioni

ResearchSteve FlahertyDmitry Gasinsky

Global/OpportunisticJon JonssonTom MarthalerRonit Walny

JAMES ISELINMunicipals

Cash/Short DurationKristian Lind

IntermediateJames IselinS. Blake Miller

Municipal High IncomeJames IselinS. Blake MillerEric Pelio

ResearchJames Lyman

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PORTFOLIO REVIEW

Market Performance

_______________________Source: Barclays. As of 4/30/2016. Government Rates is taking each country’s aggregate return across their respective curves from the Barclays Global Treasury Index. All returns are hedged to USD besides the Local Currency Emerging Markets sector. Non-Agency MBS returns is sourced from Amherst Pierpont Non-Agency Mortgage Market Monitor.

0.28%

1.50%

2.33%

2.96%

3.09%

3.17%

3.47%

3.68%

4.26%

5.24%

5.78%

0% 2% 4% 6% 8% 10% 12%

Canadian Rates

Italian Rates

Spanish Rates

Mexican Rates

US Rates

German Rates

Australian Rates

UK Rates

New Zealand Rates

South African Rates

Japanese Rates

Year to Date Returns

GOVERNMENT RATES

0.57%

2.14%

3.28%

3.99%

4.00%

4.17%

4.82%

5.19%

6.36%

7.40%

10.52%

0% 2% 4% 6% 8% 10% 12%

Non-Agency MBS

US Agency MBS

Pan-European IG Corporate

Bank Loans

US CMBS

Pan-European High Yield

US TIPS

Investment Grade Credit

Hard Currency Emerging Markets

High Yield

Local Currency Emerging Markets

Year to Date Returns

SPREAD SECTORS

As of April 30, 2016

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Portfolio Performance


PERFORMANCE – RETIREMENT PLAN

PERFORMANCE – HEALTH PLAN

_______________________1. Preliminary returns; not yet reconciled. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. Please see additional disclosure at the end of this report.Inception Date for Los Angeles Water & Power Retirement Plan and Los Angeles Water & Power Health Plan is September 1st,2015

Periods Ending April 30, 2016L.A. Water & Power

Health Plan - Gross1 L.A. Water & PowerHealth Plan - Net1

L.A. Water & PowerCustom Index2

DifferenceGross of Fees

DifferenceNet of Fees

April 2016 1.90% 1.88% 1.94% -0.04% -0.06%

Year to Date 2016 4.30% 4.22% 5.39% -1.09% -1.17%

Since Performance Inception(09/01/2015 - 04/30/2016) 3.64% 3.48% 4.37% -0.73% -0.89%

Periods Ending April 30, 2016L.A. Water & Power

Retirement Plan - Gross1L.A. Water & Power

Retirement Plan - Net1L.A. Water & Power

Custom Index2Difference

Gross of FeesDifference

Net of Fees

April 2016 1.92% 1.90% 1.94% -0.02% -0.04%

Year to Date 2016 4.31% 4.23% 5.39% -1.08% -1.16%

Since Performance Inception(09/01/2015 - 04/30/2016) 3.59% 3.43% 4.37% -0.78% -0.94%

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Portfolio Absolute Return – April Returns


ABSOLUTE RETURN – RETIREMENT PLAN

ABSOLUTE RETURN – HEALTH PLAN


Portfolio Sectors

Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

Agencies 0.00 0.79 0.00 0.00 0.00 0.00

Treasuries 0.07 0.00 -0.62 0.00 0.00 0.00

Global Sovereign -1.14 0.00 1.35 0.00 0.00 0.00

Non-Agency RMBS 1.87 0.00 0.01 0.00 0.85 0.00

Developed Market IG Credit 2.14 1.20 2.94 3.13 2.84 3.05

Developed Market HY Credit 1.80 3.59 0.51 1.37 1.40 1.35

Senior Floating Rate Loans 1.15 0.00 0.01 0.00 0.09 0.00

Emerging Market 2.23 2.20 0.77 1.01 0.74 0.99

Currency Overlay 0.31 0.00 0.00 0.00 0.00 0.00

Cash / Cash Equivalents -0.04 0.00 0.00 0.00 0.00 0.00

Absolute Return % Duration ContributionSpread Duration

Contribution

Portfolio Sectors

Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark

Agencies 0.00 0.79 0.00 0.00 0.00 0.00

Treasuries 0.09 0.00 -0.53 0.00 0.00 0.00

Global Sovereign -1.17 0.00 1.38 0.00 0.00 0.00

Non-Agency RMBS 1.87 0.00 0.01 0.00 0.85 0.00

Developed Market IG Credit 2.11 1.20 2.97 3.13 2.87 3.05

Developed Market HY Credit 1.77 3.59 0.53 1.37 1.43 1.35

Senior Floating Rate Loans 1.14 0.00 0.01 0.00 0.10 0.00

Emerging Market 2.03 2.20 0.66 1.01 0.63 0.99

Currency Overlay 0.31 0.00 0.00 0.00 0.00 0.00

Cash / Cash Equivalents -0.07 0.00 0.00 0.00 0.00 0.00

Absolute Return % Duration ContributionSpread Duration

Contribution

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Top Ten Holdings


RETIREMENT PLAN

HEALTH PLAN


MV (%)TREASURY NOTE 4.90WELLS FARGO & CO 1.32TREASURY NOTE 1.08MORGAN STANLEY MTN 1.03AT&T INC 0.77GENERAL MOTORS FINANCIAL CO INC 0.77OMEGA HEALTHCARE INVESTORS INC 0.75CITIGROUP INC 0.72ALLSTATE CORPORATION (THE) 0.72JPMORGAN CHASE & CO 0.71

MV (%)TREASURY NOTE 4.96WELLS FARGO & CO 1.34TREASURY NOTE 1.05MORGAN STANLEY MTN 1.03FORD MOTOR CREDIT COMPANY LLC 1.03AT&T INC 0.77GENERAL MOTORS FINANCIAL CO INC 0.77OMEGA HEALTHCARE INVESTORS INC 0.74CITIGROUP INC 0.73JPMORGAN CHASE & CO 0.72

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RETIREMENT PLAN

_______________________Preliminary returns; not yet reconciled. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. Please see additional disclosure at the end of this report.

Portfolio Attribution – Retirement Plan


ATTRIBUTION – RETIREMENT PLAN

Total Security Sector Total Security Sector Total Security Sector

Rates -1 -4 3 -79 -2 -77 -99 -5 -94

TIPS 0 0 0 0 0 0 4 0 4

Agencies 0 0 0 0 0 0 0 0 0

IG Credit 21 31 -10 29 42 -13 -3 16 -19

HY -70 -24 -46 -67 -34 -33 -9 -17 8

Agency MBS 0 0 0 0 0 0 0 0 0

Non-Agency 29 0 29 6 0 6 9 -15 24

CMBS 0 0 0 0 0 0 0 0 0

ABS 0 0 0 0 0 0 0 0 0

Loans 2 0 2 6 0 6 4 0 4

EM -14 -9 -5 -29 -14 -15 -38 -30 -8

Sovereign 0 0 0 3 0 3 -5 0 -5

Currency Overlay 31 0 31 23 0 23 59 0 59

Total -2 -6 4 -108 -8 -100 -78 -51 -27

April 2016 Since InceptionYear to Date 2016

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_______________________Source: Aladdin Analytics System.Custom Index: 66.67% Barclays Multiverse index, 33.33% Barclays Global High Yield Index

Portfolio Allocation by Asset Class – Retirement Plan

As of April 30, 2016Portfolio Spread

Duration

Portfolio Benchmark Active Portfolio Benchmark Active Portfolio Active Portfolio Active Portfolio Active Beta Active

Government Related 5.99 0.01 5.98 0.73 0.00 0.73 0.05 0.05 0 0 0 0.00 0.00 0.00 - -

Agencies 0.00 0.01 -0.01 0.00 0.00 0.00 0.00 0.00 0 0 0 0.00 0.00 0.00 - -

Treasuries 5.99 0.00 5.99 -0.62 0.00 -0.62 -0.07 -0.07 0 0 0 0.00 0.00 0.00 - -

US Treasury Bullets 5.99 0.00 5.99 0.13 0.00 0.13 0.05 0.05 0 0 0 0.00 0.00 0.00 - -

US Treasury Futures 0.00 0.00 0.00 -0.75 0.00 -0.75 -0.12 -0.12 0 0 0 0.00 0.00 0.00 - -

Global Sovereign 0.00 0.00 0.00 1.35 0.00 1.35 0.12 0.12 0 0 0 0.00 0.00 0.00 - -

Core Europe 0.00 0.00 0.00 0.95 0.00 0.95 0.08 0.08 0 0 0 0.00 0.00 0.00 - -

Japan 0.00 0.00 0.00 0.04 0.00 0.04 0.00 0.00 0 0 0 0.00 0.00 0.00 - -

U.K. 0.00 0.00 0.00 0.30 0.00 0.30 0.03 0.03 0 0 0 0.00 0.00 0.00 - -

Canada 0.00 0.00 0.00 0.06 0.00 0.06 0.01 0.01 0 0 0 0.00 0.00 0.00 - -

Securitized 16.44 0.04 16.40 0.01 0.00 0.01 0.87 0.87 389 64 64 5.27 0.87 0.86 - -

Non-Agency RMBS 16.44 0.00 16.44 0.01 0.00 0.01 0.87 0.87 389 64 64 5.27 0.87 0.87 - -

ABS 0.00 0.04 -0.04 0.00 0.00 0.00 0.00 0.00 0 0 0 0.00 0.00 0.00 - -

Developed Market IG Credit 39.29 48.37 -9.08 2.94 3.13 -0.19 1.81 0.71 290 114 55 7.23 2.84 -0.21 1.56 1.38

Corporate 38.48 38.71 -0.22 2.89 2.58 0.31 1.75 0.78 286 110 56 7.25 2.79 0.29 - -

Financial 16.97 15.16 1.81 1.03 0.83 0.19 0.87 0.51 356 60 39 5.91 1.00 0.19 - -

Industrial 19.80 20.59 -0.79 1.69 1.50 0.19 0.81 0.27 229 45 17 8.20 1.62 0.17 - -

Utilities 1.71 2.96 -1.25 0.17 0.24 -0.07 0.07 -0.01 237 4 0 9.62 0.16 -0.07 - -

Non-Corporate 0.80 9.66 -8.86 0.05 0.56 -0.51 0.06 -0.07 525 4 0 6.17 0.05 -0.50 - -

Developed Market HY Credit 21.84 33.06 -11.23 0.51 1.37 -0.86 1.93 -0.30 388 171 -10 3.19 1.40 0.06 0.44 -0.73

Credit Derivative(s) 0.75 0.00 0.75 0.01 0.00 0.01 0.99 0.99 430 99 99 3.98 0.91 0.91 - -

Credit 21.09 33.06 -11.97 0.50 1.37 -0.87 0.94 -1.29 342 72 -109 2.33 0.49 -0.86 - -

Senior Floating Rate Loans 2.24 0.00 2.24 0.01 0.00 0.01 0.11 0.11 362 8 8 4.21 0.09 0.09 - -

Emerging Market Debt 9.82 18.52 -8.70 0.77 1.01 -0.24 0.62 -0.51 450 44 -42 7.57 0.74 -0.25 1.27 -0.05

EM Hard Currency 9.82 18.52 -8.66 0.77 1.01 -0.24 0.62 -0.51 450 44 -42 7.57 0.74 -0.24 - -

Sovereign 9.32 13.23 -3.91 0.71 0.78 -0.07 0.60 -0.20 456 42 -17 7.36 0.69 -0.07 - -

Investment Grade 3.34 4.67 -1.33 0.30 0.31 -0.01 0.15 0.01 274 9 0 8.67 0.29 -0.01 - -

High Yield 5.98 8.56 -2.58 0.41 0.47 -0.06 0.44 -0.20 557 33 -18 6.63 0.40 -0.06 - -

Corporate 0.50 5.29 -4.79 0.06 0.23 -0.17 0.03 -0.31 350 2 -25 11.35 0.06 -0.17 - -

Investment Grade 0.36 2.13 -1.78 0.05 0.12 -0.06 0.02 -0.06 261 1 -4 14.53 0.05 -0.06 - -

High Yield 0.15 3.16 -3.01 0.01 0.12 -0.11 0.01 -0.26 567 1 -21 3.58 0.01 -0.11 - -

Net Unsettled Positions 2.81 0.00 2.81 0.00 0.00 0.00 0.01 0.01 0 0 0 0.00 0.00 0.00 - -

Cash / Cash Equivalents 1.57 0.00 1.57 0.00 0.00 0.00 -0.05 -0.27 0 0 0 0.00 0.00 0.00 - -Total 100.00 100.00 0.00 4.97 5.52 -0.55 5.36 0.68 401 401 75 5.95 5.95 0.56

Beta AdjustedSprd Duration Contribution

Market Value % Duration ContributionNominal Yield Contribution Portfolio

OAS

OAS ContributionSpread Duration

Contribution

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PORTFOLIO STATISTICS PORTFOLIO CREDIT QUALITY1 (%)

Portfolio Characteristics – Retirement Plan

_______________________1. Barclays Rating ClassificationSource: Blackrock Aladdin. Past performance is not indicative of future results.Custom Index: 66.67% Barclays Multiverse index, 33.33% Barclays Global High Yield IndexComponents are rounded to 2 decimal places and may incorporate immaterial rounding differences as a result.

0.04

0.40

1.16

0.21 0.300.10

0.99 1.09

0.37 0.42 0.46 0.360.34

-0.12

0.600.39

1.21

0.54

0.020.09

0.820.61

0.280.02 0.24

-0.07-0.16

0.12

-0.45-0.21-0.25

-0.010.01

-1.00

-0.50

0.00

0.50

1.00

1.50

3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30YPortfolio Benchmark Active

KEY RATE DURATION CONTRIBUTION


L.A. Water & PowerRetirement Plan

L.A. Water & PowerCustom Index

Weighted Average Duration (yrs) 4.97 5.52Weighted Average OAS (bps) 401 326Weighted Average Spread Duration (yrs) 5.95 5.39Maturity 7.12 7.34Yield to Maturity (%) 5.45 4.74Yield to Worst (%) 5.36 4.68S&P Rating BB+ BBBMoody's Rating Ba1 Baa3Weighted Average Coupon (%) 4.12 4.99

L.A. Water & PowerRetirement Plan


AAA 5.99 6.16AA 0.53 7.87A 4.62 18.79BBB 33.62 21.99BB 23.09 22.47B 19.77 15.75CCC and Below 7.31 5.95NR 0.69 1.03Net Unsettled Positions 2.81 0.00Cash 1.57 0.00Total 100.00 100.00

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Portfolio Positioning by Currency – Retirement Plan

_______________________Source: Aladdin Analytics System.This supplemental report is provided for informational purposes only; please refer to your account statement or other statement provided by your custodian for the official records of your account(s). This report is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. It does not constitute an official record.


3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y Duration Contribution Market Value %

AUD 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -3.88CAD 0.00 0.00 0.00 0.00 0.00 0.04 0.02 0.00 0.00 0.00 0.00 0.06 -2.68CHF 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -4.43EUR 0.00 0.00 0.00 0.00 0.01 0.30 0.48 0.01 0.04 0.11 0.00 0.95 1.59GBP 0.00 0.00 0.00 0.00 0.01 0.12 0.17 0.00 0.00 0.00 0.00 0.30 2.46JPY 0.00 0.00 0.00 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.00 0.04 -0.93NOK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.32NZD 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1.38SEK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.44USD 0.04 0.09 0.02 0.39 0.52 0.73 0.49 0.20 0.26 0.28 0.60 3.62 103.50Total 0.04 0.09 0.02 0.40 0.54 1.21 1.16 0.21 0.30 0.39 0.60 4.97 100.00

3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y Active Duration Contribution

Active Market Value %

AUD 0.00 0.00 0.00 -0.01 -0.01 -0.01 0.00 0.00 0.00 0.00 0.00 -0.03 -3.88CAD 0.00 0.00 0.00 -0.01 -0.01 0.03 0.01 0.00 -0.01 -0.01 0.00 -0.01 -2.68CHF 0.00 0.00 0.00 0.00 -0.01 -0.01 -0.01 0.00 0.00 0.00 0.00 -0.03 -4.43EUR 0.02 -0.02 -0.06 -0.13 -0.21 0.06 0.30 -0.05 0.00 0.09 -0.02 -0.03 1.65GBP 0.00 0.00 -0.01 -0.02 -0.03 0.08 0.11 -0.05 -0.04 -0.03 -0.03 -0.01 2.47JPY 0.00 0.00 0.00 -0.01 -0.01 0.03 0.00 0.00 0.00 0.00 0.00 0.01 -0.93NOK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.32NZD 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1.38SEK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.44USD 0.00 0.02 -0.17 -0.03 -0.18 -0.07 -0.07 -0.05 -0.07 -0.12 0.29 -0.44 3.45Total 0.01 -0.01 -0.25 -0.21 -0.45 0.12 0.34 -0.16 -0.12 -0.07 0.24 -0.55 0.00

PORTFOLIO YIELD CURVE DURATION

ACTIVE YIELD CURVE DURATION

19

_______________________Source: Neuberger Berman. As of April 30, 2016. Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss

HISTORICAL ASSET ALLOCATION (MARKET VALUE %)

-18-15-12-9-6-30369

121518

Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16

USD SEK NZD NOK JPY GBP EUR CHF CAD AUD

Historical Currency Overlay Allocation – Retirement Plan

Changing the asset allocation depending on market dislocations

20


Investment Grade & High Yield Commodity Related Exposure High Yield Rating Exposure

Summary of Commodity Related Positioning – Retirement Plan


Retirement Plan Market ValueInvestment Grade Commodity Related SectorsEnergy 1.46%

Independent Energy 0.99%Integrated Energy 0.47%

Metals/Mining 0.49%Midstream 2.88%Total Investment Grade Subsector Exposure 4.83%

High Yield Commodity Related SectorsEnergy 0.47%

Exploration & Production 0.47%Gas Distribution 1.19%Metals/Mining 0.24%Steel 0.12%Total High Yield Subsector Exposure 2.03%

Total Energy in Portfolio 6.00%Total Metals/Mining & Steel 0.86%Total Commodity Related Sector Exposure 6.85%

Additional Energy ExposureHY CDX Notional Exposure ~22.94%

Energy Exposure through CDX ~1.61%

Total HY Energy Exposure with CDX 3.27%Total Portfolio Energy Exposure Including CDX 7.61%

Retirement Plan Market ValueBBB Rated 0.81%BB Rated 11.81%B Rated 8.31%CCC Rated 0.91%Total High Yield 21.84%

21

We believe there are strong fundamentals in many sectors with attractive valuations

Credit Sector Exposures – Retirement Plan

_______________________Source: Aladdin trading system. Data as of April 30, 2016.Custom Index: 66.67% Barclays Multiverse index, 33.33% Barclays Global High Yield IndexPortfolio characteristics are as of the date indicated and subject to change without notice.

SectorL.A. Water Ret. Plan

IG Exposure (%)L.A. Water Ret. Plan

HY Exposure (%)L.A. Water Ret. Plan

Bank Loan Exposure (%)L.A. Water Ret. Plan

EM Exposure (%)L.A. Water Ret. PlanTotal Exposure (%)

L.A. Water Ret. PlanCustom Index (%)

Active Exposure(%)

L.A. Water Ret. PlanTotal OAS Exposure

(bps)

L.A. Water Ret. Plan Custom Index OAS

(bps)

Active OAS Exposure

(bps)Midstream 2.88 1.19 0.00 0.00 4.07 2.05 2.02 417 412 5REITs 2.36 0.38 0.00 0.00 2.74 1.19 1.55 231 207 25Cable/Media 3.26 2.55 0.21 0.00 6.02 4.65 1.36 256 434 -177Credit Default Swaps 0.00 0.76 0.00 0.00 0.76 0.00 0.76 430 0 430Lodging/Leisure 0.00 1.79 0.56 0.00 2.35 1.69 0.66 329 418 -88Pharmaceuticals 2.43 0.69 0.04 0.00 3.16 2.51 0.65 263 247 16Treasuries 0.00 0.00 0.00 0.21 0.21 0.00 0.21 179 0 179Tobacco 0.69 0.00 0.00 0.00 0.69 0.53 0.16 153 140 12Insurance 2.55 0.00 0.00 0.00 2.55 2.54 0.00 429 286 143Home Construction 0.00 0.93 0.00 0.00 0.93 0.97 -0.04 218 457 -240Government Sponsored 0.00 0.00 0.00 0.00 0.00 0.06 -0.06 0 125 -125Environmental 0.00 0.07 0.00 0.00 0.07 0.15 -0.08 526 764 -238Healthcare 0.41 1.94 0.13 0.00 2.48 2.62 -0.14 272 363 -91Airlines 0.00 0.00 0.00 0.00 0.00 0.27 -0.27 0 392 -392Building Materials 0.00 0.70 0.08 0.00 0.78 1.08 -0.29 202 370 -168Manufacturing/Machinery 1.21 0.57 0.03 0.00 1.81 2.13 -0.32 293 256 37Finance 0.46 1.54 0.04 0.08 2.12 2.46 -0.34 298 378 -80Railroads 0.00 0.00 0.00 0.00 0.00 0.40 -0.40 0 171 -171Health Insurance 0.00 0.00 0.00 0.00 0.00 0.41 -0.41 0 172 -172Food and Beverage 1.18 0.42 0.14 0.41 2.13 2.60 -0.47 203 209 -7Paper/Packaging 0.00 0.73 0.07 0.00 0.80 1.27 -0.47 257 409 -152Technology 1.31 1.28 0.45 0.00 3.04 3.55 -0.50 373 326 47Consumer Cyclical Services 0.00 0.17 0.24 0.00 0.41 0.92 -0.51 269 321 -52Chemicals 0.62 0.34 0.06 0.00 1.03 1.58 -0.55 159 398 -238Natural Gas 0.00 0.00 0.00 0.00 0.00 0.58 -0.58 0 149 -149Consumer Products 0.00 0.21 0.02 0.00 0.23 0.83 -0.59 272 327 -54Automotive 1.60 0.40 0.00 0.00 2.00 2.74 -0.74 174 226 -51Aerospace and Defense 0.00 0.08 0.00 0.00 0.08 0.85 -0.77 345 377 -32Industrial Other 0.00 0.05 0.00 0.00 0.05 0.85 -0.80 297 508 -211Transportation ServiceS 0.00 0.24 0.00 0.00 0.24 1.19 -0.95 344 367 -24Utility 1.71 0.95 0.03 0.00 2.68 3.66 -0.98 307 273 34Telecom 2.70 2.05 0.00 0.00 4.75 6.09 -1.34 295 402 -107Metals and Mining 0.49 0.37 0.03 0.00 0.88 2.77 -1.88 332 613 -281Retailers 0.00 0.57 0.12 0.00 0.69 2.64 -1.94 224 362 -137Banking 11.52 0.43 0.00 0.00 11.95 14.25 -2.30 386 187 199Energy 1.46 0.47 0.00 0.02 1.95 4.65 -2.71 328 645 -317Non-Corporate 0.44 0.00 0.00 9.11 9.55 23.20 -13.66 462 288 175Total 39.29 21.84 2.24 9.82 73.19 99.93 -26.74 461 327 134

Market Value % Credit OAS

22

HEALTH PLAN

_______________________Preliminary returns; not yet reconciled. Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. Please see additional disclosure at the end of this report.

Portfolio Attribution – Health Plan


ATTRIBUTION – HEALTH PLAN

Total Security Sector Total Security Sector Total Security Sector

Rates -1 -4 3 -81 -1 -80 -100 -4 -96

TIPS 0 0 0 0 0 0 4 0 4

Agencies 0 0 0 0 0 0 0 0 0

IG Credit 20 30 -10 29 41 -12 0 17 -17

HY -71 -23 -48 -65 -36 -29 -10 -22 12

Agency MBS 0 0 0 0 0 0 0 0 0

Non-Agency 29 0 29 7 0 7 10 -15 25

CMBS 0 0 0 0 0 0 0 0 0

ABS 0 0 0 0 0 0 0 0 0

Loans 2 0 2 7 0 7 5 0 5

EM -14 -9 -5 -32 -12 -20 -37 -23 -14

Sovereign 0 0 0 3 0 3 -4 0 -4

Currency Overlay 31 0 31 23 0 23 59 0 59

Total -4 -6 2 -109 -8 -101 -73 -47 -26

April 2016 Since InceptionYear to Date 2016

24

_______________________Source: Aladdin Analytics System.

Portfolio Allocation by Asset Class – Health Plan

As of April 30, 2016Portfolio Spread

Duration

Portfolio Benchmark Active Portfolio Benchmark Active Portfolio Active Portfolio Active Portfolio Active Beta Active

Government Related 6.01 0.01 6.00 0.84 0.00 0.84 0.06 0.06 0 0 0 0.00 0.00 0.00 - -

Agencies 0.00 0.01 -0.01 0.00 0.00 0.00 0.00 0.00 0 0 0 0.00 0.00 0.00 - -

Treasuries 6.01 0.00 6.01 -0.53 0.00 -0.53 -0.06 -0.06 0 0 0 0.00 0.00 0.00 - -

US Treasury Bullets 6.01 0.00 6.01 0.13 0.00 0.13 0.05 0.05 0 0 0 0.00 0.00 0.00 - -

US Treasury Futures 0.00 0.00 0.00 -0.66 0.00 -0.66 -0.11 -0.11 0 0 0 0.00 0.00 0.00 - -

Global Sovereign 0.00 0.00 0.00 1.38 0.00 1.38 0.12 0.12 0 0 0 0.00 0.00 0.00 - -

Core Europe 0.00 0.00 0.00 0.97 0.00 0.97 0.08 0.08 0 0 0 0.00 0.00 0.00 - -

Japan 0.00 0.00 0.00 0.04 0.00 0.04 0.00 0.00 0 0 0 0.00 0.00 0.00 - -

U.K. 0.00 0.00 0.00 0.30 0.00 0.30 0.03 0.03 0 0 0 0.00 0.00 0.00 - -

Canada 0.00 0.00 0.00 0.06 0.00 0.06 0.01 0.01 0 0 0 0.00 0.00 0.00 - -

Securitized 16.50 0.04 16.46 0.01 0.00 0.01 0.87 0.87 389 64 64 5.28 0.87 0.87 - -

Non-Agency RMBS 16.50 0.00 16.50 0.01 0.00 0.01 0.87 0.87 389 64 64 5.28 0.87 0.87 - -

ABS 0.00 0.04 -0.04 0.00 0.00 0.00 0.00 0.00 0 0 0 0.00 0.00 0.00 - -

Developed Market IG Credit 40.06 48.37 -8.31 2.97 3.13 -0.16 1.82 0.72 285 114 55 7.16 2.87 -0.18 1.52 1.31

Corporate 39.16 38.71 0.46 2.91 2.58 0.34 1.75 0.78 279 109 55 7.19 2.81 0.31 - -

Financial 16.83 15.16 1.67 1.02 0.83 0.19 0.86 0.51 357 60 38 5.93 1.00 0.18 - -

Industrial 20.61 20.59 0.02 1.72 1.50 0.22 0.82 0.28 219 45 17 8.02 1.65 0.20 - -

Utilities 1.72 2.96 -1.24 0.17 0.24 -0.07 0.07 0.00 237 4 0 9.59 0.16 -0.07 - -

Non-Corporate 0.90 9.66 -8.76 0.06 0.56 -0.50 0.06 -0.06 533 5 0 6.16 0.06 -0.49 - -

Developed Market HY Credit 22.54 33.06 -10.52 0.53 1.37 -0.84 1.97 -0.26 387 174 -7 3.18 1.43 0.08 0.44 -0.72

Credit Derivative(s) 0.76 0.00 0.76 0.01 0.00 0.01 1.00 1.00 430 100 100 3.98 0.92 0.92 - -

Credit 21.79 33.06 -11.28 0.51 1.37 -0.86 0.97 -1.26 342 74 -107 2.33 0.51 -0.84 - -

Senior Floating Rate Loans 2.41 0.00 2.41 0.01 0.00 0.01 0.11 0.11 362 9 9 4.21 0.10 0.10 - -

Emerging Market Debt 9.16 18.52 -9.36 0.66 1.01 -0.36 0.57 -0.56 449 41 -45 6.91 0.63 -0.36 1.16 -0.25

EM Hard Currency 9.16 18.52 -9.36 0.66 1.01 -0.36 0.57 -0.56 449 41 -45 6.91 0.63 -0.35 - -

Sovereign 8.69 13.23 -4.54 0.60 0.78 -0.18 0.55 -0.25 454 39 -20 6.66 0.58 -0.18 - -


High Yield 5.90 8.56 -2.66 0.36 0.47 -0.11 0.42 -0.22 544 32 -19 5.97 0.35 -0.10 - -

Corporate 0.47 5.29 -4.82 0.06 0.23 -0.18 0.03 -0.31 365 2 -25 11.53 0.05 -0.17 - -


High Yield 0.11 3.16 -3.05 0.00 0.12 -0.11 0.01 -0.26 699 1 -21 1.89 0.00 -0.11 - -

Net Unsettled Positions 3.24 0.00 3.24 0.00 0.00 0.00 0.01 0.01 0 0 0 0.00 0.00 0.00 - -

Cash / Cash Equivalents 0.08 0.00 0.08 0.00 0.00 0.00 -0.05 -0.27 0 0 0 0.00 0.00 0.00 - -Total 100.00 100.00 0.00 5.02 5.52 -0.50 5.38 0.70 402 402 76 5.90 5.90 0.51 - -

Beta AdjustedSprd Duration Contribution

Market Value % Duration ContributionNominal Yield Contribution Portfolio

OAS

OAS ContributionSpread Duration

Contribution

25

PORTFOLIO STATISTICS PORTFOLIO CREDIT QUALITY1 (%)

Portfolio Characteristics – Health Plan

_______________________1. Barclays Rating ClassificationSource: Blackrock Aladdin. Past performance is not indicative of future results.Custom Index: 66.67% Barclays Multiverse index, 33.33% Barclays Global High Yield IndexComponents are rounded to 2 decimal places and may incorporate immaterial rounding differences as a result.

0.04

0.42

1.15

0.20 0.290.10

0.99 1.09

0.37 0.42 0.46 0.360.33

-0.13

0.590.49

1.21

0.53

0.020.10

0.820.61

0.280.02 0.220.03

-0.17

0.12

-0.46

-0.20-0.26

-0.010.02

-1.00

-0.50

0.00

0.50

1.00

1.50

3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30YPortfolio Benchmark Active

KEY RATE DURATION CONTRIBUTION


L.A. Water & PowerHealth Plan


Weighted Average Duration (yrs) 5.02 5.52Weighted Average OAS (bps) 402 326Weighted Average Spread Duration (yrs) 5.90 5.39Maturity 6.96 7.34Yield to Maturity (%) 5.48 4.74Yield to Worst (%) 5.38 4.68S&P Rating BB+ BBBMoody's Rating Ba1 Baa3Weighted Average Coupon (%) 4.15 4.99

L.A. Water & PowerHealth Plan


AAA 6.01 6.16AA 0.47 7.87A 4.54 18.79BBB 33.87 21.99BB 23.88 22.47B 19.84 15.75CCC and Below 7.36 5.95NR 0.72 1.03Net Unsettled Position 3.24 0.00Cash 0.08 0.00Total 100.00 100.00

26

Portfolio Positioning by Currency – Health Plan



3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y Duration Contribution Market Value %

AUD 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -3.88CAD 0.00 0.00 0.00 0.00 0.00 0.04 0.02 0.00 0.00 0.00 0.00 0.06 -2.68CHF 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -4.43EUR 0.00 0.00 0.00 0.00 0.01 0.29 0.48 0.02 0.05 0.13 0.00 0.97 1.59GBP 0.00 0.00 0.00 0.00 0.01 0.12 0.17 0.00 0.00 0.00 0.00 0.31 2.46JPY 0.00 0.00 0.00 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.00 0.04 -0.93NOK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.32NZD 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1.38SEK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.44USD 0.04 0.09 0.01 0.41 0.51 0.73 0.48 0.19 0.24 0.36 0.59 3.65 103.50Total 0.04 0.10 0.02 0.42 0.53 1.21 1.15 0.20 0.29 0.49 0.59 5.02 100.00

3M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 25Y 30Y Active Duration Contribution

Active Market Value %

AUD 0.00 0.00 0.00 -0.01 -0.01 -0.01 0.00 0.00 0.00 0.00 0.00 -0.03 -3.88CAD 0.00 0.00 0.00 -0.01 -0.01 0.03 0.01 0.00 -0.01 -0.01 0.00 -0.01 -2.68CHF 0.00 0.00 0.00 0.00 -0.01 -0.01 -0.01 0.00 0.00 0.00 0.00 -0.03 -4.43EUR 0.02 -0.02 -0.06 -0.13 -0.21 0.06 0.29 -0.05 0.00 0.11 -0.02 -0.01 1.65GBP 0.00 0.00 -0.01 -0.02 -0.03 0.08 0.12 -0.05 -0.04 -0.03 -0.03 -0.01 2.47JPY 0.00 0.00 0.00 -0.01 -0.01 0.04 0.00 0.00 0.00 0.00 0.00 0.01 -0.93NOK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.32NZD 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1.38SEK 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.44USD 0.00 0.02 -0.18 -0.02 -0.18 -0.08 -0.08 -0.06 -0.08 -0.04 0.28 -0.42 3.45Total 0.02 -0.01 -0.26 -0.20 -0.46 0.12 0.33 -0.17 -0.13 0.03 0.22 -0.50 0.00

PORTFOLIO YIELD CURVE DURATION

ACTIVE YIELD CURVE DURATION

27

_______________________Source: Neuberger Berman. As of April 30, 2016. Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss

HISTORICAL ASSET ALLOCATION (MARKET VALUE %)

-18-15-12-9-6-30369

121518

Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16

USD SEK NZD NOK JPY GBP EUR CHF CAD AUD

Historical Currency Overlay Allocation – Health Plan

Changing the asset allocation depending on market dislocations

28


Investment Grade & High Yield Commodity Related Exposure High Yield Rating Exposure

Summary of Commodity Related Positioning – Health Plan


Health Benefits Fund Market ValueInvestment Grade Commodity Related SectorsEnergy 1.36%

Independent Energy 0.89%Integrated Energy 0.47%

Metals/Mining 0.49%Midstream 2.91%Total Investment Grade Subsector Exposure 4.75%

High Yield Commodity Related SectorsEnergy 0.49%

Exploration & Production 0.49%Gas Distribution 1.19%Metals/Mining 0.18%Steel 0.13%Total High Yield Subsector Exposure 1.99%

Total Energy in Portfolio 5.94%Total Metals/Mining & Steel 0.79%Total Commodity Related Sector Exposure 6.74%

Additional Energy ExposureHY CDX Notional Exposure ~23.19%

Energy Exposure through CDX ~1.62%

Total HY Energy Exposure with CDX 7.88%Total Portfolio Energy Exposure Including CDX 12.14%

Health Benefits Fund Market ValueBBB Rated 0.85%BB Rated 12.32%B Rated 8.40%CCC Rated 0.98%Total High Yield 22.55%

29

We believe there are strong fundamentals in many sectors with attractive valuations

Credit Sector Exposures – Health Plan

_______________________Source: Aladdin trading system. Data as of April 30, 2016.Custom Index: 66.67% Barclays Multiverse index, 33.33% Barclays Global High Yield IndexPortfolio characteristics are as of the date indicated and subject to change without notice.

SectorL.A. Water Health Plan

IG Exposure (%)L.A. Water Health Plan

HY Exposure (%)L.A. Water Health Plan

Bank Loan Exposure (%)L.A. Water Health Plan

EM Exposure (%)L.A. Water Health Plan

Total Exposure (%)L.A. Water Health Plan

Custom Index (%)Active Exposure

(%)

L.A. Water Health PlanTotal OAS Exposure

(bps)

L.A. Water Health Plan Custom Index OAS

(bps)

Active OAS Exposure

(bps)Midstream 2.91 1.19 0.00 0.00 4.09 2.05 2.04 416 412 4Cable/Media 3.31 2.69 0.22 0.00 6.23 4.65 1.58 259 434 -175REITs 2.20 0.39 0.00 0.00 2.59 1.19 1.40 232 207 25Lodging/Leisure 0.00 1.87 0.60 0.00 2.47 1.69 0.78 336 418 -82Credit Default Swaps 0.00 0.77 0.00 0.00 0.77 0.00 0.77 430 0 430Tobacco 2.45 0.72 0.04 0.00 3.21 2.51 0.70 267 247 20Healthcare 1.00 0.00 0.00 0.00 1.00 0.53 0.46 127 140 -13Insurance 2.55 0.00 0.00 0.00 2.55 2.54 0.01 429 286 143Home Construction 0.00 0.98 0.00 0.00 0.98 0.97 0.01 217 457 -240Pharmaceuticals 0.00 0.00 0.00 0.00 0.00 0.06 -0.06 0 125 -125Government Sponsored 0.41 1.99 0.15 0.00 2.55 2.62 -0.06 275 363 -88Environmental 0.00 0.08 0.00 0.00 0.08 0.15 -0.07 526 764 -238Consumer Cyclical Services 0.00 0.42 0.27 0.00 0.69 0.92 -0.22 217 321 -104Airlines 0.00 0.76 0.09 0.00 0.85 1.08 -0.23 202 370 -168Automotive 0.00 0.00 0.00 0.00 0.00 0.27 -0.27 0 392 -392Manufacturing/Machinery 1.21 0.59 0.03 0.00 1.83 2.13 -0.30 297 256 41Building Materials 2.13 0.30 0.00 0.00 2.44 2.74 -0.30 157 226 -69Food and Beverage 1.18 0.43 0.15 0.47 2.24 2.60 -0.37 216 209 7Railroads 0.00 0.00 0.00 0.00 0.00 0.40 -0.40 0 171 -171Finance 0.00 0.00 0.00 0.00 0.00 0.41 -0.41 0 172 -172Health Insurance 0.46 1.52 0.04 0.00 2.02 2.46 -0.44 279 378 -100Technology 1.19 1.40 0.47 0.00 3.06 3.55 -0.49 356 326 30Chemicals 0.63 0.35 0.07 0.00 1.05 1.58 -0.53 160 398 -238Paper/Packaging 0.00 0.64 0.08 0.00 0.72 1.27 -0.56 257 409 -152Natural Gas 0.00 0.00 0.00 0.00 0.00 0.58 -0.58 0 149 -149Consumer Products 0.00 0.19 0.02 0.00 0.21 0.83 -0.62 291 327 -35Aerospace and Defense 0.00 0.08 0.00 0.00 0.08 0.85 -0.77 346 377 -31Industrial Other 0.00 0.05 0.00 0.00 0.05 0.85 -0.80 296 508 -212Transportation ServiceS 0.00 0.26 0.00 0.00 0.26 1.19 -0.92 348 367 -19Utility 1.72 0.99 0.03 0.00 2.73 3.66 -0.93 310 273 37Telecom 2.79 2.04 0.00 0.00 4.84 6.09 -1.25 290 402 -112Banking 0.00 0.61 0.13 0.00 0.74 2.64 -1.89 221 362 -141Retailers 0.49 0.31 0.03 0.00 0.82 2.77 -1.94 341 613 -272Metals and Mining 11.64 0.42 0.00 0.00 12.06 14.25 -2.19 387 187 200Energy 1.36 0.49 0.00 0.00 1.85 4.65 -2.80 335 645 -310Non-Corporate 0.43 0.00 0.00 8.69 9.13 23.20 -14.08 454 288 167Total 40.06 22.54 2.41 9.16 74.18 99.93 -25.75 456 327 129

Market Value % Credit OAS

30

MARKET ENVIRONMENT

Global Growth Will Likely Remain Low Albeit Slightly Higher in 2016

3.34.4

1.7 1.82.5 1.9 1.6 1.4 1.4 1.1

7.56.7

-2.4-0.7

3.24.2

1.8 2.5 2.4 1.8 1.5 1.1 0.7 0.7

7.3 6.9

-3.8 -3.8

2.9

4.8

2.1 2.1 2.4 1.9 1.7 1.4 1.4 1.3

7.86.7

-2.5

-0.7

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

World EM DM US UK Germany Eurozone France Italy Japan India China Brazil Russia

Market Consensus - 20162015 ActualNB View

REAL GDP GROWTH* (% YoY)

Emerging markets likely to significantly contribute to global growth

_______________________* NB view is calculated using IMF PPP and GDP weights.Source: Bloomberg Finance LP, Deutsche Bank Research.Historical trends and past performance do not imply, forecast or guarantee future results. This material is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

*

32

Fed Chair Yellen’s Speech Emphasized Uncertainty Outside Of the US and Its Impact On Financial Conditions...

While they have been more volatile post-recession, financial conditions are still supportive of continuing growth

Source: Deutsche Bank Research. Historical trends and past performance do not imply, forecast or guarantee future results. This material is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

“Developments abroad imply that meeting our objectives for employment and inflation will likely require a somewhat lower path for the federal funds rate than what was anticipated in December”“We have to take into account the potential fallout from recent global economic and financial developments, which have been marked by bouts of turbulence since the turn of the year”“Reflecting global economic and financial developments since December, however, the pace of rate increases is now expected to be somewhat slower”“Although the baseline outlook has changed little on balance since December, global developments pose ongoing risks”

-Janet Yellen, March 29, 2016

“I think it is important to note a couple of things. First of all, the U.S. economy has been very resilient in recent months in the face of shocks. And we highlighted that right at the beginning of our statement where we said that economic activity has been expanding at a moderate pace despite the global economic and financial developments of recent months.”“Second, I would say that while global developments do pose some downside risks, the risks are not all one-sided. A number of countries, including China, the euro area, the Bank of Japan, have taken measures to stimulate the economy. So there is also up-side risk to the economic outlook.”-Janet Yellen, March 16, 2016 (post FOMC press conference)“Still, ongoing employment gains and faster wage growth should support the growth of real incomes and therefore consumer spending, and global economic growth should pick up over time, supported by highly accommodative monetary policies abroad.”-Janet Yellen, February 10, 2016

33

Interconnected Global Economies and Freely Flowing Capital Makes “De-Linking” by the US Difficult

1 2 3 4 5 6 7 8 9 10 % trading below 0% yield (March 2016)

Switzerland 81%

Japan 65%

Germany 65%

Netherlands 58%

Finland 56%

Austria 51%

France 48%

Sweden 45%

Belgium 41%

Denmark 42%

Italy 20%

Spain 14%

Norway 0%

UK 0%

Negative YieldPositive Yield

_______________________Source: Bloomberg. Historical trends and past performance do not imply, forecast or guarantee future results.

34

Fed Dots Update: Market Expects a Very Extended Normalization Cycle

US spread/equity market volatility and China makes the FOMC task complicated

date

Median FED dots

(3/16/2016)

Median FED dots

(3/17/2015)

Fed Fund Futures

(5/24/2016)Fed Annual

changeMarket vs Fed

DOTS STDEV

(3/16/2016)4th dot

(3/16/2016)5/24/2016 0.38 0.63 0.37 (0.26) (0.01) 0.38

12/31/2016 0.88 1.88 0.68 (1.00) (0.20) 0.23 0.8812/31/2017 1.88 3.13 0.98 (1.25) (0.90) 0.36 1.6312/31/2018 3.00 3.75 1.11 (0.75) (1.89) 0.44 2.5012/31/2019 3.25 3.75 1.29 (0.50) (1.96) 0.30 3.00

(*) 2019 reflects long term ; Using Libor for market expectations for last datapoint on Fed Funds strip

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

5/24/2016 12/31/2016 12/31/2017 12/31/2018 12/31/2019

Median FED dots (3/16/2016)

Median FED dots (3/17/2015)

Fed Fund Futures (5/24/2016)

NB expectations

_______________________Source: Federal Reserve, CME, Bloomberg, NB calculations

35

A Strong Consumer Reduces Recession Risk

_______________________Source: JP Morgan, BEA, University of Michigan, and BLS.Historical trends do not imply, forecast or guarantee future results. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

US REAL CONSUMER SPENDING US HOUSEHOLD INCOME EXPECTATIONS

-6

-4

-2

0

2

4

6

8

2002 2003 2004 2005 2007 2008 2009 2010 2012 2013 2014 2015

AVG 1Q04 - 4Q07: 2.9%

AVG 4Q13 - 4Q15: 3.0%

2

4

6

8

104.2

4.8

5.4

6.0

6.6

1985 1990 1995 2000 2005 2010 2015

SavRate=21.6 - 2.8*Wlth/Inc Rsq=0.79

Ratio to income %

Wlth-income ratio(inverted)

Saving rate

Gap worth 2.5% on PCE as of 4Q15

US HOUSEHOLD WEALTH AND SAVING

-8

-4

0

4

8

12

0

1

2

3

4

1990 1995 2000 2005 2010 2015

Median income expectations

Wage income

%q/q, saar %, 3-month moving average %oya

36

Consumer Sentiment – Back To Pre-Crisis Level

_______________________Source: FRED, Federal Reserve Bank of St. Louis, The Conference BoardRecession Years : 04/1960 to 02/1961, 12/1969 to 11/1970, 11/1973 to 03/1975, 01/1980 to 07/1980, 07/1981 to 11/1982, 07/1990 to 03/1991, 03/2001 to 11/2001 and 12/2007 to 06/2009 Historical trends and past performance do not imply, forecast or guarantee future results.

CONSUMER SENTIMENT : UNIVERSITY OF MICHIGAN VS THE CONFERENCE BOARD

As of March 31, 2016

0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

160.0

1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

University of Michigan : Consumer Sentiment The Conference Board : Consumer Confidence Survey

94.289.0

37

Lower Gas, More Jobs, Higher Wages

EXPECTED CHANGE IN FINANCIAL SITUATION IN A YEAR FOR THE MIDDLE 33% HOUSEHOLD INCOME

38

Middle income groups currently more optimistic about the future

_______________________Source: University of Michigan, Haver Analytics, DB Global Markets ResearchRecession Years : 04/1960 to 02/1961, 12/1969 to 11/1970, 11/1973 to 03/1975, 01/1980 to 07/1980, 07/1981 to 11/1982, 07/1990 to 03/1991, 03/2001 to 11/2001 and 12/2007 to 06/2009 Historical trends and past performance do not imply, forecast or guarantee future results. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

38

30

50

1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 1/1/2014 1/1/2015 1/1/2016

ISM Manufacturing ISM Non-Manufacturing

US ISM Survey: Manufacturing Continues Expansion in April

50.8

55.7

As of May 1, 2016

_______________________Source: Bloomberg, Neuberger Berman Calculations Historical trends do not imply, forecast or guarantee future results. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Neuberger Berman advisors and portfolio managers may make recommendation or take positions contrary to the views expressed. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

39

Global Purchasing Managers Indices1

_______________________Source: NB Research, Bloomberg, Markit, HSBC RBC Capital Markets. Data as of March 31, 2016.1. An indicator of the economic health of the manufacturing sector. The PMI index is based on five major indicators: new orders, inventory levels, production, supplier deliveries and the employment environment.Historical trends do not imply, forecast or guarantee future results. This material is provided for informational purposes only, is as of the date hereof and is subject to change without notice. Nothing herein constitutes a prediction or projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed.

Cyclical moderation during 2015 ending?

PURCHASING MANAGERS INDEX DATA FOR SELECT COUNTRIES/REGIONS

SUMMARY GLOBAL PURCHASING MANAGERS INDEX DATA

40

BBB Investment Grade Credit Spreads to Treasury

_______________________Source: Barclays POINT.Historical trends do not imply, forecast or guarantee future results.

0

100

200

300

400

500

600

700

800

2009 2010 2011 2012 2013 2014 2015 2016

Barclays Credit BBB Rated Index OAS to Treasury

Spreads to Try (bps)

BBB IG CREDIT SPREADS JANUARY 2009 – APRIL 2016 BBB IG CREDIT SPREADS JANUARY 2014 – APRIL 2016

100

125

150

175

200

225

250

275

300

Jan-14 May-14 Aug-14 Nov-14 Mar-15 Jun-15 Sep-15 Jan-16 Apr-16 Jul-16


197 bps

131 bps

41

High Yield Spreads to Treasury

_______________________Source: Bank of America Merrill Lynch.Historical trends do not imply, forecast or guarantee future results.

300

350

400

450

500

550

600

650

700

750

800

850

900

Nov-13 Jun-14 Dec-14 Jul-15 Jan-16 Aug-16

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2007 2009 2010 2011 2012 2013 2014 2016

Bank of America Merrill Lynch US High Yield Master II Constrained OAS to Treasury


HY SPREADS JANUARY 2008 – APRIL 2016 HY SPREADS JANUARY 2014 – APRIL 2016


601 bps

353 bps

42

High Yield Spreads to Treasury, after adjusting for Energy & Commodities

_______________________Source: Bank of America Merrill Lynch. Data as of April 29th, 2016Historical trends do not imply, forecast or guarantee future results.

Bank of America Merrill Lynch US High Yield Master II Constrained OAS to Treasury

HY SPREADS MARCH 2011 – APRIL 2016

250

350

450

550

650

750

850HY Credit Spread ex Energy & Commodities

5 Year Average HY Credit Spread ex Energy & Commodities



Opt

ion

Adj

uste

d S

prea

d (

bps)

43

Credit Spreads and High Yield Default Rates


SPREADS VS. HIGH YIELD DEFAULT RATES

02004006008001,0001,2001,4001,6001,8002,0002,2002,4002,600

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

LTM

2016

E

2017

E

Spread (bps)Par-weighted default rate (%)

LTM High Yield Default rate High Yield Spread to Worst1 2

_______________________1. J.P. Morgan Default Monitor. Defaults based on par amounts. 2. High Yield Spread to Worst is represented by the J.P. Morgan Global High Yield Index.3. Annual High Yield return is represented by the Bank of America Merrill Lynch U.S. High Yield Index.4. Sell off infers any calendar year that produced a negative total return with recovery being the full year immediately following.5. Long-term average is represented by the 25-year average provided by J.P. Morgan. See definitions of indices at the back of this presentation. Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss.

ANNUAL HIGH YIELD RETURNS (%)3

1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD 2016

4.5 13.4 2.3 -4.4 39.2 17.4 16.7 -1.0 20.5 11.3 13.3 3.0 2.5 -5.1 4.5 -1.9 28.1 10.9 2.7 11.8 2.2 -26.4 57.5 15.2 4.4 15.6 7.4 2.5 -4.6 7.4

Recession

Recession

Average Return During Sell Off4: -7.2% Average Return During Recovery4: 30.0% Average HY Spread to Worst2: 627 BpsMedian HY Spread to Worst2: 566 Bps

Long-Term Average Default Rate5: 3.4%

44

Hypothetical Default Scenarios(2)

High Yield Spread(3)

600 bps 700 bps 800 bps 1000 bps

14.0% Total Default Rate2.0% Default Rate at 0% Recovery, $70 price +2.0% Default Rate at 35% Recovery, Par (140 bps) + (130 bps) = – 270 bps loss given default

330 bps 430 bps 530 bps 730 bps

25.0% Total Default Rate3.0% Default Rate at 0% Recovery, $70 price

+ 2.0% Default Rate at 35% Recovery, Par(210 bps) + (130 bps) = – 340 bps loss given default

260 bps 360 bps 460 bps 660 bps



190 bps 290 bps 390 bps 590 bps



-80 bps 20 bps 120 bps 320 bps

High Yield Implied Risk Premium


_______________________1. Risk Premium is defined as the difference between actual spreads and loss given default.

2. Hypothetical default scenarios assume a combination of 0% and 35% recovery rate at $70 and $100 price respectively. A 4% total default rate is the sum of 2% default rate with 0% recovery at a discounted price of $70 and 2% default rate at 35% recovery at the par price. 3. High Yield spread is represented by the Bank of America Merrill Lynch U.S. High Yield Index4. The implied risk premiums in the table above (represented in blue and dotted shades) are calculated by subtracting the various High Yield spreads, as shown above, from the loss given default as shown in the Hypothetical Default Scenario column. The blue, non dotted, shades in the table represent Neuberger Berman estimates of the range of implied risk premium given differing high yield spreadsSee definitions of indices at the back of this presentation. Past performance is not necessarily indicative of future results. As with any investment, there is the possibility of profit as well as the risk of loss.Estimates May Not Materialize. The information contained herein are being shown to illustrate NB's current estimates regarding future financial information, they are not intended to provide any prediction, guarantee or assurance about future performance or market events. Estimates, forecasts or other forward-looking statements regarding future events, targets or estimates are only current as of the date indicated and subject to change without notice. The information in this presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.Please see Neuberger Berman Fixed Income Sector Views and Return Estimates at the end of this material for additional information regarding views and estimates shown.

IMPLIED RISK PREMIUMS(1) FOR HYPOTHETICAL DEFAULT SCENARIOS

45

Emerging Markets Spreads to Treasury

_______________________Source: J.P. Morgan.Historical trends do not imply, forecast or guarantee future results.

200

250

300

350

400

450

500

Nov-13 Jun-14 Dec-14 Jul-15 Jan-16 Aug-160

100

200

300

400

500

600

700

800

2008 2009 2010 2011 2012 2013 2014 2015

J.P. Morgan EMBI Global Diversified OAS to Treasury

EM SPREADS JANUARY 2008 – APRIL 2016 EM SPREADS JANUARY 2014 – APRIL 2016


As of April 30 , 2016

377 bps

256 bps

46

Private Sector Debt Tail Risk Is to Materialize Through Bank Loans and Corporate Domestic Loans

Risk for EM corporate financial sector as well as EM FX and rates in CA deficit countries

47

Performance of Currency Indices

The Japanese yen has been the best performing major currency over all time horizons

-7.1%

-1.1%

7.2%

4.7%

-4.4%

0.6%

-0.2%

1.0%0.0%

0.8%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

USD

EUR

JPY

CAD

GBP

AUD

CHF

NOK

SEK

NZD2.1%

5.4%

15.5%

-2.7%-4.0%-3.6%

-0.3%

-5.3%

6.3%

-8.3%-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%USD

EUR

JPY

CAD

GBP

AUD

CHF

NOK

SEK

NZD

• Best Performing: JPY, NOK• Worst Performing: AUD, USD

• Best Performing: JPY, CAD• Worst Performing: USD, GBP

• Best Performing: JPY, SEK• Worst Performing: NZD, NOK

___________________________Data as at April 29, 2016.Source: Bloomberg, Neuberger Berman Europe Limited calculations.The Currency Index for each currency is calculated as the currency return against an equally weighted basket of the other G10 currencies. The G10 currencies are the ten most liquid currencies; AUD, CAD, CHF, EUR, GBP, JPY, NOK, NZD, SEK and USD.

-2.3%

-0.8%

4.0%

2.2%

-0.6%

-2.6%

-1.5%

2.3%

-0.3%

-0.1%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

USD

EUR

JPY

CAD

GBP

AUD

CHF

NOK

SEK

NZD

1 MONTH 3 MONTHS 1 YEAR

48

G9 Versus USD 12 Months

80

85

90

95

100

105

110

115

Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16

AUD NZD JPY GBP NOK CAD CHF EUR SEK

___________________________Data as of April 29, 2016.Source: Bloomberg, Neuberger Berman Europe Limited calculations.

The Japanese yen has been the best performing major currency over the last 12 months

49

Oil vs US Dollar

The US dollar has exhibited fairly stable correlation with oil

-140

-130

-120

-110

-100

-90

-80

-70

-60

-50

-40

-30

-20

May-11 May-12 May-13 May-14 May-15

85

90

95

100

105

110

115

120

125

130

OIL (Inverted) US Trade Weighted Broad Dollar (rhs)___________________________Data as of April 29, 2016.Source: Bloomberg, Neuberger Berman Europe Limited calculations.

50

INVESTMENT PROCESS

Investment Philosophy

• We are a relative value manager that seeks to extract mispricings from the market without exposing our portfolios to permanent or persistent tilts orbiases based on macro-thematic or other theses

• We believe it is possible to extract relative value from fixed income markets throughout market cycles

• To achieve this we ask ourselves three simple questions:

• We utilize a sensible, rigorous and repeatable framework to answer these three questions

Market mispricings may provide opportunities to add value for those with unique insights and conviction

What is the market’s expectation for an asset’s price?

How do our views differ from the market?

How much confidence do we have in our views?How certain are we?

To provide context

To assess where to allocate capital

To determine size of allocations

Questions Why?

State-Space Analysis1 is an essential tool that seeks to generate risk-adjusted returns through time

_______________________1. Please see Neuberger Berman Fixed Income Sector Views and Return Estimates at the end of this material for additional information regarding the NB State-Space Analysis.

52

_______________________Portfolio manager may use some or all of the techniques described herein.

DISCIPLINED AND CONSISTENT PROCESS SECTOR SPECIALIST MEETINGS

Scheduled meetings and daily interaction feed investment process

Interest Rates & Government SecuritiesMONDAY

Structured ProductsTHURSDAY

Global & CurrencyTUESDAY

Global CreditWEDNESDAY

Portfolio ConstructionBIWEEKLY

Five Major Components

5. Portfolio Construction

1. Sector Research & Valuation(State Space

Analysis)

3. IssueSelection

4. Risk Management

2. Portfolio Strategyand Risk

Budgeting

Estimated Returns

Investment Views

Buy List

Risk Budgets

Investment Process Overview

53

Sector Research & Valuation: State-Space Analysis Across Sectors

Sector specialist teams produce detailed forecasts describing distribution of estimated returns

1

_______________________This material is being provided for illustrative purposes only and does not represent any characteristics of, or views associated with, a particular fund or product. This material is intended as a broad overview of the portfolio managers' style, philosophy and investment process and is subject to change without notice. The numbers and scenarios presented above are not real numbers and do not describe any particular market event or view. *State-Space Analysis is a proprietary framework used to analyze investment views and produce a return estimate and confidence level for each sector. Please see Neuberger Berman Fixed Income Sector Views and Return Estimates at the end of this material for additional information regarding the NB State Space Analysis and the definitions for items on this page.

EXAMPLE

CASE #1 – HIGH CONFIDENCECurrent Spread (bps) 229 229 229 229Spread Change Estimate over 12 Months -78 -30 -5 50Price Return Estimate 1.81% -0.08% -1.07% -3.26%Carry Return Estimate 2.79% 3.02% 3.15% 3.42%Total Return Estimate 4.60% 2.95% 2.08% 0.17%Probability of State Occurring 5% 70% 20% 5%

CASE #2 – LOW CONFIDENCECurrent Spread (bps) 229 229 229 229Spread Change Estimate over 12 Months -78 -30 -5 50Price Return Estimate 1.81% -0.08% -1.07% -3.26%Carry Return Estimate 2.79% 3.02% 3.15% 3.42%Total Return Estimate 4.60% 2.95% 2.08% 0.17%Probability of State Occurring 20% 30% 30% 20%

CASE #3 – MEDIUM CONFIDENCECurrent Spread (bps) 229 229 229 229Spread Change Estimate over 12 Months -78 -30 -5 50Price Return Estimate 1.81% -0.08% -1.07% -3.26%Carry Return Estimate 2.79% 3.02% 3.15% 3.42%Total Return Estimate 4.60% 2.95% 2.08% 0.17%Probability of State Occurring 10% 40% 40% 10%

StateI

StateII

StateIII

StateIV

STATES OF THE WORLD*

HIGH UNCERTAINTY

AVERAGEUNCERTAINTY

LOW UNCERTAINTY

54

Estimated Excess Return over 12 Months (Local Currency) 2.63% Estimated Total Return over 12 Months (USD Hedged) 2.53%

View Uncertainty 2.58% Standard Deviation of Asset Class 7.28%

Portfolio Strategy and Risk Budgeting

Example: NB sector estimated return view distribution

1

VIEW SUMMARY

US SHORT DURATION HIGH YIELD

_______________________Example as of May 12, 2016. Time horizon one year.*Please see Neuberger Berman Fixed Income Sector Views and Return Estimates at the end of this material for additional information regarding the NB State Space Analysis and the definitions for items on this page.

• Moderate U.S. economic growth (2.0% area) leading to gradual interest rate hikes which should be constructive for high yield bonds and senior floating rate loans • High yield volatility likely to remain elevated from global economic weakness and stock market volatility• Energy sector likely to increase U.S. high yield bond and senior floating rate loan default rates in 2016-2017, however default rates should remain below long term averages• Market’s credit quality remain strong excluding commodity sectors

Average leverage has declined to 4.1x (from 5.2x) U.S. Leverage lending guidelines limit excessive lending in new U.S. financings Near-term bond/loan maturities have been significantly reduced through refinancing activity

Option Adjusted Duration YTW Current Spread to Worst Estimated Spread Change

Sector 2.0 4.7 383 80

Benchmark 2.3 5.7 484

States of the World*I. Strong

GDP GrowthII. Stable

GDP GrowthIII. Lower

GDP GrowthIV. Negative GDP Growth

Estimated Spread Change (bps) -125 -25 175 475

Price Return Estimate (%) 2.5 0.5 -3.5 -9.5

Estimated Yield Advantage 3.2 3.7 4.7 6.2

Estimated Excess Return over Treasury (%) 5.7 4.2 1.2 -3.3

Total Return Estimate (%) 5.6 4.1 1.1 -3.4

Probability of State Occurring 15% 40% 35% 10%

55

Summary of Views – Asset Allocation Framework

_______________________Data as of May 12, 2016. This material is being provided for illustrative purposes only and does not represent any characteristics of, or views associated with, a particular fund or product. This material is intended as a broad overview of the portfolio managers' style, philosophy and investment process and is subject to change without notice. *Please see Neuberger Berman Fixed Income Sector Views and Return Estimates at the end of this material for additional information regarding the NB State Space Analysis and the definitions for items on this page.

Large [+] ratios are likely overweights

Large [-] ratios are likely underweights

Portfolio Strategy andRisk Budgets

FIXED INCOME PROPRIETARY ASSET ALLOCATION MODEL

Team Views Estimated Return,

View Uncertainty

Historical Data –Returns and Volatility

Example of risk / return analysis – investment process

2

1.26 12.2% 3.71.18 6.9% 3.51.04 6.2% 3.51.02 7.3% 2.01.00 5.4% 6.60.86 7.9% 6.60.65 6.7% 8.10.53 3.2% 5.30.50 4.3% 0.00.49 4.6% 6.40.48 1.9% 3.40.47 9.8% 5.40.46 9.2% 4.10.43 12.3% 4.90.40 6.0% 7.30.39 5.8% 8.10.38 8.6% 15.90.33 4.4% 3.90.22 9.5% 4.90.20 4.2% 7.30.18 5.8% 8.10.04 5.6% 7.5-0.02 3.2% 3.4-0.04 4.2% 5.9-0.08 3.7% 4.5-0.20 6.2% 7.4-0.36 8.8% 21.8-0.52 4.4% 6.0-0.63 3.6% 4.7-0.68 4.3% 6.7-0.94 3.9% 7.1-1.06 6.5% 11.1-1.31 4.5% 7.6-1.33 2.2% 9.1-1.83 3.8% 10.6

Durationof Sector

Ratio of Estimated

Returns to View Uncertainty

Asset Vol (%) (standard deviation)-20% -15% -10% -5% 0% 5% 10% 15% 20%

European High YieldUSD Non-Agency

USD Sr. Floating Rate LoansUSD Short Duration High Yield (SDHY)

Japanese Yen (JPY) TIPSEM Hard Currency (EM HC) Sovereign

USD TIPSEuro (EUR) Credit

FX OverlayNoncore EU (Spain, Italy) Rates

Core Covered BondsUSD CMBS

USD High Yield (HY)EM Local Currency

Euro TIPSBritish Pound Sterling (GBP) Credit

Canadian Dollar (CAD) TIPSNoncore Covered Bonds

EM Hard Currency (EM HC) CorporatesSwedish Krona (SEK) TIPS

Australian Dollar (AUD) TIPSUSD Credit

USD Agency MBSAustralian Dollar (AUD) Rates

New Zealand Dollar (NZD) RatesSoftcore EU (France, others) RatesBritish Pound Sterling (GBP) TIPS

US Dollar (USD) RatesNorwegian Krone (NOK) Rates

Swedish Krona (SEK) RatesCanadian (CAD) Rates

British Pound Sterling (GBP) RatesCore Euro Rates

Japanese Yen (JPY) RatesSwiss Franc (CHF) Rates

Estimated Return (USD Hedged) View Uncertainty (Low Number = Strong Confidence)

56

Proprietary analytical tools complement team’s ability to identify, select and monitor portfolio positions

PROPRIETARY TOOLS

• Torpedo Monitor• “Credit Best Practices”

Credit

• Fitted nominal yield curve• Fitted real yield curve• Yield curve macro based scenarios

Government

• First Look• Intex scenario module• Fair value analyzer

Structured Products

3

RESEARCH TEAM

Issue Selection

“BUY” LIST

• Framework of fundamental indicators

Active Currency

• Extensive and experienced analyst team—staff of 60 analysts averaging 8 years of experience

• Fundamental and quantitative security-level analysis

• Assess market pricing and evaluate risk• Rank ex-ante risk adjusted estimated returns• Use proprietary tools, investment insight and

judgment to formulate buy list

_______________________Portfolio managers may use some or all of the tools described herein.

57

PROPRIETARY RISK MANAGEMENT FRAMEWORK• Estimated tracking error / absolute risk• Estimated value added• Estimated information ratio• Tracking error / absolute risk decomposition• Conditional VAR (Expected Shortfall)

RISK REPORTS

ISSUE SELECTION DECISIONS• Idiosyncratic risks• Diversification constraints

ASSET ALLOCATION DECISIONS• Sector allocation• Sub-sector decisions• Sector and sub-sector decisions

Proprietary risk management framework used to continuously monitor overall portfolio risk

4Risk Management

Risk Budget

Risk Budget

Risk Budget

INTEREST RATE DECISIONS• Duration target• Yield curve positioning

___________________________This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process.

58

Credit• Diversification emphasis• Quality/OAS buckets• Industry weights• Issuer constraints

Structured Products• Diversification emphasis• MBS coupon stack• ABS vintage analysis• Analyze unique bond structures

“BUY” LISTCLIENT GUIDELINES AND

TRACKING ERROR TARGET(variable through time)

PORTFOLIO STRATEGY AND RISK BUDGETS

5

Portfolios constructed to seek to achieve maximum information ratio

Portfolio Construction

CLIENT PORTFOLIO

Government• Emphasize idiosyncratic risk• Breakeven inflation curve/path• Term premiums

Currency• Diversified approach• Relative value fundamental

process• Multiple time horizons

CONSTRUCTION PROCESS

___________________________This material is intended as a broad overview of the portfolio managers’ current style, philosophy and process.

59

PORTFOLIO RISK MANAGEMENT

Portfolio Tracking Error Snapshot

TRACKING ERROR SNAPSHOT

TRACKING ERROR (RISK) DECOMPOSITION (BP/ANN)

___________________________Source: Neuberger Berman Fixed Income.For illustrative purposes only. The above reflects the potential effect on the portfolio account’s tracking error in different scenarios of historic risk volatility. The Normal Estimate Volatility scenario is based on covariancematrix of return data without the top and bottom 10% tails of the data, while the Extreme Estimate Volatility (Ext) scenario is based on covariance matrix of return data of only the top and bottom 10% tails. The Best EstimateVolatility scenario is a weighted average of the Normal Estimate Volatility scenario and the Extreme Estimate Volatility scenario. The Exponential Volatility (Exp) scenario is based on covariance of return data with greater emphasis on more recent periods.

Los Angeles Water & Power Retirement Plan Portfolio as of April 30, 2016

Index Portfolio Relative VaR @95% CVaR @95%Tracking Error (TR) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann)Portfolio 3 Year Estimate 379 449 176 290 363Portfolio 5 Year Estimate 383 467 175 288 362Portfolio Exponential Estimate 394 448 172 282 354Portfolio Best Estimate 398 449 166 272 342Portfolio Normal Estimate 364 406 146Portfolio Extreme Estimate 626 729 287

Tracking Error 3yr 5yr Exp Best Normal ExtRates 12 13 12 16 14 29Non US Rates 8 7 8 7 7 10Soft/Non Core Euro 1 0 0 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit 72 70 58 74 74 90MBS 0 0 0 0 0 0CMBS/ABS 0 0 0 0 0 0EMD (13) (14) (9) (7) (6) (15)Non Agency 72 73 79 52 38 125Senior Floating Rate Loans 6 8 7 6 3 18Currency Overlay 18 18 18 17 15 29

61

Portfolio Risk Report (Tracking Error)

RISK REPORT



Tracking ErrorFactors Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 67 1.00 0.95 -0.05 EUR Rates 5 4 5 5 5 7 3% 2% 3% 3% 3% 2%GBP Rates 68 0.32 0.30 -0.02 GBP Rates 1 1 1 0 0 1 1% 0% 0% 0% 0% 0%CHF Rates 58 0.03 -0.03 CHF Rates 1 1 1 1 1 1 0% 0% 0% 1% 1% 0%NOK Rates 85 0.00 -0.00 NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 72 0.00 -0.00 SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 80 0.02 -0.02 AUD Rates 2 1 1 1 1 2 1% 1% 1% 1% 1% 1%NZD Rates 92 0.00 -0.00 NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates 29 0.03 0.04 0.01 JPY Rates (0) (0) (0) (0) (0) (0) 0% 0% 0% 0% 0% 0%CAD Rates 75 0.06 0.06 -0.00 CAD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Soft Core Euro 17 0.53 0.05 0.05 Soft Core Euro 1 0 0 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 77 Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%USD Rates 1yr 56 0.09 0.13 0.04 USD Rates 1yr (0) (0) (0) (1) (1) (2) 0% 0% 0% 0% 0% -1%USD Rates 2yr 66 0.19 0.02 -0.17 USD Rates 2yr 2 2 3 6 5 11 1% 1% 2% 4% 3% 4%USD Rates 5 yr 76 1.12 0.91 -0.21 USD Rates 5 yr 7 8 7 9 8 15 4% 4% 4% 5% 5% 5%USD Rates 7 Yr 75 0.80 0.73 -0.07 USD Rates 7 Yr 3 3 3 3 3 5 2% 2% 2% 2% 2% 2%USD Rates 10 yr 71 0.56 0.49 -0.07 USD Rates 10 yr 3 3 3 3 2 5 2% 2% 1% 2% 1% 2%USD Rates 30 yr 72 1.28 1.35 0.07 USD Rates 30 yr (4) (3) (3) (3) (2) (4) -2% -2% -2% -2% -2% -2%TIPS Intermediate 72 TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 50 TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 22 Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 16 Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 37 9.94 0.07 0.45 0.00 -0.45 Credit OAS(<=50) (3) (4) (2) 1 1 2 -2% -3% -1% 1% 0% 1%Credit (OAS 50 - 75) 20 6.38 0.20 0.25 0.01 -0.24 Credit (OAS 50 - 75) (3) (4) (3) (2) (1) (5) -2% -2% -2% -1% -1% -2%Credit (OAS 75-100) 22 7.20 1.49 0.34 0.08 -0.26 Credit (OAS 75-100) (5) (5) (4) (3) (2) (7) -3% -3% -2% -2% -1% -2%Credit (OAS 100-125) 27 6.63 3.28 0.42 0.18 -0.24 Credit (OAS 100-125) (6) (6) (5) (4) (2) (9) -3% -3% -3% -2% -2% -3%Credit (OAS 125 -150) 33 5.49 4.08 0.45 0.27 -0.19 Credit (OAS 125 -150) (5) (6) (5) (4) (3) (9) -3% -3% -3% -2% -2% -3%Credit (OAS 150-175) 41 4.11 4.41 0.35 0.29 -0.07 Credit (OAS 150-175) (2) (3) (2) (2) (1) (4) -1% -1% -1% -1% -1% -1%Credit (OAS 175 -200) 50 3.21 2.74 0.24 0.25 0.01 Credit (OAS 175 -200) 0 0 0 0 0 1 0% 0% 0% 0% 0% 0%Credit (OAS 200-250) 64 5.93 11.87 0.41 0.75 0.33 Credit (OAS 200-250) 18 18 14 14 12 24 10% 10% 8% 9% 8% 9%Credit (OAS 250-300) 79 5.62 7.55 0.31 0.41 0.10 Credit (OAS 250-300) 6 7 5 5 5 9 4% 4% 3% 3% 3% 3%Credit (OAS 300-400) 106 8.73 10.46 0.45 0.60 0.14 Credit (OAS 300-400) 12 13 10 11 10 16 7% 7% 6% 7% 7% 6%Credit (OAS 400-600) 147 9.68 33.89 0.46 1.46 1.00 Credit (OAS 400-600) 117 124 97 114 107 168 66% 71% 57% 69% 73% 59%Credit (OAS 600-800) 212 4.12 2.08 0.19 0.08 -0.11 Credit (OAS 600-800) (16) (18) (14) (17) (15) (27) -9% -10% -8% -10% -11% -9%Credit (OAS 800-1000) 301 2.05 0.72 0.09 0.02 -0.06 Credit (OAS 800-1000) (11) (13) (10) (12) (11) (20) -6% -7% -6% -7% -8% -7%Credit (OAS 1000-1500) 440 1.69 0.04 0.07 0.00 -0.07 Credit (OAS 1000-1500) (16) (19) (14) (17) (15) (28) -9% -11% -8% -10% -10% -10%Credit (OAS 1500+) 769 1.07 0.09 0.03 0.00 -0.03 Credit (OAS 1500+) (13) (15) (11) (11) (9) (23) -7% -9% -6% -7% -6% -8%MBS (<=97) 69 MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 57 MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 52 MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 44 0 MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 53 0 MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 63 MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 101 CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 83 ABS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%EMD 92 18.03 9.91 0.99 0.77 -0.21 EMD (13) (14) (9) (7) (6) (15) -8% -8% -5% -4% -4% -5%Non Agency RMBS 134 16.18 0.57 0.57 Non Agency RMBS 72 73 79 52 38 125 41% 42% 46% 31% 26% 44%Senior Floating Rate Loans 129 2.25 0.08 0.08 Senior Floating Rate Loans 6 8 7 6 3 18 4% 4% 4% 3% 2% 6%

Currency Overlay 18 18 18 17 15 29 10% 10% 10% 10% 10% 10%

Total 176 175 172 166 146 287 100% 100% 100% 100% 100% 100%

Tracking Error (Risk) Decomposition (bp/Ann) Tracking Error (Risk) Decomposition (%) Spread/Yield Volatility(Bp/Ann)

BenchMark Weight(%)

Portfolio Weight

BenchMark $Duration

Portfolio Abs $Duration

Portfolio Relative $Duration

62

Portfolio Risk Report (Absolute Risk)


RISK REPORT


Absolute Portfolio Risk 3yr 5yr Exp Best Normal ExtRates (24) (18) 23 42 52 (5)Non US Rates 8 (2) 8 6 10 (13)Soft/Non Core Euro 1 1 1 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit 368 373 328 327 285 585MBS 0 0 0 0 0 0CMBS/ABS 0 0 0 0 0 0EMD 65 63 58 45 36 92Non Agency 21 38 19 19 14 45Senior Floating Rate Loans 6 8 6 5 3 15Currency Overlay 6 6 6 6 5 10

Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 5 (2) 4 4 7 (10) 1% 0% 1% 1% 2% -1%GBP Rates 3 0 4 2 3 (2) 1% 0% 1% 0% 1% 0%CHF Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates (0) 0 (0) (0) (0) 0 0% 0% 0% 0% 0% 0%CAD Rates (0) (1) 0 0 1 (1) 0% 0% 0% 0% 0% 0%Soft Core Euro 1 1 1 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%USD Rates 1yr (0) (0) (0) 1 1 (0) 0% 0% 0% 0% 0% 0%USD Rates 2yr (0) 0 0 0 0 (0) 0% 0% 0% 0% 0% 0%USD Rates 5 yr 0 3 11 16 20 1 0% 1% 3% 4% 5% 0%USD Rates 7 Yr (2) 1 10 14 16 3 0% 0% 2% 3% 4% 0%USD Rates 10 yr (2) (1) 6 9 11 4 -1% 0% 1% 2% 3% 1%USD Rates 30 yr (20) (21) (5) 1 4 (13) -5% -4% -1% 0% 1% -2%TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 50 - 75) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 75-100) 2 2 2 1 1 3 0% 0% 0% 0% 0% 0%Credit (OAS 100-125) 5 5 4 3 3 7 1% 1% 1% 1% 1% 1%Credit (OAS 125 -150) 9 10 8 6 5 14 2% 2% 2% 1% 1% 2%Credit (OAS 150-175) 12 13 10 9 8 17 3% 3% 2% 2% 2% 2%Credit (OAS 175 -200) 12 12 10 10 8 18 3% 3% 2% 2% 2% 2%Credit (OAS 200-250) 45 45 41 38 33 69 10% 10% 9% 8% 8% 9%Credit (OAS 250-300) 30 30 27 25 22 45 7% 7% 6% 6% 5% 6%Credit (OAS 300-400) 53 55 49 48 42 85 12% 12% 11% 11% 10% 12%Credit (OAS 400-600) 182 182 161 167 147 294 41% 39% 36% 37% 36% 40%Credit (OAS 600-800) 12 12 10 12 10 22 3% 3% 2% 3% 3% 3%Credit (OAS 800-1000) 4 4 3 5 4 8 1% 1% 1% 1% 1% 1%Credit (OAS 1000-1500) 0 1 0 1 0 1 0% 0% 0% 0% 0% 0%Credit (OAS 1500+) 1 1 1 1 1 3 0% 0% 0% 0% 0% 0%MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%EMD 65 63 58 45 36 92 14% 13% 13% 10% 9% 13%Non Agency RMBS 21 38 19 19 14 45 5% 8% 4% 4% 3% 6%Senior Floating Rate Loans 6 8 6 5 3 15 1% 2% 1% 1% 1% 2%Currency Overlay 6 6 6 6 5 10 1% 1% 1% 1% 1% 1%

Total 449 467 448 449 406 729 100% 100% 100% 100% 100% 100%

Absolute Portfolio Risk Decomposition (bp/Ann) Absolute Risk Decomposition (%)

63

Portfolio Tracking Error Snapshot

TRACKING ERROR SNAPSHOT

TRACKING ERROR (RISK) DECOMPOSITION (BP/ANN)


Los Angeles Water & Power Health Plan Portfolio as of April 30, 2016

Index Portfolio Relative VaR @95% CVaR @95%Tracking Error (TR) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann) (bp/Ann)Portfolio 3 Year Estimate 379 443 170 279 350Portfolio 5 Year Estimate 383 460 169 279 349Portfolio Exponential Estimate 394 443 168 276 346Portfolio Best Estimate 398 445 163 268 336Portfolio Normal Estimate 364 403 143Portfolio Extreme Estimate 626 720 282

Tracking Error 3yr 5yr Exp Best Normal ExtRates 11 12 11 16 14 27Non US Rates 8 7 8 7 6 10Soft/Non Core Euro 1 1 0 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit 72 69 57 74 74 88MBS 0 0 0 0 0 0CMBS/ABS 0 0 0 0 0 0EMD (19) (19) (13) (10) (8) (19)Non Agency 73 75 80 53 39 128Senior Floating Rate Loans 7 8 7 6 3 18Currency Overlay 18 18 18 17 15 30

64

Portfolio Risk Report (Tracking Error)

RISK REPORT



Tracking ErrorFactors Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 67 1.00 0.97 -0.03 EUR Rates 5 4 5 4 4 6 3% 2% 3% 3% 3% 2%GBP Rates 68 0.32 0.30 -0.02 GBP Rates 1 1 1 0 0 1 0% 0% 0% 0% 0% 0%CHF Rates 58 0.03 -0.03 CHF Rates 1 1 1 1 1 1 0% 0% 0% 1% 1% 0%NOK Rates 85 0.00 -0.00 NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 72 0.00 -0.00 SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 80 0.02 -0.02 AUD Rates 1 1 1 1 1 2 1% 1% 1% 1% 1% 1%NZD Rates 92 0.00 -0.00 NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates 29 0.03 0.04 0.01 JPY Rates (0) (0) (0) (0) (0) (0) 0% 0% 0% 0% 0% 0%CAD Rates 75 0.06 0.06 -0.00 CAD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Soft Core Euro 17 0.56 0.05 0.05 Soft Core Euro 1 1 0 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 77 Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%USD Rates 1yr 56 0.09 0.13 0.04 1yr (0) (0) (1) (1) (1) (2) 0% 0% 0% -1% 0% -1%USD Rates 2yr 66 0.19 0.01 -0.18 2yr 2 2 3 6 5 11 1% 1% 2% 4% 4% 4%USD Rates 5 yr 76 1.12 0.92 -0.20 5 yr 7 7 7 8 7 14 4% 4% 4% 5% 5% 5%USD Rates 7 Yr 75 0.80 0.73 -0.07 7 Yr 3 3 3 3 3 5 2% 2% 2% 2% 2% 2%USD Rates 10 yr 71 0.56 0.48 -0.08 10 yr 4 3 3 3 2 5 2% 2% 2% 2% 2% 2%USD Rates 30 yr 72 1.28 1.38 0.10 30 yr (5) (5) (4) (4) (3) (6) -3% -3% -3% -2% -2% -2%TIPS Intermediate 72 TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 50 TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 22 Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 16 Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 37 9.94 0.07 0.45 0.00 -0.45 Credit OAS(<=50) (3) (4) (2) 1 1 3 -2% -3% -1% 1% 0% 1%Credit (OAS 50 - 75) 20 6.38 0.59 0.25 0.02 -0.23 Credit (OAS 50 - 75) (3) (4) (3) (2) (1) (4) -2% -2% -2% -1% -1% -2%Credit (OAS 75-100) 22 7.20 1.63 0.34 0.09 -0.25 Credit (OAS 75-100) (4) (5) (4) (3) (2) (7) -3% -3% -2% -2% -1% -2%Credit (OAS 100-125) 27 6.63 3.85 0.42 0.20 -0.22 Credit (OAS 100-125) (5) (5) (4) (3) (2) (8) -3% -3% -2% -2% -2% -3%Credit (OAS 125 -150) 33 5.49 4.09 0.45 0.26 -0.19 Credit (OAS 125 -150) (5) (6) (4) (4) (3) (9) -3% -3% -3% -2% -2% -3%Credit (OAS 150-175) 41 4.11 4.58 0.35 0.29 -0.07 Credit (OAS 150-175) (2) (2) (2) (2) (1) (4) -1% -1% -1% -1% -1% -1%Credit (OAS 175 -200) 50 3.21 2.83 0.24 0.26 0.01 Credit (OAS 175 -200) 0 0 0 0 0 1 0% 0% 0% 0% 0% 0%Credit (OAS 200-250) 64 5.93 12.24 0.41 0.79 0.37 Credit (OAS 200-250) 19 20 15 15 13 26 11% 12% 9% 9% 9% 9%Credit (OAS 250-300) 79 5.62 7.02 0.31 0.38 0.06 Credit (OAS 250-300) 4 4 3 3 3 5 2% 3% 2% 2% 2% 2%Credit (OAS 300-400) 106 8.73 10.55 0.45 0.59 0.14 Credit (OAS 300-400) 11 12 9 10 10 15 7% 7% 5% 6% 7% 5%Credit (OAS 400-600) 147 9.68 34.41 0.46 1.48 1.02 Credit (OAS 400-600) 115 122 95 113 107 163 68% 72% 57% 69% 74% 58%Credit (OAS 600-800) 212 4.12 1.91 0.19 0.07 -0.12 Credit (OAS 600-800) (17) (19) (15) (18) (17) (28) -10% -11% -9% -11% -12% -10%Credit (OAS 800-1000) 301 2.05 0.76 0.09 0.02 -0.06 Credit (OAS 800-1000) (10) (12) (9) (12) (11) (18) -6% -7% -5% -7% -8% -6%Credit (OAS 1000-1500) 440 1.69 0.06 0.07 0.00 -0.06 Credit (OAS 1000-1500) (15) (18) (14) (16) (15) (26) -9% -11% -8% -10% -10% -9%Credit (OAS 1500+) 769 1.07 0.11 0.03 0.00 -0.03 Credit (OAS 1500+) (12) (14) (10) (11) (9) (21) -7% -8% -6% -7% -6% -7%MBS (<=97) 69 MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 57 MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 52 MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 44 0 MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 53 0 MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 63 MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 101 CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 83 ABS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%EMD 92 18.03 9.25 0.99 0.66 -0.33 EMD (19) (19) (13) (10) (8) (19) -11% -11% -8% -6% -6% -7%Non Agency RMBS 134 16.23 0.57 0.57 Non Agency RMBS 73 75 80 53 39 128 43% 44% 48% 33% 27% 45%Senior Floating Rate Loans 129 2.42 0.08 0.08 Senior Floating Rate Loans 7 8 7 6 3 18 4% 5% 4% 4% 2% 6%

Currency Overlay 18 18 18 17 15 30 11% 11% 11% 11% 11% 11%

Total 170 169 168 163 143 282 100% 100% 100% 100% 100% 100%

Tracking Error (Risk) Decomposition (bp/Ann) Tracking Error (Risk) Decomposition (%) Spread/Yield Volatility(Bp/Ann)

BenchMark Weight(%)

Portfolio Weight

BenchMark $Duration

Portfolio Abs $Duration

Portfolio Relative $Duration

65

Portfolio Risk Report (Absolute Risk)


RISK REPORT


Factors 3yr 5yr Exp Best Normal Ext 3Yr 5yr Exp Best Normal ExtEUR Rates 6 (1) 5 5 8 (9) 1% 0% 1% 1% 2% -1%GBP Rates 4 1 4 2 3 (2) 1% 0% 1% 0% 1% 0%CHF Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NOK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%SEK Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%AUD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%NZD Rates 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%JPY Rates (0) 0 (0) (0) (0) 0 0% 0% 0% 0% 0% 0%CAD Rates (0) (1) 0 0 1 (1) 0% 0% 0% 0% 0% 0%Soft Core Euro 1 1 1 0 0 0 0% 0% 0% 0% 0% 0%Non Core Euro 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%USD Rates 1yr (0) (0) (0) 1 1 (0) 0% 0% 0% 0% 0% 0%USD Rates 2yr (0) 0 0 0 0 (0) 0% 0% 0% 0% 0% 0%USD Rates 5 yr 1 3 12 17 20 2 0% 1% 3% 4% 5% 0%USD Rates 7 Yr (1) 1 10 14 17 4 0% 0% 2% 3% 4% 1%USD Rates 10 yr (2) (1) 6 9 11 4 0% 0% 1% 2% 3% 1%USD Rates 30 yr (19) (19) (3) 3 5 (11) -4% -4% -1% 1% 1% -1%TIPS Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%TIPS Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Intermediate 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Agency Long 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit OAS(<=50) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 50 - 75) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%Credit (OAS 75-100) 2 2 2 1 1 3 1% 0% 0% 0% 0% 0%Credit (OAS 100-125) 6 6 5 4 3 8 1% 1% 1% 1% 1% 1%Credit (OAS 125 -150) 9 10 8 6 5 13 2% 2% 2% 1% 1% 2%Credit (OAS 150-175) 12 13 10 9 8 17 3% 3% 2% 2% 2% 2%Credit (OAS 175 -200) 12 12 11 10 8 18 3% 3% 2% 2% 2% 3%Credit (OAS 200-250) 47 47 43 40 34 72 11% 10% 10% 9% 9% 10%Credit (OAS 250-300) 27 28 25 23 20 41 6% 6% 6% 5% 5% 6%Credit (OAS 300-400) 52 54 48 48 42 84 12% 12% 11% 11% 10% 12%Credit (OAS 400-600) 183 183 162 168 148 296 41% 40% 36% 38% 37% 41%Credit (OAS 600-800) 10 10 9 10 9 19 2% 2% 2% 2% 2% 3%Credit (OAS 800-1000) 4 4 4 5 4 9 1% 1% 1% 1% 1% 1%Credit (OAS 1000-1500) 1 1 1 1 1 2 0% 0% 0% 0% 0% 0%Credit (OAS 1500+) 1 2 1 2 1 3 0% 0% 0% 0% 0% 0%MBS (<=97) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>97-100) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>100-102) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>102-104) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>104-107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%MBS (>107) 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%CMBS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%ABS 0 0 0 0 0 0 0% 0% 0% 0% 0% 0%EMD 54 53 48 37 30 77 12% 11% 11% 8% 7% 11%Non Agency RMBS 20 38 19 19 14 46 5% 8% 4% 4% 3% 6%Senior Floating Rate Loans 6 8 7 5 3 16 1% 2% 2% 1% 1% 2%Currency Overlay 6 6 6 6 5 10 1% 1% 1% 1% 1% 1%

Total 443 460 443 445 403 720 100% 100% 100% 100% 100% 100%

Absolute Portfolio Risk Decomposition (bp/Ann) Absolute Risk Decomposition (%) Absolute Portfolio Risk 3yr 5yr Exp Best Normal ExtRates (21) (16) 25 44 54 (1)Non US Rates 9 (1) 9 7 11 (12)Soft/Non Core Euro 1 1 1 0 0 0TIPS 0 0 0 0 0 0Agencies 0 0 0 0 0 0Credit 367 372 327 326 284 584MBS 0 0 0 0 0 0CMBS/ABS 0 0 0 0 0 0EMD 54 53 48 37 30 77Non Agency 20 38 19 19 14 46Senior Floating Rate Loans 6 8 7 5 3 16Currency Overlay 6 6 6 6 5 10

66

PORTFOLIO GUIDELINES & FEE SCHEDULE

LADWP Active Extended Global Credit Portfolio

The Plan has appointed Manager(s) as Active Extended Global Credit Manager(s) to manage a portion of the Plan's assets. These assets will be managed in conformity with the objectivesand guidelines delineated below and in accordance with a formal contract with the Retirement Board.

Portfolio Component Definition• Manager(s) will manage an active portfolio (“Portfolio”) for the Plan that will provide participation in the higher return and higher volatility segments of the fixed income market. Given this

orientation, the goal of the Portfolio is to provide superior performance versus the blended 66.67% Barclays Global Credit Bond Index (hedged) / 33.33% Barclays Global High Yield Index(hedged) (66.67% Barclays Global Credit (hedged) / 33.33% Global High Yield (hedged)) over a complete investment cycle of approximately three-to-five years.

Portfolio Guidelines• The portfolio shall be composed of securities throughout the credit risk spectrum, as defined by Barclays (the publisher of the Barclays Indices). Barclays defines a non-investment grade

bond as follows: If a bond is rated by all three rating agencies (Moody’s, S&P, Fitch), then it must be rated non-investment grade (BB+ or Ba1) by two or more rating agencies. If a bond israted by two rating agencies, it must be rated below investment grade by at least one rating agency. If only one rating agency rates the bond, then a rating below BBB-or Baa3 isconsidered non-investment grade. The portfolio may contain investment grade, non- investment grade, and unrated bonds.

• In the event of a downgrade below single C, or in the case of a default, Manager(s) must notify the Plan of the downgrade within two days of the date that the downgrade occurs. In theevent of a downgrade below single C, or in the case of a default, if the Manager(s) elects to retain the bond in the portfolio the Manager(s) must inform the Plan of the downgrade withintwo days of the date that the downgrade occurs, and provide a rationale for continued retention of the holding.

• There may be instances when debt issues convert into equity-oriented securities (i.e. preferred stock, common stock or warrants to purchase other equity securities). To handle thesesituations, fixed income managers are allowed to hold equity-oriented positions when received in exchange for, or conversion or cancellation of debt securities held in the portfolio. Themanager(s) is required to inform the Plan 30 days prior to the conversion when they intend to hold the resulting equity-oriented positions. Equity-oriented securities can be held in theportfolio no longer than six months. The manager(s) is required to provide 30 days advance notice to extend the holding period beyond the original six-month period. No more than 10%of the portfolio shall be invested in equity-oriented securities resulting from fixed-to-equity exchanges.

Investment Guidelines and Objectives

Fee Schedule

Flat Fee 0.23%

68


Portfolio Guidelines (continued)

• Any investments in securities (including, but not limited to, Build America Bonds, Recovery Zone Economic Development Bonds, Tax Credit Bonds, et. al.) issued by the City of LosAngeles and/or any of its affiliates are not permitted and should not be held in the WPERP portfolio.

• Non-benchmark markets holdings (excluding cash and excluding Government-Supported) shall be limited to 50% of a single manager portfolio. Benchmark markets are based oncurrency denomination and security type (e.g., USD corporate industrial bonds, EUR corporate financial bond, etc.). Security type is based on Barclays’ Class 2 sector classificationsand instrument (e.g., bond versus loan).

• No more than 60% of a single manager portfolio may be invested in below investment grade (Baa3 or BBB-) / unrated securities.

• Non-benchmark Government-Supported markets holdings shall be limited to 40% of a single manager portfolio.

• Government-Supported securities are defined as Supranationals, Local Authorities, U.S. Treasuries, sovereign debt of OECD governments, U.S. Agencies and Government SponsoredEnterprises, and equivalently-rated agencies of OECD governments.

• Minimum issuance size is $100 million.

• Foreign net currency exposure shall be limited to 35%.

• Foreign gross currency exposure shall be limited to 70%.

• Currency exposure is measured as the absolute value of all country-level currency positions versus the U.S. dollar.

• No more than 5% of the lesser of cost or market value will be invested in any one issuer, with the exception of Government-Supported securities.

• No more than 20% of the lesser of cost or market value will be invested in any one industry (as defined by Barclays), with the exception of Government-Supported securities.

Investment Guidelines and Objectives (continued)

69


Portfolio Guidelines (continued)• Derivatives may be managed to protect market value and to maximize total returns, subject to the following guidelines:

Eligible applications include but are not limited to the purchase, sale, exchange, conversion or other trade of exchange traded index option contracts, over-the-counter options,international fixed income futures, domestic fixed income futures and swaps.

The total relative economic impact risk of each derivative application will be monitored on a daily basis by the most appropriate risk management tools for the particularderivatives application.

Excluding FX derivatives maintained to hedge currency risk, the maximum investment, as measured by net notional amount, in derivative instruments will be 100% of theportfolio’s total market value.

In order to limit the financial risks associated with derivative applications, rigorous counterparty selection criteria and netting agreements shall be required to minimizecounterparty risk. If utilized, the counterparty must be of an investment grade credit and the agreement must be marked to market no less frequently than monthly.

Borrowed funds shall not be used.

• For prudent diversification, the portfolio shall have a minimum of 25 issues.

• The cash equivalent portion should not normally exceed 10% of market value of the portfolio. Cash equivalents held backing derivatives are excluded from the 10% limit. ExchangeTraded Funds (“ETFs”) may be used to temporarily invest excess cash and provide short-term liquidity and/or market exposure. Investments in ETFs count toward the 10% cashequivalent limit. ETF allocations shall be included in the calculation of portfolio guideline limitations based on underlying ETF holdings. Cash equivalents are defined as follows:

• For Neuberger Berman cash equivalents are defined as Treasury securities with a maturity of 3 months or less.

• No more than 20% of the lesser of cost or market value will be invested in commingled funds managed by the manager. When investing in commingled funds the manager shallrebate all investment management fees associated with use of these funds. Commingled fund allocations shall be included in the calculation of portfolio guideline limitations based onunderlying commingled fund holdings. Commingled funds should be used as a tool for making tactical investments and investments should generally be for periods of less than 6months.


70


Portfolio Characteristics• The acceptable modified duration band around the 66.67% Barclays Global Credit (hedged)/ 33.33% Barclays Global High Yield (hedged) Index ± 4 years.

• It is an objective of the portfolio that it will track the 66.67% Barclays Global Credit (hedged)/ 33.33% Barclays Global High Yield (hedged) Index closely. Over an investment cycle ofapproximately three-to-five years, the portfolio should produce a correlation statistic of no less than 0.65 versus the 66.67% Barclays Global Credit (hedged) / 33.33% BarclaysGlobal High Yield (hedged) Index.

Performance Objectives• On an annual basis, Manager(s) is/are expected to outperform the 66.67% Barclays Global Credit (hedged) / 33.33% Barclays Global High Yield (hedged) Index return, net of fees, to

be measured over an investment cycle of three-to-five years. For the performance evaluation, the Portfolio will be measured, net of fees and expenses, against the 66.67% BarclaysGlobal Credit (hedged) / 33.33% Barclays Global High Yield (hedged) Index.


71


Retirement Plan Health Plan

Initial Contribution:(08/2015)

Contributions: $18,732,483.37

Total Contributions: $543,220,888.19

Withdrawals: $0.00

Income Stripping: $0.00

Total Withdrawals: $0.00

Net Contribution: $543,220,888.19

Portfolio Return: $29,056,125.81

Market Value:(04/30/2016)

$524,488,404.82

$572,277,014.00

Initial Contribution:(08/2015)

Contributions: $4,086,746.86

Total Contributions: $91,542,259.70

Withdrawals: $0.00

Income Stripping: $0.00

Total Withdrawals: $0.00

Net Contribution: $91,542,259.70

Portfolio Return: $4,388,290.30

Market Value:(04/30/2016)

$95,930,550.00

$87,455,512.84

72

HOLDINGS

LA Retirement Plan Holdings


_______________________This supplemental report is for informational purposes only. Please refer to your account statement or other statement provided by your custodian for the official records of your account(s). Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities identified and described were or will be profitable. See Additional Disclosures at the end of this piece, which are an important part of this presentation. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.

Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LBJM620164 10YR MINI JGB JUN 16 151.65 -$ 0.00% Futures 6/10/2016 0.00BNG0111W7 1MDB GLOBAL INVESTMENTS LTD RegS 87.91 885,202.11$ 0.15% Owned No Guarantee 4.400 3/9/2023 A- 79591.00BNG26VX56 ABU DHABI GOVT INTL MTN RegS 100.75 340,535.00$ 0.06% Sovereign 3.125 5/3/2026 NA 3369.86004421MG5 ACE_05-HE2 M5 87.08 1,151,353.19$ 0.20% Home Equity 1.459 4/25/2035 CCC 53878.90035659AA9 ACOSTA INC 144A 93.00 243,367.22$ 0.04% Food and Beverage 7.750 10/1/2022 CCC+ (4470.00)00507UAR2 ACTAVIS FUNDING SCS 102.45 3,523,436.00$ 0.62% Pharmaceuticals 3.450 3/15/2022 BBB- 152870.6600507VAC3 ACTIVISION BLIZZARD INC 144A 105.25 1,002,168.75$ 0.18% Media and Entertainment 5.625 9/15/2021 BB+ 6260.0000101NAB3 ADS WASTE HOLDINGS INC 104.13 419,066.67$ 0.07% Environmental 8.250 10/1/2020 CCC+ 2532.00BRSNZFA49 ADVANTAGE SALES & MARKETING 1L TL 99.06 393,630.06$ 0.07% Food and Beverage 4.250 7/23/2021 B 2184.9900766TAB6 AECOM 104.25 208,947.22$ 0.04% Industrial Other 5.750 10/15/2022 BB- 4162.50903243AD5 AECOM GLOBAL II LLC 100.51 50,403.22$ 0.01% Industrial Other 3.850 4/1/2017 BB- (121.50)00772BAD3 AERCAP IRELAND CAPITAL LTD / AERCA 101.50 438,635.42$ 0.08% Finance Companies 3.750 5/15/2019 BBB- 11156.2500772BAN1 AERCAP IRELAND CAPITAL LTD / AERCA 102.88 1,355,484.72$ 0.24% Finance Companies 4.250 7/1/2020 BBB- 22612.5000912XAM6 AIR LEASE CORPORATION 101.75 2,622,607.36$ 0.46% Finance Companies 3.875 4/1/2021 BBB- 12736.66BNG1BTAS2 AIR MEDICAL 1L TL-B1 98.54 391,579.42$ 0.07% Healthcare 4.250 4/28/2022 B 2037.2000928QAL5 AIRCASTLE LTD 103.50 1,893,987.50$ 0.33% Finance Companies 4.625 12/15/2018 BB+ 7656.00013817AP6 ALCOA INC 106.84 803,800.37$ 0.14% Metals and Mining 5.720 2/23/2019 BBB- 16008.80020002BB6 ALLSTATE CORPORATION (THE) 102.75 4,094,918.61$ 0.72% Property and Casualty 5.750 8/15/2023 BBB (49250.00)02005NBE9 ALLY FINANCIAL INC 99.75 162,113.33$ 0.03% Banking 3.250 11/5/2018 BB+ (172.80)02005NAL4 ALLY FINANCIAL INC 102.13 387,208.33$ 0.07% Banking 5.500 2/15/2017 BB+ (5156.25)02005NAT7 ALLY FINANCIAL INC 99.38 556,495.42$ 0.10% Banking 3.500 1/27/2019 BB+ 574.6502005NBB5 ALLY FINANCIAL INC 100.50 1,327,040.00$ 0.23% Banking 3.600 5/21/2018 BB+ 6500.0002209SAT0 ALTRIA GROUP INC 103.48 1,167,605.89$ 0.20% Tobacco 2.625 1/14/2020 A- 39698.3000165AAF5 AMC ENTERTAINMENT INC 104.25 532,561.08$ 0.09% Leisure 5.875 2/15/2022 B 8837.50024836AC2 AMERICAN CAMPUS COMMUNITIES INC. 102.64 3,087,124.67$ 0.54% Other REIT 3.350 10/1/2020 BBB 84978.00025816BL2 AMERICAN EXPRESS CO 90.00 2,328,391.44$ 0.41% Banking 4.900 3/15/2020 BB+ (182470.00)03077JAB6 AMERIGAS FINANCE CORP 105.63 331,585.83$ 0.06% Midstream 7.000 5/20/2022 NR 8006.25030981AG9 AMERIGAS PARTNERS LP 102.25 299,998.96$ 0.05% Midstream 6.250 8/20/2019 NR 5071.9000252FCV1 AMIT_05-4 M3 81.62 1,224,501.34$ 0.21% Home Equity 1.219 10/25/2035 CCC 13048.20031652BE9 AMKOR TECHNOLOGY INC 97.25 899,762.50$ 0.16% Technology 6.625 6/1/2021 BB (13255.00)03072SS89 AMSI_05-R10 M3 78.44 3,922,434.31$ 0.69% Home Equity 0.889 1/25/2036 B- (21809.50)03072SM28 AMSI_05-R8 M3 82.56 3,457,031.70$ 0.60% Home Equity 0.949 10/25/2035 CCC (23684.71)03232PAB4 AMSURG CORP 102.50 476,967.97$ 0.08% Healthcare 5.625 11/30/2020 B- (1312.50)032511BJ5 ANADARKO PETROLEUM CORP 94.05 2,442,695.68$ 0.43% Independent 3.450 7/15/2024 BBB (60989.75)034863AF7 ANGLO AMERICAN CAPITAL PLC 144A 99.00 352,278.33$ 0.06% Metals and Mining 2.625 9/27/2017 BB 14200.00BNG1W2SZ3 ANGOLA REPUBLIC OF (GOVERNMENT) RegS 97.63 626,506.84$ 0.11% Sovereign 9.500 11/12/2025 NR (21976.80)

74

LA Retirement Plan Holdings (continued)



Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L035242AN6 ANHEUSER-BUSCH INBEV FINANCE INC 112.94 1,330,680.74$ 0.23% Food and Beverage 4.900 2/1/2046 A- 153512.96035242AP1 ANHEUSER-BUSCH INBEV FINANCE INC 105.44 3,888,548.05$ 0.68% Food and Beverage 3.650 2/1/2026 A- 204817.7203674PAL7 ANTERO RESOURCES FINANCE CORP 96.75 94,437.26$ 0.02% Independent 5.375 11/1/2021 BB (237.50)03674PAJ2 ANTERO RESOURCES FINANCE CORP 100.22 462,085.50$ 0.08% Independent 6.000 12/1/2020 BB 52407.50037411BA2 APACHE CORP 96.28 1,654,290.67$ 0.29% Independent 4.750 4/15/2043 BBB 116060.48038521AM2 ARAMARK CORP 103.25 259,881.94$ 0.05% Food and Beverage 5.750 3/15/2020 BB- (1250.00)03938LAY0 ARCELORMITTAL 98.50 145,983.28$ 0.03% Metals and Mining 5.125 6/1/2020 BB 0.0003938LAF1 ARCELORMITTAL 103.69 265,515.14$ 0.05% Metals and Mining 6.125 6/1/2018 BB (345.00)03938LAW4 ARCELORMITTAL 103.25 302,260.56$ 0.05% Metals and Mining 5.500 2/25/2017 BB 5075.0003969AAK6 ARDAGH PACKAGING FINANCE PLC 144A 99.50 199,000.00$ 0.03% Packaging 5/15/2021 B+ 0.0003969AAF7 ARDAGH PACKAGING FINANCE PLC 144A 100.99 405,768.93$ 0.07% Packaging 3.634 12/15/2019 B+ 11377.00BRSA39AL8 ARGENTINA (REPUBLIC OF) 104.60 573,316.46$ 0.10% Sovereign 8.750 6/2/2017 NR (35604.52)040114GL8 ARGENTINA REPUBLIC OF GOVERNMENT 104.75 2,667,405.20$ 0.47% Sovereign 8.280 12/31/2033 NR (177069.10)BNG26M334 ARGENTINA REPUBLIC OF GOVERNMENT RegS 101.50 317,135.00$ 0.06% Sovereign 7.500 4/22/2026 B- 4680.00BNG26M391 ARGENTINA REPUBLIC OF GOVERNMENT RegS 103.00 364,061.89$ 0.06% Sovereign 6.875 4/22/2021 B- 10590.00BNG19SLF3 ARMENIA (REPUBLIC OF) RegS 99.38 500,152.08$ 0.09% Sovereign 7.150 3/26/2025 NR 16000.00044209AK0 ASHLAND INC 102.75 833,495.63$ 0.15% Chemicals 3.875 4/15/2018 BB 3564.91046353AM0 ASTRAZENECA PLC 107.68 4,035,528.55$ 0.71% Pharmaceuticals 4.375 11/16/2045 A- (16331.88)00206RBK7 AT&T INC 94.13 134,042.94$ 0.02% Wirelines 4.350 6/15/2045 BBB+ 10172.0704650NAB0 AT&T INC 107.79 247,733.71$ 0.04% Wirelines 5.350 9/1/2040 BBB+ 19137.6300206RBH4 AT&T INC 94.49 225,818.84$ 0.04% Wirelines 4.300 12/15/2042 BBB+ 18166.0400206RCP5 AT&T INC 100.46 568,938.41$ 0.10% Wirelines 4.500 5/15/2035 BBB+ 42026.9600206RAS1 AT&T INC 120.73 2,127,781.42$ 0.37% Wirelines 6.550 2/15/2039 BBB+ 99890.8800206RCN0 AT&T INC 101.61 4,420,510.42$ 0.77% Wirelines 3.400 5/15/2025 BBB+ 276963.03BNG1X0JF0 AVAGO TECHNOLOGIES 1L TL-B1 USD 100.02 895,161.10$ 0.16% Technology 4.250 2/1/2023 BBB 7986.10053773AX5 AVIS BUDGET CAR RENTAL LLC 100.00 603,328.68$ 0.11% Transportation ServiceS 3.385 12/1/2017 B+ (1320.00)BNG0LQE89 AZERBAIJAN REPUBLIC OF GOVERNMENT RegS 97.02 584,390.22$ 0.10% Sovereign 4.750 3/18/2024 NR 12405.29058498AU0 BALL CORPORATION 104.00 943,370.78$ 0.16% Packaging 4.375 12/15/2020 BB+ 13172.50060505EG5 BANK OF AMERICA CORP 93.63 2,865,125.00$ 0.50% Banking 5.125 6/17/2019 BB+ (122250.00)060505EN0 BANK OF AMERICA CORP 100.06 3,965,443.78$ 0.69% Banking 6.100 3/17/2025 BB+ (71341.55)06051GFH7 BANK OF AMERICA CORP MTN 101.98 1,761,549.22$ 0.31% Banking 4.200 8/26/2024 BBB 31577.27BNG15WNJ8 BANQUE CENTRALE DE TUNISIE RegS 89.96 365,534.11$ 0.06% Sovereign 5.750 1/30/2025 NA (27152.00)07177MAK9 BAXALTA INC 144A 102.27 3,991,197.27$ 0.70% Pharmaceuticals 3.600 6/23/2022 BBB 71664.57BNG07JTX0 BERMUDA (GOVERNMENT) RegS 106.00 567,731.32$ 0.10% Sovereign 4.854 2/6/2024 A+ 5962.50085790AX1 BERRY PLASTICS CORP 103.19 264,233.89$ 0.05% Packaging 5.500 5/15/2022 B+ 14895.00085790AZ6 BERRY PLASTICS ESCROW CORP 144A 104.50 377,040.00$ 0.07% Packaging 6.000 10/15/2022 B+ 11700.00

75




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L105756BW9 BRAZIL (FEDERATIVE REPUBLIC OF) 80.75 196,866.67$ 0.03% Sovereign 5.000 1/27/2045 BB 600.00105756BR0 BRAZIL (FEDERATIVE REPUBLIC OF) 87.75 277,450.00$ 0.05% Sovereign 5.625 1/7/2041 BB 14800.00105756BS8 BRAZIL (FEDERATIVE REPUBLIC OF) 101.75 1,803,611.98$ 0.32% Sovereign 4.875 1/22/2021 BB 38645.00BMS037MN8 BRAZIL MINAS SPE RegS 86.00 435,407.07$ 0.08% Financial Other 5.333 2/15/2028 BB 23000.00BRSLMDTH3 BRICKMAN GROUP HOLDINGS 1L TL 99.29 246,344.69$ 0.04% Consumer Cyclical Services 4.000 12/18/2020 B 724.45073877BT8 BSABS_05-SD2 2M2 91.55 1,331,438.75$ 0.23% Home Equity 1.939 12/25/2044 BB 7985.51073879VF2 BSABS_05-TC1 M1 94.47 1,431,011.04$ 0.25% Home Equity 1.099 5/25/2035 BBB+ (258405.14)131347CA2 CALPINE CORP 144A 105.63 1,073,583.33$ 0.19% Electric 6.000 1/15/2022 BB 4468.00BNG1WVYH2 CALPINE CORP 1L TL-B6 99.94 149,532.23$ 0.03% Electric 4.000 1/15/2023 BB 1403.48CNM620164 CAN 10YR BOND JUN 16 139.16 -$ 0.00% Futures 6/21/2016 0.0014040HBH7 CAPITAL ONE FINANCIAL CORP 99.25 3,045,950.00$ 0.53% Banking 5.550 6/1/2020 BB (15000.00)144531EF3 CARMLT_05-FRE M1 84.44 3,420,071.44$ 0.60% Home Equity 0.909 12/25/2035 D 78412.46144531FN5 CARMLT_06-OPT M1 83.35 2,071,368.64$ 0.36% Home Equity 0.789 2/25/2036 B- 45875.8378514RAE5 CARR_05-NC4 M2 87.75 3,679,032.16$ 0.64% Home Equity 0.939 9/25/2035 B- (32545.14)144531DN7 CARR_05-NC5 M1 88.18 3,347,699.97$ 0.59% Home Equity 0.919 10/25/2035 BB- 35302.42144531CM0 CARR_05-O2 M4 89.76 3,846,715.61$ 0.67% Home Equity 1.414 5/25/2035 CCC 254.96147446AR9 CASE NEW HOLLAND INC 106.50 1,591,193.75$ 0.28% Construction Machinery 7.875 12/1/2017 BB+ (14699.00)CSHCITUS6 CASH COLLATERAL USD CITIB FUTURES 100.00 2,356,099.19$ 0.41% Banking 0.436 12/31/2049 NR 0.00CSWCITUS9 CASH COLLATERAL USD CITIB OTC 100.00 5,271,714.12$ 0.92% Banking 0.436 12/31/2049 NR 2142.16124857AG8 CBS CORP 104.11 3,584,469.34$ 0.63% Media and Entertainment 3.375 3/1/2022 BBB 210852.901248EPAW3 CCO HOLDINGS LLC/CAP CORP 103.70 587,025.69$ 0.10% Cable and Satellite 7.375 6/1/2020 BB- (7150.00)161175AK0 CCO SAFARI II LLC 144A 103.85 314,413.20$ 0.05% Cable and Satellite 3.579 7/23/2020 BBB- 12390.00161175AM6 CCO SAFARI II LLC 144A 107.74 3,162,496.78$ 0.55% Cable and Satellite 4.908 7/23/2025 BBB- 226109.28161175AP9 CCO SAFARI II LLC 144A 117.71 3,917,602.37$ 0.68% Cable and Satellite 6.484 10/23/2045 BBB- 484533.71150191AF1 CEDAR FAIR LP/CANADA WONDERLAND CO 104.25 524,468.33$ 0.09% Leisure 5.250 3/15/2021 BB- 11260.0015089QAC8 CELANESE US HOLDINGS LLC 107.75 318,816.74$ 0.06% Chemicals 5.875 6/15/2021 BB+ 4375.00156700AW6 CENTURYLINK INC 102.75 877,093.75$ 0.15% Wirelines 5.625 4/1/2020 BB 30784.0015672JAA1 CEQUEL COMMUNICATIONS ESCROW 1 LLC 144A 102.63 475,659.17$ 0.08% Cable and Satellite 6.375 9/15/2020 B- 17963.0012543DAV2 CHS/COMMUNITY HEALTH SYSTEMS INC 90.94 296,379.38$ 0.05% Healthcare 6.875 2/1/2022 B- (44902.40)12543DAR1 CHS/COMMUNITY HEALTH SYSTEMS INC 101.25 757,045.69$ 0.13% Healthcare 5.125 8/15/2018 BB (8806.00)125581GL6 CIT GROUP INC 103.13 129,708.33$ 0.02% Finance Companies 5.250 3/15/2018 BB+ (781.25)125581GS1 CIT GROUP INC 100.50 324,011.11$ 0.06% Finance Companies 3.875 2/19/2019 BB+ (358.40)125581GP7 CIT GROUP INC 101.44 511,558.06$ 0.09% Finance Companies 4.250 8/15/2017 BB+ (1870.00)125577BC9 CIT GROUP INC 144A 105.38 1,074,786.32$ 0.19% Finance Companies 6.625 4/1/2018 BB+ (14325.00)172967HZ7 CITIGROUP INC 96.75 2,981,766.67$ 0.52% Banking 5.800 11/15/2019 BB+ (71250.00)172967KA8 CITIGROUP INC 102.08 3,503,770.28$ 0.61% Banking 4.450 9/29/2027 BBB 78338.18

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L172967JM4 CITIGROUP INC 96.81 4,130,186.06$ 0.72% Banking 5.950 5/15/2025 BB+ (43939.50)BRSKSADX7 CITYCENTER HOLDINGS 1L TL-B 100.20 321,975.37$ 0.06% Lodging 4.250 10/16/2020 BB 1410.1118451QAH1 CLEAR CHANNEL WORLDWIDE HOLDINGS I 92.69 702,149.58$ 0.12% Media and Entertainment 7.625 3/15/2020 B- (51400.00)17309SAE0 CMLT_06-WHE4 M1 82.36 2,652,167.40$ 0.46% Home Equity 0.719 11/25/2036 CCC 66853.96BRSJ6G9A6 COINMACH LAUNDRY 1L TL-B 97.96 389,245.83$ 0.07% Consumer Cyclical Services 4.250 11/15/2019 B (464.32)195325BM6 COLOMBIA (REPUBLIC OF) 107.25 108,968.40$ 0.02% Sovereign 6.125 1/18/2041 BBB 15450.00195325CX1 COLOMBIA (REPUBLIC OF) 102.15 262,350.25$ 0.05% Sovereign 4.500 1/28/2026 BBB 8605.52195325CU7 COLOMBIA REPUBLIC OF GOVERNMENT 95.25 1,383,833.33$ 0.24% Sovereign 5.000 6/15/2045 BBB 96825.00203372AN7 COMMSCOPE HOLDING CO INC 144A 103.00 261,571.18$ 0.05% Technology 4.375 6/15/2020 BB 5625.00203372AL1 COMMSCOPE INC 144A 101.00 205,722.22$ 0.04% Technology 5.000 6/15/2021 B 5876.0021036PAM0 CONSTELLATION BRANDS INC 105.25 428,061.11$ 0.07% Food and Beverage 3.875 11/15/2019 BB+ 9637.5021036PAF5 CONSTELLATION BRANDS INC 105.38 646,632.78$ 0.11% Food and Beverage 7.250 5/15/2017 BB+ (5206.25)BRSF7LK43 CORPORACION NACIONAL DEL COBRE DE RegS 90.37 476,167.99$ 0.08% Owned No Guarantee 4.250 7/17/2042 A+ 40906.3222003BAJ5 CORPORATE OFFICE PROPERTIES LP 98.71 2,101,900.86$ 0.37% Office REIT 3.700 6/15/2021 BBB- 12747.32BNG18EX88 COSTA RICA REPUBLIC OF (GOVERNMEN RegS 93.25 583,944.00$ 0.10% Sovereign 7.158 3/12/2045 BB- (7440.00)226373AJ7 CRESTWOOD MIDSTREAM PARTNERS LP 94.75 615,844.17$ 0.11% Midstream 6.000 12/15/2020 BB- 27454.00BRS8YL2Q0 CROATIA (REPUBLIC OF) RegS 109.76 714,314.84$ 0.12% Sovereign 6.750 11/5/2019 BB 1592.64BNG0E9SD9 CROATIA (REPUBLIC OF) RegS 109.38 976,140.00$ 0.17% Sovereign 6.000 1/26/2024 BB 18975.00BRSBS3BR8 CROATIA REPUBLIC OF (GOVERNMENT) RegS 109.45 583,385.80$ 0.10% Sovereign 6.375 3/24/2021 BB 6825.9022822VAC5 CROWN CASTLE INTERNATIONAL CORP 101.75 2,559,071.98$ 0.45% Wireless 3.700 6/15/2026 BBB- 51742.73126304AK0 CSC HOLDINGS LLC 108.25 1,159,754.17$ 0.20% Cable and Satellite 7.625 7/15/2018 BB (665.00)23331ABF5 D R HORTON INC 102.25 1,235,941.67$ 0.22% Home Construction 3.625 2/15/2018 BB+ 5690.0023331ABK4 D.R. HORTON INC 103.75 57,514.72$ 0.01% Home Construction 4.000 2/15/2020 BB+ 1650.0023918KAP3 DAVITA INC 104.75 789,192.99$ 0.14% Healthcare 5.750 8/15/2022 B+ 312.5023311VAC1 DCP MIDSTREAM OPERATING LP 96.75 215,111.11$ 0.04% Midstream 2.500 12/1/2017 BB 10450.00BRSL9MJN6 DEL MONTE FOODS 1L TL 96.31 383,662.14$ 0.07% Food and Beverage 4.251 2/18/2021 B- (1118.95)BNG1G39U1 DELL 1L TL-B2 USD 99.96 258,603.61$ 0.05% Technology 4.000 4/29/2020 BBB (416.50)24821VAA6 DENALI BORROWER LLC 144A 105.25 384,960.94$ 0.07% Technology 5.625 10/15/2020 BBB 4687.5025470XAB1 DISH DBS CORP 110.25 390,315.63$ 0.07% Cable and Satellite 7.875 9/1/2019 BB- 7000.0025470XAH8 DISH DBS CORP 102.38 1,576,408.89$ 0.28% Cable and Satellite 4.625 7/15/2017 BB- 5700.0023291AAA5 DJO FINCO INC 144A 87.50 267,046.70$ 0.05% Healthcare 8.125 6/15/2021 CCC+ (24610.50)BNG15JSY9 DOMINICAN REPUBLIC (GOVERNMENT) RegS 100.00 814,004.44$ 0.14% Sovereign 6.850 1/27/2045 BB- 38400.0025746UBY4 DOMINION RESOURCES INC 95.50 2,465,843.61$ 0.43% Electric 5.750 10/1/2024 BBB- (199175.00)260543CJ0 DOW CHEMICAL COMPANY (THE) 103.83 3,560,366.76$ 0.62% Chemicals 3.500 10/1/2024 BBB 273226.1626433UAA3 DUFRY FINANCE SCA 144A 104.00 260,534.72$ 0.05% Retailers 5.500 10/15/2020 BB (625.00)26817RAM0 DYNEGY FINANCE I INC 101.25 502,020.00$ 0.09% Electric 6.750 11/1/2019 B+ 15227.50

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LBNG0T8RS3 ECUADOR (REPUBLIC OF) RegS 86.75 1,390,572.60$ 0.24% Sovereign 7.950 6/20/2024 B 225040.00BNG1G3Q81 EGYPT (ARAB REPUBLIC OF) RegS 89.52 357,911.13$ 0.06% Sovereign 5.875 6/11/2025 B- (34437.00)BRSBFN0B5 EL SALVADOR (REPUBLIC OF) RegS 88.00 763,843.06$ 0.13% Sovereign 7.625 2/1/2041 B+ (50235.00)268317AM6 ELECTRICITE DE FRANCE SA 144A 95.50 2,493,301.56$ 0.44% Owned No Guarantee 5.625 1/22/2024 BBB (166536.00)292505AH7 ENCANA CORP 102.11 562,109.04$ 0.10% Independent 6.500 5/15/2019 BBB 50642.1029271LAA2 ENDO FINANCE CO 144A 97.00 147,991.67$ 0.03% Pharmaceuticals 5.750 1/15/2022 B 2625.0029271LAD6 ENDO FINANCE LLC / ENDO FINCO INC 144A 103.00 789,291.67$ 0.14% Pharmaceuticals 7.750 1/15/2022 B (19670.00)29266RAB4 ENERGIZER HOLDINGS INC 104.42 372,770.61$ 0.07% Consumer Products 4.700 5/19/2021 BB+ 7334.5029273VAC4 ENERGY TRANSFER EQUITY LP 100.75 818,437.50$ 0.14% Midstream 7.500 10/15/2020 BB 87525.0029273RAS8 ENERGY TRANSFER PARTNERS LP 91.15 362,609.57$ 0.06% Midstream 3.600 2/1/2023 BBB- (87.64)29273RBJ7 ENERGY TRANSFER PARTNERS LP 93.81 542,898.00$ 0.09% Midstream 6.125 12/15/2045 BBB- (3195.69)29273RBH1 ENERGY TRANSFER PARTNERS LP 97.75 774,642.36$ 0.14% Midstream 2.500 6/15/2018 BBB- (12281.01)29273RBD0 ENERGY TRANSFER PARTNERS LP 92.45 828,170.45$ 0.14% Midstream 4.050 3/15/2025 BBB- 20866.5329273RAX7 ENERGY TRANSFER PARTNERS LP 98.00 2,492,482.42$ 0.44% Midstream 4.150 10/1/2020 BBB- (70631.16)29977HAB6 EP ENERGY LLC/EVEREST ACQUISITION 65.19 171,067.37$ 0.03% Independent 9.375 5/1/2020 CCC+ 56198.10BNG1YL840 EQUINIX INC 1L TLB USD 100.25 395,987.50$ 0.07% Technology 4.000 1/6/2023 BBB- (1525.00)BRSBDSSU4 ESKOM HOLDINGS LTD RegS 94.40 767,070.53$ 0.13% Owned No Guarantee 5.750 1/26/2021 BB+ (6412.80)EUR_CCASH EUR CASH(Alpha Committed) 100.00 0.78$ 0.00% 4/30/2016 NR 0.00UBM620160 EURO BUXL 30YR BOND JUN 16 163.48 -$ 0.00% Futures 6/8/2016 0.00RXM620166 EURO-BUND JUN 16 161.88 -$ 0.00% Futures 6/8/2016 0.00OATM62011 EURO-OAT JUN 16 156.29 -$ 0.00% Futures 6/8/2016 0.0090015LAA5 EXPORT CREDIT BANK OF TURKEY 144A 102.76 207,942.75$ 0.04% Owned No Guarantee 5.375 2/8/2021 BB+ 6388.0030219GAM0 EXPRESS SCRIPTS HOLDING CO 106.66 2,342,603.95$ 0.41% Healthcare 4.500 2/25/2026 BBB+ 142199.1530231GAT9 EXXON MOBIL CORP 103.32 2,693,483.51$ 0.47% Integrated 3.043 3/1/2026 AA+ 86199.9330706VAC9 FAMILY TREE ESCROW LLC 144A 103.88 612,616.88$ 0.11% Retailers 5.250 3/1/2020 BB- (2527.50)315292AM4 FERRELLGAS LP 95.25 541,551.39$ 0.09% Midstream 6.500 5/1/2021 B+ 11397.0032027NSL6 FFMLT_05-FF6 M3 83.66 1,116,150.59$ 0.20% Home Equity 1.144 5/25/2036 B- 2091.0431562QAC1 FIAT CHRYSLER AUTOMOBILES NV 102.20 204,750.00$ 0.04% Automotive 4.500 4/15/2020 BB 13400.00319963BE3 FIRST DATA CORPORATION 144A 105.00 1,134,293.63$ 0.20% Technology 6.750 11/1/2020 BB (4176.25)33938EAQ0 FLEXTRONICS INTERNATIONAL LTD 104.39 389,749.47$ 0.07% Technology 4.625 2/15/2020 BBB- 6981.90345397WY5 FORD MOTOR CREDIT COMPANY LLC 101.26 2,809,077.22$ 0.49% Automotive 2.597 11/4/2019 BBB 63010.03BRSL7M1V9 FORTESCUE METALS GROUP 1L TL 94.10 150,534.50$ 0.03% Metals and Mining 4.250 6/30/2019 BB+ 837.5135687MAY3 FREESCALE SEMICONDUCTOR INC 144A 103.81 153,827.28$ 0.03% Technology 5.000 5/15/2021 BBB- 1899.5035802XAA1 FRESENIUS MEDICAL CARE US FINANCE 144A 109.87 995,980.00$ 0.17% Healthcare 6.500 9/15/2018 BB+ (10170.00)35802XAH6 FRESENIUS MEDICAL CARE US FINANCE 144A 103.50 932,943.75$ 0.16% Healthcare 4.125 10/15/2020 BB+ 13595.0035804GAJ7 FRESENIUS US FINANCE II INC 144A 103.75 408,676.67$ 0.07% Healthcare 4.250 2/1/2021 BB+ 9056.00

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L35906AAH1 FRONTIER COMMUNICATIONS CORP 105.75 159,120.83$ 0.03% Wirelines 8.500 4/15/2020 BB- 4125.0017453BAW1 FRONTIER COMMUNICATIONS CORP 105.50 531,854.17$ 0.09% Wirelines 7.125 3/15/2019 BB- 14690.0035906AAR9 FRONTIER COMMUNICATIONS CORP 144A 105.88 625,714.38$ 0.11% Wirelines 8.875 9/15/2020 BB- 31193.75MARGNCAD0 FUTURES CAD MARGIN BALANCE 100.00 (24,608.86)$ 0.00% 0.943 4/30/2016 NR 0.00MARGNEUR3 FUTURES EUR MARGIN BALANCE 100.00 (3,489,170.60)$ -0.61% 4/30/2016 NR 0.00MARGNGBP3 FUTURES GBP MARGIN BALANCE 100.00 (314,632.39)$ -0.05% 0.507 4/30/2016 NR 0.00MARGNJPY3 FUTURES JPY MARGIN BALANCE 100.00 14,569.14$ 0.00% 4/30/2016 NR 0.00MARGNUSD1 FUTURES USD MARGIN BALANCE 100.00 3,813,842.72$ 0.67% 0.436 4/30/2016 NR 0.00BRS83P483 GAZ CAPITAL SA RegS 114.74 167,750.74$ 0.03% Owned No Guarantee 9.250 4/23/2019 BB+ 11321.72GBP_CCASH GBP CASH(Alpha Committed) 100.00 324,154.54$ 0.06% 0.507 4/30/2016 NR 0.00369604BQ5 GENERAL ELECTRIC CO 103.88 2,958,577.50$ 0.52% Diversified Manufacturing 5.000 1/21/2021 AA- 304445.0337045VAD2 GENERAL MOTORS CO 103.19 263,806.43$ 0.05% Automotive 3.500 10/2/2018 BBB- 7848.6037045VAL4 GENERAL MOTORS CO 120.56 1,960,916.13$ 0.34% Automotive 6.750 4/1/2046 BBB- 332457.4837045XAY2 GENERAL MOTORS FINANCIAL CO INC 101.82 4,403,334.74$ 0.77% Automotive 3.200 7/13/2020 BBB- 122910.17BRSHB4QM6 GENESYS TELECOM HOLDINGS 1L TL 99.38 394,829.41$ 0.07% Technology 4.000 2/8/2020 B 625.47BNG1U0BB0 GHANA (REPUBLIC OF) RegS 98.38 530,705.91$ 0.09% Sovereign 10.750 10/14/2030 NR (16969.40)BNG0Z2934 GHANA REPUBLIC OF GOVERNMENT RegS 79.02 357,717.86$ 0.06% Sovereign 8.125 1/18/2026 B- (50239.20)378272AK4 GLENCORE FUNDING LLC 144A 93.00 2,793,114.58$ 0.49% Metals and Mining 2.875 4/16/2020 BBB- 32610.00361841AG4 GLP CAPITAL LP 102.25 148,280.12$ 0.03% Gaming 4.375 4/15/2021 BB+ 3262.50361841AD1 GLP CAPITAL LP 105.50 701,417.71$ 0.12% Gaming 4.875 11/1/2020 BB+ 34062.50361841AB5 GLP CAPITAL LP 103.00 1,051,631.94$ 0.18% Gaming 4.375 11/1/2018 BB+ 0.0038148LAF3 GOLDMAN SACHS GROUP INC/THE 102.24 2,685,182.96$ 0.47% Banking 5.150 5/22/2045 BBB- 79332.1738148BAA6 GOLDMAN SACHS GROUP INC/THE 97.38 3,856,959.63$ 0.67% Banking 5.700 5/10/2019 BB (137623.50)382550BA8 GOODYEAR TIRE & RUBBER CO 118.50 12,029.86$ 0.00% Automotive 8.750 8/15/2020 BB 350.00382550BD2 GOODYEAR TIRE & RUBBER CO 105.31 584,975.72$ 0.10% Automotive 6.500 3/1/2021 BB (159.00)BNG1NL032 GRATON CASINO 1L TL-B 100.00 292,171.57$ 0.05% Gaming 4.750 9/1/2022 B+ (721.58)389375AG1 GRAY TELEVISION INC 104.75 263,333.33$ 0.05% Media and Entertainment 7.500 10/1/2020 B 1250.0040052VAD6 GRUPO BIMBO SAB DE CV 144A 95.96 2,038,765.02$ 0.36% Food and Beverage 4.875 6/27/2044 BBB 110154.8736242D3X9 GSMSC_05-6 M1 79.96 2,550,956.36$ 0.45% Home Equity 0.869 6/25/2035 BB- 8617.15410345AG7 HANESBRANDS INC 103.50 264,682.29$ 0.05% Retailers 6.375 12/15/2020 BB (2187.50)40430HEB0 HASC_06-OPT2 M2 81.01 3,787,423.17$ 0.66% Home Equity 0.829 1/25/2036 B- (52351.12)404121AC9 HCA INC 110.75 1,967,111.25$ 0.34% Healthcare 6.500 2/15/2020 BBB- 12777.5040415RAQ8 HD SUPPLY INC 144A 105.00 427,816.67$ 0.07% Building Materials 5.250 12/15/2021 BB 11494.5042217KAY2 HEALTH CARE REIT INC 105.03 4,061,447.52$ 0.71% Healthcare REIT 4.125 4/1/2019 BBB (14244.80)437084PZ3 HEAT_05-8 M1 92.50 623,545.67$ 0.11% Home Equity 0.869 2/25/2036 BB+ (3339.40)22541SK23 HEMT_04-5 M2 93.43 824,822.63$ 0.14% Home Equity 2.039 2/25/2035 CC (133465.00)

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L428040CP2 HERTZ CORP 101.75 764,838.54$ 0.13% Transportation ServiceS 5.875 10/15/2020 B 4480.0042824CAP4 HEWLETT PACKARD CO 144A 103.69 3,022,936.68$ 0.53% Technology 4.900 10/15/2025 BBB 115394.01432891AD1 HILTON WORLDWIDE FINANCE LLC 104.16 647,117.25$ 0.11% Lodging 5.625 10/15/2021 BB 2511.00423074AZ6 HJ HEINZ CO 144A 102.89 1,505,061.72$ 0.26% Food and Beverage 2.800 7/2/2020 BBB- 44453.81436440AH4 HOLOGIC INC 144A 104.75 425,066.67$ 0.07% Healthcare 5.250 7/15/2022 BB 7999.0040431RAE5 HSIASC_07-WF1 2A4 85.13 4,058,688.07$ 0.71% Home Equity 0.689 5/25/2037 B 11961.03444454AB8 HUGHES SATELLITE SYSTEMS CORP 110.13 956,627.78$ 0.17% Cable and Satellite 6.500 6/15/2019 BBB- 12500.00445545AH9 HUNGARY REPUBLIC OF (GOVERNMENT) 110.19 1,723,728.31$ 0.30% Sovereign 5.375 2/21/2023 BB+ 20429.0044701QAZ5 HUNTSMAN INTERNATIONAL LLC 100.75 494,260.00$ 0.09% Chemicals 4.875 11/15/2020 B 25920.0044919PAF9 IAC/INTERACTIVECORP 103.00 330,805.78$ 0.06% Media and Entertainment 4.875 11/30/2018 BB (1260.00)45072PAD4 IASIS HEALTHCARE LLC 95.50 218,493.61$ 0.04% Healthcare 8.375 5/15/2019 CCC+ (18128.00)451102BB2 ICAHN ENTERPRISES LP 99.63 846,866.04$ 0.15% Financial Other 4.875 3/15/2019 BBB- (6668.75)Z91VRER97 ICE: (CDX.NA.HY.25.V1) 3.38 4,286,065.67$ 0.75% Credit Default Swaps 5.000 12/20/2020 B+ 516798.04449934AB4 IMS HEALTH INC 144A 102.50 421,866.67$ 0.07% Technology 6.000 11/1/2020 B+ (3648.50)45254TQB3 IMSA_04-3 M1 87.97 579,788.37$ 0.10% CMO 1.339 11/25/2034 BBB- (10114.66)BNG14YKA7 INDONESIA (REPUBLIC OF) MTN RegS 101.95 278,494.65$ 0.05% Sovereign 4.125 1/15/2025 BB+ 2577.15BNG0GN558 INDONESIA (REPUBLIC OF) MTN RegS 122.46 746,469.00$ 0.13% Sovereign 6.750 1/15/2044 BB+ 49269.00BNG0TAG68 INFOR ENTERPRISE 1L TL-B5 97.54 241,964.28$ 0.04% Technology 3.750 6/3/2020 B+ 414.2645685EAG1 ING US INC 93.65 3,868,200.41$ 0.68% Life Insurance 5.650 5/15/2023 BB+ (313559.92)45824TAC9 INTELSAT JACKSON HOLDINGS SA 73.00 25,648.68$ 0.00% Cable and Satellite 7.250 10/15/2020 CCC (6650.00)BRSLBJCQ0 INTELSAT S.A. 1L TL-B2 93.68 304,443.75$ 0.05% Cable and Satellite 3.750 6/30/2019 B- (13243.75)460599AA1 INTERNATIONAL GAME TECHNOLOGY PLC 144A 104.75 492,464.06$ 0.09% Gaming 5.625 2/15/2020 BB+ 30387.50459745GP4 INTERNATIONAL LEASE FINANCE CORP 101.63 686,985.94$ 0.12% Finance Companies 3.875 4/15/2018 BBB- 6331.50462613AG5 IPALCO ENTERPRISES INC 104.88 670,920.14$ 0.12% Electric 5.000 5/1/2018 BB+ (4781.25)BRS1VGXX0 IRAQ (REPUBLIC OF) RegS 71.01 705,049.89$ 0.12% Sovereign 5.800 1/15/2028 NR (10788.00)46284VAA9 IRON MOUNTAIN INC 144A 105.50 1,271,600.00$ 0.22% Technology 6.000 10/1/2020 B+ 37239.50464592AQ7 ISLE OF CAPRI CASINOS INC 103.88 261,482.64$ 0.05% Gaming 5.875 3/15/2021 BB 1937.50464592AN4 ISLE OF CAPRI CASINOS INC 105.13 433,713.89$ 0.08% Gaming 8.875 6/15/2020 B (7125.00)BRS9UL5T3 IVORY COAST RegS 91.01 2,136,945.97$ 0.37% Sovereign 5.750 12/31/2032 NR 83605.00470160CA8 JAMAICA (GOVERNMENT) 102.50 492,090.00$ 0.09% Sovereign 6.750 4/28/2028 B 16800.00BNG1KBJB9 JELD-WEN 1L TL-B 100.06 398,250.74$ 0.07% Building Materials 4.750 7/1/2022 B 1062.46466278AE8 JPALT_07-A2 12A3 92.97 1,703,416.27$ 0.30% CMO 0.629 6/25/2037 CCC (32932.93)46629TAG5 JPMAC_06-CH1 M2 78.33 3,869,941.58$ 0.68% Home Equity 0.729 7/25/2036 CCC (8358.48)46625HJZ4 JPMORGAN CHASE & CO 103.98 1,809,673.45$ 0.32% Banking 4.125 12/15/2026 BBB+ 65820.0048127FAA1 JPMORGAN CHASE & CO 96.26 2,936,966.67$ 0.51% Banking 5.000 7/1/2019 BBB- (43200.00)48126HAA8 JPMORGAN CHASE & CO 102.26 4,081,644.33$ 0.71% Banking 6.000 8/1/2023 BBB- 49749.75

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LBNG23Z601 KAR AUCTION SERVICES 1L TL-B3 100.38 50,187.50$ 0.01% Consumer Cyclical Services 4.250 2/28/2023 BB- 687.50BRS9W3231 KAZMUNAIGAZ NATIONAL CO RegS 106.52 800,096.27$ 0.14% Owned No Guarantee 7.000 5/5/2020 BB 8335.60BRS72T298 KAZMUNAIGAZ NATIONAL CO MTN RegS 109.50 764,766.25$ 0.13% Owned No Guarantee 9.125 7/2/2018 BB (13260.00)BNG0T7DF8 KENYA (REPUBLIC OF) RegS 94.01 462,706.33$ 0.08% Sovereign 6.875 6/24/2024 B+ (15216.00)28370TAG4 KINDER MORGAN ENERGY PARTNERS LP 97.56 732,729.35$ 0.13% Midstream 4.300 5/1/2024 BBB- 27255.3249456BAG6 KINDER MORGAN INC 90.63 264,495.41$ 0.05% Midstream 5.300 12/1/2034 BBB- 2049.6049456BAH4 KINDER MORGAN INC 93.12 3,415,487.07$ 0.60% Midstream 5.550 6/1/2045 BBB- 211288.33505861AB0 LAFARGE SA 101.06 411,739.11$ 0.07% Building Materials 6.500 7/15/2016 BBB (11147.50)513075BB6 LAMAR MEDIA CORP 104.75 233,609.44$ 0.04% Media and Entertainment 5.875 2/1/2022 BB- 825.00526057BU7 LENNAR CORP 103.81 529,310.00$ 0.09% Home Construction 4.500 11/15/2019 BB 9560.00526057BD5 LENNAR CORPORATION 107.75 796,372.00$ 0.14% Home Construction 6.950 6/1/2018 BB (6425.00)527298AY9 LEVEL 3 FINANCING INC 104.75 1,291,354.79$ 0.23% Wirelines 6.125 1/15/2021 B 2250.00525221EM5 LHXSTR_05-7N A1A 83.68 1,814,059.24$ 0.32% CMO 0.709 12/25/2035 B (51072.94)53219LAM1 LIFEPOINT HOSPITALS INC 104.00 536,618.61$ 0.09% Healthcare 5.500 12/1/2021 BB- 7537.50532716AR8 LIMITED BRANDS INC 118.00 290,793.33$ 0.05% Retailers 8.500 6/15/2019 BB+ 3000.00532716AM9 LIMITED BRANDS INC 106.25 487,095.00$ 0.09% Retailers 6.900 7/15/2017 BB- (8812.50)539439AG4 LLOYDS BANKING GROUP PLC 99.15 2,101,140.83$ 0.37% Banking 7.500 6/27/2024 BB- (162611.25)GM6201664 LONG GILT JUN 16 119.60 -$ 0.00% Futures 6/28/2016 0.00561234AD7 MALLINCKRODT INTERNATIONAL FINANCE 97.31 954,991.49$ 0.17% Pharmaceuticals 3.500 4/15/2018 B (7216.12)561233AB3 MALLINCKRODT INTERNATIONAL FINANCE 144A 95.50 76,551.67$ 0.01% Pharmaceuticals 4.875 4/15/2020 BB- 1200.00BNG22FCR0 MANITOWOC FOODSERVICE 1L TL-B 101.06 159,213.09$ 0.03% Diversified Manufacturing 5.750 3/3/2023 B+ 4825.40565849AL0 MARATHON OIL CORP 88.00 1,540,823.78$ 0.27% Independent 3.850 6/1/2025 BBB- 232430.31BRS9WJ897 MARFRIG OVERSEAS LTD RegS 102.50 289,218.75$ 0.05% Food and Beverage 9.500 5/4/2020 B+ 4050.00574599BK1 MASCO CORPORATION 101.50 397,442.50$ 0.07% Building Materials 3.500 4/1/2021 BBB 7191.60574599BG0 MASCO CORPORATION 115.50 814,595.83$ 0.14% Building Materials 7.125 3/15/2020 BBB (3364.00)BNG1W4AA3 MATCH GROUP 1L TL-B 100.46 406,729.33$ 0.07% Media and Entertainment 5.500 11/16/2022 BB+ 6802.4559001AAT9 MERITAGE HOMES CORP 102.25 56,636.25$ 0.01% Home Construction 4.500 3/1/2018 BB- 137.5059001AAN2 MERITAGE HOMES CORP 106.50 250,928.43$ 0.04% Home Construction 7.150 4/15/2020 BB- (6462.50)59156RBP2 METLIFE INC 97.37 2,552,631.08$ 0.45% Life Insurance 5.250 6/15/2020 BBB- (54484.00)91086QAZ1 MEXICO (UNITED MEXICAN STATES) 103.00 826,172.22$ 0.14% Sovereign 5.750 10/12/2110 BBB+ 38000.0091086QBB3 MEXICO (UNITED MEXICAN STATES) MTN 101.00 410,758.58$ 0.07% Sovereign 4.750 3/8/2044 BBB+ 23230.00552953BW0 MGM RESORTS INTERNATIONAL 113.75 1,013,760.42$ 0.18% Gaming 8.625 2/1/2019 B+ 19687.50594087AT5 MICHAELS STORES INC 144A 104.75 668,355.03$ 0.12% Retailers 5.875 12/15/2020 B- 6560.00BRSL6ET89 MOHEGAN TRIBAL GAMING AUTH 1L TL 99.33 719,066.67$ 0.13% Gaming 5.500 6/15/2018 B- 2422.33608328BC3 MOHEGAN TRIBAL GAMING AUTHORITY 104.63 292,038.54$ 0.05% Gaming 9.750 9/1/2021 CCC 8023.2560937FAD0 MONGOLIA (GOVERNMENT OF) MTN 144A 101.75 230,494.03$ 0.04% Sovereign 10.875 4/6/2021 B 3930.75

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L60937GAB2 MONGOLIA (GOVERNMENT) MTN RegS 78.90 647,584.00$ 0.11% Sovereign 5.125 12/5/2022 B (8736.00)617474AA9 MORGAN STANLEY 99.00 3,878,258.50$ 0.68% Banking 5.550 7/15/2020 BB (18504.00)61761JZN2 MORGAN STANLEY MTN 100.01 5,869,722.52$ 1.03% Banking 3.950 4/23/2027 BBB- 232528.89BRSGFE792 MOROCCO (KINGDOM OF) RegS 103.38 462,003.01$ 0.08% Sovereign 4.250 12/11/2022 BBB- 11000.0055342UAD6 MPT OPERATING PARTNERSHIP LP 105.00 531,552.08$ 0.09% Healthcare REIT 6.375 2/15/2022 BBB- (5312.50)55342UAC8 MPT OPERATING PARTNERSHIP LP 103.63 695,657.99$ 0.12% Healthcare REIT 6.875 5/1/2021 BBB- (7687.50)61744CHP4 MSABS_04-NC8 M1 91.87 2,068,076.71$ 0.36% Home Equity 1.354 9/25/2034 A+ (79843.66)61744CPK6 MSABS_05-NC2 M4 87.20 1,578,533.27$ 0.28% Home Equity 1.354 3/25/2035 B+ 28448.4961744CSJ6 MSAC_05-HE3 M4 90.28 878,883.66$ 0.15% Home Equity 1.414 7/25/2035 B 7620.99BNG1M24H0 MTR GAMING CORP 1L TL-B 99.75 396,379.70$ 0.07% Gaming 4.250 7/25/2022 BB- (1238.75)BRSMMQ6V6 MULTIPLAN/MPH ACQUISITION 1L TL 99.48 354,660.96$ 0.06% Healthcare 3.750 3/31/2021 BB- 3568.5378442FEJ3 NAVIENT LLC MTN 104.00 523,777.78$ 0.09% Finance Companies 8.000 3/25/2020 BB- 5000.0078442FEH7 NAVIENT LLC MTN 107.00 1,051,887.40$ 0.18% Finance Companies 8.450 6/15/2018 BB- 7225.0063946BAF7 NBCUNIVERSAL MEDIA LLC 135.80 2,383,525.27$ 0.42% Cable and Satellite 6.400 4/30/2040 A- 183708.11BNG122N81 NBG BANK LOAN ACCRUAL USD Prvt 100.00 37,402.54$ 0.01% 0.436 4/30/2016 NR 0.00BNG26VGS5 NBTY 1L TL-B USD 100.27 100,271.00$ 0.02% Consumer Products 5.000 4/14/2023 B+ 771.00628782AJ3 NBTY INC (LEINER HEALTH PRODUCTS) 144A 102.25 255,625.00$ 0.04% Consumer Products 7.625 5/15/2021 CCC+ 5625.0064352VLL3 NCHE_05-3 M3 91.17 2,029,481.25$ 0.35% Home Equity 0.949 7/25/2035 BB+ 28805.2464352VMV0 NCHE_05-4 M2 93.27 3,101,425.43$ 0.54% Home Equity 0.949 9/25/2035 BBB+ 112731.1362886HAL5 NCL CORPORATION LTD 144A 102.75 1,146,044.17$ 0.20% Leisure 5.250 11/15/2019 BB- (1606.25)64110LAE6 NETFLIX INC 105.75 299,778.89$ 0.05% Media and Entertainment 5.375 2/1/2021 B+ (700.00)65410CAA8 NIELSEN CO (LUXEMBOURG) SARL 144A 104.25 785,083.33$ 0.14% Media and Entertainment 5.500 10/1/2021 BB+ 18750.0065409QBA9 NIELSEN FINANCE LLC/NIELSEN FINANC 102.75 479,415.00$ 0.08% Media and Entertainment 4.500 10/1/2020 BB+ 7912.50629377BN1 NRG ENERGY INC 107.00 212,945.42$ 0.04% Electric 7.625 1/15/2018 BB- 3900.00629377BJ0 NRG ENERGY INC 103.50 1,504,298.54$ 0.26% Electric 8.250 9/1/2020 BB- 106031.2567020YAD2 NUANCE COMMUNICATIONS INC (NEW) 144A 102.25 894,019.55$ 0.16% Technology 5.375 8/15/2020 BB- 7237.5067054LAB3 NUMERICABLE GROUP SA 144A 100.13 344,635.33$ 0.06% Wireless 6.000 5/15/2022 B+ 8092.0067054LAA5 NUMERICABLE GROUP SA 144A 103.73 2,042,275.63$ 0.36% Wireless 4.875 5/15/2019 B+ 88985.0062947QAS7 NXP BV 144A 102.75 364,998.96$ 0.06% Technology 4.125 6/15/2020 BB+ 9845.5062947QAM0 NXP BV/NXP FUNDING LLC 144A 104.75 529,659.72$ 0.09% Technology 5.750 2/15/2021 BB+ 0.00BNG1W3X85 NXP FUNDING 1L TL-B1 100.25 414,997.41$ 0.07% Technology 3.750 12/7/2020 BBB- 2264.63NZD_CCASH NZD CASH(Alpha Committed) 100.00 130.64$ 0.00% 2.290 4/30/2016 NR 0.00674215AC2 OASIS PETROLEUM INC 95.00 101,610.83$ 0.02% Independent 7.250 2/1/2019 B+ 4200.00674215AD0 OASIS PETROLEUM INC 91.50 260,463.19$ 0.05% Independent 6.500 11/1/2021 B+ 38530.25681936BH2 OMEGA HEALTHCARE INVESTORS INC 102.48 4,269,144.73$ 0.75% Healthcare REIT 5.250 1/15/2026 BBB- 113502.72688225AG6 OSHKOSH CORP 102.00 159,442.26$ 0.03% Aerospace and Defense 5.375 3/1/2022 BB+ 0.00

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L69480UAK3 PACIFIC RUBIALES ENERGY CORP 144A 15.00 30,000.00$ 0.01% Integrated 5.625 1/19/2025 D (75000.00)69480UAH0 PACIFIC RUBIALES ENERGY CORP 144A 15.00 81,942.71$ 0.01% Integrated 5.375 1/26/2019 D (220050.00)BNG0NNC52 PAKISTAN (ISLAMIC REPUBLIC OF) RegS 105.31 707,751.37$ 0.12% Sovereign 8.250 4/15/2024 B- (6273.21)698299BE3 PANAMA REPUBLIC OF (GOVERNMENT) 103.00 982,755.21$ 0.17% Sovereign 3.750 3/16/2025 BBB 48687.50BNG259JY9 PARAGUAY REPUBLIC OF (GOVERNMENT) RegS 102.00 204,805.56$ 0.04% Sovereign 5.000 4/15/2026 BB 4006.00103253AA8 PENINSULA GAMING LLC 144A 101.86 227,868.36$ 0.04% Gaming 8.375 2/15/2018 CCC+ (5269.00)709629AN9 PENTAIR FINANCE SA 100.65 3,992,922.68$ 0.70% Diversified Manufacturing 3.625 9/15/2020 BBB- 30125.2371429MAB1 PERRIGO FINANCE PLC 102.90 2,380,465.87$ 0.42% Pharmaceuticals 4.375 3/15/2026 BBB- 72496.69BRSJ9H4G3 PERTAMINA (PERSERO) PT MTN RegS 92.29 1,232,074.68$ 0.22% Owned No Guarantee 5.625 5/20/2043 BB+ 134557.80715638BU5 PERU (REPUBLIC OF) 106.85 979,008.33$ 0.17% Sovereign 4.125 8/25/2027 BBB+ 70388.5071647NAH2 PETROBRAS GLOBAL FINANCE BV 88.75 200,967.19$ 0.04% Owned No Guarantee 4.875 3/17/2020 B+ 562.5071645WAN1 PETROBRAS INTERNATIONAL FINANCE CO 99.63 125,734.38$ 0.02% Owned No Guarantee 7.875 3/15/2019 B+ (1962.50)BNG0RP7Q3 PETROLEOS DE VENEZUELA SA RegS 34.00 499,346.67$ 0.09% Owned No Guarantee 6.000 5/16/2024 CCC 14960.0071654QBH4 PETROLEOS MEXICANOS 99.63 104,022.49$ 0.02% Owned No Guarantee 4.875 1/18/2024 BBB+ (1158.76)71654QBR2 PETROLEOS MEXICANOS 97.50 184,512.00$ 0.03% Owned No Guarantee 6.375 1/23/2045 BBB+ (2790.00)71654QBW1 PETROLEOS MEXICANOS 95.14 331,409.60$ 0.06% Owned No Guarantee 4.500 1/23/2026 BBB+ (3818.40)71654QBX9 PETROLEOS MEXICANOS 89.03 611,084.25$ 0.11% Owned No Guarantee 5.625 1/23/2046 BBB+ (12919.50)71656LBK6 PETROLEOS MEXICANOS 144A 110.35 80,620.75$ 0.01% Owned No Guarantee 6.875 8/4/2026 BBB+ 7585.20BNG1E0B69 PETSMART 1L TL-B1 99.66 296,740.96$ 0.05% Retailers 4.250 3/11/2022 BB- 485.32BRSLY6QW5 PLY GEM INDUSTRIES INC 1L TL 99.29 66,174.77$ 0.01% Building Materials 4.000 2/1/2021 B+ 2488.39737446AE4 POST HOLDINGS INC 144A 104.81 806,910.00$ 0.14% Food and Beverage 6.750 12/1/2021 B 28910.00BNG1NHV11 PPDI 1L TL-B 99.77 194,064.62$ 0.03% Pharmaceuticals 4.250 8/18/2022 B 3931.05BNG272ZA6 PPDI 1L TL-B ADD ON 99.77 15,796.74$ 0.00% Pharmaceuticals 4.250 8/18/2022 B 122.0770069FFL6 PPSI_05-WCH1 M4 91.23 1,231,816.54$ 0.22% Home Equity 1.684 1/25/2036 BB- 19938.9670069FMT1 PPSI_05-WHQ4 M2 80.06 3,763,118.48$ 0.66% Home Equity 0.929 9/25/2035 CCC (138366.59)693522AD6 PQ CORP 144A 104.13 303,663.89$ 0.05% Chemicals 8.750 11/1/2018 B- 714.00744320AN2 PRUDENTIAL FINANCIAL INC 98.00 4,053,921.33$ 0.71% Life Insurance 5.200 3/15/2024 BBB+ 20550.00745867AV3 PULTE GROUP INC 101.75 169,017.29$ 0.03% Home Construction 4.250 3/1/2021 BB+ 2887.50747262AQ6 QVC INC 101.30 563,563.96$ 0.10% Consumer Cyclical Services 3.125 4/1/2019 BBB- 10337.8076112BA59 RAMP_05-RZ3 M4 80.45 3,862,390.80$ 0.67% Home Equity 1.059 9/25/2035 CCC 21826.0876112BS68 RAMP_05-SP3 M2 88.13 3,525,780.60$ 0.62% Home Equity 1.239 12/25/2035 B- 65230.0076112BV80 RAMP_06-EFC1 M2 82.32 3,951,725.79$ 0.69% Home Equity 0.839 2/25/2036 CCC 3278.4075156MAD7 RAMP_06-RZ3 M1 74.77 1,174,002.59$ 0.21% Home Equity 0.789 8/25/2036 NR 289.9875281AAM1 RANGE RESOURCES CORP 96.50 538,808.19$ 0.09% Independent 5.750 6/1/2021 BB+ 41125.0076110WX27 RASC_05-KS5 M6 87.02 1,112,275.91$ 0.19% Home Equity 1.139 6/25/2035 B 3449.1976110WZ25 RASC_05-KS6 M5 92.06 1,632,376.96$ 0.29% Home Equity 1.089 7/25/2035 BB 9867.45

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L76110W3U8 RASC_05-KS8 M4 90.21 1,736,827.43$ 0.30% Home Equity 1.029 8/25/2035 B- 5310.4976113ACA7 RASC_06-EMX3 A3 85.37 431,137.17$ 0.08% Home Equity 0.719 4/25/2036 CCC 742.15BRSMK3CE0 REALOGY GROUP 1L TL-B 99.92 397,003.30$ 0.07% Consumer Cyclical Services 3.750 3/5/2020 BB+ (329.79)75606DAA9 REALOGY GROUP LLC / REALOGY CO ISS 144A 103.75 207,850.00$ 0.04% Consumer Cyclical Services 4.500 4/15/2019 B 2500.00758766AH2 REGAL ENTERTAINMENT GROUP 104.13 786,208.33$ 0.14% Leisure 5.750 3/15/2022 B- 21450.0075886AAF5 REGENCY ENERGY PARTNERS LP 102.12 410,803.07$ 0.07% Midstream 6.500 7/15/2021 BBB- (5800.70)445545AF3 REPUBLIC OF HUNGARY 141.24 1,149,150.38$ 0.20% Sovereign 7.625 3/29/2041 BB+ 32668.50761713BA3 REYNOLDS AMERICAN INC 118.30 860,183.55$ 0.15% Tobacco 5.700 8/15/2035 BBB- 82851.20761713BB1 REYNOLDS AMERICAN INC 122.72 1,945,626.50$ 0.34% Tobacco 5.850 8/12/2045 BBB- 236877.75761735AP4 REYNOLDS GROUP ISSUER LLC 103.88 1,197,134.03$ 0.21% Packaging 5.750 10/15/2020 B+ 24562.5076112BZ37 RFMSI_06-RZ1 M2 87.53 3,829,895.25$ 0.67% Home Equity 0.859 3/25/2036 B- (113491.00)BRSJL0SB1 RITE AID CORP 2L TL-2 100.06 400,252.00$ 0.07% Retailers 4.875 6/21/2021 B+ (373.00)767754CD4 RITE AID CORPORATION 106.02 91,077.97$ 0.02% Retailers 9.250 3/15/2020 CCC+ 442.0077340RAC1 ROCKIES EXPRESS PIPELINE LLC 144A 103.50 796,365.61$ 0.14% Midstream 6.850 7/15/2018 BB+ 16375.00780153AJ1 ROYAL CARIBBEAN CRUISES LTD 108.00 16,332.92$ 0.00% Leisure 7.250 3/15/2018 BB+ 112.50780153AR3 ROYAL CARIBBEAN CRUISES LTD 100.59 413,154.44$ 0.07% Leisure 7.250 6/15/2016 BB+ (11863.00)257867AY7 RR DONNELLEY & SONS CO 106.25 1,287,100.00$ 0.22% Media and Entertainment 8.250 3/15/2019 BB- (50625.00)78108AAE4 RSC EQUIPMENT RENTAL INC/RSC HOLDI 104.25 797,000.00$ 0.14% Construction Machinery 8.250 2/1/2021 BB- (8920.00)BNG0A3QB2 RUSSIAN FEDERATION RegS 107.81 434,054.94$ 0.08% Sovereign 5.875 9/16/2043 BB+ 33248.00783764AN3 RYLAND GROUP INC 106.25 495,345.00$ 0.09% Home Construction 8.400 5/15/2017 BB (18189.00)785592AE6 SABINE PASS LIQUEFACTION LLC 99.38 1,289,600.00$ 0.23% Midstream 5.625 2/1/2021 BB+ 75275.0078572XAE1 SABRA HEALTH CARE LP 101.00 921,100.00$ 0.16% Healthcare REIT 5.500 2/1/2021 BB (30300.00)79546VAJ5 SALLY HOLDINGS LLC/SALLY CAPITAL I 104.75 321,341.67$ 0.06% Retailers 5.750 6/1/2022 BB+ 0.0086359DHM2 SASC_05-S3 M4 91.25 904,453.29$ 0.16% Home Equity 1.414 6/25/2035 NR (6803.02)863576DK7 SASC_05-WF4 M5 81.09 1,873,538.32$ 0.33% Home Equity 1.059 11/25/2035 CCC 2166.5578401FAG2 SBA TELECOMMUNICATIONS INC 103.25 325,224.44$ 0.06% Wireless 5.750 7/15/2020 B+ (2277.50)80626PAC4 SCHAEFFLER HOLDING FINANCE BV 144A 104.25 428,388.89$ 0.07% Automotive 6.250 11/15/2019 B+ (4593.00)BNG18HCS0 SCIENTIFIC GAMES 1L TL-B2 98.33 537,219.20$ 0.09% Gaming 6.000 10/1/2021 BB- 10857.1480874YAQ3 SCIENTIFIC GAMES INTERNATIONAL INC 63.25 132,536.11$ 0.02% Gaming 6.625 5/15/2021 B- (21500.00)80874YAU4 SCIENTIFIC GAMES INTERNATIONAL INC 82.65 216,902.78$ 0.04% Gaming 10.000 12/1/2022 B 63.0081180WAH4 SEAGATE HDD CAYMAN 81.00 1,742,008.33$ 0.30% Technology 4.750 6/1/2023 BBB- (163233.00)81211KAS9 SEALED AIR CORPORATION 144A 113.38 794,923.47$ 0.14% Packaging 6.500 12/1/2020 BB 17493.75BNG0VU6E5 SENEGAL REPUBLIC OF (GOVERNMENT) RegS 94.01 995,684.55$ 0.17% Sovereign 6.250 7/30/2024 B+ 38658.20BRSCY8D88 SERBIA REPUBLIC OF (GOVERNMENT) RegS 113.28 558,130.12$ 0.10% Sovereign 7.250 9/28/2021 BB- 871.22BRSHEC506 SERBIA REPUBLIC OF (GOVERNMENT) RegS 102.38 773,347.49$ 0.14% Sovereign 4.875 2/25/2020 BB- 14298.41817565BM5 SERVICE CORP INTERNATIONAL 112.25 73,347.99$ 0.01% Consumer Cyclical Services 7.625 10/1/2018 BB 162.50

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L817565BW3 SERVICE CORP INTERNATIONAL 103.00 115,555.00$ 0.02% Consumer Cyclical Services 4.500 11/15/2020 BB 550.00BRSNWEU68 SERVICEMASTER COMPANY 1L TL-B 100.31 303,894.05$ 0.05% Consumer Cyclical Services 4.250 7/1/2021 BB 1442.3482459AAC5 SHINGLE SPRINGS TRIBAL GAMING AUTH 144A 109.50 277,677.08$ 0.05% Gaming 9.750 9/1/2021 B- 11250.00BNG168MA0 SIG / ONEX WIZARD 1L TL-B USD 99.73 396,301.61$ 0.07% Packaging 4.250 3/11/2022 B+ 244.26BNG0N9ZJ8 SINOPEC GROUP OVERSEAS DEVELOPMENT RegS 106.25 1,352,288.42$ 0.24% Owned No Guarantee 4.375 4/10/2024 A+ 30994.3582967NAQ1 SIRIUS XM RADIO INC 144A 103.75 260,517.36$ 0.05% Cable and Satellite 5.875 10/1/2020 BB (1197.50)82967NAJ7 SIRIUS XM RADIO INC 144A 101.88 1,006,967.78$ 0.18% Cable and Satellite 4.250 5/15/2020 BB 14212.5083001AAA0 SIX FLAGS ENTERTAINMENT CORP 144A 103.50 635,350.83$ 0.11% Leisure 5.250 1/15/2021 BB- 9718.75BNG0JS083 SLOVENIA REPUBLIC OF GOVERNMENT RegS 112.25 1,189,496.88$ 0.21% Treasuries 5.250 2/18/2024 A- 13125.0078454LAD2 SM ENERGY CO 93.00 163,246.74$ 0.03% Independent 6.500 11/15/2021 B+ 2225.00836205AT1 SOUTH AFRICA (REPUBLIC OF) 99.88 276,215.63$ 0.05% Sovereign 4.875 4/14/2026 NA 3433.44836205AR5 SOUTH AFRICA (REPUBLIC OF) 107.95 896,376.82$ 0.16% Sovereign 5.875 9/16/2025 BBB- (4125.00)837004CJ7 SOUTH CAROLINA ELECTRIC & GAS COMP 109.61 2,870,856.45$ 0.50% Electric 5.100 6/1/2065 A 70387.42BNG24YYU6 SOUTHERN GAS CORRIDOR CJSC RegS 102.78 206,886.81$ 0.04% Owned No Guarantee 6.875 3/24/2026 NA 7326.00843646AM2 SOUTHERN POWER CO 102.19 1,867,831.77$ 0.33% Electric 4.150 12/1/2025 BBB+ 43277.09843646AL4 SOUTHERN POWER COMPANY 99.21 2,569,819.02$ 0.45% Electric 2.375 6/1/2020 BBB+ 18685.6984762LAN5 SPECTRUM BRANDS INC 105.53 596,371.42$ 0.10% Consumer Products 6.375 11/15/2020 B (5850.50)852060AG7 SPRINT CAPITAL CORPORATION 91.50 1,613,498.33$ 0.28% Wireless 6.900 5/1/2019 B (16250.00)852061AF7 SPRINT NEXTEL CORPORATION 102.00 518,607.64$ 0.09% Wireless 8.375 8/15/2017 B (22810.00)852061AK6 SPRINT NEXTEL CORPORATION 144A 105.63 384,037.50$ 0.07% Wireless 9.000 11/15/2018 BB- (5237.50)78469XAC1 SPX FLOW INC 103.50 313,822.92$ 0.05% Diversified Manufacturing 6.875 9/1/2017 BB (9750.00)BRSCJ3Z58 SRI LANKA DEMOCRATIC SOCIALIST (RE RegS 100.38 203,945.04$ 0.04% Sovereign 6.250 7/27/2021 B+ 7750.60BNG1V97K5 SRI LANKA DEMOCRATIC SOCIALIST RE RegS 98.46 1,420,295.38$ 0.25% Sovereign 6.850 11/3/2025 B+ (6659.12)85375CAX9 STANDARD PACIFIC CORP 111.00 637,224.79$ 0.11% Home Construction 8.375 5/15/2018 BB (8040.00)BNG18WG79 STATE OIL CO OF THE AZERBAIJAN REP RegS 95.25 576,249.17$ 0.10% Owned No Guarantee 6.950 3/18/2030 BB 25600.00BRSHGQ826 STATION CASINOS 1L TL-B 100.13 722,989.43$ 0.13% Gaming 4.250 3/2/2020 B+ 5856.51857691AD1 STATION CASINOS LLC 105.96 267,928.33$ 0.05% Gaming 7.500 3/1/2021 CCC+ 1157.50864486AG0 SUBURBAN PROPANE PARTNERS LP 103.00 309,168.19$ 0.05% Midstream 7.375 8/1/2021 BB- 1075.5083611MDH8 SVHE_05-O1 M2 88.09 2,944,305.21$ 0.51% Home Equity 1.114 6/25/2035 B (36754.65)87165BAD5 SYNCHRONY FINANCIAL 102.27 582,748.11$ 0.10% Banking 4.250 8/15/2024 BBB- 20525.8287163FAA4 SYNIVERSE HOLDINGS INC 49.50 208,544.44$ 0.04% Technology 9.125 1/15/2019 CCC+ (152000.00)87264AAH8 T-MOBILE USA INC 105.19 246,002.12$ 0.04% Wireless 6.125 1/15/2022 BB 5032.4087264AAF2 T-MOBILE USA INC 103.13 1,231,149.40$ 0.22% Wireless 6.542 4/28/2020 BB (12478.50)74966NAA4 TALEN ENERGY SUPPLY LLC 144A 93.00 1,462,209.72$ 0.26% Electric 4.625 7/15/2019 B+ 36750.0087612BAT9 TARGA RESOURCES PARTNERS FINANCE C 144A 100.56 219,313.86$ 0.04% Midstream 5.000 1/15/2018 BB- 4970.8087612BAR3 TARGA RESOURCES PARTNERS LP 97.00 598,218.96$ 0.10% Midstream 4.125 11/15/2019 BB- 18150.00

85




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L877249AC6 TAYLOR MORRISON COMMUNITIES INC/MO 144A 99.75 654,699.79$ 0.11% Home Construction 5.250 4/15/2021 BB- (4590.97)878742AX3 TECK RESOURCES LTD 95.00 119,513.89$ 0.02% Metals and Mining 2.500 2/1/2018 B+ 9375.00878744AA9 TECK RESOURCES LTD 91.25 123,840.00$ 0.02% Metals and Mining 3.000 3/1/2019 B+ 17381.25364725BA8 TEGNA INC 104.13 1,214,463.89$ 0.21% Media and Entertainment 5.125 7/15/2020 BB+ 9062.50872456AA6 TELECOM ITALIA CAPITAL 113.13 214,111.42$ 0.04% Wirelines 7.175 6/18/2019 BB+ 4237.5088033GCG3 TENET HEALTHCARE CORP 99.00 414,193.06$ 0.07% Healthcare 5.000 3/1/2019 CCC+ (1294.80)88033GBP4 TENET HEALTHCARE CORPORATION 107.00 1,711,903.82$ 0.30% Healthcare 6.250 11/1/2018 BB- (7062.50)880779AX1 TEREX CORP 100.05 553,055.56$ 0.10% Diversified Manufacturing 6.500 4/1/2020 BB (20845.00)881575AA2 TESCO PLC 144A 104.82 268,323.89$ 0.05% Supermarkets 5.500 11/15/2017 BB+ (3440.00)88160QAK9 TESORO LOGISTICS LP 102.00 347,527.22$ 0.06% Midstream 5.500 10/15/2019 BB 9465.00887317AK1 TIME WARNER INC 110.97 2,856,622.89$ 0.50% Media and Entertainment 4.750 3/29/2021 BBB 47746.9688947EAH3 TOLL BROTHERS FINANCE CORP 110.00 463,455.30$ 0.08% Home Construction 8.910 10/15/2017 BB+ (10380.00)89356BAA6 TRANSCANADA TRUST 89.75 2,601,009.38$ 0.45% Midstream 5.625 5/20/2025 BBB (176250.00)893647AR8 TRANSDIGM INC 101.50 274,627.50$ 0.05% Aerospace and Defense 5.500 10/15/2020 CCC+ 9000.00912828B66 TREASURY NOTE 107.96 6,207,119.43$ 1.08% Treasuries 2.750 2/15/2024 AA+ (19091.20)912828K66 TREASURY NOTE 99.90 28,041,615.94$ 4.90% Treasuries 0.500 4/30/2017 AA+ 58406.88900123CF5 TURKEY (REPUBLIC OF) 109.75 379,572.94$ 0.07% Sovereign 5.750 3/22/2024 NA 17117.44900123BD1 TURKEY (REPUBLIC OF) 111.09 941,004.40$ 0.16% Sovereign 7.000 3/11/2019 NA (896.40)900123CJ7 TURKEY (REPUBLIC OF) 99.25 944,557.29$ 0.17% Sovereign 4.250 4/14/2026 NA 46325.0090014TAB7 TURKIYE CUMHURIYETI ZIRAAT BANKASI MTN 144A 100.65 443,866.50$ 0.08% Owned No Guarantee 4.750 4/29/2021 NA 4185.09BRSMX1XU1 TWIN RIVER MANAGEMENT 1L TL-B 100.16 228,146.15$ 0.04% Gaming 5.250 7/10/2020 BB (214.12)90351DAB3 UBS GROUP FUNDING (JERSEY) LTD 144A 102.40 3,515,794.63$ 0.61% Banking 4.125 9/24/2025 BBB+ 95656.41903724AU6 UKRAINE (GOVERNMENT OF) 144A 92.90 211,823.13$ 0.04% Sovereign 7.750 9/1/2027 B- 326.25903724AW2 UKRAINE (GOVERNMENT OF) 144A 31.23 174,882.40$ 0.03% Sovereign 5/31/2040 B- (91884.80)BNG1WUQ00 UKRAINE (GOVERNMENT OF) RegS 92.90 376,574.44$ 0.07% Sovereign 7.750 9/1/2027 B- 28080.00903724AS1 UKRAINE REPUBLIC OF (GOVERMENT) 144A 93.93 214,154.13$ 0.04% Sovereign 7.750 9/1/2025 B- 1716.75903724AT9 UKRAINE REPUBLIC OF (GOVERMENT) 144A 93.02 212,104.38$ 0.04% Sovereign 7.750 9/1/2026 B- 229.50903724AP7 UKRAINE REPUBLIC OF (GOVERMENT) 144A 95.47 345,267.59$ 0.06% Sovereign 7.750 9/1/2022 B- 3891.30903724AM4 UKRAINE REPUBLIC OF (GOVERMENT) 144A 95.91 418,749.30$ 0.07% Sovereign 7.750 9/1/2020 B- 2663.58913903AP5 UNIVERSAL HEALTH SERVICES INC 144A 102.50 884,212.50$ 0.15% Healthcare 3.750 8/1/2019 BBB- (375.00)BRSJE18C7 UNIVISION 1L TL-C3 99.71 247,285.25$ 0.04% Media and Entertainment 4.000 3/1/2020 B+ 825.87914906AP7 UNIVISION COMMUNICATIONS INC 144A 106.00 267,062.50$ 0.05% Media and Entertainment 6.750 9/15/2022 B+ 75.00TYM620162 US 10YR NOTE JUN 16 130.06 -$ 0.00% Futures 6/21/2016 0.00TUM620160 US 2YR NOTE JUN 16 109.31 -$ 0.00% Futures 6/30/2016 0.00FVM620163 US 5YR NOTE JUN 16 120.91 -$ 0.00% Futures 6/30/2016 0.00BRSM5KGV7 US COATINGS ACQUISITION 1L TL-B 99.92 366,315.50$ 0.06% Chemicals 3.750 2/1/2020 BB- 1173.18

86




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LUSM620163 US LONG BOND JUN 16 163.31 -$ 0.00% Futures 6/21/2016 0.00UXYM62018 US ULTRA 10YR NOTE JUN 16 140.56 -$ 0.00% Futures 6/21/2016 0.00WNM620162 US ULTRA T-BOND JUN 16 171.34 -$ 0.00% Futures 6/21/2016 0.00USD_CCASH USD CASH(Alpha Committed) 100.00 15,732,873.02$ 2.75% 0.436 4/30/2016 UNK 0.00903293AS7 USG CORP 112.25 1,098,886.67$ 0.19% Building Materials 9.750 1/15/2018 B (2587.50)903293BC1 USG CORPORATION 144A 105.26 589,514.84$ 0.10% Building Materials 5.875 11/1/2021 BB+ 2719.6092912EAC7 VALEANT PHARMACEUTICALS 144A 96.63 274,435.00$ 0.05% Pharmaceuticals 6.750 8/15/2018 B- (8573.60)91829KAA1 VALEANT PHARMACEUTICALS INTERNATIO 144A 90.63 817,856.25$ 0.14% Pharmaceuticals 6.375 10/15/2020 B- (124875.00)922646BL7 VENEZUELA (BOLVARIAN REPUBLIC OF) 38.50 557,015.63$ 0.10% Sovereign 9.375 1/13/2034 CCC 51300.0092343VCX0 VERIZON COMMUNICATIONS INC 101.52 252,112.83$ 0.04% Wirelines 4.522 9/15/2048 BBB+ 29844.3492343VBJ2 VERIZON COMMUNICATIONS INC 99.47 478,223.85$ 0.08% Wirelines 2.450 11/1/2022 BBB+ 27395.5192343VBQ6 VERIZON COMMUNICATIONS INC 110.59 590,173.35$ 0.10% Wirelines 4.500 9/15/2020 BBB+ 16991.4592343VBR4 VERIZON COMMUNICATIONS INC 114.85 698,632.54$ 0.12% Wirelines 5.150 9/15/2023 BBB+ 33808.6692343VCZ5 VERIZON COMMUNICATIONS INC 97.70 3,172,130.62$ 0.55% Wirelines 4.672 3/15/2055 BBB+ 390041.7192553PAZ5 VIACOM INC 89.97 1,137,062.52$ 0.20% Media and Entertainment 4.850 12/15/2034 BBB- 50518.0392553PAW2 VIACOM INC 92.01 1,598,794.57$ 0.28% Media and Entertainment 5.250 4/1/2044 BBB- 90981.68BNG12BV33 VIETNAM SOCIALIST REPUBLIC OF RegS 102.36 407,517.37$ 0.07% Sovereign 4.800 11/19/2024 BB- 21872.3755181WAA2 VIRGIN MEDIA SECURED FINANCE PLC 144A 104.50 706,785.94$ 0.12% Cable and Satellite 5.375 4/15/2021 BB- 9843.7592912EAA1 VPII ESCROW CORP 144A 91.50 309,100.00$ 0.05% Pharmaceuticals 7.500 7/15/2021 B- (52387.50)91831AAA9 VRX ESCROW CORP 144A 88.56 588,845.03$ 0.10% Pharmaceuticals 5.375 3/15/2020 B- (52540.80)929160AK5 VULCAN MATERIALS CO 110.50 282,763.89$ 0.05% Building Materials 7.000 6/15/2018 BBB (5625.00)BRSLNJCD6 WALTER INVESTMENT MANAGEMENT 1L TL 87.59 211,018.54$ 0.04% Financial Other 4.750 12/18/2020 BB- (18443.71)BRSJ883L4 WARNER MUSIC 1L TL 98.73 244,945.81$ 0.04% Media and Entertainment 3.750 7/1/2020 B 1816.03949746RG8 WELLS FARGO & CO 102.38 7,581,405.56$ 1.32% Banking 5.900 6/15/2024 BBB (25455.00)94974BGR5 WELLS FARGO & COMPANY 101.88 2,469,179.74$ 0.43% Banking 2.550 12/7/2020 A 47607.74966387AG7 WHITING PETROLEUM CORP 87.75 344,608.33$ 0.06% Independent 5.000 3/15/2019 B 104150.0096758GAB2 WIDEOPENWEST FINANCE LLC 100.25 258,027.78$ 0.05% Cable and Satellite 10.250 7/15/2019 CCC+ (10625.00)96949LAB1 WILLIAMS PARTNERS LP 87.00 643,043.33$ 0.11% Midstream 4.000 9/15/2025 BBB- (23544.40)96949LAA3 WILLIAMS PARTNERS LP 89.00 3,832,504.00$ 0.67% Midstream 3.600 3/15/2022 BBB- (253029.25)97314XAM6 WIND ACQUISITION FINANCE SA 144A 95.50 1,017,158.33$ 0.18% Wireless 4.750 7/15/2020 BB (35875.00)97381WAN4 WINDSTREAM CORP 90.45 290,401.24$ 0.05% Wirelines 7.750 10/15/2020 B+ 35036.80984121CK7 XEROX CORPORATION 95.34 2,729,802.41$ 0.48% Technology 2.750 9/1/2020 BBB- 47352.32984245AM2 YPF SOCIEDAD ANONIMA 144A 104.50 235,984.00$ 0.04% Owned No Guarantee 8.500 3/23/2021 NR 10080.00989207AC9 ZEBRA TECHNOLOGIES CORPORATION 108.26 200,802.60$ 0.04% Technology 7.250 10/15/2022 B+ 3718.5098877DAA3 ZF NORTH AMERICA CAPITAL INC 144A 104.00 780,000.00$ 0.14% Automotive 4.000 4/29/2020 BB+ 29500.00AUD AUD Forwards 0.76 (22,194,177.00)$ -3.88% FX 6/3/2016 (764616.00)

87




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LCAD CAD Forwards 1.25 (15,335,388.00)$ -2.68% FX 6/3/2016 (514303.00)CHF CHF Forwards 0.96 (25,355,455.00)$ -4.43% FX 6/3/2016 (1154523.00)EUR EUR Forwards 1.15 12,566,736.00$ 2.20% FX 6/3/2016 240101.00GBP GBP Forwards 1.46 14,062,776.00$ 2.46% FX 6/3/2016 667256.00JPY JPY Forwards 107.00 (5,353,884.00)$ -0.94% FX 6/3/2016 (151944.00)NOK NOK Forwards 8.05 24,700,152.00$ 4.32% FX 6/3/2016 2124536.00NZD NZD Forwasds 1.43 (7,918,524.00)$ -1.38% FX 6/3/2016 (9761.00)SEK SEK Forwards 8.02 8,266,539.00$ 1.44% FX 6/3/2016 902664.00USD USD Forwards 1.00 17,900,634.00$ 3.12% FX 6/3/2016 -

88

LA Health Plan Holdings



Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LBJM620164 10YR MINI JGB JUN 16 151.65 -$ 0.00% Futures 6/10/2016 0.00004421MG5 ACE_05-HE2 M5 87.08 194,214.65$ 0.20% Home Equity 1.459 4/25/2035 CCC 9088.50035659AA9 ACOSTA INC 144A 93.00 37,441.11$ 0.04% Food and Beverage 7.750 10/1/2022 CCC+ (725.00)00507UAR2 ACTAVIS FUNDING SCS 102.45 591,525.75$ 0.62% Pharmaceuticals 3.450 3/15/2022 BBB- 25664.4200507VAC3 ACTIVISION BLIZZARD INC 144A 105.25 174,796.88$ 0.18% Media and Entertainment 5.625 9/15/2021 BB+ 1125.0000101NAB3 ADS WASTE HOLDINGS INC 104.13 78,575.00$ 0.08% Environmental 8.250 10/1/2020 CCC+ 353.2500101JAE6 ADT CORP 101.00 50,825.00$ 0.05% Consumer Cyclical Services 2.250 7/15/2017 BB- 700.5000101JAL0 ADT CORP 107.25 53,705.21$ 0.06% Consumer Cyclical Services 4.125 4/15/2019 BB- 2000.00BRSNZFA49 ADVANTAGE SALES & MARKETING 1L TL 99.06 73,797.88$ 0.08% Food and Beverage 4.250 7/23/2021 B 359.0300766TAB6 AECOM 104.25 36,565.76$ 0.04% Industrial Other 5.750 10/15/2022 BB- 725.00903243AD5 AECOM GLOBAL II LLC 100.51 10,080.64$ 0.01% Industrial Other 3.850 4/1/2017 BB- (24.30)00772BAN1 AERCAP IRELAND CAPITAL LTD / AERCA 102.88 245,029.93$ 0.26% Finance Companies 4.250 7/1/2020 BBB- 4053.7500912XAM6 AIR LEASE CORPORATION 101.75 438,802.01$ 0.46% Finance Companies 3.875 4/1/2021 BBB- 2131.04BNG1BTAS2 AIR MEDICAL 1L TL-B1 98.54 73,413.47$ 0.08% Healthcare 4.250 4/28/2022 B 343.0100928QAL5 AIRCASTLE LTD 103.50 320,925.66$ 0.33% Finance Companies 4.625 12/15/2018 BB+ 1326.00013817AP6 ALCOA INC 106.84 134,865.83$ 0.14% Metals and Mining 5.720 2/23/2019 BBB- 2572.50020002BB6 ALLSTATE CORPORATION (THE) 102.75 685,950.83$ 0.72% Property and Casualty 5.750 8/15/2023 BBB (8250.00)02005NBE9 ALLY FINANCIAL INC 99.75 25,330.21$ 0.03% Banking 3.250 11/5/2018 BB+ (27.00)02005NAL4 ALLY FINANCIAL INC 102.13 103,255.56$ 0.11% Banking 5.500 2/15/2017 BB+ (1375.00)02005NAT7 ALLY FINANCIAL INC 99.38 120,323.33$ 0.13% Banking 3.500 1/27/2019 BB+ (36.90)02005NBB5 ALLY FINANCIAL INC 100.50 153,120.00$ 0.16% Banking 3.600 5/21/2018 BB+ 750.0002209SAT0 ALTRIA GROUP INC 103.48 458,702.31$ 0.48% Tobacco 2.625 1/14/2020 A- 12494.2800165AAF5 AMC ENTERTAINMENT INC 104.25 100,184.76$ 0.10% Leisure 5.875 2/15/2022 B 1662.50024836AC2 AMERICAN CAMPUS COMMUNITIES INC. 102.64 514,520.78$ 0.54% Other REIT 3.350 10/1/2020 BBB 14163.00025816BL2 AMERICAN EXPRESS CO 90.00 389,575.22$ 0.41% Banking 4.900 3/15/2020 BB+ (30530.00)03077JAB6 AMERIGAS FINANCE CORP 105.63 103,280.83$ 0.11% Midstream 7.000 5/20/2022 NR 2493.7500252FCV1 AMIT_05-4 M3 81.62 204,083.56$ 0.21% Home Equity 1.219 10/25/2035 CCC 2174.70031652BE9 AMKOR TECHNOLOGY INC 97.25 149,960.42$ 0.16% Technology 6.625 6/1/2021 BB (2210.00)03072SS89 AMSI_05-R10 M3 78.44 655,046.53$ 0.68% Home Equity 0.889 1/25/2036 B- (3642.19)03072SM28 AMSI_05-R8 M3 82.56 577,988.90$ 0.60% Home Equity 0.949 10/25/2035 CCC (3959.90)03232PAB4 AMSURG CORP 102.50 83,862.50$ 0.09% Healthcare 5.625 11/30/2020 B- (375.00)032511BJ5 ANADARKO PETROLEUM CORP 94.05 408,700.06$ 0.43% Independent 3.450 7/15/2024 BBB (10204.51)035242AN6 ANHEUSER-BUSCH INBEV FINANCE INC 112.94 222,731.97$ 0.23% Food and Beverage 4.900 2/1/2046 A- 25695.30035242AP1 ANHEUSER-BUSCH INBEV FINANCE INC 105.44 654,297.41$ 0.68% Food and Beverage 3.650 2/1/2026 A- 34463.1703674PAL7 ANTERO RESOURCES FINANCE CORP 96.75 19,881.53$ 0.02% Independent 5.375 11/1/2021 BB (50.00)03674PAJ2 ANTERO RESOURCES FINANCE CORP 100.22 77,014.25$ 0.08% Independent 6.000 12/1/2020 BB 8676.25

89

LA Health Plan Holdings (continued)



Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L037411BA2 APACHE CORP 96.28 274,911.28$ 0.29% Independent 4.750 4/15/2043 BBB 19287.02038521AM2 ARAMARK CORP 103.25 51,976.39$ 0.05% Food and Beverage 5.750 3/15/2020 BB- (250.00)03938LAY0 ARCELORMITTAL 98.50 25,169.53$ 0.03% Metals and Mining 5.125 6/1/2020 BB 0.0003938LAW4 ARCELORMITTAL 103.25 41,691.11$ 0.04% Metals and Mining 5.500 2/25/2017 BB 700.0003938LAF1 ARCELORMITTAL 103.69 53,103.03$ 0.06% Metals and Mining 6.125 6/1/2018 BB (69.00)BRSA39AL8 ARGENTINA (REPUBLIC OF) 104.60 97,355.63$ 0.10% Sovereign 8.750 6/2/2017 NR (6046.05)040114GL8 ARGENTINA REPUBLIC OF GOVERNMENT 104.75 406,892.32$ 0.42% Sovereign 8.280 12/31/2033 NR (27150.16)BNG19SLF3 ARMENIA (REPUBLIC OF) RegS 99.38 200,060.83$ 0.21% Sovereign 7.150 3/26/2025 NR 6400.00044209AK0 ASHLAND INC 102.75 149,206.01$ 0.16% Chemicals 3.875 4/15/2018 BB 421.34046353AM0 ASTRAZENECA PLC 107.68 674,415.78$ 0.70% Pharmaceuticals 4.375 11/16/2045 A- (2729.38)00206RBH4 AT&T INC 94.49 44,202.84$ 0.05% Wirelines 4.300 12/15/2042 BBB+ 3555.9000206RCP5 AT&T INC 100.46 97,385.85$ 0.10% Wirelines 4.500 5/15/2035 BBB+ 7193.8000206RBK7 AT&T INC 94.13 99,574.76$ 0.10% Wirelines 4.350 6/15/2045 BBB+ 7556.3904650NAB0 AT&T INC 107.79 122,780.30$ 0.13% Wirelines 5.350 9/1/2040 BBB+ 9484.8800206RAG7 AT&T INC 117.78 179,404.15$ 0.19% Wirelines 6.300 1/15/2038 BBB+ 8714.4200206RCN0 AT&T INC 101.61 737,611.42$ 0.77% Wirelines 3.400 5/15/2025 BBB+ 46214.37BNG1X0JF0 AVAGO TECHNOLOGIES 1L TL-B1 USD 100.02 150,027.00$ 0.16% Technology 4.250 2/1/2023 BBB 1339.50053773AX5 AVIS BUDGET CAR RENTAL LLC 100.00 100,554.78$ 0.10% Transportation ServiceS 3.385 12/1/2017 B+ (220.00)058498AU0 BALL CORPORATION 104.00 157,404.53$ 0.16% Packaging 4.375 12/15/2020 BB+ 2086.25060505EG5 BANK OF AMERICA CORP 93.63 477,520.83$ 0.50% Banking 5.125 6/17/2019 BB+ (20375.00)060505EN0 BANK OF AMERICA CORP 100.06 670,144.88$ 0.70% Banking 6.100 3/17/2025 BB+ (12056.45)06051GFH7 BANK OF AMERICA CORP MTN 101.98 292,735.58$ 0.31% Banking 4.200 8/26/2024 BBB 5247.5307177MAK9 BAXALTA INC 144A 102.27 667,787.87$ 0.70% Pharmaceuticals 3.600 6/23/2022 BBB 11990.57BNG07JTX0 BERMUDA (GOVERNMENT) RegS 106.00 214,238.23$ 0.22% Sovereign 4.854 2/6/2024 A+ 2250.00085790AX1 BERRY PLASTICS CORP 103.19 52,846.78$ 0.06% Packaging 5.500 5/15/2022 B+ 2979.00085790AZ6 BERRY PLASTICS ESCROW CORP 144A 104.50 68,076.67$ 0.07% Packaging 6.000 10/15/2022 B+ 2025.00105756BR0 BRAZIL (FEDERATIVE REPUBLIC OF) 87.75 89,500.00$ 0.09% Sovereign 5.625 1/7/2041 BB 3850.00105756BS8 BRAZIL (FEDERATIVE REPUBLIC OF) 101.75 283,424.74$ 0.30% Sovereign 4.875 1/22/2021 BB 4317.50BRSLMDTH3 BRICKMAN GROUP HOLDINGS 1L TL 99.29 49,268.96$ 0.05% Consumer Cyclical Services 4.000 12/18/2020 B 144.89073877BT8 BSABS_05-SD2 2M2 91.55 225,264.05$ 0.23% Home Equity 1.939 12/25/2044 BB 1351.06073879VF2 BSABS_05-TC1 M1 94.47 238,864.86$ 0.25% Home Equity 1.099 5/25/2035 BBB+ (43133.07)131347CA2 CALPINE CORP 144A 105.63 187,877.08$ 0.20% Electric 6.000 1/15/2022 BB 417.10BNG1WVYH2 CALPINE CORP 1L TL-B6 99.94 24,922.04$ 0.03% Electric 4.000 1/15/2023 BB 233.91CNM620164 CAN 10YR BOND JUN 16 139.16 -$ 0.00% Futures 6/21/2016 0.0014040HBH7 CAPITAL ONE FINANCIAL CORP 99.25 507,658.33$ 0.53% Banking 5.550 6/1/2020 BB (2500.00)144531EF3 CARMLT_05-FRE M1 84.44 570,011.91$ 0.59% Home Equity 0.909 12/25/2035 D 13068.74

90




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L144531FN5 CARMLT_06-OPT M1 83.35 350,090.48$ 0.36% Home Equity 0.789 2/25/2036 B- 7753.6678514RAE5 CARR_05-NC4 M2 87.75 625,751.41$ 0.65% Home Equity 0.939 9/25/2035 B- (5501.71)144531DN7 CARR_05-NC5 M1 88.18 559,125.86$ 0.58% Home Equity 0.919 10/25/2035 BB- 5896.14144531CM0 CARR_05-O2 M4 89.76 641,867.37$ 0.67% Home Equity 1.414 5/25/2035 CCC 42.54147446AR9 CASE NEW HOLLAND INC 106.50 252,396.25$ 0.26% Construction Machinery 7.875 12/1/2017 BB+ (2313.00)CSHCITUS6 CASH COLLATERAL USD CITIB FUTURES 100.00 399,117.59$ 0.42% Banking 0.436 12/31/2049 NR 0.00CSWCITUS9 CASH COLLATERAL USD CITIB OTC 100.00 (554,320.15)$ -0.58% Banking 0.436 12/31/2049 NR 366.60124857AG8 CBS CORP 104.11 601,772.22$ 0.63% Media and Entertainment 3.375 3/1/2022 BBB 35398.661248EPAW3 CCO HOLDINGS LLC/CAP CORP 103.70 106,731.94$ 0.11% Cable and Satellite 7.375 6/1/2020 BB- (1300.00)161175AK0 CCO SAFARI II LLC 144A 103.85 52,402.20$ 0.05% Cable and Satellite 3.579 7/23/2020 BBB- 2065.00161175AM6 CCO SAFARI II LLC 144A 107.74 572,520.97$ 0.60% Cable and Satellite 4.908 7/23/2025 BBB- 40776.41161175AP9 CCO SAFARI II LLC 144A 117.71 659,806.71$ 0.69% Cable and Satellite 6.484 10/23/2045 BBB- 81612.86150191AF1 CEDAR FAIR LP/CANADA WONDERLAND CO 104.25 104,893.67$ 0.11% Leisure 5.250 3/15/2021 BB- 2252.0015089QAC8 CELANESE US HOLDINGS LLC 107.75 49,471.56$ 0.05% Chemicals 5.875 6/15/2021 BB+ 675.00156700AW6 CENTURYLINK INC 102.75 154,781.25$ 0.16% Wirelines 5.625 4/1/2020 BB 5438.0015672JAA1 CEQUEL COMMUNICATIONS ESCROW 1 LLC 144A 102.63 82,723.33$ 0.09% Cable and Satellite 6.375 9/15/2020 B- 3124.0012543DAU4 CHS/COMMUNITY HEALTH SYSTEMS INC 100.29 50,771.89$ 0.05% Healthcare 5.125 8/1/2021 BB (979.50)12543DAV2 CHS/COMMUNITY HEALTH SYSTEMS INC 90.94 50,940.21$ 0.05% Healthcare 6.875 2/1/2022 B- (7717.60)12543DAR1 CHS/COMMUNITY HEALTH SYSTEMS INC 101.25 102,303.47$ 0.11% Healthcare 5.125 8/15/2018 BB (1190.00)125581GS1 CIT GROUP INC 100.50 40,501.39$ 0.04% Finance Companies 3.875 2/19/2019 BB+ (44.80)125581GL6 CIT GROUP INC 103.13 51,883.33$ 0.05% Finance Companies 5.250 3/15/2018 BB+ (312.50)125581GH5 CIT GROUP INC 144A 104.65 37,023.19$ 0.04% Finance Companies 5.500 2/15/2019 BB+ (318.50)125577BC9 CIT GROUP INC 144A 105.38 195,897.01$ 0.20% Finance Companies 6.625 4/1/2018 BB+ (2800.00)172967HZ7 CITIGROUP INC 96.75 496,961.11$ 0.52% Banking 5.800 11/15/2019 BB+ (11875.00)172967KA8 CITIGROUP INC 102.08 594,206.66$ 0.62% Banking 4.450 9/29/2027 BBB 13285.42172967JM4 CITIGROUP INC 96.81 696,657.89$ 0.73% Banking 5.950 5/15/2025 BB+ (7403.50)BRSKSADX7 CITYCENTER HOLDINGS 1L TL-B 100.20 60,370.37$ 0.06% Lodging 4.250 10/16/2020 BB 256.7818451QAH1 CLEAR CHANNEL WORLDWIDE HOLDINGS I 92.69 117,024.93$ 0.12% Media and Entertainment 7.625 3/15/2020 B- (10077.00)17309SAE0 CMLT_06-WHE4 M1 82.36 444,773.42$ 0.46% Home Equity 0.719 11/25/2036 CCC 11211.53BRSJ6G9A6 COINMACH LAUNDRY 1L TL-B 97.96 72,975.94$ 0.08% Consumer Cyclical Services 4.250 11/15/2019 B (153.23)195325CX1 COLOMBIA (REPUBLIC OF) 102.15 206,575.00$ 0.22% Sovereign 4.500 1/28/2026 BBB 7602.00195325BQ7 COLOMBIA (REPUBLIC OF) 100.50 202,400.00$ 0.21% Sovereign 4.000 2/26/2024 BBB 8000.00203372AN7 COMMSCOPE HOLDING CO INC 144A 103.00 52,314.24$ 0.05% Technology 4.375 6/15/2020 BB 1125.00203372AL1 COMMSCOPE INC 144A 101.00 36,001.39$ 0.04% Technology 5.000 6/15/2021 B 1028.3021036PAM0 CONSTELLATION BRANDS INC 105.25 80,261.46$ 0.08% Food and Beverage 3.875 11/15/2019 BB+ 1846.2521036PAF5 CONSTELLATION BRANDS INC 105.38 103,243.89$ 0.11% Food and Beverage 7.250 5/15/2017 BB+ (831.25)

91




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L22003BAJ5 CORPORATE OFFICE PROPERTIES LP 98.71 200,181.03$ 0.21% Office REIT 3.700 6/15/2021 BBB- 1214.03226373AJ7 CRESTWOOD MIDSTREAM PARTNERS LP 94.75 111,530.83$ 0.12% Midstream 6.000 12/15/2020 BB- 4565.25BRSA9KT37 CROATIA (REPUBLIC OF) RegS 109.65 223,164.58$ 0.23% Sovereign 6.625 7/14/2020 BB (142.80)BRS8YL2Q0 CROATIA (REPUBLIC OF) RegS 109.76 307,426.64$ 0.32% Sovereign 6.750 11/5/2019 BB 1070.4422822VAC5 CROWN CASTLE INTERNATIONAL CORP 101.75 427,359.93$ 0.45% Wireless 3.700 6/15/2026 BBB- 8640.93126304AK0 CSC HOLDINGS LLC 108.25 198,815.00$ 0.21% Cable and Satellite 7.625 7/15/2018 BB 598.0023331ABF5 D R HORTON INC 102.25 211,140.03$ 0.22% Home Construction 3.625 2/15/2018 BB+ 959.9023331ABK4 D.R. HORTON INC 103.75 15,685.83$ 0.02% Home Construction 4.000 2/15/2020 BB+ 450.0023918KAP3 DAVITA INC 104.75 132,414.93$ 0.14% Healthcare 5.750 8/15/2022 B+ (55.00)23311VAC1 DCP MIDSTREAM OPERATING LP 96.75 34,222.22$ 0.04% Midstream 2.500 12/1/2017 BB 1662.50BRSL9MJN6 DEL MONTE FOODS 1L TL 96.31 71,929.04$ 0.07% Food and Beverage 4.251 2/18/2021 B- (202.00)BNG1G39U1 DELL 1L TL-B2 USD 99.96 44,758.32$ 0.05% Technology 4.000 4/29/2020 BBB (72.09)24821VAA6 DENALI BORROWER LLC 144A 105.25 68,554.69$ 0.07% Technology 5.625 10/15/2020 BBB 937.5025470XAB1 DISH DBS CORP 110.25 66,911.25$ 0.07% Cable and Satellite 7.875 9/1/2019 BB- 1200.0025470XAH8 DISH DBS CORP 102.38 248,906.67$ 0.26% Cable and Satellite 4.625 7/15/2017 BB- 900.0023291AAA5 DJO FINCO INC 144A 87.50 45,262.15$ 0.05% Healthcare 8.125 6/15/2021 CCC+ (4216.25)BNG15JSY9 DOMINICAN REPUBLIC (GOVERNMENT) RegS 100.00 188,238.53$ 0.20% Sovereign 6.850 1/27/2045 BB- 8880.0025746UBY4 DOMINION RESOURCES INC 95.50 412,573.06$ 0.43% Electric 5.750 10/1/2024 BBB- (33325.00)260543CJ0 DOW CHEMICAL COMPANY (THE) 103.83 603,804.89$ 0.63% Chemicals 3.500 10/1/2024 BBB 46336.6026817RAM0 DYNEGY FINANCE I INC 101.25 88,899.38$ 0.09% Electric 6.750 11/1/2019 B+ 1245.25BNG0T8RS3 ECUADOR (REPUBLIC OF) RegS 86.75 232,060.76$ 0.24% Sovereign 7.950 6/20/2024 B 37555.00BRSBFN0B5 EL SALVADOR (REPUBLIC OF) RegS 88.00 175,234.58$ 0.18% Sovereign 7.625 2/1/2041 B+ (11524.50)268317AM6 ELECTRICITE DE FRANCE SA 144A 95.50 417,167.19$ 0.43% Owned No Guarantee 5.625 1/22/2024 BBB (27864.00)292505AH7 ENCANA CORP 102.11 99,813.76$ 0.10% Independent 6.500 5/15/2019 BBB 9113.2029271LAA2 ENDO FINANCE CO 144A 97.00 29,598.33$ 0.03% Pharmaceuticals 5.750 1/15/2022 B 525.0029271LAD6 ENDO FINANCE LLC / ENDO FINCO INC 144A 103.00 131,548.61$ 0.14% Pharmaceuticals 7.750 1/15/2022 B (2860.00)29266RAB4 ENERGIZER HOLDINGS INC 104.42 53,252.94$ 0.06% Consumer Products 4.700 5/19/2021 BB+ 1333.5029273VAC4 ENERGY TRANSFER EQUITY LP 100.75 141,458.33$ 0.15% Midstream 7.500 10/15/2020 BB 13412.5029273RAS8 ENERGY TRANSFER PARTNERS LP 91.15 66,263.68$ 0.07% Midstream 3.600 2/1/2023 BBB- (16.01)29273RBJ7 ENERGY TRANSFER PARTNERS LP 93.81 91,283.74$ 0.10% Midstream 6.125 12/15/2045 BBB- (537.33)29273RBH1 ENERGY TRANSFER PARTNERS LP 97.75 133,218.75$ 0.14% Midstream 2.500 6/15/2018 BBB- (2112.02)29273RBD0 ENERGY TRANSFER PARTNERS LP 92.45 141,281.60$ 0.15% Midstream 4.050 3/15/2025 BBB- 3559.7229273RAX7 ENERGY TRANSFER PARTNERS LP 98.00 422,787.94$ 0.44% Midstream 4.150 10/1/2020 BBB- (11994.48)29977HAB6 EP ENERGY LLC/EVEREST ACQUISITION 65.19 31,420.54$ 0.03% Independent 9.375 5/1/2020 CCC+ 10322.10BNG1YL840 EQUINIX INC 1L TLB USD 100.25 65,162.50$ 0.07% Technology 4.000 1/6/2023 BBB- (225.00)BRSBDSSU4 ESKOM HOLDINGS LTD RegS 94.40 191,767.63$ 0.20% Owned No Guarantee 5.750 1/26/2021 BB+ (1603.20)

92




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/LEUR_CCASH EUR CASH(Alpha Committed) 100.00 0.03$ 0.00% 4/30/2016 NR 0.00UBM620160 EURO BUXL 30YR BOND JUN 16 163.48 -$ 0.00% Futures 6/8/2016 0.00RXM620166 EURO-BUND JUN 16 161.88 -$ 0.00% Futures 6/8/2016 0.00OATM62011 EURO-OAT JUN 16 156.29 -$ 0.00% Futures 6/8/2016 0.0030219GAM0 EXPRESS SCRIPTS HOLDING CO 106.66 392,224.97$ 0.41% Healthcare 4.500 2/25/2026 BBB+ 23808.5730231GAT9 EXXON MOBIL CORP 103.32 451,508.80$ 0.47% Integrated 3.043 3/1/2026 AA+ 14449.7030706VAC9 FAMILY TREE ESCROW LLC 144A 103.88 104,720.83$ 0.11% Retailers 5.250 3/1/2020 BB- (427.50)315292AM4 FERRELLGAS LP 95.25 73,847.92$ 0.08% Midstream 6.500 5/1/2021 B+ 1315.2532027NSL6 FFMLT_05-FF6 M3 83.66 188,256.28$ 0.20% Home Equity 1.144 5/25/2036 B- 352.69319963BE3 FIRST DATA CORPORATION 144A 105.00 216,675.00$ 0.23% Technology 6.750 11/1/2020 BB (662.50)33938EAQ0 FLEXTRONICS INTERNATIONAL LTD 104.39 68,469.50$ 0.07% Technology 4.625 2/15/2020 BBB- 1226.55345397WY5 FORD MOTOR CREDIT COMPANY LLC 101.26 984,202.24$ 1.03% Automotive 2.597 11/4/2019 BBB 21116.51BRSL7M1V9 FORTESCUE METALS GROUP 1L TL 94.10 28,225.34$ 0.03% Metals and Mining 4.250 6/30/2019 BB+ 157.0335687MAY3 FREESCALE SEMICONDUCTOR INC 144A 103.81 26,521.94$ 0.03% Technology 5.000 5/15/2021 BBB- 327.5035802XAA1 FRESENIUS MEDICAL CARE US FINANCE 144A 109.87 165,996.67$ 0.17% Healthcare 6.500 9/15/2018 BB+ (1695.00)35802XAH6 FRESENIUS MEDICAL CARE US FINANCE 144A 103.50 160,673.65$ 0.17% Healthcare 4.125 10/15/2020 BB+ 2269.0035804GAJ7 FRESENIUS US FINANCE II INC 144A 103.75 68,112.78$ 0.07% Healthcare 4.250 2/1/2021 BB+ 1524.6017453BAW1 FRONTIER COMMUNICATIONS CORP 105.50 53,185.42$ 0.06% Wirelines 7.125 3/15/2019 BB- 1469.0035906AAH1 FRONTIER COMMUNICATIONS CORP 105.75 53,040.28$ 0.06% Wirelines 8.500 4/15/2020 BB- 1375.0035906AAR9 FRONTIER COMMUNICATIONS CORP 144A 105.88 112,307.71$ 0.12% Wirelines 8.875 9/15/2020 BB- 5693.75MARGNCAD0 FUTURES CAD MARGIN BALANCE 100.00 (4,101.48)$ 0.00% 0.943 4/30/2016 NR 0.00MARGNEUR3 FUTURES EUR MARGIN BALANCE 100.00 (573,624.45)$ -0.60% 4/30/2016 NR 0.00MARGNGBP3 FUTURES GBP MARGIN BALANCE 100.00 (53,245.48)$ -0.06% 0.507 4/30/2016 NR 0.00MARGNJPY3 FUTURES JPY MARGIN BALANCE 100.00 2,533.76$ 0.00% 4/30/2016 NR 0.00MARGNUSD1 FUTURES USD MARGIN BALANCE 100.00 628,437.65$ 0.66% 0.436 4/30/2016 NR 0.00BRS83P483 GAZ CAPITAL SA RegS 114.74 114,897.77$ 0.12% Owned No Guarantee 9.250 4/23/2019 BB+ 7754.60GBP_CCASH GBP CASH(Alpha Committed) 100.00 54,857.58$ 0.06% 0.507 4/30/2016 NR 0.00369604BQ5 GENERAL ELECTRIC CO 103.88 494,675.00$ 0.52% Diversified Manufacturing 5.000 1/21/2021 AA- 50903.3037045VAD2 GENERAL MOTORS CO 103.19 46,554.08$ 0.05% Automotive 3.500 10/2/2018 BBB- 1383.4037045VAL4 GENERAL MOTORS CO 120.56 328,849.29$ 0.34% Automotive 6.750 4/1/2046 BBB- 55753.7437045XAY2 GENERAL MOTORS FINANCIAL CO INC 101.82 734,745.47$ 0.77% Automotive 3.200 7/13/2020 BBB- 20508.93BRSHB4QM6 GENESYS TELECOM HOLDINGS 1L TL 99.38 74,022.62$ 0.08% Technology 4.000 2/8/2020 B 93.91BNG1U0BB0 GHANA (REPUBLIC OF) RegS 98.38 197,655.83$ 0.21% Sovereign 10.750 10/14/2030 NR (14990.00)378272AK4 GLENCORE FUNDING LLC 144A 93.00 465,519.10$ 0.49% Metals and Mining 2.875 4/16/2020 BBB- 5435.00361841AG4 GLP CAPITAL LP 102.25 25,565.54$ 0.03% Gaming 4.375 4/15/2021 BB+ 562.50361841AD1 GLP CAPITAL LP 105.50 113,305.94$ 0.12% Gaming 4.875 11/1/2020 BB+ 4937.50

93




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L361841AB5 GLP CAPITAL LP 103.00 189,293.75$ 0.20% Gaming 4.375 11/1/2018 BB+ 450.0038148LAF3 GOLDMAN SACHS GROUP INC/THE 102.24 449,271.86$ 0.47% Banking 5.150 5/22/2045 BBB- 13273.4838148BAA6 GOLDMAN SACHS GROUP INC/THE 97.38 645,327.88$ 0.67% Banking 5.700 5/10/2019 BB (23026.50)382550BA8 GOODYEAR TIRE & RUBBER CO 118.50 6,014.93$ 0.01% Automotive 8.750 8/15/2020 BB 175.00382550BD2 GOODYEAR TIRE & RUBBER CO 105.31 79,769.42$ 0.08% Automotive 6.500 3/1/2021 BB (16.00)BNG1NL032 GRATON CASINO 1L TL-B 100.00 52,739.59$ 0.05% Gaming 4.750 9/1/2022 B+ (122.96)389375AG1 GRAY TELEVISION INC 104.75 52,666.67$ 0.05% Media and Entertainment 7.500 10/1/2020 B 250.0040052VAD6 GRUPO BIMBO SAB DE CV 144A 95.96 342,969.82$ 0.36% Food and Beverage 4.875 6/27/2044 BBB 18530.7336242D3X9 GSMSC_05-6 M1 79.96 431,823.33$ 0.45% Home Equity 0.869 6/25/2035 BB- 1458.70410345AG7 HANESBRANDS INC 103.50 52,936.46$ 0.06% Retailers 6.375 12/15/2020 BB (437.50)40430HEB0 HASC_06-OPT2 M2 81.01 631,912.32$ 0.66% Home Equity 0.829 1/25/2036 B- (8734.52)404121AC9 HCA INC 110.75 330,654.03$ 0.34% Healthcare 6.500 2/15/2020 BBB- 1932.5040415RAQ8 HD SUPPLY INC 144A 105.00 80,215.63$ 0.08% Building Materials 5.250 12/15/2021 BB 2145.7542217KAY2 HEALTH CARE REIT INC 105.03 679,541.80$ 0.71% Healthcare REIT 4.125 4/1/2019 BBB (2383.37)437084PZ3 HEAT_05-8 M1 92.50 103,615.90$ 0.11% Home Equity 0.869 2/25/2036 BB+ (554.92)22541SK23 HEMT_04-5 M2 93.43 139,140.75$ 0.15% Home Equity 2.039 2/25/2035 CC (22514.44)428040CP2 HERTZ CORP 101.75 152,967.71$ 0.16% Transportation ServiceS 5.875 10/15/2020 B 896.0042824CAP4 HEWLETT PACKARD CO 144A 103.69 509,016.83$ 0.53% Technology 4.900 10/15/2025 BBB 19430.61432891AD1 HILTON WORLDWIDE FINANCE LLC 104.16 125,248.50$ 0.13% Lodging 5.625 10/15/2021 BB 361.00423074AZ6 HJ HEINZ CO 144A 102.89 259,493.40$ 0.27% Food and Beverage 2.800 7/2/2020 BBB- 7664.45436440AH4 HOLOGIC INC 144A 104.75 79,700.00$ 0.08% Healthcare 5.250 7/15/2022 BB 1510.2540431RAE5 HSIASC_07-WF1 2A4 85.13 664,041.64$ 0.69% Home Equity 0.689 5/25/2037 B 1956.94444454AB8 HUGHES SATELLITE SYSTEMS CORP 110.13 168,816.67$ 0.18% Cable and Satellite 6.500 6/15/2019 BBB- 2187.50445545AH9 HUNGARY REPUBLIC OF (GOVERNMENT) 110.19 467,074.77$ 0.49% Sovereign 5.375 2/21/2023 BB+ 5535.6044701QAZ5 HUNTSMAN INTERNATIONAL LLC 100.75 87,525.21$ 0.09% Chemicals 4.875 11/15/2020 B 4782.5044919PAF9 IAC/INTERACTIVECORP 103.00 57,759.74$ 0.06% Media and Entertainment 4.875 11/30/2018 BB (220.00)45072PAD4 IASIS HEALTHCARE LLC 95.50 34,760.35$ 0.04% Healthcare 8.375 5/15/2019 CCC+ (2884.00)451102BA4 ICAHN ENTERPRISES LP 99.75 130,231.11$ 0.14% Financial Other 3.500 3/15/2017 BBB- (700.00)Z91VRER97 ICE: (CDX.NA.HY.25.V1) 3.38 726,471.84$ 0.76% Credit Default Swaps 5.000 12/20/2020 B+ 86776.98449934AB4 IMS HEALTH INC 144A 102.50 79,100.00$ 0.08% Technology 6.000 11/1/2020 B+ (688.00)45254TQB3 IMSA_04-3 M1 87.97 97,657.83$ 0.10% CMO 1.339 11/25/2034 BBB- (1703.68)BNG0GN558 INDONESIA (REPUBLIC OF) MTN RegS 122.46 248,823.00$ 0.26% Sovereign 6.750 1/15/2044 BB+ 16423.00BNG0TAG68 INFOR ENTERPRISE 1L TL-B5 97.54 48,392.87$ 0.05% Technology 3.750 6/3/2020 B+ 82.8545685EAG1 ING US INC 93.65 654,322.46$ 0.68% Life Insurance 5.650 5/15/2023 BB+ (53039.99)45824TAC9 INTELSAT JACKSON HOLDINGS SA 73.00 18,320.49$ 0.02% Cable and Satellite 7.250 10/15/2020 CCC (4750.00)BRSLBJCQ0 INTELSAT S.A. 1L TL-B2 93.68 46,837.50$ 0.05% Cable and Satellite 3.750 6/30/2019 B- (2037.50)

94




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L460599AA1 INTERNATIONAL GAME TECHNOLOGY PLC 144A 104.75 47,657.81$ 0.05% Gaming 5.625 2/15/2020 BB+ 3037.50459745GP4 INTERNATIONAL LEASE FINANCE CORP 101.63 152,663.54$ 0.16% Finance Companies 3.875 4/15/2018 BBB- 1407.00462613AG5 IPALCO ENTERPRISES INC 104.88 118,081.94$ 0.12% Electric 5.000 5/1/2018 BB+ (750.00)BRS1VGXX0 IRAQ (REPUBLIC OF) RegS 71.01 181,713.89$ 0.19% Sovereign 5.800 1/15/2028 NR 3775.0046284VAA9 IRON MOUNTAIN INC 144A 105.50 217,231.67$ 0.23% Technology 6.000 10/1/2020 B+ 4806.80464592AQ7 ISLE OF CAPRI CASINOS INC 103.88 52,296.53$ 0.05% Gaming 5.875 3/15/2021 BB 387.50464592AN4 ISLE OF CAPRI CASINOS INC 105.13 81,321.35$ 0.08% Gaming 8.875 6/15/2020 B (1393.75)BRS9UL5T3 IVORY COAST RegS 91.01 325,187.43$ 0.34% Sovereign 5.750 12/31/2032 NR 12722.50BNG1KBJB9 JELD-WEN 1L TL-B 100.06 74,672.01$ 0.08% Building Materials 4.750 7/1/2022 B 171.93466278AE8 JPALT_07-A2 12A3 92.97 286,341.14$ 0.30% CMO 0.629 6/25/2037 CCC (5535.97)46629TAG5 JPMAC_06-CH1 M2 78.33 658,046.75$ 0.69% Home Equity 0.729 7/25/2036 CCC (1421.28)46625HJZ4 JPMORGAN CHASE & CO 103.98 300,732.91$ 0.31% Banking 4.125 12/15/2026 BBB+ 10938.0248127FAA1 JPMORGAN CHASE & CO 96.26 489,494.44$ 0.51% Banking 5.000 7/1/2019 BBB- (7200.00)48126HAA8 JPMORGAN CHASE & CO 102.26 689,782.33$ 0.72% Banking 6.000 8/1/2023 BBB- 8404.00BNG23Z601 KAR AUCTION SERVICES 1L TL-B3 100.38 10,037.50$ 0.01% Consumer Cyclical Services 4.250 2/28/2023 BB- 137.50BRS9W3231 KAZMUNAIGAZ NATIONAL CO RegS 106.52 129,685.93$ 0.14% Owned No Guarantee 7.000 5/5/2020 BB 1351.10BRS72T298 KAZMUNAIGAZ NATIONAL CO MTN RegS 109.50 123,712.19$ 0.13% Owned No Guarantee 9.125 7/2/2018 BB (2145.00)28370TAG4 KINDER MORGAN ENERGY PARTNERS LP 97.56 124,613.84$ 0.13% Midstream 4.300 5/1/2024 BBB- 4635.2649456BAG6 KINDER MORGAN INC 90.63 46,402.70$ 0.05% Midstream 5.300 12/1/2034 BBB- 359.5849456BAH4 KINDER MORGAN INC 93.12 572,428.00$ 0.60% Midstream 5.550 6/1/2045 BBB- 35382.24505861AB0 LAFARGE SA 101.06 77,201.08$ 0.08% Building Materials 6.500 7/15/2016 BBB (2136.50)513075BB6 LAMAR MEDIA CORP 104.75 37,165.14$ 0.04% Media and Entertainment 5.875 2/1/2022 BB- 131.25526057BU7 LENNAR CORP 103.81 227,603.30$ 0.24% Home Construction 4.500 11/15/2019 BB 3430.80527298AY9 LEVEL 3 FINANCING INC 104.75 209,976.39$ 0.22% Wirelines 6.125 1/15/2021 B 600.00525221EM5 LHXSTR_05-7N A1A 83.68 303,749.45$ 0.32% CMO 0.709 12/25/2035 B (8551.74)53219LAM1 LIFEPOINT HOSPITALS INC 104.00 95,635.00$ 0.10% Healthcare 5.500 12/1/2021 BB- 1315.00532716AR8 LIMITED BRANDS INC 118.00 48,465.56$ 0.05% Retailers 8.500 6/15/2019 BB+ 500.00532716AM9 LIMITED BRANDS INC 106.25 81,182.50$ 0.08% Retailers 6.900 7/15/2017 BB- (1468.75)539439AG4 LLOYDS BANKING GROUP PLC 99.15 444,184.17$ 0.46% Banking 7.500 6/27/2024 BB- (34376.25)GM6201664 LONG GILT JUN 16 119.60 -$ 0.00% Futures 6/28/2016 0.00BRS8K7005 MAJAPAHIT HOLDING BV RegS 113.95 115,772.22$ 0.12% Owned No Guarantee 8.000 8/7/2019 BB 450.00561234AD7 MALLINCKRODT INTERNATIONAL FINANCE 97.31 155,916.98$ 0.16% Pharmaceuticals 3.500 4/15/2018 B (1018.89)561233AB3 MALLINCKRODT INTERNATIONAL FINANCE 144A 95.50 23,922.40$ 0.02% Pharmaceuticals 4.875 4/15/2020 BB- 375.00BNG22FCR0 MANITOWOC FOODSERVICE 1L TL-B 101.06 29,852.45$ 0.03% Diversified Manufacturing 5.750 3/3/2023 B+ 904.76565849AL0 MARATHON OIL CORP 88.00 165,728.14$ 0.17% Independent 3.850 6/1/2025 BBB- 24999.77BRS9WJ897 MARFRIG OVERSEAS LTD RegS 102.50 107,118.06$ 0.11% Food and Beverage 9.500 5/4/2020 B+ 1500.00

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L574599BK1 MASCO CORPORATION 101.50 86,622.08$ 0.09% Building Materials 3.500 4/1/2021 BBB 1567.40574599BG0 MASCO CORPORATION 115.50 128,007.92$ 0.13% Building Materials 7.125 3/15/2020 BBB (406.00)BNG1W4AA3 MATCH GROUP 1L TL-B 100.46 69,441.59$ 0.07% Media and Entertainment 5.500 11/16/2022 BB+ 1165.9759001AAT9 MERITAGE HOMES CORP 102.25 10,297.50$ 0.01% Home Construction 4.500 3/1/2018 BB- 25.0059001AAN2 MERITAGE HOMES CORP 106.50 42,711.22$ 0.04% Home Construction 7.150 4/15/2020 BB- (1100.00)59156RBP2 METLIFE INC 97.37 427,093.92$ 0.45% Life Insurance 5.250 6/15/2020 BBB- (9116.00)91086QAZ1 MEXICO (UNITED MEXICAN STATES) 103.00 144,580.14$ 0.15% Sovereign 5.750 10/12/2110 BBB+ 6650.0091086QBB3 MEXICO (UNITED MEXICAN STATES) MTN 101.00 81,338.33$ 0.08% Sovereign 4.750 3/8/2044 BBB+ 4600.00552953BW0 MGM RESORTS INTERNATIONAL 113.75 173,787.50$ 0.18% Gaming 8.625 2/1/2019 B+ 3375.00594087AT5 MICHAELS STORES INC 144A 104.75 117,630.49$ 0.12% Retailers 5.875 12/15/2020 B- 1210.00BRSL6ET89 MOHEGAN TRIBAL GAMING AUTH 1L TL 99.33 124,605.73$ 0.13% Gaming 5.500 6/15/2018 B- 274.48608328BC3 MOHEGAN TRIBAL GAMING AUTHORITY 104.63 47,788.13$ 0.05% Gaming 9.750 9/1/2021 CCC 1042.9560937GAB2 MONGOLIA (GOVERNMENT) MTN RegS 78.90 161,896.00$ 0.17% Sovereign 5.125 12/5/2022 B (2184.00)617474AA9 MORGAN STANLEY 99.00 648,891.50$ 0.68% Banking 5.550 7/15/2020 BB (3096.00)61761JZN2 MORGAN STANLEY MTN 100.01 985,793.13$ 1.03% Banking 3.950 4/23/2027 BBB- 39052.1755342UAD6 MPT OPERATING PARTNERSHIP LP 105.00 53,155.21$ 0.06% Healthcare REIT 6.375 2/15/2022 BBB- (437.50)55342UAC8 MPT OPERATING PARTNERSHIP LP 103.63 160,536.46$ 0.17% Healthcare REIT 6.875 5/1/2021 BBB- (2812.50)61744CHP4 MSABS_04-NC8 M1 91.87 351,491.30$ 0.37% Home Equity 1.354 9/25/2034 A+ (13570.27)61744CPK6 MSABS_05-NC2 M4 87.20 265,995.94$ 0.28% Home Equity 1.354 3/25/2035 B+ 4793.8161744CSJ6 MSAC_05-HE3 M4 90.28 148,992.87$ 0.16% Home Equity 1.414 7/25/2035 B 1291.95BNG1M24H0 MTR GAMING CORP 1L TL-B 99.75 74,313.44$ 0.08% Gaming 4.250 7/25/2022 BB- (247.82)BRSMMQ6V6 MULTIPLAN/MPH ACQUISITION 1L TL 99.48 66,404.06$ 0.07% Healthcare 3.750 3/31/2021 BB- 629.5878442FEH7 NAVIENT LLC MTN 107.00 286,377.72$ 0.30% Finance Companies 8.450 6/15/2018 BB- 1400.0063946BAF7 NBCUNIVERSAL MEDIA LLC 135.80 396,096.04$ 0.41% Cable and Satellite 6.400 4/30/2040 A- 30528.75BNG122N81 NBG BANK LOAN ACCRUAL USD Prvt 100.00 6,598.98$ 0.01% 0.436 4/30/2016 NR 0.00BNG26VGS5 NBTY 1L TL-B USD 100.27 20,054.20$ 0.02% Consumer Products 5.000 4/14/2023 B+ 154.20628782AJ3 NBTY INC (LEINER HEALTH PRODUCTS) 144A 102.25 46,012.50$ 0.05% Consumer Products 7.625 5/15/2021 CCC+ 1012.5064352VLL3 NCHE_05-3 M3 91.17 338,541.08$ 0.35% Home Equity 0.949 7/25/2035 BB+ 4805.0564352VMV0 NCHE_05-4 M2 93.27 517,588.26$ 0.54% Home Equity 0.949 9/25/2035 BBB+ 18813.3862886HAL5 NCL CORPORATION LTD 144A 102.75 189,255.00$ 0.20% Leisure 5.250 11/15/2019 BB- (300.00)64110LAE6 NETFLIX INC 105.75 48,178.75$ 0.05% Media and Entertainment 5.375 2/1/2021 B+ (112.50)65410CAA8 NIELSEN CO (LUXEMBOURG) SARL 144A 104.25 104,677.78$ 0.11% Media and Entertainment 5.500 10/1/2021 BB+ 2500.0065409QBA9 NIELSEN FINANCE LLC/NIELSEN FINANC 102.75 113,410.00$ 0.12% Media and Entertainment 4.500 10/1/2020 BB+ 1362.50629377BN1 NRG ENERGY INC 107.00 10,920.28$ 0.01% Electric 7.625 1/15/2018 BB- 200.00629377BJ0 NRG ENERGY INC 103.50 288,280.21$ 0.30% Electric 8.250 9/1/2020 BB- 21540.6267020YAD2 NUANCE COMMUNICATIONS INC (NEW) 144A 102.25 155,032.29$ 0.16% Technology 5.375 8/15/2020 BB- 1225.00

96




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L67054LAA5 NUMERICABLE GROUP SA 144A 103.73 345,615.88$ 0.36% Wireless 4.875 5/15/2019 B+ 15259.0062947QAS7 NXP BV 144A 102.75 208,570.83$ 0.22% Technology 4.125 6/15/2020 BB+ 5626.00BNG1W3X85 NXP FUNDING 1L TL-B1 100.25 64,999.59$ 0.07% Technology 3.750 12/7/2020 BBB- 385.88NZD_CCASH NZD CASH(Alpha Committed) 100.00 64.49$ 0.00% 2.290 4/30/2016 NR 0.00674215AC2 OASIS PETROLEUM INC 95.00 19,354.44$ 0.02% Independent 7.250 2/1/2019 B+ 800.00674215AD0 OASIS PETROLEUM INC 91.50 42,621.25$ 0.04% Independent 6.500 11/1/2021 B+ 6304.95681936BH2 OMEGA HEALTHCARE INVESTORS INC 102.48 712,390.78$ 0.74% Healthcare REIT 5.250 1/15/2026 BBB- 18940.16688225AG6 OSHKOSH CORP 102.00 25,716.49$ 0.03% Aerospace and Defense 5.375 3/1/2022 BB+ 0.00698299BE3 PANAMA REPUBLIC OF (GOVERNMENT) 103.00 206,895.83$ 0.22% Sovereign 3.750 3/16/2025 BBB 10250.00103253AA8 PENINSULA GAMING LLC 144A 101.86 31,072.96$ 0.03% Gaming 8.375 2/15/2018 CCC+ (718.50)709629AN9 PENTAIR FINANCE SA 100.65 667,171.89$ 0.70% Diversified Manufacturing 3.625 9/15/2020 BBB- 5033.5871429MAB1 PERRIGO FINANCE PLC 102.90 413,994.06$ 0.43% Pharmaceuticals 4.375 3/15/2026 BBB- 12608.12715638BU5 PERU (REPUBLIC OF) 106.85 215,166.67$ 0.22% Sovereign 4.125 8/25/2027 BBB+ 15470.0071647NAH2 PETROBRAS GLOBAL FINANCE BV 88.75 35,727.50$ 0.04% Owned No Guarantee 4.875 3/17/2020 B+ 100.0071645WAN1 PETROBRAS INTERNATIONAL FINANCE CO 99.63 20,117.50$ 0.02% Owned No Guarantee 7.875 3/15/2019 B+ (314.00)BNG0RP7Q3 PETROLEOS DE VENEZUELA SA RegS 34.00 69,761.67$ 0.07% Owned No Guarantee 6.000 5/16/2024 CCC 2090.0071654QBH4 PETROLEOS MEXICANOS 99.63 18,178.69$ 0.02% Owned No Guarantee 4.875 1/18/2024 BBB+ (202.50)71654QBR2 PETROLEOS MEXICANOS 97.50 33,728.00$ 0.04% Owned No Guarantee 6.375 1/23/2045 BBB+ (510.00)71654QBX9 PETROLEOS MEXICANOS 89.03 104,110.65$ 0.11% Owned No Guarantee 5.625 1/23/2046 BBB+ (2201.10)71656LBK6 PETROLEOS MEXICANOS 144A 110.35 12,317.06$ 0.01% Owned No Guarantee 6.875 8/4/2026 BBB+ 1158.85BNG1E0B69 PETSMART 1L TL-B1 99.66 49,456.84$ 0.05% Retailers 4.250 3/11/2022 BB- 80.89BRSLY6QW5 PLY GEM INDUSTRIES INC 1L TL 99.29 11,029.43$ 0.01% Building Materials 4.000 2/1/2021 B+ 414.74737446AE4 POST HOLDINGS INC 144A 104.81 139,864.40$ 0.15% Food and Beverage 6.750 12/1/2021 B 3969.40BNG1NHV11 PPDI 1L TL-B 99.77 34,832.11$ 0.04% Pharmaceuticals 4.250 8/18/2022 B 705.57BNG272ZA6 PPDI 1L TL-B ADD ON 99.77 5,819.64$ 0.01% Pharmaceuticals 4.250 8/18/2022 B 44.9770069FFL6 PPSI_05-WCH1 M4 91.23 205,302.76$ 0.21% Home Equity 1.684 1/25/2036 BB- 3323.1670069FMT1 PPSI_05-WHQ4 M2 80.06 638,128.81$ 0.67% Home Equity 0.929 9/25/2035 CCC (23463.44)693522AD6 PQ CORP 144A 104.13 48,803.13$ 0.05% Chemicals 8.750 11/1/2018 B- 114.75744320AN2 PRUDENTIAL FINANCIAL INC 98.00 680,585.33$ 0.71% Life Insurance 5.200 3/15/2024 BBB+ 3450.00745867AV3 PULTE GROUP INC 101.75 30,730.42$ 0.03% Home Construction 4.250 3/1/2021 BB+ 525.00747262AQ6 QVC INC 101.30 101,543.06$ 0.11% Consumer Cyclical Services 3.125 4/1/2019 BBB- 1856.6576112BA59 RAMP_05-RZ3 M4 80.45 643,731.80$ 0.67% Home Equity 1.059 9/25/2035 CCC 3637.6876112BS68 RAMP_05-SP3 M2 88.13 594,975.48$ 0.62% Home Equity 1.239 12/25/2035 B- 11007.5676112BV80 RAMP_06-EFC1 M2 82.32 658,620.96$ 0.69% Home Equity 0.839 2/25/2036 CCC 546.4075156MAD7 RAMP_06-RZ3 M1 74.77 194,420.81$ 0.20% Home Equity 0.789 8/25/2036 NR 48.0275281AAM1 RANGE RESOURCES CORP 96.50 93,920.69$ 0.10% Independent 5.750 6/1/2021 BB+ 7212.50

97




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L76110WX27 RASC_05-KS5 M6 87.02 217,581.36$ 0.23% Home Equity 1.139 6/25/2035 B 674.7376110WZ25 RASC_05-KS6 M5 92.06 276,205.92$ 0.29% Home Equity 1.089 7/25/2035 BB 1669.6276110W3U8 RASC_05-KS8 M4 90.21 293,230.61$ 0.31% Home Equity 1.029 8/25/2035 B- 896.5776113ACA7 RASC_06-EMX3 A3 85.37 85,373.70$ 0.09% Home Equity 0.719 4/25/2036 CCC 146.96BRSMK3CE0 REALOGY GROUP 1L TL-B 99.92 74,430.25$ 0.08% Consumer Cyclical Services 3.750 3/5/2020 BB+ (61.83)75606DAA9 REALOGY GROUP LLC / REALOGY CO ISS 144A 103.75 36,373.75$ 0.04% Consumer Cyclical Services 4.500 4/15/2019 B 437.50758766AH2 REGAL ENTERTAINMENT GROUP 104.13 141,517.50$ 0.15% Leisure 5.750 3/15/2022 B- 3831.2575886AAF5 REGENCY ENERGY PARTNERS LP 102.12 62,400.47$ 0.07% Midstream 6.500 7/15/2021 BBB- (963.80)445545AF3 REPUBLIC OF HUNGARY 141.24 127,683.38$ 0.13% Sovereign 7.625 3/29/2041 BB+ 4036.50761713BA3 REYNOLDS AMERICAN INC 118.30 149,337.42$ 0.16% Tobacco 5.700 8/15/2035 BBB- 14383.89761713BB1 REYNOLDS AMERICAN INC 122.72 346,990.71$ 0.36% Tobacco 5.850 8/12/2045 BBB- 42245.71761735AP4 REYNOLDS GROUP ISSUER LLC 103.88 197,787.36$ 0.21% Packaging 5.750 10/15/2020 B+ 4237.5076112BZ37 RFMSI_06-RZ1 M2 87.53 639,045.38$ 0.67% Home Equity 0.859 3/25/2036 B- (18936.78)BRSJL0SB1 RITE AID CORP 2L TL-2 100.06 75,047.25$ 0.08% Retailers 4.875 6/21/2021 B+ (77.75)767754CD4 RITE AID CORPORATION 106.02 16,072.58$ 0.02% Retailers 9.250 3/15/2020 CCC+ 78.0077340RAC1 ROCKIES EXPRESS PIPELINE LLC 144A 103.50 131,848.61$ 0.14% Midstream 6.850 7/15/2018 BB+ 2625.00780153AR3 ROYAL CARIBBEAN CRUISES LTD 100.59 77,466.46$ 0.08% Leisure 7.250 6/15/2016 BB+ (2278.00)257867AY7 RR DONNELLEY & SONS CO 106.25 225,242.50$ 0.23% Media and Entertainment 8.250 3/15/2019 BB- (8825.00)78108AAE4 RSC EQUIPMENT RENTAL INC/RSC HOLDI 104.25 159,400.00$ 0.17% Construction Machinery 8.250 2/1/2021 BB- (1784.00)783764AN3 RYLAND GROUP INC 106.25 55,038.33$ 0.06% Home Construction 8.400 5/15/2017 BB (2021.00)785592AE6 SABINE PASS LIQUEFACTION LLC 99.38 216,612.50$ 0.23% Midstream 5.625 2/1/2021 BB+ 11956.2578572XAE1 SABRA HEALTH CARE LP 101.00 163,751.11$ 0.17% Healthcare REIT 5.500 2/1/2021 BB (5212.50)79546VAJ5 SALLY HOLDINGS LLC/SALLY CAPITAL I 104.75 58,912.64$ 0.06% Retailers 5.750 6/1/2022 BB+ 25.0086359DHM2 SASC_05-S3 M4 91.25 152,415.44$ 0.16% Home Equity 1.414 6/25/2035 NR (1146.43)863576DK7 SASC_05-WF4 M5 81.09 316,311.66$ 0.33% Home Equity 1.059 11/25/2035 CCC 365.7878401FAG2 SBA TELECOMMUNICATIONS INC 103.25 57,701.11$ 0.06% Wireless 5.750 7/15/2020 B+ (151.25)BNG18HCS0 SCIENTIFIC GAMES 1L TL-B2 98.33 87,926.47$ 0.09% Gaming 6.000 10/1/2021 BB- 2329.6380874YAU4 SCIENTIFIC GAMES INTERNATIONAL INC 82.65 43,380.56$ 0.05% Gaming 10.000 12/1/2022 B (3675.00)80874YAQ3 SCIENTIFIC GAMES INTERNATIONAL INC 63.25 33,134.03$ 0.03% Gaming 6.625 5/15/2021 B- (5375.00)81180WAH4 SEAGATE HDD CAYMAN 81.00 165,905.56$ 0.17% Technology 4.750 6/1/2023 BBB- (15546.00)81211KAS9 SEALED AIR CORPORATION 144A 113.38 139,256.67$ 0.15% Packaging 6.500 12/1/2020 BB 3050.00BNG0VU6E5 SENEGAL REPUBLIC OF (GOVERNMENT) RegS 94.01 230,287.88$ 0.24% Sovereign 6.250 7/30/2024 B+ 8941.10BRSCY8D88 SERBIA REPUBLIC OF (GOVERNMENT) RegS 113.28 227,808.21$ 0.24% Sovereign 7.250 9/28/2021 BB- 2559.60817565BW3 SERVICE CORP INTERNATIONAL 103.00 15,757.50$ 0.02% Consumer Cyclical Services 4.500 11/15/2020 BB 75.00817565BM5 SERVICE CORP INTERNATIONAL 112.25 146,695.97$ 0.15% Consumer Cyclical Services 7.625 10/1/2018 BB 75.00BRSNWEU68 SERVICEMASTER COMPANY 1L TL-B 100.31 54,805.51$ 0.06% Consumer Cyclical Services 4.250 7/1/2021 BB 277.27

98




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L82459AAC5 SHINGLE SPRINGS TRIBAL GAMING AUTH 144A 109.50 55,535.42$ 0.06% Gaming 9.750 9/1/2021 B- 2250.00BNG168MA0 SIG / ONEX WIZARD 1L TL-B USD 99.73 74,298.79$ 0.08% Packaging 4.250 3/11/2022 B+ 18.5482967NAQ1 SIRIUS XM RADIO INC 144A 103.75 52,103.47$ 0.05% Cable and Satellite 5.875 10/1/2020 BB (239.50)82967NAJ7 SIRIUS XM RADIO INC 144A 101.88 171,288.33$ 0.18% Cable and Satellite 4.250 5/15/2020 BB 2618.7583001AAA0 SIX FLAGS ENTERTAINMENT CORP 144A 103.50 110,267.50$ 0.11% Leisure 5.250 1/15/2021 BB- 1425.0078454LAD2 SM ENERGY CO 93.00 28,808.19$ 0.03% Independent 6.500 11/15/2021 B+ 400.00836205AT1 SOUTH AFRICA (REPUBLIC OF) 99.88 200,156.25$ 0.21% Sovereign 4.875 4/14/2026 NA 2488.00837004CJ7 SOUTH CAROLINA ELECTRIC & GAS COMP 109.61 480,337.85$ 0.50% Electric 5.100 6/1/2065 A 11776.88843646AM2 SOUTHERN POWER CO 102.19 317,375.31$ 0.33% Electric 4.150 12/1/2025 BBB+ 7353.49843646AL4 SOUTHERN POWER COMPANY 99.21 435,817.26$ 0.45% Electric 2.375 6/1/2020 BBB+ 3168.9284762LAN5 SPECTRUM BRANDS INC 105.53 81,323.38$ 0.08% Consumer Products 6.375 11/15/2020 B (807.75)852060AG7 SPRINT CAPITAL CORPORATION 91.50 270,498.25$ 0.28% Wireless 6.900 5/1/2019 B 487.50852061AF7 SPRINT NEXTEL CORPORATION 102.00 103,721.53$ 0.11% Wireless 8.375 8/15/2017 B (4562.00)852061AK6 SPRINT NEXTEL CORPORATION 144A 105.63 65,835.00$ 0.07% Wireless 9.000 11/15/2018 BB- (1412.50)78469XAC1 SPX FLOW INC 103.50 52,303.82$ 0.05% Diversified Manufacturing 6.875 9/1/2017 BB (1625.00)BRSAQ6FQ3 SRI LANKA DEMOCRATIC SOCIALIST (RE RegS 101.90 102,335.53$ 0.11% Sovereign 6.250 10/4/2020 B+ (348.50)BRSF96YL1 SRI LANKA DEMOCRATIC SOCIALIST (RE RegS 96.57 196,214.46$ 0.20% Sovereign 5.875 7/25/2022 B+ 946.4085375CAX9 STANDARD PACIFIC CORP 111.00 143,519.10$ 0.15% Home Construction 8.375 5/15/2018 BB (1562.50)BNG00K8X7 STATE OIL CO OF AZERBAIJAN REPUBLI MTN RegS 89.86 180,936.69$ 0.19% Owned No Guarantee 4.750 3/13/2023 BB 18422.80BRSHGQ826 STATION CASINOS 1L TL-B 100.13 125,282.75$ 0.13% Gaming 4.250 3/2/2020 B+ 798.97857691AD1 STATION CASINOS LLC 105.96 53,585.67$ 0.06% Gaming 7.500 3/1/2021 CCC+ 231.50864486AG0 SUBURBAN PROPANE PARTNERS LP 103.00 47,161.25$ 0.05% Midstream 7.375 8/1/2021 BB- 440.7083611MDH8 SVHE_05-O1 M2 88.09 496,884.54$ 0.52% Home Equity 1.114 6/25/2035 B (6202.76)87165BAD5 SYNCHRONY FINANCIAL 102.27 97,984.20$ 0.10% Banking 4.250 8/15/2024 BBB- 3451.2487163FAA4 SYNIVERSE HOLDINGS INC 49.50 36,495.28$ 0.04% Technology 9.125 1/15/2019 CCC+ (26600.00)87264AAK1 T-MOBILE USA INC 104.25 15,710.42$ 0.02% Wireless 6.250 4/1/2021 BB 168.7587264AAF2 T-MOBILE USA INC 103.13 62,867.20$ 0.07% Wireless 6.542 4/28/2020 BB (637.20)591709AL4 T-MOBILE USA INC 103.50 175,754.79$ 0.18% Wireless 6.625 11/15/2020 BB 0.0074966NAA4 TALEN ENERGY SUPPLY LLC 144A 93.00 254,707.50$ 0.27% Electric 4.625 7/15/2019 B+ 6300.0087612BAR3 TARGA RESOURCES PARTNERS LP 97.00 138,430.83$ 0.14% Midstream 4.125 11/15/2019 BB- 4200.00877249AC6 TAYLOR MORRISON COMMUNITIES INC/MO 144A 99.75 114,947.29$ 0.12% Home Construction 5.250 4/15/2021 BB- (818.78)878742AX3 TECK RESOURCES LTD 95.00 19,122.22$ 0.02% Metals and Mining 2.500 2/1/2018 B+ 1500.00878744AA9 TECK RESOURCES LTD 91.25 22,933.33$ 0.02% Metals and Mining 3.000 3/1/2019 B+ 3218.75364725BA8 TEGNA INC 104.13 200,650.56$ 0.21% Media and Entertainment 5.125 7/15/2020 BB+ 1500.00872456AA6 TELECOM ITALIA CAPITAL 113.13 34,720.77$ 0.04% Wirelines 7.175 6/18/2019 BB+ 681.2588033GCG3 TENET HEALTHCARE CORP 99.00 89,825.00$ 0.09% Healthcare 5.000 3/1/2019 CCC+ (280.80)

99




Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L88033GBP4 TENET HEALTHCARE CORPORATION 107.00 269,721.18$ 0.28% Healthcare 6.250 11/1/2018 BB- (1712.50)880779AX1 TEREX CORP 100.05 100,555.56$ 0.10% Diversified Manufacturing 6.500 4/1/2020 BB (3790.00)881575AA2 TESCO PLC 144A 104.82 107,329.56$ 0.11% Supermarkets 5.500 11/15/2017 BB+ (1376.00)88160QAK9 TESORO LOGISTICS LP 102.00 76,660.42$ 0.08% Midstream 5.500 10/15/2019 BB 1625.00887317AK1 TIME WARNER INC 110.97 484,456.51$ 0.51% Media and Entertainment 4.750 3/29/2021 BBB 8097.4488947EAH3 TOLL BROTHERS FINANCE CORP 110.00 88,277.20$ 0.09% Home Construction 8.910 10/15/2017 BB+ (1961.00)89356BAA6 TRANSCANADA TRUST 89.75 442,725.00$ 0.46% Midstream 5.625 5/20/2025 BBB (30000.00)893647AR8 TRANSDIGM INC 101.50 50,856.94$ 0.05% Aerospace and Defense 5.500 10/15/2020 CCC+ 1625.00912828B66 TREASURY NOTE 107.96 1,003,773.68$ 1.05% Treasuries 2.750 2/15/2024 AA+ (2509.58)912828K66 TREASURY NOTE 99.90 4,757,059.85$ 4.96% Treasuries 0.500 4/30/2017 AA+ 9908.30900123CF5 TURKEY (REPUBLIC OF) 109.75 220,681.94$ 0.23% Sovereign 5.750 3/22/2024 NA 9952.0090014TAB7 TURKIYE CUMHURIYETI ZIRAAT BANKASI MTN 144A 100.65 201,300.00$ 0.21% Owned No Guarantee 4.750 4/29/2021 NA 1898.00BRSMX1XU1 TWIN RIVER MANAGEMENT 1L TL-B 100.16 45,629.23$ 0.05% Gaming 5.250 7/10/2020 BB (42.82)90351DAB3 UBS GROUP FUNDING (JERSEY) LTD 144A 102.40 596,245.87$ 0.62% Banking 4.125 9/24/2025 BBB+ 16222.43903724AW2 UKRAINE (GOVERNMENT OF) 144A 31.23 23,734.04$ 0.02% Sovereign 5/31/2040 B- (12470.08)903724AN2 UKRAINE REPUBLIC OF (GOVERMENT) 144A 95.65 143,402.54$ 0.15% Sovereign 7.750 9/1/2021 B- 1326.08903724AM4 UKRAINE REPUBLIC OF (GOVERMENT) 144A 95.91 153,509.03$ 0.16% Sovereign 7.750 9/1/2020 B- 976.44913903AP5 UNIVERSAL HEALTH SERVICES INC 144A 102.50 155,125.00$ 0.16% Healthcare 3.750 8/1/2019 BBB- (15.00)BRSJE18C7 UNIVISION 1L TL-C3 99.71 49,457.06$ 0.05% Media and Entertainment 4.000 3/1/2020 B+ 165.17914906AP7 UNIVISION COMMUNICATIONS INC 144A 106.00 53,412.50$ 0.06% Media and Entertainment 6.750 9/15/2022 B+ 15.00TYM620162 US 10YR NOTE JUN 16 130.06 -$ 0.00% Futures 6/21/2016 0.00TUM620160 US 2YR NOTE JUN 16 109.31 -$ 0.00% Futures 6/30/2016 0.00FVM620163 US 5YR NOTE JUN 16 120.91 -$ 0.00% Futures 6/30/2016 0.00BRSM5KGV7 US COATINGS ACQUISITION 1L TL-B 99.92 63,815.31$ 0.07% Chemicals 3.750 2/1/2020 BB- 181.45USM620163 US LONG BOND JUN 16 163.31 -$ 0.00% Futures 6/21/2016 0.00UXYM62018 US ULTRA 10YR NOTE JUN 16 140.56 -$ 0.00% Futures 6/21/2016 0.00WNM620162 US ULTRA T-BOND JUN 16 171.34 -$ 0.00% Futures 6/21/2016 0.00USD_CCASH USD CASH(Alpha Committed) 100.00 3,050,178.37$ 3.18% 0.436 4/30/2016 UNK 0.00903293AS7 USG CORP 112.25 189,860.00$ 0.20% Building Materials 9.750 1/15/2018 B (650.00)903293BC1 USG CORPORATION 144A 105.26 108,167.86$ 0.11% Building Materials 5.875 11/1/2021 BB+ 1033.0092912EAC7 VALEANT PHARMACEUTICALS 144A 96.63 102,913.13$ 0.11% Pharmaceuticals 6.750 8/15/2018 B- (3983.85)922646BL7 VENEZUELA (BOLVARIAN REPUBLIC OF) 38.50 94,898.96$ 0.10% Sovereign 9.375 1/13/2034 CCC 8740.0092343VCX0 VERIZON COMMUNICATIONS INC 101.52 33,683.09$ 0.04% Wirelines 4.522 9/15/2048 BBB+ 3987.3092343VBQ6 VERIZON COMMUNICATIONS INC 110.59 58,906.19$ 0.06% Wirelines 4.500 9/15/2020 BBB+ 1695.9492343VBJ2 VERIZON COMMUNICATIONS INC 99.47 85,576.90$ 0.09% Wirelines 2.450 11/1/2022 BBB+ 4902.3692343VBR4 VERIZON COMMUNICATIONS INC 114.85 103,928.81$ 0.11% Wirelines 5.150 9/15/2023 BBB+ 5029.39

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Security Description Price Market Value % Mkt IndustryDesc Coupon Maturity Date S&P Unrealized G/L92343VAX2 VERIZON COMMUNICATIONS INC 111.42 167,672.32$ 0.17% Wirelines 4.600 4/1/2021 BBB+ 6584.3992343VCZ5 VERIZON COMMUNICATIONS INC 97.70 521,809.59$ 0.54% Wirelines 4.672 3/15/2055 BBB+ 64304.0192553PAZ5 VIACOM INC 89.97 196,393.37$ 0.20% Media and Entertainment 4.850 12/15/2034 BBB- 8725.4792553PAW2 VIACOM INC 92.01 268,006.03$ 0.28% Media and Entertainment 5.250 4/1/2044 BBB- 15258.97BNG12BV33 VIETNAM SOCIALIST REPUBLIC OF RegS 102.36 208,983.27$ 0.22% Sovereign 4.800 11/19/2024 BB- 11216.6055181WAA2 VIRGIN MEDIA SECURED FINANCE PLC 144A 104.50 188,476.25$ 0.20% Cable and Satellite 5.375 4/15/2021 BB- 2475.0092912EAA1 VPII ESCROW CORP 144A 91.50 88,983.33$ 0.09% Pharmaceuticals 7.500 7/15/2021 B- (15081.25)91831AAA9 VRX ESCROW CORP 144A 88.56 156,133.15$ 0.16% Pharmaceuticals 5.375 3/15/2020 B- (17674.00)929160AK5 VULCAN MATERIALS CO 110.50 56,552.78$ 0.06% Building Materials 7.000 6/15/2018 BBB (1125.00)BRSLNJCD6 WALTER INVESTMENT MANAGEMENT 1L TL 87.59 42,203.71$ 0.04% Financial Other 4.750 12/18/2020 BB- (3688.74)BRSJ883L4 WARNER MUSIC 1L TL 98.73 48,989.15$ 0.05% Media and Entertainment 3.750 7/1/2020 B 363.21949746RG8 WELLS FARGO & CO 102.38 1,286,224.67$ 1.34% Banking 5.900 6/15/2024 BBB (4282.50)94974BGR5 WELLS FARGO & COMPANY 101.88 411,529.96$ 0.43% Banking 2.550 12/7/2020 A 7934.62966387AG7 WHITING PETROLEUM CORP 87.75 61,852.78$ 0.06% Independent 5.000 3/15/2019 B 18700.0096758GAB2 WIDEOPENWEST FINANCE LLC 100.25 41,284.44$ 0.04% Cable and Satellite 10.250 7/15/2019 CCC+ (1700.00)96949LAB1 WILLIAMS PARTNERS LP 87.00 109,361.11$ 0.11% Midstream 4.000 9/15/2025 BBB- (4004.15)96949LAA3 WILLIAMS PARTNERS LP 89.00 639,496.00$ 0.67% Midstream 3.600 3/15/2022 BBB- (42220.75)97314XAM6 WIND ACQUISITION FINANCE SA 144A 95.50 193,744.44$ 0.20% Wireless 4.750 7/15/2020 BB (6500.00)97381WAN4 WINDSTREAM CORP 90.45 49,912.71$ 0.05% Wirelines 7.750 10/15/2020 B+ 6021.95984121CK7 XEROX CORPORATION 95.34 464,545.32$ 0.48% Technology 2.750 9/1/2020 BBB- 8058.20989207AC9 ZEBRA TECHNOLOGIES CORPORATION 108.26 32,562.58$ 0.03% Technology 7.250 10/15/2022 B+ 603.0098877DAA3 ZF NORTH AMERICA CAPITAL INC 144A 104.00 156,000.00$ 0.16% Automotive 4.000 4/29/2020 BB+ 6750.00AUD AUD Forwards 0.76 (3,720,916.00)$ -3.88% FX 6/3/2016 (128228.00)CAD CAD Forwards 1.25 (2,571,047.00)$ -2.68% FX 6/3/2016 (86233.00)CHF CHF Forwards 0.96 (4,250,923.00)$ -4.43% FX 6/3/2016 (193591.00)EUR EUR Forwards 1.15 2,095,322.00$ 2.18% FX 6/3/2016 39752.00GBP GBP Forwards 1.46 2,357,642.00$ 2.46% FX 6/3/2016 111882.00JPY JPY Forwards 107.00 (897,667.00)$ -0.94% FX 6/3/2016 (25493.00)NOK NOK Forwards 8.05 4,141,074.00$ 4.32% FX 6/3/2016 356267.00NZD NZD Forwards 1.43 (1,327,613.00)$ -1.38% FX 6/3/2016 (1952.00)SEK SEK Forwards 8.02 1,385,916.00$ 1.44% FX 6/3/2016 151377.00USD USD Forwards 1.00 3,011,992.00$ 3.14% FX 6/3/2016 -

101

DISCLOSURES

Index Descriptions and Definitions

ABS – This index is the ABS component of the Barclays U.S. Aggregate index. The index includes pass-through, bullet, and controlled amortization structures. The ABS Index includes only the senior class of each ABS issue andthe ERISA-eligible B and C tranche.

Agencies – The Barclays U.S. Agency Bond Index measures the performance of the agency sector of the U.S. government bond market and is comprised of investment-grade native-currency U.S. dollar-denominated debenturesissued by government and government-related agencies, including the Federal National Mortgage Association (“FNMA” or “Fannie-Mae’). The Index includes both callable and non-callable agency securities that are publicly issuedby U.S. government agencies, quasi-federal corporations, and corporate and foreign debt guaranteed by the U.S. government.

Aggregate – The Barclays U.S. Aggregate Index covers the USD-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, Government-Related,Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. The U.S. Aggregate Index is a component of the U.S. Universal Index in its entirety. The index was created in 1986, with index historybackfilled to January 1, 1976.

Senior Floating Rate Loans – The US High-Yield Loans Index, also known as the Senior Floating Loan Index, provides broad and comprehensive total return metrics of the universe of syndicated term loans. To be included in theindex, a senior floating rate loan must be dollar denominated, have at least $150 million funded loan, a minimum term of one year, and a minimum initial spread of LIBOR+125.

CMBS - The Barclays Commercial Mortgage-Backed Securities (CMBS) Index family consists of four components: CMBS Investment-Grade Index, CMBS High-Yield Index, CMBS Interest-Only Index, and Commercial ConduitWhole Loan Index (all bond classes and interest-only classes). The CMBS Investment-Grade Index is further subdivided into two components: The U.S. Aggregate-eligible component that contains bonds that are ERISA eligibleunder the underwriter's exemption and the non-U.S. Aggregate-eligible component that consists of bonds that are not ERISA eligible. The CMBS Indices were launched on January 1, 1997.

Corporates - The Barclays Investment Grade Credit Index is publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bondsmust be SEC-registered.

EMD (CEMBI) - J.P. Morgan’s Corporate Emerging Markets Bond Index (CEMBI) is a global, liquid corporate emerging markets benchmark that tracks U.S.-denominated corporate bonds issued by emerging markets entities. Thecorporate CEMBI is a liquid basket of emerging markets corporate issues with strict liquidity criteria for inclusion in order to provide replicability, tradability, robust pricing and data integrity.

EMD (EMBI Global) - The EMBI Global Diversified limits the weights of the J.P. Morgan Emerging Markets Bond Index Global ("EMBI Global") index countries with larger debt stocks by only including a specified portion of thesecountries’ eligible current face amounts of debt outstanding. The EMBI Global index tracks total returns for traded external debt instruments in the emerging markets, and is an expanded version of the JPMorgan EMBI+. As with theEMBI+, the EMBI Global includes U.S. dollar-denominated Brady bonds, loans, and Eurobonds with an outstanding face value of at least $500 million. It covers more of the eligible instruments than the EMBI+ by relaxing somewhatthe strict EMBI+ limits on secondary market trading liquidity.

EMD (GBI Global) - GBI-EM Global is an investable benchmark that includes only those countries that are directly accessible by most of the international investor base. The GBI-EM GLOBAL excludes countries with explicit capitalcontrols, but does not factor in regulatory/tax hurdles in assessing eligibility. Specifically, it includes all GBI-EM countries, as well as the Brazil NTN-F, LTN, and the Colombia local TES tasa fija bond.

103

Index Descriptions and Definitions

Global Agg (ex USD) - The Global Aggregate Index provides a broad-based measure of the global investment-grade fixed-rate debt markets. The Global Aggregate Index contains three major components: the U.S. Aggregate Index(USD 300 million), the Pan-European Aggregate Index (EUR 300 million), and the Asian-Pacific Aggregate Index (JPY 35 billion). In addition to securities from these three benchmarks (94.9% of the overall Global Aggregate marketvalue), the Global Aggregate Index includes Global Treasury, Eurodollar (USD 300 million), Euro-Yen (JPY 35 billion), Canadian (USD 300 million equivalent), and Investment-Grade 144A (USD 300 million) index-eligible securitiesnot already in the three regional aggregate indices. The Global Aggregate Index family includes a wide range of standard and customized subindices by liquidity constraint, sector, quality, and maturity. The Global Aggregate Index isa component of the Multiverse Index. The Global Aggregate Index was created in 1999, with index history backfilled to January 1, 1990.

HY – The Barclays U.S. Corporate High-Yield Index the covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high-yield if the middle rating of Moody’s, Fitch, andS&P is Ba1/BB+/BB+ or below. The index excludes Emerging Markets debt. The index was created in 1986, with index history backfilled to January 1, 1983. The U.S. Corporate High-Yield Index is part of the U.S. Universal andGlobal High-Yield Indices.

Long BBB Credit – This is the long component of the Barclays U.S. Credit Baa index. The index includes publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity,and quality requirements. To qualify, bonds must be SEC-registered. The U.S. Credit Index is the same as the former U.S. Corporate Investment Grade Index, which has been renamed as the U.S. Credit Index. The name change iseffective as of 6/1/00 (for statistics) and as of 7/1/00 (for returns).

Long Corporates – The Barclays U.S. Long Credit index includes investment grade corporate and non-corporate credit bonds that are dollar denominated and have a remaining maturity of greater than or equal to 10 years. As ofDecember 31, 2008, the Index included 965 issues with an average dollar-weighted maturity of 24.39 years.

Long Govt/Credit – The Barclays U.S. Long Government/Credit Bond Index measures performance of U.S. dollar denominated U.S. Treasuries, government-related, and investment grade U.S. corporate securities that have aremaining maturity of greater than or equal to 1 year. In addition, the securities have $250 million or more of outstanding face value, and must be fixed rate and non-convertible.

Mortgages – The Barclays Mortgage Backed Securities Index is an unmanaged index of mortgage pools of the Government National Mortgage Association, Federal Home Loan Mortgage Corporation and Federal National MortgageAssociation.

TIPS - The Barclays U.S. Treasury Inflation Protected Securities ("TIPS") Index measures the performance of intermediate (1-10 year) U.S. Treasury Inflation Protected Securities.

Duration of a bond is expressed as a number of years from its purchase date. It is a measurement of how long, in years, it takes for the price of a bond to be repaid by its internal cash flows. It is an important measure for investors toconsider, as bonds with higher durations carry more risk and have higher price volatility than bonds with lower durations.

Duration Contribution for a sector represents the percentage of portfolio assets allocated to that sector multiplied by the weighted average duration of that sector. Duration Contribution can be a useful tool in measuring interest ratesensitive of each sector within the portfolio. Generally, the longer the duration, the more sensitive the sector will be to interest rates.

Yield to worst is an estimate of the lowest yield that an investor can expect to earn from a bond when holding to maturity, absent a default.

Continued

DEFINITIONS

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Additional Disclosures

This material is intended as a broad overview of the portfolio managers' current style, philosophy and process. This material is presented solely for informational purposes and nothing herein constitutes investment, legal, accountingor tax advice, or a recommendation to buy, sell or hold a security. No recommendation or advice is being given as to whether any investment or strategy is suitable for a particular investor. Information is obtained from sourcesdeemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. All information is current as of the date of this material and is subject to change without notice. Any views or opinionsexpressed may not reflect those of the firm as a whole. Third-party economic, market or security estimates or forecasts discussed herein may or may not be realized and no opinion or representation is being given regarding suchestimates or forecasts. Certain products and services may not be available in all jurisdictions or to all client types. Unless otherwise indicated, returns shown reflect reinvestment of dividends and distributions. Indexes areunmanaged and are not available for direct investment. Investing entails risks, including possible loss of principal. Past performance is no guarantee of future results.

We do not represent that the information contained herein is accurate or complete, and it should not be relied upon as such. Certain information contained herein has been obtained from published sources and/or prepared by thirdparties. While such sources are believed to be reliable, none of Neuberger Berman or any of its affiliates or employees assume any responsibility for the accuracy or completeness of such information.

Firm history/timeline information dates back to the 1939 founding of Neuberger & Berman (the predecessor to Neuberger Berman LLC), and highlights key business expansions, including those that resulted from acquisitions of thevarious affiliated investment advisers that now comprise the firm. Investment professionals referenced include: Equity portfolio managers, research analysts/associates, traders, and product specialists; Fixed Income portfoliomanagers, research analysts/associates, traders, and investment support (product specialists, portfolio analysts, and trading support); Alternatives investment professionals who are involved in the decisions concerning assetallocation, investment monitoring and making new investments (includes two consultants). Average years experience does not include Equity product specialists or Fixed Income investment support.

Credit quality generally reflects the average credit quality of three Nationally Recognized Statistical Ratings Organizations (NRSROs), S&P, Moody’s and Fitch, as calculated internally by the investment adviser. Holdings that areunrated by any NRSRO may be assigned an equivalent rating by the investment manager. If NRSRO ratings differ for a particular holding, the average rating is generally used. No NRSRO has been involved with the calculation ofaverage credit quality and the ratings of underlying portfolio holdings should not be viewed as a rating of the portfolio itself. Portfolio holdings, underlying ratings of holdings and average credit may change materially overtime.

Representative portfolio information (characteristics, holdings, weightings, etc.) is based upon the composite or a representative/model account. Representative accounts are selected based on such factors as size, length of timeunder management and amount of restrictions. Any segment level performance shown (equity only or fixed income only) is presented gross of fees and focuses exclusively on the investments in that particular segment of theportfolio being measured (equity or fixed income holdings) and excludes cash. Client accounts are individually managed and may vary significantly from composite performance and representative portfolio information. Specificsecurities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities, companies, sectors or markets identified anddescribed were or will be profitable.

A bond’s value may fluctuate based on interest rates, market conditions, credit quality and other factors. You may have a gain or loss if you sell your bonds prior to maturity. Of course, bonds are subject to the credit risk of theissuer. If sold prior to maturity, municipal securities are subject to gain/losses based on the level of interest rates, market conditions and the credit quality of the issuer. Income may be subject to the alternative minimum tax (AMT)and/or state and local taxes, based on the investor’s state of residence. High-yield bonds, also known as “junk bonds,” are considered speculative and carry a greater risk of default than investment-grade bonds. Their market valuetends to be more volatile than investment-grade bonds and may fluctuate based on interest rates, market conditions, credit quality, political events, currency devaluation and other factors. High yield bonds are not suitable for allinvestors and the risks of these bonds should be weighed against the potential rewards. Neither Neuberger Berman nor its employees provide tax or legal advice. You should contact a tax advisor regarding the suitability of tax-exempt investments in your portfolio.

Gross returns do not reflect the deduction of advisory fees and other expenses, which will reduce returns. Investment advisory fees have a compounding effect on cumulative results. For example, assume Neuberger Bermanachieves a 10% annual return prior to the deduction of fees each year for a period of ten years. If an annual advisory fee of 1.00% of assets under management for the ten-year period were charged, the resulting annual averagereturn after fees would be reduced to 8.90%. Performance results will vary based upon the period measured. Additional information regarding fees can be found in Neuberger Berman’s Form ADV, Part 2, which is available uponrequest.

Statements contained herein are based on current expectations, estimates, projections, opinions and/or beliefs of Neuberger Berman. Such statements involve known and unknown risks, uncertainties and other factors, and unduereliance should not be placed thereon. Moreover, certain information contained herein constitutes “forward looking” statements, which often can be identified by the use of forward looking terminology such as “may,” “will,” “seek,”“should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” “target,” “plan” or “believe” or the negatives thereof or other variations thereon or comparable terminology. Such statements are necessarily speculative innature, as they are based on certain assumptions. It can be expected that some or all of the assumptions underlying such statements will not reflect actual conditions. Accordingly, there can be no assurance that any estimatedprojections, forecast or estimates will be realized or that the forward looking statements will materialize. Due to various risks and uncertainties, including those set forth herein, actual events or results or the actual performance of anysecurity referenced herein may differ materially from those reflected or contemplated in such forward looking statements.

Firm data, including employee and assets under management figures, reflect collective data for the various affiliated investment advisers that are subsidiaries of Neuberger Berman Group LLC (the “firm”). Investment professionalsreferenced include portfolio managers, research analysts/associates, traders, and product specialists and team dedicated economists/strategists. Firm history includes the history of all firm subsidiaries, including predecessor entities.

Neuberger Berman Investment Advisers LLC is a registered investment adviser.

The “Neuberger Berman” name and logo are registered service marks of Neuberger Berman Group LLC. © 2016 Neuberger Berman Group LLC. All rights reserved.

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Neuberger Berman Fixed Income Sector ViewsNeuberger Berman investment views are formulated by our specialty fixed income teams. For a variety of fixed income sectors we identify a range of outcomes that either may occur or alternatively beanticipated and then priced into the market. For each sector we formulate an investment view based on proprietary fundamental research and quantitative analysis which are used to project estimatedreturns and a confidence level of the return estimation. Each sector team will establish an independent view based on internal research, and a level of confidence in the outlook. The sector view is formulatedby identifying various states of the economy and market (i.e. outcomes) estimation typically over a 12-month horizon. Each state or outcome is probability weighted to determine the overall sector view. Thereassessment of sector views is ongoing and formally updated at least monthly.

Return Estimate Forecasts May Not Materialize. The return estimates contained herein are being shown to illustrate the investment decision-making process and are not intended to provide anyguarantee or assurance about the future returns of any security, asset class or portfolio. Projections or other forward-looking statements regarding future events, targets or estimations/expectations are onlycurrent as of the date indicated. There is no assurance that such events or projections will occur, and may be significantly different than that shown here. The information in this presentation, includingstatements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.

The return estimates presented represent approximate mid-points within a range of targeted yields, spreads and returns and are presented only as an example of how Neuberger Berman may construct aportfolio based on its views of the credit markets and sub-markets. The returns presented are an economic prediction and are the views of the portfolio manager as of the date hereof and are subject tochange. Return estimates are based on qualitative and quantitative analysis of historical and current information. There is no assurance that the returns presented will be realized or that an investmentstrategy will be successful. Investors should keep in mind that markets are volatile and unpredictable. There are no guarantees that the historical performance of an investment, portfolio, or asset class willhave a direct correlation with its future performance. Generally, our 12-month and 24-month forecast estimates are reflected by our decisions to over- or underweight client portfolios versus the benchmark.

Neuberger Berman believes the return estimates set forth herein is reasonable based on a combination of factors, including the investment team’s general experience and assessment of prevailing marketconditions and investment opportunities. There are, however, numerous assumptions that factor into the return estimates that may not be consistent with future market conditions and that may significantlyaffect actual investment results. Such assumptions include, but are not limited to, 1) current monetary policy, inflation estimates and other fundamental and technical factors determine interest rate levels inthe credit markets, 2) historical data and trends in the fixed income asset classes presented and 3) anticipated interest rate movements. Neuberger Berman does not make any representation as to thereasonableness of the assumptions or that all the assumptions used in calculating the return estimates have been stated or fully considered. Neuberger Berman’s ability to achieve investment resultsconsistently, in the aggregate or with regard to any particular fixed income sector, with the returns set forth herein depends significantly on a number of factors in addition to the accuracy of its assumptions.These include Neuberger Berman’s ability to identify a sufficient number and mix of suitable investments. Changes in the assumptions may have a material impact on the targeted returns presented. All datais shown before fees, transaction costs and taxes and does not account for the effects of inflation. Management fees, transaction costs and potential expenses are not considered and would reduce returns.Actual results experienced by clients may vary significantly from the illustrations shown.

© 2016 Neuberger Berman LLC. All rights reserved.

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This material is provided for informational purposes only and nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. Information is obtained from sources deemedreliable, but there is no representation or warranty as to its accuracy, completeness or reliability. All information is current as of the date of this material and is subject to change without notice. Any views or opinions expressed maynot reflect those of the firm as a whole. Neuberger Berman products and services may not be available in all jurisdictions or to all client types. Investing entails risks, including possible loss of principal. Investments in hedge fundsand private equity are speculative and involve a higher degree of risk than more traditional investments. Investments in hedge funds and private equity are intended for sophisticated investors only. Indexes are unmanaged and arenot available for direct investment. Past performance is no guarantee of future results.

All information as of September 30, 2015, except as otherwise noted. Firm data, including employee and assets under management figures, reflect collective data for the various affiliated investment advisers that are subsidiaries ofNeuberger Berman Group LLC (the “firm”). Investment professionals referenced include portfolio managers, research analysts/associates, traders, and product specialists and team dedicated economists/strategists.

The views expressed herein include those of those of Neuberger Berman’s Asset Allocation Committee which comprises professionals across multiple disciplines, including equity and fixed income strategists and portfolio managers.The Asset Allocation Committee reviews and sets long-term asset allocation models and establishes preferred near-term tactical asset class allocations. The views of the Asset Allocation Committee may not reflect the views of thefirm as a whole and Neuberger Berman advisers and portfolio managers may recommend or take contrary positions to the views of the Asset Allocation Committee. The Asset Allocation Committee views do not constitute a predictionor projection of future events or future market behavior. Due to a variety of factors, actual events or market behavior may differ significantly from any views expressed. This material may include estimates, outlooks, projections andother “forward-looking statements.” Due to a variety of factors, actual events may differ significantly from those presented.

This material is being issued on a limited basis through various global subsidiaries and affiliates of Neuberger Berman Group LLC. Please visit www.nb.com/disclosure-global-communications for the specific entities and jurisdictionallimitations and restrictions.

Neuberger Berman Investment Advisers LLC is a Registered Investment Advisor and affiliate of Neuberger Berman LLC, which is a Registered Investment Advisor and Broker-Dealer and member of FINRA/SIPC. Neuberger Berman Management LLC is the distributor of the Neuberger Berman mutual funds. Member FINRA. Mutual funds are not available to investors outside of the U.S.

The “Neuberger Berman” name and logo are registered service marks of Neuberger Berman Group LLC. © 2016 Neuberger Berman Group LLC. All rights reserved.

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