Global Income Trust  (PGGYX)

Seeking attractive bond investments across world markets since 1987


Track this fund

Objective

The fund seeks high current income by investing principally in debt securities of sovereign and private issuers worldwide, including supranational issuers. Preservation of capital and long-term total return are secondary objectives, but only to the extent consistent with the objective of seeking high current income.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $12.17
0.16% | $0.02
$12.27
09/07/17
$11.56
11/23/16
Historical fund price

Consistency of positive performance over five years

Performance represents 5-year returns in rolling quarter-end periods since inception.

Performance shown does not reflect the effects of any sales charges. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please click on the performance tab.

14.16%

Best 5-year annualized return

(for period ending 09/30/92)


0.22%

Worst 5-year annualized return

(for period ending 12/31/01)


6.22%

Average 5-year annualized return


Fund facts as of 08/31/17

Total net assets
$244.04M
Turnover (fiscal year end)
551%
Dividend frequency (view rate)
Monthly
Number of holdings
921
Fiscal year end
October
CUSIP / Fund code
74677Q604 / 1820
Inception Date
10/04/05
Category
Taxable Income
Open to new investors
Ticker
PGGYX

Management team


Chief Investment Officer, Fixed Income

Portfolio Manager

Portfolio Manager

Co-Head of Fixed Income

Co-Head of Fixed Income

Strategy and process

  • Worldwide opportunities: The fund's managers search for attractive income securities from a broad range of sectors in U.S. and international markets.
  • Flexible risk allocations: The fund takes a unique approach to asset allocation, dynamically establishing diversified risk expo¬≠sures rather than sector exposures.
  • Bottom-up approach: Security selection is the primary driver of returns, with sub-sector allocations and macro strategies also serving as potential alpha generators.

Manager commentary | Q2 2017

China's structural challenges could be long-term issue

Bill Kohli, Chief Investment Officer for Fixed Income, discusses China's debt downgrade and long-term structural issues.


Literature


Using and enhancing ESG investment data
ESG data is having investment impact but is still evolving, and stands to benefit from feedback offered by fundamental analysts.
Why there's nothing wrong with a "just right" market
When assessing the markets and economy the media often looks for drama, but headlines are our least-used investment tool.
Value benefits from an expanding economy
Value stocks have lagged the market in 2017, but if the economy continues to expand, rates rise, and the yield curve steepens, this trend could reverse.

Performance

  • Total return (%) as of 06/30/17

  • Annual performance as of 06/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 2.86% 0.76% 2.73% 5.41%
After sales charge N/A N/A N/A N/A
Bloomberg Barclays Global Aggregate Index -2.18% -0.35% 0.78% 3.69%

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. To obtain the most recent month-end performance, visit putnam.com. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and Putnam Absolute Return 500 Fund and 700 Fund, and 4.00% and 3.25% for income funds (1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, R, T1, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for Class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A, M, and T1 shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 08/31/17 0.54 % -
YTD as of 09/21/17 6.65 % -

Yield

Distribution rate before sales charge
as of 09/21/17
3.46%
Distribution rate after sales charge
as of 09/21/17
3.46%
30-day SEC yield as of 08/31/17 2.17%

Risk-adjusted performance as of 08/31/17

Sharpe ratio (3 yrs.) 0.31
Information ratio (3 yrs.) 0.25

Volatility as of 08/31/17

Standard deviation (3 yrs.) 4.16%
Beta 0.59
R-squared 0.51

Lipper rankings as of 08/31/17

Global Income Funds Percentile ranking Rank/Funds in category
1 yr. 32% 66/206
3 yrs. 40% 77/192
5 yrs. 32% 54/170
10 yrs. 15% 12/84

Morningstar ratings as of 08/31/17

World Bond Rating Funds in category
Overall (86)
3 yrs. (86)
5 yrs. (250)
10 yrs. (125)

Distributions

Record/Ex dividend date 08/24/17
Payable date 08/30/17
Income $0.035
Extra income $0.0
Short-term cap. gain --
Long-term cap. gain --

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Compare

See how this fund stacks up against its peers with FundVisualizer®

— or —

New to FundVisualizer? Watch tutorials on how to get started.

For more tutorials, please visit Advisor Tech Tips

** FundVisualizer comparison based on Putnam fund versus the largest fund in its Morningstar category.


Holdings

Top 10 holdings as of 08/31/17

Fnma Fn30 Tba 03.5000 10/01/2047 6.78%
Fnma Fn30 Tba 03.0000 10/01/2047 6.21%
Japan (10 Year Issue) 01.0000 09/20/2021 5.39%
Fnma Fn30 Tba 03.5000 09/01/2047 4.67%
Fnma Fn30 Tba 02.5000 09/01/2047 3.61%
Japan (10 Yr Issue) 00.8000 09/20/2023 2.56%
Japan (20 Year Issue) 02.3000 06/20/2027 2.29%
Fnma Fn30 Tba 04.0000 09/01/2047 2.16%
Japan (30 Year Issue) 02.3000 03/20/2040 2.06%
France (Govt Of) Regs 03.2500 10/25/2021 1.96%
Top 10 holdings, percent of portfolio 37.69%

Full portfolio holdings as of 06/30/17

FNMA FN30 TBA 03.5000 08/01/2047 10.22%
JAPAN (10 YEAR ISSUE) 01.0000 09/20/2021 5.34%
FNMA FN30 TBA 03.5000 07/01/2047 4.69%
FNMA FN30 TBA 03.0000 07/01/2047 4.56%
GNMA GII30 TBA 03.5000 07/01/2047 2.58%
JAPAN (10 YR ISSUE) 00.8000 09/20/2023 2.53%
FNMA FN30 TBA 02.5000 07/01/2047 2.40%
JAPAN (20 YEAR ISSUE) 02.3000 06/20/2027 2.26%
FNMA FN30 TBA 04.0000 07/01/2047 2.18%
JAPAN (30 YEAR ISSUE) 02.3000 03/20/2040 2.02%
FRANCE (GOVT OF) REGS 03.2500 10/25/2021 1.89%
EUROPEAN INVESTMENT BANK GBP 05.6250 06/07/2032 1.53%
JAPAN (20 YEAR ISSUE) 02.2000 03/20/2031 1.44%
JAPAN (20 YEAR ISSUE) 01.5000 03/20/2019 1.41%
BUONI POLIENNALI DEL TES 00.3000 10/15/2018 1.24%
UK TSY 4 2060 REGS 04.0000 01/22/2060 1.22%
FNMA FN30 TBA 02.5000 08/01/2047 1.20%
JAPAN (40 YEAR ISSUE) 02.2000 03/20/2051 1.17%
BUONI POLIENNALI DEL P/P REGS 04.7500 08/01/2023 1.13%
BUNDESREPUB. DEUTSCHLAND REGS 02.5000 07/04/2044 0.91%
GNMA GII30 TBA 03.0000 07/01/2047 0.84%
FRANCE (GOVT OF) REGS 00.5000 05/25/2025 0.71%
NETHERLANDS GOVT P/P REGS 02.2500 07/15/2022 0.70%
WAMU 2005-AR13 A1C3 01.7061 10/25/2045 0.69%
FRANCE (GOVT OF) REGS 04.5000 04/25/2041 0.62%
ONTARIO (PROVINCE OF) 04.0000 06/02/2021 0.59%
UK TSY 3 3/4 2019 REGS 03.7500 09/07/2019 0.54%
BONOS Y OBLIG DEL ES P/P REGS 04.4000 10/31/2023 0.53%
BUONI POLIENNALI DEL TES 02.5000 12/01/2024 0.53%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.53%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.53%
DRESDNER FDG TRST I P/P 144A 08.1510 06/30/2031 0.52%
JPMCC 2012-C8 D P/P 144A 04.8071 10/15/2045 0.52%
REP OF INDONESIA P/P 144A 03.3750 04/15/2023 0.52%
BUNDESREPUB. DEUTSCHLAND REGS 01.0000 08/15/2025 0.51%
BUONI POLIENNALI P/P REGS 04.7500 09/01/2044 0.50%
JPMCC 2012-C6 E P/P 144A 05.2988 05/15/2045 0.49%
BUONI POLIENNALI DEL TES 06.5000 11/01/2027 0.45%
FNMA FN30 TBA 04.5000 07/01/2047 0.45%
CFCRE 2011-C2 E P/P 144A 05.9452 12/15/2047 0.44%
JAPAN (20 YEAR ISSUE) 00.4000 03/20/2036 0.43%
DBUBS 2011-LC3A D P/P 144A 05.3457 08/10/2044 0.40%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.40%
BONOS Y OBLIG P/P REGS 05.1500 10/31/2028 0.39%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.39%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.39%
RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 0.38%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.37%
BCAP 2014-RR1 2A2 02.8780 01/26/2036 0.36%
REPUBLIC OF SOUTH AFRICA 07.7500 02/28/2023 0.36%
WFRBS 2013-C18 AS 04.3870 12/15/2046 0.36%
AUSTRALIAN GOVERNMENT REGS 05.2500 03/15/2019 0.35%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.35%
MSBAM 2012-C5 AS 03.7920 08/15/2045 0.35%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.35%
SWEDISH GOVERNMENT 03.5000 06/01/2022 0.35%
WFRBS 2011-C4 E P/P 144A 05.4143 06/15/2044 0.35%
CAS 2015-C04 2M2 06.7661 04/25/2028 0.34%
CSMC 2016-NXSR C 04.5098 12/15/2049 0.34%
MEX BONOS DESARR FIX RT 10.0000 12/05/2024 0.34%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.34%
BELGIUM KINGDOM REGS 04.2500 09/28/2022 0.32%
BONOS Y OBLIG DEL ES P/P REGS 04.1000 07/30/2018 0.32%
BPCE SA P/P 144A 04.5000 03/15/2025 0.32%
CGCMT 2014-GC21 AS 04.0260 05/10/2047 0.32%
CWALT 2006-OA7 1A2 01.6716 06/25/2046 0.32%
BONOS Y OBLIG DEL ES P/P REGS 04.0000 04/30/2020 0.31%
CANADIAN GOVERNMENT 01.2500 09/01/2018 0.31%
GSMS 2012-GC6 D P/P 144A 05.6522 01/10/2045 0.31%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.31%
WAMU 2005-AR9 A1C3 02.1761 07/25/2045 0.31%
BELGIUM KINGDOM P/P REGS 01.0000 06/22/2026 0.30%
HSBC CAP FUNDING USD P/P 144A 10.1760 12/29/2049 0.30%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.30%
VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 0.30%
CMLTI 2005-2 1A2A 03.1504 05/25/2035 0.29%
HILTON WORLDWIDE FIN P/P 144A 04.8750 04/01/2027 0.29%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.29%
SWITZERLAND REGS 02.0000 04/28/2021 0.29%
FHR 4165 TI IO 03.0000 12/15/2042 0.28%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.28%
BONOS Y OBLIG DEL ES P/P REGS 04.6500 07/30/2025 0.27%
CWALT 2006-OA10 4A1 01.4061 08/25/2046 0.27%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.27%
EUROPEAN INVESTMENT BANK 04.1250 04/15/2024 0.27%
GNR 2016-47 CI IO 04.0000 09/20/2045 0.27%
LIBERTY MUTUAL GROUP P/P 144A 07.8000 03/15/2037 0.27%
POLAND GOVERNMENT BOND PLN 01.7500 07/25/2021 0.27%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.27%
TELECOM ITALIA SPA P/P 144A 05.3030 05/30/2024 0.27%
UK TSY 1.25 2018 REGS 01.2500 07/22/2018 0.27%
WEC ENERGY GROUP INC 03.2943 05/15/2067 0.27%
AUSTRALIAN GOVERNMENT REGS 05.5000 04/21/2023 0.26%
GNR 2015-H09 AI IO 02.1908 04/20/2065 0.26%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.26%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.25%
CORP BOND BACKED CTF P/P 144A 00.0000 09/15/2017 0.25%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.25%
GSMS 2013-GC10 XA IO 01.5822 02/10/2046 0.25%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.25%
MSC 2011-C3 D P/P 144A 05.3268 07/15/2049 0.25%
SPANISH GOV'T P/P REGS 05.1500 10/31/2044 0.25%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.25%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.25%
UBS GROUP FUNDIN P/P 144A 04.1250 04/15/2026 0.25%
WAMU 2005-AR19 A1C3 01.7161 12/25/2045 0.25%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.25%
BELGIUM KINGDOM P/P REGS 04.2500 03/28/2041 0.24%
CONCHO RESOURCES INC 04.3750 01/15/2025 0.24%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.24%
JPMBB 2013-C12 XA IO 00.8079 07/15/2045 0.24%
WAMU 2005-AR2 2A1B 01.5861 01/25/2045 0.24%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.23%
BSCMS 2006-PW11 B P/P 144A 05.3019 03/11/2039 0.23%
GNR 2017-H11 NI IO 02.1357 05/20/2067 0.23%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.23%
GRUPO BIMBO SAB P/P 144A 03.8750 06/27/2024 0.23%
SPST 2017-1 A 02.1161 02/25/2049 0.23%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.23%
WFRBS 2013-UBS1 AS 04.3060 03/15/2046 0.23%
COMM 2014-UBS6 XA IO 01.0295 12/10/2047 0.22%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.22%
GE CAP INTL FUNDING USD 04.4180 11/15/2035 0.22%
GNR 2016-83 PI IO 03.5000 06/20/2045 0.22%
IRISH TSY 5 2020 05.0000 10/18/2020 0.22%
JPMCC 2013-C16 XA IO 01.2821 12/15/2046 0.22%
ARC PROP OPER PART L 04.6000 02/06/2024 0.21%
AUSTRALIAN GOVERNMENT REGS 02.2500 05/21/2028 0.21%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.21%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.21%
BRDCOM CRP / FIN P/P 144A 03.8750 01/15/2027 0.21%
COMM 2013-LC13 AM P/P 144A 04.5570 08/10/2046 0.21%
GNR 2015-H03 DI IO 02.0531 01/20/2065 0.21%
GNR 2017-H02 BI IO 02.3120 01/20/2067 0.21%
GNR 2017-H04 BI IO 02.4030 02/20/2067 0.21%
GRUPO BIMBO SAB P/P 144A 04.8750 06/27/2044 0.21%
GSMS 2013-GC10 E P/P 144A 04.4098 02/10/2046 0.21%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.21%
MSBAM 2012-C6 XA IO P/P 144A 02.0114 11/15/2045 0.21%
NETHERLANDS GOVT P/P REGS 03.7500 01/15/2042 0.21%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.21%
WFRBS 2014-C19 C 04.6460 03/15/2047 0.21%
2.20 R ISWP FWD USL3M P 09/20/2027 0.20%
BUNDESREPUB. DEUTSCHLAND REGS 00.5000 02/15/2025 0.20%
COMM 2014-CR17 C 04.7349 05/10/2047 0.20%
ENERGY TRANSFER LP 06.5000 02/01/2042 0.20%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.20%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.19%
BARCLAYS PLC USD 04.8360 05/09/2028 0.19%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.19%
GNR 2015-94 NI IO 04.0000 12/20/2041 0.19%
GNR 2016-H16 EI IO 02.3507 06/20/2066 0.19%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.19%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.19%
UNITED MEXICAN STATES USD 04.7500 03/08/2044 0.19%
WFRBS 2011-C5 E P/P 144A 05.8613 11/15/2044 0.19%
WFRBS 2013-C14 XA IO 00.9449 06/15/2046 0.19%
WP CAREY INC 04.6000 04/01/2024 0.19%
AON PLC USD 04.2500 12/12/2042 0.18%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.18%
CITIGROUP INC 04.7500 05/18/2046 0.18%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.18%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.18%
GNR 2015-64 IG IO 04.0000 05/20/2045 0.18%
KINGDOM OF DENMARK 01.7500 11/15/2025 0.18%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.18%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.17%
COMM 2014-CR18 C 04.8933 07/15/2047 0.17%
EQT MIDSTREAM PARTNERS L 04.0000 08/01/2024 0.17%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.17%
GNR 2016-H07 HI IO 01.9164 02/20/2066 0.17%
GSMS 2013-GC10 D P/P 144A 04.4098 02/10/2046 0.17%
JPMBB 2014-C25 C 04.5958 11/15/2047 0.17%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.17%
WFRBS 2011-C2 D P/P 144A 05.7880 02/15/2044 0.17%
AXA SA P/P 144A 06.4630 12/29/2049 0.16%
COMM 2012-CR2 AM 03.7910 08/15/2045 0.16%
COMMERZBANK AG P/P 144A 08.1250 09/19/2023 0.16%
CWCI 2007-C3 AJ 06.0607 05/15/2046 0.16%
D.R. HORTON INC 05.7500 08/15/2023 0.16%
GNR 2013-124 BS IO 05.4378 08/20/2038 0.16%
GNR 2013-53 PI IO 03.0000 04/20/2041 0.16%
GSMS 2011-GC3 D P/P 144A 05.6323 03/10/2044 0.16%
IRISH TSY 5.4 2025 05.4000 03/13/2025 0.16%
JPMBB 2014-C22 XA IO 01.0870 09/15/2047 0.16%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.16%
TEXAS GAS TRANSMISN P/P 144A 04.5000 02/01/2021 0.16%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.16%
CAS 2016-C05 2M1 02.5661 01/25/2029 0.15%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.15%
CWALT 2006-OA10 1A1 01.6916 08/25/2046 0.15%
FNR 2012-103 LS IO 04.7839 09/25/2042 0.15%
GNR 2013-182 IQ IO 04.5000 12/16/2043 0.15%
GNR 2014-116 IL IO 04.0000 08/20/2044 0.15%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.15%
GNR 2016-19 PI IO 04.0000 02/20/2046 0.15%
GNR 2016-77 SL IO 04.9378 03/20/2043 0.15%
HSBC BANK USA NA 07.0000 01/15/2039 0.15%
PRIDE INTERNATIONAL LLC 07.8750 08/15/2040 0.15%
WBCMT 2005-C21 D 05.4679 10/15/2044 0.15%
WFCM 2013-LC12 C 04.4307 07/15/2046 0.15%
BGC PARTNERS INC 05.1250 05/27/2021 0.14%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.14%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.14%
FRANCE (GOVT OF) REGS 02.7500 10/25/2027 0.14%
GNR 2014-H12 BI IO 01.5493 05/20/2064 0.14%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.14%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.14%
GREAT PLAINS ENERGY INC 04.8500 04/01/2047 0.14%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.14%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.14%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.14%
UBS GROUP AG REGS 06.8750 12/29/2049 0.14%
WESTROCK MWV LLC 08.2000 01/15/2030 0.14%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.13%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.13%
FHR 4141 PI IO 03.0000 12/15/2042 0.13%
FHR 4369 IA IO 03.5000 07/15/2044 0.13%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.13%
GNR 2015-H26 DI IO 02.0798 10/20/2065 0.13%
GNR 2015-H26 EI IO 01.7165 10/20/2065 0.13%
HCA INC 05.5000 06/15/2047 0.13%
JPMCC 2013-LC11 X IO 01.5626 04/15/2046 0.13%
LNSTR 2015-3 C P/P 144A 03.3453 04/20/2048 0.13%
LUKOIL INTL FIN BV P/P 144A 04.5630 04/24/2023 0.13%
MARM 2004-13 3A7 03.1902 11/21/2034 0.13%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.13%
NEW ZEALAND GOVERNMENT REGS 05.5000 04/15/2023 0.13%
SBERBANK (SB CAP SA) P/P 144A 06.1250 02/07/2022 0.13%
WFRBS 2013-C11 AS 03.3110 03/15/2045 0.13%
BMIR 2015-1A M2 05.5161 07/25/2025 0.12%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.12%
CSAIL 2015-C1 C 04.4422 04/15/2050 0.12%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.12%
FHR 4076 MS IO 05.5411 07/15/2040 0.12%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.12%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.12%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.12%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.12%
GENERAL ELECTRIC CO 05.0000 12/29/2049 0.12%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.12%
GNR 2014-H21 AI IO 01.7544 10/20/2064 0.12%
GNR 2016-H25 GI IO 01.5139 11/20/2066 0.12%
JPMCC 2007-CB20 C P/P 144A 06.3104 02/12/2051 0.12%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.12%
PETROLEOS MEXICANOS USD 05.6250 01/23/2046 0.12%
SAMI 2007-AR1 2A1 01.3961 01/25/2037 0.12%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.12%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.12%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.11%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.11%
CBS CORP 03.5000 01/15/2025 0.11%
CENOVUS ENERGY INC P/P 144A 04.2500 04/15/2027 0.11%
FRANCE (GOVT OF) REGS 04.0000 04/25/2055 0.11%
GNR 2014-115 QI IO 03.0000 03/20/2029 0.11%
GNR 2015-H25 AI IO 01.6137 09/20/2065 0.11%
GRUPO TELEVISA SAB USD 06.6250 01/15/2040 0.11%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.11%
INVISTA FINANCE LLC P/P 144A 04.2500 10/15/2019 0.11%
JPMCC 2012-LC9 D P/P 144A 04.5352 12/15/2047 0.11%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.11%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.11%
MPLX LP 04.1250 03/01/2027 0.11%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.11%
TEVA PHARMACEUTICALS NE USD 03.1500 10/01/2026 0.11%
UBSBB 2012-C4 XA IO P/P 144A 01.7379 12/10/2045 0.11%
WFRBS 2012-C10 D P/P 144A 04.5944 12/15/2045 0.11%
WFRBS 2012-C10 XA IO P/P 144A 01.9713 12/15/2045 0.11%
AMERICAN TOWER CORP 04.0000 06/01/2025 0.10%
BACARDI LTD P/P 144A 04.5000 01/15/2021 0.10%
BPCE SA P/P 144A 05.1500 07/21/2024 0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.10%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.10%
FNR 2012-58 SM IO 05.2839 06/25/2042 0.10%
FNS 421 C6 IO 04.0000 05/25/2045 0.10%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.10%
GNR 2010-171 SB IO 05.2783 12/16/2040 0.10%
GRUPO TELEVISA SAB USD 05.0000 05/13/2045 0.10%
L BRANDS INC 05.6250 02/15/2022 0.10%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.10%
NABORS INDUSTRIES INC 04.6250 09/15/2021 0.10%
NORWEGIAN GOVERNMENT P/P REGS 03.0000 03/14/2024 0.10%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2021 0.10%
PETROBRAS GLOBAL FINANCE USD 05.3750 01/27/2021 0.10%
QVC INC 04.8500 04/01/2024 0.10%
STACR 2015-DNA2 M2 03.8161 12/25/2027 0.10%
WAMU 2005-AR1 A1B 01.9961 01/25/2045 0.10%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.10%
BSCMS 2006-PW11 C P/P 144A 05.3019 03/11/2039 0.09%
CEMEX FINANCE LLC P/P 144A 09.3750 10/12/2022 0.09%
CHARTER COMM OPT LLC P/P 144A 05.3750 05/01/2047 0.09%
COMM 2012-CR1 XA IO 02.0597 05/15/2045 0.09%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/29/2049 0.09%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.09%
EMERA US FINANCE LP 03.5500 06/15/2026 0.09%
FHR 4193 PI IO 04.0000 03/15/2043 0.09%
FHR 4206 IP IO 03.0000 12/15/2041 0.09%
FHR 4355 DI IO 04.0000 03/15/2044 0.09%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.09%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.09%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.09%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.09%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.09%
GNR 2015-124 NI IO 03.5000 06/20/2039 0.09%
HELLENIC REPUBLIC REGS 03.0000 02/24/2024 0.09%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.09%
JPMBB 2013-C14 C 04.7206 08/15/2046 0.09%
MLMI 2005-A2 A2 02.9811 02/25/2035 0.09%
MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 0.09%
MSBAM 2014-C14 C 04.9900 02/15/2047 0.09%
REP OF SRI LANKA P/P 144A 06.8500 11/03/2025 0.09%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.09%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.09%
WEYERHAEUSER CO 07.3750 03/15/2032 0.09%
ANHEUSER-BUSCH INBEV 08.2000 01/15/2039 0.08%
CAS 2016-C03 2M2 07.1161 10/25/2028 0.08%
CBRE SERVICES INC 04.8750 03/01/2026 0.08%
CBS CORP 02.9000 01/15/2027 0.08%
DCP MIDSTREAM OPERATING 03.8750 03/15/2023 0.08%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 0.08%
ENERGY TRANSFER LP 05.2000 02/01/2022 0.08%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.08%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.08%
KINGDOM OF DENMARK 04.5000 11/15/2039 0.08%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.08%
LEAR CORP 05.3750 03/15/2024 0.08%
PUGET SOUND ENERGY INC 06.9740 06/01/2067 0.08%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.08%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.08%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.08%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.08%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.08%
TRAVELERS PPTY CASUALTY 07.7500 04/15/2026 0.08%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.08%
WFRBS 2011-C5 C P/P 144A 05.8613 11/15/2044 0.08%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.07%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.07%
AUSTRALIAN GOVERNMENT REGS 03.7500 04/21/2037 0.07%
AUTONATION INC. 05.5000 02/01/2020 0.07%
CANADIAN GOVERNMENT 03.5000 12/01/2045 0.07%
CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 0.07%
CBRE SERVICES INC 05.2500 03/15/2025 0.07%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.07%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.07%
CITIGROUP INC 05.9000 12/29/2049 0.07%
CITIGROUP INC 05.9500 12/29/2049 0.07%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.07%
ENBRIDGE INC USD 04.2500 12/01/2026 0.07%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2015-124 DI IO 03.5000 01/20/2038 0.07%
JPMCC 2006-LDP7 B 06.1385 04/17/2045 0.07%
LIBERTY MUTUAL GROUP P/P 144A 04.1506 03/15/2037 0.07%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.07%
O'REILLY AUTOMOTIVE INC 03.5500 03/15/2026 0.07%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.07%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.07%
S&P GLOBAL INC 04.4000 02/15/2026 0.07%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.07%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.07%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.07%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.07%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.07%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.07%
UNITED AIR 2014-2 A PTT 03.7500 09/03/2026 0.07%
WILLIAMS PARTNERS L.P. 04.8750 03/15/2024 0.07%
1.90 R ISWP FWD USL3M P 09/20/2022 0.06%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.06%
APPLE INC 03.4500 05/06/2024 0.06%
CA TXB-VAR PURP 3 07.5000 04/01/2034 0.06%
CONSTELLATION BRANDS INC 03.7000 12/06/2026 0.06%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.06%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.06%
EUR/USD 09/20/2017 JPMCB 0.06%
FNR 2013-1 MI IO 03.0000 01/25/2043 0.06%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.06%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.06%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.06%
GSMS 2013-GC12 C 04.1790 06/10/2046 0.06%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.06%
JPMCC 2013-C10 AS 03.3715 12/15/2047 0.06%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.06%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.06%
N TX HWY-TXB-B 06.7180 01/01/2049 0.06%
NBCUNIVERSAL MEDIA LLC 06.4000 04/30/2040 0.06%
NORFOLK SOUTHERN CORP 06.0000 05/23/2111 0.06%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.06%
OMEGA HLTHCARE INVES 04.5000 04/01/2027 0.06%
OMNICOM GROUP INC 03.6000 04/15/2026 0.06%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.06%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.06%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.06%
STATOIL ASA USD 05.1000 08/17/2040 0.06%
VALERO ENERGY PARTNERS 04.3750 12/15/2026 0.06%
AMERICA MOVIL SAB DE USD 06.1250 03/30/2040 0.05%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.05%
CFCRE 2011-C1 E P/P 144A 06.2810 04/15/2044 0.05%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.05%
FED REPUBLIC OF BRAZIL USD 05.8750 01/15/2019 0.05%
HEALTHCARE REALTY TRUST INC 03.8750 05/01/2025 0.05%
HILTON DOMESTIC OPER P/P 144A 04.2500 09/01/2024 0.05%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.05%
HYATT HOTELS CORP 03.3750 07/15/2023 0.05%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.05%
LBCMT 1998-C4 J P/P 144A 05.6000 10/15/2035 0.05%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.05%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.05%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.05%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.05%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.05%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.05%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.05%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.05%
TIME WARNER INC 02.9500 07/15/2026 0.05%
VERIZON COMM 05.9000 02/15/2054 0.05%
WILLIAMS PARTNERS LP 03.6000 03/15/2022 0.05%
0.75 R ISWP FWD GBL6M P 09/20/2022 0.04%
AIR LEASE CORP 03.7500 02/01/2022 0.04%
DEVON ENERGY CORPORATION 03.2500 05/15/2022 0.04%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.04%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.04%
FHR 3065 DC 16.3833 03/15/2035 0.04%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.04%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.04%
GNR 2013-90 HI IO 03.5000 04/20/2040 0.04%
HCA INC 05.2500 06/15/2026 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.04%
JABIL INC 08.2500 03/15/2018 0.04%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.04%
MSC 2004-RR F7 P/P 144A 06.0000 04/28/2039 0.04%
NOBLE HOLDING INTL LTD USD 06.0500 03/01/2041 0.04%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.04%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.04%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.04%
PRICELINE GROUP INC/THE 03.6500 03/15/2025 0.04%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.04%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.04%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.04%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.04%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.04%
UK TSY 2 3/4 2024 REGS 02.7500 09/07/2024 0.04%
VULCAN MATERIALS COMPANY 04.5000 04/01/2025 0.04%
1.001 R ISWP FWD EURIBOR6MD P 06/21/2027 0.03%
2.15 R ISWP FWD USL3M P 06/27/2027 0.03%
BOARDWALK PIPELINES LP 04.4500 07/15/2027 0.03%
BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 0.03%
CAD/USD 07/19/2017 BANKAM 0.03%
CITIGROUP INC 05.8750 12/29/2049 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.03%
COMCAST CABLE COMMUNICAT 09.4550 11/15/2022 0.03%
COMCAST CORP 06.5000 11/15/2035 0.03%
EXPEDIA INC 05.0000 02/15/2026 0.03%
FHR 3072 SM 04.2533 11/15/2035 0.03%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.03%
FNR 2010-46 SB IO 05.2339 05/25/2040 0.03%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.03%
HCA INC 05.0000 03/15/2024 0.03%
PRIMERICA INC 04.7500 07/15/2022 0.03%
PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 0.03%
SWPTN 1MX10Y P 1.0625 GBP 07/14/2017 BC 0.03%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.03%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.03%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.03%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 5WX10Y P 1.095 GBP 07/17/2017 GS 0.03%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.03%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.03%
TIME WARNER INC 03.8000 02/15/2027 0.03%
WESTROCK MWV LLC 07.9500 02/15/2031 0.03%
WFRBS 2013-C12 XA IO P/P 144A 01.5119 03/15/2048 0.03%
0.30 R ISWP FWD SES3M P 09/20/2022 0.02%
0.401 R ISWP FWD EURIBOR6MD P 06/21/2022 0.02%
2.45 R ISWP FWD USL3M P 09/20/2047 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.02%
EUR/USD 09/20/2017 BANKAM 0.02%
FHR 2990 LB 13.9837 06/15/2034 0.02%
FHR 3249 PS 18.4507 12/15/2036 0.02%
FNR 2005-75 GS 16.6017 08/25/2035 0.02%
FNR 2006-8 HP 20.1076 03/25/2036 0.02%
FNR 2007-53 SP 19.7409 06/25/2037 0.02%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.02%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.02%
JPMCC 2007-CB20 AJ 06.2104 02/12/2051 0.02%
KONINKLIJKE KPN N.V. USD 08.3750 10/01/2030 0.02%
MARATHON PETRO CORP 06.5000 03/01/2041 0.02%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.02%
PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 0.02%
SEK/USD 09/20/2017 SSBT 0.02%
SWEDISH GOVERNMENT 03.5000 03/30/2039 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.02%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.02%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.02%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.02%
SWPTN 3MX2Y P 0.5715 GBP 08/17/2017 RB 0.02%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.02%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.02%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.02%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
VERIZON COMM 04.5220 09/15/2048 0.02%
-0.051 R ISWP FWD EURIBOR6MD P 06/21/2019 0.01%
-0.30 R ISWP FWD CHL6M P 09/20/2022 0.01%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.01%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.01%
1.251 R ISWP FWD GBL6M P 06/21/2027 0.01%
1.505 R ISWP CDOR03 P 06/23/2022 0.01%
2.18 R ISWP FWD USL3M P 07/13/2027 0.01%
2.501 R ISWP FWD CDOR03 P 06/21/2047 0.01%
2.60 R ISWP BUBOR06M P 03/01/2027 0.01%
2.65 R ISWP BUBOR06M P 02/28/2027 0.01%
2.905 R ISWP BUBOR06M P 03/20/2027 0.01%
4.08 R ISWP MYR-KLI3M P 11/14/2021 JP 0.01%
AFLAC INC 06.4500 08/15/2040 0.01%
AUD/USD 07/19/2017 JPMCB 0.01%
AUD/USD 07/19/2017 RBSF 0.01%
BONOS Y OBLIG DEL ES P/P REGS 02.9000 10/31/2046 0.01%
CAD/USD 07/19/2017 CITI 0.01%
CAD/USD 07/19/2017 CSI-FX 0.01%
CAD/USD 07/19/2017 HSBCB 0.01%
CAD/USD 07/19/2017 SSBT 0.01%
CAD/USD 07/19/2017 UBS 0.01%
CAS 2015-C02 1M2 05.2161 05/25/2025 0.01%
CAS 2015-C03 2M2 06.2161 07/25/2025 0.01%
CHF/USD 09/20/2017 JPMCB 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.01%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.01%
CZK/USD 09/20/2017 BANKAM 0.01%
DELTA AIR LINES 2009 1A 07.7500 12/17/2019 0.01%
ENERGY TRANSFER LP 04.2000 04/15/2027 0.01%
EUR/USD 09/20/2017 HSBCB 0.01%
FHR 3408 EK 21.1299 04/15/2037 0.01%
FHR 3707 PI IO 04.5000 07/15/2025 0.01%
GECMC 2007-C1 XC IO P/P 144A 00.2580 12/10/2049 0.01%
GNR 2010-103 DI IO 04.5000 12/20/2038 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.01%
HOST HOTELS & RESORTS 05.2500 03/15/2022 0.01%
JPMCC 2006-CB17 X IO 00.8516 12/12/2043 0.01%
JPMCC 2007-LDPX X IO 00.3153 01/15/2049 0.01%
JPY/USD 08/16/2017 CITI 0.01%
JPY/USD 08/16/2017 UBS 0.01%
KINDER MORGAN ENER PART 03.5000 03/01/2021 0.01%
LBUBS 2006-C6 XCL IO P/P 144A 00.6239 09/15/2039 0.01%
MSC 2005-HQ5 X1 IO P/P 144A 00.0179 01/14/2042 0.01%
NZD/USD 07/19/2017 BCAP-FX 0.01%
NZD/USD 07/19/2017 HSBCB 0.01%
OWENS CORNING 09.0000 06/15/2019 0.01%
PLN/USD 09/20/2017 SSBT 0.01%
SABINE PASS LIQUEFAC P/P 144A 04.2000 03/15/2028 0.01%
SEK/USD 09/20/2017 BANKAM 0.01%
SEK/USD 09/20/2017 GSFX 0.01%
SEK/USD 09/20/2017 JPMCB 0.01%
SEK/USD 09/20/2017 UBS 0.01%
SPECTRA ENERGY CAPITAL 05.6500 03/01/2020 0.01%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.01%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.01%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.01%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.01%
SWPTN 3MX2Y P 0.561 GBP 08/18/2017 RB 0.01%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.01%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.01%
SWPTN 6MX1Y P 0.51 GBP 09/18/2017 BC 0.01%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.01%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.01%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.01%
USD/JPY PUT 107.00 20171106 BANKAM 0.01%
-0.104 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.124 R ISWP FWD EONIA P 02/18/2020 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.00%
0.15 R ISWP FWD CHL6M P 09/20/2027 0.00%
0.69 R ISWP BUBOR06M P 03/01/2019 0.00%
0.745 R ISWP BUBOR06M P 03/20/2019 0.00%
1.10 R ISWP FWD SES3M P 09/20/2027 0.00%
1.15 R ISWP FWD GBL6M P 09/20/2027 0.00%
1.45 R ISWP FWD NOKOIB6M P 09/20/2022 0.00%
1.501 R ISWP FWD EURIBOR6MD P 06/21/2047 0.00%
1.701 R ISWP FWD CDOR03 P 06/21/2022 0.00%
1.912 R ISWP FWD GBL6M P 01/19/2032 0.00%
1.95 R ISWP FWD CDOR03 P 09/20/2027 0.00%
2.07 R ISWP THFX6M P 11/16/2021 JP 0.00%
2.151 R ISWP FWD CDOR03 P 06/21/2027 0.00%
2.601 R ISWP FWD AUDBB6M P 06/28/2022 0.00%
2.75 R ISWP FWD NFIX3MID P 09/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 06/28/2027 0.00%
3.001 R ISWP FWD AUDBB6M P 06/28/2027 0.00%
3.0475 R ISWP FWD NFIX3MID P 03/29/2020 0.00%
7.11 R ISWP JIBA3M P 03/24/2019 0.00%
7.305 R ISWP JIBA3M P 03/09/2019 0.00%
7.67 R ISWP MXIBTIIE P 03/12/2032 0.00%
7.73 R ISWP MXIBTIIE P 04/22/2032 0.00%
7.785 R ISWP JIBA3M P 03/24/2027 0.00%
8.32625 R ISWP JIBA3M P 10/11/2026 0.00%
ABBVIE INC 03.6000 05/14/2025 0.00%
AUD/USD 07/19/2017 BANKAM 0.00%
AUD/USD 07/19/2017 BCAP-FX 0.00%
AUD/USD 07/19/2017 GSFX 0.00%
AUD/USD 07/19/2017 SSBT 0.00%
AUD/USD 07/19/2017 WPAC 0.00%
BACM 2004-4 XC IO P/P 144A 00.0164 07/10/2042 0.00%
BACM 2007-5 XW IO P/P 144A 00.2541 02/10/2051 0.00%
BAYC 2006-CD1A IO IO P/P 144A 00.0000 07/25/2023 0.00%
BAYC 2007-CD1A IO IO P/P 144A 00.0000 03/25/2021 0.00%
BSABS 2004-FR3 M6 06.0911 09/25/2034 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.3679 12/11/2038 0.00%
BURLINGTN NORTH SANTA FE 05.7500 05/01/2040 0.00%
CAD/USD 07/19/2017 BCAP-FX 0.00%
CAD/USD 07/19/2017 GSFX 0.00%
CAN 10YR BOND FUT SEP17 CNU7 0.00%
CD 2007-CD5 XS IO 144A 00.1346 11/15/2044 0.00%
CGCMT 2006-C5 XC IO P/P 144A 00.6258 10/15/2049 0.00%
CHF/USD 09/20/2017 BCAP-FX 0.00%
CHF/USD 09/20/2017 GSFX 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.00%
CONTL AIRLINES 1998-1 06.6480 09/15/2017 0.00%
CPTFEMU R 0.27 P 08/31/17 GS 0.00%
CPTFEMU R 0.37 P 09/01/17 GS 0.00%
CPTFEMU R 0.435 P 09/15/17 BC 0.00%
CPTFEMU R 0.46 P 09/15/17 BC 0.00%
CPTFEMU R 0.4975 P 09/15/17 BC 0.00%
CPTFEMU R 0.63 P 08/10/17 GS 0.00%
CPTFEMU R 0.63 P 08/11/17 GS 0.00%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2518 05/15/2038 0.00%
CSMC 2006-C4 AX IO P/P 144A 00.4294 09/15/2039 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.1133 01/15/2049 0.00%
DKK/USD 09/20/2017 CITI 0.00%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.00%
EUR/USD 09/20/2017 BCAP-FX 0.00%
EUR/USD 09/20/2017 CITI 0.00%
EUR/USD 09/20/2017 CSI-FX 0.00%
EUR/USD 09/20/2017 RBSF 0.00%
EUR/USD 09/20/2017 SSBT 0.00%
EUR/USD 09/20/2017 UBS 0.00%
EUR/USD 09/20/2017 WPAC 0.00%
EURO BUXL 30Y BND SEP17 UBU7 0.00%
EURO-BOBL FUTURE SEP17 OEU7 0.00%
EURO-BUND FUTURE SEP17 RXU7 0.00%
EURO-OAT FUTURE SEP17 OATU7 0.00%
EURO-SCHATZ FUT SEP17 DUU7 0.00%
FHR 3300 PO PO 00.0000 02/15/2037 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
GBP/USD 09/20/2017 BANKAM 0.00%
GBP/USD 09/20/2017 BCAP-FX 0.00%
GBP/USD 09/20/2017 JPMCB 0.00%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.00%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.00%
HUF/USD 09/20/2017 SSBT 0.00%
ILS/USD 07/19/2017 SSBT 0.00%
INR/USD 08/16/2017 BANKAM 0.00%
INR/USD 08/16/2017 GSFX 0.00%
INTERNATIONAL PAPER CO 08.7000 06/15/2038 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 JP 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 GS 0.00%
IOS.FN30.350.13 P USL1M R 01/12/44 JP 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
JPMCC 07-CB20 X1 IO P/P 144A 00.1513 02/12/2051 0.00%
JPMCC 2006-LDP8 X IO 00.5336 05/15/2045 0.00%
JPN 10Y BOND(OSE) SEP17 JBU7 0.00%
JPY/USD 08/16/2017 BANKAM 0.00%
JPY/USD 08/16/2017 BCAP-FX 0.00%
JPY/USD 08/16/2017 CSI-FX 0.00%
JPY/USD 08/16/2017 JPMCB 0.00%
JPY/USD 08/16/2017 RBSF 0.00%
JPY/USD 08/16/2017 SSBT 0.00%
JPY/USD 08/16/2017 WPAC 0.00%
LBUBS 2005-C2 XCL IO P/P 144A 00.1950 04/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.4577 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.4577 02/15/2040 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.450.10 R USL1M P 01/12/41 CS 0.00%
MEZZ 2007-C5 X IO P/P 144A 05.5038 12/15/2049 0.00%
MXN/USD 07/19/2017 BANKAM 0.00%
MYR/USD 08/16/2017 CITI 0.00%
NOK/USD 09/20/2017 CITI 0.00%
NOK/USD 09/20/2017 SSBT 0.00%
NOK/USD 09/20/2017 UBS 0.00%
NZD/USD 07/19/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 GSFX 0.00%
NZD/USD 07/19/2017 JPMCB 0.00%
NZD/USD 07/19/2017 RBSF 0.00%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.00%
SEK/USD 09/20/2017 BCAP-FX 0.00%
SEK/USD 09/20/2017 CSI-FX 0.00%
SEK/USD 09/20/2017 RBSF 0.00%
SGD/USD 08/16/2017 BANKAM 0.00%
SGD/USD 08/16/2017 HSBCB 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 3MX10Y R 1.005 GBP 08/18/2017 RB 0.00%
SWPTN 3MX10Y R 1.0436 GBP 08/17/2017 RB 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS 0.00%
SWPTN 3MX2Y P -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS 0.00%
SWPTN 3MX2Y R -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y R 0.561 GBP 08/18/2017 RB 0.00%
SWPTN 3MX2Y R 0.5715 GBP 08/17/2017 RB 0.00%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y P 0.36125 EUR 08/02/2017 GS 0.00%
SWPTN 3MX5Y R 0.15875 EUR 08/02/2017 GS 0.00%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX1Y P 1.736 USD 09/18/2017 BC 0.00%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
THB/USD 08/16/2017 CITI 0.00%
TRY/USD 09/20/2017 RBSF 0.00%
TRY/USD 09/20/2017 UBS 0.00%
TWD/USD 08/16/2017 CITI 0.00%
US 10YR NOTE (CBT)SEP17 TYU7 0.00%
US 10YR ULTRA FUT SEP17 UXYU7 0.00%
US 2YR NOTE (CBT) SEP17 TUU7 0.00%
US 5YR NOTE (CBT) SEP17 FVU7 0.00%
US LONG BOND(CBT) SEP17 USU7 0.00%
US ULTRA BOND CBT SEP17 WNU7 0.00%
USD/CNH PUT 6.60 20171006 GSFX 0.00%
USD/CNH PUT 6.60 20171013 BANKAM 0.00%
USD/CNH PUT 6.70 20171006 GSFX 0.00%
USD/CNH PUT 6.70 20171013 BANKAM 0.00%
USD/JPY PUT 103.00 20171106 BANKAM 0.00%
WBCMT 2007-C34 IO IO 00.4614 05/15/2046 0.00%
ZAR/USD 07/19/2017 GSFX 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.715 R ISWP BUBOR06M P 02/28/2019 -0.01%
1.60 R ISWP FWD CDOR03 P 09/20/2022 -0.01%
1.67 R ISWP KRW3MCD P 12/09/2021 GS -0.01%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.01%
1.8165 R ISWP USL3M P 06/27/2022 -0.01%
1.90 R ISWP FWD NOKOIB6M P 09/20/2027 -0.01%
1.95 R ISWP FWD USL3M P 09/20/2022 -0.01%
2.25 R ISWP FWD USL3M P 09/20/2027 -0.01%
3.25 R ISWP FWD NFIX3MID P 09/20/2027 -0.01%
8.12 R ISWP MXIBTIIE P 12/24/2026 -0.01%
8.20 R ISWP MXIBTIIE P 01/07/2027 -0.01%
AUD/USD 07/19/2017 CITI -0.01%
AUD/USD 07/19/2017 CSI-FX -0.01%
BRL/USD 10/03/2017 CITI -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
GBP/USD 09/20/2017 SSBT -0.01%
KRW/USD 08/16/2017 JPMCB -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
MXN/USD 07/19/2017 CITI -0.01%
NOK/USD 09/20/2017 BANKAM -0.01%
NOK/USD 09/20/2017 CSI-FX -0.01%
NOK/USD 09/20/2017 GSFX -0.01%
NOK/USD 09/20/2017 JPMCB -0.01%
NOK/USD 09/20/2017 RBSF -0.01%
NZD/USD 07/19/2017 SSBT -0.01%
NZD/USD 07/19/2017 UBS -0.01%
NZD/USD 07/19/2017 WPAC -0.01%
RUB/USD 09/20/2017 GSFX -0.01%
SEK/USD 09/20/2017 CITI -0.01%
SGD/USD 08/16/2017 JPMCB -0.01%
SGD/USD 08/16/2017 SSBT -0.01%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.01%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.01%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.01%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.01%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.01%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.01%
SWPTN 3MX10Y P 1.267 GBP 08/18/2017 RB -0.01%
SWPTN 3MX10Y P 1.3056 GBP 08/17/2017 RB -0.01%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.01%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -0.01%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI -0.01%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.01%
SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 GS -0.01%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.01%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.01%
0.20 R ISWP FWD EURIBOR6MD P 09/20/2022 -0.02%
0.801 R ISWP FWD GBL6M P 06/21/2022 -0.02%
2.11504 R ISWP USL3M P 06/26/2027 -0.02%
2.60 R ISWP FWD AUDBB6M P 06/28/2022 -0.02%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.02%
AUD/USD 07/19/2017 UBS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
NZD/USD 07/19/2017 BANKAM -0.02%
NZD/USD 07/19/2017 CITI -0.02%
SWPTN 1MX10Y P 1.1625 GBP 07/14/2017 BC -0.02%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.02%
SWPTN 5WX10Y P 1.151 GBP 07/17/2017 GS -0.02%
SWPTN 5WX10Y P 1.207 GBP 07/17/2017 GS -0.02%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.02%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.02%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.02%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.03%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.03%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
EUR/USD 09/20/2017 GSFX -0.03%
GBP/USD 09/20/2017 GSFX -0.03%
SWPTN 1MX10Y P 1.1125 GBP 07/14/2017 BC -0.03%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.03%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.03%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.03%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -0.03%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.03%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.03%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.03%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.03%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.03%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.03%
ZAR/USD 07/19/2017 CITI -0.03%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -0.04%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.04%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.04%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.04%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.04%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.04%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.04%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.04%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.05%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.05%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.05%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.05%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.05%
0.80 R ISWP FWD EURIBOR6MD P 09/20/2027 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.06%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.06%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.07%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.08%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.08%
1.87875 P ISWP JPL6M R 09/02/2043 CS -0.10%
CDX CDX.NA.HY.28 500.0 06/20/2022 -0.10%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.10%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.10%
JPY/USD 08/16/2017 GSFX -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.16%

Prior top 10 holdings

Top 10 holdings as of 08/31/17
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 03.0000 10/01/2047
Japan (10 Year Issue) 01.0000 09/20/2021
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Japan (10 Yr Issue) 00.8000 09/20/2023
Japan (20 Year Issue) 02.3000 06/20/2027
Fnma Fn30 Tba 04.0000 09/01/2047
Japan (30 Year Issue) 02.3000 03/20/2040
France (Govt Of) Regs 03.2500 10/25/2021
Holdings represent 37.69% of portfolio
Top 10 holdings as of 07/31/17
Fnma Fn30 Tba 03.5000 09/01/2047
Japan (10 Year Issue) 01.0000 09/20/2021
Fnma Fn30 Tba 03.0000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Japan (10 Yr Issue) 00.8000 09/20/2023
Japan (20 Year Issue) 02.3000 06/20/2027
Fnma Fn30 Tba 04.0000 09/01/2047
Japan (30 Year Issue) 02.3000 03/20/2040
France (Govt Of) Regs 03.2500 10/25/2021
European Investment Bank Gbp 05.6250 06/07/2032
Holdings represent 38.79% of portfolio
Top 10 holdings as of 06/30/17
Fnma Fn30 Tba 03.5000 07/01/2047
Japan (10 Year Issue) 01.0000 09/20/2021
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 03.0000 07/01/2047
Gnma Gii30 Tba 03.5000 07/01/2047
Japan (10 Yr Issue) 00.8000 09/20/2023
Fnma Fn30 Tba 02.5000 07/01/2047
Japan (20 Year Issue) 02.3000 06/20/2027
Fnma Fn30 Tba 04.0000 07/01/2047
Japan (30 Year Issue) 02.3000 03/20/2040
Holdings represent 38.78% of portfolio
Top 10 holdings as of 05/31/17
Fnma Fn30 Tba 03.5000 07/01/2047
Japan (10 Year Issue) 01.0000 09/20/2021
Fnma Fn30 Tba 03.0000 07/01/2047
Fnma Fn30 Tba 02.5000 06/01/2047
Gnma Gii30 Tba 03.5000 06/01/2047
Japan (10 Yr Issue) 00.8000 09/20/2023
Fnma Fn30 Tba 03.5000 06/01/2047
Japan (20 Year Issue) 02.3000 06/20/2027
Fnma Fn30 Tba 04.0000 06/01/2047
Japan (30 Year Issue) 02.3000 03/20/2040
Holdings represent 39.16% of portfolio

Fixed income statistics as of 08/31/17

Average effective maturity 11.51 yrs.
Average effective duration 5.57 yrs.
Average yield to maturity 3.03%
Average coupon 4.54%
Average price $103.34

Sector weightings as of 08/31/17

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
International Treasury/agency 38.18% 3.47 0.00% -0.62 38.18% 2.85
Agency pass-through 0.43% 0.02 25.57% 1.60 26.00% 1.62
Investment-grade corporate bonds 21.98% 1.89 0.00% 0.00 21.98% 1.89
Commercial MBS 10.58% 0.41 5.77% 0.24 16.35% 0.65
Agency CMO 8.29% 0.27 0.11% 0.01 8.40% 0.28
Emerging-market bonds 6.64% 0.44 0.00% 0.00 6.64% 0.44
Net cash 5.08% 0.00 0.00% 0.00 5.08% 0.00
Residential MBS (non-agency) 4.65% 0.20 0.00% 0.00 4.65% 0.20
High-yield corporate bonds 3.75% 0.25 -1.49% -0.06 2.26% 0.19
Asset-backed securities (ABS) 0.23% 0.00 0.00% 0.00 0.23% 0.00
Municipal bonds 0.18% 0.02 0.00% 0.00 0.18% 0.02
Interest rate swaps 0.00% 0.00 0.00% -1.49 0.00% -1.49
U.S. Treasury/agency 0.00% 0.00 0.00% 0.49 0.00% 0.49

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Maturity detail as of 08/31/17

0 - 1 yr. -19.23%
1 - 5 yrs. 27.30%
5 - 10 yrs. 68.29%
10 - 15 yrs. 6.59%
Over 15 yrs. 17.05%

Quality rating as of 08/31/17

AAA 46.86%
AA 9.69%
A 26.00%
BBB 28.90%
BB 6.26%
B 3.19%
CCC and Below 1.99%
Not Rated -22.89%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments carry the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. The fund invests in fewer issuers or concentrates its investments by region or sector, and involves more risk than a more broadly invested fund. The fund's policy of concentrating on a limited group of industries and the fund's non-diversified status, which means the fund may invest in fewer issuers, can increase the fund's vulnerability to common economic forces and may result in greater losses and volatility. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of net assets as of the date indicated above. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 08/31/17

United States 48.52%
Japan 16.81%
France 4.33%
Italy 3.74%
United Kingdom 2.95%
Canada 2.23%
Mexico 2.19%
Spain 1.99%
Supra-Nation 1.81%
 
Other
15.43%
Netherlands 1.74%
Russia 1.63%
Greece 1.33%
Germany 1.25%
Switzerland 1.14%
Austria 1.02%
Australia 0.93%
Belgium 0.90%
Brazil 0.85%
Ireland 0.83%
Argentina 0.54%
Indonesia 0.52%
Sweden 0.45%
European Community 0.41%
South Africa 0.35%
Jersey 0.30%
Denmark 0.27%
Poland 0.27%
Bermuda 0.21%
New Zealand 0.15%
Norway 0.10%
Turkey 0.10%
Sri Lanka 0.09%
Venezuela 0.02%
Czech Republic 0.01%
Hungary 0.01%
Malaysia 0.01%
Thailand 0.01%
South Korea -0.01%

Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
Total expense ratio 1.21% 1.96% 1.96% 1.46% 1.46% 0.86% 0.79% 0.96%
What you pay 1.21% 1.96% 1.96% 1.46% 1.46% 0.86% 0.79% 0.96%

Sales charge/Dealer allowance

 Breakpoint Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
$0-$49,999 4.00% / 3.50% 0.00% / 4.00% 0.00% / 1.00% 3.25% / 3.00% -- -- -- --
$50,000-$99,999 4.00% / 3.50% 0.00% / 4.00% 0.00% / 1.00% 2.25% / 2.00% -- -- -- --
$100,000-$249,999 3.25% / 2.75% -- 0.00% / 1.00% 1.25% / 1.00% -- -- -- --
$250,000-$499,999 2.50% / 2.00% -- 0.00% / 1.00% 1.00% / 1.00% -- -- -- --
$500,000-$999,999 0.00% / 1.00% -- -- -- -- -- -- --
$1M-$4M 0.00% / 1.00% -- -- -- -- -- -- --
$4M-$50M 0.00% / 0.50% -- -- -- -- -- -- --
$50M+ 0.00% / 0.25% -- -- -- -- -- -- --

CDSC

  Class A (sales for $500,000+) Class B Class C Class M Class R Class R5 Class R6 Class Y
0 to 9 mts. 1.00% 5.00% 1.00% -- -- -- -- --
9 to 12 mts. 0.00% 5.00% 1.00% -- -- -- -- --
2 yrs. -- 4.00% 0.00% -- -- -- -- --
3 yrs. -- 3.00% 0.00% -- -- -- -- --
4 yrs. -- 3.00% 0.00% -- -- -- -- --
5 yrs. -- 2.00% 0.00% -- -- -- -- --
6 yrs. -- 1.00% 0.00% -- -- -- -- --
7+ yrs. -- 0.00% 0.00% -- -- -- -- --

Trail commissions

  Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
  0.25% 0.25% 1.00% 0.40% 0.50% 0.00% 0.00% 0.00%
  NA NA NA NA NA NA NA NA
  NA NA NA NA NA NA NA NA

For sales and trail commission information on purchases over $500,000 and participant-directed qualified retirement plans, see a Putnam fund prospectus and the statement of additional information.

The Bloomberg Barclays Global Aggregate Bond Index is an unmanaged index of global investment-grade fixed-income securities. You cannot invest directly in an index.

Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments carry the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. The fund invests in fewer issuers or concentrates its investments by region or sector, and involves more risk than a more broadly invested fund. The fund's policy of concentrating on a limited group of industries and the fund's non-diversified status, which means the fund may invest in fewer issuers, can increase the fund's vulnerability to common economic forces and may result in greater losses and volatility. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of net assets as of the date indicated above. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.