Absolute Return 100 Fund  (PARTX)

Seeking positive results balanced with lower volatility over time


Track this fund

Objective

The fund seeks to earn a positive total return that exceeds the return on U.S. Treasury bills by 100 basis points (or 1.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions.

Strategy and process

  • A wide range of securities for diversification: The fund can invest across global fixed-income sectors and can adjust dynamically as opportunities change.
  • Ultimate flexibility to be independent of indexes: Freed from the constraints of traditional benchmarks that may carry unwanted risks, the portfolio managers can invest across diverse securities, asset classes, and strategies.
  • Modern investment tools seeking reduced risk: With the ability to hedge and use market neutral strategies, the fund can provide a new type of diversification to traditional portfolios.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $10.17
0.00% | $0.00
$10.17
12/12/17
$9.86
12/28/16
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.

1.59%

Best 5-year annualized return

(for period ending 03/31/14)


0.15%

Worst 5-year annualized return

(for period ending 03/31/16)


1.06%

Average 5-year annualized return


Fund facts as of 11/30/17

Total net assets
$205.14M
Turnover (fiscal year end)
129%
Dividend frequency
Annually
Number of holdings
564
Fiscal year-end
October
CUSIP / Fund code
746764448 / 0063
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PARTX

Management team


Chief Investment Officer, Fixed Income

Portfolio Manager

Co-Head of Fixed Income

Co-Head of Fixed Income


Literature


Market sectors that might lead in 2018
Technology’s strength seems set to continue, but with the prospect of rising rates, financials may also be among the leading market sectors.
Just how cheap are European equities?
Our analysis finds that industry group weightings play a significant role in valuation discrepancies between U.S. and European equities.
What could disturb unprecedented calm in markets?
What’s most remarkable about 2017 is the market calm, but this is not a sign that the trend will revert to the mean.

Performance

  • Total return (%) as of 09/30/17

  • Annual performance as of 09/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 3.50% 1.42% 1.51% 1.47%
After sales charge 2.46% 1.08% 1.31% 1.35%
BofA Merrill Lynch U.S. Treasury Bill Index 0.64% 0.34% 0.24% --

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 11/30/17 0.10 % -0.90 %
YTD as of 12/12/17 3.04 % 2.01 %

Volatility as of 10/31/17

Standard deviation (3 yrs.) 1.38%

Morningstar ratings as of 10/31/17

Nontraditional Bond Rating Funds in category
Overall (260)
3 yrs. (260)
5 yrs. (166)

Distributions

Record/Ex dividend date 12/20/16
Payable date 12/22/16
Income $0.244
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.


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


Holdings

Top 10 holdings as of 10/31/17

Net cash 33.60%
Gnma Gii30 Tba 04.5000 11/01/2047 1.52%
Gnma Gii30 Tba 04.0000 11/01/2047 1.50%
Kkr Group Finance P/P 144a 06.3750 09/29/2020 1.06%
Altria Group 02.6250 01/14/2020 0.93%
Russian Federation P/P 144a 05.6250 04/04/2042 0.85%
Cwalt 2006-Oa10 4a1 01.4279 08/25/2046 0.82%
Cwalt 2006-Oa7 1a2 01.8842 06/25/2046 0.79%
Skandinaviska Enskilda Usd 02.3000 03/11/2020 0.79%
Lnstr 2015-3 B P/P 144a 03.1780 04/20/2048 0.78%
Top 10 holdings, percent of portfolio 42.64%

Full portfolio holdings as of 09/30/17

TREASURY BILL 00.0000 01/18/2018 1.40%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 1.08%
ALTRIA GROUP INC 02.6250 01/14/2020 0.95%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.89%
CWALT 2006-OA10 4A1 01.4272 08/25/2046 0.86%
CWALT 2006-OA7 1A2 01.8291 06/25/2046 0.82%
SKANDINAVISKA ENSKILDA USD 02.3000 03/11/2020 0.81%
LNSTR 2015-3 B P/P 144A 03.3278 04/20/2048 0.80%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.79%
MRAFT 2016-5 A 02.4050 06/10/2019 0.78%
ROYAL BK SCOTLND USD 04.7000 07/03/2018 0.77%
GOLDMAN SACHS GROUP INC 02.4850 11/15/2021 0.75%
MORGAN STANLEY 02.4869 01/20/2022 0.75%
NATIONAL AUSTRALIA BK/NY 02.8000 01/10/2022 0.75%
ANZ NEW ZEALAND INTL P/P 144A 02.3144 01/25/2022 0.74%
WESTPAC BANKING CORP USD 02.1500 03/06/2020 0.74%
CAS 2015-C04 2M2 06.7872 04/25/2028 0.72%
APPLE INC 02.1000 05/06/2019 0.69%
AIR LEASE CORP 02.6250 09/04/2018 0.68%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.67%
DBUBS 2011-LC3A D P/P 144A 05.3454 08/10/2044 0.66%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.66%
METLIFE INC. 04.7500 02/08/2021 0.63%
ANHEUSER-BUSCH INBEV FIN 01.9000 02/01/2019 0.62%
SIEMENS FINANCIERING P/P 144A 02.2000 03/16/2020 0.62%
WFRBS 2011-C4 D P/P 144A 05.4142 06/15/2044 0.59%
UNITED TECHNOLOGIES CORP 01.9000 05/04/2020 0.58%
BANK OF AMERICA CORP 02.0000 01/11/2018 0.57%
CVS HEALTH CORP 04.7500 12/01/2022 0.56%
INTERNATIONAL PAPER COMPANY 09.3750 05/15/2019 0.56%
ABN AMRO BANK NV P/P 144A 01.9436 01/18/2019 0.55%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.55%
ORACLE CORPORATION 02.2500 10/08/2019 0.55%
THE BOEING COMPANY 08.7500 08/15/2021 0.53%
FNMA FN30 TBA 04.5000 11/01/2047 0.52%
GNMA GII30 TBA 04.5000 10/01/2047 0.52%
FHR 3835 FO PO 00.0000 04/15/2041 0.51%
GNMA GII30 TBA 04.0000 10/01/2047 0.51%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.51%
S&P GLOBAL INC 03.3000 08/14/2020 0.51%
WELLS FARGO & COMPANY 02.6000 07/22/2020 0.51%
AT&T INC 03.0000 06/30/2022 0.50%
BRDCOM CRP / FIN P/P 144A 03.0000 01/15/2022 0.50%
FNMA FN30 TBA 03.5000 11/01/2047 0.50%
GENERAL MOTORS FINL CO 03.1000 01/15/2019 0.50%
MARSH & MCLENNAN COS INC 02.7500 01/30/2022 0.50%
MOODY'S CORPORATION 02.7500 12/15/2021 0.50%
AGRIUM INC 00856BXW5 DCP 10/30/2017 0.49%
ALBEMARLE CORP 01265QXB1 DCP 10/11/2017 0.49%
AMCOR LTD/AUSTRALIA 0234E4YU9 DCP 11/28/2017 0.49%
AMEREN CORP 02360RX21 DCP 10/02/2017 0.49%
AMERICAN ELECTRIC POWER CO IN 0255E2X21 DCP 10/02/2017 0.49%
AMPHENOL CORP 03209LXC5 DCP 10/12/2017 0.49%
AUTONATION INC 05330LWV1 DCP 09/29/2017 0.49%
BERKSHIRE HATHAWAY ENERGY CO 08465RXD8 DCP 10/13/2017 0.49%
BF0101 03.5000 06/01/2056 0.49%
CABOT CORP 12705WWV0 DCP 09/29/2017 0.49%
CANADIAN NATURAL RESOURCES LT 13638WXP2 DCP 10/23/2017 0.49%
CBS CORP 1248C2WV4 DCP 09/29/2017 0.49%
DOLLAR GENERAL CORP 25667LX41 DCP 10/04/2017 0.49%
DOMINION ENERGY GAS HOLDINGS 25737LYD6 DCP 11/13/2017 0.49%
EI DU PONT DE NEMOURS & CO 2635J4YL0 DCP 11/20/2017 0.49%
ENERGY TRANSFER LP 29277EX25 DCP 10/02/2017 0.49%
ENI FINANCE USA INC 26876AX40 DCP 10/04/2017 0.49%
ENTERPRISE PRODUCTS OPERATING 29380BX66 DCP 10/06/2017 0.49%
EQUIFAX INC 29442KY12 DCP 11/01/2017 0.49%
ERP OPERATING LP 26885TXW6 DCP 10/30/2017 0.49%
FNMA FN30 TBA 03.0000 11/01/2047 0.49%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.49%
HP INC 44331BXS7 DCP 10/26/2017 0.49%
HSBC USA INC 02.0000 08/07/2018 0.49%
INTERPUBLIC GROUP OF COS INC/ 46070DX46 DCP 10/04/2017 0.49%
JPMORGAN CHASE & CO 02.2500 01/23/2020 0.49%
KANSAS CITY SOUTHERN 48516VX44 DCP 10/04/2017 0.49%
KCP&L GREATER MISSOURI OPERAT 48668CWV3 DCP 09/29/2017 0.49%
KRAFT HEINZ FOODS CO 02.1294 08/10/2022 0.49%
MCDONALD'S CORP 58013LXT8 DCP 10/27/2017 0.49%
MONDELEZ INTL P/P 144A 01.6250 10/28/2019 0.49%
NEWELL BRANDS INC 65119JWV7 DCP 09/29/2017 0.49%
PHILLIPS 66 P/P 144A 02.0536 04/15/2020 0.49%
RECKITT BENCKISER TREASURY SE 7562E0YW0 DCP 11/30/2017 0.49%
ROCKWELL COLLINS INC 01.9500 07/15/2019 0.49%
ROGERS COMMUNICATIONS INC 77511LXR9 DCP 10/25/2017 0.49%
THOMSON REUTERS CORP 88513AYD8 DCP 11/13/2017 0.49%
TRANSCANADA PIPELINES USD 01.6250 11/09/2017 0.49%
TYCO INTERNATIONAL HOLDING SA 90220LWV6 DCP 09/29/2017 0.49%
TYCO INTERNATIONAL HOLDING SA 90220LX29 DCP 10/02/2017 0.49%
UDR INC 90352PWV7 DCP 09/29/2017 0.49%
VERIZON COMMUNICATIONS 01.6850 08/15/2019 0.49%
WASTE MANAGEMENT INC 94107MXC5 DCP 10/12/2017 0.49%
WPP CP FINANCE PLC 98212JXG6 DCP 10/16/2017 0.49%
MICROSOFT CORP 01.5500 08/08/2021 0.48%
WAMU 2005-AR17 A1B2 01.6472 12/25/2045 0.48%
FNMA FN30 TBA 02.5000 10/01/2047 0.47%
GE CAP INTL FUNDING USD 02.3420 11/15/2020 0.46%
MSBAM 2013-C7 XA IO 01.6191 02/15/2046 0.45%
SPST 2017-1 A 02.1372 02/25/2049 0.45%
WFCM 2013-LC12 D P/P 144A 04.4301 07/15/2046 0.44%
WFCM 2013-LC12 C 04.4301 07/15/2046 0.42%
VERIZON COMM 02.9460 03/15/2022 0.41%
JPMCC 2012-C6 E P/P 144A 05.3074 05/15/2045 0.40%
UBSBB 2012-C2 XA IO P/P 144A 01.5336 05/10/2063 0.40%
MET LIFE GLOB FUND P/P 144A 03.0000 01/10/2023 0.39%
BIOGEN INC 03.6250 09/15/2022 0.38%
CRH AMERICA FINANCE INC 12636CX47 DCP 10/04/2017 0.38%
GECMC 2005-C1 D 04.4123 06/10/2048 0.37%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.37%
GNR 2013-20 QI IO 04.5000 12/16/2042 0.36%
GSMS 2014-GC18 C 05.1091 01/10/2047 0.36%
ROYAL BANK OF CANADA USD 02.1250 03/02/2020 0.36%
GSMS 2013-GC12 D P/P 144A 04.5841 06/10/2046 0.35%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.34%
CITIZENS BANK NA/RI 02.2500 03/02/2020 0.34%
SAMI 2007-AR7 1A1 02.0872 05/25/2047 0.34%
MOLSON COORS P/P 144A 01.9000 03/15/2019 0.33%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.32%
BNP PARIBAS USD 05.0000 01/15/2021 0.32%
COMM 2014-LC15 XA IO 01.4985 04/10/2047 0.32%
JPMCC 2011-C3 E P/P 144A 05.8018 02/15/2046 0.32%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.32%
FEDEX CORP 03.2000 02/01/2025 0.31%
MARRIOTT INTERNATIONAL INC/MD 57163TXG9 DCP 10/16/2017 0.31%
PFIZER INC 01.7000 12/15/2019 0.31%
SHEFFIELD RECEIVABLES CO LLC 82124LWV0 DCP 09/29/2017 0.31%
SVENSKA HANDELSBANKEN AB USD 01.9500 09/08/2020 0.31%
BANQUE FED CRED MUTU P/P 144A 02.2000 07/20/2020 0.30%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.30%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.29%
COMM 2014-CR17 C 04.8948 05/10/2047 0.28%
GNR 2014-20 SQ IO 04.8639 07/20/2043 0.28%
LIBERTY PROPERTY LP 03.3750 06/15/2023 0.28%
UBS GROUP FUNDIN P/P 144A 03.0000 04/15/2021 0.28%
WFRBS 2013-C15 D P/P 144A 04.6281 08/15/2046 0.28%
BSCMS 2006-PW11 B P/P 144A 05.2857 03/11/2039 0.27%
COMM 2012-LC4 C 05.7623 12/10/2044 0.27%
CWALT 2005-59 1A1 01.5661 11/20/2035 0.27%
JPMCC 2013-C10 XA IO 01.2580 12/15/2047 0.27%
MANUF & TRADERS TRUST CO 02.0500 08/17/2020 0.27%
WFCM 2012-LC5 AS 03.5390 10/15/2045 0.27%
BANK OF AMERICA CORP 02.1510 11/09/2020 0.26%
BOARDWALK PIPELINES LLC 05.7500 09/15/2019 0.26%
CAS 2016-C03 2M2 07.1372 10/25/2028 0.26%
CFCRE 2011-C2 D P/P 144A 05.9453 12/15/2047 0.26%
CHEVRON CORP 01.5610 05/16/2019 0.26%
CITIGROUP INC 02.6500 10/26/2020 0.26%
CMLTI 2005-2 1A2A 03.2532 05/25/2035 0.26%
COMM 2013-LC13 XA IO 01.4871 08/10/2046 0.26%
WFRBS 2011-C5 E P/P 144A 05.8611 11/15/2044 0.26%
WFRBS 2012-C10 C 04.5280 12/15/2045 0.26%
WFRBS 2013-C18 AS 04.3870 12/15/2046 0.26%
JPMCC 2005-CB11 C 05.6967 08/12/2037 0.25%
CHURCH & DWIGHT CO INC 17133WX65 DCP 10/06/2017 0.24%
COMMONWEALTH BK AUST P/P 144A 01.7500 11/07/2019 0.24%
EQT CORP 02.1056 10/01/2020 0.24%
GSMS 2013-GC10 D P/P 144A 04.4100 02/10/2046 0.24%
SHIRE ACQ INV IRELAND DA USD 01.9000 09/23/2019 0.24%
WESTROCK RKT CO 04.4500 03/01/2019 0.23%
COVIDIEN INTlL FIN USD 06.0000 10/15/2017 0.22%
KEYCORP 02.3000 12/13/2018 0.22%
MSBAM 2014-C17 XA IO 01.3954 08/15/2047 0.22%
AMAZON.COM INC 01.2000 11/29/2017 0.21%
BANK OF NOVA SCOTIA USD 01.3750 12/18/2017 0.21%
CHEVRON CORP 01.1040 12/05/2017 0.21%
CONOCOPHILLIPS COMPANY 01.0500 12/15/2017 0.21%
CVS HEALTH CORP 02.2500 12/05/2018 0.21%
CWCI 2007-C3 AJ 06.0488 05/15/2046 0.21%
INTEL CORP 01.3500 12/15/2017 0.21%
ROYAL BANK OF CANADA USD 02.2000 07/27/2018 0.21%
CSMC 2008-C1 AJ P/P 144A 06.5143 02/15/2041 0.20%
MSBAM 2012-C5 AS 03.7920 08/15/2045 0.20%
MSBAM 2013-C7 XB IO P/P 144A 00.4339 02/15/2046 0.20%
PROVINCIA DE CORDOBA P/P 144A 07.1250 06/10/2021 0.20%
WFRBS 2013-C12 AS 03.5600 03/15/2048 0.20%
AUTONATION INC 06.7500 04/15/2018 0.19%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.19%
STACR 2016-DNA2 M2 03.4372 10/25/2028 0.19%
UBS AG LONDON P/P 144A 02.2000 06/08/2020 0.19%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.18%
APPLE INC 02.0000 05/06/2020 0.18%
GSMS 2012-GC6 D P/P 144A 05.8406 01/10/2045 0.18%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.18%
GSAA 2006-8 2A2 01.4172 05/25/2036 0.17%
PNC BANK NA 02.0000 05/19/2020 0.17%
STATOIL ASA USD 02.9000 11/08/2020 0.17%
UBSBB 2012-C4 XA IO P/P 144A 01.8351 12/10/2045 0.17%
WFRBS 2013-UBS1 AS 04.3060 03/15/2046 0.17%
AIG GLOBAL FUNDING P/P 144A 02.1500 07/02/2020 0.16%
BUMT 2005-1 1A1 01.5372 09/25/2045 0.16%
CGCMT 2014-GC21 AS 04.0260 05/10/2047 0.16%
COMM 2014-CR14 XA IO 00.9569 02/10/2047 0.16%
CONSOLIDATED EDISON INC 02.0000 03/15/2020 0.16%
GSMS 2013-GC10 XA IO 01.5934 02/10/2046 0.16%
JPMBB 2014-C22 XA IO 01.0800 09/15/2047 0.16%
MACQUARIE BANK LTD P/P 144A 04.0000 07/29/2025 0.16%
PROTECTIVE LIFE GLO P/P 144A 02.2620 04/08/2020 0.16%
UBSBB 2012-C3 C P/P 144A 05.2098 08/10/2049 0.16%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.16%
COMM 2014-CR17 XA IO 01.2969 05/10/2047 0.15%
COMM 2014-CR18 C 04.8929 07/15/2047 0.15%
CONSOLIDATED EDISON COMPANY 07.1250 12/01/2018 0.15%
DOLLAR GENERAL CORP 01.8750 04/15/2018 0.15%
GSMS 2011-GC5 D P/P 144A 05.5653 08/10/2044 0.15%
GSMS 2014-GC22 C 04.8005 06/10/2047 0.15%
JPMBB 2015-C33 XA IO 01.1840 12/15/2048 0.15%
LNSTR 2015-3 C P/P 144A 03.3278 04/20/2048 0.15%
MSC 2011-C3 E P/P 144A 05.3268 07/15/2049 0.15%
AMERICAN EXPRESS COMPANY 07.0000 03/19/2018 0.14%
GOLDMAN SACHS GROUP INC 02.6000 12/27/2020 0.14%
GSMS 2013-GC12 XA IO 01.6810 06/10/2046 0.14%
JOHNSON & JOHNSON 05.1500 07/15/2018 0.14%
JPMCC 2005-LDP5 F 05.8884 12/15/2044 0.14%
MACQUARIE GROUP LTD P/P 144A 07.6250 08/13/2019 0.14%
MSC 2012-C4 XA IO P/P 144A 02.2781 03/15/2045 0.14%
STACR 2014-HQ3 M3 05.9872 10/25/2024 0.14%
UBSBB 2012-C2 D P/P 144A 05.0550 05/10/2063 0.14%
WFRBS 2011-C2 D P/P 144A 05.7881 02/15/2044 0.14%
WFRBS 2011-C4 E P/P 144A 05.4142 06/15/2044 0.14%
JPMBB 2013-C17 AS 04.4584 01/15/2047 0.13%
JPMCC 2012-C8 C P/P 144A 04.7589 10/15/2045 0.13%
STACR 2013-DN2 M2 05.4872 11/25/2023 0.13%
BP CAPITAL MARKETS PLC USD 01.7680 09/19/2019 0.12%
CGCMT 2014-GC21 C 04.7800 05/10/2047 0.12%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.12%
FNR 2012-36 SN IO 05.2128 04/25/2042 0.12%
GSMS 2014-GC18 D P/P 144A 05.1091 01/10/2047 0.12%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.12%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.12%
VOLT 2017-NPL8 A1 P/P 144A 03.1250 06/25/2047 0.12%
WBCMT 2005-C21 D 05.4681 10/15/2044 0.12%
GOLDMAN SACHS GROUP INC 02.3750 01/22/2018 0.11%
LBUBS 2006-C6 AJ 05.4520 09/15/2039 0.11%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.11%
SASC 2006-AM1 A4 01.3972 04/25/2036 0.11%
SOUTHERN COPPER CORP USD 05.8750 04/23/2045 0.11%
CWHL 2005-3 1A1 01.8572 04/25/2035 0.10%
FNR 2011-4 CS 10.4256 05/25/2040 0.10%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.10%
PPSI 2004-WCW2 M3 02.2872 10/25/2034 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
STACR 2016-DNA3 M1 02.3372 12/25/2028 0.10%
UNITEDHEALTH GROUP INC 06.0000 02/15/2018 0.10%
CAS 2015-C04 1M2 06.9372 04/25/2028 0.09%
CAS 2016-C05 2M1 02.5872 01/25/2029 0.09%
JPMCC 2012-LC9 D P/P 144A 04.5299 12/15/2047 0.09%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.09%
STACR 2015-DNA2 M2 03.8372 12/25/2027 0.09%
WFRBS 2014-C19 C 04.6460 03/15/2047 0.09%
ANHEUSER-BUSCH INBEV FIN 01.2500 01/17/2018 0.08%
CAS 2014-C02 1M2 03.8372 05/25/2024 0.08%
FNR 2003-43 YA 04.0000 03/25/2033 0.08%
FNR 2005-75 GS 16.5383 08/25/2035 0.08%
MLMI 2005-A2 A2 02.9727 02/25/2035 0.08%
NBCUNIVERSAL MEDIA LLC 05.1500 04/30/2020 0.08%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.07%
JPMORGAN CHASE & CO. 03.8750 09/10/2024 0.07%
MRAFT 2016-4 A1 02.4350 05/10/2019 0.07%
TRY/USD 12/20/2017 RBSF 0.07%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.07%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.06%
GSMS 2010-C1 D P/P 144A 06.1973 08/10/2043 0.06%
GSMS 2014-GC24 XA IO 00.9753 09/10/2047 0.06%
SELECT INCOME REIT 02.8500 02/01/2018 0.06%
SELECT INCOME REIT 03.6000 02/01/2020 0.06%
STACR 2015-HQ1 M2 03.4372 03/25/2025 0.06%
WFRBS 2013-C11 AS 03.3110 03/15/2045 0.06%
AUTONATION INC. 05.5000 02/01/2020 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
FHR 3609 LK 02.0000 12/15/2024 0.05%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.05%
FNR 2010-81 AP 02.5000 07/25/2040 0.04%
TREASURY BILL 00.0000 02/15/2018 0.04%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.03%
LBUBS 2006-C6 B 05.4720 09/15/2039 0.03%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.03%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.03%
US TREASURY N/B 02.0000 09/30/2020 0.03%
WFRBS 2013-C12 XA IO P/P 144A 01.5049 03/15/2048 0.03%
2.25 R ISWP FWD US0003M P 12/20/2027 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.02%
FEDEX 2012 TRUST P/P 144A 02.6250 01/15/2018 0.02%
FHR 3724 CM 05.5000 06/15/2037 0.02%
OPTN FN30 3.0 12/06/17 PUT 100.328125 JPMC 0.02%
OPTN FN30 3.0 12/06/17 PUT 100.421875 JPMC 0.02%
OPTN FN30 3.0 12/06/17 PUT 100.515625 JPMC 0.02%
STACR 2014-HQ3 M2 03.8872 10/25/2024 0.02%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.02%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.02%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.02%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.02%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.02%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.02%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.02%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.02%
TREASURY BILL 00.0000 02/08/2018 0.02%
TREASURY BILL 00.0000 12/14/2017 0.02%
2.201 R ISWP US0003M P 10/03/2027 0.01%
2.50 R ISWP FWD US0003M P 12/20/2047 0.01%
CAS 2015-C03 2M2 06.2372 07/25/2025 0.01%
CAS 2016-C06 1M2 05.4872 04/25/2029 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%
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%
FHR 2976 LC 19.8937 05/15/2035 0.01%
FHR 3539 PM 04.5000 05/15/2037 0.01%
FHR 3876 CA 02.7500 06/15/2026 0.01%
FNR 2004-2 QL 04.0000 02/25/2019 0.01%
FNR 2005-68 PC 05.5000 07/25/2035 0.01%
FNR 2010-155 A 03.5000 09/25/2025 0.01%
FNR 2011-60 PA 04.0000 10/25/2039 0.01%
FNW 1998-W2 X IO 00.3525 06/25/2028 0.01%
GNR 2009-32 AB 04.0000 05/16/2039 0.01%
HESS CORP 07.3000 08/15/2031 0.01%
MLCFC 2006-4 XC IO P/P 144A 00.7065 12/12/2049 0.01%
OPTN FN30 3.0 11/06/17 CALL 100.90625 JPMC 0.01%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 0.01%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.01%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.01%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.01%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.01%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.01%
SWPTN 2MX10Y P 2.41625 USD 10/27/2017 CS 0.01%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.01%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.01%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.01%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.01%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.01%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.01%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.01%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.01%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 0.01%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.01%
SWPTN 5WX10Y R 2.214 USD 10/30/2017 BA 0.01%
SWPTN 5WX10Y R 2.22 USD 10/30/2017 GS 0.01%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.01%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.01%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.01%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.01%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.01%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.01%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.01%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.01%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.01%
SWPTN LIABILITY 5WX10Y P 2.306 USD 10/30/2017 BA 0.01%
SWPTN LIABILITY 5WX10Y R 2.304 USD 10/30/2017 GS 0.01%
SWPTN LIABILITY 5WX10Y R 2.306 USD 10/30/2017 BA 0.01%
1.80 R ISWP FWD US0003M P 12/20/2019 0.00%
2.05 R ISWP FWD US0003M P 12/20/2022 0.00%
2.2405 R ISWP US0003M P 10/03/2027 0.00%
2.2495 R ISWP US0003M P 10/03/2027 0.00%
2.2935 R ISWP US0003M P 10/02/2027 0.00%
2.30 R ISWP FWD US0003M P 10/17/2027 0.00%
2.304 R ISWP FWD US0003M P 11/01/2027 0.00%
BACM 2004-4 XC IO P/P 144A 00.0477 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4115 01/15/2049 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 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 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 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 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 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 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 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 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-.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 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPURNSA P 2.05 R 07/05/27 0.00%
CPURNSA P 2.085 R 07/03/27 0.00%
CPURNSA R 1.89 P 07/05/22 0.00%
CPURNSA R 1.9225 P 07/03/22 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2561 05/15/2038 0.00%
FHLMC FH15G E01425 04.5000 08/01/2018 0.00%
FHLMC FH15OT M30301 04.5000 10/01/2018 0.00%
FHR 2513 DB 05.0000 10/15/2017 0.00%
FHR 2533 HB 05.5000 12/15/2017 0.00%
FNMA FN10 257370 06.0000 09/01/2018 0.00%
FNMA FN15 725993 06.0000 09/01/2019 0.00%
FNR 2009-100 PA 04.5000 04/25/2039 0.00%
FNW 1998-W5 X IO 00.5623 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2739 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4559 11/15/2028 0.00%
GECMC 2005-C3 XC IO P/P 144A 00.0747 07/10/2045 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
JPMCC 2004-LN2 A2 05.1150 07/15/2041 0.00%
JPMCC 2007-CB20 AJ 06.4559 02/12/2051 0.00%
LBUBS 2007-C2 XW IO 00.4551 02/15/2040 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0050 06/12/2043 0.00%
OPTN FN30 3.0 11/06/17 CALL 101.34375 JPMC 0.00%
OPTN FN30 3.0 11/06/17 CALL 101.78125 JPMC 0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 15DX10Y P 2.3 USD 10/13/2017 GS 0.00%
SWPTN 15DX10Y P 2.39 USD 10/13/2017 GS 0.00%
SWPTN 15DX10Y R 2.21 USD 10/13/2017 GS 0.00%
SWPTN 15DX10Y R 2.3 USD 10/13/2017 GS 0.00%
SWPTN 1MX10Y P 2.53 USD 10/23/2017 JP 0.00%
SWPTN 1MX10Y R 1.892 USD 10/05/2017 CS 0.00%
SWPTN 1MX10Y R 2.135 USD 10/23/2017 CI 0.00%
SWPTN 1MX10Y R 2.227 USD 10/23/2017 CI 0.00%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 3MX10Y P 2.5525 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y P 2.6 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y P 2.62 USD 10/27/2017 GS 0.00%
SWPTN 3MX10Y R 1.95 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y R 1.995 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y R 2.015 USD 10/27/2017 GS 0.00%
SWPTN 3MX1Y P 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y P 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y P 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.296 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.541 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.619 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.6525 USD 12/20/2017 CI 0.00%
SWPTN 3MX1Y R 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.755 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.796 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 2.0 USD 12/20/2017 CI 0.00%
SWPTN 3MX3Y P 1.993 USD 10/06/2017 JP 0.00%
SWPTN 3MX3Y R 1.783 USD 10/06/2017 JP 0.00%
SWPTN 4WX10Y R 2.09275 USD 10/13/2017 GS 0.00%
SWPTN 4WX10Y R 2.18375 USD 10/13/2017 GS 0.00%
SWPTN 5WX10Y P 2.313 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y P 2.398 USD 10/30/2017 BA 0.00%
SWPTN 5WX10Y P 2.456 USD 10/16/2017 JP 0.00%
SWPTN 5WX10Y P 2.55 USD 10/27/2017 GS 0.00%
SWPTN 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 1.925 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.023 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y R 2.03 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.1565 USD 10/27/2017 CI 0.00%
SWPTN 5WX10Y R 2.253 USD 10/27/2017 CI 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI 0.00%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.00%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.00%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI 0.00%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.00%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.00%
SWPTN 7WX10Y R 1.905 USD 10/27/2017 CI 0.00%
SWPTN 7WX10Y R 2.033 USD 10/27/2017 CI 0.00%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN LIABILITY 15DX10Y P 2.3 USD 10/13/2017 GS 0.00%
SWPTN LIABILITY 15DX10Y P 2.39 USD 10/13/2017 GS 0.00%
SWPTN LIABILITY 15DX10Y R 2.21 USD 10/13/2017 GS 0.00%
SWPTN LIABILITY 15DX10Y R 2.3 USD 10/13/2017 GS 0.00%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN LIABILITY 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
TREASURY BILL 00.0000 01/11/2018 0.00%
WBCMT 2006-C29 IO IO 00.4424 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.2531 04/15/2047 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -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.A.7 2047-01-17 200.0 01/17/2047 GS -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 BA -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 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%
OPTN FN30 3.0 12/06/17 PUT 99.2109375 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.3046875 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.3984375 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.76953125 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.86328125 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.95703125 JPMC -0.01%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP -0.01%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.01%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.01%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.01%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.01%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.01%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.01%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.01%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.01%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.01%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.01%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.01%
SWPTN 5WX10Y P 2.284 USD 10/16/2017 JP -0.01%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA -0.01%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS -0.01%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS -0.01%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA -0.01%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.01%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.01%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.01%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.01%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.01%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.01%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.01%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.01%
SWPTN LIABILITY 5WX10Y P 2.398 USD 10/30/2017 BA -0.01%
SWPTN LIABILITY 5WX10Y R 2.214 USD 10/30/2017 BA -0.01%
SWPTN LIABILITY 5WX10Y R 2.22 USD 10/30/2017 GS -0.01%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.01%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.01%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.01%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS -0.02%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.02%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.02%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.02%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.03%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.03%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.03%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.03%
TRY/USD 12/20/2017 RBSF -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.08%
FLR USL3M 6.00 03/07/2018 JP -0.19%
FNMA FN30 TBA 04.0000 11/01/2047 -0.51%

Prior top 10 holdings

Top 10 holdings as of 10/31/17
Net cash
Gnma Gii30 Tba 04.5000 11/01/2047
Gnma Gii30 Tba 04.0000 11/01/2047
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Cwalt 2006-Oa10 4a1 01.4279 08/25/2046
Cwalt 2006-Oa7 1a2 01.8842 06/25/2046
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Lnstr 2015-3 B P/P 144a 03.1780 04/20/2048
Holdings represent 42.64% of portfolio
Top 10 holdings as of 09/30/17
Net cash
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Cwalt 2006-Oa10 4a1 01.4272 08/25/2046
Cwalt 2006-Oa7 1a2 01.8291 06/25/2046
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Lnstr 2015-3 B P/P 144a 03.3278 04/20/2048
Petroleos Mexicanos Usd 05.5000 01/21/2021
Mraft 2016-5 A 02.4050 06/10/2019
Holdings represent 40.48% of portfolio
Top 10 holdings as of 08/31/17
Net cash
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Fnma Fn30 Tba 04.5000 09/01/2047
Cwalt 2006-Oa10 4a1 01.4244 08/25/2046
Cwalt 2006-Oa7 1a2 01.7699 06/25/2046
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Lnstr 2015-3 B P/P 144a 03.3398 04/20/2048
Petroleos Mexicanos Usd 05.5000 01/21/2021
Holdings represent 38.83% of portfolio
Top 10 holdings as of 07/31/17
Net cash
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Fnma Fn30 Tba 04.5000 09/01/2047
Cwalt 2006-Oa10 4a1 01.4222 08/25/2046
Fnma Fn30 Tba 03.5000 09/01/2047
Cwalt 2006-Oa7 1a2 01.7159 06/25/2046
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Lnstr 2015-3 B P/P 144a 03.1976 04/20/2048
Holdings represent 38.73% of portfolio

Portfolio composition as of 10/31/17

Investment-grade corporate bonds 35.65%
Net cash 33.60%
Commercial MBS 19.51%
Residential MBS (non-agency) 5.74%
Emerging-market bonds 4.56%
Agency CMO 3.10%
Agency pass-through 2.42%
Asset-backed securities (ABS) 1.27%
High-yield corporate bonds 0.10%
U.S. Treasury/agency 0.03%

Fixed income statistics as of 10/31/17

Average effective maturity 2.88 yrs.
Average effective duration -0.03 yrs.
Average yield to maturity 2.44%
Average coupon 2.53%
Average price $79.20

Maturity detail as of 10/31/17

0 - 1 yr. 39.94%
1 - 5 yrs. 43.88%
5 - 10 yrs. 13.55%
10 - 15 yrs. 0.66%
Over 15 yrs. 1.97%

Quality rating as of 10/31/17

AAA 13.15%
AA 9.12%
A 34.33%
BBB 19.29%
BB 3.42%
B 1.97%
CCC and Below 2.97%
Not Rated 15.75%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. 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. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. 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. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. 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. The fund's effort to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund's effort to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Credit qualities are shown as a percentage of the fund's net assets. 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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments 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.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 0.63% 0.83% 1.38% 0.68% 0.88% 0.38% 0.38%
What you pay 0.63% 0.83% 1.38% 0.68% 0.88% 0.38% 0.38%

Sales charge/Dealer allowance

 Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 1.00% / 1.00% 0.00% / 1.00% 0.00% / 1.00% 0.75% / 0.75% -- -- --
$50,000-$99,999 1.00% / 1.00% 0.00% / 1.00% 0.00% / 1.00% 0.75% / 0.75% -- -- --
$100,000-$249,999 1.00% / 1.00% -- 0.00% / 1.00% 0.75% / 0.75% -- -- --
$250,000-$499,999 1.00% / 1.00% -- 0.00% / 1.00% 0.75% / 0.75% -- -- --
$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 R6 Class Y
0 to 9 mts. 1.00% 1.00% 1.00% -- -- -- --
9 to 12 mts. 0.00% 1.00% 1.00% -- -- -- --
2 yrs. -- 0.50% 0.00% -- -- -- --
3 yrs. -- -- 0.00% -- -- -- --
4 yrs. -- -- 0.00% -- -- -- --
5 yrs. -- -- 0.00% -- -- -- --
6 yrs. -- -- 0.00% -- -- -- --
7+ yrs. -- -- 0.00% -- -- -- --

Trail commissions

  Class A Class B Class C Class M Class R Class R6 Class Y
  0.25% 0.25% 1.00% 0.30% 0.50% 0.00% 0.00%
  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 BofA Merrill Lynch U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion. You cannot invest directly in an index.

Each fund seeks to earn a positive total return that exceeds the rate of inflation by a targeted amount over a reasonable period of time regardless of market conditions. There can be no assurance that a fund will meet its objective. The fund is not intended to outperform stocks and bonds during strong market rallies. Consult your financial advisor to determine which fund fits into your investment goals and time horizon.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. 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. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. 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. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. 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. The fund's effort to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund's effort to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Credit qualities are shown as a percentage of the fund's net assets. 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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments 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.