Absolute Return 300 Fund  (PTRNX)

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 300 basis points (or 3.00%) 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 $10.09
0.00% | $0.00
$10.11
12/12/17
$9.56
12/21/16
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.

3.49%

Best 5-year annualized return

(for period ending 03/31/14)


-0.03%

Worst 5-year annualized return

(for period ending 03/31/16)


2.01%

Average 5-year annualized return


Fund facts as of 11/30/17

Total net assets
$463.38M
Turnover (fiscal year end)
742%
Dividend frequency
Annually
Number of holdings
885
Fiscal year-end
October
CUSIP / Fund code
746764372 / 0064
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PTRNX

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 6.14% 1.22% 2.40% 2.58%
After sales charge 5.08% 0.88% 2.19% 2.46%
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 0.30 % -0.70 %
YTD as of 12/15/17 5.21 % 4.16 %

Volatility as of 11/30/17

Standard deviation (3 yrs.) 3.04%

Morningstar ratings as of 11/30/17

Nontraditional Bond Rating Funds in category
Overall (267)
3 yrs. (267)
5 yrs. (169)

Distributions

Record/Ex dividend date 12/20/16
Payable date 12/22/16
Income $0.294
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 11/30/17

Net cash 16.70%
Fnma Fn30 Tba 03.5000 01/01/2048 10.38%
Fnma Fn30 Tba 02.5000 01/01/2048 5.39%
Gnma Gii30 Tba 04.5000 01/01/2048 2.50%
Fhr 3835 Fo Po 00.0000 04/15/2041 1.62%
Air Lease Corp 02.6250 09/04/2018 1.19%
Anheuser-Busch Inbev Fin 03.6500 02/01/2026 1.09%
Cwalt 2005-59 1a1 01.6172 11/20/2035 0.98%
The Boeing Company 08.7500 08/15/2021 0.96%
Fhr 3852 Nt 04.7497 05/15/2041 0.95%
Top 10 holdings, percent of portfolio 41.76%

Full portfolio holdings as of 09/30/17

FNMA FN30 TBA 03.5000 11/01/2047 10.48%
FNMA FN30 TBA 02.5000 10/01/2047 5.45%
FHR 3835 FO PO 00.0000 04/15/2041 1.70%
GNMA GII30 TBA 04.5000 10/01/2047 1.62%
FNMA FN30 TBA 03.0000 11/01/2047 1.52%
AIR LEASE CORP 02.6250 09/04/2018 1.19%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 1.09%
CWALT 2005-59 1A1 01.5661 11/20/2035 1.00%
FHR 3852 NT 04.7656 05/15/2041 1.00%
THE BOEING COMPANY 08.7500 08/15/2021 0.97%
APPLE INC 02.0000 05/06/2020 0.95%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.95%
TRY/USD 12/20/2017 GSFX 0.90%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.89%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.88%
S&P GLOBAL INC 03.3000 08/14/2020 0.85%
NOK/USD 12/20/2017 SSBT 0.83%
ANHEUSER-BUSCH INBEV FIN 01.9000 02/01/2019 0.82%
CSMC 2008-C1 AJ P/P 144A 06.5143 02/15/2041 0.81%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.74%
CVS HEALTH CORP 04.7500 12/01/2022 0.71%
CWALT 2006-OA7 1A2 01.8291 06/25/2046 0.71%
MSBAM 2013-C10 E P/P 144A 04.2186 07/15/2046 0.71%
JPY/USD 11/15/2017 CSI-FX 0.70%
JPY/USD 11/15/2017 UBS 0.69%
RUB/USD 12/20/2017 BANKAM 0.69%
RUB/USD 12/20/2017 CITI 0.69%
SEK/USD 12/20/2017 GSFX 0.69%
GNMA GII30 TBA 04.0000 10/01/2047 0.68%
EUR/USD 12/20/2017 BCAP-FX 0.67%
AUD/USD 10/18/2017 RBSF 0.66%
ROYAL BK SCOTLND USD 04.7000 07/03/2018 0.66%
SEK/USD 12/20/2017 JPMCB 0.66%
BSCMS 2006-PW11 B P/P 144A 05.2857 03/11/2039 0.65%
COMM 2013-CR11 XA IO 01.1515 08/10/2050 0.63%
NOK/USD 12/20/2017 UBS 0.63%
TRY/USD 12/20/2017 RBSF 0.60%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.59%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.57%
DBUBS 2011-LC3A D P/P 144A 05.3454 08/10/2044 0.55%
MSBAM 2013-C13 XA IO 01.2673 11/15/2046 0.54%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.53%
AUD/USD 10/18/2017 SSBT 0.52%
KEYCORP 02.3000 12/13/2018 0.52%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.52%
MSBAM 2014-C17 D P/P 144A 04.8539 08/15/2047 0.52%
BANK OF AMERICA CORP 02.0000 01/11/2018 0.51%
GNR 2016-H13 IK IO 02.5922 06/20/2066 0.51%
JPMCC 2012-C8 D P/P 144A 04.8070 10/15/2045 0.50%
METLIFE INC. 04.7500 02/08/2021 0.50%
UBSBB 2013-C5 XA IO P/P 144A 01.1372 03/10/2046 0.50%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.49%
JPMCC 2011-C3 E P/P 144A 05.8018 02/15/2046 0.47%
AUTONATION INC 06.7500 04/15/2018 0.46%
NOK/USD 12/20/2017 BANKAM 0.46%
STACR 2015-DNA3 B 10.5872 04/25/2028 0.46%
CAS 2016-C02 1B 13.4872 09/25/2028 0.45%
CAS 2015-C04 1M2 06.9372 04/25/2028 0.44%
EXPEDIA INC 05.0000 02/15/2026 0.44%
JPMCC 2013-C10 XA IO 01.2580 12/15/2047 0.44%
WFCM 2013-LC12 D P/P 144A 04.4301 07/15/2046 0.44%
COMM 2014-CR19 XA IO 01.3908 08/10/2047 0.43%
NZD/USD 10/18/2017 JPMCB 0.43%
GBP/USD 12/20/2017 JPMCB 0.42%
GNR 2017-H06 BI IO 02.3126 02/20/2067 0.42%
MEAD JOHNSON NUTRITION C 03.0000 11/15/2020 0.42%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.41%
NOK/USD 12/20/2017 CITI 0.41%
AT&T INC 03.0000 06/30/2022 0.40%
BACM 2005-1 B 05.4294 11/10/2042 0.40%
FED REPUBLIC OF BRAZIL USD 04.8750 01/22/2021 0.40%
GNR 2015-H19 NI IO 01.9057 07/20/2065 0.39%
COVIDIEN INTlL FIN USD 06.0000 10/15/2017 0.38%
DISH DBS CORP 04.2500 04/01/2018 0.38%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.38%
SERVICE CORP INTL 05.3750 01/15/2022 0.38%
WFCM 2014-LC16 XA IO 01.5383 08/15/2050 0.38%
AUD/USD 10/18/2017 BANKAM 0.37%
CONOCOPHILLIPS COMPANY 01.0500 12/15/2017 0.37%
CVS HEALTH CORP 02.2500 12/05/2018 0.37%
ROYAL BANK OF CANADA USD 02.2000 07/27/2018 0.37%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.36%
CAD/USD 10/18/2017 UBS 0.36%
CAS 2016-C03 2M2 07.1372 10/25/2028 0.36%
EUR/USD 12/20/2017 GSFX 0.36%
GSMS 2012-GC6 D P/P 144A 05.8406 01/10/2045 0.36%
WFRBS 2013-C15 D P/P 144A 04.6281 08/15/2046 0.36%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.35%
COMMUNITY HEALTH TLH L+300 04.3169 01/27/2021 0.35%
JPY/USD 11/15/2017 JPMCB 0.35%
AMERICAN EXPRESS COMPANY 07.0000 03/19/2018 0.34%
EUR/USD 12/20/2017 BANKAM 0.34%
GBP/USD 12/20/2017 SSBT 0.34%
JPY/USD 11/15/2017 HSBCB 0.34%
JPY/USD 11/15/2017 WPAC 0.34%
PFIZER INC 01.7000 12/15/2019 0.34%
SEK/USD 12/20/2017 RBSF 0.34%
VERIZON COMM 02.9460 03/15/2022 0.34%
EUR/USD 12/20/2017 HSBCB 0.33%
EUR/USD 12/20/2017 UBS 0.33%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.33%
HUF/USD 12/20/2017 GSFX 0.33%
NOK/USD 12/20/2017 JPMCB 0.33%
SEK/USD 12/20/2017 CSI-FX 0.33%
SEK/USD 12/20/2017 UBS 0.33%
SVENSKA HANDELSBANKEN AB USD 01.9500 09/08/2020 0.33%
WFRBS 2012-C7 D P/P 144A 04.9810 06/15/2045 0.33%
WFRBS 2012-C9 XB IO P/P 144A 00.8595 11/15/2045 0.33%
AUD/USD 10/18/2017 JPMCB 0.32%
BANQUE FED CRED MUTU P/P 144A 02.2000 07/20/2020 0.32%
EUR/USD 12/20/2017 JPMCB 0.32%
GSMS 2013-GC10 E P/P 144A 04.4100 02/10/2046 0.32%
CAD/USD 10/18/2017 RBSF 0.30%
FNR 2011-4 CS 10.4256 05/25/2040 0.30%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.30%
WFRBS 2012-C10 D P/P 144A 04.5930 12/15/2045 0.30%
ZAR/USD 10/18/2017 GSFX 0.30%
FHR 4591 QI IO 03.5000 04/15/2046 0.29%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.29%
GNR 2015-H09 BI IO 01.6866 03/20/2065 0.29%
JPMBB 2013-C14 D P/P 144A 04.7211 08/15/2046 0.29%
MANUF & TRADERS TRUST CO 02.0500 08/17/2020 0.29%
REP OF INDONESIA P/P 144A 03.3750 04/15/2023 0.29%
CCC INFO 1STL L+300 04.2400 03/30/2024 0.28%
GNR 2015-H25 EI IO 01.8459 10/20/2065 0.28%
GNR 2016-H02 BI IO 01.8478 11/20/2065 0.28%
GNR 2016-H23 NI IO 02.3375 10/20/2066 0.28%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.28%
MACQUARIE BANK LTD P/P 144A 04.0000 07/29/2025 0.28%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.28%
COMM 2014-UBS6 XA IO 01.1746 12/10/2047 0.27%
GBP/USD 12/20/2017 CSI-FX 0.27%
GNR 2015-H15 JI IO 01.9443 06/20/2065 0.27%
JPMBB 2013-C17 D P/P 144A 05.0518 01/15/2047 0.27%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.27%
WFRBS 2012-C10 E P/P 144A 04.5930 12/15/2045 0.27%
CWALT 2005-27 1A1 01.6613 08/25/2035 0.26%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.26%
FNR 2013-27 PI IO 03.0000 12/25/2041 0.26%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.26%
GNR 2015-H25 AI IO 01.6125 09/20/2065 0.26%
GOLDMAN SACHS GROUP INC 02.3750 01/22/2018 0.26%
JPMCC 2007-CB20 B P/P 144A 06.5559 02/12/2051 0.26%
STACR 2015-DNA2 B 08.7872 12/25/2027 0.26%
ADS WASTE TLB L+275 03.5000 10/28/2023 0.25%
CALPINE CONSTRUCT TLB2 L+250 03.7400 01/31/2022 0.25%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.25%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.25%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.25%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.25%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.25%
GSMS 2013-GC12 D P/P 144A 04.5841 06/10/2046 0.25%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.25%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.24%
CAS 2016-C03 1B 12.9872 10/25/2028 0.24%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.24%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.24%
CWCI 2007-C3 AJ 06.0488 05/15/2046 0.24%
FHR 4136 IW IO 03.5000 10/15/2042 0.24%
GNR 2014-H14 CI IO 01.5801 07/20/2064 0.24%
HCA INC 06.5000 02/15/2020 0.24%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.24%
LANDRY'S TLB L+275 03.9925 10/04/2023 0.24%
MOOG INC P/P 144A 05.2500 12/01/2022 0.24%
NZD/USD 10/18/2017 SSBT 0.24%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.24%
SPST 2017-1 A 02.1372 02/25/2049 0.24%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.24%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.24%
BCAP 2012-RR5 4A8 01.4044 06/26/2035 0.23%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.23%
CGCMT 2014-GC19 X IO 01.3709 03/10/2047 0.23%
CHARTER COMM TLE L+200 03.2400 07/01/2020 0.23%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.23%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.23%
GSMS 2014-GC18 XA IO 01.2867 01/10/2047 0.23%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.23%
PPDI TL L+275 04.0368 08/18/2022 0.23%
SEK/USD 12/20/2017 SSBT 0.23%
UBS GROUP FUNDIN P/P 144A 03.0000 04/15/2021 0.23%
VALEANT PHARMA TLBF1 L+475 05.9900 04/01/2022 0.23%
WFRBS 2011-C4 E P/P 144A 05.4142 06/15/2044 0.23%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.22%
ARDAGH PKG FIN/HLDGS P/P 144A 04.2500 09/15/2022 0.22%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.22%
FHR 4150 DI IO 03.0000 01/15/2043 0.22%
GBP/USD 12/20/2017 CITI 0.22%
GNR 2015-H10 EI IO 01.6314 04/20/2065 0.22%
INTELSAT JACKSON TLB2 L+275 04.0711 06/30/2019 0.22%
KMG CHEMICALS TLB L+425 05.4850 06/15/2024 0.22%
MXN/USD 10/18/2017 HSBCB 0.22%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.22%
RESTAURANT BRANDS TLB L+225 03.5231 02/17/2024 0.22%
RITE AID 2NDL L+387.5 04.8750 06/07/2021 0.22%
SELECT INCOME REIT 02.8500 02/01/2018 0.22%
SELECT INCOME REIT 03.6000 02/01/2020 0.22%
WAMU 2005-AR13 A1C3 01.7272 10/25/2045 0.22%
WIDEOPENWEST TLB L+325 04.4844 08/19/2023 0.22%
AMAYA GAMING TLB L+350 04.8328 08/01/2021 0.21%
CFCRE 2011-C1 E P/P 144A 06.2811 04/15/2044 0.21%
CMLTI 2007-AMC3 A2D 01.5872 03/25/2037 0.21%
CSAIL 2015-C1 D P/P 144A 03.9453 04/15/2050 0.21%
EUR/USD 12/20/2017 CSI-FX 0.21%
FHR 4182 PI IO 03.0000 12/15/2041 0.21%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.21%
GNR 2016-77 SC IO 04.8639 10/20/2045 0.21%
JO-ANN STORES TL L+500 06.3907 10/21/2023 0.21%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.21%
WAMU 2005-AR10 1A3 03.2781 09/25/2035 0.21%
COMM 2014-CR17 C 04.8948 05/10/2047 0.20%
FIRST DATA TL L+225 03.4872 07/10/2022 0.20%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.20%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.20%
GNR 2015-162 BI IO 04.0000 11/20/2040 0.20%
INFOR US INC P/P 144A 05.7500 08/15/2020 0.20%
JPMCC 2007-CB20 C P/P 144A 06.5559 02/12/2051 0.20%
SOUTHERN COPPER CORP USD 05.8750 04/23/2045 0.20%
UBS AG LONDON P/P 144A 02.2000 06/08/2020 0.20%
JPMBB 2014-C19 XA IO 01.3218 04/15/2047 0.19%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.19%
SYNIVERSE HLDG TLB L+300 04.3111 04/23/2019 0.19%
ASURION TLB4 L+275 03.9850 08/04/2022 0.18%
CGCMT 2014-GC21 X IO 01.4098 05/10/2047 0.18%
ENERGY TRANSFER EQ TL L+275 02.7500 02/02/2024 0.18%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.18%
GNR 2015-H18 IA IO 01.8220 06/20/2065 0.18%
GNR 2015-H28 DI IO 01.5468 08/20/2065 0.18%
GSMS 2015-GC30 XA IO 01.0237 05/10/2050 0.18%
HILTON WORLDWIDE TLB2 L+200 03.2578 10/25/2023 0.18%
JPMBB 2014-C24 XA IO 01.2087 11/15/2047 0.18%
LIBBEY GLASS TLB L+300 04.2378 04/09/2021 0.18%
PNC BANK NA 02.0000 05/19/2020 0.18%
WBCMT 2006-C26 AJ 06.2304 06/15/2045 0.18%
AIG GLOBAL FUNDING P/P 144A 02.1500 07/02/2020 0.17%
CGCMT 2013-GC17 X IO 01.5812 11/10/2046 0.17%
EUR/USD 12/20/2017 SSBT 0.17%
FHR 4193 PI IO 04.0000 03/15/2043 0.17%
FHR 4601 IC IO 04.0000 12/15/2045 0.17%
GNR 2015-111 IJ IO 03.5000 08/20/2045 0.17%
JELD-WEN TLB L+300 04.3328 07/01/2022 0.17%
LLOYDS BANKING GROUP USD 05.3000 12/01/2045 0.17%
PROTECTIVE LIFE GLO P/P 144A 02.2620 04/08/2020 0.17%
SCIENTIFIC GAMES TLB4 L+325 04.5144 08/14/2024 0.17%
STACR 2016-DNA1 B 11.2372 07/25/2028 0.17%
SWPTN LIABILITY 2YX20Y R 1.733 EUR 09/30/2019 JP 0.17%
TRANSDIGM TLD L+300 04.3269 06/04/2021 0.17%
UNITEDHEALTH GROUP INC 06.0000 02/15/2018 0.17%
USG CORP P/P 144A 05.5000 03/01/2025 0.17%
WFCM 2012-LC5 XA IO P/P 144A 01.9583 10/15/2045 0.17%
WFRBS 2012-C10 C 04.5280 12/15/2045 0.17%
BERRY PLASTICS TLM L+225 01.3119 10/01/2022 0.16%
BRAND ENERGY TL L+425 05.5219 06/21/2024 0.16%
COMM 2014-CR20 XA IO 01.3167 11/10/2047 0.16%
FHR 4369 IA IO 03.5000 07/15/2044 0.16%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.16%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.16%
GNR 2012-106 QI IO 04.0000 07/20/2042 0.16%
JPY/USD 11/15/2017 RBSF 0.16%
MSC 2012-C4 XA IO P/P 144A 02.2781 03/15/2045 0.16%
NEIMAN MARCUS TL L+325 04.4878 10/25/2020 0.16%
STACR 2015-DNA3 M3 05.9372 04/25/2028 0.16%
TRIBUNE MEDIA TLB L+300 04.2350 01/27/2024 0.16%
UNIVISION TLC5 L+275 03.9850 03/15/2024 0.16%
VISTRA TLB L+275 03.5000 08/04/2023 0.16%
WFCM 2013-LC12 C 04.4301 07/15/2046 0.16%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.16%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.15%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.15%
CWALT 2006-OA7 1A1 02.3831 06/25/2046 0.15%
ELDORADO RESORTS TLB L+225 03.5000 04/17/2024 0.15%
GATES GLOBAL TLB L+325 04.5828 03/31/2024 0.15%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.15%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.15%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.15%
GNR 2017-H03 DI IO 02.3816 12/20/2066 0.15%
GNR 2017-H11 NI IO 02.1791 05/20/2067 0.15%
GSAA 2005-15 2A2 01.4872 01/25/2036 0.15%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.15%
SOCIETE GENERALE USD 02.7500 10/12/2017 0.15%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.15%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.15%
WFRBS 2011-C5 XA IO P/P 144A 01.9250 11/15/2044 0.15%
BMIR 2015-1A M2 05.5372 07/25/2025 0.14%
CGCMT 2012-GC8 XA IO P/P 144A 01.9793 09/10/2045 0.14%
COMM 2012-CR3 E P/P 144A 04.9194 10/15/2045 0.14%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.14%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.14%
JPMBB 2014-C24 D P/P 144A 04.0714 11/15/2047 0.14%
ANHEUSER-BUSCH INBEV FIN 01.2500 01/17/2018 0.13%
AUTONATION INC. 05.5000 02/01/2020 0.13%
BP CAPITAL MARKETS PLC USD 01.7680 09/19/2019 0.13%
CERIDIAN TLB2 L+350 04.7372 09/15/2020 0.13%
CWALT 2006-OA10 2A1 01.4272 08/25/2046 0.13%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.13%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.13%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.13%
GNR 2011-H15 AI IO 01.5782 06/20/2061 0.13%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.13%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.13%
GNR 2017-H14 DI IO 01.7030 06/20/2067 0.13%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.13%
LENNAR CORP 04.7500 11/15/2022 0.13%
ORTHO-CLINICAL TLB L+375 05.0828 06/30/2021 0.13%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.13%
WFRBS 2011-C4 D P/P 144A 05.4142 06/15/2044 0.13%
WFRBS 2011-C5 E P/P 144A 05.8611 11/15/2044 0.13%
ACADEMY SPORTS TLB L+400 05.2737 07/02/2022 0.12%
CALPINE CONS FIN TLB1 L+225 03.4900 05/03/2020 0.12%
CWHL 2005-3 1A1 01.8572 04/25/2035 0.12%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.12%
FHR 4158 TI IO 03.0000 12/15/2042 0.12%
FHR 4213 GI IO 04.0000 11/15/2041 0.12%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.12%
GNR 2011-H08 GI IO 01.2665 03/20/2061 0.12%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.12%
LENNAR CORPORATION 04.7500 04/01/2021 0.12%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.12%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.12%
SAMI 2007-AR1 2A1 01.4172 01/25/2037 0.12%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.12%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.11%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.11%
BRL/USD 01/03/2018 CITI 0.11%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.11%
COMM 2014-UBS4 XA IO 01.3851 08/10/2047 0.11%
ENBRIDGE INC USD 04.2500 12/01/2026 0.11%
FHR 2990 LB 13.7906 06/15/2034 0.11%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.11%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.11%
GRIFOLS TLB L+225 03.2879 01/31/2025 0.11%
NOK/USD 12/20/2017 RBSF 0.11%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.11%
SPRINT TLB L+250 03.7500 02/02/2024 0.11%
STACR 2015-DN1 B 12.7372 01/25/2025 0.11%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.11%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.11%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.11%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.11%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.11%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.11%
WERNER TLB L+400 05.2583 07/24/2024 0.11%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.11%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.10%
AMER ENERGY MARC 1STL L+425 05.4850 08/04/2020 0.10%
AMERICAN CASINO TLB L+225 06.5000 07/07/2022 0.10%
AUD/USD 10/18/2017 UBS 0.10%
CITYCENTER TLB L+250 03.7350 04/18/2024 0.10%
COMM 2014-LC15 XA IO 01.4985 04/10/2047 0.10%
CPG INTL TL L+375 05.0828 05/03/2024 0.10%
FHR 4206 IP IO 03.0000 12/15/2041 0.10%
FIDELITY NATIONAL INFORM 03.6250 10/15/2020 0.10%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.10%
GNR 2017-H02 BI IO 02.3362 01/20/2067 0.10%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.10%
JPMBB 2014-C25 D P/P 144A 04.0945 11/15/2047 0.10%
SEK/USD 12/20/2017 CITI 0.10%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.10%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.10%
CAESARS ENT OPER TLB6B L+775 11.7500 03/01/2018 0.09%
CHUCK E CHEESE'S TLB L+300 04.2350 02/14/2021 0.09%
GNR 2011-17 S IO 04.8139 02/20/2041 0.09%
INFOR TLB6 L+275 03.7500 02/01/2022 0.09%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.09%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.09%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.09%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.09%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.09%
TRANSDIGM TLG L+300 04.2639 08/22/2024 0.09%
UBSBB 2012-C2 XA IO P/P 144A 01.5336 05/10/2063 0.09%
CAS 2015-C01 1M2 05.5372 02/25/2025 0.08%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.08%
HELLENIC REPUBLIC REGS 03.0000 02/24/2036 0.08%
JPMORGAN CHASE & CO. 03.8750 09/10/2024 0.08%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.08%
STACR 2016-DNA2 B 11.7372 10/25/2028 0.08%
US TREASURY N/B 02.0000 09/30/2020 0.08%
CAS 2017-C05 1B1 04.8372 01/25/2030 0.07%
FHR 3072 SM 04.2533 11/15/2035 0.07%
GNR 2016-H11 HI IO 02.0827 01/20/2066 0.07%
HOST HOTELS & RESORTS 05.2500 03/15/2022 0.07%
JPMCC 2012-LC9 D P/P 144A 04.5299 12/15/2047 0.07%
JPY/USD 11/15/2017 BANKAM 0.07%
NOK/USD 12/20/2017 GSFX 0.07%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.07%
STACR 2017-DNA2 B1 06.3872 10/25/2029 0.07%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.07%
SWPTN 3MX2Y P 0.597 GBP 11/21/2017 GS 0.07%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.07%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.07%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.07%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.07%
2.25 R ISWP FWD US0003M P 12/20/2027 0.06%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.06%
CSFB 2005-C3 B 04.8820 07/15/2037 0.06%
CWALT 2006-OA10 4A1 01.4272 08/25/2046 0.06%
FEDEX 2012 TRUST P/P 144A 02.6250 01/15/2018 0.06%
FNR 2007-53 SP 19.6635 06/25/2037 0.06%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.06%
GNR 2013-99 VS IO 04.8656 07/16/2043 0.06%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.06%
JPMBB 2014-C26 D P/P 144A 04.0679 01/15/2048 0.06%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 0.06%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.06%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.06%
VANTAGE DRILLING INT-UNIT 0.06%
CAS 2015-C01 2M2 05.7872 02/25/2025 0.05%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.05%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.05%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.05%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.05%
HESS CORP 07.3000 08/15/2031 0.05%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.05%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.05%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.05%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.05%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.05%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.05%
-0.25 R ISWP FWD CHL6M P 12/20/2022 0.04%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.04%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.04%
FHR 3249 PS 18.2013 12/15/2036 0.04%
FNR 2005-75 GS 16.5383 08/25/2035 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.04%
OPTN FN30 3.0 12/06/17 PUT 100.328125 JPMC 0.04%
OPTN FN30 3.0 12/06/17 PUT 100.421875 JPMC 0.04%
OPTN FN30 3.0 12/06/17 PUT 100.515625 JPMC 0.04%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.04%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.04%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.04%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.04%
SWPTN 5WX10Y R 2.22 USD 10/30/2017 GS 0.04%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.04%
VISTRA TLC L+275 04.0839 08/04/2023 0.04%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.03%
1.00 R ISWP FWD EUR006M P 12/20/2027 0.03%
2.201 R ISWP US0003M P 10/03/2027 0.03%
CAS 2014-C03 1M2 04.2372 07/25/2024 0.03%
CAS 2015-C02 2M2 05.2372 05/25/2025 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
FHR 2976 LC 19.8937 05/15/2035 0.03%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.03%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 0.03%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.03%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.03%
SWPTN 2MX10Y P 2.41625 USD 10/27/2017 CS 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 2YX5Y R 2.203 USD 06/03/2019 BA 0.03%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.03%
SWPTN 5WX10Y R 2.214 USD 10/30/2017 BA 0.03%
SWPTN LIABILITY 5WX10Y P 2.306 USD 10/30/2017 BA 0.03%
SWPTN LIABILITY 5WX10Y R 2.304 USD 10/30/2017 GS 0.03%
SWPTN LIABILITY 5WX10Y R 2.306 USD 10/30/2017 BA 0.03%
1.05 R ISWP FWD GBL6M P 12/20/2022 0.02%
2.25 R ISWP FWD CDOR03 P 12/20/2022 0.02%
CAS 2016-C06 1M2 05.4872 04/25/2029 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
FNR 2005-74 NK 21.3139 05/25/2035 0.02%
FNS 397 2 IO 05.0000 09/25/2039 0.02%
FNW 1998-W2 X IO 00.3525 06/25/2028 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.02%
OPTN FN30 3.0 11/06/17 CALL 100.90625 JPMC 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 2YX3Y R 2.43 USD 02/15/2019 BC 0.02%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX1Y P 1.6775 USD 11/30/2017 GS 0.02%
SWPTN 5WX10Y P 2.398 USD 10/30/2017 BA 0.02%
SWPTN 5WX10Y R 2.1565 USD 10/27/2017 CI 0.02%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.02%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 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 P 2.57 USD 11/22/2017 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
SWPTN LIABILITY 15DX10Y P 2.3 USD 10/13/2017 GS 0.02%
SWPTN LIABILITY 15DX10Y R 2.3 USD 10/13/2017 GS 0.02%
0.25 R ISWP FWD CHL6M P 12/20/2027 0.01%
0.50 R ISWP FWD SES3M P 12/20/2022 0.01%
1.35 R ISWP CZECH INTERBANK RATES 6 MONTH P 07/13/2027 0.01%
1.50 R ISWP FWD NOKOIB6M P 12/20/2022 0.01%
1.80 R ISWP FWD US0003M P 12/20/2019 0.01%
2.2405 R ISWP US0003M P 10/03/2027 0.01%
2.2495 R ISWP US0003M P 10/03/2027 0.01%
CAD/USD 10/18/2017 HSBCB 0.01%
CAS 2015-C02 1M2 05.2372 05/25/2025 0.01%
CHF/USD 12/20/2017 GSFX 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 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 JP 0.01%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.01%
CPTFEMU R 1.4 P 07/15/27 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
EUR/USD 12/20/2017 RBSF 0.01%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.01%
FNW 1998-W5 X IO 00.5623 07/25/2028 0.01%
GNR 2010-103 DI IO 04.5000 12/20/2038 0.01%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
IDR/USD 11/15/2017 GSFX 0.01%
IDR/USD 11/15/2017 JPMCB 0.01%
IOS.FN30.400.13 R USL1M P 01/12/44 CS 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SWPTN 15DX10Y P 2.39 USD 10/13/2017 GS 0.01%
SWPTN 15DX10Y R 2.21 USD 10/13/2017 GS 0.01%
SWPTN 1MX10Y R 2.135 USD 10/23/2017 CI 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX1Y R 1.6525 USD 12/20/2017 CI 0.01%
SWPTN 3MX2Y R -0.117 EUR 11/03/2017 GS 0.01%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.01%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.01%
TRIBUNE MEDIA TLB L+300 04.2350 12/27/2020 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%
-0.526 R ISWP CHL6M P 10/02/2019 0.00%
-0.528 R ISWP CHL6M P 09/29/2019 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 0.00%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.00%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.00%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.00%
0.30 R ISWP FWD EUR006M P 12/20/2022 0.00%
0.766 R ISWP GBL6M P 09/15/2019 0.00%
0.85 R ISWP FWD GBL6M P 12/20/2019 0.00%
1.40 R ISWP FWD GBL6M P 12/20/2027 0.00%
1.863 R ISWP FWD GBL6M P 09/22/2032 0.00%
2.00 R ISWP FWD NOKOIB6M P 12/20/2027 0.00%
2.00 R ISWP FWD US0003M P 12/20/2022 0.00%
2.05 R ISWP FWD US0003M P 12/20/2022 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%
2.30 R ISWP FWD US0003M P 12/20/2027 0.00%
2.304 R ISWP FWD US0003M P 11/01/2027 0.00%
2.4925 R ISWP FWD AUDBB3M P 09/27/2020 0.00%
2.50 R ISWP FWD CDOR03 P 12/20/2027 0.00%
2.51 R ISWP FWD AUDBB3M P 09/26/2020 0.00%
2.65 R ISWP FWD AUDBB6M P 12/20/2022 0.00%
2.764 R ISWP FWD NFIX3MID P 09/30/2020 0.00%
2.78 R ISWP FWD NFIX3MID P 09/27/2020 0.00%
2.80 R ISWP FWD NFIX3MID P 12/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 12/20/2027 0.00%
3.30 R ISWP FWD NFIX3MID P 12/20/2027 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%
CAD/USD 10/18/2017 HSBCB 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 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-.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 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPTFEMU R 1.42 P 08/15/27 0.00%
CPTFEMU R 1.4275 P 08/15/27 0.00%
CPTFEMU R 1.4475 P 09/15/27 0.00%
CPURNSA P 2.085 R 07/03/27 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%
EURO-OAT FUTURE DEC17 OATZ7 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%
GNR 2011-116 IB IO 05.0000 10/20/2040 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%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 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.FN30.350.14 P USL1M R 01/12/45 JP 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 P USL1M R 01/12/40 GS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.450.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 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 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 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 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.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 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%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 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%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 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 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 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 CS 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.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.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0050 06/12/2043 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 1YX5Y P 1.091 EUR 07/13/2018 CI 0.00%
SWPTN 1YX5Y P 1.291 EUR 07/13/2018 CI 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 1.3463 GBP 10/03/2017 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 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 0.538 GBP 10/06/2017 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 1.6775 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 3MX2Y P -0.117 EUR 11/03/2017 GS 0.00%
SWPTN 3MX2Y R 0.597 GBP 11/21/2017 GS 0.00%
SWPTN 3MX30Y R 1.6 GBP 10/03/2017 GS 0.00%
SWPTN 3MX3Y P 1.993 USD 10/06/2017 JP 0.00%
SWPTN 3MX3Y R 0.779 GBP 10/06/2017 GS 0.00%
SWPTN 3MX3Y R 1.783 USD 10/06/2017 JP 0.00%
SWPTN 3MX5Y P 0.393 EUR 11/03/2017 GS 0.00%
SWPTN 3MX5Y R 0.7685 GBP 11/21/2017 GS 0.00%
SWPTN 4WX10Y R 2.09275 USD 10/13/2017 GS 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 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 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 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
US 10YR ULTRA FUT DEC17 UXYZ7 0.00%
USD/CNH PUT 6.40 20171207 BANKAM 0.00%
USD/CNH PUT 6.50 20171207 BANKAM 0.00%
WBCMT 2006-C29 IO IO 00.4424 11/15/2048 0.00%
1.25 R ISWP FWD SES3M P 12/20/2027 -0.01%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.01%
2.50 R ISWP FWD US0003M P 12/20/2047 -0.01%
8.12 R ISWP MXIBTIIE P 12/24/2026 -0.01%
CHF/USD 12/20/2017 GSFX -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.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 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 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 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-.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%
CPTFEMU P 1.71 R 08/15/37 -0.01%
CPTFEMU P 1.7138 R 08/15/37 -0.01%
CPTFEMU P 1.735 R 09/15/37 -0.01%
CPURNSA P 2.05 R 07/05/27 -0.01%
EUR/USD 12/20/2017 RBSF -0.01%
IDR/USD 11/15/2017 GSFX -0.01%
IDR/USD 11/15/2017 JPMCB -0.01%
IOS.FN30.400.13 P USL1M R 01/12/44 JP -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
OPTN FN30 3.0 11/06/17 CALL 101.34375 JPMC -0.01%
OPTN FN30 3.0 11/06/17 CALL 101.78125 JPMC -0.01%
SWPTN 1MX10Y R 2.227 USD 10/23/2017 CI -0.01%
SWPTN 3MX1Y R 2.0 USD 12/20/2017 CI -0.01%
SWPTN 3MX5Y R 0.217 EUR 11/03/2017 GS -0.01%
SWPTN 4WX10Y R 2.18375 USD 10/13/2017 GS -0.01%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI -0.01%
SWPTN LIABILITY 15DX10Y P 2.39 USD 10/13/2017 GS -0.01%
SWPTN LIABILITY 15DX10Y R 2.21 USD 10/13/2017 GS -0.01%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.02%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.02%
8.20 R ISWP MXIBTIIE P 01/07/2027 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -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%
CPTFEMU P 1.71 R 07/15/37 -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.2109375 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.3046875 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.3984375 JPMC -0.02%
SWPTN 15DX10Y P 2.3 USD 10/13/2017 GS -0.02%
SWPTN 15DX10Y R 2.3 USD 10/13/2017 GS -0.02%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.02%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.02%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.02%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.02%
SWPTN 3MX1Y P 1.495 USD 11/30/2017 GS -0.02%
SWPTN 5WX10Y P 2.313 USD 10/16/2017 CI -0.02%
SWPTN 5WX10Y R 2.253 USD 10/27/2017 CI -0.02%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 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%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
OPTN FN30 3.0 12/06/17 PUT 99.76953125 JPMC -0.03%
OPTN FN30 3.0 12/06/17 PUT 99.86328125 JPMC -0.03%
OPTN FN30 3.0 12/06/17 PUT 99.95703125 JPMC -0.03%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA -0.03%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA -0.03%
SWPTN LIABILITY 5WX10Y P 2.398 USD 10/30/2017 BA -0.03%
SWPTN LIABILITY 5WX10Y R 2.214 USD 10/30/2017 BA -0.03%
SWPTN LIABILITY 5WX10Y R 2.22 USD 10/30/2017 GS -0.03%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.04%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS -0.04%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.04%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.04%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.04%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.04%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.04%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.04%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.04%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.04%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.05%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.05%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.05%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.05%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.05%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP -0.06%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.06%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.06%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.06%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.06%
SWPTN 3MX5Y P 0.9135 GBP 11/21/2017 GS -0.06%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.07%
JPY/USD 11/15/2017 BANKAM -0.07%
NOK/USD 12/20/2017 GSFX -0.07%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.07%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.07%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.07%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.07%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.07%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.07%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.08%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.08%
SWPTN 5WX10Y P 2.284 USD 10/16/2017 JP -0.08%
AUD/USD 10/18/2017 UBS -0.09%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.09%
SWPTN LIABILITY 2YX10Y R 1.376 EUR 09/30/2019 JP -0.09%
SWPTN LIABILITY 2YX30Y R 1.758 EUR 09/30/2019 JP -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
SEK/USD 12/20/2017 CITI -0.10%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.10%
BRL/USD 01/03/2018 CITI -0.11%
NOK/USD 12/20/2017 RBSF -0.12%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.12%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.12%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS -0.13%
JPY/USD 11/15/2017 RBSF -0.15%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.15%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.15%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.16%
EUR/USD 12/20/2017 SSBT -0.17%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.17%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.18%
MXN/USD 10/18/2017 HSBCB -0.21%
EUR/USD 12/20/2017 CSI-FX -0.22%
SEK/USD 12/20/2017 SSBT -0.22%
FNMA FN30 TBA 04.5000 10/01/2047 -0.23%
GBP/USD 12/20/2017 CITI -0.23%
NZD/USD 10/18/2017 SSBT -0.25%
CAD/USD 10/18/2017 RBSF -0.27%
GBP/USD 12/20/2017 CSI-FX -0.28%
ZAR/USD 10/18/2017 GSFX -0.29%
EUR/USD 12/20/2017 JPMCB -0.32%
EUR/USD 12/20/2017 BANKAM -0.33%
EUR/USD 12/20/2017 HSBCB -0.33%
EUR/USD 12/20/2017 UBS -0.33%
HUF/USD 12/20/2017 GSFX -0.33%
JPY/USD 11/15/2017 HSBCB -0.33%
JPY/USD 11/15/2017 WPAC -0.33%
NOK/USD 12/20/2017 JPMCB -0.33%
SEK/USD 12/20/2017 CSI-FX -0.33%
SEK/USD 12/20/2017 RBSF -0.33%
SEK/USD 12/20/2017 UBS -0.33%
AUD/USD 10/18/2017 JPMCB -0.34%
GBP/USD 12/20/2017 SSBT -0.34%
JPY/USD 11/15/2017 JPMCB -0.34%
AUD/USD 10/18/2017 BANKAM -0.35%
CAD/USD 10/18/2017 UBS -0.36%
EUR/USD 12/20/2017 GSFX -0.36%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.41%
NOK/USD 12/20/2017 CITI -0.42%
NZD/USD 10/18/2017 JPMCB -0.43%
GBP/USD 12/20/2017 JPMCB -0.44%
NOK/USD 12/20/2017 BANKAM -0.47%
AUD/USD 10/18/2017 SSBT -0.52%
TRY/USD 12/20/2017 RBSF -0.61%
AUD/USD 10/18/2017 RBSF -0.63%
NOK/USD 12/20/2017 UBS -0.64%
SEK/USD 12/20/2017 JPMCB -0.65%
EUR/USD 12/20/2017 BCAP-FX -0.66%
RUB/USD 12/20/2017 BANKAM -0.67%
SEK/USD 12/20/2017 GSFX -0.67%
JPY/USD 11/15/2017 UBS -0.68%
RUB/USD 12/20/2017 CITI -0.68%
JPY/USD 11/15/2017 CSI-FX -0.69%
NOK/USD 12/20/2017 SSBT -0.84%
TRY/USD 12/20/2017 GSFX -0.92%
FNMA FN30 TBA 04.0000 11/01/2047 -1.59%

Prior top 10 holdings

Top 10 holdings as of 11/30/17
Net cash
Fnma Fn30 Tba 03.5000 01/01/2048
Fnma Fn30 Tba 02.5000 01/01/2048
Gnma Gii30 Tba 04.5000 01/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Cwalt 2005-59 1a1 01.6172 11/20/2035
The Boeing Company 08.7500 08/15/2021
Fhr 3852 Nt 04.7497 05/15/2041
Holdings represent 41.76% of portfolio
Top 10 holdings as of 10/31/17
Net cash
Fnma Fn30 Tba 03.5000 12/01/2047
Fnma Fn30 Tba 02.5000 11/01/2047
Gnma Gii30 Tba 04.5000 11/01/2047
Fhr 3835 Fo Po 00.0000 04/15/2041
Gnma Gii30 Tba 04.0000 11/01/2047
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Cwalt 2005-59 1a1 01.5689 11/20/2035
Fhr 3852 Nt 04.7611 05/15/2041
Holdings represent 43.36% of portfolio
Top 10 holdings as of 09/30/17
Net cash
Fnma Fn30 Tba 03.5000 11/01/2047
Fnma Fn30 Tba 02.5000 10/01/2047
Fhr 3835 Fo Po 00.0000 04/15/2041
Gnma Gii30 Tba 04.5000 10/01/2047
Fnma Fn30 Tba 03.0000 11/01/2047
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Fhr 3852 Nt 04.7656 05/15/2041
Cwalt 2005-59 1a1 01.5661 11/20/2035
Holdings represent 40.80% of portfolio
Top 10 holdings as of 08/31/17
Net cash
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Fhr 3835 Fo Po 00.0000 04/15/2041
Fnma Fn30 Tba 03.0000 10/01/2047
Anheuser-Busch Inbev Fin 01.9000 02/01/2019
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Holdings represent 39.18% of portfolio

Portfolio composition as of 11/30/17

Commercial MBS 23.92%
Investment-grade corporate bonds 20.44%
Agency CMO 19.22%
Agency pass-through 16.88%
Net cash 16.70%
Bank loans 7.72%
Residential MBS (non-agency) 6.71%
Emerging-market bonds 4.51%
High-yield corporate bonds 2.52%
International Treasury/agency 1.95%
Asset-backed securities (ABS) 1.25%
U.S. Treasury/agency 0.08%
Equity investments 0.07%

Fixed income statistics as of 11/30/17

Average effective maturity 5.90 yrs.
Average effective duration -0.29 yrs.
Average yield to maturity 4.00%
Average coupon 4.05%
Average price $82.68

Maturity detail as of 11/30/17

0 - 1 yr. 3.30%
1 - 5 yrs. 34.49%
5 - 10 yrs. 57.75%
10 - 15 yrs. 2.14%
Over 15 yrs. 2.32%

Quality rating as of 11/30/17

AAA 45.96%
AA 3.52%
A 12.55%
BBB 18.80%
BB 11.68%
B 8.29%
CCC and Below 4.32%
Not Rated -5.12%

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 0.70% 0.90% 1.45% 0.75% 0.95% 0.45% 0.45%
What you pay 0.70% 0.90% 1.45% 0.75% 0.95% 0.45% 0.45%

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.