Absolute Return 300 Fund  (PYTRX)

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.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $10.07
0.00% | $0.00
$10.07
10/16/17
$9.57
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.

3.74%

Best 5-year annualized return

(for period ending 03/31/14)


0.21%

Worst 5-year annualized return

(for period ending 03/31/16)


2.23%

Average 5-year annualized return


Fund facts as of 09/30/17

Total net assets
$461.89M
Turnover (fiscal year end)
428%
Dividend frequency
Annually
Number of holdings
747
Fiscal year end
October
CUSIP / Fund code
746764323 / 1864
Inception Date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PYTRX

Management team


Chief Investment Officer, Fixed Income

Portfolio Manager

Co-Head of Fixed Income

Co-Head of Fixed Income

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.

Manager commentary | Q2 2017

Is rate normalization underway?

Bill Kohli, Chief Investment Officer for Fixed Income, discusses interest rates and yield curve moves.


Literature


Why a meaningful near-term market correction is unlikely
2017 is a rare year without a stock market correction of at least 5%, but that doesn't make a correction more likely in the fourth quarter.
How the Japan election may influence global interest rates
The Japan election could have consequences for the future leadership of the Bank of Japan and the country's impact on global interest rate trends.
Avoiding retirement savings shortfalls requires a team effort
Plan features, employer match, deferral rates, and investor education all work together to help participants avoid retirement savings shortfalls.

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 6.47% 1.49% 2.66% 2.84%
After sales charge N/A N/A N/A N/A
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 09/30/17 0.80 % -
YTD as of 10/17/17 5.01 % -

Volatility as of 09/30/17

Standard deviation (3 yrs.) 3.11%

Morningstar ratings as of 09/30/17

Nontraditional Bond Rating Funds in category
Overall (264)
3 yrs. (264)
5 yrs. (160)

Distributions

Record/Ex dividend date 12/20/16
Payable date 12/22/16
Income $0.326
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 09/30/17

Net cash 15.75%
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%
Fhr 3852 Nt 04.7656 05/15/2041 1.00%
Cwalt 2005-59 1a1 01.5661 11/20/2035 1.00%
Top 10 holdings, percent of portfolio 40.80%

Full portfolio holdings as of 06/30/17

FNMA FN30 TBA 03.5000 08/01/2047 10.54%
FNMA FN30 TBA 03.5000 07/01/2047 4.43%
FNMA FN30 TBA 02.5000 07/01/2047 3.37%
FNMA FN30 TBA 02.5000 08/01/2047 1.78%
FNMA FN30 TBA 04.5000 07/01/2047 1.76%
FHR 3835 FO PO 00.0000 04/15/2041 1.72%
ANHEUSER-BUSCH INBEV FIN 01.9000 02/01/2019 1.19%
AIR LEASE CORP 02.6250 09/04/2018 1.14%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 1.04%
FHR 3852 NT 04.8411 05/15/2041 1.03%
CWALT 2005-59 1A1 01.5422 11/20/2035 0.98%
THE BOEING COMPANY 08.7500 08/15/2021 0.94%
CSMC 2008-C1 AJ P/P 144A 06.5200 02/15/2041 0.91%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.90%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.87%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.85%
CWALT 2006-OA7 1A2 01.6716 06/25/2046 0.81%
S&P GLOBAL INC 03.3000 08/14/2020 0.81%
MSBAM 2013-C10 E P/P 144A 04.2190 07/15/2046 0.70%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.68%
CVS HEALTH CORP 04.7500 12/01/2022 0.67%
COMM 2013-CR11 XA IO 01.1379 08/10/2050 0.64%
ROYAL BK SCOTLND USD 04.7000 07/03/2018 0.64%
BSCMS 2006-PW11 B P/P 144A 05.3019 03/11/2039 0.62%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.61%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.61%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.53%
DBUBS 2011-LC3A D P/P 144A 05.3457 08/10/2044 0.52%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.51%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.51%
WFCM 2014-LC18 D P/P 144A 03.9570 12/15/2047 0.51%
GNR 2016-H13 IK IO 02.5830 06/20/2066 0.50%
BANK OF AMERICA CORP 02.0000 01/11/2018 0.49%
KEYCORP 02.3000 12/13/2018 0.49%
MSBAM 2013-C13 XA IO 01.2778 11/15/2046 0.49%
MSBAM 2014-C17 D P/P 144A 04.6974 08/15/2047 0.49%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.49%
METLIFE INC. 04.7500 02/08/2021 0.48%
UBSBB 2013-C5 XA IO P/P 144A 01.0082 03/10/2046 0.48%
VODAFONE GROUP PLC USD 01.2500 09/26/2017 0.48%
WAMU 2005-AR13 A1C3 01.7061 10/25/2045 0.48%
BACM 2005-1 B 05.3775 11/10/2042 0.47%
JPMCC 2012-C8 D P/P 144A 04.8071 10/15/2045 0.47%
CAS 2016-C02 1B 13.4661 09/25/2028 0.45%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.45%
STACR 2015-DNA3 B 10.5661 04/25/2028 0.45%
JPMCC 2011-C3 E P/P 144A 05.8007 02/15/2046 0.44%
AUTONATION INC 06.7500 04/15/2018 0.43%
CAS 2015-C04 1M2 06.9161 04/25/2028 0.43%
EXPEDIA INC 05.0000 02/15/2026 0.43%
JPMCC 2013-C10 XA IO 01.2634 12/15/2047 0.43%
COMM 2014-CR19 XA IO 01.2398 08/10/2047 0.42%
WFCM 2013-LC12 D P/P 144A 04.4307 07/15/2046 0.41%
CWCI 2007-C3 AJ 06.0607 05/15/2046 0.38%
FED REPUBLIC OF BRAZIL USD 04.8750 01/22/2021 0.38%
GNR 2015-H19 NI IO 01.9092 07/20/2065 0.38%
GNR 2017-H06 BI IO 02.2858 02/20/2067 0.38%
AT&T INC 03.0000 06/30/2022 0.37%
ASTRAZENECA PLC USD 05.9000 09/15/2017 0.36%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.36%
COVIDIEN INTlL FIN USD 06.0000 10/15/2017 0.36%
DISH DBS CORP 04.2500 04/01/2018 0.36%
SERVICE CORP INTL 05.3750 01/15/2022 0.36%
CAS 2016-C03 2M2 07.1161 10/25/2028 0.35%
COMMUNITY HEALTH TLH L+300 04.2077 01/27/2021 0.35%
CONOCOPHILLIPS COMPANY 01.0500 12/15/2017 0.35%
CVS HEALTH CORP 02.2500 12/05/2018 0.35%
EBAY INC 01.3500 07/15/2017 0.35%
GSMS 2012-GC6 D P/P 144A 05.6522 01/10/2045 0.35%
JPMORGAN CHASE & CO 02.0000 08/15/2017 0.35%
ROYAL BANK OF CANADA USD 02.2000 07/27/2018 0.35%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.34%
BSCMS 2007-T26 AJ 05.5353 01/12/2045 0.34%
AMERICAN EXPRESS COMPANY 07.0000 03/19/2018 0.33%
VERIZON COMM 02.9460 03/15/2022 0.33%
WFCM 2014-LC16 XA IO 01.5482 08/15/2050 0.33%
WFRBS 2012-C9 XB IO P/P 144A 00.8639 11/15/2045 0.33%
WFRBS 2012-C7 D P/P 144A 04.9849 06/15/2045 0.32%
FNR 2011-4 CS 10.4678 05/25/2040 0.31%
WFRBS 2013-C15 D P/P 144A 04.6285 08/15/2046 0.31%
GSMS 2013-GC10 E P/P 144A 04.4098 02/10/2046 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%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.29%
ARCHER-DANIELS-MIDLAND C 05.4500 03/15/2018 0.28%
FNR 2013-27 PI IO 03.0000 12/25/2041 0.28%
GNR 2015-H09 BI IO 01.6896 03/20/2065 0.28%
GNR 2015-H25 EI IO 01.8460 10/20/2065 0.28%
GSMS 2013-GC12 D P/P 144A 04.4464 06/10/2046 0.28%
STACR 2015-DN1 B 12.7161 01/25/2025 0.28%
WFRBS 2012-C10 D P/P 144A 04.5944 12/15/2045 0.28%
CCC INFO 1STL L+300 04.2300 03/30/2024 0.27%
COMM 2014-UBS6 XA IO 01.0295 12/10/2047 0.27%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.27%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.27%
JPMBB 2013-C14 D P/P 144A 04.7206 08/15/2046 0.27%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.27%
REP OF INDONESIA P/P 144A 03.3750 04/15/2023 0.27%
BCAP 2012-RR5 4A8 01.1936 06/26/2035 0.26%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.26%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.26%
GNR 2016-H02 BI IO 02.0362 11/20/2065 0.26%
MACQUARIE BANK LTD P/P 144A 04.0000 07/29/2025 0.26%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.26%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.26%
STACR 2015-DNA2 B 08.7661 12/25/2027 0.26%
CGCMT 2013-GC17 X IO 01.4334 11/10/2046 0.25%
FNR 2012-68 BS IO 04.7839 07/25/2042 0.25%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.25%
GNR 2014-H14 CI IO 01.5854 07/20/2064 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%
GNR 2015-H25 AI IO 01.6137 09/20/2065 0.25%
GOLDMAN SACHS GROUP INC 02.3750 01/22/2018 0.25%
JPMBB 2013-C17 D P/P 144A 05.0488 01/15/2047 0.25%
JPMCC 2007-CB20 B P/P 144A 06.3104 02/12/2051 0.25%
WFRBS 2012-C10 E P/P 144A 04.5944 12/15/2045 0.25%
ADS WASTE TLB L+275 03.5000 10/28/2023 0.24%
CALPINE CONSTRUCT TLB2 L+250 03.7300 01/31/2022 0.24%
CWALT 2005-27 1A1 01.5623 08/25/2035 0.24%
FHR 4136 IW IO 03.5000 10/15/2042 0.24%
REP OF ARGENTINA USD 07.1250 07/06/2036 0.24%
TENET HEALTHCARE COR 04.7456 06/15/2020 0.24%
VALEANT PHARMA TLBF1 L+475 05.9800 04/01/2022 0.24%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.23%
CAS 2016-C03 1B 12.9661 10/25/2028 0.23%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.23%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.23%
GNR 2016-77 SC IO 04.8878 10/20/2045 0.23%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.23%
HCA INC 06.5000 02/15/2020 0.23%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.23%
LANDRY'S TLB L+275 03.9706 10/04/2023 0.23%
SPST 2017-1 A 02.1161 02/25/2049 0.23%
WBCMT 2006-C26 AJ 06.3084 06/15/2045 0.23%
BELDEN INC P/P 144A 05.5000 09/01/2022 0.22%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.22%
CHARTER COMM TLE L+200 03.2300 07/01/2020 0.22%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.22%
FHR 4150 DI IO 03.0000 01/15/2043 0.22%
FHR 4182 PI IO 03.0000 12/15/2041 0.22%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.22%
GNR 2015-H10 EI IO 01.6358 04/20/2065 0.22%
GSMS 2014-GC18 XA IO 01.1250 01/10/2047 0.22%
MOOG INC P/P 144A 05.2500 12/01/2022 0.22%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.22%
PPDI TL L+275 04.0134 08/18/2022 0.22%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.22%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.22%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.21%
ARDAGH PKG FIN/HLDGS P/P 144A 04.2500 09/15/2022 0.21%
BANK OF AMERICA CORP 01.7000 08/25/2017 0.21%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.21%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.21%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.21%
GNR 2015-111 IJ IO 03.5000 08/20/2045 0.21%
GNR 2015-162 BI IO 04.0000 11/20/2040 0.21%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.21%
INTELSAT JACKSON TLB2 L+275 04.0003 06/30/2019 0.21%
JO-ANN STORES TL L+500 06.0000 10/21/2023 0.21%
KMG CHEMICALS TLB L+425 05.4089 06/15/2024 0.21%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.21%
RESTAURANT BRANDS TLB L+225 03.5035 02/17/2024 0.21%
RITE AID 2NDL L+387.5 04.8750 06/07/2021 0.21%
SELECT INCOME REIT 02.8500 02/01/2018 0.21%
SELECT INCOME REIT 03.6000 02/01/2020 0.21%
UBS GROUP FUNDIN P/P 144A 03.0000 04/15/2021 0.21%
WAMU 2005-AR10 1A3 02.8076 09/25/2035 0.21%
WFRBS 2011-C4 E P/P 144A 05.4143 06/15/2044 0.21%
WIDEOPENWEST TLB L+325 04.2500 08/06/2023 0.21%
AMAYA GAMING TLB L+350 04.7964 08/01/2021 0.20%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.20%
COMM 2014-CR17 C 04.7349 05/10/2047 0.20%
CSAIL 2015-C1 D P/P 144A 03.9422 04/15/2050 0.20%
ELDORADO RESORTS TLB L+225 03.5625 04/17/2024 0.20%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.20%
JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 0.20%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.20%
SBERBANK (SB CAP SA) P/P 144A 05.1250 10/29/2022 0.20%
AMERICAN EXPRESS CO 06.1500 08/28/2017 0.19%
FIRST DATA TL L+225 03.4661 07/10/2022 0.19%
GNR 2015-H18 IA IO 01.8266 06/20/2065 0.19%
INFOR US INC P/P 144A 05.7500 08/15/2020 0.19%
JPMBB 2014-C19 XA IO 01.3314 04/15/2047 0.19%
JPMCC 2007-CB20 C P/P 144A 06.3104 02/12/2051 0.19%
TMS INTL TLB L+350 04.6717 10/16/2020 0.19%
UBS AG LONDON P/P 144A 02.2000 06/08/2020 0.19%
ASURION TLB4 L+325 04.4761 08/04/2022 0.18%
CFCRE 2011-C1 E P/P 144A 06.2810 04/15/2044 0.18%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.18%
GNR 2015-H28 DI IO 01.5519 08/20/2065 0.18%
SOUTHERN COPPER CORP USD 05.8750 04/23/2045 0.18%
SYNIVERSE HLDG TLB L+300 04.1718 04/23/2019 0.18%
CGCMT 2014-GC21 X IO 01.2550 05/10/2047 0.17%
ENERGY TRANSFER EQ TL L+275 02.7500 02/02/2024 0.17%
FHR 4193 PI IO 04.0000 03/15/2043 0.17%
FHR 4601 IC IO 04.0000 12/15/2045 0.17%
FIDELITY NATIONAL INFORM 03.6250 10/15/2020 0.17%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.17%
GSMS 2015-GC30 XA IO 00.8920 05/10/2050 0.17%
HILTON WORLDWIDE TLB2 L+200 03.2472 10/25/2023 0.17%
LIBBEY GLASS TLB L+300 04.2244 04/09/2021 0.17%
PNC BANK NA 02.0000 05/19/2020 0.17%
STACR 2016-DNA1 B 11.2161 07/25/2028 0.17%
TRIBUNE MEDIA TLB L+300 04.2261 01/27/2024 0.17%
WFCM 2012-LC5 XA IO P/P 144A 02.1539 10/15/2045 0.17%
WFRBS 2012-C10 C 04.5294 12/15/2045 0.17%
AIG GLOBAL FUNDING P/P 144A 02.1500 07/02/2020 0.16%
BERRY PLASTICS TLI L+250 03.7255 10/01/2022 0.16%
BMIR 2015-1A M2 05.5161 07/25/2025 0.16%
CGCMT 2014-GC19 X IO 01.2149 03/10/2047 0.16%
COMM 2014-CR20 XA IO 01.1713 11/10/2047 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%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.16%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.16%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.16%
JELD-WEN TLB L+300 04.2964 07/01/2022 0.16%
JPMBB 2014-C24 XA IO 01.2122 11/15/2047 0.16%
KLX INC P/P 144A 05.8750 12/01/2022 0.16%
MSC 2012-C4 XA IO P/P 144A 02.2804 03/15/2045 0.16%
PROTECTIVE LIFE GLO P/P 144A 02.2620 04/08/2020 0.16%
SCIENTIFIC GAMES TLB3 L+400 05.1078 10/01/2021 0.16%
TRANSDIGM TLD L+300 04.2915 06/04/2021 0.16%
UNITEDHEALTH GROUP INC 06.0000 02/15/2018 0.16%
USG CORP P/P 144A 05.5000 03/01/2025 0.16%
WFCM 2013-LC12 C 04.4307 07/15/2046 0.16%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.15%
DEL MONTE 1STL L+325 04.4300 02/18/2021 0.15%
FHR 4369 IA IO 03.5000 07/15/2044 0.15%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.15%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.15%
GNR 2014-115 QI IO 03.0000 03/20/2029 0.15%
GNR 2017-H11 NI IO 02.1357 05/20/2067 0.15%
LLOYDS BANKING GROUP USD 05.3000 12/01/2045 0.15%
NEIMAN MARCUS TL L+325 04.4744 10/25/2020 0.15%
STACR 2015-DNA3 M3 05.9161 04/25/2028 0.15%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.15%
TENET HEALTHCARE 06.2500 11/01/2018 0.15%
UNIVISION TLC5 L+275 03.9761 03/15/2024 0.15%
VISTRA TLB L+275 03.5000 08/04/2023 0.15%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.15%
ACADEMY SPORTS TLB L+400 05.1964 07/02/2022 0.14%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.14%
FNR 2014-76 IO IO 03.5000 11/25/2039 0.14%
GATES GLOBAL TLB L+325 04.5464 03/31/2024 0.14%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.14%
GNR 2017-H03 DI IO 02.2076 12/20/2066 0.14%
GSAA 2005-15 2A2 01.4661 01/25/2036 0.14%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.14%
SOCIETE GENERALE USD 02.7500 10/12/2017 0.14%
STACR 2017-DNA2 B1 06.3661 10/25/2029 0.14%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.14%
ANHEUSER-BUSCH INBEV FIN 01.2500 01/17/2018 0.13%
CERIDIAN TLB2 L+350 04.7261 09/15/2020 0.13%
CGCMT 2012-GC8 XA IO P/P 144A 01.8343 09/10/2045 0.13%
COMM 2012-CR3 E P/P 144A 04.9266 10/15/2045 0.13%
FHR 4213 GI IO 04.0000 11/15/2041 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 01.5794 06/20/2061 0.13%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.13%
GNR 2013-53 IA IO 04.0000 12/20/2026 0.13%
JPMBB 2014-C24 D P/P 144A 04.0719 11/15/2047 0.13%
WFRBS 2011-C5 E P/P 144A 05.8613 11/15/2044 0.13%
WFRBS 2011-C5 XA IO P/P 144A 01.9276 11/15/2044 0.13%
2.20 R ISWP FWD USL3M P 09/20/2027 0.12%
AUTONATION INC. 05.5000 02/01/2020 0.12%
CALPINE CONS FIN TLB1 L+225 03.4800 05/03/2020 0.12%
CWHL 2005-3 1A1 01.8361 04/25/2035 0.12%
FHR 4158 TI IO 03.0000 12/15/2042 0.12%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.12%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.12%
GNR 2011-H08 GI IO 01.2599 03/20/2061 0.12%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.12%
JPMBB 2014-C25 D P/P 144A 04.0958 11/15/2047 0.12%
LENNAR CORP 04.7500 11/15/2022 0.12%
ORTHO-CLINICAL TLB L+375 05.0464 06/30/2021 0.12%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.12%
SAMI 2007-AR1 2A1 01.3961 01/25/2037 0.12%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.12%
WFRBS 2011-C4 D P/P 144A 05.4143 06/15/2044 0.12%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.11%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.11%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.11%
FHR 2990 LB 13.9837 06/15/2034 0.11%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.11%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.11%
LENNAR CORPORATION 04.7500 04/01/2021 0.11%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.11%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 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%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.11%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.11%
CITYCENTER TLB L+250 03.7156 04/18/2024 0.10%
COMM 2014-LC15 XA IO 01.5084 04/10/2047 0.10%
CPG INTL TL L+375 05.0464 05/03/2024 0.10%
CWALT 2006-OA7 1A1 02.3144 06/25/2046 0.10%
ENBRIDGE INC USD 04.2500 12/01/2026 0.10%
FHR 4206 IP IO 03.0000 12/15/2041 0.10%
GNR 2014-145 PI IO 03.5000 10/20/2029 0.10%
GRIFOLS TLB L+225 03.2879 01/31/2025 0.10%
IASIS HEALTHCARE TLB L+400 05.2964 02/17/2021 0.10%
JPMBB 2014-C26 D P/P 144A 04.0686 01/15/2048 0.10%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.10%
SPRINT TLB L+250 03.7500 02/02/2024 0.10%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.10%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.10%
WERNER TLB L+400 05.0000 06/22/2024 0.10%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.09%
AMERICAN CASINO TLB L+325 04.4761 07/07/2022 0.09%
BACM 2006-4 AJ 05.6950 07/10/2046 0.09%
CAESARS GROWTH PROP TL L+300 04.2261 05/08/2021 0.09%
CHUCK E CHEESE'S TLB L+300 04.2261 02/14/2021 0.09%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.09%
GNR 2011-17 S IO 04.8378 02/20/2041 0.09%
GNR 2017-H02 BI IO 02.3120 01/20/2067 0.09%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.09%
INFOR TLB6 L+275 03.7500 02/01/2022 0.09%
JPMCC 2007-CB20 AJ 06.2104 02/12/2051 0.09%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.09%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.09%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.09%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.09%
TRANSDIGM TLC L+300 04.2837 02/28/2020 0.09%
UBSBB 2012-C2 XA IO P/P 144A 01.3829 05/10/2063 0.09%
AMER ENERGY MARC 1STL L+425 05.4744 08/04/2020 0.08%
CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 0.08%
CAS 2015-C01 1M2 05.5161 02/25/2025 0.08%
COMM 2014-UBS4 XA IO 01.2342 08/10/2047 0.08%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.08%
GNR 2016-H11 HI IO 02.0821 01/20/2066 0.08%
GSMS 2013-GC12 C 04.1790 06/10/2046 0.08%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.08%
HELLENIC REPUBLIC REGS 03.0000 02/24/2024 0.08%
JPMBB 2014-C19 C 04.8212 04/15/2047 0.08%
JPMORGAN CHASE & CO 03.8750 09/10/2024 0.08%
MSBAM 2014-C14 C 04.9900 02/15/2047 0.08%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.08%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.08%
US TREASURY N/B 02.0000 09/30/2020 0.08%
1.90 R ISWP FWD USL3M P 09/20/2022 0.07%
CWALT 2006-OA10 4A1 01.4061 08/25/2046 0.07%
FNR 2012-129 IJ IO 03.5000 12/25/2032 0.07%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.07%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.07%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.07%
HELLENIC REPUBLIC REGS 03.0000 02/24/2036 0.07%
JPMCC 2012-LC9 D P/P 144A 04.5352 12/15/2047 0.07%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.07%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.07%
STACR 2016-DNA2 B 11.7161 10/25/2028 0.07%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 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%
0.75 R ISWP FWD GBL6M P 09/20/2022 0.06%
CAS 2015-C01 2M2 05.7661 02/25/2025 0.06%
COMM 2006-C8 AJ 05.3770 12/10/2046 0.06%
CSFB 2005-C3 B 04.8820 07/15/2037 0.06%
FHR 3072 SM 04.2533 11/15/2035 0.06%
FNR 2007-53 SP 19.7409 06/25/2037 0.06%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.06%
GNR 2013-99 VS IO 04.9283 07/16/2043 0.06%
HOST HOTELS & RESORTS 05.2500 03/15/2022 0.06%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 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%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.06%
FEDEX 2012 TRUST P/P 144A 02.6250 01/15/2018 0.05%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.05%
VANTAGE DRILLING INT-UNIT 0.05%
2.15 R ISWP FWD USL3M P 06/27/2027 0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.04%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.04%
FHR 3249 PS 18.4507 12/15/2036 0.04%
FNR 2005-75 GS 16.6017 08/25/2035 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.04%
HESS CORP 07.3000 08/15/2031 0.04%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.04%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.04%
SEK/USD 09/20/2017 SSBT 0.04%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.04%
SWPTN 1MX10Y P 1.0625 GBP 07/14/2017 BC 0.04%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.04%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.04%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 5WX10Y P 1.095 GBP 07/17/2017 GS 0.04%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.04%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.04%
CAS 2014-C03 1M2 04.2161 07/25/2024 0.03%
CAS 2015-C02 2M2 05.2161 05/25/2025 0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.03%
FHR 2976 LC 20.1707 05/15/2035 0.03%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 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 3MX2Y P 0.5715 GBP 08/17/2017 RB 0.03%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.03%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.03%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.03%
VISTRA TLC L+275 03.5000 08/04/2023 0.03%
-0.30 R ISWP FWD CHL6M P 09/20/2022 0.02%
0.30 R ISWP FWD SES3M P 09/20/2022 0.02%
1.505 R ISWP CDOR03 P 06/23/2022 0.02%
2.18 R ISWP FWD USL3M P 07/13/2027 0.02%
CAD/USD 07/19/2017 WPAC 0.02%
CAS 2016-C06 1M2 05.4661 04/25/2029 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
FNR 2005-74 NK 21.4195 05/25/2035 0.02%
FNS 397 2 IO 05.0000 09/25/2039 0.02%
FNW 1998-W2 X IO 00.0492 06/25/2028 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 2MX10Y P 2.325 USD 07/25/2017 CS 0.02%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 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 3MX10Y R 2.3724 USD 08/11/2017 CS 0.02%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.02%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.02%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.02%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.01%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.01%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.01%
1.15 R ISWP FWD GBL6M P 09/20/2027 0.01%
2.60 R ISWP BUBOR06M P 03/01/2027 0.01%
2.65 R ISWP BUBOR06M P 02/28/2027 0.01%
2.905 R ISWP BUBOR06M P 03/20/2027 0.01%
7.73 R ISWP MXIBTIIE P 04/22/2032 0.01%
7.785 R ISWP JIBA3M P 03/24/2027 0.01%
AUD/USD 07/19/2017 BANKAM 0.01%
AUD/USD 07/19/2017 RBSF 0.01%
CAD/USD 07/19/2017 BCAP-FX 0.01%
CAD/USD 07/19/2017 CITI 0.01%
CAD/USD 07/19/2017 CSI-FX 0.01%
CAD/USD 07/19/2017 RBSF 0.01%
CAD/USD 07/19/2017 UBS 0.01%
CAS 2015-C02 1M2 05.2161 05/25/2025 0.01%
CHF/USD 09/20/2017 BCAP-FX 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.01%
CONTL AIRLINES 1998-1 06.6480 09/15/2017 0.01%
CPTFEMU R 0.27 P 08/31/17 GS 0.01%
CPTFEMU R 0.37 P 09/01/17 GS 0.01%
EUR/USD 09/20/2017 HSBCB 0.01%
EUR/USD 09/20/2017 RBSF 0.01%
EUR/USD 09/20/2017 UBS 0.01%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.01%
FNW 1998-W5 X IO 00.3167 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 02/24/2033 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
NZD/USD 07/19/2017 BCAP-FX 0.01%
NZD/USD 07/19/2017 HSBCB 0.01%
NZD/USD 07/19/2017 JPMCB 0.01%
SEK/USD 09/20/2017 BANKAM 0.01%
SEK/USD 09/20/2017 BCAP-FX 0.01%
SEK/USD 09/20/2017 GSFX 0.01%
SEK/USD 09/20/2017 JPMCB 0.01%
SEK/USD 09/20/2017 UBS 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.01%
SWPTN 3MX2Y P 0.561 GBP 08/18/2017 RB 0.01%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.01%
SWPTN 6MX1Y P 0.51 GBP 09/18/2017 BC 0.01%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.01%
TRIBUNE MEDIA TLB L+300 04.2261 12/27/2020 0.01%
USD/CNH PUT 6.70 20171006 GSFX 0.01%
USD/CNH PUT 6.70 20171013 BANKAM 0.01%
USD/JPY PUT 107.00 20171106 BANKAM 0.01%
-0.104 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.124 R ISWP FWD EONIA P 02/18/2020 0.00%
0.15 R ISWP FWD CHL6M P 09/20/2027 0.00%
0.69 R ISWP BUBOR06M P 03/01/2019 0.00%
0.745 R ISWP BUBOR06M P 03/20/2019 0.00%
1.45 R ISWP FWD NOKOIB6M P 09/20/2022 0.00%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
1.95 R ISWP FWD CDOR03 P 09/20/2027 0.00%
2.75 R ISWP FWD NFIX3MID P 09/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 06/28/2027 0.00%
3.0475 R ISWP FWD NFIX3MID P 03/29/2020 0.00%
7.11 R ISWP JIBA3M P 03/24/2019 0.00%
7.305 R ISWP JIBA3M P 03/09/2019 0.00%
7.67 R ISWP MXIBTIIE P 03/12/2032 0.00%
8.32625 R ISWP JIBA3M P 10/11/2026 0.00%
AUD/USD 07/19/2017 BCAP-FX 0.00%
AUD/USD 07/19/2017 CSI-FX 0.00%
AUD/USD 07/19/2017 GSFX 0.00%
AUD/USD 07/19/2017 HSBCB 0.00%
AUD/USD 07/19/2017 JPMCB 0.00%
AUD/USD 07/19/2017 SSBT 0.00%
BACM 2004-4 XC IO P/P 144A 00.0164 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4118 01/15/2049 0.00%
BRL/USD 10/03/2017 CITI 0.00%
CAD/USD 07/19/2017 BANKAM 0.00%
CAD/USD 07/19/2017 GSFX 0.00%
CAD/USD 07/19/2017 HSBCB 0.00%
CAD/USD 07/19/2017 JPMCB 0.00%
CAD/USD 07/19/2017 SSBT 0.00%
CHF/USD 09/20/2017 GSFX 0.00%
CHF/USD 09/20/2017 JPMCB 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.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-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 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 0.435 P 09/15/17 BC 0.00%
CPTFEMU R 0.46 P 09/15/17 BC 0.00%
CPTFEMU R 0.4975 P 09/15/17 BC 0.00%
CPTFEMU R 0.63 P 08/10/17 GS 0.00%
CPTFEMU R 0.63 P 08/11/17 GS 0.00%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2518 05/15/2038 0.00%
EUR/USD 09/20/2017 BANKAM 0.00%
EUR/USD 09/20/2017 BCAP-FX 0.00%
EUR/USD 09/20/2017 CITI 0.00%
EUR/USD 09/20/2017 JPMCB 0.00%
EUR/USD 09/20/2017 SSBT 0.00%
EUR/USD 09/20/2017 WPAC 0.00%
EURO-OAT FUTURE SEP17 OATU7 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2724 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4414 11/15/2028 0.00%
GBP/USD 09/20/2017 BCAP-FX 0.00%
GBP/USD 09/20/2017 CSI-FX 0.00%
GBP/USD 09/20/2017 GSFX 0.00%
GBP/USD 09/20/2017 JPMCB 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%
INR/USD 08/16/2017 BANKAM 0.00%
INR/USD 08/16/2017 GSFX 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 CS 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%
JPY/USD 08/16/2017 BANKAM 0.00%
JPY/USD 08/16/2017 BCAP-FX 0.00%
JPY/USD 08/16/2017 CITI 0.00%
JPY/USD 08/16/2017 CSI-FX 0.00%
JPY/USD 08/16/2017 GSFX 0.00%
JPY/USD 08/16/2017 JPMCB 0.00%
JPY/USD 08/16/2017 RBSF 0.00%
JPY/USD 08/16/2017 SSBT 0.00%
JPY/USD 08/16/2017 UBS 0.00%
LBUBS 2007-C2 XW IO 00.4577 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 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 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%
MXN/USD 07/19/2017 CITI 0.00%
MXN/USD 07/19/2017 JPMCB 0.00%
NOK/USD 09/20/2017 CITI 0.00%
NOK/USD 09/20/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 RBSF 0.00%
SEK/USD 09/20/2017 CSI-FX 0.00%
SEK/USD 09/20/2017 RBSF 0.00%
SGD/USD 08/16/2017 BANKAM 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 3MX10Y R 1.005 GBP 08/18/2017 RB 0.00%
SWPTN 3MX10Y R 1.0436 GBP 08/17/2017 RB 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS 0.00%
SWPTN 3MX2Y P -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS 0.00%
SWPTN 3MX2Y R -0.108 EUR 08/02/2017 GS 0.00%
SWPTN 3MX2Y R 0.561 GBP 08/18/2017 RB 0.00%
SWPTN 3MX2Y R 0.5715 GBP 08/17/2017 RB 0.00%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y P 0.36125 EUR 08/02/2017 GS 0.00%
SWPTN 3MX5Y R 0.15875 EUR 08/02/2017 GS 0.00%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX1Y P 1.736 USD 09/18/2017 BC 0.00%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
TRY/USD 09/20/2017 RBSF 0.00%
TRY/USD 09/20/2017 UBS 0.00%
TWD/USD 08/16/2017 CITI 0.00%
US 10YR ULTRA FUT SEP17 UXYU7 0.00%
USD/CNH PUT 6.60 20171006 GSFX 0.00%
USD/CNH PUT 6.60 20171013 BANKAM 0.00%
WBCMT 2006-C29 IO IO 00.4944 11/15/2048 0.00%
ZAR/USD 07/19/2017 GSFX 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.715 R ISWP BUBOR06M P 02/28/2019 -0.01%
1.10 R ISWP FWD SES3M P 09/20/2027 -0.01%
1.60 R ISWP FWD CDOR03 P 09/20/2022 -0.01%
1.8165 R ISWP USL3M P 06/27/2022 -0.01%
1.90 R ISWP FWD NOKOIB6M P 09/20/2027 -0.01%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.01%
1.95 R ISWP FWD USL3M P 09/20/2022 -0.01%
2.25 R ISWP FWD USL3M P 09/20/2027 -0.01%
3.25 R ISWP FWD NFIX3MID P 09/20/2027 -0.01%
8.12 R ISWP MXIBTIIE P 12/24/2026 -0.01%
8.20 R ISWP MXIBTIIE P 01/07/2027 -0.01%
AUD/USD 07/19/2017 CITI -0.01%
AUD/USD 07/19/2017 UBS -0.01%
AUD/USD 07/19/2017 WPAC -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.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 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%
EUR/USD 09/20/2017 GSFX -0.01%
GBP/USD 09/20/2017 CITI -0.01%
GBP/USD 09/20/2017 SSBT -0.01%
IOS.FN30.400.13 P USL1M R 01/12/44 JP -0.01%
MXN/USD 07/19/2017 BANKAM -0.01%
NOK/USD 09/20/2017 BANKAM -0.01%
NOK/USD 09/20/2017 GSFX -0.01%
NOK/USD 09/20/2017 JPMCB -0.01%
NOK/USD 09/20/2017 RBSF -0.01%
NOK/USD 09/20/2017 SSBT -0.01%
NOK/USD 09/20/2017 UBS -0.01%
NZD/USD 07/19/2017 GSFX -0.01%
NZD/USD 07/19/2017 SSBT -0.01%
SEK/USD 09/20/2017 CITI -0.01%
SGD/USD 08/16/2017 HSBCB -0.01%
SGD/USD 08/16/2017 SSBT -0.01%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.01%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.01%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.01%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.01%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.01%
SWPTN 3MX10Y P 1.267 GBP 08/18/2017 RB -0.01%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI -0.01%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.01%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.01%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.01%
USD/JPY PUT 103.00 20171106 BANKAM -0.01%
ZAR/USD 07/19/2017 CITI -0.01%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.02%
2.45 R ISWP FWD USL3M P 09/20/2047 -0.02%
2.60 R ISWP FWD AUDBB6M P 06/28/2022 -0.02%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -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 BA -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.02%
NZD/USD 07/19/2017 UBS -0.02%
NZD/USD 07/19/2017 WPAC -0.02%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.02%
SWPTN 3MX10Y P 1.3056 GBP 08/17/2017 RB -0.02%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.02%
SWPTN 5WX10Y P 1.207 GBP 07/17/2017 GS -0.02%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -0.02%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 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 2MX10Y P 2.5975 USD 08/30/2017 GS -0.02%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.03%
0.20 R ISWP FWD EURIBOR6MD P 09/20/2022 -0.03%
NZD/USD 07/19/2017 BANKAM -0.03%
SWPTN 1MX10Y P 1.1625 GBP 07/14/2017 BC -0.03%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.03%
SWPTN 5WX10Y P 1.151 GBP 07/17/2017 GS -0.03%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.03%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.03%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.03%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.03%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.03%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04%
NZD/USD 07/19/2017 CITI -0.04%
SWPTN 1MX10Y P 1.1125 GBP 07/14/2017 BC -0.04%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.04%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.04%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -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%
2.11504 R ISWP USL3M P 06/26/2027 -0.05%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.05%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -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 2YX28Y P 2.7175 USD 01/24/2019 BA -0.06%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.06%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.06%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.06%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.06%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.07%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.07%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.07%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.07%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.07%
0.80 R ISWP FWD EURIBOR6MD P 09/20/2027 -0.08%
FLR USL3M 6.00 03/07/2018 JP -0.08%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.09%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.09%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.10%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.11%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.11%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.14%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.14%
CDX CDX.NA.HY.28 500.0 06/20/2022 -0.16%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.30%
FNMA FN30 TBA 04.0000 07/01/2047 -1.73%
FNMA FN30 TBA 03.0000 07/01/2047 -3.49%

Prior top 10 holdings

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
Top 10 holdings as of 07/31/17
Net cash
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Fhr 3835 Fo Po 00.0000 04/15/2041
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
Fhr 3852 Nt 04.7744 05/15/2041
The Boeing Company 08.7500 08/15/2021
Holdings represent 38.53% of portfolio
Top 10 holdings as of 06/30/17
Net cash
Fnma Fn30 Tba 03.5000 08/01/2047
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 02.5000 07/01/2047
Fnma Fn30 Tba 02.5000 08/01/2047
Fnma Fn30 Tba 04.5000 07/01/2047
Fhr 3835 Fo Po 00.0000 04/15/2041
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 41.27% of portfolio

Portfolio composition as of 09/30/17

Commercial MBS 24.29%
Investment-grade corporate bonds 21.28%
Agency CMO 18.75%
Agency pass-through 17.92%
Net cash 15.75%
Bank loans 8.43%
Residential MBS (non-agency) 6.83%
Emerging-market bonds 4.76%
High-yield corporate bonds 2.29%
International Treasury/agency 1.85%
Asset-backed securities (ABS) 0.24%
U.S. Treasury/agency 0.08%
Equity investments 0.06%

Fixed income statistics as of 09/30/17

Average effective maturity 5.94 yrs.
Average effective duration -0.82 yrs.
Average yield to maturity 4.00%
Average coupon 4.14%
Average price $83.21

Maturity detail as of 09/30/17

0 - 1 yr. -0.59%
1 - 5 yrs. 36.55%
5 - 10 yrs. 59.45%
10 - 15 yrs. 2.65%
Over 15 yrs. 1.94%

Quality rating as of 09/30/17

AAA 44.73%
AA 2.58%
A 15.94%
BBB 18.06%
BB 12.13%
B 8.62%
CCC and Below 4.34%
Not Rated -6.40%

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


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