Absolute Return 500 Fund  (PJMYX)

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 500 basis points (or 5.00%) 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 $11.42
0.09% | $0.01
$11.44
09/11/17
$10.70
11/14/16
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.

5.33%

Best 5-year annualized return

(for period ending 03/31/14)


2.42%

Worst 5-year annualized return

(for period ending 03/31/16)


3.81%

Average 5-year annualized return


Fund facts as of 08/31/17

Total net assets
$919.01M
Turnover (fiscal year end)
522%
Dividend frequency
Annually
Number of holdings
885
Fiscal year end
October
CUSIP / Fund code
746764851 / 1860
Inception Date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PJMYX

Management team


Co-Head of Global Asset Allocation

Co-Head of Global Asset Allocation

Chief Investment Officer, Global Asset Allocation

Co-Head of Global Asset Allocation

Strategy and process

  • A wide range of securities for diversification: The fund can invest across multiple asset classes 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.

Literature


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

Performance

  • Total return (%) as of 06/30/17

  • Annual performance as of 06/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 4.38% 2.13% 3.01% 4.00%
After sales charge N/A N/A N/A N/A
BofA Merrill Lynch U.S. Treasury Bill Index 0.46% 0.26% 0.20% --

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

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 08/31/17 1.06 % -
YTD as of 09/20/17 5.35 % -

Volatility as of 08/31/17

Standard deviation (3 yrs.) 3.09%

Morningstar ratings as of 08/31/17

Multialternative Rating Funds in category
Overall (39)
3 yrs. (39)
5 yrs. (35)

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 08/31/17

Net cash 49.32%
Fnma Fn30 Tba 03.0000 10/01/2047 3.19%
Fnma Fn30 Tba 03.5000 10/01/2047 2.36%
Fnma Fn30 Tba 03.5000 09/01/2047 1.80%
S&P Gsci Light Energy Official 3x Note 9/4/2018 1.80%
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018 1.79%
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018 1.78%
Fnma Fn30 Tba 02.5000 09/01/2047 1.60%
Ishares Msci India Etf 1.24%
Technology Select Sect Spdr Sedol 2369709 1.23%
Top 10 holdings, percent of portfolio 66.11%

Full portfolio holdings as of 06/30/17

GSGLPWDL R USL1M P 12/15/20 GS 18.94%
FNMA FN30 TBA 03.5000 08/01/2047 4.32%
FNMA FN30 TBA 03.0000 07/01/2047 2.48%
UTILITIES SELECT SECTOR SPDR 2.32%
FNMA FN30 TBA 03.5000 07/01/2047 1.89%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 02/01/2018 1.77%
HEALTH CARE SELECT SECTOR 1.18%
INDUSTRIAL SELECT SECT SPDR 1.18%
MATERIALS SELECT SECTOR SPDR 1.17%
S&P GSCI TOTAL RETURN INVERSE INDEX 3X NOTE 03/02/2018 1.17%
DISH NETWORK CORP-A 1.15%
TECHNOLOGY SELECT SECT SPDR 1.14%
ISHARES MSCI INDIA ETF 1.05%
FNMA FN30 TBA 02.5000 07/01/2047 1.04%
SAMSUNG ELECTRONICS CO LTD 0.96%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.87%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 12/07/2017 0.79%
FNMA FN30 TBA 04.5000 07/01/2047 0.70%
CDX CDX.NA.HY.28 500.0 06/20/2022 0.57%
FNMA FN30 TBA 02.5000 08/01/2047 0.52%
JOHNSON & JOHNSON 0.51%
HON HAI PRECISION INDUSTRY 0.45%
BAML MLCXP2KS 3X BOFA 144A WARRANT 09/11/2017 0.44%
CITI COMMODITIES F3 VS F0 - 4X NOTE 5/29/2018 0.42%
JPMORGAN CHASE & CO 0.42%
PFIZER INC 0.38%
IND & COMM BK OF CHINA-H 0.36%
TENCENT HOLDINGS LTD 0.36%
ALTRIA GROUP INC 0.35%
MCDONALD'S CORP 0.34%
APPLE INC 0.32%
CHINA CONSTRUCTION BANK-H 0.31%
UNITEDHEALTH GROUP INC 0.30%
EXXON MOBIL CORP 0.29%
TAIWAN SEMICONDUCTOR-SP ADR 0.29%
DANAHER CORP 0.28%
PNC FINANCIAL SERVICES GROUP 0.28%
TEXAS INSTRUMENTS INC 0.28%
APPLIED MATERIALS INC 0.27%
EBAY INC 0.27%
HUMANA INC 0.27%
INTUIT INC 0.27%
KIMBERLY-CLARK CORP 0.27%
RAYTHEON COMPANY 0.27%
HONEYWELL INTERNATIONAL INC 0.26%
NORFOLK SOUTHERN CORP 0.26%
TELEKOMUNIKASI INDONESIA PER 0.26%
WALT DISNEY CO/THE 0.26%
AGRICULTURAL BANK OF CHINA-H 0.25%
CBS CORP-CLASS B NON VOTING 0.25%
NORTHROP GRUMMAN CORP 0.25%
TENAGA NASIONAL BHD 0.25%
FNMA FN30 TBA 05.5000 07/01/2047 0.24%
INDUSTRIAL BANK OF KOREA 0.24%
LG UPLUS CORP 0.24%
YPF S.A.-SPONSORED ADR 0.24%
FNMA FN30 TBA 04.0000 07/01/2047 0.23%
RICHTER GEDEON NYRT 0.23%
SAIC MOTOR CORP LTD 144A/REGS WARRANT 02/02/2018 0.23%
TJX COMPANIES INC 0.23%
AUTOMATIC DATA PROCESSING 0.22%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.22%
LOWES COMPANIES INC 0.22%
PTT GLOBAL CHEMICAL PCL-FOR 0.22%
REVLON CONS TLB L+350 04.5438 09/07/2023 0.22%
SHERWIN-WILLIAMS CO/THE 0.22%
SK TELECOM 0.22%
SMILES SA 0.22%
ZOETIS INC 0.22%
CIA SANEAMENTO BASICO DE SP 0.21%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.21%
FHS 315 PO PO 00.0000 09/15/2043 0.21%
GRUMA S.A.B.-B 0.21%
JO-ANN STORES TL L+500 06.0000 10/21/2023 0.21%
KLX INC P/P 144A 05.8750 12/01/2022 0.21%
OLD MUTUAL PLC 0.21%
SIAM CEMENT PUB CO-FOR REG 0.21%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.21%
ALIBABA GROUP HOLDING-SP ADR 0.20%
CAS 2015-C04 1M2 06.9161 04/25/2028 0.20%
FUBON FINANCIAL HOLDING CO 0.20%
QUALICORP SA 0.20%
AES CORP/VA 05.5000 04/15/2025 0.19%
ALLSTATE CORP 0.19%
BSCMS 2006-PW11 B P/P 144A 05.3282 03/11/2039 0.19%
CAESARS GROWTH PROP TL L+300 04.0447 05/08/2021 0.19%
CVS HEALTH CORP 0.19%
GUANGZHOU R&F PROPERTIES - H 0.19%
IRON MOUNTAIN INC P/P 144A 06.0000 10/01/2020 0.19%
JUNIPER NETWORKS INC 0.19%
AFLAC INC 0.18%
ALPHABET INC-CL A 0.18%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.18%
LOTTE CHEMICAL CORP 0.18%
VISTRA TLB L+275 03.5000 08/04/2023 0.18%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.17%
BANK OF COMMUNICATIONS - H 0.17%
CHINA STATE CONSTRUCTION -A 144A REGS WARRANT 01/22/2018 0.17%
DISH DBS CORP 04.2500 04/01/2018 0.17%
F5 NETWORKS INC 0.17%
GENERAL DYNAMICS CORP 0.17%
KINDER MORGAN INC 0.17%
MERCER INTL INC USD 07.7500 12/01/2022 0.17%
PPDI TL L+275 03.7938 08/18/2022 0.17%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.17%
SK HYNIX INC 0.17%
TELKOM SA SOC LTD 0.17%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.17%
BAKER HUGHES INC 0.16%
BERKSHIRE HATHAWAY INC-CL B 0.16%
CHINA RAILWAY CONSTRUCTION-H 0.16%
CHINA RAILWAY GROUP LTD-H 0.16%
CME GROUP INC 0.16%
CWALT 2006-OA7 1A2 01.6716 06/25/2046 0.16%
DBCT15SP P USL3M R 03/07/18 DE 0.16%
FHR 3852 NT 04.8411 05/15/2041 0.16%
FIDELITY NATIONAL INFO SERV 0.16%
GRUPO FINANCIERO GALICIA-ADR 0.16%
HANWHA CORPORATION 0.16%
P G & E CORP 0.16%
REP OF ARGENTINA USD 07.1250 07/06/2036 0.16%
VERIZON COMMUNICATIONS INC 0.16%
BANCO MACRO SA-ADR 0.15%
BANK NEGARA INDONESIA PERSER 0.15%
CHINA CINDA ASSET MANAGEME-H 0.15%
INDOFOOD SUKSES MAKMUR TBK P 0.15%
INFOR US INC 06.5000 05/15/2022 0.15%
SK INNOVATION CO LTD 0.15%
UNITED TRACTORS TBK PT 0.15%
ACADEMY SPORTS TLB L+400 05.1679 07/02/2022 0.14%
BANK OF CHINA LTD-H 0.14%
CAS 2016-C02 1B 13.4661 09/25/2028 0.14%
EQUITY RESIDENTIAL TR REIT 0.14%
ISBANK-C 0.14%
MARATHON PETROLEUM CORP 0.14%
MERCK & CO. INC. 0.14%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.14%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.14%
ROSS STORES INC 0.14%
SINOPEC SHANGHAI PETROCHEM-H 0.14%
ADOBE SYSTEMS INC 0.13%
ANHUI CONCH CEMENT CO LTD-H 0.13%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.13%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.13%
EDISON INTERNATIONAL 0.13%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.13%
GENTING BHD 0.13%
KOC HLDG 0.13%
MOOG INC P/P 144A 05.2500 12/01/2022 0.13%
PATHEON TLB L+325 04.4062 04/20/2024 0.13%
PEOPLES INSURANCE CO 0.13%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.13%
SAPPI LIMITED 0.13%
SCIENTIFIC GAMES TLB3 L+400 05.0624 10/01/2021 0.13%
SYSCO CORP 0.13%
TURKIYE GARANTI BANKASI 0.13%
VERTIV TLB L+400 05.0603 11/30/2023 0.13%
YY INC-ADR 0.13%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.12%
AGNC INVESTMENT CORP 0.12%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.12%
FIRST DATA TL L+250 03.7161 04/26/2024 0.12%
GREAT PLAINS ENERGY INC 0.12%
HERSHEY CO/THE 0.12%
ICAHN ENTER/FIN 04.8750 03/15/2019 0.12%
JM SMUCKER CO/THE 0.12%
LANDRY'S TLB L+275 03.9092 10/04/2023 0.12%
MICROSOFT CORP 0.12%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.12%
ON SEMICONDUCTOR TLB L+225 03.2947 03/31/2023 0.12%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.12%
POU CHEN 0.12%
STACR 2015-DN1 B 12.7161 01/25/2025 0.12%
TRAVELERS COS INC/THE 0.12%
UNIVISION TLC5 L+275 03.7947 03/15/2024 0.12%
WASTE MANAGEMENT INC 0.12%
AMAYA GAMING TLB L+350 04.5000 08/01/2021 0.11%
AMERICAN ELECTRIC POWER 0.11%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.11%
BF0101 03.5000 06/01/2056 0.11%
CAS 2016-C03 2M2 07.1161 10/25/2028 0.11%
DYNEGY TLC L+325 04.3387 02/07/2024 0.11%
FISERV INC 0.11%
GLOBANT SA 0.11%
GREAT WALL MOTOR COMPANY-H 0.11%
HARRIS CORP 0.11%
HUB INTL TLB L+325 04.4223 10/02/2020 0.11%
ITAU UNIBANCO H-SPON PRF ADR 0.11%
NAVISTAR TLB L+400 05.0900 08/07/2020 0.11%
NRG ENERGY INC 07.2500 05/15/2026 0.11%
OSHKOSH CORP 05.3750 03/01/2022 0.11%
PAMPA ENERGIA SA-SPON ADR 0.11%
RITE AID 2NDL L+387.5 04.8750 06/07/2021 0.11%
SABRE GLBL TLB L+275 03.7837 02/22/2024 0.11%
STACR 2016-DNA1 B 11.2161 07/25/2028 0.11%
STEEL DYNAMICS INC 06.3750 08/15/2022 0.11%
UFC 1STL L+325 04.4700 08/18/2023 0.11%
US BANCORP 0.11%
ANNALY CAPITAL MANAGEMENT IN 0.10%
BACM 2008-1 C P/P 144A 06.5091 02/10/2051 0.10%
BANCO DO BRASIL S.A. 0.10%
CAS 2016-C01 1B 12.9661 08/25/2028 0.10%
CHINA LESSO GROUP HOLDINGS L 0.10%
CHONGQING RURAL COMMERCIAL-H 0.10%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.10%
DBCT15LP R USL3M P 03/07/18 DE 0.10%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.10%
GNR 2015-H20 CI IO 01.9845 08/20/2065 0.10%
GNR 2016-H02 BI IO 02.0362 11/20/2065 0.10%
L3 TECHNOLOGIES INC 0.10%
MRV ENGENHARIA 0.10%
NEIMAN MARCUS TL L+325 04.3387 10/25/2020 0.10%
NETAPP INC 0.10%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.10%
PAYCHEX INC 0.10%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.10%
SHINHAN FINANCIAL GROUP LTD 0.10%
SUNTRUST BANKS INC 0.10%
ASURION TLB4 L+325 04.2947 08/04/2022 0.09%
AT&T INC 0.09%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.09%
ENERGY TRANSFER EQ TL L+275 02.7500 02/02/2024 0.09%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.09%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.09%
GNR 2015-H25 BI IO 01.9935 10/20/2065 0.09%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.09%
LIBBEY GLASS TLB L+300 04.0960 04/09/2021 0.09%
MANITOWOC FOODSERVICE L+300 04.0327 03/03/2023 0.09%
MISC BHD 0.09%
MSBAM 2013-C13 F P/P 144A 03.7070 11/15/2046 0.09%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.09%
NVR INC 0.09%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.09%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.09%
PRESIDENT CHAIN STORE CORP 0.09%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.09%
SYNIVERSE HLDG TLB L+300 04.1718 04/23/2019 0.09%
TRIBUNE MEDIA TLB L+300 04.0447 01/27/2024 0.09%
VANTIV INC - CL A 0.09%
WAMU 2005-AR13 A1C3 01.7061 10/25/2045 0.09%
AIRASIA BHD 0.08%
AMERICAN CASINO TLB L+325 04.2938 07/07/2022 0.08%
AVAYA INC TLB6 L+550 06.6665 03/31/2018 0.08%
CAS 2016-C03 1B 12.9661 10/25/2028 0.08%
CGCMT 2013-GC11 E P/P 144A 04.6023 04/10/2046 0.08%
CITYCENTER TLB L+250 03.7156 04/18/2024 0.08%
DEL MONTE 1STL L+325 04.4300 02/18/2021 0.08%
FHLMC FH30G V80357 03.5000 08/01/2043 0.08%
FNMA FN30 AU1625 03.5000 07/01/2043 0.08%
FNR 2012-68 BS IO 04.7839 07/25/2042 0.08%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.08%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.08%
GNR 2015-H24 HI IO 02.0339 09/20/2065 0.08%
GNR 2016-H03 AI IO 02.1650 01/20/2066 0.08%
JPMBB 2014-C18 D P/P 144A 04.9740 02/15/2047 0.08%
PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 0.08%
PROCTER & GAMBLE CO/THE 0.08%
STACR 2015-DNA3 B 10.5661 04/25/2028 0.08%
SYNOPSYS INC 0.08%
TENET HEALTHCARE 06.2500 11/01/2018 0.08%
TENET HEALTHCARE COR 04.7456 06/15/2020 0.08%
TRANSDIGM TLD L+300 04.1396 06/04/2021 0.08%
TRAVELPORT TLB L+325 04.4318 09/02/2021 0.08%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.08%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
AVERY DENNISON CORP 0.07%
BCAP 2012-RR5 4A8 01.1936 06/26/2035 0.07%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.07%
CDK GLOBAL INC 0.07%
CEMEX SAB DE CV P/P 144A 05.9084 10/15/2018 0.07%
FHLMC FH30G V80012 03.0000 03/01/2043 0.07%
FHR 4322 ID IO 04.5000 05/15/2043 0.07%
FHR 4604 QI IO 03.5000 07/15/2046 0.07%
FNMA FN30 AL6919 05.5000 01/01/2038 0.07%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.07%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.07%
GNR 2014-H21 AI IO 01.7544 10/20/2064 0.07%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.07%
GNR 2015-H09 BI IO 01.6896 03/20/2065 0.07%
GNR 2015-H19 NI IO 01.9092 07/20/2065 0.07%
GNR 2015-H22 GI IO 02.5754 09/20/2065 0.07%
GNR 2015-H25 AI IO 01.6137 09/20/2065 0.07%
GSMS 2013-GC10 E P/P 144A 04.5568 02/10/2046 0.07%
HCA INC 06.5000 02/15/2020 0.07%
INFOR TLB6 L+275 03.7500 02/01/2022 0.07%
JPCMPTSH P USL1M R 04/20/18 JP 0.07%
LEAR CORP 0.07%
NETEASE INC-ADR 0.07%
PHILLIPS 66 0.07%
PINNACLE FOODS INC 0.07%
REP OF INDONESIA P/P 144A 05.2500 01/17/2042 0.07%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.07%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.07%
TALBOTS INC 1STL L+450 05.5447 03/19/2020 0.07%
VOYA FINANCIAL INC 0.07%
WELLCARE HEALTH PLANS INC 0.07%
ALTABA INC 0.06%
CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 0.06%
CAMDEN PROPERTY TRUST 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.06%
CORNING INC 0.06%
DIAMOND RESORTS TLB L+600 07.0447 09/02/2023 0.06%
ECOLAB INC 0.06%
EPR PROPERTIES 0.06%
FHR 4121 AI IO 03.5000 10/15/2042 0.06%
FNR 2011-4 CS 10.4678 05/25/2040 0.06%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.06%
FORD OTOMOTIV 0.06%
GAMING AND LEISURE PROPERTIE 0.06%
GNR 2011-H08 GI IO 01.2599 03/20/2061 0.06%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.06%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.06%
GNR 2015-H09 AI IO 02.1908 04/20/2065 0.06%
GNR 2015-H10 CI IO 01.8100 04/20/2065 0.06%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.06%
GNR 2015-H24 BI IO 01.6131 08/20/2065 0.06%
GNR 2015-H25 EI IO 01.8460 10/20/2065 0.06%
GNR 2016-H04 KI IO 01.9292 02/20/2066 0.06%
GNR 2016-H08 GI IO 01.4335 04/20/2066 0.06%
GOLDEN NUGGET TL L+350 04.7082 11/21/2019 0.06%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.06%
HYUNDAI MARINE 0.06%
JPMBB 2013-C12 E P/P 144A 04.2223 07/15/2045 0.06%
JPMBB 2013-C14 E P/P 144A 04.7206 08/15/2046 0.06%
KIMBERLY-CLARK DE MEXICO-A 0.06%
ORTHO-CLINICAL TLB L+375 04.7827 06/30/2021 0.06%
PRICELINE GROUP INC/THE 0.06%
RADIANT OPTO-ELECTRONICS COR 0.06%
REPUBLIC SERVICES INC 0.06%
SAMI 2007-AR1 2A1 01.3961 01/25/2037 0.06%
SERVICEMASTER GLOBAL HOLDING 0.06%
SPY 20180615 P 210.00CITI 0.06%
TELECOM ARGENTINA SA-SP ADR 0.06%
TRIPOD TECHNOLOGY CORP 0.06%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.06%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.06%
WFRBS 2013-C15 D P/P 144A 04.6285 08/15/2046 0.06%
WIDEOPENWEST FIN 10.2500 07/15/2019 0.06%
ASURION LLC 2NDL L+750 08.5447 03/03/2021 0.05%
BIO-RAD LABORATORIES-A 0.05%
CAS 2015-C03 2M2 06.2161 07/25/2025 0.05%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.05%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.05%
CHIMERA INVESTMENT CORP 0.05%
CHINA MOBILE LTD 0.05%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.05%
CONAGRA BRANDS INC 0.05%
CWALT 2005-59 1A1 01.5422 11/20/2035 0.05%
FHR 4452 QI IO 04.0000 11/15/2044 0.05%
FHR 4501 BI IO 03.5000 10/15/2043 0.05%
FHR 4530 HI IO 04.0000 11/15/2045 0.05%
FHR 4568 MI IO 04.0000 04/15/2046 0.05%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.05%
FNR 2016-50 PI IO 03.0000 08/25/2046 0.05%
FNR 2016-98 QI IO 03.5000 02/25/2046 0.05%
FNS 421 C6 IO 04.0000 05/25/2045 0.05%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.05%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.05%
GNR 2014-182 KI IO 05.0000 10/20/2044 0.05%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.05%
GNR 2015-124 DI IO 03.5000 01/20/2038 0.05%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.05%
GNR 2015-64 PI IO 03.5000 05/20/2045 0.05%
GNR 2015-H16 XI IO 02.1280 07/20/2065 0.05%
GNR 2015-H26 GI IO 01.7930 10/20/2065 0.05%
GNR 2017-H11 NI IO 02.1357 05/20/2067 0.05%
GSMS 2013-GC16 D P/P 144A 05.4975 11/10/2046 0.05%
HASBRO INC 0.05%
IASIS HEALTHCARE TLB L+400 05.2500 02/17/2021 0.05%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.05%
LAMAR ADVERTISING CO-A 0.05%
MACQUARIE MEXICO RE 0.05%
MSBAM 2013-C11 E P/P 144A 04.5153 08/15/2046 0.05%
MSBAM 2013-C11 F P/P 144A 04.5153 08/15/2046 0.05%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.05%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05%
REYNOLDS GROUP TL L+300 04.0447 02/05/2023 0.05%
SOUTHERN CO/THE 0.05%
SPST 2017-1 A 02.1161 02/25/2049 0.05%
SPY 20180518 P 210.00JPMCB 0.05%
STARWOOD PROPERTY TRUST INC 0.05%
TALBOTS INC 2NDL L+850 09.5447 03/19/2021 0.05%
TRANSDIGM TLC L+300 04.1284 02/28/2020 0.05%
VNESHECONOMBANK(VEB) P/P 144A 05.9420 11/21/2023 0.05%
WBCMT 2006-C23 F 05.7803 01/15/2045 0.05%
0.75 R ISWP FWD GBL6M P 09/20/2022 0.04%
ADECOAGRO SA 0.04%
AIR MEDICAL TLB L+350 04.2947 04/28/2022 0.04%
AMERICAN HOME 4 RENT 0.04%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.04%
BBVA BANCO FRANCES SA-ADR 0.04%
BERRY GLOBAL GROUP INC 0.04%
BSCMS 2005-PWR7 D 05.3040 02/11/2041 0.04%
BWX TECHNOLOGIES INC 0.04%
CHUCK E CHEESE'S TLB L+300 04.0447 02/14/2021 0.04%
CIFI HOLDINGS GROUP CO LTD 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.04%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.04%
CPG INTL TL L+375 04.8968 05/03/2024 0.04%
CWALT 2005-27 1A6 02.0361 08/25/2035 0.04%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.04%
FHR 4116 MI IO 04.0000 10/01/2042 0.04%
FHR 4158 TI IO 03.0000 12/15/2042 0.04%
FHR 4389 IA IO 04.0000 09/15/2044 0.04%
FHR 4601 IC IO 04.0000 12/15/2045 0.04%
FNR 2014-76 IO IO 03.5000 11/25/2039 0.04%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.04%
GNR 2012-51 GI IO 03.5000 07/20/2040 0.04%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.04%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.04%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.04%
GNR 2015-162 BI IO 04.0000 11/20/2040 0.04%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.04%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.04%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.04%
GNR 2015-H10 EI IO 01.6358 04/20/2065 0.04%
GNR 2015-H14 BI IO 01.5886 05/20/2065 0.04%
GNR 2015-H26 EI IO 01.7165 10/20/2065 0.04%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.04%
GNR 2016-77 SC IO 04.8878 10/20/2045 0.04%
HOME DEPOT INC 0.04%
JPMCC 2007-CB20 C P/P 144A 06.5329 02/12/2051 0.04%
JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 0.04%
PROVINCIA DE BUENOS P/P REGS 24.0800 05/31/2022 0.04%
RALI 2006-QO10 A1 01.3761 01/25/2037 0.04%
REINSURANCE GROUP OF AMERICA 0.04%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.04%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.04%
SPIRIT REALTY CAPITAL INC 0.04%
SPY 20180420 P 205.00CITI 0.04%
TURKIYE HALK BANKASI 0.04%
TWENTY-FIRST CENTURY FOX-A 0.04%
ULTA BEAUTY INC 0.04%
VISTRA TLC L+275 03.5000 08/04/2023 0.04%
VNESHECONOMBANK P/P 144A 06.9020 07/09/2020 0.04%
WBCMT 2005-C21 E P/P 144A 05.4679 10/15/2044 0.04%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.04%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.04%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.04%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.04%
ZHENGZHOU YUTONG BUS 144A/REGS WARRANT 7/24/2017 0.04%
AEROFLOT PJSC 0.03%
AMDOCS LTD 0.03%
AMER ENERGY MARC 1STL L+425 05.3387 08/04/2020 0.03%
ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 0.03%
BAXTER INTERNATIONAL INC 0.03%
BCAP 2014-RR1 2A2 02.8780 01/26/2036 0.03%
CD 2007-CD5 E P/P 144A 06.5058 11/15/2044 0.03%
CHINA DONGXIANG GROUP CO 0.03%
CMLTI 2007-WFH3 M1 01.4761 06/25/2037 0.03%
COMM 2007-C9 D 05.9911 12/10/2049 0.03%
CORELOGIC INC 0.03%
CORPORATE OFFICE PROPERTIES 0.03%
DELL TECHNOLOGIES INC-CL V 0.03%
EURONET WORLDWIDE INC 0.03%
FHR 4073 AS IO 04.8911 08/15/2038 0.03%
FHR 4097 PI IO 03.5000 11/15/2040 0.03%
FHR 4121 MI IO 04.0000 10/15/2042 0.03%
FHR 4136 IW IO 03.5000 10/15/2042 0.03%
FHR 4193 PI IO 04.0000 03/15/2043 0.03%
FHR 4355 DI IO 04.0000 03/15/2044 0.03%
FHR 4601 PI IO 04.5000 12/15/2045 0.03%
FHS 303 C18 IO 03.5000 01/15/2043 0.03%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.03%
FNR 2013-1 MI IO 03.0000 01/25/2043 0.03%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.03%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.03%
FNR 2013-8 NI IO 03.0000 12/25/2042 0.03%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.03%
GENPACT LTD 0.03%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.03%
GNR 2012-141 WI IO 03.5000 11/20/2041 0.03%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.03%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.03%
GNR 2013-6 AI IO 03.5000 08/20/2039 0.03%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.03%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.03%
GNR 2015-111 IJ IO 03.5000 08/20/2045 0.03%
GNR 2015-118 EI IO 03.5000 07/20/2039 0.03%
GNR 2015-124 NI IO 03.5000 06/20/2039 0.03%
GNR 2015-H18 IA IO 01.8266 06/20/2065 0.03%
GNR 2016-H04 HI IO 02.3622 07/20/2065 0.03%
GNR 2016-H11 HI IO 02.0821 01/20/2066 0.03%
GNR 2017-H02 BI IO 02.3120 01/20/2067 0.03%
HIGHWOODS PROPERTIES INC 0.03%
JPMCC 2012-C6 F P/P 144A 05.2988 05/15/2045 0.03%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.03%
LANDSTAR SYSTEM INC 0.03%
MFA FINANCIAL INC 0.03%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.03%
OJSC RUSS AGRIC BK P/P 144A 05.2980 12/27/2017 0.03%
PETROBRAS ARGENTINA - ADR 0.03%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.03%
POOL CORP 0.03%
RETAIL PROPERTIES OF AME - A 0.03%
SCOTTS MIRACLE-GRO CO 0.03%
SONOCO PRODUCTS CO 0.03%
SPY 20180316 P 205.00JPMCB 0.03%
STACR 2016-DNA2 B 11.7161 10/25/2028 0.03%
STACR 2017-DNA2 B1 06.3661 10/25/2029 0.03%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.03%
TWO HARBORS INVESTMENT CORP 0.03%
VALEANT PHARMA TLBF1 L+475 05.8300 04/01/2022 0.03%
VANTAGE DRILLING INT-UNIT 0.03%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.03%
WALGREENS BOOTS ALLIANCE INC 0.03%
WBCMT 2006-C26 AJ 06.3084 06/15/2045 0.03%
WFMBS 2006-AR6 7A2 03.0341 03/25/2036 0.03%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.03%
WFRBS 2011-C4 E P/P 144A 05.4143 06/15/2044 0.03%
WFRBS 2012-C10 E P/P 144A 04.5944 12/15/2045 0.03%
0.30 R ISWP FWD SES3M P 09/20/2022 0.02%
1.90 R ISWP FWD USL3M P 09/20/2022 0.02%
APPLE HOSPITALITY REIT INC 0.02%
ARAMARK 0.02%
ASPEN INSURANCE HOLDINGS LTD 0.02%
ASSURED GUARANTY LTD 0.02%
AU OPTRONICS CORP 0.02%
BACM 2005-1 C 05.5567 11/10/2042 0.02%
BALTA 2004-3 B 04.1411 04/25/2034 0.02%
BRANDYWINE REALTY TRUST 0.02%
BROADRIDGE FINANCIAL SOLUTIO 0.02%
BSCMS 2006-PW11 C P/P 144A 05.3282 03/11/2039 0.02%
CHAILEASE HOLDING CO LTD 0.02%
CHARLES RIVER LABORATORIES 0.02%
CHINA HUARONG ASSET 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
EQUITY COMMONWEALTH 0.02%
FHR 3747 SA IO 05.3411 10/15/2040 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FHR 4150 DI IO 03.0000 01/15/2043 0.02%
FHR 4206 IP IO 03.0000 12/15/2041 0.02%
FHR 4462 IO IO 04.0000 04/15/2045 0.02%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.02%
FNR 2012-96 PI IO 04.0000 07/25/2041 0.02%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.02%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.02%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.02%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.02%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.02%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.02%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.02%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.02%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.02%
GNR 2014-115 QI IO 03.0000 03/20/2029 0.02%
GNR 2014-122 IC IO 05.0000 08/20/2044 0.02%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.02%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.02%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.02%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.02%
GNR 2015-H26 CI IO 00.5541 08/20/2065 0.02%
GNR 2016-H16 DI IO 02.6205 06/20/2066 0.02%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.02%
GOLDEN NUGGET DD L+450 05.5000 11/21/2019 0.02%
GSVICUI3 R 0.45 P 12/15/20 GS 0.02%
GSVIVV69 R 0.3 P 12/15/20 GS 0.02%
HUNTINGTON INGALLS INDUSTRIE 0.02%
INTERCONTINENTAL EXCHANGE IN 0.02%
JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 0.02%
KB FINANCIAL GROUP INC 0.02%
KOREA ELECTRIC POWER CORP 0.02%
LIBERTY PROPERTY TRUST 0.02%
MHL 2004-1 M2 02.2211 11/25/2034 0.02%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.02%
NASPERS LTD-N SHS 0.02%
PEPSICO INC 0.02%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.02%
POPULAR INC 0.02%
SEK/USD 09/20/2017 SSBT 0.02%
SPY 20180119 P 195.00JPMCB 0.02%
SPY 20180216 P 200.00CITI 0.02%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.02%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.02%
THERMO FISHER SCIENTIFIC INC 0.02%
WFCM 2013-LC12 D P/P 144A 04.4307 07/15/2046 0.02%
WORLD FUEL SERVICES CORP 0.02%
-0.30 R ISWP FWD CHL6M P 09/20/2022 0.01%
AMAZON.COM INC 0.01%
BACM 2005-3 AJ 04.7670 07/10/2043 0.01%
CAD/USD 07/19/2017 CITI 0.01%
CAD/USD 07/19/2017 CSI-FX 0.01%
CAD/USD 07/19/2017 UBS 0.01%
CAD/USD 07/19/2017 WPAC 0.01%
CAS 2015-C01 2M2 05.7661 02/25/2025 0.01%
CAS 2015-C02 1M2 05.2161 05/25/2025 0.01%
CAS 2015-C02 2M2 05.2161 05/25/2025 0.01%
CGCMT 2006-C4 B 06.2032 03/15/2049 0.01%
CISCO SYSTEMS INC 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.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
COLGATE-PALMOLIVE CO 0.01%
COMMERCEHUB INC-SERIES C 0.01%
CSFB 2005-C3 B 04.8820 07/15/2037 0.01%
DAVITA INC 0.01%
EMPIRE STATE REALTY TRUST-A 0.01%
EUR/USD 09/20/2017 BANKAM 0.01%
EUR/USD 09/20/2017 BCAP-FX 0.01%
EUR/USD 09/20/2017 HSBCB 0.01%
EUR/USD 09/20/2017 RBSF 0.01%
FHR 2990 LB 13.9837 06/15/2034 0.01%
FHR 3232 KS IO 05.1411 10/15/2036 0.01%
FHR 4183 MI IO 03.0000 02/15/2042 0.01%
FHR 4213 GI IO 04.0000 11/15/2041 0.01%
FNR 2005-74 NK 21.4195 05/25/2035 0.01%
FNR 2012-129 IJ IO 03.5000 12/25/2032 0.01%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.01%
FNW 1998-W2 X IO 00.0492 06/25/2028 0.01%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.01%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.01%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.01%
GNR 2013-129 SN IO 04.9378 09/20/2043 0.01%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.01%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.01%
GNR 2013-37 LI IO 03.5000 01/20/2042 0.01%
GNR 2013-90 HI IO 03.5000 04/20/2040 0.01%
GNR 2013-99 VS IO 04.9283 07/16/2043 0.01%
GRAHAM HOLDINGS CO-CLASS B 0.01%
GSMS 2006-GG8 X IO P/P 144A 01.0744 11/10/2039 0.01%
GSMS 2013-GC10 D P/P 144A 04.5568 02/10/2046 0.01%
GSVIVVOL R 0.3 P 12/15/20 GS 0.01%
HEICO CORP 0.01%
INTUITIVE SURGICAL INC 0.01%
ITAUSA-INVESTIMENTOS ITAU-PR 0.01%
JPMCC 2006-LDP7 B 06.1385 04/17/2045 0.01%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.01%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.01%
LIBERTY EXPEDIA HOLD-A 0.01%
MARRIOTT INTERNATIONAL -CL A 0.01%
NEWS CORP - CLASS B 0.01%
NZD/USD 07/19/2017 BCAP-FX 0.01%
NZD/USD 07/19/2017 HSBCB 0.01%
PARK HOTELS & RESORTS INC 0.01%
QUALITY CARE PROPERTIES 0.01%
SEK/USD 09/20/2017 BANKAM 0.01%
SEK/USD 09/20/2017 GSFX 0.01%
SEK/USD 09/20/2017 JPMCB 0.01%
SEK/USD 09/20/2017 UBS 0.01%
TRIBUNE MEDIA TLB L+300 04.0447 12/27/2020 0.01%
US FOODS HOLDING CORP 0.01%
USD/JPY PUT 107.00 20171106 BANKAM 0.01%
WILEY (JOHN) & SONS-CLASS A 0.01%
0.15 R ISWP FWD CHL6M P 09/20/2027 0.00%
1.10 R ISWP FWD SES3M P 09/20/2027 0.00%
1.15 R ISWP FWD GBL6M P 09/20/2027 0.00%
1.45 R ISWP FWD NOKOIB6M P 09/20/2022 0.00%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
1.70 R ISWP FWD USL3M P 09/20/2019 0.00%
1.95 R ISWP FWD USL3M P 09/20/2022 0.00%
2.15 R ISWP FWD USL3M P 06/27/2027 0.00%
2.18 R ISWP FWD USL3M P 07/13/2027 0.00%
2.1965 R ISWP USL3M P 06/30/2027 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%
ASURION LLC TLB2 L+325 04.2947 07/08/2020 0.00%
AUD/USD 07/19/2017 BANKAM 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 RBSF 0.00%
AUD/USD 07/19/2017 SSBT 0.00%
AUD/USD 07/19/2017 WPAC 0.00%
AUSTRALIAN DOLLAR ACCOUNT 0.00%
BACM 2004-4 XC IO P/P 144A 00.0187 07/10/2042 0.00%
BACM 2006-4 AJ 05.6950 07/10/2046 0.00%
BACM 2007-1 XW IO 00.4118 01/15/2049 0.00%
BRL/USD 10/03/2017 CITI 0.00%
CAC40 10 EURO FUT JUL17 CFN7 0.00%
CAD/USD 07/19/2017 BCAP-FX 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%
CANADIAN DOLLAR ACCOUNT 0.00%
CAS 2015-C04 2M2 06.7661 04/25/2028 0.00%
CAS 2016-C06 1M2 05.4661 04/25/2029 0.00%
CHF/USD 09/20/2017 BCAP-FX 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.BB.6 2063-05-11 500.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2518 05/15/2038 0.00%
DAX INDEX FUTURE SEP17 GXU7 0.00%
EEM US P USL1M R 12/15/20 GS 0.00%
EEM US P USL1M R 12/15/20 GS 0.00%
EEM US P USL1M R 12/15/20 GS 0.00%
EEM US P USL1M R 12/15/20 GS 0.00%
EEM US P USL1M R 12/15/20 GS 0.00%
EUR/USD 09/20/2017 CITI 0.00%
EUR/USD 09/20/2017 CSI-FX 0.00%
EUR/USD 09/20/2017 JPMCB 0.00%
EUR/USD 09/20/2017 SSBT 0.00%
EUR/USD 09/20/2017 UBS 0.00%
EUR/USD 09/20/2017 WPAC 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FNS 397 2 IO 05.0000 09/25/2039 0.00%
FNW 1998-W5 X IO 00.3167 07/25/2028 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%
FTSE 100 IDX FUT SEP17 Z U7 0.00%
GBP/USD 09/20/2017 BANKAM 0.00%
GBP/USD 09/20/2017 CITI 0.00%
GBP/USD 09/20/2017 GSFX 0.00%
GBP/USD 09/20/2017 HSBCB 0.00%
GBP/USD 09/20/2017 JPMCB 0.00%
GNR 2010-103 DI IO 04.5000 12/20/2038 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-18 PI IO 04.5000 08/20/2040 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%
GSVICUB3 R 0.45 P 12/15/20 GS 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 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.14 P USL1M R 01/12/45 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.600.08 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.FN30.650.67 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%
JPMCC 2007-CB20 AJ 06.4329 02/12/2051 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%
JPY/USD 08/16/2017 WPAC 0.00%
LBUBS 2006-C6 D 05.5020 09/15/2039 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 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 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%
MLMT 2005-MCP1 XC IO P/P 144A 00.0052 06/12/2043 0.00%
MSC 2007-HQ11 D 05.5870 02/12/2044 0.00%
NOK/USD 09/20/2017 BANKAM 0.00%
NOK/USD 09/20/2017 CITI 0.00%
NOK/USD 09/20/2017 CSI-FX 0.00%
NOK/USD 09/20/2017 GSFX 0.00%
NOK/USD 09/20/2017 JPMCB 0.00%
NOK/USD 09/20/2017 RBSF 0.00%
NOK/USD 09/20/2017 SSBT 0.00%
NOK/USD 09/20/2017 UBS 0.00%
NZD/USD 07/19/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 RBSF 0.00%
NZD/USD 07/19/2017 UBS 0.00%
S&P MID 400 EMINI SEP17 FAU7 0.00%
S&P500 EMINI FUT SEP17 ESU7 0.00%
SEK/USD 09/20/2017 CITI 0.00%
SEK/USD 09/20/2017 RBSF 0.00%
SGD/USD 08/16/2017 BANKAM 0.00%
SGD/USD 08/16/2017 HSBCB 0.00%
SGD/USD 08/16/2017 SSBT 0.00%
SPI 200 FUTURES SEP17 XPU7 0.00%
SPY 20170728 C 248.50CITI 0.00%
SWEDISH KRONA CALL ACCOUNT 0.00%
SWISS FRANC CALL ACCOUNT 0.00%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS 0.00%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS 0.00%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.00%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.00%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI 0.00%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS 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 2.325 USD 07/25/2017 CS 0.00%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.00%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS 0.00%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS 0.00%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA 0.00%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.00%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI 0.00%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 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 3MX10Y R 2.3724 USD 08/11/2017 CS 0.00%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 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 3MX1Y R 1.884 USD 07/06/2017 GS 0.00%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS 0.00%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.234 USD 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 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.00%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y P 2.506 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 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.00%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.00%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI 0.00%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.00%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.00%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.00%
TOPIX INDX FUTR SEP17 TPU7 0.00%
TRY/USD 09/20/2017 RBSF 0.00%
TRY/USD 09/20/2017 UBS 0.00%
TURKISH LIRA-NEW CALL ACCOUNT 0.00%
TWD/USD 08/16/2017 CITI 0.00%
TXU TCEH RIGHTS 0.00%
US 10YR NOTE (CBT)SEP17 TYU7 0.00%
US 10YR ULTRA FUT SEP17 UXYU7 0.00%
US 2YR NOTE (CBT) SEP17 TUU7 0.00%
US 5YR NOTE (CBT) SEP17 FVU7 0.00%
US LONG BOND(CBT) SEP17 USU7 0.00%
US ULTRA BOND CBT SEP17 WNU7 0.00%
USD/CNH PUT 6.60 20171006 GSFX 0.00%
USD/CNH PUT 6.60 20171013 BANKAM 0.00%
USD/CNH PUT 6.70 20171006 GSFX 0.00%
USD/CNH PUT 6.70 20171013 BANKAM 0.00%
USD/JPY PUT 103.00 20171106 BANKAM 0.00%
WBCMT 2006-C29 IO IO 00.4944 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.2668 04/15/2047 0.00%
1.60 R ISWP FWD CDOR03 P 09/20/2022 -0.01%
1.90 R ISWP FWD NOKOIB6M P 09/20/2027 -0.01%
1.95 R ISWP FWD CDOR03 P 09/20/2027 -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%
AUD/USD 07/19/2017 CITI -0.01%
AUD/USD 07/19/2017 UBS -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.01%
EUR/USD 09/20/2017 GSFX -0.01%
GBP/USD 09/20/2017 SSBT -0.01%
NZD/USD 07/19/2017 BANKAM -0.01%
NZD/USD 07/19/2017 CITI -0.01%
NZD/USD 07/19/2017 GSFX -0.01%
NZD/USD 07/19/2017 JPMCB -0.01%
NZD/USD 07/19/2017 WPAC -0.01%
POUND STERLING CALL ACCOUNT -0.01%
SEK/USD 09/20/2017 CSI-FX -0.01%
THE EURO EUR CALL ACCOUNT -0.01%
0.20 R ISWP FWD EURIBOR6MD P 09/20/2022 -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
FLR USL3M 6.00 03/07/2018 JP -0.02%
NDUEEGF P USL1M R 02/09/18 UB -0.02%
NZD/USD 07/19/2017 SSBT -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.03%
GSCBPUR1 R USL1M P 12/15/20 GS -0.05%
0.80 R ISWP FWD EURIBOR6MD P 09/20/2027 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.06%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.07%
MLFCF11 R USL3M P 03/07/18 BA -0.08%
RU10INTR P USL3M R 11/27/17 CI -0.13%
CGPUTQL2 R USL3M P 12/01/17 CI -0.16%
2.20 R ISWP FWD USL3M P 09/20/2027 -0.18%
CGPUTS54 P USL3M R 11/10/17 CI -0.18%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.18%
FHLMC FH30G TBA 04.5000 07/01/2047 -0.23%
NDUEEGF P USL3M R 12/12/17 GS -0.50%
RU10INTR P USL3M R 08/02/17 BA -0.51%
NDUEEGF P USL3M R 10/17/17 CI -1.29%
NDUEEGF P USL3M R 03/19/18 CI -2.14%
NDUEEGF P USL1M R 08/21/17 UB -9.13%
GSGLPWDS P USL1M R 12/15/20 GS -15.54%

Prior top 10 holdings

Top 10 holdings as of 08/31/17
Net cash
Fnma Fn30 Tba 03.0000 10/01/2047
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 03.5000 09/01/2047
S&P Gsci Light Energy Official 3x Note 9/4/2018
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018
Fnma Fn30 Tba 02.5000 09/01/2047
Ishares Msci India Etf
Technology Select Sect Spdr Sedol 2369709
Holdings represent 66.11% of portfolio
Top 10 holdings as of 07/31/17
Net cash
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 03.0000 09/01/2047
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 02.5000 09/01/2047
Health Care Select Sector Sedol 2371823
Technology Select Sect Spdr Sedol 2369709
Utilities Select Sector Spdr Sedol 2371812
Industrial Select Sect Spdr Sedol 2502139
Financial Select Sector Spdr Sedol 2364038
Holdings represent 66.99% of portfolio
Top 10 holdings as of 06/30/17
Net cash
Fnma Fn30 Tba 03.5000 08/01/2047
Fnma Fn30 Tba 03.0000 07/01/2047
Utilities Select Sector Spdr Sedol 2371812
Fnma Fn30 Tba 03.5000 07/01/2047
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Health Care Select Sector Sedol 2371823
Industrial Select Sect Spdr Sedol 2502139
S&P Gsci Total Return Inverse Index 3x Note 03/02/2018
Materials Select Sector Spdr Sedol 2436841
Holdings represent 51.67% of portfolio
Top 10 holdings as of 05/31/17
Net cash
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 03.0000 07/01/2047
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 02.5000 06/01/2047
Utilities Select Sector Spdr Sedol 2371812
Fnma Fn30 Tba 03.5000 06/01/2047
Consumer Staples Spdr Sedol 2369389
Ishares Msci India Etf
Technology Select Sect Spdr Sedol 2369709
Holdings represent 50.05% of portfolio

Portfolio composition as of 08/31/17

Net cash 49.32%
Commodities 15.41%
High-yield corporate bonds 15.11%
Agency pass-through 10.41%
Agency CMO 6.05%
Commercial MBS 5.38%
International stocks 5.13%
Bank loans 4.95%
U.S. Treasury/agency 2.34%
U.S. stocks 1.90%
Emerging-market bonds 1.71%
Residential MBS (non-agency) 1.21%
Investment-grade corporate bonds 0.38%
Asset-backed securities (ABS) 0.05%
Emerging-market stocks -0.12%

Fixed income statistics as of 08/31/17

Average effective maturity 3.39 yrs.
Average effective duration 2.31 yrs.
Average yield to maturity 2.40%
Average coupon 2.81%
Average price $92.17

Maturity detail as of 08/31/17

0 - 1 yr. 43.34%
1 - 5 yrs. 24.55%
5 - 10 yrs. 31.29%
10 - 15 yrs. 0.39%
Over 15 yrs. 0.43%

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. The value of stocks and bonds in the fund's portfolio may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. 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. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. 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 efforts 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 may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund's prospectus lists additional risks.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 1.10% 1.85% 1.85% 1.60% 1.35% 0.77% 0.85%
What you pay† 1.07% 1.82% 1.82% 1.57% 1.32% 0.74% 0.82%

† The fund's expense ratio is taken from the most recent prospectus and is subject to change. What you pay reflects Putnam Management's decision to contractually limit expenses through 02/28/18

Sales charge/Dealer allowance

 Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 5.75% / 5.00% 0.00% / 4.00% 0.00% / 1.00% 3.50% / 3.00% -- -- --
$50,000-$99,999 4.50% / 3.75% 0.00% / 4.00% 0.00% / 1.00% 2.50% / 2.00% -- -- --
$100,000-$249,999 3.50% / 2.75% -- 0.00% / 1.00% 1.50% / 1.00% -- -- --
$250,000-$499,999 2.50% / 2.00% -- 0.00% / 1.00% 1.00% / 1.00% -- -- --
$500,000-$999,999 0.00% / 1.00% -- -- -- -- -- --
$1M-$4M 0.00% / 1.00% -- -- -- -- -- --
$4M-$50M 0.00% / 0.50% -- -- -- -- -- --
$50M+ 0.00% / 0.25% -- -- -- -- -- --

CDSC

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

Trail commissions

  Class A Class B Class C Class M Class R Class R6 Class Y
  0.25% 0.25% 1.00% 0.65% 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. The value of stocks and bonds in the fund's portfolio may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. 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. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. 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 efforts 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 may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

Robert Kea will retire from Putnam effective 12/31/17.