Prior to April 30, 2018, the fund was known as Putnam Absolute Return 700 Fund.

Always Vigilant. Always Active.

Multi-Asset Absolute Return Fund (Class A)  (PDMAX)

Seeks positive returns with a similar level of volatility

Highlights

Objective

The fund seeks positive total return.

Strategy and process

  • Targeting positive returns:The fund seeks positive returns with a similar level of volatility over a full market cycle.
  • Global flexibility:The strategy dynamically combines efficient beta and uncorrelated alpha strategies to create a well-diversified portfolio.
  • Diversification potential:Less influenced by traditional market risks, the fund can be an effective choice to improve portfolio efficiency.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $11.19
0.09% | $0.01
$12.04
05/30/18
$10.53
12/24/18
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.

6.55%

Best 5-year annualized return

(for period ending 03/31/14)


1.29%

Worst 5-year annualized return

(for period ending 12/31/18)


4.03%

Average 5-year annualized return


Fund facts as of 03/31/19

Total net assets
$1,237.00M
Turnover (fiscal year end)
479%
Dividend frequency
Annually
Number of holdings
760
Fiscal year-end
October
CUSIP / Fund code
746764315 / 0061
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PDMAX

Management team

Chief Investment Officer, Global Asset Allocation
Co-Head of Global Asset Allocation
Portfolio Manager
Co-Head of Global Asset Allocation

Literature


Market volatility returns to "old" normal
Our outlook for stock market volatility sees the levels reached in 2018 continuing, in part because these levels were close to the long-term norm.
Watch the euro as Italy votes
We are watching the referendum in Italy this weekend for yet another existential crisis for the euro.
Italy's bank troubles challenge EU
Troubled banks in Italy pose a new challenge to the EU, one that has been compounded by the U.K.'s vote in favor of Brexit.

Performance

  • Total return (%) as of 03/31/19

  • Annual performance as of 03/31/19

Annualized Total return (%) as of 03/31/19

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge -1.40% 2.84% 1.96% 4.23%
After sales charge -7.07% 0.83% 0.76% 3.61%
ICE BofAML U.S. Treasury Bill Index 2.17%1.19%0.76%0.46%

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. 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 Multi-Asset Absolute Return Fund, 4.00% and 3.25% for income funds and 2.25% and 0.75% for Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return 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, which is 3% in the first year, declining to 1% in the fourth 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, N, R, 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). Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. 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 and M shares of Putnam money market funds have no initial sales charge. For a portion of the periods, some funds had expense 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 03/31/19 1.17% -4.65%
YTD as of 04/18/19 4.58% -1.43%

Volatility as of 03/31/19

Standard deviation (3 yrs.) 4.55%

Morningstar Ratings as of 03/31/19

Time period Funds in category Morningstar Rating
Overall 276
3 yrs. 276
5 yrs. 178
10 yrs. 63
Morningstar category: Multialternative

Distributions

Record/Ex dividend date 12/18/18
Payable date 12/20/18
Income $0.373
Extra income --
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 03/31/19

Net cash 39.25%
Fnma Fn30 Tba 03.5000 04/01/2049 6.23%
Fnma Fn30 Tba 04.0000 04/01/2049 4.07%
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019 1.67%
Real Estate Select Sect Spdr Sedol Byz65y9 1.58%
Utilities Select Sector Spdr Sedol 2371812 1.54%
Comm Serv Select Sector Spdr Sedol Bfxhc51 1.54%
Energy Select Sector Spdr Sedol 2402466 1.53%
Health Care Select Sector Sedol 2371823 1.51%
Industrial Select Sect Spdr Sedol 2502139 1.49%
Top 10 holdings, percent of portfolio 60.41%

Full portfolio holdings as of 12/31/18

GSGLPWDL R US0001M P 12/15/20 GS 36.05%
FNMA FN30 TBA 03.5000 01/01/2049 4.83%
FNMA FN30 TBA 04.0000 01/01/2049 3.95%
RU10INTR P US0003M R 06/13/19 BA 2.34%
BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 12/12/2019 2.09%
DJUBS LONG F3 - SHORT DJUBS F0 3X 144A NOTE 2/28/2019 2.01%
DJUBS LONG F3 - SHORT DJUBS F0 3X 144A NOTE 1/28/2020 1.72%
S&P GSCI TOTAL RETURN INDEX 3X 144A NOTE 01/10/2020 1.64%
CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 12/26/2019 1.59%
FNMA FN30 TBA 02.5000 01/01/2049 1.57%
COMM SERV SELECT SECTOR SPDR 1.52%
CONSUMER DISCRETIONARY SELT 1.52%
TECHNOLOGY SELECT SECT SPDR 1.51%
HEALTH CARE SELECT SECTOR 1.49%
JPCMPTSH P US0001M R 08/12/19 JP 1.49%
INDUSTRIAL SELECT SECT SPDR 1.47%
S&P GSCI EXCESS RETURN INDEX 3X NOTE 1/27/2020 1.47%
ENERGY SELECT SECTOR SPDR 1.44%
CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 8/27/19 1.32%
SAMSUNG ELECTRONICS CO LTD 1.27%
GNMA GII30 TBA 04.5000 01/01/2049 1.23%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X144A NOTE 0.76%
TENCENT HOLDINGS LTD 0.73%
RU10INTR P US0003M R 11/26/19 CI 0.63%
IND & COMM BK OF CHINA-H 0.61%
GSGLPW2S P US0001M R 12/15/20 GS 0.58%
TAIWAN SEMICONDUCTOR-SP ADR 0.55%
TATA CONSULTANCY SVS LTD 0.47%
SK HYNIX INC 0.46%
ALIBABA GROUP HOLDING-SP ADR 0.45%
WALMART DE MEXICO SAB DE CV 0.44%
LG UPLUS CORP 0.43%
RU10INTR P US0003M R 07/26/19 BC 0.42%
GNMA GII30 TBA 04.0000 01/01/2049 0.41%
INFOSYS LTD 0.41%
PTT PCL/FOREIGN 0.41%
CHINA PETROLEUM & CHEMICAL-H 0.39%
SK TELECOM 0.39%
FORMOSA CHEMICALS & FIBRE 0.38%
HCL TECHNOLOGIES LTD 0.38%
BANK OF COMMUNICATIONS - H 0.37%
TENAGA NASIONAL BHD 0.37%
SPST 2018-1 A 03.2151 04/24/2019 0.36%
ANHUI CONCH CEMENT CO LTD-H 0.35%
CHINA MOBILE LTD 0.35%
PTT GLOBAL CHEMICAL PCL-FOR 0.35%
SPST 2018-5 A 03.0151 09/24/2019 0.35%
TECH MAHINDRA LTD 0.35%
BANCO ITAU HOLDING PFD 0.34%
BANK OF SHANGHAI 144A REGS WARRANT 12/12/2019 0.34%
GREE ELECTRIC 144A/REGS WARRANT 08/29/2019 0.34%
UNI-PRESIDENT ENTERPRISES CO 0.34%
BANCO SANTANDER BRASIL-UNIT 0.33%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.33%
IRB BRASIL RESSEGUROS SA 0.31%
SPST 2018-3 A 03.0151 07/24/2019 0.30%
CHINA RAILWAY GROUP LTD-H 0.29%
COUNTRY GARDEN HOLDINGS CO 0.29%
EVRAZ PLC 0.29%
JO-ANN STORES TL L+500 07.4772 10/16/2023 0.29%
PRESIDENT CHAIN STORE CORP 0.29%
AES CORP/THE 05.5000 04/15/2025 0.28%
ECOPETROL SA-SPONSORED ADR 0.28%
FORMOSA PLASTICS CORP 0.28%
GRUPO FINANCIERO BANORTE-O 0.28%
NRG ENERGY INC 07.2500 05/15/2026 0.28%
HINDUSTAN UNILEVER LTD 0.27%
SINOTRUK HONG KONG LTD 0.27%
BANK OF CHINA LTD-H 0.26%
FOSUN INTERNATIONAL 0.26%
INFOR US INC 06.5000 05/15/2022 0.26%
MR PRICE GROUP LTD 0.26%
CAS 2016-C02 1B 14.7563 09/25/2028 0.25%
CATCHER TECHNOLOGY CO LTD 0.25%
FIRSTRAND LTD 0.25%
FNMA FN30 TBA 05.5000 01/01/2049 0.25%
BANCO DO BRASIL S.A. 0.24%
XLE US R US0001M P 03/25/19 JP 0.24%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.23%
TIM PARTICIPACOES SA 0.23%
CIA SANEAMENTO BASICO DE SP 0.22%
HANA FINANCIAL GROUP 0.22%
HYPERA SA 0.22%
MSBAM 2013-C10 D P/P 144A 04.0821 07/15/2046 0.21%
ASURION 2NDL L+600 07.5734 08/04/2025 0.20%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.20%
CEMEX P/P 144A 05.7000 01/11/2025 0.20%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.20%
KOREA INVESTMENT HOLDINGS CO 0.20%
SCIENTIFIC GAMES TLB5 L+275 05.2502 08/14/2024 0.20%
SPY 20190920 P 260.00JPMCB 0.20%
WANT WANT CHINA HOLDINGS LTD 0.20%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.19%
BF0101 03.5000 06/01/2056 0.19%
JPMBB 2014-C18 D P/P 144A 04.8115 02/15/2047 0.19%
QUALICORP CONS E CORR SEG SA 0.19%
S&P GSCI TOTAL RETURN INDEX 3X NOTE 12/5/2019 0.19%
WEICHAI POWER CO LTD-H 0.19%
DONGFENG MOTOR GRP CO LTD-H 0.18%
GAIL INDIA LTD 0.18%
GRUPO AEROPORTUARIO DEL CENT 0.18%
GUANGZHOU R&F PROPERTIES - H 0.18%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.18%
SMILES FIDELIDADE SA 0.18%
SPST 2017-LD1 A 03.3063 11/25/2050 0.18%
YUANTA FINANCIAL HOLDING CO 0.18%
AGILE GROUP HOLDINGS LTD 0.17%
DAELIM INDUSTRIAL CO LTD 0.17%
PING AN INSURANCE GROUP CO-H 0.17%
SBERBANK PJSC -SPONSORED ADR 0.17%
TALBOTS TLB L+700 09.5056 11/28/2022 0.17%
BANCO SANTANDER-CHILE-ADR 0.16%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.16%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.16%
INDUSTRIAL BANK OF KOREA 0.16%
SPY 20190816 P 250.00CITI 0.16%
ALLIANT HOLD / CO-IS P/P 144A 08.2500 08/01/2023 0.15%
S&P GSCI TOTAL RETURN 3X 144A NOTE 01/27/2020 0.15%
SPY 20190719 P 250.00CITI 0.15%
VERTIV TLB L+400 06.7066 11/15/2023 0.15%
BAUSCH HLTH COS INC P/P 144A 05.8750 05/15/2023 0.14%
CAS 2015-C04 1M2 08.2063 04/25/2028 0.14%
FHR 3852 NT 03.5449 05/15/2041 0.14%
FHR 4568 MI IO 04.0000 04/15/2046 0.14%
GEELY AUTOMOBILE HOLDINGS LT 0.14%
NEIMAN MARCUS TL L+325 05.6295 10/25/2020 0.14%
RADIANT OPTO-ELECTRONICS COR 0.14%
SPY 20191115 P 240.00BANKAM 0.14%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.14%
BSCMS 2006-PW11 B P/P 144A 05.2698 03/11/2039 0.13%
CAS 2016-C01 1B 14.2563 08/25/2028 0.13%
FHS 315 PO PO 00.0000 09/15/2043 0.13%
GNR 2015-H20 CI IO 02.1805 08/20/2065 0.13%
SHINHAN FINANCIAL GROUP LTD 0.13%
SPY 20191018 P 240.00BANKAM 0.13%
STACR 2016-DNA1 B 12.5063 07/25/2028 0.13%
AIRASIA GROUP BHD 0.12%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.12%
FNR 2017-8 SB IO 03.5938 02/25/2047 0.12%
GNR 2015-H10 CI IO 01.8002 04/20/2065 0.12%
GNR 2017-H11 NI IO 02.0968 05/20/2067 0.12%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.12%
PPD TL L+250 05.0224 08/18/2022 0.12%
SPRINT COMMUNICATIONS INC. 07.0000 08/15/2020 0.12%
UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.12%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.12%
WIPRO LTD 0.12%
BANCO SANTANDER MEXICO-B 0.11%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.11%
FNMA FN30 AL6919 05.5000 01/01/2038 0.11%
FNR 2015-28 IO IO 05.5000 05/25/2045 0.11%
FNR 2017-74 SA IO 03.2438 10/25/2047 0.11%
GNR 2015-H19 NI IO 01.8978 07/20/2065 0.11%
GNR 2015-H24 HI IO 02.0283 09/20/2065 0.11%
GNR 2015-H25 BI IO 02.1202 10/20/2065 0.11%
GNR 2016-H02 BI IO 02.1026 11/20/2065 0.11%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.11%
KUMBA IRON ORE LTD 0.11%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.11%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.11%
REVLON CONS TLB L+350 06.2066 09/07/2023 0.11%
SINOPEC SHANGHAI PETROCHEM-H 0.11%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.10%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.10%
GNR 2015-H09 BI IO 01.6833 03/20/2065 0.10%
GSMS 2013-GC10 E P/P 144A 04.3971 02/10/2046 0.10%
HCA INC 06.5000 02/15/2020 0.10%
JPMBB 2013-C14 E P/P 144A 04.5657 08/15/2046 0.10%
MOTUS HOLDINGS LTD 0.10%
TRIPOD TECHNOLOGY CORP 0.10%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.10%
ZHONGSHENG GROUP HOLDINGS 0.10%
ACADEMY SPORTS TLB L+400 06.3492 07/02/2022 0.09%
ARCELORMITTAL USD 06.1250 06/01/2025 0.09%
AVAYA HOLDINGS CORP 0.09%
FHR 4389 IA IO 04.0000 09/15/2044 0.09%
FHR 4530 HI IO 04.0000 11/15/2045 0.09%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.09%
GENTING BHD 0.09%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.09%
GNR 2015-H22 GI IO 02.5735 09/20/2065 0.09%
GNR 2015-H25 AI IO 01.5994 09/20/2065 0.09%
GNR 2016-150 I IO 05.0000 11/20/2046 0.09%
GNR 2016-H03 AI IO 01.2521 01/20/2066 0.09%
GUANGZHOU BAIYUNSHAN PHARM-H 0.09%
INTER RAO UES PJSC 0.09%
LG CORP 0.09%
LOTTE CHEMICAL CORP 0.09%
ORTHO-CLINICAL TLB L+325 06/01/2025 0.09%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.09%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 0.09%
SAMI 2007-AR1 2A1 02.6863 01/25/2037 0.09%
TELKOM SA SOC LTD 0.09%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.08%
2.90 R ISWP FWD US0003M P 03/20/2029 0.08%
CHINA ORIENTAL GROUP CO LTD 0.08%
CIA CERVECERIAS UNI-SPON ADR 0.08%
CLEAR CHANNEL TLD L+675 09.2724 01/30/2019 0.08%
DIAMOND RESORTS TLB L+375 06.2724 09/02/2023 0.08%
FHLMC FH30G TBA 03.5000 01/01/2049 0.08%
FIRST DATA TL L+200 04.5038 04/26/2024 0.08%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.08%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.08%
FREEDOM MORTGAGE TLB L+475 06.0000 02/23/2022 0.08%
GNR 2014-H21 AI IO 01.8591 10/20/2064 0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.08%
GNR 2015-H09 AI IO 01.3420 04/20/2065 0.08%
GNR 2015-H15 JI IO 01.9444 06/20/2065 0.08%
GNR 2015-H16 XI IO 02.1511 07/20/2065 0.08%
GNR 2015-H25 EI IO 01.8424 10/20/2065 0.08%
GNR 2015-H26 EI IO 01.7202 10/20/2065 0.08%
GNR 2016-H23 NI IO 02.4639 10/20/2066 0.08%
GOLDEN NUGGET TL L+275 05.2367 10/04/2023 0.08%
IMPERIAL LOGISTICS LTD 0.08%
KANGMEI PHARMACEUTICAL CO 144A REGS 12/12/2019 0.08%
MERCER INTL INC USD 07.7500 12/01/2022 0.08%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.08%
PROVINCIA DE CORDOBA REGS 07.4500 09/01/2024 0.08%
SIG US P R 07/05/22 CI 0.08%
SPY 20191220 P 215.00JPMCB 0.08%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.08%
UNIVISION TLC5 L+275 05.2724 03/15/2024 0.08%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.08%
ADVANCED INFO SERVICE-FOR RG 0.07%
BANCO DE CHILE-ADR 0.07%
BMIR 2015-1A B1 08.8063 07/25/2025 0.07%
CAPITAL AUTO 2NDL L+600 08.5224 03/24/2025 0.07%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.07%
FNR 2011-4 CS 07.8875 05/25/2040 0.07%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.07%
FNR 2017-48 LI IO 04.0000 05/25/2047 0.07%
FORD OTOMOTIV 0.07%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.07%
GNR 2015-H14 BI IO 01.5654 05/20/2065 0.07%
GNR 2015-H24 BI IO 01.6020 08/20/2065 0.07%
GNR 2015-H26 GI IO 01.7828 10/20/2065 0.07%
GNR 2016-H04 KI IO 01.2089 02/20/2066 0.07%
GNR 2016-H08 GI IO 01.4112 04/20/2066 0.07%
GNR 2017-H02 BI IO 02.5040 01/20/2067 0.07%
GNR 2017-H14 DI IO 01.6946 06/20/2067 0.07%
GNR 2018-91 SJ IO 03.7799 07/20/2048 0.07%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.07%
GUANGZHOU AUTOMOBILE GROUP-H 0.07%
INDOFOOD SUKSES MAKMUR TBK P 0.07%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.07%
NASPERS LTD-N SHS 0.07%
REP OF INDONESIA P/P 144A 05.2500 01/17/2042 0.07%
SABRE GLBL TLB L+200 03.9842 02/22/2024 0.07%
THAI OIL PCL-FOREIGN 0.07%
TIANNENG POWER INTL LTD 0.07%
TRANSDIGM INC TLF L+250 05.0224 06/09/2023 0.07%
TXT US P US0001M R 07/05/22 CI 0.07%
WBCMT 2005-C21 E P/P 144A 05.2264 10/15/2044 0.07%
WFCM 2013-LC12 D P/P 144A 04.2866 07/15/2046 0.07%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.07%
ASURION TLB4 L+300 05.5224 08/04/2022 0.06%
BSCMS 2005-PWR7 D 05.3040 02/11/2041 0.06%
BSCMS 2007-T26 AJ 05.4647 01/12/2045 0.06%
CMLTI 2007-AMC3 A2D 02.8563 03/25/2037 0.06%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.06%
FNR 2018-58 IO IO 05.5000 08/25/2048 0.06%
GLOW ENERGY PCL - FOREIGN 0.06%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.06%
GNR 2015-H10 EI IO 01.6158 04/20/2065 0.06%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.06%
HAIER ELECTRONICS GROUP CO 0.06%
JASTRZEBSKA SPOLKA WEGLOWA S 0.06%
MSC 2011-C3 G P/P 144A 05.1539 07/15/2049 0.06%
NTAP US P US0001M R 07/05/22 CI 0.06%
SAO MARTINHO SA 0.06%
TRIBUNE MEDIA TLB L+300 05.5224 01/27/2024 0.06%
WAMU 2005-AR14 1A2 04.2152 12/25/2035 0.06%
WELBILT TLB L+250 04.9496 10/23/2025 0.06%
0.90 R ISWP FWD EUR006M P 03/20/2029 0.05%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.05%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.05%
CWALT 2005-27 1A6 03.3263 08/25/2035 0.05%
FHLMC FH30G V80357 03.5000 08/01/2043 0.05%
FHR 4134 PI IO 03.0000 11/15/2042 0.05%
FHR 4158 TI IO 03.0000 12/15/2042 0.05%
FHR 4355 DI IO 04.0000 03/15/2044 0.05%
FNMA FN30 AB7936 03.0000 02/01/2043 0.05%
FNMA FN30 AU1625 03.5000 07/01/2043 0.05%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.05%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.05%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.05%
GNR 2015-187 JI IO 04.0000 03/20/2045 0.05%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.05%
GNR 2015-H26 DI IO 02.1184 10/20/2065 0.05%
GNR 2016-49 IO IO 04.5000 11/16/2045 0.05%
GNR 2016-H07 HI IO 01.1863 02/20/2066 0.05%
GNR 2016-H16 DI IO 02.1289 06/20/2066 0.05%
GNR 2017-99 AI IO 04.0000 01/20/2047 0.05%
GNR 2018-127 IC IO 05.0000 10/20/2044 0.05%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.05%
HBI US P R 07/05/22 CI 0.05%
INFOR TLB6 L+275 03.7500 02/01/2022 0.05%
JPMCC 2012-C6 F P/P 144A 05.1401 05/15/2045 0.05%
KT CORP 0.05%
MSBAM 2013-C11 E P/P 144A 04.3372 08/15/2046 0.05%
MSBAM 2013-C11 F P/P 144A 04.3372 08/15/2046 0.05%
PETRONAS DAGANGAN BHD 0.05%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.05%
RACKSPACE HOSTING INC L+300 05.5815 11/03/2023 0.05%
SURGUTNEFTEGAS-PREFERENCE 0.05%
TGI US P R 07/05/22 CI 0.05%
TSLA US P R 07/05/22 CI 0.05%
UBSBB 2012-C2 F P/P 144A 04.8922 05/10/2063 0.05%
WFRBS 2013-C15 D P/P 144A 04.4731 08/15/2046 0.05%
1.55 R ISWP FWD GBL6M P 03/20/2029 0.04%
2.85 R ISWP FWD US0003M P 03/18/2029 0.04%
ALLY US P US0001M R 07/05/22 CI 0.04%
AMERICAN AXLE & MFG INC 07.7500 11/15/2019 0.04%
BSCMS 2005-PWR7 C 05.2350 02/11/2041 0.04%
CAD/USD 01/16/2019 SSBT 0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.04%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.04%
FHLMC FH30G V80012 03.0000 03/01/2043 0.04%
FHR 3747 SA IO 04.0449 10/15/2040 0.04%
FHR 4136 IW IO 03.5000 10/15/2042 0.04%
FHR 4193 PI IO 04.0000 03/15/2043 0.04%
FNMA FN30 AO5471 03.5000 06/01/2042 0.04%
FNMA FN30 AR6852 03.0000 02/01/2043 0.04%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.04%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.04%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.04%
GBP/USD CALL 1.34 20190613 BANKAM 0.04%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.04%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.04%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.04%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.04%
GNR 2015-H18 IA IO 01.8060 06/20/2065 0.04%
GNR 2016-H04 HI IO 02.3661 07/20/2065 0.04%
GNR 2016-H11 HI IO 02.0880 01/20/2066 0.04%
GSMS 2014-GC24 D P/P 144A 04.5293 09/10/2047 0.04%
HANNSTAR DISPLAY CORP 0.04%
IVORY COAST REGS 06.1250 06/15/2033 0.04%
K US P R 07/05/22 CI 0.04%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.04%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.04%
REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 0.04%
TEKFEN HOLDING AS 0.04%
TURK SISE CAM 0.04%
UNITED TRACTORS TBK PT 0.04%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.04%
WFRBS 2012-C10 E P/P 144A 04.4417 12/15/2045 0.04%
0.30 R ISWP FWD EUR006M P 03/20/2024 0.03%
AIR MEDICAL TLB L+325 05.6824 04/28/2022 0.03%
ASTRAL FOODS LTD 0.03%
AUD/USD 01/16/2019 GSFX 0.03%
BACM 2005-1 C 05.5039 11/10/2042 0.03%
CAS 2015-C03 1M2 07.5063 07/25/2025 0.03%
CAS 2015-C03 2M2 07.5063 07/25/2025 0.03%
CHEMOURS CO 06.6250 05/15/2023 0.03%
CHINA CONSTRUCTION BANK-H 0.03%
CHINA SHINEWAY PHARMACEUTICA 0.03%
CHUCK E CHEESE'S TLB L+325 05.7724 02/14/2021 0.03%
CPG INTL TL L+375 05.0828 05/05/2024 0.03%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.03%
CWALT 2006-OA10 1A1 03.1174 08/25/2046 0.03%
CWHL 2005-3 1A1 03.1263 04/25/2035 0.03%
FHR 4073 AS IO 03.5949 08/15/2038 0.03%
FHR 4097 PI IO 03.5000 11/15/2040 0.03%
FHR 4150 DI IO 03.0000 01/15/2043 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
FHR 4501 BI IO 03.5000 10/15/2043 0.03%
FNR 2012-104 QI IO 04.5000 05/25/2042 0.03%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.03%
FNR 2015-73 PI IO 03.5000 10/25/2045 0.03%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.03%
FRAC TECH INTL TLB L+475 07.2724 04/16/2021 0.03%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.03%
GNR 2011-H08 GI IO 01.2542 03/20/2061 0.03%
GNR 2012-141 WI IO 03.5000 11/20/2041 0.03%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.03%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.03%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.03%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.03%
GNR 2013-6 AI IO 03.5000 08/20/2039 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 2015-24 CI IO 03.5000 02/20/2045 0.03%
GNR 2015-H26 CI IO 00.8558 08/20/2065 0.03%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.03%
GSVIVV69 R 0.3 P 12/15/20 GS 0.03%
ICLR US P R 07/05/22 CI 0.03%
IQV US P R 07/05/22 CI 0.03%
ITAUSA-INVESTIMENTOS ITAU-PR 0.03%
MANILA ELECTRIC COMPANY 0.03%
MSBAM 2014-C17 D P/P 144A 04.7027 08/15/2047 0.03%
MYL US P R 07/05/22 CI 0.03%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.03%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.03%
POU CHEN 0.03%
PROVINCIA DE BUENOS P/P 144A 52.5159 05/31/2022 0.03%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.03%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 0.03%
REYNOLDS GROUP TL L+300 05.2724 02/05/2023 0.03%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.03%
UBNT US P R 07/05/22 CI 0.03%
USD/JPY PUT 108.00 20190128 CITI 0.03%
VAR US P R 07/05/22 CI 0.03%
WPX ENERGY INC 06.0000 01/15/2022 0.03%
AHM 2007-1 GA1C 02.6963 05/25/2047 0.02%
AUD/USD 01/16/2019 UBS 0.02%
BACM 2008-1 C P/P 144A 06.5712 02/10/2051 0.02%
BALTA 2004-3 B 05.4313 04/25/2034 0.02%
BCAP 2012-RR5 4A8 02.4851 06/26/2035 0.02%
BDC US P US0001M R 07/05/22 CI 0.02%
CAD/USD 01/16/2019 GSFX 0.02%
CAS 2015-C02 2M2 06.5063 05/25/2025 0.02%
CAS 2017-C03 1B1 07.3563 10/25/2029 0.02%
CAS 2017-C05 1B1 06.1063 01/25/2030 0.02%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.02%
CERN US P R 07/05/22 CI 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.02%
COTY US P US0001M R 07/05/22 CI 0.02%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.02%
EPC US P US0001M R 07/05/22 CI 0.02%
ESTACIO PARTICIPACOES SA 0.02%
FHR 2990 LB 10.6706 06/15/2034 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FHR 4183 MI IO 03.0000 02/15/2042 0.02%
FHR 4213 GI IO 04.0000 11/15/2041 0.02%
FHR 4369 IA IO 03.5000 07/15/2044 0.02%
FHR 4663 KI IO 03.5000 11/15/2042 0.02%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.02%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.02%
FNR 2013-23 PI IO 03.0000 10/25/2041 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 2015-10 AI IO 03.5000 08/25/2043 0.02%
FNR 2017-113 IO IO 05.0000 01/25/2038 0.02%
GNR 2010-134 ES IO 03.5299 11/20/2039 0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.02%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.02%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.02%
GNR 2011-17 S IO 03.5799 02/20/2041 0.02%
GNR 2011-H15 AI IO 01.5206 06/20/2061 0.02%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.02%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040 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 2014-133 AI IO 04.0000 10/20/2036 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 2017-132 IB IO 05.5000 09/20/2047 0.02%
GNR 2017-160 AI IO 04.5000 10/20/2047 0.02%
GSAA 2007-6 1A1 02.6263 05/25/2047 0.02%
GSVIVV69 R 0.3 P 12/15/20 GS 0.02%
INGN US P R 07/05/22 CI 0.02%
IVORY COAST P/P 144A 05.2500 03/22/2030 0.02%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.02%
KB FINANCIAL GROUP INC 0.02%
MHL 2004-1 M2 03.5113 11/25/2034 0.02%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.02%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.02%
OSK US P US0001M R 07/05/22 CI 0.02%
PBH US P US0001M R 07/05/22 CI 0.02%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.02%
PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.02%
PKI US P US0001M R 07/05/22 CI 0.02%
PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 0.02%
PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 0.02%
RALI 2006-QO10 A1 02.6663 01/25/2037 0.02%
RALI 2006-QO5 1A1 02.7213 05/25/2046 0.02%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.02%
RH US P US0001M R 07/05/22 CI 0.02%
TRANSDIGM INC TLE 05.0224 05/30/2025 0.02%
UA US P R 07/05/22 CI 0.02%
WFMBS 2006-AR6 7A2 04.7685 03/25/2036 0.02%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.02%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.02%
0.35 R ISWP FWD CHL6M P 03/20/2029 0.01%
0.55 R ISWP FWD SES3M P 03/20/2024 0.01%
1.40 R ISWP FWD GBL6M P 03/20/2024 0.01%
2.55 R ISWP FWD CDOR03 P 03/20/2029 0.01%
2.95 R ISWP FWD US0003M P 03/18/2049 0.01%
ADVANZ PHARMA CORP 0.01%
ARGENTINE REPUBLIC USD 06.6250 07/06/2028 0.01%
ARGENTINE REPUBLIC USD 06.8750 01/26/2027 0.01%
ASCENT RESOURCES TLB L+650 08.8869 03/30/2023 0.01%
ASTRO MALAYSIA 0.01%
AU OPTRONICS CORP 0.01%
BSCMS 2006-PW11 C P/P 144A 05.2698 03/11/2039 0.01%
CAD/USD 01/16/2019 JPMCB 0.01%
CAD/USD 01/16/2019 WPAC 0.01%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.01%
CAS 2015-C01 2M2 07.0563 02/25/2025 0.01%
CAS 2015-C02 1M2 06.5063 05/25/2025 0.01%
CAS 2015-C04 2M2 08.0563 04/25/2028 0.01%
CAS 2017-C02 2M2 06.1563 09/25/2029 0.01%
CAS 2017-C06 2M2 05.3063 02/25/2030 0.01%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
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%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.01%
EME US P US0001M R 07/05/22 CI 0.01%
EUR/NOK PUT 9.80 20190319 JPMCB 0.01%
FHR 3996 IK IO 04.0000 03/15/2039 0.01%
FNR 2005-122 SE 14.3281 11/25/2035 0.01%
FNR 2005-74 NK 14.9688 05/25/2035 0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.01%
GNR 2012-106 QI IO 04.0000 07/20/2042 0.01%
GNR 2013-129 SN IO 03.6799 09/20/2043 0.01%
GNR 2013-157 IA IO 03.5000 04/20/2040 0.01%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.01%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.01%
GNR 2013-34 PI IO 04.5000 08/20/2039 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 03.6449 07/16/2043 0.01%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.01%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.01%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.01%
GSMS 2006-GG8 X IO P/P 144A 00.8707 11/10/2039 0.01%
GSVIVVOL R 0.3 P 12/15/20 GS 0.01%
GTT US P US0001M R 07/05/22 CI 0.01%
HAS US P US0001M R 07/05/22 CI 0.01%
HOMB US P US0001M R 07/05/22 CI 0.01%
HUBS US P R 07/05/22 CI 0.01%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.01%
MDSO US P R 07/05/22 CI 0.01%
MTZ US P US0001M R 07/05/22 CI 0.01%
NZD/USD 01/16/2019 HSBCB 0.01%
OMCL US P US0001M R 07/05/22 CI 0.01%
PCTY US P R 07/05/22 CI 0.01%
PEGA US P R 07/05/22 CI 0.01%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.01%
PODD US P US0001M R 07/05/22 CI 0.01%
PTC US P R 07/05/22 CI 0.01%
REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01%
RL US P US0001M R 07/05/22 CI 0.01%
SAMI 2007-AR7 1A1 03.3563 05/25/2047 0.01%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.01%
TKR US P US0001M R 07/05/22 CI 0.01%
USD/CNH CALL 7.00 20190404 GSFX 0.01%
WFRBS 2011-C4 E P/P 144A 05.2310 06/15/2044 0.01%
-0.20 R ISWP FWD CHL6M P 03/20/2024 0.00%
1.15 R ISWP FWD SES3M P 03/20/2029 0.00%
2.15 R ISWP FWD NOKOIB6M P 03/20/2029 0.00%
2.70 R ISWP FWD AUDBB6M P 03/20/2029 0.00%
2.75 R ISWP FWD NFIX3MID P 03/20/2029 0.00%
2.779 R ISWP US0003M P 01/02/2029 0.00%
3.312 R ISWP US0003M P 11/08/2048 0.00%
ACIW US P R 07/05/22 CI 0.00%
AJRD US P R 07/05/22 CI 0.00%
AUD/USD 01/16/2019 JPMCB 0.00%
AUD/USD 01/16/2019 WPAC 0.00%
BACM 2004-4 XC IO P/P 144A 00.3242 07/10/2042 0.00%
BACM 2007-1 XW IO 00.2114 01/15/2049 0.00%
BGS US P R 07/05/22 CI 0.00%
BRKR US P US0001M R 07/05/22 CI 0.00%
CAD/USD 01/16/2019 HSBCB 0.00%
CAD/USD 01/16/2019 RBSF 0.00%
CAD/USD 01/16/2019 UBS 0.00%
CAESARS ENTERTAINMENT CORP 0.00%
CAS 2016-C06 1M2 06.7563 04/25/2029 0.00%
CDX CDX.NA.HY.31 500.0 12/20/2023 0.00%
CHC GROUP LLC P/P 0.00%
CHF/USD 03/20/2019 JPMCB 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML 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 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 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.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.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 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 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 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-.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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CNH/USD 02/20/2019 GSFX 0.00%
CNH/USD 02/20/2019 HSBCB 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.0106 05/15/2038 0.00%
DBD US P R 07/05/22 CI 0.00%
EBIX US P R 07/05/22 CI 0.00%
EFII US P R 07/05/22 CI 0.00%
EUR/USD 03/20/2019 BANKAM 0.00%
EUR/USD 03/20/2019 BCAP-FX 0.00%
EUR/USD 03/20/2019 CITI 0.00%
EUR/USD 03/20/2019 CSI-FX 0.00%
EUR/USD 03/20/2019 GSFX 0.00%
EUR/USD 03/20/2019 HSBCB 0.00%
EUR/USD 03/20/2019 JPMCB 0.00%
EUR/USD 03/20/2019 RBSF 0.00%
EUR/USD 03/20/2019 SSBT 0.00%
EUR/USD 03/20/2019 UBS 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036 0.00%
FNS 397 2 IO 05.0000 09/25/2039 0.00%
FNW 1998-W2 X IO 00.8030 06/25/2028 0.00%
FNW 1998-W5 X IO 00.0478 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2778 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4268 11/15/2028 0.00%
GBP/USD 03/20/2019 GSFX 0.00%
GBP/USD 03/20/2019 HSBCB 0.00%
GBP/USD 03/20/2019 JPMCB 0.00%
GBP/USD 03/20/2019 SSBT 0.00%
GBP/USD 03/20/2019 UBS 0.00%
GMACC 2004-C3 B 04.9650 12/10/2041 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-81 SB IO 04.2499 11/16/2036 0.00%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 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%
GSVICUB3 R 0.45 P 12/15/20 GS 0.00%
GSVIVVOL R 0.3 P 12/15/20 GS 0.00%
HALCON RESOURCES CORP 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
INST US P US0001M R 07/05/22 CI 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.FN30.350.12 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.FN30.400.10 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 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.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.13 P USL1M R 01/12/44 JP 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 P US0001M R 01/12/45 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.FN30.600.08 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%
JBL US P US0001M R 07/05/22 CI 0.00%
JPMCC 2007-LDPX X IO 00.1422 01/15/2049 0.00%
JPY/USD 02/20/2019 BANKAM 0.00%
JPY/USD 02/20/2019 CITI 0.00%
JPY/USD 02/20/2019 JPMCB 0.00%
JPY/USD 02/20/2019 RBSF 0.00%
JPY/USD 02/20/2019 SSBT 0.00%
KRW/USD 02/20/2019 CITI 0.00%
LBUBS 2007-C2 XW IO 00.1821 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 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%
MDRX US P US0001M R 07/05/22 CI 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.6040 12/12/2049 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0013 06/12/2043 0.00%
MXN/USD 01/16/2019 HSBCB 0.00%
NOK/USD 03/20/2019 CITI 0.00%
NOK/USD 03/20/2019 RBSF 0.00%
NZD/USD 01/16/2019 BANKAM 0.00%
NZD/USD 01/16/2019 CSI-FX 0.00%
NZD/USD 01/16/2019 JPMCB 0.00%
NZD/USD 01/16/2019 RBSF 0.00%
NZD/USD 01/16/2019 UBS 0.00%
SEK/USD 03/20/2019 HSBCB 0.00%
SEK/USD 03/20/2019 JPMCB 0.00%
SEK/USD 03/20/2019 SSBT 0.00%
SEK/USD 03/20/2019 UBS 0.00%
SGD/USD 02/20/2019 BCAP-FX 0.00%
SGD/USD 02/20/2019 JPMCB 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 1YX2Y P 2.663 USD 01/14/2019 CI 0.00%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP 0.00%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC 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 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%
TRIBUNE MEDIA TLB L+300 05.5224 12/27/2020 0.00%
TWD/USD 02/20/2019 GSFX 0.00%
TXU TCEH RIGHTS 0.00%
WBCMT 2006-C26 AJ 06.0762 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.2793 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.0000 04/15/2047 0.00%
1.85 R ISWP FWD NOKOIB6M P 03/20/2024 -0.01%
AUD/USD 01/16/2019 BANKAM -0.01%
AUD/USD 01/16/2019 CITI -0.01%
AUD/USD 01/16/2019 CSI-FX -0.01%
AUD/USD 01/16/2019 SSBT -0.01%
CAD/USD 01/16/2019 BANKAM -0.01%
CAD/USD 01/16/2019 BCAP-FX -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 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -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 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 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%
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 MS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.01%
EUR/NOK PUT 9.60 20190319 JPMCB -0.01%
GBP/USD CALL 1.44 20190613 BANKAM -0.01%
JPY/USD 02/20/2019 CSI-FX -0.01%
JPY/USD 02/20/2019 HSBCB -0.01%
KRW/USD 02/20/2019 BANKAM -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
NOK/USD 03/20/2019 HSBCB -0.01%
NOK/USD 03/20/2019 UBS -0.01%
NZD/USD 01/16/2019 SSBT -0.01%
NZD/USD 01/16/2019 WPAC -0.01%
SEK/USD 03/20/2019 GSFX -0.01%
USD/CNH CALL 7.20 20190404 GSFX -0.01%
USD/JPY PUT 105.00 20190128 CITI -0.01%
2.35 R ISWP FWD NFIX3MID P 03/20/2024 -0.02%
AUD/USD 01/16/2019 BCAP-FX -0.02%
AUD/USD 01/16/2019 HSBCB -0.02%
AUD/USD 01/16/2019 RBSF -0.02%
CAD/USD 01/16/2019 CITI -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02%
NOK/USD 03/20/2019 BCAP-FX -0.02%
NOK/USD 03/20/2019 GSFX -0.02%
NOK/USD 03/20/2019 JPMCB -0.02%
SPY 20190118 C 260.00CITI -0.02%
ZAR/USD 01/16/2019 GSFX -0.02%
2.40 R ISWP FWD CDOR03 P 03/20/2024 -0.03%
CAD/USD 01/16/2019 CSI-FX -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
2.35 R ISWP FWD AUDBB6M P 03/20/2024 -0.04%
2.70 R ISWP FWD US0003M P 03/20/2024 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
NOK/USD 03/20/2019 SSBT -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.05%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.05%
2.75 R ISWP FWD US0003M P 03/18/2021 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.06%
NZD/USD 01/16/2019 GSFX -0.06%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.07%
GSVIUS85 R 0.45 P 12/15/20 GS -0.07%
2.80 R ISWP FWD US0003M P 03/18/2024 -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.12%
GSISXT27 R 0.2 P 12/15/20 GS -0.13%
FHLMC FH30G TBA 04.5000 01/01/2049 -0.16%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.17%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.19%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.21%
GSCBPUR1 R US0001M P 12/15/20 GS -0.28%
GSGLPW2L R US0001M P 12/15/20 GS -0.48%
FNMA FN30 TBA 04.5000 01/01/2049 -0.66%
NDUEEGF P US0001M R 12/12/19 GS -1.00%
CGPUTQL2 R US0003M P 11/26/19 CI -1.20%
MLFCF15 R US0003M P 06/13/19 BA -2.16%
NDUEEGF P US0003M R 09/20/19 CI -2.36%
FNMA FN30 TBA 03.0000 01/01/2049 -3.63%
NDUEEGF P US0003M R 03/19/19 CI -5.29%
NDUEEGF P US0001M R 08/21/19 UB -14.96%
GSGLPWDS P US0001M R 12/15/20 GS -33.89%

Prior top 10 holdings

Top 10 holdings as of 03/31/19
Net cash
Fnma Fn30 Tba 03.5000 04/01/2049
Fnma Fn30 Tba 04.0000 04/01/2049
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Real Estate Select Sect Spdr Sedol Byz65y9
Utilities Select Sector Spdr Sedol 2371812
Comm Serv Select Sector Spdr Sedol Bfxhc51
Energy Select Sector Spdr Sedol 2402466
Health Care Select Sector Sedol 2371823
Industrial Select Sect Spdr Sedol 2502139
Holdings represent 60.41% of portfolio
Top 10 holdings as of 02/28/19
Net cash
Fnma Fn30 Tba 03.5000 03/01/2049
Fnma Fn30 Tba 04.0000 03/01/2049
Industrial Select Sect Spdr Sedol 2502139
Technology Select Sect Spdr Sedol 2369709
Consumer Discretionary Selt Sedol 2424341
Utilities Select Sector Spdr Sedol 2371812
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Financial Select Sector Spdr Sedol 2364038
Real Estate Select Sect Spdr Sedol Byz65y9
Holdings represent 60.47% of portfolio
Top 10 holdings as of 01/31/19
Net cash
Fnma Fn30 Tba 04.0000 02/01/2049
Technology Select Sect Spdr Sedol 2369709
Fnma Fn30 Tba 03.5000 03/01/2049
Fnma Fn30 Tba 03.5000 02/01/2049
S&P Gsci Excess Return Index 3x Note 1/27/2020
Comm Serv Select Sector Spdr Sedol Bfxhc51
Consumer Discretionary Selt Sedol 2424341
Industrial Select Sect Spdr Sedol 2502139
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Holdings represent 58.59% of portfolio
Top 10 holdings as of 12/31/18
Net cash
Fnma Fn30 Tba 03.5000 01/01/2049
Fnma Fn30 Tba 04.0000 01/01/2049
Baml Commodity Mlbx4sx6 Er Strategy 3x 144a Note 12/12/2019
Djubs Long F3 - Short Djubs F0 3x 144a Note 2/28/2019
Djubs Long F3 - Short Djubs F0 3x 144a Note 1/28/2020
S&P Gsci Total Return Index 3x 144a Note 01/10/2020
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Fnma Fn30 Tba 02.5000 01/01/2049
Comm Serv Select Sector Spdr Sedol Bfxhc51
Holdings represent 54.85% of portfolio

Portfolio composition as of 03/31/19

Net cash 39.25%
U.S. Treasury/agency 34.60%
U.S. stocks 20.55%
Commodities 10.99%
Agency pass-through 10.95%
Commercial MBS 10.79%
Agency CMO 6.79%
High-yield corporate bonds 3.81%
Bank loans 3.02%
International stocks 2.30%
Emerging-market bonds 1.55%
Residential MBS (non-agency) 1.33%
Asset-backed securities (ABS) 1.22%
Investment-grade corporate bonds 0.25%
Emerging-market stocks -0.22%

Fixed income statistics as of 03/31/19

Average effective maturity 7.82 yrs.
Average effective duration 2.53 yrs.
Average yield to maturity 4.04%
Average coupon 3.48%
Average price $89.53

Maturity detail as of 03/31/19

0 - 1 yr. 40.76%
1 - 5 yrs. 31.38%
5 - 10 yrs. 26.84%
10 - 15 yrs. 0.61%
Over 15 yrs. 0.41%

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 (including, in the case of bonds, perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. 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 generally greater for longer-term bonds, and credit risk is generally 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, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. 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. 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.

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


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 1.04% 1.79% 1.79% 1.54% 1.29% 0.69% 0.79%
What you pay† 1.01% 1.76% 1.76% 1.51% 1.26% 0.66% 0.76%

† 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 02/28/20

Sales charge

 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. 1.00% 5.00% 1.00% -- -- -- --
2 yrs. 0.00% 4.00% 0.00% -- -- -- --
3 yrs. 0.00% 3.00% 0.00% -- -- -- --
4 yrs. 0.00% 3.00% 0.00% -- -- -- --
5 yrs. 0.00% 2.00% 0.00% -- -- -- --
6 yrs. 0.00% 1.00% 0.00% -- -- -- --
7+ yrs. 0.00% 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 ICE BofAML 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 (including, in the case of bonds, perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. 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 generally greater for longer-term bonds, and credit risk is generally 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, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. 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. 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.

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