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.
Prior to April 30, 2018, the fund was known as Putnam Absolute Return 700 Fund.
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 |
$11.55
-0.52% | $-0.06 |
$11.79
09/04/19 |
$10.53
12/24/18 |
Consistency of positive performance over five years
Performance shown does not reflect the effects of any sales charges. Click on the dots to see specific returns in each five-year period as of the date revealed. 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)
3.88%
Average 5-year annualized return
Fund facts as of 09/30/19
Total net assets
$1,157.70M
$1,157.70M
Turnover (fiscal year end)
479%
479%
Dividend frequency
Annually
Annually
Number of holdings
777
777
Fiscal year-end
October
October
CUSIP / Fund code
746764315 / 0061
746764315 / 0061
Inception date
12/23/08
12/23/08
Category
Absolute Return
Absolute Return
Open to new investors
Ticker
PDMAX
PDMAX
Management team
Chief Investment Officer, Global Asset Allocation
Co-Head of Global Asset Allocation
Co-Head of Global Asset Allocation
Portfolio Manager
Literature
Actively targeting inflation risk for retirement savers
We explain why a dynamic approach to hedging inflation risk in a target-date fund may be a better way to protect a retirement nest egg.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.Calibrate equity allocations with higher savings rates
Evidence of higher savings rates by plan participants make it reasonable to consider lower equity allocations across the glide path of target-date funds.Performance
Total return (%) as of 09/30/19
Annual performance as of 09/30/19
Annualized Total return (%) as of 09/30/19
| Annualized performance | 1 yr. | 3 yrs. | 5 yrs. | 10 yrs. |
|---|---|---|---|---|
| Before sales charge | 2.99% | 3.20% | 2.43% | 3.64% |
| After sales charge | -2.94% | 1.18% | 1.22% | 3.03% |
| ICE BofAML U.S. Treasury Bill Index | 2.46% | 1.54% | 1.00% | 0.56% |
Performance snapshot
| Before sales charge | After sales charge | ||
|---|---|---|---|
| 1 mt. as of 09/30/19 | -0.17% | -5.91% | |
| YTD as of 10/11/19 | 7.94% | 1.74% | |
Volatility as of 08/31/19
| Standard deviation (3 yrs.) | 4.60% |
|---|
Morningstar Ratings™ as of 08/31/19
| Time period | Funds in category | Morningstar Rating™ |
|---|---|---|
| Overall | 259 | |
| 3 yrs. | 259 | |
| 5 yrs. | 172 | |
| 10 yrs. | 59 |
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.
Compare
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** FundVisualizer comparison based on Putnam fund versus the largest fund in its Morningstar category.
Holdings
Top 10 holdings as of 08/31/19
| Fnma Fn30 Tba Umbs 03.5000 09/01/2049 | 6.95% |
|---|---|
| Fnma Fn30 Tba Umbs 04.0000 09/01/2049 | 4.36% |
| Fnma Fn30 Tba Umbs 03.0000 09/01/2049 | 3.84% |
| Real Estate Select Sect Spdr Sedol Byz65y9 | 3.15% |
| Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019 | 1.64% |
| Utilities Select Sector Spdr Sedol 2371812 | 1.58% |
| Technology Select Sect Spdr Sedol 2369709 | 1.48% |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | 1.46% |
| Financial Select Sector Spdr Sedol 2364038 | 1.43% |
| Samsung Electronics | 1.43% |
| Top 10 holdings, percent of portfolio | 27.32% |
Full portfolio holdings as of 09/30/19
| US 10YR NOTE (CBT)DEC19 TYZ9 | 47.42% |
|---|---|
| MLFCF15 R US0003M P 06/20/23 BA | 41.08% |
| GSGLPWDL R US0001M P 12/15/20 GS | 40.73% |
| CGPUTQL2 R US0003M P 11/26/19 CI | 37.94% |
| GSGLPW2L R US0001M P 12/15/20 GS | 33.79% |
| S&P MID 400 EMINI DEC19 FAZ9 | 16.22% |
| S&P500 EMINI FUT DEC19 ESZ9 | 13.84% |
| US 10YR ULTRA FUT DEC19 UXYZ9 | 8.62% |
| FNMA FN30 TBA UMBS 03.5000 10/01/2049 | 7.00% |
| GSVIUS85 R 0.45 P 12/15/20 GS | 4.40% |
| FNMA FN30 TBA UMBS 04.0000 10/01/2049 | 4.39% |
| FNMA FN30 TBA UMBS 03.0000 10/01/2049 | 4.30% |
| GSISXT27 R 0.2 P 12/15/20 GS | 3.49% |
| GSVIVV69 R 0.3 P 12/15/20 GS | 2.27% |
| UTILITIES SELECT SECTOR SPDR SEDOL 2371812 | 1.64% |
| CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 12/16/2019 | 1.64% |
| SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 | 1.62% |
| TREASURY BILL 00.0000 10/10/2019 | 1.58% |
| CONSUMER STAPLES SPDR SEDOL 2369389 | 1.57% |
| CONSUMER DISCRETIONARY SELT SEDOL 2424341 | 1.57% |
| REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9 | 1.56% |
| FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 | 1.50% |
| GSVICUB3 R 0.45 P 12/15/20 GS | 1.48% |
| COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 | 1.48% |
| GNMA GII30 TBA 04.5000 10/01/2049 | 1.35% |
| CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 9/28/2020 | 1.20% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.20% |
| BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 12/12/2019 | 1.18% |
| TREASURY BILL 00.0000 11/14/2019 | 1.13% |
| TENCENT HOLDINGS LTD SEDOL BMMV2K8 | 0.89% |
| ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 | 0.81% |
| PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 | 0.77% |
| TREASURY BILL 00.0000 11/07/2019 | 0.76% |
| TOTAL CAPITAL CANADA LTD 89153QXP0 DCP 10/23/2019 | 0.76% |
| GSVIVVOL R 0.3 P 12/15/20 GS | 0.74% |
| SVENSKA HANDELSBANKEN AB 86960KZT2 DCP 12/27/2019 | 0.74% |
| TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 | 0.71% |
| BOFA MLCOMMODITY MLBX4SX6 ER STRATEGY 08/03/2020 | 0.68% |
| CHINA MOBILE LTD SEDOL 6073556 | 0.64% |
| NRW BANK 62939MX93 DCP 10/09/2019 | 0.63% |
| PRUDENTIAL PLC 7443M3XF6 DCP 10/15/2019 | 0.63% |
| IND & COMM BK OF CHINA-H SEDOL B1G1QD8 | 0.62% |
| NATIONWIDE BUILDING SOCIETY 6385E1X71 DCP 10/07/2019 | 0.58% |
| METLIFE SHORT TERM FUNDING LL 59157UXR6 DCP 10/25/2019 | 0.58% |
| TREASURY BILL 00.0000 12/05/2019 | 0.57% |
| ALPINE SECURITIZATION LLC 02088XYM4 DCP 11/21/2019 | 0.54% |
| YUM CHINA HOLDINGS INC SEDOL BYW4289 | 0.52% |
| EXPORT DEVELOPMENT CANADA 30215HXF2 DCP 10/15/2019 | 0.52% |
| NATIONAL AUSTRALIA BANK LTD 63254FXN2 DCP 10/22/2019 | 0.52% |
| REGENCY MARKETS NO. 1 LLC 7588R1X83 DCP 10/08/2019 | 0.52% |
| VICTORY RECEIVABLES CORP 92646LY87 DCP 11/08/2019 | 0.52% |
| TATA CONSULTANCY SVS LTD SEDOL B01NPJ1 | 0.51% |
| SOCIETE GENERALE SA 83369CXF6 DCP 10/15/2019 | 0.50% |
| SIMON PROPERTY GROUP LP 82880XYC8 DCP 11/12/2019 | 0.50% |
| KIA MOTORS CORP SEDOL 6490928 | 0.49% |
| ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 | 0.48% |
| ATLANTIC ASSET SECURITIZATION 04821UX49 DCP 10/04/2019 | 0.48% |
| GNMA GII30 TBA 04.0000 10/01/2049 | 0.45% |
| IRB BRASIL RESSEGUROS SA SEDOL BYZ6D56 | 0.45% |
| ATLANTIC ASSET SECURITIZATION 04821UY63 DCP 11/06/2019 | 0.43% |
| CORPORATE ASSET FUNDING CO IN 1247P3XQ0 DCP 10/24/2019 | 0.43% |
| GREE ELECTRIC 144A/REGS WARRANT 8/24/2020 | 0.43% |
| BARCLAYS BANK PLC CCP 06742QSJ2 DCP 11/21/2019 | 0.43% |
| BANCO DO BRASIL S.A. SEDOL 2328595 | 0.42% |
| BPCE SA 05571CY13 DCP 11/01/2019 | 0.41% |
| CHEVRON CORP 16677KXV0 DCP 10/29/2019 | 0.41% |
| GOTHAM FUNDING CORP 38346MY16 DCP 11/01/2019 | 0.41% |
| SKANDINAVISKA ENSKILDA BANKEN 83050UXH6 DCP 10/17/2019 | 0.41% |
| TREASURY BILL 00.0000 03/12/2020 | 0.40% |
| HYUNDAI MOBIS CO LTD SEDOL 6449544 | 0.40% |
| BANK OF SHANGHAI 144A REGS WARRANT 12/12/2019 | 0.40% |
| WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8 | 0.38% |
| CIA SANEAMENTO BASICO DE SP SEDOL B1YCHL8 | 0.38% |
| TECH MAHINDRA LTD SEDOL BWFGD63 | 0.38% |
| HCL TECHNOLOGIES LTD SEDOL 6294896 | 0.37% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.36% |
| CHINA PETROLEUM & CHEMICAL-H SEDOL 6291819 | 0.36% |
| TREASURY BILL 00.0000 12/12/2019 | 0.35% |
| OLD LINE FUNDING LLC 67983UYD9 DCP 11/13/2019 | 0.34% |
| SK HYNIX INC SEDOL 6450267 | 0.34% |
| CHARTA LLC 16115WX10 DCP 10/01/2019 | 0.34% |
| CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 | 0.33% |
| AES CORP/THE 05.5000 04/15/2025 | 0.32% |
| NRG ENERGY INC. 07.2500 05/15/2026 | 0.31% |
| EVRAZ PLC SEDOL B71N6K8 | 0.31% |
| HINDUSTAN UNILEVER LTD SEDOL 6261674 | 0.31% |
| SBERBANK PJSC -SPONSORED ADR SEDOL B5SC091 | 0.31% |
| OIL & NATURAL GAS CORP LTD SEDOL 6139362 | 0.30% |
| BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 | 0.30% |
| INFOR US INC 06.5000 05/15/2022 | 0.29% |
| KWEICHOW MOUTAI CO LTD-A 144A/REGS WARRANT 08/07/2020 | 0.29% |
| FNMA FN30 TBA UMBS 05.5000 10/01/2049 | 0.28% |
| CAS 2016-C02 1B 14.2684 09/25/2028 | 0.28% |
| CATCHER TECHNOLOGY CO LTD SEDOL 6186669 | 0.27% |
| PTT PCL/FOREIGN SEDOL BD0BDJ3 | 0.27% |
| ZHEN DING TECHNOLOGY HOLDING SEDOL B734XQ4 | 0.27% |
| UNI-PRESIDENT ENTERPRISES CO SEDOL 6700393 | 0.27% |
| INDUSTRIAL BANK CO LTD -A 144A/REGS WARRANT 08/07/2020 | 0.25% |
| LUKOIL PJSC-SPON ADR SEDOL BYZDW27 | 0.25% |
| COUNTRY GARDEN HOLDINGS CO SEDOL B1VKYN6 | 0.25% |
| BANK OF COMMUNICATIONS - H SEDOL B0B8Z29 | 0.25% |
| QUALICORP CONS E CORR SEG SA SEDOL B4LHBQ0 | 0.24% |
| GEELY AUTOMOBILE HOLDINGS LT SEDOL 6531827 | 0.24% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.23% |
| CEMEX P/P 144A 05.7000 01/11/2025 | 0.23% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.23% |
| SCIENTIFIC GAMES TLB5 L+275 04.8758 08/14/2024 | 0.23% |
| ASURION 2NDL L+650 08.5435 08/04/2025 | 0.22% |
| JPMBB 2014-C18 D P/P 144A 04.9728 02/15/2047 | 0.22% |
| AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 | 0.22% |
| JO-ANN STORES TL L+500 07.2516 10/16/2023 | 0.22% |
| HOME PRODUCT CENTER PCL-FOR SEDOL 6418533 | 0.22% |
| MSBAM 2013-C10 D P/P 144A 04.2179 07/15/2046 | 0.22% |
| WIPRO LTD SEDOL 6206051 | 0.21% |
| WEICHAI POWER CO LTD-H SEDOL 6743956 | 0.21% |
| ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 | 0.20% |
| BF0101 03.5000 06/01/2056 | 0.20% |
| ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 | 0.20% |
| HYPERA SA SEDOL B2QY968 | 0.20% |
| KOREA ZINC CO LTD SEDOL 6495428 | 0.19% |
| BOMBARDIER INC P/P 144A 08.7500 12/01/2021 | 0.19% |
| KUMBA IRON ORE LTD SEDOL B1G4262 | 0.18% |
| TELEFONICA BRASIL S.A.-PREF SEDOL B3ZCNF7 | 0.18% |
| MR PRICE GROUP LTD SEDOL BYXW419 | 0.18% |
| PETRONAS CHEMICALS GROUP BHD SEDOL B5KQGT3 | 0.18% |
| BANCO SANTANDER MEXICO SA IN SEDOL BF1FXN2 | 0.18% |
| ICAHN ENTERPRISES/FI 06.2500 02/01/2022 | 0.18% |
| ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 | 0.18% |
| BANK OF JIANGSU CO LTD- A 144A/REGS WARRANT 08/07/2020 | 0.17% |
| ENEL AMERICAS SA-ADR SEDOL 2314947 | 0.17% |
| FOSUN INTERNATIONAL SEDOL B1Z7FX0 | 0.17% |
| SAMSUNG SDS CO LTD SEDOL BRS2KY0 | 0.17% |
| TALBOTS TLB L+700 09.0435 11/28/2022 | 0.17% |
| DAELIM INDUSTRIAL CO LTD SEDOL 6249584 | 0.17% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.17% |
| VERTIV TLB L+400 06.0435 11/15/2023 | 0.17% |
| ALLIANT HOLD / CO-IS P/P 144A 08.2500 08/01/2023 | 0.17% |
| TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 | 0.17% |
| ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 | 0.16% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.16% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.16% |
| INTER RAO UES PJSC SEDOL B39RRN4 | 0.16% |
| UNITED MEXICAN STATES USD 05.5500 01/21/2045 | 0.16% |
| RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 | 0.16% |
| FHR 3852 NT 03.9725 05/15/2041 | 0.15% |
| FNR 2017-74 SA IO 03.7316 10/25/2047 | 0.15% |
| GUANGZHOU R&F PROPERTIES - H SEDOL B19H8Y8 | 0.15% |
| TREASURY BILL 00.0000 01/02/2020 | 0.15% |
| CAPITEC BANK HOLDINGS LTD SEDOL 6440859 | 0.14% |
| FNR 2017-8 SB IO 04.0816 02/25/2047 | 0.14% |
| S&P GSCI EXCESS RETURN INDEX 3X NOTE 1/27/2020 | 0.14% |
| YUANTA FINANCIAL HOLDING CO SEDOL 6424110 | 0.14% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.14% |
| IVORY COAST P/P 144A 06.1250 06/15/2033 | 0.14% |
| SHINHAN FINANCIAL GROUP LTD SEDOL 6397502 | 0.14% |
| STACR 2016-DNA1 B 12.0184 07/25/2028 | 0.14% |
| BANCO MACRO SA-ADR SEDOL B0Y62M9 | 0.14% |
| INFOSYS LTD SEDOL 6205122 | 0.14% |
| CHINA RESOURCES SANJIU MEDICAL & PHARMA 144A REGS 01/29/2020 | 0.14% |
| KINETIC CONCEPTS TLB L+225 07.2500 02/03/2024 | 0.14% |
| PTT GLOBAL CHEMICAL PCL-FOR SEDOL B736PF3 | 0.14% |
| UNITED MICROELECTRONICS CORP SEDOL 6916628 | 0.14% |
| GAIL INDIA LTD SEDOL 6133405 | 0.14% |
| GLOBALWAFERS CO LTD SEDOL BS7JP33 | 0.14% |
| GNR 2015-H20 CI IO 01.7455 08/20/2065 | 0.13% |
| REVLON CONS TLB L+350 05.6241 09/07/2023 | 0.13% |
| SPRINT COMMUNICATIONS INC. 07.0000 08/15/2020 | 0.13% |
| PPD TL L+250 04.5435 08/18/2022 | 0.13% |
| UNIVAR USA INC P/P 144A 06.7500 07/15/2023 | 0.13% |
| VALE SA SEDOL 2196286 | 0.13% |
| CAS 2015-C04 1M2 07.7184 04/25/2028 | 0.13% |
| SMILES FIDELIDADE SA SEDOL BF2JKY3 | 0.13% |
| BANCO SANTANDER-CHILE-ADR SEDOL 2136646 | 0.13% |
| PRESIDENT CHAIN STORE CORP SEDOL 6704986 | 0.13% |
| MWST 2019-1 A 02.8184 06/25/2052 | 0.12% |
| GNR 2017-H11 NI IO 02.2846 05/20/2067 | 0.12% |
| VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 | 0.12% |
| OTP BANK RT SEDOL 7320154 | 0.12% |
| SURGUTNEFTEGAS-PREFERENCE SEDOL 5005884 | 0.12% |
| UNITED MEXICAN STATES USD 04.1500 03/28/2027 | 0.12% |
| WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 | 0.12% |
| BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 | 0.12% |
| GNR 2015-H25 BI IO 01.8500 10/20/2065 | 0.12% |
| ELDORADO RESORTS INC 07.0000 08/01/2023 | 0.12% |
| SPST 2019-7 A 02.7365 09/24/2020 | 0.12% |
| GNR 2015-H10 CI IO 01.8312 04/20/2065 | 0.12% |
| JPMBB 2013-C14 E P/P 144A 04.8586 08/15/2046 | 0.12% |
| GNR 2015-H19 NI IO 01.9302 07/20/2065 | 0.11% |
| INDUSTRIAL BANK OF KOREA SEDOL 6462972 | 0.11% |
| OASIS PETROLEUM INC 06.8750 03/15/2022 | 0.11% |
| FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 | 0.11% |
| SINOTRUK HONG KONG LTD SEDOL B296ZH4 | 0.11% |
| GNR 2016-H02 BI IO 01.9582 11/20/2065 | 0.11% |
| SPST 2019-11 A 02.7865 10/24/2020 | 0.11% |
| TELKOM SA SOC LTD SEDOL 6588577 | 0.11% |
| NEIMAN MARCUS TL L+600 07.9895 10/25/2023 | 0.11% |
| LOGAN PROPERTY HOLDINGS CO L SEDOL BH6X937 | 0.10% |
| MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 | 0.10% |
| PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 | 0.10% |
| RHB BANK BHD SEDOL 6244675 | 0.10% |
| SPST 2019-3 A 02.7365 06/24/2020 | 0.10% |
| TCI CO LTD SEDOL B6X51B1 | 0.10% |
| GNR 2015-H24 HI IO 02.0343 09/20/2065 | 0.10% |
| ARCELORMITTAL USD 06.1250 06/01/2025 | 0.10% |
| BANK OF CHINA LTD-H SEDOL B154564 | 0.10% |
| HENAN SHUANGHUI INVESTMENT & DEVELOPMENT CO LTD -A 144A/REG | 0.10% |
| BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 | 0.10% |
| FORMOSA CHEMICALS & FIBRE SEDOL 6348715 | 0.10% |
| ACADEMY SPORTS TLB L+400 06.0244 07/02/2022 | 0.10% |
| ORTHO-CLINICAL TLB L+325 05.3064 06/01/2025 | 0.10% |
| GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 | 0.10% |
| REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 | 0.10% |
| TRIPOD TECHNOLOGY CORP SEDOL 6305721 | 0.10% |
| GNR 2015-H09 BI IO 01.7175 03/20/2065 | 0.10% |
| POWSZECHNY ZAKLAD UBEZPIECZE SEDOL B63DG21 | 0.10% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.10% |
| GNR 2015-H25 AI IO 01.6297 09/20/2065 | 0.09% |
| 1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 | 0.09% |
| DIAMOND RESORTS TLB L+375 05.7935 09/02/2023 | 0.09% |
| FNR 2015-28 IO IO 05.5000 05/25/2045 | 0.09% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.09% |
| GNR 2015-H16 XI IO 02.0524 07/20/2065 | 0.09% |
| KT&G CORP SEDOL 6175076 | 0.09% |
| GNR 2015-H15 JI IO 01.9945 06/20/2065 | 0.09% |
| GOLDEN NUGGET TL L+275 04.7995 10/04/2023 | 0.09% |
| UNIVISION TLC5 L+275 04.7935 03/15/2024 | 0.09% |
| GNR 2016-H03 AI IO 02.2288 01/20/2066 | 0.09% |
| GNR 2015-H22 GI IO 02.5769 09/20/2065 | 0.09% |
| JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 | 0.09% |
| MERCER INTL INC USD 07.7500 12/01/2022 | 0.09% |
| GNR 2014-H21 AI IO 01.6310 10/20/2064 | 0.08% |
| GSMS 2014-GC24 D P/P 144A 04.6665 09/10/2047 | 0.08% |
| SABRE GBL TLB L+200 04.0435 02/22/2024 | 0.08% |
| SAMI 2007-AR1 2A1 02.1984 01/25/2037 | 0.08% |
| WFCM 2013-LC12 D P/P 144A 04.4203 07/15/2046 | 0.08% |
| GNR 2015-H26 EI IO 01.7488 10/20/2065 | 0.08% |
| BANCO DE CHILE-ADR SEDOL 2834252 | 0.08% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.08% |
| GNR 2016-H23 NI IO 02.2585 10/20/2066 | 0.08% |
| FHR 4568 MI IO 04.0000 04/15/2046 | 0.08% |
| GNR 2015-H25 EI IO 01.8744 10/20/2065 | 0.08% |
| TRANSDIGM INC TLF L+250 04.5435 06/09/2023 | 0.08% |
| GRUPO AEROPORTUARIO DEL CENT SEDOL B1KFX13 | 0.08% |
| 0.05 R ISWP FWD EUR006M P 12/18/2029 | 0.08% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.08% |
| GNR 2015-H26 GI IO 01.8194 10/20/2065 | 0.08% |
| SHINSEGAE INTERNATIONAL INC SEDOL B6SKWR4 | 0.08% |
| LOJAS RENNER S.A. SEDOL B0CGYD6 | 0.08% |
| NASPERS LTD-N SHS SEDOL 6622691 | 0.08% |
| TREASURY BILL 00.0000 11/21/2019 | 0.08% |
| GNR 2016-150 I IO 05.0000 11/20/2046 | 0.08% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.08% |
| CROWN CASTLE INTL CORP 03.1500 07/15/2023 | 0.07% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.07% |
| SK TELECOM SEDOL 6224871 | 0.07% |
| FNR 2011-4 CS 08.8632 05/25/2040 | 0.07% |
| GENTING MALAYSIA BHD SEDOL B1VXKN7 | 0.07% |
| SEVERSTAL PJSC SEDOL B0561N2 | 0.07% |
| ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 | 0.07% |
| GNR 2015-H09 AI IO 02.1691 04/20/2065 | 0.07% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.07% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.07% |
| GNR 2017-H02 BI IO 02.3414 01/20/2067 | 0.07% |
| SPY 20200918 P 255.00JPMCB | 0.07% |
| BSCMS 2007-T26 AJ 05.5660 01/12/2045 | 0.07% |
| GNR 2016-H04 KI IO 01.8909 02/20/2066 | 0.07% |
| WELBILT TLB L+250 04.5435 10/23/2025 | 0.07% |
| AVAYA HOLDINGS CORP SEDOL BD9G9B3 | 0.07% |
| GNR 2017-H14 DI IO 01.7223 06/20/2067 | 0.07% |
| TEKFEN HOLDING AS SEDOL B29D241 | 0.07% |
| GENTING BHD SEDOL B1VXJL8 | 0.07% |
| GNR 2016-H08 GI IO 01.4458 04/20/2066 | 0.07% |
| GNR 2015-H14 BI IO 01.5912 05/20/2065 | 0.06% |
| GNR 2018-91 SJ IO 04.2058 07/20/2048 | 0.06% |
| SPST 2019-WL1 A 02.6684 08/25/2052 | 0.06% |
| HM SAMPOERNA TBK PT SEDOL 6404242 | 0.06% |
| BSCMS 2005-PWR7 D 05.3040 02/11/2041 | 0.06% |
| CAPITAL AUTO 2NDL L+600 08.0435 03/24/2025 | 0.06% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.06% |
| JPMCC 2012-C6 F P/P 144A 05.3187 05/15/2045 | 0.06% |
| MSC 2011-C3 G P/P 144A 05.2925 07/15/2049 | 0.06% |
| SEAZEN HOLDINGS CO 144A/REGS WARRANT 04/17/2020 | 0.06% |
| INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 | 0.06% |
| PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 | 0.06% |
| CMLTI 2007-AMC3 A2D 02.3684 03/25/2037 | 0.06% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.06% |
| GNR 2015-H24 BI IO 01.6380 08/20/2065 | 0.06% |
| HINDUSTAN PETROLEUM CORP SEDOL 6100476 | 0.06% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.06% |
| GUANGZHOU BAIYUNSHAN PHARM-H SEDOL 6084387 | 0.06% |
| ANTOFAGASTA PLC SEDOL 0045614 | 0.06% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.06% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.06% |
| SPY 20200717 P 255.00CITI | 0.06% |
| FNR 2018-58 IO IO 05.5000 08/25/2048 | 0.06% |
| WAMU 2005-AR14 1A2 04.1660 12/25/2035 | 0.06% |
| NOVOLIPETSK STEEL PJSC-GDR SEDOL B0RTNX3 | 0.06% |
| FHR 4389 IA IO 04.0000 09/15/2044 | 0.05% |
| FORMOSA PLASTICS CORP SEDOL 6348544 | 0.05% |
| GNR 2016-H07 HI IO 01.9648 02/20/2066 | 0.05% |
| INFOR TLB6 L+275 04.8544 02/01/2022 | 0.05% |
| WBCMT 2005-C21 E P/P 144A 05.2771 10/15/2044 | 0.05% |
| FORD OTOMOTIV SEDOL B03MSR5 | 0.05% |
| GUANGZHOU AUTOMOBILE GROUP-H SEDOL B433995 | 0.05% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.05% |
| MSBAM 2013-C11 E P/P 144A 04.4989 08/15/2046 | 0.05% |
| MSBAM 2013-C11 F P/P 144A 04.4989 08/15/2046 | 0.05% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.05% |
| SPY 20200619 P 255.00JPMCB | 0.05% |
| SPY 20200821 P 245.00CITI | 0.05% |
| CIA CERVECERIAS UNI-SPON ADR SEDOL 2217596 | 0.05% |
| COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 | 0.05% |
| GNR 2015-H26 DI IO 01.9802 10/20/2065 | 0.05% |
| FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043 | 0.05% |
| FNMA FN30 AB7936 UMBS 03.0000 02/01/2043 | 0.05% |
| GNR 2015-H10 EI IO 01.6386 04/20/2065 | 0.05% |
| GNR 2016-H16 DI IO 02.4603 06/20/2066 | 0.05% |
| HANNSTAR DISPLAY CORP SEDOL 6381828 | 0.05% |
| KT CORP SEDOL 6505316 | 0.05% |
| ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 | 0.05% |
| FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 | 0.05% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.05% |
| UNITED TRACTORS TBK PT SEDOL 6230845 | 0.05% |
| FNR 2014-47 IP IO 04.0000 03/25/2044 | 0.05% |
| GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 | 0.05% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.05% |
| VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 | 0.05% |
| WFRBS 2013-C15 D P/P 144A 04.6242 08/15/2046 | 0.05% |
| GNR 2016-49 IO IO 04.5000 11/16/2045 | 0.05% |
| IVORY COAST REGS 06.1250 06/15/2033 | 0.05% |
| POU CHEN SEDOL 6696157 | 0.05% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.04% |
| IHEARTMEDIA TL L+400 06.0315 05/01/2026 | 0.04% |
| ITAUSA-INVESTIMENTOS ITAU-PR SEDOL 2458771 | 0.04% |
| BSCMS 2005-PWR7 C 05.2350 02/11/2041 | 0.04% |
| PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 | 0.04% |
| REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 | 0.04% |
| FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 | 0.04% |
| FNMA FN30 AR6852 UMBS 03.0000 02/01/2043 | 0.04% |
| FNR 2017-48 LI IO 04.0000 05/25/2047 | 0.04% |
| GNR 2015-187 JI IO 04.0000 03/20/2045 | 0.04% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.04% |
| AIRASIA GROUP BHD SEDOL B03J9L7 | 0.04% |
| GNR 2018-127 IC IO 05.0000 10/20/2044 | 0.04% |
| EL PUERTO DE LIVERPOOL-C1 SEDOL 2306814 | 0.04% |
| FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043 | 0.04% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.04% |
| KOREA INVESTMENT HOLDINGS CO SEDOL 6654586 | 0.04% |
| ODONTOPREV S.A. SEDOL B1H6R62 | 0.04% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.04% |
| STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 | 0.04% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.04% |
| FHR 3747 SA IO 04.4725 10/15/2040 | 0.04% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.04% |
| FNMA FN30 AO5471 UMBS 03.5000 06/01/2042 | 0.04% |
| GNR 2016-H04 HI IO 02.3801 07/20/2065 | 0.04% |
| RACKSPACE HOSTING INC L+300 05.2868 11/03/2023 | 0.04% |
| SAO MARTINHO SA SEDOL B1P3R43 | 0.04% |
| THANACHART CAPITAL-FOREIGN SEDOL BF5DGN3 | 0.04% |
| WFRBS 2012-C10 E P/P 144A 04.5851 12/15/2045 | 0.04% |
| 0.75 R ISWP FWD GBL6M P 12/18/2024 | 0.04% |
| CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 | 0.04% |
| GNR 2015-H18 IA IO 01.8486 06/20/2065 | 0.04% |
| GNR 2016-H11 HI IO 02.0971 01/20/2066 | 0.04% |
| SPY 20200417 P 255.00BANKAM | 0.04% |
| SPY 20200515 P 250.00BANKAM | 0.04% |
| ZHEJIANG EXPRESSWAY CO-H SEDOL 6990763 | 0.04% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.04% |
| PROSUS NV SEDOL BJDS7L3 | 0.04% |
| FHR 4134 PI IO 03.0000 11/15/2042 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.04% |
| NZD/USD 10/16/2019 JPMCB | 0.04% |
| REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 | 0.04% |
| REYNOLDS GROUP TL L+300 04.7935 02/05/2023 | 0.04% |
| CHEMOURS CO 06.6250 05/15/2023 | 0.04% |
| ENEL CHILE SA-ADR SEDOL BYYHKR1 | 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 2017-99 AI IO 04.0000 01/20/2047 | 0.04% |
| IHEARTMEDIA INC - CLASS A SEDOL BJVR9Y9 | 0.04% |
| YDUQS PART SEDOL BJGV3C2 | 0.04% |
| CPG INTL TL L+375 05.9333 05/05/2024 | 0.03% |
| GNR 2013-79 XI IO 03.5000 11/20/2039 | 0.03% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.03% |
| TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 | 0.03% |
| BMIR 2015-1A B1 08.3184 07/25/2025 | 0.03% |
| CWALT 2006-OA10 1A1 03.4061 08/25/2046 | 0.03% |
| FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 | 0.03% |
| AIR MEDICAL TLB L+325 05.3070 04/28/2022 | 0.03% |
| GNR 2018-127 IE IO 03.5000 01/20/2046 | 0.03% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.03% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.03% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.03% |
| GNR 2011-H08 GI IO 01.2849 03/20/2061 | 0.03% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.03% |
| GNR 2012-8 PI IO 04.0000 05/20/2041 | 0.03% |
| GNR 2015-96 NI IO 03.5000 01/20/2039 | 0.03% |
| MISC BHD SEDOL 6557997 | 0.03% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.03% |
| ATACADAO SA SEDOL BF7LBH4 | 0.03% |
| CAS 2017-C03 1B1 06.8684 10/25/2029 | 0.03% |
| CAS 2017-C05 1B1 05.6184 01/25/2030 | 0.03% |
| COMM 2014-CR17 D P/P 144A 05.0117 05/10/2047 | 0.03% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.03% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.03% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.03% |
| KOC HLDG SEDOL B03MVJ8 | 0.03% |
| AUD/JPY PUT 70.00 20200214 CITI | 0.03% |
| AUD/JPY PUT 70.00 20200214 GSFX | 0.03% |
| CWHL 2005-3 1A1 02.6384 04/25/2035 | 0.03% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.03% |
| PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 | 0.03% |
| BACM 2005-1 C 05.6871 11/10/2042 | 0.02% |
| CAS 2017-C06 2B1 06.4684 02/25/2030 | 0.02% |
| GNR 2012-145 IO IO 03.5000 12/20/2042 | 0.02% |
| GNR 2013-6 AI IO 03.5000 08/20/2039 | 0.02% |
| GNR 2015-H26 CI IO 00.0902 08/20/2065 | 0.02% |
| IHEARTCOMMUNICATIONS INC 08.3750 05/01/2027 | 0.02% |
| CAS 2015-C03 1M2 07.0184 07/25/2025 | 0.02% |
| EUR/USD PUT 1.097 20191017 BANKAM | 0.02% |
| GNR 2011-17 S IO 04.0058 02/20/2041 | 0.02% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.02% |
| MANILA ELECTRIC COMPANY SEDOL B247XZ6 | 0.02% |
| PLDT INC SEDOL BDGN274 | 0.02% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.02% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.02% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.02% |
| ASTRAL FOODS LTD SEDOL 6342836 | 0.02% |
| AUD/USD 10/16/2019 GSFX | 0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.02% |
| FHR 4097 PI IO 03.5000 11/15/2040 | 0.02% |
| FNR 2014-10 IO IO 03.5000 08/25/2042 | 0.02% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.02% |
| GNR 2017-57 AI IO 04.0000 06/20/2045 | 0.02% |
| TRANSDIGM INC TLE 04.5435 05/30/2025 | 0.02% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.02% |
| FRAC TECH INTL TLB L+475 06.7935 04/16/2021 | 0.02% |
| JASTRZEBSKA SPOLKA WEGLOWA S SEDOL B6R2S06 | 0.02% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.02% |
| PETROBRAS GLOBAL FIN P/P 144A 05.0930 01/15/2030 | 0.02% |
| PETROLEOS MEXICANOS USD 06.3750 01/23/2045 | 0.02% |
| RALI 2006-QO10 A1 02.1784 01/25/2037 | 0.02% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.02% |
| FNR 2012-104 QI IO 04.5000 05/25/2042 | 0.02% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.02% |
| FNR 2017-2 KI IO 04.0000 02/25/2047 | 0.02% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.02% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| MHL 2004-1 M2 03.0234 11/25/2034 | 0.02% |
| WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 | 0.02% |
| GNR 2011-H15 AI IO 01.5458 06/20/2061 | 0.02% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.02% |
| GNR 2015-24 IA IO 03.5000 02/20/2045 | 0.02% |
| WFMBS 2006-AR6 7A2 04.8187 03/25/2036 | 0.02% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.02% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.02% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.02% |
| IVORY COAST P/P 144A 05.2500 03/22/2030 | 0.02% |
| KRW/USD 11/20/2019 GSFX | 0.02% |
| NZD/USD 10/16/2019 BCAP-FX | 0.02% |
| CAS 2015-C03 2M2 07.0184 07/25/2025 | 0.02% |
| ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 | 0.02% |
| FHR 2990 LB 11.7636 06/15/2034 | 0.02% |
| FHR 4073 AS IO 04.0225 08/15/2038 | 0.02% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.02% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.02% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.02% |
| GNR 2017-132 IB IO 05.5000 09/20/2047 | 0.02% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.02% |
| RALI 2006-QO5 1A1 02.2334 05/25/2046 | 0.02% |
| 0.40 R ISWP FWD SES3M P 12/18/2029 | 0.02% |
| AHM 2007-1 GA1C 02.3353 05/25/2047 | 0.02% |
| CAS 2018-C06 1B1 05.7684 03/25/2031 | 0.02% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.02% |
| GNR 2017-160 AI IO 04.5000 10/20/2047 | 0.02% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.02% |
| NESTLE (MALAYSIA) BERHAD SEDOL 6629335 | 0.02% |
| STACR 2018-DNA2 B1 05.7184 12/25/2030 | 0.02% |
| 0.80 R ISWP FWD GBL6M P 12/18/2029 | 0.02% |
| ASTRO MALAYSIA SEDOL B7W5GK3 | 0.02% |
| CAS 2015-C02 2M2 06.0184 05/25/2025 | 0.02% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.02% |
| GNMA GII30 BP6877 05.0000 08/20/2049 | 0.02% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.02% |
| GNR 2012-141 WI IO 03.5000 11/20/2041 | 0.02% |
| GNR 2015-36 GI IO 03.5000 06/16/2041 | 0.02% |
| GSAA 2007-6 1A1 02.1384 05/25/2047 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.02% |
| NZD/USD 10/16/2019 GSFX | 0.02% |
| PETROLEOS MEXICANOS USD 06.5000 03/13/2027 | 0.02% |
| CLEAR CHANNEL OUTDOOR HOLDIN SEDOL BJHVCH9 | 0.01% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.01% |
| FHR 4501 BI IO 03.5000 10/15/2043 | 0.01% |
| FNR 2015-73 PI IO 03.5000 10/25/2045 | 0.01% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.01% |
| IHEARTCOMMUNICATIONS INC 06.3750 05/01/2026 | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.01% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.01% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.01% |
| 1.45 R ISWP FWD US0003M P 12/18/2024 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 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 2017-113 IO IO 05.0000 01/25/2038 | 0.01% |
| GNMA GII30 BP2045 05.0000 07/20/2049 | 0.01% |
| GNR 2014-133 AI IO 04.0000 10/20/2036 | 0.01% |
| GNR 2015-118 EI IO 03.5000 07/20/2039 | 0.01% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.01% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.01% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 0.01% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.01% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.01% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.01% |
| GNMA GII30 BO3369 05.0000 06/20/2049 | 0.01% |
| GNR 2010-134 ES IO 03.9558 11/20/2039 | 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 2015-99 LI IO 04.0000 07/20/2045 | 0.01% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.01% |
| PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 | 0.01% |
| SAMI 2007-AR7 1A1 02.8684 05/25/2047 | 0.01% |
| STACR 2019-DNA1 M2 04.6684 01/25/2049 | 0.01% |
| 1.30 R ISWP FWD AUDBB6M P 12/18/2029 | 0.01% |
| 1.80 R ISWP FWD CDOR03 P 12/18/2024 | 0.01% |
| CAS 2015-C01 2M2 06.5684 02/25/2025 | 0.01% |
| CAS 2017-C06 2M2 04.8184 02/25/2030 | 0.01% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.01% |
| GNR 2013-37 LI IO 03.5000 01/20/2042 | 0.01% |
| GNR 2013-99 VS IO 04.0725 07/16/2043 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.01% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.01% |
| KRW/USD 11/20/2019 HSBCB | 0.01% |
| BACM 2008-1 C P/P 144A 06.7858 02/10/2051 | 0.01% |
| CAS 2015-C04 2M2 07.5684 04/25/2028 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.01% |
| FNR 2012-101 PI IO 03.5000 08/25/2040 | 0.01% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.01% |
| GNR 2013-129 SN IO 04.1058 09/20/2043 | 0.01% |
| GNR 2013-157 IA IO 03.5000 04/20/2040 | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.01% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.01% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.01% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.01% |
| GNMA 10000 BO5417 05.0000 06/20/2049 | 0.01% |
| GNMA GII30 BN1509 05.0000 05/20/2049 | 0.01% |
| GNMA GII30 BO4634 05.0000 06/20/2049 | 0.01% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.01% |
| GNR 2013-102 IP IO 03.5000 06/20/2043 | 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% |
| GSMS 2006-GG8 X IO P/P 144A 01.1777 11/10/2039 | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 | 0.01% |
| ADVANZ PHARMA CORP SEDOL BH4P601 | 0.01% |
| CAD/USD 10/16/2019 JPMCB | 0.01% |
| CAS 2017-C02 2M2 05.6684 09/25/2029 | 0.01% |
| DIGICEL LTD P/P 144A 06.7500 03/01/2023 | 0.01% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.01% |
| IDR/USD 11/20/2019 GSFX | 0.01% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.01% |
| KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 | 0.01% |
| PROVINCIA DE BUENOS 63.0419 05/31/2022 | 0.01% |
| PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 | 0.01% |
| REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 | 0.01% |
| WFRBS 2011-C4 E P/P 144A 05.3965 06/15/2044 | 0.01% |
| CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 | 0.01% |
| FNR 2005-122 SE 16.0357 11/25/2035 | 0.01% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.01% |
| GNR 2018-127 IA IO 03.5000 04/20/2042 | 0.01% |
| RUB/USD 12/18/2019 GSFX | 0.01% |
| -0.35 R ISWP FWD CHL6M P 12/18/2029 | 0.01% |
| ASCENT RESOURCES TLB L+650 08.5276 03/30/2023 | 0.01% |
| AUD/USD 10/16/2019 HSBCB | 0.01% |
| CAD/USD 10/16/2019 BCAP-FX | 0.01% |
| CAS 2015-C02 1M2 06.0184 05/25/2025 | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS | 0.01% |
| FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 | 0.01% |
| FNR 2005-74 NK 17.4081 05/25/2035 | 0.01% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.01% |
| RUB/USD 12/18/2019 BANKAM | 0.01% |
| SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA | 0.01% |
| AUD/USD 10/16/2019 SSBT | 0.00% |
| CAS 2016-C06 1M2 06.2684 04/25/2029 | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| GNMA GII30 BN1507 05.0000 05/20/2049 | 0.00% |
| GNMA GII30 BP3716 05.0000 08/20/2049 | 0.00% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.00% |
| GNR 2019-78 SJ IO 04.0058 06/20/2049 | 0.00% |
| JPY/USD 11/20/2019 JPMCB | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.00% |
| EUR/USD 12/18/2019 CITI | 0.00% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.00% |
| FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 | 0.00% |
| FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 | 0.00% |
| GNMA GII30 BN1508 05.0000 05/20/2049 | 0.00% |
| GNMA GII30 BN1510 05.5000 05/20/2049 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| EUR/USD 12/18/2019 SSBT | 0.00% |
| FNMA FN30 BN3050 UMBS 05.0000 01/01/2049 | 0.00% |
| FNMA FN30 BO3442 UMBS 05.0000 08/01/2049 | 0.00% |
| FNW 1998-W2 X IO 00.9181 06/25/2028 | 0.00% |
| GNMA GII30 BN1511 05.5000 05/20/2049 | 0.00% |
| GNR 2019-99 KS IO 04.0058 08/20/2049 | 0.00% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.00% |
| -0.65 R ISWP FWD CHL6M P 12/18/2024 | 0.00% |
| 1.30 R ISWP FWD NFIX3MID P 12/18/2029 | 0.00% |
| BSCMS 2006-PW11 C P/P 144A 05.8095 03/11/2039 | 0.00% |
| CHC GRP LLC P/P CV 00.0000 10/01/2020 | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS | 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 MS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| GNR 2013-90 HI IO 03.5000 04/20/2040 | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| JPY/USD 11/20/2019 BANKAM | 0.00% |
| SEK/USD 12/18/2019 BANKAM | 0.00% |
| SEK/USD 12/18/2019 GSFX | 0.00% |
| SEK/USD 12/18/2019 HSBCB | 0.00% |
| SEK/USD 12/18/2019 RBSF | 0.00% |
| SEK/USD 12/18/2019 UBS | 0.00% |
| TXU TCEH RIGHTS | 0.00% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.00% |
| CAD/USD 10/16/2019 CSI-FX | 0.00% |
| CHF/USD 12/18/2019 JPMCB | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 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-W5 X IO 00.7859 07/25/2028 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| GNR 2011-81 SB IO 04.6775 11/16/2036 | 0.00% |
| GNR 2014-162 DI IO 04.0000 11/20/2038 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 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.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| JPY/USD 11/20/2019 GSFX | 0.00% |
| JPY/USD 11/20/2019 HSBCB | 0.00% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.00% |
| SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA | 0.00% |
| -0.35 R ISWP FWD EUR006M P 12/18/2024 | 0.00% |
| 1.00 R ISWP FWD AUDBB6M P 12/18/2024 | 0.00% |
| 1.00 R ISWP FWD NFIX3MID P 12/18/2024 | 0.00% |
| 1.60 R ISWP FWD US0003M P 12/18/2024 | 0.00% |
| 1.75 R ISWP FWD NOKOIB6M P 12/18/2024 | 0.00% |
| 1.80 R ISWP FWD NOKOIB6M P 12/18/2029 | 0.00% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | 0.00% |
| AUD/USD 10/16/2019 CSI-FX | 0.00% |
| AVAYA INC ESCROW P/P 144A 07.0000 04/01/2020 | 0.00% |
| BACM 2007-1 XW IO 00.4019 01/15/2049 | 0.00% |
| BRL/USD 02/04/2020 CITI | 0.00% |
| BRL/USD 02/04/2020 GSFX | 0.00% |
| CAD/USD 10/16/2019 GSFX | 0.00% |
| CAD/USD 10/16/2019 WPAC | 0.00% |
| CHC GROUP LLC P/P SEDOL BYXD3K4 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 02.2111 05/15/2038 | 0.00% |
| EUR/USD 12/18/2019 JPMCB | 0.00% |
| EUR/USD 12/18/2019 UBS | 0.00% |
| FSPC T-59 1AX IO 00.2804 10/25/2043 | 0.00% |
| FSPC T-8 A9 IO 00.4270 11/15/2028 | 0.00% |
| GBP/USD 12/18/2019 CITI | 0.00% |
| GBP/USD 12/18/2019 UBS | 0.00% |
| GNR 2011-116 IB IO 05.0000 10/20/2040 | 0.00% |
| GSMPS 1998-2 IO IO 01.0041 05/19/2027 | 0.00% |
| GSMPS 1998-3 IO IO 00.0000 09/19/2027 | 0.00% |
| GSMPS 1998-4 IO IO 00.0000 12/19/2026 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| JPMCC 2007-LDPX X IO 00.3227 01/15/2049 | 0.00% |
| JPY/USD 11/20/2019 UBS | 0.00% |
| LBUBS 2007-C2 XW IO 00.3551 02/15/2040 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.7588 12/12/2049 | 0.00% |
| MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 | 0.00% |
| SEK/USD 12/18/2019 JPMCB | 0.00% |
| SPY 20190930 C 304.00UBS | 0.00% |
| WBCMT 2006-C29 IO IO 00.4761 11/15/2048 | 0.00% |
| WBCMT 2007-C31 IO IO P/P 144A 00.0000 04/15/2047 | 0.00% |
| AUD/USD 10/16/2019 CITI | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.00% |
| GBP/USD 12/18/2019 GSFX | -0.00% |
| GBP/USD 12/18/2019 SSBT | -0.00% |
| SEK/USD 12/18/2019 SSBT | -0.00% |
| SPY 20191018 C 310.00JPMCB | -0.00% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.00% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.00% |
| AUD/USD 10/16/2019 JPMCB | -0.00% |
| CAD/USD 10/16/2019 BANKAM | -0.00% |
| CAD/USD 10/16/2019 SSBT | -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-.7 2047-01-17 300.0 01/17/2047 BC | -0.00% |
| IDR/USD 11/20/2019 HSBCB | -0.00% |
| NOK/USD 12/18/2019 GSFX | -0.00% |
| NOK/USD 12/18/2019 SSBT | -0.00% |
| 2.67 R ISWP FWD US0003M P 03/28/2052 | -0.00% |
| AUD/USD 10/16/2019 BANKAM | -0.00% |
| BRL/USD 02/04/2020 BANKAM | -0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.00% |
| INR/USD 11/20/2019 GSFX | -0.00% |
| MXN/USD 10/16/2019 BANKAM | -0.00% |
| CAD/USD 10/16/2019 CITI | -0.00% |
| CAD/USD 10/16/2019 RBSF | -0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 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 MS | -0.00% |
| EUR/USD 12/18/2019 CSI-FX | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| JPY/USD 11/20/2019 BCAP-FX | -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% |
| INR/USD 11/20/2019 RBSF | -0.01% |
| 0.05 R ISWP FWD SES3M P 12/18/2024 | -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 MS | -0.01% |
| NZD/USD 10/16/2019 HSBCB | -0.01% |
| 1.85 R ISWP FWD CDOR03 P 12/18/2029 | -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 GS | -0.01% |
| IOS.FN30.350.14 P USL1M R 01/12/45 JP | -0.01% |
| JPY/USD 11/20/2019 SSBT | -0.01% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.01% |
| TWD/USD 11/20/2019 GSFX | -0.01% |
| TWD/USD 11/20/2019 RBSF | -0.01% |
| 1.58 R ISWP FWD US0003M P 12/18/2021 | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| AUD/USD 10/16/2019 UBS | -0.01% |
| JPY/USD 11/20/2019 CITI | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| 1.65 R ISWP FWD US0003M P 12/18/2049 | -0.01% |
| AUD/JPY PUT 66.00 20200214 CITI | -0.01% |
| AUD/JPY PUT 66.00 20200214 GSFX | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| JPY/USD 11/20/2019 RBSF | -0.02% |
| IOS.FN30.400.13 P USL1M R 01/12/44 JP | -0.02% |
| 1.525 R ISWP FWD US0003M P 12/18/2029 | -0.02% |
| AUD/USD 10/16/2019 WPAC | -0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| AUD/USD 10/16/2019 RBSF | -0.03% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | -0.03% |
| IOS.FN30.400.14 P USL1M R 01/12/45 JP | -0.03% |
| UA US P R 07/05/22 CI | -0.03% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.03% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | -0.04% |
| INGN US P R 07/05/22 CI | -0.04% |
| KLIC US P US0001M R 07/05/22 CI | -0.06% |
| EBIX US P R 07/05/22 CI | -0.06% |
| HOMB US P US0001M R 07/05/22 CI | -0.06% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.07% |
| WGO US P US0001M R 07/05/22 CI | -0.07% |
| EYE US P US0001M R 07/05/22 CI | -0.08% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.08% |
| DORM US P US0001M R 07/05/22 CI | -0.08% |
| APPN US P US0001M R 07/05/22 CI | -0.08% |
| CMD US P US0001M R 07/05/22 CI | -0.08% |
| OMCL US P US0001M R 07/05/22 CI | -0.08% |
| GVA US P R 07/05/22 CI | -0.09% |
| IOS.FN30.400.14 P US0001M R 01/12/45 JP | -0.09% |
| DBD US P R 07/05/22 CI | -0.09% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.09% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.09% |
| BB US P US0001M R 07/05/22 CI | -0.09% |
| BGS US P R 07/05/22 CI | -0.10% |
| 1.70 R ISWP FWD US0003M P 12/18/2029 | -0.10% |
| CUB US P US0001M R 07/05/22 CI | -0.10% |
| DLB US P US0001M R 07/05/22 CI | -0.10% |
| QLYS US P US0001M R 07/05/22 CI | -0.10% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.11% |
| PTC US P R 07/05/22 CI | -0.12% |
| ACIW US P R 07/05/22 CI | -0.12% |
| BRKR US P US0001M R 07/05/22 CI | -0.12% |
| HUBS US P R 07/05/22 CI | -0.12% |
| EPC US P US0001M R 07/05/22 CI | -0.13% |
| PBH US P US0001M R 07/05/22 CI | -0.13% |
| MDRX US P US0001M R 07/05/22 CI | -0.14% |
| CBPO US P US0001M R 07/05/22 CI | -0.14% |
| PCTY US P R 07/05/22 CI | -0.14% |
| INST US P US0001M R 07/05/22 CI | -0.14% |
| CTLT US P US0001M R 07/05/22 CI | -0.15% |
| SLAB US P US0001M R 07/05/22 CI | -0.16% |
| MDSO US P R 07/05/22 CI | -0.16% |
| LHCG US P US0001M R 07/05/22 CI | -0.16% |
| BWXT US P US0001M R 07/05/22 CI | -0.16% |
| AJRD US P R 07/05/22 CI | -0.20% |
| ENR US P R 07/05/22 CI | -0.22% |
| JBL US P US0001M R 07/05/22 CI | -0.25% |
| PKI US P US0001M R 07/05/22 CI | -0.25% |
| AAXN US P US0001M R 07/05/22 CI | -0.25% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.28% |
| HBI US P R 07/05/22 CI | -0.29% |
| OSK US P US0001M R 07/05/22 CI | -0.29% |
| ICLR US P R 07/05/22 CI | -0.32% |
| TGI US P R 07/05/22 CI | -0.32% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.37% |
| GWRE US P US0001M R 07/05/22 CI | -0.41% |
| VAR US P R 07/05/22 CI | -0.47% |
| DPZ US P US0001M R 07/05/22 CI | -0.50% |
| CERN US P R 07/05/22 CI | -0.52% |
| TXT US P US0001M R 07/05/22 CI | -0.52% |
| AMD US P US0001M R 07/05/22 CI | -0.58% |
| RL US P US0001M R 07/05/22 CI | -0.62% |
| GLW US P US0001M R 07/05/22 CI | -0.72% |
| CDX CDX.NA.HY.33 500.0 12/20/2024 | -0.73% |
| IQV US P R 07/05/22 CI | -0.77% |
| ILMN US P US0001M R 07/05/22 CI | -0.85% |
| TSLA US P R 07/05/22 CI | -0.87% |
| FNMA FN30 TBA UMBS 04.5000 10/01/2049 | -0.91% |
| CTXS US P US0001M R 07/05/22 CI | -0.93% |
| K US P R 07/05/22 CI | -1.10% |
| NDUEEGF P US0001M R 12/12/19 GS | -1.16% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -1.32% |
| NDUEEGF P US0003M R 09/18/20 CI | -2.74% |
| NDUEEGF P US0003M R 03/19/20 CI | -6.14% |
| NDUEEGF P US0001M R 08/20/20 UB | -17.35% |
| RU10INTR P US0003M R 11/26/19 CI | -19.29% |
| GSGLPW2S P US0001M R 12/15/20 GS | -33.70% |
| GSGLPWDS P US0001M R 12/15/20 GS | -37.79% |
| RU10INTR P US0003M R 06/20/23 BA | -41.11% |
Prior top 10 holdings
| Top 10 holdings as of 08/31/19 | |
|---|---|
| Fnma Fn30 Tba Umbs 03.5000 09/01/2049 | |
| Fnma Fn30 Tba Umbs 04.0000 09/01/2049 | |
| Fnma Fn30 Tba Umbs 03.0000 09/01/2049 | |
| Real Estate Select Sect Spdr Sedol Byz65y9 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019 | |
| Utilities Select Sector Spdr Sedol 2371812 | |
| Technology Select Sect Spdr Sedol 2369709 | |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | |
| Financial Select Sector Spdr Sedol 2364038 | |
| Samsung Electronics | |
| Holdings represent 27.32% of portfolio | |
| Top 10 holdings as of 07/31/19 | |
|---|---|
| Net cash | |
| Fnma Fn30 Tba Umbs 03.5000 08/01/2049 | |
| Fnma Fn30 Tba Umbs 04.0000 08/01/2049 | |
| Fnma Fn30 Tba Umbs 03.0000 08/01/2049 | |
| Real Estate Select Sect Spdr Sedol Byz65y9 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019 | |
| Consumer Staples Spdr Sedol 2369389 | |
| Utilities Select Sector Spdr Sedol 2371812 | |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | |
| Financial Select Sector Spdr Sedol 2364038 | |
| Holdings represent 62.38% of portfolio | |
| Top 10 holdings as of 06/30/19 | |
|---|---|
| Net cash | |
| Fnma Fn30 Tba Umbs 03.5000 08/01/2049 | |
| Fnma Fn30 Tba Umbs 04.0000 08/01/2049 | |
| Real Estate Select Sect Spdr Sedol Byz65y9 | |
| Utilities Select Sector Spdr Sedol 2371812 | |
| Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019 | |
| Consumer Staples Spdr Sedol 2369389 | |
| Industrial Select Sect Spdr Sedol 2502139 | |
| Financial Select Sector Spdr Sedol 2364038 | |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | |
| Holdings represent 58.34% of portfolio | |
| Top 10 holdings as of 05/31/19 | |
|---|---|
| Net cash | |
| Umbs Fn30 Tba 03.5000 06/01/2049 | |
| Fnma Fn30 Tba Umbs 04.0000 07/01/2049 | |
| Umbs Fn30 Tba 04.0000 06/01/2049 | |
| 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 | |
| Technology Select Sect Spdr Sedol 2369709 | |
| Comm Serv Select Sector Spdr Sedol Bfxhc51 | |
| Industrial Select Sect Spdr Sedol 2502139 | |
| Holdings represent 60.32% of portfolio | |
Portfolio composition as of 08/31/19
| U.S. Treasury/agency | 55.66% |
|---|---|
| U.S. stocks | 19.14% |
| Agency pass-through | 17.56% |
| Commercial MBS | 12.09% |
| Commodities | 9.61% |
| Agency CMO | 6.33% |
| Bank loans | 2.65% |
| Emerging-market bonds | 1.56% |
| International stocks | 1.51% |
| Residential MBS (non-agency) | 1.17% |
| Asset-backed securities (ABS) | 0.79% |
| Investment-grade corporate bonds | 0.25% |
| Emerging-market stocks | -0.25% |
| High-yield corporate bonds | -8.18% |
| Net cash | -19.89% |
Fixed income statistics as of 08/31/19
| Average effective maturity | 10.23 yrs. |
|---|---|
| Average effective duration | 4.48 yrs. |
| Average yield to maturity | 3.10% |
| Average coupon | 2.68% |
Maturity detail as of 08/31/19
| 0 - 1 yr. | 52.61% |
|---|---|
| 1 - 5 yrs. | 34.41% |
| 5 - 10 yrs. | 11.98% |
| 10 - 15 yrs. | 0.53% |
| Over 15 yrs. | 0.47% |
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 investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. 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 investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. 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.