Global Income Trust (Class Y) (PGGYX)
Seeking attractive bond investments across world markets since 1987
Highlights
Objective
The fund seeks high current income by investing principally in debt securities of sovereign and private issuers worldwide, including supranational issuers. Preservation of capital and long-term total return are secondary objectives, but only to the extent consistent with the objective of seeking high current income.
Strategy and process
- Worldwide opportunities: The fund's managers search for attractive income securities from a broad range of sectors in U.S. and international markets.
- Flexible risk allocations: The fund takes a unique approach to asset allocation, dynamically establishing diversified risk exposures rather than sector exposures.
- Bottom-up approach: Security selection is the primary driver of returns, with sub-sector allocations and macro strategies also serving as potential alpha generators.
Fund price |
Yesterday’s close | 52-week high | 52-week low |
|---|---|---|---|
| Net asset value |
$12.31
-0.24% | $-0.03 |
$12.46
08/28/19 |
$11.42
11/27/18 |
Fund facts as of 09/30/19
Total net assets
$230.82M
$230.82M
Turnover (fiscal year end)
451%
451%
Dividend frequency (view rate)
Monthly
Monthly
Number of holdings
973
973
Fiscal year-end
October
October
CUSIP / Fund code
74677Q604 / 1820
74677Q604 / 1820
Inception date
10/04/05
10/04/05
Class Y
Category
Fixed Income
Fixed Income
Open to new investors
Ticker
PGGYX
PGGYX
Management team
Chief Investment Officer, Fixed Income
Portfolio Manager
Portfolio Manager
Co-Head of Fixed Income
Co-Head of Fixed Income
Manager commentary | Q2 2019
Trade conflict may persist
Bill Kohli, Chief Investment Officer, Fixed Income, explains why he sees the trade conflict as "noise" and not a major trade war.
Literature
Fund documents |
| Prospectuses/SAI |
| Fund Profile (PDF) |
| Fact Sheet (Y share) (PDF) |
| Annual Report (PDF) |
| Semiannual Report (PDF) |
| Quarterly commentary (PDF) |
| Comparing Putnam's taxable income funds (PDF) |
| Proxy voting results (Form N-PX) (PDF) |
Why Brazil's crisis creates new concerns
The revelations of May 17 may pose a threat to President Temer's administration, and therefore a threat to Brazil's short- and medium-term economic outlook.See the dove in the Fed's dot plot
The market sees a more hawkish Fed in the December 2016 rate hike, but we see see signs of a dove in the Fed's dot plot.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 | 8.27% | 3.28% | 2.45% | 4.23% |
| After sales charge | N/A | N/A | N/A | N/A |
| Bloomberg Barclays Global Aggregate Index | 7.60% | 1.59% | 1.99% | 2.34% |
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 09/30/19 | -0.45% | - | |
| YTD as of 10/11/19 | 8.48% | - | |
Yield
| Distribution rate before sales charge as of 10/11/19 |
2.34% |
|---|---|
| Distribution rate after sales charge as of 10/11/19 |
2.34% |
| 30-day SEC yield with subsidy as of 09/30/19 |
1.84% |
| 30-day SEC yield without subsidy as of 09/30/19 |
1.80% |
Risk-adjusted performance as of 08/31/19
| Sharpe ratio (3 yrs.) | 0.58 |
|---|---|
| Information ratio (3 yrs.) | 0.85 |
Volatility as of 08/31/19
| Standard deviation (3 yrs.) | 3.79% |
|---|---|
| Beta | 0.77 |
| R-squared | 0.86 |
Lipper rankings as of 08/31/19
| Time period | Rank/Funds in category | Percentile ranking |
|---|---|---|
| 1 yr. | 82/206 | 40% |
| 3 yrs. | 38/172 | 22% |
| 5 yrs. | 52/159 | 33% |
| 10 yrs. | 18/94 | 19% |
Morningstar Ratings™ as of 08/31/19
| Time period | Funds in category | Morningstar Rating™ |
|---|---|---|
| Overall | 199 | |
| 3 yrs. | 199 | |
| 5 yrs. | 189 | |
| 10 yrs. | 116 |
Distributions
| Record/Ex dividend date | 09/26/19 |
|---|---|
| Payable date | 09/30/19 |
| Income | $0.024 |
| 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
| Japan (10 Year Issue) 01.0000 09/20/2021 | 2.91% |
|---|---|
| Japan (10 Year Issue) 00.8000 09/20/2023 | 2.75% |
| Japan (30 Year Issue) 02.3000 03/20/2040 | 2.40% |
| Fnma Fn30 Tba Umbs 04.0000 09/01/2049 | 2.22% |
| Japan (20 Year Issue) 02.3000 06/20/2027 | 1.81% |
| Fnma Fn30 Tba Umbs 03.0000 09/01/2049 | 1.74% |
| European Investment Bank Gbp 05.6250 06/07/2032 | 1.55% |
| Japan (40 Year Issue) 02.2000 03/20/2051 | 1.42% |
| Japan (20 Year Issue) 02.2000 03/20/2031 | 1.38% |
| Gnma Gii30 Tba 04.5000 09/01/2049 | 1.34% |
| Top 10 holdings, percent of portfolio | 19.52% |
Full portfolio holdings as of 09/30/19
| 90DAY EURO$ FUTR MAR20 EDH0 | 13.53% |
|---|---|
| US 2YR NOTE (CBT) DEC19 TUZ9 | 5.32% |
| JAPAN (10 YEAR ISSUE) 01.0000 09/20/2021 | 2.88% |
| JAPAN (10 YEAR ISSUE) 00.8000 09/20/2023 | 2.72% |
| US 10YR NOTE (CBT)DEC19 TYZ9 | 2.43% |
| JAPAN (30 YEAR ISSUE) 02.3000 03/20/2040 | 2.31% |
| FNMA FN30 TBA UMBS 04.0000 10/01/2049 | 2.25% |
| FNMA FN30 TBA UMBS 03.0000 10/01/2049 | 2.20% |
| JAPAN (20 YEAR ISSUE) 02.3000 06/20/2027 | 1.79% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 1.74% |
| US ULTRA BOND CBT DEC19 WNZ9 | 1.66% |
| US 5YR NOTE (CBT) DEC19 FVZ9 | 1.65% |
| EUROPEAN INVESTMENT BANK GBP 05.6250 06/07/2032 | 1.57% |
| GNMA GII30 TBA 04.5000 10/01/2049 | 1.36% |
| JAPAN (20 YEAR ISSUE) 02.2000 03/20/2031 | 1.35% |
| JAPAN (40 YEAR ISSUE) 02.2000 03/20/2051 | 1.33% |
| UK TSY 4 2060 REGS 04.0000 01/22/2060 | 1.25% |
| US LONG BOND(CBT) DEC19 USZ9 | 1.20% |
| JAPAN (20 YEAR ISSUE) 00.4000 03/20/2036 | 1.12% |
| US 10YR ULTRA FUT DEC19 UXYZ9 | 1.05% |
| GNMA GII30 TBA 04.0000 10/01/2049 | 0.90% |
| GNMA GII30 TBA 03.0000 10/01/2049 | 0.89% |
| FRANCE (GOVT OF) REGS 02.7500 10/25/2027 | 0.85% |
| FRANCE (GOVT OF) REGS 00.5000 05/25/2025 | 0.82% |
| BUONI POLIENNALI DEL P/P REGS 04.7500 08/01/2023 | 0.77% |
| FRANCE (GOVT OF) REGS 04.5000 04/25/2041 | 0.74% |
| JAPAN (10 YEAR ISSUE) 00.1000 03/20/2027 | 0.71% |
| TREASURY BILL 00.0000 10/10/2019 | 0.71% |
| FRANCE (GOVT OF) REGS 03.2500 10/25/2021 | 0.68% |
| DBUBS 2011-LC3A D P/P 144A 05.5118 08/10/2044 | 0.68% |
| UNITED MEXICAN STATES USD 05.5500 01/21/2045 | 0.67% |
| UK TSY 2 3/4 2024 REGS 02.7500 09/07/2024 | 0.66% |
| LONG GILT FUTURE DEC19 G Z9 | 0.64% |
| BUONI POLIENNALI P/P REGS 04.7500 09/01/2044 | 0.62% |
| BUONI POLIENNALI DEL TES 06.5000 11/01/2027 | 0.59% |
| JPMCC 2012-C8 D P/P 144A 04.8070 10/15/2045 | 0.56% |
| BUONI POLIENNALI DEL TES 02.5000 12/01/2024 | 0.56% |
| REP OF INDONESIA P/P 144A 03.3750 04/15/2023 | 0.55% |
| JPMCC 2012-C6 E P/P 144A 05.3187 05/15/2045 | 0.54% |
| BONOS Y OBLIG P/P REGS 05.1500 10/31/2028 | 0.53% |
| MWST 2018-W1 A 02.8684 11/25/2051 | 0.52% |
| EURO BUXL 30Y BND DEC19 UBZ9 | 0.51% |
| BONOS Y OBLIG DEL ES P/P REGS 04.4000 10/31/2023 | 0.50% |
| SAIL 2004-10 A10 02.9184 11/25/2034 | 0.49% |
| CAS 2015-C04 2M2 07.5684 04/25/2028 | 0.48% |
| ONTARIO (PROVINCE OF) 03.1500 06/02/2022 | 0.48% |
| SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP | 0.48% |
| SPST 2019-7 A 02.7365 09/24/2020 | 0.47% |
| CFCRE 2011-C2 E P/P 144A 05.9394 12/15/2047 | 0.46% |
| BRISTOL-MYERS P/P 144A 03.4000 07/26/2029 | 0.46% |
| FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 | 0.46% |
| BUONI POLIENNALI DEL TES 04.0000 09/01/2020 | 0.45% |
| GNMA GII30 TBA 03.5000 10/01/2049 | 0.45% |
| EURO-BOBL FUTURE DEC19 OEZ9 | 0.45% |
| SPST 2019-3 A 02.7365 06/24/2020 | 0.43% |
| VERIZON COMM 04.3290 09/21/2028 | 0.41% |
| TREASURY BILL 00.0000 11/07/2019 | 0.41% |
| CIT GROUP INC. 05.2500 03/07/2025 | 0.39% |
| SALESFORCE.COM INC 03.7000 04/11/2028 | 0.39% |
| STACR 2016-DNA3 M3 07.0184 12/25/2028 | 0.39% |
| MSBAM 2012-C5 AS 03.7920 08/15/2045 | 0.38% |
| CSMC 2016-NXSR C 04.5055 12/15/2049 | 0.38% |
| CSAIL 2015-C1 C 04.4167 04/15/2050 | 0.37% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2029 | 0.37% |
| WFRBS 2013-C18 AS 04.3870 12/15/2046 | 0.37% |
| AUSTRALIAN GOVERNMENT REGS 02.2500 05/21/2028 | 0.37% |
| CAS 2016-C02 1M2 08.0184 09/25/2028 | 0.37% |
| GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 | 0.36% |
| INTERPUBLIC GROUP COS 04.6500 10/01/2028 | 0.35% |
| BELGIUM KINGDOM P/P REGS 04.2500 03/28/2041 | 0.34% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2030 | 0.34% |
| SWEDISH GOVERNMENT 03.5000 06/01/2022 | 0.34% |
| FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 | 0.34% |
| BPCE SA P/P 144A 04.5000 03/15/2025 | 0.34% |
| BELGIUM KINGDOM P/P REGS 01.0000 06/22/2026 | 0.33% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2023 | 0.33% |
| CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 | 0.33% |
| SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP | 0.32% |
| SPANISH GOV'T P/P REGS 05.1500 10/31/2044 | 0.32% |
| BP CAP MARKETS AMERICA 03.9370 09/21/2028 | 0.32% |
| REPUBLIC OF SOUTH AFRICA 07.7500 02/28/2023 | 0.32% |
| COMM 2014-CR17 C 04.9480 05/10/2047 | 0.32% |
| CITIGROUP INC 04.4500 09/29/2027 | 0.32% |
| CGCMT 2014-GC21 AS 04.0260 05/10/2047 | 0.31% |
| MEX BONOS DESARR FIX RT 10.0000 12/05/2024 | 0.31% |
| CONCHO RESOURCES INC 03.7500 10/01/2027 | 0.31% |
| SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP | 0.30% |
| TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 | 0.30% |
| KEURIG DR PEPPER INC 04.5970 05/25/2028 | 0.30% |
| DIGITAL REALTY TRUST LP 04.4500 07/15/2028 | 0.29% |
| EMIR 2018-1 M1 03.7184 11/25/2028 | 0.29% |
| IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 | 0.29% |
| NETHERLANDS GOV P/P REGS 00.5000 07/15/2026 | 0.29% |
| FISERV INC 04.2000 10/01/2028 | 0.29% |
| MALAYSIA GOVERNMENT 03.8990 11/16/2027 | 0.29% |
| ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 | 0.28% |
| SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP | 0.28% |
| ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 | 0.28% |
| ENERGY TRANSFER OPERA 05.8750 01/15/2024 | 0.28% |
| WFRBS 2011-C2 D P/P 144A 05.8389 02/15/2044 | 0.28% |
| ONTARIO (PROVINCE OF) 06.5000 03/08/2029 | 0.27% |
| UBS GROUP FUNDIN P/P 144A 04.1250 04/15/2026 | 0.27% |
| GSAA 2006-15 AF3A 05.8825 09/25/2036 | 0.27% |
| CANADIAN GOVERNMENT 00.5000 03/01/2022 | 0.27% |
| HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 | 0.26% |
| MSBAM 2014-C17 C 04.6566 08/15/2047 | 0.26% |
| WAMU 2005-AR12 1A8 03.8756 10/25/2035 | 0.26% |
| EUROPEAN INVESTMENT BANK 04.1250 04/15/2024 | 0.26% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.26% |
| SWITZERLAND REGS 04.0000 04/08/2028 | 0.26% |
| DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 | 0.26% |
| CHARTER COMM OPT LLC 06.4840 10/23/2045 | 0.26% |
| SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 | 0.25% |
| CHENIERE CORP CHRIST 05.1250 06/30/2027 | 0.25% |
| TREASURY BILL 00.0000 03/12/2020 | 0.25% |
| HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 | 0.25% |
| MICROCHIP TECH INC 04.3330 06/01/2023 | 0.25% |
| SWITZERLAND REGS 02.0000 05/25/2022 | 0.25% |
| PETROLEOS MEXICANOS USD 06.5000 03/13/2027 | 0.24% |
| WFRBS 2013-UBS1 AS 04.3060 03/15/2046 | 0.24% |
| REPUBLIC OF AUSTRIA P/P REGS 00.5000 04/20/2027 | 0.24% |
| BRDCOM CRP / FIN 03.8750 01/15/2027 | 0.24% |
| WESTERN DIGITAL CORPORATION 04.7500 02/15/2026 | 0.24% |
| BMIR 2018-2A M1B P/P 144A 03.3684 08/25/2028 | 0.24% |
| IRISH TSY 5.4 2025 05.4000 03/13/2025 | 0.24% |
| AUSTRALIAN GOVERNMENT REGS 05.5000 04/21/2023 | 0.24% |
| CAN 10YR BOND FUT DEC19 CNZ9 | 0.23% |
| MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 | 0.23% |
| NRG ENERGY INC P/P 144A 04.4500 06/15/2029 | 0.23% |
| OBRIGACOES DO TESO P/P REGS 01.9500 06/15/2029 | 0.23% |
| ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 | 0.23% |
| 2.776 R ISWP FWD US0003M P 03/21/2029 | 0.23% |
| CPTFEMU P 1.71 R 07/15/37 | 0.23% |
| GNMA GII30 BD1731 03.5000 01/20/2048 | 0.22% |
| POLAND GOVERNMENT BOND PLN 02.5000 01/25/2023 | 0.22% |
| FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 | 0.22% |
| GNR 2016-H23 NI IO 02.2585 10/20/2066 | 0.22% |
| AIR LEASE CORP 04.6250 10/01/2028 | 0.22% |
| OSHKOSH CORP 04.6000 05/15/2028 | 0.22% |
| STACR 2014-DN4 M3 06.5684 10/25/2024 | 0.22% |
| WEC ENERGY GROUP INC 04.2706 05/15/2067 | 0.22% |
| TRK 2019-1 A1 04.3356 03/25/2022 | 0.21% |
| AMAZON.COM INC 04.0500 08/22/2047 | 0.21% |
| AMERICAN INTL GROUP 08.1750 05/15/2058 | 0.21% |
| WESTLAKE CHEM CORP 03.6000 08/15/2026 | 0.21% |
| SABINE PASS LIQUEF 05.0000 03/15/2027 | 0.21% |
| LEAR CORP 03.8000 09/15/2027 | 0.21% |
| GNMA 10000 BE3158 03.5000 11/20/2047 | 0.20% |
| ZOETIS INC 03.9000 08/20/2028 | 0.20% |
| WASTE CONNECTIONS INC 03.5000 05/01/2029 | 0.20% |
| WAMU 2005-AR9 A1C3 02.9784 07/25/2045 | 0.20% |
| BANK OF AMERICA CORP 06.5000 10/29/2049 | 0.20% |
| COX COMM INC P/P 144A 03.5000 08/15/2027 | 0.20% |
| 3.073 R ISWP FWD US0003M P 03/04/2029 | 0.20% |
| AT&T INC 04.3500 03/01/2029 | 0.20% |
| CROWN CASTLE INTL CORP 03.6500 09/01/2027 | 0.19% |
| LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 | 0.19% |
| SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS | 0.19% |
| SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS | 0.19% |
| SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS | 0.19% |
| CWALT 2006-OA7 1A2 03.3861 06/25/2046 | 0.19% |
| UNITED MEXICAN STATES USD 04.0000 10/02/2023 | 0.19% |
| AT&T INC 04.1000 02/15/2028 | 0.19% |
| CVS HEALTH CORP 04.7800 03/25/2038 | 0.19% |
| BANCO SANTANDER SA USD 04.3790 04/12/2028 | 0.19% |
| GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 | 0.19% |
| GSMS 2010-C1 D P/P 144A 06.1973 08/10/2043 | 0.19% |
| NETHERLANDS GOVT P/P REGS 03.7500 01/15/2042 | 0.19% |
| CBS CORP 04.2000 06/01/2029 | 0.19% |
| GNR 2017-H02 BI IO 02.3414 01/20/2067 | 0.19% |
| JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 | 0.18% |
| NUTRIEN LTD. USD 04.2000 04/01/2029 | 0.18% |
| PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 | 0.18% |
| SHERWIN-WILLIAMS CO 03.4500 06/01/2027 | 0.18% |
| ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 | 0.18% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2026 | 0.18% |
| WFCM 2016-BNK1 AS 02.8140 08/15/2049 | 0.18% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.18% |
| COMM 2014-CR18 C 04.8873 07/15/2047 | 0.18% |
| GNR 2015-H09 AI IO 02.1691 04/20/2065 | 0.18% |
| GNR 2017-H04 BI IO 02.5378 02/20/2067 | 0.18% |
| TRANSCANADA TRUST USD 05.3000 03/15/2077 | 0.18% |
| CWALT 2006-OA10 4A1 02.2084 08/25/2046 | 0.18% |
| BELGIUM KINGDOM P/P REGS 04.2500 09/28/2022 | 0.18% |
| CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 | 0.18% |
| COMM 2012-CR2 D P/P 144A 04.9920 08/15/2045 | 0.18% |
| AON PLC USD 04.2500 12/12/2042 | 0.18% |
| CAS 2016-C03 1M2 07.3184 10/25/2028 | 0.18% |
| GNMA GII30 BD1729 03.5000 01/20/2048 | 0.17% |
| GNR 2015-H03 DI IO 02.1086 01/20/2065 | 0.17% |
| AUSTRALIAN GOVERNMENT REGS 01.7500 11/21/2020 | 0.17% |
| CAS 2017-C02 2ED3 03.3684 09/25/2029 | 0.17% |
| WELLS FARGO BANK NA 06.6000 01/15/2038 | 0.17% |
| GNR 2017-H11 NI IO 02.2846 05/20/2067 | 0.17% |
| WAMU 2005-AR2 2A1B 02.3884 01/25/2045 | 0.17% |
| COMM 2015-LC21 XA IO 00.9091 07/10/2048 | 0.16% |
| SWPTN BERM 5YX25Y R 2.75 USD 05/26/2048 MS | 0.16% |
| GNR 2016-H16 EI IO 02.3966 06/20/2066 | 0.16% |
| UNITEDHEALTH GROUP INC 03.8500 06/15/2028 | 0.16% |
| WFCM 2013-LC12 C 04.4203 07/15/2046 | 0.16% |
| COMM 2012-CR2 AM 03.7910 08/15/2045 | 0.16% |
| ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 | 0.16% |
| VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 | 0.16% |
| COMM 2014-UBS6 XA IO 01.0704 12/10/2047 | 0.16% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.16% |
| FNR 2015-28 IO IO 05.5000 05/25/2045 | 0.16% |
| 3.312 R ISWP US0003M P 11/08/2048 | 0.16% |
| JPMBB 2014-C22 XA IO 01.0047 09/15/2047 | 0.16% |
| NETHERLANDS GOVT P/P REGS 02.2500 07/15/2022 | 0.15% |
| EQUINIX INC 05.3750 05/15/2027 | 0.15% |
| PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 | 0.15% |
| GNMA 10000 BC8223 03.5000 11/20/2047 | 0.15% |
| EOG RESOURCES INC 04.1500 01/15/2026 | 0.15% |
| HELLENIC REPUBLIC REGS 03.4500 04/02/2024 | 0.15% |
| STACR 2014-HQ3 M3 06.7684 10/25/2024 | 0.15% |
| ARRW 2019-3 A3 03.4160 10/25/2048 | 0.15% |
| CROWN CASTLE INTL CORP 04.7500 05/15/2047 | 0.15% |
| CMLTI 2005-2 1A2A 04.9300 05/25/2035 | 0.15% |
| FRANCE (GOVT OF) REGS 04.0000 04/25/2055 | 0.15% |
| BONOS Y OBLIG DEL ES P/P REGS 04.6500 07/30/2025 | 0.15% |
| BONOS Y OBLIG DEL ESTADO 00.7500 07/30/2021 | 0.14% |
| FHR 4165 TI IO 03.0000 12/15/2042 | 0.14% |
| FIDELITY NATIONAL INFORM 04.2500 05/15/2028 | 0.14% |
| GSMS 2013-GC10 XA IO 01.6541 02/10/2046 | 0.14% |
| GNR 2012-91 IN IO 04.5000 05/20/2042 | 0.14% |
| IVORY COAST REGS 06.1250 06/15/2033 | 0.14% |
| CPTFEMU P 1.7138 R 08/15/37 | 0.14% |
| JPMBB 2014-C22 C 04.7086 09/15/2047 | 0.14% |
| UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 | 0.14% |
| MARSH & MCLENNAN COS INC 04.3750 03/15/2029 | 0.14% |
| SAMI 2007-AR7 1A1 02.8684 05/25/2047 | 0.14% |
| CCMFC 2006-4A A2 02.1984 11/25/2047 | 0.14% |
| MBX.GII30.450.10 R USL1M P 01/12/41 CS | 0.14% |
| REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 | 0.14% |
| GNR 2016-47 CI IO 04.0000 09/20/2045 | 0.14% |
| FIDELITY NATL INFO SERV 03.7500 05/21/2029 | 0.14% |
| GNR 2016-H07 HI IO 01.9648 02/20/2066 | 0.13% |
| HCA INC 05.5000 06/15/2047 | 0.13% |
| MWST 2019-1 A 02.8184 06/25/2052 | 0.13% |
| IVORY COAST REGS 05.3750 07/23/2024 | 0.13% |
| JPMBB 2013-C12 XA IO 00.6040 07/15/2045 | 0.13% |
| GNR 2016-83 PI IO 03.5000 06/20/2045 | 0.13% |
| KKR GR FIN CO P/P 144A 03.7500 07/01/2029 | 0.13% |
| AMERICAN ELECTRIC POWER 04.3000 12/01/2028 | 0.13% |
| METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 | 0.13% |
| UBSCM 2012-C1 C P/P 144A 05.7278 05/10/2045 | 0.13% |
| BGC PARTNERS INC 05.1250 05/27/2021 | 0.13% |
| INTL FLAVOR & FRAGRANCES 04.4500 09/26/2028 | 0.13% |
| KINGDOM OF DENMARK 01.7500 11/15/2025 | 0.13% |
| BRAVO 2019-NQM1 A3 02.9960 07/25/2059 | 0.13% |
| FNR 2012-116 SA IO 05.1816 10/25/2042 | 0.13% |
| JPMCC 2013-C16 XA IO 01.1060 12/15/2046 | 0.13% |
| JPMCC 2013-LC11 AS 03.2160 04/15/2046 | 0.13% |
| GSMS 2011-GC3 D P/P 144A 05.8245 03/10/2044 | 0.13% |
| CAS 2015-C01 1M2 06.3184 02/25/2025 | 0.12% |
| CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 | 0.12% |
| MSBAM 2012-C6 D P/P 144A 04.7617 11/15/2045 | 0.12% |
| WAMU 2005-AR13 A1C3 02.5084 10/25/2045 | 0.12% |
| BUONI POLIENNALI DEL P/P REGS 04.0000 02/01/2037 | 0.12% |
| WESTPAC BANKING CORP USD 04.4210 07/24/2039 | 0.12% |
| WFRBS 2013-C14 XA IO 00.8668 06/15/2046 | 0.12% |
| GNR 2016-H13 EI IO 02.3659 04/20/2066 | 0.12% |
| CANADIAN GOVERNMENT 03.5000 12/01/2045 | 0.12% |
| WESTROCK MWV LLC 08.2000 01/15/2030 | 0.12% |
| BMIR 2017-1 M1 P/P 144A 03.7184 10/25/2027 | 0.12% |
| CBS CORP 02.9000 01/15/2027 | 0.12% |
| REPUBLIC OF AUSTRIA P/P REGS 01.5000 02/20/2047 | 0.12% |
| BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 | 0.12% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.12% |
| BB&T CORPORATION 04.8000 12/31/2099 | 0.12% |
| CROWN CASTLE INTL CORP 03.8000 02/15/2028 | 0.12% |
| MICROSOFT CORP 03.7000 08/08/2046 | 0.12% |
| STACR 2014-HQ2 M3 05.7684 09/25/2024 | 0.12% |
| GNR 2014-H12 BI IO 01.5928 05/20/2064 | 0.12% |
| CREDIT SUISSE GRP AG P/P 144A 03.8690 01/12/2029 | 0.11% |
| NRG P/P 144A 03.7500 06/15/2024 | 0.11% |
| PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 | 0.11% |
| AMGEN INC 04.6630 06/15/2051 | 0.11% |
| BONOS Y OBLIG DEL ES P/P REGS 04.2000 01/31/2037 | 0.11% |
| MARM 2004-13 3A7 04.7342 11/21/2034 | 0.11% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.11% |
| JPMCC 2012-LC9 D P/P 144A 04.5473 12/15/2047 | 0.11% |
| TARGA RESOURCES PART 05.0000 01/15/2028 | 0.11% |
| HMIR 2018-1 M1 P/P 144A 03.6184 10/25/2028 | 0.11% |
| L3HARRIS TECH INC P/P 144A 03.8500 12/15/2026 | 0.11% |
| WFRBS 2012-C10 D P/P 144A 04.5851 12/15/2045 | 0.11% |
| AES CORP/THE 05.1250 09/01/2027 | 0.11% |
| UBSCM 2017-C7 XA IO 01.2142 12/15/2050 | 0.11% |
| WAMU 2005-AR1 A1B 02.7984 01/25/2045 | 0.11% |
| KINDER MORGAN ENER PART 05.4000 09/01/2044 | 0.11% |
| VMWARE INC 03.9000 08/21/2027 | 0.11% |
| JPMCC 2012-C6 AS 04.1166 05/15/2045 | 0.11% |
| GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 | 0.11% |
| REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 | 0.11% |
| REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 | 0.11% |
| STANDARD IND INC P/P 144A 05.0000 02/15/2027 | 0.11% |
| GNR 2016-75 LI IO 06.0000 01/20/2040 | 0.10% |
| REPUBLIC OF AUSTRIA P/P REGS 03.6500 04/20/2022 | 0.10% |
| GNR 2015-H26 EI IO 01.7488 10/20/2065 | 0.10% |
| GNR 2017-H19 MI IO 02.0427 04/20/2067 | 0.10% |
| AMERICAN TOWER CORP 03.3750 10/15/2026 | 0.10% |
| CAS 2015-C04 1M2 07.7184 04/25/2028 | 0.10% |
| GNR 2015-H26 DI IO 01.9802 10/20/2065 | 0.10% |
| CELANESE US HOLDINGS LLC 03.5000 05/08/2024 | 0.10% |
| CNO FINANCIAL GROUP INC 05.2500 05/30/2025 | 0.10% |
| FNR 2012-103 LS IO 03.9816 09/25/2042 | 0.10% |
| GNR 2014-H21 AI IO 01.6310 10/20/2064 | 0.10% |
| CAS 2017-C01 1EB1 03.2684 07/25/2029 | 0.10% |
| AMERICAN TOWER CORP 03.5500 07/15/2027 | 0.10% |
| BANCO SANTANDER SA USD 05.1790 11/19/2025 | 0.10% |
| CWALT 2006-OA19 A1 02.2243 02/20/2047 | 0.10% |
| GENERAL MOTORS FINL CO 04.0000 10/06/2026 | 0.10% |
| GNR 2013-182 IQ IO 04.5000 12/16/2043 | 0.10% |
| NEW ZEALAND GOVERNMENT REGS 02.7500 04/15/2025 | 0.10% |
| SWITZERLAND REGS 01.5000 04/30/2042 | 0.10% |
| CWALT 2006-24CB A13 02.3684 08/25/2036 | 0.09% |
| VISTRA OPERATION P/P 144A 03.5500 07/15/2024 | 0.09% |
| GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 | 0.09% |
| RUSSIAN FEDERATION P/P 144A 04.3750 03/21/2029 | 0.09% |
| WAMU 2005-AR10 1A3 04.1759 09/25/2035 | 0.09% |
| CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 | 0.09% |
| GNR 2015-H25 AI IO 01.6297 09/20/2065 | 0.09% |
| WFRBS 2013-C11 AS 03.3110 03/15/2045 | 0.09% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.09% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.09% |
| RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 | 0.09% |
| SAMI 2007-AR1 2A1 02.1984 01/25/2037 | 0.09% |
| VISTRA OPERATION P/P 144A 04.3000 07/15/2029 | 0.09% |
| BUMT 2005-1 1A1 02.6184 09/25/2045 | 0.09% |
| GNR 2014-116 IL IO 04.0000 08/20/2044 | 0.09% |
| GNR 2014-25 QI IO 05.0000 01/20/2044 | 0.09% |
| GNR 2016-19 PI IO 04.0000 02/20/2046 | 0.09% |
| GNR 2016-H20 NI IO 02.0239 09/20/2066 | 0.09% |
| NORWEGIAN GOVERNMENT P/P REGS 03.0000 03/14/2024 | 0.09% |
| PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 | 0.09% |
| GNMA 10000 BD1730 03.5000 01/20/2048 | 0.09% |
| RAMC 2003-4 A1 02.5384 03/25/2034 | 0.09% |
| GNR 2012-136 BI IO 03.5000 11/20/2042 | 0.09% |
| CWALT 2006-OA10 1A1 03.4061 08/25/2046 | 0.09% |
| CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 | 0.08% |
| DUKE ENERGY OHIO INC 03.6500 02/01/2029 | 0.08% |
| LHOME 2019-RTL2 A1 03.8440 03/25/2024 | 0.08% |
| TORONTO-DOMINION BANK USD 03.6250 09/15/2031 | 0.08% |
| WEYERHAEUSER CO 07.3750 03/15/2032 | 0.08% |
| MSC 2011-C3 D P/P 144A 05.2925 07/15/2049 | 0.08% |
| SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS | 0.08% |
| BANK OF MONTREAL USD 03.8030 12/15/2032 | 0.08% |
| AUSTRALIAN GOVERNMENT REGS 03.7500 04/21/2037 | 0.08% |
| JPMCC 2013-C10 AS 03.3715 12/15/2047 | 0.08% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.08% |
| SWPTN 10YX20Y R 1.921 EUR 10/18/2028 JP | 0.08% |
| SWPTN 1YX30Y R 1.288 EUR 02/17/2020 JP | 0.08% |
| CBRE SERVICES INC 04.8750 03/01/2026 | 0.08% |
| LEGRAND FRANCE USD 08.5000 02/15/2025 | 0.08% |
| SPANISH GOV'T P/P REGS 01.5000 04/30/2027 | 0.08% |
| GNR 2016-H01 AI IO 01.8915 01/20/2066 | 0.08% |
| JPMBB 2015-C33 XA IO 01.1338 12/15/2048 | 0.08% |
| TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 | 0.08% |
| SWPTN 10YX10Y R 2.795 USD 12/20/2027 JP | 0.08% |
| AIR LEASE CORP 03.2500 10/01/2029 | 0.08% |
| CHARTER COMM OPT LLC 05.3750 05/01/2047 | 0.08% |
| IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 | 0.08% |
| CARR 2006-NC2 A4 02.2584 06/25/2036 | 0.07% |
| GNR 2016-77 SL IO 04.1058 03/20/2043 | 0.07% |
| SWPTN 10YX10Y R 2.7575 USD 12/20/2027 JP | 0.07% |
| WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 | 0.07% |
| KINGDOM OF DENMARK 04.5000 11/15/2039 | 0.07% |
| MSRR 2015-R4 CB1 02.9695 08/26/2047 | 0.07% |
| PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 | 0.07% |
| WFMBS 2006-AR5 1A1 05.1915 04/25/2036 | 0.07% |
| WFMBS 2006-AR2 1A1 04.9647 03/25/2036 | 0.07% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.07% |
| GNR 2010-171 SB IO 04.4225 12/16/2040 | 0.07% |
| WFRBS 2011-C4 E P/P 144A 05.3965 06/15/2044 | 0.07% |
| 0.05 R ISWP FWD EUR006M P 12/18/2029 | 0.07% |
| IPALCO ENTPRS IN 03.7000 09/01/2024 | 0.07% |
| GNR 2016-H25 GI IO 01.5214 11/20/2066 | 0.07% |
| MLMI 2005-A2 A2 04.4481 02/25/2035 | 0.07% |
| NRZT 2018-4A A1M 02.9184 01/25/2048 | 0.07% |
| ONTARIO (PROVINCE OF) 02.6000 06/02/2025 | 0.07% |
| GNR 2017-57 AI IO 04.0000 06/20/2045 | 0.07% |
| ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 | 0.07% |
| WFRBS 2012-C10 XA IO P/P 144A 01.6986 12/15/2045 | 0.07% |
| EUR/USD PUT 1.097 20191017 BANKAM | 0.07% |
| GSMS 2012-GC6 D P/P 144A 05.8397 01/10/2045 | 0.07% |
| WFCM 2016-LC25 XA IO 01.1461 12/15/2059 | 0.06% |
| FNR 2017-113 IO IO 05.0000 01/25/2038 | 0.06% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2024 | 0.06% |
| L3HARRIS TECH INC P/P 144A 04.4000 06/15/2028 | 0.06% |
| SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA | 0.06% |
| TREASURY BILL 00.0000 12/12/2019 | 0.06% |
| 1.343 R ISWP FWD EUR006M P 11/29/2058 | 0.06% |
| GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 | 0.06% |
| CAS 2016-C03 2M2 07.9184 10/25/2028 | 0.06% |
| OMNICOM GP/OMNICOM CAP 03.6000 04/15/2026 | 0.06% |
| COMCAST CORP 03.9990 11/01/2049 | 0.06% |
| DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 | 0.06% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.06% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.06% |
| SERVICE CORPORATION INTL 04.6250 12/15/2027 | 0.06% |
| STACR 2015-HQ2 M2 03.9684 05/25/2025 | 0.06% |
| TREASURY BILL 00.0000 12/05/2019 | 0.06% |
| FISERV INC 03.5000 07/01/2029 | 0.06% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2031 | 0.06% |
| ANHEUSER-BUSCH INBEV WOR 04.7500 01/23/2029 | 0.05% |
| FHR 4076 MS IO 04.6725 07/15/2040 | 0.05% |
| ANHEUSER-BUSCH INBEV WOR 05.5500 01/23/2049 | 0.05% |
| CAS 2015-C02 1M2 06.0184 05/25/2025 | 0.05% |
| EUR/USD 12/18/2019 HSBCB | 0.05% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.05% |
| FRANCE (GOVT OF) REGS 00.5000 05/25/2029 | 0.05% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.05% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.05% |
| 0.051 R ISWP FWD EUR006M P 12/18/2029 | 0.05% |
| AT&T INC 02.9500 07/15/2026 | 0.05% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.05% |
| SERVICE PROPERTIES TRUST 04.3750 02/15/2030 | 0.05% |
| CHARTER COMM OPT LLC 04.9080 07/23/2025 | 0.05% |
| COMM 2014-UBS6 C 04.6006 12/10/2047 | 0.05% |
| HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 | 0.05% |
| CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 | 0.05% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.05% |
| GNMA GII30 BP3708 05.0000 08/20/2049 | 0.05% |
| GNR 2018-21 IN IO 05.0000 02/20/2048 | 0.05% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.04% |
| ANHEUSER-BUSCH INBEV WOR 04.1500 01/23/2025 | 0.04% |
| EL PASO NATURAL GAS 08.3750 06/15/2032 | 0.04% |
| ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 | 0.04% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.04% |
| IRISH TSY 2 2045 REGS 02.0000 02/18/2045 | 0.04% |
| UBSBB 2012-C4 XA IO P/P 144A 01.7803 12/10/2045 | 0.04% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.04% |
| ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 | 0.04% |
| KEURIG DR PEPPER INC 04.4170 05/25/2025 | 0.04% |
| 2.806 R ISWP FWD US0003M P 03/05/2030 | 0.04% |
| CITIGROUP INC 03.6680 07/24/2028 | 0.04% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.04% |
| AIR LEASE CORP 03.6250 04/01/2027 | 0.04% |
| FNR 2012-124 JI IO 03.5000 11/25/2042 | 0.04% |
| HCA INC 04.1250 06/15/2029 | 0.04% |
| TREASURY BILL 00.0000 11/21/2019 | 0.04% |
| HCA INC 05.2500 06/15/2026 | 0.04% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.04% |
| IOS.FN30.350.13 R USL1M P 01/12/44 GS | 0.04% |
| PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 | 0.04% |
| 0.75 R ISWP FWD GBL6M P 12/18/2024 | 0.04% |
| CAS 2019-R01 2M2 04.4684 07/25/2031 | 0.04% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.04% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.04% |
| CAS 2018-C05 1M2 04.3684 01/25/2031 | 0.03% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2025 | 0.03% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.03% |
| SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS | 0.03% |
| SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS | 0.03% |
| COMCAST CORP 06.5000 11/15/2035 | 0.03% |
| CPURNSA P 2.19 R 12/06/27 | 0.03% |
| CPURNSA P 2.1939 R 12/21/27 | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.03% |
| JPY/USD 11/20/2019 UBS | 0.03% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.03% |
| STACR 2019-DNA1 M2 04.6684 01/25/2049 | 0.03% |
| FRANCE (GOVT OF) REGS 03.2500 05/25/2045 | 0.03% |
| GNR 2014-102 IG IO 03.5000 03/16/2041 | 0.03% |
| WESTROCK MWV LLC 07.9500 02/15/2031 | 0.03% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.03% |
| HCA INC 05.0000 03/15/2024 | 0.03% |
| PETROBRAS GLOBAL FIN P/P 144A 05.0930 01/15/2030 | 0.03% |
| AT&T INC. 03.8000 02/15/2027 | 0.03% |
| ENERGY TRANSFER OPERATNG 06.2500 04/15/2049 | 0.03% |
| SWEDISH GOVERNMENT 03.5000 03/30/2039 | 0.03% |
| TREASURY BILL 00.0000 11/14/2019 | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.03% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.03% |
| CAS 2015-C03 2M2 07.0184 07/25/2025 | 0.03% |
| FNR 2013-23 PI IO 03.0000 10/25/2041 | 0.03% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.03% |
| NZD/USD 10/16/2019 JPMCB | 0.03% |
| 1.1575 R ISWP SES3M P 11/13/2027 | 0.03% |
| 1.16 R ISWP SES3M P 11/13/2027 | 0.03% |
| BONOS Y OBLIG DEL ES P/P REGS 02.9000 10/31/2046 | 0.03% |
| FIFTH THIRD BANCORP 05.1000 12/29/2049 | 0.03% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.03% |
| 1.13 R ISWP SES3M P 11/10/2027 | 0.03% |
| CAS 2019-R02 1M2 04.3184 08/25/2031 | 0.03% |
| SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB | 0.03% |
| SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS | 0.03% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.02% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2028 | 0.02% |
| WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 | 0.02% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.02% |
| SWPTN 3MX5Y P 1.3 USD 12/05/2019 CI | 0.02% |
| SWPTN 5YX20Y R 1.11125 JPY 08/24/2023 BC | 0.02% |
| AUD/JPY PUT 70.00 20200214 CITI | 0.02% |
| AUD/JPY PUT 70.00 20200214 GSFX | 0.02% |
| FHR 3065 DC 13.7775 03/15/2035 | 0.02% |
| GNR 2018-127 IB IO 04.5000 06/20/2045 | 0.02% |
| IOS.GII30.500.10 R USL1M P 01/12/41 BC | 0.02% |
| SWPTN 5YX30Y R 1.304 EUR 06/05/2024 BA | 0.02% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.02% |
| FNR 2010-46 SB IO 04.4316 05/25/2040 | 0.02% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2032 | 0.02% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2033 | 0.02% |
| SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP | 0.02% |
| SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB | 0.02% |
| SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS | 0.02% |
| 1.67 R ISWP KRW3MCD P 12/09/2021 GS | 0.02% |
| SWPTN 10YX10Y P 2.795 USD 12/20/2027 JP | 0.02% |
| SWPTN 10YX10Y R 2.988 USD 02/26/2029 GS | 0.02% |
| 1.45 R ISWP FWD US0003M P 12/18/2024 | 0.02% |
| CVS PASS-THROUGH TRUST 06.0360 12/10/2028 | 0.02% |
| ZAR/USD 10/16/2019 GSFX | 0.02% |
| FNR 2006-8 HP 17.1659 03/25/2036 | 0.02% |
| FNR 2007-53 SP 16.7993 06/25/2037 | 0.02% |
| IOS.FN30.350.12 R USL1M P 01/12/43 GS | 0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.02% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BC | 0.02% |
| PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 | 0.02% |
| 1.626 R ISWP FWD US0003M P 09/12/2052 | 0.02% |
| 2.86 R ISWP US0003M P 01/22/2020 | 0.02% |
| GBP/USD 12/18/2019 UBS | 0.02% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.02% |
| MARATHON PETRO CORP 06.5000 03/01/2041 | 0.02% |
| SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.02% |
| IOS.FN30.400.11 R USL1M P 01/12/42 GS | 0.02% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.02% |
| SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI | 0.02% |
| IOS.FN30.350.13 R USL1M P 01/12/44 CS | 0.02% |
| KRW/USD 11/20/2019 GSFX | 0.02% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.02% |
| NZD/USD 10/16/2019 BCAP-FX | 0.02% |
| SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA | 0.02% |
| SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS | 0.02% |
| 0.40 R ISWP FWD SES3M P 12/18/2029 | 0.01% |
| 0.80 R ISWP FWD GBL6M P 12/18/2029 | 0.01% |
| AUD/USD 10/16/2019 GSFX | 0.01% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.01% |
| SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS | 0.01% |
| 1.354 R ISWP FWD EUR006M P 02/19/2050 | 0.01% |
| FIDELITY NATIONAL INFORM 03.0000 08/15/2026 | 0.01% |
| JPY/USD 11/20/2019 JPMCB | 0.01% |
| PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 | 0.01% |
| 2.2225 R ISWP FWD US0003M P 06/05/2029 | 0.01% |
| SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP | 0.01% |
| SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA | 0.01% |
| FHR 2990 LB 11.7636 06/15/2034 | 0.01% |
| FHR 3249 PS 15.5843 12/15/2036 | 0.01% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.01% |
| SWPTN 5YX30Y R 1.053 EUR 06/04/2024 BA | 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% |
| 2.001 R ISWP FWD CDOR03 P 12/18/2049 | 0.01% |
| 2.07 R ISWP THFX6M P 11/16/2021 JP | 0.01% |
| CAD/USD 10/16/2019 BANKAM | 0.01% |
| FNR 2005-75 GS 14.1949 08/25/2035 | 0.01% |
| IOS.GII30.500.10 R USL1M P 01/12/41 BC | 0.01% |
| NZD/USD 10/16/2019 SSBT | 0.01% |
| SWPTN 5YX10Y P 2.39 USD 06/04/2024 MS | 0.01% |
| 1.4925 R ISWP CDOR03 P 08/15/2029 | 0.01% |
| 1.82 R ISWP NOKOIB6M P 07/01/2029 | 0.01% |
| 2.536 R ISWP FWD US0003M P 12/02/2023 | 0.01% |
| 2.55 R ISWP FWD US0003M P 11/20/2039 | 0.01% |
| IDR/USD 11/20/2019 GSFX | 0.01% |
| KRW/USD 11/20/2019 HSBCB | 0.01% |
| NZD/USD 10/16/2019 CITI | 0.01% |
| OPTN FN30 3.0 11/06/19 PUT 101.2421875 JPMC | 0.01% |
| SABINE PASS LIQUEFACTION 04.2000 03/15/2028 | 0.01% |
| SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS | 0.01% |
| SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI | 0.01% |
| AUD/USD 10/16/2019 HSBCB | 0.01% |
| DELTA AIR LINES 2009 1A 07.7500 12/17/2019 | 0.01% |
| EUR/USD 12/18/2019 CITI | 0.01% |
| RUB/USD 12/18/2019 BANKAM | 0.01% |
| SWPTN 5YX5Y R 0.153 EUR 09/10/2024 UB | 0.01% |
| BANK OF AMERICA CORP 05.1250 06/17/2049 | 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.9 2058-09-17 500.0 09/17/2058 CS | 0.01% |
| EUR/USD 12/18/2019 SSBT | 0.01% |
| FHR 3408 EK 17.6347 04/15/2037 | 0.01% |
| RUB/USD 12/18/2019 GSFX | 0.01% |
| SEK/USD 12/18/2019 JPMCB | 0.01% |
| SWPTN 5YX5Y P 0.153 EUR 09/10/2024 UB | 0.01% |
| -0.35 R ISWP FWD CHL6M P 12/18/2029 | 0.01% |
| 1.15 R ISWP NFIX3MID P 08/07/2021 | 0.01% |
| ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 | 0.01% |
| IOS.FN30.400.11 R USL1M P 01/12/42 BC | 0.01% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.01% |
| JPY/USD 11/20/2019 GSFX | 0.01% |
| 0.751 R ISWP FWD GBL6M P 12/18/2024 | 0.00% |
| 1.425 R ISWP FWD US0003M P 09/18/2024 | 0.00% |
| 1.43125 R ISWP FWD US0003M P 09/18/2024 | 0.00% |
| AUD/USD 10/16/2019 JPMCB | 0.00% |
| BSCMS 2006-PW11 C P/P 144A 05.8095 03/11/2039 | 0.00% |
| CHF/USD 12/18/2019 JPMCB | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 0.00% |
| GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 | 0.00% |
| JPY/USD 11/20/2019 HSBCB | 0.00% |
| KRW/USD 11/20/2019 JPMCB | 0.00% |
| LBUBS 2006-C6 XCL IO P/P 144A 00.7760 09/15/2039 | 0.00% |
| OPTN FN30 3.0 10/03/19 CALL 101.71875 JPMC | 0.00% |
| PETROLEOS DE VEN P/P 144A 06.0000 11/15/2026 | 0.00% |
| STACR 2018-HQA2 M2 04.3184 10/25/2048 | 0.00% |
| -0.351 R ISWP FWD EUR006M P 12/18/2024 | 0.00% |
| 1.175 R ISWP NFIX3MID P 08/08/2021 | 0.00% |
| 1.534 R ISWP US0003M P 09/26/2029 | 0.00% |
| 1.65 R ISWP FWD US0003M P 12/18/2049 | 0.00% |
| 2.32 R ISWP FWD US0003M P 02/09/2024 | 0.00% |
| AUD/USD 10/16/2019 SSBT | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG | 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% |
| EUR/USD 12/18/2019 BANKAM | 0.00% |
| GBP/USD 12/18/2019 JPMCB | 0.00% |
| INTERNATIONAL PAPER CO 08.7000 06/15/2038 | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 CS | 0.00% |
| NZD/USD 10/16/2019 GSFX | 0.00% |
| SWPTN 10YX10Y P 2.988 USD 02/26/2029 GS | 0.00% |
| SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS | 0.00% |
| -0.401 R ISWP FWD EUR006M P 12/18/2021 | 0.00% |
| 0.401 R ISWP FWD EUR006M P 12/18/2049 | 0.00% |
| 1.30 R ISWP US0003M P 12/09/2024 | 0.00% |
| 1.851 R ISWP FWD CDOR03 P 12/18/2029 | 0.00% |
| 2.3075 R ISWP FWD US0003M P 02/02/2024 | 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% |
| CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS | 0.00% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS | 0.00% |
| CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG | 0.00% |
| GNR 2013-90 HI IO 03.5000 04/20/2040 | 0.00% |
| JPMCC 2006-CB17 X IO 00.8572 12/12/2043 | 0.00% |
| SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP | 0.00% |
| SWPTN 3MX5Y P -0.46 EUR 12/05/2019 BC | 0.00% |
| -0.65 R ISWP FWD CHL6M P 12/18/2024 | 0.00% |
| 0.712 R ISWP FWD GBL6M P 09/18/2021 | 0.00% |
| 1.30 R ISWP FWD NFIX3MID P 12/18/2029 | 0.00% |
| 2.57 R ISWP FWD US0003M P 02/02/2024 | 0.00% |
| CDX CDX.NA.HY.33 500.0 12/20/2024 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | 0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 MS | 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 CG | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| DKK/USD 12/18/2019 CITI | 0.00% |
| PLN/USD 12/18/2019 BCAP-FX | 0.00% |
| SEK/USD 12/18/2019 BANKAM | 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% |
| SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 | 0.00% |
| SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI | 0.00% |
| 0.616 R ISWP FWD GBL6M P 09/18/2029 | 0.00% |
| 1.001 R ISWP FWD AUDBB6M P 12/18/2024 | 0.00% |
| 1.301 R ISWP FWD AUDBB6M P 12/18/2029 | 0.00% |
| 1.801 R ISWP FWD CDOR03 P 12/18/2024 | 0.00% |
| 1.8125 R ISWP NOKOIB6M P 09/18/2021 | 0.00% |
| 2.5725 R ISWP FWD US0003M P 02/02/2024 | 0.00% |
| BSCMS 06-PW14 X1 IO P/P 144A 00.4995 12/11/2038 | 0.00% |
| CHF/USD 12/18/2019 BCAP-FX | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | 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.11 2054-11-18 500.0 11/18/2054 CG | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP | 0.00% |
| CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 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 ML | 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% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.00% |
| CROWN CASTLE INTL CORP 03.1500 07/15/2023 | 0.00% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.00% |
| FHR 3326 WF 00.0000 10/15/2035 | 0.00% |
| FHR 3707 PI IO 04.5000 07/15/2025 | 0.00% |
| FNR 2007-64 LO PO 00.0000 07/25/2037 | 0.00% |
| GBP/USD 12/18/2019 BANKAM | 0.00% |
| GECMC 2007-C1 XC IO P/P 144A 00.2697 12/10/2049 | 0.00% |
| ILS/USD 10/16/2019 SSBT | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| JPMCC 2006-LDP8 X IO 00.3118 05/15/2045 | 0.00% |
| NOK/USD 12/18/2019 JPMCB | 0.00% |
| OPTN FN30 3.0 11/06/19 PUT 99.7421875 JPMC | 0.00% |
| OPTN FN30 3.5 10/03/19 CALL 102.9375 JPMC | 0.00% |
| SEK/USD 12/18/2019 BCAP-FX | 0.00% |
| SEK/USD 12/18/2019 GSFX | 0.00% |
| SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS | 0.00% |
| SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS | 0.00% |
| SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS | 0.00% |
| SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS | 0.00% |
| SWPTN 6MX2Y P -0.337 EUR 01/16/2020 UB | 0.00% |
| THB/USD 11/20/2019 CITI | 0.00% |
| -0.35 R ISWP FWD EUR006M P 12/18/2024 | 0.00% |
| 0.233 R ISWP FWD EUR006M P 02/19/2050 | 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% |
| 1.50 R ISWP US0003M P 09/30/2024 | 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% |
| AUD/USD 10/16/2019 CITI | 0.00% |
| BACM 2007-5 XW IO P/P 144A 00.0000 02/10/2051 | 0.00% |
| BAYC 2006-CD1A IO IO P/P 144A 00.0000 07/25/2023 | 0.00% |
| BAYC 2007-CD1A IO IO P/P 144A 00.0000 03/25/2021 | 0.00% |
| BRL/USD 02/04/2020 CITI | 0.00% |
| BRL/USD 02/04/2020 GSFX | 0.00% |
| CAD/USD 10/16/2019 BCAP-FX | 0.00% |
| CAD/USD 10/16/2019 CSI-FX | 0.00% |
| CAD/USD 10/16/2019 GSFX | 0.00% |
| CAD/USD 10/16/2019 JPMCB | 0.00% |
| CAD/USD 10/16/2019 SSBT | 0.00% |
| CD 2007-CD5 XS IO 144A 00.0000 11/15/2044 | 0.00% |
| CGCMT 2006-C5 XC IO P/P 144A 00.7224 10/15/2049 | 0.00% |
| CHF/USD 12/18/2019 UBS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML | 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.8 2057-10-17 500.0 10/17/2057 CG | 0.00% |
| CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS | 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 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 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 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 0.00% |
| CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS | 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 MS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | 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% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 02.2111 05/15/2038 | 0.00% |
| CSMC 2006-C4 AX IO P/P 144A 00.8665 09/15/2039 | 0.00% |
| CSMC 2007-C2 AX IO P/P 144A 00.0444 01/15/2049 | 0.00% |
| EUR/USD 12/18/2019 GSFX | 0.00% |
| EUR/USD 12/18/2019 WPAC | 0.00% |
| GBP/USD 12/18/2019 HSBCB | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| JPMCC 07-CB20 X1 IO P/P 144A 00.0000 02/12/2051 | 0.00% |
| JPMCC 2007-LDPX X IO 00.3227 01/15/2049 | 0.00% |
| LBUBS 2007-C2 XCL IO P/P 144A 00.3551 02/15/2040 | 0.00% |
| LBUBS 2007-C2 XW IO 00.3551 02/15/2040 | 0.00% |
| MEZZ 2007-C5 X IO P/P 144A 06.2193 12/15/2049 | 0.00% |
| NOK/USD 12/18/2019 BANKAM | 0.00% |
| NOK/USD 12/18/2019 HSBCB | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 100.1171875 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 100.3046875 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 100.4921875 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 99.0546875 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 99.2421875 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 99.4296875 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 99.5859375 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 99.7734375 JPMC | 0.00% |
| OPTN FN30 3.0 10/03/19 PUT 99.9609375 JPMC | 0.00% |
| OPTN FN30 4.0 10/03/19 CALL 103.9765625 JPMC | 0.00% |
| PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 | 0.00% |
| REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 | 0.00% |
| SWPTN 10YX10Y P 0.43 EUR 08/20/2029 UB | 0.00% |
| SWPTN 10YX10Y P 0.762 GBP 08/20/2029 UB | 0.00% |
| SWPTN 10YX10Y R 0.43 EUR 08/20/2029 UB | 0.00% |
| SWPTN 10YX10Y R 0.762 GBP 08/20/2029 UB | 0.00% |
| SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS | 0.00% |
| SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS | 0.00% |
| SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP | 0.00% |
| SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP | 0.00% |
| SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS | 0.00% |
| SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS | 0.00% |
| SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP | 0.00% |
| SWPTN 1YX30Y P 1.288 EUR 02/17/2020 JP | 0.00% |
| SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP | 0.00% |
| SWPTN 4MX10Y P 2.265 USD 10/03/2019 MS | 0.00% |
| SWPTN 4MX10Y P 2.401 USD 09/30/2019 BA | 0.00% |
| SWPTN 6MX10Y P 0.498 EUR 01/16/2020 UB | 0.00% |
| UKRPI P 3.665 R 12/15/28 | 0.00% |
| WBCMT 2007-C34 IO IO 00.0966 05/15/2046 | 0.00% |
| -0.765 R ISWP CHL6M P 09/13/2024 | -0.00% |
| 1.53 R ISWP US0003M P 10/01/2024 | -0.00% |
| CAD/USD 10/16/2019 WPAC | -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 BA | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -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% |
| CZK/USD 12/18/2019 BANKAM | -0.00% |
| EUR/USD 12/18/2019 RBSF | -0.00% |
| GBP/USD 12/18/2019 SSBT | -0.00% |
| MXN/USD 10/16/2019 BANKAM | -0.00% |
| NOK/USD 12/18/2019 SSBT | -0.00% |
| OPTN FN30 4.0 11/06/19 CALL 104.09375 JPMC | -0.00% |
| OPTN FN30 4.0 11/06/19 CALL 104.1875 JPMC | -0.00% |
| SGD/USD 11/20/2019 JPMCB | -0.00% |
| SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS | -0.00% |
| 0.207 R ISWP FWD EUR006M P 06/06/2054 | -0.00% |
| 1.735 R ISWP NOKOIB6M P 07/01/2024 | -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.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 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 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| HUF/USD 12/18/2019 SSBT | -0.00% |
| IDR/USD 11/20/2019 HSBCB | -0.00% |
| INR/USD 11/20/2019 GSFX | -0.00% |
| OPTN FN30 4.0 11/06/19 CALL 104.0 JPMC | -0.00% |
| SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS | -0.00% |
| SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI | -0.00% |
| SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS | -0.00% |
| SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS | -0.00% |
| 1.525 R ISWP FWD US0003M P 12/18/2029 | -0.00% |
| 2.528 R ISWP FWD US0003M P 02/02/2024 | -0.00% |
| BRL/USD 02/04/2020 BANKAM | -0.00% |
| CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 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 MS | -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 BA | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| NOK/USD 12/18/2019 GSFX | -0.00% |
| OPTN FN30 3.0 11/06/19 PUT 100.2421875 JPMC | -0.00% |
| SEK/USD 12/18/2019 SSBT | -0.00% |
| SWPTN 5YX30Y P 1.053 EUR 06/04/2024 BA | -0.00% |
| CAD/USD 10/16/2019 RBSF | -0.00% |
| CLP/USD 10/16/2019 CITI | -0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.00% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | -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 JP | -0.00% |
| EUR/USD 12/18/2019 BCAP-FX | -0.00% |
| OPTN FN30 4.0 10/03/19 PUT 103.9765625 JPMC | -0.00% |
| SWPTN 3MX5Y P 1.482 USD 12/05/2019 BC | -0.00% |
| SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS | -0.00% |
| SWPTN 5YX30Y P 1.304 EUR 06/05/2024 BA | -0.00% |
| SWPTN 7YX10Y P 1.667 EUR 02/16/2026 JP | -0.00% |
| -0.8475 R ISWP CHL6M P 08/09/2024 | -0.00% |
| 1.9665 R ISWP FWD US0003M P 07/06/2030 | -0.00% |
| 2.3075 R ISWP FWD US0003M P 06/22/2052 | -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 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -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% |
| JPY/USD 11/20/2019 BCAP-FX | -0.00% |
| OPTN FN30 3.0 11/06/19 PUT 100.7421875 JPMC | -0.00% |
| SWPTN 10YX10Y P 1.722 GBP 02/26/2029 GS | -0.00% |
| 1.63 R ISWP FWD CDOR03 P 09/18/2024 | -0.01% |
| 1.638 R ISWP FWD CDOR03 P 09/18/2024 | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -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 ML | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -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% |
| 0.05 R ISWP FWD SES3M P 12/18/2024 | -0.01% |
| 0.49 R ISWP FWD EUR006M P 08/08/2054 | -0.01% |
| AUD/USD 10/16/2019 CSI-FX | -0.01% |
| CAD/USD 10/16/2019 CITI | -0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS | -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% |
| CNH/USD 11/20/2019 CITI | -0.01% |
| INR/USD 11/20/2019 RBSF | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| SWPTN 5YX10Y P 0.385 EUR 09/10/2024 UB | -0.01% |
| 0.7495 R ISWP FWD JPL6M P 08/29/2043 | -0.01% |
| 0.9035 R ISWP FWD EUR006M P 02/19/2050 | -0.01% |
| 1.85 R ISWP FWD CDOR03 P 12/18/2029 | -0.01% |
| AUD/USD 10/16/2019 BANKAM | -0.01% |
| SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA | -0.01% |
| TWD/USD 11/20/2019 GSFX | -0.01% |
| TWD/USD 11/20/2019 RBSF | -0.01% |
| 0.801 R ISWP FWD GBL6M P 12/18/2029 | -0.01% |
| 1.054 R ISWP FWD EUR006M P 06/07/2054 | -0.01% |
| AUD/USD 10/16/2019 UBS | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.01% |
| SWPTN 5YX10Y R 0.385 EUR 09/10/2024 UB | -0.01% |
| UKRPI P 3.3875 R 03/15/28 | -0.01% |
| 1.484 R ISWP FWD EUR006M P 11/29/2058 | -0.01% |
| 1.58 R ISWP FWD US0003M P 12/18/2021 | -0.01% |
| 1.9185 R ISWP FWD US0003M P 08/08/2052 | -0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS | -0.01% |
| EUR/USD 12/18/2019 UBS | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 BC | -0.01% |
| JPY/USD 11/20/2019 CITI | -0.01% |
| SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS | -0.01% |
| SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI | -0.01% |
| SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS | -0.01% |
| SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS | -0.01% |
| SWPTN 5YX20Y P 1.11125 JPY 08/24/2023 BC | -0.01% |
| SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP | -0.01% |
| AUD/JPY PUT 66.00 20200214 CITI | -0.01% |
| AUD/JPY PUT 66.00 20200214 GSFX | -0.01% |
| CPURNSA R 2.05 P 12/06/22 | -0.01% |
| CPURNSA R 2.068 P 12/21/22 | -0.01% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | -0.01% |
| JPY/USD 11/20/2019 SSBT | -0.01% |
| SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.01% |
| 1.2115 R ISWP FWD EUR006M P 03/12/2050 | -0.01% |
| 1.267 R ISWP FWD EUR006M P 03/11/2050 | -0.01% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | -0.01% |
| SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI | -0.01% |
| JPY/USD 11/20/2019 RBSF | -0.01% |
| SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP | -0.01% |
| SWPTN 2YX5Y R 1.3 USD 08/27/2021 UB | -0.01% |
| AUD/USD 10/16/2019 WPAC | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| CNH/USD 11/20/2019 HSBCB | -0.02% |
| SWPTN 5YX10Y R 2.39 USD 06/04/2024 MS | -0.02% |
| SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS | -0.02% |
| 1.28 R ISWP CZECH INTERBANK RATES 6 MONTH P 08/09/2024 | -0.02% |
| 1.6625 R ISWP CZECH INTERBANK RATES 6 MONTH P 08/09/2021 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG | -0.02% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | -0.02% |
| SWPTN 10YX10Y R 1.722 GBP 02/26/2029 GS | -0.02% |
| SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS | -0.02% |
| 0.80 R ISWP FWD EUR006M P 02/21/2050 | -0.02% |
| 1.61 R ISWP CDOR03 P 08/15/2021 | -0.02% |
| 1.655 R ISWP US0003M P 09/24/2029 | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| AUD/USD 10/16/2019 RBSF | -0.02% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | -0.02% |
| IOS.GII30.500.10 P USL1M R 01/12/41 JP | -0.02% |
| UKRPI P 3.34 R 02/15/28 | -0.02% |
| OPTN FN30 3.0 10/03/19 PUT 101.71875 JPMC | -0.02% |
| SWPTN 2YX5Y P 1.3 USD 08/27/2021 UB | -0.02% |
| SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| UKRPI P 3.4025 R 03/15/28 | -0.02% |
| SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS | -0.02% |
| SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS | -0.02% |
| SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP | -0.02% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | -0.03% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | -0.03% |
| OPTN FN30 3.5 10/03/19 PUT 102.9375 JPMC | -0.03% |
| SWPTN 3MX5Y P 1.475 USD 12/05/2019 CI | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.03% |
| 2.647 R ISWP FWD US0003M P 03/16/2030 | -0.03% |
| EUR/USD 12/18/2019 JPMCB | -0.03% |
| SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS | -0.03% |
| SWPTN 10YX20Y P 1.921 EUR 10/18/2028 JP | -0.03% |
| 1.051 R ISWP FWD EUR006M P 02/19/2050 | -0.03% |
| 1.113 R ISWP FWD EUR006M P 03/26/2050 | -0.03% |
| 2.25 R ISWP FWD US0003M P 07/05/2052 | -0.03% |
| SWPTN 7YX10Y R 1.667 EUR 02/16/2026 JP | -0.04% |
| 2.6785 R ISWP US0003M P 02/13/2029 | -0.04% |
| UKRPI P 3.34 R 03/15/28 | -0.04% |
| UKRPI R 3.4425 P 07/15/49 | -0.04% |
| 1.948 R ISWP CZECH INTERBANK RATES 6 MONTH P 03/19/2029 | -0.04% |
| 2.0625 R ISWP FWD US0003M P 06/22/2030 | -0.05% |
| CPTFEMU R 1.4275 P 08/15/27 | -0.05% |
| CPTFEMU R 1.4375 P 09/15/23 | -0.05% |
| CPTFEMU R 1.4413 P 09/15/23 | -0.05% |
| CPTFEMU R 1.4425 P 09/15/23 | -0.05% |
| CPTFEMU R 1.4438 P 09/15/23 | -0.05% |
| 2.184 R ISWP FWD US0003M P 12/07/2030 | -0.05% |
| IOS.FN30.350.13 P USL1M R 01/12/44 JP | -0.05% |
| 2.67 R ISWP FWD US0003M P 03/28/2052 | -0.05% |
| 2.2685 R ISWP FWD US0003M P 07/22/2052 | -0.06% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | -0.06% |
| 2.793 R ISWP FWD US0003M P 11/29/2053 | -0.07% |
| CPTFEMU R 1.4 P 07/15/27 | -0.08% |
| 1.70 R ISWP FWD US0003M P 12/18/2029 | -0.09% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.10% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.10% |
| IOS.FN30.400.11 P USL1M R 01/12/42 JP | -0.11% |
| SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP | -0.12% |
| SWPTN 6YX24Y R 2.75 USD 05/22/2025 MS | -0.15% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | -0.16% |
| 1.104 R ISWP FWD EUR006M P 03/21/2029 | -0.17% |
| SWPTN 4YX25Y R 3.0 USD 01/31/2024 MS | -0.18% |
| SWPTN 4YX25Y R 3.0 USD 04/04/2023 MS | -0.18% |
| SWPTN 4YX25Y R 3.0 USD 04/12/2023 MS | -0.18% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -0.33% |
| 3.065 R ISWP FWD US0003M P 01/03/2029 | -0.35% |
| SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP | -0.38% |
| SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP | -0.61% |
| FNMA FN30 TBA UMBS 04.5000 10/01/2049 | -1.37% |
| EURO-SCHATZ FUT DEC19 DUZ9 | -1.91% |
| EURO-BUND FUTURE DEC19 RXZ9 | -2.63% |
| FNMA FN30 TBA UMBS 03.5000 10/01/2049 | -3.56% |
| JPN 10Y BOND(OSE) DEC19 JBZ9 | -4.97% |
| 90DAY EURO$ FUTR MAR21 EDH1 | -13.56% |
Prior top 10 holdings
| Top 10 holdings as of 08/31/19 | |
|---|---|
| Japan (10 Year Issue) 01.0000 09/20/2021 | |
| Japan (10 Year Issue) 00.8000 09/20/2023 | |
| Japan (30 Year Issue) 02.3000 03/20/2040 | |
| Fnma Fn30 Tba Umbs 04.0000 09/01/2049 | |
| Japan (20 Year Issue) 02.3000 06/20/2027 | |
| Fnma Fn30 Tba Umbs 03.0000 09/01/2049 | |
| European Investment Bank Gbp 05.6250 06/07/2032 | |
| Japan (40 Year Issue) 02.2000 03/20/2051 | |
| Japan (20 Year Issue) 02.2000 03/20/2031 | |
| Gnma Gii30 Tba 04.5000 09/01/2049 | |
| Holdings represent 19.52% of portfolio | |
| Top 10 holdings as of 07/31/19 | |
|---|---|
| Japan (10 Year Issue) 01.0000 09/20/2021 | |
| Japan (10 Year Issue) 00.8000 09/20/2023 | |
| Japan (30 Year Issue) 02.3000 03/20/2040 | |
| Fnma Fn30 Tba Umbs 04.0000 08/01/2049 | |
| Japan (20 Year Issue) 02.3000 06/20/2027 | |
| European Investment Bank Gbp 05.6250 06/07/2032 | |
| Gnma Gii30 Tba 04.5000 08/01/2049 | |
| Japan (20 Year Issue) 02.2000 03/20/2031 | |
| Japan (40 Year Issue) 02.2000 03/20/2051 | |
| Uk Tsy 4 2060 Regs 04.0000 01/22/2060 | |
| Holdings represent 18.86% of portfolio | |
| Top 10 holdings as of 06/30/19 | |
|---|---|
| Japan (10 Year Issue) 01.0000 09/20/2021 | |
| Japan (10 Year Issue) 00.8000 09/20/2023 | |
| Japan (30 Year Issue) 02.3000 03/20/2040 | |
| Japan (20 Year Issue) 02.3000 06/20/2027 | |
| European Investment Bank Gbp 05.6250 06/07/2032 | |
| Japan (20 Year Issue) 02.2000 03/20/2031 | |
| Gnma Gii30 Tba 04.5000 07/01/2049 | |
| Fnma Fn30 Tba Umbs 04.0000 08/01/2049 | |
| Japan (40 Year Issue) 02.2000 03/20/2051 | |
| Uk Tsy 4 2060 Regs 04.0000 01/22/2060 | |
| Holdings represent 18.32% of portfolio | |
| Top 10 holdings as of 05/31/19 | |
|---|---|
| Japan (10 Year Issue) 01.0000 09/20/2021 | |
| Japan (10 Year Issue) 00.8000 09/20/2023 | |
| Japan (30 Year Issue) 02.3000 03/20/2040 | |
| Japan (20 Year Issue) 02.3000 06/20/2027 | |
| European Investment Bank Gbp 05.6250 06/07/2032 | |
| Gnma Gii30 Tba 04.5000 06/01/2049 | |
| Fnma Fn30 Tba Umbs 04.0000 07/01/2049 | |
| Japan (20 Year Issue) 02.2000 03/20/2031 | |
| Japan (40 Year Issue) 02.2000 03/20/2051 | |
| Uk Tsy 4 2060 Regs 04.0000 01/22/2060 | |
| Holdings represent 18.56% of portfolio | |
Fixed income statistics as of 08/31/19
| Average effective maturity | 8.05 yrs. |
|---|---|
| Average effective duration | 7.35 yrs. |
| Average yield to maturity | 2.28% |
| Average coupon | 3.51% |
Maturity detail as of 08/31/19
| 0 - 1 yr. | 10.08% |
|---|---|
| 1 - 5 yrs. | 37.53% |
| 5 - 10 yrs. | 33.70% |
| 10 - 15 yrs. | 4.15% |
| Over 15 yrs. | 14.54% |
Quality rating as of 08/31/19
| AAA | 18.99% |
|---|---|
| AA | 8.98% |
| A | 28.50% |
| BBB | 26.28% |
| BB | 5.44% |
| B | 0.42% |
| CCC and Below | 1.52% |
| Not Rated | 9.87% |
Fund characteristics will vary over time.
Due to rounding, percentages may not equal 100%.
Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, 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 concentrates on a limited group of industries and is non-diversified. Because the fund may invest in fewer issuers than a diversified fund, it is vulnerable to common economic forces and may result in greater losses and volatility. 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. 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. Unlike bonds, funds that invest in bonds have fees and expenses. 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, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.
Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.
Country allocation as of 08/31/19
| United States | 56.25% |
|---|---|
| Japan | 14.49% |
| France | 3.87% |
| Italy | 3.10% |
| Canada | 2.72% |
| United Kingdom | 2.49% |
| Spain | 2.48% |
| Greece | 1.82% |
| Supra-Nation | 1.82% |
| Other | 10.96% |
1
Expenses
Expense ratio |
Class A | Class B | Class C | Class M | Class R | Class R5 | Class R6 | Class Y |
|---|---|---|---|---|---|---|---|---|
| Total expense ratio | 1.24% | 1.99% | 1.99% | 1.49% | 1.49% | 0.88% | 0.82% | 0.99% |
| What you pay† | 1.22% | 1.97% | 1.97% | 1.47% | 1.47% | 0.86% | 0.80% | 0.97% |
† 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 R5 | Class R6 | Class Y |
|---|---|---|---|---|---|---|---|---|
| $0-$49,999 | 4.00% / 3.50% | 0.00% / 4.00% | 0.00% / 1.00% | 3.25% / 3.00% | -- | -- | -- | -- |
| $50,000-$99,999 | 4.00% / 3.50% | 0.00% / 4.00% | 0.00% / 1.00% | 2.25% / 2.00% | -- | -- | -- | -- |
| $100,000-$249,999 | 3.25% / 2.75% | -- | 0.00% / 1.00% | 1.25% / 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 R5 | 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 R5 | Class R6 | Class Y | |
|---|---|---|---|---|---|---|---|---|
| 0.25% | 0.25% | 1.00% | 0.40% | 0.50% | 0.00% | 0.00% | 0.00% | |
| NA | NA | 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 Bloomberg Barclays Global Aggregate Bond Index is an unmanaged index of global investment-grade fixed-income securities. You cannot invest directly in an index.
Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, 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 concentrates on a limited group of industries and is non-diversified. Because the fund may invest in fewer issuers than a diversified fund, it is vulnerable to common economic forces and may result in greater losses and volatility. 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. 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. Unlike bonds, funds that invest in bonds have fees and expenses. 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, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.
Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.