Webcast | Complementing core: Insights on today's credit and securitized markets | April 24, 2019 | 1:15pm ET

Income Fund (Class Y)  (PNCYX)

Pursuing income with an all-weather bond portfolio since 1954

Income Fund received an  Overall Morningstar Rating  of  

Highlights

Objective

The fund seeks high current income consistent with what Putnam management believes to be prudent risk.

Strategy and process

  • Diverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed securi­ties, corporate bonds, and other government obligations.
  • 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 $7.22
0.28% | $0.02
$7.24
06/20/19
$6.77
11/21/18
Historical fund price

Fund facts as of 05/31/19

Total net assets
$1,983.97M
Turnover (fiscal year end)
825%
Dividend frequency (view rate)
Monthly
Number of holdings
1293
Fiscal year-end
October
CUSIP / Fund code
746792407 / 1803
Inception date
06/16/94
Class Y  
Category
Fixed Income
Open to new investors
Ticker
PNCYX

Management team

Co-Head of Fixed Income
Portfolio Manager
Portfolio Manager


Manager commentary | Q1 2019

Yield curve moves not signaling recession

Mike Salm, Co-Head of Fixed Income, talks about what is driving recent yield curve movements.



Performance

  • Total return (%) as of 03/31/19

  • Annual performance as of 03/31/19

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

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 4.33% 4.42% 2.65% 7.55%
After sales charge N/A N/A N/A N/A
Bloomberg Barclays U.S. Aggregate Bond Index 4.48%2.03%2.74%3.77%

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 05/31/19 2.15% -
YTD as of 06/24/19 7.49% -

Yield

Distribution rate before sales charge
as of 06/24/19
3.49%
Distribution rate after sales charge
as of 06/24/19
3.49%
30-day SEC yield as of 05/31/19 3.64%

Risk-adjusted performance as of 05/31/19

Sharpe ratio (3 yrs.) 1.26
Information ratio (3 yrs.) 1.48

Volatility as of 05/31/19

Standard deviation (3 yrs.) 2.79%
Beta 0.79
R-squared 0.75

Lipper rankings as of 05/31/19

Time period Rank/Funds in category Percentile ranking
1 yr. 243/513 48%
3 yrs. 5/451 2%
5 yrs. 68/384 18%
10 yrs. 1/295 1%
Lipper category: Core Bond Funds

Morningstar Ratings as of 05/31/19

Time period Funds in category Morningstar Rating
Overall 549
3 yrs. 549
5 yrs. 464
10 yrs. 337
Morningstar category: Intermediate Core-Plus Bond

Distributions

Record/Ex dividend date 06/21/19
Payable date 06/25/19
Income $0.021
Extra income --
Short-term cap. gain --
Long-term cap. gain --

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


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** FundVisualizer comparison based on Putnam fund versus the largest fund in its Morningstar category.


Holdings

Top 10 holdings as of 05/31/19

FNMA FN30 TBA UMBS 03.5000 06/01/2049 14.29%
Fnma Fn30 Tba Umbs 04.0000 07/01/2049 2.65%
FNMA FN30 TBA UMBS 04.0000 06/01/2049 2.44%
Gnma Gii30 Tba 04.0000 06/01/2049 1.62%
Gnma Gii30 Tba 03.5000 06/01/2049 1.45%
Gnma Gii30 Tba 04.5000 06/01/2049 0.94%
Cas 2016-C03 2m2 08.3298 10/25/2028 0.76%
Gnma Gii30 Ma3803 Umbs 03.5000 07/20/2046 0.73%
Stacr 2016-Hqa1 M3 08.7798 09/25/2028 0.70%
FNMA FN30 TBA UMBS 04.5000 06/01/2049 0.68%
Top 10 holdings, percent of portfolio 26.26%

Full portfolio holdings as of 03/31/19

FNMA FN30 TBA 03.5000 04/01/2049 13.60%
FNMA FN30 TBA 04.0000 04/01/2049 5.56%
GNMA GII30 TBA 04.0000 04/01/2049 1.77%
FNMA FN30 TBA 03.5000 05/01/2049 1.62%
GNMA GII30 TBA 03.5000 04/01/2049 1.58%
GNMA GII30 TBA 04.5000 04/01/2049 1.03%
CAS 2016-C03 2M2 08.3855 10/25/2028 0.87%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 0.84%
GNMA GII30 MA3803 03.5000 07/20/2046 0.82%
FNMA FN30 TBA 04.5000 04/01/2049 0.75%
STACR 2016-HQA1 M3 08.8355 09/25/2028 0.73%
FNMA FN40 BF0219 03.5000 09/01/2057 0.71%
GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 0.71%
BMIR 2017-1 M2 P/P 144A 05.8355 10/25/2027 0.65%
SPST 2018-1 A 03.3811 04/24/2019 0.63%
CAS 2016-C03 1M2 07.7855 10/25/2028 0.62%
GNMA GII30 MA5194 05.0000 05/20/2048 0.62%
GNMA GII30 BL7892 05.0000 03/20/2049 0.59%
FHS 315 PO PO 00.0000 09/15/2043 0.58%
STACR 2019-DNA2 M2 04.9368 03/25/2049 0.54%
CIGNA CORP P/P 144A 03.7500 07/15/2023 0.52%
2.65 R ISWP FWD US0003M P 06/19/2029 0.51%
FHLMC FH30G G60314 04.0000 09/01/2045 0.49%
SPST 2018-3 A 03.1811 07/24/2019 0.49%
BCAP 2015-RR5 2A2 03.4017 01/26/2046 0.48%
WAMU 2005-AR13 A1C4 02.9155 10/25/2045 0.47%
FNMA FN40 BF0171 04.0000 01/01/2057 0.46%
BANK OF AMERICA CORP 04.1830 11/25/2027 0.45%
STACR 2016-HQA2 M3 07.6355 11/25/2028 0.43%
GNMA GII30 BI6308 04.5000 11/20/2048 0.42%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.42%
SWPTN 10YX10Y R 3.295 USD 11/29/2028 BA 0.42%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.42%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.40%
SWPTN 1YX10Y R 2.7475 USD 02/13/2020 GS 0.39%
CIT GROUP INC. 05.2500 03/07/2025 0.37%
CSMC 2008-C1 AJ P/P 144A 05.8033 02/15/2041 0.37%
FNMA FN40 BF0169 3.500000 01/01/2057 0.37%
AT&T INC 04.3500 03/01/2029 0.36%
STACR 2015-DN1 M3 06.6355 01/25/2025 0.36%
STACR 2016-HQA3 M3 06.3355 03/25/2029 0.36%
CITIGROUP INC 04.4500 09/29/2027 0.35%
FISERV INC 04.2000 10/01/2028 0.35%
SPST 2018-5 A 03.1811 09/24/2019 0.35%
UNITEDHEALTH GROUP INC 03.8500 06/15/2028 0.35%
GNMA GII30 BK6574 05.0000 03/20/2049 0.34%
BP CAP MARKETS AMERICA 03.9370 09/21/2028 0.33%
FNMA FN30 AL8994 04.0000 09/01/2045 0.33%
JPMBB 2013-C14 D P/P 144A 04.5639 08/15/2046 0.33%
SALESFORCE.COM INC 03.7000 04/11/2028 0.33%
ELANCO ANIMAL HEALTH P/P 144A 04.9000 08/28/2028 0.32%
FNMA FN30 BM1172 03.0000 03/01/2047 0.32%
FNR 2019-3 SA IO 03.6145 02/25/2049 0.32%
INTERPUBLIC GROUP COS 04.6500 10/01/2028 0.32%
STACR 2015-DNA3 M3 07.1855 04/25/2028 0.32%
FNMA FN30 BM4117 02.5000 12/01/2047 0.31%
CSMC 2016-NXSR XA IO 00.7954 12/15/2049 0.30%
EOG RESOURCES INC 04.1500 01/15/2026 0.30%
ECOLAB INC 03.2500 12/01/2027 0.29%
GNMA GN30 626987 04.0000 09/15/2045 0.29%
BPCE SA P/P 144A 04.5000 03/15/2025 0.28%
CAS 2018-C04 2M2 05.0355 12/25/2030 0.28%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.28%
EMIR 2018-1 M1 04.1855 11/25/2028 0.28%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.28%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.28%
FNR 2018-3 AI IO 04.5000 12/25/2047 0.28%
GNMA GII30 TBA 03.0000 04/01/2049 0.28%
JPMBB 2014-C25 D P/P 144A 03.9446 11/15/2047 0.28%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.28%
GNMA GII30 BI6225 04.5000 11/20/2048 0.27%
GNR 2016-H23 NI IO 02.2332 10/20/2066 0.27%
STACR 2016-DNA3 M3 07.4855 12/25/2028 0.27%
AT&T INC 04.1000 02/15/2028 0.26%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.26%
KEURIG DR PEPPER INC P/P 144A 04.5970 05/25/2028 0.26%
MSBAM 2013-C10 E P/P 144A 04.0851 07/15/2046 0.26%
MSRR 2015-R4 CB1 03.3155 08/26/2047 0.26%
STACR 2018-DNA2 B1 06.1855 12/25/2030 0.26%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.26%
WBCMT 2005-C21 E P/P 144A 05.2380 10/15/2044 0.26%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.26%
AIR LEASE CORP 04.6250 10/01/2028 0.25%
CAS 2018-C05 1M2 04.8355 01/25/2031 0.25%
DIGITAL REALTY TRUST LP 04.4500 07/15/2028 0.25%
GNMA GII30 MA5266 05.0000 06/20/2048 0.25%
STACR 2018-HQA1 M2 04.7855 09/25/2030 0.25%
BF0101 03.5000 06/01/2056 0.24%
DUKE ENERGY OHIO INC 03.6500 02/01/2029 0.24%
GNR 2014-180 IO IO 05.0000 12/20/2044 0.24%
JPMCC 2011-C3 F P/P 144A 05.6616 02/15/2046 0.24%
WESTROCK MWV LLC 08.2000 01/15/2030 0.24%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.23%
REPUBLIC SERVICES INC 03.9500 05/15/2028 0.23%
WALT DISNEY COMPANY P/P 144A 07.7500 12/01/2045 0.23%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.22%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.22%
BSCMS 2006-PW11 B P/P 144A 05.2509 03/11/2039 0.22%
BSCMS 2007-T26 AJ 05.4599 01/12/2045 0.22%
FHR 3835 FO PO 00.0000 04/15/2041 0.22%
GNMA GN30 745158 05.0000 06/15/2040 0.22%
GNR 2012-149 GS IO 03.7123 12/20/2042 0.22%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.22%
MICROCHIP TECH INC P/P 144A 04.3330 06/01/2023 0.22%
NORTHROP GRUMMAN CORP 03.2500 01/15/2028 0.22%
ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 0.22%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.22%
WFRBS 2012-C7 D P/P 144A 04.8223 06/15/2045 0.22%
GNR 2010-9 YD IO 04.3183 01/16/2040 0.21%
GNR 2016-H02 HI IO 01.8663 01/20/2066 0.21%
GNR 2018-H17 GI IO 01.6692 10/20/2068 0.21%
GNR 2018-H20 BI IO 02.0658 06/20/2068 0.21%
GSMS 2013-GC10 XA IO 01.5164 02/10/2046 0.21%
JPMBB 2013-C14 E P/P 144A 04.5639 08/15/2046 0.21%
LEAR CORP 03.8000 09/15/2027 0.21%
NUTRIEN LTD USD 04.2000 04/01/2029 0.21%
SPST 2018-8 A 03.1811 02/24/2020 0.21%
SWPTN 10YX10Y P 3.295 USD 11/29/2028 BA 0.21%
WILLIAMS COMPANIES INC 04.3000 03/04/2024 0.21%
COMM 2014-LC15 XA IO 01.2344 04/10/2047 0.20%
FHR 4596 CS IO 03.6163 06/15/2046 0.20%
FNR 2014-87 MS IO 03.7645 01/25/2045 0.20%
FNR 2017-87 IA IO 04.5000 11/25/2047 0.20%
GNMA GII30 635173 03.5000 02/20/2047 0.20%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.20%
JPMCC 2012-C6 E P/P 144A 05.1568 05/15/2045 0.20%
WFRBS 2012-C9 XA IO P/P 144A 01.8819 11/15/2045 0.20%
BMIR 2018-2A M1B P/P 144A 03.8355 08/25/2028 0.19%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.19%
CGCMT 2014-GC19 X IO 01.1645 03/10/2047 0.19%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.19%
GNMA GII30 BG6074 04.0000 04/20/2048 0.19%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.19%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.19%
SPST 2017-LD1 A 03.2855 11/25/2050 0.19%
ZOETIS INC 03.9000 08/20/2028 0.19%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.18%
CFCRE 2011-C2 E P/P 144A 05.7568 12/15/2047 0.18%
FHLMC FH30G G60722 03.0000 10/01/2046 0.18%
FNMA FN30 BC1489 03.0000 08/01/2046 0.18%
FNR 2017-12 IO IO 03.5000 03/25/2047 0.18%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.18%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.18%
GNR 2014-H11 GI IO 01.4829 06/20/2064 0.18%
GNR 2016-H11 HI IO 02.0902 01/20/2066 0.18%
GNR 2019-H02 DI IO 02.2040 11/20/2068 0.18%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.18%
MICROSOFT CORP 03.7000 08/08/2046 0.18%
OSHKOSH CORP 04.6000 05/15/2028 0.18%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.18%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.18%
VODAFONE GROUP PLC USD 04.3750 05/30/2028 0.18%
3.073 R ISWP FWD US0003M P 03/04/2029 0.17%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.17%
CITIGROUP INC 03.6680 07/24/2028 0.17%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.17%
CWALT 2007-OA6 A1A 02.6255 06/25/2037 0.17%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.17%
FNMA FN30 BC1445 03.0000 07/01/2046 0.17%
FNR 2018-94 SA IO 03.6145 01/25/2049 0.17%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.17%
GNR 2015-H12 GI IO 01.8122 05/20/2065 0.17%
MET LIFE INS CO P/P 144A 07.8000 11/01/2025 0.17%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.17%
WAMU 2005-AR17 A1B2 02.8955 12/25/2045 0.17%
WFCM 2014-LC16 XA IO 01.3202 08/15/2050 0.17%
CAS 2016-C05 2M2 06.9355 01/25/2029 0.16%
CSAIL 2015-C1 C 04.2956 04/15/2050 0.16%
FHLMC FH30G G60861 03.5000 01/01/2047 0.16%
GNR 2014-H07 BI IO 01.4801 05/20/2064 0.16%
GNR 2015-69 IO IO 05.0000 05/20/2045 0.16%
GNR 2018-H05 AI IO 02.9333 02/20/2068 0.16%
GNR 2018-H17 TI IO 01.1764 10/20/2068 0.16%
JPMCC 2012-C8 D P/P 144A 04.6530 10/15/2045 0.16%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.16%
LNSTR 2015-3 C P/P 144A 03.1280 04/20/2048 0.16%
STACR 2014-DN2 M3 06.0855 04/25/2024 0.16%
STACR 2018-DNA1 M2 04.2855 07/25/2030 0.16%
WFRBS 2011-C4 E P/P 144A 05.2316 06/15/2044 0.16%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.15%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.15%
BMIR 2017-1 M1 P/P 144A 04.1855 10/25/2027 0.15%
CBS CORP 04.2000 06/01/2029 0.15%
COMM 2012-CR1 D P/P 144A 05.3214 05/15/2045 0.15%
CSAIL 2015-C1 D P/P 144A 03.7956 04/15/2050 0.15%
FHR 4077 HS IO 03.6163 07/15/2042 0.15%
FNMA FN30 BN5015 05.0000 01/01/2049 0.15%
GNR 2017-H12 QI IO 02.1513 05/20/2067 0.15%
GSMS 2013-GC10 E P/P 144A 04.3977 02/10/2046 0.15%
MSBAM 2013-C12 XA IO 00.6158 10/15/2046 0.15%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.15%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.15%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.15%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.14%
COMM 2015-LC19 D P/P 144A 02.8670 02/10/2048 0.14%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.14%
FNS 409 C24 IO 04.5000 04/25/2042 0.14%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.14%
GNMA GII30 626972 03.5000 08/20/2045 0.14%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.14%
GNR 2015-H04 AI IO 01.8327 12/20/2064 0.14%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.14%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.14%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.14%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.14%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.14%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.14%
WFRBS 2013-C14 XA IO 00.7388 06/15/2046 0.14%
3.312 R ISWP US0003M P 11/08/2048 0.13%
AMERICAN ELECTRIC POWER 04.3000 12/01/2028 0.13%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.13%
FIDELITY NATIONAL INFORM 04.2500 05/15/2028 0.13%
GNMA GII30 BG4860 04.5000 05/20/2048 0.13%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.13%
GNR 2015-H09 BI IO 01.7110 03/20/2065 0.13%
GNR 2015-H10 CI IO 01.8274 04/20/2065 0.13%
GNR 2015-H12 AI IO 01.8690 05/20/2065 0.13%
GNR 2015-H16 XI IO 01.9340 07/20/2065 0.13%
GNR 2017-H23 BI IO 01.9013 11/20/2067 0.13%
GSMS 2014-GC22 XA IO 00.9894 06/10/2047 0.13%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.13%
MSBAM 2013-C7 XA IO 01.3532 02/15/2046 0.13%
STACR 2017-DNA1 M2 05.7355 07/25/2029 0.13%
UBSCM 2017-C7 XA IO 01.0678 12/15/2050 0.13%
WFRBS 2012-C10 E P/P 144A 04.4419 12/15/2045 0.13%
ARC PROP OPER PART L 04.6000 02/06/2024 0.12%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.12%
CAS 2019-R01 2M2 04.9355 07/25/2031 0.12%
COMM 2014-UBS6 XA IO 00.9441 12/10/2047 0.12%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.12%
EQT CORP 03.9000 10/01/2027 0.12%
FHR 4546 TI IO 04.0000 12/15/2045 0.12%
FNMA FN30 BN2701 04.5000 11/01/2048 0.12%
FNMA FN30 TBA 06.0000 04/01/2049 0.12%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.12%
G2 BJ5495 0.12%
GNMA GII30 5116 05.0000 07/20/2041 0.12%
GNMA GII30 711724 03.5000 02/20/2043 0.12%
GNMA GII30 BC0462 03.5000 10/20/2047 0.12%
GNMA GII30 BK1783 05.0000 01/20/2049 0.12%
GNR 2015-H12 EI IO 01.7147 04/20/2065 0.12%
GNR 2015-H20 AI IO 01.8475 08/20/2065 0.12%
GNR 2016-H04 KI IO 01.7606 02/20/2066 0.12%
GNR 2017-H14 EI IO 01.4927 06/20/2067 0.12%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.12%
GNR 2018-91 SJ IO 03.7623 07/20/2048 0.12%
GNR 2018-H02 EI IO 02.4044 01/20/2068 0.12%
INTL FLAVOR & FRAGRANCES 04.4500 09/26/2028 0.12%
JPMCC 2013-C10 XA IO 01.0000 12/15/2047 0.12%
JPMCC 2013-LC11 X IO 01.2692 04/15/2046 0.12%
L3 TECHNOLOGIES INC 04.4000 06/15/2028 0.12%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.12%
MSBAM 2013-C11 F P/P 144A 04.3652 08/15/2046 0.12%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.12%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.12%
UBSBB 2012-C4 XA IO P/P 144A 01.6374 12/10/2045 0.12%
WFRBS 2012-C10 XA IO P/P 144A 01.5622 12/15/2045 0.12%
CAS 2017-C04 2M2 05.3355 11/25/2029 0.11%
CD 2016-CD1 XA IO 01.4221 08/10/2049 0.11%
COMM 2014-CR17 XA IO 01.0502 05/10/2047 0.11%
DBUBS 2011-LC3A D P/P 144A 05.3390 08/10/2044 0.11%
FHLMC FH30G Q51687 03.5000 11/01/2047 0.11%
FHR 4500 GI IO 04.0000 08/15/2045 0.11%
FNMA FN30 AX5483 03.5000 10/01/2045 0.11%
FNMA FN30 BN4980 05.0000 01/01/2049 0.11%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.11%
GNMA 10000 BD1446 03.5000 11/20/2047 0.11%
GNMA GII30 626936 03.5000 04/20/2045 0.11%
GNMA GII30 626992 04.5000 09/20/2045 0.11%
GNMA GII30 BE5899 03.5000 01/20/2048 0.11%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.11%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.11%
GNR 2015-H25 CI IO 01.9334 10/20/2065 0.11%
GNR 2016-H24 JI IO 02.1747 11/20/2066 0.11%
GNR 2017-H10 MI IO 01.8010 04/20/2067 0.11%
HMIR 2018-1 M1 P/P 144A 04.0855 10/25/2028 0.11%
JPMBB 2014-C23 E P/P 144A 03.3640 09/15/2047 0.11%
JPMCC 2012-LC9 XA IO 01.5189 12/15/2047 0.11%
JPMCC 2016-JP2 XA IO 01.8401 08/15/2049 0.11%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.11%
MSBAM 2015-C26 XA IO 01.0350 10/15/2048 0.11%
MSC 2016-BNK2 XA IO 01.0905 11/15/2049 0.11%
ORACLE CORP 02.6500 07/15/2026 0.11%
STACR 2019-DNA1 M2 05.1355 01/25/2049 0.11%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.11%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.11%
WFRBS 2014-C23 XA IO 00.6023 10/15/2057 0.11%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.10%
AMGEN INC 04.6630 06/15/2051 0.10%
AON PLC USD 04.2500 12/12/2042 0.10%
CBRE SERVICES INC 04.8750 03/01/2026 0.10%
CITIGROUP INC 04.7500 05/18/2046 0.10%
COMM 2014-CR17 D P/P 144A 04.8260 05/10/2047 0.10%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.10%
CVS HEALTH CORP 04.7800 03/25/2038 0.10%
EQUINIX INC 05.3750 05/15/2027 0.10%
FNR 12-118 PI IO 04.0000 06/25/2042 0.10%
FOX CORP P/P 144A 04.0300 01/25/2024 0.10%
GNMA GII30 BA8386 03.5000 10/20/2047 0.10%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.10%
GNR 2015-H15 JI IO 01.9781 06/20/2065 0.10%
GNR 2015-H25 AI IO 01.6266 09/20/2065 0.10%
GNR 2015-H26 DI IO 01.8910 10/20/2065 0.10%
MSBAM 2013-C11 D P/P 144A 04.3652 08/15/2046 0.10%
MSC 2008-T29 F P/P 144A 05.7454 01/11/2043 0.10%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.10%
STACR 2019-HQA1 M2 04.8355 02/25/2049 0.10%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.10%
UBSBB 2012-C2 F P/P 144A 04.8925 05/10/2063 0.10%
WP CAREY INC 04.6000 04/01/2024 0.10%
AMER TRANS SYST P/P 144A 05.0000 09/01/2044 0.09%
CBS CORP 04.6000 01/15/2045 0.09%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.09%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.09%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.09%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.09%
COMM 2013-LC13 XA IO 01.1613 08/10/2046 0.09%
COMM 2014-CR17 C 04.8426 05/10/2047 0.09%
COMM 2014-CR19 XA IO 01.1654 08/10/2047 0.09%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.09%
FHR 4165 AI IO 03.5000 02/15/2043 0.09%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.09%
FNMA FN30 AS8648 03.0000 01/01/2047 0.09%
FNMA FN30 AX5559 03.0000 10/01/2046 0.09%
FNMA FN30 BD5297 03.5000 01/01/2047 0.09%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.09%
GNMA 10000 BE3158 03.5000 11/20/2047 0.09%
GNMA GII30 635081 03.5000 05/20/2046 0.09%
GNR 2010-H19 GI IO 01.4387 08/20/2060 0.09%
GNR 2015-H28 DI IO 01.5668 08/20/2065 0.09%
GNR 2017-H08 NI IO 02.6325 03/20/2067 0.09%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.09%
GSMS 2012-GC6 D P/P 144A 05.6525 01/10/2045 0.09%
GSMS 2014-GC18 XA IO 01.0286 01/10/2047 0.09%
JPMCC 2013-C16 XA IO 00.9448 12/15/2046 0.09%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.09%
NHEL 2004-2 M4 04.2855 09/25/2034 0.09%
OMEGA HLTHCARE INVES 04.5000 04/01/2027 0.09%
SAIL 2004-10 A10 03.3855 11/25/2034 0.09%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.09%
STACR 2017-DNA3 M2 04.9855 03/25/2030 0.09%
SWPTN 1YX10Y P 2.7475 USD 02/13/2020 GS 0.09%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.09%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.09%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.09%
UBS GROUP FUNDIN P/P 144A 04.1250 04/15/2026 0.09%
WFRBS 2012-C10 D P/P 144A 04.4419 12/15/2045 0.09%
AMAZON.COM INC 04.0500 08/22/2047 0.08%
CAS 2018-C06 1M2 04.4855 03/25/2031 0.08%
CCMFC 2004-3A A2 02.7855 08/25/2035 0.08%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.08%
COMCAST CABLE COMMUNICAT 09.4550 11/15/2022 0.08%
COMM 2015-CR23 XA IO 00.9498 05/10/2048 0.08%
CVS HEALTH CORP 05.0500 03/25/2048 0.08%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.08%
FNMA FN30 AL2752 05.0000 03/01/2042 0.08%
FNMA FN30 AS6679 04.0000 01/01/2046 0.08%
FNMA FN30 BD9219 04.5000 10/01/2046 0.08%
GNMA 10000 BC8223 03.5000 11/20/2047 0.08%
GNMA GII30 BA8388 03.5000 10/20/2047 0.08%
GNMA GII30 BC0460 03.5000 10/20/2047 0.08%
GNMA GII30 BI6627 05.0000 01/20/2049 0.08%
GNMA GII30 BK6536 05.5000 03/20/2049 0.08%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.08%
GNR 2013-20 QI IO 04.5000 12/16/2042 0.08%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.08%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.08%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.08%
GNR 2016-H27 BI IO 02.2667 12/20/2066 0.08%
GSMS 2013-GC12 XA IO 01.4290 06/10/2046 0.08%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.08%
RMIR 2018-1 M2 04.2100 03/25/2028 0.08%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.08%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.08%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.08%
TARGA RESOURCES PART 05.0000 01/15/2028 0.08%
VERIZON COMM 04.3290 09/21/2028 0.08%
AMAZON.COM INC 03.1500 08/22/2027 0.07%
APPLE INC 03.4500 05/06/2024 0.07%
CBS CORP 02.9000 01/15/2027 0.07%
CGCMT 2013-GC17 X IO 01.0468 11/10/2046 0.07%
COMM 2014-UBS4 XA IO 01.1717 08/10/2047 0.07%
CREDIT SUISSE GRP AG P/P 144A 03.8690 01/12/2029 0.07%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.07%
EQUINOR ASA USD 05.1000 08/17/2040 0.07%
FHR 4158 TI IO 03.0000 12/15/2042 0.07%
FHR 4176 DI IO 03.0000 12/15/2042 0.07%
GNMA GII30 BA8385 03.5000 10/20/2047 0.07%
GNMA GII30 BC0461 03.5000 10/20/2047 0.07%
GNMA GII30 BE5897 03.5000 10/20/2047 0.07%
GNMA GII30 BF6125 04.0000 02/20/2048 0.07%
GNMA GII30 BK1782 05.5000 01/20/2049 0.07%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.07%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.07%
GSMS 2014-GC18 C 04.9960 01/10/2047 0.07%
HCA INC 05.0000 03/15/2024 0.07%
HOSPITALITY PROP TRUST 04.3750 02/15/2030 0.07%
JPMBB 2014-C25 XA IO 00.9362 11/15/2047 0.07%
LLOYDS BANKING GROUP PLC USD 04.5000 11/04/2024 0.07%
LLOYDS BANKING GROUP PLC USD 04.6500 03/24/2026 0.07%
MSC 2012-C4 E P/P 144A 05.4207 03/15/2045 0.07%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.07%
OMIR 2017-1A M2 P/P 144A 06.4855 04/25/2027 0.07%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.07%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.07%
VMWARE INC 03.9000 08/21/2027 0.07%
WFRBS 2014-C22 XA IO 00.8451 09/15/2057 0.07%
AES CORP/THE 05.1250 09/01/2027 0.06%
AIR LEASE CORP 03.6250 04/01/2027 0.06%
BMIR 2018-2A M1C P/P 144A 04.0855 08/25/2028 0.06%
CA TXB-VAR PURP 07.5000 04/01/2034 0.06%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.06%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.06%
COMM 2013-CR11 AM 04.7150 08/10/2050 0.06%
COMM 2014-CR18 XA IO 01.1446 07/15/2047 0.06%
COMM 2014-UBS6 C 04.4585 12/10/2047 0.06%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.06%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.06%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.06%
FHR 3852 NT 03.5163 05/15/2041 0.06%
FHR 4201 JI IO 03.0000 12/15/2041 0.06%
FNMA FN30 AS4991 03.5000 05/01/2045 0.06%
FNMA FN30 AS8842 03.5000 02/01/2047 0.06%
FNMA FN30 AU1625 03.5000 07/01/2043 0.06%
FNMA FN30 BD0189 03.5000 06/01/2046 0.06%
FNMA FN30 BD0959 03.5000 06/01/2046 0.06%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.06%
GNMA GII30 AY4779 04.5080 03/20/2067 0.06%
GNMA GII30 BC0459 03.5000 10/20/2047 0.06%
GNMA GII30 BG4862 04.5000 05/20/2048 0.06%
GNMA GII30 BG6110 04.0000 05/20/2048 0.06%
GNMA GII30 BI1912 04.5000 12/20/2048 0.06%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.06%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.06%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.06%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.06%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.06%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.06%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.06%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.06%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.06%
GNR 2015-H01 CI IO 01.6470 12/20/2064 0.06%
GNR 2015-H17 CI IO 01.6160 06/20/2065 0.06%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.06%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.06%
N TX HWY-TXB-B 06.7180 01/01/2049 0.06%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.06%
PPL WEM LTD/WESTERN P/P 144A 05.3750 05/01/2021 0.06%
S&P GLOBAL INC 04.4000 02/15/2026 0.06%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.06%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.06%
WAMU 2005-AR1 A2B 03.2855 01/25/2045 0.06%
WAMU 2005-AR2 2A1B 02.8555 01/25/2045 0.06%
WEYERHAEUSER CO 07.3750 03/15/2032 0.06%
WFRBS 2011-C5 XA IO P/P 144A 01.7338 11/15/2044 0.06%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.05%
CAS 2017-C06 2M2 05.2855 02/25/2030 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
COMM 2012-LC4 XA IO P/P 144A 02.1074 12/10/2044 0.05%
COMM 2014-CR18 C 04.7314 07/15/2047 0.05%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.05%
FHR 3408 EK 15.7988 04/15/2037 0.05%
FNMA FN30 889560 06.0000 06/01/2038 0.05%
FNMA FN30 AX5485 04.5000 10/01/2045 0.05%
FNMA FN30 AY8222 04.5000 05/01/2045 0.05%
FNMA FN30 MA2917 03.5000 02/01/2047 0.05%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.05%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.05%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.05%
GENERAL MOTORS FINL CO 04.0000 01/15/2025 0.05%
GNMA GII30 626989 04.0000 09/20/2040 0.05%
GNMA GII30 635063 04.0000 03/20/2046 0.05%
GNMA GII30 635075 04.5000 04/20/2046 0.05%
GNMA GII30 AI2340 04.4700 05/20/2065 0.05%
GNMA GII30 BA7681 04.6270 06/20/2067 0.05%
GNMA GII30 BG4861 04.5000 05/20/2048 0.05%
GNMA GII30P 784038 04.0000 01/20/2045 0.05%
GNR 2013-164 CI IO 03.0000 11/16/2028 0.05%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.05%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.05%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.05%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.05%
MICROSOFT CORP 02.4000 08/08/2026 0.05%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.05%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.05%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.05%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.05%
PUGET ENERGY INC 03.6500 05/15/2025 0.05%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.05%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.05%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.05%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.05%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.05%
WAMU 2005-AR17 A1B3 02.8355 12/25/2045 0.05%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.05%
WFRBS 2013-C11 XA IO P/P 144A 01.2075 03/15/2045 0.05%
2.806 R ISWP FWD US0003M P 03/05/2030 0.04%
2.86 R ISWP US0003M P 01/22/2020 0.04%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.04%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.04%
CBRE SERVICES INC 05.2500 03/15/2025 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.04%
COMCAST CORP 04.0490 11/01/2052 0.04%
COMM 2014-LC17 XA IO 00.8933 10/10/2047 0.04%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.04%
ENBRIDGE INC USD 04.2500 12/01/2026 0.04%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.04%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.04%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.04%
FHLMC FH30G V80002 02.5000 04/01/2043 0.04%
FHR 4171 NI IO 03.0000 06/15/2042 0.04%
FHR 4182 GI IO 03.0000 01/15/2043 0.04%
FIRSTENERGY CORP 04.8500 07/15/2047 0.04%
FN BF0091 0.04%
FNMA FN15 AL8561 03.5000 06/01/2031 0.04%
FNMA FN30 AI9135 03.5000 10/01/2042 0.04%
FNMA FN30 AL4158 06.0000 10/01/2040 0.04%
FNMA FN30 AS7363 03.0000 06/01/2046 0.04%
FNMA FN30 AV7065 03.5000 05/01/2045 0.04%
FNMA FN30 AW7089 04.5000 07/01/2044 0.04%
FNMA FN30 AX5472 03.5000 08/01/2045 0.04%
FNMA FN30 AX7296 04.5000 12/01/2044 0.04%
FNMA FN30 BC1155 03.0000 06/01/2046 0.04%
FNR 2012-128 QI IO 03.5000 06/25/2042 0.04%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.04%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.04%
FNR 2013-35 PI IO 03.0000 02/25/2042 0.04%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.04%
GNMA 10000 BD7925 03.5000 11/20/2047 0.04%
GNMA GII30 673972 03.0000 08/20/2046 0.04%
GNMA GII30 AD8811 03.0000 03/20/2043 0.04%
GNMA GII30 BB0107 04.7000 08/20/2067 0.04%
GNMA GII30 BE5896 03.5000 10/20/2047 0.04%
GNMA GII30 BE5898 03.5000 10/20/2047 0.04%
GNMA GN30 635061 04.0000 03/15/2046 0.04%
GNR 2014-71 BI IO 04.5000 05/20/2029 0.04%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.04%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.04%
GNR 2015-87 AI IO 03.5000 12/20/2038 0.04%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.04%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.04%
HCA INC 05.5000 06/15/2047 0.04%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.04%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.04%
JPMCC 2012-C8 E P/P 144A 04.6530 10/15/2045 0.04%
JPMCC 2013-C16 D P/P 144A 05.0283 12/15/2046 0.04%
KEURIG DR PEPPER INC P/P 144A 04.4170 05/25/2025 0.04%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.04%
KINDER MORGAN INC 03.1500 01/15/2023 0.04%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.04%
OMNICOM GP/OMNICOM CAP 03.6000 04/15/2026 0.04%
QVC INC 04.8500 04/01/2024 0.04%
ROCHE HOLDINGS INC P/P 144A 04.0000 11/28/2044 0.04%
SERVICE CORP INTL 04.6250 12/15/2027 0.04%
STACR 2019-DNA2 B1 06.8368 03/25/2049 0.04%
SWPTN 1YX2Y R 2.486 USD 01/31/2020 JP 0.04%
SWPTN 1YX2Y R 2.56 USD 02/06/2020 JP 0.04%
UBSCM 2012-C1 XA IO P/P 144A 02.0652 05/10/2045 0.04%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.04%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.04%
ZF NA CAPITAL P/P 144A 04.5000 04/29/2022 0.04%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.03%
CAS 2016-C06 1M2 06.7355 04/25/2029 0.03%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.03%
CFCRE 2011-C2 D P/P 144A 05.7568 12/15/2047 0.03%
COMCAST CORP 03.9990 11/01/2049 0.03%
COMCAST CORP 06.5000 11/15/2035 0.03%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.03%
FHLMC FH30G G07981 05.0000 03/01/2041 0.03%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.03%
FHR 3065 DC 12.4088 03/15/2035 0.03%
FHR 4132 IP IO 04.5000 11/15/2042 0.03%
FHR 4141 PI IO 03.0000 12/15/2042 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
FNMA FN30 735227 05.5000 02/01/2035 0.03%
FNMA FN30 AB5174 03.5000 05/01/2042 0.03%
FNMA FN30 AO5471 03.5000 06/01/2042 0.03%
FNMA FN30 AR6276 03.5000 03/01/2043 0.03%
FNMA FN30 AW9042 04.0000 08/01/2044 0.03%
FNMA FN30 AX5489 03.5000 10/01/2045 0.03%
FNMA FN30 AX5490 04.0000 10/01/2045 0.03%
FNMA FN30 AX8927 04.5000 12/01/2044 0.03%
FNMA FN30 BA1056 04.5000 11/01/2045 0.03%
FNMA FN30 BC0960 04.0000 06/01/2046 0.03%
FNMA FN30 MA2180 04.0000 02/01/2045 0.03%
FNR 2005-122 SE 14.4008 11/25/2035 0.03%
FNR 2006-62 PS 24.9870 07/25/2036 0.03%
FNR 2011-4 CS 07.9290 05/25/2040 0.03%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.03%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.03%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.03%
G60183 04.0000 12/01/2044 0.03%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.03%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.03%
GNMA 10000 BD7924 03.5000 11/20/2047 0.03%
GNMA GII30 627009 04.5000 10/20/2045 0.03%
GNMA GII30 AT9856 03.0000 10/20/2046 0.03%
GNMA GII30 AY2298 04.7000 05/20/2067 0.03%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.03%
GNMA GII30 OBD1716 03.5000 11/20/2047 0.03%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.03%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.03%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.03%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.03%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.03%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.03%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.03%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.03%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.03%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.03%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.03%
INTERNATIONAL PAPER CO 08.7000 06/15/2038 0.03%
JPMCC 2012-LC9 D P/P 144A 04.3835 12/15/2047 0.03%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.03%
QVC INC 04.4500 02/15/2025 0.03%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.03%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.03%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.03%
WALT DISNEY COMP P/P 144A 07.7500 01/20/2024 0.03%
WESTROCK MWV LLC 07.9500 02/15/2031 0.03%
ABBVIE INC 03.6000 05/14/2025 0.02%
AIR LEASE CORP 03.0000 09/15/2023 0.02%
ANTHEM INC 04.6250 05/15/2042 0.02%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.02%
APPLE INC 03.8500 05/04/2043 0.02%
APPLE INC 04.3750 05/13/2045 0.02%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.02%
BPCE SA P/P 144A 05.1500 07/21/2024 0.02%
CAS 2016-C07 2M2 06.8355 05/25/2029 0.02%
CAS 2017-C01 1M2 06.0355 07/25/2029 0.02%
CBS CORP 04.0000 01/15/2026 0.02%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.02%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.02%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.02%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
EDP FINANCE BV P/P 144A 05.2500 01/14/2021 0.02%
ENERGY TRANSFER OPERATNG 06.1250 12/15/2045 0.02%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.02%
FHLMC FH30G C03805 03.5000 04/01/2042 0.02%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.02%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.02%
FHR 2990 LB 10.5974 06/15/2034 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FHR 4183 MI IO 03.0000 02/15/2042 0.02%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.02%
FIRSTENERGY CORP 03.9000 07/15/2027 0.02%
FN30 04.000 2014 0.02%
FNMA FN30 AD0095 06.0000 11/01/2038 0.02%
FNMA FN30 AL5229 05.0000 01/01/2044 0.02%
FNMA FN30 AS8530 03.5000 12/01/2046 0.02%
FNMA FN30 AX2731 04.5000 10/01/2044 0.02%
FNMA FN30 AX8877 04.5000 12/01/2044 0.02%
FNMA FN30 BC5322 03.5000 03/01/2046 0.02%
FNMA FN30 BJ1735 04.0000 10/01/2047 0.02%
FNMA FN30 BJ1758 04.0000 10/01/2047 0.02%
FNMA FN30 MA2242 04.0000 04/01/2045 0.02%
FNR 2005-106 JC 12.4171 12/25/2035 0.02%
FNR 2006-8 HP 15.4532 03/25/2036 0.02%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.02%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.02%
FNR 2014-20 IA IO 03.5000 07/25/2039 0.02%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.02%
GNMA GII30 AO7326 04.6670 09/20/2065 0.02%
GNMA GII30 AW8447 04.3220 05/20/2067 0.02%
GNMA GII30 BE1441 03.5000 11/20/2047 0.02%
GNMA GII30 BE5936 04.0000 05/20/2048 0.02%
GNMA GII30 BE5937 04.0000 05/20/2048 0.02%
GNMA GII30 OBD1715 03.5000 11/20/2047 0.02%
GNMA GN30 AB9500 03.5000 11/15/2042 0.02%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.02%
GNR 2013-129 SN IO 03.6623 09/20/2043 0.02%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.02%
GNR 2014-30 KI IO 03.0000 02/16/2029 0.02%
GNR 2014-5 LI IO 03.0000 01/16/2029 0.02%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.02%
HCA INC 05.2500 06/15/2026 0.02%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.02%
KINDER MORGAN ENER PART 03.5000 03/01/2021 0.02%
MARATHON PETRO CORP 06.5000 03/01/2041 0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.02%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.02%
SABMILLER HLDG INC 04.9500 01/15/2042 0.02%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.02%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.02%
THE WILLIAMS COMPANIES INC. 08.7500 03/15/2032 0.02%
WARNER MEDIA LLC 02.9500 07/15/2026 0.02%
WARNER MEDIA LLC 03.8000 02/15/2027 0.02%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.02%
2.536 R ISWP FWD US0003M P 12/02/2023 0.01%
ANHEUSER-BUSCH CO/IN P/P 144A 03.6500 02/01/2026 0.01%
ARIZONA PUBLIC SERVICE 04.5000 04/01/2042 0.01%
BANCO SANTANDER SA USD 04.3790 04/12/2028 0.01%
BGC PARTNERS INC 05.1250 05/27/2021 0.01%
CAPITAL ONE BANK USA NA 03.3750 02/15/2023 0.01%
CAS 2016-C03 1M1 04.4855 10/25/2028 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.01%
CSMC 2007-C4 C P/P 144A 05.8056 09/15/2039 0.01%
DIAGEO INVESTMENT CORP 08.0000 09/15/2022 0.01%
DUKE ENERGY CAROLINAS 04.2500 12/15/2041 0.01%
ENERGY TRANSFER OPERATNG 05.2000 02/01/2022 0.01%
ENERGY TRANSFER OPERATNG 06.2500 04/15/2049 0.01%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.01%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.01%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.01%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.01%
FHLMC FH30G Q44946 03.5000 12/01/2046 0.01%
FHLMC FH30G Q45042 03.5000 12/01/2046 0.01%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.01%
FHR 2976 LC 15.3129 05/15/2035 0.01%
FHR 3249 PS 14.0786 12/15/2036 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FHR 4004 IO IO 03.0000 03/15/2026 0.01%
FHR 4018 DI IO 04.5000 07/15/2041 0.01%
FIDELITY NATIONAL INFORM 03.0000 08/15/2026 0.01%
FLR USL3M 5.00 03/14/2021 JP 0.01%
FNMA FN30 677018 05.5000 01/01/2033 0.01%
FNMA FN30 889683 06.0000 07/01/2038 0.01%
FNMA FN30 AB9238 03.0000 05/01/2043 0.01%
FNMA FN30 AD0207 06.0000 10/01/2038 0.01%
FNMA FN30 AE0028 06.0000 10/01/2039 0.01%
FNMA FN30 AE0825 06.0000 10/01/2039 0.01%
FNMA FN30 AE0947 06.0000 10/01/2038 0.01%
FNMA FN30 AL0152 06.0000 06/01/2040 0.01%
FNMA FN30 AL1566 06.0000 09/01/2040 0.01%
FNMA FN30 AL3671 06.0000 05/01/2041 0.01%
FNMA FN30 AL6868 06.0000 05/01/2041 0.01%
FNMA FN30 AR3945 03.0000 03/01/2043 0.01%
FNMA FN30 AS5038 04.0000 05/01/2045 0.01%
FNMA FN30 AS9415 04.0000 04/01/2047 0.01%
FNMA FN30 AT0942 03.0000 04/01/2043 0.01%
FNMA FN30 AX5555 03.5000 10/01/2046 0.01%
FNMA FN30 AX5560 03.5000 11/01/2046 0.01%
FNMA FN30 AY1318 04.0000 03/01/2045 0.01%
FNMA FN30 AY3392 04.0000 04/01/2045 0.01%
FNMA FN30 BA5236 03.5000 12/01/2045 0.01%
FNMA FN30 BC0390 04.5000 12/01/2045 0.01%
FNMA FN30 BC7330 03.5000 12/01/2046 0.01%
FNMA FN30 BD8704 03.5000 12/01/2046 0.01%
FNMA FN30 BD9052 04.0000 08/01/2047 0.01%
FNMA FN30 BJ1747 04.0000 10/01/2047 0.01%
FNMA FN30 CA0341 04.0000 09/01/2047 0.01%
FNMA FN30 MA2216 04.0000 03/01/2045 0.01%
FNR 2003-34 P1 PO 00.0000 04/25/2043 0.01%
FNR 2005-75 GS 12.7935 08/25/2035 0.01%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.01%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.01%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.01%
GNMA GII30 5307 05.0000 02/20/2042 0.01%
GNMA GII30 626963 04.0000 07/20/2045 0.01%
GNMA GII30 AH1076 04.6710 05/20/2065 0.01%
GNMA GII30 AH1094 04.6460 06/20/2065 0.01%
GNMA GII30 AT8064 03.0000 08/20/2046 0.01%
GNMA GII30 AW5280 03.0000 10/20/2046 0.01%
GNMA GII30 BB3013 03.5000 11/20/2047 0.01%
GNMA GII30 BB3019 03.5000 11/20/2047 0.01%
GNMA GII30 BE1437 03.5000 11/20/2047 0.01%
GNMA GII30 BE1440 03.5000 11/20/2047 0.01%
GNMA GII30 MA0395 05.0000 09/20/2042 0.01%
GNMA GN30 626962 04.0000 07/15/2045 0.01%
GNMA GN30 AD2149 03.5000 01/15/2043 0.01%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.01%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.01%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.01%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.01%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.01%
GNR 2015-H14 BI IO 01.5917 05/20/2065 0.01%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.01%
HOSPITALITY PROP TRUST 04.6500 03/15/2024 0.01%
MIDAMERICAN FUNDING LLC 06.9270 03/01/2029 0.01%
NVR INC 03.9500 09/15/2022 0.01%
OPTN FN30 3.0 05/06/19 CALL 99.625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.06640625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.19140625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.31640625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.44140625 JPMC 0.01%
PACIFICORP 06.2500 10/15/2037 0.01%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.01%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.01%
SANTANDER UK GROUP H P/P 144A 04.7500 09/15/2025 0.01%
SOUTHERN COPPER CORP USD 05.3750 04/16/2020 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SWPTN 1MX5Y P 2.38875 USD 04/29/2019 CI 0.01%
SWPTN 1MX5Y R 2.19625 USD 04/29/2019 CI 0.01%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.01%
SWPTN 1YX2Y P 2.486 USD 01/31/2020 JP 0.01%
SWPTN 1YX2Y P 2.56 USD 02/06/2020 JP 0.01%
SWPTN 5WX2Y R 2.41 USD 04/23/2019 CI 0.01%
SWPTN 5WX5Y P 2.3975 USD 05/02/2019 GS 0.01%
SWPTN 5WX5Y R 2.10625 USD 04/29/2019 GS 0.01%
SWPTN 5WX5Y R 2.1975 USD 05/02/2019 GS 0.01%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.01%
SWPTN LIABILITY 1MX5Y P 2.2925 USD 04/29/2019 CI 0.01%
SWPTN LIABILITY 1MX5Y R 2.2925 USD 04/29/2019 CI 0.01%
SWPTN LIABILITY 5WX5Y R 2.2975 USD 05/02/2019 GS 0.01%
TEACHERS INSUR & ANN P/P 144A 04.9000 09/15/2044 0.01%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.01%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.01%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.01%
UNITED AIR 2014-2 A PTT 03.7500 09/03/2026 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
WILLIAMS COMPANIES INC 03.6000 03/15/2022 0.01%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.01%
2.44 R ISWP FWD US0003M P 03/26/2030 0.00%
2.528 R ISWP FWD US0003M P 02/02/2024 0.00%
2.57 R ISWP FWD US0003M P 02/02/2024 0.00%
2.5725 R ISWP FWD US0003M P 02/02/2024 0.00%
2.5805 R ISWP US0003M P 04/02/2049 0.00%
2.67 R ISWP FWD US0003M P 03/28/2052 0.00%
BACM 2004-4 XC IO P/P 144A 00.3283 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4451 11/10/2041 0.00%
BACM 2005-1 XW IO P/P 144A 00.0000 11/10/2042 0.00%
BACM 2007-1 XW IO 00.0000 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0000 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.0000 02/11/2041 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.2693 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.6141 12/11/2049 0.00%
CGCMT 2006-C5 XC IO P/P 144A 00.4723 10/15/2049 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 CG 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 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 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 ML 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 JP 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 ML 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 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%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 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 ML 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 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 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
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 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
COMM 2006-C8 XS IO P/P 144A 00.4515 12/10/2046 0.00%
CPURNSA P 2.05 R 07/05/27 0.00%
CPURNSA P 2.085 R 07/03/27 0.00%
CPURNSA R 1.89 P 07/05/22 0.00%
CPURNSA R 1.9225 P 07/03/22 0.00%
CSFB 2003-C3 AX IO P/P 144A 01.5924 05/15/2038 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.0144 01/15/2049 0.00%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.00%
FHLMC FH30G Q44706 03.5000 12/01/2046 0.00%
FHR 3117 AF 00.0000 02/15/2036 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FHR 3391 PO PO 00.0000 04/15/2037 0.00%
FHR 3707 PI IO 04.5000 07/15/2025 0.00%
FNMA FN30 256349 06.0000 08/01/2036 0.00%
FNMA FN30 256553 06.0000 01/01/2037 0.00%
FNMA FN30 879494 06.0000 02/01/2036 0.00%
FNMA FN30 887618 06.0000 07/01/2036 0.00%
FNMA FN30 889424 06.0000 03/01/2038 0.00%
FNMA FN30 902070 06.0000 12/01/2036 0.00%
FNMA FN30 909083 06.0000 08/01/2037 0.00%
FNMA FN30 995894 06.0000 04/01/2039 0.00%
FNMA FN30 AD1662 05.0000 03/01/2040 0.00%
FNMA FN30 AL8205 03.0000 05/01/2045 0.00%
FNMA FN30 AP3817 03.0000 09/01/2042 0.00%
FNMA FN30 AP3902 03.0000 10/01/2042 0.00%
FNMA FN30 AP6568 03.0000 09/01/2042 0.00%
FNMA FN30 AR4126 03.0000 02/01/2043 0.00%
FNMA FN30 AS4073 04.0000 12/01/2044 0.00%
FNMA FN30 AS7561 04.0000 06/01/2046 0.00%
FNMA FN30 AS8974 04.0000 03/01/2047 0.00%
FNMA FN30 AS9978 04.0000 07/01/2047 0.00%
FNMA FN30 AX5534 04.0000 06/01/2046 0.00%
FNMA FN30 AX5565 03.5000 12/01/2046 0.00%
FNMA FN30 BD9021 03.5000 01/01/2047 0.00%
FNMA FN30 BD9031 04.0000 03/01/2047 0.00%
FNMA FN30 BD9038 04.0000 05/01/2047 0.00%
FNMA FN30 BD9043 04.0000 06/01/2047 0.00%
FNMA FN30 BD9047 04.0000 07/01/2047 0.00%
FNMA FN30 BE4222 03.5000 12/01/2046 0.00%
FNMA FN30 BJ0241 04.0000 09/01/2047 0.00%
FNMA FN30 MA2157 04.0000 01/01/2045 0.00%
FNR 2001-50 BI IO 00.3766 10/25/2041 0.00%
FNR 2005-83 QP 10.9317 11/25/2034 0.00%
FNR 2006-125 OX PO 00.0000 01/25/2037 0.00%
FNR 2006-46 OC PO 00.0000 06/25/2036 0.00%
FNR 2006-84 OT PO 00.0000 09/25/2036 0.00%
FNR 2007-14 KO PO 00.0000 03/25/2037 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
FNW 2002-W6 1AIO IO 00.0000 06/25/2042 0.00%
FNW 2005-W4 1AIO IO 00.0625 08/25/2045 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
GECMC 2007-C1 XC IO P/P 144A 00.0041 12/10/2049 0.00%
GNMA GII30 609146 04.5000 05/20/2044 0.00%
GNMA GII30 AN1902 04.5800 05/20/2065 0.00%
GNMA GII30 AN4727 04.4890 05/20/2065 0.00%
GNMA GII30 AN4733 04.5000 06/20/2065 0.00%
GNMA GII30 AN4739 04.6210 06/20/2065 0.00%
GNMA GII30 AN4740 04.7000 06/20/2065 0.00%
GNMA GII30 AN4741 04.4040 06/20/2065 0.00%
GNMA GII30 AO7320 04.5200 08/20/2065 0.00%
GNMA GII30 BD3297 03.5000 11/20/2047 0.00%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-70 YI IO 00.1500 12/20/2040 0.00%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.13 P USL1M R 01/12/44 JP 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.13 P USL1M R 01/12/44 JP 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.500.08 P USL1M R 01/12/39 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.550.05 P USL1M R 01/12/36 BC 0.00%
IOS.FN30.550.05 R USL1M P 01/12/36 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPMCC 05-CB12 X1 IO P/P 144A 00.5022 09/12/2037 0.00%
JPMCC 06-LDP6 X1 IO P/P 144A 00.0000 04/15/2043 0.00%
JPMCC 2006-LDP8 X IO 00.2852 05/15/2045 0.00%
JPMCC 2007-LDPX X IO 00.0069 01/15/2049 0.00%
LBUBS 2005-C5 XCL IO P/P 144A 0.09 3 09/15/2040 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.3186 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.3298 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.3298 02/15/2040 0.00%
LIBERTY MUTUAL GROUP P/P 144A 07.8000 03/15/2037 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.450.10 R USL1M P 01/12/41 CS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MEZZ 2005-C3 X IO P/P 144A 05.8927 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 05.4233 07/15/2045 0.00%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.8919 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.06640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.19140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.31640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.44140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.56640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.69140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.81640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.94140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.56640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.69140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.81640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.94140625 JPMC 0.00%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 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 5YX30Y P 3.27 USD 10/17/2023 MS 0.00%
SWPTN LIABILITY 5WX5Y P 2.2975 USD 05/02/2019 GS 0.00%
TIAA ASSET MGMT FIN P/P 144A 04.1250 11/01/2024 0.00%
US 10YR NOTE (CBT)JUN19 TYM9 0.00%
US 10YR ULTRA FUT JUN19 UXYM9 0.00%
US 2YR NOTE (CBT) JUN19 TUM9 0.00%
US 5YR NOTE (CBT) JUN19 FVM9 0.00%
US LONG BOND(CBT) JUN19 USM9 0.00%
US ULTRA BOND CBT JUN19 WNM9 0.00%
USL3M P ISWP USL6M R 05/26/2020 0.00%
WALT DISNEY COMPAN P/P 144A 04.7500 09/15/2044 0.00%
WBCMT 2006-C29 IO IO 00.0509 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.0909 05/15/2046 0.00%
2.20 R ISWP FWD US0003M P 04/10/2024 -0.01%
2.355 R ISWP US0003M P 04/01/2029 -0.01%
2.375 R ISWP FWD US0003M P 04/16/2029 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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 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 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -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 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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -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 JP -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
OPTN FN30 3.0 05/06/19 PUT 99.625 JPMC -0.01%
SWPTN 1MX5Y P 2.2925 USD 04/29/2019 CI -0.01%
SWPTN 1MX5Y R 2.2925 USD 04/29/2019 CI -0.01%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.01%
SWPTN 5WX10Y R 2.421 USD 04/23/2019 CI -0.01%
SWPTN 5WX5Y P 2.2975 USD 05/02/2019 GS -0.01%
SWPTN 5WX5Y R 2.20625 USD 04/29/2019 GS -0.01%
SWPTN 5WX5Y R 2.2975 USD 05/02/2019 GS -0.01%
SWPTN LIABILITY 1MX5Y P 2.38875 USD 04/29/2019 CI -0.01%
SWPTN LIABILITY 1MX5Y R 2.19625 USD 04/29/2019 CI -0.01%
SWPTN LIABILITY 5WX5Y P 2.3975 USD 05/02/2019 GS -0.01%
SWPTN LIABILITY 5WX5Y R 2.1975 USD 05/02/2019 GS -0.01%
SWPTN LIABILITY 5YX30Y P 3.27 USD 10/17/2023 MS -0.01%
SWPTN LIABILITY 5YX30Y R 3.27 USD 10/17/2023 MS -0.01%
2.6785 R ISWP US0003M P 02/13/2029 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.02%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.02%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
SWPTN 3YX2Y P 2.486 USD 01/31/2022 JP -0.03%
SWPTN 3YX2Y P 2.56 USD 02/07/2022 JP -0.03%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.03%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.03%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.03%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.03%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.04%
2.80 R ISWP FWD US0003M P 06/19/2049 -0.04%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.04%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.04%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.05%
SWPTN 3YX2Y R 2.486 USD 01/31/2022 JP -0.05%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.05%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.05%
SWPTN 3YX2Y R 2.56 USD 02/07/2022 JP -0.06%
2.77 R ISWP US0003M P 01/22/2021 -0.07%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.07%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.07%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.11%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.11%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.11%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.11%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.11%
FNMA FN30 TBA 05.0000 04/01/2049 -0.12%
SWPTN 5YX24Y R 3.0 USD 04/04/2024 MS -0.12%
SWPTN 5YX24Y R 3.0 USD 04/12/2024 MS -0.12%
SWPTN 6YX24Y R 3.0 USD 01/31/2025 MS -0.12%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.13%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.13%
2.55 R ISWP FWD US0003M P 06/19/2021 -0.14%
SWPTN 7YX30Y P 3.1775 USD 11/28/2025 BA -0.17%
SWPTN 5YX10Y P 2.9425 USD 02/13/2024 GS -0.18%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.24%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.24%
2.50 R ISWP FWD US0003M P 06/19/2024 -0.27%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.31%
SWPTN 5YX10Y R 2.9425 USD 02/13/2024 GS -0.31%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.34%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.38%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.41%
SWPTN 7YX30Y R 3.1775 USD 11/28/2025 BA -0.42%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -0.84%
GNMA GII30 TBA 05.0000 04/01/2049 -2.25%
FNMA FN30 TBA 03.0000 04/01/2049 -3.63%

Prior top 10 holdings

Top 10 holdings as of 05/31/19
FNMA FN30 TBA UMBS 03.5000 06/01/2049
Fnma Fn30 Tba Umbs 04.0000 07/01/2049
FNMA FN30 TBA UMBS 04.0000 06/01/2049
Gnma Gii30 Tba 04.0000 06/01/2049
Gnma Gii30 Tba 03.5000 06/01/2049
Gnma Gii30 Tba 04.5000 06/01/2049
Cas 2016-C03 2m2 08.3298 10/25/2028
Gnma Gii30 Ma3803 Umbs 03.5000 07/20/2046
Stacr 2016-Hqa1 M3 08.7798 09/25/2028
FNMA FN30 TBA UMBS 04.5000 06/01/2049
Holdings represent 26.26% of portfolio
Top 10 holdings as of 04/30/19
Umbs Fn30 Tba 03.5000 06/01/2049
Umbs Fn30 Tba 04.0000 06/01/2049
Gnma Gii30 Tba 04.0000 05/01/2049
Gnma Gii30 Tba 03.5000 05/01/2049
Gnma Gii30 Tba 04.5000 05/01/2049
Cas 2016-C03 2m2 08.3766 10/25/2028
Gnma Gii30 Ma3803 03.5000 07/20/2046
Umbs Fn30 Tba 04.5000 05/01/2049
Stacr 2016-Hqa1 M3 08.8266 09/25/2028
Goldman Sachs Group 04.2230 05/01/2029
Holdings represent 28.16% of portfolio
Top 10 holdings as of 03/31/19
Fnma Fn30 Tba 03.5000 04/01/2049
Fnma Fn30 Tba 04.0000 04/01/2049
Gnma Gii30 Tba 04.0000 04/01/2049
Fnma Fn30 Tba 03.5000 05/01/2049
Gnma Gii30 Tba 03.5000 04/01/2049
Gnma Gii30 Tba 04.5000 04/01/2049
Cas 2016-C03 2m2 08.3855 10/25/2028
Gnma Gii30 Ma3803 03.5000 07/20/2046
Fnma Fn30 Tba 04.5000 04/01/2049
Stacr 2016-Hqa1 M3 08.8355 09/25/2028
Holdings represent 28.33% of portfolio
Top 10 holdings as of 02/28/19
Fnma Fn30 Tba 03.5000 03/01/2049
Fnma Fn30 Tba 04.0000 03/01/2049
Gnma Gii30 Tba 04.0000 03/01/2049
Gnma Gii30 Tba 03.5000 03/01/2049
Gnma Gii30 Tba 04.5000 03/01/2049
Cas 2016-C03 1m2 07.7899 10/25/2028
Cas 2016-C03 2m2 08.3899 10/25/2028
Gnma Gii30 Ma3803 03.5000 07/20/2046
Fnma Fn30 Tba 04.5000 03/01/2049
Stacr 2016-Hqa1 M3 08.8399 09/25/2028
Holdings represent 29.23% of portfolio

Fixed income statistics as of 05/31/19

Average effective maturity 7.99 yrs.
Average effective duration 5.79 yrs.
Average yield to maturity 3.91%
Average coupon 4.25%
Average price $89.55

Maturity detail as of 05/31/19

0 - 1 yr. 7.53%
1 - 5 yrs. 36.30%
5 - 10 yrs. 50.79%
10 - 15 yrs. 1.33%
Over 15 yrs. 4.05%

Quality rating as of 05/31/19

AAA 57.67%
AA 4.73%
A 11.90%
BBB 19.53%
BB 6.29%
B 4.01%
CCC and Below 0.96%
Not Rated -5.09%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also 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.  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). The fund may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields. 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 05/31/19

United States 95.29%
Bermuda 1.19%
Canada 1.09%
United Kingdom 0.97%
France 0.37%
Spain 0.27%
Switzerland 0.21%
Germany 0.17%
Ireland 0.11%
 
Other
0.33%
Japan 0.10%
Mexico 0.09%
Norway 0.07%
Netherlands 0.06%
Peru 0.01%

Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
Total expense ratio 0.88% 1.63% 1.63% 1.13% 1.13% 0.58% 0.51% 0.63%
What you pay 0.88% 1.63% 1.63% 1.13% 1.13% 0.58% 0.51% 0.63%

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 U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities. You cannot invest directly in an index.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also 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.  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). The fund may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields. 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.