Income Fund  (PINCX)

Pursuing income with an all-weather bond portfolio since 1954

Objective

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

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $6.89
0.00% | $0.00
$6.98
09/29/16
$6.71
11/23/16
Historical fund price

Fund facts as of 08/31/17

Total net assets
$1,577.45M
Turnover (fiscal year end)
981%
Dividend frequency (view rate)
Monthly
Number of holdings
1197
Fiscal year end
October
CUSIP / Fund code
746792100 / 0003
Inception Date
11/01/54
Category
Taxable Income
Open to new investors
Ticker
PINCX

Management team


Co-Head of Fixed Income

Portfolio Manager

Portfolio Manager

Strategy and process

  • Diverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed securi¬≠ties, corporate bonds, and other government obligations.
  • Flexible risk allocations: The fund takes a unique approach to asset allocation, dynamically establishing diversified risk expo¬≠sures 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.

Manager commentary | Q2 2017

Despite retail, commercial real estate is an attractive sector

Mike Salm, Co-Head of Fixed Income, explains his positive view of the commercial real estate sector.


Literature


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

Performance

Consistency of positive performance over five years

Performance represents 5-year returns in rolling quarter-end periods since inception.

Performance shown above does not reflect the effects of any sales charges. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please see below.

20.63%

Best 5-year annualized return

(for period ending 09/30/86)


-1.40%

Worst 5-year annualized return

(for period ending 12/31/08)


7.41%

Average 5-year annualized return


  • Total return (%) as of 06/30/17

  • Annual performance as of 06/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 4.00% 1.25% 3.27% 5.39%
After sales charge -0.16% -0.12% 2.43% 4.96%
Bloomberg Barclays U.S. Aggregate Bond Index -0.31% 2.48% 2.21% 4.48%

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

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 08/31/17 0.29 % -3.72 %
YTD as of 09/22/17 4.16 % -0.01 %

Yield

Distribution rate before sales charge
as of 09/22/17
3.48%
Distribution rate after sales charge
as of 09/22/17
3.34%
30-day SEC yield as of 08/31/17
(after sales charge)
3.52%

Risk-adjusted performance as of 08/31/17

Sharpe ratio (3 yrs.) 0.52
Information ratio (3 yrs.) -0.36

Volatility as of 08/31/17

Standard deviation (3 yrs.) 2.68%
Beta 0.45
R-squared 0.23

Lipper rankings as of 08/31/17

Core Bond Funds Percentile ranking Rank/Funds in category
1 yr. 3% 11/492
3 yrs. 89% 377/423
5 yrs. 18% 68/384
10 yrs. 6% 16/287

Morningstar ratings as of 08/31/17

Intermediate-Term Bond Rating Funds in category
Overall (849)
3 yrs. (849)
5 yrs. (431)
10 yrs. (350)

Distributions

Record/Ex dividend date 09/19/17
Payable date 09/25/17
Income $0.02
Extra income $0.0
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.


Holdings

Top 10 holdings as of 08/31/17

Fnma Fn30 Tba 03.5000 10/01/2047 13.64%
Fnma Fn30 Tba 03.5000 09/01/2047 10.05%
Fnma Fn30 Tba 03.0000 10/01/2047 7.17%
Fnma Fn30 Tba 02.5000 09/01/2047 4.72%
Fnma Fn30 Tba 04.5000 09/01/2047 3.41%
Gnma Gii30 Tba 03.0000 09/01/2047 2.59%
Gnma Gii30 Tba 03.5000 09/01/2047 2.12%
Gnma Gii30 Tba 04.0000 10/01/2047 2.07%
Fnma Fn30 Tba 04.0000 09/01/2047 1.47%
Cas 2016-C03 1m2 06.5344 10/25/2028 1.19%
Top 10 holdings, percent of portfolio 48.43%

Full portfolio holdings as of 06/30/17

FNMA FN30 TBA 03.5000 08/01/2047 21.39%
FNMA FN30 TBA 03.5000 07/01/2047 8.98%
GNMA GII30 TBA 03.5000 07/01/2047 3.62%
FNMA FN30 TBA 04.5000 07/01/2047 3.35%
FNMA FN30 TBA 02.5000 07/01/2047 2.95%
GNMA GII30 TBA 03.0000 07/01/2047 2.52%
FNMA FN30 TBA 02.5000 08/01/2047 1.62%
FNMA FN30 TBA 04.0000 07/01/2047 1.38%
CAS 2016-C03 1M2 06.5161 10/25/2028 1.20%
CAS 2016-C03 2M2 07.1161 10/25/2028 1.07%
CAS 2016-C02 1M2 07.2161 09/25/2028 1.06%
CAS 2016-C01 2M2 08.1661 08/25/2028 0.89%
FHLMC FH30G G60314 04.0000 09/01/2045 0.80%
STACR 2016-DNA2 M3 05.8661 10/25/2028 0.80%
FHS 315 PO PO 00.0000 09/15/2043 0.79%
WAMU 2005-AR13 A1C4 01.6461 10/25/2045 0.69%
STACR 2016-HQA1 M3 07.5661 09/25/2028 0.67%
CSMC 2008-C1 AJ P/P 144A 06.5200 02/15/2041 0.59%
STACR 2015-DN1 M3 05.3661 01/25/2025 0.56%
FNMA FN30 AL8994 04.0000 09/01/2045 0.54%
BCAP 2015-RR5 2A2 01.7617 01/26/2046 0.51%
GENERAL ELECTRIC CO 05.0000 12/29/2049 0.50%
GSMS 2013-GC12 D P/P 144A 04.4464 06/10/2046 0.49%
GSMS 2012-GC6 D P/P 144A 05.6522 01/10/2045 0.48%
FHLMC FH30G G61000 03.5000 05/01/2047 0.45%
BPCE SA P/P 144A 04.5000 03/15/2025 0.44%
WFCM 2014-LC18 D P/P 144A 03.9570 12/15/2047 0.44%
FNMA FN30 BM1172 03.0000 03/01/2047 0.43%
MSC 2008-T29 D P/P 144A 06.5033 01/11/2043 0.43%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.43%
ANHEUSER-BUSCH INBEV 08.2000 01/15/2039 0.42%
WESTROCK MWV LLC 08.2000 01/15/2030 0.40%
GNMA GN30 626987 04.0000 09/15/2045 0.39%
JPMCC 2006-LDP8 D 05.6180 05/15/2045 0.39%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.38%
AMERICAN TOWER CORP 04.0000 06/01/2025 0.37%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.37%
MRAFT 2016-5 A 02.3944 06/10/2019 0.37%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.36%
WFRBS 2012-C9 XA IO P/P 144A 02.2327 11/15/2045 0.36%
BSCMS 2007-T26 AJ 05.5353 01/12/2045 0.35%
CGCMT 2013-GC11 E P/P 144A 04.4553 04/10/2046 0.35%
BF0101 03.5000 06/01/2056 0.34%
BF0132 04.0000 07/01/2056 0.34%
DBUBS 2011-LC3A D P/P 144A 05.3457 08/10/2044 0.34%
HSBC CAP FUNDING USD P/P 144A 10.1760 12/29/2049 0.34%
BSCMS 2006-PW11 B P/P 144A 05.3019 03/11/2039 0.33%
CAS 2014-C04 1M2 06.1161 11/25/2024 0.33%
JPMBB 2013-C14 D P/P 144A 04.7206 08/15/2046 0.33%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.32%
FNMA FN30 BD0494 03.5000 07/01/2046 0.32%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.32%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.32%
COMM 2014-LC15 XA IO 01.5084 04/10/2047 0.31%
FHR 3835 FO PO 00.0000 04/15/2041 0.31%
GSMS 2013-GC10 XA IO 01.5822 02/10/2046 0.31%
ORACLE CORP 02.6500 07/15/2026 0.31%
STACR 2016-DNA3 M3 06.2161 12/25/2028 0.31%
WFRBS 2014-C20 D P/P 144A 03.9860 05/15/2047 0.31%
CGCMT 2014-GC19 X IO 01.2149 03/10/2047 0.30%
GNR 2016-H02 HI IO 01.9413 01/20/2066 0.30%
JPMBB 2014-C25 D P/P 144A 04.0958 11/15/2047 0.30%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.30%
WFRBS 2011-C2 D P/P 144A 05.7880 02/15/2044 0.30%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.29%
CITIGROUP INC 04.1250 07/25/2028 0.29%
CSAIL 2015-C1 D P/P 144A 03.9422 04/15/2050 0.29%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.29%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.29%
HILTON WORLDWIDE FIN P/P 144A 04.8750 04/01/2027 0.29%
JPMCC 2013-C10 XA IO 01.2634 12/15/2047 0.29%
MSBAM 2013-C11 D P/P 144A 04.5153 08/15/2046 0.29%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.29%
WBCMT 2005-C21 E P/P 144A 05.4679 10/15/2044 0.29%
MSBAM 2013-C10 E P/P 144A 04.2190 07/15/2046 0.28%
MSBAM 2013-C11 F P/P 144A 04.5153 08/15/2046 0.28%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.28%
UBSBB 2012-C4 XA IO P/P 144A 01.7379 12/10/2045 0.28%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.27%
GNR 2014-H11 GI IO 01.4856 06/20/2064 0.27%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.27%
GNR 2016-H11 HI IO 02.0821 01/20/2066 0.27%
JPMCC 2011-C3 F P/P 144A 05.8007 02/15/2046 0.27%
WFCM 2014-LC16 XA IO 01.5482 08/15/2050 0.27%
CBS CORP 04.6000 01/15/2045 0.26%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.26%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.26%
GNMA GII30 635173 03.5000 02/20/2047 0.26%
MET LIFE INS CO P/P 144A 07.8000 11/01/2025 0.26%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.26%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.25%
UBS GROUP FUNDIN P/P 144A 04.1250 04/15/2026 0.25%
WAMU 2005-AR17 A1B2 01.6261 12/25/2045 0.25%
WFRBS 2012-C7 D P/P 144A 04.9849 06/15/2045 0.25%
CVS HEALTH CORP 05.1250 07/20/2045 0.24%
FNMA FN30 BC1445 03.0000 07/01/2046 0.24%
FNMA FN30 BC1489 03.0000 08/01/2046 0.24%
GNMA GII30 AE8491 04.0000 07/20/2044 0.24%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.24%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.24%
GSMS 2014-GC22 XA IO 01.1900 06/10/2047 0.24%
JPMCC 2007-CB20 B P/P 144A 06.3104 02/12/2051 0.24%
MSBAM 2013-C12 XA IO 01.0598 10/15/2046 0.24%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.24%
NEWELL BRANDS INC 04.2000 04/01/2026 0.24%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.24%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.23%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.23%
COMCAST CABLE COMMUNICAT 09.4550 11/15/2022 0.23%
CORP BOND BACKED CTF P/P 144A 00.0000 09/15/2017 0.23%
FHLMC FH30G G60861 03.5000 01/01/2047 0.23%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.23%
GNR 2014-H07 BI IO 01.4586 05/20/2064 0.23%
GNR 2015-60 IP IO 04.0000 04/20/2045 0.23%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.23%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.23%
MSBAM 2014-C17 D P/P 144A 04.6974 08/15/2047 0.23%
MSC 2006-HQ9 C 05.8420 07/12/2044 0.23%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.23%
WAMU 2005-AR19 A1C3 01.7161 12/25/2045 0.23%
AUTONATION INC. 05.5000 02/01/2020 0.22%
CAS 2016-C03 1M1 03.2161 10/25/2028 0.22%
COMM 2013-LC13 XA IO 01.3278 08/10/2046 0.22%
FHR 4121 MI IO 04.0000 10/15/2042 0.22%
FNMA FN30 BD6401 03.5000 09/01/2046 0.22%
GNR 2013-4 IC IO 04.0000 09/20/2042 0.22%
GNR 2015-H12 GI IO 01.7894 05/20/2065 0.22%
JPMCC 2012-C6 E P/P 144A 05.2988 05/15/2045 0.22%
MSBAM 2013-C7 XA IO 01.6246 02/15/2046 0.22%
CFCRE 2011-C2 E P/P 144A 05.9452 12/15/2047 0.21%
COMM 2012-LC4 XA IO P/P 144A 02.2125 12/10/2044 0.21%
CWCI 2007-C3 AJ 06.0607 05/15/2046 0.21%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.21%
JPMBB 2013-C14 E P/P 144A 04.7206 08/15/2046 0.21%
JPMCC 2012-LC9 XA IO 01.8560 12/15/2047 0.21%
JPMCC 2013-LC11 X IO 01.5626 04/15/2046 0.21%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.21%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.21%
CGCMT 2013-GC17 X IO 01.4334 11/10/2046 0.20%
CHARTER COMM OPT LLC P/P 144A 05.3750 05/01/2047 0.20%
COMM 2014-CR18 XA IO 01.3953 07/15/2047 0.20%
FNMA FN30 AX5483 03.5000 10/01/2045 0.20%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.20%
GNMA GII30 5116 05.0000 07/20/2041 0.20%
GNMA GII30 TBA 04.0000 07/01/2047 0.20%
GNR 2015-H04 AI IO 01.9366 12/20/2064 0.20%
GSMS 2014-GC18 C 04.9445 01/10/2047 0.20%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.20%
MSBAM 2014-C15 E P/P 144A 05.0562 04/15/2047 0.20%
OWENS CORNING 09.0000 06/15/2019 0.20%
ARC PROP OPER PART L 04.6000 02/06/2024 0.19%
COMM 2014-UBS6 XA IO 01.0295 12/10/2047 0.19%
FHR 4546 TI IO 04.0000 12/15/2045 0.19%
FNMA FN30 BD3705 03.5000 08/01/2046 0.19%
GNMA GII30 626972 03.5000 08/20/2045 0.19%
GNR 2015-H09 BI IO 01.6896 03/20/2065 0.19%
GNR 2015-H10 CI IO 01.8100 04/20/2065 0.19%
GREAT PLAINS ENERGY INC 04.8500 04/01/2047 0.19%
JPMCC 2012-C8 E P/P 144A 04.8071 10/15/2045 0.19%
MSC 2008-T29 C P/P 144A 06.5033 01/11/2043 0.19%
MSC 2008-T29 F P/P 144A 06.5033 01/11/2043 0.19%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.19%
STACR 2014-DN2 M3 04.8161 04/25/2024 0.19%
STACR 2015-DNA2 M2 03.8161 12/25/2027 0.19%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.19%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.19%
WFRBS 2012-C10 XA IO P/P 144A 01.9713 12/15/2045 0.19%
WFRBS 2013-C12 AS 03.5600 03/15/2048 0.19%
WFRBS 2013-C14 XA IO 00.9449 06/15/2046 0.19%
FHR 4500 GI IO 04.0000 08/15/2045 0.18%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.18%
GNR 2015-H12 AI IO 01.8531 05/20/2065 0.18%
GNR 2015-H16 XI IO 02.1280 07/20/2065 0.18%
GNR 2015-H25 CI IO 02.1215 10/20/2065 0.18%
GNR 2016-H04 KI IO 01.9292 02/20/2066 0.18%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.18%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.18%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.18%
NHEL 2004-2 M4 03.0161 09/25/2034 0.18%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.18%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.18%
WAMU 2005-AR11 A1C3 01.7261 08/25/2045 0.18%
CAS 2014-C02 1M2 03.8161 05/25/2024 0.17%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.17%
COMM 2014-CR17 XA IO 01.1431 05/10/2047 0.17%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.17%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.17%
GNR 2015-H20 AI IO 01.8358 08/20/2065 0.17%
GSMS 2013-GC10 E P/P 144A 04.4098 02/10/2046 0.17%
JPMCC 2012-C8 D P/P 144A 04.8071 10/15/2045 0.17%
S&P GLOBAL INC 04.4000 02/15/2026 0.17%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.17%
TEVA PHARMACEUTICALS NE USD 03.1500 10/01/2026 0.17%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.17%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.17%
WFRBS 2012-C10 E P/P 144A 04.5944 12/15/2045 0.17%
WFRBS 2013-C11 D P/P 144A 04.3464 03/15/2045 0.17%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.17%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.16%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.16%
CBRE SERVICES INC 04.8750 03/01/2026 0.16%
CENOVUS ENERGY INC P/P 144A 04.2500 04/15/2027 0.16%
CITIGROUP INC 04.7500 05/18/2046 0.16%
FNR 12-118 PI IO 04.0000 06/25/2042 0.16%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.16%
GNMA GII30 626936 03.5000 04/20/2045 0.16%
GNMA GII30 711724 03.5000 02/20/2043 0.16%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.16%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.16%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.16%
GNR 2015-H12 EI IO 01.6946 04/20/2065 0.16%
JPMCC 2007-CB20 AJ 06.2104 02/12/2051 0.16%
JPMCC 2013-C16 XA IO 01.2821 12/15/2046 0.16%
LNSTR 2015-3 C P/P 144A 03.3453 04/20/2048 0.16%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.16%
PPL WEM LTD/WESTERN P/P 144A 05.3750 05/01/2021 0.16%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.16%
SPST 2017-1 A 02.1161 02/25/2049 0.16%
AON PLC USD 04.2500 12/12/2042 0.15%
CGCMT 2006-C4 C 06.2032 03/15/2049 0.15%
CGCMT 2014-GC21 D P/P 144A 04.8350 05/10/2047 0.15%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.15%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.15%
FNMA FN30 AL3576 04.0000 05/01/2043 0.15%
GNR 2013-20 QI IO 04.5000 12/16/2042 0.15%
GNR 2015-H26 DI IO 02.0798 10/20/2065 0.15%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.15%
GSMS 2013-GC12 XA IO 01.5475 06/10/2046 0.15%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.15%
JPMORGAN CHASE & CO 02.2950 08/15/2021 0.15%
MPLX LP 04.1250 03/01/2027 0.15%
PRICELINE GROUP INC/THE 03.6500 03/15/2025 0.15%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.15%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.15%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.15%
WP CAREY INC 04.6000 04/01/2024 0.15%
2.20 R ISWP FWD USL3M P 09/20/2027 0.14%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.14%
FHR 4176 DI IO 03.0000 12/15/2042 0.14%
FNMA FN30 TBA 06.0000 07/01/2047 0.14%
GNMA GII30 626992 04.5000 09/20/2045 0.14%
GNR 2010-H19 GI IO 01.4081 08/20/2060 0.14%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.14%
GNR 2015-H28 DI IO 01.5519 08/20/2065 0.14%
GNR 2016-H24 JI IO 02.3016 11/20/2066 0.14%
GSMS 2014-GC18 XA IO 01.1250 01/10/2047 0.14%
HEALTHCARE REALTY TRUST INC 03.8750 05/01/2025 0.14%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.14%
MICROSOFT CORP 02.4000 08/08/2026 0.14%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.14%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.14%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.14%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.14%
APPLE INC 03.4500 05/06/2024 0.13%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.13%
CREDIT AGRICOLE SA P/P 144A 04.3750 03/17/2025 0.13%
CVS HEALTH CORP 04.7500 12/01/2022 0.13%
FHLMC FH30G TBA 03.5000 07/01/2047 0.13%
FNS 421 C6 IO 04.0000 05/25/2045 0.13%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.13%
GNMA GII30 635081 03.5000 05/20/2046 0.13%
GNMA GII30 TBA 05.0000 07/01/2047 0.13%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.13%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.13%
GNR 2013-8 BI IO 03.0000 11/20/2042 0.13%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.13%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.13%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.13%
GNR 2015-H25 AI IO 01.6137 09/20/2065 0.13%
GNR 2017-H10 MI IO 01.7249 04/20/2067 0.13%
GRUPO TELEVISA SAB USD 05.0000 05/13/2045 0.13%
GSMS 2014-GC24 XA IO 00.8465 09/10/2047 0.13%
HSBC BANK USA NA 07.0000 01/15/2039 0.13%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.13%
JPMCC 2010-C1 D P/P 144A 06.4009 06/15/2043 0.13%
OMEGA HLTHCARE INVES 04.5000 04/01/2027 0.13%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.13%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.13%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.13%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.13%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.13%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.13%
WBCMT 2006-C26 AJ 06.3084 06/15/2045 0.13%
WFRBS 2011-C5 XA IO P/P 144A 01.9276 11/15/2044 0.13%
WFRBS 2013-UBS1 E P/P 144A 04.7796 03/15/2046 0.13%
WFRBS 2014-C19 E P/P 144A 05.1353 03/15/2047 0.13%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.13%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.13%
BACM 2006-4 AJ 05.6950 07/10/2046 0.12%
CAS 2015-C02 2M2 05.2161 05/25/2025 0.12%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.12%
CONCHO RESOURCES INC 04.3750 01/15/2025 0.12%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.12%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.12%
ENERGY TRANSFER LP 06.5000 02/01/2042 0.12%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 0.12%
FNMA FN30 AL2752 05.0000 03/01/2042 0.12%
FNMA FN30 AS8648 03.0000 01/01/2047 0.12%
FNMA FN30 AX5559 03.0000 10/01/2046 0.12%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.12%
GNR 2015-87 AI IO 03.5000 12/20/2038 0.12%
GNR 2015-H01 CI IO 01.6414 12/20/2064 0.12%
GNR 2015-H17 CI IO 01.6202 06/20/2065 0.12%
GNR 2017-H08 NI IO 02.1945 03/20/2067 0.12%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.12%
HCA INC 05.0000 03/15/2024 0.12%
LLOYDS BANKING GROUP USD 05.3000 12/01/2045 0.12%
MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 0.12%
O'REILLY AUTOMOTIVE INC 03.5500 03/15/2026 0.12%
OMNICOM GROUP INC 03.6000 04/15/2026 0.12%
PRIDE INTERNATIONAL LLC 07.8750 08/15/2040 0.12%
STACR 2016-HQA2 M3 06.3661 11/25/2028 0.12%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.12%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.12%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.12%
VERIZON COMMUNICATIONS 04.1250 03/16/2027 0.12%
ZF NA CAPITAL P/P 144A 04.5000 04/29/2022 0.12%
COMMERZBANK AG P/P 144A 08.1250 09/19/2023 0.11%
DCP MIDSTREAM OPERATING 02.7000 04/01/2019 0.11%
ENBRIDGE INC USD 04.2500 12/01/2026 0.11%
FHLMC FH30G Q41789 03.5000 07/01/2046 0.11%
FHR 4158 TI IO 03.0000 12/15/2042 0.11%
FHR 4201 JI IO 03.0000 12/15/2041 0.11%
FNMA FN30 AL1107 04.5000 11/01/2041 0.11%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.11%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.11%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.11%
GSMS 2013-GC10 D P/P 144A 04.4098 02/10/2046 0.11%
HOST HOTELS & RESORTS 05.2500 03/15/2022 0.11%
JPMBB 2014-C25 XA IO 01.1373 11/15/2047 0.11%
KRAFT HEINZ FOODS CO 06.8750 01/26/2039 0.11%
LLOYDS BANKING GROUP PLC USD 04.5000 11/04/2024 0.11%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.11%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.11%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.11%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.11%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.11%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.11%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.11%
UBSBB 2012-C2 F P/P 144A 04.8980 05/10/2063 0.11%
WFRBS 2011-C4 E P/P 144A 05.4143 06/15/2044 0.11%
WFRBS 2014-C22 XA IO 01.0715 09/15/2057 0.11%
AMER TRANS SYST P/P 144A 05.0000 09/01/2044 0.10%
AXA SA P/P 144A 06.4630 12/29/2049 0.10%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.10%
BRDCOM CRP / FIN P/P 144A 03.8750 01/15/2027 0.10%
CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 0.10%
CBS CORP 03.5000 01/15/2025 0.10%
COMM 2006-C8 AJ 05.3770 12/10/2046 0.10%
COMM 2012-CR1 XA IO 02.0597 05/15/2045 0.10%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.10%
COMM 2014-UBS6 C 04.4650 12/10/2047 0.10%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.10%
EMERA US FINANCE LP 03.5500 06/15/2026 0.10%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.10%
FHR 3852 NT 04.8411 05/15/2041 0.10%
FHR 4182 GI IO 03.0000 01/15/2043 0.10%
FNMA FN30 AS6679 04.0000 01/01/2046 0.10%
FNMA FN30 AX5485 04.5000 10/01/2045 0.10%
FNMA FN30 BD3718 03.5000 08/01/2046 0.10%
FNMA FN30 BD9219 04.5000 10/01/2046 0.10%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.10%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.10%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.10%
GNR 2015-77 DI IO 03.5000 05/20/2045 0.10%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.10%
JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 0.10%
MSBAM 2013-C7 D P/P 144A 04.3979 02/15/2046 0.10%
PUGET ENERGY INC 03.6500 05/15/2025 0.10%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.10%
STACR 2016-HQA2 M1 02.4161 11/25/2028 0.10%
STATOIL ASA USD 05.1000 08/17/2040 0.10%
AIR LEASE CORP 03.7500 02/01/2022 0.09%
BURLINGTN NORTH SANTA FE 05.4000 06/01/2041 0.09%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.09%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.09%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.09%
EQT MIDSTREAM PARTNERS L 04.0000 08/01/2024 0.09%
FNMA FN30 AS4991 03.5000 05/01/2045 0.09%
FNMA FN30 AS8842 03.5000 02/01/2047 0.09%
FNMA FN30 AU1625 03.5000 07/01/2043 0.09%
FNMA FN30 AY8222 04.5000 05/01/2045 0.09%
FNMA FN30 BD0189 03.5000 06/01/2046 0.09%
FNR 2014-59 AI IO 03.0000 10/25/2040 0.09%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.09%
GNR 2013-164 CI IO 03.0000 11/16/2028 0.09%
GNR 2014-71 BI IO 04.5000 05/20/2029 0.09%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.09%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.09%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.09%
LEAR CORP 05.3750 03/15/2024 0.09%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.09%
NABORS INDUSTRIES INC 04.6250 09/15/2021 0.09%
NORTHROP GRUMMAN SYSTEMS 07.8750 03/01/2026 0.09%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.09%
WAMU 2005-AR1 A2B 02.0161 01/25/2045 0.09%
WAMU 2005-AR2 2A1B 01.5861 01/25/2045 0.09%
WEYERHAEUSER CO 07.3750 03/15/2032 0.09%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.09%
WFRBS 2013-C11 XA IO P/P 144A 01.4897 03/15/2045 0.09%
BEAR STEARNS COS LLC 07.2500 02/01/2018 0.08%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.08%
COMCAST CORP 06.4500 03/15/2037 0.08%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.08%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 0.08%
FHR 3408 EK 21.1299 04/15/2037 0.08%
FHR 4116 MI IO 04.0000 10/01/2042 0.08%
FNR 2012-128 QI IO 03.5000 06/25/2042 0.08%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.08%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.08%
FNR 2013-35 PI IO 03.0000 02/25/2042 0.08%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.08%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.08%
GENERAL MOTORS FINL CO 04.0000 01/15/2025 0.08%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.08%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.08%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.08%
GNR 2014-141 GI IO 03.5000 06/20/2041 0.08%
GNR 2014-145 PI IO 03.5000 10/20/2029 0.08%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.08%
JPMCC 2007-CB20 C P/P 144A 06.3104 02/12/2051 0.08%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.08%
PACIFIC LIFECORP P/P 144A 06.0000 02/10/2020 0.08%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.08%
WILLIAMS PARTNERS L.P. 04.8750 03/15/2024 0.08%
2.15 R ISWP FWD USL3M P 06/27/2027 0.07%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.07%
AMERICA MOVIL SAB DE USD 06.1250 03/30/2040 0.07%
BACARDI LTD P/P 144A 04.5000 01/15/2021 0.07%
BARCLAYS BANK PLC P/P 144A 10.1790 06/12/2021 0.07%
CA TXB-VAR PURP 3 07.5000 04/01/2034 0.07%
CBRE SERVICES INC 05.2500 03/15/2025 0.07%
CBS CORP 02.9000 01/15/2027 0.07%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.07%
CFCRE 2011-C2 D P/P 144A 05.9452 12/15/2047 0.07%
COMM 2014-LC17 XA IO 00.9653 10/10/2047 0.07%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.07%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.07%
FHLMC FH30G Q41954 03.5000 07/01/2046 0.07%
FHR 4171 NI IO 03.0000 06/15/2042 0.07%
FNMA FN30 889560 06.0000 06/01/2038 0.07%
FNMA FN30 AL4158 06.0000 10/01/2040 0.07%
FNMA FN30 AX7296 04.5000 12/01/2044 0.07%
FNMA FN30 BA1056 04.5000 11/01/2045 0.07%
FNMA FN30 BD0959 03.5000 06/01/2046 0.07%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.07%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.07%
FNR 2014-20 IA IO 03.5000 07/25/2039 0.07%
GNMA GII30 626989 04.0000 09/20/2040 0.07%
GNMA GII30 AI2340 04.5000 05/20/2065 0.07%
GNMA GN30 635061 04.0000 03/15/2046 0.07%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.07%
GNR 2013-53 IA IO 04.0000 12/20/2026 0.07%
GNR 2013-53 PI IO 03.0000 04/20/2041 0.07%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.07%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.07%
HSBC FINANCE CORP 06.6760 01/15/2021 0.07%
JPMBB 2013-C14 C 04.7206 08/15/2046 0.07%
JPMCC 2011-C3 E P/P 144A 05.8007 02/15/2046 0.07%
KINDER MORGAN ENER PART 03.5000 03/01/2021 0.07%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.07%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.07%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.07%
RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 0.07%
SABINE PASS LIQUEFAC P/P 144A 04.2000 03/15/2028 0.07%
STACR 2016-DNA2 M1 02.4661 10/25/2028 0.07%
STACR 2016-DNA2 M2 03.4161 10/25/2028 0.07%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.07%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.07%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.07%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.07%
TEXAS GAS TRANSMISN P/P 144A 04.5000 02/01/2021 0.07%
UBSCM 2012-C1 XA IO P/P 144A 02.0855 05/10/2045 0.07%
WAMU 2005-AR17 A1B3 01.5661 12/25/2045 0.07%
WFRBS 2013-C12 XA IO P/P 144A 01.5119 03/15/2048 0.07%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.07%
APPLE INC 03.8500 05/04/2043 0.06%
BANCO DEL ESTADO P/P 144A 02.0000 11/09/2017 0.06%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.06%
CAPITAL ONE BANK USA NA 03.3750 02/15/2023 0.06%
CAS 2016-C06 1M2 05.4661 04/25/2029 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.06%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.06%
COMM 2013-CR11 AM 04.7150 08/10/2050 0.06%
COMM 2014-CR18 C 04.8933 07/15/2047 0.06%
DEVON ENERGY CORPORATION 03.2500 05/15/2022 0.06%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.06%
FHR 3065 DC 16.3833 03/15/2035 0.06%
FHR 4132 IP IO 04.5000 11/15/2042 0.06%
FIRSTENERGY CORP 04.8500 07/15/2047 0.06%
FNMA FN15 AL8561 03.5000 06/01/2031 0.06%
FNMA FN30 AI9135 03.5000 10/01/2042 0.06%
FNMA FN30 AS7363 03.0000 06/01/2046 0.06%
FNMA FN30 AV7065 03.5000 05/01/2045 0.06%
FNMA FN30 AW7089 04.5000 07/01/2044 0.06%
FNMA FN30 AX5472 03.5000 08/01/2045 0.06%
FNMA FN30 AX5490 04.0000 10/01/2045 0.06%
FNMA FN30 BC0960 04.0000 06/01/2046 0.06%
FNMA FN30 BC1155 03.0000 06/01/2046 0.06%
FNMA FN30 MA2917 03.5000 02/01/2047 0.06%
FNR 2005-122 SE 18.8436 11/25/2035 0.06%
FNR 2011-4 CS 10.4678 05/25/2040 0.06%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.06%
G60183 04.0000 12/01/2044 0.06%
GNMA GII30 635063 04.0000 03/20/2046 0.06%
GNMA GII30 635075 04.5000 04/20/2046 0.06%
GNMA GII30P 784038 04.0000 01/20/2045 0.06%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.06%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.06%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.06%
HCA INC 05.5000 06/15/2047 0.06%
HILTON DOMESTIC OPER P/P 144A 04.2500 09/01/2024 0.06%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.06%
JPMCC 2006-LDP8 B 05.5200 05/15/2045 0.06%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.06%
L BRANDS INC 05.6250 02/15/2022 0.06%
N TX HWY-TXB-B 06.7180 01/01/2049 0.06%
NORFOLK SOUTHERN CORP 06.0000 05/23/2111 0.06%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.06%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.06%
SL GREEN REALTY CORP 05.0000 08/15/2018 0.06%
STACR 2015-HQ1 M2 03.4161 03/25/2025 0.06%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.06%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.06%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.06%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.06%
TRAVELERS PPTY CASUALTY 07.7500 04/15/2026 0.06%
WFCM 2012-LC5 E P/P 144A 04.9343 10/15/2045 0.06%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.05%
ABBVIE INC 03.6000 05/14/2025 0.05%
AIR LEASE CORP 03.0000 09/15/2023 0.05%
APPLE INC 04.3750 05/13/2045 0.05%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.05%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.05%
DCP MIDSTREAM OPERATING 03.8750 03/15/2023 0.05%
DUKE REALTY LP 04.3750 06/15/2022 0.05%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.05%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.05%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.05%
FHLMC FH30G Q41722 03.5000 07/01/2046 0.05%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.05%
FHLMC FH30G V80002 02.5000 04/01/2043 0.05%
FHR 4141 PI IO 03.0000 12/15/2042 0.05%
FHR 4206 IP IO 03.0000 12/15/2041 0.05%
FNMA FN30 AL5713 04.5000 10/01/2042 0.05%
FNMA FN30 AW9042 04.0000 08/01/2044 0.05%
FNMA FN30 AX5489 03.5000 10/01/2045 0.05%
FNMA FN30 AZ9695 03.5000 08/01/2045 0.05%
FNR 2006-62 PS 32.6033 07/25/2036 0.05%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.05%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.05%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.05%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.05%
GNMA GII30 673972 03.0000 08/20/2046 0.05%
GNMA GII30 AD8811 03.0000 03/20/2043 0.05%
GNMA GII30 AF3757 03.5000 06/20/2045 0.05%
GNMA GII30 AF3759 03.5000 06/20/2045 0.05%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.05%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.05%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.05%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.05%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.05%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.05%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.05%
GNR 2014-30 KI IO 03.0000 02/16/2029 0.05%
GNR 2014-5 LI IO 03.0000 01/16/2029 0.05%
GRUPO BIMBO SAB P/P 144A 03.8750 06/27/2024 0.05%
GSMS 2014-GC18 D P/P 144A 04.9445 01/10/2047 0.05%
MLMT 2008-C1 AJ 06.5421 02/12/2051 0.05%
NBCUNIVERSAL MEDIA LLC 06.4000 04/30/2040 0.05%
PACIFIC GAS & ELECTRIC 05.8000 03/01/2037 0.05%
QVC INC 04.8500 04/01/2024 0.05%
SELECT INCOME REIT 02.8500 02/01/2018 0.05%
SELECT INCOME REIT 03.6000 02/01/2020 0.05%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.05%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.05%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.05%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.05%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.05%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.05%
UNITEDHEALTH GROUP INC 04.6250 11/15/2041 0.05%
VERIZON COMM 04.5220 09/15/2048 0.05%
VULCAN MATERIALS COMPANY 04.5000 04/01/2025 0.05%
ALTRIA GROUP INC 04.0000 01/31/2024 0.04%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.04%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.04%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.04%
COMCAST CORP 06.5000 11/15/2035 0.04%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.04%
CONSTELLATION BRANDS INC 03.7000 12/06/2026 0.04%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/29/2049 0.04%
DIAGEO INVESTMENT CORP 08.0000 09/15/2022 0.04%
DUKE ENERGY CAROLINAS 04.2500 12/15/2041 0.04%
EDP FINANCE BV P/P 144A 05.2500 01/14/2021 0.04%
ENERGY TRANSFER LP 05.2000 02/01/2022 0.04%
EXPEDIA INC 05.0000 02/15/2026 0.04%
FHLMC FH30G G07981 05.0000 03/01/2041 0.04%
FHLMC FH30G Q40366 03.5000 05/01/2046 0.04%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.04%
FHR 4004 IO IO 03.0000 03/15/2026 0.04%
FHR 4183 MI IO 03.0000 02/15/2042 0.04%
FIRSTENERGY CORP 03.9000 07/15/2027 0.04%
FNMA FN30 735227 05.5000 02/01/2035 0.04%
FNMA FN30 AB5174 03.5000 05/01/2042 0.04%
FNMA FN30 AL5229 05.0000 01/01/2044 0.04%
FNMA FN30 AO5471 03.5000 06/01/2042 0.04%
FNMA FN30 AR6276 03.5000 03/01/2043 0.04%
FNMA FN30 AX8927 04.5000 12/01/2044 0.04%
FNMA FN30 BA0430 03.5000 10/01/2045 0.04%
FNMA FN30 MA2180 04.0000 02/01/2045 0.04%
FNR 2005-106 JC 16.3531 12/25/2035 0.04%
FNR 2006-8 HP 20.1076 03/25/2036 0.04%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.04%
GNMA GII30 627009 04.5000 10/20/2045 0.04%
GNMA GII30 AT9856 03.0000 10/20/2046 0.04%
GNMA GN30 AB9375 03.5000 10/15/2042 0.04%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.04%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.04%
GRUPO TELEVISA SAB USD 06.6250 01/15/2040 0.04%
HISTORIC TW INC 09.1500 02/01/2023 0.04%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.04%
INTERNATIONAL PAPER CO 08.7000 06/15/2038 0.04%
JPMCC 2006-LDP7 B 06.1385 04/17/2045 0.04%
JPMCC 2012-LC9 D P/P 144A 04.5352 12/15/2047 0.04%
KINDER MORGAN INC. 03.0500 12/01/2019 0.04%
NOBLE HOLDING INTL LTD USD 06.0500 03/01/2041 0.04%
NVR INC 03.9500 09/15/2022 0.04%
QVC INC 04.4500 02/15/2025 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.04%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.04%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.04%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.04%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.04%
TYSON FOODS INC 05.1500 08/15/2044 0.04%
VALERO ENERGY PARTNERS 04.3750 12/15/2026 0.04%
VERIZON COMM 05.9000 02/15/2054 0.04%
WESTROCK MWV LLC 07.9500 02/15/2031 0.04%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.04%
2.18 R ISWP FWD USL3M P 07/13/2027 0.03%
AES CORP/VA 07.3750 07/01/2021 0.03%
ANTHEM INC 04.6250 05/15/2042 0.03%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.03%
ASSURANT INC 06.7500 02/15/2034 0.03%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
CNA FINANCIAL CORP 03.9500 05/15/2024 0.03%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.03%
ENERGY TRANSFER LP 06.1250 12/15/2045 0.03%
FHLMC FH30G C03805 03.5000 04/01/2042 0.03%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.03%
FHR 2990 LB 13.9837 06/15/2034 0.03%
FHR 4018 DI IO 04.5000 07/15/2041 0.03%
FHR 4122 TI IO 04.5000 10/15/2042 0.03%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.03%
FN30 04.000 2014 0.03%
FNMA FN30 AD0095 06.0000 11/01/2038 0.03%
FNMA FN30 AL0065 04.5000 04/01/2041 0.03%
FNMA FN30 AL0215 04.5000 04/01/2041 0.03%
FNMA FN30 AS8530 03.5000 12/01/2046 0.03%
FNMA FN30 AX2731 04.5000 10/01/2044 0.03%
FNMA FN30 BC0390 04.5000 12/01/2045 0.03%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
GE CAP INTL FUNDING USD 04.4180 11/15/2035 0.03%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.03%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.03%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.03%
GNR 2013-129 SN IO 04.9378 09/20/2043 0.03%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.03%
HCA INC 05.2500 06/15/2026 0.03%
HYATT HOTELS CORP 03.3750 07/15/2023 0.03%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.03%
LBUBS 2006-C6 B 05.4720 09/15/2039 0.03%
MARATHON PETRO CORP 06.5000 03/01/2041 0.03%
O'REILLY AUTOMOTIVE INC 03.8500 06/15/2023 0.03%
PACIFICORP 06.2500 10/15/2037 0.03%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.03%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.03%
SABMILLER HLDG INC 04.9500 01/15/2042 0.03%
SANTANDER UK GROUP H P/P 144A 04.7500 09/15/2025 0.03%
SPECTRA ENERGY CAPITAL LLC 08.0000 10/01/2019 0.03%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.03%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.03%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.03%
THE WILLIAMS COMPANIES INC. 08.7500 03/15/2032 0.03%
TIME WARNER INC 02.9500 07/15/2026 0.03%
TIME WARNER INC 03.8000 02/15/2027 0.03%
US TREASURY N/B 02.0000 09/30/2020 0.03%
WALT DISNEY COMPANY/THE 04.3750 08/16/2041 0.03%
WILLIAMS PARTNERS LP 03.6000 03/15/2022 0.03%
2.1965 R ISWP USL3M P 06/30/2027 0.02%
2.45 R ISWP FWD USL3M P 09/20/2047 0.02%
ARIZONA PUBLIC SERVICE 04.5000 04/01/2042 0.02%
BARCLAYS PLC USD 04.8360 05/09/2028 0.02%
BOARDWALK PIPELINES LP 04.4500 07/15/2027 0.02%
BPCE SA P/P 144A 05.1500 07/21/2024 0.02%
CAS 2014-C03 2M1 02.4161 07/25/2024 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 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CONSTELLATION BRANDS INC. 03.8750 11/15/2019 0.02%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.02%
CYTEC INDUSTRIES INC. 03.5000 04/01/2023 0.02%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.02%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.02%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.02%
FHLMC FH30G Q42278 03.5000 08/01/2046 0.02%
FHLMC FH30G Q43786 03.5000 07/01/2046 0.02%
FHLMC FH30G Q43867 03.5000 10/01/2046 0.02%
FHLMC FH30G Q44946 03.5000 12/01/2046 0.02%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.02%
FHR 3249 PS 18.4507 12/15/2036 0.02%
FNMA FN30 889683 06.0000 07/01/2038 0.02%
FNMA FN30 AD0207 06.0000 10/01/2038 0.02%
FNMA FN30 AL1566 06.0000 09/01/2040 0.02%
FNMA FN30 AL3671 06.0000 05/01/2041 0.02%
FNMA FN30 AR3945 03.0000 03/01/2043 0.02%
FNMA FN30 AX5555 03.5000 10/01/2046 0.02%
FNMA FN30 AX8877 04.5000 12/01/2044 0.02%
FNMA FN30 AY3392 04.0000 04/01/2045 0.02%
FNMA FN30 BC5322 03.5000 03/01/2046 0.02%
FNMA FN30 BD8704 03.5000 12/01/2046 0.02%
FNMA FN30 MA2242 04.0000 04/01/2045 0.02%
FNR 2005-75 GS 16.6017 08/25/2035 0.02%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.02%
GNMA GII30 5307 05.0000 02/20/2042 0.02%
GNMA GII30 AH1076 04.6650 05/20/2065 0.02%
GNMA GII30 AW5280 03.0000 10/20/2046 0.02%
GNMA GII30 MA0395 05.0000 09/20/2042 0.02%
GNMA GII30 MA2828 04.5000 05/20/2045 0.02%
GNMA GN30 AB9320 03.5000 09/15/2042 0.02%
GNMA GN30 AB9500 03.5000 11/15/2042 0.02%
GNMA GN30 AD2149 03.5000 01/15/2043 0.02%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.02%
GNR 2011-116 IA IO 04.5000 10/20/2039 0.02%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.02%
GRUPO BIMBO SAB P/P 144A 04.8750 06/27/2044 0.02%
JABIL INC 08.2500 03/15/2018 0.02%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.02%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.02%
MIDAMERICAN FUNDING LLC 06.9270 03/01/2029 0.02%
MSC 2007-HQ11 D 05.5870 02/12/2044 0.02%
MSC 2011-C3 E P/P 144A 05.3268 07/15/2049 0.02%
PACIFIC GAS & ELECTRIC 06.3500 02/15/2038 0.02%
PRIMERICA INC 04.7500 07/15/2022 0.02%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.02%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.02%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.02%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.02%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.02%
TEACHERS INSUR & ANN P/P 144A 04.9000 09/15/2044 0.02%
TYSON FOODS INC 04.8750 08/15/2034 0.02%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.02%
UNITED AIR 2014-2 A PTT 03.7500 09/03/2026 0.02%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.02%
AFLAC INC 06.4500 08/15/2040 0.01%
BGC PARTNERS INC 05.1250 05/27/2021 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 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
ENERGY TRANSFER LP 04.2000 04/15/2027 0.01%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.01%
FHLMC FH30G Q41595 03.5000 07/01/2046 0.01%
FHLMC FH30G Q41926 03.5000 07/01/2046 0.01%
FHLMC FH30G Q42467 03.5000 06/01/2046 0.01%
FHLMC FH30G Q43793 03.5000 07/01/2046 0.01%
FHLMC FH30G Q44706 03.5000 12/01/2046 0.01%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.01%
FHLMC FH30G Q45042 03.5000 12/01/2046 0.01%
FHR 2976 LC 20.1707 05/15/2035 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FHR 3707 PI IO 04.5000 07/15/2025 0.01%
FLR USL3M 5.00 03/14/2021 JP 0.01%
FNMA FN30 677018 05.5000 01/01/2033 0.01%
FNMA FN30 889424 06.0000 03/01/2038 0.01%
FNMA FN30 909083 06.0000 08/01/2037 0.01%
FNMA FN30 995894 06.0000 04/01/2039 0.01%
FNMA FN30 AB9238 03.0000 05/01/2043 0.01%
FNMA FN30 AD1662 05.0000 03/01/2040 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 AJ8780 04.5000 12/01/2041 0.01%
FNMA FN30 AL0152 06.0000 06/01/2040 0.01%
FNMA FN30 AL6868 06.0000 05/01/2041 0.01%
FNMA FN30 AL8205 03.0000 05/01/2045 0.01%
FNMA FN30 AP3817 03.0000 09/01/2042 0.01%
FNMA FN30 AS5038 04.0000 05/01/2045 0.01%
FNMA FN30 AT0942 03.0000 04/01/2043 0.01%
FNMA FN30 AX5560 03.5000 11/01/2046 0.01%
FNMA FN30 AX5565 03.5000 12/01/2046 0.01%
FNMA FN30 AY1318 04.0000 03/01/2045 0.01%
FNMA FN30 BA5236 03.5000 12/01/2045 0.01%
FNMA FN30 BC7330 03.5000 12/01/2046 0.01%
FNMA FN30 BD4740 03.5000 08/01/2046 0.01%
FNMA FN30 BD6687 03.5000 08/01/2046 0.01%
FNMA FN30 BD9021 03.5000 01/01/2047 0.01%
FNMA FN30 BE4222 03.5000 12/01/2046 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 2005-83 QP 14.2321 11/25/2034 0.01%
FNR 2007-14 KO PO 00.0000 03/25/2037 0.01%
GECMC 2007-C1 XC IO P/P 144A 00.2580 12/10/2049 0.01%
GNMA GII30 626963 04.0000 07/20/2045 0.01%
GNMA GII30 AH1094 04.6510 06/20/2065 0.01%
GNMA GII30 AN4727 04.4730 05/20/2065 0.01%
GNMA GII30 AO7320 04.5290 08/20/2065 0.01%
GNMA GII30 AT8064 03.0000 08/20/2046 0.01%
GNMA GN30 626962 04.0000 07/15/2045 0.01%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.01%
GNR 2015-H14 BI IO 01.5886 05/20/2065 0.01%
HOSPITALITY PROP TRUST 04.6500 03/15/2024 0.01%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.01%
JPMCC 2007-LDPX X IO 00.3153 01/15/2049 0.01%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.01%
LIBERTY MUTUAL GROUP P/P 144A 07.8000 03/15/2037 0.01%
LIBERTY PROPERTY LP 03.3750 06/15/2023 0.01%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.01%
OPTN FN30 3.0 08/01/17 CALL 100.421875 JPMC 0.01%
SOUTHERN COPPER CORP USD 05.3750 04/16/2020 0.01%
SPECTRA ENERGY CAPITAL 05.6500 03/01/2020 0.01%
SPECTRA ENERGY CAPITAL LLC 06.2000 04/15/2018 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.01%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.01%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.01%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.01%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.01%
UBS GROUP AG REGS 06.8750 12/29/2049 0.01%
UNITED TECHNOLOGIES CORP 05.7000 04/15/2040 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
BACM 2004-4 XC IO P/P 144A 00.0164 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4259 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 00.4118 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.2541 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.1901 02/11/2041 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.3679 12/11/2038 0.00%
CAS 2014-C03 1M1 02.4161 07/25/2024 0.00%
CD 2007-CD4 XW IO P/P 144A 00.7442 12/11/2049 0.00%
CGCMT 2006-C5 XC IO P/P 144A 00.6258 10/15/2049 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 CS 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 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 JP 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.6 2063-05-11 500.0 05/11/2063 GS 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 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.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%
COMM 2006-C8 XS IO P/P 144A 00.6229 12/10/2046 0.00%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.00%
CONTL AIRLINES 1998-1 06.6480 09/15/2017 0.00%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2518 05/15/2038 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.1133 01/15/2049 0.00%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 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%
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 902070 06.0000 12/01/2036 0.00%
FNMA FN30 AE0984 04.5000 02/01/2041 0.00%
FNMA FN30 AL3967 04.5000 08/01/2042 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 BD4702 03.5000 08/01/2046 0.00%
FNMA FN30 BD4712 03.5000 08/01/2046 0.00%
FNMA FN30 BD5295 03.5000 01/01/2047 0.00%
FNMA FN30 BD6697 03.5000 08/01/2046 0.00%
FNMA FN30 BD6704 03.5000 09/01/2046 0.00%
FNMA FN30 BD6714 03.5000 09/01/2046 0.00%
FNMA FN30 BD7907 03.5000 10/01/2046 0.00%
FNMA FN30 BD7914 03.5000 10/01/2046 0.00%
FNMA FN30 BD7948 03.5000 11/01/2046 0.00%
FNMA FN30 BD9948 03.5000 10/01/2046 0.00%
FNMA FN30 MA2157 04.0000 01/01/2045 0.00%
FNR 2001-50 BI IO 00.4044 10/25/2041 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 2007-64 LO PO 00.0000 07/25/2037 0.00%
FNW 2002-W6 1AIO IO 00.0269 06/25/2042 0.00%
FNW 2005-W4 1AIO IO 00.0592 08/25/2045 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
GECMC 2005-C3 XC IO P/P 144A 00.0734 07/10/2045 0.00%
GMACC 1997-C1 X IO 01.6002 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 00.6006 05/10/2043 0.00%
GNMA GII30 AN1902 04.5860 05/20/2065 0.00%
GNMA GII30 AN4733 04.5090 06/20/2065 0.00%
GNMA GII30 AN4739 04.5910 06/20/2065 0.00%
GNMA GII30 AN4740 04.7000 06/20/2065 0.00%
GNMA GII30 AN4741 04.4030 06/20/2065 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%
GSMS 2006-GG6 XC IO P/P 144A 00.0000 04/10/2038 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 00.3804 09/12/2037 0.00%
JPMCC 06-LDP6 X1 IO P/P 144A 00.0108 04/15/2043 0.00%
JPMCC 2004-LN2 A2 05.1150 07/15/2041 0.00%
JPMCC 2006-LDP8 X IO 00.5336 05/15/2045 0.00%
LBUBS 2005-C2 XCL IO P/P 144A 00.1950 04/15/2040 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 00.4815 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.4577 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.4577 02/15/2040 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 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 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 2004-C1 X IO P/P 144A 09.3210 01/15/2037 0.00%
MEZZ 2005-C3 X IO P/P 144A 07.1563 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 03.3714 07/15/2045 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.5373 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0050 06/12/2043 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
TIAA ASSET MGMT FIN P/P 144A 04.1250 11/01/2024 0.00%
US ULTRA BOND CBT SEP17 WNU7 0.00%
USL3M P ISWP USL6M R 05/26/2020 CI 0.00%
WBCMT 2005-C18 XC IO P/P 144A 00.0000 04/15/2042 0.00%
WBCMT 2006-C26 XC IO P/P 144A 00.0662 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.4944 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.4614 05/15/2046 0.00%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.01%
1.90 R ISWP FWD USL3M P 09/20/2022 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS -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 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 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS -0.01%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA -0.01%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS -0.01%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS -0.01%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -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 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.02%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.02%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.02%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.02%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.02%
2.11504 R ISWP USL3M P 06/26/2027 -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.03%
OPTN FN30 3.0 08/07/17 PUT 100.421875 JPMC -0.03%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.03%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.03%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI -0.03%
SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 GS -0.03%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.03%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.03%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.04%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -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%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.05%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.05%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.06%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.07%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.07%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.07%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.07%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.07%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.07%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.07%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -0.08%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.09%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.09%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.10%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -0.11%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.11%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.12%
FHLMC FH30G TBA 03.0000 07/01/2047 -0.12%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.12%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.12%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.12%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.12%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.12%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.12%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.13%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.14%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.14%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.14%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.17%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.17%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.20%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.22%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.22%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.27%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.27%
CDX CDX.NA.HY.28 500.0 06/20/2022 -0.33%
FNMA FN30 TBA 03.0000 07/01/2047 -2.06%

Prior top 10 holdings

Top 10 holdings as of 08/31/17
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 03.0000 10/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Gnma Gii30 Tba 03.0000 09/01/2047
Gnma Gii30 Tba 03.5000 09/01/2047
Gnma Gii30 Tba 04.0000 10/01/2047
Fnma Fn30 Tba 04.0000 09/01/2047
Cas 2016-C03 1m2 06.5344 10/25/2028
Holdings represent 48.43% of portfolio
Top 10 holdings as of 07/31/17
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Fnma Fn30 Tba 03.0000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Gnma Gii30 Tba 03.0000 08/01/2047
Gnma Gii30 Tba 03.5000 08/01/2047
Fnma Fn30 Tba 04.0000 09/01/2047
Cas 2016-C03 1m2 06.5322 10/25/2028
Cas 2016-C03 2m2 07.1322 10/25/2028
Cas 2016-C02 1m2 07.2322 09/25/2028
Holdings represent 46.11% of portfolio
Top 10 holdings as of 06/30/17
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 03.5000 07/01/2047
Gnma Gii30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 04.5000 07/01/2047
Fnma Fn30 Tba 02.5000 07/01/2047
Gnma Gii30 Tba 03.0000 07/01/2047
Fnma Fn30 Tba 02.5000 07/01/2047
Fnma Fn30 Tba 04.0000 07/01/2047
Cas 2016-C03 1m2 06.5161 10/25/2028
Cas 2016-C03 2m2 07.1161 10/25/2028
Holdings represent 48.08% of portfolio
Top 10 holdings as of 05/31/17
Fnma Fn30 Tba 03.5000 07/01/2047
Fnma Fn30 Tba 03.5000 06/01/2047
Fnma Fn30 Tba 02.5000 06/01/2047
Gnma Gii30 Tba 03.5000 06/01/2047
Fnma Fn30 Tba 04.5000 06/01/2047
Gnma Gii30 Tba 03.0000 06/01/2047
Fnma Fn30 Tba 04.0000 06/01/2047
Cas 2016-C03 1m2 06.3236 10/25/2028
Cas 2016-C03 2m2 06.9236 10/25/2028
Cas 2016-C02 1m2 07.0236 09/25/2028
Holdings represent 49.42% of portfolio

Fixed income statistics as of 08/31/17

Average effective maturity 13.48 yrs.
Average effective duration 6.88 yrs.
Average yield to maturity 4.31%
Average coupon 5.48%
Average price $90.89

Sector weightings as of 08/31/17

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 11.27% 0.70 46.58% 2.66 57.85% 3.36
Commercial MBS 21.23% 0.74 9.60% 0.42 30.83% 1.16
Investment-grade corporate bonds 28.87% 2.49 0.00% 0.00 28.87% 2.49
Agency CMO 17.61% 0.61 0.52% 0.02 18.13% 0.63
Residential MBS (non-agency) 8.95% 0.43 0.00% 0.00 8.95% 0.43
Net cash 8.20% 0.00 0.00% 0.00 8.20% 0.00
Asset-backed securities (ABS) 0.54% 0.00 0.00% 0.00 0.54% 0.00
Emerging-market bonds 0.52% 0.05 0.00% 0.00 0.52% 0.05
Municipal bonds 0.21% 0.03 0.00% 0.00 0.21% 0.03
U.S. Treasury/agency 0.03% 0.00 0.00% 2.10 0.03% 2.10
Interest rate swaps 0.00% 0.00 0.00% -0.12 0.00% -0.12
High-yield corporate bonds 2.58% 0.15 -5.07% -0.21 -2.49% -0.06

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Maturity detail as of 08/31/17

0 - 1 yr. -30.04%
1 - 5 yrs. 14.98%
5 - 10 yrs. 101.92%
10 - 15 yrs. 3.72%
Over 15 yrs. 9.42%

Quality rating as of 08/31/17

AAA 84.37%
AA 1.99%
A 10.27%
BBB 26.37%
BB 10.19%
B 6.14%
CCC and Below 1.53%
Not Rated -40.86%

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 carry the risk that they may increase in value when interest rates decline and decline in value 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 greater for longer-term bonds, and credit risk is 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. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These 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 net assets as of the date indicated above. 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. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values 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 08/31/17

United States 93.83%
Canada 1.45%
United Kingdom 1.04%
France 0.80%
Mexico 0.44%
Netherlands 0.43%
Switzerland 0.43%
Ireland 0.38%
Jersey 0.35%
 
Other
0.85%
Germany 0.23%
Japan 0.20%
Spain 0.17%
Norway 0.11%
Bermuda 0.07%
Chile 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 0.87% 1.62% 1.62% 1.12% 1.12% 0.57% 0.50% 0.62%
What you pay 0.87% 1.62% 1.62% 1.12% 1.12% 0.57% 0.50% 0.62%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
$0-$49,999 4.00% 0.00% 0.00% 3.25% -- -- -- --
$50,000-$99,999 4.00% 0.00% 0.00% 2.25% -- -- -- --
$100,000-$249,999 3.25% -- 0.00% 1.25% -- -- -- --
$250,000-$499,999 2.50% -- 0.00% 1.00% -- -- -- --
$500,000-$999,999 0.00% -- -- -- -- -- -- --
$1M-$4M 0.00% -- -- -- -- -- -- --
$4M-$50M 0.00% -- -- -- -- -- -- --
$50M+ 0.00% -- -- -- -- -- -- --

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. 0.00% 5.00% 1.00% -- -- -- -- --
2 yrs. -- 4.00% 0.00% -- -- -- -- --
3 yrs. -- 3.00% 0.00% -- -- -- -- --
4 yrs. -- 3.00% 0.00% -- -- -- -- --
5 yrs. -- 2.00% 0.00% -- -- -- -- --
6 yrs. -- 1.00% 0.00% -- -- -- -- --
7+ yrs. -- 0.00% 0.00% -- -- -- -- --

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 carry the risk that they may increase in value when interest rates decline and decline in value 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 greater for longer-term bonds, and credit risk is 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. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These 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 net assets as of the date indicated above. 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. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values 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.