Absolute Return 100 Fund  (PARYX)

Seeking positive results balanced with lower volatility over time

Objective

The fund seeks to earn a positive total return that exceeds the return on U.S. Treasury bills by 100 basis points (or 1.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions.

Strategy and process

  • A wide range of securities for diversification: The fund can invest across global fixed-income sectors and can adjust dynamically as opportunities change.
  • Ultimate flexibility to be independent of indexes: Freed from the constraints of traditional benchmarks that may carry unwanted risks, the portfolio managers can invest across diverse securities, asset classes, and strategies.
  • Modern investment tools seeking reduced risk: With the ability to hedge and use market neutral strategies, the fund can provide a new type of diversification to traditional portfolios.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $10.02
0.10% | $0.01
$10.21
12/11/17
$9.96
12/22/17
Historical fund price

Fund facts as of 01/31/18

Total net assets
$189.47M
Turnover (fiscal year end)
256%
Dividend frequency
Annually
Number of holdings
549
Fiscal year-end
October
CUSIP / Fund code
746764380 / 1863
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PARYX

Management team

Chief Investment Officer, Fixed Income
Portfolio Manager
Co-Head of Fixed Income
Co-Head of Fixed Income


Literature


Don’t underestimate this economy
Despite worrisome headlines about the economy, recent data show only a modest loss of momentum.
The fixed-income risks that we favor
We see more attractive fixed income risks outside of interest rates, in part because U.S. economic growth may warrant more rate hikes by the Fed.
A surprising shortage in housing
Home construction is falling behind the pace of new household formation, creating an imbalance between housing supply and demand.

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.

1.84%

Best 5-year annualized return

(for period ending 03/31/14)


0.42%

Worst 5-year annualized return

(for period ending 03/31/16)


1.34%

Average 5-year annualized return


  • Total return (%) as of 12/31/17

  • Annual performance as of 12/31/17

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 3.47% 1.88% 1.72% 1.73%
After sales charge N/A N/A N/A N/A
ICE BofAML U.S. Treasury Bill Index 0.81% 0.42% 0.28% --

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 01/31/18 0.50 % -
YTD as of 02/21/18 0.50 % -

Volatility as of 01/31/18

Standard deviation (3 yrs.) 1.36%

Morningstar ratings as of 01/31/18

Nontraditional Bond Rating Funds in category
Overall (279)
3 yrs. (279)
5 yrs. (172)

Distributions

Record/Ex dividend date 12/19/17
Payable date 12/21/17
Income $0.253
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.


Holdings

Top 10 holdings as of 01/31/18

Net cash 25.42%
Bilhetes Do Tesouro 00.0000 05/18/2018 4.96%
Gnma Gii30 Tba 04.5000 02/01/2048 1.65%
Kkr Group Finance P/P 144a 06.3750 09/29/2020 1.16%
Altria Group 02.6250 01/14/2020 1.01%
Russian Federation P/P 144a 05.6250 04/04/2042 0.96%
Skandinaviska Enskilda Usd 02.3000 03/11/2020 0.87%
Cwalt 2006-Oa10 4a1 01.7514 08/25/2046 0.86%
Lnstr 2015-3 B P/P 144a 03.1129 04/20/2048 0.85%
Cwalt 2006-Oa7 1a2 02.0716 06/25/2046 0.84%
Top 10 holdings, percent of portfolio 38.58%

Full portfolio holdings as of 12/31/17

SPAIN LETRAS DEL TESORO 00.0000 03/09/2018 5.18%
BILHETES DO TESOURO 00.0000 05/18/2018 4.55%
BUONI ORDINARI DEL TES 00.0000 03/29/2018 2.59%
CERT DI CREDITO DEL TES 00.0000 03/28/2018 2.59%
GNMA GII30 TBA 04.5000 01/01/2048 1.58%
TREASURY BILL 00.0000 01/18/2018 1.44%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 1.11%
ALTRIA GROUP INC 02.6250 01/14/2020 0.97%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.91%
CWALT 2006-OA7 1A2 02.0029 06/25/2046 0.83%
SKANDINAVISKA ENSKILDA USD 02.3000 03/11/2020 0.83%
CWALT 2006-OA10 4A1 01.7421 08/25/2046 0.82%
LNSTR 2015-3 B P/P 144A 03.1131 04/20/2048 0.82%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.82%
ROYAL BK SCOTLND USD 04.7000 07/03/2018 0.80%
ANZ NEW ZEALAND INTL P/P 144A 02.3674 01/25/2022 0.77%
GOLDMAN SACHS GROUP INC 02.5859 11/15/2021 0.77%
MORGAN STANLEY 02.5426 01/20/2022 0.77%
NATIONAL AUSTRALIA BK/NY 02.8000 01/10/2022 0.77%
AUTONATION INC 05330LZV8 DCP 12/29/2017 0.75%
KCP&L GREATER MISSOURI OPERAT 48668DA29 DCP 01/02/2018 0.75%
WESTPAC BANKING CORP USD 02.1500 03/06/2020 0.75%
AIR LEASE CORP 02.6250 09/04/2018 0.70%
APPLE INC 02.1000 05/06/2019 0.70%
CAS 2015-C04 2M2 07.1021 04/25/2028 0.70%
DBUBS 2011-LC3A D P/P 144A 05.3404 08/10/2044 0.68%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.68%
METLIFE INC. 04.7500 02/08/2021 0.65%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.65%
ANHEUSER-BUSCH INBEV FIN 01.9000 02/01/2019 0.63%
SIEMENS FINANCIERING P/P 144A 02.2000 03/16/2020 0.63%
WFRBS 2011-C4 D P/P 144A 05.2468 06/15/2044 0.60%
BANK OF AMERICA CORP 02.0000 01/11/2018 0.59%
UNITED TECHNOLOGIES CORP 01.9000 05/04/2020 0.59%
ABN AMRO BANK NV P/P 144A 01.9939 01/18/2019 0.57%
COMMONWEALTH BK AUST P/P 144A 02.2000 11/09/2020 0.57%
CVS HEALTH CORP 04.7500 12/01/2022 0.56%
ORACLE CORPORATION 02.2500 10/08/2019 0.56%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.55%
AMEREN CORP 02360SA32 DCP 01/03/2018 0.54%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.54%
THE BOEING COMPANY 08.7500 08/15/2021 0.54%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.53%
GNMA GII30 TBA 04.0000 01/01/2048 0.52%
S&P GLOBAL INC 03.3000 08/14/2020 0.52%
WELLS FARGO & COMPANY 02.6000 07/22/2020 0.52%
AT&T INC P/P 144A 04.3000 02/15/2030 0.51%
FNMA FN30 TBA 03.5000 02/01/2048 0.51%
GENERAL MOTORS FINL CO 03.1000 01/15/2019 0.51%
HSBC USA INC 02.0000 08/07/2018 0.51%
JPMORGAN CHASE & CO 02.2500 01/23/2020 0.51%
KRAFT HEINZ FOODS CO 02.2298 08/10/2022 0.51%
MARSH & MCLENNAN COS INC 02.7500 01/30/2022 0.51%
ABBVIE INC 00287CA56 DCP 01/05/2018 0.50%
AGRIUM INC 00856CAC2 DCP 01/12/2018 0.50%
ALBEMARLE CORP 01265RA40 DCP 01/04/2018 0.50%
AMERICAN ELECTRIC POWER CO IN 0255E3A40 DCP 01/04/2018 0.50%
AMPHENOL CORP 03209MAC8 DCP 01/12/2018 0.50%
BRDCOM CRP / FIN P/P 144A 03.0000 01/15/2022 0.50%
DOLLAR GENERAL CORP 25667MA51 DCP 01/05/2018 0.50%
EDISON INTERNATIONAL 28103BA85 DCP 01/08/2018 0.50%
ENERGY TRANSFER LP 29277FA27 DCP 01/02/2018 0.50%
ENTERPRISE PRODUCTS OPERATING 29380DA26 DCP 01/02/2018 0.50%
EXPORT DEVELOPMENT CANADA 30215HD31 DCP 04/03/2018 0.50%
FMC TECHNOLOGIES INC 3024X3AC8 DCP 01/12/2018 0.50%
HP INC 44331CAQ4 DCP 01/24/2018 0.50%
KINDER MORGAN INC/DE 49455MA24 DCP 01/02/2018 0.50%
LIBERTY STREET FUNDING LLC 53127UCF5 DCP 03/15/2018 0.50%
MARRIOTT INTERNATIONAL INC/MD 57163UAN6 DCP 01/22/2018 0.50%
MONDELEZ INTL P/P 144A 01.6250 10/28/2019 0.50%
MOODY'S CORPORATION 02.7500 12/15/2021 0.50%
NISOURCE FINANCE CORP 65478KAH4 DCP 01/17/2018 0.50%
PHILLIPS 66 P/P 144A 02.1092 04/15/2020 0.50%
ROCKWELL COLLINS INC 01.9500 07/15/2019 0.50%
ROCKWELL COLLINS INC 77434MA96 DCP 01/09/2018 0.50%
ROGERS COMMUNICATIONS INC 77511MAJ0 DCP 01/18/2018 0.50%
TIME WARNER INC 88732HAV4 DCP 01/29/2018 0.50%
TRANSCANADA AMERICAN INVESTME 89354XAA0 DCP 01/10/2018 0.50%
TYCO INTERNATIONAL HOLDING SA 90220MA55 DCP 01/05/2018 0.50%
VERIZON COMMUNICATIONS 01.7859 08/15/2019 0.50%
WALGREENS BOOTS ALLIANCE INC 93142WZV8 DCP 12/29/2017 0.50%
WHIRLPOOL CORP 96332VA24 DCP 01/02/2018 0.50%
MICROSOFT CORP 01.5500 08/08/2021 0.49%
STACR 2015-DNA3 M2 04.4021 04/25/2028 0.49%
BF0101 03.5000 06/01/2056 0.48%
FHR 3835 FO PO 00.0000 04/15/2041 0.48%
FNMA FN30 TBA 02.5000 01/01/2048 0.48%
GE CAP INTL FUNDING USD 02.3420 11/15/2020 0.47%
WAMU 2005-AR17 A1B2 01.9621 12/25/2045 0.47%
SPST 2017-1 A 02.4521 02/25/2049 0.46%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.44%
WFCM 2013-LC12 C 04.2910 07/15/2046 0.44%
VERIZON COMM 02.9460 03/15/2022 0.42%
MET LIFE GLOB FUND P/P 144A 03.0000 01/10/2023 0.41%
WFCM 2013-LC12 D P/P 144A 04.2910 07/15/2046 0.41%
JPMCC 2012-C6 E P/P 144A 05.1358 05/15/2045 0.40%
SPST 2017-LD1 A 02.3521 11/25/2050 0.40%
MSBAM 2013-C7 XA IO 01.3899 02/15/2046 0.39%
BIOGEN INC 03.6250 09/15/2022 0.38%
UBSBB 2012-C2 XA IO P/P 144A 01.3432 05/10/2063 0.38%
GSMS 2014-GC18 C 04.9441 01/10/2047 0.37%
ROYAL BANK OF CANADA USD 02.1250 03/02/2020 0.37%
GECMC 2005-C1 D 04.4138 06/10/2048 0.36%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.36%
WFCM 2012-LC5 AS 03.5390 10/15/2045 0.36%
CITIZENS BANK NA/RI 02.2500 03/02/2020 0.35%
GNR 2013-20 QI IO 04.5000 12/16/2042 0.35%
GSMS 2013-GC12 D P/P 144A 04.4423 06/10/2046 0.35%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.34%
MOLSON COORS 01.9000 03/15/2019 0.34%
SAMI 2007-AR7 1A1 02.4021 05/25/2047 0.34%
BNP PARIBAS USD 05.0000 01/15/2021 0.33%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.33%
FEDEX CORP 03.2000 02/01/2025 0.32%
JPMCC 2011-C3 E P/P 144A 05.6311 02/15/2046 0.32%
PFIZER INC 01.7000 12/15/2019 0.32%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.32%
COMM 2014-LC15 XA IO 01.3239 04/10/2047 0.31%
SVENSKA HANDELSBANKEN AB USD 01.9500 09/08/2020 0.31%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.30%
BANQUE FED CRED MUTU P/P 144A 02.2000 07/20/2020 0.30%
UBS GROUP FUNDIN P/P 144A 03.0000 04/15/2021 0.29%
WFRBS 2013-C15 D P/P 144A 04.4811 08/15/2046 0.29%
BMIR 2017-1 M1 P/P 144A 03.2521 10/25/2027 0.28%
COMM 2014-CR17 C 04.7348 05/10/2047 0.28%
LIBERTY PROPERTY LP 03.3750 06/15/2023 0.28%
MANUF & TRADERS TRUST CO 02.0500 08/17/2020 0.28%
TREASURY BILL 00.0000 02/01/2018 0.28%
BANK OF AMERICA CORP 02.1510 11/09/2020 0.27%
BOARDWALK PIPELINES LLC 05.7500 09/15/2019 0.27%
CAS 2016-C03 2M2 07.4521 10/25/2028 0.27%
COMM 2012-LC4 C 05.6049 12/10/2044 0.27%
CWALT 2005-59 1A1 01.8311 11/20/2035 0.27%
GSMS 2014-GC22 C 04.6456 06/10/2047 0.27%
WFRBS 2012-C10 C 04.3826 12/15/2045 0.27%
CFCRE 2011-C2 D P/P 144A 05.7536 12/15/2047 0.26%
CHEVRON CORP 01.5610 05/16/2019 0.26%
CITIGROUP INC 02.6500 10/26/2020 0.26%
JPMCC 2005-CB11 C 05.5195 08/12/2037 0.26%
JPMCC 2012-C6 AS 04.1166 05/15/2045 0.26%
REPUBLIC OF COLOMBIA USD 03.8750 04/25/2027 0.26%
WFRBS 2011-C5 E P/P 144A 05.6716 11/15/2044 0.26%
WFRBS 2013-C18 AS 04.3870 12/15/2046 0.26%
BSCMS 2007-T26 AJ 05.5355 01/12/2045 0.25%
COMMONWEALTH BK AUST P/P 144A 01.7500 11/07/2019 0.25%
GNR 2014-20 SQ IO 04.5989 07/20/2043 0.25%
GSMS 2013-GC10 D P/P 144A 04.4123 02/10/2046 0.25%
JPMCC 2012-C6 D 05.1358 05/15/2045 0.25%
SHIRE ACQ INV IRELAND DA USD 01.9000 09/23/2019 0.25%
CMLTI 2005-2 1A2A 03.5329 05/25/2035 0.24%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 0.23%
JPMCC 2013-C10 XA IO 01.0950 12/15/2047 0.23%
WESTROCK RKT CO 04.4500 03/01/2019 0.23%
COMM 2013-LC13 XA IO 01.3058 08/10/2046 0.22%
CVS HEALTH CORP 02.2500 12/05/2018 0.22%
KEYCORP 02.3000 12/13/2018 0.22%
ROYAL BANK OF CANADA USD 02.2000 07/27/2018 0.22%
CSMC 2008-C1 AJ P/P 144A 06.3302 02/15/2041 0.21%
PROVINCIA DE CORDOBA P/P 144A 07.1250 06/10/2021 0.21%
CONAGRA BRANDS INC 02.2039 10/09/2020 0.20%
MSBAM 2012-C5 AS 03.7920 08/15/2045 0.20%
MSBAM 2013-C7 XB IO P/P 144A 00.3426 02/15/2046 0.20%
MSBAM 2014-C17 XA IO 01.2324 08/15/2047 0.20%
WFRBS 2013-C12 AS 03.5600 03/15/2048 0.20%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.19%
AUTONATION INC 06.7500 04/15/2018 0.19%
EQT CORP 02.4647 10/01/2020 0.19%
GSMS 2012-GC6 D P/P 144A 05.6521 01/10/2045 0.19%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.19%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.19%
STACR 2016-DNA2 M2 03.7521 10/25/2028 0.19%
UBS AG LONDON P/P 144A 02.2000 06/08/2020 0.19%
APPLE INC 02.0000 05/06/2020 0.18%
CWCI 2007-C3 AJ 05.8394 05/15/2046 0.18%
STATOIL ASA USD 02.9000 11/08/2020 0.18%
GSAA 2006-8 2A2 01.7321 05/25/2036 0.17%
PNC BANK NA 02.0000 05/19/2020 0.17%
WFRBS 2013-UBS1 AS 04.3060 03/15/2046 0.17%
AIG GLOBAL FUNDING P/P 144A 02.1500 07/02/2020 0.16%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.16%
BUMT 2005-1 1A1 01.8521 09/25/2045 0.16%
CGCMT 2014-GC21 AS 04.0260 05/10/2047 0.16%
COMM 2014-CR18 C 04.7347 07/15/2047 0.16%
CONSOLIDATED EDISON INC 02.0000 03/15/2020 0.16%
MACQUARIE BANK LTD P/P 144A 04.0000 07/29/2025 0.16%
PROTECTIVE LIFE GLO P/P 144A 02.2620 04/08/2020 0.16%
UBSBB 2012-C3 C P/P 144A 05.0417 08/10/2049 0.16%
UBSBB 2012-C4 XA IO P/P 144A 01.6562 12/10/2045 0.16%
VOLT 2017-NP10 A1 P/P 144A 03.0000 10/25/2047 0.16%
AMERICAN EXPRESS COMPANY 07.0000 03/19/2018 0.15%
CONSOLIDATED EDISON COMPANY 07.1250 12/01/2018 0.15%
DOLLAR GENERAL CORP 01.8750 04/15/2018 0.15%
GSMS 2011-GC5 D P/P 144A 05.3984 08/10/2044 0.15%
GSMS 2013-GC10 XA IO 01.5573 02/10/2046 0.15%
JPMBB 2014-C22 XA IO 00.9203 09/15/2047 0.15%
LNSTR 2015-3 C P/P 144A 03.1131 04/20/2048 0.15%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.15%
STACR 2014-HQ3 M3 06.3021 10/25/2024 0.15%
STACR 2015-DNA2 M2 04.1521 12/25/2027 0.15%
CAS 2017-C07 1M2 03.9521 05/25/2030 0.14%
COMM 2014-CR14 XA IO 00.8003 02/10/2047 0.14%
COMM 2014-CR17 XA IO 01.1275 05/10/2047 0.14%
GOLDMAN SACHS GROUP INC 02.6000 12/27/2020 0.14%
GSMS 2012-GC6 C P/P 144A 05.6521 01/10/2045 0.14%
GSMS 2013-GC12 XA IO 01.5251 06/10/2046 0.14%
JOHNSON & JOHNSON 05.1500 07/15/2018 0.14%
JPMCC 2012-C8 C P/P 144A 04.6059 10/15/2045 0.14%
MACQUARIE GROUP LTD P/P 144A 07.6250 08/13/2019 0.14%
STACR 2013-DN2 M2 05.8021 11/25/2023 0.14%
UBSBB 2012-C2 D P/P 144A 04.8942 05/10/2063 0.14%
WFRBS 2011-C2 D P/P 144A 05.6525 02/15/2044 0.14%
BP CAPITAL MARKETS PLC USD 01.7680 09/19/2019 0.13%
GSMS 2014-GC18 D P/P 144A 04.9441 01/10/2047 0.13%
JPMBB 2013-C17 AS 04.4584 01/15/2047 0.13%
JPMCC 2005-LDP5 F 05.6995 12/15/2044 0.13%
MSC 2012-C4 XA IO P/P 144A 02.0951 03/15/2045 0.13%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.13%
WFRBS 2011-C4 E P/P 144A 05.2468 06/15/2044 0.13%
CGCMT 2014-GC21 C 04.7800 05/10/2047 0.12%
GOLDMAN SACHS GROUP INC 02.3750 01/22/2018 0.12%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.12%
SOUTHERN COPPER CORP USD 05.8750 04/23/2045 0.12%
WBCMT 2005-C21 D 05.2911 10/15/2044 0.12%
FNR 2012-36 SN IO 04.8979 04/25/2042 0.11%
LBUBS 2006-C6 AJ 05.4520 09/15/2039 0.11%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.11%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.11%
PPSI 2004-WCW2 M3 02.6021 10/25/2034 0.10%
UNITEDHEALTH GROUP INC 06.0000 02/15/2018 0.10%
VOLT 2017-NPL8 A1 P/P 144A 03.1250 06/25/2047 0.10%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.09%
CWHL 2005-3 1A1 02.1721 04/25/2035 0.09%
FNR 2011-4 CS 09.7957 05/25/2040 0.09%
JPMCC 2012-LC9 D P/P 144A 04.3718 12/15/2047 0.09%
SASC 2006-AM1 A4 01.7121 04/25/2036 0.09%
WFRBS 2014-C19 C 04.6460 03/15/2047 0.09%
CAS 2014-C02 1M2 04.1521 05/25/2024 0.08%
CAS 2015-C04 1M2 07.2521 04/25/2028 0.08%
FNR 2003-43 YA 04.0000 03/25/2033 0.08%
MLMI 2005-A2 A2 03.0407 02/25/2035 0.08%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.08%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.08%
NBCUNIVERSAL MEDIA LLC 05.1500 04/30/2020 0.08%
CAS 2016-C05 2M1 02.9021 01/25/2029 0.07%
FNR 2005-75 GS 15.5936 08/25/2035 0.07%
JPMBB 2015-C33 XA IO 01.0263 12/15/2048 0.07%
JPMORGAN CHASE & CO. 03.8750 09/10/2024 0.07%
SELECT INCOME REIT 02.8500 02/01/2018 0.07%
SELECT INCOME REIT 03.6000 02/01/2020 0.07%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.06%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.06%
GSMS 2010-C1 D P/P 144A 06.0509 08/10/2043 0.06%
GSMS 2014-GC24 XA IO 00.8349 09/10/2047 0.06%
STACR 2016-DNA3 M1 02.6521 12/25/2028 0.06%
WFRBS 2013-C11 AS 03.3110 03/15/2045 0.06%
AUTONATION INC. 05.5000 02/01/2020 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.05%
STACR 2015-HQ1 M2 03.7521 03/25/2025 0.05%
FHR 3609 LK 02.0000 12/15/2024 0.04%
TREASURY BILL 00.0000 02/15/2018 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.03%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.03%
FNR 2010-81 AP 02.5000 07/25/2040 0.03%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.03%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.03%
TREASURY BILL 00.0000 01/11/2018 0.03%
US TREASURY N/B 02.0000 09/30/2020 0.03%
WFRBS 2013-C12 XA IO P/P 144A 01.3072 03/15/2048 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
FEDEX 2012 TRUST P/P 144A 02.6250 01/15/2018 0.02%
FHR 3724 CM 05.5000 06/15/2037 0.02%
HESS CORP 07.3000 08/15/2031 0.02%
LBUBS 2006-C6 B 05.4720 09/15/2039 0.02%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.02%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.02%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.02%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.02%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.02%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.02%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.02%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.02%
TREASURY BILL 00.0000 02/08/2018 0.02%
2.10 R ISWP FWD US0003M P 03/21/2020 0.01%
CAS 2016-C06 1M2 05.8021 04/25/2029 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.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%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.01%
FHR 2976 LC 19.0042 05/15/2035 0.01%
FHR 3539 PM 04.5000 05/15/2037 0.01%
FHR 3876 CA 02.7500 06/15/2026 0.01%
FNR 2004-2 QL 04.0000 02/25/2019 0.01%
FNR 2005-68 PC 05.5000 07/25/2035 0.01%
FNR 2010-155 A 03.5000 09/25/2025 0.01%
FNR 2011-60 PA 04.0000 10/25/2039 0.01%
FNW 1998-W2 X IO 00.3254 06/25/2028 0.01%
GNR 2009-32 AB 04.0000 05/16/2039 0.01%
MLCFC 2006-4 XC IO P/P 144A 00.5136 12/12/2049 0.01%
OPTN FN30 3.0 02/06/18 CALL 100.0 JPMC 0.01%
OPTN FN30 3.0 02/06/18 CALL 100.03125 JPMC 0.01%
OPTN FN30 3.0 02/06/18 CALL 99.8125 JPMC 0.01%
OPTN FN30 3.0 02/06/18 CALL 99.875 JPMC 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.0859375 JPMC 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.2109375 JPMC 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.3359375 JPMC 0.01%
STACR 2014-HQ3 M2 04.2021 10/25/2024 0.01%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.01%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.01%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.01%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.01%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.01%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.01%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.01%
SWPTN 5WX10Y R 2.3388 USD 02/01/2018 MS 0.01%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.01%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.01%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.01%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.01%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.01%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.01%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.01%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.01%
SWPTN LIABILITY 5WX10Y P 2.42 USD 02/01/2018 MS 0.01%
SWPTN LIABILITY 5WX10Y R 2.42 USD 02/01/2018 MS 0.01%
2.48 R ISWP FWD US0003M P 02/26/2028 0.00%
2.48875 R ISWP FWD US0003M P 01/30/2028 0.00%
2.55 R ISWP FWD US0003M P 03/21/2048 0.00%
BACM 2004-4 XC IO P/P 144A 00.0512 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4115 01/15/2049 0.00%
CAS 2015-C03 2M2 06.5521 07/25/2025 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.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 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 02.0512 05/15/2038 0.00%
FHLMC FH15G E01425 04.5000 08/01/2018 0.00%
FHLMC FH15OT M30301 04.5000 10/01/2018 0.00%
FNMA FN10 257370 06.0000 09/01/2018 0.00%
FNMA FN15 725993 06.0000 09/01/2019 0.00%
FNR 2009-100 PA 04.5000 04/25/2039 0.00%
FNW 1998-W5 X IO 00.9110 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2762 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4559 11/15/2028 0.00%
GECMC 2005-C3 XC IO P/P 144A 00.1111 07/10/2045 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
LBUBS 2007-C2 XW IO 00.2596 02/15/2040 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0027 06/12/2043 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.21484375 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.2890625 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.40234375 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.4453125 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.6171875 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.703125 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.8046875 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.859375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.0859375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.2109375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.3359375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.5859375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.7109375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.8359375 JPMC 0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 13WX10Y P 2.4115 USD 01/08/2018 JP 0.00%
SWPTN 13WX10Y R 2.3205 USD 01/08/2018 JP 0.00%
SWPTN 13WX3Y P 1.964 USD 01/08/2018 JP 0.00%
SWPTN 13WX3Y R 1.964 USD 01/08/2018 JP 0.00%
SWPTN 1MX10Y P 2.398 USD 01/11/2018 CI 0.00%
SWPTN 1MX10Y P 2.478 USD 01/11/2018 CI 0.00%
SWPTN 1MX10Y R 2.318 USD 01/11/2018 CI 0.00%
SWPTN 1MX10Y R 2.398 USD 01/11/2018 CI 0.00%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.00%
SWPTN 2MX10Y P 2.412 USD 01/30/2018 CI 0.00%
SWPTN 2MX10Y P 2.526 USD 01/30/2018 CI 0.00%
SWPTN 2MX10Y P 2.675 USD 02/22/2018 CI 0.00%
SWPTN 2MX10Y R 2.28 USD 02/22/2018 CI 0.00%
SWPTN 2MX10Y R 2.298 USD 01/30/2018 CI 0.00%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP 0.00%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 3WX10Y P 2.428 USD 01/17/2018 CI 0.00%
SWPTN 3WX10Y P 2.493 USD 01/17/2018 CI 0.00%
SWPTN 3WX10Y R 2.363 USD 01/17/2018 CI 0.00%
SWPTN 5WX10Y P 2.42 USD 02/01/2018 MS 0.00%
SWPTN 5WX10Y P 2.5012 USD 02/01/2018 MS 0.00%
SWPTN 5WX10Y P 2.505 USD 01/08/2018 CI 0.00%
SWPTN 5WX10Y P 2.63625 USD 01/26/2018 CS 0.00%
SWPTN 5WX10Y R 2.205 USD 01/08/2018 CI 0.00%
SWPTN 5WX10Y R 2.33875 USD 01/26/2018 CS 0.00%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.00%
SWPTN 6MX1Y R 1.85125 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.00%
SWPTN 6MX1Y R 2.01 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI 0.00%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS 0.00%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.00%
SWPTN 7WX10Y R 2.218 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.2875 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.357 USD 01/12/2018 GS 0.00%
SWPTN 8WX10Y P 2.68675 USD 01/26/2018 GS 0.00%
SWPTN 8WX10Y R 2.10125 USD 01/26/2018 GS 0.00%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
WBCMT 2006-C29 IO IO 00.2005 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.1708 04/15/2047 0.00%
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.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 MS -0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS -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 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 JP -0.01%
CPURNSA P 2.05 R 07/05/27 -0.01%
SWPTN 2MX10Y R 2.412 USD 01/30/2018 CI -0.01%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.01%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.01%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.01%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.01%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.01%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.01%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.01%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.01%
SWPTN 3WX10Y R 2.428 USD 01/17/2018 CI -0.01%
SWPTN 5WX10Y R 2.42 USD 02/01/2018 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.01%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.01%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.01%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.01%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.01%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.01%
SWPTN LIABILITY 5WX10Y P 2.5012 USD 02/01/2018 MS -0.01%
SWPTN LIABILITY 5WX10Y R 2.3388 USD 02/01/2018 MS -0.01%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.01%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.01%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.01%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.01%
2.45 R ISWP FWD US0003M P 03/21/2028 -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 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.02%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.02%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.02%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.02%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.02%
2.30 R ISWP FWD US0003M P 03/21/2023 -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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.03%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.03%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.05%
EUR/USD 03/21/2018 BCAP-FX -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.08%
EUR/USD 03/21/2018 BANKAM -0.09%
EUR/USD 03/21/2018 GSFX -0.09%
FLR USL3M 6.00 03/07/2018 JP -0.09%
FNMA FN30 TBA 04.5000 01/01/2048 -1.07%

Prior top 10 holdings

Top 10 holdings as of 01/31/18
Net cash
Bilhetes Do Tesouro 00.0000 05/18/2018
Gnma Gii30 Tba 04.5000 02/01/2048
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Cwalt 2006-Oa10 4a1 01.7514 08/25/2046
Lnstr 2015-3 B P/P 144a 03.1129 04/20/2048
Cwalt 2006-Oa7 1a2 02.0716 06/25/2046
Holdings represent 38.58% of portfolio
Top 10 holdings as of 12/31/17
Net cash
Spain Letras Del Tesoro 00.0000 03/09/2018
Bilhetes Do Tesouro 00.0000 05/18/2018
Buoni Ordinari Del Tes 00.0000 03/29/2018
Cert Di Credito Del Tes 00.0000 03/28/2018
Gnma Gii30 Tba 04.5000 01/01/2048
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Holdings represent 37.31% of portfolio
Top 10 holdings as of 11/30/17
Net cash
Gnma Gii30 Tba 04.5000 01/01/2048
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Cwalt 2006-Oa10 4a1 01.5186 08/25/2046
Cwalt 2006-Oa7 1a2 01.9414 06/25/2046
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Lnstr 2015-3 B P/P 144a 03.3073 04/20/2048
Petroleos Mexicanos Usd 05.5000 01/21/2021
Holdings represent 40.09% of portfolio
Top 10 holdings as of 10/31/17
Net cash
Gnma Gii30 Tba 04.5000 11/01/2047
Gnma Gii30 Tba 04.0000 11/01/2047
Kkr Group Finance P/P 144a 06.3750 09/29/2020
Altria Group 02.6250 01/14/2020
Russian Federation P/P 144a 05.6250 04/04/2042
Cwalt 2006-Oa10 4a1 01.4279 08/25/2046
Cwalt 2006-Oa7 1a2 01.8842 06/25/2046
Skandinaviska Enskilda Usd 02.3000 03/11/2020
Lnstr 2015-3 B P/P 144a 03.1780 04/20/2048
Holdings represent 42.64% of portfolio

Portfolio composition as of 01/31/18

Investment-grade corporate bonds 36.35%
Net cash 25.42%
Commercial MBS 20.44%
Emerging-market bonds 5.97%
Residential MBS (non-agency) 5.97%
International Treasury/agency 4.96%
Agency CMO 3.70%
Asset-backed securities (ABS) 0.90%
Agency pass-through 0.54%
High-yield corporate bonds 0.11%

Fixed income statistics as of 01/31/18

Average effective maturity 2.96 yrs.
Average effective duration 0.12 yrs.
Average price $80.64

Maturity detail as of 01/31/18

0 - 1 yr. 38.67%
1 - 5 yrs. 43.81%
5 - 10 yrs. 14.17%
10 - 15 yrs. 1.24%
Over 15 yrs. 2.11%

Quality rating as of 01/31/18

AAA 13.92%
AA 9.42%
A 28.83%
BBB 25.78%
BB 3.24%
B 2.31%
CCC and Below 3.13%
Not Rated 13.37%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among fixed-income strategies and sectors may hurt performance. Bond prices may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk (including perceptions about default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

The Absolute Return funds are not intended to outperform stocks and bonds during strong market rallies.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 0.63% 0.83% 1.38% 0.68% 0.88% 0.38% 0.38%
What you pay 0.63% 0.83% 1.38% 0.68% 0.88% 0.38% 0.38%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 1.00% 0.00% 0.00% 0.75% -- -- --
$50,000-$99,999 1.00% 0.00% 0.00% 0.75% -- -- --
$100,000-$249,999 1.00% -- 0.00% 0.75% -- -- --
$250,000-$499,999 1.00% -- 0.00% 0.75% -- -- --
$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 R6 Class Y
0 to 9 mts. 1.00% 1.00% 1.00% -- -- -- --
9 to 12 mts. 0.00% 1.00% 1.00% -- -- -- --
2 yrs. -- 0.50% 0.00% -- -- -- --
3 yrs. -- -- 0.00% -- -- -- --
4 yrs. -- -- 0.00% -- -- -- --
5 yrs. -- -- 0.00% -- -- -- --
6 yrs. -- -- 0.00% -- -- -- --
7+ yrs. -- -- 0.00% -- -- -- --

The ICE BofAML U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion. You cannot invest directly in an index.

Each fund seeks to earn a positive total return that exceeds the rate of inflation by a targeted amount over a reasonable period of time regardless of market conditions. There can be no assurance that a fund will meet its objective. The fund is not intended to outperform stocks and bonds during strong market rallies. Consult your financial advisor to determine which fund fits into your investment goals and time horizon.

Consider these risks before investing: Allocation of assets among fixed-income strategies and sectors may hurt performance. Bond prices may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk (including perceptions about default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

The Absolute Return funds are not intended to outperform stocks and bonds during strong market rallies.