Absolute Return 300 Fund  (PTRNX)

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 300 basis points (or 3.00%) 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 $9.75
0.00% | $0.00
$10.11
12/12/17
$9.65
12/26/17
Historical fund price

Fund facts as of 01/31/18

Total net assets
$454.84M
Turnover (fiscal year end)
742%
Dividend frequency
Annually
Number of holdings
937
Fiscal year-end
October
CUSIP / Fund code
746764372 / 0064
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PTRNX

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.

3.49%

Best 5-year annualized return

(for period ending 03/31/14)


-0.03%

Worst 5-year annualized return

(for period ending 03/31/16)


2.02%

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 5.24% 1.74% 2.21% 2.58%
After sales charge 4.19% 1.40% 2.01% 2.46%
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 1.14 % 0.13 %
YTD as of 02/21/18 0.93 % -0.08 %

Volatility as of 01/31/18

Standard deviation (3 yrs.) 3.03%

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 $0.432
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 14.18%
Fnma Fn30 Tba 03.5000 03/01/2048 10.41%
Fnma Fn30 Tba 02.5000 03/01/2048 5.39%
Gnma Gii30 Tba 04.5000 02/01/2048 2.53%
Fhr 3835 Fo Po 00.0000 04/15/2041 1.50%
Air Lease Corp 02.6250 09/04/2018 1.22%
Anheuser-Busch Inbev Fin 03.6500 02/01/2026 1.10%
Bilhetes Do Tesouro 00.0000 05/18/2018 1.03%
Cwalt 2005-59 1a1 01.8912 11/20/2035 0.98%
The Boeing Company 08.7500 08/15/2021 0.98%
Top 10 holdings, percent of portfolio 39.32%

Full portfolio holdings as of 12/31/17

FNMA FN30 TBA 03.5000 02/01/2048 9.76%
FNMA FN30 TBA 02.5000 01/01/2048 5.56%
SPAIN LETRAS DEL TESORO 00.0000 03/09/2018 2.80%
GNMA GII30 TBA 04.5000 01/01/2048 2.55%
FHR 3835 FO PO 00.0000 04/15/2041 1.60%
BUONI ORDINARI DEL TES 00.0000 03/29/2018 1.40%
CERT DI CREDITO DEL TES 00.0000 03/28/2018 1.40%
AIR LEASE CORP 02.6250 09/04/2018 1.22%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 1.12%
CWALT 2005-59 1A1 01.8311 11/20/2035 1.01%
BILHETES DO TESOURO 00.0000 05/18/2018 1.00%
THE BOEING COMPANY 08.7500 08/15/2021 0.99%
APPLE INC 02.0000 05/06/2020 0.96%
FHR 3852 NT 04.5230 05/15/2041 0.95%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.93%
FNMA FN30 TBA 03.5000 01/01/2048 0.91%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.89%
S&P GLOBAL INC 03.3000 08/14/2020 0.86%
CSMC 2008-C1 AJ P/P 144A 06.3302 02/15/2041 0.85%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.83%
COMMONWEALTH BK AUST P/P 144A 02.2000 11/09/2020 0.80%
SPST 2017-6 A 01.9942 11/24/2018 0.76%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.75%
MSBAM 2013-C10 E P/P 144A 04.0822 07/15/2046 0.73%
CVS HEALTH CORP 04.7500 12/01/2022 0.71%
CWALT 2006-OA7 1A2 02.0029 06/25/2046 0.71%
GNMA GII30 TBA 04.0000 01/01/2048 0.69%
ROYAL BK SCOTLND USD 04.7000 07/03/2018 0.68%
COMM 2013-CR11 XA IO 01.1264 08/10/2050 0.63%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.58%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.58%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.57%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 0.55%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.54%
BANK OF AMERICA CORP 02.0000 01/11/2018 0.53%
KEYCORP 02.3000 12/13/2018 0.53%
MSBAM 2014-C17 D P/P 144A 04.6972 08/15/2047 0.53%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.53%
CAS 2016-C02 1B 13.8021 09/25/2028 0.52%
GNR 2016-H13 IK IO 02.5965 06/20/2066 0.52%
STACR 2015-DNA3 B 10.9021 04/25/2028 0.52%
JPMCC 2012-C8 D P/P 144A 04.6540 10/15/2045 0.51%
METLIFE INC. 04.7500 02/08/2021 0.51%
MSBAM 2013-C13 XA IO 01.0936 11/15/2046 0.48%
JPMCC 2011-C3 E P/P 144A 05.6311 02/15/2046 0.47%
AUTONATION INC 06.7500 04/15/2018 0.46%
EXPEDIA INC 05.0000 02/15/2026 0.45%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.45%
CAS 2015-C04 1M2 07.2521 04/25/2028 0.44%
DBUBS 2011-LC3A D P/P 144A 05.3404 08/10/2044 0.44%
FNMA FN30 TBA 03.0000 01/01/2048 0.44%
GNR 2017-H06 BI IO 02.3312 02/20/2067 0.43%
UBSBB 2013-C5 XA IO P/P 144A 00.0000 03/10/2046 0.43%
COMM 2014-CR19 XA IO 01.2236 08/10/2047 0.42%
MEAD JOHNSON NUTRITION C 03.0000 11/15/2020 0.42%
AT&T INC P/P 144A 04.3000 02/15/2030 0.41%
FED REPUBLIC OF BRAZIL USD 04.6250 01/13/2028 0.41%
BACM 2005-1 B 05.5044 11/10/2042 0.40%
GNR 2015-H19 NI IO 01.9107 07/20/2065 0.40%
WFCM 2013-LC12 D P/P 144A 04.2910 07/15/2046 0.40%
SERVICE CORP INTL 05.3750 01/15/2022 0.39%
CVS HEALTH CORP 02.2500 12/05/2018 0.38%
DISH DBS CORP 04.2500 04/01/2018 0.38%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.38%
ROYAL BANK OF CANADA USD 02.2000 07/27/2018 0.38%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.37%
CAS 2016-C03 2M2 07.4521 10/25/2028 0.37%
GSMS 2012-GC6 D P/P 144A 05.6521 01/10/2045 0.37%
JPMCC 2013-C10 XA IO 01.0950 12/15/2047 0.37%
WFRBS 2013-C15 D P/P 144A 04.4811 08/15/2046 0.37%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.36%
JPMBB 2013-C14 D P/P 144A 04.5688 08/15/2046 0.36%
AMERICAN EXPRESS COMPANY 07.0000 03/19/2018 0.35%
VERIZON COMM 02.9460 03/15/2022 0.35%
PFIZER INC 01.7000 12/15/2019 0.34%
WFRBS 2012-C7 D P/P 144A 04.8255 06/15/2045 0.34%
BANQUE FED CRED MUTU P/P 144A 02.2000 07/20/2020 0.33%
GSMS 2013-GC10 E P/P 144A 04.4123 02/10/2046 0.33%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.33%
SVENSKA HANDELSBANKEN AB USD 01.9500 09/08/2020 0.33%
WFCM 2014-LC16 XA IO 01.3653 08/15/2050 0.32%
WFRBS 2012-C9 XB IO P/P 144A 00.6970 11/15/2045 0.32%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.31%
WFRBS 2012-C10 D P/P 144A 04.4476 12/15/2045 0.31%
MANUF & TRADERS TRUST CO 02.0500 08/17/2020 0.30%
CCC INFO 1STL L+300 04.5700 03/30/2024 0.29%
COMMUNITY HEALTH TLH L+300 04.4788 01/27/2021 0.29%
FNR 2011-4 CS 09.7957 05/25/2040 0.29%
GNR 2016-H23 NI IO 02.4489 10/20/2066 0.29%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.29%
REP OF INDONESIA P/P 144A 03.3750 04/15/2023 0.29%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.28%
GNR 2015-H09 BI IO 01.6918 03/20/2065 0.28%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.28%
GNR 2015-H25 EI IO 01.8419 10/20/2065 0.28%
MACQUARIE BANK LTD P/P 144A 04.0000 07/29/2025 0.28%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.28%
WFRBS 2012-C10 E P/P 144A 04.4476 12/15/2045 0.28%
BSCMS 2007-T26 AJ 05.5355 01/12/2045 0.27%
CAS 2016-C03 1B 13.3021 10/25/2028 0.27%
COMM 2014-UBS6 XA IO 01.0193 12/10/2047 0.27%
FHR 4591 QI IO 03.5000 04/15/2046 0.27%
GNR 2015-H25 AI IO 01.6145 09/20/2065 0.27%
GOLDMAN SACHS GROUP INC 02.3750 01/22/2018 0.27%
JPMBB 2013-C17 D P/P 144A 04.8814 01/15/2047 0.27%
SPST 2017-LD1 A 02.3521 11/25/2050 0.27%
WFRBS 2011-C4 E P/P 144A 05.2468 06/15/2044 0.27%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.26%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.26%
GNR 2016-H02 BI IO 02.0217 11/20/2065 0.26%
GSMS 2013-GC12 D P/P 144A 04.4423 06/10/2046 0.26%
ADS WASTE TLB L+225 03.5135 11/10/2023 0.25%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.25%
CWALT 2005-27 1A1 01.8233 08/25/2035 0.25%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.25%
GOLDEN NUGGET INC TLB L+325 04.7703 10/04/2023 0.25%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.25%
GSMS 2014-GC18 XA IO 01.1172 01/10/2047 0.25%
SPST 2017-1 A 02.4521 02/25/2049 0.25%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.24%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.24%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.24%
CWCI 2007-C3 AJ 05.8394 05/15/2046 0.24%
FNR 2013-27 PI IO 03.0000 12/25/2041 0.24%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.24%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.24%
HCA INC 06.5000 02/15/2020 0.24%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.24%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.24%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.24%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.23%
ARDAGH PKG FIN/HLDGS P/P 144A 04.2500 09/15/2022 0.23%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.23%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.23%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.23%
FHR 4136 IW IO 03.5000 10/15/2042 0.23%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.23%
GNR 2017-120 IJ IO 04.0000 04/20/2047 0.23%
ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 0.23%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.23%
PPDI TL L+275 04.3849 08/18/2022 0.23%
SELECT INCOME REIT 03.6000 02/01/2020 0.23%
UBS GROUP FUNDIN P/P 144A 03.0000 04/15/2021 0.23%
AMAYA GAMING TLB L+350 05.1934 08/01/2021 0.22%
CFCRE 2011-C1 E P/P 144A 06.0785 04/15/2044 0.22%
FHR 4150 DI IO 03.0000 01/15/2043 0.22%
GNR 2014-H14 CI IO 01.5846 07/20/2064 0.22%
GNR 2015-111 IJ IO 03.5000 08/20/2045 0.22%
INTELSAT S.A. TLB3 L+375 05.2123 11/27/2023 0.22%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.22%
RESTAURANT BRANDS TLB L+225 03.8675 02/17/2024 0.22%
RITE AID 2NDL L+387.5 04.8750 06/07/2021 0.22%
SELECT INCOME REIT 02.8500 02/01/2018 0.22%
SINCLAIR BRDCAST TLB L+250 02.5000 12/11/2024 0.22%
SOUTHERN COPPER CORP USD 05.8750 04/23/2045 0.22%
STACR 2015-DNA2 B 09.1021 12/25/2027 0.22%
WAMU 2005-AR13 A1C3 02.0421 10/25/2045 0.22%
WIDEOPENWEST TLB L+325 04.7511 08/19/2023 0.22%
CMLTI 2007-AMC3 A2D 01.9021 03/25/2037 0.21%
COMM 2014-CR17 C 04.7348 05/10/2047 0.21%
CSAIL 2015-C1 D P/P 144A 03.7980 04/15/2050 0.21%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.21%
GNR 2015-H10 EI IO 01.6337 04/20/2065 0.21%
INFOR US INC P/P 144A 05.7500 08/15/2020 0.21%
JO-ANN STORES TL L+500 06.5507 10/21/2023 0.21%
BCAP 2012-RR5 4A8 01.4975 06/26/2035 0.20%
FHR 4182 PI IO 03.0000 12/15/2041 0.20%
FIRST DATA TL L+225 03.8021 07/10/2022 0.20%
GNR 2016-H08 AI IO 01.8473 08/20/2065 0.20%
GNR 2016-H22 AI IO 02.4798 10/20/2066 0.20%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.20%
STACR 2016-DNA1 B 11.5521 07/25/2028 0.20%
SYNIVERSE HLDG TLB L+300 04.5690 04/23/2019 0.20%
UBS AG LONDON P/P 144A 02.2000 06/08/2020 0.20%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.19%
ASURION TLB4 L+275 04.3190 08/04/2022 0.19%
CGCMT 2014-GC19 X IO 01.1964 03/10/2047 0.19%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.19%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.19%
GNR 2015-162 BI IO 04.0000 11/20/2040 0.19%
GNR 2016-77 SC IO 04.5989 10/20/2045 0.19%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.19%
PNC BANK NA 02.0000 05/19/2020 0.19%
STARWOOD PROP TR P/P 144A 04.7500 03/15/2025 0.19%
VISTRA TLB L+250 04.0680 08/04/2023 0.19%
WAMU 2005-AR10 1A3 03.2963 09/25/2035 0.19%
AIG GLOBAL FUNDING P/P 144A 02.1500 07/02/2020 0.18%
CALPINE CONS FIN TL L+250 03.9770 01/15/2025 0.18%
COMM 2014-CR20 XA IO 01.1587 11/10/2047 0.18%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.18%
FHR 4369 IA IO 03.5000 07/15/2044 0.18%
GNR 2014-69 PI IO 05.0000 04/20/2044 0.18%
GNR 2015-H18 IA IO 01.8250 06/20/2065 0.18%
GNR 2015-H28 DI IO 01.5491 08/20/2065 0.18%
HILTON WORLDWIDE TLB2 L+200 03.4152 10/25/2023 0.18%
JPMBB 2014-C19 XA IO 01.1392 04/15/2047 0.18%
USG CORP P/P 144A 05.5000 03/01/2025 0.18%
WFRBS 2012-C10 C 04.3826 12/15/2045 0.18%
BERRY PLASTICS TLM L+225 01.3119 10/01/2022 0.17%
BRAND ENERGY TL L+425 05.6150 06/21/2024 0.17%
CHARTER COMM TLB L+200 02.0000 04/30/2025 0.17%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.17%
GSMS 2015-GC30 XA IO 00.8831 05/10/2050 0.17%
LLOYDS BANKING GROUP USD 05.3000 12/01/2045 0.17%
NEIMAN MARCUS TL L+325 04.8050 10/25/2020 0.17%
PROTECTIVE LIFE GLO P/P 144A 02.2620 04/08/2020 0.17%
SCIENTIFIC GAMES TLB4 L+325 04.7035 08/14/2024 0.17%
STACR 2015-DNA3 M3 06.2521 04/25/2028 0.17%
TRANSDIGM TLF L+275 04.3613 06/09/2023 0.17%
TRIBUNE MEDIA TLB L+300 04.5690 01/27/2024 0.17%
UNITEDHEALTH GROUP INC 06.0000 02/15/2018 0.17%
WBCMT 2006-C26 AJ 06.0270 06/15/2045 0.17%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.17%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.16%
CGCMT 2013-GC17 X IO 01.4142 11/10/2046 0.16%
CGCMT 2014-GC21 X IO 01.2391 05/10/2047 0.16%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.16%
FHR 4193 PI IO 04.0000 03/15/2043 0.16%
FHR 4601 IC IO 04.0000 12/15/2045 0.16%
GNR 2012-106 QI IO 04.0000 07/20/2042 0.16%
GNR 2017-132 IB IO 05.5000 09/20/2047 0.16%
JPMBB 2014-C24 XA IO 01.0494 11/15/2047 0.16%
UNIVISION TLC5 L+275 04.3190 03/15/2024 0.16%
WFCM 2012-LC5 XA IO P/P 144A 01.7959 10/15/2045 0.16%
WFCM 2013-LC12 C 04.2910 07/15/2046 0.16%
ACADEMY SPORTS TLB L+400 05.5463 07/02/2022 0.15%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.15%
CWALT 2006-OA7 1A1 02.4981 06/25/2046 0.15%
GATES GLOBAL TLB L+300 04.6934 03/31/2024 0.15%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.15%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.15%
GNR 2015-167 MI IO 05.0000 06/20/2045 0.15%
GNR 2017-H03 DI IO 02.4722 12/20/2066 0.15%
GNR 2017-H11 NI IO 02.1966 05/20/2067 0.15%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.15%
MSC 2012-C4 XA IO P/P 144A 02.0951 03/15/2045 0.15%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.15%
VICI PROPERTIES TL L+225 03.7849 12/15/2024 0.15%
BP CAPITAL MARKETS PLC USD 01.7680 09/19/2019 0.14%
CERIDIAN TLB2 L+350 05.0521 09/15/2020 0.14%
COMM 2012-CR3 E P/P 144A 04.7551 10/15/2045 0.14%
CWALT 2006-OA10 2A1 01.7421 08/25/2046 0.14%
ELDORADO RESORTS TLB L+225 03.7841 04/17/2024 0.14%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.14%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.14%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.14%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.14%
GSAA 2005-15 2A2 01.8021 01/25/2036 0.14%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.14%
KMG CHEMICALS TLB L+275 04.3190 06/15/2024 0.14%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.14%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.14%
VALEANT PHARMA TLB1 L+350 04.7635 04/01/2022 0.14%
WFRBS 2011-C5 E P/P 144A 05.6716 11/15/2044 0.14%
AUTONATION INC. 05.5000 02/01/2020 0.13%
FHR 4213 GI IO 04.0000 11/15/2041 0.13%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.13%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.13%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.13%
GNR 2011-H08 GI IO 01.2612 03/20/2061 0.13%
GNR 2011-H15 AI IO 01.5709 06/20/2061 0.13%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.13%
LENNAR CORP 04.7500 11/15/2022 0.13%
ORTHO-CLINICAL TLB L+375 05.4434 06/30/2021 0.13%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.13%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.13%
SAMI 2007-AR1 2A1 01.7321 01/25/2037 0.13%
WFRBS 2011-C4 D P/P 144A 05.2468 06/15/2044 0.13%
BELDEN INC P/P 144A 05.2500 07/15/2024 0.12%
CGCMT 2012-GC8 XA IO P/P 144A 01.8138 09/10/2045 0.12%
CWHL 2005-3 1A1 02.1721 04/25/2035 0.12%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.12%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.12%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.12%
GNR 2017-H14 DI IO 01.7025 06/20/2067 0.12%
LENNAR CORPORATION 04.7500 04/01/2021 0.12%
MATCH GROUP INC P/P 144A 05.0000 12/15/2027 0.12%
MSBAM 2013-C12 E P/P 144A 04.7638 10/15/2046 0.12%
WFRBS 2011-C5 XA IO P/P 144A 01.7546 11/15/2044 0.12%
AMER ENERGY MARC 1STL L+425 05.7095 08/04/2020 0.11%
CITYCENTER TLB L+250 04.0690 04/18/2024 0.11%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.11%
COMM 2014-UBS4 XA IO 01.2204 08/10/2047 0.11%
CSMC 2007-C4 C P/P 144A 06.0732 09/15/2039 0.11%
ENBRIDGE INC USD 04.2500 12/01/2026 0.11%
FHR 2990 LB 13.1705 06/15/2034 0.11%
FHR 4158 TI IO 03.0000 12/15/2042 0.11%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.11%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.11%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.11%
GRIFOLS TLB L+225 03.2879 01/31/2025 0.11%
JPALT 2007-A2 12A1 01.7521 06/25/2037 0.11%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.11%
SPRINT TLB L+250 04.1250 02/02/2024 0.11%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.11%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.11%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.11%
WERNER TLB L+400 05.2583 07/24/2024 0.11%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.10%
CAS 2017-C02 2B1 07.0521 09/25/2029 0.10%
COMM 2014-LC15 XA IO 01.3239 04/10/2047 0.10%
CPG INTL TL L+375 05.0828 05/05/2024 0.10%
FIDELITY NATIONAL INFORM 03.6250 10/15/2020 0.10%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.10%
GNR 2017-H02 BI IO 02.3626 01/20/2067 0.10%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.10%
HELLENIC REPUBLIC REGS 03.0000 02/24/2036 0.10%
INFOR TLB6 L+275 03.7500 02/01/2022 0.10%
JPMBB 2014-C25 D P/P 144A 03.9460 11/15/2047 0.10%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.10%
SWPTN 1YX30Y R 1.673 GBP 10/05/2018 GS 0.10%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.10%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.10%
TRANSDIGM TLE L+280 04.2264 05/14/2022 0.10%
CHUCK E CHEESE'S TLB L+325 04.8190 02/14/2021 0.09%
FHR 4206 IP IO 03.0000 12/15/2041 0.09%
JPMORGAN CHASE & CO. 03.8750 09/10/2024 0.09%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.09%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.09%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.09%
SWPTN 1YX10Y R 1.522 GBP 10/05/2018 GS 0.09%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.09%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.09%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.09%
UBSBB 2012-C2 XA IO P/P 144A 01.3432 05/10/2063 0.09%
US TREASURY N/B 02.0000 09/30/2020 0.09%
CAS 2015-C01 1M2 05.8521 02/25/2025 0.08%
CAS 2017-C05 1B1 05.1521 01/25/2030 0.08%
GNR 2011-17 S IO 04.5489 02/20/2041 0.08%
JPMCC 2007-CB20 C P/P 144A 06.2772 02/12/2051 0.08%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.08%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.08%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.08%
GNR 2016-H11 HI IO 02.0832 01/20/2066 0.07%
HOST HOTELS & RESORTS 05.2500 03/15/2022 0.07%
JPMCC 2012-LC9 D P/P 144A 04.3718 12/15/2047 0.07%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.07%
STACR 2017-DNA2 B1 06.7021 10/25/2029 0.07%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.07%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.07%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.07%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.07%
USD/MXN CALL 21.50 20180531 BCAP-FX 0.07%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.06%
CSFB 2005-C3 B 04.8820 07/15/2037 0.06%
CWALT 2006-45T1 2A7 01.8921 02/25/2037 0.06%
CWALT 2006-OA10 4A1 01.7421 08/25/2046 0.06%
FEDEX 2012 TRUST P/P 144A 02.6250 01/15/2018 0.06%
FHR 3072 SM 04.2533 11/15/2035 0.06%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.06%
GNR 2013-99 VS IO 04.6092 07/16/2043 0.06%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.06%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.06%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.06%
JPMBB 2014-C26 D P/P 144A 03.9241 01/15/2048 0.06%
KMG CHEMICALS TLB L+275 04.3190 06/15/2024 0.06%
SWPTN 10YX10Y R 2.7575 USD 12/20/2027 JP 0.06%
SWPTN 10YX10Y R 2.795 USD 12/20/2027 JP 0.06%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.06%
VANTAGE DRILLING INT-UNIT 0.06%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.06%
CAS 2015-C01 2M2 06.1021 02/25/2025 0.05%
FNR 2007-53 SP 18.5089 06/25/2037 0.05%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.05%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.05%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.05%
HESS CORP 07.3000 08/15/2031 0.05%
SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP 0.05%
SWPTN 10YX10Y P 2.795 USD 12/20/2027 JP 0.05%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.05%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.05%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.05%
1.40 R ISWP FWD NOKOIB6M P 03/21/2023 0.04%
2.10 R ISWP FWD US0003M P 03/21/2020 0.04%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.04%
CPTFEMU R 1.4 P 07/15/27 0.04%
FHR 3249 PS 17.4008 12/15/2036 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.04%
JPMCC 2007-CB20 B P/P 144A 06.2772 02/12/2051 0.04%
MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 0.04%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.04%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.04%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.04%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.04%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.04%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.04%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.03%
2.40 R ISWP FWD AUDBB6M P 03/21/2023 0.03%
CAS 2014-C03 1M2 04.5521 07/25/2024 0.03%
CAS 2015-C02 2M2 05.5521 05/25/2025 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
FHR 2976 LC 19.0042 05/15/2035 0.03%
FNR 2005-75 GS 15.5936 08/25/2035 0.03%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.03%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.03%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.03%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.03%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 3MX5Y P 0.303 EUR 03/19/2018 MS 0.03%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.03%
SWPTN 5WX10Y R 2.3388 USD 02/01/2018 MS 0.03%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.03%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 0.03%
SWPTN LIABILITY 5WX10Y P 2.42 USD 02/01/2018 MS 0.03%
SWPTN LIABILITY 5WX10Y R 2.42 USD 02/01/2018 MS 0.03%
VISTRA TLC L+250 04.0642 08/04/2023 0.03%
7.48 R ISWP JIBA3M P 10/31/2020 0.02%
AUD/USD 01/17/2018 UBS 0.02%
CAS 2016-C06 1M2 05.8021 04/25/2029 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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
CPTFEMU R 1.3013 P 10/15/22 0.02%
CPTFEMU R 1.4275 P 08/15/27 0.02%
CPTFEMU R 1.4475 P 09/15/27 0.02%
FNR 2005-74 NK 19.7394 05/25/2035 0.02%
FNS 397 2 IO 05.0000 09/25/2039 0.02%
FNW 1998-W2 X IO 00.3254 06/25/2028 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.02%
OPTN FN30 3.0 02/06/18 CALL 100.0 JPMC 0.02%
OPTN FN30 3.0 02/06/18 CALL 100.03125 JPMC 0.02%
OPTN FN30 3.0 02/06/18 CALL 99.8125 JPMC 0.02%
OPTN FN30 3.0 02/06/18 CALL 99.875 JPMC 0.02%
OPTN FN30 3.0 03/06/18 PUT 99.3359375 JPMC 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.02%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.02%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.02%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.02%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.02%
SWPTN 13WX3Y P 1.964 USD 01/08/2018 JP 0.02%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.02%
SWPTN 2MX10Y P 2.526 USD 01/30/2018 CI 0.02%
SWPTN 2MX10Y R 2.28 USD 02/22/2018 CI 0.02%
SWPTN 2MX10Y R 2.298 USD 01/30/2018 CI 0.02%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.02%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.02%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.02%
SWPTN 3WX10Y R 2.363 USD 01/17/2018 CI 0.02%
SWPTN 5WX10Y P 2.5012 USD 02/01/2018 MS 0.02%
SWPTN 5WX10Y R 2.33875 USD 01/26/2018 CS 0.02%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.02%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.02%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.02%
SWPTN LIABILITY 2YX20Y P 2.584 USD 11/08/2019 GS 0.02%
SWPTN LIABILITY 2YX20Y P 2.875 USD 11/18/2019 GS 0.02%
SWPTN LIABILITY 2YX20Y R 2.584 USD 11/08/2019 GS 0.02%
SWPTN LIABILITY 2YX30Y P 2.43 USD 11/13/2019 MS 0.02%
SWPTN LIABILITY 2YX30Y P 2.615 USD 11/12/2019 CI 0.02%
SWPTN LIABILITY 2YX30Y R 2.615 USD 11/12/2019 CI 0.02%
SWPTN LIABILITY 2YX30Y R 2.826 USD 11/08/2019 JP 0.02%
-0.15 R ISWP FWD CHL6M P 03/21/2023 0.01%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.01%
0.766 R ISWP GBL6M P 09/15/2019 0.01%
0.85 R ISWP FWD GBL6M P 12/20/2019 0.01%
2.25 R ISWP FWD US0003M P 03/21/2023 0.01%
2.74875 R ISWP FWD US0003M P 10/27/2027 0.01%
CAD/USD 01/17/2018 BCAP-FX 0.01%
CAD/USD 01/17/2018 JPMCB 0.01%
CAD/USD 01/17/2018 SSBT 0.01%
CAESARS ENTERTAINMENT CORP 0.01%
CAS 2015-C02 1M2 05.5521 05/25/2025 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 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 JP 0.01%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.01%
CPTFEMU R 1.305 P 10/15/22 0.01%
CPTFEMU R 1.42 P 08/15/27 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.01%
EUR/USD 03/21/2018 SSBT 0.01%
EUR/USD 03/21/2018 UBS 0.01%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.01%
FNW 1998-W5 X IO 00.9110 07/25/2028 0.01%
GNR 2010-103 DI IO 04.5000 12/20/2038 0.01%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.01%
NOK/USD 03/21/2018 CITI 0.01%
NOK/USD 03/21/2018 JPMCB 0.01%
NOK/USD 03/21/2018 UBS 0.01%
NZD/USD 01/17/2018 HSBCB 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%
SEK/USD 03/21/2018 BANKAM 0.01%
SEK/USD 03/21/2018 CSI-FX 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SWPTN 1MX10Y P 2.478 USD 01/11/2018 CI 0.01%
SWPTN 1MX10Y R 2.318 USD 01/11/2018 CI 0.01%
SWPTN 1YX1Y R 0.882 GBP 11/05/2018 JP 0.01%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.01%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.01%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.01%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.01%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.01%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.01%
SWPTN 3MX2Y P -0.152 EUR 02/21/2018 MS 0.01%
SWPTN 3MX2Y P -0.154 EUR 02/21/2018 GS 0.01%
SWPTN 3WX10Y P 2.493 USD 01/17/2018 CI 0.01%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.01%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
SWPTN LIABILITY 2YX30Y P 2.826 USD 11/08/2019 JP 0.01%
SWPTN LIABILITY 2YX30Y R 2.43 USD 11/13/2019 MS 0.01%
TRIBUNE MEDIA TLB L+300 04.5690 12/27/2020 0.01%
-0.104 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.124 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.2225 R ISWP SES3M P 11/13/2019 0.00%
-0.23 R ISWP SES3M P 11/13/2019 0.00%
-0.245 R ISWP SES3M P 11/10/2019 0.00%
-0.246 R ISWP SES3M P 11/10/2019 0.00%
-0.526 R ISWP CHL6M P 10/02/2019 0.00%
-0.528 R ISWP CHL6M P 09/29/2019 0.00%
-0.53 R ISWP CHL6M P 10/06/2019 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.00%
0.00 R ISWP BZDIOVRA P 01/04/2021 0.00%
0.09 R ISWP JPL6M P 12/19/2022 0.00%
0.21 R ISWP EURIBOR6MD P 04/26/2022 0.00%
0.21 R ISWP EURIBOR6MD P 05/04/2022 0.00%
0.25 R ISWP FWD CHL6M P 03/21/2028 0.00%
0.29 R ISWP JPL6M P 12/19/2027 0.00%
1.125 R ISWP SES3M P 11/10/2027 0.00%
1.13 R ISWP SES3M P 11/10/2027 0.00%
1.1575 R ISWP SES3M P 11/13/2027 0.00%
1.16 R ISWP SES3M P 11/13/2027 0.00%
1.41 R ISWP FWD EUR006M P 12/20/2067 0.00%
1.85 R ISWP FWD EUR006M P 12/20/2047 0.00%
2.1725 R ISWP KRW3MCD P 12/13/2027 0.00%
2.30 R ISWP FWD CDOR03 P 03/21/2028 0.00%
2.40 R ISWP FWD US0003M P 03/21/2028 0.00%
2.427 R ISWP AUDBB6M P 11/03/2022 0.00%
2.4525 R ISWP AUDBB6M P 11/15/2022 0.00%
2.55 R ISWP FWD US0003M P 03/21/2048 0.00%
2.70 R ISWP FWD NFIX3MID P 03/21/2023 0.00%
3.20 R ISWP FWD NFIX3MID P 03/21/2028 0.00%
3.925 P ISWP MYR-KLI3M R 12/12/2022 JP 0.00%
6.715 R ISWP IN00O/N P 12/22/2022 0.00%
8.12 R ISWP MXIBTIIE P 12/24/2026 0.00%
8.20 R ISWP MXIBTIIE P 01/07/2027 0.00%
AUD/USD 01/17/2018 BCAP-FX 0.00%
AUD/USD 01/17/2018 GSFX 0.00%
AUD/USD 01/17/2018 RBSF 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%
BRL/USD 04/03/2018 GSFX 0.00%
CAD/USD 01/17/2018 UBS 0.00%
CHF/USD 03/21/2018 BCAP-FX 0.00%
CHF/USD 03/21/2018 JPMCB 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CPURNSA P 2.19 R 12/06/27 0.00%
CPURNSA P 2.1939 R 12/21/27 0.00%
CPURNSA R 2.05 P 12/06/22 0.00%
CPURNSA R 2.068 P 12/21/22 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.0512 05/15/2038 0.00%
EUR/USD 03/21/2018 HSBCB 0.00%
EUR/USD 03/21/2018 JPMCB 0.00%
EURO-OAT FUTURE MAR18 OATH8 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%
GBP/USD 03/21/2018 BCAP-FX 0.00%
GBP/USD 03/21/2018 CITI 0.00%
GBP/USD 03/21/2018 GSFX 0.00%
GBP/USD 03/21/2018 JPMCB 0.00%
GBP/USD 03/21/2018 SSBT 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 JP 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.14 P USL1M R 01/12/45 JP 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 P USL1M R 01/12/40 GS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 BC 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 CS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.450.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 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 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.FN30.600.08 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 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPY/USD 02/22/2018 BANKAM 0.00%
JPY/USD 02/22/2018 CITI 0.00%
JPY/USD 02/22/2018 GSFX 0.00%
JPY/USD 02/22/2018 HSBCB 0.00%
JPY/USD 02/22/2018 RBSF 0.00%
JPY/USD 02/22/2018 SSBT 0.00%
LBUBS 2007-C2 XW IO 00.2596 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.FN30.400.09 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.FN30.450.09 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.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 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 CS 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.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0027 06/12/2043 0.00%
MXN/USD 01/17/2018 HSBCB 0.00%
NOK/USD 03/21/2018 BANKAM 0.00%
NOK/USD 03/21/2018 GSFX 0.00%
NOK/USD 03/21/2018 RBSF 0.00%
NOK/USD 03/21/2018 SSBT 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%
SEK/USD 03/21/2018 BCAP-FX 0.00%
SEK/USD 03/21/2018 UBS 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 R 1.964 USD 01/08/2018 JP 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y P 1.091 EUR 07/13/2018 CI 0.00%
SWPTN 1YX5Y P 1.291 EUR 07/13/2018 CI 0.00%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y P 2.34 USD 11/12/2019 CI 0.00%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
SWPTN 2YX5Y R 2.553 USD 11/08/2019 JP 0.00%
SWPTN 3MX2Y R -0.152 EUR 02/21/2018 MS 0.00%
SWPTN 3MX2Y R -0.154 EUR 02/21/2018 GS 0.00%
SWPTN 3MX5Y R 0.185 EUR 02/21/2018 GS 0.00%
SWPTN 3MX5Y R 0.189 EUR 02/21/2018 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 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 7WX10Y R 2.218 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.2875 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 2YX10Y R 2.2525 USD 11/12/2019 JP 0.00%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI 0.00%
SWPTN LIABILITY 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
US 10YR ULTRA FUT MAR18 UXYH8 0.00%
USD/JPY PUT 103.00 20180109 JPMCB 0.00%
USD/JPY PUT 107.00 20180109 JPMCB 0.00%
VICI PROP 1 / VICI FC 08.0000 10/15/2023 0.00%
WBCMT 2006-C29 IO IO 00.2005 11/15/2048 0.00%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.01%
0.40 R ISWP FWD SES3M P 03/21/2023 -0.01%
1.10 R ISWP FWD GBL6M P 03/21/2023 -0.01%
1.35 R ISWP FWD GBL6M P 03/21/2028 -0.01%
1.61375 R ISWP FWD EUR006M P 10/27/2027 -0.01%
1.90 R ISWP FWD NOKOIB6M P 03/21/2028 -0.01%
2.02 R ISWP CDOR03 P 11/02/2022 -0.01%
2.0525 R ISWP CDOR03 P 11/14/2022 -0.01%
2.75 R ISWP FWD AUDBB6M P 03/21/2028 -0.01%
8.365 R ISWP JIBA3M P 10/31/2027 -0.01%
BRL/USD 04/03/2018 CITI -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.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 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
CPURNSA P 2.085 R 07/03/27 -0.01%
IOS.GII30.500.10 R USL1M P 01/12/41 CS -0.01%
JPY/USD 02/22/2018 BCAP-FX -0.01%
JPY/USD 02/22/2018 CSI-FX -0.01%
JPY/USD 02/22/2018 JPMCB -0.01%
JPY/USD 02/22/2018 UBS -0.01%
JPY/USD 02/22/2018 WPAC -0.01%
NOK/USD 03/21/2018 BCAP-FX -0.01%
NOK/USD 03/21/2018 CSI-FX -0.01%
NZD/USD 01/17/2018 RBSF -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.21484375 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.2890625 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.40234375 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.4453125 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.6171875 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.703125 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.3359375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.5859375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.7109375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.8359375 JPMC -0.01%
RUB/USD 03/21/2018 BANKAM -0.01%
SEK/USD 03/21/2018 GSFX -0.01%
SEK/USD 03/21/2018 JPMCB -0.01%
SEK/USD 03/21/2018 RBSF -0.01%
SEK/USD 03/21/2018 SSBT -0.01%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.01%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.01%
SWPTN 2MX10Y P 2.675 USD 02/22/2018 CI -0.01%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.01%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.01%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.01%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.01%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.01%
SWPTN 3WX10Y P 2.428 USD 01/17/2018 CI -0.01%
SWPTN 7WX10Y R 2.357 USD 01/12/2018 GS -0.01%
SWPTN LIABILITY 2YX10Y P 2.47 USD 11/08/2019 GS -0.01%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.01%
SWPTN LIABILITY 2YX10Y R 2.47 USD 11/08/2019 GS -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
ZAR/USD 01/17/2018 GSFX -0.01%
0.25 R ISWP FWD EUR006M P 03/21/2023 -0.02%
1.863 R ISWP FWD GBL6M P 09/22/2032 -0.02%
2.30 R ISWP FWD US0003M P 03/21/2023 -0.02%
2.48 R ISWP FWD US0003M P 02/26/2028 -0.02%
2.48875 R ISWP FWD US0003M P 01/30/2028 -0.02%
AUD/USD 01/17/2018 SSBT -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -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%
CPURNSA P 2.05 R 07/05/27 -0.02%
EUR/USD 03/21/2018 BCAP-FX -0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.02%
NZD/USD 01/17/2018 UBS -0.02%
SWPTN 1MX10Y P 2.398 USD 01/11/2018 CI -0.02%
SWPTN 1MX10Y R 2.398 USD 01/11/2018 CI -0.02%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.02%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.02%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS -0.02%
SWPTN 2MX10Y P 2.412 USD 01/30/2018 CI -0.02%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.02%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.02%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.02%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.02%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.02%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.02%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.02%
SWPTN 3MX5Y P 0.321 EUR 02/21/2018 GS -0.02%
SWPTN 3MX5Y P 0.325 EUR 02/21/2018 MS -0.02%
SWPTN 3MX5Y P 2.3675 USD 03/19/2018 MS -0.02%
SWPTN 5WX10Y P 2.42 USD 02/01/2018 MS -0.02%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.02%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.02%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.02%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.02%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.02%
SWPTN LIABILITY 2YX10Y P 2.2525 USD 11/12/2019 JP -0.02%
SWPTN LIABILITY 2YX10Y R 2.7725 USD 11/18/2019 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.02%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.02%
1.15 R ISWP FWD SES3M P 03/21/2028 -0.03%
1.912 R ISWP FWD GBL6M P 01/19/2032 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.03%
CPTFEMU P 1.71 R 08/15/37 -0.03%
CPTFEMU P 1.735 R 09/15/37 -0.03%
EUR/USD 03/21/2018 GSFX -0.03%
FLR USL3M 6.00 03/07/2018 JP -0.03%
NZD/USD 01/17/2018 GSFX -0.03%
SWPTN 2MX10Y R 2.412 USD 01/30/2018 CI -0.03%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.03%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.03%
SWPTN 3WX10Y R 2.428 USD 01/17/2018 CI -0.03%
SWPTN 5WX10Y R 2.42 USD 02/01/2018 MS -0.03%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.03%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 5WX10Y P 2.5012 USD 02/01/2018 MS -0.03%
SWPTN LIABILITY 5WX10Y R 2.3388 USD 02/01/2018 MS -0.03%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.03%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.03%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.03%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.03%
2.10 R ISWP FWD CDOR03 P 03/21/2023 -0.04%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
EUR/USD 03/21/2018 BANKAM -0.04%
NZD/USD 01/17/2018 SSBT -0.04%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.04%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.04%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.04%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.04%
SWPTN 5YX5Y R 1.106 GBP 11/03/2022 JP -0.04%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.04%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.04%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.04%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.04%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.04%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.04%
0.00 R ISWP BZDIOVRA P 01/02/2019 -0.05%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.05%
CPTFEMU P 1.7138 R 08/15/37 -0.05%
USD/MXN CALL 22.00 20180531 BCAP-FX -0.05%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.06%
2.45 R ISWP FWD US0003M P 03/21/2028 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.06%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.07%
CPTFEMU P 1.71 R 07/15/37 -0.07%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.07%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.07%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.07%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.07%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.08%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.08%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.09%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.09%
0.85 R ISWP FWD EUR006M P 03/21/2028 -0.10%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.10%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.10%
SWPTN 10YX10Y P 2.01 EUR 12/20/2027 GS -0.11%
SWPTN 10YX10Y R 2.01 EUR 12/20/2027 GS -0.11%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.12%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.12%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.15%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.15%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.17%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.19%
SWPTN 1YX20Y R 1.6975 GBP 10/05/2018 GS -0.20%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.27%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.40%
FNMA FN30 TBA 04.0000 01/01/2048 -1.16%
FNMA FN30 TBA 04.5000 01/01/2048 -1.41%

Prior top 10 holdings

Top 10 holdings as of 01/31/18
Net cash
Fnma Fn30 Tba 03.5000 03/01/2048
Fnma Fn30 Tba 02.5000 03/01/2048
Gnma Gii30 Tba 04.5000 02/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Bilhetes Do Tesouro 00.0000 05/18/2018
Cwalt 2005-59 1a1 01.8912 11/20/2035
The Boeing Company 08.7500 08/15/2021
Holdings represent 39.32% of portfolio
Top 10 holdings as of 12/31/17
Fnma Fn30 Tba 03.5000 02/01/2048
Net cash
Fnma Fn30 Tba 02.5000 01/01/2048
Spain Letras Del Tesoro 00.0000 03/09/2018
Gnma Gii30 Tba 04.5000 01/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Buoni Ordinari Del Tes 00.0000 03/29/2018
Cert Di Credito Del Tes 00.0000 03/28/2018
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Holdings represent 36.42% of portfolio
Top 10 holdings as of 11/30/17
Net cash
Fnma Fn30 Tba 03.5000 01/01/2048
Fnma Fn30 Tba 02.5000 01/01/2048
Gnma Gii30 Tba 04.5000 01/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Cwalt 2005-59 1a1 01.6172 11/20/2035
The Boeing Company 08.7500 08/15/2021
Fhr 3852 Nt 04.7497 05/15/2041
Holdings represent 41.76% of portfolio
Top 10 holdings as of 10/31/17
Net cash
Fnma Fn30 Tba 03.5000 12/01/2047
Fnma Fn30 Tba 02.5000 11/01/2047
Gnma Gii30 Tba 04.5000 11/01/2047
Fhr 3835 Fo Po 00.0000 04/15/2041
Gnma Gii30 Tba 04.0000 11/01/2047
Air Lease Corp 02.6250 09/04/2018
Anheuser-Busch Inbev Fin 03.6500 02/01/2026
Cwalt 2005-59 1a1 01.5689 11/20/2035
Fhr 3852 Nt 04.7611 05/15/2041
Holdings represent 43.36% of portfolio

Portfolio composition as of 01/31/18

Commercial MBS 23.99%
Investment-grade corporate bonds 19.53%
Agency CMO 19.33%
Net cash 14.18%
Agency pass-through 13.47%
Bank loans 7.68%
Residential MBS (non-agency) 6.79%
Emerging-market bonds 4.54%
High-yield corporate bonds 4.45%
International Treasury/agency 3.35%
Asset-backed securities (ABS) 1.27%
Equity investments 0.01%

Fixed income statistics as of 01/31/18

Average effective maturity 5.92 yrs.
Average effective duration -0.93 yrs.
Average price $82.42

Maturity detail as of 01/31/18

0 - 1 yr. 4.26%
1 - 5 yrs. 29.96%
5 - 10 yrs. 60.88%
10 - 15 yrs. 2.82%
Over 15 yrs. 2.08%

Quality rating as of 01/31/18

AAA 43.05%
AA 4.05%
A 10.67%
BBB 20.41%
BB 13.07%
B 9.02%
CCC and Below 4.58%
Not Rated -4.85%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: AAllocation 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 0.70% 0.90% 1.45% 0.75% 0.95% 0.45% 0.45%
What you pay 0.70% 0.90% 1.45% 0.75% 0.95% 0.45% 0.45%

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 BofA ML 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: AAllocation 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.