Absolute Return 300 Fund (PTRNX)
Seeking positive results balanced with lower volatility over time
- Highlights
- Performance
- Holdings
- Expenses
Summary
Fund price |
Yesterday's close | 52-week high | 52-week low |
|---|---|---|---|
| Net asset value |
$9.90
0.20% ( $0.02 ) |
$9.90
(05/04/17) |
$9.44
(06/27/16) |
Management team
Albert Chan, CFA (industry since 2002)
Michael V. Salm (industry since 1989)
Paul D. Scanlon, CFA (industry since 1986)
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.
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
Consistency of positive performance over five years
Performance represents 5-year returns in rolling quarter-end periods since inception.
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)
1.94%
Average 5-year annualized return
Dots represent 5-year returns in rolling quarter-end periods since inception.
13 positive 5-year periods
1 negative 5-year periods
| 93% | |
| 7% |
Performance shown above does not reflect the effects of any sales charges. Click on the dots to see specific returns in each five-year period as of the date revealed. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please see below.
Total return (%) as of 03/31/17
| Annualized performance | 1 yr. | 3 yrs. | 5 yrs. | Life (inception: 12/23/08 ) |
|---|---|---|---|---|
| Before sales charge | 7.90% | 0.85% | 2.12% | 2.49% |
| After sales charge | 6.82% | 0.52% | 1.92% | 2.36% |
| BofA Merrill Lynch U.S. Treasury Bill Index | 0.37% | 0.20% | 0.16% | -- |
| Cumulative performance | 1 yr. | 3 yrs. | 5 yrs. | Life |
|---|---|---|---|---|
| Before sales charge | 7.90% | 2.58% | 11.06% | 22.52% |
| After sales charge | 6.82% | 1.56% | 9.95% | 21.30% |
Annual performance as of 03/31/17
| 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | |
|---|---|---|---|---|---|---|---|---|
| Before sales charge | 8.23% | 3.10% | -4.37% | 5.63% | 4.35% | 1.53% | -1.91% | 2.01% |
| BofA Merrill Lynch U.S. Treasury Bill Index | 0.29% | 0.21% | 0.14% | 0.12% | 0.09% | 0.06% | 0.09% | 0.37% |
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.
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 04/30/17
| Fnma Fn30 Tba 03.5000 06/01/2047 | 14.77% |
|
|---|---|---|
| Net cash | 9.56% |
|
| Fnma Fn30 Tba 02.5000 05/01/2047 | 5.08% |
|
| Fhr 3835 Fo Po 00.0000 04/15/2041 | 1.79% |
|
| Fnma Fn30 Tba 04.5000 05/01/2047 | 1.75% |
|
| Anheuser-Busch Inbev Fin 01.9000 02/01/2019 | 1.17% |
|
| Air Lease Corp 02.6250 09/04/2018 | 1.12% |
|
| Fhr 3852 Nt 05.0056 05/15/2041 | 1.06% |
|
| Anheuser-Busch Inbev Fin 03.6500 02/01/2026 | 1.01% |
|
| Cgcmt 2013-Gc17 D P/P 144a 05.1042 11/10/2046 | 1.00% |
|
| Top 10 holdings, percent of portfolio | 38.31% |
|
Full portfolio holdings as of 03/31/17
| FNMA FN30 TBA 03.5000 05/01/2047 | 14.66% |
|---|---|
| FNMA FN30 TBA 02.5000 04/01/2047 | 5.01% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 1.79% |
| EUR/USD 06/21/2017 UBS | 1.57% |
| AUD/USD 04/19/2017 JPMCB | 1.35% |
| ANHEUSER-BUSCH INBEV FIN 01.9000 02/01/2019 | 1.17% |
| AIR LEASE CORP 02.6250 09/04/2018 | 1.12% |
| FHR 3852 NT 05.0878 05/15/2041 | 1.08% |
| SEK/USD 06/21/2017 UBS | 1.01% |
| ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 | 1.00% |
| CGCMT 2013-GC17 D P/P 144A 05.1042 11/10/2046 | 0.99% |
| NZD/USD 04/19/2017 UBS | 0.99% |
| RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 | 0.96% |
| CWALT 2005-59 1A1 01.3061 11/20/2035 | 0.95% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.92% |
| THE BOEING COMPANY 08.7500 08/15/2021 | 0.92% |
| TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 | 0.91% |
| JPMCC 2011-C3 E P/P 144A 05.6216 02/15/2046 | 0.88% |
| SEK/USD 06/21/2017 GSFX | 0.88% |
| NZD/USD 04/19/2017 GSFX | 0.87% |
| CSMC 2008-C1 AJ P/P 144A 06.0617 02/15/2041 | 0.86% |
| EXPEDIA INC 05.0000 02/15/2026 | 0.81% |
| OMEGA HLTHCARE INVES 05.2500 01/15/2026 | 0.81% |
| S&P GLOBAL INC 03.3000 08/14/2020 | 0.79% |
| CWALT 2006-OA7 1A2 01.5776 06/25/2046 | 0.78% |
| BSCMS 2006-PW11 B P/P 144A 05.3285 03/11/2039 | 0.75% |
| SEK/USD 06/21/2017 SSBT | 0.70% |
| INR/USD 05/17/2017 GSFX | 0.69% |
| SEK/USD 06/21/2017 CITI | 0.68% |
| SPST 2017-1 A 01.8817 02/25/2049 | 0.68% |
| CLP/USD 07/19/2017 BANKAM | 0.67% |
| EUR/USD 06/21/2017 SSBT | 0.67% |
| MSBAM 2013-C10 E P/P 144A 04.0838 07/15/2046 | 0.67% |
| BRL/USD 07/03/2017 BANKAM | 0.66% |
| CVS HEALTH CORP 04.7500 12/01/2022 | 0.66% |
| NZD/USD 04/19/2017 CITI | 0.66% |
| COMM 2013-CR11 XA IO 01.1477 08/10/2050 | 0.65% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.64% |
| ROYAL BK SCOTLND USD 04.7000 07/03/2018 | 0.62% |
| REP OF ARGENTINA P/P 144A 07.1250 07/06/2036 | 0.58% |
| BSCMS 2007-T26 AJ 05.5660 01/12/2045 | 0.54% |
| EUR/USD 06/21/2017 BANKAM | 0.54% |
| AUD/USD 04/19/2017 UBS | 0.53% |
| SEK/USD 06/21/2017 JPMCB | 0.53% |
| SEK/USD 06/21/2017 RBSF | 0.52% |
| DBUBS 2011-LC3A D P/P 144A 05.3461 08/10/2044 | 0.51% |
| NZD/USD 04/19/2017 BANKAM | 0.51% |
| NZD/USD 04/19/2017 CSI-FX | 0.51% |
| SANTANDER ISSUANCES USD 05.1790 11/19/2025 | 0.51% |
| AUD/USD 04/19/2017 SSBT | 0.50% |
| LLOYDS BANKING GROUP USD 05.3000 12/01/2045 | 0.50% |
| MSBAM 2013-C13 XA IO 01.1266 11/15/2046 | 0.50% |
| NOK/USD 06/21/2017 CITI | 0.50% |
| RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 | 0.50% |
| GNR 2016-111 IP IO 03.5000 08/20/2046 | 0.49% |
| GNR 2016-H13 IK IO 02.5762 06/20/2066 | 0.49% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2029 | 0.49% |
| KEYCORP 02.3000 12/13/2018 | 0.49% |
| KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 | 0.49% |
| NZD/USD 04/19/2017 SSBT | 0.49% |
| BANK OF AMERICA CORP 02.0000 01/11/2018 | 0.48% |
| JPMCC 2013-C10 XA IO 01.2168 12/15/2047 | 0.48% |
| MSBAM 2014-C17 D P/P 144A 04.6978 08/15/2047 | 0.48% |
| UBSBB 2013-C5 XA IO P/P 144A 01.0229 03/10/2046 | 0.48% |
| JPMCC 2011-C4 F P/P 144A 03.8730 07/15/2046 | 0.47% |
| METLIFE INC. 04.7500 02/08/2021 | 0.47% |
| VODAFONE GROUP PLC USD 01.2500 09/26/2017 | 0.47% |
| BACM 2005-1 B 05.5568 11/10/2042 | 0.46% |
| JPMCC 2012-C8 D P/P 144A 04.6773 10/15/2045 | 0.46% |
| WAMU 2005-AR13 A1C3 01.4717 10/25/2045 | 0.46% |
| WFCM 2014-LC18 D P/P 144A 03.9570 12/15/2047 | 0.46% |
| AUTONATION INC 06.7500 04/15/2018 | 0.44% |
| COMM 2014-CR19 XA IO 01.2572 08/10/2047 | 0.43% |
| FNMA FN30 TBA 04.5000 04/01/2047 | 0.43% |
| GBP/USD 06/21/2017 CITI | 0.43% |
| GNMA GII30 TBA 04.0000 04/01/2047 | 0.43% |
| CAS 2015-C04 1M2 06.6817 04/25/2028 | 0.42% |
| CAS 2016-C02 1B 13.2317 09/25/2028 | 0.42% |
| JPMCC 2007-CB20 B P/P 144A 06.2777 02/12/2051 | 0.42% |
| STACR 2015-DNA3 B 10.3317 04/25/2028 | 0.42% |
| CWCI 2007-C3 AJ 05.8796 05/15/2046 | 0.41% |
| NZD/USD 04/19/2017 JPMCB | 0.41% |
| STATE STREET BANK & TR 01.4218 04/13/2017 | 0.41% |
| AUD/USD 04/19/2017 BCAP-FX | 0.40% |
| GNR 2015-H19 NI IO 01.9001 07/20/2065 | 0.40% |
| WFCM 2013-LC12 D P/P 144A 04.2961 07/15/2046 | 0.40% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.39% |
| EUR/USD 06/21/2017 GSFX | 0.39% |
| GBP/USD 06/21/2017 JPMCB | 0.38% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2028 | 0.38% |
| FED REPUBLIC OF BRAZIL USD 04.8750 01/22/2021 | 0.37% |
| GBP/USD 06/21/2017 CSI-FX | 0.37% |
| AT&T INC 03.0000 06/30/2022 | 0.36% |
| AUD/USD 04/19/2017 BANKAM | 0.36% |
| AUD/USD 04/19/2017 RBSF | 0.36% |
| COMMUNITY HEALTH TLH L+300 04.0478 01/27/2021 | 0.36% |
| COVIDIEN INTlL FIN USD 06.0000 10/15/2017 | 0.36% |
| DISH DBS CORP 04.2500 04/01/2018 | 0.36% |
| SEK/USD 06/21/2017 BANKAM | 0.36% |
| SEK/USD 06/21/2017 CSI-FX | 0.36% |
| AMGEN INC 02.1250 05/15/2017 | 0.35% |
| ASTRAZENECA PLC USD 05.9000 09/15/2017 | 0.35% |
| BP CAPITAL MARKETS PLC USD 01.8460 05/05/2017 | 0.35% |
| CANADIAN NATURAL RESOURCE USD 05.7000 05/15/2017 | 0.35% |
| CVS HEALTH CORP 02.2500 12/05/2018 | 0.35% |
| GBP/USD 06/21/2017 BANKAM | 0.35% |
| INR/USD 05/17/2017 BANKAM | 0.35% |
| PHILLIPS 66 02.9500 05/01/2017 | 0.35% |
| ROYAL BANK OF CANADA USD 02.2000 07/27/2018 | 0.35% |
| SEK/USD 06/21/2017 BCAP-FX | 0.35% |
| SERVICE CORP INTL 05.3750 01/15/2022 | 0.35% |
| AT&T INC 01.7000 06/01/2017 | 0.34% |
| CONOCOPHILLIPS COMPANY 01.0500 12/15/2017 | 0.34% |
| EBAY INC 01.3500 07/15/2017 | 0.34% |
| EUR/USD 06/21/2017 CSI-FX | 0.34% |
| EUR/USD 06/21/2017 RBSF | 0.34% |
| EUR/USD 06/21/2017 WPAC | 0.34% |
| GBP/USD 06/21/2017 RBSF | 0.34% |
| IDR/USD 05/17/2017 CITI | 0.34% |
| JPMORGAN CHASE & CO 02.0000 08/15/2017 | 0.34% |
| SGD/USD 05/17/2017 BANKAM | 0.34% |
| SGD/USD 05/17/2017 SSBT | 0.34% |
| BRL/USD 07/03/2017 CITI | 0.33% |
| CAS 2016-C03 2M2 06.8817 10/25/2028 | 0.33% |
| GBP/USD 06/21/2017 SSBT | 0.33% |
| JPY/USD 05/17/2017 RBSF | 0.33% |
| MXN/USD 07/19/2017 BANKAM | 0.33% |
| NOK/USD 06/21/2017 CSI-FX | 0.33% |
| NOK/USD 06/21/2017 UBS | 0.33% |
| NZD/USD 04/19/2017 WPAC | 0.33% |
| WFRBS 2012-C9 XB IO P/P 144A 00.7048 11/15/2045 | 0.33% |
| AMERICAN EXPRESS CO 04.9000 12/29/2049 | 0.32% |
| AMERICAN EXPRESS COMPANY 07.0000 03/19/2018 | 0.32% |
| FNR 2011-4 CS 10.9367 05/25/2040 | 0.32% |
| VERIZON COMM P/P 144A 02.9460 03/15/2022 | 0.32% |
| ZAR/USD 07/19/2017 CITI | 0.32% |
| ZAR/USD 07/19/2017 GSFX | 0.32% |
| BACM 2006-4 AJ 05.6950 07/10/2046 | 0.31% |
| FNR 2013-27 PI IO 03.0000 12/25/2041 | 0.31% |
| GSMS 2012-GC6 D P/P 144A 05.6532 01/10/2045 | 0.31% |
| SIMON PROPERTY GROUP P/P 144A 01.5000 02/01/2018 | 0.31% |
| BCAP 2012-RR5 4A8 00.9483 06/26/2035 | 0.30% |
| FHR 4591 QI IO 03.5000 04/15/2046 | 0.30% |
| GNR 2015-20 PI IO 03.5000 02/20/2045 | 0.30% |
| NOK/USD 06/21/2017 BANKAM | 0.30% |
| STACR 2015-DN1 B 12.4817 01/25/2025 | 0.30% |
| WFRBS 2012-C7 D P/P 144A 04.8358 06/15/2045 | 0.30% |
| GNR 2015-H25 EI IO 01.8332 10/20/2065 | 0.29% |
| GNR 2016-H02 BI IO 02.2378 11/20/2065 | 0.29% |
| GNR 2016-H23 NI IO 02.5913 10/20/2066 | 0.29% |
| GSMS 2013-GC10 E P/P 144A 04.4105 02/10/2046 | 0.29% |
| JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 | 0.29% |
| JPY/USD 05/17/2017 GSFX | 0.29% |
| PETROLEOS MEXICANOS USD 04.5000 01/23/2026 | 0.29% |
| WFCM 2014-LC16 XA IO 01.3963 08/15/2050 | 0.29% |
| ARCHER-DANIELS-MIDLAND C 05.4500 03/15/2018 | 0.28% |
| COMM 2014-UBS6 XA IO 01.0469 12/10/2047 | 0.28% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.28% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.28% |
| JPMBB 2013-C14 D P/P 144A 04.5637 08/15/2046 | 0.28% |
| JPY/USD 05/17/2017 BCAP-FX | 0.28% |
| PETROLEOS MEXICANOS USD 05.5000 01/21/2021 | 0.28% |
| AMSTED INDUSTRIES P/P 144A 05.0000 03/15/2022 | 0.27% |
| GNR 2015-167 BI IO 04.5000 04/16/2045 | 0.27% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.27% |
| GNR 2015-H09 BI IO 01.6841 03/20/2065 | 0.27% |
| GNR 2015-H15 JI IO 01.9359 06/20/2065 | 0.27% |
| GSMS 2013-GC12 D P/P 144A 04.4641 06/10/2046 | 0.27% |
| CGCMT 2013-GC17 X IO 01.6000 11/10/2046 | 0.26% |
| COMM 2014-UBS4 XA IO 01.2441 08/10/2047 | 0.26% |
| FNR 2012-68 BS IO 05.0183 07/25/2042 | 0.26% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.26% |
| GNR 2015-H25 AI IO 01.6033 09/20/2065 | 0.26% |
| GSMS 2013-GC12 C 04.1790 06/10/2046 | 0.26% |
| MACQUARIE BANK LTD P/P 144A 04.0000 07/29/2025 | 0.26% |
| NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 | 0.26% |
| REP OF INDONESIA P/P 144A 03.3750 04/15/2023 | 0.26% |
| WBCMT 2006-C26 AJ 06.0867 06/15/2045 | 0.26% |
| WFRBS 2012-C10 E P/P 144A 04.4551 12/15/2045 | 0.26% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.25% |
| FHR 4182 PI IO 03.0000 12/15/2041 | 0.25% |
| GOLDMAN SACHS GROUP INC 02.3750 01/22/2018 | 0.25% |
| PETROLEOS DE VENEZUELA S REGS 09.0000 11/17/2021 | 0.25% |
| VALEANT PHARMA TLBF3 L+475 05.5000 04/01/2022 | 0.25% |
| YONKERS RACING 1STL L+325 04.2500 08/20/2019 | 0.25% |
| CWALT 2005-27 1A1 01.5186 08/25/2035 | 0.24% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.24% |
| GNR 2014-H14 CI IO 01.5731 07/20/2064 | 0.24% |
| JPMBB 2013-C17 D P/P 144A 04.8866 01/15/2047 | 0.24% |
| NATIONAL AUSTRALIA BK LT 02.3000 07/25/2018 | 0.24% |
| STACR 2015-DNA2 B 08.5317 12/25/2027 | 0.24% |
| TENET HEALTHCARE COR 04.6312 06/15/2020 | 0.24% |
| ADS WASTE TLB L+275 03.5000 10/28/2023 | 0.23% |
| BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 | 0.23% |
| CALPINE CONSTRUCT TLB2 L+250 03.4800 01/31/2022 | 0.23% |
| EUR/USD 06/21/2017 CITI | 0.23% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.23% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.23% |
| GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 | 0.23% |
| GSMS 2014-GC18 XA IO 01.1320 01/10/2047 | 0.23% |
| HCA INC 06.5000 02/15/2020 | 0.23% |
| LANDRY'S TLB L+325 04.2328 10/04/2023 | 0.23% |
| MSBAM 2014-C14 C 04.8301 02/15/2047 | 0.23% |
| CAD/USD 04/19/2017 RBSF | 0.22% |
| CELANESE US HOLDINGS LLC 05.8750 06/15/2021 | 0.22% |
| CLEAR CHNL WORLD 06.5000 11/15/2022 | 0.22% |
| CNO FINANCIAL GROUP INC 05.2500 05/30/2025 | 0.22% |
| GNR 2015-H10 EI IO 01.6252 04/20/2065 | 0.22% |
| GNR 2016-77 SC IO 05.1217 10/20/2045 | 0.22% |
| JPMCC 2007-CB20 C P/P 144A 06.2777 02/12/2051 | 0.22% |
| KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 | 0.22% |
| MOOG INC P/P 144A 05.2500 12/01/2022 | 0.22% |
| ONEMAIN FIN HLDG INC P/P 144A 06.7500 12/15/2019 | 0.22% |
| VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 | 0.22% |
| WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 | 0.22% |
| 1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 | 0.21% |
| BELDEN INC P/P 144A 05.5000 09/01/2022 | 0.21% |
| CAS 2016-C03 1B 12.7317 10/25/2028 | 0.21% |
| CHARTER COMM TLE L+200 02.9900 07/01/2020 | 0.21% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.21% |
| COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 | 0.21% |
| CROATIA P/P 144A 06.3750 03/24/2021 | 0.21% |
| EUR/USD 06/21/2017 BCAP-FX | 0.21% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.21% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.21% |
| PPD TL L+325 04.3278 08/18/2022 | 0.21% |
| SELECT INCOME REIT 03.6000 02/01/2020 | 0.21% |
| TRI POINTE GROUP / HOMES 05.8750 06/15/2024 | 0.21% |
| UBS GROUP FUNDING P/P 144A 03.0000 04/15/2021 | 0.21% |
| AMAYA GAMING TLB L+350 04.5000 08/01/2021 | 0.20% |
| ARDAGH PKG FIN/HLDGS P/P 144A 04.2500 09/15/2022 | 0.20% |
| AUD/USD 04/19/2017 CITI | 0.20% |
| BANK OF AMERICA CORP 01.7000 08/25/2017 | 0.20% |
| ELDORADO RESORTS TLB L+225 03.3982 03/16/2024 | 0.20% |
| ELDORADO RESORTS TLB L+325 04.2500 07/23/2022 | 0.20% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.20% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.20% |
| GNR 2015-H18 IA IO 01.8200 06/20/2065 | 0.20% |
| INTELSAT JACKSON TLB2 L+400 05.0000 06/30/2019 | 0.20% |
| JO-ANN STORES TL L+500 06.0000 10/21/2023 | 0.20% |
| JPMBB 2014-C19 XA IO 01.1862 04/15/2047 | 0.20% |
| LEVEL 3 TLB L+225 03.2837 02/22/2024 | 0.20% |
| NZD/USD 04/19/2017 BCAP-FX | 0.20% |
| RESTAURANT BRANDS TLB L+225 03.3087 02/17/2024 | 0.20% |
| RITE AID 2NDL L+387.5 04.8750 06/07/2021 | 0.20% |
| SBERBANK (SB CAP SA) P/P 144A 05.1250 10/29/2022 | 0.20% |
| SELECT INCOME REIT 02.8500 02/01/2018 | 0.20% |
| WFRBS 2011-C4 E P/P 144A 05.2482 06/15/2044 | 0.20% |
| AMERICAN EXPRESS CO 06.1500 08/28/2017 | 0.19% |
| BSCMS 2005-PWR9 C 05.0550 09/11/2042 | 0.19% |
| COMM 2014-CR17 C 04.8950 05/10/2047 | 0.19% |
| CSAIL 2015-C1 D P/P 144A 03.7997 04/15/2050 | 0.19% |
| FHR 4601 IC IO 04.0000 12/15/2045 | 0.19% |
| FIRST DATA TL L+300 03.9839 07/10/2022 | 0.19% |
| GATES GLOBAL LLC L+325 04.3968 07/06/2021 | 0.19% |
| GNR 2014-133 IP IO 05.0000 09/16/2044 | 0.19% |
| GNR 2015-H28 DI IO 01.5421 08/20/2065 | 0.19% |
| INFOR US INC P/P 144A 05.7500 08/15/2020 | 0.19% |
| LIBBEY GLASS TLB L+300 03.9894 04/09/2021 | 0.19% |
| TMS INTL TLB L+350 04.5565 10/16/2020 | 0.19% |
| USI INSURANCE TLB L+325 04.2500 12/27/2019 | 0.19% |
| WFRBS 2013-C16 D P/P 144A 04.9817 09/15/2046 | 0.19% |
| ASURION TLB4 L+325 04.2500 08/04/2022 | 0.18% |
| BMIR 2015-1A M2 05.2817 07/25/2025 | 0.18% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.18% |
| BERRY PLASTICS TLI L+250 03.5009 10/01/2022 | 0.17% |
| CFCRE 2011-C1 E P/P 144A 06.1269 04/15/2044 | 0.17% |
| CGCMT 2014-GC19 X IO 01.2304 03/10/2047 | 0.17% |
| CGCMT 2014-GC21 X IO 01.2681 05/10/2047 | 0.17% |
| EUR/USD 06/21/2017 HSBCB | 0.17% |
| FIDELITY NATIONAL INFORM 03.6250 10/15/2020 | 0.17% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.17% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.17% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.17% |
| HILTON WORLDWIDE TLB2 L+200 03.1300 10/25/2023 | 0.17% |
| JPMBB 2014-C24 XA IO 01.0688 11/15/2047 | 0.17% |
| JPY/USD 05/17/2017 BANKAM | 0.17% |
| JPY/USD 05/17/2017 UBS | 0.17% |
| RIO TINTO FIN USA LTD USD 09.0000 05/01/2019 | 0.17% |
| SOUTHERN COPPER CORP USD 05.8750 04/23/2045 | 0.17% |
| SYNIVERSE HLDG TLB L+300 04.0390 04/23/2019 | 0.17% |
| DEL MONTE 1STL L+325 04.3065 02/18/2021 | 0.16% |
| DIAGEO CAPITAL PLC USD 01.5000 05/11/2017 | 0.16% |
| ENERGY TRANSFER EQ TL L+275 02.7500 02/02/2024 | 0.16% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.16% |
| FNR 2012-151 PI IO 03.0000 01/25/2043 | 0.16% |
| GNR 2010-151 KO PO 00.0000 06/16/2037 | 0.16% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.16% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.16% |
| GNR 2013-79 PI IO 03.5000 04/20/2043 | 0.16% |
| GNR 2014-115 QI IO 03.0000 03/20/2029 | 0.16% |
| GNR 2016-136 YI IO 03.5000 03/20/2045 | 0.16% |
| GSMS 2015-GC30 XA IO 00.8982 05/10/2050 | 0.16% |
| JELD-WEN TLB L+300 04.0000 07/01/2022 | 0.16% |
| JPY/USD 05/17/2017 SSBT | 0.16% |
| KLX INC P/P 144A 05.8750 12/01/2022 | 0.16% |
| NEIMAN MARCUS TL L+325 04.2500 10/25/2020 | 0.16% |
| NOK/USD 06/21/2017 RBSF | 0.16% |
| SCIENTIFIC GAMES TLB3 L+400 04.8465 10/01/2021 | 0.16% |
| TRANSDIGM TLD L+300 04.1353 06/04/2021 | 0.16% |
| TRIBUNE MEDIA TLB L+300 03.7500 01/27/2024 | 0.16% |
| UNITEDHEALTH GROUP INC 06.0000 02/15/2018 | 0.16% |
| USG CORP P/P 144A 05.5000 03/01/2025 | 0.16% |
| WFRBS 2012-C10 C 04.3901 12/15/2045 | 0.16% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.15% |
| FNR 2012-62 MI IO 04.0000 03/25/2041 | 0.15% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.15% |
| FNR 2014-76 IO IO 03.5000 11/25/2039 | 0.15% |
| GNR 2012-71 JI IO 03.5000 04/16/2041 | 0.15% |
| GSAA 2005-15 2A2 01.2317 01/25/2036 | 0.15% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.15% |
| STACR 2016-DNA1 B 10.9817 07/25/2028 | 0.15% |
| UNIVISION TLC5 L+275 03.7500 03/15/2024 | 0.15% |
| VISTRA TLB L+275 03.5000 08/04/2023 | 0.15% |
| WFCM 2013-LC12 C 04.2961 07/15/2046 | 0.15% |
| ACADEMY SPORTS TLB L+400 05.0550 07/02/2022 | 0.14% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.14% |
| CROWN CASTLE INTL CORP. 05.2500 01/15/2023 | 0.14% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.14% |
| GNR 2013-53 IA IO 04.0000 12/20/2026 | 0.14% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2030 | 0.14% |
| HOST HOTELS & RESORTS LP 06.0000 10/01/2021 | 0.14% |
| SOCIETE GENERALE USD 02.7500 10/12/2017 | 0.14% |
| STACR 2015-DNA3 M3 05.6817 04/25/2028 | 0.14% |
| TENET HEALTHCARE 06.2500 11/01/2018 | 0.14% |
| WFRBS 2011-C5 XA IO P/P 144A 01.7667 11/15/2044 | 0.14% |
| WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 | 0.14% |
| AUD/USD 04/19/2017 WPAC | 0.13% |
| CAD/USD 04/19/2017 GSFX | 0.13% |
| CERIDIAN TLB2 L+350 04.5000 09/15/2020 | 0.13% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.13% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.13% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 0.13% |
| GNR 2013-76 IO IO 03.5000 05/20/2043 | 0.13% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.13% |
| AMERICAN CASINO TLB L+325 04.2500 07/07/2022 | 0.12% |
| ANHEUSER-BUSCH INBEV FIN 01.2500 01/17/2018 | 0.12% |
| AUTONATION INC. 05.5000 02/01/2020 | 0.12% |
| CALPINE CONS FIN TLB1 L+225 03.2300 05/03/2020 | 0.12% |
| COMM 2006-C8 AJ 05.3770 12/10/2046 | 0.12% |
| FHR 2990 LB 14.6141 06/15/2034 | 0.12% |
| GNR 2011-H08 GI IO 01.2474 03/20/2061 | 0.12% |
| HELLENIC REPUBLIC P/P REGS 03.3750 07/17/2017 | 0.12% |
| JPMBB 2014-C19 C 04.6669 04/15/2047 | 0.12% |
| LENNAR CORP 04.7500 11/15/2022 | 0.12% |
| MXN/USD 04/19/2017 CITI | 0.12% |
| ORTHO-CLINICAL TLB L+375 04.7500 06/30/2021 | 0.12% |
| SAMI 2007-AR1 2A1 01.1617 01/25/2037 | 0.12% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | 0.12% |
| WFRBS 2011-C5 E P/P 144A 05.6731 11/15/2044 | 0.12% |
| AMAG PHARMA TLB L+375 04.7500 08/17/2021 | 0.11% |
| COMM 2014-LC15 XA IO 01.3548 04/10/2047 | 0.11% |
| EUR/USD 06/21/2017 JPMCB | 0.11% |
| HELLENIC REPUBLIC P/P REGS 04.7500 04/17/2019 | 0.11% |
| HKD/USD 05/17/2017 BANKAM | 0.11% |
| IASIS HEALTHCARE TLB L+325 04.5000 05/03/2018 | 0.11% |
| JC PENNEY CORP INC 08.1250 10/01/2019 | 0.11% |
| JPMBB 2014-C25 D P/P 144A 03.9481 11/15/2047 | 0.11% |
| JPMBB 2014-C26 C 04.4259 01/15/2048 | 0.11% |
| JPMBB 2014-C26 D P/P 144A 03.9259 01/15/2048 | 0.11% |
| LENNAR CORPORATION 04.7500 04/01/2021 | 0.11% |
| ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 | 0.11% |
| SPRINT COMM P/P 144A 09.0000 11/15/2018 | 0.11% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.11% |
| ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 | 0.11% |
| AMER ENERGY MARC 1STL L+425 05.2840 08/04/2020 | 0.10% |
| AMSTED INDUSTRIES P/P 144A 05.3750 09/15/2024 | 0.10% |
| BELDEN INC P/P 144A 05.2500 07/15/2024 | 0.10% |
| CITYCENTER TLB L+275 03.7322 10/16/2020 | 0.10% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.10% |
| CWALT 2006-OA7 1A1 02.2800 06/25/2046 | 0.10% |
| ENBRIDGE INC USD 04.2500 12/01/2026 | 0.10% |
| GNR 2011-17 S IO 05.0717 02/20/2041 | 0.10% |
| GNR 2014-145 PI IO 03.5000 10/20/2029 | 0.10% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.10% |
| GRIFOLS TLB L+225 03.2879 01/31/2025 | 0.10% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2036 | 0.10% |
| PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 | 0.10% |
| RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 | 0.10% |
| SPRINT TLB L+250 03.5000 02/02/2024 | 0.10% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.10% |
| SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP | 0.10% |
| SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP | 0.10% |
| CPG INTL TLB L+375 04.8968 09/30/2020 | 0.09% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.09% |
| GREEKTOWN TLB L+300 03.7500 03/20/2024 | 0.09% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2032 | 0.09% |
| INFOR TLB6 L+275 03.7500 02/01/2022 | 0.09% |
| SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA | 0.09% |
| SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA | 0.09% |
| TRANSDIGM TLC L+300 04.1172 02/28/2020 | 0.09% |
| UBSBB 2012-C2 XA IO P/P 144A 01.5830 05/10/2063 | 0.09% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.08% |
| CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 | 0.08% |
| CAESARS GROWTH PROP TL L+525 06.2500 05/08/2021 | 0.08% |
| CAS 2015-C01 1M2 05.2817 02/25/2025 | 0.08% |
| CHF/USD 06/21/2017 JPMCB | 0.08% |
| CHUCK E CHEESE'S TLB L+300 04.0000 02/14/2021 | 0.08% |
| GNR 2016-H11 HI IO 02.0833 01/20/2066 | 0.08% |
| JPMCC 2007-CB20 AJ 06.1777 02/12/2051 | 0.08% |
| PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 | 0.08% |
| REP OF ARGENTINA P/P 144A 06.6250 07/06/2028 | 0.08% |
| US TREASURY N/B 02.0000 09/30/2020 | 0.08% |
| AUD/USD 04/19/2017 CSI-FX | 0.07% |
| CSFB 2005-C3 B 04.8820 07/15/2037 | 0.07% |
| CWALT 2006-OA10 4A1 01.1717 08/25/2046 | 0.07% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.07% |
| GBP/USD 06/21/2017 GSFX | 0.07% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.07% |
| GNR 2013-99 VS IO 05.1717 07/16/2043 | 0.07% |
| GNR 2014-46 KI IO 03.0000 06/20/2036 | 0.07% |
| JPMCC 2012-LC9 D P/P 144A 04.4128 12/15/2047 | 0.07% |
| JPMORGAN CHASE & CO 03.8750 09/10/2024 | 0.07% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.07% |
| REP OF INDONESIA P/P 144A 05.9500 01/08/2046 | 0.07% |
| SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI | 0.07% |
| CAS 2015-C01 2M2 05.5317 02/25/2025 | 0.06% |
| CHF/USD 06/21/2017 BCAP-FX | 0.06% |
| FNR 2007-53 SP 20.6005 06/25/2037 | 0.06% |
| FNR 2013-35 IP IO 03.0000 06/25/2042 | 0.06% |
| GBP/USD 06/21/2017 BCAP-FX | 0.06% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2023 | 0.06% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2024 | 0.06% |
| HOST HOTELS & RESORTS 05.2500 03/15/2022 | 0.06% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 0.06% |
| NOK/USD 06/21/2017 JPMCB | 0.06% |
| STACR 2016-DNA2 B 11.4817 10/25/2028 | 0.06% |
| CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 | 0.05% |
| FEDEX 2012 TRUST P/P 144A 02.6250 01/15/2018 | 0.05% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.05% |
| GNR 2012-47 CI IO 04.0000 03/20/2042 | 0.05% |
| VANTAGE DRILLING INT-UNIT | 0.05% |
| 3.75 R ISWP FWD NFIX3MID P 06/21/2027 | 0.04% |
| ARGENTINE REPUBLIC REGS 07.6250 04/22/2046 | 0.04% |
| AUD/USD 04/19/2017 HSBCB | 0.04% |
| CAS 2015-C02 2M2 04.9817 05/25/2025 | 0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | 0.04% |
| FHR 3249 PS 19.2647 12/15/2036 | 0.04% |
| FNR 2005-75 GS 17.3050 08/25/2035 | 0.04% |
| GNR 2012-48 KI IO 03.5000 12/16/2039 | 0.04% |
| HESS CORP 07.3000 08/15/2031 | 0.04% |
| MALLINCKRODT FIN/SB P/P 144A 05.5000 04/15/2025 | 0.04% |
| OPTN FN30 3.0 06/06/17 CALL 98.5078125 JPMC | 0.04% |
| OPTN FN30 3.0 06/06/17 CALL 98.6328125 JPMC | 0.04% |
| SWPTN 13WX20Y R 2.62 USD 05/02/2017 BC | 0.04% |
| CAS 2014-C03 1M2 03.9817 07/25/2024 | 0.03% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | 0.03% |
| CROATIA P/P 144A 06.2500 04/27/2017 | 0.03% |
| FHR 2976 LC 21.0752 05/15/2035 | 0.03% |
| FNS 397 2 IO 05.0000 09/25/2039 | 0.03% |
| HKD/USD 05/17/2017 CSI-FX | 0.03% |
| HKD/USD 05/17/2017 JPMCB | 0.03% |
| JPY/USD 05/17/2017 JPMCB | 0.03% |
| OPTN FN30 3.0 06/06/17 CALL 98.7578125 JPMC | 0.03% |
| SWPTN 13WX10Y R 2.4427 USD 05/03/2017 JP | 0.03% |
| SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA | 0.03% |
| SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA | 0.03% |
| VISTRA TLC L+275 03.5000 08/04/2023 | 0.03% |
| 1.35 R ISWP FWD SES3M P 06/21/2027 | 0.02% |
| 1.70 R ISWP FWD CDOR03 P 06/21/2022 | 0.02% |
| 2.15 R ISWP FWD CDOR03 P 06/21/2027 | 0.02% |
| 3.20 R ISWP FWD NFIX3MID P 06/21/2022 | 0.02% |
| CAS 2016-C06 1M2 05.2317 04/25/2029 | 0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.02% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.02% |
| FNR 2005-74 NK 22.5917 05/25/2035 | 0.02% |
| FNW 1998-W2 X IO 02.8895 06/25/2028 | 0.02% |
| GNR 2010-103 DI IO 04.5000 12/20/2038 | 0.02% |
| HKD/USD 05/17/2017 HSBCB | 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 13WX10Y R 2.9498 USD 05/03/2017 JP | 0.02% |
| SWPTN 3MX10Y R 0.843 EUR 06/29/2017 JP | 0.02% |
| SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI | 0.02% |
| USD/MXN PUT 19.00 20170421 GSFX | 0.02% |
| 0.80 R ISWP FWD GBL6M P 06/21/2022 | 0.01% |
| 2.10 R ISWP FWD NOKOIB6M P 06/21/2027 | 0.01% |
| 2.70 R ISWP FWD USL3M P 06/21/2047 | 0.01% |
| 2.905 R ISWP BUBOR06M P 03/20/2027 | 0.01% |
| 7.785 R ISWP JIBA3M P 03/24/2027 | 0.01% |
| CAS 2015-C02 1M2 04.9817 05/25/2025 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 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% |
| CONTL AIRLINES 1997-4 06.9000 01/02/2018 | 0.01% |
| CONTL AIRLINES 1998-1 06.6480 09/15/2017 | 0.01% |
| CPTFEMU R 0.27 P 08/31/17 GS | 0.01% |
| CPTFEMU R 0.37 P 09/01/17 GS | 0.01% |
| CPTFEMU R 0.435 P 09/15/17 BC | 0.01% |
| CPTFEMU R 0.4975 P 09/15/17 BC | 0.01% |
| FNR 2007-44 CO PO 00.0000 05/25/2037 | 0.01% |
| FNW 1998-W5 X IO 01.2247 07/25/2028 | 0.01% |
| GNR 2011-18 PI IO 04.5000 08/20/2040 | 0.01% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2033 | 0.01% |
| HELLENIC REPUBLIC REGS 03.0000 02/24/2040 | 0.01% |
| IOS.FN30.400.13 P USL1M R 01/12/44 JP | 0.01% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | 0.01% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | 0.01% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.01% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 GS | 0.01% |
| NOK/USD 06/21/2017 GSFX | 0.01% |
| NZD/USD 04/19/2017 RBSF | 0.01% |
| OPTN FN30 3.5 05/04/17 PUT 100.828125 JPMC | 0.01% |
| OPTN FN30 3.5 05/04/17 PUT 100.953125 JPMC | 0.01% |
| STRU BC-6764 IO IO 04.0000 07/20/2045 | 0.01% |
| SWPTN 1MX10Y R 2.297 USD 04/13/2017 CI | 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 3MX10Y R 2.3125 USD 04/13/2017 BA | 0.01% |
| SWPTN 3MX10Y R 2.3525 USD 04/13/2017 JP | 0.01% |
| SWPTN 3MX1Y P 1.34 USD 04/04/2017 CI | 0.01% |
| SWPTN 3MX1Y R 1.54 USD 06/02/2017 BA | 0.01% |
| SWPTN 6MX1Y P 0.51 GBP 09/18/2017 BC | 0.01% |
| SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA | 0.01% |
| SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA | 0.01% |
| TRIBUNE MEDIA TLB L+300 03.7700 12/27/2020 | 0.01% |
| ZAR/USD 04/19/2017 CITI | 0.01% |
| ZAR/USD 04/19/2017 CITI | 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% |
| -0.40 R ISWP FWD CHL6M P 06/21/2022 | 0.00% |
| 0.10 R ISWP FWD CHL6M P 06/21/2027 | 0.00% |
| 0.513 R ISWP FWD SES3M P 03/22/2020 | 0.00% |
| 0.69 R ISWP BUBOR06M P 03/01/2019 | 0.00% |
| 0.745 R ISWP BUBOR06M P 03/20/2019 | 0.00% |
| 0.918 R ISWP FWD GBL6M P 02/11/2020 | 0.00% |
| 0.955 R ISWP FWD GBL6M P 02/14/2020 | 0.00% |
| 1.00 R ISWP FWD EURIBOR6MD P 06/21/2027 | 0.00% |
| 1.25 R ISWP FWD GBL6M P 06/21/2027 | 0.00% |
| 1.665 R ISWP FWD EURIBOR6MD P 01/24/2032 | 0.00% |
| 1.75 R ISWP FWD NOKOIB6M P 06/21/2022 | 0.00% |
| 2.388 R ISWP FWD AUDBB3M P 02/13/2020 | 0.00% |
| 2.39859 R ISWP USL3M P 04/04/2027 | 0.00% |
| 2.446 R ISWP FWD AUDBB3M P 02/15/2020 | 0.00% |
| 2.475 R ISWP FWD AUDBB3M P 02/15/2020 | 0.00% |
| 2.516 R ISWP FWD AUDBB3M P 02/16/2020 | 0.00% |
| 2.60 R ISWP BUBOR06M P 03/01/2027 | 0.00% |
| 2.60 R ISWP FWD AUDBB6M P 06/28/2022 | 0.00% |
| 2.65 R ISWP BUBOR06M P 02/28/2027 | 0.00% |
| 2.65 R ISWP FWD USL3M P 06/21/2027 | 0.00% |
| 3.00 R ISWP FWD AUDBB6M P 06/28/2027 | 0.00% |
| 3.0475 R ISWP FWD NFIX3MID P 03/29/2020 | 0.00% |
| 3.14 R ISWP FWD NFIX3MID P 02/13/2020 | 0.00% |
| 7.305 R ISWP JIBA3M P 03/09/2019 | 0.00% |
| 7.67 R ISWP MXIBTIIE P 03/09/2032 | 0.00% |
| 7.67 R ISWP MXIBTIIE P 03/12/2032 | 0.00% |
| 8.32625 R ISWP JIBA3M P 10/11/2026 | 0.00% |
| BACM 2004-4 XC IO P/P 144A 00.0188 07/10/2042 | 0.00% |
| BACM 2007-1 XW IO 00.3005 01/15/2049 | 0.00% |
| BRL/USD 07/03/2017 JPMCB | 0.00% |
| BRL/USD 07/03/2017 JPMCB | 0.00% |
| BSCMS 2005-T18 D 05.1340 02/13/2042 | 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 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 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 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 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | 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% |
| CPTFEMU R 0.46 P 09/15/17 BC | 0.00% |
| CPTFEMU R 0.63 P 08/10/17 GS | 0.00% |
| CPTFEMU R 0.63 P 08/11/17 GS | 0.00% |
| CSFB 2003-C3 AX IO P/P 144A 02.0023 05/15/2038 | 0.00% |
| EUR/JPY CALL 127.50 20170612 BANKAM | 0.00% |
| EURO-OAT FUTURE JUN17 OATM7 | 0.00% |
| FNR 2004-10 QC 24.6733 06/25/2031 | 0.00% |
| FSPC T-48 AIO2 IO 00.2120 07/25/2033 | 0.00% |
| FSPC T-59 1AX IO 00.2747 10/25/2043 | 0.00% |
| FSPC T-8 A9 IO 00.4467 11/15/2028 | 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 01.1470 12/19/2026 | 0.00% |
| GSMPS 1999-2 IO IO 00.8396 09/19/2027 | 0.00% |
| IDR/USD 05/17/2017 JPMCB | 0.00% |
| IDR/USD 05/17/2017 JPMCB | 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 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.FN30.600.08 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 05/17/2017 CITI | 0.00% |
| JPY/USD 05/17/2017 CITI | 0.00% |
| KRW/USD 05/17/2017 GSFX | 0.00% |
| KRW/USD 05/17/2017 JPMCB | 0.00% |
| LBUBS 2007-C2 XW IO 00.7088 02/15/2040 | 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.FN30.600.08 P USL1M R 01/12/39 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 00.0052 06/12/2043 | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.1328125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.2578125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.3828125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.703125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.5625 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.6875 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.8125 JPMC | 0.00% |
| SWPTN 1MX10Y P 2.58 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.6 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.695 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.715 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.7655 USD 04/21/2017 CI | 0.00% |
| SWPTN 1MX10Y P 2.81 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.83 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.8945 USD 04/13/2017 CI | 0.00% |
| SWPTN 1MX10Y R 2.163 USD 04/21/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.34 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.63875 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.698 USD 06/02/2017 BA | 0.00% |
| SWPTN 3MX1Y R 1.75125 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.86375 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX3Y P 1.942 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX3Y R 1.652 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX5Y R 2.69 USD 04/13/2017 JP | 0.00% |
| SWPTN 5WX10Y P 2.8625 USD 04/10/2017 BA | 0.00% |
| SWPTN 5WX10Y R 2.265 USD 04/10/2017 BA | 0.00% |
| SWPTN 5WX1Y R 1.425 USD 04/03/2017 BC | 0.00% |
| SWPTN 5WX1Y R 1.426 USD 04/24/2017 JP | 0.00% |
| SWPTN 5WX1Y R 2.06 USD 04/24/2017 JP | 0.00% |
| SWPTN 5WX1Y R 2.13975 USD 04/03/2017 BC | 0.00% |
| SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA | 0.00% |
| UKRPI P 3.4531 R 11/03/26 BC | 0.00% |
| UKRPI P 3.52 R 11/18/26 GS | 0.00% |
| UKRPI P 3.56 R 11/10/26 GS | 0.00% |
| US 10YR ULTRA FUT JUN17 UXYM7 | 0.00% |
| USD/MXN PUT 18.25 20170421 GSFX | 0.00% |
| WBCMT 2006-C29 IO IO 00.2778 11/15/2048 | 0.00% |
| 0.028 R ISWP FWD EONIA P 03/22/2020 | -0.01% |
| 0.55 R ISWP FWD SES3M P 06/21/2022 | -0.01% |
| 0.715 R ISWP BUBOR06M P 02/28/2019 | -0.01% |
| 2.50 R ISWP FWD USL3M P 06/21/2027 | -0.01% |
| 5.895 R ISWP MXIBTIIE P 10/08/2021 JP | -0.01% |
| 6.09 R ISWP MXIBTIIE P 10/26/2021 JP | -0.01% |
| 7.11 R ISWP JIBA3M P 03/24/2019 | -0.01% |
| 7.715 R ISWP MXIBTIIE P 12/03/2026 | -0.01% |
| 8.12 R ISWP MXIBTIIE P 12/24/2026 | -0.01% |
| 8.20 R ISWP MXIBTIIE P 01/07/2027 | -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 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 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% |
| EUR/JPY PUT 115.30 20170612 BANKAM | -0.01% |
| IOS.FN30.400.13 R USL1M P 01/12/44 CS | -0.01% |
| IOS.GII30.500.10 R USL1M P 01/12/41 CS | -0.01% |
| KRW/USD 05/17/2017 GSFX | -0.01% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -0.01% |
| NOK/USD 06/21/2017 GSFX | -0.01% |
| OPTN FN30 3.0 06/06/17 CALL 100.0078125 JPMC | -0.01% |
| OPTN FN30 3.0 06/06/17 CALL 100.1328125 JPMC | -0.01% |
| SWPTN 3MX1Y R 1.993 USD 06/02/2017 BA | -0.01% |
| SWPTN 3MX30Y R 1.389 EUR 06/29/2017 JP | -0.01% |
| SWPTN 3MX5Y R 2.01 USD 04/13/2017 BA | -0.01% |
| SWPTN 3MX5Y R 2.05 USD 04/13/2017 JP | -0.01% |
| SWPTN 3MX5Y R 2.6475 USD 04/13/2017 BA | -0.01% |
| SWPTN 6MX1Y P 1.736 USD 09/18/2017 BC | -0.01% |
| SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI | -0.01% |
| SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA | -0.01% |
| SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC | -0.01% |
| SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC | -0.01% |
| 1.75 R ISWP FWD USL3M P 06/21/2019 | -0.02% |
| 1.912 R ISWP FWD GBL6M P 01/19/2032 | -0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | -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 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% |
| HKD/USD 05/17/2017 HSBCB | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.3203125 JPMC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.4453125 JPMC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.8828125 JPMC | -0.02% |
| SWPTN 13WX10Y R 2.4 USD 05/02/2017 BC | -0.02% |
| SWPTN 13WX10Y R 2.905 USD 05/02/2017 BC | -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% |
| 2.30 R ISWP FWD USL3M P 06/21/2022 | -0.03% |
| 5.93 R ISWP MXIBTIIE P 10/06/2021 JP | -0.03% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 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-.6 2063-05-11 300.0 05/11/2063 JP | -0.03% |
| HKD/USD 05/17/2017 CSI-FX | -0.03% |
| HKD/USD 05/17/2017 JPMCB | -0.03% |
| JPY/USD 05/17/2017 JPMCB | -0.03% |
| KRW/USD 05/17/2017 JPMCB | -0.03% |
| NZD/USD 04/19/2017 RBSF | -0.03% |
| OPTN FN30 3.0 06/06/17 CALL 99.1953125 JPMC | -0.03% |
| SWPTN 13WX10Y R 2.206 USD 06/12/2017 CI | -0.03% |
| SWPTN 1MX10Y R 2.435 USD 04/13/2017 BC | -0.03% |
| SWPTN 1MX10Y R 2.43 USD 04/10/2017 CS | -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% |
| 2.20 R ISWP FWD USL3M P 06/21/2022 | -0.05% |
| AUD/USD 04/19/2017 HSBCB | -0.05% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.05% |
| SWPTN 13WX20Y R 2.6657 USD 05/03/2017 JP | -0.05% |
| AUD/USD 04/19/2017 CSI-FX | -0.06% |
| CHF/USD 06/21/2017 BCAP-FX | -0.06% |
| GBP/USD 06/21/2017 BCAP-FX | -0.06% |
| NOK/USD 06/21/2017 JPMCB | -0.06% |
| 6.16 R ISWP MXIBTIIE P 01/01/2026 JP | -0.07% |
| GBP/USD 06/21/2017 GSFX | -0.07% |
| CHF/USD 06/21/2017 JPMCB | -0.08% |
| SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA | -0.08% |
| SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP | -0.08% |
| 0.40 R ISWP FWD EURIBOR6MD P 06/21/2022 | -0.09% |
| SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA | -0.09% |
| SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP | -0.09% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.10% |
| FLR USL3M 6.00 03/07/2018 JP | -0.10% |
| HKD/USD 05/17/2017 BANKAM | -0.11% |
| MXN/USD 04/19/2017 CITI | -0.11% |
| SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA | -0.11% |
| SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA | -0.11% |
| EUR/USD 06/21/2017 JPMCB | -0.12% |
| CAD/USD 04/19/2017 GSFX | -0.13% |
| AUD/USD 04/19/2017 WPAC | -0.14% |
| SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.14% |
| SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP | -0.14% |
| JPY/USD 05/17/2017 BANKAM | -0.17% |
| JPY/USD 05/17/2017 SSBT | -0.17% |
| JPY/USD 05/17/2017 UBS | -0.17% |
| NOK/USD 06/21/2017 RBSF | -0.17% |
| AUD/USD 04/19/2017 CITI | -0.18% |
| CDX CDX.NA.HY.27 500.0 12/20/2021 | -0.18% |
| EUR/USD 06/21/2017 HSBCB | -0.18% |
| NZD/USD 04/19/2017 BCAP-FX | -0.20% |
| EUR/USD 06/21/2017 BCAP-FX | -0.21% |
| CAD/USD 04/19/2017 RBSF | -0.22% |
| EUR/USD 06/21/2017 CITI | -0.24% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.28% |
| JPY/USD 05/17/2017 BCAP-FX | -0.29% |
| JPY/USD 05/17/2017 GSFX | -0.29% |
| NOK/USD 06/21/2017 BANKAM | -0.29% |
| ZAR/USD 07/19/2017 CITI | -0.31% |
| ZAR/USD 07/19/2017 GSFX | -0.31% |
| BRL/USD 07/03/2017 CITI | -0.33% |
| GBP/USD 06/21/2017 RBSF | -0.33% |
| GBP/USD 06/21/2017 SSBT | -0.33% |
| IDR/USD 05/17/2017 CITI | -0.33% |
| MXN/USD 07/19/2017 BANKAM | -0.33% |
| NOK/USD 06/21/2017 CSI-FX | -0.33% |
| NZD/USD 04/19/2017 WPAC | -0.33% |
| AUD/USD 04/19/2017 BANKAM | -0.34% |
| AUD/USD 04/19/2017 RBSF | -0.34% |
| EUR/USD 06/21/2017 CSI-FX | -0.34% |
| INR/USD 05/17/2017 BANKAM | -0.34% |
| JPY/USD 05/17/2017 RBSF | -0.34% |
| NOK/USD 06/21/2017 UBS | -0.34% |
| SEK/USD 06/21/2017 BCAP-FX | -0.34% |
| SGD/USD 05/17/2017 BANKAM | -0.34% |
| SGD/USD 05/17/2017 SSBT | -0.34% |
| EUR/USD 06/21/2017 RBSF | -0.35% |
| EUR/USD 06/21/2017 WPAC | -0.35% |
| GBP/USD 06/21/2017 BANKAM | -0.35% |
| SEK/USD 06/21/2017 BANKAM | -0.35% |
| SEK/USD 06/21/2017 CSI-FX | -0.35% |
| GBP/USD 06/21/2017 CSI-FX | -0.37% |
| GBP/USD 06/21/2017 JPMCB | -0.39% |
| EUR/USD 06/21/2017 GSFX | -0.40% |
| NZD/USD 04/19/2017 JPMCB | -0.40% |
| AUD/USD 04/19/2017 BCAP-FX | -0.42% |
| GBP/USD 06/21/2017 CITI | -0.44% |
| NOK/USD 06/21/2017 CITI | -0.49% |
| NZD/USD 04/19/2017 SSBT | -0.49% |
| AUD/USD 04/19/2017 SSBT | -0.50% |
| NZD/USD 04/19/2017 CSI-FX | -0.50% |
| AUD/USD 04/19/2017 UBS | -0.51% |
| SEK/USD 06/21/2017 RBSF | -0.51% |
| NZD/USD 04/19/2017 BANKAM | -0.52% |
| EUR/USD 06/21/2017 BANKAM | -0.53% |
| SEK/USD 06/21/2017 JPMCB | -0.53% |
| NZD/USD 04/19/2017 CITI | -0.65% |
| SEK/USD 06/21/2017 CITI | -0.66% |
| BRL/USD 07/03/2017 BANKAM | -0.67% |
| CLP/USD 07/19/2017 BANKAM | -0.67% |
| EUR/USD 06/21/2017 SSBT | -0.67% |
| INR/USD 05/17/2017 GSFX | -0.67% |
| SEK/USD 06/21/2017 SSBT | -0.69% |
| NZD/USD 04/19/2017 GSFX | -0.87% |
| SEK/USD 06/21/2017 GSFX | -0.87% |
| NZD/USD 04/19/2017 UBS | -1.00% |
| SEK/USD 06/21/2017 UBS | -1.00% |
| FNMA FN30 TBA 04.0000 05/01/2047 | -1.06% |
| AUD/USD 04/19/2017 JPMCB | -1.32% |
| EUR/USD 06/21/2017 UBS | -1.59% |
| FNMA FN30 TBA 03.0000 05/01/2047 | -13.61% |
Prior top 10 holdings
| Top 10 holdings as of 04/30/17 | |
|---|---|
| Fnma Fn30 Tba 03.5000 06/01/2047 | |
| Net cash | |
| Fnma Fn30 Tba 02.5000 05/01/2047 | |
| Fhr 3835 Fo Po 00.0000 04/15/2041 | |
| Fnma Fn30 Tba 04.5000 05/01/2047 | |
| Anheuser-Busch Inbev Fin 01.9000 02/01/2019 | |
| Air Lease Corp 02.6250 09/04/2018 | |
| Fhr 3852 Nt 05.0056 05/15/2041 | |
| Anheuser-Busch Inbev Fin 03.6500 02/01/2026 | |
| Cgcmt 2013-Gc17 D P/P 144a 05.1042 11/10/2046 | |
| Holdings represent 38.31% of portfolio | |
| Top 10 holdings as of 03/31/17 | |
|---|---|
| Fnma Fn30 Tba 03.5000 05/01/2047 | |
| Net cash | |
| Fnma Fn30 Tba 02.5000 04/01/2047 | |
| Fhr 3835 Fo Po 00.0000 04/15/2041 | |
| Anheuser-Busch Inbev Fin 01.9000 02/01/2019 | |
| Air Lease Corp 02.6250 09/04/2018 | |
| Fhr 3852 Nt 05.0878 05/15/2041 | |
| Anheuser-Busch Inbev Fin 03.6500 02/01/2026 | |
| Cgcmt 2013-Gc17 D P/P 144a 05.1042 11/10/2046 | |
| Russian Federation P/P 144a 05.6250 04/04/2042 | |
| Holdings represent 37.78% of portfolio | |
| Top 10 holdings as of 02/28/17 | |
|---|---|
| Fnma Fn30 Tba 03.5000 04/01/2047 | |
| Net cash | |
| Fnma Fn30 Tba 02.5000 03/01/2047 | |
| Fhr 3835 Fo Po 00.0000 04/15/2041 | |
| Anheuser-Busch Inbev Fin 01.9000 02/01/2019 | |
| Air Lease Corp 02.6250 09/04/2018 | |
| Fhr 3852 Nt 05.2300 05/15/2041 | |
| Anheuser-Busch Inbev Fin 03.6500 02/01/2026 | |
| Cgcmt 2013-Gc17 D P/P 144a 05.1038 11/10/2046 | |
| Cwalt 2005-59 1a1 01.1094 11/20/2035 | |
| Holdings represent 39.36% of portfolio | |
| Top 10 holdings as of 01/31/17 | |
|---|---|
| Fnma Fn30 Tba 03.5000 03/01/2047 | |
| Net cash | |
| Fnma Fn30 Tba 02.5000 03/01/2047 | |
| Fhr 3835 Fo Po 00.0000 04/15/2041 | |
| Anheuser-Busch Inbev Fin 01.9000 02/01/2019 | |
| Air Lease Corp 02.6250 09/04/2018 | |
| Fhr 3852 Nt 05.2328 05/15/2041 | |
| Anheuser-Busch Inbev Fin 03.6500 02/01/2026 | |
| Cgcmt 2013-Gc17 D P/P 144a 05.1039 11/10/2046 | |
| Cwalt 2005-59 1a1 01.1067 11/20/2035 | |
| Holdings represent 39.70% of portfolio | |
Portfolio composition as of 04/30/17
| Commercial MBS | 24.63% |
|
|---|---|---|
| Investment-grade corporate bonds | 22.88% |
|
| Agency CMO | 19.90% |
|
| Agency pass-through | 13.61% |
|
| Net cash | 9.55% |
|
| Bank loans | 8.66% |
|
| Residential MBS (non-agency) | 6.62% |
|
| Emerging-market bonds | 4.70% |
|
| High-yield corporate bonds | 2.85% |
|
| International Treasury/agency | 1.58% |
|
| Asset-backed securities (ABS) | 0.68% |
|
| U.S. Treasury/agency | 0.08% |
|
| Equity investments | 0.05% |
|
Fixed income statistics as of 04/30/17
| Average effective maturity | 6.14 yrs. |
|---|---|
| Average effective duration | 0.97 yrs. |
| Average price | $83.07 |
Maturity detail as of 04/30/17
| 0 - 1 yr. | 1.56% |
|---|---|
| 1 - 5 yrs. | 31.03% |
| 5 - 10 yrs. | 61.30% |
| 10 - 15 yrs. | 3.18% |
| Over 15 yrs. | 2.93% |
Quality rating as of 04/30/17
| AAA | 40.46% |
|---|---|
| AA | 0.81% |
| A | 15.98% |
| BBB | 20.85% |
| BB | 14.08% |
| B | 7.86% |
| CCC and Below | 4.42% |
| Not Rated | -4.46% |
Fund characteristics will vary over time.
Due to rounding, percentages may not equal 100%.
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 BofA Merrill Lynch 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 asset classes may hurt performance. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. 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 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 effort 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. The fund's effort 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.
Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.
Credit qualities are shown as a percentage of net assets as of the date indicated above. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.