Absolute Return 500 Fund  (PJMDX)

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 500 basis points (or 5.00%) 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 multiple asset classes 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 $11.61
-0.09% | $-0.01
$11.62
12/11/17
$10.74
12/16/16
Historical fund price

Fund facts as of 11/30/17

Total net assets
$940.67M
Turnover (fiscal year end)
522%
Dividend frequency
Annually
Number of holdings
877
Fiscal year-end
October
CUSIP / Fund code
746764703 / 0060
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PJMDX

Management team


Co-Head of Global Asset Allocation

Co-Head of Global Asset Allocation

Chief Investment Officer, Global Asset Allocation

Co-Head of Global Asset Allocation


Manager commentary | Q3 2017

Managing risk in a low-volatility environment

Jason Vaillancourt, Co-Head of Global Asset Allocation, discusses the use of non-directional strategies for risk management.


Literature


Market sectors that might lead in 2018
Technology’s strength seems set to continue, but with the prospect of rising rates, financials may also be among the leading market sectors.
Just how cheap are European equities?
Our analysis finds that industry group weightings play a significant role in valuation discrepancies between U.S. and European equities.
What could disturb unprecedented calm in markets?
What’s most remarkable about 2017 is the market calm, but this is not a sign that the trend will revert to the mean.

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.

5.07%

Best 5-year annualized return

(for period ending 03/31/14)


2.16%

Worst 5-year annualized return

(for period ending 03/31/16)


3.49%

Average 5-year annualized return


  • Total return (%) as of 09/30/17

  • Annual performance as of 09/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 5.29% 2.41% 2.63% 3.85%
After sales charge -0.76% 0.41% 1.42% 3.16%
BofA Merrill Lynch U.S. Treasury Bill Index 0.64% 0.34% 0.24% --

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 11/30/17 1.14 % -4.68 %
YTD as of 12/12/17 7.60 % 1.41 %

Volatility as of 10/31/17

Standard deviation (3 yrs.) 3.12%

Morningstar ratings as of 10/31/17

Multialternative Rating Funds in category
Overall (266)
3 yrs. (266)
5 yrs. (35)

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 10/31/17

Net cash 53.04%
Fnma Fn30 Tba 03.5000 12/01/2047 4.06%
S&P Gsci Total Return Index 3x Note 11/5/2018 3.37%
Utilities Select Sector Spdr Sedol 2371812 2.11%
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018 1.77%
Fnma Fn30 Tba 02.5000 11/01/2047 1.55%
S&P Gsci 3x 144a Note 10/11/2018 1.43%
Ishares Msci India Etf 1.22%
Financial Select Sector Spdr Sedol 2364038 1.13%
Technology Select Sect Spdr Sedol 2369709 1.12%
Top 10 holdings, percent of portfolio 70.80%

Full portfolio holdings as of 09/30/17

GSGLPWDL R US0001M P 12/15/20 GS 20.15%
FNMA FN30 TBA 03.5000 11/01/2047 4.17%
S&P GSCI LIGHT ENERGY OFFICIAL 3X 144A NOTE 09/07/2018 1.86%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 02/01/2018 1.82%
FNMA FN30 TBA 03.0000 11/01/2047 1.76%
FNMA FN30 TBA 02.5000 10/01/2047 1.59%
S&P GSCI 3X 144A NOTE 10/11/2018 1.33%
ISHARES MSCI INDIA ETF 1.20%
FINANCIAL SELECT SECTOR SPDR 1.13%
CONSUMER DISCRETIONARY SELT 1.08%
HEALTH CARE SELECT SECTOR 1.08%
TECHNOLOGY SELECT SECT SPDR 1.08%
CONSUMER STAPLES SPDR 1.06%
UTILITIES SELECT SECTOR SPDR 1.04%
SAMSUNG ELECTRONICS CO LTD 1.02%
DISH NETWORK CORP-A 1.01%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.93%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 12/07/2017 0.81%
MLFCF11 R USL3M P 03/07/18 BA 0.72%
BAML MLCXP2KS 3X BOFA 144A WARRANT 10/11/2018 0.50%
CITI COMMODITIES F3 VS F0 - 4X NOTE 5/29/2018 0.47%
GNMA GII30 TBA 04.5000 10/01/2047 0.47%
FNMA FN30 TBA 04.0000 11/01/2047 0.46%
CHINA CONSTRUCTION BANK-H 0.41%
TENCENT HOLDINGS LTD 0.41%
HON HAI PRECISION INDUSTRY 0.39%
IND & COMM BK OF CHINA-H 0.39%
SMILES SA 0.29%
TAIWAN SEMICONDUCTOR-SP ADR 0.29%
GUANGZHOU R&F PROPERTIES - H 0.28%
QUALICORP SA 0.28%
ALIBABA GROUP HOLDING-SP ADR 0.25%
TELEKOMUNIKASI INDONESIA PER 0.25%
TENAGA NASIONAL BHD 0.25%
AGRICULTURAL BANK OF CHINA-H 0.24%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.24%
CIA SANEAMENTO BASICO DE SP 0.24%
FNMA FN30 TBA 05.5000 10/01/2047 0.24%
INDUSTRIAL BANK OF KOREA 0.24%
PTT GLOBAL CHEMICAL PCL-FOR 0.24%
GNMA GII30 TBA 04.0000 10/01/2047 0.23%
GRUMA S.A.B.-B 0.23%
SIAM CEMENT PUB CO-FOR REG 0.23%
FHS 315 PO PO 00.0000 09/15/2043 0.22%
REVLON CONS TLB L+350 04.7350 09/07/2023 0.22%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.21%
OLD MUTUAL PLC 0.21%
RICHTER GEDEON NYRT 0.21%
SK TELECOM 0.21%
AES CORP/VA 05.5000 04/15/2025 0.20%
JO-ANN STORES TL L+500 06.3907 10/21/2023 0.20%
LG UPLUS CORP 0.20%
LOTTE CHEMICAL CORP 0.20%
SK HYNIX INC 0.20%
YY INC-ADR 0.20%
BSCMS 2006-PW11 B P/P 144A 05.2857 03/11/2039 0.19%
SK INNOVATION CO LTD 0.19%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.18%
BANK OF COMMUNICATIONS - H 0.18%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.18%
MERCER INTL INC USD 07.7500 12/01/2022 0.18%
VISTRA TLB L+275 03.5000 08/04/2023 0.18%
CHINA RAILWAY GROUP LTD-H 0.17%
DISH DBS CORP 04.2500 04/01/2018 0.17%
GENTING BHD 0.17%
PPDI TL L+275 04.0368 08/18/2022 0.17%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.17%
UNITED TRACTORS TBK PT 0.17%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.17%
CHINA STATE CONSTRUCTION -A 144A REGS WARRANT 01/22/2018 0.16%
SINOPEC SHANGHAI PETROCHEM-H 0.16%
ANHUI CONCH CEMENT CO LTD-H 0.15%
BANK OF CHINA LTD-H 0.15%
CHINA RAILWAY CONSTRUCTION-H 0.15%
FHR 3852 NT 04.7656 05/15/2041 0.15%
INDOFOOD SUKSES MAKMUR TBK P 0.15%
INFOR US INC 06.5000 05/15/2022 0.15%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.14%
CHINA CINDA ASSET MANAGEME-H 0.14%
DONGFENG MOTOR GRP CO LTD-H 0.14%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.14%
HANWHA CORPORATION 0.14%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.14%
PEOPLES INSURANCE CO 0.14%
RADIANT OPTO-ELECTRONICS COR 0.14%
VERTIV TLB L+400 05.2350 11/30/2023 0.14%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.13%
CAS 2016-C02 1B 13.4872 09/25/2028 0.13%
CHINA SHENHUA ENERGY CO-H 0.13%
CIA DE TRANSMISSAO DE ENE-PF 0.13%
GSCBPUR1 R USL1M P 12/15/20 GS 0.13%
ITAU UNIBANCO H-SPON PRF ADR 0.13%
KOC HLDG 0.13%
MOOG INC P/P 144A 05.2500 12/01/2022 0.13%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.13%
SAPPI LIMITED 0.13%
SCIENTIFIC GAMES TLB4 L+325 04.5144 08/14/2024 0.13%
TELKOM SA SOC LTD 0.13%
TURKIYE GARANTI BANKASI 0.13%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.13%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.12%
ACADEMY SPORTS TLB L+400 05.2734 07/02/2022 0.12%
CHAILEASE HOLDING CO LTD 0.12%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.12%
ICAHN ENTER/FIN 04.8750 03/15/2019 0.12%
ISBANK-C 0.12%
LANDRY'S TLB L+275 03.9925 10/04/2023 0.12%
PEGATRON CORP 0.12%
PTT PCL/FOREIGN 0.12%
UNIVISION TLC5 L+275 03.9850 03/15/2024 0.12%
AMAYA GAMING TLB L+350 04.8328 08/01/2021 0.11%
BF0101 03.5000 06/01/2056 0.11%
FIRST DATA TL L+250 03.7372 04/26/2024 0.11%
GNR 2015-H20 CI IO 02.2103 08/20/2065 0.11%
GNR 2016-H02 BI IO 01.8478 11/20/2065 0.11%
HUB INTL TLB L+300 04.3117 10/02/2020 0.11%
NAVISTAR TLB L+400 05.2400 08/07/2020 0.11%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 0.11%
NRG ENERGY INC 07.2500 05/15/2026 0.11%
ON SEMICONDUCTOR TLB L+225 03.4850 03/31/2023 0.11%
ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 0.11%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.11%
POU CHEN 0.11%
RITE AID 2NDL L+387.5 04.8750 06/07/2021 0.11%
SABRE GLBL TLB L+225 03.4850 02/22/2024 0.11%
STACR 2016-DNA1 B 11.2372 07/25/2028 0.11%
UFC 1STL L+325 04.4900 08/18/2023 0.11%
CAS 2015-C04 1M2 06.9372 04/25/2028 0.10%
CAS 2016-C01 1B 12.9872 08/25/2028 0.10%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.10%
DYNEGY TLC L+325 04.4850 02/07/2024 0.10%
FORD OTOMOTIV 0.10%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.10%
MRV ENGENHARIA 0.10%
MSBAM 2013-C13 F P/P 144A 03.7070 11/15/2046 0.10%
NEIMAN MARCUS TL L+325 04.4806 10/25/2020 0.10%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.10%
SHINHAN FINANCIAL GROUP LTD 0.10%
SYNIVERSE HLDG TLB L+300 04.3111 04/23/2019 0.10%
AIRASIA BHD 0.09%
ASURION TLB4 L+275 03.9850 08/04/2022 0.09%
AVAYA INC TLB6 L+550 06.8139 03/31/2018 0.09%
CGCMT 2013-GC11 E P/P 144A 04.6020 04/10/2046 0.09%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.09%
CHINA LESSO GROUP HOLDINGS L 0.09%
CHONGQING RURAL COMMERCIAL-H 0.09%
ENERGY TRANSFER EQ TL L+275 02.7500 02/02/2024 0.09%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.09%
GNR 2015-H25 BI IO 01.9114 10/20/2065 0.09%
JPMBB 2014-C18 D P/P 144A 04.9740 02/15/2047 0.09%
LIBBEY GLASS TLB L+300 04.2350 04/09/2021 0.09%
MISC BHD 0.09%
TRANSDIGM TLD L+300 04.3269 06/04/2021 0.09%
WELBILT TLB L+300 03.9811 03/03/2023 0.09%
AMERICAN CASINO TLB L+225 06.5000 07/07/2022 0.08%
CGPUTQL2 R USL3M P 12/01/17 CI 0.08%
CITYCENTER TLB L+250 03.7350 04/18/2024 0.08%
DBCT15LP R USL3M P 03/07/18 DE 0.08%
FHLMC FH30G V80357 03.5000 08/01/2043 0.08%
FNMA FN30 AU1625 03.5000 07/01/2043 0.08%
GNR 2015-H24 HI IO 02.0292 09/20/2065 0.08%
GNR 2016-H03 AI IO 01.9275 01/20/2066 0.08%
PRESIDENT CHAIN STORE CORP 0.08%
TRAVELPORT TLB L+275 04.0606 09/02/2021 0.08%
TRIBUNE MEDIA TLB L+300 04.2350 01/27/2024 0.08%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.08%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
BACM 2008-1 C P/P 144A 06.5521 02/10/2051 0.07%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.07%
CAESARS ENT OPER TLB6B L+775 11.7500 03/01/2018 0.07%
CEMEX SAB DE CV P/P 144A 06.0536 10/15/2018 0.07%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.07%
FHLMC FH30G V80012 03.0000 03/01/2043 0.07%
FNMA FN30 AL6919 05.5000 01/01/2038 0.07%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.07%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.07%
GNR 2014-H21 AI IO 01.6285 10/20/2064 0.07%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.07%
GNR 2015-H09 BI IO 01.6866 03/20/2065 0.07%
GNR 2015-H19 NI IO 01.9057 07/20/2065 0.07%
GNR 2015-H22 GI IO 02.5760 09/20/2065 0.07%
GNR 2015-H25 AI IO 01.6125 09/20/2065 0.07%
GNR 2016-150 I IO 05.0000 11/20/2046 0.07%
GSMS 2013-GC10 E P/P 144A 04.4100 02/10/2046 0.07%
HCA INC 06.5000 02/15/2020 0.07%
INFOR TLB6 L+275 03.7500 02/01/2022 0.07%
JPMBB 2013-C12 E P/P 144A 04.2222 07/15/2045 0.07%
OSHKOSH CORP 05.3750 03/01/2022 0.07%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.07%
REP OF INDONESIA P/P 144A 05.2500 01/17/2042 0.07%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.07%
TALBOTS INC 1STL L+450 05.7350 03/19/2020 0.07%
TRIPOD TECHNOLOGY CORP 0.07%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.07%
BCAP 2012-RR5 4A8 01.4044 06/26/2035 0.06%
CHANGYOU.COM LTD-ADR 0.06%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.06%
DIAMOND RESORTS TLB L+600 07.2350 09/02/2023 0.06%
FNR 2011-4 CS 10.4256 05/25/2040 0.06%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.06%
GNR 2011-H08 GI IO 01.2665 03/20/2061 0.06%
GNR 2015-H09 AI IO 01.9521 04/20/2065 0.06%
GNR 2015-H10 CI IO 01.8059 04/20/2065 0.06%
GNR 2015-H15 JI IO 01.9443 06/20/2065 0.06%
GNR 2015-H25 EI IO 01.8459 10/20/2065 0.06%
GNR 2016-H04 KI IO 01.7089 02/20/2066 0.06%
GNR 2016-H08 GI IO 01.4308 04/20/2066 0.06%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.06%
JPMBB 2013-C14 E P/P 144A 04.7211 08/15/2046 0.06%
MSBAM 2013-C11 F P/P 144A 04.5150 08/15/2046 0.06%
ORTHO-CLINICAL TLB L+375 05.0828 06/30/2021 0.06%
SAMI 2007-AR1 2A1 01.4172 01/25/2037 0.06%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.06%
WFRBS 2013-C15 D P/P 144A 04.6281 08/15/2046 0.06%
ASURION 2NDL L+600 07.3000 08/04/2025 0.05%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.05%
CHINA MOBILE LTD 0.05%
CHUCK E CHEESE'S TLB L+300 04.2350 02/14/2021 0.05%
CIFI HOLDINGS GROUP CO LTD 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.05%
CPG INTL TL L+375 05.0828 05/03/2024 0.05%
DOMINICAN REPUBLIC REGS 08.6250 04/20/2027 0.05%
FHR 4568 MI IO 04.0000 04/15/2046 0.05%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.05%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.05%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.05%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.05%
GNR 2015-H16 XI IO 02.2329 07/20/2065 0.05%
GNR 2015-H24 BI IO 01.5914 08/20/2065 0.05%
GNR 2015-H26 GI IO 01.7904 10/20/2065 0.05%
GNR 2017-H11 NI IO 02.1791 05/20/2067 0.05%
GSMS 2013-GC16 D P/P 144A 05.5047 11/10/2046 0.05%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.05%
MSBAM 2013-C11 E P/P 144A 04.5150 08/15/2046 0.05%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.05%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.05%
REYNOLDS GROUP TL L+300 04.2350 02/05/2023 0.05%
SPST 2017-1 A 02.1372 02/25/2049 0.05%
TALBOTS INC 2NDL L+850 09.7350 03/19/2021 0.05%
TRANSDIGM TLG L+300 04.2639 08/22/2024 0.05%
VNESHECONOMBANK(VEB) P/P 144A 05.9420 11/21/2023 0.05%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.05%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.05%
AIR MEDICAL TLB L+350 04.4850 04/28/2022 0.04%
AMER ENERGY MARC 1STL L+425 05.4850 08/04/2020 0.04%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.04%
BANCO SANTANDER BRASIL-UNIT 0.04%
BSCMS 2005-PWR7 D 05.3040 02/11/2041 0.04%
CAS 2015-C03 2M2 06.2372 07/25/2025 0.04%
CGPUTQL2 R US0003M P 12/01/17 CI 0.04%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.04%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.04%
FHR 4116 MI IO 04.0000 10/01/2042 0.04%
FHR 4158 TI IO 03.0000 12/15/2042 0.04%
FHR 4389 IA IO 04.0000 09/15/2044 0.04%
FHR 4501 BI IO 03.5000 10/15/2043 0.04%
FHR 4530 HI IO 04.0000 11/15/2045 0.04%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.04%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.04%
GNR 2015-64 PI IO 03.5000 05/20/2045 0.04%
GNR 2015-H10 EI IO 01.6314 04/20/2065 0.04%
GNR 2015-H14 BI IO 01.5819 05/20/2065 0.04%
GNR 2015-H26 EI IO 01.7111 10/20/2065 0.04%
JPMCC 2007-CB20 C P/P 144A 06.5559 02/12/2051 0.04%
KIMBERLY-CLARK DE MEXICO-A 0.04%
PROVINCIA DE BUENOS P/P 144A 25.5800 05/31/2022 0.04%
RALI 2006-QO10 A1 01.3972 01/25/2037 0.04%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.04%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.04%
RITE AID CORP P/P 144A 06.1250 04/01/2023 0.04%
VISTRA TLC L+275 03.9817 08/04/2023 0.04%
WBCMT 2005-C21 E P/P 144A 05.4681 10/15/2044 0.04%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.04%
WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 0.04%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.04%
-0.25 R ISWP FWD CHL6M P 12/20/2022 0.03%
AEROFLOT PJSC 0.03%
ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 0.03%
CHINA DONGXIANG GROUP CO 0.03%
CHINA HUARONG ASSET 0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.03%
CWALT 2005-27 1A6 02.0572 08/25/2035 0.03%
FHR 4073 AS IO 04.8156 08/15/2038 0.03%
FHR 4097 PI IO 03.5000 11/15/2040 0.03%
FHR 4136 IW IO 03.5000 10/15/2042 0.03%
FHR 4193 PI IO 04.0000 03/15/2043 0.03%
FHR 4355 DI IO 04.0000 03/15/2044 0.03%
FHS 303 C18 IO 03.5000 01/15/2043 0.03%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.03%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.03%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.03%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.03%
GNR 2013-6 AI IO 03.5000 08/20/2039 0.03%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.03%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.03%
GNR 2015-118 EI IO 03.5000 07/20/2039 0.03%
GNR 2015-124 NI IO 03.5000 06/20/2039 0.03%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.03%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.03%
GNR 2016-H04 HI IO 02.3650 07/20/2065 0.03%
GNR 2016-H11 HI IO 02.0827 01/20/2066 0.03%
GNR 2017-99 AI IO 04.0000 01/20/2047 0.03%
GNR 2017-H02 BI IO 02.3362 01/20/2067 0.03%
HAIER ELECTRONICS GROUP CO 0.03%
HYUNDAI MARINE 0.03%
JPMCC 2012-C6 F P/P 144A 05.3074 05/15/2045 0.03%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.03%
NASPERS LTD-N SHS 0.03%
NWL US P R 07/05/22 CI 0.03%
PETROLEOS MEXICANOS REGS 06.5000 03/13/2027 0.03%
SPY 20180720 P 215.00CITI 0.03%
SPY 20180817 P 215.00CITI 0.03%
SPY 20180921 P 215.00JPMCB 0.03%
TAIWAN DOLLAR CALL ACCOUNT 0.03%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.03%
TURKIYE HALK BANKASI 0.03%
VALEANT PHARMA TLBF1 L+475 05.9900 04/01/2022 0.03%
VANTAGE DRILLING INT-UNIT 0.03%
VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 0.03%
WBCMT 2006-C26 AJ 06.2304 06/15/2045 0.03%
WFMBS 2006-AR6 7A2 03.3959 03/25/2036 0.03%
WFRBS 2011-C4 E P/P 144A 05.4142 06/15/2044 0.03%
WFRBS 2012-C10 E P/P 144A 04.5930 12/15/2045 0.03%
1.00 R ISWP FWD EUR006M P 12/20/2027 0.02%
AU OPTRONICS CORP 0.02%
BALTA 2004-3 B 04.1622 04/25/2034 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
DOMINICAN REPUBLIC P/P 144A 05.9500 01/25/2027 0.02%
FHR 3747 SA IO 05.2656 10/15/2040 0.02%
FHR 4121 MI IO 04.0000 10/15/2042 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FHR 4150 DI IO 03.0000 01/15/2043 0.02%
FHR 4206 IP IO 03.0000 12/15/2041 0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.02%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.02%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.02%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.02%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.02%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.02%
GNR 2012-141 WI IO 03.5000 11/20/2041 0.02%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.02%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.02%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.02%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.02%
GNR 2014-122 IC IO 05.0000 08/20/2044 0.02%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.02%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.02%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.02%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.02%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.02%
GNR 2015-H18 IA IO 01.8220 06/20/2065 0.02%
GNR 2015-H26 CI IO 00.5342 08/20/2065 0.02%
GNR 2016-H16 DI IO 02.2609 06/20/2066 0.02%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.02%
GREAT WALL MOTOR COMPANY-H 0.02%
JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 0.02%
K US P R 07/05/22 CI 0.02%
KB FINANCIAL GROUP INC 0.02%
MHL 2004-1 M2 02.2422 11/25/2034 0.02%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.02%
SAMI 2007-AR7 1A1 02.0872 05/25/2047 0.02%
SPY 20180518 P 210.00JPMCB 0.02%
SPY 20180615 P 210.00CITI 0.02%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.02%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.02%
WFCM 2013-LC12 D P/P 144A 04.4301 07/15/2046 0.02%
0.50 R ISWP FWD SES3M P 12/20/2022 0.01%
1.05 R ISWP FWD GBL6M P 12/20/2022 0.01%
2.25 R ISWP FWD CDOR03 P 12/20/2022 0.01%
AUD/USD 10/18/2017 BANKAM 0.01%
AUD/USD 10/18/2017 BCAP-FX 0.01%
AUD/USD 10/18/2017 CSI-FX 0.01%
AUD/USD 10/18/2017 RBSF 0.01%
BACM 2005-1 C 05.6878 11/10/2042 0.01%
BACM 2005-3 AJ 04.7670 07/10/2043 0.01%
BANK NEGARA INDONESIA PERSER 0.01%
BSCMS 2006-PW11 C P/P 144A 05.2857 03/11/2039 0.01%
CAD/USD 10/18/2017 JPMCB 0.01%
CAD/USD 10/18/2017 RBSF 0.01%
CAS 2015-C01 2M2 05.7872 02/25/2025 0.01%
CAS 2015-C02 1M2 05.2372 05/25/2025 0.01%
CAS 2015-C02 2M2 05.2372 05/25/2025 0.01%
CAS 2017-C02 2M2 04.8872 09/25/2029 0.01%
CAS 2017-C05 1B1 04.8372 01/25/2030 0.01%
CAS 2017-C06 2M2 04.0372 02/25/2030 0.01%
CGCMT 2006-C4 B 06.2499 03/15/2049 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
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.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.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%
COH US P R 07/05/22 CI 0.01%
CSFB 2005-C3 B 04.8820 07/15/2037 0.01%
FHR 2990 LB 13.7906 06/15/2034 0.01%
FHR 4183 MI IO 03.0000 02/15/2042 0.01%
FHR 4213 GI IO 04.0000 11/15/2041 0.01%
FNR 2005-74 NK 21.3139 05/25/2035 0.01%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.01%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.01%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.01%
FNW 1998-W2 X IO 00.3525 06/25/2028 0.01%
GE US P R 07/05/22 CI 0.01%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.01%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.01%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.01%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.01%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.01%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.01%
GNR 2013-129 SN IO 04.9139 09/20/2043 0.01%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.01%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.01%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.01%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.01%
GNR 2013-37 LI IO 03.5000 01/20/2042 0.01%
GNR 2013-90 HI IO 03.5000 04/20/2040 0.01%
GNR 2013-99 VS IO 04.8656 07/16/2043 0.01%
GSMS 2006-GG8 X IO P/P 144A 01.0839 11/10/2039 0.01%
GSMS 2013-GC10 D P/P 144A 04.4100 02/10/2046 0.01%
GSVICUI3 R 0.45 P 12/15/20 GS 0.01%
ITAUSA-INVESTIMENTOS ITAU-PR 0.01%
JPMCC 2006-LDP7 B 06.1377 04/17/2045 0.01%
JPY/USD 11/15/2017 CSI-FX 0.01%
JPY/USD 11/15/2017 HSBCB 0.01%
JPY/USD 11/15/2017 UBS 0.01%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.01%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.01%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.01%
NKE US P R 07/05/22 CI 0.01%
NUVA US P R 07/05/22 CI 0.01%
RUB/USD 12/20/2017 BANKAM 0.01%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.01%
SEK/USD 12/20/2017 GSFX 0.01%
SEK/USD 12/20/2017 JPMCB 0.01%
SEK/USD 12/20/2017 RBSF 0.01%
SPY 20180420 P 205.00CITI 0.01%
TRIBUNE MEDIA TLB L+300 04.2350 12/27/2020 0.01%
ULTI US P R 07/05/22 CI 0.01%
VAR US P R 07/05/22 CI 0.01%
ZAR/USD 10/18/2017 GSFX 0.01%
0.25 R ISWP FWD CHL6M P 12/20/2027 0.00%
0.30 R ISWP FWD EUR006M P 12/20/2022 0.00%
1.25 R ISWP FWD SES3M P 12/20/2027 0.00%
1.40 R ISWP FWD GBL6M P 12/20/2027 0.00%
1.50 R ISWP FWD NOKOIB6M P 12/20/2022 0.00%
1.80 R ISWP FWD US0003M P 12/20/2019 0.00%
2.00 R ISWP FWD NOKOIB6M P 12/20/2027 0.00%
2.00 R ISWP FWD US0003M P 12/20/2022 0.00%
2.05 R ISWP FWD US0003M P 12/20/2022 0.00%
2.201 R ISWP US0003M P 10/03/2027 0.00%
2.2405 R ISWP US0003M P 10/03/2027 0.00%
2.2495 R ISWP US0003M P 10/03/2027 0.00%
2.30 R ISWP FWD US0003M P 10/17/2027 0.00%
2.30 R ISWP FWD US0003M P 12/20/2027 0.00%
2.304 R ISWP FWD US0003M P 11/01/2027 0.00%
2.50 R ISWP FWD CDOR03 P 12/20/2027 0.00%
2.65 R ISWP FWD AUDBB6M P 12/20/2022 0.00%
2.80 R ISWP FWD NFIX3MID P 12/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 12/20/2027 0.00%
3.30 R ISWP FWD NFIX3MID P 12/20/2027 0.00%
ACIW US P R 07/05/22 CI 0.00%
AUD/USD 10/18/2017 SSBT 0.00%
AXTA US P R 07/05/22 CI 0.00%
BACM 2004-4 XC IO P/P 144A 00.0545 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4115 01/15/2049 0.00%
BGS US P R 07/05/22 CI 0.00%
BRL/USD 01/03/2018 CITI 0.00%
BSFT US P R 07/05/22 CI 0.00%
CAC40 10 EURO FUT OCT17 CFV7 0.00%
CAD/USD 10/18/2017 HSBCB 0.00%
CAD/USD 10/18/2017 UBS 0.00%
CANADIAN DOLLAR ACCOUNT 0.00%
CAS 2015-C04 2M2 06.7872 04/25/2028 0.00%
CAS 2016-C06 1M2 05.4872 04/25/2029 0.00%
CBM US P R 07/05/22 CI 0.00%
CHF/USD 12/20/2017 JPMCB 0.00%
CIEN US P R 07/05/22 CI 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 JP 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2561 05/15/2038 0.00%
DAX INDEX FUTURE DEC17 GXZ7 0.00%
DBD US P R 07/05/22 CI 0.00%
EBIX US P R 07/05/22 CI 0.00%
EUR/USD 12/20/2017 BANKAM 0.00%
EUR/USD 12/20/2017 BCAP-FX 0.00%
EUR/USD 12/20/2017 CITI 0.00%
EUR/USD 12/20/2017 CSI-FX 0.00%
EUR/USD 12/20/2017 GSFX 0.00%
EUR/USD 12/20/2017 HSBCB 0.00%
EUR/USD 12/20/2017 JPMCB 0.00%
EUR/USD 12/20/2017 RBSF 0.00%
EUR/USD 12/20/2017 SSBT 0.00%
EUR/USD 12/20/2017 UBS 0.00%
EUR/USD 12/20/2017 WPAC 0.00%
EVH US P R 07/05/22 CI 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FLIR US P R 07/05/22 CI 0.00%
FNS 397 2 IO 05.0000 09/25/2039 0.00%
FNW 1998-W5 X IO 00.5623 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2739 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4559 11/15/2028 0.00%
FTSE 100 IDX FUT DEC17 Z Z7 0.00%
GBP/USD 12/20/2017 GSFX 0.00%
GBP/USD 12/20/2017 SSBT 0.00%
GMED US P R 07/05/22 CI 0.00%
GNR 2010-103 DI IO 04.5000 12/20/2038 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.00%
GNR 2012-71 JI IO 03.5000 04/16/2041 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%
GSVICUB3 R 0.45 P 12/15/20 GS 0.00%
GSVIVV69 R 0.3 P 12/15/20 GS 0.00%
GSVIVVOL R 0.3 P 12/15/20 GS 0.00%
GVA US P R 07/05/22 CI 0.00%
HBI US P R 07/05/22 CI 0.00%
HLS US P R 07/05/22 CI 0.00%
HOLI US P R 07/05/22 CI 0.00%
HUF/USD 12/20/2017 GSFX 0.00%
ICLR US P R 07/05/22 CI 0.00%
IDR/USD 11/15/2017 GSFX 0.00%
IDR/USD 11/15/2017 JPMCB 0.00%
INGN US P R 07/05/22 CI 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 BC 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.14 P US0001M R 01/12/45 JP 0.00%
IOS.FN30.400.14 P USL1M R 01/12/45 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.600.08 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.FN30.650.67 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%
JPY/USD 11/15/2017 BANKAM 0.00%
JPY/USD 11/15/2017 BCAP-FX 0.00%
JPY/USD 11/15/2017 JPMCB 0.00%
JPY/USD 11/15/2017 RBSF 0.00%
JPY/USD 11/15/2017 WPAC 0.00%
LBUBS 2006-C6 D 05.5020 09/15/2039 0.00%
LBUBS 2007-C2 XW IO 00.4551 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 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 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%
MDSO US P R 07/05/22 CI 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0050 06/12/2043 0.00%
MSC 2007-HQ11 D 05.5870 02/12/2044 0.00%
MXN/USD 10/18/2017 HSBCB 0.00%
MYL US P R 07/05/22 CI 0.00%
NOK/USD 12/20/2017 JPMCB 0.00%
NOK/USD 12/20/2017 UBS 0.00%
NORWEGIAN KRONE CALL ACCOUNT 0.00%
NOVUS HOLDINGS LTD 0.00%
NTCT US P R 07/05/22 CI 0.00%
NTGR US P R 07/05/22 CI 0.00%
NZD/USD 10/18/2017 GSFX 0.00%
NZD/USD 10/18/2017 RBSF 0.00%
OLLI US P R 07/05/22 CI 0.00%
OSIS US P R 07/05/22 CI 0.00%
PAYC US P R 07/05/22 CI 0.00%
PCTY US P R 07/05/22 CI 0.00%
PDCO US P R 07/05/22 CI 0.00%
PEGA US P R 07/05/22 CI 0.00%
PLT US P R 07/05/22 CI 0.00%
PNFP US P R 07/05/22 CI 0.00%
POUND STERLING CALL ACCOUNT 0.00%
PTC US P R 07/05/22 CI 0.00%
Q US P R 07/05/22 CI 0.00%
RUB/USD 12/20/2017 CITI 0.00%
S&P MID 400 EMINI DEC17 FAZ7 0.00%
S&P500 EMINI FUT DEC17 ESZ7 0.00%
SEK/USD 12/20/2017 CITI 0.00%
SEK/USD 12/20/2017 CSI-FX 0.00%
SEK/USD 12/20/2017 SSBT 0.00%
SEK/USD 12/20/2017 UBS 0.00%
SIG US P R 07/05/22 CI 0.00%
SMCI US P R 07/05/22 CI 0.00%
SNA US P R 07/05/22 CI 0.00%
SPI 200 FUTURES DEC17 XPZ7 0.00%
SPY 20171027 C 257.00BANKAM 0.00%
SWISS FRANC CALL ACCOUNT 0.00%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 15DX10Y P 2.3 USD 10/13/2017 GS 0.00%
SWPTN 15DX10Y P 2.39 USD 10/13/2017 GS 0.00%
SWPTN 15DX10Y R 2.21 USD 10/13/2017 GS 0.00%
SWPTN 15DX10Y R 2.3 USD 10/13/2017 GS 0.00%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 0.00%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.00%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP 0.00%
SWPTN 1MX10Y P 2.53 USD 10/23/2017 JP 0.00%
SWPTN 1MX10Y R 1.892 USD 10/05/2017 CS 0.00%
SWPTN 1MX10Y R 1.9035 USD 09/29/2017 CI 0.00%
SWPTN 1MX10Y R 1.952 USD 09/29/2017 CI 0.00%
SWPTN 1MX10Y R 2.135 USD 10/23/2017 CI 0.00%
SWPTN 1MX10Y R 2.227 USD 10/23/2017 CI 0.00%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.00%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS 0.00%
SWPTN 2MX10Y P 2.41625 USD 10/27/2017 CS 0.00%
SWPTN 2MX10Y P 2.5777 USD 09/29/2017 JP 0.00%
SWPTN 2MX10Y R 1.9777 USD 09/29/2017 JP 0.00%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP 0.00%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA 0.00%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP 0.00%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA 0.00%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.00%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI 0.00%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 3MX10Y P 2.5525 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y P 2.6 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y P 2.62 USD 10/27/2017 GS 0.00%
SWPTN 3MX10Y R 1.95 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y R 1.995 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y R 2.015 USD 10/27/2017 GS 0.00%
SWPTN 3MX1Y P 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y P 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y P 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.296 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.541 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.619 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.6525 USD 12/20/2017 CI 0.00%
SWPTN 3MX1Y R 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.755 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.796 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 2.0 USD 12/20/2017 CI 0.00%
SWPTN 3MX3Y P 1.993 USD 10/06/2017 JP 0.00%
SWPTN 3MX3Y R 1.783 USD 10/06/2017 JP 0.00%
SWPTN 4WX10Y R 1.944 USD 09/29/2017 CI 0.00%
SWPTN 4WX10Y R 2.09275 USD 10/13/2017 GS 0.00%
SWPTN 4WX10Y R 2.18375 USD 10/13/2017 GS 0.00%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.00%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.00%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.00%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.00%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 0.00%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.00%
SWPTN 5WX10Y P 2.284 USD 10/16/2017 JP 0.00%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA 0.00%
SWPTN 5WX10Y P 2.313 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS 0.00%
SWPTN 5WX10Y P 2.398 USD 10/30/2017 BA 0.00%
SWPTN 5WX10Y P 2.456 USD 10/16/2017 JP 0.00%
SWPTN 5WX10Y P 2.55 USD 10/27/2017 GS 0.00%
SWPTN 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 1.925 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.023 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y R 2.03 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.1565 USD 10/27/2017 CI 0.00%
SWPTN 5WX10Y R 2.214 USD 10/30/2017 BA 0.00%
SWPTN 5WX10Y R 2.22 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 2.253 USD 10/27/2017 CI 0.00%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA 0.00%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI 0.00%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.00%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.00%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI 0.00%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS 0.00%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.00%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.00%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.00%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.00%
SWPTN 7WX10Y R 1.905 USD 10/27/2017 CI 0.00%
SWPTN 7WX10Y R 2.033 USD 10/27/2017 CI 0.00%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.00%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.00%
THE EURO EUR CALL ACCOUNT 0.00%
TOPIX INDX FUTR DEC17 TPZ7 0.00%
TSLA US P R 07/05/22 CI 0.00%
TURKISH LIRA-NEW CALL ACCOUNT 0.00%
TXU TCEH RIGHTS 0.00%
UA US P R 07/05/22 CI 0.00%
UBNT US P R 07/05/22 CI 0.00%
US 10YR NOTE (CBT)DEC17 TYZ7 0.00%
US 10YR ULTRA FUT DEC17 UXYZ7 0.00%
US 2YR NOTE (CBT) DEC17 TUZ7 0.00%
US 5YR NOTE (CBT) DEC17 FVZ7 0.00%
US LONG BOND(CBT) DEC17 USZ7 0.00%
US ULTRA BOND CBT DEC17 WNZ7 0.00%
USD/CNH PUT 6.40 20171207 BANKAM 0.00%
USD/CNH PUT 6.50 20171207 BANKAM 0.00%
VLY US P R 07/05/22 CI 0.00%
VRX US P R 07/05/22 CI 0.00%
WBCMT 2006-C29 IO IO 00.4424 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.2531 04/15/2047 0.00%
2.50 R ISWP FWD US0003M P 12/20/2047 -0.01%
CERN US P R 07/05/22 CI -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 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 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.01%
CSOD US P R 07/05/22 CI -0.01%
CTB US P R 07/05/22 CI -0.01%
DY US P R 07/05/22 CI -0.01%
EFII US P R 07/05/22 CI -0.01%
ENR US P R 07/05/22 CI -0.01%
ESRX US P R 07/05/22 CI -0.01%
FLR USL3M 6.00 03/07/2018 JP -0.01%
GBP/USD 12/20/2017 BANKAM -0.01%
GBP/USD 12/20/2017 CITI -0.01%
GBP/USD 12/20/2017 JPMCB -0.01%
HUBS US P R 07/05/22 CI -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
NOK/USD 12/20/2017 BANKAM -0.01%
NOK/USD 12/20/2017 CITI -0.01%
NOK/USD 12/20/2017 SSBT -0.01%
NZD/USD 10/18/2017 BCAP-FX -0.01%
NZD/USD 10/18/2017 SSBT -0.01%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.01%
TRY/USD 12/20/2017 GSFX -0.01%
TRY/USD 12/20/2017 RBSF -0.01%
WAB US P R 07/05/22 CI -0.01%
WFT US P R 07/05/22 CI -0.01%
XPO US P R 07/05/22 CI -0.01%
BURL US P R 07/05/22 CI -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
TGI US P R 07/05/22 CI -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.06%
DBCT15SP P USL3M R 03/07/18 DE -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.08%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.08%
2.25 R ISWP FWD US0003M P 12/20/2027 -0.10%
JPCMPTSH P USL1M R 04/20/18 JP -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.11%
RU10INTR P US0003M R 07/26/18 CS -0.12%
FHLMC FH30G TBA 04.5000 10/01/2047 -0.23%
RU10INTR P USL3M R 11/27/17 CI -0.33%
NDUEEGF P USL3M R 12/12/17 GS -0.55%
RU10INTR P US0003M R 08/02/18 BA -0.68%
NDUEEGF P US0003M R 09/20/18 CI -1.42%
CDX CDX.NA.HY.29 500.0 12/20/2022 -1.45%
NDUEEGF P USL3M R 03/19/18 CI -2.35%
GSGLPWDS P US0001M R 12/15/20 GS -2.51%
NDUEEGF P US0001M R 08/21/18 UB -9.82%
GSGLPWDS P US0001M R 12/15/20 GS -16.21%

Prior top 10 holdings

Top 10 holdings as of 10/31/17
Net cash
Fnma Fn30 Tba 03.5000 12/01/2047
S&P Gsci Total Return Index 3x Note 11/5/2018
Utilities Select Sector Spdr Sedol 2371812
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 02.5000 11/01/2047
S&P Gsci 3x 144a Note 10/11/2018
Ishares Msci India Etf
Financial Select Sector Spdr Sedol 2364038
Technology Select Sect Spdr Sedol 2369709
Holdings represent 70.80% of portfolio
Top 10 holdings as of 09/30/17
Net cash
Fnma Fn30 Tba 03.5000 11/01/2047
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 03.0000 11/01/2047
Fnma Fn30 Tba 02.5000 10/01/2047
S&P Gsci 3x 144a Note 10/11/2018
Ishares Msci India Etf
Financial Select Sector Spdr Sedol 2364038
Health Care Select Sector Sedol 2371823
Holdings represent 69.40% of portfolio
Top 10 holdings as of 08/31/17
Net cash
Fnma Fn30 Tba 03.0000 10/01/2047
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 03.5000 09/01/2047
S&P Gsci Light Energy Official 3x Note 9/4/2018
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018
Fnma Fn30 Tba 02.5000 09/01/2047
Ishares Msci India Etf
Technology Select Sect Spdr Sedol 2369709
Holdings represent 66.11% of portfolio
Top 10 holdings as of 07/31/17
Net cash
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 03.0000 09/01/2047
Djubs Long F3 - Short Djubs 3x 144a Note 02/01/2018
Fnma Fn30 Tba 02.5000 09/01/2047
Health Care Select Sector Sedol 2371823
Technology Select Sect Spdr Sedol 2369709
Utilities Select Sector Spdr Sedol 2371812
Industrial Select Sect Spdr Sedol 2502139
Financial Select Sector Spdr Sedol 2364038
Holdings represent 66.99% of portfolio

Portfolio composition as of 10/31/17

Net cash 53.04%
U.S. stocks 20.24%
Commodities 17.51%
Agency pass-through 6.80%
Commercial MBS 5.93%
U.S. Treasury/agency 4.96%
Agency CMO 4.37%
Bank loans 4.26%
International stocks 2.92%
Emerging-market bonds 1.44%
Residential MBS (non-agency) 0.85%
Investment-grade corporate bonds 0.37%
Asset-backed securities (ABS) 0.05%
Emerging-market stocks -0.15%
High-yield corporate bonds -8.08%

Fixed income statistics as of 10/31/17

Average effective maturity 1.40 yrs.
Average effective duration 1.66 yrs.
Average price $96.77

Maturity detail as of 10/31/17

0 - 1 yr. 84.65%
1 - 5 yrs. 8.08%
5 - 10 yrs. 6.72%
10 - 15 yrs. 0.10%
Over 15 yrs. 0.45%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of stocks and bonds in the fund's portfolio 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 or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. 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. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. 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. The fund may not achieve its goal, and it is not intended to be a complete investment program. 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 certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 1.10% 1.85% 1.85% 1.60% 1.35% 0.77% 0.85%
What you pay† 1.07% 1.82% 1.82% 1.57% 1.32% 0.74% 0.82%

† The fund's expense ratio is taken from the most recent prospectus and is subject to change. What you pay reflects Putnam Management's decision to contractually limit expenses through 02/28/18

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 5.75% 0.00% 0.00% 3.50% -- -- --
$50,000-$99,999 4.50% 0.00% 0.00% 2.50% -- -- --
$100,000-$249,999 3.50% -- 0.00% 1.50% -- -- --
$250,000-$499,999 2.50% -- 0.00% 1.00% -- -- --
$500,000-$999,999 0.00% -- -- -- -- -- --
$1M-$4M 0.00% -- -- -- -- -- --
$4M-$50M 0.00% -- -- -- -- -- --
$50M+ 0.00% -- -- -- -- -- --

CDSC

  Class A (sales for $500,000+) Class B Class C Class M Class R Class R6 Class Y
0 to 9 mts. 1.00% 5.00% 1.00% -- -- -- --
9 to 12 mts. 0.00% 5.00% 1.00% -- -- -- --
2 yrs. -- 4.00% 0.00% -- -- -- --
3 yrs. -- 3.00% 0.00% -- -- -- --
4 yrs. -- 3.00% 0.00% -- -- -- --
5 yrs. -- 2.00% 0.00% -- -- -- --
6 yrs. -- 1.00% 0.00% -- -- -- --
7+ yrs. -- 0.00% 0.00% -- -- -- --

The 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. The value of stocks and bonds in the fund's portfolio 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 or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. 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. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. 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. The fund may not achieve its goal, and it is not intended to be a complete investment program. 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 certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Robert Kea will retire from Putnam effective 12/31/17.