Absolute Return 700 Fund (PDMAX)
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 |
$12.03
0.08% ( $0.01 ) |
$12.03
(07/20/17) |
$11.11
(09/13/16) |
Management team
Robert J. Kea, CFA‡ (industry since 1988)
Robert J. Schoen (industry since 1990)
Jason R. Vaillancourt, CFA (industry since 1993)
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.
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.
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.
Performance
Consistency of positive performance over five years
Performance represents 5-year returns in rolling quarter-end periods since inception.
6.55%
Best 5-year annualized return
(for period ending 03/31/14)
2.53%
Worst 5-year annualized return
(for period ending 03/31/16)
4.51%
Average 5-year annualized return
Dots represent 5-year returns in rolling quarter-end periods since inception.
15 positive 5-year periods
0 negative 5-year periods
| 100% | |
| 0% |
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 06/30/17
| Annualized performance | 1 yr. | 3 yrs. | 5 yrs. | Life (inception: 12/23/08 ) |
|---|---|---|---|---|
| Before sales charge | 6.37% | 2.65% | 3.73% | 4.99% |
| After sales charge | 0.25% | 0.65% | 2.51% | 4.26% |
| BofA Merrill Lynch U.S. Treasury Bill Index | 0.46% | 0.26% | 0.20% | -- |
| Cumulative performance | 1 yr. | 3 yrs. | 5 yrs. | Life |
|---|---|---|---|---|
| Before sales charge | 6.37% | 8.17% | 20.10% | 51.44% |
| After sales charge | 0.25% | 1.95% | 13.20% | 42.73% |
Annual performance as of 06/30/17
| 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | |
|---|---|---|---|---|---|---|---|---|
| Before sales charge | 14.42% | 3.54% | 0.51% | 7.75% | 5.91% | 5.95% | -1.65% | 2.71% |
| 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 06/30/17
| Net cash | 15.08% |
|
|---|---|---|
| Fnma Fn30 Tba 03.5000 08/01/2047 | 6.32% |
|
| Fnma Fn30 Tba 03.0000 07/01/2047 | 4.13% |
|
| Fnma Fn30 Tba 03.5000 07/01/2047 | 2.80% |
|
| Utilities Select Sector Spdr Sedol 2371812 | 2.77% |
|
| Dish Network Corp-A Sedol 2303581 | 1.54% |
|
| Ishares Msci India Etf | 1.53% |
|
| Fnma Fn30 Tba 02.5000 07/01/2047 | 1.53% |
|
| S&P Gsci Total Return Inverse Index 3x Note 03/02/2018 | 1.49% |
|
| Health Care Select Sector Sedol 2371823 | 1.49% |
|
| Top 10 holdings, percent of portfolio | 38.68% |
|
Full portfolio holdings as of 03/31/17
| FNMA FN30 TBA 03.5000 05/01/2047 | 8.95% |
|---|---|
| CITI CUSTOM F3 F0 3X NOTE 4/24/2017 | 4.16% |
| FNMA FN30 TBA 02.5000 04/01/2047 | 2.32% |
| ISHARES MSCI INDIA ETF | 1.62% |
| DISH NETWORK CORP-A | 1.54% |
| FNMA FN30 TBA 04.0000 04/01/2047 | 1.46% |
| MATERIALS SELECT SECTOR SPDR | 1.40% |
| CONSUMER STAPLES SPDR | 1.38% |
| INDUSTRIAL SELECT SECT SPDR | 1.38% |
| UTILITIES SELECT SECTOR SPDR | 1.38% |
| ENERGY SELECT SECTOR SPDR | 1.36% |
| FINANCIAL SELECT SECTOR SPDR | 1.35% |
| S&P GSCI TOTAL RETURN INVERSE INDEX 3X NOTE 03/02/2018 | 1.29% |
| SAMSUNG ELECTRONICS CO LTD | 1.23% |
| DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 04/07/2017 | 1.19% |
| DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 12/07/2017 | 1.19% |
| CDX CDX.NA.HY.28 500.0 06/20/2022 | 1.03% |
| BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE | 1.01% |
| DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 02/01/2018 | 0.66% |
| JOHNSON & JOHNSON | 0.62% |
| EXXON MOBIL CORP | 0.59% |
| ALPHABET INC-CL A | 0.57% |
| BAML MLCXP2KS 3X BOFA 144A WARRANT 09/11/2017 | 0.57% |
| HON HAI PRECISION INDUSTRY | 0.50% |
| IND & COMM BK OF CHINA-H | 0.49% |
| CISCO SYSTEMS INC | 0.48% |
| PFIZER INC | 0.47% |
| TAIWAN SEMICONDUCTOR-SP ADR | 0.45% |
| ALTRIA GROUP INC | 0.44% |
| VERIZON COMMUNICATIONS INC | 0.43% |
| UNITEDHEALTH GROUP INC | 0.42% |
| TENCENT HOLDINGS LTD | 0.41% |
| WELLS FARGO & CO | 0.39% |
| MCDONALD'S CORP | 0.38% |
| USO 20170616 C 11.00DEUTB | 0.38% |
| RAYTHEON COMPANY | 0.37% |
| SCHLUMBERGER LTD | 0.37% |
| AUTOMATIC DATA PROCESSING | 0.36% |
| NORTHROP GRUMMAN CORP | 0.36% |
| PNC FINANCIAL SERVICES GROUP | 0.36% |
| UNITED PARCEL SERVICE-CL B | 0.36% |
| EBAY INC | 0.35% |
| SMILES SA | 0.35% |
| THERMO FISHER SCIENTIFIC INC | 0.35% |
| YPF S.A.-SPONSORED ADR | 0.35% |
| AGRICULTURAL BANK OF CHINA-H | 0.34% |
| APPLIED MATERIALS INC | 0.34% |
| HONEYWELL INTERNATIONAL INC | 0.34% |
| TELEKOMUNIKASI INDONESIA PER | 0.34% |
| BRASKEM SA-PREF A | 0.32% |
| LG UPLUS CORP | 0.32% |
| PTT GLOBAL CHEMICAL PCL-FOR | 0.32% |
| REP OF ARGENTINA P/P 144A 07.1250 07/06/2036 | 0.32% |
| APPLE INC | 0.31% |
| LOWES COMPANIES INC | 0.31% |
| TENAGA NASIONAL BHD | 0.31% |
| FOXCONN TECHNOLOGY CO LTD | 0.30% |
| GREAT WALL MOTOR COMPANY-H | 0.30% |
| GRUMA S.A.B.-B | 0.30% |
| INDUSTRIAL BANK OF KOREA | 0.30% |
| CHINA CONSTRUCTION BANK-H | 0.29% |
| LOTTE CHEMICAL CORP | 0.29% |
| RICHTER GEDEON NYRT | 0.29% |
| SIAM CEMENT PUB CO-FOR REG | 0.29% |
| COUNTRY GARDEN HOLDINGS CO | 0.28% |
| GUANGZHOU R&F PROPERTIES - H | 0.28% |
| PAYCHEX INC | 0.28% |
| WASTE MANAGEMENT INC | 0.28% |
| BANK OF COMMUNICATIONS - H | 0.27% |
| CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 | 0.27% |
| CAS 2015-C04 1M2 06.6817 04/25/2028 | 0.26% |
| CHINA RAILWAY GROUP LTD-H | 0.26% |
| COLGATE-PALMOLIVE CO | 0.26% |
| FUBON FINANCIAL HOLDING CO | 0.26% |
| JBS SA | 0.26% |
| OLD MUTUAL PLC | 0.26% |
| PETROLEOS MEXICANOS USD 04.5000 01/23/2026 | 0.26% |
| SAIC MOTOR CORP LTD 144A/REGS WARRANT 02/02/2018 | 0.26% |
| TEXAS INSTRUMENTS INC | 0.26% |
| BANCO BRADESCO-ADR | 0.25% |
| CHINA RAILWAY CONSTRUCTION-H | 0.25% |
| HERSHEY CO/THE | 0.25% |
| TELKOM SA SOC LTD | 0.25% |
| VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 | 0.25% |
| AUTOZONE INC | 0.24% |
| CVS HEALTH CORP | 0.24% |
| JUNIPER NETWORKS INC | 0.24% |
| MCKESSON CORP | 0.24% |
| NETEASE INC-ADR | 0.24% |
| SK TELECOM | 0.24% |
| ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 | 0.23% |
| BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 | 0.23% |
| CEMEX SAB DE CV P/P 144A 05.7000 01/11/2025 | 0.23% |
| CHINA STATE CONSTRUCTION -A 144A REGS WARRANT 01/22/2018 | 0.23% |
| DOLLAR GENERAL CORP | 0.23% |
| IRON MOUNTAIN INC P/P 144A 06.0000 10/01/2020 | 0.23% |
| KLX INC P/P 144A 05.8750 12/01/2022 | 0.23% |
| ALIBABA GROUP HOLDING-SP ADR | 0.22% |
| CHINA CINDA ASSET MANAGEME-H | 0.22% |
| GENERAL DYNAMICS CORP | 0.22% |
| MERCER INTL INC USD 07.7500 12/01/2022 | 0.22% |
| NRG ENERGY INC 07.2500 05/15/2026 | 0.22% |
| REVLON CONS TLB L+350 04.3144 09/07/2023 | 0.22% |
| SYSCO CORP | 0.22% |
| TWENTY-FIRST CENTURY FOX-A | 0.22% |
| BANK NEGARA INDONESIA PERSER | 0.21% |
| BERKSHIRE HATHAWAY INC-CL B | 0.21% |
| FISERV INC | 0.21% |
| P G & E CORP | 0.21% |
| SINOPEC SHANGHAI PETROCHEM-H | 0.21% |
| SK INNOVATION CO LTD | 0.21% |
| STEEL DYNAMICS INC 06.3750 08/15/2022 | 0.21% |
| UNITED TRACTORS TBK PT | 0.21% |
| GENERAL MILLS INC | 0.20% |
| GRUPO FINANCIERO GALICIA-ADR | 0.20% |
| INTUITIVE SURGICAL INC | 0.20% |
| MRV ENGENHARIA | 0.20% |
| SAPPI LIMITED | 0.20% |
| VANTIV INC - CL A | 0.20% |
| AGNC INVESTMENT CORP | 0.19% |
| BANCO MACRO SA-ADR | 0.19% |
| FIRST DATA CORP P/P 144A 07.0000 12/01/2023 | 0.19% |
| IMPERIAL HOLDINGS LTD | 0.19% |
| MERCK & CO. INC. | 0.19% |
| MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 | 0.19% |
| PEOPLES INSURANCE CO | 0.19% |
| PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 | 0.19% |
| SBERBANK PJSC -SPONSORED ADR | 0.19% |
| SK HYNIX INC | 0.19% |
| ANHUI CONCH CEMENT CO LTD-H | 0.18% |
| ASURION LLC 2NDL L+750 08.5000 03/03/2021 | 0.18% |
| BUILDERS FIRSTSOURCE L+300 04.0373 02/29/2024 | 0.18% |
| HANWHA CORPORATION | 0.18% |
| HUB INTL LTD P/P 144A 07.8750 10/01/2021 | 0.18% |
| INFOR US INC 06.5000 05/15/2022 | 0.18% |
| ITAU UNIBANCO H-SPON PRF ADR | 0.18% |
| JO-ANN STORES TL L+500 06.0000 10/21/2023 | 0.18% |
| TJX COMPANIES INC | 0.18% |
| WPX ENERGY INC 06.0000 01/15/2022 | 0.18% |
| AES CORP/VA 05.5000 04/15/2025 | 0.17% |
| ALLIANT HLDG INT LLC P/P 144A 08.2500 08/01/2023 | 0.17% |
| CAESARS GROWTH PROP TL L+525 06.2500 05/08/2021 | 0.17% |
| DISCOVER FINANCIAL SERVICES | 0.17% |
| ELDORADO RESORTS INC 07.0000 08/01/2023 | 0.17% |
| EMBRAER SA | 0.17% |
| MARSH & MCLENNAN COS | 0.17% |
| VISTRA TLB L+275 03.5000 08/04/2023 | 0.17% |
| ALTISOURCE SOL TLB L+350 04.5000 12/09/2020 | 0.16% |
| CBS CORP-CLASS B NON VOTING | 0.16% |
| CHINA LESSO GROUP HOLDINGS L | 0.16% |
| COMCAST CORP-CLASS A | 0.16% |
| HASBRO INC | 0.16% |
| HYOSUNG CORPORATION | 0.16% |
| MSC 2006-HQ10 B 05.4480 11/12/2041 | 0.16% |
| QUALICORP SA | 0.16% |
| SOUTHERN CO/THE | 0.16% |
| TALBOTS INC 2NDL L+850 09.5000 03/19/2021 | 0.16% |
| 2.50 R ISWP FWD USL3M P 06/21/2027 | 0.15% |
| AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 | 0.15% |
| CAPITAL ONE FINANCIAL CORP | 0.15% |
| CAS 2016-C02 1B 13.2317 09/25/2028 | 0.15% |
| CHONGQING RURAL COMMERCIAL-H | 0.15% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.15% |
| DIGICEL GROUP LTD P/P 144A 08.2500 09/30/2020 | 0.15% |
| GSGLPWDL R USL1M P 12/15/20 GS | 0.15% |
| JPCMPTSH P USL1M R 12/15/17 JP | 0.15% |
| SPST 2017-1 A 01.8817 02/25/2049 | 0.15% |
| TRAVELERS COS INC/THE | 0.15% |
| US BANCORP | 0.15% |
| WIDEOPENWEST FIN 10.2500 07/15/2019 | 0.15% |
| WINDSTREAM SERVICES LLC 06.3750 08/01/2023 | 0.15% |
| AMERICAN ELECTRIC POWER | 0.14% |
| AT&T INC | 0.14% |
| AVERY DENNISON CORP | 0.14% |
| CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 | 0.14% |
| DBCT15LP R USL3M P 03/07/18 DE | 0.14% |
| FHR 4568 MI IO 04.0000 04/15/2046 | 0.14% |
| MATTAMY GROUP CORP P/P 144A 06.5000 11/15/2020 | 0.14% |
| SCIENTIFIC GAMES TLB3 L+400 04.7500 10/01/2021 | 0.14% |
| SHERWIN-WILLIAMS CO/THE | 0.14% |
| SPRINT COMMUNICATIONS INC. 07.0000 08/15/2020 | 0.14% |
| VTB BANK (VTB CAP SA P/P 144A 06.8750 05/29/2018 | 0.14% |
| CBAC/HORSESHOE TLB L+700 08.2500 07/02/2020 | 0.13% |
| DAVITA INC | 0.13% |
| FHR 4604 QI IO 03.5000 07/15/2046 | 0.13% |
| FNMA FN30 AL6919 05.5000 01/01/2038 | 0.13% |
| HIGHWEALTH CONSTRUCTION CORP | 0.13% |
| ICAHN ENTER/FIN 04.8750 03/15/2019 | 0.13% |
| INTERCONTINENTAL EXCHANGE IN | 0.13% |
| MICROSOFT CORP | 0.13% |
| MISC BHD | 0.13% |
| NAVISTAR TLB L+400 05.0000 08/07/2020 | 0.13% |
| PAMPA ENERGIA SA-SPON ADR | 0.13% |
| PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 | 0.13% |
| STACR 2015-DN1 B 12.4817 01/25/2025 | 0.13% |
| SUNTRUST BANKS INC | 0.13% |
| VALEANT PHARMA P/P 144A 05.8750 05/15/2023 | 0.13% |
| VOYA FINANCIAL INC | 0.13% |
| WAMU 2005-AR13 A1C3 01.4717 10/25/2045 | 0.13% |
| A SCHULMAN INC 06.8750 06/01/2023 | 0.12% |
| BANK OF NEW YORK MELLON CORP | 0.12% |
| BOMBARDIER INC P/P 144A 08.7500 12/01/2021 | 0.12% |
| CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 | 0.12% |
| CLEAR CHANNEL TLD L+675 07.5283 01/30/2019 | 0.12% |
| CWALT 2006-OA7 1A2 01.5776 06/25/2046 | 0.12% |
| FHR 3852 NT 05.0878 05/15/2041 | 0.12% |
| FNMA FN30 AL7828 04.5000 11/01/2044 | 0.12% |
| GLOBANT SA | 0.12% |
| INTUIT INC | 0.12% |
| JPMBB 2014-C18 D P/P 144A 04.8140 02/15/2047 | 0.12% |
| PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 | 0.12% |
| VERTIV TLB L+400 05.0000 11/30/2023 | 0.12% |
| WEST CORP P/P 144A 05.3750 07/15/2022 | 0.12% |
| AIRASIA BHD | 0.11% |
| CAS 2016-C01 1B 12.7317 08/25/2028 | 0.11% |
| EMLAK KONUT GAYRIMENKUL YATI | 0.11% |
| FRONTIER COMM 08.8750 09/15/2020 | 0.11% |
| GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 | 0.11% |
| GNR 2015-186 AI IO 04.0000 12/20/2045 | 0.11% |
| GNR 2015-H10 CI IO 01.7968 04/20/2065 | 0.11% |
| GNR 2015-H19 NI IO 01.9001 07/20/2065 | 0.11% |
| GNR 2015-H24 HI IO 02.0341 09/20/2065 | 0.11% |
| GNR 2016-H23 NI IO 02.5913 10/20/2066 | 0.11% |
| PETROLEOS DE VENEZUELA S REGS 09.0000 11/17/2021 | 0.11% |
| STACR 2016-DNA1 B 10.9817 07/25/2028 | 0.11% |
| SUGAR HSP GAMING P/P 144A 06.3750 06/01/2021 | 0.11% |
| AFLAC INC | 0.10% |
| ALLISON TRANSMISSION HOLDING | 0.10% |
| AMERICAN AXLE & MFG INC 07.7500 11/15/2019 | 0.10% |
| AMERISOURCEBERGEN CORP | 0.10% |
| ANNALY CAPITAL MANAGEMENT IN | 0.10% |
| ARCELORMITTAL USD 06.1250 06/01/2025 | 0.10% |
| AVAYA INC TLB6 L+550 06.5000 03/31/2018 | 0.10% |
| COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 | 0.10% |
| EQUITY RESIDENTIAL TR REIT | 0.10% |
| FNMA FN30 TBA 05.5000 04/01/2047 | 0.10% |
| GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 | 0.10% |
| GNR 2015-H20 CI IO 02.1698 08/20/2065 | 0.10% |
| GNR 2015-H25 BI IO 02.2047 10/20/2065 | 0.10% |
| GNR 2016-111 IP IO 03.5000 08/20/2046 | 0.10% |
| INTERPUBLIC GROUP OF COS INC | 0.10% |
| KOREA ELECTRIC POWER CORP | 0.10% |
| NEIMAN MARCUS TL L+325 04.2500 10/25/2020 | 0.10% |
| NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 | 0.10% |
| ONEX USI AC P/P 144A 07.7500 01/15/2021 | 0.10% |
| PROCTER & GAMBLE CO/THE | 0.10% |
| REP OF INDONESIA P/P 144A 05.9500 01/08/2046 | 0.10% |
| RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 | 0.10% |
| SHINHAN FINANCIAL GROUP LTD | 0.10% |
| SOUTHWEST AIRLINES CO | 0.10% |
| SYNOPSYS INC | 0.10% |
| UFC 1STL L+325 04.2500 08/18/2023 | 0.10% |
| UNIVAR USA INC P/P 144A 06.7500 07/15/2023 | 0.10% |
| AMERICAN TIRE DISTRI P/P 144A 10.2500 03/01/2022 | 0.09% |
| AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 | 0.09% |
| BCAP 2012-RR5 4A8 00.9483 06/26/2035 | 0.09% |
| CAPITAL AUTO 2NDL L+600 07.0000 03/24/2025 | 0.09% |
| CONCHO RESOURCES INC 05.5000 10/01/2022 | 0.09% |
| CR BARD INC | 0.09% |
| CWALT 2005-59 1A1 01.3061 11/20/2035 | 0.09% |
| DYNEGY TLC L+325 04.2500 06/27/2023 | 0.09% |
| FHLMC FH30G TBA 03.5000 04/01/2047 | 0.09% |
| FHR 4530 HI IO 04.0000 11/15/2045 | 0.09% |
| FNMA FN30 TBA 04.5000 04/01/2047 | 0.09% |
| FNR 2012-118 IC IO 03.5000 11/25/2042 | 0.09% |
| FRAC TECH INTL TLB L+475 05.7500 04/16/2021 | 0.09% |
| FREEDOM MORTGAGE TLB L+550 06.5565 02/16/2022 | 0.09% |
| GNR 2012-136 BI IO 03.5000 11/20/2042 | 0.09% |
| GNR 2014-2 IC IO 05.0000 01/16/2044 | 0.09% |
| GNR 2015-187 JI IO 04.0000 03/20/2045 | 0.09% |
| GNR 2015-H16 XI IO 02.2019 07/20/2065 | 0.09% |
| INNOLUX CORP | 0.09% |
| KIMBERLY-CLARK DE MEXICO-A | 0.09% |
| LAREDO PETROLEUM INC 07.3750 05/01/2022 | 0.09% |
| MSBAM 2013-C13 F P/P 144A 03.7070 11/15/2046 | 0.09% |
| OASIS PETROLEUM INC 06.8750 03/15/2022 | 0.09% |
| ONEMAIN FIN HLDG INC P/P 144A 07.2500 12/15/2021 | 0.09% |
| ORTHO-CLINICAL TLB L+375 04.7500 06/30/2021 | 0.09% |
| PROVIDENT FDG/PFG P/P 144A 06.7500 06/15/2021 | 0.09% |
| RITE AID 2NDL L+387.5 04.8750 06/07/2021 | 0.09% |
| STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 | 0.09% |
| TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 | 0.09% |
| AGILENT TECHNOLOGIES INC | 0.08% |
| AMDOCS LTD | 0.08% |
| BMIR 2015-1A B1 07.2817 07/25/2025 | 0.08% |
| CAS 2016-C03 1B 12.7317 10/25/2028 | 0.08% |
| CAS 2016-C03 2M2 06.8817 10/25/2028 | 0.08% |
| CHIMERA INVESTMENT CORP | 0.08% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.08% |
| EVA AIRWAYS CORP | 0.08% |
| EVEREST RE GROUP LTD | 0.08% |
| FHR 4121 AI IO 03.5000 10/15/2042 | 0.08% |
| FHR 4389 IA IO 04.0000 09/15/2044 | 0.08% |
| FHR 4452 QI IO 04.0000 11/15/2044 | 0.08% |
| FNMA FN30 AL7510 03.5000 10/01/2045 | 0.08% |
| FNMA FN30 AL7706 03.5000 11/01/2045 | 0.08% |
| FNR 2012-68 BS IO 05.0183 07/25/2042 | 0.08% |
| FNR 2014-47 IP IO 04.0000 03/25/2044 | 0.08% |
| FNR 2016-3 NI IO 06.0000 02/25/2046 | 0.08% |
| GNR 2012-38 MI IO 04.0000 03/20/2042 | 0.08% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.08% |
| GNR 2015-79 CI IO 04.0000 05/20/2045 | 0.08% |
| GNR 2015-80 IA IO 04.5000 06/20/2045 | 0.08% |
| GNR 2015-82 GI IO 03.5000 12/20/2038 | 0.08% |
| GNR 2015-H09 BI IO 01.6841 03/20/2065 | 0.08% |
| GNR 2015-H14 BI IO 01.5771 05/20/2065 | 0.08% |
| GNR 2015-H26 EI IO 01.7094 10/20/2065 | 0.08% |
| GNR 2016-49 IO IO 04.5000 11/16/2045 | 0.08% |
| GNR 2016-H02 BI IO 02.2378 11/20/2065 | 0.08% |
| GNR 2016-H07 HI IO 02.1172 02/20/2066 | 0.08% |
| HANKOOK TIRE CO LTD | 0.08% |
| HYUNDAI MARINE | 0.08% |
| JLL/DELTA DUTCH NEW P/P 144A 07.5000 02/01/2022 | 0.08% |
| LBUBS 2006-C3 C 05.5468 03/15/2039 | 0.08% |
| PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 | 0.08% |
| PHILLIPS 66 | 0.08% |
| STACR 2015-DNA3 B 10.3317 04/25/2028 | 0.08% |
| TECHNIPFMC PLC | 0.08% |
| TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 | 0.08% |
| TRIPOD TECHNOLOGY CORP | 0.08% |
| YONKERS RACING 1STL L+325 04.2500 08/20/2019 | 0.08% |
| AVAYA INC P/P 144A 07.0000 04/01/2019 | 0.07% |
| BROADRIDGE FINANCIAL SOLUTIO | 0.07% |
| CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 | 0.07% |
| CHINA MOBILE LTD | 0.07% |
| CLEAR CHANNEL COMMUN 09.0000 12/15/2019 | 0.07% |
| FHR 4026 GI IO 04.5000 09/15/2041 | 0.07% |
| FHR 4096 SM IO 05.1378 08/15/2042 | 0.07% |
| FHR 4134 PI IO 03.0000 11/15/2042 | 0.07% |
| FHR 4322 ID IO 04.5000 05/15/2043 | 0.07% |
| FHR 4601 IC IO 04.0000 12/15/2045 | 0.07% |
| FHS 303 C18 IO 03.5000 01/15/2043 | 0.07% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.07% |
| FNR 2016-50 PI IO 03.0000 08/25/2046 | 0.07% |
| GNR 2014-104 IO IO 04.0000 03/20/2042 | 0.07% |
| GNR 2014-182 KI IO 05.0000 10/20/2044 | 0.07% |
| GNR 2015-96 NI IO 03.5000 01/20/2039 | 0.07% |
| GNR 2015-H22 GI IO 02.5804 09/20/2065 | 0.07% |
| GNR 2015-H24 BI IO 01.6041 08/20/2065 | 0.07% |
| GNR 2015-H25 AI IO 01.6033 09/20/2065 | 0.07% |
| GNR 2015-H25 EI IO 01.8332 10/20/2065 | 0.07% |
| GNR 2015-H26 DI IO 02.2908 10/20/2065 | 0.07% |
| GNR 2016-H03 AI IO 02.3706 01/20/2066 | 0.07% |
| JC PENNEY CORP INC 08.1250 10/01/2019 | 0.07% |
| MOTOROLA SOLUTIONS INC | 0.07% |
| PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 | 0.07% |
| SBERBANK (SB CAP SA) P/P 144A 05.1250 10/29/2022 | 0.07% |
| SERVICEMASTER GLOBAL HOLDING | 0.07% |
| SPY 20180316 P 205.00JPMCB | 0.07% |
| T-MOBILE USA INC 06.2500 04/01/2021 | 0.07% |
| WFCM 2013-LC12 D P/P 144A 04.2961 07/15/2046 | 0.07% |
| ALFA S.A.B.-A | 0.06% |
| ALLY FINANCIAL INC | 0.06% |
| AMERICAN WATER WORKS CO INC | 0.06% |
| ASURION LLC TLB2 L+325 04.0283 07/08/2020 | 0.06% |
| BCAP 2014-RR1 2A2 02.8542 01/26/2036 | 0.06% |
| BSCMS 2006-PW11 B P/P 144A 05.6925 03/11/2039 | 0.06% |
| BSCMS 2007-T26 AJ 05.5660 01/12/2045 | 0.06% |
| CWALT 2006-OA10 1A1 01.5976 08/25/2046 | 0.06% |
| DEL MONTE 2NDL L+725 08.3100 08/18/2021 | 0.06% |
| FHR 4073 AS IO 05.1378 08/15/2038 | 0.06% |
| FHR 4121 MI IO 04.0000 10/15/2042 | 0.06% |
| FNMA FN30 AB7936 03.0000 02/01/2043 | 0.06% |
| FNMA FN30 AR6852 03.0000 02/01/2043 | 0.06% |
| FNR 2011-4 CS 10.9367 05/25/2040 | 0.06% |
| FNR 2014-76 IO IO 03.5000 11/25/2039 | 0.06% |
| FNS 421 C6 IO 04.0000 05/25/2045 | 0.06% |
| GNR 2009-121 CI IO 04.5000 12/16/2039 | 0.06% |
| GNR 2009-79 IC IO 06.0000 08/20/2039 | 0.06% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.06% |
| GNR 2013-76 IO IO 03.5000 05/20/2043 | 0.06% |
| GNR 2013-79 XI IO 03.5000 11/20/2039 | 0.06% |
| GNR 2014-133 IP IO 05.0000 09/16/2044 | 0.06% |
| GNR 2014-H21 AI IO 01.9668 10/20/2064 | 0.06% |
| GNR 2015-124 DI IO 03.5000 01/20/2038 | 0.06% |
| GNR 2015-20 PI IO 03.5000 02/20/2045 | 0.06% |
| GNR 2015-24 AI IO 03.5000 12/20/2037 | 0.06% |
| GNR 2015-35 AI IO 05.0000 03/16/2045 | 0.06% |
| GNR 2015-H09 AI IO 02.1091 04/20/2065 | 0.06% |
| GNR 2015-H10 EI IO 01.6252 04/20/2065 | 0.06% |
| GNR 2015-H15 JI IO 01.9359 06/20/2065 | 0.06% |
| GNR 2015-H26 GI IO 01.7798 10/20/2065 | 0.06% |
| GNR 2016-136 YI IO 03.5000 03/20/2045 | 0.06% |
| GNR 2016-H08 GI IO 01.4207 04/20/2066 | 0.06% |
| HARTFORD FINL SVCS GRP 08.1250 06/15/2038 | 0.06% |
| HCA INC 06.5000 02/15/2020 | 0.06% |
| JPMBB 2013-C12 E P/P 144A 04.0869 07/15/2045 | 0.06% |
| JPMBB 2013-C14 E P/P 144A 04.5637 08/15/2046 | 0.06% |
| L3 TECHNOLOGIES INC | 0.06% |
| MACQUARIE MEXICO RE | 0.06% |
| MSBAM 2012-C6 F P/P 144A 04.6477 11/15/2045 | 0.06% |
| MSBAM 2013-C11 F P/P 144A 04.3705 08/15/2046 | 0.06% |
| REGENCY CENTERS CORP | 0.06% |
| REINSURANCE GROUP OF AMERICA | 0.06% |
| SAMI 2007-AR1 2A1 01.1617 01/25/2037 | 0.06% |
| SANDRIDGE ENERGY INC | 0.06% |
| SAO MARTINHO SA | 0.06% |
| SPY 20180216 P 200.00CITI | 0.06% |
| SURGUTNEFTEGAS-SP ADR | 0.06% |
| TELECOM ARGENTINA SA-SP ADR | 0.06% |
| TENET HEALTHCARE 06.2500 11/01/2018 | 0.06% |
| TMS INTL CORP P/P 144A 07.6250 10/15/2021 | 0.06% |
| TRAVELPORT TLB L+325 04.2890 09/02/2021 | 0.06% |
| VNESHECONOMBANK P/P 144A 06.9020 07/09/2020 | 0.06% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.06% |
| ADECOAGRO SA | 0.05% |
| BACM 2008-1 C P/P 144A 06.2740 02/10/2051 | 0.05% |
| BBVA BANCO FRANCES SA-ADR | 0.05% |
| BWX TECHNOLOGIES INC | 0.05% |
| CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 | 0.05% |
| CHINA DONGXIANG GROUP CO | 0.05% |
| CHURCH & DWIGHT CO INC | 0.05% |
| CIFI HOLDINGS GROUP CO LTD | 0.05% |
| CROWN HOLDINGS INC | 0.05% |
| DIAMOND RESORTS TLB L+600 07.0000 09/02/2023 | 0.05% |
| EVERSOURCE ENERGY | 0.05% |
| FHR 4116 MI IO 04.0000 10/01/2042 | 0.05% |
| FHR 4122 CI IO 03.5000 10/15/2042 | 0.05% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.05% |
| FIRST QUANTUM P/P 144A 07.0000 02/15/2021 | 0.05% |
| FNMA FN30 AO5471 03.5000 06/01/2042 | 0.05% |
| FNR 2016-98 QI IO 03.5000 02/25/2046 | 0.05% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.05% |
| GNR 2012-51 GI IO 03.5000 07/20/2040 | 0.05% |
| GNR 2013-79 PI IO 03.5000 04/20/2043 | 0.05% |
| GNR 2014-122 IC IO 05.0000 08/20/2044 | 0.05% |
| GNR 2015-64 PI IO 03.5000 05/20/2045 | 0.05% |
| GNR 2016-H04 KI IO 02.1217 02/20/2066 | 0.05% |
| GOLDEN NUGGET TL L+350 04.5396 11/21/2019 | 0.05% |
| GSMS 2013-GC10 E P/P 144A 04.4105 02/10/2046 | 0.05% |
| GSVICUI3 R 0.45 P 12/15/20 GS | 0.05% |
| HOME DEPOT INC | 0.05% |
| JPMCC 2007-CB20 C P/P 144A 06.2777 02/12/2051 | 0.05% |
| JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 | 0.05% |
| MSBAM 2013-C11 E P/P 144A 04.3705 08/15/2046 | 0.05% |
| MSBAM 2014-C17 D P/P 144A 04.6978 08/15/2047 | 0.05% |
| MSC 2007-HQ11 C 05.5580 02/12/2044 | 0.05% |
| NISOURCE INC | 0.05% |
| OJSC RUSS AGRIC BK P/P 144A 05.2980 12/27/2017 | 0.05% |
| POPULAR INC | 0.05% |
| RELIANCE STEEL & ALUMINUM | 0.05% |
| SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 | 0.05% |
| TWO HARBORS INVESTMENT CORP | 0.05% |
| WBCMT 2005-C21 E P/P 144A 05.2945 10/15/2044 | 0.05% |
| ZHENGZHOU YUTONG BUS 144A/REGS WARRANT 7/24/2017 | 0.05% |
| 3.75 R ISWP FWD NFIX3MID P 06/21/2027 | 0.04% |
| ALLSTATE CORP | 0.04% |
| ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 | 0.04% |
| ASHLAND GLOBAL HOLDINGS INC | 0.04% |
| ASPEN INSURANCE HOLDINGS LTD | 0.04% |
| BANK OF CHINA LTD-H | 0.04% |
| BEMIS COMPANY | 0.04% |
| BERRY PLASTICS GROUP INC | 0.04% |
| BSCMS 2005-PWR7 C 05.2350 02/11/2041 | 0.04% |
| BSCMS 2005-PWR7 D 05.3040 02/11/2041 | 0.04% |
| CARTERS INC | 0.04% |
| CAS 2015-C03 1M2 05.9817 07/25/2025 | 0.04% |
| CHEMOURS CO 06.6250 05/15/2023 | 0.04% |
| COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 | 0.04% |
| CONCORDIA INTL P/P 144A 07.0000 04/15/2023 | 0.04% |
| CORELOGIC INC | 0.04% |
| CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 | 0.04% |
| CROATIA P/P 144A 06.2500 04/27/2017 | 0.04% |
| CWALT 2005-27 1A6 01.8017 08/25/2035 | 0.04% |
| DIGICEL LIMITED P/P 144A 07.0000 02/15/2020 | 0.04% |
| FHR 4097 PI IO 03.5000 11/15/2040 | 0.04% |
| FHR 4193 PI IO 04.0000 03/15/2043 | 0.04% |
| FHR 4355 DI IO 04.0000 03/15/2044 | 0.04% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.04% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.04% |
| FNR 2013-21 AI IO 03.5000 03/25/2033 | 0.04% |
| FNR 2013-8 NI IO 03.0000 12/25/2042 | 0.04% |
| FREEPORT-MCMORAN INC P/P 144A 06.7500 02/01/2022 | 0.04% |
| GNR 2010-134 ES IO 05.0217 11/20/2039 | 0.04% |
| GNR 2011-17 S IO 05.0717 02/20/2041 | 0.04% |
| GNR 2013-157 IA IO 03.5000 04/20/2040 | 0.04% |
| GNR 2013-34 PI IO 04.5000 08/20/2039 | 0.04% |
| GNR 2013-6 AI IO 03.5000 08/20/2039 | 0.04% |
| GNR 2014-133 AI IO 04.0000 10/20/2036 | 0.04% |
| GNR 2014-163 NI IO 05.0000 02/20/2044 | 0.04% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.04% |
| GNR 2015-124 NI IO 03.5000 06/20/2039 | 0.04% |
| GNR 2015-H18 IA IO 01.8200 06/20/2065 | 0.04% |
| GNR 2015-H26 CI IO 00.6481 08/20/2065 | 0.04% |
| GNR 2016-154 IB IO 05.0000 11/20/2039 | 0.04% |
| GNR 2016-77 SC IO 05.1217 10/20/2045 | 0.04% |
| GREAT PLAINS ENERGY INC | 0.04% |
| HYATT HOTELS CORP - CL A | 0.04% |
| JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 | 0.04% |
| JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 | 0.04% |
| KIMBERLY-CLARK CORP | 0.04% |
| MACERICH CO/THE | 0.04% |
| MFA FINANCIAL INC | 0.04% |
| MSC 2007-HQ11 D 05.5870 02/12/2044 | 0.04% |
| PETROBRAS ARGENTINA - ADR | 0.04% |
| POOL CORP | 0.04% |
| PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 | 0.04% |
| PROVINCIA DE CORDOBA P/P 144A 07.1250 06/10/2021 | 0.04% |
| REP OF INDONESIA P/P 144A 04.7500 01/08/2026 | 0.04% |
| SCOTTS MIRACLE-GRO CO | 0.04% |
| SONOCO PRODUCTS CO | 0.04% |
| SPY 20180119 P 195.00JPMCB | 0.04% |
| TCF FINANCIAL CORP | 0.04% |
| VISTRA TLC L+275 03.5000 08/04/2023 | 0.04% |
| WESTAR ENERGY INC | 0.04% |
| WESTERN ALLIANCE BANCORP | 0.04% |
| WFRBS 2012-C6 E P/P 144A 05.0000 04/15/2045 | 0.04% |
| WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 | 0.04% |
| ALLEGHANY CORP | 0.03% |
| AMERICAN FINANCIAL GROUP INC | 0.03% |
| ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 | 0.03% |
| ARAMARK | 0.03% |
| ASSURED GUARANTY LTD | 0.03% |
| CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 | 0.03% |
| CARLISLE COS INC | 0.03% |
| CHARLES RIVER LABORATORIES | 0.03% |
| COMM 2007-C9 D 05.8075 12/10/2049 | 0.03% |
| CONSTELLATION BRANDS INC-A | 0.03% |
| EQUITY COMMONWEALTH | 0.03% |
| EQUITY LIFESTYLE PROPERTIES | 0.03% |
| FHR 2990 LB 14.6141 06/15/2034 | 0.03% |
| FHR 3996 IK IO 04.0000 03/15/2039 | 0.03% |
| FHR 4136 IW IO 03.5000 10/15/2042 | 0.03% |
| FHR 4150 DI IO 03.0000 01/15/2043 | 0.03% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.03% |
| FHR 4213 GI IO 04.0000 11/15/2041 | 0.03% |
| FHR 4462 IO IO 04.0000 04/15/2045 | 0.03% |
| FITBIT INC - A | 0.03% |
| FNMA FN30 BD0494 03.5000 07/01/2046 | 0.03% |
| FNMA FN30 BD6401 03.5000 09/01/2046 | 0.03% |
| FNR 2013-1 MI IO 03.0000 01/25/2043 | 0.03% |
| FNR 2013-31 NI IO 03.0000 06/25/2041 | 0.03% |
| FNR 2013-6 BI IO 03.0000 12/25/2042 | 0.03% |
| FNR 2014-10 IO IO 03.5000 08/25/2042 | 0.03% |
| GENPACT LTD | 0.03% |
| GNR 2010-35 AI IO 04.5000 03/20/2040 | 0.03% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.03% |
| GNR 2013-100 MI IO 03.5000 02/20/2043 | 0.03% |
| GNR 2013-151 IB IO 04.5000 02/20/2040 | 0.03% |
| GNR 2013-183 AI IO 03.5000 10/20/2039 | 0.03% |
| GNR 2013-90 HI IO 03.5000 04/20/2040 | 0.03% |
| GNR 2015-118 EI IO 03.5000 07/20/2039 | 0.03% |
| GNR 2015-167 BI IO 04.5000 04/16/2045 | 0.03% |
| GNR 2015-24 CI IO 03.5000 02/20/2045 | 0.03% |
| GNR 2015-24 IA IO 03.5000 02/20/2045 | 0.03% |
| GNR 2015-24 IC IO 03.5000 11/20/2037 | 0.03% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.03% |
| GNR 2016-H04 HI IO 02.3596 07/20/2065 | 0.03% |
| GNR 2016-H11 HI IO 02.0833 01/20/2066 | 0.03% |
| GSVIVV69 R 0.3 P 12/15/20 GS | 0.03% |
| HIGHWOODS PROPERTIES INC | 0.03% |
| JPMCC 2012-C6 F P/P 144A 05.1525 05/15/2045 | 0.03% |
| LIBERTY PROPERTY TRUST | 0.03% |
| MSCI INC | 0.03% |
| NASPERS LTD-N SHS | 0.03% |
| PEPSICO INC | 0.03% |
| PVH CORP | 0.03% |
| REP OF INDONESIA P/P 144A 05.2500 01/17/2042 | 0.03% |
| SPY 20171215 P 195.00JPMCB | 0.03% |
| STACR 2016-DNA2 B 11.4817 10/25/2028 | 0.03% |
| TAIWAN DOLLAR CALL ACCOUNT | 0.03% |
| TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 | 0.03% |
| WAMU 2005-AR19 A1C3 01.4817 12/25/2045 | 0.03% |
| WFRBS 2011-C4 E P/P 144A 05.2482 06/15/2044 | 0.03% |
| WFRBS 2012-C10 E P/P 144A 04.4551 12/15/2045 | 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% |
| AHM 2007-1 GA1C 01.1717 05/25/2047 | 0.02% |
| ASSOCIATED BANC-CORP | 0.02% |
| AU OPTRONICS CORP | 0.02% |
| AUD/USD 04/19/2017 JPMCB | 0.02% |
| BACM 2005-1 C 05.2802 11/10/2042 | 0.02% |
| BALTA 2004-3 B 03.9067 04/25/2034 | 0.02% |
| BRANDYWINE REALTY TRUST | 0.02% |
| BSCMS 2005-PWR9 C 05.0550 09/11/2042 | 0.02% |
| BSCMS 2006-PW11 C P/P 144A 05.6925 03/11/2039 | 0.02% |
| CAS 2015-C02 2M2 04.9817 05/25/2025 | 0.02% |
| CAS 2017-C02 2B1 06.4772 09/25/2029 | 0.02% |
| CD 2007-CD5 E P/P 144A 06.1589 11/15/2044 | 0.02% |
| CHC GRP LLC/FIN P/P USD 00.0000 09/15/2020 | 0.02% |
| CLOROX COMPANY | 0.02% |
| COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 | 0.02% |
| COMMERCEHUB INC-SERIES C | 0.02% |
| CONTROLADORA VUELA CIA DE-A | 0.02% |
| CORPORATE OFFICE PROPERTIES | 0.02% |
| CROATIA P/P 144A 06.3750 03/24/2021 | 0.02% |
| DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 | 0.02% |
| DRIL-QUIP INC | 0.02% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.02% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.02% |
| FHR 4369 IA IO 03.5000 07/15/2044 | 0.02% |
| FNMA FN30 BD3705 03.5000 08/01/2046 | 0.02% |
| FNR 2012-101 PI IO 03.5000 08/25/2040 | 0.02% |
| FNR 2012-136 PI IO 03.5000 11/25/2042 | 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 2013-35 IP IO 03.0000 06/25/2042 | 0.02% |
| FNR 2015-10 AI IO 03.5000 08/25/2043 | 0.02% |
| GNR 2010-20 UI IO 05.0000 02/20/2040 | 0.02% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 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 2013-102 IP IO 03.5000 06/20/2043 | 0.02% |
| GNR 2013-24 PI IO 04.0000 11/20/2042 | 0.02% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.02% |
| GNR 2013-37 LI IO 03.5000 01/20/2042 | 0.02% |
| GNR 2013-53 IA IO 04.0000 12/20/2026 | 0.02% |
| GNR 2014-115 QI IO 03.0000 03/20/2029 | 0.02% |
| GNR 2014-162 DI IO 04.0000 11/20/2038 | 0.02% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 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% |
| GOLDEN NUGGET DD L+450 05.5000 11/21/2019 | 0.02% |
| GSAA 2007-6 1A1 01.1017 05/25/2047 | 0.02% |
| GSVICUB3 R 0.45 P 12/15/20 GS | 0.02% |
| GSVIVVOL R 0.3 P 12/15/20 GS | 0.02% |
| HALCON RESOURCES CORP | 0.02% |
| HANOVER INSURANCE GROUP INC/ | 0.02% |
| ITAUSA-INVESTIMENTOS ITAU-PR | 0.02% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.02% |
| KB FINANCIAL GROUP INC | 0.02% |
| LBUBS 2006-C6 D 05.5020 09/15/2039 | 0.02% |
| LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 | 0.02% |
| MADISON SQUARE GARDEN CO- A | 0.02% |
| MHL 2004-1 M2 01.9867 11/25/2034 | 0.02% |
| MID-AMERICA APARTMENT COMM | 0.02% |
| MLMT 2004-KEY2 D 05.0460 08/12/2039 | 0.02% |
| MSC 2007-T27 AJ 05.7908 06/11/2042 | 0.02% |
| PUBLIC STORAGE | 0.02% |
| REP OF ARGENTINA P/P 144A 06.6250 07/06/2028 | 0.02% |
| REP OF ARGENTINA P/P 144A 06.8750 01/26/2027 | 0.02% |
| RETAIL PROPERTIES OF AME - A | 0.02% |
| RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 | 0.02% |
| SPY 20171117 P 186.00JPMCB | 0.02% |
| USD/MXN PUT 19.00 20170421 GSFX | 0.02% |
| VAIL RESORTS INC | 0.02% |
| VANTAGE DRILLING INT-UNIT | 0.02% |
| VNESHECONOMBANK P/P 144A 06.8000 11/22/2025 | 0.02% |
| VNESHECONOMBANK(VEB) P/P 144A 05.9420 11/21/2023 | 0.02% |
| VWR CORP | 0.02% |
| WATERS CORP | 0.02% |
| WEINGARTEN REALTY INVESTORS | 0.02% |
| WFCM 2012-LC5 E P/P 144A 04.7761 10/15/2045 | 0.02% |
| WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 | 0.02% |
| WILEY (JOHN) & SONS-CLASS A | 0.02% |
| WORLD FUEL SERVICES CORP | 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% |
| 2.65 R ISWP FWD USL3M P 06/21/2027 | 0.01% |
| 2.70 R ISWP FWD USL3M P 06/21/2047 | 0.01% |
| AUD/USD 04/19/2017 BANKAM | 0.01% |
| AUD/USD 04/19/2017 RBSF | 0.01% |
| BACM 2005-3 AJ 04.7670 07/10/2043 | 0.01% |
| BACM 2005-5 D 05.3935 10/10/2045 | 0.01% |
| BACM 2006-1 B 05.4900 09/10/2045 | 0.01% |
| CAS 2015-C01 2M2 05.5317 02/25/2025 | 0.01% |
| CAS 2015-C02 1M2 04.9817 05/25/2025 | 0.01% |
| CAS 2015-C03 2M2 05.9817 07/25/2025 | 0.01% |
| CAS 2015-C04 2M2 06.5317 04/25/2028 | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.01% |
| COTY INC-CL A | 0.01% |
| EUR/USD 06/21/2017 BANKAM | 0.01% |
| FHR 3687 CI IO 05.0000 11/15/2038 | 0.01% |
| FHR 4104 S IO 05.1878 09/15/2042 | 0.01% |
| FNMA FN30 BD3718 03.5000 08/01/2046 | 0.01% |
| FNR 2005-122 SE 19.6642 11/25/2035 | 0.01% |
| FNR 2005-74 NK 22.5917 05/25/2035 | 0.01% |
| FNR 2012-96 PI IO 04.0000 07/25/2041 | 0.01% |
| GBP/USD 06/21/2017 BCAP-FX | 0.01% |
| GBP/USD 06/21/2017 RBSF | 0.01% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 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 2011-81 SB IO 05.7767 11/16/2036 | 0.01% |
| GNR 2012-106 QI IO 04.0000 07/20/2042 | 0.01% |
| GNR 2012-71 JI IO 03.5000 04/16/2041 | 0.01% |
| GNR 2013-129 SN IO 05.1717 09/20/2043 | 0.01% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.01% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.01% |
| GNR 2013-99 VS IO 05.1717 07/16/2043 | 0.01% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.01% |
| GNR 2014-145 PI IO 03.5000 10/20/2029 | 0.01% |
| GSMS 2013-GC10 D P/P 144A 04.4105 02/10/2046 | 0.01% |
| INR/USD 05/17/2017 BANKAM | 0.01% |
| INR/USD 05/17/2017 GSFX | 0.01% |
| JPMCC 2006-LDP7 B 05.9390 04/17/2045 | 0.01% |
| LBUBS 2006-C6 C 05.4820 09/15/2039 | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 0.01% |
| MSC 2006-HQ8 D 05.3987 03/12/2044 | 0.01% |
| NEWS CORP - CLASS B | 0.01% |
| NOK/USD 06/21/2017 CITI | 0.01% |
| NZD/USD 04/19/2017 CITI | 0.01% |
| NZD/USD 04/19/2017 CSI-FX | 0.01% |
| NZD/USD 04/19/2017 WPAC | 0.01% |
| OMNICOM GROUP | 0.01% |
| PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 | 0.01% |
| PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 | 0.01% |
| PHILIP MORRIS INTERNATIONAL | 0.01% |
| SEK/USD 06/21/2017 BANKAM | 0.01% |
| SEK/USD 06/21/2017 BCAP-FX | 0.01% |
| SEK/USD 06/21/2017 CITI | 0.01% |
| SEK/USD 06/21/2017 GSFX | 0.01% |
| SEK/USD 06/21/2017 SSBT | 0.01% |
| SEK/USD 06/21/2017 UBS | 0.01% |
| SPY 20171020 P 183.00CITI | 0.01% |
| SWEDISH KRONA CALL ACCOUNT | 0.01% |
| TELENET FINANCE V P/P 144A 06.7500 08/15/2024 | 0.01% |
| US FOODS HOLDING CORP | 0.01% |
| WFMBS 2006-AR6 7A2 03.0339 03/25/2036 | 0.01% |
| ZAR/USD 07/19/2017 GSFX | 0.01% |
| -0.40 R ISWP FWD CHL6M P 06/21/2022 | 0.00% |
| 0.10 R ISWP FWD CHL6M P 06/21/2027 | 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% |
| 1.75 R ISWP FWD NOKOIB6M P 06/21/2022 | 0.00% |
| 2.41 R ISWP USL3M P 04/03/2027 | 0.00% |
| 2.60 R ISWP FWD AUDBB6M P 06/28/2022 | 0.00% |
| 3.00 R ISWP FWD AUDBB6M P 06/28/2027 | 0.00% |
| AUD/USD 04/19/2017 BCAP-FX | 0.00% |
| AUD/USD 04/19/2017 CSI-FX | 0.00% |
| AUD/USD 04/19/2017 SSBT | 0.00% |
| AUD/USD 04/19/2017 UBS | 0.00% |
| AUD/USD 04/19/2017 WPAC | 0.00% |
| BACM 2004-4 XC IO P/P 144A 00.0177 07/10/2042 | 0.00% |
| BACM 2007-1 XW IO 00.3006 01/15/2049 | 0.00% |
| BRL/USD 07/03/2017 JPMCB | 0.00% |
| BRL/USD 07/03/2017 SSBT | 0.00% |
| CAC40 10 EURO FUT APR17 CFJ7 | 0.00% |
| CANADIAN DOLLAR ACCOUNT | 0.00% |
| CAS 2016-C06 1M2 05.2317 04/25/2029 | 0.00% |
| CHC GROUP LLC | 0.00% |
| CHF/USD 06/21/2017 JPMCB | 0.00% |
| CLP/USD 07/19/2017 BANKAM | 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 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 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 BC | 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% |
| CSFB 2003-C3 AX IO P/P 144A 02.0023 05/15/2038 | 0.00% |
| DAX INDEX FUTURE JUN17 GXM7 | 0.00% |
| EEM US P USL1M R 12/15/20 GS | 0.00% |
| EEM US P USL1M R 12/15/20 GS | 0.00% |
| EEM US P USL1M R 12/15/20 GS | 0.00% |
| EEM US P USL1M R 12/15/20 GS | 0.00% |
| EUR/JPY CALL 127.50 20170612 BANKAM | 0.00% |
| EUR/USD 06/21/2017 BCAP-FX | 0.00% |
| EUR/USD 06/21/2017 CSI-FX | 0.00% |
| EUR/USD 06/21/2017 GSFX | 0.00% |
| EUR/USD 06/21/2017 HSBCB | 0.00% |
| EUR/USD 06/21/2017 RBSF | 0.00% |
| EUR/USD 06/21/2017 SSBT | 0.00% |
| EUR/USD 06/21/2017 WPAC | 0.00% |
| FHR 3232 KS IO 05.3878 10/15/2036 | 0.00% |
| FNR 2008-36 OV PO 00.0000 01/25/2036 | 0.00% |
| FNS 397 2 IO 05.0000 09/25/2039 | 0.00% |
| FNW 1998-W2 X IO 02.8895 06/25/2028 | 0.00% |
| FNW 1998-W5 X IO 01.2247 07/25/2028 | 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% |
| FTSE 100 IDX FUT JUN17 Z M7 | 0.00% |
| GBP/USD 06/21/2017 BANKAM | 0.00% |
| GBP/USD 06/21/2017 GSFX | 0.00% |
| GMACC 2004-C3 B 04.9650 12/10/2041 | 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% |
| 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% |
| GSMS 2006-GG8 X IO P/P 144A 00.9251 11/10/2039 | 0.00% |
| HALCON RESOURCES CORP - WARRA | 0.00% |
| HKD/USD 05/17/2017 BANKAM | 0.00% |
| HKD/USD 05/17/2017 CSI-FX | 0.00% |
| HKD/USD 05/17/2017 HSBCB | 0.00% |
| HKD/USD 05/17/2017 JPMCB | 0.00% |
| IDR/USD 05/17/2017 JPMCB | 0.00% |
| INDIAN RUPEE CALL ACCOUNT | 0.00% |
| INDONESIAN RUPIAH CALL ACCOUNT | 0.00% |
| INTELSAT CONNECT FIN P/P 144A 12.5000 04/01/2022 | 0.00% |
| INTELSAT LUXEMB USD 07.7500 06/01/2021 | 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 P USL1M R 01/12/45 JP | 0.00% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.00% |
| IOS.FN30.400.10 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 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.FN30.400.13 P USL1M R 01/12/44 JP | 0.00% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.00% |
| IOS.FN30.400.14 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.FN30.600.08 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% |
| JPMCC 2007-CB20 AJ 06.1777 02/12/2051 | 0.00% |
| JPMCC 2007-LDPX X IO 00.3976 01/15/2049 | 0.00% |
| JPY/USD 05/17/2017 BANKAM | 0.00% |
| JPY/USD 05/17/2017 CSI-FX | 0.00% |
| JPY/USD 05/17/2017 GSFX | 0.00% |
| JPY/USD 05/17/2017 JPMCB | 0.00% |
| JPY/USD 05/17/2017 RBSF | 0.00% |
| JPY/USD 05/17/2017 UBS | 0.00% |
| KOREAN WON CALL ACCOUNT | 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.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CS | 0.00% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MLCFC 2006-4 AJFX P/P 144A 05.1470 12/12/2049 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.7723 12/12/2049 | 0.00% |
| MXN/USD 07/19/2017 BANKAM | 0.00% |
| NOK/USD 06/21/2017 CSI-FX | 0.00% |
| NZD/USD 04/19/2017 BCAP-FX | 0.00% |
| NZD/USD 04/19/2017 JPMCB | 0.00% |
| NZD/USD 04/19/2017 SSBT | 0.00% |
| NZD/USD 04/19/2017 UBS | 0.00% |
| S&P MID 400 EMINI JUN17 FAM7 | 0.00% |
| S&P500 EMINI FUT JUN17 ESM7 | 0.00% |
| SEK/USD 06/21/2017 CSI-FX | 0.00% |
| SEK/USD 06/21/2017 JPMCB | 0.00% |
| SEK/USD 06/21/2017 RBSF | 0.00% |
| SPI 200 FUTURES JUN17 XPM7 | 0.00% |
| SPY 20170428 C 243.00CITI | 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 13WX10Y R 2.206 USD 06/12/2017 CI | 0.00% |
| SWPTN 13WX10Y R 2.4 USD 05/02/2017 BC | 0.00% |
| SWPTN 13WX10Y R 2.4427 USD 05/03/2017 JP | 0.00% |
| SWPTN 13WX10Y R 2.905 USD 05/02/2017 BC | 0.00% |
| SWPTN 13WX10Y R 2.9498 USD 05/03/2017 JP | 0.00% |
| SWPTN 13WX20Y R 2.62 USD 05/02/2017 BC | 0.00% |
| SWPTN 13WX20Y R 2.6657 USD 05/03/2017 JP | 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 1MX10Y R 2.297 USD 04/13/2017 CI | 0.00% |
| SWPTN 1MX10Y R 2.43 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y R 2.435 USD 04/13/2017 BC | 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 2.79 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 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 R 2.3125 USD 04/13/2017 BA | 0.00% |
| SWPTN 3MX10Y R 2.3525 USD 04/13/2017 JP | 0.00% |
| SWPTN 3MX1Y P 1.34 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.34 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.54 USD 06/02/2017 BA | 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 3MX1Y R 1.993 USD 06/02/2017 BA | 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 2.01 USD 04/13/2017 BA | 0.00% |
| SWPTN 3MX5Y R 2.05 USD 04/13/2017 JP | 0.00% |
| SWPTN 3MX5Y R 2.6475 USD 04/13/2017 BA | 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 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 R 2.25 USD 09/11/2017 CI | 0.00% |
| SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA | 0.00% |
| SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA | 0.00% |
| SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI | 0.00% |
| SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI | 0.00% |
| SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA | 0.00% |
| SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA | 0.00% |
| THE EURO EUR CALL ACCOUNT | 0.00% |
| TOPIX INDX FUTR JUN17 TPM7 | 0.00% |
| TURKISH LIRA-NEW CALL ACCOUNT | 0.00% |
| TXU TCEH RIGHTS | 0.00% |
| US 10YR NOTE (CBT)JUN17 TYM7 | 0.00% |
| USD/MXN PUT 18.25 20170421 GSFX | 0.00% |
| 0.55 R ISWP FWD SES3M P 06/21/2022 | -0.01% |
| 1.75 R ISWP FWD USL3M P 06/21/2019 | -0.01% |
| CAD/USD 04/19/2017 JPMCB | -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 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% |
| EUR/JPY PUT 115.30 20170612 BANKAM | -0.01% |
| EUR/USD 06/21/2017 JPMCB | -0.01% |
| EUR/USD 06/21/2017 UBS | -0.01% |
| GBP/USD 06/21/2017 JPMCB | -0.01% |
| GBP/USD 06/21/2017 SSBT | -0.01% |
| JPY/USD 05/17/2017 BCAP-FX | -0.01% |
| JPY/USD 05/17/2017 SSBT | -0.01% |
| KRW/USD 05/17/2017 GSFX | -0.01% |
| NZD/USD 04/19/2017 GSFX | -0.01% |
| NZD/USD 04/19/2017 RBSF | -0.01% |
| SGD/USD 05/17/2017 BANKAM | -0.01% |
| SGD/USD 05/17/2017 SSBT | -0.01% |
| BRL/USD 07/03/2017 BANKAM | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.02% |
| KRW/USD 05/17/2017 JPMCB | -0.02% |
| 2.20 R ISWP FWD USL3M P 06/21/2022 | -0.03% |
| RU10INTR P USL3M R 11/27/17 CI | -0.03% |
| 2.30 R ISWP FWD USL3M P 06/21/2022 | -0.04% |
| CDX CDX.NA.HY.27 500.0 12/20/2021 | -0.04% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.04% |
| FLR USL3M 6.00 03/07/2018 JP | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.05% |
| 0.40 R ISWP FWD EURIBOR6MD P 06/21/2022 | -0.10% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.11% |
| GSCBPUR1 R USL1M P 12/15/20 GS | -0.11% |
| MLFCF11 R USL3M P 03/07/18 BA | -0.12% |
| GSGLPWDS P USL1M R 12/15/20 GS | -0.18% |
| CGPUTQL2 R USL3M P 12/01/17 CI | -0.26% |
| DBCT15SP P USL3M R 03/07/18 DE | -0.31% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.40% |
| NDUEEGF P USL1M R 02/09/18 UB | -0.66% |
| NDUEEGF P USL3M R 12/12/17 GS | -0.67% |
| FNMA FN30 TBA 03.0000 05/01/2047 | -1.29% |
| RU10INTR P USL3M R 08/02/17 BA | -1.30% |
| NDUEEGF P USL3M R 10/17/17 CI | -1.49% |
| NDUEEGF P USL3M R 03/19/18 CI | -3.92% |
| CGPUTS54 P USL3M R 11/10/17 CI | -7.78% |
| NDUEEGF P USL1M R 08/21/17 UB | -12.30% |
Prior top 10 holdings
| Top 10 holdings as of 06/30/17 | |
|---|---|
| Net cash | |
| Fnma Fn30 Tba 03.5000 08/01/2047 | |
| Fnma Fn30 Tba 03.0000 07/01/2047 | |
| Fnma Fn30 Tba 03.5000 07/01/2047 | |
| Utilities Select Sector Spdr Sedol 2371812 | |
| Dish Network Corp-A Sedol 2303581 | |
| Ishares Msci India Etf | |
| Fnma Fn30 Tba 02.5000 07/01/2047 | |
| S&P Gsci Total Return Inverse Index 3x Note 03/02/2018 | |
| Health Care Select Sector Sedol 2371823 | |
| Holdings represent 38.68% of portfolio | |
| Top 10 holdings as of 05/31/17 | |
|---|---|
| Net cash | |
| Fnma Fn30 Tba 03.5000 07/01/2047 | |
| Fnma Fn30 Tba 03.0000 07/01/2047 | |
| Fnma Fn30 Tba 02.5000 06/01/2047 | |
| Ishares Msci India Etf | |
| Fnma Fn30 Tba 03.5000 06/01/2047 | |
| Dish Network Corp-A Sedol 2303581 | |
| Technology Select Sect Spdr Sedol 2369709 | |
| Utilities Select Sector Spdr Sedol 2371812 | |
| Consumer Staples Spdr Sedol 2369389 | |
| Holdings represent 38.63% of portfolio | |
| Top 10 holdings as of 04/30/17 | |
|---|---|
| Net cash | |
| Fnma Fn30 Tba 03.5000 06/01/2047 | |
| Fnma Fn30 Tba 02.5000 05/01/2047 | |
| Fnma Fn30 Tba 03.0000 06/01/2047 | |
| Ishares Msci India Etf | |
| Dish Network Corp-A Sedol 2303581 | |
| Materials Select Sector Spdr Sedol 2436841 | |
| Technology Select Sect Spdr Sedol 2369709 | |
| Industrial Select Sect Spdr Sedol 2502139 | |
| Health Care Select Sector Sedol 2371823 | |
| Holdings represent 38.39% of portfolio | |
| Top 10 holdings as of 03/31/17 | |
|---|---|
| Net cash | |
| Fnma Fn30 Tba 03.5000 05/01/2047 | |
| Citi Custom F3 F0 3x Note 4/24/2017 | |
| Fnma Fn30 Tba 02.5000 04/01/2047 | |
| Ishares Msci India Etf | |
| Dish Network Corp-A Sedol 2303581 | |
| Fnma Fn30 Tba 04.0000 04/01/2047 | |
| Materials Select Sector Spdr Sedol 2436841 | |
| Utilities Select Sector Spdr Sedol 2371812 | |
| Consumer Staples Spdr Sedol 2369389 | |
| Holdings represent 36.41% of portfolio | |
Portfolio composition as of 06/30/17
| U.S. stocks | 27.93% |
|
|---|---|---|
| High-yield corporate bonds | 21.30% |
|
| Agency pass-through | 18.14% |
|
| Net cash | 15.08% |
|
| Commodities | 11.19% |
|
| Agency CMO | 8.50% |
|
| Commercial MBS | 8.48% |
|
| International stocks | 7.08% |
|
| Bank loans | 3.27% |
|
| Emerging-market bonds | 2.93% |
|
| Residential MBS (non-agency) | 2.17% |
|
| Investment-grade corporate bonds | 0.25% |
|
| Asset-backed securities (ABS) | 0.05% |
|
| U.S. Treasury/agency | -0.88% |
|
| Emerging-market stocks | -0.97% |
|
Fixed income statistics as of 06/30/17
| Average effective maturity | 5.71 yrs. |
|---|---|
| Average effective duration | 3.15 yrs. |
| Average price | $89.06 |
Maturity detail as of 06/30/17
| 0 - 1 yr. | 8.19% |
|---|---|
| 1 - 5 yrs. | 38.15% |
| 5 - 10 yrs. | 51.21% |
| 10 - 15 yrs. | 1.08% |
| Over 15 yrs. | 1.37% |
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 | 1.21% | 1.96% | 1.96% | 1.71% | 1.46% | 0.86% | 0.96% |
| What you pay | 1.21% | 1.96% | 1.96% | 1.71% | 1.46% | 0.86% | 0.96% |
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.
‡ Robert Kea will retire from Putnam effective 12/31/17.