Prior to April 30, 2018, the fund was known as Putnam Absolute Return 700 Fund.

Always Vigilant. Always Active.

Multi-Asset Absolute Return Fund (Class Y)  (PDMYX)

Seeks positive returns with a similar level of volatility

Multi-Asset Absolute Return Fund received an  Overall Morningstar Rating  of  

Highlights

Objective

The fund seeks positive total return.

Strategy and process

  • Targeting positive returns:The fund seeks positive returns with a similar level of volatility over a full market cycle.
  • Global flexibility:The strategy dynamically combines efficient beta and uncorrelated alpha strategies to create a well-diversified portfolio.
  • Diversification potential:Less influenced by traditional market risks, the fund can be an effective choice to improve portfolio efficiency.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $11.71
0.00% | $0.00
$11.84
10/09/18
$10.56
12/24/18
Historical fund price

Fund facts as of 07/31/19

Total net assets
$1,169.37M
Turnover (fiscal year end)
479%
Dividend frequency
Annually
Number of holdings
804
Fiscal year-end
October
CUSIP / Fund code
746764257 / 1861
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PDMYX

Management team

Chief Investment Officer, Global Asset Allocation
Co-Head of Global Asset Allocation
Co-Head of Global Asset Allocation
Portfolio Manager


Literature


Market volatility returns to "old" normal
Our outlook for stock market volatility sees the levels reached in 2018 continuing, in part because these levels were close to the long-term norm.
Watch the euro as Italy votes
We are watching the referendum in Italy this weekend for yet another existential crisis for the euro.
Italy's bank troubles challenge EU
Troubled banks in Italy pose a new challenge to the EU, one that has been compounded by the U.K.'s vote in favor of Brexit.

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.

6.77%

Best 5-year annualized return

(for period ending 03/31/14)


1.55%

Worst 5-year annualized return

(for period ending 12/31/18)


4.20%

Average 5-year annualized return


  • Total return (%) as of 06/30/19

  • Annual performance as of 06/30/19

Annualized Total return (%) as of 06/30/19

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 0.96% 3.29% 2.40% 4.28%
After sales charge N/A N/A N/A N/A
ICE BofAML U.S. Treasury Bill Index 2.39%1.38%0.89%0.52%

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. 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 Multi-Asset Absolute Return Fund, 4.00% and 3.25% for income funds and 2.25% and 0.75% for Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return 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, which is 3% in the first year, declining to 1% in the fourth 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, N, R, 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). Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. 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 and M shares of Putnam money market funds have no initial sales charge. For a portion of the periods, some funds had expense 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 07/31/19 1.21% -
YTD as of 08/23/19 9.13% -

Volatility as of 07/31/19

Standard deviation (3 yrs.) 4.61%

Morningstar Ratings as of 07/31/19

Time period Funds in category Morningstar Rating
Overall 260
3 yrs. 260
5 yrs. 175
10 yrs. 59
Morningstar category: Multialternative

Distributions

Record/Ex dividend date 12/18/18
Payable date 12/20/18
Income $0.4
Extra income --
Short-term cap. gain --
Long-term cap. gain --

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Holdings

Top 10 holdings as of 07/31/19

Net cash 38.93%
Fnma Fn30 Tba Umbs 03.5000 08/01/2049 6.92%
Fnma Fn30 Tba Umbs 04.0000 08/01/2049 4.34%
Fnma Fn30 Tba Umbs 03.0000 08/01/2049 2.16%
Real Estate Select Sect Spdr Sedol Byz65y9 1.72%
Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019 1.68%
Consumer Staples Spdr Sedol 2369389 1.68%
Utilities Select Sector Spdr Sedol 2371812 1.68%
Comm Serv Select Sector Spdr Sedol Bfxhc51 1.64%
Financial Select Sector Spdr Sedol 2364038 1.63%
Top 10 holdings, percent of portfolio 62.38%

Full portfolio holdings as of 06/30/19

GSGLPWDL R US0001M P 12/15/20 GS 43.30%
MLFCF15 R US0003M P 06/20/23 BA 42.94%
CGPUTQL2 R US0003M P 11/26/19 CI 39.76%
US 10YR NOTE (CBT)SEP19 TYU9 37.08%
GSGLPW2L R US0001M P 12/15/20 GS 34.91%
S&P MID 400 EMINI SEP19 FAU9 16.01%
FNMA FN30 TBA UMBS 03.5000 08/01/2049 6.85%
GSISXT27 R 0.2 P 12/15/20 GS 4.75%
GSVIUS85 R 0.45 P 12/15/20 GS 4.39%
XLE US R US0001M P 03/25/20 JP 3.32%
FNMA FN30 TBA UMBS 04.0000 08/01/2049 2.72%
GSVIVV69 R 0.3 P 12/15/20 GS 2.25%
REPO TRIPA MORTG 2.51 07/01/2019 1.86%
REAL ESTATE SELECT SECT SPDR 1.68%
UTILITIES SELECT SECTOR SPDR 1.66%
CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 12/16/2019 1.66%
CONSUMER STAPLES SPDR 1.63%
INDUSTRIAL SELECT SECT SPDR 1.61%
TREASURY BILL 00.0000 08/06/2019 1.60%
FINANCIAL SELECT SECTOR SPDR 1.58%
COMM SERV SELECT SECTOR SPDR 1.58%
FNMA FN30 TBA UMBS 04.0000 07/01/2049 1.58%
SAMSUNG ELECTRONICS CO LTD 1.53%
GSVICUB3 R 0.45 P 12/15/20 GS 1.47%
CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 8/27/19 1.36%
GNMA GII30 TBA 04.5000 07/01/2049 1.33%
BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 12/12/2019 1.22%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 1.22%
TREASURY BILL 00.0000 07/11/2019 0.89%
TENCENT HOLDINGS LTD 0.86%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X144A NOTE 0.84%
BANK OF NEW YORK MELLON/THE 06406XUX0 DCP 07/31/2019 0.82%
REGENCY MARKETS NO. 1 LLC 7588R1UA1 DCP 07/10/2019 0.78%
PING AN INSURANCE GROUP CO-H 0.76%
NRW BANK 62939MUB1 DCP 07/11/2019 0.74%
TOTAL CAPITAL CANADA LTD 89153QUA6 DCP 07/10/2019 0.74%
DNB BANK ASA 2332K1VF4 DCP 08/15/2019 0.74%
GSVIVVOL R 0.3 P 12/15/20 GS 0.74%
MANHATTAN ASSET FUNDING CO LL 56274MVL3 DCP 08/20/2019 0.74%
ALIBABA GROUP HOLDING-SP ADR 0.73%
CHINA MOBILE LTD 0.67%
IND & COMM BK OF CHINA-H 0.64%
METLIFE SHORT TERM FUNDING LL 59157UUH1 DCP 07/17/2019 0.63%
TREASURY BILL 00.0000 08/13/2019 0.63%
TORONTO-DOMINION BANK/THE 89119BV60 DCP 08/06/2019 0.61%
TAIWAN SEMICONDUCTOR-SP ADR 0.58%
GOTHAM FUNDING CORP 38346MUH5 DCP 07/17/2019 0.55%
TATA CONSULTANCY SVS LTD 0.55%
SK HYNIX INC 0.52%
OLD LINE FUNDING LLC 67983UV59 DCP 08/05/2019 0.51%
BARCLAYS BANK PLC CCP 06742QWG3 DCP 08/21/2019 0.51%
SIMON PROPERTY GROUP LP 82880XVK3 DCP 08/19/2019 0.51%
KIA MOTORS CORP 0.49%
NATIONAL BANK OF CANADA 63307MUV9 DCP 07/29/2019 0.49%
PTT PCL/FOREIGN 0.48%
BANCO DO BRASIL S.A. 0.46%
WALMART DE MEXICO SAB DE CV 0.46%
ANHUI CONCH CEMENT CO LTD-H 0.45%
GNMA GII30 TBA 04.0000 07/01/2049 0.44%
EVRAZ PLC 0.43%
SKANDINAVISKA ENSKILDA BANKEN 83050UUF3 DCP 07/15/2019 0.42%
FED HOME LN DISCOUNT NT 313384KZ1 GDC 08/28/2019 0.42%
HCL TECHNOLOGIES LTD 0.42%
CIA SANEAMENTO BASICO DE SP 0.41%
GREE ELECTRIC 144A/REGS WARRANT 08/29/2019 0.40%
IRB BRASIL RESSEGUROS SA 0.40%
WEICHAI POWER CO LTD-H 0.39%
CHINA PETROLEUM & CHEMICAL-H 0.39%
TREASURY BILL 00.0000 07/16/2019 0.39%
ATLANTIC ASSET SECURITIZATION 04821UUP5 DCP 07/23/2019 0.38%
SPST 2018-5 A 03.1296 09/24/2019 0.38%
BANK OF SHANGHAI 144A REGS WARRANT 12/12/2019 0.38%
TECH MAHINDRA LTD 0.36%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.36%
PTT GLOBAL CHEMICAL PCL-FOR 0.35%
GUANGZHOU AUTOMOBILE GROUP-H 0.34%
CORPORATE ASSET FUNDING CO IN 1247P3V58 DCP 08/05/2019 0.34%
LG UPLUS CORP 0.33%
S&P GSCI TOTAL RETURN INDEX 3X NOTE 12/5/2019 0.33%
SPST 2018-3 A 03.1296 07/24/2019 0.32%
MITSUBISHI UFJ TRUST & BANKIN 60683CUG4 DCP 07/16/2019 0.32%
ALPINE SECURITIZATION LLC 02088XUX4 DCP 07/31/2019 0.32%
THUNDER BAY FUNDING LLC 88602UW48 DCP 09/04/2019 0.32%
AES CORP/THE 05.5000 04/15/2025 0.31%
SBERBANK PJSC -SPONSORED ADR 0.31%
NRG ENERGY INC. 07.2500 05/15/2026 0.31%
YUM CHINA HOLDINGS INC 0.30%
BANK OF COMMUNICATIONS - H 0.30%
BANCO ITAU HOLDING PFD 0.29%
CORPORATE ASSET FUNDING CO IN 1247P3VF6 DCP 08/15/2019 0.29%
INFOR US INC 06.5000 05/15/2022 0.29%
COUNTRY GARDEN HOLDINGS CO 0.28%
CATCHER TECHNOLOGY CO LTD 0.28%
UNI-PRESIDENT ENTERPRISES CO 0.28%
JO-ANN STORES TL L+500 07.5915 10/16/2023 0.28%
CAS 2016-C02 1B 14.6544 09/25/2028 0.27%
MATCHPOINT FINANCE PLC 57666BWK2 DCP 09/19/2019 0.27%
FNMA FN30 TBA UMBS 05.5000 08/01/2049 0.27%
BANCO SANTANDER BRASIL-UNIT 0.27%
ECOPETROL SA-SPONSORED ADR 0.27%
HINDUSTAN UNILEVER LTD 0.27%
GEELY AUTOMOBILE HOLDINGS LT 0.25%
CRC FUNDING LLC 12619UW98 DCP 09/09/2019 0.25%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.24%
HINDUSTAN PETROLEUM CORP 0.23%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.23%
MR PRICE GROUP LTD 0.23%
TREASURY BILL 00.0000 08/15/2019 0.23%
BANCO MACRO SA-ADR 0.23%
CEMEX P/P 144A 05.7000 01/11/2025 0.23%
HYPERA SA 0.22%
ZHEN DING TECHNOLOGY HOLDING 0.22%
SCIENTIFIC GAMES TLB5 L+275 05.2162 08/14/2024 0.22%
ASURION 2NDL L+650 08.9024 08/04/2025 0.22%
S&P GSCI TOTAL RETURN 3X 144A NOTE 01/27/2020 0.22%
AUTOMATION TOOLING S P/P 144A 06.5000 06/15/2023 0.22%
JPMBB 2014-C18 D P/P 144A 04.9778 02/15/2047 0.22%
KUMBA IRON ORE LTD 0.21%
MSBAM 2013-C10 D P/P 144A 04.2183 07/15/2046 0.21%
BF0101 03.5000 06/01/2056 0.20%
PRESIDENT CHAIN STORE CORP 0.20%
GUANGZHOU R&F PROPERTIES - H 0.20%
CHARIOT FUNDING LLC 15963UVD5 DCP 08/13/2019 0.19%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.18%
PETRONAS CHEMICALS GROUP BHD 0.18%
BANCO SANTANDER MEXICO SA IN 0.18%
QUALICORP CONS E CORR SEG SA 0.18%
SAMSUNG SDS CO LTD 0.18%
HOME PRODUCT CENTER PCL-FOR 0.18%
ICAHN ENTERPRISES/FI 06.2500 02/01/2022 0.18%
FOSUN INTERNATIONAL 0.17%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.17%
SINOTRUK HONG KONG LTD 0.17%
ANGLO AMERICAN PLATINUM LTD 0.17%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.17%
RADIANT OPTO-ELECTRONICS COR 0.17%
TALBOTS TLB L+700 09.3299 11/28/2022 0.17%
VERTIV TLB L+400 06.4385 11/15/2023 0.16%
ALLIANT HOLD / CO-IS P/P 144A 08.2500 08/01/2023 0.16%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.16%
S&P GSCI EXCESS RETURN INDEX 3X NOTE 1/27/2020 0.16%
FHR 3852 NT 03.6058 05/15/2041 0.15%
GRUPO FINANCIERO BANORTE-O 0.15%
ZHONGSHENG GROUP HOLDINGS 0.15%
GAIL INDIA LTD 0.15%
WIPRO LTD 0.15%
BANCO SANTANDER-CHILE-ADR 0.15%
TELKOM SA SOC LTD 0.15%
UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.15%
CAPITEC BANK HOLDINGS LTD 0.15%
GUANGZHOU BAIYUNSHAN PHARM-H 0.15%
SMILES FIDELIDADE SA 0.14%
SHINHAN FINANCIAL GROUP LTD 0.14%
REVLON CONS TLB L+350 06.0469 09/07/2023 0.14%
FHS 315 PO PO 00.0000 09/15/2043 0.14%
FNR 2017-74 SA IO 03.3456 10/25/2047 0.14%
BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 0.14%
STACR 2016-DNA1 B 12.4044 07/25/2028 0.14%
FNR 2017-8 SB IO 03.6956 02/25/2047 0.14%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.14%
YUANTA FINANCIAL HOLDING CO 0.14%
AUROBINDO PHARMA LTD 0.13%
CAS 2015-C04 1M2 08.1044 04/25/2028 0.13%
CHINA RESOURCES SANJIU MEDICAL & PHARMA 144A REGS 01/29/2020 0.13%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.13%
SPRINT COMMUNICATIONS INC. 07.0000 08/15/2020 0.13%
DAELIM INDUSTRIAL CO LTD 0.13%
GNR 2015-H20 CI IO 01.9767 08/20/2065 0.13%
SURGUTNEFTEGAS-PREFERENCE 0.13%
WANT WANT CHINA HOLDINGS LTD 0.13%
PPD TL L+250 04.9989 08/18/2022 0.13%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.13%
ENEL AMERICAS SA-ADR 0.13%
FORMOSA CHEMICALS & FIBRE 0.12%
GNR 2017-H11 NI IO 02.2977 05/20/2067 0.12%
INFOSYS LTD 0.12%
MWST 2019-1 A 03.2044 06/25/2052 0.12%
INDUSTRIAL BANK OF KOREA 0.12%
NEIMAN MARCUS TL L+600 08.4209 10/25/2023 0.12%
OASIS PETROLEUM INC 06.8750 03/15/2022 0.12%
GLOBALWAFERS CO LTD 0.12%
TRIPOD TECHNOLOGY CORP 0.12%
GNR 2015-H10 CI IO 01.8163 04/20/2065 0.12%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.12%
FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 0.12%
GSMS 2013-GC10 E P/P 144A 04.5415 02/10/2046 0.12%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.12%
ELDORADO RESORTS INC 07.0000 08/01/2023 0.12%
GNR 2015-H19 NI IO 01.9156 07/20/2065 0.12%
POWSZECHNY ZAKLAD UBEZPIECZE 0.11%
GNR 2015-H25 BI IO 01.9048 10/20/2065 0.11%
NASPERS LTD-N SHS 0.11%
SK TELECOM 0.11%
CIA CERVECERIAS UNI-SPON ADR 0.11%
GNR 2016-H02 BI IO 01.8852 11/20/2065 0.11%
JPMBB 2013-C14 E P/P 144A 04.7134 08/15/2046 0.11%
VIPSHOP HOLDINGS LTD - ADR 0.11%
OTP BANK RT 0.11%
GNR 2015-H24 HI IO 02.0285 09/20/2065 0.11%
TCI CO LTD 0.11%
HYUNDAI MOBIS CO LTD 0.10%
KOREA ZINC CO LTD 0.10%
SPST 2019-3 A 03.1296 06/24/2020 0.10%
ACADEMY SPORTS TLB L+400 06.4390 07/02/2022 0.10%
ARCELORMITTAL USD 06.1250 06/01/2025 0.10%
FHR 4568 MI IO 04.0000 04/15/2046 0.10%
RHB BANK BHD 0.10%
FNR 2015-28 IO IO 05.5000 05/25/2045 0.10%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.10%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.10%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.10%
GNR 2015-H09 BI IO 01.6995 03/20/2065 0.10%
ORTHO-CLINICAL TLB L+325 05.6799 06/01/2025 0.10%
BANK OF CHINA LTD-H 0.10%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 0.10%
ELECTRICITY GEN PUB CO-FOR R 0.09%
GNR 2015-H25 AI IO 01.6143 09/20/2065 0.09%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.09%
GNR 2015-H16 XI IO 02.0080 07/20/2065 0.09%
GNR 2016-H03 AI IO 02.1154 01/20/2066 0.09%
INTER RAO UES PJSC 0.09%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.09%
DIAMOND RESORTS TLB L+375 06.2489 09/02/2023 0.09%
GSMS 2014-GC24 D P/P 144A 04.6707 09/10/2047 0.09%
GNR 2015-H15 JI IO 01.9717 06/20/2065 0.09%
MMC NORILSK NICKEL PJSC-ADR 0.09%
TISCO FINANCIAL-FOREIGN 0.09%
GOLDEN NUGGET TL L+275 05.1488 10/04/2023 0.09%
SAMI 2007-AR1 2A1 02.5844 01/25/2037 0.09%
GNR 2015-H22 GI IO 02.5745 09/20/2065 0.09%
FIRST DATA TL L+200 04.4899 04/26/2024 0.08%
UNIVISION TLC5 L+275 05.1524 03/15/2024 0.08%
GNR 2014-H21 AI IO 01.6432 10/20/2064 0.08%
MERCER INTL INC USD 07.7500 12/01/2022 0.08%
SEAZEN HOLDINGS CO 144A/REGS WARRANT 04/17/2020 0.08%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.08%
GNR 2015-H26 EI IO 01.7336 10/20/2065 0.08%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.08%
SABRE GBL TLB L+200 04.4024 02/22/2024 0.08%
WFCM 2013-LC12 D P/P 144A 04.4208 07/15/2046 0.08%
BANCO DE CHILE-ADR 0.08%
GLOW ENERGY PCL - FOREIGN 0.08%
GNR 2016-H23 NI IO 02.2542 10/20/2066 0.08%
SEVERSTAL PJSC 0.08%
CAPITAL AUTO 2NDL L+600 08.4100 03/24/2025 0.08%
GNR 2016-150 I IO 05.0000 11/20/2046 0.08%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.08%
GNR 2015-H25 EI IO 01.8589 10/20/2065 0.08%
HAIER ELECTRONICS GROUP CO 0.08%
BMIR 2015-1A B1 08.7044 07/25/2025 0.08%
TEKFEN HOLDING AS 0.08%
GENTING BHD 0.08%
GNR 2015-H26 GI IO 01.8026 10/20/2065 0.08%
HM SAMPOERNA TBK PT 0.08%
STEARNS HOLDINGS LLC P/P 144A 09.3750 08/15/2020 0.08%
TRANSDIGM INC TLF L+250 04.8299 06/09/2023 0.08%
AVAYA HOLDINGS CORP 0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.08%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.08%
SHINSEGAE INTERNATIONAL INC 0.08%
GNR 2015-H09 AI IO 02.0578 04/20/2065 0.08%
LOGAN PROPERTY HOLDINGS CO L 0.08%
FNR 2011-4 CS 08.0912 05/25/2040 0.07%
GRUPO AEROPORTUARIO DEL CENT 0.07%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.07%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.07%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.07%
2.05 R ISWP FWD US0003M P 09/18/2029 0.07%
ZF NA CAPITAL P/P 144A 04.0000 04/29/2020 0.07%
GNR 2017-H02 BI IO 02.3484 01/20/2067 0.07%
BSCMS 2005-PWR7 D 05.3040 02/11/2041 0.07%
GNR 2016-H04 KI IO 01.7874 02/20/2066 0.07%
GNR 2016-H08 GI IO 01.4288 04/20/2066 0.07%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.07%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.07%
GNR 2015-H14 BI IO 01.5768 05/20/2065 0.07%
GNR 2017-H14 DI IO 01.7088 06/20/2067 0.07%
GNR 2018-91 SJ IO 03.8671 07/20/2048 0.07%
WELBILT TLB L+250 04.9930 10/23/2025 0.07%
FHR 4530 HI IO 04.0000 11/15/2045 0.06%
FHR 4389 IA IO 04.0000 09/15/2044 0.06%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.06%
GNR 2015-H24 BI IO 01.6182 08/20/2065 0.06%
LG CORP 0.06%
TRIBUNE MEDIA TLB L+300 05.4024 01/27/2024 0.06%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.06%
ASURION TLB4 L+300 05.4831 08/04/2022 0.06%
CHAROEN POKPHAND FOOD-FORGN 0.06%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.06%
INDOFOOD SUKSES MAKMUR TBK P 0.06%
JPMCC 2012-C6 F P/P 144A 05.3202 05/15/2045 0.06%
MSC 2011-C3 G P/P 144A 05.2816 07/15/2049 0.06%
WAMU 2005-AR14 1A2 04.1807 12/25/2035 0.06%
CMLTI 2007-AMC3 A2D 02.7544 03/25/2037 0.06%
FNR 2018-58 IO IO 05.5000 08/25/2048 0.06%
AIRASIA GROUP BHD 0.06%
CHINA RAILWAY GROUP LTD-H 0.06%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.06%
WBCMT 2005-C21 E P/P 144A 05.2870 10/15/2044 0.06%
NOVOLIPETSK STEEL PJSC-GDR 0.06%
SPY 20200619 P 255.00JPMCB 0.06%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.06%
GNR 2016-H07 HI IO 01.8568 02/20/2066 0.06%
IHEARTMEDIA TL L+400 06.5790 05/01/2026 0.06%
ANTOFAGASTA PLC 0.06%
FORD OTOMOTIV 0.06%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.05%
FORMOSA PLASTICS CORP 0.05%
FNR 2017-48 LI IO 04.0000 05/25/2047 0.05%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.05%
SPY 20200417 P 255.00BANKAM 0.05%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.05%
UNITED TRACTORS TBK PT 0.05%
GNR 2015-H10 EI IO 01.6266 04/20/2065 0.05%
INFOR TLB6 L+275 05.2430 02/01/2022 0.05%
MSBAM 2013-C11 E P/P 144A 04.4992 08/15/2046 0.05%
MSBAM 2013-C11 F P/P 144A 04.4992 08/15/2046 0.05%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.05%
SPY 20200515 P 250.00BANKAM 0.05%
KT CORP 0.05%
CHINA ORIENTAL GROUP CO LTD 0.05%
FNMA FN30 AB7936 UMBS 03.0000 02/01/2043 0.05%
GNR 2015-H26 DI IO 01.9125 10/20/2065 0.05%
LUKOIL PJSC-SPON ADR 0.05%
FHLMC FH30G V80357 03.5000 08/01/2043 0.05%
GENTING MALAYSIA BHD 0.05%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.05%
GNR 2016-49 IO IO 04.5000 11/16/2045 0.05%
GNR 2016-H16 DI IO 02.2609 06/20/2066 0.05%
COMM 2012-CR3 F P/P 144A 04.7500 10/15/2045 0.05%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 0.05%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.05%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.05%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.05%
GNR 2015-187 JI IO 04.0000 03/20/2045 0.05%
VIRGIN MEDIA SECURED P/P 144A 05.0000 04/15/2027 0.05%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.05%
WFRBS 2013-C15 D P/P 144A 04.6216 08/15/2046 0.05%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.04%
GNR 2018-127 IC IO 05.0000 10/20/2044 0.04%
IVORY COAST REGS 06.1250 06/15/2033 0.04%
SAO MARTINHO SA 0.04%
BSCMS 2005-PWR7 C 05.2350 02/11/2041 0.04%
FHR 4158 TI IO 03.0000 12/15/2042 0.04%
FNMA FN30 AR6852 UMBS 03.0000 02/01/2043 0.04%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.04%
JASTRZEBSKA SPOLKA WEGLOWA S 0.04%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.04%
REPUBLIC OF SOUTH AFRICA USD 04.8500 09/27/2027 0.04%
TIANNENG POWER INTL LTD 0.04%
FEDERATIVE REP OF BRAZIL USD 04.2500 01/07/2025 0.04%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.04%
SPY 20200320 P 250.00JPMCB 0.04%
ZHEJIANG EXPRESSWAY CO-H 0.04%
CHINA CONSTRUCTION BANK-H 0.04%
FHLMC FH30G V80012 03.0000 03/01/2043 0.04%
HANNSTAR DISPLAY CORP 0.04%
GNR 2013-79 XI IO 03.5000 11/20/2039 0.04%
GNR 2015-H18 IA IO 01.8221 06/20/2065 0.04%
GNR 2016-H04 HI IO 02.3753 07/20/2065 0.04%
FHR 4134 PI IO 03.0000 11/15/2042 0.04%
FNMA FN30 AO5471 UMBS 03.5000 06/01/2042 0.04%
GNR 2016-H11 HI IO 02.0977 01/20/2066 0.04%
ITAUSA-INVESTIMENTOS ITAU-PR 0.04%
1.50 R ISWP FWD NOKOIB6M P 09/18/2024 0.04%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.04%
FHR 3747 SA IO 04.1058 10/15/2040 0.04%
GNR 2017-99 AI IO 04.0000 01/20/2047 0.04%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.04%
RACKSPACE HOSTING INC L+300 05.5755 11/03/2023 0.04%
EL PUERTO DE LIVERPOOL-C1 0.04%
GNR 2014-163 NI IO 05.0000 02/20/2044 0.04%
KOREA INVESTMENT HOLDINGS CO 0.04%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.04%
OIL & NATURAL GAS CORP LTD 0.04%
WFRBS 2012-C10 E P/P 144A 04.5864 12/15/2045 0.04%
CHEMOURS CO 06.6250 05/15/2023 0.04%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.04%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.04%
POU CHEN 0.04%
REYNOLDS GROUP TL L+300 05.2166 02/05/2023 0.04%
CWALT 2006-OA10 1A1 03.4637 08/25/2046 0.04%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 0.04%
WPX ENERGY INC 06.0000 01/15/2022 0.04%
ENEL CHILE SA-ADR 0.03%
FIRSTRAND LTD 0.03%
IHEARTMEDIA INC - CLASS A 0.03%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.03%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 0.03%
ASTRAL FOODS LTD 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.03%
CPG INTL TL L+375 05.9332 05/05/2024 0.03%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.03%
GNR 2012-8 PI IO 04.0000 05/20/2041 0.03%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.03%
THANACHART CAPITAL-FOREIGN 0.03%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.03%
AIR MEDICAL TLB L+325 05.7226 04/28/2022 0.03%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.03%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.03%
FHR 4136 IW IO 03.5000 10/15/2042 0.03%
FHR 4355 DI IO 04.0000 03/15/2044 0.03%
GNR 2011-H08 GI IO 01.2704 03/20/2061 0.03%
FHR 4193 PI IO 04.0000 03/15/2043 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.03%
FHR 4150 DI IO 03.0000 01/15/2043 0.03%
BACM 2005-1 C 05.6872 11/10/2042 0.03%
CAS 2017-C03 1B1 07.2544 10/25/2029 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.03%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.03%
CAS 2017-C05 1B1 06.0044 01/25/2030 0.03%
COMM 2014-CR17 D P/P 144A 05.0150 05/10/2047 0.03%
CWHL 2005-3 1A1 03.0244 04/25/2035 0.03%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.03%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.03%
GNR 2013-6 AI IO 03.5000 08/20/2039 0.03%
CAS 2015-C03 1M2 07.4044 07/25/2025 0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.03%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.03%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.03%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.03%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.03%
ATACADAO SA 0.02%
CLEAR CHANNEL OUTDOOR HOLDIN 0.02%
ESTACIO PARTICIPACOES SA 0.02%
FHR 4097 PI IO 03.5000 11/15/2040 0.02%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.02%
GNR 2015-H26 CI IO 00.4564 08/20/2065 0.02%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.02%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02%
SPY 20200221 P 240.00CITI 0.02%
BACM 2008-1 C P/P 144A 06.7858 02/10/2051 0.02%
FHR 4073 AS IO 03.6558 08/15/2038 0.02%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.02%
FRAC TECH INTL TLB L+475 06.0000 04/16/2021 0.02%
IHEARTCOMMUNICATIONS INC 08.3750 05/01/2027 0.02%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.02%
MANILA ELECTRIC COMPANY 0.02%
FNR 2012-104 QI IO 04.5000 05/25/2042 0.02%
GNR 2011-17 S IO 03.6671 02/20/2041 0.02%
PROVINCIA DE BUENOS P/P 54.1681 05/31/2022 0.02%
GNR 2013-151 IB IO 04.5000 02/20/2040 0.02%
NOK/USD 09/18/2019 GSFX 0.02%
RALI 2006-QO10 A1 02.5644 01/25/2037 0.02%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.02%
GNR 2015-124 NI IO 03.5000 06/20/2039 0.02%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.02%
NOK/USD 09/18/2019 SSBT 0.02%
TRANSDIGM INC TLE 04.8299 05/30/2025 0.02%
WFMBS 2006-AR6 7A2 04.8135 03/25/2036 0.02%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.02%
ENDO LTD/FIN LLC/FIN P/P 144A 06.0000 07/15/2023 0.02%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.02%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.02%
GNR 2011-H15 AI IO 01.5341 06/20/2061 0.02%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.02%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
LOJAS RENNER S.A. 0.02%
MHL 2004-1 M2 03.4094 11/25/2034 0.02%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.02%
CAS 2015-C03 2M2 07.4044 07/25/2025 0.02%
FHR 4122 TI IO 04.5000 10/15/2042 0.02%
FNR 2015-73 PI IO 03.5000 10/25/2045 0.02%
PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.02%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.02%
FHR 2990 LB 10.8262 06/15/2034 0.02%
GNR 2012-141 WI IO 03.5000 11/20/2041 0.02%
GNR 2013-24 PI IO 04.0000 11/20/2042 0.02%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.02%
GNR 2017-132 IB IO 05.5000 09/20/2047 0.02%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.02%
IVORY COAST P/P 144A 05.2500 03/22/2030 0.02%
PROVINCIA DE BUENOS AIRE REGS 06.5000 02/15/2023 0.02%
REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.02%
AHM 2007-1 GA1C 02.5944 05/25/2047 0.02%
CAS 2015-C02 2M2 06.4044 05/25/2025 0.02%
FHR 4501 BI IO 03.5000 10/15/2043 0.02%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.02%
GNR 2015-118 EI IO 03.5000 07/20/2039 0.02%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.02%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02%
PROVINCIA DE BUENOS AIRE REGS 07.8750 06/15/2027 0.02%
RALI 2006-QO5 1A1 02.6194 05/25/2046 0.02%
1.65 R ISWP FWD CDOR03 P 09/18/2024 0.02%
AUD/JPY PUT 73.00 20190917 HSBCB 0.02%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.02%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.02%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.02%
GNR 2017-160 AI IO 04.5000 10/20/2047 0.02%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
ARGENTINE REPUBLIC USD 06.8750 01/26/2027 0.02%
FHR 4369 IA IO 03.5000 07/15/2044 0.02%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.02%
GSAA 2007-6 1A1 02.5244 05/25/2047 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
SPY 20200117 P 230.00CITI 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 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 2012-136 PI IO 03.5000 11/25/2042 0.01%
FNR 2017-113 IO IO 05.0000 01/25/2038 0.01%
GNR 2010-134 ES IO 03.6171 11/20/2039 0.01%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.01%
IHEARTCOMMUNICATIONS INC 06.3750 05/01/2026 0.01%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.01%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.01%
PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.01%
ADAPTIVE BIOTECHNOLOGIES 0.01%
ARGENTINE REPUBLIC USD 06.6250 07/06/2028 0.01%
CAS 2015-C01 2M2 06.9544 02/25/2025 0.01%
FHR 4663 KI IO 03.5000 11/15/2042 0.01%
FNR 2013-35 IP IO 03.0000 06/25/2042 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%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.01%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.01%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.01%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.01%
GNR 2013-102 IP IO 03.5000 06/20/2043 0.01%
GNR 2013-157 IA IO 03.5000 04/20/2040 0.01%
GNR 2013-37 LI IO 03.5000 01/20/2042 0.01%
GNR 2013-99 VS IO 03.7058 07/16/2043 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01%
SAMI 2007-AR7 1A1 03.2544 05/25/2047 0.01%
STACR 2019-DNA1 M2 05.0544 01/25/2049 0.01%
WFRBS 2011-C4 E P/P 144A 05.3968 06/15/2044 0.01%
ADVANZ PHARMA CORP 0.01%
ASTRO MALAYSIA 0.01%
CAS 2015-C04 2M2 07.9544 04/25/2028 0.01%
CAS 2017-C06 2M2 05.2044 02/25/2030 0.01%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.01%
GNMA GII30 BO3369 05.0000 06/20/2049 0.01%
GNR 2013-129 SN IO 03.7671 09/20/2043 0.01%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.01%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.01%
GSMS 2006-GG8 X IO P/P 144A 01.1198 11/10/2039 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.01%
DIGICEL LTD P/P 144A 06.7500 03/01/2023 0.01%
GNMA GII30 BN1506 04.5000 05/20/2049 0.01%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.01%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.01%
GNMA GII30 BO4634 05.0000 06/20/2049 0.01%
GNMA GII30 DU4515 05.0000 05/20/2049 0.01%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.01%
-0.70 R ISWP FWD CHL6M P 09/18/2024 0.01%
CAS 2017-C02 2M2 06.0544 09/25/2029 0.01%
GNMA GII30 BJ9611 04.5000 05/20/2049 0.01%
GNMA GII30 BN1509 05.0000 05/20/2049 0.01%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.01%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.01%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.01%
1.80 R ISWP FWD CDOR03 P 09/18/2029 0.01%
2.25 R ISWP FWD US0003M P 09/18/2049 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.01%
FNR 2005-122 SE 14.6847 11/25/2035 0.01%
GNMA GII30 BN2618 04.5000 05/20/2049 0.01%
GNR 2012-106 QI IO 04.0000 07/20/2042 0.01%
INNOLUX CORP 0.01%
NOK/USD 09/18/2019 BCAP-FX 0.01%
NOK/USD 09/18/2019 JPMCB 0.01%
3.312 R ISWP US0003M P 11/08/2048 0.01%
ASCENT RESOURCES TLB L+650 08.9106 03/30/2023 0.01%
CAS 2015-C02 1M2 06.4044 05/25/2025 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
FNMA FN30 BO0212 UMBS 04.5000 05/01/2049 0.01%
FNR 2005-74 NK 15.4781 05/25/2035 0.01%
GNMA GII30 BO4627 04.5000 06/20/2049 0.01%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.01%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.01%
0.60 R ISWP FWD SES3M P 09/18/2029 0.00%
CAS 2016-C06 1M2 06.6544 04/25/2029 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
FHR 3996 IK IO 04.0000 03/15/2039 0.00%
GNMA GII30 BN7073 04.5000 05/20/2049 0.00%
GNR 2019-78 SJ IO 03.6390 06/20/2049 0.00%
JPY/USD 08/21/2019 JPMCB 0.00%
TRIBUNE MEDIA TLB L+300 05.4024 12/27/2020 0.00%
1.75 R ISWP FWD US0003M P 09/18/2024 0.00%
BSCMS 2006-PW11 C P/P 144A 05.8095 03/11/2039 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
FNMA FN30 BN9825 UMBS 05.0000 05/01/2049 0.00%
FNMA FN30 BO0182 UMBS 05.0000 05/01/2049 0.00%
GNMA GII30 BM1987 04.5000 05/20/2049 0.00%
GNMA GII30 BN1507 05.0000 05/20/2049 0.00%
GNMA GII30 BN1508 05.0000 05/20/2049 0.00%
GNMA GII30 BN1510 05.5000 05/20/2049 0.00%
GNMA GII30 BN3999 04.5000 05/20/2049 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
NOK/USD 09/18/2019 RBSF 0.00%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.00%
AUD/USD 07/17/2019 WPAC 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
FNW 1998-W2 X IO 00.6417 06/25/2028 0.00%
GBP/USD 09/18/2019 BANKAM 0.00%
GNMA GII30 BM1904 04.5000 05/20/2049 0.00%
GNMA GII30 BN1511 05.5000 05/20/2049 0.00%
GNMA GII30 BO1294 04.5000 05/20/2049 0.00%
GNMA GII30 DU4514 04.5000 05/20/2049 0.00%
GNR 2013-90 HI IO 03.5000 04/20/2040 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.00%
0.10 R ISWP FWD SES3M P 09/18/2024 0.00%
1.70 R ISWP FWD US0003M P 09/18/2021 0.00%
CHC GRP LLC P/P CV 00.0000 10/01/2020 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
EUR/USD 09/18/2019 GSFX 0.00%
INR/USD 11/20/2019 GSFX 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
JPY/USD 08/21/2019 UBS 0.00%
SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.00%
TXU TCEH RIGHTS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
EUR/USD 09/18/2019 CITI 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 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-W5 X IO 00.7883 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
GNR 2011-81 SB IO 04.3108 11/16/2036 0.00%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.00%
IDR/USD 11/20/2019 HSBCB 0.00%
INR/USD 11/20/2019 RBSF 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00%
-0.25 R ISWP FWD EUR006M P 09/18/2024 0.00%
1.45 R ISWP FWD NFIX3MID P 09/18/2024 0.00%
1.60 R ISWP FWD AUDBB6M P 09/18/2029 0.00%
1.9448 R ISWP US0003M P 06/26/2029 0.00%
1.9451 R ISWP US0003M P 06/26/2029 0.00%
2.184 R ISWP FWD US0003M P 12/07/2030 0.00%
2.2225 R ISWP FWD US0003M P 06/05/2029 0.00%
2.3075 R ISWP FWD US0003M P 06/22/2052 0.00%
AVAYA INC ESCROW P/P 144A 07.0000 04/01/2020 0.00%
BACM 2007-1 XW IO 00.4020 01/15/2049 0.00%
CHC GROUP LLC P/P 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2137 05/15/2038 0.00%
EUR/USD 09/18/2019 CSI-FX 0.00%
EUR/USD 09/18/2019 HSBCB 0.00%
FSPC T-59 1AX IO 00.2797 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4243 11/15/2028 0.00%
GBP/USD 09/18/2019 CITI 0.00%
GBP/USD 09/18/2019 SSBT 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
JPMCC 2007-LDPX X IO 00.3240 01/15/2049 0.00%
KRW/USD 11/20/2019 GSFX 0.00%
KRW/USD 11/20/2019 HSBCB 0.00%
LBUBS 2007-C2 XW IO 00.4815 02/15/2040 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.7645 12/12/2049 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 0.00%
MXN/USD 10/16/2019 BANKAM 0.00%
RUB/USD 09/18/2019 GSFX 0.00%
SEK/USD 09/18/2019 RBSF 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
TWD/USD 08/21/2019 GSFX 0.00%
TWD/USD 08/21/2019 RBSF 0.00%
WBCMT 2006-C29 IO IO 00.4775 11/15/2048 0.00%
WBCMT 2007-C31 IO IO P/P 144A 00.0000 04/15/2047 0.00%
1.80 R ISWP FWD NFIX3MID P 09/18/2029 -0.00%
1.9335 R ISWP US0003M P 06/28/2029 -0.00%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.00%
BRL/USD 10/02/2019 CITI -0.00%
CAD/USD 07/17/2019 GSFX -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 CG -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-.7 2047-01-17 300.0 01/17/2047 CS -0.00%
EUR/USD 09/18/2019 RBSF -0.00%
GBP/USD 09/18/2019 GSFX -0.00%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.00%
CHF/USD 09/18/2019 JPMCB -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML -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 CG -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%
0.20 R ISWP FWD EUR006M P 09/18/2029 -0.00%
0.85 R ISWP FWD GBL6M P 09/18/2024 -0.00%
AUD/USD 07/17/2019 GSFX -0.00%
CAD/USD 07/17/2019 CITI -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
JPY/USD 08/21/2019 RBSF -0.00%
NZD/USD 07/17/2019 BCAP-FX -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.00%
EUR/USD 09/18/2019 SSBT -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 MS -0.00%
EUR/USD 09/18/2019 BCAP-FX -0.00%
JPY/USD 08/21/2019 HSBCB -0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.00%
SEK/USD 09/18/2019 JPMCB -0.00%
SEK/USD 09/18/2019 UBS -0.00%
AUD/JPY PUT 69.00 20190917 HSBCB -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
EUR/USD 09/18/2019 JPMCB -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.01%
NZD/USD 07/17/2019 CITI -0.01%
SEK/USD 09/18/2019 GSFX -0.01%
SPY 20190712 C 300.00JPMCB -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
IOS.FN30.350.14 P USL1M R 01/12/45 JP -0.01%
SEK/USD 09/18/2019 SSBT -0.01%
2.00 R ISWP FWD US0003M P 09/18/2029 -0.01%
AUD/USD 07/17/2019 BANKAM -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
CAD/USD 07/17/2019 BCAP-FX -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
AUD/USD 07/17/2019 HSBCB -0.02%
NZD/USD 07/17/2019 GSFX -0.02%
NZD/USD 07/17/2019 JPMCB -0.02%
1.25 R ISWP FWD AUDBB6M P 09/18/2024 -0.02%
1.70 R ISWP FWD NOKOIB6M P 09/18/2029 -0.02%
AUD/USD 07/17/2019 UBS -0.02%
IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.02%
1.00 R ISWP FWD GBL6M P 09/18/2029 -0.02%
AUD/USD 07/17/2019 CITI -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
1.80 R ISWP FWD US0003M P 09/18/2024 -0.02%
AUD/USD 07/17/2019 RBSF -0.02%
CAD/USD 07/17/2019 JPMCB -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02%
IOS.FN30.400.13 P USL1M R 01/12/44 JP -0.02%
GTT US P US0001M R 07/05/22 CI -0.02%
JPY/USD 08/21/2019 CITI -0.02%
JPY/USD 08/21/2019 GSFX -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.02%
JPY/USD 08/21/2019 BANKAM -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.03%
JPY/USD 08/21/2019 SSBT -0.03%
IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
-0.30 R ISWP FWD CHL6M P 09/18/2029 -0.04%
IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.04%
JW/A US P US0001M R 07/05/22 CI -0.04%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.04%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
UA US P R 07/05/22 CI -0.04%
SPY 20190628 C 288.50BANKAM -0.05%
INGN US P R 07/05/22 CI -0.05%
KLIC US P US0001M R 07/05/22 CI -0.06%
APPN US P US0001M R 07/05/22 CI -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.06%
HOMB US P US0001M R 07/05/22 CI -0.07%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.07%
DBD US P R 07/05/22 CI -0.07%
EBIX US P R 07/05/22 CI -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.08%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.08%
BCPC US P US0001M R 07/05/22 CI -0.08%
SUPN US P US0001M R 07/05/22 CI -0.09%
IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.10%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.10%
EYE US P US0001M R 07/05/22 CI -0.10%
OMCL US P US0001M R 07/05/22 CI -0.10%
DLB US P US0001M R 07/05/22 CI -0.10%
BGS US P R 07/05/22 CI -0.10%
EPC US P US0001M R 07/05/22 CI -0.10%
CBPO US P US0001M R 07/05/22 CI -0.11%
QLYS US P US0001M R 07/05/22 CI -0.12%
PBH US P US0001M R 07/05/22 CI -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.13%
ACIW US P R 07/05/22 CI -0.13%
PCTY US P R 07/05/22 CI -0.13%
BRKR US P US0001M R 07/05/22 CI -0.14%
HUBS US P R 07/05/22 CI -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.14%
MDRX US P US0001M R 07/05/22 CI -0.14%
BWXT US P US0001M R 07/05/22 CI -0.14%
INST US P US0001M R 07/05/22 CI -0.15%
PTC US P R 07/05/22 CI -0.15%
COTY US P US0001M R 07/05/22 CI -0.15%
MDSO US P R 07/05/22 CI -0.15%
CTLT US P US0001M R 07/05/22 CI -0.17%
AJRD US P R 07/05/22 CI -0.18%
TRMB US P US0001M R 07/05/22 CI -0.18%
SIG US P R 07/05/22 CI -0.18%
GWRE US P US0001M R 07/05/22 CI -0.20%
JBL US P US0001M R 07/05/22 CI -0.21%
MTZ US P US0001M R 07/05/22 CI -0.25%
CDX CDX.NA.HY.32 500.0 06/20/2024 -0.26%
PKI US P US0001M R 07/05/22 CI -0.27%
TGI US P R 07/05/22 CI -0.31%
OSK US P US0001M R 07/05/22 CI -0.32%
HBI US P R 07/05/22 CI -0.32%
ICLR US P R 07/05/22 CI -0.33%
PODD US P US0001M R 07/05/22 CI -0.34%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.43%
VAR US P R 07/05/22 CI -0.52%
CERN US P R 07/05/22 CI -0.55%
DPZ US P US0001M R 07/05/22 CI -0.55%
TXT US P US0001M R 07/05/22 CI -0.56%
AMD US P US0001M R 07/05/22 CI -0.59%
KMX US P US0001M R 07/05/22 CI -0.61%
RL US P US0001M R 07/05/22 CI -0.72%
NTAP US P US0001M R 07/05/22 CI -0.78%
TSLA US P R 07/05/22 CI -0.80%
IQV US P R 07/05/22 CI -0.81%
FNMA FN30 TBA UMBS 04.5000 08/01/2049 -0.89%
K US P R 07/05/22 CI -0.90%
CTXS US P US0001M R 07/05/22 CI -0.93%
NDUEEGF P US0001M R 12/12/19 GS -1.20%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -1.34%
FNMA FN30 TBA UMBS 03.0000 08/01/2049 -1.97%
NDUEEGF P US0003M R 09/20/19 CI -2.81%
NDUEEGF P US0003M R 03/19/20 CI -6.30%
S&P500 EMINI FUT SEP19 ESU9 -14.30%
NDUEEGF P US0001M R 08/21/19 UB -16.75%
RU10INTR P US0003M R 11/26/19 CI -20.99%
GSGLPW2S P US0001M R 12/15/20 GS -34.72%
GSGLPWDS P US0001M R 12/15/20 GS -40.61%
RU10INTR P US0003M R 06/20/23 BA -43.07%

Prior top 10 holdings

Top 10 holdings as of 07/31/19
Net cash
Fnma Fn30 Tba Umbs 03.5000 08/01/2049
Fnma Fn30 Tba Umbs 04.0000 08/01/2049
Fnma Fn30 Tba Umbs 03.0000 08/01/2049
Real Estate Select Sect Spdr Sedol Byz65y9
Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019
Consumer Staples Spdr Sedol 2369389
Utilities Select Sector Spdr Sedol 2371812
Comm Serv Select Sector Spdr Sedol Bfxhc51
Financial Select Sector Spdr Sedol 2364038
Holdings represent 62.38% of portfolio
Top 10 holdings as of 06/30/19
Net cash
Fnma Fn30 Tba Umbs 03.5000 08/01/2049
Fnma Fn30 Tba Umbs 04.0000 08/01/2049
Real Estate Select Sect Spdr Sedol Byz65y9
Utilities Select Sector Spdr Sedol 2371812
Citi Commod F3-F0 4x Levered Index 3x Note 12/16/2019
Consumer Staples Spdr Sedol 2369389
Industrial Select Sect Spdr Sedol 2502139
Financial Select Sector Spdr Sedol 2364038
Comm Serv Select Sector Spdr Sedol Bfxhc51
Holdings represent 58.34% of portfolio
Top 10 holdings as of 05/31/19
Net cash
Umbs Fn30 Tba 03.5000 06/01/2049
Fnma Fn30 Tba Umbs 04.0000 07/01/2049
Umbs Fn30 Tba 04.0000 06/01/2049
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Real Estate Select Sect Spdr Sedol Byz65y9
Utilities Select Sector Spdr Sedol 2371812
Technology Select Sect Spdr Sedol 2369709
Comm Serv Select Sector Spdr Sedol Bfxhc51
Industrial Select Sect Spdr Sedol 2502139
Holdings represent 60.32% of portfolio
Top 10 holdings as of 04/30/19
Net cash
Umbs Fn30 Tba 03.5000 06/01/2049
Umbs Fn30 Tba 04.0000 06/01/2049
Utilities Select Sector Spdr Sedol 2371812
Citi Commod F3-F0 4x Levered Index 3x Note 12/26/2019
Technology Select Sect Spdr Sedol 2369709
Real Estate Select Sect Spdr Sedol Byz65y9
Industrial Select Sect Spdr Sedol 2502139
Energy Select Sector Spdr Sedol 2402466
Samsung Electronics
Holdings represent 60.94% of portfolio

Portfolio composition as of 07/31/19

Net cash 38.93%
U.S. Treasury/agency 37.22%
U.S. stocks 31.87%
Agency pass-through 15.83%
Commercial MBS 12.20%
Commodities 9.69%
Agency CMO 6.67%
Bank loans 2.76%
International stocks 1.96%
Emerging-market bonds 1.64%
Residential MBS (non-agency) 1.16%
Asset-backed securities (ABS) 0.79%
Investment-grade corporate bonds 0.25%
High-yield corporate bonds -0.28%
Emerging-market stocks -0.47%

Fixed income statistics as of 07/31/19

Average effective maturity 8.29 yrs.
Average effective duration 3.30 yrs.
Average price $90.34

Maturity detail as of 07/31/19

0 - 1 yr. 36.30%
1 - 5 yrs. 45.11%
5 - 10 yrs. 17.45%
10 - 15 yrs. 0.69%
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 investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. 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 generally greater for longer-term bonds, and credit risk is generally 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, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. 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. 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 1.04% 1.79% 1.79% 1.54% 1.29% 0.69% 0.79%
What you pay† 1.01% 1.76% 1.76% 1.51% 1.26% 0.66% 0.76%

† 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 02/28/20

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. 1.00% 5.00% 1.00% -- -- -- --
2 yrs. 0.00% 4.00% 0.00% -- -- -- --
3 yrs. 0.00% 3.00% 0.00% -- -- -- --
4 yrs. 0.00% 3.00% 0.00% -- -- -- --
5 yrs. 0.00% 2.00% 0.00% -- -- -- --
6 yrs. 0.00% 1.00% 0.00% -- -- -- --
7+ yrs. 0.00% 0.00% 0.00% -- -- -- --

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

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

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. 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 generally greater for longer-term bonds, and credit risk is generally 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, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. 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. 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.