Absolute Return 700 Fund  (PDMAX)

Seeking positive results balanced with lower volatility over time

Morningstar ratings as of 09/30/17
Multialternative (funds in category)
Overall
(39)
3 yrs.
(39)
5 yrs.
(154)

Objective

The fund seeks to earn a positive total return that exceeds the return on U.S. Treasury bills by 700 basis points (or 7.00%) on an annualized basis over a reasonable period of time (generally at least three years or more) regardless of market conditions.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $12.28
0.08% | $0.01
$12.28
10/17/17
$11.16
11/14/16
Historical fund price

Fund facts as of 09/30/17

Total net assets
$1,148.55M
Turnover (fiscal year end)
578%
Dividend frequency
Annually
Number of holdings
838
Fiscal year end
October
CUSIP / Fund code
746764315 / 0061
Inception Date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PDMAX

Management team


Co-Head of Global Asset Allocation

Co-Head of Global Asset Allocation

Chief Investment Officer, Global Asset Allocation

Co-Head of Global Asset Allocation

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.

Literature


Why a meaningful near-term market correction is unlikely
2017 is a rare year without a stock market correction of at least 5%, but that doesn't make a correction more likely in the fourth quarter.
How the Japan election may influence global interest rates
The Japan election could have consequences for the future leadership of the Bank of Japan and the country's impact on global interest rate trends.
Using and enhancing ESG investment data
ESG data is having investment impact but is still evolving, and stands to benefit from feedback offered by fundamental analysts.

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.

6.55%

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


  • Total return (%) as of 09/30/17

  • Annual performance as of 09/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 7.69% 3.38% 3.71% 5.17%
After sales charge 1.50% 1.36% 2.49% 4.46%
BofA Merrill Lynch U.S. Treasury Bill Index 0.64% 0.34% 0.24% --

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. To obtain the most recent month-end performance, visit putnam.com. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and Putnam Absolute Return 500 Fund and 700 Fund, and 4.00% and 3.25% for income funds (1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, R, T1, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for Class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A, M, and T1 shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 09/30/17 -0.16 % -5.90 %
YTD as of 10/17/17 7.81 % 1.61 %

Volatility as of 09/30/17

Standard deviation (3 yrs.) 4.54%

Morningstar ratings as of 09/30/17

Multialternative Rating Funds in category
Overall (39)
3 yrs. (39)
5 yrs. (154)

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 09/30/17

Net cash 41.35%
Fnma Fn30 Tba 03.5000 11/01/2047 6.10%
Fnma Fn30 Tba 03.0000 11/01/2047 3.49%
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018 2.58%
Fnma Fn30 Tba 02.5000 10/01/2047 2.36%
S&P Gsci 3x 144a Note 10/11/2018 1.85%
Ishares Msci India Etf 1.71%
Samsung Electronics 1.45%
Technology Select Sect Spdr Sedol 2369709 1.38%
Consumer Discretionary Selt Sedol 2424341 1.38%
Top 10 holdings, percent of portfolio 63.65%

Full portfolio holdings as of 06/30/17

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 2.77%
DISH NETWORK CORP-A 1.54%
FNMA FN30 TBA 02.5000 07/01/2047 1.53%
ISHARES MSCI INDIA ETF 1.53%
HEALTH CARE SELECT SECTOR 1.49%
S&P GSCI TOTAL RETURN INVERSE INDEX 3X NOTE 03/02/2018 1.49%
MATERIALS SELECT SECTOR SPDR 1.45%
TECHNOLOGY SELECT SECT SPDR 1.44%
INDUSTRIAL SELECT SECT SPDR 1.41%
SAMSUNG ELECTRONICS CO LTD 1.40%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 12/07/2017 1.22%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 1.03%
FNMA FN30 TBA 04.0000 07/01/2047 1.02%
CITI COMMODITIES F3 VS F0 - 4X NOTE 5/29/2018 0.99%
CDX CDX.NA.HY.28 500.0 06/20/2022 0.96%
FNMA FN30 TBA 02.5000 08/01/2047 0.85%
FNMA FN30 TBA 04.5000 07/01/2047 0.76%
JOHNSON & JOHNSON 0.69%
DJUBS LONG F3 - SHORT DJUBS 3X 144A NOTE 02/01/2018 0.68%
HON HAI PRECISION INDUSTRY 0.65%
BAML MLCXP2KS 3X BOFA 144A WARRANT 09/11/2017 0.58%
JPMORGAN CHASE & CO 0.57%
IND & COMM BK OF CHINA-H 0.53%
PFIZER INC 0.52%
TENCENT HOLDINGS LTD 0.52%
ALTRIA GROUP INC 0.48%
BAML COMMODITY MLBX4SX6 EXCESS RETURN STRATEGY 3X 144A NOTE 0.47%
MCDONALD'S CORP 0.47%
CHINA CONSTRUCTION BANK-H 0.45%
APPLE INC 0.43%
TAIWAN SEMICONDUCTOR-SP ADR 0.42%
UNITEDHEALTH GROUP INC 0.40%
EXXON MOBIL CORP 0.39%
PNC FINANCIAL SERVICES GROUP 0.39%
TEXAS INSTRUMENTS INC 0.39%
DANAHER CORP 0.38%
TELEKOMUNIKASI INDONESIA PER 0.38%
AGRICULTURAL BANK OF CHINA-H 0.37%
EBAY INC 0.37%
HUMANA INC 0.37%
INTUIT INC 0.37%
KIMBERLY-CLARK CORP 0.37%
RAYTHEON COMPANY 0.37%
APPLIED MATERIALS INC 0.36%
HONEYWELL INTERNATIONAL INC 0.36%
TENAGA NASIONAL BHD 0.36%
INDUSTRIAL BANK OF KOREA 0.35%
NORFOLK SOUTHERN CORP 0.35%
WALT DISNEY CO/THE 0.35%
CBS CORP-CLASS B NON VOTING 0.34%
LG UPLUS CORP 0.34%
NORTHROP GRUMMAN CORP 0.34%
RICHTER GEDEON NYRT 0.33%
SAIC MOTOR CORP LTD 144A/REGS WARRANT 02/02/2018 0.33%
PTT GLOBAL CHEMICAL PCL-FOR 0.32%
SK TELECOM 0.32%
SMILES SA 0.32%
YPF S.A.-SPONSORED ADR 0.32%
CIA SANEAMENTO BASICO DE SP 0.31%
SIAM CEMENT PUB CO-FOR REG 0.31%
TJX COMPANIES INC 0.31%
AUTOMATIC DATA PROCESSING 0.30%
FUBON FINANCIAL HOLDING CO 0.30%
GRUMA S.A.B.-B 0.30%
LOWES COMPANIES INC 0.30%
OLD MUTUAL PLC 0.30%
SHERWIN-WILLIAMS CO/THE 0.30%
ZOETIS INC 0.30%
ALIBABA GROUP HOLDING-SP ADR 0.29%
QUALICORP SA 0.29%
GUANGZHOU R&F PROPERTIES - H 0.28%
CAS 2015-C04 1M2 06.9161 04/25/2028 0.27%
CEQUEL COM HLDG I/CA P/P 144A 05.1250 12/15/2021 0.27%
LOTTE CHEMICAL CORP 0.27%
CVS HEALTH CORP 0.26%
JUNIPER NETWORKS INC 0.26%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.26%
ALLSTATE CORP 0.25%
ALPHABET INC-CL A 0.25%
BANK OF COMMUNICATIONS - H 0.25%
CEMEX SAB DE CV P/P 144A 05.7000 01/11/2025 0.25%
SK HYNIX INC 0.25%
TELKOM SA SOC LTD 0.25%
VTB BANK (VTB CAP SA P/P 144A 06.9500 10/17/2022 0.25%
AFLAC INC 0.24%
ALTICE LUXEMBOURG SA P/P 144A 07.7500 05/15/2022 0.24%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.24%
CHINA STATE CONSTRUCTION -A 144A REGS WARRANT 01/22/2018 0.24%
F5 NETWORKS INC 0.24%
KLX INC P/P 144A 05.8750 12/01/2022 0.24%
BAKER HUGHES INC 0.23%
CHINA RAILWAY CONSTRUCTION-H 0.23%
CHINA RAILWAY GROUP LTD-H 0.23%
GENERAL DYNAMICS CORP 0.23%
HANWHA CORPORATION 0.23%
IRON MOUNTAIN INC P/P 144A 06.0000 10/01/2020 0.23%
KINDER MORGAN INC 0.23%
BANK NEGARA INDONESIA PERSER 0.22%
BERKSHIRE HATHAWAY INC-CL B 0.22%
DBCT15SP P USL3M R 03/07/18 DE 0.22%
GRUPO FINANCIERO GALICIA-ADR 0.22%
INDOFOOD SUKSES MAKMUR TBK P 0.22%
MERCER INTL INC USD 07.7500 12/01/2022 0.22%
NRG ENERGY INC 07.2500 05/15/2026 0.22%
P G & E CORP 0.22%
SK INNOVATION CO LTD 0.22%
UNITED TRACTORS TBK PT 0.22%
VERIZON COMMUNICATIONS INC 0.22%
BANK OF CHINA LTD-H 0.21%
CHINA CINDA ASSET MANAGEME-H 0.21%
CME GROUP INC 0.21%
FIDELITY NATIONAL INFO SERV 0.21%
SINOPEC SHANGHAI PETROCHEM-H 0.21%
STEEL DYNAMICS INC 06.3750 08/15/2022 0.21%
BANCO MACRO SA-ADR 0.20%
ISBANK-C 0.20%
MERCK & CO. INC. 0.20%
PROVINCIA DE BUENOS P/P 144A 09.1250 03/16/2024 0.20%
REVLON CONS TLB L+350 04.5438 09/07/2023 0.20%
SAPPI LIMITED 0.20%
ANHUI CONCH CEMENT CO LTD-H 0.19%
ASURION LLC 2NDL L+750 08.5447 03/03/2021 0.19%
EQUITY RESIDENTIAL TR REIT 0.19%
FIRST DATA CORP P/P 144A 07.0000 12/01/2023 0.19%
GENTING BHD 0.19%
JO-ANN STORES TL L+500 06.0000 10/21/2023 0.19%
KOC HLDG 0.19%
MARATHON PETROLEUM CORP 0.19%
PEOPLES INSURANCE CO 0.19%
ROSS STORES INC 0.19%
TURKIYE GARANTI BANKASI 0.19%
YY INC-ADR 0.19%
ALLIANT HLDG INT LLC P/P 144A 08.2500 08/01/2023 0.18%
BF0101 03.5000 06/01/2056 0.18%
BUILDERS FIRSTSOURCE L+300 04.0687 02/29/2024 0.18%
EDISON INTERNATIONAL 0.18%
ELDORADO RESORTS INC 07.0000 08/01/2023 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%
MSBAM 2012-C6 G P/P 144A 04.5000 11/15/2045 0.18%
SYSCO CORP 0.18%
WPX ENERGY INC 06.0000 01/15/2022 0.18%
ADOBE SYSTEMS INC 0.17%
AES CORP/VA 05.5000 04/15/2025 0.17%
CAESARS GROWTH PROP TL L+300 04.0447 05/08/2021 0.17%
DIGICEL GROUP LTD P/P 144A 08.2500 09/30/2020 0.17%
GREAT PLAINS ENERGY INC 0.17%
MICROSOFT CORP 0.17%
POU CHEN 0.17%
VISTRA TLB L+275 03.5000 08/04/2023 0.17%
WASTE MANAGEMENT INC 0.17%
AGNC INVESTMENT CORP 0.16%
AMAG PHARMA INC P/P 144A 07.8750 09/01/2023 0.16%
CAS 2016-C02 1B 13.4661 09/25/2028 0.16%
HERSHEY CO/THE 0.16%
ITAU UNIBANCO H-SPON PRF ADR 0.16%
JM SMUCKER CO/THE 0.16%
TALBOTS INC 2NDL L+850 09.5447 03/19/2021 0.16%
TRAVELERS COS INC/THE 0.16%
ALTISOURCE SOL TLB L+350 04.5447 12/09/2020 0.15%
AMERICAN ELECTRIC POWER 0.15%
BANCO DO BRASIL S.A. 0.15%
CHINA LESSO GROUP HOLDINGS L 0.15%
CHONGQING RURAL COMMERCIAL-H 0.15%
FISERV INC 0.15%
GREAT WALL MOTOR COMPANY-H 0.15%
MRV ENGENHARIA 0.15%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.15%
PAMPA ENERGIA SA-SPON ADR 0.15%
SHINHAN FINANCIAL GROUP LTD 0.15%
SPRINT COMMUNICATIONS INC. 07.0000 08/15/2020 0.15%
US BANCORP 0.15%
WINDSTREAM SERVICES LLC 06.3750 08/01/2023 0.15%
CERIDIAN HCM HOLDING P/P 144A 11.0000 03/15/2021 0.14%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.14%
DBCT15LP R USL3M P 03/07/18 DE 0.14%
GLOBANT SA 0.14%
HARRIS CORP 0.14%
L3 TECHNOLOGIES INC 0.14%
MATTAMY GROUP CORP P/P 144A 06.5000 11/15/2020 0.14%
MISC BHD 0.14%
NETAPP INC 0.14%
REP OF ARGENTINA USD 07.1250 07/06/2036 0.14%
SCIENTIFIC GAMES TLB3 L+400 05.0624 10/01/2021 0.14%
VALEANT PHARMA P/P 144A 05.8750 05/15/2023 0.14%
ANNALY CAPITAL MANAGEMENT IN 0.13%
AT&T INC 0.13%
CBAC/HORSESHOE TLB L+700 08.2500 07/02/2020 0.13%
CWALT 2006-OA7 1A2 01.6716 06/25/2046 0.13%
FED REPUBLIC OF BRAZIL USD 05.0000 01/27/2045 0.13%
GNR 2017-H11 NI IO 02.1357 05/20/2067 0.13%
ICAHN ENTER/FIN 04.8750 03/15/2019 0.13%
JPMBB 2014-C18 D P/P 144A 04.9740 02/15/2047 0.13%
NAVISTAR TLB L+400 05.0900 08/07/2020 0.13%
PAYCHEX INC 0.13%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.13%
SUNTRUST BANKS INC 0.13%
WAMU 2005-AR13 A1C3 01.7061 10/25/2045 0.13%
A SCHULMAN INC 06.8750 06/01/2023 0.12%
AIRASIA BHD 0.12%
BOMBARDIER INC P/P 144A 08.7500 12/01/2021 0.12%
CAS 2016-C01 1B 12.9661 08/25/2028 0.12%
CLEAR CHANNEL TLD L+675 07.7947 01/30/2019 0.12%
FHR 3852 NT 04.8411 05/15/2041 0.12%
FHR 4568 MI IO 04.0000 04/15/2046 0.12%
FHR 4604 QI IO 03.5000 07/15/2046 0.12%
FNMA FN30 AL6919 05.5000 01/01/2038 0.12%
NVR INC 0.12%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.12%
PRESIDENT CHAIN STORE CORP 0.12%
STACR 2015-DN1 B 12.7161 01/25/2025 0.12%
STACR 2016-DNA1 B 11.2161 07/25/2028 0.12%
VANTIV INC - CL A 0.12%
VERTIV TLB L+400 05.0603 11/30/2023 0.12%
WEST CORP P/P 144A 05.3750 07/15/2022 0.12%
GATES GLOBAL LLC P/P 144A 06.0000 07/15/2022 0.11%
GCP APPLIED TECH P/P 144A 09.5000 02/01/2023 0.11%
GNR 2015-H24 HI IO 02.0339 09/20/2065 0.11%
PROCTER & GAMBLE CO/THE 0.11%
SYNOPSYS INC 0.11%
AMERICAN AXLE & MFG INC 07.7500 11/15/2019 0.10%
ARCELORMITTAL USD 06.1250 06/01/2025 0.10%
ARGENTINE REPUBLIC USD 07.6250 04/22/2046 0.10%
AVAYA INC TLB6 L+550 06.6665 03/31/2018 0.10%
AVERY DENNISON CORP 0.10%
CDK GLOBAL INC 0.10%
FNMA FN30 TBA 05.5000 07/01/2047 0.10%
GNR 2015-186 AI IO 04.0000 12/20/2045 0.10%
GNR 2015-H10 CI IO 01.8100 04/20/2065 0.10%
GNR 2015-H19 NI IO 01.9092 07/20/2065 0.10%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.10%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.10%
IVORY COAST P/P 144A 06.1250 06/15/2033 0.10%
NETEASE INC-ADR 0.10%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.10%
TI GROUP AUTO SYS LL P/P 144A 08.7500 07/15/2023 0.10%
UFC 1STL L+325 04.4700 08/18/2023 0.10%
UNIVAR USA INC P/P 144A 06.7500 07/15/2023 0.10%
WELLCARE HEALTH PLANS INC 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%
BMIR 2015-1A B1 07.5161 07/25/2025 0.09%
CAPITAL AUTO 2NDL L+600 07.0300 03/24/2025 0.09%
CAS 2016-C03 1B 12.9661 10/25/2028 0.09%
CAS 2016-C03 2M2 07.1161 10/25/2028 0.09%
CWALT 2005-59 1A1 01.5422 11/20/2035 0.09%
DYNEGY TLC L+325 04.3387 02/07/2024 0.09%
FHLMC FH30G TBA 03.5000 07/01/2047 0.09%
FHR 4121 AI IO 03.5000 10/15/2042 0.09%
FORD OTOMOTIV 0.09%
FRAC TECH INTL TLB L+475 05.7947 04/16/2021 0.09%
FREEDOM MORTGAGE TLB L+550 06.5565 02/23/2022 0.09%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.09%
GNR 2015-H20 CI IO 01.9845 08/20/2065 0.09%
GNR 2015-H25 BI IO 01.9935 10/20/2065 0.09%
HYUNDAI MARINE 0.09%
JPCMPTSH P USL1M R 04/20/18 JP 0.09%
KIMBERLY-CLARK DE MEXICO-A 0.09%
LEAR CORP 0.09%
MSBAM 2013-C13 F P/P 144A 03.7070 11/15/2046 0.09%
NEIMAN MARCUS TL L+325 04.3387 10/25/2020 0.09%
NOTA DO TESOURO NACIONAL 10.0000 01/01/2023 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 04.7827 06/30/2021 0.09%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.09%
PHILLIPS 66 0.09%
PINNACLE FOODS INC 0.09%
RADIANT OPTO-ELECTRONICS COR 0.09%
REPUBLIC SERVICES INC 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%
TMX FIN/TITLEMAX P/P 144A 08.5000 09/15/2018 0.09%
TRIPOD TECHNOLOGY CORP 0.09%
VOYA FINANCIAL INC 0.09%
WIDEOPENWEST FIN 10.2500 07/15/2019 0.09%
ALTABA INC 0.08%
BCAP 2012-RR5 4A8 01.1936 06/26/2035 0.08%
CAMDEN PROPERTY TRUST 0.08%
CORNING INC 0.08%
ECOLAB INC 0.08%
EPR PROPERTIES 0.08%
FNR 2012-68 BS IO 04.7839 07/25/2042 0.08%
GAMING AND LEISURE PROPERTIE 0.08%
GNR 2012-136 BI IO 03.5000 11/20/2042 0.08%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.08%
GNR 2015-187 JI IO 04.0000 03/20/2045 0.08%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.08%
GNR 2015-H09 BI IO 01.6896 03/20/2065 0.08%
GNR 2015-H14 BI IO 01.5886 05/20/2065 0.08%
GNR 2015-H16 XI IO 02.1280 07/20/2065 0.08%
GNR 2016-49 IO IO 04.5000 11/16/2045 0.08%
LAREDO PETROLEUM INC 07.3750 05/01/2022 0.08%
PATHEON HLDG I BV P/P 144A 07.5000 02/01/2022 0.08%
PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.08%
PRICELINE GROUP INC/THE 0.08%
RUSSIAN FEDERATION P/P 144A 05.6250 04/04/2042 0.08%
SERVICEMASTER GLOBAL HOLDING 0.08%
SPY 20180615 P 210.00CITI 0.08%
STACR 2015-DNA3 B 10.5661 04/25/2028 0.08%
AVAYA INC P/P 144A 07.0000 04/01/2019 0.07%
BCAP 2014-RR1 2A2 02.8780 01/26/2036 0.07%
BIO-RAD LABORATORIES-A 0.07%
CHESAPEAKE ENERGY 1.5L L+750 08.5000 08/23/2021 0.07%
CHINA MOBILE LTD 0.07%
CONAGRA BRANDS INC 0.07%
FHR 4026 GI IO 04.5000 09/15/2041 0.07%
FHR 4096 SM IO 04.8911 08/15/2042 0.07%
FHR 4134 PI IO 03.0000 11/15/2042 0.07%
FHR 4452 QI IO 04.0000 11/15/2044 0.07%
FHR 4530 HI IO 04.0000 11/15/2045 0.07%
FHR 4601 IC IO 04.0000 12/15/2045 0.07%
FNR 2014-47 IP IO 04.0000 03/25/2044 0.07%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.07%
FNR 2016-50 PI IO 03.0000 08/25/2046 0.07%
GNR 2014-182 KI IO 05.0000 10/20/2044 0.07%
GNR 2015-79 CI IO 04.0000 05/20/2045 0.07%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.07%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.07%
GNR 2015-H24 BI IO 01.6131 08/20/2065 0.07%
GNR 2015-H25 AI IO 01.6137 09/20/2065 0.07%
GNR 2015-H25 EI IO 01.8460 10/20/2065 0.07%
GNR 2015-H26 DI IO 02.0798 10/20/2065 0.07%
GNR 2015-H26 EI IO 01.7165 10/20/2065 0.07%
GNR 2016-H02 BI IO 02.0362 11/20/2065 0.07%
GNR 2016-H07 HI IO 01.9164 02/20/2066 0.07%
GSGLPWDS P USL1M R 12/15/20 GS 0.07%
HASBRO INC 0.07%
LAMAR ADVERTISING CO-A 0.07%
MACQUARIE MEXICO RE 0.07%
SAMI 2007-AR1 2A1 01.3961 01/25/2037 0.07%
SBERBANK (SB CAP SA) P/P 144A 05.1250 10/29/2022 0.07%
SPY 20180518 P 210.00JPMCB 0.07%
STARWOOD PROPERTY TRUST INC 0.07%
TELECOM ARGENTINA SA-SP ADR 0.07%
WFCM 2013-LC12 D P/P 144A 04.4307 07/15/2046 0.07%
0.75 R ISWP FWD GBL6M P 09/20/2022 0.06%
CAESARS ENT OPER TLB6B L+775 11.5000 03/01/2018 0.06%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.06%
CHIMERA INVESTMENT CORP 0.06%
CLEAR CHANNEL COMMUN 09.0000 12/15/2019 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.06%
COVERIS HOLDINGS SA P/P 144A 07.8750 11/01/2019 0.06%
CWALT 2006-OA10 1A1 01.6916 08/25/2046 0.06%
DEL MONTE 2NDL L+725 08.6900 08/18/2021 0.06%
FHR 4121 MI IO 04.0000 10/15/2042 0.06%
FHR 4322 ID IO 04.5000 05/15/2043 0.06%
FHR 4389 IA IO 04.0000 09/15/2044 0.06%
FHS 303 C18 IO 03.5000 01/15/2043 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 10.4678 05/25/2040 0.06%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.06%
FNS 421 C6 IO 04.0000 05/25/2045 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 2013-79 XI IO 03.5000 11/20/2039 0.06%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.06%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.06%
GNR 2014-H21 AI IO 01.7544 10/20/2064 0.06%
GNR 2015-162 BI IO 04.0000 11/20/2040 0.06%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.06%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.06%
GNR 2015-96 NI IO 03.5000 01/20/2039 0.06%
GNR 2015-H09 AI IO 02.1908 04/20/2065 0.06%
GNR 2015-H10 EI IO 01.6358 04/20/2065 0.06%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.06%
GNR 2015-H22 GI IO 02.5754 09/20/2065 0.06%
GNR 2015-H26 GI IO 01.7930 10/20/2065 0.06%
GNR 2016-H03 AI IO 02.1650 01/20/2066 0.06%
GNR 2016-H08 GI IO 01.4335 04/20/2066 0.06%
GNR 2017-H02 BI IO 02.3120 01/20/2067 0.06%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.06%
HCA INC 06.5000 02/15/2020 0.06%
HOME DEPOT INC 0.06%
JPMBB 2013-C12 E P/P 144A 04.2223 07/15/2045 0.06%
JPMBB 2013-C14 E P/P 144A 04.7206 08/15/2046 0.06%
MSBAM 2012-C6 F P/P 144A 04.7750 11/15/2045 0.06%
MSBAM 2013-C11 F P/P 144A 04.5153 08/15/2046 0.06%
PETROBRAS GLOBAL FINANCE USD 08.3750 05/23/2021 0.06%
REINSURANCE GROUP OF AMERICA 0.06%
SOUTHERN CO/THE 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 04.4318 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%
AEROFLOT PJSC 0.05%
AMDOCS LTD 0.05%
AMERICAN HOME 4 RENT 0.05%
BACM 2008-1 C P/P 144A 06.5091 02/10/2051 0.05%
BBVA BANCO FRANCES SA-ADR 0.05%
BERRY GLOBAL GROUP INC 0.05%
BSCMS 2006-PW11 B P/P 144A 05.3282 03/11/2039 0.05%
BWX TECHNOLOGIES INC 0.05%
CIFI HOLDINGS GROUP CO LTD 0.05%
CORELOGIC INC 0.05%
DELL TECHNOLOGIES INC-CL V 0.05%
DIAMOND RESORTS TLB L+600 07.0447 09/02/2023 0.05%
FHR 4073 AS IO 04.8911 08/15/2038 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 2014-76 IO IO 03.5000 11/25/2039 0.05%
FNR 2016-98 QI IO 03.5000 02/25/2046 0.05%
FREEPORT-MCMORAN INC 06.7500 02/01/2022 0.05%
GNR 2009-121 CI IO 04.5000 12/16/2039 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 2013-76 IO IO 03.5000 05/20/2043 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 2015-111 IJ IO 03.5000 08/20/2045 0.05%
GNR 2015-124 DI IO 03.5000 01/20/2038 0.05%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.05%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.05%
GNR 2016-H04 KI IO 01.9292 02/20/2066 0.05%
GNR 2016-H16 DI IO 02.6205 06/20/2066 0.05%
GOLDEN NUGGET TL L+350 04.7082 11/21/2019 0.05%
GSMS 2013-GC10 E P/P 144A 04.5568 02/10/2046 0.05%
JPMCC 2012-C6 G P/P 144A 02.9720 05/15/2045 0.05%
MSBAM 2013-C11 E P/P 144A 04.5153 08/15/2046 0.05%
MSBAM 2014-C17 D P/P 144A 04.6974 08/15/2047 0.05%
OJSC RUSS AGRIC BK P/P 144A 05.2980 12/27/2017 0.05%
PROVINCIA DE CORDOBA P/P 144A 07.1250 06/10/2021 0.05%
REP OF INDONESIA P/P 144A 04.3500 01/08/2027 0.05%
SANDRIDGE ENERGY INC 0.05%
SCIENTIFIC GAMES INT P/P 144A 07.0000 01/01/2022 0.05%
SPIRIT REALTY CAPITAL INC 0.05%
SPST 2017-1 A 02.1161 02/25/2049 0.05%
SPY 20180420 P 205.00CITI 0.05%
TURKIYE HALK BANKASI 0.05%
TWENTY-FIRST CENTURY FOX-A 0.05%
ULTA BEAUTY INC 0.05%
WALGREENS BOOTS ALLIANCE INC 0.05%
WBCMT 2005-C21 E P/P 144A 05.4679 10/15/2044 0.05%
ZHENGZHOU YUTONG BUS 144A/REGS WARRANT 7/24/2017 0.05%
ARAB REP OF EGYPT P/P 144A 08.5000 01/31/2047 0.04%
BAXTER INTERNATIONAL 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%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.04%
CAS 2015-C03 1M2 06.2161 07/25/2025 0.04%
CHEMOURS CO 06.6250 05/15/2023 0.04%
CHINA DONGXIANG GROUP CO 0.04%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.04%
CORPORATE OFFICE PROPERTIES 0.04%
CPG MERGER SUB LLC P/P 144A 08.0000 10/01/2021 0.04%
CWALT 2005-27 1A6 02.0361 08/25/2035 0.04%
CWHL 2005-3 1A1 01.8361 04/25/2035 0.04%
EURONET WORLDWIDE INC 0.04%
FHR 3747 SA IO 05.3411 10/15/2040 0.04%
FHR 4116 MI IO 04.0000 10/01/2042 0.04%
FHR 4193 PI IO 04.0000 03/15/2043 0.04%
FHR 4601 PI IO 04.5000 12/15/2045 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 2017-2 KI IO 04.0000 02/25/2047 0.04%
GENPACT LTD 0.04%
GNR 2010-134 ES IO 04.7878 11/20/2039 0.04%
GNR 2013-157 IA IO 03.5000 04/20/2040 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 2015-64 PI IO 03.5000 05/20/2045 0.04%
GNR 2015-H18 IA IO 01.8266 06/20/2065 0.04%
GNR 2015-H26 CI IO 00.5541 08/20/2065 0.04%
GNR 2016-154 IB IO 05.0000 11/20/2039 0.04%
GNR 2016-77 SC IO 04.8878 10/20/2045 0.04%
GNR 2016-77 SL IO 04.9378 03/20/2043 0.04%
HIGHWOODS PROPERTIES INC 0.04%
JPMCC 2007-CB20 C P/P 144A 06.5329 02/12/2051 0.04%
JPMCC 2013-C13 E P/P 144A 03.9860 01/15/2046 0.04%
LANDSTAR SYSTEM INC 0.04%
MFA FINANCIAL INC 0.04%
NASPERS LTD-N SHS 0.04%
PETROBRAS ARGENTINA - ADR 0.04%
PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.04%
POOL CORP 0.04%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.04%
PROVINCIA DE BUENOS P/P REGS 24.0800 05/31/2022 0.04%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.04%
REP OF INDONESIA P/P 144A 05.2500 01/17/2042 0.04%
RETAIL PROPERTIES OF AME - A 0.04%
SCOTTS MIRACLE-GRO CO 0.04%
SONOCO PRODUCTS CO 0.04%
SPY 20180316 P 205.00JPMCB 0.04%
TOWNSQUARE MEDIA INC P/P 144A 06.5000 04/01/2023 0.04%
TWO HARBORS INVESTMENT CORP 0.04%
VISTRA TLC L+275 03.5000 08/04/2023 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%
0.30 R ISWP FWD SES3M P 09/20/2022 0.03%
1.90 R ISWP FWD USL3M P 09/20/2022 0.03%
ARAB REP OF EGYPT P/P 144A 06.1250 01/31/2022 0.03%
ARAMARK 0.03%
ASSURED GUARANTY LTD 0.03%
AU OPTRONICS CORP 0.03%
BROADRIDGE FINANCIAL SOLUTIO 0.03%
CHAILEASE HOLDING CO LTD 0.03%
CHARLES RIVER LABORATORIES 0.03%
CHINA HUARONG ASSET 0.03%
COMM 2007-C9 D 05.9911 12/10/2049 0.03%
CONCORDIA INTL P/P 144A 07.0000 04/15/2023 0.03%
FHR 4097 PI IO 03.5000 11/15/2040 0.03%
FHR 4136 IW IO 03.5000 10/15/2042 0.03%
FHR 4150 DI IO 03.0000 01/15/2043 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
FHR 4355 DI IO 04.0000 03/15/2044 0.03%
FHR 4462 IO IO 04.0000 04/15/2045 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 2013-8 NI IO 03.0000 12/25/2042 0.03%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.03%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.03%
GNR 2011-17 S IO 04.8378 02/20/2041 0.03%
GNR 2011-H15 AI IO 01.5794 06/20/2061 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 2013-34 PI IO 04.5000 08/20/2039 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 2015-99 LI IO 04.0000 07/20/2045 0.03%
GNR 2016-H04 HI IO 02.3622 07/20/2065 0.03%
GNR 2016-H11 HI IO 02.0821 01/20/2066 0.03%
GNR 2017-57 AI IO 04.0000 06/20/2045 0.03%
GSVIVV69 R 0.3 P 12/15/20 GS 0.03%
HUNTINGTON INGALLS INDUSTRIE 0.03%
INTERCONTINENTAL EXCHANGE IN 0.03%
JPMCC 2012-C6 F P/P 144A 05.2988 05/15/2045 0.03%
KB FINANCIAL GROUP INC 0.03%
KOREA ELECTRIC POWER CORP 0.03%
LIBERTY PROPERTY TRUST 0.03%
MSC 2007-HQ11 C 05.5580 02/12/2044 0.03%
PEPSICO INC 0.03%
POPULAR INC 0.03%
SEK/USD 09/20/2017 SSBT 0.03%
SPY 20180216 P 200.00CITI 0.03%
STACR 2016-DNA2 B 11.7161 10/25/2028 0.03%
STACR 2017-DNA2 B1 06.3661 10/25/2029 0.03%
THERMO FISHER SCIENTIFIC INC 0.03%
TURKEY GOVERNMENT BOND TRY 11.0000 03/02/2022 0.03%
WAMU 2005-AR19 A1C3 01.7161 12/25/2045 0.03%
WFRBS 2011-C4 E P/P 144A 05.4143 06/15/2044 0.03%
WFRBS 2012-C10 E P/P 144A 04.5944 12/15/2045 0.03%
WORLD FUEL SERVICES CORP 0.03%
-0.30 R ISWP FWD CHL6M P 09/20/2022 0.02%
AHM 2007-1 GA1C 01.4061 05/25/2047 0.02%
AMAZON.COM INC 0.02%
APPLE HOSPITALITY REIT INC 0.02%
ASPEN INSURANCE HOLDINGS LTD 0.02%
BACM 2005-1 C 05.5567 11/10/2042 0.02%
BALTA 2004-3 B 04.1411 04/25/2034 0.02%
BRANDYWINE REALTY TRUST 0.02%
BSCMS 2006-PW11 C P/P 144A 05.3282 03/11/2039 0.02%
CALIFORNIA RESOURCES P/P 144A 08.0000 12/15/2022 0.02%
CAS 2015-C02 2M2 05.2161 05/25/2025 0.02%
CAS 2017-C02 2B1 06.7161 09/25/2029 0.02%
CD 2007-CD5 E P/P 144A 06.5058 11/15/2044 0.02%
CMLTI 2007-WFH3 M1 01.4761 06/25/2037 0.02%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.02%
COMMERCEHUB INC-SERIES C 0.02%
DIGICEL LIMITED P/P 144A 06.7500 03/01/2023 0.02%
EMPIRE STATE REALTY TRUST-A 0.02%
EQUITY COMMONWEALTH 0.02%
FHR 2990 LB 13.9837 06/15/2034 0.02%
FHR 3996 IK IO 04.0000 03/15/2039 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 4213 GI IO 04.0000 11/15/2041 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 2012-129 IJ IO 03.5000 12/25/2032 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 2013-151 IB IO 04.5000 02/20/2040 0.02%
GNR 2013-183 AI IO 03.5000 10/20/2039 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 2013-53 IA IO 04.0000 12/20/2026 0.02%
GNR 2013-90 HI IO 03.5000 04/20/2040 0.02%
GNR 2014-115 QI IO 03.0000 03/20/2029 0.02%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.02%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.02%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.02%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.02%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.02%
GOLDEN NUGGET DD L+450 05.5000 11/21/2019 0.02%
GRAHAM HOLDINGS CO-CLASS B 0.02%
GSAA 2007-6 1A1 01.3361 05/25/2047 0.02%
GSVICUI3 R 0.45 P 12/15/20 GS 0.02%
HEICO CORP 0.02%
INTUITIVE SURGICAL INC 0.02%
ITAUSA-INVESTIMENTOS ITAU-PR 0.02%
JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 0.02%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.02%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.02%
MARRIOTT INTERNATIONAL -CL A 0.02%
MHL 2004-1 M2 02.2211 11/25/2034 0.02%
MLMT 2004-KEY2 D 05.0460 08/12/2039 0.02%
MSC 2007-HQ11 D 05.5870 02/12/2044 0.02%
PARK HOTELS & RESORTS INC 0.02%
QUALITY CARE PROPERTIES 0.02%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.02%
REP OF ARGENTINA USD 06.8750 01/26/2027 0.02%
RUSSIAN FEDERATION P/P 144A 12.7500 06/24/2028 0.02%
SPY 20180119 P 195.00JPMCB 0.02%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 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%
WFCM 2012-LC5 E P/P 144A 04.9343 10/15/2045 0.02%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.02%
2.15 R ISWP FWD USL3M P 06/27/2027 0.01%
AUD/USD 07/19/2017 BANKAM 0.01%
AUD/USD 07/19/2017 RBSF 0.01%
AUSTRALIAN DOLLAR ACCOUNT 0.01%
BACM 2005-3 AJ 04.7670 07/10/2043 0.01%
CAD/USD 07/19/2017 CSI-FX 0.01%
CAD/USD 07/19/2017 JPMCB 0.01%
CAD/USD 07/19/2017 UBS 0.01%
CAD/USD 07/19/2017 WPAC 0.01%
CAS 2015-C01 2M2 05.7661 02/25/2025 0.01%
CAS 2015-C02 1M2 05.2161 05/25/2025 0.01%
CAS 2015-C03 2M2 06.2161 07/25/2025 0.01%
CAS 2015-C04 2M2 06.7661 04/25/2028 0.01%
CHC GRP LLC/FIN P/P USD 00.0000 10/01/2020 0.01%
CISCO SYSTEMS INC 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
COLGATE-PALMOLIVE CO 0.01%
DAVITA INC 0.01%
EUR/USD 09/20/2017 BANKAM 0.01%
EUR/USD 09/20/2017 HSBCB 0.01%
EUR/USD 09/20/2017 JPMCB 0.01%
EUR/USD 09/20/2017 RBSF 0.01%
EUR/USD 09/20/2017 WPAC 0.01%
FHR 3687 CI IO 05.0000 11/15/2038 0.01%
FNMA FN30 BD3718 03.5000 08/01/2046 0.01%
FNR 2005-122 SE 18.8436 11/25/2035 0.01%
FNR 2005-74 NK 21.4195 05/25/2035 0.01%
FNR 2012-96 PI IO 04.0000 07/25/2041 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 05.5333 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 2013-102 IP IO 03.5000 06/20/2043 0.01%
GNR 2013-129 SN IO 04.9378 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 2013-37 LI IO 03.5000 01/20/2042 0.01%
GNR 2013-99 VS IO 04.9283 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%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.01%
GSMS 2006-GG8 X IO P/P 144A 01.0744 11/10/2039 0.01%
GSMS 2013-GC10 D P/P 144A 04.5568 02/10/2046 0.01%
GSVIVVOL R 0.3 P 12/15/20 GS 0.01%
HALCON RESOURCES CORP 0.01%
JPMCC 2006-LDP7 B 06.1385 04/17/2045 0.01%
JPY/USD 08/16/2017 UBS 0.01%
LBUBS 2006-C6 D 05.5020 09/15/2039 0.01%
LIBERTY EXPEDIA HOLD-A 0.01%
MSC 2006-HQ8 D 05.6280 03/12/2044 0.01%
NEWS CORP - CLASS B 0.01%
NZD/USD 07/19/2017 BCAP-FX 0.01%
NZD/USD 07/19/2017 HSBCB 0.01%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.01%
SEK/USD 09/20/2017 BANKAM 0.01%
SEK/USD 09/20/2017 BCAP-FX 0.01%
SEK/USD 09/20/2017 GSFX 0.01%
SEK/USD 09/20/2017 JPMCB 0.01%
SEK/USD 09/20/2017 UBS 0.01%
SWISS FRANC CALL ACCOUNT 0.01%
TELENET FINANCE V P/P 144A 06.7500 08/15/2024 0.01%
US FOODS HOLDING CORP 0.01%
USD/CNH PUT 6.70 20171006 GSFX 0.01%
USD/CNH PUT 6.70 20171013 BANKAM 0.01%
USD/JPY PUT 107.00 20171106 BANKAM 0.01%
WFMBS 2006-AR6 7A2 03.0341 03/25/2036 0.01%
WILEY (JOHN) & SONS-CLASS A 0.01%
0.15 R ISWP FWD CHL6M P 09/20/2027 0.00%
1.15 R ISWP FWD GBL6M P 09/20/2027 0.00%
1.45 R ISWP FWD NOKOIB6M P 09/20/2022 0.00%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
2.18 R ISWP FWD USL3M P 07/13/2027 0.00%
2.1965 R ISWP USL3M P 06/30/2027 0.00%
2.75 R ISWP FWD NFIX3MID P 09/20/2022 0.00%
3.00 R ISWP FWD AUDBB6M P 06/28/2027 0.00%
AMP US R P 07/05/22 CI 0.00%
ASURION LLC TLB2 L+325 04.2947 07/08/2020 0.00%
AUD/USD 07/19/2017 CSI-FX 0.00%
AUD/USD 07/19/2017 GSFX 0.00%
AUD/USD 07/19/2017 JPMCB 0.00%
AUD/USD 07/19/2017 SSBT 0.00%
BACM 2004-4 XC IO P/P 144A 00.0187 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4118 01/15/2049 0.00%
BRL/USD 10/03/2017 SSBT 0.00%
CAC40 10 EURO FUT JUL17 CFN7 0.00%
CAD/USD 07/19/2017 BCAP-FX 0.00%
CAD/USD 07/19/2017 HSBCB 0.00%
CAD/USD 07/19/2017 SSBT 0.00%
CANADIAN DOLLAR ACCOUNT 0.00%
CAS 2016-C06 1M2 05.4661 04/25/2029 0.00%
CHC GROUP LLC P/P 0.00%
CHF/USD 09/20/2017 BCAP-FX 0.00%
CHF/USD 09/20/2017 GSFX 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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-.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 JP 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2518 05/15/2038 0.00%
DAX INDEX FUTURE SEP17 GXU7 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%
EEM US P USL1M R 12/15/20 GS 0.00%
EUR/USD 09/20/2017 BCAP-FX 0.00%
EUR/USD 09/20/2017 CSI-FX 0.00%
EUR/USD 09/20/2017 GSFX 0.00%
EUR/USD 09/20/2017 SSBT 0.00%
EUR/USD 09/20/2017 UBS 0.00%
FHR 3232 KS IO 05.1411 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 00.0492 06/25/2028 0.00%
FNW 1998-W5 X IO 00.3167 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2724 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4414 11/15/2028 0.00%
FTSE 100 IDX FUT SEP17 Z U7 0.00%
GBP/USD 09/20/2017 BANKAM 0.00%
GBP/USD 09/20/2017 GSFX 0.00%
GBP/USD 09/20/2017 JPMCB 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 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
GSVICUB3 R 0.45 P 12/15/20 GS 0.00%
HALCON RESOURCES CORP - WARRA 0.00%
INR/USD 08/16/2017 BANKAM 0.00%
INR/USD 08/16/2017 GSFX 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 06.4329 02/12/2051 0.00%
JPMCC 2007-LDPX X IO 00.3153 01/15/2049 0.00%
JPY/USD 08/16/2017 BANKAM 0.00%
JPY/USD 08/16/2017 BCAP-FX 0.00%
JPY/USD 08/16/2017 CSI-FX 0.00%
JPY/USD 08/16/2017 GSFX 0.00%
JPY/USD 08/16/2017 JPMCB 0.00%
JPY/USD 08/16/2017 RBSF 0.00%
JPY/USD 08/16/2017 SSBT 0.00%
KOREAN WON CALL ACCOUNT 0.00%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.00%
LBUBS 2007-C2 XW IO 00.4577 02/15/2040 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.600.08 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 XC IO P/P 144A 00.8574 12/12/2049 0.00%
NOK/USD 09/20/2017 CITI 0.00%
NOK/USD 09/20/2017 CSI-FX 0.00%
NOK/USD 09/20/2017 SSBT 0.00%
NOK/USD 09/20/2017 UBS 0.00%
NZD/USD 07/19/2017 BANKAM 0.00%
NZD/USD 07/19/2017 CSI-FX 0.00%
NZD/USD 07/19/2017 JPMCB 0.00%
NZD/USD 07/19/2017 RBSF 0.00%
S&P MID 400 EMINI SEP17 FAU7 0.00%
S&P500 EMINI FUT SEP17 ESU7 0.00%
SEK/USD 09/20/2017 RBSF 0.00%
SGD/USD 08/16/2017 BANKAM 0.00%
SGD/USD 08/16/2017 HSBCB 0.00%
SGD/USD 08/16/2017 SSBT 0.00%
SPI 200 FUTURES SEP17 XPU7 0.00%
SPY 20170728 C 248.50CITI 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 2.31 USD 08/14/2017 GS 0.00%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS 0.00%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.00%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.00%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI 0.00%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.00%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.00%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS 0.00%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS 0.00%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA 0.00%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA 0.00%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI 0.00%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA 0.00%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.00%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP 0.00%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI 0.00%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.00%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.00%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.00%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.00%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS 0.00%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.00%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA 0.00%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS 0.00%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.00%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.00%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.00%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.00%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 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 6MX2Y P 1.642 USD 12/07/2017 CI 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 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%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.00%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.00%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.00%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.00%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.00%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.00%
TOPIX INDX FUTR SEP17 TPU7 0.00%
TRY/USD 09/20/2017 RBSF 0.00%
TRY/USD 09/20/2017 UBS 0.00%
TURKISH LIRA-NEW CALL ACCOUNT 0.00%
TWD/USD 08/16/2017 JPMCB 0.00%
TXU TCEH RIGHTS 0.00%
US 10YR NOTE (CBT)SEP17 TYU7 0.00%
USD/CNH PUT 6.60 20171006 GSFX 0.00%
USD/CNH PUT 6.60 20171013 BANKAM 0.00%
USD/JPY PUT 103.00 20171106 BANKAM 0.00%
1.10 R ISWP FWD SES3M P 09/20/2027 -0.01%
1.60 R ISWP FWD CDOR03 P 09/20/2022 -0.01%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.01%
1.90 R ISWP FWD NOKOIB6M P 09/20/2027 -0.01%
1.95 R ISWP FWD CDOR03 P 09/20/2027 -0.01%
1.95 R ISWP FWD USL3M P 09/20/2022 -0.01%
3.25 R ISWP FWD NFIX3MID P 09/20/2027 -0.01%
AUD/USD 07/19/2017 BCAP-FX -0.01%
AUD/USD 07/19/2017 UBS -0.01%
AUD/USD 07/19/2017 WPAC -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
GBP/USD 09/20/2017 SSBT -0.01%
NOK/USD 09/20/2017 BANKAM -0.01%
NOK/USD 09/20/2017 GSFX -0.01%
NOK/USD 09/20/2017 JPMCB -0.01%
NOK/USD 09/20/2017 RBSF -0.01%
NZD/USD 07/19/2017 UBS -0.01%
NZD/USD 07/19/2017 WPAC -0.01%
POUND STERLING CALL ACCOUNT -0.01%
SWEDISH KRONA CALL ACCOUNT -0.01%
THE EURO EUR CALL ACCOUNT -0.01%
2.25 R ISWP FWD USL3M P 09/20/2027 -0.02%
2.45 R ISWP FWD USL3M P 09/20/2047 -0.02%
2.60 R ISWP FWD AUDBB6M P 06/28/2022 -0.02%
NZD/USD 07/19/2017 GSFX -0.02%
NZD/USD 07/19/2017 SSBT -0.02%
SEK/USD 09/20/2017 CSI-FX -0.02%
0.20 R ISWP FWD EURIBOR6MD P 09/20/2022 -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.03%
FLR USL3M 6.00 03/07/2018 JP -0.03%
GSGLPWDL R USL1M P 12/15/20 GS -0.03%
NDUEEGF P USL1M R 02/09/18 UB -0.03%
GSCBPUR1 R USL1M P 12/15/20 GS -0.06%
0.80 R ISWP FWD EURIBOR6MD P 09/20/2027 -0.09%
MLFCF11 R USL3M P 03/07/18 BA -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.12%
RU10INTR P USL3M R 11/27/17 CI -0.18%
2.20 R ISWP FWD USL3M P 09/20/2027 -0.21%
CGPUTQL2 R USL3M P 12/01/17 CI -0.24%
CGPUTS54 P USL3M R 11/10/17 CI -0.26%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.32%
RU10INTR P USL3M R 08/02/17 BA -0.65%
NDUEEGF P USL3M R 12/12/17 GS -0.72%
NDUEEGF P USL3M R 10/17/17 CI -1.61%
NDUEEGF P USL3M R 03/19/18 CI -4.22%
NDUEEGF P USL1M R 08/21/17 UB -12.50%

Prior top 10 holdings

Top 10 holdings as of 09/30/17
Net cash
Fnma Fn30 Tba 03.5000 11/01/2047
Fnma Fn30 Tba 03.0000 11/01/2047
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018
Fnma Fn30 Tba 02.5000 10/01/2047
S&P Gsci 3x 144a Note 10/11/2018
Ishares Msci India Etf
Samsung Electronics
Technology Select Sect Spdr Sedol 2369709
Consumer Discretionary Selt Sedol 2424341
Holdings represent 63.65% of portfolio
Top 10 holdings as of 08/31/17
Net cash
Fnma Fn30 Tba 03.0000 10/01/2047
Fnma Fn30 Tba 03.5000 10/01/2047
Fnma Fn30 Tba 03.5000 09/01/2047
S&P Gsci Light Energy Official 3x Note 9/4/2018
S&P Gsci Light Energy Official 3x 144a Note 09/07/2018
Fnma Fn30 Tba 02.5000 09/01/2047
Ishares Msci India Etf
Technology Select Sect Spdr Sedol 2369709
Health Care Select Sector Sedol 2371823
Holdings represent 60.15% of portfolio
Top 10 holdings as of 07/31/17
Net cash
Fnma Fn30 Tba 03.5000 09/01/2047
Fnma Fn30 Tba 03.0000 09/01/2047
Fnma Fn30 Tba 02.5000 09/01/2047
Ishares Msci India Etf
Dish Network Corp-A Sedol 2303581
Health Care Select Sector Sedol 2371823
Technology Select Sect Spdr Sedol 2369709
Utilities Select Sector Spdr Sedol 2371812
Samsung Electronics
Holdings represent 60.83% of portfolio
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

Portfolio composition as of 09/30/17

Net cash 41.35%
U.S. stocks 26.53%
Commodities 20.42%
Agency pass-through 14.51%
U.S. Treasury/agency 8.99%
Commercial MBS 8.52%
Agency CMO 5.89%
International stocks 3.55%
Bank loans 2.67%
Emerging-market bonds 1.89%
Residential MBS (non-agency) 1.12%
Investment-grade corporate bonds 0.26%
Asset-backed securities (ABS) 0.05%
Emerging-market stocks -0.36%
High-yield corporate bonds -20.55%

Fixed income statistics as of 09/30/17

Average effective maturity 2.01 yrs.
Average effective duration 2.29 yrs.
Average price $93.19

Maturity detail as of 09/30/17

0 - 1 yr. 90.59%
1 - 5 yrs. 11.22%
5 - 10 yrs. -2.82%
10 - 15 yrs. 0.40%
Over 15 yrs. 0.61%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of stocks and bonds in the fund's portfolio may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility in the financial markets and reduced liquidity in the bond markets. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund's prospectus lists additional risks.


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.