Putnam Securitised Credit Fund (Class E)

Highlights

Objective

The fund seeks to achieve an average annual total return, gross of fees, that exceeds the 1-Month USD LIBOR (100% hedged to and reported in the relevant currency of the unit class, where applicable) by 3.0-5.0%, as measured over a full market cycle (generally at least three years or more).

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value €10.23
-0.39% | €-0.04
€10.27
12/09/2019
€9.63
24/12/2018
Historical fund price

Fund facts as of 31/08/2019

Total net assets
$10.51M
Dividend frequency
Semi-Annually
Number of holdings
231
Fiscal year-end
June
CUSIP / Fund code
-- / TL8
Inception date
11/07/2018
Category
Fixed Income
Open to new investors

Management team

Co-Head of Fixed Income
Portfolio Manager
Portfolio Manager


Literature


Performance

  • Total return (%) as of 30/06/2019

Annualized Total return (%) as of 30/06/2019

Annualized performance 1 yr. 3 yrs. 5 yrs.
Before sales charge -- -- --
ICE BofAML USD 1-Month LIBOR Index 2.38%1.53%1.01%

Data is historical. Past performance is not a guarantee of future results. More recent returns may be more or less than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units. Performance assumes reinvestment of distributions at net asset value (NAV) and reflects fund operating expenses such as management fees but does not account for any taxes or sales charges. The payment of any sales charges will reduce performance. Performance for each class of Units is denominated in the currency of the respective class. 

Performance snapshot

  Before sales charge
1 mt. as of 31/08/2019 0.49%
YTD -

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 31/07/2019

Fnma Fn30 Tba Umbs 03.5000 08/01/2049 49.09%
Omir 2018-1a M2 05.1160 07/25/2028 1.44%
Carr 2006-Nc2 A4 02.5060 06/25/2036 1.01%
Cas 2017-C07 1b1 06.2660 05/28/2030 0.99%
Cas 2018-C04 2m2 04.8160 12/25/2030 0.97%
Cas 2017-C02 2m2 05.9160 09/25/2029 0.96%
Cas 2017-C06 1b1 06.4160 02/25/2030 0.96%
Cas 2018-C02 2m2 04.4660 08/25/2030 0.96%
Comm 2014-Cr17 D P/P 144a 04.8502 05/10/2047 0.96%
Stacr 2018-Hqa1 M2 04.5660 09/25/2030 0.95%
Top 10 holdings, percent of portfolio 58.29%

Full portfolio holdings as of 30/06/2019

FNMA FN30 TBA UMBS 03.5000 08/01/2049 49.44%
FHLB 313384HP7 GDC 07/01/2019 16.49%
REPO DELIV TREAS 2.47 07/01/2019 9.67%
TREASURY BILL 00.0000 07/11/2019 4.83%
TREASURY BILL 00.0000 07/09/2019 2.42%
TREASURY BILL 00.0000 07/16/2019 2.42%
FEDERAL FARM CREDIT BANKS 313312JQ4 GDC 07/26/2019 2.42%
FEDERAL FARM CREDIT DISCOUNT 313312JM3 GDC 07/23/2019 2.42%
TREASURY BILL 00.0000 07/23/2019 2.42%
TREASURY BILL 00.0000 08/06/2019 2.41%
OMIR 2018-1A M2 05.2544 07/25/2028 1.47%
CARR 2006-NC2 A4 02.6444 06/25/2036 1.01%
CAS 2018 - C01 1B1 05.9544 07/25/2030 0.99%
CAS 2017-C07 1B1 06.4044 05/28/2030 0.98%
CAS 2018-C04 2M2 04.9544 12/25/2030 0.97%
CAS 2017-C02 2M2 06.0544 09/25/2029 0.97%
CMLTI 2005-WF2 AF6B 05.5500 08/25/2035 0.97%
CAS 2018-C02 2M2 04.6044 08/25/2030 0.96%
COMM 2014-CR17 D P/P 144A 05.0150 05/10/2047 0.96%
CAS 2017-C03 1B1 07.2544 10/25/2029 0.96%
STACR 2018-HQA1 M2 04.7044 09/25/2030 0.96%
CAS 2017-C06 1B1 06.5544 02/25/2030 0.96%
CAS 2017-C07 1M2 04.8044 05/28/2030 0.95%
CAS 2017-C06 2M2 05.2044 02/25/2030 0.95%
FNR 2017-74 SA IO 03.3456 10/25/2047 0.92%
FNR 2011-53 ST IO 03.5156 06/25/2041 0.88%
GNR 2013-182 LS IO 03.7571 12/20/2043 0.88%
FNR 2018-62 SB 03.9842 09/25/2048 0.83%
GNR 2018-121 SQ IO 03.8171 09/20/2048 0.83%
FNR 2013-7 SA IO 04.2956 02/25/2043 0.79%
CAS 2018-C05 1M2 04.7544 01/25/2031 0.78%
CAS 2016-C05 2B 13.1544 01/25/2029 0.75%
GNR 2018-104 SD IO 03.8171 08/20/2048 0.74%
FHR 4451 CI IO 07.0000 03/15/2045 0.74%
GNR 2018-H05 BI IO 02.3623 02/20/2068 0.73%
GNR 2018-H02 IM IO 02.3413 02/20/2068 0.73%
STACR 2018-DNA2 B1 06.1044 12/25/2030 0.69%
FNR 2018-65 SD IO 03.7956 09/25/2048 0.68%
GNR 2010-101 SD IO 04.2171 08/20/2040 0.68%
MSRR 2010-R4 4B 03.2458 02/26/2037 0.67%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.67%
GNR 2018-100 S IO 03.8171 07/20/2048 0.66%
SAMI 2006-AR7 A1BG 02.5244 08/25/2036 0.65%
GNR 2013-82 TI IO 03.5000 05/20/2043 0.63%
GNR 2018-H13 NI IO 02.2949 08/20/2068 0.62%
GNR 2014-184 DI IO 05.5000 12/16/2044 0.62%
FNR 2016-78 CS IO 03.6956 05/25/2039 0.61%
WAMU 2005-AR12 1A8 03.9935 10/25/2035 0.61%
FHR 4641 IO IO 04.0000 02/15/2044 0.60%
GNR 2014-4 SG IO 03.7171 01/20/2044 0.59%
GNR 2018-H08 AI IO 01.7649 03/20/2068 0.58%
GNR 2014-146 EI IO 05.0000 10/20/2044 0.58%
FNR 2014-17 SD IO 03.6456 04/25/2044 0.57%
FNR 2018-58 IO IO 05.5000 08/25/2048 0.54%
FNR 2018-51 IO IO 06.5000 07/25/2048 0.54%
GNR 2018-H13 DI IO 02.2038 08/20/2068 0.53%
GNR 2016-164 IO IO 06.5000 12/20/2046 0.53%
STACR 2019-DNA2 M2 04.8544 03/25/2049 0.53%
FNR 2015-84 PI IO 05.5000 08/25/2033 0.52%
GNR 2018-H02 EI IO 02.4111 01/20/2068 0.52%
FNR 2015-30 IO IO 05.5000 05/25/2045 0.51%
FHR 4259 DI IO 04.0000 06/15/2043 0.51%
MWST 2018-W1 A 03.2544 11/25/2051 0.50%
GNR 2018-105 SG IO 03.8671 08/20/2048 0.50%
GSMS 2014-GC24 D P/P 144A 04.6707 09/10/2047 0.50%
FHR 4290 LS IO 03.7058 07/15/2035 0.49%
FHR 4813 IO IO 05.5000 08/15/2048 0.48%
FNR 2016-65 CS IO 03.6956 09/25/2046 0.47%
GNR 2014-H16 CI IO 01.6351 07/20/2064 0.47%
HVMLT 2005-2 1A 02.9103 05/19/2035 0.46%
COMM 2013-CR6 D P/P 144A 04.2192 03/10/2046 0.46%
GNR 13-184 SK IO 03.6671 12/20/2043 0.46%
FNR 2013-9 SA IO 03.7456 03/25/2042 0.45%
GNR 2018-H13 IA IO 02.2550 08/20/2068 0.45%
GNR 2012-128 IA IO 03.5000 10/20/2042 0.45%
FNR 2016-3 MI IO 05.5000 02/25/2046 0.44%
GNR 2012-H12 FI IO 01.1742 05/20/2062 0.44%
GNR 2018-H11 AI IO 02.4175 02/20/2068 0.44%
GNR 2018-91 SH IO 03.8671 07/20/2048 0.43%
GNR 2018-H09 EI IO 02.4399 06/20/2068 0.42%
SPST 2018-5 A 03.1296 09/24/2019 0.42%
GNR 2018-H15 IO IO 02.3070 09/20/2068 0.41%
CAS 2018-C03 1M2 04.5544 10/25/2030 0.41%
FHR 4801 IG IO 03.0000 06/15/2048 0.39%
FNR 2016-61 BS IO 03.6956 09/25/2046 0.38%
GNR 2015-111 IJ IO 03.5000 08/20/2045 0.37%
GNR 2018-H06 PI IO 01.7603 02/20/2068 0.36%
GNR 2012-H31 DI IO 02.0731 12/20/2062 0.36%
GNR 2018-H15 KI IO 02.2885 08/20/2068 0.34%
GNR 2018-H11 CI IO 02.2254 07/20/2068 0.34%
FHR 4816 EI IO 04.0000 10/15/2042 0.34%
FNR 2019-5 SA IO 03.6956 03/25/2049 0.33%
FNR 2017-87 KI IO 05.0000 06/25/2041 0.32%
GNR 2017-H10 DI IO 02.4533 04/20/2067 0.29%
CSAIL 2015-C1 C 04.4364 04/15/2050 0.29%
GNR 2014-188 IB IO 04.0000 12/20/2044 0.28%
GNR 2016-75 EI IO 03.5000 08/20/2045 0.27%
GNR 2017-136 GI IO 03.5000 09/20/2047 0.27%
GNR 2018-H11 JI IO 02.4696 07/20/2068 0.27%
JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.26%
2.05 R ISWP FWD US0003M P 09/18/2029 0.26%
FNR 2019-18 SH IO 03.7456 05/25/2049 0.26%
FNR 2016-91 AS IO 03.6956 12/25/2046 0.24%
FNR 2017-87 IA IO 04.5000 11/25/2047 0.24%
SPST 2018-8 A 03.1296 02/24/2020 0.24%
MSC 2011-C3 E P/P 144A 05.2816 07/15/2049 0.24%
GNR 2014-27 S IO 03.7171 02/20/2044 0.24%
GNR 2018-171 SA IO 03.7671 12/20/2048 0.23%
GNR 2017-H16 BI IO 02.2134 08/20/2067 0.23%
GNR 2018-91 SJ IO 03.8671 07/20/2048 0.22%
CAS 2019-R03 1M2 04.5544 09/25/2031 0.19%
FNR 2018-86 DS IO 03.6956 12/25/2048 0.19%
BALTA 2005-8 21A1 04.4665 10/25/2035 0.18%
GNR 2018-H08 FI IO 01.5945 06/20/2068 0.18%
GNR 2014-154 IO IO 05.0000 10/20/2044 0.17%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.17%
GSMS 2014-GC22 C 04.8475 06/10/2047 0.16%
JPMCC 2013-LC11 D 04.3070 04/15/2046 0.16%
CAS 2016-C03 2B 15.1544 10/25/2028 0.14%
CGCMT 2015-GC27 D P/P 144A 04.5749 02/10/2048 0.13%
CAS 2017-C02 2B1 07.9044 09/25/2029 0.11%
WFRBS 2012-C10 D P/P 144A 04.5864 12/15/2045 0.11%
STACR 2019-DNA2 B1 06.7544 03/25/2049 0.10%
CAS 2019-R03 1B1 06.5044 09/25/2031 0.10%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.06%
2.25 R ISWP FWD US0003M P 09/18/2049 0.05%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.05%
CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.03%
CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.01%
1.70 R ISWP FWD US0003M P 09/18/2021 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.01%
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.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 MS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 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%
1.9448 R ISWP US0003M P 06/26/2029 0.00%
1.9451 R ISWP US0003M P 06/26/2029 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.11 2054-11-18 500.0 11/18/2054 MS 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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
1.794 R ISWP US0003M P 07/01/2021 -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 MS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CG -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.00%
1.9325 R ISWP US0003M P 06/27/2029 -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -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 ML -0.00%
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 CG -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 MS -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 CG -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 ML -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 ML -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 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 ML -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 CG -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 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -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 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.12%
1.80 R ISWP FWD US0003M P 09/18/2024 -0.13%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -3.88%

Prior top 10 holdings

Top 10 holdings as of 31/07/2019
Fnma Fn30 Tba Umbs 03.5000 08/01/2049
Omir 2018-1a M2 05.1160 07/25/2028
Carr 2006-Nc2 A4 02.5060 06/25/2036
Cas 2017-C07 1b1 06.2660 05/28/2030
Cas 2018-C04 2m2 04.8160 12/25/2030
Cas 2017-C02 2m2 05.9160 09/25/2029
Cas 2017-C06 1b1 06.4160 02/25/2030
Cas 2018-C02 2m2 04.4660 08/25/2030
Comm 2014-Cr17 D P/P 144a 04.8502 05/10/2047
Stacr 2018-Hqa1 M2 04.5660 09/25/2030
Holdings represent 58.29% of portfolio
Top 10 holdings as of 30/06/2019
Fnma Fn30 Tba Umbs 03.5000 08/01/2049
Omir 2018-1a M2 05.2544 07/25/2028
Carr 2006-Nc2 A4 02.6444 06/25/2036
Cas 2018 - C01 1b1 05.9544 07/25/2030
Cas 2017-C07 1b1 06.4044 05/28/2030
Cas 2017-C02 2m2 06.0544 09/25/2029
Cas 2018-C04 2m2 04.9544 12/25/2030
Cmlti 2005-Wf2 Af6b 05.5500 08/25/2035
Comm 2014-Cr17 D P/P 144a 05.0150 05/10/2047
Cas 2018-C02 2m2 04.6044 08/25/2030
Holdings represent 58.74% of portfolio
Top 10 holdings as of 31/05/2019
Umbs Fn30 Tba 03.5000 06/01/2049
Omir 2018-1a M2 05.2798 07/25/2028
Carr 2006-Nc2 A4 02.6698 06/25/2036
Cas 2017-C02 2m2 06.0798 09/25/2029
Cas 2017-C07 1b1 06.4298 05/25/2030
Cmlti 2005-Wf2 Af6b 05.5500 08/25/2035
Cas 2018 - C01 1b1 05.9798 07/25/2030
Cas 2018-C04 2m2 04.9798 12/25/2030
Cas 2018-C02 2m2 04.6298 08/25/2030
Stacr 2018-Hqa1 M2 04.7298 09/25/2030
Holdings represent 59.19% of portfolio
Top 10 holdings as of 30/04/2019
Umbs Fn30 Tba 03.5000 06/01/2049
Omir 2018-1a M2 05.3266 07/25/2028
Carr 2006-Nc2 A4 02.7166 06/25/2036
Cas 2017-C02 2m2 06.1266 09/25/2029
Cas 2017-C07 1b1 06.4766 05/25/2030
Cas 2018 - C01 1b1 06.0266 07/25/2030
Cas 2018-C04 2m2 05.0266 12/25/2030
Cas 2018-C02 2m2 04.6766 08/25/2030
Cmlti 2005-Wf2 Af6b 05.5500 08/25/2035
Stacr 2018-Hqa1 M2 04.7766 09/25/2030
Holdings represent 58.82% of portfolio

Unitholders may obtain more recent information about certain Funds' portfolio holdings from time to time by contacting the Manager. Portfolio holdings information will only be provided for legitimate purposes as determined by the Manager, and will be subject to a reasonable delay intended to protect the Funds.

The number of issues can be found in the fact sheet.

Fixed income statistics as of 31/07/2019

Average effective maturity 5.33 yrs.
Average effective duration 0.01 yrs.
Average yield to maturity 5.44%
Average coupon 5.34%

Sector weightings as of 31/07/2019

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 0.00% 0.00 49.09% 2.10 49.09% 2.10
Commercial MBS 3.12% 0.12 39.40% 1.00 42.52% 1.12
Agency CMO 35.14% 1.27 0.00% 0.00 35.14% 1.27
Residential MBS (non-agency) 19.48% 1.00 0.00% 0.00 19.48% 1.00
Asset-backed securities (ABS) 1.15% 0.01 0.00% 0.00 1.15% 0.01
Interest rate swaps 0.00% 0.00 0.00% -0.65 0.00% -0.65
Net cash 41.11% 0.00 0.00% 0.00 41.11% 0.00

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Maturity detail as of 31/07/2019

0 - 1 yr. -6.82%
1 - 5 yrs. 82.16%
5 - 10 yrs. 19.84%
10 - 15 yrs. 4.82%

Quality rating as of 31/07/2019

AAA 117.13%
AA 2.89%
A 10.30%
BBB 3.46%
BB 1.11%
B 7.59%
CCC and Below 2.82%
Not Rated -45.30%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage- and asset-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. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political and other developments affecting the housing or real estate markets. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages. 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. Unlike bonds, funds that invest in bonds have fees and expenses. 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, geography (such as a region of the United States), industry or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings or in relevant markets. You can lose money by investing in the fund.

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.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Net cash, if any, represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency.

Country allocation as of 31/07/2019

United States 98.56%
Bermuda 1.44%

Expenses

Expense ratio

Class E Class I Class S
Total expense ratio 0.70% 0.70% 0.70%

The ICE BofAML U.S. Dollar 1-month LIBOR Index tracks the performance of a synthetic asset paying Libor to a stated maturity. You cannot directly invest in an index.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage- and asset-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. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political and other developments affecting the housing or real estate markets. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages. 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. Unlike bonds, funds that invest in bonds have fees and expenses. 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, geography (such as a region of the United States), industry or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings or in relevant markets. You can lose money by investing in the fund.

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.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Net cash, if any, represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency.