Income Fund (Class A)  (PINCX)

Pursuing income with an all-weather bond portfolio since 1954

Income Fund received an  Overall Morningstar Rating  of  

Highlights

Objective

The fund seeks high current income consistent with what Putnam management believes to be prudent risk.

Strategy and process

  • Diverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed securi­ties, corporate bonds, and other government obligations.
  • Flexible risk allocations: The fund takes a unique approach to asset allocation, dynamically establishing diversified risk expo­sures rather than sector exposures.
  • Bottom-up approach: Security selection is the primary driver of returns, with sub-sector allocations and macro strategies also serving as potential alpha generators.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $6.84
-0.29% | $-0.02
$6.97
12/14/17
$6.78
05/22/18
Historical fund price

Fund facts as of 05/31/18

Total net assets
$1,504.73M
Turnover (fiscal year end)
1,055%
Dividend frequency (view rate)
Monthly
Number of holdings
1328
Fiscal year-end
October
CUSIP / Fund code
746792100 / 0003
Inception date
11/01/54
Category
Taxable Income
Open to new investors
Ticker
PINCX

Management team

Co-Head of Fixed Income
Portfolio Manager
Portfolio Manager


Manager commentary | Q2 2018

Retail malls can offer opportunity

Mike Salm, Co-Head of Fixed Income, discusses how active research reveals opportunities in commercial mortgage backed securities.


Literature


A surprising shortage in housing
Home construction is falling behind the pace of new household formation, creating an imbalance between housing supply and demand.
Headwinds buffet emerging-market debt
Higher interest rates can challenge any fixed-income market, but rate increases in advanced economies can cause particular difficulty for emerging markets.

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.

20.63%

Best 5-year annualized return

(for period ending 09/30/86)


-1.40%

Worst 5-year annualized return

(for period ending 12/31/08)


7.33%

Average 5-year annualized return


  • Total return (%) as of 06/30/18

  • Annual performance as of 06/30/18

Annualized Total return (%) as of 06/30/18

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 2.65% 1.92% 2.90% 5.39%
After sales charge -1.45% 0.54% 2.07% 4.96%
Bloomberg Barclays U.S. Aggregate Bond Index -0.40% 1.72% 2.27% 3.72%

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, and 4.00% and 3.25% for income funds (2.25% and 0.75% for Putnam Short Duration Bond Fund and 1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Fixed Income Absolute Return 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 Short Duration Bond Fund, Putnam Fixed Income Absolute Return 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, 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. 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 06/30/18 0.00 % -4.00 %
YTD as of 07/20/18 0.60 % -3.43 %

Yield

Distribution rate before sales charge
as of 07/20/18
3.51%
Distribution rate after sales charge
as of 07/20/18
3.37%
30-day SEC yield as of 06/30/18
(after sales charge)
3.42%

Risk-adjusted performance as of 05/31/18

Sharpe ratio (3 yrs.) 0.42
Information ratio (3 yrs.) 0.12

Volatility as of 05/31/18

Standard deviation (3 yrs.) 2.75%
Beta 0.53
R-squared 0.27

Lipper rankings as of 05/31/18

Time period Rank/Funds in category Percentile ranking
1-year 10/519 2%
3-year 89/449 20%
5-year 26/397 7%
10-year 2/305 1%
Lipper category: Core Bond Funds

Morningstar Ratings as of 05/31/18

Time period Funds in category Morningstar Rating
Overall 871
3-year 871
5-year 786
10-year 561
Morningstar category: Intermediate-Term Bond

Distributions

Record/Ex dividend date 06/19/18
Payable date 06/25/18
Income $0.02
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 05/31/18

Fnma Fn30 Tba 03.5000 07/01/2048 14.17%
Gnma Gii30 Tba 03.5000 06/01/2048 2.87%
Fnma Fn30 Tba 04.0000 07/01/2048 2.65%
Gnma Gii30 Tba 04.0000 06/01/2048 2.53%
Fnma Fn30 Tba 02.5000 06/01/2048 2.31%
Gnma Gii30 Tba 04.5000 06/01/2048 2.14%
Fnma Fn30 Tba 03.5000 06/01/2048 1.59%
Cas 2016-C03 1m2 07.2597 10/25/2028 1.31%
Cas 2016-C03 2m2 07.8597 10/25/2028 1.15%
Fnma Fn30 Tba 04.5000 06/01/2048 1.04%
Top 10 holdings, percent of portfolio 31.76%

Full portfolio holdings as of 03/31/18

FNMA FN30 TBA 03.5000 05/01/2048 18.68%
FNMA FN30 TBA 04.0000 04/01/2048 2.66%
GNMA GII30 TBA 04.0000 05/01/2048 2.52%
FNMA FN30 TBA 02.5000 04/01/2048 2.32%
GNMA GII30 TBA 04.5000 05/01/2048 1.38%
CAS 2016-C03 1M2 07.1715 10/25/2028 1.31%
CAS 2016-C03 2M2 07.7715 10/25/2028 1.14%
FNMA FN30 TBA 04.5000 04/01/2048 1.04%
GNMA GII30 TBA 04.5000 04/01/2048 1.04%
STACR 2016-HQA1 M3 08.2215 09/25/2028 0.90%
BMIR 2017-1 M2 P/P 144A 05.2215 10/25/2027 0.79%
FHS 315 PO PO 00.0000 09/15/2043 0.76%
SPST 2018-1 A 02.4747 04/24/2019 0.76%
FHLMC FH30G G60314 04.0000 09/01/2045 0.71%
CAS 2016-C02 1M2 07.8715 09/25/2028 0.70%
WAMU 2005-AR13 A1C4 02.3015 10/25/2045 0.67%
BCAP 2015-RR5 2A2 02.2708 01/26/2046 0.55%
STACR 2015-DN1 M3 06.0215 01/25/2025 0.55%
CSMC 2008-C1 AJ P/P 144A 06.1991 02/15/2041 0.54%
FNMA FN30 AL9657 03.5000 01/01/2047 0.53%
STACR 2016-HQA2 M3 07.0215 11/25/2028 0.53%
FNMA FN40 BF0169 3.500000 01/01/2057 0.51%
GSMS 2012-GC6 D P/P 144A 05.6529 01/10/2045 0.49%
FNMA FN30 AL8994 04.0000 09/01/2045 0.48%
BPCE SA P/P 144A 04.5000 03/15/2025 0.46%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.46%
MSC 2008-T29 D P/P 144A 06.2381 01/11/2043 0.46%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.44%
STACR 2016-DNA2 M3 06.5215 10/25/2028 0.44%
AT&T INC 04.2500 03/01/2027 0.42%
FNMA FN30 BM1172 03.0000 03/01/2047 0.42%
CVS HEALTH CORP 04.7800 03/25/2038 0.41%
WESTROCK MWV LLC 08.2000 01/15/2030 0.41%
GNMA GN30 626987 04.0000 09/15/2045 0.39%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.37%
GNR 2016-H23 NI IO 02.1218 10/20/2066 0.37%
WFRBS 2011-C2 D P/P 144A 05.6522 02/15/2044 0.37%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.36%
JPMBB 2013-C14 D P/P 144A 04.5699 08/15/2046 0.35%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.35%
CGCMT 2014-GC19 X IO 01.1886 03/10/2047 0.34%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.34%
GNMA GII30 TBA 03.5000 04/01/2048 0.34%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.33%
ECOLAB INC P/P 144A 03.2500 12/01/2027 0.33%
GNMA GII30 TBA 03.0000 04/01/2048 0.33%
MSBAM 2013-C11 D P/P 144A 04.3673 08/15/2046 0.33%
STACR 2016-DNA3 M3 06.8715 12/25/2028 0.33%
BF0101 03.5000 06/01/2056 0.32%
WBCMT 2005-C21 E P/P 144A 05.2958 10/15/2044 0.32%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.31%
CAS 2014-C04 1M2 06.7715 11/25/2024 0.31%
COMM 2014-LC15 XA IO 01.3139 04/10/2047 0.31%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.31%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.31%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.31%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.31%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 0.30%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.30%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.30%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.30%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.30%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.30%
WFRBS 2012-C9 XA IO P/P 144A 01.9102 11/15/2045 0.30%
CITIGROUP INC 04.1250 07/25/2028 0.29%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.29%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.29%
GNR 2016-H02 HI IO 01.6411 01/20/2066 0.29%
GSMS 2013-GC10 XA IO 01.5489 02/10/2046 0.29%
JPMCC 2011-C3 F P/P 144A 05.6735 02/15/2046 0.29%
MSBAM 2013-C10 E P/P 144A 04.0822 07/15/2046 0.29%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.28%
BSCMS 2007-T26 AJ 05.5249 01/12/2045 0.28%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.28%
MSBAM 2013-C11 F P/P 144A 04.3673 08/15/2046 0.28%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.27%
CAS 2016-C05 2M2 06.3215 01/25/2029 0.27%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.27%
MET LIFE INS CO P/P 144A 07.8000 11/01/2025 0.27%
CITIGROUP INC 04.4500 09/29/2027 0.26%
GNMA GII30 635173 03.5000 02/20/2047 0.26%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.26%
GNR 2014-H11 GI IO 01.4813 06/20/2064 0.26%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.26%
MSBAM 2013-C12 XA IO 00.8472 10/15/2046 0.26%
WFRBS 2013-C14 XA IO 00.7899 06/15/2046 0.26%
FHR 3835 FO PO 00.0000 04/15/2041 0.25%
GNR 2016-H11 HI IO 02.0850 01/20/2066 0.25%
MSBAM 2014-C17 D P/P 144A 04.7062 08/15/2047 0.25%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.25%
UBSBB 2012-C4 XA IO P/P 144A 01.6538 12/10/2045 0.25%
WAMU 2005-AR17 A1B2 02.2815 12/25/2045 0.25%
WFRBS 2012-C7 D P/P 144A 04.8255 06/15/2045 0.25%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.24%
BMIR 2017-1 M1 P/P 144A 03.5715 10/25/2027 0.24%
FNMA FN30 BC1489 03.0000 08/01/2046 0.24%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.24%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.24%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.24%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.24%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.24%
WFCM 2014-LC16 XA IO 01.3554 08/15/2050 0.24%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.23%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.23%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.23%
FHLMC FH30G G60722 03.0000 10/01/2046 0.23%
FNMA FN30 BC1445 03.0000 07/01/2046 0.23%
GNR 2015-H12 GI IO 01.7955 05/20/2065 0.23%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.23%
JPMCC 2012-C6 E P/P 144A 05.1367 05/15/2045 0.23%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.23%
SPST 2017-LD1 A 02.6715 11/25/2050 0.23%
FHLMC FH30G G60861 03.5000 01/01/2047 0.22%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.22%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.22%
GNR 2014-H07 BI IO 01.4638 05/20/2064 0.22%
GSMS 2014-GC22 XA IO 01.0140 06/10/2047 0.22%
JPMBB 2013-C14 E P/P 144A 04.5699 08/15/2046 0.22%
JPMCC 2013-C10 XA IO 01.0604 12/15/2047 0.22%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.22%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.22%
AMERICAN TOWER CORP 04.0000 06/01/2025 0.21%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.21%
CFCRE 2011-C2 E P/P 144A 05.7546 12/15/2047 0.21%
CSAIL 2015-C1 D P/P 144A 03.7978 04/15/2050 0.21%
EQT CORP 03.9000 10/01/2027 0.21%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.21%
GNR 2013-4 IC IO 04.0000 09/20/2042 0.21%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.21%
GSMS 2013-GC12 D P/P 144A 04.4430 06/10/2046 0.21%
GSMS 2014-GC18 C 04.9444 01/10/2047 0.21%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.21%
MSC 2008-T29 C P/P 144A 06.2381 01/11/2043 0.21%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.21%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.21%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.21%
ARC PROP OPER PART L 04.6000 02/06/2024 0.20%
FNMA FN30 AX5483 03.5000 10/01/2045 0.20%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.20%
MSBAM 2013-C7 XA IO 01.3884 02/15/2046 0.20%
MSC 2008-T29 F P/P 144A 06.2381 01/11/2043 0.20%
STACR 2014-DN2 M3 05.4715 04/25/2024 0.20%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.20%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.20%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.19%
CWCI 2007-C3 AJ 05.8120 05/15/2046 0.19%
FHR 4546 TI IO 04.0000 12/15/2045 0.19%
GNR 2015-H04 AI IO 01.5991 12/20/2064 0.19%
GNR 2015-H09 BI IO 01.6957 03/20/2065 0.19%
GNR 2015-H10 CI IO 01.8120 04/20/2065 0.19%
GNR 2017-H12 QI IO 02.1241 05/20/2067 0.19%
JPMCC 2013-LC11 X IO 01.3293 04/15/2046 0.19%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.19%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.19%
WFRBS 2012-C10 E P/P 144A 04.4478 12/15/2045 0.19%
WFRBS 2013-C12 AS 03.5600 03/15/2048 0.19%
CENOVUS ENERGY INC. USD 04.2500 04/15/2027 0.18%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.18%
GNMA GII30 626972 03.5000 08/20/2045 0.18%
GNR 2015-H12 AI IO 01.8528 05/20/2065 0.18%
JPMBB 2014-C25 D P/P 144A 03.9460 11/15/2047 0.18%
JPMCC 2011-C5 D P/P 144A 05.4083 08/15/2046 0.18%
JPMCC 2012-C8 D P/P 144A 04.6546 10/15/2045 0.18%
LNSTR 2015-3 C P/P 144A 03.1119 04/20/2048 0.18%
STACR 2015-DNA2 M2 04.4715 12/25/2027 0.18%
WFRBS 2012-C10 XA IO P/P 144A 01.5798 12/15/2045 0.18%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.18%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.17%
AMGEN INC 04.6630 06/15/2051 0.17%
CITIGROUP INC 04.7500 05/18/2046 0.17%
COMM 2012-LC4 XA IO P/P 144A 02.2115 12/10/2044 0.17%
COMM 2014-CR18 XA IO 01.2120 07/15/2047 0.17%
COMM 2014-UBS4 XA IO 01.2123 08/10/2047 0.17%
COMM 2014-UBS6 XA IO 01.0106 12/10/2047 0.17%
GNMA GII30 5116 05.0000 07/20/2041 0.17%
GNR 2015-H16 XI IO 01.9010 07/20/2065 0.17%
GNR 2015-H25 CI IO 01.7752 10/20/2065 0.17%
GNR 2016-H04 KI IO 01.6920 02/20/2066 0.17%
GNR 2017-H23 BI IO 01.8788 11/20/2067 0.17%
GSMS 2013-GC10 E P/P 144A 04.4122 02/10/2046 0.17%
JPMCC 2012-LC9 XA IO 01.5592 12/15/2047 0.17%
LEAR CORP 03.8000 09/15/2027 0.17%
NHEL 2004-2 M4 03.6715 09/25/2034 0.17%
PHILLIPS 66 PARTNERS LP 03.7500 03/01/2028 0.17%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.17%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.17%
WAMU 2005-AR11 A1C3 02.3815 08/25/2045 0.17%
AON PLC USD 04.2500 12/12/2042 0.16%
CBRE SERVICES INC 04.8750 03/01/2026 0.16%
CBS CORP 04.6000 01/15/2045 0.16%
CGCMT 2014-GC21 D P/P 144A 04.8356 05/10/2047 0.16%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.16%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.16%
GNMA GII30 626936 03.5000 04/20/2045 0.16%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.16%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.16%
GNR 2015-H12 EI IO 01.7014 04/20/2065 0.16%
GNR 2015-H20 AI IO 01.8267 08/20/2065 0.16%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.16%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.16%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.16%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.16%
WP CAREY INC 04.6000 04/01/2024 0.16%
CAS 2016-C03 1M1 03.8715 10/25/2028 0.15%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.15%
COMM 2014-CR17 XA IO 01.1184 05/10/2047 0.15%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.15%
DBUBS 2011-LC3A D P/P 144A 05.3414 08/10/2044 0.15%
FHR 4500 GI IO 04.0000 08/15/2045 0.15%
FNMA FN30 TBA 06.0000 04/01/2048 0.15%
FNR 12-118 PI IO 04.0000 06/25/2042 0.15%
GNMA GII30 711724 03.5000 02/20/2043 0.15%
GNMA GII30 BC0462 03.5000 10/20/2047 0.15%
GNR 2017-H14 EI IO 01.6085 06/20/2067 0.15%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.15%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.15%
WFRBS 2013-C14 E P/P 144A 03.2500 06/15/2046 0.15%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.14%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.14%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.14%
COMM 2013-LC13 XA IO 01.2627 08/10/2046 0.14%
CVS HEALTH CORP 05.0500 03/25/2048 0.14%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.14%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.14%
GNMA 10000 BD1446 03.5000 11/20/2047 0.14%
GNMA GII30 626992 04.5000 09/20/2045 0.14%
GNMA GII30 BE5899 03.5000 01/20/2048 0.14%
GNMA GII30 TBA 05.0000 04/01/2048 0.14%
GNR 2013-20 QI IO 04.5000 12/16/2042 0.14%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.14%
GNR 2015-H26 DI IO 01.7373 10/20/2065 0.14%
GNR 2016-H24 JI IO 02.0208 11/20/2066 0.14%
GNR 2017-H10 MI IO 01.7972 04/20/2067 0.14%
GSMS 2013-GC12 XA IO 01.5193 06/10/2046 0.14%
GSMS 2014-GC18 XA IO 01.1131 01/10/2047 0.14%
JPMCC 2013-C16 XA IO 01.0900 12/15/2046 0.14%
OMEGA HLTHCARE INVES 04.5000 04/01/2027 0.14%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.14%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.14%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.14%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.14%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.14%
UBS GROUP FUNDIN P/P 144A 04.1250 04/15/2026 0.14%
WFRBS 2014-C19 E P/P 144A 04.9717 03/15/2047 0.14%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.13%
COMCAST CABLE COMMUNICAT 09.4550 11/15/2022 0.13%
COMM 2014-CR19 XA IO 01.2140 08/10/2047 0.13%
CSMC 2007-C4 C P/P 144A 05.9660 09/15/2039 0.13%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.13%
FHLMC FH30G Q51687 03.5000 11/01/2047 0.13%
FHR 4165 AI IO 03.5000 02/15/2043 0.13%
FNMA FN30 AX5559 03.0000 10/01/2046 0.13%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.13%
GNR 2010-H19 GI IO 01.4156 08/20/2060 0.13%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.13%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.13%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.13%
GNR 2015-H15 JI IO 01.9511 06/20/2065 0.13%
GNR 2015-H25 AI IO 01.6181 09/20/2065 0.13%
GNR 2015-H28 DI IO 01.5556 08/20/2065 0.13%
GNR 2017-H08 NI IO 02.3986 03/20/2067 0.13%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.13%
MSC 2016-BNK2 XA IO 01.1099 11/15/2049 0.13%
NEWELL BRANDS INC 04.2000 04/01/2026 0.13%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.13%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.13%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.13%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.13%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.13%
WFRBS 2014-C20 D P/P 144A 03.9860 05/15/2047 0.13%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.13%
AMAZON.COM INC P/P 144A 04.0500 08/22/2047 0.12%
AUTONATION INC. 05.5000 02/01/2020 0.12%
CBS CORP 02.9000 01/15/2027 0.12%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.12%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.12%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.12%
FHR 4176 DI IO 03.0000 12/15/2042 0.12%
FNMA FN30 AS8648 03.0000 01/01/2047 0.12%
GNMA 10000 BE3158 03.5000 11/20/2047 0.12%
GNMA GII30 635081 03.5000 05/20/2046 0.12%
GNMA GII30 BA8386 03.5000 10/20/2047 0.12%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.12%
GSMS 2014-GC24 XA IO 00.8278 09/10/2047 0.12%
HCA INC 05.0000 03/15/2024 0.12%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.12%
MSBAM 2014-C18 D P/P 144A 03.3890 10/15/2047 0.12%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.12%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.12%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.12%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.12%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.12%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.12%
TARGA RESOURCES PART P/P 144A 05.0000 01/15/2028 0.12%
VERIZON COMMUNICATIONS 04.1250 03/16/2027 0.12%
AMER TRANS SYST P/P 144A 05.0000 09/01/2044 0.11%
APPLE INC 03.4500 05/06/2024 0.11%
CGCMT 2013-GC17 X IO 01.4027 11/10/2046 0.11%
CIT GROUP INC 05.2500 03/07/2025 0.11%
COMM 2014-CR17 C 04.7351 05/10/2047 0.11%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 0.11%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.11%
FNMA FN30 AL2752 05.0000 03/01/2042 0.11%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.11%
GNMA GII30 BA8388 03.5000 10/20/2047 0.11%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.11%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.11%
GNR 2015-H17 CI IO 01.6172 06/20/2065 0.11%
GNR 2016-H27 BI IO 02.3526 12/20/2066 0.11%
HOSPITALITY PROP TRUST 04.3750 02/15/2030 0.11%
KRAFT HEINZ FOODS CO 06.8750 01/26/2039 0.11%
LLOYDS BANKING GROUP PLC USD 04.5000 11/04/2024 0.11%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.11%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.11%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.11%
SAIL 2004-10 A10 02.7715 11/25/2034 0.11%
STATOIL ASA USD 05.1000 08/17/2040 0.11%
UBSBB 2012-C2 F P/P 144A 04.8945 05/10/2063 0.11%
VMWARE INC 03.9000 08/21/2027 0.11%
WFRBS 2011-C5 XA IO P/P 144A 01.7507 11/15/2044 0.11%
ALPHABET INC 01.9980 08/15/2026 0.10%
AMAZON.COM INC P/P 144A 03.1500 08/22/2027 0.10%
CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 0.10%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.10%
CAS 2015-C02 2M2 05.8715 05/25/2025 0.10%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.10%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.10%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.10%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.10%
FHR 4158 TI IO 03.0000 12/15/2042 0.10%
FHR 4201 JI IO 03.0000 12/15/2041 0.10%
FNMA FN30 AS6679 04.0000 01/01/2046 0.10%
FNMA FN30 AX5485 04.5000 10/01/2045 0.10%
GNMA 10000 BC8223 03.5000 11/20/2047 0.10%
GNMA GII30 BC0460 03.5000 10/20/2047 0.10%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.10%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.10%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.10%
GNR 2015-24 IA IO 03.5000 02/20/2045 0.10%
GNR 2015-77 DI IO 03.5000 05/20/2045 0.10%
GNR 2015-H01 CI IO 01.6415 12/20/2064 0.10%
JPMBB 2014-C25 XA IO 00.9621 11/15/2047 0.10%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.10%
LLOYDS BANKING GROUP PLC USD 04.3440 01/09/2048 0.10%
ORACLE CORP 02.6500 07/15/2026 0.10%
RMIR 2018-1 M2 04.2100 03/25/2028 0.10%
S&P GLOBAL INC 04.4000 02/15/2026 0.10%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.10%
SWPTN 17DX10Y R 2.8435 USD 04/06/2018 GS 0.10%
WFRBS 2013-UBS1 E P/P 144A 04.6232 03/15/2046 0.10%
WFRBS 2014-C22 XA IO 00.9011 09/15/2057 0.10%
AES CORP/THE 05.1250 09/01/2027 0.09%
AIR LEASE CORP 03.6250 04/01/2027 0.09%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.09%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.09%
COMM 2012-CR1 XA IO 01.8758 05/15/2045 0.09%
FHR 3852 NT 04.2234 05/15/2041 0.09%
FHR 4182 GI IO 03.0000 01/15/2043 0.09%
FNMA FN30 AS8842 03.5000 02/01/2047 0.09%
FNMA FN30 BD9219 04.5000 10/01/2046 0.09%
FNR 2014-10 IO IO 03.5000 08/25/2042 0.09%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.09%
GNMA GII30 BE5897 03.5000 10/20/2047 0.09%
GNR 2012-145 IO IO 03.5000 12/20/2042 0.09%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.09%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.09%
NORTHROP GRUMMAN SYSTEMS 07.8750 03/01/2026 0.09%
PPL WEM LTD/WESTERN P/P 144A 05.3750 05/01/2021 0.09%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.09%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.09%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.09%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.09%
WAMU 2005-AR1 A2B 02.6715 01/25/2045 0.09%
WAMU 2005-AR2 2A1B 02.2415 01/25/2045 0.09%
WEYERHAEUSER CO 07.3750 03/15/2032 0.09%
WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.09%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.08%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.08%
CA TXB-VAR PURP 3 07.5000 04/01/2034 0.08%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.08%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.08%
FNMA FN30 AS4991 03.5000 05/01/2045 0.08%
FNMA FN30 AU1625 03.5000 07/01/2043 0.08%
FNMA FN30 AY8222 04.5000 05/01/2045 0.08%
FNR 2012-101 PI IO 03.5000 08/25/2040 0.08%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.08%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.08%
FNR 2014-59 AI IO 03.0000 10/25/2040 0.08%
GENERAL MOTORS FINL CO 04.0000 01/15/2025 0.08%
GNMA GII30 AY4779 04.4940 03/20/2067 0.08%
GNMA GII30 BA8385 03.5000 10/20/2047 0.08%
GNMA GII30 BC0461 03.5000 10/20/2047 0.08%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.08%
GNR 2013-164 CI IO 03.0000 11/16/2028 0.08%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.08%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.08%
MICROSOFT CORP 02.4000 08/08/2026 0.08%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.08%
ORACLE CORP 03.2500 11/15/2027 0.08%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.08%
SWPTN 5WX10Y R 2.852 USD 04/17/2018 JP 0.08%
BARCLAYS BANK PLC P/P 144A 10.1790 06/12/2021 0.07%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.07%
CBRE SERVICES INC 05.2500 03/15/2025 0.07%
CFCRE 2011-C2 D P/P 144A 05.7546 12/15/2047 0.07%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.07%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.07%
COMM 2013-CR11 AM 04.7150 08/10/2050 0.07%
COMM 2014-UBS6 C 04.4637 12/10/2047 0.07%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.07%
FIRSTENERGY CORP 04.8500 07/15/2047 0.07%
FNMA FN30 889560 06.0000 06/01/2038 0.07%
FNMA FN30 BD0189 03.5000 06/01/2046 0.07%
FNMA FN30 BD0959 03.5000 06/01/2046 0.07%
FNMA FN30 BH7626 04.0000 08/01/2047 0.07%
FNR 2012-128 QI IO 03.5000 06/25/2042 0.07%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.07%
FNR 2013-35 PI IO 03.0000 02/25/2042 0.07%
GNMA GII30 626989 04.0000 09/20/2040 0.07%
GNMA GII30 AI2340 04.4990 05/20/2065 0.07%
GNMA GII30 BC0459 03.5000 10/20/2047 0.07%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.07%
GNR 2014-141 GI IO 03.5000 06/20/2041 0.07%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.07%
GNR 2014-71 BI IO 04.5000 05/20/2029 0.07%
GNR 2015-36 GI IO 03.5000 06/16/2041 0.07%
GNR 2015-87 AI IO 03.5000 12/20/2038 0.07%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.07%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.07%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.07%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.07%
JPMBB 2013-C14 C 04.5699 08/15/2046 0.07%
JPMCC 2011-C3 E P/P 144A 05.6735 02/15/2046 0.07%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.07%
MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 0.07%
N TX HWY-TXB-B 06.7180 01/01/2049 0.07%
O'REILLY AUTOMOTIVE INC 03.5500 03/15/2026 0.07%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.07%
OMNICOM GROUP INC 03.6000 04/15/2026 0.07%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.07%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.07%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.07%
WAMU 2005-AR17 A1B3 02.2215 12/25/2045 0.07%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.07%
WFRBS 2011-C4 E P/P 144A 05.2395 06/15/2044 0.07%
WFRBS 2013-C11 XA IO P/P 144A 01.2260 03/15/2045 0.07%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.07%
ZF NA CAPITAL P/P 144A 04.5000 04/29/2022 0.07%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.06%
CAS 2014-C02 1M2 04.4715 05/25/2024 0.06%
CAS 2016-C06 1M2 06.1215 04/25/2029 0.06%
CAS 2017-C06 2M2 04.6715 02/25/2030 0.06%
COMCAST CORP 04.0490 11/01/2052 0.06%
COMM 2014-CR18 C 04.7349 07/15/2047 0.06%
COMM 2014-LC17 XA IO 00.9405 10/10/2047 0.06%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.06%
ENBRIDGE INC USD 04.2500 12/01/2026 0.06%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.06%
FHR 3408 EK 18.6443 04/15/2037 0.06%
FHR 4132 IP IO 04.5000 11/15/2042 0.06%
FHR 4171 NI IO 03.0000 06/15/2042 0.06%
FN BF0091 0.06%
FNMA FN15 AL8561 03.5000 06/01/2031 0.06%
FNMA FN30 AI9135 03.5000 10/01/2042 0.06%
FNMA FN30 AL4158 06.0000 10/01/2040 0.06%
FNMA FN30 AS7363 03.0000 06/01/2046 0.06%
FNMA FN30 AV7065 03.5000 05/01/2045 0.06%
FNMA FN30 AW7089 04.5000 07/01/2044 0.06%
FNMA FN30 AX5472 03.5000 08/01/2045 0.06%
FNMA FN30 AX5490 04.0000 10/01/2045 0.06%
FNMA FN30 AX7296 04.5000 12/01/2044 0.06%
FNMA FN30 BC1155 03.0000 06/01/2046 0.06%
FNMA FN30 MA2917 03.5000 02/01/2047 0.06%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.06%
FNR 2014-20 IA IO 03.5000 07/25/2039 0.06%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.06%
GNMA GII30 635063 04.0000 03/20/2046 0.06%
GNMA GII30 635075 04.5000 04/20/2046 0.06%
GNMA GII30 BA7681 04.6290 06/20/2067 0.06%
GNMA GII30P 784038 04.0000 01/20/2045 0.06%
GNMA GN30 635061 04.0000 03/15/2046 0.06%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.06%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.06%
GNR 2014-133 AI IO 04.0000 10/20/2036 0.06%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.06%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.06%
HCA INC 05.5000 06/15/2047 0.06%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.06%
HOST HOTELS & RESORTS LP 05.2500 03/15/2022 0.06%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.06%
KINDER MORGAN INC 03.1500 01/15/2023 0.06%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.06%
OPTN FN30 3.0 04/05/18 CALL 96.3515625 JPMC 0.06%
PUGET ENERGY INC 03.6500 05/15/2025 0.06%
QVC INC 04.8500 04/01/2024 0.06%
SERVICE CORP INTL 04.6250 12/15/2027 0.06%
STACR 2016-DNA2 M2 04.0715 10/25/2028 0.06%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.06%
SWPTN 6MX2Y P 2.49275 USD 07/16/2018 MS 0.06%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.06%
UBSCM 2012-C1 XA IO P/P 144A 02.0775 05/10/2045 0.06%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.06%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.05%
COMCAST CORP 06.5000 11/15/2035 0.05%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.05%
EMERA US FINANCE LP 03.5500 06/15/2026 0.05%
ENERGY TRANSFER PARTNERS 06.5000 02/01/2042 0.05%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.05%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.05%
FHLMC FH30G V80002 02.5000 04/01/2043 0.05%
FHR 3065 DC 14.5302 03/15/2035 0.05%
FHR 4141 PI IO 03.0000 12/15/2042 0.05%
FHR 4206 IP IO 03.0000 12/15/2041 0.05%
FNMA FN30 AX5489 03.5000 10/01/2045 0.05%
FNMA FN30 BA1056 04.5000 11/01/2045 0.05%
FNMA FN30 BC0960 04.0000 06/01/2046 0.05%
FNR 2011-4 CS 09.1570 05/25/2040 0.05%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.05%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.05%
G60183 04.0000 12/01/2044 0.05%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.05%
GNMA 10000 BD7925 03.5000 11/20/2047 0.05%
GNMA GII30 673972 03.0000 08/20/2046 0.05%
GNMA GII30 BE5896 03.5000 10/20/2047 0.05%
GNMA GII30 BE5898 03.5000 10/20/2047 0.05%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.05%
OPTN FN30 3.0 04/05/18 CALL 96.4375 JPMC 0.05%
OPTN FN30 3.0 04/05/18 CALL 96.4453125 JPMC 0.05%
QVC INC 04.4500 02/15/2025 0.05%
SWPTN 4WX10Y R 2.8 USD 04/24/2018 JP 0.05%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.05%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.05%
SWPTN 5WX10Y R 2.787 USD 04/17/2018 JP 0.05%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.05%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 0.05%
VERIZON COMM 04.5220 09/15/2048 0.05%
WBCMT 2006-C26 AJ 06.0273 06/15/2045 0.05%
AMGEN INC 02.6000 08/19/2026 0.04%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.04%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.04%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.04%
COMCAST CORP 03.9990 11/01/2049 0.04%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.04%
FHLMC FH30G G07981 05.0000 03/01/2041 0.04%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.04%
FIRSTENERGY CORP 03.9000 07/15/2027 0.04%
FNMA FN30 735227 05.5000 02/01/2035 0.04%
FNMA FN30 AR6276 03.5000 03/01/2043 0.04%
FNMA FN30 AW9042 04.0000 08/01/2044 0.04%
FNMA FN30 AX8927 04.5000 12/01/2044 0.04%
FNMA FN30 MA2180 04.0000 02/01/2045 0.04%
FNR 2005-106 JC 14.3209 12/25/2035 0.04%
FNR 2005-122 SE 16.5498 11/25/2035 0.04%
FNR 2006-62 PS 28.6710 07/25/2036 0.04%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.04%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.04%
GNMA GII30 627009 04.5000 10/20/2045 0.04%
GNMA GII30 AD8811 03.0000 03/20/2043 0.04%
GNMA GII30 AT9856 03.0000 10/20/2046 0.04%
GNMA GII30 AY2298 04.7000 05/20/2067 0.04%
GNMA GII30 BB0107 04.7000 08/20/2067 0.04%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.04%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.04%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.04%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.04%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.04%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.04%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.04%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.04%
GNR 2014-30 KI IO 03.0000 02/16/2029 0.04%
GNR 2014-5 LI IO 03.0000 01/16/2029 0.04%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.04%
GRUPO BIMBO SAB P/P 144A 03.8750 06/27/2024 0.04%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.04%
INTERNATIONAL PAPER CO 08.7000 06/15/2038 0.04%
JPMCC 2012-C8 E P/P 144A 04.6546 10/15/2045 0.04%
JPMCC 2012-LC9 D P/P 144A 04.3724 12/15/2047 0.04%
KINDER MORGAN ENER PART 03.5000 03/01/2021 0.04%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.04%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.04%
RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 0.04%
ROCHE HOLDINGS INC P/P 144A 04.0000 11/28/2044 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 1MX10Y R 2.813 USD 04/19/2018 BA 0.04%
SWPTN 1MX10Y R 2.833 USD 04/05/2018 MS 0.04%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.04%
SWPTN 6MX2Y P 2.61575 USD 07/26/2018 MS 0.04%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
SWPTN LIABILITY 2YX20Y P 2.584 USD 11/08/2019 GS 0.04%
SWPTN LIABILITY 2YX20Y R 2.584 USD 11/08/2019 GS 0.04%
SWPTN LIABILITY 2YX30Y P 2.43 USD 11/13/2019 MS 0.04%
SWPTN LIABILITY 2YX30Y R 2.826 USD 11/08/2019 JP 0.04%
TIME WARNER INC 02.9500 07/15/2026 0.04%
VALERO ENERGY PARTNERS 04.3750 12/15/2026 0.04%
WESTROCK MWV LLC 07.9500 02/15/2031 0.04%
2.605 R ISWP FWD US0003M P 06/20/2020 0.03%
ABBVIE INC 03.6000 05/14/2025 0.03%
AIR LEASE CORP 03.0000 09/15/2023 0.03%
ANTHEM INC 04.6250 05/15/2042 0.03%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.03%
APPLE INC 03.8500 05/04/2043 0.03%
APPLE INC 04.3750 05/13/2045 0.03%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.03%
CAPITAL ONE BANK USA NA 03.3750 02/15/2023 0.03%
CBS CORP 04.0000 01/15/2026 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.03%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.03%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.03%
DUKE REALTY LP 04.3750 06/15/2022 0.03%
ENERGY TRANSFER PARTNERS 06.1250 12/15/2045 0.03%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.03%
FHLMC FH30G C03805 03.5000 04/01/2042 0.03%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.03%
FHR 2990 LB 12.4049 06/15/2034 0.03%
FHR 4004 IO IO 03.0000 03/15/2026 0.03%
FHR 4122 TI IO 04.5000 10/15/2042 0.03%
FHR 4183 MI IO 03.0000 02/15/2042 0.03%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.03%
FN30 04.000 2014 0.03%
FNMA FN30 AB5174 03.5000 05/01/2042 0.03%
FNMA FN30 AD0095 06.0000 11/01/2038 0.03%
FNMA FN30 AL5229 05.0000 01/01/2044 0.03%
FNMA FN30 AO5471 03.5000 06/01/2042 0.03%
FNMA FN30 AS8530 03.5000 12/01/2046 0.03%
FNMA FN30 AX2731 04.5000 10/01/2044 0.03%
FNMA FN30 AX8877 04.5000 12/01/2044 0.03%
FNMA FN30 BC0390 04.5000 12/01/2045 0.03%
FNR 2006-8 HP 17.7045 03/25/2036 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.03%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.03%
GNMA 10000 BD7924 03.5000 11/20/2047 0.03%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.03%
GNMA GII30 OBD1716 03.5000 11/20/2047 0.03%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.03%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.03%
HCA INC 05.2500 06/15/2026 0.03%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.03%
JPMCC 2007-CB20 C P/P 144A 06.1740 02/12/2051 0.03%
LBUBS 2006-C6 B 05.4720 09/15/2039 0.03%
MARATHON PETRO CORP 06.5000 03/01/2041 0.03%
OPTN FN30 3.0 05/07/18 CALL 96.8125 JPMC 0.03%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.03%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.03%
SABMILLER HLDG INC 04.9500 01/15/2042 0.03%
SANTANDER UK GROUP H P/P 144A 04.7500 09/15/2025 0.03%
SL GREEN REALTY CORP 05.0000 08/15/2018 0.03%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.03%
STACR 2015-HQ1 M2 04.0715 03/25/2025 0.03%
STACR 2017-DNA1 M2 05.1215 07/25/2029 0.03%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 1MX10Y R 2.71 USD 04/27/2018 CI 0.03%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.03%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.03%
SWPTN 4WX10Y R 2.735 USD 04/24/2018 JP 0.03%
SWPTN 6MX2Y P 2.68 USD 07/16/2018 JP 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
SWPTN LIABILITY 1WX10Y P 2.7825 USD 04/05/2018 CI 0.03%
SWPTN LIABILITY 2YX20Y P 2.875 USD 11/18/2019 GS 0.03%
SWPTN LIABILITY 2YX30Y P 2.615 USD 11/12/2019 CI 0.03%
SWPTN LIABILITY 2YX30Y R 2.615 USD 11/12/2019 CI 0.03%
THE WILLIAMS COMPANIES INC. 08.7500 03/15/2032 0.03%
TIME WARNER INC 03.8000 02/15/2027 0.03%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.02%
BPCE SA P/P 144A 05.1500 07/21/2024 0.02%
CAS 2016-C07 2M2 06.2215 05/25/2029 0.02%
CAS 2017-C01 1M2 05.4215 07/25/2029 0.02%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.02%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.02%
DIAGEO INVESTMENT CORP 08.0000 09/15/2022 0.02%
DUKE ENERGY CAROLINAS 04.2500 12/15/2041 0.02%
EDP FINANCE BV P/P 144A 05.2500 01/14/2021 0.02%
ENERGY TRANSFER PARTNERS 05.2000 02/01/2022 0.02%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.02%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.02%
FHLMC FH30G Q44946 03.5000 12/01/2046 0.02%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.02%
FHR 3249 PS 16.4122 12/15/2036 0.02%
FHR 4018 DI IO 04.5000 07/15/2041 0.02%
FNMA FN30 889683 06.0000 07/01/2038 0.02%
FNMA FN30 AD0207 06.0000 10/01/2038 0.02%
FNMA FN30 AL3671 06.0000 05/01/2041 0.02%
FNMA FN30 AR3945 03.0000 03/01/2043 0.02%
FNMA FN30 AX5555 03.5000 10/01/2046 0.02%
FNMA FN30 AY3392 04.0000 04/01/2045 0.02%
FNMA FN30 BC5322 03.5000 03/01/2046 0.02%
FNMA FN30 BD8704 03.5000 12/01/2046 0.02%
FNMA FN30 MA2242 04.0000 04/01/2045 0.02%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.02%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.02%
GNMA GII30 5307 05.0000 02/20/2042 0.02%
GNMA GII30 AH1076 04.6720 05/20/2065 0.02%
GNMA GII30 AO7326 04.6700 09/20/2065 0.02%
GNMA GII30 AW5280 03.0000 10/20/2046 0.02%
GNMA GII30 AW8447 04.3190 05/20/2067 0.02%
GNMA GII30 BE1441 03.5000 11/20/2047 0.02%
GNMA GII30 MA0395 05.0000 09/20/2042 0.02%
GNMA GII30 OBD1715 03.5000 11/20/2047 0.02%
GNMA GN30 AB9500 03.5000 11/15/2042 0.02%
GNMA GN30 AD2149 03.5000 01/15/2043 0.02%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.02%
GNR 2013-129 SN IO 04.3279 09/20/2043 0.02%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.02%
HYATT HOTELS CORP 03.3750 07/15/2023 0.02%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.02%
MIDAMERICAN FUNDING LLC 06.9270 03/01/2029 0.02%
MSC 2007-HQ11 D 05.5870 02/12/2044 0.02%
NVR INC 03.9500 09/15/2022 0.02%
OPTN FN30 3.0 05/07/18 PUT 97.0 JPMC 0.02%
OPTN FN30 3.0 05/07/18 PUT 97.125 JPMC 0.02%
OPTN FN30 3.0 05/07/18 PUT 97.25 JPMC 0.02%
PACIFICORP 06.2500 10/15/2037 0.02%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.02%
SWPTN 1MX10Y P 2.9 USD 04/27/2018 CI 0.02%
SWPTN 1MX10Y R 2.7075 USD 04/13/2018 WE 0.02%
SWPTN 1MX10Y R 2.743 USD 04/19/2018 BA 0.02%
SWPTN 1MX10Y R 2.763 USD 04/05/2018 MS 0.02%
SWPTN 1MX10Y R 2.82 USD 04/09/2018 GS 0.02%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.02%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.02%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.02%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX1Y P 2.79375 USD 06/05/2018 GS 0.02%
SWPTN 5WX10Y R 2.635 USD 04/30/2018 CI 0.02%
SWPTN 6MX2Y P 2.8375 USD 08/28/2018 MS 0.02%
SWPTN LIABILITY 2YX30Y P 2.826 USD 11/08/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.43 USD 11/13/2019 MS 0.02%
TEACHERS INSUR & ANN P/P 144A 04.9000 09/15/2044 0.02%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.02%
WALT DISNEY COMPANY/THE 04.3750 08/16/2041 0.02%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.02%
WILLIAMS PARTNERS LP 03.6000 03/15/2022 0.02%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.02%
ARIZONA PUBLIC SERVICE 04.5000 04/01/2042 0.01%
BGC PARTNERS INC 05.1250 05/27/2021 0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.01%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.01%
FHLMC FH30G Q44706 03.5000 12/01/2046 0.01%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.01%
FHLMC FH30G Q45042 03.5000 12/01/2046 0.01%
FHR 2976 LC 17.9058 05/15/2035 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FLR USL3M 5.00 03/14/2021 JP 0.01%
FNMA FN30 677018 05.5000 01/01/2033 0.01%
FNMA FN30 995894 06.0000 04/01/2039 0.01%
FNMA FN30 AB9238 03.0000 05/01/2043 0.01%
FNMA FN30 AE0028 06.0000 10/01/2039 0.01%
FNMA FN30 AE0825 06.0000 10/01/2039 0.01%
FNMA FN30 AE0947 06.0000 10/01/2038 0.01%
FNMA FN30 AL0152 06.0000 06/01/2040 0.01%
FNMA FN30 AL1566 06.0000 09/01/2040 0.01%
FNMA FN30 AL6868 06.0000 05/01/2041 0.01%
FNMA FN30 AL8205 03.0000 05/01/2045 0.01%
FNMA FN30 AP3817 03.0000 09/01/2042 0.01%
FNMA FN30 AS5038 04.0000 05/01/2045 0.01%
FNMA FN30 AT0942 03.0000 04/01/2043 0.01%
FNMA FN30 AX5560 03.5000 11/01/2046 0.01%
FNMA FN30 AX5565 03.5000 12/01/2046 0.01%
FNMA FN30 AY1318 04.0000 03/01/2045 0.01%
FNMA FN30 BA5236 03.5000 12/01/2045 0.01%
FNMA FN30 BC7330 03.5000 12/01/2046 0.01%
FNMA FN30 BD9021 03.5000 01/01/2047 0.01%
FNMA FN30 BE4222 03.5000 12/01/2046 0.01%
FNMA FN30 MA2216 04.0000 03/01/2045 0.01%
FNR 2003-34 P1 PO 00.0000 04/25/2043 0.01%
FNR 2005-75 GS 14.6355 08/25/2035 0.01%
FNR 2007-14 KO PO 00.0000 03/25/2037 0.01%
GNMA GII30 626963 04.0000 07/20/2045 0.01%
GNMA GII30 AH1094 04.6490 06/20/2065 0.01%
GNMA GII30 AN4727 04.4720 05/20/2065 0.01%
GNMA GII30 AO7320 04.5290 08/20/2065 0.01%
GNMA GII30 AT8064 03.0000 08/20/2046 0.01%
GNMA GII30 BB3013 03.5000 11/20/2047 0.01%
GNMA GII30 BB3019 03.5000 11/20/2047 0.01%
GNMA GII30 BD3297 03.5000 11/20/2047 0.01%
GNMA GII30 BE1437 03.5000 11/20/2047 0.01%
GNMA GII30 BE1440 03.5000 11/20/2047 0.01%
GNMA GII30 MA2828 04.5000 05/20/2045 0.01%
GNMA GN30 626962 04.0000 07/15/2045 0.01%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.01%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.01%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.01%
GNR 2011-116 IA IO 04.5000 10/20/2039 0.01%
GNR 2015-H14 BI IO 01.5893 05/20/2065 0.01%
HOSPITALITY PROP TRUST 04.6500 03/15/2024 0.01%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.01%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.01%
SOUTHERN COPPER CORP USD 05.3750 04/16/2020 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.01%
SWPTN 1MX10Y R 2.75 USD 04/09/2018 GS 0.01%
SWPTN 1MX1Y R 2.736 USD 04/05/2018 BC 0.01%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.01%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.01%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.01%
SWPTN 2YX5Y P 2.34 USD 11/12/2019 CI 0.01%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 0.01%
SWPTN 5WX1Y R 2.765 USD 04/09/2018 BC 0.01%
SWPTN 6MX1Y R 2.47 USD 08/14/2018 CI 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
SWPTN LIABILITY 5WX10Y P 2.935 USD 04/30/2018 CI 0.01%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.01%
UBS GROUP AG REGS 06.8750 12/29/2049 0.01%
UNITED AIR 2014-2 A PTT 03.7500 09/03/2026 0.01%
UNITED TECHNOLOGIES CORP 05.7000 04/15/2040 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
2.675 R ISWP FWD US0003M P 06/20/2020 0.00%
2.7825 R ISWP US0003M P 04/09/2028 0.00%
2.7845 R ISWP US0003M P 04/03/2028 0.00%
2.785 R ISWP FWD US0003M P 05/02/2028 0.00%
2.85 R ISWP FWD US0003M P 06/20/2023 0.00%
2.85 R ISWP FWD US0003M P 06/20/2048 0.00%
2.864 R ISWP FWD US0003M P 04/19/2028 0.00%
2.923 R ISWP FWD US0003M P 04/19/2028 0.00%
2.95 R ISWP FWD US0003M P 06/20/2048 0.00%
BACM 2004-4 XC IO P/P 144A 00.0515 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4336 11/10/2041 0.00%
BACM 2005-1 XW IO P/P 144A 00.0000 11/10/2042 0.00%
BACM 2007-1 XW IO 00.0068 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0032 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.0000 02/11/2041 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.4181 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.4365 12/11/2049 0.00%
CGCMT 2006-C5 XC IO P/P 144A 00.4861 10/15/2049 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.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 BA 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-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
COMM 2006-C8 XS IO P/P 144A 00.6196 12/10/2046 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.0754 05/15/2038 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.0038 01/15/2049 0.00%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.00%
FHR 3117 AF 00.0000 02/15/2036 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FHR 3707 PI IO 04.5000 07/15/2025 0.00%
FNMA FN30 256349 06.0000 08/01/2036 0.00%
FNMA FN30 256553 06.0000 01/01/2037 0.00%
FNMA FN30 879494 06.0000 02/01/2036 0.00%
FNMA FN30 887618 06.0000 07/01/2036 0.00%
FNMA FN30 889424 06.0000 03/01/2038 0.00%
FNMA FN30 902070 06.0000 12/01/2036 0.00%
FNMA FN30 909083 06.0000 08/01/2037 0.00%
FNMA FN30 AD1662 05.0000 03/01/2040 0.00%
FNMA FN30 AP3902 03.0000 10/01/2042 0.00%
FNMA FN30 AP6568 03.0000 09/01/2042 0.00%
FNMA FN30 AR4126 03.0000 02/01/2043 0.00%
FNMA FN30 MA2157 04.0000 01/01/2045 0.00%
FNR 2001-50 BI IO 00.3951 10/25/2041 0.00%
FNR 2005-83 QP 12.5281 11/25/2034 0.00%
FNR 2006-125 OX PO 00.0000 01/25/2037 0.00%
FNR 2006-46 OC PO 00.0000 06/25/2036 0.00%
FNR 2006-84 OT PO 00.0000 09/25/2036 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
FNW 2002-W6 1AIO IO 00.0154 06/25/2042 0.00%
FNW 2005-W4 1AIO IO 00.0591 08/25/2045 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
GECMC 2007-C1 XC IO P/P 144A 00.1920 12/10/2049 0.00%
GMACC 1997-C1 X IO 01.0789 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 00.9874 05/10/2043 0.00%
GNMA GII30 609146 04.5000 05/20/2044 0.00%
GNMA GII30 AN1902 04.5690 05/20/2065 0.00%
GNMA GII30 AN4733 04.4990 06/20/2065 0.00%
GNMA GII30 AN4739 04.5920 06/20/2065 0.00%
GNMA GII30 AN4740 04.7000 06/20/2065 0.00%
GNMA GII30 AN4741 04.4030 06/20/2065 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2011-70 YI IO 00.1500 12/20/2040 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 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 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.13 P USL1M R 01/12/44 JP 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 GS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 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 GS 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 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.FN30.450.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.500.08 P USL1M R 01/12/39 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.550.05 P USL1M R 01/12/36 BC 0.00%
IOS.FN30.550.05 R USL1M P 01/12/36 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%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPMCC 05-CB12 X1 IO P/P 144A 00.3741 09/12/2037 0.00%
JPMCC 06-LDP6 X1 IO P/P 144A 00.0000 04/15/2043 0.00%
JPMCC 2006-LDP8 X IO 00.2872 05/15/2045 0.00%
JPMCC 2007-LDPX X IO 00.1828 01/15/2049 0.00%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.00%
LBUBS 2005-C2 XCL IO P/P 144A 00.1950 04/15/2040 0.00%
LBUBS 2005-C5 XCL IO P/P 144A 0.09 3 09/15/2040 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.3553 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.2030 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.2030 02/15/2040 0.00%
LIBERTY MUTUAL GROUP P/P 144A 07.8000 03/15/2037 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.FN30.500.09 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.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.450.10 R USL1M P 01/12/41 CS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MEZZ 2005-C3 X IO P/P 144A 05.8927 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 05.4243 07/15/2045 0.00%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.5353 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0025 06/12/2043 0.00%
MLMT 2008-C1 AJ 06.4983 02/12/2051 0.00%
OPTN FN30 3.0 05/07/18 PUT 95.28125 JPMC 0.00%
OPTN FN30 3.0 05/07/18 PUT 95.40625 JPMC 0.00%
OPTN FN30 3.0 05/07/18 PUT 95.53125 JPMC 0.00%
SWPTN 13WX1Y R 2.355 USD 05/14/2018 MS 0.00%
SWPTN 17DX10Y P 2.9175 USD 04/06/2018 GS 0.00%
SWPTN 17DX10Y P 2.9915 USD 04/06/2018 GS 0.00%
SWPTN 1MX10Y P 3.1075 USD 04/13/2018 WE 0.00%
SWPTN 1MX1Y R 2.34 USD 04/05/2018 BC 0.00%
SWPTN 1MX2Y R 2.538 USD 04/05/2018 BC 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
SWPTN 2YX5Y R 2.553 USD 11/08/2019 JP 0.00%
SWPTN 5WX1Y R 2.359 USD 04/09/2018 BC 0.00%
SWPTN 6MX1Y R 1.85125 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 2.01 USD 04/30/2018 MS 0.00%
SWPTN LIABILITY 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
TIAA ASSET MGMT FIN P/P 144A 04.1250 11/01/2024 0.00%
US 10YR NOTE (CBT)JUN18 TYM8 0.00%
US 10YR ULTRA FUT JUN18 UXYM8 0.00%
US 2YR NOTE (CBT) JUN18 TUM8 0.00%
US 5YR NOTE (CBT) JUN18 FVM8 0.00%
US LONG BOND(CBT) JUN18 USM8 0.00%
US ULTRA BOND CBT JUN18 WNM8 0.00%
USL3M P ISWP USL6M R 05/26/2020 0.00%
WBCMT 2005-C18 XC IO P/P 144A 00.0000 04/15/2042 0.00%
WBCMT 2006-C26 XC IO P/P 144A 00.0508 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.1573 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.1503 05/15/2046 0.00%
2.75 R ISWP FWD US0003M P 06/20/2023 -0.01%
2.903 R ISWP FWD US0003M P 04/09/2028 -0.01%
2.917 R ISWP FWD US0003M P 04/19/2028 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 MS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CPURNSA P 2.085 R 07/03/27 -0.01%
OPTN FN30 3.0 04/05/18 CALL 97.4140625 JPMC -0.01%
OPTN FN30 3.0 04/05/18 CALL 97.421875 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.140625 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.265625 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.390625 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.8125 JPMC -0.01%
SWPTN 13WX1Y R 2.71375 USD 05/14/2018 MS -0.01%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.01%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.01%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.01%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.01%
SWPTN 3MX1Y P 2.90375 USD 06/05/2018 GS -0.01%
SWPTN 3MX1Y P 3.01375 USD 06/05/2018 GS -0.01%
SWPTN 5WX10Y P 2.935 USD 04/30/2018 CI -0.01%
SWPTN 5WX2Y R 2.5625 USD 04/09/2018 BC -0.01%
SWPTN 6MX1Y R 2.6325 USD 08/14/2018 CI -0.01%
SWPTN LIABILITY 2YX10Y R 2.2525 USD 11/12/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -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 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.02%
CPURNSA P 2.05 R 07/05/27 -0.02%
OPTN FN30 3.0 04/05/18 CALL 97.3203125 JPMC -0.02%
SWPTN 1MX10Y P 2.805 USD 04/27/2018 CI -0.02%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS -0.02%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.02%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.02%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.02%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.02%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.02%
SWPTN 3MX2Y P 2.646 USD 05/29/2018 MS -0.02%
SWPTN LIABILITY 2YX10Y P 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y R 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 5WX10Y R 2.635 USD 04/30/2018 CI -0.02%
2.9075 R ISWP FWD US0003M P 04/17/2028 -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.03%
OPTN FN30 3.0 04/05/18 CALL 96.9296875 JPMC -0.03%
OPTN FN30 3.0 04/05/18 CALL 96.9296875 JPMC -0.03%
SWPTN 1MX10Y R 2.805 USD 04/27/2018 CI -0.03%
SWPTN 1WX10Y P 2.7825 USD 04/05/2018 CI -0.03%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.03%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.03%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.03%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.03%
SWPTN LIABILITY 2YX10Y R 2.7725 USD 11/18/2019 GS -0.03%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.03%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.03%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.03%
OPTN FN30 3.0 04/05/18 CALL 96.8359375 JPMC -0.04%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.04%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.04%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.04%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.04%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.04%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.04%
SWPTN LIABILITY 2YX10Y P 2.2525 USD 11/12/2019 JP -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.05%
SWPTN 1MX10Y R 2.89 USD 04/09/2018 GS -0.05%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.05%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.05%
SWPTN 3MX2Y P 2.41625 USD 04/26/2018 MS -0.05%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.05%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.05%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.05%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.06%
SWPTN 1MX10Y R 2.883 USD 04/19/2018 BA -0.07%
SWPTN 4WX10Y R 2.865 USD 04/24/2018 JP -0.07%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.07%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.07%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.07%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.08%
SWPTN 1MX10Y R 2.903 USD 04/05/2018 MS -0.08%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.08%
SWPTN 3MX2Y P 2.315 USD 04/16/2018 MS -0.08%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.08%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.08%
2.90 R ISWP FWD US0003M P 06/20/2028 -0.09%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.09%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.10%
SWPTN 17DX10Y R 2.9175 USD 04/06/2018 GS -0.10%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.10%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.11%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.12%
SWPTN 5WX10Y R 2.917 USD 04/17/2018 JP -0.12%
FHLMC FH30G TBA 03.0000 04/01/2048 -0.13%
FNMA FN30 TBA 03.5000 04/01/2048 -0.13%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.13%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.13%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.13%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.13%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.13%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.16%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.18%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.18%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.21%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.23%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.23%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.23%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.28%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.28%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.32%
FHLMC FH30G TBA 03.5000 04/01/2048 -0.33%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.33%
FNMA FN30 TBA 03.0000 04/01/2048 -0.58%

Prior top 10 holdings

Top 10 holdings as of 05/31/18
Fnma Fn30 Tba 03.5000 07/01/2048
Gnma Gii30 Tba 03.5000 06/01/2048
Fnma Fn30 Tba 04.0000 07/01/2048
Gnma Gii30 Tba 04.0000 06/01/2048
Fnma Fn30 Tba 02.5000 06/01/2048
Gnma Gii30 Tba 04.5000 06/01/2048
Fnma Fn30 Tba 03.5000 06/01/2048
Cas 2016-C03 1m2 07.2597 10/25/2028
Cas 2016-C03 2m2 07.8597 10/25/2028
Fnma Fn30 Tba 04.5000 06/01/2048
Holdings represent 31.76% of portfolio
Top 10 holdings as of 04/30/18
Fnma Fn30 Tba 03.5000 06/01/2048
Gnma Gii30 Tba 03.5000 05/01/2048
Fnma Fn30 Tba 04.0000 05/01/2048
Gnma Gii30 Tba 04.0000 05/01/2048
Gnma Gii30 Tba 04.5000 05/01/2048
Fnma Fn30 Tba 02.5000 05/01/2048
Cas 2016-C03 1m2 07.1971 10/25/2028
Cas 2016-C03 2m2 07.7971 10/25/2028
Fnma Fn30 Tba 04.5000 05/01/2048
Stacr 2016-Hqa1 M3 08.2471 09/25/2028
Holdings represent 33.27% of portfolio
Top 10 holdings as of 03/31/18
Fnma Fn30 Tba 03.5000 05/01/2048
Fnma Fn30 Tba 04.0000 04/01/2048
Gnma Gii30 Tba 04.0000 05/01/2048
Fnma Fn30 Tba 02.5000 04/01/2048
Gnma Gii30 Tba 04.5000 05/01/2048
Cas 2016-C03 1m2 07.1715 10/25/2028
Cas 2016-C03 2m2 07.7715 10/25/2028
Fnma Fn30 Tba 04.5000 04/01/2048
Gnma Gii30 Tba 04.5000 04/01/2048
Stacr 2016-Hqa1 M3 08.2215 09/25/2028
Holdings represent 32.99% of portfolio
Top 10 holdings as of 02/28/18
Fnma Fn30 Tba 03.5000 04/01/2048
Gnma Gii30 Tba 04.0000 03/01/2048
Gnma Gii30 Tba 04.5000 03/01/2048
Fnma Fn30 Tba 02.5000 03/01/2048
Fnma Fn30 Tba 03.0000 03/01/2048
Fnma Fn30 Tba 04.0000 03/01/2048
Cas 2016-C03 1m2 06.9207 10/25/2028
Cas 2016-C03 2m2 07.5207 10/25/2028
Fnma Fn30 Tba 04.5000 03/01/2048
Stacr 2016-Hqa1 M3 07.9707 09/25/2028
Holdings represent 34.45% of portfolio

Fixed income statistics as of 05/31/18

Average effective maturity 10.87 yrs.
Average effective duration 6.05 yrs.
Average yield to maturity 4.19%
Average coupon 4.31%
Average price $86.37

Sector weightings as of 05/31/18

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 14.46% 0.87 27.62% 1.67 42.08% 2.54
Commercial MBS 17.13% 0.54 13.77% 0.52 30.90% 1.06
Investment-grade corporate bonds 21.88% 1.87 0.00% 0.00 21.88% 1.87
Agency CMO 17.44% 0.63 0.49% 0.02 17.93% 0.65
Net cash 16.16% 0.00 0.00% 0.00 16.16% 0.00
Residential MBS (non-agency) 8.96% 0.38 0.00% 0.00 8.96% 0.38
Asset-backed securities (ABS) 1.58% 0.00 0.00% 0.00 1.58% 0.00
Municipal bonds 0.21% 0.03 0.00% 0.00 0.21% 0.03
Emerging-market bonds 0.13% 0.01 0.00% 0.00 0.13% 0.01
Interest rate swaps 0.00% 0.00 0.00% -0.09 0.00% -0.09
U.S. Treasury/agency 0.00% 0.00 0.00% 2.05 0.00% 2.05
High-yield corporate bonds 2.05% 0.12 -8.89% -0.40 -6.84% -0.28

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 05/31/18

0 - 1 yr. -0.03%
1 - 5 yrs. 21.53%
5 - 10 yrs. 70.92%
10 - 15 yrs. 1.61%
Over 15 yrs. 5.97%

Quality rating as of 05/31/18

AAA 67.14%
AA 1.93%
A 7.99%
BBB 22.66%
BB 9.83%
B 4.15%
CCC and Below 0.72%
Not Rated -14.42%

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 backed investments carry the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. 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). The fund may have to invest the proceeds from prepaid investments, including mortgage backed investments, in other investments with less attractive terms and yields. Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. 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. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.

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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 05/31/18

United States 95.05%
Bermuda 1.12%
United Kingdom 1.07%
Canada 1.03%
France 0.47%
Spain 0.34%
Switzerland 0.27%
Ireland 0.14%
Japan 0.13%
 
Other
0.38%
Mexico 0.12%
Netherlands 0.11%
Norway 0.08%
Germany 0.06%
Peru 0.01%

Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
Total expense ratio 0.88% 1.63% 1.63% 1.13% 1.13% 0.58% 0.51% 0.63%
What you pay 0.88% 1.63% 1.63% 1.13% 1.13% 0.58% 0.51% 0.63%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
$0-$49,999 4.00% 0.00% 0.00% 3.25% -- -- -- --
$50,000-$99,999 4.00% 0.00% 0.00% 2.25% -- -- -- --
$100,000-$249,999 3.25% -- 0.00% 1.25% -- -- -- --
$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 R5 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 Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities. You cannot invest directly in an index.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage backed investments carry the risk that they may increase in value when interest rates decline and decline in value when interest rates rise. 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). The fund may have to invest the proceeds from prepaid investments, including mortgage backed investments, in other investments with less attractive terms and yields. Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. 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. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.

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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.