Prior to April 30, 2018, the fund was known as Putnam Absolute Return 300 Fund.

Always Vigilant. Always Active.

Fixed Income Absolute Return Fund (Class A)  (PTRNX)

Seeks positive returns with a similar level of volatility

Highlights

Objective

The fund seeks positive total return.

Strategy and process

  • Global diversification: The fund can invest across global fixed-income sectors and can adjust dynamically as opportunities change.
  • Independent of indexes:The portfolio managers have the flexibility to mitigate a variety of risks, and are not constrained by traditional benchmarks.
  • Risk hedging: The fund's hedging and market neutral strategies can offer volatility dampening benefits to client portfolios.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $9.66
-0.10% | $-0.01
$10.11
12/12/17
$9.65
12/21/17
Historical fund price

Fund facts as of 09/30/18

Total net assets
$552.50M
Turnover (fiscal year end)
742%
Dividend frequency (view rate)
Monthly
Number of holdings
958
Fiscal year-end
October
CUSIP / Fund code
746764372 / 0064
Inception date
12/23/08
Category
Absolute Return
Open to new investors
Ticker
PTRNX

Management team

Chief Investment Officer, Fixed Income
Portfolio Manager
Co-Head of Fixed Income
Co-Head of Fixed Income

Literature


Rising receipts may recast federal budget debate

Don’t underestimate this economy
Despite worrisome headlines about the economy, recent data show only a modest loss of momentum.
The fixed-income risks that we favor
We see more attractive fixed income risks outside of interest rates, in part because U.S. economic growth may warrant more rate hikes by the Fed.

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.

3.49%

Best 5-year annualized return

(for period ending 03/31/14)


-0.03%

Worst 5-year annualized return

(for period ending 03/31/16)


2.05%

Average 5-year annualized return


  • Total return (%) as of 09/30/18

  • Annual performance as of 09/30/18

Annualized Total return (%) as of 09/30/18

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 12/23/08 )
Before sales charge 3.52% 3.31% 2.33% 2.68%
After sales charge 2.49% 2.96% 2.13% 2.57%
ICE BofAML U.S. Treasury Bill Index 1.54% 0.82% 0.52% --

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and Putnam Multi-Asset Absolute Return Fund, 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, N, R, T1, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for Class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. Class A, M, and T1 shares of Putnam money market funds have no initial sales charge. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 10/31/18 -0.60 % -1.60 %
YTD as of 11/19/18 1.85 % 0.84 %

Yield

Distribution rate before sales charge
as of 11/19/18
3.85%
Distribution rate after sales charge
as of 11/19/18
3.81%
30-day SEC yield as of 10/31/18
(after sales charge)
4.26%

Volatility as of 09/30/18

Standard deviation (3 yrs.) 2.83%

Morningstar Ratings as of 09/30/18

Time period Funds in category Morningstar Rating
Overall 281
3 yrs. 281
5 yrs. 175
Morningstar category: Nontraditional Bond

Distributions

Record/Ex dividend date 11/16/18
Payable date 11/20/18
Income $0.031
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 09/30/18

Net cash 21.56%
Fnma Fn30 Tba 03.5000 10/01/2048 5.17%
Fnma Fn30 Tba 04.0000 11/01/2048 3.47%
Fnma Fn30 Tba 02.5000 10/01/2048 2.18%
Gnma Gii30 Tba 04.5000 10/01/2048 2.06%
Fhr 3835 Fo Po 00.0000 04/15/2041 1.03%
Spst 2018-5 A 02.9122 09/24/2019 0.83%
Apple 02.0000 05/06/2020 0.78%
Cwalt 2005-59 1a1 02.4953 11/20/2035 0.74%
Csmc 2008-C1 Aj P/P 144a 06.1701 02/15/2041 0.71%
Top 10 holdings, percent of portfolio 38.53%

Full portfolio holdings as of 09/30/18

FNMA FN30 TBA 03.5000 10/01/2048 5.17%
FNMA FN30 TBA 04.0000 11/01/2048 3.47%
FNMA FN30 TBA 02.5000 10/01/2048 2.18%
GNMA GII30 TBA 04.5000 10/01/2048 2.06%
FHR 3835 FO PO 00.0000 04/15/2041 1.03%
SPST 2018-5 A 02.9122 09/24/2019 0.83%
APPLE INC 02.0000 05/06/2020 0.78%
CWALT 2005-59 1A1 02.4953 11/20/2035 0.74%
CSMC 2008-C1 AJ P/P 144A 06.1701 02/15/2041 0.71%
COMMONWEALTH BK AUST P/P 144A 02.2000 11/09/2020 0.65%
MSBAM 2013-C10 E P/P 144A 04.2185 07/15/2046 0.63%
SPST 2018-1 A 03.1122 04/24/2019 0.63%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.62%
SPST 2017-6 A 02.9122 11/24/2018 0.62%
FHR 3852 NT 03.8416 05/15/2041 0.61%
FNR 2017-74 SA IO 03.5342 10/25/2047 0.58%
JP MORGAN CHASE BANK NA 03.0860 04/26/2021 0.58%
GNMA GII30 TBA 04.0000 10/01/2048 0.55%
CWALT 2006-OA7 1A2 02.7850 06/25/2046 0.53%
FNR 2017-8 SB IO 03.8842 02/25/2047 0.53%
SPST 2018-3 A 02.9122 07/24/2019 0.49%
HELLENIC REPUBLIC REGS 03.0000 02/24/2028 0.45%
COMM 2013-CR11 XA IO 01.2718 08/10/2050 0.44%
MSBAM 2013-C13 XA IO 01.2326 11/15/2046 0.44%
CAS 2018-C03 1M2 04.3658 10/25/2030 0.43%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.43%
KEYCORP 02.3000 12/13/2018 0.43%
CAS 2016-C02 1B 14.4658 09/25/2028 0.42%
STACR 2015-DNA3 B 11.5658 04/25/2028 0.42%
CF INDUSTRIES INC 03.4500 06/01/2023 0.41%
FNR 2017-75 NI IO 05.0000 11/25/2046 0.41%
JPMCC 2012-C8 D P/P 144A 04.8063 10/15/2045 0.41%
US BANK NA CINCINNATI 03.1500 04/26/2021 0.41%
WESTPAC BANKING CORP USD 02.6500 01/25/2021 0.41%
ALPHABET INC 03.6250 05/19/2021 0.40%
DBUBS 2011-LC3A D P/P 144A 05.5156 08/10/2044 0.40%
BACM 2005-1 B 05.6875 11/10/2042 0.37%
CITIBANK NA 03.0500 05/01/2020 0.37%
GNR 2016-H13 IK IO 02.5985 06/20/2066 0.37%
BAUSCH HLTH COS INC P/P 144A 06.5000 03/15/2022 0.36%
BSCMS 2006-PW11 B P/P 144A 05.2830 03/11/2039 0.36%
HELLENIC REPUBLIC REGS 03.0000 02/24/2029 0.36%
RANGE RESOURCES CORP 05.0000 03/15/2023 0.36%
SHELL INTERNATIONAL FIN USD 02.1250 05/11/2020 0.36%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.35%
FNR 2015-28 IO IO 05.5000 05/25/2045 0.35%
USG CORP P/P 144A 05.5000 03/01/2025 0.35%
JPMBB 2013-C14 D P/P 144A 04.7200 08/15/2046 0.34%
MEAD JOHNSON NUTRITION C 03.0000 11/15/2020 0.34%
WFCM 2013-LC12 D P/P 144A 04.4226 07/15/2046 0.34%
CAS 2015-C04 1M2 07.9158 04/25/2028 0.32%
BERKSHIRE HATHAWAY FIN 04.2500 01/15/2021 0.31%
CVS HEALTH CORP 02.2500 12/05/2018 0.31%
FED REPUBLIC OF BRAZIL USD 04.6250 01/13/2028 0.31%
GNR 2017-H06 BI IO 02.3093 02/20/2067 0.31%
SERVICE CORP INTL 05.3750 01/15/2022 0.31%
WFRBS 2013-C15 D P/P 144A 04.6207 08/15/2046 0.31%
ANTERO RESOURCES COR 05.6250 06/01/2023 0.30%
CAS 2016-C03 2M2 08.1158 10/25/2028 0.30%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.30%
MSBAM 2013-C10 F P/P 144A 04.2185 07/15/2046 0.30%
STARWOOD PROP TR 04.7500 03/15/2025 0.30%
UBSBB 2013-C5 XA IO P/P 144A 01.1059 03/10/2046 0.30%
CINEWORLD TLB L+250 04.2999 02/28/2025 0.29%
HELLENIC REPUBLIC P/P REGS 04.3750 08/01/2022 0.29%
HESS INFRASTRUCTURE P/P 144A 05.6250 02/15/2026 0.29%
SCIENTIFIC GAMES TLB5 L+275 04.5390 08/14/2024 0.29%
COMM 2014-CR19 XA IO 01.3444 08/10/2047 0.28%
FNR 2011-53 ST IO 03.7042 06/25/2041 0.28%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.28%
PFIZER INC 01.7000 12/15/2019 0.28%
GNR 2015-H19 NI IO 01.9030 07/20/2065 0.27%
HELLENIC REPUBLIC REGS 03.0000 02/24/2030 0.27%
SVENSKA HANDELSBANKEN AB USD 01.9500 09/08/2020 0.27%
TRI POINTE GROUP / HOMES 05.8750 06/15/2024 0.27%
WFRBS 2012-C7 D P/P 144A 04.9767 06/15/2045 0.27%
BANQUE FED CRED MUTU P/P 144A 02.2000 07/20/2020 0.26%
GSMS 2013-GC10 E P/P 144A 04.5439 02/10/2046 0.26%
PETROLEOS MEXICANOS USD 05.5000 01/21/2021 0.25%
RACKSPACE HOSTING INC L+300 05.3482 11/03/2023 0.25%
WFCM 2014-LC16 XA IO 01.4977 08/15/2050 0.25%
ALLISON TRANSMISSION P/P 144A 04.7500 10/01/2027 0.24%
CCC INFO 1STL L+300 05.2500 03/30/2024 0.24%
MANUF & TRADERS TRUST CO 02.0500 08/17/2020 0.24%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.24%
WFRBS 2012-C10 D P/P 144A 04.5903 12/15/2045 0.24%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.23%
FHR 4591 QI IO 03.5000 04/15/2046 0.23%
GNR 2017-174 MI IO 03.5000 11/20/2047 0.23%
REP OF INDONESIA P/P 144A 03.3750 04/15/2023 0.23%
ARCELORMITTAL USD 06.1250 06/01/2025 0.22%
ASHTEAD CAPITAL INC P/P 144A 05.6250 10/01/2024 0.22%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.22%
BMW US CAPITAL LLC P/P 144A 02.0000 04/11/2021 0.22%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.22%
CCO HLDGS LLC/CAP CO P/P 144A 05.8750 04/01/2024 0.22%
CHENIERE CORP CHRIST 05.8750 03/31/2025 0.22%
COMMUNITY HEALTH TLH L+325 05.5626 01/27/2021 0.22%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.22%
HCA INC 04.7500 05/01/2023 0.22%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.22%
JPMCC 2013-C10 XA IO 01.1592 12/15/2047 0.22%
LENNAR CORP 05.8750 11/15/2024 0.22%
NIELSEN CO LUX SARL P/P 144A 5.500 10/01/2021 0.22%
PETROLEOS MEXICANOS USD 04.5000 01/23/2026 0.22%
SIRIUS XM RADIO INC P/P 144A 06.0000 07/15/2024 0.22%
SPST 2017-LD1 A 03.0158 11/25/2050 0.22%
STANDARD IND INC P/P 144A 06.0000 10/15/2025 0.22%
THE AES CORPORATION 04.8750 05/15/2023 0.22%
WFRBS 2012-C9 XB IO P/P 144A 00.8440 11/15/2045 0.22%
1011778 BC / NEW RED P/P 144A 04.6250 01/15/2022 0.21%
ARDAGH PKG FIN/HLDGS P/P 144A 04.2500 09/15/2022 0.21%
CAS 2016-C03 1B 13.9658 10/25/2028 0.21%
CIT GROUP INC. 05.2500 03/07/2025 0.21%
COMM 2015-CR23 XA IO 01.1047 05/10/2048 0.21%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.21%
GNR 2015-20 PI IO 03.5000 02/20/2045 0.21%
MSBAM 2014-C17 D P/P 144A 04.8596 08/15/2047 0.21%
PULTEGROUP INC 05.5000 03/01/2026 0.21%
RUSSIAN FEDERATION P/P 144A 04.3750 03/21/2029 0.21%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.21%
ADS WASTE TLB L+225 04.4126 11/10/2023 0.20%
BRIGGS & STRATTON CORPORATION 06.8750 12/15/2020 0.20%
COMM 2012-LC4 E P/P 144A 04.2500 12/10/2044 0.20%
ENERGY TRANSFER EQUITY 07.5000 10/15/2020 0.20%
FHR 4813 IO IO 05.5000 08/15/2048 0.20%
FNR 2011-4 CS 08.4684 05/25/2040 0.20%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.20%
FNR 2018-58 IO IO 05.5000 08/25/2048 0.20%
GNR 2010-20 UI IO 05.0000 02/20/2040 0.20%
GNR 2015-H09 BI IO 01.6865 03/20/2065 0.20%
GNR 2015-H15 JI IO 01.9447 06/20/2065 0.20%
GNR 2016-H23 NI IO 02.0032 10/20/2066 0.20%
GNR 2018-H13 NI IO 02.1595 08/20/2068 0.20%
GOLDEN NUGGET TL L+275 04.9522 10/04/2023 0.20%
KINETIC CONCEPTS TLB L+325 04.2846 02/03/2024 0.20%
NEWFIELD EXPLORATION CO 05.3750 01/01/2026 0.20%
QUIKRETE TLB L+275 04.9922 11/15/2023 0.20%
SINCLAIR TELEVISION P/P 144A 05.6250 08/01/2024 0.20%
WFRBS 2012-C10 E P/P 144A 04.5903 12/15/2045 0.20%
WR GRACE & CO-CONN P/P 144A 05.6250 10/01/2024 0.20%
CGCMT 2014-GC19 X IO 01.3053 03/10/2047 0.19%
CLEAR CHNL WORLD 06.5000 11/15/2022 0.19%
GNR 2015-80 IA IO 04.5000 06/20/2045 0.19%
GNR 2017-120 IJ IO 04.0000 04/20/2047 0.19%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.19%
GNR 2018-91 SJ IO 04.0848 07/20/2048 0.19%
HCA INC 06.5000 02/15/2020 0.19%
INTELSAT S.A. TLB3 L+375 05.9801 11/27/2023 0.19%
MSC 2016-UB12 XA IO 00.9465 12/15/2049 0.19%
OWENS-BROCKWAY P/P 144A 05.8750 08/15/2023 0.19%
PPD TL L+250 04.7856 08/18/2022 0.19%
COMM 2014-UBS6 XA IO 01.1114 12/10/2047 0.18%
EAGLECLAW MID TL L+425 06.4922 06/30/2024 0.18%
FHR 4760 IG IO 05.0000 02/15/2048 0.18%
FNR 2016-3 NI IO 06.0000 02/25/2046 0.18%
GNR 2014-2 IC IO 05.0000 01/16/2044 0.18%
GNR 2015-167 BI IO 04.5000 04/16/2045 0.18%
GNR 2015-H25 AI IO 01.6037 09/20/2065 0.18%
GNR 2015-H25 EI IO 01.8404 10/20/2065 0.18%
GNR 2016-H02 BI IO 01.2633 11/20/2065 0.18%
GSMS 2014-GC22 C 04.8458 06/10/2047 0.18%
ICAHN ENTERPRISES/FI 05.8750 02/01/2022 0.18%
MSC 2006-HQ10 B 05.4480 11/12/2041 0.18%
RALI 2006-QO5 1A1 02.4308 05/25/2046 0.18%
RESTAURANT BRANDS TLB L+225 04.4922 02/17/2024 0.18%
STACR 2015-DNA2 B 09.7658 12/25/2027 0.18%
STARS GROUP TLB L+350 05.8861 07/10/2025 0.18%
WBCMT 2005-C21 D 05.4168 10/15/2044 0.18%
WIDEOPENWEST TLB L+325 05.4084 08/19/2023 0.18%
CARR 2006-NC2 A4 02.4558 06/25/2036 0.17%
CMLTI 2007-AMC3 A2D 02.5658 03/25/2037 0.17%
COMM 2014-CR17 C 04.8976 05/10/2047 0.17%
COMM 2015-LC21 XA IO 00.9711 07/10/2048 0.17%
FNR 2016-65 CS IO 03.8842 09/25/2046 0.17%
GNR 2010-125 SD IO 04.5216 01/16/2040 0.17%
GNR 2015-111 IJ IO 03.5000 08/20/2045 0.17%
GSMS 2014-GC18 XA IO 01.2664 01/10/2047 0.17%
INFOR US INC P/P 144A 05.7500 08/15/2020 0.17%
MSBAM 2014-C17 C 04.6136 08/15/2047 0.17%
PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.17%
TRANSDIGM INC TLF L+250 04.8525 06/09/2023 0.17%
UBS AG LONDON P/P 144A 02.2000 06/08/2020 0.17%
WAMU 2005-AR14 1A2 03.5377 12/25/2035 0.17%
BANK OF MONTREAL USD 03.1000 04/13/2021 0.16%
CCO HLDGS LLC/CAP C P/P 144A 05.5000 05/01/2026 0.16%
CEMEX SAB DE CV P/P 144A 06.1250 05/05/2025 0.16%
CSAIL 2015-C1 D P/P 144A 03.9395 04/15/2050 0.16%
CWALT 2005-27 1A1 02.2169 08/25/2035 0.16%
FHR 4136 IW IO 03.5000 10/15/2042 0.16%
FHR 4150 DI IO 03.0000 01/15/2043 0.16%
GLP CAPITAL LP / FIN II 05.2500 06/01/2025 0.16%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.16%
HILTON WORLDWIDE FIN LLC 04.6250 04/01/2025 0.16%
JPMBB 2014-C25 D P/P 144A 04.0931 11/15/2047 0.16%
JPMORGAN CHASE & CO 06.0000 12/29/2049 0.16%
MLCFC 2006-4 C 05.3240 12/12/2049 0.16%
PETROBRAS GLOBAL FINANCE USD 07.3750 01/17/2027 0.16%
SOUTHERN COPPER CORP USD 05.8750 04/23/2045 0.16%
SPCM SA P/P 144A 04.8750 09/15/2025 0.16%
STACR 2016-DNA1 B 12.2158 07/25/2028 0.16%
TALLGRASS NRG PRTNR P/P 144A 05.5000 01/15/2028 0.16%
THE WILLIAMS COMPANIES INC. 04.5500 06/24/2024 0.16%
UBSCM 2017-C7 XA IO 01.2261 12/15/2050 0.16%
VISTRA ENERGY TLB1 L+200 04.2422 08/04/2023 0.16%
WELLCARE HEALTH PLANS 05.2500 04/01/2025 0.16%
ASURION TLB4 L+300 05.2422 08/04/2022 0.15%
CALPINE CONS FIN TL L+250 03.9770 01/15/2025 0.15%
CALPINE CORP P/P 144A 05.8750 01/15/2024 0.15%
CENTENE CORP 06.1250 02/15/2024 0.15%
CHEMOURS CO 05.3750 05/15/2027 0.15%
CONCHO RESOURCES INC 04.3750 01/15/2025 0.15%
CSC HOLDINGS TLB L+225 04.4084 06/15/2025 0.15%
FIRST DATA TL L+200 04.2122 07/10/2022 0.15%
FNR 2013-27 PI IO 03.0000 12/25/2041 0.15%
GNR 2014-H14 CI IO 01.5804 07/20/2064 0.15%
GNR 2016-H22 AI IO 01.7177 10/20/2066 0.15%
HUNTSMAN INTL L 05.1250 11/15/2022 0.15%
INGEVITY CORP P/P 144A 04.5000 02/01/2026 0.15%
IRON MOUNTAIN US HLD P/P 144A 05.3750 06/01/2026 0.15%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.15%
NEWFIELD EXPLORATION CO 05.6250 07/01/2024 0.15%
PNC BANK NA 02.0000 05/19/2020 0.15%
SABRE GLBL INC P/P 144A 05.3750 04/15/2023 0.15%
SERVICE CORP INTL 05.3750 05/15/2024 0.15%
STEEL DYNAMICS INC 05.5000 10/01/2024 0.15%
SUDDENLINK TLB L+225 04.4922 07/28/2025 0.15%
T-MOBILE USA INC 06.3750 03/01/2025 0.15%
TECK RESOURCES LIMITED USD 03.7500 02/01/2023 0.15%
TENET HEALTHCARE 06.0000 10/01/2020 0.15%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.15%
WAMU 2005-AR13 A1C3 02.7058 10/25/2045 0.15%
WYNDHAM HOTELS & RE P/P 144A 05.3750 04/15/2026 0.15%
AIG GLOBAL FUNDING P/P 144A 02.1500 07/02/2020 0.14%
BRAND ENERGY TL L+425 06.5957 06/21/2024 0.14%
CALPINE CORP P/P 144A 06.0000 01/15/2022 0.14%
CENTENE CORP 05.6250 02/15/2021 0.14%
CHARTER COMM TLB L+200 02.0000 04/30/2025 0.14%
CHESAPEAKE ENERGY CO P/P 144A 08.0000 12/15/2022 0.14%
CINEMARK USA INC 05.1250 12/15/2022 0.14%
CMLTI 2007-AR5 1A1A 03.8423 04/25/2037 0.14%
FHR 4369 IA IO 03.5000 07/15/2044 0.14%
FHR 4601 IC IO 04.0000 12/15/2045 0.14%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.14%
GNR 2015-162 BI IO 04.0000 11/20/2040 0.14%
GNR 2015-H10 EI IO 01.6222 04/20/2065 0.14%
KFC HLD/PIZZA HUT/TA P/P 144A 05.0000 06/01/2024 0.14%
KMG CHEMICALS TLB L+275 04.9922 06/15/2024 0.14%
MATTAMY GROUP CORP P/P 144A 06.8750 12/15/2023 0.14%
MSBAM 2014-C18 C 04.4893 10/15/2047 0.14%
PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.14%
PROTECTIVE LIFE GLO P/P 144A 02.2620 04/08/2020 0.14%
TRIBUNE MEDIA TLB L+300 05.2422 01/27/2024 0.14%
BERRY PLATICS TLQ L+200 04.1859 10/01/2022 0.13%
CD 2016-CD1 XA IO 01.5623 08/10/2049 0.13%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.13%
COMM 2014-CR20 XA IO 01.2829 11/10/2047 0.13%
FHR 4182 PI IO 03.0000 12/15/2041 0.13%
FNR 2013-21 AI IO 03.5000 03/25/2033 0.13%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.13%
GNR 2016-H08 AI IO 01.6865 08/20/2065 0.13%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.13%
HILTON WORLDWIDE TLB L+215 04.0977 10/25/2023 0.13%
IVORY COAST REGS 06.1250 06/15/2033 0.13%
LCCM 2017-LC26 XA IO P/P 144A 01.6854 07/12/2050 0.13%
MSC 2012-C4 E P/P 144A 05.6008 03/15/2045 0.13%
NETFLIX INC P/P 144A 05.8750 11/15/2028 0.13%
UNIVISION TLC5 L+275 04.9922 03/15/2024 0.13%
WFCM 2013-LC12 C 04.4226 07/15/2046 0.13%
2.55 R ISWP US0003M P 04/26/2019 0.12%
AES CORP/THE 05.1250 09/01/2027 0.12%
ALLY FINANCIAL INC 08.0000 11/01/2031 0.12%
CGCMT 2014-GC21 X IO 01.3569 05/10/2047 0.12%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.12%
COMMSCOPE TECH LLC P/P 144A 05.0000 03/15/2027 0.12%
CWCI 2007-C3 AJ 06.0151 05/15/2046 0.12%
ELDORADO RESORTS TLB L+225 04.4091 04/17/2024 0.12%
FNR 2016-83 BS IO 03.8842 11/25/2046 0.12%
GATES GLOBAL TLB L+275 04.9922 03/31/2024 0.12%
GNR 2013-100 MI IO 03.5000 02/20/2043 0.12%
GNR 2015-167 MI IO 05.0000 06/20/2045 0.12%
GNR 2015-H18 IA IO 01.8124 06/20/2065 0.12%
GNR 2015-H28 DI IO 01.5471 08/20/2065 0.12%
GNR 2016-77 SC IO 03.9348 10/20/2045 0.12%
GNR 2017-132 IB IO 05.5000 09/20/2047 0.12%
GSMS 2015-GC30 XA IO 01.0005 05/10/2050 0.12%
JPMBB 2014-C24 XA IO 01.1158 11/15/2047 0.12%
NRG ENERGY INC P/P 144A 05.7500 01/15/2028 0.12%
PROV BUENOS AIRE P/P 144A 07.8750 06/15/2027 0.12%
REPUBLIC OF INDONESIA REGS 05.8750 01/15/2024 0.12%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.12%
TARGA RESOURCES PART P/P 144A 05.0000 01/15/2028 0.12%
VICI PROPERTIES TL L+200 04.2122 12/22/2024 0.12%
WAMU 2005-AR10 1A3 04.1236 09/25/2035 0.12%
BP CAPITAL MARKETS PLC USD 01.7680 09/19/2019 0.11%
CAS 2017-C02 2B1 07.7158 09/25/2029 0.11%
CAS 2017-C06 1M2 04.8658 02/25/2030 0.11%
COMM 2015-CR22 XA IO 01.1132 03/10/2048 0.11%
CWALT 2006-OA7 1A1 02.7963 06/25/2046 0.11%
FHR 4193 PI IO 04.0000 03/15/2043 0.11%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.11%
GNR 2012-106 QI IO 04.0000 07/20/2042 0.11%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.11%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.11%
GNR 2017-H03 DI IO 02.6084 12/20/2066 0.11%
HELLENIC REPUBLIC REGS 03.0000 02/24/2026 0.11%
IRON MOUNTAIN INC P/P 144A 05.2500 03/15/2028 0.11%
MSBAM 2012-C6 D P/P 144A 04.7262 11/15/2045 0.11%
MSBAM 2015-C26 XA IO 01.1852 10/15/2048 0.11%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.11%
WFRBS 2011-C4 D P/P 144A 05.3975 06/15/2044 0.11%
WFRBS 2011-C4 E P/P 144A 05.3975 06/15/2044 0.11%
WFRBS 2011-C5 E P/P 144A 05.8616 11/15/2044 0.11%
CAS 2018-C05 1M2 04.5658 01/25/2031 0.10%
CGCMT 2013-GC17 X IO 01.4810 11/10/2046 0.10%
COMM 2014-LC15 XA IO 01.4476 04/10/2047 0.10%
CWALT 2006-OA10 2A1 02.4058 08/25/2046 0.10%
DISH DBS CORP 05.1250 05/01/2020 0.10%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.10%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.10%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.10%
GFL ENVIRONMENTAL TLB L+275 05.1050 05/31/2025 0.10%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.10%
GNR 2017-H11 NI IO 02.0094 05/20/2067 0.10%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.10%
GSAA 2005-15 2A2 02.4658 01/25/2036 0.10%
JPMBB 2014-C19 XA IO 01.2775 04/15/2047 0.10%
KINETIC CONCEPT/KCI P/P 144A 07.8750 02/15/2021 0.10%
LENNAR CORP 04.7500 11/15/2022 0.10%
MSBAM 2013-C10 D P/P 144A 04.2185 07/15/2046 0.10%
MSBAM 2013-C12 E P/P 144A 04.9109 10/15/2046 0.10%
OUTFRONT MEDIA CAP LLC/C 05.2500 02/15/2022 0.10%
REPUBLIC OF SENEGAL REGS 06.2500 05/23/2033 0.10%
ROYAL BK SCOTLND GRP PLC USD 07.5000 12/29/2049 0.10%
SAMI 2007-AR1 2A1 02.3958 01/25/2037 0.10%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.10%
VOLT 2018-NPL5 A1B P/P 144A 04.7037 08/25/2048 0.10%
WFCM 2016-BNK1 XA IO 01.9284 08/15/2049 0.10%
BOISE CASCADE CO P/P 144A 05.6250 09/01/2024 0.09%
CONTINENTAL RES 04.5000 04/15/2023 0.09%
CWHL 2005-3 1A1 02.8358 04/25/2035 0.09%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.09%
FHR 4213 GI IO 04.0000 11/15/2041 0.09%
FNR 2012-136 PI IO 03.5000 11/25/2042 0.09%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.09%
FNR 2013-31 NI IO 03.0000 06/25/2041 0.09%
FNR 2013-6 BI IO 03.0000 12/25/2042 0.09%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.09%
GNR 2013-76 IO IO 03.5000 05/20/2043 0.09%
GRIFOLS TLB L+225 03.2879 01/31/2025 0.09%
HANESBRANDS INC P/P 144A 04.6250 05/15/2024 0.09%
IRON MOUNTAIN INCORPORATED 06.0000 08/15/2023 0.09%
JPMCC 2007-CB20 E P/P 144A 06.4410 02/12/2051 0.09%
LENNAR CORPORATION 04.7500 04/01/2021 0.09%
MATCH GROUP INC P/P 144A 05.0000 12/15/2027 0.09%
SPRINT TLB L+250 04.7500 02/02/2024 0.09%
STACR 2018-HQA1 M2 04.5158 09/25/2030 0.09%
T-MOBILE USA INC 05.3750 04/15/2027 0.09%
TEVA PHARMACEUTICALS NE USD 06.0000 04/15/2024 0.09%
WEEKLEY HOMES LLC 06.0000 02/01/2023 0.09%
WERNER TLB L+400 05.2583 07/24/2024 0.09%
AKER BP ASA P/P 144A 05.8750 03/31/2025 0.08%
BEACON ROOFING SUPP P/P 144A 04.8750 11/01/2025 0.08%
BUILDERS FIRSTSOURCE P/P 144A 05.6250 09/01/2024 0.08%
CENTURYLINK TLB L+275 02.7500 01/31/2025 0.08%
CFCRE 2011-C2 D P/P 144A 05.9474 12/15/2047 0.08%
CGCMT 2012-GC8 XA IO P/P 144A 01.9663 09/10/2045 0.08%
COMM 2012-CR3 E P/P 144A 04.9136 10/15/2045 0.08%
CPG INTL TL L+375 05.0828 05/05/2024 0.08%
FHR 4158 TI IO 03.0000 12/15/2042 0.08%
GLP CAPITAL LP / FIN II 05.3750 04/15/2026 0.08%
GNR 2011-H08 GI IO 01.2557 03/20/2061 0.08%
GNR 2011-H15 AI IO 01.5571 06/20/2061 0.08%
GNR 2017-H02 BI IO 02.3837 01/20/2067 0.08%
GNR 2017-H14 DI IO 01.6948 06/20/2067 0.08%
GOEASY LTD P/P 144A 07.8750 11/01/2022 0.08%
GREEKTOWN TLB L+300 03.7500 04/25/2024 0.08%
INFOR TLB6 L+275 03.7500 02/01/2022 0.08%
JPALT 2007-A2 12A1 02.4158 06/25/2037 0.08%
KINROSS GOLD CORP USD 05.9500 03/15/2024 0.08%
NETFLIX INC 05.5000 02/15/2022 0.08%
PENSKE AUTOMOTIVE GROUP 05.5000 05/15/2026 0.08%
PROVINCIA DE CORDOBA P/P 144A 07.1250 08/01/2027 0.08%
RUSSIAN FEDERATION P/P 144A 04.5000 04/04/2022 0.08%
SEVEN GENERATIONS P/P 144A 05.3750 09/30/2025 0.08%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.08%
WESTERN DIGITAL TLB L+175 04.0925 04/29/2023 0.08%
CAS 2017-C05 1B1 05.8158 01/25/2030 0.07%
CHUCK E CHEESE'S TLB L+325 05.4922 02/14/2021 0.07%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.07%
COMM 2014-UBS4 XA IO 01.3367 08/10/2047 0.07%
FHR 2990 LB 11.4289 06/15/2034 0.07%
FHR 4206 IP IO 03.0000 12/15/2041 0.07%
GNR 2013-183 AI IO 03.5000 10/20/2039 0.07%
GNR 2015-82 GI IO 03.5000 12/20/2038 0.07%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.07%
HELLENIC REPUBLIC REGS 03.0000 02/24/2036 0.07%
HUSKY TLB L+300 05.2018 03/28/2025 0.07%
PERTAMINA PERSERO PT P/P 144A 04.3000 05/20/2023 0.07%
WASTE MANAGEMENT INC. 04.7500 06/30/2020 0.07%
WFRBS 2011-C5 XA IO P/P 144A 01.9017 11/15/2044 0.07%
WFRBS 2012-C10 C 04.5253 12/15/2045 0.07%
BCAP 2012-RR5 4A8 02.2348 06/26/2035 0.06%
CAS 2015-C01 1M2 06.5158 02/25/2025 0.06%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.06%
CSMC 2007-C4 C P/P 144A 06.1846 09/15/2039 0.06%
GSMS 2012-GC6 D P/P 144A 05.8402 01/10/2045 0.06%
JPMCC 2012-LC9 D P/P 144A 04.5178 12/15/2047 0.06%
MEREDITH CORP TLB L+300 05.2422 01/31/2025 0.06%
ORTHO-CLINICAL TLB L+325 06/01/2025 0.06%
PROVINCIA DE CORDOBA REGS 07.4500 09/01/2024 0.06%
REP OF ARGENTINA USD 06.6250 07/06/2028 0.06%
REP OF INDONESIA P/P 144A 04.7500 01/08/2026 0.06%
REP OF INDONESIA P/P 144A 05.9500 01/08/2046 0.06%
STACR 2016-HQA2 M3B 07.3658 11/25/2028 0.06%
STACR 2017-DNA2 B1 07.3658 10/25/2029 0.06%
SWPTN 10YX10Y P 2.7575 USD 12/20/2027 JP 0.06%
SWPTN 10YX10Y P 2.795 USD 12/20/2027 JP 0.06%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.06%
SWPTN 2YX10Y R 1.376 EUR 09/30/2019 JP 0.06%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.06%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.06%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.06%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.06%
UBSBB 2012-C2 XA IO P/P 144A 01.4878 05/10/2063 0.06%
2.547 R ISWP US0003M P 04/25/2019 0.05%
2.75 R ISWP FWD US0003M P 06/20/2023 0.05%
BROOKFIELD RESID PRO P/P 144A 06.1250 07/01/2022 0.05%
CAS 2014-C03 1M2 05.2158 07/25/2024 0.05%
CWALT 2006-OA10 4A1 02.4058 08/25/2046 0.05%
GNR 2011-17 S IO 03.8848 02/20/2041 0.05%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.05%
GNR 2016-H11 HI IO 02.0888 01/20/2066 0.05%
HELLENIC REPUBLIC REGS 03.0000 02/24/2031 0.05%
PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.05%
PETROBRAS GLOBAL FINANCE USD 07.2500 03/17/2044 0.05%
SWPTN 2YX30Y R 1.758 EUR 09/30/2019 JP 0.05%
TRANSDIGM INC TLE 04.5759 05/30/2025 0.05%
WBCMT 2006-C26 AJ 06.2812 06/15/2045 0.05%
CWALT 2006-45T1 2A7 02.5558 02/25/2037 0.04%
DIAMOND RESORTS INTL P/P 144A 07.7500 09/01/2023 0.04%
FHR 3072 SM 04.2533 11/15/2035 0.04%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.04%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.04%
HELLENIC REPUBLIC REGS 03.0000 02/24/2027 0.04%
JACK OHIO FIN LLC/FI P/P 144A 06.7500 11/15/2021 0.04%
JPMCC 2007-CB20 C P/P 144A 06.4410 02/12/2051 0.04%
MSC 2012-C4 XA IO P/P 144A 02.2677 03/15/2045 0.04%
NOK/USD 12/19/2018 GSFX 0.04%
SEK/USD 12/19/2018 GSFX 0.04%
SWPTN 1MX10Y P 3.05 USD 10/05/2018 CI 0.04%
UNITED MEXICAN STATES USD 04.1500 03/28/2027 0.04%
WPX ENERGY INC 06.0000 01/15/2022 0.04%
3.026 R ISWP US0003M P 09/25/2028 0.03%
ARGENTINE REPUBLIC USD 04.6250 01/11/2023 0.03%
CAS 2015-C01 2M2 06.7658 02/25/2025 0.03%
CPTFEMU R 1.4 P 07/15/27 0.03%
FNR 2007-53 SP 16.0754 06/25/2037 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.03%
GNR 2013-99 VS IO 03.9416 07/16/2043 0.03%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.03%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.03%
OPTN FN30 3.5 12/06/18 PUT 98.640625 JPMC 0.03%
OPTN FN30 3.5 12/06/18 PUT 98.796875 JPMC 0.03%
PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.03%
SPRINT COMM P/P 144A 09.0000 11/15/2018 0.03%
SWPTN 10YX10Y R 2.7575 USD 12/20/2027 JP 0.03%
SWPTN 10YX10Y R 2.795 USD 12/20/2027 JP 0.03%
SWPTN 1YX30Y P 3.031 USD 06/14/2019 CI 0.03%
SWPTN 3MX2Y P 3.0325 USD 12/12/2018 GS 0.03%
SWPTN 6MX2Y P 2.8225 USD 10/03/2018 MS 0.03%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.03%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.03%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.02%
0.4419 R ISWP EUR006M P 01/30/2023 0.02%
1.955 R ISWP HKL3M P 04/23/2019 0.02%
1.96625 R ISWP HKL3M P 04/24/2019 0.02%
1.972 R ISWP FWD HKL3M P 04/25/2019 0.02%
2.5371 R ISWP US0003M P 05/01/2019 0.02%
3.05 R ISWP FWD US0003M P 12/19/2020 0.02%
3.05 R ISWP FWD US0003M P 12/19/2023 0.02%
ASCENT RESOURCES TLB L+650 08.6203 03/30/2023 0.02%
CAS 2015-C02 2M2 06.2158 05/25/2025 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.02%
CPTFEMU R 1.4275 P 08/15/27 0.02%
CPTFEMU R 1.4475 P 09/15/27 0.02%
CPURNSA R 1.89 P 07/05/22 0.02%
CPURNSA R 1.9225 P 07/03/22 0.02%
FHR 2976 LC 16.5057 05/15/2035 0.02%
FHR 3249 PS 15.1521 12/15/2036 0.02%
FNR 2005-75 GS 13.6026 08/25/2035 0.02%
FNS 397 2 IO 05.0000 09/25/2039 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2025 0.02%
HELLENIC REPUBLIC REGS 03.0000 02/24/2032 0.02%
NOK/USD 12/19/2018 BANKAM 0.02%
NOK/USD 12/19/2018 JPMCB 0.02%
NOK/USD 12/19/2018 SSBT 0.02%
OPTN FN30 3.5 12/06/18 CALL 98.015625 JPMC 0.02%
OPTN FN30 3.5 12/06/18 CALL 98.171875 JPMC 0.02%
OPTN FN30 3.5 12/06/18 CALL 98.328125 JPMC 0.02%
OPTN FN30 3.5 12/06/18 PUT 98.484375 JPMC 0.02%
PETROBRAS GLOBAL FIN USD 05.2990 01/27/2025 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.02%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.02%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.02%
SWPTN 1MX10Y R 3.087 USD 10/26/2018 CI 0.02%
SWPTN 1YX1Y R 3.02 USD 08/28/2019 MS 0.02%
SWPTN 3MX2Y P 2.925 USD 11/30/2018 JP 0.02%
SWPTN 3MX2Y P 3.01 USD 12/12/2018 GS 0.02%
SWPTN 5WX10Y P 3.1 USD 10/12/2018 GS 0.02%
SWPTN 5WX10Y P 3.2175 USD 11/02/2018 GS 0.02%
SWPTN 5WX10Y R 3.05 USD 11/02/2018 GS 0.02%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.02%
SWPTN LIABILITY 5WX10Y P 3.13 USD 11/02/2018 GS 0.02%
SWPTN LIABILITY 5WX10Y R 3.13 USD 11/02/2018 GS 0.02%
USD/CNH CALL 7.00 20190404 GSFX 0.02%
0.00 R ISWP BZDIOVRA P 01/02/2023 0.01%
0.378 R ISWP EUR006M P 01/24/2023 0.01%
0.65 R ISWP FWD SES3M P 12/19/2023 0.01%
1.3325 R ISWP SES3M P 01/24/2028 0.01%
1.3775 R ISWP SES3M P 01/30/2028 0.01%
1.96 R ISWP HKL3M P 04/27/2019 0.01%
2.40 R ISWP FWD NFIX3MID P 12/19/2023 0.01%
2.75 R ISWP FWD CDOR03 P 12/19/2028 0.01%
3.15 R ISWP FWD US0003M P 12/19/2028 0.01%
6.715 R ISWP IN00O/N P 12/22/2022 0.01%
7.92 R ISWP JIBA3M P 01/25/2028 0.01%
CAS 2015-C02 1M2 06.2158 05/25/2025 0.01%
CAS 2016-C06 1M2 06.4658 04/25/2029 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 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 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 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 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 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 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CPTFEMU R 1.42 P 08/15/27 0.01%
CPURNSA R 2.05 P 12/06/22 0.01%
CPURNSA R 2.068 P 12/21/22 0.01%
EUR/USD 12/19/2018 HSBCB 0.01%
FNR 2005-74 NK 16.4210 05/25/2035 0.01%
FNW 1998-W2 X IO 04.2772 06/25/2028 0.01%
GFL ENVIRONMENTAL DD L+275 05.1050 05/31/2025 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2023 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2033 0.01%
HELLENIC REPUBLIC REGS 03.0000 02/24/2040 0.01%
JPY/USD 11/19/2018 BCAP-FX 0.01%
JPY/USD 11/19/2018 SSBT 0.01%
NOK/USD 12/19/2018 BCAP-FX 0.01%
NOK/USD 12/19/2018 CITI 0.01%
NOK/USD 12/19/2018 UBS 0.01%
NZD/USD 10/17/2018 GSFX 0.01%
NZD/USD 10/17/2018 HSBCB 0.01%
PETROLEOS MEXICANOS USD 03.5000 01/30/2023 0.01%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.01%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.01%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.01%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.01%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.01%
SWPTN 1MX10Y P 3.25325 USD 10/26/2018 CI 0.01%
SWPTN 3MX2Y R 3.01 USD 12/12/2018 GS 0.01%
SWPTN 3MX2Y R 3.0325 USD 12/12/2018 GS 0.01%
SWPTN 5YX20Y P 1.11125 JPY 08/24/2023 BC 0.01%
SWPTN 5YX20Y R 1.11125 JPY 08/24/2023 BC 0.01%
SWPTN 6MX10Y P 2.034 GBP 02/07/2019 GS 0.01%
SWPTN 6MX2Y P 2.92875 USD 11/29/2018 MS 0.01%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.01%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.01%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.01%
TRIBUNE MEDIA TLB L+300 05.2422 12/27/2020 0.01%
UKRPI R 3.19 P 02/15/23 0.01%
UKRPI R 3.245 P 03/15/23 0.01%
UKRPI R 3.25 P 03/15/23 0.01%
UKRPI R 3.325 P 03/15/23 0.01%
-0.046 R ISWP FWD CHL6M P 09/21/2021 0.00%
-0.085 R ISWP SES3M P 01/30/2020 0.00%
-0.0925 R ISWP SES3M P 01/24/2020 0.00%
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-0.124 R ISWP FWD EONIA P 02/18/2020 0.00%
-0.1249 R ISWP EUR006M P 01/30/2020 0.00%
-0.14 R ISWP EUR006M P 01/24/2020 0.00%
-0.2225 R ISWP SES3M P 11/13/2019 0.00%
-0.23 R ISWP SES3M P 11/13/2019 0.00%
-0.245 R ISWP SES3M P 11/10/2019 0.00%
-0.246 R ISWP SES3M P 11/10/2019 0.00%
0.05 R ISWP FWD CHL6M P 12/19/2023 0.00%
0.09 R ISWP JPL6M P 12/19/2022 0.00%
0.135 R ISWP JPL6M P 01/15/2023 0.00%
0.148 R ISWP JPL6M P 02/16/2023 0.00%
0.29 R ISWP JPL6M P 12/19/2027 0.00%
0.354 R ISWP FWD EUR006M P 09/21/2021 0.00%
0.365 R ISWP JPL6M P 01/15/2028 0.00%
0.366 R ISWP JPL6M P 02/16/2028 0.00%
0.40 R ISWP FWD EUR006M P 12/19/2023 0.00%
0.85 R ISWP FWD GBL6M P 12/20/2019 0.00%
0.976 R ISWP EUR006M P 01/24/2028 0.00%
0.9987 R ISWP EUR006M P 01/30/2028 0.00%
1.125 R ISWP SES3M P 11/10/2027 0.00%
1.13 R ISWP SES3M P 11/10/2027 0.00%
1.1575 R ISWP SES3M P 11/13/2027 0.00%
1.16 R ISWP SES3M P 11/13/2027 0.00%
1.30 R ISWP FWD SES3M P 12/19/2028 0.00%
1.45 R ISWP FWD GBL6M P 12/19/2023 0.00%
1.65 R ISWP FWD GBL6M P 12/19/2028 0.00%
1.863 R ISWP FWD GBL6M P 09/22/2032 0.00%
1.912 R ISWP FWD GBL6M P 01/19/2032 0.00%
1.965 R ISWP HKL3M P 04/24/2019 0.00%
2.05 R ISWP FWD NOKOIB6M P 12/19/2023 0.00%
2.35 R ISWP FWD NOKOIB6M P 12/19/2028 0.00%
2.427 R ISWP AUDBB6M P 11/03/2022 0.00%
2.4525 R ISWP AUDBB6M P 11/15/2022 0.00%
2.50 R ISWP FWD AUDBB6M P 12/19/2023 0.00%
2.65 R ISWP FWD CDOR03 P 12/19/2023 0.00%
2.90 R ISWP FWD AUDBB6M P 12/19/2028 0.00%
2.90 R ISWP FWD NFIX3MID P 12/19/2028 0.00%
3.05125 R ISWP FWD US0003M P 03/07/2028 0.00%
3.11 R ISWP FWD US0003M P 02/27/2028 0.00%
3.1215 R ISWP FWD US0003M P 10/02/2028 0.00%
3.167 R ISWP FWD US0003M P 10/30/2028 0.00%
3.20 R ISWP FWD US0003M P 12/19/2048 0.00%
3.925 P ISWP MYR-KLI3M R 12/12/2022 JP 0.00%
7.77 R ISWP MXIBTIIE P 06/26/2023 0.00%
8.005 R ISWP MXIBTIIE P 06/16/2023 0.00%
8.02 R ISWP MXIBTIIE P 06/16/2023 0.00%
8.12 R ISWP MXIBTIIE P 12/24/2026 0.00%
8.20 R ISWP MXIBTIIE P 01/07/2027 0.00%
AUD/USD 10/17/2018 BANKAM 0.00%
AUD/USD 10/17/2018 HSBCB 0.00%
BACM 2004-4 XC IO P/P 144A 00.0862 07/10/2042 0.00%
BACM 2007-1 XW IO 00.4119 01/15/2049 0.00%
BRL/USD 01/03/2019 GSFX 0.00%
CAD/USD 10/17/2018 BANKAM 0.00%
CAD/USD 10/17/2018 GSFX 0.00%
CAD/USD 10/17/2018 HSBCB 0.00%
CAD/USD 10/17/2018 RBSF 0.00%
CAD/USD 10/17/2018 SSBT 0.00%
CAESARS ENTERTAINMENT CORP 0.00%
CHF/USD 12/19/2018 CSI-FX 0.00%
CHF/USD 12/19/2018 JPMCB 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 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.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.6 2063-05-11 200.0 05/11/2063 ML 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 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 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 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 CG 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 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML 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 MS 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 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
CPTFEMU R 1.4375 P 09/15/23 0.00%
CPTFEMU R 1.4413 P 09/15/23 0.00%
CPTFEMU R 1.4425 P 09/15/23 0.00%
CPTFEMU R 1.4438 P 09/15/23 0.00%
CSFB 2003-C3 AX IO P/P 144A 02.2209 05/15/2038 0.00%
CSFB 2005-C3 B 04.8820 07/15/2037 0.00%
EUR/USD 12/19/2018 BANKAM 0.00%
EUR/USD 12/19/2018 BCAP-FX 0.00%
EUR/USD 12/19/2018 CITI 0.00%
EUR/USD 12/19/2018 CSI-FX 0.00%
EUR/USD 12/19/2018 GSFX 0.00%
EUR/USD 12/19/2018 JPMCB 0.00%
EUR/USD 12/19/2018 RBSF 0.00%
EUR/USD 12/19/2018 SSBT 0.00%
EUR/USD 12/19/2018 UBS 0.00%
EUR/USD 12/19/2018 WPAC 0.00%
EURO-BTP FUTURE DEC18 IKZ8 0.00%
EURO-BUND FUTURE DEC18 RXZ8 0.00%
EURO-OAT FUTURE DEC18 OATZ8 0.00%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.00%
FNW 1998-W5 X IO 00.5223 07/25/2028 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-59 1AX IO 00.2758 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4299 11/15/2028 0.00%
GBP/USD 12/19/2018 BANKAM 0.00%
GBP/USD 12/19/2018 BCAP-FX 0.00%
GBP/USD 12/19/2018 GSFX 0.00%
GBP/USD 12/19/2018 HSBCB 0.00%
GBP/USD 12/19/2018 JPMCB 0.00%
GBP/USD 12/19/2018 SSBT 0.00%
GBP/USD 12/19/2018 UBS 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
HKD/USD 11/19/2018 BCAP-FX 0.00%
IDR/USD 12/19/2018 HSBCB 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 JP 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.14 P USL1M R 01/12/45 JP 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 P USL1M R 01/12/40 GS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 BC 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 CS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.450.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 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 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.FN30.600.08 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 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPY/USD 11/19/2018 BANKAM 0.00%
JPY/USD 11/19/2018 CITI 0.00%
JPY/USD 11/19/2018 CSI-FX 0.00%
JPY/USD 11/19/2018 GSFX 0.00%
JPY/USD 11/19/2018 HSBCB 0.00%
JPY/USD 11/19/2018 JPMCB 0.00%
JPY/USD 11/19/2018 RBSF 0.00%
JPY/USD 11/19/2018 UBS 0.00%
LBUBS 2007-C2 XW IO 00.4065 02/15/2040 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 CS 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.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0014 06/12/2043 0.00%
MXN/USD 10/17/2018 HSBCB 0.00%
NZD/USD 10/17/2018 RBSF 0.00%
NZD/USD 10/17/2018 SSBT 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.1875 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.375 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.53515625 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.5625 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.72265625 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.91015625 JPMC 0.00%
SEK/USD 12/19/2018 CITI 0.00%
SEK/USD 12/19/2018 SSBT 0.00%
SWPTN 1MX10Y R 2.89 USD 10/05/2018 CI 0.00%
SWPTN 1MX10Y R 2.97 USD 10/05/2018 CI 0.00%
SWPTN 1YX10Y R 1.522 GBP 10/05/2018 GS 0.00%
SWPTN 1YX1Y R 0.882 GBP 11/05/2018 JP 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS 0.00%
SWPTN 1YX20Y R 1.6975 GBP 10/05/2018 GS 0.00%
SWPTN 1YX2Y R -0.065 EUR 08/28/2019 GS 0.00%
SWPTN 1YX2Y R 0.025 EUR 08/28/2019 GS 0.00%
SWPTN 1YX30Y R 1.673 GBP 10/05/2018 GS 0.00%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.00%
SWPTN 5WX10Y R 2.93 USD 10/12/2018 GS 0.00%
SWPTN 5WX10Y R 3.015 USD 10/12/2018 GS 0.00%
SWPTN 6MX10Y P 1.98 GBP 02/11/2019 GS 0.00%
SWPTN 6MX10Y R 1.18 GBP 02/11/2019 GS 0.00%
SWPTN 6MX10Y R 1.234 GBP 02/07/2019 GS 0.00%
SWPTN 6WX10Y P 3.16 USD 10/09/2018 JP 0.00%
SWPTN 6WX10Y R 2.76 USD 10/09/2018 JP 0.00%
SWPTN LIABILITY 6MX10Y P 1.98 GBP 02/11/2019 GS 0.00%
SWPTN LIABILITY 6MX10Y R 1.18 GBP 02/11/2019 GS 0.00%
UKRPI P 3.3875 R 03/15/28 0.00%
UKRPI R 3.295 P 03/15/23 0.00%
US 10YR ULTRA FUT DEC18 UXYZ8 0.00%
VICI PROP 1 / VICI FC 08.0000 10/15/2023 0.00%
WBCMT 2006-C29 IO IO 00.3742 11/15/2048 0.00%
ZAR/USD 10/17/2018 GSFX 0.00%
0.21 R ISWP EURIBOR6MD P 05/04/2022 -0.01%
0.55 R ISWP FWD CHL6M P 12/19/2028 -0.01%
0.6075 R ISWP SES3M P 01/24/2023 -0.01%
0.66875 R ISWP SES3M P 01/30/2023 -0.01%
0.6975 R ISWP SES3M P 02/05/2023 -0.01%
0.766 R ISWP GBL6M P 09/15/2019 -0.01%
1.61375 R ISWP FWD EUR006M P 10/27/2027 -0.01%
1.815 R ISWP FWD EUR006M P 02/27/2028 -0.01%
3.10 R ISWP FWD US0003M P 12/19/2023 -0.01%
3.10 R ISWP FWD US0003M P 12/19/2028 -0.01%
3.14177 R ISWP US0003M P 09/28/2028 -0.01%
3.395 R ISWP FWD AUDBB6M P 03/07/2028 -0.01%
7.06 R ISWP JIBA3M P 01/25/2021 -0.01%
AUD/USD 10/17/2018 CITI -0.01%
AUD/USD 10/17/2018 CSI-FX -0.01%
AUD/USD 10/17/2018 RBSF -0.01%
AUD/USD 10/17/2018 SSBT -0.01%
AUD/USD 10/17/2018 WPAC -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -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.6 2063-05-11 500.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -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 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 ML -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 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 MS -0.01%
CPTFEMU P 1.71 R 08/15/37 -0.01%
CPTFEMU P 1.735 R 09/15/37 -0.01%
CPURNSA P 2.19 R 12/06/27 -0.01%
CPURNSA P 2.1939 R 12/21/27 -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.51171875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.66796875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.6953125 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.8515625 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 99.0078125 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 97.546875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 97.703125 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 97.859375 JPMC -0.01%
SEK/USD 12/19/2018 BANKAM -0.01%
SEK/USD 12/19/2018 BCAP-FX -0.01%
SEK/USD 12/19/2018 CSI-FX -0.01%
SEK/USD 12/19/2018 HSBCB -0.01%
SEK/USD 12/19/2018 JPMCB -0.01%
SEK/USD 12/19/2018 RBSF -0.01%
SEK/USD 12/19/2018 UBS -0.01%
SWPTN 1MX10Y P 3.167 USD 10/26/2018 CI -0.01%
SWPTN 1YX1Y R 2.58 USD 08/28/2019 MS -0.01%
SWPTN 1YX1Y R 2.8 USD 08/28/2019 MS -0.01%
SWPTN 1YX2Y R 0.115 EUR 08/28/2019 GS -0.01%
SWPTN 3MX2Y P 3.005 USD 11/30/2018 JP -0.01%
SWPTN 3MX2Y P 3.085 USD 11/30/2018 JP -0.01%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.01%
SWPTN LIABILITY 5YX20Y P 1.11125 JPY 08/24/2023 BC -0.01%
SWPTN LIABILITY 5YX20Y R 1.11125 JPY 08/24/2023 BC -0.01%
SWPTN LIABILITY 6MX10Y P 2.034 GBP 02/07/2019 GS -0.01%
SWPTN LIABILITY 6MX10Y R 1.234 GBP 02/07/2019 GS -0.01%
UKRPI P 3.34 R 02/15/28 -0.01%
UKRPI P 3.4025 R 03/15/28 -0.01%
USD/CNH CALL 7.20 20190404 GSFX -0.01%
0.00 R ISWP BZDIOVRA P 01/02/2023 -0.02%
1.00 R ISWP FWD EUR006M P 12/19/2028 -0.02%
2.02 R ISWP CDOR03 P 11/02/2022 -0.02%
2.0525 R ISWP CDOR03 P 11/14/2022 -0.02%
2.74875 R ISWP FWD US0003M P 10/27/2027 -0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -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%
CPTFEMU P 1.7138 R 08/15/37 -0.02%
CPURNSA P 2.085 R 07/03/27 -0.02%
OPTN FN30 3.5 12/06/18 CALL 98.35546875 JPMC -0.02%
OPTN FN30 3.5 12/06/18 PUT 98.015625 JPMC -0.02%
OPTN FN30 3.5 12/06/18 PUT 98.171875 JPMC -0.02%
OPTN FN30 3.5 12/06/18 PUT 98.328125 JPMC -0.02%
SWPTN 1MX10Y R 3.167 USD 10/26/2018 CI -0.02%
SWPTN 1YX5Y P 3.09 USD 06/14/2019 CI -0.02%
SWPTN 3MX4Y R 3.02125 USD 12/12/2018 GS -0.02%
SWPTN 5WX10Y P 3.015 USD 10/12/2018 GS -0.02%
SWPTN 5WX10Y P 3.13 USD 11/02/2018 GS -0.02%
SWPTN 5WX10Y R 3.13 USD 11/02/2018 GS -0.02%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.02%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.02%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.02%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.02%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.02%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.02%
SWPTN LIABILITY 5WX10Y P 3.2175 USD 11/02/2018 GS -0.02%
SWPTN LIABILITY 5WX10Y R 3.05 USD 11/02/2018 GS -0.02%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.02%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.02%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.02%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.02%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.02%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.02%
UKRPI P 3.34 R 03/15/28 -0.02%
5.93 R ISWP MXIBTIIE P 10/06/2021 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.03%
CPTFEMU P 1.71 R 07/15/37 -0.03%
CPURNSA P 2.05 R 07/05/27 -0.03%
NOK/USD 12/19/2018 RBSF -0.03%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.03%
0.503 R ISWP FWD EUR006M P 03/21/2023 -0.04%
2.936 R ISWP US0003M P 09/25/2028 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04%
SWPTN 1MX10Y P 2.97 USD 10/05/2018 CI -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.05%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.05%
SWPTN 3MX4Y P 3.02125 USD 12/12/2018 GS -0.05%
SWPTN 7YX23Y R 3.0 USD 04/04/2025 MS -0.05%
SWPTN 7YX23Y R 3.0 USD 04/14/2025 MS -0.05%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.05%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.05%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.05%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.05%
2.7725 R ISWP FWD US0003M P 03/21/2023 -0.06%
CDX CDX.NA.HY.31 500.0 12/20/2023 -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
6.16 R ISWP MXIBTIIE P 01/01/2026 -0.08%
SWPTN 10YX10Y P 2.01 EUR 12/20/2027 GS -0.08%
SWPTN 10YX10Y R 2.01 EUR 12/20/2027 GS -0.08%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.08%
SWPTN 2YX20Y R 1.733 EUR 09/30/2019 JP -0.10%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.10%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.11%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.12%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.24%
FNMA FN30 TBA 03.0000 10/01/2048 -1.04%
FNMA FN30 TBA 04.5000 10/01/2048 -1.12%

Prior top 10 holdings

Top 10 holdings as of 09/30/18
Net cash
Fnma Fn30 Tba 03.5000 10/01/2048
Fnma Fn30 Tba 04.0000 11/01/2048
Fnma Fn30 Tba 02.5000 10/01/2048
Gnma Gii30 Tba 04.5000 10/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Spst 2018-5 A 02.9122 09/24/2019
Apple 02.0000 05/06/2020
Cwalt 2005-59 1a1 02.4953 11/20/2035
Csmc 2008-C1 Aj P/P 144a 06.1701 02/15/2041
Holdings represent 38.53% of portfolio
Top 10 holdings as of 08/31/18
Net cash
Fnma Fn30 Tba 03.5000 10/01/2048
Fnma Fn30 Tba 04.0000 10/01/2048
Fnma Fn30 Tba 02.5000 09/01/2048
Gnma Gii30 Tba 04.5000 09/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Spst 2018-5 A 02.7660 09/24/2019
Apple 02.0000 05/06/2020
Cwalt 2005-59 1a1 02.3994 11/20/2035
Csmc 2008-C1 Aj P/P 144a 06.1702 02/15/2041
Holdings represent 37.43% of portfolio
Top 10 holdings as of 07/31/18
Net cash
Fnma Fn30 Tba 03.5000 09/01/2048
Fnma Fn30 Tba 04.0000 08/01/2048
Fnma Fn30 Tba 02.5000 08/01/2048
Gnma Gii30 Tba 04.5000 08/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Spst 2018-5 A 00.0000 09/24/2019
Apple 02.0000 05/06/2020
Cwalt 2005-59 1a1 02.4163 11/20/2035
Csmc 2008-C1 Aj P/P 144a 05.9713 02/15/2041
Holdings represent 39.18% of portfolio
Top 10 holdings as of 06/30/18
Net cash
Fnma Fn30 Tba 03.5000 08/01/2048
Fnma Fn30 Tba 02.5000 07/01/2048
Gnma Gii30 Tba 04.5000 07/01/2048
Fhr 3835 Fo Po 00.0000 04/15/2041
Cwalt 2005-59 1a1 02.4138 11/20/2035
Apple 02.0000 05/06/2020
Csmc 2008-C1 Aj P/P 144a 06.1704 02/15/2041
Fhr 3852 Nt 03.9268 05/15/2041
Commonwealth Bk Aust P/P 144a 02.2000 11/09/2020
Holdings represent 33.35% of portfolio

Fixed income statistics as of 09/30/18

Average effective maturity 5.21 yrs.
Average effective duration -0.41 yrs.
Average price $80.52

Sector weightings as of 09/30/18

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Commercial MBS 14.09% 0.42 7.85% 0.25 21.94% 0.67
Agency CMO 17.39% 0.64 0.34% 0.01 17.73% 0.65
High-yield corporate bonds 14.69% 0.56 -0.89% -0.04 13.80% 0.52
Investment-grade corporate bonds 11.38% 0.29 0.00% 0.00 11.38% 0.29
Agency pass-through 0.00% 0.00 11.26% 0.95 11.26% 0.95
Bank loans 6.67% 0.29 0.00% 0.00 6.67% 0.29
Residential MBS (non-agency) 6.52% 0.33 0.00% 0.00 6.52% 0.33
Emerging-market bonds 3.18% 0.19 0.00% 0.00 3.18% 0.19
Asset-backed securities (ABS) 2.79% 0.02 0.00% 0.00 2.79% 0.02
International Treasury/agency 1.72% 0.13 0.00% -0.10 1.72% 0.03
Equity investments 0.00% 0.00 0.00% 0.00 0.00% 0.00
Interest rate swaps 0.00% 0.00 0.00% -2.85 0.00% -2.85
U.S. Treasury/agency 0.00% 0.00 0.00% 0.06 0.00% 0.06
Net cash 21.57% 0.00 0.00% 0.00 21.57% 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 09/30/18

0 - 1 yr. 12.26%
1 - 5 yrs. 30.61%
5 - 10 yrs. 55.05%
10 - 15 yrs. 1.29%
Over 15 yrs. 0.79%

Quality rating as of 09/30/18

AAA 35.92%
AA 5.66%
A 5.94%
BBB 14.06%
BB 22.35%
B 5.42%
CCC and Below 3.43%
Not Rated 7.22%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among fixed-income strategies and sectors may hurt performance. Bond prices may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk (including perceptions about 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 and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. 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 greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

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 09/30/18

United States 90.12%
Greece 1.72%
Canada 1.18%
Australia 0.99%
Mexico 0.73%
Brazil 0.64%
France 0.63%
United Kingdom 0.54%
Indonesia 0.53%
 
Other
2.92%
Netherlands 0.45%
Switzerland 0.36%
Argentina 0.35%
Russia 0.29%
Sweden 0.27%
Luxembourg 0.22%
Ireland 0.21%
Norway 0.18%
Peru 0.16%
Venezuela 0.14%
Ivory Coast 0.13%
Senegal 0.10%
Hong Kong 0.07%
New Zealand 0.03%
India 0.01%
Japan 0.01%
European Community -0.06%

Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 0.70% 0.90% 1.45% 0.75% 0.95% 0.45% 0.45%
What you pay 0.70% 0.90% 1.45% 0.75% 0.95% 0.45% 0.45%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 1.00% 0.00% 0.00% 0.75% -- -- --
$50,000-$99,999 1.00% 0.00% 0.00% 0.75% -- -- --
$100,000-$249,999 1.00% -- 0.00% 0.75% -- -- --
$250,000-$499,999 1.00% -- 0.00% 0.75% -- -- --
$500,000-$999,999 0.00% -- -- -- -- -- --
$1M-$4M 0.00% -- -- -- -- -- --
$4M-$50M 0.00% -- -- -- -- -- --
$50M+ 0.00% -- -- -- -- -- --

CDSC

  Class A (sales for $500,000+) Class B Class C Class M Class R Class R6 Class Y
0 to 9 mts. 1.00% 1.00% 1.00% -- -- -- --
9 to 12 mts. 1.00% 1.00% 1.00% -- -- -- --
2 yrs. 0.00% 0.50% 0.00% -- -- -- --
3 yrs. 0.00% -- 0.00% -- -- -- --
4 yrs. 0.00% -- 0.00% -- -- -- --
5 yrs. 0.00% -- 0.00% -- -- -- --
6 yrs. 0.00% -- 0.00% -- -- -- --
7+ yrs. 0.00% -- 0.00% -- -- -- --

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

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

Consider these risks before investing: Allocation of assets among fixed-income strategies and sectors may hurt performance. Bond prices may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk (including perceptions about 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 and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings. 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 greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. You can lose money by investing in the fund. The fund's prospectus lists additional risks.

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.