Putnam Hartford Capital Manager

Putnam Mortgage Securities Subaccount

The subaccount seeks as high a level of current income as Putnam Management believes is consistent with preservation of capital.

Putnam Mortgage Securities Subaccount

Fund description

The subaccount typically divides its assets between U.S. Treasury securities and Government National Mortgage Association certificates (Ginnie Maes). The fund takes a slightly more aggressive approach to total return by investing in longer-term securities. Investors should have an investment horizon of at least three years to give their investment the full potential to benefit from a typical interest-rate cycle.

Sales story

Seeking opportunities through mortgage-backed securitiesBroad securitized opportunities:The fund invests in mortgage sectors, including agency MBS and CMOs, and non-agency RMBS and CMBS, and ABS.Higher potential returns: By investing in mortgage-backed bonds, the fund can offer the potential for higher returns than an investment strategy focused only on agency MBS.Leading research: The fund's portfolio managers use proprietary models to assist in the evaluation of mortgage-backed bonds and to manage the fund's interest-rate risk.

Management team

Lipper ranking ‡ as of 06/30/18

Category: General U.S. Government Funds

  Percentile ranking Rank/Funds in category
10 yrs. 21% 9/43
1 yr. 9% 5/57
3 yrs. 83% 47/56
5 yrs. 45% 24/53

Risk characteristics as of 06/30/18

Avg. Eff. Maturity 11.41
Avg. Price 82.51
Avg. Eff. Duration 5.32
Avg. Coupon 6.64
Avg. Yield to Maturity 6.20
Alpha (%) --
Beta 0.50
R squared 0.67
Standard deviation (3 yrs.) 1.85

Maturity details

0 to 1 yr. -49.46%
1 to 5 yrs. 18.76%
5 to 10 yrs. 117.31%
10 to 15 yrs. 13.39%
Over 15 yrs. 0.00%

Quality ratings

AAA 133.80%
A 8.83%
BBB 3.25%
BB 1.83%
B 6.76%
CCC and Below 2.19%
Not Rated -56.66%

Maturity detail includes only cash bonds and cash equivalents.

Mutual funds that invest in government securities are not guaranteed. Mortgage backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-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. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Quick facts as of 06/30/18

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 629
Turnover (fiscal year end) 1,188%
Net Assets $60M
Inception Date 02/01/00

Holdings

Top 10 holdings as of 06/30/18

Fnma Fn30 Tba 03.0000 08/01/2048 12.94%
Gnma Gii30 Tba 04.0000 07/01/2048 10.28%
Gnma Gii30 Tba 03.5000 08/01/2048 8.38%
Gnma Gii30 Tba 03.0000 07/01/2048 8.17%
Fhlmc Fh30g Tba 03.0000 08/01/2048 8.08%
Gnma Gii30 Tba 04.5000 07/01/2048 6.95%
Fnma Fn30 Tba 03.5000 08/01/2048 6.65%
Fnr 2007-95 A3 02.3411 08/27/2036 3.02%
Fnma Fn30 Av7064 03.0000 05/01/2045 2.50%
Gnma Gii30 626947 04.0000 05/20/2045 2.32%
Top 10 holdings, total: 69.29%

 | Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 03/31/18
US TREASURY N/B 04.5000 08/15/2039 14.59%
FNMA FN30 TBA 04.0000 04/01/2048 4.94%
FNMA FN30 AL9657 03.5000 01/01/2047 3.25%
FNMA FN30 TBA 03.5000 05/01/2048 3.21%
FNR 2007-95 A3 02.1215 08/27/2036 2.89%
FNMA FN30 AV7064 03.0000 05/01/2045 2.63%
GNMA GII30 626947 04.0000 05/20/2045 2.26%
US TREASURY N/B 06.2500 08/15/2023 1.89%
GNMA GII30 626944 03.5000 05/20/2045 1.74%
GNMA GII30 TBA 05.0000 04/01/2048 1.69%
GNMA GII30 TBA 04.5000 04/01/2048 1.67%
GNMA GII30 TBA 04.5000 05/01/2048 1.66%
FNMA FN30 TBA 03.0000 04/01/2048 1.56%
FNMA FN40 BF0169 3.500000 01/01/2057 1.52%
FHLMC FH30G Q46811 03.5000 02/01/2047 1.51%
FNMA FN30 AV7065 03.5000 05/01/2045 1.51%
FNMA FN30 TBA 02.5000 04/01/2048 1.51%
GNMA GII30P 784109 04.0000 10/20/2045 1.47%
FHLMC FH30G Q43898 03.5000 10/01/2046 1.46%
BF0101 03.5000 06/01/2056 1.45%
FNMA FN30 AS8648 03.0000 01/01/2047 1.45%
FNMA FN30 AX5483 03.5000 10/01/2045 1.44%
GNMA GII30 626939 04.0000 04/20/2045 1.42%
FHLMC FH30G Q41024 03.0000 06/01/2046 1.41%
GNMA GII30 626906 03.5000 01/20/2045 1.41%
FNMA FN30 BC1155 03.0000 06/01/2046 1.37%
FHS 315 PO PO 00.0000 09/15/2043 1.30%
FNMA FN30 AX5472 03.5000 08/01/2045 1.29%
FNMA FN30 AX5554 03.0000 10/01/2046 1.29%
G60183 04.0000 12/01/2044 1.14%
FHLMC FH30G G60314 04.0000 09/01/2045 0.96%
FNMA FN30 AL6919 05.5000 01/01/2038 0.92%
FHR 3835 FO PO 00.0000 04/15/2041 0.85%
FNMA FN30 AX5516 04.0000 03/01/2046 0.80%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.68%
GNMA 10000 BE3158 03.5000 11/20/2047 0.65%
GNMA GII30 609146 04.5000 05/20/2044 0.59%
GNR 2016-H07 PI IO 02.2484 03/20/2066 0.52%
GNR 2016-H11 HI IO 02.0850 01/20/2066 0.51%
FHR 3065 DC 14.5302 03/15/2035 0.48%
GNMA 10000 BC8223 03.5000 11/20/2047 0.48%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.44%
FNR 2008-24 SP 16.4212 02/25/2038 0.40%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.40%
GNR 2016-H23 NI IO 02.1218 10/20/2066 0.40%
FEDERAL NATIONAL MORTGAGE ASSN 0.37%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.37%
GNR 2015-H10 HI IO 01.8051 04/20/2065 0.37%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.36%
GNR 2016-H27 GI IO 02.3256 12/20/2066 0.36%
GNMA GII30 MA2828 04.5000 05/20/2045 0.35%
FHR 4436 SC IO 04.3734 02/15/2045 0.33%
GNR 2017-H06 MI IO 02.0968 02/20/2067 0.33%
GNMA GII30 609117 04.5000 02/20/2044 0.32%
GNMA GII30 BE1437 03.5000 11/20/2047 0.32%
GNMA GII30 BE1441 03.5000 11/20/2047 0.32%
GNR 2011-156 SK IO 04.7779 04/20/2038 0.32%
GNR 2016-H13 IK IO 02.5944 06/20/2066 0.32%
GNR 2017-H03 KI IO 02.2536 01/20/2067 0.32%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.31%
GNR 2015-H22 GI IO 02.5672 09/20/2065 0.31%
FNMA FN30 AY8222 04.5000 05/01/2045 0.30%
GNR 2017-H08 EI IO 02.5080 02/20/2067 0.30%
GNMA GII30 4114 05.5000 04/20/2038 0.29%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.29%
GNR 2011-H07 FI IO 01.2397 02/20/2061 0.28%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.28%
GNR 2016-H17 DI IO 02.1350 07/20/2066 0.28%
GNR 2016-H18 QI IO 02.0111 06/20/2066 0.28%
FNR 12-118 PI IO 04.0000 06/25/2042 0.27%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.27%
GNR 2015-H20 CI IO 01.8756 08/20/2065 0.27%
GNR 2015-H22 AI IO 01.7071 09/20/2065 0.27%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.26%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.26%
GNMA GII30 609118 04.5000 02/20/2034 0.25%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.25%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.25%
GNR 2016-H03 AI IO 01.8573 01/20/2066 0.25%
FHR 4621 QI IO 03.5000 10/15/2046 0.24%
GNR 2017-H04 BI IO 02.3013 02/20/2067 0.24%
GNR 2017-H08 GI IO 02.7114 02/20/2067 0.24%
FN30 06.000 2007 0.23%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.23%
GNR 2014-H21 AI IO 01.4842 10/20/2064 0.23%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.22%
FHR 4546 PI IO 04.0000 12/15/2045 0.22%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.22%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.22%
GNR 2015-H13 AI IO 01.8569 06/20/2065 0.22%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.22%
GNR 2016-H04 KI IO 01.6920 02/20/2066 0.22%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.21%
GNR 2017-H08 NI IO 02.3986 03/20/2067 0.21%
SPST 2017-LD1 A 02.6715 11/25/2050 0.21%
FHR 4165 TI IO 03.0000 12/15/2042 0.20%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.20%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.20%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.20%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.20%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.20%
GNR 2016-H06 DI IO 01.6216 07/20/2065 0.20%
FHR 4158 TI IO 03.0000 12/15/2042 0.19%
FHR 4452 QI IO 04.0000 11/15/2044 0.19%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.19%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.19%
GNR 2015-H23 TI IO 01.9026 09/20/2065 0.19%
GNR 2016-H24 IO IO 02.0985 09/20/2066 0.19%
GNR 2017-H10 MI IO 01.7972 04/20/2067 0.19%
FNMA FN30 AW7089 04.5000 07/01/2044 0.18%
GNMA GII30 BB0107 04.7000 08/20/2067 0.18%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.18%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.18%
GNR 2016-H10 AI IO 01.5987 04/20/2066 0.18%
GNR 2016-H14 AI IO 02.0051 06/20/2066 0.18%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.18%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.18%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.18%
FHR 4500 GI IO 04.0000 08/15/2045 0.17%
FNR 2011-4 CS 09.1570 05/25/2040 0.17%
GNR 2015-H04 AI IO 01.5991 12/20/2064 0.17%
GNR 2015-H25 BI IO 01.7593 10/20/2065 0.17%
GNR 2016-H06 HI IO 02.0548 02/20/2066 0.17%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.17%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.17%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.17%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.17%
FEDERAL NATIONAL MORTGAGE ASSN 0.16%
GII30 06.000 1997 0.16%
GNMA GII30 BB3013 03.5000 11/20/2047 0.16%
GNMA GII30 BB3019 03.5000 11/20/2047 0.16%
GNMA GII30 BE1440 03.5000 11/20/2047 0.16%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.16%
GNR 2014-H18 CI IO 01.5923 09/20/2064 0.16%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.16%
GNR 2015-H16 XI IO 01.9010 07/20/2065 0.16%
GNR 2015-H24 HI IO 02.0294 09/20/2065 0.16%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.16%
GNR 2017-H09 IO IO 01.7948 04/20/2067 0.16%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.16%
FEDERAL HOME LOAN MTG CORP 0.15%
FHR 4425 IO IO 04.0000 01/15/2045 0.15%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.15%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.15%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.15%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.15%
GNR 2014-H25 BI IO 01.6880 12/20/2064 0.15%
GNR 2016-H04 HI IO 02.3650 07/20/2065 0.15%
GNR 2018-H05 ID 02.0570 03/20/2068 0.15%
FHR 4019 JI IO 04.0000 05/15/2041 0.14%
FHR 4136 IQ IO 03.5000 11/15/2042 0.14%
FHR 4530 HI IO 04.0000 11/15/2045 0.14%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.14%
TEMP GNH-537 AI IO 01.6617 08/20/2067 0.14%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.13%
GNR 2016-H06 AI IO 01.8620 02/20/2066 0.13%
GNR 2016-H24 JI IO 02.0208 11/20/2066 0.13%
GNR 2017-H14 JI IO 02.1612 06/20/2067 0.13%
GNR 2017-H25 AI IO 02.2691 12/20/2067 0.13%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.13%
FEDERAL NATIONAL MORTGAGE ASSN 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 0.12%
FHR 4171 NI IO 03.0000 06/15/2042 0.12%
FNR 2005-106 JC 14.3209 12/25/2035 0.12%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.12%
GNR 2013-182 SP IO 04.8779 12/20/2043 0.12%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.12%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.12%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.12%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.12%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.12%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.12%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.12%
FHR 4122 TI IO 04.5000 10/15/2042 0.11%
FHR 4150 DI IO 03.0000 01/15/2043 0.11%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.11%
SWPTN 17DX10Y R 2.8435 USD 04/06/2018 GS 0.11%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.11%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.11%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.11%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.11%
FNR 2006-8 HP 17.7045 03/25/2036 0.10%
FNR 2007-53 SP 17.3378 06/25/2037 0.10%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.10%
GNR 2016-H08 GI IO 01.4305 04/20/2066 0.10%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.10%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.10%
FHR 3072 SM 04.2533 11/15/2035 0.09%
FHR 4018 DI IO 04.5000 07/15/2041 0.09%
FHR 4141 PI IO 03.0000 12/15/2042 0.09%
FHR 4201 JI IO 03.0000 12/15/2041 0.09%
FNR 2005-122 SE 16.5498 11/25/2035 0.09%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.09%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.09%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.09%
GNR 2017-H06 EI IO 01.5829 02/20/2067 0.09%
FEDERAL NATIONAL MORTGAGE ASSN 0.08%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.08%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.08%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.08%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.08%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.08%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.08%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.08%
FEDERAL HOME LOAN MTG CORP 0.07%
FHR 2990 LB 12.4049 06/15/2034 0.07%
FHR 3408 EK 18.6443 04/15/2037 0.07%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.07%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.07%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.07%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.07%
FHR 3996 IK IO 04.0000 03/15/2039 0.06%
FHR 4136 ES IO 04.4734 11/15/2042 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FNR 2005-75 GS 14.6355 08/25/2035 0.06%
FNR 2006-62 PS 28.6710 07/25/2036 0.06%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.06%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.06%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.06%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.06%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.06%
GOVERNMENT NATIONAL MORTGAGE A 0.06%
SWPTN 5WX10Y R 2.852 USD 04/17/2018 JP 0.06%
2.605 R ISWP FWD US0003M P 06/20/2020 0.05%
FEDERAL HOME LOAN MTG CORP 0.05%
FHS 304 C37 IO 03.5000 12/15/2027 0.05%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.05%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.05%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.05%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.05%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.05%
GNR 2014-147 MI IO 03.5000 07/20/2039 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.05%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.05%
SWPTN 4WX10Y R 2.8 USD 04/24/2018 JP 0.05%
SWPTN 6MX2Y P 2.49275 USD 07/16/2018 MS 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%
FHR 4199 CI IO 03.5000 12/15/2037 0.04%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.04%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.04%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.04%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.04%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.04%
OPTN FN30 3.0 04/05/18 CALL 96.3515625 JPMC 0.04%
OPTN FN30 3.0 04/05/18 CALL 96.4375 JPMC 0.04%
OPTN FN30 3.0 04/05/18 CALL 96.4453125 JPMC 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 2YX10Y P 2.2525 USD 11/12/2019 JP 0.04%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.04%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.04%
SWPTN 5WX10Y R 2.787 USD 04/17/2018 JP 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%
FEDERAL HOME LOAN MTG CORP 0.03%
FNR 2005-83 QP 12.5281 11/25/2034 0.03%
FNR 2011-123 KS IO 04.7285 10/25/2041 0.03%
GNR 2011-81 SB IO 04.9186 11/16/2036 0.03%
GOVERNMENT NATIONAL MORTGAGE A 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 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 1MX10Y R 2.833 USD 04/05/2018 MS 0.03%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.03%
SWPTN 4WX10Y R 2.735 USD 04/24/2018 JP 0.03%
SWPTN 6MX2Y P 2.61575 USD 07/26/2018 MS 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%
FEDERAL HOME LOAN MTG CORP 0.02%
FEDERAL NATIONAL MORTGAGE ASSN 0.02%
FN30 05.000 2009 0.02%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.02%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
OPTN FN30 2.5 04/05/18 CALL 92.9921875 JPMC 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 2.82 USD 04/09/2018 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 2YX3Y P 2.43 USD 02/15/2019 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 2.68 USD 07/16/2018 JP 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%
SWPTN LIABILITY 5WX10Y P 2.935 USD 04/30/2018 CI 0.02%
2.85 R ISWP FWD US0003M P 06/20/2048 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
FEDERAL HOME LOAN MTG CORP 0.01%
FEDERAL NATIONAL MORTGAGE ASSN 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FNW 2003-W8 3F2 02.2215 05/25/2042 0.01%
GN30 06.500 2007 0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.01%
OPTN FN30 3.0 05/07/18 PUT 96.8125 JPMC 0.01%
OPTN FN30 3.0 05/07/18 PUT 97.0 JPMC 0.01%
OPTN FN30 3.0 05/07/18 PUT 97.125 JPMC 0.01%
OPTN FN30 3.0 05/07/18 PUT 97.25 JPMC 0.01%
SWPTN 1MX10Y R 2.75 USD 04/09/2018 GS 0.01%
SWPTN 1MX10Y R 2.763 USD 04/05/2018 MS 0.01%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 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 2YX5Y R 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 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 6MX2Y P 2.8375 USD 08/28/2018 MS 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
2.75 R ISWP FWD US0003M P 06/20/2023 0.00%
2.7825 R ISWP US0003M P 04/09/2028 0.00%
2.785 R ISWP FWD US0003M P 05/02/2028 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%
FHR 3300 PO PO 00.0000 02/15/2037 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
GN30 06.500 2005 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GOVERNMENT NATIONAL MORTGAGE A 0.00%
GOVERNMENT NATIONAL MORTGAGE A 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 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 CS 0.00%
IOS.FN30.350.13 P US0001M R 01/12/44 JP 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 GS 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 BA 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 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 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.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.500.10 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.FN30.600.08 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%
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 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.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
OPTN FN30 2.5 04/05/18 PUT 92.9921875 JPMC 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%
OPTN FN30 3.0 05/07/18 PUT 96.140625 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 1MX1Y R 2.736 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 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 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 3MX1Y P 3.01375 USD 06/05/2018 GS 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%
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%
2.903 R ISWP FWD US0003M P 04/09/2028 -0.01%
2.917 R ISWP FWD US0003M P 04/19/2028 -0.01%
CPURNSA P 2.085 R 07/03/27 -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
OPTN FN30 3.0 04/05/18 CALL 97.3203125 JPMC -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 96.265625 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.390625 JPMC -0.01%
SWPTN 13WX1Y R 2.71375 USD 05/14/2018 MS -0.01%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS -0.01%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.01%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 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 3MX2Y P 2.646 USD 05/29/2018 MS -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%
2.9075 R ISWP FWD US0003M P 04/17/2028 -0.02%
CPURNSA P 2.05 R 07/05/27 -0.02%
OPTN FN30 3.0 04/05/18 CALL 96.8359375 JPMC -0.02%
OPTN FN30 3.0 04/05/18 CALL 96.9296875 JPMC -0.02%
OPTN FN30 3.0 04/05/18 CALL 96.9296875 JPMC -0.02%
SWPTN 1MX10Y P 2.805 USD 04/27/2018 CI -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 5WX10Y P 2.935 USD 04/30/2018 CI -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%
OPTN FN30 3.0 05/07/18 CALL 96.8125 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 1MX10Y R 2.89 USD 04/09/2018 GS -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 3MX2Y P 2.41625 USD 04/26/2018 MS -0.04%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -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 2.505 USD 11/13/2024 MS -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 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%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.06%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.06%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.06%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.06%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.06%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.06%
SWPTN 1MX10Y R 2.883 USD 04/19/2018 BA -0.07%
SWPTN 1MX10Y R 2.903 USD 04/05/2018 MS -0.07%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.07%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.07%
SWPTN 3MX2Y P 2.315 USD 04/16/2018 MS -0.07%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.08%
SWPTN 4WX10Y R 2.865 USD 04/24/2018 JP -0.08%
SWPTN 5WX10Y R 2.917 USD 04/17/2018 JP -0.09%
SWPTN 17DX10Y R 2.9175 USD 04/06/2018 GS -0.10%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.10%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.10%
2.90 R ISWP FWD US0003M P 06/20/2028 -0.11%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.11%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.11%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.11%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.11%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.11%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.15%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.15%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.19%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.20%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.20%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.24%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.24%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.27%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.28%
FHLMC FH30G TBA 03.0000 04/01/2048 -1.56%
GNMA GII30 TBA 04.0000 04/01/2048 -1.65%
FNMA FN30 TBA 04.5000 04/01/2048 -1.68%
GNMA GII30 TBA 03.5000 04/01/2048 -3.24%

Prior top 10 holdings

Top 10 holdings as of 06/30/18
1: Fnma Fn30 Tba 03.0000 08/01/2048 12.94%
2: Gnma Gii30 Tba 04.0000 07/01/2048 10.28%
3: Gnma Gii30 Tba 03.5000 08/01/2048 8.38%
4: Gnma Gii30 Tba 03.0000 07/01/2048 8.17%
5: Fhlmc Fh30g Tba 03.0000 08/01/2048 8.08%
6: Gnma Gii30 Tba 04.5000 07/01/2048 6.95%
7: Fnma Fn30 Tba 03.5000 08/01/2048 6.65%
8: Fnr 2007-95 A3 02.3411 08/27/2036 3.02%
9: Fnma Fn30 Av7064 03.0000 05/01/2045 2.50%
10: Gnma Gii30 626947 04.0000 05/20/2045 2.32%
Holdings represent 69.29% of portfolio
Top 10 holdings as of 05/31/18
1: Gnma Gii30 Tba 04.0000 06/01/2048 10.18%
2: Gnma Gii30 Tba 03.5000 06/01/2048 8.31%
3: Gnma Gii30 Tba 03.0000 06/01/2048 8.09%
4: Gnma Gii30 Tba 04.5000 06/01/2048 6.88%
5: Fnma Fn30 Tba 03.5000 07/01/2048 4.94%
6: Fnr 2007-95 A3 02.2097 08/27/2036 2.98%
7: Gnma Gii30 Ma5266 05.0000 06/20/2048 2.61%
8: Fnma Fn30 Av7064 03.0000 05/01/2045 2.48%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.31%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.78%
Holdings represent 50.56% of portfolio
Top 10 holdings as of 04/30/18
1: Us Treasury N/B 04.5000 08/15/2039 14.60%
2: Fnma Fn30 Tba 03.0000 05/01/2048 6.31%
3: Fnma Fn30 Tba 04.0000 05/01/2048 5.00%
4: Gnma Gii30 Tba 04.5000 05/01/2048 3.39%
5: Fnma Fn30 Al9657 03.5000 01/01/2047 3.26%
6: Fnr 2007-95 A3 02.1471 08/27/2036 2.95%
7: Fnma Fn30 Av7064 03.0000 05/01/2045 2.66%
8: Gnma Gii30 626947 04.0000 05/20/2045 2.28%
9: Us Treasury N/B 06.2500 08/15/2023 1.91%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.76%
Holdings represent 44.12% of portfolio
Top 10 holdings as of 03/31/18
1: Us Treasury N/B 04.5000 08/15/2039 14.59%
2: Fnma Fn30 Tba 04.0000 04/01/2048 4.94%
3: Fnma Fn30 Al9657 03.5000 01/01/2047 3.25%
4: Fnma Fn30 Tba 03.5000 05/01/2048 3.21%
5: Fnr 2007-95 A3 02.1215 08/27/2036 2.89%
6: Fnma Fn30 Av7064 03.0000 05/01/2045 2.64%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.26%
8: Us Treasury N/B 06.2500 08/15/2023 1.89%
9: Gnma Gii30 626944 03.5000 05/20/2045 1.74%
10: Gnma Gii30 Tba 05.0000 04/01/2048 1.69%
Holdings represent 39.10% of portfolio

Sector Weightings as of 06/30/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 28.70% 1.88 59.73% 3.57 88.43% 5.45
Agency CMO 41.70% 1.75 0.75% 0.03 42.45% 1.78
Commercial MBS 1.88% 0.06 36.14% 1.32 38.02% 1.38
Residential MBS (non-agency) 17.60% 0.00 0.00% 0.00 17.60% 0.00
Net cash 9.90% 0.00 0.00% 0.00 9.90% 0.00
Asset-backed securities (ABS) 0.22% 0.00 0.00% 0.00 0.22% 0.00
Interest rate swaps 0.00% 0.00 0.00% -0.94 0.00% -0.94

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.

Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.

Maturity detail includes only cash bonds and cash equivalents. Mutual funds that invest in government securities are not guaranteed. Mortgage backed securities are subject to prepayment risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

Credit qualities are shown as a percentage of net assets.

A bond rated Baa or higher (Prime-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. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Any given fund may not achieve its goal, and is not intended as a complete investment program. All funds have risk. The value and/or returns of a portfolio will flu ctuate with market conditions. You may have more or less than the original amount invested when you redeem your shares.