Putnam 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 02/28/19

Category: U.S. Mortgage Funds

  Percentile ranking Rank/Funds in category
10 yrs. 23% 2/8
1 yr. 71% 12/16
3 yrs. 47% 7/14
5 yrs. 87% 13/14

Risk characteristics as of 02/28/19

Avg. Eff. Maturity 10.43
Avg. Price 82.21
Avg. Eff. Duration 4.70
Avg. Coupon 6.54
Avg. Yield to Maturity 7.18
Alpha (%) --
Beta 0.64
R squared 0.70
Standard deviation (3 yrs.) 2.28

Maturity details

0 to 1 yr. -42.27%
1 to 5 yrs. 22.06%
5 to 10 yrs. 112.92%
10 to 15 yrs. 7.29%

Quality ratings

AAA 115.56%
AA 8.85%
A 8.44%
BBB 4.80%
BB 5.17%
B 5.93%
CCC and Below 1.76%
Not Rated -50.51%

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 02/28/19

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 679
Turnover (fiscal year end) 1,142%
Net Assets $55M
Inception Date 02/01/00

Holdings

Top 10 holdings as of 02/28/19

Fnma Fn30 Tba 03.0000 03/01/2049 24.81%
Gnma Gii30 Tba 03.5000 03/01/2049 9.15%
Gnma Gii30 Tba 03.0000 03/01/2049 8.95%
Gnma Gii30 Tba 04.5000 03/01/2049 5.63%
Gnma Gii30 Tba 04.0000 03/01/2049 5.58%
Fnr 2007-95 A3 02.7399 08/27/2036 3.24%
Gnma Gii30 626947 04.0000 05/20/2045 2.23%
Gnma Gii30 626944 03.5000 05/20/2045 1.93%
Gnma Gii30 Tba 05.0000 03/01/2049 1.89%
Fnma Fn30 Tba 04.5000 03/01/2049 1.88%
Top 10 holdings, total: 65.29%

 | Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 12/31/18
FNMA FN30 TBA 03.0000 01/01/2049 16.10%
FNMA FN30 TBA 04.0000 01/01/2049 11.22%
GNMA GII30 TBA 03.5000 01/01/2049 9.23%
GNMA GII30 TBA 03.0000 01/01/2049 9.03%
FHLMC FH30G TBA 03.0000 01/01/2049 7.15%
GNMA GII30 TBA 04.5000 01/01/2049 5.69%
GNMA GII30 TBA 04.0000 01/01/2049 5.63%
FNR 2007-95 A3 02.5651 08/27/2036 3.28%
GNMA GII30 626947 04.0000 05/20/2045 2.25%
GNMA GII30 626944 03.5000 05/20/2045 1.96%
GNMA GII30 TBA 05.0000 01/01/2049 1.91%
FNMA FN30 TBA 04.5000 01/01/2049 1.90%
FNMA FN30 TBA 02.5000 01/01/2049 1.74%
GNMA GII30P 784109 04.0000 10/20/2045 1.58%
FNMA FN40 BF0169 3.500000 01/01/2057 1.54%
BF0101 03.5000 06/01/2056 1.49%
FNMA FN30 AV7065 03.5000 05/01/2045 1.48%
GNMA GII30 626939 04.0000 04/20/2045 1.47%
GNMA GII30 626906 03.5000 01/20/2045 1.41%
FHS 315 PO PO 00.0000 09/15/2043 1.38%
FNMA FN30 AX5472 03.5000 08/01/2045 1.09%
FNMA FN30 AX5483 03.5000 10/01/2045 1.06%
G60183 04.0000 12/01/2044 1.04%
FHLMC FH30G G60314 04.0000 09/01/2045 0.94%
FNMA FN30 AL6919 05.5000 01/01/2038 0.89%
FHR 3835 FO PO 00.0000 04/15/2041 0.84%
CARR 2006-NC2 A4 02.7463 06/25/2036 0.82%
BAYV 2006-C 1A3 06.0280 11/28/2036 0.79%
FNR 2016-85 SL IO 03.5938 11/25/2046 0.78%
CAS 2017-C05 1B1 06.1063 01/25/2030 0.76%
STACR 2016-DNA3 M3 07.5063 12/25/2028 0.76%
CWL 2007-10 1A1 02.6863 06/25/2047 0.74%
CMLTI 2007-AR5 1A1A 04.2493 04/25/2037 0.73%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.73%
STACR 2018-DNA2 B1 06.2063 12/25/2030 0.72%
CAS 2018 - C01 1B1 06.0563 07/25/2030 0.67%
WAMU 2005-AR14 1A2 04.2152 12/25/2035 0.67%
GNMA GII30 609146 04.5000 05/20/2044 0.65%
CAS 2017-C01 1M2 06.0563 07/25/2029 0.64%
CAS 2018-C03 1M2 04.6563 10/25/2030 0.63%
STACR 2014-HQ3 M3 07.2563 10/25/2024 0.62%
GNR 2017-H20 AI IO 02.1456 10/20/2067 0.59%
FNMA FN30 AX5516 04.0000 03/01/2046 0.58%
FNR 2016-83 BS IO 03.5938 11/25/2046 0.58%
GNR 2016-H07 PI IO 02.2743 03/20/2066 0.58%
GNMA GII30 BG4860 04.5000 05/20/2048 0.56%
MWST 2018-W1 A 03.1314 11/25/2051 0.55%
STACR 2015-HQA1 B 11.3063 03/25/2028 0.55%
CAS 2017-C06 1M2 05.1563 02/25/2030 0.54%
CAS 2018-C02 2M2 04.7063 08/25/2030 0.54%
CAS 2018-C04 2M2 05.0563 12/25/2030 0.54%
FNR 2018-36 SD 0.54%
CAS 2016-C03 1M2 07.8063 10/25/2028 0.53%
OPTN FN30 3.5 01/07/19 CALL 98.453125 JPMC 0.53%
STACR 2018-HQA1 M2 04.8063 09/25/2030 0.53%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 0.53%
CAS 2016-C05 2M2 06.9563 01/25/2029 0.52%
FNR 2010-109 IM IO 05.5000 09/25/2040 0.52%
GNR 2016-H11 HI IO 02.0880 01/20/2066 0.51%
WFRBS 2012-C9 D P/P 144A 04.7802 11/15/2045 0.51%
GNR 2013-87 SA IO 03.7299 06/20/2043 0.50%
SWPTN 5WX10Y R 3.0375 USD 01/03/2019 GS 0.50%
JPMBB 2013-C14 D P/P 144A 04.5657 08/15/2046 0.49%
STACR 2017-DNA2 M2 05.9563 10/25/2029 0.49%
GNR 2017-H25 CI IO 02.6968 12/20/2067 0.48%
GSMS 2014-GC24 D P/P 144A 04.5293 09/10/2047 0.48%
STACR 2015-HQ1 M3 06.3063 03/25/2025 0.48%
STACR 2017-HQA2 M2 05.1563 12/25/2029 0.48%
UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 0.47%
STACR 2017-DNA3 M2 05.0063 03/25/2030 0.46%
STACR 2018-DNA1 B1 05.6563 07/25/2030 0.43%
CAS 2017-C07 1B1 06.5063 05/25/2030 0.41%
FHR 3065 DC 12.4946 03/15/2035 0.41%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.41%
CAS 2016-C06 1M2 06.7563 04/25/2029 0.40%
GNR 2016-H23 NI IO 02.4639 10/20/2066 0.40%
GNR 2016-H27 GI IO 02.3756 12/20/2066 0.40%
OMIR 2018-1A M2 05.3563 07/25/2028 0.40%
CAS 2016-C03 1B 14.2563 10/25/2028 0.39%
FEDERAL NATIONAL MORTGAGE ASSN 0.39%
CAS 2017-C06 1B1 06.6563 02/25/2030 0.38%
GCAT 2018-2 A1 P/P 144A 04.0900 06/26/2023 0.37%
GNR 2017-H03 KI IO 01.7954 01/20/2067 0.37%
GNR 2017-H06 MI IO 02.1811 02/20/2067 0.37%
GNR 2018-H01 XI IO 02.3405 01/20/2068 0.37%
STACR 2014-DN4 M3 07.0563 10/25/2024 0.37%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.37%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.36%
GNR 2015-H10 HI IO 01.5811 04/20/2065 0.36%
JPMBB 2014-C25 D P/P 144A 03.9446 11/15/2047 0.36%
UBSCM 2012-C1 D P/P 144A 05.5437 05/10/2045 0.36%
BMIR 2018-2A M1C P/P 144A 04.1063 08/25/2028 0.35%
FNR 2016-50 SM IO 03.5938 08/25/2046 0.35%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.35%
CSMC 2013-11R 1A2 05.1548 06/27/2034 0.34%
FNR 2018-51 BI IO 05.5000 07/25/2038 0.34%
GNMA GII30 609117 04.5000 02/20/2044 0.34%
GNR 2018-1 IO IO 04.5000 01/20/2048 0.34%
FNR 2008-24 SP 14.0937 02/25/2038 0.33%
FNR 2015-58 KI IO 06.0000 03/25/2037 0.33%
GNR 2017-H08 EI IO 02.2298 02/20/2067 0.33%
GNR 2015-H22 GI IO 02.5735 09/20/2065 0.32%
GNR 2016-H13 IK IO 02.6026 06/20/2066 0.32%
CMLTI 2005-WF2 AF6B 05.5500 08/25/2035 0.31%
GNR 2011-156 SK IO 04.1299 04/20/2038 0.31%
GNR 2016-H18 QI IO 02.1594 06/20/2066 0.31%
GNR 2017-176 BI IO 03.5000 05/20/2045 0.31%
FHR 4436 SC IO 03.6949 02/15/2045 0.30%
FNR 2017-19 IH IO 05.0000 03/25/2047 0.30%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.30%
MLCFC 2006-4 C 05.3240 12/12/2049 0.30%
CAS 2016-C02 1M2 08.5063 09/25/2028 0.29%
FNMA FN30 AY8222 04.5000 05/01/2045 0.29%
GNMA GII30 4114 05.5000 04/20/2038 0.29%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.29%
BMIR 2017-1 M2 P/P 144A 05.8563 10/25/2027 0.28%
FNR 2015-86 MI IO 05.5000 11/25/2045 0.28%
GNR 2015-H20 CI IO 02.1805 08/20/2065 0.28%
GNR 2016-H17 DI IO 02.0021 07/20/2066 0.28%
GNR 2017-164 IG IO 03.5000 04/20/2044 0.28%
GNR 2017-H08 GI IO 02.1982 02/20/2067 0.28%
WFRBS 2013-C11 E P/P 144A 04.2655 03/15/2045 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%
GNMA GII30 609118 04.5000 02/20/2034 0.27%
GNR 2013-67 IP IO 04.0000 04/16/2043 0.27%
GNR 2015-H22 AI IO 02.0571 09/20/2065 0.27%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.27%
GNR 2016-H03 AI IO 01.2521 01/20/2066 0.27%
JPALT 2006-A6 1A1 02.6663 11/25/2036 0.27%
MSC 2011-C3 E P/P 144A 05.1539 07/15/2049 0.27%
FHR 4425 EI IO 04.0000 01/15/2045 0.26%
FNR 2012-151 IM IO 05.0000 04/25/2042 0.26%
GNR 2017-H04 BI IO 02.3873 02/20/2067 0.26%
SWPTN 10YX10Y R 3.295 USD 11/29/2028 BA 0.26%
FHR 4621 QI IO 03.5000 10/15/2046 0.25%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.25%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.25%
SPST 2018-8 A 03.2038 02/24/2020 0.25%
ARRW 2018-1 A3 04.1570 04/25/2048 0.24%
FHR 4213 GI IO 04.0000 11/15/2041 0.24%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.24%
GNR 2018-H02 IM IO 02.4433 02/20/2068 0.24%
SPST 2017-LD1 A 03.3063 11/25/2050 0.24%
FHR 4546 PI IO 04.0000 12/15/2045 0.23%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.23%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.23%
GNR 2015-H13 AI IO 01.9166 06/20/2065 0.23%
GNR 2016-H04 KI IO 01.2089 02/20/2066 0.23%
GNR 2018-89 LS IO 04.1536 06/20/2048 0.23%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.23%
WAMU 2005-AR8 2AC2 03.4263 07/25/2045 0.23%
GNR 2014-H21 AI IO 01.8591 10/20/2064 0.22%
GNR 2017-H08 NI IO 02.1884 03/20/2067 0.22%
GNR 2017-H25 IO IO 02.9036 11/20/2067 0.22%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.22%
CAS 2018-C05 1M2 04.8563 01/25/2031 0.21%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.21%
FN30 06.000 2007 0.21%
GNMA GII30 BB0107 04.7000 08/20/2067 0.21%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.21%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.21%
GNR 2014-137 ID IO 05.5000 09/16/2044 0.21%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.21%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.21%
COMM 2014-CR17 D P/P 144A 04.8012 05/10/2047 0.20%
FHR 4452 QI IO 04.0000 11/15/2044 0.20%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.20%
FNR 2016-3 MI IO 05.5000 02/25/2046 0.20%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.20%
GNR 2011-H07 FI IO 01.2269 02/20/2061 0.20%
GNR 2016-H06 DI IO 01.8468 07/20/2065 0.20%
GNR 2016-H24 IO IO 02.0911 09/20/2066 0.20%
GNR 2017-H10 MI IO 01.6973 04/20/2067 0.20%
GNR 2017-H14 LI IO 02.2089 06/20/2067 0.20%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.20%
FHR 4158 TI IO 03.0000 12/15/2042 0.19%
FHR 4500 GI IO 04.0000 08/15/2045 0.19%
GNMA GII30 BG4861 04.5000 05/20/2048 0.19%
GNMA GII30 BG4862 04.5000 05/20/2048 0.19%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.19%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.19%
GNR 2015-H23 TI IO 01.8938 09/20/2065 0.19%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.19%
GNR 2016-H06 HI IO 02.0636 02/20/2066 0.19%
GNR 2016-H24 KI IO 02.3371 11/20/2066 0.19%
SWPTN 10YX10Y P 3.295 USD 11/29/2028 BA 0.19%
WAMU 2005-AR12 1A8 04.0381 10/25/2035 0.19%
WFRBS 2012-C9 E P/P 144A 04.7802 11/15/2045 0.19%
FEDERAL NATIONAL MORTGAGE ASSN 0.18%
FHR 4165 TI IO 03.0000 12/15/2042 0.18%
FHR 4425 IO IO 04.0000 01/15/2045 0.18%
FNR 2018-47 SA IO 03.7438 07/25/2048 0.18%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.18%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.18%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.18%
GNR 2015-H04 AI IO 01.5505 12/20/2064 0.18%
GNR 2016-H10 AI IO 01.2020 04/20/2066 0.18%
GNR 2016-H14 AI IO 02.1733 06/20/2066 0.18%
JPMCC 2013-LC11 D 04.1687 04/15/2046 0.18%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.18%
WFHET 2007-2 A3 02.7363 04/25/2037 0.18%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.17%
FNR 2011-4 CS 07.8875 05/25/2040 0.17%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.17%
GNR 2015-H25 BI IO 02.1202 10/20/2065 0.17%
GNR 2017-H03 CI IO 02.9877 12/20/2066 0.17%
GNR 2017-H09 IO IO 01.7055 04/20/2067 0.17%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.17%
SWPTN 3MX1Y R 3.2775 USD 01/03/2019 GS 0.17%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.17%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.17%
FNMA FN30 AW7089 04.5000 07/01/2044 0.16%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.16%
GNR 2014-H18 CI IO 01.5832 09/20/2064 0.16%
GNR 2014-H25 BI IO 01.6734 12/20/2064 0.16%
GNR 2015-H16 XI IO 02.1511 07/20/2065 0.16%
GNR 2015-H24 HI IO 02.0283 09/20/2065 0.16%
GNR 2017-H14 JI IO 02.1924 06/20/2067 0.16%
GNR 2017-H16 HI IO 01.4953 08/20/2067 0.16%
GNR 2018-H05 ID 02.0570 03/20/2068 0.16%
GOVERNMENT NATIONAL MORTGAGE A 0.16%
JPMBB 2014-C23 E P/P 144A 03.3640 09/15/2047 0.16%
SWPTN 6WX10Y R 2.88 USD 01/22/2019 JP 0.16%
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 2016-H04 HI IO 02.3661 07/20/2065 0.15%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.15%
SWPTN 5WX10Y R 2.88 USD 01/14/2019 CI 0.15%
FHR 4136 IQ IO 03.5000 11/15/2042 0.14%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.14%
GNR 2016-H24 JI IO 02.4009 11/20/2066 0.14%
FEDERAL NATIONAL MORTGAGE ASSN 0.13%
FHR 4019 JI IO 04.0000 05/15/2041 0.13%
FHR 4165 AI IO 03.5000 02/15/2043 0.13%
FHR 4530 HI IO 04.0000 11/15/2045 0.13%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.13%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.13%
GNR 2016-H06 AI IO 01.1636 02/20/2066 0.13%
GNR 2017-H25 AI IO 03.1451 12/20/2067 0.13%
MLCFC 2007-6 AM 05.5260 03/12/2051 0.13%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.13%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.13%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.13%
FEDERAL HOME LOAN MTG CORP 0.12%
FHR 4171 NI IO 03.0000 06/15/2042 0.12%
FNMA FN30 BD5297 03.5000 01/01/2047 0.12%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.12%
GNR 2013-182 SP IO 04.2299 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%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.11%
FHR 4122 TI IO 04.5000 10/15/2042 0.11%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.11%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.11%
GNR 2018-H02 IO IO 02.6031 01/20/2068 0.11%
MSAC 2004-HE9 M2 03.4363 11/25/2034 0.11%
CAS 2017-C02 2B1 08.0063 09/25/2029 0.10%
FHR 4150 DI IO 03.0000 01/15/2043 0.10%
FNR 2006-8 HP 15.3771 03/25/2036 0.10%
FNR 2007-53 SP 15.0104 06/25/2037 0.10%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.10%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.10%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.10%
GNR 2016-H08 GI IO 01.4112 04/20/2066 0.10%
SAMI 2006-AR7 A1BG 02.6263 08/25/2036 0.10%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.10%
SWPTN 5WX10Y R 2.92 USD 01/11/2019 BC 0.10%
3.312 R ISWP US0003M P 11/08/2048 0.09%
FHR 3072 SM 04.2533 11/15/2035 0.09%
FHR 4018 DI IO 04.5000 07/15/2041 0.09%
FNR 2005-106 JC 12.3527 12/25/2035 0.09%
FNR 2005-122 SE 14.3281 11/25/2035 0.09%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.09%
GNR 2017-H06 EI IO 01.5655 02/20/2067 0.09%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.09%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.09%
FEDERAL NATIONAL MORTGAGE ASSN 0.08%
FHR 4141 PI IO 03.0000 12/15/2042 0.08%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.08%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.08%
GNR 2012-47 CI IO 04.0000 03/20/2042 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%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.08%
3.073 R ISWP FWD US0003M P 03/04/2029 0.07%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.07%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.07%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.07%
FHR 3408 EK 15.9139 04/15/2037 0.07%
FHR 4201 JI IO 03.0000 12/15/2041 0.07%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.07%
FNR 2013-55 KI IO 03.0000 04/25/2043 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%
SWPTN 3WX10Y R 2.8 USD 01/10/2019 MS 0.07%
SWPTN 5WX10Y R 2.855 USD 01/11/2019 BC 0.07%
SWPTN 5WX10Y R 2.9125 USD 01/09/2019 UB 0.07%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.06%
FEDERAL HOME LOAN MTG CORP 0.06%
FHR 2990 LB 10.6706 06/15/2034 0.06%
FHR 4136 ES IO 03.7949 11/15/2042 0.06%
FNR 2005-75 GS 12.7313 08/25/2035 0.06%
FNR 2006-62 PS 24.8625 07/25/2036 0.06%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.06%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.06%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 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 12YX10Y P 2.5 USD 11/09/2029 JP 0.06%
SWPTN 1MX10Y R 2.84 USD 01/04/2019 CI 0.06%
SWPTN 3MX1Y R 2.99375 USD 01/03/2019 GS 0.06%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.06%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.05%
FEDERAL HOME LOAN MTG CORP 0.05%
FHR 3996 IK IO 04.0000 03/15/2039 0.05%
FHR 4183 MI IO 03.0000 02/15/2042 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 2013-30 IP IO 03.0000 10/25/2041 0.05%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.05%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.05%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.05%
OPTN FN30 3.5 02/06/19 CALL 97.109375 JPMC 0.05%
OPTN FN30 3.5 02/06/19 CALL 97.265625 JPMC 0.05%
OPTN FN30 3.5 02/06/19 CALL 97.421875 JPMC 0.05%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.05%
SWPTN 5WX10Y R 2.8525 USD 01/09/2019 UB 0.05%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.05%
CAS 2016-C07 2M2 06.8563 05/25/2029 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.04%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.04%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.04%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.04%
OPTN FN30 2.5 01/07/19 CALL 92.26171875 JPMC 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.04%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.04%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
2.85 R ISWP FWD US0003M P 03/18/2029 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.03%
FEDERAL HOME LOAN MTG CORP 0.03%
FHR 4199 CI IO 03.5000 12/15/2037 0.03%
FNR 2005-83 QP 10.8778 11/25/2034 0.03%
FNR 2011-123 KS IO 04.0938 10/25/2041 0.03%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.03%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.03%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.03%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.03%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.03%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.03%
OPTN FN30 3.5 02/06/19 CALL 98.40625 JPMC 0.03%
OPTN FN30 3.5 02/06/19 CALL 98.5625 JPMC 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.03%
SWPTN 3MX1Y R 2.897 USD 03/13/2019 GS 0.03%
SWPTN 3MX5Y R 2.8625 USD 03/13/2019 CI 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
2.95 R ISWP FWD US0003M P 03/18/2049 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02%
FEDERAL HOME LOAN MTG CORP 0.02%
FEDERAL NATIONAL MORTGAGE ASSN 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%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.02%
OPTN FN30 3.5 02/06/19 CALL 98.71875 JPMC 0.02%
SWPTN 3MX1Y R 2.9215 USD 03/13/2019 GS 0.02%
SWPTN 3MX5Y R 3.035 USD 03/13/2019 CI 0.02%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.01%
CPURNSA P 2.05 R 07/05/27 0.01%
CPURNSA P 2.085 R 07/03/27 0.01%
FEDERAL HOME LOAN MTG CORP 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FNW 2003-W8 3F2 02.8563 05/25/2042 0.01%
GN30 06.500 2005 0.01%
GN30 06.500 2008 0.01%
GNR 2011-81 SB IO 04.2499 11/16/2036 0.01%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.01%
SWPTN 1MX1Y R 2.86 USD 01/17/2019 CI 0.01%
SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP 0.01%
SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS 0.01%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS 0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 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 CG 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 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%
CPURNSA R 1.89 P 07/05/22 0.00%
CPURNSA R 1.9225 P 07/03/22 0.00%
FHR 3300 PO PO 00.0000 02/15/2037 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
GNMA GN30 584347 06.5000 04/15/2032 0.00%
GNMA GN30 780776 06.5000 04/15/2028 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 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.FN30.400.13 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.FN30.450.09 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 01/07/19 PUT 92.26171875 JPMC 0.00%
OPTN FN30 3.0 01/07/19 PUT 95.96875 JPMC 0.00%
OPTN FN30 3.5 01/07/19 PUT 98.453125 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 96.46875 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 96.625 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 96.78125 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 96.953125 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 97.109375 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 97.265625 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 97.4375 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 97.59375 JPMC 0.00%
OPTN FN30 3.5 02/06/19 PUT 97.75 JPMC 0.00%
SWPTN 13WX30Y P 3.29 USD 01/07/2019 CI 0.00%
SWPTN 13WX30Y P 3.395 USD 01/07/2019 CI 0.00%
SWPTN 13WX30Y P 3.5 USD 01/07/2019 CI 0.00%
SWPTN 1MX10Y P 3.14 USD 01/04/2019 CI 0.00%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC 0.00%
SWPTN 3MX10Y P 3.098 USD 02/28/2019 MS 0.00%
SWPTN 3MX10Y P 3.25 USD 01/03/2019 JP 0.00%
SWPTN 3MX1Y P 2.897 USD 03/13/2019 GS 0.00%
SWPTN 3MX1Y P 2.9215 USD 03/13/2019 GS 0.00%
SWPTN 3MX2Y P 2.909 USD 03/13/2019 GS 0.00%
SWPTN 3MX30Y P 3.23 USD 01/03/2019 CI 0.00%
SWPTN 3MX30Y P 3.26 USD 01/03/2019 JP 0.00%
SWPTN 3MX30Y P 3.33 USD 01/03/2019 CI 0.00%
SWPTN 3MX30Y P 3.43 USD 01/03/2019 CI 0.00%
SWPTN 3MX5Y P 2.8625 USD 03/13/2019 CI 0.00%
SWPTN 3MX5Y P 3.035 USD 03/13/2019 CI 0.00%
SWPTN 3MX5Y P 3.18 USD 01/03/2019 JP 0.00%
SWPTN 3WX10Y P 2.94 USD 01/10/2019 MS 0.00%
SWPTN 5WX10Y P 3.095 USD 01/14/2019 CI 0.00%
SWPTN 5WX10Y P 3.2975 USD 01/03/2019 GS 0.00%
SWPTN 6WX10Y P 3.095 USD 01/22/2019 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS -0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 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 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 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 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 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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.01%
IOS.FN30.400.11 R USL1M P 01/12/42 GS -0.01%
IOS.FN30.400.11 R USL1M P 01/12/42 GS -0.01%
IOS.FN30.400.11 R USL1M P 01/12/42 GS -0.01%
IOS.FN30.400.11 R USL1M P 01/12/42 GS -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
OPTN FN30 3.5 02/06/19 CALL 99.328125 JPMC -0.01%
OPTN FN30 3.5 02/06/19 CALL 99.484375 JPMC -0.01%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.01%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.01%
SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS -0.01%
SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP -0.01%
SWPTN 3MX10Y P 2.9425 USD 03/13/2019 CI -0.01%
SWPTN 3MX10Y P 3.14 USD 03/20/2019 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.02%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
OPTN FN30 3.5 02/06/19 CALL 98.7890625 JPMC -0.02%
OPTN FN30 3.5 02/06/19 CALL 98.9453125 JPMC -0.02%
OPTN FN30 3.5 02/06/19 CALL 99.1015625 JPMC -0.02%
OPTN FN30 3.5 02/06/19 CALL 99.171875 JPMC -0.02%
SWPTN 1MX1Y R 2.77 USD 01/17/2019 CI -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
OPTN FN30 3.5 02/06/19 CALL 98.0234375 JPMC -0.03%
OPTN FN30 3.5 02/06/19 CALL 98.1796875 JPMC -0.03%
OPTN FN30 3.5 02/06/19 CALL 98.3359375 JPMC -0.03%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
OPTN FN30 3.5 02/06/19 CALL 97.56640625 JPMC -0.04%
OPTN FN30 3.5 02/06/19 CALL 97.72265625 JPMC -0.04%
OPTN FN30 3.5 02/06/19 CALL 97.87890625 JPMC -0.04%
SWPTN 3MX10Y R 2.9425 USD 03/13/2019 CI -0.04%
SWPTN 3MX2Y R 2.909 USD 03/13/2019 GS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.06%
OPTN FN30 3.0 01/07/19 CALL 95.96875 JPMC -0.06%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.07%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.07%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.09%
SWPTN 5WX10Y R 2.9725 USD 01/09/2019 UB -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
SWPTN 5WX10Y R 2.945 USD 01/14/2019 CI -0.10%
SWPTN 6WX10Y R 2.945 USD 01/22/2019 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.11%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.12%
3.1475 R ISWP US0003M P 11/20/2028 -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.13%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.14%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.14%
SWPTN 5WX10Y R 2.985 USD 01/11/2019 BC -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE -0.15%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.15%
SWPTN 7YX23Y R 3.0 USD 04/04/2025 MS -0.15%
SWPTN 7YX23Y R 3.0 USD 04/14/2025 MS -0.15%
SWPTN 7YX30Y P 3.1775 USD 11/28/2025 BA -0.17%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.18%
2.75 R ISWP FWD US0003M P 03/18/2021 -0.23%
SWPTN 3MX2Y R 3.1325 USD 01/03/2019 GS -0.23%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.24%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.24%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.26%
SWPTN 7YX30Y R 3.1775 USD 11/28/2025 BA -0.26%
SWPTN 5WX10Y R 3.0975 USD 01/03/2019 GS -0.30%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.34%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.39%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -0.53%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.55%
2.80 R ISWP FWD US0003M P 03/18/2024 -0.62%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.75%
FNMA FN30 TBA 03.5000 01/01/2049 -11.00%

Prior top 10 holdings

Top 10 holdings as of 02/28/19
1: Fnma Fn30 Tba 03.0000 03/01/2049 24.81%
2: Gnma Gii30 Tba 03.5000 03/01/2049 9.15%
3: Gnma Gii30 Tba 03.0000 03/01/2049 8.95%
4: Gnma Gii30 Tba 04.5000 03/01/2049 5.63%
5: Gnma Gii30 Tba 04.0000 03/01/2049 5.58%
6: Fnr 2007-95 A3 02.7399 08/27/2036 3.24%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.23%
8: Gnma Gii30 626944 03.5000 05/20/2045 1.93%
9: Gnma Gii30 Tba 05.0000 03/01/2049 1.89%
10: Fnma Fn30 Tba 04.5000 03/01/2049 1.88%
Holdings represent 65.29% of portfolio
Top 10 holdings as of 01/31/19
1: Fnma Fn30 Tba 03.0000 02/01/2049 17.83%
2: Gnma Gii30 Tba 03.5000 02/01/2049 9.19%
3: Gnma Gii30 Tba 03.0000 02/01/2049 9.01%
4: Fhlmc Fh30g Tba 03.0000 02/01/2049 7.13%
5: Gnma Gii30 Tba 04.5000 02/01/2049 5.65%
6: Gnma Gii30 Tba 04.0000 02/01/2049 5.60%
7: Fnr 2007-95 A3 02.7600 08/27/2036 3.25%
8: Gnma Gii30 626947 04.0000 05/20/2045 2.24%
9: Gnma Gii30 626944 03.5000 05/20/2045 1.94%
10: Gnma Gii30 Tba 05.0000 02/01/2049 1.90%
Holdings represent 63.74% of portfolio
Top 10 holdings as of 12/31/18
1: Fnma Fn30 Tba 03.0000 01/01/2049 16.10%
2: Fnma Fn30 Tba 04.0000 01/01/2049 11.22%
3: Gnma Gii30 Tba 03.5000 01/01/2049 9.23%
4: Gnma Gii30 Tba 03.0000 01/01/2049 9.03%
5: Fhlmc Fh30g Tba 03.0000 01/01/2049 7.15%
6: Gnma Gii30 Tba 04.5000 01/01/2049 5.69%
7: Gnma Gii30 Tba 04.0000 01/01/2049 5.63%
8: Fnr 2007-95 A3 02.5651 08/27/2036 3.28%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.25%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.96%
Holdings represent 71.54% of portfolio
Top 10 holdings as of 11/30/18
1: Fnma Fn30 Tba 03.0000 01/01/2049 15.75%
2: Gnma Gii30 Tba 03.5000 12/01/2048 9.08%
3: Gnma Gii30 Tba 03.0000 12/01/2048 8.84%
4: Fhlmc Fh30g Tba 03.0000 12/01/2048 7.00%
5: Gnma Gii30 Tba 04.5000 12/01/2048 5.68%
6: Gnma Gii30 Tba 04.0000 12/01/2048 5.58%
7: Fnma Fn30 Tba 04.0000 01/01/2049 3.69%
8: Fnr 2007-95 A3 02.5651 08/27/2036 3.29%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.24%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.93%
Holdings represent 63.08% of portfolio

Sector Weightings as of 02/28/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 24.51% 1.58 52.48% 3.21 76.99% 4.79
Commercial MBS 4.73% 0.17 38.93% 1.09 43.66% 1.26
Agency CMO 41.30% 1.68 0.69% 0.03 41.99% 1.71
Residential MBS (non-agency) 19.18% 0.96 0.00% 0.00 19.18% 0.96
Net cash 9.25% 0.00 0.00% 0.00 9.25% 0.00
Asset-backed securities (ABS) 1.03% 0.01 0.00% 0.00 1.03% 0.01
Interest rate swaps 0.00% 0.00 0.00% -1.67 0.00% -1.67
U.S. Treasury/agency 0.00% 0.00 0.00% 0.13 0.00% 0.13

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.