Putnam Allstate Advisor

Putnam Mortgage Securities Subaccount

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

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

Daily pricing as of 11/16/18

with optional enhanced death benefits
Unit Value $17.449668 $16.958796
Unit Value Change -0.019819 -0.019331

Lipper ranking ‡ as of 10/31/18

Category: General U.S. Government Funds

  Percentile ranking Rank/Funds in category
10 yrs. 19% 8/43
1 yr. 40% 23/57
3 yrs. 44% 25/56
5 yrs. 68% 37/54

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 10/31/18

Fiscal Year End December
Asset Class Putnam Allstate Advisor
Subaccount Status Open to new investors
Number of issues 656
Turnover (fiscal year end) 1,188%
Net Assets $56M
Inception Date 02/01/00

Performance

Performance as of 09/30/18

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value -0.96% -1.51% -1.61% -0.83% -0.15% 2.58% 3.12%
Standardized -9.63% -10.14% -10.24% -5.55% -3.94% -0.08% 0.50%
With optional enhanced death benefit
Unit Value -0.99% -1.62% -1.76% -0.98% -0.30% 2.43% 2.96%
Standardized -9.67% -10.25% -10.37% -5.70% -4.10% -0.26% 0.31%
Actual performance
Unit Value -0.96% -1.51% -1.61% -0.83% -0.15% 2.58% 3.12%
Standardized -9.63% -10.14% -10.24% -5.55% -3.94% -0.08% 0.50%
With optional enhanced death benefit
Unit Value -0.99% -1.62% -1.76% -0.98% -0.30% 2.43% 2.96%
Standardized -9.67% -10.25% -10.37% -5.70% -4.10% -0.26% 0.31%

Annual Performance at NAV

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
-0.95% 19.48% 3.85% 5.46% 0.58% -1.72% 3.01% -1.90% -1.05% 0.69%
With optional enhanced death benefit
-1.10% 19.30% 3.69% 5.30% 0.43% -1.87% 2.85% -2.05% -1.20% 0.54%

Restated performance

Monthly as of 10/31/18

Unit Value -1.20%
Standardized -9.85%

YTD as of 11/16/18

Unit Value -3.06%
Standardized -11.59%

With optional enhanced death benefit

Monthly as of 10/31/18

Unit Value -1.21%
Standardized -9.87%

YTD as of 11/16/18

Unit Value -3.19%
Standardized -11.71%

Unit values and performance information shown apply to the specific annuity product listed, not the underlying Putnam Variable Trust fund. This information should not be used by investors who hold an interest in Putnam Variable Trust funds through a different annuity or other variable product. The unit values and performance of other variable products that offer Putnam Variable Trust funds may be higher or lower due to product charges and expenses or other factors.

Data is historical. Past performance is no guarantee of future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units.

Returns shown for the subaccounts for periods before their inception are derived from the historical performance of the underlying fund, adjusted to reflect the mortality, expense risk, and surrender charges applicable to this product and do not factor in the annual $30 contract maintenance fee. Additional riders and options for insurance-related charges will increase expenses and lower returns. Please see the prospectus for details. For a portion of the period, subaccounts may have limited expenses, without which returns would have been lower.

Variable annuities are long-term investments designed for retirement purposes. Putnam Capital Manager products are flexible-premium variable annuities held by Talcott Resolution Life, Inc., Simsbury, CT.

Putnam Allstate variable annuities are flexible-premium deferred variable annuities issued by Allstate Life Insurance Company (Allstate Life); underwritten by Allstate Distributors, L.L.C., both of Northbrook, IL; and sold through registered representatives or bank employees who are licensed insurance agents. Please check for availability in your specific state.

These policies have limitations and are sold by prospectus only. The prospectus contains details on the variable annuity, the subaccounts, contract features, fees, expenses, and other pertinent information.

Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund before investing. For a prospectus containing this and other information for any variable annuity or variable life product that invests in Putnam Variable Trust funds, contact your financial advisor for a contract prospectus and prospectus for the underlying funds. You may also call Talcott Resolution at 1-800-521-0538 or Allstate at 1-800-390-1277. Read the prospectuses carefully before investing.

For the most recent month-end performance, please call Talcott Resolution at 1-800-521-0538 or Allstate at 1-800-390-1277.

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.

Risk Characteristics as of 10/31/18

Avg. Eff. Maturity 10.86
Avg. Price 80.05
Avg. Eff. Duration 5.06
Avg. Coupon 6.42
Avg. Yield to Maturity 7.50
Alpha (%) --
Beta 0.56
R Squared 0.74
Standard Deviation (3 yrs.) 1.94

Maturity Details

0 to 1 yr. -38.80%
1 to 5 yrs. 17.84%
5 to 10 yrs. 106.95%
10 to 15 yrs. 14.01%

Quality Ratings

AAA 120.15%
AA 0.48%
A 4.14%
BBB 3.98%
BB 5.65%
B 6.74%
CCC and Below 1.94%
Not Rated -43.08%

Holdings

Top 10 holdings as of 10/31/18

Fnma Fn30 Tba 03.0000 11/01/2048 11.93%
Gnma Gii30 Tba 03.5000 11/01/2048 8.85%
Gnma Gii30 Tba 03.0000 11/01/2048 8.61%
Fhlmc Fh30g Tba 03.0000 11/01/2048 6.81%
Gnma Gii30 Tba 04.5000 12/01/2048 5.54%
Gnma Gii30 Tba 04.0000 11/01/2048 5.44%
Fnr 2007-95 A3 02.5314 08/27/2036 3.26%
Fnma Fn30 Av7064 03.0000 05/01/2045 2.37%
Gnma Gii30 626947 04.0000 05/20/2045 2.36%
Gnma Gii30 626944 03.5000 05/20/2045 1.88%
Top 10 holdings, total: 57.05%

Full Portfolio Holdings as of 09/30/18

FNMA FN30 TBA 03.0000 10/01/2048 13.28%
GNMA GII30 TBA 03.5000 10/01/2048 8.62%
GNMA GII30 TBA 03.0000 10/01/2048 8.40%
FHLMC FH30G TBA 03.0000 10/01/2048 6.64%
GNMA GII30 TBA 04.5000 10/01/2048 5.38%
GNMA GII30 TBA 04.0000 10/01/2048 5.29%
FNR 2007-95 A3 02.4658 08/27/2036 3.14%
FNMA FN30 AV7064 03.0000 05/01/2045 2.31%
GNMA GII30 626947 04.0000 05/20/2045 2.30%
GNMA GII30 626944 03.5000 05/20/2045 1.84%
GNMA GII30 TBA 05.0000 10/01/2048 1.81%
FNMA FN30 TBA 04.5000 10/01/2048 1.79%
FNMA FN30 TBA 04.0000 11/01/2048 1.75%
FNMA FN30 TBA 02.5000 10/01/2048 1.60%
GNMA GII30P 784109 04.0000 10/20/2045 1.50%
FNMA FN40 BF0169 3.500000 01/01/2057 1.48%
BF0101 03.5000 06/01/2056 1.43%
FNMA FN30 AV7065 03.5000 05/01/2045 1.42%
GNMA GII30 626939 04.0000 04/20/2045 1.39%
GNMA GII30 626906 03.5000 01/20/2045 1.33%
FHS 315 PO PO 00.0000 09/15/2043 1.30%
FNMA FN30 AX5483 03.5000 10/01/2045 1.10%
G60183 04.0000 12/01/2044 1.04%
FNMA FN30 AX5472 03.5000 08/01/2045 1.02%
FNMA FN30 AX5554 03.0000 10/01/2046 0.99%
FHLMC FH30G G60314 04.0000 09/01/2045 0.94%
FNMA FN30 AL6919 05.5000 01/01/2038 0.88%
FHR 3835 FO PO 00.0000 04/15/2041 0.80%
CARR 2006-NC2 A4 02.4558 06/25/2036 0.78%
BAYV 2006-C 1A3 06.0280 11/28/2036 0.77%
CAS 2017-C05 1B1 05.8158 01/25/2030 0.77%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.75%
STACR 2016-DNA3 M3 07.2158 12/25/2028 0.74%
CMLTI 2007-AR5 1A1A 03.8423 04/25/2037 0.72%
WAMU 2005-AR14 1A2 03.5377 12/25/2035 0.72%
CWL 2007-10 1A1 02.3958 06/25/2047 0.71%
FNR 2016-85 SL IO 03.8842 11/25/2046 0.71%
STACR 2018-DNA2 B1 05.9158 12/25/2030 0.71%
CAS 2018 - C01 1B1 05.7658 07/25/2030 0.68%
VOLT 2017-NPL3 A1 P/P 144A 03.5000 03/25/2047 0.66%
CAS 2017-C01 1M2 05.7658 07/25/2029 0.63%
CAS 2018-C03 1M2 04.3658 10/25/2030 0.62%
GNMA GII30 609146 04.5000 05/20/2044 0.62%
STACR 2014-HQ3 M3 06.9658 10/25/2024 0.62%
GNR 2017-H20 AI IO 02.4310 10/20/2067 0.57%
FNMA FN30 AX5516 04.0000 03/01/2046 0.55%
GNR 2016-H07 PI IO 02.2677 03/20/2066 0.55%
FNR 2010-109 IM IO 05.5000 09/25/2040 0.54%
GNMA GII30 BG4860 04.5000 05/20/2048 0.54%
CAS 2017-C06 1M2 04.8658 02/25/2030 0.53%
CAS 2018-C02 2M2 04.4158 08/25/2030 0.53%
CAS 2018-C04 2M2 04.7658 12/25/2030 0.53%
FNR 2016-83 BS IO 03.8842 11/25/2046 0.52%
STACR 2015-HQA1 B 11.0158 03/25/2028 0.52%
STACR 2018-HQA1 M2 04.5158 09/25/2030 0.52%
CAS 2016-C03 1M2 07.5158 10/25/2028 0.51%
CAS 2016-C05 2M2 06.6658 01/25/2029 0.50%
GNR 2016-H11 HI IO 02.0888 01/20/2066 0.50%
FNR 2018-36 SD 0.49%
STACR 2017-DNA2 M2 05.6658 10/25/2029 0.48%
WFRBS 2012-C9 D P/P 144A 04.9397 11/15/2045 0.48%
JPMBB 2013-C14 D P/P 144A 04.7200 08/15/2046 0.47%
STACR 2017-HQA2 M2 04.8658 12/25/2029 0.47%
GNR 2013-87 SA IO 04.0348 06/20/2043 0.46%
STACR 2015-HQ1 M3 06.0158 03/25/2025 0.46%
GCAT 2018-2 A1 P/P 144A 04.0900 06/26/2023 0.45%
GNR 2017-H25 CI IO 02.1916 12/20/2067 0.45%
STACR 2017-DNA3 M2 04.7158 03/25/2030 0.45%
UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 0.44%
STACR 2018-DNA1 B1 05.3658 07/25/2030 0.42%
CAS 2017-C07 1B1 06.2158 05/25/2030 0.41%
FHR 3065 DC 13.3847 03/15/2035 0.41%
CAS 2016-C06 1M2 06.4658 04/25/2029 0.39%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.39%
GNR 2016-H23 NI IO 02.0032 10/20/2066 0.39%
OMIR 2018-1A M2 05.0658 07/25/2028 0.39%
CAS 2016-C03 1B 13.9658 10/25/2028 0.38%
CAS 2017-C06 1B1 06.3658 02/25/2030 0.37%
FEDERAL NATIONAL MORTGAGE ASSN 0.37%
GNR 2016-H27 GI IO 02.3252 12/20/2066 0.37%
STACR 2014-DN4 M3 06.7658 10/25/2024 0.37%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.36%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.35%
FNR 2015-58 KI IO 06.0000 03/25/2037 0.34%
FNR 2018-51 BI IO 05.5000 07/25/2038 0.34%
GNR 2015-H10 HI IO 01.7011 04/20/2065 0.34%
GNR 2017-176 BI IO 03.5000 05/20/2045 0.34%
GNR 2018-1 IO IO 04.5000 01/20/2048 0.34%
BMIR 2018-2A M1C P/P 144A 03.8158 08/25/2028 0.33%
FNR 2008-24 SP 15.1587 02/25/2038 0.33%
FNR 2016-50 SM IO 03.8842 08/25/2046 0.33%
GNR 2017-H03 KI IO 01.7439 01/20/2067 0.33%
GNR 2017-H06 MI IO 02.1084 02/20/2067 0.33%
GNR 2018-H01 XI IO 02.0878 01/20/2068 0.33%
JPMBB 2014-C25 D P/P 144A 04.0931 11/15/2047 0.33%
CSMC 2013-11R 1A2 05.2264 06/27/2034 0.32%
GNMA GII30 609117 04.5000 02/20/2044 0.32%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.31%
GNR 2015-H22 GI IO 02.5734 09/20/2065 0.31%
GNR 2016-H13 IK IO 02.5985 06/20/2066 0.31%
GNR 2017-164 IG IO 03.5000 04/20/2044 0.31%
GNR 2017-H08 EI IO 02.1568 02/20/2067 0.31%
CMLTI 2005-WF2 AF6B 05.5500 08/25/2035 0.30%
FNR 2017-19 IH IO 05.0000 03/25/2047 0.30%
CAS 2016-C02 1M2 08.2158 09/25/2028 0.29%
FHR 4425 EI IO 04.0000 01/15/2045 0.29%
FHR 4436 SC IO 03.9916 02/15/2045 0.29%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.29%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.29%
GNR 2011-156 SK IO 04.4348 04/20/2038 0.29%
GNR 2016-H18 QI IO 02.3111 06/20/2066 0.29%
MLCFC 2006-4 C 05.3240 12/12/2049 0.29%
FNMA FN30 AY8222 04.5000 05/01/2045 0.28%
FNR 12-118 PI IO 04.0000 06/25/2042 0.28%
FNR 2015-86 MI IO 05.5000 11/25/2045 0.28%
GNMA GII30 4114 05.5000 04/20/2038 0.28%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.28%
GNR 2016-H17 DI IO 01.9569 07/20/2066 0.28%
JPALT 2006-A6 1A1 02.3758 11/25/2036 0.28%
MSC 2012-C4 E P/P 144A 05.6008 03/15/2045 0.28%
BMIR 2017-1 M2 P/P 144A 05.5658 10/25/2027 0.27%
FNR 2012-151 IM IO 05.0000 04/25/2042 0.27%
VOLT 2017-NPL8 A1 P/P 144A 03.1250 06/25/2047 0.27%
WFRBS 2013-C11 E P/P 144A 04.4119 03/15/2045 0.27%
FHR 4621 QI IO 03.5000 10/15/2046 0.26%
GNMA GII30 609118 04.5000 02/20/2034 0.26%
GNR 2013-67 IP IO 04.0000 04/16/2043 0.26%
GNR 2015-H22 AI IO 01.6815 09/20/2065 0.26%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.26%
MSC 2011-C3 E P/P 144A 05.3257 07/15/2049 0.26%
FHR 4213 GI IO 04.0000 11/15/2041 0.25%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.25%
GNR 2011-H07 FI IO 01.2291 02/20/2061 0.25%
GNR 2015-H20 CI IO 02.3483 08/20/2065 0.25%
GNR 2016-H03 AI IO 01.3292 01/20/2066 0.25%
GNR 2017-H08 GI IO 02.1823 02/20/2067 0.25%
ARRW 2018-1 A3 04.1570 04/25/2048 0.24%
FHR 4546 PI IO 04.0000 12/15/2045 0.24%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.24%
GNR 2017-H04 BI IO 02.3268 02/20/2067 0.24%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.23%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.23%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.23%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.23%
SPST 2017-LD1 A 03.0158 11/25/2050 0.23%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.23%
WAMU 2005-AR8 2AC2 03.1358 07/25/2045 0.23%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.22%
GNR 2015-H13 AI IO 02.0964 06/20/2065 0.22%
GNR 2016-H04 KI IO 01.2146 02/20/2066 0.22%
GNR 2017-H25 IO IO 01.9457 11/20/2067 0.22%
GNR 2018-89 LS IO 04.1536 06/20/2048 0.22%
GNR 2018-H02 IM IO 01.9802 02/20/2068 0.22%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.22%
CAS 2018-C05 1M2 04.5658 01/25/2031 0.21%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.21%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.21%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.21%
GNR 2014-137 ID IO 05.5000 09/16/2044 0.21%
GNR 2014-H21 AI IO 01.1760 10/20/2064 0.21%
GNR 2017-H08 NI IO 02.1385 03/20/2067 0.21%
CAS 2014-C03 2M2 05.1158 07/25/2024 0.20%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.20%
FHR 4452 QI IO 04.0000 11/15/2044 0.20%
FN30 06.000 2007 0.20%
FNR 2016-3 MI IO 05.5000 02/25/2046 0.20%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.20%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.20%
GNR 2016-H06 DI IO 01.9010 07/20/2065 0.20%
FHR 4425 IO IO 04.0000 01/15/2045 0.19%
FHR 4500 GI IO 04.0000 08/15/2045 0.19%
GNMA GII30 BB0107 04.7000 08/20/2067 0.19%
GNR 2015-H23 TI IO 01.8969 09/20/2065 0.19%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.19%
GNR 2016-H24 IO IO 02.0989 09/20/2066 0.19%
GNR 2017-H10 MI IO 01.6428 04/20/2067 0.19%
FHR 4158 TI IO 03.0000 12/15/2042 0.18%
FHR 4165 TI IO 03.0000 12/15/2042 0.18%
FNMA FN30 AW7089 04.5000 07/01/2044 0.18%
GNMA GII30 BG4861 04.5000 05/20/2048 0.18%
GNMA GII30 BG4862 04.5000 05/20/2048 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 2015-168 IG IO 03.5000 03/20/2043 0.18%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.18%
GNR 2016-H14 AI IO 02.3415 06/20/2066 0.18%
GNR 2016-H24 KI IO 03.0109 11/20/2066 0.18%
GNR 2017-H14 LI IO 02.1780 06/20/2067 0.18%
WFHET 2007-2 A3 02.4458 04/25/2037 0.18%
CAS 2014-C04 1M2 07.1158 11/25/2024 0.17%
FEDERAL NATIONAL MORTGAGE ASSN 0.17%
FNR 2011-4 CS 08.4684 05/25/2040 0.17%
FNR 2018-47 SA IO 04.0342 07/25/2048 0.17%
GNR 2015-H04 AI IO 01.0688 12/20/2064 0.17%
GNR 2016-H06 HI IO 02.0573 02/20/2066 0.17%
GNR 2016-H10 AI IO 01.2851 04/20/2066 0.17%
GNR 2017-H09 IO IO 01.7055 04/20/2067 0.17%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.16%
GNR 2014-H25 BI IO 01.6747 12/20/2064 0.16%
GNR 2015-H25 BI IO 01.5389 10/20/2065 0.16%
GNR 2017-H03 CI IO 02.7466 12/20/2066 0.16%
JPMCC 2013-LC11 D 04.3017 04/15/2046 0.16%
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-H18 CI IO 01.5819 09/20/2064 0.15%
GNR 2015-H16 XI IO 02.3159 07/20/2065 0.15%
GNR 2015-H24 HI IO 02.0277 09/20/2065 0.15%
GNR 2016-H04 HI IO 02.3663 07/20/2065 0.15%
GNR 2018-H05 ID 02.0570 03/20/2068 0.15%
GOVERNMENT NATIONAL MORTGAGE A 0.15%
JPMBB 2014-C23 E P/P 144A 03.3640 09/15/2047 0.15%
TEMP GNH-537 AI IO 01.4849 08/20/2067 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 2015-52 KI IO 03.5000 11/20/2040 0.14%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.14%
GNR 2017-H14 JI IO 02.1882 06/20/2067 0.14%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.14%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.14%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.13%
GNR 2016-H06 AI IO 01.3347 02/20/2066 0.13%
GNR 2016-H24 JI IO 01.8291 11/20/2066 0.13%
GNR 2017-H25 AI IO 02.5429 12/20/2067 0.13%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.13%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.13%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.13%
FEDERAL HOME LOAN MTG CORP 0.12%
FEDERAL NATIONAL MORTGAGE ASSN 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 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 2013-51 QI IO 05.0000 02/20/2043 0.12%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.12%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.12%
MSAC 2004-HE9 M2 03.1458 11/25/2034 0.12%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.12%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.11%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.11%
FHR 4122 TI IO 04.5000 10/15/2042 0.11%
FHR 4150 DI IO 03.0000 01/15/2043 0.11%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.11%
GNR 2013-182 SP IO 04.5348 12/20/2043 0.11%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.11%
GNR 2018-H02 IO IO 02.3030 01/20/2068 0.11%
FNR 2007-53 SP 16.0754 06/25/2037 0.10%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.10%
GNR 2016-H08 GI IO 01.4186 04/20/2066 0.10%
SAMI 2006-AR7 A1BG 02.3358 08/25/2036 0.10%
SWPTN 1MX10Y P 3.05 USD 10/05/2018 CI 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%
FNR 2005-122 SE 15.3447 11/25/2035 0.09%
FNR 2006-8 HP 16.4420 03/25/2036 0.09%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.09%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.09%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.09%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.09%
GNR 2017-H06 EI IO 01.5692 02/20/2067 0.09%
3.026 R ISWP US0003M P 09/25/2028 0.08%
FEDERAL NATIONAL MORTGAGE ASSN 0.08%
FHR 4201 JI IO 03.0000 12/15/2041 0.08%
FNR 2005-106 JC 13.2533 12/25/2035 0.08%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.08%
FNR 2013-55 PI IO 03.0000 05/25/2042 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%
SWPTN 6MX2Y P 2.8225 USD 10/03/2018 MS 0.08%
FNR 2012-62 MI IO 04.0000 03/25/2041 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 3MX2Y P 3.0325 USD 12/12/2018 GS 0.07%
FEDERAL HOME LOAN MTG CORP 0.06%
FHR 2990 LB 11.4289 06/15/2034 0.06%
FHR 3408 EK 17.1078 04/15/2037 0.06%
FHR 4136 ES IO 04.0916 11/15/2042 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FNR 2005-75 GS 13.6026 08/25/2035 0.06%
FNR 2006-62 PS 26.6051 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 2013-30 IP IO 03.0000 10/25/2041 0.06%
GII30 06.500 2000 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%
SWPTN 1MX10Y R 3.087 USD 10/26/2018 CI 0.06%
SWPTN 1YX30Y P 3.031 USD 06/14/2019 CI 0.06%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.06%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.06%
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%
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 2011-71 IK IO 04.0000 04/16/2039 0.05%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.05%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.05%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.05%
SWPTN 3MX2Y P 2.925 USD 11/30/2018 JP 0.05%
SWPTN 3MX2Y P 3.01 USD 12/12/2018 GS 0.05%
SWPTN 5WX10Y P 3.1 USD 10/12/2018 GS 0.05%
SWPTN 5WX10Y R 3.05 USD 11/02/2018 GS 0.05%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.05%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.05%
SWPTN LIABILITY 5WX10Y P 3.13 USD 11/02/2018 GS 0.05%
SWPTN LIABILITY 5WX10Y R 3.13 USD 11/02/2018 GS 0.05%
3.05 R ISWP FWD US0003M P 12/19/2020 0.04%
3.15 R ISWP FWD US0003M P 12/19/2028 0.04%
CAS 2016-C07 2M2 06.5658 05/25/2029 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.04%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.04%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.04%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.04%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.04%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.04%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.04%
SWPTN 5WX10Y P 3.2175 USD 11/02/2018 GS 0.04%
2.75 R ISWP FWD US0003M P 06/20/2023 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.03%
FEDERAL HOME LOAN MTG CORP 0.03%
FHR 4199 CI IO 03.5000 12/15/2037 0.03%
FNR 2005-83 QP 11.6329 11/25/2034 0.03%
FNR 2011-123 KS IO 04.3842 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%
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%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.03%
SWPTN 3MX2Y R 3.0325 USD 12/12/2018 GS 0.03%
SWPTN 6MX2Y P 2.92875 USD 11/29/2018 MS 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.02%
CPURNSA R 1.89 P 07/05/22 0.02%
CPURNSA R 1.9225 P 07/03/22 0.02%
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%
GN30 06.500 2005 0.02%
GNR 2011-81 SB IO 04.5466 11/16/2036 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
OPTN FN30 3.0 10/04/18 PUT 96.328125 JPMC 0.02%
OPTN FN30 3.5 10/04/18 CALL 98.34375 JPMC 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%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.02%
SWPTN 1MX10Y P 3.25325 USD 10/26/2018 CI 0.02%
SWPTN 3MX2Y R 3.01 USD 12/12/2018 GS 0.02%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.02%
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 JP 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 MS 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 02.5658 05/25/2042 0.01%
GN30 06.500 2008 0.01%
3.1215 R ISWP FWD US0003M P 10/02/2028 0.00%
3.167 R ISWP FWD US0003M P 10/30/2028 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 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 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 GS 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.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.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 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 2014 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 P USL1M R 01/12/42 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.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 10/04/18 CALL 93.16015625 JPMC 0.00%
OPTN FN30 3.0 10/04/18 CALL 96.328125 JPMC 0.00%
OPTN FN30 3.5 10/04/18 CALL 99.12890625 JPMC 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%
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 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 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 6WX10Y R 2.76 USD 10/09/2018 JP 0.00%
3.10 R ISWP FWD US0003M P 12/19/2023 -0.01%
3.14177 R ISWP US0003M P 09/28/2028 -0.01%
3.20 R ISWP FWD US0003M P 12/19/2048 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 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.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.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 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 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%
OPTN FN30 2.5 10/04/18 PUT 93.16015625 JPMC -0.01%
OPTN FN30 3.5 10/04/18 PUT 98.34375 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.35546875 JPMC -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%
OPTN FN30 3.5 12/06/18 PUT 98.015625 JPMC -0.01%
SWPTN 6WX10Y P 3.16 USD 10/09/2018 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 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -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 ML -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CPURNSA P 2.085 R 07/03/27 -0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.02%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -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 P 3.167 USD 10/26/2018 CI -0.02%
SWPTN 3MX2Y P 3.085 USD 11/30/2018 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CPURNSA P 2.05 R 07/05/27 -0.03%
SWPTN 3MX2Y P 3.005 USD 11/30/2018 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%
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 JP -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
SWPTN 5WX10Y P 3.13 USD 11/02/2018 GS -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 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -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 JP -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.05%
SWPTN 3MX4Y R 3.02125 USD 12/12/2018 GS -0.05%
SWPTN 5WX10Y P 3.015 USD 10/12/2018 GS -0.05%
SWPTN 5WX10Y R 3.13 USD 11/02/2018 GS -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.05%
SWPTN LIABILITY 5WX10Y P 3.2175 USD 11/02/2018 GS -0.05%
SWPTN LIABILITY 5WX10Y R 3.05 USD 11/02/2018 GS -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.06%
SWPTN 1MX10Y R 3.167 USD 10/26/2018 CI -0.06%
SWPTN 1YX5Y P 3.09 USD 06/14/2019 CI -0.06%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.07%
2.936 R ISWP US0003M P 09/25/2028 -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.08%
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 JP -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.09%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.10%
SWPTN 1MX10Y P 2.97 USD 10/05/2018 CI -0.10%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.10%
SWPTN 7YX23Y R 3.0 USD 04/04/2025 MS -0.11%
SWPTN 7YX23Y R 3.0 USD 04/14/2025 MS -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.12%
SWPTN 3MX4Y P 3.02125 USD 12/12/2018 GS -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.17%
OPTN FN30 3.5 10/04/18 PUT 99.12890625 JPMC -0.17%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.18%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.18%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.22%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.22%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.26%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.26%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.27%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.38%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.52%
FNMA FN30 TBA 03.5000 10/01/2048 -6.83%

Prior top 10 holdings

Top 10 holdings as of 10/31/18
1: Fnma Fn30 Tba 03.0000 11/01/2048 11.93%
2: Gnma Gii30 Tba 03.5000 11/01/2048 8.85%
3: Gnma Gii30 Tba 03.0000 11/01/2048 8.61%
4: Fhlmc Fh30g Tba 03.0000 11/01/2048 6.81%
5: Gnma Gii30 Tba 04.5000 12/01/2048 5.54%
6: Gnma Gii30 Tba 04.0000 11/01/2048 5.44%
7: Fnr 2007-95 A3 02.5314 08/27/2036 3.26%
8: Fnma Fn30 Av7064 03.0000 05/01/2045 2.37%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.36%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.88%
Holdings represent 57.05% of portfolio
Top 10 holdings as of 09/30/18
1: Fnma Fn30 Tba 03.0000 10/01/2048 13.28%
2: Gnma Gii30 Tba 03.5000 10/01/2048 8.62%
3: Gnma Gii30 Tba 03.0000 10/01/2048 8.40%
4: Fhlmc Fh30g Tba 03.0000 10/01/2048 6.64%
5: Gnma Gii30 Tba 04.5000 10/01/2048 5.38%
6: Gnma Gii30 Tba 04.0000 10/01/2048 5.29%
7: Fnr 2007-95 A3 02.4658 08/27/2036 3.14%
8: Fnma Fn30 Av7064 03.0000 05/01/2045 2.31%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.31%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.84%
Holdings represent 57.21% of portfolio
Top 10 holdings as of 08/31/18
1: Gnma Gii30 Tba 03.5000 09/01/2048 8.59%
2: Fnma Fn30 Tba 03.5000 10/01/2048 8.50%
3: Gnma Gii30 Tba 03.0000 09/01/2048 8.37%
4: Fhlmc Fh30g Tba 03.0000 09/01/2048 6.62%
5: Gnma Gii30 Tba 04.5000 09/01/2048 5.34%
6: Gnma Gii30 Tba 04.0000 09/01/2048 5.26%
7: Fnr 2007-95 A3 02.3148 08/27/2036 3.09%
8: Fnma Fn30 Av7064 03.0000 05/01/2045 2.48%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.29%
10: Gnma Gii30 626944 03.5000 05/20/2045 1.83%
Holdings represent 52.37% of portfolio
Top 10 holdings as of 07/31/18
1: Fnma Fn30 Tba 03.0000 08/01/2048 13.13%
2: Gnma Gii30 Tba 03.5000 09/01/2048 8.51%
3: Fnma Fn30 Tba 03.5000 09/01/2048 8.43%
4: Gnma Gii30 Tba 03.0000 08/01/2048 8.30%
5: Fhlmc Fh30g Tba 03.0000 08/01/2048 6.56%
6: Gnma Gii30 Tba 04.5000 08/01/2048 5.30%
7: Gnma Gii30 Tba 04.0000 08/01/2048 5.22%
8: Fnr 2007-95 A3 02.3136 08/27/2036 3.08%
9: Fnma Fn30 Av7064 03.0000 05/01/2045 2.53%
10: Gnma Gii30 626947 04.0000 05/20/2045 2.28%
Holdings represent 63.34% of portfolio

Sector Weightings as of 10/31/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 27.94% 1.88 43.81% 2.85 71.75% 4.73
Agency CMO 42.95% 1.80 0.76% 0.03 43.71% 1.83
Commercial MBS 4.90% 0.18 38.81% 1.19 43.71% 1.37
Residential MBS (non-agency) 19.82% 1.05 0.00% 0.00 19.82% 1.05
Net cash 3.61% 0.00 0.00% 0.00 3.61% 0.00
Asset-backed securities (ABS) 0.78% 0.01 0.00% 0.00 0.78% 0.01
Interest rate swaps 0.00% 0.00 0.00% -2.95 0.00% -2.95

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.


Expenses

Sales Charges/Fees

Breakpoint Sales Charge Dealer Allowance CDSC Liab
$0 - $0 0.00% 0.00% N

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.

CDSC

Year Percent
1 7.00%
2 7.00%
3 6.00%
4 5.00%
5 4.00%
6 3.00%
7 2.00%
8+ 0.00%