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 09/20/18

with optional enhanced death benefits
Unit Value $17.734207 $17.239391
Unit Value Change 0.018647 0.018056

Lipper ranking ‡ as of 08/31/18

Category: General U.S. Government Funds

  Percentile ranking Rank/Funds in category
10 yrs. 23% 10/43
1 yr. 11% 6/57
3 yrs. 76% 43/56
5 yrs. 62% 34/54

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 08/31/18

Fiscal Year End December
Asset Class Putnam Allstate Advisor
Subaccount Status Open to new investors
Number of issues 645
Turnover (fiscal year end) 1,188%
Net Assets $58M
Inception Date 02/01/00

Performance

Performance as of 06/30/18

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 0.12% -0.56% -0.65% -0.89% 0.14% 2.35% 3.21%
Standardized -8.63% -9.26% -9.35% -5.63% -3.63% -0.44% 0.56%
With optional enhanced death benefit
Unit Value 0.08% -0.63% -0.80% -1.04% -0.01% 2.19% 3.06%
Standardized -8.67% -9.33% -9.49% -5.78% -3.79% -0.61% 0.37%
Actual performance
Unit Value 0.12% -0.56% -0.65% -0.89% 0.14% 2.35% 3.21%
Standardized -8.63% -9.26% -9.35% -5.63% -3.63% -0.44% 0.56%
With optional enhanced death benefit
Unit Value 0.08% -0.63% -0.80% -1.04% -0.01% 2.19% 3.06%
Standardized -8.67% -9.33% -9.49% -5.78% -3.79% -0.61% 0.37%

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 08/31/18

Unit Value -0.11%
Standardized -8.84%

YTD as of 09/19/18

Unit Value -1.59%
Standardized -10.21%

With optional enhanced death benefit

Monthly as of 08/31/18

Unit Value -0.12%
Standardized -8.85%

YTD as of 09/19/18

Unit Value -1.69%
Standardized -10.31%

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 Hartford products are flexible-premium variable annuities issued by Hartford Life and Annuity Insurance Company, 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 Hartford 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 Hartford 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 08/31/18

Avg. Eff. Maturity 11.93
Avg. Price 83.44
Avg. Eff. Duration 5.18
Avg. Coupon 6.90
Avg. Yield to Maturity 6.84
Alpha (%) --
Beta 0.51
R Squared 0.68
Standard Deviation (3 yrs.) 1.84

Maturity Details

0 to 1 yr. -54.63%
1 to 5 yrs. 19.13%
5 to 10 yrs. 124.08%
10 to 15 yrs. 11.36%
Over 15 yrs. 0.06%

Quality Ratings

AAA 136.06%
AA 0.46%
A 8.21%
BBB 3.20%
BB 4.81%
B 5.53%
CCC and Below 2.35%
Not Rated -60.62%

Holdings

Top 10 holdings as of 08/31/18

Gnma Gii30 Tba 03.5000 09/01/2048 8.59%
Fnma Fn30 Tba 03.5000 10/01/2048 8.50%
Gnma Gii30 Tba 03.0000 09/01/2048 8.37%
Fhlmc Fh30g Tba 03.0000 09/01/2048 6.62%
Gnma Gii30 Tba 04.5000 09/01/2048 5.34%
Gnma Gii30 Tba 04.0000 09/01/2048 5.26%
Fnr 2007-95 A3 02.3148 08/27/2036 3.09%
Fnma Fn30 Av7064 03.0000 05/01/2045 2.48%
Gnma Gii30 626947 04.0000 05/20/2045 2.29%
Gnma Gii30 626944 03.5000 05/20/2045 1.83%
Top 10 holdings, total: 52.37%

Full Portfolio 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 6.64%
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%
GNMA GII30 626944 03.5000 05/20/2045 1.80%
GNMA GII30 TBA 05.0000 07/01/2048 1.75%
FNMA FN30 TBA 02.5000 07/01/2048 1.57%
FNMA FN40 BF0169 3.500000 01/01/2057 1.52%
FNMA FN30 AV7065 03.5000 05/01/2045 1.51%
GNMA GII30P 784109 04.0000 10/20/2045 1.48%
BF0101 03.5000 06/01/2056 1.45%
GNMA GII30 626906 03.5000 01/20/2045 1.40%
FNMA FN30 AX5483 03.5000 10/01/2045 1.37%
GNMA GII30 626939 04.0000 04/20/2045 1.37%
FHS 315 PO PO 00.0000 09/15/2043 1.31%
FNMA FN30 AX5554 03.0000 10/01/2046 1.10%
G60183 04.0000 12/01/2044 1.10%
FNMA FN30 AX5472 03.5000 08/01/2045 1.07%
FHLMC FH30G G60314 04.0000 09/01/2045 0.96%
FNMA FN30 AL6919 05.5000 01/01/2038 0.90%
FHR 3835 FO PO 00.0000 04/15/2041 0.83%
FNR 2016-85 SL IO 04.0089 11/25/2046 0.78%
CARR 2006-NC2 A4 02.3311 06/25/2036 0.77%
CAS 2017-C05 1B1 05.6911 01/25/2030 0.75%
VOLT 2017-NPL3 A1 P/P 144A 03.5000 03/25/2047 0.75%
BAYV 2006-C 1A3 06.0280 11/28/2036 0.74%
CMLTI 2007-AR5 1A1A 03.8172 04/25/2037 0.73%
WAMU 2005-AR14 1A2 03.4129 12/25/2035 0.73%
CWL 2007-10 1A1 02.2711 06/25/2047 0.72%
FNMA FN30 AX5516 04.0000 03/01/2046 0.72%
STACR 2016-DNA3 M3 07.0911 12/25/2028 0.71%
CAS 2018-C03 1M2 04.2411 10/25/2030 0.70%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.70%
STACR 2014-HQ3 M3 06.8411 10/25/2024 0.64%
GNMA GII30 609146 04.5000 05/20/2044 0.61%
CAS 2017-C01 1M2 05.6411 07/25/2029 0.60%
GNR 2017-H20 AI IO 02.1310 10/20/2067 0.56%
FNR 2016-83 BS IO 04.0089 11/25/2046 0.55%
CAS 2016-C06 1M2 06.3411 04/25/2029 0.54%
FNR 2010-109 IM IO 05.5000 09/25/2040 0.54%
GNR 2016-H07 PI IO 02.2613 03/20/2066 0.54%
CAS 2018 - C01 1B1 05.6411 07/25/2030 0.53%
GNMA GII30 BG4860 04.5000 05/20/2048 0.53%
FNR 2018-36 SD 0.52%
STACR 2015-HQA1 B 10.8911 03/25/2028 0.51%
CAS 2017-C06 1M2 04.7411 02/25/2030 0.50%
CAS 2018-C02 2M2 04.2911 08/25/2030 0.50%
CAS 2018-C04 2M2 04.6519 12/25/2030 0.50%
GNR 2016-H11 HI IO 02.0874 01/20/2066 0.50%
CAS 2016-C03 1M2 07.3911 10/25/2028 0.49%
STACR 2018-DNA2 B1 05.7573 12/25/2030 0.49%
STACR 2018-HQA1 M2 04.3911 09/25/2030 0.49%
CAS 2016-C05 2M2 06.5411 01/25/2029 0.48%
FHR 3065 DC 13.6403 03/15/2035 0.48%
VOLT 2017-NPL2 A1 P/P 144A 03.5000 03/25/2047 0.47%
STACR 2017-DNA2 M2 05.5411 10/25/2029 0.46%
WFRBS 2012-C9 D P/P 144A 04.9398 11/15/2045 0.46%
GCAT 2018-2 A1 P/P 144A 04.0900 06/26/2023 0.45%
JPMBB 2013-C14 D P/P 144A 04.7172 08/15/2046 0.45%
STACR 2015-HQ1 M3 05.8911 03/25/2025 0.45%
STACR 2017-HQA2 M2 04.7411 12/25/2029 0.45%
GNR 2017-H25 CI IO 02.1819 12/20/2067 0.43%
MLCFC 2006-4 C 05.3240 12/12/2049 0.43%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.42%
GNR 2016-H23 NI IO 01.8293 10/20/2066 0.41%
STACR 2018-DNA1 B1 05.2411 07/25/2030 0.39%
CAS 2017-C07 1B1 06.0911 05/25/2030 0.38%
GNR 2016-H27 GI IO 02.3262 12/20/2066 0.38%
CAS 2016-C03 1B 13.8411 10/25/2028 0.37%
FEDERAL NATIONAL MORTGAGE ASSN 0.37%
STACR 2014-DN4 M3 06.6411 10/25/2024 0.37%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.36%
GNR 2015-H10 HI IO 01.8930 04/20/2065 0.36%
CAS 2017-C06 1B1 06.2411 02/25/2030 0.35%
FNR 2008-24 SP 15.6159 02/25/2038 0.35%
FNR 2015-58 KI IO 06.0000 03/25/2037 0.35%
FNR 2016-50 SM IO 04.0089 08/25/2046 0.35%
FNR 2018-51 BI IO 05.5000 07/25/2038 0.35%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.35%
GNR 2018-1 IO IO 04.5000 01/20/2048 0.35%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.34%
2.75 R ISWP FWD US0003M P 06/20/2023 0.33%
GNMA GII30 609117 04.5000 02/20/2044 0.33%
GNR 2017-164 IG IO 03.5000 04/20/2044 0.33%
GNR 2017-H03 KI IO 01.9451 01/20/2067 0.33%
GNR 2017-H06 MI IO 02.1059 02/20/2067 0.33%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.33%
FHR 4436 SC IO 04.0768 02/15/2045 0.32%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.32%
GNR 2015-H22 GI IO 02.5722 09/20/2065 0.32%
GNR 2017-176 BI IO 03.5000 05/20/2045 0.32%
GNR 2017-H08 EI IO 02.1030 02/20/2067 0.32%
GNR 2018-H01 XI IO 02.0795 01/20/2068 0.32%
CSMC 2013-11R 1A2 05.3129 06/27/2034 0.31%
GNR 2011-156 SK IO 04.5163 04/20/2038 0.31%
GNR 2016-H13 IK IO 02.5972 06/20/2066 0.31%
FNR 2017-19 IH IO 05.0000 03/25/2047 0.30%
GNR 2016-H18 QI IO 01.8402 06/20/2066 0.30%
FNMA FN30 AY8222 04.5000 05/01/2045 0.29%
FNR 2015-86 MI IO 05.5000 11/25/2045 0.29%
GNMA GII30 4114 05.5000 04/20/2038 0.29%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.29%
CAS 2016-C02 1M2 08.0911 09/25/2028 0.28%
FHR 4425 EI IO 04.0000 01/15/2045 0.28%
FNR 12-118 PI IO 04.0000 06/25/2042 0.28%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.28%
FNR 2012-151 IM IO 05.0000 04/25/2042 0.28%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.28%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.28%
GNR 2016-H17 DI IO 02.2214 07/20/2066 0.28%
JPALT 2006-A6 1A1 02.2511 11/25/2036 0.28%
WFRBS 2013-C11 D P/P 144A 04.4135 03/15/2045 0.28%
GNR 2011-H07 FI IO 01.2302 02/20/2061 0.27%
GNR 2015-H22 AI IO 01.3899 09/20/2065 0.27%
VOLT 2017-NPL8 A1 P/P 144A 03.1250 06/25/2047 0.27%
FHR 4213 GI IO 04.0000 11/15/2041 0.26%
GNR 2015-H20 CI IO 01.5873 08/20/2065 0.26%
GNR 2016-H03 AI IO 01.5419 01/20/2066 0.26%
MSC 2012-C4 E P/P 144A 05.6009 03/15/2045 0.26%
ARRW 2018-1 A3 04.1570 04/25/2048 0.25%
GNMA GII30 609118 04.5000 02/20/2034 0.25%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.25%
GNR 2013-67 IP IO 04.0000 04/16/2043 0.25%
GNR 2017-H04 BI IO 02.3127 02/20/2067 0.25%
GNR 2017-H08 GI IO 02.1729 02/20/2067 0.25%
FHR 4546 PI IO 04.0000 12/15/2045 0.24%
FHR 4621 QI IO 03.5000 10/15/2046 0.24%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.24%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.23%
GNR 2015-H13 AI IO 02.0914 06/20/2065 0.23%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.23%
GNR 2018-89 LS IO 04.1536 06/20/2048 0.23%
WAMU 2005-AR8 2AC2 03.0111 07/25/2045 0.23%
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 2014-H21 AI IO 01.1672 10/20/2064 0.22%
GNR 2016-H04 KI IO 01.3917 02/20/2066 0.22%
SPST 2017-LD1 A 02.8911 11/25/2050 0.22%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.21%
FN30 06.000 2007 0.21%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.21%
FNR 2015-10 AI IO 03.5000 08/25/2043 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 2017-H08 NI IO 02.0977 03/20/2067 0.21%
GNR 2017-H25 IO IO 01.8158 11/20/2067 0.21%
CAS 2014-C03 2M2 04.9911 07/25/2024 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 01.5779 07/20/2065 0.20%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 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 4165 TI IO 03.0000 12/15/2042 0.19%
FHR 4452 QI IO 04.0000 11/15/2044 0.19%
GNMA GII30 BB0107 04.7000 08/20/2067 0.19%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.19%
GNR 2015-H23 TI IO 01.8945 09/20/2065 0.19%
GNR 2016-H24 IO IO 02.1008 09/20/2066 0.19%
GNR 2016-H24 KI IO 02.9761 11/20/2066 0.19%
GNR 2017-H10 MI IO 01.6013 04/20/2067 0.19%
GNR 2017-H14 LI IO 02.6458 06/20/2067 0.19%
FHR 4425 IO IO 04.0000 01/15/2045 0.18%
FNMA FN30 AW7089 04.5000 07/01/2044 0.18%
FNR 2018-47 SA IO 04.2100 07/25/2048 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 2016-H10 AI IO 01.3964 04/20/2066 0.18%
GNR 2016-H14 AI IO 02.2193 06/20/2066 0.18%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.18%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.18%
WFHET 2007-2 A3 02.3211 04/25/2037 0.18%
CAS 2014-C04 1M2 06.9911 11/25/2024 0.17%
FHR 4500 GI IO 04.0000 08/15/2045 0.17%
FNR 2011-4 CS 08.7177 05/25/2040 0.17%
GNR 2015-H04 AI IO 01.2822 12/20/2064 0.17%
GNR 2015-H25 BI IO 01.4386 10/20/2065 0.17%
GNR 2016-H06 HI IO 02.0560 02/20/2066 0.17%
GNR 2017-H03 CI IO 02.4901 12/20/2066 0.17%
GNR 2017-H09 IO IO 01.7043 04/20/2067 0.17%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 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%
FEDERAL NATIONAL MORTGAGE ASSN 0.16%
GII30 06.000 1997 0.16%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.16%
GNR 2014-H18 CI IO 01.5855 09/20/2064 0.16%
GNR 2014-H25 BI IO 01.6761 12/20/2064 0.16%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.16%
GNR 2015-H16 XI IO 01.7617 07/20/2065 0.16%
GNR 2015-H24 HI IO 02.0270 09/20/2065 0.16%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.16%
FEDERAL HOME LOAN MTG CORP 0.15%
FHR 4019 JI IO 04.0000 05/15/2041 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 2016-156 PI IO 03.5000 11/20/2046 0.15%
GNR 2016-H04 HI IO 02.3653 07/20/2065 0.15%
GNR 2018-H05 ID 02.0570 03/20/2068 0.15%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.15%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.15%
TEMP GNH-537 AI IO 01.7481 08/20/2067 0.15%
FHR 4136 IQ IO 03.5000 11/15/2042 0.14%
FHR 4530 HI IO 04.0000 11/15/2045 0.14%
GNR 2017-H14 JI IO 02.1734 06/20/2067 0.14%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.13%
GNR 2016-H06 AI IO 01.5503 02/20/2066 0.13%
GNR 2016-H24 JI IO 01.7220 11/20/2066 0.13%
GNR 2017-H25 AI IO 02.3519 12/20/2067 0.13%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.13%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.13%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.13%
FEDERAL NATIONAL MORTGAGE ASSN 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FHR 4122 TI IO 04.5000 10/15/2042 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 2012-104 HI IO 04.0000 09/25/2027 0.12%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.12%
GNR 2013-182 SP IO 04.6163 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 2018-H02 IO IO 02.1056 01/20/2068 0.12%
MSAC 2004-HE9 M2 03.0211 11/25/2034 0.12%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.12%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.12%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.12%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 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%
FNMA FN30 BD5297 03.5000 01/01/2047 0.11%
FNR 2005-106 JC 13.6399 12/25/2035 0.11%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.11%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.11%
FHR 4150 DI IO 03.0000 01/15/2043 0.10%
FNR 2007-53 SP 16.5325 06/25/2037 0.10%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.10%
GNR 2016-H08 GI IO 01.4213 04/20/2066 0.10%
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 15.7810 11/25/2035 0.09%
FNR 2006-8 HP 16.8992 03/25/2036 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 01.5711 02/20/2067 0.09%
OPTN FN30 3.5 07/05/18 CALL 99.1953125 JPMC 0.09%
FEDERAL NATIONAL MORTGAGE ASSN 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
FHR 4201 JI IO 03.0000 12/15/2041 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%
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 2013-18 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 1MX10Y R 2.965 USD 07/13/2018 GS 0.08%
SWPTN 3MX10Y R 2.89 USD 09/21/2018 MS 0.08%
SWPTN 5WX10Y R 2.9125 USD 07/23/2018 MS 0.08%
FEDERAL HOME LOAN MTG CORP 0.07%
FHR 2990 LB 11.6466 06/15/2034 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%
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 7YX5Y R 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.07%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.07%
FHR 3408 EK 17.4506 04/15/2037 0.06%
FHR 3996 IK IO 04.0000 03/15/2039 0.06%
FHR 4136 ES IO 04.1768 11/15/2042 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FNR 2005-75 GS 13.9766 08/25/2035 0.06%
FNR 2006-62 PS 27.3532 07/25/2036 0.06%
FNR 2008-53 DO PO 00.0000 07/25/2038 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 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%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.06%
SWPTN 6MX2Y P 2.8225 USD 10/03/2018 MS 0.06%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.06%
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 2014-102 IG IO 03.5000 03/16/2041 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 1YX30Y P 3.031 USD 06/14/2019 CI 0.05%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.05%
SWPTN 5WX10Y R 2.89 USD 07/25/2018 BC 0.05%
SWPTN 5WX10Y R 2.945 USD 07/09/2018 CI 0.05%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.05%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 0.05%
CAS 2016-C07 2M2 06.4411 05/25/2029 0.04%
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 2010-151 KO PO 00.0000 06/16/2037 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%
GNR 2014-147 MI IO 03.5000 07/20/2039 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.04%
SWPTN 3MX2Y R 3.056 USD 09/12/2018 CS 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 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%
2.79375 R ISWP US0003M P 06/07/2020 0.03%
3.00 R ISWP FWD US0003M P 09/19/2048 0.03%
FEDERAL HOME LOAN MTG CORP 0.03%
FNR 2005-83 QP 11.9571 11/25/2034 0.03%
FNR 2011-123 KS IO 04.5089 10/25/2041 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 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 2YX3Y P 2.43 USD 02/15/2019 BC 0.03%
SWPTN 3MX10Y R 2.8475 USD 08/15/2018 CS 0.03%
SWPTN 3MX1Y R 3.005 USD 09/04/2018 GS 0.03%
SWPTN 3MX1Y R 3.04375 USD 09/11/2018 GS 0.03%
SWPTN 3MX2Y R 2.895 USD 09/12/2018 CS 0.03%
SWPTN 6MX2Y P 2.68 USD 07/16/2018 JP 0.03%
SWPTN 6MX2Y P 2.92875 USD 11/29/2018 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 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%
CPURNSA R 1.89 P 07/05/22 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%
GNR 2011-81 SB IO 04.6199 11/16/2036 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%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
SWPTN 14WX10Y R 2.745 USD 08/28/2018 MS 0.02%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.02%
SWPTN 3MX10Y R 2.884 USD 07/17/2018 CI 0.02%
SWPTN 3MX1Y P 3.005 USD 09/04/2018 GS 0.02%
SWPTN 3MX1Y P 3.04375 USD 09/11/2018 GS 0.02%
SWPTN 3MX1Y R 2.73375 USD 09/11/2018 GS 0.02%
SWPTN 3MX2Y P 2.895 USD 09/12/2018 CS 0.02%
SWPTN 3MX2Y P 2.895 USD 09/12/2018 JP 0.02%
SWPTN 3MX2Y P 3.056 USD 09/12/2018 CS 0.02%
SWPTN 5WX10Y R 2.85 USD 07/25/2018 CS 0.02%
SWPTN 6WX10Y R 2.826 USD 08/03/2018 CI 0.02%
SWPTN 6WX10Y R 2.865 USD 07/30/2018 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%
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 02.4411 05/25/2042 0.01%
GN30 06.500 2008 0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC 0.01%
OPTN FN30 2.5 07/05/18 CALL 93.21875 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.5234375 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.6796875 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.8359375 JPMC 0.01%
SWPTN 14WX2Y R 2.8 USD 07/25/2018 CS 0.01%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 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 2YX8Y R 2.5925 USD 01/24/2019 BA 0.01%
SWPTN 3MX1Y P 2.7 USD 09/04/2018 GS 0.01%
SWPTN 3MX1Y P 2.73375 USD 09/11/2018 GS 0.01%
SWPTN 3MX1Y R 2.7 USD 09/04/2018 GS 0.01%
SWPTN 3MX2Y R 2.78 USD 07/18/2018 MS 0.01%
SWPTN 6WX10Y P 3.115 USD 07/30/2018 JP 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
2.90 R ISWP FWD US0003M P 09/19/2023 0.00%
2.9035 R ISWP US0003M P 06/27/2023 0.00%
2.91024 R ISWP US0003M P 07/02/2028 0.00%
2.92287 R ISWP US0003M P 07/03/2028 0.00%
2.92594 R ISWP US0003M P 07/03/2028 0.00%
2.9398 R ISWP US0003M P 06/28/2028 0.00%
2.95 R ISWP FWD US0003M P 09/19/2028 0.00%
2.98 R ISWP FWD US0003M P 07/27/2028 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 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 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.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 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%
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%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 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 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.FN30.600.08 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 07/05/18 PUT 93.21875 JPMC 0.00%
OPTN FN30 3.0 07/05/18 PUT 96.4375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 97.875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.03125 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.1875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.234375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.390625 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.546875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.59375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.75 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.90625 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.3828125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.5390625 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.6953125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.953125 JPMC 0.00%
SWPTN 14WX10Y P 3.255 USD 09/04/2018 BC 0.00%
SWPTN 14WX10Y R 2.655 USD 09/04/2018 BC 0.00%
SWPTN 1MX10Y P 2.9425 USD 07/02/2018 BC 0.00%
SWPTN 1MX10Y P 2.9525 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y P 3.0625 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y P 3.135 USD 07/13/2018 GS 0.00%
SWPTN 1MX10Y R 2.8425 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y R 2.9425 USD 07/02/2018 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 1YX1Y R 2.3025 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.00%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 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 3MX10Y P 3.3575 USD 08/15/2018 CS 0.00%
SWPTN 3MX10Y R 2.739 USD 07/17/2018 CI 0.00%
SWPTN 3MX10Y R 2.8525 USD 07/18/2018 MS 0.00%
SWPTN 5WX10Y P 3.03 USD 07/09/2018 CI 0.00%
SWPTN 5WX10Y P 3.115 USD 07/09/2018 CI 0.00%
SWPTN 6MX1Y R 2.47 USD 08/14/2018 CI 0.00%
SWPTN 6MX1Y R 2.6325 USD 08/14/2018 CI 0.00%
2.875 R ISWP FWD US0003M P 09/19/2020 -0.01%
2.90375 R ISWP US0003M P 06/07/2020 -0.01%
2.9715 R ISWP US0003M P 06/26/2028 -0.01%
2.975 R ISWP FWD US0003M P 07/27/2028 -0.01%
2.976 R ISWP FWD US0003M P 08/07/2028 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
IOS.FN30.400.13 R USL1M P 01/12/44 CS -0.01%
OPTN FN30 3.5 07/05/18 PUT 99.1953125 JPMC -0.01%
OPTN FN30 3.5 09/06/18 PUT 98.109375 JPMC -0.01%
OPTN FN30 3.5 09/06/18 PUT 98.265625 JPMC -0.01%
SWPTN 14WX10Y P 3.255 USD 08/28/2018 MS -0.01%
SWPTN 14WX10Y R 2.915 USD 07/25/2018 CS -0.01%
SWPTN 1MX10Y P 3.05 USD 07/13/2018 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 2YX20Y R 2.584 USD 11/08/2019 GS -0.01%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.01%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.01%
SWPTN 3MX10Y P 3.029 USD 07/17/2018 CI -0.01%
SWPTN 3MX10Y P 3.24 USD 09/21/2018 MS -0.01%
SWPTN 3MX2Y P 2.975 USD 09/12/2018 JP -0.01%
SWPTN 3MX2Y P 3.055 USD 09/12/2018 JP -0.01%
SWPTN 5WX10Y P 3.1 USD 07/25/2018 CS -0.01%
SWPTN 5WX10Y P 3.1225 USD 07/23/2018 MS -0.01%
SWPTN 6WX10Y P 3.126 USD 08/03/2018 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 P 2.553 USD 11/08/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS -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%
2.899 R ISWP US0003M P 07/03/2028 -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 MS -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.02%
CPURNSA P 2.05 R 07/05/27 -0.02%
CPURNSA P 2.085 R 07/03/27 -0.02%
OPTN FN30 3.0 07/05/18 CALL 96.4375 JPMC -0.02%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.02%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.02%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.02%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.03%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.03%
SWPTN 3MX2Y P 2.75 USD 08/29/2018 MS -0.03%
SWPTN 3MX2Y P 2.8875 USD 09/11/2018 GS -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.04%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.04%
SWPTN 3MX10Y P 3.02 USD 07/27/2018 MS -0.04%
SWPTN 3MX2Y P 2.85 USD 09/04/2018 GS -0.04%
SWPTN 3MX2Y R 2.85 USD 09/04/2018 GS -0.04%
SWPTN 3MX4Y P 2.973 USD 09/12/2018 CS -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 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 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%
SWPTN 1YX5Y P 3.09 USD 06/14/2019 CI -0.05%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.05%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.05%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.05%
SWPTN 3MX2Y R 2.8875 USD 09/11/2018 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 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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.06%
SWPTN 3MX10Y R 2.99 USD 09/21/2018 MS -0.06%
SWPTN 3MX2Y P 2.655 USD 07/03/2018 MS -0.06%
SWPTN 5WX10Y R 2.98 USD 07/25/2018 BC -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%
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 CG -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 GS -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.07%
SWPTN 3MX4Y R 2.973 USD 09/12/2018 CS -0.07%
SWPTN 5WX10Y R 2.9725 USD 07/23/2018 MS -0.07%
SWPTN 5WX10Y R 3.03 USD 07/09/2018 CI -0.07%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.07%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.07%
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 MS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE -0.09%
SWPTN 1MX10Y R 3.05 USD 07/13/2018 GS -0.09%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.09%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.11%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -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 1YX2Y P 2.77 USD 01/16/2019 JP -0.13%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.13%
SWPTN 7YX23Y R 3.0 USD 04/04/2025 MS -0.13%
SWPTN 7YX23Y R 3.0 USD 04/14/2025 MS -0.13%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.15%
SWPTN 3MX10Y R 3.02 USD 07/27/2018 MS -0.16%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.18%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.18%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.21%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.21%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.23%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.25%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.25%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.32%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.34%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.34%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.44%
FHLMC FH30G TBA 03.0000 07/01/2048 -1.62%
FNMA FN30 TBA 04.0000 07/01/2048 -3.41%

Prior top 10 holdings

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
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

Sector Weightings as of 08/31/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 27.92% 1.84 62.83% 3.83 90.75% 5.67
Agency CMO 42.01% 1.74 0.73% 0.03 42.74% 1.77
Commercial MBS 2.87% 0.10 38.64% 1.31 41.51% 1.41
Residential MBS (non-agency) 19.33% 1.01 0.00% 0.00 19.33% 1.01
Net cash 7.64% 0.00 0.00% 0.00 7.64% 0.00
Asset-backed securities (ABS) 0.23% 0.00 0.00% 0.00 0.23% 0.00
Interest rate swaps 0.00% 0.00 0.00% -1.42 0.00% -1.42

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%