Putnam Allstate Advisor Preferred

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 10/14/19

with optional enhanced death benefits
Unit Value $17.310417 $16.804957
Unit Value Change 0.015052 0.014406

Lipper ranking ‡ as of 08/31/19

Category: U.S. Mortgage Funds

  Percentile ranking Rank/Funds in category
10 yrs. 38% 3/7
1 yr. 13% 2/15
3 yrs. 43% 6/13
5 yrs. 72% 10/13

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 09/30/19

Fiscal Year End December
Asset Class Putnam Allstate Advisor Preferred
Subaccount Status Open to new investors
Number of issues 720
Turnover (fiscal year end) 1,142%
Net Assets $57M
Inception Date 02/01/00

Performance

Performance as of 09/30/19

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 2.78% 9.27% 8.45% 1.33% 0.60% 1.45% 2.98%
Standardized 0.78% 7.27% 6.45% 1.33% 0.60% 1.45% 2.98%
With optional enhanced death benefit
Unit Value 2.74% 9.15% 8.28% 1.18% 0.44% 1.30% 2.83%
Standardized 0.74% 7.15% 6.28% 1.18% 0.44% 1.30% 2.83%
Actual performance
Unit Value 2.78% 9.27% 8.45% 1.33% 0.60% 1.45% 2.93%
Standardized 0.78% 7.27% 6.45% 1.33% 0.60% 1.45% 2.93%
With optional enhanced death benefit
Unit Value -- -- -- -- -- -- --
Standardized -- -- -- -- -- -- --

Annual Performance at NAV

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
19.00% 3.43% 5.04% 0.17% -2.12% 2.59% -2.29% -1.44% 0.28% -2.55%
With optional enhanced death benefit
18.82% 3.27% 4.88% 0.02% -2.27% 2.44% -2.44% -1.59% 0.13% -2.70%

Restated performance

Monthly as of 09/30/19

Unit Value 0.77%
Standardized -1.23%

YTD as of 10/14/19

Unit Value 9.31%
Standardized 7.31%

With optional enhanced death benefit

Monthly as of 09/30/19

Unit Value 0.76%
Standardized -1.24%

YTD as of 10/14/19

Unit Value 9.18%
Standardized 7.18%

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 08/31/19

Avg. Eff. Maturity 4.86
Avg. Eff. Duration 2.17
Avg. Coupon 5.88
Avg. Yield to Maturity 5.65
Alpha (%) --
Beta 0.72
R Squared 0.67
Standard Deviation (3 yrs.) 2.59

Maturity Details

0 to 1 yr. -24.26%
1 to 5 yrs. 81.59%
5 to 10 yrs. 42.77%
10 to 15 yrs. -0.10%

Quality Ratings

AAA 95.31%
AA 5.87%
A 9.87%
BBB 8.15%
BB 3.66%
B 5.95%
CCC and Below 2.83%
Not Rated -31.64%

Holdings

Top 10 holdings as of 08/31/19

Gnma Gii30 Tba 03.5000 09/01/2049 9.13%
Gnma Gii30 Tba 03.0000 09/01/2049 9.06%
Gnma Gii30 Tba 04.5000 09/01/2049 5.52%
Gnma Gii30 Tba 04.0000 09/01/2049 5.50%
Fnma Fn30 Tba Umbs 03.0000 09/01/2049 3.58%
Fnr 2007-95 A3 02.5160 08/27/2036 3.16%
Gnma Gii30 626947 04.0000 05/20/2045 2.17%
Fnma Fn30 Tba Umbs 04.5000 09/01/2049 1.85%
Gnma Gii30 Tba 05.0000 09/01/2049 1.85%
Fnma Fn30 Tba Umbs 04.0000 09/01/2049 1.83%
Top 10 holdings, total: 43.65%

Full Portfolio Holdings as of 09/30/19

90DAY EURO$ FUTR MAR20 EDH0 18.92%
GNMA GII30 TBA 03.5000 10/01/2049 9.06%
GNMA GII30 TBA 03.0000 10/01/2049 8.97%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 7.02%
REPO TRIPA MORTG 2.37 10/01/2019 5.83%
GNMA GII30 TBA 04.5000 10/01/2049 5.48%
GNMA GII30 TBA 04.0000 10/01/2049 5.46%
US 2YR NOTE (CBT) DEC19 TUZ9 3.39%
FNR 2007-95 A3 02.3953 08/27/2036 3.15%
GNMA GII30 626947 04.0000 05/20/2045 2.18%
TREASURY BILL 00.0000 11/07/2019 1.98%
GNMA GII30 TBA 05.0000 10/01/2049 1.84%
FNMA FN30 TBA UMBS 04.5000 10/01/2049 1.84%
FNMA FN30 TBA UMBS 04.0000 10/01/2049 1.82%
FNMA FN30 TBA UMBS 02.5000 11/01/2049 1.74%
GNMA GII30 626944 03.5000 05/20/2045 1.68%
GNMA GII30P 784109 04.0000 10/20/2045 1.50%
GNMA GII30 626939 04.0000 04/20/2045 1.42%
FNMA FN30 AV7065 UMBS 03.5000 05/01/2045 1.42%
BF0101 03.5000 06/01/2056 1.38%
GNMA GII30 626906 03.5000 01/20/2045 1.38%
TREASURY BILL 00.0000 11/21/2019 1.34%
FHS 315 PO PO 00.0000 09/15/2043 1.31%
FNMA FN30 AX5483 UMBS 03.5000 10/01/2045 1.04%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 1.04%
FNMA FN30 AX5472 UMBS 03.5000 08/01/2045 1.03%
FNR 2016-81 SA IO 04.1316 11/25/2046 0.86%
FHLMC FR30 ZS9471 UMBS 04.0000 12/01/2044 0.82%
CARR 2006-NC2 A4 02.2584 06/25/2036 0.81%
FNR 2016-85 SL IO 04.0816 11/25/2046 0.80%
SWPTN 1YX10Y R 2.7475 USD 02/13/2020 GS 0.80%
BAYV 2006-C 1A3 06.0280 11/28/2036 0.79%
TREASURY BILL 00.0000 03/12/2020 0.78%
FHLMC FR30 ZS9547 UMBS 04.0000 09/01/2045 0.77%
CAS 2017-C05 1B1 05.6184 01/25/2030 0.77%
FNMA FN30 AL6919 UMBS 05.5000 01/01/2038 0.76%
STACR 2018-DNA2 B1 05.7184 12/25/2030 0.76%
FHR 3835 FO PO 00.0000 04/15/2041 0.74%
CAS 2018 - C01 1B1 05.5684 07/25/2030 0.69%
STACR 2016-DNA3 M3 07.0184 12/25/2028 0.69%
US ULTRA BOND CBT DEC19 WNZ9 0.67%
SWPTN 7YX30Y R 2.8025 USD 04/24/2026 MS 0.67%
CWL 2007-10 1A1 02.1984 06/25/2047 0.66%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.65%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.64%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.64%
FNR 2016-8 SA IO 04.0316 03/25/2046 0.63%
GNMA GII30 609146 04.5000 05/20/2044 0.62%
FNR 2016-83 BS IO 04.0816 11/25/2046 0.61%
CMLTI 2007-AR5 1A1A 04.7334 04/25/2037 0.59%
FNR 2018-36 SD IO 04.2316 06/25/2048 0.54%
STACR 2015-HQA1 B 10.8184 03/25/2028 0.54%
CAS 2018-C04 2M2 04.5684 12/25/2030 0.53%
GNR 2017-H20 AI IO 01.9970 10/20/2067 0.53%
CAS 2018-C02 2M2 04.2184 08/25/2030 0.53%
WAMU 2005-AR14 1A2 04.1660 12/25/2035 0.53%
MWST 2018-W1 A 02.8684 11/25/2051 0.52%
STACR 2018-HQA1 M2 04.3184 09/25/2030 0.52%
FNMA FN30 AX5516 UMBS 04.0000 03/01/2046 0.52%
WFRBS 2012-C9 D P/P 144A 04.9713 11/15/2045 0.51%
GNR 2013-87 SA IO 04.1558 06/20/2043 0.50%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.50%
FNR 2017-104 SL IO 04.1316 01/25/2048 0.49%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.49%
UBSCM 2012-C1 D P/P 144A 05.7278 05/10/2045 0.49%
STACR 2014-HQ3 M3 06.7684 10/25/2024 0.48%
GSMS 2014-GC24 D P/P 144A 04.6665 09/10/2047 0.48%
SPST 2019-3 A 02.7365 06/24/2020 0.48%
SPST 2019-7 A 02.7365 09/24/2020 0.48%
GNR 2016-H07 PI IO 02.2749 03/20/2066 0.48%
UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 0.47%
CAS 2017-C01 1M2 05.5684 07/25/2029 0.47%
STACR 2017-HQA2 M2 04.6684 12/25/2029 0.47%
STACR 2017-DNA2 M2 05.4684 10/25/2029 0.46%
STACR 2018-DNA1 B1 05.1684 07/25/2030 0.44%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.43%
JPMCC 2011-C3 D P/P 144A 05.8526 02/15/2046 0.43%
GNR 2016-H11 HI IO 02.0971 01/20/2066 0.42%
CCMFC 2006-4A A2 02.1984 11/25/2047 0.42%
CWALT 2006-OA19 A1 02.2243 02/20/2047 0.42%
CAS 2017-C06 1M2 04.6684 02/25/2030 0.42%
CAS 2017-C07 1B1 06.0184 05/25/2030 0.42%
COMM 2013-CR6 D P/P 144A 04.2175 03/10/2046 0.41%
GNR 2017-H25 CI IO 02.2136 12/20/2067 0.41%
GNR 2019-83 SL IO 04.0558 07/20/2049 0.41%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.41%
COMM 2014-CR17 D P/P 144A 05.0117 05/10/2047 0.40%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.40%
JPMBB 2013-C14 D P/P 144A 04.8586 08/15/2046 0.40%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.39%
CAS 2016-C03 1B 13.7684 10/25/2028 0.39%
TREASURY BILL 00.0000 12/05/2019 0.39%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.39%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.39%
OMIR 2018-1A M2 04.8684 07/25/2028 0.39%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.39%
FNR 2019-45 SD IO 04.0316 08/25/2049 0.38%
STACR 2019-HQA3 B1 05.0570 09/25/2049 0.38%
FNR 2016-50 SM IO 04.0816 08/25/2046 0.38%
FNR 2019-58 SA IO 03.9680 10/25/2049 0.38%
STACR 2019-DNA2 M2 04.4684 03/25/2049 0.38%
FNR 2010-109 IM IO 05.5000 09/25/2040 0.38%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.38%
CAS 2017-C06 1B1 06.1684 02/25/2030 0.38%
FHR 3065 DC 13.7775 03/15/2035 0.38%
GNR 2016-H23 NI IO 02.2585 10/20/2066 0.37%
CAS 2016-C06 1M2 06.2684 04/25/2029 0.37%
STACR 2015-HQ1 M3 05.8184 03/25/2025 0.36%
FNR 2017-66 IO IO 04.5000 09/25/2047 0.36%
BALTA 2005-8 21A1 04.1831 10/25/2035 0.35%
FNR 2017-32 IP IO 04.5000 05/25/2047 0.34%
FNMA FN30 839363 07.0000 09/01/2031 0.34%
GNR 2016-H27 GI IO 02.3201 12/20/2066 0.34%
GNR 2017-H03 KI IO 02.6630 01/20/2067 0.34%
3.312 R ISWP US0003M P 11/08/2048 0.34%
MSBAM 2014-C15 D P/P 144A 05.0738 04/15/2047 0.33%
BMIR 2018-2A M1C P/P 144A 03.6184 08/25/2028 0.33%
SWPTN BERM 5YX25Y R 2.75 USD 05/26/2048 MS 0.33%
GNR 2015-H10 HI IO 02.1675 04/20/2065 0.33%
UBSC 2011-C1 D P/P 144A 06.2522 01/10/2045 0.33%
GNMA GII30 609117 04.5000 02/20/2044 0.33%
GNR 2017-H06 MI IO 02.3056 02/20/2067 0.33%
GNR 2011-156 SK IO 04.5558 04/20/2038 0.32%
GNR 2018-H01 XI IO 02.2543 01/20/2068 0.32%
CAS 2016-C05 2M2 06.4684 01/25/2029 0.32%
CAS 2016-C03 1M2 07.3184 10/25/2028 0.31%
DBUBS 2011-LC3A D P/P 144A 05.5118 08/10/2044 0.30%
FNR 2008-24 SP 15.8826 02/25/2038 0.30%
STACR 2014-DN4 M3 06.5684 10/25/2024 0.30%
FNR 2018-20 SB IO 04.2316 03/25/2048 0.29%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.29%
JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.29%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.29%
FNR 2012-151 IM IO 05.0000 04/25/2042 0.28%
GNR 2015-H22 GI IO 02.5769 09/20/2065 0.27%
GNR 2016-H13 IK IO 02.6178 06/20/2066 0.27%
GNR 2017-H08 EI IO 02.4193 02/20/2067 0.27%
BMIR 2017-1 M2 P/P 144A 05.3684 10/25/2027 0.27%
GNR 2016-H18 QI IO 02.8691 06/20/2066 0.27%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.27%
FHR 4436 SC IO 04.1225 02/15/2045 0.27%
FNMA FN30 AY8222 UMBS 04.5000 05/01/2045 0.27%
CAS 2018-C03 1M2 04.1684 10/25/2030 0.27%
MWST 2019-1 A 02.8184 06/25/2052 0.27%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.26%
3.073 R ISWP FWD US0003M P 03/04/2029 0.26%
JPMCC 2013-LC11 D 04.3069 04/15/2046 0.26%
FNR 2015-58 KI IO 06.0000 03/25/2037 0.26%
GNR 2015-H22 AI IO 01.7755 09/20/2065 0.26%
GNR 2017-H08 GI IO 02.4419 02/20/2067 0.26%
MSC 2011-C3 E P/P 144A 05.2925 07/15/2049 0.26%
GNMA GII30 609118 04.5000 02/20/2034 0.25%
GNMA GII30 4114 05.5000 04/20/2038 0.25%
GNR 2015-H20 CI IO 01.7455 08/20/2065 0.25%
GNR 2019-100 JS IO 04.0558 08/20/2049 0.25%
FNR 2018-51 BI IO 05.5000 07/25/2038 0.25%
SPST 2018-8 A 02.7365 02/24/2020 0.24%
CAS 2016-C02 1M2 08.0184 09/25/2028 0.24%
FNR 2017-19 IH IO 05.0000 03/25/2047 0.24%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.24%
SPST 2019-11 A 02.7865 10/24/2020 0.23%
COMM 2014-CR19 D P/P 144A 04.9056 08/10/2047 0.23%
GNR 2016-H03 AI IO 02.2288 01/20/2066 0.23%
JPMCC 2010-C2 D P/P 144A 05.7860 11/15/2043 0.23%
CAS 2018-C05 1M2 04.3684 01/25/2031 0.23%
GNR 2016-H17 DI IO 02.6145 07/20/2066 0.23%
GNR 2019-35 SE IO 04.1225 01/16/2044 0.23%
JPALT 2006-A6 1A1 02.1784 11/25/2036 0.22%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.22%
JPMBB 2014-C25 D P/P 144A 04.1036 11/15/2047 0.22%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.22%
GNR 2013-67 IP IO 04.0000 04/16/2043 0.22%
GNR 2017-H04 BI IO 02.5378 02/20/2067 0.22%
GNMA GII30 BB0107 04.7000 08/20/2067 0.22%
GNR 2014-H21 AI IO 01.6310 10/20/2064 0.21%
MSBAM 2013-C10 F P/P 144A 04.2179 07/15/2046 0.21%
FNR 2015-83 IO IO 04.0000 10/25/2043 0.21%
TREASURY BILL 00.0000 11/14/2019 0.21%
FNR 2015-86 MI IO 05.5000 11/25/2045 0.21%
GNR 2016-H04 KI IO 01.8909 02/20/2066 0.21%
GNR 2018-H02 IM IO 02.3462 02/20/2068 0.21%
JPMBB 2014-C18 C 04.9728 02/15/2047 0.20%
COMM 2014-CR17 E P/P 144A 05.0117 05/10/2047 0.20%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.20%
MSRR 2010-R4 4B 02.9746 02/26/2037 0.20%
FNMA FN30 968927 06.0000 01/01/2038 0.20%
GNR 2017-H25 IO IO 01.7277 11/20/2067 0.20%
GNR 2015-H13 AI IO 02.0343 06/20/2065 0.20%
ARRW 2018-1 A3 04.1570 04/25/2048 0.19%
WAMU 2005-AR8 2AC2 02.9384 07/25/2045 0.19%
GNR 2018-89 LS IO 04.1536 06/20/2048 0.19%
GNR 2017-H08 NI IO 02.2255 03/20/2067 0.19%
UBSBB 2012-C4 D P/P 144A 04.6299 12/10/2045 0.19%
FNR 2018-47 SA IO 04.2316 07/25/2048 0.19%
GNR 2018-1 IO IO 04.5000 01/20/2048 0.19%
CSAIL 2015-C1 C 04.4167 04/15/2050 0.19%
FHLMC FR30 ZL8404 UMBS 04.5000 08/01/2044 0.19%
GNR 2011-H07 FI IO 01.2587 02/20/2061 0.18%
GNR 2016-H06 DI IO 01.7825 07/20/2065 0.18%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.18%
GNR 2016-H24 IO IO 02.1171 09/20/2066 0.18%
MLCFC 2006-4 C 05.3240 12/12/2049 0.18%
GNR 2017-H10 MI IO 01.8534 04/20/2067 0.18%
FHR 4621 QI IO 03.5000 10/15/2046 0.18%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.17%
GNR 2015-H23 TI IO 01.9322 09/20/2065 0.17%
CAS 2018-C05 1B1 06.2684 01/25/2031 0.17%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.17%
GNR 2016-H24 KI IO 02.3611 11/20/2066 0.17%
GNR 2014-137 ID IO 05.5000 09/16/2044 0.17%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.17%
GNMA GII30 BG4862 04.5000 05/20/2048 0.17%
FNMA FN30 850270 07.0000 12/01/2035 0.17%
GNR 2016-H06 HI IO 02.0818 02/20/2066 0.17%
FNR 12-118 PI IO 04.0000 06/25/2042 0.17%
GNR 2017-H14 LI IO 02.2949 06/20/2067 0.16%
GNMA GII30 BG4861 04.5000 05/20/2048 0.16%
WAMU 2005-AR12 1A8 03.8756 10/25/2035 0.16%
GNR 2016-H14 AI IO 02.1652 06/20/2066 0.16%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.16%
GNR 2015-H25 BI IO 01.8500 10/20/2065 0.16%
FNR 2011-4 CS 08.8632 05/25/2040 0.16%
GSMS 2014-GC22 C 04.8474 06/10/2047 0.16%
SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.16%
WFHET 2007-2 A3 02.2484 04/25/2037 0.16%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.16%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.15%
SWPTN 3MX5Y P 1.3 USD 12/05/2019 CI 0.15%
GNR 2015-H04 AI IO 01.9634 12/20/2064 0.15%
STACR 2019-DNA1 M2 04.6684 01/25/2049 0.15%
GNR 2017-H09 IO IO 01.8613 04/20/2067 0.15%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.15%
GNR 2015-H16 XI IO 02.0524 07/20/2065 0.15%
GNR 2016-H10 AI IO 01.8733 04/20/2066 0.15%
FNR 2016-3 MI IO 05.5000 02/25/2046 0.15%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.15%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.15%
GNR 2017-H03 CI IO 02.1727 12/20/2066 0.15%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.14%
GNR 2017-H16 HI IO 01.4953 08/20/2067 0.14%
GNR 2014-H18 CI IO 01.6168 09/20/2064 0.14%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.14%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.14%
FHR 4425 EI IO 04.0000 01/15/2045 0.14%
FHR 4213 GI IO 04.0000 11/15/2041 0.14%
GNR 2014-H25 BI IO 01.7059 12/20/2064 0.14%
GNR 2017-H14 JI IO 02.1905 06/20/2067 0.14%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.14%
GNMA GII30 4291 06.0000 11/20/2038 0.14%
STACR 2018-DNA2 M2 04.1684 12/25/2030 0.13%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.13%
CAS 2016-C02 1B 14.2684 09/25/2028 0.13%
FNMA FN30 AW7089 UMBS 04.5000 07/01/2044 0.13%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.13%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.13%
GNR 2015-H24 HI IO 02.0343 09/20/2065 0.13%
GNR 2016-H24 JI IO 02.1586 11/20/2066 0.13%
GNR 2018-H05 ID 02.0570 03/20/2068 0.13%
FHR 4165 TI IO 03.0000 12/15/2042 0.13%
FHR 4158 TI IO 03.0000 12/15/2042 0.12%
GNR 2016-H04 HI IO 02.3801 07/20/2065 0.12%
FHR 4452 QI IO 04.0000 11/15/2044 0.12%
SCRT 2019-2 M 04.7500 08/25/2058 0.12%
CAS 2015-C04 1M2 07.7184 04/25/2028 0.12%
FNMA FN30 BD5297 UMBS 03.5000 01/01/2047 0.12%
GNR 2016-H06 AI IO 02.1068 02/20/2066 0.12%
SWPTN 7YX30Y P 2.8025 USD 04/24/2026 MS 0.12%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.12%
GNR 2013-182 SP IO 04.6558 12/20/2043 0.12%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.12%
FHR 4546 PI IO 04.0000 12/15/2045 0.11%
GNR 2017-H25 AI IO 02.1763 12/20/2067 0.11%
STACR 2019-DNA2 B1 06.3684 03/25/2049 0.11%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.11%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.11%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.11%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.11%
CWALT 2007-OA6 A1A 02.1584 06/25/2037 0.11%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.10%
FHR 4500 GI IO 04.0000 08/15/2045 0.10%
FNMA FN30 724393 07.0000 08/01/2033 0.10%
TREASURY BILL 00.0000 01/02/2020 0.10%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.10%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.10%
GSMS 2014-GC18 C 05.1566 01/10/2047 0.10%
FHR 4425 IO IO 04.0000 01/15/2045 0.10%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.10%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.10%
FNR 2007-53 SP 16.7993 06/25/2037 0.10%
1.45 R ISWP FWD US0003M P 12/18/2024 0.10%
STACR 2019-DNA1 B1 06.6684 01/25/2049 0.10%
GNR 2018-H02 IO IO 02.3119 01/20/2068 0.10%
FHR 4136 IQ IO 03.5000 11/15/2042 0.09%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.09%
SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB 0.09%
SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS 0.09%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.09%
MSAC 2004-HE9 M2 02.9484 11/25/2034 0.09%
FHLMC FR30 ZL8235 UMBS 04.5000 07/01/2044 0.09%
FNR 2006-8 HP 17.1659 03/25/2036 0.09%
CAS 2017-C02 2B1 07.5184 09/25/2029 0.09%
FHR 3072 SM 04.2533 11/15/2035 0.09%
SCRT 2019-3 M 04.7500 10/25/2058 0.09%
SAMI 2006-AR7 A1BG 02.1384 08/25/2036 0.09%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.09%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.09%
FNR 2005-106 JC 13.8655 12/25/2035 0.08%
IOS.FN30.400.13 R USL1M P 01/12/44 CS 0.08%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.08%
GNR 2016-H08 GI IO 01.4458 04/20/2066 0.08%
FHR 4165 AI IO 03.5000 02/15/2043 0.08%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.08%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.08%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.08%
SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA 0.08%
GNR 2017-H06 EI IO 01.6001 02/20/2067 0.08%
SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB 0.08%
SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS 0.08%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.08%
CAS 2017-C07 2B1 06.4684 05/25/2030 0.08%
CAS 2019-R02 1M2 04.3184 08/25/2031 0.07%
FHR 4171 NI IO 03.0000 06/15/2042 0.07%
FNR 2005-122 SE 16.0357 11/25/2035 0.07%
FHR 4150 DI IO 03.0000 01/15/2043 0.07%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.07%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.07%
FNMA FN30 780879 07.0000 12/01/2028 0.07%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.07%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.07%
FHR 4122 TI IO 04.5000 10/15/2042 0.07%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.07%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.07%
FHR 4019 JI IO 04.0000 05/15/2041 0.07%
FHR 3408 EK 17.6347 04/15/2037 0.07%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.07%
2.806 R ISWP FWD US0003M P 03/05/2030 0.06%
FHR 4530 HI IO 04.0000 11/15/2045 0.06%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.06%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.06%
FHR 4141 PI IO 03.0000 12/15/2042 0.06%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.06%
2.536 R ISWP FWD US0003M P 12/02/2023 0.06%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.06%
GNMA GII30 BP2045 05.0000 07/20/2049 0.06%
GNMA GII30 BP6877 05.0000 08/20/2049 0.06%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.06%
SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI 0.06%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.06%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.06%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.06%
FNR 2006-62 PS 27.7897 07/25/2036 0.06%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.06%
SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS 0.06%
FHR 4018 DI IO 04.5000 07/15/2041 0.05%
FNR 2005-75 GS 14.1949 08/25/2035 0.05%
GNMA GII30 3880 06.5000 07/20/2036 0.05%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.05%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.05%
SWPTN 1YX10Y R 2.027 USD 07/17/2020 BA 0.05%
FHLMC FR30 ZS0357 UMBS 07.0000 11/01/2026 0.05%
FHR 2990 LB 11.7636 06/15/2034 0.05%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.05%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.05%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.05%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.05%
GNMA GII30 BO3369 05.0000 06/20/2049 0.05%
FHLMC FR30 ZJ6049 UMBS 07.0000 04/01/2032 0.05%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.05%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.05%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.04%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.04%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.04%
CAS 2018-C01 1M2 04.2684 07/25/2030 0.04%
FHLMC FR30 ZS0496 UMBS 07.0000 06/01/2030 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.04%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.04%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.04%
SWPTN 3YX30Y R 2.2775 USD 07/18/2022 WE 0.04%
FHR 4136 ES IO 04.2225 11/15/2042 0.04%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.04%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.04%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.04%
FHR 4201 JI IO 03.0000 12/15/2041 0.04%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.04%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.04%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.04%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.04%
SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.04%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.04%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.04%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.04%
FHR 4183 MI IO 03.0000 02/15/2042 0.04%
CAS 2016-C07 2M2 06.3684 05/25/2029 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
FHS 304 C37 IO 03.5000 12/15/2027 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.03%
OPTN FN30 3.0 10/03/19 CALL 101.71875 JPMC 0.03%
2.2225 R ISWP FWD US0003M P 06/05/2029 0.03%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.03%
1.65 R ISWP FWD US0003M P 12/18/2049 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.03%
2.32 R ISWP FWD US0003M P 02/09/2024 0.03%
FHLMC FR30 ZI1337 UMBS 05.5000 12/01/2033 0.03%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.03%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS 0.03%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.03%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.02%
OPTN FN30 3.0 10/03/19 PUT 102.1953125 JPMC 0.02%
2.55 R ISWP FWD US0003M P 11/20/2039 0.02%
2.86 R ISWP US0003M P 01/22/2020 0.02%
CAS 2016-C05 2B 12.7684 01/25/2029 0.02%
FNR 2005-83 QP 12.1462 11/25/2034 0.02%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.02%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
FNR 2011-123 KS IO 04.5816 10/25/2041 0.02%
GNMA GII30 665235 06.0000 04/20/2037 0.02%
GNMA GN30 780770 06.0000 04/15/2028 0.02%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.02%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.02%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.02%
1.626 R ISWP FWD US0003M P 09/12/2052 0.02%
2.3075 R ISWP FWD US0003M P 02/02/2024 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
FNMA FN30 254974 07.0000 10/01/2033 0.02%
FNMA FN30 257572 05.0000 02/01/2039 0.02%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
FHR 3996 IK IO 04.0000 03/15/2039 0.02%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.02%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.02%
1.30 R ISWP US0003M P 12/09/2024 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
FHLMC FR30 ZA0768 UMBS 07.5000 07/01/2031 0.02%
OPTN FN30 3.0 11/06/19 PUT 101.2421875 JPMC 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.02%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.02%
FNMA FN30 900135 06.5000 09/01/2036 0.02%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.02%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.02%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.02%
2.57 R ISWP FWD US0003M P 02/02/2024 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.01%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.01%
FHR 4199 CI IO 03.5000 12/15/2037 0.01%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.01%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.01%
SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01%
FNMA FN30 190308 07.5000 09/01/2030 0.01%
2.5725 R ISWP FWD US0003M P 02/02/2024 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01%
FHLMC FR30 ZS0498 UMBS 07.5000 09/01/2030 0.01%
SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS 0.01%
1.534 R ISWP US0003M P 09/26/2029 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
FNW 2003-W8 3F2 02.3684 05/25/2042 0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00%
CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
FNMA FN30 545111 07.5000 11/01/2030 0.00%
FNMA FN30 554979 07.5000 11/01/2030 0.00%
GNMA GN30 404535 06.5000 05/15/2028 0.00%
GNR 2011-81 SB IO 04.6775 11/16/2036 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
1.5095 R ISWP FWD US0003M P 08/28/2030 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.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
FHR 3300 PO PO 00.0000 02/15/2037 0.00%
1.50 R ISWP US0003M P 09/30/2024 0.00%
1.5594 R ISWP US0003M P 09/30/2029 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
GNMA GN30 569553 06.5000 01/15/2032 0.00%
OPTN FN30 3.0 11/06/19 PUT 99.7421875 JPMC 0.00%
OPTN FN30 3.5 10/03/19 CALL 102.9375 JPMC 0.00%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 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.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
GNMA GN30 552703 06.5000 08/15/2032 0.00%
GNMA GN30 574830 06.5000 11/15/2031 0.00%
GNMA GN30 584470 06.5000 06/15/2032 0.00%
OPTN FN30 4.0 10/03/19 CALL 103.9765625 JPMC 0.00%
SWPTN 1YX10Y P 2.7475 USD 02/13/2020 GS 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 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.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-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
GNMA GN30 486470 06.5000 08/15/2028 0.00%
GNMA GN30 584347 06.5000 04/15/2032 0.00%
GNMA GN30 780776 06.5000 04/15/2028 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
OPTN FN30 3.0 10/03/19 CALL 102.15625 JPMC 0.00%
OPTN FN30 3.0 10/03/19 CALL 102.1953125 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.1171875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.3046875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.4921875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.0546875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.2421875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.4296875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.5859375 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.7734375 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.9609375 JPMC 0.00%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.00%
SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP 0.00%
SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP 0.00%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP 0.00%
SWPTN 4MX10Y P 2.265 USD 10/03/2019 MS 0.00%
SWPTN 4MX10Y P 2.401 USD 09/30/2019 BA 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.00%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS -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%
OPTN FN30 4.0 11/06/19 CALL 104.09375 JPMC -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.1875 JPMC -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 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
2.25 R ISWP FWD US0003M P 07/05/2052 -0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP -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 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
OPTN FN30 3.0 11/06/19 PUT 100.2421875 JPMC -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.0 JPMC -0.00%
SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS -0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML -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 MS -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 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
1.53 R ISWP US0003M P 10/01/2024 -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -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 CG -0.01%
OPTN FN30 3.0 11/06/19 PUT 100.7421875 JPMC -0.01%
SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI -0.01%
2.0625 R ISWP FWD US0003M P 06/22/2030 -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 MS -0.01%
SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS -0.01%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
1.9665 R ISWP FWD US0003M P 07/06/2030 -0.01%
2.3075 R ISWP FWD US0003M P 06/22/2052 -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 GS -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%
1.733 R ISWP FWD US0003M P 02/07/2024 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
2.035 R ISWP FWD US0003M P 01/22/2031 -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.02%
SWPTN 3YX30Y P 2.2775 USD 07/18/2022 WE -0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
OPTN FN30 4.0 10/03/19 PUT 103.9765625 JPMC -0.02%
2.528 R ISWP FWD US0003M P 02/02/2024 -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 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%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.02%
OPTN FN30 3.0 10/03/19 PUT 102.15625 JPMC -0.02%
SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS -0.02%
1.655 R ISWP US0003M P 09/24/2029 -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.03%
SWPTN 1YX10Y P 2.027 USD 07/17/2020 BA -0.03%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
IOS.FN30.500.10 P USL1M R 01/12/41 BC -0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.03%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 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 MS -0.03%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.03%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI -0.03%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP -0.03%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS -0.04%
1.58 R ISWP FWD US0003M P 12/18/2021 -0.04%
IOS.FN30.350.13 P US0001M R 01/12/44 JP -0.04%
1.9185 R ISWP FWD US0003M P 08/08/2052 -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.04%
SWPTN 5YX10Y P 2.9425 USD 02/13/2024 GS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.05%
2.6785 R ISWP US0003M P 02/13/2029 -0.05%
SWPTN 2YX5Y R 1.3 USD 08/27/2021 UB -0.05%
SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA -0.05%
IOS.FN30.400.10 P USL1M R 01/12/41 BC -0.05%
IOS.FN30.500.10 P USL1M R 01/12/41 GS -0.06%
IOS.FN30.500.10 P USL1M R 01/12/41 JP -0.06%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.06%
SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS -0.06%
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 MS -0.06%
IOS.FN30.400.10 P USL1M R 01/12/41 GS -0.06%
SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS -0.06%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.06%
SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI -0.06%
2.184 R ISWP FWD US0003M P 12/07/2030 -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 MS -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07%
2.2685 R ISWP FWD US0003M P 07/22/2052 -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE -0.08%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.08%
SWPTN 2YX5Y P 1.3 USD 08/27/2021 UB -0.08%
SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.09%
2.098 R ISWP FWD US0003M P 03/04/2030 -0.10%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.10%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.11%
OPTN FN30 3.5 10/03/19 PUT 102.9375 JPMC -0.12%
2.44 R ISWP FWD US0003M P 03/26/2030 -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.12%
2.1935 R ISWP FWD US0003M P 12/14/2030 -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.12%
OPTN FN30 3.0 10/03/19 PUT 101.71875 JPMC -0.14%
SWPTN 10YX30Y P 2.7875 USD 04/24/2029 MS -0.14%
2.4105 R ISWP FWD US0003M P 06/14/2052 -0.14%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.15%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.16%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.16%
SWPTN 3MX5Y P 1.475 USD 12/05/2019 CI -0.17%
1.525 R ISWP FWD US0003M P 12/18/2029 -0.18%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.19%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.19%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.24%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.27%
SWPTN 6YX24Y R 2.75 USD 05/22/2025 MS -0.31%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.36%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.37%
SWPTN 4YX25Y R 3.0 USD 01/31/2024 MS -0.37%
SWPTN 4YX25Y R 3.0 USD 04/04/2023 MS -0.37%
SWPTN 4YX25Y R 3.0 USD 04/12/2023 MS -0.37%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.38%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.42%
SWPTN 5YX10Y R 2.9425 USD 02/13/2024 GS -0.44%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.45%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.45%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.47%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.47%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.48%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.52%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.57%
SWPTN 10YX30Y R 2.7875 USD 04/24/2029 MS -0.61%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -1.21%
US 5YR NOTE (CBT) DEC19 FVZ9 -3.13%
FNMA FN30 TBA UMBS 03.5000 10/01/2049 -3.59%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -5.84%
90DAY EURO$ FUTR MAR21 EDH1 -18.97%

Prior top 10 holdings

Top 10 holdings as of 08/31/19
1: Gnma Gii30 Tba 03.5000 09/01/2049 9.13%
2: Gnma Gii30 Tba 03.0000 09/01/2049 9.06%
3: Gnma Gii30 Tba 04.5000 09/01/2049 5.52%
4: Gnma Gii30 Tba 04.0000 09/01/2049 5.50%
5: Fnma Fn30 Tba Umbs 03.0000 09/01/2049 3.58%
6: Fnr 2007-95 A3 02.5160 08/27/2036 3.16%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.17%
8: Fnma Fn30 Tba Umbs 04.5000 09/01/2049 1.85%
9: Gnma Gii30 Tba 05.0000 09/01/2049 1.85%
10: Fnma Fn30 Tba Umbs 04.0000 09/01/2049 1.83%
Holdings represent 43.65% of portfolio
Top 10 holdings as of 07/31/19
1: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 28.62%
2: Gnma Gii30 Tba 03.5000 08/01/2049 9.16%
3: Gnma Gii30 Tba 03.0000 08/01/2049 9.05%
4: Gnma Gii30 Tba 04.5000 08/01/2049 5.54%
5: Gnma Gii30 Tba 04.0000 08/01/2049 5.52%
6: Fnr 2007-95 A3 02.6544 08/27/2036 3.19%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.19%
8: Fnma Fn30 Tba Umbs 04.5000 08/01/2049 1.86%
9: Gnma Gii30 Tba 05.0000 08/01/2049 1.85%
10: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 1.84%
Holdings represent 68.82% of portfolio
Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 26.69%
2: Gnma Gii30 Tba 03.5000 07/01/2049 9.12%
3: Gnma Gii30 Tba 03.0000 07/01/2049 9.02%
4: Gnma Gii30 Tba 04.5000 07/01/2049 5.52%
5: Gnma Gii30 Tba 04.0000 07/01/2049 5.49%
6: Fnr 2007-95 A3 02.6798 08/27/2036 3.17%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.17%
8: Fnma Fn30 Tba Umbs 04.5000 07/01/2049 1.85%
9: Gnma Gii30 Tba 05.0000 07/01/2049 1.85%
10: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.83%
Holdings represent 66.71% of portfolio
Top 10 holdings as of 05/31/19
1: Umbs Fn30 Tba 03.0000 06/01/2049 26.64%
2: Gnma Gii30 Tba 03.5000 06/01/2049 9.09%
3: Gnma Gii30 Tba 03.0000 06/01/2049 8.98%
4: Gnma Gii30 Tba 04.5000 06/01/2049 5.52%
5: Gnma Gii30 Tba 04.0000 06/01/2049 5.49%
6: Fnr 2007-95 A3 02.6798 08/27/2036 3.18%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.17%
8: Umbs Fn30 Tba 04.5000 06/01/2049 1.85%
9: Gnma Gii30 Tba 05.0000 06/01/2049 1.85%
10: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.83%
Holdings represent 66.60% of portfolio

Sector Weightings as of 08/31/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 21.32% 1.25 37.40% 1.19 58.72% 2.44
Commercial MBS 6.95% 0.22 35.42% 0.83 42.37% 1.05
Agency CMO 37.80% 1.49 0.57% 0.02 38.37% 1.51
Residential MBS (non-agency) 20.71% 0.85 0.00% 0.00 20.71% 0.85
Net cash 11.22% 0.00 0.00% 0.00 11.22% 0.00
Asset-backed securities (ABS) 2.00% 0.07 0.00% 0.00 2.00% 0.07
Interest rate swaps 0.00% 0.00 0.00% -0.75 0.00% -0.75
U.S. Treasury/agency 0.00% 0.00 0.00% 0.06 0.00% 0.06

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 2.00%
2 1.00%
3+ 0.00%