Putnam Hartford Capital Manager

Putnam American Government Subaccount

The subaccount seeks high current income by investing in U.S. government securities with the preservation of capital as its secondary objective.

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

Pursuing income and capital preservation with a range of government bonds High credit quality: The fund invests mainly in government bonds with the highest credit rating, AAA.Diversified approach: By including investments in government, mortgage-backed, and asset-backed securities, the fund seeks an attractive level of income along with capital preservation.Leading research: The fund's managers use proprietary models to evaluate mortgage-backed bonds and to manage the fund's interest rate risk.

Management team

Lipper ranking ‡ as of 09/30/17

Category: General U.S. Government Funds

  Percentile ranking Rank/Funds in category
10 yrs. 16% 7/43
1 yr. 34% 19/56
3 yrs. 92% 51/55
5 yrs. 54% 28/51

Risk characteristics as of 09/30/17

Avg. Eff. Maturity 13.22
Avg. Price 88.70
Avg. Eff. Duration 5.11
Avg. Coupon 4.25
Avg. Yield to Maturity 3.30
Alpha (%) --
Beta 0.41
R squared 0.63
Standard deviation (3 yrs.) 1.69

Maturity details

0 to 1 yr. -13.44%
1 to 5 yrs. 2.09%
5 to 10 yrs. 82.66%
10 to 15 yrs. 14.10%
Over 15 yrs. 14.59%

Quality ratings

AAA 112.65%
A 6.45%
Not Rated -19.10%

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 09/30/17

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 458
Turnover (fiscal year end) 1,028%
Net Assets $64M
Inception Date 02/01/00

Holdings

Top 10 holdings as of 09/30/17

Us Treasury N/B 04.5000 08/15/2039 14.59%
Fnma Fn30 Tba 03.5000 11/01/2047 11.24%
Gnma Gii30 Am4931 03.5000 04/20/2045 4.96%
Fnma Fn30 Tba 03.0000 11/01/2047 4.69%
Fnma Fn30 Tba 02.5000 10/01/2047 4.53%
Fnma Fn30 Tba 04.5000 11/01/2047 3.34%
Fhlmc Fh30g G61000 03.5000 05/01/2047 3.20%
Fnr 2007-95 A3 01.4872 08/27/2036 2.81%
Fnma Fn30 Av7064 03.0000 05/01/2045 2.67%
Gnma Gii30 626947 04.0000 05/20/2045 2.31%
Top 10 holdings, total: 54.34%

Full Portfolio Holdings as of 06/30/17

US TREASURY N/B 04.5000 08/15/2039 14.05%
FNMA FN30 TBA 03.5000 08/01/2047 12.19%
GNMA GII30 AM4931 03.5000 04/20/2045 4.94%
FNMA FN30 TBA 04.5000 07/01/2047 4.78%
FNMA FN30 TBA 03.5000 07/01/2047 4.58%
FHLMC FH30G G61000 03.5000 05/01/2047 3.07%
FNMA FN30 TBA 02.5000 07/01/2047 2.86%
FNR 2007-95 A3 01.4661 08/27/2036 2.68%
FNMA FN30 AV7064 03.0000 05/01/2045 2.55%
GNMA GII30 626947 04.0000 05/20/2045 2.22%
US TREASURY N/B 06.2500 08/15/2023 1.86%
GNMA GII30 626944 03.5000 05/20/2045 1.69%
GNMA GII30 TBA 05.0000 07/01/2047 1.59%
BF0101 03.5000 06/01/2056 1.50%
GNMA GII30 TBA 03.0000 07/01/2047 1.50%
FNMA FN30 TBA 03.0000 07/01/2047 1.48%
FHLMC FH30G Q43898 03.5000 10/01/2046 1.47%
FNMA FN30 AS8648 03.0000 01/01/2047 1.47%
FNMA FN30 AV7065 03.5000 05/01/2045 1.46%
FNMA FN30 TBA 02.5000 08/01/2047 1.43%
FHLMC FH30G Q41024 03.0000 06/01/2046 1.42%
FNMA FN30 AX5483 03.5000 10/01/2045 1.41%
FNMA FN30 BC1155 03.0000 06/01/2046 1.41%
GNMA GII30 626906 03.5000 01/20/2045 1.40%
GNMA GII30 626939 04.0000 04/20/2045 1.40%
BF0132 04.0000 07/01/2056 1.39%
G60183 04.0000 12/01/2044 1.37%
FHS 315 PO PO 00.0000 09/15/2043 1.33%
FNMA FN30 AX5472 03.5000 08/01/2045 1.28%
FNMA FN30 AX5554 03.0000 10/01/2046 1.25%
GNMA GII30 AL5358 03.5000 03/20/2045 1.23%
FHLMC FH30G G60314 04.0000 09/01/2045 1.06%
FHR 3835 FO PO 00.0000 04/15/2041 1.01%
FNMA FN30 AL6919 05.5000 01/01/2038 1.01%
FNMA FN30 AX5516 04.0000 03/01/2046 0.78%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.69%
FHR 3065 DC 16.3833 03/15/2035 0.56%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.53%
GNR 2016-H07 PI IO 02.2508 03/20/2066 0.53%
GNR 2016-H11 HI IO 02.0821 01/20/2066 0.53%
GNMA GII30 AF3759 03.5000 06/20/2045 0.51%
FNR 2008-24 SP 18.8243 02/25/2038 0.47%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.42%
FHR 4436 SC IO 04.9911 02/15/2045 0.41%
GNMA GII30 MA2828 04.5000 05/20/2045 0.41%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.40%
GNR 2015-H10 HI IO 02.2710 04/20/2065 0.39%
GNR 2011-156 SK IO 05.3878 04/20/2038 0.38%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.38%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.38%
FEDERAL NATIONAL MORTGAGE ASSN 0.37%
FNMA FN30 AY8222 04.5000 05/01/2045 0.36%
GNR 2016-H27 GI IO 02.2762 12/20/2066 0.34%
GNMA GII30 4114 05.5000 04/20/2038 0.33%
GNR 2017-H06 MI IO 02.1735 02/20/2067 0.33%
SPST 2017-1 A 02.1161 02/25/2049 0.33%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.32%
GNR 2015-H22 GI IO 02.5754 09/20/2065 0.32%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.31%
GNR 2016-H13 IK IO 02.5830 06/20/2066 0.31%
GNR 2011-H07 FI IO 01.2359 02/20/2061 0.30%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.30%
GNR 2016-H03 AI IO 02.1650 01/20/2066 0.29%
GNR 2017-H03 KI IO 02.5729 01/20/2067 0.29%
FNR 12-118 PI IO 04.0000 06/25/2042 0.28%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.28%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.28%
GNR 2016-H17 DI IO 02.0876 07/20/2066 0.27%
GNR 2016-H18 QI IO 02.0019 06/20/2066 0.27%
FN30 06.000 2007 0.26%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.26%
GNR 2015-H20 CI IO 01.9845 08/20/2065 0.26%
GNR 2015-H22 AI IO 01.9018 09/20/2065 0.26%
FHR 4621 QI IO 03.5000 10/15/2046 0.25%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.25%
GNR 2016-H04 KI IO 01.9292 02/20/2066 0.25%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.24%
FHR 4116 MI IO 04.0000 10/01/2042 0.24%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.24%
GNR 2015-H13 AI IO 02.2899 06/20/2065 0.24%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.24%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.23%
GNR 2014-H21 AI IO 01.7544 10/20/2064 0.23%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.23%
FHR 4165 TI IO 03.0000 12/15/2042 0.22%
GNR 2017-H04 BI IO 02.4030 02/20/2067 0.22%
GNR 2017-H08 GI IO 02.3201 02/20/2067 0.22%
FHR 4158 TI IO 03.0000 12/15/2042 0.21%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.21%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.21%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.21%
GNR 2015-64 IG IO 04.0000 05/20/2045 0.21%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.21%
GNR 2016-H06 DI IO 01.9035 07/20/2065 0.21%
2.20 R ISWP FWD USL3M P 09/20/2027 0.20%
FNR 2011-4 CS 10.4678 05/25/2040 0.20%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.20%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.20%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.20%
GNR 2017-H08 NI IO 02.1945 03/20/2067 0.20%
FHR 4500 GI IO 04.0000 08/15/2045 0.19%
FNMA FN30 AW7089 04.5000 07/01/2044 0.19%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.19%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.19%
GNR 2016-H10 AI IO 01.9042 04/20/2066 0.19%
GNR 2016-H24 IO IO 02.0965 09/20/2066 0.19%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.19%
GII30 06.000 1995 0.18%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.18%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.18%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.18%
GNR 2015-H04 AI IO 01.9366 12/20/2064 0.18%
GNR 2015-H23 TI IO 01.8959 09/20/2065 0.18%
GNR 2015-H24 HI IO 02.0339 09/20/2065 0.18%
GNR 2015-H25 BI IO 01.9935 10/20/2065 0.18%
GNR 2016-H06 HI IO 02.0610 02/20/2066 0.18%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.18%
FHR 4425 IO IO 04.0000 01/15/2045 0.17%
FHR 4546 PI IO 04.0000 12/15/2045 0.17%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.17%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.17%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.17%
GNR 2017-H10 MI IO 01.7249 04/20/2067 0.17%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.17%
FEDERAL HOME LOAN MTG CORP 0.16%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.16%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.16%
GNR 2014-H25 BI IO 01.6842 12/20/2064 0.16%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.16%
GNR 2015-H16 XI IO 02.1280 07/20/2065 0.16%
GNR 2017-H09 IO IO 01.7751 04/20/2067 0.16%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.16%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.16%
FEDERAL NATIONAL MORTGAGE ASSN 0.15%
FHR 4136 IQ IO 03.5000 11/15/2042 0.15%
FHR 4452 QI IO 04.0000 11/15/2044 0.15%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.15%
GNR 2016-H04 HI IO 02.3622 07/20/2065 0.15%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.15%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.15%
FHR 4019 JI IO 04.0000 05/15/2041 0.14%
GNR 2013-182 SP IO 05.4878 12/20/2043 0.14%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.14%
GNR 2016-H06 AI IO 02.0788 02/20/2066 0.14%
FHR 4171 NI IO 03.0000 06/15/2042 0.13%
FNR 2005-106 JC 16.3531 12/25/2035 0.13%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.13%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.13%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.13%
FEDERAL NATIONAL MORTGAGE ASSN 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FHR 4530 HI IO 04.0000 11/15/2045 0.12%
FNR 2005-122 SE 18.8436 11/25/2035 0.12%
FNR 2007-53 SP 19.7409 06/25/2037 0.12%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.12%
GNR 2016-H24 JI IO 02.3016 11/20/2066 0.12%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.12%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.12%
FHR 4018 DI IO 04.5000 07/15/2041 0.11%
FHR 4150 DI IO 03.0000 01/15/2043 0.11%
FHR 4165 AI IO 03.5000 02/15/2043 0.11%
FNR 2006-8 HP 20.1076 03/25/2036 0.11%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.11%
GNR 2016-H08 GI IO 01.4335 04/20/2066 0.11%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.11%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.11%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.11%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.11%
FHR 3072 SM 04.2533 11/15/2035 0.10%
FHR 4122 TI IO 04.5000 10/15/2042 0.10%
FHR 4141 PI IO 03.0000 12/15/2042 0.10%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.10%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.10%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.10%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.10%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.10%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.10%
FHR 3996 IK IO 04.0000 03/15/2039 0.09%
FHR 4136 ES IO 05.0911 11/15/2042 0.09%
FHR 4201 JI IO 03.0000 12/15/2041 0.09%
FHR 4329 MI IO 04.5000 06/15/2026 0.09%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.09%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.09%
GNR 2017-H06 EI IO 01.5759 02/20/2067 0.09%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.09%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.09%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.09%
FEDERAL HOME LOAN MTG CORP 0.08%
FEDERAL NATIONAL MORTGAGE ASSN 0.08%
FHR 2990 LB 13.9837 06/15/2034 0.08%
FHR 3408 EK 21.1299 04/15/2037 0.08%
FNR 2005-75 GS 16.6017 08/25/2035 0.08%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.08%
FNR 2012-96 PI IO 04.0000 07/25/2041 0.08%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.08%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.08%
GNR 2010-35 QI IO 04.5000 03/20/2040 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 2013-37 JI IO 03.5000 01/20/2043 0.08%
2.15 R ISWP FWD USL3M P 06/27/2027 0.07%
FHS 304 C37 IO 03.5000 12/15/2027 0.07%
FNR 2006-62 PS 32.6033 07/25/2036 0.07%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.07%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.07%
FNR 2013-8 NI IO 03.0000 12/25/2042 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.07%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.07%
GOVERNMENT NATIONAL MORTGAGE A 0.07%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.07%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.07%
FEDERAL HOME LOAN MTG CORP 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.06%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.06%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.06%
GNR 2010-114 MI IO 04.0000 03/20/2039 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 2013-165 IL IO 04.0000 03/20/2043 0.06%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.06%
GNR 2014-147 MI IO 03.5000 07/20/2039 0.06%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.06%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.06%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.06%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.06%
FHR 4199 CI IO 03.5000 12/15/2037 0.05%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.05%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.05%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.05%
GNR 2011-81 SB IO 05.5333 11/16/2036 0.05%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.05%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.05%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.05%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.05%
FEDERAL HOME LOAN MTG CORP 0.04%
FNR 2005-83 QP 14.2321 11/25/2034 0.04%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.04%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.04%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.04%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.04%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.04%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.04%
2.18 R ISWP FWD USL3M P 07/13/2027 0.03%
FEDERAL NATIONAL MORTGAGE ASSN 0.03%
FHR 3232 KS IO 05.1411 10/15/2036 0.03%
FN30 05.000 2009 0.03%
FNR 2011-123 KS IO 05.3839 10/25/2041 0.03%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.03%
GOVERNMENT NATIONAL MORTGAGE A 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.03%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.03%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.03%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.03%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.03%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.03%
FEDERAL HOME LOAN MTG CORP 0.02%
FEDERAL NATIONAL MORTGAGE ASSN 0.02%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.02%
GII30 06.000 1997 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
OPTN FN30 3.0 08/07/17 PUT 99.875 JPMC 0.02%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.02%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.02%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.02%
FEDERAL HOME LOAN MTG CORP 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FNW 2003-W8 3F2 01.5661 05/25/2042 0.01%
GOVERNMENT NATIONAL MORTGAGE A 0.01%
OPTN FN30 2.5 08/07/17 CALL 96.53125 JPMC 0.01%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.01%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.01%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.01%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
2.1965 R ISWP USL3M P 06/30/2027 0.00%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNR 1988-12 B 00.0000 02/25/2018 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2011-81 PI IO 04.5000 12/20/2037 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GOVERNMENT NATIONAL MORTGAGE A 0.00%
GOVERNMENT NATIONAL MORTGAGE A 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 BC 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.11 R USL1M P 01/12/42 GS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 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%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
US 10YR NOTE (CBT)SEP17 TYU7 0.00%
US 5YR NOTE (CBT) SEP17 FVU7 0.00%
US ULTRA BOND CBT SEP17 WNU7 0.00%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.01%
1.90 R ISWP FWD USL3M P 09/20/2022 -0.01%
OPTN FN30 2.5 08/07/17 PUT 96.53125 JPMC -0.01%
OPTN FN30 3.0 08/07/17 CALL 99.875 JPMC -0.01%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.01%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.01%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA -0.01%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS -0.01%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS -0.01%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI -0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.02%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.02%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.02%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.02%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.03%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.03%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.03%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -0.03%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI -0.03%
SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 GS -0.03%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.04%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -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%
2.11504 R ISWP USL3M P 06/26/2027 -0.05%
2.45 R ISWP FWD USL3M P 09/20/2047 -0.05%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.05%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.06%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.06%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.06%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.06%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.07%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.07%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -0.07%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -0.09%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.09%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.10%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.10%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.10%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.10%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.10%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.10%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.10%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.11%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.12%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.12%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.12%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.14%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.14%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.17%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.18%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.18%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.22%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.22%
FHLMC FH30G TBA 03.0000 07/01/2047 -1.48%
GNMA GII30 TBA 03.5000 07/01/2047 -3.08%

Prior top 10 holdings

Top 10 holdings as of 09/30/17
1: Us Treasury N/B 04.5000 08/15/2039 14.59%
2: Fnma Fn30 Tba 03.5000 11/01/2047 11.24%
3: Gnma Gii30 Am4931 03.5000 04/20/2045 4.96%
4: Fnma Fn30 Tba 03.0000 11/01/2047 4.69%
5: Fnma Fn30 Tba 02.5000 10/01/2047 4.53%
6: Fnma Fn30 Tba 04.5000 11/01/2047 3.34%
7: Fhlmc Fh30g G61000 03.5000 05/01/2047 3.20%
8: Fnr 2007-95 A3 01.4872 08/27/2036 2.81%
9: Fnma Fn30 Av7064 03.0000 05/01/2045 2.67%
10: Gnma Gii30 626947 04.0000 05/20/2045 2.31%
Holdings represent 54.34% of portfolio
Top 10 holdings as of 08/31/17
1: Us Treasury N/B 04.5000 08/15/2039 14.78%
2: Fnma Fn30 Tba 03.5000 09/01/2047 6.42%
3: Fnma Fn30 Tba 03.5000 10/01/2047 6.41%
4: Gnma Gii30 Am4931 03.5000 04/20/2045 5.03%
5: Fnma Fn30 Tba 04.5000 09/01/2047 5.00%
6: Fnma Fn30 Tba 02.5000 09/01/2047 4.55%
7: Fhlmc Fh30g G61000 03.5000 05/01/2047 3.20%
8: Fnma Fn30 Tba 03.0000 10/01/2047 3.13%
9: Fnr 2007-95 A3 01.4844 08/27/2036 2.80%
10: Fnma Fn30 Av7064 03.0000 05/01/2045 2.68%
Holdings represent 54.00% of portfolio
Top 10 holdings as of 07/31/17
1: Us Treasury N/B 04.5000 08/15/2039 14.15%
2: Fnma Fn30 Tba 03.5000 09/01/2047 13.90%
3: Gnma Gii30 Am4931 03.5000 04/20/2045 4.93%
4: Fnma Fn30 Tba 04.5000 09/01/2047 4.84%
5: Fnma Fn30 Tba 02.5000 09/01/2047 4.35%
6: Fhlmc Fh30g G61000 03.5000 05/01/2047 3.11%
7: Fnr 2007-95 A3 01.4822 08/27/2036 2.71%
8: Fnma Fn30 Av7064 03.0000 05/01/2045 2.58%
9: Gnma Gii30 626947 04.0000 05/20/2045 2.24%
10: Us Treasury N/B 06.2500 08/15/2023 1.89%
Holdings represent 54.70% of portfolio
Top 10 holdings as of 06/30/17
1: Us Treasury N/B 04.5000 08/15/2039 14.05%
2: Fnma Fn30 Tba 03.5000 08/01/2047 12.19%
3: Gnma Gii30 Am4931 03.5000 04/20/2045 4.94%
4: Fnma Fn30 Tba 04.5000 07/01/2047 4.78%
5: Fnma Fn30 Tba 03.5000 07/01/2047 4.58%
6: Fhlmc Fh30g G61000 03.5000 05/01/2047 3.07%
7: Fnma Fn30 Tba 02.5000 07/01/2047 2.86%
8: Fnr 2007-95 A3 01.4661 08/27/2036 2.68%
9: Fnma Fn30 Av7064 03.0000 05/01/2045 2.55%
10: Gnma Gii30 626947 04.0000 05/20/2045 2.22%
Holdings represent 53.92% of portfolio

Sector Weightings as of 09/30/17

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 44.62% 3.00 19.04% 1.27 63.66% 4.27
Agency CMO 32.14% 1.28 0.82% 0.03 32.96% 1.31
U.S. Treasury/agency 16.50% 2.32 0.00% 1.98 16.50% 4.30
Net cash 6.39% 0.00 0.00% 0.00 6.39% 0.00
Asset-backed securities (ABS) 0.35% 0.00 0.00% 0.00 0.35% 0.00
Interest rate swaps 0.00% 0.00 0.00% -1.76 0.00% -1.76

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.