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 10/31/17

Category: General U.S. Government Funds

  Percentile ranking Rank/Funds in category
10 yrs. 16% 7/43
1 yr. 11% 6/56
3 yrs. 93% 53/56
5 yrs. 54% 28/51

Risk characteristics as of 10/31/17

Avg. Eff. Maturity 13.01
Avg. Price 88.30
Avg. Eff. Duration 4.43
Avg. Coupon 4.15
Avg. Yield to Maturity 3.30
Alpha (%) --
Beta 0.40
R squared 0.61
Standard deviation (3 yrs.) 1.68

Maturity details

0 to 1 yr. -10.93%
1 to 5 yrs. 3.55%
5 to 10 yrs. 79.03%
10 to 15 yrs. 13.90%
Over 15 yrs. 14.45%

Quality ratings

AAA 110.21%
A 7.16%
Not Rated -17.37%

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 11/30/17

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 580
Turnover (fiscal year end) 1,028%
Net Assets $64M
Inception Date 02/01/00

Holdings

Top 10 holdings as of 10/31/17

Us Treasury N/B 04.5000 08/15/2039 14.45%
Fnma Fn30 Tba 03.5000 12/01/2047 11.10%
Gnma Gii30 Am4931 03.5000 04/20/2045 4.81%
Fnma Fn30 Tba 02.5000 11/01/2047 4.48%
Gnma Gii30 Tba 04.5000 11/01/2047 3.28%
Fhlmc Fh30g G61000 03.5000 05/01/2047 3.16%
Fnma Fn30 Tba 03.0000 11/01/2047 3.09%
Fnr 2007-95 A3 01.4879 08/27/2036 2.79%
Fnma Fn30 Av7064 03.0000 05/01/2045 2.64%
Gnma Gii30 626947 04.0000 05/20/2045 2.26%
Top 10 holdings, total: 52.06%

Full Portfolio 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%
US TREASURY N/B 06.2500 08/15/2023 1.92%
GNMA GII30 626944 03.5000 05/20/2045 1.77%
GNMA GII30 TBA 05.0000 10/01/2047 1.67%
GNMA GII30 TBA 04.5000 10/01/2047 1.66%
FNMA FN30 TBA 04.0000 11/01/2047 1.64%
FNMA FN30 BH2620 03.5000 08/01/2047 1.61%
GNMA GII30 TBA 03.0000 10/01/2047 1.58%
BF0101 03.5000 06/01/2056 1.55%
FHLMC FH30G Q43898 03.5000 10/01/2046 1.53%
FNMA FN30 AV7065 03.5000 05/01/2045 1.53%
FNMA FN30 AS8648 03.0000 01/01/2047 1.51%
FNMA FN30 AX5483 03.5000 10/01/2045 1.48%
FNMA FN30 BC1155 03.0000 06/01/2046 1.45%
GNMA GII30 626939 04.0000 04/20/2045 1.45%
FHLMC FH30G Q41024 03.0000 06/01/2046 1.44%
GNMA GII30 626906 03.5000 01/20/2045 1.44%
BF0132 04.0000 07/01/2056 1.43%
FHS 315 PO PO 00.0000 09/15/2043 1.40%
FNMA FN30 AX5472 03.5000 08/01/2045 1.34%
G60183 04.0000 12/01/2044 1.32%
FNMA FN30 AX5554 03.0000 10/01/2046 1.31%
GNMA GII30 AL5358 03.5000 03/20/2045 1.22%
FHLMC FH30G G60314 04.0000 09/01/2045 1.05%
FNMA FN30 AL6919 05.5000 01/01/2038 1.01%
FHR 3835 FO PO 00.0000 04/15/2041 0.99%
FNMA FN30 AX5516 04.0000 03/01/2046 0.81%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.70%
FHR 3065 DC 16.1567 03/15/2035 0.56%
GNR 2016-H07 PI IO 02.2538 03/20/2066 0.55%
GNMA GII30 AF3759 03.5000 06/20/2045 0.52%
GNR 2016-H11 HI IO 02.0827 01/20/2066 0.52%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.51%
FNR 2008-24 SP 18.7469 02/25/2038 0.47%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.44%
GNR 2015-H10 HI IO 02.0272 04/20/2065 0.41%
GNR 2016-H23 NI IO 02.3375 10/20/2066 0.41%
FHR 4436 SC IO 04.9156 02/15/2045 0.40%
GNMA GII30 MA2828 04.5000 05/20/2045 0.40%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.39%
FEDERAL NATIONAL MORTGAGE ASSN 0.38%
GNR 2011-156 SK IO 05.3639 04/20/2038 0.38%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.37%
GNR 2016-H27 GI IO 02.2797 12/20/2066 0.37%
GNR 2017-H06 MI IO 02.1737 02/20/2067 0.36%
GNR 2015-H22 GI IO 02.5760 09/20/2065 0.35%
SPST 2017-1 A 02.1372 02/25/2049 0.35%
FNMA FN30 AY8222 04.5000 05/01/2045 0.34%
GNMA GII30 4114 05.5000 04/20/2038 0.33%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.32%
GNR 2011-H07 FI IO 01.2327 02/20/2061 0.32%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.32%
GNR 2016-H13 IK IO 02.5922 06/20/2066 0.32%
GNR 2017-H03 KI IO 02.3407 01/20/2067 0.32%
GNR 2015-H20 CI IO 02.2103 08/20/2065 0.30%
GNR 2016-H18 QI IO 02.3763 06/20/2066 0.30%
GNR 2016-H17 DI IO 02.0994 07/20/2066 0.29%
GNR 2017-H08 EI IO 02.2467 02/20/2067 0.29%
GNR 2015-H22 AI IO 01.9002 09/20/2065 0.28%
GNR 2016-H03 AI IO 01.9275 01/20/2066 0.28%
FNR 12-118 PI IO 04.0000 06/25/2042 0.27%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.27%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.27%
FHR 4621 QI IO 03.5000 10/15/2046 0.26%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.26%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.25%
GNR 2016-H04 KI IO 01.7089 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%
FN30 06.000 2007 0.24%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.24%
GNR 2014-H21 AI IO 01.6285 10/20/2064 0.24%
GNR 2017-H04 BI IO 02.4170 02/20/2067 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 2014-100 NI IO 04.0000 06/20/2043 0.23%
GNR 2015-H13 AI IO 02.1546 06/20/2065 0.23%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.22%
GNR 2016-H06 DI IO 01.9285 07/20/2065 0.22%
GNR 2017-H08 GI IO 02.3157 02/20/2067 0.22%
FHR 4165 TI IO 03.0000 12/15/2042 0.21%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.21%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.21%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.21%
GNR 2015-64 IG IO 04.0000 05/20/2045 0.21%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.21%
GNR 2017-H08 NI IO 02.2185 03/20/2067 0.21%
FHR 4158 TI IO 03.0000 12/15/2042 0.20%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.20%
FNMA FN30 AW7089 04.5000 07/01/2044 0.19%
FNR 2011-4 CS 10.4256 05/25/2040 0.19%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.19%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.19%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.19%
GNR 2015-H04 AI IO 01.6907 12/20/2064 0.19%
GNR 2015-H23 TI IO 01.8913 09/20/2065 0.19%
GNR 2015-H25 BI IO 01.9114 10/20/2065 0.19%
GNR 2016-H06 HI IO 02.0610 02/20/2066 0.19%
GNR 2016-H10 AI IO 01.7184 04/20/2066 0.19%
GNR 2016-H24 IO IO 02.0966 09/20/2066 0.19%
GNR 2017-H10 MI IO 01.7487 04/20/2067 0.19%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.19%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.18%
GNR 2015-H24 HI IO 02.0292 09/20/2065 0.18%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.18%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.18%
FHR 4500 GI IO 04.0000 08/15/2045 0.17%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.17%
GII30 06.000 1996 0.17%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.17%
GNR 2014-H25 BI IO 01.6787 12/20/2064 0.17%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.17%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.17%
GNR 2015-H16 XI IO 02.2329 07/20/2065 0.17%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.17%
GNR 2017-H09 IO IO 01.7779 04/20/2067 0.17%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.17%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.17%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.17%
FEDERAL HOME LOAN MTG CORP 0.16%
FEDERAL NATIONAL MORTGAGE ASSN 0.16%
FHR 4425 IO IO 04.0000 01/15/2045 0.16%
FHR 4546 PI IO 04.0000 12/15/2045 0.16%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.16%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.16%
GNR 2016-H04 HI IO 02.3650 07/20/2065 0.16%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.16%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.16%
FHR 4136 IQ IO 03.5000 11/15/2042 0.15%
FHR 4452 QI IO 04.0000 11/15/2044 0.15%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.15%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.15%
GNR 2016-H06 AI IO 01.8453 02/20/2066 0.15%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.15%
FHR 4019 JI IO 04.0000 05/15/2041 0.14%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.14%
GNR 2013-182 SP IO 05.4639 12/20/2043 0.14%
FHR 4171 NI IO 03.0000 06/15/2042 0.13%
FNR 2005-106 JC 16.2877 12/25/2035 0.13%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.13%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.13%
TEMP GNH-537 AI IO 01.6257 08/20/2067 0.13%
2.25 R ISWP FWD US0003M P 12/20/2027 0.12%
FEDERAL NATIONAL MORTGAGE ASSN 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FNR 2007-53 SP 19.6635 06/25/2037 0.12%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.12%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.12%
GNR 2016-H08 GI IO 01.4308 04/20/2066 0.12%
GNR 2016-H24 JI IO 02.2031 11/20/2066 0.12%
GNR 2017-H14 JI IO 02.1438 06/20/2067 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%
FHR 4530 HI IO 04.0000 11/15/2045 0.11%
FNR 2005-122 SE 18.7697 11/25/2035 0.11%
FNR 2006-8 HP 20.0302 03/25/2036 0.11%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.11%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.11%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 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%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.10%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.10%
GNR 2017-H06 EI IO 01.5744 02/20/2067 0.10%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 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%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.10%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.10%
FEDERAL NATIONAL MORTGAGE ASSN 0.09%
FHR 4201 JI IO 03.0000 12/15/2041 0.09%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.09%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.09%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.09%
FHR 2990 LB 13.7906 06/15/2034 0.08%
FHR 3408 EK 20.8259 04/15/2037 0.08%
FHR 4136 ES IO 05.0156 11/15/2042 0.08%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.08%
FNR 2013-53 JI IO 03.0000 12/25/2041 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%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.08%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.08%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.08%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.08%
FEDERAL HOME LOAN MTG CORP 0.07%
FHR 3996 IK IO 04.0000 03/15/2039 0.07%
FHS 304 C37 IO 03.5000 12/15/2027 0.07%
FNR 2005-75 GS 16.5383 08/25/2035 0.07%
FNR 2006-62 PS 32.4767 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 2012-62 MI IO 04.0000 03/25/2041 0.07%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.07%
GNR 2012-47 CI IO 04.0000 03/20/2042 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%
GOVERNMENT NATIONAL MORTGAGE A 0.07%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.07%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.07%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.07%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.07%
FEDERAL HOME LOAN MTG CORP 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FNR 2013-35 IP IO 03.0000 06/25/2042 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%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.06%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 0.06%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.06%
SWPTN 5WX10Y R 2.22 USD 10/30/2017 GS 0.06%
FHR 4199 CI IO 03.5000 12/15/2037 0.05%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.05%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.05%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.05%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.05%
GNR 2010-151 KO PO 00.0000 06/16/2037 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 2014-147 MI IO 03.5000 07/20/2039 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.05%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.05%
SWPTN 2MX10Y P 2.41625 USD 10/27/2017 CS 0.05%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.05%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 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 5WX10Y R 2.214 USD 10/30/2017 BA 0.05%
SWPTN LIABILITY 5WX10Y P 2.306 USD 10/30/2017 BA 0.05%
SWPTN LIABILITY 5WX10Y R 2.304 USD 10/30/2017 GS 0.05%
SWPTN LIABILITY 5WX10Y R 2.306 USD 10/30/2017 BA 0.05%
2.201 R ISWP US0003M P 10/03/2027 0.04%
FEDERAL HOME LOAN MTG CORP 0.04%
FNR 2005-83 QP 14.1772 11/25/2034 0.04%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.04%
GNR 2011-81 SB IO 05.4706 11/16/2036 0.04%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 3MX1Y P 1.6775 USD 11/30/2017 GS 0.04%
SWPTN 5WX10Y P 2.398 USD 10/30/2017 BA 0.04%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.04%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.04%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.04%
FEDERAL NATIONAL MORTGAGE ASSN 0.03%
FN30 05.000 2009 0.03%
FNR 2011-123 KS IO 05.3628 10/25/2041 0.03%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.03%
GOVERNMENT NATIONAL MORTGAGE A 0.03%
OPTN FN30 3.0 12/06/17 PUT 100.328125 JPMC 0.03%
OPTN FN30 3.0 12/06/17 PUT 100.421875 JPMC 0.03%
OPTN FN30 3.0 12/06/17 PUT 100.515625 JPMC 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 5WX10Y R 2.1565 USD 10/27/2017 CI 0.03%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.03%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.03%
SWPTN LIABILITY 15DX10Y P 2.3 USD 10/13/2017 GS 0.03%
SWPTN LIABILITY 15DX10Y R 2.3 USD 10/13/2017 GS 0.03%
2.2405 R ISWP US0003M P 10/03/2027 0.02%
2.2495 R ISWP US0003M P 10/03/2027 0.02%
FEDERAL HOME LOAN MTG CORP 0.02%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
GOVERNMENT NATIONAL MORTGAGE A 0.02%
OPTN FN30 3.0 11/06/17 PUT 100.26171875 JPMC 0.02%
SWPTN 15DX10Y P 2.39 USD 10/13/2017 GS 0.02%
SWPTN 15DX10Y R 2.21 USD 10/13/2017 GS 0.02%
SWPTN 1MX10Y R 2.135 USD 10/23/2017 CI 0.02%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.02%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.02%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
1.80 R ISWP FWD US0003M P 12/20/2019 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 01.5872 05/25/2042 0.01%
GOVERNMENT NATIONAL MORTGAGE A 0.01%
OPTN FN30 3.0 11/06/17 CALL 100.90625 JPMC 0.01%
SWPTN 1MX10Y P 2.53 USD 10/23/2017 JP 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX1Y R 1.6525 USD 12/20/2017 CI 0.01%
SWPTN 5WX10Y P 2.456 USD 10/16/2017 JP 0.01%
SWPTN 5WX10Y P 2.55 USD 10/27/2017 GS 0.01%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.01%
2.05 R ISWP FWD US0003M P 12/20/2022 0.00%
2.2935 R ISWP US0003M P 10/02/2027 0.00%
2.304 R ISWP FWD US0003M P 11/01/2027 0.00%
2.50 R ISWP FWD US0003M P 12/20/2047 0.00%
CPURNSA P 2.085 R 07/03/27 0.00%
CPURNSA R 1.89 P 07/05/22 0.00%
CPURNSA R 1.9225 P 07/03/22 0.00%
FHR 3300 PO PO 00.0000 02/15/2037 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FNR 1988-12 B 00.0000 02/25/2018 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%
GOVERNMENT NATIONAL MORTGAGE A 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 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 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 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
OPTN FN30 2.5 10/05/17 CALL 98.1640625 JPMC 0.00%
OPTN FN30 3.0 11/06/17 CALL 101.78125 JPMC 0.00%
SWPTN 1MX10Y R 1.892 USD 10/05/2017 CS 0.00%
SWPTN 3MX10Y P 2.6 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y P 2.62 USD 10/27/2017 GS 0.00%
SWPTN 3MX10Y R 1.95 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y R 1.995 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y R 2.015 USD 10/27/2017 GS 0.00%
SWPTN 3MX1Y P 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.296 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.541 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.619 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.755 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.796 USD 10/20/2017 GS 0.00%
SWPTN 3MX3Y P 1.993 USD 10/06/2017 JP 0.00%
SWPTN 3MX3Y R 1.783 USD 10/06/2017 JP 0.00%
SWPTN 4WX10Y R 2.09275 USD 10/13/2017 GS 0.00%
SWPTN 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 1.925 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.023 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y R 2.03 USD 10/10/2017 GS 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 7WX10Y R 1.905 USD 10/27/2017 CI 0.00%
SWPTN 7WX10Y R 2.033 USD 10/27/2017 CI 0.00%
SWPTN LIABILITY 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
US 10YR NOTE (CBT)DEC17 TYZ7 0.00%
US 5YR NOTE (CBT) DEC17 FVZ7 0.00%
US ULTRA BOND CBT DEC17 WNZ7 0.00%
2.30 R ISWP FWD US0003M P 10/17/2027 -0.01%
CPURNSA P 2.05 R 07/05/27 -0.01%
OPTN FN30 3.0 11/06/17 CALL 100.26171875 JPMC -0.01%
OPTN FN30 3.0 11/06/17 CALL 101.34375 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.2109375 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.3046875 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.3984375 JPMC -0.01%
SWPTN 3MX10Y P 2.5525 USD 11/03/2017 GS -0.01%
SWPTN 3MX1Y R 2.0 USD 12/20/2017 CI -0.01%
SWPTN 4WX10Y R 2.18375 USD 10/13/2017 GS -0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.02%
OPTN FN30 2.5 10/05/17 PUT 98.1640625 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.76953125 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.86328125 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.95703125 JPMC -0.02%
SWPTN 1MX10Y R 2.227 USD 10/23/2017 CI -0.02%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI -0.02%
SWPTN LIABILITY 15DX10Y P 2.39 USD 10/13/2017 GS -0.02%
SWPTN LIABILITY 15DX10Y R 2.21 USD 10/13/2017 GS -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%
FLR USL3M 6.00 03/07/2018 JP -0.03%
SWPTN 15DX10Y P 2.3 USD 10/13/2017 GS -0.03%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.03%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.03%
SWPTN 5WX10Y P 2.313 USD 10/16/2017 CI -0.03%
SWPTN 5WX10Y R 2.253 USD 10/27/2017 CI -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.04%
SWPTN 15DX10Y R 2.3 USD 10/13/2017 GS -0.04%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.04%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.04%
SWPTN 3MX1Y P 1.495 USD 11/30/2017 GS -0.04%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA -0.04%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 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%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA -0.05%
SWPTN LIABILITY 5WX10Y P 2.398 USD 10/30/2017 BA -0.05%
SWPTN LIABILITY 5WX10Y R 2.214 USD 10/30/2017 BA -0.05%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS -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 LIABILITY 5WX10Y R 2.22 USD 10/30/2017 GS -0.06%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.07%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.07%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.07%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.07%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.08%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP -0.09%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.09%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.09%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.09%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS -0.09%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.10%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.10%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.10%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.11%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -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 5WX10Y P 2.284 USD 10/16/2017 JP -0.12%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.14%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.16%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.19%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.19%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS -0.21%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.24%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.24%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.29%
FHLMC FH30G TBA 03.0000 10/01/2047 -1.56%
GNMA GII30 TBA 04.0000 10/01/2047 -1.64%
GNMA GII30 TBA 03.5000 10/01/2047 -8.11%

Prior top 10 holdings

Top 10 holdings as of 10/31/17
1: Us Treasury N/B 04.5000 08/15/2039 14.45%
2: Fnma Fn30 Tba 03.5000 12/01/2047 11.10%
3: Gnma Gii30 Am4931 03.5000 04/20/2045 4.81%
4: Fnma Fn30 Tba 02.5000 11/01/2047 4.48%
5: Gnma Gii30 Tba 04.5000 11/01/2047 3.28%
6: Fhlmc Fh30g G61000 03.5000 05/01/2047 3.16%
7: Fnma Fn30 Tba 03.0000 11/01/2047 3.09%
8: Fnr 2007-95 A3 01.4879 08/27/2036 2.79%
9: Fnma Fn30 Av7064 03.0000 05/01/2045 2.64%
10: Gnma Gii30 626947 04.0000 05/20/2045 2.26%
Holdings represent 52.06% of portfolio
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

Sector Weightings as of 10/31/17

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 46.33% 3.10 15.50% 1.07 61.83% 4.17
Agency CMO 31.70% 1.27 0.79% 0.03 32.49% 1.30
U.S. Treasury/agency 16.35% 2.28 0.00% 1.93 16.35% 4.21
Net cash 5.28% 0.00 0.00% 0.00 5.28% 0.00
Asset-backed securities (ABS) 0.34% 0.00 0.00% 0.00 0.34% 0.00
Interest rate swaps 0.00% 0.00 0.00% -2.41 0.00% -2.41

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.