Prior to April 19, 2018, the fund was known as Putnam U.S. Government Income Trust. As of 4/19, Brett Kozlowski was added to the fund as an Portfolio Manager.

Mortgage Securities Fund (Class A)  (PGSIX)

Seeking opportunities through mortgage-backed securities

Highlights

Objective

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

Strategy and process

  • Broad 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.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $12.37
0.08% | $0.01
$12.93
10/03/17
$12.36
09/19/18
Historical fund price

Fund facts as of 08/31/18

Total net assets
$1,021.41M
Turnover (fiscal year end)
1,452%
Dividend frequency (view rate)
Monthly
Number of holdings
862
Fiscal year-end
September
CUSIP / Fund code
746885102 / 0017
Inception date
02/08/84
Category
Taxable Income
Open to new investors
Ticker
PGSIX

Management team

Co-Head of Fixed Income
Portfolio Manager
Portfolio Manager


Literature


A surprising shortage in housing
Home construction is falling behind the pace of new household formation, creating an imbalance between housing supply and demand.

Performance

Consistency of positive performance over five years

Performance represents 5-year returns in rolling quarter-end periods since inception.

Performance shown above does not reflect the effects of any sales charges. Note that returns of 0.00% are counted as positive periods. For complete fund performance, please see below.

12.45%

Best 5-year annualized return

(for period ending 06/30/89)


0.98%

Worst 5-year annualized return

(for period ending 03/31/18)


6.16%

Average 5-year annualized return


  • Total return (%) as of 06/30/18

  • Annual performance as of 06/30/18

Annualized Total return (%) as of 06/30/18

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 0.92% 0.34% 1.68% 3.90%
After sales charge -3.12% -1.02% 0.85% 3.48%
Bloomberg Barclays U.S. MBS Index 0.15% 1.46% 2.25% 3.54%
BBG Barc GNMA-BBG Barc U.S. MBS Linked Benchmark 0.06% 1.26% 2.07% 3.56%

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Returns before sales charge do not reflect the current maximum sales charges as indicated below. Had the sales charge been reflected, returns would be lower. Returns at public offering price (after sales charge) for class A and class M shares reflect the current maximum initial sales charges of 5.75% and 3.50% for equity funds and Putnam Multi-Asset Absolute Return Fund, and 4.00% and 3.25% for income funds (2.25% and 0.75% for Putnam Short Duration Bond Fund and 1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Fixed Income Absolute Return Fund, and Putnam Short-Term Municipal Income Fund), respectively. Class B share returns reflect the applicable contingent deferred sales charge (CDSC), which is 5% in the first year, declining to 1% in the sixth year, and is eliminated thereafter (except for Putnam Floating Rate Income Fund, Putnam Short Duration Bond Fund, Putnam Fixed Income Absolute Return Fund, and Putnam Short-Term Municipal Income Fund, which is 1% in the first year, declining to 0.5% in the second year, and is eliminated thereafter). Class C shares reflect a 1% CDSC the first year that is eliminated thereafter. Performance for class B, C, M, R, and Y shares prior to their inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge (or CDSC) and, except for class Y shares, the higher operating expenses for such shares (with the exception of Putnam Tax-Free High Yield Fund and Putnam AMT-Free Municipal Fund, which are based on the historical performance of class B shares). Class R5/R6 shares, available to qualified employee-benefit plans only, are sold without an initial sales charge and have no CDSC. Class Y shares are generally only available for corporate and institutional clients and have no initial sales charge. Performance for Class R5/R6 shares before their inception are derived from the historical performance of class Y shares, which have not been adjusted for the lower expenses; had they, returns would have been higher. For a portion of the period, some funds had expenses limitations or had been sold on a limited basis with limited assets and expenses, without which returns would be lower.

Performance snapshot

  Before sales charge After sales charge
1 mt. as of 08/31/18 -0.27 % -4.26 %
YTD as of 09/20/18 -0.51 % -4.49 %

Yield

Distribution rate before sales charge
as of 09/20/18
4.46%
Distribution rate after sales charge
as of 09/20/18
4.28%
30-day SEC yield with subsidy
as of 08/31/18 (after sales charge)
4.76%
30-day SEC yield without subsidy
as of 08/31/18 (after sales charge)
4.51%

Risk-adjusted performance as of 08/31/18

Sharpe ratio (3 yrs.) -0.16
Information ratio (3 yrs.) -0.44

Volatility as of 08/31/18

Standard deviation (3 yrs.) 1.41%
Beta 0.35
R-squared 0.19

Lipper rankings as of 08/31/18

Time period Rank/Funds in category Percentile ranking
1 yr. 33/127 26%
3 yrs. 103/117 88%
5 yrs. 85/99 85%
10 yrs. 25/69 36%
Lipper category: U.S. Mortgage Funds

Morningstar Ratings as of 08/31/18

Time period Funds in category Morningstar Rating
Overall 901
3 yrs. 901
5 yrs. 793
10 yrs. 574
Morningstar category: Intermediate-Term Bond

Distributions

Record/Ex dividend date 09/14/18
Payable date 09/20/18
Income $0.046
Extra income --
Short-term cap. gain --
Long-term cap. gain --

Lipper rankings are based on total return without sales charge relative to all share classes of funds with similar objectives as determined by Lipper. Past performance is not indicative of future results.

The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Holdings

Top 10 holdings as of 08/31/18

Fnma Fn30 Tba 03.0000 10/01/2048 20.07%
Fnma Fn30 Tba 03.5000 10/01/2048 17.41%
Gnma Gii30 Tba 03.0000 09/01/2048 8.43%
Gnma Gii30 Tba 04.5000 09/01/2048 6.51%
Fnma Fn30 Tba 04.0000 10/01/2048 6.17%
Gnma Gii30 Tba 03.5000 09/01/2048 5.99%
Gnma Gii30 Tba 05.0000 09/01/2048 5.80%
Fncl 2.50 04/01/2042 5.46%
Fnma Fn30 Tba 05.5000 09/01/2048 5.46%
Gnma Gii30p 783937 03.5000 11/20/2043 4.45%
Top 10 holdings, percent of portfolio 85.75%

Full portfolio holdings as of 06/30/18

FNMA FN30 TBA 03.0000 08/01/2048 19.37%
FNMA FN30 TBA 03.5000 08/01/2048 16.43%
GNMA GII30 TBA 04.5000 07/01/2048 8.34%
GNMA GII30 TBA 03.0000 07/01/2048 8.13%
GNMA GII30 TBA 04.0000 07/01/2048 6.77%
GNMA GII30 TBA 05.0000 07/01/2048 5.60%
FNCL 2.50 2013 5.36%
FNMA FN30 TBA 05.5000 07/01/2048 4.96%
GNMA GII30 TBA 03.5000 08/01/2048 4.83%
GNMA GII30P 783937 03.5000 11/20/2043 4.37%
GNMA GN30 783941 04.0000 11/15/2044 3.12%
FNR 2007-95 A3 02.3411 08/27/2036 2.29%
FNMA FN30 TBA 04.0000 07/01/2048 1.73%
GNMA GII30P 784109 04.0000 10/20/2045 1.50%
FHS 315 PO PO 00.0000 09/15/2043 1.31%
GNMA GN30 783942 04.0000 09/15/2039 1.04%
GNMA GN30 626935 03.5000 04/15/2045 0.99%
GNMA GII30 TBA 03.5000 07/01/2048 0.95%
FNMA FN30 AL6174 04.0000 11/01/2044 0.92%
FNMA FN30 TBA 04.5000 08/01/2048 0.88%
CARR 2006-NC2 A4 02.3311 06/25/2036 0.77%
FNMA FN40 BF0169 3.500000 01/01/2057 0.77%
BAYV 2006-C 1A3 06.0280 11/28/2036 0.76%
CAS 2017-C05 1B1 05.6911 01/25/2030 0.76%
VOLT 2017-NPL3 A1 P/P 144A 03.5000 03/25/2047 0.76%
CMLTI 2007-AR5 1A1A 03.8172 04/25/2037 0.74%
WAMU 2005-AR14 1A2 03.4129 12/25/2035 0.74%
CWL 2007-10 1A1 02.2711 06/25/2047 0.73%
FNMA FN30 TBA 06.0000 07/01/2048 0.72%
STACR 2016-DNA3 M3 07.0911 12/25/2028 0.72%
CAS 2018-C03 1M2 04.2411 10/25/2030 0.71%
GNMA GII30 609171 04.0000 07/20/2044 0.71%
FNR 2016-85 SL IO 04.0089 11/25/2046 0.69%
CAS 2017-C01 1M2 05.6411 07/25/2029 0.65%
SPST 2018-3 A 02.7911 07/24/2019 0.61%
FNMA FN30 TBA 04.5000 07/01/2048 0.59%
STACR 2018-DNA1 B1 05.2411 07/25/2030 0.58%
GNMA GII30 BG4860 04.5000 05/20/2048 0.57%
GNR 2016-H11 HI IO 02.0874 01/20/2066 0.57%
CAS 2016-C06 1M2 06.3411 04/25/2029 0.55%
CAS 2018 - C01 1B1 05.6411 07/25/2030 0.53%
FNMA FN30 TBA 02.5000 07/01/2048 0.53%
MSC 2011-C3 E P/P 144A 05.3267 07/15/2049 0.53%
CAS 2017-C06 1M2 04.7411 02/25/2030 0.51%
CAS 2016-C03 1M2 07.3911 10/25/2028 0.50%
CAS 2016-C05 2M2 06.5411 01/25/2029 0.50%
CAS 2018-C02 2M2 04.2911 08/25/2030 0.50%
CAS 2018-C04 2M2 04.6519 12/25/2030 0.50%
FNR 2016-83 BS IO 04.0089 11/25/2046 0.50%
STACR 2018-HQA1 M2 04.3911 09/25/2030 0.50%
BF0101 03.5000 06/01/2056 0.49%
GNR 2010-158 OP PO 00.0000 12/20/2040 0.49%
GNR 2016-H23 NI IO 01.8293 10/20/2066 0.49%
STACR 2018-DNA2 B1 05.7573 12/25/2030 0.49%
GNR 2017-H20 AI IO 02.1310 10/20/2067 0.48%
FNR 2010-109 IM IO 05.5000 09/25/2040 0.47%
FNR 2018-36 SD 0.47%
VOLT 2017-NPL2 A1 P/P 144A 03.5000 03/25/2047 0.47%
GNR 2016-H07 PI IO 02.2613 03/20/2066 0.46%
STACR 2017-HQA2 M2 04.7411 12/25/2029 0.46%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.46%
WFRBS 2012-C9 D P/P 144A 04.9398 11/15/2045 0.46%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.45%
GCAT 2018-2 A1 P/P 144A 04.0900 06/26/2023 0.45%
FHR 3065 DC 13.6403 03/15/2035 0.44%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.44%
JPMBB 2013-C14 D P/P 144A 04.7172 08/15/2046 0.44%
MLCFC 2006-4 C 05.3240 12/12/2049 0.44%
FN BF0091 0.41%
GSMS 2014-GC18 C 05.1083 01/10/2047 0.41%
FHR 4621 QI IO 03.5000 10/15/2046 0.39%
GNMA GII30 626906 03.5000 01/20/2045 0.39%
GNR 2016-H27 GI IO 02.3262 12/20/2066 0.39%
CAS 2016-C03 1B 13.8411 10/25/2028 0.38%
FNMA FN30 AV7065 03.5000 05/01/2045 0.38%
FNMA FN30 TBA 03.5000 07/01/2048 0.38%
CAS 2017-C06 1B1 06.2411 02/25/2030 0.37%
CAS 2017-C07 1B1 06.0911 05/25/2030 0.37%
FNMA FN30 AS8530 03.5000 12/01/2046 0.36%
GNR 2017-H25 CI IO 02.1819 12/20/2067 0.36%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.36%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.36%
FHR 4546 PI IO 04.0000 12/15/2045 0.34%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.34%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.34%
GNR 2017-H03 KI IO 01.9451 01/20/2067 0.34%
GNR 2017-H06 MI IO 02.1059 02/20/2067 0.34%
GNR 2015-H22 AI IO 01.3899 09/20/2065 0.33%
GNR 2016-H13 IK IO 02.5972 06/20/2066 0.33%
GNR 2015-H20 CI IO 01.5873 08/20/2065 0.32%
GNR 2018-1 IO IO 04.5000 01/20/2048 0.32%
FNR 2008-24 SP 15.6159 02/25/2038 0.31%
FNR 2016-50 SM IO 04.0089 08/25/2046 0.31%
GNMA GII30 AI6258 04.5000 05/20/2044 0.31%
GNR 2018-H04 JI IO 01.8230 03/20/2068 0.31%
STACR 2015-HQA1 B 10.8911 03/25/2028 0.31%
CSMC 2013-11R 1A2 05.3129 06/27/2034 0.30%
FNR 2015-58 KI IO 06.0000 03/25/2037 0.30%
GNR 2016-H18 QI IO 01.8402 06/20/2066 0.30%
FNR 2018-51 BI IO 05.5000 07/25/2038 0.29%
GNMA GII30 626939 04.0000 04/20/2045 0.29%
GNMA GN30 AM4380 04.0000 05/15/2045 0.29%
GNR 2016-H17 DI IO 02.2214 07/20/2066 0.29%
GNR 2017-164 IG IO 03.5000 04/20/2044 0.29%
GNR 2017-H08 EI IO 02.1030 02/20/2067 0.29%
GNR 2018-H01 XI IO 02.0795 01/20/2068 0.29%
JPALT 2006-A6 1A1 02.2511 11/25/2036 0.29%
FHR 3835 FO PO 00.0000 04/15/2041 0.28%
FNMA FN30 AV7052 03.5000 03/01/2045 0.28%
GNR 2017-176 BI IO 03.5000 05/20/2045 0.28%
STACR 2014-DN4 M3 06.6411 10/25/2024 0.28%
FNMA FN30 AX5555 03.5000 10/01/2046 0.27%
FNR 2017-19 IH IO 05.0000 03/25/2047 0.27%
GNMA GN30 627046 04.0000 01/15/2046 0.27%
GNR 2015-H22 GI IO 02.5722 09/20/2065 0.27%
GNR 2017-H04 BI IO 02.3127 02/20/2067 0.27%
VOLT 2017-NPL8 A1 P/P 144A 03.1250 06/25/2047 0.27%
FNMA FN30 AI9135 03.5000 10/01/2042 0.26%
FNMA FN30 AV7064 03.0000 05/01/2045 0.26%
FNR 2015-86 MI IO 05.5000 11/25/2045 0.26%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.26%
GNR 2015-H10 HI IO 01.8930 04/20/2065 0.26%
GNR 2017-H08 GI IO 02.1729 02/20/2067 0.26%
MSC 2012-C4 E P/P 144A 05.6009 03/15/2045 0.26%
2.75 R ISWP FWD US0003M P 06/20/2023 0.25%
ARRW 2018-1 A3 04.1570 04/25/2048 0.25%
FHR 4425 EI IO 04.0000 01/15/2045 0.25%
FNMA FN30 AL6919 05.5000 01/01/2038 0.25%
GNMA GII30 626947 04.0000 05/20/2045 0.25%
GNR 2011-H07 FI IO 01.2302 02/20/2061 0.25%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.25%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.25%
WFRBS 2011-C4 E P/P 144A 05.3988 06/15/2044 0.25%
WFRBS 2013-C11 D P/P 144A 04.4135 03/15/2045 0.25%
FNR 2012-151 IM IO 05.0000 04/25/2042 0.24%
GNMA GII30 635083 04.0000 05/20/2046 0.24%
GNMA GII30 BG4862 04.5000 05/20/2048 0.24%
GNR 2016-H10 AI IO 01.3964 04/20/2066 0.24%
SPST 2017-LD1 A 02.8911 11/25/2050 0.24%
STACR 2017-DNA2 M2 05.5411 10/25/2029 0.24%
WBCMT 2005-C21 D 05.4644 10/15/2044 0.24%
FHR 4213 GI IO 04.0000 11/15/2041 0.23%
FNMA FN30 AV7059 03.5000 04/01/2045 0.23%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.23%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.23%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.23%
GNR 2015-H13 AI IO 02.0914 06/20/2065 0.23%
GNR 2016-H24 IO IO 02.1008 09/20/2066 0.23%
GNMA GII30 AH8784 04.5000 06/20/2034 0.22%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.22%
GNR 2015-H04 AI IO 01.2822 12/20/2064 0.22%
GNR 2015-H23 TI IO 01.8945 09/20/2065 0.22%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.22%
GNR 2017-H08 NI IO 02.0977 03/20/2067 0.22%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.22%
FHR 4452 QI IO 04.0000 11/15/2044 0.21%
GNMA GII30 626924 03.5000 03/20/2045 0.21%
GNMA GII30 BG4861 04.5000 05/20/2048 0.21%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.21%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.21%
GNR 2013-67 IP IO 04.0000 04/16/2043 0.21%
GNR 2014-H21 AI IO 01.1672 10/20/2064 0.21%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.21%
FHR 4436 SC IO 04.0768 02/15/2045 0.20%
FHR 4601 IC IO 04.0000 12/15/2045 0.20%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.20%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.20%
GNR 2016-H14 AI IO 02.2193 06/20/2066 0.20%
GNR 2017-H03 CI IO 02.4901 12/20/2066 0.20%
GNR 2017-H10 MI IO 01.6013 04/20/2067 0.20%
GNR 2018-89 LS IO 04.1536 06/20/2048 0.20%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.20%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.20%
FHR 4425 IO IO 04.0000 01/15/2045 0.19%
FHR 4530 HI IO 04.0000 11/15/2045 0.19%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.19%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.19%
GNR 2011-156 SK IO 04.5163 04/20/2038 0.19%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.19%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.19%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.19%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.19%
GNR 2016-H03 AI IO 01.5419 01/20/2066 0.19%
GNR 2016-H06 DI IO 01.5779 07/20/2065 0.19%
GNR 2017-H25 IO IO 01.8158 11/20/2067 0.19%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.19%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.19%
CAS 2014-C03 2M2 04.9911 07/25/2024 0.18%
FHR 4165 TI IO 03.0000 12/15/2042 0.18%
GNMA GII30 635063 04.0000 03/20/2046 0.18%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.18%
GNR 2014-137 ID IO 05.5000 09/16/2044 0.18%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.18%
GNR 2015-H24 HI IO 02.0270 09/20/2065 0.18%
GNR 2017-H09 IO IO 01.7043 04/20/2067 0.18%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.18%
GNMA GII30 626928 04.0000 03/20/2045 0.17%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.17%
GNR 2014-H25 BI IO 01.6761 12/20/2064 0.17%
GNR 2016-H04 HI IO 02.3653 07/20/2065 0.17%
GNR 2016-H04 KI IO 01.3917 02/20/2066 0.17%
GNR 2016-H24 KI IO 02.9761 11/20/2066 0.17%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.17%
WFHET 2007-2 A3 02.3211 04/25/2037 0.17%
CAS 2014-C04 1M2 06.9911 11/25/2024 0.16%
FHR 2976 LC 16.8181 05/15/2035 0.16%
FHR 4158 TI IO 03.0000 12/15/2042 0.16%
FNR 2011-4 CS 08.7177 05/25/2040 0.16%
GNMA GII30 626972 03.5000 08/20/2045 0.16%
GNMA GII30P 784038 04.0000 01/20/2045 0.16%
GNR 2012-H11 FI IO 01.2135 02/20/2062 0.16%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.16%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.16%
GNR 2015-H25 BI IO 01.4386 10/20/2065 0.16%
GNR 2016-H06 HI IO 02.0560 02/20/2066 0.16%
GNR 2017-H23 BI IO 01.8683 11/20/2067 0.16%
GNR 2018-H02 IO IO 02.1056 01/20/2068 0.16%
GNR 2018-H05 ID 02.0570 03/20/2068 0.16%
BMIR 2015-1A M2 06.3911 07/25/2025 0.15%
FHLMC FH30G G60784 03.0000 12/01/2046 0.15%
FHR 2990 LB 11.6466 06/15/2034 0.15%
FNMA FN30 AX5554 03.0000 10/01/2046 0.15%
GNMA GII30 626917 04.0000 02/20/2045 0.15%
GNMA GII30 635075 04.5000 04/20/2046 0.15%
GNMA GN30 626962 04.0000 07/15/2045 0.15%
GNR 2013-182 SP IO 04.6163 12/20/2043 0.15%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.15%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.15%
GNR 2015-H16 XI IO 01.7617 07/20/2065 0.15%
GNR 2017-H14 LI IO 02.6458 06/20/2067 0.15%
FHR 4500 GI IO 04.0000 08/15/2045 0.14%
FNMA FN30 AX5472 03.5000 08/01/2045 0.14%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.14%
FNR 2018-47 SA IO 04.2100 07/25/2048 0.14%
GNMA GII30 AE5165 04.5000 08/20/2044 0.14%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.14%
GNR 2014-H18 CI IO 01.5855 09/20/2064 0.14%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.14%
GNR 2016-H06 AI IO 01.5503 02/20/2066 0.14%
MSAC 2004-HE9 M2 03.0211 11/25/2034 0.14%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.14%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.14%
FHR 4122 TI IO 04.5000 10/15/2042 0.13%
FHR 4136 IQ IO 03.5000 11/15/2042 0.13%
FHR 4150 DI IO 03.0000 01/15/2043 0.13%
FNMA FN30 AX5489 03.5000 10/01/2045 0.13%
FNMA FN30 AX5560 03.5000 11/01/2046 0.13%
FNR 12-118 PI IO 04.0000 06/25/2042 0.13%
GNMA GII30 AD8811 03.0000 03/20/2043 0.13%
GNMA GII30 AH8780 04.5000 06/20/2044 0.13%
GNMA GII30 AL1906 04.5000 01/20/2045 0.13%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.13%
GNR 2017-H14 JI IO 02.1734 06/20/2067 0.13%
GNR 2017-H25 AI IO 02.3519 12/20/2067 0.13%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.13%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.13%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.13%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.13%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.13%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.13%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.13%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.13%
TEMP GNH-537 AI IO 01.7481 08/20/2067 0.13%
UBSCM 2012-C1 D P/P 144A 05.7289 05/10/2045 0.13%
FHR 4019 JI IO 04.0000 05/15/2041 0.12%
FNMA FN30 AX5565 03.5000 12/01/2046 0.12%
FNR 2005-74 NK 17.0444 05/25/2035 0.12%
GNMA GII30 AH5493 04.5000 10/20/2044 0.12%
GNMA GN30 635061 04.0000 03/15/2046 0.12%
GNR 2011-H16 FI IO 01.0330 07/20/2061 0.12%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.12%
STACR 2014-HQ3 M3 06.8411 10/25/2024 0.12%
FHR 4171 NI IO 03.0000 06/15/2042 0.11%
FNMA FN30 AV7053 04.0000 02/01/2045 0.11%
FNR 2005-106 JC 13.6399 12/25/2035 0.11%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.11%
GNMA GII30 609146 04.5000 05/20/2044 0.11%
GNMA GN30 626998 03.5000 10/15/2042 0.11%
GNR 2014-119 SA IO 03.5163 08/20/2044 0.11%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.11%
GNR 2016-H01 HI IO 02.0507 10/20/2065 0.11%
GNR 2016-H08 GI IO 01.4213 04/20/2066 0.11%
GNR 2017-H06 EI IO 01.5711 02/20/2067 0.11%
WAMU 2005-AR8 2AC2 03.0111 07/25/2045 0.11%
FHR 4141 PI IO 03.0000 12/15/2042 0.10%
FNMA FN30 735227 05.5000 02/01/2035 0.10%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.10%
GNMA GII30 AJ8849 03.0000 10/20/2044 0.10%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.10%
FHR 3072 SM 04.2533 11/15/2035 0.09%
FHR 4165 AI IO 03.5000 02/15/2043 0.09%
FHR 4201 JI IO 03.0000 12/15/2041 0.09%
FNMA FN30 889560 06.0000 06/01/2038 0.09%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.09%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.09%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.09%
GNMA GII30 626944 03.5000 05/20/2045 0.09%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.09%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.09%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.09%
STACR 2015-HQ1 M3 05.8911 03/25/2025 0.09%
FNMA FN30 AL4158 06.0000 10/01/2040 0.08%
FNMA FN30 AX5483 03.5000 10/01/2045 0.08%
FNR 2006-8 HP 16.8992 03/25/2036 0.08%
FNR 2007-53 SP 16.5325 06/25/2037 0.08%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.08%
GNMA GII30 626963 04.0000 07/20/2045 0.08%
GNMA GII30 627009 04.5000 10/20/2045 0.08%
GNMA GII30 635081 03.5000 05/20/2046 0.08%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.08%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.08%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.08%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.08%
GNR 2016-H24 JI IO 01.7220 11/20/2066 0.08%
SWPTN 1MX10Y R 2.965 USD 07/13/2018 GS 0.08%
SWPTN 3MX10Y R 2.89 USD 09/21/2018 MS 0.08%
SWPTN 5WX10Y R 2.9125 USD 07/23/2018 MS 0.08%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.08%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.08%
FHR 4136 ES IO 04.1768 11/15/2042 0.07%
FHR 4183 MI IO 03.0000 02/15/2042 0.07%
FN30 06.000 2007 0.07%
FNMA FN30 AS6679 04.0000 01/01/2046 0.07%
FNMA FN30 AV7026 03.5000 11/01/2044 0.07%
FNMA FN30 AV7042 04.0000 01/01/2045 0.07%
FNMA FN30 BC0960 04.0000 06/01/2046 0.07%
FNMA FN30 BD9021 03.5000 01/01/2047 0.07%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.07%
GNMA GII30 AH8776 04.5000 06/20/2034 0.07%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.07%
GNMA GII30 AK7899 04.5000 01/20/2045 0.07%
GNMA GII30 BA7681 04.6290 06/20/2067 0.07%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.07%
GNR 2012-48 AI IO 03.5000 02/20/2036 0.07%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.07%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.07%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.07%
GNR 2015-H23 DI IO 01.8397 09/20/2065 0.07%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.07%
OPTN FN30 3.5 07/05/18 CALL 99.1953125 JPMC 0.07%
FHR 4018 DI IO 04.5000 07/15/2041 0.06%
FHR 4024 PI IO 04.5000 12/15/2041 0.06%
FNR 2005-122 SE 15.7810 11/25/2035 0.06%
FNR 2006-62 PS 27.3532 07/25/2036 0.06%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.06%
GNMA GII30 609117 04.5000 02/20/2044 0.06%
GNMA GII30 AH5494 04.5000 10/20/2044 0.06%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.06%
GNMA GII30 AJ9129 04.5000 11/20/2044 0.06%
GNMA GII30 AY4779 04.5070 03/20/2067 0.06%
GNR 2010-151 KO PO 00.0000 06/16/2037 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 2YX8Y P 2.5925 USD 01/24/2019 BA 0.06%
SWPTN 6MX2Y P 2.8225 USD 10/03/2018 MS 0.06%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.06%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 0.06%
FHR 3408 EK 17.4506 04/15/2037 0.05%
FHR 3996 IK IO 04.0000 03/15/2039 0.05%
FHR 4199 CI IO 03.5000 12/15/2037 0.05%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.05%
GNMA GII30 AJ6287 04.0000 09/20/2044 0.05%
GNMA GII30 AK9690 04.5000 01/20/2045 0.05%
GNMA GN30 AE8022 04.5000 12/15/2043 0.05%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.05%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.05%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.05%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.05%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.05%
SWPTN 1YX30Y P 3.031 USD 06/14/2019 CI 0.05%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.05%
SWPTN 3MX2Y R 3.056 USD 09/12/2018 CS 0.05%
SWPTN 5WX10Y R 2.89 USD 07/25/2018 BC 0.05%
SWPTN 5WX10Y R 2.945 USD 07/09/2018 CI 0.05%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.05%
SWPTN LIABILITY 2YX30Y P 2.43 USD 11/13/2019 MS 0.05%
SWPTN LIABILITY 2YX30Y R 2.826 USD 11/08/2019 JP 0.05%
FHR 4015 GI IO 04.0000 03/15/2027 0.04%
FNMA FN30 AV7020 03.5000 10/01/2044 0.04%
FNMA FN30 AV7060 04.0000 04/01/2045 0.04%
FNMA FN30 BD9219 04.5000 10/01/2046 0.04%
FNR 2005-75 GS 13.9766 08/25/2035 0.04%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.04%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.04%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.04%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.04%
FNW 1998-W2 X IO 00.3856 06/25/2028 0.04%
GNMA GII30 AJ9124 04.5000 12/20/2044 0.04%
GNMA GII30 AK0502 04.5000 10/20/2044 0.04%
GNMA GII30 AL8543 04.0000 02/20/2045 0.04%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.04%
GNMA GN30 AG8989 04.5000 05/15/2044 0.04%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.04%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.04%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.04%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.04%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.04%
SWPTN 6MX2Y P 2.68 USD 07/16/2018 JP 0.04%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.04%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
SWPTN LIABILITY 2YX20Y P 2.584 USD 11/08/2019 GS 0.04%
SWPTN LIABILITY 2YX20Y R 2.584 USD 11/08/2019 GS 0.04%
2.79375 R ISWP US0003M P 06/07/2020 0.03%
CAS 2016-C07 2M2 06.4411 05/25/2029 0.03%
FHR 3249 PS 15.4333 12/15/2036 0.03%
FNMA FN30 AD0095 06.0000 11/01/2038 0.03%
FNMA FN30 AD0207 06.0000 10/01/2038 0.03%
FNMA FN30 AL3671 06.0000 05/01/2041 0.03%
FNMA FN30 AX5516 04.0000 03/01/2046 0.03%
FNMA FN30 MA2180 04.0000 02/01/2045 0.03%
FNR 2011-123 KS IO 04.5089 10/25/2041 0.03%
GNMA GII30 609118 04.5000 02/20/2034 0.03%
GNMA GII30 635065 04.5000 03/20/2046 0.03%
GNMA GII30 757211 04.5000 12/20/2040 0.03%
GNMA GII30 AO8363 04.0000 09/20/2045 0.03%
GNMA GII30 AO8415 04.0000 10/20/2045 0.03%
GNMA GII30 AY2298 04.7000 05/20/2067 0.03%
GNMA GII30 BB0107 04.7000 08/20/2067 0.03%
GNMA GN30 704478 04.5000 04/15/2039 0.03%
GNMA GN30 AG8984 04.5000 05/15/2044 0.03%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.03%
STACR 2017-HQA2 B1 06.8411 12/25/2029 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.03%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.03%
SWPTN 3MX10Y R 2.8475 USD 08/15/2018 CS 0.03%
SWPTN 3MX1Y R 3.005 USD 09/04/2018 GS 0.03%
SWPTN 3MX1Y R 3.04375 USD 09/11/2018 GS 0.03%
SWPTN 3MX2Y R 2.895 USD 09/12/2018 CS 0.03%
SWPTN 6MX2Y P 2.92875 USD 11/29/2018 MS 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
SWPTN LIABILITY 2YX20Y P 2.875 USD 11/18/2019 GS 0.03%
SWPTN LIABILITY 2YX30Y P 2.615 USD 11/12/2019 CI 0.03%
SWPTN LIABILITY 2YX30Y R 2.615 USD 11/12/2019 CI 0.03%
CAS 2017-C02 2M2 05.7411 09/25/2029 0.02%
CPURNSA R 1.89 P 07/05/22 0.02%
FEDERAL HOME LOAN MTG CORP 0.02%
FEDERAL NATIONAL MORTGAGE ASSN 0.02%
FHS 304 C37 IO 03.5000 12/15/2027 0.02%
FNMA FN30 889683 06.0000 07/01/2038 0.02%
FNMA FN30 AL1566 06.0000 09/01/2040 0.02%
FNMA FN30 AL6868 06.0000 05/01/2041 0.02%
FNMA FN30 AX2731 04.5000 10/01/2044 0.02%
FNMA FN30 AX5490 04.0000 10/01/2045 0.02%
FNMA FN30 AX5556 04.0000 09/01/2046 0.02%
FNMA FN30 AX8927 04.5000 12/01/2044 0.02%
FNMA FN30 BA1056 04.5000 11/01/2045 0.02%
FNMA FN30 MA2242 04.0000 04/01/2045 0.02%
FNR 2005-83 QP 11.9571 11/25/2034 0.02%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.02%
GNMA GII30 AK1223 04.0000 02/20/2045 0.02%
GNMA GII30 AO7326 04.6680 09/20/2065 0.02%
GNMA GII30 AW8447 04.3200 05/20/2067 0.02%
GNR 2010-20 SC IO 04.0663 02/20/2040 0.02%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.02%
GNR 2011-81 SB IO 04.6199 11/16/2036 0.02%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.02%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.02%
SWPTN 14WX10Y R 2.745 USD 08/28/2018 MS 0.02%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.02%
SWPTN 3MX10Y R 2.884 USD 07/17/2018 CI 0.02%
SWPTN 3MX1Y P 3.005 USD 09/04/2018 GS 0.02%
SWPTN 3MX1Y P 3.04375 USD 09/11/2018 GS 0.02%
SWPTN 3MX1Y R 2.73375 USD 09/11/2018 GS 0.02%
SWPTN 3MX2Y P 2.895 USD 09/12/2018 CS 0.02%
SWPTN 3MX2Y P 2.895 USD 09/12/2018 JP 0.02%
SWPTN 3MX2Y P 3.056 USD 09/12/2018 CS 0.02%
SWPTN 5WX10Y R 2.85 USD 07/25/2018 CS 0.02%
SWPTN 6WX10Y R 2.826 USD 08/03/2018 CI 0.02%
SWPTN 6WX10Y R 2.865 USD 07/30/2018 JP 0.02%
SWPTN LIABILITY 2YX30Y P 2.826 USD 11/08/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.43 USD 11/13/2019 MS 0.02%
2.90 R ISWP FWD US0003M P 09/19/2023 0.01%
3.00 R ISWP FWD US0003M P 09/19/2048 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
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%
FN30 04.500 2009 0.01%
FNMA FN30 889424 06.0000 03/01/2038 0.01%
FNMA FN30 909083 06.0000 08/01/2037 0.01%
FNMA FN30 995894 06.0000 04/01/2039 0.01%
FNMA FN30 AE0028 06.0000 10/01/2039 0.01%
FNMA FN30 AE0825 06.0000 10/01/2039 0.01%
FNMA FN30 AE0947 06.0000 10/01/2038 0.01%
FNMA FN30 AL0152 06.0000 06/01/2040 0.01%
FNMA FN30 AX8877 04.5000 12/01/2044 0.01%
FNMA FN30 BC0390 04.5000 12/01/2045 0.01%
FNMA FN30 MA2216 04.0000 03/01/2045 0.01%
FNR 2001-50 BI IO 00.3880 10/25/2041 0.01%
FNR 2003-34 P1 PO 00.0000 04/25/2043 0.01%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.01%
FNW 1998-W5 X IO 00.0478 07/25/2028 0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.01%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.5234375 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.6796875 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.8359375 JPMC 0.01%
SWPTN 14WX2Y R 2.8 USD 07/25/2018 CS 0.01%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.01%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.01%
SWPTN 2YX5Y P 2.34 USD 11/12/2019 CI 0.01%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 0.01%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.01%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.01%
SWPTN 3MX1Y P 2.7 USD 09/04/2018 GS 0.01%
SWPTN 3MX1Y P 2.73375 USD 09/11/2018 GS 0.01%
SWPTN 3MX1Y R 2.7 USD 09/04/2018 GS 0.01%
SWPTN 3MX2Y R 2.78 USD 07/18/2018 MS 0.01%
SWPTN 6WX10Y P 3.115 USD 07/30/2018 JP 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
2.9035 R ISWP US0003M P 06/27/2023 0.00%
2.91024 R ISWP US0003M P 07/02/2028 0.00%
2.92287 R ISWP US0003M P 07/03/2028 0.00%
2.92594 R ISWP US0003M P 07/03/2028 0.00%
2.9398 R ISWP US0003M P 06/28/2028 0.00%
2.95 R ISWP FWD US0003M P 09/19/2028 0.00%
2.98 R ISWP FWD US0003M P 07/27/2028 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 GS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
FEDERAL HOME LOAN MTG CORP 0.00%
FEDERAL NATIONAL MORTGAGE ASSN 0.00%
FEDERAL NATIONAL MORTGAGE ASSN 0.00%
FEDERAL NATIONAL MORTGAGE ASSN 0.00%
FEDERAL NATIONAL MORTGAGE ASSN 0.00%
FEDERAL NATIONAL MORTGAGE ASSN 0.00%
FEDERAL NATIONAL MORTGAGE ASSN 0.00%
FH15G 06.000 2006 0.00%
FH30G 04.500 2007 0.00%
FHR 3117 AF 00.0000 02/15/2036 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3206 EO PO 00.0000 08/15/2036 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FHR 3314 PO PO 00.0000 11/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FN15 05.000 2006 0.00%
FN15 05.500 2006 0.00%
FN15 06.000 2007 0.00%
FNMA FN30 256349 06.0000 08/01/2036 0.00%
FNMA FN30 256553 06.0000 01/01/2037 0.00%
FNMA FN30 879494 06.0000 02/01/2036 0.00%
FNMA FN30 887618 06.0000 07/01/2036 0.00%
FNMA FN30 902070 06.0000 12/01/2036 0.00%
FNMA FN30 AS5038 04.0000 05/01/2045 0.00%
FNMA FN30 AY1318 04.0000 03/01/2045 0.00%
FNMA FN30 AY3392 04.0000 04/01/2045 0.00%
FNR 2001-79 BI IO 00.2867 03/25/2045 0.00%
FNR 2006-125 OX PO 00.0000 01/25/2037 0.00%
FNR 2006-46 OC PO 00.0000 06/25/2036 0.00%
FNR 2006-84 OT PO 00.0000 09/25/2036 0.00%
FNR 2007-14 KO PO 00.0000 03/25/2037 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
FNR 2008-36 OV PO 00.0000 01/25/2036 0.00%
FNW 2003-W11 A1 05.1776 06/25/2033 0.00%
FNW 2003-W14 2A 04.2426 01/25/2043 0.00%
FNW 2003-W3 1A4 03.8107 08/25/2042 0.00%
FNW 2004-W2 4A 03.6639 02/25/2044 0.00%
FNW 2004-W7 A2 04.5837 03/25/2034 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-57 2A1 03.7537 07/25/2043 0.00%
FSPC T-59 1AX IO 00.2761 10/25/2043 0.00%
FSPC T-59 2A1 03.6481 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4342 11/15/2028 0.00%
GNMA GII30 2987 07.5000 10/20/2030 0.00%
GNMA GIIARM 8913 02.7500 07/20/2026 0.00%
GNMA GN30 645703 05.5000 08/15/2035 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%
GNSF 6.0 2009 0.00%
GSMPS 1998-2 IO IO 01.0041 05/19/2027 0.00%
GSMPS 1998-3 IO IO 00.0000 09/19/2027 0.00%
GSMPS 1998-4 IO IO 00.0000 12/19/2026 0.00%
GSMPS 1999-2 IO IO 00.8396 09/19/2027 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 JP 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.FN30.350.12 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 DE 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 CS 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 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BC 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 CS 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.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.00%
IOS.FN30.450.09 P USL1M R 01/12/40 DE 0.00%
IOS.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
IOS.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
IOS.FN30.500.09 R USL1M P 01/12/40 DE 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 BC 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 BC 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 BC 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 BC 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 CI 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 CS 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 GS 0.00%
IOS.FN30.550.08 P USL1M R 01/12/39 GS 0.00%
IOS.FN30.550.08 R USL1M P 01/12/39 BC 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 P USL1M R 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 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%
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.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CS 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 GS 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.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.GII30.450.10 R USL1M P 01/12/41 DE 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
OPTN FN30 3.5 07/05/18 PUT 97.875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.03125 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.1875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.234375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.390625 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.546875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.59375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.75 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.90625 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.3828125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.5390625 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.6953125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.953125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 98.109375 JPMC 0.00%
OPTN FN30 4.0 07/05/18 PUT 101.71875 JPMC 0.00%
SWPTN 14WX10Y P 3.255 USD 09/04/2018 BC 0.00%
SWPTN 14WX10Y R 2.655 USD 09/04/2018 BC 0.00%
SWPTN 1MX10Y P 2.9425 USD 07/02/2018 BC 0.00%
SWPTN 1MX10Y P 2.9525 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y P 3.0625 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y P 3.135 USD 07/13/2018 GS 0.00%
SWPTN 1MX10Y R 2.8425 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y R 2.9425 USD 07/02/2018 BC 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
SWPTN 2YX5Y R 2.553 USD 11/08/2019 JP 0.00%
SWPTN 3MX10Y P 3.3575 USD 08/15/2018 CS 0.00%
SWPTN 3MX10Y R 2.739 USD 07/17/2018 CI 0.00%
SWPTN 3MX10Y R 2.8525 USD 07/18/2018 MS 0.00%
SWPTN 5WX10Y P 3.03 USD 07/09/2018 CI 0.00%
SWPTN 5WX10Y P 3.115 USD 07/09/2018 CI 0.00%
SWPTN 6MX1Y R 2.47 USD 08/14/2018 CI 0.00%
SWPTN 6MX1Y R 2.6325 USD 08/14/2018 CI 0.00%
2.90375 R ISWP US0003M P 06/07/2020 -0.01%
2.9715 R ISWP US0003M P 06/26/2028 -0.01%
2.975 R ISWP FWD US0003M P 07/27/2028 -0.01%
2.976 R ISWP FWD US0003M P 08/07/2028 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
IOS.FN30.400.13 R USL1M P 01/12/44 CS -0.01%
IOS.FN30.400.13 R USL1M P 01/12/44 JP -0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS -0.01%
OPTN FN30 3.5 07/05/18 PUT 99.1953125 JPMC -0.01%
OPTN FN30 3.5 09/06/18 PUT 98.265625 JPMC -0.01%
OPTN FN30 4.0 07/05/18 CALL 101.71875 JPMC -0.01%
SWPTN 14WX10Y P 3.255 USD 08/28/2018 MS -0.01%
SWPTN 14WX10Y R 2.915 USD 07/25/2018 CS -0.01%
SWPTN 1MX10Y P 3.05 USD 07/13/2018 GS -0.01%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.01%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.01%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.01%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.01%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.01%
SWPTN 3MX10Y P 3.029 USD 07/17/2018 CI -0.01%
SWPTN 3MX10Y P 3.24 USD 09/21/2018 MS -0.01%
SWPTN 3MX2Y P 2.975 USD 09/12/2018 JP -0.01%
SWPTN 3MX2Y P 3.055 USD 09/12/2018 JP -0.01%
SWPTN 5WX10Y P 3.1 USD 07/25/2018 CS -0.01%
SWPTN 5WX10Y P 3.1225 USD 07/23/2018 MS -0.01%
SWPTN 6WX10Y P 3.126 USD 08/03/2018 CI -0.01%
SWPTN LIABILITY 2YX10Y R 2.2525 USD 11/12/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y P 2.553 USD 11/08/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
2.875 R ISWP FWD US0003M P 09/19/2020 -0.02%
2.899 R ISWP US0003M P 07/03/2028 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.02%
CPURNSA P 2.085 R 07/03/27 -0.02%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.02%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.02%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.02%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.02%
SWPTN LIABILITY 2YX10Y P 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y R 2.47 USD 11/08/2019 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.03%
CPURNSA P 2.05 R 07/05/27 -0.03%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.03%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.03%
SWPTN 3MX2Y P 2.75 USD 08/29/2018 MS -0.03%
SWPTN 3MX2Y P 2.8875 USD 09/11/2018 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.03%
SWPTN LIABILITY 2YX10Y R 2.7725 USD 11/18/2019 GS -0.03%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.03%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.04%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.04%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.04%
SWPTN 3MX10Y P 3.02 USD 07/27/2018 MS -0.04%
SWPTN 3MX2Y P 2.85 USD 09/04/2018 GS -0.04%
SWPTN 3MX2Y R 2.85 USD 09/04/2018 GS -0.04%
SWPTN 3MX4Y P 2.973 USD 09/12/2018 CS -0.04%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 2YX10Y P 2.2525 USD 11/12/2019 JP -0.04%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.04%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.04%
SWPTN 1YX5Y P 3.09 USD 06/14/2019 CI -0.05%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.05%
SWPTN 3MX2Y R 2.8875 USD 09/11/2018 GS -0.05%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.05%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.05%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.06%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.06%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.06%
SWPTN 3MX10Y R 2.99 USD 09/21/2018 MS -0.06%
SWPTN 3MX2Y P 2.655 USD 07/03/2018 MS -0.06%
SWPTN 5WX10Y R 2.98 USD 07/25/2018 BC -0.06%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.06%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.06%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07%
SWPTN 5WX10Y R 2.9725 USD 07/23/2018 MS -0.07%
SWPTN 5WX10Y R 3.03 USD 07/09/2018 CI -0.07%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.07%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.07%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.07%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.07%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.07%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.08%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.08%
SWPTN 3MX4Y R 2.973 USD 09/12/2018 CS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE -0.09%
FHLMC FH30G TBA 03.0000 07/01/2048 -0.09%
SWPTN 1MX10Y R 3.05 USD 07/13/2018 GS -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.10%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.10%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.10%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.12%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.12%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.12%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.12%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.12%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.13%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.15%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.15%
SWPTN 3MX10Y R 3.02 USD 07/27/2018 MS -0.16%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.19%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.19%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.22%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.23%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.23%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.27%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.27%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.32%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.37%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.37%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.44%

Prior top 10 holdings

Top 10 holdings as of 08/31/18
Fnma Fn30 Tba 03.0000 10/01/2048
Fnma Fn30 Tba 03.5000 10/01/2048
Gnma Gii30 Tba 03.0000 09/01/2048
Gnma Gii30 Tba 04.5000 09/01/2048
Fnma Fn30 Tba 04.0000 10/01/2048
Gnma Gii30 Tba 03.5000 09/01/2048
Gnma Gii30 Tba 05.0000 09/01/2048
Fncl 2.50 04/01/2042
Fnma Fn30 Tba 05.5000 09/01/2048
Gnma Gii30p 783937 03.5000 11/20/2043
Holdings represent 85.75% of portfolio
Top 10 holdings as of 07/31/18
Fnma Fn30 Tba 03.0000 08/01/2048
Fnma Fn30 Tba 03.5000 09/01/2048
Gnma Gii30 Tba 03.0000 08/01/2048
Gnma Gii30 Tba 04.5000 08/01/2048
Fnma Fn30 Tba 04.0000 08/01/2048
Gnma Gii30 Tba 05.0000 08/01/2048
Fncl 2.50 04/01/2042
Fnma Fn30 Tba 05.5000 08/01/2048
Gnma Gii30 Tba 03.5000 09/01/2048
Gnma Gii30p 783937 03.5000 11/20/2043
Holdings represent 82.90% of portfolio
Top 10 holdings as of 06/30/18
Fnma Fn30 Tba 03.0000 08/01/2048
Fnma Fn30 Tba 03.5000 08/01/2048
Gnma Gii30 Tba 04.5000 07/01/2048
Gnma Gii30 Tba 03.0000 07/01/2048
Gnma Gii30 Tba 04.0000 07/01/2048
Gnma Gii30 Tba 05.0000 07/01/2048
Fncl 2.50 04/01/2042
Fnma Fn30 Tba 05.5000 07/01/2048
Gnma Gii30 Tba 03.5000 08/01/2048
Gnma Gii30p 783937 03.5000 11/20/2043
Holdings represent 84.16% of portfolio
Top 10 holdings as of 05/31/18
Fnma Fn30 Tba 03.0000 07/01/2048
Fnma Fn30 Tba 03.5000 07/01/2048
Gnma Gii30 Tba 04.5000 06/01/2048
Gnma Gii30 Tba 03.0000 06/01/2048
Gnma Gii30 Tba 04.0000 06/01/2048
Fncl 2.50 04/01/2042
Fnma Fn30 Tba 05.5000 06/01/2048
Gnma Gii30 Tba 03.5000 06/01/2048
Gnma Gii30p 783937 03.5000 11/20/2043
Gnma Gii30 Tba 05.0000 06/01/2048
Holdings represent 77.21% of portfolio

Fixed income statistics as of 08/31/18

Average effective maturity 13.61 yrs.
Average effective duration 5.20 yrs.
Average yield to maturity 6.97%
Average coupon 7.79%
Average price $85.41

Sector weightings as of 08/31/18

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 29.41% 1.96 83.97% 5.00 113.38% 6.96
Agency CMO 41.10% 1.68 0.82% 0.04 41.92% 1.72
Commercial MBS 4.07% 0.13 37.52% 1.23 41.59% 1.36
Residential MBS (non-agency) 19.37% 1.00 0.00% 0.00 19.37% 1.00
Net cash 4.73% 0.00 0.00% 0.00 4.73% 0.00
Asset-backed securities (ABS) 1.32% 0.01 0.00% 0.00 1.32% 0.01
Interest rate swaps 0.00% 0.00 0.00% -1.93 0.00% -1.93

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.

Maturity detail as of 08/31/18

0 - 1 yr. -80.59%
1 - 5 yrs. 29.98%
5 - 10 yrs. 143.03%
10 - 15 yrs. 7.58%

Quality rating as of 08/31/18

AAA 160.02%
AA 0.09%
A 3.77%
BBB 5.03%
BB 4.51%
B 5.38%
CCC and Below 2.28%
Not Rated -81.08%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to periods of increased volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R6 Class Y
Total expense ratio 0.89% 1.62% 1.64% 1.13% 1.14% 0.51% 0.64%
What you pay† 0.75% 1.48% 1.50% 0.99% 1.00% 0.37% 0.50%

† The fund's expense ratio is taken from the most recent prospectus and is subject to change. What you pay reflects Putnam Management's decision to contractually limit expenses through 04/20/19

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R6 Class Y
$0-$49,999 4.00% 0.00% 0.00% 3.25% -- -- --
$50,000-$99,999 4.00% 0.00% 0.00% 2.25% -- -- --
$100,000-$249,999 3.25% -- 0.00% 1.25% -- -- --
$250,000-$499,999 2.50% -- 0.00% 1.00% -- -- --
$500,000-$999,999 0.00% -- -- -- -- -- --
$1M-$4M 0.00% -- -- -- -- -- --
$4M-$50M 0.00% -- -- -- -- -- --
$50M+ 0.00% -- -- -- -- -- --

CDSC

  Class A (sales for $500,000+) Class B Class C Class M Class R Class R6 Class Y
0 to 9 mts. 1.00% 5.00% 1.00% -- -- -- --
9 to 12 mts. 1.00% 5.00% 1.00% -- -- -- --
2 yrs. 0.00% 4.00% 0.00% -- -- -- --
3 yrs. 0.00% 3.00% 0.00% -- -- -- --
4 yrs. 0.00% 3.00% 0.00% -- -- -- --
5 yrs. 0.00% 2.00% 0.00% -- -- -- --
6 yrs. 0.00% 1.00% 0.00% -- -- -- --
7+ yrs. 0.00% 0.00% 0.00% -- -- -- --

The Bloomberg Barclays U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The Bloomberg Barclays GNMA Index is an unmanaged index of Government National Mortgage Association bonds. The Bloomberg Barclays GNMA - Bloomberg Barclays U.S. MBS Linked Benchmark represents performance of the Bloomberg Barclays GNMA Index through April 18, 2018 and performance of the Bloomberg Barclays U.S. MBS Index thereafter. You cannot invest directly in an index.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to periods of increased volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.