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 a Portfolio Manager.

Always Diligent. Always Active.

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 $12.74
0.08% | $0.01
$12.76
07/03/19
$12.05
11/23/18
Historical fund price

Fund facts as of 06/30/19

Total net assets
$919.80M
Turnover (fiscal year end)
1,403%
Dividend frequency (view rate)
Monthly
Number of holdings
900
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


Manager commentary | Q1 2019

Mortgage securities offer range of opportunity

Mike Salm, Co-Head of Fixed Income, discusses where he is finding opportunity in mortgage securities.



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)


6.00%

Average 5-year annualized return


  • Total return (%) as of 06/30/19

  • Annual performance as of 06/30/19

Annualized Total return (%) as of 06/30/19

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 5.58% 2.49% 1.49% 3.56%
After sales charge 1.36% 1.10% 0.67% 3.14%
Bloomberg Barclays U.S. MBS Index 6.22%2.06%2.56%3.23%
BBG Barc GNMA-BBG Barc U.S. MBS Linked Benchmark 6.22%1.98%2.36%3.34%

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, 4.00% and 3.25% for income funds and 2.25% and 0.75% for Putnam Floating Rate Income Fund, Short-Term Municipal Income, Short Duration Bond Fund, and Fixed Income Absolute Return 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, which is 3% in the first year, declining to 1% in the fourth 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, N, 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). Returns at public offering price (after sales charge) for class N shares reflect the current maximum initial sales charge of 1.50%. 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. Class A and M shares of Putnam money market funds have no initial sales charge. For a portion of the periods, some funds had expense 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 06/30/19 0.54% -3.48%
YTD as of 07/15/19 7.01% 2.73%

Yield

Distribution rate before sales charge
as of 07/15/19
4.62%
Distribution rate after sales charge
as of 07/15/19
4.43%
30-day SEC yield with subsidy
as of 06/28/19 (after sales charge)
4.03%
30-day SEC yield without subsidy
as of 06/28/19 (after sales charge)
3.88%

Risk-adjusted performance as of 06/30/19

Sharpe ratio (3 yrs.) 0.53
Information ratio (3 yrs.) 0.31

Volatility as of 06/30/19

Standard deviation (3 yrs.) 2.21%
Beta 0.70
R-squared 0.55

Lipper rankings as of 06/30/19

Time period Rank/Funds in category Percentile ranking
1 yr. 86/123 70%
3 yrs. 38/113 34%
5 yrs. 85/95 89%
10 yrs. 29/71 41%
Lipper category: U.S. Mortgage Funds

Morningstar Ratings as of 06/30/19

Time period Funds in category Morningstar Rating
Overall 539
3 yrs. 539
5 yrs. 453
10 yrs. 332
Morningstar category: Intermediate Core-Plus Bond

Distributions

Record/Ex dividend date 06/18/19
Payable date 06/20/19
Income $0.049
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 06/30/19

Fnma Fn30 Tba Umbs 03.0000 08/01/2049 12.38%
Gnma Gii30 Tba 03.0000 07/01/2049 9.78%
Gnma Gii30 Tba 03.5000 07/01/2049 7.97%
Gnma Gii30 Tba 04.5000 07/01/2049 7.93%
Gnma Gii30 Tba 04.0000 07/01/2049 7.44%
Gnma Gii30 Tba 05.0000 07/01/2049 6.42%
Fnma Fn30 Tba Umbs 05.5000 08/01/2049 6.03%
Fncl 2.50 04/01/2042 5.87%
Gnma Gii30p 783937 03.5000 11/20/2043 4.78%
Fnma Fn30 Tba Umbs 04.5000 07/01/2049 3.98%
Top 10 holdings, percent of portfolio 72.58%

Full portfolio holdings as of 03/31/19

FNMA FN30 TBA 03.0000 05/01/2049 12.20%
GNMA GII30 TBA 03.0000 04/01/2049 9.60%
GNMA GII30 TBA 04.5000 04/01/2049 8.01%
GNMA GII30 TBA 03.5000 04/01/2049 7.88%
GNMA GII30 TBA 04.0000 04/01/2049 7.40%
GNMA GII30 TBA 05.0000 04/01/2049 6.41%
FNMA FN30 TBA 05.5000 04/01/2049 6.03%
FNCL 2.50 2013 5.89%
GNMA GII30P 783937 03.5000 11/20/2043 4.79%
FNMA FN30 TBA 04.5000 04/01/2049 3.96%
FNMA FN30 TBA 04.0000 04/01/2049 3.69%
FNMA FN30 TBA 03.5000 04/01/2049 3.30%
FNR 2007-95 A3 02.7355 08/27/2036 2.61%
GNMA GII30P 784109 04.0000 10/20/2045 1.69%
FHS 315 PO PO 00.0000 09/15/2043 1.44%
FNMA FN30 TBA 06.0000 04/01/2049 1.34%
FNMA FN30 AL6174 04.0000 11/01/2044 0.94%
CARR 2006-NC2 A4 02.7255 06/25/2036 0.88%
MSC 2011-C3 E P/P 144A 05.1547 07/15/2049 0.88%
BAYV 2006-C 1A3 06.0280 11/28/2036 0.87%
2.65 R ISWP FWD US0003M P 06/19/2029 0.85%
CAS 2017-C05 1B1 06.0855 01/25/2030 0.83%
FNMA FN40 BF0169 3.500000 01/01/2057 0.81%
STACR 2016-DNA3 M3 07.4855 12/25/2028 0.81%
CWL 2007-10 1A1 02.6655 06/25/2047 0.78%
STACR 2018-DNA1 B1 05.6355 07/25/2030 0.78%
CAS 2017-C01 1M2 06.0355 07/25/2029 0.74%
CMLTI 2007-AR5 1A1A 04.7533 04/25/2037 0.73%
GNMA GII30 609171 04.0000 07/20/2044 0.73%
FNR 2016-85 SL IO 03.6145 11/25/2046 0.72%
CAS 2018 - C01 1B1 06.0355 07/25/2030 0.70%
SPST 2018-3 A 03.1811 07/24/2019 0.70%
STACR 2018-DNA2 B1 06.1855 12/25/2030 0.68%
WAMU 2005-AR14 1A2 04.1928 12/25/2035 0.67%
GNMA GII30 BG4860 04.5000 05/20/2048 0.65%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 0.62%
GNR 2016-H11 HI IO 02.0902 01/20/2066 0.59%
MWST 2018-W1 A 03.3355 11/25/2051 0.59%
CAS 2017-C06 1M2 05.1355 02/25/2030 0.58%
CAS 2018-C02 2M2 04.6855 08/25/2030 0.58%
CAS 2018-C04 2M2 05.0355 12/25/2030 0.58%
FNR 2016-83 BS IO 03.6145 11/25/2046 0.57%
STACR 2018-HQA1 M2 04.7855 09/25/2030 0.57%
WFRBS 2012-C9 D P/P 144A 04.7810 11/15/2045 0.56%
BF0101 03.5000 06/01/2056 0.53%
STACR 2017-HQA2 M2 05.1355 12/25/2029 0.53%
GNR 2017-H20 AI IO 02.1523 10/20/2067 0.52%
GSMS 2014-GC24 D P/P 144A 04.5297 09/10/2047 0.52%
JPMBB 2013-C14 D P/P 144A 04.5639 08/15/2046 0.52%
GNR 2016-H07 PI IO 02.2797 03/20/2066 0.50%
OPTN FN30 3.5 04/03/19 CALL 99.84765625 JPMC 0.50%
FNR 2018-36 SD 0.49%
GNR 2016-H23 NI IO 02.2332 10/20/2066 0.49%
SPST 2018-5 A 03.1811 09/24/2019 0.49%
CAS 2016-C06 1M2 06.7355 04/25/2029 0.45%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.44%
CAS 2016-C03 1B 14.2355 10/25/2028 0.43%
CAS 2017-C06 1B1 06.6355 02/25/2030 0.43%
CAS 2017-C07 1B1 06.4855 05/25/2030 0.43%
FN BF0091 0.43%
FNR 2010-109 IM IO 05.5000 09/25/2040 0.43%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.43%
UBSCM 2012-C1 D P/P 144A 05.5444 05/10/2045 0.43%
BMIR 2017-1 M2 P/P 144A 05.8355 10/25/2027 0.42%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.42%
GNMA GII30 626906 03.5000 01/20/2045 0.41%
GNR 2016-H27 GI IO 02.3032 12/20/2066 0.41%
GNR 2017-H25 CI IO 02.2069 12/20/2067 0.41%
CAS 2016-C05 2M2 06.9355 01/25/2029 0.40%
FHR 3065 DC 12.4088 03/15/2035 0.39%
FHR 4621 QI IO 03.5000 10/15/2046 0.39%
GNR 2017-H03 KI IO 02.5251 01/20/2067 0.39%
GNR 2017-H06 MI IO 02.2986 02/20/2067 0.38%
GCAT 2018-2 A1 P/P 144A 04.0900 06/26/2023 0.37%
GNR 2013-87 SA IO 03.7123 06/20/2043 0.36%
CSMC 2013-11R 1A2 05.2193 06/27/2034 0.35%
STACR 2015-HQA1 B 11.2855 03/25/2028 0.35%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.34%
GNR 2015-H22 AI IO 01.8323 09/20/2065 0.34%
GNR 2016-H13 IK IO 02.6020 06/20/2066 0.34%
CAS 2016-C03 1M2 07.7855 10/25/2028 0.33%
GNMA GII30 626939 04.0000 04/20/2045 0.33%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.33%
GNR 2015-H20 CI IO 01.9544 08/20/2065 0.33%
GNR 2018-H01 XI IO 02.2405 01/20/2068 0.33%
FNR 2016-50 SM IO 03.6145 08/25/2046 0.32%
OMIR 2018-1A M2 05.3355 07/25/2028 0.32%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.31%
GNR 2016-H18 QI IO 02.0870 06/20/2066 0.31%
GNR 2018-H04 JI IO 02.5386 03/20/2068 0.31%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.31%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.31%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.31%
FNR 2008-24 SP 14.1698 02/25/2038 0.30%
FNR 2012-151 IM IO 05.0000 04/25/2042 0.30%
GNMA GII30 AI6258 04.5000 05/20/2044 0.30%
GNMA GN30 AM4380 04.0000 05/15/2045 0.30%
MLCFC 2006-4 C 05.3240 12/12/2049 0.30%
SWPTN 10YX10Y R 3.295 USD 11/29/2028 BA 0.30%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.30%
WFRBS 2011-C4 E P/P 144A 05.2316 06/15/2044 0.30%
WFRBS 2012-C9 E P/P 144A 04.7810 11/15/2045 0.30%
CAS 2018-C03 1M2 04.6355 10/25/2030 0.29%
FHR 3835 FO PO 00.0000 04/15/2041 0.29%
FNR 2015-58 KI IO 06.0000 03/25/2037 0.29%
GNR 2016-H17 DI IO 02.0840 07/20/2066 0.29%
GNR 2017-H08 EI IO 03.1398 02/20/2067 0.29%
GNR 2017-H08 GI IO 03.1607 02/20/2067 0.29%
STACR 2014-DN4 M3 07.0355 10/25/2024 0.29%
SWPTN 1YX10Y R 2.7475 USD 02/13/2020 GS 0.29%
FHR 4546 PI IO 04.0000 12/15/2045 0.28%
GNR 2015-H22 GI IO 02.5742 09/20/2065 0.28%
GNR 2017-H04 BI IO 02.5260 02/20/2067 0.28%
GNR 2018-1 IO IO 04.5000 01/20/2048 0.28%
JPALT 2006-A6 1A1 02.6455 11/25/2036 0.28%
OMIR 2017-1A M2 P/P 144A 06.4855 04/25/2027 0.28%
SPST 2017-LD1 A 03.2855 11/25/2050 0.28%
STACR 2017-DNA2 M2 05.9355 10/25/2029 0.28%
CAS 2018-C05 1M2 04.8355 01/25/2031 0.27%
FNMA FN30 AV7052 03.5000 03/01/2045 0.27%
FNMA FN30 AX5555 03.5000 10/01/2046 0.27%
FNR 2017-19 IH IO 05.0000 03/25/2047 0.27%
FNR 2018-51 BI IO 05.5000 07/25/2038 0.27%
GNR 2015-H10 HI IO 01.5984 04/20/2065 0.27%
FNMA FN30 AV7059 03.5000 04/01/2045 0.26%
GNMA GII30 635083 04.0000 05/20/2046 0.26%
SPST 2018-8 A 03.1811 02/24/2020 0.26%
ARRW 2018-1 A3 04.1570 04/25/2048 0.25%
GNMA GII30 626947 04.0000 05/20/2045 0.25%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.25%
GNR 2015-H13 AI IO 01.7744 06/20/2065 0.25%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.25%
BMIR 2018-2A M1C P/P 144A 04.0855 08/25/2028 0.24%
FNR 2015-86 MI IO 05.5000 11/25/2045 0.24%
GNR 2016-H10 AI IO 01.6847 04/20/2066 0.24%
GNR 2016-H24 IO IO 02.0980 09/20/2066 0.24%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.24%
GNR 2011-H07 FI IO 01.2539 02/20/2061 0.23%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.23%
GNR 2014-H21 AI IO 01.6287 10/20/2064 0.23%
GNR 2015-H04 AI IO 01.8327 12/20/2064 0.23%
GNR 2015-H23 TI IO 01.9222 09/20/2065 0.23%
GNR 2018-H02 IM IO 02.3343 02/20/2068 0.23%
COMM 2014-CR17 D P/P 144A 04.8260 05/10/2047 0.22%
GNMA GII30 626924 03.5000 03/20/2045 0.22%
GNMA GII30 AH8784 04.5000 06/20/2034 0.22%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.22%
GNR 2013-67 IP IO 04.0000 04/16/2043 0.22%
GNR 2017-H08 NI IO 02.6325 03/20/2067 0.22%
MSC 2012-C4 E P/P 144A 05.4207 03/15/2045 0.22%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.22%
UBSCM 2012-C1 E P/P 144A 05.0000 05/10/2045 0.22%
FHR 4425 EI IO 04.0000 01/15/2045 0.21%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.21%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.21%
GNR 2011-156 SK IO 04.1123 04/20/2038 0.21%
GNR 2016-H14 AI IO 01.9534 06/20/2066 0.21%
GNR 2017-H10 MI IO 01.8010 04/20/2067 0.21%
WFRBS 2011-C5 E P/P 144A 05.6731 11/15/2044 0.21%
CAS 2019-R02 1M2 04.7855 08/25/2031 0.20%
GNMA GII30 635063 04.0000 03/20/2046 0.20%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.20%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.20%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.20%
GNR 2016-H03 AI IO 02.1004 01/20/2066 0.20%
GNR 2016-H06 DI IO 01.6332 07/20/2065 0.20%
GNR 2017-164 IG IO 03.5000 04/20/2044 0.20%
GNR 2017-H03 CI IO 02.1220 12/20/2066 0.20%
GNR 2017-H25 IO IO 01.7758 11/20/2067 0.20%
GNR 2018-89 LS IO 04.1536 06/20/2048 0.20%
GNR 2019-35 SE IO 03.6683 01/16/2044 0.20%
GSMS 2014-GC18 C 04.9960 01/10/2047 0.20%
JPMCC 2013-LC11 D 04.1692 04/15/2046 0.20%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.20%
FHR 4436 SC IO 03.6663 02/15/2045 0.19%
FHR 4452 QI IO 04.0000 11/15/2044 0.19%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.19%
FNR 2016-3 MI IO 05.5000 02/25/2046 0.19%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.19%
GSMS 2011-GC3 E P/P 144A 05.0000 03/10/2044 0.19%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.19%
FHR 2976 LC 15.3129 05/15/2035 0.18%
FHR 4213 GI IO 04.0000 11/15/2041 0.18%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.18%
GNMA GII30 626972 03.5000 08/20/2045 0.18%
GNMA GII30P 784038 04.0000 01/20/2045 0.18%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.18%
GNR 2013-79 PI IO 03.5000 04/20/2043 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 2015-168 IG IO 03.5000 03/20/2043 0.18%
GNR 2015-H24 HI IO 02.0308 09/20/2065 0.18%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.18%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.18%
GNR 2016-H04 KI IO 01.7606 02/20/2066 0.18%
GNR 2016-H06 HI IO 02.0682 02/20/2066 0.18%
GNR 2017-176 BI IO 03.5000 05/20/2045 0.18%
JPMCC 2010-C2 D P/P 144A 05.6000 11/15/2043 0.18%
WBCMT 2005-C21 D 05.2380 10/15/2044 0.18%
WFHET 2007-2 A3 02.7155 04/25/2037 0.18%
3.312 R ISWP US0003M P 11/08/2048 0.17%
CMLTI 2005-WF2 AF6B 05.5500 08/25/2035 0.17%
FHR 4425 IO IO 04.0000 01/15/2045 0.17%
FNR 2011-4 CS 07.9290 05/25/2040 0.17%
GNMA GII30 626928 04.0000 03/20/2045 0.17%
GNR 2013-182 SP IO 04.2123 12/20/2043 0.17%
GNR 2014-H25 BI IO 01.6996 12/20/2064 0.17%
GNR 2016-H04 HI IO 02.3680 07/20/2065 0.17%
GNR 2016-H24 KI IO 02.3313 11/20/2066 0.17%
GNR 2017-H09 IO IO 01.7433 04/20/2067 0.17%
GNR 2017-H14 LI IO 02.2508 06/20/2067 0.17%
JPMCC 2011-C3 E P/P 144A 05.6616 02/15/2046 0.17%
FHR 4165 TI IO 03.0000 12/15/2042 0.16%
FNR 2018-47 SA IO 03.7645 07/25/2048 0.16%
GNMA GII30 626917 04.0000 02/20/2045 0.16%
GNMA GII30 635075 04.5000 04/20/2046 0.16%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.16%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.16%
GNR 2015-H16 XI IO 01.9340 07/20/2065 0.16%
GNR 2015-H25 BI IO 01.8864 10/20/2065 0.16%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.16%
GNR 2017-H23 BI IO 01.9013 11/20/2067 0.16%
GNR 2018-H02 IO IO 02.2894 01/20/2068 0.16%
GNR 2018-H05 ID 02.0570 03/20/2068 0.16%
JPMBB 2014-C23 E P/P 144A 03.3640 09/15/2047 0.16%
SWPTN 10YX10Y P 3.295 USD 11/29/2028 BA 0.16%
FHR 4158 TI IO 03.0000 12/15/2042 0.15%
FNMA FN30 AX5472 03.5000 08/01/2045 0.15%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.15%
GNR 2014-119 SA IO 03.1123 08/20/2044 0.15%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.15%
GNR 2014-H18 CI IO 01.6156 09/20/2064 0.15%
GNR 2017-H16 HI IO 01.4953 08/20/2067 0.15%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.15%
JPMCC 2013-C16 D P/P 144A 05.0283 12/15/2046 0.15%
MSBAM 2014-C15 F P/P 144A 04.0000 04/15/2047 0.15%
FHR 2990 LB 10.5974 06/15/2034 0.14%
FHR 4500 GI IO 04.0000 08/15/2045 0.14%
FHR 4530 HI IO 04.0000 11/15/2045 0.14%
FHR 4601 IC IO 04.0000 12/15/2045 0.14%
FNMA FN30 AX5489 03.5000 10/01/2045 0.14%
FNMA FN30 AX5560 03.5000 11/01/2046 0.14%
GNMA GII30 AD8811 03.0000 03/20/2043 0.14%
GNR 2012-H11 FI IO 01.2304 02/20/2062 0.14%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.14%
GNR 2016-H06 AI IO 01.9698 02/20/2066 0.14%
GNR 2017-H14 JI IO 02.1974 06/20/2067 0.14%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.14%
3.073 R ISWP FWD US0003M P 03/04/2029 0.13%
FNMA FN30 AX5565 03.5000 12/01/2046 0.13%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.13%
GNMA GN30 626998 03.5000 10/15/2042 0.13%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.13%
GNR 2017-H25 AI IO 02.1723 12/20/2067 0.13%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.13%
MSAC 2004-HE9 M2 03.4155 11/25/2034 0.13%
MSBAM 2013-C12 E P/P 144A 04.7666 10/15/2046 0.13%
STACR 2017-DNA3 M2 04.9855 03/25/2030 0.13%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.13%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.13%
WFRBS 2013-C11 E P/P 144A 04.2657 03/15/2045 0.13%
FHR 4136 IQ IO 03.5000 11/15/2042 0.12%
FHR 4150 DI IO 03.0000 01/15/2043 0.12%
FNR 12-118 PI IO 04.0000 06/25/2042 0.12%
GNMA GII30 609146 04.5000 05/20/2044 0.12%
STACR 2014-HQ3 M3 07.2355 10/25/2024 0.12%
STACR 2016-HQA1 M3 08.8355 09/25/2028 0.12%
WAMU 2005-AR8 2AC2 03.4055 07/25/2045 0.12%
WFCM 2010-C1 E P/P 144A 04.0000 11/15/2043 0.12%
FHR 3072 SM 04.2533 11/15/2035 0.11%
FHR 4171 NI IO 03.0000 06/15/2042 0.11%
FNMA FN30 AV7053 04.0000 02/01/2045 0.11%
FNR 2005-74 NK 15.0725 05/25/2035 0.11%
GNR 2011-H16 FI IO 01.0591 07/20/2061 0.11%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.11%
GNR 2016-H01 HI IO 02.0661 10/20/2065 0.11%
GNR 2017-H06 EI IO 01.5887 02/20/2067 0.11%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.11%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.11%
BALTA 2005-8 21A1 04.4639 10/25/2035 0.10%
CAS 2017-C02 2B1 07.9855 09/25/2029 0.10%
FHR 4019 JI IO 04.0000 05/15/2041 0.10%
FHR 4122 TI IO 04.5000 10/15/2042 0.10%
FHR 4165 AI IO 03.5000 02/15/2043 0.10%
FNR 2005-106 JC 12.4171 12/25/2035 0.10%
GNMA GII30 AJ8849 03.0000 10/20/2044 0.10%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.10%
GNR 2016-H08 GI IO 01.4403 04/20/2066 0.10%
OPTN FN30 4.0 04/03/19 CALL 101.8046875 JPMC 0.10%
STACR 2015-HQ1 M3 06.2855 03/25/2025 0.10%
SWPTN 1YX2Y R 2.56 USD 02/06/2020 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%
FHR 4141 PI IO 03.0000 12/15/2042 0.09%
FNR 2007-53 SP 15.0865 06/25/2037 0.09%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.09%
GNMA GII30 626944 03.5000 05/20/2045 0.09%
GNMA GII30 627009 04.5000 10/20/2045 0.09%
GNMA GII30 635081 03.5000 05/20/2046 0.09%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.09%
GNR 2016-H24 JI IO 02.1747 11/20/2066 0.09%
HVMLT 2005-2 1A 03.0018 05/19/2035 0.09%
MLCFC 2007-6 AM 05.5013 03/12/2051 0.09%
SWPTN 1YX2Y R 2.486 USD 01/31/2020 JP 0.09%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.08%
FHR 4201 JI IO 03.0000 12/15/2041 0.08%
FNMA FN30 AS6679 04.0000 01/01/2046 0.08%
FNMA FN30 AV7026 03.5000 11/01/2044 0.08%
FNMA FN30 BD9021 03.5000 01/01/2047 0.08%
FNR 2006-8 HP 15.4532 03/25/2036 0.08%
GNMA GII30 626963 04.0000 07/20/2045 0.08%
GNMA GII30 BA7681 04.6270 06/20/2067 0.08%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.08%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.08%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.08%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.08%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.08%
STACR 2019-DNA2 M2 04.9368 03/25/2049 0.08%
FHR 4136 ES IO 03.7663 11/15/2042 0.07%
FNMA FN30 AV7042 04.0000 01/01/2045 0.07%
FNMA FN30 BC0960 04.0000 06/01/2046 0.07%
FNR 2006-62 PS 24.9870 07/25/2036 0.07%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.07%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.07%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.07%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.07%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.07%
GNMA GII30 609117 04.5000 02/20/2044 0.07%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.07%
GNMA GII30 AY4779 04.5080 03/20/2067 0.07%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.07%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.07%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.07%
GNR 2015-H23 DI IO 01.8586 09/20/2065 0.07%
SWPTN 1YX10Y P 2.7475 USD 02/13/2020 GS 0.07%
BMIR 2015-1A M2 06.7855 07/25/2025 0.06%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FNMA FN30 AX5483 03.5000 10/01/2045 0.06%
FNR 2005-122 SE 14.4008 11/25/2035 0.06%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.06%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.06%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.06%
SAMI 2006-AR7 A1BG 02.6055 08/25/2036 0.06%
STACR 2017-DNA1 M2 05.7355 07/25/2029 0.06%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.06%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.05%
FHR 3408 EK 15.7988 04/15/2037 0.05%
FHR 4018 DI IO 04.5000 07/15/2041 0.05%
FHR 4024 PI IO 04.5000 12/15/2041 0.05%
FNMA FN30 BD9219 04.5000 10/01/2046 0.05%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.05%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.05%
GNMA GII30 AJ6287 04.0000 09/20/2044 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 2012-48 AI IO 03.5000 02/20/2036 0.05%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.05%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.05%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.05%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.05%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.05%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.05%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.05%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.05%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.04%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.04%
FHR 4015 GI IO 04.0000 03/15/2027 0.04%
FNMA FN30 AV7060 04.0000 04/01/2045 0.04%
FNR 2005-75 GS 12.7935 08/25/2035 0.04%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.04%
GNMA GII30 AJ9124 04.5000 12/20/2044 0.04%
GNMA GII30 AJ9129 04.5000 11/20/2044 0.04%
GNMA GII30 AK9690 04.5000 01/20/2045 0.04%
GNMA GII30 AL8543 04.0000 02/20/2045 0.04%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.04%
GNMA GII30 AY2298 04.7000 05/20/2067 0.04%
GNMA GII30 BB0107 04.7000 08/20/2067 0.04%
GNMA GN30 AG8989 04.5000 05/15/2044 0.04%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.04%
GNR 2014-141 CI IO 03.0000 03/20/2040 0.04%
GNR 2018-127 IB IO 04.5000 06/20/2045 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 2.5 USD 11/09/2029 JP 0.04%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.04%
SWPTN 5WX2Y R 2.41 USD 04/23/2019 CI 0.04%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.04%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.04%
2.86 R ISWP US0003M P 01/22/2020 0.03%
CAS 2016-C07 2M2 06.8355 05/25/2029 0.03%
CAS 2018-C03 1B1 06.2355 10/25/2030 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.03%
FHR 3249 PS 14.0786 12/15/2036 0.03%
FHR 3996 IK IO 04.0000 03/15/2039 0.03%
FHR 4199 CI IO 03.5000 12/15/2037 0.03%
FNMA FN30 AV7020 03.5000 10/01/2044 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 04.1145 10/25/2041 0.03%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.03%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.03%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.03%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.03%
GNMA GII30 609118 04.5000 02/20/2034 0.03%
GNMA GII30 635065 04.5000 03/20/2046 0.03%
GNMA GII30 AO8363 04.0000 09/20/2045 0.03%
GNMA GII30 AO8415 04.0000 10/20/2045 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%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.03%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.03%
STACR 2017-HQA2 B1 07.2355 12/25/2029 0.03%
SWPTN 1MX5Y R 2.19625 USD 04/29/2019 CI 0.03%
SWPTN 1YX2Y P 2.486 USD 01/31/2020 JP 0.03%
SWPTN 1YX2Y P 2.56 USD 02/06/2020 JP 0.03%
SWPTN 5WX5Y P 2.3975 USD 05/02/2019 GS 0.03%
SWPTN 5WX5Y R 2.1975 USD 05/02/2019 GS 0.03%
SWPTN LIABILITY 5WX5Y R 2.2975 USD 05/02/2019 GS 0.03%
2.536 R ISWP FWD US0003M P 12/02/2023 0.02%
2.806 R ISWP FWD US0003M P 03/05/2030 0.02%
CAS 2017-C02 2M2 06.1355 09/25/2029 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 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 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 10.9317 11/25/2034 0.02%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.02%
FNW 1998-W2 X IO 00.3666 06/25/2028 0.02%
GNMA GII30 AK1223 04.0000 02/20/2045 0.02%
GNMA GII30 AO7326 04.6670 09/20/2065 0.02%
GNMA GII30 AW8447 04.3220 05/20/2067 0.02%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.02%
GNR 2010-20 SC IO 03.6623 02/20/2040 0.02%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.02%
OPTN FN30 3.5 05/06/19 CALL 100.5625 JPMC 0.02%
SWPTN 1MX5Y P 2.38875 USD 04/29/2019 CI 0.02%
SWPTN 5WX5Y R 2.10625 USD 04/29/2019 GS 0.02%
SWPTN LIABILITY 1MX5Y P 2.2925 USD 04/29/2019 CI 0.02%
SWPTN LIABILITY 1MX5Y R 2.2925 USD 04/29/2019 CI 0.02%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 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 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 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 19.8574 07/25/2028 0.01%
GNMA GII30 2987 07.5000 10/20/2030 0.01%
GNR 2011-71 IK IO 04.0000 04/16/2039 0.01%
GNR 2011-81 SB IO 04.2233 11/16/2036 0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP 0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.01%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.06640625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.19140625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.31640625 JPMC 0.01%
OPTN FN30 3.5 05/06/19 PUT 101.44140625 JPMC 0.01%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.01%
2.28456 R ISWP US0003M P 04/02/2024 0.00%
2.44 R ISWP FWD US0003M P 03/26/2030 0.00%
2.57 R ISWP FWD US0003M P 02/02/2024 0.00%
2.5725 R ISWP FWD US0003M P 02/02/2024 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 GS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
CPURNSA P 2.05 R 07/05/27 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%
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%
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 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 2001-50 BI IO 00.3766 10/25/2041 0.00%
FNR 2001-79 BI IO 00.2831 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 05.6847 06/25/2033 0.00%
FNW 2003-W14 2A 04.5468 01/25/2043 0.00%
FNW 2003-W3 1A4 04.1713 08/25/2042 0.00%
FNW 2004-W2 4A 04.2773 02/25/2044 0.00%
FNW 2004-W7 A2 05.5020 03/25/2034 0.00%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.00%
FSPC T-57 2A1 04.1085 07/25/2043 0.00%
FSPC T-59 1AX IO 00.2795 10/25/2043 0.00%
FSPC T-59 2A1 03.9675 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4288 11/15/2028 0.00%
GNMA GIIARM 8913 03.7500 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 2018-127 ID IO 05.0000 07/20/2045 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.FN30.400.13 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 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.FN30.500.10 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.FN30.550.08 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 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 CS 0.00%
OPTN FN30 3.5 04/03/19 PUT 99.84765625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.06640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.19140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.31640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.44140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.5625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.56640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.69140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.81640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 99.94140625 JPMC 0.00%
OPTN FN30 4.0 04/03/19 PUT 101.8046875 JPMC 0.00%
SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP 0.00%
SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP 0.00%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS 0.00%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.00%
SWPTN LIABILITY 5WX5Y P 2.2975 USD 05/02/2019 GS 0.00%
SWPTN LIABILITY 5YX30Y P 3.27 USD 10/17/2023 MS 0.00%
SWPTN LIABILITY 5YX30Y R 3.27 USD 10/17/2023 MS 0.00%
US 2YR NOTE (CBT) JUN19 TUM9 0.00%
US 5YR NOTE (CBT) JUN19 FVM9 0.00%
US ULTRA BOND CBT JUN19 WNM9 0.00%
2.528 R ISWP FWD US0003M P 02/02/2024 -0.01%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.01%
2.6785 R ISWP US0003M P 02/13/2029 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -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.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.A.6 2063-05-11 200.0 05/11/2063 MS -0.01%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.56640625 JPMC -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.69140625 JPMC -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.81640625 JPMC -0.01%
OPTN FN30 3.5 05/06/19 PUT 100.94140625 JPMC -0.01%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.01%
2.33973 R ISWP US0003M P 03/29/2029 -0.02%
2.375 R ISWP FWD US0003M P 04/16/2029 -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -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 CS -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 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.02%
SWPTN 1MX5Y P 2.2925 USD 04/29/2019 CI -0.02%
SWPTN 1MX5Y R 2.2925 USD 04/29/2019 CI -0.02%
SWPTN 5WX5Y R 2.20625 USD 04/29/2019 GS -0.02%
SWPTN LIABILITY 1MX5Y P 2.38875 USD 04/29/2019 CI -0.02%
2.20 R ISWP FWD US0003M P 04/10/2024 -0.03%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.03%
SWPTN 5WX10Y R 2.421 USD 04/23/2019 CI -0.03%
SWPTN 5WX5Y P 2.2975 USD 05/02/2019 GS -0.03%
SWPTN 5WX5Y R 2.2975 USD 05/02/2019 GS -0.03%
SWPTN LIABILITY 1MX5Y R 2.19625 USD 04/29/2019 CI -0.03%
SWPTN LIABILITY 5WX5Y P 2.3975 USD 05/02/2019 GS -0.03%
SWPTN LIABILITY 5WX5Y R 2.1975 USD 05/02/2019 GS -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.04%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.04%
2.77 R ISWP US0003M P 01/22/2021 -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.05%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.05%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.05%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.05%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.05%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.05%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.05%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.05%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.05%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.05%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.06%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.06%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.06%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.06%
2.80 R ISWP FWD US0003M P 06/19/2049 -0.07%
SWPTN 3YX2Y P 2.56 USD 02/07/2022 JP -0.07%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.07%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.07%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS -0.08%
SWPTN 3YX2Y P 2.486 USD 01/31/2022 JP -0.08%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.08%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.09%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.10%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.11%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 DE -0.12%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.12%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.12%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.12%
SWPTN 7YX30Y P 3.1775 USD 11/28/2025 BA -0.13%
SWPTN 3YX2Y R 2.486 USD 01/31/2022 JP -0.14%
SWPTN 5YX10Y P 2.9425 USD 02/13/2024 GS -0.14%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.14%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.14%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.14%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.15%
SWPTN 3YX2Y R 2.56 USD 02/07/2022 JP -0.15%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.18%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.19%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.21%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.23%
SWPTN 5YX10Y R 2.9425 USD 02/13/2024 GS -0.23%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.25%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.28%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.31%
SWPTN 7YX30Y R 3.1775 USD 11/28/2025 BA -0.31%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.32%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.32%
2.55 R ISWP FWD US0003M P 06/19/2021 -0.40%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.41%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.44%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.61%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -0.62%
2.50 R ISWP FWD US0003M P 06/19/2024 -0.63%
FNMA FN30 TBA 03.5000 05/01/2049 -2.75%

Prior top 10 holdings

Top 10 holdings as of 06/30/19
Fnma Fn30 Tba Umbs 03.0000 08/01/2049
Gnma Gii30 Tba 03.0000 07/01/2049
Gnma Gii30 Tba 03.5000 07/01/2049
Gnma Gii30 Tba 04.5000 07/01/2049
Gnma Gii30 Tba 04.0000 07/01/2049
Gnma Gii30 Tba 05.0000 07/01/2049
Fnma Fn30 Tba Umbs 05.5000 08/01/2049
Fncl 2.50 04/01/2042
Gnma Gii30p 783937 03.5000 11/20/2043
Fnma Fn30 Tba Umbs 04.5000 07/01/2049
Holdings represent 72.58% of portfolio
Top 10 holdings as of 05/31/19
Umbs Fn30 Tba 03.0000 06/01/2049
Gnma Gii30 Tba 03.0000 06/01/2049
Gnma Gii30 Tba 04.5000 06/01/2049
Gnma Gii30 Tba 03.5000 06/01/2049
Gnma Gii30 Tba 04.0000 06/01/2049
Gnma Gii30 Tba 05.0000 06/01/2049
FNMA FN30 TBA UMBS 05.5000 06/01/2049
Fncl 2.50 04/01/2042
Gnma Gii30p 783937 03.5000 11/20/2043
FNMA FN30 TBA UMBS 04.5000 06/01/2049
Holdings represent 72.32% of portfolio
Top 10 holdings as of 04/30/19
Umbs Fn30 Tba 03.0000 05/01/2049
Gnma Gii30 Tba 03.0000 05/01/2049
Gnma Gii30 Tba 04.5000 05/01/2049
Gnma Gii30 Tba 03.5000 05/01/2049
Gnma Gii30 Tba 04.0000 05/01/2049
Gnma Gii30 Tba 05.0000 05/01/2049
Umbs Fn30 Tba 05.5000 05/01/2049
Fncl 2.50 04/01/2042
Gnma Gii30p 783937 03.5000 11/20/2043
Umbs Fn30 Tba 04.5000 05/01/2049
Holdings represent 72.12% of portfolio
Top 10 holdings as of 03/31/19
Fnma Fn30 Tba 03.0000 05/01/2049
Gnma Gii30 Tba 03.0000 04/01/2049
Gnma Gii30 Tba 04.5000 04/01/2049
Gnma Gii30 Tba 03.5000 04/01/2049
Gnma Gii30 Tba 04.0000 04/01/2049
Gnma Gii30 Tba 05.0000 04/01/2049
Fnma Fn30 Tba 05.5000 04/01/2049
Fncl 2.50 04/01/2042
Gnma Gii30p 783937 03.5000 11/20/2043
Fnma Fn30 Tba 04.5000 04/01/2049
Holdings represent 72.17% of portfolio

Fixed income statistics as of 06/30/19

Average effective maturity 7.26 yrs.
Average effective duration 3.10 yrs.
Average yield to maturity 6.22%
Average coupon 7.22%
Average price $85.72

Sector weightings as of 06/30/19

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 24.50% 1.57 71.58% 2.50 96.08% 4.07
Commercial MBS 7.22% 0.21 35.82% 0.90 43.04% 1.11
Agency CMO 39.96% 1.57 0.75% 0.03 40.71% 1.60
Residential MBS (non-agency) 18.97% 1.00 0.00% 0.00 18.97% 1.00
Asset-backed securities (ABS) 3.03% 0.02 0.00% 0.00 3.03% 0.02
Interest rate swaps 0.00% 0.00 0.00% 0.00 0.00% 0.00
U.S. Treasury/agency 0.00% 0.00 0.00% 0.09 0.00% 0.09
Net cash 6.32% 0.00 0.00% 0.00 6.32% 0.00

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 06/30/19

0 - 1 yr. -61.93%
1 - 5 yrs. 93.35%
5 - 10 yrs. 60.67%
10 - 15 yrs. 7.91%

Quality rating as of 06/30/19

AAA 131.21%
AA 5.95%
A 5.46%
BBB 8.29%
BB 4.60%
B 5.20%
CCC and Below 1.99%
Not Rated -62.70%

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- and asset-backed securities are subject to prepayment risk, which means 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. The fund's investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund's exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund's net asset value more susceptible to economic, market, political and other developments affecting the housing or real estate markets. 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 generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages. 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. The value of investments in the fund's portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, geography (such as a region of the United States), industry or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings or in relevant markets. 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 0.94% 1.69% 1.69% 1.18% 1.19% 0.56% 0.69%
What you pay† 0.75% 1.50% 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 01/30/20

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- and asset-backed securities are subject to prepayment risk, which means 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. The fund's investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund's exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund's net asset value more susceptible to economic, market, political and other developments affecting the housing or real estate markets. 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 generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages. 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. The value of investments in the fund's portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, geography (such as a region of the United States), industry or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund's portfolio holdings or in relevant markets. 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.