U.S. Government Income Trust  (PGSIX)

Seeking opportunities through mortgage-backed securities

Objective

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

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $12.84
0.08% | $0.01
$13.23
11/07/16
$12.81
08/25/17
Historical fund price

Fund facts as of 08/31/17

Total net assets
$834.68M
Turnover (fiscal year end)
1,272%
Dividend frequency (view rate)
Monthly
Number of holdings
698
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

Strategy and process

  • Agency mortgage-backed securities:The fund normally invests at least 80% of its assets in U.S. government securities, including agency mortgage-backed securities.
  • 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 U.S. Treasuries.
  • Leading research: The fund's portfolio manager uses proprietary models to assist in the evaluation of mortgage-backed bonds and to manage the fund's interest-rate risk.

Literature


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Value stocks have lagged the market in 2017, but if the economy continues to expand, rates rise, and the yield curve steepens, this trend could reverse.

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)


1.30%

Worst 5-year annualized return

(for period ending 06/30/17)


6.33%

Average 5-year annualized return


  • Total return (%) as of 06/30/17

  • Annual performance as of 06/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge 1.04% 0.36% 1.30% 4.53%
After sales charge -3.00% -1.00% 0.47% 4.10%
Bloomberg Barclays GNMA Index -0.20% 1.87% 1.66% 4.35%

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. To obtain the most recent month-end performance, visit putnam.com. 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 Absolute Return 500 Fund and 700 Fund, and 4.00% and 3.25% for income funds (1.00% and 0.75% for Putnam Floating Rate Income Fund, Putnam Absolute Return 100 Fund and 300 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 Absolute Return 100 Fund and 300 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, T1, 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. Class A, M, and T1 shares of Putnam money market funds have no initial sales charge. 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 08/31/17 0.10 % -3.90 %
YTD as of 09/21/17 0.60 % -3.43 %

Yield

Distribution rate before sales charge
as of 09/21/17
3.08%
Distribution rate after sales charge
as of 09/21/17
2.96%
30-day SEC yield as of 08/31/17
(after sales charge)
2.98%

Risk-adjusted performance as of 08/31/17

Sharpe ratio (3 yrs.) 0.35
Information ratio (3 yrs.) -0.70

Volatility as of 08/31/17

Standard deviation (3 yrs.) 1.51%
Beta 0.22
R-squared 0.05

Lipper rankings as of 08/31/17

GNMA Funds Percentile ranking Rank/Funds in category
1 yr. 19% 11/58
3 yrs. 84% 45/53
5 yrs. 52% 27/51
10 yrs. 20% 8/39

Morningstar ratings as of 08/31/17

Intermediate Government Rating Funds in category
Overall (245)
3 yrs. (245)
5 yrs. (234)
10 yrs. (172)

Distributions

Record/Ex dividend date 09/14/17
Payable date 09/20/17
Income $0.033
Extra income $0.0
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 08/31/17

Gnma Gii30 Tba 03.0000 09/01/2047 29.11%
Gnma Gii30 Tba 03.5000 09/01/2047 14.74%
Fncl 2.50 05/01/2042 7.65%
Fnma Fn30 Tba 03.0000 10/01/2047 7.38%
Gnma Gii30 Tba 05.0000 09/01/2047 6.68%
Fnma Fn30 Tba 04.5000 09/01/2047 6.31%
Gnma Gii30p 783937 03.5000 11/20/2043 6.27%
Fnma Fn30 Tba 05.5000 09/01/2047 5.83%
Gnma Gii30 Tba 04.0000 10/01/2047 5.80%
Gnma Gn30 783941 04.0000 11/15/2044 4.46%
Top 10 holdings, percent of portfolio 94.23%

Full portfolio holdings as of 06/30/17

GNMA GII30 TBA 03.0000 07/01/2047 29.66%
GNMA GII30 TBA 03.5000 07/01/2047 16.48%
FNCL 2.50 2013 7.57%
GNMA GII30 TBA 05.0000 07/01/2047 6.57%
FNMA FN30 TBA 04.5000 07/01/2047 6.20%
GNMA GII30P 783937 03.5000 11/20/2043 6.17%
FNMA FN30 TBA 05.5000 07/01/2047 5.75%
GNMA GN30 783941 04.0000 11/15/2044 4.45%
GNMA GII30 TBA 04.5000 07/01/2047 3.88%
GNMA GII30 TBA 04.0000 07/01/2047 3.47%
GNMA GII30 AD9075 03.5000 04/20/2043 3.13%
GNMA GII30 AD8884 03.5000 03/20/2043 3.09%
GNMA GII30 AE8491 04.0000 07/20/2044 2.08%
GNMA GII30 AM4931 03.5000 04/20/2045 2.07%
GNMA GII30 AE8273 04.0000 04/20/2044 1.74%
FNR 2007-95 A3 01.4661 08/27/2036 1.56%
GNMA GN30 783942 04.0000 09/15/2039 1.45%
FNMA FN30 AL6174 04.0000 11/01/2044 1.25%
GNMA GII30 AB9891 03.5000 04/20/2043 1.19%
GNMA GII30 MA2828 04.5000 05/20/2045 1.09%
FNMA FN30 BC1155 03.0000 06/01/2046 1.01%
GNMA GII30 609171 04.0000 07/20/2044 0.99%
GNMA GN30 626935 03.5000 04/15/2045 0.95%
GNMA GN30 AB2881 03.5000 09/15/2042 0.86%
FHS 315 PO PO 00.0000 09/15/2043 0.84%
FNMA FN30 AL7710 04.0000 05/01/2045 0.80%
GNMA GII30 AA6143 03.5000 03/20/2043 0.76%
FNMA FN30 AB9339 03.0000 05/01/2043 0.75%
FNMA FN30 TBA 03.5000 08/01/2047 0.73%
GNR 2010-158 OP PO 00.0000 12/20/2040 0.72%
FNMA FN30 TBA 06.0000 07/01/2047 0.66%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.65%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.61%
GNR 2016-H11 HI IO 02.0821 01/20/2066 0.58%
GNMA GII30 AL5503 03.5000 03/20/2045 0.54%
GNR 2016-H23 NI IO 02.4037 10/20/2066 0.51%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.47%
GNMA GII30 AI6258 04.5000 05/20/2044 0.47%
FHR 3065 DC 16.3833 03/15/2035 0.45%
FNMA FN30 AS7363 03.0000 06/01/2046 0.45%
FHR 4621 QI IO 03.5000 10/15/2046 0.44%
FNMA FN30 AB7936 03.0000 02/01/2043 0.43%
GNMA GII30 AL5358 03.5000 03/20/2045 0.43%
BF0132 04.0000 07/01/2056 0.42%
FNMA FN30 AL8994 04.0000 09/01/2045 0.42%
GNMA GN30 AM4380 04.0000 05/15/2045 0.42%
GNR 2016-H07 PI IO 02.2508 03/20/2066 0.42%
FNMA FN30 AR3945 03.0000 03/01/2043 0.40%
FHLMC FH30G V80012 03.0000 03/01/2043 0.38%
FNMA FN30 AS8530 03.5000 12/01/2046 0.38%
GNMA GN30 627046 04.0000 01/15/2046 0.38%
GNMA GN30 AQ6669 03.5000 10/15/2045 0.38%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.37%
FHLMC FH30G TBA 03.5000 07/01/2047 0.36%
FNMA FN30 TBA 03.5000 07/01/2047 0.36%
FNMA FN30 BM1172 03.0000 03/01/2047 0.35%
FNR 2008-24 SP 18.8243 02/25/2038 0.35%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.34%
GNR 2016-H27 GI IO 02.2762 12/20/2066 0.33%
GNR 2017-H06 MI IO 02.1735 02/20/2067 0.33%
GNMA GN30 AA5452 03.5000 07/15/2042 0.32%
SPST 2017-1 A 02.1161 02/25/2049 0.32%
FNMA FN30 AX5555 03.5000 10/01/2046 0.31%
GNMA GII30 626939 04.0000 04/20/2045 0.31%
FNMA FN30 AR6852 03.0000 02/01/2043 0.30%
GNMA GII30 626924 03.5000 03/20/2045 0.30%
GNMA GII30 AB7797 03.5000 11/20/2042 0.30%
GNMA GII30 AB9531 03.5000 12/20/2042 0.30%
GNMA GII30 AH8784 04.5000 06/20/2034 0.30%
GNMA GII30 AL5360 03.5000 03/20/2045 0.30%
GNMA GII30 AQ3559 03.5000 02/20/2046 0.30%
GNMA GII30 AQ4134 03.5000 11/20/2045 0.29%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.29%
GNR 2017-H03 KI IO 02.5729 01/20/2067 0.29%
FNMA FN30 AV7065 03.5000 05/01/2045 0.28%
GNR 2016-H13 IK IO 02.5830 06/20/2066 0.28%
GNR 2012-H11 FI IO 01.2241 02/20/2062 0.27%
GNR 2015-H20 CI IO 01.9845 08/20/2065 0.27%
GNR 2016-H17 DI IO 02.0876 07/20/2066 0.27%
GNR 2016-H18 QI IO 02.0019 06/20/2066 0.27%
FHR 2976 LC 20.1707 05/15/2035 0.26%
FHR 4116 MI IO 04.0000 10/01/2042 0.26%
FHR 4436 SC IO 04.9911 02/15/2045 0.26%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.26%
FHR 4546 PI IO 04.0000 12/15/2045 0.25%
FNMA FN30 AB6670 03.0000 10/01/2042 0.25%
GNMA GII30 4978 04.5000 03/20/2041 0.25%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.25%
GNR 2011-H07 FI IO 01.2359 02/20/2061 0.25%
GNR 2015-H10 HI IO 02.2710 04/20/2065 0.25%
GNR 2015-H22 AI IO 01.9018 09/20/2065 0.25%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.25%
BF0101 03.5000 06/01/2056 0.24%
GNMA GII30 626928 04.0000 03/20/2045 0.24%
GNR 2011-156 SK IO 05.3878 04/20/2038 0.24%
GNR 2015-64 IG IO 04.0000 05/20/2045 0.24%
FNMA FN30 AT0942 03.0000 04/01/2043 0.23%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.23%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.23%
GNR 2015-H13 AI IO 02.2899 06/20/2065 0.23%
GNR 2015-H22 GI IO 02.5754 09/20/2065 0.23%
GNR 2016-H10 AI IO 01.9042 04/20/2066 0.23%
FHLMC FH30G G60861 03.5000 01/01/2047 0.22%
FNR 2005-74 NK 21.4195 05/25/2035 0.22%
GNMA GII30 626906 03.5000 01/20/2045 0.22%
GNMA GII30 635083 04.0000 05/20/2046 0.22%
GNMA GII30 AL8482 03.5000 03/20/2045 0.22%
GNMA GII30P 784038 04.0000 01/20/2045 0.22%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.22%
GNR 2015-H04 AI IO 01.9366 12/20/2064 0.22%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.22%
GNR 2017-H08 GI IO 02.3201 02/20/2067 0.22%
FHLMC FH30G G60314 04.0000 09/01/2045 0.21%
FHR 2990 LB 13.9837 06/15/2034 0.21%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.21%
GNMA GN30 AO0507 03.5000 08/15/2045 0.21%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.21%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.21%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.21%
GNR 2016-H24 IO IO 02.0965 09/20/2066 0.21%
GNR 2017-H04 BI IO 02.4030 02/20/2067 0.21%
GNMA GII30 626917 04.0000 02/20/2045 0.20%
GNMA GII30 635075 04.5000 04/20/2046 0.20%
GNMA GII30 AH8780 04.5000 06/20/2044 0.20%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.20%
GNR 2011-H16 FI IO 01.0348 07/20/2061 0.20%
GNR 2014-119 SA IO 04.3878 08/20/2044 0.20%
GNR 2014-H21 AI IO 01.7544 10/20/2064 0.20%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.20%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.20%
FNMA FN30 AB2693 04.5000 04/01/2041 0.19%
FNMA FN30 AW9482 03.5000 11/01/2044 0.19%
GNMA GII30 AD8811 03.0000 03/20/2043 0.19%
GNMA GII30 AE5165 04.5000 08/20/2044 0.19%
GNMA GII30 AH5493 04.5000 10/20/2044 0.19%
GNMA GN30 626998 03.5000 10/15/2042 0.19%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.19%
GNR 2015-H23 TI IO 01.8959 09/20/2065 0.19%
GNR 2015-H24 HI IO 02.0339 09/20/2065 0.19%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.19%
GNR 2016-H03 AI IO 02.1650 01/20/2066 0.19%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.19%
FNMA FN30 AL3576 04.0000 05/01/2043 0.18%
FNMA FN30 AW9042 04.0000 08/01/2044 0.18%
GNMA GII30 AL1906 04.5000 01/20/2045 0.18%
GNMA GII30 AQ3551 03.5000 03/20/2046 0.18%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.18%
GNR 2013-182 SP IO 05.4878 12/20/2043 0.18%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.18%
GNR 2016-H06 DI IO 01.9035 07/20/2065 0.18%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.18%
FHR 4165 TI IO 03.0000 12/15/2042 0.17%
FHR 4601 IC IO 04.0000 12/15/2045 0.17%
FNMA FN30 AV7064 03.0000 05/01/2045 0.17%
FNR 2011-4 CS 10.4678 05/25/2040 0.17%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.17%
GNMA GII30 635063 04.0000 03/20/2046 0.17%
GNMA GII30 AB7786 03.5000 01/20/2043 0.17%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.17%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.17%
GNR 2015-24 AI IO 03.5000 12/20/2037 0.17%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.17%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.17%
GNR 2016-H04 HI IO 02.3622 07/20/2065 0.17%
GNR 2017-H08 NI IO 02.1945 03/20/2067 0.17%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.17%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.17%
FHR 4425 IO IO 04.0000 01/15/2045 0.16%
FNMA FN30 AB9238 03.0000 05/01/2043 0.16%
FNMA FN30 AW4274 03.5000 08/01/2044 0.16%
FNMA FN30 AX5560 03.5000 11/01/2046 0.16%
GNR 2014-H25 BI IO 01.6842 12/20/2064 0.16%
GNR 2015-H25 BI IO 01.9935 10/20/2065 0.16%
GNR 2016-H01 HI IO 02.0440 10/20/2065 0.16%
GNR 2016-H04 KI IO 01.9292 02/20/2066 0.16%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.16%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.16%
FHR 4158 TI IO 03.0000 12/15/2042 0.15%
FHR 4452 QI IO 04.0000 11/15/2044 0.15%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.15%
GNMA GN30 AL5351 03.5000 03/15/2045 0.15%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.15%
GNR 2015-H16 XI IO 02.1280 07/20/2065 0.15%
GNR 2016-H06 HI IO 02.0610 02/20/2066 0.15%
GNR 2017-H10 MI IO 01.7249 04/20/2067 0.15%
FHR 4500 GI IO 04.0000 08/15/2045 0.14%
FHR 4530 HI IO 04.0000 11/15/2045 0.14%
FNMA FN30 AP3817 03.0000 09/01/2042 0.14%
FNMA FN30 AW9492 03.5000 12/01/2044 0.14%
FNMA FN30 AX5565 03.5000 12/01/2046 0.14%
FNMA FN30 AY0773 03.5000 03/01/2045 0.14%
FNR 2005-106 JC 16.3531 12/25/2035 0.14%
GNR 2012-48 AI IO 03.5000 02/20/2036 0.14%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.14%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.14%
GNR 2016-H06 AI IO 02.0788 02/20/2066 0.14%
GNR 2017-H09 IO IO 01.7751 04/20/2067 0.14%
FNMA FN30 AX1851 03.5000 10/01/2044 0.13%
FNR 12-118 PI IO 04.0000 06/25/2042 0.13%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.13%
GNMA GII30 AJ8849 03.0000 10/20/2044 0.13%
SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI 0.13%
FHR 4150 DI IO 03.0000 01/15/2043 0.12%
FHR 4329 MI IO 04.5000 06/15/2026 0.12%
FNMA FN30 AI9135 03.5000 10/01/2042 0.12%
FNMA FN30 AS8648 03.0000 01/01/2047 0.12%
FNMA FN30 AV7053 04.0000 02/01/2045 0.12%
FNMA FN30 AV7059 03.5000 04/01/2045 0.12%
FNMA FN30 AX5554 03.0000 10/01/2046 0.12%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.12%
GNMA GII30 626972 03.5000 08/20/2045 0.12%
GNMA GII30 635081 03.5000 05/20/2046 0.12%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.12%
GNR 2017-H06 EI IO 01.5759 02/20/2067 0.12%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.12%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.12%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.12%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.12%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.12%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.11%
FHR 3072 SM 04.2533 11/15/2035 0.11%
FHR 4122 TI IO 04.5000 10/15/2042 0.11%
FHR 4136 IQ IO 03.5000 11/15/2042 0.11%
FHR 4141 PI IO 03.0000 12/15/2042 0.11%
FHR 4171 NI IO 03.0000 06/15/2042 0.11%
FNMA FN30 735227 05.5000 02/01/2035 0.11%
GNMA GII30 627009 04.5000 10/20/2045 0.11%
GNMA GN30 635061 04.0000 03/15/2046 0.11%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.11%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.11%
GNR 2016-H24 JI IO 02.3016 11/20/2066 0.11%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.11%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.11%
FHR 4019 JI IO 04.0000 05/15/2041 0.10%
FNMA FN30 889560 06.0000 06/01/2038 0.10%
FNMA FN30 AL4158 06.0000 10/01/2040 0.10%
FNMA FN30 AX5489 03.5000 10/01/2045 0.10%
FNR 2007-53 SP 19.7409 06/25/2037 0.10%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.10%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.10%
GNR 2015-24 CI IO 03.5000 02/20/2045 0.10%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.10%
GNR 2016-H08 GI IO 01.4335 04/20/2066 0.10%
OPTN FN30 3.0 08/07/17 PUT 99.875 JPMC 0.10%
SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI 0.10%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.10%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.10%
SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS 0.10%
1.90 R ISWP FWD USL3M P 09/20/2022 0.09%
FHR 4136 ES IO 05.0911 11/15/2042 0.09%
FHR 4201 JI IO 03.0000 12/15/2041 0.09%
FNMA FN30 AV7026 03.5000 11/01/2044 0.09%
FNMA FN30 AX1124 03.5000 12/01/2044 0.09%
FNR 2006-8 HP 20.1076 03/25/2036 0.09%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.09%
FNR 2013-8 NI IO 03.0000 12/25/2042 0.09%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.09%
GNMA GII30 AH5494 04.5000 10/20/2044 0.09%
GNMA GII30 AH8776 04.5000 06/20/2034 0.09%
GNMA GII30 AK7899 04.5000 01/20/2045 0.09%
GNR 2014-174 AI IO 03.0000 11/16/2029 0.09%
GNR 2015-H23 DI IO 01.8404 09/20/2065 0.09%
2.15 R ISWP FWD USL3M P 06/27/2027 0.08%
FHR 3996 IK IO 04.0000 03/15/2039 0.08%
FHR 4024 PI IO 04.5000 12/15/2041 0.08%
FHR 4165 AI IO 03.5000 02/15/2043 0.08%
FNMA FN30 AL8205 03.0000 05/01/2045 0.08%
FNMA FN30 AR4126 03.0000 02/01/2043 0.08%
FNMA FN30 AR6276 03.5000 03/01/2043 0.08%
FNMA FN30 AU1625 03.5000 07/01/2043 0.08%
FNMA FN30 AV3203 03.5000 11/01/2043 0.08%
FNMA FN30 AY8222 04.5000 05/01/2045 0.08%
FNMA FN30 BD6687 03.5000 08/01/2046 0.08%
FNMA FN30 BD9021 03.5000 01/01/2047 0.08%
FNR 2006-62 PS 32.6033 07/25/2036 0.08%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.08%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.08%
GNMA GII30 AB7796 03.5000 11/20/2042 0.08%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.08%
GNMA GII30 AJ9129 04.5000 11/20/2044 0.08%
GNMA GII30 AK9690 04.5000 01/20/2045 0.08%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.08%
GNR 2012-47 CI IO 04.0000 03/20/2042 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 2013-37 JI IO 03.5000 01/20/2043 0.08%
GNR 2015-24 IC IO 03.5000 11/20/2037 0.08%
SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI 0.08%
2.20 R ISWP FWD USL3M P 09/20/2027 0.07%
FHR 4015 GI IO 04.0000 03/15/2027 0.07%
FHR 4183 MI IO 03.0000 02/15/2042 0.07%
FNMA FN30 AO5471 03.5000 06/01/2042 0.07%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.07%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.07%
GNMA GII30 AB7798 03.5000 12/20/2042 0.07%
GNMA GII30 AK0502 04.5000 10/20/2044 0.07%
GNMA GII30 AR0637 03.5000 02/20/2046 0.07%
GNR 2013-165 IL IO 04.0000 03/20/2043 0.07%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.07%
SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS 0.07%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.07%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.07%
FHLMC FH30G C03805 03.5000 04/01/2042 0.06%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.06%
FHR 4199 CI IO 03.5000 12/15/2037 0.06%
FNMA FN30 AP6568 03.0000 09/01/2042 0.06%
FNMA FN30 AV3419 03.5000 01/01/2044 0.06%
FNMA FN30 AV7020 03.5000 10/01/2044 0.06%
FNMA FN30 AV7060 04.0000 04/01/2045 0.06%
FNMA FN30 BD4740 03.5000 08/01/2046 0.06%
FNMA FN30 BD9219 04.5000 10/01/2046 0.06%
FNR 2005-122 SE 18.8436 11/25/2035 0.06%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.06%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.06%
FNW 1998-W2 X IO 00.0492 06/25/2028 0.06%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.06%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.06%
GNR 2010-35 UI IO 05.0000 03/20/2040 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%
OPTN FN30 3.5 08/07/17 CALL 102.96875 JPMC 0.06%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.06%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.06%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.06%
FNMA FN30 AR3984 03.5000 04/01/2043 0.05%
FNMA FN30 AW7089 04.5000 07/01/2044 0.05%
FNR 2012-145 TI IO 03.0000 11/25/2042 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 2014-2 IL IO 04.0000 01/16/2044 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS 0.05%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.05%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.05%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.05%
FHLMC FH30G Q44687 03.5000 12/01/2046 0.04%
FHLMC FH30G Q45117 03.5000 12/01/2046 0.04%
FHR 3249 PS 18.4507 12/15/2036 0.04%
FHR 3408 EK 21.1299 04/15/2037 0.04%
FHR 4018 DI IO 04.5000 07/15/2041 0.04%
FNMA FN30 AD0095 06.0000 11/01/2038 0.04%
FNMA FN30 AL3671 06.0000 05/01/2041 0.04%
FNMA FN30 AV7042 04.0000 01/01/2045 0.04%
FNMA FN30 AX7296 04.5000 12/01/2044 0.04%
FNMA FN30 BA1056 04.5000 11/01/2045 0.04%
FNMA FN30 MA2180 04.0000 02/01/2045 0.04%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.04%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.04%
GNMA GII30 635065 04.5000 03/20/2046 0.04%
GNMA GII30 AJ9124 04.5000 12/20/2044 0.04%
GNMA GN30 AB9375 03.5000 10/15/2042 0.04%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.04%
GNR 2010-20 SC IO 04.9378 02/20/2040 0.04%
GNR 2011-81 SB IO 05.5333 11/16/2036 0.04%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS 0.04%
SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS 0.04%
SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI 0.04%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.04%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.04%
2.18 R ISWP FWD USL3M P 07/13/2027 0.03%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.03%
FHLMC FH30G Q44144 03.5000 11/01/2046 0.03%
FNMA FN30 889683 06.0000 07/01/2038 0.03%
FNMA FN30 AB9663 03.0000 06/01/2043 0.03%
FNMA FN30 AD0207 06.0000 10/01/2038 0.03%
FNMA FN30 AP3902 03.0000 10/01/2042 0.03%
FNMA FN30 AU2933 03.5000 09/01/2043 0.03%
FNMA FN30 AX5556 04.0000 09/01/2046 0.03%
FNMA FN30 BD4702 03.5000 08/01/2046 0.03%
FNMA FN30 BD4712 03.5000 08/01/2046 0.03%
FNMA FN30 BD6697 03.5000 08/01/2046 0.03%
FNMA FN30 BD6704 03.5000 09/01/2046 0.03%
FNMA FN30 BD7914 03.5000 10/01/2046 0.03%
FNMA FN30 BD7948 03.5000 11/01/2046 0.03%
FNMA FN30 BD9948 03.5000 10/01/2046 0.03%
FNR 2005-75 GS 16.6017 08/25/2035 0.03%
FNR 2005-83 QP 14.2321 11/25/2034 0.03%
FNR 2011-123 KS IO 05.3839 10/25/2041 0.03%
GNMA GII30 757211 04.5000 12/20/2040 0.03%
SWPTN 2MX10Y P 2.325 USD 07/25/2017 CS 0.03%
SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS 0.03%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.03%
SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS 0.03%
SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI 0.03%
FN30 06.000 2007 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 AX8877 04.5000 12/01/2044 0.02%
FNMA FN30 AX8927 04.5000 12/01/2044 0.02%
FNMA FN30 BC0390 04.5000 12/01/2045 0.02%
FNMA FN30 BD5295 03.5000 01/01/2047 0.02%
FNMA FN30 BD6714 03.5000 09/01/2046 0.02%
FNMA FN30 BD7907 03.5000 10/01/2046 0.02%
FNMA FN30 MA2242 04.0000 04/01/2045 0.02%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.02%
FNW 1998-W5 X IO 00.3167 07/25/2028 0.02%
GNMA GII30 AP5409 03.5000 09/20/2045 0.02%
GNMA GN30 AB9320 03.5000 09/15/2042 0.02%
GNMA GN30 AB9500 03.5000 11/15/2042 0.02%
GNMA GN30 AD2149 03.5000 01/15/2043 0.02%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.02%
SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS 0.02%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.02%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.02%
2.1965 R ISWP USL3M P 06/30/2027 0.01%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.01%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.01%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.01%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.01%
FHR 3175 MO PO 00.0000 06/15/2036 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FNMA FN30 256553 06.0000 01/01/2037 0.01%
FNMA FN30 879494 06.0000 02/01/2036 0.01%
FNMA FN30 887618 06.0000 07/01/2036 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 AL5062 03.5000 01/01/2044 0.01%
FNMA FN30 AR3315 03.5000 02/01/2043 0.01%
FNMA FN30 AS5038 04.0000 05/01/2045 0.01%
FNMA FN30 AS6679 04.0000 01/01/2046 0.01%
FNMA FN30 AY3392 04.0000 04/01/2045 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%
FSPC T-48 AIO2 IO 00.2120 07/25/2033 0.01%
GII30 07.500 2004 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01%
SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA 0.01%
SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS 0.01%
SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS 0.01%
SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI 0.01%
SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA 0.01%
1.60431 R ISWP USL3M P 07/05/2019 0.00%
1.6076 R ISWP USL3M P 07/05/2019 0.00%
CPURNSA P 2.05 R 07/05/27 BC 0.00%
CPURNSA P 2.085 R 07/03/27 BC 0.00%
CPURNSA R 1.89 P 07/05/22 BC 0.00%
CPURNSA R 1.9225 P 07/03/22 BC 0.00%
FHR 3117 AF 00.0000 02/15/2036 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%
FHR 3391 PO PO 00.0000 04/15/2037 0.00%
FNMA FN30 256349 06.0000 08/01/2036 0.00%
FNMA FN30 902070 06.0000 12/01/2036 0.00%
FNMA FN30 AB7426 03.0000 12/01/2042 0.00%
FNMA FN30 AU5385 03.0000 07/01/2043 0.00%
FNMA FN30 AY1318 04.0000 03/01/2045 0.00%
FNR 1988-12 B 00.0000 02/25/2018 0.00%
FNR 2001-50 BI IO 00.4044 10/25/2041 0.00%
FNR 2001-79 BI IO 00.2986 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 04.4164 06/25/2033 0.00%
FNW 2003-W14 2A 03.8489 01/25/2043 0.00%
FNW 2003-W3 1A4 03.4529 08/25/2042 0.00%
FNW 2004-W2 4A 03.0784 02/25/2044 0.00%
FNW 2004-W7 A2 04.0813 03/25/2034 0.00%
FSPC T-57 2A1 03.4777 07/25/2043 0.00%
FSPC T-59 1AX IO 00.2724 10/25/2043 0.00%
FSPC T-59 2A1 03.3198 10/25/2043 0.00%
FSPC T-8 A9 IO 00.4414 11/15/2028 0.00%
GNMA GIIARM 8913 02.1250 07/20/2026 0.00%
GNMA GN30 275518 08.5000 12/15/2019 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2006-64 PO PO 00.0000 04/16/2034 0.00%
GNR 2011-81 PI IO 04.5000 12/20/2037 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GOVERNMENT NATIONAL MORTGAGE A 0.00%
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.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 DE 0.00%
IOS.FN30.400.10 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 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.FN30.400.13 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.FN30.650.67 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 CS 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.GII30.450.10 R USL1M P 01/12/41 DE 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI 0.00%
SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI 0.00%
SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI 0.00%
SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS 0.00%
SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS 0.00%
SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS 0.00%
SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS 0.00%
SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP 0.00%
SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP 0.00%
SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS 0.00%
SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI 0.00%
SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI 0.00%
SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA 0.00%
SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA 0.00%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.01%
MBX.FN30.400.09 R USL1M P 01/12/40 BC -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -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%
SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI -0.01%
SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS -0.01%
SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA -0.01%
SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS -0.01%
SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS -0.01%
SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI -0.01%
1.70 R ISWP FWD USL3M P 09/20/2019 -0.02%
SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS -0.02%
SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI -0.02%
SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS -0.02%
SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS -0.02%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI -0.02%
SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS -0.03%
SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS -0.03%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP -0.03%
SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI -0.03%
SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 GS -0.03%
SWPTN 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%
2.11504 R ISWP USL3M P 06/26/2027 -0.04%
SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI -0.04%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.04%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.04%
2.45 R ISWP FWD USL3M P 09/20/2047 -0.05%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA -0.06%
SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS -0.06%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.06%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.06%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.06%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS -0.07%
OPTN FN30 3.0 08/07/17 CALL 99.875 JPMC -0.08%
SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI -0.08%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.08%
SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS -0.10%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.10%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.10%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.11%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.11%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.11%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.11%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.11%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.11%
FHLMC FH30G TBA 03.0000 07/01/2047 -0.12%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.12%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.12%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.13%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.13%
SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI -0.15%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.15%
OPTN FN30 3.5 08/07/17 PUT 102.96875 JPMC -0.16%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.18%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.19%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.19%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.24%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.24%
FNMA FN30 TBA 02.5000 07/01/2047 -0.68%
FNMA FN30 TBA 03.0000 07/01/2047 -2.94%
FNMA FN30 TBA 04.0000 07/01/2047 -5.95%

Prior top 10 holdings

Top 10 holdings as of 08/31/17
Gnma Gii30 Tba 03.0000 09/01/2047
Gnma Gii30 Tba 03.5000 09/01/2047
Fncl 2.50 05/01/2042
Fnma Fn30 Tba 03.0000 10/01/2047
Gnma Gii30 Tba 05.0000 09/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Gnma Gii30p 783937 03.5000 11/20/2043
Fnma Fn30 Tba 05.5000 09/01/2047
Gnma Gii30 Tba 04.0000 10/01/2047
Gnma Gn30 783941 04.0000 11/15/2044
Holdings represent 94.23% of portfolio
Top 10 holdings as of 07/31/17
Gnma Gii30 Tba 03.0000 08/01/2047
Gnma Gii30 Tba 03.5000 08/01/2047
Fncl 2.50 05/01/2042
Gnma Gii30 Tba 05.0000 08/01/2047
Fnma Fn30 Tba 04.5000 09/01/2047
Gnma Gii30p 783937 03.5000 11/20/2043
Fnma Fn30 Tba 05.5000 09/01/2047
Gnma Gn30 783941 04.0000 11/15/2044
Gnma Gii30 Tba 04.5000 08/01/2047
Gnma Gii30 Tba 04.0000 09/01/2047
Holdings represent 89.89% of portfolio
Top 10 holdings as of 06/30/17
Gnma Gii30 Tba 03.0000 07/01/2047
Gnma Gii30 Tba 03.5000 07/01/2047
Fncl 2.50 05/01/2042
Gnma Gii30 Tba 05.0000 07/01/2047
Fnma Fn30 Tba 04.5000 07/01/2047
Gnma Gii30p 783937 03.5000 11/20/2043
Fnma Fn30 Tba 05.5000 07/01/2047
Gnma Gn30 783941 04.0000 11/15/2044
Gnma Gii30 Tba 04.5000 07/01/2047
Gnma Gii30 Tba 04.0000 07/01/2047
Holdings represent 90.20% of portfolio
Top 10 holdings as of 05/31/17
Gnma Gii30 Tba 03.0000 06/01/2047
Gnma Gii30 Tba 03.5000 06/01/2047
Fncl 2.50 05/01/2042
Gnma Gii30 Tba 05.0000 06/01/2047
Gnma Gii30p 783937 03.5000 11/20/2043
Fnma Fn30 Tba 04.5000 06/01/2047
Fnma Fn30 Tba 05.5000 06/01/2047
Gnma Gn30 783941 04.0000 11/15/2044
Gnma Gii30 Tba 04.5000 06/01/2047
Gnma Gii30 Tba 04.0000 06/01/2047
Holdings represent 89.78% of portfolio

Fixed income statistics as of 08/31/17

Average effective maturity 11.63 yrs.
Average effective duration 5.09 yrs.
Average yield to maturity 3.55%
Average coupon 6.02%
Average price $91.76

Sector weightings as of 08/31/17

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 60.43% 3.77 74.47% 4.07 134.90% 7.84
Agency CMO 30.41% 1.17 0.87% 0.04 31.28% 1.21
Net cash 8.84% 0.00 0.00% 0.00 8.84% 0.00
Asset-backed securities (ABS) 0.33% 0.00 0.00% 0.00 0.33% 0.00
Interest rate swaps 0.00% 0.00 0.00% 0.32 0.00% 0.32

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 08/31/17

0 - 1 yr. -71.36%
1 - 5 yrs. 13.72%
5 - 10 yrs. 154.46%
10 - 15 yrs. 3.18%

Quality rating as of 08/31/17

AAA 167.69%
A 4.55%
Not Rated -72.24%

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 when interest rates decline and decline in value 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, and factors related to a specific issuer or industry. These and other factors may lead to periods of increased volatility and reduced liquidity. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of net assets as of the date indicated above. 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. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values 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 Y
Total expense ratio 0.89% 1.62% 1.64% 1.13% 1.14% 0.64%
What you pay 0.89% 1.62% 1.64% 1.13% 1.14% 0.64%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R 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 Y
0 to 9 mts. 1.00% 5.00% 1.00% -- -- --
9 to 12 mts. 0.00% 5.00% 1.00% -- -- --
2 yrs. -- 4.00% 0.00% -- -- --
3 yrs. -- 3.00% 0.00% -- -- --
4 yrs. -- 3.00% 0.00% -- -- --
5 yrs. -- 2.00% 0.00% -- -- --
6 yrs. -- 1.00% 0.00% -- -- --
7+ yrs. -- 0.00% 0.00% -- -- --

The Bloomberg Barclays GNMA Index is an unmanaged index of Government National Mortgage Association bonds. 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 when interest rates decline and decline in value 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, and factors related to a specific issuer or industry. These and other factors may lead to periods of increased volatility and reduced liquidity. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of net assets as of the date indicated above. 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. Short-term cash bonds are included in their closest long-term equivalent rating category. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values 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.