American Government Income Fund  (PATYX)

Pursuing income and capital preservation with a range of government bonds

Objective

The fund seeks high current income with preservation of capital as its secondary objective.

Strategy and process

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

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $8.55
0.12% | $0.01
$8.65
06/06/17
$8.48
12/16/16
Historical fund price

Fund facts as of 11/30/17

Total net assets
$380.36M
Turnover (fiscal year end)
951%
Dividend frequency (view rate)
Monthly
Number of holdings
716
Fiscal year-end
September
CUSIP / Fund code
74644B508 / 1818
Inception date
07/02/01
Category
Taxable Income
Open to new investors
Ticker
PATYX

Management team


Co-Head of Fixed Income

Portfolio Manager


Literature


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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.

9.71%

Best 5-year annualized return

(for period ending 09/30/92)


1.11%

Worst 5-year annualized return

(for period ending 09/30/17)


5.82%

Average 5-year annualized return


  • Total return (%) as of 09/30/17

  • Annual performance as of 09/30/17

Annualized performance 1 yr. 3 yrs. 5 yrs. 10 yrs.
Before sales charge -0.33% 0.84% 1.11% 4.29%
After sales charge N/A N/A N/A N/A
Bloomberg Barclays Govt Bond Index -1.56% 2.01% 1.25% 3.61%

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 11/30/17 -0.23 % -
YTD as of 12/13/17 2.22 % -

Yield

Distribution rate before sales charge
as of 12/13/17
2.81%
Distribution rate after sales charge
as of 12/13/17
2.81%
30-day SEC yield as of 11/30/17 2.80%

Risk-adjusted performance as of 10/31/17

Sharpe ratio (3 yrs.) 0.26
Information ratio (3 yrs.) -0.41

Volatility as of 10/31/17

Standard deviation (3 yrs.) 1.79%
Beta 0.43
R-squared 0.63

Lipper rankings as of 10/31/17

General U.S. Government Funds Percentile ranking Rank/Funds in category
1 yr. 3% 3/101
3 yrs. 68% 64/94
5 yrs. 30% 27/90
10 yrs. 7% 5/74

Morningstar ratings as of 10/31/17

Intermediate Government Rating Funds in category
Overall (236)
3 yrs. (236)
5 yrs. (226)
10 yrs. (167)

Distributions

Record/Ex dividend date 11/16/17
Payable date 11/20/17
Income $0.02
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 10/31/17

Us Treasury N/B 04.5000 08/15/2039 14.25%
Fnma Fn30 Tba 02.5000 11/01/2047 5.94%
Us Treasury N/B 06.2500 08/15/2023 5.62%
Gnma Gii30 Tba 04.5000 11/01/2047 4.89%
Us Treasury N/B 07.1250 02/15/2023 3.93%
Fhlmc Fh30g G61000 03.5000 05/01/2047 2.88%
Fhlmc Fh30g G60722 03.0000 10/01/2046 2.88%
Fnr 2007-95 A3 01.4879 08/27/2036 2.84%
Gnma Gii30 Tba 03.0000 11/01/2047 2.34%
Gnma Gii30p 784109 04.0000 10/20/2045 2.25%
Top 10 holdings, percent of portfolio 47.82%

Full portfolio holdings as of 09/30/17

US TREASURY N/B 04.5000 08/15/2039 14.10%
FNMA FN30 TBA 02.5000 10/01/2047 5.90%
US TREASURY N/B 06.2500 08/15/2023 5.57%
US TREASURY N/B 07.1250 02/15/2023 3.90%
FNMA FN30 TBA 04.5000 11/01/2047 3.26%
FHLMC FH30G G60722 03.0000 10/01/2046 2.87%
FHLMC FH30G G61000 03.5000 05/01/2047 2.87%
FNR 2007-95 A3 01.4872 08/27/2036 2.81%
GNMA GII30 TBA 03.0000 10/01/2047 2.32%
FHS 315 PO PO 00.0000 09/15/2043 2.21%
GNMA GII30 AM4931 03.5000 04/20/2045 1.41%
FNMA FN30 TBA 05.5000 10/01/2047 1.40%
FNMA FN30 TBA 03.0000 11/01/2047 1.27%
FNMA FN30 AL7710 04.0000 05/01/2045 1.20%
FNMA FN30 BC1155 03.0000 06/01/2046 1.18%
GNMA GII30 TBA 05.0000 10/01/2047 1.09%
GNMA GII30 TBA 04.5000 10/01/2047 1.08%
FNMA FN30 BH2620 03.5000 08/01/2047 1.05%
BF0101 03.5000 06/01/2056 1.01%
FHR 3835 FO PO 00.0000 04/15/2041 0.98%
FNMA FN30 AV7052 03.5000 03/01/2045 0.96%
GNMA GN30 626935 03.5000 04/15/2045 0.96%
GNMA GII30 AL5358 03.5000 03/20/2045 0.92%
FNMA FN30 AL6919 05.5000 01/01/2038 0.82%
FN BF0091 0.74%
GNMA GII30 626947 04.0000 05/20/2045 0.71%
GNMA GII30 626906 03.5000 01/20/2045 0.69%
BF0132 04.0000 07/01/2056 0.67%
FNMA FN30 TBA 06.0000 10/01/2047 0.57%
FHR 3065 DC 16.1567 03/15/2035 0.56%
GNMA GII30 AF3759 03.5000 06/20/2045 0.55%
FNMA FN30 AI9135 03.5000 10/01/2042 0.54%
FNMA FN30 AV7059 03.5000 04/01/2045 0.54%
FNMA FN30 BH7626 04.0000 08/01/2047 0.53%
GNMA GII30 TBA 04.0000 10/01/2047 0.53%
GNR 2016-H11 HI IO 02.0827 01/20/2066 0.51%
FNMA FN30 AV7065 03.5000 05/01/2045 0.50%
FNMA FN30 AX5472 03.5000 08/01/2045 0.50%
FNMA FN30 BM1172 03.0000 03/01/2047 0.50%
FNMA FN30 AS7363 03.0000 06/01/2046 0.48%
GNMA GN30 626962 04.0000 07/15/2045 0.47%
GNR 2016-H07 PI IO 02.2538 03/20/2066 0.47%
FNR 2008-24 SP 18.7469 02/25/2038 0.46%
FHLMC FH30G G60784 03.0000 12/01/2046 0.44%
FHLMC FH30G G60314 04.0000 09/01/2045 0.43%
FNMA FN30 AV7064 03.0000 05/01/2045 0.43%
GNR 2015-H22 AI IO 01.9002 09/20/2065 0.43%
FNMA FN30 AL6174 04.0000 11/01/2044 0.42%
GNR 2015-H20 CI IO 02.2103 08/20/2065 0.42%
GNR 2016-H13 IK IO 02.5922 06/20/2066 0.37%
FNMA FN30 AY8222 04.5000 05/01/2045 0.35%
GNR 2015-H22 GI IO 02.5760 09/20/2065 0.34%
GNR 2016-H27 GI IO 02.2797 12/20/2066 0.34%
GNR 2017-H06 MI IO 02.1737 02/20/2067 0.34%
SPST 2017-1 A 02.1372 02/25/2049 0.33%
FNR 2016-70 QI IO 03.5000 10/25/2046 0.32%
GNMA GII30 AL5503 03.5000 03/20/2045 0.32%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.32%
GNR 2011-H07 FI IO 01.2327 02/20/2061 0.32%
GNR 2015-H10 HI IO 02.0272 04/20/2065 0.31%
GNR 2016-H23 NI IO 02.3375 10/20/2066 0.30%
GNR 2017-H03 KI IO 02.3407 01/20/2067 0.30%
FHR 4621 QI IO 03.5000 10/15/2046 0.29%
GNR 2016-H10 AI IO 01.7184 04/20/2066 0.29%
GNR 2013-34 HI IO 04.5000 03/20/2043 0.28%
GNR 2016-H17 DI IO 02.0994 07/20/2066 0.28%
GNR 2016-H18 QI IO 02.3763 06/20/2066 0.28%
GNR 2010-35 DI IO 04.5000 03/20/2040 0.27%
GNR 2017-H04 BI IO 02.4170 02/20/2067 0.27%
GNMA GII30 626944 03.5000 05/20/2045 0.26%
GNR 2017-H08 EI IO 02.2467 02/20/2067 0.26%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.25%
FNMA FN30 AS8648 03.0000 01/01/2047 0.25%
FNMA FN30 AX5554 03.0000 10/01/2046 0.25%
GNMA GII30 626972 03.5000 08/20/2045 0.25%
GNMA GII30 635083 04.0000 05/20/2046 0.25%
GNR 2010-35 AI IO 04.5000 03/20/2040 0.25%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.25%
GNR 2016-156 PI IO 03.5000 11/20/2046 0.25%
GNR 2017-H08 NI IO 02.2185 03/20/2067 0.25%
FHR 4116 MI IO 04.0000 10/01/2042 0.24%
FNMA FN30 AW7089 04.5000 07/01/2044 0.24%
FNMA FN30 AX5483 03.5000 10/01/2045 0.24%
GNMA GII30 626939 04.0000 04/20/2045 0.24%
GNR 2016-69 IO IO 04.0000 05/20/2046 0.24%
FNR 2013-22 PI IO 03.5000 10/25/2042 0.23%
GNMA GII30 626963 04.0000 07/20/2045 0.23%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.23%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.23%
GNR 2015-H23 TI IO 01.8913 09/20/2065 0.23%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.23%
FNMA FN30 AL8994 04.0000 09/01/2045 0.22%
FNMA FN30 AX5489 03.5000 10/01/2045 0.22%
FNMA FN30 BC0960 04.0000 06/01/2046 0.22%
GNR 2014-100 NI IO 04.0000 06/20/2043 0.22%
GNR 2014-H21 AI IO 01.6285 10/20/2064 0.22%
GNR 2015-64 IG IO 04.0000 05/20/2045 0.22%
GNR 2015-89 LI IO 05.0000 12/20/2044 0.22%
GNR 2015-H04 AI IO 01.6907 12/20/2064 0.22%
GNR 2015-H13 AI IO 02.1546 06/20/2065 0.22%
GNR 2016-H03 AI IO 01.9275 01/20/2066 0.22%
GNR 2016-H06 DI IO 01.9285 07/20/2065 0.22%
GNR 2017-H10 MI IO 01.7487 04/20/2067 0.22%
FHR 4165 TI IO 03.0000 12/15/2042 0.21%
FNMA FN30 AS8530 03.5000 12/01/2046 0.21%
FNR 2013-6 JI IO 03.0000 02/25/2043 0.21%
GNR 2016-4 JI IO 03.5000 01/20/2046 0.21%
GNR 2016-H04 KI IO 01.7089 02/20/2066 0.21%
GNR 2016-H24 IO IO 02.0966 09/20/2066 0.21%
FHR 4158 TI IO 03.0000 12/15/2042 0.20%
FHR 4436 SC IO 04.9156 02/15/2045 0.20%
FHR 4546 PI IO 04.0000 12/15/2045 0.20%
FN30 06.000 2007 0.20%
FNMA FN30 AX7296 04.5000 12/01/2044 0.20%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.20%
GNR 2012-91 IN IO 04.5000 05/20/2042 0.20%
GNR 2016-75 LI IO 06.0000 01/20/2040 0.20%
GNR 2017-H08 GI IO 02.3157 02/20/2067 0.20%
GNR 2017-H09 IO IO 01.7779 04/20/2067 0.20%
FNMA FN30 AL3576 04.0000 05/01/2043 0.19%
FNMA FN30 AS6679 04.0000 01/01/2046 0.19%
FNMA FN30 AW9042 04.0000 08/01/2044 0.19%
FNR 2011-4 CS 10.4256 05/25/2040 0.19%
GNR 2011-156 SK IO 05.3639 04/20/2038 0.19%
GNR 2014-104 IO IO 04.0000 03/20/2042 0.19%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.19%
GNR 2015-H24 HI IO 02.0292 09/20/2065 0.19%
FHLMC FH30G V80357 03.5000 08/01/2043 0.18%
FNMA FN30 AB7936 03.0000 02/01/2043 0.18%
FNMA FN30 AU1625 03.5000 07/01/2043 0.18%
FNR 2012-114 NI IO 03.5000 10/25/2041 0.18%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.18%
GNR 2015-168 IG IO 03.5000 03/20/2043 0.18%
GNR 2016-H06 HI IO 02.0610 02/20/2066 0.18%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.18%
FHR 4136 IQ IO 03.5000 11/15/2042 0.17%
FHR 4425 IO IO 04.0000 01/15/2045 0.17%
FHR 4601 IC IO 04.0000 12/15/2045 0.17%
FNMA FN30 AR6276 03.5000 03/01/2043 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%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.17%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.17%
FHLMC FH30G V80012 03.0000 03/01/2043 0.16%
FHR 4452 QI IO 04.0000 11/15/2044 0.16%
FHR 4530 HI IO 04.0000 11/15/2045 0.16%
FNMA FN30 AV7042 04.0000 01/01/2045 0.16%
GNMA GII30 635063 04.0000 03/20/2046 0.16%
GNR 2013-182 SP IO 05.4639 12/20/2043 0.16%
GNR 2013-51 QI IO 05.0000 02/20/2043 0.16%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.16%
GNR 2014-H25 BI IO 01.6787 12/20/2064 0.16%
GNR 2015-H25 BI IO 01.9114 10/20/2065 0.16%
GNR 2016-H04 HI IO 02.3650 07/20/2065 0.16%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.16%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.16%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.16%
FHR 4171 NI IO 03.0000 06/15/2042 0.15%
FHR 4500 GI IO 04.0000 08/15/2045 0.15%
FNMA FN30 AX5555 03.5000 10/01/2046 0.15%
FNR 2015-10 AI IO 03.5000 08/25/2043 0.15%
GNMA GN30 635061 04.0000 03/15/2046 0.15%
GNR 2009-121 CI IO 04.5000 12/16/2039 0.15%
GNR 2015-99 TI IO 03.5000 04/20/2039 0.15%
GNR 2016-27 IB IO 04.0000 11/20/2045 0.15%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.15%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.15%
FHLMC FH30G Q41789 03.5000 07/01/2046 0.14%
FHR 4150 DI IO 03.0000 01/15/2043 0.14%
GNR 2016-H06 AI IO 01.8453 02/20/2066 0.14%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.14%
FHR 4019 JI IO 04.0000 05/15/2041 0.13%
FNR 2005-106 JC 16.2877 12/25/2035 0.13%
GNMA GII30 AL8482 03.5000 03/20/2045 0.13%
GNR 2013-79 PI IO 03.5000 04/20/2043 0.13%
GNR 2014-133 IP IO 05.0000 09/16/2044 0.13%
GNR 2014-182 BI IO 04.0000 01/20/2039 0.13%
GNR 2015-40 IO IO 04.0000 03/20/2045 0.13%
GNR 2016-H08 GI IO 01.4308 04/20/2066 0.13%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FNR 12-118 PI IO 04.0000 06/25/2042 0.12%
GNMA GII30 MA2828 04.5000 05/20/2045 0.12%
GNR 2015-H16 XI IO 02.2329 07/20/2065 0.12%
FHR 4201 JI IO 03.0000 12/15/2041 0.11%
FNMA FN30 735227 05.5000 02/01/2035 0.11%
FNMA FN30 AX5516 04.0000 03/01/2046 0.11%
FNR 2012-104 HI IO 04.0000 09/25/2027 0.11%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.11%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.11%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.11%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.11%
TEMP GNH-537 AI IO 01.6257 08/20/2067 0.11%
2.25 R ISWP FWD US0003M P 12/20/2027 0.10%
FHR 4018 DI IO 04.5000 07/15/2041 0.10%
FHR 4122 TI IO 04.5000 10/15/2042 0.10%
FHR 4141 PI IO 03.0000 12/15/2042 0.10%
FHR 4165 AI IO 03.5000 02/15/2043 0.10%
FNMA FN30 AV7053 04.0000 02/01/2045 0.10%
FNR 2005-122 SE 18.7697 11/25/2035 0.10%
FNR 2007-53 SP 19.6635 06/25/2037 0.10%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.10%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.10%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.10%
GNR 2014-160 IB IO 03.0000 11/20/2040 0.10%
GNR 2017-H06 EI IO 01.5744 02/20/2067 0.10%
GNR 2017-H14 JI IO 02.1438 06/20/2067 0.10%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.10%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 0.10%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.10%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.10%
FHLMC FH30G Q41954 03.5000 07/01/2046 0.09%
FHR 3408 EK 20.8259 04/15/2037 0.09%
FHR 4136 ES IO 05.0156 11/15/2042 0.09%
FNMA FN30 AX5490 04.0000 10/01/2045 0.09%
FNR 2013-53 JI IO 03.0000 12/25/2041 0.09%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.09%
GNR 2014-147 MI IO 03.5000 07/20/2039 0.09%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.09%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.09%
FEDERAL HOME LOAN MTG CORP 0.08%
FHR 2990 LB 13.7906 06/15/2034 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
FNMA FN30 AX5560 03.5000 11/01/2046 0.08%
FNMA FN30 AX5565 03.5000 12/01/2046 0.08%
FNR 2006-8 HP 20.0302 03/25/2036 0.08%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.08%
GNMA GII30 AJ4184 04.5000 09/20/2044 0.08%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.08%
GNR 2012-47 CI IO 04.0000 03/20/2042 0.08%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.08%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.08%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.08%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.08%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.08%
FEDERAL NATIONAL MORTGAGE ASSN 0.07%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.07%
FHS 304 C37 IO 03.5000 12/15/2027 0.07%
FNMA FN30 889560 06.0000 06/01/2038 0.07%
FNMA FN30 AL4158 06.0000 10/01/2040 0.07%
FNR 2006-62 PS 32.4767 07/25/2036 0.07%
FNR 2012-151 PI IO 03.0000 01/25/2043 0.07%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.07%
GNMA GII30 AQ6653 04.5000 09/20/2045 0.07%
GNR 2011-71 IK IO 04.0000 04/16/2039 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 2014-141 CI IO 03.0000 03/20/2040 0.07%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.07%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.07%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.07%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.07%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.07%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.07%
FHLMC FH30G Q41722 03.5000 07/01/2046 0.06%
FHR 3996 IK IO 04.0000 03/15/2039 0.06%
FHR 4183 MI IO 03.0000 02/15/2042 0.06%
FHR 4199 CI IO 03.5000 12/15/2037 0.06%
FNR 2005-75 GS 16.5383 08/25/2035 0.06%
FNR 2012-124 JI IO 03.5000 11/25/2042 0.06%
FNR 2012-62 MI IO 04.0000 03/25/2041 0.06%
GNMA GII30 AJ4182 04.5000 09/20/2044 0.06%
GNR 2010-114 MI IO 04.0000 03/20/2039 0.06%
GNR 2010-158 OP PO 00.0000 12/20/2040 0.06%
GNR 2011-18 PI IO 04.5000 08/20/2040 0.06%
GNR 2014-102 IG IO 03.5000 03/16/2041 0.06%
SWPTN 5WX10Y R 2.22 USD 10/30/2017 GS 0.06%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.06%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.05%
FHLMC FH30G Q40366 03.5000 05/01/2046 0.05%
FNMA FN30 BD9021 03.5000 01/01/2047 0.05%
FNR 2012-145 TI IO 03.0000 11/25/2042 0.05%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.05%
FNR 2013-23 PI IO 03.0000 10/25/2041 0.05%
GNMA GII30 AH8780 04.5000 06/20/2044 0.05%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.05%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.05%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.05%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 0.05%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.05%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.05%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.05%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.05%
SWPTN 5WX10Y R 2.214 USD 10/30/2017 BA 0.05%
SWPTN LIABILITY 5WX10Y P 2.306 USD 10/30/2017 BA 0.05%
SWPTN LIABILITY 5WX10Y R 2.304 USD 10/30/2017 GS 0.05%
SWPTN LIABILITY 5WX10Y R 2.306 USD 10/30/2017 BA 0.05%
2.201 R ISWP US0003M P 10/03/2027 0.04%
FEDERAL HOME LOAN MTG CORP 0.04%
FNR 2008-53 DO PO 00.0000 07/25/2038 0.04%
FNR 2013-35 IP IO 03.0000 06/25/2042 0.04%
GNMA GII30 AL1906 04.5000 01/20/2045 0.04%
GNR 2011-81 SB IO 05.4706 11/16/2036 0.04%
GNR 2013-6 OI IO 05.0000 01/20/2043 0.04%
OPTN FN30 3.5 11/06/17 CALL 103.0703125 JPMC 0.04%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.04%
SWPTN 2MX10Y P 2.41625 USD 10/27/2017 CS 0.04%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.04%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.04%
SWPTN 3MX1Y P 1.6775 USD 11/30/2017 GS 0.04%
SWPTN 5WX10Y P 2.398 USD 10/30/2017 BA 0.04%
FHLMC FH30G Q43786 03.5000 07/01/2046 0.03%
FHLMC FH30G Q43867 03.5000 10/01/2046 0.03%
FHR 2976 LC 19.8937 05/15/2035 0.03%
FHR 3249 PS 18.2013 12/15/2036 0.03%
FN30 04.500 2009 0.03%
FNMA FN30 AD0095 06.0000 11/01/2038 0.03%
FNMA FN30 AL3671 06.0000 05/01/2041 0.03%
FNR 2005-83 QP 14.1772 11/25/2034 0.03%
FNR 2011-123 KS IO 05.3628 10/25/2041 0.03%
GNMA GII30 AH5494 04.5000 10/20/2044 0.03%
GNMA GII30 AK7899 04.5000 01/20/2045 0.03%
GNR 2012-71 JI IO 03.5000 04/16/2041 0.03%
OPTN FN30 3.0 12/06/17 PUT 100.328125 JPMC 0.03%
OPTN FN30 3.0 12/06/17 PUT 100.421875 JPMC 0.03%
OPTN FN30 3.0 12/06/17 PUT 100.515625 JPMC 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.03%
SWPTN 5WX10Y R 2.1565 USD 10/27/2017 CI 0.03%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 0.03%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 0.03%
SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI 0.03%
SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI 0.03%
SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI 0.03%
SWPTN LIABILITY 15DX10Y P 2.3 USD 10/13/2017 GS 0.03%
SWPTN LIABILITY 15DX10Y R 2.3 USD 10/13/2017 GS 0.03%
2.2405 R ISWP US0003M P 10/03/2027 0.02%
2.2495 R ISWP US0003M P 10/03/2027 0.02%
FHLMC FH30G Q41595 03.5000 07/01/2046 0.02%
FHLMC FH30G Q41926 03.5000 07/01/2046 0.02%
FHLMC FH30G Q42278 03.5000 08/01/2046 0.02%
FNMA FN30 889683 06.0000 07/01/2038 0.02%
FNMA FN30 AD0207 06.0000 10/01/2038 0.02%
FNR 2005-74 NK 21.3139 05/25/2035 0.02%
GNMA GII30 AK9690 04.5000 01/20/2045 0.02%
SWPTN 15DX10Y P 2.39 USD 10/13/2017 GS 0.02%
SWPTN 15DX10Y R 2.21 USD 10/13/2017 GS 0.02%
SWPTN 1MX10Y R 2.135 USD 10/23/2017 CI 0.02%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.02%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.02%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
1.80 R ISWP FWD US0003M P 12/20/2019 0.01%
FEDERAL HOME LOAN MTG CORP 0.01%
FEDERAL NATIONAL MORTGAGE ASSN 0.01%
FEDERAL NATIONAL MORTGAGE ASSN 0.01%
FH30G 04.500 2007 0.01%
FHLMC FH30G Q42467 03.5000 06/01/2046 0.01%
FHLMC FH30G Q43793 03.5000 07/01/2046 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 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 AL1566 06.0000 09/01/2040 0.01%
FNMA FN30 AL6868 06.0000 05/01/2041 0.01%
FNR 2001-50 BI IO 00.4029 10/25/2041 0.01%
FNR 2007-44 CO PO 00.0000 05/25/2037 0.01%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.01%
FNR 2008-36 OV PO 00.0000 01/25/2036 0.01%
GNMA GII30 757211 04.5000 12/20/2040 0.01%
GNMA GII30 AJ9124 04.5000 12/20/2044 0.01%
GNMA GII30 AK0502 04.5000 10/20/2044 0.01%
IOS.FN30.400.13 R USL1M P 01/12/44 CS 0.01%
OPTN FN30 3.0 11/06/17 CALL 100.23828125 JPMC 0.01%
OPTN FN30 3.0 11/06/17 CALL 100.90625 JPMC 0.01%
SWPTN 1MX10Y P 2.53 USD 10/23/2017 JP 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.01%
SWPTN 3MX1Y R 1.6525 USD 12/20/2017 CI 0.01%
SWPTN 5WX10Y P 2.456 USD 10/16/2017 JP 0.01%
SWPTN 5WX10Y P 2.55 USD 10/27/2017 GS 0.01%
SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI 0.01%
2.05 R ISWP FWD US0003M P 12/20/2022 0.00%
2.2935 R ISWP US0003M P 10/02/2027 0.00%
2.30 R ISWP FWD US0003M P 10/17/2027 0.00%
2.304 R ISWP FWD US0003M P 11/01/2027 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 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%
FHR 3117 AF 00.0000 02/15/2036 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FN15 05.000 2006 0.00%
FN15 05.500 2006 0.00%
FN15 06.000 2007 0.00%
FNMA FN30 256349 06.0000 08/01/2036 0.00%
FNMA FN30 256553 06.0000 01/01/2037 0.00%
FNMA FN30 879494 06.0000 02/01/2036 0.00%
FNMA FN30 887618 06.0000 07/01/2036 0.00%
FNMA FN30 902070 06.0000 12/01/2036 0.00%
FNR 1988-12 B 00.0000 02/25/2018 0.00%
FNR 2001-79 BI IO 00.2932 03/25/2045 0.00%
FNW 2003-W11 A1 04.4263 06/25/2033 0.00%
FNW 2003-W14 2A 03.9111 01/25/2043 0.00%
FNW 2003-W3 1A4 03.5152 08/25/2042 0.00%
FNW 2004-W2 4A 03.1744 02/25/2044 0.00%
FNW 2004-W7 A2 04.1761 03/25/2034 0.00%
FSPC T-57 2A1 03.5760 07/25/2043 0.00%
GN30 06.000 2008 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00%
IOS.FN30.350.13 P US0001M R 01/12/44 JP 0.00%
IOS.FN30.350.13 R USL1M P 01/12/44 CS 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.09 R USL1M P 01/12/40 GS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 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 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 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 BC 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.00%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 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.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
OPTN FN30 3.0 11/06/17 CALL 101.78125 JPMC 0.00%
SWPTN 1MX10Y R 1.892 USD 10/05/2017 CS 0.00%
SWPTN 3MX10Y P 2.6 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y P 2.62 USD 10/27/2017 GS 0.00%
SWPTN 3MX10Y R 1.95 USD 11/03/2017 GS 0.00%
SWPTN 3MX10Y R 1.995 USD 10/31/2017 GS 0.00%
SWPTN 3MX10Y R 2.015 USD 10/27/2017 GS 0.00%
SWPTN 3MX1Y P 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.296 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.495 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.541 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.585 USD 10/06/2017 JP 0.00%
SWPTN 3MX1Y R 1.619 USD 10/20/2017 GS 0.00%
SWPTN 3MX1Y R 1.6775 USD 11/30/2017 GS 0.00%
SWPTN 3MX1Y R 1.755 USD 11/10/2017 CI 0.00%
SWPTN 3MX1Y R 1.796 USD 10/20/2017 GS 0.00%
SWPTN 3MX3Y P 1.993 USD 10/06/2017 JP 0.00%
SWPTN 3MX3Y R 1.783 USD 10/06/2017 JP 0.00%
SWPTN 4WX10Y R 2.09275 USD 10/13/2017 GS 0.00%
SWPTN 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
SWPTN 5WX10Y R 1.925 USD 10/10/2017 GS 0.00%
SWPTN 5WX10Y R 2.023 USD 10/16/2017 CI 0.00%
SWPTN 5WX10Y R 2.03 USD 10/10/2017 GS 0.00%
SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP 0.00%
SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP 0.00%
SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI 0.00%
SWPTN 7WX10Y R 1.905 USD 10/27/2017 CI 0.00%
SWPTN 7WX10Y R 2.033 USD 10/27/2017 CI 0.00%
SWPTN LIABILITY 5WX10Y P 2.554 USD 10/30/2017 GS 0.00%
US 10YR NOTE (CBT)DEC17 TYZ7 0.00%
US 10YR ULTRA FUT DEC17 UXYZ7 0.00%
US 2YR NOTE (CBT) DEC17 TUZ7 0.00%
US 5YR NOTE (CBT) DEC17 FVZ7 0.00%
US LONG BOND(CBT) DEC17 USZ7 0.00%
US ULTRA BOND CBT DEC17 WNZ7 0.00%
CPURNSA P 2.05 R 07/05/27 -0.01%
OPTN FN30 3.0 11/06/17 CALL 101.34375 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.2109375 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.3046875 JPMC -0.01%
OPTN FN30 3.0 12/06/17 PUT 99.3984375 JPMC -0.01%
SWPTN 3MX10Y P 2.5525 USD 11/03/2017 GS -0.01%
SWPTN 3MX1Y R 2.0 USD 12/20/2017 CI -0.01%
SWPTN 4WX10Y R 2.18375 USD 10/13/2017 GS -0.01%
IOS.FN30.400.11 P USL1M R 01/12/42 JP -0.02%
OPTN FN30 3.0 11/06/17 PUT 100.23828125 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.76953125 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.86328125 JPMC -0.02%
OPTN FN30 3.0 12/06/17 PUT 99.95703125 JPMC -0.02%
SWPTN 1MX10Y R 2.227 USD 10/23/2017 CI -0.02%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI -0.02%
SWPTN LIABILITY 15DX10Y P 2.39 USD 10/13/2017 GS -0.02%
SWPTN LIABILITY 15DX10Y R 2.21 USD 10/13/2017 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
2.50 R ISWP FWD US0003M P 12/20/2047 -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.03%
SWPTN 15DX10Y P 2.3 USD 10/13/2017 GS -0.03%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.03%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.03%
SWPTN 3MX1Y P 1.495 USD 11/30/2017 GS -0.03%
SWPTN 5WX10Y P 2.313 USD 10/16/2017 CI -0.03%
SWPTN 5WX10Y R 2.253 USD 10/27/2017 CI -0.03%
FLR USL3M 6.00 03/07/2018 JP -0.04%
OPTN FN30 3.5 11/06/17 PUT 103.0703125 JPMC -0.04%
SWPTN 15DX10Y R 2.3 USD 10/13/2017 GS -0.04%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.04%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.04%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA -0.04%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.04%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.04%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.04%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA -0.05%
SWPTN LIABILITY 5WX10Y P 2.398 USD 10/30/2017 BA -0.05%
SWPTN LIABILITY 5WX10Y R 2.214 USD 10/30/2017 BA -0.05%
SWPTN LIABILITY 5WX10Y R 2.22 USD 10/30/2017 GS -0.05%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS -0.06%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -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 2YX1Y R 1.919 USD 08/15/2019 JP -0.07%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.07%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.07%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.08%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.08%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.08%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS -0.08%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP -0.09%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.09%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.10%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.10%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.10%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.10%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.10%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.10%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.10%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.10%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.11%
SWPTN 5WX10Y P 2.284 USD 10/16/2017 JP -0.12%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.13%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.15%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.18%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.18%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS -0.20%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.22%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.22%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.27%
FNMA FN30 TBA 03.5000 10/01/2047 -0.52%
GNMA GII30 TBA 03.5000 10/01/2047 -2.90%
FNMA FN30 TBA 04.0000 11/01/2047 -3.20%

Prior top 10 holdings

Top 10 holdings as of 10/31/17
Us Treasury N/B 04.5000 08/15/2039
Fnma Fn30 Tba 02.5000 11/01/2047
Us Treasury N/B 06.2500 08/15/2023
Gnma Gii30 Tba 04.5000 11/01/2047
Us Treasury N/B 07.1250 02/15/2023
Fhlmc Fh30g G61000 03.5000 05/01/2047
Fhlmc Fh30g G60722 03.0000 10/01/2046
Fnr 2007-95 A3 01.4879 08/27/2036
Gnma Gii30 Tba 03.0000 11/01/2047
Gnma Gii30p 784109 04.0000 10/20/2045
Holdings represent 47.82% of portfolio
Top 10 holdings as of 09/30/17
Us Treasury N/B 04.5000 08/15/2039
Fnma Fn30 Tba 02.5000 10/01/2047
Us Treasury N/B 06.2500 08/15/2023
Us Treasury N/B 07.1250 02/15/2023
Fnma Fn30 Tba 04.5000 11/01/2047
Fhlmc Fh30g G60722 03.0000 10/01/2046
Fhlmc Fh30g G61000 03.5000 05/01/2047
Fnr 2007-95 A3 01.4872 08/27/2036
Gnma Gii30 Tba 03.0000 10/01/2047
Fhs 315 Po Po 00.0000 09/15/2043
Holdings represent 45.81% of portfolio
Top 10 holdings as of 08/31/17
Us Treasury N/B 04.5000 08/15/2039
Fnma Fn30 Tba 02.5000 09/01/2047
Us Treasury N/B 06.2500 08/15/2023
Fnma Fn30 Tba 04.5000 09/01/2047
Fnma Fn30 Tba 03.0000 10/01/2047
Us Treasury N/B 07.1250 02/15/2023
Fhlmc Fh30g G61000 03.5000 05/01/2047
Fnr 2007-95 A3 01.4844 08/27/2036
Gnma Gii30 Tba 03.0000 09/01/2047
Fhs 315 Po Po 00.0000 09/15/2043
Holdings represent 48.98% of portfolio
Top 10 holdings as of 07/31/17
Us Treasury N/B 04.5000 08/15/2039
Fnma Fn30 Tba 02.5000 09/01/2047
Us Treasury N/B 06.2500 08/15/2023
Fnma Fn30 Tba 04.5000 09/01/2047
Us Treasury N/B 07.1250 02/15/2023
Fhlmc Fh30g G61000 03.5000 05/01/2047
Fnr 2007-95 A3 01.4822 08/27/2036
Gnma Gii30 Tba 03.0000 08/01/2047
Fnma Fn30 Tba 03.0000 09/01/2047
Fhs 315 Po Po 00.0000 09/15/2043
Holdings represent 46.29% of portfolio

Fixed income statistics as of 10/31/17

Average effective maturity 11.35 yrs.
Average effective duration 4.41 yrs.
Average yield to maturity 3.07%
Average coupon 4.02%
Average price $88.48

Sector weightings as of 10/31/17

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 34.59% 2.31 9.58% 0.65 44.17% 2.96
Agency CMO 32.34% 1.31 0.74% 0.03 33.08% 1.34
U.S. Treasury/agency 23.80% 2.61 0.00% 1.88 23.80% 4.49
Net cash 8.93% 0.00 0.00% 0.00 8.93% 0.00
Asset-backed securities (ABS) 0.34% 0.00 0.00% 0.00 0.34% 0.00
Interest rate swaps 0.00% 0.00 0.00% -2.53 0.00% -2.53

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 10/31/17

0 - 1 yr. -2.19%
1 - 5 yrs. 7.05%
5 - 10 yrs. 72.02%
10 - 15 yrs. 8.87%
Over 15 yrs. 14.25%

Quality rating as of 10/31/17

AAA 100.66%
A 9.29%
Not Rated -9.95%

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 in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to periods of high volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.


Expenses

Expense ratio

Class A Class B Class C Class M Class R Class R5 Class R6 Class Y
Total expense ratio 0.94% 1.69% 1.69% 1.19% 1.19% 0.62% 0.55% 0.69%
What you pay 0.94% 1.69% 1.69% 1.19% 1.19% 0.62% 0.55% 0.69%

Sales charge

Investment Breakpoint Class A Class B Class C Class M Class R Class R5 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 R5 Class R6 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 Government Bond Index is an unmanaged index of U.S. Treasury and government agency 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 in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to periods of high volatility and reduced liquidity in the fund's portfolio holdings. You can lose money by investing in the fund.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.