Putnam Allstate Advisor Plus

Putnam Income Subaccount

The subaccount seeks high current income consistent with what Putnam Management believes to be prudent risk.

Fund description

The subaccount takes a flexible approach to pursuing high current income by diversifying across a range of fixed-income sectors. These sectors include, but are not limited to, investment-grade corporate bonds, mortgage-backed securities, U.S. Treasuries, and high-yield corporate bonds. The subaccount seeks to capitalize on those market sectors and maturities

Sales story

Pursuing income with an all-weather bond portfolioDiverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed, corporate, and government bonds.A flexible strategy: The portfolio managers pursue an attractive level of income, adjusting the portfolio to favor attractive sectors as interest rates and market conditions change.Leading research: The managers, supported by Putnam's fixed-income research division, analyze a range of bonds to build a competitive portfolio.

Management team

Daily pricing as of 07/15/19

with optional enhanced death benefits
Unit Value $19.703997 $19.130751
Unit Value Change 0.0329 0.031707

Lipper ranking ‡ as of 06/30/19

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/74
1 yr. 13% 14/111
3 yrs. 2% 2/100
5 yrs. 43% 41/95

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Quick facts as of 06/30/19

Fiscal Year End December
Asset Class Putnam Allstate Advisor Plus
Subaccount Status Open to new investors
Number of issues 1079
Turnover (fiscal year end) 566%
Net Assets $247M
Inception Date 02/01/88

Performance

Performance as of 06/30/19

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 3.71% 7.25% 6.47% 2.78% 1.25% 4.95% 4.45%
Standardized -4.29% -0.75% -1.53% 0.20% 0.08% 4.95% 4.45%
With optional enhanced death benefit
Unit Value 3.67% 7.17% 6.31% 2.63% 1.10% 4.79% 4.29%
Standardized -4.33% -0.83% -1.69% 0.03% -0.08% 4.79% 4.29%
Actual performance
Unit Value 3.71% 7.25% 6.47% 2.78% 1.25% 4.95% 3.60%
Standardized -4.29% -0.75% -1.53% 0.20% 0.08% 4.95% 3.60%
With optional enhanced death benefit
Unit Value 3.67% 7.17% 6.31% 2.63% 1.10% 4.79% 3.45%
Standardized -4.33% -0.83% -1.69% 0.03% -0.08% 4.79% 3.45%

Annual Performance at NAV

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
44.31% 8.11% 3.33% 8.97% 0.24% 4.75% -3.04% 0.37% 3.91% -1.41%
With optional enhanced death benefit
44.09% 7.95% 3.17% 8.80% 0.09% 4.59% -3.18% 0.22% 3.75% -1.56%

Restated performance

Monthly as of 06/30/19

Unit Value 1.34%
Standardized -6.66%

YTD as of 07/15/19

Unit Value 7.07%
Standardized -0.93%

With optional enhanced death benefit

Monthly as of 06/30/19

Unit Value 1.32%
Standardized -6.68%

YTD as of 07/15/19

Unit Value 6.98%
Standardized -1.02%

Unit values and performance information shown apply to the specific annuity product listed, not the underlying Putnam Variable Trust fund. This information should not be used by investors who hold an interest in Putnam Variable Trust funds through a different annuity or other variable product. The unit values and performance of other variable products that offer Putnam Variable Trust funds may be higher or lower due to product charges and expenses or other factors.

Data is historical. Past performance is no guarantee of future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units.

Returns shown for the subaccounts for periods before their inception are derived from the historical performance of the underlying fund, adjusted to reflect the mortality, expense risk, and surrender charges applicable to this product and do not factor in the annual $30 contract maintenance fee. Additional riders and options for insurance-related charges will increase expenses and lower returns. Please see the prospectus for details. For a portion of the period, subaccounts may have limited expenses, without which returns would have been lower.

Variable annuities are long-term investments designed for retirement purposes. Putnam Capital Manager products are flexible-premium variable annuities held by Talcott Resolution Life, Inc., Simsbury, CT.

Putnam Allstate variable annuities are flexible-premium deferred variable annuities issued by Allstate Life Insurance Company (Allstate Life); underwritten by Allstate Distributors, L.L.C., both of Northbrook, IL; and sold through registered representatives or bank employees who are licensed insurance agents. Please check for availability in your specific state.

These policies have limitations and are sold by prospectus only. The prospectus contains details on the variable annuity, the subaccounts, contract features, fees, expenses, and other pertinent information.

Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund before investing. For a prospectus containing this and other information for any variable annuity or variable life product that invests in Putnam Variable Trust funds, contact your financial advisor for a contract prospectus and prospectus for the underlying funds. You may also call Talcott Resolution at 1-800-521-0538 or Allstate at 1-800-390-1277. Read the prospectuses carefully before investing.

For the most recent month-end performance, please call Talcott Resolution at 1-800-521-0538 or Allstate at 1-800-390-1277.

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Risk Characteristics as of 06/30/19

Avg. Eff. Maturity 7.68
Avg. Price 91.60
Avg. Eff. Duration 5.87
Avg. Coupon 4.65
Avg. Yield to Maturity 4.06
Alpha (%) --
Beta 0.92
R Squared 0.79
Standard Deviation (3 yrs.) 3.11

Maturity Details

0 to 1 yr. -1.08%
1 to 5 yrs. 46.93%
5 to 10 yrs. 46.50%
10 to 15 yrs. 1.21%
Over 15 yrs. 6.44%

Quality Ratings

AAA 46.92%
AA 9.86%
A 13.95%
BBB 24.39%
BB 4.68%
B 3.23%
CCC and Below 0.76%
Not Rated -3.79%

Holdings

Top 10 holdings as of 06/30/19

Fnma Fn30 Tba Umbs 03.5000 08/01/2049 4.54%
Fnma Fn30 Tba Umbs 04.0000 08/01/2049 2.92%
Gnma Gii30 Tba 04.5000 07/01/2049 2.11%
Gnma Gii30 Tba 03.5000 07/01/2049 2.09%
Gnma Gii30 Tba 04.0000 07/01/2049 1.68%
Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.67%
Bf0101 03.5000 06/01/2056 0.98%
Fnma Fn40 Bf0169 3.500000 01/01/2057 0.98%
Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.88%
Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.86%
Top 10 holdings, total: 18.71%

Full Portfolio Holdings as of 03/31/19

FNMA FN30 TBA 04.0000 04/01/2049 4.79%
FNMA FN30 TBA 03.5000 04/01/2049 2.58%
GNMA GII30 TBA 04.5000 04/01/2049 2.20%
GNMA GII30 TBA 03.5000 04/01/2049 2.16%
GNMA GII30 TBA 04.0000 04/01/2049 1.75%
FNMA FN30 TBA 03.5000 05/01/2049 1.29%
FNMA FN40 BF0169 3.500000 01/01/2057 1.05%
BF0101 03.5000 06/01/2056 1.03%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 1.00%
FNMA FN30 TBA 06.0000 04/01/2049 0.91%
FNMA FN30 TBA 05.5000 04/01/2049 0.90%
WAMU 2005-AR13 A1C4 02.9155 10/25/2045 0.89%
FNMA FN30 TBA 03.0000 05/01/2049 0.84%
STACR 2015-DNA3 M2 05.3355 04/25/2028 0.84%
CAS 2016-C03 2M2 08.3855 10/25/2028 0.79%
FNMA FN40 BF0219 03.5000 09/01/2057 0.78%
STACR 2015-DN1 M3 06.6355 01/25/2025 0.73%
CAS 2016-C03 1M2 07.7855 10/25/2028 0.71%
FHS 315 PO PO 00.0000 09/15/2043 0.70%
FNMA FN30 AS7363 03.0000 06/01/2046 0.68%
BMIR 2017-1 M2 P/P 144A 05.8355 10/25/2027 0.67%
2.65 R ISWP FWD US0003M P 06/19/2029 0.66%
GNMA GII30 MA5194 05.0000 05/20/2048 0.65%
GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 0.65%
SPST 2018-1 A 03.3811 04/24/2019 0.65%
AT&T INC 04.3500 03/01/2029 0.62%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.62%
STACR 2016-HQA1 M3 08.8355 09/25/2028 0.58%
BCAP 2015-RR5 2A2 03.4017 01/26/2046 0.54%
FNMA FN30 AL8994 04.0000 09/01/2045 0.54%
FHLMC FH30G G60314 04.0000 09/01/2045 0.53%
CAS 2017-C01 1M2 06.0355 07/25/2029 0.51%
SPST 2018-3 A 03.1811 07/24/2019 0.51%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.50%
SWPTN 10YX10Y R 3.295 USD 11/29/2028 BA 0.49%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.49%
WAMU 2005-AR17 A1B2 02.8955 12/25/2045 0.49%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.48%
WFRBS 2012-C10 D P/P 144A 04.4419 12/15/2045 0.48%
CITIGROUP INC 04.4500 09/29/2027 0.46%
ELANCO ANIMAL HEALTH P/P 144A 04.9000 08/28/2028 0.46%
SWPTN 1YX10Y R 2.7475 USD 02/13/2020 GS 0.46%
GNMA GII30 MA5266 05.0000 06/20/2048 0.45%
FNMA FN30 TBA 04.5000 04/01/2049 0.44%
CIGNA CORP P/P 144A 03.7500 07/15/2023 0.43%
GNMA GII30 BG6074 04.0000 04/20/2048 0.43%
GNMA GII30 TBA 03.0000 04/01/2049 0.43%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.43%
STACR 2019-DNA2 M2 04.9368 03/25/2049 0.43%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.39%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.39%
CIT GROUP INC. 05.2500 03/07/2025 0.38%
GNMA GII30 635173 03.5000 02/20/2047 0.38%
BP CAP MARKETS AMERICA 03.9370 09/21/2028 0.37%
FNMA FN30 AS8684 03.5000 01/01/2047 0.37%
FNR 2019-3 SA IO 03.6145 02/25/2049 0.37%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.36%
JPMBB 2013-C14 D P/P 144A 04.5639 08/15/2046 0.36%
SPST 2018-5 A 03.1811 09/24/2019 0.36%
COMM 2014-CR17 C 04.8426 05/10/2047 0.35%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.35%
FNMA FN30 BC1489 03.0000 08/01/2046 0.35%
FNMA FN30 BM1172 03.0000 03/01/2047 0.35%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.35%
BSCMS 2006-PW11 B P/P 144A 05.2509 03/11/2039 0.34%
FHR 3835 FO PO 00.0000 04/15/2041 0.34%
FNMA FN30 BC1445 03.0000 07/01/2046 0.34%
STACR 2016-DNA3 M3 07.4855 12/25/2028 0.34%
GNR 2016-H23 NI IO 02.2332 10/20/2066 0.33%
MORGAN STANLEY 04.3750 01/22/2047 0.33%
MSBAM 2013-C10 E P/P 144A 04.0851 07/15/2046 0.32%
SALESFORCE.COM INC 03.7000 04/11/2028 0.32%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.32%
FHLMC FH30G G60861 03.5000 01/01/2047 0.31%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.31%
WFRBS 2013-C15 D P/P 144A 04.4721 08/15/2046 0.31%
UBSBB 2012-C2 E P/P 144A 04.8925 05/10/2063 0.30%
CBS CORP 04.2000 06/01/2029 0.29%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.29%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.29%
STACR 2016-HQA2 M3 07.6355 11/25/2028 0.29%
MICROSOFT CORP 03.7000 08/08/2046 0.28%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.27%
EMIR 2018-1 M1 04.1855 11/25/2028 0.27%
FNMA FN30 BC0960 04.0000 06/01/2046 0.27%
JPMCC 2011-C3 F P/P 144A 05.6616 02/15/2046 0.27%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.27%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.27%
WFRBS 2014-C22 XA IO 00.8451 09/15/2057 0.27%
DIGITAL REALTY TRUST LP 04.4500 07/15/2028 0.26%
FISERV INC 04.2000 10/01/2028 0.26%
GNR 2016-H02 HI IO 01.8663 01/20/2066 0.26%
GSMS 2014-GC22 XA IO 00.9894 06/10/2047 0.26%
ORACLE CORP 02.6500 07/15/2026 0.26%
CFCRE 2011-C2 E P/P 144A 05.7568 12/15/2047 0.25%
FHLMC FH30G V80357 03.5000 08/01/2043 0.25%
NUTRIEN LTD USD 04.2000 04/01/2029 0.25%
SWPTN 10YX10Y P 3.295 USD 11/29/2028 BA 0.25%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.24%
AMERICAN ELECTRIC POWER 04.3000 12/01/2028 0.24%
CAS 2018-C04 2M2 05.0355 12/25/2030 0.24%
FNMA FN30 AU1625 03.5000 07/01/2043 0.24%
FNMA FN30 AY8222 04.5000 05/01/2045 0.24%
FNMA FN30 BD0959 03.5000 06/01/2046 0.24%
GNR 2019-H02 DI IO 02.2040 11/20/2068 0.24%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.24%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.23%
AT&T INC 04.1000 02/15/2028 0.23%
EOG RESOURCES INC 04.1500 01/15/2026 0.23%
FNMA FN30 BD0189 03.5000 06/01/2046 0.23%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.23%
GNR 2014-180 IO IO 05.0000 12/20/2044 0.23%
HSBC HOLDINGS PLC USD 06.3750 12/29/2049 0.23%
INTERPUBLIC GROUP COS 04.6500 10/01/2028 0.23%
JPMCC 2012-C6 E P/P 144A 05.1568 05/15/2045 0.23%
UNITEDHEALTH GROUP INC 03.8500 06/15/2028 0.23%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.22%
BPCE SA P/P 144A 04.5000 03/15/2025 0.22%
DUKE ENERGY OHIO INC 03.6500 02/01/2029 0.22%
FNMA FN30 AS4991 03.5000 05/01/2045 0.22%
FNMA FN30 AX7296 04.5000 12/01/2044 0.22%
FNR 2018-94 SA IO 03.6145 01/25/2049 0.22%
GNR 2012-149 GS IO 03.7123 12/20/2042 0.22%
GSMS 2010-C1 D P/P 144A 06.0520 08/10/2043 0.22%
GSMS 2014-GC24 D P/P 144A 04.5297 09/10/2047 0.22%
MICROSOFT CORP 02.4000 08/08/2026 0.22%
WILLIAMS COMPANIES INC 04.3000 03/04/2024 0.22%
CGCMT 2014-GC19 X IO 01.1645 03/10/2047 0.21%
CITIGROUP INC 03.6680 07/24/2028 0.21%
FHLMC FH30G V80012 03.0000 03/01/2043 0.21%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.21%
GNMA GII30 BD1731 03.5000 01/20/2048 0.21%
GNMA GII30 BE1441 03.5000 11/20/2047 0.21%
WEC ENERGY GROUP INC 04.7963 05/15/2067 0.21%
WFRBS 2013-C14 XA IO 00.7388 06/15/2046 0.21%
3.073 R ISWP FWD US0003M P 03/04/2029 0.20%
BSCMS 2007-T26 AJ 05.4599 01/12/2045 0.20%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.20%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.20%
OSHKOSH CORP 04.6000 05/15/2028 0.20%
SPST 2018-8 A 03.1811 02/24/2020 0.20%
VODAFONE GROUP PLC USD 04.3750 05/30/2028 0.20%
ZOETIS INC 03.9000 08/20/2028 0.20%
BMIR 2018-2A M1B P/P 144A 03.8355 08/25/2028 0.19%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.19%
GNR 2014-H07 BI IO 01.4801 05/20/2064 0.19%
GNR 2017-H08 NI IO 02.6325 03/20/2067 0.19%
GNR 2017-H14 EI IO 01.4927 06/20/2067 0.19%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.19%
GSMS 2013-GC10 E P/P 144A 04.3977 02/10/2046 0.19%
KEURIG DR PEPPER INC P/P 144A 04.5970 05/25/2028 0.19%
MICROCHIP TECH INC P/P 144A 04.3330 06/01/2023 0.19%
UBSBB 2012-C2 F P/P 144A 04.8925 05/10/2063 0.19%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.19%
GNR 2014-H11 GI IO 01.4829 06/20/2064 0.18%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.18%
JPMBB 2014-C22 XA IO 00.8635 09/15/2047 0.18%
ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 0.18%
STACR 2017-HQA1 M2 06.0355 08/25/2029 0.18%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.18%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.18%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.18%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.18%
ALPHABET INC 01.9980 08/15/2026 0.17%
BACM 2005-1 B 05.5068 11/10/2042 0.17%
BANCO SANTANDER SA USD 04.3790 04/12/2028 0.17%
BMW US CAPITAL LLC P/P 144A 03.9500 08/14/2028 0.17%
BP CAP MARKETS AMERICA 03.1190 05/04/2026 0.17%
CAS 2018-C05 1M2 04.8355 01/25/2031 0.17%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.17%
CSAIL 2015-C1 D P/P 144A 03.7956 04/15/2050 0.17%
DBUBS 2011-LC3A D P/P 144A 05.3390 08/10/2044 0.17%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.17%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.17%
GNMA GII30 BD1729 03.5000 01/20/2048 0.17%
GNMA GII30 BF6125 04.0000 02/20/2048 0.17%
GNMA GII30 BG4860 04.5000 05/20/2048 0.17%
GNR 2015-H13 AI IO 01.7744 06/20/2065 0.17%
JPMCC 2012-C8 D P/P 144A 04.6530 10/15/2045 0.17%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.17%
LNSTR 2015-3 C P/P 144A 03.1280 04/20/2048 0.17%
NORTHROP GRUMMAN CORP 03.2500 01/15/2028 0.17%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.17%
ANHEUSER-BUSCH CO/IN P/P 144A 03.6500 02/01/2026 0.16%
APPLE INC 04.3750 05/13/2045 0.16%
BMIR 2017-1 M1 P/P 144A 04.1855 10/25/2027 0.16%
COMCAST CORP 03.1500 03/01/2026 0.16%
CVS HEALTH CORP 04.7800 03/25/2038 0.16%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.16%
GNR 2017-H10 MI IO 01.8010 04/20/2067 0.16%
GNR 2017-H12 QI IO 02.1513 05/20/2067 0.16%
GSMS 2013-GC10 XA IO 01.5164 02/10/2046 0.16%
INTL FLAVOR & FRAGRANCES 04.4500 09/26/2028 0.16%
JPMBB 2013-C14 E P/P 144A 04.5639 08/15/2046 0.16%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.16%
UBSBB 2012-C2 XA IO P/P 144A 01.3229 05/10/2063 0.16%
UBSCM 2017-C7 XA IO 01.0678 12/15/2050 0.16%
WFCM 2014-LC16 XA IO 01.3202 08/15/2050 0.16%
WFCM 2015-LC20 XB IO 00.4739 04/15/2050 0.16%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.15%
BMW US CAPITAL LLC P/P 144A 02.8000 04/11/2026 0.15%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.15%
COMM 2014-UBS6 XA IO 00.9441 12/10/2047 0.15%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.15%
FNMA FN30 AW7089 04.5000 07/01/2044 0.15%
FOX CORP P/P 144A 04.0300 01/25/2024 0.15%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.15%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.15%
GNR 2017-H09 DI IO 01.9124 03/20/2067 0.15%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.15%
JPMCC 2007-CB20 E P/P 144A 06.1064 02/12/2051 0.15%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.15%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.15%
MSBAM 2013-C7 XA IO 01.3532 02/15/2046 0.15%
NHEL 2004-2 M4 04.2855 09/25/2034 0.15%
STACR 2018-DNA1 M2 04.2855 07/25/2030 0.15%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.15%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.15%
WALT DISNEY COMPANY P/P 144A 07.7500 12/01/2045 0.15%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.15%
AIR LEASE CORP 04.6250 10/01/2028 0.14%
COMM 2014-CR19 XA IO 01.1654 08/10/2047 0.14%
CSMC 2016-NXSR XA IO 00.7954 12/15/2049 0.14%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.14%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.14%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.14%
FIDELITY NATIONAL INFORM 04.2500 05/15/2028 0.14%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.14%
LEAR CORP 03.8000 09/15/2027 0.14%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.14%
REPUBLIC SERVICES INC 03.9500 05/15/2028 0.14%
STACR 2014-DN2 M3 06.0855 04/25/2024 0.14%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.14%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.14%
WFRBS 2012-C10 XA IO P/P 144A 01.5622 12/15/2045 0.14%
AXA SA P/P 144A 06.3790 12/29/2049 0.13%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.13%
COMM 2013-CR11 XA IO 00.9530 08/10/2050 0.13%
EQUINIX INC 05.3750 05/15/2027 0.13%
FHR 3852 NT 03.5163 05/15/2041 0.13%
GNMA GII30 BE1440 03.5000 11/20/2047 0.13%
GNMA GII30 BG6110 04.0000 05/20/2048 0.13%
GNR 2015-H12 EI IO 01.7147 04/20/2065 0.13%
GNR 2015-H12 GI IO 01.8122 05/20/2065 0.13%
GNR 2016-H06 AI IO 01.9698 02/20/2066 0.13%
GNR 2016-H11 HI IO 02.0902 01/20/2066 0.13%
GSMS 2014-GC18 C 04.9960 01/10/2047 0.13%
SAIL 2004-10 A10 03.3855 11/25/2034 0.13%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.13%
STACR 2013-DN2 M2 06.7355 11/25/2023 0.13%
STACR 2018-DNA2 B1 06.1855 12/25/2030 0.13%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.13%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.13%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.13%
3.312 R ISWP US0003M P 11/08/2048 0.12%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.12%
FHR 3065 DC 12.4088 03/15/2035 0.12%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.12%
GNMA GII30 BE1437 03.5000 11/20/2047 0.12%
GNMA GII30 OBD1715 03.5000 11/20/2047 0.12%
GNMA GII30 OBD1716 03.5000 11/20/2047 0.12%
GNR 2011-17 S IO 03.5623 02/20/2041 0.12%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.12%
GNR 2015-H04 AI IO 01.8327 12/20/2064 0.12%
GNR 2016-H14 IO IO 01.6926 06/20/2066 0.12%
MSC 2016-BNK2 XA IO 01.0905 11/15/2049 0.12%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.12%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.12%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.12%
AMGEN INC 04.6630 06/15/2051 0.11%
AON PLC USD 04.2500 12/12/2042 0.11%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.11%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.11%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.11%
CAS 2019-R01 2M2 04.9355 07/25/2031 0.11%
CD 2016-CD1 XA IO 01.4221 08/10/2049 0.11%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.11%
COMM 2014-LC15 XA IO 01.2344 04/10/2047 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.11%
EQT CORP 03.9000 10/01/2027 0.11%
FHR 3408 EK 15.7988 04/15/2037 0.11%
FHR 4158 TI IO 03.0000 12/15/2042 0.11%
FHR 4165 AI IO 03.5000 02/15/2043 0.11%
FHR 4546 TI IO 04.0000 12/15/2045 0.11%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.11%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.11%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.11%
HMIR 2018-1 M1 P/P 144A 04.0855 10/25/2028 0.11%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.11%
JPMCC 2016-JP2 XA IO 01.8401 08/15/2049 0.11%
MSBAM 2013-C12 XA IO 00.6158 10/15/2046 0.11%
MSBAM 2015-C25 XA IO 01.1143 10/15/2048 0.11%
MSBAM 2015-C26 XA IO 01.0350 10/15/2048 0.11%
MSC 2011-C3 E P/P 144A 05.1547 07/15/2049 0.11%
MSC 2016-UB12 XA IO 00.7975 12/15/2049 0.11%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.11%
SWPTN 1YX10Y P 2.7475 USD 02/13/2020 GS 0.11%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.11%
WFRBS 2012-C9 XA IO P/P 144A 01.8819 11/15/2045 0.11%
WFRBS 2014-C24 XA IO 00.8696 11/15/2047 0.11%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
ARC PROP OPER PART L 04.6000 02/06/2024 0.10%
AT&T INC 03.4000 05/15/2025 0.10%
AT&T INC 04.7500 05/15/2046 0.10%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.10%
CBS CORP 04.6000 01/15/2045 0.10%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.10%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.10%
CREDIT SUISSE GRP AG P/P 144A 03.8690 01/12/2029 0.10%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.10%
CSAIL 2015-C1 C 04.2956 04/15/2050 0.10%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.10%
FHR 4176 DI IO 03.0000 12/15/2042 0.10%
FHR 4601 PI IO 04.5000 12/15/2045 0.10%
FHR 4663 KI IO 03.5000 11/15/2042 0.10%
FNMA FN30 AR3945 03.0000 03/01/2043 0.10%
FNMA FN30 BD5297 03.5000 01/01/2047 0.10%
FNR 2005-122 SE 14.4008 11/25/2035 0.10%
FNR 2006-8 HP 15.4532 03/25/2036 0.10%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.10%
GNMA GII30 AY2298 04.7000 05/20/2067 0.10%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.10%
GNR 2015-H12 AI IO 01.8690 05/20/2065 0.10%
GNR 2015-H25 AI IO 01.6266 09/20/2065 0.10%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.10%
GNR 2016-H04 KI IO 01.7606 02/20/2066 0.10%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.10%
GSMS 2014-GC18 XA IO 01.0286 01/10/2047 0.10%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.10%
JPMCC 2012-LC9 XA IO 01.5189 12/15/2047 0.10%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.10%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.10%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.10%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 0.10%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.10%
WFRBS 2013-C11 XA IO P/P 144A 01.2075 03/15/2045 0.10%
AMAZON.COM INC 03.1500 08/22/2027 0.09%
APPLE INC 03.4500 05/06/2024 0.09%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.09%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.09%
COMM 2012-CR1 D P/P 144A 05.3214 05/15/2045 0.09%
COMM 2012-LC4 XA IO P/P 144A 02.1074 12/10/2044 0.09%
COMM 2015-CR23 XA IO 00.9498 05/10/2048 0.09%
CVS HEALTH CORP 05.0500 03/25/2048 0.09%
CWALT 2007-OA6 A1A 02.6255 06/25/2037 0.09%
ENERGY TRANSFER OPERATNG 06.2500 04/15/2049 0.09%
GNMA 10000 BD1730 03.5000 01/20/2048 0.09%
GNMA GII30 BG4862 04.5000 05/20/2048 0.09%
GNR 2010-H19 GI IO 01.4387 08/20/2060 0.09%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.09%
GNR 2015-H25 CI IO 01.9334 10/20/2065 0.09%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.09%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.09%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.09%
LIBERTY MUTUAL GROUP P/P 144A 05.5159 03/15/2037 0.09%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.09%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.09%
MSBAM 2014-C17 XA IO 01.1892 08/15/2047 0.09%
OMIR 2018-1A M2 05.3355 07/25/2028 0.09%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.09%
RMIR 2018-1 M2 04.2100 03/25/2028 0.09%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.09%
STACR 2019-DNA1 M2 05.1355 01/25/2049 0.09%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.09%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.09%
UBSBB 2013-C6 XA IO P/P 144A 01.1281 04/10/2046 0.09%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.09%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.09%
WFRBS 2012-C7 D P/P 144A 04.8223 06/15/2045 0.09%
WFRBS 2012-C9 XB IO P/P 144A 00.6854 11/15/2045 0.09%
AUTONATION INC. 05.5000 02/01/2020 0.08%
BMW US CAPITAL LLC P/P 144A 03.4000 08/13/2021 0.08%
CARR 2006-NC2 A4 02.7255 06/25/2036 0.08%
CAS 2015-C04 2M2 08.0355 04/25/2028 0.08%
DUKE ENERGY CORP 03.1500 08/15/2027 0.08%
ECOLAB INC 03.2500 12/01/2027 0.08%
ENERGY TRANSFER OPERATNG 06.1250 12/15/2045 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
FHR 4500 GI IO 04.0000 08/15/2045 0.08%
FNR 2006-62 PS 24.9870 07/25/2036 0.08%
FNR 2011-4 CS 07.9290 05/25/2040 0.08%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.08%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.08%
GNMA GII30 BB3013 03.5000 11/20/2047 0.08%
GNMA GII30 BB3019 03.5000 11/20/2047 0.08%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.08%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.08%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.08%
GNR 2015-H28 DI IO 01.5668 08/20/2065 0.08%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.08%
GNR 2016-H27 BI IO 02.2667 12/20/2066 0.08%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.08%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.08%
GSMS 2013-GC12 XA IO 01.4290 06/10/2046 0.08%
JPMCC 2013-C16 XA IO 00.9448 12/15/2046 0.08%
JPMCC 2013-LC11 X IO 01.2692 04/15/2046 0.08%
MSC 2008-T29 F P/P 144A 05.7454 01/11/2043 0.08%
ONCOR ELECTRIC DELI 05.7500 03/15/2029 0.08%
SASC 2006-AM1 A4 02.6455 04/25/2036 0.08%
STACR 2018-HQA1 M2 04.7855 09/25/2030 0.08%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.08%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.08%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.08%
UBSCM 2012-C1 XA IO P/P 144A 02.0652 05/10/2045 0.08%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.08%
WP CAREY INC 04.6000 04/01/2024 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
AMAZON.COM INC 04.0500 08/22/2047 0.07%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.07%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
CCMFC 2004-3A A2 02.7855 08/25/2035 0.07%
CGCMT 2012-GC8 XA IO P/P 144A 01.7886 09/10/2045 0.07%
CGCMT 2013-GC17 X IO 01.0468 11/10/2046 0.07%
COMCAST CORP 03.9990 11/01/2049 0.07%
COMM 2014-UBS6 C 04.4585 12/10/2047 0.07%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.07%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.07%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.07%
ENBRIDGE INC USD 04.2500 12/01/2026 0.07%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.07%
FHR 4074 KS IO 04.2163 02/15/2041 0.07%
FNMA FN30 AT0942 03.0000 04/01/2043 0.07%
FNR 12-118 PI IO 04.0000 06/25/2042 0.07%
FNR 2007-53 SP 15.0865 06/25/2037 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.07%
GNR 2014-H08 CI IO 01.5062 03/20/2064 0.07%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.07%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.07%
GNR 2015-H09 BI IO 01.7110 03/20/2065 0.07%
GNR 2015-H10 CI IO 01.8274 04/20/2065 0.07%
GNR 2015-H15 JI IO 01.9781 06/20/2065 0.07%
GNR 2015-H16 XI IO 01.9340 07/20/2065 0.07%
GNR 2016-H24 JI IO 02.1747 11/20/2066 0.07%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.07%
JPMBB 2013-C17 XA IO 00.7722 01/15/2047 0.07%
L3 TECHNOLOGIES INC 04.4000 06/15/2028 0.07%
MERCK & CO INC 03.7000 02/10/2045 0.07%
MSBAM 2013-C11 D P/P 144A 04.3652 08/15/2046 0.07%
MSRR 2015-R4 CB1 03.3155 08/26/2047 0.07%
S&P GLOBAL INC 04.4000 02/15/2026 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.07%
UNITEDHEALTH GROUP INC 02.9500 10/15/2027 0.07%
WEYERHAEUSER CO 07.3750 03/15/2032 0.07%
ABBVIE INC 03.6000 05/14/2025 0.06%
ALLERGAN FUNDING SCS USD 03.8000 03/15/2025 0.06%
AMGEN INC 02.6000 08/19/2026 0.06%
CFCRE 2011-C2 D P/P 144A 05.7568 12/15/2047 0.06%
D.R. HORTON INC 05.7500 08/15/2023 0.06%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.06%
FHR 2990 LB 10.5974 06/15/2034 0.06%
FHR 4132 IP IO 04.5000 11/15/2042 0.06%
FNR 2005-106 JC 12.4171 12/25/2035 0.06%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.06%
GENERAL MOTORS COMPANY 04.8750 10/02/2023 0.06%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.06%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.06%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.06%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.06%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.06%
GNR 2015-H20 AI IO 01.8475 08/20/2065 0.06%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.06%
GSMS 2011-GC5 XA IO P/P 144A 01.3365 08/10/2044 0.06%
HOSPITALITY PROP TRUST 04.3750 02/15/2030 0.06%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.06%
JPMBB 2014-C25 XA IO 00.9362 11/15/2047 0.06%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.06%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.06%
OMNICOM GP/OMNICOM CAP 03.6000 04/15/2026 0.06%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.06%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.06%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.06%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.06%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.06%
TARGA RESOURCES PART 05.0000 01/15/2028 0.06%
WAMU 2005-AR1 A2B 03.2855 01/25/2045 0.06%
WESTROCK MWV LLC 08.2000 01/15/2030 0.06%
WFRBS 2011-C5 XA IO P/P 144A 01.7338 11/15/2044 0.06%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
CAS 2017-C06 2M2 05.2855 02/25/2030 0.05%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 0.05%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.05%
CVS PASS-THROUGH P/P 144A 04.7040 01/10/2036 0.05%
DEVON ENERGY CORPORATION 05.8500 12/15/2025 0.05%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.05%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.05%
FHR 4141 PI IO 03.0000 12/15/2042 0.05%
FHR 4182 GI IO 03.0000 01/15/2043 0.05%
FNMA FN30 AB9238 03.0000 05/01/2043 0.05%
FNR 2005-75 GS 12.7935 08/25/2035 0.05%
FNR 2010-35 SG IO 03.9145 04/25/2040 0.05%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.05%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.05%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.05%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.05%
GNMA GII30 BA7681 04.6270 06/20/2067 0.05%
GNMA GII30 BB0107 04.7000 08/20/2067 0.05%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.05%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.05%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.05%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.05%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.05%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.05%
GNR 2015-H01 CI IO 01.6470 12/20/2064 0.05%
GNR 2015-H17 CI IO 01.6160 06/20/2065 0.05%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.05%
HCA INC 05.5000 06/15/2047 0.05%
HESS CORP 07.3000 08/15/2031 0.05%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.05%
JPMCC 2012-LC9 D P/P 144A 04.3835 12/15/2047 0.05%
KEURIG DR PEPPER INC P/P 144A 04.4170 05/25/2025 0.05%
PFIZER INC 03.0000 12/15/2026 0.05%
QVC INC 04.8500 04/01/2024 0.05%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.05%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.05%
SWPTN 1YX2Y R 2.486 USD 01/31/2020 JP 0.05%
SWPTN 1YX2Y R 2.56 USD 02/06/2020 JP 0.05%
VERIZON COMM 04.3290 09/21/2028 0.05%
VMWARE INC 03.9000 08/21/2027 0.05%
WELLS FARGO & COMPANY 05.8750 12/29/2049 0.05%
2.806 R ISWP FWD US0003M P 03/05/2030 0.04%
2.86 R ISWP US0003M P 01/22/2020 0.04%
AES CORP/THE 05.1250 09/01/2027 0.04%
ANADARKO PETROLEUM CORP 07.2000 03/15/2029 0.04%
BANK OF AMERICA CORP 03.3709 09/15/2026 0.04%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.04%
CIT GROUP INC 05.0000 08/01/2023 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.04%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.04%
CVS HEALTH CORP 04.7500 12/01/2022 0.04%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.04%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.04%
FHLMC FH30G Q44946 03.5000 12/01/2046 0.04%
FHLMC FH30G Q45042 03.5000 12/01/2046 0.04%
FHR 4122 TI IO 04.5000 10/15/2042 0.04%
FHR 4183 MI IO 03.0000 02/15/2042 0.04%
FHR 4206 IP IO 03.0000 12/15/2041 0.04%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.04%
FIRSTENERGY CORP 04.8500 07/15/2047 0.04%
FNMA FN30 AP3817 03.0000 09/01/2042 0.04%
FNMA FN30 BC5322 03.5000 03/01/2046 0.04%
FNMA FN30 BE4222 03.5000 12/01/2046 0.04%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.04%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.04%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.04%
GNMA GII30 AY4779 04.5080 03/20/2067 0.04%
GNMA GII30 BD3297 03.5000 11/20/2047 0.04%
GNMA GII30 BE5936 04.0000 05/20/2048 0.04%
GNMA GII30 BE5937 04.0000 05/20/2048 0.04%
GNMA GII30 BG4861 04.5000 05/20/2048 0.04%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.04%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.04%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.04%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
HCA INC 05.0000 03/15/2024 0.04%
HCA INC 05.2500 06/15/2026 0.04%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.04%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.04%
INTERNATIONAL PAPER CO 03.0000 02/15/2027 0.04%
JPMORGAN CHASE & CO 06.1000 02/01/2049 0.04%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.04%
KINDER MORGAN INC 03.1500 01/15/2023 0.04%
METLIFE INC 06.4000 12/15/2036 0.04%
MSC 2012-C4 XA IO P/P 144A 02.0826 03/15/2045 0.04%
NVR INC 03.9500 09/15/2022 0.04%
OMEGA HLTHCARE INVES 04.5000 04/01/2027 0.04%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.04%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.04%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.04%
SPST 2017-LD1 A 03.2855 11/25/2050 0.04%
STACR 2019-DNA2 B1 06.8368 03/25/2049 0.04%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.04%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.04%
VERIZON COMMUNICATIONS 04.4000 11/01/2034 0.04%
WARNER MEDIA LLC 03.8000 02/15/2027 0.04%
WFMBS 2005-AR16 6A4 04.5322 10/25/2035 0.04%
WFRBS 2011-C4 E P/P 144A 05.2316 06/15/2044 0.04%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.03%
CAS 2016-C06 1M2 06.7355 04/25/2029 0.03%
CBS CORP 02.9000 01/15/2027 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.03%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.03%
DUKE ENERGY OHIO INC 03.8000 09/01/2023 0.03%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.03%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.03%
FHLMC FH30G Q44706 03.5000 12/01/2046 0.03%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.03%
FNMA FN30 AL8205 03.0000 05/01/2045 0.03%
FNMA FN30 AR4126 03.0000 02/01/2043 0.03%
FNMA FN30 BC7330 03.5000 12/01/2046 0.03%
FNMA FN30 BD8704 03.5000 12/01/2046 0.03%
GNR 2013-129 SN IO 03.6623 09/20/2043 0.03%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.03%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.03%
GNR 2015-H22 EI IO 01.6285 08/20/2065 0.03%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.03%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.03%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.03%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.03%
PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 0.03%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.03%
SERVICE CORP INTL 04.6250 12/15/2027 0.03%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.03%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.03%
WALT DISNEY COMP P/P 144A 07.7500 01/20/2024 0.03%
WARNER MEDIA LLC 02.9500 07/15/2026 0.03%
ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 0.02%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.02%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.02%
BGC PARTNERS INC 05.1250 05/27/2021 0.02%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.02%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.02%
CITIGROUP INC 04.7500 05/18/2046 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
COMCAST CORP 06.5000 11/15/2035 0.02%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.02%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.02%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
CSMC 2007-C4 C P/P 144A 05.8056 09/15/2039 0.02%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.02%
FHR 2976 LC 15.3129 05/15/2035 0.02%
FHR 3300 PO PO 00.0000 02/15/2037 0.02%
FHR 4018 DI IO 04.5000 07/15/2041 0.02%
FNMA FN30 AP3902 03.0000 10/01/2042 0.02%
FNMA FN30 AP6568 03.0000 09/01/2042 0.02%
FNMA FN30 BA5236 03.5000 12/01/2045 0.02%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.02%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.02%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.02%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.02%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.02%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.02%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.02%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.02%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.02%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.02%
NUTRIEN LTD USD 05.2500 01/15/2045 0.02%
PACIFICORP 06.2500 10/15/2037 0.02%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.02%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.02%
SHERWIN-WILLIAMS CO 02.7500 06/01/2022 0.02%
SWPTN 1YX2Y P 2.486 USD 01/31/2020 JP 0.02%
SWPTN 5WX2Y R 2.41 USD 04/23/2019 CI 0.02%
WESTROCK MWV LLC 07.9500 02/15/2031 0.02%
2.536 R ISWP FWD US0003M P 12/02/2023 0.01%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.01%
ANTHEM INC 04.6250 05/15/2042 0.01%
AUTONATION INC 04.5000 10/01/2025 0.01%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.01%
CBRE SERVICES INC 05.2500 03/15/2025 0.01%
CBS CORP 04.0000 01/15/2026 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 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 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 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.01%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.01%
ENERGY TRANSFER OPERATNG 05.2000 02/01/2022 0.01%
EQUINOR ASA USD 05.1000 08/17/2040 0.01%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.01%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FIDELITY NATIONAL INFORM 03.0000 08/15/2026 0.01%
FIRSTENERGY CORP 03.9000 07/15/2027 0.01%
FN30 05.000 2008 0.01%
FNR 2005-83 QP 10.9317 11/25/2034 0.01%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.01%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.01%
GSMS 2012-GC6 D P/P 144A 05.6525 01/10/2045 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 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%
SABMILLER HLDG INC 04.9500 01/15/2042 0.01%
SWPTN 1MX5Y P 2.38875 USD 04/29/2019 CI 0.01%
SWPTN 1MX5Y R 2.19625 USD 04/29/2019 CI 0.01%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.01%
SWPTN 1YX2Y P 2.56 USD 02/06/2020 JP 0.01%
SWPTN 5WX5Y P 2.3975 USD 05/02/2019 GS 0.01%
SWPTN 5WX5Y R 2.10625 USD 04/29/2019 GS 0.01%
SWPTN 5WX5Y R 2.1975 USD 05/02/2019 GS 0.01%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.01%
SWPTN LIABILITY 1MX5Y P 2.2925 USD 04/29/2019 CI 0.01%
SWPTN LIABILITY 1MX5Y R 2.2925 USD 04/29/2019 CI 0.01%
SWPTN LIABILITY 5WX5Y R 2.2975 USD 05/02/2019 GS 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.01%
2.44 R ISWP FWD US0003M P 03/26/2030 0.00%
2.528 R ISWP FWD US0003M P 02/02/2024 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%
2.67 R ISWP FWD US0003M P 03/28/2052 0.00%
BACM 2004-4 XC IO P/P 144A 00.3283 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4451 11/10/2041 0.00%
BACM 2005-1 XW IO P/P 144A 00.0000 11/10/2042 0.00%
BACM 2007-1 XW IO 00.0000 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0000 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.0000 02/11/2041 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.2693 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.6141 12/11/2049 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML 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 CS 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 ML 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 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 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 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 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 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 CS 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 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML 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-.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-.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-.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 CS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
COMM 2006-C8 XS IO P/P 144A 00.4515 12/10/2046 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%
CSMC 2007-C2 AX IO P/P 144A 00.0144 01/15/2049 0.00%
FHR 3117 AF 00.0000 02/15/2036 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FHR 3707 PI IO 04.5000 07/15/2025 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
GECMC 2007-C1 XC IO P/P 144A 00.0041 12/10/2049 0.00%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.00%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2011-116 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 P USL1M R 01/12/43 CS 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 BC 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 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 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 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.FN30.450.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.500.08 P USL1M R 01/12/39 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%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.00%
JPMCC 05-CB12 X1 IO P/P 144A 00.5022 09/12/2037 0.00%
JPMCC 06-LDP6 X1 IO P/P 144A 00.0000 04/15/2043 0.00%
JPMCC 2006-LDP8 X IO 00.2852 05/15/2045 0.00%
JPMCC 2007-LDPX X IO 00.0069 01/15/2049 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.3186 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.3298 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.3298 02/15/2040 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.FN30.600.08 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%
MEZZ 2005-C3 X IO P/P 144A 05.8927 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 05.4233 07/15/2045 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.2423 12/12/2049 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.8919 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 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 100.56640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.69140625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.81640625 JPMC 0.00%
OPTN FN30 3.5 05/06/19 PUT 100.94140625 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%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 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 LIABILITY 5WX5Y P 2.2975 USD 05/02/2019 GS 0.00%
US 10YR NOTE (CBT)JUN19 TYM9 0.00%
US 10YR ULTRA FUT JUN19 UXYM9 0.00%
US 2YR NOTE (CBT) JUN19 TUM9 0.00%
US 5YR NOTE (CBT) JUN19 FVM9 0.00%
US LONG BOND(CBT) JUN19 USM9 0.00%
US ULTRA BOND CBT JUN19 WNM9 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
WBCMT 2006-C29 IO IO 00.0509 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.0909 05/15/2046 0.00%
2.375 R ISWP FWD US0003M P 04/16/2029 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -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 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 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 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 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 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 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%
IOS.GII30.500.10 R USL1M P 01/12/41 CS -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
SWPTN 1MX5Y P 2.2925 USD 04/29/2019 CI -0.01%
SWPTN 1MX5Y R 2.2925 USD 04/29/2019 CI -0.01%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.01%
SWPTN 5WX5Y P 2.2975 USD 05/02/2019 GS -0.01%
SWPTN 5WX5Y R 2.20625 USD 04/29/2019 GS -0.01%
SWPTN 5WX5Y R 2.2975 USD 05/02/2019 GS -0.01%
SWPTN LIABILITY 1MX5Y P 2.38875 USD 04/29/2019 CI -0.01%
SWPTN LIABILITY 1MX5Y R 2.19625 USD 04/29/2019 CI -0.01%
SWPTN LIABILITY 5WX5Y P 2.3975 USD 05/02/2019 GS -0.01%
SWPTN LIABILITY 5WX5Y R 2.1975 USD 05/02/2019 GS -0.01%
SWPTN LIABILITY 5YX30Y P 3.27 USD 10/17/2023 MS -0.01%
SWPTN LIABILITY 5YX30Y R 3.27 USD 10/17/2023 MS -0.01%
2.20 R ISWP FWD US0003M P 04/10/2024 -0.02%
2.6785 R ISWP US0003M P 02/13/2029 -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 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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.02%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.02%
SWPTN 5WX10Y R 2.421 USD 04/23/2019 CI -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.03%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.04%
SWPTN 3YX2Y P 2.486 USD 01/31/2022 JP -0.04%
SWPTN 3YX2Y P 2.56 USD 02/07/2022 JP -0.04%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.04%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.04%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.04%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.04%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.05%
2.80 R ISWP FWD US0003M P 06/19/2049 -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.05%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.05%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.06%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.06%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.07%
SWPTN 3YX2Y R 2.486 USD 01/31/2022 JP -0.07%
SWPTN 3YX2Y R 2.56 USD 02/07/2022 JP -0.08%
2.77 R ISWP US0003M P 01/22/2021 -0.09%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.09%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.09%
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%
2.55 R ISWP FWD US0003M P 06/19/2021 -0.15%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.15%
SWPTN 5YX24Y R 3.0 USD 04/04/2024 MS -0.15%
SWPTN 5YX24Y R 3.0 USD 04/12/2024 MS -0.15%
SWPTN 6YX24Y R 3.0 USD 01/31/2025 MS -0.15%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.16%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.19%
SWPTN 7YX30Y P 3.1775 USD 11/28/2025 BA -0.21%
SWPTN 5YX10Y P 2.9425 USD 02/13/2024 GS -0.22%
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%
2.50 R ISWP FWD US0003M P 06/19/2024 -0.35%
SWPTN 5YX10Y R 2.9425 USD 02/13/2024 GS -0.36%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.37%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.41%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.45%
SWPTN 7YX30Y R 3.1775 USD 11/28/2025 BA -0.50%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.56%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -1.00%

Prior top 10 holdings

Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 4.54%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 2.92%
3: Gnma Gii30 Tba 04.5000 07/01/2049 2.11%
4: Gnma Gii30 Tba 03.5000 07/01/2049 2.09%
5: Gnma Gii30 Tba 04.0000 07/01/2049 1.68%
6: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.67%
7: Bf0101 03.5000 06/01/2056 0.98%
8: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.98%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.88%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.86%
Holdings represent 18.71% of portfolio
Top 10 holdings as of 05/31/19
1: Umbs Fn30 Tba 03.5000 06/01/2049 4.60%
2: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 2.54%
3: Gnma Gii30 Tba 04.5000 06/01/2049 2.13%
4: Umbs Fn30 Tba 04.0000 06/01/2049 2.12%
5: Gnma Gii30 Tba 03.5000 06/01/2049 2.11%
6: Gnma Gii30 Tba 04.0000 06/01/2049 1.70%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.00%
8: Bf0101 03.5000 06/01/2056 0.99%
9: Umbs Fn30 Tba 06.0000 06/01/2049 0.89%
10: Umbs Fn30 Tba 05.5000 06/01/2049 0.88%
Holdings represent 18.96% of portfolio
Top 10 holdings as of 04/30/19
1: Umbs Fn30 Tba 04.0000 06/01/2049 4.74%
2: Umbs Fn30 Tba 03.5000 06/01/2049 3.81%
3: Gnma Gii30 Tba 04.5000 05/01/2049 2.18%
4: Gnma Gii30 Tba 03.5000 05/01/2049 2.13%
5: Gnma Gii30 Tba 04.0000 05/01/2049 1.73%
6: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.03%
7: Bf0101 03.5000 06/01/2056 1.01%
8: Umbs Fn30 Tba 06.0000 06/01/2049 0.91%
9: Fnma Fn30 Tba 05.5000 05/01/2049 0.90%
10: Wamu 2005-Ar13 A1c4 02.9066 10/25/2045 0.87%
Holdings represent 19.31% of portfolio
Top 10 holdings as of 03/31/19
1: Fnma Fn30 Tba 04.0000 04/01/2049 4.79%
2: Fnma Fn30 Tba 03.5000 04/01/2049 2.58%
3: Gnma Gii30 Tba 04.5000 04/01/2049 2.20%
4: Gnma Gii30 Tba 03.5000 04/01/2049 2.16%
5: Gnma Gii30 Tba 04.0000 04/01/2049 1.75%
6: Fnma Fn30 Tba 03.5000 05/01/2049 1.29%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.05%
8: Bf0101 03.5000 06/01/2056 1.03%
9: Fnma Fn30 Tba 06.0000 04/01/2049 0.91%
10: Fnma Fn30 Tba 05.5000 04/01/2049 0.90%
Holdings represent 18.66% of portfolio

Sector Weightings as of 06/30/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 14.12% 0.75 18.45% 0.66 32.57% 1.41
Investment-grade corporate bonds 30.70% 2.46 0.00% 0.00 30.70% 2.46
Commercial MBS 13.11% 0.38 13.27% 0.36 26.38% 0.74
Agency CMO 15.82% 0.51 0.41% 0.02 16.23% 0.53
Net cash 14.36% 0.00 0.00% 0.00 14.36% 0.00
Residential MBS (non-agency) 8.28% 0.32 0.00% 0.00 8.28% 0.32
High-yield corporate bonds 2.09% 0.10 0.00% 0.00 2.09% 0.10
Asset-backed securities (ABS) 1.52% 0.01 0.00% 0.00 1.52% 0.01
Interest rate swaps 0.00% 0.00 0.00% 0.70 0.00% 0.70
U.S. Treasury/agency 0.00% 0.00 0.00% 1.89 0.00% 1.89

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 06/30/19

United States 94.01%
Canada 1.42%
Bermuda 1.22%
United Kingdom 1.04%
France 0.57%
Netherlands 0.44%
Spain 0.35%
Switzerland 0.31%
Japan 0.26%
 
Other
0.38%
Germany 0.19%
Ireland 0.11%
Luxembourg 0.07%
Norway 0.01%

Expenses

Sales Charges/Fees

Breakpoint Sales Charge Dealer Allowance CDSC Liab
$0 - $0 0.00% 0.00% N

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

CDSC

Year Percent
1 8.00%
2 8.00%
3 8.00%
4 7.00%
5 6.00%
6 5.00%
7 4.00%
8 3.00%
9+ 0.00%