Putnam Allstate Advisor Plus

Putnam Income Subaccount

The fund 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 11/17/17

with optional enhanced death benefits
Unit Value $18.531119 $18.036824
Unit Value Change -0.017806 -0.017405

Lipper ranking ‡ as of 10/31/17

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 5% 3/68
1 yr. 2% 2/101
3 yrs. 94% 89/94
5 yrs. 11% 9/88

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 10/31/17

Fiscal Year End December
Asset Class Putnam Allstate Advisor Plus
Subaccount Status Open to new investors
Number of issues 1074
Turnover (fiscal year end) 974%
Net Assets $249M
Inception Date 02/01/88

Performance

Performance as of 09/30/17

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 0.33% 3.38% 0.66% 0.13% 1.34% 3.47% 4.50%
Standardized -7.67% -4.62% -7.34% -2.61% 0.18% 3.47% 4.50%
With optional enhanced death benefit
Unit Value 0.30% 3.26% 0.51% -0.03% 1.19% 3.31% 4.34%
Standardized -7.70% -4.74% -7.49% -2.77% 0.02% 3.31% 4.34%
Actual performance
Unit Value 0.33% 3.38% 0.66% 0.13% 1.34% 3.47% 3.61%
Standardized -7.67% -4.62% -7.34% -2.61% 0.18% 3.47% 3.61%
With optional enhanced death benefit
Unit Value 0.30% 3.26% 0.51% -0.03% 1.19% 3.31% 3.45%
Standardized -7.70% -4.74% -7.49% -2.77% 0.02% 3.31% 3.45%

Annual Performance at NAV

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
3.53% -25.14% 44.31% 8.11% 3.33% 8.97% 0.24% 4.75% -3.04% 0.37%
With optional enhanced death benefit
3.37% -25.26% 44.09% 7.95% 3.17% 8.80% 0.09% 4.59% -3.18% 0.22%

Restated performance

Monthly as of 10/31/17

Unit Value -0.05%
Standardized -8.05%

YTD as of 11/17/17

Unit Value 3.16%
Standardized -4.84%

With optional enhanced death benefit

Monthly as of 10/31/17

Unit Value -0.06%
Standardized -8.06%

YTD as of 11/17/17

Unit Value 3.02%
Standardized -4.98%

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 Hartford products are flexible-premium variable annuities issued by Hartford Life and Annuity Insurance Company, 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 Hartford 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 Hartford 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 10/31/17

Avg. Eff. Maturity 11.98
Avg. Price 90.13
Avg. Eff. Duration 5.24
Avg. Coupon 5.14
Avg. Yield to Maturity 4.37
Alpha (%) --
Beta 0.55
R Squared 0.27
Standard Deviation (3 yrs.) 2.91

Maturity Details

0 to 1 yr. -16.25%
1 to 5 yrs. 21.22%
5 to 10 yrs. 81.70%
10 to 15 yrs. 1.77%
Over 15 yrs. 11.56%

Quality Ratings

AAA 72.79%
AA 3.91%
A 10.38%
BBB 23.64%
BB 8.62%
B 5.13%
CCC and Below 2.23%
Not Rated -26.70%

Holdings

Top 10 holdings as of 10/31/17

Fnma Fn30 Tba 03.5000 12/01/2047 11.97%
Gnma Gii30 Tba 04.0000 11/01/2047 4.22%
Fnma Fn30 Tba 03.0000 11/01/2047 4.02%
Fnma Fn30 Tba 02.5000 11/01/2047 3.11%
Gnma Gii30 Tba 04.5000 11/01/2047 2.56%
Fnma Fn30 Tba 03.0000 12/01/2047 2.01%
Gnma Gii30 Tba 03.0000 11/01/2047 1.63%
Gnma Gii30 Tba 05.0000 11/01/2047 1.29%
Bf0101 03.5000 06/01/2056 1.18%
Wamu 2005-Ar13 A1c4 01.6679 10/25/2045 1.08%
Top 10 holdings, total: 33.07%

Full Portfolio Holdings as of 09/30/17

FNMA FN30 TBA 03.5000 11/01/2047 11.96%
FNMA FN30 TBA 03.0000 11/01/2047 6.83%
FNMA FN30 TBA 02.5000 10/01/2047 3.10%
GNMA GII30 TBA 04.0000 10/01/2047 2.95%
FNMA FN30 TBA 04.5000 11/01/2047 1.72%
GNMA GII30 TBA 03.0000 10/01/2047 1.63%
GNMA GII30 TBA 05.0000 10/01/2047 1.29%
GNMA GII30 TBA 04.5000 10/01/2047 1.28%
BF0101 03.5000 06/01/2056 1.19%
WAMU 2005-AR13 A1C4 01.6672 10/25/2045 1.05%
CAS 2016-C03 1M2 06.5372 10/25/2028 1.00%
STACR 2015-DN1 M3 05.3872 01/25/2025 0.94%
FNMA FN30 TBA 06.0000 10/01/2047 0.90%
FNMA FN30 TBA 05.5000 10/01/2047 0.89%
FNMA FN30 BH2620 03.5000 08/01/2047 0.83%
CAS 2016-C03 2M2 07.1372 10/25/2028 0.79%
FHS 315 PO PO 00.0000 09/15/2043 0.79%
FNMA FN30 AS7363 03.0000 06/01/2046 0.76%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.72%
FNMA FN30 AL8994 04.0000 09/01/2045 0.70%
GNMA GII30 AF3759 03.5000 06/20/2045 0.70%
FHLMC FH30G G60314 04.0000 09/01/2045 0.68%
CAS 2016-C02 1M2 07.2372 09/25/2028 0.67%
CAS 2016-C03 1M1 03.2372 10/25/2028 0.63%
MRAFT 2016-5 A 02.4050 06/10/2019 0.62%
WAMU 2005-AR17 A1B2 01.6472 12/25/2045 0.58%
CAS 2016-C01 2M2 08.1872 08/25/2028 0.57%
STACR 2016-HQA1 M3 07.5872 09/25/2028 0.56%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.51%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.50%
BCAP 2015-RR5 2A2 01.9000 01/26/2046 0.49%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.48%
CAS 2017-C01 1M2 04.7872 07/25/2029 0.47%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.47%
BPCE SA P/P 144A 04.5000 03/15/2025 0.46%
FHR 3835 FO PO 00.0000 04/15/2041 0.46%
WFRBS 2012-C10 D P/P 144A 04.5930 12/15/2045 0.46%
BSCMS 2006-PW11 B P/P 144A 05.2857 03/11/2039 0.44%
DBUBS 2011-LC3A D P/P 144A 05.3454 08/10/2044 0.44%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.43%
CITIGROUP INC 06.2500 12/29/2049 0.42%
GNMA GII30 MA4586 03.5000 07/20/2047 0.42%
GNMA GII30 TBA 03.5000 10/01/2047 0.42%
GNMA GII30 635173 03.5000 02/20/2047 0.41%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.40%
FNMA FN30 AS8684 03.5000 01/01/2047 0.40%
WFCM 2012-LC5 D P/P 144A 04.7802 10/15/2045 0.40%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.39%
FNMA FN30 BM1172 03.0000 03/01/2047 0.39%
GSMS 2014-GC22 XA IO 01.1832 06/10/2047 0.39%
CGCMT 2014-GC19 X IO 01.3709 03/10/2047 0.38%
FNMA FN30 BC1489 03.0000 08/01/2046 0.38%
GNR 2016-H23 NI IO 02.3375 10/20/2066 0.38%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.37%
FNMA FN30 BC1445 03.0000 07/01/2046 0.37%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.37%
WFRBS 2014-C22 XA IO 01.0658 09/15/2057 0.37%
FHLMC FH30G G60861 03.5000 01/01/2047 0.36%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.36%
STACR 2016-DNA2 M3 05.8872 10/25/2028 0.36%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.35%
CGCMT 2014-GC21 D P/P 144A 04.9961 05/10/2047 0.35%
FNMA FN30 BC0960 04.0000 06/01/2046 0.35%
AT&T INC 04.2500 03/01/2027 0.34%
AT&T INC 05.1500 02/14/2050 0.34%
CBS CORP 04.6000 01/15/2045 0.34%
GNMA GII30 AF3757 03.5000 06/20/2045 0.34%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.33%
BARCLAYS PLC USD 04.8360 05/09/2028 0.33%
GNR 2016-H02 HI IO 01.7176 01/20/2066 0.33%
WFRBS 2011-C2 D P/P 144A 05.7881 02/15/2044 0.33%
WFRBS 2013-C14 XA IO 00.9385 06/15/2046 0.33%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.32%
FNMA FN30 AY8222 04.5000 05/01/2045 0.32%
STACR 2016-DNA3 M3 06.2372 12/25/2028 0.32%
WFRBS 2013-C15 D P/P 144A 04.6281 08/15/2046 0.32%
COMM 2014-CR17 C 04.8948 05/10/2047 0.31%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.31%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.31%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.31%
CHARTER COMM OPT LLC P/P 144A 05.3750 05/01/2047 0.30%
GSMS 2014-GC18 C 05.1091 01/10/2047 0.30%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.29%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.29%
FNMA FN30 AX7296 04.5000 12/01/2044 0.29%
JPMBB 2013-C14 D P/P 144A 04.7211 08/15/2046 0.29%
MSBAM 2013-C10 E P/P 144A 04.2186 07/15/2046 0.29%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.29%
WEC ENERGY GROUP INC 03.4275 05/15/2067 0.29%
CSAIL 2015-C1 D P/P 144A 03.9453 04/15/2050 0.28%
FHLMC FH30G V80357 03.5000 08/01/2043 0.28%
FNMA FN30 AU1625 03.5000 07/01/2043 0.28%
FNMA FN30 BD0189 03.5000 06/01/2046 0.28%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.27%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.27%
MSBAM 2014-C17 D P/P 144A 04.8539 08/15/2047 0.27%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.27%
STACR 2016-HQA2 M3 06.3872 11/25/2028 0.27%
UBSBB 2012-C2 E P/P 144A 05.0550 05/10/2063 0.27%
COMM 2012-LC4 XA IO P/P 144A 02.3845 12/10/2044 0.26%
FNMA FN30 AS4991 03.5000 05/01/2045 0.26%
WFCM 2014-LC16 XA IO 01.5383 08/15/2050 0.26%
WFRBS 2013-C17 C 05.2938 12/15/2046 0.26%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.25%
FHLMC FH30G V80012 03.0000 03/01/2043 0.25%
JPMCC 2011-C3 F P/P 144A 05.8018 02/15/2046 0.25%
WFRBS 2014-C19 E P/P 144A 05.1370 03/15/2047 0.25%
CFCRE 2011-C2 E P/P 144A 05.9453 12/15/2047 0.24%
EQT CORP 03.9000 10/01/2027 0.24%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.24%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.24%
MSBAM 2013-C7 XA IO 01.6191 02/15/2046 0.24%
PUGET SOUND ENERGY INC 06.9740 06/01/2067 0.24%
UBSBB 2012-C2 XA IO P/P 144A 01.5336 05/10/2063 0.24%
AMAZON.COM INC P/P 144A 03.1500 08/22/2027 0.23%
AON PLC USD 04.2500 12/12/2042 0.23%
FNMA FN30 BD0959 03.5000 06/01/2046 0.23%
GNR 2014-H11 GI IO 01.4845 06/20/2064 0.23%
JPMBB 2014-C22 XA IO 01.0800 09/15/2047 0.23%
NHEL 2004-2 M4 03.0372 09/25/2034 0.23%
ORACLE CORP 02.6500 07/15/2026 0.23%
STEEL DYNAMICS INC P/P 144A 04.1250 09/15/2025 0.23%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.22%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.22%
GNR 2014-H07 BI IO 01.4558 05/20/2064 0.22%
CA TXB-VAR PURP 3 07.5000 04/01/2034 0.21%
CAS 2014-C04 1M2 06.1372 11/25/2024 0.21%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.21%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.21%
GNR 2017-H08 NI IO 02.2185 03/20/2067 0.21%
JPMCC 2012-C6 E P/P 144A 05.3074 05/15/2045 0.21%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.21%
WAMU 2005-AR11 A1C3 01.7472 08/25/2045 0.21%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.21%
CAS 2014-C02 1M2 03.8372 05/25/2024 0.20%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.20%
FNMA FN30 AW7089 04.5000 07/01/2044 0.20%
GE CAP INTL FUNDING USD 04.4180 11/15/2035 0.20%
GNR 2015-H13 AI IO 02.1546 06/20/2065 0.20%
GSMS 2013-GC10 XA IO 01.5934 02/10/2046 0.20%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.20%
JPMCC 2011-C3 E P/P 144A 05.8018 02/15/2046 0.20%
MSBAM 2013-C11 D P/P 144A 04.5150 08/15/2046 0.20%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.20%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.20%
WFRBS 2012-C10 XA IO P/P 144A 01.7531 12/15/2045 0.20%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.20%
WILLIAMS PARTNERS L.P. 04.8750 03/15/2024 0.20%
COMM 2014-CR19 XA IO 01.3908 08/10/2047 0.19%
COMM 2014-UBS6 XA IO 01.1746 12/10/2047 0.19%
COMMERZBANK AG P/P 144A 08.1250 09/19/2023 0.19%
CWCI 2007-C3 AJ 06.0488 05/15/2046 0.19%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 0.19%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.19%
FHR 3065 DC 16.1567 03/15/2035 0.19%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.19%
GNR 2017-H12 QI IO 02.0562 05/20/2067 0.19%
GNR 2017-H14 EI IO 01.5710 06/20/2067 0.19%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.19%
COMM 2013-CR11 XA IO 01.1515 08/10/2050 0.18%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.18%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.18%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.18%
MPLX LP 04.1250 03/01/2027 0.18%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.18%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.18%
SASC 2006-AM1 A4 01.3972 04/25/2036 0.18%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.18%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.18%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.18%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.17%
DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 0.17%
ENBRIDGE INC USD 04.2500 12/01/2026 0.17%
FHR 3852 NT 04.7656 05/15/2041 0.17%
FHR 4663 KI IO 03.5000 11/15/2042 0.17%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.17%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.17%
GNR 2016-H06 AI IO 01.8453 02/20/2066 0.17%
GNR 2016-H14 IO IO 01.6697 06/20/2066 0.17%
GNR 2017-H09 DI IO 01.8969 03/20/2067 0.17%
GNR 2017-H10 MI IO 01.7487 04/20/2067 0.17%
GSMS 2013-GC10 E P/P 144A 04.4100 02/10/2046 0.17%
HISTORIC TW INC 09.1500 02/01/2023 0.17%
JPMCC 2010-C1 D P/P 144A 06.4009 06/15/2043 0.17%
MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 0.17%
N TX HWY-TXB-B 06.7180 01/01/2049 0.17%
NABORS INDUSTRIES INC 04.6250 09/15/2021 0.17%
STACR 2017-HQA1 M2 04.7872 08/25/2029 0.17%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.17%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.17%
CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 0.16%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.16%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.16%
GNR 2011-17 S IO 04.8139 02/20/2041 0.16%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.16%
GNR 2015-60 IP IO 04.0000 04/20/2045 0.16%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.16%
JPMBB 2014-C26 D P/P 144A 04.0679 01/15/2048 0.16%
JPMCC 2012-C8 D P/P 144A 04.8070 10/15/2045 0.16%
JPMCC 2012-LC9 XA IO 01.8299 12/15/2047 0.16%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.16%
MSBAM 2012-C6 F P/P 144A 04.7602 11/15/2045 0.16%
STACR 2015-DNA2 M2 03.8372 12/25/2027 0.16%
WFRBS 2012-C9 XA IO P/P 144A 02.1702 11/15/2045 0.16%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.16%
BACARDI LTD P/P 144A 04.5000 01/15/2021 0.15%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.15%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.15%
COMCAST CORP 03.1500 03/01/2026 0.15%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.15%
FHR 3408 EK 20.8259 04/15/2037 0.15%
FHR 4158 TI IO 03.0000 12/15/2042 0.15%
FHR 4176 DI IO 03.0000 12/15/2042 0.15%
FNR 2005-122 SE 18.7697 11/25/2035 0.15%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.15%
GNR 2015-H04 AI IO 01.6907 12/20/2064 0.15%
GNR 2015-H12 EI IO 01.6908 04/20/2065 0.15%
GNR 2016-H11 HI IO 02.0827 01/20/2066 0.15%
JPMCC 2011-C5 D P/P 144A 05.5880 08/15/2046 0.15%
LNSTR 2015-3 C P/P 144A 03.3278 04/20/2048 0.15%
MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 0.15%
STACR 2016-DNA2 M2 03.4372 10/25/2028 0.15%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.15%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.15%
SWPTN 7WX10Y P 2.09 USD 10/27/2017 CS 0.15%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.15%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.15%
WFRBS 2011-C4 E P/P 144A 05.4142 06/15/2044 0.15%
WFRBS 2014-C24 XA IO 01.1025 11/15/2047 0.15%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.14%
ARC PROP OPER PART L 04.6000 02/06/2024 0.14%
BACM 2005-1 B 05.4294 11/10/2042 0.14%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.14%
CENOVUS ENERGY INC. P/P 144A 04.2500 04/15/2027 0.14%
CITIGROUP INC 04.7500 05/18/2046 0.14%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.14%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.14%
GNR 2015-H12 GI IO 01.7893 05/20/2065 0.14%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.14%
GRUPO TELEVISA SAB USD 06.6250 01/15/2040 0.14%
GSMS 2013-GC10 D P/P 144A 04.4100 02/10/2046 0.14%
JPMBB 2013-C17 XA IO 01.0428 01/15/2047 0.14%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.14%
STACR 2013-DN2 M2 05.4872 11/25/2023 0.14%
STACR 2014-DN2 M3 04.8372 04/25/2024 0.14%
STACR 2016-HQA2 M1 02.4372 11/25/2028 0.14%
SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA 0.14%
SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA 0.14%
TEXAS GAS TRANSMISN P/P 144A 04.5000 02/01/2021 0.14%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.14%
WEYERHAEUSER CO 07.3750 03/15/2032 0.14%
WFRBS 2013-C11 XA IO P/P 144A 01.4312 03/15/2045 0.14%
AXA SA P/P 144A 06.3790 12/29/2049 0.13%
CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 0.13%
CAS 2015-C02 2M2 05.2372 05/25/2025 0.13%
COMM 2014-LC15 XA IO 01.4985 04/10/2047 0.13%
FHR 4546 TI IO 04.0000 12/15/2045 0.13%
FNMA FN30 AR3945 03.0000 03/01/2043 0.13%
FNR 2006-8 HP 20.0302 03/25/2036 0.13%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.13%
GNR 2015-H12 AI IO 01.8487 05/20/2065 0.13%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.13%
GSMS 2011-GC3 D P/P 144A 05.8199 03/10/2044 0.13%
GSMS 2014-GC18 XA IO 01.2867 01/10/2047 0.13%
JPMBB 2013-C14 E P/P 144A 04.7211 08/15/2046 0.13%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.13%
JPMCC 2013-LC11 X IO 01.4812 04/15/2046 0.13%
JPMORGAN CHASE & CO 02.2950 08/15/2021 0.13%
MICROSOFT CORP 02.4000 08/08/2026 0.13%
MSC 2012-C4 XA IO P/P 144A 02.2781 03/15/2045 0.13%
SWPTN 2MX10Y P 2.18 USD 10/27/2017 CS 0.13%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.13%
UBSCM 2012-C1 XA IO P/P 144A 02.2686 05/10/2045 0.13%
WESTROCK MWV LLC 08.2000 01/15/2030 0.13%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.13%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.12%
BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 0.12%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.12%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FHR 4116 MI IO 04.0000 10/01/2042 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 0.12%
FHR 4601 PI IO 04.5000 12/15/2045 0.12%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.12%
GNR 2010-H19 GI IO 01.4071 08/20/2060 0.12%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.12%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.12%
GNR 2013-4 IC IO 04.0000 09/20/2042 0.12%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.12%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.12%
GNR 2015-H25 AI IO 01.6125 09/20/2065 0.12%
GNR 2015-H25 CI IO 01.8969 10/20/2065 0.12%
GNR 2016-H04 KI IO 01.7089 02/20/2066 0.12%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.12%
GSMS 2010-C1 D P/P 144A 06.1973 08/10/2043 0.12%
JPMBB 2013-C14 C 04.7211 08/15/2046 0.12%
LEAR CORP 03.8000 09/15/2027 0.12%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.12%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.12%
MSC 2008-T29 F P/P 144A 06.4980 01/11/2043 0.12%
NATIONWIDE MUTUAL P/P 144A 08.2500 12/01/2031 0.12%
NBCUNIVERSAL MEDIA LLC 06.4000 04/30/2040 0.12%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.12%
SPST 2017-1 A 02.1372 02/25/2049 0.12%
UBSBB 2013-C6 XA IO P/P 144A 01.3825 04/10/2046 0.12%
WFRBS 2011-C5 XA IO P/P 144A 01.9250 11/15/2044 0.12%
WFRBS 2012-C9 XB IO P/P 144A 00.8595 11/15/2045 0.12%
2.25 R ISWP FWD US0003M P 12/20/2027 0.11%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.11%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.11%
AIG LIFE HLDG INC P/P 144A 08.1250 03/15/2046 0.11%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.11%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.11%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.11%
BRDCOM CRP / FIN P/P 144A 03.8750 01/15/2027 0.11%
CGCMT 2012-GC8 XA IO P/P 144A 01.9793 09/10/2045 0.11%
CITIGROUP INC 05.9500 12/29/2049 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.11%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.11%
FNR 2006-62 PS 32.4767 07/25/2036 0.11%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.11%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.11%
GSMS 2011-GC5 XA IO P/P 144A 01.5206 08/10/2044 0.11%
GSMS 2013-GC12 XA IO 01.6810 06/10/2046 0.11%
IPALCO ENTPRS IN P/P 144A 03.7000 09/01/2024 0.11%
JPMCC 2007-CB20 C P/P 144A 06.5559 02/12/2051 0.11%
JPMCC 2013-C16 XA IO 01.2782 12/15/2046 0.11%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.11%
MSBAM 2013-C12 XA IO 01.0467 10/15/2046 0.11%
MSBAM 2014-C17 XA IO 01.3954 08/15/2047 0.11%
TELECOM ITALIA SPA P/P 144A 05.3030 05/30/2024 0.11%
UBS GROUP AG REGS 06.8750 12/29/2049 0.11%
VALERO ENERGY PARTNERS 04.3750 12/15/2026 0.11%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.11%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.11%
WP CAREY INC 04.6000 04/01/2024 0.11%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
AMERICAN TOWER CORP 04.0000 06/01/2025 0.10%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.10%
CAS 2015-C04 2M2 06.7872 04/25/2028 0.10%
CFCRE 2011-C2 D P/P 144A 05.9453 12/15/2047 0.10%
CGCMT 2013-GC17 X IO 01.5812 11/10/2046 0.10%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.10%
COMCAST CORP 06.5000 11/15/2035 0.10%
COMM 2012-CR1 XA IO 02.0573 05/15/2045 0.10%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.10%
DEVON ENERGY CORPORATION 03.2500 05/15/2022 0.10%
FHR 3072 SM 04.2533 11/15/2035 0.10%
FHR 4074 KS IO 05.4656 02/15/2041 0.10%
FHR 4500 GI IO 04.0000 08/15/2045 0.10%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
FNR 2005-106 JC 16.2877 12/25/2035 0.10%
FNR 2011-4 CS 10.4256 05/25/2040 0.10%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.10%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.10%
GNR 2014-H08 CI IO 01.4871 03/20/2064 0.10%
GNR 2015-H28 DI IO 01.5468 08/20/2065 0.10%
GSMS 2014-GC18 D P/P 144A 05.1091 01/10/2047 0.10%
HCA INC 05.5000 06/15/2047 0.10%
MSBAM 2015-C25 XA IO 01.2890 10/15/2048 0.10%
NORFOLK SOUTHERN COR P/P 144A 04.0500 08/15/2052 0.10%
PACIFICORP 06.2500 10/15/2037 0.10%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.10%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.10%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.10%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.10%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.10%
TEVA PHARMACEUTICALS NE USD 03.1500 10/01/2026 0.10%
VMWARE INC 03.9000 08/21/2027 0.10%
APPLE INC 04.3750 05/13/2045 0.09%
AT&T INC 03.4000 05/15/2025 0.09%
AT&T INC 04.7500 05/15/2046 0.09%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.09%
AUTONATION INC. 05.5000 02/01/2020 0.09%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.09%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
COMM 2014-UBS6 C 04.6137 12/10/2047 0.09%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.09%
FHR 2990 LB 13.7906 06/15/2034 0.09%
FHR 4132 IP IO 04.5000 11/15/2042 0.09%
FHR 4182 GI IO 03.0000 01/15/2043 0.09%
FNR 12-118 PI IO 04.0000 06/25/2042 0.09%
GENERAL ELECTRIC CO 05.0000 12/29/2049 0.09%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.09%
GNR 2013-53 PI IO 03.0000 04/20/2041 0.09%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.09%
GNR 2015-H09 BI IO 01.6866 03/20/2065 0.09%
GNR 2016-H27 BI IO 02.3436 12/20/2066 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.09%
GSMS 2013-GC12 D P/P 144A 04.5841 06/10/2046 0.09%
GSMS 2014-GC24 XA IO 00.9753 09/10/2047 0.09%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.09%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.09%
LIBERTY MUTUAL GROUP P/P 144A 04.2250 03/15/2037 0.09%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.09%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.09%
SABMILLER HLDG INC 04.9500 01/15/2042 0.09%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.09%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.09%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.09%
SWPTN 5WX10Y P 2.176 USD 10/16/2017 JP 0.09%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.09%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.09%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.09%
WFRBS 2012-C7 D P/P 144A 04.9810 06/15/2045 0.09%
AES CORP/VA 05.1250 09/01/2027 0.08%
ANTHEM INC 04.6250 05/15/2042 0.08%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.08%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.08%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.08%
CREDIT AGRICOLE SA P/P 144A 04.3750 03/17/2025 0.08%
ENERGY TRANSFER LP 06.1250 12/15/2045 0.08%
FIRSTENERGY CORP 04.8500 07/15/2047 0.08%
FNMA FN30 AT0942 03.0000 04/01/2043 0.08%
FNR 2007-53 SP 19.6635 06/25/2037 0.08%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.08%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.08%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.08%
GNR 2015-77 DI IO 03.5000 05/20/2045 0.08%
GNR 2015-H01 CI IO 01.6358 12/20/2064 0.08%
GNR 2015-H10 CI IO 01.8059 04/20/2065 0.08%
GNR 2015-H15 JI IO 01.9443 06/20/2065 0.08%
GNR 2015-H16 XI IO 02.2329 07/20/2065 0.08%
GNR 2015-H17 CI IO 01.6142 06/20/2065 0.08%
GRUPO BIMBO SAB P/P 144A 04.8750 06/27/2044 0.08%
HSBC CAP FUNDING USD P/P 144A 10.1760 12/29/2049 0.08%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.08%
JPMBB 2014-C25 XA IO 01.1209 11/15/2047 0.08%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.08%
MLMT 2008-C1 AJ 06.6650 02/12/2051 0.08%
NEWELL BRANDS INC 04.2000 04/01/2026 0.08%
ONCOR ELECTRIC DELIVERY CO 07.0000 09/01/2022 0.08%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.08%
QVC INC 04.8500 04/01/2024 0.08%
RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 0.08%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 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%
WBCMT 2006-C26 AJ 06.2304 06/15/2045 0.08%
WFCM 2012-LC5 E P/P 144A 04.7802 10/15/2045 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.07%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.07%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
ENERGY TRANSFER LP 06.5000 02/01/2042 0.07%
EXPEDIA INC 05.9500 08/15/2020 0.07%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.07%
FHR 4141 PI IO 03.0000 12/15/2042 0.07%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.07%
FNR 2005-75 GS 16.5383 08/25/2035 0.07%
FNR 2010-35 SG IO 05.1628 04/25/2040 0.07%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.07%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.07%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.07%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.07%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.07%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.07%
GNR 2016-H24 JI IO 02.2031 11/20/2066 0.07%
HCA INC 05.2500 06/15/2026 0.07%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.07%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.07%
PACIFIC GAS & ELECTRIC 05.8000 03/01/2037 0.07%
PACIFIC GAS & ELECTRIC 06.3500 02/15/2038 0.07%
PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
SL GREEN REALTY CORP 05.0000 08/15/2018 0.07%
STACR 2016-DNA2 M1 02.4872 10/25/2028 0.07%
STATOIL ASA USD 05.1000 08/17/2040 0.07%
SWPTN 1MX10Y P 2.23 USD 10/23/2017 JP 0.07%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.07%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 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%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
UNITEDHEALTH GROUP INC 04.6250 11/15/2041 0.07%
VERIZON COMM 04.5220 09/15/2048 0.07%
WAMU 2005-AR1 A2B 02.0372 01/25/2045 0.07%
WFMBS 2005-AR16 6A4 03.4495 10/25/2035 0.07%
WFRBS 2013-C12 XA IO P/P 144A 01.5049 03/15/2048 0.07%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.07%
AMAZON.COM INC P/P 144A 04.0500 08/22/2047 0.06%
AXA SA P/P 144A 06.4630 12/29/2049 0.06%
BANCO DEL ESTADO P/P 144A 02.0000 11/09/2017 0.06%
CBS CORP 03.5000 01/15/2025 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.06%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.06%
ENERGY TRANSFER LP 05.2000 02/01/2022 0.06%
FHR 4206 IP IO 03.0000 12/15/2041 0.06%
FNMA FN30 AB9238 03.0000 05/01/2043 0.06%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.06%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.06%
GENERAL MOTORS CO 04.8750 10/02/2023 0.06%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.06%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.06%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.06%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.06%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.06%
GNR 2015-H20 AI IO 01.8243 08/20/2065 0.06%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.06%
JPMCC 2007-CB20 B P/P 144A 06.5559 02/12/2051 0.06%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.06%
LIBERTY MUTUAL INSUR P/P 144A 07.6970 10/15/2097 0.06%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.06%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.06%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.06%
S&P GLOBAL INC 04.4000 02/15/2026 0.06%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.06%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.06%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.06%
SWPTN 5WX10Y P 2.25 USD 10/27/2017 GS 0.06%
SWPTN 7WX10Y P 2.34875 USD 10/27/2017 CS 0.06%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
ZF NA CAPITAL P/P 144A 04.5000 04/29/2022 0.06%
ALTRIA GROUP INC 04.0000 01/31/2024 0.05%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.05%
CVS PASS-THROUGH P/P 144A 04.7040 01/10/2036 0.05%
D.R. HORTON INC 05.7500 08/15/2023 0.05%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.05%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.05%
FHR 4122 TI IO 04.5000 10/15/2042 0.05%
FHR 4183 MI IO 03.0000 02/15/2042 0.05%
FIRSTENERGY CORP 03.9000 07/15/2027 0.05%
FNMA FN30 AP3817 03.0000 09/01/2042 0.05%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.05%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.05%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.05%
GSMS 2012-GC6 D P/P 144A 05.8406 01/10/2045 0.05%
HESS CORP 07.3000 08/15/2031 0.05%
INVISTA FINANCE LLC P/P 144A 04.2500 10/15/2019 0.05%
JPMCC 2012-LC9 D P/P 144A 04.5299 12/15/2047 0.05%
L BRANDS INC 05.6250 02/15/2022 0.05%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.05%
OMNICOM GROUP INC 03.6000 04/15/2026 0.05%
REPUBLIC SERVICES INC. 03.8000 05/15/2018 0.05%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.05%
SWPTN 1MX10Y P 2.187 USD 10/05/2017 CS 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 5WX10Y R 2.22 USD 10/30/2017 GS 0.05%
SWPTN LIABILITY 5WX10Y R 2.304 USD 10/30/2017 GS 0.05%
US TREASURY N/B 02.0000 09/30/2020 0.05%
VERIZON COMMUNICATIONS 04.1250 03/16/2027 0.05%
WELLS FARGO & COMPANY 05.8750 12/29/2049 0.05%
2.201 R ISWP US0003M P 10/03/2027 0.04%
ANADARKO PETROLEUM CORP 07.2000 03/15/2029 0.04%
BANK OF AMERICA CORP 02.0800 09/15/2026 0.04%
CAS 2016-C06 1M2 05.4872 04/25/2029 0.04%
CAS 2017-C06 2M2 04.0372 02/25/2030 0.04%
CBS CORP 02.9000 01/15/2027 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.7 2047-01-17 500.0 01/17/2047 GS 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.04%
COMM 2014-CR16 XA IO 01.3450 04/10/2047 0.04%
CVS HEALTH CORP 04.7500 12/01/2022 0.04%
DCP MIDSTREAM OPERATING 02.7000 04/01/2019 0.04%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.04%
EMERA US FINANCE LP 03.5500 06/15/2026 0.04%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.04%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.04%
FHLMC FH30G Q44706 03.5000 12/01/2046 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%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.04%
FHR 4018 DI IO 04.5000 07/15/2041 0.04%
FNMA FN30 BC5322 03.5000 03/01/2046 0.04%
FNMA FN30 BC7330 03.5000 12/01/2046 0.04%
FNMA FN30 BD8704 03.5000 12/01/2046 0.04%
FNMA FN30 BE4222 03.5000 12/01/2046 0.04%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.04%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
GNR 2013-129 SN IO 04.9139 09/20/2043 0.04%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.04%
GNR 2015-H22 EI IO 01.6172 08/20/2065 0.04%
HCA INC 05.0000 03/15/2024 0.04%
HEALTHCARE REALTY TRUST INC 03.8750 05/01/2025 0.04%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.04%
HYATT HOTELS CORP 03.3750 07/15/2023 0.04%
JABIL INC 08.2500 03/15/2018 0.04%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.04%
METLIFE INC 06.4000 12/15/2036 0.04%
NVR INC 03.9500 09/15/2022 0.04%
O'REILLY AUTOMOTIVE INC 03.5500 03/15/2026 0.04%
O'REILLY AUTOMOTIVE INC 03.8500 06/15/2023 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%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.04%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 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 5WX10Y P 2.398 USD 10/30/2017 BA 0.04%
SWPTN LIABILITY 5WX10Y P 2.306 USD 10/30/2017 BA 0.04%
SWPTN LIABILITY 5WX10Y R 2.306 USD 10/30/2017 BA 0.04%
TELEFONICA EMISIONES SAU USD 07.0450 06/20/2036 0.04%
TIME WARNER INC 03.8000 02/15/2027 0.04%
ABBVIE INC 03.6000 05/14/2025 0.03%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.03%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.03%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.03%
CVS HEALTH CORP 05.1250 07/20/2045 0.03%
ENERGY TRANSFER LP 04.2000 04/15/2027 0.03%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.03%
FNMA FN30 AL8205 03.0000 05/01/2045 0.03%
FNMA FN30 AP6568 03.0000 09/01/2042 0.03%
FNMA FN30 AR4126 03.0000 02/01/2043 0.03%
FNMA FN30 BA5236 03.5000 12/01/2045 0.03%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.03%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.03%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.03%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.03%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.03%
KINDER MORGAN INC 03.1500 01/15/2023 0.03%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.03%
LBUBS 2006-C6 B 05.4720 09/15/2039 0.03%
MEDTRONIC INC 03.5000 03/15/2025 0.03%
MEDTRONIC INC 04.3750 03/15/2035 0.03%
MSC 2011-C3 E P/P 144A 05.3268 07/15/2049 0.03%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.03%
NORTHROP GRUMMAN SYSTEMS 07.8750 03/01/2026 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%
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 3MX1Y P 1.6775 USD 11/30/2017 GS 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%
TIME WARNER INC 02.9500 07/15/2026 0.03%
VERIZON COMMUNICATIONS 04.4000 11/01/2034 0.03%
2.2405 R ISWP US0003M P 10/03/2027 0.02%
2.2495 R ISWP US0003M P 10/03/2027 0.02%
AFLAC INC 06.4500 08/15/2040 0.02%
AGRIUM INC USD 05.2500 01/15/2045 0.02%
ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 0.02%
BGC PARTNERS INC 05.1250 05/27/2021 0.02%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.02%
CITIGROUP INC 05.9000 12/29/2049 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 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 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 0.02%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.02%
DCP MIDSTREAM OPERATING 03.8750 03/15/2023 0.02%
DUKE REALTY LP 03.8750 02/15/2021 0.02%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.02%
FHR 2976 LC 19.8937 05/15/2035 0.02%
FHR 3300 PO PO 00.0000 02/15/2037 0.02%
FIRSTENERGY CORP 04.2500 03/15/2023 0.02%
FNMA FN30 AP3902 03.0000 10/01/2042 0.02%
FNR 2005-83 QP 14.1772 11/25/2034 0.02%
GECMC 2007-C1 XC IO P/P 144A 00.2529 12/10/2049 0.02%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.02%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.02%
GNR 2011-116 IA IO 04.5000 10/20/2039 0.02%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.02%
HOST HOTELS & RESORTS 05.2500 03/15/2022 0.02%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.02%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.02%
KRAFT HEINZ FOODS CO 06.8750 01/26/2039 0.02%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.02%
PRICELINE GROUP INC/THE 03.6500 03/15/2025 0.02%
PRIMERICA INC 04.7500 07/15/2022 0.02%
REALTY INCOME CORP 04.6500 08/01/2023 0.02%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.02%
SELECT INCOME REIT 02.8500 02/01/2018 0.02%
SELECT INCOME REIT 03.6000 02/01/2020 0.02%
SHERWIN-WILLIAMS CO 02.7500 06/01/2022 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 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.02%
SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
VULCAN MATERIALS COMPANY 04.5000 04/01/2025 0.02%
WESTROCK MWV LLC 07.9500 02/15/2031 0.02%
1.80 R ISWP FWD US0003M P 12/20/2019 0.01%
ALLERGAN FUNDING SCS USD 04.7500 03/15/2045 0.01%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.01%
AUTONATION INC 04.5000 10/01/2025 0.01%
BOARDWALK PIPELINES LP 04.4500 07/15/2027 0.01%
BSCMS 06-PW14 X1 IO P/P 144A 00.5255 12/11/2038 0.01%
CBRE SERVICES INC 05.2500 03/15/2025 0.01%
CITIGROUP INC 05.8750 12/29/2049 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.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 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 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CONSTELLATION BRANDS INC 03.7000 12/06/2026 0.01%
CONSTELLATION BRANDS INC. 03.8750 11/15/2019 0.01%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.01%
EXPEDIA INC 05.0000 02/15/2026 0.01%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.01%
FHR 3210 PO PO 00.0000 05/15/2036 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FHR 3707 PI IO 04.5000 07/15/2025 0.01%
FN30 05.000 2008 0.01%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.01%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.01%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.01%
JPMCC 2007-LDPX X IO 00.3229 01/15/2049 0.01%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.01%
MLCFC 2006-4 XC IO P/P 144A 00.7065 12/12/2049 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
OPTN FN30 3.0 11/06/17 CALL 100.90625 JPMC 0.01%
STACR 2014-HQ3 M2 03.8872 10/25/2024 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%
SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI 0.01%
TYSON FOODS INC 04.8750 08/15/2034 0.01%
TYSON FOODS INC 05.1500 08/15/2044 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 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%
BACM 2004-4 XC IO P/P 144A 00.0477 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4284 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 00.4115 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0831 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.2078 02/11/2041 0.00%
CAS 2014-C03 1M1 02.4372 07/25/2024 0.00%
CAS 2014-C03 2M1 02.4372 07/25/2024 0.00%
CD 2007-CD4 XW IO P/P 144A 00.7424 12/11/2049 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 JP 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 JP 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 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 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 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%
COMM 2006-C8 XS IO P/P 144A 00.6478 12/10/2046 0.00%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 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 00.1033 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 3326 WF 00.0000 10/15/2035 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
GECMC 2005-C3 XC IO P/P 144A 00.0747 07/10/2045 0.00%
GMACC 1997-C1 X IO 01.6067 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 00.6123 05/10/2043 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%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
GSMS 2006-GG6 XC IO P/P 144A 00.0000 04/10/2038 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 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 00.4295 09/12/2037 0.00%
JPMCC 06-LDP6 X1 IO P/P 144A 00.0059 04/15/2043 0.00%
JPMCC 2006-LDP8 X IO 00.5248 05/15/2045 0.00%
JPMCC 2007-CB20 AJ 06.4559 02/12/2051 0.00%
LBUBS 2005-C2 XCL IO P/P 144A 00.1950 04/15/2040 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.4879 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.4551 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.4551 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 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 2004-C1 X IO P/P 144A 09.3210 01/15/2037 0.00%
MEZZ 2005-C3 X IO P/P 144A 07.1563 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 06.7859 07/15/2045 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.6738 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0050 06/12/2043 0.00%
OPTN FN30 3.0 11/06/17 CALL 101.78125 JPMC 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 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%
WBCMT 2006-C26 XC IO P/P 144A 00.0527 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.4424 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.3284 05/15/2046 0.00%
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 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.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -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 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 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -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%
2.50 R ISWP FWD US0003M P 12/20/2047 -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.02%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -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%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -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 15DX10Y R 2.3 USD 10/13/2017 GS -0.03%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.03%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -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%
SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI -0.03%
SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI -0.03%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.04%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.04%
SWPTN 5WX10Y P 2.306 USD 10/30/2017 BA -0.04%
SWPTN LIABILITY 5WX10Y P 2.398 USD 10/30/2017 BA -0.04%
SWPTN LIABILITY 5WX10Y R 2.214 USD 10/30/2017 BA -0.04%
FLR USL3M 6.00 03/07/2018 JP -0.05%
SWPTN 5WX10Y R 2.304 USD 10/30/2017 GS -0.05%
SWPTN 5WX10Y R 2.306 USD 10/30/2017 BA -0.05%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.05%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.05%
SWPTN LIABILITY 5WX10Y R 2.22 USD 10/30/2017 GS -0.05%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.06%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.06%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.06%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.06%
SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI -0.06%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.06%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.07%
SWPTN 1MX10Y P 2.33925 USD 10/23/2017 JP -0.08%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.08%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.08%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.08%
SWPTN 5WX10Y P 2.365 USD 10/27/2017 GS -0.08%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.09%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.09%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.09%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.09%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.09%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.09%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.09%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.10%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.11%
SWPTN 5WX10Y P 2.284 USD 10/16/2017 JP -0.11%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.12%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.14%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.17%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.17%
SWPTN 2MX10Y P 2.295 USD 10/27/2017 CS -0.18%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.20%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.20%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.22%
SWPTN 7WX10Y P 2.21 USD 10/27/2017 CS -0.25%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.30%
FHLMC FH30G TBA 03.0000 10/01/2047 -0.40%
FNMA FN30 TBA 04.0000 11/01/2047 -0.84%

Prior top 10 holdings

Top 10 holdings as of 10/31/17
1: Fnma Fn30 Tba 03.5000 12/01/2047 11.97%
2: Gnma Gii30 Tba 04.0000 11/01/2047 4.22%
3: Fnma Fn30 Tba 03.0000 11/01/2047 4.02%
4: Fnma Fn30 Tba 02.5000 11/01/2047 3.11%
5: Gnma Gii30 Tba 04.5000 11/01/2047 2.56%
6: Fnma Fn30 Tba 03.0000 12/01/2047 2.01%
7: Gnma Gii30 Tba 03.0000 11/01/2047 1.63%
8: Gnma Gii30 Tba 05.0000 11/01/2047 1.29%
9: Bf0101 03.5000 06/01/2056 1.18%
10: Wamu 2005-Ar13 A1c4 01.6679 10/25/2045 1.08%
Holdings represent 33.07% of portfolio
Top 10 holdings as of 09/30/17
1: Fnma Fn30 Tba 03.5000 11/01/2047 11.96%
2: Fnma Fn30 Tba 03.0000 11/01/2047 6.83%
3: Fnma Fn30 Tba 02.5000 10/01/2047 3.10%
4: Gnma Gii30 Tba 04.0000 10/01/2047 2.95%
5: Fnma Fn30 Tba 04.5000 11/01/2047 1.72%
6: Gnma Gii30 Tba 03.0000 10/01/2047 1.63%
7: Gnma Gii30 Tba 05.0000 10/01/2047 1.29%
8: Gnma Gii30 Tba 04.5000 10/01/2047 1.28%
9: Bf0101 03.5000 06/01/2056 1.19%
10: Wamu 2005-Ar13 A1c4 01.6672 10/25/2045 1.06%
Holdings represent 33.01% of portfolio
Top 10 holdings as of 08/31/17
1: Fnma Fn30 Tba 03.5000 10/01/2047 7.34%
2: Fnma Fn30 Tba 03.0000 10/01/2047 6.77%
3: Fnma Fn30 Tba 03.5000 09/01/2047 5.31%
4: Fnma Fn30 Tba 02.5000 09/01/2047 3.09%
5: Fnma Fn30 Tba 04.5000 09/01/2047 2.97%
6: Gnma Gii30 Tba 04.0000 10/01/2047 1.66%
7: Gnma Gii30 Tba 03.0000 09/01/2047 1.61%
8: Gnma Gii30 Tba 05.0000 09/01/2047 1.27%
9: Bf0101 03.5000 06/01/2056 1.19%
10: Wamu 2005-Ar13 A1c4 01.6644 10/25/2045 1.04%
Holdings represent 32.25% of portfolio
Top 10 holdings as of 07/31/17
1: Fnma Fn30 Tba 03.5000 09/01/2047 12.84%
2: Fnma Fn30 Tba 03.0000 09/01/2047 5.08%
3: Fnma Fn30 Tba 02.5000 09/01/2047 3.02%
4: Fnma Fn30 Tba 04.5000 09/01/2047 2.93%
5: Gnma Gii30 Tba 03.0000 08/01/2047 1.58%
6: Gnma Gii30 Tba 05.0000 08/01/2047 1.26%
7: Bf0101 03.5000 06/01/2056 1.17%
8: Wamu 2005-Ar13 A1c4 01.6622 10/25/2045 1.06%
9: Cas 2016-C03 1m2 06.5322 10/25/2028 1.00%
10: Stacr 2015-Dn1 M3 05.3822 01/25/2025 0.92%
Holdings represent 30.86% of portfolio

Sector Weightings as of 10/31/17

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 13.51% 0.83 31.78% 1.82 45.29% 2.65
Commercial MBS 18.50% 0.67 13.74% 0.56 32.24% 1.23
Investment-grade corporate bonds 26.48% 2.44 0.00% 0.00 26.48% 2.44
Agency CMO 18.40% 0.63 0.59% 0.02 18.99% 0.65
Residential MBS (non-agency) 9.59% 0.41 0.00% 0.00 9.59% 0.41
Net cash 8.82% 0.00 0.00% 0.00 8.82% 0.00
Asset-backed securities (ABS) 0.74% 0.00 0.00% 0.00 0.74% 0.00
Municipal bonds 0.51% 0.07 0.00% 0.00 0.51% 0.07
Emerging-market bonds 0.28% 0.03 0.00% 0.00 0.28% 0.03
U.S. Treasury/agency 0.05% 0.00 0.00% 1.59 0.05% 1.59
Interest rate swaps 0.00% 0.00 0.00% -1.23 0.00% -1.23
High-yield corporate bonds 3.12% 0.18 -4.09% -0.18 -0.97% 0.00

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

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 10/31/17

United States 93.17%
United Kingdom 1.41%
Canada 1.11%
Bermuda 1.01%
France 0.90%
Netherlands 0.62%
Switzerland 0.32%
Germany 0.30%
Japan 0.26%
 
Other
0.90%
Mexico 0.22%
Spain 0.21%
Italy 0.11%
Ireland 0.10%
Jersey 0.08%
Luxembourg 0.08%
Chile 0.06%
Norway 0.04%

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%