Putnam Allstate Advisor Preferred

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 12/07/18

with optional enhanced death benefits
Unit Value $18.331282 $17.818886
Unit Value Change 0.03356 0.032549

Lipper ranking ‡ as of 10/31/18

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/72
1 yr. 2% 2/109
3 yrs. 9% 9/101
5 yrs. 11% 10/95

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 11/30/18

Fiscal Year End December
Asset Class Putnam Allstate Advisor Preferred
Subaccount Status Open to new investors
Number of issues 1116
Turnover (fiscal year end) 848%
Net Assets $232M
Inception Date 02/01/88

Performance

Performance as of 09/30/18

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value -0.69% -1.41% -0.92% 0.55% 1.11% 4.15% 4.27%
Standardized -2.68% -3.38% -2.90% 0.55% 1.11% 4.15% 4.27%
With optional enhanced death benefit
Unit Value -0.73% -1.52% -1.06% 0.40% 0.95% 3.99% 4.11%
Standardized -2.72% -3.49% -3.04% 0.40% 0.95% 3.99% 4.11%
Actual performance
Unit Value -0.69% -1.41% -0.92% 0.55% 1.11% 4.15% 3.44%
Standardized -2.68% -3.38% -2.90% 0.55% 1.11% 4.15% 3.44%
With optional enhanced death benefit
Unit Value -0.73% -1.52% -1.06% 0.40% 0.95% 3.99% 2.86%
Standardized -2.72% -3.49% -3.04% 0.40% 0.95% 3.99% 2.86%

Annual Performance at NAV

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
-25.18% 44.24% 8.06% 3.27% 8.91% 0.19% 4.70% -3.08% 0.32% 3.86%
With optional enhanced death benefit
-25.30% 44.02% 7.89% 3.12% 8.75% 0.04% 4.54% -3.23% 0.17% 3.70%

Restated performance

Monthly as of 11/30/18

Unit Value 0.15%
Standardized -1.85%

YTD as of 12/07/18

Unit Value -1.72%
Standardized -3.69%

With optional enhanced death benefit

Monthly as of 11/30/18

Unit Value 0.13%
Standardized -1.87%

YTD as of 12/07/18

Unit Value -1.86%
Standardized -3.82%

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 10/31/18

Avg. Eff. Maturity 9.42
Avg. Price 85.56
Avg. Eff. Duration 5.05
Avg. Coupon 4.07
Avg. Yield to Maturity 4.81
Alpha (%) --
Beta 0.72
R Squared 0.43
Standard Deviation (3 yrs.) 2.94

Maturity Details

0 to 1 yr. 13.43%
1 to 5 yrs. 21.58%
5 to 10 yrs. 56.90%
10 to 15 yrs. 1.54%
Over 15 yrs. 6.55%

Quality Ratings

AAA 49.47%
AA 4.64%
A 9.99%
BBB 20.73%
BB 8.04%
B 3.13%
CCC and Below 0.91%
Not Rated 3.09%

Holdings

Top 10 holdings as of 10/31/18

Gnma Gii30 Tba 04.5000 12/01/2048 2.19%
Gnma Gii30 Tba 04.0000 11/01/2048 2.15%
Gnma Gii30 Tba 03.5000 11/01/2048 2.10%
Fnma Fn30 Tba 02.5000 11/01/2048 1.56%
Cas 2016-C03 1m2 07.5814 10/25/2028 1.10%
Fnma Fn40 Bf0169 3.500000 01/01/2057 1.07%
Bf0101 03.5000 06/01/2056 1.04%
Wamu 2005-Ar13 A1c4 02.7114 10/25/2045 0.96%
Fnma Fn30 Tba 06.0000 11/01/2048 0.92%
Fnma Fn30 Tba 05.5000 11/01/2048 0.91%
Top 10 holdings, total: 14.00%

Full Portfolio Holdings as of 09/30/18

GNMA GII30 TBA 04.5000 10/01/2048 2.17%
GNMA GII30 TBA 04.0000 10/01/2048 2.14%
GNMA GII30 TBA 03.5000 10/01/2048 2.09%
FNMA FN30 TBA 03.5000 10/01/2048 1.65%
FNMA FN30 TBA 02.5000 10/01/2048 1.56%
CAS 2016-C03 1M2 07.5158 10/25/2028 1.09%
FNMA FN40 BF0169 3.500000 01/01/2057 1.08%
BF0101 03.5000 06/01/2056 1.04%
WAMU 2005-AR13 A1C4 02.6458 10/25/2045 0.96%
GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 0.93%
FNMA FN30 TBA 06.0000 10/01/2048 0.91%
FNMA FN30 TBA 05.5000 10/01/2048 0.90%
FNMA FN30 TBA 04.0000 11/01/2048 0.85%
CAS 2016-C03 2M2 08.1158 10/25/2028 0.84%
CAS 2016-C02 1M2 08.2158 09/25/2028 0.82%
FNMA FN40 BF0219 03.5000 09/01/2057 0.81%
STACR 2015-DN1 M3 06.3658 01/25/2025 0.81%
GNMA GII30 MA5194 05.0000 05/20/2048 0.78%
FHS 315 PO PO 00.0000 09/15/2043 0.69%
FNMA FN30 AS7363 03.0000 06/01/2046 0.68%
BMIR 2017-1 M2 P/P 144A 05.5658 10/25/2027 0.67%
STACR 2015-DNA3 M2 05.0658 04/25/2028 0.66%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.65%
SPST 2018-1 A 03.1122 04/24/2019 0.65%
STACR 2016-HQA1 M3 08.5658 09/25/2028 0.60%
HALFMOON PARENT INC P/P 144A 03.7500 07/15/2023 0.59%
FNMA FN30 AL8994 04.0000 09/01/2045 0.58%
FHLMC FH30G G60314 04.0000 09/01/2045 0.57%
GNMA GII30 MA5266 05.0000 06/20/2048 0.53%
WAMU 2005-AR17 A1B2 02.6258 12/25/2045 0.52%
BCAP 2015-RR5 2A2 02.8167 01/26/2046 0.51%
CAS 2017-C01 1M2 05.7658 07/25/2029 0.51%
SPST 2018-3 A 02.9122 07/24/2019 0.51%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.48%
CITIGROUP INC 04.4500 09/29/2027 0.46%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.46%
WFRBS 2012-C10 D P/P 144A 04.5903 12/15/2045 0.46%
BMW US CAPITAL LLC P/P 144A 03.9500 08/14/2028 0.45%
SALESFORCE.COM INC 03.7000 04/11/2028 0.45%
FNMA FN30 TBA 04.5000 10/01/2048 0.43%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.42%
GNMA GII30 TBA 03.0000 10/01/2048 0.41%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.39%
FAIRFAX FINL HLDGS P/P 144A 04.8500 04/17/2028 0.39%
GNMA GII30 635173 03.5000 02/20/2047 0.39%
STACR 2016-DNA2 M3 06.8658 10/25/2028 0.39%
CAS 2016-C03 1M1 04.2158 10/25/2028 0.37%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.37%
DIGITAL REALTY TRUST LP 04.4500 07/15/2028 0.36%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.36%
FNMA FN30 AS8684 03.5000 01/01/2047 0.36%
FNMA FN30 BC1489 03.0000 08/01/2046 0.36%
SPST 2018-5 A 02.9122 09/24/2019 0.36%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.35%
FHR 3835 FO PO 00.0000 04/15/2041 0.35%
FNMA FN30 BM1172 03.0000 03/01/2047 0.35%
JPMBB 2013-C14 D P/P 144A 04.7200 08/15/2046 0.35%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.35%
STACR 2016-DNA3 M3 07.2158 12/25/2028 0.35%
FNMA FN30 BC1445 03.0000 07/01/2046 0.34%
GNR 2016-H23 NI IO 02.0032 10/20/2066 0.34%
COMM 2014-CR17 C 04.8976 05/10/2047 0.33%
WFRBS 2011-C2 D P/P 144A 05.8386 02/15/2044 0.33%
WFRBS 2013-C15 D P/P 144A 04.6207 08/15/2046 0.33%
CAS 2014-C04 1M2 07.1158 11/25/2024 0.32%
FHLMC FH30G G60861 03.5000 01/01/2047 0.32%
FISERV INC 04.2000 10/01/2028 0.32%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.32%
BSCMS 2006-PW11 B P/P 144A 05.2830 03/11/2039 0.31%
CITIGROUP INC 03.6680 07/24/2028 0.31%
KEURIG DR PEPPER INC P/P 144A 04.5970 05/25/2028 0.31%
MORGAN STANLEY 04.3750 01/22/2047 0.31%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.31%
BPCE SA P/P 144A 04.5000 03/15/2025 0.30%
CVS HEALTH CORP 04.7800 03/25/2038 0.30%
GSMS 2014-GC18 C 05.1079 01/10/2047 0.30%
MSBAM 2013-C10 E P/P 144A 04.2185 07/15/2046 0.30%
UNITEDHEALTH GROUP INC 03.8500 06/15/2028 0.30%
INTERPUBLIC GROUP COS 04.6500 10/01/2028 0.29%
STACR 2016-HQA2 M3 07.3658 11/25/2028 0.29%
UBSBB 2012-C2 E P/P 144A 05.0497 05/10/2063 0.29%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.28%
FNMA FN30 BC0960 04.0000 06/01/2046 0.28%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.28%
GSMS 2014-GC22 XA IO 01.1470 06/10/2047 0.28%
OSHKOSH CORP 04.6000 05/15/2028 0.28%
WFRBS 2014-C22 XA IO 00.9984 09/15/2057 0.28%
ZOETIS INC 03.9000 08/20/2028 0.28%
CGCMT 2014-GC19 X IO 01.3053 03/10/2047 0.27%
ELANCO ANIMAL HEALTH P/P 144A 04.9000 08/28/2028 0.27%
MICROCHIP TECH INC P/P 144A 04.3330 06/01/2023 0.27%
AT&T INC P/P 144A 04.1000 02/15/2028 0.26%
GNR 2016-H02 HI IO 01.1516 01/20/2066 0.26%
JPMCC 2011-C3 F P/P 144A 05.8654 02/15/2046 0.26%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.26%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.26%
VODAFONE GROUP PLC USD 04.3750 05/30/2028 0.26%
WFRBS 2013-C17 C 05.2275 12/15/2046 0.26%
WILLIAMS COMPANIES INC 04.3000 03/04/2024 0.26%
CAS 2018-C04 2M2 04.7658 12/25/2030 0.25%
FHLMC FH30G V80357 03.5000 08/01/2043 0.25%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.25%
FNMA FN30 AY8222 04.5000 05/01/2045 0.25%
WFRBS 2013-C14 XA IO 00.8745 06/15/2046 0.25%
BANCO SANTANDER SA USD 04.3790 04/12/2028 0.24%
CFCRE 2011-C2 E P/P 144A 05.9474 12/15/2047 0.24%
FNMA FN30 AU1625 03.5000 07/01/2043 0.24%
FNMA FN30 BD0189 03.5000 06/01/2046 0.24%
ALPHABET INC 01.9980 08/15/2026 0.23%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.23%
FNMA FN30 AX7296 04.5000 12/01/2044 0.23%
FNMA FN30 BD0959 03.5000 06/01/2046 0.23%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.23%
WEC ENERGY GROUP INC 04.4263 05/15/2067 0.23%
CSAIL 2015-C1 D P/P 144A 03.9395 04/15/2050 0.22%
FHLMC FH30G V80012 03.0000 03/01/2043 0.22%
FIDELITY NATIONAL INFORM 04.2500 05/15/2028 0.22%
FNMA FN30 AS4991 03.5000 05/01/2045 0.22%
JPMCC 2012-C6 E P/P 144A 05.3117 05/15/2045 0.22%
WFCM 2014-LC16 XA IO 01.4977 08/15/2050 0.22%
AIR LEASE CORP 04.6250 10/01/2028 0.21%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.21%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.21%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.21%
GNMA GII30 BD1731 03.5000 01/20/2048 0.21%
GNMA GII30 BE1441 03.5000 11/20/2047 0.21%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.21%
HSBC HOLDINGS PLC USD 06.3750 12/29/2049 0.21%
MICROSOFT CORP 02.4000 08/08/2026 0.21%
NORTHROP GRUMMAN CORP 03.2500 01/15/2028 0.21%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.20%
GNR 2014-H11 GI IO 01.4685 06/20/2064 0.20%
GNR 2017-H08 NI IO 02.1385 03/20/2067 0.20%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.20%
JPMBB 2014-C22 XA IO 01.0379 09/15/2047 0.20%
MSBAM 2013-C11 D P/P 144A 04.5027 08/15/2046 0.20%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.20%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.20%
BMIR 2017-1 M1 P/P 144A 03.9158 10/25/2027 0.19%
BMIR 2018-2A M1B P/P 144A 03.5658 08/25/2028 0.19%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.19%
GNR 2014-H07 BI IO 01.4564 05/20/2064 0.19%
GNR 2017-H14 EI IO 01.3557 06/20/2067 0.19%
STACR 2017-HQA1 M2 05.7658 08/25/2029 0.19%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.19%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.18%
CGCMT 2014-GC21 D P/P 144A 05.0906 05/10/2047 0.18%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.18%
GNR 2015-H13 AI IO 02.0964 06/20/2065 0.18%
GSMS 2013-GC10 E P/P 144A 04.5439 02/10/2046 0.18%
LEAR CORP 03.8000 09/15/2027 0.18%
NHEL 2004-2 M4 04.0158 09/25/2034 0.18%
REPUBLIC SERVICES INC 03.9500 05/15/2028 0.18%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.18%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.18%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.18%
UBSBB 2012-C2 XA IO P/P 144A 01.4878 05/10/2063 0.18%
WAMU 2005-AR11 A1C3 02.7258 08/25/2045 0.18%
BACM 2005-1 B 05.6875 11/10/2042 0.17%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.17%
DBUBS 2011-LC3A D P/P 144A 05.5156 08/10/2044 0.17%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.17%
FHR 4663 KI IO 03.5000 11/15/2042 0.17%
FNMA FN30 AW7089 04.5000 07/01/2044 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 2009-121 UI IO 05.0000 12/20/2039 0.17%
GNR 2017-H12 QI IO 01.9490 05/20/2067 0.17%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.17%
GSMS 2013-GC10 XA IO 01.6672 02/10/2046 0.17%
JPMCC 2012-C8 D P/P 144A 04.8063 10/15/2045 0.17%
MSBAM 2013-C7 XA IO 01.4965 02/15/2046 0.17%
ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 0.17%
STACR 2015-DNA2 M2 04.8158 12/25/2027 0.17%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.17%
APPLE INC 04.3750 05/13/2045 0.16%
BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 0.16%
CAS 2014-C03 2M2 05.1158 07/25/2024 0.16%
COMM 2013-CR11 XA IO 01.2718 08/10/2050 0.16%
COMM 2014-CR19 XA IO 01.3444 08/10/2047 0.16%
COMM 2014-UBS6 XA IO 01.1114 12/10/2047 0.16%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.16%
FHR 4546 TI IO 04.0000 12/15/2045 0.16%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.16%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.16%
GNR 2017-H09 DI IO 01.8924 03/20/2067 0.16%
GNR 2017-H10 MI IO 01.6428 04/20/2067 0.16%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.16%
LNSTR 2015-3 C P/P 144A 03.2171 04/20/2048 0.16%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.16%
STACR 2017-DNA3 M2 04.7158 03/25/2030 0.16%
UBSCM 2017-C7 XA IO 01.2261 12/15/2050 0.16%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.15%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.15%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.15%
COMCAST CORP 03.1500 03/01/2026 0.15%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.15%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.15%
EQT CORP 03.9000 10/01/2027 0.15%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.15%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.15%
JPMCC 2007-CB20 E P/P 144A 06.4410 02/12/2051 0.15%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.15%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.15%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.15%
WFRBS 2012-C10 XA IO P/P 144A 01.7164 12/15/2045 0.15%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.14%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.14%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.14%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.14%
GNR 2016-H06 AI IO 01.3347 02/20/2066 0.14%
GNR 2016-H11 HI IO 02.0888 01/20/2066 0.14%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.14%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.14%
JPMBB 2013-C14 E P/P 144A 04.7200 08/15/2046 0.14%
STACR 2013-DN2 M2 06.4658 11/25/2023 0.14%
STACR 2014-DN2 M3 05.8158 04/25/2024 0.14%
AMGEN INC 04.6630 06/15/2051 0.13%
AXA SA P/P 144A 06.3790 12/29/2049 0.13%
CBS CORP 04.6000 01/15/2045 0.13%
COMM 2014-LC15 XA IO 01.4476 04/10/2047 0.13%
FHR 3065 DC 13.3847 03/15/2035 0.13%
FHR 3852 NT 03.8416 05/15/2041 0.13%
FHR 4158 TI IO 03.0000 12/15/2042 0.13%
FHR 4601 PI IO 04.5000 12/15/2045 0.13%
GNMA GII30 BG6110 04.0000 05/20/2048 0.13%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.13%
GNR 2015-H12 EI IO 01.6927 04/20/2065 0.13%
GNR 2015-H12 GI IO 01.7903 05/20/2065 0.13%
GNR 2016-H14 IO IO 01.6686 06/20/2066 0.13%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.13%
JPMCC 2012-LC9 XA IO 01.7006 12/15/2047 0.13%
MSBAM 2013-C12 XA IO 00.8120 10/15/2046 0.13%
MSC 2016-UB12 XA IO 00.9465 12/15/2049 0.13%
ORACLE CORP 02.6500 07/15/2026 0.13%
ORACLE CORP 03.2500 11/15/2027 0.13%
SAIL 2004-10 A10 03.1158 11/25/2034 0.13%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.13%
STACR 2018-DNA2 B1 05.9158 12/25/2030 0.13%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.13%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.13%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.13%
WESTROCK MWV LLC 08.2000 01/15/2030 0.13%
WFRBS 2012-C9 XA IO P/P 144A 02.0476 11/15/2045 0.13%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.12%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.12%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.12%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.12%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 0.12%
FHR 4176 DI IO 03.0000 12/15/2042 0.12%
GNMA GII30 BE1437 03.5000 11/20/2047 0.12%
GNMA GII30 BE1440 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 2012-136 IO IO 03.5000 11/20/2042 0.12%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.12%
GNR 2015-H04 AI IO 01.0688 12/20/2064 0.12%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.12%
GSMS 2010-C1 D P/P 144A 06.1966 08/10/2043 0.12%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.12%
JPMCC 2016-JP2 XA IO 01.9988 08/15/2049 0.12%
MSBAM 2014-C17 D P/P 144A 04.8596 08/15/2047 0.12%
MSC 2016-BNK2 XA IO 01.2302 11/15/2049 0.12%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.12%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.12%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.12%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.12%
WFRBS 2014-C24 XA IO 01.0303 11/15/2047 0.12%
AMAZON.COM INC 03.1500 08/22/2027 0.11%
ARC PROP OPER PART L 04.6000 02/06/2024 0.11%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.11%
BMW US CAPITAL LLC P/P 144A 03.4000 08/13/2021 0.11%
CAS 2015-C02 2M2 06.2158 05/25/2025 0.11%
CD 2016-CD1 XA IO 01.5623 08/10/2049 0.11%
COMM 2012-LC4 XA IO P/P 144A 02.3801 12/10/2044 0.11%
COMM 2015-CR23 XA IO 01.1047 05/10/2048 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.11%
FHR 3408 EK 17.1078 04/15/2037 0.11%
FHR 4500 GI IO 04.0000 08/15/2045 0.11%
FNMA FN30 AR3945 03.0000 03/01/2043 0.11%
FNR 2005-122 SE 15.3447 11/25/2035 0.11%
GNR 2011-17 S IO 03.8848 02/20/2041 0.11%
GNR 2015-H12 AI IO 01.8464 05/20/2065 0.11%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.11%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.11%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.11%
GSMS 2014-GC18 XA IO 01.2664 01/10/2047 0.11%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.11%
MSBAM 2015-C25 XA IO 01.2749 10/15/2048 0.11%
MSBAM 2015-C26 XA IO 01.1852 10/15/2048 0.11%
MSC 2011-C3 E P/P 144A 05.3257 07/15/2049 0.11%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.11%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.11%
SASC 2006-AM1 A4 02.3758 04/25/2036 0.11%
STACR 2015-HQ1 M3 06.0158 03/25/2025 0.11%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.11%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.11%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.11%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.11%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.11%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.11%
WFRBS 2013-C11 XA IO P/P 144A 01.3590 03/15/2045 0.11%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
AON PLC USD 04.2500 12/12/2042 0.10%
AT&T INC 03.4000 05/15/2025 0.10%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.10%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.10%
CVS HEALTH CORP 05.0500 03/25/2048 0.10%
CWCI 2007-C3 AJ 06.0151 05/15/2046 0.10%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
FNR 2006-8 HP 16.4420 03/25/2036 0.10%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.10%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.10%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.10%
GNR 2010-H19 GI IO 01.4073 08/20/2060 0.10%
GNR 2013-4 IC IO 04.0000 09/20/2042 0.10%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.10%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.10%
GNR 2015-H25 AI IO 01.6037 09/20/2065 0.10%
GNR 2015-H25 CI IO 01.2599 10/20/2065 0.10%
GNR 2016-H04 KI IO 01.2146 02/20/2066 0.10%
JPMBB 2013-C17 XA IO 00.9627 01/15/2047 0.10%
JPMCC 2013-LC11 X IO 01.4127 04/15/2046 0.10%
SWPTN 1MX10Y P 3.05 USD 10/05/2018 CI 0.10%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.10%
UBSBB 2013-C6 XA IO P/P 144A 01.2764 04/10/2046 0.10%
UBSCM 2012-C1 XA IO P/P 144A 02.2554 05/10/2045 0.10%
WFRBS 2012-C9 XB IO P/P 144A 00.8440 11/15/2045 0.10%
APPLE INC 03.4500 05/06/2024 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%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.09%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.09%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.09%
CSMC 2007-C4 C P/P 144A 06.1846 09/15/2039 0.09%
FNMA FN30 BD5297 03.5000 01/01/2047 0.09%
FNR 12-118 PI IO 04.0000 06/25/2042 0.09%
GNMA GII30 AY2298 04.7000 05/20/2067 0.09%
GNMA GII30 BG4862 04.5000 05/20/2048 0.09%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.09%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.09%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.09%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.09%
GNR 2016-H27 BI IO 02.4645 12/20/2066 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
GSMS 2013-GC12 XA IO 01.5756 06/10/2046 0.09%
INTL FLAVOR & FRAGRANCES 04.4500 09/26/2028 0.09%
JPMCC 2013-C16 XA IO 01.2098 12/15/2046 0.09%
LIBERTY MUTUAL GROUP P/P 144A 05.2391 03/15/2037 0.09%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.09%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.09%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 0.09%
STACR 2016-DNA2 M2 04.4158 10/25/2028 0.09%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.09%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.09%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.09%
WFRBS 2012-C7 D P/P 144A 04.9767 06/15/2045 0.09%
2.75 R ISWP FWD US0003M P 06/20/2023 0.08%
3.026 R ISWP US0003M P 09/25/2028 0.08%
AUTONATION INC. 05.5000 02/01/2020 0.08%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.08%
CARR 2006-NC2 A4 02.4558 06/25/2036 0.08%
CAS 2015-C04 2M2 07.7658 04/25/2028 0.08%
CCMFC 2004-3A A2 02.5158 08/25/2035 0.08%
CGCMT 2012-GC8 XA IO P/P 144A 01.9663 09/10/2045 0.08%
CIT GROUP INC. 05.2500 03/07/2025 0.08%
COMM 2012-CR1 XA IO 02.0477 05/15/2045 0.08%
ENBRIDGE INC USD 04.2500 12/01/2026 0.08%
ENERGY TRANSFER PARTNERS 06.1250 12/15/2045 0.08%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
FHR 4074 KS IO 04.5416 02/15/2041 0.08%
FHR 4132 IP IO 04.5000 11/15/2042 0.08%
FNR 2006-62 PS 26.6051 07/25/2036 0.08%
FNR 2011-4 CS 08.4684 05/25/2040 0.08%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.08%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.08%
GE CAPITAL INTL FUNDING USD 03.3730 11/15/2025 0.08%
GNMA 10000 BD1730 03.5000 01/20/2048 0.08%
GNMA GII30 BB3013 03.5000 11/20/2047 0.08%
GNMA GII30 BB3019 03.5000 11/20/2047 0.08%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.08%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.08%
GNR 2014-H08 CI IO 01.4839 03/20/2064 0.08%
GNR 2015-H09 BI IO 01.6865 03/20/2065 0.08%
GNR 2015-H15 JI IO 01.9447 06/20/2065 0.08%
GNR 2015-H28 DI IO 01.5471 08/20/2065 0.08%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.08%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.08%
GSMS 2011-GC5 XA IO P/P 144A 01.5057 08/10/2044 0.08%
HOSPITALITY PROP TRUST 04.3750 02/15/2030 0.08%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.08%
MSBAM 2014-C17 XA IO 01.3487 08/15/2047 0.08%
MSC 2008-T29 F P/P 144A 06.3507 01/11/2043 0.08%
NEWELL BRANDS INC 04.2000 04/01/2026 0.08%
OMIR 2018-1A M2 05.0658 07/25/2028 0.08%
ONCOR ELECTRIC DELIVERY CO 07.0000 09/01/2022 0.08%
RMIR 2018-1 M2 04.2100 03/25/2028 0.08%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.08%
WEYERHAEUSER CO 07.3750 03/15/2032 0.08%
WFRBS 2011-C5 XA IO P/P 144A 01.9017 11/15/2044 0.08%
WP CAREY INC 04.6000 04/01/2024 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.07%
CAS 2014-C02 1M2 04.8158 05/25/2024 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
CGCMT 2013-GC17 X IO 01.4810 11/10/2046 0.07%
COMCAST CORP 03.9990 11/01/2049 0.07%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.07%
DUKE ENERGY CORP 03.1500 08/15/2027 0.07%
ECOLAB INC 03.2500 12/01/2027 0.07%
FHR 2990 LB 11.4289 06/15/2034 0.07%
FHR 4182 GI IO 03.0000 01/15/2043 0.07%
FNMA FN30 AT0942 03.0000 04/01/2043 0.07%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.07%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.07%
GNR 2015-H10 CI IO 01.8021 04/20/2065 0.07%
GNR 2015-H16 XI IO 02.3159 07/20/2065 0.07%
GNR 2016-H24 JI IO 01.8291 11/20/2066 0.07%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.07%
JPMBB 2014-C25 XA IO 01.0970 11/15/2047 0.07%
MSRR 2015-R4 CB1 02.8904 08/26/2047 0.07%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.07%
PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
SWPTN 3MX2Y P 3.0325 USD 12/12/2018 GS 0.07%
SWPTN 6MX2Y P 2.8225 USD 10/03/2018 MS 0.07%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
WAMU 2005-AR1 A2B 03.0158 01/25/2045 0.07%
ABBVIE INC 03.6000 05/14/2025 0.06%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.06%
AMAZON.COM INC 04.0500 08/22/2047 0.06%
AMGEN INC 02.6000 08/19/2026 0.06%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.06%
CFCRE 2011-C2 D P/P 144A 05.9474 12/15/2047 0.06%
COMM 2014-UBS6 C 04.6122 12/10/2047 0.06%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.06%
FHR 4141 PI IO 03.0000 12/15/2042 0.06%
FNR 2005-106 JC 13.2533 12/25/2035 0.06%
FNR 2007-53 SP 16.0754 06/25/2037 0.06%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.06%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.06%
GENERAL MOTORS COMPANY 04.8750 10/02/2023 0.06%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 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 2012-50 PI IO 04.0000 12/20/2041 0.06%
GNR 2013-3 IT IO 05.0000 01/20/2043 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-H01 CI IO 01.6285 12/20/2064 0.06%
GNR 2015-H17 CI IO 01.5995 06/20/2065 0.06%
GNR 2015-H20 AI IO 01.8197 08/20/2065 0.06%
HCA INC 05.5000 06/15/2047 0.06%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.06%
MERCK & CO INC 03.7000 02/10/2045 0.06%
QVC INC 04.8500 04/01/2024 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 1YX30Y P 3.031 USD 06/14/2019 CI 0.06%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.06%
TARGA RESOURCES PART P/P 144A 05.0000 01/15/2028 0.06%
UNITEDHEALTH GROUP INC 02.9500 10/15/2027 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
AES CORP/THE 05.1250 09/01/2027 0.05%
ALLERGAN FUNDING SCS USD 03.8000 03/15/2025 0.05%
ANADARKO PETROLEUM CORP 05.5500 03/15/2026 0.05%
CAS 2017-C06 2M2 05.0158 02/25/2030 0.05%
CAS 2018-C05 1M2 04.5658 01/25/2031 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 0.05%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 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%
D.R. HORTON INC 05.7500 08/15/2023 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 4122 TI IO 04.5000 10/15/2042 0.05%
FHR 4183 MI IO 03.0000 02/15/2042 0.05%
FHR 4206 IP IO 03.0000 12/15/2041 0.05%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.05%
FIRSTENERGY CORP 04.8500 07/15/2047 0.05%
FNMA FN30 AB9238 03.0000 05/01/2043 0.05%
FNR 2005-75 GS 13.6026 08/25/2035 0.05%
FNR 2010-35 SG IO 04.1842 04/25/2040 0.05%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.05%
FNR 2013-55 PI IO 03.0000 05/25/2042 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 BB0107 04.7000 08/20/2067 0.05%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.05%
HCA INC 05.2500 06/15/2026 0.05%
HESS CORP 07.3000 08/15/2031 0.05%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.05%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.05%
JPMCC 2012-LC9 D P/P 144A 04.5178 12/15/2047 0.05%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.05%
MSC 2012-C4 XA IO P/P 144A 02.2677 03/15/2045 0.05%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.05%
OMNICOM GP/OMNICOM CAP 03.6000 04/15/2026 0.05%
PFIZER INC 03.0000 12/15/2026 0.05%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.05%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.05%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.05%
SWPTN 1MX10Y R 3.087 USD 10/26/2018 CI 0.05%
SWPTN 3MX2Y P 2.925 USD 11/30/2018 JP 0.05%
SWPTN 3MX2Y P 3.01 USD 12/12/2018 GS 0.05%
SWPTN 5WX10Y R 3.05 USD 11/02/2018 GS 0.05%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.05%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.05%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.05%
VERIZON COMMUNICATIONS 04.1250 03/16/2027 0.05%
VMWARE INC 03.9000 08/21/2027 0.05%
WELLS FARGO & COMPANY 05.8750 12/29/2049 0.05%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.05%
ANADARKO PETROLEUM CORP 07.2000 03/15/2029 0.04%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.04%
BANK OF AMERICA CORP 03.0941 09/15/2026 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%
CITIGROUP INC 04.7500 05/18/2046 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%
CVS HEALTH CORP 04.7500 12/01/2022 0.04%
EMERA US FINANCE LP 03.5500 06/15/2026 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%
FNMA FN30 AP3817 03.0000 09/01/2042 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%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.04%
GNMA GII30 AY4779 04.5070 03/20/2067 0.04%
GNMA GII30 BA7681 04.6270 06/20/2067 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%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.04%
HCA INC 05.0000 03/15/2024 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%
METLIFE INC 06.4000 12/15/2036 0.04%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 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%
SERVICE CORP INTL 04.6250 12/15/2027 0.04%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.04%
SPST 2017-LD1 A 03.0158 11/25/2050 0.04%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.04%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.04%
SWPTN 5WX10Y P 3.1 USD 10/12/2018 GS 0.04%
SWPTN 5WX10Y P 3.2175 USD 11/02/2018 GS 0.04%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.04%
SWPTN LIABILITY 5WX10Y P 3.13 USD 11/02/2018 GS 0.04%
SWPTN LIABILITY 5WX10Y R 3.13 USD 11/02/2018 GS 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 04.4767 10/25/2035 0.04%
WFRBS 2011-C4 E P/P 144A 05.3975 06/15/2044 0.04%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.03%
3.15 R ISWP FWD US0003M P 12/19/2028 0.03%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.03%
CAS 2016-C06 1M2 06.4658 04/25/2029 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.03%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.03%
COMCAST CORP 06.5000 11/15/2035 0.03%
COMM 2014-CR16 XA IO 01.3024 04/10/2047 0.03%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.03%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 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%
FHR 4018 DI IO 04.5000 07/15/2041 0.03%
FNMA FN30 AL8205 03.0000 05/01/2045 0.03%
FNMA FN30 AR4126 03.0000 02/01/2043 0.03%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.03%
GNR 2013-129 SN IO 03.9848 09/20/2043 0.03%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.03%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.03%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.03%
GNR 2015-H22 EI IO 01.6121 08/20/2065 0.03%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.03%
KINDER MORGAN INC 03.1500 01/15/2023 0.03%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.03%
OPTN FN30 3.5 12/06/18 PUT 98.796875 JPMC 0.03%
PACIFICORP 06.2500 10/15/2037 0.03%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.03%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.03%
SWPTN 3MX2Y R 3.0325 USD 12/12/2018 GS 0.03%
SWPTN 6MX2Y P 2.92875 USD 11/29/2018 MS 0.03%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.03%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.03%
WARNER MEDIA LLC 02.9500 07/15/2026 0.03%
WBCMT 2006-C26 AJ 06.2812 06/15/2045 0.03%
3.05 R ISWP FWD US0003M P 12/19/2020 0.02%
3.20 R ISWP FWD US0003M P 12/19/2048 0.02%
ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 0.02%
ANTHEM INC 04.6250 05/15/2042 0.02%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 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%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 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 03.6500 09/01/2027 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
ENERGY TRANSFER PARTNERS 05.2000 02/01/2022 0.02%
ENERGY TRANSFER PARTNERS 06.5000 02/01/2042 0.02%
EQUINOR ASA USD 05.1000 08/17/2040 0.02%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.02%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.02%
FHR 2976 LC 16.5057 05/15/2035 0.02%
FHR 3300 PO PO 00.0000 02/15/2037 0.02%
FIRSTENERGY CORP 03.9000 07/15/2027 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 2013-30 IP IO 03.0000 10/25/2041 0.02%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.02%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.02%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.02%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 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%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.02%
OPTN FN30 3.5 12/06/18 CALL 98.015625 JPMC 0.02%
OPTN FN30 3.5 12/06/18 CALL 98.171875 JPMC 0.02%
OPTN FN30 3.5 12/06/18 PUT 98.484375 JPMC 0.02%
OPTN FN30 3.5 12/06/18 PUT 98.640625 JPMC 0.02%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.02%
SABMILLER HLDG INC 04.9500 01/15/2042 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 10YX20Y R 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.02%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.02%
SWPTN 1MX10Y P 3.25325 USD 10/26/2018 CI 0.02%
SWPTN 3MX2Y R 3.01 USD 12/12/2018 GS 0.02%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.02%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.02%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.02%
WESTROCK MWV LLC 07.9500 02/15/2031 0.02%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.01%
AUTONATION INC 04.5000 10/01/2025 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.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.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 JP 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 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 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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 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 2005-83 QP 11.6329 11/25/2034 0.01%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
GECMC 2007-C1 XC IO P/P 144A 00.2698 12/10/2049 0.01%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.01%
GSMS 2012-GC6 D P/P 144A 05.8402 01/10/2045 0.01%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
OPTN FN30 3.5 12/06/18 CALL 98.328125 JPMC 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
WYNDHAM DESTINATIONS INC 05.7500 04/01/2027 0.01%
3.10 R ISWP FWD US0003M P 12/19/2023 0.00%
3.1215 R ISWP FWD US0003M P 10/02/2028 0.00%
3.14177 R ISWP US0003M P 09/28/2028 0.00%
3.167 R ISWP FWD US0003M P 10/30/2028 0.00%
BACM 2004-4 XC IO P/P 144A 00.0862 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.5825 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 00.4119 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 00.5061 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.7492 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 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 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.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 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.7 2047-01-17 500.0 01/17/2047 CG 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 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 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 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 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 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 JP 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-.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-.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-.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 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-.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 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 00.6411 12/10/2046 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.1010 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%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 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%
GMACC 1997-C1 X IO 01.5082 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 01.1752 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%
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%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.00%
JPMCC 05-CB12 X1 IO P/P 144A 00.4043 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 00.2861 05/15/2045 0.00%
JPMCC 2007-LDPX X IO 00.3313 01/15/2049 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.5367 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.4065 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.4065 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 07.1366 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 06.6412 07/15/2045 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.8053 12/12/2049 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 01.0809 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0014 06/12/2043 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.1875 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.375 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.53515625 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.5625 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.72265625 JPMC 0.00%
OPTN FN30 3.5 11/06/18 CALL 99.91015625 JPMC 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 0.00%
SWPTN 1MX10Y R 2.89 USD 10/05/2018 CI 0.00%
SWPTN 1MX10Y R 2.97 USD 10/05/2018 CI 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS 0.00%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.00%
SWPTN 5WX10Y R 2.93 USD 10/12/2018 GS 0.00%
SWPTN 5WX10Y R 3.015 USD 10/12/2018 GS 0.00%
SWPTN 6WX10Y R 2.76 USD 10/09/2018 JP 0.00%
US 10YR NOTE (CBT)DEC18 TYZ8 0.00%
US 10YR ULTRA FUT DEC18 UXYZ8 0.00%
US 2YR NOTE (CBT) DEC18 TUZ8 0.00%
US 5YR NOTE (CBT) DEC18 FVZ8 0.00%
US LONG BOND(CBT) DEC18 USZ8 0.00%
US ULTRA BOND CBT DEC18 WNZ8 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
WBCMT 2006-C26 XC IO P/P 144A 00.0450 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.3742 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.1175 05/15/2046 0.00%
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.BB.7 2047-01-17 500.0 01/17/2047 CG -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 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-.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 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-.7 2047-01-17 300.0 01/17/2047 JP -0.01%
CPURNSA P 2.085 R 07/03/27 -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.35546875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.51171875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.66796875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.6953125 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 98.8515625 JPMC -0.01%
OPTN FN30 3.5 12/06/18 CALL 99.0078125 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 97.546875 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 97.703125 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 97.859375 JPMC -0.01%
OPTN FN30 3.5 12/06/18 PUT 98.015625 JPMC -0.01%
SWPTN 6WX10Y P 3.16 USD 10/09/2018 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 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 CS -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 ML -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.02%
CPURNSA P 2.05 R 07/05/27 -0.02%
OPTN FN30 3.5 12/06/18 PUT 98.171875 JPMC -0.02%
OPTN FN30 3.5 12/06/18 PUT 98.328125 JPMC -0.02%
SWPTN 1MX10Y P 3.167 USD 10/26/2018 CI -0.02%
SWPTN 3MX2Y P 3.085 USD 11/30/2018 JP -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
SWPTN 3MX2Y P 3.005 USD 11/30/2018 JP -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%
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%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.03%
SWPTN 5WX10Y P 3.13 USD 11/02/2018 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 5WX10Y P 3.2175 USD 11/02/2018 GS -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
SWPTN 3MX4Y R 3.02125 USD 12/12/2018 GS -0.05%
SWPTN 5WX10Y P 3.015 USD 10/12/2018 GS -0.05%
SWPTN 5WX10Y R 3.13 USD 11/02/2018 GS -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 5WX10Y R 3.05 USD 11/02/2018 GS -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.06%
SWPTN 1MX10Y R 3.167 USD 10/26/2018 CI -0.06%
SWPTN 1YX5Y P 3.09 USD 06/14/2019 CI -0.06%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.07%
2.936 R ISWP US0003M P 09/25/2028 -0.08%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.08%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 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%
SWPTN 1MX10Y P 2.97 USD 10/05/2018 CI -0.10%
SWPTN 7YX23Y R 3.0 USD 04/04/2025 MS -0.10%
SWPTN 7YX23Y R 3.0 USD 04/14/2025 MS -0.10%
SWPTN 3MX4Y P 3.02125 USD 12/12/2018 GS -0.11%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.17%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.17%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.18%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.18%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.21%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.21%
CDX CDX.NA.HY.31 500.0 12/20/2023 -0.37%
FHLMC FH30G TBA 03.0000 10/01/2048 -0.40%
FHLMC FH30G TBA 03.5000 10/01/2048 -0.41%
FNMA FN30 TBA 03.0000 10/01/2048 -0.80%

Prior top 10 holdings

Top 10 holdings as of 10/31/18
1: Gnma Gii30 Tba 04.5000 12/01/2048 2.19%
2: Gnma Gii30 Tba 04.0000 11/01/2048 2.15%
3: Gnma Gii30 Tba 03.5000 11/01/2048 2.10%
4: Fnma Fn30 Tba 02.5000 11/01/2048 1.56%
5: Cas 2016-C03 1m2 07.5814 10/25/2028 1.10%
6: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.07%
7: Bf0101 03.5000 06/01/2056 1.04%
8: Wamu 2005-Ar13 A1c4 02.7114 10/25/2045 0.96%
9: Fnma Fn30 Tba 06.0000 11/01/2048 0.92%
10: Fnma Fn30 Tba 05.5000 11/01/2048 0.91%
Holdings represent 14.00% of portfolio
Top 10 holdings as of 09/30/18
1: Gnma Gii30 Tba 04.5000 10/01/2048 2.17%
2: Gnma Gii30 Tba 04.0000 10/01/2048 2.14%
3: Gnma Gii30 Tba 03.5000 10/01/2048 2.09%
4: Fnma Fn30 Tba 03.5000 10/01/2048 1.65%
5: Fnma Fn30 Tba 02.5000 10/01/2048 1.56%
6: Cas 2016-C03 1m2 07.5158 10/25/2028 1.09%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.08%
8: Bf0101 03.5000 06/01/2056 1.04%
9: Wamu 2005-Ar13 A1c4 02.6458 10/25/2045 0.96%
10: Goldman Sachs Group 04.2230 05/01/2029 0.93%
Holdings represent 14.71% of portfolio
Top 10 holdings as of 08/31/18
1: Fnma Fn30 Tba 03.5000 10/01/2048 4.96%
2: Fnma Fn30 Tba 03.0000 10/01/2048 3.62%
3: Gnma Gii30 Tba 04.5000 09/01/2048 2.16%
4: Gnma Gii30 Tba 04.0000 09/01/2048 2.13%
5: Gnma Gii30 Tba 03.5000 09/01/2048 2.09%
6: Fnma Fn30 Tba 02.5000 09/01/2048 1.56%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.10%
8: Cas 2016-C03 1m2 07.3648 10/25/2028 1.08%
9: Bf0101 03.5000 06/01/2056 1.05%
10: Wamu 2005-Ar13 A1c4 02.4948 10/25/2045 0.97%
Holdings represent 20.72% of portfolio
Top 10 holdings as of 07/31/18
1: Fnma Fn30 Tba 03.5000 09/01/2048 4.92%
2: Fnma Fn30 Tba 03.0000 08/01/2048 3.60%
3: Gnma Gii30 Tba 04.0000 08/01/2048 2.54%
4: Gnma Gii30 Tba 04.5000 08/01/2048 2.15%
5: Gnma Gii30 Tba 03.5000 09/01/2048 2.07%
6: Fnma Fn30 Tba 02.5000 08/01/2048 1.55%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.11%
8: Cas 2016-C03 1m2 07.3636 10/25/2028 1.08%
9: Bf0101 03.5000 06/01/2056 1.06%
10: Wamu 2005-Ar13 A1c4 02.4936 10/25/2045 0.99%
Holdings represent 21.07% of portfolio

Sector Weightings as of 10/31/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Commercial MBS 13.60% 0.42 13.48% 0.42 27.08% 0.84
Agency pass-through 15.97% 0.99 10.33% 0.61 26.30% 1.60
Investment-grade corporate bonds 25.06% 2.05 0.00% 0.00 25.06% 2.05
Agency CMO 17.90% 0.63 0.52% 0.02 18.42% 0.65
Net cash 15.55% 0.00 0.00% 0.00 15.55% 0.00
Residential MBS (non-agency) 8.76% 0.40 0.00% 0.00 8.76% 0.40
Asset-backed securities (ABS) 1.58% 0.01 0.00% 0.00 1.58% 0.01
Interest rate swaps 0.00% 0.00 0.00% -0.69 0.00% -0.69
U.S. Treasury/agency 0.00% 0.00 0.00% 1.68 0.00% 1.68
High-yield corporate bonds 1.58% 0.09 -4.83% -0.21 -3.25% -0.12

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 10/31/18

United States 94.30%
Bermuda 1.34%
United Kingdom 1.10%
Canada 0.97%
France 0.59%
Netherlands 0.44%
Spain 0.37%
Switzerland 0.30%
Japan 0.26%
 
Other
0.33%
Ireland 0.18%
Germany 0.07%
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 2.00%
2 1.00%
3+ 0.00%