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Putnam Allstate Advisor
Putnam Income Subaccount
The fund seeks high current income consistent with what Putnam Management believes to be prudent risk.
- Highlights
- Performance
- Holdings
- Expenses
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.
Daily pricing as of 07/20/17
| with optional enhanced death benefits | ||
|---|---|---|
| Unit Value | $19.328575 | $18.800665 |
| Unit Value Change | -0.000664 | -0.000724 |
Lipper ranking ‡ as of 06/30/17
Category: Core Bond Funds
| Percentile ranking | Rank/Funds in category | |
|---|---|---|
| 10 yrs. | 6% | 4/69 |
| 1 yr. | 2% | 2/100 |
| 3 yrs. | 96% | 92/95 |
| 5 yrs. | 8% | 7/88 |
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.
Performance as of 06/30/17
| Annualized Performance | Last Quarter | Year to Date |
1 yr. | 3 yrs. | 5 yrs. | 10 yrs. | Life of subaccount |
|---|---|---|---|---|---|---|---|
| Restated performance | |||||||
| Unit Value | 1.47% | 3.22% | 2.20% | 0.29% | 2.25% | 3.99% | 4.90% |
| Standardized | -7.37% | -5.75% | -6.70% | -4.47% | -1.41% | 1.21% | 3.00% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.43% | 3.14% | 2.04% | 0.14% | 2.09% | 3.83% | 4.74% |
| Standardized | -7.41% | -5.82% | -6.84% | -4.63% | -1.58% | 1.03% | 2.80% |
| Actual performance | |||||||
| Unit Value | 1.47% | 3.22% | 2.20% | 0.29% | 2.25% | 3.99% | 3.68% |
| Standardized | -7.37% | -5.75% | -6.70% | -4.47% | -1.41% | 1.21% | 0.74% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.43% | 3.14% | 2.04% | 0.14% | 2.09% | 3.83% | 3.52% |
| Standardized | -7.41% | -5.82% | -6.84% | -4.63% | -1.58% | 1.03% | 0.53% |
| Cumulative Performance | Last Quarter | Year to Date |
1 yr. | 3 yrs. | 5 yrs. | 10 yrs. | Life of subaccount |
|---|---|---|---|---|---|---|---|
| Restated performance | |||||||
| Unit Value | 1.47% | 3.22% | 2.20% | 0.87% | 11.75% | 47.82% | 308.23% |
| Standardized | -7.37% | -5.75% | -6.70% | -12.83% | -6.87% | 12.81% | 138.85% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.43% | 3.14% | 2.04% | 0.41% | 10.91% | 45.59% | 290.38% |
| Standardized | -7.41% | -5.82% | -6.84% | -13.24% | -7.64% | 10.84% | 125.39% |
| Actual performance | |||||||
| Unit Value | 1.47% | 3.22% | 2.20% | 0.87% | 11.75% | 47.82% | 92.71% |
| Standardized | -7.37% | -5.75% | -6.70% | -12.83% | -6.87% | 12.81% | 14.31% |
| With optional enhanced death benefit | |||||||
| Unit Value | 1.43% | 3.14% | 2.04% | 0.41% | 10.91% | 45.59% | 87.46% |
| Standardized | -7.41% | -5.82% | -6.84% | -13.24% | -7.64% | 10.84% | 10.17% |
Annual Performance at NAV
| 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 |
|---|---|---|---|---|---|---|---|---|---|
| 3.90% | -24.88% | 44.82% | 8.50% | 3.69% | 9.36% | 0.60% | 5.13% | -2.69% | 0.73% |
| With optional enhanced death benefit | |||||||||
| 3.74% | -24.99% | 44.60% | 8.33% | 3.53% | 9.19% | 0.45% | 4.97% | -2.84% | 0.58% |
Restated performance
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With optional enhanced death benefit
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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.
Top 10 holdings as of 06/30/17
| Fnma Fn30 Tba 03.5000 08/01/2047 | 11.31% |
|
|---|---|---|
| Fnma Fn30 Tba 03.5000 07/01/2047 | 5.26% |
|
| Fnma Fn30 Tba 03.0000 07/01/2047 | 3.15% |
|
| Fnma Fn30 Tba 04.5000 07/01/2047 | 2.96% |
|
| Gnma Gii30 Tba 03.5000 07/01/2047 | 2.04% |
|
| Fnma Fn30 Tba 02.5000 07/01/2047 | 1.90% |
|
| Gnma Gii30 Tba 03.0000 07/01/2047 | 1.59% |
|
| Gnma Gii30 Tba 05.0000 07/01/2047 | 1.27% |
|
| Bf0101 03.5000 06/01/2056 | 1.19% |
|
| Fnma Fn30 Tba 02.5000 08/01/2047 | 1.14% |
|
| Top 10 holdings, total: | 31.81% |
|
Full Portfolio Holdings as of 03/31/17
| FNMA FN30 TBA 03.5000 05/01/2047 | 18.31% |
|---|---|
| FNMA FN30 TBA 02.5000 04/01/2047 | 3.04% |
| FNMA FN30 TBA 04.5000 04/01/2047 | 2.14% |
| GNMA GII30 TBA 04.0000 04/01/2047 | 1.68% |
| GNMA GII30 TBA 03.0000 04/01/2047 | 1.61% |
| GNMA GII30 TBA 05.0000 04/01/2047 | 1.29% |
| WAMU 2005-AR13 A1C4 01.4117 10/25/2045 | 1.07% |
| CAS 2016-C03 1M2 06.2817 10/25/2028 | 0.98% |
| STACR 2015-DN1 M3 05.1317 01/25/2025 | 0.93% |
| FNMA FN30 TBA 06.0000 04/01/2047 | 0.90% |
| FNMA FN30 TBA 05.5000 04/01/2047 | 0.89% |
| GNMA GII30 TBA 03.5000 04/01/2047 | 0.83% |
| CAS 2016-C03 2M2 06.8817 10/25/2028 | 0.79% |
| CAS 2016-C03 1M1 02.9817 10/25/2028 | 0.77% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.77% |
| FNMA FN30 AL8994 04.0000 09/01/2045 | 0.77% |
| FNMA FN30 AS7363 03.0000 06/01/2046 | 0.77% |
| FHLMC FH30G Q43898 03.5000 10/01/2046 | 0.75% |
| GNMA GII30 AF3759 03.5000 06/20/2045 | 0.75% |
| FHLMC FH30G G60314 04.0000 09/01/2045 | 0.74% |
| CAS 2016-C02 1M2 06.9817 09/25/2028 | 0.66% |
| GNMA GII30 AE8491 04.0000 07/20/2044 | 0.64% |
| STACR 2016-DNA2 M3 05.6317 10/25/2028 | 0.62% |
| MRAFT 2016-5 A 02.1594 06/10/2019 | 0.61% |
| WAMU 2005-AR17 A1B2 01.3917 12/25/2045 | 0.58% |
| CAS 2016-C01 2M2 07.9317 08/25/2028 | 0.56% |
| BSCMS 2006-PW11 B P/P 144A 05.3285 03/11/2039 | 0.55% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 0.51% |
| ROCKWELL COLLINS INC 04.3500 04/15/2047 | 0.48% |
| CGCMT 2013-GC17 D P/P 144A 05.1042 11/10/2046 | 0.47% |
| BCAP 2015-RR5 2A2 01.6842 01/26/2046 | 0.46% |
| MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 | 0.46% |
| METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 | 0.46% |
| WELLS FARGO BANK NA 06.6000 01/15/2038 | 0.45% |
| WFRBS 2012-C10 D P/P 144A 04.4551 12/15/2045 | 0.45% |
| BSCMS 2007-T26 AJ 05.5660 01/12/2045 | 0.43% |
| BACM 2007-3 AJ 05.8502 06/10/2049 | 0.42% |
| GNMA GII30 635173 03.5000 02/20/2047 | 0.42% |
| STACR 2016-HQA1 M3 07.3317 09/25/2028 | 0.42% |
| FHLMC FH30G Q45743 03.5000 01/01/2047 | 0.41% |
| FNMA FN30 AS8684 03.5000 01/01/2047 | 0.41% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.41% |
| GNR 2016-H23 NI IO 02.5913 10/20/2066 | 0.41% |
| GSMS 2014-GC22 XA IO 01.0421 06/10/2047 | 0.41% |
| LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 | 0.41% |
| CITIGROUP INC 06.2500 12/29/2049 | 0.40% |
| FHLMC 10000 G60393 03.5000 01/01/2046 | 0.40% |
| JPMCC 2011-C3 E P/P 144A 05.6216 02/15/2046 | 0.40% |
| FNMA FN30 BC1489 03.0000 08/01/2046 | 0.39% |
| WFCM 2012-LC5 D P/P 144A 04.7761 10/15/2045 | 0.39% |
| CENOVUS ENERGY INC USD 06.7500 11/15/2039 | 0.38% |
| FHLMC FH30G Q41024 03.0000 06/01/2046 | 0.38% |
| FNMA FN30 BC0960 04.0000 06/01/2046 | 0.38% |
| FNMA FN30 BC1445 03.0000 07/01/2046 | 0.38% |
| AMERICAN INTL GROUP 08.1750 05/15/2058 | 0.37% |
| FHLMC FH30G G60861 03.5000 01/01/2047 | 0.37% |
| FNMA FN30 AY8222 04.5000 05/01/2045 | 0.37% |
| SPST 2017-1 A 01.8817 02/25/2049 | 0.37% |
| GNMA GII30 AF3757 03.5000 06/20/2045 | 0.36% |
| VERIZON COMM 05.9000 02/15/2054 | 0.36% |
| WBCMT 2007-C30 AJ 05.4130 12/15/2043 | 0.36% |
| CHARTER COMM OPT LLC P/P 144A 05.3750 05/01/2047 | 0.35% |
| GNR 2016-H02 HI IO 02.1361 01/20/2066 | 0.35% |
| WFRBS 2014-C22 XA IO 00.9292 09/15/2057 | 0.35% |
| CAS 2017-C02 2M2 04.6272 09/25/2029 | 0.34% |
| DBUBS 2011-LC3A D P/P 144A 05.3461 08/10/2044 | 0.34% |
| CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 | 0.33% |
| FNMA FN30 AX7296 04.5000 12/01/2044 | 0.33% |
| G60383 03.5000 02/01/2044 | 0.33% |
| CGCMT 2014-GC21 D P/P 144A 04.8357 05/10/2047 | 0.32% |
| FNMA FN30 BD0189 03.5000 06/01/2046 | 0.32% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.32% |
| JPMBB 2014-C26 D P/P 144A 03.9259 01/15/2048 | 0.31% |
| STACR 2016-DNA3 M3 05.9817 12/25/2028 | 0.31% |
| COMM 2012-LC4 XA IO P/P 144A 02.2335 12/10/2044 | 0.30% |
| FHLMC FH30G V80357 03.5000 08/01/2043 | 0.30% |
| FNMA FN30 AU1625 03.5000 07/01/2043 | 0.30% |
| GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 | 0.30% |
| GSMS 2014-GC18 C 04.9454 01/10/2047 | 0.30% |
| JPMBB 2013-C14 D P/P 144A 04.5637 08/15/2046 | 0.30% |
| STATE STREET CORP 02.1312 06/15/2037 | 0.30% |
| WAMU 2005-AR19 A1C3 01.4817 12/25/2045 | 0.30% |
| MSBAM 2013-C10 E P/P 144A 04.0838 07/15/2046 | 0.29% |
| WEC ENERGY GROUP INC 06.2500 05/15/2067 | 0.29% |
| BACM 2006-4 AJ 05.6950 07/10/2046 | 0.28% |
| CGCMT 2014-GC19 X IO 01.2304 03/10/2047 | 0.28% |
| FNMA FN30 BD0494 03.5000 07/01/2046 | 0.28% |
| STACR 2016-HQA2 M1 02.1817 11/25/2028 | 0.28% |
| UBSBB 2012-C2 E P/P 144A 05.0675 05/10/2063 | 0.28% |
| WFRBS 2013-C14 XA IO 00.8219 06/15/2046 | 0.28% |
| CSAIL 2015-C1 D P/P 144A 03.7997 04/15/2050 | 0.27% |
| FNMA FN30 AS4991 03.5000 05/01/2045 | 0.27% |
| JPMCC 2010-C1 D P/P 144A 06.0959 06/15/2043 | 0.27% |
| FHLMC FH30G V80012 03.0000 03/01/2043 | 0.26% |
| FORD MOTOR COMPANY 07.4000 11/01/2046 | 0.26% |
| JPMCC 2011-C3 F P/P 144A 05.6216 02/15/2046 | 0.26% |
| MSBAM 2014-C17 D P/P 144A 04.6978 08/15/2047 | 0.26% |
| ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 | 0.26% |
| UBSBB 2012-C2 XA IO P/P 144A 01.5830 05/10/2063 | 0.26% |
| WFRBS 2013-C17 C 05.1243 12/15/2046 | 0.26% |
| CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 | 0.25% |
| WFRBS 2011-C2 D P/P 144A 05.6030 02/15/2044 | 0.25% |
| WFRBS 2013-C17 XA IO 01.5098 12/15/2046 | 0.25% |
| WFRBS 2014-C19 E P/P 144A 04.9704 03/15/2047 | 0.25% |
| CFCRE 2011-C2 E P/P 144A 05.7548 12/15/2047 | 0.24% |
| FNMA FN30 BD0959 03.5000 06/01/2046 | 0.24% |
| GENERAL MOTORS FINL CO 03.4500 04/10/2022 | 0.24% |
| GNR 2014-H11 GI IO 01.4702 06/20/2064 | 0.24% |
| LBUBS 2006-C6 B 05.4720 09/15/2039 | 0.24% |
| FHLMC FH30G Q28032 04.5000 08/01/2044 | 0.23% |
| ING BANK NV P/P 144A 05.8000 09/25/2023 | 0.23% |
| FNMA FN30 AW7089 04.5000 07/01/2044 | 0.22% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.22% |
| GNR 2014-H07 BI IO 01.4466 05/20/2064 | 0.22% |
| GNR 2016-111 IP IO 03.5000 08/20/2046 | 0.22% |
| GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 | 0.22% |
| JPMCC 2012-C6 E P/P 144A 05.1525 05/15/2045 | 0.22% |
| JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 | 0.22% |
| MSBAM 2013-C7 XA IO 01.4974 02/15/2046 | 0.22% |
| ORACLE CORP 02.6500 07/15/2026 | 0.22% |
| PROGRESSIVE CORP 06.7000 06/15/2037 | 0.22% |
| PUGET SOUND ENERGY INC 06.9740 06/01/2067 | 0.22% |
| SASC 2006-AM1 A4 01.1417 04/25/2036 | 0.22% |
| AON PLC USD 04.2500 12/12/2042 | 0.21% |
| CAS 2014-C04 1M2 05.8817 11/25/2024 | 0.21% |
| COMM 2014-UBS6 XA IO 01.0469 12/10/2047 | 0.21% |
| CWCI 2007-C3 AJ 05.8796 05/15/2046 | 0.21% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.21% |
| JPMCC 2012-LC9 XA IO 01.8081 12/15/2047 | 0.21% |
| STACR 2016-DNA2 M1 02.2317 10/25/2028 | 0.21% |
| WAMU 2005-AR11 A1C3 01.4917 08/25/2045 | 0.21% |
| WESTLAKE CHEM CORP P/P 144A 03.6000 08/15/2026 | 0.21% |
| WFRBS 2012-C10 XA IO P/P 144A 01.6775 12/15/2045 | 0.21% |
| CA TXB-VAR PURP 3 07.5000 04/01/2034 | 0.20% |
| COMM 2013-CR11 XA IO 01.1477 08/10/2050 | 0.20% |
| COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 | 0.20% |
| FHR 3065 DC 17.1233 03/15/2035 | 0.20% |
| FNMA FN30 BD3705 03.5000 08/01/2046 | 0.20% |
| FNMA FN30 BD6401 03.5000 09/01/2046 | 0.20% |
| GNR 2014-2 IL IO 04.0000 01/16/2044 | 0.20% |
| GSMS 2013-GC10 XA IO 01.5905 02/10/2046 | 0.20% |
| STACR 2015-DNA2 M2 03.5817 12/25/2027 | 0.20% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.20% |
| WFCM 2014-LC18 D P/P 144A 03.9570 12/15/2047 | 0.20% |
| WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 | 0.20% |
| COMMERZBANK AG P/P 144A 08.1250 09/19/2023 | 0.19% |
| FHR 3852 NT 05.0878 05/15/2041 | 0.19% |
| FNR 2012-144 KI IO 03.0000 11/25/2042 | 0.19% |
| GE CAP INTL FUNDING USD 04.4180 11/15/2035 | 0.19% |
| GNR 2011-17 S IO 05.0717 02/20/2041 | 0.19% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.19% |
| JPMBB 2013-C14 C 04.5637 08/15/2046 | 0.19% |
| MSBAM 2013-C11 D P/P 144A 04.3705 08/15/2046 | 0.19% |
| MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 | 0.19% |
| SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 | 0.19% |
| TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 | 0.19% |
| VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 | 0.19% |
| WFCM 2014-LC16 XA IO 01.3963 08/15/2050 | 0.19% |
| WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 | 0.19% |
| WILLIAMS PARTNERS L.P. 04.8750 03/15/2024 | 0.19% |
| EL PASO NATURAL GAS 08.3750 06/15/2032 | 0.18% |
| FNMA FN30 AL7510 03.5000 10/01/2045 | 0.18% |
| FNMA FN30 AL7706 03.5000 11/01/2045 | 0.18% |
| GNR 2015-149 KI IO 04.0000 10/20/2045 | 0.18% |
| GNR 2016-H14 IO IO 01.6604 06/20/2066 | 0.18% |
| HILTON WORLDWIDE FIN P/P 144A 04.8750 04/01/2027 | 0.18% |
| SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 | 0.18% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | 0.18% |
| UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 | 0.18% |
| ANHEUSER-BUSCH INBEV 08.2000 01/15/2039 | 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 4158 TI IO 03.0000 12/15/2042 | 0.17% |
| FHR 4176 DI IO 03.0000 12/15/2042 | 0.17% |
| FHR 4546 TI IO 04.0000 12/15/2045 | 0.17% |
| FNR 2005-122 SE 19.6642 11/25/2035 | 0.17% |
| GNR 2012-136 IO IO 03.5000 11/20/2042 | 0.17% |
| GNR 2015-60 IP IO 04.0000 04/20/2045 | 0.17% |
| GNR 2016-H11 HI IO 02.0833 01/20/2066 | 0.17% |
| GREAT PLAINS ENERGY INC 04.8500 04/01/2047 | 0.17% |
| GSMS 2013-GC10 E P/P 144A 04.4105 02/10/2046 | 0.17% |
| HISTORIC TW INC 09.1500 02/01/2023 | 0.17% |
| MPLX LP 04.1250 03/01/2027 | 0.17% |
| MSBAM 2012-C6 F P/P 144A 04.6477 11/15/2045 | 0.17% |
| NABORS INDUSTRIES INC 04.6250 09/15/2021 | 0.17% |
| PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 | 0.17% |
| WFRBS 2012-C9 XA IO P/P 144A 02.0868 11/15/2045 | 0.17% |
| WILLIAMS PARTNERS LP 04.3000 03/04/2024 | 0.17% |
| BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 | 0.16% |
| CGCMT 2013-GC17 X IO 01.6000 11/10/2046 | 0.16% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.16% |
| FHLMC FH30G Q44791 03.5000 12/01/2046 | 0.16% |
| FHR 3408 EK 22.1224 04/15/2037 | 0.16% |
| GNR 2015-35 AI IO 05.0000 03/16/2045 | 0.16% |
| JPMCC 2012-C8 D P/P 144A 04.6773 10/15/2045 | 0.16% |
| JPMCC 2012-C8 E P/P 144A 04.6773 10/15/2045 | 0.16% |
| LEGRAND FRANCE USD 08.5000 02/15/2025 | 0.16% |
| LIBERTY MUTUAL INSUR P/P 144A 07.6970 10/15/2097 | 0.16% |
| MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 | 0.16% |
| N TX HWY-TXB-B 06.7180 01/01/2049 | 0.16% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.16% |
| WFRBS 2013-C11 XA IO P/P 144A 01.3549 03/15/2045 | 0.16% |
| WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 | 0.16% |
| BACARDI LTD P/P 144A 04.5000 01/15/2021 | 0.15% |
| BSCMS 2005-PWR9 C 05.0550 09/11/2042 | 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% |
| FNR 2012-118 IC IO 03.5000 11/25/2042 | 0.15% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.15% |
| GNR 2015-H12 EI IO 01.6834 04/20/2065 | 0.15% |
| GNR 2015-H12 GI IO 01.7851 05/20/2065 | 0.15% |
| GNR 2016-136 YI IO 03.5000 03/20/2045 | 0.15% |
| LNSTR 2015-3 C P/P 144A 03.2290 04/20/2048 | 0.15% |
| STACR 2016-DNA2 M2 03.1817 10/25/2028 | 0.15% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.15% |
| WFRBS 2011-C4 E P/P 144A 05.2482 06/15/2044 | 0.15% |
| ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 | 0.14% |
| ARC PROP OPER PART L 04.6000 02/06/2024 | 0.14% |
| BANK OF AMERICA CORP 06.1100 01/29/2037 | 0.14% |
| COMM 2014-LC15 XA IO 01.3548 04/10/2047 | 0.14% |
| CONCHO RESOURCES INC 04.3750 01/15/2025 | 0.14% |
| FHLMC FH30G Q27018 04.5000 07/01/2044 | 0.14% |
| FHR 4116 MI IO 04.0000 10/01/2042 | 0.14% |
| FNR 2006-8 HP 20.9672 03/25/2036 | 0.14% |
| GNR 2012-56 IB IO 04.0000 04/20/2042 | 0.14% |
| GNR 2014-100 JI IO 03.5000 07/16/2029 | 0.14% |
| GNR 2015-26 AI IO 03.5000 05/20/2039 | 0.14% |
| GNR 2016-H04 KI IO 02.1217 02/20/2066 | 0.14% |
| GNR 2017-6 DI IO 03.5000 01/20/2044 | 0.14% |
| GSMS 2013-GC10 D P/P 144A 04.4105 02/10/2046 | 0.14% |
| GSMS 2014-GC18 XA IO 01.1320 01/10/2047 | 0.14% |
| LBUBS 2006-C1 AJ 05.2760 02/15/2041 | 0.14% |
| STACR 2013-DN2 M2 05.2317 11/25/2023 | 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% |
| SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP | 0.14% |
| SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP | 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% |
| UBSCM 2012-C1 XA IO P/P 144A 02.0893 05/10/2045 | 0.14% |
| 21ST CENTURY FOX AMERICA 07.7500 12/01/2045 | 0.13% |
| BRDCOM CRP / FIN P/P 144A 03.8750 01/15/2027 | 0.13% |
| COMM 2006-C8 AJ 05.3770 12/10/2046 | 0.13% |
| FHR 4165 AI IO 03.5000 02/15/2043 | 0.13% |
| FHR 4500 GI IO 04.0000 08/15/2045 | 0.13% |
| FNMA FN30 AR3945 03.0000 03/01/2043 | 0.13% |
| GNR 2012-113 ID IO 03.5000 09/20/2042 | 0.13% |
| GNR 2013-4 IC IO 04.0000 09/20/2042 | 0.13% |
| GNR 2014-25 QI IO 05.0000 01/20/2044 | 0.13% |
| GNR 2015-52 KI IO 03.5000 11/20/2040 | 0.13% |
| GNR 2015-H12 AI IO 01.8425 05/20/2065 | 0.13% |
| GNR 2015-H25 CI IO 02.3267 10/20/2065 | 0.13% |
| GSMS 2013-GC12 D P/P 144A 04.4641 06/10/2046 | 0.13% |
| JPMBB 2013-C14 E P/P 144A 04.5637 08/15/2046 | 0.13% |
| JPMBB 2013-C17 XA IO 00.9539 01/15/2047 | 0.13% |
| JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 | 0.13% |
| JPMCC 2007-CB20 B P/P 144A 06.2777 02/12/2051 | 0.13% |
| JPMCC 2007-CB20 C P/P 144A 06.2777 02/12/2051 | 0.13% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.13% |
| JPMCC 2013-LC11 X IO 01.4267 04/15/2046 | 0.13% |
| JPMORGAN CHASE & CO 02.2950 08/15/2021 | 0.13% |
| LLOYDS BANKING GROUP USD 05.3000 12/01/2045 | 0.13% |
| MICROSOFT CORP 02.4000 08/08/2026 | 0.13% |
| MSBAM 2013-C12 XA IO 00.9155 10/15/2046 | 0.13% |
| MSC 2007-HQ11 AJ 05.5080 02/12/2044 | 0.13% |
| MSC 2008-T29 F P/P 144A 06.3010 01/11/2043 | 0.13% |
| SABINE PASS LIQUEF P/P 144A 05.0000 03/15/2027 | 0.13% |
| STACR 2014-DN2 M3 04.5817 04/25/2024 | 0.13% |
| TRAVELERS PPTY CASUALTY 07.7500 04/15/2026 | 0.13% |
| WESTROCK MWV LLC 08.2000 01/15/2030 | 0.13% |
| WEYERHAEUSER CO 07.3750 03/15/2032 | 0.13% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.13% |
| WFRBS 2013-C15 D P/P 144A 04.4801 08/15/2046 | 0.13% |
| AXA SA P/P 144A 06.3790 12/29/2049 | 0.12% |
| BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 | 0.12% |
| COMM 2014-CR19 XA IO 01.2572 08/10/2047 | 0.12% |
| COMM 2014-UBS6 C 04.4638 12/10/2047 | 0.12% |
| FHR 4074 KS IO 05.7878 02/15/2041 | 0.12% |
| FNR 2006-62 PS 34.0100 07/25/2036 | 0.12% |
| FNR 2012-62 EI IO 04.0000 04/25/2041 | 0.12% |
| GNR 2009-79 IC IO 06.0000 08/20/2039 | 0.12% |
| GNR 2010-H19 GI IO 01.3948 08/20/2060 | 0.12% |
| GNR 2015-H25 AI IO 01.6033 09/20/2065 | 0.12% |
| GRUPO TELEVISA SAB USD 06.6250 01/15/2040 | 0.12% |
| GSMS 2013-GC12 XA IO 01.5736 06/10/2046 | 0.12% |
| JPMCC 2013-C16 XA IO 01.1210 12/15/2046 | 0.12% |
| MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 | 0.12% |
| NATIONWIDE MUTUAL P/P 144A 08.2500 12/01/2031 | 0.12% |
| OH UNIV-TXB-C-BABS 04.9100 06/01/2040 | 0.12% |
| TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 | 0.12% |
| UBS GROUP FUNDING P/P 144A 04.1250 04/15/2026 | 0.12% |
| WBCMT 2006-C26 AJ 06.0867 06/15/2045 | 0.12% |
| WFRBS 2011-C5 XA IO P/P 144A 01.7667 11/15/2044 | 0.12% |
| WFRBS 2012-C9 XB IO P/P 144A 00.7048 11/15/2045 | 0.12% |
| 21ST CENTURY FOX AMERICA 07.7500 01/20/2024 | 0.11% |
| 21ST CENTURY FOX AMERICA 07.8500 03/01/2039 | 0.11% |
| AMERICAN EXPRESS CO 04.9000 12/29/2049 | 0.11% |
| BACM 2005-1 B 05.5568 11/10/2042 | 0.11% |
| CFCRE 2011-C2 D P/P 144A 05.7548 12/15/2047 | 0.11% |
| COMM 2012-CR1 XA IO 01.9095 05/15/2045 | 0.11% |
| COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 | 0.11% |
| DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 | 0.11% |
| ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 | 0.11% |
| FHR 2990 LB 14.6141 06/15/2034 | 0.11% |
| FHR 4132 IP IO 04.5000 11/15/2042 | 0.11% |
| FHR 4182 GI IO 03.0000 01/15/2043 | 0.11% |
| FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 | 0.11% |
| FNR 12-118 PI IO 04.0000 06/25/2042 | 0.11% |
| FNR 2005-106 JC 17.0801 12/25/2035 | 0.11% |
| FNR 2011-4 CS 10.9367 05/25/2040 | 0.11% |
| FNS 421 C6 IO 04.0000 05/25/2045 | 0.11% |
| GNR 2013-53 PI IO 03.0000 04/20/2041 | 0.11% |
| GNR 2014-H08 CI IO 01.4780 03/20/2064 | 0.11% |
| GNR 2015-69 XI IO 03.5000 05/20/2045 | 0.11% |
| GNR 2015-H28 DI IO 01.5421 08/20/2065 | 0.11% |
| INTL LEASE FINANCE CORP 06.2500 05/15/2019 | 0.11% |
| JPMORGAN CHASE & CO 05.3000 12/29/2049 | 0.11% |
| MSBAM 2014-C17 XA IO 01.2499 08/15/2047 | 0.11% |
| NBCUNIVERSAL MEDIA LLC 06.4000 04/30/2040 | 0.11% |
| UBS GROUP AG REGS 06.8750 12/29/2049 | 0.11% |
| VALERO ENERGY PARTNERS 04.3750 12/15/2026 | 0.11% |
| WFCM 2012-LC5 E P/P 144A 04.7761 10/15/2045 | 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% |
| AMERICAN TOWER CORP 04.0000 06/01/2025 | 0.10% |
| BANK OF AMERICA CORP 06.1000 12/29/2049 | 0.10% |
| CBS CORP 07.8750 07/30/2030 | 0.10% |
| CITIGROUP INC 05.9500 12/29/2049 | 0.10% |
| COMM 2012-CR3 XA IO 02.0724 10/15/2045 | 0.10% |
| CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 | 0.10% |
| ENERGY TRANSFER PARTNERS 04.2000 04/15/2027 | 0.10% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.10% |
| FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 | 0.10% |
| FNR 2015-3 BI IO 04.0000 03/25/2044 | 0.10% |
| GNR 2010-101 SH IO 05.7217 08/16/2040 | 0.10% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.10% |
| GNR 2015-77 DI IO 03.5000 05/20/2045 | 0.10% |
| KERR-MCGEE CORP 07.8750 09/15/2031 | 0.10% |
| KRAFT HEINZ FOODS CO 06.5000 02/09/2040 | 0.10% |
| SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI | 0.10% |
| TELECOM ITALIA SPA P/P 144A 05.3030 05/30/2024 | 0.10% |
| TEVA PHARMACEUTICALS NE USD 03.1500 10/01/2026 | 0.10% |
| 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% |
| BPCE SA P/P 144A 05.7000 10/22/2023 | 0.09% |
| CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 | 0.09% |
| CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 | 0.09% |
| CBS CORP 02.9000 01/15/2027 | 0.09% |
| COMCAST CORP 06.5000 11/15/2035 | 0.09% |
| CORP BOND BACKED CTF P/P 144A 00.0000 09/15/2017 | 0.09% |
| CREDIT SUISSE GRP AG P/P 144A 06.2500 12/29/2049 | 0.09% |
| DEVON ENERGY CORPORATION 03.2500 05/15/2022 | 0.09% |
| FHR 4122 AI IO 03.5000 10/15/2042 | 0.09% |
| FNR 2007-53 SP 20.6005 06/25/2037 | 0.09% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.09% |
| FNR 2013-67 IP IO 03.0000 02/25/2042 | 0.09% |
| GENERAL ELECTRIC CO 05.0000 12/29/2049 | 0.09% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.09% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.09% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.09% |
| GNR 2015-H09 BI IO 01.6841 03/20/2065 | 0.09% |
| GNR 2015-H15 JI IO 01.9359 06/20/2065 | 0.09% |
| GNR 2015-H16 XI IO 02.2019 07/20/2065 | 0.09% |
| GSMS 2014-GC18 D P/P 144A 04.9454 01/10/2047 | 0.09% |
| GSMS 2014-GC24 XA IO 00.8557 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% |
| NORFOLK SOUTHERN CORP 06.0000 05/23/2111 | 0.09% |
| PACIFICORP 06.2500 10/15/2037 | 0.09% |
| PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 | 0.09% |
| SABINE PASS LIQUEFAC P/P 144A 04.2000 03/15/2028 | 0.09% |
| SABMILLER HLDG INC 04.9500 01/15/2042 | 0.09% |
| SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 | 0.09% |
| WFRBS 2012-C7 D P/P 144A 04.8358 06/15/2045 | 0.09% |
| WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 | 0.09% |
| ZFS FIN USA TRUST V P/P 144A 06.5000 05/09/2037 | 0.09% |
| ANADARKO PETROLEUM CORP 06.4500 09/15/2036 | 0.08% |
| APPLE INC 04.3750 05/13/2045 | 0.08% |
| BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 | 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% |
| ENEL FINANCE INTL NV P/P 144A 05.1250 10/07/2019 | 0.08% |
| ENERGY TRANSFER PARTNERS 06.1250 12/15/2045 | 0.08% |
| EPR PROPERTIES 05.2500 07/15/2023 | 0.08% |
| FHLMC FH30G Q32223 04.5000 03/01/2045 | 0.08% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.08% |
| FNMA FN30 AT0942 03.0000 04/01/2043 | 0.08% |
| FNMA FN30 BD3718 03.5000 08/01/2046 | 0.08% |
| FNR 2005-75 GS 17.3050 08/25/2035 | 0.08% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.08% |
| FRESENIUS MED CARE P/P 144A 05.7500 02/15/2021 | 0.08% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.08% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.08% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.08% |
| GNR 2013-34 PI IO 04.5000 08/20/2039 | 0.08% |
| GNR 2014-46 JI IO 03.5000 10/20/2041 | 0.08% |
| GNR 2015-52 IE IO 04.0000 01/16/2043 | 0.08% |
| GNR 2015-H01 CI IO 01.6299 12/20/2064 | 0.08% |
| GNR 2015-H10 CI IO 01.7968 04/20/2065 | 0.08% |
| GNR 2015-H17 CI IO 01.6103 06/20/2065 | 0.08% |
| GNR 2016-H24 JI IO 02.4959 11/20/2066 | 0.08% |
| GRUPO BIMBO SAB P/P 144A 04.8750 06/27/2044 | 0.08% |
| IBERDROLA INTL BV USD 06.7500 07/15/2036 | 0.08% |
| JPMBB 2014-C25 XA IO 00.9938 11/15/2047 | 0.08% |
| LIBERTY MUTUAL GROUP P/P 144A 04.0362 03/15/2037 | 0.08% |
| MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 | 0.08% |
| MLMT 2008-C1 AJ 06.3006 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% |
| 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% |
| SANTANDER ISSUANCES USD 05.1790 11/19/2025 | 0.08% |
| WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 | 0.08% |
| WAMU 2005-AR1 A2B 01.7817 01/25/2045 | 0.08% |
| WFMBS 2005-AR16 6A4 03.0792 10/25/2035 | 0.08% |
| WFRBS 2013-C12 XA IO P/P 144A 01.3763 03/15/2048 | 0.08% |
| ANTHEM INC 04.6250 05/15/2042 | 0.07% |
| BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 | 0.07% |
| CBRE SERVICES INC 04.8750 03/01/2026 | 0.07% |
| ENERGY TRANSFER PARTNERS 06.5000 02/01/2042 | 0.07% |
| EXPEDIA INC 05.9500 08/15/2020 | 0.07% |
| FNR 2013-18 IN IO 03.5000 03/25/2043 | 0.07% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.07% |
| GNR 2013-18 GI IO 03.5000 05/20/2041 | 0.07% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.07% |
| GNR 2014-4 IK IO 04.0000 07/20/2039 | 0.07% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.07% |
| GNR 2015-H20 AI IO 01.8205 08/20/2065 | 0.07% |
| HCA INC 05.2500 06/15/2026 | 0.07% |
| HSBC CAP FUNDING USD P/P 144A 10.1760 12/29/2049 | 0.07% |
| JPMBB 2013-C15 D P/P 144A 05.0466 11/15/2045 | 0.07% |
| JPMORGAN CHASE & CO 07.9000 12/29/2049 | 0.07% |
| LBUBS 2006-C6 C 05.4820 09/15/2039 | 0.07% |
| MID-AMERICA APT LP 04.3000 10/15/2023 | 0.07% |
| MSC 2007-T27 AJ 05.7908 06/11/2042 | 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 06.6250 06/21/2040 | 0.07% |
| SBA TOWER TRUST P/P 144A 02.9330 12/11/2017 | 0.07% |
| SL GREEN REALTY CORP 05.0000 08/15/2018 | 0.07% |
| STATOIL ASA USD 05.1000 08/17/2040 | 0.07% |
| TORONTO-DOMINION BANK USD 03.6250 09/15/2031 | 0.07% |
| UNITEDHEALTH GROUP INC 04.6250 11/15/2041 | 0.07% |
| AIR LEASE CORP 03.3750 06/01/2021 | 0.06% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.06% |
| APPALACHIAN POWER CO 05.8000 10/01/2035 | 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% |
| BANK OF AMERICA CORP 06.5000 10/29/2049 | 0.06% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.06% |
| ENERGY TRANSFER PARTNERS 05.2000 02/01/2022 | 0.06% |
| ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 | 0.06% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.06% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.06% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.06% |
| FIFTH THIRD BANCORP 05.1000 12/29/2049 | 0.06% |
| FNMA FN30 AB9238 03.0000 05/01/2043 | 0.06% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.06% |
| GENERAL MOTORS CO 05.2000 04/01/2045 | 0.06% |
| GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 | 0.06% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.06% |
| HOSPITALITY PROPERTIES T 04.5000 03/15/2025 | 0.06% |
| ITC HOLDINGS CORP P/P 144A 06.0500 01/31/2018 | 0.06% |
| JPMCC 2006-LDP8 B 05.5200 05/15/2045 | 0.06% |
| MSRR 2015-R4 CB1 00.5977 08/26/2047 | 0.06% |
| NOBLE HOLDING INTL LTD USD 06.0500 03/01/2041 | 0.06% |
| ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 | 0.06% |
| PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 | 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 13WX20Y R 2.62 USD 05/02/2017 BC | 0.06% |
| UAL 2007 PASS TRUST 06.6360 07/02/2022 | 0.06% |
| VERIZON COMM 04.5220 09/15/2048 | 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 AMER/CAP CORP 04.5000 01/15/2023 | 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% |
| DOLLAR GENERAL CORP 03.2500 04/15/2023 | 0.05% |
| ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 | 0.05% |
| FNMA FN30 AP3817 03.0000 09/01/2042 | 0.05% |
| FNR 2013-23 LI IO 03.0000 06/25/2041 | 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 2010-35 UI IO 05.0000 03/20/2040 | 0.05% |
| GNR 2012-71 AI IO 03.5000 01/20/2042 | 0.05% |
| GNR 2013-129 SN IO 05.1717 09/20/2043 | 0.05% |
| GNR 2013-23 IK IO 03.0000 09/20/2037 | 0.05% |
| GNR 2014-162 DI IO 04.0000 11/20/2038 | 0.05% |
| GSMS 2012-GC6 D P/P 144A 05.6532 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% |
| JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 | 0.05% |
| JPMCC 2012-LC9 D P/P 144A 04.4128 12/15/2047 | 0.05% |
| JPMCC 2013-C13 D P/P 144A 04.0531 01/15/2046 | 0.05% |
| L BRANDS INC 05.6250 02/15/2022 | 0.05% |
| LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 | 0.05% |
| MOTIVA ENTERPRISES L P/P 144A 06.8500 01/15/2040 | 0.05% |
| OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 | 0.05% |
| OMNICOM GROUP INC 03.6000 04/15/2026 | 0.05% |
| OWENS CORNING 09.0000 06/15/2019 | 0.05% |
| PRIDE INTERNATIONAL LLC 07.8750 08/15/2040 | 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 13WX10Y R 2.4427 USD 05/03/2017 JP | 0.05% |
| SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA | 0.05% |
| SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA | 0.05% |
| US TREASURY N/B 02.0000 09/30/2020 | 0.05% |
| WELLS FARGO & COMPANY 05.8750 12/29/2049 | 0.05% |
| 2.50 R ISWP FWD USL3M P 06/21/2027 | 0.04% |
| AIR LEASE CORP 03.7500 02/01/2022 | 0.04% |
| ANADARKO PETROLEUM CORP 07.2000 03/15/2029 | 0.04% |
| BANK OF AMERICA CORP 01.8912 09/15/2026 | 0.04% |
| CAS 2016-C06 1M2 05.2317 04/25/2029 | 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 01.2012 04/10/2047 | 0.04% |
| CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 | 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% |
| EQT MIDSTREAM PARTNERS L 04.0000 08/01/2024 | 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 2013-30 IP IO 03.0000 10/25/2041 | 0.04% |
| FRESENIUS MED CARE P/P 144A 05.6250 07/31/2019 | 0.04% |
| GENERAL MOTORS CO 06.2500 10/02/2043 | 0.04% |
| GENERAL MOTORS FINL CO 03.4500 01/14/2022 | 0.04% |
| GEORGIA-PACIFIC LLC 07.7500 11/15/2029 | 0.04% |
| GNR 2012-48 KI IO 03.5000 12/16/2039 | 0.04% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.04% |
| GNR 2014-46 KI IO 03.0000 06/20/2036 | 0.04% |
| GNR 2015-H22 EI IO 01.6027 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 CIRCUIT INC 08.2500 03/15/2018 | 0.04% |
| LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 | 0.04% |
| LEAR CORP 05.3750 03/15/2024 | 0.04% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | 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% |
| STACR 2014-HQ3 M2 03.6317 10/25/2024 | 0.04% |
| STRU BC-6764 IO IO 04.0000 07/20/2045 | 0.04% |
| SWPTN 13WX10Y R 2.9498 USD 05/03/2017 JP | 0.04% |
| TELEFONICA EMISIONES SAU USD 07.0450 06/20/2036 | 0.04% |
| TIME WARNER INC 03.8000 02/15/2027 | 0.04% |
| ACTAVIS FUNDING SCS USD 04.7500 03/15/2045 | 0.03% |
| ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 | 0.03% |
| CAS 2014-C03 2M1 02.1817 07/25/2024 | 0.03% |
| CC HLDG GS V LLC/CRO 03.8490 04/15/2023 | 0.03% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 0.03% |
| CNO FINANCIAL GROUP INC 05.2500 05/30/2025 | 0.03% |
| CVS HEALTH CORP 05.1250 07/20/2045 | 0.03% |
| DCP MIDSTREAM OPERATING 03.8750 03/15/2023 | 0.03% |
| DDR CORP. 07.8750 09/01/2020 | 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% |
| GNR 2011-116 IA IO 04.5000 10/20/2039 | 0.03% |
| IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 | 0.03% |
| JPMCC 2007-CB20 AJ 06.1777 02/12/2051 | 0.03% |
| KINDER MORGAN ENER PART 05.4000 09/01/2044 | 0.03% |
| KINDER MORGAN INC. 03.0500 12/01/2019 | 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 05.1557 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 06/06/17 CALL 98.5078125 JPMC | 0.03% |
| OPTN FN30 3.0 06/06/17 CALL 98.6328125 JPMC | 0.03% |
| OPTN FN30 3.0 06/06/17 CALL 98.7578125 JPMC | 0.03% |
| SHIRE ACQ INV IE 03.2000 09/23/2026 | 0.03% |
| STACR 2014-DN3 M2 03.3817 08/25/2024 | 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% |
| TIAAC 2003-1A E 144A 08.0000 12/28/2038 | 0.03% |
| TIME WARNER INC 02.9500 07/15/2026 | 0.03% |
| VERIZON COMMUNICATIONS 04.4000 11/01/2034 | 0.03% |
| ABBVIE INC 03.6000 05/14/2025 | 0.02% |
| ACTAVIS FUNDING SCS USD 03.4500 03/15/2022 | 0.02% |
| AFLAC INC 06.4500 08/15/2040 | 0.02% |
| AGRIUM INC USD 05.2500 01/15/2045 | 0.02% |
| ASSURANT INC 06.7500 02/15/2034 | 0.02% |
| BGC PARTNERS INC 05.1250 05/27/2021 | 0.02% |
| CAS 2014-C04 1M1 02.9317 11/25/2024 | 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 CS | 0.02% |
| CROWN CASTLE INTL CORP 04.8750 04/15/2022 | 0.02% |
| CROWN CASTLE INTL CORP. 05.2500 01/15/2023 | 0.02% |
| CYTEC INDUSTRIES INC. 03.5000 04/01/2023 | 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% |
| EXPEDIA INC 05.0000 02/15/2026 | 0.02% |
| FHR 2976 LC 21.0752 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 14.8417 11/25/2034 | 0.02% |
| FORD MOTOR COMPANY 07.7000 05/15/2097 | 0.02% |
| GECMC 2007-C1 XC IO P/P 144A 00.4434 12/10/2049 | 0.02% |
| GENERAL MOTORS FINL CO 03.0000 09/25/2017 | 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% |
| HILTON DOMESTIC OPER P/P 144A 04.2500 09/01/2024 | 0.02% |
| HOST HOTELS & RESORTS 05.2500 03/15/2022 | 0.02% |
| JPMCC 2007-LDPX X IO 00.3976 01/15/2049 | 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 2004-C1 G P/P 144A 05.0770 01/15/2036 | 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% |
| SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC | 0.02% |
| SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC | 0.02% |
| SWPTN 3MX10Y R 2.3125 USD 04/13/2017 BA | 0.02% |
| SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI | 0.02% |
| VULCAN MATERIALS COMPANY 04.5000 04/01/2025 | 0.02% |
| WESTROCK MWV LLC 07.9500 02/15/2031 | 0.02% |
| 2.20 R ISWP FWD USL3M P 06/21/2022 | 0.01% |
| 2.70 R ISWP FWD USL3M P 06/21/2047 | 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% |
| CAS 2014-C03 1M1 02.1817 07/25/2024 | 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 CS | 0.01% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 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.BBB-.7 2047-01-17 300.0 01/17/2047 CS | 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% |
| 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% |
| DBRR 2013-EZ3 A P/P 144A 01.6360 12/18/2049 | 0.01% |
| ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 | 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% |
| GNR 2013-16 IB IO 05.0000 10/20/2040 | 0.01% |
| JPMCC 2008-C2 ASB 06.1250 02/12/2051 | 0.01% |
| L3 TECHNOLOGIES INC 03.8500 12/15/2026 | 0.01% |
| LBUBS 2005-C7 XCL IO P/P 144A 00.3415 11/15/2040 | 0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.01% |
| OMEGA HLTHCARE INVES 05.2500 01/15/2026 | 0.01% |
| OPTN FN30 3.5 05/04/17 PUT 100.953125 JPMC | 0.01% |
| SWPTN 1MX10Y R 2.297 USD 04/13/2017 CI | 0.01% |
| SWPTN 3MX10Y R 2.3525 USD 04/13/2017 JP | 0.01% |
| SWPTN 3MX1Y P 1.34 USD 04/04/2017 CI | 0.01% |
| SWPTN 3MX1Y R 1.54 USD 06/02/2017 BA | 0.01% |
| SWPTN 5WX1Y R 1.425 USD 04/03/2017 BC | 0.01% |
| SWPTN 5WX1Y R 1.426 USD 04/24/2017 JP | 0.01% |
| SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA | 0.01% |
| SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA | 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% |
| WESTROCK RKT CO 04.4500 03/01/2019 | 0.01% |
| 1.75 R ISWP FWD USL3M P 06/21/2019 | 0.00% |
| 2.39859 R ISWP USL3M P 04/04/2027 | 0.00% |
| 2.41 R ISWP USL3M P 04/03/2027 | 0.00% |
| BACM 2004-4 XC IO P/P 144A 00.0188 07/10/2042 | 0.00% |
| BACM 2004-5 XC IO P/P 144A 00.5627 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 00.3005 01/15/2049 | 0.00% |
| BACM 2007-5 XW IO P/P 144A 00.4780 02/10/2051 | 0.00% |
| BEAVER VALLEY II FUNDING 09.0000 06/01/2017 | 0.00% |
| BSCMS 04-PR3I X1 IO 00.2596 02/11/2041 | 0.00% |
| BSCMS 06-PW14 X1 IO P/P 144A 00.5767 12/11/2038 | 0.00% |
| CD 2007-CD4 XW IO P/P 144A 00.9106 12/11/2049 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | 0.00% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS | 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 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-.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% |
| COMM 2006-C8 XS IO P/P 144A 00.8211 12/10/2046 | 0.00% |
| CONTL AIRLINES 1997-4 06.9000 01/02/2018 | 0.00% |
| CSMC 2007-C2 AX IO P/P 144A 00.0863 01/15/2049 | 0.00% |
| FHR 2979 AS 20.9285 03/15/2034 | 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 00.1099 07/10/2045 | 0.00% |
| GMACC 1997-C1 X IO 01.1967 07/15/2029 | 0.00% |
| GMACC 2005-C1 X1 IO P/P 144A 00.7830 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% |
| 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 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% |
| JPMCC 05-CB12 X1 IO P/P 144A 00.3891 09/12/2037 | 0.00% |
| JPMCC 06-LDP6 X1 IO P/P 144A 00.0223 04/15/2043 | 0.00% |
| JPMCC 2006-LDP8 X IO 00.4229 05/15/2045 | 0.00% |
| LBCMT 1998-C4 H P/P 144A 05.6000 10/15/2035 | 0.00% |
| LBUBS 2005-C2 XCL IO P/P 144A 00.1950 04/15/2040 | 0.00% |
| LBUBS 2007-C2 XCL IO P/P 144A 00.7088 02/15/2040 | 0.00% |
| LBUBS 2007-C2 XW IO 00.7088 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.FN30.600.08 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 05.9105 05/15/2044 | 0.00% |
| MEZZ 2006-C4 X IO P/P 144A 02.9842 07/15/2045 | 0.00% |
| MLCFC 2006-4 AJFX P/P 144A 05.1470 12/12/2049 | 0.00% |
| MLCFC 2006-4 XC IO P/P 144A 00.7723 12/12/2049 | 0.00% |
| MLMT 2004-KEY2 XC IO P/P 144A 00.3564 08/12/2039 | 0.00% |
| MLMT 2005-MCP1 XC IO P/P 144A 00.0052 06/12/2043 | 0.00% |
| NEUBERGER BERMAN P/P 144A 05.8750 03/15/2022 | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.1328125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.2578125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.3828125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.703125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 100.828125 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.5625 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.6875 JPMC | 0.00% |
| OPTN FN30 3.5 05/04/17 PUT 99.8125 JPMC | 0.00% |
| PPL CAPITAL FUNDING INC 03.4000 06/01/2023 | 0.00% |
| SWPTN 1MX10Y P 2.58 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.6 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.695 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.715 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.7655 USD 04/21/2017 CI | 0.00% |
| SWPTN 1MX10Y P 2.81 USD 04/10/2017 CS | 0.00% |
| SWPTN 1MX10Y P 2.83 USD 04/13/2017 BC | 0.00% |
| SWPTN 1MX10Y P 2.8945 USD 04/13/2017 CI | 0.00% |
| SWPTN 1MX10Y R 2.163 USD 04/21/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.34 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX1Y R 1.63875 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.698 USD 06/02/2017 BA | 0.00% |
| SWPTN 3MX1Y R 1.75125 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.86375 USD 04/06/2017 GS | 0.00% |
| SWPTN 3MX3Y P 1.942 USD 04/04/2017 CI | 0.00% |
| SWPTN 3MX3Y R 1.652 USD 04/04/2017 CI | 0.00% |
| SWPTN 5WX10Y P 2.8625 USD 04/10/2017 BA | 0.00% |
| SWPTN 5WX10Y R 2.265 USD 04/10/2017 BA | 0.00% |
| SWPTN 5WX1Y R 2.06 USD 04/24/2017 JP | 0.00% |
| SWPTN 5WX1Y R 2.13975 USD 04/03/2017 BC | 0.00% |
| US 10YR NOTE (CBT)JUN17 TYM7 | 0.00% |
| US 10YR ULTRA FUT JUN17 UXYM7 | 0.00% |
| US 2YR NOTE (CBT) JUN17 TUM7 | 0.00% |
| US 5YR NOTE (CBT) JUN17 FVM7 | 0.00% |
| US LONG BOND(CBT) JUN17 USM7 | 0.00% |
| US ULTRA BOND CBT JUN17 WNM7 | 0.00% |
| WBCMT 2006-C26 XC IO P/P 144A 00.0561 06/15/2045 | 0.00% |
| WBCMT 2006-C29 IO IO 00.2778 11/15/2048 | 0.00% |
| WBCMT 2007-C34 IO IO 00.4004 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 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.7 2047-01-17 200.0 01/17/2047 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 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 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 CS | -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% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | -0.01% |
| IOS.GII30.500.10 R USL1M P 01/12/41 CS | -0.01% |
| OPTN FN30 3.0 06/06/17 CALL 100.0078125 JPMC | -0.01% |
| OPTN FN30 3.0 06/06/17 CALL 100.1328125 JPMC | -0.01% |
| OPTN FN30 3.0 06/06/17 CALL 99.8828125 JPMC | -0.01% |
| SWPTN 3MX5Y R 2.01 USD 04/13/2017 BA | -0.01% |
| SWPTN 3MX5Y R 2.05 USD 04/13/2017 JP | -0.01% |
| SWPTN 3MX5Y R 2.6475 USD 04/13/2017 BA | -0.01% |
| SWPTN 3MX5Y R 2.69 USD 04/13/2017 JP | -0.01% |
| SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA | -0.01% |
| SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA | -0.01% |
| 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 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 JP | -0.02% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.1953125 JPMC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.3203125 JPMC | -0.02% |
| OPTN FN30 3.0 06/06/17 CALL 99.4453125 JPMC | -0.02% |
| SWPTN 3MX1Y R 1.993 USD 06/02/2017 BA | -0.02% |
| SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI | -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.A.6 2063-05-11 200.0 05/11/2063 CS | -0.03% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.03% |
| SWPTN 13WX10Y R 2.905 USD 05/02/2017 BC | -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.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.04% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.04% |
| SWPTN 13WX10Y R 2.206 USD 06/12/2017 CI | -0.04% |
| SWPTN 13WX10Y R 2.4 USD 05/02/2017 BC | -0.04% |
| SWPTN 1MX10Y R 2.435 USD 04/13/2017 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 1MX10Y R 2.43 USD 04/10/2017 CS | -0.06% |
| SWPTN 13WX20Y R 2.6657 USD 05/03/2017 JP | -0.08% |
| FLR USL3M 6.00 03/07/2018 JP | -0.10% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.12% |
| SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA | -0.12% |
| SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP | -0.12% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.13% |
| SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA | -0.13% |
| SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP | -0.14% |
| SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA | -0.16% |
| SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA | -0.16% |
| 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% |
| CDX CDX.NA.HY.27 500.0 12/20/2021 | -0.30% |
| FHLMC FH30G TBA 03.0000 04/01/2047 | -0.39% |
| FNMA FN30 TBA 04.0000 05/01/2047 | -0.42% |
| FNMA FN30 TBA 03.0000 05/01/2047 | -6.71% |
Prior top 10 holdings
| Top 10 holdings as of 06/30/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 08/01/2047 | 11.31% |
| 2: Fnma Fn30 Tba 03.5000 07/01/2047 | 5.26% |
| 3: Fnma Fn30 Tba 03.0000 07/01/2047 | 3.15% |
| 4: Fnma Fn30 Tba 04.5000 07/01/2047 | 2.96% |
| 5: Gnma Gii30 Tba 03.5000 07/01/2047 | 2.04% |
| 6: Fnma Fn30 Tba 02.5000 07/01/2047 | 1.90% |
| 7: Gnma Gii30 Tba 03.0000 07/01/2047 | 1.59% |
| 8: Gnma Gii30 Tba 05.0000 07/01/2047 | 1.27% |
| 9: Bf0101 03.5000 06/01/2056 | 1.19% |
| 10: Fnma Fn30 Tba 02.5000 08/01/2047 | 1.14% |
| Holdings represent 31.81% of portfolio | |
| Top 10 holdings as of 05/31/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 07/01/2047 | 13.42% |
| 2: Fnma Fn30 Tba 03.5000 06/01/2047 | 3.26% |
| 3: Fnma Fn30 Tba 03.0000 07/01/2047 | 3.16% |
| 4: Fnma Fn30 Tba 02.5000 06/01/2047 | 3.06% |
| 5: Fnma Fn30 Tba 04.5000 06/01/2047 | 2.98% |
| 6: Gnma Gii30 Tba 03.5000 06/01/2047 | 2.06% |
| 7: Gnma Gii30 Tba 03.0000 06/01/2047 | 1.61% |
| 8: Gnma Gii30 Tba 05.0000 06/01/2047 | 1.28% |
| 9: Bf0101 03.5000 06/01/2056 | 1.20% |
| 10: Wamu 2005-Ar13 A1c4 01.4536 10/25/2045 | 1.10% |
| Holdings represent 33.13% of portfolio | |
| Top 10 holdings as of 04/30/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 06/01/2047 | 18.26% |
| 2: Fnma Fn30 Tba 02.5000 05/01/2047 | 3.05% |
| 3: Fnma Fn30 Tba 04.5000 05/01/2047 | 2.98% |
| 4: Fnma Fn30 Tba 03.0000 06/01/2047 | 2.37% |
| 5: Gnma Gii30 Tba 03.0000 05/01/2047 | 1.60% |
| 6: Gnma Gii30 Tba 05.0000 05/01/2047 | 1.28% |
| 7: Wamu 2005-Ar13 A1c4 01.4206 10/25/2045 | 1.11% |
| 8: Cas 2016-C03 1m2 06.2906 10/25/2028 | 0.99% |
| 9: Stacr 2015-Dn1 M3 05.1406 01/25/2025 | 0.94% |
| 10: Fnma Fn30 Tba 06.0000 05/01/2047 | 0.90% |
| Holdings represent 33.48% of portfolio | |
| Top 10 holdings as of 03/31/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 05/01/2047 | 18.31% |
| 2: Fnma Fn30 Tba 02.5000 04/01/2047 | 3.04% |
| 3: Fnma Fn30 Tba 04.5000 04/01/2047 | 2.14% |
| 4: Gnma Gii30 Tba 04.0000 04/01/2047 | 1.68% |
| 5: Gnma Gii30 Tba 03.0000 04/01/2047 | 1.61% |
| 6: Gnma Gii30 Tba 05.0000 04/01/2047 | 1.29% |
| 7: Wamu 2005-Ar13 A1c4 01.4117 10/25/2045 | 1.07% |
| 8: Cas 2016-C03 1m2 06.2817 10/25/2028 | 0.98% |
| 9: Stacr 2015-Dn1 M3 05.1317 01/25/2025 | 0.93% |
| 10: Fnma Fn30 Tba 06.0000 04/01/2047 | 0.90% |
| Holdings represent 31.95% of portfolio | |
Sector Weightings as of 06/30/17
| Cash Investment | Non-Cash Investment | Total Portfolio | ||||
|---|---|---|---|---|---|---|
| Weight | Spread Duration | Weight | Spread Duration | Weight | Spread Duration | |
| Agency pass-through | 13.94% | 0.87 | 32.40% | 1.91 | 46.34% | 2.78 |
| Commercial MBS | 19.13% | 0.73 | 11.30% | 0.51 | 30.43% | 1.24 |
| Investment-grade corporate bonds | 25.27% | 2.30 | 0.00% | 0.00 | 25.27% | 2.30 |
| Agency CMO | 18.48% | 0.49 | 0.62% | 0.02 | 19.10% | 0.51 |
| Net cash | 9.71% | 0.00 | 0.00% | 0.00 | 9.71% | 0.00 |
| Residential MBS (non-agency) | 8.82% | 0.42 | 0.00% | 0.00 | 8.82% | 0.42 |
| Asset-backed securities (ABS) | 0.73% | 0.00 | 0.00% | 0.00 | 0.73% | 0.00 |
| Municipal bonds | 0.49% | 0.06 | 0.00% | 0.00 | 0.49% | 0.06 |
| Emerging-market bonds | 0.27% | 0.03 | 0.00% | 0.00 | 0.27% | 0.03 |
| U.S. Treasury/agency | 0.05% | 0.00 | 0.00% | 1.70 | 0.05% | 1.70 |
| Interest rate swaps | 0.00% | 0.00 | 0.00% | -0.08 | 0.00% | -0.08 |
| High-yield corporate bonds | 3.11% | 0.22 | -3.94% | -0.16 | -0.83% | 0.06 |
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.
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.