Putnam Hartford Capital Manager

Putnam Income Subaccount

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

Putnam Income Subaccount

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

Lipper ranking ‡ as of 09/30/18

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/72
1 yr. 2% 2/109
3 yrs. 15% 15/100
5 yrs. 7% 6/95

Risk characteristics as of 09/30/18

Avg. Eff. Maturity 9.96
Avg. Price 87.01
Avg. Eff. Duration 5.33
Avg. Coupon 4.28
Avg. Yield to Maturity 4.72
Alpha (%) --
Beta 0.70
R squared 0.41
Standard deviation (3 yrs.) 2.87

Maturity details

0 to 1 yr. 8.17%
1 to 5 yrs. 18.77%
5 to 10 yrs. 64.10%
10 to 15 yrs. 1.47%
Over 15 yrs. 7.49%

Quality ratings

AAA 49.53%
AA 4.89%
A 11.90%
BBB 23.60%
BB 8.12%
B 2.93%
CCC and Below 0.90%
Not Rated -1.87%

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 09/30/18

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 1013
Turnover (fiscal year end) 848%
Net Assets $238M
Inception Date 02/01/88

Holdings

Top 10 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 04.2230 05/01/2029 0.93%
Top 10 holdings, total: 14.71%

 | Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 06/30/18
FNMA FN30 TBA 03.5000 08/01/2048 4.92%
FNMA FN30 TBA 03.0000 08/01/2048 3.59%
GNMA GII30 TBA 04.0000 07/01/2048 2.54%
GNMA GII30 TBA 04.5000 07/01/2048 2.14%
GNMA GII30 TBA 03.5000 08/01/2048 2.07%
FNMA FN30 TBA 02.5000 07/01/2048 1.55%
FNMA FN40 BF0169 3.500000 01/01/2057 1.12%
BF0101 03.5000 06/01/2056 1.07%
CAS 2016-C03 1M2 07.3911 10/25/2028 1.07%
WAMU 2005-AR13 A1C4 02.5211 10/25/2045 1.00%
GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 0.91%
FNMA FN30 TBA 06.0000 07/01/2048 0.90%
FNMA FN30 TBA 05.5000 07/01/2048 0.88%
STACR 2015-DN1 M3 06.2411 01/25/2025 0.85%
FNMA FN30 TBA 04.0000 07/01/2048 0.84%
CAS 2016-C03 2M2 07.9911 10/25/2028 0.83%
CAS 2016-C02 1M2 08.0911 09/25/2028 0.81%
FNMA FN40 BF0219 03.5000 09/01/2057 0.81%
GNMA GII30 MA5194 05.0000 05/20/2048 0.78%
STACR 2015-DNA3 M2 04.9411 04/25/2028 0.72%
FHS 315 PO PO 00.0000 09/15/2043 0.71%
FNMA FN30 AS7363 03.0000 06/01/2046 0.70%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.67%
BMIR 2017-1 M2 P/P 144A 05.4411 10/25/2027 0.65%
SPST 2018-1 A 02.8613 04/24/2019 0.63%
FNMA FN30 AL8994 04.0000 09/01/2045 0.60%
FHLMC FH30G G60314 04.0000 09/01/2045 0.59%
STACR 2016-HQA1 M3 08.4411 09/25/2028 0.59%
WAMU 2005-AR17 A1B2 02.5011 12/25/2045 0.55%
GNMA GII30 MA5266 05.0000 06/20/2048 0.52%
BCAP 2015-RR5 2A2 02.5342 01/26/2046 0.51%
CAS 2017-C01 1M2 05.6411 07/25/2029 0.50%
SPST 2018-3 A 02.7911 07/24/2019 0.50%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.46%
CITIGROUP INC 04.4500 09/29/2027 0.45%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.45%
WFRBS 2012-C10 D P/P 144A 04.5918 12/15/2045 0.45%
CAS 2016-C03 1M1 04.0911 10/25/2028 0.43%
FNMA FN30 TBA 04.5000 08/01/2048 0.43%
SALESFORCE.COM INC 03.7000 04/11/2028 0.43%
GNMA GII30 TBA 03.0000 07/01/2048 0.40%
GNMA GII30 635173 03.5000 02/20/2047 0.39%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.38%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.38%
STACR 2016-DNA2 M3 06.7411 10/25/2028 0.38%
FAIRFAX FINL HLDGS P/P 144A 04.8500 04/17/2028 0.37%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.37%
FHR 3835 FO PO 00.0000 04/15/2041 0.37%
FNMA FN30 AS8684 03.5000 01/01/2047 0.37%
GNR 2016-H23 NI IO 01.8293 10/20/2066 0.37%
FNMA FN30 BC1489 03.0000 08/01/2046 0.36%
FNMA FN30 BM1172 03.0000 03/01/2047 0.36%
CGCMT 2014-GC21 D P/P 144A 04.9959 05/10/2047 0.35%
DIGITAL REALTY TRUST LP 04.4500 07/15/2028 0.35%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.35%
FNMA FN30 BC1445 03.0000 07/01/2046 0.34%
JPMBB 2013-C14 D P/P 144A 04.7172 08/15/2046 0.34%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.34%
STACR 2016-DNA3 M3 07.0911 12/25/2028 0.34%
CAS 2014-C04 1M2 06.9911 11/25/2024 0.33%
COMM 2014-CR17 C 04.8978 05/10/2047 0.33%
FHLMC FH30G G60861 03.5000 01/01/2047 0.33%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.32%
WFRBS 2011-C2 D P/P 144A 05.8385 02/15/2044 0.32%
WFRBS 2013-C15 D P/P 144A 04.6278 08/15/2046 0.32%
CITIGROUP INC 03.6680 07/24/2028 0.31%
MORGAN STANLEY 04.3750 01/22/2047 0.31%
BSCMS 2006-PW11 B P/P 144A 05.2830 03/11/2039 0.30%
GSMS 2014-GC22 XA IO 01.1598 06/10/2047 0.30%
KEURIG DR PEPPER INC P/P 144A 04.5970 05/25/2028 0.30%
MSBAM 2013-C10 E P/P 144A 04.2189 07/15/2046 0.30%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.30%
WFRBS 2014-C22 XA IO 01.0395 09/15/2057 0.30%
BPCE SA P/P 144A 04.5000 03/15/2025 0.29%
CGCMT 2014-GC19 X IO 01.3466 03/10/2047 0.29%
CVS HEALTH CORP 04.7800 03/25/2038 0.29%
FNMA FN30 BC0960 04.0000 06/01/2046 0.29%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.29%
GSMS 2014-GC18 C 05.1083 01/10/2047 0.29%
STACR 2016-HQA2 M3 07.2411 11/25/2028 0.29%
UNITEDHEALTH GROUP INC 03.8500 06/15/2028 0.29%
GNR 2016-H02 HI IO 01.3357 01/20/2066 0.28%
MSBAM 2014-C17 D P/P 144A 04.8597 08/15/2047 0.28%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.28%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.28%
UBSBB 2012-C2 E P/P 144A 05.0502 05/10/2063 0.28%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.27%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.27%
OSHKOSH CORP 04.6000 05/15/2028 0.27%
AT&T INC P/P 144A 04.1000 02/15/2028 0.26%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.26%
FNMA FN30 AY8222 04.5000 05/01/2045 0.26%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.26%
MICROCHIP TECH INC P/P 144A 04.3330 06/01/2023 0.26%
WFRBS 2014-C19 E P/P 144A 05.1366 03/15/2047 0.26%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.26%
FHLMC FH30G V80357 03.5000 08/01/2043 0.25%
FNMA FN30 AU1625 03.5000 07/01/2043 0.25%
FNMA FN30 AX7296 04.5000 12/01/2044 0.25%
JPMCC 2011-C3 F P/P 144A 05.8653 02/15/2046 0.25%
VODAFONE GROUP PLC USD 04.3750 05/30/2028 0.25%
WFRBS 2013-C14 XA IO 00.8843 06/15/2046 0.25%
WFRBS 2013-C17 C 05.2928 12/15/2046 0.25%
BANCO SANTANDER SA USD 04.3790 04/12/2028 0.24%
CFCRE 2011-C2 E P/P 144A 05.9467 12/15/2047 0.24%
FNMA FN30 BD0189 03.5000 06/01/2046 0.24%
FHLMC FH30G V80012 03.0000 03/01/2043 0.23%
FNMA FN30 AS4991 03.5000 05/01/2045 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 04.4550 05/15/2067 0.23%
ALPHABET INC 01.9980 08/15/2026 0.22%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.22%
JPMCC 2012-C6 E P/P 144A 05.3121 05/15/2045 0.22%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.21%
CA TXB-VAR PURP 07.5000 04/01/2034 0.21%
FIDELITY NATIONAL INFORM 04.2500 05/15/2028 0.21%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.21%
GNMA GII30 BD1731 03.5000 01/20/2048 0.21%
GNR 2014-H11 GI IO 01.4730 06/20/2064 0.21%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.21%
HSBC HOLDINGS PLC USD 06.3750 12/29/2049 0.21%
JPMBB 2014-C22 XA IO 01.0462 09/15/2047 0.21%
MICROSOFT CORP 02.4000 08/08/2026 0.21%
MSBAM 2013-C11 D P/P 144A 04.5029 08/15/2046 0.21%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.21%
WFCM 2014-LC16 XA IO 01.5012 08/15/2050 0.21%
BMIR 2017-1 M1 P/P 144A 03.7911 10/25/2027 0.20%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.20%
CSAIL 2015-C1 D P/P 144A 03.9401 04/15/2050 0.20%
GNMA GII30 BE1441 03.5000 11/20/2047 0.20%
GNR 2014-H07 BI IO 01.4557 05/20/2064 0.20%
GNR 2017-H08 NI IO 02.0977 03/20/2067 0.20%
GNR 2017-H14 EI IO 02.1149 06/20/2067 0.20%
STACR 2015-DNA2 M2 04.6911 12/25/2027 0.20%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.20%
UBSBB 2012-C2 XA IO P/P 144A 01.4919 05/10/2063 0.20%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.20%
2.75 R ISWP FWD US0003M P 06/20/2023 0.19%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.19%
GNR 2015-H13 AI IO 02.0914 06/20/2065 0.19%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.19%
MSBAM 2013-C7 XA IO 01.5232 02/15/2046 0.19%
NHEL 2004-2 M4 03.8911 09/25/2034 0.19%
WAMU 2005-AR11 A1C3 02.6011 08/25/2045 0.19%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.18%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.18%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.18%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.18%
FNMA FN30 AW7089 04.5000 07/01/2044 0.18%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.18%
GNR 2017-H12 QI IO 01.9066 05/20/2067 0.18%
GSMS 2013-GC10 XA IO 01.6921 02/10/2046 0.18%
LEAR CORP 03.8000 09/15/2027 0.18%
REPUBLIC SERVICES INC 03.9500 05/15/2028 0.18%
STACR 2017-HQA1 M2 05.6411 08/25/2029 0.18%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.18%
CAS 2014-C03 2M2 04.9911 07/25/2024 0.17%
COMM 2014-CR19 XA IO 01.3551 08/10/2047 0.17%
COMM 2014-UBS6 XA IO 01.1141 12/10/2047 0.17%
DBUBS 2011-LC3A D P/P 144A 05.5154 08/10/2044 0.17%
FHR 4663 KI IO 03.5000 11/15/2042 0.17%
GNMA GII30 BG4860 04.5000 05/20/2048 0.17%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.17%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.17%
GNR 2017-H10 MI IO 01.6013 04/20/2067 0.17%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.17%
GSMS 2013-GC10 E P/P 144A 04.5576 02/10/2046 0.17%
MSBAM 2012-C6 F P/P 144A 04.7268 11/15/2045 0.17%
N TX HWY-TXB-B 06.7180 01/01/2049 0.17%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.17%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.17%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.17%
BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 0.16%
FHR 3065 DC 13.6403 03/15/2035 0.16%
FHR 4546 TI IO 04.0000 12/15/2045 0.16%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.16%
GNMA GII30 BD1729 03.5000 01/20/2048 0.16%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.16%
GNR 2017-H09 DI IO 01.8926 03/20/2067 0.16%
JPMCC 2011-C5 D P/P 144A 05.5854 08/15/2046 0.16%
JPMCC 2012-C8 D P/P 144A 04.8088 10/15/2045 0.16%
LNSTR 2015-3 C P/P 144A 03.2457 04/20/2048 0.16%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.16%
ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 0.16%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.16%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.16%
WFRBS 2012-C10 XA IO P/P 144A 01.7208 12/15/2045 0.16%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.15%
APPLE INC 04.3750 05/13/2045 0.15%
BACM 2005-1 B 05.5041 11/10/2042 0.15%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.15%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.15%
COMCAST CORP 03.1500 03/01/2026 0.15%
COMM 2013-CR11 XA IO 01.2793 08/10/2050 0.15%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.15%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 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%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.15%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.15%
GNR 2016-H06 AI IO 01.5503 02/20/2066 0.15%
JPMCC 2007-CB20 E P/P 144A 06.4413 02/12/2051 0.15%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.15%
MSBAM 2013-C12 XA IO 00.9910 10/15/2046 0.15%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.15%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.15%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.15%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.15%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.14%
COMM 2014-LC15 XA IO 01.4647 04/10/2047 0.14%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.14%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.14%
FHR 3852 NT 03.9268 05/15/2041 0.14%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.14%
GNR 2015-H12 EI IO 01.6932 04/20/2065 0.14%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.14%
GNR 2016-H11 HI IO 02.0874 01/20/2066 0.14%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.14%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.14%
STACR 2013-DN2 M2 06.3411 11/25/2023 0.14%
STACR 2014-DN2 M3 05.6911 04/25/2024 0.14%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 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%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.13%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.13%
FHR 4158 TI IO 03.0000 12/15/2042 0.13%
FHR 4176 DI IO 03.0000 12/15/2042 0.13%
FHR 4601 PI IO 04.5000 12/15/2045 0.13%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.13%
GNR 2015-H04 AI IO 01.2822 12/20/2064 0.13%
GNR 2015-H12 GI IO 01.7896 05/20/2065 0.13%
GNR 2016-H14 IO IO 01.6700 06/20/2066 0.13%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.13%
JPMBB 2013-C14 E P/P 144A 04.7172 08/15/2046 0.13%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.13%
JPMCC 2012-LC9 XA IO 01.7024 12/15/2047 0.13%
MSC 2008-T29 F P/P 144A 06.3676 01/11/2043 0.13%
MSC 2016-UB12 XA IO 00.9516 12/15/2049 0.13%
SAIL 2004-10 A10 02.9911 11/25/2034 0.13%
SASC 2006-AM1 A4 02.2511 04/25/2036 0.13%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.13%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 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%
WESTROCK MWV LLC 08.2000 01/15/2030 0.13%
WFRBS 2012-C9 XA IO P/P 144A 02.0511 11/15/2045 0.13%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.13%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.12%
AMGEN INC 04.6630 06/15/2051 0.12%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.12%
AXA SA P/P 144A 06.3790 12/29/2049 0.12%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.12%
CBS CORP 04.6000 01/15/2045 0.12%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.12%
CSMC 2007-C4 C P/P 144A 06.2361 09/15/2039 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 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 2011-17 S IO 03.9663 02/20/2041 0.12%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.12%
GNR 2015-H12 AI IO 01.8453 05/20/2065 0.12%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.12%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.12%
GSMS 2010-C1 D P/P 144A 06.1964 08/10/2043 0.12%
GSMS 2014-GC18 XA IO 01.2720 01/10/2047 0.12%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.12%
JPMBB 2013-C14 C 04.7172 08/15/2046 0.12%
MSBAM 2015-C25 XA IO 01.2785 10/15/2048 0.12%
MSBAM 2015-C26 XA IO 01.2305 10/15/2048 0.12%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.12%
ORACLE CORP 02.6500 07/15/2026 0.12%
ORACLE CORP 03.2500 11/15/2027 0.12%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.12%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.12%
WFRBS 2013-C11 XA IO P/P 144A 01.3647 03/15/2045 0.12%
WFRBS 2014-C24 XA IO 01.0323 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%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.11%
CAS 2015-C02 2M2 06.0911 05/25/2025 0.11%
COMM 2012-LC4 XA IO P/P 144A 02.3825 12/10/2044 0.11%
COMM 2015-CR23 XA IO 01.1112 05/10/2048 0.11%
CWCI 2007-C3 AJ 06.0153 05/15/2046 0.11%
FHR 3408 EK 17.4506 04/15/2037 0.11%
FNMA FN30 AR3945 03.0000 03/01/2043 0.11%
FNR 2005-122 SE 15.7810 11/25/2035 0.11%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.11%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.11%
GNR 2010-H19 GI IO 01.4075 08/20/2060 0.11%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.11%
GNR 2013-4 IC IO 04.0000 09/20/2042 0.11%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.11%
GNR 2015-H25 AI IO 01.6062 09/20/2065 0.11%
GNR 2016-H04 KI IO 01.3917 02/20/2066 0.11%
JPMBB 2013-C17 XA IO 01.0095 01/15/2047 0.11%
JPMCC 2013-LC11 X IO 01.4224 04/15/2046 0.11%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.11%
MSC 2016-BNK2 XA IO 01.2349 11/15/2049 0.11%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.11%
STACR 2015-HQ1 M3 05.8911 03/25/2025 0.11%
STACR 2016-DNA2 M2 04.2911 10/25/2028 0.11%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.11%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 0.11%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.11%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.11%
UBSCM 2012-C1 XA IO P/P 144A 02.2584 05/10/2045 0.11%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.11%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.11%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.10%
AON PLC USD 04.2500 12/12/2042 0.10%
CFCRE 2011-C2 D P/P 144A 05.9467 12/15/2047 0.10%
CGCMT 2013-GC17 X IO 01.5444 11/10/2046 0.10%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 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%
FHR 4500 GI IO 04.0000 08/15/2045 0.10%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
FNR 2006-8 HP 16.8992 03/25/2036 0.10%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.10%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.10%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.10%
GNR 2015-H25 CI IO 01.4600 10/20/2065 0.10%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.10%
MOODY'S CORPORATION 03.2500 01/15/2028 0.10%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.10%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.10%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.10%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.10%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.10%
SWPTN LIABILITY 2YX10Y P 2.413 USD 06/03/2019 BA 0.10%
SWPTN LIABILITY 2YX10Y P 2.42 USD 06/03/2019 CI 0.10%
SWPTN LIABILITY 2YX10Y R 2.413 USD 06/03/2019 BA 0.10%
SWPTN LIABILITY 2YX10Y R 2.42 USD 06/03/2019 CI 0.10%
UBSBB 2013-C6 XA IO P/P 144A 01.2789 04/10/2046 0.10%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.10%
WFRBS 2012-C9 XB IO P/P 144A 00.8441 11/15/2045 0.10%
WYNDHAM DESTINATIONS INC 04.5000 04/01/2027 0.10%
AIR LEASE CORP 03.6250 04/01/2027 0.09%
AT&T INC 03.4000 05/15/2025 0.09%
AT&T INC 04.7500 05/15/2046 0.09%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
CAS 2015-C04 2M2 07.6411 04/25/2028 0.09%
CGCMT 2012-GC8 XA IO P/P 144A 01.9696 09/10/2045 0.09%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.09%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.09%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 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 2015-H28 DI IO 01.5479 08/20/2065 0.09%
GNR 2016-H27 BI IO 02.3952 12/20/2066 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
GSMS 2013-GC12 XA IO 01.5781 06/10/2046 0.09%
GSMS 2014-GC24 XA IO 00.9530 09/10/2047 0.09%
JPMCC 2013-C16 XA IO 01.2257 12/15/2046 0.09%
LIBERTY MUTUAL GROUP P/P 144A 05.2456 03/15/2037 0.09%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 0.09%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.09%
WFRBS 2012-C7 D P/P 144A 04.9788 06/15/2045 0.09%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.08%
APPLE INC 03.4500 05/06/2024 0.08%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.08%
AUTONATION INC. 05.5000 02/01/2020 0.08%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.08%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.08%
CARR 2006-NC2 A4 02.3311 06/25/2036 0.08%
CCMFC 2004-3A A2 02.3911 08/25/2035 0.08%
CIT GROUP INC. 05.2500 03/07/2025 0.08%
COMM 2012-CR1 XA IO 02.0504 05/15/2045 0.08%
COX COMM INC P/P 144A 03.5000 08/15/2027 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 04.6268 02/15/2041 0.08%
FHR 4132 IP IO 04.5000 11/15/2042 0.08%
FHR 4182 GI IO 03.0000 01/15/2043 0.08%
FNR 2005-106 JC 13.6399 12/25/2035 0.08%
FNR 2006-62 PS 27.3532 07/25/2036 0.08%
FNR 2011-4 CS 08.7177 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 2009-121 BI IO 04.5000 12/16/2039 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 01.4837 03/20/2064 0.08%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.08%
GNR 2015-77 DI IO 03.5000 05/20/2045 0.08%
GNR 2015-H09 BI IO 01.6891 03/20/2065 0.08%
GNR 2015-H15 JI IO 01.9426 06/20/2065 0.08%
GNR 2015-H16 XI IO 01.7617 07/20/2065 0.08%
GNR 2016-H24 JI IO 01.7220 11/20/2066 0.08%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.08%
GSMS 2011-GC5 XA IO P/P 144A 01.5158 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 E P/P 144A 03.5000 08/15/2047 0.08%
MSBAM 2014-C17 XA IO 01.3553 08/15/2047 0.08%
NEWELL BRANDS INC 04.2000 04/01/2026 0.08%
ONCOR ELECTRIC DELIVERY CO 07.0000 09/01/2022 0.08%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.08%
RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 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%
SWPTN 1MX10Y R 2.965 USD 07/13/2018 GS 0.08%
SWPTN 3MX10Y R 2.89 USD 09/21/2018 MS 0.08%
SWPTN 5WX10Y R 2.9125 USD 07/23/2018 MS 0.08%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.08%
WEYERHAEUSER CO 07.3750 03/15/2032 0.08%
WFRBS 2011-C5 XA IO P/P 144A 01.9103 11/15/2044 0.08%
WP CAREY INC 04.6000 04/01/2024 0.08%
CAS 2014-C02 1M2 04.6911 05/25/2024 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 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%
ENBRIDGE INC USD 04.2500 12/01/2026 0.07%
ENERGY TRANSFER PARTNERS 06.1250 12/15/2045 0.07%
FHR 2990 LB 11.6466 06/15/2034 0.07%
FNMA FN30 AT0942 03.0000 04/01/2043 0.07%
FNR 2007-53 SP 16.5325 06/25/2037 0.07%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.07%
GNR 2015-H01 CI IO 01.6311 12/20/2064 0.07%
GNR 2015-H10 CI IO 01.8025 04/20/2065 0.07%
GNR 2015-H17 CI IO 01.6056 06/20/2065 0.07%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.07%
JPMBB 2014-C25 XA IO 01.1033 11/15/2047 0.07%
JPMCC 2011-C3 E P/P 144A 05.8653 02/15/2046 0.07%
MSRR 2015-R4 CB1 02.7853 08/26/2047 0.07%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
WAMU 2005-AR1 A2B 02.8911 01/25/2045 0.07%
ABBVIE INC 03.6000 05/14/2025 0.06%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.06%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.06%
AMAZON.COM INC 04.0500 08/22/2047 0.06%
AMGEN INC 02.6000 08/19/2026 0.06%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.06%
CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 0.06%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.06%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.06%
COMM 2014-UBS6 C 04.6125 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 2005-75 GS 13.9766 08/25/2035 0.06%
FNR 2010-35 SG IO 04.3089 04/25/2040 0.06%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.06%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.06%
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 2013-3 IT IO 05.0000 01/20/2043 0.06%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.06%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.06%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.06%
GNR 2015-H20 AI IO 01.8211 08/20/2065 0.06%
GSMS 2012-GC6 D P/P 144A 05.8403 01/10/2045 0.06%
HCA INC 05.5000 06/15/2047 0.06%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.06%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.06%
MERCK & CO INC 03.7000 02/10/2045 0.06%
PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 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 6MX2Y P 2.8225 USD 10/03/2018 MS 0.06%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.06%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.06%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 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%
VERIZON COMM 04.5220 09/15/2048 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 2016-C06 1M2 06.3411 04/25/2029 0.05%
CAS 2017-C06 2M2 04.8911 02/25/2030 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 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 2013-55 KI IO 03.0000 04/25/2043 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 2013-18 GI IO 03.5000 05/20/2041 0.05%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 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 04.5177 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 02.2706 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%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.05%
SWPTN 1YX30Y P 3.031 USD 06/14/2019 CI 0.05%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.05%
SWPTN 5WX10Y R 2.89 USD 07/25/2018 BC 0.05%
SWPTN 5WX10Y R 2.945 USD 07/09/2018 CI 0.05%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.05%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 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%
WFMBS 2005-AR16 6A4 04.0974 10/25/2035 0.05%
3.00 R ISWP FWD US0003M P 09/19/2048 0.04%
ANADARKO PETROLEUM CORP 07.2000 03/15/2029 0.04%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.04%
BANK OF AMERICA CORP 03.1006 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%
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%
GLAXOSMITHKLINE CAP INC 03.8750 05/15/2028 0.04%
GNMA GII30 AY4779 04.5070 03/20/2067 0.04%
GNMA GII30 BA7681 04.6290 06/20/2067 0.04%
GNMA GII30 BD3297 03.5000 11/20/2047 0.04%
GNMA GII30 BG4861 04.5000 05/20/2048 0.04%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.04%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.04%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.04%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
HCA INC 05.0000 03/15/2024 0.04%
HCA INC 05.2500 06/15/2026 0.04%
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%
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%
SL GREEN REALTY CORP 05.0000 08/15/2018 0.04%
SPST 2017-LD1 A 02.8911 11/25/2050 0.04%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.04%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.04%
SWPTN 3MX2Y R 3.056 USD 09/12/2018 CS 0.04%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
SWPTN LIABILITY 2YX30Y P 2.43 USD 11/13/2019 MS 0.04%
SWPTN LIABILITY 2YX30Y R 2.826 USD 11/08/2019 JP 0.04%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.04%
WARNER MEDIA LLC 03.8000 02/15/2027 0.04%
WBCMT 2006-C26 AJ 06.2295 06/15/2045 0.04%
WFRBS 2011-C4 E P/P 144A 05.3988 06/15/2044 0.04%
2.79375 R ISWP US0003M P 06/07/2020 0.03%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.03%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.03%
CITIGROUP INC 04.7500 05/18/2046 0.03%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 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%
COMM 2014-CR16 XA IO 01.3138 04/10/2047 0.03%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.03%
CVS HEALTH CORP 04.7500 12/01/2022 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 2012-48 KI IO 03.5000 12/16/2039 0.03%
GNR 2013-129 SN IO 04.0663 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 01.6110 08/20/2065 0.03%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.03%
KINDER MORGAN ENER PART 05.4000 09/01/2044 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%
NORTHROP GRUMMAN SYSTEMS 07.8750 03/01/2026 0.03%
PACIFICORP 06.2500 10/15/2037 0.03%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.03%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.03%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.03%
SWPTN 3MX10Y R 2.8475 USD 08/15/2018 CS 0.03%
SWPTN 3MX1Y R 3.04375 USD 09/11/2018 GS 0.03%
SWPTN 3MX2Y R 2.895 USD 09/12/2018 CS 0.03%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.03%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.03%
SWPTN 6MX2Y P 2.68 USD 07/16/2018 JP 0.03%
SWPTN 6MX2Y P 2.92875 USD 11/29/2018 MS 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
SWPTN LIABILITY 2YX20Y P 2.584 USD 11/08/2019 GS 0.03%
SWPTN LIABILITY 2YX20Y R 2.584 USD 11/08/2019 GS 0.03%
SWPTN LIABILITY 2YX30Y P 2.615 USD 11/12/2019 CI 0.03%
SWPTN LIABILITY 2YX30Y R 2.615 USD 11/12/2019 CI 0.03%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.03%
VERIZON COMMUNICATIONS 04.4000 11/01/2034 0.03%
WARNER MEDIA LLC 02.9500 07/15/2026 0.03%
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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%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02%
COMCAST CORP 06.5000 11/15/2035 0.02%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.02%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.02%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.02%
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DUKE REALTY LP 03.8750 02/15/2021 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 16.8181 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 2005-83 QP 11.9571 11/25/2034 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 2011-116 IA IO 04.5000 10/20/2039 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%
HOST HOTELS & RESORTS LP 05.2500 03/15/2022 0.02%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.02%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.02%
LBUBS 2006-C6 B 05.4720 09/15/2039 0.02%
LBUBS 2006-C6 C 05.4820 09/15/2039 0.02%
NUTRIEN LTD USD 05.2500 01/15/2045 0.02%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.02%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.02%
REALTY INCOME CORP 04.6500 08/01/2023 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 14WX10Y R 2.745 USD 08/28/2018 MS 0.02%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 3MX10Y R 2.884 USD 07/17/2018 CI 0.02%
SWPTN 3MX1Y P 3.005 USD 09/04/2018 GS 0.02%
SWPTN 3MX1Y P 3.04375 USD 09/11/2018 GS 0.02%
SWPTN 3MX1Y R 2.73375 USD 09/11/2018 GS 0.02%
SWPTN 3MX1Y R 3.005 USD 09/04/2018 GS 0.02%
SWPTN 3MX2Y P 2.895 USD 09/12/2018 CS 0.02%
SWPTN 3MX2Y P 2.895 USD 09/12/2018 JP 0.02%
SWPTN 3MX2Y P 3.056 USD 09/12/2018 CS 0.02%
SWPTN 5WX10Y R 2.85 USD 07/25/2018 CS 0.02%
SWPTN 6WX10Y R 2.826 USD 08/03/2018 CI 0.02%
SWPTN 6WX10Y R 2.865 USD 07/30/2018 JP 0.02%
SWPTN LIABILITY 2YX20Y P 2.875 USD 11/18/2019 GS 0.02%
SWPTN LIABILITY 2YX30Y P 2.826 USD 11/08/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.43 USD 11/13/2019 MS 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 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 ML 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 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%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
GECMC 2007-C1 XC IO P/P 144A 00.2381 12/10/2049 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 GS 0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 JP 0.01%
IOS.GII30.500.10 P USL1M R 01/12/41 JP 0.01%
JPMCC 2007-LDPX X IO 00.3316 01/15/2049 0.01%
KRAFT HEINZ FOODS CO 06.8750 01/26/2039 0.01%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.01%
MLCFC 2006-4 XC IO P/P 144A 00.7100 12/12/2049 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.5234375 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.6796875 JPMC 0.01%
OPTN FN30 3.5 09/06/18 PUT 98.8359375 JPMC 0.01%
SWPTN 14WX10Y P 3.255 USD 09/04/2018 BC 0.01%
SWPTN 14WX10Y R 2.655 USD 09/04/2018 BC 0.01%
SWPTN 14WX2Y R 2.8 USD 07/25/2018 CS 0.01%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.01%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.01%
SWPTN 2YX5Y P 2.34 USD 11/12/2019 CI 0.01%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 0.01%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.01%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.01%
SWPTN 3MX1Y P 2.7 USD 09/04/2018 GS 0.01%
SWPTN 3MX1Y P 2.73375 USD 09/11/2018 GS 0.01%
SWPTN 3MX1Y R 2.7 USD 09/04/2018 GS 0.01%
SWPTN 3MX2Y R 2.78 USD 07/18/2018 MS 0.01%
SWPTN 6WX10Y P 3.115 USD 07/30/2018 JP 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
2.90 R ISWP FWD US0003M P 09/19/2023 0.00%
2.9035 R ISWP US0003M P 06/27/2023 0.00%
2.91024 R ISWP US0003M P 07/02/2028 0.00%
2.92287 R ISWP US0003M P 07/03/2028 0.00%
2.92594 R ISWP US0003M P 07/03/2028 0.00%
2.9398 R ISWP US0003M P 06/28/2028 0.00%
2.98 R ISWP FWD US0003M P 07/27/2028 0.00%
BACM 2004-4 XC IO P/P 144A 00.0521 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4365 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 00.4118 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 00.5135 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.7837 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 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 JP 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 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.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 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 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 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-.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 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 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.00%
COMM 2006-C8 XS IO P/P 144A 00.4449 12/10/2046 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.1013 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 01.5779 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 00.9823 05/10/2043 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
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.FN30.600.08 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 00.4065 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 00.2865 05/15/2045 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.5244 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.3470 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.3470 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 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 07.1367 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 06.6414 07/15/2045 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 01.0807 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0016 06/12/2043 0.00%
OPTN FN30 3.5 07/05/18 PUT 97.875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.03125 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.1875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.234375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.390625 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.546875 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.59375 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.75 JPMC 0.00%
OPTN FN30 3.5 07/05/18 PUT 98.90625 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.3828125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.5390625 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.6953125 JPMC 0.00%
OPTN FN30 3.5 09/06/18 PUT 97.953125 JPMC 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 0.00%
SWPTN 1MX10Y P 2.9425 USD 07/02/2018 BC 0.00%
SWPTN 1MX10Y P 2.9525 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y P 3.0625 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y P 3.135 USD 07/13/2018 GS 0.00%
SWPTN 1MX10Y R 2.8425 USD 07/02/2018 MS 0.00%
SWPTN 1MX10Y R 2.9425 USD 07/02/2018 BC 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 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 2YX10Y R 2.2525 USD 11/12/2019 JP 0.00%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.00%
SWPTN 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
SWPTN 2YX5Y R 2.553 USD 11/08/2019 JP 0.00%
SWPTN 3MX10Y P 3.3575 USD 08/15/2018 CS 0.00%
SWPTN 3MX10Y R 2.739 USD 07/17/2018 CI 0.00%
SWPTN 3MX10Y R 2.8525 USD 07/18/2018 MS 0.00%
SWPTN 5WX10Y P 3.03 USD 07/09/2018 CI 0.00%
SWPTN 5WX10Y P 3.115 USD 07/09/2018 CI 0.00%
SWPTN 6MX1Y R 2.47 USD 08/14/2018 CI 0.00%
SWPTN 6MX1Y R 2.6325 USD 08/14/2018 CI 0.00%
SWPTN LIABILITY 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
US 10YR NOTE (CBT)SEP18 TYU8 0.00%
US 10YR ULTRA FUT SEP18 UXYU8 0.00%
US 2YR NOTE (CBT) SEP18 TUU8 0.00%
US 5YR NOTE (CBT) SEP18 FVU8 0.00%
US LONG BOND(CBT) SEP18 USU8 0.00%
US ULTRA BOND CBT SEP18 WNU8 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
WBCMT 2006-C26 XC IO P/P 144A 00.0506 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.3769 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.1699 05/15/2046 0.00%
2.875 R ISWP FWD US0003M P 09/19/2020 -0.01%
2.90375 R ISWP US0003M P 06/07/2020 -0.01%
2.95 R ISWP FWD US0003M P 09/19/2028 -0.01%
2.9715 R ISWP US0003M P 06/26/2028 -0.01%
2.975 R ISWP FWD US0003M P 07/27/2028 -0.01%
2.976 R ISWP FWD US0003M P 08/07/2028 -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 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 ML -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 GS -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%
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 3.5 09/06/18 PUT 98.109375 JPMC -0.01%
OPTN FN30 3.5 09/06/18 PUT 98.265625 JPMC -0.01%
SWPTN 14WX10Y P 3.255 USD 08/28/2018 MS -0.01%
SWPTN 14WX10Y R 2.915 USD 07/25/2018 CS -0.01%
SWPTN 1MX10Y P 3.05 USD 07/13/2018 GS -0.01%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.01%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.01%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.01%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.01%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.01%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.01%
SWPTN 3MX10Y P 3.029 USD 07/17/2018 CI -0.01%
SWPTN 3MX10Y P 3.24 USD 09/21/2018 MS -0.01%
SWPTN 3MX2Y P 2.975 USD 09/12/2018 JP -0.01%
SWPTN 3MX2Y P 3.055 USD 09/12/2018 JP -0.01%
SWPTN 5WX10Y P 3.1 USD 07/25/2018 CS -0.01%
SWPTN 5WX10Y P 3.1225 USD 07/23/2018 MS -0.01%
SWPTN 6WX10Y P 3.126 USD 08/03/2018 CI -0.01%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.01%
SWPTN LIABILITY 2YX10Y R 2.2525 USD 11/12/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
2.899 R ISWP US0003M P 07/03/2028 -0.02%
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 GS -0.02%
CPURNSA P 2.05 R 07/05/27 -0.02%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.02%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.02%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.02%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.02%
SWPTN LIABILITY 2YX10Y P 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y R 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.03%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.03%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.03%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.03%
SWPTN 3MX2Y P 2.75 USD 08/29/2018 MS -0.03%
SWPTN 3MX2Y P 2.85 USD 09/04/2018 GS -0.03%
SWPTN 3MX2Y P 2.8875 USD 09/11/2018 GS -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 2YX10Y R 2.7725 USD 11/18/2019 GS -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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.04%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.04%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.04%
SWPTN 3MX10Y P 3.02 USD 07/27/2018 MS -0.04%
SWPTN 3MX2Y R 2.85 USD 09/04/2018 GS -0.04%
SWPTN 3MX2Y R 2.8875 USD 09/11/2018 GS -0.04%
SWPTN 3MX4Y P 2.973 USD 09/12/2018 CS -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 2YX10Y P 2.2525 USD 11/12/2019 JP -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 1YX2Y P 2.813 USD 01/28/2019 BC -0.05%
SWPTN 1YX5Y P 3.09 USD 06/14/2019 CI -0.05%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.05%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.05%
SWPTN 5WX10Y R 2.98 USD 07/25/2018 BC -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.05%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.05%
SWPTN 3MX10Y R 2.99 USD 09/21/2018 MS -0.06%
SWPTN 3MX2Y P 2.655 USD 07/03/2018 MS -0.06%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.06%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.07%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.07%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.07%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.07%
SWPTN 3MX4Y R 2.973 USD 09/12/2018 CS -0.07%
SWPTN 5WX10Y R 2.9725 USD 07/23/2018 MS -0.07%
SWPTN 5WX10Y R 3.03 USD 07/09/2018 CI -0.07%
SWPTN 1MX10Y R 3.05 USD 07/13/2018 GS -0.08%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.08%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.08%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -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 2YX28Y P 2.7175 USD 01/24/2019 BA -0.10%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.11%
SWPTN 7YX23Y R 3.0 USD 04/04/2025 MS -0.13%
SWPTN 7YX23Y R 3.0 USD 04/14/2025 MS -0.13%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.15%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.15%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.15%
SWPTN 3MX10Y R 3.02 USD 07/27/2018 MS -0.15%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.16%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.17%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.17%
SWPTN 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%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.28%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.29%
CDX CDX.NA.HY.30 500.0 06/20/2023 -0.35%
FHLMC FH30G TBA 03.0000 07/01/2048 -0.40%
FHLMC FH30G TBA 03.5000 07/01/2048 -0.41%

Prior top 10 holdings

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
Top 10 holdings as of 06/30/18
1: Fnma Fn30 Tba 03.5000 08/01/2048 4.92%
2: Fnma Fn30 Tba 03.0000 08/01/2048 3.59%
3: Gnma Gii30 Tba 04.0000 07/01/2048 2.54%
4: Gnma Gii30 Tba 04.5000 07/01/2048 2.14%
5: Gnma Gii30 Tba 03.5000 08/01/2048 2.07%
6: Fnma Fn30 Tba 02.5000 07/01/2048 1.55%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.12%
8: Bf0101 03.5000 06/01/2056 1.07%
9: Cas 2016-C03 1m2 07.3911 10/25/2028 1.07%
10: Wamu 2005-Ar13 A1c4 02.5211 10/25/2045 1.00%
Holdings represent 21.07% of portfolio

Sector Weightings as of 09/30/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Investment-grade corporate bonds 28.55% 2.37 0.00% 0.00 28.55% 2.37
Commercial MBS 14.13% 0.45 13.54% 0.44 27.67% 0.89
Agency pass-through 16.00% 0.98 11.48% 0.66 27.48% 1.64
Agency CMO 17.95% 0.63 0.51% 0.02 18.46% 0.65
Net cash 11.27% 0.00 0.00% 0.00 11.27% 0.00
Residential MBS (non-agency) 8.68% 0.40 0.00% 0.00 8.68% 0.40
Asset-backed securities (ABS) 1.55% 0.01 0.00% 0.00 1.55% 0.01
Interest rate swaps 0.00% 0.00 0.00% -0.56 0.00% -0.56
U.S. Treasury/agency 0.00% 0.00 0.00% 1.71 0.00% 1.71
High-yield corporate bonds 1.87% 0.10 -5.34% -0.25 -3.47% -0.15

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 09/30/18

United States 93.87%
United Kingdom 1.25%
Bermuda 1.22%
Canada 1.03%
France 0.69%
Spain 0.59%
Netherlands 0.43%
Switzerland 0.30%
Japan 0.26%
 
Other		 0.36%
Ireland 0.19%
Germany 0.08%
Luxembourg 0.07%
Norway 0.02%