Putnam Capital Manager

Putnam Income Subaccount

The subaccount 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 09/30/19

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/75
1 yr. 6% 6/113
3 yrs. 2% 2/102
5 yrs. 28% 26/95

Risk characteristics as of 09/30/19

Avg. Eff. Maturity 7.95
Avg. Eff. Duration 5.16
Avg. Coupon 4.69
Avg. Yield to Maturity 3.68
Alpha (%) --
Beta 0.95
R squared 0.84
Standard deviation (3 yrs.) 3.43

Maturity details

0 to 1 yr. -7.95%
1 to 5 yrs. 51.57%
5 to 10 yrs. 48.91%
10 to 15 yrs. 1.02%
Over 15 yrs. 6.45%

Quality ratings

AAA 63.30%
AA 5.87%
A 12.07%
BBB 21.90%
BB 3.38%
B 3.00%
CCC and Below 1.00%
Not Rated -10.52%

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 09/30/19

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 1075
Turnover (fiscal year end) 566%
Net Assets $254M
Inception Date 02/01/88

Holdings

Top 10 holdings as of 09/30/19

Fnma Fn30 Tba Umbs 03.0000 10/01/2049 13.99%
Fnma Fn30 Tba Umbs 03.5000 10/01/2049 6.06%
Fnma Fn30 Tba Umbs 04.0000 10/01/2049 4.49%
Gnma Gii30 Tba 04.5000 10/01/2049 2.06%
Gnma Gii30 Tba 03.5000 10/01/2049 2.04%
Gnma Gii30 Tba 04.0000 10/01/2049 1.64%
Bf0101 03.5000 06/01/2056 0.94%
Fnma Fn30 Tba Umbs 06.0000 10/01/2049 0.87%
Fnma Fn30 Tba Umbs 05.5000 10/01/2049 0.85%
Wamu 2005-Ar13 A1c4 02.4484 10/25/2045 0.74%
Top 10 holdings, total: 33.68%

 
Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 09/30/19
90DAY EURO$ FUTR MAR20 EDH0 25.45%
FNMA FN30 TBA UMBS 03.0000 10/01/2049 13.99%
US 2YR NOTE (CBT) DEC19 TUZ9 10.44%
FNMA FN30 TBA UMBS 03.5000 10/01/2049 6.06%
US 5YR NOTE (CBT) DEC19 FVZ9 5.72%
US ULTRA BOND CBT DEC19 WNZ9 4.99%
FNMA FN30 TBA UMBS 04.0000 10/01/2049 4.49%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 2.88%
US LONG BOND(CBT) DEC19 USZ9 2.24%
GNMA GII30 TBA 04.5000 10/01/2049 2.06%
GNMA GII30 TBA 03.5000 10/01/2049 2.04%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 1.70%
GNMA GII30 TBA 04.0000 10/01/2049 1.64%
US 10YR ULTRA FUT DEC19 UXYZ9 1.57%
US 10YR NOTE (CBT)DEC19 TYZ9 1.49%
SWPTN 1YX10Y R 2.7475 USD 02/13/2020 GS 1.30%
SWPTN 7YX30Y R 2.8025 USD 04/24/2026 MS 1.09%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 1.05%
BF0101 03.5000 06/01/2056 0.94%
FNMA FN30 TBA UMBS 06.0000 10/01/2049 0.87%
FNMA FN30 TBA UMBS 05.5000 10/01/2049 0.85%
WAMU 2005-AR13 A1C4 02.4484 10/25/2045 0.74%
TREASURY BILL 00.0000 10/10/2019 0.72%
FNMA FN40 BF0219 UMBS 03.5000 09/01/2057 0.69%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.67%
FHS 315 PO PO 00.0000 09/15/2043 0.64%
BMIR 2017-1 M2 P/P 144A 05.3684 10/25/2027 0.62%
CAS 2016-C03 1M2 07.3184 10/25/2028 0.62%
FNMA FN30 AS7363 UMBS 03.0000 06/01/2046 0.61%
TREASURY BILL 00.0000 03/12/2020 0.60%
VERIZON COMM 04.3290 09/21/2028 0.58%
CAS 2016-C03 2M2 07.9184 10/25/2028 0.57%
STACR 2015-DN1 M3 06.1684 01/25/2025 0.55%
FHLMC FR30 ZM1946 UMBS 03.5000 10/01/2046 0.55%
STACR 2016-HQA1 M3 08.3684 09/25/2028 0.53%
STACR 2015-DNA3 M2 04.8684 04/25/2028 0.51%
BRISTOL-MYERS P/P 144A 03.4000 07/26/2029 0.49%
GNMA GII30 MA5194 05.0000 05/20/2048 0.46%
FNMA FN30 AL8994 UMBS 04.0000 09/01/2045 0.46%
CITIGROUP INC 04.4500 09/29/2027 0.45%
BCAP 2015-RR5 2A2 03.5518 01/26/2046 0.45%
FHLMC FR30 ZS9547 UMBS 04.0000 09/01/2045 0.44%
WFRBS 2012-C10 D P/P 144A 04.5851 12/15/2045 0.43%
3.073 R ISWP FWD US0003M P 03/04/2029 0.43%
GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 0.43%
WAMU 2005-AR17 A1B2 02.4284 12/25/2045 0.42%
FNMA FN30 TBA UMBS 04.5000 10/01/2049 0.42%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.41%
GNMA GII30 BG6074 04.0000 04/20/2048 0.41%
GNMA GII30 TBA 03.0000 10/01/2049 0.40%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.40%
SPST 2019-7 A 02.7365 09/24/2020 0.38%
AT&T INC 04.3500 03/01/2029 0.38%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.38%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.37%
SPST 2019-3 A 02.7365 06/24/2020 0.37%
CAS 2016-C02 1M2 08.0184 09/25/2028 0.37%
FNR 2016-8 SA IO 04.0316 03/25/2046 0.37%
GNMA GII30 635173 03.5000 02/20/2047 0.36%
CAS 2017-C01 1M2 05.5684 07/25/2029 0.36%
FNR 2019-3 SA IO 04.0816 02/25/2049 0.35%
MORGAN STANLEY 04.3750 01/22/2047 0.35%
FHLMC FR30 ZM2832 UMBS 03.5000 02/01/2047 0.35%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.34%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.34%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.34%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.34%
STACR 2019-DNA2 M2 04.4684 03/25/2049 0.34%
COMM 2014-CR17 C 04.9480 05/10/2047 0.33%
TREASURY BILL 00.0000 11/14/2019 0.33%
FNMA FN30 BM1172 UMBS 03.0000 03/01/2047 0.33%
MSBAM 2013-C10 E P/P 144A 04.2179 07/15/2046 0.32%
FNMA FN30 BC1489 UMBS 03.0000 08/01/2046 0.32%
GNMA GII30 MA5266 05.0000 06/20/2048 0.32%
SALESFORCE.COM INC 03.7000 04/11/2028 0.31%
FHLMC FR30 ZM1233 UMBS 03.0000 06/01/2046 0.31%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.31%
GNR 2016-H23 NI IO 02.2585 10/20/2066 0.31%
FNMA FN30 BC1445 UMBS 03.0000 07/01/2046 0.30%
STACR 2016-DNA3 M3 07.0184 12/25/2028 0.30%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.30%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.30%
FHR 3835 FO PO 00.0000 04/15/2041 0.30%
SWPTN BERM 5YX25Y R 2.75 USD 05/26/2048 MS 0.29%
WFRBS 2013-C15 D P/P 144A 04.6242 08/15/2046 0.29%
UBSBB 2012-C2 E P/P 144A 05.0476 05/10/2063 0.29%
CIT GROUP INC. 05.2500 03/07/2025 0.28%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.28%
JPMBB 2013-C14 D P/P 144A 04.8586 08/15/2046 0.28%
MICROSOFT CORP 03.7000 08/08/2046 0.28%
LHOME 2019-RTL2 A1 03.8440 03/25/2024 0.26%
3.312 R ISWP US0003M P 11/08/2048 0.26%
ORACLE CORP 02.6500 07/15/2026 0.26%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.26%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.25%
STACR 2016-HQA2 M3 07.1684 11/25/2028 0.25%
BANK OF AMERICA CORP 05.1250 06/17/2049 0.24%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.24%
CFCRE 2011-C2 E P/P 144A 05.9394 12/15/2047 0.24%
JPMCC 2011-C3 F P/P 144A 05.8526 02/15/2046 0.24%
BP CAP MARKETS AMERICA 03.9370 09/21/2028 0.23%
GNR 2016-H02 HI IO 01.9929 01/20/2066 0.23%
CAS 2018-C04 2M2 04.5684 12/25/2030 0.23%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.23%
WESTPAC BANKING CORP USD 04.4210 07/24/2039 0.23%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.23%
FNMA FN30 BC0960 UMBS 04.0000 06/01/2046 0.23%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.23%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.22%
GNR 2019-83 SW IO 04.0558 07/20/2049 0.22%
EMIR 2018-1 M1 03.7184 11/25/2028 0.22%
FHLMC FR30 ZA4291 UMBS 03.5000 08/01/2043 0.22%
FNMA FN30 BD0959 UMBS 03.5000 06/01/2046 0.22%
JPMCC 2012-C6 E P/P 144A 05.3187 05/15/2045 0.22%
FNMA FN30 AY8222 UMBS 04.5000 05/01/2045 0.22%
MICROSOFT CORP 02.4000 08/08/2026 0.22%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.22%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 0.22%
BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 0.22%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.22%
WFRBS 2014-C22 XA IO 00.9623 09/15/2057 0.22%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.22%
FNR 2017-108 SA IO 04.1316 01/25/2048 0.21%
GNR 2019-83 JS IO 04.0558 07/20/2049 0.21%
GNR 2019-H02 DI IO 02.3613 11/20/2068 0.21%
GNR 2012-149 GS IO 04.1558 12/20/2042 0.21%
HSBC HOLDINGS PLC USD 06.3750 12/29/2049 0.21%
NRG ENERGY INC P/P 144A 04.4500 06/15/2029 0.21%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.21%
GSMS 2014-GC22 XA IO 01.1432 06/10/2047 0.20%
FNR 2018-94 SA IO 04.0816 01/25/2049 0.20%
GSMS 2010-C1 D P/P 144A 06.1973 08/10/2043 0.20%
STACR 2019-DNA1 M2 04.6684 01/25/2049 0.20%
FISERV INC 04.2000 10/01/2028 0.20%
ANHEUSER-BUSCH INBEV WOR 05.5500 01/23/2049 0.20%
GNMA GII30 BD1731 03.5000 01/20/2048 0.20%
GNMA GII30 BE1441 03.5000 11/20/2047 0.20%
AT&T INC 04.1000 02/15/2028 0.20%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.20%
TREASURY BILL 00.0000 11/21/2019 0.20%
SWPTN 7YX30Y P 2.8025 USD 04/24/2026 MS 0.20%
FNMA FN30 AX7296 UMBS 04.5000 12/01/2044 0.19%
CSAIL 2015-C1 D P/P 144A 03.9167 04/15/2050 0.19%
BB&T CORPORATION 04.8000 12/31/2099 0.19%
FISERV INC 03.5000 07/01/2029 0.19%
GSMS 2014-GC24 D P/P 144A 04.6665 09/10/2047 0.19%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.19%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.19%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.19%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.19%
FHLMC FR30 ZA4202 UMBS 03.0000 03/01/2043 0.19%
GNR 2014-180 IO IO 05.0000 12/20/2044 0.19%
CBS CORP 04.2000 06/01/2029 0.19%
EOG RESOURCES INC 04.1500 01/15/2026 0.18%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.18%
US BANCORP 03.0000 07/30/2029 0.18%
WASTE CONNECTIONS INC 03.5000 05/01/2029 0.18%
SPST 2018-8 A 02.7365 02/24/2020 0.18%
DIGITAL REALTY TRUST LP 04.4500 07/15/2028 0.18%
AMERICAN ELECTRIC POWER 04.3000 12/01/2028 0.18%
COMM 2014-CR19 D P/P 144A 04.9056 08/10/2047 0.18%
FNMA FN30 BD0189 UMBS 03.5000 06/01/2046 0.18%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.18%
INTERPUBLIC GROUP COS 04.6500 10/01/2028 0.18%
BMIR 2018-2A M1B P/P 144A 03.3684 08/25/2028 0.18%
FNR 2016-91 AS IO 04.0816 12/25/2046 0.18%
UNITEDHEALTH GROUP INC 03.8500 06/15/2028 0.18%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.17%
STACR 2014-DN4 M3 06.5684 10/25/2024 0.17%
STACR 2019-DNA1 B1 06.6684 01/25/2049 0.17%
ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 0.17%
BANCO SANTANDER SA USD 04.3790 04/12/2028 0.17%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.17%
CGCMT 2014-GC19 X IO 01.3249 03/10/2047 0.17%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.17%
NUTRIEN LTD. USD 04.2000 04/01/2029 0.17%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.17%
JPMCC 2012-C8 D P/P 144A 04.8070 10/15/2045 0.17%
APPLE INC 04.3750 05/13/2045 0.17%
DUKE ENERGY OHIO INC 03.6500 02/01/2029 0.17%
GNR 2017-H08 NI IO 02.2255 03/20/2067 0.17%
STACR 2017-HQA1 M2 05.5684 08/25/2029 0.17%
GNR 2014-H07 BI IO 01.4834 05/20/2064 0.16%
HCA INC 04.1250 06/15/2029 0.16%
UNITED TECHNOLOGIES CORP 04.1250 11/16/2028 0.16%
FHR 4738 QS IO 04.1725 12/15/2047 0.16%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.16%
SWPTN 1YX10Y R 2.027 USD 07/17/2020 BA 0.16%
GNMA GII30 BF6125 04.0000 02/20/2048 0.16%
GNR 2018-155 SE IO 04.0558 11/20/2048 0.16%
GNR 2014-H11 GI IO 01.4920 06/20/2064 0.16%
CVS HEALTH CORP 04.7800 03/25/2038 0.16%
FIDELITY NATL INFO SERV 03.7500 05/21/2029 0.16%
VODAFONE GROUP PLC USD 04.3750 05/30/2028 0.16%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.16%
DBUBS 2011-LC3A D P/P 144A 05.5118 08/10/2044 0.16%
GNMA GII30 BD1729 03.5000 01/20/2048 0.16%
GNR 2017-H14 EI IO 01.5736 06/20/2067 0.16%
WFRBS 2013-C14 XA IO 00.8668 06/15/2046 0.16%
BP CAP MARKETS AMERICA 03.1190 05/04/2026 0.16%
CAS 2018-C05 1M2 04.3684 01/25/2031 0.16%
COMCAST CORP 03.1500 03/01/2026 0.16%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.16%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.16%
JPMBB 2013-C14 E P/P 144A 04.8586 08/15/2046 0.16%
EQUINIX INC 05.3750 05/15/2027 0.15%
GSMS 2014-GC18 C 05.1566 01/10/2047 0.15%
BACM 2005-1 B 05.6871 11/10/2042 0.15%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.15%
CIT BANK NA 02.9690 09/27/2025 0.15%
JPMBB 2014-C22 XA IO 01.0047 09/15/2047 0.15%
WEC ENERGY GROUP INC 04.2706 05/15/2067 0.15%
GSMS 2013-GC13 XA IO 00.1133 07/10/2046 0.15%
NORTHROP GRUMMAN CORP 03.2500 01/15/2028 0.15%
SCRT 2019-3 M 04.7500 10/25/2058 0.15%
FHLMC FR30 ZL8404 UMBS 04.5000 08/01/2044 0.15%
GNR 2017-H12 QI IO 02.3523 05/20/2067 0.15%
KEURIG DR PEPPER INC 04.5970 05/25/2028 0.15%
UBSCM 2012-C1 C P/P 144A 05.7278 05/10/2045 0.15%
AT&T INC 04.7500 05/15/2046 0.15%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.15%
FNR 2015-33 AI IO 05.0000 06/25/2045 0.15%
GNR 2015-H13 AI IO 02.0343 06/20/2065 0.15%
WALT DISNEY COMPANY P/P 144A 07.7500 12/01/2045 0.15%
COMCAST CORP 03.4000 07/15/2046 0.14%
TREASURY BILL 00.0000 11/07/2019 0.14%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.14%
OSHKOSH CORP 04.6000 05/15/2028 0.14%
ZOETIS INC 03.9000 08/20/2028 0.14%
AT&T INC. 03.8000 02/15/2027 0.14%
STACR 2018-DNA1 M2 03.8184 07/25/2030 0.14%
2.806 R ISWP FWD US0003M P 03/05/2030 0.14%
CAS 2015-C03 2M2 07.0184 07/25/2025 0.14%
GNR 2017-H10 MI IO 01.8534 04/20/2067 0.14%
UBSCM 2017-C7 XA IO 01.2142 12/15/2050 0.14%
WFCM 2014-LC16 XA IO 01.2745 08/15/2050 0.14%
UBSC 2011-C1 D P/P 144A 06.2522 01/10/2045 0.14%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.14%
MARSH & MCLENNAN COS INC 04.3750 03/15/2029 0.14%
SWPTN 3YX30Y R 2.2775 USD 07/18/2022 WE 0.14%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.14%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.14%
COMM 2014-UBS6 XA IO 01.0704 12/10/2047 0.14%
JPMBB 2013-C17 AS 04.4584 01/15/2047 0.14%
JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.14%
KKR GR FIN CO P/P 144A 03.7500 07/01/2029 0.14%
TOTAL CAPITAL INTL SA USD 02.8290 01/10/2030 0.14%
GNR 2017-H09 DI IO 01.9209 03/20/2067 0.13%
WFCM 2015-LC20 XB IO 00.6246 04/15/2050 0.13%
BPCE SA P/P 144A 04.5000 03/15/2025 0.13%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.13%
JPMCC 2007-CB20 E P/P 144A 06.3895 02/12/2051 0.13%
GNR 2019-21 SJ IO 04.0058 02/20/2049 0.13%
ARRW 2019-3 M1 04.2040 10/25/2048 0.13%
FHR 4912 PS IO 04.0316 09/25/2049 0.13%
STACR 2014-DN2 M3 05.6184 04/25/2024 0.13%
STACR 2018-DNA2 B1 05.7184 12/25/2030 0.13%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.13%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.13%
MICROCHIP TECH INC 04.3330 06/01/2023 0.13%
WILLIAMS COMPANIES INC 04.3000 03/04/2024 0.13%
CITIGROUP INC 03.6680 07/24/2028 0.12%
SAIL 2004-10 A10 02.9184 11/25/2034 0.12%
CSMC 2016-NXSR XA IO 00.9306 12/15/2049 0.12%
VISTRA OPERATION P/P 144A 04.3000 07/15/2029 0.12%
GNR 2016-H06 AI IO 02.1068 02/20/2066 0.12%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.12%
UBSBB 2012-C2 XA IO P/P 144A 01.4699 05/10/2063 0.12%
GNMA GII30 BG6110 04.0000 05/20/2048 0.12%
ANHEUSER-BUSCH INBEV WOR 04.7500 01/23/2029 0.12%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.12%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.12%
BMW US CAPITAL LLC P/P 144A 03.9500 08/14/2028 0.12%
COMM 2013-CR6 D P/P 144A 04.2175 03/10/2046 0.12%
GNR 2019-44 SA IO 04.0058 04/20/2049 0.12%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.12%
ALPHABET INC 01.9980 08/15/2026 0.12%
GNR 2011-17 S IO 04.0058 02/20/2041 0.12%
SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.12%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.12%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.12%
FNMA FN30 AW7089 UMBS 04.5000 07/01/2044 0.12%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.12%
COMM 2014-CR19 XA IO 01.1920 08/10/2047 0.12%
FHR 3852 NT 03.9725 05/15/2041 0.12%
GNMA GII30 BE1440 03.5000 11/20/2047 0.12%
GNMA GII30 OBD1715 03.5000 11/20/2047 0.12%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.12%
MSBAM 2013-C7 XA IO 01.4879 02/15/2046 0.12%
NHEL 2004-2 M4 03.8184 09/25/2034 0.11%
SWPTN 5YX10Y P 1.6125 USD 08/27/2024 UB 0.11%
SWPTN 5YX10Y P 1.613 USD 08/27/2024 MS 0.11%
WESTERN DIGITAL CORPORATION 04.7500 02/15/2026 0.11%
FHR 3065 DC 13.7775 03/15/2035 0.11%
GNR 2015-H12 EI IO 01.7203 04/20/2065 0.11%
GNMA GII30 BE1437 03.5000 11/20/2047 0.11%
GNR 2015-H12 GI IO 01.8216 05/20/2065 0.11%
STACR 2013-DN2 M2 06.2684 11/25/2023 0.11%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.11%
AMGEN INC 04.6630 06/15/2051 0.11%
GNR 2016-H14 IO IO 01.6976 06/20/2066 0.11%
INTL FLAVOR & FRAGRANCES 04.4500 09/26/2028 0.11%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.11%
CIGNA CORP 03.7500 07/15/2023 0.11%
GNMA GII30 OBD1716 03.5000 11/20/2047 0.11%
GNR 2016-H11 HI IO 02.0971 01/20/2066 0.11%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.11%
FHR 3408 EK 17.6347 04/15/2037 0.11%
STACR 2014-HQ2 M3 05.7684 09/25/2024 0.11%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.11%
COMM 2013-CR11 XA IO 01.0981 08/10/2050 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
WFRBS 2012-C10 XA IO P/P 144A 01.6986 12/15/2045 0.11%
GNR 2015-H04 AI IO 01.9634 12/20/2064 0.10%
GSMS 2013-GC10 XA IO 01.6541 02/10/2046 0.10%
VISTRA OPERATION P/P 144A 03.5500 07/15/2024 0.10%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.10%
FIDELITY NATIONAL INFORM 04.2500 05/15/2028 0.10%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.10%
STACR 2018-DNA2 M2 04.1684 12/25/2030 0.10%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.10%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
MSC 2011-C3 E P/P 144A 05.2925 07/15/2049 0.10%
NRG P/P 144A 03.7500 06/15/2024 0.10%
GNMA GII30 AY2298 04.7000 05/20/2067 0.10%
JPMCC 2016-JP2 XA IO 01.9821 08/15/2049 0.10%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.10%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.10%
JPMCC 2011-C3 D P/P 144A 05.8526 02/15/2046 0.10%
MSC 2016-UB12 XA IO 00.9219 12/15/2049 0.10%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.10%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.10%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.09%
GNR 2015-H12 AI IO 01.8775 05/20/2065 0.09%
SCRT 2019-2 M 04.7500 08/25/2058 0.09%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 0.09%
SWPTN 5YX10Y R 1.6125 USD 08/27/2024 UB 0.09%
SWPTN 5YX10Y R 1.613 USD 08/27/2024 MS 0.09%
BMIR 2017-1 M1 P/P 144A 03.7184 10/25/2027 0.09%
COMM 2014-LC15 XA IO 01.2702 04/10/2047 0.09%
FNR 2006-8 HP 17.1659 03/25/2036 0.09%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.09%
CELANESE US HOLDINGS LLC 03.5000 05/08/2024 0.09%
MSBAM 2015-C26 XA IO 01.1773 10/15/2048 0.09%
AON PLC USD 04.2500 12/12/2042 0.09%
FNMA FN30 AR3945 UMBS 03.0000 03/01/2043 0.09%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.09%
GNR 2016-H04 KI IO 01.8909 02/20/2066 0.09%
MSBAM 2013-C10 F P/P 144A 04.2179 07/15/2046 0.09%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.09%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.09%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.09%
MSBAM 2013-C12 XA IO 00.7688 10/15/2046 0.09%
MSBAM 2015-C25 XA IO 01.2538 10/15/2048 0.09%
SWPTN 3MX5Y P 1.3 USD 12/05/2019 CI 0.09%
UBSCM 2012-C1 D P/P 144A 05.7278 05/10/2045 0.09%
FNMA FN30 BD5297 UMBS 03.5000 01/01/2047 0.09%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.09%
GNR 2015-H25 AI IO 01.6297 09/20/2065 0.09%
WFRBS 2012-C7 D P/P 144A 04.9687 06/15/2045 0.09%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.09%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.09%
CD 2016-CD1 XA IO 01.5480 08/10/2049 0.09%
GLOBAL PAYMENTS INC 04.0000 06/01/2023 0.09%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.09%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.09%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.09%
LEAR CORP 03.8000 09/15/2027 0.09%
MSC 2016-BNK2 XA IO 01.2100 11/15/2049 0.09%
HMIR 2018-1 M1 P/P 144A 03.6184 10/25/2028 0.08%
WFRBS 2014-C24 XA IO 01.0025 11/15/2047 0.08%
APPLE INC 03.4500 05/06/2024 0.08%
FNR 2005-122 SE 16.0357 11/25/2035 0.08%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.08%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.08%
AXA SA P/P 144A 06.3790 12/29/2049 0.08%
SPST 2019-11 A 02.7865 10/24/2020 0.08%
CAS 2017-C01 1EB1 03.2684 07/25/2029 0.08%
FHLMC FR30 ZL8235 UMBS 04.5000 07/01/2044 0.08%
FHR 4158 TI IO 03.0000 12/15/2042 0.08%
GNR 2015-H25 CI IO 02.0573 10/20/2065 0.08%
L3HARRIS TECH INC P/P 144A 03.8500 12/15/2026 0.08%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.08%
CWALT 2007-OA6 A1A 02.1584 06/25/2037 0.08%
ENERGY TRANSFER OPERATNG 06.1250 12/15/2045 0.08%
FHR 4176 DI IO 03.0000 12/15/2042 0.08%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.08%
GNMA 10000 BD1730 03.5000 01/20/2048 0.08%
ONCOR ELECTRIC DELI 05.7500 03/15/2029 0.08%
STACR 2018-HQA1 M2 04.3184 09/25/2030 0.08%
CBS CORP 04.6000 01/15/2045 0.08%
COMM 2014-CR17 D P/P 144A 05.0117 05/10/2047 0.08%
CSAIL 2015-C1 C 04.4167 04/15/2050 0.08%
GNR 2010-H19 GI IO 01.4422 08/20/2060 0.08%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.08%
GSMS 2014-GC18 XA IO 01.1850 01/10/2047 0.08%
OMIR 2018-1A M2 04.8684 07/25/2028 0.08%
RMIR 2018-1 M2 04.2100 03/25/2028 0.08%
WFRBS 2013-C11 XA IO P/P 144A 01.3380 03/15/2045 0.08%
CARR 2006-NC2 A4 02.2584 06/25/2036 0.08%
SPST 2019-WL1 A 02.6684 08/25/2052 0.08%
COMM 2015-CR23 XA IO 01.0761 05/10/2048 0.08%
GNR 2015-H28 DI IO 01.5736 08/20/2065 0.08%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.08%
AMAZON.COM INC 03.1500 08/22/2027 0.08%
ECOLAB INC 03.2500 12/01/2027 0.08%
GNMA GII30 BB3019 03.5000 11/20/2047 0.08%
GNMA GII30 BG4862 04.5000 05/20/2048 0.08%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
GNR 2016-H27 BI IO 02.2756 12/20/2066 0.08%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.08%
DUKE ENERGY CORP 03.1500 08/15/2027 0.07%
FHR 4165 AI IO 03.5000 02/15/2043 0.07%
GNMA GII30 BB3013 03.5000 11/20/2047 0.07%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.07%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.07%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.07%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.07%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
WFRBS 2012-C9 XA IO P/P 144A 02.0609 11/15/2045 0.07%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.07%
FHR 4601 PI IO 04.5000 12/15/2045 0.07%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.07%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.07%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.07%
AMAZON.COM INC 04.0500 08/22/2047 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
MERCK & CO INC 03.7000 02/10/2045 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
WFRBS 2012-C9 XB IO P/P 144A 00.8756 11/15/2045 0.07%
AUTONATION INC. 05.5000 02/01/2020 0.07%
FNR 2006-62 PS 27.7897 07/25/2036 0.07%
MSRR 2015-R4 CB1 02.9695 08/26/2047 0.07%
UBSBB 2013-C6 XA IO P/P 144A 01.2658 04/10/2046 0.07%
AIR LEASE CORP 04.6250 10/01/2028 0.07%
FHR 4546 TI IO 04.0000 12/15/2045 0.07%
GNR 2015-H15 JI IO 01.9945 06/20/2065 0.07%
COMCAST CORP 03.9990 11/01/2049 0.07%
FNR 2011-4 CS 08.8632 05/25/2040 0.07%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.07%
WEYERHAEUSER CO 07.3750 03/15/2032 0.07%
GNR 2016-H24 JI IO 02.1586 11/20/2066 0.07%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
CAS 2019-R01 2M2 04.4684 07/25/2031 0.07%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.07%
GNR 2015-H16 XI IO 02.0524 07/20/2065 0.07%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.07%
L3HARRIS TECH INC P/P 144A 04.4000 06/15/2028 0.07%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.07%
JPMCC 2013-C16 XA IO 01.1060 12/15/2046 0.06%
MSBAM 2013-C11 D P/P 144A 04.4989 08/15/2046 0.06%
UNITEDHEALTH GROUP INC 02.9500 10/15/2027 0.06%
FNMA FN30 AT0942 UMBS 03.0000 04/01/2043 0.06%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.06%
JPMCC 2013-LC11 X IO 01.4008 04/15/2046 0.06%
S&P GLOBAL INC 04.4000 02/15/2026 0.06%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.06%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.06%
GNR 2014-H08 CI IO 01.5095 03/20/2064 0.06%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.06%
GSMS 2013-GC12 XA IO 01.5590 06/10/2046 0.06%
MWST 2018-W1 A 02.8684 11/25/2051 0.06%
GNR 2015-H09 BI IO 01.7175 03/20/2065 0.06%
JPMCC 2012-LC9 XA IO 01.6555 12/15/2047 0.06%
COMM 2012-LC4 XA IO P/P 144A 02.2885 12/10/2044 0.06%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.06%
FNR 2007-53 SP 16.7993 06/25/2037 0.06%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.06%
CAS 2015-C04 2M2 07.5684 04/25/2028 0.06%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.06%
RMIR 2019-1 M2 P/P 144A 05.2184 02/25/2029 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.06%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.06%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.06%
UBSCM 2012-C1 XA IO P/P 144A 02.2422 05/10/2045 0.06%
VERIZON COMM 04.6720 03/15/2055 0.06%
CCMFC 2004-3A A2 02.3184 08/25/2035 0.06%
ENERGY TRANSFER OPERATNG 06.2500 04/15/2049 0.06%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.06%
GNR 2015-H10 CI IO 01.8312 04/20/2065 0.06%
MSBAM 2014-C17 XA IO 01.2682 08/15/2047 0.06%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.06%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.06%
WESTROCK MWV LLC 08.2000 01/15/2030 0.06%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.06%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.06%
FNR 2005-106 JC 13.8655 12/25/2035 0.06%
1.45 R ISWP FWD US0003M P 12/18/2024 0.06%
CAS 2019-R05 1M2 04.0184 07/25/2039 0.06%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.06%
FHR 4074 KS IO 04.6725 02/15/2041 0.06%
GENERAL MOTORS COMPANY 04.8750 10/02/2023 0.06%
ALLERGAN FUNDING SCS USD 03.8000 03/15/2025 0.05%
CFCRE 2011-C2 D P/P 144A 05.9394 12/15/2047 0.05%
CGCMT 2012-GC8 XA IO P/P 144A 01.9347 09/10/2045 0.05%
CGCMT 2013-GC17 X IO 01.1921 11/10/2046 0.05%
FHR 4500 GI IO 04.0000 08/15/2045 0.05%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.05%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.05%
OMNICOM GP/OMNICOM CAP 03.6000 04/15/2026 0.05%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.05%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.05%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.05%
D.R. HORTON INC 05.7500 08/15/2023 0.05%
FHR 2990 LB 11.7636 06/15/2034 0.05%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.05%
JPMCC 2012-LC9 D P/P 144A 04.5473 12/15/2047 0.05%
PFIZER INC 03.0000 12/15/2026 0.05%
WAMU 2005-AR1 A2B 02.8184 01/25/2045 0.05%
DEVON ENERGY CORPORATION 05.8500 12/15/2025 0.05%
FNR 2010-35 SG IO 04.3816 04/25/2040 0.05%
GNR 2015-H20 AI IO 01.8581 08/20/2065 0.05%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.05%
FNR 12-118 PI IO 04.0000 06/25/2042 0.05%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.05%
WELLS FARGO & COMPANY 05.8750 12/29/2049 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 0.05%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.05%
FHR 4663 KI IO 03.5000 11/15/2042 0.05%
JPMBB 2014-C25 XA IO 01.0133 11/15/2047 0.05%
MWST 2019-1 A 02.8184 06/25/2052 0.05%
STACR 2018-HQA2 M2 04.3184 10/25/2048 0.05%
CVS PASS-THROUGH P/P 144A 04.7040 01/10/2036 0.05%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.05%
GNMA GII30 BB0107 04.7000 08/20/2067 0.05%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.05%
COMM 2012-CR1 D P/P 144A 05.4975 05/15/2045 0.05%
FNR 2005-75 GS 14.1949 08/25/2035 0.05%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.05%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.05%
SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA 0.05%
FNMA FN30 AB9238 UMBS 03.0000 05/01/2043 0.04%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.04%
GNMA GII30 BA7681 04.6260 06/20/2067 0.04%
GNR 2015-H17 CI IO 01.6155 06/20/2065 0.04%
QVC INC 04.8500 04/01/2024 0.04%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.04%
TARGA RESOURCES PART 05.0000 01/15/2028 0.04%
TREASURY BILL 00.0000 12/12/2019 0.04%
CAS 2017-C06 2M2 04.8184 02/25/2030 0.04%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.04%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.04%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.04%
VMWARE INC 03.9000 08/21/2027 0.04%
CAS 2019-R04 2M2 04.1184 06/25/2039 0.04%
CON EDISON CO OF NY INC 04.2000 03/15/2042 0.04%
GNMA GII30 AY4779 04.5090 03/20/2067 0.04%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.04%
SASC 2006-AM1 A4 02.1784 04/25/2036 0.04%
ANHEUSER-BUSCH CO/IN 03.6500 02/01/2026 0.04%
CAS 2015-C04 1M2 07.7184 04/25/2028 0.04%
CIT GROUP INC 05.0000 08/01/2023 0.04%
FHLMC FR30 ZL9269 UMBS 04.5000 03/01/2045 0.04%
GNMA GII30 BP3708 05.0000 08/20/2049 0.04%
GNR 2015-H01 CI IO 01.6507 12/20/2064 0.04%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.04%
ENBRIDGE INC USD 04.2500 12/01/2026 0.04%
GNMA GII30 BE5936 04.0000 05/20/2048 0.04%
GNMA GII30 BE5937 04.0000 05/20/2048 0.04%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.04%
HCA INC 05.0000 03/15/2024 0.04%
ANHEUSER-BUSCH INBEV WOR 04.1500 01/23/2025 0.04%
FHR 4141 PI IO 03.0000 12/15/2042 0.04%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.04%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.04%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.04%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.04%
GSMS 2011-GC5 XA IO P/P 144A 01.4985 08/10/2044 0.04%
METLIFE INC 06.4000 12/15/2036 0.04%
WFRBS 2011-C5 XA IO P/P 144A 01.8823 11/15/2044 0.04%
AMGEN INC 02.6000 08/19/2026 0.04%
ENBRIDGE INC USD 04.5000 06/10/2044 0.04%
FHR 4132 IP IO 04.5000 11/15/2042 0.04%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.04%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.04%
2.86 R ISWP US0003M P 01/22/2020 0.04%
BANK OF AMERICA CORP 02.8785 09/15/2026 0.04%
FHLMC FR30 ZM1457 UMBS 03.5000 07/01/2046 0.04%
INTERNATIONAL PAPER CO 03.0000 02/15/2027 0.04%
STACR 2019-DNA2 B1 06.3684 03/25/2049 0.04%
VERIZON COMMUNICATIONS 04.4000 11/01/2034 0.04%
GNMA GII30 BG4861 04.5000 05/20/2048 0.04%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.04%
HCA INC 05.5000 06/15/2047 0.04%
JPMORGAN CHASE & CO 06.1000 02/01/2049 0.04%
ORACLE CORP 04.0000 11/15/2047 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.04%
FIDELITY NATIONAL INFORM 04.7500 05/15/2048 0.04%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.04%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.04%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.04%
2.536 R ISWP FWD US0003M P 12/02/2023 0.04%
FHR 4182 GI IO 03.0000 01/15/2043 0.04%
GNMA GII30 BD3297 03.5000 11/20/2047 0.04%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.04%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.04%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.04%
AT&T INC 02.9500 07/15/2026 0.03%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.03%
KINDER MORGAN INC 03.1500 01/15/2023 0.03%
SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
CVS HEALTH CORP 03.7000 03/09/2023 0.03%
FOX CORP P/P 144A 04.0300 01/25/2024 0.03%
AES CORP/THE 05.1250 09/01/2027 0.03%
FNMA FN30 AP3817 UMBS 03.0000 09/01/2042 0.03%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.03%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.03%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.03%
SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
TREASURY BILL 00.0000 12/05/2019 0.03%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.03%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.03%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.03%
WFMBS 2005-AR16 6A4 04.9147 10/25/2035 0.03%
CBS CORP 02.9000 01/15/2027 0.03%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.03%
DUKE ENERGY OHIO INC 03.8000 09/01/2023 0.03%
KEURIG DR PEPPER INC 04.4170 05/25/2025 0.03%
CAS 2016-C06 1M2 06.2684 04/25/2029 0.03%
DUKE ENERGY CORP 04.2000 06/15/2049 0.03%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.03%
GNR 2013-129 SN IO 04.1058 09/20/2043 0.03%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.03%
JPMBB 2013-C17 XA IO 00.9285 01/15/2047 0.03%
MSC 2012-C4 XA IO P/P 144A 02.2563 03/15/2045 0.03%
SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.03%
WALT DISNEY COMP P/P 144A 07.7500 01/20/2024 0.03%
COMM 2014-UBS6 C 04.6006 12/10/2047 0.03%
FHLMC FR30 ZM0954 UMBS 03.5000 04/01/2046 0.03%
FIRSTENERGY CORP 04.8500 07/15/2047 0.03%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.03%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.03%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.03%
PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 0.03%
FHLMC FR30 ZL8664 UMBS 04.5000 11/01/2044 0.03%
FHR 4122 TI IO 04.5000 10/15/2042 0.03%
FHR 4183 MI IO 03.0000 02/15/2042 0.03%
HCA INC 05.2500 06/15/2026 0.03%
DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
FNMA FN30 AL8205 UMBS 03.0000 05/01/2045 0.03%
FNMA FN30 AR4126 UMBS 03.0000 02/01/2043 0.03%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.03%
GNR 2015-H22 EI IO 01.6294 08/20/2065 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.03%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.02%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.02%
2.2225 R ISWP FWD US0003M P 06/05/2029 0.02%
AIR LEASE CORP 03.2500 10/01/2029 0.02%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.02%
SERVICE CORPORATION INTL 04.6250 12/15/2027 0.02%
SERVICE PROPERTIES TRUST 04.3750 02/15/2030 0.02%
GNMA GII30 BP2045 05.0000 07/20/2049 0.02%
GNMA GII30 BP6877 05.0000 08/20/2049 0.02%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.02%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.02%
WFRBS 2011-C4 E P/P 144A 05.3965 06/15/2044 0.02%
CAS 2016-C04 1M2 06.2684 01/25/2029 0.02%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.02%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.02%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.02%
HILTON DOMESTIC P/P 144A 04.8750 01/15/2030 0.02%
NUTRIEN LTD USD 05.2500 01/15/2045 0.02%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.02%
WESTROCK MWV LLC 07.9500 02/15/2031 0.02%
1.626 R ISWP FWD US0003M P 09/12/2052 0.02%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.02%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.02%
FNMA FN30 BC5322 UMBS 03.5000 03/01/2046 0.02%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.02%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.02%
2.55 R ISWP FWD US0003M P 11/20/2039 0.02%
FNMA FN30 BA5236 UMBS 03.5000 12/01/2045 0.02%
GNMA GII30 BO3369 05.0000 06/20/2049 0.02%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.02%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.02%
BGC PARTNERS INC 05.1250 05/27/2021 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.02%
FNMA FN30 AP6568 UMBS 03.0000 09/01/2042 0.02%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.02%
2.32 R ISWP FWD US0003M P 02/09/2024 0.02%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.02%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
BMW US CAPITAL LLC P/P 144A 03.4000 08/13/2021 0.02%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.02%
FHR 2976 LC 16.9858 05/15/2035 0.02%
FHR 4018 DI IO 04.5000 07/15/2041 0.02%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.02%
GSMS 2012-GC6 D P/P 144A 05.8397 01/10/2045 0.02%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.02%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 0.02%
SWPTN 3YX30Y P 2.983 USD 05/23/2022 GS 0.02%
ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 0.02%
CITIGROUP INC 04.7500 05/18/2046 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
FNMA FN30 AP3902 UMBS 03.0000 10/01/2042 0.02%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.02%
GNMA 10000 BO5417 05.0000 06/20/2049 0.02%
GNMA GII30 BO4634 05.0000 06/20/2049 0.02%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.01%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.01%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.01%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.01%
AUTONATION INC 04.5000 10/01/2025 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
GNMA GII30 BN1509 05.0000 05/20/2049 0.01%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.01%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.01%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.01%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.01%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
PACIFICORP 06.2500 10/15/2037 0.01%
2.3075 R ISWP FWD US0003M P 02/02/2024 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
COMCAST CORP 06.5000 11/15/2035 0.01%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.01%
FIDELITY NATIONAL INFORM 03.0000 08/15/2026 0.01%
FNR 2005-83 QP 12.1462 11/25/2034 0.01%
1.30 R ISWP US0003M P 12/09/2024 0.01%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.01%
CBRE SERVICES INC 05.2500 03/15/2025 0.01%
CBS CORP 04.0000 01/15/2026 0.01%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FIRSTENERGY CORP 03.9000 07/15/2027 0.01%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.01%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.01%
1.5095 R ISWP FWD US0003M P 08/28/2030 0.01%
SABMILLER HLDG INC 04.9500 01/15/2042 0.01%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.01%
SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.01%
THE SHERWIN-WILLIAMS COMPANY 02.7500 06/01/2022 0.01%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.01%
1.534 R ISWP US0003M P 09/26/2029 0.01%
2.57 R ISWP FWD US0003M P 02/02/2024 0.01%
EQUINOR ASA USD 05.1000 08/17/2040 0.01%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.01%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.01%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.01%
OPTN FN30 3.0 11/06/19 PUT 101.2421875 JPMC 0.01%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.01%
SWPTN 3YX2Y R 1.245 USD 08/26/2022 CI 0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 MS 0.00%
CMB CMBX.NA.BB.12 2061-08-17 500.0 08/17/2061 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CSMC 2007-C4 C P/P 144A 05.9096 09/15/2039 0.00%
ENERGY TRANSFER OPERATNG 05.2000 02/01/2022 0.00%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.00%
SWPTN 1YX2Y R 1.5775 USD 09/14/2020 MS 0.00%
2.5725 R ISWP FWD US0003M P 02/02/2024 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FNMA FN30 953612 05.0000 03/01/2038 0.00%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 0.00%
SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 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%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
1.50 R ISWP US0003M P 09/30/2024 0.00%
1.5594 R ISWP US0003M P 09/30/2029 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 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%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.7588 12/12/2049 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.4995 12/11/2038 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.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FHR 3707 PI IO 04.5000 07/15/2025 0.00%
GECMC 2007-C1 XC IO P/P 144A 00.2697 12/10/2049 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
OPTN FN30 3.0 11/06/19 PUT 99.7421875 JPMC 0.00%
SWPTN 1YX10Y P 2.7475 USD 02/13/2020 GS 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
BACM 2005-1 XW IO P/P 144A 00.0000 11/10/2042 0.00%
BACM 2007-1 XW IO 00.4019 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%
CD 2007-CD4 XW IO P/P 144A 01.0395 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.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 ML 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 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 MS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 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 00.5546 12/10/2046 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.0444 01/15/2049 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
JPMCC 05-CB12 X1 IO P/P 144A 00.5090 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 00.3118 05/15/2045 0.00%
JPMCC 2007-LDPX X IO 00.3227 01/15/2049 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.5070 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.3551 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.3551 02/15/2040 0.00%
MEZZ 2005-C3 X IO P/P 144A 07.1366 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 06.5268 07/15/2045 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.1171875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.3046875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 100.4921875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.0546875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.2421875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.4296875 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.5859375 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.7734375 JPMC 0.00%
OPTN FN30 3.0 10/03/19 PUT 99.9609375 JPMC 0.00%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS 0.00%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS 0.00%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.00%
SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP 0.00%
SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP 0.00%
SWPTN 4MX10Y P 2.265 USD 10/03/2019 MS 0.00%
SWPTN 4MX10Y P 2.401 USD 09/30/2019 BA 0.00%
WBCMT 2006-C29 IO IO 00.4761 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.0966 05/15/2046 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 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%
IOS.FN30.350.12 P USL1M R 01/12/43 CS -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.09375 JPMC -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.1875 JPMC -0.00%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
OPTN FN30 3.0 11/06/19 PUT 100.2421875 JPMC -0.00%
OPTN FN30 4.0 11/06/19 CALL 104.0 JPMC -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS -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 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.00%
SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -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 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
OPTN FN30 3.0 11/06/19 PUT 100.7421875 JPMC -0.00%
1.53 R ISWP US0003M P 10/01/2024 -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 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS -0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 JP -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -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 MS -0.01%
IOS.FN30.350.12 P USL1M R 01/12/43 JP -0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 BC -0.01%
SWPTN 1YX2Y P 1.5775 USD 09/14/2020 MS -0.01%
SWPTN 3YX2Y P 1.245 USD 08/26/2022 CI -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 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 MS -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.BB.6 2063-05-11 500.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
2.3075 R ISWP FWD US0003M P 06/22/2052 -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
2.528 R ISWP FWD US0003M P 02/02/2024 -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 JP -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
1.58 R ISWP FWD US0003M P 12/18/2021 -0.01%
1.65 R ISWP FWD US0003M P 12/18/2049 -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.02%
IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.02%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
IOS.FN30.500.08 P USL1M R 01/12/39 CS -0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP -0.02%
2.2685 R ISWP FWD US0003M P 07/22/2052 -0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI -0.03%
1.9665 R ISWP FWD US0003M P 07/06/2030 -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.03%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP -0.03%
SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA -0.03%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.03%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS -0.03%
1.655 R ISWP US0003M P 09/24/2029 -0.04%
2.0625 R ISWP FWD US0003M P 06/22/2030 -0.04%
SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS -0.04%
SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI -0.04%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.04%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.04%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.04%
IOS.FN30.500.10 P USL1M R 01/12/41 GS -0.04%
IOS.FN30.500.10 P USL1M R 01/12/41 JP -0.04%
1.9185 R ISWP FWD US0003M P 08/08/2052 -0.05%
SWPTN 3YX30Y P 2.2775 USD 07/18/2022 WE -0.05%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.05%
SWPTN 2YX5Y R 1.3 USD 08/27/2021 UB -0.06%
SWPTN 3YX10Y R 1.512 USD 08/30/2022 MS -0.07%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.08%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.08%
SWPTN 5YX10Y P 2.9425 USD 02/13/2024 GS -0.08%
2.6785 R ISWP US0003M P 02/13/2029 -0.08%
2.035 R ISWP FWD US0003M P 01/22/2031 -0.08%
2.184 R ISWP FWD US0003M P 12/07/2030 -0.09%
SWPTN 1YX10Y P 2.027 USD 07/17/2020 BA -0.09%
2.1935 R ISWP FWD US0003M P 12/14/2030 -0.09%
SWPTN 2YX5Y P 1.3 USD 08/27/2021 UB -0.10%
SWPTN 3YX10Y P 1.512 USD 08/30/2022 MS -0.10%
SWPTN 3MX5Y P 1.475 USD 12/05/2019 CI -0.10%
2.4105 R ISWP FWD US0003M P 06/14/2052 -0.11%
IOS.GII30.500.10 P USL1M R 01/12/41 JP -0.11%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.11%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.11%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.11%
1.525 R ISWP FWD US0003M P 12/18/2029 -0.13%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.13%
2.098 R ISWP FWD US0003M P 03/04/2030 -0.16%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.18%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.18%
2.44 R ISWP FWD US0003M P 03/26/2030 -0.19%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.20%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.20%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.21%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.23%
SWPTN 10YX30Y P 2.7875 USD 04/24/2029 MS -0.23%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.26%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.26%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.27%
SWPTN 6YX24Y R 2.75 USD 05/22/2025 MS -0.27%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.28%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.29%
SWPTN 4YX25Y R 3.0 USD 01/31/2024 MS -0.33%
SWPTN 4YX25Y R 3.0 USD 04/04/2023 MS -0.33%
SWPTN 4YX25Y R 3.0 USD 04/12/2023 MS -0.33%
SWPTN 5YX10Y R 2.9425 USD 02/13/2024 GS -0.72%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.76%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.84%
SWPTN 10YX30Y R 2.7875 USD 04/24/2029 MS -1.00%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -1.97%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -3.18%
90DAY EURO$ FUTR MAR21 EDH1 -25.52%

Prior top 10 holdings

Top 10 holdings as of 09/30/19
1: Fnma Fn30 Tba Umbs 03.0000 10/01/2049 13.99%
2: Fnma Fn30 Tba Umbs 03.5000 10/01/2049 6.06%
3: Fnma Fn30 Tba Umbs 04.0000 10/01/2049 4.49%
4: Gnma Gii30 Tba 04.5000 10/01/2049 2.06%
5: Gnma Gii30 Tba 03.5000 10/01/2049 2.04%
6: Gnma Gii30 Tba 04.0000 10/01/2049 1.64%
7: Bf0101 03.5000 06/01/2056 0.94%
8: Fnma Fn30 Tba Umbs 06.0000 10/01/2049 0.87%
9: Fnma Fn30 Tba Umbs 05.5000 10/01/2049 0.85%
10: Wamu 2005-Ar13 A1c4 02.4484 10/25/2045 0.74%
Holdings represent 33.68% of portfolio
Top 10 holdings as of 08/31/19
1: Fnma Fn30 Tba Umbs 03.0000 09/01/2049 12.60%
2: Fnma Fn30 Tba Umbs 03.5000 09/01/2049 5.95%
3: Fnma Fn30 Tba Umbs 04.0000 09/01/2049 4.41%
4: Gnma Gii30 Tba 04.5000 09/01/2049 2.02%
5: Gnma Gii30 Tba 03.5000 09/01/2049 2.01%
6: Gnma Gii30 Tba 04.0000 09/01/2049 1.61%
7: Bf0101 03.5000 06/01/2056 0.93%
8: Fnma Fn30 Tba Umbs 06.0000 09/01/2049 0.85%
9: Fnma Fn30 Tba Umbs 05.5000 09/01/2049 0.83%
10: Wamu 2005-Ar13 A1c4 02.6960 10/25/2045 0.72%
Holdings represent 31.93% of portfolio
Top 10 holdings as of 07/31/19
1: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 9.20%
2: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 5.28%
3: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 4.51%
4: Gnma Gii30 Tba 04.5000 08/01/2049 2.06%
5: Gnma Gii30 Tba 03.5000 08/01/2049 2.05%
6: Gnma Gii30 Tba 04.0000 08/01/2049 1.65%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.96%
8: Bf0101 03.5000 06/01/2056 0.95%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.87%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.85%
Holdings represent 28.38% of portfolio
Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 4.54%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 2.92%
3: Gnma Gii30 Tba 04.5000 07/01/2049 2.11%
4: Gnma Gii30 Tba 03.5000 07/01/2049 2.09%
5: Gnma Gii30 Tba 04.0000 07/01/2049 1.68%
6: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.67%
7: Bf0101 03.5000 06/01/2056 0.98%
8: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.98%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.88%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.86%
Holdings represent 18.71% of portfolio

Sector Weightings as of 09/30/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 11.70% 0.59 32.86% 1.28 44.56% 1.87
Investment-grade corporate bonds 26.10% 2.12 0.00% 0.00 26.10% 2.12
Commercial MBS 12.08% 0.33 13.83% 0.31 25.91% 0.64
Net cash 22.89% 0.00 0.00% 0.00 22.89% 0.00
Agency CMO 13.34% 0.48 0.38% 0.01 13.72% 0.49
Residential MBS (non-agency) 11.12% 0.35 0.00% 0.00 11.12% 0.35
Asset-backed securities (ABS) 1.47% 0.04 0.00% 0.00 1.47% 0.04
High-yield corporate bonds 1.30% 0.05 0.00% 0.00 1.30% 0.05
Interest rate swaps 0.00% 0.00 0.00% 0.20 0.00% 0.20
U.S. Treasury/agency 0.00% 0.00 0.00% 1.79 0.00% 1.79

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 09/30/19

United States 94.27%
Canada 1.23%
Bermuda 1.19%
United Kingdom 0.94%
France 0.57%
Netherlands 0.43%
Spain 0.35%
Japan 0.26%
Australia 0.23%
 
Other		 0.53%
Switzerland 0.20%
Germany 0.14%
Ireland 0.11%
Luxembourg 0.07%
Norway 0.01%