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Putnam Hartford Capital Manager
Putnam Income Subaccount
The fund seeks high current income consistent with what Putnam Management believes to be prudent risk.
- Highlights
- Holdings
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.
Lipper ranking ‡ as of 07/31/17
Category: Core Bond Funds
| Percentile ranking | Rank/Funds in category | |
|---|---|---|
| 10 yrs. | 6% | 4/69 |
| 1 yr. | 2% | 2/102 |
| 3 yrs. | 97% | 93/95 |
| 5 yrs. | 8% | 7/88 |
Risk characteristics as of 07/31/17
| Avg. Eff. Maturity | 12.16 |
|---|---|
| Avg. Price | 90.40 |
| Avg. Eff. Duration | 5.55 |
| Avg. Coupon | 5.03 |
| Avg. Yield to Maturity | 4.19 |
| Alpha (%) | -- |
|---|---|
| Beta | 0.52 |
| R squared | 0.26 |
| Standard deviation (3 yrs.) | 2.92 |
Maturity details
| 0 to 1 yr. | -14.04% |
|---|---|
| 1 to 5 yrs. | 13.40% |
| 5 to 10 yrs. | 86.60% |
| 10 to 15 yrs. | 2.25% |
| Over 15 yrs. | 11.79% |
Quality ratings
| AAA | 68.31% |
|---|---|
| AA | 2.55% |
| A | 11.58% |
| BBB | 24.17% |
| BB | 7.88% |
| B | 4.90% |
| CCC and Below | 2.20% |
| Not Rated | -21.59% |
Maturity detail includes only cash bonds and cash equivalents.
Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.
Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.
‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.
Top 10 holdings as of 07/31/17
| Fnma Fn30 Tba 03.5000 09/01/2047 | 12.84% |
|
|---|---|---|
| Fnma Fn30 Tba 03.0000 09/01/2047 | 5.08% |
|
| Fnma Fn30 Tba 02.5000 09/01/2047 | 3.02% |
|
| Fnma Fn30 Tba 04.5000 09/01/2047 | 2.93% |
|
| Gnma Gii30 Tba 03.0000 08/01/2047 | 1.58% |
|
| Gnma Gii30 Tba 05.0000 08/01/2047 | 1.26% |
|
| Bf0101 03.5000 06/01/2056 | 1.17% |
|
| Wamu 2005-Ar13 A1c4 01.6622 10/25/2045 | 1.06% |
|
| Cas 2016-C03 1m2 06.5322 10/25/2028 | 1.00% |
|
| Stacr 2015-Dn1 M3 05.3822 01/25/2025 | 0.92% |
|
| Top 10 holdings, total: | 30.86% |
|
Full Portfolio Holdings as of 06/30/17
| FNMA FN30 TBA 03.5000 08/01/2047 | 11.31% |
|---|---|
| FNMA FN30 TBA 03.5000 07/01/2047 | 5.26% |
| FNMA FN30 TBA 03.0000 07/01/2047 | 3.15% |
| FNMA FN30 TBA 04.5000 07/01/2047 | 2.96% |
| GNMA GII30 TBA 03.5000 07/01/2047 | 2.04% |
| FNMA FN30 TBA 02.5000 07/01/2047 | 1.90% |
| GNMA GII30 TBA 03.0000 07/01/2047 | 1.59% |
| GNMA GII30 TBA 05.0000 07/01/2047 | 1.27% |
| BF0101 03.5000 06/01/2056 | 1.19% |
| FNMA FN30 TBA 02.5000 08/01/2047 | 1.14% |
| WAMU 2005-AR13 A1C4 01.6461 10/25/2045 | 1.09% |
| CAS 2016-C03 1M2 06.5161 10/25/2028 | 1.00% |
| STACR 2015-DN1 M3 05.3661 01/25/2025 | 0.93% |
| FNMA FN30 TBA 06.0000 07/01/2047 | 0.89% |
| FNMA FN30 TBA 05.5000 07/01/2047 | 0.87% |
| CAS 2016-C03 2M2 07.1161 10/25/2028 | 0.79% |
| FHS 315 PO PO 00.0000 09/15/2043 | 0.77% |
| FNMA FN30 AS7363 03.0000 06/01/2046 | 0.76% |
| FNMA FN30 AL8994 04.0000 09/01/2045 | 0.73% |
| FHLMC FH30G Q43898 03.5000 10/01/2046 | 0.72% |
| GNMA GII30 AF3759 03.5000 06/20/2045 | 0.71% |
| CAS 2016-C03 1M1 03.2161 10/25/2028 | 0.70% |
| FHLMC FH30G G60314 04.0000 09/01/2045 | 0.70% |
| CAS 2016-C02 1M2 07.2161 09/25/2028 | 0.66% |
| STACR 2016-DNA2 M3 05.8661 10/25/2028 | 0.64% |
| MRAFT 2016-5 A 02.3944 06/10/2019 | 0.61% |
| GNMA GII30 AE8491 04.0000 07/20/2044 | 0.60% |
| CAS 2016-C01 2M2 08.1661 08/25/2028 | 0.57% |
| WAMU 2005-AR17 A1B2 01.6261 12/25/2045 | 0.57% |
| ROCKWELL COLLINS INC 04.3500 04/15/2047 | 0.50% |
| METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 | 0.49% |
| BCAP 2015-RR5 2A2 01.7617 01/26/2046 | 0.48% |
| FHR 3835 FO PO 00.0000 04/15/2041 | 0.48% |
| WELLS FARGO BANK NA 06.6000 01/15/2038 | 0.47% |
| CAS 2017-C01 1M2 04.7661 07/25/2029 | 0.46% |
| MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 | 0.46% |
| BPCE SA P/P 144A 04.5000 03/15/2025 | 0.45% |
| WFRBS 2012-C10 D P/P 144A 04.5944 12/15/2045 | 0.44% |
| BSCMS 2006-PW11 B P/P 144A 05.3019 03/11/2039 | 0.43% |
| DBUBS 2011-LC3A D P/P 144A 05.3457 08/10/2044 | 0.43% |
| STACR 2016-HQA1 M3 07.5661 09/25/2028 | 0.43% |
| LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 | 0.42% |
| CITIGROUP INC 06.2500 12/29/2049 | 0.41% |
| GNMA GII30 TBA 04.0000 07/01/2047 | 0.41% |
| FHLMC FH30G Q45743 03.5000 01/01/2047 | 0.40% |
| FNMA FN30 AS8684 03.5000 01/01/2047 | 0.40% |
| GNMA GII30 635173 03.5000 02/20/2047 | 0.40% |
| FNMA FN30 BM1172 03.0000 03/01/2047 | 0.39% |
| GSMS 2014-GC22 XA IO 01.1900 06/10/2047 | 0.39% |
| WFCM 2012-LC5 D P/P 144A 04.9343 10/15/2045 | 0.39% |
| AMERICAN INTL GROUP 08.1750 05/15/2058 | 0.38% |
| FHLMC FH30G Q41024 03.0000 06/01/2046 | 0.38% |
| FNMA FN30 BC1489 03.0000 08/01/2046 | 0.38% |
| GNR 2010-9 UI IO 05.0000 01/20/2040 | 0.38% |
| FNMA FN30 BC1445 03.0000 07/01/2046 | 0.37% |
| GNR 2016-H23 NI IO 02.4037 10/20/2066 | 0.37% |
| CHARTER COMM OPT LLC P/P 144A 05.3750 05/01/2047 | 0.36% |
| FHLMC FH30G G60861 03.5000 01/01/2047 | 0.36% |
| FNMA FN30 BC0960 04.0000 06/01/2046 | 0.36% |
| FNMA FN30 AY8222 04.5000 05/01/2045 | 0.35% |
| BECTON DICKINSON AND CO 04.6690 06/06/2047 | 0.34% |
| CBS CORP 04.6000 01/15/2045 | 0.34% |
| CGCMT 2014-GC21 D P/P 144A 04.8350 05/10/2047 | 0.34% |
| GNMA GII30 AF3757 03.5000 06/20/2045 | 0.34% |
| WFRBS 2014-C22 XA IO 01.0715 09/15/2057 | 0.34% |
| BARCLAYS PLC USD 04.8360 05/09/2028 | 0.32% |
| CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 | 0.32% |
| FNMA FN30 AX7296 04.5000 12/01/2044 | 0.32% |
| GNR 2016-H02 HI IO 01.9413 01/20/2066 | 0.32% |
| STACR 2016-DNA3 M3 06.2161 12/25/2028 | 0.32% |
| FNMA FN30 BD0189 03.5000 06/01/2046 | 0.30% |
| GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 | 0.30% |
| GSMS 2014-GC18 C 04.9445 01/10/2047 | 0.30% |
| SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 | 0.30% |
| WAMU 2005-AR19 A1C3 01.7161 12/25/2045 | 0.30% |
| FHLMC FH30G V80357 03.5000 08/01/2043 | 0.29% |
| FNR 2012-124 UI IO 04.0000 11/25/2042 | 0.29% |
| JPMBB 2013-C14 D P/P 144A 04.7206 08/15/2046 | 0.29% |
| MSBAM 2013-C10 E P/P 144A 04.2190 07/15/2046 | 0.29% |
| WEC ENERGY GROUP INC 03.2943 05/15/2067 | 0.29% |
| WFRBS 2013-C15 D P/P 144A 04.6285 08/15/2046 | 0.29% |
| BECTON DICKINSON AND CO 03.7000 06/06/2027 | 0.28% |
| COMM 2012-LC4 XA IO P/P 144A 02.2125 12/10/2044 | 0.28% |
| CSAIL 2015-C1 D P/P 144A 03.9422 04/15/2050 | 0.28% |
| FNMA FN30 AU1625 03.5000 07/01/2043 | 0.28% |
| SHERWIN-WILLIAMS CO 03.4500 06/01/2027 | 0.28% |
| CGCMT 2014-GC19 X IO 01.2149 03/10/2047 | 0.27% |
| FNMA FN30 BD0494 03.5000 07/01/2046 | 0.27% |
| JPMBB 2014-C26 D P/P 144A 04.0686 01/15/2048 | 0.27% |
| UBSBB 2012-C2 E P/P 144A 04.8980 05/10/2063 | 0.27% |
| BSCMS 2007-T26 AJ 05.5353 01/12/2045 | 0.26% |
| FHLMC FH30G V80012 03.0000 03/01/2043 | 0.26% |
| FNMA FN30 AS4991 03.5000 05/01/2045 | 0.26% |
| MSBAM 2014-C17 D P/P 144A 04.6974 08/15/2047 | 0.26% |
| ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 | 0.26% |
| WFRBS 2013-C14 XA IO 00.9449 06/15/2046 | 0.26% |
| CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 | 0.25% |
| UBSBB 2012-C2 XA IO P/P 144A 01.3829 05/10/2063 | 0.25% |
| WFRBS 2013-C17 C 05.2942 12/15/2046 | 0.25% |
| WFRBS 2014-C19 E P/P 144A 05.1353 03/15/2047 | 0.25% |
| CFCRE 2011-C2 E P/P 144A 05.9452 12/15/2047 | 0.24% |
| JPMBB 2014-C22 XA IO 01.0870 09/15/2047 | 0.24% |
| JPMCC 2011-C3 F P/P 144A 05.8007 02/15/2046 | 0.24% |
| WFCM 2014-LC16 XA IO 01.5482 08/15/2050 | 0.24% |
| WFRBS 2011-C2 D P/P 144A 05.7880 02/15/2044 | 0.24% |
| AON PLC USD 04.2500 12/12/2042 | 0.23% |
| FNMA FN30 BD0959 03.5000 06/01/2046 | 0.23% |
| GNR 2014-H11 GI IO 01.4856 06/20/2064 | 0.23% |
| GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 | 0.23% |
| ING BANK NV P/P 144A 05.8000 09/25/2023 | 0.23% |
| NHEL 2004-2 M4 03.0161 09/25/2034 | 0.23% |
| PUGET SOUND ENERGY INC 06.9740 06/01/2067 | 0.23% |
| CAS 2014-C04 1M2 06.1161 11/25/2024 | 0.22% |
| CWCI 2007-C3 AJ 06.0607 05/15/2046 | 0.22% |
| FHLMC FH30G Q28032 04.5000 08/01/2044 | 0.22% |
| GNR 2014-H07 BI IO 01.4586 05/20/2064 | 0.22% |
| ORACLE CORP 02.6500 07/15/2026 | 0.22% |
| STACR 2016-HQA2 M1 02.4161 11/25/2028 | 0.22% |
| WFCM 2014-LC18 D P/P 144A 03.9570 12/15/2047 | 0.22% |
| BACM 2007-3 AJ 05.6762 06/10/2049 | 0.21% |
| FNMA FN30 AW7089 04.5000 07/01/2044 | 0.21% |
| FORD MOTOR COMPANY 04.3460 12/08/2026 | 0.21% |
| GNR 2015-H13 AI IO 02.2899 06/20/2065 | 0.21% |
| JPMCC 2012-C6 E P/P 144A 05.2988 05/15/2045 | 0.21% |
| SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP | 0.21% |
| WAMU 2005-AR11 A1C3 01.7261 08/25/2045 | 0.21% |
| WESTLAKE CHEM CORP 03.6000 08/15/2026 | 0.21% |
| CA TXB-VAR PURP 3 07.5000 04/01/2034 | 0.20% |
| CAS 2014-C02 1M2 03.8161 05/25/2024 | 0.20% |
| COMM 2014-UBS6 XA IO 01.0295 12/10/2047 | 0.20% |
| FHR 3065 DC 16.3833 03/15/2035 | 0.20% |
| FNMA FN30 BD6401 03.5000 09/01/2046 | 0.20% |
| GNR 2009-121 UI IO 05.0000 12/20/2039 | 0.20% |
| GNR 2016-111 IP IO 03.5000 08/20/2046 | 0.20% |
| GNR 2017-H08 NI IO 02.1945 03/20/2067 | 0.20% |
| MSBAM 2013-C7 XA IO 01.6246 02/15/2046 | 0.20% |
| WFRBS 2012-C10 XA IO P/P 144A 01.9713 12/15/2045 | 0.20% |
| WILLIAMS PARTNERS L.P. 04.8750 03/15/2024 | 0.20% |
| CENOVUS ENERGY INC USD 06.7500 11/15/2039 | 0.19% |
| COMM 2013-CR11 XA IO 01.1379 08/10/2050 | 0.19% |
| COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 | 0.19% |
| COMMERZBANK AG P/P 144A 08.1250 09/19/2023 | 0.19% |
| FHR 4663 KI IO 03.5000 11/15/2042 | 0.19% |
| FNMA FN30 BD3705 03.5000 08/01/2046 | 0.19% |
| FNR 2017-2 KI IO 04.0000 02/25/2047 | 0.19% |
| GE CAP INTL FUNDING USD 04.4180 11/15/2035 | 0.19% |
| GNR 2014-2 IL IO 04.0000 01/16/2044 | 0.19% |
| GSMS 2013-GC10 XA IO 01.5822 02/10/2046 | 0.19% |
| HILTON WORLDWIDE FIN P/P 144A 04.8750 04/01/2027 | 0.19% |
| JPMCC 2011-C3 E P/P 144A 05.8007 02/15/2046 | 0.19% |
| MSBAM 2013-C11 D P/P 144A 04.5153 08/15/2046 | 0.19% |
| SASC 2006-AM1 A4 01.3761 04/25/2036 | 0.19% |
| SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 | 0.19% |
| VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 | 0.19% |
| WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 | 0.19% |
| WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 | 0.19% |
| BACM 2005-1 B 05.3775 11/10/2042 | 0.18% |
| EL PASO NATURAL GAS 08.3750 06/15/2032 | 0.18% |
| FHR 3852 NT 04.8411 05/15/2041 | 0.18% |
| GNR 2015-53 MI IO 04.0000 04/16/2045 | 0.18% |
| MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 | 0.18% |
| TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 | 0.18% |
| ANHEUSER-BUSCH INBEV 08.2000 01/15/2039 | 0.17% |
| ENBRIDGE INC USD 04.2500 12/01/2026 | 0.17% |
| FNR 2012-144 KI IO 03.0000 11/25/2042 | 0.17% |
| GNR 2011-17 S IO 04.8378 02/20/2041 | 0.17% |
| GNR 2015-149 KI IO 04.0000 10/20/2045 | 0.17% |
| GNR 2016-H06 AI IO 02.0788 02/20/2066 | 0.17% |
| GNR 2016-H14 IO IO 01.6717 06/20/2066 | 0.17% |
| GNR 2017-H09 DI IO 01.9000 03/20/2067 | 0.17% |
| GREAT PLAINS ENERGY INC 04.8500 04/01/2047 | 0.17% |
| GSMS 2011-GC3 D P/P 144A 05.6323 03/10/2044 | 0.17% |
| GSMS 2013-GC10 E P/P 144A 04.4098 02/10/2046 | 0.17% |
| HISTORIC TW INC 09.1500 02/01/2023 | 0.17% |
| JPMCC 2010-C1 D P/P 144A 06.4009 06/15/2043 | 0.17% |
| LIBERTY MUTUAL INSUR P/P 144A 07.6970 10/15/2097 | 0.17% |
| MPLX LP 04.1250 03/01/2027 | 0.17% |
| N TX HWY-TXB-B 06.7180 01/01/2049 | 0.17% |
| PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 | 0.17% |
| STACR 2015-DNA2 M2 03.8161 12/25/2027 | 0.17% |
| SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 | 0.17% |
| SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA | 0.17% |
| WILLIAMS PARTNERS LP 04.3000 03/04/2024 | 0.17% |
| BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 | 0.16% |
| DIAMOND 1 FIN/DIAMON P/P 144A 07.1250 06/15/2024 | 0.16% |
| FHLMC FH30G Q44791 03.5000 12/01/2046 | 0.16% |
| FHR 4158 TI IO 03.0000 12/15/2042 | 0.16% |
| FHR 4176 DI IO 03.0000 12/15/2042 | 0.16% |
| FNR 2005-122 SE 18.8436 11/25/2035 | 0.16% |
| GNR 2012-136 IO IO 03.5000 11/20/2042 | 0.16% |
| GNR 2015-60 IP IO 04.0000 04/20/2045 | 0.16% |
| GNR 2016-H11 HI IO 02.0821 01/20/2066 | 0.16% |
| GNR 2017-H10 MI IO 01.7249 04/20/2067 | 0.16% |
| JPMCC 2012-C8 D P/P 144A 04.8071 10/15/2045 | 0.16% |
| JPMCC 2012-C8 E P/P 144A 04.8071 10/15/2045 | 0.16% |
| JPMCC 2012-LC9 XA IO 01.8560 12/15/2047 | 0.16% |
| LEGRAND FRANCE USD 08.5000 02/15/2025 | 0.16% |
| MSBAM 2012-C6 F P/P 144A 04.7750 11/15/2045 | 0.16% |
| MSBAM 2015-C24 D P/P 144A 03.2570 05/15/2048 | 0.16% |
| NABORS INDUSTRIES INC 04.6250 09/15/2021 | 0.16% |
| SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP | 0.16% |
| UBSBB 2012-C2 F P/P 144A 04.8980 05/10/2063 | 0.16% |
| WFRBS 2012-C9 XA IO P/P 144A 02.2327 11/15/2045 | 0.16% |
| WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 | 0.16% |
| ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 | 0.15% |
| BACARDI LTD P/P 144A 04.5000 01/15/2021 | 0.15% |
| BANK OF AMERICA CORP 06.1100 01/29/2037 | 0.15% |
| CGCMT 2013-GC17 X IO 01.4334 11/10/2046 | 0.15% |
| CHARTER COMM OPT LLC 06.4840 10/23/2045 | 0.15% |
| CHENIERE CORP CHRIST P/P 144A 05.1250 06/30/2027 | 0.15% |
| COMCAST CORP 03.1500 03/01/2026 | 0.15% |
| CONCHO RESOURCES INC 04.3750 01/15/2025 | 0.15% |
| FHR 3408 EK 21.1299 04/15/2037 | 0.15% |
| FHR 4546 TI IO 04.0000 12/15/2045 | 0.15% |
| GNR 2015-H04 AI IO 01.9366 12/20/2064 | 0.15% |
| LNSTR 2015-3 C P/P 144A 03.3453 04/20/2048 | 0.15% |
| MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 | 0.15% |
| STACR 2016-DNA2 M2 03.4161 10/25/2028 | 0.15% |
| SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA | 0.15% |
| WFRBS 2011-C4 E P/P 144A 05.4143 06/15/2044 | 0.15% |
| WFRBS 2013-C11 XA IO P/P 144A 01.4897 03/15/2045 | 0.15% |
| WFRBS 2014-C24 XA IO 01.1068 11/15/2047 | 0.15% |
| ARC PROP OPER PART L 04.6000 02/06/2024 | 0.14% |
| CAS 2015-C02 2M2 05.2161 05/25/2025 | 0.14% |
| COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 | 0.14% |
| FHR 4601 PI IO 04.5000 12/15/2045 | 0.14% |
| FNR 2012-129 IJ IO 03.5000 12/25/2032 | 0.14% |
| GNR 2015-35 AI IO 05.0000 03/16/2045 | 0.14% |
| GNR 2015-H12 EI IO 01.6946 04/20/2065 | 0.14% |
| GNR 2016-136 YI IO 03.5000 03/20/2045 | 0.14% |
| GSMS 2013-GC10 D P/P 144A 04.4098 02/10/2046 | 0.14% |
| GSMS 2014-GC18 XA IO 01.1250 01/10/2047 | 0.14% |
| JPMCC 2013-C10 E P/P 144A 03.5000 12/15/2047 | 0.14% |
| JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 | 0.14% |
| MSC 2012-C4 XA IO P/P 144A 02.2804 03/15/2045 | 0.14% |
| STACR 2013-DN2 M2 05.4661 11/25/2023 | 0.14% |
| STACR 2014-DN2 M3 04.8161 04/25/2024 | 0.14% |
| STACR 2016-DNA2 M1 02.4661 10/25/2028 | 0.14% |
| SWPTN LIABILITY 2YX28Y P 2.7175 USD 01/24/2019 BA | 0.14% |
| SWPTN LIABILITY 2YX28Y R 2.7175 USD 01/24/2019 BA | 0.14% |
| SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP | 0.14% |
| SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP | 0.14% |
| TEXAS GAS TRANSMISN P/P 144A 04.5000 02/01/2021 | 0.14% |
| TRANSCANADA TRUST USD 05.3000 03/15/2077 | 0.14% |
| 21ST CENTURY FOX AMERICA 07.7500 12/01/2045 | 0.13% |
| CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 | 0.13% |
| CENOVUS ENERGY INC P/P 144A 04.2500 04/15/2027 | 0.13% |
| CITIGROUP INC 04.7500 05/18/2046 | 0.13% |
| COMM 2014-LC15 XA IO 01.5084 04/10/2047 | 0.13% |
| FHLMC FH30G Q27018 04.5000 07/01/2044 | 0.13% |
| FNMA FN30 AR3945 03.0000 03/01/2043 | 0.13% |
| FNR 2006-8 HP 20.1076 03/25/2036 | 0.13% |
| FNR 2014-28 AI IO 03.0000 03/25/2040 | 0.13% |
| GENERAL MOTORS FINL CO 04.0000 10/06/2026 | 0.13% |
| GNR 2012-56 IB IO 04.0000 04/20/2042 | 0.13% |
| GNR 2015-26 AI IO 03.5000 05/20/2039 | 0.13% |
| GNR 2015-H12 GI IO 01.7894 05/20/2065 | 0.13% |
| GNR 2016-H04 KI IO 01.9292 02/20/2066 | 0.13% |
| GRUPO TELEVISA SAB USD 06.6250 01/15/2040 | 0.13% |
| GSMS 2013-GC12 D P/P 144A 04.4464 06/10/2046 | 0.13% |
| JPMBB 2013-C14 E P/P 144A 04.7206 08/15/2046 | 0.13% |
| JPMBB 2013-C17 XA IO 01.1011 01/15/2047 | 0.13% |
| JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 | 0.13% |
| JPMCC 2013-LC11 X IO 01.5626 04/15/2046 | 0.13% |
| JPMORGAN CHASE & CO 02.2950 08/15/2021 | 0.13% |
| MICROSOFT CORP 02.4000 08/08/2026 | 0.13% |
| MSC 2007-HQ11 AJ 05.5080 02/12/2044 | 0.13% |
| TRAVELERS PPTY CASUALTY 07.7500 04/15/2026 | 0.13% |
| UBSCM 2012-C1 XA IO P/P 144A 02.0855 05/10/2045 | 0.13% |
| WESTROCK MWV LLC 08.2000 01/15/2030 | 0.13% |
| WEYERHAEUSER CO 07.3750 03/15/2032 | 0.13% |
| WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 | 0.13% |
| AXA SA P/P 144A 06.3790 12/29/2049 | 0.12% |
| BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 | 0.12% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS | 0.12% |
| COMM 2014-CR19 XA IO 01.2398 08/10/2047 | 0.12% |
| ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 | 0.12% |
| FHR 4116 MI IO 04.0000 10/01/2042 | 0.12% |
| FHR 4165 AI IO 03.5000 02/15/2043 | 0.12% |
| GNR 2010-H19 GI IO 01.4081 08/20/2060 | 0.12% |
| GNR 2012-113 ID IO 03.5000 09/20/2042 | 0.12% |
| GNR 2013-4 IC IO 04.0000 09/20/2042 | 0.12% |
| GNR 2014-100 JI IO 03.5000 07/16/2029 | 0.12% |
| GNR 2014-25 QI IO 05.0000 01/20/2044 | 0.12% |
| GNR 2015-52 KI IO 03.5000 11/20/2040 | 0.12% |
| GNR 2015-H12 AI IO 01.8531 05/20/2065 | 0.12% |
| GNR 2015-H25 CI IO 02.1215 10/20/2065 | 0.12% |
| JPMBB 2013-C14 C 04.7206 08/15/2046 | 0.12% |
| JPMCC 2013-C16 XA IO 01.2821 12/15/2046 | 0.12% |
| MSBAM 2013-C12 XA IO 01.0598 10/15/2046 | 0.12% |
| MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 | 0.12% |
| MSC 2008-T29 F P/P 144A 06.5033 01/11/2043 | 0.12% |
| NATIONWIDE MUTUAL P/P 144A 08.2500 12/01/2031 | 0.12% |
| NBCUNIVERSAL MEDIA LLC 06.4000 04/30/2040 | 0.12% |
| OH UNIV-TXB-C-BABS 04.9100 06/01/2040 | 0.12% |
| SPST 2017-1 A 02.1161 02/25/2049 | 0.12% |
| TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 | 0.12% |
| UBS GROUP FUNDIN P/P 144A 04.1250 04/15/2026 | 0.12% |
| UBSBB 2013-C6 XA IO P/P 144A 01.2445 04/10/2046 | 0.12% |
| WFRBS 2012-C9 XB IO P/P 144A 00.8639 11/15/2045 | 0.12% |
| 21ST CENTURY FOX AMERICA 07.7500 01/20/2024 | 0.11% |
| 21ST CENTURY FOX AMERICA 07.8500 03/01/2039 | 0.11% |
| AMERICAN EXPRESS CO 04.9000 12/29/2049 | 0.11% |
| AMERICAN TOWER CORP 03.5500 07/15/2027 | 0.11% |
| BANK OF AMERICA CORP 06.1000 12/29/2049 | 0.11% |
| CGCMT 2012-GC8 XA IO P/P 144A 01.8343 09/10/2045 | 0.11% |
| COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 | 0.11% |
| DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 | 0.11% |
| FHR 4074 KS IO 05.5411 02/15/2041 | 0.11% |
| FHR 4500 GI IO 04.0000 08/15/2045 | 0.11% |
| FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 | 0.11% |
| FNR 2006-62 PS 32.6033 07/25/2036 | 0.11% |
| FNR 2012-62 EI IO 04.0000 04/25/2041 | 0.11% |
| GNR 2009-79 IC IO 06.0000 08/20/2039 | 0.11% |
| GNR 2015-H25 AI IO 01.6137 09/20/2065 | 0.11% |
| GNR 2017-6 DI IO 03.5000 01/20/2044 | 0.11% |
| GSMS 2011-GC5 XA IO P/P 144A 01.3551 08/10/2044 | 0.11% |
| GSMS 2013-GC12 XA IO 01.5475 06/10/2046 | 0.11% |
| JPMCC 2013-C16 D P/P 144A 05.1404 12/15/2046 | 0.11% |
| JPMORGAN CHASE & CO 05.3000 12/29/2049 | 0.11% |
| KRAFT HEINZ FOODS CO 06.5000 02/09/2040 | 0.11% |
| SWPTN 1MX10Y P 2.124 USD 07/14/2017 CI | 0.11% |
| TELECOM ITALIA SPA P/P 144A 05.3030 05/30/2024 | 0.11% |
| UBS GROUP AG REGS 06.8750 12/29/2049 | 0.11% |
| VERIZON COMMUNICATIONS 02.6250 08/15/2026 | 0.11% |
| WBCMT 2006-C26 AJ 06.3084 06/15/2045 | 0.11% |
| WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 | 0.11% |
| WFRBS 2011-C5 XA IO P/P 144A 01.9276 11/15/2044 | 0.11% |
| AMERICAN TOWER CORP 04.0000 06/01/2025 | 0.10% |
| BRDCOM CRP / FIN P/P 144A 03.8750 01/15/2027 | 0.10% |
| CFCRE 2011-C2 D P/P 144A 05.9452 12/15/2047 | 0.10% |
| CITIGROUP INC 05.9500 12/29/2049 | 0.10% |
| COMM 2012-CR1 XA IO 02.0597 05/15/2045 | 0.10% |
| CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 | 0.10% |
| ENERGY TRANSFER LP 04.2000 04/15/2027 | 0.10% |
| FHR 2990 LB 13.9837 06/15/2034 | 0.10% |
| FHR 3072 SM 04.2533 11/15/2035 | 0.10% |
| FHR 4182 GI IO 03.0000 01/15/2043 | 0.10% |
| FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 | 0.10% |
| FNR 12-118 PI IO 04.0000 06/25/2042 | 0.10% |
| FNR 2005-106 JC 16.3531 12/25/2035 | 0.10% |
| FNR 2011-4 CS 10.4678 05/25/2040 | 0.10% |
| FNS 421 C6 IO 04.0000 05/25/2045 | 0.10% |
| GNR 2012-129 IO IO 04.5000 11/16/2042 | 0.10% |
| GNR 2014-H08 CI IO 01.4924 03/20/2064 | 0.10% |
| GNR 2015-69 XI IO 03.5000 05/20/2045 | 0.10% |
| GNR 2015-H28 DI IO 01.5519 08/20/2065 | 0.10% |
| GNR 2017-38 DI IO 05.0000 03/16/2047 | 0.10% |
| HCA INC 05.5000 06/15/2047 | 0.10% |
| JPMCC 2007-CB20 C P/P 144A 06.3104 02/12/2051 | 0.10% |
| MSBAM 2014-C17 XA IO 01.4010 08/15/2047 | 0.10% |
| PACIFICORP 06.2500 10/15/2037 | 0.10% |
| SABINE PASS LIQUEF 05.0000 03/15/2027 | 0.10% |
| SWPTN 2YX30Y P 2.518 USD 05/17/2019 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% |
| TEVA PHARMACEUTICALS NE USD 03.1500 10/01/2026 | 0.10% |
| VALERO ENERGY PARTNERS 04.3750 12/15/2026 | 0.10% |
| WP CAREY INC 04.6000 04/01/2024 | 0.10% |
| APPLE INC 04.3750 05/13/2045 | 0.09% |
| AT&T INC 03.4000 05/15/2025 | 0.09% |
| AT&T INC 04.7500 05/15/2046 | 0.09% |
| AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 | 0.09% |
| AUTONATION INC. 05.5000 02/01/2020 | 0.09% |
| BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 | 0.09% |
| CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 | 0.09% |
| CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 | 0.09% |
| COMCAST CORP 06.5000 11/15/2035 | 0.09% |
| COMM 2014-UBS6 C 04.4650 12/10/2047 | 0.09% |
| CORP BOND BACKED CTF P/P 144A 00.0000 09/15/2017 | 0.09% |
| CREDIT SUISSE GRP AG P/P 144A 06.2500 12/29/2049 | 0.09% |
| DEVON ENERGY CORPORATION 03.2500 05/15/2022 | 0.09% |
| FHR 4132 IP IO 04.5000 11/15/2042 | 0.09% |
| FNR 2007-53 SP 19.7409 06/25/2037 | 0.09% |
| GENERAL ELECTRIC CO 05.0000 12/29/2049 | 0.09% |
| GNR 2009-121 BI IO 04.5000 12/16/2039 | 0.09% |
| GNR 2010-101 SH IO 05.4783 08/16/2040 | 0.09% |
| GNR 2013-53 PI IO 03.0000 04/20/2041 | 0.09% |
| GNR 2014-76 IO IO 05.0000 05/20/2044 | 0.09% |
| GNR 2015-77 DI IO 03.5000 05/20/2045 | 0.09% |
| GNR 2015-H09 BI IO 01.6896 03/20/2065 | 0.09% |
| GSMS 2014-GC18 D P/P 144A 04.9445 01/10/2047 | 0.09% |
| GSMS 2014-GC24 XA IO 00.8465 09/10/2047 | 0.09% |
| HARTFORD FINL SVCS GRP 06.6250 03/30/2040 | 0.09% |
| HARTFORD FINL SVCS GRP 08.1250 06/15/2038 | 0.09% |
| NORFOLK SOUTHERN CORP 06.0000 05/23/2111 | 0.09% |
| PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 | 0.09% |
| SABINE PASS LIQUEFAC P/P 144A 04.2000 03/15/2028 | 0.09% |
| SABMILLER HLDG INC 04.9500 01/15/2042 | 0.09% |
| SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 | 0.09% |
| SWPTN 6MX10Y R 2.25 USD 09/11/2017 CI | 0.09% |
| SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA | 0.09% |
| SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI | 0.09% |
| WFRBS 2012-C7 D P/P 144A 04.9849 06/15/2045 | 0.09% |
| WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 | 0.09% |
| BACM 2006-4 AJ 05.6950 07/10/2046 | 0.08% |
| CELANESE US HOLDINGS LLC 05.8750 06/15/2021 | 0.08% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS | 0.08% |
| COMMONWEALTH EDISON CO 05.8750 02/01/2033 | 0.08% |
| CONSOLIDATED EDISON CO O 04.2000 03/15/2042 | 0.08% |
| CREDIT AGRICOLE SA P/P 144A 04.3750 03/17/2025 | 0.08% |
| ENEL FINANCE INTL NV P/P 144A 05.1250 10/07/2019 | 0.08% |
| FHR 4141 PI IO 03.0000 12/15/2042 | 0.08% |
| FIRSTENERGY CORP 04.8500 07/15/2047 | 0.08% |
| FNMA FN30 AT0942 03.0000 04/01/2043 | 0.08% |
| FNMA FN30 BD3718 03.5000 08/01/2046 | 0.08% |
| FNR 2005-75 GS 16.6017 08/25/2035 | 0.08% |
| FNR 2010-35 SG IO 05.1839 04/25/2040 | 0.08% |
| FNR 2012-22 CI IO 04.0000 03/25/2041 | 0.08% |
| FNR 2013-67 IP IO 03.0000 02/25/2042 | 0.08% |
| FNR 2015-3 BI IO 04.0000 03/25/2044 | 0.08% |
| GNR 2013-27 PI IO 03.5000 12/20/2042 | 0.08% |
| GNR 2015-H01 CI IO 01.6414 12/20/2064 | 0.08% |
| GNR 2015-H10 CI IO 01.8100 04/20/2065 | 0.08% |
| GNR 2015-H15 JI IO 01.9453 06/20/2065 | 0.08% |
| GNR 2015-H16 XI IO 02.1280 07/20/2065 | 0.08% |
| GNR 2015-H17 CI IO 01.6202 06/20/2065 | 0.08% |
| GNR 2016-H24 JI IO 02.3016 11/20/2066 | 0.08% |
| GRUPO BIMBO SAB P/P 144A 04.8750 06/27/2044 | 0.08% |
| HSBC CAP FUNDING USD P/P 144A 10.1760 12/29/2049 | 0.08% |
| IBERDROLA INTL BV USD 06.7500 07/15/2036 | 0.08% |
| JPMBB 2014-C25 XA IO 01.1373 11/15/2047 | 0.08% |
| LIBERTY MUTUAL GROUP P/P 144A 04.1506 03/15/2037 | 0.08% |
| MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 | 0.08% |
| MLMT 2008-C1 AJ 06.5421 02/12/2051 | 0.08% |
| NEWELL BRANDS INC 04.2000 04/01/2026 | 0.08% |
| ONCOR ELECTRIC DELIVERY CO 07.0000 09/01/2022 | 0.08% |
| PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 | 0.08% |
| QVC INC 04.8500 04/01/2024 | 0.08% |
| RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 | 0.08% |
| ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 | 0.08% |
| SANTANDER ISSUANCES USD 05.1790 11/19/2025 | 0.08% |
| SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA | 0.08% |
| SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI | 0.08% |
| SWPTN LIABILITY 2MX10Y P 2.46 USD 08/30/2017 GS | 0.08% |
| VERIZON COMM 05.9000 02/15/2054 | 0.08% |
| WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 | 0.08% |
| WFCM 2012-LC5 E P/P 144A 04.9343 10/15/2045 | 0.08% |
| WFRBS 2013-C12 XA IO P/P 144A 01.5119 03/15/2048 | 0.08% |
| 2.15 R ISWP FWD USL3M P 06/27/2027 | 0.07% |
| ANTHEM INC 04.6250 05/15/2042 | 0.07% |
| APPALACHIAN POWER CO 05.8000 10/01/2035 | 0.07% |
| BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 | 0.07% |
| CBRE SERVICES INC 04.8750 03/01/2026 | 0.07% |
| COMM 2006-C8 AJ 05.3770 12/10/2046 | 0.07% |
| ENERGY TRANSFER LP 06.1250 12/15/2045 | 0.07% |
| ENERGY TRANSFER LP 06.5000 02/01/2042 | 0.07% |
| EXPEDIA INC 05.9500 08/15/2020 | 0.07% |
| FHLMC FH30G Q32223 04.5000 03/01/2045 | 0.07% |
| FNR 2013-18 IN IO 03.5000 03/25/2043 | 0.07% |
| FNR 2013-55 PI IO 03.0000 05/25/2042 | 0.07% |
| GNR 2010-35 QI IO 04.5000 03/20/2040 | 0.07% |
| GNR 2010-9 QI IO 04.5000 01/20/2040 | 0.07% |
| GNR 2012-50 PI IO 04.0000 12/20/2041 | 0.07% |
| GNR 2013-3 IT IO 05.0000 01/20/2043 | 0.07% |
| GNR 2013-34 PI IO 04.5000 08/20/2039 | 0.07% |
| GNR 2014-46 JI IO 03.5000 10/20/2041 | 0.07% |
| GNR 2014-63 PI IO 04.0000 07/20/2043 | 0.07% |
| GNR 2015-52 IE IO 04.0000 01/16/2043 | 0.07% |
| HCA INC 05.2500 06/15/2026 | 0.07% |
| HOSPITALITY PROPERTIES T 04.5000 03/15/2025 | 0.07% |
| MID-AMERICA APARTMENTS 04.3000 10/15/2023 | 0.07% |
| PACIFIC GAS & ELECTRIC 05.8000 03/01/2037 | 0.07% |
| PACIFIC GAS & ELECTRIC 06.3500 02/15/2038 | 0.07% |
| SHIRE ACQ INV IE 03.2000 09/23/2026 | 0.07% |
| SL GREEN REALTY CORP 05.0000 08/15/2018 | 0.07% |
| STATOIL ASA USD 05.1000 08/17/2040 | 0.07% |
| TORONTO-DOMINION BANK USD 03.6250 09/15/2031 | 0.07% |
| UNITEDHEALTH GROUP INC 04.6250 11/15/2041 | 0.07% |
| WAMU 2005-AR1 A2B 02.0161 01/25/2045 | 0.07% |
| WFMBS 2005-AR16 6A4 03.2638 10/25/2035 | 0.07% |
| 2.20 R ISWP FWD USL3M P 09/20/2027 | 0.06% |
| AIR LEASE CORP 03.3750 06/01/2021 | 0.06% |
| ALLY FINANCIAL INC 05.7500 11/20/2025 | 0.06% |
| AXA SA P/P 144A 06.4630 12/29/2049 | 0.06% |
| BANCO DEL ESTADO P/P 144A 02.0000 11/09/2017 | 0.06% |
| BANK OF AMERICA CORP 06.5000 10/29/2049 | 0.06% |
| CBS CORP 03.5000 01/15/2025 | 0.06% |
| ENERGY TRANSFER LP 05.2000 02/01/2022 | 0.06% |
| FHR 4183 MI IO 03.0000 02/15/2042 | 0.06% |
| FHR 4206 IP IO 03.0000 12/15/2041 | 0.06% |
| FIFTH THIRD BANCORP 05.1000 12/29/2049 | 0.06% |
| FNMA FN30 AB9238 03.0000 05/01/2043 | 0.06% |
| FNR 2013-55 KI IO 03.0000 04/25/2043 | 0.06% |
| GENERAL MOTORS CO 04.8750 10/02/2023 | 0.06% |
| GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 | 0.06% |
| GNR 2013-18 GI IO 03.5000 05/20/2041 | 0.06% |
| GNR 2013-37 JI IO 03.5000 01/20/2043 | 0.06% |
| GNR 2014-4 IK IO 04.0000 07/20/2039 | 0.06% |
| GNR 2015-H20 AI IO 01.8358 08/20/2065 | 0.06% |
| JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 | 0.06% |
| JPMCC 2006-LDP8 B 05.5200 05/15/2045 | 0.06% |
| JPMCC 2007-CB20 B P/P 144A 06.3104 02/12/2051 | 0.06% |
| JPMORGAN CHASE & CO 07.9000 12/29/2049 | 0.06% |
| MSRR 2015-R4 CB1 00.5977 08/26/2047 | 0.06% |
| ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 | 0.06% |
| PRUDENTIAL FINANCIAL INC 05.6250 06/15/2043 | 0.06% |
| ROYAL BANK OF CANADA USD 04.6500 01/27/2026 | 0.06% |
| S&P GLOBAL INC 04.4000 02/15/2026 | 0.06% |
| SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 | 0.06% |
| SWPTN 2MX10Y P 2.33 USD 08/30/2017 GS | 0.06% |
| SWPTN 5WX30Y P 2.506 USD 07/21/2017 CI | 0.06% |
| UAL 2007 PASS TRUST 06.6360 07/02/2022 | 0.06% |
| VERIZON COMM 04.5220 09/15/2048 | 0.06% |
| WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 | 0.06% |
| ZF NA CAPITAL P/P 144A 04.5000 04/29/2022 | 0.06% |
| ALTRIA GROUP INC 04.0000 01/31/2024 | 0.05% |
| CVS PASS-THROUGH P/P 144A 04.7040 01/10/2036 | 0.05% |
| D.R. HORTON INC 05.7500 08/15/2023 | 0.05% |
| DOLLAR GENERAL CORP 03.2500 04/15/2023 | 0.05% |
| ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 | 0.05% |
| ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 | 0.05% |
| FHR 4122 TI IO 04.5000 10/15/2042 | 0.05% |
| FIRSTENERGY CORP 03.9000 07/15/2027 | 0.05% |
| FNMA FN30 AP3817 03.0000 09/01/2042 | 0.05% |
| GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 | 0.05% |
| GNR 2010-151 KO PO 00.0000 06/16/2037 | 0.05% |
| GNR 2010-35 UI IO 05.0000 03/20/2040 | 0.05% |
| GNR 2015-99 LI IO 04.0000 07/20/2045 | 0.05% |
| GSMS 2012-GC6 D P/P 144A 05.6522 01/10/2045 | 0.05% |
| HESS CORP 07.3000 08/15/2031 | 0.05% |
| JPMCC 2012-LC9 D P/P 144A 04.5352 12/15/2047 | 0.05% |
| L BRANDS INC 05.6250 02/15/2022 | 0.05% |
| LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 | 0.05% |
| MOTIVA ENTERPRISES L P/P 144A 06.8500 01/15/2040 | 0.05% |
| NOBLE HOLDING INTL LTD USD 06.0500 03/01/2041 | 0.05% |
| OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 | 0.05% |
| OMNICOM GROUP INC 03.6000 04/15/2026 | 0.05% |
| OWENS CORNING 09.0000 06/15/2019 | 0.05% |
| STANDARD IND INC P/P 144A 05.0000 02/15/2027 | 0.05% |
| SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA | 0.05% |
| SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC | 0.05% |
| SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA | 0.05% |
| SWPTN 6MX5Y P 1.975 USD 11/22/2017 CI | 0.05% |
| SWPTN 6MX5Y P 2.57 USD 11/22/2017 CI | 0.05% |
| US TREASURY N/B 02.0000 09/30/2020 | 0.05% |
| VERIZON COMMUNICATIONS 04.1250 03/16/2027 | 0.05% |
| WELLS FARGO & COMPANY 05.8750 12/29/2049 | 0.05% |
| 1.90 R ISWP FWD USL3M P 09/20/2022 | 0.04% |
| AIR LEASE CORP 03.7500 02/01/2022 | 0.04% |
| ANADARKO PETROLEUM CORP 07.2000 03/15/2029 | 0.04% |
| BANK OF AMERICA CORP 02.0056 09/15/2026 | 0.04% |
| CAS 2016-C06 1M2 05.4661 04/25/2029 | 0.04% |
| CBS CORP 02.9000 01/15/2027 | 0.04% |
| CHARTER COMM OPT LLC 04.9080 07/23/2025 | 0.04% |
| CIT GROUP INC 05.0000 08/01/2023 | 0.04% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.04% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP | 0.04% |
| COMM 2014-CR16 XA IO 01.1879 04/10/2047 | 0.04% |
| CROWN CASTLE INTL CORP 04.7500 05/15/2047 | 0.04% |
| DCP MIDSTREAM OPERATING 02.7000 04/01/2019 | 0.04% |
| DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 | 0.04% |
| EMERA US FINANCE LP 03.5500 06/15/2026 | 0.04% |
| EQT MIDSTREAM PARTNERS L 04.0000 08/01/2024 | 0.04% |
| FHLMC FH30G Q29422 04.5000 11/01/2044 | 0.04% |
| FHLMC FH30G Q42016 03.5000 07/01/2046 | 0.04% |
| FHLMC FH30G Q44706 03.5000 12/01/2046 | 0.04% |
| FHLMC FH30G Q44903 03.5000 12/01/2046 | 0.04% |
| FHLMC FH30G Q44946 03.5000 12/01/2046 | 0.04% |
| FHLMC FH30G Q45042 03.5000 12/01/2046 | 0.04% |
| FHLMC FH30G Q45196 03.5000 12/01/2046 | 0.04% |
| FHR 4018 DI IO 04.5000 07/15/2041 | 0.04% |
| FNMA FN30 BC5322 03.5000 03/01/2046 | 0.04% |
| FNMA FN30 BC7330 03.5000 12/01/2046 | 0.04% |
| FNMA FN30 BD8704 03.5000 12/01/2046 | 0.04% |
| FNMA FN30 BE4222 03.5000 12/01/2046 | 0.04% |
| FNR 2013-23 LI IO 03.0000 06/25/2041 | 0.04% |
| FNR 2013-30 IP IO 03.0000 10/25/2041 | 0.04% |
| GEORGIA-PACIFIC LLC 07.7500 11/15/2029 | 0.04% |
| GNR 2013-129 SN IO 04.9378 09/20/2043 | 0.04% |
| GNR 2013-23 IK IO 03.0000 09/20/2037 | 0.04% |
| GNR 2014-162 DI IO 04.0000 11/20/2038 | 0.04% |
| GNR 2015-H22 EI IO 01.6165 08/20/2065 | 0.04% |
| HCA INC 05.0000 03/15/2024 | 0.04% |
| HEALTHCARE REALTY TRUST INC 03.8750 05/01/2025 | 0.04% |
| HYATT HOTELS CORP 03.3750 07/15/2023 | 0.04% |
| INVISTA FINANCE LLC P/P 144A 04.2500 10/15/2019 | 0.04% |
| JABIL INC 08.2500 03/15/2018 | 0.04% |
| LEAR CORP 05.3750 03/15/2024 | 0.04% |
| METLIFE INC 06.4000 12/15/2036 | 0.04% |
| NVR INC 03.9500 09/15/2022 | 0.04% |
| O'REILLY AUTOMOTIVE INC 03.5500 03/15/2026 | 0.04% |
| O'REILLY AUTOMOTIVE INC 03.8500 06/15/2023 | 0.04% |
| OMEGA HLTHCARE INVES 04.5000 04/01/2027 | 0.04% |
| PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 | 0.04% |
| PRIDE INTERNATIONAL LLC 07.8750 08/15/2040 | 0.04% |
| REPUBLIC SERVICES INC. 03.8000 05/15/2018 | 0.04% |
| ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 | 0.04% |
| SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 | 0.04% |
| SWPTN 13WX20Y R 2.525 USD 08/14/2017 GS | 0.04% |
| SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA | 0.04% |
| SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC | 0.04% |
| SWPTN 5WX30Y P 2.488 USD 07/21/2017 CI | 0.04% |
| SWPTN 6MX5Y P 1.896 USD 12/07/2017 CI | 0.04% |
| TELEFONICA EMISIONES SAU USD 07.0450 06/20/2036 | 0.04% |
| TIME WARNER INC 03.8000 02/15/2027 | 0.04% |
| ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 | 0.03% |
| CC HLDG GS V LLC/CRO 03.8490 04/15/2023 | 0.03% |
| CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS | 0.03% |
| CNO FINANCIAL GROUP INC 05.2500 05/30/2025 | 0.03% |
| CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 | 0.03% |
| CVS HEALTH CORP 04.7500 12/01/2022 | 0.03% |
| CVS HEALTH CORP 05.1250 07/20/2045 | 0.03% |
| DCP MIDSTREAM OPERATING 03.8750 03/15/2023 | 0.03% |
| FHLMC FH30G Q39680 03.5000 04/01/2046 | 0.03% |
| FNMA FN30 AL8205 03.0000 05/01/2045 | 0.03% |
| FNMA FN30 AR4126 03.0000 02/01/2043 | 0.03% |
| FNMA FN30 BA5236 03.5000 12/01/2045 | 0.03% |
| GNR 2011-116 IA IO 04.5000 10/20/2039 | 0.03% |
| GNR 2012-48 KI IO 03.5000 12/16/2039 | 0.03% |
| GNR 2014-108 IP IO 04.5000 12/20/2042 | 0.03% |
| GNR 2014-46 KI IO 03.0000 06/20/2036 | 0.03% |
| HOST HOTELS & RESORTS LP 06.0000 10/01/2021 | 0.03% |
| IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 | 0.03% |
| JPMCC 2007-CB20 AJ 06.2104 02/12/2051 | 0.03% |
| KINDER MORGAN ENER PART 05.4000 09/01/2044 | 0.03% |
| KINDER MORGAN INC. 03.0500 12/01/2019 | 0.03% |
| LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 | 0.03% |
| MEDTRONIC INC 03.5000 03/15/2025 | 0.03% |
| MEDTRONIC INC 04.3750 03/15/2035 | 0.03% |
| MSC 2011-C3 E P/P 144A 05.3268 07/15/2049 | 0.03% |
| NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 | 0.03% |
| NORTHROP GRUMMAN SYSTEMS 07.8750 03/01/2026 | 0.03% |
| STACR 2014-HQ3 M2 03.8661 10/25/2024 | 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 2MX10Y P 2.325 USD 07/25/2017 CS | 0.03% |
| SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA | 0.03% |
| SWPTN 3MX10Y R 2.3724 USD 08/11/2017 CS | 0.03% |
| SWPTN 3MX5Y P 1.83 USD 09/06/2017 GS | 0.03% |
| SWPTN 6MX1Y R 1.6125 USD 08/10/2017 CI | 0.03% |
| SWPTN 6MX5Y R 1.975 USD 11/22/2017 CI | 0.03% |
| SWPTN 6MX5Y R 2.57 USD 11/22/2017 CI | 0.03% |
| TIAAC 2003-1A E 144A 08.0000 12/28/2038 | 0.03% |
| TIME WARNER INC 02.9500 07/15/2026 | 0.03% |
| VERIZON COMMUNICATIONS 04.4000 11/01/2034 | 0.03% |
| 2.18 R ISWP FWD USL3M P 07/13/2027 | 0.02% |
| 2.1965 R ISWP USL3M P 06/30/2027 | 0.02% |
| ABBVIE INC 03.6000 05/14/2025 | 0.02% |
| AFLAC INC 06.4500 08/15/2040 | 0.02% |
| AGRIUM INC USD 05.2500 01/15/2045 | 0.02% |
| ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 | 0.02% |
| ASSURANT INC 06.7500 02/15/2034 | 0.02% |
| BGC PARTNERS INC 05.1250 05/27/2021 | 0.02% |
| CAS 2014-C03 2M1 02.4161 07/25/2024 | 0.02% |
| CELANESE US HOLDINGS LLC 04.6250 11/15/2022 | 0.02% |
| CITIGROUP INC 05.9000 12/29/2049 | 0.02% |
| CROWN CASTLE INTL CORP 04.8750 04/15/2022 | 0.02% |
| CROWN CASTLE INTL CORP. 05.2500 01/15/2023 | 0.02% |
| CYTEC INDUSTRIES INC. 03.5000 04/01/2023 | 0.02% |
| DUKE REALTY LP 03.8750 02/15/2021 | 0.02% |
| ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 | 0.02% |
| FHR 2976 LC 20.1707 05/15/2035 | 0.02% |
| FHR 3300 PO PO 00.0000 02/15/2037 | 0.02% |
| FIRSTENERGY CORP 04.2500 03/15/2023 | 0.02% |
| FNMA FN30 AP3902 03.0000 10/01/2042 | 0.02% |
| FNMA FN30 AP6568 03.0000 09/01/2042 | 0.02% |
| FNR 2005-83 QP 14.2321 11/25/2034 | 0.02% |
| GECMC 2007-C1 XC IO P/P 144A 00.2580 12/10/2049 | 0.02% |
| GENERAL MOTORS FINL CO 03.0000 09/25/2017 | 0.02% |
| GENERAL MOTORS FINL CO 04.3000 07/13/2025 | 0.02% |
| GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 | 0.02% |
| HILTON DOMESTIC OPER P/P 144A 04.2500 09/01/2024 | 0.02% |
| HOST HOTELS & RESORTS 05.2500 03/15/2022 | 0.02% |
| JPMCC 2007-LDPX X IO 00.3153 01/15/2049 | 0.02% |
| KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 | 0.02% |
| KRAFT HEINZ FOODS CO 04.3750 06/01/2046 | 0.02% |
| KRAFT HEINZ FOODS CO 06.8750 01/26/2039 | 0.02% |
| LBUBS 2006-C6 B 05.4720 09/15/2039 | 0.02% |
| LBUBS 2006-C6 C 05.4820 09/15/2039 | 0.02% |
| PRICELINE GROUP INC/THE 03.6500 03/15/2025 | 0.02% |
| PRIMERICA INC 04.7500 07/15/2022 | 0.02% |
| REALTY INCOME CORP 04.6500 08/01/2023 | 0.02% |
| SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 | 0.02% |
| SELECT INCOME REIT 02.8500 02/01/2018 | 0.02% |
| SELECT INCOME REIT 03.6000 02/01/2020 | 0.02% |
| SWPTN 2MX10Y P 2.5975 USD 08/30/2017 GS | 0.02% |
| SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC | 0.02% |
| SWPTN 3MX10Y R 2.8472 USD 08/11/2017 CS | 0.02% |
| SWPTN 3MX1Y R 1.884 USD 07/06/2017 GS | 0.02% |
| SWPTN 6MX10Y P 2.81025 USD 10/18/2017 JP | 0.02% |
| SWPTN 6MX5Y R 1.896 USD 12/07/2017 CI | 0.02% |
| VULCAN MATERIALS COMPANY 04.5000 04/01/2025 | 0.02% |
| WESTROCK MWV LLC 07.9500 02/15/2031 | 0.02% |
| ALLERGAN FUNDING SCS USD 04.7500 03/15/2045 | 0.01% |
| AMERICAN TOWER CORP 03.3750 10/15/2026 | 0.01% |
| AUTONATION INC 04.5000 10/01/2025 | 0.01% |
| BOARDWALK PIPELINES LP 04.4500 07/15/2027 | 0.01% |
| CBRE SERVICES INC 05.2500 03/15/2025 | 0.01% |
| CITIGROUP INC 05.8750 12/29/2049 | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.01% |
| CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP | 0.01% |
| CMB CMBX.NA.BB.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% |
| CONSTELLATION BRANDS INC 03.7000 12/06/2026 | 0.01% |
| CONSTELLATION BRANDS INC. 03.8750 11/15/2019 | 0.01% |
| CVS PASS-THROUGH TRUST 06.0360 12/10/2028 | 0.01% |
| ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 | 0.01% |
| EXPEDIA INC 05.0000 02/15/2026 | 0.01% |
| FAIRFAX US INC P/P 144A 04.8750 08/13/2024 | 0.01% |
| FHR 3210 PO PO 00.0000 05/15/2036 | 0.01% |
| FHR 3391 PO PO 00.0000 04/15/2037 | 0.01% |
| FHR 3707 PI IO 04.5000 07/15/2025 | 0.01% |
| FN30 05.000 2008 | 0.01% |
| FNR 2007-64 LO PO 00.0000 07/25/2037 | 0.01% |
| FNS 372 1 PO 00.0000 08/25/2036 | 0.01% |
| GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 | 0.01% |
| GNR 2013-16 IB IO 05.0000 10/20/2040 | 0.01% |
| L3 TECHNOLOGIES INC 03.8500 12/15/2026 | 0.01% |
| MLCFC 2006-4 XC IO P/P 144A 00.6339 12/12/2049 | 0.01% |
| OMEGA HLTHCARE INVES 05.2500 01/15/2026 | 0.01% |
| STACR 2014-DN3 M2 03.6161 08/25/2024 | 0.01% |
| SWPTN 1MX10Y R 2.06375 USD 07/21/2017 CS | 0.01% |
| SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC | 0.01% |
| SWPTN 3MX2Y P 2.214 USD 08/02/2017 BA | 0.01% |
| SWPTN 3MX2Y P 2.234 USD 08/02/2017 GS | 0.01% |
| SWPTN 3MX5Y R 1.83 USD 09/06/2017 GS | 0.01% |
| SWPTN 5WX30Y R 2.34 USD 07/21/2017 CI | 0.01% |
| SWPTN 6MX1Y R 1.495 USD 07/05/2017 BA | 0.01% |
| TYSON FOODS INC 04.8750 08/15/2034 | 0.01% |
| TYSON FOODS INC 05.1500 08/15/2044 | 0.01% |
| VEREIT OPERATING PARTNER 04.8750 06/01/2026 | 0.01% |
| WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 | 0.01% |
| 1.60431 R ISWP USL3M P 07/05/2019 | 0.00% |
| 1.6076 R ISWP USL3M P 07/05/2019 | 0.00% |
| 1.70 R ISWP FWD USL3M P 09/20/2019 | 0.00% |
| BACM 2004-4 XC IO P/P 144A 00.0164 07/10/2042 | 0.00% |
| BACM 2004-5 XC IO P/P 144A 00.4259 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 00.2541 02/10/2051 | 0.00% |
| BSCMS 04-PR3I X1 IO 00.1901 02/11/2041 | 0.00% |
| BSCMS 06-PW14 X1 IO P/P 144A 00.3679 12/11/2038 | 0.00% |
| CAS 2014-C03 1M1 02.4161 07/25/2024 | 0.00% |
| CD 2007-CD4 XW IO P/P 144A 00.7442 12/11/2049 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 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 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.7 2047-01-17 200.0 01/17/2047 CS | 0.00% |
| CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 JP | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | 0.00% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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 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-.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% |
| COMM 2006-C8 XS IO P/P 144A 00.6229 12/10/2046 | 0.00% |
| CONTL AIRLINES 1997-4 06.9000 01/02/2018 | 0.00% |
| CPURNSA P 2.05 R 07/05/27 BC | 0.00% |
| CPURNSA P 2.085 R 07/03/27 BC | 0.00% |
| CPURNSA R 1.89 P 07/05/22 BC | 0.00% |
| CPURNSA R 1.9225 P 07/03/22 BC | 0.00% |
| CSMC 2007-C2 AX IO P/P 144A 00.1133 01/15/2049 | 0.00% |
| FHR 3117 AF 00.0000 02/15/2036 | 0.00% |
| FHR 3175 MO PO 00.0000 06/15/2036 | 0.00% |
| FHR 3326 WF 00.0000 10/15/2035 | 0.00% |
| FHR 3369 BO PO 00.0000 09/15/2037 | 0.00% |
| FPLUS 1997-3 B1 07.7900 11/10/2023 | 0.00% |
| GECMC 2005-C3 XC IO P/P 144A 00.0734 07/10/2045 | 0.00% |
| GMACC 1997-C1 X IO 01.6002 07/15/2029 | 0.00% |
| GMACC 2005-C1 X1 IO P/P 144A 00.6006 05/10/2043 | 0.00% |
| GNR 2006-36 OD PO 00.0000 07/16/2036 | 0.00% |
| GNR 2011-116 IB IO 05.0000 10/20/2040 | 0.00% |
| GSMS 2006-GG6 XC IO P/P 144A 00.0000 04/10/2038 | 0.00% |
| IOS.FN30.300.13 P USL1M R 01/12/44 GS | 0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 CS | 0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 GS | 0.00% |
| IOS.FN30.350.12 P USL1M R 01/12/43 JP | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 BC | 0.00% |
| IOS.FN30.350.12 R USL1M P 01/12/43 BC | 0.00% |
| IOS.FN30.350.14 R USL1M P 01/12/45 CS | 0.00% |
| IOS.FN30.400.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 BA | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 CS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 GS | 0.00% |
| IOS.FN30.400.10 R USL1M P 01/12/41 JP | 0.00% |
| IOS.FN30.400.13 R USL1M P 01/12/44 JP | 0.00% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.00% |
| IOS.FN30.400.14 R USL1M P 01/12/45 CS | 0.00% |
| IOS.FN30.400.14 R USL1M P 01/12/45 GS | 0.00% |
| IOS.FN30.450.10 R USL1M P 01/12/41 BA | 0.00% |
| IOS.FN30.450.10 R USL1M P 01/12/41 GS | 0.00% |
| IOS.FN30.500.08 P USL1M R 01/12/39 CS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 BC | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 CS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 GS | 0.00% |
| IOS.FN30.500.10 P USL1M R 01/12/41 JP | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 BC | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.600.08 R USL1M P 01/12/39 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 BC | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.FN30.650.67 R USL1M P 01/12/38 GS | 0.00% |
| IOS.GII30.500.10 P USL1M R 01/12/41 JP | 0.00% |
| IOS.GII30.500.10 R USL1M P 01/12/41 CS | 0.00% |
| JPMCC 05-CB12 X1 IO P/P 144A 00.3804 09/12/2037 | 0.00% |
| JPMCC 06-LDP6 X1 IO P/P 144A 00.0108 04/15/2043 | 0.00% |
| JPMCC 2006-LDP8 X IO 00.5336 05/15/2045 | 0.00% |
| LBUBS 2005-C2 XCL IO P/P 144A 00.1950 04/15/2040 | 0.00% |
| LBUBS 2005-C7 XCL IO P/P 144A 00.4815 11/15/2040 | 0.00% |
| LBUBS 2007-C2 XCL IO P/P 144A 00.4577 02/15/2040 | 0.00% |
| LBUBS 2007-C2 XW IO 00.4577 02/15/2040 | 0.00% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.400.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.450.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.500.09 R USL1M P 01/12/40 BC | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.500.10 R USL1M P 01/12/41 CI | 0.00% |
| MBX.FN30.600.08 P USL1M R 01/12/39 BC | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 BC | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.FN30.650.67 P USL1M R 01/12/38 GS | 0.00% |
| MBX.GII30.500.10 R USL1M P 01/12/41 BC | 0.00% |
| MEZZ 2004-C1 X IO P/P 144A 09.3210 01/15/2037 | 0.00% |
| MEZZ 2005-C3 X IO P/P 144A 07.1563 05/15/2044 | 0.00% |
| MEZZ 2006-C4 X IO P/P 144A 03.3714 07/15/2045 | 0.00% |
| MLMT 2004-KEY2 XC IO P/P 144A 00.5373 08/12/2039 | 0.00% |
| MLMT 2005-MCP1 XC IO P/P 144A 00.0050 06/12/2043 | 0.00% |
| PPL CAPITAL FUNDING INC 03.4000 06/01/2023 | 0.00% |
| SWPTN 1MX10Y P 2.491 USD 07/10/2017 CI | 0.00% |
| SWPTN 1MX10Y R 1.891 USD 07/10/2017 CI | 0.00% |
| SWPTN 1MX10Y R 1.9275 USD 07/27/2017 CI | 0.00% |
| SWPTN 1MX10Y R 2.08475 USD 07/10/2017 CI | 0.00% |
| SWPTN 1MX1Y R 1.44 USD 07/19/2017 GS | 0.00% |
| SWPTN 1MX1Y R 1.446 USD 07/19/2017 CS | 0.00% |
| SWPTN 1MX1Y R 1.8225 USD 07/19/2017 CS | 0.00% |
| SWPTN 1MX1Y R 1.9245 USD 07/19/2017 GS | 0.00% |
| SWPTN 2MX10Y P 2.7225 USD 07/25/2017 CS | 0.00% |
| SWPTN 3MX10Y R 1.799 USD 07/18/2017 JP | 0.00% |
| SWPTN 3MX10Y R 1.999 USD 07/18/2017 JP | 0.00% |
| SWPTN 3MX1Y R 1.674 USD 07/06/2017 GS | 0.00% |
| SWPTN 3MX1Y R 1.779 USD 07/06/2017 GS | 0.00% |
| SWPTN 3MX2Y P 2.419 USD 08/02/2017 GS | 0.00% |
| SWPTN 5WX10Y R 2.132 USD 07/21/2017 CI | 0.00% |
| SWPTN 5WX30Y R 2.326 USD 07/21/2017 CI | 0.00% |
| SWPTN 6MX1Y P 1.495 USD 07/05/2017 BA | 0.00% |
| SWPTN 6MX3Y P 2.082 USD 07/05/2017 BA | 0.00% |
| SWPTN 6MX3Y R 1.728 USD 07/05/2017 BA | 0.00% |
| US 10YR NOTE (CBT)SEP17 TYU7 | 0.00% |
| US 10YR ULTRA FUT SEP17 UXYU7 | 0.00% |
| US 2YR NOTE (CBT) SEP17 TUU7 | 0.00% |
| US 5YR NOTE (CBT) SEP17 FVU7 | 0.00% |
| US LONG BOND(CBT) SEP17 USU7 | 0.00% |
| US ULTRA BOND CBT SEP17 WNU7 | 0.00% |
| WBCMT 2006-C26 XC IO P/P 144A 00.0662 06/15/2045 | 0.00% |
| WBCMT 2006-C29 IO IO 00.4944 11/15/2048 | 0.00% |
| WBCMT 2007-C34 IO IO 00.4614 05/15/2046 | 0.00% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | -0.01% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP | -0.01% |
| MBX.FN30.500.10 R USL1M P 01/12/41 BC | -0.01% |
| SWPTN 1MX10Y P 2.291 USD 07/10/2017 CI | -0.01% |
| SWPTN 1MX10Y P 2.4175 USD 07/27/2017 CI | -0.01% |
| SWPTN 3MX2Y P 2.404 USD 08/02/2017 BA | -0.01% |
| SWPTN 3MX2Y R 1.563 USD 09/06/2017 GS | -0.01% |
| SWPTN 5WX10Y R 2.152 USD 07/21/2017 CI | -0.01% |
| 2.45 R ISWP FWD USL3M P 09/20/2047 | -0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | -0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS | -0.02% |
| CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS | -0.02% |
| SWPTN 13WX10Y R 2.31 USD 08/14/2017 GS | -0.02% |
| SWPTN 13WX10Y R 2.805 USD 08/14/2017 GS | -0.02% |
| SWPTN 1MX10Y R 2.15375 USD 07/21/2017 CS | -0.02% |
| SWPTN 2MX10Y P 2.465 USD 07/25/2017 CS | -0.02% |
| SWPTN 6MX1Y R 2.0625 USD 08/10/2017 CI | -0.02% |
| SWPTN 6MX2Y R 1.642 USD 12/07/2017 CI | -0.02% |
| SWPTN LIABILITY 2MX10Y P 2.5975 USD 08/30/2017 GS | -0.02% |
| SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC | -0.02% |
| SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC | -0.02% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.03% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.03% |
| SWPTN 3MX2Y P 1.563 USD 09/06/2017 GS | -0.03% |
| SWPTN 6MX10Y P 2.534 USD 10/18/2017 JP | -0.03% |
| SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS | -0.03% |
| SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS | -0.03% |
| 2.11504 R ISWP USL3M P 06/26/2027 | -0.04% |
| SWPTN 5WX10Y P 2.132 USD 07/21/2017 CI | -0.04% |
| SWPTN 6MX2Y P 1.642 USD 12/07/2017 CI | -0.04% |
| SWPTN 2WX10Y P 2.18 USD 07/11/2017 BA | -0.05% |
| SWPTN 3MX20Y R 2.5816 USD 08/11/2017 CS | -0.05% |
| SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA | -0.05% |
| SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC | -0.05% |
| SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA | -0.05% |
| SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC | -0.05% |
| SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA | -0.05% |
| SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA | -0.05% |
| SWPTN 6MX10Y R 2.257 USD 11/22/2017 CI | -0.06% |
| SWPTN LIABILITY 2MX10Y P 2.33 USD 08/30/2017 GS | -0.06% |
| FLR USL3M 6.00 03/07/2018 JP | -0.07% |
| SWPTN 5WX10Y P 2.152 USD 07/21/2017 CI | -0.07% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.08% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP | -0.08% |
| SWPTN 2MX10Y P 2.46 USD 08/30/2017 GS | -0.08% |
| SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA | -0.08% |
| SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI | -0.09% |
| SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA | -0.09% |
| 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% |
| CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS | -0.10% |
| SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA | -0.10% |
| SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI | -0.10% |
| SWPTN 6MX10Y P 2.257 USD 11/22/2017 CI | -0.10% |
| SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI | -0.11% |
| SWPTN 1MX10Y P 2.204 USD 07/14/2017 CI | -0.13% |
| SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA | -0.13% |
| SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP | -0.15% |
| SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA | -0.16% |
| SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA | -0.16% |
| CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS | -0.17% |
| SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP | -0.20% |
| SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP | -0.20% |
| CDX CDX.NA.HY.28 500.0 06/20/2022 | -0.26% |
| FHLMC FH30G TBA 03.0000 07/01/2047 | -0.39% |
Prior top 10 holdings
| Top 10 holdings as of 07/31/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 09/01/2047 | 12.84% |
| 2: Fnma Fn30 Tba 03.0000 09/01/2047 | 5.08% |
| 3: Fnma Fn30 Tba 02.5000 09/01/2047 | 3.02% |
| 4: Fnma Fn30 Tba 04.5000 09/01/2047 | 2.93% |
| 5: Gnma Gii30 Tba 03.0000 08/01/2047 | 1.58% |
| 6: Gnma Gii30 Tba 05.0000 08/01/2047 | 1.26% |
| 7: Bf0101 03.5000 06/01/2056 | 1.17% |
| 8: Wamu 2005-Ar13 A1c4 01.6622 10/25/2045 | 1.06% |
| 9: Cas 2016-C03 1m2 06.5322 10/25/2028 | 1.00% |
| 10: Stacr 2015-Dn1 M3 05.3822 01/25/2025 | 0.92% |
| Holdings represent 30.86% of portfolio | |
| Top 10 holdings as of 06/30/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 08/01/2047 | 11.31% |
| 2: Fnma Fn30 Tba 03.5000 07/01/2047 | 5.26% |
| 3: Fnma Fn30 Tba 03.0000 07/01/2047 | 3.15% |
| 4: Fnma Fn30 Tba 04.5000 07/01/2047 | 2.96% |
| 5: Gnma Gii30 Tba 03.5000 07/01/2047 | 2.04% |
| 6: Fnma Fn30 Tba 02.5000 07/01/2047 | 1.90% |
| 7: Gnma Gii30 Tba 03.0000 07/01/2047 | 1.59% |
| 8: Gnma Gii30 Tba 05.0000 07/01/2047 | 1.27% |
| 9: Bf0101 03.5000 06/01/2056 | 1.19% |
| 10: Fnma Fn30 Tba 02.5000 08/01/2047 | 1.14% |
| Holdings represent 31.81% of portfolio | |
| Top 10 holdings as of 05/31/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 07/01/2047 | 13.42% |
| 2: Fnma Fn30 Tba 03.5000 06/01/2047 | 3.26% |
| 3: Fnma Fn30 Tba 03.0000 07/01/2047 | 3.16% |
| 4: Fnma Fn30 Tba 02.5000 06/01/2047 | 3.06% |
| 5: Fnma Fn30 Tba 04.5000 06/01/2047 | 2.98% |
| 6: Gnma Gii30 Tba 03.5000 06/01/2047 | 2.06% |
| 7: Gnma Gii30 Tba 03.0000 06/01/2047 | 1.61% |
| 8: Gnma Gii30 Tba 05.0000 06/01/2047 | 1.28% |
| 9: Bf0101 03.5000 06/01/2056 | 1.20% |
| 10: Wamu 2005-Ar13 A1c4 01.4536 10/25/2045 | 1.10% |
| Holdings represent 33.13% of portfolio | |
| Top 10 holdings as of 04/30/17 | |
|---|---|
| 1: Fnma Fn30 Tba 03.5000 06/01/2047 | 18.26% |
| 2: Fnma Fn30 Tba 02.5000 05/01/2047 | 3.05% |
| 3: Fnma Fn30 Tba 04.5000 05/01/2047 | 2.98% |
| 4: Fnma Fn30 Tba 03.0000 06/01/2047 | 2.37% |
| 5: Gnma Gii30 Tba 03.0000 05/01/2047 | 1.60% |
| 6: Gnma Gii30 Tba 05.0000 05/01/2047 | 1.28% |
| 7: Wamu 2005-Ar13 A1c4 01.4206 10/25/2045 | 1.11% |
| 8: Cas 2016-C03 1m2 06.2906 10/25/2028 | 0.99% |
| 9: Stacr 2015-Dn1 M3 05.1406 01/25/2025 | 0.94% |
| 10: Fnma Fn30 Tba 06.0000 05/01/2047 | 0.90% |
| Holdings represent 33.48% of portfolio | |
Sector Weightings as of 07/31/17
| Cash Investment | Non-Cash Investment | Total Portfolio | ||||
|---|---|---|---|---|---|---|
| Weight | Spread Duration | Weight | Spread Duration | Weight | Spread Duration | |
| Agency pass-through | 13.70% | 0.85 | 29.68% | 1.77 | 43.38% | 2.62 |
| Commercial MBS | 18.98% | 0.73 | 11.32% | 0.50 | 30.30% | 1.23 |
| Investment-grade corporate bonds | 26.37% | 2.38 | 0.00% | 0.00 | 26.37% | 2.38 |
| Agency CMO | 18.24% | 0.48 | 0.59% | 0.02 | 18.83% | 0.50 |
| Net cash | 9.60% | 0.00 | 0.00% | 0.00 | 9.60% | 0.00 |
| Residential MBS (non-agency) | 8.48% | 0.40 | 0.00% | 0.00 | 8.48% | 0.40 |
| Asset-backed securities (ABS) | 0.72% | 0.00 | 0.00% | 0.00 | 0.72% | 0.00 |
| Municipal bonds | 0.48% | 0.06 | 0.00% | 0.00 | 0.48% | 0.06 |
| Emerging-market bonds | 0.27% | 0.03 | 0.00% | 0.00 | 0.27% | 0.03 |
| U.S. Treasury/agency | 0.05% | 0.00 | 0.00% | 1.64 | 0.05% | 1.64 |
| Interest rate swaps | 0.00% | 0.00 | 0.00% | -0.79 | 0.00% | -0.79 |
| High-yield corporate bonds | 3.11% | 0.22 | -3.94% | -0.16 | -0.83% | 0.06 |
Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.
Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.
Maturity detail includes only cash bonds and cash equivalents.
Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.
Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.