Putnam Hartford Capital Manager

Putnam Income Subaccount

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

Putnam Income Subaccount

Fund description

The subaccount takes a flexible approach to pursuing high current income by diversifying across a range of fixed-income sectors. These sectors include, but are not limited to, investment-grade corporate bonds, mortgage-backed securities, U.S. Treasuries, and high-yield corporate bonds. The subaccount seeks to capitalize on those market sectors and maturities

Sales story

Pursuing income with an all-weather bond portfolioDiverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed, corporate, and government bonds.A flexible strategy: The portfolio managers pursue an attractive level of income, adjusting the portfolio to favor attractive sectors as interest rates and market conditions change.Leading research: The managers, supported by Putnam's fixed-income research division, analyze a range of bonds to build a competitive portfolio.

Management team

Lipper ranking ‡ as of 05/31/18

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/74
1 yr. 2% 2/111
3 yrs. 38% 39/102
5 yrs. 5% 4/97

Risk characteristics as of 05/31/18

Avg. Eff. Maturity 10.55
Avg. Price 87.21
Avg. Eff. Duration 6.29
Avg. Coupon 4.42
Avg. Yield to Maturity 4.43
Alpha (%) --
Beta 0.65
R squared 0.34
Standard deviation (3 yrs.) 3.01

Maturity details

0 to 1 yr. 0.89%
1 to 5 yrs. 21.04%
5 to 10 yrs. 68.92%
10 to 15 yrs. 0.92%
Over 15 yrs. 8.23%

Quality ratings

AAA 58.84%
AA 3.78%
A 12.44%
BBB 22.30%
BB 7.55%
B 4.04%
CCC and Below 0.91%
Not Rated -9.86%

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 05/31/18

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 1172
Turnover (fiscal year end) 848%
Net Assets $242M
Inception Date 02/01/88

Holdings

Top 10 holdings as of 05/31/18

Fnma Fn30 Tba 03.5000 07/01/2048 4.12%
Fnma Fn30 Tba 03.0000 07/01/2048 3.61%
Gnma Gii30 Tba 04.0000 06/01/2048 2.55%
Gnma Gii30 Tba 04.5000 06/01/2048 2.15%
Gnma Gii30 Tba 03.5000 06/01/2048 2.08%
Fnma Fn30 Tba 02.5000 06/01/2048 1.55%
Fnma Fn40 Bf0169 3.500000 01/01/2057 1.14%
Bf0101 03.5000 06/01/2056 1.09%
Cas 2016-C03 1m2 07.2597 10/25/2028 1.08%
Wamu 2005-Ar13 A1c4 02.3897 10/25/2045 1.03%
Top 10 holdings, total: 20.40%

 | Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 03/31/18
FNMA FN30 TBA 03.5000 05/01/2048 6.14%
FNMA FN30 TBA 03.0000 04/01/2048 3.59%
GNMA GII30 TBA 04.0000 05/01/2048 2.52%
FNMA FN30 TBA 02.5000 04/01/2048 1.54%
GNMA GII30 TBA 05.0000 04/01/2048 1.29%
GNMA GII30 TBA 04.5000 04/01/2048 1.28%
GNMA GII30 TBA 04.5000 05/01/2048 1.27%
FNMA FN30 AL9657 03.5000 01/01/2047 1.25%
FNMA FN40 BF0169 3.500000 01/01/2057 1.17%
BF0101 03.5000 06/01/2056 1.11%
CAS 2016-C03 1M2 07.1715 10/25/2028 1.06%
WAMU 2005-AR13 A1C4 02.3015 10/25/2045 1.02%
FNMA FN30 TBA 06.0000 04/01/2048 0.91%
STACR 2015-DN1 M3 06.0215 01/25/2025 0.90%
FNMA FN30 TBA 05.5000 04/01/2048 0.89%
FNMA FN30 TBA 04.0000 04/01/2048 0.84%
CAS 2016-C03 2M2 07.7715 10/25/2028 0.83%
STACR 2015-DNA3 M2 04.7215 04/25/2028 0.78%
FHS 315 PO PO 00.0000 09/15/2043 0.73%
FNMA FN30 AS7363 03.0000 06/01/2046 0.72%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.69%
BMIR 2017-1 M2 P/P 144A 05.2215 10/25/2027 0.65%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.65%
FNMA FN30 AL8994 04.0000 09/01/2045 0.63%
SPST 2018-1 A 02.4747 04/24/2019 0.63%
FHLMC FH30G G60314 04.0000 09/01/2045 0.61%
STACR 2016-HQA1 M3 08.2215 09/25/2028 0.58%
WAMU 2005-AR17 A1B2 02.2815 12/25/2045 0.55%
CAS 2016-C02 1M2 07.8715 09/25/2028 0.54%
BCAP 2015-RR5 2A2 02.2708 01/26/2046 0.51%
CAS 2016-C03 1M1 03.8715 10/25/2028 0.49%
CAS 2017-C01 1M2 05.4215 07/25/2029 0.49%
CITIGROUP INC 04.4500 09/29/2027 0.49%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.48%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.47%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.46%
WFRBS 2012-C10 D P/P 144A 04.4478 12/15/2045 0.46%
BPCE SA P/P 144A 04.5000 03/15/2025 0.45%
FNMA FN30 TBA 04.5000 04/01/2048 0.43%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.41%
GNMA GII30 TBA 03.5000 04/01/2048 0.41%
LLOYDS BANKING GROUP P/P 144A 06.6570 05/21/2037 0.41%
GNMA GII30 TBA 03.0000 04/01/2048 0.40%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.39%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.39%
CVS HEALTH CORP 04.7800 03/25/2038 0.39%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.39%
FHR 3835 FO PO 00.0000 04/15/2041 0.39%
GNMA GII30 635173 03.5000 02/20/2047 0.39%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.38%
FNMA FN30 AS8684 03.5000 01/01/2047 0.38%
GNR 2016-H23 NI IO 02.1218 10/20/2066 0.38%
STACR 2016-DNA2 M3 06.5215 10/25/2028 0.38%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 0.37%
ECOLAB INC P/P 144A 03.2500 12/01/2027 0.37%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.37%
FNMA FN30 BC1489 03.0000 08/01/2046 0.37%
FNMA FN30 BM1172 03.0000 03/01/2047 0.37%
AT&T INC 04.2500 03/01/2027 0.36%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.36%
FNMA FN30 BC1445 03.0000 07/01/2046 0.36%
GSMS 2014-GC22 XA IO 01.0140 06/10/2047 0.35%
CGCMT 2014-GC21 D P/P 144A 04.8356 05/10/2047 0.34%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.34%
STACR 2016-DNA3 M3 06.8715 12/25/2028 0.34%
COMM 2014-CR17 C 04.7351 05/10/2047 0.33%
FHLMC FH30G G60861 03.5000 01/01/2047 0.33%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.33%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.32%
FNMA FN30 BC0960 04.0000 06/01/2046 0.32%
MORGAN STANLEY 04.3750 01/22/2047 0.32%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.32%
WFRBS 2011-C2 D P/P 144A 05.6522 02/15/2044 0.32%
WFRBS 2013-C15 D P/P 144A 04.4813 08/15/2046 0.32%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.31%
WFRBS 2013-C14 XA IO 00.7899 06/15/2046 0.31%
WFRBS 2014-C22 XA IO 00.9011 09/15/2057 0.31%
CGCMT 2014-GC19 X IO 01.1886 03/10/2047 0.30%
GSMS 2014-GC18 C 04.9444 01/10/2047 0.30%
JPMBB 2013-C14 D P/P 144A 04.5699 08/15/2046 0.30%
WEC ENERGY GROUP INC 03.9513 05/15/2067 0.30%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.30%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.29%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.29%
GNR 2016-H02 HI IO 01.6411 01/20/2066 0.29%
MSBAM 2013-C10 E P/P 144A 04.0822 07/15/2046 0.29%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.29%
STACR 2016-HQA2 M3 07.0215 11/25/2028 0.29%
FNMA FN30 AY8222 04.5000 05/01/2045 0.28%
UBSBB 2012-C2 E P/P 144A 04.8945 05/10/2063 0.28%
FNMA FN30 AX7296 04.5000 12/01/2044 0.27%
MSBAM 2014-C17 D P/P 144A 04.7062 08/15/2047 0.27%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.27%
FHLMC FH30G V80357 03.5000 08/01/2043 0.26%
JPMCC 2011-C3 F P/P 144A 05.6735 02/15/2046 0.26%
WFRBS 2014-C19 E P/P 144A 04.9717 03/15/2047 0.26%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.25%
FNMA FN30 AU1625 03.5000 07/01/2043 0.25%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.25%
WFRBS 2013-C17 C 05.1230 12/15/2046 0.25%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.24%
CFCRE 2011-C2 E P/P 144A 05.7546 12/15/2047 0.24%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.24%
EQT CORP 03.9000 10/01/2027 0.24%
FHLMC FH30G V80012 03.0000 03/01/2043 0.24%
FNMA FN30 AS4991 03.5000 05/01/2045 0.24%
FNMA FN30 BD0189 03.5000 06/01/2046 0.24%
FNMA FN30 BD0959 03.5000 06/01/2046 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%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.23%
COMM 2012-LC4 XA IO P/P 144A 02.2115 12/10/2044 0.22%
GNR 2014-H11 GI IO 01.4813 06/20/2064 0.22%
HSBC HOLDINGS PLC USD 06.3750 12/29/2049 0.22%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.22%
STACR 2015-DNA2 M2 04.4715 12/25/2027 0.22%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 0.22%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.21%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.21%
BMIR 2017-1 M1 P/P 144A 03.5715 10/25/2027 0.21%
CA TXB-VAR PURP 3 07.5000 04/01/2034 0.21%
GNMA GII30 BD1731 03.5000 01/20/2048 0.21%
GNMA GII30 BE1441 03.5000 11/20/2047 0.21%
GNR 2014-H07 BI IO 01.4638 05/20/2064 0.21%
GNR 2017-H08 NI IO 02.3986 03/20/2067 0.21%
JPMBB 2014-C22 XA IO 00.9128 09/15/2047 0.21%
JPMCC 2012-C6 E P/P 144A 05.1367 05/15/2045 0.21%
MICROSOFT CORP 02.4000 08/08/2026 0.21%
MSBAM 2013-C11 D P/P 144A 04.3673 08/15/2046 0.21%
NHEL 2004-2 M4 03.6715 09/25/2034 0.21%
UBSBB 2012-C2 XA IO P/P 144A 01.3400 05/10/2063 0.21%
WFCM 2014-LC16 XA IO 01.3554 08/15/2050 0.21%
BSCMS 2007-T26 AJ 05.5249 01/12/2045 0.20%
CAS 2014-C04 1M2 06.7715 11/25/2024 0.20%
CBS CORP 04.6000 01/15/2045 0.20%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.20%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.20%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.20%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.20%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.20%
JPMCC 2011-C3 E P/P 144A 05.6735 02/15/2046 0.20%
MSBAM 2013-C7 XA IO 01.3884 02/15/2046 0.20%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.20%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.20%
CSAIL 2015-C1 D P/P 144A 03.7978 04/15/2050 0.19%
CWCI 2007-C3 AJ 05.8120 05/15/2046 0.19%
FNMA FN30 AW7089 04.5000 07/01/2044 0.19%
GNR 2015-H13 AI IO 01.8569 06/20/2065 0.19%
GNR 2017-H14 EI IO 01.6085 06/20/2067 0.19%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.19%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.19%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.19%
WAMU 2005-AR11 A1C3 02.3815 08/25/2045 0.19%
COMM 2014-CR19 XA IO 01.2140 08/10/2047 0.18%
COMM 2014-UBS6 XA IO 01.0106 12/10/2047 0.18%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.18%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.18%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.18%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.18%
GSMS 2013-GC10 XA IO 01.5489 02/10/2046 0.18%
STACR 2017-HQA1 M2 05.4215 08/25/2029 0.18%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.18%
AMGEN INC 04.6630 06/15/2051 0.17%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.17%
BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 0.17%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.17%
DBUBS 2011-LC3A D P/P 144A 05.3414 08/10/2044 0.17%
FHR 4663 KI IO 03.5000 11/15/2042 0.17%
GNMA GII30 BD1729 03.5000 01/20/2048 0.17%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.17%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.17%
GNR 2017-H10 MI IO 01.7972 04/20/2067 0.17%
GNR 2017-H12 QI IO 02.1241 05/20/2067 0.17%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.17%
GSMS 2013-GC10 E P/P 144A 04.4122 02/10/2046 0.17%
MSBAM 2012-C6 F P/P 144A 04.5754 11/15/2045 0.17%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.17%
N TX HWY-TXB-B 06.7180 01/01/2049 0.17%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.17%
UBSBB 2012-C2 F P/P 144A 04.8945 05/10/2063 0.17%
WFRBS 2012-C10 XA IO P/P 144A 01.5798 12/15/2045 0.17%
AMAZON.COM INC P/P 144A 03.1500 08/22/2027 0.16%
COMM 2013-CR11 XA IO 01.1198 08/10/2050 0.16%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.16%
FHR 3065 DC 14.5302 03/15/2035 0.16%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.16%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.16%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.16%
GNR 2017-H09 DI IO 01.9023 03/20/2067 0.16%
JPMCC 2012-C8 D P/P 144A 04.6546 10/15/2045 0.16%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.16%
LNSTR 2015-3 C P/P 144A 03.1119 04/20/2048 0.16%
MSBAM 2013-C12 XA IO 00.8472 10/15/2046 0.16%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.16%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.16%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.16%
APPLE INC 04.3750 05/13/2045 0.15%
BACM 2005-1 B 05.5050 11/10/2042 0.15%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.15%
CENOVUS ENERGY INC USD 06.7500 11/15/2039 0.15%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.15%
COMCAST CORP 03.1500 03/01/2026 0.15%
COMM 2013-LC13 E P/P 144A 03.7191 08/10/2046 0.15%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.15%
FHR 3852 NT 04.2234 05/15/2041 0.15%
FHR 4546 TI IO 04.0000 12/15/2045 0.15%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.15%
GNR 2016-H06 AI IO 01.8620 02/20/2066 0.15%
GNR 2016-H11 HI IO 02.0850 01/20/2066 0.15%
GNR 2016-H14 IO IO 01.6795 06/20/2066 0.15%
JPMCC 2011-C5 D P/P 144A 05.4083 08/15/2046 0.15%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.15%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.15%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.15%
SWPTN LIABILITY 2YX30Y P 2.79 USD 02/15/2019 JP 0.15%
SWPTN LIABILITY 2YX30Y R 2.79 USD 02/15/2019 JP 0.15%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.15%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.15%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.14%
AON PLC USD 04.2500 12/12/2042 0.14%
ARC PROP OPER PART L 04.6000 02/06/2024 0.14%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.14%
CENOVUS ENERGY INC. USD 04.2500 04/15/2027 0.14%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.14%
COMM 2014-LC15 XA IO 01.3139 04/10/2047 0.14%
FHR 4158 TI IO 03.0000 12/15/2042 0.14%
FHR 4176 DI IO 03.0000 12/15/2042 0.14%
FHR 4601 PI IO 04.5000 12/15/2045 0.14%
GNR 2015-H12 EI IO 01.7014 04/20/2065 0.14%
GNR 2015-H12 GI IO 01.7955 05/20/2065 0.14%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.14%
JPMCC 2007-CB20 E P/P 144A 06.1740 02/12/2051 0.14%
SASC 2006-AM1 A4 02.0315 04/25/2036 0.14%
STACR 2013-DN2 M2 06.1215 11/25/2023 0.14%
STACR 2014-DN2 M3 05.4715 04/25/2024 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%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.14%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.14%
WFRBS 2014-C24 XA IO 00.9466 11/15/2047 0.14%
AXA SA P/P 144A 06.3790 12/29/2049 0.13%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.13%
CVS HEALTH CORP 05.0500 03/25/2048 0.13%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 0.13%
GNR 2011-17 S IO 04.2279 02/20/2041 0.13%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.13%
GNR 2015-H04 AI IO 01.5991 12/20/2064 0.13%
HOSPITALITY PROP TRUST 04.3750 02/15/2030 0.13%
JPMBB 2013-C14 E P/P 144A 04.5699 08/15/2046 0.13%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.13%
JPMCC 2012-LC9 XA IO 01.5592 12/15/2047 0.13%
MSC 2008-T29 F P/P 144A 06.2381 01/11/2043 0.13%
ORACLE CORP 03.2500 11/15/2027 0.13%
SAIL 2004-10 A10 02.7715 11/25/2034 0.13%
STACR 2016-DNA2 M2 04.0715 10/25/2028 0.13%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.13%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.13%
WESTROCK MWV LLC 08.2000 01/15/2030 0.13%
WFRBS 2012-C9 XA IO P/P 144A 01.9102 11/15/2045 0.13%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.12%
CAS 2015-C02 2M2 05.8715 05/25/2025 0.12%
CIT GROUP INC 05.2500 03/07/2025 0.12%
CSMC 2007-C4 C P/P 144A 05.9660 09/15/2039 0.12%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.12%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.12%
FHR 3408 EK 18.6443 04/15/2037 0.12%
FHR 4165 AI IO 03.5000 02/15/2043 0.12%
FNMA FN30 AR3945 03.0000 03/01/2043 0.12%
FNR 2005-122 SE 16.5498 11/25/2035 0.12%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.12%
GNMA GII30 BE1437 03.5000 11/20/2047 0.12%
GNMA GII30 BE1440 03.5000 11/20/2047 0.12%
GNMA GII30 OBD1715 03.5000 11/20/2047 0.12%
GNMA GII30 OBD1716 03.5000 11/20/2047 0.12%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.12%
GNR 2013-4 IC IO 04.0000 09/20/2042 0.12%
GNR 2015-H12 AI IO 01.8528 05/20/2065 0.12%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.12%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.12%
GSMS 2010-C1 D P/P 144A 06.0517 08/10/2043 0.12%
GSMS 2014-GC18 XA IO 01.1131 01/10/2047 0.12%
JPMBB 2013-C14 C 04.5699 08/15/2046 0.12%
MSC 2012-C4 XA IO P/P 144A 02.0935 03/15/2045 0.12%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.12%
ORACLE CORP 02.6500 07/15/2026 0.12%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.12%
WFRBS 2013-C11 XA IO P/P 144A 01.2260 03/15/2045 0.12%
ALPHABET INC 01.9980 08/15/2026 0.11%
AMERICAN EXPRESS CO 04.9000 12/29/2049 0.11%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.11%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
FNR 2006-8 HP 17.7045 03/25/2036 0.11%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.11%
GNR 2010-H19 GI IO 01.4156 08/20/2060 0.11%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.11%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.11%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.11%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.11%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.11%
GNR 2015-H25 AI IO 01.6181 09/20/2065 0.11%
GNR 2015-H25 CI IO 01.7752 10/20/2065 0.11%
GNR 2016-H04 KI IO 01.6920 02/20/2066 0.11%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.11%
JPMBB 2013-C17 XA IO 00.8538 01/15/2047 0.11%
JPMCC 2013-LC11 X IO 01.3293 04/15/2046 0.11%
MSC 2016-BNK2 XA IO 01.1099 11/15/2049 0.11%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.11%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.11%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 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%
UBSBB 2013-C6 XA IO P/P 144A 01.1478 04/10/2046 0.11%
UBSCM 2012-C1 XA IO P/P 144A 02.0775 05/10/2045 0.11%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.11%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.11%
WFRBS 2012-C9 XB IO P/P 144A 00.6997 11/15/2045 0.11%
WP CAREY INC 04.6000 04/01/2024 0.11%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
AMERICAN TOWER CORP 04.0000 06/01/2025 0.10%
AT&T INC 04.7500 05/15/2046 0.10%
CFCRE 2011-C2 D P/P 144A 05.7546 12/15/2047 0.10%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.10%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.10%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.10%
ENBRIDGE INC USD 04.2500 12/01/2026 0.10%
FHR 4500 GI IO 04.0000 08/15/2045 0.10%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.10%
GSMS 2013-GC12 XA IO 01.5193 06/10/2046 0.10%
JPMCC 2013-C16 XA IO 01.0900 12/15/2046 0.10%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.10%
MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 0.10%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.10%
SWPTN 17DX10Y R 2.8435 USD 04/06/2018 GS 0.10%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.10%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 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%
WEYERHAEUSER CO 07.3750 03/15/2032 0.10%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.10%
AT&T INC 03.4000 05/15/2025 0.09%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.09%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.09%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
CAS 2015-C04 2M2 07.4215 04/25/2028 0.09%
CGCMT 2012-GC8 XA IO P/P 144A 01.8114 09/10/2045 0.09%
COMCAST CORP 03.9990 11/01/2049 0.09%
COMM 2012-CR1 XA IO 01.8758 05/15/2045 0.09%
FHR 4074 KS IO 04.9234 02/15/2041 0.09%
FHR 4132 IP IO 04.5000 11/15/2042 0.09%
FNR 12-118 PI IO 04.0000 06/25/2042 0.09%
FNR 2005-106 JC 14.3209 12/25/2035 0.09%
FNR 2006-62 PS 28.6710 07/25/2036 0.09%
FNR 2011-4 CS 09.1570 05/25/2040 0.09%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.09%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.09%
GNMA GII30 AY2298 04.7000 05/20/2067 0.09%
GNR 2014-H08 CI IO 01.4934 03/20/2064 0.09%
GNR 2015-H09 BI IO 01.6957 03/20/2065 0.09%
GNR 2015-H28 DI IO 01.5556 08/20/2065 0.09%
GNR 2016-H27 BI IO 02.3526 12/20/2066 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.09%
GSMS 2011-GC5 XA IO P/P 144A 01.3515 08/10/2044 0.09%
HCA INC 05.5000 06/15/2047 0.09%
LIBERTY MUTUAL GROUP P/P 144A 05.0295 03/15/2037 0.09%
MSBAM 2014-C17 XA IO 01.2090 08/15/2047 0.09%
MSBAM 2015-C25 XA IO 01.1316 10/15/2048 0.09%
MSC 2007-HQ11 AJ 05.5080 02/12/2044 0.09%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.09%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.09%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 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 2011-C4 E P/P 144A 05.2395 06/15/2044 0.09%
WFRBS 2011-C5 XA IO P/P 144A 01.7507 11/15/2044 0.09%
WFRBS 2012-C7 D P/P 144A 04.8255 06/15/2045 0.09%
AES CORP/THE 05.1250 09/01/2027 0.08%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.08%
AMGEN INC 02.6000 08/19/2026 0.08%
APPLE INC 03.4500 05/06/2024 0.08%
AUTONATION INC. 05.5000 02/01/2020 0.08%
CANADIAN NATL RESOURCES USD 03.8500 06/01/2027 0.08%
CGCMT 2013-GC17 X IO 01.4027 11/10/2046 0.08%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.08%
ENERGY TRANSFER PARTNERS 06.1250 12/15/2045 0.08%
FHR 2990 LB 12.4049 06/15/2034 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
FHR 4182 GI IO 03.0000 01/15/2043 0.08%
FIRSTENERGY CORP 04.8500 07/15/2047 0.08%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.08%
GE CAPITAL INTL FUNDING USD 03.3730 11/15/2025 0.08%
GNMA 10000 BD1730 03.5000 01/20/2048 0.08%
GNMA GII30 BB3013 03.5000 11/20/2047 0.08%
GNMA GII30 BB3019 03.5000 11/20/2047 0.08%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.08%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.08%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.08%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.08%
GNR 2015-77 DI IO 03.5000 05/20/2045 0.08%
GNR 2015-H10 CI IO 01.8120 04/20/2065 0.08%
GNR 2015-H15 JI IO 01.9511 06/20/2065 0.08%
GNR 2015-H16 XI IO 01.9010 07/20/2065 0.08%
GNR 2016-H24 JI IO 02.0208 11/20/2066 0.08%
GSMS 2014-GC24 XA IO 00.8278 09/10/2047 0.08%
IBERDROLA INTL BV USD 06.7500 07/15/2036 0.08%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.08%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.08%
NEWELL BRANDS INC 04.2000 04/01/2026 0.08%
ONCOR ELECTRIC DELIVERY CO 07.0000 09/01/2022 0.08%
PHILLIPS 66 PARTNERS LP 03.7500 03/01/2028 0.08%
QVC INC 04.8500 04/01/2024 0.08%
RABOBANK NEDERLAND P/P 144A 11.0000 12/29/2049 0.08%
RMIR 2018-1 M2 04.2100 03/25/2028 0.08%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.08%
SWPTN 2YX5Y P 2.203 USD 06/03/2019 BA 0.08%
SWPTN 2YX5Y P 2.205 USD 06/03/2019 BC 0.08%
SWPTN 5WX10Y R 2.852 USD 04/17/2018 JP 0.08%
TARGA RESOURCES PART P/P 144A 05.0000 01/15/2028 0.08%
VALERO ENERGY PARTNERS 04.3750 12/15/2026 0.08%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.08%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.07%
CAS 2014-C02 1M2 04.4715 05/25/2024 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
CITIGROUP INC 04.7500 05/18/2046 0.07%
DUKE ENERGY CORP 03.1500 08/15/2027 0.07%
FHR 4141 PI IO 03.0000 12/15/2042 0.07%
FNMA FN30 AT0942 03.0000 04/01/2043 0.07%
FNR 2007-53 SP 17.3378 06/25/2037 0.07%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.07%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.07%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.07%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.07%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.07%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.07%
GNR 2015-H01 CI IO 01.6415 12/20/2064 0.07%
GNR 2015-H17 CI IO 01.6172 06/20/2065 0.07%
HCA INC 05.2500 06/15/2026 0.07%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.07%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.07%
JPMBB 2014-C25 XA IO 00.9621 11/15/2047 0.07%
JPMBB 2014-C26 D P/P 144A 03.9241 01/15/2048 0.07%
LEAR CORP 03.8000 09/15/2027 0.07%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.07%
SERVICE CORP INTL 04.6250 12/15/2027 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
SWPTN 7YX5Y R 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y R 2.654 USD 06/03/2024 CI 0.07%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
VERIZON COMM 04.5220 09/15/2048 0.07%
WAMU 2005-AR1 A2B 02.6715 01/25/2045 0.07%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.07%
ABBVIE INC 03.6000 05/14/2025 0.06%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.06%
AMAZON.COM INC P/P 144A 04.0500 08/22/2047 0.06%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.06%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.06%
COMM 2014-UBS6 C 04.4637 12/10/2047 0.06%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.06%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.06%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.06%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.06%
FNR 2005-75 GS 14.6355 08/25/2035 0.06%
FNR 2010-35 SG IO 04.5285 04/25/2040 0.06%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.06%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.06%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.06%
GENERAL MOTORS COMPANY 04.8750 10/02/2023 0.06%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.06%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.06%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.06%
GNR 2014-46 JI IO 03.5000 10/20/2041 0.06%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.06%
GNR 2015-H20 AI IO 01.8267 08/20/2065 0.06%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.06%
MERCK & CO INC 03.7000 02/10/2045 0.06%
PACIFICORP 06.2500 10/15/2037 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%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 0.06%
SWPTN LIABILITY 2YX20Y P 2.36 USD 11/12/2019 JP 0.06%
UAL 2007 PASS TRUST 06.6360 07/02/2022 0.06%
UNITEDHEALTH GROUP INC 02.9500 10/15/2027 0.06%
VMWARE INC 03.9000 08/21/2027 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.05%
ALLERGAN FUNDING SCS USD 03.8000 03/15/2025 0.05%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.05%
ANADARKO PETROLEUM CORP 05.5500 03/15/2026 0.05%
CAS 2016-C06 1M2 06.1215 04/25/2029 0.05%
CAS 2017-C06 2M2 04.6715 02/25/2030 0.05%
CBS CORP 02.9000 01/15/2027 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 0.05%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.05%
COMCAST CORP 06.5000 11/15/2035 0.05%
CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.05%
CVS PASS-THROUGH P/P 144A 04.7040 01/10/2036 0.05%
D.R. HORTON INC 05.7500 08/15/2023 0.05%
DEVON ENERGY CORPORATION 05.8500 12/15/2025 0.05%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.05%
FHR 4122 TI IO 04.5000 10/15/2042 0.05%
FHR 4183 MI IO 03.0000 02/15/2042 0.05%
FHR 4206 IP IO 03.0000 12/15/2041 0.05%
FNMA FN30 AB9238 03.0000 05/01/2043 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%
GNMA GII30 AY4779 04.4940 03/20/2067 0.05%
GNMA GII30 BB0107 04.7000 08/20/2067 0.05%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
GSMS 2012-GC6 D P/P 144A 05.6529 01/10/2045 0.05%
HARTFORD FINL SVCS GRP 08.1250 06/15/2038 0.05%
HESS CORP 07.3000 08/15/2031 0.05%
JPMCC 2012-LC9 D P/P 144A 04.3724 12/15/2047 0.05%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.05%
MID-AMERICA APARTMENTS 04.3000 10/15/2023 0.05%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.05%
OMNICOM GROUP INC 03.6000 04/15/2026 0.05%
PFIZER INC 03.0000 12/15/2026 0.05%
REPUBLIC SERVICES INC. 03.8000 05/15/2018 0.05%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.05%
SWPTN 4WX10Y R 2.8 USD 04/24/2018 JP 0.05%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.05%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 0.05%
VERIZON COMMUNICATIONS 04.1250 03/16/2027 0.05%
WELLS FARGO & COMPANY 05.8750 12/29/2049 0.05%
WFMBS 2005-AR16 6A4 03.4884 10/25/2035 0.05%
ANADARKO PETROLEUM CORP 07.2000 03/15/2029 0.04%
ANTHEM INC 04.6250 05/15/2042 0.04%
BANK OF AMERICA CORP 02.8845 09/15/2026 0.04%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.04%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.04%
CIT GROUP INC 05.0000 08/01/2023 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.04%
COMMONWEALTH EDISON CO 05.8750 02/01/2033 0.04%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 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%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.04%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.04%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.04%
FHLMC FH30G Q44946 03.5000 12/01/2046 0.04%
FHLMC FH30G Q45042 03.5000 12/01/2046 0.04%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.04%
FNMA FN30 BC5322 03.5000 03/01/2046 0.04%
FNMA FN30 BC7330 03.5000 12/01/2046 0.04%
FNMA FN30 BD8704 03.5000 12/01/2046 0.04%
FNMA FN30 BE4222 03.5000 12/01/2046 0.04%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.04%
GNMA GII30 BA7681 04.6290 06/20/2067 0.04%
GNMA GII30 BD3297 03.5000 11/20/2047 0.04%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.04%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.04%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.04%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.04%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.04%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.04%
GNR 2015-H22 EI IO 01.6285 08/20/2065 0.04%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.04%
HCA INC 05.0000 03/15/2024 0.04%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.04%
INTERNATIONAL PAPER CO 03.0000 02/15/2027 0.04%
JPMORGAN CHASE & CO 06.1000 02/01/2049 0.04%
KINDER MORGAN ENER PART 05.4000 09/01/2044 0.04%
METLIFE INC 06.4000 12/15/2036 0.04%
NVR INC 03.9500 09/15/2022 0.04%
O'REILLY AUTOMOTIVE INC 03.5500 03/15/2026 0.04%
OMEGA HLTHCARE INVES 04.5000 04/01/2027 0.04%
ONCOR ELECTRIC DELIVERY 04.1000 06/01/2022 0.04%
OPTN FN30 3.0 04/05/18 CALL 96.3515625 JPMC 0.04%
OPTN FN30 3.0 04/05/18 CALL 96.4375 JPMC 0.04%
OPTN FN30 3.0 04/05/18 CALL 96.4453125 JPMC 0.04%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.04%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 0.04%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.04%
SABMILLER HLDG INC 04.9500 01/15/2042 0.04%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.04%
SL GREEN REALTY CORP 05.0000 08/15/2018 0.04%
SPST 2017-LD1 A 02.6715 11/25/2050 0.04%
STATOIL ASA USD 05.1000 08/17/2040 0.04%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP 0.04%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 GS 0.04%
SWPTN 1MX10Y R 2.813 USD 04/19/2018 BA 0.04%
SWPTN 1MX10Y R 2.833 USD 04/05/2018 MS 0.04%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.04%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 4YX1Y R 2.25 USD 08/16/2021 JP 0.04%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.04%
SWPTN 5WX10Y R 2.787 USD 04/17/2018 JP 0.04%
SWPTN 6MX2Y P 2.49275 USD 07/16/2018 MS 0.04%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 0.04%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.04%
SWPTN LIABILITY 2YX30Y P 2.43 USD 11/13/2019 MS 0.04%
SWPTN LIABILITY 2YX30Y R 2.826 USD 11/08/2019 JP 0.04%
TIME WARNER INC 03.8000 02/15/2027 0.04%
WBCMT 2006-C26 AJ 06.0273 06/15/2045 0.04%
2.605 R ISWP FWD US0003M P 06/20/2020 0.03%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.03%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.03%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.03%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.03%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.03%
CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.03%
COMM 2014-CR16 XA IO 01.1628 04/10/2047 0.03%
CVS HEALTH CORP 04.7500 12/01/2022 0.03%
ENERGY TRANSFER PARTNERS 05.2000 02/01/2022 0.03%
ENERGY TRANSFER PARTNERS 06.5000 02/01/2042 0.03%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.03%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.03%
FHLMC FH30G Q44706 03.5000 12/01/2046 0.03%
FHR 4018 DI IO 04.5000 07/15/2041 0.03%
FIRSTENERGY CORP 03.9000 07/15/2027 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%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.03%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.03%
GNR 2012-48 KI IO 03.5000 12/16/2039 0.03%
GNR 2013-129 SN IO 04.3279 09/20/2043 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%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.03%
HYATT HOTELS CORP 03.3750 07/15/2023 0.03%
KINDER MORGAN INC 03.1500 01/15/2023 0.03%
MEDTRONIC INC 04.3750 03/15/2035 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%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.03%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y P 3.005 USD 11/16/2029 GS 0.03%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.03%
SWPTN 12YX10Y R 2.725 USD 11/08/2029 GS 0.03%
SWPTN 12YX10Y R 3.005 USD 11/16/2029 GS 0.03%
SWPTN 1MX10Y R 2.71 USD 04/27/2018 CI 0.03%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.03%
SWPTN 4WX10Y R 2.735 USD 04/24/2018 JP 0.03%
SWPTN 6MX2Y P 2.61575 USD 07/26/2018 MS 0.03%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP 0.03%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.03%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.03%
SWPTN LIABILITY 1WX10Y P 2.7825 USD 04/05/2018 CI 0.03%
SWPTN LIABILITY 2YX20Y P 2.584 USD 11/08/2019 GS 0.03%
SWPTN LIABILITY 2YX20Y R 2.584 USD 11/08/2019 GS 0.03%
SWPTN LIABILITY 2YX30Y P 2.615 USD 11/12/2019 CI 0.03%
SWPTN LIABILITY 2YX30Y R 2.615 USD 11/12/2019 CI 0.03%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.03%
TIME WARNER INC 02.9500 07/15/2026 0.03%
VERIZON COMMUNICATIONS 04.4000 11/01/2034 0.03%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.03%
AGRIUM INC USD 05.2500 01/15/2045 0.02%
ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 0.02%
BGC PARTNERS INC 05.1250 05/27/2021 0.02%
CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.02%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
CROWN CASTLE INTL CORP. 05.2500 01/15/2023 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 17.9058 05/15/2035 0.02%
FHR 3300 PO PO 00.0000 02/15/2037 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 12.5281 11/25/2034 0.02%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.02%
GNR 2011-116 IA IO 04.5000 10/20/2039 0.02%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.02%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.02%
HOST HOTELS & RESORTS LP 05.2500 03/15/2022 0.02%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.02%
KRAFT HEINZ FOODS CO 04.3750 06/01/2046 0.02%
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%
OPTN FN30 3.0 05/07/18 PUT 97.125 JPMC 0.02%
OPTN FN30 3.0 05/07/18 PUT 97.25 JPMC 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%
SHERWIN-WILLIAMS CO 02.7500 06/01/2022 0.02%
SWPTN 1MX10Y P 2.9 USD 04/27/2018 CI 0.02%
SWPTN 1MX10Y R 2.7075 USD 04/13/2018 WE 0.02%
SWPTN 1MX10Y R 2.743 USD 04/19/2018 BA 0.02%
SWPTN 1MX10Y R 2.763 USD 04/05/2018 MS 0.02%
SWPTN 1MX10Y R 2.82 USD 04/09/2018 GS 0.02%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 0.02%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3MX1Y P 2.79375 USD 06/05/2018 GS 0.02%
SWPTN 5WX10Y R 2.635 USD 04/30/2018 CI 0.02%
SWPTN 6MX2Y P 2.68 USD 07/16/2018 JP 0.02%
SWPTN 6MX2Y P 2.8375 USD 08/28/2018 MS 0.02%
SWPTN LIABILITY 2YX20Y P 2.875 USD 11/18/2019 GS 0.02%
SWPTN LIABILITY 2YX30Y P 2.826 USD 11/08/2019 JP 0.02%
SWPTN LIABILITY 2YX30Y R 2.43 USD 11/13/2019 MS 0.02%
SWPTN LIABILITY 5WX10Y P 2.935 USD 04/30/2018 CI 0.02%
WESTROCK MWV LLC 07.9500 02/15/2031 0.02%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.01%
AUTONATION INC 04.5000 10/01/2025 0.01%
CBRE SERVICES INC 05.2500 03/15/2025 0.01%
CBS CORP 04.0000 01/15/2026 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 ML 0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.01%
CPURNSA R 1.89 P 07/05/22 0.01%
CPURNSA R 1.9225 P 07/03/22 0.01%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 0.01%
FAIRFAX US INC P/P 144A 04.8750 08/13/2024 0.01%
FHR 3210 PO PO 00.0000 05/15/2036 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
FHR 3707 PI IO 04.5000 07/15/2025 0.01%
FN30 05.000 2008 0.01%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.01%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
GECMC 2007-C1 XC IO P/P 144A 00.1920 12/10/2049 0.01%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.01%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.01%
JPMCC 2007-LDPX X IO 00.1828 01/15/2049 0.01%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.01%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 0.01%
MLCFC 2006-4 XC IO P/P 144A 00.5123 12/12/2049 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
OPTN FN30 3.0 05/07/18 PUT 97.0 JPMC 0.01%
SWPTN 1MX10Y R 2.75 USD 04/09/2018 GS 0.01%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.01%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.01%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.01%
SWPTN 2YX3Y R 2.43 USD 02/15/2019 BC 0.01%
SWPTN 2YX5Y P 2.155 USD 11/13/2019 MS 0.01%
SWPTN 2YX5Y P 2.34 USD 11/12/2019 CI 0.01%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 0.01%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.01%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.01%
SWPTN 5WX1Y R 2.765 USD 04/09/2018 BC 0.01%
SWPTN 6MX1Y R 2.47 USD 08/14/2018 CI 0.01%
SWPTN LIABILITY 2YX20Y R 2.36 USD 11/12/2019 JP 0.01%
VEREIT OPERATING PARTNER 04.8750 06/01/2026 0.01%
2.75 R ISWP FWD US0003M P 06/20/2023 0.00%
2.7825 R ISWP US0003M P 04/09/2028 0.00%
2.785 R ISWP FWD US0003M P 05/02/2028 0.00%
2.85 R ISWP FWD US0003M P 06/20/2048 0.00%
2.864 R ISWP FWD US0003M P 04/19/2028 0.00%
2.923 R ISWP FWD US0003M P 04/19/2028 0.00%
BACM 2004-4 XC IO P/P 144A 00.0515 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4336 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 00.0068 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0032 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.0000 02/11/2041 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.4181 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.4365 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 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 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 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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
COMM 2006-C8 XS IO P/P 144A 00.6196 12/10/2046 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.0038 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%
GMACC 1997-C1 X IO 01.0789 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 00.9874 05/10/2043 0.00%
GNR 2006-36 OD PO 00.0000 07/16/2036 0.00%
GNR 2011-116 IB IO 05.0000 10/20/2040 0.00%
GNR 2013-16 IB IO 05.0000 10/20/2040 0.00%
IOS.FN30.300.13 P USL1M R 01/12/44 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 CS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 GS 0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 JP 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.00%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.10 P USL1M R 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.00%
IOS.FN30.400.14 R USL1M P 01/12/45 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 00.3741 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 00.2872 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 00.3553 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.2030 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.2030 02/15/2040 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.00%
MBX.FN30.600.08 P USL1M R 01/12/39 BC 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.FN30.650.67 P USL1M R 01/12/38 GS 0.00%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.00%
MEZZ 2005-C3 X IO P/P 144A 05.8927 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 05.4243 07/15/2045 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.5353 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0025 06/12/2043 0.00%
MLMT 2008-C1 AJ 06.4983 02/12/2051 0.00%
OPTN FN30 3.0 05/07/18 PUT 95.28125 JPMC 0.00%
OPTN FN30 3.0 05/07/18 PUT 95.40625 JPMC 0.00%
OPTN FN30 3.0 05/07/18 PUT 95.53125 JPMC 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 0.00%
SWPTN 13WX1Y R 2.355 USD 05/14/2018 MS 0.00%
SWPTN 17DX10Y P 2.9175 USD 04/06/2018 GS 0.00%
SWPTN 17DX10Y P 2.9915 USD 04/06/2018 GS 0.00%
SWPTN 1MX10Y P 3.1075 USD 04/13/2018 WE 0.00%
SWPTN 1MX1Y R 2.34 USD 04/05/2018 BC 0.00%
SWPTN 1MX1Y R 2.736 USD 04/05/2018 BC 0.00%
SWPTN 1MX2Y R 2.538 USD 04/05/2018 BC 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.00%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP 0.00%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA 0.00%
SWPTN 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
SWPTN 2YX5Y R 2.34 USD 11/12/2019 CI 0.00%
SWPTN 2YX5Y R 2.553 USD 11/08/2019 JP 0.00%
SWPTN 5WX1Y R 2.359 USD 04/09/2018 BC 0.00%
SWPTN 6MX1Y R 1.85125 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 2.01 USD 04/30/2018 MS 0.00%
SWPTN LIABILITY 2YX5Y P 2.553 USD 11/08/2019 JP 0.00%
SWPTN LIABILITY 2YX5Y R 2.155 USD 11/13/2019 MS 0.00%
US 10YR NOTE (CBT)JUN18 TYM8 0.00%
US 10YR ULTRA FUT JUN18 UXYM8 0.00%
US 2YR NOTE (CBT) JUN18 TUM8 0.00%
US 5YR NOTE (CBT) JUN18 FVM8 0.00%
US LONG BOND(CBT) JUN18 USM8 0.00%
US ULTRA BOND CBT JUN18 WNM8 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
WBCMT 2006-C26 XC IO P/P 144A 00.0508 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.1573 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.1503 05/15/2046 0.00%
2.903 R ISWP FWD US0003M P 04/09/2028 -0.01%
2.917 R ISWP FWD US0003M P 04/19/2028 -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 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.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 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 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 MS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 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%
CPURNSA P 2.05 R 07/05/27 -0.01%
CPURNSA P 2.085 R 07/03/27 -0.01%
OPTN FN30 3.0 04/05/18 CALL 97.3203125 JPMC -0.01%
OPTN FN30 3.0 04/05/18 CALL 97.4140625 JPMC -0.01%
OPTN FN30 3.0 04/05/18 CALL 97.421875 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.140625 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.265625 JPMC -0.01%
OPTN FN30 3.0 05/07/18 PUT 96.390625 JPMC -0.01%
SWPTN 13WX1Y R 2.71375 USD 05/14/2018 MS -0.01%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS -0.01%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.01%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.01%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.01%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.01%
SWPTN 3MX1Y P 2.90375 USD 06/05/2018 GS -0.01%
SWPTN 3MX1Y P 3.01375 USD 06/05/2018 GS -0.01%
SWPTN 3MX2Y P 2.646 USD 05/29/2018 MS -0.01%
SWPTN 5WX2Y R 2.5625 USD 04/09/2018 BC -0.01%
SWPTN 6MX1Y R 2.6325 USD 08/14/2018 CI -0.01%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.01%
SWPTN LIABILITY 2YX10Y R 2.2525 USD 11/12/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -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%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.02%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02%
OPTN FN30 3.0 04/05/18 CALL 96.9296875 JPMC -0.02%
OPTN FN30 3.0 04/05/18 CALL 96.9296875 JPMC -0.02%
SWPTN 1MX10Y P 2.805 USD 04/27/2018 CI -0.02%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.02%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.02%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.02%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.02%
SWPTN 5WX10Y P 2.935 USD 04/30/2018 CI -0.02%
SWPTN LIABILITY 2YX10Y P 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX10Y R 2.47 USD 11/08/2019 GS -0.02%
SWPTN LIABILITY 2YX3Y P 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 2YX3Y R 2.43 USD 02/15/2019 BC -0.02%
SWPTN LIABILITY 5WX10Y R 2.635 USD 04/30/2018 CI -0.02%
2.9075 R ISWP FWD US0003M P 04/17/2028 -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.03%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03%
OPTN FN30 3.0 04/05/18 CALL 96.8359375 JPMC -0.03%
SWPTN 1MX10Y R 2.805 USD 04/27/2018 CI -0.03%
SWPTN 1WX10Y P 2.7825 USD 04/05/2018 CI -0.03%
SWPTN 2YX10Y R 2.413 USD 06/03/2019 BA -0.03%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.03%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.03%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.03%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.03%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.03%
SWPTN LIABILITY 2YX10Y R 2.7725 USD 11/18/2019 GS -0.03%
SWPTN LIABILITY 7YX25Y P 2.902 USD 11/08/2024 JP -0.03%
SWPTN LIABILITY 7YX25Y R 2.505 USD 11/13/2024 MS -0.03%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP -0.04%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -0.04%
SWPTN 1MX10Y R 2.89 USD 04/09/2018 GS -0.04%
SWPTN 1YX2Y P 2.813 USD 01/28/2019 BC -0.04%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.04%
SWPTN 3MX2Y P 2.41625 USD 04/26/2018 MS -0.04%
SWPTN LIABILITY 12YX10Y P 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 2.725 USD 11/08/2029 GS -0.04%
SWPTN LIABILITY 12YX10Y R 3.005 USD 11/16/2029 GS -0.04%
SWPTN LIABILITY 2YX10Y P 2.2525 USD 11/12/2019 JP -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
2.90 R ISWP FWD US0003M P 06/20/2028 -0.05%
SWPTN 1YX2Y P 2.663 USD 01/14/2019 CI -0.05%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.05%
SWPTN LIABILITY 12YX10Y P 2.5 USD 11/09/2029 JP -0.05%
SWPTN LIABILITY 2YX5Y P 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y P 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 2YX5Y R 2.203 USD 06/03/2019 BA -0.05%
SWPTN LIABILITY 2YX5Y R 2.205 USD 06/03/2019 BC -0.05%
SWPTN LIABILITY 7YX25Y P 2.505 USD 11/13/2024 MS -0.05%
SWPTN LIABILITY 7YX25Y R 2.902 USD 11/08/2024 JP -0.05%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.06%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.06%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.06%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.06%
SWPTN 3MX2Y P 2.315 USD 04/16/2018 MS -0.06%
SWPTN LIABILITY 2YX8Y P 2.5925 USD 01/24/2019 BA -0.06%
SWPTN LIABILITY 2YX8Y R 2.5925 USD 01/24/2019 BA -0.06%
SWPTN 1MX10Y R 2.883 USD 04/19/2018 BA -0.07%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.07%
SWPTN 1MX10Y R 2.903 USD 04/05/2018 MS -0.08%
SWPTN 1YX2Y P 2.77 USD 01/16/2019 JP -0.08%
SWPTN 4WX10Y R 2.865 USD 04/24/2018 JP -0.08%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.09%
SWPTN LIABILITY 7YX5Y P 2.647 USD 06/03/2024 BA -0.09%
SWPTN LIABILITY 7YX5Y P 2.654 USD 06/03/2024 CI -0.09%
SWPTN LIABILITY 7YX5Y R 2.647 USD 06/03/2024 BA -0.09%
SWPTN LIABILITY 7YX5Y R 2.654 USD 06/03/2024 CI -0.09%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.10%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.10%
SWPTN 17DX10Y R 2.9175 USD 04/06/2018 GS -0.10%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.10%
SWPTN 5WX10Y R 2.917 USD 04/17/2018 JP -0.11%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.13%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.13%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.16%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -0.17%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.17%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.17%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.21%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.21%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.21%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.23%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.23%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.24%
FHLMC FH30G TBA 03.0000 04/01/2048 -0.40%
FHLMC FH30G TBA 03.5000 04/01/2048 -0.41%

Prior top 10 holdings

Top 10 holdings as of 05/31/18
1: Fnma Fn30 Tba 03.5000 07/01/2048 4.12%
2: Fnma Fn30 Tba 03.0000 07/01/2048 3.61%
3: Gnma Gii30 Tba 04.0000 06/01/2048 2.55%
4: Gnma Gii30 Tba 04.5000 06/01/2048 2.15%
5: Gnma Gii30 Tba 03.5000 06/01/2048 2.08%
6: Fnma Fn30 Tba 02.5000 06/01/2048 1.55%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.14%
8: Bf0101 03.5000 06/01/2056 1.09%
9: Cas 2016-C03 1m2 07.2597 10/25/2028 1.08%
10: Wamu 2005-Ar13 A1c4 02.3897 10/25/2045 1.03%
Holdings represent 20.40% of portfolio
Top 10 holdings as of 04/30/18
1: Fnma Fn30 Tba 03.5000 06/01/2048 4.52%
2: Fnma Fn30 Tba 03.0000 05/01/2048 3.60%
3: Gnma Gii30 Tba 04.5000 05/01/2048 2.58%
4: Gnma Gii30 Tba 04.0000 05/01/2048 2.54%
5: Gnma Gii30 Tba 03.5000 05/01/2048 2.07%
6: Fnma Fn30 Tba 02.5000 05/01/2048 1.54%
7: Gnma Gii30 Tba 05.0000 05/01/2048 1.31%
8: Fnma Fn30 Al9657 03.5000 01/01/2047 1.24%
9: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.16%
10: Bf0101 03.5000 06/01/2056 1.10%
Holdings represent 21.66% of portfolio
Top 10 holdings as of 03/31/18
1: Fnma Fn30 Tba 03.5000 05/01/2048 6.14%
2: Fnma Fn30 Tba 03.0000 04/01/2048 3.59%
3: Gnma Gii30 Tba 04.0000 05/01/2048 2.52%
4: Fnma Fn30 Tba 02.5000 04/01/2048 1.54%
5: Gnma Gii30 Tba 05.0000 04/01/2048 1.29%
6: Gnma Gii30 Tba 04.5000 04/01/2048 1.28%
7: Gnma Gii30 Tba 04.5000 05/01/2048 1.27%
8: Fnma Fn30 Al9657 03.5000 01/01/2047 1.25%
9: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.17%
10: Bf0101 03.5000 06/01/2056 1.11%
Holdings represent 21.16% of portfolio
Top 10 holdings as of 02/28/18
1: Fnma Fn30 Tba 03.5000 04/01/2048 8.23%
2: Fnma Fn30 Tba 03.0000 04/01/2048 2.80%
3: Gnma Gii30 Tba 04.5000 03/01/2048 2.58%
4: Gnma Gii30 Tba 04.0000 03/01/2048 2.55%
5: Fnma Fn30 Tba 02.5000 03/01/2048 1.54%
6: Gnma Gii30 Tba 05.0000 03/01/2048 1.30%
7: Fnma Fn30 Al9657 03.5000 01/01/2047 1.26%
8: Bf0101 03.5000 06/01/2056 1.13%
9: Cas 2016-C03 1m2 06.9207 10/25/2028 1.07%
10: Wamu 2005-Ar13 A1c4 02.0507 10/25/2045 1.05%
Holdings represent 23.51% of portfolio

Sector Weightings as of 05/31/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 16.20% 0.97 19.56% 1.12 35.76% 2.09
Commercial MBS 15.64% 0.52 13.88% 0.52 29.52% 1.04
Investment-grade corporate bonds 26.25% 2.25 0.00% 0.00 26.25% 2.25
Agency CMO 18.17% 0.64 0.55% 0.02 18.72% 0.66
Net cash 11.53% 0.00 0.00% 0.00 11.53% 0.00
Residential MBS (non-agency) 8.73% 0.36 0.00% 0.00 8.73% 0.36
Asset-backed securities (ABS) 1.17% 0.00 0.00% 0.00 1.17% 0.00
Municipal bonds 0.50% 0.06 0.00% 0.00 0.50% 0.06
Interest rate swaps 0.00% 0.00 0.00% 0.55 0.00% 0.55
U.S. Treasury/agency 0.00% 0.00 0.00% 1.72 0.00% 1.72
High-yield corporate bonds 1.81% 0.11 -6.85% -0.31 -5.04% -0.20

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 05/31/18

United States 94.18%
United Kingdom 1.09%
Canada 1.08%
Bermuda 0.94%
France 0.69%
Spain 0.59%
Netherlands 0.51%
Switzerland 0.31%
Japan 0.26%
 
Other		 0.35%
Ireland 0.18%
Germany 0.08%
Luxembourg 0.07%
Norway 0.02%