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 03/31/18

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/73
1 yr. 3% 3/106
3 yrs. 49% 48/97
5 yrs. 9% 8/93

Risk characteristics as of 03/31/18

Avg. Eff. Maturity 11.33
Avg. Price 87.96
Avg. Eff. Duration 6.16
Avg. Coupon 4.90
Avg. Yield to Maturity 4.76
Alpha (%) --
Beta 0.63
R squared 0.32
Standard deviation (3 yrs.) 2.96

Maturity details

0 to 1 yr. -6.98%
1 to 5 yrs. 16.65%
5 to 10 yrs. 75.79%
10 to 15 yrs. 3.19%
Over 15 yrs. 11.35%

Quality ratings

AAA 62.26%
AA 3.88%
A 11.55%
BBB 22.93%
BB 8.49%
B 2.98%
CCC and Below 2.12%
Not Rated -14.21%

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 03/31/18

Fiscal Year End December
Asset Class Putnam Hartford Capital Manager
Subaccount Status Open to new investors
Number of issues 1010
Turnover (fiscal year end) 848%
Net Assets $244M
Inception Date 02/01/88

Holdings

Top 10 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%
Top 10 holdings, total: 21.16%

 | Full portfolio  |  Prior top 10 holdings

Full Portfolio Holdings as of 12/31/17
FNMA FN30 TBA 03.5000 02/01/2048 10.99%
FNMA FN30 TBA 03.0000 01/01/2048 5.96%
FNMA FN30 TBA 02.5000 01/01/2048 3.07%
GNMA GII30 TBA 04.5000 01/01/2048 2.50%
GNMA GII30 TBA 04.0000 01/01/2048 2.48%
GNMA GII30 TBA 03.0000 01/01/2048 1.60%
GNMA GII30 TBA 05.0000 01/01/2048 1.27%
BF0101 03.5000 06/01/2056 1.14%
WAMU 2005-AR13 A1C4 01.9821 10/25/2045 1.05%
CAS 2016-C03 1M2 06.8521 10/25/2028 1.02%
STACR 2015-DN1 M3 05.7021 01/25/2025 0.93%
FNMA FN30 TBA 06.0000 01/01/2048 0.89%
FNMA FN30 TBA 05.5000 01/01/2048 0.87%
STACR 2015-DNA3 M2 04.4021 04/25/2028 0.83%
FNMA FN30 TBA 03.5000 01/01/2048 0.82%
CAS 2016-C03 2M2 07.4521 10/25/2028 0.80%
FNMA FN30 BH2620 03.5000 08/01/2047 0.80%
FHS 315 PO PO 00.0000 09/15/2043 0.74%
FNMA FN30 AS7363 03.0000 06/01/2046 0.73%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.70%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.67%
FNMA FN30 AL8994 04.0000 09/01/2045 0.66%
FHLMC FH30G G60314 04.0000 09/01/2045 0.62%
BMIR 2017-1 M2 P/P 144A 04.9021 10/25/2027 0.61%
CAS 2016-C01 2M2 08.5021 08/25/2028 0.56%
STACR 2016-HQA1 M3 07.9021 09/25/2028 0.56%
CAS 2016-C03 1M1 03.5521 10/25/2028 0.54%
WAMU 2005-AR17 A1B2 01.9621 12/25/2045 0.54%
CAS 2016-C02 1M2 07.5521 09/25/2028 0.52%
CITIGROUP INC 04.4500 09/29/2027 0.50%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.49%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.49%
CAS 2017-C01 1M2 05.1021 07/25/2029 0.48%
BCAP 2015-RR5 2A2 02.0717 01/26/2046 0.47%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.47%
BPCE SA P/P 144A 04.5000 03/15/2025 0.46%
WFRBS 2012-C10 D P/P 144A 04.4476 12/15/2045 0.45%
LLOYDS BANKING GROUP P/P 144A 06.6570 12/29/2049 0.43%
FHR 3835 FO PO 00.0000 04/15/2041 0.42%
FNMA FN30 TBA 04.5000 02/01/2048 0.42%
GNMA GII30 TBA 03.5000 01/01/2048 0.41%
GNMA GII30 MA4586 03.5000 07/20/2047 0.40%
WFCM 2012-LC5 D P/P 144A 04.7647 10/15/2045 0.40%
FHLMC FH30G Q45743 03.5000 01/01/2047 0.39%
FNMA FN30 AS8684 03.5000 01/01/2047 0.39%
GNMA GII30 635173 03.5000 02/20/2047 0.39%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.38%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.38%
FNMA FN30 BM1172 03.0000 03/01/2047 0.38%
GNR 2016-H23 NI IO 02.4489 10/20/2066 0.38%
ECOLAB INC P/P 144A 03.2500 12/01/2027 0.37%
FNMA FN30 BC1489 03.0000 08/01/2046 0.37%
BSCMS 2006-PW11 B P/P 144A 05.2790 03/11/2039 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 01.0212 06/10/2047 0.36%
STACR 2016-DNA2 M3 06.2021 10/25/2028 0.36%
BRDCOM CRP / FIN P/P 144A 03.8750 01/15/2027 0.35%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.35%
ROCKWELL COLLINS INC 04.3500 04/15/2047 0.35%
AT&T INC 04.2500 03/01/2027 0.34%
CBS CORP 04.6000 01/15/2045 0.34%
CGCMT 2014-GC21 D P/P 144A 04.8349 05/10/2047 0.34%
DBUBS 2011-LC3A D P/P 144A 05.3404 08/10/2044 0.34%
FHLMC FH30G G60861 03.5000 01/01/2047 0.34%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.34%
MORGAN STANLEY 04.3750 01/22/2047 0.34%
FNMA FN30 BC0960 04.0000 06/01/2046 0.33%
STACR 2016-DNA3 M3 06.5521 12/25/2028 0.33%
BARCLAYS PLC USD 04.8360 05/09/2028 0.32%
WFRBS 2011-C2 D P/P 144A 05.6525 02/15/2044 0.32%
WFRBS 2013-C15 D P/P 144A 04.4811 08/15/2046 0.32%
COMM 2014-CR17 C 04.7348 05/10/2047 0.31%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.31%
ENERGY TRANSFER PARTNERS 06.6250 02/15/2028 0.31%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.31%
WFRBS 2014-C22 XA IO 00.9107 09/15/2057 0.31%
CGCMT 2014-GC19 X IO 01.1964 03/10/2047 0.30%
ENERGY TRANSFER EQUITY L.P. 05.8750 01/15/2024 0.30%
GNR 2016-H02 HI IO 01.7287 01/20/2066 0.30%
GSMS 2014-GC18 C 04.9441 01/10/2047 0.30%
WFRBS 2013-C14 XA IO 00.8008 06/15/2046 0.30%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.29%
FNMA FN30 AY8222 04.5000 05/01/2045 0.29%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.29%
JPMBB 2013-C14 D P/P 144A 04.5688 08/15/2046 0.29%
MSBAM 2013-C10 E P/P 144A 04.0822 07/15/2046 0.29%
WEC ENERGY GROUP INC 03.5284 05/15/2067 0.29%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.28%
ANHEUSER-BUSCH INBEV FIN 04.9000 02/01/2046 0.27%
FNMA FN30 AX7296 04.5000 12/01/2044 0.27%
STACR 2016-HQA2 M3 06.7021 11/25/2028 0.27%
UBSBB 2012-C2 E P/P 144A 04.8942 05/10/2063 0.27%
FHLMC FH30G V80357 03.5000 08/01/2043 0.26%
FNMA FN30 AU1625 03.5000 07/01/2043 0.26%
MSBAM 2014-C17 D P/P 144A 04.6972 08/15/2047 0.26%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.26%
FNMA FN30 BD0189 03.5000 06/01/2046 0.25%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.25%
JPMCC 2011-C3 F P/P 144A 05.6311 02/15/2046 0.25%
STACR 2015-DNA2 M2 04.1521 12/25/2027 0.25%
WFRBS 2013-C17 C 05.1227 12/15/2046 0.25%
WFRBS 2014-C19 E P/P 144A 04.9711 03/15/2047 0.25%
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%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.24%
PUGET SOUND ENERGY INC 04.0106 06/01/2067 0.24%
CFCRE 2011-C2 E P/P 144A 05.7536 12/15/2047 0.23%
COMM 2012-LC4 XA IO P/P 144A 02.2137 12/10/2044 0.23%
FNMA FN30 BD0959 03.5000 06/01/2046 0.23%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.23%
NHEL 2004-2 M4 03.3521 09/25/2034 0.23%
STEEL DYNAMICS INC P/P 144A 04.1250 09/15/2025 0.23%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.22%
BECTON DICKINSON AND CO 04.6690 06/06/2047 0.22%
BMIR 2017-1 M1 P/P 144A 03.2521 10/25/2027 0.22%
CWCI 2007-C3 AJ 05.8394 05/15/2046 0.22%
GNR 2014-H11 GI IO 01.4834 06/20/2064 0.22%
JPMBB 2014-C22 XA IO 00.9203 09/15/2047 0.22%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.22%
CA TXB-VAR PURP 3 07.5000 04/01/2034 0.21%
GNMA GII30 BE1441 03.5000 11/20/2047 0.21%
GNR 2014-H07 BI IO 01.4577 05/20/2064 0.21%
GNR 2017-H08 NI IO 02.2302 03/20/2067 0.21%
JPMCC 2012-C6 E P/P 144A 05.1358 05/15/2045 0.21%
UBSBB 2012-C2 XA IO P/P 144A 01.3432 05/10/2063 0.21%
WFCM 2014-LC16 XA IO 01.3653 08/15/2050 0.21%
CAS 2014-C02 1M2 04.1521 05/25/2024 0.20%
CAS 2014-C04 1M2 06.4521 11/25/2024 0.20%
COMM 2014-CR18 E P/P 144A 03.6000 07/15/2047 0.20%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.20%
MSBAM 2013-C11 D P/P 144A 04.3690 08/15/2046 0.20%
MSBAM 2013-C7 XA IO 01.3899 02/15/2046 0.20%
WAMU 2005-AR11 A1C3 02.0621 08/25/2045 0.20%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.20%
BSCMS 2007-T26 AJ 05.5355 01/12/2045 0.19%
COMM 2014-UBS6 XA IO 01.0193 12/10/2047 0.19%
COMMERZBANK AG P/P 144A 08.1250 09/19/2023 0.19%
CSAIL 2015-C1 D P/P 144A 03.7980 04/15/2050 0.19%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.19%
FNMA FN30 AW7089 04.5000 07/01/2044 0.19%
GNR 2015-H13 AI IO 02.1448 06/20/2065 0.19%
GNR 2017-H14 EI IO 01.5840 06/20/2067 0.19%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.19%
JPMCC 2011-C3 E P/P 144A 05.6311 02/15/2046 0.19%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.19%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 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%
COMM 2013-CR11 XA IO 01.1264 08/10/2050 0.18%
COMM 2014-CR19 XA IO 01.2236 08/10/2047 0.18%
CROWN CASTLE TOWERS P/P 144A 04.8830 08/15/2020 0.18%
FHR 3065 DC 15.4289 03/15/2035 0.18%
FORD MOTOR COMPANY 04.3460 12/08/2026 0.18%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.18%
GNR 2017-H12 QI IO 02.0646 05/20/2067 0.18%
GSMS 2013-GC10 XA IO 01.5573 02/10/2046 0.18%
N TX HWY-TXB-B 06.7180 01/01/2049 0.18%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.18%
WFRBS 2012-C10 XA IO P/P 144A 01.5814 12/15/2045 0.18%
AMGEN INC 04.6630 06/15/2051 0.17%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.17%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.17%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.17%
GNR 2017-H10 MI IO 01.7635 04/20/2067 0.17%
GSMS 2013-GC10 E P/P 144A 04.4123 02/10/2046 0.17%
JPMBB 2014-C26 D P/P 144A 03.9241 01/15/2048 0.17%
JPMCC 2010-C1 D P/P 144A 06.1943 06/15/2043 0.17%
MSBAM 2013-C12 XA IO 00.8744 10/15/2046 0.17%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.17%
STACR 2017-HQA1 M2 05.1021 08/25/2029 0.17%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.17%
UBSBB 2012-C2 F P/P 144A 04.8942 05/10/2063 0.17%
AMAZON.COM INC P/P 144A 03.1500 08/22/2027 0.16%
FHR 3852 NT 04.5230 05/15/2041 0.16%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.16%
GNR 2016-111 IP IO 03.5000 08/20/2046 0.16%
GNR 2017-H09 DI IO 01.8990 03/20/2067 0.16%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.16%
JPMCC 2012-C8 D P/P 144A 04.6540 10/15/2045 0.16%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.16%
MSBAM 2012-C6 F P/P 144A 04.5752 11/15/2045 0.16%
WYNDHAM WORLDWIDE CORP 04.5000 04/01/2027 0.16%
AON PLC USD 04.2500 12/12/2042 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%
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 4663 KI IO 03.5000 11/15/2042 0.15%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.15%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.15%
GNR 2015-60 IP IO 04.0000 04/20/2045 0.15%
GNR 2015-H12 EI IO 01.6957 04/20/2065 0.15%
GNR 2016-H06 AI IO 01.8285 02/20/2066 0.15%
GNR 2016-H14 IO IO 01.6754 06/20/2066 0.15%
JPMCC 2011-C5 D P/P 144A 05.4076 08/15/2046 0.15%
LNSTR 2015-3 C P/P 144A 03.1131 04/20/2048 0.15%
STACR 2016-DNA2 M2 03.7521 10/25/2028 0.15%
SWPTN 10YX20Y R 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%
WILLIAMS PARTNERS LP 04.3000 03/04/2024 0.15%
21ST CENTURY FOX AMERICA 07.7500 12/01/2045 0.14%
ARC PROP OPER PART L 04.6000 02/06/2024 0.14%
BACM 2005-1 B 05.5044 11/10/2042 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%
FHR 4158 TI IO 03.0000 12/15/2042 0.14%
FHR 4176 DI IO 03.0000 12/15/2042 0.14%
GNR 2011-17 S IO 04.5489 02/20/2041 0.14%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.14%
GNR 2015-H04 AI IO 01.8155 12/20/2064 0.14%
GNR 2015-H12 GI IO 01.7917 05/20/2065 0.14%
GNR 2016-H11 HI IO 02.0832 01/20/2066 0.14%
GRUPO TELEVISA SAB USD 06.6250 01/15/2040 0.14%
JPMCC 2007-CB20 E P/P 144A 06.2772 02/12/2051 0.14%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.14%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.14%
SASC 2006-AM1 A4 01.7121 04/25/2036 0.14%
STACR 2013-DN2 M2 05.8021 11/25/2023 0.14%
STACR 2014-DN2 M3 05.1521 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%
TEXAS-NEW MEXICO PR P/P 144A 09.5000 04/01/2019 0.14%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.14%
WFRBS 2011-C4 E P/P 144A 05.2468 06/15/2044 0.14%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.14%
WFRBS 2012-C9 XA IO P/P 144A 01.9618 11/15/2045 0.14%
WFRBS 2014-C24 XA IO 00.9517 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%
EASTMAN CHEMICAL CO 03.8000 03/15/2025 0.13%
FHR 3408 EK 19.8497 04/15/2037 0.13%
FHR 4546 TI IO 04.0000 12/15/2045 0.13%
FNR 2005-122 SE 17.6675 11/25/2035 0.13%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.13%
JPMBB 2013-C14 E P/P 144A 04.5688 08/15/2046 0.13%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.13%
JPMCC 2012-LC9 XA IO 01.5605 12/15/2047 0.13%
MICROSOFT CORP 02.4000 08/08/2026 0.13%
ORACLE CORP 02.6500 07/15/2026 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 2013-C11 XA IO P/P 144A 01.2303 03/15/2045 0.13%
WILLIAMS PARTNERS L.P. 04.8750 03/15/2024 0.13%
21ST CENTURY FOX AMERICA 07.8500 03/01/2039 0.12%
CAS 2015-C02 2M2 05.5521 05/25/2025 0.12%
COMM 2014-LC15 XA IO 01.3239 04/10/2047 0.12%
CSMC 2007-C4 C P/P 144A 06.0732 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 4165 AI IO 03.5000 02/15/2043 0.12%
FHR 4601 PI IO 04.5000 12/15/2045 0.12%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.12%
FNMA FN30 AR3945 03.0000 03/01/2043 0.12%
FNR 2006-8 HP 18.8755 03/25/2036 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 01.8510 05/20/2065 0.12%
GNR 2015-H25 AI IO 01.6145 09/20/2065 0.12%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.12%
GNR 2016-H04 KI IO 01.7303 02/20/2066 0.12%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.12%
GSMS 2010-C1 D P/P 144A 06.0509 08/10/2043 0.12%
GSMS 2014-GC18 XA IO 01.1172 01/10/2047 0.12%
JPMBB 2013-C14 C 04.5688 08/15/2046 0.12%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.12%
MSC 2008-T29 F P/P 144A 06.3131 01/11/2043 0.12%
MSC 2012-C4 XA IO P/P 144A 02.0951 03/15/2045 0.12%
OH UNIV-TXB-C-BABS 04.9100 06/01/2040 0.12%
SPST 2017-1 A 02.4521 02/25/2049 0.12%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.12%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.12%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.12%
UBSBB 2013-C6 XA IO P/P 144A 01.2275 04/10/2046 0.12%
UBSCM 2012-C1 XA IO P/P 144A 02.0810 05/10/2045 0.12%
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%
BP CAPITAL MARKETS PLC USD 03.1190 05/04/2026 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
CREDIT SUISSE GRP AG P/P 144A 04.2820 01/09/2028 0.11%
GNR 2010-H19 GI IO 01.4097 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-H25 CI IO 02.0978 10/20/2065 0.11%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.11%
GSMS 2013-GC12 XA IO 01.5251 06/10/2046 0.11%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.11%
JPMBB 2013-C17 XA IO 00.8588 01/15/2047 0.11%
JPMCC 2013-LC11 X IO 01.3400 04/15/2046 0.11%
KRAFT HEINZ FOODS CO 06.5000 02/09/2040 0.11%
MSC 2016-BNK2 XA IO 01.1141 11/15/2049 0.11%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.11%
ORACLE CORP 03.2500 11/15/2027 0.11%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.11%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.11%
SWPTN 1YX1Y P 1.919 USD 08/15/2018 JP 0.11%
SWPTN 1YX1Y P 1.9325 USD 08/16/2018 BA 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%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.11%
WFRBS 2012-C9 XB IO P/P 144A 00.6970 11/15/2045 0.11%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
AMERICAN TOWER CORP 04.0000 06/01/2025 0.10%
CFCRE 2011-C2 D P/P 144A 05.7536 12/15/2047 0.10%
COMCAST CORP 03.9990 11/01/2049 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%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
FNR 2005-106 JC 15.3112 12/25/2035 0.10%
FNR 2006-62 PS 30.5872 07/25/2036 0.10%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.10%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.10%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.10%
GSMS 2011-GC5 XA IO P/P 144A 01.3525 08/10/2044 0.10%
GSMS 2014-GC18 D P/P 144A 04.9441 01/10/2047 0.10%
JPMCC 2013-C16 XA IO 01.1083 12/15/2046 0.10%
MOODY'S CORPORATION P/P 144A 03.2500 01/15/2028 0.10%
MSBAM 2015-C25 XA IO 01.1348 10/15/2048 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%
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%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.09%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.09%
CAS 2015-C04 2M2 07.1021 04/25/2028 0.09%
CGCMT 2012-GC8 XA IO P/P 144A 01.8138 09/10/2045 0.09%
CGCMT 2013-GC17 X IO 01.4142 11/10/2046 0.09%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.09%
COMM 2012-CR1 XA IO 01.8775 05/15/2045 0.09%
COMM 2014-UBS6 C 04.4646 12/10/2047 0.09%
FHR 3072 SM 04.2533 11/15/2035 0.09%
FHR 4074 KS IO 05.2230 02/15/2041 0.09%
FHR 4182 GI IO 03.0000 01/15/2043 0.09%
FHR 4500 GI IO 04.0000 08/15/2045 0.09%
FIRSTENERGY CORP 04.8500 07/15/2047 0.09%
FNR 12-118 PI IO 04.0000 06/25/2042 0.09%
FNR 2011-4 CS 09.7957 05/25/2040 0.09%
GENERAL ELECTRIC CO 05.0000 12/29/2049 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 01.4895 03/20/2064 0.09%
GNR 2015-H09 BI IO 01.6918 03/20/2065 0.09%
GNR 2015-H28 DI IO 01.5491 08/20/2065 0.09%
GNR 2016-H27 BI IO 02.4129 12/20/2066 0.09%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.09%
GSMS 2013-GC12 D P/P 144A 04.4423 06/10/2046 0.09%
HCA INC 05.5000 06/15/2047 0.09%
LIBERTY MUTUAL GROUP P/P 144A 04.4935 03/15/2037 0.09%
MSBAM 2014-C17 XA IO 01.2324 08/15/2047 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%
SANTANDER ISSUANCES USD 05.1790 11/19/2025 0.09%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 0.09%
WFRBS 2011-C5 XA IO P/P 144A 01.7546 11/15/2044 0.09%
WFRBS 2012-C7 D P/P 144A 04.8255 06/15/2045 0.09%
AES CORP/VA 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%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.08%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.08%
CREDIT AGRICOLE SA P/P 144A 04.3750 03/17/2025 0.08%
DIAMOND 1 FIN/DIAMON P/P 144A 05.4500 06/15/2023 0.08%
ENERGY TRANSFER LP 06.1250 12/15/2045 0.08%
FHR 2990 LB 13.1705 06/15/2034 0.08%
FHR 4132 IP IO 04.5000 11/15/2042 0.08%
FNMA FN30 AT0942 03.0000 04/01/2043 0.08%
FNR 2007-53 SP 18.5089 06/25/2037 0.08%
FNR 2012-22 CI IO 04.0000 03/25/2041 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-H10 CI IO 01.8076 04/20/2065 0.08%
GNR 2015-H15 JI IO 01.9453 06/20/2065 0.08%
GNR 2015-H16 XI IO 02.2281 07/20/2065 0.08%
GNR 2016-H24 JI IO 02.3471 11/20/2066 0.08%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.08%
GRUPO BIMBO SAB P/P 144A 04.8750 06/27/2044 0.08%
GSMS 2014-GC24 XA IO 00.8349 09/10/2047 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%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.08%
MLMT 2008-C1 AJ 06.4478 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%
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%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.08%
SW AIRLINES 07-1 TRUST 06.1500 08/01/2022 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%
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%
WBCMT 2006-C26 AJ 06.0270 06/15/2045 0.08%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
AMAZON.COM INC P/P 144A 04.0500 08/22/2047 0.07%
APPALACHIAN POWER CO 05.8000 10/01/2035 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
CITIGROUP INC 04.7500 05/18/2046 0.07%
DEVON ENERGY CORPORATION 03.2500 05/15/2022 0.07%
DUKE ENERGY CORP 03.1500 08/15/2027 0.07%
FHR 4141 PI IO 03.0000 12/15/2042 0.07%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.07%
FNR 2010-35 SG IO 04.8479 04/25/2040 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 2015-77 DI IO 03.5000 05/20/2045 0.07%
GNR 2015-H01 CI IO 01.6376 12/20/2064 0.07%
GNR 2015-H17 CI IO 01.6155 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 00.9677 11/15/2047 0.07%
LEAR CORP 03.8000 09/15/2027 0.07%
MERCK & CO INC 03.7000 02/10/2045 0.07%
SERVICE CORP INTL 04.6250 12/15/2027 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
SWPTN 2YX30Y P 2.518 USD 05/17/2019 CI 0.07%
SWPTN 7YX5Y P 2.647 USD 06/03/2024 BA 0.07%
SWPTN 7YX5Y P 2.654 USD 06/03/2024 CI 0.07%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
UNITEDHEALTH GROUP INC 04.6250 11/15/2041 0.07%
VERIZON COMM 04.5220 09/15/2048 0.07%
VMWARE INC 03.9000 08/21/2027 0.07%
WAMU 2005-AR1 A2B 02.3521 01/25/2045 0.07%
WFRBS 2013-C12 XA IO P/P 144A 01.3072 03/15/2048 0.07%
WFRBS 2014-C19 D P/P 144A 04.2340 03/15/2047 0.07%
21ST CENTURY FOX AMERICA 07.7500 01/20/2024 0.06%
ABBVIE INC 03.6000 05/14/2025 0.06%
AXA SA P/P 144A 06.4630 12/29/2049 0.06%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.06%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 GS 0.06%
CONSOLIDATED EDISON CO O 04.2000 03/15/2042 0.06%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.06%
FNR 2005-75 GS 15.5936 08/25/2035 0.06%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.06%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.06%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.06%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.06%
GENERAL MOTORS CO 04.8750 10/02/2023 0.06%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.06%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.06%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.06%
GNR 2013-34 PI IO 04.5000 08/20/2039 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 01.8197 08/20/2065 0.06%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.06%
LIBERTY MUTUAL INSUR P/P 144A 07.6970 10/15/2097 0.06%
MSRR 2015-R4 CB1 00.5977 08/26/2047 0.06%
NORFOLK SOUTHERN COR P/P 144A 04.0500 08/15/2052 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%
STACR 2016-HQA2 M1 02.7521 11/25/2028 0.06%
SWPTN 4YX1Y P 2.25 USD 08/16/2021 JP 0.06%
SWPTN 4YX1Y P 2.2625 USD 08/16/2021 BA 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%
WFMBS 2005-AR16 6A4 03.4461 10/25/2035 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
ALLERGAN FUNDING SCS USD 03.8000 03/15/2025 0.05%
ALTRIA GROUP INC 04.0000 01/31/2024 0.05%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.05%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.05%
CAS 2017-C06 2M2 04.3521 02/25/2030 0.05%
CBS CORP 02.9000 01/15/2027 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 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%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.05%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 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%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.05%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.05%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.05%
GNMA GII30 AY4779 04.4940 03/20/2067 0.05%
GNMA GII30 BA7681 04.6220 06/20/2067 0.05%
GNR 2013-18 GI IO 03.5000 05/20/2041 0.05%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.05%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.05%
GSMS 2012-GC6 D P/P 144A 05.6521 01/10/2045 0.05%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 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 04.3718 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%
SABMILLER HLDG INC 04.9500 01/15/2042 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 4YX1Y R 2.25 USD 08/16/2021 JP 0.05%
SWPTN 4YX1Y R 2.2625 USD 08/16/2021 BA 0.05%
SWPTN 5WX10Y R 2.3388 USD 02/01/2018 MS 0.05%
SWPTN LIABILITY 2YX20Y R 2.875 USD 11/18/2019 GS 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%
ANADARKO PETROLEUM CORP 07.2000 03/15/2029 0.04%
ANTHEM INC 04.6250 05/15/2042 0.04%
BANK OF AMERICA CORP 02.3485 09/15/2026 0.04%
CAS 2016-C06 1M2 05.8021 04/25/2029 0.04%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.04%
CIT GROUP INC 05.0000 08/01/2023 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.04%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.04%
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 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 4122 TI IO 04.5000 10/15/2042 0.04%
FNMA FN30 BC5322 03.5000 03/01/2046 0.04%
FNMA FN30 BC7330 03.5000 12/01/2046 0.04%
FNMA FN30 BD8704 03.5000 12/01/2046 0.04%
FNMA FN30 BE4222 03.5000 12/01/2046 0.04%
GEORGIA-PACIFIC LLC 07.7500 11/15/2029 0.04%
GNMA GII30 BB0107 04.7000 08/20/2067 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 2013-129 SN IO 04.6489 09/20/2043 0.04%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.04%
GNR 2015-H22 EI IO 01.6195 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%
INTERNATIONAL PAPER CO 03.0000 02/15/2027 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%
PEACHTREE FUNDING TR P/P 144A 03.9760 02/15/2025 0.04%
PRUDENTIAL FINANCIAL INC 06.6250 06/21/2040 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%
SL GREEN REALTY CORP 05.0000 08/15/2018 0.04%
SPST 2017-LD1 A 02.3521 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 R 3.005 USD 11/16/2029 GS 0.04%
SWPTN 2YX8Y R 2.5925 USD 01/24/2019 BA 0.04%
SWPTN 3WX10Y R 2.363 USD 01/17/2018 CI 0.04%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS 0.04%
SWPTN 7YX25Y R 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%
SWPTN LIABILITY 5WX10Y P 2.42 USD 02/01/2018 MS 0.04%
SWPTN LIABILITY 5WX10Y R 2.42 USD 02/01/2018 MS 0.04%
TELEFONICA EMISIONES SAU USD 07.0450 06/20/2036 0.04%
TIME WARNER INC 03.8000 02/15/2027 0.04%
2.10 R ISWP FWD US0003M P 03/21/2020 0.03%
ANHEUSER-BUSCH INBEV FIN 03.6500 02/01/2026 0.03%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 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 01.1722 04/10/2047 0.03%
CVS HEALTH CORP 04.7500 12/01/2022 0.03%
ENERGY TRANSFER LP 05.2000 02/01/2022 0.03%
ENERGY TRANSFER LP 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%
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 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%
HOST HOTELS & RESORTS LP 06.0000 10/01/2021 0.03%
HYATT HOTELS CORP 03.3750 07/15/2023 0.03%
JABIL INC 08.2500 03/15/2018 0.03%
JPMORGAN CHASE & CO 05.1500 12/29/2049 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%
O'REILLY AUTOMOTIVE INC 03.8500 06/15/2023 0.03%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.03%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.03%
SWPTN 12YX10Y P 2.725 USD 11/08/2029 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 13WX3Y P 1.964 USD 01/08/2018 JP 0.03%
SWPTN 1YX5Y R 2.695 USD 10/04/2018 GS 0.03%
SWPTN 2MX10Y R 2.28 USD 02/22/2018 CI 0.03%
SWPTN 2MX10Y R 2.298 USD 01/30/2018 CI 0.03%
SWPTN 5WX10Y P 2.5012 USD 02/01/2018 MS 0.03%
SWPTN 5WX10Y R 2.33875 USD 01/26/2018 CS 0.03%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI 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 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%
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%
2.30 R ISWP FWD US0003M P 03/21/2023 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%
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%
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 19.0042 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 13.3585 11/25/2034 0.02%
GECMC 2007-C1 XC IO P/P 144A 00.2860 12/10/2049 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 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%
LBCMT 1999-C1 G P/P 144A 06.4100 06/15/2031 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 02/06/18 CALL 99.8125 JPMC 0.02%
PRICELINE GROUP INC/THE 03.6500 03/15/2025 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%
SHERWIN-WILLIAMS CO 02.7500 06/01/2022 0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.02%
SWPTN 2MX10Y P 2.526 USD 01/30/2018 CI 0.02%
SWPTN 2YX10Y P 2.2525 USD 11/12/2019 JP 0.02%
SWPTN 2YX10Y P 2.47 USD 11/08/2019 GS 0.02%
SWPTN 2YX10Y R 2.47 USD 11/08/2019 GS 0.02%
SWPTN 2YX10Y R 2.7725 USD 11/18/2019 GS 0.02%
SWPTN 2YX5Y R 2.203 USD 06/03/2019 BA 0.02%
SWPTN 2YX5Y R 2.205 USD 06/03/2019 BC 0.02%
SWPTN 2YX8Y P 2.5925 USD 01/24/2019 BA 0.02%
SWPTN 3WX10Y P 2.493 USD 01/17/2018 CI 0.02%
SWPTN 6MX30Y R 2.485 USD 03/26/2018 GS 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%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 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%
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%
CPURNSA R 1.89 P 07/05/22 0.01%
CSFB 1998-C1 F P/P 144A 06.0000 05/17/2040 0.01%
CVS PASS-THROUGH TRUST 06.0360 12/10/2028 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%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.01%
JPMCC 2007-CB20 B P/P 144A 06.2772 02/12/2051 0.01%
JPMCC 2007-LDPX X IO 00.1415 01/15/2049 0.01%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 BC 0.01%
MLCFC 2006-4 XC IO P/P 144A 00.5136 12/12/2049 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
OPTN FN30 3.0 02/06/18 CALL 100.0 JPMC 0.01%
OPTN FN30 3.0 02/06/18 CALL 100.03125 JPMC 0.01%
OPTN FN30 3.0 02/06/18 CALL 99.875 JPMC 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.0859375 JPMC 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.2109375 JPMC 0.01%
OPTN FN30 3.0 03/06/18 PUT 99.3359375 JPMC 0.01%
SWPTN 1MX10Y P 2.478 USD 01/11/2018 CI 0.01%
SWPTN 1MX10Y R 2.318 USD 01/11/2018 CI 0.01%
SWPTN 1YX1Y R 1.919 USD 08/15/2018 JP 0.01%
SWPTN 1YX1Y R 1.9325 USD 08/16/2018 BA 0.01%
SWPTN 2YX10Y P 2.7725 USD 11/18/2019 GS 0.01%
SWPTN 2YX10Y R 2.2525 USD 11/12/2019 JP 0.01%
SWPTN 2YX3Y P 2.43 USD 02/15/2019 BC 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 R 2.553 USD 11/08/2019 JP 0.01%
SWPTN 6MX10Y R 2.27 USD 03/26/2018 GS 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%
2.55 R ISWP FWD US0003M P 03/21/2048 0.00%
BACM 2004-4 XC IO P/P 144A 00.0512 07/10/2042 0.00%
BACM 2004-5 XC IO P/P 144A 00.4310 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 00.4115 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0092 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 00.3351 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.5533 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 00.6551 12/10/2046 0.00%
CONTL AIRLINES 1997-4 06.9000 01/02/2018 0.00%
CPURNSA R 1.9225 P 07/03/22 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.0406 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 00.1111 07/10/2045 0.00%
GMACC 1997-C1 X IO 01.4414 07/15/2029 0.00%
GMACC 2005-C1 X1 IO P/P 144A 00.9822 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%
JPMCC 05-CB12 X1 IO P/P 144A 00.3760 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 00.3075 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 00.3534 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.2596 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.2596 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 2004-C1 X IO P/P 144A 09.3210 01/15/2037 0.00%
MEZZ 2005-C3 X IO P/P 144A 06.7545 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 06.3769 07/15/2045 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 00.6727 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0027 06/12/2043 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.6171875 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.703125 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.8046875 JPMC 0.00%
OPTN FN30 3.0 02/06/18 CALL 100.859375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.0859375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.2109375 JPMC 0.00%
OPTN FN30 3.0 03/06/18 PUT 98.3359375 JPMC 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 0.00%
STACR 2014-HQ3 M2 04.2021 10/25/2024 0.00%
SWPTN 13WX10Y P 2.4115 USD 01/08/2018 JP 0.00%
SWPTN 13WX10Y R 2.3205 USD 01/08/2018 JP 0.00%
SWPTN 13WX3Y R 1.964 USD 01/08/2018 JP 0.00%
SWPTN 1YX1Y R 1.9175 USD 10/04/2018 GS 0.00%
SWPTN 2YX5Y P 2.553 USD 11/08/2019 JP 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 5WX10Y P 2.505 USD 01/08/2018 CI 0.00%
SWPTN 5WX10Y P 2.63625 USD 01/26/2018 CS 0.00%
SWPTN 5WX10Y R 2.205 USD 01/08/2018 CI 0.00%
SWPTN 6MX1Y R 1.85125 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 1.9175 USD 03/26/2018 CI 0.00%
SWPTN 6MX1Y R 2.01 USD 04/30/2018 MS 0.00%
SWPTN 6MX1Y R 2.05 USD 03/26/2018 CI 0.00%
SWPTN 7WX10Y R 2.218 USD 01/12/2018 GS 0.00%
SWPTN 7WX10Y R 2.2875 USD 01/12/2018 GS 0.00%
SWPTN 8WX10Y P 2.68675 USD 01/26/2018 GS 0.00%
SWPTN 8WX10Y R 2.10125 USD 01/26/2018 GS 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)MAR18 TYH8 0.00%
US 10YR ULTRA FUT MAR18 UXYH8 0.00%
US 2YR NOTE (CBT) MAR18 TUH8 0.00%
US 5YR NOTE (CBT) MAR18 FVH8 0.00%
US LONG BOND(CBT) MAR18 USH8 0.00%
US ULTRA BOND CBT MAR18 WNH8 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
WBCMT 2006-C26 XC IO P/P 144A 00.0511 06/15/2045 0.00%
WBCMT 2006-C29 IO IO 00.2005 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.1486 05/15/2046 0.00%
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-.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%
IOS.GII30.500.10 R USL1M P 01/12/41 CS -0.01%
MBX.FN30.500.10 R USL1M P 01/12/41 BC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.21484375 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.2890625 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.40234375 JPMC -0.01%
OPTN FN30 3.0 02/06/18 CALL 100.4453125 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.5859375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.7109375 JPMC -0.01%
OPTN FN30 3.0 03/06/18 PUT 98.8359375 JPMC -0.01%
SWPTN 2MX10Y P 2.675 USD 02/22/2018 CI -0.01%
SWPTN LIABILITY 2YX10Y P 2.7725 USD 11/18/2019 GS -0.01%
SWPTN LIABILITY 2YX10Y R 2.2525 USD 11/12/2019 JP -0.01%
SWPTN LIABILITY 2YX5Y P 2.155 USD 11/13/2019 MS -0.01%
SWPTN LIABILITY 2YX5Y P 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.34 USD 11/12/2019 CI -0.01%
SWPTN LIABILITY 2YX5Y R 2.553 USD 11/08/2019 JP -0.01%
2.48 R ISWP FWD US0003M P 02/26/2028 -0.02%
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%
FLR USL3M 6.00 03/07/2018 JP -0.02%
SWPTN 1MX10Y P 2.398 USD 01/11/2018 CI -0.02%
SWPTN 1MX10Y R 2.398 USD 01/11/2018 CI -0.02%
SWPTN 1YX1Y R 2.25 USD 08/15/2018 JP -0.02%
SWPTN 1YX1Y R 2.2625 USD 08/16/2018 BA -0.02%
SWPTN 2YX20Y P 2.875 USD 11/18/2019 GS -0.02%
SWPTN 2YX20Y R 2.36 USD 11/12/2019 JP -0.02%
SWPTN 2YX30Y P 2.615 USD 11/12/2019 CI -0.02%
SWPTN 2YX30Y P 2.826 USD 11/08/2019 JP -0.02%
SWPTN 2YX30Y R 2.43 USD 11/13/2019 MS -0.02%
SWPTN 3WX10Y P 2.428 USD 01/17/2018 CI -0.02%
SWPTN 7WX10Y R 2.357 USD 01/12/2018 GS -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%
2.48875 R ISWP FWD US0003M P 01/30/2028 -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%
SWPTN 1YX1Y P 2.25 USD 08/15/2018 JP -0.03%
SWPTN 1YX1Y P 2.2625 USD 08/16/2018 BA -0.03%
SWPTN 1YX1Y R 2.3025 USD 10/04/2018 GS -0.03%
SWPTN 2YX1Y R 1.919 USD 08/15/2019 JP -0.03%
SWPTN 2YX1Y R 1.9325 USD 08/16/2019 BA -0.03%
SWPTN 2YX20Y P 2.584 USD 11/08/2019 GS -0.03%
SWPTN 2YX20Y R 2.584 USD 11/08/2019 GS -0.03%
SWPTN 2YX30Y P 2.43 USD 11/13/2019 MS -0.03%
SWPTN 2YX30Y R 2.615 USD 11/12/2019 CI -0.03%
SWPTN 2YX30Y R 2.826 USD 11/08/2019 JP -0.03%
SWPTN 6MX20Y R 2.46 USD 03/26/2018 GS -0.03%
SWPTN LIABILITY 10YX20Y P 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 10YX20Y R 2.8175 USD 03/23/2027 GS -0.03%
SWPTN LIABILITY 12YX10Y P 3.005 USD 11/16/2029 GS -0.03%
SWPTN LIABILITY 12YX10Y R 2.5 USD 11/09/2029 JP -0.03%
SWPTN LIABILITY 2YX10Y P 2.2525 USD 11/12/2019 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%
SWPTN 2MX10Y P 2.412 USD 01/30/2018 CI -0.04%
SWPTN 2MX10Y R 2.412 USD 01/30/2018 CI -0.04%
SWPTN 2YX20Y P 2.36 USD 11/12/2019 JP -0.04%
SWPTN 2YX20Y R 2.875 USD 11/18/2019 GS -0.04%
SWPTN 3WX10Y R 2.428 USD 01/17/2018 CI -0.04%
SWPTN 5WX10Y P 2.42 USD 02/01/2018 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 5WX10Y P 2.5012 USD 02/01/2018 MS -0.04%
SWPTN LIABILITY 5WX10Y R 2.3388 USD 02/01/2018 MS -0.04%
SWPTN LIABILITY 7YX25Y P 2.689 USD 11/12/2024 CI -0.04%
SWPTN LIABILITY 7YX25Y R 2.689 USD 11/12/2024 CI -0.04%
SWPTN 2YX28Y P 2.7175 USD 01/24/2019 BA -0.05%
SWPTN 2YX30Y P 2.79 USD 02/15/2019 JP -0.05%
SWPTN 5WX10Y R 2.42 USD 02/01/2018 MS -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 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 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 2YX10Y R 2.413 USD 06/03/2019 BA -0.06%
SWPTN 2YX10Y R 2.42 USD 06/03/2019 CI -0.06%
2.45 R ISWP FWD US0003M P 03/21/2028 -0.07%
SWPTN 2YX10Y P 2.413 USD 06/03/2019 BA -0.08%
SWPTN 2YX10Y P 2.42 USD 06/03/2019 CI -0.08%
SWPTN 2YX5Y P 2.208 USD 05/17/2019 CI -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-.7 2047-01-17 300.0 01/17/2047 CS -0.10%
SWPTN 2YX28Y R 2.7175 USD 01/24/2019 BA -0.10%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.11%
SWPTN 2YX1Y P 1.919 USD 08/15/2019 JP -0.13%
SWPTN 2YX1Y P 1.9325 USD 08/16/2019 BA -0.13%
SWPTN 2YX30Y R 2.79 USD 02/15/2019 JP -0.13%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.16%
SWPTN LIABILITY 10YX20Y P 2.785 USD 01/25/2027 BA -0.16%
SWPTN LIABILITY 10YX20Y R 2.785 USD 01/25/2027 BA -0.16%
SWPTN LIABILITY 5YX30Y P 2.8325 USD 02/15/2022 JP -0.20%
SWPTN LIABILITY 5YX30Y R 2.8325 USD 02/15/2022 JP -0.20%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.21%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.22%
CDX CDX.NA.HY.29 500.0 12/20/2022 -0.31%
FHLMC FH30G TBA 03.0000 01/01/2048 -0.40%

Prior top 10 holdings

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
Top 10 holdings as of 01/31/18
1: Fnma Fn30 Tba 03.5000 03/01/2048 11.96%
2: Fnma Fn30 Tba 02.5000 03/01/2048 3.08%
3: Gnma Gii30 Tba 04.5000 02/01/2048 2.57%
4: Gnma Gii30 Tba 04.0000 02/01/2048 2.54%
5: Gnma Gii30 Tba 03.0000 02/01/2048 1.62%
6: Fnma Fn30 Tba 03.0000 03/01/2048 1.60%
7: Gnma Gii30 Tba 05.0000 02/01/2048 1.29%
8: Bf0101 03.5000 06/01/2056 1.15%
9: Wamu 2005-Ar13 A1c4 01.9914 10/25/2045 1.08%
10: Cas 2016-C03 1m2 06.8614 10/25/2028 1.06%
Holdings represent 27.95% of portfolio
Top 10 holdings as of 12/31/17
1: Fnma Fn30 Tba 03.5000 02/01/2048 10.99%
2: Fnma Fn30 Tba 03.0000 01/01/2048 5.96%
3: Fnma Fn30 Tba 02.5000 01/01/2048 3.07%
4: Gnma Gii30 Tba 04.5000 01/01/2048 2.50%
5: Gnma Gii30 Tba 04.0000 01/01/2048 2.48%
6: Gnma Gii30 Tba 03.0000 01/01/2048 1.60%
7: Gnma Gii30 Tba 05.0000 01/01/2048 1.27%
8: Bf0101 03.5000 06/01/2056 1.14%
9: Wamu 2005-Ar13 A1c4 01.9821 10/25/2045 1.05%
10: Cas 2016-C03 1m2 06.8521 10/25/2028 1.02%
Holdings represent 31.08% of portfolio

Sector Weightings as of 03/31/18

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 15.12% 0.98 20.71% 1.22 35.83% 2.20
Commercial MBS 16.26% 0.56 14.36% 0.54 30.62% 1.10
Investment-grade corporate bonds 27.01% 2.50 0.00% 0.00 27.01% 2.50
Agency CMO 18.07% 0.62 0.56% 0.02 18.63% 0.64
Net cash 11.15% 0.00 0.00% 0.00 11.15% 0.00
Residential MBS (non-agency) 8.48% 0.34 0.00% 0.00 8.48% 0.34
High-yield corporate bonds 2.73% 0.17 0.00% 0.00 2.73% 0.17
Asset-backed securities (ABS) 0.67% 0.00 0.00% 0.00 0.67% 0.00
Municipal bonds 0.51% 0.07 0.00% 0.00 0.51% 0.07
Interest rate swaps 0.00% 0.00 0.00% 0.23 0.00% 0.23
U.S. Treasury/agency 0.00% 0.00 0.00% 1.60 0.00% 1.60

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 03/31/18

United States 93.72%
Canada 1.20%
United Kingdom 1.19%
Bermuda 0.94%
France 0.90%
Netherlands 0.51%
Spain 0.49%
Switzerland 0.31%
Japan 0.26%
 
Other		 0.48%
Ireland 0.18%
Italy 0.11%
Germany 0.08%
Luxembourg 0.07%
Norway 0.04%