Putnam Allstate Advisor

Putnam Income Subaccount

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

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

Daily pricing as of 09/20/19

with optional enhanced death benefits
Unit Value $21.137739 $20.493263
Unit Value Change 0.036425 0.03523

Lipper ranking ‡ as of 08/31/19

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/75
1 yr. 6% 6/111
3 yrs. 2% 2/102
5 yrs. 12% 11/95

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 08/31/19

Fiscal Year End December
Asset Class Putnam Allstate Advisor
Subaccount Status Open to new investors
Number of issues 1097
Turnover (fiscal year end) 566%
Net Assets $259M
Inception Date 02/01/88

Performance

Performance as of 06/30/19

Annualized Performance Last Quarter Year
to Date
1 yr. 3 yrs. 5 yrs. 10 yrs. Life of
subaccount
Restated performance
Unit Value 3.80% 7.44% 6.85% 3.15% 1.61% 5.32% 4.82%
Standardized -5.21% -1.82% -2.37% -1.62% -2.24% 2.96% 2.96%
With optional enhanced death benefit
Unit Value 3.76% 7.36% 6.69% 3.00% 1.46% 5.16% 4.66%
Standardized -5.24% -1.90% -2.51% -1.78% -2.41% 2.78% 2.76%
Actual performance
Unit Value 3.80% 7.44% 6.85% 3.15% 1.61% 5.32% 3.67%
Standardized -5.21% -1.82% -2.37% -1.62% -2.24% 2.96% 0.90%
With optional enhanced death benefit
Unit Value 3.76% 7.36% 6.69% 3.00% 1.46% 5.16% 3.52%
Standardized -5.24% -1.90% -2.51% -1.78% -2.41% 2.78% 0.69%

Annual Performance at NAV

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
44.82% 8.50% 3.69% 9.36% 0.60% 5.13% -2.69% 0.73% 4.28% -1.05%
With optional enhanced death benefit
44.60% 8.33% 3.53% 9.19% 0.45% 4.97% -2.84% 0.58% 4.12% -1.20%

Restated performance

Monthly as of 08/31/19

Unit Value 2.94%
Standardized -6.01%

YTD as of 09/20/19

Unit Value 9.73%
Standardized 0.31%

With optional enhanced death benefit

Monthly as of 08/31/19

Unit Value 2.93%
Standardized -6.02%

YTD as of 09/20/19

Unit Value 9.61%
Standardized 0.20%

Unit values and performance information shown apply to the specific annuity product listed, not the underlying Putnam Variable Trust fund. This information should not be used by investors who hold an interest in Putnam Variable Trust funds through a different annuity or other variable product. The unit values and performance of other variable products that offer Putnam Variable Trust funds may be higher or lower due to product charges and expenses or other factors.

Data is historical. Past performance is no guarantee of future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units.

Returns shown for the subaccounts for periods before their inception are derived from the historical performance of the underlying fund, adjusted to reflect the mortality, expense risk, and surrender charges applicable to this product and do not factor in the annual $30 contract maintenance fee. Additional riders and options for insurance-related charges will increase expenses and lower returns. Please see the prospectus for details. For a portion of the period, subaccounts may have limited expenses, without which returns would have been lower.

Variable annuities are long-term investments designed for retirement purposes. Putnam Capital Manager products are flexible-premium variable annuities held by Talcott Resolution Life, Inc., Simsbury, CT.

Putnam Allstate variable annuities are flexible-premium deferred variable annuities issued by Allstate Life Insurance Company (Allstate Life); underwritten by Allstate Distributors, L.L.C., both of Northbrook, IL; and sold through registered representatives or bank employees who are licensed insurance agents. Please check for availability in your specific state.

These policies have limitations and are sold by prospectus only. The prospectus contains details on the variable annuity, the subaccounts, contract features, fees, expenses, and other pertinent information.

Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund before investing. For a prospectus containing this and other information for any variable annuity or variable life product that invests in Putnam Variable Trust funds, contact your financial advisor for a contract prospectus and prospectus for the underlying funds. You may also call Talcott Resolution at 1-800-521-0538 or Allstate at 1-800-390-1277. Read the prospectuses carefully before investing.

For the most recent month-end performance, please call Talcott Resolution at 1-800-521-0538 or Allstate at 1-800-390-1277.

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.

Risk Characteristics as of 08/31/19

Avg. Eff. Maturity 6.99
Avg. Price 93.50
Avg. Eff. Duration 6.23
Avg. Coupon 4.59
Avg. Yield to Maturity 3.61
Alpha (%) --
Beta 0.94
R Squared 0.84
Standard Deviation (3 yrs.) 3.38

Maturity Details

0 to 1 yr. -4.93%
1 to 5 yrs. 65.76%
5 to 10 yrs. 32.20%
10 to 15 yrs. 0.75%
Over 15 yrs. 6.22%

Quality Ratings

AAA 58.90%
AA 6.47%
A 12.25%
BBB 21.81%
BB 3.59%
B 3.06%
CCC and Below 0.94%
Not Rated -7.02%

Holdings

Top 10 holdings as of 08/31/19

Fnma Fn30 Tba Umbs 03.0000 09/01/2049 12.60%
Fnma Fn30 Tba Umbs 03.5000 09/01/2049 5.95%
Fnma Fn30 Tba Umbs 04.0000 09/01/2049 4.41%
Gnma Gii30 Tba 04.5000 09/01/2049 2.02%
Gnma Gii30 Tba 03.5000 09/01/2049 2.01%
Gnma Gii30 Tba 04.0000 09/01/2049 1.61%
Bf0101 03.5000 06/01/2056 0.93%
Fnma Fn30 Tba Umbs 06.0000 09/01/2049 0.85%
Fnma Fn30 Tba Umbs 05.5000 09/01/2049 0.83%
Wamu 2005-Ar13 A1c4 02.6960 10/25/2045 0.72%
Top 10 holdings, total: 31.93%

Full Portfolio Holdings as of 06/30/19

90DAY EURO$ FUTR SEP19 EDU9 26.03%
US 2YR NOTE (CBT) SEP19 TUU9 11.13%
US 5YR NOTE (CBT) SEP19 FVU9 6.73%
US ULTRA BOND CBT SEP19 WNU9 5.45%
FNMA FN30 TBA UMBS 03.5000 08/01/2049 4.54%
MBX.FN30.500.10 R USL1M P 01/12/41 BC 3.07%
FNMA FN30 TBA UMBS 04.0000 08/01/2049 2.92%
GNMA GII30 TBA 04.5000 07/01/2049 2.11%
GNMA GII30 TBA 03.5000 07/01/2049 2.09%
US LONG BOND(CBT) SEP19 USU9 2.01%
US 10YR NOTE (CBT)SEP19 TYU9 1.91%
GNMA GII30 TBA 04.0000 07/01/2049 1.68%
FNMA FN30 TBA UMBS 04.0000 07/01/2049 1.67%
US 10YR ULTRA FUT SEP19 UXYU9 1.62%
SWPTN 10YX10Y R 3.312 USD 11/27/2028 BA 1.19%
BF0101 03.5000 06/01/2056 0.97%
FNMA FN40 BF0169 3.500000 01/01/2057 0.97%
FNMA FN30 TBA UMBS 06.0000 08/01/2049 0.88%
SWPTN 1YX10Y R 2.7475 USD 02/13/2020 GS 0.87%
FNMA FN30 TBA UMBS 05.5000 08/01/2049 0.86%
VERIZON COMM 04.3290 09/21/2028 0.83%
FNMA FN30 TBA UMBS 03.0000 08/01/2049 0.81%
WAMU 2005-AR13 A1C4 02.8344 10/25/2045 0.81%
FNMA FN40 BF0219 UMBS 03.5000 09/01/2057 0.73%
SWPTN 2YX13Y R 3.162 USD 11/30/2020 JP 0.73%
TREASURY BILL 00.0000 08/06/2019 0.72%
BRISTOL-MYERS P/P 144A 03.4000 07/26/2029 0.69%
CAS 2016-C03 2M2 08.3044 10/25/2028 0.69%
SWPTN 7YX30Y R 2.8025 USD 04/24/2026 MS 0.67%
FHS 315 PO PO 00.0000 09/15/2043 0.67%
CAS 2016-C03 1M2 07.7044 10/25/2028 0.66%
BMIR 2017-1 M2 P/P 144A 05.7544 10/25/2027 0.64%
FNMA FN30 AS7363 UMBS 03.0000 06/01/2046 0.64%
GOLDMAN SACHS GROUP INC 04.2230 05/01/2029 0.64%
STACR 2015-DN1 M3 06.5544 01/25/2025 0.64%
STACR 2015-DNA3 M2 05.2544 04/25/2028 0.63%
AT&T INC 04.3500 03/01/2029 0.62%
FHLMC FH30G Q43898 03.5000 10/01/2046 0.57%
STACR 2016-HQA1 M3 08.7544 09/25/2028 0.56%
GNMA GII30 MA5194 05.0000 05/20/2048 0.54%
BCAP 2015-RR5 2A2 03.5504 01/26/2046 0.51%
SWPTN 1YX10Y R 3.096 USD 11/29/2019 JP 0.50%
FNMA FN30 AL8994 UMBS 04.0000 09/01/2045 0.49%
SPST 2018-3 A 03.1296 07/24/2019 0.49%
WELLS FARGO BANK NA 06.6000 01/15/2038 0.48%
FHLMC FH30G G60314 04.0000 09/01/2045 0.48%
CAS 2017-C01 1M2 05.9544 07/25/2029 0.48%
CITIGROUP INC 04.4500 09/29/2027 0.46%
ELANCO ANIMAL HEALTH 04.9000 08/28/2028 0.46%
WAMU 2005-AR17 A1B2 02.8144 12/25/2045 0.45%
JPMORGAN CHASE & CO 03.9640 11/15/2048 0.44%
CIT GROUP INC. 05.2500 03/07/2025 0.44%
WFRBS 2012-C10 D P/P 144A 04.5864 12/15/2045 0.44%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.42%
FNMA FN30 TBA UMBS 04.5000 07/01/2049 0.42%
GNMA GII30 BG6074 04.0000 04/20/2048 0.41%
GNMA GII30 TBA 03.0000 07/01/2049 0.41%
STACR 2019-DNA2 M2 04.8544 03/25/2049 0.41%
CAS 2016-C02 1M2 08.4044 09/25/2028 0.41%
FAIRFAX FINL HLDGS USD 04.8500 04/17/2028 0.39%
SPST 2019-3 A 03.1296 06/24/2020 0.38%
SWPTN 10YX10Y P 3.312 USD 11/27/2028 BA 0.37%
GNMA GII30 MA5266 05.0000 06/20/2048 0.37%
FHLMC FH30G Q46811 03.5000 02/01/2047 0.37%
BP CAP MARKETS AMERICA 03.9370 09/21/2028 0.37%
GNMA GII30 635173 03.5000 02/20/2047 0.37%
FNR 2019-3 SA IO 03.6956 02/25/2049 0.36%
CHENIERE CORP CHRIST 05.1250 06/30/2027 0.36%
JPMBB 2013-C14 D P/P 144A 04.7134 08/15/2046 0.35%
SPST 2018-5 A 03.1296 09/24/2019 0.34%
MORGAN STANLEY 04.3750 01/22/2047 0.34%
COMM 2014-CR17 C 04.9513 05/10/2047 0.34%
FNMA FN30 BM1172 UMBS 03.0000 03/01/2047 0.34%
BANK OF AMERICA CORP 05.1250 06/17/2049 0.34%
3.073 R ISWP FWD US0003M P 03/04/2029 0.33%
FNMA FN30 BC1489 UMBS 03.0000 08/01/2046 0.33%
MBX.FN30.500.09 R USL1M P 01/12/40 BC 0.32%
NRG ENERGY INC P/P 144A 04.4500 06/15/2029 0.32%
FHLMC FH30G Q41024 03.0000 06/01/2046 0.32%
MSBAM 2013-C10 E P/P 144A 04.2183 07/15/2046 0.32%
FHR 3835 FO PO 00.0000 04/15/2041 0.32%
FNMA FN30 BC1445 UMBS 03.0000 07/01/2046 0.32%
BSCMS 2006-PW11 B P/P 144A 05.8095 03/11/2039 0.32%
STACR 2016-DNA3 M3 07.4044 12/25/2028 0.32%
GNR 2016-H23 NI IO 02.2542 10/20/2066 0.32%
GNR 2012-38 MI IO 04.0000 03/20/2042 0.31%
SALESFORCE.COM INC 03.7000 04/11/2028 0.31%
SIRIUS XM RADIO INC P/P 144A 05.0000 08/01/2027 0.31%
WFRBS 2013-C15 D P/P 144A 04.6216 08/15/2046 0.30%
UBSBB 2012-C2 E P/P 144A 05.0481 05/10/2063 0.29%
SWPTN 7YX30Y P 2.8025 USD 04/24/2026 MS 0.29%
CBS CORP 04.2000 06/01/2029 0.29%
METLIFE CAP TRST IV P/P 144A 07.8750 12/15/2037 0.28%
FISERV INC 03.5000 07/01/2029 0.28%
FHLMC FH30G G60861 03.5000 01/01/2047 0.28%
MICROSOFT CORP 03.7000 08/08/2046 0.28%
WASTE CONNECTIONS INC 03.5000 05/01/2029 0.27%
STACR 2016-HQA2 M3 07.5544 11/25/2028 0.26%
ONEAMERICA FINL P/P 144A 07.0000 10/15/2033 0.26%
CF INDUSTRIES INC P/P 144A 04.5000 12/01/2026 0.26%
HCA INC 04.1250 06/15/2029 0.26%
DIGITAL REALTY TRUST LP 04.4500 07/15/2028 0.26%
ORACLE CORP 02.6500 07/15/2026 0.26%
JPMCC 2011-C3 F P/P 144A 05.8525 02/15/2046 0.26%
GNR 2010-9 UI IO 05.0000 01/20/2040 0.25%
EMIR 2018-1 M1 04.1044 11/25/2028 0.25%
FISERV INC 04.2000 10/01/2028 0.25%
NUTRIEN LTD. USD 04.2000 04/01/2029 0.25%
SWPTN 2YX10Y R 2.7725 USD 02/26/2021 MS 0.25%
2.05 R ISWP FWD US0003M P 09/18/2029 0.25%
SWPTN 2YX10Y R 2.764 USD 02/16/2021 MS 0.25%
GNR 2016-H02 HI IO 01.8883 01/20/2066 0.24%
MBX.FN30.500.10 R USL1M P 01/12/41 CI 0.24%
ALIMENTATION COUCHE-TARD 3.550000 07/26/2027 0.24%
CFCRE 2011-C2 E P/P 144A 05.9393 12/15/2047 0.24%
FNMA FN30 BC0960 UMBS 04.0000 06/01/2046 0.24%
AMERICAN ELECTRIC POWER 04.3000 12/01/2028 0.24%
WFRBS 2014-C22 XA IO 00.9737 09/15/2057 0.24%
CAS 2018-C04 2M2 04.9544 12/25/2030 0.23%
FHLMC FH30G V80357 03.5000 08/01/2043 0.23%
ING BANK NV P/P 144A 05.8000 09/25/2023 0.23%
CSAIL 2015-C1 D P/P 144A 03.9364 04/15/2050 0.23%
AT&T INC 04.1000 02/15/2028 0.23%
FIDELITY NATL INFO SERV 03.7500 05/21/2029 0.23%
FNMA FN30 AU1625 UMBS 03.5000 07/01/2043 0.23%
FNMA FN30 BD0959 UMBS 03.5000 06/01/2046 0.23%
INTERPUBLIC GROUP COS 04.6500 10/01/2028 0.23%
UNITEDHEALTH GROUP INC 03.8500 06/15/2028 0.23%
SWPTN BERM 5YX25Y R 3.0 USD 02/03/2048 MS 0.23%
FNMA FN30 AY8222 UMBS 04.5000 05/01/2045 0.23%
GNR 2019-H02 DI IO 02.3011 11/20/2068 0.23%
GSMS 2014-GC22 XA IO 01.1443 06/10/2047 0.23%
SWPTN BERM 5YX25Y R 3.0 USD 04/06/2047 MS 0.23%
SWPTN BERM 5YX25Y R 3.0 USD 04/17/2047 MS 0.23%
AMERICAN INTL GROUP 08.1750 05/15/2058 0.22%
JPMCC 2012-C6 E P/P 144A 05.3202 05/15/2045 0.22%
EQUINIX INC 05.3750 05/15/2027 0.22%
MICROSOFT CORP 02.4000 08/08/2026 0.22%
BPCE SA P/P 144A 04.5000 03/15/2025 0.22%
EOG RESOURCES INC 04.1500 01/15/2026 0.22%
DUKE ENERGY OHIO INC 03.6500 02/01/2029 0.22%
GNR 2012-149 GS IO 03.8171 12/20/2042 0.22%
ASHTEAD CAPITAL INC P/P 144A 04.3750 08/15/2027 0.22%
HSBC HOLDINGS PLC USD 06.3750 12/29/2049 0.21%
GSMS 2010-C1 D P/P 144A 06.1971 08/10/2043 0.21%
GSMS 2014-GC24 D P/P 144A 04.6707 09/10/2047 0.21%
TREASURY BILL 00.0000 08/13/2019 0.21%
FNR 2018-94 SA IO 03.6956 01/25/2049 0.21%
FNMA FN30 BD0189 UMBS 03.5000 06/01/2046 0.21%
FIRSTENERGY TRANSMIS P/P 144A 05.4500 07/15/2044 0.21%
GNR 2014-180 IO IO 05.0000 12/20/2044 0.20%
CITIGROUP INC 03.6680 07/24/2028 0.20%
GNMA GII30 BD1731 03.5000 01/20/2048 0.20%
GNMA GII30 BE1441 03.5000 11/20/2047 0.20%
VODAFONE GROUP PLC USD 04.3750 05/30/2028 0.20%
GOLDMAN SACHS GROUP INC 03.8500 01/26/2027 0.20%
FNMA FN30 AX7296 UMBS 04.5000 12/01/2044 0.20%
MARSH & MCLENNAN COS INC 04.3750 03/15/2029 0.20%
ZOETIS INC 03.9000 08/20/2028 0.20%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.20%
OSHKOSH CORP 04.6000 05/15/2028 0.20%
FHLMC FH30G V80012 03.0000 03/01/2043 0.20%
WFRBS 2013-C14 XA IO 00.8687 06/15/2046 0.19%
BSCMS 2007-T26 AJ 05.5660 01/12/2045 0.19%
KKR GR FIN CO P/P 144A 03.7500 07/01/2029 0.19%
FNR 2012-124 UI IO 04.0000 11/25/2042 0.19%
STACR 2014-DN4 M3 06.9544 10/25/2024 0.19%
ENERGY TRANSFER OPERATNG 06.6250 02/15/2028 0.19%
SPST 2018-8 A 03.1296 02/24/2020 0.19%
SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.19%
SWPTN BERM 5YX25Y R 2.75 USD 05/26/2048 MS 0.19%
GOLDMAN SACHS GROUP INC 06.7500 10/01/2037 0.19%
WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.19%
CGCMT 2014-GC19 X IO 01.3274 03/10/2047 0.19%
GSMS 2013-GC10 E P/P 144A 04.5415 02/10/2046 0.19%
MASS MUTUAL LIFE P/P 144A 08.8750 06/01/2039 0.19%
UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.19%
KEURIG DR PEPPER INC 04.5970 05/25/2028 0.18%
IOS.GII30.500.10 R USL1M P 01/12/41 CS 0.18%
WEC ENERGY GROUP INC 04.6305 05/15/2067 0.18%
BMIR 2018-2A M1B P/P 144A 03.7544 08/25/2028 0.18%
MICROCHIP TECH INC 04.3330 06/01/2023 0.18%
FNR 2016-91 AS IO 03.6956 12/25/2046 0.18%
BRDCOM CRP / FIN 03.8750 01/15/2027 0.18%
TREASURY BILL 00.0000 08/01/2019 0.18%
3.312 R ISWP US0003M P 11/08/2048 0.17%
GNR 2014-H07 BI IO 01.4675 05/20/2064 0.17%
GNR 2017-H14 EI IO 01.5594 06/20/2067 0.17%
SUMITOMO MITSUI P/P 144A 04.4360 04/02/2024 0.17%
GNR 2017-H08 NI IO 02.2303 03/20/2067 0.17%
ROYAL BK SCOTLND GRP PLC USD 04.8920 05/18/2029 0.17%
BANCO SANTANDER SA USD 04.3790 04/12/2028 0.17%
ENTERPRISE PRODUCTS OPER 04.2500 02/15/2048 0.17%
STACR 2017-HQA1 M2 05.9544 08/25/2029 0.17%
GNR 2014-H11 GI IO 01.4735 06/20/2064 0.17%
JPMCC 2012-C8 D P/P 144A 04.8049 10/15/2045 0.17%
JPMCC 2013-LC11 E P/P 144A 03.2500 04/15/2046 0.17%
NORTHROP GRUMMAN CORP 03.2500 01/15/2028 0.17%
BMW US CAPITAL LLC P/P 144A 03.9500 08/14/2028 0.17%
GNR 2017-H18 CI IO 02.2140 09/15/2047 0.17%
GNR 2015-H13 AI IO 01.9313 06/20/2065 0.17%
LNSTR 2015-3 C P/P 144A 03.2727 04/20/2048 0.17%
GNMA GII30 BF6125 04.0000 02/20/2048 0.16%
ALPHABET INC 01.9980 08/15/2026 0.16%
CREDIT AGRICOLE SA P/P 144A 04.0000 01/10/2033 0.16%
GNMA GII30 BD1729 03.5000 01/20/2048 0.16%
INTL FLAVOR & FRAGRANCES 04.4500 09/26/2028 0.16%
DBUBS 2011-LC3A D P/P 144A 05.5115 08/10/2044 0.16%
FNR 2015-33 AI IO 05.0000 06/25/2045 0.16%
APPLE INC 04.3750 05/13/2045 0.16%
CAS 2018-C05 1M2 04.7544 01/25/2031 0.16%
JPMBB 2014-C22 XA IO 01.0097 09/15/2047 0.16%
BP CAP MARKETS AMERICA 03.1190 05/04/2026 0.16%
COMCAST CORP 03.1500 03/01/2026 0.16%
GSMS 2014-GC18 C 05.1566 01/10/2047 0.16%
BACM 2005-1 B 05.6872 11/10/2042 0.16%
CVS HEALTH CORP 04.7800 03/25/2038 0.16%
CAS 2015-C03 2M2 07.4044 07/25/2025 0.16%
FHLMC FH30G Q28032 04.5000 08/01/2044 0.16%
GNMA GII30 BG4860 04.5000 05/20/2048 0.16%
JPMBB 2013-C14 E P/P 144A 04.7134 08/15/2046 0.16%
ANHEUSER-BUSCH CO/IN 03.6500 02/01/2026 0.16%
BANK OF AMERICA CORP 06.1100 01/29/2037 0.15%
GNR 2017-H12 QI IO 02.3632 05/20/2067 0.15%
ANHEUSER-BUSCH INBEV WOR 04.7500 01/23/2029 0.15%
UBSCM 2012-C1 C P/P 144A 05.7280 05/10/2045 0.15%
CELANESE US HOLDINGS LLC 03.5000 05/08/2024 0.15%
VISTRA OPERATION P/P 144A 03.5500 07/15/2024 0.15%
BMW US CAPITAL LLC P/P 144A 02.8000 04/11/2026 0.15%
CROWN CASTLE INTL CORP 03.8000 02/15/2028 0.15%
WALT DISNEY COMPANY P/P 144A 07.7500 12/01/2045 0.15%
GSMS 2013-GC10 XA IO 01.6567 02/10/2046 0.15%
JPMBB 2014-C25 E P/P 144A 03.3320 11/15/2047 0.15%
UBSCM 2017-C7 XA IO 01.2173 12/15/2050 0.15%
CHARTER COMM OPT LLC 06.4840 10/23/2045 0.14%
COMM 2014-UBS6 XA IO 01.0876 12/10/2047 0.14%
GNR 2017-H10 MI IO 01.8617 04/20/2067 0.14%
WFCM 2015-LC20 XB IO 00.6249 04/15/2050 0.14%
AT&T INC 04.7500 05/15/2046 0.14%
AIR LEASE CORP 04.6250 10/01/2028 0.14%
STACR 2018-DNA1 M2 04.2044 07/25/2030 0.14%
WESTERN DIGITAL CORP 04.7500 02/15/2026 0.14%
AT&T INC 03.8000 02/15/2027 0.14%
FIDELITY NATIONAL INFORM 04.2500 05/15/2028 0.14%
JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.14%
UBSBB 2012-C2 XA IO P/P 144A 01.4742 05/10/2063 0.14%
WFCM 2014-LC16 XA IO 01.3139 08/15/2050 0.14%
JPMORGAN CHASE & CO 05.3000 12/29/2049 0.14%
EL PASO NATURAL GAS 08.3750 06/15/2032 0.14%
GNR 2017-H09 DI IO 01.8983 03/20/2067 0.14%
JPMCC 2007-CB20 E P/P 144A 06.3895 02/12/2051 0.14%
ANHEUSER-BUSCH INBEV WOR 05.5500 01/23/2049 0.14%
JPMBB 2013-C17 AS 04.4584 01/15/2047 0.14%
LEAR CORP 03.8000 09/15/2027 0.14%
COMM 2014-CR19 XA IO 01.2855 08/10/2047 0.14%
UBSBB 2013-C6 E P/P 144A 03.5000 04/10/2046 0.14%
ENERGY TRANSFER OPERA 05.8750 01/15/2024 0.14%
NRG P/P 144A 03.7500 06/15/2024 0.14%
CSMC 2016-NXSR XA IO 00.9354 12/15/2049 0.13%
STACR 2014-DN2 M3 06.0044 04/25/2024 0.13%
FNMA FN30 AW7089 UMBS 04.5000 07/01/2044 0.13%
GNR 2014-2 IL IO 04.0000 01/16/2044 0.13%
BMIR 2017-1 M1 P/P 144A 04.1044 10/25/2027 0.13%
GNR 2016-H06 AI IO 01.9951 02/20/2066 0.13%
GNR 2019-44 SA IO 03.6671 04/20/2049 0.13%
NHEL 2004-2 M4 04.2298 09/25/2034 0.13%
GNR 2009-121 UI IO 05.0000 12/20/2039 0.13%
MSBAM 2013-C13 XB IO P/P 144A 00.1520 11/15/2046 0.13%
STACR 2019-DNA1 B1 07.0544 01/25/2049 0.13%
WILLIAMS COMPANIES INC 04.3000 03/04/2024 0.13%
FHLMC FH30G Q44791 03.5000 12/01/2046 0.13%
MSBAM 2013-C7 XA IO 01.4872 02/15/2046 0.13%
SAIL 2004-10 A10 03.3044 11/25/2034 0.13%
AXA SA P/P 144A 06.3790 12/29/2049 0.13%
STACR 2018-DNA2 B1 06.1044 12/25/2030 0.13%
WFRBS 2011-C4 F P/P 144A 05.0000 06/15/2044 0.13%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.13%
GNR 2015-53 MI IO 04.0000 04/16/2045 0.12%
VISTRA OPERATION P/P 144A 04.3000 07/15/2029 0.12%
FNR 2017-2 KI IO 04.0000 02/25/2047 0.12%
GNMA GII30 BG6110 04.0000 05/20/2048 0.12%
FHR 3852 NT 03.6058 05/15/2041 0.12%
ANHEUSER-BUSCH INBEV WOR 04.1500 01/23/2025 0.12%
GNR 2011-17 S IO 03.6671 02/20/2041 0.12%
VIDEOTRON LTD / LTEE P/P 144A 05.1250 04/15/2027 0.12%
VERIZON COMMUNICATIONS 02.6250 08/15/2026 0.12%
GNMA GII30 BE1437 03.5000 11/20/2047 0.12%
GNR 2016-H14 IO IO 01.6844 06/20/2066 0.12%
STACR 2013-DN2 M2 06.6544 11/25/2023 0.12%
TEACHERS INSUR & ANN P/P 144A 06.8500 12/16/2039 0.12%
WFRBS 2012-C10 XA IO P/P 144A 01.7032 12/15/2045 0.12%
2.647 R ISWP US0003M P 06/12/2049 0.12%
GNMA GII30 BE1440 03.5000 11/20/2047 0.12%
GNMA GII30 OBD1715 03.5000 11/20/2047 0.12%
GNR 2015-H12 EI IO 01.7024 04/20/2065 0.12%
GNR 2015-H12 GI IO 01.8069 05/20/2065 0.12%
NOVARTIS CAPITAL CORP 04.0000 11/20/2045 0.12%
COMM 2013-CR11 XA IO 01.1005 08/10/2050 0.12%
FHR 3065 DC 12.6773 03/15/2035 0.12%
GNR 2016-H11 HI IO 02.0977 01/20/2066 0.12%
AMERICAN TOWER CORP 03.5500 07/15/2027 0.12%
AMGEN INC 04.6630 06/15/2051 0.12%
GNR 2015-H04 AI IO 01.8501 12/20/2064 0.12%
BERKSHIRE HATHAWAY FIN 04.3000 05/15/2043 0.11%
CHARTER COMM OPT LLC 05.3750 05/01/2047 0.11%
CIGNA CORP P/P 144A 03.7500 07/15/2023 0.11%
FHR 3408 EK 16.1589 04/15/2037 0.11%
GNMA GII30 OBD1716 03.5000 11/20/2047 0.11%
MSC 2016-BNK2 XA IO 01.2151 11/15/2049 0.11%
STACR 2014-HQ2 M3 06.1544 09/25/2024 0.11%
SPRINT SPECTRUM P/P 144A 03.3600 09/20/2021 0.11%
COOPERATIEVE RABOBANK UA USD 04.6250 12/01/2023 0.11%
IHS MARKIT LTD P/P 144A 04.7500 02/15/2025 0.11%
AON PLC USD 04.2500 12/12/2042 0.11%
BANK OF AMERICA CORP 06.1000 12/29/2049 0.11%
SHERWIN-WILLIAMS CO 03.4500 06/01/2027 0.11%
UBS GROUP FUNDING SWITZE REGS 06.8750 12/29/2049 0.11%
EQT CORP 03.9000 10/01/2027 0.11%
JPMCC 2016-JP2 XA IO 01.9866 08/15/2049 0.10%
CREDIT SUISSE GRP AG P/P 144A 03.8690 01/12/2029 0.10%
MSC 2016-UB12 XA IO 00.9285 12/15/2049 0.10%
CVS PASS-THRU TRUST P/P 144A 07.5070 01/10/2032 0.10%
FIVE CORNERS FUNDING P/P 144A 04.4190 11/15/2023 0.10%
CD 2016-CD1 XA IO 01.5518 08/10/2049 0.10%
COMM 2014-LC15 XA IO 01.2723 04/10/2047 0.10%
GNR 2015-149 KI IO 04.0000 10/20/2045 0.10%
GNR 2015-35 AI IO 05.0000 03/16/2045 0.10%
IHS MARKIT LTD USD 04.7500 08/01/2028 0.10%
MSC 2011-C3 E P/P 144A 05.2816 07/15/2049 0.10%
TRANSCANADA TRUST USD 05.3000 03/15/2077 0.10%
AIR LEASE CORP 03.6250 04/01/2027 0.10%
CONCHO RESOURCES INC 03.7500 10/01/2027 0.10%
HMIR 2018-1 M1 P/P 144A 03.8300 10/25/2028 0.10%
MSBAM 2013-C12 XA IO 00.7713 10/15/2046 0.10%
GNMA GII30 AY2298 04.7000 05/20/2067 0.10%
GNR 2012-136 IO IO 03.5000 11/20/2042 0.10%
JPMCC 2011-C3 D P/P 144A 05.8525 02/15/2046 0.10%
L3 TECHNOLOGIES INC 03.8500 12/15/2026 0.10%
CBS CORP 04.6000 01/15/2045 0.10%
GNR 2015-H12 AI IO 01.8597 05/20/2065 0.10%
LMAT 2019-GS2 A2 P/P 144A 04.2500 01/25/2059 0.10%
SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.10%
FNMA FN30 AR3945 UMBS 03.0000 03/01/2043 0.10%
MSBAM 2015-C26 XA IO 01.1793 10/15/2048 0.10%
PRUDENTIAL FINANCIAL INC 05.2000 03/15/2044 0.10%
FNR 2006-8 HP 15.7506 03/25/2036 0.10%
MSBAM 2015-C25 XA IO 01.2592 10/15/2048 0.10%
CAPITAL ONE FINANCIAL CO 04.2000 10/29/2025 0.10%
CGCMT 2015-GC27 D P/P 144A 04.5749 02/10/2048 0.10%
GNR 2016-H04 KI IO 01.7874 02/20/2066 0.10%
SHELL INTERNATIONAL FIN USD 02.8750 05/10/2026 0.10%
CREDIT SUISSE GRP AG P/P 144A 06.2500 12/18/2024 0.09%
FHR 4158 TI IO 03.0000 12/15/2042 0.09%
CSAIL 2015-C1 C 04.4364 04/15/2050 0.09%
GNR 2015-H25 AI IO 01.6143 09/20/2065 0.09%
SCRT 2019-2 M 04.7500 08/25/2058 0.09%
WFRBS 2014-C24 XA IO 01.0129 11/15/2047 0.09%
2.806 R ISWP FWD US0003M P 03/05/2030 0.09%
AMAZON.COM INC 03.1500 08/22/2027 0.09%
FNMA FN30 BD5297 UMBS 03.5000 01/01/2047 0.09%
FNR 2012-144 KI IO 03.0000 11/25/2042 0.09%
MSBAM 2013-C10 F P/P 144A 04.2183 07/15/2046 0.09%
MSBAM 2014-C17 E P/P 144A 03.5000 08/15/2047 0.09%
WFRBS 2012-C9 XA IO P/P 144A 02.0650 11/15/2045 0.09%
FNR 2005-122 SE 14.6847 11/25/2035 0.09%
GNR 2012-56 IB IO 04.0000 04/20/2042 0.09%
WFRBS 2012-C7 D P/P 144A 04.9695 06/15/2045 0.09%
AUST & NZ BANKING GR P/P 144A 06.7500 12/29/2049 0.09%
COMM 2012-CR1 D P/P 144A 05.4977 05/15/2045 0.09%
FHR 4546 TI IO 04.0000 12/15/2045 0.09%
TELEFONICA EMISIONES SAU USD 04.8950 03/06/2048 0.09%
TOTAL SYSTEM SERVICES IN 04.0000 06/01/2023 0.09%
TREASURY BILL 00.0000 08/15/2019 0.09%
UNITED TECHNOLOGIES CORP 04.1250 11/16/2028 0.09%
BANCO SANTANDER SA USD 05.1790 11/19/2025 0.09%
FHLMC FH30G Q27018 04.5000 07/01/2044 0.09%
GNR 2015-H25 CI IO 01.9520 10/20/2065 0.09%
HILTON WORLDWIDE FIN LLC 04.8750 04/01/2027 0.09%
PENSKE TRUCK LE P/P 144A 03.4000 11/15/2026 0.09%
WFRBS 2013-C11 XA IO P/P 144A 01.3456 03/15/2045 0.09%
ENERGY TRANSFER OPERATNG 06.2500 04/15/2049 0.09%
GNR 2010-H19 GI IO 01.4273 08/20/2060 0.09%
GSMS 2014-GC18 XA IO 01.1871 01/10/2047 0.09%
TREASURY BILL 00.0000 07/16/2019 0.09%
MITSUBISHI UFJ FIN GRP USD 03.8500 03/01/2026 0.09%
APPLE INC 03.4500 05/06/2024 0.08%
CWALT 2007-OA6 A1A 02.5444 06/25/2037 0.08%
FHR 4165 AI IO 03.5000 02/15/2043 0.08%
GNR 2017-132 IA IO 04.5000 09/08/2047 0.08%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.08%
JPMCC 2012-LC9 XA IO 01.6619 12/15/2047 0.08%
WALGREENS BOOTS ALLIANCE 03.3000 11/18/2021 0.08%
ROYAL BK SCOTLND GRP PLC USD 03.8750 09/12/2023 0.08%
COMM 2015-CR23 XA IO 01.0835 05/10/2048 0.08%
FHR 4601 PI IO 04.5000 12/15/2045 0.08%
GNMA 10000 BD1730 03.5000 01/20/2048 0.08%
OMIR 2018-1A M2 05.2544 07/25/2028 0.08%
STACR 2019-DNA1 M2 05.0544 01/25/2049 0.08%
WFCM 2014-LC16 D P/P 144A 03.9380 08/15/2050 0.08%
GNMA GII30 BB3019 03.5000 11/20/2047 0.08%
GNMA GII30 BG4862 04.5000 05/20/2048 0.08%
RMIR 2018-1 M2 04.2100 03/25/2028 0.08%
STACR 2018-HQA1 M2 04.7044 09/25/2030 0.08%
CARR 2006-NC2 A4 02.6444 06/25/2036 0.08%
COMM 2014-CR17 D P/P 144A 05.0150 05/10/2047 0.08%
ENERGY TRANSFER OPERATNG 06.1250 12/15/2045 0.08%
FHR 4176 DI IO 03.0000 12/15/2042 0.08%
GNR 2015-H28 DI IO 01.5547 08/20/2065 0.08%
ONCOR ELECTRIC DELI 05.7500 03/15/2029 0.08%
WFRBS 2012-C9 XB IO P/P 144A 00.8757 11/15/2045 0.08%
FHR 3072 SM 04.2533 11/15/2035 0.08%
GNR 2016-H27 BI IO 02.2927 12/20/2066 0.08%
NEXTERA ENERGY CAPITAL 04.8000 12/01/2077 0.08%
JPMCC 2013-LC11 X IO 01.4034 04/15/2046 0.08%
MBX.FN30.450.09 R USL1M P 01/12/40 BC 0.08%
UBSBB 2013-C6 XA IO P/P 144A 01.2685 04/10/2046 0.08%
WESTLAKE CHEM CORP 03.6000 08/15/2026 0.08%
GNR 2014-25 QI IO 05.0000 01/20/2044 0.08%
MSC 2008-T29 F P/P 144A 06.2883 01/11/2043 0.08%
ECOLAB INC 03.2500 12/01/2027 0.08%
GNMA GII30 BB3013 03.5000 11/20/2047 0.08%
WEYERHAEUSER CO 07.3750 03/15/2032 0.08%
DUKE ENERGY CORP 03.1500 08/15/2027 0.07%
FNR 2006-62 PS 25.4737 07/25/2036 0.07%
GNR 2012-113 ID IO 03.5000 09/20/2042 0.07%
GNR 2018-127 IA IO 03.5000 04/20/2042 0.07%
TORONTO-DOMINION BANK USD 03.6250 09/15/2031 0.07%
AUTONATION INC. 05.5000 02/01/2020 0.07%
COMCAST CORP 03.9990 11/01/2049 0.07%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.07%
CBRE SERVICES INC 04.8750 03/01/2026 0.07%
ERAC USA FINANCE LLC P/P 144A 05.6250 03/15/2042 0.07%
FNR 2011-4 CS 08.0912 05/25/2040 0.07%
JPMCC 2013-C16 XA IO 01.1088 12/15/2046 0.07%
MSRR 2015-R4 CB1 03.2533 08/26/2047 0.07%
COMM 2012-LC4 XA IO P/P 144A 02.2898 12/10/2044 0.07%
GNR 2015-H15 JI IO 01.9717 06/20/2065 0.07%
GNR 2016-H24 JI IO 02.1896 11/20/2066 0.07%
SASC 2006-AM1 A4 02.5644 04/25/2036 0.07%
SHIRE ACQ INV IE 03.2000 09/23/2026 0.07%
UBSCM 2012-C1 XA IO P/P 144A 02.2456 05/10/2045 0.07%
GNR 2014-H08 CI IO 01.4946 03/20/2064 0.07%
GSMS 2013-GC12 XA IO 01.5614 06/10/2046 0.07%
AMAZON.COM INC 04.0500 08/22/2047 0.07%
CROWN CASTLE INTL CORP 03.6500 09/01/2027 0.07%
DIAMOND 1 FIN/DIAM P/P 144A 06.0200 06/15/2026 0.07%
FHR 4663 KI IO 03.5000 11/15/2042 0.07%
CAS 2019-R01 2M2 04.8544 07/25/2031 0.07%
COX COMM INC P/P 144A 03.5000 08/15/2027 0.07%
GNR 2015-H16 XI IO 02.0080 07/20/2065 0.07%
IPALCO ENTPRS IN 03.7000 09/01/2024 0.07%
JPMBB 2013-C17 XA IO 00.9310 01/15/2047 0.07%
MERCK & CO INC 03.7000 02/10/2045 0.07%
MSBAM 2013-C11 D P/P 144A 04.4992 08/15/2046 0.07%
2.86 R ISWP US0003M P 01/22/2020 0.07%
ALLY FINANCIAL INC 05.7500 11/20/2025 0.07%
CAS 2015-C04 2M2 07.9544 04/25/2028 0.07%
FHR 4500 GI IO 04.0000 08/15/2045 0.07%
FNMA FN30 AT0942 UMBS 03.0000 04/01/2043 0.07%
GNR 2009-79 IC IO 06.0000 08/20/2039 0.07%
BANK OF MONTREAL USD 03.8030 12/15/2032 0.07%
GNR 2017-38 DI IO 05.0000 03/16/2047 0.07%
GNR 2017-45 IM IO 04.0000 10/20/2044 0.07%
L3 TECHNOLOGIES INC 04.4000 06/15/2028 0.07%
UNITEDHEALTH GROUP INC 02.9500 10/15/2027 0.07%
GNR 2014-100 JI IO 03.5000 07/16/2029 0.06%
GNR 2015-H09 BI IO 01.6995 03/20/2065 0.06%
S&P GLOBAL INC 04.4000 02/15/2026 0.06%
COMM 2014-UBS6 C 04.6048 12/10/2047 0.06%
FHR 4074 KS IO 04.3058 02/15/2041 0.06%
FNR 2007-53 SP 15.3839 06/25/2037 0.06%
FNR 2012-62 EI IO 04.0000 04/25/2041 0.06%
GNR 2015-52 KI IO 03.5000 11/20/2040 0.06%
MSBAM 2014-C17 XA IO 01.2783 08/15/2047 0.06%
MWST 2018-W1 A 03.2544 11/25/2051 0.06%
CCMFC 2004-3A A2 02.7044 08/25/2035 0.06%
GNR 2009-121 BI IO 04.5000 12/16/2039 0.06%
GNR 2012-129 IO IO 04.5000 11/16/2042 0.06%
GNR 2015-H10 CI IO 01.8163 04/20/2065 0.06%
ROYAL BANK OF CANADA USD 04.6500 01/27/2026 0.06%
WILLIS TOWERS WATSON PLC USD 05.7500 03/15/2021 0.06%
FNR 12-118 PI IO 04.0000 06/25/2042 0.06%
FNR 2014-28 AI IO 03.0000 03/25/2040 0.06%
CGCMT 2013-GC17 X IO 01.1948 11/10/2046 0.06%
SPECTRA ENERGY PARTNERS 03.3750 10/15/2026 0.06%
CGCMT 2012-GC8 XA IO P/P 144A 01.9387 09/10/2045 0.06%
FNR 2005-106 JC 12.6686 12/25/2035 0.06%
SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.06%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.06%
JPMBB 2014-C23 D P/P 144A 04.1177 09/15/2047 0.06%
TARGA RESOURCES PART 05.0000 01/15/2028 0.06%
FHR 2990 LB 10.8262 06/15/2034 0.06%
GNR 2014-76 IO IO 05.0000 05/20/2044 0.06%
VERIZON COMM 04.6720 03/15/2055 0.06%
WESTROCK MWV LLC 08.2000 01/15/2030 0.06%
DOLLAR GENERAL CORP 03.2500 04/15/2023 0.06%
GENERAL MOTORS COMPANY 04.8750 10/02/2023 0.06%
GNR 2015-26 AI IO 03.5000 05/20/2039 0.06%
GNR 2016-136 YI IO 03.5000 03/20/2045 0.06%
WAMU 2005-AR1 A2B 03.2044 01/25/2045 0.06%
WFRBS 2013-C12 E P/P 144A 03.5000 03/15/2048 0.06%
ALLERGAN FUNDING SCS USD 03.8000 03/15/2025 0.06%
CFCRE 2011-C2 D P/P 144A 05.9393 12/15/2047 0.06%
GENERAL MOTORS FINL CO 04.0000 10/06/2026 0.06%
HOSPITALITY PROP TRUST 04.3750 02/15/2030 0.06%
JOHNSON CONTROLS INTL PL 04.5000 02/15/2047 0.06%
FNR 2010-35 SG IO 03.9956 04/25/2040 0.05%
LAMB WESTON HOLDINGS P/P 144A 04.8750 11/01/2026 0.05%
OMNICOM GP/OMNICOM CAP 03.6000 04/15/2026 0.05%
SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.05%
D.R. HORTON INC 05.7500 08/15/2023 0.05%
DEVON ENERGY CORPORATION 05.8500 12/15/2025 0.05%
GNR 2015-H20 AI IO 01.8376 08/20/2065 0.05%
JPMBB 2014-C25 XA IO 01.0790 11/15/2047 0.05%
JPMCC 2012-LC9 D P/P 144A 04.5291 12/15/2047 0.05%
OMEGA HLTHCARE INVESTORS 04.9500 04/01/2024 0.05%
GLENCORE FUNDING LLC P/P 144A 04.0000 04/16/2025 0.05%
LEGRAND FRANCE USD 08.5000 02/15/2025 0.05%
PFIZER INC 03.0000 12/15/2026 0.05%
QVC INC 04.8500 04/01/2024 0.05%
MWST 2019-1 A 03.2044 06/25/2052 0.05%
GNR 2013-3 IT IO 05.0000 01/20/2043 0.05%
GNR 2015-H17 CI IO 01.6039 06/20/2065 0.05%
WELLS FARGO & COMPANY 05.8750 12/29/2049 0.05%
CISCO SYSTEMS INC 02.5000 09/20/2026 0.05%
CVS PASS-THROUGH P/P 144A 04.7040 01/10/2036 0.05%
ERAC USA FINANCE LLC P/P 144A 07.0000 10/15/2037 0.05%
FNR 2005-75 GS 13.0369 08/25/2035 0.05%
GNMA GII30 BB0107 04.7000 08/20/2067 0.05%
GSMS 2011-GC5 XA IO P/P 144A 01.5004 08/10/2044 0.05%
VMWARE INC 03.9000 08/21/2027 0.05%
WFRBS 2011-C5 XA IO P/P 144A 01.8857 11/15/2044 0.05%
CON EDISON CO OF NY INC 04.2000 03/15/2042 0.05%
FNMA FN30 AB9238 UMBS 03.0000 05/01/2043 0.05%
GNR 2015-H01 CI IO 01.6337 12/20/2064 0.05%
HCA INC 05.5000 06/15/2047 0.05%
STANDARD IND INC P/P 144A 05.0000 02/15/2027 0.05%
GEORGIA-PACIFIC LLC P/P 144A 05.4000 11/01/2020 0.05%
GNMA GII30 BA7681 04.6270 06/20/2067 0.05%
GNR 2013-27 PI IO 03.5000 12/20/2042 0.05%
GNR 2015-69 XI IO 03.5000 05/20/2045 0.05%
SABINE PASS LIQUEF 05.0000 03/15/2027 0.05%
CAS 2017-C06 2M2 05.2044 02/25/2030 0.04%
CAS 2019-R04 2M2 04.5044 06/25/2039 0.04%
FHR 4132 IP IO 04.5000 11/15/2042 0.04%
FNR 2012-22 CI IO 04.0000 03/25/2041 0.04%
GNR 2010-9 QI IO 04.5000 01/20/2040 0.04%
KEURIG DR PEPPER INC 04.4170 05/25/2025 0.04%
FHR 4141 PI IO 03.0000 12/15/2042 0.04%
GNMA GII30 AY4779 04.5080 03/20/2067 0.04%
GNR 2010-35 QI IO 04.5000 03/20/2040 0.04%
GNR 2015-52 IE IO 04.0000 01/16/2043 0.04%
IHS MARKIT LTD P/P 144A 04.0000 03/01/2026 0.04%
CIT GROUP INC 05.0000 08/01/2023 0.04%
FHLMC FH30G Q32223 04.5000 03/01/2045 0.04%
BECTON DICKINSON AND CO 03.7000 06/06/2027 0.04%
ENBRIDGE INC USD 04.2500 12/01/2026 0.04%
FHR 4182 GI IO 03.0000 01/15/2043 0.04%
GNMA GII30 BE5936 04.0000 05/20/2048 0.04%
GNR 2018-127 IE IO 03.5000 01/20/2046 0.04%
HCA INC 05.0000 03/15/2024 0.04%
ROGERS COMMUNICATIONS IN USD 04.5000 03/15/2043 0.04%
AES CORP/THE 05.1250 09/01/2027 0.04%
FNR 2013-18 IN IO 03.5000 03/25/2043 0.04%
GNMA GII30 BE5937 04.0000 05/20/2048 0.04%
GNMA GII30 OBD1714 03.5000 11/20/2047 0.04%
GNMA GN30 AZ3487 03.5000 11/15/2047 0.04%
GNR 2012-50 PI IO 04.0000 12/20/2041 0.04%
AMGEN INC 02.6000 08/19/2026 0.04%
GNR 2013-37 JI IO 03.5000 01/20/2043 0.04%
FHLMC FH30G Q42016 03.5000 07/01/2046 0.04%
GNMA GII30 BG4861 04.5000 05/20/2048 0.04%
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BANK OF AMERICA CORP 03.1703 09/15/2026 0.04%
FIFTH THIRD BANCORP 05.1000 12/29/2049 0.04%
FNR 2015-3 BI IO 04.0000 03/25/2044 0.04%
HOSPITALITY PROPERTIES T 04.5000 03/15/2025 0.04%
INTERNATIONAL PAPER CO 03.0000 02/15/2027 0.04%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.04%
JPMORGAN CHASE & CO 06.1000 02/01/2049 0.04%
STACR 2019-DNA2 B1 06.7544 03/25/2049 0.04%
VERIZON COMMUNICATIONS 04.4000 11/01/2034 0.04%
FHLMC FH30G Q44903 03.5000 12/01/2046 0.04%
GNMA GN30 AZ3486 03.5000 11/15/2047 0.04%
GNR 2014-63 PI IO 04.0000 07/20/2043 0.04%
SHIRE ACQ INV IRELAND DA USD 02.8750 09/23/2023 0.04%
CHARTER COMM OPT LLC 04.9080 07/23/2025 0.04%
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IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.04%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.04%
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AT&T INC 02.9500 07/15/2026 0.03%
CBS CORP 02.9000 01/15/2027 0.03%
FHLMC FH30G Q44946 03.5000 12/01/2046 0.03%
FOX CORP P/P 144A 04.0300 01/25/2024 0.03%
GNR 2010-151 KO PO 00.0000 06/16/2037 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.03%
CVS HEALTH CORP 03.7000 03/09/2023 0.03%
FHLMC FH30G Q44706 03.5000 12/01/2046 0.03%
FNMA FN30 BC7330 UMBS 03.5000 12/01/2046 0.03%
FNMA FN30 BD8704 UMBS 03.5000 12/01/2046 0.03%
IOS.FN30.400.13 R USL1M P 01/12/44 JP 0.03%
MSC 2012-C4 XA IO P/P 144A 02.2592 03/15/2045 0.03%
SWPTN 1MX30Y R 2.29 USD 06/28/2019 JP 0.03%
SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.03%
WFMBS 2005-AR16 6A4 04.9046 10/25/2035 0.03%
CANTOR FITZGERALD LP P/P 144A 06.5000 06/17/2022 0.03%
FHR 4206 IP IO 03.0000 12/15/2041 0.03%
FNR 2013-55 KI IO 03.0000 04/25/2043 0.03%
SABINE PASS LIQUEFACTION 04.2000 03/15/2028 0.03%
DUKE ENERGY OHIO INC 03.8000 09/01/2023 0.03%
FHLMC FH30G Q45196 03.5000 12/01/2046 0.03%
FHR 4122 TI IO 04.5000 10/15/2042 0.03%
FHR 4183 MI IO 03.0000 02/15/2042 0.03%
FNR 2013-67 IP IO 03.0000 02/25/2042 0.03%
GNR 2010-35 UI IO 05.0000 03/20/2040 0.03%
GNR 2013-129 SN IO 03.7671 09/20/2043 0.03%
SERVICE CORPORATION INTL 04.6250 12/15/2027 0.03%
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CNO FINANCIAL GROUP INC 05.2500 05/30/2025 0.03%
MBX.FN30.400.09 R USL1M P 01/12/40 BC 0.03%
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DIAMOND 1 FIN/DIAMON P/P 144A 08.3500 07/15/2046 0.03%
FHLMC FH30G Q39680 03.5000 04/01/2046 0.03%
FNR 2013-55 PI IO 03.0000 05/25/2042 0.03%
GNR 2017-6 DI IO 03.5000 01/20/2044 0.03%
MBX.GII30.500.10 R USL1M P 01/12/41 BC 0.03%
NEUBERGER BERMAN GRP P/P 144A 04.8750 04/15/2045 0.03%
TIAAC 2003-1A E 144A 08.0000 12/28/2038 0.03%
FHLMC FH30G Q29422 04.5000 11/01/2044 0.03%
GNR 2015-H22 EI IO 01.6163 08/20/2065 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.03%
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2.536 R ISWP FWD US0003M P 12/02/2023 0.03%
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FNMA FN30 AR4126 UMBS 03.0000 02/01/2043 0.03%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.03%
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SWPTN 2YX10Y P 2.7725 USD 02/26/2021 MS 0.03%
GNR 2013-34 PI IO 04.5000 08/20/2039 0.03%
SWPTN 2YX10Y P 2.764 USD 02/16/2021 MS 0.03%
SWPTN 3YX2Y R 2.2275 USD 05/16/2022 BA 0.03%
BERKSHIRE HATHAWAY ENERG 06.5000 09/15/2037 0.02%
CITIGROUP INC 04.7500 05/18/2046 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
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CROWN CASTLE INTL CORP 04.7500 05/15/2047 0.02%
HARTFORD FINL SVCS GRP 06.6250 03/30/2040 0.02%
STRU BC-6764 IO IO 04.0000 07/20/2045 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02%
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CELANESE US HOLDINGS LLC 04.6250 11/15/2022 0.02%
CELANESE US HOLDINGS LLC 05.8750 06/15/2021 0.02%
CROWN CASTLE INTL CORP 03.1500 07/15/2023 0.02%
HILTON DOMESTIC P/P 144A 04.8750 01/15/2030 0.02%
HILTON DOMESTIC OPERATIN 04.2500 09/01/2024 0.02%
IOS.FN30.400.10 R USL1M P 01/12/41 CS 0.02%
NUTRIEN LTD USD 05.2500 01/15/2045 0.02%
SANTANDER UK PLC P/P 144A 05.0000 11/07/2023 0.02%
SWPTN 2YX13Y P 3.162 USD 11/30/2020 JP 0.02%
SWPTN 5WX10Y R 1.965 USD 07/15/2019 BC 0.02%
WESTROCK MWV LLC 07.9500 02/15/2031 0.02%
FHR 4018 DI IO 04.5000 07/15/2041 0.02%
FNMA FN30 BC5322 UMBS 03.5000 03/01/2046 0.02%
GNR 2013-23 IK IO 03.0000 09/20/2037 0.02%
GNR 2014-4 IK IO 04.0000 07/20/2039 0.02%
PACIFICORP 06.2500 10/15/2037 0.02%
THE SHERWIN-WILLIAMS COMPANY 02.7500 06/01/2022 0.02%
BGC PARTNERS INC 05.1250 05/27/2021 0.02%
FNMA FN30 AP6568 UMBS 03.0000 09/01/2042 0.02%
FNMA FN30 BA5236 UMBS 03.5000 12/01/2045 0.02%
GNMA GII30 BO3369 05.0000 06/20/2049 0.02%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.02%
KKR GROUP FINANCE CO P/P 144A 06.3750 09/29/2020 0.02%
BANK OF AMERICA CORP 06.5000 10/29/2049 0.02%
CC HLDG GS V LLC/CRO 03.8490 04/15/2023 0.02%
CROWN CASTLE INTL CORP 04.8750 04/15/2022 0.02%
IOS.FN30.450.10 R USL1M P 01/12/41 BA 0.02%
IOS.FN30.650.67 R USL1M P 01/12/38 GS 0.02%
2.569 R ISWP FWD US0003M P 06/12/2049 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.02%
ERAC USA FINANCE LLC P/P 144A 04.5000 02/15/2045 0.02%
SWPTN 1YX10Y P 2.7475 USD 02/13/2020 GS 0.02%
BMW US CAPITAL LLC P/P 144A 03.4000 08/13/2021 0.02%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS 0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.02%
COMCAST CORP 06.5000 11/15/2035 0.02%
FHR 2976 LC 15.6411 05/15/2035 0.02%
FNMA FN30 AP3902 UMBS 03.0000 10/01/2042 0.02%
GNMA GII30 BN1506 04.5000 05/20/2049 0.02%
GNR 2015-99 LI IO 04.0000 07/20/2045 0.02%
GNR 2018-127 IB IO 04.5000 06/20/2045 0.02%
IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02%
IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.02%
ALLERGAN FUNDING SCS USD 03.4500 03/15/2022 0.02%
FIDELITY NATIONAL INFORM 03.0000 08/15/2026 0.02%
GENERAL MOTORS FINL CO 04.3000 07/13/2025 0.02%
GNMA GII30 BO4634 05.0000 06/20/2049 0.02%
GNMA GII30 DU4515 05.0000 05/20/2049 0.02%
GNR 2014-108 IP IO 04.5000 12/20/2042 0.02%
IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.02%
SABMILLER HLDG INC 04.9500 01/15/2042 0.02%
SWPTN 4MX10Y P 2.265 USD 10/03/2019 MS 0.02%
FNR 2013-23 LI IO 03.0000 06/25/2041 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.01%
IOS.FN30.600.08 R USL1M P 01/12/39 BC 0.01%
ANTHEM INC 04.6250 05/15/2042 0.01%
AUTONATION INC 04.5000 10/01/2025 0.01%
EQUINOR ASA USD 05.1000 08/17/2040 0.01%
FHR 3300 PO PO 00.0000 02/15/2037 0.01%
FIRSTENERGY CORP 03.9000 07/15/2027 0.01%
GNMA GII30 BN1509 05.0000 05/20/2049 0.01%
WESTLAKE CHEMICAL CORP 04.3750 11/15/2047 0.01%
FNR 2005-83 QP 11.1426 11/25/2034 0.01%
GNMA GII30 BJ9611 04.5000 05/20/2049 0.01%
GNMA GII30 BN2618 04.5000 05/20/2049 0.01%
GNR 2014-46 KI IO 03.0000 06/20/2036 0.01%
SWPTN 5WX30Y R 2.3025 USD 07/15/2019 GS 0.01%
2.32 R ISWP FWD US0003M P 02/09/2024 0.01%
BERKSHIRE HATHAWAY ENERG 06.1250 04/01/2036 0.01%
CBS CORP 04.0000 01/15/2026 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%
FNR 2013-30 IP IO 03.0000 10/25/2041 0.01%
GSMS 2012-GC6 D P/P 144A 05.8398 01/10/2045 0.01%
IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.01%
TREASURY BILL 00.0000 08/08/2019 0.01%
AMERICAN TOWER CORP 03.3750 10/15/2026 0.01%
CBRE SERVICES INC 05.2500 03/15/2025 0.01%
ERAC USA FINANCE LLC P/P 144A 03.8500 11/15/2024 0.01%
FHR 3391 PO PO 00.0000 04/15/2037 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01%
ENERGY TRANSFER OPERATNG 05.2000 02/01/2022 0.01%
IOS.FN30.350.12 R USL1M P 01/12/43 BC 0.01%
IOS.FN30.450.10 R USL1M P 01/12/41 GS 0.01%
SWPTN 2YX30Y P 2.904 USD 05/24/2021 MS 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 MS 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%
2.3075 R ISWP FWD US0003M P 02/02/2024 0.01%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 MS 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 JP 0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01%
FNS 372 1 PO 00.0000 08/25/2036 0.01%
OMEGA HLTHCARE INVES 05.2500 01/15/2026 0.01%
SWPTN 12YX10Y R 2.5 USD 11/09/2029 JP 0.01%
SWPTN 4MX10Y P 2.401 USD 09/30/2019 BA 0.01%
2.57 R ISWP FWD US0003M P 02/02/2024 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 ML 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01%
SWPTN 5YX30Y R 3.27 USD 10/17/2023 MS 0.01%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
CSMC 2007-C4 C P/P 144A 05.9096 09/15/2039 0.00%
FNMA FN30 953612 05.0000 03/01/2038 0.00%
CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 JP 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
FHR 3210 PO PO 00.0000 05/15/2036 0.00%
FNR 2007-64 LO PO 00.0000 07/25/2037 0.00%
GNR 2014-162 DI IO 04.0000 11/20/2038 0.00%
GNR 2018-127 ID IO 05.0000 07/20/2045 0.00%
IOS.FN30.600.08 R USL1M P 01/12/39 GS 0.00%
PPL CAPITAL FUNDING INC 03.4000 06/01/2023 0.00%
SWPTN 2MX10Y P 2.193 USD 07/30/2019 CI 0.00%
2.55 R ISWP FWD US0003M P 11/20/2039 0.00%
2.5725 R ISWP FWD US0003M P 02/02/2024 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 JP 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00%
CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
FHR 3175 MO PO 00.0000 06/15/2036 0.00%
GLENCORE FIN CANADA P/P 144A 06.0000 11/15/2041 0.00%
GLENCORE FUNDING LLC P/P 144A 04.6250 04/29/2024 0.00%
IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00%
SWPTN 10WX10Y P 2.281 USD 08/09/2019 GS 0.00%
SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00%
SWPTN 3MX5Y P 1.746 USD 09/26/2019 CI 0.00%
SWPTN 7YX25Y R 2.505 USD 11/13/2024 MS 0.00%
SWPTN 7YX25Y R 2.689 USD 11/12/2024 CI 0.00%
SWPTN 7YX25Y R 2.902 USD 11/08/2024 JP 0.00%
1.70 R ISWP FWD US0003M P 09/18/2021 0.00%
2.2225 R ISWP FWD US0003M P 06/05/2029 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 ML 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00%
FHR 3117 AF 00.0000 02/15/2036 0.00%
FHR 3326 WF 00.0000 10/15/2035 0.00%
FHR 3369 BO PO 00.0000 09/15/2037 0.00%
FHR 3707 PI IO 04.5000 07/15/2025 0.00%
GECMC 2007-C1 XC IO P/P 144A 00.2697 12/10/2049 0.00%
MLCFC 2006-4 XC IO P/P 144A 00.7645 12/12/2049 0.00%
SWPTN 1YX5Y R 1.765 USD 06/26/2020 CI 0.00%
SWPTN 5WX30Y P 2.3025 USD 07/15/2019 GS 0.00%
2.184 R ISWP FWD US0003M P 07/17/2049 0.00%
2.194 R ISWP FWD US0003M P 07/17/2049 0.00%
2.241 R ISWP FWD US0003M P 07/17/2049 0.00%
2.252 R ISWP FWD US0003M P 07/17/2049 0.00%
BSCMS 06-PW14 X1 IO P/P 144A 00.5010 12/11/2038 0.00%
CD 2007-CD4 XW IO P/P 144A 00.7284 12/11/2049 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 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%
IOS.FN30.400.10 R USL1M P 01/12/41 GS 0.00%
JPMCC 05-CB12 X1 IO P/P 144A 00.5133 09/12/2037 0.00%
SWPTN 3MX5Y P 1.736 USD 09/27/2019 GS 0.00%
WALGREENS BOOTS ALLIANCE 03.4500 06/01/2026 0.00%
2.199 R ISWP FWD US0003M P 07/17/2049 0.00%
2.229 R ISWP FWD US0003M P 07/17/2049 0.00%
BACM 2004-5 XC IO P/P 144A 00.5972 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 00.4020 01/15/2049 0.00%
BACM 2007-5 XW IO P/P 144A 00.0000 02/10/2051 0.00%
BSCMS 04-PR3I X1 IO 00.0000 02/11/2041 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CG 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 JP 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 ML 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 MS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CG 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 CS 0.00%
CMB CMBX.NA.A.7 2047-01-17 200.0 01/17/2047 MS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00%
CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP 0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00%
COMM 2006-C8 XS IO P/P 144A 00.6983 12/10/2046 0.00%
CPURNSA R 1.89 P 07/05/22 0.00%
CSMC 2007-C2 AX IO P/P 144A 00.0484 01/15/2049 0.00%
FPLUS 1997-3 B1 07.7900 11/10/2023 0.00%
JPMCC 06-LDP6 X1 IO P/P 144A 00.0000 04/15/2043 0.00%
JPMCC 2006-LDP8 X IO 00.2853 05/15/2045 0.00%
JPMCC 2007-LDPX X IO 00.3240 01/15/2049 0.00%
LBUBS 2005-C7 XCL IO P/P 144A 00.5069 11/15/2040 0.00%
LBUBS 2007-C2 XCL IO P/P 144A 00.4815 02/15/2040 0.00%
LBUBS 2007-C2 XW IO 00.4815 02/15/2040 0.00%
MEZZ 2005-C3 X IO P/P 144A 07.1366 05/15/2044 0.00%
MEZZ 2006-C4 X IO P/P 144A 06.5270 07/15/2045 0.00%
MLMT 2004-KEY2 XC IO P/P 144A 01.0098 08/12/2039 0.00%
MLMT 2005-MCP1 XC IO P/P 144A 00.0012 06/12/2043 0.00%
OPTN FN30 3.5 07/08/19 PUT 100.09765625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 100.28515625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 100.59765625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 100.78515625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 101.09765625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 101.28515625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 99.59765625 JPMC 0.00%
OPTN FN30 3.5 07/08/19 PUT 99.78515625 JPMC 0.00%
SWPTN 1YX10Y P 3.096 USD 11/29/2019 JP 0.00%
SWPTN 1YX2Y P 3.095 USD 11/19/2019 JP 0.00%
SWPTN 1YX2Y P 3.0975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.3975 USD 11/18/2019 MS 0.00%
SWPTN 1YX2Y P 3.415 USD 11/19/2019 JP 0.00%
SWPTN 1YX5Y R 1.755 USD 06/29/2020 GS 0.00%
SWPTN 2MX10Y P 2.401 USD 07/30/2019 BA 0.00%
SWPTN 2MX10Y P 2.463 USD 07/30/2019 CI 0.00%
SWPTN 3MX1Y P 2.458 USD 07/26/2019 GS 0.00%
SWPTN 3MX1Y P 2.558 USD 07/26/2019 GS 0.00%
SWPTN 3MX1Y P 2.658 USD 07/26/2019 GS 0.00%
WBCMT 2006-C29 IO IO 00.4775 11/15/2048 0.00%
WBCMT 2007-C34 IO IO 00.1233 05/15/2046 0.00%
2.263 R ISWP FWD US0003M P 07/17/2049 -0.00%
2.3075 R ISWP FWD US0003M P 06/22/2052 -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.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%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.00%
SWPTN 2MX10Y P 2.373 USD 07/30/2019 CI -0.00%
SWPTN 3MX5Y R 1.736 USD 09/27/2019 GS -0.00%
2.299 R ISWP FWD US0003M P 06/12/2049 -0.00%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.00%
IOS.FN30.350.12 P USL1M R 01/12/43 CS -0.00%
SWPTN 1YX5Y P 1.755 USD 06/29/2020 GS -0.00%
SWPTN 2MX10Y P 2.283 USD 07/30/2019 CI -0.00%
SWPTN 3MX5Y R 1.746 USD 09/26/2019 CI -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP -0.00%
SWPTN 1YX5Y P 1.765 USD 06/26/2020 CI -0.00%
SWPTN 2YX3Y P 2.975 USD 11/30/2020 JP -0.00%
SWPTN 9WX10Y P 2.265 USD 08/05/2019 MS -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 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
SWPTN 1YX10Y P 2.7225 USD 02/18/2020 MS -0.00%
SWPTN 5YX30Y P 3.27 USD 10/17/2023 MS -0.00%
2.0625 R ISWP FWD US0003M P 06/22/2030 -0.00%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.00%
CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.00%
SWPTN 1YX10Y P 2.715 USD 02/27/2020 MS -0.00%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.01%
IOS.FN30.350.12 P USL1M R 01/12/43 JP -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
IOS.FN30.500.10 P USL1M R 01/12/41 BC -0.01%
SWPTN 10WX10Y P 2.191 USD 08/09/2019 GS -0.01%
2.528 R ISWP FWD US0003M P 02/02/2024 -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 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%
SWPTN 2YX5Y P 2.664 USD 05/24/2021 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
2.25 R ISWP FWD US0003M P 09/18/2049 -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.01%
2.488 R ISWP FWD US0003M P 06/12/2049 -0.01%
2.565 R ISWP FWD US0003M P 06/12/2049 -0.01%
CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01%
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 ML -0.02%
SWPTN 10WX10Y P 2.101 USD 08/09/2019 GS -0.02%
2.5365 R ISWP FWD US0003M P 06/12/2049 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.02%
SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.02%
SWPTN 7YX25Y P 2.902 USD 11/08/2024 JP -0.02%
2.5335 R ISWP FWD US0003M P 06/12/2049 -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 MS -0.02%
SWPTN 12YX10Y P 2.5 USD 11/09/2029 JP -0.02%
2.537 R ISWP FWD US0003M P 06/12/2049 -0.02%
IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.02%
SWPTN 3YX2Y P 2.2275 USD 05/16/2022 BA -0.02%
SWPTN 7YX25Y P 2.689 USD 11/12/2024 CI -0.02%
2.4105 R ISWP FWD US0003M P 06/14/2052 -0.02%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02%
SWPTN 5WX10Y R 2.065 USD 07/15/2019 BC -0.02%
SWPTN 7YX25Y P 2.505 USD 11/13/2024 MS -0.02%
2.184 R ISWP FWD US0003M P 12/07/2030 -0.02%
2.1935 R ISWP FWD US0003M P 12/14/2030 -0.02%
2.6059 R ISWP FWD US0003M P 06/12/2049 -0.02%
IOS.FN30.500.08 P USL1M R 01/12/39 CS -0.03%
SWPTN 7YX10Y P 3.01 USD 02/27/2026 MS -0.03%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.03%
SWPTN 3YX5Y P 2.823 USD 05/23/2022 GS -0.03%
SWPTN 7YX10Y P 2.97 USD 02/17/2026 MS -0.03%
2.67 R ISWP FWD US0003M P 03/28/2052 -0.03%
IOS.FN30.500.10 P USL1M R 01/12/41 CS -0.04%
SWPTN 1MX30Y R 2.38 USD 06/28/2019 JP -0.04%
2.098 R ISWP FWD US0003M P 03/04/2030 -0.04%
IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.04%
IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.05%
IOS.FN30.500.10 P USL1M R 01/12/41 GS -0.05%
IOS.FN30.500.10 P USL1M R 01/12/41 JP -0.05%
2.6785 R ISWP US0003M P 02/13/2029 -0.06%
SWPTN 7YX10Y R 2.97 USD 02/17/2026 MS -0.07%
SWPTN 7YX10Y R 3.01 USD 02/27/2026 MS -0.08%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.08%
1.80 R ISWP FWD US0003M P 09/18/2024 -0.09%
SWPTN 5YX10Y P 3.229 USD 11/30/2023 JP -0.10%
2.44 R ISWP FWD US0003M P 03/26/2030 -0.10%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.12%
IOS.GII30.500.10 P USL1M R 01/12/41 JP -0.12%
SWPTN 5YX10Y P 2.9425 USD 02/13/2024 GS -0.14%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.14%
2.647 R ISWP FWD US0003M P 03/16/2030 -0.14%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.14%
SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.16%
SWPTN 6YX24Y R 2.75 USD 05/22/2025 MS -0.16%
SWPTN 1YX10Y R 2.715 USD 02/27/2020 MS -0.17%
SWPTN 1YX10Y R 2.7225 USD 02/18/2020 MS -0.18%
2.77 R ISWP US0003M P 01/22/2021 -0.19%
SWPTN 5YX24Y R 3.0 USD 04/04/2024 MS -0.20%
SWPTN 5YX24Y R 3.0 USD 04/12/2024 MS -0.20%
SWPTN 6YX24Y R 3.0 USD 01/31/2025 MS -0.20%
MBX.FN30.600.08 P USL1M R 01/12/39 BC -0.21%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.22%
SWPTN 2YX3Y R 2.975 USD 11/30/2020 JP -0.23%
SWPTN 7YX30Y P 3.195 USD 11/28/2025 BA -0.27%
MBX.FN30.650.67 P USL1M R 01/12/38 GS -0.30%
SWPTN 10YX30Y P 2.7875 USD 04/24/2029 MS -0.32%
CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.38%
SWPTN 5YX10Y R 2.9425 USD 02/13/2024 GS -0.47%
SWPTN 5YX10Y R 3.229 USD 11/30/2023 JP -0.58%
3.065 R ISWP FWD US0003M P 01/03/2029 -0.59%
SWPTN 10YX30Y R 2.7875 USD 04/24/2029 MS -0.63%
SWPTN 7YX30Y R 3.195 USD 11/28/2025 BA -1.28%
MBX.FN30.650.67 P USL1M R 01/12/38 BC -3.38%
90DAY EURO$ FUTR MAR21 EDH1 -26.16%

Prior top 10 holdings

Top 10 holdings as of 08/31/19
1: Fnma Fn30 Tba Umbs 03.0000 09/01/2049 12.60%
2: Fnma Fn30 Tba Umbs 03.5000 09/01/2049 5.95%
3: Fnma Fn30 Tba Umbs 04.0000 09/01/2049 4.41%
4: Gnma Gii30 Tba 04.5000 09/01/2049 2.02%
5: Gnma Gii30 Tba 03.5000 09/01/2049 2.01%
6: Gnma Gii30 Tba 04.0000 09/01/2049 1.61%
7: Bf0101 03.5000 06/01/2056 0.93%
8: Fnma Fn30 Tba Umbs 06.0000 09/01/2049 0.85%
9: Fnma Fn30 Tba Umbs 05.5000 09/01/2049 0.83%
10: Wamu 2005-Ar13 A1c4 02.6960 10/25/2045 0.72%
Holdings represent 31.93% of portfolio
Top 10 holdings as of 07/31/19
1: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 9.20%
2: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 5.28%
3: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 4.51%
4: Gnma Gii30 Tba 04.5000 08/01/2049 2.06%
5: Gnma Gii30 Tba 03.5000 08/01/2049 2.05%
6: Gnma Gii30 Tba 04.0000 08/01/2049 1.65%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.96%
8: Bf0101 03.5000 06/01/2056 0.95%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.87%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.85%
Holdings represent 28.38% of portfolio
Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 4.54%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 2.92%
3: Gnma Gii30 Tba 04.5000 07/01/2049 2.11%
4: Gnma Gii30 Tba 03.5000 07/01/2049 2.09%
5: Gnma Gii30 Tba 04.0000 07/01/2049 1.68%
6: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.67%
7: Bf0101 03.5000 06/01/2056 0.98%
8: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.98%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.88%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.86%
Holdings represent 18.71% of portfolio
Top 10 holdings as of 05/31/19
1: Umbs Fn30 Tba 03.5000 06/01/2049 4.60%
2: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 2.54%
3: Gnma Gii30 Tba 04.5000 06/01/2049 2.13%
4: Umbs Fn30 Tba 04.0000 06/01/2049 2.12%
5: Gnma Gii30 Tba 03.5000 06/01/2049 2.11%
6: Gnma Gii30 Tba 04.0000 06/01/2049 1.70%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 1.00%
8: Bf0101 03.5000 06/01/2056 0.99%
9: Umbs Fn30 Tba 06.0000 06/01/2049 0.89%
10: Umbs Fn30 Tba 05.5000 06/01/2049 0.88%
Holdings represent 18.96% of portfolio

Sector Weightings as of 08/31/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 11.61% 0.57 31.12% 1.08 42.73% 1.65
Commercial MBS 12.27% 0.35 13.70% 0.33 25.97% 0.68
Investment-grade corporate bonds 25.51% 2.10 0.00% 0.00 25.51% 2.10
Net cash 23.79% 0.00 0.00% 0.00 23.79% 0.00
Agency CMO 12.56% 0.45 0.36% 0.01 12.92% 0.46
Residential MBS (non-agency) 11.03% 0.29 0.00% 0.00 11.03% 0.29
Asset-backed securities (ABS) 1.69% 0.04 0.00% 0.00 1.69% 0.04
High-yield corporate bonds 1.54% 0.07 0.00% 0.00 1.54% 0.07
Interest rate swaps 0.00% 0.00 0.00% 1.32 0.00% 1.32
U.S. Treasury/agency 0.00% 0.00 0.00% 1.80 0.00% 1.80

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 08/31/19

United States 94.33%
Canada 1.21%
Bermuda 1.19%
United Kingdom 0.93%
France 0.56%
Netherlands 0.43%
Spain 0.35%
Japan 0.26%
Australia 0.23%
 
Other
0.51%
Switzerland 0.19%
Germany 0.13%
Ireland 0.11%
Luxembourg 0.07%
Norway 0.01%

Expenses

Sales Charges/Fees

Breakpoint Sales Charge Dealer Allowance CDSC Liab
$0 - $0 0.00% 0.00% N

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.

CDSC

Year Percent
1 7.00%
2 7.00%
3 6.00%
4 5.00%
5 4.00%
6 3.00%
7 2.00%
8+ 0.00%