Portfolio Characteristics

As of 12/31/2019

Bond Fund
Bloomberg Barclays U.S. Aggregate Bond Index
Beta vs. Fund Benchmark
0.90
Number of Issues
919
10982
Average Market Coupon (%)
3.30
3.24
Yield to Maturity (%)
3.06
2.32
Weighted Avg. Maturity (yrs)
7.43
8.03
Weighted Avg. Duration (yrs)
6.47
5.84

Top 10 Holdings

As of 12/31/2019

Company Name
Maturity Date
Coupon Rate (%)
Value ($000's)
% of Net Assets
Government National Mortgage Association TBA
1/23/2049
4.0
252,139
12.5
Federal National Mortgage Association TBA
2/13/2049
3.0
178,586
8.9
Federal National Mortgage Association TBA
1/14/2049
3.5
94,494
4.7
U.S. Treasury Bonds
8/15/2044
3.1
79,562
3.9
Federal National Mortgage Association REMIC
10/25/2041
3.5
78,340
3.9
Government National Mortgage Association TBA
1/23/2049
3.5
56,678
2.8
U.S. Treasury Notes
12/31/2021
2.0
42,029
2.1
U.S. Treasury Notes
8/31/2021
2.0
41,269
2.0
U.S. Treasury Inflation Indexed Bonds
1/15/2029
0.9
38,972
1.9
U.S. Treasury Inflation Indexed Bonds
7/15/2028
0.8
36,464
1.8

Full Holdings

As of 12/31/2019

Company Name [Ticker]
Country
Shares (000's)
Current Price ($)
Market Value ($000's)
% of Net Assets
Government National Mortgage Association TBA
United States
243,600
103.506
252,139
12.5
Federal National Mortgage Association TBA
United States
176,300
101.297
178,586
8.9
Federal National Mortgage Association TBA
United States
91,900
102.823
94,494
4.7
U.S. Treasury Bonds
United States
70,000
113.66
79,562
3.9
Federal National Mortgage Association REMIC
United States
74,467
105.201
78,340
3.9
Government National Mortgage Association TBA
United States
55,000
103.051
56,678
2.8
U.S. Treasury Notes
United States
41,700
100.789
42,029
2.1
U.S. Treasury Notes
United States
41,000
100.656
41,269
2.0
U.S. Treasury Inflation Indexed Bonds
United States
36,688
106.225
38,972
1.9
U.S. Treasury Inflation Indexed Bonds
United States
34,650
105.235
36,464
1.8
Brazil Letras Do Tesouro Nacional
Brazil
135,000
24.595
33,204
1.6
U.S. Treasury Bonds
United States
32,500
101.948
33,133
1.6
Government National Mortgage Association
United States
27,119
104.87
28,439
1.4
U.S. Treasury Notes
United States
25,100
100.682
25,271
1.3
Government National Mortgage Association
United States
23,500
106.904
25,122
1.2
U.S. Treasury Notes
United States
22,800
105.925
24,151
1.2
Hawksmoor Mortgages
United Kingdom
18,017
132.92
23,948
1.2
Towd Point Mortgage Funding
United Kingdom
17,300
132.367
22,900
1.1
U.S. Treasury Notes
United States
21,000
100.372
21,078
1.0
U.S. Treasury Inflation Indexed Bonds
United States
18,751
101.56
19,043
0.9
U.S. Treasury Inflation Indexed Bonds
United States
17,869
103.087
18,421
0.9
U.S. Treasury Bonds
United States
16,800
108.859
18,288
0.9
U.S. Treasury Bonds
United States
12,000
138.156
16,579
0.8
Federal National Mortgage Association
United States
14,500
104.092
15,093
0.7
Structured Asset Securities Co.
United States
20,883
70.856
14,797
0.7
Federal National Mortgage Association TBA
United States
14,200
104.02
14,771
0.7
Spain Government Bond MTN
Spain
12,700
113.677
14,437
0.7
U.S. Treasury Bonds
United States
10,500
134.171
14,088
0.7
Government National Mortgage Association TBA
United States
13,200
103.098
13,609
0.7
U.S. Treasury Bonds
United States
14,000
97.098
13,594
0.7
U.S. Treasury Bonds
United States
11,900
113.346
13,488
0.7
Verizon Communications Inc.
United States
12,695
105.888
13,442
0.7
Brazil Letras Do Tesouro Nacional
Brazil
55,100
24.344
13,414
0.7
U.S. Treasury Inflation Indexed Bonds
United States
12,203
102.032
12,451
0.6
Unicredit SpA MTN
Italy
10,600
116.684
12,369
0.6
Spain Government Bond
Spain
9,600
122.116
11,723
0.6
Federal National Mortgage Association TBA
United States
11,000
103.629
11,399
0.6
Federal National Mortgage Association TBA
United States
11,000
102.799
11,308
0.6
Province of Quebec Canada
Canada
13,900
80.496
11,189
0.6
U.S. Treasury Inflation Indexed Bonds
United States
10,018
110.755
11,095
0.6
IndyMac INDX Mortgage Loan Trust
United States
13,200
83.582
11,033
0.5
U.S. Treasury Inflation Indexed Bonds
United States
10,363
103.941
10,772
0.5
U.S. Treasury Inflation Indexed Bonds
United States
10,417
102.058
10,631
0.5
U.S. Treasury Notes
United States
10,600
100.242
10,626
0.5
Federal National Mortgage Association
United States
9,483
107.003
10,148
0.5
Ford Motor Credit Co. LLC
United States
10,050
100.188
10,069
0.5
Credit Suisse Group Funding Guernsey Ltd.
Guernsey
8,900
105.819
9,418
0.5
Deutsche Bank AG/New York
Germany
9,000
102.199
9,198
0.5
Government National Mortgage Association II
United States
8,789
104.495
9,184
0.5
Towd Point Mortgage Funding
United Kingdom
6,667
132.903
8,861
0.4
UBS Group Funding Jersey Ltd.
Switzerland
8,500
101.337
8,614
0.4
Trillium Credit Card Trust II
Canada
8,100
100.022
8,102
0.4
U.S. Treasury Bonds
United States
6,800
118.243
8,041
0.4
JPMorgan Chase Bank NA
United States
8,000
100.059
8,005
0.4
Charter Communications Operating LLC
United States
7,600
105.10
7,988
0.4
U.S. Treasury Notes
United States
7,800
100.739
7,858
0.4
Goldman Sachs Group Inc.
United States
7,700
100.712
7,755
0.4
General Motors Financial Co. Inc.
United States
7,700
99.848
7,688
0.4
Japan International Cooperation Agency
Japan
6,900
103.461
7,139
0.4
Residential Asset Securitization Trust
United States
17,895
39.255
7,025
0.3
Sumitomo Mitsui Financial Group Inc.
Japan
6,900
101.663
7,015
0.3
GS Mortgage Securities Corp. Trust
United States
6,900
100.577
6,940
0.3
Citigroup Inc.
United States
6,800
101.557
6,906
0.3
Japan Finance Organization For Municipalities MTN
Japan
6,800
101.385
6,894
0.3
Rio Oil Finance Trust
United States
5,882
117.00
6,882
0.3
BGC Partners Inc. [BGCP4666919]
United States
6,300
106.952
6,738
0.3
Allergan Funding SCS
Luxembourg
6,700
100.077
6,705
0.3
American Express Co.
United States
6,400
103.833
6,645
0.3
General Motors Financial Co. Inc.
United States
6,600
100.25
6,616
0.3
Bayer US Finance II LLC
United States
6,300
104.964
6,613
0.3
Banque Federative DU Credit Mutuel SA
France
6,300
104.87
6,607
0.3
Spain Government Bond
Spain
5,400
121.449
6,558
0.3
Aig Global Funding [AIGG4647432]
United States
6,400
102.209
6,541
0.3
Volkswagen Group of America Finance LLC
United States
6,500
100.417
6,527
0.3
Federal National Mortgage Association TBA
United States
6,400
101.363
6,487
0.3
Barclays plc
United Kingdom
6,300
102.394
6,451
0.3
Jackson National Life Global Funding [PUK4642122]
United States
6,300
102.018
6,427
0.3
U.S. Treasury Bonds
United States
5,700
112.325
6,403
0.3
US Bank NA
United States
6,300
101.599
6,401
0.3
Credit Acceptance Auto Loan Trust
United States
6,300
101.278
6,380
0.3
AT&T Inc. [T4647713]
United States
6,200
100.619
6,238
0.3
Federal National Mortgage Association
United States
6,000
103.548
6,213
0.3
Deutsche Telekom International Finance BV
Netherlands
6,080
101.49
6,171
0.3
Morgan Stanley Bank of America Merrill Lynch Trust
United States
6,000
101.993
6,120
0.3
Mylan NV
Netherlands
5,100
119.656
6,102
0.3
Digital Realty Trust LP
United States
5,500
110.696
6,088
0.3
Lloyds Banking Group plc
United Kingdom
6,000
101.249
6,075
0.3
Toronto-Dominion Bank
Canada
5,900
102.652
6,056
0.3
CVS Health Corp.
United States
5,800
104.163
6,041
0.3
Deutsche Bank AG/New York [DB4587600]
Germany
6,000
100.461
6,028
0.3
Securitized Asset Backed Receivables LLC Trust
United States
7,938
75.834
6,019
0.3
Simon Property Group LP [SPG4277700]
United States
6,000
100.251
6,015
0.3
ZF North America Capital Inc. [TRW4237927]
United States
5,800
103.082
5,979
0.3
Evergreen Credit Card Trust
Canada
6,000
99.576
5,975
0.3
AerCap Ireland Capital DAC / Aercap Global Aviation Trust
Ireland
5,500
108.392
5,962
0.3
Daimler Finance North America LLC
United States
5,900
100.739
5,944
0.3
Wells Fargo & Co. MTN
United States
5,600
105.897
5,930
0.3
Lloyds Bank plc
United Kingdom
5,900
100.482
5,928
0.3
Federal Home Loan Mortgage Corp.
United States
5,900
100.158
5,909
0.3
Telos CLO Ltd.
Cayman Islands
5,908
100.015
5,909
0.3
Hewlett Packard Enterprise Co.
United States
5,900
100.014
5,901
0.3
Tralee CLO V Ltd.
Cayman Islands
5,900
100.005
5,900
0.3
Aia Group Ltd.
Hong Kong
5,900
99.951
5,897
0.3
U.S. Treasury Bonds
United States
5,200
113.319
5,893
0.3
Cantor Fitzgerald LP [CANT4258900]
United States
5,400
108.169
5,841
0.3
JPMorgan Chase & Co.
United States
5,700
102.162
5,823
0.3
Lloyds Banking Group plc
United Kingdom
5,300
109.222
5,789
0.3
State of Qatar Sr Unsecured Regs 03/24 3.375
Qatar
5,500
104.906
5,770
0.3
Crown Point CLO Ltd.
Cayman Islands
5,700
99.546
5,674
0.3
Barclays MTN
United Kingdom
4,000
141.487
5,659
0.3
Imperial Brands Finance plc
United Kingdom
5,600
100.934
5,652
0.3
John Deere Capital Corp. MTN
United States
5,600
100.393
5,622
0.3
Nationwide Building Society [NATB4660369]
United Kingdom
5,300
106.074
5,622
0.3
Synchrony Bank [GE4635140]
United States
5,500
102.109
5,616
0.3
Svenska Handelsbanken AB MTN
Sweden
5,500
101.976
5,609
0.3
Rockwell Collins Inc.
United States
5,500
101.75
5,596
0.3
Aviation Capital Group LLC [PALF4660279]
United States
5,300
104.543
5,541
0.3
JPMorgan Chase & Co.
United States
5,500
100.662
5,536
0.3
U.S. Treasury Bonds
United States
4,200
131.507
5,523
0.3
Daimler Finance North America LLC
United States
5,300
104.142
5,520
0.3
Citibank NA
United States
5,400
102.157
5,516
0.3
Capital One Financial Corp. [COF4559129]
United States
5,500
100.214
5,512
0.3
Deutsche Bank AG/New York
Germany
5,500
100.08
5,504
0.3
Dryden XXV Senior Loan Fund
Cayman Islands
5,500
99.856
5,492
0.3
American Express Co.
United States
5,200
105.13
5,467
0.3
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. [WYNN4007540]
United States
5,200
104.98
5,459
0.3
Government National Mortgage Association
United States
5,186
104.643
5,426
0.3
Capital One Financial Corp.
United States
5,400
100.318
5,417
0.3
Volkswagen Group of America Finance LLC
United States
4,800
112.669
5,408
0.3
Harley-Davidson Financial Services Inc. [HOG4634234]
United States
5,300
101.855
5,398
0.3
Skandinaviska Enskilda Banken AB
Sweden
5,300
101.694
5,390
0.3
Venture Xvi CLO Ltd.
Cayman Islands
5,400
99.787
5,388
0.3
Daimler Finance North America LLC
United States
5,300
101.565
5,383
0.3
Federal National Mortgage Association
United States
5,171
104.078
5,382
0.3
Washington Prime Group LP [WPG4526794]
United States
5,800
92.459
5,363
0.3
Goldman Sachs Group Inc. MTN
United States
5,000
106.549
5,327
0.3
Duke Energy Corp. [DUK4632717]
United States
5,300
100.391
5,321
0.3
Skandinaviska Enskilda Banken AB
Sweden
5,300
100.262
5,314
0.3
Federal National Mortgage Association
United States
5,265
100.896
5,313
0.3
American Express Co.
United States
5,200
101.914
5,300
0.3
Brandywine Oper Partners Co. [BDN4162469]
United States
5,000
105.958
5,298
0.3
Morgan Stanley
United States
5,200
100.927
5,248
0.3
Government National Mortgage Association TBA
United States
5,000
104.511
5,226
0.3
Societe Generale SA MTN
France
4,900
106.208
5,204
0.3
Sempra Energy [SRE4552447]
United States
5,200
100.055
5,203
0.3
Loancore Ltd.
Cayman Islands
5,200
100.002
5,200
0.3
Toyota Motor Credit Corporation
United States
5,200
99.973
5,199
0.3
E*Trade Financial Corp.
United States
5,100
101.859
5,195
0.3
Credit Suisse Group AG
Switzerland
5,100
101.858
5,195
0.3
Cent CLO Ltd.
Cayman Islands
5,200
99.874
5,193
0.3
Standard Chartered plc
United Kingdom
5,000
103.638
5,182
0.3
BCAP LLC Trust
United States
5,523
93.704
5,175
0.3
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. [WYNN4212163]
United States
4,800
107.374
5,154
0.3
GE Capital UK Funding Unlimited Co. MTN
Ireland
3,730
137.486
5,128
0.3
Credit Agricole SA/London MTN
France
4,900
104.606
5,126
0.3
Volkswagen Group of America Finance LLC
United States
4,800
106.556
5,115
0.3
AT&T Inc.
United States
5,000
102.204
5,110
0.3
Intesa Sanpaolo SpA
Italy
5,000
101.513
5,076
0.3
Bacardi Ltd.
Bermuda
4,700
107.823
5,068
0.3
Credit Suisse Group Funding Guernsey Ltd.
Guernsey
4,845
104.094
5,043
0.3
Paypal Holdings Inc.
United States
5,000
100.71
5,036
0.2
Standard Chartered plc Sr Unsecured 144A 09/22 Var
United Kingdom
5,000
100.699
5,035
0.2
Evergy Inc.
United States
5,000
100.615
5,031
0.2
Nextera Energy Capital Holdings Inc. [NEE4894231]
United States
5,000
100.334
5,017
0.2
Abbvie Inc.
United States
5,000
100.23
5,011
0.2
TPG Real Estate Finance Trust
Cayman Islands
5,000
99.97
4,998
0.2
Interstate Power & Light Co. [LNT4185305]
United States
4,800
104.109
4,997
0.2
American Tower Corp. Sr Unsecured 01/27 2.75
United States
5,000
99.937
4,997
0.2
Broadcom Inc.
United States
4,900
101.859
4,991
0.2
Anheuser-Busch InBev Finance Inc.
United States
4,700
106.096
4,987
0.2
Bank of America Corp. MTN
United States
4,960
100.52
4,986
0.2
Greenko Solar Mauritius Ltd.
Mauritius
4,900
101.70
4,983
0.2
DC Office Trust
United States
4,900
101.632
4,980
0.2
Lloyds Bank plc
United Kingdom
4,900
101.63
4,980
0.2
Boston Properties LP
United States
4,905
101.406
4,974
0.2
Abbvie Inc.
United States
4,900
100.685
4,934
0.2
Service Properties Trust
United States
4,800
102.743
4,932
0.2
Nextera Energy Capital Holdings Inc. [NEE4801411]
United States
4,800
102.558
4,923
0.2
BMW Finance NV
Netherlands
4,900
100.454
4,922
0.2
Zimmer Biomet Holdings Inc.
United States
4,900
100.068
4,903
0.2
Mizuho Financial Group Inc.
Japan
4,900
100.003
4,900
0.2
Park Place Securities Inc.
United States
4,860
100.713
4,894
0.2
U.S. Treasury Inflation Indexed Bonds
United States
4,397
111.226
4,891
0.2
Asset Backed Securities Corp. Home Equity Loan Trust
United States
4,864
100.457
4,886
0.2
Daimler Finance North America LLC
United States
4,861
100.162
4,869
0.2
Mitsubishi UFJ Financial Group Inc.
Japan
4,800
101.354
4,865
0.2
Federal National Mortgage Association
United States
4,613
105.122
4,850
0.2
Mountain View CLO Ltd.
Cayman Islands
4,850
99.956
4,848
0.2
Jackson National Life Global Funding [PUK4853935]
United States
4,800
100.911
4,844
0.2
COX Communications Inc.
United States
4,700
102.873
4,835
0.2
Duke Energy Corp.
United States
4,536
105.97
4,807
0.2
Fortune Brands Home & Security Inc.
United States
4,700
101.20
4,756
0.2
Spirit Realty LP Co. Guar 01/30 3.4
United States
4,700
100.503
4,724
0.2
Vereit Operating Partner Co.
United States
4,800
98.315
4,719
0.2
Federal National Mortgage Association
United States
4,502
104.186
4,690
0.2
Welltower Inc.
United States
4,600
101.247
4,657
0.2
Glp Capital LP / Glp Financing II Inc.
United States
4,500
102.302
4,604
0.2
Federal Home Loan Mortgage Corp. REMIC
United States
4,595
99.846
4,588
0.2
Syngenta Finance NV [SYT4623210]
Netherlands
4,500
101.709
4,577
0.2
Banco Bilbao Vizcaya Argentaria SA
Spain
4,000
113.214
4,529
0.2
JPMorgan Chase Bank NA
United States
4,500
100.344
4,515
0.2
McCormick & Co. Inc.
United States
4,400
101.574
4,469
0.2
Wells Fargo & Co.
United States
4,408
101.375
4,469
0.2
HCA Inc.
United States
4,000
111.628
4,465
0.2
OneMain Financial Issuance Trust
United States
4,463
99.999
4,463
0.2
Province of Ontario Canada
Canada
5,600
79.338
4,443
0.2
Pernod Ricard SA
France
4,200
104.608
4,394
0.2
Deutsche Alt-A Securities Inc. Mortgage Loan Trust
United States
4,554
95.512
4,349
0.2
Dell International LLC / EMC Corp.
United States
4,000
108.466
4,339
0.2
Royal Bank of Canada
Canada
4,300
100.554
4,324
0.2
ERP Operating LP [EQR4245068]
United States
4,100
105.081
4,308
0.2
Barclays plc
United Kingdom
4,200
102.551
4,307
0.2
Royal Bank of Scotland Group plc
United Kingdom
3,800
113.068
4,297
0.2
Monarch Grove CLO
Cayman Islands
4,300
99.715
4,288
0.2
Federal National Mortgage Association
United States
3,802
112.256
4,268
0.2
Sasol Financing USA LLC
United States
3,900
108.656
4,238
0.2
Spain Government Bond
Spain
3,300
128.38
4,237
0.2
Crown Castle International Corp.
United States
4,000
105.692
4,228
0.2
Takeda Pharmaceutical Co. Ltd.
Japan
3,900
107.376
4,188
0.2
Guardian Life Global Funding [GDLI4623711]
United States
4,000
103.988
4,160
0.2
Citigroup Inc.
United States
4,000
102.169
4,087
0.2
Air Canada 2017-1 Class Aa Pass-Through Trust [ACDVF4575320]
Canada
3,985
102.23
4,074
0.2
GSMPS Mortgage Loan Trust
United States
4,740
85.747
4,064
0.2
Bancorp Commercial Mortgage Trust
United States
4,052
100.082
4,055
0.2
Federal National Mortgage Association REMIC
United States
4,068
99.501
4,047
0.2
Mitsubishi UFJ Financial Group Inc.
Japan
3,900
103.73
4,045
0.2
CBL & Associates LP
United States
6,600
60.232
3,975
0.2
Citigroup Inc.
United States
3,900
101.78
3,969
0.2
Occidental Petroleum Corp.
United States
3,900
101.652
3,964
0.2
Broadcom Corp. / Broadcom Cayman Finance Ltd.
United States
3,800
103.855
3,946
0.2
Federal National Mortgage Association
United States
3,786
104.059
3,940
0.2
Aviation Capital Group LLC
United States
3,900
100.711
3,928
0.2
Marriott International
United States
3,900
100.204
3,908
0.2
Deutsche Bank AG/New York
Germany
3,800
102.558
3,897
0.2
Tesco Property Finance 5 plc
United Kingdom
2,257
172.428
3,892
0.2
Federal National Mortgage Association
United States
3,698
104.849
3,878
0.2
Barclays Bank plc
United Kingdom
3,700
104.454
3,865
0.2
Air Lease Corp. MTN
United States
3,600
107.269
3,862
0.2
Broadcom Corp. / Broadcom Cayman Finance Ltd.
United States
3,800
101.471
3,856
0.2
Penske Truck Leasing Co. LP [PENZ4541196]
United States
3,800
101.067
3,841
0.2
Fed Hm Ln PC Pool Zt1702 Fr 01/49 Fixed 4
United States
3,652
103.963
3,797
0.2
Government National Mortgage Association
United States
3,577
105.385
3,769
0.2
Reynolds American Inc.
United States
3,600
104.077
3,747
0.2
Federal National Mortgage Association TBA
United States
3,500
105.342
3,687
0.2
Oversea-Chinese Banking Corp. Ltd.
Singapore
3,700
99.602
3,685
0.2
BAT International Finance plc
United Kingdom
3,600
102.202
3,679
0.2
EMC Corp.
United States
3,600
100.143
3,605
0.2
Federal National Mortgage Association
United States
3,182
112.589
3,583
0.2
Countrywide Asset-Backed Certificates
United States
4,501
79.193
3,564
0.2
AT&T Inc.
United States
3,500
101.801
3,563
0.2
Small Business Administration Participation Certificates
United States
3,292
107.952
3,554
0.2
Deutsche Bank AG/New York
Germany
3,500
100.094
3,503
0.2
Goldman Sachs Group Inc.
United States
3,400
102.83
3,496
0.2
CRH America Finance Inc. [CRH4616054]
United States
3,200
109.033
3,489
0.2
CRH America Finance Inc. [CRH4616052]
United States
3,200
107.928
3,454
0.2
Reckitt Benckiser Treasury Services plc [RBGPF4509867]
United Kingdom
3,400
100.728
3,425
0.2
UBS AG/London [UBS4571142]
Switzerland
3,400
100.372
3,413
0.2
Aviation Capital Group LLC [PALF4625874]
United States
3,300
103.326
3,410
0.2
Ford Motor Credit Co. LLC [F4505489]
United States
3,400
99.947
3,398
0.2
Ford Motor Credit Co. LLC
United States
3,400
99.825
3,394
0.2
Mplx LP
United States
3,300
101.824
3,360
0.2
AXA Equitable Holdings Inc. [AXAHF4623283]
United States
3,200
104.793
3,353
0.2
Option One Mortgage Loan Trust
United States
4,402
75.929
3,343
0.2
Deutsche Bank AG/New York
Germany
3,200
102.848
3,291
0.2
Springleaf Finance Corp.
United States
2,800
113.999
3,192
0.2
MASTR Asset Backed Securities Trust
United States
5,429
58.782
3,191
0.2
AvalonBay Communities Inc. MTN [AVB4242544]
United States
3,000
105.68
3,170
0.2
Wells Fargo & Co.
United States
3,100
101.827
3,157
0.2
Avolon Holdings Funding Ltd. [AVOL4686316]
Cayman Islands
2,904
108.08
3,139
0.2
Platin 1426 GMBH
Germany
2,700
115.047
3,106
0.2
U.S. Treasury Inflation Indexed Bonds
United States
2,878
107.256
3,087
0.2
Alba plc
United Kingdom
2,457
125.622
3,087
0.2
Province of Quebec Canada
Canada
3,800
80.534
3,060
0.2
Teva Pharmaceutical Finance Netherlands III BV
Netherlands
3,000
101.706
3,051
0.2
Delta Air Lines Inc.
United States
3,000
101.397
3,042
0.2
Depository Trust & Clearing Corp. [DPYC4248975]
United States
3,000
101.022
3,031
0.2
Bayer US Finance II LLC
United States
2,800
107.89
3,021
0.1
Citigroup Inc.
United States
3,000
100.617
3,019
0.1
Mitsubishi UFJ Lease & Finance Co. Ltd. MTN
Japan
3,000
99.932
2,998
0.1
U.S. Treasury Inflation Indexed Bonds
United States
2,539
118.02
2,997
0.1
Volkswagen Bank GMBH MTN
Germany
2,500
118.101
2,953
0.1
Enbridge Inc. [ENB4550348]
Canada
2,900
100.011
2,900
0.1
Bbva USA
United States
2,900
99.169
2,876
0.1
Federal National Mortgage Association
United States
2,710
104.164
2,823
0.1
Credit Suisse Group AG
Switzerland
2,500
112.682
2,817
0.1
Federal National Mortgage Association
United States
2,644
105.662
2,794
0.1
Royal Bank of Scotland Group plc
United Kingdom
2,500
108.308
2,708
0.1
UBS AG/London
Switzerland
2,700
100.267
2,707
0.1
Westlake Automobile Receivables Trust
United States
2,698
100.177
2,703
0.1
Erac USA Finance LLC [ERAC3916052]
United States
2,600
102.871
2,675
0.1
General Motors Financial Co. Inc.
United States
2,600
100.466
2,612
0.1
Nordea Bank Abp
Finland
2,500
104.452
2,611
0.1
Federal National Mortgage Association TBA
United States
2,500
104.314
2,608
0.1
Nissan Motor Acceptance Corp.
United States
2,600
100.258
2,607
0.1
Countrywide Alternative Loan Trust
United States
3,051
84.795
2,587
0.1
Petroleos Mexicanos
Mexico
2,400
107.24
2,574
0.1
Wells Fargo Bank NA
United States
2,500
102.94
2,574
0.1
Homebanc Mortgage Trust
United States
2,582
99.582
2,571
0.1
Fed Hm Ln PC Pool G08809 Fg 04/48 Fixed 4
United States
2,438
105.126
2,563
0.1
Air Lease Corp.
United States
2,500
102.055
2,551
0.1
Eurohome UK Mortgages plc
United Kingdom
1,977
128.521
2,541
0.1
Teva Pharm Fnc Nl II Co. Guar 04/22 3.25
Netherlands
2,200
113.68
2,501
0.1
Rio Oil Finance Trust
United States
2,196
111.75
2,454
0.1
OMEGA Healthcare Investors Inc.
United States
2,300
106.091
2,440
0.1
Barclays plc
United Kingdom
2,000
119.882
2,398
0.1
Argent Securities Inc.
United States
6,320
37.148
2,348
0.1
U.S. Treasury Bonds
United States
2,100
111.164
2,334
0.1
Allergan Funding SCS
Luxembourg
2,200
102.286
2,250
0.1
Volkswagen Bank GMBH MTN
Germany
2,000
112.232
2,245
0.1
Altice Financing SA
Luxembourg
2,200
101.959
2,243
0.1
Cnh Industrial Capital LLC
United States
2,200
101.75
2,239
0.1
U.S. Treasury Bonds
United States
1,800
122.79
2,210
0.1
JPMorgan Mortgage Acquisition Corp.
United States
2,197
99.507
2,186
0.1
Arrow Electronics Inc.
United States
2,100
102.389
2,150
0.1
Imperial Brands Finance plc
United Kingdom
2,100
102.369
2,150
0.1
American Tower Corp.
United States
2,099
101.365
2,128
0.1
GSAA Trust
United States
4,262
49.025
2,090
0.1
Alexandria Real Estate Equities Inc.
United States
2,100
98.78
2,074
0.1
Volkswagen International Finance NV
Netherlands
1,800
115.231
2,074
0.1
Sofi Professional Loan Program Trust
United States
2,052
100.163
2,056
0.1
AerCap Ireland Capital DAC / Aercap Global Aviation Trust
Ireland
2,000
102.787
2,056
0.1
Government National Mortgage Association TBA
United States
2,000
102.693
2,054
0.1
Epr Properties
United States
1,900
107.366
2,040
0.1
Countrywide Alternative Loan Trust
United States
2,330
87.266
2,033
0.1
RMAC Securities plc
United Kingdom
1,611
125.703
2,026
0.1
HSI Asset Securitization Corp. Trust
United States
4,997
38.699
1,934
0.1
IXIS Real Estate Capital Trust
United States
1,985
97.318
1,932
0.1
Federal National Mortgage Association
United States
1,698
112.364
1,908
0.1
NXP BV [NXPI4254853]
Netherlands
1,800
105.415
1,897
0.1
Small Business Administration Participation Certificates
United States
1,741
108.107
1,882
0.1
DSLA Mortgage Loan Trust
United States
1,987
93.185
1,851
0.1
Telefonica Emisiones Sau
Spain
1,800
100.953
1,817
0.1
Countrywide Alternative Loan Trust
United States
2,020
89.748
1,813
0.1
Charter Communications Operating LLC / Charter Communications Operating Capital
United States
1,800
100.645
1,812
0.1
JP Morgan Mortgage Trust
United States
2,002
90.43
1,810
0.1
Odebrecht Drill VIII/IX Sr Secured Regs 12/26 7.35
Cayman Islands
3,302
54.436
1,797
0.1
Federal National Mortgage Association
United States
1,571
112.598
1,768
0.1
Residential Accredit Loans Inc.
United States
1,888
92.799
1,752
0.1
CBL & Associates LP [CBL4171047]
United States
2,700
64.792
1,749
0.1
Structured Adjustable Rate Mortgage Loan Trust
United States
1,785
98.014
1,749
0.1
U.S. Treasury Bonds
United States
1,700
102.009
1,734
0.1
Washington Mutual Mortgage Pass Through Certificates Trust
United States
1,774
96.511
1,712
0.1
IndyMac Imsc Mortgage Loan Trust
United States
2,968
56.704
1,683
0.1
Nextera Energy Capital Holdings Inc. [NEE4576305]
United States
1,624
102.226
1,660
0.1
Walgreens Boots Alliance Inc.
United States
1,600
101.897
1,630
0.1
Rio Oil Finance Trust
United States
1,442
111.75
1,611
0.1
Provident Funding Mortgage Loan Trust
United States
1,560
101.651
1,586
0.1
Ford Motor Credit Co. LLC
United States
1,550
100.565
1,559
0.1
Equities Midstream Partners LP
United States
1,550
100.313
1,555
0.1
Fed Hm Ln PC Pool Zt0712 Fr 10/48 Fixed 4
United States
1,460
104.128
1,520
0.1
BAT Capital Corp. [BTI4773850]
United States
1,500
100.186
1,503
0.1
Sprint Corp.
United States
1,390
105.932
1,472
0.1
Fed Hm Ln PC Pool Zs4790 Fr 09/48 Fixed 4
United States
1,408
104.173
1,467
0.1
Specialty Underwriting & Residential Finance Trust
United States
2,954
49.65
1,467
0.1
Physicians Realty LP
United States
1,400
104.678
1,465
0.1
Adjustable Rate Mortgage Trust
United States
2,716
53.874
1,463
0.1
Federal National Mortgage Association
United States
1,269
114.79
1,456
0.1
Morgan Stanley ABS Capital I Inc. Trust
United States
2,084
69.265
1,443
0.1
Sprint Communications Inc.
United States
1,400
102.24
1,431
0.1
BCAP LLC Trust
United States
1,972
71.693
1,414
0.1
British Telecommunications plc
United Kingdom
1,300
107.641
1,399
0.1
Argent Securities Inc.
United States
1,394
100.23
1,397
0.1
Chase Mortgage Finance Corp.
United States
1,431
93.903
1,344
0.1
BM & FBovespa SA
Brazil
1,300
101.688
1,322
0.1
Federal National Mortgage Association
United States
1,173
112.284
1,317
0.1
Ford Motor Credit Co. LLC [F4226522]
United States
1,300
100.038
1,300
0.1
People's Financial Realty Mortgage Securities Trust
United States
4,635
27.74
1,286
0.1
Mansard Mortgages plc
United Kingdom
966
130.048
1,257
0.1
Federal National Mortgage Association
United States
1,109
112.248
1,245
0.1
Countrywide Asset-Backed Certificates
United States
1,200
99.358
1,192
0.1
Central Nippon Expressway Co. Ltd.
Japan
1,150
101.193
1,164
0.1
UBS Group Funding Jersey Ltd.
Switzerland
1,100
104.339
1,148
0.1
Countrywide Asset-Backed Certificates
United States
1,147
99.435
1,140
0.1
Virginia Electric & Power Co.
United States
1,100
101.741
1,119
0.1
Federal National Mortgage Association
United States
1,072
104.339
1,118
0.1
FirstEnergy Corp.
United States
1,100
101.615
1,118
0.1
Energy Transfer Partners LP
United States
1,100
101.072
1,112
0.1
Tyson Foods Inc.
United States
1,100
100.284
1,103
0.1
Federal National Mortgage Association
United States
940
114.788
1,079
0.1
Federal National Mortgage Association TBA
United States
1,000
107.676
1,077
0.1
CVS Health Corp.
United States
1,073
100.293
1,076
0.1
Altice France SA
France
1,000
107.549
1,075
0.1
Banco Espirito Santo SA MTN
Portugal
3,500
29.934
1,048
0.1
First Horizon Asset Securities Inc.
United States
1,064
97.706
1,040
0.1
Gsaa Trust
United States
1,057
97.896
1,035
0.1
Abbvie Inc.
United States
1,000
102.642
1,026
0.1
Federal National Mortgage Association
United States
944
106.527
1,006
0.0
American Electric Power Co. Inc. [AEP4563779]
United States
1,000
100.204
1,002
0.0
BMW US Capital LLC
United States
1,000
99.788
998
0.0
Mid-State Trust
United States
923
107.415
991
0.0
Argent Securities Inc.
United States
939
100.506
944
0.0
Southern California Gas Co. [SRE4259155]
United States
900
104.37
939
0.0
Odebrecht Drill VIII/IX Sr Secured Regs 12/21 6.35
Cayman Islands
937
99.891
936
0.0
Federal National Mortgage Association
United States
830
112.575
934
0.0
Federal National Mortgage Association
United States
887
105.184
933
0.0
City of Chicago, IL
United States
816
113.307
925
0.0
IndyMac INDX Mortgage Loan Trust
United States
985
93.121
917
0.0
U.S. Treasury Inflation Indexed Bonds
United States
874
103.795
907
0.0
International Lease Finance Corp.
United States
837
105.735
885
0.0
Government National Mortgage Association
United States
779
111.575
869
0.0
Federal National Mortgage Association
United States
774
112.202
868
0.0
Goldman Sachs Group Inc.
United States
800
107.341
859
0.0
Sprint Communications Inc.
United States
800
105.053
840
0.0
AMBAC Lsni LLC [AMBC4598971]
Cayman Islands
818
101.499
830
0.0
Federal Home Loan Mortgage Corp.
United States
725
114.438
829
0.0
Odebrecht Offshore Drilling Finance Ltd.
Cayman Islands
3,419
24.239
829
0.0
Federal National Mortgage Association
United States
788
104.323
822
0.0
Allegro CLO I Ltd.
Cayman Islands
808
100.046
808
0.0
U.S. Treasury Notes
United States
804
99.936
803
0.0
Federal National Mortgage Association
United States
711
112.582
801
0.0
Banc of America Funding Corp.
United States
808
98.894
799
0.0
Japan Tobacco Inc. MTN
Japan
800
99.846
799
0.0
Federal Home Loan Mortgage Corp.
United States
688
114.471
787
0.0
Federal National Mortgage Association
United States
700
112.22
786
0.0
Countrywide Alternative Loan Trust
United States
1,173
66.231
777
0.0
Federal National Mortgage Association
United States
696
110.183
767
0.0
Odebrecht Offshore Drilling Finance Ltd.
Cayman Islands
770
98.453
758
0.0
Federal National Mortgage Association
United States
709
105.245
746
0.0
Countrywide Home Loan Mortgage Pass Through Trust
United States
769
94.888
730
0.0
NXP BV
Netherlands
700
102.541
718
0.0
Delta Air Lines Inc.
United States
700
102.423
717
0.0
Royal Bank of Scotland Group plc MTN
United Kingdom
600
118.648
712
0.0
Royal Bank of Scotland Group plc
United Kingdom
700
101.146
708
0.0
JPMorgan Mortgage Acquisition Trust
United States
870
77.725
676
0.0
Epr Properties
United States
600
109.232
655
0.0
Federal National Mortgage Association
United States
568
112.29
637
0.0
Federal National Mortgage Association
United States
535
114.543
612
0.0
CVS Pass-Through Trust [CVS3305267]
United States
514
117.101
602
0.0
Fed Hm Ln PC Pool G08793 Fg 12/47 Fixed 4
United States
563
105.143
592
0.0
Government National Mortgage Association
United States
523
111.445
583
0.0
Harborview Mortgage Loan Trust
United States
607
94.482
573
0.0
Federal National Mortgage Association
United States
542
105.31
571
0.0
JP Morgan Mortgage Trust
United States
533
104.313
556
0.0
Federal National Mortgage Association
United States
490
112.394
550
0.0
Government National Mortgage Association
United States
489
111.514
545
0.0
Federal National Mortgage Association
United States
481
112.058
539
0.0
Centene Corp.
United States
500
106.31
532
0.0
CNH Industrial Capital LLC [CNHI4416316]
United States
500
102.904
515
0.0
Government National Mortgage Association
United States
464
110.802
514
0.0
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
United States
18,067
2.788
504
0.0
Suntrust Adjustable Rate Mortgage Loan Trust
United States
537
93.429
502
0.0
Moody's Corp.
United States
462
105.726
488
0.0
Ally Auto Receivables Trust
United States
485
100.017
485
0.0
Federal National Mortgage Association REMIC
United States
438
109.849
482
0.0
Federal Home Loan Mortgage Corp.
United States
409
114.698
469
0.0
Federal National Mortgage Association
United States
415
112.272
466
0.0
Federal National Mortgage Association
United States
442
104.833
463
0.0
BCAP LLC Trust
United States
441
100.687
444
0.0
Federal National Mortgage Association
United States
385
112.548
434
0.0
Federal National Mortgage Association
United States
422
101.839
430
0.0
GPT Mortgage Trust
United States
426
99.902
426
0.0
Federal Home Loan Mortgage Corp.
United States
377
112.515
424
0.0
Government National Mortgage Association
United States
395
105.689
418
0.0
Federal National Mortgage Association
United States
371
109.97
408
0.0
Federal National Mortgage Association
United States
361
112.599
406
0.0
Mitsubishi Corp. MTN
Japan
400
100.881
404
0.0
Kraft Heinz Foods Co.
United States
400
100.165
401
0.0
GSR Mortgage Loan Trust
United States
446
89.461
399
0.0
Structured Adjustable Rate Mortgage Loan Trust
United States
397
100.204
398
0.0
Merrill Lynch Alternative Note Asset Trust
United States
563
69.215
390
0.0
Federal National Mortgage Association
United States
345
112.437
388
0.0
Washington Mutual Mortgage Pass Through Certificates Trust
United States
368
99.695
367
0.0
Federal National Mortgage Association
United States
347
105.318
365
0.0
Federal National Mortgage Association
United States
335
109.105
365
0.0
Federal National Mortgage Association
United States
346
104.344
361
0.0
Federal National Mortgage Association
United States
324
108.393
351
0.0
Structured Asset Mortgage Investments Inc.
United States
352
98.882
348
0.0
Federal Home Loan Mortgage Corp.
United States
306
112.319
344
0.0
Federal National Mortgage Association
United States
296
114.399
339
0.0
RAMP Trust
United States
331
100.343
332
0.0
Federal National Mortgage Association
United States
284
114.579
325
0.0
Credit Suisse Group AG
Switzerland
300
107.774
323
0.0
Federal National Mortgage Association
United States
304
104.611
318
0.0
Federal National Mortgage Association
United States
277
114.531
318
0.0
Owens Corning [OC4181425]
United States
300
105.498
316
0.0
Federal National Mortgage Association
United States
271
114.398
310
0.0
Federal Home Loan Mortgage Corp.
United States
269
114.623
309
0.0
Bear Stearns Adjustable Rate Mortgage Trust
United States
297
102.583
305
0.0
Moody's Corp. [MCO4503449]
United States
300
101.516
305
0.0
BBVA Bancomer SA/Texas
Mexico
289
104.703
303
0.0
Morgan Stanley Dean Witter Capital I
United States
298
100.464
299
0.0
Federal National Mortgage Association
United States
256
112.124
287
0.0
Navient Student Loan Trust
United States
282
99.993
282
0.0
Federal National Mortgage Association
United States
256
106.416
272
0.0
Credit Suisse First Boston Mortgage Securities Corp.
United States
325
83.71
272
0.0
Federal National Mortgage Association
United States
256
105.159
269
0.0
Federal National Mortgage Association
United States
244
110.068
269
0.0
Federal Home Loan Mortgage Corp.
United States
230
114.826
265
0.0
Residential Funding Mortgage Securities I
United States
289
91.242
264
0.0
Federal National Mortgage Association
United States
228
112.59
257
0.0
TTX Co. MTN [TDC4254443]
United States
250
100.198
250
0.0
Federal National Mortgage Association
United States
220
112.578
248
0.0
Federal National Mortgage Association
United States
223
110.048
245
0.0
Federal National Mortgage Association
United States
226
106.962
242
0.0
Government National Mortgage Association II
United States
223
103.688
231
0.0
GSR Mortgage Loan Trust
United States
225
102.488
230
0.0
Bear Stearns Adjustable Rate Mortgage Trust
United States
234
98.479
230
0.0
Federal National Mortgage Association
United States
204
112.499
229
0.0
Federal National Mortgage Association
United States
219
104.328
228
0.0
Federal National Mortgage Association
United States
191
112.173
215
0.0
Federal National Mortgage Association
United States
192
110.551
212
0.0
Federal National Mortgage Association
United States
201
105.158
212
0.0
Ally Financial Inc. [GJM.GX]
United States
200
103.789
208
0.0
Federal National Mortgage Association
United States
188
109.439
205
0.0
Federal National Mortgage Association
United States
189
108.642
205
0.0
Viterra Inc. [GLCNF3684162]
Canada
200
102.098
204
0.0
Federal National Mortgage Association
United States
197
103.221
203
0.0
Federal National Mortgage Association
United States
176
114.791
203
0.0
Federal National Mortgage Association
United States
187
108.375
202
0.0
Ally Financial Inc.
United States
200
100.494
201
0.0
Residential Funding Mortgage Securities I
United States
240
83.626
201
0.0
Federal National Mortgage Association
United States
198
99.414
197
0.0
Federal National Mortgage Association
United States
175
110.336
193
0.0
Federal National Mortgage Association
United States
167
112.601
188
0.0
Federal National Mortgage Association
United States
180
103.221
186
0.0
Federal Home Loan Mortgage Corp.
United States
162
114.858
186
0.0
Federal Home Loan Mortgage Corp.
United States
165
112.352
185
0.0
Federal National Mortgage Association
United States
157
114.586
180
0.0
Washington Mutual Mortgage Pass Through Certificates Trust
United States
180
98.709
177
0.0
Federal Home Loan Mortgage Corp.
United States
153
114.685
175
0.0
Federal Home Loan Mortgage Corp.
United States
160
108.712
174
0.0
Federal National Mortgage Association
United States
151
113.973
172
0.0
Federal Home Loan Mortgage Corp.
United States
158
108.704
172
0.0
Federal National Mortgage Association
United States
165
104.283
172
0.0
Federal Home Loan Mortgage Corp.
United States
148
114.861
170
0.0
Federal Home Loan Mortgage Corp.
United States
147
114.841
169
0.0
Federal National Mortgage Association REMIC
United States
152
108.60
165
0.0
Federal National Mortgage Association
United States
144
113.946
164
0.0
Federal National Mortgage Association
United States
148
110.277
163
0.0
Federal National Mortgage Association
United States
151
107.641
163
0.0
Federal National Mortgage Association
United States
151
107.673
162
0.0
Government National Mortgage Association
United States
144
111.048
160
0.0
Chicago Transit Authority
United States
150
105.31
158
0.0
Federal National Mortgage Association
United States
152
103.275
157
0.0
Federal National Mortgage Association
United States
146
106.203
155
0.0
Federal National Mortgage Association
United States
135
112.303
152
0.0
Federal National Mortgage Association
United States
144
104.318
151
0.0
Federal National Mortgage Association
United States
136
110.806
150
0.0
Federal National Mortgage Association
United States
143
104.296
149
0.0
Federal National Mortgage Association
United States
137
108.543
148
0.0
Federal National Mortgage Association
United States
139
104.095
145
0.0
Federal National Mortgage Association
United States
135
103.261
139
0.0
Federal National Mortgage Association
United States
136
102.464
139
0.0
Federal National Mortgage Association
United States
125
108.642
136
0.0
Federal National Mortgage Association
United States
117
114.236
134
0.0
Federal National Mortgage Association
United States
128
104.294
133
0.0
Government National Mortgage Association
United States
115
111.443
128
0.0
Federal National Mortgage Association
United States
118
107.738
127
0.0
Federal National Mortgage Association
United States
115
109.996
126
0.0
Federal National Mortgage Association
United States
117
106.738
125
0.0
Federal National Mortgage Association
United States
117
104.362
122
0.0
Federal National Mortgage Association
United States
110
106.038
117
0.0
Federal National Mortgage Association
United States
112
103.906
117
0.0
HCA Inc.
United States
100
115.75
116
0.0
Federal National Mortgage Association
United States
100
112.188
112
0.0
Federal National Mortgage Association
United States
106
104.186
111
0.0
Federal National Mortgage Association
United States
99
108.937
107
0.0
Government National Mortgage Association
United States
96
111.494
107
0.0
Federal National Mortgage Association
United States
94
110.306
104
0.0
Federal National Mortgage Association
United States
96
105.757
102
0.0
Federal National Mortgage Association
United States
88
110.861
98
0.0
Federal National Mortgage Association
United States
86
112.559
97
0.0
Federal National Mortgage Association
United States
91
105.74
96
0.0
Federal National Mortgage Association
United States
92
103.221
95
0.0
Federal National Mortgage Association
United States
82
112.101
91
0.0
Bear Stearns Alt-A Trust
United States
90
100.411
90
0.0
Federal Home Loan Mortgage Corp. Structured Pass Through Certificates
United States
86
101.258
88
0.0
Federal National Mortgage Association
United States
81
107.312
87
0.0
Federal National Mortgage Association
United States
80
106.915
85
0.0
Federal National Mortgage Association
United States
75
110.181
83
0.0
Federal National Mortgage Association
United States
78
104.50
82
0.0
Federal National Mortgage Association
United States
75
107.826
81
0.0
Federal National Mortgage Association
United States
77
103.917
80
0.0
Government National Mortgage Association
United States
75
107.057
80
0.0
Federal National Mortgage Association
United States
69
114.79
79
0.0
Federal National Mortgage Association
United States
73
107.206
79
0.0
Federal National Mortgage Association
United States
71
110.292
79
0.0
First Franklin Mortgage Loan Trust
United States
78
100.209
78
0.0
Federal National Mortgage Association
United States
72
107.676
78
0.0
Federal National Mortgage Association
United States
72
104.969
76
0.0
Federal National Mortgage Association
United States
70
107.683
75
0.0
Federal National Mortgage Association
United States
68
109.54
75
0.0
Federal National Mortgage Association
United States
69
106.516
73
0.0
Federal National Mortgage Association
United States
64
112.443
72
0.0
Federal National Mortgage Association
United States
66
106.947
71
0.0
Federal National Mortgage Association
United States
62
113.847
71
0.0
Federal National Mortgage Association
United States
62
112.555
70
0.0
Federal National Mortgage Association
United States
64
110.187
70
0.0
Federal National Mortgage Association
United States
59
114.576
68
0.0
Federal National Mortgage Association
United States
64
105.034
68
0.0
Federal National Mortgage Association
United States
61
107.832
66
0.0
Federal National Mortgage Association
United States
61
107.538
65
0.0
Federal National Mortgage Association
United States
57
112.928
64
0.0
GSAMP Trust
United States
110
57.837
64
0.0
Federal National Mortgage Association
United States
57
109.73
62
0.0
Government National Mortgage Association
United States
56
111.434
62
0.0
Government National Mortgage Association
United States
58
107.057
62
0.0
Federal National Mortgage Association
United States
57
107.871
61
0.0
Federal National Mortgage Association
United States
58
105.538
61
0.0
Federal National Mortgage Association
United States
56
108.632
61
0.0
Federal National Mortgage Association
United States
54
110.431
59
0.0
Federal National Mortgage Association
United States
53
112.521
59
0.0
Federal National Mortgage Association
United States
55
106.942
59
0.0
Federal National Mortgage Association
United States
53
109.514
58
0.0
Government National Mortgage Association
United States
54
107.057
58
0.0
Federal National Mortgage Association
United States
51
112.287
58
0.0
Federal National Mortgage Association
United States
50
114.755
57
0.0
Federal National Mortgage Association
United States
54
104.373
57
0.0
Federal National Mortgage Association
United States
50
113.949
57
0.0
Federal National Mortgage Association
United States
54
103.974
57
0.0
Federal National Mortgage Association
United States
51
110.774
56
0.0
Federal National Mortgage Association
United States
52
107.668
55
0.0
Federal National Mortgage Association
United States
51
106.961
55
0.0
Government National Mortgage Association II
United States
52
103.312
54
0.0
Federal National Mortgage Association
United States
51
105.161
54
0.0
Federal National Mortgage Association
United States
51
104.477
53
0.0
Federal National Mortgage Association
United States
50
105.202
53
0.0
Federal National Mortgage Association
United States
51
104.307
53
0.0
Federal National Mortgage Association REMIC
United States
50
105.151
52
0.0
Federal National Mortgage Association
United States
50
104.35
52
0.0
Government National Mortgage Association
United States
47
111.499
52
0.0
Federal National Mortgage Association
United States
50
104.305
52
0.0
Federal National Mortgage Association
United States
44
114.785
50
0.0
Federal National Mortgage Association
United States
48
105.173
50
0.0
Federal National Mortgage Association
United States
44
110.147
49
0.0
Government National Mortgage Association
United States
44
111.58
49
0.0
Government National Mortgage Association
United States
43
110.902
48
0.0
Federal National Mortgage Association
United States
45
105.153
47
0.0
Federal National Mortgage Association
United States
42
112.55
47
0.0
Federal National Mortgage Association
United States
42
110.229
46
0.0
Federal Home Loan Mortgage Corp.
United States
40
114.835
46
0.0
Federal National Mortgage Association
United States
40
112.516
45
0.0
Federal National Mortgage Association
United States
40
112.602
45
0.0
Federal National Mortgage Association
United States
40
111.49
45
0.0
Government National Mortgage Association
United States
42
107.057
45
0.0
Government National Mortgage Association
United States
40
111.596
44
0.0
Federal National Mortgage Association
United States
40
109.551
44
0.0
Federal National Mortgage Association
United States
42
104.161
44
0.0
Federal National Mortgage Association
United States
43
103.269
44
0.0
Federal National Mortgage Association
United States
43
102.464
44
0.0
Federal National Mortgage Association
United States
39
112.208
44
0.0
Federal National Mortgage Association
United States
42
103.397
44
0.0
Federal National Mortgage Association
United States
40
105.949
42
0.0
Government National Mortgage Association
United States
39
107.057
42
0.0
Federal National Mortgage Association
United States
39
107.428
42
0.0
Federal National Mortgage Association
United States
36
112.401
41
0.0
Citibank Collateral
United States
41
100.00
41
0.0
Federal National Mortgage Association
United States
39
104.286
41
0.0
Federal National Mortgage Association
United States
39
103.979
41
0.0
Federal National Mortgage Association
United States
39
102.464
40
0.0
Federal National Mortgage Association
United States
38
104.809
40
0.0
Federal National Mortgage Association
United States
38
105.318
40
0.0
Federal National Mortgage Association
United States
34
114.507
39
0.0
Argent Letras del Tesoro Bills [S26F0]
Argentina
3,060
1.279
39
0.0
Federal National Mortgage Association
United States
35
106.878
38
0.0
Federal National Mortgage Association
United States
31
115.263
36
0.0
Federal National Mortgage Association
United States
31
114.71
35
0.0
Federal Home Loan Mortgage Corp.
United States
30
114.726
35
0.0
Small Business Administration Participation Certificates
United States
33
103.469
34
0.0
Federal National Mortgage Association
United States
30
112.434
34
0.0
Federal National Mortgage Association
United States
31
109.098
33
0.0
Navient Corp. MTN
United States
33
101.204
33
0.0
Government National Mortgage Association II
United States
32
103.511
33
0.0
Federal National Mortgage Association
United States
29
115.28
33
0.0
Federal National Mortgage Association
United States
29
112.593
33
0.0
Federal National Mortgage Association
United States
28
109.743
31
0.0
Federal National Mortgage Association
United States
29
105.317
31
0.0
Federal National Mortgage Association
United States
30
104.327
31
0.0
Federal National Mortgage Association
United States
27
110.668
30
0.0
Federal National Mortgage Association
United States
27
111.441
30
0.0
Government National Mortgage Association II
United States
29
102.561
30
0.0
Federal National Mortgage Association
United States
28
104.325
29
0.0
Federal National Mortgage Association
United States
25
114.541
29
0.0
Federal Home Loan Mortgage Corp. REMIC
United States
27
105.383
28
0.0
Small Business Administration Participation Certificates
United States
28
100.953
28
0.0
Federal National Mortgage Association
United States
26
105.564
28
0.0
Federal Home Loan Mortgage Corp.
United States
26
105.823
28
0.0
Federal National Mortgage Association
United States
26
104.252
27
0.0
JP Morgan Re-REMIC
United States
27
101.176
27
0.0
Federal National Mortgage Association
United States
24
109.439
26
0.0
Bear Stearns Adjustable Rate Mortgage Trust
United States
26
102.693
26
0.0
Federal National Mortgage Association
United States
23
112.134
26
0.0
Federal Home Loan Mortgage Corp. Structured Pass Through Certificates
United States
26
100.438
26
0.0
Federal National Mortgage Association
United States
23
112.233
26
0.0
Federal National Mortgage Association
United States
23
110.541
25
0.0
Federal National Mortgage Association
United States
25
102.464
25
0.0
Federal National Mortgage Association
United States
23
110.188
25
0.0
Federal National Mortgage Association
United States
23
110.194
25
0.0
Government National Mortgage Association
United States
22
111.048
25
0.0
Federal National Mortgage Association
United States
23
106.523
25
0.0
Federal National Mortgage Association
United States
23
106.929
25
0.0
Federal National Mortgage Association
United States
22
112.265
25
0.0
Federal National Mortgage Association
United States
22
110.116
24
0.0
Federal National Mortgage Association
United States
22
106.812
23
0.0
Federal National Mortgage Association
United States
21
110.063
23
0.0
Federal National Mortgage Association
United States
20
114.791
23
0.0
Federal National Mortgage Association
United States
20
112.547
22
0.0
Federal National Mortgage Association
United States
21
106.515
22
0.0
Federal National Mortgage Association
United States
21
104.079
22
0.0
Government National Mortgage Association
United States
20
107.057
21
0.0
Federal National Mortgage Association
United States
19
105.75
20
0.0
Federal National Mortgage Association
United States
18
111.552
20
0.0
Federal National Mortgage Association
United States
18
108.143
20
0.0
Federal National Mortgage Association
United States
18
106.963
20
0.0
AmeriCredit Automobile Receivables Trust
United States
20
100.001
20
0.0
Odebrecht Oil & Gas Finance Ltd. [BAK4584121]
Cayman Islands
2,183
0.891
19
0.0
Federal National Mortgage Association
United States
17
112.592
19
0.0
Federal National Mortgage Association
United States
18
107.61
19
0.0
Federal National Mortgage Association
United States
17
110.063
19
0.0
Government National Mortgage Association II
United States
19
99.845
19
0.0
Federal National Mortgage Association
United States
17
110.147
19
0.0
Federal National Mortgage Association
United States
17
107.697
18
0.0
Federal National Mortgage Association
United States
16
112.308
18
0.0
Federal National Mortgage Association
United States
16
110.248
18
0.0
Government National Mortgage Association
United States
16
107.057
18
0.0
Government National Mortgage Association II
United States
17
100.407
17
0.0
Federal National Mortgage Association
United States
15
112.475
17
0.0
Federal National Mortgage Association
United States
16
105.162
17
0.0
Government National Mortgage Association
United States
15
111.414
17
0.0
Federal National Mortgage Association
United States
16
110.203
17
0.0
Government National Mortgage Association
United States
15
110.037
17
0.0
Government National Mortgage Association II
United States
17
100.158
17
0.0
Government National Mortgage Association II
United States
16
100.647
16
0.0
Federal National Mortgage Association
United States
14
114.995
16
0.0
Federal National Mortgage Association
United States
15
104.646
16
0.0
Federal National Mortgage Association
United States
14
110.063
16
0.0
Federal National Mortgage Association
United States
15
107.571
16
0.0
Bear Stearns Adjustable Rate Mortgage Trust
United States
16
98.784
16
0.0
Federal National Mortgage Association
United States
15
103.221
16
0.0
Federal National Mortgage Association
United States
14
110.359
16
0.0
Federal National Mortgage Association
United States
15
103.739
16
0.0
Federal National Mortgage Association
United States
14
113.853
16
0.0
Federal National Mortgage Association
United States
14
108.133
15
0.0
Federal National Mortgage Association
United States
13
114.719
15
0.0
Federal National Mortgage Association
United States
14
107.599
15
0.0
Federal National Mortgage Association
United States
15
102.464
15
0.0
Federal Home Loan Mortgage Corp. REMIC
United States
15
100.095
15
0.0
Federal National Mortgage Association
United States
14
104.097
14
0.0
Federal National Mortgage Association
United States
13
112.07
14
0.0
Federal National Mortgage Association
United States
13
105.957
14
0.0
Government National Mortgage Association
United States
13
107.445
14
0.0
Federal National Mortgage Association
United States
12
112.45
14
0.0
Federal National Mortgage Association
United States
12
111.201
14
0.0
Federal National Mortgage Association
United States
12
112.486
14
0.0
Federal National Mortgage Association
United States
13
104.598
14
0.0
Federal National Mortgage Association
United States
13
107.132
14
0.0
Federal National Mortgage Association
United States
13
107.66
14
0.0
Federal National Mortgage Association
United States
12
110.063
13
0.0
Federal National Mortgage Association
United States
13
104.623
13
0.0
Federal National Mortgage Association
United States
12
107.593
13
0.0
Federal National Mortgage Association
United States
11
114.651
13
0.0
Government National Mortgage Association II
United States
13
102.356
13
0.0
Federal National Mortgage Association
United States
12
108.948
13
0.0
Federal National Mortgage Association
United States
12
105.293
13
0.0
Federal National Mortgage Association
United States
11
111.737
12
0.0
Federal National Mortgage Association
United States
11
107.50
12
0.0
Federal National Mortgage Association
United States
12
105.565
12
0.0
Federal National Mortgage Association
United States
11
112.484
12
0.0
Federal National Mortgage Association
United States
11
111.155
12
0.0
Federal National Mortgage Association
United States
11
107.637
12
0.0
Federal National Mortgage Association
United States
10
114.789
12
0.0
Federal National Mortgage Association
United States
11
103.885
11
0.0
Federal National Mortgage Association
United States
10
107.588
11
0.0
Federal National Mortgage Association
United States
10
108.301
11
0.0
Federal National Mortgage Association
United States
11
103.707
11
0.0
Federal National Mortgage Association
United States
10
104.354
11
0.0
Federal National Mortgage Association
United States
10
105.305
11
0.0
Federal National Mortgage Association
United States
9
111.385
10
0.0
Federal National Mortgage Association
United States
9
110.177
10
0.0
Federal National Mortgage Association
United States
9
107.648
10
0.0
Government National Mortgage Association II
United States
10
102.139
10
0.0
Federal National Mortgage Association
United States
9
104.28
10
0.0
Federal National Mortgage Association
United States
9
112.585
10
0.0
Federal National Mortgage Association
United States
9
107.489
9
0.0
Federal National Mortgage Association
United States
8
108.641
9
0.0
Federal National Mortgage Association
United States
8
112.464
9
0.0
Federal National Mortgage Association
United States
9
100.484
9
0.0
Federal Home Loan Mortgage Corp.
United States
8
111.156
9
0.0
Federal National Mortgage Association
United States
8
104.282
8
0.0
Federal National Mortgage Association
United States
8
106.145
8
0.0
Federal National Mortgage Association
United States
8
102.464
8
0.0
Federal National Mortgage Association
United States
7
114.727
8
0.0
Federal National Mortgage Association
United States
7
114.591
8
0.0
Federal National Mortgage Association
United States
7
112.92
8
0.0
Federal National Mortgage Association
United States
7
112.595
8
0.0
Federal National Mortgage Association
United States
7
112.466
8
0.0
Federal National Mortgage Association
United States
7
103.221
8
0.0
Federal National Mortgage Association
United States
7
107.814
7
0.0
Federal National Mortgage Association
United States
7
111.071
7
0.0
Federal National Mortgage Association
United States
7
108.487
7
0.0
Federal National Mortgage Association
United States
7
102.464
7
0.0
Federal National Mortgage Association
United States
6
112.574
7
0.0
Federal National Mortgage Association
United States
6
109.851
7
0.0
Federal National Mortgage Association
United States
7
103.261
7
0.0
Federal Home Loan Mortgage Corp.
United States
6
114.684
7
0.0
Federal National Mortgage Association
United States
6
114.148
7
0.0
Government National Mortgage Association
United States
6
111.57
6
0.0
Federal National Mortgage Association
United States
5
112.456
6
0.0
Federal National Mortgage Association
United States
5
114.135
6
0.0
Federal National Mortgage Association
United States
6
110.403
6
0.0
Federal National Mortgage Association
United States
5
114.425
6
0.0
Federal National Mortgage Association
United States
5
110.401
5
0.0
Federal National Mortgage Association
United States
5
104.888
5
0.0
Federal National Mortgage Association
United States
5
112.444
5
0.0
Federal National Mortgage Association
United States
5
112.599
5
0.0
Federal National Mortgage Association
United States
5
107.521
5
0.0
Government National Mortgage Association
United States
5
110.955
5
0.0
Federal National Mortgage Association
United States
5
110.615
5
0.0
Federal National Mortgage Association
United States
5
104.321
5
0.0
Federal National Mortgage Association
United States
4
114.785
5
0.0
Federal National Mortgage Association
United States
4
109.987
5
0.0
Federal Home Loan Mortgage Corp.
United States
4
112.564
5
0.0
Federal National Mortgage Association
United States
5
103.221
5
0.0
Federal National Mortgage Association
United States
5
104.008
5
0.0
Federal National Mortgage Association
United States
4
112.585
5
0.0
Federal National Mortgage Association
United States
4
112.287
5
0.0
Federal National Mortgage Association
United States
4
111.863
5
0.0
Odebrecht Drilling Norbe VIII/IX Ltd. [ODBR4583859]
Cayman Islands
8
54.436
4
0.0
Government National Mortgage Association II
United States
4
102.454
4
0.0
Federal National Mortgage Association
United States
4
112.60
4
0.0
Federal National Mortgage Association
United States
4
111.557
4
0.0
Government National Mortgage Association
United States
4
111.499
4
0.0
Federal National Mortgage Association
United States
4
102.464
4
0.0
Government National Mortgage Association II
United States
4
102.787
4
0.0
Federal National Mortgage Association
United States
4
112.21
4
0.0
Federal National Mortgage Association
United States
4
104.329
4
0.0
Federal National Mortgage Association
United States
4
112.419
4
0.0
Federal National Mortgage Association
United States
4
104.284
4
0.0
Federal National Mortgage Association
United States
4
105.125
4
0.0
Federal National Mortgage Association
United States
3
112.602
4
0.0
Federal National Mortgage Association
United States
3
112.344
4
0.0
Federal National Mortgage Association
United States
3
110.263
4
0.0
Federal National Mortgage Association
United States
3
114.544
4
0.0
Federal National Mortgage Association
United States
3
104.316
4
0.0
Federal National Mortgage Association
United States
3
112.563
3
0.0
Federal Home Loan Mortgage Corp.
United States
3
104.136
3
0.0
Federal National Mortgage Association
United States
3
112.537
3
0.0
Federal National Mortgage Association
United States
3
114.488
3
0.0
Federal National Mortgage Association
United States
3
112.426
3
0.0
Federal National Mortgage Association
United States
3
112.534
3
0.0
Federal National Mortgage Association
United States
3
110.239
3
0.0
Federal National Mortgage Association
United States
3
103.221
3
0.0
Federal National Mortgage Association
United States
3
112.119
3
0.0
Federal National Mortgage Association
United States
3
109.062
3
0.0
Federal National Mortgage Association
United States
3
104.299
3
0.0
Federal National Mortgage Association
United States
3
112.089
3
0.0
Provincia de Buenos Aire Unsecured 144A Regs 04/25 Var
Argentina
310
0.922
3
0.0
Federal National Mortgage Association
United States
3
105.545
3
0.0
Federal National Mortgage Association
United States
3
107.585
3
0.0
Federal National Mortgage Association
United States
3
104.299
3
0.0
Federal Home Loan Mortgage Corp.
United States
2
111.455
3
0.0
Federal National Mortgage Association
United States
2
114.758
3
0.0
Government National Mortgage Association
United States
2
107.057
2
0.0
Government National Mortgage Association II
United States
2
100.666
2
0.0
Federal National Mortgage Association
United States
2
104.216
2
0.0
Federal National Mortgage Association
United States
2
111.803
2
0.0
Indymac ARM Trust
United States
2
100.323
2
0.0
Federal National Mortgage Association
United States
2
112.60
2
0.0
Federal National Mortgage Association
United States
2
110.244
2
0.0
Federal National Mortgage Association
United States
2
112.574
2
0.0
Federal National Mortgage Association
United States
2
103.221
2
0.0
Federal National Mortgage Association
United States
2
111.266
2
0.0
Federal National Mortgage Association
United States
2
104.291
2
0.0
Federal National Mortgage Association
United States
2
103.221
2
0.0
Federal National Mortgage Association
United States
2
102.956
2
0.0
Federal National Mortgage Association
United States
2
111.582
2
0.0
Federal National Mortgage Association
United States
2
103.221
2
0.0
Federal National Mortgage Association
United States
2
104.574
2
0.0
Federal National Mortgage Association
United States
2
105.16
2
0.0
Federal National Mortgage Association
United States
2
102.464
2
0.0
Federal National Mortgage Association
United States
1
112.539
2
0.0
Federal National Mortgage Association
United States
1
111.918
2
0.0
Federal National Mortgage Association
United States
1
110.231
1
0.0
Government National Mortgage Association
United States
1
111.467
1
0.0
U.S. Treasury Note Futures Option 5 year [1FV111O0]
United States
1,368
0.001
1
0.0
Federal National Mortgage Association
United States
1
110.13
1
0.0
Government National Mortgage Association
United States
1
110.842
1
0.0
Federal National Mortgage Association
United States
1
110.523
1
0.0
Federal National Mortgage Association
United States
1
112.411
1
0.0
Federal National Mortgage Association
United States
1
103.221
1
0.0
Federal Home Loan Mortgage Corp. REMIC
United States
1
102.815
1
0.0
Federal Home Loan Mortgage Corp.
United States
1
110.281
1
0.0
Federal National Mortgage Association
United States
1
110.137
1
0.0
Federal Home Loan Mortgage Corp.
United States
1
114.826
1
0.0
Federal National Mortgage Association
United States
1
110.351
1
0.0
Federal National Mortgage Association
United States
1
103.364
1
0.0
Federal National Mortgage Association
United States
1
114.557
1
0.0
Federal National Mortgage Association
United States
1
102.181
1
0.0
Federal National Mortgage Association
United States
1
112.136
1
0.0
Federal National Mortgage Association
United States
1
112.395
1
0.0
Federal National Mortgage Association
United States
1
103.221
1
0.0
Federal National Mortgage Association
United States
1
112.502
1
0.0
Federal National Mortgage Association
United States
1
112.354
1
0.0
Federal National Mortgage Association
United States
1
112.482
1
0.0
U.S. Treasury Note Futures Option 5 year [1FV110O0]
United States
955
0.001
1
0.0
Federal National Mortgage Association
United States
1
102.464
1
0.0
U.S. Treasury Note Futures Option 5 year [1FV11075O0]
United States
915
0.001
1
0.0
Federal National Mortgage Association
United States
1
112.311
1
0.0
Government National Mortgage Association
United States
1
110.316
1
0.0
Federal National Mortgage Association
United States
1
112.456
1
0.0
Federal National Mortgage Association
United States
1
114.512
1
0.0
Federal National Mortgage Association
United States
1
107.624
1
0.0
Federal National Mortgage Association
United States
1
103.237
1
0.0
Government National Mortgage Association II
United States
0
102.498
0
0.0
Federal National Mortgage Association
United States
0
110.128
0
0.0
Federal National Mortgage Association
United States
0
112.435
0
0.0
First Nationwide Trust
United States
0
103.909
0
0.0
U.S. Treasury Bond Futures Option 30 year [1US194C0]
United States
227
0.001
0
0.0
U.S. Treasury Bond Futures Option 30 year [1US195C0]
United States
139
0.001
0
0.0
U.S. Treasury Note Futures Option 10 year [1TY149C0]
United States
14
0.001
0
0.0
U.S. Treasury Note Futures Option 10 year [1TY1485C0]
United States
2
0.001
0
0.0
U.S. Treasury Bond Futures Option 30 year [1US220C0]
United States
1
0.001
0
0.0
General Motors Co. Escrow
United States
36
0.00
0
0.0

Sector Allocation

As of 12/31/2019

Economic Sector
Bond Fund %
Corporate Bonds & Notes
49.9
Mortgage Pass-through
47.6
U.S. Government Obligations
28.0
Asset-backed Securities
7.6
Collateralized Mortgage Obligations
7.5
Foreign Government Obligations
6.1
Financials
0.3
Municipal Bonds
0.1
Cash Collaterals
0.0
Purchased Options
0.0
Consumer Discretionary
0.0

Maturity Profile

As of 12/31/2019

Maturity
Bond Fund %
Bloomberg Barclays U.S. Aggregate Bond Index %
0-1 Yr
-6.3
0.0
1-3 Yr
15.7
22.4
3-5 Yr
58.2
25.5
5-7 Yr
2.3
24.8
7-10 Yr
21.4
9.4
10-20 Yr
-0.1
4.3
20-30 Yr
9.7
13.0
Over 30 Yr
-1.1
0.7

Duration

As of 12/31/2019

Duration
Bond Fund %
Bloomberg Barclays U.S. Aggregate Bond Index %
0-1 Yr
-1.1
2.3
1-3 Yr
18.2
39.4
3-5 Yr
31.2
23.1
5-7 Yr
0.6
11.6
7-10 Yr
25.8
6.8
10-20 Yr
20.4
14.9
20-30 Yr
4.9
1.9
Over 30 Yr
0.0
0.0