Holding Performance

1%-0% 2%-1% 3%-2% 4%-3% 5%-4% 6%-5%
Top 25 Holdings Portfolio Weight % Shares Owned Shares Change   Sector Mkt Cap (Mil) Total Ret YTD (Daily)  
Fin Fut Us 5yr Cbt 12/30/16 26.44 240,900,000 240,900,000 --- 292.73 --
Irs Usd 2.75000 12/16/15-30y Cme -12.10 109,600,000 0 --- -133,988,643.00 --
Fin Fut Us 10yr Cbt 12/20/16 9.31 78,600,000 78,600,000 --- 103.06 --
Fed Natl Mort Assc 3.5% 9.04 95,000,000 95,000,000 --- 100.13 --
Fannie Mae Single Family TBA 3% 2046-11-01 7.40 79,000,000 79,000,000 --- 81.93 --
US Treasury Bond 3.375% 6.46 58,600,000 0 --- 71.51 --
Irs Usd 2.00000 12/16/15-5y Lch -4.79 51,200,000 0 --- -53,045,206.00 --
US Treasury Note 2.25% 4.75 49,800,000 0 --- 52.59 --
Irs Usd 2.25000 12/16/15-7y Lch -4.39 45,900,000 0 --- -48,659,529.00 --
Fannie Mae Single Family TBA 4% 2046-11-01 3.63 37,500,000 37,500,000 --- 40.23 --
US Treasury TIP 1.75% 3.57 33,773,250 201,390 --- 39.57 --
Freddie Mac Gold Single Family TBA 4% 2046-10-01 3.20 33,000,000 33,000,000 --- 35.40 --
Irs Usd 1.45000 06/28/19-2y Cme -3.15 34,800,000 0 --- -34,866,079.00 --
Fed Natl Mort Assc 4% 3.06 31,500,000 31,500,000 --- 33.83 --
Irs Usd 2.00000 06/15/16-5y Lch -3.03 32,300,000 0 --- -33,553,826.00 --
US Treasury Bond 3.125% 2.99 28,400,000 0 --- 33.15 --
Irs Gbp 0.50000 03/15/17-2y Cme -2.94 25,000,000 25,000,000 --- -32,537,503.00 --
Fannie Mae Single Family TBA 4.5% 2046-11-01 2.87 29,000,000 29,000,000 --- 31.73 --
US Treasury Bond 2.875% 2.84 28,200,000 0 --- 31.42 --
US Treasury Bond 2.79 25,917,619 154,686 --- 30.91 --
US Treasury Bond 2.55 24,008,094 143,352 --- 28.22 --
Cmbx.Na.Aaa.9 Sp Gst 2.40 27,600,000 25,900,000 --- 26.59 --
Irs Usd 2.00000 06/15/16-5y Cme -2.34 25,000,000 6,600,000 --- -25,950,102.00 --
US Treasury Bond 3% 1.86 18,100,000 0 --- 20.64 --
Irs Usd 2.25000 06/15/16-10y Lch -1.78 18,300,000 0 --- -19,657,660.00 --
YTD Return through 02-23-17| Portfolio Holdings as of 09-30-16