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)  
US 5 Year Note (CBT) Mar17 32.87 287,600,000 287,600,000 --- 338.40 --
US 10 Year Note (CBT) Mar17 16.03 132,800,000 132,800,000 --- 165.05 --
Fin Fut Euro$ Cme (Wht) 12/18/17 -13.90 581,000,000 581,000,000 --- -143,042,200.00 --
FNMA 11.23 113,000,000 113,000,000 --- 115.65 --
IRS USD 2.75000 12/16/15-30Y CME_Pay -10.54 105,400,000 105,400,000 --- -108,451,241.00 --
Euro OAT Mar17 -7.33 47,100,000 47,100,000 --- -75,422,238.00 --
Euro BUND Future Mar17 7.17 42,600,000 42,600,000 --- 73.76 --
FNMA 4% TBA 6.78 66,500,000 66,500,000 --- 69.82 --
US Treasury Bond 3.375% 6.04 58,600,000 0 --- 62.16 --
3 Month Euibor Future Mar18 -5.60 218,000,000 218,000,000 --- -57,624,708.00 --
IRS USD 2.00000 12/16/15-5Y LCH_Pay -5.01 51,200,000 51,200,000 --- -51,534,926.00 --
FNMA 4.63 48,000,000 48,000,000 --- 47.69 --
IRS USD 2.25000 12/16/15-7Y LCH_Pay -4.51 45,900,000 45,900,000 --- -46,386,974.00 --
FNMA 4.48 45,000,000 45,000,000 --- 46.13 --
FNMA 4.34 45,000,000 45,000,000 --- 44.64 --
Freddie Mac Gold Single Family TBA 4% 2046-02-01 4.08 40,000,000 40,000,000 --- 41.97 --
US Treasury TIP 1.75% 3.68 33,922,014 148,764 --- 37.91 --
IRS USD 1.50000 12/21/16-5Y LCH_Pay -3.40 35,800,000 35,800,000 --- -35,004,614.00 --
IRS USD 1.45000 06/28/19-2Y CME_Pay -3.32 34,800,000 34,800,000 --- -34,202,485.00 --
IRS USD 2.00000 06/15/16-5Y LCH_Pay -3.15 32,300,000 32,300,000 --- -32,445,832.00 --
Pimco Fds 3.05 3,178,317 3,159,109 --- 31.42 --
FNMA 3.03 29,000,000 29,000,000 --- 31.16 --
US Treasury Note 2.25% 2.88 29,800,000 -20,000,000 --- 29.62 --
US Treasury Bond 3.125% 2.79 28,400,000 0 --- 28.75 --
Cmbx.Na.Aaa.9 Sp Gst 2.62 27,600,000 27,600,000 --- 26.99 --
YTD Return through 05-24-17| Portfolio Holdings as of 12-31-16