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 09/30/16 26.93 243,600,000 243,600,000 --- 297.59 --
Irs Usd 2.75000 12/16/15-30y Cme -12.00 109,600,000 0 --- -132,644,690.00 --
Fed Natl Mort Assc 3.5% 6.87 72,000,000 72,000,000 --- 75.89 --
Irs Gbp 1.00000 09/21/16-2y Cme -6.70 54,800,000 0 --- -73,992,170.00 --
Fed Natl Mort Assc 4% 6.69 69,000,000 69,000,000 --- 73.92 --
US Treasury Bond 3.375% 6.54 58,600,000 0 --- 72.24 --
Irs Mxn 4.06000 08/26/15-1y (Wht) Cme 5.29 1,078,400,000 0 --- 58.43 --
Fed Natl Mort Assc 3% 4.87 52,000,000 52,000,000 --- 53.87 --
Irs Usd 2.00000 12/16/15-5y Lch -4.85 51,200,000 0 --- -53,591,481.00 --
US Treasury Note 2.25% 4.81 49,800,000 0 --- 53.13 --
Irs Usd 2.25000 12/16/15-7y Lch -4.45 45,900,000 0 --- -49,180,120.00 --
Fin Fut Eux Euro-Btp 09/08/16 4.21 29,400,000 29,400,000 --- 46.58 --
US Treasury Bond 3.56 33,571,860 325,752 --- 39.30 --
Irs Usd 1.45000 06/28/19-2y Cme -3.16 34,800,000 34,800,000 --- -34,915,439.00 --
Irs Usd 2.00000 06/15/16-5y Lch -3.07 32,300,000 0 --- -33,903,897.00 --
US Treasury Bond 3.125% 3.03 28,400,000 -200,000 --- 33.44 --
US Treasury Bond 2.875% 2.87 28,200,000 9,000,000 --- 31.67 --
Irs Gbp 1.25000 09/21/16-2y Cme -2.86 23,300,000 0 --- -31,615,553.00 --
US Treasury Bond 2.79 25,762,933 11,938,133 --- 30.79 --
US Treasury Bond 2.54 23,864,742 5,005,862 --- 28.11 --
Fed Natl Mort Assc 4.5% 2.37 24,000,000 24,000,000 --- 26.19 --
FHLMC 4% 2.23 23,000,000 23,000,000 --- 24.62 --
US Treasury Bond 3% 1.88 18,100,000 0 --- 20.82 --
Zcs Brl 14.1175 06/28/16-08/01/16 Cme -1.83 65,500,000 65,500,000 --- -20,255,304.00 --
Irs Usd 2.25000 06/15/16-10y Lch -1.79 18,300,000 0 --- -19,826,797.00 --
YTD Return through 12-02-16| Portfolio Holdings as of 06-30-16