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) Sept17 32.26 287,300,000 287,300,000 --- 338.54 --
US 10 Year Note (CBT) Sept17 11.64 97,300,000 97,300,000 --- 122.14 --
90 Day Eurodollar Future June18 -9.98 426,000,000 426,000,000 --- -104,758,725.00 --
Euro OAT Sept17 -9.94 61,600,000 61,600,000 --- -104,318,898.00 --
90 Day Eurodollar Future Dec17 -9.29 396,000,000 396,000,000 --- -97,539,750.00 --
Fed Natl Mort Assc 3.5% 7.52 77,000,000 77,000,000 --- 78.96 --
Fed Natl Mort Assc 3% 7.13 75,000,000 75,000,000 --- 74.79 --
Fed Natl Mort Assc 4% 6.15 61,500,000 61,500,000 --- 64.55 --
Fed Natl Mort Assc 3.5% 5.56 57,000,000 57,000,000 --- 58.36 --
IRS USD 1.25000 06/21/17-4Y CME_Pay -5.13 55,100,000 0 --- -53,822,857.00 --
IRS JPY 0.30000 03/18/16-10Y CME_Pay -4.86 50,640,797 -422,651 --- -50,972,512.00 --
IRS USD 2.25000 12/16/15-7Y LCH_Pay -4.43 45,900,000 0 --- -46,526,129.00 --
Euro BUND Future Sept17 4.28 24,300,000 24,300,000 --- 44.86 --
90 Day Eurodollar Future Sept17 -4.23 180,000,000 180,000,000 --- -44,390,250.00 --
90 Day Eurodollar Future Mar18 -4.17 178,000,000 178,000,000 --- -43,805,800.00 --
US Treasury Bond 3.375% 4.02 38,200,000 -1,000,000 --- 42.21 --
FHLMC 4% 4.00 40,000,000 40,000,000 --- 41.99 --
90 Day Eurodollar Future Dec18 -3.95 169,000,000 169,000,000 --- -41,489,500.00 --
IRS USD 1.25000 06/21/17-3Y CME_Pay -3.65 38,900,000 0 --- -38,346,773.00 --
US Treasury TIP 1.75% 3.41 32,094,700 223,850 --- 35.81 --
IRS USD 1.45000 06/28/19-2Y CME_Pay -3.27 34,800,000 0 --- -34,364,298.00 --
IRS USD 1.25000 06/21/17-5Y CME_Pay -3.21 34,900,000 0 --- -33,729,875.00 --
90 Day Eurodollar Future Mar19 -2.97 127,000,000 127,000,000 --- -31,161,038.00 --
Fed Natl Mort Assc 4.5% 2.96 29,000,000 29,000,000 --- 31.07 --
US Treasury Note 2.25% 2.86 29,800,000 0 --- 29.97 --
YTD Return through 11-20-17| Portfolio Holdings as of 06-30-17