Portfolio Guidelines

The portfolio generally invests at least 80% of its assets in a diversified portfolio of investment grade, fixed income securities and may invest a significant portion or all of its assets in mortgage-related and mortgage-backed securities. The portfolio will typically maintain an average portfolio duration within 20% of the duration of the Bloomberg Barclays U.S. Aggregate Bond Index.

Sector Allocation
As Of December 31, 2016

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Treasury 17.9% 36.2%
Agency 2.1 3.9
Agency RMBS/CMBS1 29.9 28.8
Asset-Backed Securities 15.8 0.5
Non-Agency RMBS/CMBS1 10.5 1.0
Corporate Credit 18.3 25.7
Non-Corporate Credit 0.0 3.9
Cash & Other2 5.5 0.0

This is presented as supplemental information.

Portfolio Statistics
As Of December 31, 2016

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 251 10,068
Yield to Maturity (%) 3.03 2.60
Yield to Worst (%) 2.94 2.60
Effective Duration 5.39 5.92
Spread Duration 4.17 3.79
Weighted Average Life (years) 7.11 7.98
Convexity 0.44 0.29
Option-Adjusted Spread 109 43

This is presented as supplemental information.

Credit Quality3
As Of December 31, 2016

Quality Rating % of Portfolio
AAA 63.4%
AA 6.9
A 12.0
BBB 14.9
BB 0.0
B 0.0
CCC & Below 0.0
Not Rated 2.8

This is presented as supplemental information.

Duration Breakdown
As Of December 31, 2016

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 15.4% 0.1%
1-3 18.0 20.7
3-5 15.6 20.5
5-7 16.9 21.1
7-10 23.5 22.5
10-20 10.2 3.5
Greater than 20 0.4 11.7

This is presented as supplemental information.

Key Rate Duration
As Of December 31, 2016

This is presented as supplemental information.

1 Residential Mortgage-Backed securities/Commercial Mortgage-Backed Securities.

2 Cash & Other may include cash, money market funds, and short duration fixed income funds.

3 Security quality ratings are derived from underlying portfolio securities by using the middle rating of Standard & Poor’s, Moody’s, and Fitch. If only two of Standard & Poor’s, Moody’s, and Fitch rates a security the higher of the two is selected. If only one of Standard & Poor’s, Moody’s, and Fitch rates a security the available rating is used. For securities that are not rated by Standard & Poor’s, Moody’s, or Fitch a rating from a secondary Nationally Recognized Statistical Rating Organization (“NRSRO”) may be used. Ratings by any agency represent an opinion only, not a recommendation to buy or sell. Securities that are not rated by any agencies are reflected as Not Rated “NR”.

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