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, 2019

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Treasury 20.0% 39.6%
Agency 0.8 1.3
Agency RMBS/CMBS1 30.5 27.9
Asset-Backed Securities 19.5 0.5
Non-Agency RMBS/CMBS1 8.4 1.3
Corporate Credit 18.2 25.1
Non-Corporate Credit 0.1 4.4
Cash & Other2 2.4 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of December 31, 2019

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 1,253 11,037
Yield to Maturity (%) 2.83 2.32
Yield to Worst (%) 2.6 2.31
Effective Duration 5.78 5.87
Weighted Average Life (years) 7.54 8.06
Convexity 0.23 0.2
Option-Adjusted Spread 96 39

This is presented as supplemental information.

Since Inception Risk Statistics
As Of December 31, 2019

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Standard Deviation (%) 3.05 3.15
Sharpe Ratio 0.72 0.34
Beta (%)3 0.95 N/A
R-squared (%)3 97.13 N/A
Information Ratio3 2.06 N/A

This is presented as supplemental information.

Credit Quality4
As Of December 31, 2019

Quality Rating % of Portfolio
AAA 61.1%
AA 5.8
A 16.5
BBB 15.9
B 0.1
CCC & Lower 0.0
Not Rated 0.5

This is presented as supplemental information.

Duration Breakdown
As Of December 31, 2019

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 17.8% 0.4%
1-3 16.0 33.2
3-5 21.0 31.5
5-7 16.0 11.4
7-10 9.5 6.7
10-20 18.6 15.4
20+ 1.3 1.4

This is presented as supplemental information.

Key Rate Duration5
As Of December 31, 2019

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 Relative to the Bloomberg Barclays U.S. Aggregate Index.

4Security 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.”

5 This is presented as supplemental information. Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

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