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, 2018

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Treasury 19.6% 38.9%
Agency 1.2 1.4
Agency RMBS/CMBS1 29.6 29.0
Asset-Backed Securities 22.5 0.5
Non-Agency RMBS/CMBS1 9.2 1.2
Corporate Credit 17.1 24.3
Non-Corporate Credit 0.0 4.7
Cash & Other2 0.9 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of December 31, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 364 10,248
Yield to Maturity (%) 3.74 3.28
Yield to Worst (%) 3.69 3.28
Effective Duration 5.52 5.87
Weighted Average Life (years) 7.03 8.22
Convexity 0.38 0.23
Option-Adjusted Spread 110 54

This is presented as supplemental information.

Since Inception Risk Statistics
As Of December 31, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Standard Deviation (%) 2.69 2.80
Sharpe Ratio -0.01 -0.41
Beta (%)3 0.95 N/A
R-squared (%) 97.79 N/A
Information Ratio 2.68 N/A

This is presented as supplemental information.

Credit Quality4
As Of December 31, 2018

Quality Rating % of Portfolio
AAA 59.0%
AA 4.8
A 15.7
BBB 19.8
BB 0.1
Not Rated 0.7

This is presented as supplemental information.

Duration Breakdown
As Of December 31, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 17.1% 0.2%
1-3 18.1 25.1
3-5 20.1 38.3
5-7 19.0 14.8
7-10 10.4 7.2
10-20 14.5 14.4
20+ 0.9 0.0

This is presented as supplemental information.

Key Rate Duration5
As Of December 31, 2018

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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