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 March 31, 2018

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Treasury 18.5% 37.2%
Agency 1.3 2.4
Agency RMBS/CMBS1 29.4 28.1
Asset-Backed Securities 22.1 0.5
Non-Agency RMBS/CMBS1 9.1 1.2
Corporate Credit 18.9 25.3
Non-Corporate Credit 0.0 5.2
Cash & Other2 0.7 0.0

Portfolio Characteristics
As Of March 31, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 309 9,868
Yield to Maturity (%) 3.52 3.12
Yield to Worst (%) 3.46 3.12
Effective Duration 5.4 6.08
Weighted Average Life (years) 6.91 8.42
Convexity 0.29 0.32
Option-Adjusted Spread 93 41

Since Inception Risk Statistics3
As Of March 31, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Standard Deviation (%) 2.66 2.74
Sharpe Ratio 0.02 -0.55
Beta (%)4 0.95 N/A
R-squared (%) 97.28 N/A
Information Ratio 3.42 N/A

Credit Quality3,5
As Of March 31, 2018

Quality Rating % of Portfolio
AAA 58.2%
AA 5.2
A 12.9
BBB 22.4
BB 0.1
Not Rated 1.2

Duration Breakdown3
As Of March 31, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 16.7% 0.2%
1-3 16.2 22.5
3-5 21.4 30.4
5-7 17.3 24.8
7-10 17.1 7.6
10-20 10.4 14.2
20+ 0.9 0.4
Not Available 0.0 0.0

Key Rate Duration6
As Of March 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 Source: eVestment Analytics.

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

5Security 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.”

6 Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

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