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 June 30, 2018

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Treasury 19.5% 37.8%
Agency 1.2 1.6
Agency RMBS/CMBS1 27.9 28.9
Asset-Backed Securities 23.3 0.5
Non-Agency RMBS/CMBS1 9.8 1.2
Corporate Credit 18.0 25.0
Non-Corporate Credit 0.0 5.0
Cash & Other2 0.2 0.0

Portfolio Characteristics
As Of June 30, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 339 10,012
Yield to Maturity (%) 3.74 3.29
Yield to Worst (%) 3.68 3.29
Effective Duration 5.37 6.01
Weighted Average Life (years) 6.99 8.39
Convexity 0.37 0.32
Option-Adjusted Spread 99 44

Since Inception Risk Statistics
As Of June 30, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Standard Deviation (%) 2.59 2.66
Sharpe Ratio -0.26 -0.65
Beta (%)3 0.96 N/A
R-squared (%) 97.78 N/A
Information Ratio 2.67 N/A

Credit Quality4
As Of June 30, 2018

Quality Rating % of Portfolio
AAA 57.5%
AA 4.9
A 14.4
BBB 21.9
BB 0.0
B 0.0
CCC & Lower 0.0
Not Rated 1.3

Duration Breakdown
As Of June 30, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 16.6% 0.1%
1-3 18.0 23.1
3-5 20.1 29.1
5-7 18.2 25.4
7-10 15.8 7.9
10-20 10.5 14.2
20+ 0.9 0.2
Not Available 0.0 0.0

Key Rate Duration5
As Of June 30, 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 Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

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