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Statistics

CHARACTERISTICS  
as of July 31, 2017 Fund Bloomberg Barclays US MBS Index
AUM (Assets Under Management) $983.8 Million $5.5 Trillion
Effective Duration .82 Years 4.66 Years
Average Life 4.99 Years 7.02 Years
Number of Securities 296 318
Yield to Maturity 4.4% 2.8%
Average Coupon 3.6% 3.5%
Average Price $93.3 $103.6

30 Day SEC Yield (subsidized): 3.54%
30 Day SEC Yield (unsubsidized): 3.54%

30 Day SEC Yield (subsidized): 3.47%
30 Day SEC Yield (unsubsidized): 3.47%

30 Day SEC Yield (subsidized): 3.79%
30 Day SEC Yield (unsubsidized): 3.79%

CLICK HERE FOR STANDARDIZED PERFORMANCE. Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 855-736-7799.

TOP 10 HOLDINGS  
as of July 31, 2017 Sector SubSector Weightings
CAS 2017-C05 1M1 RMBS CRT 4.4%
GPMF 2005-AR4 4A1A RMBS Option Arm 2.8%
JPMAC 2007-CH3 A5 RMBS SubPrime 2.4%
STACR 2015-DNA3 M3F RMBS CRT 2.1%
VOLT 2017-NPL5 A1 RMBS NPL 1.9%
LBMLT 2006-WL3 2A4 RMBS SubPrime 1.9%
RAMP 2006-RZ3 M1 RMBS Prime 1.9%
JPALT 2007-S1 A1 RMBS Prime 1.8%
STACR 2015-DNA2 M3F RMBS CRT 1.8%
LMT 2008-4 A1 RMBS Prime 1.8%

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.

 

Bloomberg Barclays US MBS Index covers agency mortgage-backed pass-through securities - both fixed-rate and hybrid ARM - issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). Pool aggregates must have at least $250 million outstanding with a weighted average maturity of at least 1 year. One cannot invest directly in an index.

Effective Duration: Calculation for bonds with cash flow variability. It takes into account that expected cash flows will fluctuate as interest rates change.

Yield To Maturity: Anticipated rate of return on a bond if held until the maturity date

Average Coupon: Market value weighted average of the coupons of each portfolio security

SECTOR ALLOCATION as of June 30, 2017

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.

 

Residential Mortgage-Backed Securities (RMBS), Commercial Mortgage-Backed Securities (CMBS) and Asset-Backed Securities (ABS)

NON-AGENCY RMBS ALLOCATION as of June 30, 2017

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.

 

Prime: Non-agency MBS collateralized with high quality mortgages that generally did not meet the maximum loan size underwriting criteria of the U.S. Government agencies, (GNMA, FNMA and Freddie Mac) but otherwise would qualify for agency guarantees.

Alt-A: Non-agency MBS collateralized with mortgages failing to meet agency underwriting standards due to somewhat weak credit characteristics, incomplete documentation, or other reasons, but generally higher in credit quality than Subprime mortgage credit quality.

Subprime: Non-agency MBS collateralized with mortgages failing to meet agency underwriting standards generally because of weak credit histories of the borrowers.

CREDIT QUALITY as of June 30, 2017

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.

 

Investment Grade: Credit ratings of AAA, AA, A, and BBB assessed by credit rating agencies.

Below Investment Grade: Credit ratings of BB or lower by credit rating agencies.

Credit quality distribution is determined by using the highest credit rating for each security from Moody's, Standard & Poor's, Fitch Ratings, DBRS, Morningstar and Kroll, six credit rating agencies providing credit assessments for mortgage-backed securities.

DURATION as of June 30, 2017

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.

 

Duration: Measure of a bond or bond portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.