Portfolio Characteristics & Allocation¹ as of 9/30/2017

Characteristics

  Core Fixed Income Barclays Capital U.S. Aggregate Bond Index
Weighted Average Life (Years) 7.54 7.76
Effective Duration (Years) 5.75 5.80
Average Quality Aa2 Aa2
Yield to Maturity 2.54% 2.53%
Turnover (12-month trailing) 80.5% 0.0%
Number of Holdings 233 9,546

Sector Allocation

  Core Fixed Income Barclays Capital U.S. Aggregate Bond Index
Other 2.4% 0.0%
Commercial Paper 0.0% 0.0%
Treasury 31.4% 37.0%
Credit 38.8% 35.9%
Agency 0.0% 1.8%
Mortgage-Backed 21.0% 28.1%
Asset-Backed 7.2% 0.5%
CMBS 0.0% 1.8%

Duration Distribution

  Core Fixed Income Barclays Capital U.S. Aggregate Bond Index
Over 8 Years 18.8% 3.1%
6-8 Years 9.3% 9.8%
4-6 Years 26.8% 26.8%
3-4 Years 16.1% 20.8%
1-3 Years 24.5% 24.4%
Under 1 Year 4.5% 0.2%

Quality Allocation

  Core Fixed Income Barclays Capital U.S. Aggregate Bond Index
AAA 64.2% 71.9%
AA 4.4% 3.8%
A 11.8% 10.3%
BBB 19.7% 14.0%
BB or Lower 0.0% 0.0%