Performance for periods ended June 30, 2014
(Returns for periods exceeding one year are annualized)
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Quarter
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YTD
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1 Year
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3 Year
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5 Year
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10 Year
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HIT Total Gross Rate of Return
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2.50%
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4.42%
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4.91%
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4.05%
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4.98%
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5.38%
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HIT Total Net Rate of Return
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2.40%
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4.19%
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4.45%
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3.60%
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4.52%
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4.94%
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Barclays Capital Aggregate Bond Index
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2.04%
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3.93%
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4.37%
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3.66%
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4.85%
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4.93%
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The performance data quoted represents past performance and is no guarantee of future results. Investment results and principal value will fluctuate so that units in the HIT, when redeemed, may be worth more or less than their original cost. The HIT's current performance may be lower or higher than the performance quoted. Performance data current to the most recent month-end is available from the HIT's website at www.aflcio-hit.com. Gross performance figures do not reflect the deduction of HIT expenses. Net performance figures reflect the deduction of HIT expenses and are the performance figures investors experience in the HIT. Information about HIT expenses can be found on page 1 of the HIT’s current prospectus.
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The HIT’s ongoing yield advantage over the Barclays Aggregate.
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Very strong performance of the HIT’s agency multifamily mortgage-backed securities (MBS) as spreads to Treasuries tightened for both government-sponsored enterprise (GSE) and FHA/Ginnie Mae-insured multifamily MBS. Ginnie Mae permanent and construction/permanent loan certificate spreads tightened by about 41 basis points (bps) and 55 bps, respectively. Fannie Mae multifamily DUS security spreads tightened across all structures, with the benchmark 10/9.5s contracting by about 18 bps and intermediate duration 7/6.5s tightening by 11 bps. The HIT had 21.7% of its portfolio invested in DUS securities across various structures as of June 30, 2014, whereas the Barclays Aggregate does not hold DUS securities.
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Strong performance by corporate bonds, the second best performing major sector in the Barclays Aggregate with excess returns of 72 bps. The HIT does not invest in corporate bonds, whereas the sector comprised 23.3% of the index as of June 2014.
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Good performance by agency single family MBS (RMBS), the best performing major sector in the index with excess returns of 90 bps. The HIT is underweight in RMBS with an allocation of 26.3% versus 28.9% in the Barclays Aggregate at the end of June.
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The portfolio’s overweight to the highest credit quality sector of the investment grade universe, whose excess returns were the second lowest among the four credit ratings buckets (AAA, AA, A, and BBB) of the Barclays Aggregate. Those returns were 40, 38, 52, and 134 bps, respectively. The HIT has an overweight with respect to the index in high credit quality investments. Over 93% of the HIT portfolio was AAA-rated
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or carried a government or government-sponsored enterprise guarantee compared to less than 72% for the Barclays Aggregate as of June 30.
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Sector
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Absolute
Return
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Excess Return
(bps)
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Modified Adjusted
Duration
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U.S. Treasuries
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1.35%
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0
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5.26
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Agencies
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1.52%
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50
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4.13
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Single family agency MBS (RMBS)
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2.41%
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90
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5.06
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Corporates
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2.66%
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72
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7.12
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Commercial MBS (CMBS)
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1.31%
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55
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3.90
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Asset-backed securities (ABS)
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0.77%
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30
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2.42
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Maturity
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3/31/14
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6/30/2014
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Change
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3 Month
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0.033%
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0.023%
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-0.010%
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6 Month
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0.056%
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0.063%
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0.008%
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1 Year
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0.114%
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0.101%
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-0.013%
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2 Year
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0.420%
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0.459%
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0.038%
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3 Year
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0.869%
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0.868%
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-0.001%
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5 Year
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1.719%
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1.631%
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-0.088%
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7 Year
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2.300%
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2.136%
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-0.164%
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10 Year
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2.719%
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2.531%
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-0.188%
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30 Year
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3.559%
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3.360%
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-0.198%
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Net Assets
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$4,764,591,413
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Portfolio Effective Duration
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4.845 years
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Portfolio Average Coupon
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3.52%
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Portfolio Current Yield
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3.48%
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Portfolio Yield to Worst
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2.56%
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Convexity
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0.036
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Maturity
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9.345 years
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Average Price
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104.77
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Number of Holdings
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912
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Multifamily MBS
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61.25%
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Agency Single-Family MBS
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26.27%
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U.S. Treasury
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6.06%
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AAA Private-Label CMBS
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2.70%
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Cash & Short-Term Securities
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3.72%
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Agency Single-Family MBS
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26.27%
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CMBS – Agency Multifamily*
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55.69%
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Federal Agency Notes
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0.00%
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U.S. Treasury Notes/Bonds
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6.06%
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State Housing Permanent Bonds
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5.63%
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State Housing Construction Bonds
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2.63%
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Cash & Short-Term Securities
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3.72%
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West
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7.15%
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Midwest
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16.80%
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South
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2.37%
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East
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24.73%
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National Mortgage Pools
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48.95%
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Cash
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3.72%
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5-5.99 years
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6.51%
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0-0.99 years
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10.30%
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6-6.99 years
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11.94%
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1-1.99 years
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8.48%
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7-7.99 years
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8.43%
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2-2.99 years
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14.47%
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8-8.99 years
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5.97%
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3-3.99 years
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14.72%
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9-9.99 years
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6.10%
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4-4.99 years
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5.64%
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Over 10 years
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3.72%
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0 – 1 year
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6.18%
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1 – 2.99 years
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18.50%
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3 – 4.99 years
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25.12%
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5 – 6.99 years
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19.38%
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7 – 9.99 years
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20.12%
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10 – 19.99 years
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7.67%
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Greater than 20 years
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3.03%
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U.S. Government or Agency
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86.72%
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AAA
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2.70%
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AA
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4.77%
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A
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2.09%
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Not Rated
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0.00%
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Cash
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3.72%
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MBS
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93.71%
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Treasury
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6.29%
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Agency
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0.00%
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