| U.S. Treasury Short-Duration Mandate | Global Government Bond Mandate | U.S. Agency Mortgage-Backed Securities Mandate |
Investment Objective | Generate consistent, moderate returns over the benchmark with a low level of tracking error | Generate consistent returns over the benchmark with a low level of tracking error | Generate consistent returns over the benchmark with a low level of tracking error |
Benchmark | Market-standard short-duration U.S. Treasury indices | Multi-currency global government bond indices with short-to-medium duration, customization of market indices is optional | Market-standard U.S. Mortgage-Backed Securities (MBS) Index |
Eligible Assets | U.S. Treasury Notes, agency debentures, supranational debt, sovereign debt, covered bonds, short-dated bank deposits, CDs, CP and FRNs, and USD ETFs | Government bonds, supranational debt, sovereign debt, covered bonds, short-dated bank deposits, CDs CP and FRNs, exchange-traded futures and options, FX forwards, repos | U.S. Agency MBS, TAs, and debentures, U.S. Treasuries, and short-dated bank deposits |
Risk Limits | Duration deviation limit versus benchmark is +/- 3 months, no FX risk, and consultative stop loss limit is 50 basis points | Duration deviation limit versus benchmark is +/- 6 months, limited credit & FX risk, and consultative stop loss limit is 100 basis points | Duration deviation limit versus benchmark is +/- 6 months; Minimum MBS exposure is 85%; Maximum MBS/Agency exposure is 130%; maximum bank exposure is 30%; no FX risk; and consultative stop loss limit is 100 basis points |