Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22311
Schwab Strategic Trust – Fixed Income ETFs
(Exact name of registrant as specified in charter)
211 Main Street, San Francisco, California 94105
(Address of principal executive offices) (Zip code)
Marie Chandoha
Schwab Strategic Trust – Fixed Income ETFs
211 Main Street, San Francisco, California 94105
(Name and address of agent for service)
Registrant’s telephone number, including area code: (415) 636-7000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2015
Item 1: Report(s) to Shareholders.
Table of Contents
U.S. Treasury ETF™
U.S. Treasury ETF™
Bond ETF™
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U.S. Treasury ETF™
U.S. Treasury ETF™
Bond ETF™
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10 | |
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22 | |
28 | |
55 | |
64 | |
66 |
Total Returns for the 6 Months Ended June 30, 2015 | |
Schwab U.S. TIPS ETF (Ticker Symbol: SCHP) | |
Market Price Return1 | -0.06% |
NAV Return1 | 0.30% |
Barclays U.S. TIPS Index (Series-L) | 0.34% |
ETF Category: Morningstar Inflation-Protected Bond2 | 0.19% |
Performance Details | page 5 |
Schwab Short-Term U.S. Treasury ETF (Ticker Symbol: SCHO) | |
Market Price Return1 | 0.53% |
NAV Return1 | 0.63% |
Barclays U.S. 1-3 Year Treasury Bond Index | 0.68% |
ETF Category: Morningstar Short Government2 | 0.44% |
Performance Details | page 6 |
Schwab Intermediate-Term U.S. Treasury ETF (Ticker Symbol: SCHR) | |
Market Price Return1 | 0.66% |
NAV Return1 | 0.88% |
Barclays U.S. 3-10 Year Treasury Bond Index | 0.96% |
ETF Category: Morningstar Intermediate Government2 | 0.75% |
Performance Details | page 7 |
Schwab U.S. Aggregate Bond ETF (Ticker Symbol: SCHZ) | |
Market Price Return1 | -0.36% |
NAV Return1 | -0.05% |
Barclays U.S. Aggregate Bond Index | -0.10% |
ETF Category: Morningstar Intermediate-Term Bond2 | 0.19% |
Performance Details | page 8 |
1 | ETF performance must be shown based on both a Market Price and a Net Asset Value (NAV) basis. The fund’s per share net asset value (“NAV”) is the value of one share of the fund. NAV is calculated by taking the fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the fund, and the Market Price Return is based on the market price per share of the fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of the fund are listed for trading, as of the time that the fund’s NAV is calculated. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the fund at Market Price and NAV, respectively. |
2 | Source for category information: Morningstar, Inc. The Morningstar Category return represents all passively- and actively-managed ETFs within the category as of the report date. |
![](https://capedge.com/proxy/N-CSRS/0001193125-15-308995/g42240pchandom.jpg)
![](https://capedge.com/proxy/N-CSRS/0001193125-15-308995/g42240schandom.jpg)
![]() | Yields, or interest rates, represent the cost of borrowing money. Rapid economic growth, waning investor interest in bonds, an increase in the issuance of bonds, or the expectation of higher inflation can drive rates up, while the opposite conditions can push rates down. |
Data source: Bloomberg L.P. |
![]() | Matthew Hastings, CFA, Vice President and Head of Taxable Bond Strategies, leads the portfolio management team for Schwab’s taxable bond funds and the Schwab Fixed Income ETFs. He also has overall responsibility for all aspects of the management of the funds. Prior to joining CSIM in 1999, Mr. Hastings was in fixed-income sales and trading at Lehman Brothers. He has worked in the fixed-income securities industry since 1996. |
![]() | Steven Chan, CFA, Managing Director and Portfolio Manager, is responsible for the day-to-day co-management of the funds. His primary focus is government securities, including Treasury inflation-protected securities. Mr. Chan has been a portfolio manager with CSIM since 2007, and has held a number of positions at the firm since beginning his tenure in 1996. His previous roles include managing the Portfolio Operations and Analytics group, and working as a senior manager in Finance. Prior to joining CSIM, Mr. Chan was a manager of finance at GT Capital Management. |
![]() | Brandon Matsui, CFA, Managing Director and Portfolio Manager, is responsible for the day-to-day co-management of the funds. Prior to joining CSIM in 2010, Mr. Matsui was an associate portfolio manager on the Beta Management team at BNY Mellon for 11 months. Prior to that, Mr. Matsui spent five years at BlackRock Solutions, where he served as an analyst in the portfolio analytics group, and also a risk analytics manager for their corporate, asset management, and pension clients. |
![]() | Steven Hung, Managing Director and Senior Portfolio Manager, is responsible for the day-to-day co-management of each of the funds, except for the Schwab GNMA Fund and Schwab Treasury Inflation Protected Securities Index Fund. His primary focus is corporate bonds. Prior to joining CSIM in 1999, Mr. Hung was an associate in Schwab’s management training program for nine months. In that role, he worked as a clerk on the Options Trading Floor of the Pacific Coast Stock Exchange. |
![]() | Alfonso Portillo, Jr., Managing Director and Senior Portfolio Manager, is responsible for the day-to-day co-management of each of the funds, except for the Schwab Short-Term Bond Market Fund and Schwab Treasury Inflation Protected Securities Index Fund. His primary focus is securitized products. Prior to joining CSIM in 2007, Mr. Portillo worked for ten years at Pacific Investment Management Company, most recently as a vice president and member of the mortgage- and asset-backed portfolio management team. He has worked in fixed-income asset management since 1996. |
Fund and Inception Date | 6 Months | 1 Year | 3 Years | Since Inception* |
Fund: Schwab U.S. TIPS ETF (8/5/10) | ||||
Market Price Return2 | -0.06% | -1.88% | -0.93% | 3.15% |
NAV Return2 | 0.30% | -1.81% | -0.84% | 3.18% |
Barclays U.S. TIPS Index (Series-L) | 0.34% | -1.73% | -0.76% | 3.29% |
ETF Category: Morningstar Inflation-Protected Bond3 | 0.19% | -2.02% | -0.79% | 2.97% |
By Security Type5 | |
U.S. Government Obligations | 99.9% |
Short-Term Investments & Other Assets6 | 0.1% |
Weighted Average Maturity7 | 8.6 Yrs |
Weighted Average Duration7 | 7.8 Yrs |
* | Inception (8/5/10) represents the date that the shares began trading in the secondary market. |
1 | Performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
2 | ETF performance must be shown based on both a Market Price and a Net Asset Value (NAV) basis. The fund’s per share net asset value ("NAV") is the value of one share of the fund. NAV is calculated by taking the fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the fund, and the Market Price Return is based on the market price per share of the fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of the fund are listed for trading, as of the time that the fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the fund at Market Price and NAV, respectively. |
3 | Source for category information: Morningstar, Inc. The Morningstar Category return represents all passively- and actively-managed ETFs within the category as of the report date. |
4 | As stated in the prospectus. |
5 | This list is not a recommendation of any security type by the investment adviser. |
6 | Represents the fund’s position in money market mutual funds registered under the Investment Company Act of 1940, as amended. |
7 | See Glossary for definitions of maturity and duration. |
Fund and Inception Date | 6 Months | 1 Year | 3 Years | Since Inception* |
Fund: Schwab Short-Term U.S. Treasury ETF (8/5/10) | ||||
Market Price Return2 | 0.53% | 0.76% | 0.56% | 0.68% |
NAV Return2 | 0.63% | 0.82% | 0.57% | 0.69% |
Barclays U.S. 1-3 Year Treasury Bond Index | 0.68% | 0.90% | 0.66% | 0.79% |
ETF Category: Morningstar Short Government3 | 0.44% | 0.57% | 0.49% | 1.04% |
By Security Type5 | |
U.S. Government Obligations | 99.7% |
Short-Term Investments & Other Assets6 | 0.3% |
Weighted Average Maturity7 | 1.9 Yrs |
Weighted Average Duration7 | 1.9 Yrs |
* | Inception (8/5/10) represents the date that the shares began trading in the secondary market. |
1 | Performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
2 | ETF performance must be shown based on both a Market Price and a Net Asset Value (NAV) basis. The fund’s per share net asset value ("NAV") is the value of one share of the fund. NAV is calculated by taking the fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the fund, and the Market Price Return is based on the market price per share of the fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of the fund are listed for trading, as of the time that the fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the fund at Market Price and NAV, respectively. |
3 | Source for category information: Morningstar, Inc. The Morningstar Category return represents all passively- and actively-managed ETFs within the category as of the report date. |
4 | As stated in the prospectus. |
5 | This list is not a recommendation of any security type by the investment adviser. |
6 | Represents the fund’s position in money market mutual funds registered under the Investment Company Act of 1940, as amended. |
7 | See Glossary for definitions of maturity and duration. |
Fund and Inception Date | 6 Months | 1 Year | 3 Years | Since Inception* |
Fund: Schwab Intermediate-Term U.S. Treasury ETF (8/5/10) | ||||
Market Price Return2 | 0.66% | 2.41% | 0.94% | 2.81% |
NAV Return2 | 0.88% | 2.53% | 1.00% | 2.83% |
Barclays U.S. 3-10 Year Treasury Bond Index | 0.96% | 2.65% | 1.10% | 2.95% |
ETF Category: Morningstar Intermediate Government3 | 0.75% | 2.13% | 0.98% | 2.69% |
By Security Type5 | |
U.S. Government Obligations | 99.9% |
Short-Term Investments & Other Assets6 | 0.1% |
Weighted Average Maturity7 | 5.6 Yrs |
Weighted Average Duration7 | 5.2 Yrs |
* | Inception (8/5/10) represents the date that the shares began trading in the secondary market. |
1 | Performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
2 | ETF performance must be shown based on both a Market Price and a Net Asset Value (NAV) basis. The fund’s per share net asset value ("NAV") is the value of one share of the fund. NAV is calculated by taking the fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the fund, and the Market Price Return is based on the market price per share of the fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of the fund are listed for trading, as of the time that the fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the fund at Market Price and NAV, respectively. |
3 | Source for category information: Morningstar, Inc. The Morningstar Category return represents all passively- and actively-managed ETFs within the category as of the report date. |
4 | As stated in the prospectus. |
5 | This list is not a recommendation of any security type by the investment adviser. |
6 | Represents the fund’s position in money market mutual funds registered under the Investment Company Act of 1940, as amended. |
7 | See Glossary for definitions of maturity and duration. |
Fund and Inception Date | 6 Months | 1 Year | 3 Years | Since Inception* |
Fund: Schwab U.S. Aggregate Bond ETF (7/14/11) | ||||
Market Price Return2 | -0.36% | 1.74% | 1.64% | 2.82% |
NAV Return2 | -0.05% | 1.88% | 1.75% | 2.83% |
Barclays U.S. Aggregate Bond Index | -0.10% | 1.86% | 1.83% | 2.96% |
ETF Category: Morningstar Intermediate-Term Bond3 | 0.19% | 1.83% | 1.98% | 3.08% |
By Security Type5 | |
U.S. Government and Government Agencies | 35.8% |
Mortgage-Backed Securities6 | 25.7% |
Corporate Bonds | 21.7% |
Short-Term Investments & Other Assets7 | 8.9% |
Foreign Government Securities | 4.7% |
Commercial Mortgage-Backed Securities | 1.8% |
Municipal Bonds | 0.9% |
Asset-Backed Obligations | 0.5% |
Weighted Average Maturity8 | 7.4 Yrs |
Weighted Average Duration8 | 5.3 Yrs |
* | Inception (7/14/11) represents the date that the shares began trading in the secondary market. |
1 | Performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. |
2 | ETF performance must be shown based on both a Market Price and a Net Asset Value (NAV) basis. The fund’s per share net asset value ("NAV") is the value of one share of the fund. NAV is calculated by taking the fund’s total assets (including the market value of securities owned), subtracting liabilities, and dividing by the number of shares outstanding. The NAV Return is based on the NAV of the fund, and the Market Price Return is based on the market price per share of the fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of the fund are listed for trading, as of the time that the fund’s NAV is calculated. NAV is used as a proxy for purposes of calculating Market Price Return on inception date. Market Price and NAV returns assume that dividends and capital gain distributions have been reinvested in the fund at Market Price and NAV, respectively. |
3 | Source for category information: Morningstar, Inc. The Morningstar Category return represents all passively- and actively-managed ETFs within the category as of the report date. |
4 | As stated in the prospectus. |
5 | This list is not a recommendation of any security type by the investment adviser. |
6 | The fund may seek to obtain exposure to U.S. agency mortgage pass-through securities, in part or in full, through the use of “to-be-announced” or “TBA” transactions, which are standardized contracts for future delivery of mortgage pass-through securities in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement. These transactions represented approximately 8.1% of total investments on June 30, 2015. |
7 | Includes the fund’s position in money market mutual funds registered under the Investment Company Act of 1940, as amended. |
8 | See Glossary for definitions of maturity and duration. |
As a fund shareholder, you may incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares; and, (2) ongoing costs, including management fees and other fund expenses.
Expense Ratio1 (Annualized) | Beginning Account Value at 1/1/15 | Ending Account Value (Net of Expenses) at 6/30/15 | Expenses Paid During Period2 1/1/15–6/30/15 | |
Schwab U.S. TIPS ETF | ||||
Actual Return | 0.07% | $1,000.00 | $ 1,003.00 | $ 0.35 |
Hypothetical 5% Return | 0.07% | $1,000.00 | $ 1,024.45 | $ 0.35 |
Schwab Short-Term U.S. Treasury ETF | ||||
Actual Return | 0.08% | $1,000.00 | $1,006.30 | $0.40 |
Hypothetical 5% Return | 0.08% | $1,000.00 | $ 1,024.40 | $0.40 |
Schwab Intermediate-Term U.S. Treasury ETF | ||||
Actual Return | 0.09% | $1,000.00 | $1,008.80 | $ 0.45 |
Hypothetical 5% Return | 0.09% | $1,000.00 | $ 1,024.35 | $ 0.45 |
Schwab U.S. Aggregate Bond ETF | ||||
Actual Return | 0.05% | $1,000.00 | $ 999.50 | $ 0.25 |
Hypothetical 5% Return | 0.05% | $1,000.00 | $ 1,024.55 | $ 0.25 |
1 | Based on the most recent six-month expense ratio; may differ from the expense ratio provided in the Financial Highlights. |
2 | Expenses for each share class are equal to its annualized expense ratio, multiplied by the average account value over the period, multiplied by 181 days of the period, and divided by 365 days of the fiscal year. |
1/1/15– 6/30/15* | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 1/1/11– 12/31/11 | 8/4/10 1– 12/31/10 | |
Per-Share Data ($) | ||||||
Net asset value at beginning of period | 54.11 | 52.92 | 58.31 | 55.46 | 50.37 | 50.00 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | (0.12) 2 | 0.64 | 0.28 | 0.92 | 1.56 | 0.20 |
Net realized and unrealized gains (losses) | 0.28 | 1.26 | (5.32) | 2.85 | 5.09 | 0.37 3 |
Total from investment operations | 0.16 | 1.90 | (5.04) | 3.77 | 6.65 | 0.57 |
Less distributions: | ||||||
Distributions from net investment income | — | (0.71) | (0.35) | (0.92) | (1.56) | (0.20) |
Net asset value at end of period | 54.27 | 54.11 | 52.92 | 58.31 | 55.46 | 50.37 |
Total return (%) | 0.30 4 | 3.56 | (8.66) | 6.83 | 13.38 | 1.13 4 |
Ratios/Supplemental Data (%) | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.07 5 | 0.07 | 0.07 | 0.12 6 | 0.14 | 0.14 5 |
Net investment income (loss) | (0.44) 5 | 1.10 | 0.51 | 1.72 | 3.03 | 1.27 5 |
Portfolio turnover rate7 | 11 4 | 20 | 20 | 22 | 26 | 6 4 |
Net assets, end of period ($ x 1,000) | 729,995 | 549,259 | 399,564 | 571,441 | 288,373 | 80,591 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
99.5% | U.S. Government Securities | 735,734,806 | 726,707,058 |
0.1% | Other Investment Company | 411,053 | 411,053 |
99.6% | Total Investments | 736,145,859 | 727,118,111 |
0.4% | Other Assets and Liabilities, Net | 2,876,497 | |
100.0% | Net Assets | 729,994,608 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Securities 99.5% of net assets | ||
U.S. Treasury Obligations 99.5% | ||
U.S. Treasury Inflation Protected Securities | ||
2.50%, 07/15/16 | 15,129,665 | 15,692,337 |
2.38%, 01/15/17 | 13,119,337 | 13,756,806 |
0.13%, 04/15/17 | 34,968,226 | 35,432,604 |
2.63%, 07/15/17 | 11,247,200 | 12,069,708 |
1.63%, 01/15/18 | 11,877,873 | 12,549,685 |
0.13%, 04/15/18 | 38,878,176 | 39,473,401 |
1.38%, 07/15/18 | 11,713,951 | 12,420,419 |
2.13%, 01/15/19 | 10,900,292 | 11,864,314 |
0.13%, 04/15/19 | 38,509,444 | 39,008,911 |
1.88%, 07/15/19 | 12,383,232 | 13,507,382 |
1.38%, 01/15/20 | 15,019,119 | 16,068,054 |
0.13%, 04/15/20 | 13,873,901 | 13,997,518 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.25%, 07/15/20 | 23,079,546 | 24,713,117 |
1.13%, 01/15/21 | 26,400,742 | 27,956,009 |
0.63%, 07/15/21 | 28,022,525 | 28,955,115 |
0.13%, 01/15/22 | 30,930,882 | 30,693,951 |
0.13%, 07/15/22 | 31,904,836 | 31,680,546 |
0.13%, 01/15/23 | 32,052,550 | 31,526,568 |
0.38%, 07/15/23 | 31,793,462 | 31,947,343 |
0.63%, 01/15/24 | 31,719,086 | 32,303,986 |
0.13%, 07/15/24 | 31,169,444 | 30,438,832 |
0.25%, 01/15/25 | 31,247,338 | 30,695,510 |
2.38%, 01/15/25 | 20,515,863 | 24,163,788 |
2.00%, 01/15/26 | 14,942,785 | 17,172,548 |
2.38%, 01/15/27 | 12,023,612 | 14,415,229 |
1.75%, 01/15/28 | 11,993,058 | 13,602,766 |
3.63%, 04/15/28 | 10,132,401 | 13,825,965 |
2.50%, 01/15/29 | 11,613,239 | 14,336,891 |
3.88%, 04/15/29 | 12,333,345 | 17,497,933 |
3.38%, 04/15/32 | 4,685,000 | 6,614,612 |
2.13%, 02/15/40 | 6,346,374 | 7,820,890 |
2.13%, 02/15/41 | 8,071,146 | 10,013,306 |
0.75%, 02/15/42 | 14,202,692 | 13,062,073 |
0.63%, 02/15/43 | 10,483,656 | 9,304,245 |
1.38%, 02/15/44 | 15,873,432 | 16,954,730 |
0.75%, 02/15/45 | 12,224,313 | 11,169,966 |
Total U.S. Government Securities | ||
(Cost $735,734,806) | 726,707,058 | |
Security | Number of Shares | Value ($) |
Other Investment Company 0.1% of net assets | ||
Money Market Fund 0.1% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.00% (a) | 411,053 | 411,053 |
Total Other Investment Company | ||
(Cost $411,053) | 411,053 |
(a) | The rate shown is the 7-day yield. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||
U.S. Government Securities1 | $— | $726,707,058 | $— | $726,707,058 | |||||
Other Investment Company1 | 411,053 | — | — | 411,053 | |||||
Total | $411,053 | $726,707,058 | $— | $727,118,111 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $736,145,859) | $727,118,111 | |
Receivables: | ||
Investments sold | 4,885,107 | |
Fund shares sold | 5,427,469 | |
Interest | + | 2,798,735 |
Total assets | 740,229,422 | |
Liabilities | ||
Payables: | ||
Investments bought | 10,225,130 | |
Investment adviser fees | + | 9,684 |
Total liabilities | 10,234,814 | |
Net Assets | ||
Total assets | 740,229,422 | |
Total liabilities | – | 10,234,814 |
Net assets | $729,994,608 | |
Net Assets by Source | ||
Capital received from investors | 749,463,616 | |
Net investment loss | (2,029,599) | |
Net realized capital losses | (8,411,661) | |
Net unrealized capital depreciation | (9,027,748) |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$729,994,608 | 13,450,000 | $54.27 | ||
Investment Income | ||
Interest | ($1,216,768)* | |
Securities on loan | + | 559 |
Total investment income | (1,216,209) | |
Expenses | ||
Investment adviser fees | 227,145 | |
Total expenses | – | 227,145 |
Net investment loss | (1,443,354) | |
Realized and Unrealized Gains (Losses) | ||
Net realized losses on investments | (1,033,036) | |
Net realized gains on in-kind redemptions | + | 240,258 |
Net realized losses | (792,778) | |
Net change in unrealized appreciation (depreciation) on investments | + | 2,005,575 |
Net realized and unrealized gains | 1,212,797 | |
Decrease in net assets resulting from operations | ($230,557) |
* | See financial note 2(b) regarding inflation-protected securities. |
Operations | |||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||
Net investment income (loss) | ($1,443,354) | $5,061,689 | |
Net realized losses | (792,778) | (1,726,513) | |
Net change in unrealized appreciation (depreciation) | + | 2,005,575 | 9,643,974 |
Increase (Decrease) in net assets resulting from operations | (230,557) | 12,979,150 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($—) | ($5,900,895) |
Transactions in Fund Shares | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 3,400,000 | $186,438,375 | 3,300,000 | $181,061,371 | |
Shares redeemed | + | (100,000) | (5,471,714) | (700,000) | (38,445,207) |
Net transactions in fund shares | 3,300,000 | $180,966,661 | 2,600,000 | $142,616,164 | |
Shares Outstanding and Net Assets | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 10,150,000 | $549,258,504 | 7,550,000 | $399,564,085 | |
Total increase | + | 3,300,000 | 180,736,104 | 2,600,000 | 149,694,419 |
End of period | 13,450,000 | $729,994,608 | 10,150,000 | $549,258,504 | |
Net investment loss/Distribution in excess of net investment income | ($2,029,599) | ($586,245) |
1/1/15– 6/30/15* | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 1/1/11– 12/31/11 | 8/4/10 1– 12/31/10 | |
Per-Share Data ($) | ||||||
Net asset value at beginning of period | 50.55 | 50.51 | 50.53 | 50.50 | 49.99 | 50.00 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.17 2 | 0.24 | 0.15 | 0.15 | 0.21 | 0.06 |
Net realized and unrealized gains (losses) | 0.15 | 0.04 | (0.02) | 0.03 | 0.51 | (0.01) |
Total from investment operations | 0.32 | 0.28 | 0.13 | 0.18 | 0.72 | 0.05 |
Less distributions: | ||||||
Distributions from net investment income | (0.14) | (0.24) | (0.15) | (0.15) | (0.21) | (0.06) |
Net asset value at end of period | 50.73 | 50.55 | 50.51 | 50.53 | 50.50 | 49.99 |
Total return (%) | 0.63 3 | 0.55 | 0.25 | 0.35 | 1.43 | 0.11 3 |
Ratios/Supplemental Data (%) | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.08 4 | 0.08 | 0.08 | 0.11 5 | 0.12 | 0.12 4 |
Net investment income (loss) | 0.66 4 | 0.49 | 0.31 | 0.29 | 0.42 | 0.37 4 |
Portfolio turnover rate6 | 31 3 | 109 | 101 | 101 | 74 | 48 3 |
Net assets, end of period ($ x 1,000) | 847,140 | 702,651 | 444,497 | 250,105 | 181,805 | 49,990 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
99.4% | U.S. Government Securities | 839,453,322 | 841,906,680 |
0.3% | Other Investment Company | 2,877,913 | 2,877,913 |
99.7% | Total Investments | 842,331,235 | 844,784,593 |
0.3% | Other Assets and Liabilities, Net | 2,355,877 | |
100.0% | Net Assets | 847,140,470 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Securities 99.4% of net assets | ||
U.S. Treasury Obligations 99.4% | ||
U.S. Treasury Bonds | ||
7.50%, 11/15/16 | 3,905,000 | 4,282,840 |
8.88%, 08/15/17 | 6,545,000 | 7,674,013 |
U.S. Treasury Notes | ||
0.63%, 07/15/16 | 15,380,000 | 15,423,249 |
1.50%, 07/31/16 | 12,390,000 | 12,541,976 |
3.25%, 07/31/16 | 10,285,000 | 10,603,197 |
0.63%, 08/15/16 | 9,855,000 | 9,883,491 |
1.00%, 08/31/16 | 8,446,000 | 8,507,369 |
3.00%, 08/31/16 | 30,764,000 | 31,703,748 |
0.88%, 09/15/16 | 5,163,000 | 5,193,250 |
0.50%, 09/30/16 | 11,287,000 | 11,302,870 |
1.00%, 09/30/16 | 4,432,000 | 4,465,931 |
3.00%, 09/30/16 | 12,912,000 | 13,330,633 |
0.63%, 10/15/16 | 17,889,000 | 17,937,909 |
0.38%, 10/31/16 | 7,201,000 | 7,197,061 |
1.00%, 10/31/16 | 9,147,000 | 9,217,029 |
3.13%, 10/31/16 | 1,425,000 | 1,475,988 |
0.63%, 11/15/16 | 14,796,000 | 14,835,298 |
4.63%, 11/15/16 | 11,805,000 | 12,480,104 |
0.50%, 11/30/16 | 12,501,000 | 12,509,788 |
0.88%, 11/30/16 | 19,588,000 | 19,704,314 |
2.75%, 11/30/16 | 2,832,000 | 2,923,156 |
0.63%, 12/15/16 | 17,285,000 | 17,323,494 |
3.25%, 12/31/16 | 18,234,000 | 18,988,997 |
0.75%, 01/15/17 | 18,316,000 | 18,386,114 |
0.63%, 02/15/17 | 14,538,000 | 14,558,440 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
4.63%, 02/15/17 | 15,712,000 | 16,751,694 |
0.88%, 02/28/17 | 11,665,000 | 11,728,796 |
3.00%, 02/28/17 | 13,877,000 | 14,442,918 |
0.50%, 03/31/17 | 6,412,000 | 6,405,986 |
1.00%, 03/31/17 | 24,893,000 | 25,085,522 |
3.25%, 03/31/17 | 14,886,000 | 15,586,103 |
0.88%, 04/15/17 | 11,665,000 | 11,727,886 |
0.88%, 04/30/17 | 13,763,000 | 13,833,962 |
3.13%, 04/30/17 | 20,859,000 | 21,823,729 |
4.50%, 05/15/17 | 11,905,000 | 12,767,184 |
0.63%, 05/31/17 | 28,097,000 | 28,094,808 |
2.75%, 05/31/17 | 21,727,000 | 22,613,049 |
0.88%, 06/15/17 | 2,605,000 | 2,617,006 |
0.63%, 06/30/17 | 10,000,000 | 9,996,880 |
0.75%, 06/30/17 | 13,793,000 | 13,821,014 |
2.50%, 06/30/17 | 5,000,000 | 5,185,155 |
0.88%, 07/15/17 | 15,091,000 | 15,154,669 |
0.50%, 07/31/17 | 8,244,000 | 8,215,657 |
2.38%, 07/31/17 | 8,627,000 | 8,927,599 |
0.63%, 08/31/17 | 16,663,000 | 16,635,656 |
1.88%, 08/31/17 | 4,899,000 | 5,022,239 |
1.00%, 09/15/17 | 1,128,000 | 1,134,609 |
0.63%, 09/30/17 | 12,260,000 | 12,224,556 |
1.88%, 09/30/17 | 11,713,000 | 12,010,405 |
0.88%, 10/15/17 | 14,881,000 | 14,915,881 |
0.88%, 11/15/17 | 14,881,000 | 14,910,063 |
0.63%, 11/30/17 | 15,121,000 | 15,057,205 |
2.25%, 11/30/17 | 8,651,000 | 8,953,110 |
0.75%, 12/31/17 | 16,807,000 | 16,772,865 |
2.75%, 12/31/17 | 16,807,000 | 17,609,265 |
0.88%, 01/15/18 | 8,110,000 | 8,113,171 |
3.50%, 02/15/18 | 8,102,000 | 8,650,781 |
0.75%, 02/28/18 | 13,900,000 | 13,845,707 |
2.75%, 02/28/18 | 13,900,000 | 14,578,709 |
0.75%, 03/31/18 | 2,928,000 | 2,913,360 |
2.88%, 03/31/18 | 2,608,000 | 2,745,530 |
0.75%, 04/15/18 | 16,572,000 | 16,486,555 |
0.63%, 04/30/18 | 3,524,000 | 3,492,615 |
2.63%, 04/30/18 | 2,608,000 | 2,730,657 |
1.00%, 05/15/18 | 16,572,000 | 16,591,422 |
1.00%, 05/31/18 | 17,204,000 | 17,210,727 |
2.38%, 05/31/18 | 11,462,000 | 11,924,056 |
1.13%, 06/15/18 | 10,000,000 | 10,038,280 |
1.38%, 06/30/18 | 10,000,000 | 10,109,380 |
Total U.S. Government Securities | ||
(Cost $839,453,322) | 841,906,680 | |
Security | Number of Shares | Value ($) |
Other Investment Company 0.3% of net assets | ||
Money Market Fund 0.3% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.00% (a) | 2,877,913 | 2,877,913 |
Total Other Investment Company | ||
(Cost $2,877,913) | 2,877,913 |
At 6/30/15, the tax basis cost of the fund's investments was $842,331,235 and the unrealized appreciation and depreciation were $2,493,702 and ($40,344), respectively, with a net unrealized appreciation of $2,453,358.
(a) | The rate shown is the 7-day yield. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||
U.S. Government Securities1 | $— | $841,906,680 | $— | $841,906,680 | |||||
Other Investment Company1 | 2,877,913 | — | — | 2,877,913 | |||||
Total | $2,877,913 | $841,906,680 | $— | $844,784,593 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $842,331,235) | $844,784,593 | |
Receivables: | ||
Investments sold | 34,165,583 | |
Fund shares sold | 30,396,128 | |
Interest | + | 3,009,992 |
Total assets | 912,356,296 | |
Liabilities | ||
Payables: | ||
Investments bought | 65,203,303 | |
Investment adviser fees | + | 12,523 |
Total liabilities | 65,215,826 | |
Net Assets | ||
Total assets | 912,356,296 | |
Total liabilities | – | 65,215,826 |
Net assets | $847,140,470 | |
Net Assets by Source | ||
Capital received from investors | 844,263,753 | |
Net investment income not yet distributed | 431,629 | |
Net realized capital losses | (8,270) | |
Net unrealized capital appreciation | 2,453,358 |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$847,140,470 | 16,700,000 | $50.73 | ||
Investment Income | ||
Interest | $2,637,831 | |
Expenses | ||
Investment adviser fees | 285,519 | |
Total expenses | – | 285,519 |
Net investment income | 2,352,312 | |
Realized and Unrealized Gains (Losses) | ||
Net realized gains on investments | 20,095 | |
Net realized gains on in-kind redemptions | + | 243,007 |
Net realized gains | 263,102 | |
Net change in unrealized appreciation (depreciation) on investments | + | 1,996,567 |
Net realized and unrealized gains | 2,259,669 | |
Increase in net assets resulting from operations | $4,611,981 |
Operations | |||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||
Net investment income | $2,352,312 | $2,718,927 | |
Net realized gains | 263,102 | 95,206 | |
Net change in unrealized appreciation (depreciation) | + | 1,996,567 | (1,834) |
Increase in net assets resulting from operations | 4,611,981 | 2,812,299 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($1,923,275) | ($2,716,335) |
Transactions in Fund Shares | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 4,150,000 | $210,304,496 | 6,100,000 | $308,679,042 | |
Shares redeemed | + | (1,350,000) | (68,503,429) | (1,000,000) | (50,621,716) |
Net transactions in fund shares | 2,800,000 | $141,801,067 | 5,100,000 | $258,057,326 | |
Shares Outstanding and Net Assets | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 13,900,000 | $702,650,697 | 8,800,000 | $444,497,407 | |
Total increase | + | 2,800,000 | 144,489,773 | 5,100,000 | 258,153,290 |
End of period | 16,700,000 | $847,140,470 | 13,900,000 | $702,650,697 | |
Net investment income not yet distributed | $431,629 | $2,592 |
1/1/15– 6/30/15* | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 1/1/11– 12/31/11 | 8/4/10 1– 12/31/10 | |
Per-Share Data ($) | ||||||
Net asset value at beginning of period | 53.52 | 52.08 | 54.18 | 53.39 | 49.31 | 50.00 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.42 2 | 0.77 | 0.56 | 0.58 | 0.82 | 0.28 |
Net realized and unrealized gains (losses) | 0.06 3 | 1.44 | (2.10) | 0.79 | 4.08 | (0.69) |
Total from investment operations | 0.48 | 2.21 | (1.54) | 1.37 | 4.90 | (0.41) |
Less distributions: | ||||||
Distributions from net investment income | (0.35) | (0.77) | (0.56) | (0.58) | (0.82) | (0.28) |
Net asset value at end of period | 53.65 | 53.52 | 52.08 | 54.18 | 53.39 | 49.31 |
Total return (%) | 0.88 4 | 4.27 | (2.86) | 2.57 | 10.02 | (0.83) 4 |
Ratios/Supplemental Data (%) | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.09 5,6 | 0.10 | 0.10 | 0.11 7 | 0.12 | 0.12 5 |
Net investment income (loss) | 1.58 5,6 | 1.43 | 1.06 | 1.07 | 1.62 | 1.58 5 |
Portfolio turnover rate8 | 14 4 | 49 | 54 | 47 | 46 | 20 4 |
Net assets, end of period ($ x 1,000) | 340,686 | 254,226 | 236,969 | 216,733 | 117,452 | 34,517 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
99.4% | U.S. Government Securities | 339,206,423 | 338,741,756 |
0.2% | Other Investment Company | 470,591 | 470,591 |
99.6% | Total Investments | 339,677,014 | 339,212,347 |
0.4% | Other Assets and Liabilities, Net | 1,473,810 | |
100.0% | Net Assets | 340,686,157 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Securities 99.4% of net assets | ||
U.S. Treasury Obligations 99.4% | ||
U.S. Treasury Bonds | ||
8.50%, 02/15/20 | 918,000 | 1,203,799 |
8.75%, 05/15/20 | 674,000 | 899,369 |
8.75%, 08/15/20 | 3,107,000 | 4,190,809 |
U.S. Treasury Notes | ||
1.38%, 07/31/18 | 4,110,000 | 4,151,421 |
4.00%, 08/15/18 | 1,665,000 | 1,818,883 |
1.50%, 08/31/18 | 6,207,000 | 6,288,467 |
1.38%, 09/30/18 | 7,351,000 | 7,412,447 |
1.25%, 10/31/18 | 5,094,000 | 5,111,911 |
3.75%, 11/15/18 | 5,962,000 | 6,476,222 |
1.25%, 11/30/18 | 4,173,000 | 4,183,758 |
1.38%, 12/31/18 | 6,960,000 | 7,000,236 |
1.25%, 01/31/19 | 4,126,000 | 4,127,613 |
2.75%, 02/15/19 | 2,876,000 | 3,029,012 |
1.38%, 02/28/19 | 4,719,000 | 4,735,960 |
1.50%, 02/28/19 | 3,630,000 | 3,660,913 |
1.25%, 04/30/19 | 3,120,000 | 3,113,173 |
3.13%, 05/15/19 | 5,081,000 | 5,422,382 |
1.50%, 05/31/19 | 2,146,000 | 2,158,071 |
1.00%, 06/30/19 | 2,689,000 | 2,650,765 |
1.63%, 06/30/19 | 1,561,000 | 1,575,878 |
1.63%, 07/31/19 | 4,639,000 | 4,678,868 |
3.63%, 08/15/19 | 6,092,000 | 6,632,190 |
1.63%, 08/31/19 | 3,175,000 | 3,200,797 |
1.00%, 09/30/19 | 5,486,000 | 5,383,993 |
3.38%, 11/15/19 | 4,554,000 | 4,916,899 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.00%, 11/30/19 | 3,277,000 | 3,205,571 |
1.50%, 11/30/19 | 3,855,000 | 3,855,902 |
1.13%, 12/31/19 | 4,901,000 | 4,815,233 |
1.25%, 01/31/20 | 3,869,000 | 3,817,314 |
3.63%, 02/15/20 | 8,891,000 | 9,710,644 |
1.25%, 02/29/20 | 6,895,000 | 6,793,726 |
1.38%, 02/29/20 | 3,560,000 | 3,529,405 |
1.38%, 03/31/20 | 2,800,000 | 2,772,655 |
1.13%, 04/30/20 | 2,673,000 | 2,611,812 |
1.38%, 04/30/20 | 2,624,000 | 2,595,506 |
3.50%, 05/15/20 | 4,506,000 | 4,900,978 |
1.38%, 05/31/20 | 6,519,000 | 6,442,095 |
1.88%, 06/30/20 | 1,300,000 | 1,315,133 |
2.63%, 08/15/20 | 7,647,000 | 7,997,087 |
2.00%, 09/30/20 | 2,849,000 | 2,890,621 |
1.75%, 10/31/20 | 2,897,000 | 2,898,585 |
2.63%, 11/15/20 | 6,339,000 | 6,621,282 |
2.00%, 11/30/20 | 3,278,000 | 3,319,231 |
2.38%, 12/31/20 | 3,167,000 | 3,264,981 |
2.13%, 01/31/21 | 7,013,000 | 7,129,703 |
3.63%, 02/15/21 | 5,794,000 | 6,357,107 |
2.00%, 02/28/21 | 2,509,000 | 2,531,541 |
2.25%, 04/30/21 | 3,510,000 | 3,583,766 |
3.13%, 05/15/21 | 5,833,000 | 6,239,490 |
2.00%, 05/31/21 | 6,199,000 | 6,238,711 |
2.13%, 06/30/21 | 2,500,000 | 2,531,250 |
2.25%, 07/31/21 | 2,993,000 | 3,049,819 |
2.13%, 08/15/21 | 4,715,000 | 4,768,412 |
2.00%, 10/31/21 | 4,581,000 | 4,589,589 |
2.00%, 11/15/21 | 5,336,000 | 5,346,005 |
1.88%, 11/30/21 | 4,459,000 | 4,430,436 |
2.13%, 12/31/21 | 1,596,000 | 1,608,594 |
1.50%, 01/31/22 | 2,646,000 | 2,561,865 |
2.00%, 02/15/22 | 2,745,000 | 2,744,786 |
1.75%, 02/28/22 | 2,356,000 | 2,315,138 |
1.75%, 04/30/22 | 424,000 | 416,083 |
1.75%, 05/15/22 | 6,323,000 | 6,201,478 |
1.88%, 05/31/22 | 3,136,000 | 3,101,454 |
2.13%, 06/30/22 | 1,500,000 | 1,506,446 |
1.63%, 08/15/22 | 5,450,000 | 5,283,519 |
1.63%, 11/15/22 | 2,796,000 | 2,702,946 |
2.00%, 02/15/23 | 9,532,000 | 9,428,492 |
1.75%, 05/15/23 | 5,944,000 | 5,749,893 |
2.50%, 08/15/23 | 5,008,000 | 5,116,378 |
2.75%, 11/15/23 | 6,766,000 | 7,033,994 |
2.75%, 02/15/24 | 8,774,000 | 9,109,877 |
2.50%, 05/15/24 | 2,668,000 | 2,713,858 |
2.38%, 08/15/24 | 6,943,000 | 6,980,971 |
2.25%, 11/15/24 | 7,683,000 | 7,636,779 |
2.00%, 02/15/25 | 8,019,000 | 7,791,589 |
2.13%, 05/15/25 | 4,644,000 | 4,560,190 |
Total U.S. Government Securities | ||
(Cost $339,206,423) | 338,741,756 |
Security | Number of Shares | Value ($) |
Other Investment Company 0.2% of net assets | ||
Money Market Fund 0.2% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.00% (a) | 470,591 | 470,591 |
Total Other Investment Company | ||
(Cost $470,591) | 470,591 |
At 6/30/15, the tax basis cost of the fund's investments was $339,677,910 and the unrealized appreciation and depreciation were $1,104,709 and ($1,570,272), respectively, with a net unrealized depreciation of ($465,563).
(a) | The rate shown is the 7-day yield. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||
U.S. Government Securities1 | $— | $338,741,756 | $— | $338,741,756 | |||||
Other Investment Company1 | 470,591 | — | — | 470,591 | |||||
Total | $470,591 | $338,741,756 | $— | $339,212,347 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $339,677,014) | $339,212,347 | |
Receivables: | ||
Investments sold | 4,368,548 | |
Fund shares sold | 5,365,175 | |
Interest | 1,772,780 | |
Income from securities on loan | + | 62 |
Total assets | 350,718,912 | |
Liabilities | ||
Payables: | ||
Investments bought | 10,026,992 | |
Investment adviser fees | + | 5,763 |
Total liabilities | 10,032,755 | |
Net Assets | ||
Total assets | 350,718,912 | |
Total liabilities | – | 10,032,755 |
Net assets | $340,686,157 | |
Net Assets by Source | ||
Capital received from investors | 342,736,676 | |
Net investment income not yet distributed | 421,607 | |
Net realized capital losses | (2,007,459) | |
Net unrealized capital depreciation | (464,667) |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$340,686,157 | 6,350,000 | $53.65 | ||
Investment Income | ||
Interest | $2,423,043 | |
Securities on loan | + | 1,779 |
Total investment income | 2,424,822 | |
Expenses | ||
Investment adviser fees | 134,295 | |
Total expenses | – | 134,295 |
Net investment income | 2,290,527 | |
Realized and Unrealized Gains (Losses) | ||
Net realized gains on investments | 58,587 | |
Net realized gains on in-kind redemptions | + | 283,242 |
Net realized gains | 341,829 | |
Net change in unrealized appreciation (depreciation) on investments | + | (1,165,583) |
Net realized and unrealized losses | (823,754) | |
Increase in net assets resulting from operations | $1,466,773 |
Operations | |||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||
Net investment income | $2,290,527 | $3,535,340 | |
Net realized gains (losses) | 341,829 | (718,967) | |
Net change in unrealized appreciation (depreciation) | + | (1,165,583) | 6,947,634 |
Increase in net assets resulting from operations | 1,466,773 | 9,764,007 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($1,868,920) | ($3,544,920) |
Transactions in Fund Shares | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 1,900,000 | $102,990,034 | 3,300,000 | $175,168,419 | |
Shares redeemed | + | (300,000) | (16,127,660) | (3,100,000) | (164,130,182) |
Net transactions in fund shares | 1,600,000 | $86,862,374 | 200,000 | $11,038,237 | |
Shares Outstanding and Net Assets | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 4,750,000 | $254,225,930 | 4,550,000 | $236,968,606 | |
Total increase | + | 1,600,000 | 86,460,227 | 200,000 | 17,257,324 |
End of period | 6,350,000 | $340,686,157 | 4,750,000 | $254,225,930 | |
Net investment income not yet distributed | $421,607 | $— |
1/1/15– 6/30/15* | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 7/13/11 1– 12/31/11 | ||
Per-Share Data ($) | ||||||
Net asset value at beginning of period | 52.20 | 50.28 | 52.43 | 51.50 | 50.00 | |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.49 2 | 1.00 | 0.83 | 0.84 | 0.37 | |
Net realized and unrealized gains (losses) | (0.51) | 1.98 | (1.97) | 1.16 | 1.52 | |
Total from investment operations | (0.02) | 2.98 | (1.14) | 2.00 | 1.89 | |
Less distributions: | ||||||
Distributions from net investment income | (0.45) | (1.06) | (1.01) | (1.07) | (0.39) | |
Net asset value at end of period | 51.73 | 52.20 | 50.28 | 52.43 | 51.50 | |
Total return (%) | (0.05) 3 | 5.97 | (2.19) | 3.90 | 3.79 3 | |
Ratios/Supplemental Data (%) | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.05 4 | 0.05 | 0.06 5 | 0.08 6 | 0.10 4 | |
Net investment income (loss) | 1.87 4 | 1.96 | 1.59 | 1.52 | 1.67 4 | |
Portfolio turnover rate7,8 | 89 3 | 74 | 152 | 151 | 446 3 | |
Net assets, end of period ($ x 1,000) | 1,624,304 | 1,226,778 | 497,801 | 387,954 | 164,804 | |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
0.6% | Asset-Backed Obligations | 9,148,375 | 9,156,008 |
2.0% | Commercial Mortgage-Backed Securities | 31,646,390 | 31,673,055 |
23.6% | Corporate Bonds | 389,209,515 | 383,659,115 |
5.2% | Foreign Government Securities | 84,803,570 | 84,075,305 |
28.0% | Mortgage-Backed Securities | 452,429,022 | 455,471,276 |
1.0% | Municipal Bonds | 16,042,504 | 15,766,011 |
39.0% | U.S. Government and Government Agencies | 634,020,656 | 634,097,381 |
0.2% | Other Investment Company | 3,341,702 | 3,341,702 |
9.5% | Short-Term Investments | 154,297,885 | 154,299,061 |
109.1% | Total Investments | 1,774,939,619 | 1,771,538,914 |
(9.1)% | Other Assets and Liabilities, Net | (147,234,671) | |
100.0% | Net Assets | 1,624,304,243 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Asset-Backed Obligations 0.6% of net assets | ||
American Express Credit Account Master Trust | ||
Series 2014-3 Class A | ||
1.49%, 04/15/20 (b) | 326,000 | 327,851 |
Series 2014-4 Class A | ||
1.43%, 06/15/20 (b) | 100,000 | 100,238 |
Capital One Multi-Asset Execution Trust | ||
Series 2014-A5 Class A | ||
1.48%, 07/15/20 (b) | 200,000 | 201,127 |
Series 2007-A7 Class A7 | ||
5.75%, 07/15/20 (b) | 250,000 | 274,144 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Chase Issuance Trust | ||
Series 2014-A7 Class A | ||
1.38%, 11/15/19 (b) | 680,000 | 681,770 |
Series 2012-A4 Class A4 | ||
1.58%, 08/16/21 (b) | 300,000 | 296,218 |
Series 2014-A2 Class A2 | ||
2.77%, 03/15/23 (b) | 200,000 | 205,253 |
Citibank Credit Card Issuance Trust | ||
Series 2014-A4 Class A4 | ||
1.23%, 04/24/19 (b) | 1,100,000 | 1,104,400 |
Series 2007-A8 Class A8 | ||
5.65%, 09/20/19 (b) | 500,000 | 547,383 |
Series 2008-A1 Class A1 | ||
5.35%, 02/07/20 (b) | 200,000 | 220,191 |
Series 2014-A8 Class A8 | ||
1.73%, 04/09/20 (b) | 200,000 | 201,590 |
Series 2014-A1 Class A1 | ||
2.88%, 01/23/23 (b) | 225,000 | 232,009 |
Discover Card Execution Note Trust | ||
Series 2014-A4 Class A4 | ||
2.12%, 12/15/21 (b) | 1,000,000 | 1,009,629 |
Series 2012-A6 Class A6 | ||
1.67%, 01/18/22 (b) | 600,000 | 594,662 |
Ford Credit Auto Owner Trust | ||
Series 2013-A Class A4 | ||
0.78%, 05/15/18 (b) | 100,000 | 99,915 |
Series 2013-C Class A4 | ||
1.25%, 10/15/18 (b) | 225,000 | 226,161 |
Honda Auto Receivables Owner Trust | ||
Series 2014-2 Class A4 | ||
1.18%, 05/18/20 (b) | 200,000 | 200,350 |
Hyundai Auto Receivables Trust | ||
Series 2013-A Class A4 | ||
0.75%, 09/17/18 (b) | 470,000 | 469,608 |
Series 2013-C Class A4 | ||
1.55%, 03/15/19 (b) | 150,000 | 151,074 |
Nissan Auto Receivables Owner Trust | ||
Series 2013-A Class A4 | ||
0.75%, 07/15/19 (b) | 200,000 | 199,730 |
Series 2013-B Class A4 | ||
1.31%, 10/15/19 (b) | 100,000 | 100,231 |
Volkswagen Auto Loan Enhanced Trust | ||
Series 2014-1 Class A3 | ||
0.91%, 10/22/18 (b) | 300,000 | 299,264 |
Series 2012-2 Class A4 | ||
0.66%, 03/20/19 (b) | 500,000 | 499,314 |
Series 2013-2, Class A4 | ||
1.16%, 03/20/20 (b) | 550,000 | 549,282 |
World Financial Network Credit Card Master Trust | ||
Series 2013-A Class A | ||
1.61%, 12/15/21 (b) | 210,000 | 209,799 |
World Omni Auto Receivables Trust | ||
Series 2014-B Class A3 | ||
1.14%, 01/15/20 (b) | 155,000 | 154,815 |
Total Asset-Backed Obligations | ||
(Cost $9,148,375) | 9,156,008 | |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Commercial Mortgage-Backed Securities 2.0% of net assets | ||
Banc of America Commercial Mortgage Trust | ||
Series 2007-2 Class A4 | ||
5.78%, 04/10/49 (a)(b) | 500,000 | 523,702 |
Series 2007-4 Class A4 | ||
5.94%, 02/10/51 (a)(b) | 153,925 | 165,285 |
Bear Stearns Commercial Mortgage Securities | ||
Series 2006-T24 Class A4 | ||
5.54%, 10/12/41 (b) | 755,004 | 785,009 |
Series 2007-T28 Class A4 | ||
5.74%, 09/11/42 (a)(b) | 1,590,000 | 1,713,917 |
Series 2007-T26 Class A4 | ||
5.47%, 01/12/45 (a)(b) | 857,448 | 905,260 |
Series 2007-PW17 Class A4 | ||
5.69%, 06/11/50 (a)(b) | 300,000 | 320,100 |
Citigroup Commercial Mortgage Trust | ||
Series 2013-GC17 Class A4 | ||
4.13%, 11/10/46 (b) | 750,000 | 804,163 |
Series 2014-GC19 Class A2 | ||
2.79%, 03/10/47 (b) | 130,000 | 133,713 |
Series 2014-GC21, Class A2 | ||
2.90%, 05/10/47 (b) | 480,000 | 495,005 |
Series 2014-GC23 Class A2 | ||
2.85%, 07/10/47 (b) | 570,000 | 586,792 |
COMM 2012-CCRE4 Mortgage Trust | ||
Series 2012-CR4 Class A3 | ||
2.85%, 10/15/45 (b) | 300,000 | 299,495 |
COMM 2013-CCRE11 Mortgage Trust | ||
Series 2013-CR11 Class A4 | ||
4.26%, 10/10/46 (b) | 340,000 | 369,564 |
COMM 2013-CCRE7 Mortgage Trust | ||
Series 2013-CR7, Class A4 | ||
3.21%, 03/10/46 (b) | 600,000 | 609,956 |
COMM 2013-LC6 Mortgage Trust | ||
Series 2013-LC6 Class A2 | ||
1.91%, 01/10/46 (b) | 150,000 | 151,000 |
COMM 2014-CCRE14 Mortgage Trust | ||
Series 2014-CR14 Class A3 | ||
3.96%, 02/10/47 (b) | 240,000 | 254,773 |
COMM 2014-CCRE15 Mortgage Trust | ||
Series 2014-CR15, Class A2 | ||
2.93%, 02/10/47 (b) | 500,000 | 516,443 |
COMM 2014-CCRE16 Mortgage Trust | ||
Series 2014-CR16 Class ASB | ||
3.65%, 04/10/47 (b) | 630,000 | 662,428 |
Commercial Mortgage Loan Trust 2008-LS1 | ||
Series 2008-LS1 Class A4B | ||
6.24%, 12/10/49 (a)(b) | 458,175 | 485,954 |
Commercial Mortgage Pass Through Certificates | ||
Series 2012-CR3 Class A3 | ||
2.82%, 10/15/45 (b) | 260,000 | 259,521 |
Fannie Mae | ||
Series 2013-M12 Class A | ||
1.53%, 10/25/17 (b) | 246,312 | 248,281 |
Series 2009-M1 Class A2 | ||
4.29%, 07/25/19 (b) | 175,428 | 190,719 |
Series 2010-M3 Class A3 | ||
4.33%, 03/25/20 (a)(b) | 205,000 | 224,943 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Series 2014-M6 Class A2 | ||
2.68%, 05/25/21 (b) | 650,000 | 663,496 |
Series 2011-M5 Class A2 | ||
2.94%, 07/25/21 (b) | 800,000 | 828,753 |
Freddie Mac | ||
Series K704 Class A2 | ||
2.41%, 08/25/18 (b) | 70,000 | 72,071 |
Series K705 Class A2 | ||
2.30%, 09/25/18 (b) | 200,000 | 205,295 |
Series K708 Class A2 | ||
2.13%, 01/25/19 (b) | 305,000 | 311,022 |
Series K710 Class A2 | ||
1.88%, 05/25/19 (b) | 120,000 | 121,182 |
Series K712 Class A2 | ||
1.87%, 11/25/19 (b) | 440,000 | 441,732 |
Series K014 Class A1 | ||
2.79%, 10/25/20 (b) | 594,990 | 616,897 |
Series K714 Class A2 | ||
3.03%, 10/25/20 (b) | 365,000 | 382,573 |
Series K010 Class A2 | ||
4.33%, 10/25/20 (b) | 105,000 | 116,101 |
Series K012 Class A2 | ||
4.19%, 12/25/20 (a)(b) | 130,000 | 143,083 |
Series K013 Class A2 | ||
3.97%, 01/25/21 (a)(b) | 50,000 | 54,511 |
Series K014 Class A2 | ||
3.87%, 04/25/21 (b) | 165,000 | 179,125 |
Series K017 Class A2 | ||
2.87%, 12/25/21 (b) | 100,000 | 102,973 |
Series K022 Class A2 | ||
2.36%, 07/25/22 (b) | 600,000 | 595,957 |
Series K025 Class A2 | ||
2.68%, 10/25/22 (b) | 500,000 | 505,243 |
Series K026 Class A2 | ||
2.51%, 11/25/22 (b) | 1,435,000 | 1,432,200 |
Series K027 Class A2 | ||
2.64%, 01/25/23 (b) | 445,000 | 447,133 |
Series K033 Class A1 | ||
2.87%, 02/25/23 (b) | 141,210 | 146,803 |
Series K029 Class A2 | ||
3.32%, 02/25/23 (a)(b) | 375,000 | 393,532 |
Series K033 Class A2 | ||
3.06%, 07/25/23 (b) | 540,000 | 554,516 |
Series K035 Class A2 | ||
3.46%, 08/25/23 (a)(b) | 450,000 | 474,043 |
Series K040 Class A2 | ||
3.24%, 09/25/24 (b) | 300,000 | 308,927 |
Greenwich Capital Commercial Funding Corp. | ||
Series 2007-GG9 Class A4 | ||
5.44%, 03/10/39 (b) | 376,214 | 395,813 |
GS Mortgage Securities Trust | ||
Series 2011-GC5 Class A4 | ||
3.71%, 08/10/44 (b) | 233,000 | 246,581 |
Series 2012-GCJ7 Class A4 | ||
3.38%, 05/10/45 (b) | 300,000 | 311,650 |
Series 2013-GC12 Class A4 | ||
3.14%, 06/10/46 (a)(b) | 195,000 | 196,330 |
Series 2013-GC16 Class A2 | ||
3.03%, 11/10/46 (b) | 700,000 | 726,059 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Series 2014-GC18 Class A2 | ||
2.92%, 01/10/47 (b) | 400,000 | 413,227 |
Series 2014-GC20 Class A3 | ||
3.68%, 04/10/47 (b) | 300,000 | 314,977 |
JP Morgan Chase Commercial Mortgage Securities Trust | ||
Series 2012-C6 Class A3 | ||
3.51%, 05/15/45 (b) | 400,000 | 419,605 |
Series 2012-CBX Class A3 | ||
3.14%, 06/15/45 (b) | 181,004 | 186,507 |
Series 2012-CBX Class A4 | ||
3.48%, 06/15/45 (b) | 250,000 | 261,856 |
Series 2013-C12 Class ASB | ||
3.16%, 07/15/45 (b) | 315,000 | 325,044 |
Series 2013-C13 Class A2 | ||
2.67%, 01/15/46 (b) | 200,000 | 205,390 |
Series 2013-C14 Class A2 | ||
3.02%, 08/15/46 (b) | 1,000,000 | 1,037,364 |
Series 2011-C5 Class A3 | ||
4.17%, 08/15/46 (b) | 400,000 | 434,772 |
Series 2013-C16 Class A2 | ||
3.07%, 12/15/46 (b) | 273,916 | 284,443 |
Series 2007-CB18 Class A4 | ||
5.44%, 06/12/47 (b) | 377,530 | 396,120 |
Series 2007-CB20 Class A4 | ||
5.79%, 02/12/51 (a)(b) | 224,296 | 240,608 |
LB-UBS Commercial Mortgage Trust | ||
Series 2007-C2 Class A3 | ||
5.43%, 02/15/40 (b) | 309,745 | 327,449 |
Merrill Lynch Mortgage Trust | ||
Series 2008-C1 Class A4 | ||
5.69%, 02/12/51 (b) | 145,388 | 156,892 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2013-C13 Class A2 | ||
2.94%, 11/15/46 (b) | 280,000 | 289,166 |
Series 2014-C14 Class A3 | ||
3.67%, 02/15/47 (b) | 855,000 | 894,575 |
Series 2014-C16 Class A5 | ||
3.89%, 06/15/47 (b) | 200,000 | 209,918 |
Morgan Stanley Capital I Trust | ||
Series 2012-C4 Class A4 | ||
3.24%, 03/15/45 (b) | 300,000 | 308,293 |
UBS-Barclays Commercial Mortgage Trust | ||
Series 2012-C4 Class A5 | ||
2.85%, 12/10/45 (b) | 500,000 | 496,445 |
Wachovia Bank Commercial Mortgage Trust | ||
Series 2006-C29 Class A4 | ||
5.31%, 11/15/48 (b) | 190,864 | 198,571 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2013-LC12 Class A4 | ||
4.22%, 07/15/46 (a)(b) | 640,000 | 695,920 |
Series 2013-C12 Class A4 | ||
3.20%, 03/15/48 (b) | 145,000 | 148,046 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11 Class A2 | ||
2.03%, 03/15/45 (b) | 600,000 | 606,479 |
Series 2012-C7 Class A1 | ||
2.30%, 06/15/45 (b) | 138,840 | 139,848 |
Series 2013-C14 Class A5 | ||
3.34%, 06/15/46 (b) | 100,000 | 102,118 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Series 2013-C15 Class A4 | ||
4.15%, 08/15/46 (a)(b) | 255,000 | 274,713 |
Series 2014-C20 Class ASB | ||
3.64%, 05/15/47 (b) | 65,000 | 68,458 |
Series 2013-C12 Class A2 | ||
2.07%, 03/15/48 (b) | 550,000 | 556,627 |
Total Commercial Mortgage-Backed Securities | ||
(Cost $31,646,390) | 31,673,055 | |
Corporate Bonds 23.6% of net assets | ||
Finance 7.7% | ||
Banking 5.3% | ||
Abbey National Treasury Services PLC | ||
3.05%, 08/23/18 | 300,000 | 310,610 |
American Express Co. | ||
7.00%, 03/19/18 | 250,000 | 283,703 |
8.13%, 05/20/19 | 250,000 | 303,509 |
American Express Credit Corp. | ||
2.80%, 09/19/16 | 500,000 | 510,550 |
2.38%, 03/24/17 | 300,000 | 306,263 |
Bank of America Corp. | ||
6.50%, 08/01/16 | 200,000 | 211,030 |
5.75%, 08/15/16 | 100,000 | 104,744 |
5.42%, 03/15/17 | 1,000,000 | 1,060,034 |
6.40%, 08/28/17 | 500,000 | 548,497 |
6.88%, 04/25/18 | 300,000 | 339,123 |
5.65%, 05/01/18 | 800,000 | 879,385 |
2.65%, 04/01/19 | 1,500,000 | 1,519,114 |
7.63%, 06/01/19 | 1,000,000 | 1,187,700 |
5.63%, 07/01/20 | 1,750,000 | 1,974,520 |
5.88%, 01/05/21 | 300,000 | 343,649 |
5.00%, 05/13/21 | 500,000 | 549,584 |
3.30%, 01/11/23 | 1,300,000 | 1,282,401 |
4.00%, 04/01/24 | 1,000,000 | 1,019,443 |
6.22%, 09/15/26 | 150,000 | 174,621 |
7.75%, 05/14/38 | 250,000 | 333,892 |
5.88%, 02/07/42 | 500,000 | 578,697 |
4.88%, 04/01/44 | 500,000 | 509,834 |
Bank of Montreal | ||
2.50%, 01/11/17 | 500,000 | 511,377 |
2.38%, 01/25/19 (b) | 600,000 | 608,180 |
Bank of Nova Scotia | ||
2.05%, 10/30/18 | 250,000 | 251,431 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||
2.35%, 02/23/17 | 100,000 | 101,391 |
Barclays Bank PLC | ||
5.00%, 09/22/16 | 100,000 | 104,678 |
2.50%, 02/20/19 | 700,000 | 705,033 |
5.14%, 10/14/20 | 200,000 | 217,648 |
BB&T Corp. | ||
3.95%, 03/22/22 (b) | 100,000 | 104,437 |
Bear Stearns Cos. LLC | ||
6.40%, 10/02/17 | 1,000,000 | 1,100,934 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
BNP Paribas S.A. | ||
5.00%, 01/15/21 | 200,000 | 221,226 |
3.25%, 03/03/23 | 350,000 | 347,960 |
4.25%, 10/15/24 | 300,000 | 296,300 |
BPCE S.A. | ||
1.63%, 02/10/17 | 750,000 | 757,087 |
2.50%, 12/10/18 | 1,500,000 | 1,523,173 |
2.50%, 07/15/19 | 1,000,000 | 1,009,990 |
4.00%, 04/15/24 | 1,000,000 | 1,011,540 |
Capital One Bank USA NA | ||
2.25%, 02/13/19 (b) | 1,000,000 | 995,128 |
3.38%, 02/15/23 | 750,000 | 729,745 |
Capital One Financial Corp. | ||
4.75%, 07/15/21 | 800,000 | 874,974 |
Capital One NA | ||
2.40%, 09/05/19 (b) | 750,000 | 744,056 |
Citigroup, Inc. | ||
4.45%, 01/10/17 | 1,000,000 | 1,045,143 |
1.85%, 11/24/17 | 300,000 | 300,907 |
1.80%, 02/05/18 | 650,000 | 648,840 |
2.40%, 02/18/20 | 1,000,000 | 988,690 |
4.05%, 07/30/22 | 500,000 | 512,773 |
3.88%, 10/25/23 | 1,000,000 | 1,022,325 |
4.40%, 06/10/25 | 500,000 | 499,131 |
5.50%, 09/13/25 | 500,000 | 541,461 |
6.68%, 09/13/43 | 250,000 | 303,846 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||
5.25%, 05/24/41 | 1,000,000 | 1,099,572 |
Credit Suisse USA, Inc. | ||
4.38%, 08/05/20 | 750,000 | 817,222 |
3.63%, 09/09/24 | 300,000 | 298,564 |
Deutsche Bank AG | ||
1.35%, 05/30/17 | 100,000 | 99,376 |
3.70%, 05/30/24 | 500,000 | 494,697 |
Fifth Third Bancorp | ||
5.45%, 01/15/17 | 600,000 | 636,273 |
First Tennessee Bank NA | ||
2.95%, 12/01/19 (b) | 250,000 | 250,132 |
Goldman Sachs Group, Inc. | ||
5.75%, 10/01/16 | 500,000 | 527,632 |
5.63%, 01/15/17 | 750,000 | 794,480 |
5.95%, 01/18/18 | 600,000 | 659,806 |
2.38%, 01/22/18 | 1,000,000 | 1,015,586 |
6.15%, 04/01/18 | 500,000 | 556,152 |
2.63%, 01/31/19 | 750,000 | 759,668 |
5.38%, 03/15/20 | 1,000,000 | 1,114,219 |
5.25%, 07/27/21 | 750,000 | 833,542 |
5.75%, 01/24/22 | 100,000 | 113,841 |
3.63%, 01/22/23 | 2,500,000 | 2,486,670 |
3.85%, 07/08/24 (b) | 650,000 | 650,172 |
6.13%, 02/15/33 | 250,000 | 298,743 |
6.75%, 10/01/37 | 100,000 | 117,656 |
4.80%, 07/08/44 (b) | 500,000 | 494,714 |
HSBC Holdings PLC | ||
5.10%, 04/05/21 | 850,000 | 948,224 |
6.50%, 09/15/37 | 500,000 | 605,273 |
6.80%, 06/01/38 | 500,000 | 622,801 |
HSBC USA, Inc. | ||
5.00%, 09/27/20 | 400,000 | 444,215 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
JPMorgan Chase & Co. | ||
1.35%, 02/15/17 | 1,000,000 | 1,001,112 |
6.00%, 01/15/18 | 1,750,000 | 1,928,302 |
6.30%, 04/23/19 (h) | 1,000,000 | 1,146,212 |
2.25%, 01/23/20 (b) | 200,000 | 196,663 |
4.50%, 01/24/22 | 1,000,000 | 1,072,588 |
3.38%, 05/01/23 | 250,000 | 243,168 |
3.88%, 02/01/24 | 400,000 | 406,963 |
3.88%, 09/10/24 | 350,000 | 345,026 |
3.13%, 01/23/25 (b) | 250,000 | 238,981 |
6.40%, 05/15/38 | 650,000 | 807,088 |
5.40%, 01/06/42 (h) | 600,000 | 664,397 |
KeyBank NA | ||
1.10%, 11/25/16 (b) | 100,000 | 100,168 |
Lloyds Bank PLC | ||
4.20%, 03/28/17 | 500,000 | 524,952 |
2.30%, 11/27/18 | 250,000 | 252,848 |
2.35%, 09/05/19 | 200,000 | 200,260 |
6.38%, 01/21/21 | 500,000 | 590,408 |
Lloyds Banking Group PLC | ||
4.50%, 11/04/24 | 500,000 | 501,240 |
Manufacturers & Traders Trust Co. | ||
5.63%, 12/01/21 (a)(b) | 250,000 | 258,465 |
Morgan Stanley | ||
5.45%, 01/09/17 | 1,050,000 | 1,112,929 |
5.95%, 12/28/17 | 750,000 | 824,699 |
6.63%, 04/01/18 | 200,000 | 224,497 |
7.30%, 05/13/19 (h) | 200,000 | 235,417 |
2.38%, 07/23/19 | 1,000,000 | 994,004 |
5.63%, 09/23/19 | 1,500,000 | 1,681,846 |
3.75%, 02/25/23 | 1,000,000 | 1,012,142 |
4.10%, 05/22/23 | 1,000,000 | 1,003,543 |
5.00%, 11/24/25 | 500,000 | 524,491 |
6.25%, 08/09/26 | 500,000 | 600,138 |
4.35%, 09/08/26 | 1,000,000 | 982,024 |
7.25%, 04/01/32 (h) | 100,000 | 132,387 |
6.38%, 07/24/42 | 200,000 | 246,081 |
4.30%, 01/27/45 | 1,000,000 | 936,668 |
National Australia Bank Ltd. | ||
3.00%, 01/20/23 | 250,000 | 247,229 |
PNC Bank NA | ||
2.95%, 01/30/23 (b) | 500,000 | 484,232 |
PNC Financial Services Group, Inc. | ||
3.90%, 04/29/24 (b) | 500,000 | 506,032 |
PNC Funding Corp. | ||
5.63%, 02/01/17 | 300,000 | 318,937 |
Rabobank Nederland | ||
4.63%, 12/01/23 | 450,000 | 465,075 |
Regions Bank | ||
6.45%, 06/26/37 | 250,000 | 298,247 |
Regions Financial Corp. | ||
2.00%, 05/15/18 (b) | 1,000,000 | 1,000,019 |
Royal Bank of Canada | ||
1.20%, 09/19/17 | 250,000 | 249,745 |
2.20%, 07/27/18 | 750,000 | 763,355 |
2.15%, 03/15/19 | 750,000 | 755,652 |
Royal Bank of Scotland Group PLC | ||
6.40%, 10/21/19 | 500,000 | 559,291 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Sumitomo Mitsui Banking Corp. | ||
1.80%, 07/18/17 | 500,000 | 503,797 |
3.40%, 07/11/24 | 500,000 | 502,183 |
Svenska Handelsbanken AB | ||
2.88%, 04/04/17 | 250,000 | 257,485 |
Toronto-Dominion Bank | ||
2.13%, 07/02/19 | 750,000 | 753,529 |
UBS AG | ||
5.88%, 12/20/17 | 600,000 | 660,299 |
5.75%, 04/25/18 | 500,000 | 554,152 |
2.38%, 08/14/19 | 1,000,000 | 1,000,505 |
4.88%, 08/04/20 | 300,000 | 332,013 |
US Bancorp | ||
3.00%, 03/15/22 (b) | 100,000 | 100,922 |
Wachovia Corp. | ||
5.75%, 02/01/18 | 500,000 | 552,412 |
5.50%, 08/01/35 | 250,000 | 274,132 |
Wells Fargo & Co. | ||
2.63%, 12/15/16 | 450,000 | 460,376 |
1.40%, 09/08/17 | 1,000,000 | 1,002,885 |
5.63%, 12/11/17 | 150,000 | 164,865 |
1.50%, 01/16/18 | 500,000 | 499,247 |
2.13%, 04/22/19 | 500,000 | 502,237 |
3.45%, 02/13/23 | 250,000 | 248,894 |
4.10%, 06/03/26 | 500,000 | 502,766 |
5.38%, 02/07/35 | 500,000 | 564,354 |
5.38%, 11/02/43 | 175,000 | 187,270 |
Westpac Banking Corp. | ||
4.88%, 11/19/19 | 400,000 | 443,890 |
85,855,271 | ||
Brokerage 0.2% | ||
BlackRock, Inc. | ||
5.00%, 12/10/19 | 150,000 | 167,590 |
3.50%, 03/18/24 | 1,000,000 | 1,017,528 |
Jefferies Group LLC | ||
5.13%, 01/20/23 | 700,000 | 723,785 |
6.25%, 01/15/36 | 150,000 | 149,594 |
Nomura Holdings, Inc. | ||
2.75%, 03/19/19 | 750,000 | 757,594 |
6.70%, 03/04/20 (h) | 250,000 | 293,521 |
3,109,612 | ||
Finance Company 0.5% | ||
Air Lease Corp. | ||
3.38%, 01/15/19 (b) | 200,000 | 204,250 |
American Express Co. | ||
6.80%, 09/01/66 (a)(b) | 250,000 | 257,850 |
GATX Corp. | ||
1.25%, 03/04/17 | 100,000 | 99,746 |
5.20%, 03/15/44 (b) | 200,000 | 203,006 |
General Electric Capital Corp. | ||
1.63%, 04/02/18 | 250,000 | 250,827 |
6.00%, 08/07/19 | 350,000 | 400,302 |
2.20%, 01/09/20 (b) | 250,000 | 250,089 |
4.38%, 09/16/20 | 300,000 | 326,902 |
4.63%, 01/07/21 | 250,000 | 275,453 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
4.65%, 10/17/21 | 250,000 | 274,139 |
3.10%, 01/09/23 | 200,000 | 199,648 |
6.75%, 03/15/32 | 500,000 | 650,184 |
6.15%, 08/07/37 | 150,000 | 186,877 |
5.88%, 01/14/38 | 1,000,000 | 1,198,425 |
6.88%, 01/10/39 | 100,000 | 134,534 |
6.38%, 11/15/67 (a)(b) | 250,000 | 269,375 |
HSBC Finance Corp. | ||
6.68%, 01/15/21 | 350,000 | 405,392 |
International Lease Finance Corp. | ||
7.13%, 09/01/18 (c) | 500,000 | 558,750 |
Synchrony Financial | ||
3.00%, 08/15/19 (b) | 750,000 | 756,050 |
3.75%, 08/15/21 (b) | 900,000 | 908,047 |
4.25%, 08/15/24 (b) | 500,000 | 503,068 |
8,312,914 | ||
Insurance 1.1% | ||
ACE INA Holdings, Inc. | ||
2.70%, 03/13/23 | 500,000 | 486,521 |
Aetna, Inc. | ||
3.95%, 09/01/20 | 100,000 | 106,141 |
Aflac, Inc. | ||
2.65%, 02/15/17 | 300,000 | 307,138 |
3.63%, 06/15/23 | 500,000 | 505,801 |
3.63%, 11/15/24 | 500,000 | 502,295 |
Allstate Corp. | ||
4.50%, 06/15/43 | 300,000 | 303,899 |
American International Group, Inc. | ||
5.60%, 10/18/16 | 350,000 | 369,401 |
5.85%, 01/16/18 | 700,000 | 772,199 |
6.40%, 12/15/20 | 117,000 | 139,258 |
3.88%, 01/15/35 (b) | 200,000 | 181,245 |
Anthem, Inc. | ||
2.25%, 08/15/19 | 500,000 | 494,430 |
3.30%, 01/15/23 | 350,000 | 336,937 |
5.85%, 01/15/36 | 250,000 | 266,152 |
Aon Corp. | ||
8.21%, 01/01/27 | 100,000 | 128,000 |
Assurant, Inc. | ||
2.50%, 03/15/18 | 400,000 | 406,174 |
6.75%, 02/15/34 | 400,000 | 472,621 |
Berkshire Hathaway Finance Corp. | ||
4.25%, 01/15/21 | 300,000 | 327,879 |
5.75%, 01/15/40 | 100,000 | 116,993 |
Berkshire Hathaway, Inc. | ||
1.90%, 01/31/17 | 750,000 | 761,878 |
Chubb Corp. | ||
6.00%, 05/11/37 | 250,000 | 309,432 |
Cigna Corp. | ||
4.00%, 02/15/22 (b) | 150,000 | 154,792 |
5.88%, 03/15/41 (b) | 250,000 | 286,455 |
5.38%, 02/15/42 (b) | 300,000 | 323,239 |
CNA Financial Corp. | ||
7.35%, 11/15/19 | 250,000 | 296,066 |
Hartford Financial Services Group, Inc. | ||
5.13%, 04/15/22 | 1,000,000 | 1,110,629 |
5.95%, 10/15/36 | 300,000 | 342,454 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
6.63%, 03/30/40 | 250,000 | 312,729 |
6.10%, 10/01/41 | 350,000 | 418,431 |
4.30%, 04/15/43 | 750,000 | 712,795 |
MetLife, Inc. | ||
3.60%, 04/10/24 | 1,000,000 | 1,009,600 |
5.70%, 06/15/35 | 500,000 | 582,885 |
Prudential Financial, Inc. | ||
6.00%, 12/01/17 | 300,000 | 331,212 |
4.50%, 11/16/21 | 300,000 | 327,188 |
5.63%, 06/15/43 (a)(b) | 200,000 | 207,800 |
The Progressive Corp. | ||
3.70%, 01/26/45 | 300,000 | 265,525 |
Travelers Cos., Inc. | ||
5.90%, 06/02/19 | 160,000 | 183,065 |
6.25%, 06/15/37 | 250,000 | 314,311 |
UnitedHealth Group, Inc. | ||
1.40%, 10/15/17 | 500,000 | 500,726 |
6.00%, 02/15/18 | 150,000 | 166,829 |
2.88%, 03/15/22 (b) | 250,000 | 242,979 |
4.25%, 03/15/43 (b) | 750,000 | 710,392 |
Unum Group | ||
5.63%, 09/15/20 | 350,000 | 394,737 |
Voya Financial, Inc. | ||
2.90%, 02/15/18 | 750,000 | 770,130 |
5.70%, 07/15/43 | 200,000 | 224,954 |
XLIT Ltd. | ||
2.30%, 12/15/18 | 300,000 | 302,270 |
6.25%, 05/15/27 | 200,000 | 234,365 |
18,020,952 | ||
Other Financial 0.0% | ||
CME Group, Inc. | ||
3.00%, 09/15/22 | 200,000 | 201,331 |
201,331 | ||
Real Estate Investment Trust 0.6% | ||
Boston Properties LP | ||
3.80%, 02/01/24 (b) | 100,000 | 101,382 |
Brandywine Operating Partnership LP | ||
3.95%, 02/15/23 (b) | 750,000 | 745,288 |
DDR Corp. | ||
3.63%, 02/01/25 (b) | 200,000 | 192,438 |
Digital Realty Trust LP | ||
5.88%, 02/01/20 | 250,000 | 281,209 |
5.25%, 03/15/21 (b) | 250,000 | 273,929 |
ERP Operating LP | ||
3.38%, 06/01/25 (b) | 250,000 | 245,308 |
4.50%, 06/01/45 (b) | 250,000 | 243,819 |
Essex Portfolio LP | ||
3.88%, 05/01/24 (b) | 500,000 | 506,868 |
3.50%, 04/01/25 (b) | 500,000 | 485,223 |
Federal Realty Investment Trust | ||
4.50%, 12/01/44 (b) | 350,000 | 341,158 |
HCP, Inc. | ||
6.70%, 01/30/18 | 100,000 | 111,591 |
2.63%, 02/01/20 (b) | 300,000 | 297,291 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
5.38%, 02/01/21 (b) | 150,000 | 165,678 |
3.40%, 02/01/25 (b) | 300,000 | 282,225 |
Health Care REIT, Inc. | ||
4.13%, 04/01/19 (b) | 500,000 | 529,674 |
4.50%, 01/15/24 (b) | 400,000 | 416,023 |
Kilroy Realty LP | ||
3.80%, 01/15/23 (b) | 250,000 | 249,731 |
4.25%, 08/15/29 (b) | 200,000 | 199,646 |
Kimco Realty Corp. | ||
3.20%, 05/01/21 (b) | 100,000 | 100,729 |
Omega Healthcare Investors, Inc. | ||
4.95%, 04/01/24 (b) | 100,000 | 102,459 |
Prologis LP | ||
2.75%, 02/15/19 (b) | 300,000 | 304,581 |
4.25%, 08/15/23 (b) | 300,000 | 308,349 |
Realty Income Corp. | ||
3.88%, 07/15/24 (b) | 150,000 | 151,434 |
Regency Centers LP | ||
5.88%, 06/15/17 | 750,000 | 810,987 |
Simon Property Group LP | ||
2.15%, 09/15/17 (b) | 500,000 | 509,056 |
6.13%, 05/30/18 | 150,000 | 168,606 |
5.65%, 02/01/20 (b) | 102,000 | 116,314 |
Ventas Realty LP | ||
4.25%, 03/01/22 (b) | 200,000 | 207,369 |
3.25%, 08/15/22 (b) | 250,000 | 241,820 |
4.38%, 02/01/45 (b) | 250,000 | 223,398 |
WP Carey, Inc. | ||
4.00%, 02/01/25 (b) | 400,000 | 383,780 |
9,297,363 | ||
124,797,443 | ||
Industrial 14.2% | ||
Basic Industry 1.1% | ||
Agrium, Inc. | ||
6.75%, 01/15/19 | 250,000 | 286,713 |
3.50%, 06/01/23 (b) | 500,000 | 489,614 |
4.13%, 03/15/35 (b) | 500,000 | 448,539 |
5.25%, 01/15/45 (b) | 250,000 | 253,420 |
Air Products & Chemicals, Inc. | ||
4.38%, 08/21/19 | 125,000 | 135,396 |
Airgas, Inc. | ||
1.65%, 02/15/18 (b) | 350,000 | 348,319 |
3.65%, 07/15/24 (b) | 800,000 | 804,130 |
Barrick Gold Corp. | ||
6.95%, 04/01/19 | 850,000 | 985,267 |
3.85%, 04/01/22 | 300,000 | 291,197 |
4.10%, 05/01/23 | 150,000 | 146,398 |
Barrick North America Finance LLC | ||
4.40%, 05/30/21 | 500,000 | 511,414 |
5.70%, 05/30/41 | 250,000 | 229,212 |
5.75%, 05/01/43 | 300,000 | 289,554 |
BHP Billiton Finance USA Ltd. | ||
3.25%, 11/21/21 | 100,000 | 101,720 |
5.00%, 09/30/43 | 300,000 | 312,604 |
CF Industries, Inc. | ||
7.13%, 05/01/20 | 100,000 | 118,913 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Domtar Corp. | ||
10.75%, 06/01/17 | 350,000 | 405,346 |
Dow Chemical Co. | ||
8.55%, 05/15/19 | 225,000 | 274,559 |
3.00%, 11/15/22 (b) | 250,000 | 240,899 |
4.25%, 10/01/34 (b) | 500,000 | 471,177 |
5.25%, 11/15/41 (b) | 200,000 | 204,751 |
Eastman Chemical Co. | ||
2.70%, 01/15/20 (b) | 350,000 | 349,234 |
3.60%, 08/15/22 (b) | 100,000 | 101,236 |
Ecolab, Inc. | ||
2.25%, 01/12/20 | 250,000 | 247,751 |
EI du Pont de Nemours & Co. | ||
5.75%, 03/15/19 | 200,000 | 226,867 |
Glencore Canada Corp. | ||
5.50%, 06/15/17 | 600,000 | 636,014 |
6.20%, 06/15/35 | 300,000 | 298,920 |
Goldcorp, Inc. | ||
2.13%, 03/15/18 | 500,000 | 501,481 |
3.63%, 06/09/21 (b) | 500,000 | 497,967 |
3.70%, 03/15/23 (b) | 300,000 | 288,752 |
5.45%, 06/09/44 (b) | 500,000 | 477,704 |
International Paper Co. | ||
4.75%, 02/15/22 (b) | 207,000 | 224,381 |
Kinross Gold Corp. | ||
5.13%, 09/01/21 (b) | 250,000 | 249,830 |
5.95%, 03/15/24 (b) | 150,000 | 142,552 |
6.88%, 09/01/41 (b) | 150,000 | 135,387 |
LYB International Finance BV | ||
4.00%, 07/15/23 | 750,000 | 768,823 |
5.25%, 07/15/43 | 500,000 | 511,233 |
LyondellBasell Industries NV | ||
5.00%, 04/15/19 (b) | 650,000 | 704,694 |
6.00%, 11/15/21 (b) | 250,000 | 286,535 |
Monsanto Co. | ||
4.20%, 07/15/34 (b) | 250,000 | 228,548 |
Mosaic Co. | ||
4.25%, 11/15/23 (b) | 250,000 | 257,497 |
Newmont Mining Corp. | ||
3.50%, 03/15/22 (b) | 150,000 | 143,362 |
6.25%, 10/01/39 | 150,000 | 147,440 |
Nucor Corp. | ||
4.13%, 09/15/22 (b) | 250,000 | 260,228 |
5.20%, 08/01/43 (b) | 300,000 | 308,076 |
Potash Corp. of Saskatchewan, Inc. | ||
5.88%, 12/01/36 | 100,000 | 115,769 |
Rio Tinto Finance USA Ltd. | ||
6.50%, 07/15/18 | 100,000 | 113,457 |
Rio Tinto Finance USA PLC | ||
3.50%, 03/22/22 (b) | 100,000 | 101,001 |
4.75%, 03/22/42 (b) | 100,000 | 97,795 |
Southern Copper Corp. | ||
5.25%, 11/08/42 | 100,000 | 87,284 |
Teck Resources Ltd. | ||
6.25%, 07/15/41 (b) | 100,000 | 80,702 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Vale Overseas Ltd. | ||
6.25%, 01/23/17 | 100,000 | 105,836 |
4.38%, 01/11/22 | 750,000 | 734,589 |
6.88%, 11/21/36 | 100,000 | 97,181 |
Vale S.A. | ||
5.63%, 09/11/42 | 200,000 | 169,434 |
Valspar Corp. | ||
4.20%, 01/15/22 (b) | 100,000 | 104,222 |
Weyerhaeuser Co. | ||
7.38%, 03/15/32 | 100,000 | 125,372 |
17,276,296 | ||
Capital Goods 1.2% | ||
ABB Finance USA, Inc. | ||
1.63%, 05/08/17 | 100,000 | 100,653 |
2.88%, 05/08/22 | 100,000 | 98,474 |
Avery Dennison Corp. | ||
5.38%, 04/15/20 | 105,000 | 115,269 |
Boeing Co. | ||
3.75%, 11/20/16 | 500,000 | 519,948 |
0.95%, 05/15/18 | 250,000 | 247,129 |
4.88%, 02/15/20 | 250,000 | 282,249 |
3.50%, 03/01/45 (b) | 250,000 | 221,697 |
Caterpillar Financial Services Corp. | ||
1.25%, 11/06/17 | 400,000 | 400,276 |
7.15%, 02/15/19 | 250,000 | 294,471 |
Caterpillar, Inc. | ||
5.70%, 08/15/16 | 200,000 | 211,070 |
6.05%, 08/15/36 | 150,000 | 183,012 |
Deere & Co. | ||
2.60%, 06/08/22 (b) | 200,000 | 196,982 |
5.38%, 10/16/29 | 150,000 | 176,366 |
Eaton Corp. | ||
1.50%, 11/02/17 | 150,000 | 149,983 |
4.00%, 11/02/32 | 100,000 | 97,091 |
4.15%, 11/02/42 | 100,000 | 92,619 |
General Dynamics Corp. | ||
1.00%, 11/15/17 | 300,000 | 299,131 |
General Electric Co. | ||
5.25%, 12/06/17 | 700,000 | 762,767 |
2.70%, 10/09/22 | 900,000 | 880,672 |
3.38%, 03/11/24 | 600,000 | 609,870 |
4.13%, 10/09/42 | 200,000 | 192,895 |
4.50%, 03/11/44 | 400,000 | 407,220 |
Illinois Tool Works, Inc. | ||
3.90%, 09/01/42 (b) | 100,000 | 93,496 |
Ingersoll-Rand Luxembourg Finance S.A. | ||
2.63%, 05/01/20 (b) | 500,000 | 498,379 |
John Deere Capital Corp. | ||
5.50%, 04/13/17 | 200,000 | 216,100 |
1.55%, 12/15/17 | 450,000 | 453,187 |
1.35%, 01/16/18 | 200,000 | 200,715 |
1.70%, 01/15/20 | 750,000 | 734,820 |
3.90%, 07/12/21 | 500,000 | 539,133 |
L-3 Communications Corp. | ||
4.95%, 02/15/21 (b) | 500,000 | 534,239 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Lockheed Martin Corp. | ||
4.25%, 11/15/19 (h) | 250,000 | 272,209 |
3.35%, 09/15/21 | 100,000 | 103,067 |
Northrop Grumman Corp. | ||
3.50%, 03/15/21 | 500,000 | 516,640 |
4.75%, 06/01/43 | 250,000 | 253,545 |
Owens Corning | ||
4.20%, 12/15/22 (b) | 500,000 | 507,566 |
Packaging Corp. of America | ||
3.90%, 06/15/22 (b) | 750,000 | 759,555 |
3.65%, 09/15/24 (b) | 300,000 | 294,548 |
Republic Services, Inc. | ||
3.80%, 05/15/18 | 200,000 | 210,543 |
5.00%, 03/01/20 | 500,000 | 550,742 |
4.75%, 05/15/23 (b) | 500,000 | 542,249 |
6.20%, 03/01/40 | 500,000 | 594,940 |
5.70%, 05/15/41 (b) | 200,000 | 227,874 |
Roper Technologies, Inc. | ||
3.13%, 11/15/22 (b) | 250,000 | 242,432 |
Textron, Inc. | ||
5.95%, 09/21/21 (b) | 200,000 | 229,304 |
3.88%, 03/01/25 (b) | 250,000 | 246,592 |
United Technologies Corp. | ||
1.80%, 06/01/17 | 400,000 | 405,941 |
5.38%, 12/15/17 | 300,000 | 329,624 |
6.13%, 02/01/19 | 400,000 | 457,248 |
3.10%, 06/01/22 | 600,000 | 605,331 |
6.13%, 07/15/38 | 150,000 | 183,287 |
4.50%, 06/01/42 | 900,000 | 916,449 |
Valmont Industries, Inc. | ||
5.00%, 10/01/44 (b) | 200,000 | 181,794 |
Waste Management, Inc. | ||
2.90%, 09/15/22 (b) | 400,000 | 393,820 |
18,835,213 | ||
Communications 2.4% | ||
21st Century Fox America, Inc. | ||
6.90%, 03/01/19 | 180,000 | 209,175 |
4.00%, 10/01/23 | 400,000 | 412,842 |
6.15%, 03/01/37 | 200,000 | 231,990 |
6.15%, 02/15/41 | 350,000 | 407,839 |
America Movil S.A.B. de C.V. | ||
2.38%, 09/08/16 | 200,000 | 202,774 |
3.13%, 07/16/22 | 200,000 | 197,828 |
6.13%, 03/30/40 | 500,000 | 581,465 |
4.38%, 07/16/42 | 500,000 | 465,580 |
American Tower Corp. | ||
3.40%, 02/15/19 | 750,000 | 768,138 |
5.05%, 09/01/20 | 250,000 | 271,975 |
5.00%, 02/15/24 | 100,000 | 105,899 |
AT&T Mobility LLC | ||
7.13%, 12/15/31 | 50,000 | 61,187 |
AT&T, Inc. | ||
1.40%, 12/01/17 | 750,000 | 745,515 |
5.50%, 02/01/18 | 400,000 | 437,406 |
5.80%, 02/15/19 | 200,000 | 223,794 |
2.45%, 06/23/20 (b) | 500,000 | 490,706 |
3.00%, 02/15/22 | 350,000 | 342,145 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
6.15%, 09/15/34 | 700,000 | 773,443 |
4.50%, 05/15/35 (b) | 1,000,000 | 922,211 |
5.35%, 09/01/40 | 250,000 | 246,971 |
5.55%, 08/15/41 | 400,000 | 411,252 |
4.30%, 12/15/42 (b) | 750,000 | 645,208 |
4.35%, 06/15/45 (b) | 200,000 | 171,407 |
CBS Corp. | ||
5.50%, 05/15/33 | 300,000 | 303,443 |
4.90%, 08/15/44 (b) | 400,000 | 370,882 |
4.60%, 01/15/45 (b) | 250,000 | 224,079 |
CC Holdings GS V LLC | ||
3.85%, 04/15/23 | 200,000 | 196,723 |
Comcast Corp. | ||
6.50%, 01/15/17 | 350,000 | 378,672 |
5.15%, 03/01/20 | 500,000 | 563,189 |
6.95%, 08/15/37 | 350,000 | 455,900 |
4.65%, 07/15/42 | 500,000 | 502,419 |
Deutsche Telekom International Finance BV | ||
8.75%, 06/15/30 (a) | 100,000 | 141,024 |
DIRECTV Holdings LLC | ||
5.88%, 10/01/19 | 400,000 | 451,952 |
4.60%, 02/15/21 (b) | 500,000 | 533,306 |
5.00%, 03/01/21 | 250,000 | 271,050 |
4.45%, 04/01/24 (b) | 500,000 | 512,556 |
3.95%, 01/15/25 (b) | 250,000 | 245,585 |
6.00%, 08/15/40 (b) | 1,000,000 | 1,041,147 |
5.15%, 03/15/42 | 400,000 | 377,644 |
Discovery Communications LLC | ||
3.45%, 03/15/25 (b) | 500,000 | 470,123 |
Embarq Corp. | ||
8.00%, 06/01/36 | 750,000 | 833,400 |
Grupo Televisa S.A.B. | ||
6.00%, 05/15/18 | 200,000 | 222,000 |
6.63%, 01/15/40 | 500,000 | 582,165 |
5.00%, 05/13/45 (b) | 850,000 | 815,150 |
NBCUniversal Media LLC | ||
4.38%, 04/01/21 (h) | 250,000 | 270,976 |
2.88%, 01/15/23 | 1,250,000 | 1,215,136 |
5.95%, 04/01/41 | 350,000 | 410,908 |
Omnicom Group, Inc. | ||
4.45%, 08/15/20 | 250,000 | 267,643 |
3.65%, 11/01/24 (b) | 250,000 | 245,981 |
Orange S.A. | ||
2.75%, 02/06/19 | 250,000 | 253,920 |
5.38%, 01/13/42 | 250,000 | 257,775 |
Qwest Corp. | ||
6.75%, 12/01/21 | 350,000 | 386,819 |
Rogers Communications, Inc. | ||
3.00%, 03/15/23 (b) | 250,000 | 240,539 |
TCI Communications, Inc. | ||
7.13%, 02/15/28 | 300,000 | 391,733 |
Telefonica Emisiones S.A.U. | ||
6.22%, 07/03/17 | 150,000 | 163,118 |
5.13%, 04/27/20 | 250,000 | 273,763 |
5.46%, 02/16/21 | 250,000 | 276,774 |
4.57%, 04/27/23 | 150,000 | 157,770 |
7.05%, 06/20/36 | 150,000 | 184,770 |
Telefonos de Mexico S.A.B. de C.V. | ||
5.50%, 11/15/19 | 600,000 | 673,920 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Time Warner, Inc. | ||
2.10%, 06/01/19 | 750,000 | 745,767 |
4.75%, 03/29/21 | 300,000 | 324,712 |
3.55%, 06/01/24 (b) | 400,000 | 390,826 |
7.63%, 04/15/31 | 100,000 | 130,359 |
7.70%, 05/01/32 | 200,000 | 263,407 |
6.50%, 11/15/36 | 250,000 | 294,532 |
Verizon Communications, Inc. | ||
2.50%, 09/15/16 | 206,000 | 209,404 |
1.35%, 06/09/17 | 750,000 | 749,292 |
3.65%, 09/14/18 | 650,000 | 684,178 |
6.35%, 04/01/19 | 200,000 | 228,741 |
4.50%, 09/15/20 | 500,000 | 539,994 |
4.60%, 04/01/21 | 500,000 | 537,980 |
3.00%, 11/01/21 (b) | 500,000 | 493,978 |
5.15%, 09/15/23 | 500,000 | 548,343 |
4.15%, 03/15/24 (b) | 250,000 | 257,059 |
3.50%, 11/01/24 (b) | 1,000,000 | 974,572 |
7.75%, 12/01/30 | 100,000 | 130,095 |
6.40%, 09/15/33 | 750,000 | 861,869 |
4.40%, 11/01/34 (b) | 1,700,000 | 1,578,768 |
5.85%, 09/15/35 | 500,000 | 544,340 |
6.55%, 09/15/43 | 500,000 | 586,913 |
4.52%, 09/15/48 (c) | 388,000 | 342,235 |
5.01%, 08/21/54 | 300,000 | 276,396 |
Viacom, Inc. | ||
2.50%, 12/15/16 | 500,000 | 507,823 |
4.50%, 03/01/21 | 1,000,000 | 1,059,202 |
4.25%, 09/01/23 (b) | 150,000 | 151,440 |
3.88%, 04/01/24 (b) | 400,000 | 392,377 |
6.88%, 04/30/36 | 200,000 | 223,217 |
Walt Disney Co. | ||
1.35%, 08/16/16 | 150,000 | 151,071 |
1.10%, 12/01/17 | 250,000 | 249,942 |
38,919,536 | ||
Consumer Cyclical 1.6% | ||
Alibaba Group Holding Ltd. | ||
3.13%, 11/28/21 (b)(c) | 250,000 | 247,413 |
4.50%, 11/28/34 (b)(c) | 500,000 | 481,943 |
Amazon.com, Inc. | ||
2.50%, 11/29/22 (b) | 400,000 | 379,484 |
3.80%, 12/05/24 (b) | 500,000 | 502,836 |
4.95%, 12/05/44 (b) | 500,000 | 489,107 |
AutoZone, Inc. | ||
3.70%, 04/15/22 (b) | 500,000 | 513,396 |
3.25%, 04/15/25 (b) | 500,000 | 483,811 |
Carnival Corp. | ||
1.88%, 12/15/17 | 250,000 | 251,193 |
3.95%, 10/15/20 | 350,000 | 367,910 |
CVS Health Corp. | ||
5.75%, 06/01/17 | 500,000 | 540,595 |
2.25%, 08/12/19 (b) | 250,000 | 249,107 |
4.75%, 05/18/20 (b) | 500,000 | 554,369 |
3.38%, 08/12/24 (b) | 250,000 | 246,111 |
5.30%, 12/05/43 (b) | 200,000 | 218,760 |
Delphi Corp. | ||
5.00%, 02/15/23 (b) | 300,000 | 320,250 |
4.15%, 03/15/24 (b) | 150,000 | 155,334 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
eBay, Inc. | ||
1.35%, 07/15/17 | 500,000 | 499,406 |
Ford Motor Co. | ||
7.45%, 07/16/31 | 425,000 | 544,447 |
4.75%, 01/15/43 | 600,000 | 583,959 |
Ford Motor Credit Co. LLC | ||
6.63%, 08/15/17 | 450,000 | 493,933 |
2.15%, 01/09/18 | 750,000 | 753,546 |
2.38%, 01/16/18 | 500,000 | 504,957 |
4.25%, 09/20/22 | 1,000,000 | 1,043,052 |
Gap, Inc. | ||
5.95%, 04/12/21 (b) | 450,000 | 508,808 |
General Motors Co. | ||
3.50%, 10/02/18 | 250,000 | 258,753 |
4.88%, 10/02/23 | 1,250,000 | 1,324,091 |
6.25%, 10/02/43 | 250,000 | 279,865 |
Home Depot, Inc. | ||
3.75%, 02/15/24 (b) | 500,000 | 520,908 |
5.88%, 12/16/36 | 300,000 | 361,791 |
4.88%, 02/15/44 (b) | 100,000 | 107,220 |
Host Hotels & Resorts LP | ||
3.75%, 10/15/23 (b) | 250,000 | 245,683 |
Johnson Controls, Inc. | ||
3.63%, 07/02/24 (b) | 500,000 | 501,821 |
6.00%, 01/15/36 | 500,000 | 575,231 |
4.63%, 07/02/44 (b) | 200,000 | 191,581 |
Lowe's Cos., Inc. | ||
5.40%, 10/15/16 | 600,000 | 634,257 |
3.12%, 04/15/22 (b) | 750,000 | 759,574 |
Macy's Retail Holdings, Inc. | ||
5.90%, 12/01/16 | 210,000 | 223,820 |
2.88%, 02/15/23 (b) | 200,000 | 192,859 |
5.13%, 01/15/42 (b) | 300,000 | 302,435 |
Marriott International, Inc. | ||
3.00%, 03/01/19 (b) | 200,000 | 205,241 |
3.13%, 10/15/21 (b) | 200,000 | 200,088 |
McDonald's Corp. | ||
5.30%, 03/15/17 (h) | 86,000 | 91,978 |
5.35%, 03/01/18 | 150,000 | 164,546 |
3.25%, 06/10/24 | 350,000 | 348,477 |
3.70%, 02/15/42 | 114,000 | 96,965 |
NIKE, Inc. | ||
2.25%, 05/01/23 (b) | 100,000 | 96,492 |
3.63%, 05/01/43 (b) | 50,000 | 45,702 |
Nordstrom, Inc. | ||
4.00%, 10/15/21 (b) | 150,000 | 159,603 |
QVC, Inc. | ||
5.45%, 08/15/34 (b) | 200,000 | 182,006 |
Starbucks Corp. | ||
3.85%, 10/01/23 (b) | 300,000 | 315,737 |
Starwood Hotels & Resorts Worldwide, Inc. | ||
6.75%, 05/15/18 | 100,000 | 111,956 |
4.50%, 10/01/34 (b) | 250,000 | 233,818 |
Target Corp. | ||
6.00%, 01/15/18 | 500,000 | 556,520 |
2.30%, 06/26/19 | 500,000 | 507,104 |
3.50%, 07/01/24 | 250,000 | 255,493 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Toyota Motor Credit Corp. | ||
1.45%, 01/12/18 | 500,000 | 500,666 |
3.40%, 09/15/21 | 350,000 | 366,298 |
Wal-Mart Stores, Inc. | ||
3.25%, 10/25/20 | 100,000 | 105,013 |
2.55%, 04/11/23 (b) | 700,000 | 676,588 |
5.25%, 09/01/35 | 550,000 | 625,670 |
6.50%, 08/15/37 | 500,000 | 643,804 |
6.20%, 04/15/38 | 700,000 | 874,959 |
Walgreens Boots Alliance, Inc. | ||
3.80%, 11/18/24 (b) | 250,000 | 245,322 |
4.80%, 11/18/44 (b) | 600,000 | 566,753 |
Wyndham Worldwide Corp. | ||
5.63%, 03/01/21 | 100,000 | 109,671 |
25,700,086 | ||
Consumer Non-Cyclical 3.3% | ||
AbbVie, Inc. | ||
1.75%, 11/06/17 | 200,000 | 200,638 |
2.00%, 11/06/18 | 700,000 | 700,871 |
2.90%, 11/06/22 | 500,000 | 484,942 |
3.20%, 11/06/22 (b) | 300,000 | 297,543 |
4.40%, 11/06/42 | 1,000,000 | 949,851 |
Actavis Funding SCS | ||
3.85%, 06/15/24 (b) | 500,000 | 494,900 |
4.75%, 03/15/45 (b) | 500,000 | 477,875 |
Allergan, Inc. | ||
2.80%, 03/15/23 (b) | 150,000 | 138,776 |
Altria Group, Inc. | ||
9.25%, 08/06/19 | 250,000 | 314,095 |
4.75%, 05/05/21 | 500,000 | 542,520 |
2.85%, 08/09/22 | 600,000 | 577,643 |
2.95%, 05/02/23 | 800,000 | 765,514 |
4.25%, 08/09/42 | 200,000 | 178,179 |
Amgen, Inc. | ||
5.85%, 06/01/17 | 200,000 | 216,636 |
3.88%, 11/15/21 (b) | 500,000 | 525,062 |
5.15%, 11/15/41 (b) | 500,000 | 515,324 |
Anheuser-Busch InBev Finance, Inc. | ||
1.13%, 01/27/17 | 100,000 | 100,301 |
2.15%, 02/01/19 | 400,000 | 401,345 |
3.70%, 02/01/24 | 200,000 | 204,926 |
4.63%, 02/01/44 | 350,000 | 353,132 |
Anheuser-Busch InBev Worldwide, Inc. | ||
1.38%, 07/15/17 | 500,000 | 502,501 |
6.88%, 11/15/19 | 350,000 | 418,098 |
5.00%, 04/15/20 | 250,000 | 279,611 |
AstraZeneca PLC | ||
6.45%, 09/15/37 | 150,000 | 191,559 |
Baxalta, Inc. | ||
2.00%, 06/22/18 (c) | 250,000 | 249,850 |
2.88%, 06/23/20 (b)(c) | 750,000 | 749,766 |
4.00%, 06/23/25 (b)(c) | 250,000 | 248,647 |
5.25%, 06/23/45 (b)(c) | 500,000 | 503,857 |
Baxter International, Inc. | ||
4.50%, 06/15/43 (b) | 300,000 | 301,019 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Boston Scientific Corp. | ||
6.00%, 01/15/20 | 150,000 | 170,027 |
4.13%, 10/01/23 (b) | 100,000 | 101,692 |
Bristol-Myers Squibb Co. | ||
3.25%, 08/01/42 | 100,000 | 84,029 |
Campbell Soup Co. | ||
2.50%, 08/02/22 | 350,000 | 333,604 |
Cardinal Health, Inc. | ||
1.90%, 06/15/17 | 400,000 | 403,627 |
1.70%, 03/15/18 | 750,000 | 747,426 |
1.95%, 06/15/18 | 250,000 | 250,599 |
3.75%, 09/15/25 (b) | 250,000 | 249,243 |
4.90%, 09/15/45 (b) | 500,000 | 500,151 |
Celgene Corp. | ||
1.90%, 08/15/17 | 1,000,000 | 1,010,886 |
2.30%, 08/15/18 | 750,000 | 761,884 |
2.25%, 05/15/19 | 1,500,000 | 1,504,306 |
3.63%, 05/15/24 (b) | 700,000 | 700,426 |
4.63%, 05/15/44 (b) | 550,000 | 526,867 |
Colgate-Palmolive Co. | ||
2.63%, 05/01/17 | 100,000 | 103,065 |
1.75%, 03/15/19 | 500,000 | 499,507 |
3.25%, 03/15/24 | 200,000 | 203,082 |
Delhaize Group S.A. | ||
5.70%, 10/01/40 | 750,000 | 763,731 |
Diageo Capital PLC | ||
5.75%, 10/23/17 | 300,000 | 327,538 |
1.13%, 04/29/18 | 200,000 | 197,608 |
5.88%, 09/30/36 | 150,000 | 173,097 |
Dr Pepper Snapple Group, Inc. | ||
3.20%, 11/15/21 (b) | 1,500,000 | 1,538,014 |
Eli Lilly & Co. | ||
1.25%, 03/01/18 | 500,000 | 498,817 |
3.70%, 03/01/45 (b) | 500,000 | 454,779 |
Express Scripts Holding Co. | ||
2.25%, 06/15/19 | 500,000 | 496,417 |
3.50%, 06/15/24 (b) | 250,000 | 244,978 |
General Mills, Inc. | ||
5.40%, 06/15/40 | 500,000 | 544,227 |
Genzyme Corp. | ||
5.00%, 06/15/20 | 250,000 | 282,663 |
Gilead Sciences, Inc. | ||
2.05%, 04/01/19 | 1,000,000 | 1,006,216 |
4.40%, 12/01/21 (b) | 350,000 | 382,570 |
3.70%, 04/01/24 (b) | 400,000 | 409,179 |
3.50%, 02/01/25 (b) | 500,000 | 501,322 |
5.65%, 12/01/41 (b) | 200,000 | 229,647 |
4.80%, 04/01/44 (b) | 350,000 | 361,070 |
4.50%, 02/01/45 (b) | 250,000 | 249,644 |
GlaxoSmithKline Capital, Inc. | ||
5.65%, 05/15/18 | 150,000 | 167,480 |
2.85%, 05/08/22 | 150,000 | 148,824 |
Hasbro, Inc. | ||
6.30%, 09/15/17 | 100,000 | 109,422 |
6.35%, 03/15/40 | 450,000 | 509,992 |
HJ Heinz Co. | ||
5.20%, 07/15/45 (b)(c)(g) | 500,000 | 514,361 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Johnson & Johnson | ||
5.55%, 08/15/17 | 250,000 | 273,975 |
Kimberly-Clark Corp. | ||
3.63%, 08/01/20 | 500,000 | 533,575 |
6.63%, 08/01/37 | 100,000 | 131,367 |
5.30%, 03/01/41 | 200,000 | 227,891 |
Koninklijke Philips N.V. | ||
5.00%, 03/15/42 | 100,000 | 99,287 |
Kraft Foods Group, Inc. | ||
5.38%, 02/10/20 | 400,000 | 446,935 |
3.50%, 06/06/22 | 500,000 | 501,991 |
5.00%, 06/04/42 | 1,000,000 | 1,000,190 |
Lorillard Tobacco Co. | ||
2.30%, 08/21/17 | 1,000,000 | 1,004,030 |
McKesson Corp. | ||
2.28%, 03/15/19 | 300,000 | 300,178 |
3.80%, 03/15/24 (b) | 500,000 | 506,658 |
Medtronic, Inc. | ||
2.50%, 03/15/20 (c) | 750,000 | 751,748 |
3.63%, 03/15/24 (b) | 200,000 | 205,252 |
3.50%, 03/15/25 (c) | 1,000,000 | 997,807 |
4.00%, 04/01/43 (b) | 300,000 | 277,542 |
4.63%, 03/15/45 (c) | 250,000 | 253,701 |
Merck & Co., Inc. | ||
3.88%, 01/15/21 (b) | 200,000 | 214,577 |
Molson Coors Brewing Co. | ||
3.50%, 05/01/22 | 200,000 | 202,095 |
Mondelez International, Inc. | ||
2.25%, 02/01/19 (b) | 500,000 | 501,224 |
4.00%, 02/01/24 (b) | 400,000 | 415,022 |
6.88%, 02/01/38 | 500,000 | 632,671 |
Newell Rubbermaid, Inc. | ||
2.88%, 12/01/19 (b) | 400,000 | 404,686 |
4.70%, 08/15/20 | 150,000 | 164,008 |
Novartis Capital Corp. | ||
4.40%, 04/24/20 (h) | 100,000 | 110,487 |
PepsiCo, Inc. | ||
1.25%, 08/13/17 | 250,000 | 250,493 |
2.25%, 01/07/19 (b) | 750,000 | 760,609 |
4.88%, 11/01/40 | 200,000 | 212,556 |
Perrigo Finance plc | ||
3.90%, 12/15/24 (b) | 500,000 | 494,677 |
Pfizer, Inc. | ||
6.20%, 03/15/19 (h) | 225,000 | 257,496 |
Philip Morris International, Inc. | ||
1.13%, 08/21/17 | 100,000 | 99,854 |
4.50%, 03/26/20 | 250,000 | 274,405 |
2.90%, 11/15/21 | 1,000,000 | 1,010,039 |
2.50%, 08/22/22 | 100,000 | 96,396 |
6.38%, 05/16/38 | 650,000 | 799,060 |
4.25%, 11/10/44 | 200,000 | 188,521 |
Procter & Gamble Co. | ||
4.70%, 02/15/19 | 650,000 | 716,838 |
5.55%, 03/05/37 | 100,000 | 120,949 |
Quest Diagnostics, Inc. | ||
4.75%, 01/15/20 | 400,000 | 435,978 |
2.50%, 03/30/20 (b) | 500,000 | 496,634 |
4.25%, 04/01/24 (b) | 500,000 | 507,959 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Reynolds American, Inc. | ||
6.75%, 06/15/17 | 100,000 | 109,325 |
3.25%, 11/01/22 | 100,000 | 96,471 |
4.45%, 06/12/25 (b) | 500,000 | 510,408 |
5.85%, 08/12/45 (b) | 500,000 | 526,333 |
Sanofi | ||
1.25%, 04/10/18 | 100,000 | 99,700 |
4.00%, 03/29/21 | 150,000 | 160,817 |
Sysco Corp. | ||
3.00%, 10/02/21 (b) | 500,000 | 505,000 |
Teva Pharmaceutical Finance Co. BV | ||
2.95%, 12/18/22 | 40,000 | 38,705 |
Teva Pharmaceutical Finance Co. LLC | ||
6.15%, 02/01/36 | 14,000 | 16,620 |
The Coca-Cola Co. | ||
3.15%, 11/15/20 | 1,000,000 | 1,043,547 |
3.20%, 11/01/23 | 500,000 | 505,590 |
The Kroger Co. | ||
3.85%, 08/01/23 (b) | 350,000 | 359,613 |
7.50%, 04/01/31 (h) | 100,000 | 129,074 |
Thermo Fisher Scientific, Inc. | ||
4.50%, 03/01/21 | 50,000 | 53,357 |
3.60%, 08/15/21 (b) | 50,000 | 50,963 |
4.15%, 02/01/24 (b) | 200,000 | 204,147 |
5.30%, 02/01/44 (b) | 200,000 | 212,174 |
Unilever Capital Corp. | ||
4.25%, 02/10/21 | 300,000 | 330,194 |
Wyeth LLC | ||
5.95%, 04/01/37 | 500,000 | 597,617 |
Zimmer Biomet Holdings, Inc. | ||
2.00%, 04/01/18 | 500,000 | 500,510 |
2.70%, 04/01/20 (b) | 500,000 | 498,076 |
4.25%, 08/15/35 (b) | 500,000 | 463,649 |
Zoetis, Inc. | ||
3.25%, 02/01/23 (b) | 250,000 | 242,604 |
4.70%, 02/01/43 (b) | 100,000 | 95,701 |
54,376,554 | ||
Energy 2.7% | ||
Anadarko Petroleum Corp. | ||
5.95%, 09/15/16 | 225,000 | 237,425 |
6.38%, 09/15/17 | 200,000 | 219,594 |
6.45%, 09/15/36 | 100,000 | 115,740 |
Apache Corp. | ||
6.90%, 09/15/18 | 100,000 | 114,536 |
3.25%, 04/15/22 (b) | 500,000 | 492,457 |
4.75%, 04/15/43 (b) | 100,000 | 92,886 |
Baker Hughes, Inc. | ||
3.20%, 08/15/21 (b) | 300,000 | 305,523 |
BP Capital Markets PLC | ||
1.85%, 05/05/17 | 1,000,000 | 1,012,498 |
4.75%, 03/10/19 | 250,000 | 273,680 |
2.32%, 02/13/20 | 750,000 | 747,501 |
4.50%, 10/01/20 | 300,000 | 328,392 |
4.74%, 03/11/21 | 1,000,000 | 1,104,294 |
3.06%, 03/17/22 | 500,000 | 499,146 |
3.25%, 05/06/22 | 200,000 | 200,692 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Buckeye Partners LP | ||
4.35%, 10/15/24 (b) | 300,000 | 294,671 |
Canadian Natural Resources Ltd. | ||
5.70%, 05/15/17 | 300,000 | 322,949 |
3.80%, 04/15/24 (b) | 150,000 | 148,596 |
6.25%, 03/15/38 | 100,000 | 111,125 |
Chevron Corp. | ||
1.10%, 12/05/17 (b) | 500,000 | 498,035 |
1.72%, 06/24/18 (b) | 1,000,000 | 1,006,388 |
3.19%, 06/24/23 (b) | 400,000 | 402,311 |
Cimarex Energy Co. | ||
5.88%, 05/01/22 (b) | 750,000 | 806,250 |
Conoco, Inc. | ||
6.95%, 04/15/29 | 200,000 | 256,180 |
ConocoPhillips | ||
5.20%, 05/15/18 | 250,000 | 275,962 |
ConocoPhillips Canada | ||
5.63%, 10/15/16 | 150,000 | 158,607 |
Devon Energy Corp. | ||
2.25%, 12/15/18 (b) | 500,000 | 501,759 |
Dominion Gas Holdings LLC | ||
4.80%, 11/01/43 (b) | 100,000 | 98,948 |
Enbridge, Inc. | ||
4.50%, 06/10/44 (b) | 150,000 | 123,741 |
Encana Corp. | ||
6.50%, 05/15/19 | 150,000 | 170,442 |
3.90%, 11/15/21 (b) | 200,000 | 204,347 |
6.50%, 02/01/38 | 175,000 | 187,122 |
Energy Transfer Partners LP | ||
4.15%, 10/01/20 (b) | 500,000 | 514,465 |
5.20%, 02/01/22 (b) | 500,000 | 524,217 |
4.90%, 03/15/35 (b) | 500,000 | 452,523 |
6.63%, 10/15/36 | 200,000 | 211,449 |
7.50%, 07/01/38 | 100,000 | 114,623 |
6.50%, 02/01/42 (b) | 1,000,000 | 1,033,420 |
6.13%, 12/15/45 (b) | 500,000 | 502,500 |
EnLink Midstream Partners LP | ||
2.70%, 04/01/19 (b) | 750,000 | 741,118 |
5.05%, 04/01/45 (b) | 500,000 | 455,091 |
Ensco PLC | ||
4.70%, 03/15/21 | 500,000 | 509,932 |
4.50%, 10/01/24 (b) | 150,000 | 143,570 |
5.75%, 10/01/44 (b) | 400,000 | 357,648 |
Enterprise Products Operating LLC | ||
6.30%, 09/15/17 | 100,000 | 110,219 |
2.55%, 10/15/19 (b) | 500,000 | 500,360 |
3.90%, 02/15/24 (b) | 400,000 | 402,373 |
3.75%, 02/15/25 (b) | 150,000 | 147,305 |
6.65%, 10/15/34 | 250,000 | 303,844 |
4.85%, 03/15/44 (b) | 100,000 | 94,401 |
EOG Resources, Inc. | ||
5.63%, 06/01/19 | 500,000 | 565,812 |
2.63%, 03/15/23 (b) | 750,000 | 720,959 |
3.90%, 04/01/35 (b) | 500,000 | 474,282 |
Exxon Mobil Corp. | ||
3.57%, 03/06/45 (b) | 500,000 | 453,808 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Halliburton Co. | ||
1.00%, 08/01/16 | 100,000 | 99,968 |
6.15%, 09/15/19 | 125,000 | 143,896 |
6.70%, 09/15/38 | 100,000 | 124,797 |
Helmerich & Payne International Drilling Co. | ||
4.65%, 03/15/25 (b)(c) | 1,750,000 | 1,809,948 |
Hess Corp. | ||
8.13%, 02/15/19 | 200,000 | 236,969 |
7.30%, 08/15/31 | 150,000 | 174,571 |
7.13%, 03/15/33 | 100,000 | 115,028 |
Husky Energy, Inc. | ||
7.25%, 12/15/19 | 200,000 | 233,811 |
3.95%, 04/15/22 (b) | 1,000,000 | 1,004,194 |
6.80%, 09/15/37 | 500,000 | 580,663 |
Kerr-McGee Corp. | ||
6.95%, 07/01/24 | 250,000 | 301,924 |
Kinder Morgan Energy Partners LP | ||
5.95%, 02/15/18 | 100,000 | 109,344 |
6.85%, 02/15/20 (h) | 50,000 | 57,795 |
4.30%, 05/01/24 (b) | 300,000 | 296,591 |
5.80%, 03/15/35 | 100,000 | 98,968 |
5.00%, 08/15/42 (b) | 100,000 | 87,305 |
4.70%, 11/01/42 (b) | 300,000 | 251,477 |
5.40%, 09/01/44 (b) | 400,000 | 364,633 |
Kinder Morgan, Inc. | ||
7.25%, 06/01/18 | 750,000 | 846,406 |
4.30%, 06/01/25 (b) | 250,000 | 241,828 |
5.55%, 06/01/45 (b) | 700,000 | 649,257 |
Magellan Midstream Partners LP | ||
4.20%, 12/01/42 (b) | 100,000 | 88,152 |
Marathon Oil Corp. | ||
2.80%, 11/01/22 (b) | 300,000 | 284,828 |
6.60%, 10/01/37 | 200,000 | 226,243 |
Marathon Petroleum Corp. | ||
5.13%, 03/01/21 (h) | 250,000 | 274,886 |
4.75%, 09/15/44 (b) | 250,000 | 229,036 |
MPLX LP | ||
4.00%, 02/15/25 (b) | 250,000 | 244,399 |
Murphy Oil Corp. | ||
5.13%, 12/01/42 (b) | 200,000 | 166,374 |
Nabors Industries, Inc. | ||
2.35%, 09/15/16 | 100,000 | 100,322 |
Nisource Finance Corp. | ||
3.85%, 02/15/23 (b) | 100,000 | 103,063 |
Noble Energy, Inc. | ||
6.00%, 03/01/41 (b) | 250,000 | 265,542 |
5.25%, 11/15/43 (b) | 400,000 | 391,119 |
Noble Holding International Ltd. | ||
5.95%, 04/01/25 (b) | 250,000 | 246,944 |
Occidental Petroleum Corp. | ||
1.75%, 02/15/17 | 500,000 | 504,647 |
4.10%, 02/01/21 (b) | 100,000 | 108,562 |
Phillips 66 Partners LP | ||
3.61%, 02/15/25 (b) | 500,000 | 471,494 |
Pioneer Natural Resources Co. | ||
6.65%, 03/15/17 | 350,000 | 378,653 |
7.50%, 01/15/20 | 250,000 | 294,435 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Plains All American Pipeline LP | ||
5.75%, 01/15/20 | 100,000 | 112,296 |
3.65%, 06/01/22 (b) | 200,000 | 201,608 |
3.85%, 10/15/23 (b) | 150,000 | 148,667 |
6.65%, 01/15/37 | 100,000 | 114,702 |
Shell International Finance BV | ||
4.30%, 09/22/19 | 100,000 | 109,092 |
6.38%, 12/15/38 | 500,000 | 630,811 |
4.55%, 08/12/43 | 250,000 | 256,478 |
Southern Natural Gas Co. | ||
5.90%, 04/01/17 (c) | 150,000 | 159,824 |
Spectra Energy Capital LLC | ||
6.20%, 04/15/18 | 350,000 | 382,612 |
5.65%, 03/01/20 | 300,000 | 325,905 |
Spectra Energy Partners LP | ||
4.75%, 03/15/24 (b) | 100,000 | 105,868 |
5.95%, 09/25/43 (b) | 600,000 | 655,723 |
Suncor Energy, Inc. | ||
6.10%, 06/01/18 | 100,000 | 111,592 |
5.95%, 12/01/34 | 250,000 | 285,048 |
6.50%, 06/15/38 | 150,000 | 183,353 |
Tosco Corp. | ||
7.80%, 01/01/27 | 150,000 | 196,611 |
Total Capital International S.A. | ||
2.88%, 02/17/22 | 500,000 | 500,246 |
3.75%, 04/10/24 | 500,000 | 518,272 |
TransCanada PipeLines Ltd. | ||
1.88%, 01/12/18 | 250,000 | 251,807 |
4.63%, 03/01/34 (b) | 100,000 | 99,458 |
7.63%, 01/15/39 | 100,000 | 131,895 |
Valero Energy Corp. | ||
6.13%, 06/15/17 | 750,000 | 815,543 |
9.38%, 03/15/19 | 500,000 | 615,838 |
7.50%, 04/15/32 | 250,000 | 304,963 |
6.63%, 06/15/37 | 500,000 | 566,420 |
Weatherford International LLC | ||
6.35%, 06/15/17 | 250,000 | 267,857 |
Weatherford International Ltd. | ||
5.13%, 09/15/20 | 250,000 | 255,041 |
4.50%, 04/15/22 (b) | 175,000 | 164,572 |
Western Gas Partners LP | ||
3.95%, 06/01/25 (b) | 500,000 | 481,829 |
Williams Cos., Inc. | ||
7.88%, 09/01/21 | 300,000 | 352,602 |
4.55%, 06/24/24 (b) | 250,000 | 242,711 |
5.75%, 06/24/44 (b) | 350,000 | 325,888 |
Williams Partners LP | ||
7.25%, 02/01/17 | 550,000 | 596,173 |
5.25%, 03/15/20 | 250,000 | 272,019 |
3.60%, 03/15/22 (b) | 100,000 | 97,237 |
43,694,349 | ||
Other Industrial 0.0% | ||
Cintas Corp. No. 2 | ||
3.25%, 06/01/22 (b) | 500,000 | 504,190 |
504,190 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Technology 1.4% | ||
Amphenol Corp. | ||
3.13%, 09/15/21 (b) | 400,000 | 400,846 |
Apple, Inc. | ||
1.05%, 05/05/17 | 500,000 | 501,632 |
1.00%, 05/03/18 | 300,000 | 297,091 |
2.40%, 05/03/23 | 1,000,000 | 957,634 |
3.85%, 05/03/43 | 500,000 | 456,212 |
3.45%, 02/09/45 | 250,000 | 212,434 |
Arrow Electronics, Inc. | ||
3.00%, 03/01/18 | 300,000 | 304,935 |
4.50%, 03/01/23 (b) | 200,000 | 204,723 |
Cisco Systems, Inc. | ||
4.45%, 01/15/20 | 350,000 | 382,924 |
3.63%, 03/04/24 | 250,000 | 258,233 |
5.90%, 02/15/39 | 100,000 | 119,678 |
Corning, Inc. | ||
1.45%, 11/15/17 | 200,000 | 199,239 |
EMC Corp. | ||
1.88%, 06/01/18 | 750,000 | 751,771 |
2.65%, 06/01/20 | 500,000 | 505,474 |
Fidelity National Information Services, Inc. | ||
3.50%, 04/15/23 (b) | 300,000 | 291,683 |
Fiserv, Inc. | ||
4.63%, 10/01/20 | 750,000 | 811,608 |
3.85%, 06/01/25 (b) | 500,000 | 501,739 |
Flextronics International Ltd. | ||
4.75%, 06/15/25 (b)(c) | 500,000 | 497,350 |
Google, Inc. | ||
3.38%, 02/25/24 | 100,000 | 102,744 |
Harris Corp. | ||
6.15%, 12/15/40 | 150,000 | 168,865 |
Hewlett-Packard Co. | ||
2.60%, 09/15/17 | 500,000 | 509,312 |
2.75%, 01/14/19 | 400,000 | 404,678 |
3.75%, 12/01/20 | 300,000 | 309,529 |
Ingram Micro, Inc. | ||
5.00%, 08/10/22 (b) | 250,000 | 262,413 |
4.95%, 12/15/24 (b) | 100,000 | 102,402 |
Intel Corp. | ||
1.95%, 10/01/16 | 350,000 | 353,771 |
4.25%, 12/15/42 (h) | 250,000 | 235,378 |
International Business Machines Corp. | ||
5.70%, 09/14/17 | 500,000 | 548,344 |
3.38%, 08/01/23 | 150,000 | 150,879 |
3.63%, 02/12/24 | 750,000 | 760,432 |
KLA-Tencor Corp. | ||
3.38%, 11/01/19 (b) | 350,000 | 359,870 |
4.65%, 11/01/24 (b) | 500,000 | 500,664 |
5.65%, 11/01/34 (b) | 350,000 | 352,482 |
Lam Research Corp. | ||
3.80%, 03/15/25 (b) | 500,000 | 487,631 |
Microsoft Corp. | ||
1.63%, 12/06/18 | 1,000,000 | 1,009,118 |
4.50%, 10/01/40 (h) | 100,000 | 102,148 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
NetApp, Inc. | ||
2.00%, 12/15/17 | 500,000 | 502,800 |
3.38%, 06/15/21 (b) | 500,000 | 493,321 |
3.25%, 12/15/22 (b) | 250,000 | 237,156 |
Oracle Corp. | ||
2.25%, 10/08/19 | 500,000 | 503,201 |
3.40%, 07/08/24 (b) | 650,000 | 652,393 |
2.95%, 05/15/25 (b) | 500,000 | 481,821 |
4.30%, 07/08/34 (b) | 400,000 | 395,218 |
6.13%, 07/08/39 | 750,000 | 907,948 |
Pitney Bowes, Inc. | ||
4.63%, 03/15/24 (b) | 350,000 | 353,616 |
Seagate HDD Cayman | ||
3.75%, 11/15/18 | 800,000 | 834,685 |
4.75%, 06/01/23 | 750,000 | 762,999 |
4.75%, 01/01/25 (c) | 500,000 | 497,865 |
5.75%, 12/01/34 (b)(c) | 250,000 | 246,867 |
Verisk Analytics, Inc. | ||
4.00%, 06/15/25 | 500,000 | 490,645 |
Xerox Corp. | ||
2.75%, 03/15/19 | 300,000 | 304,571 |
2.75%, 09/01/20 | 500,000 | 495,794 |
22,536,766 | ||
Transportation 0.5% | ||
American Airlines 2015-1 Class A Pass Through Trust | ||
3.38%, 05/01/27 | 750,000 | 727,575 |
Burlington Northern Santa Fe LLC | ||
4.70%, 10/01/19 | 140,000 | 154,465 |
3.85%, 09/01/23 (b) | 400,000 | 415,293 |
5.05%, 03/01/41 (b) | 500,000 | 527,942 |
4.55%, 09/01/44 (b) | 400,000 | 395,303 |
Canadian National Railway Co. | ||
2.95%, 11/21/24 (b) | 150,000 | 147,261 |
4.50%, 11/07/43 (b) | 300,000 | 309,500 |
Canadian Pacific Railway Co. | ||
4.50%, 01/15/22 | 500,000 | 538,413 |
5.75%, 01/15/42 | 250,000 | 290,045 |
Continental Airlines 2010-1 Class A Pass Through Trust | ||
4.75%, 07/12/22 | 399,643 | 425,659 |
Continental Airlines 2012-1 Class A Pass Through Trust | ||
4.15%, 10/11/25 | 90,156 | 91,238 |
CSX Corp. | ||
4.25%, 06/01/21 (b) | 150,000 | 162,468 |
4.10%, 03/15/44 (b) | 100,000 | 91,947 |
FedEx Corp. | ||
2.63%, 08/01/22 | 200,000 | 194,176 |
3.90%, 02/01/35 | 300,000 | 278,270 |
3.88%, 08/01/42 | 200,000 | 173,810 |
Kansas City Southern de Mexico S.A. de C.V. | ||
2.35%, 05/15/20 (b) | 350,000 | 341,842 |
Norfolk Southern Corp. | ||
3.00%, 04/01/22 (b) | 750,000 | 747,192 |
4.84%, 10/01/41 | 100,000 | 102,835 |
Ryder System, Inc. | ||
2.55%, 06/01/19 (b) | 100,000 | 100,265 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Union Pacific Corp. | ||
3.65%, 02/15/24 (b) | 500,000 | 515,263 |
3.25%, 08/15/25 (b) | 500,000 | 495,436 |
4.82%, 02/01/44 (b) | 500,000 | 533,020 |
United Parcel Service, Inc. | ||
5.50%, 01/15/18 | 150,000 | 165,477 |
5.13%, 04/01/19 | 150,000 | 167,308 |
6.20%, 01/15/38 | 200,000 | 250,508 |
4.88%, 11/15/40 (b) | 400,000 | 430,219 |
8,772,730 | ||
230,615,720 | ||
Utilities 1.7% | ||
Electric 1.6% | ||
Alabama Power Co. | ||
3.55%, 12/01/23 | 350,000 | 358,528 |
American Electric Power Co., Inc. | ||
1.65%, 12/15/17 (b) | 1,000,000 | 1,001,738 |
Appalachian Power Co. | ||
3.40%, 06/01/25 (b) | 300,000 | 296,345 |
7.00%, 04/01/38 | 750,000 | 954,909 |
Arizona Public Service Co. | ||
2.20%, 01/15/20 (b) | 250,000 | 248,062 |
Berkshire Hathaway Energy Co. | ||
5.75%, 04/01/18 (h) | 700,000 | 775,043 |
2.40%, 02/01/20 (b) | 300,000 | 299,008 |
6.13%, 04/01/36 (h) | 500,000 | 590,865 |
5.95%, 05/15/37 | 250,000 | 290,190 |
6.50%, 09/15/37 | 500,000 | 615,357 |
5.15%, 11/15/43 (b) | 800,000 | 857,057 |
CMS Energy Corp. | ||
6.25%, 02/01/20 | 1,000,000 | 1,159,328 |
4.70%, 03/31/43 (b) | 250,000 | 251,964 |
Commonwealth Edison Co. | ||
1.95%, 09/01/16 (b) | 300,000 | 303,370 |
Consolidated Edison Co. of New York, Inc. | ||
5.85%, 04/01/18 | 200,000 | 222,827 |
Consumers Energy Co. | ||
3.38%, 08/15/23 (b) | 500,000 | 509,651 |
3.95%, 05/15/43 (b) | 250,000 | 239,055 |
Dayton Power & Light Co. | ||
1.88%, 09/15/16 | 200,000 | 201,142 |
Delmarva Power & Light Co. | ||
3.50%, 11/15/23 (b) | 500,000 | 510,765 |
Dominion Resources, Inc. | ||
1.90%, 06/15/18 | 100,000 | 100,197 |
5.25%, 08/01/33 | 500,000 | 527,372 |
4.05%, 09/15/42 (b) | 800,000 | 726,490 |
Duke Energy Carolinas LLC | ||
6.05%, 04/15/38 | 200,000 | 246,872 |
5.30%, 02/15/40 | 100,000 | 114,122 |
Duke Energy Corp. | ||
2.10%, 06/15/18 (b) | 1,000,000 | 1,010,530 |
3.75%, 04/15/24 (b) | 900,000 | 918,687 |
Duke Energy Florida, Inc. | ||
6.40%, 06/15/38 | 91,000 | 117,301 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Duke Energy Progress, Inc. | ||
4.15%, 12/01/44 (b) | 400,000 | 387,533 |
Exelon Generation Co. LLC | ||
2.95%, 01/15/20 (b) | 300,000 | 301,349 |
4.00%, 10/01/20 (b) | 500,000 | 522,247 |
5.60%, 06/15/42 (b) | 100,000 | 102,107 |
Florida Power & Light Co. | ||
6.20%, 06/01/36 | 200,000 | 254,557 |
5.95%, 02/01/38 | 150,000 | 183,578 |
Georgia Power Co. | ||
4.75%, 09/01/40 | 500,000 | 511,955 |
LG&E & KU Energy LLC | ||
3.75%, 11/15/20 (b) | 150,000 | 156,912 |
National Rural Utilities Cooperative Finance Corp. | ||
5.45%, 02/01/18 (h) | 100,000 | 109,624 |
NextEra Energy Capital Holdings, Inc. | ||
3.63%, 06/15/23 (b) | 100,000 | 99,954 |
Ohio Power Co. | ||
5.38%, 10/01/21 | 750,000 | 856,278 |
Oncor Electric Delivery Co. LLC | ||
2.15%, 06/01/19 (b) | 350,000 | 347,509 |
4.55%, 12/01/41 (b) | 200,000 | 201,561 |
Pacific Gas & Electric Co. | ||
4.25%, 05/15/21 (b) | 200,000 | 214,139 |
6.05%, 03/01/34 (h) | 400,000 | 482,311 |
PPL Capital Funding, Inc. | ||
4.20%, 06/15/22 (b) | 1,100,000 | 1,158,939 |
3.40%, 06/01/23 (b) | 1,000,000 | 998,159 |
PPL Electric Utilities Corp. | ||
2.50%, 09/01/22 (b) | 500,000 | 484,586 |
6.25%, 05/15/39 | 500,000 | 636,776 |
PSEG Power LLC | ||
5.13%, 04/15/20 | 400,000 | 442,105 |
Public Service Electric & Gas Co. | ||
3.95%, 05/01/42 (b) | 100,000 | 95,092 |
Puget Sound Energy, Inc. | ||
5.64%, 04/15/41 (b) | 250,000 | 297,405 |
San Diego Gas & Electric Co. | ||
4.30%, 04/01/42 (b) | 300,000 | 301,943 |
Sempra Energy | ||
3.55%, 06/15/24 (b) | 400,000 | 400,406 |
Southern California Edison Co. | ||
5.50%, 08/15/18 | 100,000 | 111,982 |
Southern Power Co. | ||
1.50%, 06/01/18 | 500,000 | 497,444 |
2.38%, 06/01/20 (b) | 200,000 | 197,695 |
Southwestern Electric Power Co. | ||
5.55%, 01/15/17 | 400,000 | 424,722 |
TransAlta Corp. | ||
6.65%, 05/15/18 | 250,000 | 276,463 |
Union Electric Co. | ||
3.90%, 09/15/42 (b) | 100,000 | 93,642 |
Virginia Electric & Power Co. | ||
5.95%, 09/15/17 | 300,000 | 329,700 |
6.00%, 05/15/37 | 300,000 | 365,098 |
WEC Energy Group, Inc. | ||
1.65%, 06/15/18 | 200,000 | 200,280 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Westar Energy, Inc. | ||
4.13%, 03/01/42 (b) | 100,000 | 97,105 |
Xcel Energy, Inc. | ||
4.70%, 05/15/20 (b) | 500,000 | 545,888 |
4.80%, 09/15/41 (b) | 600,000 | 624,558 |
26,758,377 | ||
Natural Gas 0.1% | ||
Atmos Energy Corp. | ||
4.13%, 10/15/44 (b) | 150,000 | 143,634 |
ONE Gas, Inc. | ||
3.61%, 02/01/24 (b) | 100,000 | 103,297 |
4.66%, 02/01/44 (b) | 300,000 | 315,466 |
Sempra Energy | ||
6.00%, 10/15/39 | 350,000 | 415,526 |
Southwest Gas Corp. | ||
3.88%, 04/01/22 (b) | 200,000 | 209,820 |
1,187,743 | ||
Other Utilities 0.0% | ||
American Water Capital Corp. | ||
3.40%, 03/01/25 (b) | 300,000 | 299,832 |
299,832 | ||
28,245,952 | ||
Total Corporate Bonds | ||
(Cost $389,209,515) | 383,659,115 | |
Foreign Government Securities 5.2% of net assets | ||
Foreign Agencies 1.7% | ||
Austria 0.1% | ||
Oesterreichische Kontrollbank AG | ||
1.13%, 05/29/18 | 1,000,000 | 998,297 |
998,297 | ||
Brazil 0.1% | ||
Petrobras Global Finance BV | ||
7.88%, 03/15/19 | 200,000 | 212,942 |
4.38%, 05/20/23 | 400,000 | 349,484 |
5.63%, 05/20/43 | 250,000 | 194,475 |
Petrobras International Finance Co. | ||
5.75%, 01/20/20 | 500,000 | 496,670 |
5.38%, 01/27/21 | 400,000 | 385,720 |
6.75%, 01/27/41 | 400,000 | 352,292 |
1,991,583 | ||
Canada 0.1% | ||
CNOOC Nexen Finance 2014 ULC | ||
1.63%, 04/30/17 | 500,000 | 500,936 |
Export Development Canada | ||
1.25%, 10/26/16 | 500,000 | 504,802 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Nexen, Inc. | ||
5.88%, 03/10/35 | 300,000 | 332,473 |
6.40%, 05/15/37 | 200,000 | 240,391 |
1,578,602 | ||
Colombia 0.0% | ||
Ecopetrol S.A. | ||
4.25%, 09/18/18 | 250,000 | 260,937 |
7.63%, 07/23/19 | 200,000 | 232,750 |
5.88%, 09/18/23 | 100,000 | 105,250 |
5.88%, 05/28/45 | 100,000 | 88,750 |
687,687 | ||
Germany 0.7% | ||
Kreditanstalt fuer Wiederaufbau | ||
4.88%, 01/17/17 (d)(h) | 600,000 | 638,821 |
1.25%, 02/15/17 (d) | 600,000 | 605,739 |
4.38%, 03/15/18 (d) | 1,500,000 | 1,632,211 |
1.00%, 06/11/18 (d) | 800,000 | 796,682 |
4.50%, 07/16/18 (d)(h) | 1,000,000 | 1,098,813 |
4.88%, 06/17/19 (d) | 1,000,000 | 1,129,836 |
4.00%, 01/27/20 (d) | 1,000,000 | 1,101,187 |
2.75%, 09/08/20 (d) | 1,000,000 | 1,044,876 |
2.38%, 08/25/21 (d) | 800,000 | 814,866 |
2.50%, 11/20/24 (d) | 1,000,000 | 1,002,420 |
Landwirtschaftliche Rentenbank | ||
5.13%, 02/01/17 (d) | 250,000 | 267,322 |
1.00%, 04/04/18 (d) | 645,000 | 643,137 |
1.88%, 09/17/18 (d) | 1,000,000 | 1,019,613 |
11,795,523 | ||
Japan 0.1% | ||
Japan Bank for International Cooperation | ||
1.75%, 07/31/18 | 750,000 | 758,366 |
1.75%, 11/13/18 | 1,000,000 | 1,007,618 |
1,765,984 | ||
Mexico 0.3% | ||
Petroleos Mexicanos | ||
5.75%, 03/01/18 | 250,000 | 272,582 |
3.13%, 01/23/19 | 400,000 | 404,800 |
3.50%, 07/23/20 (c) | 200,000 | 202,696 |
5.50%, 01/21/21 | 400,000 | 434,800 |
3.50%, 01/30/23 | 500,000 | 475,600 |
4.88%, 01/18/24 | 500,000 | 513,750 |
6.63%, 06/15/35 | 700,000 | 750,750 |
6.50%, 06/02/41 | 250,000 | 261,250 |
5.50%, 06/27/44 | 935,000 | 864,875 |
5.63%, 01/23/46 (c) | 250,000 | 234,363 |
4,415,466 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Norway 0.1% | ||
Statoil A.S.A. | ||
2.45%, 01/17/23 | 1,000,000 | 965,369 |
3.70%, 03/01/24 | 400,000 | 414,189 |
4.25%, 11/23/41 | 100,000 | 97,846 |
1,477,404 | ||
Republic of Korea 0.2% | ||
Export-Import Bank of Korea | ||
4.38%, 09/15/21 | 300,000 | 326,383 |
5.00%, 04/11/22 | 200,000 | 225,501 |
2.88%, 01/21/25 | 750,000 | 725,491 |
Korea Development Bank | ||
4.00%, 09/09/16 | 500,000 | 516,672 |
3.00%, 03/17/19 | 500,000 | 515,179 |
2.25%, 05/18/20 | 500,000 | 497,361 |
2,806,587 | ||
Sweden 0.0% | ||
Svensk Exportkredit AB | ||
5.13%, 03/01/17 | 150,000 | 160,771 |
1.13%, 04/05/18 | 250,000 | 249,723 |
410,494 | ||
27,927,627 | ||
Foreign Local Government 0.3% | ||
Canada 0.3% | ||
Hydro-Quebec | ||
1.38%, 06/19/17 | 250,000 | 252,239 |
8.05%, 07/07/24 (h) | 160,000 | 219,131 |
Province of British Columbia | ||
2.00%, 10/23/22 | 200,000 | 196,230 |
Province of Manitoba | ||
1.13%, 06/01/18 | 250,000 | 249,425 |
Province of Nova Scotia | ||
5.13%, 01/26/17 | 500,000 | 533,096 |
Province of Ontario | ||
1.10%, 10/25/17 | 250,000 | 250,507 |
3.15%, 12/15/17 | 500,000 | 524,811 |
4.00%, 10/07/19 | 225,000 | 246,063 |
4.40%, 04/14/20 | 300,000 | 333,962 |
2.50%, 09/10/21 | 500,000 | 506,188 |
2.45%, 06/29/22 | 500,000 | 501,227 |
Province of Quebec | ||
5.13%, 11/14/16 | 250,000 | 264,963 |
2.75%, 08/25/21 | 500,000 | 512,395 |
7.50%, 09/15/29 | 168,000 | 243,680 |
4,833,917 | ||
Italy 0.0% | ||
Region of Lombardy Italy | ||
5.80%, 10/25/32 | 111,000 | 118,909 |
118,909 | ||
4,952,826 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Sovereign 1.6% | ||
Brazil 0.1% | ||
Brazilian Government International Bond | ||
6.00%, 01/17/17 | 500,000 | 535,000 |
4.88%, 01/22/21 | 100,000 | 104,750 |
2.63%, 01/05/23 | 500,000 | 445,000 |
4.25%, 01/07/25 | 250,000 | 241,687 |
8.25%, 01/20/34 | 150,000 | 186,750 |
7.13%, 01/20/37 | 100,000 | 113,500 |
5.63%, 01/07/41 | 400,000 | 384,000 |
5.00%, 01/27/45 | 250,000 | 217,500 |
2,228,187 | ||
Canada 0.0% | ||
Canada Government International Bond | ||
0.88%, 02/14/17 | 100,000 | 100,400 |
1.63%, 02/27/19 | 300,000 | 302,997 |
403,397 | ||
Chile 0.1% | ||
Chile Government International Bond | ||
2.25%, 10/30/22 | 300,000 | 290,250 |
3.13%, 03/27/25 | 650,000 | 651,625 |
3.63%, 10/30/42 | 100,000 | 90,125 |
1,032,000 | ||
Colombia 0.1% | ||
Colombia Government International Bond | ||
7.38%, 01/27/17 | 650,000 | 710,450 |
7.38%, 03/18/19 | 300,000 | 348,900 |
7.38%, 09/18/37 | 300,000 | 372,000 |
6.13%, 01/18/41 | 250,000 | 272,500 |
5.00%, 06/15/45 (b) | 350,000 | 325,500 |
2,029,350 | ||
Italy 0.1% | ||
Italy Government International Bond | ||
5.25%, 09/20/16 | 250,000 | 262,343 |
5.38%, 06/12/17 | 100,000 | 107,613 |
6.88%, 09/27/23 | 150,000 | 187,496 |
5.38%, 06/15/33 | 250,000 | 280,154 |
837,606 | ||
Mexico 0.3% | ||
Mexico Government International Bond | ||
5.63%, 01/15/17 | 1,000,000 | 1,068,000 |
3.50%, 01/21/21 | 150,000 | 153,375 |
3.63%, 03/15/22 | 900,000 | 913,050 |
8.00%, 09/24/22 | 100,000 | 129,000 |
4.00%, 10/02/23 | 350,000 | 360,500 |
6.05%, 01/11/40 | 300,000 | 342,000 |
4.75%, 03/08/44 | 800,000 | 764,000 |
5.55%, 01/21/45 | 600,000 | 640,500 |
4,370,425 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Panama 0.1% | ||
Panama Government International Bond | ||
5.20%, 01/30/20 | 600,000 | 662,700 |
4.00%, 09/22/24 (b) | 500,000 | 505,000 |
3.75%, 03/16/25 (b) | 750,000 | 742,500 |
6.70%, 01/26/36 | 200,000 | 248,000 |
2,158,200 | ||
Peru 0.0% | ||
Peruvian Government International Bond | ||
7.13%, 03/30/19 (h) | 250,000 | 291,500 |
7.35%, 07/21/25 | 300,000 | 392,250 |
683,750 | ||
Philippines 0.2% | ||
Philippine Government International Bond | ||
8.38%, 06/17/19 | 500,000 | 620,000 |
4.20%, 01/21/24 | 300,000 | 327,750 |
5.50%, 03/30/26 | 600,000 | 706,500 |
6.38%, 01/15/32 | 350,000 | 455,000 |
3.95%, 01/20/40 | 1,000,000 | 1,012,500 |
3,121,750 | ||
Poland 0.1% | ||
Poland Government International Bond | ||
6.38%, 07/15/19 | 400,000 | 463,200 |
3.00%, 03/17/23 | 300,000 | 295,290 |
758,490 | ||
Republic of Korea 0.1% | ||
Republic of Korea | ||
7.13%, 04/16/19 | 150,000 | 178,440 |
3.88%, 09/11/23 | 600,000 | 648,930 |
827,370 | ||
South Africa 0.0% | ||
South Africa Government International Bond | ||
6.88%, 05/27/19 | 100,000 | 114,250 |
4.67%, 01/17/24 | 600,000 | 616,500 |
730,750 | ||
Turkey 0.3% | ||
Turkey Government International Bond | ||
6.75%, 04/03/18 | 900,000 | 994,711 |
7.00%, 03/11/19 | 750,000 | 845,737 |
5.63%, 03/30/21 | 500,000 | 541,450 |
7.38%, 02/05/25 | 650,000 | 781,625 |
4.25%, 04/14/26 | 700,000 | 668,087 |
6.00%, 01/14/41 | 400,000 | 422,900 |
4.88%, 04/16/43 | 500,000 | 456,855 |
4,711,365 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Uruguay 0.1% | ||
Uruguay Government International Bond | ||
4.50%, 08/14/24 | 250,000 | 263,125 |
7.63%, 03/21/36 | 300,000 | 401,250 |
4.13%, 11/20/45 | 150,000 | 128,625 |
5.10%, 06/18/50 | 250,000 | 238,750 |
1,031,750 | ||
24,924,390 | ||
Supranational* 1.6% | ||
African Development Bank | ||
0.88%, 05/15/17 | 400,000 | 400,914 |
1.63%, 10/02/18 | 500,000 | 506,072 |
Asian Development Bank | ||
1.13%, 03/15/17 | 650,000 | 654,848 |
1.75%, 09/11/18 | 750,000 | 762,928 |
1.50%, 01/22/20 | 250,000 | 248,522 |
2.00%, 01/22/25 | 250,000 | 239,954 |
5.82%, 06/16/28 | 1,000,000 | 1,281,217 |
Corp. Andina de Fomento | ||
4.38%, 06/15/22 | 350,000 | 379,547 |
Council of Europe Development Bank | ||
1.00%, 03/07/18 | 500,000 | 498,883 |
1.63%, 03/10/20 | 500,000 | 497,948 |
European Bank for Reconstruction & Development | ||
1.00%, 02/16/17 | 1,000,000 | 1,006,830 |
1.75%, 06/14/19 | 500,000 | 503,315 |
European Investment Bank | ||
0.50%, 08/15/16 | 500,000 | 500,205 |
1.75%, 03/15/17 | 750,000 | 763,311 |
5.13%, 05/30/17 | 1,000,000 | 1,081,959 |
1.13%, 09/15/17 | 1,000,000 | 1,005,846 |
1.00%, 03/15/18 | 500,000 | 499,272 |
1.00%, 06/15/18 | 250,000 | 248,866 |
1.88%, 03/15/19 | 700,000 | 711,437 |
1.75%, 06/17/19 | 1,000,000 | 1,008,931 |
1.38%, 06/15/20 | 500,000 | 489,908 |
4.00%, 02/16/21 | 700,000 | 776,181 |
3.25%, 01/29/24 | 1,000,000 | 1,064,968 |
4.88%, 02/15/36 | 850,000 | 1,044,701 |
Inter-American Development Bank | ||
5.13%, 09/13/16 (h) | 500,000 | 527,636 |
0.88%, 11/15/16 | 1,500,000 | 1,506,453 |
1.13%, 03/15/17 | 500,000 | 503,903 |
1.75%, 08/24/18 | 250,000 | 254,261 |
3.88%, 02/14/20 | 200,000 | 219,768 |
3.88%, 10/28/41 | 100,000 | 107,093 |
3.20%, 08/07/42 | 100,000 | 93,587 |
4.38%, 01/24/44 | 150,000 | 174,233 |
International Bank for Reconstruction & Development | ||
1.00%, 09/15/16 | 250,000 | 251,591 |
0.88%, 04/17/17 | 600,000 | 602,131 |
1.88%, 03/15/19 | 1,750,000 | 1,782,826 |
1.88%, 10/07/19 | 500,000 | 506,629 |
2.25%, 06/24/21 | 750,000 | 765,903 |
2.50%, 11/25/24 | 250,000 | 250,789 |
4.75%, 02/15/35 | 350,000 | 420,906 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
International Finance Corp. | ||
1.13%, 11/23/16 | 350,000 | 351,987 |
2.13%, 11/17/17 (h) | 500,000 | 514,072 |
1.75%, 09/04/18 | 500,000 | 505,371 |
1.75%, 09/16/19 | 500,000 | 501,567 |
Nordic Investment Bank | ||
2.25%, 09/30/21 | 250,000 | 253,193 |
26,270,462 | ||
Total Foreign Government Securities | ||
(Cost $84,803,570) | 84,075,305 | |
Mortgage-Backed Securities 28.0% of net assets | ||
TBA Securities 8.8% | ||
Fannie Mae TBA | ||
2.00%, 08/01/30 (b)(g) | 1,500,000 | 1,472,293 |
2.50%, 08/01/30 (b)(g) | 4,800,000 | 4,848,397 |
3.00%, 08/01/30 to 07/01/45(b)(g) | 15,500,000 | 15,593,748 |
3.50%, 08/01/30 to 07/01/45(b)(g) | 17,800,000 | 18,396,049 |
4.00%, 07/01/45 (b)(g) | 14,500,000 | 15,363,598 |
4.50%, 07/01/45 (b)(g) | 4,500,000 | 4,865,625 |
5.00%, 07/01/45 (b)(g) | 500,000 | 552,422 |
5.50%, 07/01/45 (b)(g) | 500,000 | 561,641 |
Freddie Mac TBA | ||
2.00%, 08/01/30 (b)(g) | 800,000 | 785,225 |
2.50%, 08/01/30 (b)(g) | 3,700,000 | 3,734,977 |
3.00%, 08/01/30 to 07/01/45(b)(g) | 8,300,000 | 8,321,102 |
3.50%, 08/01/30 to 07/01/45(b)(g) | 11,600,000 | 11,971,319 |
4.00%, 07/01/45 (b)(g) | 7,500,000 | 7,931,982 |
4.50%, 07/01/45 (b)(g) | 3,500,000 | 3,780,055 |
5.00%, 07/01/45 (b)(g) | 1,000,000 | 1,101,250 |
Ginnie Mae TBA | ||
2.50%, 07/01/45 (b)(g) | 500,000 | 481,445 |
3.00%, 07/01/45 (b)(g) | 12,500,000 | 12,618,945 |
3.50%, 07/01/45 (b)(g) | 17,000,000 | 17,644,162 |
4.00%, 07/01/45 (b)(g) | 9,500,000 | 10,070,489 |
4.50%, 07/01/45 (b)(g) | 3,000,000 | 3,235,312 |
143,330,036 | ||
U.S. Government Agency Mortgages 19.2% | ||
Fannie Mae | ||
7.00%, 08/01/16 to 04/01/37(b) | 102,309 | 113,958 |
6.00%, 12/01/16 to 05/01/41(b) | 1,941,525 | 2,219,296 |
5.50%, 02/01/17 to 09/01/38(b)(h) | 2,621,870 | 2,944,462 |
5.00%, 02/01/18 to 09/01/39(b)(h) | 3,978,917 | 4,397,333 |
4.50%, 03/01/18 to 04/01/41(b)(h) | 2,560,455 | 2,774,051 |
4.50%, 05/01/18 to 01/01/44(b) | 13,107,355 | 14,227,082 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
4.00%, 06/01/18 to 01/01/45(b) | 24,582,287 | 26,171,446 |
3.50%, 10/01/18 to 07/01/45(b) | 28,954,133 | 30,050,882 |
5.50%, 12/01/18 to 08/01/41(b) | 3,668,390 | 4,149,236 |
6.50%, 05/01/19 to 10/01/39(b) | 1,389,303 | 1,598,456 |
5.00%, 07/01/23 to 08/01/41(b) | 6,066,928 | 6,726,850 |
4.00%, 04/01/24 to 08/01/44(b)(h) | 3,027,139 | 3,214,378 |
8.50%, 05/01/25 (b) | 3,556 | 4,088 |
3.00%, 12/01/25 to 09/01/43(b) | 30,211,378 | 30,616,992 |
2.50%, 10/01/27 to 02/01/43(b) | 8,279,590 | 8,382,361 |
2.00%, 02/01/28 to 09/01/28(b) | 246,589 | 245,139 |
6.00%, 07/01/35 to 10/01/39(b)(h) | 2,154,923 | 2,459,775 |
2.15%, 10/01/35 (a)(b)(h) | 224,603 | 236,399 |
1.98%, 05/01/38 (a)(b) | 220,698 | 234,916 |
2.34%, 04/01/40 (a)(b) | 69,361 | 73,608 |
2.43%, 05/01/40 (a)(b) | 57,006 | 61,062 |
3.50%, 10/01/40 to 04/01/42(b)(h) | 3,215,686 | 3,324,908 |
3.00%, 07/01/43 (b)(h) | 1,797,595 | 1,799,174 |
2.47%, 09/01/43 (a)(b) | 380,705 | 390,513 |
2.95%, 11/01/43 (a)(b) | 127,629 | 131,526 |
Freddie Mac | ||
7.50%, 09/01/16 (b) | 603 | 610 |
6.50%, 03/01/17 to 09/01/39(b) | 558,791 | 637,735 |
6.00%, 04/01/17 to 10/01/38(b) | 1,832,021 | 2,089,600 |
4.00%, 04/01/18 to 09/01/44(b) | 12,239,692 | 13,005,219 |
5.00%, 06/01/18 to 08/01/39(b)(h) | 2,701,065 | 2,974,251 |
5.50%, 11/01/18 to 08/01/40(b) | 3,019,283 | 3,393,779 |
4.50%, 05/01/19 to 04/01/44(b) | 8,606,752 | 9,331,616 |
5.00%, 10/01/20 to 12/01/43(b) | 3,646,613 | 4,032,310 |
4.50%, 07/01/23 to 07/01/39(b)(h) | 1,071,399 | 1,153,198 |
5.50%, 05/01/24 to 02/01/40(b)(h) | 1,382,703 | 1,547,366 |
3.00%, 12/01/25 to 05/01/45(b) | 15,443,214 | 15,648,026 |
3.50%, 02/01/26 to 03/01/45(b) | 16,256,073 | 16,816,098 |
2.50%, 07/01/27 to 07/01/43(b) | 5,667,987 | 5,742,218 |
2.00%, 10/01/27 to 04/01/28(b) | 195,659 | 194,692 |
6.00%, 09/01/32 to 10/01/37(b)(h) | 625,710 | 710,324 |
6.50%, 12/01/33 (b)(h) | 222,544 | 264,054 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
3.00%, 01/01/43 to 06/01/43(b)(h) | 3,497,519 | 3,487,979 |
4.00%, 05/01/44 (b)(h) | 2,689,726 | 2,846,121 |
Ginnie Mae | ||
5.00%, 11/15/17 to 12/20/44(b) | 7,349,977 | 8,155,674 |
6.50%, 05/15/24 to 01/15/35(b) | 162,732 | 190,436 |
4.00%, 04/20/26 to 01/20/45(b) | 14,870,312 | 15,839,642 |
5.50%, 04/20/26 to 07/20/38(b) | 2,807,088 | 3,199,573 |
3.50%, 05/20/26 to 06/20/45(b) | 16,523,324 | 17,218,415 |
3.00%, 01/20/27 to 06/20/45(b) | 11,923,593 | 12,144,639 |
2.50%, 03/20/27 to 07/20/43(b) | 1,126,916 | 1,144,819 |
2.00%, 07/20/28 (b) | 20,403 | 20,042 |
6.00%, 12/20/31 to 06/15/41(b) | 1,308,045 | 1,507,931 |
6.00%, 09/15/32 to 09/20/37(b)(h) | 583,849 | 669,844 |
5.50%, 04/15/33 (b)(h) | 337,627 | 389,146 |
5.00%, 05/15/33 to 07/20/39(b)(h) | 1,179,283 | 1,314,069 |
4.50%, 02/20/34 to 02/20/45(b) | 12,041,658 | 13,115,463 |
2.50%, 08/20/37 (a)(b)(h) | 24,091 | 24,910 |
3.00%, 10/20/37 to 07/20/42(a)(b) | 769,566 | 801,713 |
1.63%, 08/20/38 (a)(b) | 331,963 | 346,187 |
4.50%, 03/20/39 (b)(h) | 678,217 | 734,968 |
1.75%, 03/20/40 (a)(b) | 347,880 | 361,188 |
2.50%, 01/20/41 to 02/20/44(a)(b) | 738,084 | 764,702 |
2.00%, 01/20/43 to 09/20/43(a)(b) | 738,472 | 757,974 |
3.50%, 04/20/44 (a)(b) | 139,724 | 146,250 |
3.50%, 08/20/44 (b)(h) | 2,760,174 | 2,870,568 |
312,141,240 | ||
Total Mortgage-Backed Securities | ||
(Cost $452,429,022) | 455,471,276 | |
Municipal Bonds 1.0% of net assets | ||
Fixed-Rate Obligations 1.0% | ||
Bay Area Toll Authority | ||
RB (Build America Bonds) Series 2010S3 | ||
6.91%, 10/01/50 | 100,000 | 136,046 |
California | ||
GO (Build America Bonds) Series 2009 | ||
7.50%, 04/01/34 | 850,000 | 1,181,976 |
GO (Build America Bonds) Series 2010 | ||
7.95%, 03/01/36 (b) | 350,000 | 423,941 |
GO (Build America Bonds) Series 2009 | ||
7.55%, 04/01/39 | 900,000 | 1,301,913 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Commonwealth of Massachusetts | ||
GO (Build America Bonds) Series 2009 | ||
5.46%, 12/01/39 (h) | 100,000 | 122,387 |
Connecticut | ||
GO Bonds Series 2008A | ||
5.85%, 03/15/32 | 200,000 | 240,780 |
Dallas County Hospital District | ||
GO (Build America Bonds) Series C | ||
5.62%, 08/15/44 | 150,000 | 182,142 |
Dallas Independent School District | ||
GO (Build America Bonds) Series 2010C | ||
6.45%, 02/15/35 (b) | 350,000 | 409,294 |
Georgia | ||
GO (Build America Bonds) Series H | ||
4.50%, 11/01/25 | 1,300,000 | 1,421,238 |
Grand Parkway Transportation Corp. | ||
RB Series 2013E | ||
5.18%, 10/01/42 | 200,000 | 233,028 |
Harvard College | ||
Taxable Bonds Series 2013A | ||
3.62%, 10/01/37 | 350,000 | 334,525 |
Illinois | ||
GO Bonds (Pension Funding) Series 2003 | ||
4.95%, 06/01/23 | 550,000 | 556,605 |
GO Bonds (Pension Funding) Series 2003 | ||
5.10%, 06/01/33 | 650,000 | 606,417 |
JobsOhio Beverage System | ||
RB (Build America Bonds) Series B | ||
3.99%, 01/01/29 | 250,000 | 259,468 |
Los Angeles USD | ||
GO (Build America Bonds) Series 2010 | ||
6.76%, 07/01/34 (h) | 200,000 | 261,364 |
Metropolitan Government of Nashville & Davidson County | ||
GO (Build America Bonds) Series 2010 | ||
5.71%, 07/01/34 (h) | 20,000 | 23,784 |
Metropolitan Museum of Art | ||
Series 2015 | ||
3.40%, 07/01/45 | 500,000 | 438,467 |
Metropolitan Transportation Authority | ||
RB (Build America Bonds) Series E | ||
6.81%, 11/15/40 | 650,000 | 856,843 |
New Jersey Transportation Trust Fund Authority | ||
RB (Build America Bonds) Series 2010C | ||
5.75%, 12/15/28 | 150,000 | 157,755 |
New York City Municipal Water Finance Authority | ||
Water System RB (Build America Bonds) Series 2009 | ||
5.75%, 06/15/41 (h) | 200,000 | 247,018 |
Water System RB (Build America Bonds) Series 2011CC | ||
5.88%, 06/15/44 | 250,000 | 317,123 |
New York City Transitional Finance Authority | ||
RB (Qualified School Construction Bonds) Series 2010 G3 | ||
5.27%, 05/01/27 | 500,000 | 567,745 |
RB (Build America Bonds) Series 2011A1 | ||
5.51%, 08/01/37 | 200,000 | 239,152 |
New York State Dormitory Authority | ||
RB (Build America Bonds) Series 2009 H | ||
5.43%, 03/15/39 | 500,000 | 585,275 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Northwestern University | ||
3.69%, 12/01/38 | 500,000 | 480,879 |
Ochsner Clinic Foundation | ||
5.90%, 05/15/45 (b) | 500,000 | 515,551 |
Port Authority of New York & New Jersey | ||
Consolidated Bonds 174th Series | ||
4.46%, 10/01/62 | 150,000 | 147,762 |
San Diego County Regional Transportation Commission | ||
RB (Build America Bonds) Series 2010A | ||
5.91%, 04/01/48 | 300,000 | 379,545 |
San Francisco City & County Public Utilities Commission | ||
Water System RB (Build America Bonds) Series 2010DE | ||
6.00%, 11/01/40 | 430,000 | 524,131 |
Texas | ||
GO (Build America Bonds) Series 2010A | ||
4.63%, 04/01/33 | 500,000 | 548,905 |
GO Mobility Fund Bonds (Build America Bonds) Series 2009A | ||
5.52%, 04/01/39 | 750,000 | 935,002 |
GO (Build America Bonds) Series 2010A | ||
4.68%, 04/01/40 | 500,000 | 556,280 |
Texas Transportation Commission | ||
RB (Build America Bonds) Series B | ||
5.03%, 04/01/26 | 500,000 | 573,670 |
Total Municipal Bonds | ||
(Cost $16,042,504) | 15,766,011 | |
U.S. Government and Government Agencies 39.0% of net assets | ||
U.S. Government Agency Securities 3.2% | ||
Fannie Mae | ||
0.75%, 04/20/17 | 900,000 | 901,242 |
1.13%, 04/27/17 | 769,000 | 774,980 |
2.00%, 05/16/17 (b)(h) | 2,500,000 | 2,536,015 |
1.00%, 09/27/17 | 3,900,000 | 3,916,146 |
1.00%, 10/16/17 (b) | 150,000 | 149,994 |
0.88%, 02/08/18 | 350,000 | 349,228 |
0.88%, 05/21/18 | 1,250,000 | 1,242,872 |
1.13%, 05/25/18 (b) | 300,000 | 298,892 |
1.88%, 02/19/19 | 1,500,000 | 1,528,807 |
1.75%, 06/20/19 | 1,000,000 | 1,011,268 |
1.55%, 10/29/19 (b) | 950,000 | 942,652 |
1.75%, 11/26/19 | 2,500,000 | 2,514,720 |
1.63%, 01/10/20 (b) | 1,500,000 | 1,488,129 |
1.63%, 01/21/20 | 1,300,000 | 1,299,051 |
2.25%, 10/17/22 (b) | 300,000 | 292,105 |
2.63%, 09/06/24 | 1,000,000 | 1,001,604 |
7.13%, 01/15/30 (h) | 527,000 | 781,634 |
Federal Farm Credit Bank | ||
0.54%, 11/07/16 (b) | 500,000 | 500,091 |
Federal Home Loan Bank | ||
1.00%, 06/21/17 (h) | 5,285,000 | 5,314,173 |
1.25%, 06/23/17 (b) | 700,000 | 703,482 |
1.00%, 08/09/17 (b) | 400,000 | 400,040 |
1.00%, 11/09/17 (b) | 500,000 | 499,780 |
5.00%, 11/17/17 (h) | 1,185,000 | 1,300,485 |
2.13%, 03/10/23 | 250,000 | 244,069 |
2.88%, 06/14/24 | 375,000 | 380,291 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Freddie Mac | ||
0.88%, 10/14/16 | 900,000 | 905,217 |
0.88%, 02/22/17 (h) | 1,000,000 | 1,004,714 |
1.00%, 06/29/17 (b) | 900,000 | 900,369 |
1.00%, 07/28/17 | 619,000 | 622,074 |
1.00%, 09/29/17 | 2,850,000 | 2,857,664 |
0.88%, 03/07/18 (h) | 4,190,000 | 4,176,546 |
1.20%, 05/18/18 (b) | 1,100,000 | 1,100,064 |
1.62%, 11/21/19 (b) | 400,000 | 397,184 |
0.00%, 11/29/19 (i) | 700,000 | 638,933 |
1.38%, 05/01/20 | 3,000,000 | 2,958,744 |
2.38%, 01/13/22 (h) | 4,351,000 | 4,407,915 |
3.00%, 01/18/28 (b) | 200,000 | 193,032 |
6.75%, 03/15/31 (h) | 264,000 | 379,050 |
Tennessee Valley Authority | ||
6.75%, 11/01/25 | 488,000 | 652,618 |
51,565,874 | ||
U.S. Treasury Obligations 35.8% | ||
U.S. Treasury Bonds | ||
9.13%, 05/15/18 (h) | 2,331,000 | 2,873,503 |
8.00%, 11/15/21 (h) | 2,149,000 | 2,933,553 |
6.25%, 08/15/23 | 1,500,000 | 1,957,968 |
6.00%, 02/15/26 (h) | 891,000 | 1,196,863 |
6.75%, 08/15/26 | 1,324,000 | 1,889,183 |
6.13%, 11/15/27 | 2,388,000 | 3,312,791 |
5.25%, 11/15/28 | 2,000,000 | 2,607,500 |
5.25%, 02/15/29 | 1,528,000 | 1,994,398 |
6.13%, 08/15/29 | 2,000,000 | 2,830,624 |
6.25%, 05/15/30 | 3,985,000 | 5,751,475 |
4.75%, 02/15/37 | 1,086,000 | 1,407,473 |
4.38%, 02/15/38 (h) | 1,000,000 | 1,230,000 |
4.50%, 05/15/38 | 1,000,000 | 1,250,469 |
3.50%, 02/15/39 (h) | 2,072,000 | 2,234,198 |
4.25%, 05/15/39 | 650,000 | 784,570 |
4.50%, 08/15/39 | 2,850,000 | 3,568,066 |
4.38%, 11/15/39 (h) | 6,381,000 | 7,849,625 |
4.63%, 02/15/40 | 1,215,000 | 1,549,600 |
4.38%, 05/15/40 | 1,500,000 | 1,847,226 |
4.25%, 11/15/40 (h) | 1,409,000 | 1,705,330 |
4.75%, 02/15/41 | 500,000 | 651,367 |
4.38%, 05/15/41 | 1,000,000 | 1,236,094 |
3.75%, 08/15/41 | 1,623,000 | 1,822,705 |
3.13%, 02/15/42 (h) | 2,940,000 | 2,956,079 |
3.00%, 05/15/42 | 1,493,000 | 1,463,024 |
2.75%, 08/15/42 | 1,899,000 | 1,767,109 |
2.75%, 11/15/42 | 1,920,000 | 1,786,500 |
2.88%, 05/15/43 | 2,899,000 | 2,763,109 |
3.63%, 08/15/43 | 1,633,000 | 1,796,810 |
3.75%, 11/15/43 | 318,000 | 357,750 |
3.63%, 02/15/44 | 3,045,000 | 3,348,309 |
3.38%, 05/15/44 | 3,912,000 | 4,109,740 |
3.13%, 08/15/44 (h) | 6,000,000 | 6,010,782 |
3.00%, 11/15/44 (h) | 5,750,000 | 5,625,564 |
2.50%, 02/15/45 (h) | 8,000,000 | 7,042,320 |
3.00%, 05/15/45 | 4,300,000 | 4,214,671 |
U.S. Treasury Notes | ||
0.63%, 07/15/16 | 4,676,000 | 4,689,149 |
0.50%, 07/31/16 | 2,600,000 | 2,604,061 |
1.50%, 07/31/16 (h) | 6,000,000 | 6,073,596 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
3.25%, 07/31/16 (h) | 6,000,000 | 6,185,628 |
0.63%, 08/15/16 | 2,000,000 | 2,005,782 |
0.50%, 08/31/16 (h) | 6,300,000 | 6,309,349 |
1.00%, 08/31/16 | 1,088,000 | 1,095,905 |
3.00%, 08/31/16 | 2,500,000 | 2,576,368 |
0.88%, 09/15/16 | 3,750,000 | 3,771,971 |
0.50%, 09/30/16 (h) | 8,500,000 | 8,511,951 |
1.00%, 09/30/16 | 4,176,000 | 4,207,971 |
3.00%, 09/30/16 (h) | 1,690,000 | 1,744,793 |
0.63%, 10/15/16 (h) | 7,004,000 | 7,023,149 |
0.38%, 10/31/16 | 3,000,000 | 2,998,359 |
0.63%, 11/15/16 (h) | 6,083,000 | 6,099,156 |
0.50%, 11/30/16 | 2,250,000 | 2,251,582 |
0.63%, 12/15/16 | 3,000,000 | 3,006,681 |
0.63%, 12/31/16 | 2,750,000 | 2,756,017 |
0.88%, 12/31/16 | 2,176,000 | 2,188,921 |
0.75%, 01/15/17 | 1,633,000 | 1,639,251 |
0.50%, 01/31/17 (h) | 17,000,000 | 16,996,022 |
0.88%, 01/31/17 | 2,176,000 | 2,188,240 |
0.50%, 02/28/17 (h) | 8,500,000 | 8,495,350 |
0.88%, 02/28/17 (h) | 4,840,000 | 4,866,470 |
0.75%, 03/15/17 | 3,217,000 | 3,228,562 |
0.50%, 03/31/17 | 2,800,000 | 2,797,374 |
3.25%, 03/31/17 | 2,275,000 | 2,381,996 |
0.88%, 04/15/17 (h) | 4,686,000 | 4,711,262 |
0.50%, 04/30/17 (h) | 6,900,000 | 6,889,222 |
0.88%, 04/30/17 | 2,786,000 | 2,800,365 |
0.88%, 05/15/17 | 1,500,000 | 1,507,149 |
0.63%, 05/31/17 | 4,249,000 | 4,248,669 |
0.75%, 06/30/17 | 1,510,000 | 1,513,067 |
0.88%, 07/15/17 | 4,500,000 | 4,518,985 |
0.50%, 07/31/17 | 3,000,000 | 2,989,686 |
2.38%, 07/31/17 | 3,000,000 | 3,104,532 |
0.88%, 08/15/17 | 2,500,000 | 2,509,180 |
0.63%, 08/31/17 (h) | 3,360,000 | 3,354,486 |
1.88%, 08/31/17 (h) | 3,337,600 | 3,421,561 |
1.00%, 09/15/17 (h) | 6,750,000 | 6,789,548 |
0.63%, 09/30/17 | 2,000,000 | 1,994,218 |
1.88%, 09/30/17 (h) | 2,012,000 | 2,063,087 |
0.88%, 10/15/17 | 4,000,000 | 4,009,376 |
0.75%, 10/31/17 (h) | 7,601,000 | 7,595,064 |
1.88%, 10/31/17 (h) | 1,745,000 | 1,789,443 |
0.88%, 11/15/17 | 800,000 | 801,562 |
0.63%, 11/30/17 | 4,000,000 | 3,983,124 |
1.00%, 12/15/17 (h) | 9,750,000 | 9,792,656 |
0.75%, 12/31/17 | 2,747,000 | 2,741,421 |
0.88%, 01/31/18 | 4,000,000 | 4,001,248 |
1.00%, 02/15/18 | 2,750,000 | 2,758,379 |
0.75%, 02/28/18 | 4,066,000 | 4,050,118 |
1.00%, 03/15/18 (h) | 5,500,000 | 5,513,321 |
2.88%, 03/31/18 (h) | 1,991,000 | 2,095,993 |
0.63%, 04/30/18 (h) | 4,957,000 | 4,912,853 |
2.63%, 04/30/18 (h) | 3,107,000 | 3,253,125 |
1.00%, 05/15/18 | 1,750,000 | 1,752,051 |
1.00%, 05/31/18 | 3,000,000 | 3,001,173 |
2.38%, 05/31/18 | 2,000,000 | 2,080,624 |
1.13%, 06/15/18 | 5,000,000 | 5,019,140 |
1.38%, 06/30/18 | 1,619,000 | 1,636,709 |
2.38%, 06/30/18 | 2,500,000 | 2,600,390 |
1.50%, 08/31/18 | 1,088,000 | 1,102,280 |
1.38%, 09/30/18 | 4,191,000 | 4,226,033 |
1.25%, 10/31/18 | 2,729,000 | 2,738,595 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.25%, 11/30/18 | 1,633,000 | 1,637,210 |
1.50%, 12/31/18 | 2,176,000 | 2,197,590 |
1.25%, 01/31/19 | 2,122,000 | 2,122,830 |
1.50%, 01/31/19 | 2,176,000 | 2,196,061 |
1.38%, 02/28/19 | 1,604,000 | 1,609,765 |
1.50%, 02/28/19 | 1,337,000 | 1,348,386 |
1.50%, 03/31/19 | 2,500,000 | 2,519,335 |
1.63%, 03/31/19 | 4,020,000 | 4,068,365 |
1.25%, 04/30/19 | 1,823,000 | 1,819,011 |
1.63%, 04/30/19 | 1,520,000 | 1,537,100 |
3.13%, 05/15/19 | 1,000,000 | 1,067,188 |
1.13%, 05/31/19 | 1,520,000 | 1,507,769 |
1.50%, 05/31/19 | 2,913,000 | 2,929,386 |
1.00%, 06/30/19 | 1,000,000 | 985,781 |
1.63%, 06/30/19 | 3,040,000 | 3,068,974 |
0.88%, 07/31/19 (h) | 4,201,000 | 4,114,354 |
1.63%, 07/31/19 | 1,700,000 | 1,714,610 |
1.00%, 08/31/19 | 700,000 | 687,914 |
1.63%, 08/31/19 (h) | 7,250,000 | 7,308,906 |
1.75%, 09/30/19 (h) | 7,425,000 | 7,514,909 |
1.25%, 10/31/19 | 1,000,000 | 991,094 |
1.50%, 10/31/19 | 3,250,000 | 3,252,031 |
3.38%, 11/15/19 (h) | 3,110,700 | 3,358,585 |
1.00%, 11/30/19 | 1,483,000 | 1,450,675 |
1.50%, 11/30/19 (h) | 8,175,000 | 8,176,913 |
1.63%, 12/31/19 (h) | 9,250,000 | 9,289,026 |
1.25%, 01/31/20 (h) | 6,000,000 | 5,919,846 |
1.38%, 01/31/20 (h) | 2,832,000 | 2,810,097 |
1.38%, 02/29/20 (h) | 6,500,000 | 6,444,139 |
1.13%, 03/31/20 | 2,384,000 | 2,332,408 |
1.38%, 03/31/20 | 4,250,000 | 4,208,494 |
3.50%, 05/15/20 | 4,000,000 | 4,350,624 |
1.50%, 05/31/20 | 4,000,000 | 3,978,436 |
1.63%, 06/30/20 | 3,000,000 | 3,000,000 |
1.88%, 06/30/20 | 1,346,000 | 1,361,669 |
2.63%, 08/15/20 (h) | 1,776,000 | 1,857,307 |
1.75%, 10/31/20 | 1,500,000 | 1,500,821 |
2.63%, 11/15/20 (h) | 2,608,000 | 2,724,137 |
2.00%, 11/30/20 | 1,500,000 | 1,518,867 |
2.38%, 12/31/20 | 4,091,000 | 4,217,567 |
2.13%, 01/31/21 | 1,500,000 | 1,524,962 |
3.63%, 02/15/21 (h) | 3,003,000 | 3,294,856 |
2.00%, 02/28/21 | 1,965,000 | 1,982,654 |
2.25%, 03/31/21 | 1,576,000 | 1,610,106 |
2.25%, 04/30/21 | 2,786,000 | 2,844,551 |
3.13%, 05/15/21 | 2,000,000 | 2,139,376 |
2.00%, 05/31/21 | 2,534,000 | 2,550,233 |
2.13%, 06/30/21 | 1,512,000 | 1,530,900 |
2.25%, 07/31/21 | 3,000,000 | 3,056,952 |
2.13%, 08/15/21 | 2,171,900 | 2,196,503 |
2.00%, 08/31/21 | 3,000,000 | 3,010,077 |
2.13%, 09/30/21 | 2,750,000 | 2,777,715 |
2.00%, 10/31/21 | 3,000,000 | 3,005,625 |
2.00%, 11/15/21 (h) | 4,800,000 | 4,809,000 |
1.88%, 11/30/21 (h) | 12,500,000 | 12,419,925 |
1.50%, 01/31/22 (h) | 6,300,000 | 6,099,679 |
1.75%, 02/28/22 | 1,000,000 | 982,656 |
1.75%, 03/31/22 (h) | 8,300,000 | 8,150,210 |
1.75%, 04/30/22 | 1,000,000 | 981,328 |
1.88%, 05/31/22 | 2,000,000 | 1,977,968 |
1.63%, 08/15/22 | 1,961,000 | 1,901,097 |
1.63%, 11/15/22 | 2,177,000 | 2,104,547 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
2.00%, 02/15/23 | 1,594,000 | 1,576,691 |
1.75%, 05/15/23 | 1,500,000 | 1,451,016 |
2.50%, 08/15/23 | 2,176,000 | 2,223,091 |
2.75%, 11/15/23 | 2,046,000 | 2,127,040 |
2.75%, 02/15/24 | 1,119,000 | 1,161,836 |
2.50%, 05/15/24 | 3,890,000 | 3,956,861 |
2.38%, 08/15/24 | 3,000,000 | 3,016,407 |
2.25%, 11/15/24 (h) | 8,500,000 | 8,448,864 |
2.00%, 02/15/25 (h) | 4,700,000 | 4,566,713 |
2.13%, 05/15/25 | 8,212,400 | 8,064,191 |
582,531,507 | ||
Total U.S. Government and Government Agencies | ||
(Cost $634,020,656) | 634,097,381 | |
Security | Number of Shares | Value ($) |
Other Investment Company 0.2% of net assets | ||
Money Market Fund 0.2% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.00% (e) | 3,341,702 | 3,341,702 |
Total Other Investment Company | ||
(Cost $3,341,702) | 3,341,702 | |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Short-Term Investments 9.5% of net assets | ||
U.S. Government Agency Securities 9.5% | ||
Federal Home Loan Bank | ||
0.04%, 07/06/15 (f) | 11,800,000 | 11,799,988 |
0.04%, 07/08/15 (f) | 25,100,000 | 25,099,950 |
0.04%, 07/10/15 (f) | 35,000,000 | 34,999,895 |
0.04%, 07/15/15 (f) | 33,500,000 | 33,499,866 |
0.01%, 07/17/15 (f) | 15,000,000 | 14,999,940 |
0.04%, 07/22/15 (f) | 8,000,000 | 7,999,952 |
0.04%, 07/24/15 (f) | 10,900,000 | 10,899,935 |
0.04%, 08/07/15 (f) | 15,000,000 | 14,999,535 |
Total Short-Term Investments | ||
(Cost $154,297,885) | 154,299,061 |
At 06/30/15, the tax basis cost of the fund's investments was $1,775,260,104 and the unrealized appreciation and depreciation were $10,256,405 and ($13,977,595), respectively, with a net unrealized depreciation of ($3,721,190).
* | Supranational bonds represent the debt of international organizations or institutions such as the World Bank, the International Monetary Fund, regional multilateral development banks and others. |
(a) | Variable-rate security. |
(b) | The effective maturity may be shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or as the result of embedded demand features (puts or calls). |
(c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $9,548,991 or 0.6% of net assets. |
(d) | Guaranteed by the Republic of Germany. |
(e) | The rate shown is the 7-day yield. |
(f) | The rate shown is the purchase yield. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | All or a portion of this security is held as collateral for delayed-delivery securities. |
(i) | Zero Coupon Bond. |
GO — | General obligation |
RB — | Revenue bond |
REIT — | Real Estate Investment Trust |
USD — | Unified school district |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||
Asset-Backed Obligations | $— | $9,156,008 | $— | $9,156,008 | |||||
Commercial Mortgage-Backed Securities | — | 31,673,055 | — | 31,673,055 | |||||
Corporate Bonds1 | — | 383,659,115 | — | 383,659,115 | |||||
Foreign Government Securities1 | — | 84,075,305 | — | 84,075,305 | |||||
Mortgage-Backed Securities1 | — | 455,471,276 | — | 455,471,276 | |||||
Municipal Bonds1 | — | 15,766,011 | — | 15,766,011 | |||||
U.S. Government and Government Agencies1 | — | 634,097,381 | — | 634,097,381 | |||||
Other Investment Company1 | 3,341,702 | — | — | 3,341,702 | |||||
Short-Term Investments1 | — | 154,299,061 | — | 154,299,061 | |||||
Total | $3,341,702 | $1,768,197,212 | $— | $1,771,538,914 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $1,774,939,619) | $1,771,538,914 | |
Receivables: | ||
Investments sold | 21,369,965 | |
Interest | 9,007,654 | |
Foreign tax reclaims | + | 3,536 |
Total assets | 1,801,920,069 | |
Liabilities | ||
Payables: | ||
Investments bought | 30,899,295 | |
Investments bought - Delayed delivery | 146,699,472 | |
Investment adviser fees | 15,513 | |
Accrued expenses | + | 1,546 |
Total liabilities | 177,615,826 | |
Net Assets | ||
Total assets | 1,801,920,069 | |
Total liabilities | – | 177,615,826 |
Net assets | $1,624,304,243 | |
Net Assets by Source | ||
Capital received from investors | 1,631,193,297 | |
Net investment income not yet distributed | 1,089,625 | |
Net realized capital losses | (4,577,974) | |
Net unrealized capital depreciation | (3,400,705) |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$1,624,304,243 | 31,400,000 | $51.73 | ||
Investment Income | ||
Interest | $14,069,716 * | |
Expenses | ||
Investment adviser fees | 365,370 | |
Interest expense | + | 20,579* |
Total expenses | – | 385,949 |
Net investment income | 13,683,767 | |
Realized and Unrealized Gains (Losses) | ||
Net realized losses on investments | (466,829) | |
Net realized gains on TBA sale commitments | + | 1,094 |
Net realized losses | (465,735) | |
Net change in unrealized appreciation (depreciation) on investments | + | (19,013,322) |
Net realized and unrealized losses | (19,479,057) | |
Decrease in net assets resulting from operations | ($5,795,290) |
* | Includes $16,627 in interest income and $20,579 in interest expense related to charges on Agency Mortgage-Backed Securities not received or delivered on a timely basis (see financial note 2f). |
Operations | |||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||
Net investment income | $13,683,767 | $15,184,549 | |
Net realized gains (losses) | (465,735) | 1,955,285 | |
Net change in unrealized appreciation (depreciation) | + | (19,013,322) | 24,872,888 |
Increase (Decrease) in net assets resulting from operations | (5,795,290) | 42,012,722 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($12,618,820) | ($16,685,260) |
Transactions in Fund Shares | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 7,900,000 | $415,940,359 | 13,700,000 | $708,774,842 | |
Shares redeemed | + | — | — | (100,000) | (5,125,035) |
Net transactions in fund shares | 7,900,000 | $415,940,359 | 13,600,000 | $703,649,807 | |
Shares Outstanding and Net Assets | |||||
1/1/15-6/30/15 | 1/1/14-12/31/14 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 23,500,000 | $1,226,777,994 | 9,900,000 | $497,800,725 | |
Total increase | + | 7,900,000 | 397,526,249 | 13,600,000 | 728,977,269 |
End of period | 31,400,000 | $1,624,304,243 | 23,500,000 | $1,226,777,994 | |
Net investment income not yet distributed | $1,089,625 | $24,678 |
Schwab Strategic Trust (organized January 27, 2009) | Schwab U.S. Dividend Equity ETF |
Schwab U.S. TIPS ETF | Schwab International Equity ETF |
Schwab Short-Term U.S. Treasury ETF | Schwab International Small-Cap Equity ETF |
Schwab Intermediate-Term U.S. Treasury ETF | Schwab Emerging Markets Equity ETF |
Schwab U.S. Aggregate Bond ETF | Schwab U.S. REIT ETF |
Schwab U.S. Broad Market ETF | Schwab Fundamental U.S. Broad Market Index ETF |
Schwab U.S. Large-Cap ETF | Schwab Fundamental U.S. Large Company Index ETF |
Schwab U.S. Large-Cap Growth ETF | Schwab Fundamental U.S. Small Company Index ETF |
Schwab U.S. Large-Cap Value ETF | Schwab Fundamental International Large Company Index ETF |
Schwab U.S. Mid-Cap ETF | Schwab Fundamental International Small Company Index ETF |
Schwab U.S. Small-Cap ETF | Schwab Fundamental Emerging Markets Large Company Index ETF |
Schwab U.S. TIPS ETF | Schwab Short-Term U.S. Treasury ETF | Schwab Intermediate-Term U.S. Treasury ETF | Schwab U.S. Aggregate Bond ETF | |||
0.07% | 0.08% | 0.09% | 0.05% |
Underlying Funds | ||||
Schwab U.S. TIPS ETF | Schwab Intermediate-Term U.S. Treasury ETF | |||
Schwab VIT Balanced Portfolio | 0.1% | 1.6% | ||
Schwab VIT Balanced with Growth Portfolio | 0.3% | 2.8% | ||
Schwab VIT Growth Portfolio | 0.1% | 1.6% |
Purchases of Long-Term U.S. Government Securities | Purchases of Other Long-Term Securities | Total Purchases of Long-Term Securities | |||
Schwab U.S. TIPS ETF | $74,343,438 | $— | $74,343,438 | ||
Schwab Short-Term U.S. Treasury ETF | 249,715,785 | — | 249,715,785 | ||
Schwab Intermediate-Term U.S. Treasury ETF | 62,183,516 | — | 62,183,516 | ||
Schwab U.S. Aggregate Bond ETF | 1,088,606,208 | 205,729,562 | 1,294,335,770 | ||
Sales/Maturities of Long-Term U.S. Government Securities | Sales/Maturities of Other Long-Term Securities | Total Sales/Maturities of Long-Term Securities | |||
Schwab U.S. TIPS ETF | $70,331,681 | $— | $70,331,681 | ||
Schwab Short-Term U.S. Treasury ETF | 225,159,635 | — | 225,159,635 | ||
Schwab Intermediate-Term U.S. Treasury ETF | 41,348,975 | — | 41,348,975 | ||
Schwab U.S. Aggregate Bond ETF | 787,145,744 | 1,217,151,864 | 2,004,297,608 |
In-Kind Purchases of Securities | In-Kind Sales of Securities | ||
Schwab U.S. TIPS ETF | $184,383,388 | $5,420,805 | |
Schwab Short-Term U.S. Treasury ETF | 178,355,069 | 59,042,270 | |
Schwab Intermediate-Term U.S. Treasury ETF | 82,406,882 | 15,858,335 | |
Schwab U.S. Aggregate Bond ETF | — | — |
Expiration Date | Schwab U.S. TIPS ETF | Schwab Short-Term U.S. Treasury ETF | Schwab Intermediate-Term U.S. Treasury ETF | Schwab U.S. Aggregate Bond ETF | ||||
December 31, 2018 | $39 | $366 | $2,072 | $— | ||||
No expiration* | 6,384,434 | 195,800 | 1,981,300 | 4,018,864 | ||||
Total | $6,384,473 | $196,166 | $1,983,372 | $4,018,864 |
* | As a result of the passage of the Regulated Investment Company Modernization Act of 2010, capital losses incurred after December 31, 2010 may now be carried forward indefinitely, but must retain the character of the original loss. However, such losses must be utilized prior to the pre-enactment capital losses, which may increase the likelihood that the pre-enactment capital losses may expire unused. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital loss, irrespective of the character of the original loss. |
Schwab U.S. TIPS ETF | Schwab Short-Term U.S. Treasury ETF | Schwab Intermediate-Term U.S. Treasury ETF | Schwab U.S. Aggregate Bond ETF | ||||
Deferred capital losses | $— | $75,206 | $365,916 | $— |
Independent Trustees | |||
Name, Year of Birth, and Position(s) with the trust; (Terms of office, and length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships |
Robert W. Burns 1959 Trustee (Trustee since 2009) | Retired/Private Investor (January 2009 – present); Formerly, Managing Director, Pacific Investment Management Company, LLC (PIMCO) and President, PIMCO Funds. | 21 | Director, PS Business Parks, Inc. (2005 – 2012). |
Stephen Timothy Kochis 1946 Trustee (Trustee since 2012) | CEO and Owner, Kochis Global (wealth management consulting) (May 2012 – present); Chairman and CEO, Aspiriant, LLC (wealth management) (January 2008 – April 2012). | 21 | None |
Charles A. Ruffel 1956 Trustee (Trustee since 2009) | Managing Partner and Co-Founder, Kudu Advisors, LLC (financial services) (May 2009 – present); Director, Asset International, Inc. (publisher of financial services information) (Jan. 2009 – Nov. 2014). | 95 | None |
Interested Trustees | |||
Name, Year of Birth, and Position(s) with the trust; (Terms of office, and length of Time Served) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships |
Walter W. Bettinger II2 1960 Chairman and Trustee (Chairman and Trustee since 2009) | Director, President and Chief Executive Officer, The Charles Schwab Corporation and Charles Schwab & Co., Inc. (2008 – present); Director, Charles Schwab Bank (2006 – present); and Director, Schwab Holdings, Inc. (2008 – present). | 95 | Director, The Charles Schwab Corporation (2008 – present) |
Officers of the Trust | |
Name, Year of Birth, and Position(s) with the trust; (Terms of office, and length of Time Served3) | Principal Occupations During the Past Five Years |
Marie Chandoha 1961 President and Chief Executive Officer (Officer since 2010) | Director, President and Chief Executive Officer (Dec. 2010 – present), Chief Investment Officer (Sept. 2010 – Oct. 2011), Charles Schwab Investment Management, Inc.; President, Chief Executive Officer (Dec. 2010 – present), and Chief Investment Officer (Sept. 2010 – Oct. 2011), Schwab Funds, Laudus Funds and Schwab ETFs; Director, Charles Schwab Worldwide Funds plc and Charles Schwab Asset Management (Ireland) Limited (January 2011 – present); Global Head of Fixed Income Business Division, BlackRock, Inc. (formerly Barclays Global Investors) (March 2007 – August 2010). |
Officers of the Trust (continued) | |
Name, Year of Birth, and Position(s) with the trust; (Terms of office, and length of Time Served3) | Principal Occupations During the Past Five Years |
George Pereira 1964 Treasurer and Principal Financial Officer (Officer since 2009) | Senior Vice President and Chief Financial Officer (Nov. 2004 – present), Chief Operating Officer (Jan. 2011 – present), Charles Schwab Investment Management, Inc.; Treasurer and Chief Financial Officer, Laudus Funds (June 2006 – present); Treasurer and Principal Financial Officer, Schwab Funds (Nov. 2004 – present) and Schwab ETFs (Oct. 2009 – present); Director, Charles Schwab Worldwide Funds plc and Charles Schwab Asset Management (Ireland) Limited (April 2005 – present). |
Omar Aguilar 1970 Senior Vice President and Chief Investment Officer – Equities (Officer since 2011) | Senior Vice President and Chief Investment Officer – Equities, Charles Schwab Investment Management, Inc. (April 2011 – present); Senior Vice President and Chief Investment Officer – Equities, Schwab Funds, Laudus Funds and Schwab ETFs (June 2011 – present); Head of the Portfolio Management Group and Vice President of Portfolio Management, Financial Engines, Inc. (May 2009 – April 2011); Head of Quantitative Equity, ING Investment Management (July 2004 – Jan. 2009). |
Brett Wander 1961 Senior Vice President and Chief Investment Officer – Fixed Income (Officer since 2011) | Senior Vice President and Chief Investment Officer – Fixed Income, Charles Schwab Investment Management, Inc. (April 2011 – present); Senior Vice President and Chief Investment Officer – Fixed Income, Schwab Funds, Laudus Funds and Schwab ETFs (June 2011 – present); Senior Managing Director, Global Head of Active Fixed-Income Strategies, State Street Global Advisors (Jan. 2008 – Oct. 2010); Director of Alpha Strategies Loomis, Sayles & Company (April 2006 – Jan. 2008). |
David Lekich 1964 Chief Legal Officer and Secretary (Officer since 2011) | Senior Vice President (Sept. 2011 – present), Vice President (March 2004 – Sept. 2011), Charles Schwab & Co., Inc.; Senior Vice President and Chief Counsel (Sept. 2011 – present), Vice President (Jan. 2011 – Sept. 2011), Charles Schwab Investment Management, Inc.; Secretary (April 2011 – present) and Chief Legal Officer (Dec. 2011 – present), Schwab Funds; Vice President and Assistant Clerk, Laudus Funds (April 2011 – present); Secretary (May 2011 – present) and Chief Legal Officer (Nov. 2011 – present), Schwab ETFs. |
Catherine MacGregor 1964 Vice President and Assistant Secretary (Officer since 2009) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc. (July 2005 – present); Vice President (Dec. 2005 – present), Chief Legal Officer and Clerk (March 2007 – present), Laudus Funds; Vice President (Nov. 2005 – present) and Assistant Secretary (June 2007 – present), Schwab Funds; Vice President and Assistant Secretary, Schwab ETFs (Oct. 2009 – present). |
1 | Each Trustee shall hold office until the election and qualification of his or her successor, or until he or she dies, resigns or is removed. The Schwab ETF’s retirement policy requires that independent trustees retire by December 31 of the year in which the Trustee turns 72 or the Trustee’s twentieth year of service as an independent trustee, whichever comes first. |
2 | Mr. Bettinger is an Interested Trustee because he owns stock of The Charles Schwab Corporation, the parent company of the investment adviser. |
3 | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board. |
Schwab U.S. Large-Cap ETF™
Schwab U.S. Large-Cap Growth ETF™
Schwab U.S. Large-Cap Value ETF™
Schwab U.S. Mid-Cap ETF™
Schwab U.S. Small-Cap ETF™
Schwab U.S. Dividend Equity ETF™
Schwab U.S. REIT ETF™
Schwab International Small-Cap Equity ETF™
Schwab Emerging Markets Equity ETF™
Schwab Short-Term U.S. Treasury ETF™
Schwab Intermediate-Term U.S. Treasury ETF™
Schwab U.S. TIPS ETF™
Schwab Fundamental U.S. Large Company Index ETF
Schwab Fundamental U.S. Small Company Index ETF
Schwab Fundamental International Large Company Index ETF
Schwab Fundamental International Small Company Index ETF
Schwab Fundamental Emerging Markets Large Company Index ETF
* | FUNDAMENTAL INDEX is a registered trademark of Research Affiliates LLC. |
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Table of Contents
Item 2: Code of Ethics.
Not applicable to this semi-annual report.
Item 3: Audit Committee Financial Expert.
Not applicable to this semi-annual report.
Item 4: Principal Accountant Fees and Services.
Not applicable to this semi-annual report.
Item 5: Audit Committee of Listed Registrants.
Not applicable to this semi-annual report.
Item 6: Schedule of Investments.
The schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Table of Contents
Item 11: Controls and Procedures.
(a) | Based on their evaluation of Registrant’s disclosure controls and procedures, as of a date within 90 days of the filing date, Registrant’s Chief Executive Officer, Marie Chandoha and Registrant’s Principal Financial Officer, George Pereira, have concluded that Registrant’s disclosure controls and procedures are: (i) reasonably designed to ensure that information required to be disclosed in this report is appropriately communicated to Registrant’s officers to allow timely decisions regarding disclosures required in this report; (ii) reasonably designed to ensure that information required to be disclosed in this report is recorded, processed, summarized and reported in a timely manner; and (iii) are effective in achieving the goals described in (i) and (ii) above. |
(b) | During the second fiscal quarter of the period covered by this report, there have been no changes in Registrant’s internal control over financial reporting that the above officers believe to have materially affected, or to be reasonably likely to materially affect, Registrant’s internal control over financial reporting. |
Item 12: Exhibits.
(a) | (1) | Code of ethics – not applicable to this semi-annual report. | ||
(2) | Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached. | |||
(3) | Not applicable. | |||
(b) | A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. section 1350 and is not being filed as part of the Form N-CSRS with the Commission. |
Table of Contents
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Schwab Strategic Trust- Fixed Income ETFs
By: | /s/ Marie Chandoha | |
Marie Chandoha | ||
Chief Executive Officer | ||
Date: | August 11, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Marie Chandoha | |
Marie Chandoha | ||
Chief Executive Officer | ||
Date: | August 11, 2015 | |
By: | /s/ George Pereira | |
George Pereira | ||
Principal Financial Officer | ||
Date: | August 11, 2015 |