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, 2016
Item 1: Report(s) to Shareholders.
Table of Contents
U.S. Treasury ETF™
U.S. Treasury ETF™
Bond ETF™
![](https://capedge.com/proxy/N-CSRS/0001193125-16-699697/g42240xyschetf.jpg)
U.S. Treasury ETF™
U.S. Treasury ETF™
Bond ETF™
![](https://capedge.com/proxy/N-CSRS/0001193125-16-699697/g42240schwabetf.jpg)
2 | |
3 | |
5 | |
6 | |
Performance and Fund Facts | |
7 | |
8 | |
9 | |
10 | |
11 | |
Financial Statements and Portfolio Holdings | |
12 | |
18 | |
24 | |
30 | |
60 | |
69 | |
71 | |
75 |
Total Returns for the 6 Months Ended June 30, 2016 | |
Schwab U.S. TIPS ETF (Ticker Symbol: SCHP) | |
Market Price Return1 | 6.31% |
NAV Return1 | 6.17% |
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | 6.24% |
ETF Category: Morningstar Inflation-Protected Bond2 | 5.34% |
Performance Details | page 7 |
Schwab Short-Term U.S. Treasury ETF (Ticker Symbol: SCHO) | |
Market Price Return1 | 1.38% |
NAV Return1 | 1.38% |
Barclays U.S. 1-3 Year Treasury Bond Index | 1.44% |
ETF Category: Morningstar Short Government2 | 1.03% |
Performance Details | page 8 |
Schwab Intermediate-Term U.S. Treasury ETF (Ticker Symbol: SCHR) | |
Market Price Return1 | 5.07% |
NAV Return1 | 5.10% |
Barclays U.S. 3-10 Year Treasury Bond Index | 5.15% |
ETF Category: Morningstar Intermediate Government2 | 3.96% |
Performance Details | page 9 |
Schwab U.S. Aggregate Bond ETF (Ticker Symbol: SCHZ) | |
Market Price Return1 | 5.24% |
NAV Return1 | 5.29% |
Barclays U.S. Aggregate Bond Index | 5.31% |
ETF Category: Morningstar Intermediate-Term Bond2 | 5.08% |
Performance Details | page 10 |
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/0001193125-16-699697/g42240pchandom.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. |
![](https://capedge.com/proxy/N-CSRS/0001193125-16-699697/g42240schandom.jpg)
![]() | Matthew Hastings, CFA, Vice President and Head of Taxable Bond Strategies, leads the portfolio management team for Schwab Fixed Income ETFs and Schwab’s taxable bond funds. 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. |
![]() | Steven Hung, Managing Director and Senior Portfolio Manager, is responsible for the day-to-day co-management of the Schwab U.S. Aggregate Bond ETF. 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 the Schwab U.S. Aggregate Bond ETF. 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 | 5 Years | Since Inception* |
Fund: Schwab U.S. TIPS ETF (8/5/10) | ||||
Market Price Return2 | 6.31% | 4.48% | 2.55% | 3.38% |
NAV Return2 | 6.17% | 4.27% | 2.54% | 3.36% |
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | 6.24% | 4.35% | 2.63% | 3.47% |
ETF Category: Morningstar Inflation-Protected Bond3 | 5.34% | 3.60% | 2.42% | 3.08% |
By Security Type5 | |
U.S. Government Obligations | 99.7% |
Short-Term Investments & Other Assets6 | 0.3% |
Weighted Average Maturity7 | 8.7 Yrs |
Weighted Average Duration7 | 8.0 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 | Includes 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 | 5 Years | Since Inception* |
Fund: Schwab Short-Term U.S. Treasury ETF (8/5/10) | ||||
Market Price Return2 | 1.38% | 1.25% | 0.72% | 0.78% |
NAV Return2 | 1.38% | 1.19% | 0.72% | 0.78% |
Barclays U.S. 1-3 Year Treasury Bond Index | 1.44% | 1.31% | 0.82% | 0.89% |
ETF Category: Morningstar Short Government3 | 1.03% | 0.93% | 0.58% | 1.02% |
By Security Type5 | |
U.S. Government Obligations | 99.6% |
Short-Term Investments & Other Assets6 | 0.4% |
Weighted Average Maturity7 | 2.0 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 | Includes 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 | 5 Years | Since Inception* |
Fund: Schwab Intermediate-Term U.S. Treasury ETF (8/5/10) | ||||
Market Price Return2 | 5.07% | 6.02% | 3.46% | 3.35% |
NAV Return2 | 5.10% | 5.86% | 3.44% | 3.33% |
Barclays U.S. 3-10 Year Treasury Bond Index | 5.15% | 5.95% | 3.55% | 3.45% |
ETF Category: Morningstar Intermediate Government3 | 3.96% | 4.61% | 2.86% | 3.02% |
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 | 5.3 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 | Includes 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 | 5.24% | 6.07% | 4.19% | 3.47% |
NAV Return2 | 5.29% | 5.93% | 4.05% | 3.44% |
Barclays U.S. Aggregate Bond Index | 5.31% | 6.00% | 4.06% | 3.55% |
ETF Category: Morningstar Intermediate-Term Bond3 | 5.08% | 5.21% | 3.87% | 3.32% |
By Security Type5 | |
U.S. Government and Government Agencies | 35.7% |
Mortgage-Backed Securities6 | 25.4% |
Corporate Bonds | 23.2% |
Short-Term Investments & Other Assets7 | 8.6% |
Foreign Government Securities | 4.3% |
Commercial Mortgage-Backed Securities | 1.6% |
Municipal Bonds | 0.8% |
Asset-Backed Obligations | 0.4% |
Weighted Average Maturity8 | 7.3 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 6.7% of total investments on June 30, 2016. |
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 1/1/16 | Ending Account Value (Net of Expenses) at 6/30/16 | Expenses Paid During Period2 1/1/16–6/30/16 | |
Schwab U.S. TIPS ETF | ||||
Actual Return | 0.07% | $1,000.00 | $ 1,061.70 | $0.36 |
Hypothetical 5% Return | 0.07% | $1,000.00 | $ 1,024.55 | $ 0.35 |
Schwab Short-Term U.S. Treasury ETF | ||||
Actual Return | 0.08% | $1,000.00 | $1,013.80 | $0.40 |
Hypothetical 5% Return | 0.08% | $1,000.00 | $ 1,024.50 | $0.40 |
Schwab Intermediate-Term U.S. Treasury ETF | ||||
Actual Return | 0.09% | $1,000.00 | $ 1,051.00 | $0.46 |
Hypothetical 5% Return | 0.09% | $1,000.00 | $ 1,024.45 | $ 0.45 |
Schwab U.S. Aggregate Bond ETF | ||||
Actual Return | 0.05% | $1,000.00 | $1,052.90 | $ 0.26 |
Hypothetical 5% Return | 0.05% | $1,000.00 | $ 1,024.65 | $ 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 182 days of the period, and divided by 366 days of the fiscal year. |
1/1/16– 6/30/16* | 1/1/15– 12/31/15 | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 1/1/11– 12/31/11 | |
Per-Share Data | ||||||
Net asset value at beginning of period | $53.15 | $54.11 | $52.92 | $58.31 | $55.46 | $50.37 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.41 1 | 0.17 1 | 0.64 | 0.28 | 0.92 | 1.56 |
Net realized and unrealized gains (losses) | 2.87 | (0.98) | 1.26 | (5.32) | 2.85 | 5.09 |
Total from investment operations | 3.28 | (0.81) | 1.90 | (5.04) | 3.77 | 6.65 |
Less distributions: | ||||||
Distributions from net investment income | — | (0.15) | (0.71) | (0.35) | (0.92) | (1.56) |
Net asset value at end of period | $56.43 | $53.15 | $54.11 | $52.92 | $58.31 | $55.46 |
Total return | 6.17% 2 | (1.50%) | 3.56% | (8.66%) | 6.83% | 13.38% |
Ratios/Supplemental Data | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.07% 3 | 0.07% | 0.07% | 0.07% | 0.12% 4 | 0.14% |
Net investment income (loss) | 1.52% 3 | 0.31% | 1.10% | 0.51% | 1.72% | 3.03% |
Portfolio turnover rate5 | 10% 2 | 19% | 20% | 20% | 22% | 26% |
Net assets, end of period (x 1,000) | $1,193,535 | $815,816 | $549,259 | $399,564 | $571,441 | $288,373 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
99.7% | U.S. Government Securities | 1,163,245,127 | 1,189,200,941 |
0.0% | Other Investment Company | 333,953 | 333,953 |
99.7% | Total Investments | 1,163,579,080 | 1,189,534,894 |
0.3% | Other Assets and Liabilities, Net | 3,999,875 | |
100.0% | Net Assets | 1,193,534,769 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Securities 99.7% of net assets | ||
U.S. Treasury Obligations 99.7% | ||
U.S. Treasury Inflation Protected Securities | ||
2.63%, 07/15/17 | 16,880,809 | 17,577,143 |
1.63%, 01/15/18 | 17,834,475 | 18,511,650 |
0.13%, 04/15/18 | 58,375,783 | 59,269,516 |
1.38%, 07/15/18 | 17,583,631 | 18,446,284 |
2.13%, 01/15/19 | 16,356,131 | 17,549,637 |
0.13%, 04/15/19 | 57,817,783 | 59,055,662 |
1.88%, 07/15/19 | 18,590,124 | 20,120,834 |
1.38%, 01/15/20 | 22,547,635 | 24,083,580 |
0.13%, 04/15/20 | 57,863,101 | 59,182,959 |
1.25%, 07/15/20 | 34,655,300 | 37,248,903 |
1.13%, 01/15/21 | 39,640,093 | 42,414,900 |
0.13%, 04/15/21 | 18,296,542 | 18,751,028 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
0.63%, 07/15/21 | 42,076,569 | 44,292,321 |
0.13%, 01/15/22 | 46,440,709 | 47,355,126 |
0.13%, 07/15/22 | 47,901,034 | 48,986,471 |
0.13%, 01/15/23 | 48,124,233 | 48,808,559 |
0.38%, 07/15/23 | 47,733,519 | 49,396,555 |
0.63%, 01/15/24 | 47,622,543 | 49,892,233 |
0.13%, 07/15/24 | 46,797,134 | 47,301,607 |
0.25%, 01/15/25 | 46,913,730 | 47,668,572 |
2.38%, 01/15/25 | 30,796,438 | 36,806,671 |
0.38%, 07/15/25 | 46,856,395 | 48,269,584 |
0.63%, 01/15/26 | 42,199,309 | 44,460,770 |
2.00%, 01/15/26 | 22,437,140 | 26,416,142 |
2.38%, 01/15/27 | 18,051,540 | 22,177,941 |
1.75%, 01/15/28 | 18,003,588 | 21,058,617 |
3.63%, 04/15/28 | 15,211,880 | 21,068,454 |
2.50%, 01/15/29 | 17,436,479 | 22,114,338 |
3.88%, 04/15/29 | 18,514,728 | 26,693,054 |
3.38%, 04/15/32 | 7,030,369 | 10,310,458 |
2.13%, 02/15/40 | 9,526,253 | 12,458,529 |
2.13%, 02/15/41 | 12,118,354 | 15,992,471 |
0.75%, 02/15/42 | 21,317,316 | 21,374,020 |
0.63%, 02/15/43 | 15,731,472 | 15,313,644 |
1.38%, 02/15/44 | 23,833,212 | 27,542,136 |
0.75%, 02/15/45 | 26,463,708 | 26,575,385 |
1.00%, 02/15/46 | 13,583,326 | 14,655,187 |
Total U.S. Government Securities | ||
(Cost $1,163,245,127) | 1,189,200,941 | |
Security | Number of Shares | Value ($) |
Other Investment Company 0.0% of net assets | ||
Money Market Fund 0.0% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% (a) | 333,953 | 333,953 |
Total Other Investment Company | ||
(Cost $333,953) | 333,953 |
(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 | $— | $1,189,200,941 | $— | $1,189,200,941 | |||||
Other Investment Company1 | 333,953 | — | — | 333,953 | |||||
Total | $333,953 | $1,189,200,941 | $— | $1,189,534,894 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $1,163,579,080) | $1,189,534,894 | |
Receivables: | ||
Investments sold | 5,836,762 | |
Fund shares sold | 28,216,115 | |
Interest | 4,005,365 | |
Dividends | + | 56 |
Total assets | 1,227,593,192 | |
Liabilities | ||
Payables: | ||
Investments bought | 34,042,956 | |
Investment adviser fees | + | 15,467 |
Total liabilities | 34,058,423 | |
Net Assets | ||
Total assets | 1,227,593,192 | |
Total liabilities | – | 34,058,423 |
Net assets | $1,193,534,769 | |
Net Assets by Source | ||
Capital received from investors | 1,172,325,193 | |
Net investment income not yet distributed | 7,371,121 | |
Net realized capital losses | (12,117,359) | |
Net unrealized capital appreciation | 25,955,814 |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$1,193,534,769 | 21,150,000 | $56.43 | ||
Investment Income | ||
Dividends | $702 | |
Interest | + | 7,699,523 |
Total investment income | 7,700,225 | |
Expenses | ||
Investment adviser fees | 339,411 | |
Total expenses | – | 339,411 |
Net investment income | 7,360,814 | |
Realized and Unrealized Gains (Losses) | ||
Net realized losses on investments | (757,626) | |
Net realized gains on in-kind redemptions | + | 1,080,822 |
Net realized gains | 323,196 | |
Net change in unrealized appreciation (depreciation) on investments | + | 49,777,235 |
Net realized and unrealized gains | 50,100,431 | |
Increase in net assets resulting from operations | $57,461,245 |
Operations | |||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||
Net investment income | $7,360,814 | $2,226,382 | |
Net realized gains (losses) | 323,196 | (3,872,973) | |
Net change in unrealized appreciation (depreciation) | + | 49,777,235 | (12,788,098) |
Increase (decrease) in net assets resulting from operations | 57,461,245 | (14,434,689) | |
Distributions to Shareholders | |||
Distributions from net investment income | $— | ($2,245,705) |
Transactions in Fund Shares | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 6,550,000 | $360,903,430 | 5,500,000 | $299,468,087 | |
Shares redeemed | + | (750,000) | (40,645,765) | (300,000) | (16,230,338) |
Net transactions in fund shares | 5,800,000 | $320,257,665 | 5,200,000 | $283,237,749 | |
Shares Outstanding and Net Assets | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 15,350,000 | $815,815,859 | 10,150,000 | $549,258,504 | |
Total increase | + | 5,800,000 | 377,718,910 | 5,200,000 | 266,557,355 |
End of period | 21,150,000 | $1,193,534,769 | 15,350,000 | $815,815,859 | |
Net investment income not yet distributed | $7,371,121 | $10,307 |
1/1/16– 6/30/16* | 1/1/15– 12/31/15 | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 1/1/11– 12/31/11 | |
Per-Share Data | ||||||
Net asset value at beginning of period | $50.43 | $50.55 | $50.51 | $50.53 | $50.50 | $49.99 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.21 1 | 0.35 1 | 0.24 | 0.15 | 0.15 | 0.21 |
Net realized and unrealized gains (losses) | 0.48 | (0.13) | 0.04 | (0.02) | 0.03 | 0.51 |
Total from investment operations | 0.69 | 0.22 | 0.28 | 0.13 | 0.18 | 0.72 |
Less distributions: | ||||||
Distributions from net investment income | (0.17) | (0.34) | (0.24) | (0.15) | (0.15) | (0.21) |
Net asset value at end of period | $50.95 | $50.43 | $50.55 | $50.51 | $50.53 | $50.50 |
Total return | 1.38% 2 | 0.44% | 0.55% | 0.25% | 0.35% | 1.43% |
Ratios/Supplemental Data | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.08% 3 | 0.08% | 0.08% | 0.08% | 0.11% 4 | 0.12% |
Net investment income (loss) | 0.83% 3 | 0.69% | 0.49% | 0.31% | 0.29% | 0.42% |
Portfolio turnover rate5 | 34% 2 | 89% | 109% | 101% | 101% | 74% |
Net assets, end of period (x 1,000) | $1,100,558 | $1,071,573 | $702,651 | $444,497 | $250,105 | $181,805 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
99.4% | U.S. Government Securities | 1,087,491,309 | 1,094,065,975 |
0.4% | Other Investment Company | 4,058,927 | 4,058,927 |
99.8% | Total Investments | 1,091,550,236 | 1,098,124,902 |
0.2% | Other Assets and Liabilities, Net | 2,432,839 | |
100.0% | Net Assets | 1,100,557,741 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Securities 99.4% of net assets | ||
U.S. Treasury Obligations 99.4% | ||
U.S. Treasury Notes | ||
0.88%, 07/15/17 | 6,618,000 | 6,642,818 |
0.50%, 07/31/17 | 12,321,000 | 12,318,597 |
0.63%, 07/31/17 | 9,179,000 | 9,189,216 |
2.38%, 07/31/17 | 6,209,000 | 6,332,938 |
0.88%, 08/15/17 | 12,457,000 | 12,504,935 |
0.63%, 08/31/17 | 21,728,000 | 21,750,923 |
1.88%, 08/31/17 | 35,081,000 | 35,626,404 |
1.00%, 09/15/17 | 13,279,000 | 13,351,105 |
0.63%, 09/30/17 | 21,478,000 | 21,501,497 |
1.88%, 09/30/17 | 15,267,000 | 15,519,257 |
0.88%, 10/15/17 | 10,710,000 | 10,753,718 |
0.75%, 10/31/17 | 1,004,000 | 1,006,569 |
1.88%, 10/31/17 | 31,793,000 | 32,345,022 |
0.88%, 11/15/17 | 19,318,000 | 19,401,009 |
0.63%, 11/30/17 | 19,648,000 | 19,666,037 |
0.88%, 11/30/17 | 23,334,000 | 23,433,356 |
2.25%, 11/30/17 | 11,233,000 | 11,500,008 |
1.00%, 12/15/17 | 19,896,000 | 20,021,524 |
0.75%, 12/31/17 | 22,871,000 | 22,933,095 |
2.75%, 12/31/17 | 21,850,000 | 22,556,279 |
0.88%, 01/15/18 | 13,020,000 | 13,080,270 |
0.75%, 01/31/18 | 3,978,000 | 3,988,876 |
0.88%, 01/31/18 | 22,709,000 | 22,817,231 |
1.00%, 02/15/18 | 10,780,000 | 10,852,215 |
3.50%, 02/15/18 | 10,494,000 | 10,989,191 |
0.75%, 02/28/18 | 18,050,000 | 18,100,053 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
2.75%, 02/28/18 | 18,050,000 | 18,699,385 |
1.00%, 03/15/18 | 9,780,000 | 9,848,577 |
2.88%, 03/31/18 | 3,339,000 | 3,471,518 |
0.75%, 04/15/18 | 47,693,500 | 47,829,522 |
0.63%, 04/30/18 | 18,027,000 | 18,041,782 |
0.75%, 04/30/18 | 12,855,000 | 12,892,665 |
2.63%, 04/30/18 | 8,096,000 | 8,397,074 |
1.00%, 05/15/18 | 21,635,000 | 21,800,227 |
3.88%, 05/15/18 | 5,935,000 | 6,305,938 |
0.88%, 05/31/18 | 20,000,000 | 20,109,380 |
1.00%, 05/31/18 | 20,089,000 | 20,247,904 |
1.13%, 06/15/18 | 9,048,000 | 9,140,244 |
1.38%, 06/30/18 | 1,004,000 | 1,019,413 |
2.38%, 06/30/18 | 14,958,000 | 15,486,197 |
0.88%, 07/15/18 | 20,081,000 | 20,192,389 |
1.38%, 07/31/18 | 1,004,000 | 1,019,943 |
2.25%, 07/31/18 | 23,604,000 | 24,409,392 |
1.00%, 08/15/18 | 10,697,000 | 10,784,330 |
1.50%, 08/31/18 | 20,390,000 | 20,778,674 |
1.00%, 09/15/18 | 1,004,000 | 1,012,295 |
1.38%, 09/30/18 | 1,004,000 | 1,020,786 |
0.88%, 10/15/18 | 25,131,000 | 25,268,441 |
1.25%, 10/31/18 | 18,737,000 | 19,000,480 |
1.75%, 10/31/18 | 14,067,000 | 14,427,748 |
1.25%, 11/30/18 | 23,334,000 | 23,669,893 |
1.38%, 11/30/18 | 21,749,000 | 22,129,607 |
1.25%, 12/15/18 | 9,859,000 | 10,002,646 |
1.38%, 12/31/18 | 9,859,000 | 10,035,003 |
1.50%, 12/31/18 | 16,242,000 | 16,580,158 |
1.13%, 01/15/19 | 9,160,000 | 9,263,233 |
1.25%, 01/31/19 | 13,717,000 | 13,921,685 |
1.50%, 01/31/19 | 14,601,000 | 14,908,424 |
0.75%, 02/15/19 | 8,968,000 | 8,985,864 |
2.75%, 02/15/19 | 10,780,000 | 11,366,583 |
1.38%, 02/28/19 | 13,481,000 | 13,728,242 |
1.50%, 02/28/19 | 17,939,000 | 18,326,160 |
1.00%, 03/15/19 | 9,118,000 | 9,195,649 |
1.50%, 03/31/19 | 6,387,000 | 6,531,455 |
1.63%, 03/31/19 | 17,320,000 | 17,757,399 |
0.88%, 04/15/19 | 17,037,000 | 17,118,863 |
1.25%, 04/30/19 | 1,509,000 | 1,532,990 |
1.63%, 04/30/19 | 15,210,000 | 15,601,536 |
1.13%, 05/31/19 | 19,775,000 | 20,021,792 |
1.50%, 05/31/19 | 29,660,000 | 30,333,727 |
1.00%, 06/30/19 | 12,000,000 | 12,103,824 |
1.63%, 06/30/19 | 21,000,000 | 21,564,795 |
Total U.S. Government Securities | ||
(Cost $1,087,491,309) | 1,094,065,975 |
Security | Number of Shares | Value ($) |
Other Investment Company 0.4% of net assets | ||
Money Market Fund 0.4% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% (a) | 4,058,927 | 4,058,927 |
Total Other Investment Company | ||
(Cost $4,058,927) | 4,058,927 |
At 6/30/16, the tax basis cost of the fund's investments was $1,091,550,236 and the unrealized appreciation and depreciation were $6,586,237 and ($11,571), respectively, with a net unrealized appreciation of $6,574,666.
(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 | $— | $1,094,065,975 | $— | $1,094,065,975 | |||||
Other Investment Company1 | 4,058,927 | — | — | 4,058,927 | |||||
Total | $4,058,927 | $1,094,065,975 | $— | $1,098,124,902 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $1,091,550,236) | $1,098,124,902 | |
Receivables: | ||
Investments sold | 56,267,962 | |
Interest | 3,019,360 | |
Dividends | + | 676 |
Total assets | 1,157,412,900 | |
Liabilities | ||
Payables: | ||
Investments bought | 56,838,410 | |
Investment adviser fees | + | 16,749 |
Total liabilities | 56,855,159 | |
Net Assets | ||
Total assets | 1,157,412,900 | |
Total liabilities | – | 56,855,159 |
Net assets | $1,100,557,741 | |
Net Assets by Source | ||
Capital received from investors | 1,093,336,906 | |
Net investment income not yet distributed | 734,974 | |
Net realized capital losses | (88,805) | |
Net unrealized capital appreciation | 6,574,666 |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$1,100,557,741 | 21,600,000 | $50.95 | ||
Investment Income | ||
Dividends | $1,855 | |
Interest | + | 5,135,798 |
Total investment income | 5,137,653 | |
Expenses | ||
Investment adviser fees | 452,965 | |
Total expenses | – | 452,965 |
Net investment income | 4,684,688 | |
Realized and Unrealized Gains (Losses) | ||
Net realized gains on investments | 123,814 | |
Net realized gains on in-kind redemptions | + | 920,398 |
Net realized gains | 1,044,212 | |
Net change in unrealized appreciation (depreciation) on investments | + | 9,711,130 |
Net realized and unrealized gains | 10,755,342 | |
Increase in net assets resulting from operations | $15,440,030 |
Operations | |||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||
Net investment income | $4,684,688 | $6,003,139 | |
Net realized gains | 1,044,212 | 96,671 | |
Net change in unrealized appreciation (depreciation) | + | 9,711,130 | (3,593,255) |
Increase in net assets resulting from operations | 15,440,030 | 2,506,555 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($3,949,875) | ($6,005,570) |
Transactions in Fund Shares | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 5,150,000 | $260,938,043 | 14,350,000 | $727,215,229 | |
Shares redeemed | + | (4,800,000) | (243,443,423) | (7,000,000) | (354,793,945) |
Net transactions in fund shares | 350,000 | $17,494,620 | 7,350,000 | $372,421,284 | |
Shares Outstanding and Net Assets | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 21,250,000 | $1,071,572,966 | 13,900,000 | $702,650,697 | |
Total increase | + | 350,000 | 28,984,775 | 7,350,000 | 368,922,269 |
End of period | 21,600,000 | $1,100,557,741 | 21,250,000 | $1,071,572,966 | |
Net investment income not yet distributed | $734,974 | $161 |
1/1/16– 6/30/16* | 1/1/15– 12/31/15 | 1/1/14– 12/31/14 | 1/1/13– 12/31/13 | 1/1/12– 12/31/12 | 1/1/11– 12/31/11 | |
Per-Share Data | ||||||
Net asset value at beginning of period | $53.55 | $53.52 | $52.08 | $54.18 | $53.39 | $49.31 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.41 1 | 0.85 1 | 0.77 | 0.56 | 0.58 | 0.82 |
Net realized and unrealized gains (losses) | 2.31 | 0.02 2 | 1.44 | (2.10) | 0.79 | 4.08 |
Total from investment operations | 2.72 | 0.87 | 2.21 | (1.54) | 1.37 | 4.90 |
Less distributions: | ||||||
Distributions from net investment income | (0.34) | (0.84) | (0.77) | (0.56) | (0.58) | (0.82) |
Net asset value at end of period | $55.93 | $53.55 | $53.52 | $52.08 | $54.18 | $53.39 |
Total return | 5.10% 3 | 1.62% | 4.27% | (2.86%) | 2.57% | 10.02% |
Ratios/Supplemental Data | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.09% 4 | 0.10% 5 | 0.10% | 0.10% | 0.11% 6 | 0.12% |
Net investment income (loss) | 1.51% 4 | 1.59% | 1.43% | 1.06% | 1.07% | 1.62% |
Portfolio turnover rate7 | 15% 3 | 32% | 49% | 54% | 47% | 46% |
Net assets, end of period (x 1,000) | $701,877 | $441,747 | $254,226 | $236,969 | $216,733 | $117,452 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
99.4% | U.S. Government Securities | 681,007,938 | 697,471,455 |
0.1% | Other Investment Company | 853,077 | 853,077 |
99.5% | Total Investments | 681,861,015 | 698,324,532 |
0.5% | Other Assets and Liabilities, Net | 3,552,188 | |
100.0% | Net Assets | 701,876,720 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Securities 99.4% of net assets | ||
U.S. Treasury Obligations 99.4% | ||
U.S. Treasury Bonds | ||
8.50%, 02/15/20 | 1,172,000 | 1,494,666 |
8.75%, 05/15/20 | 962,000 | 1,250,543 |
8.75%, 08/15/20 | 3,924,500 | 5,176,278 |
U.S. Treasury Notes | ||
0.88%, 07/31/19 | 5,986,000 | 6,011,602 |
1.63%, 07/31/19 | 6,723,000 | 6,905,516 |
3.63%, 08/15/19 | 4,327,000 | 4,713,981 |
1.63%, 08/31/19 | 7,170,000 | 7,365,633 |
1.00%, 09/30/19 | 7,949,000 | 8,009,706 |
3.38%, 11/15/19 | 6,610,000 | 7,184,244 |
1.00%, 11/30/19 | 10,810,000 | 10,882,211 |
1.50%, 11/30/19 | 8,630,000 | 8,831,925 |
1.13%, 12/31/19 | 7,105,000 | 7,182,572 |
1.25%, 01/31/20 | 5,617,000 | 5,699,941 |
1.38%, 01/31/20 | 10,000,000 | 10,192,770 |
3.63%, 02/15/20 | 12,904,000 | 14,202,968 |
1.25%, 02/29/20 | 9,997,000 | 10,147,935 |
1.38%, 02/29/20 | 5,134,000 | 5,231,664 |
1.38%, 03/31/20 | 5,898,000 | 6,010,546 |
1.13%, 04/30/20 | 3,854,000 | 3,892,540 |
1.38%, 04/30/20 | 3,790,000 | 3,862,025 |
3.50%, 05/15/20 | 6,512,000 | 7,159,260 |
1.38%, 05/31/20 | 9,462,000 | 9,637,567 |
1.88%, 06/30/20 | 3,268,000 | 3,393,677 |
1.63%, 07/31/20 | 9,161,000 | 9,421,695 |
2.00%, 07/31/20 | 4,223,000 | 4,408,086 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
2.63%, 08/15/20 | 11,102,000 | 11,871,113 |
1.38%, 08/31/20 | 4,286,000 | 4,365,192 |
1.38%, 09/30/20 | 6,497,000 | 6,615,902 |
2.00%, 09/30/20 | 7,507,000 | 7,842,030 |
1.38%, 10/31/20 | 8,556,000 | 8,711,916 |
1.75%, 10/31/20 | 4,194,000 | 4,335,875 |
2.63%, 11/15/20 | 9,184,000 | 9,841,951 |
1.63%, 11/30/20 | 12,028,000 | 12,382,032 |
2.00%, 11/30/20 | 4,742,000 | 4,956,040 |
1.75%, 12/31/20 | 6,225,000 | 6,439,470 |
2.38%, 12/31/20 | 7,825,000 | 8,308,256 |
1.38%, 01/31/21 | 9,203,000 | 9,366,206 |
2.13%, 01/31/21 | 10,195,000 | 10,721,878 |
3.63%, 02/15/21 | 8,391,000 | 9,393,003 |
1.13%, 02/28/21 | 5,384,000 | 5,422,065 |
2.00%, 02/28/21 | 3,617,000 | 3,784,427 |
1.25%, 03/31/21 | 8,182,000 | 8,277,566 |
2.25%, 03/31/21 | 5,000,000 | 5,291,795 |
1.38%, 04/30/21 | 5,048,000 | 5,135,452 |
2.25%, 04/30/21 | 5,091,000 | 5,389,302 |
3.13%, 05/15/21 | 8,473,000 | 9,323,943 |
1.38%, 05/31/21 | 20,592,000 | 20,964,015 |
2.00%, 05/31/21 | 8,971,000 | 9,395,544 |
2.13%, 06/30/21 | 5,735,000 | 6,041,800 |
2.25%, 07/31/21 | 4,299,000 | 4,556,016 |
2.13%, 08/15/21 | 6,847,000 | 7,217,032 |
2.00%, 10/31/21 | 6,651,000 | 6,967,315 |
2.00%, 11/15/21 | 7,742,000 | 8,117,007 |
1.88%, 11/30/21 | 6,474,000 | 6,742,949 |
2.13%, 12/31/21 | 2,302,000 | 2,427,351 |
1.50%, 01/31/22 | 4,485,000 | 4,576,629 |
2.00%, 02/15/22 | 3,970,000 | 4,159,349 |
1.75%, 02/28/22 | 4,063,000 | 4,199,887 |
1.75%, 04/30/22 | 4,927,000 | 5,091,650 |
1.75%, 05/15/22 | 9,175,000 | 9,482,684 |
1.88%, 05/31/22 | 4,506,000 | 4,687,470 |
2.13%, 06/30/22 | 5,023,000 | 5,297,206 |
2.00%, 07/31/22 | 5,807,000 | 6,081,131 |
1.63%, 08/15/22 | 7,927,000 | 8,130,288 |
1.75%, 09/30/22 | 13,250,000 | 13,672,079 |
1.88%, 10/31/22 | 4,855,000 | 5,045,690 |
1.63%, 11/15/22 | 9,175,000 | 9,392,906 |
2.00%, 11/30/22 | 2,720,000 | 2,847,233 |
2.13%, 12/31/22 | 5,221,000 | 5,504,892 |
1.75%, 01/31/23 | 5,453,000 | 5,620,636 |
2.00%, 02/15/23 | 13,872,000 | 14,532,820 |
1.50%, 02/28/23 | 4,891,000 | 4,962,262 |
1.50%, 03/31/23 | 2,680,000 | 2,718,734 |
1.63%, 04/30/23 | 5,054,000 | 5,167,816 |
1.75%, 05/15/23 | 10,736,000 | 11,077,373 |
1.63%, 05/31/23 | 14,196,000 | 14,517,071 |
1.25%, 06/30/23 | 4,000,000 | 4,021,564 |
2.50%, 08/15/23 | 7,276,000 | 7,883,662 |
2.75%, 11/15/23 | 10,878,000 | 11,993,419 |
2.75%, 02/15/24 | 12,759,000 | 14,086,982 |
2.50%, 05/15/24 | 12,767,000 | 13,869,647 |
2.38%, 08/15/24 | 10,777,000 | 11,602,540 |
2.25%, 11/15/24 | 11,169,000 | 11,916,362 |
2.00%, 02/15/25 | 11,651,000 | 12,192,364 |
2.13%, 05/15/25 | 12,045,000 | 12,725,350 |
2.00%, 08/15/25 | 11,878,000 | 12,419,934 |
2.25%, 11/15/25 | 12,797,000 | 13,653,298 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.63%, 02/15/26 | 14,403,000 | 14,565,595 |
1.63%, 05/15/26 | 11,164,000 | 11,300,938 |
Total U.S. Government Securities | ||
(Cost $681,007,938) | 697,471,455 | |
Security | Number of Shares | Value ($) |
Other Investment Company 0.1% of net assets | ||
Money Market Fund 0.1% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% (a) | 853,077 | 853,077 |
Total Other Investment Company | ||
(Cost $853,077) | 853,077 |
At 6/30/16, the tax basis cost of the fund's investments was $681,871,353 and the unrealized appreciation and depreciation were $16,458,495 and ($5,316), respectively, with a net unrealized appreciation of $16,453,179.
(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 | $— | $697,471,455 | $— | $697,471,455 | |||||
Other Investment Company1 | 853,077 | — | — | 853,077 | |||||
Total | $853,077 | $697,471,455 | $— | $698,324,532 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $681,861,015) | $698,324,532 | |
Receivables: | ||
Investments sold | 12,498,385 | |
Fund shares sold | 44,740,896 | |
Interest | 3,121,364 | |
Dividends | + | 83 |
Total assets | 758,685,260 | |
Liabilities | ||
Payables: | ||
Investments bought | 56,797,374 | |
Investment adviser fees | + | 11,166 |
Total liabilities | 56,808,540 | |
Net Assets | ||
Total assets | 758,685,260 | |
Total liabilities | – | 56,808,540 |
Net assets | $701,876,720 | |
Net Assets by Source | ||
Capital received from investors | 683,435,430 | |
Net investment income not yet distributed | 740,481 | |
Net realized capital gains | 1,237,292 | |
Net unrealized capital appreciation | 16,463,517 |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$701,876,720 | 12,550,000 | $55.93 | ||
Investment Income | ||
Dividends | $695 | |
Interest | + | 4,547,810 |
Total investment income | 4,548,505 | |
Expenses | ||
Investment adviser fees | 256,319 | |
Total expenses | – | 256,319 |
Net investment income | 4,292,186 | |
Realized and Unrealized Gains (Losses) | ||
Net realized gains on investments | 530,777 | |
Net realized gains on in-kind redemptions | + | 2,930,923 |
Net realized gains | 3,461,700 | |
Net change in unrealized appreciation (depreciation) on investments | + | 19,168,020 |
Net realized and unrealized gains | 22,629,720 | |
Increase in net assets resulting from operations | $26,921,906 |
Operations | |||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||
Net investment income | $4,292,186 | $5,612,890 | |
Net realized gains | 3,461,700 | 893,396 | |
Net change in unrealized appreciation (depreciation) | + | 19,168,020 | (3,405,419) |
Increase in net assets resulting from operations | 26,921,906 | 3,100,867 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($3,562,925) | ($5,601,670) |
Transactions in Fund Shares | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 6,550,000 | $360,169,649 | 4,600,000 | $249,158,732 | |
Shares redeemed | + | (2,250,000) | (123,398,684) | (1,100,000) | (59,137,085) |
Net transactions in fund shares | 4,300,000 | $236,770,965 | 3,500,000 | $190,021,647 | |
Shares Outstanding and Net Assets | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 8,250,000 | $441,746,774 | 4,750,000 | $254,225,930 | |
Total increase | + | 4,300,000 | 260,129,946 | 3,500,000 | 187,520,844 |
End of period | 12,550,000 | $701,876,720 | 8,250,000 | $441,746,774 | |
Net investment income not yet distributed | $740,481 | $11,220 |
1/1/16– 6/30/16* | 1/1/15– 12/31/15 | 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 | $51.41 | $52.20 | $50.28 | $52.43 | $51.50 | $50.00 |
Income (loss) from investment operations: | ||||||
Net investment income (loss) | 0.53 2 | 1.00 2 | 1.00 | 0.83 | 0.84 | 0.37 |
Net realized and unrealized gains (losses) | 2.18 | (0.71) | 1.98 | (1.97) | 1.16 | 1.52 |
Total from investment operations | 2.71 | 0.29 | 2.98 | (1.14) | 2.00 | 1.89 |
Less distributions: | ||||||
Distributions from net investment income | (0.47) | (1.08) | (1.06) | (1.01) | (1.07) | (0.39) |
Net asset value at end of period | $53.65 | $51.41 | $52.20 | $50.28 | $52.43 | $51.50 |
Total return | 5.29% 3 | 0.56% | 5.97% | (2.19%) | 3.90% | 3.79% 3 |
Ratios/Supplemental Data | ||||||
Ratios to average net assets: | ||||||
Total expenses | 0.05% 4 | 0.05% | 0.05% | 0.06% 5 | 0.08% 6 | 0.10% 4 |
Net investment income (loss) | 2.02% 4 | 1.92% | 1.96% | 1.59% | 1.52% | 1.67% 4 |
Portfolio turnover rate7,8 | 67% 3 | 104% 9 | 74% | 152% | 151% | 446% 3 |
Net assets, end of period (x 1,000) | $3,148,976 | $2,102,482 | $1,226,778 | $497,801 | $387,954 | $164,804 |
* | Unaudited. |
Holdings by Category | Cost ($) | Value ($) | |
0.5% | Asset-Backed Obligations | 14,748,827 | 14,907,419 |
1.7% | Commercial Mortgage-Backed Securities | 52,060,350 | 53,650,453 |
25.2% | Corporate Bonds | 767,215,720 | 793,662,526 |
4.6% | Foreign Government Securities | 142,336,698 | 145,861,061 |
27.6% | Mortgage-Backed Securities | 855,887,853 | 869,070,155 |
0.9% | Municipal Bonds | 26,504,424 | 28,628,848 |
38.9% | U.S. Government and Government Agencies | 1,182,188,103 | 1,224,267,906 |
1.0% | Other Investment Company | 31,253,891 | 31,253,891 |
8.4% | Short-Term Investments | 264,937,572 | 264,955,675 |
108.8% | Total Investments | 3,337,133,438 | 3,426,257,934 |
(8.8%) | Other Assets and Liabilities, Net | (277,282,103) | |
100.0% | Net Assets | 3,148,975,831 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Asset-Backed Obligations 0.5% of net assets | ||
American Express Credit Account Master Trust | ||
Series 2014-3 Class A | ||
1.49%, 04/15/20 (b) | 326,000 | 328,582 |
Series 2014-4 Class A | ||
1.43%, 06/15/20 (b) | 100,000 | 100,699 |
Capital One Multi-Asset Execution Trust | ||
Series 2014-A5 Class A | ||
1.48%, 07/15/20 (b) | 200,000 | 201,355 |
Series 2007-A7 Class A7 | ||
5.75%, 07/15/20 (b) | 250,000 | 264,662 |
Series 2015-A1 Class A1 | ||
1.39%, 01/15/21 (b) | 600,000 | 604,344 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
CarMax Auto Owner Trust 2014-2 | ||
Series 2014-2 Class A4 | ||
1.61%, 10/15/19 (b) | 2,250,000 | 2,265,636 |
Chase Issuance Trust | ||
Series 2014-A7 Class A | ||
1.38%, 11/15/19 (b) | 680,000 | 683,737 |
Series 2012-A4 Class A4 | ||
1.58%, 08/16/21 (b) | 300,000 | 304,114 |
Series 2015-A4 Class A4 | ||
1.84%, 04/15/22 (b) | 500,000 | 510,578 |
Series 2014-A2 Class A2 | ||
2.77%, 03/15/23 (b) | 200,000 | 211,532 |
Citibank Credit Card Issuance Trust | ||
Series 2007-A8 Class A8 | ||
5.65%, 09/20/19 (b) | 500,000 | 528,729 |
Series 2008-A1 Class A1 | ||
5.35%, 02/07/20 (b) | 200,000 | 213,815 |
Series 2014-A8 Class A8 | ||
1.73%, 04/09/20 (b) | 500,000 | 506,672 |
Series 2014-A1 Class A1 | ||
2.88%, 01/23/23 (b) | 225,000 | 239,732 |
Discover Card Execution Note Trust | ||
Series 2014-A4 Class A4 | ||
2.12%, 12/15/21 (b) | 1,500,000 | 1,538,924 |
Series 2012-A6 Class A6 | ||
1.67%, 01/18/22 (b) | 2,700,000 | 2,745,516 |
Ford Credit Auto Owner Trust | ||
Series 2014-C Class A4 | ||
1.56%, 02/15/20 (b) | 983,000 | 989,616 |
Series 2016-A Class A4 | ||
1.60%, 06/15/21 (b) | 500,000 | 506,716 |
Honda Auto Receivables Owner Trust | ||
Series 2014-2 Class A4 | ||
1.18%, 05/18/20 (b) | 200,000 | 200,466 |
Series 2014-3 Class A4 | ||
1.31%, 10/15/20 (b) | 200,000 | 200,786 |
Nissan Auto Receivables Owner Trust | ||
Series 2015-B Class A3 | ||
1.34%, 03/16/20 (b) | 630,000 | 634,172 |
Series 2015-B Class A4 ABS | ||
1.79%, 01/15/22 (b) | 900,000 | 915,954 |
World Financial Network Credit Card Master Trust | ||
Series 2013-A Class A | ||
1.61%, 12/15/21 (b) | 210,000 | 211,082 |
Total Asset-Backed Obligations | ||
(Cost $14,748,827) | 14,907,419 | |
Commercial Mortgage-Backed Securities 1.7% of net assets | ||
Bear Stearns Commercial Mortgage Securities | ||
Series 2007-PW17 Class A4 | ||
5.69%, 06/11/50 (a)(b) | 282,287 | 291,774 |
CFCRE Commercial Mortgage Trust 2016-C3 | ||
Series 2016-C3 Class A3 | ||
3.87%, 01/10/48 (b) | 800,000 | 886,381 |
CFCRE Commercial Mortgage Trust 2016-C4 | ||
Series 2016-C4 Class A4 | ||
3.28%, 05/10/58 (b) | 500,000 | 527,568 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Citigroup Commercial Mortgage Trust | ||
Series 2013-GC17 Class A4 | ||
4.13%, 11/10/46 (b) | 615,000 | 694,796 |
Series 2014-GC19 Class A2 | ||
2.79%, 03/10/47 (b) | 130,000 | 133,720 |
Series 2014-GC21 Class A2 | ||
2.90%, 05/10/47 (b) | 480,000 | 497,121 |
Series 2014-GC23 Class A2 | ||
2.85%, 07/10/47 (b) | 570,000 | 591,414 |
Series 2014-GC23 Class A4 | ||
3.62%, 07/10/47 (b) | 1,000,000 | 1,093,300 |
COMM 2012-CCRE2 Mortgage Trust | ||
Series 2012-CR2 Class A4 | ||
3.15%, 08/15/45 (b) | 1,305,000 | 1,391,428 |
COMM 2012-CCRE4 Mortgage Trust | ||
Series 2012-CR4 Class A3 | ||
2.85%, 10/15/45 (b) | 300,000 | 315,083 |
COMM 2012-LC4 Mortgage Trust | ||
Series 2012-LC4 Class A4 | ||
3.29%, 12/10/44 (b) | 300,000 | 321,393 |
COMM 2013-CCRE11 Mortgage Trust | ||
Series 2013-CR11 Class A4 | ||
4.26%, 10/10/46 (b) | 340,000 | 383,610 |
COMM 2013-CCRE7 Mortgage Trust | ||
Series 2013-CR7 Class A4 | ||
3.21%, 03/10/46 (b) | 600,000 | 641,255 |
COMM 2013-LC6 Mortgage Trust | ||
Series 2013-LC6 Class A2 | ||
1.91%, 01/10/46 (b) | 150,000 | 151,508 |
COMM 2014-CCRE14 Mortgage Trust | ||
Series 2014-CR14 Class A3 | ||
3.96%, 02/10/47 (b) | 240,000 | 267,459 |
COMM 2014-CCRE15 Mortgage Trust | ||
Series 2014-CR15 Class A2 | ||
2.93%, 02/10/47 (b) | 500,000 | 517,163 |
COMM 2014-CCRE16 Mortgage Trust | ||
Series 2014-CR16 Class ASB | ||
3.65%, 04/10/47 (b) | 630,000 | 672,279 |
COMM 2014-CCRE19 Mortgage Trust | ||
Series 2014-CR19 Class ASB | ||
3.50%, 08/10/47 (b) | 400,000 | 430,768 |
COMM 2016-CCRE28 Mortgage Trust | ||
Series 2016-CR28 Class A4 | ||
3.76%, 02/10/49 (b) | 500,000 | 549,167 |
Commercial Mortgage Pass Through Certificates | ||
Series 2012-CR3 Class A3 | ||
2.82%, 10/15/45 (b) | 260,000 | 271,677 |
Fannie Mae | ||
Series 2013-M12 Class A | ||
1.53%, 10/25/17 (b) | 128,070 | 128,663 |
Series 2009-M1 Class A2 | ||
4.29%, 07/25/19 (b) | 166,684 | 180,435 |
Series 2010-M3 Class A3 | ||
4.33%, 03/25/20 (a)(b) | 190,338 | 207,769 |
Series 2014-M6 Class A2 | ||
2.68%, 05/25/21 (b) | 650,000 | 686,351 |
Series 2011-M5 Class A2 | ||
2.94%, 07/25/21 (b) | 800,000 | 853,758 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Series 2012-M2 Class A1 | ||
1.82%, 09/25/21 (b) | 22,571 | 22,979 |
Series 2015-M4 Class AV2 | ||
2.51%, 07/25/22 (b) | 75,000 | 78,117 |
Series 2016-M3 Class ASQ2 | ||
2.26%, 02/25/23 (a)(b) | 65,000 | 67,165 |
Series 2014-M9 Class A2 | ||
3.10%, 07/25/24 (a)(b) | 492,000 | 530,134 |
Series 2015-M3 Class A2 | ||
2.72%, 10/25/24 (b) | 550,000 | 578,346 |
Freddie Mac | ||
Series K704 Class A2 | ||
2.41%, 08/25/18 (b) | 69,672 | 71,445 |
Series K705 Class A2 | ||
2.30%, 09/25/18 (b) | 200,000 | 205,192 |
Series K708 Class A2 | ||
2.13%, 01/25/19 (b) | 305,000 | 312,525 |
Series K710 Class A2 | ||
1.88%, 05/25/19 (b) | 420,000 | 428,518 |
Series K712 Class A2 | ||
1.87%, 11/25/19 (b) | 440,000 | 449,140 |
Series K008 Class A2 | ||
3.53%, 06/25/20 (b) | 140,600 | 152,087 |
Series K009 Class A2 | ||
3.81%, 08/25/20 (b) | 500,000 | 545,538 |
Series K015 Class A1 | ||
2.26%, 10/25/20 (b) | 125,145 | 127,368 |
Series K014 Class A1 | ||
2.79%, 10/25/20 (b) | 388,345 | 399,754 |
Series K714 Class A2 | ||
3.03%, 10/25/20 (b) | 365,000 | 388,988 |
Series K010 Class A2 | ||
4.33%, 10/25/20 (b) | 305,000 | 340,068 |
Series K012 Class A2 | ||
4.18%, 12/25/20 (a)(b) | 130,000 | 144,916 |
Series K013 Class A2 | ||
3.97%, 01/25/21 (a)(b) | 492,000 | 541,941 |
Series K014 Class A2 | ||
3.87%, 04/25/21 (b) | 165,000 | 181,546 |
Series K015 Class A2 | ||
3.23%, 07/25/21 (b) | 500,000 | 539,302 |
Series K016 Class A2 | ||
2.97%, 10/25/21 (b) | 1,400,000 | 1,491,023 |
Series K017 Class A2 | ||
2.87%, 12/25/21 (b) | 100,000 | 106,141 |
Series K025 Class A1 | ||
1.88%, 04/25/22 (b) | 384,631 | 391,119 |
Series K022 Class A2 | ||
2.36%, 07/25/22 (b) | 900,000 | 935,552 |
Series K024 Class A2 | ||
2.57%, 09/25/22 (b) | 800,000 | 841,881 |
Series K025 Class A2 | ||
2.68%, 10/25/22 (b) | 500,000 | 529,531 |
Series K026 Class A2 | ||
2.51%, 11/25/22 (b) | 1,975,000 | 2,072,142 |
Series K027 Class A2 | ||
2.64%, 01/25/23 (b) | 745,000 | 787,596 |
Series K033 Class A1 | ||
2.87%, 02/25/23 (b) | 132,156 | 139,527 |
Series K028 Class A2 | ||
3.11%, 02/25/23 (b) | 1,055,000 | 1,145,436 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Series K029 Class A2 | ||
3.32%, 02/25/23 (a)(b) | 1,675,000 | 1,839,758 |
Series K033 Class A2 | ||
3.06%, 07/25/23 (b) | 540,000 | 585,193 |
Series K035 Class A2 | ||
3.46%, 08/25/23 (a)(b) | 450,000 | 498,335 |
Series K037 Class A2 | ||
3.49%, 01/25/24 (b) | 300,000 | 333,852 |
Series K040 Class A2 | ||
3.24%, 09/25/24 (b) | 300,000 | 329,223 |
Series K046 Class A2 | ||
3.21%, 03/25/25 (b) | 600,000 | 656,740 |
GS Mortgage Securities Trust | ||
Series 2011-GC5 Class A4 | ||
3.71%, 08/10/44 (b) | 233,000 | 253,498 |
Series 2012-GC6 Class A3 | ||
3.48%, 01/10/45 (b) | 600,000 | 648,577 |
Series 2012-GCJ7 Class A4 | ||
3.38%, 05/10/45 (b) | 1,500,000 | 1,612,098 |
Series 2013-GC12 Class AAB | ||
2.68%, 06/10/46 (b) | 275,000 | 285,947 |
Series 2013-GC13 Class A5 | ||
4.17%, 07/10/46 (a)(b) | 450,000 | 509,176 |
Series 2013-GC14 Class A5 | ||
4.24%, 08/10/46 (b) | 400,000 | 453,835 |
Series 2013-GC16 Class A2 | ||
3.03%, 11/10/46 (b) | 700,000 | 722,987 |
Series 2014-GC18 Class A2 | ||
2.92%, 01/10/47 (b) | 400,000 | 412,148 |
Series 2014-GC20 Class A3 | ||
3.68%, 04/10/47 (b) | 300,000 | 324,615 |
JP Morgan Chase Commercial Mortgage Securities Trust | ||
Series 2012-C6 Class A3 | ||
3.51%, 05/15/45 (b) | 400,000 | 433,143 |
Series 2012-CBX Class A3 | ||
3.14%, 06/15/45 (b) | 131,931 | 134,892 |
Series 2012-CBX Class A4 | ||
3.48%, 06/15/45 (b) | 250,000 | 269,487 |
Series 2013-C12 Class ASB | ||
3.16%, 07/15/45 (b) | 315,000 | 333,212 |
Series 2013-C13 Class A2 | ||
2.67%, 01/15/46 (b) | 200,000 | 205,579 |
Series 2013-C14 Class A2 | ||
3.02%, 08/15/46 (b) | 1,000,000 | 1,037,982 |
Series 2011-C5 Class A3 | ||
4.17%, 08/15/46 (b) | 400,000 | 437,237 |
Series 2013-C16 Class A2 | ||
3.07%, 12/15/46 (b) | 204,164 | 211,230 |
Series 2014-C20 Class A4A1 | ||
3.54%, 07/15/47 (b) | 300,000 | 324,747 |
Series 2014-C26 Class ASB | ||
3.29%, 01/15/48 (b) | 600,000 | 640,315 |
Series 2015-C29 Class A4 | ||
3.61%, 05/15/48 (b) | 1,000,000 | 1,087,565 |
Series 2015-C28 Class A4 | ||
3.23%, 10/15/48 (b) | 2,000,000 | 2,117,910 |
Series 2015-C32 Class A2 | ||
2.82%, 11/15/48 (b) | 600,000 | 628,173 |
Series 2015-JP1 Class A4 | ||
3.65%, 01/15/49 (b) | 600,000 | 659,087 |
Series 2007-CB20 Class A4 | ||
5.79%, 02/12/51 (a)(b) | 220,911 | 229,415 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Merrill Lynch Mortgage Trust | ||
Series 2008-C1 Class A4 | ||
5.69%, 02/12/51 (b) | 139,100 | 145,040 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2012-C5 Class A4 | ||
3.18%, 08/15/45 (b) | 430,000 | 458,805 |
Series 2013-C13 Class A2 | ||
2.94%, 11/15/46 (b) | 280,000 | 288,879 |
Series 2014-C14 Class A3 | ||
3.67%, 02/15/47 (b) | 855,000 | 911,675 |
Series 2014-C16 Class A5 | ||
3.89%, 06/15/47 (b) | 200,000 | 221,961 |
Series 2015-C24 Class ASB | ||
3.48%, 05/15/48 (b) | 1,000,000 | 1,077,991 |
Morgan Stanley Capital I Trust | ||
Series 2012-C4 Class A4 | ||
3.24%, 03/15/45 (b) | 300,000 | 319,976 |
UBS-Barclays Commercial Mortgage Trust | ||
Series 2012-C4 Class A5 | ||
2.85%, 12/10/45 (b) | 500,000 | 523,563 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2013-LC12 Class A4 | ||
4.22%, 07/15/46 (a)(b) | 640,000 | 723,524 |
Series 2015-C31 Class A3 | ||
3.43%, 11/15/48 (b) | 500,000 | 536,881 |
Series 2015-C30 Class A4 | ||
3.66%, 09/15/58 (b) | 560,000 | 612,846 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11 Class A2 | ||
2.03%, 03/15/45 (b) | 600,000 | 602,247 |
Series 2012-C7 Class A1 | ||
2.30%, 06/15/45 (b) | 121,821 | 124,434 |
Series 2013-C14 Class A5 | ||
3.34%, 06/15/46 (b) | 547,687 | 588,669 |
Series 2013-C15 Class A4 | ||
4.15%, 08/15/46 (a)(b) | 255,000 | 287,612 |
Series 2014-C20 Class ASB | ||
3.64%, 05/15/47 (b) | 65,000 | 70,391 |
Series 2013-C12 Class A2 | ||
2.07%, 03/15/48 (b) | 550,000 | 554,641 |
Series 2013-C12 Class A4 | ||
3.20%, 03/15/48 (b) | 145,000 | 154,505 |
Total Commercial Mortgage-Backed Securities | ||
(Cost $52,060,350) | 53,650,453 | |
Corporate Bonds 25.2% of net assets | ||
Finance 7.8% | ||
Banking 5.6% | ||
American Express Co. | ||
7.00%, 03/19/18 | 250,000 | 273,194 |
8.13%, 05/20/19 | 250,000 | 293,253 |
2.65%, 12/02/22 | 500,000 | 507,280 |
6.80%, 09/01/66 (a)(b) | 1,250,000 | 1,251,562 |
American Express Credit Corp. | ||
2.13%, 07/27/18 | 300,000 | 304,715 |
2.38%, 05/26/20 (b) | 1,000,000 | 1,023,698 |
2.25%, 05/05/21 (b) | 1,000,000 | 1,018,425 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Bank of America Corp. | ||
6.40%, 08/28/17 | 500,000 | 527,729 |
5.75%, 12/01/17 | 1,500,000 | 1,588,201 |
6.88%, 04/25/18 | 300,000 | 327,665 |
5.65%, 05/01/18 | 800,000 | 857,693 |
2.60%, 01/15/19 | 2,500,000 | 2,559,732 |
2.65%, 04/01/19 | 1,500,000 | 1,537,723 |
7.63%, 06/01/19 | 1,000,000 | 1,158,197 |
5.63%, 07/01/20 | 1,750,000 | 1,970,598 |
5.88%, 01/05/21 | 800,000 | 918,656 |
5.00%, 05/13/21 | 500,000 | 560,449 |
3.30%, 01/11/23 | 2,800,000 | 2,885,823 |
3.95%, 04/21/25 | 500,000 | 510,114 |
3.88%, 08/01/25 | 3,000,000 | 3,188,535 |
7.75%, 05/14/38 | 250,000 | 353,105 |
5.88%, 02/07/42 | 1,000,000 | 1,266,870 |
5.00%, 01/21/44 | 1,000,000 | 1,161,257 |
Bank of America NA | ||
2.05%, 12/07/18 | 500,000 | 507,507 |
Bank of Montreal | ||
2.38%, 01/25/19 (b) | 600,000 | 616,180 |
Bank of New York Mellon Corp. | ||
2.30%, 09/11/19 (b) | 1,500,000 | 1,531,272 |
Bank of Nova Scotia | ||
2.05%, 10/30/18 | 250,000 | 254,110 |
1.85%, 04/14/20 | 500,000 | 506,907 |
2.80%, 07/21/21 | 500,000 | 521,986 |
Barclays Bank PLC | ||
5.14%, 10/14/20 | 500,000 | 530,380 |
Barclays PLC | ||
2.75%, 11/08/19 | 1,500,000 | 1,493,197 |
5.25%, 08/17/45 | 500,000 | 526,280 |
BB&T Corp. | ||
3.95%, 03/22/22 (b) | 100,000 | 107,403 |
Bear Stearns Cos. LLC | ||
6.40%, 10/02/17 | 1,000,000 | 1,062,632 |
BNP Paribas S.A. | ||
2.38%, 05/21/20 | 1,000,000 | 1,019,645 |
5.00%, 01/15/21 | 200,000 | 224,765 |
3.25%, 03/03/23 | 350,000 | 364,306 |
4.25%, 10/15/24 | 300,000 | 308,908 |
BPCE S.A. | ||
2.50%, 12/10/18 | 1,500,000 | 1,538,685 |
2.50%, 07/15/19 | 1,000,000 | 1,025,890 |
2.65%, 02/03/21 | 1,500,000 | 1,545,607 |
4.00%, 04/15/24 | 1,000,000 | 1,095,748 |
Branch Banking & Trust Co. | ||
3.63%, 09/16/25 (b) | 1,000,000 | 1,077,803 |
Capital One Bank USA NA | ||
2.25%, 02/13/19 (b) | 1,000,000 | 1,013,422 |
Capital One Financial Corp. | ||
4.75%, 07/15/21 | 800,000 | 891,514 |
4.20%, 10/29/25 (b) | 750,000 | 772,503 |
Capital One NA | ||
1.65%, 02/05/18 (b) | 1,000,000 | 1,001,211 |
1.50%, 03/22/18 (b) | 1,000,000 | 997,331 |
2.35%, 08/17/18 (b) | 1,000,000 | 1,014,476 |
2.40%, 09/05/19 (b) | 750,000 | 760,486 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Citigroup, Inc. | ||
1.85%, 11/24/17 | 800,000 | 804,684 |
1.80%, 02/05/18 | 650,000 | 652,918 |
2.15%, 07/30/18 | 1,000,000 | 1,012,700 |
2.50%, 09/26/18 | 2,500,000 | 2,550,925 |
2.40%, 02/18/20 | 1,000,000 | 1,011,109 |
2.65%, 10/26/20 | 2,500,000 | 2,546,637 |
4.50%, 01/14/22 | 750,000 | 830,029 |
3.30%, 04/27/25 | 1,500,000 | 1,539,385 |
5.50%, 09/13/25 | 500,000 | 561,496 |
4.60%, 03/09/26 | 500,000 | 531,130 |
3.40%, 05/01/26 | 3,500,000 | 3,596,197 |
4.65%, 07/30/45 | 500,000 | 551,737 |
4.75%, 08/15/46 | 500,000 | 503,752 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||
2.50%, 01/19/21 | 250,000 | 256,419 |
4.38%, 08/04/25 | 250,000 | 261,621 |
5.25%, 05/24/41 | 1,500,000 | 1,870,417 |
5.25%, 08/04/45 | 500,000 | 557,996 |
Credit Suisse Group Funding Guernsey Ltd. | ||
2.75%, 03/26/20 | 1,000,000 | 988,168 |
3.45%, 04/16/21 (c) | 1,000,000 | 1,011,055 |
3.75%, 03/26/25 | 1,500,000 | 1,470,834 |
Credit Suisse USA, Inc. | ||
3.63%, 09/09/24 | 300,000 | 310,699 |
Deutsche Bank AG | ||
3.13%, 01/13/21 | 2,000,000 | 1,999,566 |
Discover Financial Services | ||
3.85%, 11/21/22 | 500,000 | 508,512 |
First Tennessee Bank NA | ||
2.95%, 12/01/19 (b) | 250,000 | 251,337 |
Goldman Sachs Group, Inc. | ||
5.95%, 01/18/18 | 600,000 | 639,409 |
2.38%, 01/22/18 | 1,000,000 | 1,013,824 |
6.15%, 04/01/18 | 1,500,000 | 1,616,916 |
2.90%, 07/19/18 | 2,500,000 | 2,566,692 |
5.38%, 03/15/20 | 1,000,000 | 1,113,260 |
2.75%, 09/15/20 (b) | 2,000,000 | 2,043,468 |
5.25%, 07/27/21 | 1,262,000 | 1,425,744 |
5.75%, 01/24/22 | 1,100,000 | 1,278,598 |
3.85%, 07/08/24 (b) | 650,000 | 690,359 |
4.25%, 10/21/25 | 1,500,000 | 1,553,506 |
6.13%, 02/15/33 | 750,000 | 937,779 |
6.75%, 10/01/37 | 500,000 | 618,660 |
6.25%, 02/01/41 | 1,000,000 | 1,298,636 |
4.80%, 07/08/44 (b) | 500,000 | 555,690 |
5.15%, 05/22/45 | 500,000 | 523,624 |
HSBC Bank USA NA | ||
4.88%, 08/24/20 | 500,000 | 543,506 |
HSBC Holdings PLC | ||
5.10%, 04/05/21 | 850,000 | 938,491 |
2.95%, 05/25/21 | 500,000 | 505,523 |
4.30%, 03/08/26 | 1,000,000 | 1,058,832 |
3.90%, 05/25/26 | 2,000,000 | 2,060,160 |
6.50%, 09/15/37 | 500,000 | 602,918 |
6.80%, 06/01/38 | 500,000 | 624,754 |
HSBC USA, Inc. | ||
2.75%, 08/07/20 | 1,500,000 | 1,512,667 |
5.00%, 09/27/20 | 400,000 | 430,022 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
JPMorgan Chase & Co. | ||
6.00%, 01/15/18 | 1,750,000 | 1,871,989 |
1.70%, 03/01/18 (b) | 2,250,000 | 2,262,982 |
6.30%, 04/23/19 | 1,000,000 | 1,124,553 |
2.25%, 01/23/20 (b) | 1,000,000 | 1,014,258 |
4.25%, 10/15/20 | 500,000 | 545,297 |
2.55%, 10/29/20 (b) | 2,750,000 | 2,811,333 |
4.50%, 01/24/22 | 1,000,000 | 1,113,672 |
3.20%, 01/25/23 | 500,000 | 518,722 |
3.38%, 05/01/23 | 1,000,000 | 1,021,076 |
3.88%, 02/01/24 | 500,000 | 540,695 |
3.88%, 09/10/24 | 1,000,000 | 1,037,149 |
3.13%, 01/23/25 (b) | 1,000,000 | 1,023,448 |
3.30%, 04/01/26 (b) | 4,000,000 | 4,144,348 |
4.13%, 12/15/26 | 500,000 | 530,887 |
6.40%, 05/15/38 | 650,000 | 891,968 |
5.50%, 10/15/40 | 500,000 | 627,247 |
5.40%, 01/06/42 | 600,000 | 747,729 |
4.95%, 06/01/45 | 500,000 | 550,304 |
KeyCorp | ||
2.30%, 12/13/18 (b) | 500,000 | 508,439 |
Lloyds Bank PLC | ||
2.30%, 11/27/18 | 600,000 | 603,588 |
2.35%, 09/05/19 | 500,000 | 503,240 |
6.38%, 01/21/21 | 500,000 | 586,295 |
Lloyds Banking Group PLC | ||
4.50%, 11/04/24 | 500,000 | 508,118 |
4.65%, 03/24/26 | 1,000,000 | 1,014,581 |
Manufacturers & Traders Trust Co. | ||
5.63%, 12/01/21 (a)(b) | 250,000 | 243,750 |
Morgan Stanley | ||
6.25%, 08/28/17 | 500,000 | 527,196 |
5.95%, 12/28/17 | 1,750,000 | 1,861,683 |
1.88%, 01/05/18 | 2,500,000 | 2,515,065 |
7.30%, 05/13/19 | 700,000 | 804,799 |
5.63%, 09/23/19 | 1,500,000 | 1,665,498 |
2.65%, 01/27/20 | 1,000,000 | 1,017,349 |
5.50%, 07/28/21 | 1,500,000 | 1,714,729 |
4.10%, 05/22/23 | 750,000 | 778,810 |
4.00%, 07/23/25 | 3,000,000 | 3,218,490 |
5.00%, 11/24/25 | 500,000 | 548,431 |
4.35%, 09/08/26 | 1,000,000 | 1,048,270 |
7.25%, 04/01/32 | 500,000 | 694,909 |
4.30%, 01/27/45 | 500,000 | 528,475 |
National Australia Bank Ltd. | ||
3.00%, 01/20/23 | 250,000 | 261,735 |
PNC Bank NA | ||
2.25%, 07/02/19 (b) | 1,500,000 | 1,532,875 |
2.95%, 01/30/23 (b) | 500,000 | 509,592 |
Rabobank Nederland | ||
4.63%, 12/01/23 | 450,000 | 475,268 |
Regions Bank | ||
6.45%, 06/26/37 | 250,000 | 299,253 |
Regions Financial Corp. | ||
2.00%, 05/15/18 (b) | 1,000,000 | 1,002,183 |
Royal Bank of Canada | ||
1.20%, 09/19/17 | 250,000 | 250,587 |
2.20%, 07/27/18 | 750,000 | 764,961 |
2.15%, 03/15/19 | 1,250,000 | 1,277,552 |
2.50%, 01/19/21 | 500,000 | 516,962 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Royal Bank of Scotland Group PLC | ||
4.80%, 04/05/26 | 500,000 | 509,785 |
Santander UK PLC | ||
3.05%, 08/23/18 | 300,000 | 307,187 |
Sumitomo Mitsui Banking Corp. | ||
1.80%, 07/18/17 | 500,000 | 502,887 |
2.05%, 01/18/19 | 250,000 | 252,416 |
3.40%, 07/11/24 | 500,000 | 532,230 |
Sumitomo Mitsui Financial Group, Inc. | ||
2.93%, 03/09/21 | 500,000 | 521,478 |
Svenska Handelsbanken AB | ||
2.40%, 10/01/20 | 250,000 | 256,334 |
Synchrony Financial | ||
3.00%, 08/15/19 (b) | 750,000 | 763,049 |
4.50%, 07/23/25 (b) | 900,000 | 934,902 |
Toronto-Dominion Bank | ||
1.75%, 07/23/18 | 500,000 | 505,272 |
2.13%, 07/02/19 | 750,000 | 768,015 |
2.50%, 12/14/20 | 1,500,000 | 1,552,509 |
UBS AG | ||
1.80%, 03/26/18 | 1,250,000 | 1,262,212 |
2.38%, 08/14/19 | 1,000,000 | 1,023,169 |
4.88%, 08/04/20 | 1,000,000 | 1,122,678 |
US Bancorp | ||
3.00%, 03/15/22 (b) | 600,000 | 638,656 |
Wachovia Corp. | ||
5.75%, 02/01/18 | 500,000 | 535,237 |
5.50%, 08/01/35 | 250,000 | 289,055 |
Wells Fargo & Co. | ||
1.40%, 09/08/17 | 1,500,000 | 1,504,878 |
5.63%, 12/11/17 | 1,000,000 | 1,063,301 |
1.50%, 01/16/18 | 500,000 | 502,914 |
2.13%, 04/22/19 | 500,000 | 510,973 |
2.60%, 07/22/20 | 1,150,000 | 1,182,554 |
4.60%, 04/01/21 | 1,000,000 | 1,118,183 |
3.45%, 02/13/23 | 500,000 | 517,822 |
3.00%, 04/22/26 | 1,000,000 | 1,020,645 |
4.10%, 06/03/26 | 2,000,000 | 2,141,846 |
5.38%, 02/07/35 | 1,500,000 | 1,831,083 |
4.65%, 11/04/44 | 500,000 | 528,598 |
Wells Fargo Bank NA | ||
1.75%, 05/24/19 | 500,000 | 506,978 |
Westpac Banking Corp. | ||
4.88%, 11/19/19 | 400,000 | 442,744 |
175,996,919 | ||
Brokerage 0.2% | ||
BlackRock, Inc. | ||
3.50%, 03/18/24 | 1,000,000 | 1,085,959 |
CME Group, Inc. | ||
5.30%, 09/15/43 (b) | 500,000 | 640,319 |
Intercontinental Exchange, Inc. | ||
2.75%, 12/01/20 (b) | 1,000,000 | 1,052,378 |
Invesco Finance plc | ||
3.75%, 01/15/26 | 650,000 | 698,579 |
Jefferies Group LLC | ||
5.13%, 01/20/23 | 700,000 | 736,378 |
6.25%, 01/15/36 | 150,000 | 151,257 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Nomura Holdings, Inc. | ||
2.75%, 03/19/19 | 750,000 | 768,004 |
6.70%, 03/04/20 | 1,000,000 | 1,162,019 |
6,294,893 | ||
Finance Company 0.2% | ||
Air Lease Corp. | ||
2.63%, 09/04/18 (b) | 500,000 | 500,156 |
3.38%, 01/15/19 (b) | 200,000 | 204,500 |
GATX Corp. | ||
5.20%, 03/15/44 (b) | 500,000 | 519,925 |
GE Capital International Funding Co. | ||
3.37%, 11/15/25 (c) | 1,000,000 | 1,086,545 |
4.42%, 11/15/35 (c) | 1,500,000 | 1,685,754 |
HSBC Finance Corp. | ||
6.68%, 01/15/21 | 350,000 | 392,563 |
International Lease Finance Corp. | ||
7.13%, 09/01/18 (c) | 1,500,000 | 1,650,660 |
6,040,103 | ||
Insurance 1.2% | ||
ACE INA Holdings, Inc. | ||
2.70%, 03/13/23 | 750,000 | 771,454 |
4.35%, 11/03/45 (b) | 750,000 | 865,052 |
Aetna, Inc. | ||
3.50%, 11/15/24 (b) | 350,000 | 369,905 |
4.38%, 06/15/46 (b) | 500,000 | 521,426 |
Aflac, Inc. | ||
3.63%, 06/15/23 | 500,000 | 535,509 |
Allied World Assurance Co. Holdings Ltd. | ||
4.35%, 10/29/25 (b) | 2,500,000 | 2,562,830 |
Allstate Corp. | ||
4.50%, 06/15/43 | 300,000 | 350,214 |
American International Group, Inc. | ||
5.85%, 01/16/18 | 500,000 | 533,367 |
2.30%, 07/16/19 (b) | 2,000,000 | 2,036,514 |
6.40%, 12/15/20 | 500,000 | 588,610 |
4.13%, 02/15/24 | 1,000,000 | 1,056,655 |
3.88%, 01/15/35 (b) | 450,000 | 432,260 |
4.50%, 07/16/44 (b) | 1,000,000 | 971,233 |
Anthem, Inc. | ||
2.25%, 08/15/19 | 500,000 | 504,833 |
3.30%, 01/15/23 | 750,000 | 775,829 |
5.85%, 01/15/36 | 750,000 | 901,079 |
4.65%, 08/15/44 (b) | 500,000 | 534,611 |
Aon Corp. | ||
8.21%, 01/01/27 | 100,000 | 128,718 |
Aon plc | ||
3.88%, 12/15/25 (b) | 1,000,000 | 1,056,780 |
Assurant, Inc. | ||
2.50%, 03/15/18 | 400,000 | 405,007 |
6.75%, 02/15/34 | 400,000 | 497,889 |
Berkshire Hathaway Finance Corp. | ||
5.40%, 05/15/18 | 500,000 | 540,927 |
4.25%, 01/15/21 | 300,000 | 333,863 |
5.75%, 01/15/40 | 100,000 | 133,065 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Berkshire Hathaway, Inc. | ||
3.13%, 03/15/26 (b) | 1,500,000 | 1,574,748 |
Chubb Corp. | ||
6.00%, 05/11/37 | 250,000 | 340,042 |
Chubb INA Holdings, Inc. | ||
2.88%, 11/03/22 (b) | 1,000,000 | 1,046,927 |
Cigna Corp. | ||
4.00%, 02/15/22 (b) | 150,000 | 161,764 |
3.25%, 04/15/25 (b) | 1,000,000 | 1,017,576 |
5.88%, 03/15/41 (b) | 250,000 | 307,849 |
5.38%, 02/15/42 (b) | 300,000 | 356,371 |
CNA Financial Corp. | ||
7.35%, 11/15/19 | 250,000 | 289,127 |
Hartford Financial Services Group, Inc. | ||
5.13%, 04/15/22 | 1,000,000 | 1,138,735 |
5.95%, 10/15/36 | 300,000 | 369,206 |
6.63%, 03/30/40 | 250,000 | 323,789 |
6.10%, 10/01/41 | 350,000 | 433,460 |
4.30%, 04/15/43 | 750,000 | 752,122 |
Humana, Inc. | ||
3.85%, 10/01/24 (b) | 1,000,000 | 1,069,847 |
MetLife, Inc. | ||
4.75%, 02/08/21 | 750,000 | 838,026 |
3.60%, 04/10/24 | 1,000,000 | 1,055,730 |
5.70%, 06/15/35 | 500,000 | 605,330 |
Prudential Financial, Inc. | ||
6.00%, 12/01/17 | 96,000 | 102,302 |
4.50%, 11/16/21 | 300,000 | 337,357 |
5.63%, 06/15/43 (a)(b) | 700,000 | 730,849 |
The Progressive Corp. | ||
3.70%, 01/26/45 | 300,000 | 309,601 |
Travelers Cos., Inc. | ||
5.90%, 06/02/19 | 160,000 | 180,643 |
6.25%, 06/15/37 | 750,000 | 1,041,298 |
UnitedHealth Group, Inc. | ||
1.40%, 10/15/17 | 500,000 | 502,690 |
6.00%, 02/15/18 | 150,000 | 161,788 |
2.88%, 03/15/22 (b) | 1,000,000 | 1,045,125 |
3.75%, 07/15/25 | 500,000 | 549,193 |
6.88%, 02/15/38 | 750,000 | 1,096,591 |
4.75%, 07/15/45 | 750,000 | 905,824 |
Unum Group | ||
5.63%, 09/15/20 | 350,000 | 393,697 |
Voya Financial, Inc. | ||
2.90%, 02/15/18 | 572,000 | 582,934 |
3.65%, 06/15/26 | 1,000,000 | 1,006,795 |
5.70%, 07/15/43 | 200,000 | 226,902 |
XLIT Ltd. | ||
2.30%, 12/15/18 | 300,000 | 303,269 |
6.25%, 05/15/27 | 200,000 | 241,146 |
5.25%, 12/15/43 | 250,000 | 272,282 |
39,078,565 | ||
Other Financial 0.0% | ||
CME Group, Inc. | ||
3.00%, 09/15/22 | 200,000 | 212,483 |
212,483 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Real Estate Investment Trust 0.6% | ||
Boston Properties LP | ||
3.80%, 02/01/24 (b) | 100,000 | 107,524 |
Brandywine Operating Partnership LP | ||
3.95%, 02/15/23 (b) | 750,000 | 758,908 |
DDR Corp. | ||
3.63%, 02/01/25 (b) | 200,000 | 200,954 |
Digital Realty Trust LP | ||
5.88%, 02/01/20 | 250,000 | 280,616 |
5.25%, 03/15/21 (b) | 250,000 | 281,313 |
Duke Realty LP | ||
3.25%, 06/30/26 (b) | 250,000 | 253,997 |
ERP Operating LP | ||
3.38%, 06/01/25 (b) | 250,000 | 264,185 |
4.50%, 06/01/45 (b) | 250,000 | 277,367 |
Essex Portfolio LP | ||
3.88%, 05/01/24 (b) | 500,000 | 532,696 |
3.50%, 04/01/25 (b) | 500,000 | 517,006 |
Federal Realty Investment Trust | ||
2.55%, 01/15/21 (b) | 1,000,000 | 1,020,951 |
4.50%, 12/01/44 (b) | 350,000 | 383,100 |
HCP, Inc. | ||
6.70%, 01/30/18 | 100,000 | 107,443 |
2.63%, 02/01/20 (b) | 300,000 | 302,644 |
5.38%, 02/01/21 (b) | 500,000 | 556,376 |
3.40%, 02/01/25 (b) | 300,000 | 290,611 |
Host Hotels & Resorts LP | ||
3.75%, 10/15/23 (b) | 250,000 | 252,210 |
Kilroy Realty LP | ||
3.80%, 01/15/23 (b) | 250,000 | 262,497 |
4.38%, 10/01/25 (b) | 1,000,000 | 1,081,679 |
4.25%, 08/15/29 (b) | 200,000 | 212,094 |
Kimco Realty Corp. | ||
3.20%, 05/01/21 (b) | 250,000 | 259,966 |
3.40%, 11/01/22 (b) | 350,000 | 367,378 |
Omega Healthcare Investors, Inc. | ||
4.95%, 04/01/24 (b) | 1,100,000 | 1,146,189 |
Prologis LP | ||
2.75%, 02/15/19 (b) | 300,000 | 308,503 |
4.25%, 08/15/23 (b) | 800,000 | 887,157 |
3.75%, 11/01/25 (b) | 1,000,000 | 1,067,891 |
Realty Income Corp. | ||
3.88%, 07/15/24 (b) | 1,150,000 | 1,209,860 |
Simon Property Group LP | ||
2.15%, 09/15/17 (b) | 500,000 | 505,302 |
5.65%, 02/01/20 (b) | 102,000 | 115,347 |
3.30%, 01/15/26 (b) | 250,000 | 267,380 |
Ventas Realty LP | ||
4.25%, 03/01/22 (b) | 200,000 | 216,136 |
3.25%, 08/15/22 (b) | 250,000 | 258,712 |
3.50%, 02/01/25 (b) | 1,000,000 | 1,026,919 |
4.38%, 02/01/45 (b) | 250,000 | 247,774 |
Vornado Realty LP | ||
2.50%, 06/30/19 (b) | 500,000 | 509,761 |
5.00%, 01/15/22 (b) | 500,000 | 545,463 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Welltower, Inc. | ||
4.13%, 04/01/19 (b) | 500,000 | 529,330 |
4.50%, 01/15/24 (b) | 400,000 | 434,426 |
WP Carey, Inc. | ||
4.00%, 02/01/25 (b) | 400,000 | 389,330 |
18,236,995 | ||
245,859,958 | ||
Industrial 15.5% | ||
Basic Industry 0.9% | ||
Agrium, Inc. | ||
6.75%, 01/15/19 | 250,000 | 278,310 |
3.50%, 06/01/23 (b) | 500,000 | 519,798 |
4.13%, 03/15/35 (b) | 1,500,000 | 1,453,203 |
5.25%, 01/15/45 (b) | 250,000 | 269,179 |
Air Products & Chemicals, Inc. | ||
4.38%, 08/21/19 | 125,000 | 136,813 |
Airgas, Inc. | ||
1.65%, 02/15/18 (b) | 350,000 | 351,352 |
2.38%, 02/15/20 (b) | 250,000 | 255,272 |
3.05%, 08/01/20 (b) | 100,000 | 104,142 |
3.65%, 07/15/24 (b) | 800,000 | 841,075 |
Albemarle Corp. | ||
4.50%, 12/15/20 (b) | 250,000 | 266,287 |
Barrick Gold Corp. | ||
4.10%, 05/01/23 | 2,004,000 | 2,117,098 |
5.25%, 04/01/42 | 1,000,000 | 1,024,322 |
Barrick North America Finance LLC | ||
4.40%, 05/30/21 | 326,000 | 351,395 |
5.70%, 05/30/41 | 250,000 | 259,079 |
5.75%, 05/01/43 | 300,000 | 326,919 |
BHP Billiton Finance USA Ltd. | ||
2.05%, 09/30/18 | 250,000 | 253,358 |
3.25%, 11/21/21 | 350,000 | 370,207 |
3.85%, 09/30/23 | 250,000 | 272,300 |
5.00%, 09/30/43 | 300,000 | 349,416 |
CF Industries, Inc. | ||
7.13%, 05/01/20 | 100,000 | 115,478 |
Dow Chemical Co. | ||
8.55%, 05/15/19 | 500,000 | 593,903 |
3.00%, 11/15/22 (b) | 750,000 | 771,626 |
4.25%, 10/01/34 (b) | 500,000 | 517,699 |
5.25%, 11/15/41 (b) | 200,000 | 222,947 |
Eastman Chemical Co. | ||
2.70%, 01/15/20 (b) | 350,000 | 360,259 |
3.60%, 08/15/22 (b) | 100,000 | 105,187 |
Ecolab, Inc. | ||
2.25%, 01/12/20 | 250,000 | 254,708 |
4.35%, 12/08/21 | 200,000 | 226,689 |
EI du Pont de Nemours & Co. | ||
5.75%, 03/15/19 | 200,000 | 222,072 |
2.80%, 02/15/23 | 500,000 | 513,606 |
Goldcorp, Inc. | ||
2.13%, 03/15/18 | 500,000 | 500,940 |
3.63%, 06/09/21 (b) | 500,000 | 515,606 |
3.70%, 03/15/23 (b) | 300,000 | 305,753 |
5.45%, 06/09/44 (b) | 500,000 | 507,249 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
International Paper Co. | ||
4.75%, 02/15/22 (b) | 207,000 | 230,246 |
LYB International Finance BV | ||
4.00%, 07/15/23 | 750,000 | 804,244 |
5.25%, 07/15/43 | 500,000 | 548,786 |
LyondellBasell Industries NV | ||
5.00%, 04/15/19 (b) | 650,000 | 703,969 |
6.00%, 11/15/21 (b) | 250,000 | 293,449 |
Monsanto Co. | ||
4.20%, 07/15/34 (b) | 250,000 | 251,180 |
Mosaic Co. | ||
4.25%, 11/15/23 (b) | 250,000 | 269,679 |
Newmont Mining Corp. | ||
3.50%, 03/15/22 (b) | 150,000 | 155,950 |
6.25%, 10/01/39 | 150,000 | 167,469 |
Nucor Corp. | ||
5.75%, 12/01/17 | 500,000 | 526,884 |
4.13%, 09/15/22 (b) | 250,000 | 272,276 |
5.20%, 08/01/43 (b) | 300,000 | 325,601 |
Packaging Corp. of America | ||
3.90%, 06/15/22 (b) | 1,500,000 | 1,592,347 |
4.50%, 11/01/23 (b) | 1,000,000 | 1,087,846 |
Potash Corp. of Saskatchewan, Inc. | ||
3.63%, 03/15/24 (b) | 350,000 | 369,605 |
5.88%, 12/01/36 | 100,000 | 120,760 |
Praxair, Inc. | ||
2.65%, 02/05/25 (b) | 500,000 | 518,263 |
3.20%, 01/30/26 (b) | 1,500,000 | 1,623,441 |
Rio Tinto Finance USA PLC | ||
3.50%, 03/22/22 (b) | 581,000 | 612,165 |
4.75%, 03/22/42 (b) | 100,000 | 106,371 |
Southern Copper Corp. | ||
5.38%, 04/16/20 | 250,000 | 271,799 |
5.25%, 11/08/42 | 100,000 | 89,132 |
Vale Overseas Ltd. | ||
4.63%, 09/15/20 | 250,000 | 243,438 |
4.38%, 01/11/22 | 750,000 | 704,775 |
6.88%, 11/21/36 | 100,000 | 91,500 |
Vale S.A. | ||
5.63%, 09/11/42 | 200,000 | 164,000 |
Valspar Corp. | ||
4.20%, 01/15/22 (b) | 100,000 | 107,099 |
WestRock RKT Co. | ||
4.90%, 03/01/22 | 200,000 | 222,289 |
Weyerhaeuser Co. | ||
7.38%, 03/15/32 | 350,000 | 464,230 |
28,472,040 | ||
Capital Goods 1.3% | ||
3M Co. | ||
1.63%, 06/15/19 | 500,000 | 509,810 |
ABB Finance USA, Inc. | ||
2.88%, 05/08/22 | 100,000 | 104,265 |
Avery Dennison Corp. | ||
5.38%, 04/15/20 | 105,000 | 115,355 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Boeing Co. | ||
0.95%, 05/15/18 | 250,000 | 250,254 |
4.88%, 02/15/20 | 250,000 | 281,237 |
2.60%, 10/30/25 (b) | 750,000 | 781,917 |
5.88%, 02/15/40 | 350,000 | 488,122 |
3.50%, 03/01/45 (b) | 1,250,000 | 1,279,134 |
Caterpillar Financial Services Corp. | ||
1.25%, 11/06/17 | 400,000 | 401,580 |
1.50%, 02/23/18 | 300,000 | 302,767 |
1.70%, 06/16/18 | 1,000,000 | 1,013,033 |
7.15%, 02/15/19 | 250,000 | 287,247 |
Caterpillar, Inc. | ||
3.90%, 05/27/21 | 1,000,000 | 1,101,127 |
6.05%, 08/15/36 | 150,000 | 196,943 |
Deere & Co. | ||
2.60%, 06/08/22 (b) | 200,000 | 205,562 |
5.38%, 10/16/29 | 150,000 | 191,690 |
Eaton Corp. | ||
1.50%, 11/02/17 | 150,000 | 150,779 |
2.75%, 11/02/22 | 250,000 | 256,664 |
4.00%, 11/02/32 | 100,000 | 107,036 |
4.15%, 11/02/42 | 100,000 | 108,147 |
Fortive Corp. | ||
2.35%, 06/15/21 (b)(c) | 500,000 | 507,915 |
4.30%, 06/15/46 (b)(c) | 500,000 | 533,566 |
General Dynamics Corp. | ||
1.00%, 11/15/17 | 300,000 | 301,165 |
General Electric Capital Corp. | ||
4.38%, 09/16/20 | 2,000,000 | 2,228,786 |
3.45%, 05/15/24 (b) | 1,000,000 | 1,089,903 |
6.15%, 08/07/37 | 500,000 | 696,965 |
5.88%, 01/14/38 | 1,000,000 | 1,355,225 |
General Electric Co. | ||
5.25%, 12/06/17 | 700,000 | 741,762 |
2.70%, 10/09/22 | 900,000 | 945,369 |
3.38%, 03/11/24 | 1,600,000 | 1,743,242 |
4.13%, 10/09/42 | 1,200,000 | 1,323,181 |
4.50%, 03/11/44 | 400,000 | 462,745 |
Honeywell International, Inc. | ||
5.00%, 02/15/19 | 1,000,000 | 1,102,589 |
Illinois Tool Works, Inc. | ||
3.90%, 09/01/42 (b) | 100,000 | 107,776 |
Ingersoll-Rand Luxembourg Finance S.A. | ||
2.63%, 05/01/20 (b) | 500,000 | 508,517 |
John Deere Capital Corp. | ||
1.55%, 12/15/17 | 450,000 | 454,346 |
1.35%, 01/16/18 | 500,000 | 503,715 |
1.75%, 08/10/18 | 500,000 | 507,373 |
1.70%, 01/15/20 | 750,000 | 756,173 |
3.90%, 07/12/21 | 500,000 | 553,086 |
L-3 Communications Corp. | ||
4.95%, 02/15/21 (b) | 500,000 | 547,335 |
Lockheed Martin Corp. | ||
1.85%, 11/23/18 | 500,000 | 507,078 |
4.25%, 11/15/19 | 250,000 | 273,900 |
2.50%, 11/23/20 (b) | 500,000 | 516,459 |
3.35%, 09/15/21 | 500,000 | 533,695 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Northrop Grumman Corp. | ||
3.50%, 03/15/21 | 500,000 | 537,444 |
3.25%, 08/01/23 | 2,000,000 | 2,149,570 |
4.75%, 06/01/43 | 1,000,000 | 1,197,781 |
3.85%, 04/15/45 (b) | 250,000 | 261,394 |
Owens Corning | ||
4.20%, 12/15/22 (b) | 1,000,000 | 1,067,791 |
Packaging Corp. of America | ||
3.65%, 09/15/24 (b) | 500,000 | 517,345 |
Republic Services, Inc. | ||
3.55%, 06/01/22 (b) | 750,000 | 810,961 |
2.90%, 07/01/26 (b)(g) | 1,000,000 | 1,016,323 |
Roper Technologies, Inc. | ||
3.13%, 11/15/22 (b) | 250,000 | 256,203 |
Textron, Inc. | ||
5.95%, 09/21/21 (b) | 200,000 | 231,815 |
3.88%, 03/01/25 (b) | 250,000 | 264,616 |
Tyco International Finance S.A. | ||
3.90%, 02/14/26 (b) | 500,000 | 539,532 |
5.13%, 09/14/45 (b) | 500,000 | 575,589 |
United Technologies Corp. | ||
5.38%, 12/15/17 | 300,000 | 318,948 |
6.13%, 02/01/19 | 400,000 | 449,875 |
4.50%, 04/15/20 | 500,000 | 557,491 |
3.10%, 06/01/22 | 600,000 | 640,081 |
6.13%, 07/15/38 | 150,000 | 205,882 |
5.70%, 04/15/40 | 1,000,000 | 1,324,454 |
4.50%, 06/01/42 | 900,000 | 1,033,255 |
Valmont Industries, Inc. | ||
5.00%, 10/01/44 (b) | 200,000 | 186,587 |
Vulcan Materials Co. | ||
7.50%, 06/15/21 | 300,000 | 361,890 |
Waste Management, Inc. | ||
6.10%, 03/15/18 | 100,000 | 108,451 |
2.90%, 09/15/22 (b) | 200,000 | 209,673 |
4.10%, 03/01/45 (b) | 500,000 | 548,001 |
42,305,487 | ||
Communications 2.4% | ||
21st Century Fox America, Inc. | ||
6.90%, 03/01/19 | 180,000 | 204,925 |
4.00%, 10/01/23 | 1,000,000 | 1,101,197 |
6.15%, 03/01/37 | 200,000 | 249,032 |
6.15%, 02/15/41 | 350,000 | 438,596 |
America Movil S.A.B. de C.V. | ||
3.13%, 07/16/22 | 200,000 | 205,766 |
6.13%, 03/30/40 | 500,000 | 617,231 |
4.38%, 07/16/42 | 500,000 | 508,450 |
American Tower Corp. | ||
3.40%, 02/15/19 | 750,000 | 781,486 |
5.05%, 09/01/20 | 250,000 | 278,246 |
5.00%, 02/15/24 | 100,000 | 113,282 |
AT&T, Inc. | ||
1.40%, 12/01/17 | 750,000 | 751,461 |
5.50%, 02/01/18 | 1,900,000 | 2,023,053 |
5.80%, 02/15/19 | 800,000 | 887,226 |
2.45%, 06/23/20 (b) | 1,500,000 | 1,532,859 |
3.00%, 02/15/22 | 350,000 | 357,393 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
3.95%, 01/15/25 (b) | 250,000 | 266,206 |
3.40%, 05/15/25 (b) | 1,000,000 | 1,024,810 |
4.13%, 02/17/26 (b) | 1,000,000 | 1,076,331 |
6.15%, 09/15/34 | 700,000 | 820,913 |
4.50%, 05/15/35 (b) | 1,000,000 | 1,026,194 |
6.00%, 08/15/40 (b) | 1,000,000 | 1,171,818 |
5.35%, 09/01/40 | 250,000 | 274,431 |
5.55%, 08/15/41 | 750,000 | 843,251 |
5.15%, 03/15/42 | 400,000 | 433,166 |
4.30%, 12/15/42 (b) | 750,000 | 728,984 |
4.35%, 06/15/45 (b) | 500,000 | 486,446 |
4.75%, 05/15/46 (b) | 500,000 | 514,482 |
5.65%, 02/15/47 (b) | 500,000 | 574,816 |
CBS Corp. | ||
5.50%, 05/15/33 | 300,000 | 334,110 |
4.90%, 08/15/44 (b) | 400,000 | 407,187 |
4.60%, 01/15/45 (b) | 250,000 | 248,754 |
Charter Communications Operating LLC/Charter Communications Operating Capital | ||
4.91%, 07/23/25 (b)(c) | 2,000,000 | 2,190,542 |
6.38%, 10/23/35 (b)(c) | 500,000 | 593,809 |
6.48%, 10/23/45 (b)(c) | 1,250,000 | 1,497,855 |
Comcast Corp. | ||
5.15%, 03/01/20 | 500,000 | 565,311 |
2.85%, 01/15/23 | 1,250,000 | 1,315,305 |
6.95%, 08/15/37 | 1,000,000 | 1,441,111 |
4.65%, 07/15/42 | 500,000 | 575,121 |
4.60%, 08/15/45 (b) | 1,000,000 | 1,154,263 |
Crown Castle International Corp. | ||
4.88%, 04/15/22 | 750,000 | 825,525 |
4.45%, 02/15/26 (b) | 1,000,000 | 1,087,728 |
Discovery Communications LLC | ||
3.30%, 05/15/22 | 500,000 | 505,899 |
3.45%, 03/15/25 (b) | 500,000 | 490,106 |
Electronic Arts, Inc. | ||
3.70%, 03/01/21 (b) | 300,000 | 314,882 |
4.80%, 03/01/26 (b) | 500,000 | 541,929 |
Grupo Televisa S.A.B. | ||
6.00%, 05/15/18 | 200,000 | 215,886 |
6.63%, 03/18/25 | 500,000 | 614,937 |
6.63%, 01/15/40 | 500,000 | 577,596 |
5.00%, 05/13/45 (b) | 250,000 | 241,210 |
6.13%, 01/31/46 (b) | 750,000 | 831,952 |
NBCUniversal Media LLC | ||
5.15%, 04/30/20 | 1,000,000 | 1,134,053 |
4.38%, 04/01/21 | 1,750,000 | 1,962,264 |
5.95%, 04/01/41 | 350,000 | 471,961 |
Omnicom Group, Inc. | ||
4.45%, 08/15/20 | 250,000 | 276,065 |
3.63%, 05/01/22 | 1,000,000 | 1,063,898 |
3.65%, 11/01/24 (b) | 250,000 | 264,025 |
3.60%, 04/15/26 (b) | 500,000 | 527,680 |
Qwest Corp. | ||
6.75%, 12/01/21 | 350,000 | 379,540 |
Rogers Communications, Inc. | ||
3.00%, 03/15/23 (b) | 250,000 | 261,242 |
3.63%, 12/15/25 (b) | 500,000 | 535,230 |
5.00%, 03/15/44 (b) | 500,000 | 570,182 |
TCI Communications, Inc. | ||
7.13%, 02/15/28 | 300,000 | 418,095 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Telefonica Emisiones S.A.U. | ||
6.22%, 07/03/17 | 150,000 | 156,646 |
5.13%, 04/27/20 | 250,000 | 276,198 |
5.46%, 02/16/21 | 250,000 | 285,518 |
4.57%, 04/27/23 | 150,000 | 166,302 |
7.05%, 06/20/36 | 150,000 | 192,204 |
Telefonos de Mexico S.A.B. de C.V. | ||
5.50%, 11/15/19 | 600,000 | 671,702 |
Time Warner Cable, Inc. | ||
5.00%, 02/01/20 | 1,000,000 | 1,087,839 |
4.13%, 02/15/21 (b) | 500,000 | 529,848 |
5.88%, 11/15/40 (b) | 1,000,000 | 1,092,598 |
Time Warner, Inc. | ||
2.10%, 06/01/19 | 1,500,000 | 1,521,237 |
4.75%, 03/29/21 | 300,000 | 337,371 |
3.55%, 06/01/24 (b) | 400,000 | 425,672 |
7.63%, 04/15/31 | 100,000 | 137,500 |
7.70%, 05/01/32 | 200,000 | 279,940 |
6.50%, 11/15/36 | 250,000 | 318,014 |
4.85%, 07/15/45 (b) | 1,000,000 | 1,091,610 |
Verizon Communications, Inc. | ||
3.65%, 09/14/18 | 1,500,000 | 1,577,029 |
2.63%, 02/21/20 | 1,000,000 | 1,035,760 |
4.50%, 09/15/20 | 500,000 | 555,513 |
4.60%, 04/01/21 | 500,000 | 561,147 |
3.00%, 11/01/21 (b) | 500,000 | 525,815 |
5.15%, 09/15/23 | 1,250,000 | 1,458,011 |
4.15%, 03/15/24 (b) | 1,000,000 | 1,104,945 |
3.50%, 11/01/24 (b) | 1,000,000 | 1,065,408 |
4.40%, 11/01/34 (b) | 2,500,000 | 2,585,855 |
5.85%, 09/15/35 | 3,146,000 | 3,830,459 |
4.86%, 08/21/46 | 1,000,000 | 1,097,574 |
4.52%, 09/15/48 | 388,000 | 405,766 |
5.01%, 08/21/54 | 500,000 | 531,094 |
Viacom, Inc. | ||
4.50%, 03/01/21 | 1,000,000 | 1,089,063 |
4.25%, 09/01/23 (b) | 1,000,000 | 1,040,477 |
3.88%, 04/01/24 (b) | 400,000 | 406,936 |
6.88%, 04/30/36 | 200,000 | 220,171 |
Vodafone Group PLC | ||
1.50%, 02/19/18 | 1,500,000 | 1,499,806 |
2.50%, 09/26/22 | 500,000 | 493,853 |
2.95%, 02/19/23 | 1,000,000 | 1,004,641 |
Walt Disney Co. | ||
1.10%, 12/01/17 | 250,000 | 251,170 |
2.35%, 12/01/22 | 1,250,000 | 1,293,459 |
3.00%, 02/13/26 | 800,000 | 861,718 |
76,793,173 | ||
Consumer Cyclical 2.0% | ||
Alibaba Group Holding Ltd. | ||
3.13%, 11/28/21 (b) | 250,000 | 256,176 |
4.50%, 11/28/34 (b) | 500,000 | 523,094 |
Amazon.com, Inc. | ||
2.60%, 12/05/19 (b) | 1,000,000 | 1,043,894 |
2.50%, 11/29/22 (b) | 400,000 | 413,094 |
3.80%, 12/05/24 (b) | 500,000 | 561,410 |
4.95%, 12/05/44 (b) | 500,000 | 611,092 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
AutoZone, Inc. | ||
3.70%, 04/15/22 (b) | 500,000 | 534,186 |
3.25%, 04/15/25 (b) | 1,000,000 | 1,038,576 |
Best Buy Co., Inc. | ||
5.00%, 08/01/18 | 500,000 | 527,185 |
Carnival Corp. | ||
3.95%, 10/15/20 | 350,000 | 377,929 |
Costco Wholesale Corp. | ||
1.70%, 12/15/19 | 500,000 | 512,286 |
1.75%, 02/15/20 | 500,000 | 510,288 |
CVS Health Corp. | ||
2.25%, 08/12/19 (b) | 1,250,000 | 1,284,659 |
3.38%, 08/12/24 (b) | 1,000,000 | 1,064,654 |
3.88%, 07/20/25 (b) | 443,000 | 488,205 |
5.30%, 12/05/43 (b) | 200,000 | 250,646 |
5.13%, 07/20/45 (b) | 2,250,000 | 2,802,739 |
Delphi Corp. | ||
5.00%, 02/15/23 (b) | 300,000 | 318,750 |
4.15%, 03/15/24 (b) | 150,000 | 159,714 |
eBay, Inc. | ||
1.35%, 07/15/17 | 500,000 | 501,084 |
2.50%, 03/09/18 | 500,000 | 509,334 |
Ford Motor Co. | ||
7.45%, 07/16/31 | 1,000,000 | 1,344,190 |
4.75%, 01/15/43 | 600,000 | 637,532 |
Ford Motor Credit Co. LLC | ||
6.63%, 08/15/17 | 1,450,000 | 1,530,933 |
2.15%, 01/09/18 | 750,000 | 756,848 |
2.38%, 01/16/18 | 1,500,000 | 1,519,018 |
2.02%, 05/03/19 | 1,500,000 | 1,513,800 |
5.88%, 08/02/21 | 2,500,000 | 2,870,465 |
4.13%, 08/04/25 | 1,000,000 | 1,074,190 |
General Motors Co. | ||
3.50%, 10/02/18 | 250,000 | 257,532 |
6.25%, 10/02/43 | 250,000 | 278,668 |
General Motors Financial Co., Inc. | ||
3.15%, 01/15/20 (b) | 1,500,000 | 1,519,690 |
Home Depot, Inc. | ||
2.00%, 06/15/19 (b) | 500,000 | 514,244 |
2.00%, 04/01/21 (b) | 800,000 | 822,207 |
4.40%, 04/01/21 (b) | 500,000 | 564,095 |
3.75%, 02/15/24 (b) | 500,000 | 561,002 |
5.88%, 12/16/36 | 1,200,000 | 1,642,206 |
5.95%, 04/01/41 (b) | 500,000 | 691,482 |
4.88%, 02/15/44 (b) | 750,000 | 926,092 |
Johnson Controls, Inc. | ||
3.63%, 07/02/24 (b) | 500,000 | 529,322 |
6.00%, 01/15/36 | 500,000 | 594,425 |
4.63%, 07/02/44 (b) | 200,000 | 212,087 |
Lowe's Cos., Inc. | ||
3.12%, 04/15/22 (b) | 750,000 | 802,362 |
3.38%, 09/15/25 (b) | 1,000,000 | 1,094,816 |
Macy's Retail Holdings, Inc. | ||
2.88%, 02/15/23 (b) | 200,000 | 190,548 |
5.13%, 01/15/42 (b) | 300,000 | 267,688 |
Marriott International, Inc. | ||
3.00%, 03/01/19 (b) | 200,000 | 206,518 |
3.13%, 10/15/21 (b) | 200,000 | 208,113 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
McDonald's Corp. | ||
5.35%, 03/01/18 | 150,000 | 160,472 |
2.75%, 12/09/20 (b) | 1,500,000 | 1,567,608 |
3.38%, 05/26/25 (b) | 350,000 | 370,461 |
4.88%, 12/09/45 (b) | 250,000 | 293,528 |
NIKE, Inc. | ||
2.25%, 05/01/23 (b) | 100,000 | 103,162 |
3.63%, 05/01/43 (b) | 50,000 | 52,988 |
Nordstrom, Inc. | ||
4.00%, 10/15/21 (b) | 300,000 | 321,132 |
O'Reilly Automotive, Inc. | ||
3.55%, 03/15/26 (b) | 500,000 | 525,294 |
QVC, Inc. | ||
4.38%, 03/15/23 | 1,000,000 | 1,007,643 |
5.45%, 08/15/34 (b) | 200,000 | 185,702 |
Starbucks Corp. | ||
2.70%, 06/15/22 (b) | 500,000 | 528,298 |
3.85%, 10/01/23 (b) | 300,000 | 337,197 |
Starwood Hotels & Resorts Worldwide, Inc. | ||
6.75%, 05/15/18 | 100,000 | 109,135 |
3.75%, 03/15/25 (b) | 1,000,000 | 1,043,037 |
4.50%, 10/01/34 (b) | 250,000 | 255,823 |
Target Corp. | ||
2.30%, 06/26/19 | 500,000 | 517,076 |
3.50%, 07/01/24 | 250,000 | 277,308 |
Toyota Motor Credit Corp. | ||
1.45%, 01/12/18 | 500,000 | 503,759 |
1.55%, 07/13/18 | 2,500,000 | 2,524,782 |
3.40%, 09/15/21 | 1,350,000 | 1,470,479 |
Under Armour, Inc. | ||
3.25%, 06/15/26 (b) | 1,000,000 | 1,011,774 |
Visa, Inc. | ||
2.20%, 12/14/20 (b) | 1,000,000 | 1,031,723 |
4.15%, 12/14/35 (b) | 1,500,000 | 1,699,879 |
4.30%, 12/14/45 (b) | 750,000 | 870,581 |
Wal-Mart Stores, Inc. | ||
3.25%, 10/25/20 | 500,000 | 541,230 |
2.55%, 04/11/23 (b) | 700,000 | 731,275 |
5.25%, 09/01/35 | 1,050,000 | 1,381,980 |
6.50%, 08/15/37 | 500,000 | 726,074 |
6.20%, 04/15/38 | 700,000 | 992,676 |
4.00%, 04/11/43 (b) | 500,000 | 556,399 |
Walgreens Boots Alliance, Inc. | ||
3.80%, 11/18/24 (b) | 1,000,000 | 1,061,336 |
4.80%, 11/18/44 (b) | 1,100,000 | 1,188,052 |
61,366,931 | ||
Consumer Non-Cyclical 3.9% | ||
Abbott Laboratories | ||
2.55%, 03/15/22 | 500,000 | 511,811 |
AbbVie, Inc. | ||
1.75%, 11/06/17 | 700,000 | 704,366 |
2.00%, 11/06/18 | 700,000 | 707,549 |
2.90%, 11/06/22 | 500,000 | 510,546 |
3.20%, 11/06/22 (b) | 300,000 | 310,643 |
2.85%, 05/14/23 (b) | 2,000,000 | 2,030,256 |
4.50%, 05/14/35 (b) | 1,000,000 | 1,048,452 |
4.40%, 11/06/42 | 1,000,000 | 1,022,957 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Actavis Funding SCS | ||
3.85%, 06/15/24 (b) | 500,000 | 524,115 |
4.75%, 03/15/45 (b) | 500,000 | 527,113 |
Allergan, Inc. | ||
2.80%, 03/15/23 (b) | 1,150,000 | 1,145,162 |
Altria Group, Inc. | ||
9.25%, 08/06/19 | 250,000 | 308,421 |
4.75%, 05/05/21 | 500,000 | 570,938 |
2.85%, 08/09/22 | 1,600,000 | 1,678,230 |
2.95%, 05/02/23 | 800,000 | 839,758 |
4.25%, 08/09/42 | 200,000 | 219,249 |
Amgen, Inc. | ||
2.20%, 05/22/19 (b) | 500,000 | 513,192 |
3.88%, 11/15/21 (b) | 500,000 | 545,814 |
3.63%, 05/22/24 (b) | 500,000 | 537,369 |
5.15%, 11/15/41 (b) | 500,000 | 571,118 |
Anheuser-Busch InBev Finance, Inc. | ||
1.90%, 02/01/19 | 400,000 | 407,047 |
2.15%, 02/01/19 | 1,400,000 | 1,430,787 |
2.65%, 02/01/21 (b) | 2,000,000 | 2,076,222 |
3.30%, 02/01/23 (b) | 1,000,000 | 1,055,192 |
3.70%, 02/01/24 | 1,200,000 | 1,294,664 |
3.65%, 02/01/26 (b) | 1,500,000 | 1,610,056 |
4.70%, 02/01/36 (b) | 2,000,000 | 2,254,748 |
4.63%, 02/01/44 | 500,000 | 563,463 |
4.90%, 02/01/46 (b) | 850,000 | 1,000,186 |
Anheuser-Busch InBev Worldwide, Inc. | ||
1.38%, 07/15/17 | 500,000 | 501,508 |
7.75%, 01/15/19 | 500,000 | 578,791 |
6.88%, 11/15/19 | 350,000 | 410,075 |
5.00%, 04/15/20 | 250,000 | 279,960 |
AstraZeneca PLC | ||
1.75%, 11/16/18 | 500,000 | 506,778 |
2.38%, 11/16/20 | 500,000 | 513,328 |
6.45%, 09/15/37 | 150,000 | 205,137 |
Baxalta, Inc. | ||
2.00%, 06/22/18 | 1,000,000 | 1,000,989 |
2.88%, 06/23/20 (b) | 1,250,000 | 1,271,511 |
3.60%, 06/23/22 (b) | 1,000,000 | 1,033,416 |
4.00%, 06/23/25 (b) | 1,750,000 | 1,829,473 |
5.25%, 06/23/45 (b) | 1,000,000 | 1,087,111 |
Baxter International, Inc. | ||
6.25%, 12/01/37 | 750,000 | 969,211 |
Becton Dickinson & Co. | ||
3.73%, 12/15/24 (b) | 1,500,000 | 1,618,578 |
4.69%, 12/15/44 (b) | 250,000 | 282,793 |
Biogen, Inc. | ||
2.90%, 09/15/20 | 2,000,000 | 2,086,372 |
4.05%, 09/15/25 (b) | 1,000,000 | 1,078,481 |
5.20%, 09/15/45 (b) | 500,000 | 564,475 |
Boston Scientific Corp. | ||
6.00%, 01/15/20 | 150,000 | 170,894 |
4.13%, 10/01/23 (b) | 100,000 | 108,529 |
Bottling Group LLC | ||
5.13%, 01/15/19 | 500,000 | 548,915 |
Bristol-Myers Squibb Co. | ||
3.25%, 08/01/42 | 100,000 | 99,749 |
Campbell Soup Co. | ||
2.50%, 08/02/22 | 350,000 | 355,941 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Cardinal Health, Inc. | ||
1.70%, 03/15/18 | 750,000 | 755,369 |
1.95%, 06/15/18 | 250,000 | 253,018 |
3.75%, 09/15/25 (b) | 250,000 | 272,504 |
4.90%, 09/15/45 (b) | 500,000 | 559,507 |
Celgene Corp. | ||
2.30%, 08/15/18 | 750,000 | 764,150 |
2.88%, 08/15/20 | 1,000,000 | 1,035,131 |
3.55%, 08/15/22 | 1,000,000 | 1,049,112 |
3.63%, 05/15/24 (b) | 700,000 | 730,228 |
4.63%, 05/15/44 (b) | 300,000 | 313,259 |
5.00%, 08/15/45 (b) | 250,000 | 276,425 |
Colgate-Palmolive Co. | ||
1.75%, 03/15/19 | 500,000 | 511,779 |
3.25%, 03/15/24 | 200,000 | 222,205 |
ConAgra Foods, Inc. | ||
3.20%, 01/25/23 (b) | 783,000 | 808,947 |
Delhaize Group S.A. | ||
5.70%, 10/01/40 | 750,000 | 879,508 |
Diageo Capital PLC | ||
5.75%, 10/23/17 | 300,000 | 317,958 |
1.13%, 04/29/18 | 700,000 | 700,864 |
5.88%, 09/30/36 | 150,000 | 193,860 |
Dr Pepper Snapple Group, Inc. | ||
3.20%, 11/15/21 (b) | 1,500,000 | 1,590,393 |
Eli Lilly & Co. | ||
1.25%, 03/01/18 | 500,000 | 503,879 |
3.70%, 03/01/45 (b) | 500,000 | 533,957 |
Express Scripts Holding Co. | ||
2.25%, 06/15/19 | 500,000 | 508,490 |
3.40%, 03/01/27 (b) | 500,000 | 500,473 |
4.80%, 07/15/46 (b) | 500,000 | 501,313 |
Genzyme Corp. | ||
5.00%, 06/15/20 | 250,000 | 284,365 |
Gilead Sciences, Inc. | ||
1.85%, 09/04/18 | 250,000 | 254,514 |
2.05%, 04/01/19 | 1,000,000 | 1,024,497 |
2.55%, 09/01/20 | 500,000 | 519,852 |
4.40%, 12/01/21 (b) | 350,000 | 395,462 |
3.70%, 04/01/24 (b) | 400,000 | 433,573 |
3.50%, 02/01/25 (b) | 500,000 | 533,618 |
5.65%, 12/01/41 (b) | 200,000 | 250,850 |
4.80%, 04/01/44 (b) | 350,000 | 394,698 |
4.50%, 02/01/45 (b) | 250,000 | 273,176 |
4.75%, 03/01/46 (b) | 750,000 | 854,951 |
GlaxoSmithKline Capital, Inc. | ||
5.65%, 05/15/18 | 150,000 | 162,820 |
2.85%, 05/08/22 | 150,000 | 157,966 |
Hasbro, Inc. | ||
6.30%, 09/15/17 | 100,000 | 105,816 |
6.35%, 03/15/40 | 450,000 | 549,270 |
JM Smucker Co. | ||
3.50%, 03/15/25 | 750,000 | 811,423 |
Johnson & Johnson | ||
5.55%, 08/15/17 | 1,250,000 | 1,316,899 |
Kellogg Co. | ||
4.00%, 12/15/20 | 250,000 | 274,292 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Kimberly-Clark Corp. | ||
3.63%, 08/01/20 | 500,000 | 547,794 |
6.63%, 08/01/37 | 100,000 | 148,392 |
5.30%, 03/01/41 | 200,000 | 268,144 |
Koninklijke Philips N.V. | ||
3.75%, 03/15/22 | 250,000 | 268,851 |
5.00%, 03/15/42 | 100,000 | 111,119 |
Kraft Heinz Foods Co. | ||
2.00%, 07/02/18 (c) | 1,000,000 | 1,013,061 |
5.38%, 02/10/20 | 1,000,000 | 1,127,541 |
3.50%, 06/06/22 | 1,500,000 | 1,597,413 |
3.00%, 06/01/26 (b)(c) | 500,000 | 505,141 |
5.00%, 06/04/42 | 1,000,000 | 1,154,111 |
5.20%, 07/15/45 (b) | 500,000 | 594,443 |
4.38%, 06/01/46 (b)(c) | 500,000 | 530,993 |
Laboratory Corp. of America Holdings | ||
2.63%, 02/01/20 | 750,000 | 766,693 |
Lorillard Tobacco Co. | ||
2.30%, 08/21/17 | 1,000,000 | 1,012,431 |
McKesson Corp. | ||
2.28%, 03/15/19 | 300,000 | 306,933 |
3.80%, 03/15/24 (b) | 500,000 | 542,229 |
Medtronic, Inc. | ||
2.50%, 03/15/20 | 1,500,000 | 1,556,493 |
3.63%, 03/15/24 (b) | 200,000 | 220,342 |
3.50%, 03/15/25 | 1,000,000 | 1,091,359 |
4.63%, 03/15/45 | 750,000 | 884,153 |
Merck & Co., Inc. | ||
3.88%, 01/15/21 (b) | 500,000 | 548,657 |
3.70%, 02/10/45 (b) | 500,000 | 531,244 |
Molson Coors Brewing Co. | ||
2.10%, 07/15/21 (b)(g) | 2,000,000 | 2,008,422 |
3.50%, 05/01/22 | 200,000 | 212,487 |
4.20%, 07/15/46 (b)(g) | 500,000 | 504,261 |
Mondelez International, Inc. | ||
2.25%, 02/01/19 (b) | 500,000 | 511,212 |
4.00%, 02/01/24 (b) | 400,000 | 438,165 |
6.88%, 02/01/38 | 500,000 | 663,094 |
Mylan N.V. | ||
3.95%, 06/15/26 (b)(c) | 1,000,000 | 1,014,058 |
Mylan, Inc. | ||
5.40%, 11/29/43 (b) | 1,500,000 | 1,600,195 |
Newell Brands, Inc. | ||
2.88%, 12/01/19 (b) | 400,000 | 411,401 |
4.70%, 08/15/20 | 150,000 | 162,046 |
4.20%, 04/01/26 (b) | 2,200,000 | 2,387,730 |
5.50%, 04/01/46 (b) | 500,000 | 596,266 |
Novartis Capital Corp. | ||
4.40%, 04/24/20 | 100,000 | 111,465 |
3.00%, 11/20/25 (b) | 1,000,000 | 1,063,478 |
PepsiCo, Inc. | ||
1.25%, 08/13/17 | 250,000 | 251,191 |
1.25%, 04/30/18 | 500,000 | 502,809 |
2.25%, 01/07/19 (b) | 750,000 | 770,879 |
1.50%, 02/22/19 | 1,000,000 | 1,014,437 |
3.60%, 03/01/24 (b) | 500,000 | 549,947 |
4.88%, 11/01/40 | 200,000 | 238,887 |
4.60%, 07/17/45 (b) | 500,000 | 594,812 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Perrigo Finance plc | ||
3.90%, 12/15/24 (b) | 500,000 | 507,811 |
Pfizer, Inc. | ||
6.20%, 03/15/19 | 225,000 | 254,214 |
4.40%, 05/15/44 | 500,000 | 571,367 |
Philip Morris International, Inc. | ||
1.13%, 08/21/17 | 1,100,000 | 1,102,403 |
4.50%, 03/26/20 | 250,000 | 279,007 |
2.90%, 11/15/21 | 1,000,000 | 1,057,127 |
2.50%, 08/22/22 | 100,000 | 102,840 |
6.38%, 05/16/38 | 650,000 | 900,827 |
4.88%, 11/15/43 | 1,000,000 | 1,193,345 |
4.25%, 11/10/44 | 200,000 | 220,233 |
Procter & Gamble Co. | ||
4.70%, 02/15/19 | 650,000 | 712,726 |
1.85%, 02/02/21 | 1,000,000 | 1,025,760 |
Quest Diagnostics, Inc. | ||
4.75%, 01/15/20 | 400,000 | 439,048 |
2.50%, 03/30/20 (b) | 500,000 | 504,508 |
4.25%, 04/01/24 (b) | 500,000 | 542,983 |
3.50%, 03/30/25 (b) | 1,000,000 | 1,034,477 |
4.70%, 03/30/45 (b) | 500,000 | 525,428 |
Reynolds American, Inc. | ||
4.45%, 06/12/25 (b) | 500,000 | 560,989 |
5.85%, 08/15/45 (b) | 500,000 | 641,349 |
Sanofi | ||
1.25%, 04/10/18 | 100,000 | 100,644 |
4.00%, 03/29/21 | 150,000 | 166,116 |
Stryker Corp. | ||
3.50%, 03/15/26 (b) | 2,000,000 | 2,126,038 |
Sysco Corp. | ||
3.75%, 10/01/25 (b) | 750,000 | 804,004 |
Teva Pharmaceutical Finance Co. BV | ||
2.95%, 12/18/22 | 500,000 | 509,304 |
Teva Pharmaceutical Finance Co. LLC | ||
6.15%, 02/01/36 | 1,514,000 | 1,818,995 |
The Coca-Cola Co. | ||
1.65%, 11/01/18 | 500,000 | 507,699 |
3.15%, 11/15/20 | 1,000,000 | 1,076,000 |
2.88%, 10/27/25 | 500,000 | 530,231 |
The Kroger Co. | ||
2.30%, 01/15/19 (b) | 500,000 | 510,462 |
3.85%, 08/01/23 (b) | 350,000 | 384,682 |
7.50%, 04/01/31 | 100,000 | 140,218 |
Thermo Fisher Scientific, Inc. | ||
4.50%, 03/01/21 | 50,000 | 55,238 |
3.60%, 08/15/21 (b) | 50,000 | 53,064 |
4.15%, 02/01/24 (b) | 200,000 | 218,626 |
5.30%, 02/01/44 (b) | 200,000 | 233,393 |
Tyson Foods, Inc. | ||
4.50%, 06/15/22 (b) | 250,000 | 278,875 |
4.88%, 08/15/34 (b) | 1,000,000 | 1,118,999 |
Unilever Capital Corp. | ||
4.25%, 02/10/21 | 800,000 | 894,081 |
Wyeth LLC | ||
5.95%, 04/01/37 | 500,000 | 667,065 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Zimmer Biomet Holdings, Inc. | ||
2.00%, 04/01/18 | 1,000,000 | 1,008,786 |
2.70%, 04/01/20 (b) | 500,000 | 506,509 |
4.25%, 08/15/35 (b) | 500,000 | 502,836 |
Zoetis, Inc. | ||
3.25%, 02/01/23 (b) | 250,000 | 255,118 |
4.70%, 02/01/43 (b) | 100,000 | 99,459 |
123,679,473 | ||
Energy 2.5% | ||
Anadarko Petroleum Corp. | ||
6.38%, 09/15/17 | 526,000 | 553,801 |
6.45%, 09/15/36 | 1,000,000 | 1,155,538 |
Apache Corp. | ||
6.90%, 09/15/18 | 600,000 | 657,512 |
3.25%, 04/15/22 (b) | 1,500,000 | 1,538,542 |
6.00%, 01/15/37 | 500,000 | 572,266 |
4.75%, 04/15/43 (b) | 600,000 | 619,174 |
Baker Hughes, Inc. | ||
3.20%, 08/15/21 (b) | 86,000 | 90,384 |
BP Capital Markets PLC | ||
4.75%, 03/10/19 | 250,000 | 271,655 |
2.32%, 02/13/20 | 750,000 | 768,081 |
4.50%, 10/01/20 | 300,000 | 332,596 |
4.74%, 03/11/21 | 1,000,000 | 1,123,989 |
3.06%, 03/17/22 | 500,000 | 517,035 |
3.25%, 05/06/22 | 200,000 | 210,061 |
Buckeye Partners LP | ||
4.35%, 10/15/24 (b) | 300,000 | 297,591 |
Canadian Natural Resources Ltd. | ||
3.80%, 04/15/24 (b) | 150,000 | 148,270 |
6.25%, 03/15/38 | 100,000 | 109,040 |
Chevron Corp. | ||
1.10%, 12/05/17 (b) | 500,000 | 500,925 |
1.72%, 06/24/18 (b) | 1,500,000 | 1,517,944 |
2.36%, 12/05/22 (b) | 499,000 | 506,937 |
3.19%, 06/24/23 (b) | 1,150,000 | 1,222,902 |
Cimarex Energy Co. | ||
5.88%, 05/01/22 (b) | 750,000 | 785,800 |
Conoco, Inc. | ||
6.95%, 04/15/29 | 200,000 | 250,173 |
ConocoPhillips | ||
5.20%, 05/15/18 | 250,000 | 267,700 |
6.50%, 02/01/39 | 350,000 | 453,088 |
Devon Energy Corp. | ||
2.25%, 12/15/18 (b) | 500,000 | 496,767 |
5.85%, 12/15/25 (b) | 500,000 | 552,534 |
Dominion Gas Holdings LLC | ||
4.80%, 11/01/43 (b) | 1,100,000 | 1,196,441 |
Enbridge Energy Partners LP | ||
4.38%, 10/15/20 (b) | 1,000,000 | 1,027,277 |
Enbridge, Inc. | ||
4.50%, 06/10/44 (b) | 150,000 | 130,407 |
Encana Corp. | ||
6.50%, 05/15/19 | 250,000 | 265,625 |
Energy Transfer Partners LP | ||
4.15%, 10/01/20 (b) | 1,500,000 | 1,523,842 |
5.20%, 02/01/22 (b) | 2,000,000 | 2,109,544 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
4.75%, 01/15/26 (b) | 1,000,000 | 1,030,328 |
4.90%, 03/15/35 (b) | 750,000 | 664,537 |
6.63%, 10/15/36 | 500,000 | 525,208 |
7.50%, 07/01/38 | 1,000,000 | 1,107,208 |
6.50%, 02/01/42 (b) | 1,000,000 | 1,053,375 |
6.13%, 12/15/45 (b) | 500,000 | 520,245 |
EnLink Midstream Partners LP | ||
2.70%, 04/01/19 (b) | 500,000 | 486,280 |
5.05%, 04/01/45 (b) | 500,000 | 409,952 |
Enterprise Products Operating LLC | ||
6.30%, 09/15/17 | 100,000 | 105,671 |
2.55%, 10/15/19 (b) | 1,500,000 | 1,542,574 |
2.85%, 04/15/21 (b) | 1,500,000 | 1,551,504 |
3.35%, 03/15/23 (b) | 500,000 | 514,376 |
3.90%, 02/15/24 (b) | 400,000 | 424,021 |
3.75%, 02/15/25 (b) | 150,000 | 156,728 |
3.95%, 02/15/27 (b) | 350,000 | 372,012 |
6.65%, 10/15/34 | 250,000 | 298,145 |
4.85%, 03/15/44 (b) | 100,000 | 106,630 |
5.10%, 02/15/45 (b) | 500,000 | 549,326 |
EOG Resources, Inc. | ||
5.63%, 06/01/19 | 500,000 | 552,818 |
2.63%, 03/15/23 (b) | 500,000 | 498,824 |
4.15%, 01/15/26 (b) | 250,000 | 274,224 |
3.90%, 04/01/35 (b) | 1,500,000 | 1,508,766 |
Exxon Mobil Corp. | ||
1.82%, 03/15/19 (b) | 500,000 | 509,685 |
2.22%, 03/01/21 (b) | 1,000,000 | 1,031,718 |
3.57%, 03/06/45 (b) | 500,000 | 518,885 |
4.11%, 03/01/46 (b) | 1,500,000 | 1,696,222 |
Halliburton Co. | ||
6.15%, 09/15/19 | 125,000 | 142,116 |
3.80%, 11/15/25 (b) | 500,000 | 523,230 |
5.00%, 11/15/45 (b) | 500,000 | 552,126 |
Helmerich & Payne International Drilling Co. | ||
4.65%, 03/15/25 (b) | 1,750,000 | 1,870,507 |
Hess Corp. | ||
8.13%, 02/15/19 | 200,000 | 223,014 |
7.30%, 08/15/31 | 150,000 | 172,663 |
7.13%, 03/15/33 | 600,000 | 672,588 |
Husky Energy, Inc. | ||
7.25%, 12/15/19 | 200,000 | 225,177 |
3.95%, 04/15/22 (b) | 1,000,000 | 1,035,562 |
6.80%, 09/15/37 | 500,000 | 578,959 |
Kerr-McGee Corp. | ||
6.95%, 07/01/24 | 250,000 | 289,509 |
Kinder Morgan Energy Partners LP | ||
5.95%, 02/15/18 | 300,000 | 316,779 |
6.85%, 02/15/20 | 800,000 | 896,024 |
3.45%, 02/15/23 (b) | 750,000 | 730,210 |
4.30%, 05/01/24 (b) | 300,000 | 303,062 |
5.80%, 03/15/35 | 100,000 | 103,027 |
5.00%, 08/15/42 (b) | 100,000 | 94,612 |
4.70%, 11/01/42 (b) | 300,000 | 271,254 |
5.40%, 09/01/44 (b) | 400,000 | 396,104 |
Kinder Morgan, Inc. | ||
7.25%, 06/01/18 | 750,000 | 811,465 |
4.30%, 06/01/25 (b) | 250,000 | 256,441 |
5.55%, 06/01/45 (b) | 700,000 | 713,809 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Magellan Midstream Partners LP | ||
4.20%, 12/01/42 (b) | 100,000 | 95,781 |
Marathon Oil Corp. | ||
2.80%, 11/01/22 (b) | 300,000 | 272,465 |
6.60%, 10/01/37 | 200,000 | 202,761 |
Marathon Petroleum Corp. | ||
5.13%, 03/01/21 | 250,000 | 276,742 |
3.63%, 09/15/24 (b) | 500,000 | 491,860 |
4.75%, 09/15/44 (b) | 250,000 | 213,949 |
MPLX LP | ||
4.00%, 02/15/25 (b) | 250,000 | 227,493 |
Nexen, Inc. | ||
5.88%, 03/10/35 | 600,000 | 708,856 |
Noble Energy, Inc. | ||
6.00%, 03/01/41 (b) | 250,000 | 269,747 |
5.25%, 11/15/43 (b) | 400,000 | 408,162 |
Occidental Petroleum Corp. | ||
2.60%, 04/15/22 (b) | 500,000 | 512,751 |
3.40%, 04/15/26 (b) | 1,000,000 | 1,055,982 |
4.40%, 04/15/46 (b) | 1,500,000 | 1,661,727 |
Petro-Canada | ||
6.80%, 05/15/38 | 1,000,000 | 1,304,949 |
Phillips 66 | ||
4.88%, 11/15/44 (b) | 1,000,000 | 1,095,865 |
Phillips 66 Partners LP | ||
3.61%, 02/15/25 (b) | 500,000 | 492,234 |
Pioneer Natural Resources Co. | ||
7.50%, 01/15/20 | 250,000 | 292,968 |
7.20%, 01/15/28 | 220,000 | 270,360 |
Plains All American Pipeline LP | ||
5.75%, 01/15/20 | 100,000 | 106,943 |
3.65%, 06/01/22 (b) | 200,000 | 196,393 |
3.85%, 10/15/23 (b) | 150,000 | 145,588 |
6.65%, 01/15/37 | 100,000 | 104,183 |
Schlumberger Investment S.A. | ||
3.65%, 12/01/23 (b) | 1,000,000 | 1,074,487 |
Shell International Finance BV | ||
4.30%, 09/22/19 | 600,000 | 653,794 |
3.25%, 05/11/25 | 1,500,000 | 1,575,447 |
6.38%, 12/15/38 | 1,000,000 | 1,361,195 |
4.55%, 08/12/43 | 250,000 | 278,729 |
4.38%, 05/11/45 | 1,500,000 | 1,632,571 |
Spectra Energy Capital LLC | ||
6.20%, 04/15/18 | 350,000 | 372,517 |
5.65%, 03/01/20 | 300,000 | 321,739 |
Spectra Energy Partners LP | ||
4.75%, 03/15/24 (b) | 100,000 | 110,078 |
5.95%, 09/25/43 (b) | 600,000 | 711,955 |
Suncor Energy, Inc. | ||
6.10%, 06/01/18 | 1,000,000 | 1,081,845 |
5.95%, 12/01/34 | 250,000 | 295,876 |
6.50%, 06/15/38 | 150,000 | 193,921 |
Tosco Corp. | ||
7.80%, 01/01/27 | 150,000 | 190,334 |
Total Capital International S.A. | ||
2.88%, 02/17/22 | 500,000 | 522,963 |
3.70%, 01/15/24 | 1,000,000 | 1,094,433 |
3.75%, 04/10/24 | 500,000 | 550,902 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
TransCanada PipeLines Ltd. | ||
1.88%, 01/12/18 | 750,000 | 753,766 |
4.63%, 03/01/34 (b) | 100,000 | 105,331 |
7.63%, 01/15/39 | 100,000 | 140,963 |
Valero Energy Corp. | ||
4.90%, 03/15/45 | 500,000 | 464,836 |
Western Gas Partners LP | ||
3.95%, 06/01/25 (b) | 500,000 | 476,590 |
Williams Partners LP | ||
5.25%, 03/15/20 | 250,000 | 257,431 |
3.60%, 03/15/22 (b) | 100,000 | 94,855 |
Williams Partners LP/ACMP Finance Corp. | ||
4.88%, 05/15/23 (b) | 1,500,000 | 1,451,913 |
77,137,171 | ||
Other Industrial 0.1% | ||
Cintas Corp. No. 2 | ||
3.25%, 06/01/22 (b) | 1,255,000 | 1,339,174 |
Princeton University | ||
4.95%, 03/01/19 | 750,000 | 825,370 |
Trustees of Dartmouth College | ||
3.47%, 06/01/46 | 500,000 | 534,627 |
2,699,171 | ||
Technology 1.8% | ||
Alphabet, Inc. | ||
3.38%, 02/25/24 | 300,000 | 330,786 |
Analog Devices, Inc. | ||
3.90%, 12/15/25 (b) | 250,000 | 279,008 |
5.30%, 12/15/45 (b) | 500,000 | 603,838 |
Apple, Inc. | ||
2.10%, 05/06/19 | 350,000 | 360,338 |
2.85%, 05/06/21 | 1,500,000 | 1,585,299 |
2.40%, 05/03/23 | 1,500,000 | 1,528,965 |
3.85%, 05/03/43 | 1,000,000 | 1,006,533 |
4.45%, 05/06/44 | 1,000,000 | 1,095,145 |
3.45%, 02/09/45 | 500,000 | 471,076 |
4.38%, 05/13/45 | 1,000,000 | 1,092,245 |
Applied Materials, Inc. | ||
2.63%, 10/01/20 (b) | 250,000 | 260,096 |
Arrow Electronics, Inc. | ||
4.50%, 03/01/23 (b) | 200,000 | 212,040 |
Baidu, Inc. | ||
3.00%, 06/30/20 | 500,000 | 510,904 |
Cisco Systems, Inc. | ||
4.45%, 01/15/20 | 1,000,000 | 1,105,104 |
2.20%, 02/28/21 | 500,000 | 515,650 |
3.63%, 03/04/24 | 250,000 | 280,513 |
3.50%, 06/15/25 | 250,000 | 280,574 |
5.90%, 02/15/39 | 500,000 | 680,155 |
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | ||
3.48%, 06/01/19 (c) | 500,000 | 512,558 |
6.02%, 06/15/26 (b)(c) | 2,500,000 | 2,611,002 |
EMC Corp. | ||
2.65%, 06/01/20 | 500,000 | 477,534 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Fidelity National Information Services, Inc. | ||
3.50%, 04/15/23 (b) | 300,000 | 311,938 |
5.00%, 10/15/25 (b) | 500,000 | 568,661 |
Fiserv, Inc. | ||
4.63%, 10/01/20 | 750,000 | 828,446 |
3.85%, 06/01/25 (b) | 250,000 | 267,735 |
Flextronics International Ltd. | ||
4.75%, 06/15/25 (b) | 500,000 | 507,500 |
Harris Corp. | ||
6.15%, 12/15/40 | 150,000 | 189,434 |
Hewlett Packard Enterprise Co. | ||
2.85%, 10/05/18 (c) | 1,000,000 | 1,024,617 |
3.60%, 10/15/20 (b)(c) | 2,500,000 | 2,611,990 |
4.40%, 10/15/22 (b)(c) | 1,000,000 | 1,071,603 |
4.90%, 10/15/25 (b)(c) | 1,250,000 | 1,308,410 |
6.20%, 10/15/35 (b)(c) | 750,000 | 760,615 |
6.35%, 10/15/45 (b)(c) | 1,500,000 | 1,498,393 |
HP, Inc. | ||
4.65%, 12/09/21 | 500,000 | 541,334 |
Intel Corp. | ||
3.70%, 07/29/25 (b) | 1,000,000 | 1,111,979 |
4.80%, 10/01/41 | 750,000 | 853,761 |
4.25%, 12/15/42 | 250,000 | 268,897 |
International Business Machines Corp. | ||
5.70%, 09/14/17 | 500,000 | 528,286 |
1.88%, 05/15/19 | 200,000 | 203,897 |
2.25%, 02/19/21 | 1,500,000 | 1,547,748 |
3.38%, 08/01/23 | 150,000 | 162,833 |
3.63%, 02/12/24 | 500,000 | 545,797 |
4.00%, 06/20/42 | 500,000 | 530,835 |
KLA-Tencor Corp. | ||
4.65%, 11/01/24 (b) | 500,000 | 546,361 |
Lam Research Corp. | ||
3.45%, 06/15/23 (b) | 1,500,000 | 1,551,507 |
3.80%, 03/15/25 (b) | 500,000 | 517,822 |
Microsoft Corp. | ||
1.30%, 11/03/18 | 2,000,000 | 2,018,856 |
1.63%, 12/06/18 | 1,000,000 | 1,017,786 |
2.00%, 11/03/20 (b) | 1,000,000 | 1,026,146 |
4.50%, 10/01/40 | 100,000 | 113,363 |
5.30%, 02/08/41 | 500,000 | 627,317 |
4.45%, 11/03/45 (b) | 500,000 | 565,260 |
NetApp, Inc. | ||
2.00%, 12/15/17 | 500,000 | 502,445 |
Oracle Corp. | ||
5.75%, 04/15/18 | 750,000 | 812,119 |
2.25%, 10/08/19 | 500,000 | 515,703 |
2.80%, 07/08/21 | 1,000,000 | 1,050,359 |
1.90%, 09/15/21 (b)(g) | 1,000,000 | 1,004,403 |
3.40%, 07/08/24 (b) | 650,000 | 699,752 |
2.95%, 05/15/25 (b) | 500,000 | 520,237 |
4.30%, 07/08/34 (b) | 400,000 | 426,202 |
6.13%, 07/08/39 | 750,000 | 982,590 |
Pitney Bowes, Inc. | ||
4.63%, 03/15/24 (b) | 350,000 | 369,901 |
QUALCOMM, Inc. | ||
3.45%, 05/20/25 (b) | 500,000 | 531,955 |
4.80%, 05/20/45 (b) | 500,000 | 525,724 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Seagate HDD Cayman | ||
3.75%, 11/15/18 | 800,000 | 801,004 |
4.75%, 06/01/23 | 3,750,000 | 3,171,994 |
4.75%, 01/01/25 | 1,000,000 | 791,875 |
4.88%, 06/01/27 (b)(g) | 1,000,000 | 726,875 |
5.75%, 12/01/34 (b) | 500,000 | 351,563 |
Texas Instruments, Inc. | ||
1.85%, 05/15/22 (b) | 500,000 | 501,146 |
Verisk Analytics, Inc. | ||
4.00%, 06/15/25 (b) | 500,000 | 526,124 |
Xerox Corp. | ||
2.75%, 03/15/19 | 300,000 | 298,873 |
2.75%, 09/01/20 | 500,000 | 482,415 |
56,621,749 | ||
Transportation 0.6% | ||
American Airlines 2015-1 Class A Pass Through Trust | ||
3.38%, 05/01/27 | 715,881 | 729,319 |
American Airlines 2016-2 Class AA Pass Through Trust | ||
3.20%, 06/15/28 | 1,500,000 | 1,552,755 |
Burlington Northern Santa Fe LLC | ||
4.70%, 10/01/19 | 140,000 | 154,872 |
3.85%, 09/01/23 (b) | 400,000 | 445,486 |
3.40%, 09/01/24 (b) | 2,000,000 | 2,177,450 |
5.05%, 03/01/41 (b) | 500,000 | 602,894 |
4.55%, 09/01/44 (b) | 400,000 | 461,209 |
Canadian National Railway Co. | ||
2.95%, 11/21/24 (b) | 150,000 | 159,291 |
4.50%, 11/07/43 (b) | 300,000 | 347,800 |
Canadian Pacific Railway Co. | ||
4.50%, 01/15/22 | 500,000 | 552,330 |
5.75%, 01/15/42 | 250,000 | 306,650 |
Continental Airlines 2010-1 Class A Pass Through Trust | ||
4.75%, 07/12/22 | 367,486 | 378,984 |
Continental Airlines 2012-1 Class A Pass Through Trust | ||
4.15%, 10/11/25 | 85,234 | 89,501 |
CSX Corp. | ||
4.25%, 06/01/21 (b) | 150,000 | 164,543 |
4.10%, 03/15/44 (b) | 100,000 | 107,276 |
Delta Air Lines 2007-1 Class A Pass Through Trust | ||
6.82%, 02/10/24 | 415,831 | 483,716 |
FedEx Corp. | ||
2.63%, 08/01/22 | 500,000 | 513,698 |
3.90%, 02/01/35 | 300,000 | 305,971 |
3.88%, 08/01/42 | 200,000 | 197,618 |
Kansas City Southern | ||
2.35%, 05/15/20 (b) | 350,000 | 350,105 |
Norfolk Southern Corp. | ||
3.00%, 04/01/22 (b) | 750,000 | 783,888 |
4.84%, 10/01/41 | 100,000 | 114,551 |
Ryder System, Inc. | ||
2.55%, 06/01/19 (b) | 300,000 | 305,946 |
Southwest Airlines Co. | ||
2.65%, 11/05/20 (b) | 1,000,000 | 1,033,195 |
Union Pacific Corp. | ||
5.70%, 08/15/18 | 1,000,000 | 1,095,211 |
3.65%, 02/15/24 (b) | 500,000 | 553,379 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
3.25%, 08/15/25 (b) | 500,000 | 545,930 |
4.15%, 01/15/45 (b) | 1,000,000 | 1,098,923 |
United Airlines 2016-1 Class AA Pass Through Trust | ||
3.10%, 07/07/28 | 1,000,000 | 1,018,750 |
United Parcel Service, Inc. | ||
5.50%, 01/15/18 | 150,000 | 160,575 |
5.13%, 04/01/19 | 150,000 | 166,167 |
6.20%, 01/15/38 | 200,000 | 287,448 |
4.88%, 11/15/40 (b) | 400,000 | 505,364 |
17,750,795 | ||
486,825,990 | ||
Utilities 1.9% | ||
Electric 1.8% | ||
Alabama Power Co. | ||
3.55%, 12/01/23 | 350,000 | 382,704 |
American Electric Power Co., Inc. | ||
1.65%, 12/15/17 (b) | 1,000,000 | 1,003,218 |
Appalachian Power Co. | ||
3.40%, 06/01/25 (b) | 600,000 | 637,933 |
7.00%, 04/01/38 | 750,000 | 1,016,881 |
4.45%, 06/01/45 (b) | 500,000 | 544,076 |
Arizona Public Service Co. | ||
2.20%, 01/15/20 (b) | 250,000 | 256,206 |
Berkshire Hathaway Energy Co. | ||
5.75%, 04/01/18 | 1,250,000 | 1,347,419 |
2.40%, 02/01/20 (b) | 300,000 | 308,407 |
6.13%, 04/01/36 | 500,000 | 665,107 |
5.95%, 05/15/37 | 250,000 | 326,305 |
6.50%, 09/15/37 | 500,000 | 689,528 |
5.15%, 11/15/43 (b) | 800,000 | 973,430 |
4.50%, 02/01/45 (b) | 850,000 | 958,130 |
CMS Energy Corp. | ||
6.25%, 02/01/20 | 1,000,000 | 1,152,116 |
3.00%, 05/15/26 (b) | 2,000,000 | 2,047,468 |
4.70%, 03/31/43 (b) | 250,000 | 283,438 |
4.88%, 03/01/44 (b) | 500,000 | 575,505 |
Consolidated Edison Co. of New York, Inc. | ||
5.85%, 04/01/18 | 200,000 | 216,338 |
4.45%, 03/15/44 (b) | 650,000 | 734,094 |
Consumers Energy Co. | ||
3.38%, 08/15/23 (b) | 500,000 | 534,047 |
3.95%, 05/15/43 (b) | 250,000 | 271,442 |
Delmarva Power & Light Co. | ||
3.50%, 11/15/23 (b) | 500,000 | 540,860 |
Dominion Resources, Inc. | ||
1.90%, 06/15/18 | 1,100,000 | 1,105,708 |
5.25%, 08/01/33 | 500,000 | 556,513 |
4.05%, 09/15/42 (b) | 3,000,000 | 2,989,404 |
DTE Energy Co. | ||
3.30%, 06/15/22 (b) | 500,000 | 527,659 |
Duke Energy Carolinas LLC | ||
6.10%, 06/01/37 | 250,000 | 330,275 |
6.05%, 04/15/38 | 1,255,000 | 1,713,674 |
5.30%, 02/15/40 | 600,000 | 768,346 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Duke Energy Corp. | ||
2.10%, 06/15/18 (b) | 1,500,000 | 1,513,986 |
3.75%, 04/15/24 (b) | 1,000,000 | 1,075,555 |
Duke Energy Progress, Inc. | ||
4.15%, 12/01/44 (b) | 1,500,000 | 1,656,024 |
Edison International | ||
2.95%, 03/15/23 (b) | 500,000 | 513,404 |
Exelon Corp. | ||
4.95%, 06/15/35 (b)(c) | 500,000 | 566,021 |
Exelon Generation Co. LLC | ||
2.95%, 01/15/20 (b) | 500,000 | 514,752 |
4.00%, 10/01/20 (b) | 500,000 | 533,836 |
6.25%, 10/01/39 | 1,000,000 | 1,101,946 |
5.60%, 06/15/42 (b) | 750,000 | 786,880 |
Florida Power & Light Co. | ||
3.13%, 12/01/25 (b) | 750,000 | 805,555 |
5.95%, 02/01/38 | 150,000 | 206,225 |
3.80%, 12/15/42 (b) | 275,000 | 296,743 |
Georgia Power Co. | ||
4.75%, 09/01/40 | 500,000 | 577,062 |
LG&E & KU Energy LLC | ||
3.75%, 11/15/20 (b) | 1,000,000 | 1,074,964 |
National Rural Utilities Cooperative Finance Corp. | ||
5.45%, 02/01/18 | 1,000,000 | 1,067,052 |
5.25%, 04/20/46 (a)(b) | 300,000 | 307,737 |
Nevada Power Co. | ||
6.65%, 04/01/36 | 500,000 | 695,004 |
NextEra Energy Capital Holdings, Inc. | ||
3.63%, 06/15/23 (b) | 500,000 | 527,805 |
Ohio Power Co. | ||
5.38%, 10/01/21 | 1,000,000 | 1,162,393 |
Oncor Electric Delivery Co. LLC | ||
2.15%, 06/01/19 (b) | 350,000 | 355,905 |
4.55%, 12/01/41 (b) | 200,000 | 232,447 |
Pacific Gas & Electric Co. | ||
4.25%, 05/15/21 (b) | 200,000 | 221,611 |
6.05%, 03/01/34 | 1,000,000 | 1,336,303 |
4.30%, 03/15/45 (b) | 1,000,000 | 1,126,042 |
PPL Capital Funding, Inc. | ||
4.20%, 06/15/22 (b) | 1,100,000 | 1,198,279 |
3.40%, 06/01/23 (b) | 1,000,000 | 1,045,056 |
PPL Electric Utilities Corp. | ||
2.50%, 09/01/22 (b) | 500,000 | 517,372 |
6.25%, 05/15/39 | 500,000 | 704,841 |
PSEG Power LLC | ||
5.13%, 04/15/20 | 400,000 | 435,414 |
Public Service Co. of Colorado | ||
3.55%, 06/15/46 (b) | 1,000,000 | 1,033,088 |
Public Service Electric & Gas Co. | ||
3.95%, 05/01/42 (b) | 100,000 | 110,461 |
Puget Energy, Inc. | ||
6.50%, 12/15/20 | 500,000 | 583,006 |
6.00%, 09/01/21 | 250,000 | 291,286 |
3.65%, 05/15/25 (b) | 1,500,000 | 1,543,071 |
Puget Sound Energy, Inc. | ||
5.64%, 04/15/41 (b) | 250,000 | 328,159 |
San Diego Gas & Electric Co. | ||
4.30%, 04/01/42 (b) | 300,000 | 346,493 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Sempra Energy | ||
3.55%, 06/15/24 (b) | 400,000 | 419,956 |
Southern California Edison Co. | ||
5.55%, 01/15/37 | 500,000 | 642,163 |
Southern Co. | ||
4.40%, 07/01/46 (b) | 500,000 | 539,743 |
Southern Power Co. | ||
1.50%, 06/01/18 | 500,000 | 502,735 |
2.38%, 06/01/20 (b) | 1,200,000 | 1,219,753 |
TransAlta Corp. | ||
6.65%, 05/15/18 | 250,000 | 257,098 |
Union Electric Co. | ||
3.90%, 09/15/42 (b) | 100,000 | 107,984 |
Virginia Electric & Power Co. | ||
5.95%, 09/15/17 | 300,000 | 317,724 |
6.00%, 05/15/37 | 300,000 | 403,269 |
WEC Energy Group, Inc. | ||
1.65%, 06/15/18 | 200,000 | 201,863 |
Westar Energy, Inc. | ||
4.13%, 03/01/42 (b) | 100,000 | 110,539 |
Xcel Energy, Inc. | ||
4.70%, 05/15/20 (b) | 500,000 | 553,053 |
2.40%, 03/15/21 (b) | 250,000 | 257,293 |
4.80%, 09/15/41 (b) | 600,000 | 692,186 |
56,073,368 | ||
Natural Gas 0.1% | ||
Atmos Energy Corp. | ||
4.13%, 10/15/44 (b) | 650,000 | 710,373 |
NiSource Finance Corp. | ||
6.25%, 12/15/40 | 500,000 | 652,620 |
ONE Gas, Inc. | ||
3.61%, 02/01/24 (b) | 100,000 | 108,127 |
4.66%, 02/01/44 (b) | 300,000 | 339,365 |
Sempra Energy | ||
9.80%, 02/15/19 | 500,000 | 602,176 |
6.00%, 10/15/39 | 350,000 | 440,482 |
Southern California Gas Co. | ||
2.60%, 06/15/26 (b) | 1,000,000 | 1,027,329 |
Southwest Gas Corp. | ||
3.88%, 04/01/22 (b) | 200,000 | 208,629 |
4,089,101 | ||
Other Utilities 0.0% | ||
American Water Capital Corp. | ||
3.40%, 03/01/25 (b) | 750,000 | 814,109 |
814,109 | ||
60,976,578 | ||
Total Corporate Bonds | ||
(Cost $767,215,720) | 793,662,526 | |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Foreign Government Securities 4.6% of net assets | ||
Foreign Agencies 1.4% | ||
Austria 0.1% | ||
Oesterreichische Kontrollbank AG | ||
1.13%, 05/29/18 | 1,000,000 | 1,004,108 |
1.38%, 02/10/20 | 1,000,000 | 1,007,431 |
2,011,539 | ||
Canada 0.1% | ||
Export Development Canada | ||
1.75%, 07/21/20 | 1,500,000 | 1,540,965 |
Nexen, Inc. | ||
6.40%, 05/15/37 | 1,400,000 | 1,744,936 |
3,285,901 | ||
Colombia 0.0% | ||
Ecopetrol S.A. | ||
4.25%, 09/18/18 | 250,000 | 259,375 |
7.63%, 07/23/19 | 200,000 | 230,500 |
5.88%, 09/18/23 | 300,000 | 309,750 |
5.88%, 05/28/45 | 100,000 | 87,400 |
887,025 | ||
Germany 0.7% | ||
Kreditanstalt fuer Wiederaufbau | ||
4.38%, 03/15/18 (d) | 1,500,000 | 1,590,229 |
0.88%, 04/19/18 (d) | 750,000 | 751,362 |
1.00%, 06/11/18 (d) | 1,000,000 | 1,003,386 |
4.50%, 07/16/18 (d) | 2,000,000 | 2,146,832 |
1.13%, 08/06/18 (d) | 1,500,000 | 1,509,554 |
1.50%, 02/06/19 (d) | 3,200,000 | 3,252,560 |
4.88%, 06/17/19 (d) | 1,000,000 | 1,113,797 |
4.00%, 01/27/20 (d) | 1,000,000 | 1,101,258 |
1.50%, 04/20/20 (d) | 1,500,000 | 1,523,821 |
1.88%, 06/30/20 (d) | 1,000,000 | 1,029,428 |
2.75%, 09/08/20 (d) | 1,000,000 | 1,064,774 |
1.50%, 06/15/21 (d) | 1,000,000 | 1,013,248 |
2.38%, 08/25/21 (d) | 1,000,000 | 1,053,694 |
2.63%, 01/25/22 (d) | 500,000 | 533,112 |
2.50%, 11/20/24 (d) | 1,000,000 | 1,064,753 |
Landwirtschaftliche Rentenbank | ||
1.00%, 04/04/18 (d) | 1,445,000 | 1,450,812 |
1.88%, 09/17/18 (d) | 1,000,000 | 1,022,554 |
22,225,174 | ||
Japan 0.1% | ||
Japan Bank for International Cooperation | ||
1.75%, 07/31/18 | 750,000 | 757,830 |
1.75%, 11/13/18 | 1,000,000 | 1,010,732 |
2.13%, 02/07/19 | 500,000 | 512,060 |
1.75%, 05/29/19 | 400,000 | 404,264 |
2,684,886 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Mexico 0.2% | ||
Petroleos Mexicanos | ||
5.75%, 03/01/18 | 500,000 | 524,080 |
3.13%, 01/23/19 | 1,000,000 | 1,000,000 |
5.50%, 02/04/19 | 1,000,000 | 1,053,500 |
3.50%, 07/23/20 (c) | 1,000,000 | 1,001,610 |
5.50%, 01/21/21 | 400,000 | 424,060 |
3.50%, 01/30/23 | 500,000 | 472,050 |
4.88%, 01/18/24 | 500,000 | 508,150 |
6.63%, 06/15/35 | 500,000 | 518,000 |
6.50%, 06/02/41 | 250,000 | 254,375 |
5.50%, 06/27/44 | 935,000 | 849,494 |
5.63%, 01/23/46 (c) | 250,000 | 228,813 |
6,834,132 | ||
Norway 0.1% | ||
Statoil A.S.A. | ||
2.25%, 11/08/19 | 500,000 | 513,040 |
2.45%, 01/17/23 | 1,000,000 | 1,013,328 |
3.70%, 03/01/24 | 400,000 | 432,498 |
4.25%, 11/23/41 | 1,000,000 | 1,055,106 |
3,013,972 | ||
Republic of Korea 0.1% | ||
Export-Import Bank of Korea | ||
4.38%, 09/15/21 | 300,000 | 335,191 |
5.00%, 04/11/22 | 200,000 | 231,562 |
2.88%, 01/21/25 | 1,250,000 | 1,298,559 |
Korea Development Bank | ||
3.50%, 08/22/17 | 500,000 | 513,092 |
3.00%, 03/17/19 | 700,000 | 728,527 |
2.25%, 05/18/20 | 500,000 | 509,756 |
3,616,687 | ||
Sweden 0.0% | ||
Svensk Exportkredit AB | ||
1.13%, 04/05/18 | 250,000 | 250,797 |
1.88%, 06/17/19 | 500,000 | 511,921 |
762,718 | ||
45,322,034 | ||
Foreign Local Government 0.3% | ||
Canada 0.3% | ||
Hydro-Quebec | ||
8.05%, 07/07/24 | 160,000 | 224,132 |
Province of British Columbia | ||
2.00%, 10/23/22 | 200,000 | 205,811 |
2.25%, 06/02/26 | 300,000 | 307,956 |
Province of Manitoba | ||
1.75%, 05/30/19 | 1,000,000 | 1,019,849 |
2.13%, 06/22/26 | 500,000 | 497,713 |
Province of Ontario | ||
1.10%, 10/25/17 | 750,000 | 752,744 |
3.15%, 12/15/17 | 500,000 | 517,446 |
2.00%, 09/27/18 | 500,000 | 511,039 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
4.00%, 10/07/19 | 750,000 | 816,940 |
4.40%, 04/14/20 | 300,000 | 334,213 |
2.50%, 09/10/21 | 500,000 | 522,915 |
2.45%, 06/29/22 | 500,000 | 523,660 |
Province of Quebec | ||
2.75%, 08/25/21 | 500,000 | 529,870 |
2.63%, 02/13/23 | 250,000 | 262,569 |
7.13%, 02/09/24 | 1,000,000 | 1,328,052 |
2.88%, 10/16/24 | 1,000,000 | 1,068,121 |
7.50%, 09/15/29 | 168,000 | 255,142 |
9,678,172 | ||
Sovereign 1.3% | ||
Canada 0.0% | ||
Canada Government International Bond | ||
1.63%, 02/27/19 | 1,000,000 | 1,022,106 |
1,022,106 | ||
Chile 0.0% | ||
Chile Government International Bond | ||
2.25%, 10/30/22 | 300,000 | 303,150 |
3.13%, 03/27/25 | 650,000 | 684,775 |
3.63%, 10/30/42 | 100,000 | 102,000 |
1,089,925 | ||
Colombia 0.1% | ||
Colombia Government International Bond | ||
7.38%, 03/18/19 | 300,000 | 342,750 |
4.38%, 07/12/21 | 1,000,000 | 1,076,000 |
4.50%, 01/28/26 (b) | 750,000 | 801,562 |
7.38%, 09/18/37 | 300,000 | 391,125 |
6.13%, 01/18/41 | 750,000 | 870,000 |
5.00%, 06/15/45 (b) | 350,000 | 364,875 |
3,846,312 | ||
Israel 0.0% | ||
Israel Government International Bond | ||
2.88%, 03/16/26 | 500,000 | 516,561 |
516,561 | ||
Italy 0.1% | ||
Italy Government International Bond | ||
6.88%, 09/27/23 | 1,500,000 | 1,890,000 |
5.38%, 06/15/33 | 500,000 | 595,239 |
2,485,239 | ||
Mexico 0.2% | ||
Mexico Government International Bond | ||
3.50%, 01/21/21 | 650,000 | 687,375 |
3.63%, 03/15/22 | 900,000 | 950,850 |
8.00%, 09/24/22 | 100,000 | 128,625 |
4.00%, 10/02/23 | 350,000 | 377,667 |
3.60%, 01/30/25 | 2,000,000 | 2,095,000 |
6.05%, 01/11/40 | 300,000 | 378,375 |
4.75%, 03/08/44 | 1,300,000 | 1,404,000 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
5.55%, 01/21/45 | 600,000 | 720,750 |
4.60%, 01/23/46 | 500,000 | 529,375 |
7,272,017 | ||
Panama 0.1% | ||
Panama Government International Bond | ||
5.20%, 01/30/20 | 600,000 | 666,000 |
4.00%, 09/22/24 (b) | 500,000 | 538,750 |
3.75%, 03/16/25 (b) | 750,000 | 793,125 |
6.70%, 01/26/36 | 200,000 | 266,500 |
2,264,375 | ||
Peru 0.1% | ||
Peruvian Government International Bond | ||
7.13%, 03/30/19 | 250,000 | 288,125 |
7.35%, 07/21/25 | 1,000,000 | 1,362,500 |
4.13%, 08/25/27 | 500,000 | 551,250 |
2,201,875 | ||
Philippines 0.2% | ||
Philippine Government International Bond | ||
8.38%, 06/17/19 | 500,000 | 599,185 |
4.00%, 01/15/21 | 300,000 | 328,801 |
4.20%, 01/21/24 | 1,300,000 | 1,491,972 |
5.50%, 03/30/26 | 600,000 | 762,648 |
6.38%, 01/15/32 | 350,000 | 495,055 |
3.95%, 01/20/40 | 1,500,000 | 1,733,245 |
5,410,906 | ||
Poland 0.1% | ||
Poland Government International Bond | ||
6.38%, 07/15/19 | 1,000,000 | 1,134,350 |
5.13%, 04/21/21 | 350,000 | 393,718 |
3.00%, 03/17/23 | 300,000 | 305,715 |
4.00%, 01/22/24 | 250,000 | 270,469 |
2,104,252 | ||
Republic of Korea 0.0% | ||
Republic of Korea | ||
7.13%, 04/16/19 | 150,000 | 174,585 |
3.88%, 09/11/23 | 600,000 | 688,530 |
863,115 | ||
South Africa 0.1% | ||
South Africa Government International Bond | ||
6.88%, 05/27/19 | 400,000 | 446,240 |
4.67%, 01/17/24 | 600,000 | 621,204 |
5.38%, 07/24/44 | 500,000 | 524,470 |
1,591,914 | ||
Turkey 0.3% | ||
Turkey Government International Bond | ||
6.75%, 04/03/18 | 1,400,000 | 1,509,200 |
7.00%, 03/11/19 | 1,250,000 | 1,385,360 |
5.63%, 03/30/21 | 500,000 | 546,248 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
7.38%, 02/05/25 | 1,150,000 | 1,422,395 |
4.25%, 04/14/26 | 1,500,000 | 1,527,300 |
6.00%, 01/14/41 | 400,000 | 448,793 |
4.88%, 04/16/43 | 500,000 | 489,738 |
6.63%, 02/17/45 | 700,000 | 851,632 |
8,180,666 | ||
Uruguay 0.0% | ||
Uruguay Government International Bond | ||
4.50%, 08/14/24 | 250,000 | 272,813 |
7.63%, 03/21/36 | 300,000 | 406,875 |
4.13%, 11/20/45 | 150,000 | 136,125 |
5.10%, 06/18/50 | 250,000 | 249,375 |
1,065,188 | ||
39,914,451 | ||
Supranational* 1.6% | ||
African Development Bank | ||
0.88%, 03/15/18 | 500,000 | 500,704 |
1.63%, 10/02/18 | 500,000 | 509,110 |
2.38%, 09/23/21 | 1,000,000 | 1,053,345 |
Asian Development Bank | ||
1.75%, 09/11/18 | 750,000 | 765,529 |
1.38%, 01/15/19 | 1,000,000 | 1,013,072 |
1.50%, 01/22/20 | 500,000 | 508,319 |
1.63%, 03/16/21 | 500,000 | 509,780 |
2.00%, 01/22/25 | 1,500,000 | 1,544,049 |
5.82%, 06/16/28 | 1,000,000 | 1,358,756 |
Corp. Andina de Fomento | ||
4.38%, 06/15/22 | 350,000 | 391,612 |
Council of Europe Development Bank | ||
1.00%, 03/07/18 | 500,000 | 501,512 |
1.63%, 03/10/20 | 500,000 | 509,303 |
European Bank for Reconstruction & Development | ||
1.75%, 06/14/19 | 1,500,000 | 1,534,489 |
European Investment Bank | ||
1.13%, 09/15/17 | 1,500,000 | 1,506,381 |
1.00%, 03/15/18 | 500,000 | 501,694 |
1.25%, 05/15/18 | 1,500,000 | 1,511,512 |
1.00%, 06/15/18 | 500,000 | 501,357 |
1.88%, 03/15/19 | 700,000 | 717,165 |
1.75%, 06/17/19 | 1,000,000 | 1,021,650 |
1.63%, 03/16/20 | 3,000,000 | 3,054,558 |
1.38%, 06/15/20 | 500,000 | 504,460 |
2.88%, 09/15/20 | 1,000,000 | 1,067,483 |
4.00%, 02/16/21 | 1,200,000 | 1,347,924 |
2.00%, 03/15/21 | 500,000 | 517,009 |
3.25%, 01/29/24 | 1,000,000 | 1,119,944 |
2.50%, 10/15/24 | 500,000 | 530,477 |
2.13%, 04/13/26 | 1,000,000 | 1,025,732 |
4.88%, 02/15/36 | 750,000 | 1,011,781 |
Inter-American Development Bank | ||
2.38%, 08/15/17 | 250,000 | 254,811 |
0.88%, 03/15/18 | 500,000 | 501,545 |
1.75%, 08/24/18 | 500,000 | 511,119 |
1.75%, 10/15/19 | 500,000 | 511,300 |
3.88%, 02/14/20 | 700,000 | 769,436 |
2.13%, 11/09/20 | 650,000 | 676,517 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.88%, 03/15/21 | 2,500,000 | 2,570,532 |
4.38%, 01/24/44 | 1,500,000 | 1,991,337 |
International Bank for Reconstruction & Development | ||
1.00%, 06/15/18 | 1,000,000 | 1,004,818 |
1.88%, 03/15/19 | 2,000,000 | 2,055,794 |
1.88%, 10/07/19 | 1,800,000 | 1,852,155 |
2.13%, 11/01/20 | 1,000,000 | 1,042,020 |
2.25%, 06/24/21 | 3,250,000 | 3,403,923 |
1.88%, 10/07/22 | 2,500,000 | 2,561,272 |
2.50%, 11/25/24 | 250,000 | 267,080 |
4.75%, 02/15/35 | 350,000 | 471,616 |
International Finance Corp. | ||
2.13%, 11/17/17 | 500,000 | 509,669 |
1.75%, 09/04/18 | 500,000 | 510,353 |
1.75%, 09/16/19 | 500,000 | 512,241 |
1.63%, 07/16/20 | 1,000,000 | 1,020,558 |
Nordic Investment Bank | ||
2.25%, 09/30/21 | 1,250,000 | 1,309,601 |
50,946,404 | ||
Total Foreign Government Securities | ||
(Cost $142,336,698) | 145,861,061 | |
Mortgage-Backed Securities 27.6% of net assets | ||
TBA Securities 7.3% | ||
Fannie Mae TBA | ||
2.00%, 07/01/31 (b)(g) | 2,500,000 | 2,537,059 |
2.50%, 07/01/31 (b)(g) | 12,000,000 | 12,416,008 |
3.00%, 07/01/31 to 07/01/46 (b)(g) | 27,000,000 | 28,133,141 |
3.50%, 07/01/31 to 07/01/46 (b)(g) | 17,000,000 | 17,950,155 |
4.00%, 07/01/46 (b)(g) | 10,000,000 | 10,722,369 |
4.50%, 07/01/46 (b)(g) | 14,000,000 | 15,283,990 |
5.00%, 07/01/46 (b)(g) | 2,000,000 | 2,222,436 |
Freddie Mac TBA | ||
2.00%, 07/01/31 (b)(g) | 1,000,000 | 1,014,511 |
2.50%, 07/01/31 (b)(g) | 11,000,000 | 11,376,059 |
3.00%, 07/01/31 to 07/01/46 (b)(g) | 25,500,000 | 26,547,996 |
3.50%, 07/01/31 to 07/01/46 (b)(g) | 20,000,000 | 21,098,248 |
4.00%, 07/01/46 (b)(g) | 13,000,000 | 13,915,078 |
4.50%, 07/01/46 (b)(g) | 7,500,000 | 8,179,688 |
5.00%, 07/01/46 (b)(g) | 1,000,000 | 1,104,028 |
Ginnie Mae TBA | ||
2.50%, 07/01/46 (b)(g) | 1,000,000 | 1,020,703 |
3.00%, 07/01/46 (b)(g) | 18,000,000 | 18,817,773 |
3.50%, 07/01/46 (b)(g) | 8,000,000 | 8,491,855 |
4.00%, 07/01/46 (b)(g) | 17,500,000 | 18,715,429 |
4.50%, 07/01/46 (b)(g) | 10,000,000 | 10,814,792 |
230,361,318 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
U.S. Government Agency Mortgages 20.3% | ||
Fannie Mae | ||
7.00%, 08/01/16 to 04/01/37 (b) | 54,936 | 63,745 |
6.00%, 12/01/16 to 05/01/41 (b) | 5,424,543 | 6,251,171 |
5.50%, 02/01/17 to 08/01/41 (b) | 9,660,821 | 10,952,995 |
5.00%, 02/01/18 to 08/01/41 (b) | 12,206,540 | 13,621,977 |
4.50%, 03/01/18 to 01/01/44 (b) | 14,956,091 | 16,388,960 |
4.00%, 06/01/18 to 02/01/46 (b) | 60,234,403 | 64,847,742 |
3.50%, 10/01/18 to 02/01/46 (b) | 89,905,792 | 95,246,933 |
6.50%, 05/01/19 to 05/01/40 (b) | 1,588,127 | 1,863,896 |
8.50%, 05/01/25 (b) | 3,103 | 3,560 |
3.00%, 12/01/25 to 06/01/46 (b) | 66,461,084 | 69,413,461 |
2.50%, 10/01/27 to 02/01/43 (b) | 13,411,913 | 13,900,303 |
2.00%, 02/01/28 to 09/01/28 (b) | 212,355 | 216,965 |
2.44%, 10/01/35 (a)(b) | 192,244 | 201,146 |
2.48%, 05/01/38 (a)(b) | 219,939 | 228,450 |
2.84%, 04/01/40 (a)(b) | 56,817 | 59,908 |
2.76%, 05/01/40 (a)(b) | 44,374 | 46,960 |
2.45%, 09/01/43 (a)(b) | 307,901 | 318,576 |
2.91%, 11/01/43 (a)(b) | 109,444 | 114,210 |
2.45%, 04/01/45 (a)(b) | 372,287 | 383,949 |
2.45%, 11/01/45 (a)(b) | 377,926 | 391,450 |
2.96%, 11/01/45 (a)(b) | 275,598 | 286,266 |
3.00%, 05/01/46 (a)(b) | 499,145 | 521,464 |
Freddie Mac | ||
7.50%, 09/01/16 (b) | 15 | 15 |
6.50%, 03/01/17 to 09/01/39 (b) | 735,022 | 849,132 |
6.00%, 04/01/17 to 06/01/39 (b) | 3,597,597 | 4,136,509 |
4.00%, 04/01/18 to 01/01/46 (b) | 27,776,232 | 29,851,829 |
5.00%, 06/01/18 to 12/01/43 (b) | 8,099,240 | 8,980,513 |
5.50%, 11/01/18 to 08/01/40 (b) | 5,510,353 | 6,211,148 |
4.50%, 05/01/19 to 04/01/44 (b) | 10,520,211 | 11,525,590 |
3.00%, 12/01/25 to 08/01/45 (b) | 32,973,982 | 34,419,919 |
3.50%, 12/01/25 to 03/01/46 (b) | 47,880,771 | 50,637,171 |
2.50%, 07/01/27 to 07/01/43 (b) | 6,995,072 | 7,233,213 |
2.00%, 10/01/27 to 04/01/28 (b) | 166,116 | 169,915 |
2.43%, 12/01/45 (a)(b) | 270,454 | 279,402 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Ginnie Mae | ||
5.00%, 11/15/17 to 05/20/46 (b) | 11,638,721 | 12,967,334 |
6.50%, 05/15/24 to 09/20/37 (b) | 542,219 | 645,071 |
4.00%, 12/15/24 to 09/20/45 (b) | 27,264,597 | 29,248,861 |
5.50%, 04/20/26 to 12/20/45 (b) | 3,880,260 | 4,387,513 |
3.50%, 05/20/26 to 06/20/46 (b) | 79,518,384 | 84,637,934 |
3.00%, 01/20/27 to 06/20/46 (b) | 34,371,479 | 36,071,543 |
2.50%, 03/20/27 to 07/20/43 (b) | 1,336,838 | 1,389,889 |
2.00%, 07/20/28 (b) | 17,883 | 18,310 |
6.00%, 12/20/31 to 06/15/41 (b) | 2,216,701 | 2,562,474 |
4.50%, 09/15/33 to 02/20/45 (b) | 13,445,466 | 14,700,063 |
1.88%, 08/20/37 to 08/20/38 (a)(b) | 289,393 | 301,247 |
2.00%, 09/20/39 to 09/20/43 (a)(b) | 1,602,821 | 1,658,422 |
3.00%, 10/20/40 to 07/20/42 (a)(b) | 229,656 | 235,687 |
2.50%, 07/20/42 to 02/20/44 (a)(b) | 175,102 | 179,714 |
3.50%, 04/20/44 (a)(b) | 83,091 | 86,332 |
638,708,837 | ||
Total Mortgage-Backed Securities | ||
(Cost $855,887,853) | 869,070,155 | |
Municipal Bonds 0.9% of net assets | ||
Fixed-Rate Obligations 0.9% | ||
Bay Area Toll Authority | ||
RB (Build America Bonds) Series 2010S3 | ||
6.91%, 10/01/50 | 1,100,000 | 1,766,182 |
California | ||
6.20%, 10/01/19 | 1,500,000 | 1,735,185 |
GO (Build America Bonds) Series 2009 | ||
7.50%, 04/01/34 | 1,350,000 | 2,046,748 |
GO (Build America Bonds) Series 2010 | ||
7.95%, 03/01/36 (b) | 350,000 | 425,492 |
GO (Build America Bonds) Series 2009 | ||
7.55%, 04/01/39 | 900,000 | 1,423,593 |
GO (Build America Bonds) Series 2009 | ||
7.30%, 10/01/39 | 750,000 | 1,136,640 |
City of Chicago IL | ||
GO Bonds Series 2012 | ||
5.43%, 01/01/42 | 350,000 | 298,144 |
Commonwealth of Massachusetts | ||
GO (Build America Bonds) Series 2009 | ||
5.46%, 12/01/39 | 100,000 | 138,136 |
Connecticut | ||
GO Bonds Series 2008A | ||
5.85%, 03/15/32 | 700,000 | 920,955 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Dallas County Hospital District | ||
GO (Build America Bonds) Series C | ||
5.62%, 08/15/44 | 150,000 | 200,907 |
Dallas Independent School District | ||
GO (Build America Bonds) Series 2010C | ||
6.45%, 02/15/35 (b) | 350,000 | 418,642 |
Georgia | ||
GO (Build America Bonds) Series H | ||
4.50%, 11/01/25 | 1,450,000 | 1,675,330 |
Grand Parkway Transportation Corp. | ||
RB Series 2013E | ||
5.18%, 10/01/42 | 200,000 | 264,186 |
Harvard College | ||
Taxable Bonds Series 2013A | ||
3.62%, 10/01/37 | 350,000 | 382,599 |
Illinois | ||
GO Bonds (Pension Funding) Series 2003 | ||
4.95%, 06/01/23 | 550,000 | 590,244 |
GO Bonds (Pension Funding) Series 2003 | ||
5.10%, 06/01/33 | 650,000 | 625,346 |
JobsOhio Beverage System | ||
RB (Build America Bonds) Series B | ||
3.99%, 01/01/29 | 250,000 | 286,410 |
Series B | ||
4.53%, 01/01/35 | 390,000 | 465,231 |
Los Angeles USD | ||
GO (Build America Bonds) Series 2010 | ||
6.76%, 07/01/34 | 200,000 | 288,390 |
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd | ||
4.05%, 07/01/26 (b) | 800,000 | 879,296 |
Metropolitan Museum of Art | ||
Series 2015 | ||
3.40%, 07/01/45 | 500,000 | 530,234 |
Metropolitan Transportation Authority | ||
RB (Build America Bonds) Series E | ||
6.81%, 11/15/40 | 650,000 | 948,201 |
New Jersey Transportation Trust Fund Authority | ||
RB (Build America Bonds) Series 2010C | ||
5.75%, 12/15/28 | 900,000 | 977,436 |
New York City Municipal Water Finance Authority | ||
Water System RB (Build America Bonds) Series 2009 | ||
5.75%, 06/15/41 | 200,000 | 282,160 |
Water System RB (Build America Bonds) Series 2011CC | ||
5.88%, 06/15/44 | 250,000 | 362,500 |
New York City Transitional Finance Authority | ||
RB (Qualified School Construction Bonds) Series 2010 G3 | ||
5.27%, 05/01/27 | 500,000 | 620,005 |
RB (Build America Bonds) Series 2011A1 | ||
5.51%, 08/01/37 | 200,000 | 262,298 |
New York State Dormitory Authority | ||
RB (Build America Bonds) Series 2009 H | ||
5.43%, 03/15/39 | 500,000 | 649,960 |
Northwestern University | ||
3.69%, 12/01/38 | 500,000 | 547,568 |
Ochsner Clinic Foundation | ||
5.90%, 05/15/45 (b) | 500,000 | 634,051 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Port Authority of New York & New Jersey | ||
Consolidated Bonds 174th Series | ||
4.46%, 10/01/62 | 150,000 | 171,237 |
San Diego County Regional Transportation Commission | ||
RB (Build America Bonds) Series 2010A | ||
5.91%, 04/01/48 | 300,000 | 446,712 |
San Francisco City & County Public Utilities Commission | ||
Water System RB (Build America Bonds) Series 2010DE | ||
6.00%, 11/01/40 | 430,000 | 581,962 |
Texas | ||
GO (Build America Bonds) Series 2010A | ||
4.63%, 04/01/33 | 500,000 | 630,880 |
GO Mobility Fund Bonds (Build America Bonds) Series 2009A | ||
5.52%, 04/01/39 | 750,000 | 1,063,687 |
GO (Build America Bonds) Series 2010A | ||
4.68%, 04/01/40 | 500,000 | 628,620 |
Texas Transportation Commission | ||
RB (Build America Bonds) Series B | ||
5.03%, 04/01/26 | 500,000 | 616,340 |
RB (Build America Bonds) Series B | ||
5.18%, 04/01/30 | 1,130,000 | 1,450,863 |
University of California | ||
RB Series J | ||
4.13%, 05/15/45 | 600,000 | 669,198 |
Utah | ||
GO (Build America Bonds) Series D | ||
4.55%, 07/01/24 | 500,000 | 587,280 |
Total Municipal Bonds | ||
(Cost $26,504,424) | 28,628,848 | |
U.S. Government and Government Agencies 38.9% of net assets | ||
U.S. Government Agency Securities 2.5% | ||
Fannie Mae | ||
1.00%, 09/27/17 | 1,900,000 | 1,908,934 |
0.88%, 02/08/18 | 350,000 | 351,840 |
0.88%, 05/21/18 | 2,700,000 | 2,711,194 |
1.13%, 05/25/18 (b) | 300,000 | 300,119 |
1.13%, 10/19/18 | 400,000 | 403,813 |
1.88%, 02/19/19 | 1,500,000 | 1,542,099 |
1.63%, 05/10/19 (b) | 2,750,000 | 2,760,433 |
1.75%, 06/20/19 | 1,000,000 | 1,027,672 |
1.25%, 06/28/19 (b) | 4,000,000 | 4,003,284 |
1.75%, 09/12/19 | 2,000,000 | 2,056,340 |
1.75%, 11/26/19 | 2,500,000 | 2,571,595 |
1.63%, 01/10/20 | 1,500,000 | 1,500,072 |
1.63%, 01/21/20 | 1,300,000 | 1,331,394 |
1.50%, 11/30/20 | 1,300,000 | 1,322,898 |
1.60%, 12/24/20 (b) | 600,000 | 600,154 |
1.38%, 02/26/21 | 1,500,000 | 1,516,563 |
7.13%, 01/15/30 | 527,000 | 828,020 |
7.25%, 05/15/30 | 1,000,000 | 1,593,076 |
6.63%, 11/15/30 | 200,000 | 306,906 |
Federal Farm Credit Bank | ||
0.75%, 04/18/18 | 2,000,000 | 2,002,796 |
1.15%, 07/01/19 | 1,000,000 | 1,009,148 |
1.92%, 04/19/22 (b) | 1,500,000 | 1,504,599 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Federal Home Loan Bank | ||
0.75%, 08/28/17 | 620,000 | 621,066 |
2.25%, 09/08/17 | 2,000,000 | 2,037,692 |
5.00%, 11/17/17 | 1,185,000 | 1,255,727 |
1.00%, 12/19/17 | 500,000 | 502,656 |
0.88%, 03/19/18 | 1,250,000 | 1,254,610 |
2.75%, 06/08/18 | 1,250,000 | 1,300,959 |
2.00%, 09/14/18 | 500,000 | 514,341 |
1.50%, 03/08/19 | 2,000,000 | 2,037,132 |
1.88%, 03/08/19 | 2,000,000 | 2,056,212 |
1.88%, 03/13/20 | 1,000,000 | 1,031,759 |
1.38%, 02/18/21 | 1,000,000 | 1,012,472 |
2.38%, 06/10/22 | 400,000 | 423,407 |
2.13%, 03/10/23 | 250,000 | 260,386 |
2.88%, 06/14/24 | 1,075,000 | 1,173,903 |
5.38%, 08/15/24 | 1,750,000 | 2,234,872 |
5.50%, 07/15/36 | 400,000 | 578,283 |
Freddie Mac | ||
1.00%, 09/08/17 (b) | 500,000 | 500,447 |
1.00%, 09/29/17 | 2,850,000 | 2,863,988 |
1.00%, 12/15/17 | 500,000 | 502,730 |
0.88%, 03/07/18 | 4,440,000 | 4,448,929 |
1.25%, 05/25/18 (b) | 700,000 | 700,546 |
1.25%, 06/29/18 (b) | 1,000,000 | 1,001,453 |
1.25%, 01/29/19 (b) | 1,750,000 | 1,750,506 |
1.30%, 02/26/19 (b) | 400,000 | 400,130 |
1.13%, 04/15/19 | 1,000,000 | 1,008,912 |
0.00%, 11/29/19 (i) | 700,000 | 671,915 |
2.38%, 01/13/22 | 5,351,000 | 5,671,942 |
6.75%, 03/15/31 | 264,000 | 410,139 |
6.25%, 07/15/32 | 700,000 | 1,060,848 |
Private Export Funding Corp. | ||
2.30%, 09/15/20 | 2,000,000 | 2,059,186 |
Tennessee Valley Authority | ||
2.88%, 09/15/24 | 2,000,000 | 2,172,374 |
6.75%, 11/01/25 | 488,000 | 675,331 |
77,347,802 | ||
U.S. Treasury Obligations 36.4% | ||
U.S. Treasury Bonds | ||
9.13%, 05/15/18 | 2,331,000 | 2,704,871 |
8.00%, 11/15/21 | 2,149,000 | 2,927,048 |
6.00%, 02/15/26 | 891,000 | 1,255,214 |
6.75%, 08/15/26 | 1,324,000 | 1,983,466 |
6.13%, 11/15/27 | 2,388,000 | 3,526,357 |
5.50%, 08/15/28 | 2,000,000 | 2,860,196 |
5.25%, 11/15/28 | 2,500,000 | 3,520,263 |
5.25%, 02/15/29 | 2,028,000 | 2,868,827 |
6.13%, 08/15/29 | 3,500,000 | 5,356,505 |
6.25%, 05/15/30 | 4,985,000 | 7,838,230 |
5.38%, 02/15/31 | 4,000,000 | 5,935,156 |
4.50%, 02/15/36 | 2,000,000 | 2,881,602 |
4.75%, 02/15/37 | 1,086,000 | 1,616,104 |
4.38%, 02/15/38 | 2,500,000 | 3,565,185 |
4.50%, 05/15/38 | 1,500,000 | 2,176,728 |
3.50%, 02/15/39 | 3,572,000 | 4,509,721 |
4.25%, 05/15/39 | 1,150,000 | 1,607,956 |
4.50%, 08/15/39 | 2,850,000 | 4,121,644 |
4.38%, 11/15/39 | 4,381,000 | 6,229,664 |
4.63%, 02/15/40 | 3,215,000 | 4,728,124 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
4.38%, 05/15/40 | 3,500,000 | 4,981,483 |
3.88%, 08/15/40 | 3,500,000 | 4,647,139 |
4.25%, 11/15/40 | 4,409,000 | 6,176,043 |
4.75%, 02/15/41 | 5,000,000 | 7,504,490 |
4.38%, 05/15/41 | 4,000,000 | 5,713,516 |
3.75%, 08/15/41 | 3,623,000 | 4,727,519 |
3.13%, 11/15/41 | 5,500,000 | 6,497,199 |
3.13%, 02/15/42 | 3,940,000 | 4,657,588 |
3.00%, 05/15/42 | 1,493,000 | 1,725,173 |
2.75%, 08/15/42 | 1,899,000 | 2,093,055 |
2.75%, 11/15/42 | 3,420,000 | 3,763,471 |
3.13%, 02/15/43 | 2,500,000 | 2,947,853 |
2.88%, 05/15/43 | 5,899,000 | 6,635,455 |
3.63%, 08/15/43 | 1,633,000 | 2,107,431 |
3.75%, 11/15/43 | 3,318,000 | 4,378,854 |
3.63%, 02/15/44 | 3,545,000 | 4,572,082 |
3.38%, 05/15/44 | 3,912,000 | 4,822,686 |
3.13%, 08/15/44 | 7,000,000 | 8,242,087 |
3.00%, 11/15/44 | 5,750,000 | 6,613,173 |
2.50%, 02/15/45 | 12,500,000 | 13,018,312 |
3.00%, 05/15/45 | 6,750,000 | 7,761,184 |
2.88%, 08/15/45 | 5,750,000 | 6,456,847 |
3.00%, 11/15/45 | 5,500,000 | 6,324,356 |
2.50%, 02/15/46 | 16,750,000 | 17,442,244 |
2.50%, 05/15/46 | 3,750,000 | 3,907,909 |
U.S. Treasury Notes | ||
0.88%, 07/15/17 | 10,000,000 | 10,037,500 |
0.50%, 07/31/17 | 18,000,000 | 17,996,490 |
0.63%, 07/31/17 | 9,500,000 | 9,510,573 |
2.38%, 07/31/17 | 3,000,000 | 3,059,883 |
0.88%, 08/15/17 | 14,000,000 | 14,053,872 |
0.63%, 08/31/17 | 8,360,000 | 8,368,820 |
1.88%, 08/31/17 | 5,337,600 | 5,420,584 |
1.00%, 09/15/17 | 6,750,000 | 6,786,652 |
0.63%, 09/30/17 | 8,000,000 | 8,008,752 |
1.88%, 09/30/17 | 2,012,000 | 2,045,244 |
0.88%, 10/15/17 | 4,000,000 | 4,016,328 |
0.75%, 10/31/17 | 9,001,000 | 9,024,034 |
1.88%, 10/31/17 | 1,745,000 | 1,775,298 |
0.88%, 11/15/17 | 3,800,000 | 3,816,329 |
0.63%, 11/30/17 | 7,000,000 | 7,006,426 |
0.88%, 11/30/17 | 5,000,000 | 5,021,290 |
1.00%, 12/15/17 | 9,750,000 | 9,811,513 |
0.75%, 12/31/17 | 4,247,000 | 4,258,531 |
1.00%, 12/31/17 | 9,000,000 | 9,056,601 |
0.88%, 01/15/18 | 3,000,000 | 3,013,887 |
0.88%, 01/31/18 | 4,000,000 | 4,019,064 |
1.00%, 02/15/18 | 5,250,000 | 5,285,170 |
0.75%, 02/28/18 | 8,066,000 | 8,088,367 |
1.00%, 03/15/18 | 5,500,000 | 5,538,566 |
0.88%, 03/31/18 | 5,000,000 | 5,024,610 |
2.88%, 03/31/18 | 1,991,000 | 2,070,019 |
0.75%, 04/15/18 | 1,500,000 | 1,504,278 |
0.63%, 04/30/18 | 15,707,000 | 15,719,880 |
0.75%, 04/30/18 | 1,400,000 | 1,404,102 |
2.63%, 04/30/18 | 3,107,000 | 3,222,543 |
1.00%, 05/15/18 | 3,500,000 | 3,526,730 |
1.00%, 05/31/18 (h) | 10,000,000 | 10,079,100 |
2.38%, 05/31/18 | 4,100,000 | 4,239,736 |
1.13%, 06/15/18 (h) | 5,000,000 | 5,050,975 |
1.38%, 06/30/18 (h) | 6,619,000 | 6,720,615 |
2.38%, 06/30/18 | 2,500,000 | 2,588,280 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
0.88%, 07/15/18 | 4,500,000 | 4,524,961 |
1.38%, 07/31/18 | 3,000,000 | 3,047,637 |
1.00%, 08/15/18 | 5,000,000 | 5,040,820 |
4.00%, 08/15/18 | 2,500,000 | 2,683,155 |
1.50%, 08/31/18 | 6,088,000 | 6,204,049 |
1.00%, 09/15/18 | 5,000,000 | 5,041,310 |
1.38%, 09/30/18 | 9,691,000 | 9,853,024 |
0.88%, 10/15/18 | 2,500,000 | 2,513,673 |
1.25%, 10/31/18 | 5,329,000 | 5,403,936 |
1.75%, 10/31/18 | 3,500,000 | 3,589,758 |
1.25%, 11/15/18 | 3,000,000 | 3,042,597 |
1.25%, 11/30/18 | 3,633,000 | 3,685,297 |
1.38%, 11/30/18 | 2,400,000 | 2,442,000 |
1.25%, 12/15/18 | 3,000,000 | 3,043,710 |
1.38%, 12/31/18 | 9,950,000 | 10,127,627 |
1.50%, 12/31/18 | 5,676,000 | 5,794,174 |
1.13%, 01/15/19 | 4,000,000 | 4,045,080 |
1.25%, 01/31/19 | 4,122,000 | 4,183,508 |
1.50%, 01/31/19 | 4,676,000 | 4,774,453 |
0.75%, 02/15/19 | 5,250,000 | 5,260,458 |
1.38%, 02/28/19 | 5,604,000 | 5,706,777 |
1.50%, 02/28/19 | 4,337,000 | 4,430,601 |
1.00%, 03/15/19 | 9,750,000 | 9,833,031 |
1.50%, 03/31/19 | 2,500,000 | 2,556,543 |
1.63%, 03/31/19 | 6,270,000 | 6,428,343 |
0.88%, 04/15/19 | 20,000,000 | 20,096,100 |
1.25%, 04/30/19 | 6,423,000 | 6,525,113 |
1.63%, 04/30/19 | 6,520,000 | 6,687,838 |
0.88%, 05/15/19 | 10,000,000 | 10,048,440 |
3.13%, 05/15/19 | 1,000,000 | 1,069,180 |
1.13%, 05/31/19 | 13,770,000 | 13,941,850 |
1.50%, 05/31/19 | 2,913,000 | 2,979,169 |
1.00%, 06/30/19 | 1,000,000 | 1,008,652 |
1.63%, 06/30/19 | 3,040,000 | 3,121,761 |
0.88%, 07/31/19 | 4,201,000 | 4,218,968 |
1.63%, 07/31/19 | 3,700,000 | 3,800,448 |
1.00%, 08/31/19 | 700,000 | 705,524 |
1.63%, 08/31/19 | 7,250,000 | 7,447,816 |
1.75%, 09/30/19 | 7,425,000 | 7,658,479 |
1.25%, 10/31/19 | 3,250,000 | 3,301,734 |
1.50%, 10/31/19 | 3,250,000 | 3,326,174 |
3.38%, 11/15/19 | 3,110,700 | 3,380,942 |
1.00%, 11/30/19 | 1,483,000 | 1,492,906 |
1.50%, 11/30/19 | 8,175,000 | 8,366,279 |
1.13%, 12/31/19 | 2,000,000 | 2,021,836 |
1.63%, 12/31/19 | 11,000,000 | 11,305,503 |
1.25%, 01/31/20 | 6,000,000 | 6,088,596 |
1.38%, 01/31/20 | 2,832,000 | 2,886,592 |
1.38%, 02/29/20 | 6,500,000 | 6,623,649 |
1.13%, 03/31/20 | 2,384,000 | 2,408,679 |
1.38%, 03/31/20 | 4,250,000 | 4,331,099 |
3.50%, 05/15/20 | 4,000,000 | 4,397,580 |
1.50%, 05/31/20 | 4,000,000 | 4,093,672 |
1.63%, 06/30/20 (h) | 5,000,000 | 5,142,580 |
1.88%, 06/30/20 (h) | 5,346,000 | 5,551,591 |
1.63%, 07/31/20 (h) | 5,450,000 | 5,605,091 |
2.63%, 08/15/20 | 4,776,000 | 5,106,867 |
1.38%, 08/31/20 | 4,000,000 | 4,073,908 |
2.13%, 08/31/20 | 5,000,000 | 5,245,115 |
1.38%, 09/30/20 | 6,000,000 | 6,109,806 |
2.00%, 09/30/20 | 3,500,000 | 3,656,202 |
1.38%, 10/31/20 | 4,000,000 | 4,072,892 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.75%, 10/31/20 | 3,000,000 | 3,101,484 |
2.63%, 11/15/20 | 4,608,000 | 4,938,122 |
1.63%, 11/30/20 | 6,000,000 | 6,176,604 |
2.00%, 11/30/20 | 3,500,000 | 3,657,980 |
1.75%, 12/31/20 | 11,000,000 | 11,378,983 |
2.38%, 12/31/20 | 4,091,000 | 4,343,652 |
1.38%, 01/31/21 | 8,000,000 | 8,141,872 |
2.13%, 01/31/21 | 1,500,000 | 1,577,520 |
3.63%, 02/15/21 | 3,003,000 | 3,361,600 |
1.13%, 02/28/21 | 8,000,000 | 8,056,560 |
2.00%, 02/28/21 | 2,965,000 | 3,102,247 |
1.25%, 03/31/21 | 10,000,000 | 10,116,800 |
2.25%, 03/31/21 | 1,576,000 | 1,667,974 |
1.38%, 04/30/21 | 23,000,000 | 23,398,452 |
2.25%, 04/30/21 | 2,786,000 | 2,949,243 |
3.13%, 05/15/21 | 2,000,000 | 2,200,860 |
1.38%, 05/31/21 | 11,000,000 | 11,198,726 |
2.00%, 05/31/21 | 2,534,000 | 2,653,919 |
2.13%, 06/30/21 | 1,512,000 | 1,592,886 |
2.25%, 07/31/21 | 3,000,000 | 3,179,355 |
2.13%, 08/15/21 | 2,171,900 | 2,289,276 |
2.00%, 08/31/21 | 3,000,000 | 3,142,323 |
2.13%, 09/30/21 | 2,750,000 | 2,898,618 |
2.00%, 10/31/21 | 3,000,000 | 3,142,677 |
2.00%, 11/15/21 | 4,800,000 | 5,032,502 |
1.88%, 11/30/21 | 12,500,000 | 13,019,287 |
1.50%, 01/31/22 | 6,300,000 | 6,428,709 |
2.00%, 02/15/22 | 5,000,000 | 5,238,475 |
1.75%, 02/28/22 | 3,000,000 | 3,101,073 |
1.75%, 03/31/22 | 8,300,000 | 8,577,535 |
1.75%, 04/30/22 | 4,000,000 | 4,133,672 |
1.75%, 05/15/22 | 5,000,000 | 5,167,675 |
1.88%, 05/31/22 (h) | 4,500,000 | 4,681,228 |
2.13%, 06/30/22 | 5,000,000 | 5,272,950 |
2.00%, 07/31/22 | 5,000,000 | 5,236,035 |
1.63%, 08/15/22 | 5,861,000 | 6,011,305 |
1.88%, 08/31/22 | 5,000,000 | 5,197,560 |
1.75%, 09/30/22 | 3,000,000 | 3,095,565 |
1.88%, 10/31/22 | 5,000,000 | 5,196,385 |
1.63%, 11/15/22 | 6,177,000 | 6,323,704 |
2.00%, 11/30/22 | 3,000,000 | 3,140,331 |
2.13%, 12/31/22 | 10,000,000 | 10,543,750 |
1.75%, 01/31/23 | 4,000,000 | 4,122,968 |
2.00%, 02/15/23 | 6,894,000 | 7,222,409 |
1.50%, 02/28/23 | 9,500,000 | 9,638,415 |
1.50%, 03/31/23 | 9,000,000 | 9,130,077 |
1.63%, 04/30/23 | 8,000,000 | 8,180,160 |
1.75%, 05/15/23 | 8,500,000 | 8,770,274 |
1.65%, 05/31/23 | 15,000,000 | 15,339,255 |
2.50%, 08/15/23 | 4,176,000 | 4,524,763 |
2.75%, 11/15/23 | 2,046,000 | 2,255,795 |
2.75%, 02/15/24 | 2,119,000 | 2,339,550 |
2.50%, 05/15/24 | 3,890,000 | 4,225,968 |
2.38%, 08/15/24 | 5,000,000 | 5,383,010 |
2.25%, 11/15/24 | 8,500,000 | 9,068,769 |
2.00%, 02/15/25 | 9,200,000 | 9,627,478 |
2.13%, 05/15/25 (h) | 7,512,400 | 7,936,730 |
2.00%, 08/15/25 | 9,000,000 | 9,410,625 |
2.25%, 11/15/25 | 9,000,000 | 9,602,226 |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
1.63%, 02/15/26 | 13,000,000 | 13,146,757 |
1.63%, 05/15/26 | 6,000,000 | 6,073,596 |
1,146,920,104 | ||
Total U.S. Government and Government Agencies | ||
(Cost $1,182,188,103) | 1,224,267,906 | |
Security | Number of Shares | Value ($) |
Other Investment Company 1.0% of net assets | ||
Money Market Fund 1.0% | ||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% (e) | 31,253,891 | 31,253,891 |
Total Other Investment Company | ||
(Cost $31,253,891) | 31,253,891 | |
Security Rate, Maturity Date | Face Amount ($) | Value ($) |
Short-Term Investments 8.4% of net assets | ||
U.S. Government Agency Securities 8.4% | ||
Federal Home Loan Bank | ||
0.25%, 07/13/16 (f) | 20,000,000 | 19,998,940 |
0.24%, 07/15/16 (f) | 75,000,000 | 74,995,350 |
0.25%, 07/22/16 (f) | 20,000,000 | 19,998,140 |
0.28%, 07/26/16 (f) | 45,000,000 | 44,995,005 |
0.32%, 08/15/16 (f) | 70,000,000 | 69,979,000 |
0.32%, 08/15/16 (f) | 15,000,000 | 14,995,500 |
0.33%, 08/17/16 (f) | 20,000,000 | 19,993,740 |
Total Short-Term Investments | ||
(Cost $264,937,572) | 264,955,675 |
At 06/30/16, the tax basis cost of the fund's investments was $3,337,813,619 and the unrealized appreciation and depreciation were $90,304,360 and ($1,860,045), respectively, with a net unrealized appreciation of $88,444,315.
* | 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 $27,016,586 or 0.9% 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 |
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 | $— | $14,907,419 | $— | $14,907,419 | |||||
Commercial Mortgage-Backed Securities | — | 53,650,453 | — | 53,650,453 | |||||
Corporate Bonds1 | — | 793,662,526 | — | 793,662,526 | |||||
Foreign Government Securities1 | — | 145,861,061 | — | 145,861,061 | |||||
Mortgage-Backed Securities1 | — | 869,070,155 | — | 869,070,155 | |||||
Municipal Bonds1 | — | 28,628,848 | — | 28,628,848 | |||||
U.S. Government and Government Agencies1 | — | 1,224,267,906 | — | 1,224,267,906 | |||||
Other Investment Company1 | 31,253,891 | — | — | 31,253,891 | |||||
Short-Term Investments1 | — | 264,955,675 | — | 264,955,675 | |||||
Total | $31,253,891 | $3,395,004,043 | $— | $3,426,257,934 |
1 | As categorized in Portfolio Holdings. |
Assets | ||
Investments, at value (cost $3,337,133,438) | $3,426,257,934 | |
Cash | 2,037,698 | |
Receivables: | ||
Investments sold | 121,482,038 | |
Interest | 16,516,710 | |
Foreign tax reclaims | 13,923 | |
Dividends | + | 3,845 |
Total assets | 3,566,312,148 | |
Liabilities | ||
Payables: | ||
Investments bought | 91,768,363 | |
Investments bought — Delayed delivery | 325,533,903 | |
Investment adviser fees | 29,780 | |
Accrued expenses | + | 4,271 |
Total liabilities | 417,336,317 | |
Net Assets | ||
Total assets | 3,566,312,148 | |
Total liabilities | – | 417,336,317 |
Net assets | $3,148,975,831 | |
Net Assets by Source | ||
Capital received from investors | 3,060,665,952 | |
Net investment income not yet distributed | 3,166,763 | |
Net realized capital losses | (3,981,380) | |
Net unrealized capital appreciation | 89,124,496 |
Net Asset Value (NAV) | ||||
Net Assets | ÷ | Shares Outstanding | = | NAV |
$3,148,975,831 | 58,700,000 | $53.65 | ||
Investment Income | ||
Dividends | $25,747 | |
Interest (net of foreign withholding tax of $425) | + | 26,084,531* |
Total investment income | 26,110,278 | |
Expenses | ||
Investment adviser fees | 628,953 | |
Interest expense | 22,916* | |
Total expenses | – | 651,869 |
Net investment income | 25,458,409 | |
Realized and Unrealized Gains (Losses) | ||
Net realized gains on investments | 4,738,469 | |
Net change in unrealized appreciation (depreciation) on investments | + | 101,560,009 |
Net realized and unrealized gains | 106,298,478 | |
Increase in net assets resulting from operations | $131,756,887 |
* | Includes $27,135 in interest income and $22,916 in interest expense related to charges on Agency Mortgage-Backed Securities not received or delivered on a timely basis (see financial note 2f). |
Operations | |||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||
Net investment income | $25,458,409 | $31,987,031 | |
Net realized gains (losses) | 4,738,469 | (1,226,895) | |
Net change in unrealized appreciation (depreciation) | + | 101,560,009 | (28,048,130) |
Increase in net assets resulting from operations | 131,756,887 | 2,712,006 | |
Distributions to Shareholders | |||
Distributions from net investment income | ($22,294,200) | ($35,389,870) |
Transactions in Fund Shares | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | VALUE | SHARES | VALUE | ||
Shares sold | 17,800,000 | $937,031,119 | 17,400,000 | $908,381,895 | |
Shares redeemed | + | — | — | — | — |
Net transactions in fund shares | 17,800,000 | $937,031,119 | 17,400,000 | $908,381,895 | |
Shares Outstanding and Net Assets | |||||
1/1/16-6/30/16 | 1/1/15-12/31/15 | ||||
SHARES | NET ASSETS | SHARES | NET ASSETS | ||
Beginning of period | 40,900,000 | $2,102,482,025 | 23,500,000 | $1,226,777,994 | |
Total increase | + | 17,800,000 | 1,046,493,806 | 17,400,000 | 875,704,031 |
End of period | 58,700,000 | $3,148,975,831 | 40,900,000 | $2,102,482,025 | |
Net investment income not yet distributed | $3,166,763 | $2,554 |
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 U.S. Aggregate Bond ETF | |||
Schwab VIT Balanced Portfolio | 0.1% | 0.6% | ||
Schwab VIT Balanced with Growth Portfolio | 0.2% | 1.1% | ||
Schwab VIT Growth Portfolio | 0.1% | 0.5% |
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 | $133,928,139 | $— | $133,928,139 | ||
Schwab Short-Term U.S. Treasury ETF | 419,308,898 | — | 419,308,898 | ||
Schwab Intermediate-Term U.S. Treasury ETF | 209,671,633 | — | 209,671,633 | ||
Schwab U.S. Aggregate Bond ETF | 2,231,968,046 | 410,253,177 | 2,642,221,223 | ||
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 | $97,201,329 | $— | $97,201,329 | ||
Schwab Short-Term U.S. Treasury ETF | 385,134,800 | — | 385,134,800 | ||
Schwab Intermediate-Term U.S. Treasury ETF | 86,645,161 | — | 86,645,161 | ||
Schwab U.S. Aggregate Bond ETF | 1,569,810,738 | 133,815,780 | 1,703,626,518 |
In-Kind Purchases of Securities | In-Kind Sales of Securities | ||
Schwab U.S. TIPS ETF | $324,080,813 | $40,306,269 | |
Schwab Short-Term U.S. Treasury ETF | 222,737,901 | 239,158,765 | |
Schwab Intermediate-Term U.S. Treasury ETF | 233,713,087 | 120,781,293 | |
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* | 9,300,803 | 1,132,651 | 2,222,322 | 8,081,130 | ||||
Total | $9,300,842 | $1,133,017 | $2,224,394 | $8,081,130 |
* | 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. |
The Investment Company Act of 1940 (the “1940 Act”) requires that initial approval of, as well as the continuation of, a fund’s investment advisory agreement must be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund’s trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the investment advisory agreement.
1. | the nature, extent and quality of the services provided to the Funds under the Agreement, including the resources of CSIM and its affiliates dedicated to the Funds; |
2. | each Fund’s investment performance and how it compared to that of certain other comparable exchange-traded funds; |
3. | each Fund’s expenses and how those expenses compared to those of certain other comparable exchange-traded funds; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to the Funds, including both direct and indirect benefits accruing to CSIM and its affiliates; and |
5. | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Agreement reflect those economies of scale for the benefit of fund investors. |
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 of Schwab Strategic Trust since 2009; The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios and Laudus Trust since 2016) | Retired/Private Investor (Jan. 2009 – present). Formerly, Managing Director, Pacific Investment Management Company, LLC (PIMCO) and President, PIMCO Funds. | 108 | Director, PS Business Parks, Inc. (2005 – 2012) |
John F. Cogan 1947 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust and Schwab Annuity Portfolios since 2008; Laudus Trust since 2010; Schwab Strategic Trust since 2016) | Senior Fellow, The Hoover Institution at Stanford University (Oct. 1979 – present); Senior Fellow, Stanford Institute for Economic Policy Research (2000 – present); Professor of Public Policy, Stanford University (1994 – 2015). | 108 | Director, Gilead Sciences, Inc. (2005 – present) |
Stephen Timothy Kochis 1946 Trustee (Trustee of Schwab Strategic Trust since 2012; The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios and Laudus Trust since 2016) | CEO and Owner, Kochis Global (wealth management consulting) (May 2012 – present); Chairman and CEO, Aspiriant, LLC (wealth management) (Jan. 2008 – Apr. 2012). | 108 | None |
David L. Mahoney 1954 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios and Laudus Trust since 2011; Schwab Strategic Trust since 2016) | Private Investor. | 108 | Director, Symantec Corporation (2003 – present) Director, Corcept Therapeutics Incorporated (2004 – present) Director, Adamas Pharmaceuticals, Inc. (2009 – present) |
Kiran M. Patel 1948 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios and Laudus Trust since 2011; Schwab Strategic Trust since 2016) | Retired. Executive Vice President and General Manager of Small Business Group, Intuit, Inc. (financial software and services firm for consumers and small businesses) (Dec. 2008 – Sept. 2013). | 108 | Director, KLA-Tencor Corporation (2008 – present) |
Independent Trustees (continued) | |||
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 |
Kimberly S. Patmore 1956 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2016) | Consultant, Patmore Management Consulting (management consulting) (2008 – present). | 108 | None |
Charles A. Ruffel 1956 Trustee (Trustee of Schwab Strategic Trust since 2009; The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios and Laudus Trust since 2015) | Co-Chief Executive Officer, Kudu Investment Management, LLC (financial services) (Jan. 2015 – present); Partner, Kudu Advisors, LLC (financial services) (June 2008 – Jan. 2015); Advisor, Asset International, Inc. (publisher of financial services information) (Aug. 2008 – Jan. 2015). | 108 | None |
Gerald B. Smith 1950 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust and Schwab Annuity Portfolios since 2000; Laudus Trust since 2010; Schwab Strategic Trust since 2016) | Chairman, Chief Executive Officer and Founder of Smith Graham & Co. (investment advisors) (Mar. 1990 – present). | 108 | Director, Eaton (2012 – present) Director and Chairman of the Audit Committee, Oneok Partners LP (2003 – 2013) Director, Oneok, Inc. (2009 – 2013) Lead Independent Director, Board of Cooper Industries (2002 – 2012) |
Joseph H. Wender 1944 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust and Schwab Annuity Portfolios since 2008; Laudus Trust since 2010; Schwab Strategic Trust since 2016) | Senior Consultant, Goldman Sachs & Co., Inc. (investment banking and securities firm) (Jan. 2008 – present); Partner, Colgin Partners, LLC (vineyards) (Feb. 1998 – present). | 108 | Board Member and Chairman of the Audit Committee, Ionis Pharmaceuticals (1994 – present) Lead Independent Director and Chair of Audit Committee, OUTFRONT Media Inc. (2014 – present) |
Interested 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 |
Walter W. Bettinger II2 1960 Chairman and Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust and Schwab Annuity Portfolios since 2008; Schwab Strategic Trust since 2009; Laudus Trust since 2010) | Director, President and Chief Executive Officer, The Charles Schwab Corporation (Oct. 2008 – present); President and Chief Executive Officer (Oct. 2008 – present), Director (May 2008 – present), Charles Schwab & Co., Inc.; Director, Charles Schwab Bank (Apr. 2006 – present); and Director, Schwab Holdings, Inc. (May 2008 – present). | 108 | Director, The Charles Schwab Corporation (2008 – present) |
Interested Trustees (continued) | |||
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 |
Marie A. Chandoha2 1961 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2016) | Director, President and Chief Executive Officer (Dec. 2010 – present), Chief Investment Officer (Sept. 2010 – Oct. 2011), Charles Schwab Investment Management, Inc.; Trustee (Jan. 2016 – present), 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 (Jan. 2011 – present); Global Head of Fixed Income Business Division, BlackRock, Inc. (formerly Barclays Global Investors) (Mar. 2007 – Aug. 2010). | 108 | None |
Joseph R. Martinetto2 1962 Trustee (Trustee of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2016) | Senior Executive Vice President and Chief Financial Officer, The Charles Schwab Corporation and Charles Schwab & Co., Inc. (July 2015 – present); Executive Vice President and Chief Financial Officer of The Charles Schwab Corporation and Charles Schwab & Co., Inc. (May 2007 – July 2015); Director, Charles Schwab & Co., Inc. (May 2007 – present); Director (Apr. 2010 – present) and Chief Executive Officer (July 2013 – Apr. 2015), Charles Schwab Bank; Director, Executive Vice President and Chief Financial Officer, Schwab Holdings, Inc. (May 2007 – present). | 108 | None |
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 A. Chandoha 1961 President and Chief Executive Officer (Officer of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2010) | Director, President and Chief Executive Officer (Dec. 2010 – present), Chief Investment Officer (Sept. 2010 – Oct. 2011), Charles Schwab Investment Management, Inc.; Trustee (Jan. 2016 – present), 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 (Jan. 2011 – present); Global Head of Fixed Income Business Division, BlackRock, Inc. (formerly Barclays Global Investors) (Mar. 2007 – Aug. 2010). |
Mark Fischer 1970 Treasurer and Chief Financial Officer (Officer of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2013) | Treasurer and Chief Financial Officer, Schwab Funds, Laudus Funds and Schwab ETFs (Jan. 2016 – present); Assistant Treasurer, Schwab Funds and Laudus Funds (Dec. 2013 – Dec. 2015), Schwab ETFs (Nov. 2013 – Dec. 2015); Vice President, Charles Schwab Investment Management, Inc. (Oct. 2013 – present); Executive Director, J.P. Morgan Investor Services (Apr. 2011 – Sept. 2013); Assistant Treasurer, Massachusetts Financial Service Investment Management (May 2005 – Mar. 2011). |
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 Senior Vice President and Chief Operating Officer (Officer of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust and Schwab Annuity Portfolios since 2004; Laudus Trust since 2006; Schwab Strategic Trust since 2009) | Senior Vice President and Chief Financial Officer (Nov. 2004 – present), Chief Operating Officer (Jan. 2011 – present), Charles Schwab Investment Management, Inc.; Senior Vice President and Chief Operating Officer (Jan. 2016 – present), Treasurer and Chief Financial Officer, Laudus Funds (June 2006 – Dec. 2015); Treasurer and Principal Financial Officer, Schwab Funds (Nov. 2004 – Dec. 2015) and Schwab ETFs (Oct. 2009 – Dec. 2015); Director, Charles Schwab Worldwide Funds plc and Charles Schwab Asset Management (Ireland) Limited (Apr. 2005 – present). |
Omar Aguilar 1970 Senior Vice President and Chief Investment Officer – Equities (Officer of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2011) | Senior Vice President and Chief Investment Officer – Equities and Multi-Asset Strategies, Charles Schwab Investment Management, Inc. (Apr. 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 – Apr. 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 of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2011) | Senior Vice President and Chief Investment Officer – Fixed Income, Charles Schwab Investment Management, Inc. (Apr. 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 (Apr. 2006 – Jan. 2008). |
David Lekich 1964 Chief Legal Officer and Secretary, Schwab Funds and Schwab ETFs Vice President and Assistant Clerk, Laudus Funds (Officer of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios, Schwab Strategic Trust and Laudus Trust since 2011) | Senior Vice President (Sept. 2011 – present), Vice President (Mar. 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 (Apr. 2011 – present) and Chief Legal Officer (Dec. 2011 – present), Schwab Funds; Vice President and Assistant Clerk, Laudus Funds (Apr. 2011 – present); Secretary (May 2011 – present) and Chief Legal Officer (Nov. 2011 – present), Schwab ETFs. |
Catherine MacGregor 1964 Vice President and Assistant Secretary, Schwab Funds and Schwab ETFs Chief Legal Officer, Vice President and Clerk, Laudus Funds (Officer of The Charles Schwab Family of Funds, Schwab Investments, Schwab Capital Trust, Schwab Annuity Portfolios and Laudus Trust since 2005; Schwab Strategic Trust 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 (Mar. 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 retirement policy requires that each independent trustee retire by December 31 of the year in which the Trustee turns 74 or the Trustee’s twentieth year of service as an independent trustee on any trust in the Fund Complex, whichever occurs first. |
2 | Mr. Bettinger, Ms. Chandoha, and Mr. Martinetto are Interested Trustees because they own stock of The Charles Schwab Corporation, the parent company of the investment adviser. |
3 | The President, Treasurer and Secretary/Clerk 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. Aggregate Bond 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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00169744
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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 Chief Financial Officer, Mark Fischer, 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 10, 2016 |
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 10, 2016 | |
By: | /s/ Mark Fischer | |
Mark Fischer | ||
Chief Financial Officer | ||
Date: | August 10, 2016 |