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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22811
Bridge Builder Trust
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Elaine E. Richards, Secretary
Bridge Builder Trust
c/o 2020 East Financial Way
Glendora, CA 91741
(Name and address of agent for service)
414-287-3700
Registrant’s telephone number, including area code
Date of fiscal year end: June 30, 2014
Date of reporting period: June 30, 2014
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Item 1. Reports to Stockholders.
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Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
Dear Shareholder,
It is our pleasure to provide you with the annual report for the Bridge Builder Bond Fund.
Available exclusively through Edward Jones Advisory Solutions®, the Bridge Builder Bond Fund was launched October 2013. The Fund employs a sub-advised, multi-manager structure in which third-party money managers, or sub-advisers, are selected by the Fund’s investment adviser, Olive Street Investment Advisers, LLC – an affiliate of Edward Jones. While Olive Street sets the overall investment strategies for the Fund, the sub-advisers are responsible for the day-to-day individual security selection and trading.
One intended benefit of this approach is increased access to multiple money managers through a single mutual fund. To execute the Fund’s strategies, the Olive Street research team will continue to seek out managers who share our long-term approach to investing. Additionally, as disclosed in the Fund’s prospectus, Olive Street has
contractually agreed to waive its management fees over and above those paid to the sub-advisers, potentially reducing the Fund’s internal fees and expenses.
Market Recap
After a harsh winter that dampened early growth, both the equity and bond markets have rebounded nicely through the first half of 2014. Despite data released in late June indicating the U.S. economy shrank at an annualized rate of 2.9% in the first quarter, investors have chosen to focus on more positive news. Unemployment has edged down to 6.1%, inflation has remained in check, and corporate earnings have continued to push higher. These positive indicators, along with improving consumer confidence and growing household wealth, have worked to drive equity market indexes to all-time highs.
Even as the Fed began tapering its monthly bond purchasing program, market volatility remained historically low and fixed income markets
Annual Report Ÿ June 30, 2014 | 1 |
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Bridge Builder Mutual Funds
Letter to Shareholders (Continued)
showed surprising vigor. From a global perspective, lingering fears from the European debt crisis, China’s slowdown, political and military tension between Russia and Ukraine, and unrest in the Middle East have all threatened the stability of key regions. Yet despite all of this and more, the market experienced only minor flare-ups.
Fixed-income markets continued to exhibit strength within the incremental, yet steady improvement in the economic backdrop. Treasury yields have drifted lower since reaching recent highs in late 2013. This led to gains for Treasury investors, although the effect varied across different maturities.
The corporate sector continued to lead bond markets, as improvements in the labor market and companies’ generally strong financial position led to an increased risk tolerance by investors. Particularly, the below investment-grade market benefited from investors’ willingness to take on credit risk and seek higher yields given the low interest rate environment. Despite the incremental tapering, Fed policy still provided support for the mortgage market. With improved fundamentals and a relatively smaller supply of mortgage bonds, this sector performed in line with the broader market.
In the fiscal year ended June 30, 2014, the Bridge Builder Bond Fund generated a total return of 2.91%, slightly ahead of the Barclays U.S. Aggregate Bond Index return of 2.87%. Additional information and commentary specific to the Bridge Builder Bond Fund is available in the Management’s Discussion of Fund Performance in this report.
While our outlook remains positive for the remainder of 2014, a return to normal market conditions would suggest the potential for increased market volatility. Historically, we would expect to see three or four “dips” of 5% or more per year and a correction of 10% or more once a year. Investors should be prepared for these sorts of market oscillations. It is important to remember that volatility is a normal
2 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
Letter to Shareholders (Continued)
part of the investing process, and while declines can derail even the most seasoned investors, having the historical perspective to remain calm, focused and disciplined during the inevitable market pullbacks can mean the difference between investment success and disappointment.
Thank you for your continued support. We look forward to playing an important role in helping you pursue your financial goals. Please contact your Edward Jones financial advisor for more information about your account and to further discuss your financial goals.
Sincerely,
William H. Broderick, III | Chairman, Bridge Builder Trust | |
Stephen R. Seifert | Vice President, Olive Street Investment Advisers
Principal, Edward Jones Investment Advisory |
Annual Report Ÿ June 30, 2014 | 3 |
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Bridge Builder Mutual Funds
Letter to Shareholders (Continued)
Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
Must be preceded or accompanied by a prospectus which contains more complete information including investment objectives, risks, charges, and expenses. Your financial adviser can provide you with a current prospectus, which contains this and other important information that should be read carefully prior to investing.
Mutual fund investing involves risk. The value of your investment in the Fund could go down as well as up. You may lose money investing in the Fund, including the loss of principal. Investing in the bond market is subject to certain risks including market, credit, interest rate, liquidity, redemption and reinvestment risk. The Fund may invest in asset-backed, mortgage-related and mortgage-backed securities, which may be more sensitive to changes in interest rates, prepayments and impairment of the value of the collateral underlying the security. The Fund may invest in derivatives, which may be more sensitive to market, counterparty, liquidity and correlation risk. The Fund may invest in U.S dollar-denominated foreign securities (including emerging markets), which may be more sensitive to currency fluctuations, political and economic instability, differing government regulations and liquidity risk. Multi-investment management styles may lead to overlapping securities transactions and higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisers and adviser and the allocation of assets amongst them.
The Barclays U.S. Aggregate Bond Index is a total return index that reflects the price changes and interest of each fixed-income security in the index. The Barclays U.S. Aggregate Bond Index is an unmanaged, capitalization-weighted index generally representative of the market for investment grade U.S. government and U.S. corporate debt securities.
You cannot invest directly in an index.
The Bridge Builder Bond Fund is distributed by Quasar Distributors, LLC.
4 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Bond Fund
Management’s Discussion of Fund Performance
Since the Fund commenced operations on October 28, 2013, bond market returns have shown different results depending on the time period considered. Rising interest rates and falling bond prices led to negative returns for many bonds during the last few months of 2013. However, the market turned course in January as interest rates fell and bond prices generally increased. Corporate bonds tended to perform better than government bonds as investors had a strong appetite for credit risk. An improving economy likely added to investors’ risk appetite as U.S. home prices and employment strengthened during the period. Although the Federal Reserve is winding down its asset purchase program, low interest rate policies have continued to be supportive of financial markets. The combination of an improving economy and easy money policies has helped investments with higher levels of credit risk to outperform.
For the period starting October 28, 2013 and ending June 30, 2014, the Fund returned 2.91%. This return outperformed the 2.87% gain for the Barclays U.S. Aggregate Bond Index over the same period. The Fund has made fewer investments in U.S. Treasuries compared to the index. This was helpful for relative performance, as these bonds generally lagged the broad market. The Fund also benefited from its corporate bond holdings, which performed better than the corporate portion of the index. This was particularly true for the financial company sector, which contributed positively to the Fund’s performance. Additionally, the Fund’s commercial mortgage-backed securities (CMBS) holdings contributed to performance. A performance detractor to Fund returns relative to the index was the Fund’s maturity positioning. In other words, the maturity dates (the date the bond is fully repaid) that were emphasized by the Fund tended to underperform. Additionally, the Fund tends to focus on the core, investment-grade portion of the U.S. bond market. This may limit performance potential when riskier, below-investment-grade and emerging market bonds are performing strongly.
Annual Report Ÿ June 30, 2014 | 5 |
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Bridge Builder Bond Fund
Management’s Discussion of Fund Performance (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Bond Fund from its inception (October 28, 2013) to June 30, 2014 as compared with the Barclays U.S. Aggregate Bond Index.
Bridge Builder Bond Fund
Growth of a Hypothetical $10,000 Investment as of June 30, 2014
vs.
Barclays U.S. Aggregate Bond Index
Cumulative total returns for the period ending June 30, 2014 | ||||||||||||
3-Month | 6-Month | Since Inception | ||||||||||
Bridge Builder Bond Fund | 1.99% | 3.90% | 2.91% | |||||||||
Barclays U.S. Aggregate Bond Index | 2.04% | 3.93% | 2.87% |
6 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Bond Fund
Management’s Discussion of Fund Performance (Continued)
Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
Must be preceded or accompanied by a prospectus.
Mutual fund investing involves risk. The value of your investment in the Fund could go down as well as up. You may lose money investing in the Fund, including the loss of principal. Investing in the bond market is subject to certain risks including market, credit, interest-rate, liquidity, redemption and reinvestment risk. The Fund may invest in asset-backed, mortgage-related and mortgage-backed securities, which may be more sensitive to changes in interest rates, prepayments and impairment of the value of the collateral underlying the security. The Fund may invest in derivatives, which may be more sensitive to market, counterparty, liquidity and correlation risk. The Fund may invest in U.S dollar-denominated foreign securities (including emerging markets), which may be more sensitive to currency fluctuations, political and economic instability differing government regulations and liquidity risk. Multi-investment management styles may lead to overlapping securities transactions and higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisers and adviser and the allocation of assets amongst them.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
The Barclays U.S. Aggregate Bond Index is a total return index that reflects the price changes and interest of each fixed-income security in the index. The Barclays U.S. Aggregate Bond Index is an unmanaged, capitalization-weighted index generally representative of the market for investment grade U.S. government and U.S. corporate debt securities.
The Fund's portfolio holdings may differ significantly from the securities held in the relevant index and, unlike a mutual fund, the performance of an unmanaged index does not reflect deductions for transaction costs, taxes, management fees or other expenses.
You cannot invest directly in an index.
The Bridge Builder Bond Fund is distributed by Quasar Distributors, LLC.
Annual Report Ÿ June 30, 2014 | 7 |
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Bridge Builder Mutual Funds
Expense Example
For the Period Ended June 30, 2014
As a shareholder of the Fund, you incur two types of costs: (1) ongoing costs, including management and sub-adviser fees, and other Fund expenses; and (2) annual Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Fund. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on $1,000 invested at the beginning of the period and held for the entire period from January 1, 2014, to June 30, 2014.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses paid during the period ended” to estimate the expenses you paid on your account during the period.
Beginning account value | Ending account value | Expenses paid during the period ended* | ||||||||||
Bridge Builder Bond Fund | $ | 1,000.00 | $ | 1,039.00 | $ | 1.01 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Fund. |
8 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
Expenses (Continued)
Expense Example
For the Period Ended June 30, 2014
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any annual Edward Jones Advisory Solutions® program and administrative fees. Therefore, the table below is useful in comparing the ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these costs were included, your costs could have been higher.
Beginning account value | Ending account value | Expenses paid during the period ended* | ||||||||||
Bridge Builder Bond Fund | $ | 1,000.00 | $ | 1,023.80 | $ | 1.00 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charges outside of the Fund. |
Annual Report Ÿ June 30, 2014 | 9 |
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Bridge Builder Bond Fund
Bridge Builder Bond Fund
Investments by Security Type as of June 30, 2014
(as a Percentage of Total Investments)
10 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES – 96.50% | ||||||||||||
Asset-Backed Obligations |
| |||||||||||
Chase Issuance Trust, 0.61%, | $ | 16,700,000 | $ | 16,572,312 | 0.24 | % | ||||||
Other Securities (1)(2) | 479,412,715 | 458,765,064 | 6.55 | % | ||||||||
Total Asset-Backed Obligations | $ | 475,337,376 | 6.79 | % | ||||||||
Corporate Bonds |
| |||||||||||
Basic Materials | ||||||||||||
Various Securities (2) | $ | 86,695,000 | $ | 93,581,100 | 1.34 | % | ||||||
Total Basic Materials | 93,581,100 | 1.34 | % | |||||||||
Communications | ||||||||||||
Verizon Communications, Inc., | 16,483,000 | 20,190,653 | 0.29 | % | ||||||||
Other Securities (2) | 132,781,000 | 151,022,933 | 2.15 | % | ||||||||
Total Communications | 171,213,586 | 2.44 | % | |||||||||
Consumer Cyclical | ||||||||||||
Various Securities (2) | 70,289,095 | 75,733,772 | 1.08 | % | ||||||||
Total Consumer Cyclical | 75,733,772 | 1.08 | % | |||||||||
Consumer Non-cyclical | ||||||||||||
Various Securities (2) | 171,760,967 | 183,346,996 | 2.62 | % | ||||||||
Total Consumer Non-cyclical | 183,346,996 | 2.62 | % | |||||||||
Diversified | ||||||||||||
Various Securities (2) | 7,237,000 | 8,284,676 | 0.12 | % | ||||||||
Total Diversified | 8,284,676 | 0.12 | % | |||||||||
Energy | ||||||||||||
Various Securities (2) | 218,518,000 | 238,076,352 | 3.40 | % | ||||||||
Total Energy | 238,076,352 | 3.40 | % | |||||||||
Financials | ||||||||||||
American International Group, Inc., 6.40%, Dec. 2020 | 15,100,000 | 18,229,415 | 0.26 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report Ÿ June 30, 2014 | 11 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Corporate Bonds – (continued) |
| |||||||||||
Financials – (continued) | ||||||||||||
Bank of America Corp., | $ | 15,340,000 | $ | 17,947,156 | 0.26 | % | ||||||
Goldman Sachs Group, Inc., | 17,547,000 | 20,305,108 | 0.29 | % | ||||||||
Other Securities (2) | 749,332,209 | 816,756,851 | 11.66 | % | ||||||||
Total Financials | 873,238,530 | 12.47 | % | |||||||||
Industrials | ||||||||||||
Various Securities (2) | 55,088,309 | 58,418,327 | 0.83 | % | ||||||||
Total Industrials | 58,418,327 | 0.83 | % | |||||||||
Technology | ||||||||||||
Various Securities | 74,440,000 | 77,798,875 | 1.11 | % | ||||||||
Total Technology | 77,798,875 | 1.11 | % | |||||||||
Utilities | ||||||||||||
Various Securities (2) | 102,597,388 | 110,922,161 | 1.58 | % | ||||||||
Total Utilities | 110,922,161 | 1.58 | % | |||||||||
Total Corporate Bonds | $ | 1,890,614,375 | 26.99 | % | ||||||||
Government Related | ||||||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Note, 0.88%, | $ | 66,110,000 | $ | 63,568,864 | 0.91 | % | ||||||
U.S. Treasury Note, 1.25%, | 86,725,600 | 85,424,716 | 1.22 | % | ||||||||
U.S. Treasury Note, 1.25%, | 92,265,000 | 91,428,895 | 1.31 | % | ||||||||
U.S. Treasury Note, 1.38%, | 17,239,000 | 17,190,524 | 0.25 | % | ||||||||
U.S. Treasury Note, 1.50%, | 21,561,000 | 21,673,850 | 0.31 | % | ||||||||
U.S. Treasury Note, 1.50%, | 16,415,000 | 16,423,979 | 0.23 | % |
The accompanying notes are an integral part of these financial statements.
12 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) |
| |||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Note, 1.50%, | $ | 40,000,000 | $ | 40,825,000 | 0.58 | % | ||||||
U.S. Treasury Note, 1.50%, | 24,625,000 | 24,501,875 | 0.35 | % | ||||||||
U.S. Treasury Note, 1.63%, | 22,390,000 | 22,390,000 | 0.32 | % | ||||||||
U.S. Treasury Note, 2.25%, | 28,795,000 | 29,105,439 | 0.42 | % | ||||||||
U.S. Treasury Note, 2.50%, | 17,870,000 | 18,720,219 | 0.27 | % | ||||||||
U.S. Treasury Note, 3.13%, | 20,774,000 | 22,278,495 | 0.32 | % | ||||||||
U.S. Treasury Note, 3.25%, | 20,315,000 | 21,616,420 | 0.31 | % | ||||||||
U.S. Treasury Note, 3.50%, | 86,168,000 | 93,337,436 | 1.33 | % | ||||||||
U.S. Treasury Note, 6.25%, | 15,650,000 | 20,643,320 | 0.29 | % | ||||||||
U.S. Treasury Bond, 3.50%, | 64,819,100 | 67,634,712 | 0.97 | % | ||||||||
U.S. Treasury Bond, 4.38%, | 18,912,600 | 22,579,867 | 0.32 | % | ||||||||
U.S. Treasury Bond, 5.25%, | 49,665,500 | 63,618,426 | 0.91 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 23,739,000 | 22,406,126 | 0.32 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 22,357,000 | 20,442,168 | 0.29 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 22,243,000 | 19,631,160 | 0.28 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 33,917,000 | 28,329,547 | 0.40 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 42,197,000 | 33,906,513 | 0.48 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report Ÿ June 30, 2014 | 13 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) |
| |||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Strip, 0.00%, | $ | 18,038,000 | $ | 16,629,214 | 0.24 | % | ||||||
U.S. Treasury Strip, 0.00%, | 35,145,000 | 31,321,540 | 0.45 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 26,770,000 | 21,320,431 | 0.30 | % | ||||||||
U.S. Treasury Note/Bond, | 219,993,000 | 246,188,016 | 3.51 | % | ||||||||
U.S. Treasury Strip, 0.00%, | 317,990,000 | 226,356,595 | 3.23 | % | ||||||||
Other Securities (3) | 28,571,829 | 14,923,877 | 0.21 | % | ||||||||
Total U.S. Treasury | 1,424,417,224 | 20.33 | % | |||||||||
Other Government Related | ||||||||||||
Residual Funding Corp Strip, 3.88%, Jul. 2020 | 24,949,000 | 21,865,004 | 0.31 | % | ||||||||
Other Securities (2) | 176,147,000 | 184,089,691 | 2.63 | % | ||||||||
Total Other Government Related | 205,954,695 | 2.94 | % | |||||||||
Total Government Related | $ | 1,630,371,919 | 23.27 | % | ||||||||
Mortgage-Backed Obligations | ||||||||||||
Banc of America Commercial Mortgage Trust, | $ | 15,567,888 | $ | 16,501,105 | 0.24 | % | ||||||
Fannie Mae, 3.00%, Jul. 2027 (4) | 21,500,000 | 22,333,125 | 0.32 | % | ||||||||
Fannie Mae, 3.50%, Aug. 2040 (4) | 29,000,000 | 29,761,250 | 0.42 | % | ||||||||
Fannie Mae, 3.50%, Feb. 2041 | 21,696,431 | 22,368,684 | 0.32 | % | ||||||||
Fannie Mae, 3.50%, Jan. 2024 | 16,000,000 | 16,808,896 | 0.24 | % | ||||||||
Fannie Mae, 3.50%, Jul. 2041 (4) | 21,500,000 | 22,131,563 | 0.32 | % | ||||||||
Fannie Mae, 3.50%, Jul. 2043 | 18,176,503 | 18,739,693 | 0.27 | % | ||||||||
Fannie Mae, 4.00%, Jan. 2041 | 17,438,754 | 18,533,319 | 0.26 | % |
The accompanying notes are an integral part of these financial statements.
14 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Mortgage-Backed Obligations – (continued) |
| |||||||||||
Fannie Mae, 4.50%, Aug. 2040 | $ | 15,000,880 | $ | 16,257,995 | 0.23 | % | ||||||
Fannie Mae, 4.50%, Dec. 2040 | 17,018,300 | 18,442,485 | 0.26 | % | ||||||||
Fannie Mae, 5.50%, Jul. 2040 (4) | 20,000,000 | 22,391,296 | 0.32 | % | ||||||||
Fannie Mae, 0.49%–12.50%, | 682,308,942 | 715,397,311 | 10.21 | % | ||||||||
Fannie Mae, 0.00%–1184.78%, Oct. 2014–Jul. 2051 | 196,255,508 | 170,716,406 | 2.44 | % | ||||||||
Freddie Mac, 3.00%, Jun. 2043 | 20,334,853 | 20,083,142 | 0.29 | % | ||||||||
Freddie Mac, 3.50%, Jul. 2042 (4) | 30,378,376 | 31,255,936 | 0.45 | % | ||||||||
Freddie Mac, 4.50%, Jul. 2040 (4) | 16,000,000 | 17,316,525 | 0.25 | % | ||||||||
Freddie Mac, 2.50%–10.00%, | 220,662,172 | 233,894,633 | 3.34 | % | ||||||||
Freddie Mac, 0.00%–1181.25%, | 137,268,751 | 120,358,736 | 1.72 | % | ||||||||
Ginnie Mae, 4.00%, Aug. 2042 (4) | 21,000,000 | 22,410,936 | 0.32 | % | ||||||||
Ginnie Mae, 4.50%, Jul. 2041 (4) | 15,000,000 | 16,378,709 | 0.23 | % | ||||||||
Ginnie Mae, 4.50%, Jun. 2041 | 20,828,109 | 22,797,904 | 0.33 | % | ||||||||
Ginnie Mae, 0.00%–38.75%, | 211,569,799 | 173,237,329 | 2.47 | % | ||||||||
Ginnie Mae, 3.00%–8.50%, | 86,264,805 | 91,913,834 | 1.31 | % | ||||||||
UBS Commercial Mortgage Trust, 5.39%, Feb. 2040 | 14,524,487 | 15,922,324 | 0.23 | % | ||||||||
Other Securities (1)(2)(4)(6) | 1,740,318,729 | 887,104,195 | 12.66 | % | ||||||||
Total Mortgage-Backed Obligations | $ | 2,763,057,331 | 39.45 | % | ||||||||
Total Bonds & Notes | $ | 6,759,381,001 | 96.50 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report Ÿ June 30, 2014 | 15 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS – 7.38% | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Fund, 0.01% (7) | 258,738,201 | $ | 258,738,201 | 3.69 | % | |||||||
Goldman Sachs Financial Square Fund, 0.01% (7) | 258,655,650 | 258,655,650 | 3.69 | % | ||||||||
Total Short-Term Investments | $ | 517,393,851 | 7.38 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 7,276,774,852 | 103.88 | % | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (272,036,240 | ) | -3.88 | % | |||||||
TOTAL NET ASSETS |
| $ | 7,004,738,612 | 100.00 | % |
(1) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $5,424,860, which represents 0.08% of total net assets. |
(2) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $739,866,917, which represents 10.56% of total net assets. See Note 2(d) in the Notes to Financial Statements. |
(3) | Includes inflation protected securities. The value of these securities totals $6,616,006, which represents 0.09% of total net assets. |
(4) | Includes delayed delivery securities. The value of these securities totals $246,732,683, which represents 3.52% of total net assets. See Note 2(b) in the Notes to Financial Statements. |
(5) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $933,898, which represents 0.01% of total net assets. |
(6) | Includes securities in default. The value of these securities totals $6,365,260, which represents 0.09% of total net assets. |
(7) | Partially assigned as collateral for certain delayed delivery securities. See Note 2(b) in the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
16 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2014 (Continued)
Open Futures Contracts
Number of | Description | Settlement | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||
(213) | U.S. 5 Year Note Future | Sept. 2014 | $ | 25,352,692 | $ | 25,445,180 | $ | (92,488 | ) | |||||||
777 | U.S. 2 Year Note Future | Sept. 2014 | 170,549,975 | 170,624,344 | 74,369 | |||||||||||
(69) | U.S. 10 Year Note Future | Sept. 2014 | 8,619,898 | 8,636,859 | (16,961 | ) | ||||||||||
(129) | U.S. Ultra Bond Future | Sept. 2014 | 19,340,806 | 19,341,938 | (1,132 | ) | ||||||||||
|
| |||||||||||||||
$ | (36,212 | ) | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report Ÿ June 30, 2014 | 17 |
Table of Contents
Bridge Builder Mutual Funds
Statement of Assets and Liabilities
June 30, 2014
Bridge Builder Bond Fund | ||||
Assets: | ||||
Investments, at value | $ | 7,276,774,852 | ||
Receivable for investments sold | 148,711,640 | |||
Receivable for fund shares sold | 27,794,231 | |||
Interest receivable | 37,481,917 | |||
Prepaid expenses | 306,871 | |||
Total Assets | $ | 7,491,069,511 | ||
Liabilities: | ||||
Payable for investments purchased | $ | 477,924,642 | ||
Payable for fund shares redeemed | 4,050,632 | |||
Payable to Custodian | 1,950,102 | |||
Variation margin on futures contracts | 101,007 | |||
Payable to Adviser | 668,589 | |||
Payable to Trustees | 61,256 | |||
Accrued expenses and other liabilities | 1,574,671 | |||
Total Liabilities | $ | 486,330,899 | ||
Net Assets | $ | 7,004,738,612 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 6,890,543,584 | ||
Undistributed net investment income | 59,753 | |||
Accumulated net realized gain/(loss) | (7,752,817 | ) | ||
Net unrealized appreciation/(depreciation) on investments | 121,924,304 | |||
Net unrealized appreciation/(depreciation) on futures contracts | (36,212 | ) | ||
Net Assets | $ | 7,004,738,612 | ||
Shares of beneficial interest outstanding | 690,666,519 | |||
Net Assets | $ | 7,004,738,612 | ||
Net asset value price per share | $ | 10.14 |
The accompanying notes are an integral part of these financial statements.
18 | Annual Report Ÿ June 30, 2014 |
Table of Contents
Bridge Builder Mutual Funds
From October 28, 2013 (Inception Date) to June 30, 2014
Bridge Builder Bond Fund | ||||
Investment Income: | ||||
Interest | $ | 88,932,092 | ||
Other Income | 218,219 | |||
Total Investment Income | $ | 89,150,311 | ||
Expenses: | ||||
Investment advisory fee | 12,979,537 | |||
Professional fees | 394,864 | |||
Administration fees | 588,218 | |||
Fund accounting fees | 591,079 | |||
Transfer agent fees and expenses | 30,484 | |||
Trustee fees and expenses | 255,395 | |||
Printing and mailing expenses | 312,359 | |||
Custody fees | 143,961 | |||
Insurance expense | 98,359 | |||
Registration fees | 942,318 | |||
Other expenses | 104,144 | |||
Total expenses before fee waivers | 16,440,718 | |||
Fee waivers by Adviser | (8,166,885 | ) | ||
Net expenses | 8,273,833 | |||
Net Investment Income | $ | 80,876,478 | ||
Realized and Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on investments | 4,644,701 | |||
Net realized gain/(loss) on futures contracts | (4,337,600 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | 121,888,092 | |||
Net realized and unrealized gain/(loss) on investments | 122,195,193 | |||
Net Increase in Net Assets Resulting from Operations | $ | 203,071,671 |
The accompanying notes are an integral part of these financial statements.
Annual Report Ÿ June 30, 2014 | 19 |
Table of Contents
Bridge Builder Mutual Funds
Statement of Changes in Net Assets
From October 28, 2013 (Inception Date) to June 30, 2014
Bridge Builder Bond Fund | ||||
Operations: | ||||
Net investment income | $ | 80,876,478 | ||
Net realized gain/(loss) on investments | 307,101 | |||
Net change in unrealized appreciation/(depreciation) on investments | 121,888,092 | |||
Net increase in net assets resulting from operations | 203,071,671 | |||
Dividends and Distributions to Shareholders: | ||||
Net investment income | (88,893,387 | ) | ||
Total dividends and distributions | (88,893,387 | ) | ||
Fund Share Transactions: | ||||
Proceeds from shares sold | $ | 7,098,256,908 | ||
Shares issued to holders in reinvestment of dividends | 88,893,387 | |||
Cost of shares redeemed | (296,589,967 | ) | ||
Net increase in net assets from capital share transactions | 6,890,560,328 | |||
Total increase in net assets | 7,004,738,612 | |||
Net Assets: | ||||
Beginning of period | — | |||
End of period* | $ | 7,004,738,612 | ||
* Including undistributed net investment income of: | $ | 59,753 | ||
Change in Shares Outstanding: | ||||
Shares sold | 711,450,249 | |||
Shares issued to holders in reinvestment of dividends | 8,859,252 | |||
Shares redeemed | (29,642,982 | ) | ||
Net increase | 690,666,519 |
The accompanying notes are an integral part of these financial statements.
20 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
From October 28, 2013 (Inception Date) to June 30, 2014
Bridge Builder Bond Fund | ||||
Per share operating performance (for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (Loss) from Operations: | ||||
Net investment income | 0.14 | |||
Net realized and unrealized gain | 0.15 | |||
Total income from operations | 0.29 | |||
Dividends and Distributions to Shareholders: | ||||
Dividends from net investment income | (0.15 | ) | ||
Change in net asset value for the period | 0.14 | |||
Net asset value, end of period | $ | 10.14 | ||
Total return | 2.91 | %(1)(2) | ||
Ratios / Supplemental Data | ||||
Net assets, end of period (millions) | $ | 7,005 | ||
Ratio of Net Expenses to Average Net Assets: | ||||
Before fee waivers | 0.40 | %(3) | ||
After fee waivers | 0.20 | %(3) | ||
Ratio of Net Investment Income to Average Net Assets: | ||||
Before fee waivers | 1.79 | %(3) | ||
After fee waivers | 1.99 | %(3) | ||
Portfolio turnover rate (4) | 262 | %(2) |
1 | Since Inception (October 28, 2013) |
2 | Not Annualized |
3 | Annualized |
4 | Excludes securities received in capital contribution in-kind. See Note 1 in the Notes to Financial Statements. |
Annual Report Ÿ June 30, 2014 | 21 |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Bridge Builder Mutual Funds
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). Currently, the Trust consists of a single series: the Bridge Builder Bond Fund (the “Fund”), which commenced operations on October 28, 2013. The Fund is diversified and currently offers a single class of shares. The Fund has adopted a non-fundamental policy to invest at least 80% of its net assets (plus the amount of borrowings for investment purposes) in fixed-income securities and other instruments, such as derivatives and certain investment companies, with economic characteristics similar to fixed-income securities. The investment objective of the Fund is to provide total return (capital appreciation plus income). On October 28, 2013, as part of a capital contribution in-kind, the Fund received securities with a fair value of $2,661,893,439 in exchange for shares of the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America. The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions.
In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
22 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
a) Investment Valuation – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds, (other than short-term securities) are valued using the bid price on the day of the valuation provided by an independent pricing service. Fixed income securities are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The third party pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche, and current market data and incorporate packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy only if significant observable inputs are used.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ
Annual Report Ÿ June 30, 2014 | 23 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between last bid and ask price on such day. Securities for which quotations are not readily available are valued at their respective fair values, as determined in good faith pursuant to procedures adopted by the Board of Trustees.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE.
Securities with less than 60 days remaining to maturity when acquired by the Fund are valued on an amortized cost basis. These securities are typically categorized as Level 2 in the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
The Trust has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended or a security has been delisted from a national exchange, a security has not been traded for an extended period of time, or a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time the Fund calculates its own share price. If
24 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
there is no price, or in the investment adviser’s or sub-adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, the Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, the Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and reports periodically to the Board. The Valuation Committee is authorized to make all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable. These securities are classified as Level 2 or Level 3 of the fair value hierarchy. Certain vendor-priced securities may also be considered Level 3 if significant unobservable inputs are used by the vendors. The Fund did not fair value any securities as of June 30, 2014.
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to its fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the following three broad categories:
• | Level 1 – Fair value measurement within Level 1 should be based on a quoted price in an active market that the Trust has |
Annual Report Ÿ June 30, 2014 | 25 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
the ability to access for the asset or liability at the measurement date. Because a quoted price alone forms the basis for the measurement, the access requirement within Level 1 limits discretion in pricing the asset or liability, including in situations in which there are multiple markets for the asset or liability with different prices and no single market represents a principal market for the asset or liability. Importantly, the FASB has indicated that when a quoted price in an active market for a security is available, that price should be used to measure fair value without regard to an entity’s intent to transact at that price. |
• | Level 2 – Fair value measurement within Level 2 should be based on all inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include quoted prices for similar instruments in active markets; quoted adjusted prices in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. |
• | Level 3 – Fair value measurement within Level 3 should be based on unobservable inputs in such cases where markets don’t exist or are illiquid. Significant unobservable inputs include model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Trust’s own assumptions that market participants would use to price the asset or liability based on the best available information. |
26 | Annual Report Ÿ June 30, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset-Backed Obligations | $ | — | $ | 394,430,406 | $ | 80,906,970 | $ | 475,337,376 | ||||||||
Corporate Bonds | — | 1,879,201,659 | 11,412,716 | 1,890,614,375 | ||||||||||||
Government Related | — | 1,630,371,919 | — | 1,630,371,919 | ||||||||||||
Mortgage-Backed Obligations | — | 2,723,115,947 | 39,941,384 | 2,763,057,331 | ||||||||||||
Short-Term Investments | 517,393,851 | — | — | 517,393,851 | ||||||||||||
Total Investments in Securities | $ | 517,393,851 | $ | 6,627,119,931 | $ | 132,261,070 | $ | 7,276,774,852 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (36,212 | ) | $ | — | $ | — | $ | (36,212 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (36,212 | ) | $ | — | $ | — | $ | (36,212 | ) |
(1) | Includes cumulative appreciation/depreciation on futures contracts as reported in the Summary Schedule of Investments. |
There were no transfers between levels during the period ended June 30, 2014. Transfers between levels are recognized at the end of the reporting period.
Below is a reconciliation that details the activity of securities in Level 3 during the period ended June 30, 2014:
Bridge Builder Bond Fund | ||||
Beginning Balance – October 28, 2013* | $ | — | ||
Purchases | 148,510,839 | |||
Sales proceeds and paydowns | (16,809,135 | ) | ||
Transfers into Level 3 | — | |||
Transfer out of Level 3 | — | |||
Realized gains/(losses), net | (91,503 | ) | ||
Change in unrealized gains/(losses), net | 650,869 | |||
|
| |||
Ending Balance – June 30, 2014 | $ | 132,261,070 | ||
|
|
* | Inception date of the Fund. |
Annual Report Ÿ June 30, 2014 | 27 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain/(loss) on investments and net change in unrealized appreciation/(depreciation) on investments on the Statement of Operations, respectively. The Net change in unrealized appreciation/(depreciation) on investments related to Level 3 securities held by the Fund at June 30, 2014 totals $650,869.
The following table presents information about unobservable inputs related to the Fund's categories of Level 3 investments as of June 30, 2014:
Type of Security | Fair Value at 6/30/2014 | Valuation Techniques | Unobservable Input | Range | ||||||||
Asset-Backed Obligations | $ | 80,906,970 | Consensus pricing | Third party & broker quoted inputs | N/A | |||||||
Corporate Bonds | 11,412,716 | Consensus pricing | Third party & broker quoted inputs | N/A | ||||||||
Mortgage-Backed Obligations | 39,941,384 | Consensus pricing | Third party & broker quoted inputs | N/A |
The following provides a general description of the impact of a change in an unobservable input on the fair value measurement and the interrelationship of unobservable inputs, where relevant and significant. Interrelationships may also exist between observable and unobservable inputs (for example, as interest rates rise, prepayment rates decline).
Third party & broker quoted inputs
The significant unobservable inputs used by the third-party pricing vendors and broker-dealers generally include prepayment rates, interest rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation could result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.
28 | Annual Report Ÿ June 30, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Additionally, third-party pricing vendors and broker-dealers could use market activity related to comparable securities to supplement the inputs noted above. Usually, an increase (decrease) in the price of a comparable bond would result in a higher (lower) fair value measurement.
b) Delayed Delivery Securities – The Fund may enter into contracts to purchase mortgage securities for a fixed price at a future date beyond customary settlement time if the Fund sets aside on its books liquid assets in an amount sufficient to meet the purchase price, or if the Fund enters into offsetting contracts for the forward sale of other securities it owns. In the case of delayed delivery mortgage purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a contract, with the actual principal amount being within a specified range of the estimate. For these obligations, the Fund will earmark liquid assets in an amount sufficient to cover its obligations. Forward commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the Fund’s other assets. Where such purchases are made through dealers, the Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in a loss to the Fund of an advantageous yield or price. Although the Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment prior to settlement if it deems it appropriate to do so. The Fund may realize short-term profits or losses upon the sale of forward commitments.
The Fund may enter into delayed delivery sale commitments to hedge its portfolio positions or to sell securities it owns under delayed delivery arrangements. Proceeds of the sale commitments are not received until the contractual settlement date. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition
Annual Report Ÿ June 30, 2014 | 29 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
of an offsetting purchase commitment, the Fund realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the Fund delivers securities under the commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
Fixed-income securities purchased on a delayed-delivery basis are typically marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
As of June 30, 2014, the Fund held $246,732,683 in delayed delivery purchase commitments that represent 3.52% of the Fund’s net assets.
c) Derivatives – The Fund invests in derivatives as permitted by its investment objectives and policies. Derivatives are financial instruments whose value is based on the value of another underlying asset, interest rate, index or financial instrument.
The Fund’s use of derivatives may increase or decrease its exposure to market risk, including the risk that the change in the value of the derivative may not correlate with changes in the value of the underlying securities. The Fund also is exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a particular derivative in the open market in a timely manner. Counterparty risk is the risk that a counterparty will not be able to fulfill its obligations to the Fund pursuant to the terms of a derivative investment. The Fund’s maximum risk of loss from counterparty risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund.
Futures Contracts – The Fund may enter into interest rate and Treasury futures contracts, which are agreements between two
30 | Annual Report Ÿ June 30, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
parties to buy or sell a specified underlying instrument for a fixed price on a specified future date, to the extent permitted by its investment objectives and policies. During the period ended June 30, 2014, the Fund purchased and sold futures contracts to gain or hedge exposure to risk factors and alter the Fund’s investment characteristics. Upon entering into futures contracts, the Fund is required to deposit cash or pledge securities as initial margin, with additional securities segregated up to the current market value of all of the Fund’s futures contracts. Any subsequent margin deposit increases or decreases, which are dependent on the daily fluctuations in the value of the instrument underlying the contract, are made or received by the Fund periodically (Variation Margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.
The Fund had an average monthly notional amount of purchased futures of $56,838,941 and sold futures of $120,955,271 during the period ended June 30, 2014. See the Summary Schedule of Investments for the Fund’s open futures contracts as of June 30, 2014. The following table summarizes the fair values of derivative instruments on the Statement of Assets and Liabilities, categorized by risk exposure as of June 30, 2014.
Statement of Assets and Liabilities — Values of Derivative Instruments as of June 30, 2014
Asset Derivatives | Liability Derivatives | |||||||||||
Balance Sheet Location | Value | Balance Sheet Location | Value | |||||||||
Interest Rate Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | 74,369 | Net unrealized depreciation on futures contracts | $ | 110,581 | ||||||
Total | $ | 74,369 | $ | 110,581 |
*Includes | unrealized appreciation/depreciation as reported on the Summary Schedule of Investments but is exclusive of the daily variation margin payable to the broker. |
Annual Report Ÿ June 30, 2014 | 31 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The following table presents the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014.
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income
Futures Contracts | ||||
Interest Rate Risk | $ | (4,337,600 | ) | |
Total | $ | (4,337,600 | ) |
Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
Futures Contracts | ||||
Interest Rate Risk | $ | (36,212 | ) | |
Total | $ | (36,212 | ) |
The Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Summary Schedule of Investments. The following table presents the Fund’s derivatives by investment type, net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Fund as of June 30, 2014:
Assets: | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Gross Amounts not offset in the statement of financial position | ||||||||||||||||||||
Financial Instruments | Collateral Received | Net Amount | ||||||||||||||||||||||
Description | ||||||||||||||||||||||||
Futures Contracts | $ | 74,369 | $ | (74,369 | ) | — | — | — | — |
32 | Annual Report Ÿ June 30, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Liabilities: | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets & Liabilities | Net Amounts Presented in the Statement of Assets & Liabilities | Gross Amounts not offset in the statement of financial position | ||||||||||||||||||||
Financial Instruments | Collateral Received | Net Amount | ||||||||||||||||||||||
Description | ||||||||||||||||||||||||
Futures Contracts | $ | 110,581 | $ | (74,369 | ) | $ | 36,212 | — | $ | (36,212 | ) | — |
Actual margin required at the counterparty is based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables. The Fund is required to deposit financial collateral (including cash collateral) at the counterparty to continually meet the original and maintenance requirements established by the counterparty. The net amount presented for futures contracts is displayed as net unrealized appreciation/(depreciation) on futures contracts on the Statement of Assets and Liabilities.
d) Restricted Securities – The Fund may own investment securities that are unregistered and thus restricted as to resale. These securities are valued after giving due consideration to pertinent factors, including recent private sales, market conditions and the issuer’s financial performance. Where future disposition of these securities requires registration under the Securities Act of 1933, the Fund has the right to include these securities in such registration, generally without cost to the Fund. The Fund has no right to require registration of the unregistered securities it holds. All restricted securities held at June 30, 2014 met the definition of Rule 144A of the Securities Act of 1933 and can be traded with an institutional investor without registration. As of June 30, 2014, the Fund held restricted securities with an aggregate value of $739,866,917, which accounted for 10.56% of the Fund’s net assets. The Fund’s Sub-advisers have determined $1,951,399 of these securities to be illiquid and $737,915,518 to be liquid pursuant to the Fund’s illiquid and restricted securities guidelines.
Annual Report Ÿ June 30, 2014 | 33 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
e) Federal Income and Excise Taxes – The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements.
As of June 30, 2014, management of the Fund has reviewed the Fund’s tax positions for all open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Fund did not incur any interest or penalties.
f) Distributions to Shareholders – The Fund will make distributions of net investment income monthly and capital gains, if any, at least annually. Capital gains are distributed only to the extent they exceed available capital loss carryforwards. All distributions that are reinvested will be in shares of the Fund. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
g) Guarantees and Indemnifications – In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims against the Trust that have not yet occurred.
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Notes to Financial Statements (Continued)
h) Other – Investment and shareholder transactions are recorded on the trade date. Dividend income is recognized on the ex-dividend date and interest income is recognized on the accrual basis. Withholding taxes on foreign dividends and capital, if any, are included as a component of net investment income and realized gain/(loss) on investments, respectively, and have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Discounts and premiums on securities purchased are amortized and accreted, respectively, using the constant yield method over the life of the respective securities. Realized gains and losses are evaluated on the basis of identified cost.
3. INVESTMENT ADVISER
Olive Street Investment Advisers, LLC (the “Adviser”) acts as investment adviser to the Fund pursuant to an investment advisory agreement (the “Advisory Agreement”) with the Trust. The Adviser is a wholly owned subsidiary of The Jones Financial Companies, L.L.L.P. Under the Advisory Agreement, the Adviser furnishes, at its own expense, all services, facilities and personnel necessary in connection with managing the Fund’s investments.
The Adviser shall provide the Trust with such investment research, advice and investment supervision as the Trust may from time to time consider necessary for the proper management of the assets of the Fund, and shall furnish continuously an investment program for the Fund. In fulfilling this obligation, the Adviser, among other things, recommends the hiring and termination of, and monitors the ongoing performance of, one or more investment “Sub-advisers” and allocates Fund assets among the Sub-advisers.
The Adviser has selected and the Board has approved Robert W. Baird & Co., Inc., (“Baird”), J.P. Morgan Investment Management, Inc. (“JPMIM”), and Prudential Investment Management, Inc. (“Prudential”) to sub-advise discrete portions of the Fund’s assets. Subject to the supervision of the Adviser, the Sub-advisers provide the Fund, among other services, a continuous investment program for
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Notes to Financial Statements (Continued)
the Fund and determine from time to time which securities or other investments shall be purchased, sold or exchanged for the Fund, including providing or obtaining such services as may be necessary in managing, acquiring or disposing of securities, cash or other investments. For their services as Sub-advisers to the Fund, Baird, JPMIM and Prudential are entitled to receive fees from the Adviser.
In consideration of the services to be provided by the Adviser pursuant to the Advisory Agreement, the Fund will pay the Adviser an investment management fee at an annual rate equal to 0.32% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the Adviser is required to pay the Fund’s Sub-advisers. During the period ended June 30, 2014, the Adviser waived $8,166,885 of advisory fees which are not subject to recoupment by the Adviser.
Pursuant to an operating expense limitation agreement between the Adviser and the Fund, effective until October 31, 2014, the Adviser has contractually agreed to reduce its fees and/or pay Fund expenses (excluding acquired fund fees and expenses, portfolio transaction expenses, interest expense in connection with investment activities, taxes and non-routine expenses) to limit total annual fund operating expenses after fee waivers and/or expense reimbursements to 0.48% of the Fund’s average annual net assets (“Expense Cap”).
Any Fund expenses reimbursed by the Adviser related to the expense limitation agreement are subject to recoupment by the Adviser if the aggregate amount actually paid by a Fund toward operating expenses for such fiscal year (taking into account any reimbursements) does not exceed the Expense Cap. The Adviser is permitted to recoup expenses it reimbursed to the Fund in the prior three fiscal years. The Fund must pay its current ordinary operating expenses before the Adviser is entitled to any recoupment of expenses. During the period ended June 30, 2014 the Fund did not exceed the Expense Cap and
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
no expense reimbursements are currently subject to recoupment in subsequent periods.
4. OFFERING AND ORGANIZATIONAL COSTS
Total offering and organizational costs of approximately $95,237 and $145,222 were paid in connection with the offering of shares of the Fund, respectively. Offering costs are accounted for as deferred costs until operations begin and are then amortized over twelve months. Organizational costs are expensed as incurred. These amounts are included in Expenses per the Statement of Operations.
5. INVESTMENT TRANSACTIONS
For the period ended June 30, 2014, purchases and sales of investment securities, other than short-term investments, were as follows:
Bridge Builder Bond Fund | ||||
Purchases: | ||||
U.S. Government 1 | $ | 9,372,989,021 | ||
Other 1 | $ | 5,974,839,144 | ||
Sales: | ||||
U.S. Government | $ | 7,708,214,582 | ||
Other | $ | 702,073,604 |
1 | Includes securities received in capital contribution in-kind. See Note 1 in the Notes to Financial Statements. |
6. FEDERAL INCOME TAX INFORMATION
GAAP requires that certain components of net assets be reclassified between financial and tax reporting. Temporary differences do not require reclassification. Temporary and permanent differences have no effect on net assets or net asset value per share. For the period ended June 30, 2014 the Fund increased undistributed net investment income by $8,076,662, decreased capital stock by $16,744 and decreased accumulated net realized loss by $8,059,918. Other permanent book-to-tax differences that required reclassification among the Fund’s capital accounts primarily related to paydowns and consent income.
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
At June 30, 2014, gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes were as follows:
Bridge Builder Bond Fund | ||||
Cost of Investments 1 | $ | 7,156,714,218 | ||
|
| |||
Gross Unrealized Appreciation | $ | 130,439,932 | ||
Gross Unrealized Depreciation | (10,379,298 | ) | ||
|
| |||
Net Unrealized Appreciation/(Depreciation) on investments | $ | 120,060,634 | ||
|
|
As of June 30, 2014, the components of accumulated earnings on a tax basis were as follows:
Bridge Builder Bond Fund | ||||
Accumulated Capital and Other Losses 2 | $ | (7,178,032 | ) | |
Undistributed Net Ordinary Income 3 | 1,312,426 | |||
Undistributed Long-Term Capital Gain | — | |||
Unrealized Appreciation/(Depreciation) on Investments | 120,060,634 | |||
|
| |||
Total Accumulated Gain | $ | 114,195,028 | ||
|
|
At June 30, 2014, the Fund had capital loss carryforwards of $6,310,973 which will not expire.
The tax character of distributions paid by the Fund during the fiscal period ended June 30, 2014 were as follows:
2014 | ||||
Distributions paid from: | ||||
Net Ordinary Income 3 | $ | 88,893,387 | ||
Net Long-Term Capital Gains | — | |||
Return of Capital | — | |||
|
| |||
Total Distributions Paid | $ | 88,893,387 | ||
|
|
1 | Tax Cost of Investments differs from the Cost of Investments in the Statement of Assets and Liabilities due to tax deferral of losses on wash sales and excess amortization of premium income. |
2 | Accumulated Capital and Other Losses includes capital loss carryforwards, organizational costs and straddle loss deferrals. |
3 | Net Ordinary Income includes net short-term capital gains, if any. |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
7. Trustees
Trustee fees and expenses displayed in the Statement of Operations include amounts accrued by the Fund to pay remuneration to each Trustee who is not an “interested person” as defined in the 1940 Act (an “Independent Trustee”) and Officer of the Fund. The Trustees who are “interested persons” (the “Non-Independent Trustees”) of the Trust do not receive any Trustee fees.
8. Administrator
U.S. Bancorp Fund Services, LLC (“USBFS”) acts as the Trust’s administrator (the “Administrator”) pursuant to an administration agreement. USBFS provides certain administrative services to the Trust, including, among other responsibilities, fund accounting and certain compliance services. For these services, the Fund shall pay the administrator monthly, a fee accrued daily and based on average daily net assets. The Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. The amounts paid directly to the Administrator by the Fund for administrative services are included in Administration fees in the Statement of Operations.
Certain employees of the Administrator are also Officers of the Trust.
9. Custodian
U.S. Bank National Association is the custodian (the “Custodian”) for the Trust in accordance with a custodian agreement. Custodian fees are paid monthly and based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses. The amounts paid directly to the Custodian by the Fund for custody services are included in Custody fees in the Statement of Operations.
10. Risks
Investing in the fund may involve certain risks including, but not limited to, those described below. Please refer to the fund prospectus for more information on risks associated with investing in the fund.
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Interest Rate Risk. The Fund invests in fixed income securities that change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. On the other hand, if rates fall, the value of these investments generally increases. Fixed income markets have experienced historically low interest rates for an extended period of time, which may increase the risk of interest rates rising in the future as a result of market forces, government action or other factors. Securities with greater interest rate sensitivity and longer maturities are subject to greater fluctuations in value. Usually, the changes in the value of fixed income securities will not affect cash income generated, but may affect the value of your investment. Adjustable rate instruments also react to interest rate changes in a similar manner although generally to a lesser degree (depending, however, on the characteristics of the reset terms, including the index chosen, frequency of reset and reset caps or floors, among other things).
Liquidity Risk. Low trading volume, a lack of a market maker, or contractual or legal restrictions may limit or prevent the Fund from selling securities or closing derivative positions at desirable times or prices. During times of significant market or economic turmoil, usually liquid markets for certain of the Fund’s investments may experience extreme reductions in buyside demand, which may result in values of the Fund’s portfolio securities declining significantly over short or extended periods of time. These reductions in value may occur regardless of whether there has been a change in interest rates or a change in the credit rating of the issuer of the security. Under certain adverse market or economic conditions, Fund investments previously determined to be liquid may be deemed to be illiquid, and, because of regulatory limitations on investments in illiquid securities, the Fund may not be able to make or gain the desired level of exposure to certain investments that it otherwise would.
Redemption Risk. The Fund may experience losses when selling securities to meet redemption requests. This risk is greater for larger or frequent redemption requests. Because the Fund currently is
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
available only to participants in a single asset allocation program, a reduction in the allocation of program assets to the Fund could result in one or more large redemption requests. Moreover, as a result of the requirement that the Fund satisfy redemption requests even during times of significant market or economic turmoil, the Fund may be forced to sell portfolio securities during periods of reduced liquidity when prices are rapidly declining. This may require the Fund to realize investment losses at times that a Sub-adviser believes that it would have been advisable to hold a particular investment until a more orderly sale could occur, the market recovers or the security reaches maturity.
Credit Risk. An issuer of a fixed income security may fail to pay all or a portion of the payment of principal and/or interest on a security. A security may decline in price if market participants become concerned regarding the credit-worthiness or credit-rating of the issuer, regardless of whether a bond has defaulted.
Counterparty Risk. The Fund may be involved in financial transactions or contracts with other parties. There is risk these parties may be unable or unwilling to fulfill their obligations, which could adversely impact the value of the Fund.
Market Risk. The overall market may perform poorly or the returns from the securities in which the Fund invests may underperform returns from the general securities markets or other types of investments.
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Bridge Builder Mutual Funds
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the Bridge Builder Bond Fund
In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Bridge Builder Bond Fund (the “Fund”) at June 30, 2014, and the results of its operations, the changes in its net assets and the financial highlights for the period October 28, 2013 (commencement of operations) through June 30, 2014, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at June 30, 2014 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Chicago, IL
August 28, 2014
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Independent Trustees of the Trust
Name | Role | Term | Principal Occupation | |||
Jean E. Carter (Born: 1957) | Lead Independent Trustee | Indefinite Term; Since Inception | Retired; Director of Investment Management Group for Russell Investment Group (2000 – 2005) | |||
Janice L. Innis- Thompson (Born: 1966) | Trustee, Chair of the Nominating and Governance Committee | Indefinite Term; Since Inception | Senior Vice President, Chief Compliance & Ethics Officer, TIAA-CREF (since 2006) | |||
William N. Scheffel (Born: 1953) | Trustee | Indefinite Term; Since Inception | Executive Vice President, Chief Financial Officer and Treasurer, Centene Corporation (since 2003) | |||
John M. Tesoro (Born: 1952) | Trustee, Chair of the Audit Committee | Indefinite Term; Since Inception | Retired; Partner, KPMG LLP (2002-2012) |
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Bridge Builder Mutual Funds
Additional Information (Continued)
Interested Trustees of the Trust
Name | Role | Term | Principal Occupation | |||
William H. Broderick III (Born: 1952) | Trustee, Chairman | Indefinite Term; Since Inception | Retired; Principal, Investment Advisory, Edward Jones and General Partner, The Jones Financial Companies, LLLP (1986-2012) | |||
William E. Fiala (Born: 1967) | Trustee, Chair of the Valuation Committee | Indefinite Term; Since Inception | Principal, Edward Jones and General Partner, The Jones Financial Companies, LLLP (1994 - Present) |
Officers of the Trust
Name | Role | Term | Principal Occupation | |||
Joseph C. Neuberger (Born: 1962) | President | Indefinite Term; Since Inception | Executive Vice President, U.S. Bancorp Fund Services, LLC (1994-Present) | |||
Jason F. Hadler (Born: 1975) | Treasurer | Indefinite Term; Since Inception | Senior Vice President, U.S. Bancorp Fund Services, LLC (Since 2003) | |||
Robert M. Slotky (Born: 1947) | Chief Compliance Officer | Indefinite Term; Since Inception | Senior Vice President, U.S. Bancorp Fund Services, LLC (Since July 2001) | |||
Elaine E. Richards (Born: 1968) | Secretary | Indefinite Term; Since Inception | Vice President and Legal Compliance Officer, U.S. Bancorp Fund Services, LLC (Since July 2007) |
The business address of the Trustees and Officers is the address of the Trust: 615 East Michigan Street, Milwaukee, Wisconsin 53202.
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
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Bridge Builder Mutual Funds
Proxy Voting Procedures and Proxy Voting Record
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, free of charge, by calling toll-free 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the 12-month period ending June 30 is available without charge, upon request, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov.
Form N-Q Disclosure
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Form N-Q filings are available on the Securities and Exchange Commission’s website at http://www.sec.gov. The Trust’s Form N-Q filings may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s Form N-Q filings is also available, without charge, by calling toll-free, 1-855-823-3611.
Household Delivery of Shareholder Documents
To reduce expenses the Fund may mail only one copy of the Fund’s prospectus, SAI and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Fund at 1-855-823-3611. You will begin receiving individual copies thirty days after your request is received.
Schedule of Investments
The Fund’s complete schedule of investments in securities of unaffiliated issuers is available without charge, upon request, by calling 1-855-823-3611, and on the SEC website at http://www.sec.gov as a part of Form N-CSR.
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Bridge Builder Mutual Funds
General Information (Continued)
Tax Notice
The percentage of dividend income distributed for the period ended June 30, 2014, which is designated as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003, was 0.00% for the Bridge Builder Bond Fund. 0.00% of the dividends paid by the Fund qualify for the corporate dividends received deduction. For the period ended June 30, 2014, 0.00% of the ordinary income distributions paid by the Fund were designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c). For the period ended June 30, 2014, 100.00% of the ordinary income distributions paid by the Fund qualify as interest related dividends under Internal Revenue Code Section 871(k)(2)(c).
46 | Annual Report Ÿ June 30, 2014 |
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Investment Adviser
Olive Street Investment Advisers, LLC
12555 Manchester Road
St. Louis, MO 63131
Administrator, Fund Accountant & Transfer Agent
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
Distributor
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Morgan Lewis & Bockius, LLP
1701 Market Street
Philadelphia, PA 19103
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
One North Wacker
Chicago, IL 60606
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Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that John Tesoro and William Scheffel are the “audit committee financial experts” and are considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, and tax services during the past two fiscal years. “Audit fees” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related fees” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax fees” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 6/30/2014 | FYE 6/30/2013 | |||||||
Audit Fees | $ | 65,000 | N/A | |||||
Audit-Related Fees | ||||||||
Tax Fees | $ | 5,100 | $ | 2,500 | ||||
All Other Fees |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
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The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X were as follows:
FYE 6/30/2014 | FYE 6/30/2013 | |||||||
Audit-Related Fees | 0 | % | N/A | |||||
Tax Fees | 0 | % | N/A | |||||
All Other Fees | 0 | % | N/A |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any entity controlling, controlled by, or under common control with the investment adviser) for the last two years.
Non-Audit Related Fees | FYE 6/30/2014 | FYE 6/30/2013 | ||||||
Registrant | $ | 5,100 | $ | 2,500 | ||||
Registrant’s Investment Adviser | $ | 0 | N/A |
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
Bridge Builder Bond Fund
Schedule of Investments
June 30, 2014
Principal Amount | Value | |||||||
BONDS & NOTES - 96.50% | ||||||||
Asset-Backed Obligations - 6.79% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
4.93%, 06/25/2035 | $ | 977,144 | $ | 988,241 | ||||
ABFC 2006-OPT1 Trust | ||||||||
0.30%, 09/25/2036 | 7,095,755 | 6,118,230 | ||||||
Academic Loan Funding Trust 2012-1 | ||||||||
0.95%, 12/27/2022 (Acquired 10/28/2013, Cost $1,203,840) (b) | 1,194,596 | 1,204,475 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
0.95%, 12/26/2044 (Acquired 11/15/2013, Cost $2,229,032) (b) | 2,245,780 | 2,260,602 | ||||||
Ally Auto Receivables Trust 2010-3 | ||||||||
1.55%, 08/17/2015 | 38,044 | 38,062 | ||||||
Ally Auto Receivables Trust 2012-1 | ||||||||
1.21%, 07/15/2016 | 229,000 | 230,432 | ||||||
Ally Auto Receivables Trust 2012-2 | ||||||||
0.74%, 04/15/2016 | 531,781 | 532,429 | ||||||
Ally Auto Receivables Trust 2012-3 | ||||||||
0.85%, 08/15/2016 | 624,154 | 625,662 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
1.64%, 11/15/2016 (Acquired 10/28/2013, Cost $360,496) (b) | 360,688 | 361,420 | ||||||
2.28%, 09/17/2018 (Acquired 10/28/2013, Cost $331,499) (b) | 332,000 | 334,315 | ||||||
American Credit Acceptance Receivables Trust 2012-2 | ||||||||
1.89%, 07/15/2016 (Acquired 10/28/2013, Cost $270,877) (b) | 270,539 | 271,135 | ||||||
2.75%, 02/15/2018 (Acquired 10/28/2013, Cost $224,333) (b) | 223,000 | 224,734 | ||||||
American Credit Acceptance Receivables Trust 2013-1 | ||||||||
1.45%, 04/16/2018 (Acquired 10/28/2013, Cost $590,900) (b) | 591,446 | 593,764 | ||||||
American Credit Acceptance Receivables Trust 2014-1 | ||||||||
1.14%, 03/12/2018 (Acquired 01/07/2014, Cost $662,521) (b) | 662,553 | 663,272 | ||||||
American Credit Acceptance Receivables Trust 2014-2 | ||||||||
0.99%, 10/10/2017 (Acquired 04/15/2014, Cost $4,579,952) (b) | 4,580,140 | 4,579,897 | ||||||
2.26%, 03/10/2020 (Acquired 04/15/2014, Cost $1,033,901) (b) | 1,034,000 | 1,033,867 |
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AmeriCredit Automobile Receivables Trust 2011-4 | ||||||||
1.17%, 05/09/2016 | 67,809 | 67,820 | ||||||
AmeriCredit Automobile Receivables Trust 2011-5 | ||||||||
1.55%, 07/08/2016 | 271,770 | 272,033 | ||||||
AmeriCredit Automobile Receivables Trust 2012-1 | ||||||||
1.23%, 09/08/2016 | 86,049 | 86,127 | ||||||
AmeriCredit Automobile Receivables Trust 2012-2 | ||||||||
1.05%, 10/11/2016 | 148,081 | 148,284 | ||||||
AmeriCredit Automobile Receivables Trust 2012-3 | ||||||||
0.96%, 01/09/2017 | 310,515 | 311,077 | ||||||
AmeriCredit Automobile Receivables Trust 2012-4 | ||||||||
0.49%, 04/08/2016 | 25,632 | 25,633 | ||||||
AmeriCredit Automobile Receivables Trust 2012-5 | ||||||||
0.51%, 01/08/2016 | 104,278 | 104,280 | ||||||
0.62%, 06/08/2017 | 339,000 | 339,127 | ||||||
AmeriCredit Automobile Receivables Trust 2013-1 | ||||||||
0.49%, 06/08/2016 | 274,662 | 274,689 | ||||||
0.61%, 10/10/2017 | 137,000 | 137,111 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
0.90%, 09/10/2018 | 393,220 | 394,051 | ||||||
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-13 | ||||||||
4.71%, 01/25/2034 | 14,153 | 14,080 | ||||||
Anchorage Capital CLO 2013-1 Ltd | ||||||||
1.42%, 07/13/2025 (Acquired 11/25/2013, Cost $14,336,875) (b) | 14,500,000 | 14,301,147 | ||||||
Argent Securities Inc | ||||||||
1.29%, 03/25/2034 | 3,570,651 | 3,372,940 | ||||||
Argent Securities Inc Asset Back Pass Thr Certs Ser 2004-W5 | ||||||||
1.19%, 04/25/2034 | 3,667,317 | 3,462,776 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
0.49%, 11/25/2035 | 7,725,775 | 7,297,087 | ||||||
Ascentium Equipment Receivables 2012-1 LLC | ||||||||
1.83%, 09/15/2019 (Acquired 10/28/2013, Cost $265,118) (b) | 265,354 | 265,260 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2002-HE3 | ||||||||
2.48%, 10/15/2032 | 1,050,403 | 1,035,555 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6 | ||||||||
0.83%, 11/25/2033 | 1,862,969 | 1,729,752 |
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Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6 | ||||||||
0.87%, 09/25/2034 | 7,669,160 | 7,424,828 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
0.32%, 03/25/2036 | 5,914,290 | 5,522,439 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
0.93%, 04/25/2034 | 920,737 | 903,810 | ||||||
Atlas Senior Loan Fund IV Ltd | ||||||||
1.74%, 02/17/2026 | 15,000,000 | 14,931,000 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.46%, 07/20/2020 (Acquired 02/05/2014 through 06/27/2014, Cost $10,312,945) (b) | 10,300,000 | 10,373,841 | ||||||
AXIS Equipment Finance Receivables II LLC | ||||||||
1.75%, 03/20/2017 (Acquired 11/13/2013, Cost $1,381,168) (b) | 1,381,229 | 1,381,690 | ||||||
Bank of America Auto Trust 2012-1 | ||||||||
0.78%, 06/15/2016 | 321,148 | 321,686 | ||||||
Battalion CLO IV Ltd | ||||||||
1.63%, 10/22/2025 | 8,000,000 | 7,982,008 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A | ||||||||
5.48%, 02/28/2041 | 57,863 | 58,936 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2047 | 268,602 | 224,322 | ||||||
Bayview Opportunity Master Fund IIa Trust 2013-8NPL | ||||||||
3.23%, 03/28/2033 (Acquired 10/28/2013, Cost $1,757,122) (b) | 1,735,535 | 1,740,134 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | ||||||||
1.01%, 08/25/2034 | 7,536,175 | 6,911,019 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | ||||||||
1.05%, 08/25/2034 | 924,542 | 865,606 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
1.65%, 03/25/2043 | 6,376,307 | 6,246,996 | ||||||
Bear Stearns Asset Backed Securities Trust 2006-SD1 | ||||||||
0.52%, 04/25/2036 | 88,562 | 84,746 | ||||||
BMW Vehicle Lease Trust 2013-1 | ||||||||
0.54%, 09/21/2015 | 344,000 | 344,300 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027 (Acquired 10/28/2013, Cost $754,958) (b) | 762,835 | 762,050 | ||||||
Cabela’s Master Credit Card Trust | ||||||||
1.63%, 02/18/2020 (Acquired 10/28/2013, Cost $791,988) (b) | 784,000 | 794,629 | ||||||
California Republic Auto Receivables Trust 2012-1 | ||||||||
1.18%, 08/15/2017 (Acquired 10/28/2013, Cost $882,640) (b) | 883,728 | 888,182 | ||||||
Capital Auto Receivables Asset Trust / Ally | ||||||||
0.62%, 07/20/2016 | 1,287,643 | 1,288,252 |
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Capital Auto Receivables Asset Trust 2013-4 | ||||||||
1.09%, 03/20/2018 | 957,000 | 960,134 | ||||||
Carfinance Capital Auto Trust 2013-1 | ||||||||
1.65%, 07/17/2017 (Acquired 10/28/2013, Cost $59,512) (b) | 59,644 | 59,833 | ||||||
2.75%, 11/15/2018 (Acquired 10/28/2013, Cost $170,015) (b) | 172,000 | 174,013 | ||||||
Carfinance Capital Auto Trust 2013-2 | ||||||||
1.75%, 11/15/2017 (Acquired 10/28/2013, Cost $222,231) (b) | 222,238 | 222,992 | ||||||
CarFinance Capital Auto Trust 2014-1 | ||||||||
1.46%, 12/17/2018 (Acquired 03/17/2014, Cost $1,762,723) (b) | 1,762,933 | 1,763,243 | ||||||
2.72%, 04/15/2020 (Acquired 03/17/2014, Cost $374,901) (b) | 375,000 | 376,079 | ||||||
Carlyle Global Market Strategies CLO 2013-1 Ltd | ||||||||
1.53%, 02/14/2025 (Acquired 01/02/2014, Cost $5,044,543) (b) | 5,100,000 | 5,061,995 | ||||||
Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd | ||||||||
2.18%, 10/15/2021 (Acquired 05/22/2014, Cost $2,686,667) (b) | 2,686,667 | 2,685,324 | ||||||
CarMax Auto Owner Trust 2011-1 | ||||||||
2.16%, 09/15/2016 | 869,948 | 876,807 | ||||||
CarMax Auto Owner Trust 2013-1 | ||||||||
0.60%, 10/16/2017 | 187,000 | 187,231 | ||||||
CarMax Auto Owner Trust 2013-4 | ||||||||
0.80%, 07/16/2018 | 308,000 | 307,880 | ||||||
1.28%, 05/15/2019 | 275,000 | 274,836 | ||||||
CarMax Auto Owner Trust 2014-2 | ||||||||
0.98%, 01/15/2019 | 2,105,000 | 2,106,495 | ||||||
Carnow Auto Receivables Trust 2013-1 | ||||||||
1.16%, 10/16/2017 (Acquired 10/28/2013, Cost $83,187) (b) | 83,226 | 83,273 | ||||||
1.97%, 11/15/2017 (Acquired 10/28/2013, Cost $451,161) (b) | 451,000 | 451,688 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
0.33%, 02/25/2036 | 2,010,138 | 1,900,075 | ||||||
Catamaran CLO 2014-1 Ltd | ||||||||
1.75%, 04/20/2026 | 5,500,000 | 5,505,621 | ||||||
2.00%, 04/20/2026 | 5,750,000 | 5,596,119 | ||||||
Chase Funding Trust Series 2003-4 | ||||||||
5.42%, 05/25/2033 | 305,637 | 319,343 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
4.28%, 11/25/2034 | 809,193 | 817,766 | ||||||
5.30%, 11/25/2034 | 439,000 | 452,475 |
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Chase Issuance Trust | ||||||||
0.61%, 04/15/2019 | 16,700,000 | 16,572,312 | ||||||
Citifinancial Mortgage Securities Inc | ||||||||
5.85%, 08/25/2033 | 240,145 | 254,862 | ||||||
CNH Equipment Trust 2011-A | ||||||||
2.04%, 10/17/2016 | 383,821 | 386,524 | ||||||
CNH Equipment Trust 2012-A | ||||||||
0.94%, 05/15/2017 | 282,059 | 282,684 | ||||||
Concord Funding Co LLC | ||||||||
2.42%, 02/15/2015 | 1,445,000 | 1,431,453 | ||||||
3.15%, 01/15/2017 (Acquired 10/28/2013, Cost $3,096,000) (b) | 3,096,000 | 3,145,227 | ||||||
Conseco Financial Corp | ||||||||
6.40%, 10/15/2018 | 9,140 | 9,371 | ||||||
7.05%, 01/15/2019 | 4,474 | 4,611 | ||||||
6.86%, 03/15/2028 | 608 | 615 | ||||||
6.24%, 12/01/2028 | 88,633 | 91,025 | ||||||
7.07%, 01/15/2029 | 1,824 | 1,870 | ||||||
6.22%, 03/01/2030 | 190,093 | 201,923 | ||||||
6.18%, 04/01/2030 | 52,552 | 53,975 | ||||||
Contimortgage Home Equity Loan Trust 1997-2 | ||||||||
7.09%, 04/15/2028 | 3 | 3 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
4.58%, 01/25/2033 | 223,177 | 226,504 | ||||||
5.41%, 01/25/2034 | 49,707 | 48,055 | ||||||
0.90%, 03/25/2034 | 123,549 | 117,858 | ||||||
0.98%, 03/25/2034 | 14,225 | 13,587 | ||||||
0.71%, 04/25/2034 | 1,112 | 1,035 | ||||||
0.40%, 10/25/2034 | 3,627,474 | 3,544,256 | ||||||
1.05%, 10/25/2034 | 109,963 | 104,662 | ||||||
0.93%, 11/25/2034 | 1,426,084 | 1,411,137 | ||||||
5.12%, 02/25/2035 | 151,224 | 154,352 | ||||||
4.61%, 04/25/2035 | 360,279 | 350,012 | ||||||
5.03%, 07/25/2035 | 409,478 | 417,302 | ||||||
4.78%, 02/25/2036 | 1,165,368 | 1,173,414 | ||||||
4.92%, 02/25/2036 | 1,484,381 | 1,476,073 | ||||||
5.05%, 04/25/2036 | 392,237 | 335,785 |
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5.08%, 05/25/2036 | 45,225 | 51,302 | ||||||
5.08%, 05/25/2036 | 116,049 | 123,135 | ||||||
5.02%, 09/25/2046 | 159,523 | 101,627 | ||||||
CPS Auto Receivables Trust 2011-B | ||||||||
3.68%, 09/17/2018 (Acquired 10/28/2013, Cost $142,418) (b) | 140,058 | 143,200 | ||||||
CPS Auto Receivables Trust 2011-C | ||||||||
4.21%, 03/15/2019 (Acquired 10/28/2013, Cost $522,919) (b) | 513,048 | 527,541 | ||||||
CPS Auto Receivables Trust 2012-A | ||||||||
2.78%, 06/17/2019 (Acquired 10/28/2013, Cost $278,103) (b) | 274,655 | 279,272 | ||||||
CPS Auto Receivables Trust 2012-B | ||||||||
2.52%, 09/16/2019 (Acquired 10/28/2013, Cost $1,263,790) (b) | 1,251,761 | 1,269,955 | ||||||
CPS Auto Receivables Trust 2013-A | ||||||||
1.31%, 06/15/2020 (Acquired 10/28/2013, Cost $839,864) (b) | 842,354 | 843,326 | ||||||
CPS Auto Receivables Trust 2013-C | ||||||||
1.64%, 04/16/2018 (Acquired 10/28/2013, Cost $920,053) (b) | 921,842 | 926,688 | ||||||
CPS Auto Receivables Trust 2013-D | ||||||||
1.54%, 07/16/2018 (Acquired 12/10/2013, Cost $2,570,247) (b) | 2,570,482 | 2,583,427 | ||||||
CPS Auto Receivables Trust 2014-A | ||||||||
1.21%, 08/15/2018 (Acquired 03/10/2014, Cost $1,744,913) (b) | 1,745,085 | 1,747,191 | ||||||
CPS Auto Receivables Trust 2014-B | ||||||||
1.11%, 11/15/2018 | 3,534,000 | 3,525,236 | ||||||
CPS Auto Trust | ||||||||
1.82%, 12/16/2019 (Acquired 10/28/2013, Cost $899,480) (b) | 895,781 | 903,804 | ||||||
1.48%, 03/16/2020 (Acquired 10/28/2013, Cost $495,080) (b) | 494,656 | 496,801 | ||||||
Credit Acceptance Auto Loan Trust 2012-1 | ||||||||
2.20%, 09/16/2019 (Acquired 10/28/2013, Cost $302,972) (b) | 300,938 | 302,649 | ||||||
Credit Acceptance Auto Loan Trust 2012-2 | ||||||||
1.52%, 03/16/2020 (Acquired 10/28/2013, Cost $1,126,894) (b) | 1,124,000 | 1,129,584 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
4.30%, 12/25/2035 | 36,073 | 33,941 | ||||||
CSMC Trust 2006-CF1 | ||||||||
0.46%, 11/25/2035 (Acquired 10/28/2013, Cost $15,602) (b) | 15,782 | 15,690 | ||||||
CWHEQ Home Equity Loan Trust Series 2007-S1 | ||||||||
5.69%, 11/25/2036 | 98,906 | 95,047 | ||||||
Exeter Automobile Receivables Trust 2012-2 | ||||||||
1.30%, 06/15/2017 (Acquired 10/28/2013, Cost $369,471) (b) | 369,622 | 370,318 | ||||||
Exeter Automobile Receivables Trust 2013-1 | ||||||||
1.29%, 10/16/2017 (Acquired 10/28/2013, Cost $95,736) (b) | 95,885 | 96,073 |
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Exeter Automobile Receivables Trust 2013-2 | ||||||||
1.49%, 11/15/2017 (Acquired 10/28/2013, Cost $429,005) (b) | 428,969 | 430,718 | ||||||
Exeter Automobile Receivables Trust 2014-1 | ||||||||
1.29%, 05/15/2018 (Acquired 01/29/2014, Cost $2,696,459) (b) | 2,696,698 | 2,702,429 | ||||||
Exeter Automobile Receivables Trust 2014-2 | ||||||||
1.06%, 08/15/2018 (Acquired 05/20/2014, Cost $1,919,925) (b) | 1,920,000 | 1,919,775 | ||||||
3.26%, 12/16/2019 (Acquired 05/20/2014, Cost $334,935) (b) | 335,000 | 336,983 | ||||||
First Investors Auto Owner Trust 2012-2 | ||||||||
1.47%, 05/15/2018 (Acquired 10/28/2013, Cost $519,817) (b) | 518,012 | 520,280 | ||||||
First Investors Auto Owner Trust 2013-1 | ||||||||
0.90%, 10/15/2018 (Acquired 10/28/2013, Cost $361,664) (b) | 362,868 | 363,654 | ||||||
Flagship Credit Auto Trust 2013-1 | ||||||||
1.32%, 04/16/2018 (Acquired 10/28/2013, Cost $814,593) (b) | 815,851 | 817,297 | ||||||
Flagship Credit Auto Trust 2013-2 | ||||||||
1.94%, 01/15/2019 (Acquired 10/28/2013, Cost $919,954) (b) | 919,947 | 923,214 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/08/2014, Cost $2,321,504) (b) | 2,321,678 | 2,321,622 | ||||||
2.55%, 02/18/2020 (Acquired 04/08/2014, Cost $279,937) (b) | 280,000 | 280,624 | ||||||
Ford Credit Auto Lease Trust | ||||||||
0.50%, 10/15/2016 | 1,324,000 | 1,324,695 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 890,000 | 890,012 | ||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-REV1 | ||||||||
2.26%, 11/15/2025 (Acquired 05/06/2014, Cost $4,898,777) (b) | 4,900,000 | 4,943,933 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
0.53%, 01/15/2018 | 1,150,000 | 1,152,191 | ||||||
Freedom Trust 2011-2 | ||||||||
4.59%, 08/01/2046 (Acquired 10/28/2013 through 06/25/2014, Cost $671,128) (b) | 655,372 | 670,612 | ||||||
Fremont Home Loan Trust 2004-2 | ||||||||
1.01%, 07/25/2034 | 1,229,294 | 1,097,107 | ||||||
FRT 2013-1 Trust | ||||||||
4.21%, 10/25/2018 (Acquired 11/08/2013, Cost $358,573) (a) | 358,596 | 358,940 | ||||||
3.96%, 10/25/2033 (Acquired 11/08/2013, Cost $684,823) (a) | 684,892 | 690,279 | ||||||
5.00%, 10/25/2033 (Acquired 01/08/2014, Cost $980,000) (a) | 1,000,000 | 977,000 | ||||||
GE Capital Mortgage Services Inc 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 391 | 389 | ||||||
6.71%, 04/25/2029 | 68,635 | 67,754 |
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GE Equipment Midticket LLC | ||||||||
0.60%, 05/23/2016 | 1,041,360 | 1,042,180 | ||||||
0.78%, 09/22/2020 | 433,000 | 433,071 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 14 | 14 | ||||||
GM Financial Automobile Leasing Trust 2014-1 | ||||||||
0.61%, 07/20/2016 (Acquired 04/03/2014, Cost $3,166,661) (b) | 3,167,000 | 3,168,127 | ||||||
GMAT 2013-1 Trust | ||||||||
3.97%, 11/25/2043 (Acquired 11/6/2013, Cost $1,895,437) (b) | 1,893,940 | 1,897,728 | ||||||
GMAT 2014-1 Trust | ||||||||
3.72%, 02/25/2044 (Acquired 02/05/2014, Cost $1,137,813) (b) | 1,137,813 | 1,142,621 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2 | ||||||||
1.15%, 05/16/2044 (Acquired 10/28/2013, Cost $3,896,915) (b) | 3,907,000 | 3,907,781 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T3 | ||||||||
2.39%, 05/15/2046 (Acquired 04/09/2014, Cost $392,000) (b) | 400,000 | 393,880 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T4 | ||||||||
1.18%, 08/15/2044 (Acquired 02/27/2014, Cost $7,007,304) (b) | 7,000,000 | 7,002,100 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T6 | ||||||||
1.29%, 09/15/2044 (Acquired 04/10/2014, Cost $3,504,115) (b) | 3,500,000 | 3,501,750 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T7 | ||||||||
1.98%, 11/15/2046 (Acquired 11/22/2013, Cost $2,282,370) (b) | 2,283,000 | 2,287,338 | ||||||
HLSS Servicer Advance Receivables Trust | ||||||||
1.24%, 01/17/2045 (Acquired 01/14/2014 through 02/13/2014, Cost $3,078,550) (b) | 3,077,000 | 3,079,462 | ||||||
1.99%, 10/15/2045 (Acquired 10/28/2013, Cost $1,259,904) (b) | 1,255,000 | 1,265,040 | ||||||
1.50%, 01/16/2046 (Acquired 10/28/2013, Cost $1,470,440) (b) | 1,482,000 | 1,482,741 | ||||||
2.22%, 01/15/2047 (Acquired 01/14/2014, Cost $1,661,998) (b) | 1,662,000 | 1,672,138 | ||||||
2.29%, 01/15/2048 (Acquired 01/16/2013, Cost $4,196,377) (b) | 4,250,000 | 4,214,300 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
0.35%, 03/25/2036 | 100,461 | 74,191 | ||||||
Honda Auto Receivables 2012-1 Owner Trust | ||||||||
0.97%, 04/16/2018 | 349,000 | 350,647 | ||||||
Honda Auto Receivables 2014-1 Owner Trust | ||||||||
0.41%, 09/21/2016 | 5,223,000 | 5,221,511 | ||||||
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
0.77%, 03/19/2018 | 930,000 | 929,623 | ||||||
HSBC Home Equity Loan Trust USA 2006-1 | ||||||||
0.31%, 01/20/2036 | 301,066 | 299,071 |
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HSBC Home Equity Loan Trust USA 2006-2 | ||||||||
0.30%, 03/20/2036 | 127,621 | 126,486 | ||||||
HSBC Home Equity Loan Trust USA 2006-4 | ||||||||
0.43%, 03/20/2036 | 5,800,000 | 5,466,291 | ||||||
HSBC Home Equity Loan Trust USA 2007-1 | ||||||||
0.35%, 03/20/2036 | 53,603 | 53,043 | ||||||
HSBC Home Equity Loan Trust USA 2007-3 | ||||||||
1.35%, 11/20/2036 | 688,833 | 689,417 | ||||||
Huntington Auto Trust 2011-1 | ||||||||
1.01%, 01/15/2016 (Acquired 10/28/2013, Cost $124,525) (b) | 124,365 | 124,502 | ||||||
1.31%, 11/15/2016 (Acquired 10/28/2013, Cost $892,888) (b) | 888,000 | 894,032 | ||||||
Huntington Auto Trust 2012-1 | ||||||||
0.81%, 09/15/2016 | 321,527 | 322,144 | ||||||
Hyundai Auto Receivables Trust 2010-B | ||||||||
1.63%, 03/15/2017 | 389,941 | 392,388 | ||||||
Hyundai Auto Receivables Trust 2011-B | ||||||||
1.65%, 02/15/2017 | 443,804 | 445,553 | ||||||
Hyundai Auto Receivables Trust 2014-B | ||||||||
0.90%, 12/17/2018 | 2,104,000 | 2,104,980 | ||||||
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 955 | 954 | ||||||
ING IM CLO 2013-3 Ltd | ||||||||
1.69%, 01/18/2026 (Acquired 11/26/2013, Cost $7,400,000) (b) | 7,400,000 | 7,396,300 | ||||||
2.04%, 01/18/2026 (Acquired 11/26/2013, Cost $8,853,210) (b) | 9,000,000 | 8,809,200 | ||||||
John Deere Owner Trust 2012-B | ||||||||
0.69%, 01/15/2019 | 675,000 | 675,616 | ||||||
John Deere Owner Trust 2014-A | ||||||||
0.45%, 09/15/2016 | 3,000,000 | 3,000,813 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CH1 | ||||||||
0.28%, 07/25/2036 | 6,726,472 | 6,463,890 | ||||||
JP Morgan Mortgage Acquisition Trust 2007-CH1 | ||||||||
0.28%, 11/25/2036 | 330,086 | 328,056 | ||||||
Kgs-alpha Sba Coof Tr 2012-2 Classa 20380825 Flt | ||||||||
0.86%, 08/25/2038 (Acquired 02/19/2014, Cost $669,555) (b) | 15,680,280 | 600,261 | ||||||
Kondaur Mortgage Asset Trust 2013-1 LLC | ||||||||
4.46%, 08/25/2052 (Acquired 10/28/2013, Cost $385,657) (b) | 371,207 | 374,956 | ||||||
KVK CLO 2014-2 Ltd | ||||||||
1.78%, 07/15/2026 | 4,250,000 | 4,242,350 |
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KVK CLO Ltd | ||||||||
1.82%, 05/15/2026 | 7,800,000 | 7,804,493 | ||||||
3.67%, 05/15/2026 | 2,000,000 | 2,014,902 | ||||||
Lake Country Mortgage Loan Trust 2006-HE1 | ||||||||
0.50%, 07/25/2034 (Acquired 10/28/2013, Cost $334,703) (b) | 338,234 | 337,284 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
0.90%, 02/25/2034 | 2,253,000 | 2,121,907 | ||||||
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.01%, 07/25/2034 | 133,265 | 128,146 | ||||||
Long Beach Mortgage Loan Trust 2006-WL2 | ||||||||
0.35%, 01/25/2036 | 109,035 | 102,891 | ||||||
Macquarie Equipment Funding Trust 2012-A | ||||||||
0.61%, 04/20/2015 (Acquired 10/28/2013, Cost $599,928) (b) | 601,246 | 601,062 | ||||||
Madison Avenue Manufactured Housing Contract Trust 2002-A | ||||||||
2.40%, 03/25/2032 | 480,687 | 480,401 | ||||||
Magnetite CLO Ltd | ||||||||
1.70%, 07/25/2026 | 2,250,000 | 2,248,875 | ||||||
Magnetite VIII Ltd | ||||||||
1.71%, 04/15/2026 | 5,750,000 | 5,744,250 | ||||||
Mastr Asset Backed Securities Trust 2005-HE1 | ||||||||
0.87%, 05/25/2035 | 2,000,000 | 1,929,416 | ||||||
Mid-State Capital Corp 2006-1 Trust | ||||||||
6.08%, 10/15/2040 (Acquired 10/28/2013, Cost $1,107,505) (b) | 1,116,438 | 1,150,634 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045 (Acquired 10/28/2013, Cost $595,127) (b) | 578,503 | 595,251 | ||||||
5.25%, 12/15/2045 (Acquired 10/28/2013, Cost $1,079,352) (b) | 1,040,995 | 1,079,728 | ||||||
MMCA Auto Owner Trust 2012-A | ||||||||
1.57%, 08/15/2017 (Acquired 10/28/2013, Cost $2,180,516) (b) | 2,172,393 | 2,191,543 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2004-OP1 | ||||||||
1.02%, 11/25/2034 | 1,737,448 | 1,551,463 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2006-NC3 | ||||||||
0.32%, 03/25/2036 | 3,120,058 | 3,093,893 | ||||||
Nationstar Agency Advance Funding Trust 2013-T1A | ||||||||
1.00%, 02/15/2045 (Acquired 10/28/2013, Cost $1,449,212) (b) | 1,456,000 | 1,453,700 | ||||||
1.25%, 02/15/2045 (Acquired 10/28/2013, Cost $453,929) (b) | 456,000 | 455,553 | ||||||
Nationstar Agency Advance Funding Trust 2013-T2A | ||||||||
1.89%, 02/18/2048 (Acquired 10/28/2013, Cost $372,245) (b) | 381,000 | 372,610 |
Table of Contents
Nationstar Home Equity Loan Trust 2006-B | ||||||||
0.32%, 09/25/2036 | 5,338,189 | 5,319,937 | ||||||
Navitas Equipment Receivables LLC 2013-1 | ||||||||
1.95%, 11/15/2016 (Acquired 10/31/2013, Cost $696,911) (b) | 696,920 | 697,166 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.50%, 11/25/2033 | 403,674 | 415,813 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1 | ||||||||
1.27%, 03/15/2045 (Acquired 03/13/2014, Cost $5,370,999) (b) | 5,371,000 | 5,376,908 | ||||||
Nissan Auto Receivables 2012-A Owner Trust | ||||||||
1.00%, 07/16/2018 | 344,000 | 346,102 | ||||||
Nissan Auto Receivables 2014-A Owner Trust | ||||||||
0.42%, 11/15/2016 | 2,876,000 | 2,876,777 | ||||||
Normandy Mortgage Loan Co 2013-NPL3 LLC | ||||||||
4.95%, 09/16/2043 (Acquired 10/28/2013, Cost $1,551,065) (b) | 1,551,065 | 1,548,738 | ||||||
Oakwood Mortgage Investors Inc | ||||||||
6.45%, 11/15/2017 | 5,134 | 5,352 | ||||||
OnDeck Asset Securitization Trust 2014-1 LLC | ||||||||
3.15%, 05/17/2018 (Acquired 04/30/2014, Cost $2,341,519) (b) | 2,342,000 | 2,342,806 | ||||||
OneMain Financial Issuance Trust 2014-1 | ||||||||
2.43%, 06/18/2024 (Acquired 04/09/2014, Cost $3,390,350) (b) | 3,390,000 | 3,389,932 | ||||||
3.24%, 06/18/2024 (Acquired 04/09/2014, Cost $401,931) (b) | 402,000 | 405,015 | ||||||
Option One Mortgage Loan Trust | ||||||||
0.99%, 02/25/2033 | 20,967 | 19,464 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.05%, 11/25/2034 | 1,691,802 | 1,558,390 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW | ||||||||
1.09%, 10/25/2034 | 1,104,039 | 1,097,028 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
0.71%, 01/25/2036 | 4,800,000 | 4,601,011 | ||||||
PFS Tax Lien Trust 2014-1 | ||||||||
1.44%, 05/15/2029 (Acquired 04/29/2014, Cost $849,308) (b) | 849,350 | 853,337 | ||||||
Progreso Receivables Funding I LLC | ||||||||
4.00%, 07/09/2018 (Acquired 04/25/2014, Cost $1,506,246) (b) | 1,500,000 | 1,507,500 | ||||||
3.50%, 07/08/2019 | 3,000,000 | 3,000,000 |
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RAAC Series 2004-SP1 Trust | ||||||||
5.29%, 08/25/2027 | 20,334 | 20,326 | ||||||
RAMP Series 2003-RS7 Trust | ||||||||
5.34%, 08/25/2033 | 62,667 | �� | 62,879 | |||||
RAMP Series 2004-RS11 Trust | ||||||||
1.08%, 11/25/2034 | 412,755 | 406,632 | ||||||
RAMP Series 2005-EFC5 Trust | ||||||||
0.49%, 10/25/2035 | 389,906 | 386,853 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 01/25/2035 | 25,780 | 25,310 | ||||||
RAMP Series 2006-RZ1 Trust | ||||||||
0.45%, 03/25/2036 | 2,076,941 | 1,977,370 | ||||||
RASC Series 2002-KS4 Trust | ||||||||
0.65%, 07/25/2032 | 5,671 | 4,858 | ||||||
RASC Series 2003-KS2 Trust | ||||||||
3.99%, 04/25/2033 | 82,841 | 82,780 | ||||||
RASC Series 2003-KS5 Trust | ||||||||
0.73%, 07/25/2033 | 7,433 | 6,555 | ||||||
3.62%, 07/25/2033 | 4,808 | 4,631 | ||||||
RASC Series 2003-KS9 Trust | ||||||||
0.79%, 11/25/2033 | 8,378 | 6,893 | ||||||
RASC Series 2004-KS2 Trust | ||||||||
4.30%, 03/25/2034 | 9,563 | 9,672 | ||||||
RASC Series 2005-KS6 Trust | ||||||||
0.77%, 07/25/2035 | 1,550,000 | 1,443,360 | ||||||
RBSHD 2013-1 Trust | ||||||||
4.69%, 10/25/2047 (Acquired 02/20/2014, Cost $1,935,762) (a)(b) | 1,924,076 | 1,951,399 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037 | 314,568 | 178,515 | ||||||
Renaissance Home Equity Loan Trust 2005-3 | ||||||||
4.81%, 11/25/2035 | 269,767 | 273,762 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
0.62%, 07/15/2016 | 233,724 | 233,774 | ||||||
Santander Drive Auto Receivables Trust 2011-1 | ||||||||
2.35%, 11/16/2015 | 13,947 | 13,956 | ||||||
Santander Drive Auto Receivables Trust 2011-S2 | ||||||||
2.06%, 06/15/2017 (Acquired 10/28/2013, Cost $27,969) (b) | 27,957 | 27,959 | ||||||
2.39%, 06/15/2017 (Acquired 10/28/2013, Cost $357,868) (b) | 356,032 | 356,299 |
Table of Contents
Santander Drive Auto Receivables Trust 2012-3 | ||||||||
1.08%, 04/15/2016 | 91,505 | 91,560 | ||||||
Santander Drive Auto Receivables Trust 2012-5 | ||||||||
0.83%, 12/15/2016 | 268,288 | 268,535 | ||||||
Saxon Asset Securities Trust 2003-1 | ||||||||
4.80%, 06/25/2033 | 284,177 | 287,470 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-EC1 | ||||||||
0.77%, 01/25/2035 | 661,512 | 617,600 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-OP2 | ||||||||
0.48%, 10/25/2035 (Acquired 03/13/2014, Cost $2,285,373) (b) | 2,313,570 | 2,280,798 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.54%, 01/25/2036 | 87,754 | 64,831 | ||||||
Selene Non-Performing Loans LLC | ||||||||
2.98%, 05/25/2054 (Acquired 05/23/2014, Cost $1,222,000) (b) | 1,222,000 | 1,222,061 | ||||||
SNAAC Auto Receivables Trust 2013-1 | ||||||||
1.14%, 07/16/2018 (Acquired 10/28/2013, Cost $181,121) (b) | 181,261 | 181,461 | ||||||
SNAAC Auto Receivables Trust 2014-1 | ||||||||
1.03%, 09/17/2018 (Acquired 04/01/2014, Cost $1,744,860) (b) | 1,744,911 | 1,745,188 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
0.82%, 10/25/2035 | 511,430 | 496,983 | ||||||
SpringCastle America Funding LLC | ||||||||
3.75%, 04/03/2021 (Acquired 10/28/2013, Cost $2,469,999) (b) | 2,476,934 | 2,498,374 | ||||||
4.00%, 12/03/2024 (Acquired 03/26/2014, Cost $6,947,449) (b) | 6,941,271 | 6,932,861 | ||||||
Springleaf Funding Trust | ||||||||
2.41%, 12/15/2022 (Acquired 03/19/2014, Cost $6,531,924) (b) | 6,533,000 | 6,544,531 | ||||||
3.45%, 12/15/2022 (Acquired 03/19/2014, Cost $582,820) (b) | 583,000 | 583,869 | ||||||
Springleaf Funding Trust 2013-A | ||||||||
2.58%, 09/15/2021 (Acquired 10/28/2013, Cost $6,313,843) (b) | 6,347,000 | 6,393,511 | ||||||
Springleaf Funding Trust 2013-B | ||||||||
3.92%, 01/16/2023 (Acquired 10/28/2013, Cost $509,550) (b) | 516,000 | 531,305 | ||||||
4.82%, 01/16/2023 (Acquired 10/28/2013 through 12/20/2013, Cost $1,119,313) (b) | 1,140,000 | 1,164,510 | ||||||
Stanwich Mortgage Loan Co 2012-NPL4 LLC | ||||||||
2.98%, 09/15/2042 (Acquired 10/28/2013, Cost $513,795) (b) | 511,723 | 512,509 | ||||||
Stanwich Mortgage Loan Co 2012-NPL5 LLC | ||||||||
2.98%, 10/18/2042 (Acquired 10/28/2013, Cost $6,435) (b) | 6,438 | 6,438 | ||||||
Stanwich Mortgage Loan Trust | ||||||||
2.98%, 02/16/2043 (Acquired 10/28/2013, Cost $1,268,514) (b) | 1,256,742 | 1,259,884 |
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Structured Asset Investment Loan Trust 2004-4 | ||||||||
0.95%, 04/25/2034 | 720,327 | 659,639 | ||||||
Structured Asset Sec Corp Pass Through Cert Series 2002-al1 | ||||||||
3.45%, 02/25/2032 | 81,981 | 81,604 | ||||||
3.45%, 02/25/2032 | 214,892 | 212,201 | ||||||
Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035 | 52,790 | 55,703 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-6XS | ||||||||
5.53%, 03/25/2034 | 329,093 | 340,426 | ||||||
5.55%, 03/25/2034 | 263,189 | 272,801 | ||||||
Structured Asset Secutities Corp Mor Pa Th Ce Se 2002 23XS | ||||||||
6.58%, 11/25/2032 | 138,306 | 143,468 | ||||||
Tidewater Auto Receivables Trust 2014-A | ||||||||
1.40%, 07/15/2018 (Acquired 06/06/2014 through 06/23/2014, Cost $1,900,344) (b) | 1,901,000 | 1,901,890 | ||||||
1.85%, 12/15/2018 (Acquired 06/06/2014, Cost $2,384,719) (b) | 2,385,000 | 2,384,606 | ||||||
Toyota Auto Receivables 2011-A Owner Trust | ||||||||
1.56%, 05/15/2015 | 101,668 | 101,720 | ||||||
Toyota Auto Receivables Owner Trust | ||||||||
0.41%, 08/15/2016 | 2,602,000 | 2,603,668 | ||||||
Trafigura Securitisation Finance PLC | ||||||||
2.55%, 10/15/2015 (Acquired 10/28/2013, Cost $2,581,251) (b) | 2,569,000 | 2,595,830 | ||||||
United Auto Credit Securitization Trust 2012-1 | ||||||||
1.87%, 09/15/2015 (Acquired 02/11/2014, Cost $579,825) (b) | 578,788 | 579,155 | ||||||
US Residential Opportunity Fund Trust | ||||||||
3.47%, 03/25/2034 (Acquired 03/14/2014, Cost $1,844,720) (b) | 1,844,720 | 1,859,570 | ||||||
USAA Auto Owner Trust 2014-1 | ||||||||
0.38%, 10/17/2016 (Acquired 02/25/2014, Cost $1,537,940) (b) | 1,538,000 | 1,538,194 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
3.25%, 11/25/2053 (Acquired 03/14/2014, Cost $8,275,357) (b) | 8,275,357 | 8,295,400 | ||||||
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC | ||||||||
2.88%, 04/27/2054 (Acquired 06/20/2014, Cost $7,489,249) (b) | 7,500,000 | 7,538,250 | ||||||
Volkswagen Auto Lease Trust 2012-A | ||||||||
0.87%, 07/20/2015 | 534,645 | 535,192 | ||||||
VOLT NPL X LLC | ||||||||
3.96%, 11/25/2053 (Acquired 11/4/2013, Cost $575,319) (b) | 575,366 | 578,783 | ||||||
VOLT RLF XII Trust | ||||||||
4.21%, 04/25/2052 (Acquired 12/4/2013, Cost $1,475,463) (b) | 1,475,463 | 1,487,742 |
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VOLT XIX LLC | ||||||||
3.63%, 04/25/2055 (Acquired 11/21/2013, Cost $1,999,289) (b) | 2,006,989 | 2,015,769 | ||||||
VOLT XV LLC | ||||||||
3.25%, 05/26/2054 | 2,654,848 | 2,656,175 | ||||||
VOLT XX LLC | ||||||||
3.63%, 03/25/2054 (Acquired 12/11/2013, Cost $3,784,175) (b) | 3,800,630 | 3,824,384 | ||||||
VOLT XXI LLC | ||||||||
3.63%, 11/25/2053 (Acquired 12/18/2013, Cost $3,157,773) (b) | 3,170,333 | 3,186,033 | ||||||
VOLT XXII LLC | ||||||||
3.63%, 10/27/2053 (Acquired 02/20/2014, Cost $3,125,797) (b) | 3,125,797 | 3,152,367 | ||||||
VOLT XXIII LLC | ||||||||
3.63%, 11/25/2053 (Acquired 02/20/2014, Cost $3,105,458) (b) | 3,105,458 | 3,131,509 | ||||||
Westgate Resorts 2012-1 LLC | ||||||||
4.50%, 09/20/2025 (Acquired 10/28/2013, Cost $886,649) (b) | 873,953 | 882,431 | ||||||
Westgate Resorts 2012-2 LLC | ||||||||
3.00%, 01/20/2025 (Acquired 10/28/2013, Cost $977,713) (b) | 975,691 | 982,716 | ||||||
Westgate Resorts LLC | ||||||||
2.50%, 03/20/2025 (Acquired 10/28/2013, Cost $647,353) (b) | 648,014 | 651,059 | ||||||
World Omni Automobile Lease Securitization Trust 2012-A | ||||||||
0.93%, 11/16/2015 | 136,187 | 136,341 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $473,810,485) | $ | 475,337,376 | ||||||
|
| |||||||
Corporate Bonds - 26.99% | ||||||||
Basic Materials - 1.34% | ||||||||
Agrium Inc | ||||||||
6.13%, 01/15/2041 | $ | 2,850,000 | $ | 3,394,008 | ||||
Anglo American Capital PLC | ||||||||
9.38%, 04/08/2019 (Acquired 10/28/2013, Cost $265,244) (b) | 215,000 | 276,768 | ||||||
BHP Billiton Finance USA Ltd | ||||||||
1.00%, 02/24/2015 | 194,000 | 194,920 | ||||||
5.40%, 03/29/2017 | 165,000 | 184,080 | ||||||
6.50%, 04/01/2019 | 284,000 | 341,775 | ||||||
3.85%, 09/30/2023 | 646,000 | 677,440 | ||||||
5.00%, 09/30/2043 | 3,530,000 | 3,901,303 | ||||||
Dow Chemical Co/The | ||||||||
8.55%, 05/15/2019 | 96,000 | 123,386 | ||||||
4.25%, 11/15/2020 | 499,000 | 542,457 |
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4.13%, 11/15/2021 | 441,000 | 473,283 | ||||||
3.00%, 11/15/2022 | 448,000 | 440,617 | ||||||
7.38%, 11/01/2029 | 339,000 | 451,639 | ||||||
5.25%, 11/15/2041 | 199,000 | 216,562 | ||||||
4.38%, 11/15/2042 | 1,570,000 | 1,498,774 | ||||||
Eastman Chemical Co | ||||||||
4.50%, 01/15/2021 | 5,175,000 | 5,507,178 | ||||||
Ecolab Inc | ||||||||
1.45%, 12/08/2017 | 5,928,000 | 5,935,588 | ||||||
5.50%, 12/08/2041 | 103,000 | 120,128 | ||||||
EI du Pont de Nemours & Co | ||||||||
1.95%, 01/15/2016 | 382,000 | 390,380 | ||||||
6.00%, 07/15/2018 | 516,000 | 602,859 | ||||||
5.60%, 12/15/2036 | 155,000 | 183,584 | ||||||
4.90%, 01/15/2041 | 222,000 | 241,853 | ||||||
Freeport-McMoRan Copper & Gold Inc | ||||||||
2.15%, 03/01/2017 | 1,001,000 | 1,021,682 | ||||||
3.55%, 03/01/2022 | 5,025,000 | 4,976,257 | ||||||
3.88%, 03/15/2023 | 723,000 | 720,799 | ||||||
5.45%, 03/15/2043 | 269,000 | 279,084 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020 (Acquired 11/22/2013, Cost $3,543,388) (b) | 3,160,000 | 3,647,414 | ||||||
3.73%, 07/15/2023 (Acquired 12/10/2013, Cost $5,245,671) (b) | 5,380,000 | 5,511,961 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019 (Acquired 10/28/2013, Cost $519,514) (b) | 537,000 | 535,633 | ||||||
4.13%, 05/30/2023 (Acquired 12/02/2013, Cost $51,602) (b) | 54,000 | 54,235 | ||||||
Goldcorp Inc | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,830,601 | ||||||
International Paper Co | ||||||||
6.00%, 11/15/2041 | 3,150,000 | 3,711,913 | ||||||
Lubrizol Corp | ||||||||
8.88%, 02/01/2019 | 1,205,000 | 1,547,564 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 832,269 | ||||||
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/2019 | 3,690,000 | 4,162,232 |
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MeadWestvaco Corp | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,993,683 | ||||||
Monsanto Co | ||||||||
2.75%, 07/15/2021 | 622,000 | 621,757 | ||||||
3.38%, 07/15/2024 | 870,000 | 875,751 | ||||||
4.20%, 07/15/2034 | 665,000 | 671,168 | ||||||
4.40%, 07/15/2044 | 605,000 | 606,329 | ||||||
4.70%, 07/15/2064 | 121,000 | 121,468 | ||||||
Mosaic Co/The | ||||||||
3.75%, 11/15/2021 | 1,227,000 | 1,276,177 | ||||||
4.25%, 11/15/2023 | 746,000 | 787,520 | ||||||
5.45%, 11/15/2033 | 814,000 | 912,116 | ||||||
4.88%, 11/15/2041 | 52,000 | 53,069 | ||||||
5.63%, 11/15/2043 | 2,650,000 | 3,019,731 | ||||||
Nucor Corp | ||||||||
4.00%, 08/01/2023 | 176,000 | 182,351 | ||||||
Placer Dome Inc | ||||||||
6.45%, 10/15/2035 | 203,000 | 216,930 | ||||||
Plum Creek Timberlands LP | ||||||||
5.88%, 11/15/2015 | 468,000 | 496,865 | ||||||
Potash Corp of Saskatchewan Inc | ||||||||
3.25%, 12/01/2017 | 31,000 | 32,719 | ||||||
6.50%, 05/15/2019 | 392,000 | 469,827 | ||||||
PPG Industries Inc | ||||||||
6.65%, 03/15/2018 | 645,000 | 751,262 | ||||||
9.00%, 05/01/2021 | 217,000 | 284,190 | ||||||
5.50%, 11/15/2040 | 118,000 | 139,579 | ||||||
Praxair Inc | ||||||||
4.63%, 03/30/2015 | 196,000 | 202,242 | ||||||
5.20%, 03/15/2017 | 50,000 | 55,436 | ||||||
Rio Tinto Alcan Inc | ||||||||
5.75%, 06/01/2035 | 54,000 | 61,263 | ||||||
Rio Tinto Finance USA Ltd | ||||||||
9.00%, 05/01/2019 | 797,000 | 1,044,907 | ||||||
3.50%, 11/02/2020 | 132,000 | 138,109 | ||||||
3.75%, 09/20/2021 | 388,000 | 408,643 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.63%, 08/21/2017 | 461,000 | 466,414 |
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Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023 (Acquired 10/28/2013, Cost $537,643) (b) | 537,000 | 563,689 | ||||||
Union Carbide Corp | ||||||||
7.50%, 06/01/2025 | 624,000 | 794,157 | ||||||
7.75%, 10/01/2096 | 681,000 | 838,035 | ||||||
Vale Overseas Ltd | ||||||||
4.38%, 01/11/2022 | 5,000,000 | 5,133,500 | ||||||
8.25%, 01/17/2034 | 424,000 | 528,099 | ||||||
6.88%, 11/21/2036 | 167,000 | 184,876 | ||||||
6.88%, 11/10/2039 | 107,000 | 118,828 | ||||||
Westvaco Corp | ||||||||
9.75%, 06/15/2020 | 17,000 | 22,174 | ||||||
8.20%, 01/15/2030 | 537,000 | 705,196 | ||||||
Xstrata Finance Canada Ltd | ||||||||
5.80%, 11/15/2016 (Acquired 10/28/2013 through 11/26/2013, Cost $203,420) (b) | 188,000 | 206,864 | ||||||
3.60%, 01/15/2017 (Acquired 02/06/2014, Cost $6,282,340) (b) | 6,016,000 | 6,311,752 | ||||||
4.25%, 10/25/2022 (Acquired 11/20/2013, Cost $4,807,145) (b) | 5,000,000 | 5,064,080 | ||||||
Yara International ASA | ||||||||
5.25%, 12/15/2014 (Acquired 10/28/2013, Cost $687,477) (b) | 676,000 | 690,118 | ||||||
|
| |||||||
93,581,100 | ||||||||
|
| |||||||
Communications - 2.44% | ||||||||
21st Century Fox America Inc | ||||||||
8.00%, 10/17/2016 | 114,000 | 131,737 | ||||||
7.25%, 05/18/2018 | 203,000 | 244,003 | ||||||
3.00%, 09/15/2022 | 380,000 | 374,114 | ||||||
8.88%, 04/26/2023 | 108,000 | 145,566 | ||||||
9.50%, 07/15/2024 | 175,000 | 238,771 | ||||||
7.30%, 04/30/2028 | 454,000 | 573,721 | ||||||
7.63%, 11/30/2028 | 310,000 | 404,273 | ||||||
6.20%, 12/15/2034 | 258,000 | 315,845 | ||||||
6.65%, 11/15/2037 | 310,000 | 393,619 | ||||||
6.90%, 08/15/2039 | 155,000 | 202,753 | ||||||
6.15%, 02/15/2041 | 3,790,000 | 4,593,340 | ||||||
America Movil SAB de CV | ||||||||
2.38%, 09/08/2016 | 441,000 | 453,450 | ||||||
5.00%, 10/16/2019 | 3,500,000 | 3,934,910 | ||||||
5.00%, 03/30/2020 | 7,300,000 | 8,093,291 | ||||||
3.13%, 07/16/2022 | 374,000 | 368,016 | ||||||
6.13%, 03/30/2040 | 283,000 | 333,323 |
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AT&T Inc | ||||||||
0.90%, 02/12/2016 | 329,000 | 329,871 | ||||||
5.63%, 06/15/2016 | 237,000 | 258,945 | ||||||
5.50%, 02/01/2018 | 543,000 | 614,483 | ||||||
4.45%, 05/15/2021 | 722,000 | 792,805 | ||||||
3.88%, 08/15/2021 | 134,000 | 142,556 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,879,697 | ||||||
6.30%, 01/15/2038 | 743,000 | 899,162 | ||||||
5.35%, 09/01/2040 | 1,094,000 | 1,189,966 | ||||||
4.30%, 12/15/2042 | 1,122,000 | 1,062,102 | ||||||
4.80%, 06/15/2044 | 5,695,000 | 5,813,792 | ||||||
4.35%, 06/15/2045 | 511,000 | 484,386 | ||||||
BellSouth Corp | ||||||||
5.20%, 09/15/2014 | 604,000 | 609,899 | ||||||
BellSouth Telecommunications LLC | ||||||||
6.30%, 12/15/2015 | 58,000 | 59,391 | ||||||
British Telecommunications PLC | ||||||||
5.95%, 01/15/2018 | 289,000 | 330,553 | ||||||
2.35%, 02/14/2019 | 220,000 | 221,828 | ||||||
9.63%, 12/15/2030 | 721,000 | 1,148,375 | ||||||
CBS Corp | ||||||||
1.95%, 07/01/2017 | 4,840,000 | 4,920,431 | ||||||
8.88%, 05/15/2019 | 181,000 | 234,649 | ||||||
5.75%, 04/15/2020 | 147,000 | 170,352 | ||||||
4.30%, 02/15/2021 | 155,000 | 166,853 | ||||||
7.88%, 09/01/2023 | 129,000 | 164,552 | ||||||
7.88%, 07/30/2030 | 622,000 | 835,832 | ||||||
5.50%, 05/15/2033 | 77,000 | 84,445 | ||||||
5.90%, 10/15/2040 | 67,000 | 76,515 | ||||||
Centel Capital Corp | ||||||||
9.00%, 10/15/2019 | 464,000 | 564,626 | ||||||
CenturyLink Inc | ||||||||
5.15%, 06/15/2017 | 322,000 | 347,760 | ||||||
Cisco Systems Inc | ||||||||
5.50%, 02/22/2016 | 155,000 | 167,514 |
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2.90%, 03/04/2021 | 186,000 | 188,855 | ||||||
3.63%, 03/04/2024 | 550,000 | 565,320 | ||||||
5.90%, 02/15/2039 | 515,000 | 628,655 | ||||||
5.50%, 01/15/2040 | 481,000 | 560,053 | ||||||
Comcast Cable Communications Holdings Inc | ||||||||
9.46%, 11/15/2022 | 542,000 | 787,795 | ||||||
Comcast Cable Communications LLC | ||||||||
8.88%, 05/01/2017 | 103,000 | 125,239 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 259,768 | ||||||
Comcast Corp | ||||||||
5.90%, 03/15/2016 | 134,000 | 145,882 | ||||||
6.50%, 01/15/2017 | 103,000 | 117,159 | ||||||
4.25%, 01/15/2033 | 1,895,000 | 1,946,610 | ||||||
6.50%, 11/15/2035 | 1,342,000 | 1,738,573 | ||||||
6.45%, 03/15/2037 | 310,000 | 395,403 | ||||||
6.95%, 08/15/2037 | 107,000 | 144,240 | ||||||
4.50%, 01/15/2043 | 1,765,000 | 1,799,365 | ||||||
Cox Communications Inc | ||||||||
5.45%, 12/15/2014 | 86,000 | 87,894 | ||||||
3.25%, 12/15/2022 (Acquired 10/28/2013, Cost $318,576) (b) | 348,000 | 340,780 | ||||||
8.38%, 03/01/2039 (Acquired 10/28/2013, Cost $164,897) (b) | 134,000 | 187,742 | ||||||
Cox Enterprises Inc | ||||||||
7.38%, 07/15/2027 (Acquired 10/28/2013, Cost $319,834) (b) | 273,000 | 340,037 | ||||||
Crown Castle Towers LLC | ||||||||
3.21%, 08/15/2015 (Acquired 10/28/2013, Cost $290,350) (b) | 287,000 | 291,576 | ||||||
Deutsche Telekom International Finance BV | ||||||||
4.88%, 07/08/2014 | 433,000 | 433,268 | ||||||
2.25%, 03/06/2017 (Acquired 10/28/2013 through 12/11/2013, Cost $4,615,130) (b) | 4,529,000 | 4,646,351 | ||||||
6.00%, 07/08/2019 | 209,000 | 245,260 | ||||||
8.75%, 06/15/2030 | 648,000 | 947,696 | ||||||
4.88%, 03/06/2042 (Acquired 10/28/2013, Cost $233,048) (b) | 240,000 | 251,040 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co Inc | ||||||||
4.60%, 02/15/2021 | 578,000 | 631,079 | ||||||
5.00%, 03/01/2021 | 446,000 | 497,879 | ||||||
3.80%, 03/15/2022 | 619,000 | 639,189 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,424,710 | ||||||
6.38%, 03/01/2041 | 329,000 | 397,982 | ||||||
5.15%, 03/15/2042 | 40,000 | 42,005 |
Table of Contents
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 813,994 | ||||||
4.95%, 05/15/2042 | 261,000 | 266,169 | ||||||
eBay Inc | ||||||||
2.60%, 07/15/2022 | 236,000 | 226,102 | ||||||
4.00%, 07/15/2042 | 213,000 | 190,365 | ||||||
GTE Corp | ||||||||
8.75%, 11/01/2021 | 114,000 | 151,089 | ||||||
6.94%, 04/15/2028 | 351,000 | 437,565 | ||||||
GTP Acquisition Partners I LLC | ||||||||
4.35%, 06/15/2016 (Acquired 10/28/2013, Cost $1,148,804) (b) | 1,087,000 | 1,124,219 | ||||||
Historic TW Inc | ||||||||
9.15%, 02/01/2023 | 347,000 | 480,683 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 772,465 | ||||||
6.40%, 04/30/2040 | 372,000 | 476,922 | ||||||
5.95%, 04/01/2041 | 527,000 | 647,031 | ||||||
New Cingular Wireless Services Inc | ||||||||
8.75%, 03/01/2031 | 1,140,000 | 1,698,421 | ||||||
Nippon Telegraph & Telephone Corp | ||||||||
1.40%, 07/18/2017 | 237,000 | 238,400 | ||||||
Orange SA | ||||||||
2.75%, 09/14/2016 | 437,000 | 453,359 | ||||||
2.75%, 02/06/2019 | 3,000,000 | 3,073,062 | ||||||
8.75%, 03/01/2031 | 655,000 | 985,807 | ||||||
Qwest Corp | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 4,475,823 | ||||||
Rogers Communications Inc | ||||||||
4.10%, 10/01/2023 | 955,000 | 995,584 | ||||||
8.75%, 05/01/2032 | 258,000 | 362,450 | ||||||
SK Telecom Co Ltd | ||||||||
6.63%, 07/20/2027 (Acquired 10/28/2013 through 11/27/2013, Cost $434,946) (b) | 361,000 | 453,926 | ||||||
Sprint Capital Corp | ||||||||
6.90%, 05/01/2019 | 301,000 | 331,853 | ||||||
8.75%, 03/15/2032 | 38,000 | 43,890 |
Table of Contents
TCI Communications Inc | ||||||||
8.75%, 08/01/2015 | 44,000 | 47,947 | ||||||
7.13%, 02/15/2028 | 138,000 | 183,346 | ||||||
Telecom Italia Capital SA | ||||||||
7.00%, 06/04/2018 | 5,000,000 | 5,737,500 | ||||||
7.18%, 06/18/2019 | 215,000 | 248,594 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,820,730 | ||||||
Telefonica Emisiones SAU | ||||||||
6.42%, 06/20/2016 | 468,000 | 515,217 | ||||||
6.22%, 07/03/2017 | 545,000 | 616,742 | ||||||
3.19%, 04/27/2018 | 221,000 | 230,962 | ||||||
5.88%, 07/15/2019 | 490,000 | 568,100 | ||||||
5.46%, 02/16/2021 | 233,000 | 264,564 | ||||||
Thomson Reuters Corp | ||||||||
4.70%, 10/15/2019 | 222,000 | 245,808 | ||||||
3.95%, 09/30/2021 | 934,000 | 977,938 | ||||||
4.50%, 05/23/2043 | 312,000 | 296,517 | ||||||
Time Warner Cable Inc | ||||||||
5.85%, 05/01/2017 | 100,000 | 112,467 | ||||||
6.75%, 07/01/2018 | 5,490,000 | 6,496,372 | ||||||
8.75%, 02/14/2019 | 184,000 | 235,975 | ||||||
8.25%, 04/01/2019 | 222,000 | 281,303 | ||||||
6.55%, 05/01/2037 | 375,000 | 466,609 | ||||||
7.30%, 07/01/2038 | 253,000 | 340,341 | ||||||
6.75%, 06/15/2039 | 539,000 | 694,666 | ||||||
5.88%, 11/15/2040 | 475,000 | 554,069 | ||||||
5.50%, 09/01/2041 | 385,000 | 430,695 | ||||||
Time Warner Entertainment Co LP | ||||||||
8.38%, 03/15/2023 | 208,000 | 281,307 | ||||||
8.38%, 07/15/2033 | 671,000 | 984,442 | ||||||
Time Warner Inc | ||||||||
4.75%, 03/29/2021 | 585,000 | 648,675 | ||||||
4.00%, 01/15/2022 | 900,000 | 949,023 | ||||||
3.55%, 06/01/2024 | 3,600,000 | 3,574,328 | ||||||
7.63%, 04/15/2031 | 4,513,000 | 6,200,898 | ||||||
7.70%, 05/01/2032 | 842,000 | 1,169,238 | ||||||
6.50%, 11/15/2036 | 257,000 | 314,490 |
Table of Contents
6.20%, 03/15/2040 | 323,000 | 383,983 | ||||||
6.25%, 03/29/2041 | 170,000 | 204,570 | ||||||
5.38%, 10/15/2041 | 181,000 | 196,732 | ||||||
4.65%, 06/01/2044 | 4,275,000 | 4,193,694 | ||||||
Verizon Communications Inc | ||||||||
2.50%, 09/15/2016 | 199,000 | 205,118 | ||||||
1.35%, 06/09/2017 | 889,000 | 888,703 | ||||||
4.50%, 09/15/2020 | 1,070,000 | 1,176,991 | ||||||
5.15%, 09/15/2023 | 1,030,000 | 1,152,666 | ||||||
7.75%, 12/01/2030 | 1,817,000 | 2,491,865 | ||||||
6.40%, 09/15/2033 | 16,483,000 | 20,190,653 | ||||||
5.85%, 09/15/2035 | 149,000 | 174,045 | ||||||
6.40%, 02/15/2038 | 114,000 | 139,232 | ||||||
7.35%, 04/01/2039 | 454,000 | 606,064 | ||||||
6.55%, 09/15/2043 | 9,020,000 | 11,351,138 | ||||||
Verizon Maryland LLC | ||||||||
5.13%, 06/15/2033 | 103,000 | 104,946 | ||||||
Verizon New England Inc | ||||||||
7.88%, 11/15/2029 | 279,000 | 355,699 | ||||||
Verizon New York Inc | ||||||||
7.38%, 04/01/2032 | 91,000 | 112,778 | ||||||
Verizon Pennsylvania LLC | ||||||||
6.00%, 12/01/2028 | 439,000 | 477,734 | ||||||
8.35%, 12/15/2030 | 540,000 | 703,106 | ||||||
Viacom Inc | ||||||||
1.25%, 02/27/2015 | 173,000 | 173,967 | ||||||
4.50%, 03/01/2021 | 62,000 | 67,669 | ||||||
3.88%, 12/15/2021 | 581,000 | 608,533 | ||||||
3.13%, 06/15/2022 | 224,000 | 219,952 | ||||||
3.25%, 03/15/2023 | 69,000 | 68,116 | ||||||
4.50%, 02/27/2042 | 209,000 | 199,454 | ||||||
4.38%, 03/15/2043 | 718,000 | 666,487 | ||||||
Vodafone Group PLC | ||||||||
1.63%, 03/20/2017 | 857,000 | 863,904 | ||||||
1.50%, 02/19/2018 | 784,000 | 778,780 | ||||||
5.45%, 06/10/2019 | 78,000 | 89,488 | ||||||
|
| |||||||
171,213,586 | ||||||||
|
|
Table of Contents
Consumer, Cyclical - 1.08% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 10/28/2013, Cost $371,238) (b) | 388,508 | 393,365 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 01/31/2021 | 140,500 | 152,794 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 01/15/2023 (Acquired 10/28/2013 through 11/20/2013, Cost $5,224,674) (b) | 4,991,740 | 5,403,558 | ||||||
Arrow Electronics Inc | ||||||||
3.38%, 11/01/2015 | 336,000 | 346,747 | ||||||
3.00%, 03/01/2018 | 197,000 | 203,678 | ||||||
6.88%, 06/01/2018 | 279,000 | 322,996 | ||||||
6.00%, 04/01/2020 | 478,000 | 535,478 | ||||||
4.50%, 03/01/2023 | 183,000 | 191,262 | ||||||
7.50%, 01/15/2027 | 992,000 | 1,224,440 | ||||||
Continental Airlines 1997-4 Class A Pass Through Trust | ||||||||
6.90%, 01/02/2018 | 22,761 | 24,468 | ||||||
Continental Airlines 1999-2 Class A-1 Pass Through Trust | ||||||||
7.26%, 03/15/2020 | 44,824 | 50,875 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 5,080,933 | 5,690,645 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 212,789 | 217,045 | ||||||
CVS Caremark Corp | ||||||||
4.00%, 12/05/2023 | 6,000,000 | 6,278,796 | ||||||
6.13%, 09/15/2039 | 206,000 | 256,506 | ||||||
5.75%, 05/15/2041 | 701,000 | 840,518 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,685,319 | ||||||
CVS Pass-Through Trust | ||||||||
5.93%, 01/10/2034 (Acquired 10/28/2013, Cost $777,651) (b) | 703,073 | 803,283 | ||||||
Daimler Finance North America LLC | ||||||||
1.65%, 04/10/2015 (Acquired 10/28/2013, Cost $1,195,786) (b) | 1,189,000 | 1,200,463 | ||||||
2.63%, 09/15/2016 (Acquired 10/28/2013, Cost $555,993) (b) | 542,000 | 560,002 | ||||||
2.95%, 01/11/2017 (Acquired 10/28/2013, Cost $1,042,600) (b) | 1,011,000 | 1,051,405 | ||||||
1.88%, 01/11/2018 (Acquired 10/28/2013 through 12/10/2013, Cost $3,075,244) (b) | 3,080,000 | 3,107,892 | ||||||
2.38%, 08/01/2018 (Acquired 10/28/2013, Cost $196,024) (b) | 195,000 | 199,742 | ||||||
2.25%, 07/31/2019 (Acquired 11/19/2013 through 11/20/2013, Cost $3,215,205) (b) | 3,250,000 | 3,276,523 | ||||||
2.88%, 03/10/2021 (Acquired 03/03/2014, Cost $698,677) (b) | 700,000 | 705,893 | ||||||
8.50%, 01/18/2031 | 155,000 | 235,117 |
Table of Contents
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 3,292,057 | 3,884,628 | ||||||
Delta Air Lines 2010-2 Class A Pass Through Trust | ||||||||
4.95%, 05/23/2019 | 340,798 | 371,469 | ||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 113,319 | 124,934 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 05/07/2020 | 363,201 | 394,073 | ||||||
DR Horton Inc | ||||||||
6.50%, 04/15/2016 | 107,000 | 115,828 | ||||||
Ford Motor Co | ||||||||
4.75%, 01/15/2043 | 6,130,000 | 6,197,363 | ||||||
Gap Inc/The | ||||||||
5.95%, 04/12/2021 | 391,000 | 452,498 | ||||||
Home Depot Inc/The | ||||||||
5.40%, 03/01/2016 | 475,000 | 512,569 | ||||||
4.40%, 04/01/2021 | 77,000 | 86,300 | ||||||
5.88%, 12/16/2036 | 5,490,000 | 6,790,998 | ||||||
4.40%, 03/15/2045 | 268,000 | 272,074 | ||||||
Johnson Controls Inc | ||||||||
4.25%, 03/01/2021 | 344,000 | 371,048 | ||||||
3.75%, 12/01/2021 | 475,000 | 496,062 | ||||||
3.63%, 07/02/2024 | 161,000 | 161,709 | ||||||
6.00%, 01/15/2036 | 107,000 | 128,325 | ||||||
5.25%, 12/01/2041 | 722,000 | 797,589 | ||||||
4.95%, 07/02/2064 | 1,380,000 | 1,397,961 | ||||||
Kohl’s Corp | ||||||||
6.25%, 12/15/2017 | 103,000 | 118,632 | ||||||
Lowe’s Cos Inc | ||||||||
7.11%, 05/15/2037 | 361,000 | 482,121 | ||||||
5.13%, 11/15/2041 | 238,000 | 265,171 | ||||||
4.65%, 04/15/2042 | 449,000 | 471,125 | ||||||
Macy’s Retail Holdings Inc | ||||||||
7.45%, 07/15/2017 | 134,000 | 157,330 | ||||||
2.88%, 02/15/2023 | 421,000 | 404,114 | ||||||
4.38%, 09/01/2023 | 192,000 | 203,466 | ||||||
5.13%, 01/15/2042 | 101,000 | 107,134 |
Table of Contents
Nissan Motor Acceptance Corp | ||||||||
1.80%, 03/15/2018 (Acquired 10/28/2013, Cost $716,225) (b) | 727,000 | 727,261 | ||||||
2.65%, 09/26/2018 (Acquired 02/25/2014, Cost $506,925) (b) | 500,000 | 513,128 | ||||||
Nordstrom Inc | ||||||||
4.00%, 10/15/2021 | 398,000 | 426,038 | ||||||
PACCAR Financial Corp | ||||||||
1.60%, 03/15/2017 | 407,000 | 412,021 | ||||||
0.83%, 12/06/2018 | 3,000,000 | 3,027,504 | ||||||
Target Corp | ||||||||
6.00%, 01/15/2018 | 217,000 | 249,861 | ||||||
3.50%, 07/01/2024 | 355,000 | 359,006 | ||||||
Toyota Motor Credit Corp | ||||||||
3.20%, 06/17/2015 | 572,000 | 587,712 | ||||||
2.00%, 09/15/2016 | 1,600,000 | 1,641,321 | ||||||
2.05%, 01/12/2017 | 402,000 | 412,940 | ||||||
1.75%, 05/22/2017 | 516,000 | 525,921 | ||||||
US Airways 1998-1A Pass Through Trust | ||||||||
6.85%, 01/30/2018 | 25,592 | 27,639 | ||||||
Walgreen Co | ||||||||
3.10%, 09/15/2022 | 871,000 | 855,717 | ||||||
Wal-Mart Stores Inc | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 3,860,312 | ||||||
7.55%, 02/15/2030 | 72,000 | 102,414 | ||||||
5.25%, 09/01/2035 | 124,000 | 143,467 | ||||||
6.20%, 04/15/2038 | 108,000 | 138,179 | ||||||
|
| |||||||
75,733,772 | ||||||||
|
| |||||||
Consumer, Non-cyclical - 2.62% | ||||||||
AbbVie Inc | ||||||||
1.75%, 11/06/2017 | 866,000 | 870,723 | ||||||
2.90%, 11/06/2022 | 574,000 | 555,078 | ||||||
Actavis Funding SCS | ||||||||
3.85%, 06/15/2024 (Acquired 06/10/2014, Cost $535,972) (b) | 538,000 | 543,838 | ||||||
4.85%, 06/15/2044 (Acquired 06/11/2014, Cost $3,216,704) (b) | 3,240,000 | 3,270,615 | ||||||
Actavis Inc | ||||||||
3.25%, 10/01/2022 | 271,000 | 266,251 |
Table of Contents
ADT Corp/The | ||||||||
3.50%, 07/15/2022 | 577,000 | 525,070 | ||||||
4.13%, 06/15/2023 | 217,000 | 200,182 | ||||||
4.88%, 07/15/2042 | 323,000 | 269,705 | ||||||
Aetna Inc | ||||||||
6.50%, 09/15/2018 | 4,000,000 | 4,729,120 | ||||||
6.75%, 12/15/2037 | 341,000 | 453,227 | ||||||
4.50%, 05/15/2042 | 205,000 | 208,571 | ||||||
Amgen Inc | ||||||||
5.70%, 02/01/2019 | 204,000 | 236,009 | ||||||
4.50%, 03/15/2020 | 123,000 | 133,273 | ||||||
3.88%, 11/15/2021 | 722,000 | 761,930 | ||||||
5.75%, 03/15/2040 | 4,215,000 | 4,892,018 | ||||||
4.95%, 10/01/2041 | 464,000 | 488,323 | ||||||
5.15%, 11/15/2041 | 1,496,000 | 1,605,259 | ||||||
5.65%, 06/15/2042 | 522,000 | 595,403 | ||||||
5.38%, 05/15/2043 | 1,650,000 | 1,820,742 | ||||||
Anheuser-Busch Cos LLC | ||||||||
5.50%, 01/15/2018 | 103,000 | 117,031 | ||||||
5.75%, 04/01/2036 | 114,000 | 137,560 | ||||||
Anheuser-Busch InBev Finance Inc | ||||||||
3.70%, 02/01/2024 | 960,000 | 985,253 | ||||||
Anheuser-Busch InBev Worldwide Inc | ||||||||
7.75%, 01/15/2019 | 728,000 | 899,396 | ||||||
Archer-Daniels-Midland Co | ||||||||
5.94%, 10/01/2032 | 227,000 | 277,822 | ||||||
Baxter International Inc | ||||||||
4.63%, 03/15/2015 | 52,000 | 53,558 | ||||||
1.85%, 06/15/2018 | 183,000 | 183,280 | ||||||
3.65%, 08/15/2042 | 1,900,000 | 1,677,000 | ||||||
Becton Dickinson and Co | ||||||||
5.00%, 05/15/2019 | 72,000 | 81,545 | ||||||
Bunge Ltd Finance Corp | ||||||||
5.10%, 07/15/2015 | 138,000 | 143,738 | ||||||
3.20%, 06/15/2017 | 4,010,000 | 4,180,966 | ||||||
8.50%, 06/15/2019 | 4,456,000 | 5,599,512 | ||||||
Bunge NA Finance LP | ||||||||
5.90%, 04/01/2017 | 470,000 | 521,543 |
Table of Contents
Cargill Inc | ||||||||
6.00%, 11/27/2017 (Acquired 10/28/2013, Cost $181,163) (b) | 160,000 | 182,508 | ||||||
7.35%, 03/06/2019 (Acquired 10/28/2013, Cost $354,982) (b) | 294,000 | 354,261 | ||||||
4.31%, 05/14/2021 (Acquired 10/28/2013, Cost $299,277) (b) | 281,000 | 308,641 | ||||||
3.30%, 03/01/2022 (Acquired 12/28/2013, Cost $791,780) (b) | 800,000 | 799,116 | ||||||
Celgene Corp | ||||||||
3.25%, 08/15/2022 | 1,020,000 | 1,017,739 | ||||||
4.00%, 08/15/2023 | 298,000 | 310,339 | ||||||
3.63%, 05/15/2024 | 440,000 | 441,028 | ||||||
Cigna Corp | ||||||||
5.38%, 02/15/2042 | 3,040,000 | 3,467,774 | ||||||
Coca-Cola Co/The | ||||||||
4.88%, 03/15/2019 | 160,000 | 182,112 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.38%, 11/26/2018 | 9,890,000 | 10,009,214 | ||||||
ConAgra Foods Inc | ||||||||
1.30%, 01/25/2016 | 235,000 | 236,953 | ||||||
5.82%, 06/15/2017 | 644,000 | 723,734 | ||||||
2.10%, 03/15/2018 | 238,000 | 238,760 | ||||||
4.95%, 08/15/2020 | 215,000 | 238,277 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 2,282,583 | ||||||
7.00%, 10/01/2028 | 1,250,000 | 1,591,770 | ||||||
Diageo Capital PLC | ||||||||
1.50%, 05/11/2017 | 405,000 | 409,637 | ||||||
4.83%, 07/15/2020 | 287,000 | 323,536 | ||||||
Diageo Finance BV | ||||||||
5.30%, 10/28/2015 | 222,000 | 235,980 | ||||||
Diageo Investment Corp | ||||||||
8.00%, 09/15/2022 | 516,000 | 675,674 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 03/15/2017 (Acquired 10/28/2013, Cost $282,375) (b) | 275,000 | 283,604 | ||||||
6.38%, 10/15/2017 (Acquired 10/28/2013, Cost $46,703) (b) | 41,000 | 47,156 | ||||||
2.80%, 11/01/2018 (Acquired 01/07/2014, Cost $4,957,218) (b) | 4,875,000 | 5,035,051 | ||||||
4.50%, 08/16/2021 (Acquired 10/28/2013, Cost $420,834) (b) | 400,000 | 435,195 | ||||||
6.70%, 06/01/2034 (Acquired 10/28/2013, Cost $583,345) (b) | 508,000 | 635,823 | ||||||
5.63%, 03/15/2042 (Acquired 10/28/2013, Cost $369,088) (b) | 357,000 | 403,844 |
Table of Contents
Express Scripts Holding Co | ||||||||
2.65%, 02/15/2017 | 7,518,000 | 7,810,473 | ||||||
4.75%, 11/15/2021 | 4,000,000 | 4,427,124 | ||||||
3.50%, 06/15/2024 | 897,000 | 887,603 | ||||||
FBG Finance Pty Ltd | ||||||||
5.13%, 06/15/2015 (Acquired 10/28/2013, Cost $426,372) (b) | 410,000 | 426,938 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 489,059 | ||||||
Gilead Sciences Inc | ||||||||
3.70%, 04/01/2024 | 900,000 | 923,491 | ||||||
5.65%, 12/01/2041 | 2,910,000 | 3,429,144 | ||||||
GlaxoSmithKline Capital Inc | ||||||||
5.65%, 05/15/2018 | 320,000 | 367,010 | ||||||
6.38%, 05/15/2038 | 217,000 | 280,692 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024 (Acquired 06/27/2014, Cost $3,004,920) (b) | 3,000,000 | 2,994,060 | ||||||
Heineken NV | ||||||||
1.40%, 10/01/2017 (Acquired 10/28/2013, Cost $296,090) (b) | 299,000 | 298,856 | ||||||
Hospira Inc | ||||||||
6.05%, 03/30/2017 | 537,000 | 592,426 | ||||||
Humana Inc | ||||||||
7.20%, 06/15/2018 | 215,000 | 255,394 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,151,000 | ||||||
4.50%, 12/05/2043 | 3,650,000 | 3,921,943 | ||||||
Kellogg Co | ||||||||
1.75%, 05/17/2017 | 262,000 | 265,115 | ||||||
3.25%, 05/21/2018 | 234,000 | 246,320 | ||||||
Kimberly-Clark Corp | ||||||||
7.50%, 11/01/2018 | 52,000 | 64,135 | ||||||
2.40%, 03/01/2022 | 140,000 | 136,482 | ||||||
Kraft Foods Group Inc | ||||||||
6.13%, 08/23/2018 | 531,000 | 616,314 | ||||||
5.38%, 02/10/2020 | 318,000 | 361,707 | ||||||
3.50%, 06/06/2022 | 588,000 | 603,738 | ||||||
6.88%, 01/26/2039 | 1,049,000 | 1,372,000 | ||||||
6.50%, 02/09/2040 | 310,000 | 393,120 | ||||||
5.00%, 06/04/2042 | 505,000 | 539,894 |
Table of Contents
Kroger Co/The | ||||||||
2.20%, 01/15/2017 | 399,000 | 409,414 | ||||||
6.40%, 08/15/2017 | 62,000 | 71,028 | ||||||
6.15%, 01/15/2020 | 206,000 | 241,857 | ||||||
4.00%, 02/01/2024 | 63,000 | 65,357 | ||||||
7.50%, 04/01/2031 | 1,271,000 | 1,674,985 | ||||||
5.40%, 07/15/2040 | 95,000 | 104,778 | ||||||
5.00%, 04/15/2042 | 1,434,000 | 1,515,689 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,755,556 | ||||||
McKesson Corp | ||||||||
0.95%, 12/04/2015 | 144,000 | 144,581 | ||||||
Medco Health Solutions Inc | ||||||||
2.75%, 09/15/2015 | 223,000 | 228,332 | ||||||
Merck & Co Inc | ||||||||
1.30%, 05/18/2018 | 107,000 | 105,937 | ||||||
2.40%, 09/15/2022 | 376,000 | 362,600 | ||||||
2.80%, 05/18/2023 | 361,000 | 352,756 | ||||||
4.15%, 05/18/2043 | 4,000,000 | 3,914,292 | ||||||
Mondelez International Inc | ||||||||
2.25%, 02/01/2019 | 6,550,000 | 6,594,841 | ||||||
5.38%, 02/10/2020 | 1,161,000 | 1,334,570 | ||||||
4.00%, 02/01/2024 | 1,590,000 | 1,646,911 | ||||||
Mylan Inc/PA | ||||||||
6.00%, 11/15/2018 (Acquired 12/26/2013, Cost $692,882) (b) | 662,000 | 692,412 | ||||||
2.55%, 03/28/2019 | 600,000 | 604,397 | ||||||
7.88%, 07/15/2020 (Acquired 11/18/2013, Cost $5,522,973) (b) | 5,000,000 | 5,534,295 | ||||||
Novartis Capital Corp | ||||||||
2.40%, 09/21/2022 | 6,440,000 | 6,203,195 | ||||||
3.40%, 05/06/2024 | 922,000 | 933,852 | ||||||
PepsiCo Inc | ||||||||
0.80%, 08/25/2014 | 96,000 | 96,089 | ||||||
1.25%, 08/13/2017 | 1,175,000 | 1,178,880 | ||||||
7.90%, 11/01/2018 | 24,000 | 29,874 | ||||||
3.00%, 08/25/2021 | 258,000 | 261,884 | ||||||
Perrigo Co PLC | ||||||||
2.30%, 11/08/2018 (Acquired 12/17/2013, Cost $4,220,424) (b) | 4,223,000 | 4,221,264 |
Table of Contents
Pfizer Inc | ||||||||
3.00%, 06/15/2023 | 449,000 | 448,436 | ||||||
4.30%, 06/15/2043 | 4,170,000 | 4,211,604 | ||||||
Procter & Gamble - Esop | ||||||||
9.36%, 01/01/2021 | 191,967 | 241,701 | ||||||
Procter & Gamble Co/The | ||||||||
5.50%, 02/01/2034 | 103,000 | 124,310 | ||||||
Roche Holdings Inc | ||||||||
7.00%, 03/01/2039 (Acquired 11/26/2013, Cost $3,198,084) (b) | 2,400,000 | 3,411,768 | ||||||
RR Donnelley & Sons Co | ||||||||
8.60%, 08/15/2016 | 269,000 | 308,678 | ||||||
6.13%, 01/15/2017 | 11,000 | 12,017 | ||||||
7.63%, 06/15/2020 | 107,000 | 121,445 | ||||||
SABMiller Holdings Inc | ||||||||
1.85%, 01/15/2015 (Acquired 10/28/2013, Cost $393,198) (b) | 391,000 | 393,750 | ||||||
2.20%, 08/01/2018 (Acquired 12/17/2013, Cost $5,115,079) (b) | 5,080,000 | 5,133,604 | ||||||
3.75%, 01/15/2022 (Acquired 10/28/2013, Cost $492,671) (b) | 481,000 | 498,059 | ||||||
SABMiller PLC | ||||||||
6.50%, 07/01/2016 (Acquired 10/28/2013, Cost $96,988) (b) | 88,000 | 97,280 | ||||||
UnitedHealth Group Inc | ||||||||
3.38%, 11/15/2021 | 685,000 | 703,300 | ||||||
2.75%, 02/15/2023 | 186,000 | 180,269 | ||||||
2.88%, 03/15/2023 | 310,000 | 304,104 | ||||||
6.63%, 11/15/2037 | 562,000 | 745,383 | ||||||
4.38%, 03/15/2042 | 5,170,000 | 5,174,028 | ||||||
Ventas Realty LP | ||||||||
3.75%, 05/01/2024 | 382,000 | 381,480 | ||||||
Warner Chilcott Co LLC / Warner Chilcott Finance LLC | ||||||||
7.75%, 09/15/2018 | 6,250,000 | 6,570,562 | ||||||
WellPoint Inc | ||||||||
2.30%, 07/15/2018 | 289,000 | 294,427 | ||||||
3.13%, 05/15/2022 | 484,000 | 483,285 | ||||||
3.30%, 01/15/2023 | 271,000 | 270,677 | ||||||
4.63%, 05/15/2042 | 400,000 | 407,254 | ||||||
4.65%, 01/15/2043 | 391,000 | 397,539 | ||||||
5.10%, 01/15/2044 | 5,191,000 | 5,652,469 |
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Wm Wrigley Jr Co | ||||||||
2.90%, 10/21/2019 (Acquired 12/10/2013, Cost $4,984,014) (b) | 4,960,000 | 5,085,929 | ||||||
Wyeth LLC | ||||||||
6.45%, 02/01/2024 | 82,000 | 101,418 | ||||||
Zoetis Inc | ||||||||
4.70%, 02/01/2043 | 300,000 | 304,706 | ||||||
|
| |||||||
183,346,996 | ||||||||
|
| |||||||
Diversified - 0.12% | ||||||||
Hutchison Whampoa International 09 Ltd | ||||||||
7.63%, 04/09/2019 (Acquired 10/28/2013, Cost $730,277) (b) | 612,000 | 747,302 | ||||||
Hutchison Whampoa International 09/19 Ltd | ||||||||
5.75%, 09/11/2019 (Acquired 12/03/2013, Cost $6,973,210) (b) | 6,175,000 | 7,095,600 | ||||||
Hutchison Whampoa International 12 II Ltd | ||||||||
3.25%, 11/08/2022 (Acquired 10/28/2013, Cost $420,703) (b) | 450,000 | 441,774 | ||||||
|
| |||||||
8,284,676 | ||||||||
|
| |||||||
Energy - 3.40% | ||||||||
Alberta Energy Co Ltd | ||||||||
7.38%, 11/01/2031 | 274,000 | 357,123 | ||||||
Anadarko Finance Co | ||||||||
7.50%, 05/01/2031 | 206,000 | 280,454 | ||||||
Anadarko Holding Co | ||||||||
7.15%, 05/15/2028 | 170,000 | 218,213 | ||||||
Anadarko Petroleum Corp | ||||||||
6.38%, 09/15/2017 | 722,000 | 831,267 | ||||||
8.70%, 03/15/2019 | 664,000 | 855,455 | ||||||
6.95%, 06/15/2019 | 2,975,000 | 3,640,948 | ||||||
6.45%, 09/15/2036 | 4,125,000 | 5,260,394 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,546,808 | ||||||
ANR Pipeline Co | ||||||||
9.63%, 11/01/2021 | 337,000 | 475,238 | ||||||
Apache Corp | ||||||||
6.90%, 09/15/2018 | 258,000 | 308,941 | ||||||
3.25%, 04/15/2022 | 99,000 | 101,830 | ||||||
4.75%, 04/15/2043 | 416,000 | 435,961 | ||||||
BP Capital Markets PLC | ||||||||
3.88%, 03/10/2015 | 568,000 | 582,146 | ||||||
1.85%, 05/05/2017 | 689,000 | 703,682 | ||||||
1.38%, 11/06/2017 | 229,000 | 229,323 |
Table of Contents
2.24%, 05/10/2019 | 400,000 | 403,434 | ||||||
4.74%, 03/11/2021 | 640,000 | 717,550 | ||||||
3.25%, 05/06/2022 | 262,000 | 265,240 | ||||||
2.75%, 05/10/2023 | 262,000 | 251,673 | ||||||
3.81%, 02/10/2024 | 3,993,000 | 4,125,376 | ||||||
Buckeye Partners LP | ||||||||
2.65%, 11/15/2018 | 2,900,000 | 2,948,360 | ||||||
Burlington Resources Finance Co | ||||||||
7.40%, 12/01/2031 | 53,000 | 74,779 | ||||||
Burlington Resources Inc | ||||||||
8.20%, 03/15/2025 | 206,000 | 280,567 | ||||||
Cameron International Corp | ||||||||
1.60%, 04/30/2015 | 177,000 | 178,371 | ||||||
3.60%, 04/30/2022 | 5,900,000 | 6,043,229 | ||||||
4.00%, 12/15/2023 | 163,000 | 168,898 | ||||||
Canadian Natural Resources Ltd | ||||||||
5.90%, 02/01/2018 | 41,000 | 46,760 | ||||||
7.20%, 01/15/2032 | 41,000 | 54,148 | ||||||
6.45%, 06/30/2033 | 150,000 | 187,530 | ||||||
6.50%, 02/15/2037 | 118,000 | 150,092 | ||||||
6.25%, 03/15/2038 | 478,000 | 595,088 | ||||||
6.75%, 02/01/2039 | 206,000 | 269,701 | ||||||
Cenovus Energy Inc | ||||||||
3.00%, 08/15/2022 | 184,000 | 180,789 | ||||||
6.75%, 11/15/2039 | 351,000 | 456,345 | ||||||
4.45%, 09/15/2042 | 427,000 | 422,927 | ||||||
CenterPoint Energy Resources Corp | ||||||||
6.13%, 11/01/2017 | 55,000 | 62,914 | ||||||
4.50%, 01/15/2021 | 103,000 | 113,155 | ||||||
Chevron Corp | ||||||||
4.95%, 03/03/2019 | 526,000 | 599,124 | ||||||
2.36%, 12/05/2022 | 315,000 | 302,798 | ||||||
CNOOC Finance 2013 Ltd | ||||||||
3.00%, 05/09/2023 | 2,000,000 | 1,888,434 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/2024 | 1,165,000 | 1,194,514 |
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Conoco Funding Co | ||||||||
7.25%, 10/15/2031 | 54,000 | 76,250 | ||||||
ConocoPhillips | ||||||||
5.20%, 05/15/2018 | 155,000 | 174,611 | ||||||
5.75%, 02/01/2019 | 206,000 | 239,848 | ||||||
6.00%, 01/15/2020 | 150,000 | 178,466 | ||||||
6.50%, 02/01/2039 | 150,000 | 201,164 | ||||||
ConocoPhillips Canada Funding Co I | ||||||||
5.63%, 10/15/2016 | 126,000 | 139,608 | ||||||
Continental Resources Inc/OK | ||||||||
4.50%, 04/15/2023 | 5,700,000 | 6,088,660 | ||||||
DCP Midstream LLC | ||||||||
9.75%, 03/15/2019 (Acquired 10/28/2013 through 12/09/2013, Cost $6,168,282) (b) | 4,960,000 | 6,395,260 | ||||||
Devon Energy Corp | ||||||||
0.77%, 12/15/2016 | 4,000,000 | 4,018,524 | ||||||
1.88%, 05/15/2017 | 3,385,000 | 3,443,476 | ||||||
6.30%, 01/15/2019 | 1,174,000 | 1,378,508 | ||||||
3.25%, 05/15/2022 | 596,000 | 600,371 | ||||||
4.75%, 05/15/2042 | 323,000 | 335,633 | ||||||
El Paso Pipeline Partners Operating Co LLC | ||||||||
5.00%, 10/01/2021 | 4,875,000 | 5,329,579 | ||||||
7.50%, 11/15/2040 | 483,000 | 622,267 | ||||||
Encana Corp | ||||||||
6.50%, 05/15/2019 | 240,000 | 285,692 | ||||||
6.50%, 08/15/2034 | 118,000 | 145,439 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 140,253 | ||||||
4.65%, 06/01/2021 | 5,000,000 | 5,385,955 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040 (Acquired 10/28/2013, Cost $546,580) (b) | 557,000 | 632,245 | ||||||
Enterprise Products Operating LLC | ||||||||
3.90%, 02/15/2024 | 2,500,000 | 2,586,148 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 4,136,352 | ||||||
EOG Resources Inc | ||||||||
6.88%, 10/01/2018 | 186,000 | 222,824 | ||||||
4.10%, 02/01/2021 | 547,000 | 595,752 | ||||||
2.63%, 03/15/2023 | 249,000 | 240,294 |
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Gazprom OAO Via Gaz Capital SA | ||||||||
9.25%, 04/23/2019 (Acquired 11/21/2013, Cost $2,125,876) (b) | 1,750,000 | 2,124,063 | ||||||
Halliburton Co | ||||||||
6.15%, 09/15/2019 | 77,000 | 91,873 | ||||||
3.50%, 08/01/2023 | 332,000 | 340,485 | ||||||
6.70%, 09/15/2038 | 350,000 | 471,367 | ||||||
7.45%, 09/15/2039 | 521,000 | 754,305 | ||||||
7.60%, 08/15/2096 (Acquired 10/28/2013, Cost $351,087) (b) | 258,000 | 384,635 | ||||||
Hess Corp | ||||||||
7.88%, 10/01/2029 | 173,000 | 238,391 | ||||||
Husky Energy Inc | ||||||||
6.20%, 09/15/2017 | 3,630,000 | 4,148,578 | ||||||
6.15%, 06/15/2019 | 119,000 | 139,056 | ||||||
Kerr-McGee Corp | ||||||||
6.95%, 07/01/2024 | 127,000 | 163,114 | ||||||
7.88%, 09/15/2031 | 1,041,000 | 1,470,251 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 107,000 | 137,137 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 2,096,993 | ||||||
6.95%, 01/15/2038 | 242,000 | 298,355 | ||||||
6.50%, 09/01/2039 | 107,000 | 126,225 | ||||||
5.00%, 08/15/2042 | 3,544,000 | 3,522,765 | ||||||
Kinder Morgan Finance Co LLC | ||||||||
5.70%, 01/05/2016 | 97,000 | 101,850 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 244,801 | ||||||
5.15%, 10/15/2043 | 941,000 | 1,031,077 | ||||||
Marathon Oil Corp | ||||||||
6.00%, 10/01/2017 | 289,000 | 330,406 | ||||||
5.90%, 03/15/2018 | 291,000 | 333,097 | ||||||
Murphy Oil Corp | ||||||||
4.00%, 06/01/2022 | 537,000 | 543,514 | ||||||
Nabors Industries Inc | ||||||||
2.35%, 09/15/2016 | 5,000,000 | 5,104,340 | ||||||
6.15%, 02/15/2018 | 118,000 | 134,438 | ||||||
5.00%, 09/15/2020 | 1,190,000 | 1,335,216 | ||||||
4.63%, 09/15/2021 | 600,000 | 649,911 |
Table of Contents
National Oilwell Varco Inc | ||||||||
6.13%, 08/15/2015 | 757,000 | 757,816 | ||||||
1.35%, 12/01/2017 | 162,000 | 162,045 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 408,000 | 490,963 | ||||||
7.50%, 07/30/2039 | 4,000,000 | 5,413,132 | ||||||
Noble Energy Inc | ||||||||
8.25%, 03/01/2019 | 323,000 | 407,195 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,948,947 | ||||||
Noble Holding International Ltd | ||||||||
3.95%, 03/15/2022 | 90,000 | 92,183 | ||||||
5.25%, 03/15/2042 | 64,000 | 66,285 | ||||||
Occidental Petroleum Corp | ||||||||
1.75%, 02/15/2017 | 251,000 | 255,643 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021 (Acquired 04/30/2014, Cost $422,310) (b) | 425,000 | 425,000 | ||||||
ONEOK Partners LP | ||||||||
6.15%, 10/01/2016 | 365,000 | 406,623 | ||||||
3.20%, 09/15/2018 | 1,300,000 | 1,356,429 | ||||||
8.63%, 03/01/2019 | 353,000 | 445,655 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,988,573 | ||||||
PC Financial Partnership | ||||||||
5.00%, 11/15/2014 | 119,000 | 120,974 | ||||||
Pemex Project Funding Master Trust | ||||||||
5.75%, 03/01/2018 | 301,000 | 339,378 | ||||||
6.63%, 06/15/2035 | 5,107,000 | 6,013,492 | ||||||
Petrobras Global Finance BV | ||||||||
2.00%, 05/20/2016 | 3,000,000 | 3,004,332 | ||||||
2.59%, 03/17/2017 | 1,050,000 | 1,062,495 | ||||||
3.25%, 03/17/2017 | 1,000,000 | 1,025,290 | ||||||
4.38%, 05/20/2023 | 788,000 | 758,883 | ||||||
6.25%, 03/17/2024 | 1,867,000 | 1,987,235 | ||||||
Petrobras International Finance Co | ||||||||
3.50%, 02/06/2017 | 537,000 | 551,230 | ||||||
5.88%, 03/01/2018 | 4,000,000 | 4,358,596 | ||||||
7.88%, 03/15/2019 | 206,000 | 240,163 | ||||||
5.75%, 01/20/2020 | 107,000 | 114,362 | ||||||
5.38%, 01/27/2021 | 743,000 | 774,377 | ||||||
6.75%, 01/27/2041 | 114,000 | 117,420 |
Table of Contents
Petro-Canada | ||||||||
6.05%, 05/15/2018 | 263,000 | 304,381 | ||||||
6.80%, 05/15/2038 | 330,000 | 436,832 | ||||||
Petrofac Ltd | ||||||||
3.40%, 10/10/2018 (Acquired 10/28/2013 through 11/14/2013, Cost $5,107,805) (b) | 5,029,000 | 5,220,389 | ||||||
Petrohawk Energy Corp | ||||||||
7.25%, 08/15/2018 | 5,742,000 | 6,000,390 | ||||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/2021 | 7,000,000 | 7,857,500 | ||||||
4.88%, 01/24/2022 | 4,000,000 | 4,327,200 | ||||||
4.88%, 01/18/2024 (Acquired 01/15/2014, Cost $361,014) (b) | 363,000 | 389,317 | ||||||
6.38%, 01/23/2045 (Acquired 01/15/2014, Cost $2,979,545) (b) | 3,002,000 | 3,486,073 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/2017 | 241,000 | 252,576 | ||||||
4.30%, 04/01/2022 | 5,736,000 | 6,208,090 | ||||||
Pioneer Natural Resources Co | ||||||||
5.88%, 07/15/2016 | 211,000 | 230,892 | ||||||
Plains Exploration & Production Co | ||||||||
7.63%, 04/01/2020 | 918,000 | 1,002,915 | ||||||
6.75%, 02/01/2022 | 1,000,000 | 1,136,250 | ||||||
Pride International Inc | ||||||||
8.50%, 06/15/2019 | 500,000 | 637,062 | ||||||
QEP Resources Inc | ||||||||
6.80%, 03/01/2020 | 107,000 | 116,898 | ||||||
Reliance Holding USA Inc | ||||||||
5.40%, 02/14/2022 (Acquired 11/20/2013, Cost $2,033,071) (b) | 2,000,000 | 2,159,518 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020 (Acquired 10/28/2013, Cost $183,367) (b) | 215,000 | 221,450 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021 (Acquired 10/28/2013, Cost $339,955) (b) | 337,000 | 349,555 | ||||||
3.65%, 12/01/2023 | 3,754,000 | 3,903,901 | ||||||
Shell International Finance BV | ||||||||
3.10%, 06/28/2015 | 103,000 | 105,813 | ||||||
1.13%, 08/21/2017 | 504,000 | 502,969 | ||||||
4.30%, 09/22/2019 | 310,000 | 344,536 | ||||||
4.38%, 03/25/2020 | 885,000 | 984,566 | ||||||
6.38%, 12/15/2038 | 619,000 | 815,552 |
Table of Contents
Sinopec Group Overseas Development 2013 Ltd | ||||||||
4.38%, 10/17/2023 (Acquired 10/28/2013, Cost $476,105) (b) | 475,000 | 495,957 | ||||||
Sinopec Group Overseas Development 2014 Ltd | ||||||||
1.75%, 04/10/2017 (Acquired 04/02/2014, Cost $3,990,920) (b) | 4,000,000 | 4,001,824 | ||||||
Southern Natural Gas Co LLC | ||||||||
5.90%, 04/01/2017 (Acquired 10/28/2013, Cost $166,495) (b) | 150,000 | 168,620 | ||||||
Spectra Energy Capital LLC | ||||||||
5.67%, 08/15/2014 | 143,000 | 143,953 | ||||||
8.00%, 10/01/2019 | 515,000 | 649,771 | ||||||
5.65%, 03/01/2020 | 253,000 | 285,429 | ||||||
3.30%, 03/15/2023 | 467,000 | 446,943 | ||||||
7.50%, 09/15/2038 | 257,000 | 334,001 | ||||||
Spectra Energy Partners LP | ||||||||
2.95%, 09/25/2018 | 306,000 | 317,640 | ||||||
5.95%, 09/25/2043 | 207,000 | 246,612 | ||||||
Statoil ASA | ||||||||
3.13%, 08/17/2017 | 304,000 | 321,749 | ||||||
1.20%, 01/17/2018 | 221,000 | 219,404 | ||||||
5.25%, 04/15/2019 | 382,000 | 438,578 | ||||||
3.15%, 01/23/2022 | 237,000 | 242,189 | ||||||
2.45%, 01/17/2023 | 280,000 | 268,760 | ||||||
2.65%, 01/15/2024 | 663,000 | 637,152 | ||||||
4.25%, 11/23/2041 | 193,000 | 194,563 | ||||||
Suncor Energy Inc | ||||||||
6.10%, 06/01/2018 | 196,000 | 227,471 | ||||||
5.95%, 12/01/2034 | 248,000 | 297,550 | ||||||
6.85%, 06/01/2039 | 93,000 | 123,669 | ||||||
Talisman Energy Inc | ||||||||
7.75%, 06/01/2019 | 682,000 | 844,807 | ||||||
5.85%, 02/01/2037 | 171,000 | 188,079 | ||||||
6.25%, 02/01/2038 | 164,000 | 190,695 | ||||||
5.50%, 05/15/2042 | 860,000 | 932,447 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 10/28/2013, Cost $660,792) (b) | 714,000 | 673,084 | ||||||
Tosco Corp | ||||||||
7.80%, 01/01/2027 | 392,000 | 547,491 | ||||||
8.13%, 02/15/2030 | 361,000 | 533,242 |
Table of Contents
Total Capital Canada Ltd | ||||||||
0.61%, 01/15/2016 | 174,000 | 174,803 | ||||||
Total Capital International SA | ||||||||
0.75%, 01/25/2016 | 256,000 | 256,887 | ||||||
1.50%, 02/17/2017 | 218,000 | 221,486 | ||||||
1.55%, 06/28/2017 | 581,000 | 589,319 | ||||||
2.10%, 06/19/2019 | 7,200,000 | 7,232,141 | ||||||
2.75%, 06/19/2021 | 900,000 | 901,967 | ||||||
2.88%, 02/17/2022 | 144,000 | 143,743 | ||||||
Total Capital SA | ||||||||
2.30%, 03/15/2016 | 1,032,000 | 1,061,682 | ||||||
4.13%, 01/28/2021 | 229,000 | 248,219 | ||||||
TransCanada PipeLines Ltd | ||||||||
6.50%, 08/15/2018 | 196,000 | 232,759 | ||||||
7.13%, 01/15/2019 | 273,000 | 332,326 | ||||||
6.20%, 10/15/2037 | 155,000 | 196,180 | ||||||
7.25%, 08/15/2038 | 217,000 | 303,056 | ||||||
Transocean Inc | ||||||||
6.50%, 11/15/2020 | 697,000 | 806,122 | ||||||
6.38%, 12/15/2021 | 395,000 | 456,952 | ||||||
3.80%, 10/15/2022 | 287,000 | 284,051 | ||||||
7.50%, 04/15/2031 | 52,000 | 62,911 | ||||||
7.35%, 12/15/2041 | 153,000 | 193,890 | ||||||
Valero Energy Corp | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 6,212,675 | ||||||
Weatherford International Ltd/Bermuda | ||||||||
6.00%, 03/15/2018 | 2,000,000 | 2,275,664 | ||||||
4.50%, 04/15/2022 | 249,000 | 264,751 | ||||||
6.50%, 08/01/2036 | 114,000 | 135,507 | ||||||
9.88%, 03/01/2039 | 275,000 | 427,550 | ||||||
6.75%, 09/15/2040 | 40,000 | 49,079 | ||||||
5.95%, 04/15/2042 | 97,000 | 110,007 | ||||||
Williams Cos Inc/The | ||||||||
5.75%, 06/24/2044 | 2,500,000 | 2,521,510 | ||||||
Williams Partners LP | ||||||||
4.30%, 03/04/2024 | 2,500,000 | 2,607,245 | ||||||
6.30%, 04/15/2040 | 333,000 | 395,330 | ||||||
5.80%, 11/15/2043 | 3,550,000 | 4,008,518 | ||||||
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238,076,352 | ||||||||
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Financials - 12.47% | ||||||||
ABN AMRO Bank NV | ||||||||
2.50%, 10/30/2018 (Acquired 10/28/13 through 11/15/13, Cost $6,367,346) (b) | 6,342,000 | 6,435,037 | ||||||
ACE INA Holdings Inc | ||||||||
5.60%, 05/15/2015 | 206,000 | 215,069 | ||||||
2.60%, 11/23/2015 | 375,000 | 385,058 | ||||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | 2,720,000 | 3,490,399 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032 (Acquired 10/28/2013, Cost $1,187,348) (b) | 955,000 | 1,272,771 | ||||||
Allstate Corp/The | ||||||||
3.15%, 06/15/2023 | 420,000 | 421,430 | ||||||
Ally Financial Inc | ||||||||
6.75%, 12/01/2014 | 16,000 | 16,380 | ||||||
2.75%, 01/30/2017 | 5,000,000 | 5,056,250 | ||||||
8.00%, 12/31/2018 | 43,000 | 51,063 | ||||||
3.50%, 01/27/2019 | 1,000,000 | 1,009,700 | ||||||
American Express Centurion Bank | ||||||||
6.00%, 09/13/2017 | 506,000 | 579,626 | ||||||
American Express Co | ||||||||
7.00%, 03/19/2018 | 284,000 | 337,719 | ||||||
American Express Credit Corp | ||||||||
5.13%, 08/25/2014 | 464,000 | 467,308 | ||||||
2.80%, 09/19/2016 | 831,000 | 865,257 | ||||||
2.38%, 03/24/2017 | 287,000 | 296,704 | ||||||
2.13%, 03/18/2019 | 637,000 | 639,707 | ||||||
American Honda Finance Corp | ||||||||
1.45%, 02/27/2015 (Acquired 10/28/2013, Cost $830,433) (b) | 826,000 | 831,560 | ||||||
2.60%, 09/20/2016 (Acquired 10/28/2013, Cost $1,222,776) (b) | 1,184,000 | 1,230,608 | ||||||
2.13%, 02/28/2017 (Acquired 10/28/2013, Cost $431,461) (b) | 425,000 | 436,001 | ||||||
1.50%, 09/11/2017 (Acquired 10/28/2013, Cost $351,083) (b) | 352,000 | 353,953 | ||||||
1.60%, 02/16/2018 (Acquired 10/28/2013, Cost $299,163) (b) | 302,000 | 302,956 | ||||||
2.13%, 10/10/2018 | 69,000 | 70,095 |
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American International Group Inc | ||||||||
5.45%, 05/18/2017 | 611,000 | 681,645 | ||||||
8.25%, 08/15/2018 | 215,000 | 267,118 | ||||||
6.40%, 12/15/2020 | 15,100,000 | 18,229,415 | ||||||
4.13%, 02/15/2024 | 622,000 | 654,739 | ||||||
8.18%, 05/15/2058 | 107,000 | 147,392 | ||||||
American Tower Corp | ||||||||
3.50%, 01/31/2023 | 341,000 | 334,398 | ||||||
American Tower Trust I | ||||||||
1.55%, 03/15/2018 (Acquired 10/28/2013, Cost $388,564) (b) | 396,000 | 394,389 | ||||||
Ameriprise Financial Inc | ||||||||
7.30%, 06/28/2019 | 215,000 | 265,627 | ||||||
4.00%, 10/15/2023 | 650,000 | 685,250 | ||||||
Ameritech Capital Funding Corp | ||||||||
9.10%, 06/01/2016 | 109,641 | 121,392 | ||||||
6.45%, 01/15/2018 | 321,000 | 364,706 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 610,137 | ||||||
ANZ New Zealand Int’l Ltd/London | ||||||||
3.13%, 08/10/2015 (Acquired 10/28/2013, Cost $309,532) (b) | 302,000 | 310,669 | ||||||
Aon Corp | ||||||||
3.50%, 09/30/2015 | 208,000 | 215,138 | ||||||
3.13%, 05/27/2016 | 256,000 | 266,501 | ||||||
6.25%, 09/30/2040 | 172,000 | 214,069 | ||||||
Aon PLC | ||||||||
4.00%, 11/27/2023 | 9,550,000 | 10,023,460 | ||||||
Associates Corp of North America | ||||||||
6.95%, 11/01/2018 | 2,915,000 | 3,481,221 | ||||||
Australia & New Zealand Banking Group Ltd | ||||||||
3.25%, 03/01/2016 (Acquired 10/28/2013, Cost $662,091) (b) | 640,000 | 665,272 | ||||||
2.40%, 11/23/2016 (Acquired 10/28/2013, Cost $1,060,135) (b) | 1,028,000 | 1,063,944 | ||||||
4.88%, 01/12/2021 (Acquired 10/28/2013, Cost $325,677) (b) | 296,000 | 333,598 | ||||||
BAC Capital Trust VI | ||||||||
5.63%, 03/08/2035 | 43,000 | 42,536 | ||||||
Bank of America Corp | ||||||||
5.45%, 07/15/2014 | 384,000 | 384,830 | ||||||
5.00%, 01/15/2015 | 72,000 | 73,701 | ||||||
10.20%, 07/15/2015 | 184,000 | 201,618 |
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3.63%, 03/17/2016 | 245,000 | 255,903 | ||||||
6.50%, 08/01/2016 | 515,000 | 570,820 | ||||||
5.63%, 10/14/2016 | 670,000 | 735,617 | ||||||
6.40%, 08/28/2017 | 2,293,000 | 2,619,246 | ||||||
5.75%, 12/01/2017 | 480,000 | 541,402 | ||||||
2.00%, 01/11/2018 | 733,000 | 737,730 | ||||||
6.88%, 04/25/2018 | 843,000 | 993,164 | ||||||
5.65%, 05/01/2018 | 825,000 | 935,168 | ||||||
6.88%, 11/15/2018 | 1,000,000 | 1,189,590 | ||||||
2.60%, 01/15/2019 | 800,000 | 809,410 | ||||||
2.65%, 04/01/2019 | 1,400,000 | 1,419,040 | ||||||
7.63%, 06/01/2019 | 360,000 | 444,665 | ||||||
5.63%, 07/01/2020 | 2,625,000 | 3,019,889 | ||||||
5.88%, 01/05/2021 | 15,340,000 | 17,947,156 | ||||||
5.00%, 05/13/2021 | 1,830,000 | 2,042,628 | ||||||
3.30%, 01/11/2023 | 4,343,000 | 4,280,704 | ||||||
4.10%, 07/24/2023 | 217,000 | 225,217 | ||||||
4.13%, 01/22/2024 | 1,600,000 | 1,649,589 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,439,069 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 4,130,021 | ||||||
7.75%, 05/14/2038 | 137,000 | 188,199 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 5,191,000 | 5,709,243 | ||||||
Bank of Montreal | ||||||||
1.40%, 09/11/2017 | 1,416,000 | 1,419,891 | ||||||
2.55%, 11/06/2022 | 878,000 | 849,900 | ||||||
Bank of New York Mellon Corp/The | ||||||||
3.10%, 01/15/2015 | 258,000 | 261,870 | ||||||
1.20%, 02/20/2015 | 295,000 | 296,490 | ||||||
2.95%, 06/18/2015 | 826,000 | 846,976 | ||||||
2.40%, 01/17/2017 | 1,010,000 | 1,045,715 | ||||||
4.60%, 01/15/2020 | 387,000 | 432,172 | ||||||
3.55%, 09/23/2021 | 355,000 | 373,148 | ||||||
3.65%, 02/04/2024 | 93,000 | 95,897 | ||||||
Bank of Nova Scotia | ||||||||
3.40%, 01/22/2015 | 730,000 | 742,614 | ||||||
0.65%, 12/13/2016 | 5,650,000 | 5,670,639 | ||||||
2.55%, 01/12/2017 | 867,000 | 899,728 |
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Bank of Tokyo-Mitsubishi UFJ Ltd/The | ||||||||
3.85%, 01/22/2015 (Acquired 10/28/2013, Cost $458,363) (b) | 451,000 | 459,336 | ||||||
2.35%, 02/23/2017 (Acquired 10/28/2013, Cost $999,457) (b) | 980,000 | 1,008,564 | ||||||
2.30%, 03/10/2019 (Acquired 03/04/2014, Cost $4,392,960) (b) | 4,400,000 | 4,443,037 | ||||||
4.10%, 09/09/2023 (Acquired 10/28/2013, Cost $245,998) (b) | 239,000 | 254,891 | ||||||
3.75%, 03/10/2024 (Acquired 03/04/2014, Cost $3,208,088) (b) | 3,215,000 | 3,328,049 | ||||||
Banponce Trust I | ||||||||
8.33%, 02/01/2027 | 234,000 | 186,851 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.70%, 01/20/2017 (Acquired 01/14/2014, Cost $1,648,234) (b) | 1,650,000 | 1,663,688 | ||||||
Barclays Bank PLC | �� | |||||||
5.20%, 07/10/2014 | 960,000 | 960,864 | ||||||
2.75%, 02/23/2015 | 1,193,000 | 1,210,986 | ||||||
2.50%, 09/21/2015 (Acquired 10/28/2013, Cost $882,982) (b) | 864,000 | 885,272 | ||||||
5.00%, 09/22/2016 | 114,000 | 123,912 | ||||||
2.25%, 05/10/2017 (Acquired 10/28/2013, Cost $283,427) (b) | 275,000 | 283,467 | ||||||
6.05%, 12/04/2017 (Acquired 10/28/2013, Cost $422,504) (b) | 382,000 | 433,346 | ||||||
6.75%, 05/22/2019 | 430,000 | 517,832 | ||||||
5.13%, 01/08/2020 | 5,000,000 | 5,651,475 | ||||||
3.75%, 05/15/2024 | 647,000 | 649,312 | ||||||
BB&T Corp | ||||||||
3.95%, 04/29/2016 | 645,000 | 682,888 | ||||||
4.90%, 06/30/2017 | 284,000 | 310,124 | ||||||
1.60%, 08/15/2017 | 384,000 | 387,509 | ||||||
2.25%, 02/01/2019 | 150,000 | 151,867 | ||||||
6.85%, 04/30/2019 | 170,000 | 206,535 | ||||||
Bear Stearns Cos LLC/The | ||||||||
5.30%, 10/30/2015 | 274,000 | 290,440 | ||||||
7.25%, 02/01/2018 | 4,306,000 | 5,124,463 | ||||||
Berkshire Hathaway Finance Corp | ||||||||
1.30%, 05/15/2018 | 100,000 | 99,140 | ||||||
5.40%, 05/15/2018 | 1,207,000 | 1,380,482 | ||||||
2.90%, 10/15/2020 | 605,000 | 623,088 | ||||||
3.00%, 05/15/2022 | 268,000 | 269,473 | ||||||
5.75%, 01/15/2040 | 134,000 | 160,657 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,541,169 | ||||||
4.30%, 05/15/2043 | 322,000 | 319,892 |
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Berkshire Hathaway Inc | ||||||||
3.75%, 08/15/2021 | 605,000 | 647,852 | ||||||
3.40%, 01/31/2022 | 1,193,000 | 1,237,320 | ||||||
BlackRock Inc | ||||||||
3.50%, 12/10/2014 | 335,000 | 339,828 | ||||||
5.00%, 12/10/2019 | 959,000 | 1,094,622 | ||||||
3.38%, 06/01/2022 | 898,000 | 926,917 | ||||||
Blackstone Holdings Finance Co LLC | ||||||||
5.88%, 03/15/2021 (Acquired 10/28/2013, Cost $1,619,772) (b) | 1,445,000 | 1,677,577 | ||||||
BNP Paribas SA | ||||||||
3.25%, 03/03/2023 | 430,000 | 424,671 | ||||||
BNZ International Funding Ltd | ||||||||
2.35%, 03/04/2019 (Acquired 02/25/2014, Cost $515,830) (b) | 516,000 | 518,049 | ||||||
BPCE SA | ||||||||
1.07%, 02/10/2017 | 306,000 | 308,599 | ||||||
2.50%, 12/10/2018 | 2,500,000 | 2,534,162 | ||||||
5.70%, 10/22/2023 (Acquired 10/28/2013 through 11/04/2013, Cost $3,748,799) (b) | 3,645,000 | 4,013,546 | ||||||
Branch Banking & Trust Co | ||||||||
5.63%, 09/15/2016 | 480,000 | 527,415 | ||||||
0.53%, 05/23/2017 | 2,500,000 | 2,481,295 | ||||||
Caisse Centrale Desjardins | ||||||||
2.55%, 03/24/2016 (Acquired 10/28/2013, Cost $645,475) (b) | 624,000 | 644,973 | ||||||
Canadian Imperial Bank of Commerce/Canada | ||||||||
2.60%, 07/02/2015 (Acquired 10/28/2013, Cost $1,290,682) (b) | 1,264,000 | 1,292,819 | ||||||
0.90%, 10/01/2015 | 256,000 | 257,257 | ||||||
Capital One Bank USA NA | ||||||||
2.15%, 11/21/2018 | 5,000,000 | 5,028,775 | ||||||
3.38%, 02/15/2023 | 2,164,000 | 2,149,382 | ||||||
Capital One Financial Corp | ||||||||
2.15%, 03/23/2015 | 262,000 | 265,180 | ||||||
1.00%, 11/06/2015 | 211,000 | 211,579 | ||||||
2.45%, 04/24/2019 | 353,000 | 356,311 | ||||||
4.75%, 07/15/2021 | 7,058,000 | 7,851,968 | ||||||
3.50%, 06/15/2023 | 942,000 | 945,155 | ||||||
3.75%, 04/24/2024 | 2,580,000 | 2,618,664 |
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CDP Financial Inc | ||||||||
4.40%, 11/25/2019 (Acquired 10/28/2013, Cost $343,193) (b) | 310,000 | 344,785 | ||||||
Charles Schwab Corp/The | ||||||||
3.23%, 09/01/2022 | 165,000 | 166,283 | ||||||
Chubb Corp/The | ||||||||
5.75%, 05/15/2018 | 117,000 | 134,151 | ||||||
Cie de Financement Foncier SA | ||||||||
2.50%, 09/16/2015 (Acquired 10/28/2013, Cost $204,082) (b) | 200,000 | 204,686 | ||||||
CIT Group Inc | ||||||||
6.63%, 04/01/2018 (Acquired 11/22/2013, Cost $1,448,506) (b) | 1,300,000 | 1,459,250 | ||||||
Citigroup Inc | ||||||||
6.38%, 08/12/2014 | 193,000 | 194,284 | ||||||
5.00%, 09/15/2014 | 546,000 | 550,834 | ||||||
6.01%, 01/15/2015 | 523,000 | 538,766 | ||||||
4.75%, 05/19/2015 | 551,000 | 571,124 | ||||||
4.70%, 05/29/2015 | 155,000 | 160,740 | ||||||
2.25%, 08/07/2015 | 1,342,000 | 1,364,034 | ||||||
4.59%, 12/15/2015 | 1,197,000 | 1,261,813 | ||||||
1.25%, 01/15/2016 | 568,000 | 571,421 | ||||||
4.45%, 01/10/2017 | 984,000 | 1,059,777 | ||||||
5.50%, 02/15/2017 | 103,000 | 113,276 | ||||||
6.00%, 08/15/2017 | 1,393,000 | 1,576,699 | ||||||
6.13%, 11/21/2017 | 850,000 | 972,185 | ||||||
8.50%, 05/22/2019 | 1,484,000 | 1,896,836 | ||||||
5.38%, 08/09/2020 | 884,000 | 1,013,011 | ||||||
4.50%, 01/14/2022 | 10,972,000 | 11,926,586 | ||||||
3.38%, 03/01/2023 | 127,000 | 126,514 | ||||||
3.50%, 05/15/2023 | 5,000,000 | 4,867,230 | ||||||
3.75%, 06/16/2024 | 4,508,000 | 4,520,586 | ||||||
5.50%, 09/13/2025 | 494,000 | 551,042 | ||||||
6.63%, 01/15/2028 | 387,000 | 481,029 | ||||||
6.88%, 03/05/2038 | 23,000 | 30,579 | ||||||
8.13%, 07/15/2039 | 294,000 | 441,288 | ||||||
5.88%, 01/30/2042 | 212,000 | 253,621 | ||||||
6.68%, 09/13/2043 | 2,800,000 | 3,485,759 | ||||||
CME Group Inc/IL | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,129,574 | ||||||
5.30%, 09/15/2043 | 115,000 | 132,705 |
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CNA Financial Corp | ||||||||
5.85%, 12/15/2014 | 702,000 | 719,535 | ||||||
6.50%, 08/15/2016 | 537,000 | 598,123 | ||||||
7.35%, 11/15/2019 | 700,000 | 863,469 | ||||||
5.88%, 08/15/2020 | 523,000 | 612,011 | ||||||
7.25%, 11/15/2023 | 5,470,000 | 6,839,300 | ||||||
Comerica Inc | ||||||||
3.00%, 09/16/2015 | 202,000 | 207,753 | ||||||
Commonwealth Bank of Australia | ||||||||
0.83%, 10/08/2015 (Acquired 12/05/2013, Cost $536,189) (b) | 537,000 | 536,807 | ||||||
2.25%, 03/16/2017 (Acquired 10/28/2013, Cost $857,945) (b) | 836,000 | 862,520 | ||||||
CommonWealth REIT | ||||||||
6.65%, 01/15/2018 | 401,000 | 437,565 | ||||||
5.88%, 09/15/2020 | 723,000 | 787,255 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
3.20%, 03/11/2015 (Acquired 10/28/2013, Cost $1,334,280) (b) | 1,311,000 | 1,337,060 | ||||||
2.13%, 10/13/2015 | 241,000 | 246,343 | ||||||
3.38%, 01/19/2017 | 258,000 | 273,211 | ||||||
4.50%, 01/11/2021 | 712,000 | 782,981 | ||||||
3.88%, 02/08/2022 | 4,611,000 | 4,884,465 | ||||||
3.95%, 11/09/2022 | 400,000 | 406,651 | ||||||
5.80%, 09/30/2110 (Acquired 10/28/2013, Cost $375,771) (b) | 361,000 | 403,882 | ||||||
Corp Andina de Fomento | ||||||||
3.75%, 01/15/2016 | 939,000 | 976,675 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,900,664 | ||||||
Countrywide Financial Corp | ||||||||
6.25%, 05/15/2016 | 1,461,000 | 1,594,271 | ||||||
Credit Agricole SA | ||||||||
1.08%, 10/03/2016 (Acquired 10/28/2013, Cost $250,402) (b) | 250,000 | 251,392 | ||||||
6.64%, 05/29/2049 (Acquired 10/28/2013, Cost $104,193) (b) | 107,000 | 113,554 | ||||||
Credit Suisse/New York NY | ||||||||
2.30%, 05/28/2019 | 2,000,000 | 2,003,212 | ||||||
5.30%, 08/13/2019 | 169,000 | 193,328 | ||||||
Deutsche Bank AG/London | ||||||||
3.88%, 08/18/2014 | 363,000 | 364,655 | ||||||
3.25%, 01/11/2016 | 805,000 | 835,278 | ||||||
6.00%, 09/01/2017 | 341,000 | 387,602 | ||||||
2.50%, 02/13/2019 | 6,300,000 | 6,422,667 | ||||||
3.70%, 05/30/2024 | 3,610,000 | 3,611,097 |
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Digital Realty Trust LP | ||||||||
4.50%, 07/15/2015 | 4,500,000 | 4,628,345 | ||||||
Discover Bank/Greenwood DE | ||||||||
4.20%, 08/08/2023 | 6,711,000 | 7,081,615 | ||||||
DNB Boligkreditt AS | ||||||||
2.10%, 10/14/2015 (Acquired 10/28/2013, Cost $1,514,851) (b) | 1,488,000 | 1,518,950 | ||||||
Dresdner Bank AG/New York NY | ||||||||
7.25%, 09/15/2015 | 3,759,000 | 3,989,040 | ||||||
Duke Realty LP | ||||||||
3.88%, 02/15/2021 | 344,000 | 357,334 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 648,548 | ||||||
4.63%, 12/15/2021 | 434,000 | 477,719 | ||||||
Export-Import Bank of Korea | ||||||||
4.00%, 01/11/2017 | 200,000 | 213,508 | ||||||
4.38%, 09/15/2021 | 250,000 | 271,158 | ||||||
Fifth Third Bancorp | ||||||||
5.45%, 01/15/2017 | 150,000 | 164,432 | ||||||
2.30%, 03/01/2019 | 382,000 | 383,991 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
1.15%, 11/18/2016 | 5,000,000 | 5,016,170 | ||||||
2.38%, 04/25/2019 | 1,100,000 | 1,114,285 | ||||||
First Hawaiian Capital I | ||||||||
8.34%, 07/01/2027 | 403,000 | 408,498 | ||||||
First Tennessee Bank NA | ||||||||
5.05%, 01/15/2015 | 542,000 | 554,053 | ||||||
5.65%, 04/01/2016 | 680,000 | 722,971 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033 (Acquired 10/28/2013, Cost $247,282) (b) | 250,000 | 269,646 | ||||||
6.45%, 11/15/2039 (Acquired 10/28/2013, Cost $299,598) (b) | 258,000 | 324,045 | ||||||
Ford Motor Credit Co LLC | ||||||||
7.00%, 04/15/2015 | 140,000 | 147,017 | ||||||
4.21%, 04/15/2016 | 345,000 | 364,114 | ||||||
1.47%, 05/09/2016 | 332,000 | 336,893 | ||||||
3.98%, 06/15/2016 | 1,249,000 | 1,319,783 |
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3.00%, 06/12/2017 | 905,000 | 944,141 | ||||||
6.63%, 08/15/2017 | 3,473,000 | 3,997,819 | ||||||
1.72%, 12/06/2017 | 2,000,000 | 2,000,814 | ||||||
2.88%, 10/01/2018 | 1,072,000 | 1,109,565 | ||||||
2.38%, 03/12/2019 | 1,600,000 | 1,607,767 | ||||||
4.25%, 09/20/2022 | 397,000 | 423,454 | ||||||
General Electric Capital Corp | ||||||||
1.63%, 07/02/2015 | 1,187,000 | 1,202,097 | ||||||
2.25%, 11/09/2015 | 426,000 | 435,749 | ||||||
1.00%, 12/11/2015 | 258,000 | 259,983 | ||||||
0.39%, 02/15/2017 | 361,000 | 359,868 | ||||||
5.40%, 02/15/2017 | 155,000 | 172,073 | ||||||
2.30%, 04/27/2017 | 790,000 | 815,958 | ||||||
5.63%, 09/15/2017 | 764,000 | 864,868 | ||||||
1.60%, 11/20/2017 | 328,000 | 330,032 | ||||||
5.63%, 05/01/2018 | 2,376,000 | 2,722,504 | ||||||
6.00%, 08/07/2019 | 547,000 | 647,948 | ||||||
2.10%, 12/11/2019 | 152,000 | 151,924 | ||||||
5.50%, 01/08/2020 | 2,028,000 | 2,350,874 | ||||||
5.55%, 05/04/2020 | 666,000 | 775,056 | ||||||
4.38%, 09/16/2020 | 1,486,000 | 1,641,172 | ||||||
4.63%, 01/07/2021 | 9,994,000 | 11,128,699 | ||||||
5.30%, 02/11/2021 | 184,000 | 209,230 | ||||||
4.65%, 10/17/2021 | 8,987,000 | 9,993,903 | ||||||
3.15%, 09/07/2022 | 1,935,000 | 1,943,837 | ||||||
6.75%, 03/15/2032 | 954,000 | 1,258,478 | ||||||
5.88%, 01/14/2038 | 196,000 | 237,788 | ||||||
6.88%, 01/10/2039 | 9,483,000 | 12,738,305 | ||||||
Genworth Holdings Inc | ||||||||
4.90%, 08/15/2023 | 161,000 | 172,340 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 145,084 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.30%, 05/03/2015 | 388,000 | 396,617 | ||||||
3.70%, 08/01/2015 | 415,000 | 428,039 | ||||||
1.60%, 11/23/2015 | 688,000 | 695,139 | ||||||
3.63%, 02/07/2016 | 667,000 | 695,199 |
Table of Contents
6.25%, 09/01/2017 | 391,000 | 445,136 | ||||||
5.95%, 01/18/2018 | 1,711,000 | 1,943,782 | ||||||
6.15%, 04/01/2018 | 1,693,000 | 1,941,566 | ||||||
2.90%, 07/19/2018 | 263,000 | 270,961 | ||||||
7.50%, 02/15/2019 | 3,617,000 | 4,414,028 | ||||||
5.38%, 03/15/2020 | 2,367,000 | 2,681,283 | ||||||
6.00%, 06/15/2020 | 1,514,000 | 1,764,726 | ||||||
5.25%, 07/27/2021 | 694,000 | 779,315 | ||||||
5.75%, 01/24/2022 | 17,547,000 | 20,305,108 | ||||||
3.63%, 01/22/2023 | 563,000 | 565,421 | ||||||
3.85%, 07/01/2024 | 723,000 | 722,046 | ||||||
6.75%, 10/01/2037 | 4,938,000 | 5,940,582 | ||||||
Great-West Life & Annuity Insurance Capital LP II | ||||||||
7.15%, 05/16/2046 (Acquired 10/28/2013, Cost $312,263) (b) | 301,000 | 311,535 | ||||||
Hartford Financial Services Group Inc/The | ||||||||
4.00%, 10/15/2017 | 537,000 | 579,457 | ||||||
6.00%, 01/15/2019 | 3,000,000 | 3,481,170 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 6,254,122 | ||||||
8.13%, 06/15/2038 | 236,000 | 279,070 | ||||||
HCP Inc | ||||||||
3.75%, 02/01/2019 | 149,000 | 158,772 | ||||||
2.63%, 02/01/2020 | 325,000 | 325,169 | ||||||
5.38%, 02/01/2021 | 1,038,000 | 1,180,677 | ||||||
4.20%, 03/01/2024 | 241,000 | 248,448 | ||||||
Health Care REIT Inc | ||||||||
5.25%, 01/15/2022 | 560,000 | 628,098 | ||||||
4.50%, 01/15/2024 | 461,000 | 485,741 | ||||||
Highmark Inc | ||||||||
4.75%, 05/15/2021 (Acquired 10/30/2013 through 11/20/2013, Cost $310,449) (b) | 322,000 | 324,497 | ||||||
HSBC Bank PLC | ||||||||
1.63%, 07/07/2014 (Acquired 10/28/2013, Cost $909,008) (b) | 904,000 | 904,705 | ||||||
3.50%, 06/28/2015 (Acquired 10/28/2013, Cost $490,100) (b) | 477,000 | 491,462 | ||||||
1.50%, 05/15/2018 (Acquired 10/28/2013, Cost $929,788) (b) | 944,000 | 936,614 | ||||||
4.13%, 08/12/2020 (Acquired 10/28/2013, Cost $653,633) (b) | 615,000 | 665,664 | ||||||
4.75%, 01/19/2021 (Acquired 10/28/2013, Cost $1,123,714) (b) | 1,032,000 | 1,150,518 | ||||||
HSBC Finance Corp | ||||||||
5.00%, 06/30/2015 | 671,000 | 700,222 | ||||||
0.66%, 06/01/2016 | 2,605,000 | 2,605,719 | ||||||
7.35%, 11/27/2032 | 32,000 | 39,519 |
Table of Contents
HSBC Holdings PLC | ||||||||
5.10%, 04/05/2021 | 482,000 | 547,686 | ||||||
4.88%, 01/14/2022 | 743,000 | 833,826 | ||||||
4.00%, 03/30/2022 | 1,012,000 | 1,076,662 | ||||||
6.50%, 09/15/2037 | 5,996,000 | 7,393,398 | ||||||
6.10%, 01/14/2042 | 743,000 | 936,505 | ||||||
HSBC USA Capital Trust I | ||||||||
7.81%, 12/15/2026 (Acquired 10/28/13 through 11/25/13, Cost $1,110,584) (b) | 1,100,000 | 1,114,046 | ||||||
HSBC USA Capital Trust II | ||||||||
8.38%, 05/15/2027 (Acquired 10/28/13 through 11/25/13, Cost $54,652) (b) | 54,000 | 54,744 | ||||||
HSBC USA Capital Trust III | ||||||||
7.75%, 11/15/2026 | 107,000 | 108,306 | ||||||
HSBC USA Inc | ||||||||
2.38%, 02/13/2015 | 1,032,000 | 1,044,841 | ||||||
1.63%, 01/16/2018 | 769,000 | 770,722 | ||||||
9.13%, 05/15/2021 | 75,000 | 97,528 | ||||||
Hyundai Capital Services Inc | ||||||||
6.00%, 05/05/2015 (Acquired 10/28/2013, Cost $223,234) (b) | 215,000 | 224,151 | ||||||
4.38%, 07/27/2016 (Acquired 10/28/2013, Cost $2,501,397) (b) | 2,367,000 | 2,516,405 | ||||||
3.50%, 09/13/2017 (Acquired 10/28/2013, Cost $4,111,240) (b) | 3,900,000 | 4,103,034 | ||||||
ING Bank NV | ||||||||
2.00%, 09/25/2015 (Acquired 10/28/2013, Cost $258,569) (b) | 256,000 | 260,119 | ||||||
1.38%, 03/07/2016 (Acquired 10/28/2013, Cost $514,189) (b) | 516,000 | 522,116 | ||||||
4.00%, 03/15/2016 (Acquired 10/28/2013, Cost $408,332) (b) | 392,000 | 412,044 | ||||||
3.75%, 03/07/2017 (Acquired 10/28/2013, Cost $1,433,617) (b) | 1,369,000 | 1,456,164 | ||||||
5.80%, 09/25/2023 (Acquired 01/14/2014, Cost $5,060,153) (b) | 4,800,000 | 5,407,200 | ||||||
IntercontinentalExchange Group Inc | ||||||||
2.50%, 10/15/2018 | 243,000 | 248,571 | ||||||
4.00%, 10/15/2023 | 578,000 | 609,345 | ||||||
International Bank for Reconstruction & Development | ||||||||
0.00%, 02/15/2016 | 980,000 | 969,893 | ||||||
2.25%, 06/24/2021 | 11,190,000 | 11,208,766 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.13%, 01/15/2016 (Acquired 11/21/2013, Cost $3,250,474) (b) | 3,200,000 | 3,289,293 |
Table of Contents
Invesco Finance PLC | ||||||||
3.13%, 11/30/2022 | 710,000 | 704,226 | ||||||
4.00%, 01/30/2024 | 2,400,000 | 2,507,551 | ||||||
Jackson National Life Global Funding | ||||||||
4.70%, 06/01/2018 (Acquired 10/28/2013, Cost $327,798) (b) | 310,000 | 330,976 | ||||||
Jefferies Group LLC | ||||||||
3.88%, 11/09/2015 | 317,000 | 327,128 | ||||||
5.13%, 04/13/2018 | 1,534,000 | 1,680,686 | ||||||
8.50%, 07/15/2019 | 955,000 | 1,193,750 | ||||||
6.88%, 04/15/2021 | 430,000 | 502,726 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,787,369 | ||||||
6.45%, 06/08/2027 | 578,000 | 655,856 | ||||||
6.25%, 01/15/2036 | 155,000 | 162,203 | ||||||
John Deere Capital Corp | ||||||||
1.20%, 10/10/2017 | 560,000 | 558,183 | ||||||
2.25%, 04/17/2019 | 5,335,000 | 5,395,664 | ||||||
1.70%, 01/15/2020 | 123,000 | 119,405 | ||||||
3.15%, 10/15/2021 | 257,000 | 263,553 | ||||||
2.80%, 01/27/2023 | 373,000 | 367,507 | ||||||
John Hancock Life Insurance Co | ||||||||
7.38%, 02/15/2024 (Acquired 10/28/2013, Cost $887,086) (b) | 731,000 | 905,432 | ||||||
JPMorgan Chase & Co | ||||||||
4.25%, 10/15/2020 | 64,000 | 69,429 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 10,828,380 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,729,772 | ||||||
5.60%, 07/15/2041 | 494,000 | 579,370 | ||||||
5.63%, 08/16/2043 | 5,230,000 | 5,911,898 | ||||||
JPMorgan Chase Bank NA | ||||||||
5.88%, 06/13/2016 | 322,000 | 352,296 | ||||||
Kemper Corp | ||||||||
6.00%, 05/15/2017 | 5,000,000 | 5,524,645 | ||||||
KeyCorp | ||||||||
2.30%, 12/13/2018 | 211,000 | 213,459 | ||||||
KFW | ||||||||
1.88%, 04/01/2019 | 10,580,000 | 10,688,276 | ||||||
Korea Development Bank/The | ||||||||
0.85%, 01/22/2017 | 5,125,000 | 5,130,848 |
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LeasePlan Corp NV | ||||||||
2.50%, 05/16/2018 (Acquired 10/28/2013 through 12/27/2013, Cost $3,780,903) (b) | 3,806,000 | 3,837,498 | ||||||
Liberty Mutual Group Inc | ||||||||
5.00%, 06/01/2021 (Acquired 10/28/2013, Cost $375,021) (b) | 351,000 | 386,092 | ||||||
4.25%, 06/15/2023 (Acquired 10/28/2013, Cost $319,166) (b) | 322,000 | 333,742 | ||||||
6.50%, 03/15/2035 (Acquired 11/19/2013, Cost $4,436,429) (b) | 4,000,000 | 4,899,676 | ||||||
10.75%, 06/15/2058 (Acquired 10/28/2013, Cost $407,318) (b) | 269,000 | 410,898 | ||||||
Liberty Mutual Insurance Co | ||||||||
7.70%, 10/15/2097 (Acquired 10/28/2013, Cost $106,316) (b) | 100,000 | 112,636 | ||||||
Lincoln National Corp | ||||||||
8.75%, 07/01/2019 | 5,000,000 | 6,482,770 | ||||||
4.85%, 06/24/2021 | 168,000 | 186,637 | ||||||
4.20%, 03/15/2022 | 265,000 | 282,650 | ||||||
7.00%, 06/15/2040 | 5,160,000 | 7,074,051 | ||||||
6.05%, 04/20/2067 | 121,000 | 122,361 | ||||||
Lloyds Bank PLC | ||||||||
2.30%, 11/27/2018 | 1,075,000 | 1,091,465 | ||||||
5.80%, 01/13/2020 (Acquired 10/28/2013, Cost $195,498) (b) | 172,000 | 199,675 | ||||||
M&I Marshall & Ilsley Bank | ||||||||
4.85%, 06/16/2015 | 1,360,000 | 1,414,086 | ||||||
M&T Capital Trust I | ||||||||
8.23%, 02/01/2027 | 337,000 | 342,944 | ||||||
M&T Capital Trust II | ||||||||
8.28%, 06/01/2027 | 169,000 | 171,809 | ||||||
Mack-Cali Realty LP | ||||||||
2.50%, 12/15/2017 | 5,050,000 | 5,111,277 | ||||||
Macquarie Bank Ltd | ||||||||
5.00%, 02/22/2017 (Acquired 10/28/2013, Cost $2,925,601) (b) | 2,719,000 | 2,963,166 | ||||||
2.60%, 06/24/2019 (Acquired 06/16/2014, Cost $582,644) (b) | 583,000 | 586,685 | ||||||
Macquarie Group Ltd | ||||||||
7.30%, 08/01/2014 (Acquired 10/28/2013, Cost $725,894) (b) | 722,000 | 725,762 | ||||||
3.00%, 12/03/2018 (Acquired 11/25/2013, Cost $5,976,000) (b) | 6,000,000 | 6,154,860 | ||||||
7.63%, 08/13/2019 (Acquired 10/28/2013, Cost $90,209) (b) | 77,000 | 93,358 | ||||||
6.00%, 01/14/2020 (Acquired 10/28/2013, Cost $518,992) (b) | 475,000 | 538,098 | ||||||
6.25%, 01/14/2021 (Acquired 10/28/2013, Cost $1,134,757) (b) | 1,034,000 | 1,184,681 | ||||||
Manufacturers & Traders Trust Co | ||||||||
6.63%, 12/04/2017 | 464,000 | 539,903 |
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Manulife Financial Corp | ||||||||
4.90%, 09/17/2020 | 225,000 | 248,376 | ||||||
Markel Corp | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 4,552,341 | ||||||
Marsh & McLennan Cos Inc | ||||||||
2.30%, 04/01/2017 | 269,000 | 275,432 | ||||||
9.25%, 04/15/2019 | 177,000 | 231,036 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,553,350 | ||||||
Massachusetts Mutual Life Insurance Co | ||||||||
8.88%, 06/01/2039 (Acquired 10/28/2013 through 12/02/2013, Cost $8,050,382) (b) | 5,548,000 | 8,835,595 | ||||||
5.38%, 12/01/2041 (Acquired 10/28/2013, Cost $213,100) (b) | 203,000 | 230,818 | ||||||
MassMutual Global Funding II | ||||||||
3.13%, 04/14/2016 (Acquired 10/28/2013, Cost $290,336) (b) | 280,000 | 291,785 | ||||||
2.00%, 04/05/2017 (Acquired 10/28/2013, Cost $1,671,560) (b) | 1,652,000 | 1,688,871 | ||||||
2.50%, 10/17/2022 (Acquired 10/28/2013, Cost $359,442) (b) | 386,000 | 371,479 | ||||||
MBIA Insurance Corp | ||||||||
11.49%, 01/15/2033 (Acquired 10/28/2013, Cost $60,590) (b) | 86,000 | 67,080 | ||||||
MetLife Inc | ||||||||
6.82%, 08/15/2018 | 84,000 | 100,407 | ||||||
7.72%, 02/15/2019 | 118,000 | 146,797 | ||||||
4.37%, 09/15/2023 | 7,200,000 | 7,724,369 | ||||||
6.50%, 12/15/2032 | 56,000 | 72,594 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,244,020 | ||||||
Metlife of Connecticut Global Funding I | ||||||||
5.13%, 08/15/2014 (Acquired 10/28/2013, Cost $331,897) (b) | 330,000 | 331,776 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.70%, 06/29/2015 (Acquired 10/28/2013, Cost $923,241) (b) | 916,000 | 926,180 | ||||||
2.50%, 09/29/2015 (Acquired 10/28/2013, Cost $1,053,524) (b) | 1,032,000 | 1,057,196 | ||||||
3.13%, 01/11/2016 (Acquired 10/28/2013, Cost $344,040) (b) | 334,000 | 346,397 | ||||||
1.50%, 01/10/2018 (Acquired 10/28/2013, Cost $470,680) (b) | 476,000 | 472,602 | ||||||
3.65%, 06/14/2018 (Acquired 10/28/2013, Cost $1,454,332) (b) | 1,373,000 | 1,460,791 | ||||||
1.88%, 06/22/2018 (Acquired 10/28/2013, Cost $223,464) (b) | 225,000 | 225,647 | ||||||
3.88%, 04/11/2022 (Acquired 10/28/2013, Cost $1,521,295) (b) | 1,480,000 | 1,567,446 | ||||||
Metropolitan Life Insurance Co | ||||||||
7.70%, 11/01/2015 (Acquired 11/21/2013, Cost $3,254,508) (b) | 3,000,000 | 3,261,822 | ||||||
Mizuho Bank Ltd | ||||||||
1.85%, 03/21/2018 (Acquired 10/28/2013, Cost $371,468) (b) | 376,000 | 377,484 |
Table of Contents
Morgan Stanley | ||||||||
4.20%, 11/20/2014 | 440,000 | 446,611 | ||||||
6.00%, 04/28/2015 | 340,000 | 355,812 | ||||||
4.00%, 07/24/2015 | 684,000 | 708,413 | ||||||
1.75%, 02/25/2016 | 170,000 | 172,414 | ||||||
5.45%, 01/09/2017 | 537,000 | 591,556 | ||||||
5.95%, 12/28/2017 | 110,000 | 125,232 | ||||||
6.63%, 04/01/2018 | 457,000 | 534,221 | ||||||
7.30%, 05/13/2019 | 2,257,000 | 2,759,740 | ||||||
5.63%, 09/23/2019 | 1,702,000 | 1,957,656 | ||||||
5.50%, 07/24/2020 | 774,000 | 889,927 | ||||||
5.75%, 01/25/2021 | 11,635,000 | 13,515,507 | ||||||
5.50%, 07/28/2021 | 372,000 | 427,364 | ||||||
4.88%, 11/01/2022 | 1,895,000 | 2,034,127 | ||||||
4.10%, 05/22/2023 | 1,645,000 | 1,668,709 | ||||||
3.88%, 04/29/2024 | 1,350,000 | 1,366,362 | ||||||
5.00%, 11/24/2025 | 4,306,000 | 4,592,642 | ||||||
6.38%, 07/24/2042 | 2,000,000 | 2,537,686 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 258,000 | 278,842 | ||||||
National Australia Bank Ltd | ||||||||
3.75%, 03/02/2015 (Acquired 10/28/2013, Cost $364,356) (b) | 357,000 | 364,960 | ||||||
2.75%, 09/28/2015 (Acquired 10/28/2013, Cost $823,122) (b) | 805,000 | 826,936 | ||||||
0.73%, 10/08/2015 (Acquired 10/28/2013, Cost $1,200,159) (b) | 1,200,000 | 1,199,716 | ||||||
3.00%, 07/27/2016 (Acquired 10/28/2013, Cost $749,518) (b) | 722,000 | 752,533 | ||||||
0.66%, 12/02/2016 (Acquired 11/21/2013, Cost $5,000,000) (b) | 5,000,000 | 5,018,030 | ||||||
2.00%, 06/20/2017 (Acquired 10/28/2013, Cost $2,105,767) (b) | 2,064,000 | 2,111,552 | ||||||
National City Bank/Cleveland OH | ||||||||
5.80%, 06/07/2017 | 1,013,000 | 1,141,618 | ||||||
National Rural Utilities Cooperative Finance Corp | ||||||||
10.38%, 11/01/2018 | 3,522,000 | 4,744,888 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,143,041 | ||||||
Nationwide Mutual Insurance Co | ||||||||
8.25%, 12/01/2031 (Acquired 02/13/2014, Cost $384,330) (b) | 300,000 | 398,571 | ||||||
9.38%, 08/15/2039 (Acquired 10/28/2013, Cost $1,790,227) (b) | 1,283,000 | 1,996,815 | ||||||
New York Life Global Funding | ||||||||
1.30%, 01/12/2015 (Acquired 10/28/2013, Cost $642,469) (b) | 640,000 | 643,165 | ||||||
3.00%, 05/04/2015 (Acquired 10/28/2013, Cost $1,034,836) (b) | 1,014,000 | 1,033,860 |
Table of Contents
0.75%, 07/24/2015 (Acquired 10/28/2013, Cost $582,570) (b) | 582,000 | 582,894 | ||||||
0.80%, 02/12/2016 (Acquired 10/28/2013, Cost $155,230) (b) | 155,000 | 155,435 | ||||||
2.10%, 01/02/2019 (Acquired 12/5/2013, Cost $8,140,627) (b) | 8,150,000 | 8,143,154 | ||||||
2.15%, 06/18/2019 (Acquired 06/11/2014, Cost $731,173) (b) | 732,000 | 735,790 | ||||||
Nomura Holdings Inc | ||||||||
5.00%, 03/04/2015 | 292,000 | 300,184 | ||||||
4.13%, 01/19/2016 | 864,000 | 905,046 | ||||||
2.00%, 09/13/2016 | 6,972,000 | 7,085,783 | ||||||
6.70%, 03/04/2020 | 5,300,000 | 6,371,761 | ||||||
Nordea Bank AB | ||||||||
3.13%, 03/20/2017 (Acquired 10/28/2013, Cost $1,650,019) (b) | 1,584,000 | 1,668,576 | ||||||
1.63%, 05/15/2018 (Acquired 10/28/2013, Cost $254,421) (b) | 258,000 | 256,704 | ||||||
4.88%, 05/13/2021 (Acquired 10/28/2013, Cost $671,259) (b) | 640,000 | 694,737 | ||||||
Northern Trust Corp | ||||||||
3.95%, 10/30/2025 | 6,915,000 | 7,186,538 | ||||||
Oversea-Chinese Banking Corp Ltd | ||||||||
1.63%, 03/13/2015 (Acquired 10/28/2013, Cost $682,097) (b) | 678,000 | 683,056 | ||||||
Pacific Life Global Funding | ||||||||
5.00%, 05/15/2017 (Acquired 10/28/2013, Cost $432,293) (b) | 413,000 | 432,345 | ||||||
Pacific Life Insurance Co | ||||||||
9.25%, 06/15/2039 (Acquired 10/28/2013, Cost $737,992) (b) | 526,000 | 809,161 | ||||||
Pemex Finance Ltd | ||||||||
10.61%, 08/15/2017 | 261,625 | 294,827 | ||||||
People’s United Bank | ||||||||
4.00%, 07/15/2024 | 1,220,000 | 1,224,825 | ||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,361,661 | ||||||
4.20%, 11/01/2025 | 322,000 | 340,614 | ||||||
PNC Financial Services Group Inc/The | ||||||||
3.90%, 04/29/2024 | 2,090,000 | 2,129,700 | ||||||
PNC Funding Corp | ||||||||
5.25%, 11/15/2015 | 124,000 | 131,614 | ||||||
2.70%, 09/19/2016 | 133,000 | 138,114 | ||||||
5.63%, 02/01/2017 | 127,000 | 140,466 | ||||||
6.70%, 06/10/2019 | 423,000 | 511,678 | ||||||
5.13%, 02/08/2020 | 588,000 | 671,656 | ||||||
4.38%, 08/11/2020 | 468,000 | 510,767 | ||||||
3.30%, 03/08/2022 | 575,000 | 586,390 |
Table of Contents
Portigon AG/New York | ||||||||
4.80%, 07/15/2015 | 300,000 | 312,903 | ||||||
Principal Financial Group Inc | ||||||||
1.85%, 11/15/2017 | 149,000 | 149,752 | ||||||
Principal Life Global Funding I | ||||||||
5.05%, 03/15/2015 (Acquired 10/28/2013, Cost $169,747) (b) | 165,000 | 170,230 | ||||||
Principal Life Global Funding II | ||||||||
1.00%, 12/11/2015 (Acquired 10/28/2013, Cost $183,243) (b) | 183,000 | 183,973 | ||||||
Private Export Funding Corp | ||||||||
4.38%, 03/15/2019 | 970,000 | 1,087,109 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,223,046 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,609,107 | ||||||
Prologis LP | ||||||||
4.25%, 08/15/2023 | 295,000 | 307,941 | ||||||
Protective Life Corp | ||||||||
7.38%, 10/15/2019 | 854,000 | 1,056,661 | ||||||
Prudential Covered Trust 2012-1 | ||||||||
3.00%, 09/30/2015 (Acquired 10/28/2013, Cost $784,599) (b) | 767,200 | 785,859 | ||||||
Prudential Holdings LLC | ||||||||
8.70%, 12/18/2023 (Acquired 10/28/2013, Cost $5,755,655) (b) | 4,494,743 | 5,672,406 | ||||||
Prudential Insurance Co of America/The | ||||||||
8.30%, 07/01/2025 (Acquired 10/28/2013, Cost $1,542,440) (b) | 1,191,000 | 1,624,300 | ||||||
Realty Income Corp | ||||||||
2.00%, 01/31/2018 | 4,700,000 | 4,722,217 | ||||||
Regions Bank/Birmingham AL | ||||||||
7.50%, 05/15/2018 | 2,787,000 | 3,317,121 | ||||||
Regions Financial Corp | ||||||||
7.75%, 11/10/2014 | 30,000 | 30,749 | ||||||
5.75%, 06/15/2015 | 215,000 | 224,712 | ||||||
Royal Bank of Canada | ||||||||
2.30%, 07/20/2016 | 867,000 | 894,925 | ||||||
1.20%, 09/19/2017 | 727,000 | 725,137 | ||||||
2.20%, 07/27/2018 | 155,000 | 158,282 | ||||||
2.00%, 10/01/2018 | 1,231,000 | 1,247,272 | ||||||
Royal Bank of Scotland PLC/The | ||||||||
6.13%, 01/11/2021 | 338,000 | 397,606 |
Table of Contents
Santander Bank NA | ||||||||
8.75%, 05/30/2018 | 4,878,000 | 5,937,916 | ||||||
Santander Issuances SAU | ||||||||
6.50%, 08/11/2019 (Acquired 10/28/2013, Cost $200,927) (b) | 200,000 | 201,000 | ||||||
Simon Property Group LP | ||||||||
5.63%, 08/15/2014 | 183,000 | 184,145 | ||||||
4.20%, 02/01/2015 | 46,000 | 46,554 | ||||||
6.10%, 05/01/2016 | 219,000 | 237,658 | ||||||
2.15%, 09/15/2017 | 946,000 | 973,039 | ||||||
6.13%, 05/30/2018 | 379,000 | 440,948 | ||||||
7.38%, 06/15/2018 | 3,000,000 | 3,607,377 | ||||||
5.65%, 02/01/2020 | 114,000 | 133,184 | ||||||
4.38%, 03/01/2021 | 6,818,000 | 7,496,275 | ||||||
4.13%, 12/01/2021 | 442,000 | 478,693 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.75%, 03/19/2018 (Acquired 10/28/2013, Cost $295,979) (b) | 299,000 | 298,671 | ||||||
2.38%, 11/20/2018 (Acquired 11/13/2013, Cost $4,995,550) (b) | 5,000,000 | 5,074,050 | ||||||
2.38%, 03/25/2019 (Acquired 03/18/2014, Cost $1,224,081) (b) | 1,225,000 | 1,235,658 | ||||||
SLM Corp | ||||||||
5.63%, 08/01/2033 | 54,000 | 46,643 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 310,318 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.75%, 11/15/2019 (Acquired 10/28/2013, Cost $1,702,282) (b) | 1,757,000 | 1,718,248 | ||||||
Springleaf Finance Corp | ||||||||
6.90%, 12/15/2017 | 100,000 | 111,000 | ||||||
Stadshypotek AB | ||||||||
1.88%, 10/02/2019 (Acquired 10/28/2013, Cost $671,726) (b) | 683,000 | 674,798 | ||||||
Standard Chartered PLC | ||||||||
5.20%, 01/26/2024 (Acquired 10/28/2013, Cost $631,176) (b) | 609,000 | 649,503 | ||||||
State Street Corp | ||||||||
3.10%, 05/15/2023 | 321,000 | 315,219 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,436,598 | ||||||
Sumitomo Mitsui Banking Corp | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 5,113,090 | ||||||
3.95%, 07/19/2023 | 250,000 | 262,295 |
Table of Contents
SunTrust Bank/Atlanta GA | ||||||||
7.25%, 03/15/2018 | 1,608,000 | 1,904,009 | ||||||
SunTrust Banks Inc | ||||||||
6.00%, 09/11/2017 | 103,000 | 116,648 | ||||||
2.50%, 05/01/2019 | 8,810,000 | 8,922,627 | ||||||
Susa Partnership LP | ||||||||
8.20%, 06/01/2017 | 111,000 | 130,296 | ||||||
Svenska Handelsbanken AB | ||||||||
3.13%, 07/12/2016 | 691,000 | 723,653 | ||||||
2.50%, 01/25/2019 | 2,000,000 | 2,045,570 | ||||||
Swedbank AB | ||||||||
2.13%, 09/29/2017 (Acquired 10/28/2013, Cost $217,192) (b) | 215,000 | 218,971 | ||||||
2.38%, 02/27/2019 (Acquired 02/20/2014, Cost $5,989,860) (b) | 6,000,000 | 6,068,364 | ||||||
Symetra Financial Corp | ||||||||
6.13%, 04/01/2016 (Acquired 10/28/2013, Cost $112,667) (b) | 107,000 | 114,836 | ||||||
TD Ameritrade Holding Corp | ||||||||
5.60%, 12/01/2019 | 355,000 | 413,625 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039 (Acquired 11/22/2013, Cost $3,209,364) (b) | 2,580,000 | 3,440,698 | ||||||
Toronto-Dominion Bank/The | ||||||||
2.20%, 07/29/2015 (Acquired 10/28/2013, Cost $950,197) (b) | 933,000 | 951,576 | ||||||
2.50%, 07/14/2016 | 556,000 | 575,836 | ||||||
1.50%, 03/13/2017 (Acquired 10/28/2013, Cost $1,462,192) (b) | 1,445,000 | 1,464,684 | ||||||
Travelers Cos Inc/The | ||||||||
5.80%, 05/15/2018 | 110,000 | 126,329 | ||||||
UBS AG/Stamford CT | ||||||||
3.88%, 01/15/2015 | 783,000 | 797,972 | ||||||
5.75%, 04/25/2018 | 511,000 | 585,882 | ||||||
Wachovia Bank NA | ||||||||
5.00%, 08/15/2015 | 485,000 | 507,627 | ||||||
0.56%, 03/15/2016 | 457,000 | 457,326 | ||||||
6.00%, 11/15/2017 | 2,224,000 | 2,548,044 | ||||||
Wachovia Corp | ||||||||
5.75%, 06/15/2017 | 315,000 | 356,205 | ||||||
5.75%, 02/01/2018 | 1,865,000 | 2,135,043 | ||||||
WEA Finance LLC / WT Finance Aust Pty Ltd | ||||||||
6.75%, 09/02/2019 (Acquired 10/28/2013 through 11/27/2013, Cost $7,595,407) (b) | 6,415,000 | 7,995,284 |
Table of Contents
WEA Finance LLC / WT Finance Aust Pty Ltd / WT Finance NZ Ltd | ||||||||
3.38%, 10/03/2022 (Acquired 10/28/2013, Cost $402,342) (b) | 418,000 | 443,850 | ||||||
Wells Fargo & Co | ||||||||
3.68%, 06/15/2016 | 1,723,000 | 1,818,287 | ||||||
2.63%, 12/15/2016 | 1,583,000 | 1,645,389 | ||||||
5.63%, 12/11/2017 | 948,000 | 1,078,699 | ||||||
3.00%, 01/22/2021 | 1,000,000 | 1,020,248 | ||||||
4.60%, 04/01/2021 | 877,000 | 975,880 | ||||||
3.50%, 03/08/2022 | 929,000 | 960,239 | ||||||
5.61%, 01/15/2044 | 317,000 | 363,173 | ||||||
Wells Fargo Bank NA | ||||||||
4.75%, 02/09/2015 | 503,000 | 516,474 | ||||||
Westpac Banking Corp | ||||||||
4.20%, 02/27/2015 | 495,000 | 507,634 | ||||||
2.45%, 11/28/2016 (Acquired 10/28/2013, Cost $698,058) (b) | 676,000 | 700,383 | ||||||
1.60%, 01/12/2018 | 846,000 | 847,010 | ||||||
0.96%, 07/30/2018 | 3,060,000 | 3,098,164 | ||||||
4.88%, 11/19/2019 | 1,105,000 | 1,244,646 | ||||||
Weyerhaeuser Co | ||||||||
7.38%, 03/15/2032 | 500,000 | 675,585 | ||||||
Willis North America Inc | ||||||||
5.63%, 07/15/2015 | 81,000 | 84,873 | ||||||
7.00%, 09/29/2019 | 537,000 | 630,210 | ||||||
XLIT Ltd | ||||||||
2.30%, 12/15/2018 | 4,375,000 | 4,351,169 | ||||||
5.25%, 12/15/2043 | 2,700,000 | 2,969,101 | ||||||
|
| |||||||
873,238,530 | ||||||||
|
| |||||||
Industrials - 0.83% | ||||||||
ABB Finance USA Inc | ||||||||
1.63%, 05/08/2017 | 173,000 | 175,177 | ||||||
2.88%, 05/08/2022 | 241,000 | 239,302 | ||||||
4.38%, 05/08/2042 | 107,000 | 109,206 | ||||||
Acuity Brands Lighting Inc | ||||||||
6.00%, 12/15/2019 | 451,000 | 510,832 | ||||||
BAE Systems Holdings Inc | ||||||||
6.38%, 06/01/2019 (Acquired 10/28/2013, Cost $277,347) (b) | 243,000 | 280,208 | ||||||
BAE Systems PLC | ||||||||
5.80%, 10/11/2041 (Acquired 10/28/2013, Cost $579,731) (b) | 550,000 | 649,079 |
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Boeing Co/The | ||||||||
3.50%, 02/15/2015 | 26,000 | 26,503 | ||||||
4.88%, 02/15/2020 | 52,000 | 59,285 | ||||||
7.95%, 08/15/2024 | 124,000 | 173,821 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.65%, 05/01/2017 | 378,000 | 424,381 | ||||||
5.75%, 03/15/2018 | 173,000 | 198,340 | ||||||
3.60%, 09/01/2020 | 146,000 | 153,076 | ||||||
3.45%, 09/15/2021 | 215,000 | 223,411 | ||||||
3.05%, 03/15/2022 | 440,000 | 442,159 | ||||||
3.00%, 03/15/2023 | 206,000 | 202,641 | ||||||
6.70%, 08/01/2028 | 62,000 | 76,504 | ||||||
7.29%, 06/01/2036 | 134,000 | 179,590 | ||||||
5.75%, 05/01/2040 | 373,000 | 445,703 | ||||||
5.40%, 06/01/2041 | 542,000 | 622,312 | ||||||
4.38%, 09/01/2042 | 462,000 | 456,099 | ||||||
5.15%, 09/01/2043 | 389,000 | 428,821 | ||||||
Canadian Pacific Railway Co | ||||||||
7.13%, 10/15/2031 | 155,000 | 204,844 | ||||||
Caterpillar Financial Services Corp | ||||||||
5.50%, 03/15/2016 | 93,000 | 100,501 | ||||||
5.45%, 04/15/2018 | 103,000 | 117,429 | ||||||
7.05%, 10/01/2018 | 361,000 | 437,165 | ||||||
7.15%, 02/15/2019 | 62,000 | 76,329 | ||||||
2.85%, 06/01/2022 | 446,000 | 443,303 | ||||||
3.75%, 11/24/2023 | 2,825,000 | 2,944,046 | ||||||
Caterpillar Inc | ||||||||
1.50%, 06/26/2017 | 193,000 | 195,191 | ||||||
2.60%, 06/26/2022 | 220,000 | 214,621 | ||||||
CRH America Inc | ||||||||
6.00%, 09/30/2016 | 172,000 | 190,836 | ||||||
CSX Corp | ||||||||
6.25%, 04/01/2015 | 175,000 | 182,545 | ||||||
7.90%, 05/01/2017 | 413,000 | 480,396 | ||||||
7.38%, 02/01/2019 | 72,000 | 88,133 | ||||||
4.25%, 06/01/2021 | 205,000 | 223,640 | ||||||
5.50%, 04/15/2041 | 402,000 | 464,887 | ||||||
4.10%, 03/15/2044 | 3,535,000 | 3,332,162 |
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Danaher Corp | ||||||||
3.90%, 06/23/2021 | 387,000 | 415,698 | ||||||
Deere & Co | ||||||||
2.60%, 06/08/2022 | 619,000 | 605,232 | ||||||
3.90%, 06/09/2042 | 275,000 | 261,732 | ||||||
EADS Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 10/28/2013, Cost $354,465) (b) | 376,000 | 362,078 | ||||||
Eaton Corp | ||||||||
1.50%, 11/02/2017 | 163,000 | 163,202 | ||||||
5.60%, 05/15/2018 | 273,000 | 311,495 | ||||||
7.63%, 04/01/2024 | 206,000 | 262,763 | ||||||
4.00%, 11/02/2032 | 143,000 | 143,091 | ||||||
Federal Express Corp 1998 Pass Through Trust | ||||||||
6.85%, 01/15/2019 | 247,182 | 276,844 | ||||||
6.72%, 01/15/2022 | 219,803 | 258,269 | ||||||
Fluor Corp | ||||||||
3.38%, 09/15/2021 | 565,000 | 582,087 | ||||||
General Electric Co | ||||||||
2.70%, 10/09/2022 | 350,000 | 343,714 | ||||||
3.38%, 03/11/2024 | 655,000 | 667,423 | ||||||
Hanson Ltd | ||||||||
6.13%, 08/15/2016 | 625,000 | 681,250 | ||||||
Holcim US Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019 (Acquired 10/28/2013, Cost $167,538) (b) | 148,000 | 171,476 | ||||||
Honeywell International Inc | ||||||||
5.30%, 03/01/2018 | 155,000 | 176,158 | ||||||
Illinois Tool Works Inc | ||||||||
1.95%, 03/01/2019 | 167,000 | 167,186 | ||||||
3.90%, 09/01/2042 | 1,754,000 | 1,653,747 | ||||||
Ingersoll-Rand Co | ||||||||
6.39%, 11/15/2027 | 80,000 | 95,191 | ||||||
Ingersoll-Rand Global Holding Co Ltd | ||||||||
4.25%, 06/15/2023 | 329,000 | 346,108 | ||||||
Koninklijke Philips NV | ||||||||
5.75%, 03/11/2018 | 172,000 | 196,158 | ||||||
3.75%, 03/15/2022 | 864,000 | 908,472 | ||||||
7.20%, 06/01/2026 | 57,000 | 71,573 |
Table of Contents
Lafarge SA | ||||||||
6.50%, 07/15/2016 | 1,650,000 | 1,806,750 | ||||||
7.13%, 07/15/2036 | 107,000 | 124,120 | ||||||
Lockheed Martin Corp | ||||||||
2.13%, 09/15/2016 | 318,000 | 327,361 | ||||||
4.25%, 11/15/2019 | 103,000 | 113,659 | ||||||
4.85%, 09/15/2041 | 181,000 | 198,875 | ||||||
4.07%, 12/15/2042 | 462,000 | 445,401 | ||||||
Martin Marietta Materials Inc | ||||||||
4.25%, 07/02/2024 (Acquired 06/23/2014, Cost $1,695,247) (b) | 1,705,000 | 1,717,798 | ||||||
6.25%, 05/01/2037 | 107,000 | 114,741 | ||||||
Masco Corp | ||||||||
6.13%, 10/03/2016 | 175,000 | 192,719 | ||||||
Norfolk Southern Corp | ||||||||
7.70%, 05/15/2017 | 14,000 | 16,500 | ||||||
3.25%, 12/01/2021 | 570,000 | 584,455 | ||||||
2.90%, 02/15/2023 | 294,000 | 286,251 | ||||||
5.59%, 05/17/2025 | 6,000 | 6,820 | ||||||
3.95%, 10/01/2042 | 332,000 | 312,065 | ||||||
4.80%, 08/15/2043 | 3,400,000 | 3,617,260 | ||||||
6.00%, 03/15/2105 | 351,000 | 415,495 | ||||||
6.00%, 05/23/2111 | 1,274,000 | 1,517,688 | ||||||
Northrop Grumman Systems Corp | ||||||||
7.75%, 02/15/2031 | 206,000 | 283,748 | ||||||
Odebrecht Finance Ltd | ||||||||
5.25%, 06/27/2029 (Acquired 06/19/2014, Cost $1,375,000) (b) | 1,375,000 | 1,368,813 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 36,380 | ||||||
Parker Hannifin Corp | ||||||||
5.50%, 05/15/2018 | 80,000 | 90,503 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp | ||||||||
2.88%, 07/17/2018 (Acquired 10/28/2013, Cost $433,381) (b) | 431,000 | 441,187 | ||||||
2.50%, 06/15/2019 (Acquired 06/12/2014, Cost $183,948) (b) | 184,000 | 184,339 | ||||||
Precision Castparts Corp | ||||||||
0.70%, 12/20/2015 | 244,000 | 244,518 |
Table of Contents
Republic Services Inc | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 3,184,796 | ||||||
3.55%, 06/01/2022 | 496,000 | 512,741 | ||||||
Ryder System Inc | ||||||||
3.60%, 03/01/2016 | 278,000 | 290,770 | ||||||
2.50%, 03/01/2017 | 330,000 | 340,673 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
5.75%, 10/17/2016 (Acquired 10/28/2013, Cost $153,714) (b) | 139,000 | 154,056 | ||||||
Tyco Electronics Group SA | ||||||||
6.55%, 10/01/2017 | 752,000 | 870,204 | ||||||
2.38%, 12/17/2018 | 7,025,000 | 7,079,985 | ||||||
Union Pacific Corp | ||||||||
4.88%, 01/15/2015 | 18,000 | 18,440 | ||||||
4.16%, 07/15/2022 | 453,000 | 493,738 | ||||||
2.95%, 01/15/2023 | 149,000 | 148,486 | ||||||
3.65%, 02/15/2024 | 142,000 | 147,839 | ||||||
4.30%, 06/15/2042 | 165,000 | 166,869 | ||||||
4.82%, 02/01/2044 | 106,000 | 115,863 | ||||||
Union Pacific Railroad Co 2003 Pass Through Trust | ||||||||
4.70%, 01/02/2024 | 26,324 | 29,107 | ||||||
United Parcel Service Inc | ||||||||
2.45%, 10/01/2022 | 186,000 | 180,484 | ||||||
United Parcel Service of America Inc | ||||||||
8.38%, 04/01/2020 | 243,000 | 317,305 | ||||||
8.38%, 04/01/2030 | 83,000 | 121,279 | ||||||
United Technologies Corp | ||||||||
1.80%, 06/01/2017 | 205,000 | 209,387 | ||||||
6.13%, 02/01/2019 | 867,000 | 1,024,459 | ||||||
3.10%, 06/01/2022 | 524,000 | 530,759 | ||||||
4.50%, 06/01/2042 | 693,000 | 725,823 | ||||||
Vulcan Materials Co | ||||||||
7.00%, 06/15/2018 | 215,000 | 247,519 | ||||||
7.15%, 11/30/2037 | 54,000 | 56,160 | ||||||
Wabtec Corp/DE | ||||||||
4.38%, 08/15/2023 | 322,000 | 334,695 | ||||||
Waste Management Inc | ||||||||
7.38%, 03/11/2019 | 1,275,000 | 1,557,998 | ||||||
4.75%, 06/30/2020 | 195,000 | 218,021 | ||||||
|
| |||||||
58,418,327 | ||||||||
|
|
Table of Contents
Technology - 1.11% | ||||||||
Apple Inc | ||||||||
0.47%, 05/03/2018 | 790,000 | 790,023 | ||||||
2.85%, 05/06/2021 | 1,509,000 | 1,522,000 | ||||||
2.40%, 05/03/2023 | 2,081,000 | 1,965,898 | ||||||
Computer Sciences Corp | ||||||||
2.50%, 09/15/2015 | 564,000 | 574,084 | ||||||
Dell Inc | ||||||||
7.10%, 04/15/2028 | 196,000 | 201,880 | ||||||
EMC Corp/MA | ||||||||
1.88%, 06/01/2018 | 640,000 | 644,228 | ||||||
3.38%, 06/01/2023 | 764,000 | 773,124 | ||||||
Fidelity National Information Services Inc | ||||||||
1.45%, 06/05/2017 | 665,000 | 664,210 | ||||||
7.88%, 07/15/2020 | 4,371,000 | 4,629,151 | ||||||
3.50%, 04/15/2023 | 430,000 | 423,077 | ||||||
3.88%, 06/05/2024 | 2,150,000 | 2,160,189 | ||||||
Fiserv Inc | ||||||||
4.63%, 10/01/2020 | 215,000 | 234,380 | ||||||
Hewlett-Packard Co | ||||||||
2.35%, 03/15/2015 | 3,650,000 | 3,697,578 | ||||||
2.75%, 01/14/2019 | 6,625,000 | 6,793,003 | ||||||
4.30%, 06/01/2021 | 372,000 | 398,029 | ||||||
4.38%, 09/15/2021 | 293,000 | 314,172 | ||||||
4.65%, 12/09/2021 | 326,000 | 355,670 | ||||||
6.00%, 09/15/2041 | 731,000 | 841,408 | ||||||
HP Enterprise Services LLC | ||||||||
7.45%, 10/15/2029 | 250,000 | 306,805 | ||||||
Intel Corp | ||||||||
3.30%, 10/01/2021 | 504,000 | 521,880 | ||||||
4.00%, 12/15/2032 | 595,000 | 593,856 | ||||||
International Business Machines Corp | ||||||||
1.95%, 07/22/2016 | 532,000 | 545,950 | ||||||
1.25%, 02/06/2017 | 571,000 | 575,644 | ||||||
5.70%, 09/14/2017 | 408,000 | 464,838 | ||||||
7.63%, 10/15/2018 | 464,000 | 573,699 |
Table of Contents
1.63%, 05/15/2020 | 2,670,000 | 2,573,028 | ||||||
6.22%, 08/01/2027 | 68,000 | 85,670 | ||||||
4.00%, 06/20/2042 | 79,000 | 75,914 | ||||||
Intuit Inc | ||||||||
5.75%, 03/15/2017 | 7,359,000 | 8,216,397 | ||||||
Maxim Integrated Products Inc | ||||||||
2.50%, 11/15/2018 | 4,200,000 | 4,249,593 | ||||||
Microsoft Corp | ||||||||
0.88%, 11/15/2017 | 238,000 | 236,222 | ||||||
2.13%, 11/15/2022 | 350,000 | 335,115 | ||||||
2.38%, 05/01/2023 | 655,000 | 627,088 | ||||||
3.63%, 12/15/2023 | 5,470,000 | 5,718,048 | ||||||
4.50%, 10/01/2040 | 125,000 | 129,711 | ||||||
National Semiconductor Corp | ||||||||
6.60%, 06/15/2017 | 855,000 | 989,727 | ||||||
Oracle Corp | ||||||||
5.25%, 01/15/2016 | 239,000 | 256,065 | ||||||
5.75%, 04/15/2018 | 351,000 | 403,353 | ||||||
5.00%, 07/08/2019 | 547,000 | 623,804 | ||||||
2.80%, 07/01/2021 | 1,266,000 | 1,264,164 | ||||||
3.63%, 07/15/2023 | 149,000 | 153,507 | ||||||
3.40%, 07/01/2024 | 2,000,000 | 1,995,460 | ||||||
4.30%, 07/01/2034 | 3,714,000 | 3,712,514 | ||||||
6.50%, 04/15/2038 | 201,000 | 259,151 | ||||||
6.13%, 07/08/2039 | 265,000 | 332,519 | ||||||
Pitney Bowes Inc | ||||||||
5.60%, 03/15/2018 | 175,000 | 195,580 | ||||||
Seagate HDD Cayman | ||||||||
6.88%, 05/01/2020 | 5,679,000 | 6,140,419 | ||||||
Texas Instruments Inc | ||||||||
1.65%, 08/03/2019 | 434,000 | 426,486 | ||||||
Xerox Corp | ||||||||
6.40%, 03/15/2016 | 1,379,000 | 1,506,374 | ||||||
6.75%, 02/01/2017 | 2,170,000 | 2,462,010 | ||||||
2.95%, 03/15/2017 | 202,000 | 210,859 | ||||||
2.75%, 03/15/2019 | 3,200,000 | 3,259,527 | ||||||
5.63%, 12/15/2019 | 521,000 | 598,075 | ||||||
4.50%, 05/15/2021 | 183,000 | 197,719 | ||||||
|
| |||||||
77,798,875 | ||||||||
|
|
Table of Contents
Utilities - 1.58% | ||||||||
AGL Capital Corp | ||||||||
4.95%, 01/15/2015 | 1,600,000 | 1,636,106 | ||||||
6.38%, 07/15/2016 | 691,000 | 762,351 | ||||||
3.50%, 09/15/2021 | 530,000 | 551,036 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,486,508 | ||||||
4.40%, 06/01/2043 | 160,000 | 163,406 | ||||||
Alabama Power Co | ||||||||
6.13%, 05/15/2038 | 219,000 | 279,815 | ||||||
6.00%, 03/01/2039 | 89,000 | 113,779 | ||||||
American Electric Power Co Inc | ||||||||
1.65%, 12/15/2017 | 246,000 | 247,305 | ||||||
American Water Capital Corp | ||||||||
3.85%, 03/01/2024 | 500,000 | 516,115 | ||||||
6.59%, 10/15/2037 | 386,000 | 511,943 | ||||||
Appalachian Power Co | ||||||||
6.70%, 08/15/2037 | 430,000 | 564,324 | ||||||
Arizona Public Service Co | ||||||||
4.65%, 05/15/2015 | 115,000 | 119,165 | ||||||
8.75%, 03/01/2019 | 91,000 | 117,327 | ||||||
3.35%, 06/15/2024 | 676,000 | 681,358 | ||||||
5.05%, 09/01/2041 | 349,000 | 393,120 | ||||||
4.50%, 04/01/2042 | 221,000 | 230,688 | ||||||
Atmos Energy Corp | ||||||||
8.50%, 03/15/2019 | 71,000 | 90,805 | ||||||
4.15%, 01/15/2043 | 830,000 | 824,530 | ||||||
Baltimore Gas & Electric Co | ||||||||
2.80%, 08/15/2022 | 509,000 | 500,406 | ||||||
Beaver Valley II Funding Corp | ||||||||
9.00%, 06/01/2017 | 27,000 | 28,487 | ||||||
Boston Gas Co | ||||||||
4.49%, 02/15/2042 (Acquired 10/28/2013, Cost $241,240) (b) | 253,000 | 259,364 | ||||||
CenterPoint Energy Inc | ||||||||
6.50%, 05/01/2018 | 390,000 | 456,127 |
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Centrica PLC | ||||||||
4.00%, 10/16/2023 (Acquired 11/18/2013, Cost $4,975,200) (b) | 5,000,000 | 5,005,145 | ||||||
Cleveland Electric Illuminating Co/The | ||||||||
7.88%, 11/01/2017 | 356,000 | 426,740 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021 (Acquired 10/28/2013, Cost $571,177) (b) | 551,000 | 592,600 | ||||||
4.88%, 01/15/2024 (Acquired 10/28/2013 through 11/22/2013, Cost $1,822,198) (b) | 1,822,000 | 1,944,985 | ||||||
Connecticut Light & Power Co/The | ||||||||
5.65%, 05/01/2018 | 95,000 | 107,573 | ||||||
Consolidated Edison Co of New York Inc | ||||||||
5.70%, 06/15/2040 | 318,000 | 385,517 | ||||||
Constellation Energy Group Inc | ||||||||
4.55%, 06/15/2015 | 630,000 | 653,164 | ||||||
Consumers Energy Co | ||||||||
5.65%, 04/15/2020 | 144,000 | 168,207 | ||||||
2.85%, 05/15/2022 | 155,000 | 155,149 | ||||||
Delmarva Power & Light Co | ||||||||
4.00%, 06/01/2042 | 170,000 | 164,853 | ||||||
Dominion Resources Inc/VA | ||||||||
6.00%, 11/30/2017 | 61,000 | 69,820 | ||||||
8.88%, 01/15/2019 | 165,000 | 211,806 | ||||||
5.25%, 08/01/2033 | 583,000 | 656,229 | ||||||
7.00%, 06/15/2038 | 124,000 | 166,929 | ||||||
4.90%, 08/01/2041 | 212,000 | 222,637 | ||||||
DTE Electric Co | ||||||||
2.65%, 06/15/2022 | 194,000 | 190,631 | ||||||
DTE Energy Co | ||||||||
3.85%, 12/01/2023 | 292,000 | 304,390 | ||||||
3.50%, 06/01/2024 | 692,000 | 697,982 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.10%, 04/15/2018 | 144,000 | 162,273 | ||||||
4.30%, 06/15/2020 | 205,000 | 226,488 | ||||||
6.00%, 01/15/2038 | 161,000 | 205,477 | ||||||
4.25%, 12/15/2041 | 141,000 | 143,534 | ||||||
Duke Energy Corp | ||||||||
3.95%, 09/15/2014 | 194,000 | 195,401 | ||||||
2.15%, 11/15/2016 | 439,000 | 451,579 | ||||||
6.25%, 06/15/2018 | 1,781,000 | 2,059,224 | ||||||
3.55%, 09/15/2021 | 306,000 | 319,926 | ||||||
3.75%, 04/15/2024 | 231,000 | 237,262 |
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Duke Energy Florida Inc | ||||||||
5.65%, 06/15/2018 | 116,000 | 132,490 | ||||||
6.40%, 06/15/2038 | 72,000 | 96,309 | ||||||
Duke Energy Indiana Inc | ||||||||
3.75%, 07/15/2020 | 398,000 | 425,488 | ||||||
6.35%, 08/15/2038 | 320,000 | 421,933 | ||||||
Duke Energy Progress Inc | ||||||||
5.30%, 01/15/2019 | 206,000 | 235,629 | ||||||
3.00%, 09/15/2021 | 372,000 | 379,347 | ||||||
2.80%, 05/15/2022 | 335,000 | 333,212 | ||||||
4.10%, 05/15/2042 | 217,000 | 214,865 | ||||||
4.10%, 03/15/2043 | 181,000 | 178,592 | ||||||
4.38%, 03/30/2044 | 132,000 | 137,736 | ||||||
Electricite de France | ||||||||
1.15%, 01/20/2017 (Acquired 01/13/2014, Cost $4,978,050) (b) | 5,000,000 | 5,001,050 | ||||||
2.15%, 01/22/2019 (Acquired 01/13/2014, Cost $3,517,154) (b) | 3,558,000 | 3,578,067 | ||||||
6.00%, 01/22/2114 (Acquired 01/13/2014, Cost $1,003,464) (b) | 1,035,000 | 1,168,785 | ||||||
Enel Finance International NV | ||||||||
5.13%, 10/07/2019 (Acquired 10/28/2013, Cost $944,615) (b) | 888,000 | 999,774 | ||||||
6.80%, 09/15/2037 (Acquired 10/28/2013, Cost $211,074) (b) | 204,000 | 248,940 | ||||||
6.00%, 10/07/2039 (Acquired 10/28/2013, Cost $98,540) (b) | 103,000 | 117,356 | ||||||
Exelon Generation Co LLC | ||||||||
6.20%, 10/01/2017 | 3,436,000 | 3,914,755 | ||||||
4.00%, 10/01/2020 | 619,000 | 652,569 | ||||||
5.75%, 10/01/2041 | 192,000 | 212,985 | ||||||
FirstEnergy Transmission LLC | ||||||||
5.45%, 07/15/2044 (Acquired 05/14/2014, Cost $960,754) (b) | 965,000 | 977,732 | ||||||
Florida Power & Light Co | ||||||||
5.95%, 10/01/2033 | 402,000 | 506,512 | ||||||
5.63%, 04/01/2034 | 57,000 | 69,737 | ||||||
5.95%, 02/01/2038 | 103,000 | 131,078 | ||||||
Georgia Power Co | ||||||||
5.95%, 02/01/2039 | 41,000 | 50,987 | ||||||
Great Plains Energy Inc | ||||||||
4.85%, 06/01/2021 | 156,000 | 172,392 |
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Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 253,738 | ||||||
8.40%, 01/15/2022 | 826,000 | 1,093,889 | ||||||
8.05%, 07/07/2024 | 638,000 | 881,222 | ||||||
Indiana Michigan Power Co | ||||||||
7.00%, 03/15/2019 | 112,000 | 136,058 | ||||||
3.20%, 03/15/2023 | 991,000 | 983,823 | ||||||
Jersey Central Power & Light Co | ||||||||
7.35%, 02/01/2019 | 31,000 | 37,454 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 474,256 | 495,324 | ||||||
Kansas City Power & Light Co | ||||||||
3.15%, 03/15/2023 | 375,000 | 373,829 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,152,147 | ||||||
Korea Electric Power Corp | ||||||||
6.75%, 08/01/2027 | 233,000 | 284,104 | ||||||
Korea Gas Corp | ||||||||
4.25%, 11/02/2020 (Acquired 10/28/2013, Cost $292,691) (b) | 279,000 | 302,229 | ||||||
Korea Hydro & Nuclear Power Co Ltd | ||||||||
2.88%, 10/02/2018 (Acquired 11/18/2013, Cost $4,038,703) (b) | 4,000,000 | 4,091,708 | ||||||
Mega Advance Investments Ltd | ||||||||
5.00%, 05/12/2021 (Acquired 10/28/2013, Cost $619,193) (b) | 591,000 | 634,693 | ||||||
MidAmerican Energy Co | ||||||||
5.30%, 03/15/2018 | 72,000 | 81,568 | ||||||
MidAmerican Energy Holdings Co | ||||||||
5.75%, 04/01/2018 | 168,000 | 192,268 | ||||||
Nevada Power Co | ||||||||
6.50%, 08/01/2018 | 232,000 | 274,312 | ||||||
7.13%, 03/15/2019 | 188,000 | 230,089 | ||||||
5.38%, 09/15/2040 | 38,000 | 44,716 | ||||||
5.45%, 05/15/2041 | 386,000 | 464,682 | ||||||
NextEra Energy Capital Holdings Inc | ||||||||
1.20%, 06/01/2015 | 168,000 | 169,022 | ||||||
7.88%, 12/15/2015 | 165,000 | 181,638 | ||||||
6.00%, 03/01/2019 | 124,000 | 144,476 | ||||||
2.40%, 09/15/2019 | 487,000 | 489,626 | ||||||
7.30%, 09/01/2067 | 295,000 | 325,238 |
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Niagara Mohawk Power Corp | ||||||||
4.88%, 08/15/2019 (Acquired 10/28/2013, Cost $186,429) (b) | 168,000 | 187,880 | ||||||
NiSource Finance Corp | ||||||||
4.45%, 12/01/2021 | 186,000 | 200,209 | ||||||
3.85%, 02/15/2023 | 283,000 | 290,213 | ||||||
5.80%, 02/01/2042 | 774,000 | 886,753 | ||||||
Northern States Power Co/MN | ||||||||
6.25%, 06/01/2036 | 258,000 | 337,694 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,482,537 | ||||||
Ohio Power Co | ||||||||
6.05%, 05/01/2018 | 160,000 | 184,225 | ||||||
5.38%, 10/01/2021 | 65,000 | 75,875 | ||||||
Oncor Electric Delivery Co LLC | ||||||||
6.80%, 09/01/2018 | 635,000 | 755,060 | ||||||
7.00%, 09/01/2022 | 124,000 | 158,463 | ||||||
Pacific Gas & Electric Co | ||||||||
5.63%, 11/30/2017 | 204,000 | 230,677 | ||||||
8.25%, 10/15/2018 | 4,484,000 | 5,602,538 | ||||||
3.25%, 09/15/2021 | 146,000 | 150,581 | ||||||
2.45%, 08/15/2022 | 581,000 | 555,445 | ||||||
3.25%, 06/15/2023 | 206,000 | 205,743 | ||||||
6.05%, 03/01/2034 | 46,000 | 56,889 | ||||||
4.50%, 12/15/2041 | 749,000 | 766,919 | ||||||
4.45%, 04/15/2042 | 194,000 | 198,372 | ||||||
PacifiCorp | ||||||||
5.65%, 07/15/2018 | 294,000 | 335,903 | ||||||
5.50%, 01/15/2019 | 26,000 | 29,940 | ||||||
3.85%, 06/15/2021 | 103,000 | 110,554 | ||||||
PECO Energy Co | ||||||||
5.35%, 03/01/2018 | 93,000 | 104,513 | ||||||
2.38%, 09/15/2022 | 578,000 | 555,328 | ||||||
Pennsylvania Electric Co | ||||||||
6.05%, 09/01/2017 | 93,000 | 105,454 | ||||||
Potomac Electric Power Co | ||||||||
6.50%, 11/15/2037 | 136,000 | 183,268 | ||||||
PPL Electric Utilities Corp | ||||||||
2.50%, 09/01/2022 | 178,000 | 173,921 | ||||||
4.13%, 06/15/2044 | 208,000 | 206,057 |
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PPL Energy Supply LLC | ||||||||
5.70%, 10/15/2015 | 221,000 | 232,352 | ||||||
Progress Energy Inc | ||||||||
4.40%, 01/15/2021 | 390,000 | 427,358 | ||||||
3.15%, 04/01/2022 | 389,000 | 390,158 | ||||||
7.75%, 03/01/2031 | 153,000 | 216,237 | ||||||
PSEG Power LLC | ||||||||
5.50%, 12/01/2015 | 226,000 | 241,087 | ||||||
5.32%, 09/15/2016 | 346,000 | 378,285 | ||||||
5.13%, 04/15/2020 | 679,000 | 760,462 | ||||||
4.15%, 09/15/2021 | 83,000 | 87,671 | ||||||
8.63%, 04/15/2031 | 130,000 | 187,234 | ||||||
Public Service Co of Colorado | ||||||||
5.80%, 08/01/2018 | 28,000 | 32,138 | ||||||
3.20%, 11/15/2020 | 120,000 | 123,987 | ||||||
2.25%, 09/15/2022 | 210,000 | 200,305 | ||||||
Public Service Co of New Hampshire | ||||||||
3.50%, 11/01/2023 | 101,000 | 104,115 | ||||||
Public Service Co of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 161,304 | ||||||
4.40%, 02/01/2021 | 203,000 | 222,564 | ||||||
6.63%, 11/15/2037 | 449,000 | 583,735 | ||||||
Public Service Electric & Gas Co | ||||||||
5.30%, 05/01/2018 | 85,000 | 96,470 | ||||||
5.38%, 11/01/2039 | 117,000 | 139,538 | ||||||
RGS I&M Funding Corp | ||||||||
9.82%, 12/07/2022 | 98,132 | 117,551 | ||||||
San Diego Gas & Electric Co | ||||||||
6.00%, 06/01/2026 | 213,000 | 265,298 | ||||||
3.95%, 11/15/2041 | 310,000 | 303,395 | ||||||
Sempra Energy | ||||||||
6.50%, 06/01/2016 | 93,000 | 102,757 | ||||||
6.15%, 06/15/2018 | 237,000 | 275,084 | ||||||
9.80%, 02/15/2019 | 841,000 | 1,117,646 | ||||||
2.88%, 10/01/2022 | 361,000 | 353,934 | ||||||
4.05%, 12/01/2023 | 10,325,000 | 10,907,443 | ||||||
3.55%, 06/15/2024 | 709,000 | 713,964 | ||||||
6.00%, 10/15/2039 | 155,000 | 192,331 |
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South Carolina Electric & Gas Co | ||||||||
4.50%, 06/01/2064 | 161,000 | 162,935 | ||||||
Southern California Edison Co | ||||||||
4.15%, 09/15/2014 | 124,000 | 124,938 | ||||||
5.50%, 08/15/2018 | 144,000 | 164,569 | ||||||
3.88%, 06/01/2021 | 102,000 | 110,136 | ||||||
3.50%, 10/01/2023 | 328,000 | 340,043 | ||||||
5.95%, 02/01/2038 | 67,000 | 84,674 | ||||||
6.05%, 03/15/2039 | 253,000 | 323,139 | ||||||
3.90%, 12/01/2041 | 392,000 | 379,171 | ||||||
Southern Co/The | ||||||||
1.95%, 09/01/2016 | 307,000 | 314,195 | ||||||
Southern Power Co | ||||||||
5.15%, 09/15/2041 | 146,000 | 161,903 | ||||||
Southwestern Public Service Co | ||||||||
8.75%, 12/01/2018 | 351,000 | 448,219 | ||||||
State Grid Overseas Investment 2013 Ltd | ||||||||
1.75%, 05/22/2018 (Acquired 10/28/2013, Cost $237,873) (b) | 241,000 | 237,014 | ||||||
State Grid Overseas Investment 2014 Ltd | ||||||||
2.75%, 05/07/2019 (Acquired 04/28/2014, Cost $4,225,408) (b) | 4,240,000 | 4,274,480 | ||||||
Talent Yield Investments Ltd | ||||||||
4.50%, 04/25/2022 (Acquired 10/28/2013, Cost $712,449) (b) | 715,000 | 739,424 | ||||||
Virginia Electric and Power Co | ||||||||
5.95%, 09/15/2017 | 83,000 | 95,306 | ||||||
5.40%, 04/30/2018 | 475,000 | 540,238 | ||||||
2.95%, 01/15/2022 | 80,000 | 80,885 | ||||||
3.45%, 02/15/2024 | 191,000 | 195,382 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 3,760,148 | ||||||
Westar Energy Inc | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,154,517 | ||||||
Wisconsin Electric Power Co | ||||||||
6.25%, 12/01/2015 | 134,000 | 144,257 | ||||||
2.95%, 09/15/2021 | 27,000 | 27,516 | ||||||
Xcel Energy Inc | ||||||||
0.75%, 05/09/2016 | 28,000 | 28,029 |
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4.70%, 05/15/2020 | 62,000 | 69,259 | ||||||
6.50%, 07/01/2036 | 351,000 | 458,358 | ||||||
4.80%, 09/15/2041 | 95,000 | 102,253 | ||||||
|
| |||||||
110,922,161 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $1,829,578,754) | $ | 1,890,614,375 | ||||||
|
| |||||||
Government Related - 23.27% | ||||||||
American Municipal Power Inc | ||||||||
7.50%, 02/15/2050 | $ | 1,350,000 | $ | 1,869,723 | ||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 610,654 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,222,533 | ||||||
Brazilian Government International Bond | ||||||||
4.25%, 01/07/2025 | 3,150,000 | 3,192,525 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 899,555 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 294,378 | ||||||
5.04%, 01/01/2021 | 215,000 | 219,485 | ||||||
City of Houston TX Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 1,946,607 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 350,000 | 438,147 | ||||||
County of Contra Costa CA | ||||||||
5.14%, 06/01/2017 | 640,000 | 687,232 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 97,922 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
5.52%, 10/01/2044 | 2,900,000 | 3,480,058 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 289,847 | ||||||
Elgin Local School District | ||||||||
5.50%, 08/31/2027 | 535,000 | 557,122 | ||||||
Fannie Mae Strip | ||||||||
0.00%, 11/15/2021 | 887,000 | 732,888 | ||||||
Fannie Mae Strip | ||||||||
0.00%, 05/15/2030 | 929,000 | 509,186 |
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Federal Farm Credit Banks | ||||||||
5.13%, 11/15/2018 | 666,000 | 766,677 | ||||||
Federal Home Loan Banks | ||||||||
5.50%, 07/15/2036 | 1,135,000 | 1,452,213 | ||||||
Federal Home Loan Mortgage Corp | ||||||||
5.50%, 08/23/2017 | 996,000 | 1,133,766 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 06/01/2017 | 2,735,000 | 2,650,349 | ||||||
1.88%, 02/19/2019 | 15,520,000 | 15,727,285 | ||||||
1.75%, 06/20/2019 | 7,540,000 | 7,557,387 | ||||||
Financing Corp Fico | ||||||||
0.00%, 11/30/2017 | 404,000 | 385,992 | ||||||
0.00%, 04/06/2018 | 194,000 | 183,586 | ||||||
0.00%, 05/11/2018 | 6,860,000 | 6,475,717 | ||||||
0.00%, 08/03/2018 | 276,000 | 258,823 | ||||||
0.00%, 03/07/2019 | 205,000 | 188,431 | ||||||
0.00%, 04/05/2019 | 2,766,000 | 2,535,426 | ||||||
0.00%, 09/26/2019 | 3,174,000 | 2,861,405 | ||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,247,126 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.50%, 10/30/2020 | 6,750,000 | 6,836,238 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 03/13/2020 | 5,000,000 | 5,550,000 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 620,000 | 616,646 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 03/15/2018 | 1,032,000 | 974,795 | ||||||
0.00%, 11/01/2019 | 345,000 | 308,364 | ||||||
0.00%, 08/15/2020 | 827,000 | 716,293 | ||||||
0.00%, 02/15/2022 | 464,000 | 377,283 | ||||||
0.00%, 08/15/2022 | 7,201,000 | 5,725,832 | ||||||
5.50%, 09/18/2023 | 8,856,000 | 10,795,367 | ||||||
0.00%, 11/01/2023 | 413,000 | 310,106 | ||||||
5.50%, 04/26/2024 | 3,784,000 | 4,616,722 | ||||||
0.00%, 11/01/2024 | 2,549,000 | 1,825,512 | ||||||
0.00%, 11/15/2026 | 258,000 | 167,822 | ||||||
5.50%, 09/18/2033 | 619,000 | 775,133 |
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Los Angeles Department of Water & Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,353,400 | ||||||
Mexico Government International Bond | ||||||||
3.50%, 01/21/2021 | 1,786,000 | 1,854,761 | ||||||
3.63%, 03/15/2022 | 2,000,000 | 2,075,000 | ||||||
4.00%, 10/02/2023 | 842,000 | 884,942 | ||||||
4.75%, 03/08/2044 | 450,000 | 459,000 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,699,425 | ||||||
5.75%, 10/12/2110 | 588,000 | 623,868 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 130,000 | 132,822 | ||||||
3.75%, 07/01/2034 | 365,000 | 379,301 | ||||||
New Jersey State Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,222,755 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 316,038 | ||||||
Ohio State University/The | ||||||||
4.80%, 06/01/2111 | 1,102,000 | 1,134,785 | ||||||
Panama Government International Bond | ||||||||
5.20%, 01/30/2020 | 2,930,000 | 3,269,880 | ||||||
Poland Government International Bond | ||||||||
6.38%, 07/15/2019 | 1,000,000 | 1,185,000 | ||||||
4.00%, 01/22/2024 | 1,040,000 | 1,079,000 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,502,701 | ||||||
4.46%, 10/01/2062 | 2,500,000 | 2,558,900 | ||||||
Province of British Columbia | ||||||||
2.00%, 10/23/2022 | 6,270,000 | 5,946,606 | ||||||
Province of Ontario Canada | ||||||||
2.95%, 02/05/2015 | 1,264,000 | 1,284,469 | ||||||
1.65%, 09/27/2019 | 1,315,000 | 1,294,632 | ||||||
Province of Quebec Canada | ||||||||
7.37%, 03/06/2026 | 58,000 | 78,089 | ||||||
Residual Funding Corp Strip | ||||||||
0.00%, 07/15/2020 | 24,949,000 | 21,865,004 | ||||||
0.00%, 10/15/2020 | 5,841,000 | 5,070,526 | ||||||
0.00%, 01/15/2021 | 2,270,000 | 1,954,479 |
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Rhode Island Housing & Mortgage Finance Corp/RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,102,360 | ||||||
Romanian Government International Bond | ||||||||
4.88%, 01/22/2024 (Acquired 01/14/2014, Cost $434,997) (b) | 440,000 | 468,050 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.50%, 03/31/2030 (Acquired 11/21/2013, Cost $2,567,221) (b) | 2,192,000 | 2,538,643 | ||||||
San Dieguito Public Facilities Authority | ||||||||
6.46%, 05/01/2027 | 685,000 | 773,879 | ||||||
South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 447,935 | ||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 7,886,190 | ||||||
7.30%, 10/01/2039 | 275,000 | 391,344 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 560,000 | 562,643 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,717,816 | ||||||
Tennessee Valley Authority | ||||||||
5.88%, 04/01/2036 | 882,000 | 1,140,920 | ||||||
5.50%, 06/15/2038 | 57,000 | 70,907 | ||||||
5.25%, 09/15/2039 | 949,000 | 1,151,648 | ||||||
4.63%, 09/15/2060 | 303,000 | 319,165 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 01/15/2019 | 775,000 | 709,435 | ||||||
0.00%, 05/01/2019 | 1,238,000 | 1,123,778 | ||||||
0.00%, 07/15/2028 | 2,000,000 | 1,169,242 | ||||||
Tennessee Valley Authority Strip | ||||||||
0.00%, 12/15/2017 | 427,000 | 401,050 | ||||||
0.00%, 11/01/2025 | 1,847,000 | 1,241,457 | ||||||
0.00%, 06/15/2035 | 258,000 | 108,484 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 298,680 | ||||||
Tunisia Government AID Bonds | ||||||||
1.69%, 07/16/2019 | 1,032,000 | 1,019,831 |
Table of Contents
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 1,910,000 | 2,224,577 | ||||||
5.75%, 03/22/2024 | 494,000 | 539,695 | ||||||
6.63%, 02/17/2045 | 214,000 | 247,705 | ||||||
Ukraine Government AID Bonds | ||||||||
1.84%, 05/16/2019 | 3,905,000 | 3,900,595 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.50%, 04/15/2015 (g) | 2,822,390 | 2,863,183 | ||||||
0.13%, 04/15/2016 (g) | 443,578 | 455,223 | ||||||
1.13%, 01/15/2021 (g) | 531,038 | 575,221 | ||||||
3.63%, 04/15/2028 (g) | 1,528,788 | 2,146,991 | ||||||
2.50%, 01/15/2029 (g) | 456,035 | 575,388 | ||||||
United States Treasury Note/Bond | ||||||||
11.25%, 02/15/2015 | 1,032,000 | 1,103,555 | ||||||
1.50%, 06/30/2016 | 40,000,000 | 40,825,000 | ||||||
3.13%, 10/31/2016 | 3,400,000 | 3,600,015 | ||||||
7.50%, 11/15/2016 | 5,820,000 | 6,765,750 | ||||||
2.75%, 11/30/2016 | 258,000 | 271,142 | ||||||
3.25%, 12/31/2016 | 20,315,000 | 21,616,420 | ||||||
3.13%, 01/31/2017 | 206,000 | 218,811 | ||||||
4.63%, 02/15/2017 | 980,000 | 1,079,990 | ||||||
3.25%, 03/31/2017 | 6,295,000 | 6,719,912 | ||||||
3.13%, 04/30/2017 | 13,814,000 | 14,707,600 | ||||||
4.50%, 05/15/2017 | 4,932,000 | 5,446,393 | ||||||
2.75%, 05/31/2017 | 5,000,000 | 5,273,440 | ||||||
2.50%, 06/30/2017 | 17,870,000 | 18,720,219 | ||||||
4.75%, 08/15/2017 | 7,303,000 | 8,162,811 | ||||||
8.88%, 08/15/2017 | 8,230,000 | 10,243,782 | ||||||
4.25%, 11/15/2017 | 13,353,000 | 14,771,756 | ||||||
2.25%, 11/30/2017 | 206,000 | 214,095 | ||||||
2.75%, 12/31/2017 | 1,459,000 | 1,541,639 | ||||||
0.88%, 01/31/2018 | 245,000 | 242,646 | ||||||
2.63%, 01/31/2018 | 2,683,000 | 2,823,439 | ||||||
3.50%, 02/15/2018 | 86,168,000 | 93,337,436 | ||||||
2.88%, 03/31/2018 | 3,159,000 | 3,353,724 | ||||||
1.38%, 06/30/2018 | 9,940,000 | 9,962,524 | ||||||
1.50%, 08/31/2018 | 21,561,000 | 21,673,850 | ||||||
1.25%, 10/31/2018 | 12,930,000 | 12,829,999 |
Table of Contents
1.25%, 11/30/2018 | 92,265,000 | 91,428,895 | ||||||
1.38%, 11/30/2018 | 17,239,000 | 17,190,524 | ||||||
1.38%, 12/31/2018 | 722,000 | 719,010 | ||||||
1.50%, 12/31/2018 | 16,415,000 | 16,423,979 | ||||||
1.25%, 04/30/2019 | 86,725,600 | 85,424,716 | ||||||
3.13%, 05/15/2019 | 20,774,000 | 22,278,495 | ||||||
1.50%, 05/31/2019 | 24,625,000 | 24,501,875 | ||||||
1.00%, 06/30/2019 | 1,500,000 | 1,453,829 | ||||||
1.63%, 06/30/2019 | 22,390,000 | 22,390,000 | ||||||
0.88%, 07/31/2019 | 66,110,000 | 63,568,864 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,299,310 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 6,470,763 | ||||||
3.50%, 05/15/2020 | 2,580,000 | 2,820,866 | ||||||
8.75%, 05/15/2020 | 2,000,000 | 2,776,250 | ||||||
2.63%, 08/15/2020 | 7,709,000 | 8,022,178 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 8,814,272 | ||||||
2.13%, 08/31/2020 | 7,032,000 | 7,104,514 | ||||||
2.63%, 11/15/2020 | 3,096,000 | 3,215,970 | ||||||
2.00%, 11/30/2020 | 1,500,000 | 1,499,179 | ||||||
2.13%, 01/31/2021 | 2,000,000 | 2,009,844 | ||||||
3.63%, 02/15/2021 | 1,961,000 | 2,158,326 | ||||||
7.88%, 02/15/2021 | 900,000 | 1,230,469 | ||||||
2.25%, 03/31/2021 | 28,795,000 | 29,105,439 | ||||||
2.25%, 04/30/2021 | 13,705,000 | 13,839,912 | ||||||
3.13%, 05/15/2021 | 4,592,000 | 4,902,318 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 2,391,643 | ||||||
2.00%, 05/31/2021 | 55,000 | 54,588 | ||||||
2.13%, 06/30/2021 | 2,845,000 | 2,844,556 | ||||||
2.13%, 08/15/2021 | 5,805,000 | 5,801,372 | ||||||
8.00%, 11/15/2021 | 2,826,000 | 3,957,946 | ||||||
2.00%, 02/15/2022 | 1,250,000 | 1,230,566 | ||||||
7.25%, 08/15/2022 | 1,444,000 | 1,984,146 | ||||||
7.13%, 02/15/2023 | 683,000 | 940,779 | ||||||
6.25%, 08/15/2023 | 15,650,000 | 20,643,320 | ||||||
6.75%, 08/15/2026 | 205,000 | 291,741 | ||||||
6.63%, 02/15/2027 | 753,000 | 1,067,848 | ||||||
6.38%, 08/15/2027 | 290,000 | 405,683 |
Table of Contents
6.13%, 11/15/2027 | 470,000 | 645,442 | ||||||
5.50%, 08/15/2028 | 1,481,000 | 1,937,333 | ||||||
5.25%, 11/15/2028 | 49,665,500 | 63,618,426 | ||||||
5.25%, 02/15/2029 | �� | 1,113,000 | 1,426,727 | |||||
6.13%, 08/15/2029 | 603,000 | 841,656 | ||||||
6.25%, 05/15/2030 | 789,000 | 1,121,366 | ||||||
5.38%, 02/15/2031 | 5,312,000 | 6,974,491 | ||||||
4.50%, 02/15/2036 | 7,389,000 | 8,974,170 | ||||||
4.75%, 02/15/2037 | 3,955,000 | 4,971,558 | ||||||
5.00%, 05/15/2037 | 6,294,000 | 8,170,399 | ||||||
4.38%, 02/15/2038 | 18,912,600 | 22,579,867 | ||||||
4.50%, 05/15/2038 | 789,000 | 959,375 | ||||||
3.50%, 02/15/2039 | 64,819,100 | 67,634,712 | ||||||
4.25%, 05/15/2039 | 200,000 | 234,844 | ||||||
4.50%, 08/15/2039 | 206,000 | 251,095 | ||||||
3.63%, 02/15/2044 | 9,150,000 | 9,656,105 | ||||||
3.38%, 05/15/2044 | 380,000 | 382,553 | ||||||
United States Treasury Strip Coupon | ||||||||
0.00%, 08/15/2015 | 3,000 | 2,994 | ||||||
0.00%, 02/15/2016 | 7,205,000 | 7,169,191 | ||||||
0.00%, 08/15/2016 | 3,966,000 | 3,920,494 | ||||||
0.00%, 11/15/2016 | 5,261,000 | 5,184,610 | ||||||
0.00%, 02/15/2017 | 10,719,000 | 10,508,961 | ||||||
0.00%, 08/15/2017 | 4,176,000 | 4,049,814 | ||||||
0.00%, 11/15/2017 | 9,529,000 | 9,182,163 | ||||||
0.00%, 02/15/2018 | 3,658,000 | 3,500,563 | ||||||
0.00%, 05/15/2018 | 3,044,000 | 2,894,531 | ||||||
0.00%, 08/15/2018 | 23,739,000 | 22,406,126 | ||||||
0.00%, 11/15/2018 | 500,000 | 468,558 | ||||||
0.00%, 05/15/2019 | 18,038,000 | 16,629,214 | ||||||
0.00%, 08/15/2019 | 22,357,000 | 20,442,168 | ||||||
0.00%, 02/15/2020 | 1,858,000 | 1,669,649 | ||||||
0.00%, 05/15/2020 | 35,145,000 | 31,321,540 | ||||||
0.00%, 05/15/2020 | 470,000 | 420,565 | ||||||
0.00%, 08/15/2020 | 22,243,000 | 19,631,160 | ||||||
0.00%, 02/15/2021 | 15,550,000 | 13,496,514 | ||||||
0.00%, 05/15/2021 | 11,063,000 | 9,512,067 |
Table of Contents
0.00%, 08/15/2021 | 6,139,000 | 5,229,833 | ||||||
0.00%, 11/15/2021 | 12,779,000 | 10,772,378 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 28,329,547 | ||||||
0.00%, 05/15/2022 | 8,519,000 | 7,052,352 | ||||||
0.00%, 08/15/2022 | 9,500,000 | 7,791,036 | ||||||
0.00%, 11/15/2022 | 1,500,000 | 1,218,147 | ||||||
0.00%, 02/15/2023 | 42,197,000 | 33,906,513 | ||||||
0.00%, 05/15/2023 | 26,770,000 | 21,320,431 | ||||||
0.00%, 02/15/2024 | 124,000 | 95,945 | ||||||
0.00%, 05/15/2024 | 722,000 | 553,781 | ||||||
0.00%, 08/15/2024 | 1,334,000 | 1,012,133 | ||||||
0.00%, 11/15/2024 | 2,105,000 | 1,580,428 | ||||||
0.00%, 02/15/2025 | 1,299,000 | 966,186 | ||||||
0.00%, 05/15/2025 | 279,000 | 205,483 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 714,212 | ||||||
0.00%, 05/15/2026 | 2,301,000 | 1,626,404 | ||||||
0.00%, 08/15/2026 | 1,681,000 | 1,176,076 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 7,076,220 | ||||||
0.00%, 02/15/2027 | 17,916,000 | 12,272,388 | ||||||
0.00%, 05/15/2027 | 1,866,000 | 1,265,284 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 2,895,173 | ||||||
0.00%, 11/15/2027 | 8,107,000 | 5,380,681 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 5,101,250 | ||||||
0.00%, 05/15/2028 | 1,166,000 | 757,547 | ||||||
0.00%, 08/15/2028 | 1,918,000 | 1,233,130 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 4,795,598 | ||||||
0.00%, 02/15/2029 | 5,387,000 | 3,389,150 | ||||||
0.00%, 05/15/2029 | 330,000 | 205,432 | ||||||
0.00%, 08/15/2029 | 3,188,000 | 1,962,874 | ||||||
0.00%, 11/15/2029 | 3,664,000 | 2,233,516 | ||||||
0.00%, 02/15/2030 | 12,187,000 | 7,357,073 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 5,056,148 | ||||||
0.00%, 08/15/2030 | 3,462,000 | 2,047,673 | ||||||
0.00%, 11/15/2030 | 3,564,000 | 2,085,496 | ||||||
0.00%, 02/15/2031 | 9,298,000 | 5,390,357 | ||||||
0.00%, 05/15/2031 | 5,925,000 | 3,399,469 | ||||||
0.00%, 08/15/2031 | 3,737,000 | 2,122,093 |
Table of Contents
0.00%, 11/15/2031 | 7,099,000 | 3,993,216 | ||||||
0.00%, 02/15/2032 | 10,309,000 | 5,740,196 | ||||||
0.00%, 05/15/2032 | 16,703,000 | 9,213,625 | ||||||
0.00%, 08/15/2032 | 2,475,000 | 1,351,070 | ||||||
0.00%, 11/15/2032 | 7,212,000 | 3,898,822 | ||||||
0.00%, 05/15/2033 | 5,145,000 | 2,729,901 | ||||||
0.00%, 08/15/2033 | 2,412,000 | 1,266,741 | ||||||
0.00%, 11/15/2033 | 5,966,000 | 3,104,820 | ||||||
0.00%, 02/15/2034 | 3,959,000 | 2,039,558 | ||||||
0.00%, 05/15/2034 | 1,450,000 | 740,110 | ||||||
0.00%, 08/15/2034 | 2,895,000 | 1,463,237 | ||||||
0.00%, 11/15/2034 | 2,487,000 | 1,245,497 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 903,940 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 942,453 | ||||||
0.00%, 08/15/2035 | 175,000 | 85,113 | ||||||
0.00%, 05/15/2036 | 121,000 | 57,243 | ||||||
United States Treasury Strip | ||||||||
0.00%, 02/15/2044 | 15,240,000 | 5,400,980 | ||||||
0.00%, 05/15/2044 | 7,080,000 | 2,486,326 | ||||||
Utility Debt Securitization Authority | ||||||||
5.00%, 12/15/2041 | 1,250,000 | 1,408,313 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 233,520 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 463,291 | ||||||
|
| |||||||
Total Government Related (Cost $1,607,739,209) | $ | 1,630,371,919 | ||||||
|
| |||||||
Mortgage-Backed Obligations - 39.45% | ||||||||
A10 Securitization 2013-1 LLC | ||||||||
2.40%, 11/15/2025 (Acquired 10/28/2013, Cost $1,146,816) (b) | $ | 1,150,007 | $ | 1,155,094 | ||||
A10 Securitization LLC | ||||||||
3.49%, 04/15/2024 (Acquired 10/28/2013, Cost $1,233,092) (b) | 1,225,386 | 1,231,513 | ||||||
A10 Term Asset Financing 2013-2 LLC | ||||||||
4.38%, 11/15/2027 (Acquired 10/30/2013, Cost $424,868) (b) | 425,000 | 426,314 | ||||||
A10 Term Asset Financing 2014-1 LLC | ||||||||
1.72%, 04/15/2033 (Acquired 06/04/2014, Cost $1,546,896) (b) | 1,547,000 | 1,547,000 | ||||||
3.02%, 04/15/2033 (Acquired 06/04/2014, Cost $1,806,749) (b) | 1,807,000 | 1,807,000 |
Table of Contents
AAM ACE 2007-HE3 Resecuritization Trust 2011-1 | ||||||||
0.40%, 02/02/2037 | 130,954 | 128,229 | ||||||
Ajax Mortgage Loan Trust 2013-C | ||||||||
4.50%, 03/25/2035 (Acquired 11/15/2013, Cost $1,432,783) (a) | 1,438,609 | 1,447,242 | ||||||
Alternative Loan Trust 2002-11 | ||||||||
6.25%, 10/25/2032 | 6,922 | 7,076 | ||||||
Alternative Loan Trust 2002-12 | ||||||||
0.00%, 11/25/2032 | 23,563 | 19,444 | ||||||
Alternative Loan Trust 2003-20CB | ||||||||
5.50%, 10/25/2033 | 749,993 | 803,883 | ||||||
Alternative Loan Trust 2003-6T2 | ||||||||
5.50%, 06/25/2033 | 34,407 | 34,420 | ||||||
Alternative Loan Trust 2004-18CB | ||||||||
5.70%, 09/25/2034 | 56,500 | 56,882 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 8,613,111 | 8,707,761 | ||||||
5.75%, 03/25/2034 | 1,332,626 | 1,346,456 | ||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.95%, 03/25/2035 | 436,238 | 92,696 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
4.60%, 07/25/2035 | 1,365,818 | 165,145 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.92%, 06/25/2035 | 1,222,916 | 163,876 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 597,925 | 563,650 | ||||||
6.00%, 08/25/2035 | 17,866 | 14,550 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.90%, 09/25/2035 | 4,444,415 | 625,187 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 99,824 | 99,274 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
4.70%, 11/25/2035 | 2,715,296 | 323,243 | ||||||
5.50%, 11/25/2035 | 688,001 | 623,963 | ||||||
5.50%, 11/25/2035 | 8,536 | 8,557 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 251,196 | 231,884 |
Table of Contents
Alternative Loan Trust 2005-J1 | ||||||||
4.95%, 02/25/2035 | 803,686 | 79,973 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 140,444 | 114,829 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 (Acquired 10/28/2013, Cost $53,116) (d) | 52,001 | 54,828 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 240,126 | 218,175 | ||||||
Alternative Loan Trust 2006-J5 | ||||||||
5.27%, 07/25/2021 | 81,567 | 80,107 | ||||||
Alternative Loan Trust Resecuritization 2005-5R | ||||||||
5.25%, 12/25/2018 | 3,719 | 3,716 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035 (Acquired 10/28/2013, Cost $161,060) (b) | 155,586 | 160,754 | ||||||
American General Mortgage Loan Trust 2009-1 | ||||||||
5.75%, 09/25/2048 (Acquired 10/28/2013, Cost $845,992) (b) | 831,937 | 832,155 | ||||||
American General Mortgage Loan Trust 2010-1 | ||||||||
5.15%, 03/25/2058 (Acquired 10/28/2013, Cost $81,303) (b) | 80,449 | 80,749 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $474,367) (b) | 463,000 | 468,873 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $1,013,362) (b) | 980,000 | 1,005,567 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $480,381) (b) | 464,000 | 475,503 | ||||||
ASG Resecuritization Trust 2009-1 | ||||||||
2.06%, 06/26/2037 | 706,256 | 694,293 | ||||||
ASG Resecuritization Trust 2009-2 | ||||||||
4.75%, 05/24/2036 (Acquired 10/28/2013, Cost $567,686) (b) | 547,000 | 556,494 | ||||||
4.75%, 05/24/2036 (Acquired 10/28/2013, Cost $233,982) (b) | 230,243 | 231,302 | ||||||
ASG Resecuritization Trust 2009-3 | ||||||||
2.07%, 03/26/2037 (Acquired 10/28/2013, Cost $2,046,712) (b) | 2,042,995 | 2,041,224 | ||||||
ASG Resecuritization Trust 2009-4 | ||||||||
6.00%, 06/28/2037 (Acquired 10/28/2013, Cost $646,865) (b) | 635,612 | 647,170 | ||||||
ASG Resecuritization Trust 2009-5 | ||||||||
3.38%, 02/28/2037 (Acquired 10/28/2013, Cost $236,139) (b) | 234,036 | 237,022 | ||||||
ASG Resecuritization Trust 2010-1 | ||||||||
0.55%, 02/27/2036 (Acquired 10/28/2013, Cost $218,661) (b) | 224,267 | 218,661 | ||||||
ASG Resecuritization Trust 2010-2 | ||||||||
1.85%, 01/28/2037 | 771,801 | 761,933 | ||||||
ASG Resecuritization Trust 2010-4 | ||||||||
0.29%, 11/28/2036 (Acquired 10/28/2013, Cost $8,467) (b) | 8,553 | 8,542 |
Table of Contents
ASG Resecuritization Trust 2011-1 | ||||||||
4.00%, 09/28/2020 (Acquired 10/28/2013, Cost $181,131) (b) | 179,456 | 180,788 | ||||||
2.51%, 11/28/2035 (Acquired 10/28/2013, Cost $732,531) (b) | 746,069 | 731,325 | ||||||
6.00%, 09/28/2036 (Acquired 10/28/2013, Cost $741,129) (b) | 715,141 | 736,595 | ||||||
ASG Resecuritization Trust 2011-2 | ||||||||
23.69%, 02/28/2036 (Acquired 10/28/2013, Cost $86,540) (b) | 70,723 | 85,574 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030 (Acquired 10/28/2013, Cost $778,135) (b) | 809,000 | 801,641 | ||||||
Banc of America Alternative Loan Trust 2003-1 | ||||||||
0.00%, 02/25/2033 | 24,005 | 19,950 | ||||||
Banc of America Alternative Loan Trust 2003-11 | ||||||||
4.75%, 01/25/2019 | 24,222 | 24,488 | ||||||
0.00%, 01/25/2034 | 60,477 | 52,940 | ||||||
6.00%, 01/25/2034 | 528,269 | 550,433 | ||||||
6.00%, 01/25/2034 | 542,852 | 572,037 | ||||||
Banc of America Alternative Loan Trust 2003-4 | ||||||||
5.00%, 06/25/2018 | 496,970 | 511,354 | ||||||
Banc of America Alternative Loan Trust 2003-5 | ||||||||
5.00%, 07/25/2018 | 160,597 | 164,874 | ||||||
Banc of America Alternative Loan Trust 2003-7 | ||||||||
5.00%, 09/25/2018 | 261,141 | 264,525 | ||||||
5.50%, 09/25/2033 | 557,798 | 580,831 | ||||||
Banc of America Alternative Loan Trust 2003-9 | ||||||||
5.50%, 11/25/2033 | 171,815 | 175,486 | ||||||
Banc of America Alternative Loan Trust 2004-1 | ||||||||
5.50%, 02/25/2019 | 97,206 | 99,860 | ||||||
6.00%, 02/25/2034 | 159,419 | 169,736 | ||||||
Banc of America Alternative Loan Trust 2004-11 | ||||||||
5.50%, 12/25/2019 | 18,088 | 18,662 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2019 | 22,901 | 22,280 | ||||||
5.00%, 07/25/2019 | 18,119 | 18,432 | ||||||
Banc of America Alternative Loan Trust 2004-7 | ||||||||
5.00%, 08/25/2019 | 339,058 | 350,146 | ||||||
Banc of America Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 179,414 | 187,446 |
Table of Contents
Banc of America Alternative Loan Trust 2005-10 | ||||||||
5.25%, 11/25/2020 | 75,086 | 76,758 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 32,116 | 29,153 | ||||||
Banc of America Alternative Loan Trust 2005-2 | ||||||||
5.50%, 03/25/2020 | 28,281 | 29,407 | ||||||
5.50%, 03/25/2035 | 22,607 | 21,257 | ||||||
Banc of America Alternative Loan Trust 2005-4 | ||||||||
5.50%, 05/25/2020 | 176,055 | 180,779 | ||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 101,140 | 95,560 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 49,638 | 45,161 | ||||||
Banc of America Alternative Loan Trust 2006-5 | ||||||||
6.00%, 06/25/2046 | 108,779 | 92,350 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.83%, 04/25/2022 | 132,199 | 134,505 | ||||||
Banc of America Commercial Mortgage Trust 2006-1 | ||||||||
5.37%, 09/10/2045 | 295,000 | 311,115 | ||||||
5.38%, 09/10/2045 | 15,567,888 | 16,501,105 | ||||||
Banc of America Commercial Mortgage Trust 2006-3 | ||||||||
5.89%, 07/10/2044 | 1,785,708 | 1,925,830 | ||||||
Banc of America Commercial Mortgage Trust 2006-4 | ||||||||
5.63%, 07/10/2046 | 1,153,202 | 1,237,850 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.84%, 09/10/2047 (Acquired 10/28/2013, Cost $312,872) (b) | 23,525,067 | 255,223 | ||||||
5.41%, 09/10/2047 | 970,000 | 1,044,399 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.36%, 02/10/2051 | 9,128,911 | 10,134,050 | ||||||
5.49%, 02/10/2051 | 3,500,000 | 3,816,698 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 | 68,778 | 54,679 | ||||||
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 5,228,473 | 5,640,037 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
5.11%, 12/20/2034 | 136,829 | 136,380 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 98,727 | 98,875 |
Table of Contents
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 | 81,070 | 60,840 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 | 34,970 | 26,866 | ||||||
Banc of America Funding 2005-C Trust | ||||||||
0.39%, 05/20/2035 | 8,279,137 | 7,697,114 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
2.68%, 03/20/2035 | 216,575 | 217,459 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 | 84,188 | 62,161 | ||||||
Banc of America Funding 2010-R11 Trust | ||||||||
5.19%, 08/26/2035 (Acquired 10/28/2013, Cost $695,045) (b) | 683,812 | 698,545 | ||||||
Banc of America Funding 2010-R5 Trust | ||||||||
5.50%, 10/26/2037 (Acquired 10/28/2013, Cost $197,402) (b) | 193,714 | 198,241 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Inc | ||||||||
5.47%, 11/10/2042 | 516,000 | 531,751 | ||||||
4.67%, 07/10/2043 | 516,000 | 530,161 | ||||||
4.73%, 07/10/2043 | 1,097,000 | 1,125,852 | ||||||
0.21%, 10/10/2045 (Acquired 10/28/2013, Cost $103,556) (b) | 53,231,404 | 75,802 | ||||||
5.12%, 10/10/2045 | 11,640,846 | 12,115,757 | ||||||
5.35%, 09/10/2047 | 22,841 | 22,839 | ||||||
Banc of America Mortgage 2003-3 Trust | ||||||||
0.70%, 05/25/2018 | 131,374 | 126,900 | ||||||
5.50%, 05/25/2033 | 364,467 | 384,780 | ||||||
Banc of America Mortgage 2003-5 Trust | ||||||||
7.50%, 02/25/2031 | 61,402 | 63,369 | ||||||
Banc of America Mortgage 2003-6 Trust | ||||||||
0.60%, 08/25/2018 | 42,061 | 41,485 | ||||||
Banc of America Mortgage 2003-7 Trust | ||||||||
4.75%, 09/25/2018 | 6,991 | 7,188 | ||||||
Banc of America Mortgage 2003-8 Trust | ||||||||
0.00%, 11/25/2033 | 30,390 | 24,444 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
2.62%, 04/25/2033 | 48,178 | 49,346 | ||||||
Banc of America Mortgage 2003-E Trust | ||||||||
2.66%, 06/25/2033 | 258,626 | 260,993 |
Table of Contents
Banc of America Mortgage 2004-J Trust | ||||||||
2.91%, 11/25/2034 | 179,734 | 180,222 | ||||||
Banc of America Mortgage Trust 2004-1 | ||||||||
0.00%, 02/25/2034 | 8,336 | 7,186 | ||||||
Banc of America Mortgage Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 507,279 | 521,852 | ||||||
Banc of America Mortgage Trust 2004-4 | ||||||||
0.00%, 05/25/2034 | 9,539 | 8,304 | ||||||
Banc of America Mortgage Trust 2004-5 | ||||||||
4.75%, 06/25/2019 | 41,133 | 41,644 | ||||||
5.50%, 06/25/2034 | 123,087 | 125,470 | ||||||
Banc of America Mortgage Trust 2004-6 | ||||||||
5.50%, 05/25/2034 | 811,028 | 852,426 | ||||||
0.00%, 07/25/2034 | 51,674 | 46,853 | ||||||
5.50%, 07/25/2034 | 29,095 | 29,036 | ||||||
Banc of America Mortgage Trust 2004-8 | ||||||||
0.00%, 05/25/2032 | 4,708 | 4,236 | ||||||
0.00%, 10/25/2034 | 21,682 | 20,090 | ||||||
Banc of America Mortgage Trust 2004-9 | ||||||||
0.00%, 09/25/2032 | 3,855 | 3,231 | ||||||
6.50%, 09/25/2032 | 80,172 | 84,163 | ||||||
Banc of America Mortgage Trust 2005-1 | ||||||||
5.00%, 02/25/2020 | 153,351 | 158,132 | ||||||
Banc of America Re-REMIC Trust 2009-UBER1 | ||||||||
5.68%, 06/24/2050 (Acquired 10/28/2013, Cost $1,024,675) (b) | 933,084 | 1,011,463 | ||||||
Battalion CLO Ltd | ||||||||
1.72%, 04/17/2026 | 9,650,000 | 9,673,343 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030 (Acquired 10/28/2013, Cost $2,823,801) (b) | 2,941,000 | 2,888,630 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/05/2036 (Acquired 10/28/2013 through 12/04/2013, Cost $2,462,011) (b) | 2,602,000 | 2,579,683 | ||||||
BCAP LLC 2009-RR10 Trust | ||||||||
5.75%, 06/26/2037 (Acquired 10/28/2013, Cost $295,532) (b) | 295,907 | 301,954 | ||||||
BCAP LLC 2009-RR13-I Trust | ||||||||
5.50%, 04/26/2037 (Acquired 10/28/2013, Cost $660,546) (b) | 635,896 | 659,771 | ||||||
BCAP LLC 2009-RR14 Trust | ||||||||
2.46%, 08/26/2035 (Acquired 10/28/2013, Cost $663,992) (b) | 712,954 | 714,043 | ||||||
2.52%, 03/26/2036 (Acquired 10/28/2013, Cost $26,670) (b) | 26,689 | 26,668 |
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BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/26/2034 (Acquired 10/28/2013, Cost $445,996) (b) | 437,648 | 451,259 | ||||||
BCAP LLC 2010-RR12 Trust | ||||||||
4.50%, 01/26/2036 (Acquired 10/28/2013, Cost $160,265) (b) | 157,914 | 159,781 | ||||||
2.67%, 10/26/2036 (Acquired 10/28/2013, Cost $491,787) (b) | 486,895 | 486,636 | ||||||
BCAP LLC 2010-RR4-I Trust | ||||||||
4.00%, 07/26/2036 (Acquired 10/28/2013, Cost $89,080) (b) | 88,775 | 90,499 | ||||||
BCAP LLC 2010-RR5-I Trust | ||||||||
5.38%, 04/26/2037 (Acquired 10/28/2013, Cost $663,380) (b) | 664,417 | 677,705 | ||||||
BCAP LLC 2010-RR7 Trust | ||||||||
4.98%, 04/26/2035 (Acquired 10/28/2013, Cost $315,375) (b) | 321,630 | 320,691 | ||||||
2.10%, 07/26/2045 (Acquired 10/28/2013, Cost $1,956,470) (b) | 2,018,198 | 2,031,801 | ||||||
0.82%, 02/26/2047 (Acquired 10/28/2013, Cost $390,982) (b) | 401,521 | 397,706 | ||||||
BCAP LLC 2010-RR8 Trust | ||||||||
5.06%, 05/26/2035 (Acquired 10/28/2013, Cost $235,462) (b) | 230,353 | 234,080 | ||||||
5.06%, 05/26/2035 (Acquired 10/28/2013, Cost $986,273) (b) | 1,032,000 | 977,578 | ||||||
BCAP LLC 2011-RR10 Trust | ||||||||
0.94%, 09/26/2037 (Acquired 10/28/2013, Cost $1,427,852) (b) | 1,566,828 | 1,435,623 | ||||||
BCAP LLC 2011-RR11 Trust | ||||||||
4.00%, 08/26/2021 (Acquired 10/28/2013, Cost $449,416) (b) | 441,949 | 449,152 | ||||||
3.00%, 08/26/2022 (Acquired 10/28/2013, Cost $275,735) (b) | 274,468 | 275,484 | ||||||
BCAP LLC 2011-RR2 Trust | ||||||||
2.71%, 11/21/2035 (Acquired 10/28/2013, Cost $94,547) (b) | 94,508 | 94,434 | ||||||
BCAP LLC 2011-RR4-I Trust | ||||||||
5.00%, 08/26/2037 (Acquired 10/28/2013, Cost $1,335,101) (b) | 1,326,940 | 1,349,114 | ||||||
BCAP LLC 2011-RR5-I Trust | ||||||||
0.30%, 05/28/2036 (Acquired 10/28/2013, Cost $1,075,056) (b) | 1,145,939 | 1,124,413 | ||||||
2.62%, 07/26/2036 (Acquired 10/28/2013, Cost $375,125) (b) | 376,222 | 374,604 | ||||||
BCAP LLC 2012-RR1 Trust | ||||||||
6.50%, 07/26/2037 (Acquired 10/28/2013, Cost $648,029) (b) | 629,246 | 665,566 | ||||||
BCAP LLC 2012-RR10-I Trust | ||||||||
0.34%, 05/26/2036 (Acquired 10/28/2013, Cost $1,820,307) (b) | 1,926,278 | 1,820,250 | ||||||
0.38%, 02/26/2037 (Acquired 10/28/2013, Cost $658,665) (b) | 695,445 | 662,932 | ||||||
BCAP LLC 2012-RR2 Trust | ||||||||
0.32%, 08/26/2036 (Acquired 10/28/2013, Cost $980,546) (b) | 1,014,378 | 988,853 | ||||||
BCAP LLC 2012-RR3 Trust | ||||||||
1.99%, 05/26/2037 (Acquired 10/28/2013, Cost $1,889,003) (b) | 1,910,744 | 1,916,292 |
Table of Contents
BCAP LLC 2012-RR4 Trust | ||||||||
0.38%, 06/26/2047 (Acquired 10/28/2013, Cost $965,519) (b) | 1,018,388 | 965,540 | ||||||
BCAP LLC Trust | ||||||||
4.41%, 06/26/2036 (Acquired 10/28/2013, Cost $360,136) (b) | 347,895 | 355,262 | ||||||
Bear Stearns ALT-A Trust 2005-2 | ||||||||
0.65%, 03/25/2035 | 455,567 | 443,587 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
2.49%, 01/25/2033 (Acquired 10/28/2013, Cost $283,891) (b) | 298,551 | 290,353 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
2.43%, 10/25/2033 | 26,771 | 26,975 | ||||||
Bear Stearns ARM Trust 2004-2 | ||||||||
2.98%, 05/25/2034 | 187,666 | 188,521 | ||||||
Bear Stearns ARM Trust 2005-5 | ||||||||
2.15%, 08/25/2035 | 879,003 | 892,664 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
2.37%, 02/25/2036 | 786,289 | 791,679 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 138,468 | 139,420 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR4 | ||||||||
5.47%, 06/11/2041 | 55,463 | 55,460 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 | ||||||||
4.87%, 09/11/2042 | 6,101,580 | 6,318,156 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 | ||||||||
5.60%, 03/11/2039 | 883,000 | 934,052 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.83%, 12/11/2038 (Acquired 10/28/2013, Cost $322,382) (b) | 23,458,945 | 345,503 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.54%, 10/12/2041 | 268,598 | 291,692 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.30%, 01/12/2045 (Acquired 10/28/2013, Cost $353,187) (b) | 67,124,425 | 347,436 | ||||||
CAM Mortgage Trust 2014-1 | ||||||||
3.35%, 12/15/2053 (Acquired 01/28/2014, Cost $441,674) (b) | 441,674 | 442,212 | ||||||
CAM Mortgage Trust 2014-2 | ||||||||
2.60%, 05/15/2048 (Acquired 06/19/2014, Cost $1,894,874) (b) | 1,895,000 | 1,895,000 | ||||||
CD 2005-CD1 Commercial Mortgage Trust | ||||||||
5.40%, 07/15/2044 | 8,064,341 | 8,385,206 | ||||||
5.40%, 07/15/2044 | 619,000 | 648,442 |
Table of Contents
CD 2006-CD3 Mortgage Trust | ||||||||
0.70%, 10/15/2048 (Acquired 10/28/2013, Cost $215,675) (b) | 13,896,224 | 182,027 | ||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
0.56%, 12/11/2049 | 23,801,971 | 202,769 | ||||||
5.32%, 12/11/2049 | 7,250,000 | 7,887,579 | ||||||
CGBAM Commercial Mortgage Trust 2014-HD | ||||||||
0.95%, 02/15/2031 (Acquired 05/13/2014, Cost $900,000) (b) | 900,000 | 900,324 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
2.64%, 09/25/2036 | 381,480 | 339,898 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
2.50%, 02/25/2037 | 335,066 | 336,778 | ||||||
2.50%, 02/25/2037 | 50,417 | 50,877 | ||||||
2.57%, 02/25/2037 | 158,531 | 158,410 | ||||||
2.60%, 02/25/2037 | 165,352 | 166,189 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
2.59%, 07/25/2037 | 124,980 | 125,300 | ||||||
2.65%, 07/25/2037 | 196,927 | 197,989 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 | 22,619 | 19,343 | ||||||
CHL Mortgage Pass-Through Trust 2003-26 | ||||||||
3.50%, 08/25/2033 | 218,109 | 221,028 | ||||||
CHL Mortgage Pass-Through Trust 2003-29 | ||||||||
5.50%, 08/25/2033 | 70,062 | 73,680 | ||||||
CHL Mortgage Pass-Through Trust 2003-39 | ||||||||
5.00%, 10/25/2033 | 470,244 | 491,177 | ||||||
CHL Mortgage Pass-Through Trust 2003-44 | ||||||||
0.00%, 10/25/2033 | 1,462 | 1,459 | ||||||
CHL Mortgage Pass-Through Trust 2003-J13 | ||||||||
0.00%, 01/25/2034 | 5,189 | 4,563 | ||||||
5.25%, 01/25/2034 | 398,264 | 417,188 | ||||||
CHL Mortgage Pass-Through Trust 2003-J7 | ||||||||
9.58%, 08/25/2018 | 43,153 | 45,156 | ||||||
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 89,453 | 93,265 | ||||||
5.75%, 04/25/2034 | 60,946 | 63,014 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 424,687 | 452,692 |
Table of Contents
CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
2.48%, 06/25/2034 | 26,528 | 26,213 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2019 | 231,316 | 238,051 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
2.55%, 05/20/2034 | 48,981 | 46,978 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
2.32%, 06/20/2034 | 184,893 | 177,810 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
2.52%, 11/20/2034 | 121,734 | 117,058 | ||||||
CHL Mortgage Pass-Through Trust 2004-J8 | ||||||||
4.75%, 11/25/2019 | 21,769 | 22,283 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 63,831 | 65,105 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 37,760 | 34,859 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
2.56%, 11/25/2035 | 476,491 | 401,221 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 43,784 | 45,543 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 194,928 | 199,359 | ||||||
Citigroup Commercial Mortgage Trust 2005-C3 | ||||||||
4.83%, 05/15/2043 | 743,000 | 763,534 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,920,000 | 7,062,905 | ||||||
Citigroup Mortgage Loan Trust 2008-AR4 | ||||||||
2.75%, 11/25/2038 (Acquired 10/28/2013, Cost $1,390,732) (b) | 1,376,324 | 1,387,363 | ||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
2.42%, 09/25/2033 (Acquired 10/28/2013, Cost $812,924) (b) | 800,275 | 810,797 | ||||||
7.00%, 12/25/2035 (Acquired 10/28/2013, Cost $625,691) (b) | 604,855 | 631,489 | ||||||
Citigroup Mortgage Loan Trust 2009-11 | ||||||||
5.75%, 05/25/2037 (Acquired 10/28/2013, Cost $689,522) (b) | 671,647 | 705,626 | ||||||
Citigroup Mortgage Loan Trust 2009-5 | ||||||||
6.00%, 06/25/2036 (Acquired 10/28/2013, Cost $322,482) (b) | 316,678 | 329,525 | ||||||
Citigroup Mortgage Loan Trust 2009-8 | ||||||||
6.00%, 11/25/2036 (Acquired 10/28/2013, Cost $269,455) (b) | 260,572 | 275,752 |
Table of Contents
Citigroup Mortgage Loan Trust 2010-10 | ||||||||
2.42%, 02/25/2036 (Acquired 10/28/2013, Cost $384,226) (b) | 381,410 | 385,444 | ||||||
Citigroup Mortgage Loan Trust 2010-3 | ||||||||
2.38%, 02/25/2036 (Acquired 10/28/2013, Cost $173,467) (b) | 172,886 | 173,098 | ||||||
Citigroup Mortgage Loan Trust 2010-7 | ||||||||
2.61%, 02/25/2035 (Acquired 10/28/2013, Cost $250,378) (b) | 247,048 | 248,665 | ||||||
Citigroup Mortgage Loan Trust 2010-8 | ||||||||
4.00%, 11/25/2036 (Acquired 10/28/2013, Cost $3,520,429) (b) | 3,494,539 | 3,598,327 | ||||||
4.50%, 12/25/2036 (Acquired 10/28/2013, Cost $3,603,702) (b) | 3,520,345 | 3,629,331 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.00%, 06/25/2016 | 62 | 61 | ||||||
0.00%, 12/25/2018 | 8,459 | 7,995 | ||||||
0.00%, 12/25/2018 | 7,033 | 6,608 | ||||||
5.50%, 12/25/2018 | 42,575 | 43,499 | ||||||
0.00%, 09/25/2033 | 17,870 | 15,963 | ||||||
7.00%, 09/25/2033 | 29,917 | 30,974 | ||||||
0.00%, 10/25/2033 | 15,673 | 14,242 | ||||||
5.25%, 10/25/2033 | 126,213 | 128,718 | ||||||
0.53%, 12/25/2033 | 95,974 | 91,634 | ||||||
2.61%, 08/25/2034 | 77,336 | 75,289 | ||||||
2.67%, 04/25/2035 | 53,912 | 42,429 | ||||||
5.50%, 05/25/2035 | 277,136 | 285,682 | ||||||
2.82%, 08/25/2035 | 145,426 | 107,942 | ||||||
6.00%, 10/25/2035 (Acquired 02/27/2014, Cost $6,233,060) (d) | 6,611,598 | 6,212,139 | ||||||
5.50%, 11/25/2035 (Acquired 10/28/2013, Cost $42,724) (d) | 42,790 | 42,189 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.98%, 08/15/2048 | 16,526,606 | 284,290 | ||||||
5.22%, 08/15/2048 | 595,035 | 635,259 | ||||||
5.25%, 08/15/2048 | 578,000 | 597,172 | ||||||
COMM 2005-C6 Mortgage Trust | ||||||||
5.12%, 06/10/2044 | 6,982,504 | 7,219,581 | ||||||
COMM 2005-LP5 Mortgage Trust | ||||||||
4.98%, 05/10/2043 | 650,000 | 665,300 | ||||||
COMM 2012-9W57 Mortgage Trust | ||||||||
2.36%, 02/10/2029 (Acquired 10/28/2013, Cost $1,056,554) (b) | 1,032,000 | 1,061,292 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/15/2045 | 1,860,538 | 1,913,364 |
Table of Contents
COMM 2012-CCRE2 Mortgage Trust | ||||||||
2.09%, 08/15/2045 | 3,415,739 | 366,116 | ||||||
3.15%, 08/15/2045 | 9,614,464 | 9,716,637 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030 (Acquired 10/28/2013, Cost $536,122) (b) | 516,000 | 558,467 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/10/2046 | 7,700,000 | 8,020,744 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
3.09%, 04/12/2035 (Acquired 10/28/2013, Cost $672,999) (b) | 708,000 | 698,768 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/12/2047 | 6,100,000 | 6,333,917 | ||||||
COMM 2014-TWC Mortgage Trust | ||||||||
1.00%, 02/13/2032 (Acquired 01/30/2014, Cost $2,751,473) (b) | 2,750,000 | 2,753,677 | ||||||
Commercial Mortgage Asset Trust | ||||||||
7.30%, 01/17/2032 | 53,637 | 53,637 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
2.09%, 11/17/2026 (Acquired 10/28/2013, Cost $538,009) (b) | 537,623 | 541,366 | ||||||
1.05%, 06/11/2027 (Acquired 06/20/2014, Cost $4,232,000) (b) | 4,232,000 | 4,235,306 | ||||||
Commercial Mortgage Trust 2005-GG3 | ||||||||
4.86%, 08/10/2042 | 361,000 | 367,201 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
6.01%, 07/10/2038 | 310,000 | 336,306 | ||||||
COOF Securitization Trust 2014-1 Ltd | ||||||||
3.17%, 06/15/2040 (Acquired 05/16/2014, Cost $496,540) (b) | 3,480,923 | 492,870 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2006-C2 | ||||||||
5.86%, 03/15/2039 | 738,000 | 783,768 | ||||||
5.86%, 03/15/2039 | 12,005,292 | 12,819,827 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.23%, 01/15/2049 (Acquired 10/28/2013, Cost $82,594) (b) | 24,007,497 | 72,479 | ||||||
Credit Suisse First Boston Mortgage Securities Corp | ||||||||
4.50%, 10/25/2018 | 19,597 | 20,123 | ||||||
5.00%, 10/25/2018 | 68,710 | 69,399 | ||||||
0.00%, 08/25/2019 | 3,201 | 2,970 | ||||||
5.25%, 08/25/2019 | 136,029 | 139,767 | ||||||
6.69%, 02/25/2033 | 173,932 | 175,880 | ||||||
2.73%, 06/25/2033 | 87,457 | 87,675 | ||||||
5.25%, 09/25/2033 | 234,761 | 243,963 |
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0.00%, 10/25/2033 | 154,366 | 134,199 | ||||||
5.25%, 11/25/2033 | 117,360 | 119,870 | ||||||
5.25%, 11/25/2033 | 332,116 | 340,271 | ||||||
5.50%, 09/25/2034 | 203,351 | 222,211 | ||||||
5.50%, 12/25/2034 | 342,601 | 370,854 | ||||||
0.00%, 10/25/2035 | 42,632 | 27,414 | ||||||
5.50%, 10/25/2035 | 532,770 | 96,342 | ||||||
0.00%, 11/25/2035 | 30,506 | 18,967 | ||||||
4.83%, 04/15/2037 | 10,500,000 | 10,726,307 | ||||||
4.73%, 07/15/2037 | 175,000 | 180,425 | ||||||
5.10%, 08/15/2038 | 10,971,530 | 11,291,712 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
6.00%, 01/27/2038 (Acquired 10/28/2013, Cost $479,511) (b) | 468,729 | 487,818 | ||||||
CSMC Series 2010-11R | ||||||||
1.15%, 06/28/2047 | 6,969,332 | 6,670,213 | ||||||
CSMC Series 2010-17R | ||||||||
2.36%, 06/26/2036 (Acquired 10/28/2013, Cost $442,755) (b) | 430,768 | 440,398 | ||||||
2.59%, 07/26/2036 (Acquired 10/28/2013, Cost $18,880) (b) | 18,884 | 18,885 | ||||||
CSMC Series 2010-1R | ||||||||
4.95%, 01/27/2036 (Acquired 10/28/2013, Cost $169,255) (b) | 164,659 | 168,403 | ||||||
CSMC Series 2011-16R | ||||||||
3.50%, 12/27/2036 (Acquired 10/28/2013, Cost $1,288,601) (b) | 1,269,954 | 1,283,553 | ||||||
CSMC Series 2011-1R | ||||||||
1.15%, 02/27/2047 (Acquired 10/28/2013, Cost $713,666) (b) | 716,457 | 715,629 | ||||||
CSMC Series 2011-6R | ||||||||
2.59%, 07/28/2036 (Acquired 10/28/2013, Cost $424,332) (b) | 429,002 | 431,342 | ||||||
CSMC Series 2011-7R | ||||||||
1.40%, 08/28/2047 (Acquired 10/28/2013, Cost $65,117) (b) | 65,305 | 65,275 | ||||||
CSMC Series 2011-9R | ||||||||
2.15%, 03/27/2046 (Acquired 10/28/2013, Cost $1,825,061) (b) | 1,821,964 | 1,829,882 | ||||||
CSMC Series 2012-2R | ||||||||
2.44%, 03/27/2047 | 490,054 | 483,180 | ||||||
CSMC Series 2012-3R | ||||||||
3.25%, 07/27/2037 | 1,183,756 | 1,177,570 | ||||||
CSMC Series 2014-ICE | ||||||||
1.05%, 04/15/2027 (Acquired 05/30/2014, Cost $2,690,000) (b) | 2,690,000 | 2,692,085 |
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CSMC Trust 2010-16 | ||||||||
3.57%, 06/25/2050 (Acquired 10/28/2013, Cost $766,858) (b) | 774,000 | 768,300 | ||||||
3.57%, 06/25/2050 (Acquired 10/28/2013, Cost $314,704) (b) | 325,000 | 319,126 | ||||||
DBRR 2012- EZ1 Trust | ||||||||
0.95%, 09/25/2045 (Acquired 10/28/2013, Cost $13,306) (b) | 13,312 | 13,315 | ||||||
DBRR 2013-EZ2 Trust | ||||||||
0.85%, 02/25/2045 (Acquired 10/28/2013, Cost $758,209) (b) | 760,932 | 759,113 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.60%, 07/10/2044 (Acquired 10/28/2013, Cost $253,059) (b) | 4,458,786 | 230,925 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-1 | ||||||||
5.75%, 02/25/2020 | 138,364 | 143,208 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-3 | ||||||||
5.35%, 06/25/2020 | 167,425 | 169,469 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5 | ||||||||
6.00%, 10/25/2021 | 143,850 | 123,068 | ||||||
Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | ||||||||
0.00%, 10/25/2018 | 6,258 | 6,176 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Resecurit Trust Ser 2009-RS2 | ||||||||
0.28%, 04/26/2037 (Acquired 10/28/2013, Cost $71,734) (b) | 72,820 | 72,292 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4 | ||||||||
6.00%, 04/25/2034 | 6,852 | 7,020 | ||||||
Fannie Mae | ||||||||
3.50%, 08/15/2025 (f) | 8,000,000 | 8,457,500 | ||||||
3.50%, 07/15/2026 (f) | 3,500,000 | 3,709,453 | ||||||
2.50%, 07/15/2027 (f) | 13,500,000 | 13,713,045 | ||||||
3.00%, 07/15/2027 (f) | 21,500,000 | 22,333,125 | ||||||
4.00%, 07/15/2029 (f) | 7,000,000 | 7,430,938 | ||||||
4.50%, 07/15/2029 (f) | 2,000,000 | 2,122,812 | ||||||
5.50%, 07/01/2040 (f) | 20,000,000 | 22,391,296 | ||||||
3.50%, 08/15/2040 (f) | 29,000,000 | 29,761,250 | ||||||
4.00%, 08/15/2040 (f) | 500,000 | 529,043 | ||||||
3.50%, 07/15/2041 (f) | 21,500,000 | 22,131,563 | ||||||
4.50%, 07/15/2041 (f) | 6,000,000 | 6,497,814 | ||||||
5.00%, 07/15/2041 (f) | 11,000,000 | 12,215,157 | ||||||
3.00%, 07/15/2042 (f) | 500,000 | 493,945 | ||||||
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039 | 171,642 | 191,468 | ||||||
Fannie Mae Grantor Trust 2001-T10 | ||||||||
7.50%, 12/25/2041 | 195,753 | 226,673 |
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Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 215,901 | 252,639 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 230,135 | 264,678 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 68,347 | 78,074 | ||||||
Fannie Mae Grantor Trust 2004-T2 | ||||||||
3.35%, 07/25/2043 | 295,780 | 306,866 | ||||||
7.50%, 11/25/2043 | 474,756 | 554,259 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
8.86%, 01/25/2044 | 66,205 | 77,347 | ||||||
6.50%, 02/25/2044 | 673,481 | 759,417 | ||||||
7.00%, 02/25/2044 | 261,585 | 297,628 | ||||||
Fannie Mae Strip | ||||||||
10.00%, 09/01/2017 | 198 | 24 | ||||||
4.50%, 07/01/2018 | 92,037 | 5,687 | ||||||
5.50%, 07/01/2018 | 74,252 | 5,316 | ||||||
4.50%, 08/25/2018 | 127,787 | 7,075 | ||||||
10.50%, 03/01/2019 | 185 | 33 | ||||||
4.50%, 11/01/2020 | 18,783 | 1,353 | ||||||
7.50%, 04/01/2023 | 2,886 | 640 | ||||||
9.00%, 03/01/2024 | 2,031 | 2,372 | ||||||
0.00%, 09/01/2024 | 224,901 | 217,167 | ||||||
0.00%, 01/01/2033 | 30,135 | 28,115 | ||||||
5.00%, 12/01/2033 | 36,881 | 6,954 | ||||||
5.50%, 05/01/2036 | 172,180 | 31,864 | ||||||
5.50%, 08/01/2036 | 113,566 | 20,976 | ||||||
5.50%, 04/25/2037 | 42,216 | 7,571 | ||||||
6.00%, 01/01/2038 | 127,837 | 25,141 | ||||||
0.65%, 08/25/2042 | 1,377,879 | 1,377,240 | ||||||
0.70%, 08/25/2042 | 4,112,323 | 4,122,559 | ||||||
Fannie Mae Pool | ||||||||
8.00%, 11/01/2015 | 179 | 180 | ||||||
12.50%, 01/01/2016 | 165 | 166 | ||||||
6.00%, 06/01/2016 | 2,170 | 2,229 | ||||||
3.98%, 11/01/2016 | 1,032,000 | 1,044,981 |
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1.94%, 01/01/2017 | 981,404 | 989,113 | ||||||
1.99%, 01/01/2017 | 1,032,000 | 1,031,227 | ||||||
5.50%, 03/01/2017 | 10,041 | 10,431 | ||||||
6.50%, 03/01/2017 | 5,578 | 5,797 | ||||||
7.00%, 03/01/2017 | 3,144 | 3,301 | ||||||
7.00%, 03/01/2017 | 5,614 | 5,867 | ||||||
7.50%, 03/01/2017 | 509 | 514 | ||||||
5.24%, 05/01/2017 | 904,729 | 979,007 | ||||||
7.00%, 05/01/2017 | 4,768 | 5,006 | ||||||
3.82%, 06/01/2017 | 1,449,327 | 1,546,455 | ||||||
7.00%, 06/01/2017 | 2,109 | 2,217 | ||||||
7.00%, 06/01/2017 | 3,112 | 3,275 | ||||||
3.39%, 08/01/2017 | 274,000 | 290,320 | ||||||
6.00%, 08/01/2017 | 2,578 | 2,677 | ||||||
6.50%, 08/01/2017 | 7,155 | 7,511 | ||||||
5.50%, 09/01/2017 | 12,914 | 13,457 | ||||||
7.00%, 09/01/2017 | 4,177 | 4,391 | ||||||
2.49%, 10/01/2017 | 470,852 | 488,513 | ||||||
2.62%, 10/01/2017 | 599,000 | 623,494 | ||||||
2.69%, 10/01/2017 | 401,023 | 418,212 | ||||||
5.94%, 10/01/2017 | 3,340,063 | 3,740,306 | ||||||
6.50%, 10/01/2017 | 4,293 | 4,481 | ||||||
6.00%, 11/01/2017 | 65,063 | 68,331 | ||||||
6.00%, 11/01/2017 | 5,862 | 6,105 | ||||||
6.50%, 11/01/2017 | 5,160 | 5,423 | ||||||
7.00%, 11/01/2017 | 9,887 | 10,180 | ||||||
3.38%, 01/01/2018 | 1,032,000 | 1,096,294 | ||||||
3.52%, 01/01/2018 | 647,508 | 691,646 | ||||||
3.54%, 01/01/2018 | 978,855 | 1,044,524 | ||||||
3.63%, 01/01/2018 | 310,000 | 330,615 | ||||||
5.50%, 02/01/2018 | 40,075 | 42,562 | ||||||
5.50%, 02/01/2018 | 71,906 | 76,378 | ||||||
3.80%, 03/01/2018 | 589,569 | 633,089 | ||||||
6.00%, 03/01/2018 | 24,426 | 25,491 | ||||||
6.50%, 03/01/2018 | 2,092 | 2,098 | ||||||
5.00%, 04/01/2018 | 25,654 | 27,246 | ||||||
4.50%, 05/01/2018 | 13,127 | 13,942 |
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5.00%, 05/01/2018 | 77,712 | 82,662 | ||||||
5.00%, 05/01/2018 | 37,536 | 39,927 | ||||||
6.00%, 05/01/2018 | 9,301 | 9,776 | ||||||
9.00%, 05/01/2018 | 1,442 | 1,541 | ||||||
3.64%, 06/01/2018 | 711,449 | 761,969 | ||||||
3.74%, 06/01/2018 | 1,973,106 | 2,134,627 | ||||||
4.50%, 06/01/2018 | 16,681 | 17,713 | ||||||
4.50%, 06/01/2018 | 3,549 | 3,768 | ||||||
5.00%, 06/01/2018 | 61,171 | 65,136 | ||||||
5.00%, 06/01/2018 | 77,082 | 81,900 | ||||||
5.00%, 06/01/2018 | 16,350 | 17,401 | ||||||
4.50%, 07/01/2018 | 24,373 | 25,881 | ||||||
5.00%, 07/01/2018 | 90,306 | 96,210 | ||||||
4.50%, 08/01/2018 | 17,326 | 18,400 | ||||||
4.50%, 08/01/2018 | 32,425 | 34,430 | ||||||
5.00%, 08/01/2018 | 47,364 | 50,393 | ||||||
5.00%, 09/01/2018 | 63,570 | 67,726 | ||||||
4.50%, 10/01/2018 | 39,393 | 41,801 | ||||||
5.00%, 10/01/2018 | 37,703 | 40,168 | ||||||
5.00%, 10/01/2018 | 39,719 | 42,307 | ||||||
2.97%, 11/01/2018 | 1,452,234 | 1,520,225 | ||||||
4.50%, 11/01/2018 | 66,646 | 71,129 | ||||||
5.00%, 11/01/2018 | 9,015 | 9,615 | ||||||
5.00%, 11/01/2018 | 79,645 | 84,986 | ||||||
5.00%, 11/01/2018 | 40,038 | 42,651 | ||||||
6.07%, 11/01/2018 | 598,340 | 650,225 | ||||||
3.04%, 12/01/2018 | 1,238,000 | 1,301,871 | ||||||
4.50%, 12/01/2018 | 174,137 | 184,931 | ||||||
5.00%, 12/01/2018 | 531 | 563 | ||||||
5.00%, 12/01/2018 | 206,504 | 219,122 | ||||||
9.50%, 12/01/2018 | 2,210 | 2,407 | ||||||
2.10%, 01/01/2019 | 723 | 740 | ||||||
6.00%, 01/01/2019 | 30,342 | 31,800 | ||||||
1.88%, 03/01/2019 | 2,561 | 2,606 | ||||||
4.50%, 03/01/2019 | 46,402 | 49,775 | ||||||
6.00%, 03/01/2019 | 73,628 | 77,306 | ||||||
2.14%, 04/01/2019 | 2,057,317 | 2,086,163 |
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3.50%, 04/01/2019 | 45,207 | 47,969 | ||||||
5.00%, 04/01/2019 | 3,718 | 3,954 | ||||||
5.00%, 04/01/2019 | 160,287 | 171,733 | ||||||
10.57%, 04/15/2019 | 8,308 | 8,984 | ||||||
2.19%, 05/01/2019 | 994,879 | 1,009,974 | ||||||
4.50%, 05/01/2019 | 13,132 | 14,131 | ||||||
2.10%, 06/01/2019 | 722,000 | 730,177 | ||||||
2.45%, 06/01/2019 | 1,651,000 | 1,692,146 | ||||||
2.48%, 06/01/2019 | 2,978,011 | 3,044,360 | ||||||
4.50%, 06/01/2019 | 98,843 | 105,844 | ||||||
1.94%, 07/01/2019 | 1,342,000 | 1,345,129 | ||||||
2.20%, 07/01/2019 | 750,342 | 763,129 | ||||||
2.37%, 07/01/2019 | 1,548,000 | 1,581,496 | ||||||
5.50%, 07/01/2019 | 121,767 | 131,095 | ||||||
6.00%, 07/01/2019 | 19,806 | 20,727 | ||||||
2.03%, 08/01/2019 | 4,923,000 | 4,943,555 | ||||||
2.38%, 08/01/2019 | 193 | 194 | ||||||
5.50%, 08/01/2019 | 109,406 | 117,867 | ||||||
5.00%, 09/01/2019 | 4,073 | 4,336 | ||||||
5.50%, 09/01/2019 | 83,804 | 90,636 | ||||||
9.00%, 09/01/2019 | 754 | 757 | ||||||
5.00%, 10/01/2019 | 31,984 | 34,046 | ||||||
6.00%, 10/01/2019 | 55,190 | 58,279 | ||||||
4.13%, 11/01/2019 | 877,000 | 964,926 | ||||||
4.24%, 11/01/2019 | 357,387 | 394,531 | ||||||
4.50%, 11/01/2019 | 21,688 | 23,038 | ||||||
4.50%, 11/01/2019 | 43,442 | 46,143 | ||||||
4.50%, 11/01/2019 | 86,631 | 92,033 | ||||||
1.47%, 12/01/2019 | 844,335 | 825,763 | ||||||
1.69%, 12/01/2019 | 1,032,000 | 1,008,908 | ||||||
1.80%, 12/01/2019 | 792,615 | 783,844 | ||||||
4.18%, 12/01/2019 | 481,863 | 530,740 | ||||||
4.26%, 12/01/2019 | 966,713 | 1,068,573 | ||||||
4.50%, 12/01/2019 | 68,253 | 73,398 | ||||||
4.53%, 12/01/2019 | 2,069,975 | 2,319,983 | ||||||
5.00%, 12/01/2019 | 46,604 | 49,461 | ||||||
1.50%, 01/01/2020 | 837,555 | 819,107 |
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1.58%, 01/01/2020 | 1,501,514 | 1,474,717 | ||||||
4.28%, 01/01/2020 | 1,923,017 | 2,102,881 | ||||||
4.54%, 01/01/2020 | 339,879 | 380,191 | ||||||
5.50%, 01/01/2020 | 289,775 | 307,888 | ||||||
4.37%, 02/01/2020 | 1,172,473 | 1,305,177 | ||||||
4.40%, 02/01/2020 | 6,347,000 | 7,066,980 | ||||||
4.40%, 02/01/2020 | 289,000 | 322,316 | ||||||
4.36%, 03/01/2020 | 285,311 | 316,852 | ||||||
5.50%, 03/01/2020 | 56,641 | 60,165 | ||||||
6.00%, 03/01/2020 | 24,234 | 25,852 | ||||||
4.00%, 04/01/2020 | 24,440 | 25,508 | ||||||
4.35%, 04/01/2020 | 1,507,244 | 1,675,585 | ||||||
4.37%, 04/01/2020 | 2,326,639 | 2,595,786 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,296,803 | ||||||
5.50%, 06/01/2020 | 405,914 | 431,153 | ||||||
5.50%, 06/01/2020 | 85,916 | 92,115 | ||||||
3.74%, 07/01/2020 | 583,243 | 629,821 | ||||||
3.93%, 07/01/2020 | 1,507,248 | 1,643,560 | ||||||
3.95%, 07/01/2020 | 722,000 | 788,050 | ||||||
3.95%, 07/01/2020 | 826,000 | 896,894 | ||||||
4.07%, 07/01/2020 | 3,211,497 | 3,517,924 | ||||||
4.13%, 07/01/2020 | 709,146 | 780,791 | ||||||
5.50%, 07/01/2020 | 99,478 | 105,659 | ||||||
3.74%, 08/01/2020 | 1,306,519 | 1,410,770 | ||||||
3.80%, 08/01/2020 | 1,032,000 | 1,105,312 | ||||||
3.89%, 08/01/2020 | 1,250,122 | 1,360,578 | ||||||
3.96%, 08/01/2020 | 1,006,133 | 1,098,778 | ||||||
4.30%, 08/01/2020 | 487,595 | 538,579 | ||||||
6.50%, 08/01/2020 | 12,263 | 13,091 | ||||||
3.43%, 09/01/2020 | 972,918 | 1,034,201 | ||||||
3.50%, 09/01/2020 | 826,515 | 884,402 | ||||||
3.51%, 09/01/2020 | 2,906,719 | 3,101,690 | ||||||
3.60%, 09/01/2020 | 195,278 | 209,353 | ||||||
3.68%, 09/01/2020 | 366,296 | 394,297 | ||||||
3.85%, 09/01/2020 | 1,754,531 | 1,904,716 | ||||||
3.29%, 10/01/2020 | 817,308 | 862,364 | ||||||
3.36%, 10/01/2020 | 826,000 | 874,239 |
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3.50%, 10/01/2020 | 1,174,665 | 1,252,770 | ||||||
3.54%, 10/01/2020 | 486,729 | 520,147 | ||||||
3.54%, 10/01/2020 | 991,000 | 1,058,275 | ||||||
3.59%, 10/01/2020 | 1,547,157 | 1,657,654 | ||||||
3.92%, 10/01/2020 | 710,615 | 774,321 | ||||||
3.23%, 11/01/2020 | 603,000 | 634,053 | ||||||
3.27%, 11/01/2020 | 798,337 | 842,243 | ||||||
3.35%, 11/01/2020 | 660,133 | 698,016 | ||||||
0.77%, 12/01/2020 | 1,640,000 | 1,640,053 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,516,496 | ||||||
3.48%, 12/01/2020 | 877,000 | 933,901 | ||||||
3.52%, 12/01/2020 | 1,007,805 | 1,078,226 | ||||||
3.70%, 12/01/2020 | 389,333 | 419,357 | ||||||
3.83%, 12/01/2020 | 927,234 | 1,005,455 | ||||||
3.56%, 01/01/2021 | 2,272,129 | 2,435,017 | ||||||
3.77%, 01/01/2021 | 1,221,176 | 1,321,065 | ||||||
3.87%, 01/01/2021 | 1,176,000 | 1,277,915 | ||||||
3.93%, 01/01/2021 | 410,670 | 447,907 | ||||||
4.05%, 01/01/2021 | 482,000 | 526,274 | ||||||
4.30%, 01/01/2021 | 888,171 | 989,771 | ||||||
4.38%, 01/01/2021 | 2,464,708 | 2,751,231 | ||||||
4.45%, 01/01/2021 | 433,990 | 486,175 | ||||||
4.64%, 01/01/2021 | 1,290,872 | 1,437,063 | ||||||
4.33%, 02/01/2021 | 507,099 | 564,752 | ||||||
4.16%, 03/01/2021 | 1,769,659 | 1,953,814 | ||||||
6.00%, 03/01/2021 | 84,963 | 92,032 | ||||||
8.00%, 03/01/2021 | 106 | 107 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,131,654 | ||||||
4.25%, 04/01/2021 | 784,000 | 859,706 | ||||||
4.30%, 04/01/2021 | 305,321 | 339,667 | ||||||
4.33%, 04/01/2021 | 742,838 | 827,757 | ||||||
6.00%, 04/01/2021 | 358,729 | 377,003 | ||||||
6.00%, 04/01/2021 | 33,220 | 35,654 | ||||||
4.36%, 05/01/2021 | 1,546,461 | 1,726,208 | ||||||
4.39%, 05/01/2021 | 778,092 | 869,946 | ||||||
3.97%, 06/01/2021 | 647,452 | 707,859 | ||||||
4.02%, 06/01/2021 | 691,000 | 752,205 |
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4.10%, 06/01/2021 | 699,223 | 769,864 | ||||||
4.19%, 06/01/2021 | 560,290 | 615,293 | ||||||
4.24%, 06/01/2021 | 1,749,329 | 1,926,311 | ||||||
4.27%, 06/01/2021 | 928,694 | 1,021,776 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 2,046,790 | ||||||
4.48%, 06/01/2021 | 929,000 | 1,031,042 | ||||||
3.86%, 07/01/2021 | 987,648 | 1,072,607 | ||||||
3.89%, 07/01/2021 | 913,000 | 993,755 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,118,636 | ||||||
3.99%, 07/01/2021 | 551,258 | 603,310 | ||||||
4.06%, 07/01/2021 | 998,000 | 1,097,013 | ||||||
4.26%, 07/01/2021 | 2,252,000 | 2,482,588 | ||||||
4.32%, 07/01/2021 | 992,342 | 1,101,531 | ||||||
6.00%, 07/01/2021 | 16,258 | 17,270 | ||||||
4.05%, 08/01/2021 | 187,208 | 205,573 | ||||||
4.13%, 08/01/2021 | 803,427 | 879,446 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 3,154,355 | ||||||
6.00%, 08/01/2021 | 288,436 | 307,153 | ||||||
3.77%, 09/01/2021 | 2,776,000 | 2,947,832 | ||||||
3.78%, 09/01/2021 | 751,746 | 812,588 | ||||||
3.85%, 09/01/2021 | 889,215 | 964,970 | ||||||
3.88%, 09/01/2021 | 1,779,751 | 1,925,814 | ||||||
3.89%, 09/01/2021 | 1,445,000 | 1,572,610 | ||||||
3.92%, 09/01/2021 | 675,019 | 735,845 | ||||||
3.31%, 10/01/2021 | 1,737,293 | 1,826,085 | ||||||
3.40%, 10/01/2021 | 361,202 | 381,716 | ||||||
3.59%, 10/01/2021 | 1,032,000 | 1,097,967 | ||||||
4.07%, 10/01/2021 | 1,840,800 | 2,023,575 | ||||||
0.53%, 11/01/2021 | 609,000 | 614,884 | ||||||
3.43%, 11/01/2021 | �� | 1,022,639 | 1,080,261 | |||||
5.00%, 11/01/2021 | 395,474 | 420,943 | ||||||
3.03%, 12/01/2021 | 988,416 | 1,021,803 | ||||||
3.31%, 12/01/2021 | 397,223 | 417,134 | ||||||
3.42%, 12/01/2021 | 5,226,837 | 5,496,734 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,655,871 | ||||||
6.00%, 12/01/2021 | 100,517 | 107,871 | ||||||
2.97%, 01/01/2022 | 791,838 | 815,055 |
Table of Contents
3.03%, 01/01/2022 | 927,542 | 960,189 | ||||||
3.09%, 01/01/2022 | 1,383,118 | 1,434,039 | ||||||
3.12%, 01/01/2022 | 1,238,000 | 1,286,002 | ||||||
3.20%, 01/01/2022 | 826,000 | 862,015 | ||||||
2.99%, 02/01/2022 | 296,642 | 305,480 | ||||||
3.00%, 02/01/2022 | 516,000 | 531,716 | ||||||
3.06%, 02/01/2022 | 863,000 | 888,680 | ||||||
3.09%, 02/01/2022 | 1,138,293 | 1,179,699 | ||||||
3.14%, 02/01/2022 | 2,064,000 | 2,136,753 | ||||||
3.14%, 02/01/2022 | 495,618 | 515,141 | ||||||
0.75%, 03/01/2022 | 722,000 | 723,148 | ||||||
0.95%, 03/01/2022 | 985,643 | 985,680 | ||||||
2.75%, 03/01/2022 | 993,017 | 988,016 | ||||||
2.97%, 03/01/2022 | 549,945 | 565,283 | ||||||
2.97%, 03/01/2022 | 619,000 | 633,109 | ||||||
3.08%, 03/01/2022 | 435,915 | 451,304 | ||||||
3.14%, 03/01/2022 | 308,223 | 320,215 | ||||||
3.21%, 03/01/2022 | 310,000 | 322,222 | ||||||
0.76%, 04/01/2022 | 1,238,000 | 1,248,774 | ||||||
0.92%, 04/01/2022 | 940,000 | 946,798 | ||||||
0.92%, 04/01/2022 | 918,000 | 924,639 | ||||||
2.70%, 04/01/2022 | 1,710,284 | 1,732,012 | ||||||
3.08%, 04/01/2022 | 1,010,756 | 1,043,772 | ||||||
3.73%, 04/01/2022 | 2,487,373 | 2,657,602 | ||||||
6.50%, 04/01/2022 | 69,077 | 75,618 | ||||||
2.74%, 05/01/2022 | 1,187,848 | 1,202,952 | ||||||
2.77%, 05/01/2022 | 1,651,000 | 1,674,706 | ||||||
2.86%, 05/01/2022 | 1,495,125 | 1,524,573 | ||||||
2.90%, 05/01/2022 | 997,021 | 1,019,233 | ||||||
2.94%, 05/01/2022 | 1,096,208 | 1,123,541 | ||||||
3.02%, 05/01/2022 | 689,841 | 710,409 | ||||||
3.10%, 05/01/2022 | 804,000 | 832,251 | ||||||
3.12%, 05/01/2022 | 997,774 | 1,034,263 | ||||||
3.32%, 05/01/2022 | 2,423,556 | 2,537,671 | ||||||
6.50%, 05/01/2022 | 12,647 | 14,260 | ||||||
2.60%, 06/01/2022 | 891,708 | 892,060 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,618,086 |
Table of Contents
2.67%, 07/01/2022 | 624,000 | 622,796 | ||||||
2.67%, 07/01/2022 | 1,244,629 | 1,252,596 | ||||||
2.69%, 07/01/2022 | 1,032,000 | 1,039,499 | ||||||
2.82%, 07/01/2022 | 1,143,728 | 1,162,565 | ||||||
2.98%, 07/01/2022 | 2,270,000 | 2,330,604 | ||||||
0.70%, 08/01/2022 | 1,490,845 | 1,504,072 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,027,612 | ||||||
0.59%, 09/01/2022 | 1,238,000 | 1,246,229 | ||||||
2.47%, 09/01/2022 | 399,481 | 394,962 | ||||||
4.03%, 09/01/2022 | 1,244,057 | 1,342,875 | ||||||
0.54%, 10/01/2022 | 929,000 | 937,046 | ||||||
0.54%, 10/01/2022 | 1,705,000 | 1,719,766 | ||||||
0.58%, 10/01/2022 | 1,493,621 | 1,495,271 | ||||||
2.39%, 10/01/2022 | 680,575 | 668,622 | ||||||
2.52%, 10/01/2022 | 1,019,594 | 1,010,686 | ||||||
2.57%, 10/01/2022 | 619,000 | 615,335 | ||||||
2.64%, 10/01/2022 | 684,000 | 685,036 | ||||||
2.37%, 11/01/2022 | 501,277 | 491,167 | ||||||
2.37%, 11/01/2022 | 1,032,000 | 1,011,440 | ||||||
2.38%, 11/01/2022 | 904,987 | 886,807 | ||||||
2.41%, 11/01/2022 | 627,634 | 616,510 | ||||||
2.44%, 11/01/2022 | 863,514 | 850,137 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,381,736 | ||||||
2.47%, 11/01/2022 | 516,000 | 503,289 | ||||||
2.55%, 11/01/2022 | 418,598 | 415,010 | ||||||
2.55%, 11/01/2022 | 1,310,437 | 1,299,203 | ||||||
7.50%, 11/01/2022 | 3,308 | 3,624 | ||||||
2.24%, 12/01/2022 | 671,000 | 651,921 | ||||||
2.28%, 12/01/2022 | 1,074,689 | 1,045,229 | ||||||
2.32%, 12/01/2022 | 401,143 | 391,576 | ||||||
2.34%, 12/01/2022 | 2,468,953 | 2,409,169 | ||||||
2.38%, 12/01/2022 | 516,000 | 505,629 | ||||||
2.39%, 12/01/2022 | 1,106,788 | 1,084,349 | ||||||
2.40%, 12/01/2022 | 1,632,000 | 1,598,574 | ||||||
2.42%, 12/01/2022 | 1,227,346 | 1,205,523 | ||||||
6.50%, 12/01/2022 | 61,025 | 68,808 | ||||||
0.49%, 01/01/2023 | 2,580,000 | 2,599,147 |
Table of Contents
0.49%, 01/01/2023 | 1,527,000 | 1,527,037 | ||||||
0.50%, 01/01/2023 | 4,567,699 | 4,561,292 | ||||||
0.51%, 01/01/2023 | 2,416,711 | 2,438,892 | ||||||
0.54%, 01/01/2023 | 811,635 | 818,731 | ||||||
2.15%, 01/01/2023 | 511,973 | 493,900 | ||||||
2.33%, 01/01/2023 | 1,776,000 | 1,732,546 | ||||||
2.34%, 01/01/2023 | 1,434,374 | 1,399,708 | ||||||
2.37%, 01/01/2023 | 1,156,725 | 1,131,023 | ||||||
2.40%, 01/01/2023 | 1,551,975 | 1,520,544 | ||||||
2.44%, 01/01/2023 | 1,033,631 | 1,015,040 | ||||||
2.45%, 01/01/2023 | 764,816 | 751,316 | ||||||
2.51%, 01/01/2023 | 949,000 | 927,381 | ||||||
2.60%, 01/01/2023 | 807,187 | 801,589 | ||||||
5.50%, 01/01/2023 | 4,810,274 | 5,381,669 | ||||||
0.53%, 02/01/2023 | 1,135,000 | 1,134,421 | ||||||
2.40%, 02/01/2023 | 1,465,000 | 1,434,400 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,246,129 | ||||||
6.00%, 02/01/2023 | 648,626 | 715,021 | ||||||
2.49%, 03/01/2023 | 826,000 | 812,896 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,409,961 | ||||||
2.64%, 04/01/2023 | 367,940 | 366,210 | ||||||
2.70%, 04/01/2023 | 659,407 | 661,746 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,194,878 | ||||||
2.54%, 05/01/2023 | 310,000 | 305,602 | ||||||
5.00%, 05/01/2023 | 57,635 | 62,250 | ||||||
2.42%, 06/01/2023 | 943,450 | 921,188 | ||||||
2.66%, 06/01/2023 | 710,000 | 707,259 | ||||||
2.76%, 06/01/2023 | 1,978,095 | 1,982,285 | ||||||
2.77%, 06/01/2023 | 929,000 | 932,790 | ||||||
2.64%, 07/01/2023 | 413,000 | 401,589 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,146,551 | ||||||
3.74%, 07/01/2023 | 568,000 | 609,008 | ||||||
5.50%, 07/01/2023 | 48,576 | 54,346 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,209,593 | ||||||
4.18%, 09/01/2023 | 1,451,738 | 1,581,893 | ||||||
3.76%, 10/01/2023 | 1,000,000 | 1,069,780 | ||||||
5.00%, 11/01/2023 | 117,069 | 130,087 |
Table of Contents
0.62%, 12/01/2023 | 3,000,000 | 3,022,576 | ||||||
3.50%, 12/01/2023 | 2,234,000 | 2,346,734 | ||||||
6.00%, 01/01/2024 | 480,106 | 528,998 | ||||||
6.00%, 01/01/2024 | 174,706 | 193,102 | ||||||
7.00%, 01/01/2024 | 979 | 1,104 | ||||||
6.50%, 02/01/2024 | 270,804 | 299,841 | ||||||
10.00%, 02/01/2024 | 1,214 | 1,239 | ||||||
6.00%, 04/01/2024 | 32,360 | 36,413 | ||||||
0.52%, 05/01/2024 | 1,996,804 | 1,997,629 | ||||||
3.32%, 05/01/2024 | 2,500,000 | 2,546,960 | ||||||
8.00%, 05/01/2024 | 1,138 | 1,319 | ||||||
6.00%, 07/01/2024 | 115,640 | 127,319 | ||||||
6.50%, 07/01/2024 | 122,589 | 138,225 | ||||||
8.50%, 07/01/2024 | 2,464 | 2,866 | ||||||
5.00%, 08/01/2024 | 179,591 | 195,819 | ||||||
7.50%, 10/01/2024 | 1,174 | 1,329 | ||||||
3.64%, 01/01/2025 | 583,206 | 610,053 | ||||||
6.50%, 04/01/2025 | 18,720 | 21,108 | ||||||
8.50%, 05/01/2025 | 91 | 91 | ||||||
8.50%, 06/01/2025 | 300 | 301 | ||||||
5.50%, 07/01/2025 | 194,915 | 218,068 | ||||||
5.00%, 10/01/2025 | 52,122 | 57,918 | ||||||
9.00%, 12/01/2025 | 573 | 575 | ||||||
6.00%, 03/01/2026 | 47,124 | 53,397 | ||||||
7.00%, 04/01/2026 | 7,308 | 7,840 | ||||||
9.00%, 04/01/2026 | 205 | 206 | ||||||
6.00%, 05/01/2026 | 100,690 | 114,060 | ||||||
6.00%, 07/01/2026 | 107,164 | 121,458 | ||||||
4.55%, 08/01/2026 | 1,135,533 | 1,237,619 | ||||||
4.76%, 08/01/2026 | 1,092,358 | 1,222,140 | ||||||
4.77%, 08/01/2026 | 694,893 | 777,696 | ||||||
6.50%, 08/01/2026 | 166,929 | 188,219 | ||||||
4.67%, 12/01/2026 | 1,187,560 | 1,292,368 | ||||||
8.00%, 03/01/2027 | 9,042 | 10,295 | ||||||
3.00%, 04/01/2027 | 1,506,978 | 1,567,318 | ||||||
3.00%, 05/01/2027 | 8,948,083 | 9,306,368 | ||||||
8.00%, 06/01/2027 | 11,069 | 12,578 |
Table of Contents
6.00%, 07/01/2027 | 136,978 | 154,624 | ||||||
2.50%, 09/01/2027 | 1,052,872 | 1,070,993 | ||||||
2.65%, 09/01/2027 | 15,883 | 16,973 | ||||||
6.00%, 09/01/2027 | 417,497 | 471,691 | ||||||
7.00%, 09/01/2027 | 1,957 | 2,267 | ||||||
6.00%, 11/01/2027 | 61,814 | 69,874 | ||||||
2.50%, 12/01/2027 | 2,573,003 | 2,617,285 | ||||||
6.00%, 12/01/2027 | 194,521 | 220,135 | ||||||
6.00%, 01/01/2028 | 295,589 | 336,598 | ||||||
2.50%, 03/01/2028 | 8,321,571 | 8,464,094 | ||||||
2.50%, 04/01/2028 | 9,850,413 | 10,019,121 | ||||||
5.00%, 05/01/2028 | 71,556 | 79,513 | ||||||
8.00%, 06/01/2028 | 7,503 | 8,499 | ||||||
9.50%, 07/01/2028 | 1,980 | 2,216 | ||||||
3.00%, 09/01/2028 | 4,819,646 | 5,012,627 | ||||||
8.00%, 09/01/2028 | 16,773 | 19,360 | ||||||
2.50%, 10/01/2028 | 1,064,394 | 1,082,624 | ||||||
6.00%, 10/01/2028 | 248,435 | 280,296 | ||||||
8.00%, 11/01/2028 | 61,814 | 73,673 | ||||||
3.00%, 12/01/2028 | 2,093,541 | 2,177,367 | ||||||
6.00%, 12/01/2028 | 5,340 | 6,009 | ||||||
6.00%, 01/01/2029 | 11,073 | 12,624 | ||||||
7.00%, 01/01/2029 | 10,409 | 11,630 | ||||||
3.72%, 03/01/2029 | 11,502 | 12,228 | ||||||
6.50%, 03/01/2029 | 33,223 | 38,198 | ||||||
4.50%, 08/01/2029 | 548,403 | 597,286 | ||||||
4.50%, 09/01/2029 | 601,207 | 655,199 | ||||||
6.00%, 09/01/2029 | 178,838 | 201,777 | ||||||
6.50%, 11/01/2029 | 1,398,958 | 1,580,352 | ||||||
8.50%, 02/01/2030 | 2,369 | 2,411 | ||||||
9.00%, 12/01/2030 | 2,474 | 2,527 | ||||||
5.00%, 04/01/2031 | 292,405 | 327,993 | ||||||
6.50%, 08/01/2031 | 31,130 | 35,987 | ||||||
6.50%, 02/01/2032 | 139,430 | 159,714 | ||||||
7.00%, 06/01/2032 | 6,187 | 6,712 | ||||||
3.50%, 07/01/2032 | 242,028 | 253,779 | ||||||
3.50%, 08/01/2032 | 1,984,464 | 2,080,809 |
Table of Contents
7.00%, 08/01/2032 | 2,905 | 3,124 | ||||||
5.50%, 11/01/2032 | 92,059 | 103,583 | ||||||
3.50%, 12/01/2032 | 723,040 | 753,001 | ||||||
5.00%, 12/01/2032 | 16,443 | 17,768 | ||||||
6.00%, 12/01/2032 | 41,769 | 47,666 | ||||||
6.00%, 12/01/2032 | 375,672 | 426,612 | ||||||
3.50%, 02/01/2033 | 1,160,753 | 1,208,866 | ||||||
5.50%, 02/01/2033 | 7,182 | 8,080 | ||||||
7.00%, 02/01/2033 | 2,641 | 2,942 | ||||||
5.50%, 03/01/2033 | 203,741 | 231,504 | ||||||
6.00%, 03/01/2033 | 16,494 | 18,560 | ||||||
6.00%, 03/01/2033 | 10,678 | 12,017 | ||||||
6.00%, 03/01/2033 | 14,267 | 16,201 | ||||||
6.00%, 03/01/2033 | 4,960 | 5,596 | ||||||
6.00%, 03/01/2033 | 4,665 | 5,273 | ||||||
5.50%, 04/01/2033 | 157,278 | 176,925 | ||||||
6.00%, 05/01/2033 | 45,576 | 52,154 | ||||||
3.50%, 06/01/2033 | 394,380 | 410,650 | ||||||
5.00%, 06/01/2033 | 37,233 | 41,563 | ||||||
7.00%, 06/01/2033 | 241,973 | 279,625 | ||||||
5.00%, 07/01/2033 | 57,967 | 65,016 | ||||||
5.00%, 07/01/2033 | 40,103 | 44,798 | ||||||
5.50%, 07/01/2033 | 43,198 | 48,568 | ||||||
2.22%, 08/01/2033 | 81,449 | 86,737 | ||||||
6.00%, 08/01/2033 | 20,409 | 23,341 | ||||||
1.79%, 09/01/2033 | 88,924 | 94,606 | ||||||
2.56%, 09/01/2033 | 38,842 | 41,440 | ||||||
5.50%, 09/01/2033 | 691,178 | 777,408 | ||||||
6.00%, 09/01/2033 | 32,399 | 36,963 | ||||||
6.00%, 09/01/2033 | 17,782 | 19,463 | ||||||
2.13%, 11/01/2033 | 82,412 | 87,086 | ||||||
4.50%, 11/01/2033 | 54,518 | 59,243 | ||||||
5.00%, 11/01/2033 | 15,079 | 16,816 | ||||||
5.00%, 11/01/2033 | 131,792 | 147,165 | ||||||
5.00%, 11/01/2033 | 9,808,626 | 10,950,851 | ||||||
5.50%, 11/01/2033 | 8,544 | 9,643 | ||||||
4.00%, 12/01/2033 | 131,546 | 140,039 |
Table of Contents
5.50%, 12/01/2033 | 193,100 | 220,381 | ||||||
1.91%, 01/01/2034 | 3,814 | 3,986 | ||||||
2.30%, 01/01/2034 | 26,831 | 28,459 | ||||||
5.50%, 01/01/2034 | 18,446 | 21,020 | ||||||
5.50%, 03/01/2034 | 20,955 | 23,874 | ||||||
2.13%, 04/01/2034 | 38,811 | 39,839 | ||||||
5.00%, 04/01/2034 | 259,068 | 293,251 | ||||||
5.50%, 04/01/2034 | 2,820,544 | 3,170,774 | ||||||
5.00%, 05/01/2034 | 79,880 | 89,929 | ||||||
2.42%, 06/01/2034 | 119,960 | 128,061 | ||||||
2.17%, 07/01/2034 | 10,928 | 11,641 | ||||||
1.57%, 08/01/2034 | 56,631 | 58,599 | ||||||
2.27%, 08/01/2034 | 40,873 | 44,099 | ||||||
2.44%, 08/01/2034 | 36,989 | 39,799 | ||||||
2.23%, 09/01/2034 | 15,539 | 16,618 | ||||||
4.50%, 09/01/2034 | 72,145 | 78,475 | ||||||
5.50%, 09/01/2034 | 57,356 | 64,482 | ||||||
2.11%, 10/01/2034 | 50,467 | 53,197 | ||||||
2.51%, 10/01/2034 | 97,099 | 103,012 | ||||||
5.50%, 10/01/2034 | 60,352 | 64,160 | ||||||
2.12%, 11/01/2034 | 34,304 | 36,483 | ||||||
2.23%, 11/01/2034 | 45,455 | 48,351 | ||||||
6.00%, 11/01/2034 | 14,998 | 16,998 | ||||||
5.00%, 12/01/2034 | 78,879 | 87,952 | ||||||
1.90%, 01/01/2035 | 813,734 | 857,395 | ||||||
2.12%, 01/01/2035 | 33,879 | 36,245 | ||||||
5.00%, 01/01/2035 | 74,429 | 84,252 | ||||||
7.50%, 01/01/2035 | 104,397 | 120,713 | ||||||
1.92%, 02/01/2035 | 55,998 | 59,543 | ||||||
5.50%, 02/01/2035 | 202,410 | 227,463 | ||||||
2.18%, 03/01/2035 | 111,588 | 118,438 | ||||||
7.50%, 03/01/2035 | 103,629 | 114,287 | ||||||
2.35%, 04/01/2035 | 132,675 | 141,825 | ||||||
6.00%, 04/01/2035 | 273,773 | 310,264 | ||||||
1.83%, 05/01/2035 | 78,832 | 83,956 | ||||||
2.22%, 05/01/2035 | 14,675 | 15,507 | ||||||
5.00%, 06/01/2035 | 1,704,914 | 1,898,583 |
Table of Contents
2.17%, 07/01/2035 | 126,761 | 134,940 | ||||||
5.00%, 07/01/2035 | 59,253 | 65,893 | ||||||
5.00%, 07/01/2035 | 9,179,945 | 10,220,834 | ||||||
2.06%, 08/01/2035 | 18,491 | 19,511 | ||||||
2.22%, 09/01/2035 | 57,057 | 60,868 | ||||||
5.00%, 09/01/2035 | 141,820 | 160,709 | ||||||
2.59%, 10/01/2035 | 137,770 | 147,626 | ||||||
5.00%, 10/01/2035 | 914,733 | 1,017,851 | ||||||
5.00%, 11/01/2035 | 363,796 | 404,545 | ||||||
5.50%, 12/01/2035 | 225,511 | 245,121 | ||||||
2.14%, 01/01/2036 | 285,190 | 302,562 | ||||||
2.36%, 01/01/2036 | 137,383 | 146,377 | ||||||
2.88%, 01/01/2036 | 7,486 | 7,503 | ||||||
5.00%, 01/01/2036 | 170,573 | 189,760 | ||||||
6.50%, 01/01/2036 | 786,955 | 897,061 | ||||||
2.84%, 02/01/2036 | 56,476 | 60,205 | ||||||
5.00%, 02/01/2036 | 132,470 | 147,349 | ||||||
6.00%, 02/01/2036 | 18,536 | 20,706 | ||||||
7.00%, 02/01/2036 | 70,913 | 81,710 | ||||||
2.88%, 03/01/2036 | 1,470,680 | 1,564,901 | ||||||
7.00%, 03/01/2036 | 3,875 | 4,376 | ||||||
5.50%, 04/01/2036 | 249,695 | 279,524 | ||||||
6.50%, 04/01/2036 | 7,014 | 7,808 | ||||||
2.36%, 05/01/2036 | 58,486 | 62,801 | ||||||
5.50%, 05/01/2036 | 211,340 | 237,180 | ||||||
5.50%, 05/01/2036 | 298,071 | 334,406 | ||||||
2.30%, 06/01/2036 | 66,743 | 70,964 | ||||||
2.54%, 06/01/2036 | 366,814 | 395,596 | ||||||
2.55%, 06/01/2036 | 99,805 | 107,592 | ||||||
2.52%, 07/01/2036 | 150,391 | 160,509 | ||||||
6.50%, 07/01/2036 | 32,048 | 36,135 | ||||||
2.24%, 08/01/2036 | 97,572 | 105,842 | ||||||
2.39%, 08/01/2036 | 318,100 | 344,108 | ||||||
2.63%, 08/01/2036 | 41,629 | 44,376 | ||||||
6.26%, 08/01/2036 | 168,130 | 180,976 | ||||||
6.50%, 08/01/2036 | 454,125 | 516,180 | ||||||
1.80%, 09/01/2036 | 444,484 | 476,318 |
Table of Contents
1.98%, 09/01/2036 | 100,662 | 106,630 | ||||||
2.26%, 09/01/2036 | 107,409 | 116,009 | ||||||
2.43%, 09/01/2036 | 278,696 | 303,951 | ||||||
2.57%, 09/01/2036 | 122,115 | 130,379 | ||||||
6.00%, 09/01/2036 | 1,227,134 | 1,392,208 | ||||||
2.30%, 10/01/2036 | 186,579 | 202,175 | ||||||
2.70%, 10/01/2036 | 501,626 | 539,553 | ||||||
2.70%, 10/01/2036 | 214,540 | 230,761 | ||||||
6.50%, 10/01/2036 | 148,696 | 167,661 | ||||||
2.52%, 11/01/2036 | 132,308 | 142,655 | ||||||
2.79%, 11/01/2036 | 151,093 | 161,344 | ||||||
5.50%, 11/01/2036 | 87,834 | 98,446 | ||||||
6.00%, 11/01/2036 | 143,248 | 161,589 | ||||||
2.46%, 12/01/2036 | 425,741 | 459,746 | ||||||
2.56%, 12/01/2036 | 210,987 | 226,228 | ||||||
7.00%, 12/01/2036 | 11,363 | 12,497 | ||||||
1.82%, 01/01/2037 | 131,087 | 140,003 | ||||||
2.46%, 01/01/2037 | 83,589 | 89,348 | ||||||
6.50%, 01/01/2037 | 331,121 | 379,988 | ||||||
7.50%, 01/01/2037 | 15,756 | 17,213 | ||||||
1.80%, 02/01/2037 | 172,651 | 181,394 | ||||||
2.41%, 02/01/2037 | 211,875 | 226,182 | ||||||
6.00%, 03/01/2037 | 382,713 | 425,376 | ||||||
7.00%, 03/01/2037 | 31,398 | 33,734 | ||||||
2.34%, 04/01/2037 | 374,113 | 401,271 | ||||||
5.50%, 04/01/2037 | 453,313 | 509,541 | ||||||
6.00%, 04/01/2037 | 40,957 | 45,915 | ||||||
7.00%, 04/01/2037 | 254,241 | 283,883 | ||||||
7.00%, 04/01/2037 | 65,553 | 72,091 | ||||||
6.50%, 05/01/2037 | 16,999 | 18,316 | ||||||
7.50%, 05/01/2037 | 113,370 | 131,310 | ||||||
1.71%, 07/01/2037 | 166,904 | 173,994 | ||||||
2.40%, 07/01/2037 | 601,160 | 642,313 | ||||||
2.48%, 07/01/2037 | 28,395 | 28,751 | ||||||
2.55%, 07/01/2037 | 159,192 | 170,032 | ||||||
3.03%, 08/01/2037 | 386,526 | 413,023 | ||||||
6.00%, 08/01/2037 | 18,089 | 19,831 |
Table of Contents
6.50%, 08/01/2037 | 106,477 | 120,947 | ||||||
6.50%, 08/01/2037 | 69,094 | 78,439 | ||||||
2.46%, 09/01/2037 | 128,433 | 137,798 | ||||||
2.75%, 09/01/2037 | 14,669 | 14,864 | ||||||
5.79%, 09/01/2037 | 92,651 | 99,727 | ||||||
5.95%, 09/01/2037 | 68,952 | 71,804 | ||||||
6.00%, 09/01/2037 | 227,433 | 256,883 | ||||||
6.17%, 09/01/2037 | 11,934 | 11,989 | ||||||
7.00%, 09/01/2037 | 180,050 | 214,826 | ||||||
6.50%, 10/01/2037 | 274,249 | 309,227 | ||||||
7.50%, 10/01/2037 | 6,932 | 7,943 | ||||||
7.50%, 10/01/2037 | 540,459 | 617,342 | ||||||
2.17%, 11/01/2037 | 382,089 | 404,028 | ||||||
2.26%, 11/01/2037 | 127,870 | 136,362 | ||||||
7.50%, 11/01/2037 | 193,052 | 218,844 | ||||||
8.00%, 11/01/2037 | 33,533 | 38,504 | ||||||
2.36%, 12/01/2037 | 661,044 | 706,891 | ||||||
2.43%, 01/01/2038 | 110,554 | 117,749 | ||||||
5.50%, 01/01/2038 | 515,833 | 579,496 | ||||||
7.00%, 01/01/2038 | 30,949 | 34,070 | ||||||
8.00%, 01/01/2038 | 11,035 | 12,918 | ||||||
6.00%, 04/01/2038 | 58,217 | 65,509 | ||||||
5.50%, 05/01/2038 | 114,892 | 125,014 | ||||||
6.00%, 05/01/2038 | 954,875 | 1,076,093 | ||||||
7.00%, 09/01/2038 | 123,916 | 142,512 | ||||||
6.50%, 10/01/2038 | 314,095 | 354,155 | ||||||
6.50%, 10/01/2038 | 1,224,763 | 1,380,973 | ||||||
7.00%, 10/01/2038 | 255,848 | 291,233 | ||||||
6.00%, 11/01/2038 | 159,534 | 182,033 | ||||||
7.00%, 11/01/2038 | 190,111 | 211,435 | ||||||
7.50%, 11/01/2038 | 118,318 | 131,858 | ||||||
7.00%, 12/01/2038 | 556,442 | 621,808 | ||||||
5.00%, 01/01/2039 | 8,514,235 | 9,461,033 | ||||||
7.00%, 01/01/2039 | 762,306 | 861,459 | ||||||
7.50%, 04/01/2039 | 413,554 | 494,612 | ||||||
5.50%, 06/01/2039 | 62,658 | 68,198 | ||||||
5.00%, 09/01/2039 | 472,202 | 526,554 |
Table of Contents
5.50%, 09/01/2039 | 174,365 | 195,261 | ||||||
4.50%, 11/01/2039 | 82,696 | 89,615 | ||||||
5.50%, 12/01/2039 | 189,266 | 211,907 | ||||||
6.00%, 12/01/2039 | 5,006,336 | 5,633,439 | ||||||
4.00%, 07/01/2040 | 13,506,503 | 14,354,256 | ||||||
4.00%, 08/01/2040 | 522,411 | 555,201 | ||||||
4.50%, 08/01/2040 | 15,000,880 | 16,257,995 | ||||||
5.00%, 08/01/2040 | 1,043,879 | 1,167,069 | ||||||
5.00%, 08/01/2040 | 2,245,254 | 2,498,904 | ||||||
4.00%, 09/01/2040 | 3,753,587 | 3,989,186 | ||||||
6.00%, 10/01/2040 | 6,226,675 | 7,013,395 | ||||||
4.00%, 11/01/2040 | 2,595,536 | 2,758,448 | ||||||
3.50%, 12/01/2040 | 260,131 | 268,191 | ||||||
4.00%, 12/01/2040 | 3,435,517 | 3,651,151 | ||||||
4.00%, 12/01/2040 | 548,352 | 582,771 | ||||||
4.50%, 12/01/2040 | 17,018,300 | 18,442,485 | ||||||
4.00%, 01/01/2041 | 2,938,212 | 3,122,632 | ||||||
4.00%, 01/01/2041 | 1,394,952 | 1,482,508 | ||||||
4.00%, 01/01/2041 | 1,294,778 | 1,376,046 | ||||||
4.00%, 01/01/2041 | 2,744,052 | 2,916,286 | ||||||
4.00%, 01/01/2041 | 4,416,638 | 4,693,854 | ||||||
4.00%, 01/01/2041 | 3,931,274 | 4,178,026 | ||||||
4.00%, 01/01/2041 | 718,847 | 763,967 | ||||||
3.50%, 02/01/2041 | 21,696,431 | 22,368,684 | ||||||
4.00%, 02/01/2041 | 177,148 | 188,267 | ||||||
4.00%, 02/01/2041 | 2,706,534 | 2,876,413 | ||||||
4.50%, 03/01/2041 | 3,255,014 | 3,527,220 | ||||||
4.00%, 09/01/2041 | 838,718 | 891,525 | ||||||
4.00%, 10/01/2041 | 2,425,287 | 2,580,056 | ||||||
3.50%, 11/01/2041 | 902,499 | 930,462 | ||||||
4.00%, 12/01/2041 | 6,131,248 | 6,521,174 | ||||||
4.00%, 03/01/2042 | 406,919 | 427,906 | ||||||
3.00%, 05/01/2042 | 1,081,334 | 1,069,492 | ||||||
4.00%, 07/01/2042 | 957,687 | 1,011,845 | ||||||
4.00%, 07/01/2042 | 716,626 | 756,700 | ||||||
4.00%, 07/01/2042 | 1,622,032 | 1,713,637 | ||||||
4.00%, 07/01/2042 | 841,316 | 888,141 |
Table of Contents
3.50%, 09/01/2042 | 1,833,161 | 1,874,022 | ||||||
3.50%, 10/01/2042 | 919,587 | 948,080 | ||||||
3.00%, 11/01/2042 | 3,452,491 | 3,414,682 | ||||||
3.50%, 11/01/2042 | 14,280,706 | 14,723,187 | ||||||
3.00%, 12/01/2042 | 225,687 | 223,216 | ||||||
3.00%, 12/01/2042 | 2,265,463 | 2,240,653 | ||||||
3.00%, 01/01/2043 | 2,948,762 | 2,916,469 | ||||||
3.00%, 01/01/2043 | 2,628,660 | 2,585,095 | ||||||
3.00%, 01/01/2043 | 1,856,360 | 1,836,031 | ||||||
3.50%, 01/01/2043 | 2,549,054 | 2,628,035 | ||||||
3.50%, 01/01/2043 | 1,411,074 | 1,442,529 | ||||||
3.00%, 02/01/2043 | 1,478,646 | 1,454,238 | ||||||
3.50%, 02/01/2043 | 152,966 | 157,706 | ||||||
3.50%, 02/01/2043 | 150,274 | 154,930 | ||||||
3.50%, 03/01/2043 | 979,970 | 1,001,819 | ||||||
3.00%, 04/01/2043 | 2,367,471 | 2,341,544 | ||||||
3.00%, 04/01/2043 | 4,341,676 | 4,294,129 | ||||||
3.50%, 04/01/2043 | 3,960,221 | 4,082,926 | ||||||
3.00%, 05/01/2043 | 13,072,810 | 12,929,646 | ||||||
3.00%, 05/01/2043 | 248,679 | 245,955 | ||||||
3.50%, 05/01/2043 | 3,545,244 | 3,624,290 | ||||||
3.50%, 05/01/2043 | 2,838,833 | 2,901,983 | ||||||
3.50%, 05/01/2043 | 194,187 | 200,215 | ||||||
3.50%, 05/01/2043 | 1,365,496 | 1,395,942 | ||||||
3.00%, 06/01/2043 | 987,049 | 976,239 | ||||||
3.00%, 06/01/2043 | 205,624 | 203,372 | ||||||
3.00%, 06/01/2043 | 12,183,749 | 12,050,321 | ||||||
3.00%, 06/01/2043 | 162,547 | 160,767 | ||||||
3.00%, 06/01/2043 | 1,435,008 | 1,419,293 | ||||||
3.00%, 06/01/2043 | 494,984 | 489,585 | ||||||
3.50%, 06/01/2043 | 3,184,772 | 3,254,970 | ||||||
3.00%, 07/01/2043 | 760,401 | 752,073 | ||||||
3.00%, 07/01/2043 | 908,681 | 898,730 | ||||||
3.00%, 07/01/2043 | 151,355 | 149,698 | ||||||
3.00%, 07/01/2043 | 184,934 | 182,909 | ||||||
3.00%, 07/01/2043 | 235,155 | 232,580 | ||||||
3.00%, 07/01/2043 | 618,569 | 611,795 |
Table of Contents
3.00%, 07/01/2043 | 169,145 | 167,293 | ||||||
3.00%, 07/01/2043 | 5,878,524 | 5,814,146 | ||||||
3.50%, 07/01/2043 | 18,176,503 | 18,739,693 | ||||||
4.00%, 07/01/2043 | 1,931,888 | 2,039,749 | ||||||
3.00%, 08/01/2043 | 6,775,787 | 6,701,583 | ||||||
3.00%, 08/01/2043 | 1,803,804 | 1,784,050 | ||||||
3.00%, 08/01/2043 | 2,543,210 | 2,515,359 | ||||||
3.00%, 09/01/2043 | 3,182,560 | 3,147,707 | ||||||
3.00%, 09/01/2043 | 192,515 | 190,406 | ||||||
3.00%, 09/01/2043 | 134,447 | 132,974 | ||||||
5.00%, 09/01/2043 | 4,919,340 | 5,500,082 | ||||||
3.00%, 10/01/2043 | 170,883 | 169,011 | ||||||
3.00%, 10/01/2043 | 199,025 | 196,846 | ||||||
3.00%, 10/01/2043 | 138,719 | 137,220 | ||||||
3.00%, 11/01/2043 | 614,868 | 608,134 | ||||||
3.00%, 11/01/2043 | 1,887,285 | 1,866,617 | ||||||
4.00%, 11/01/2043 | 14,296,917 | 15,194,282 | ||||||
4.00%, 12/01/2043 | 580,031 | 616,438 | ||||||
4.00%, 12/01/2043 | 5,405,041 | 5,750,573 | ||||||
3.00%, 01/01/2044 | 373,163 | 369,076 | ||||||
3.00%, 04/01/2044 | 127,473 | 126,077 | ||||||
6.00%, 11/01/2048 | 131,107 | 143,073 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.91%, 12/25/2042 | 204,562 | 231,244 | ||||||
6.63%, 12/25/2042 | 51,015 | 59,965 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
6.38%, 10/25/2042 | 37,392 | 41,755 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 781,923 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 159,095 | 186,287 | ||||||
Fannie Mae REMIC Trust 2004-W6 | ||||||||
5.50%, 07/25/2034 | 39,058 | 39,553 | ||||||
5.50%, 07/25/2034 | 159,206 | 165,150 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 300,788 | 352,814 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 350,553 | 395,622 |
Table of Contents
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.29%, 08/25/2047 | 52,285 | 59,106 | ||||||
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 142,024 | 157,819 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 | 101,249 | 86,549 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
38.27%, 07/25/2037 | 103,372 | 154,244 | ||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 1,829,225 | 2,059,038 | ||||||
Fannie Mae REMICS | ||||||||
4.00%, 10/25/2014 | 812,878 | 5,290 | ||||||
6.50%, 11/25/2015 | 11,648 | 11,981 | ||||||
6.00%, 03/25/2016 | 210 | 212 | ||||||
6.00%, 04/25/2016 | 63 | 63 | ||||||
0.64%, 10/25/2016 | 930,429 | 9,834 | ||||||
6.00%, 12/25/2016 | 23,987 | 25,055 | ||||||
6.00%, 12/25/2016 | 36,303 | 37,770 | ||||||
6.00%, 12/25/2016 | 658 | 686 | ||||||
6.00%, 12/25/2016 | 135,365 | 141,284 | ||||||
6.00%, 02/25/2017 | 84,137 | 87,498 | ||||||
6.00%, 02/25/2017 | 36,515 | 38,221 | ||||||
0.65%, 03/25/2017 | 2,318 | 2,328 | ||||||
6.00%, 03/25/2017 | 15,264 | 15,889 | ||||||
6.00%, 03/25/2017 | 42,517 | 44,167 | ||||||
5.50%, 04/25/2017 | 2 | 2 | ||||||
6.00%, 04/25/2017 | 66,703 | 70,182 | ||||||
6.00%, 04/25/2017 | 84,577 | 87,983 | ||||||
6.00%, 04/25/2017 | 14,216 | 14,780 | ||||||
18.96%, 05/25/2017 | 35,632 | 42,792 | ||||||
6.00%, 06/25/2017 | 166,835 | 173,193 | ||||||
5.50%, 09/25/2017 | 79,460 | 83,241 | ||||||
5.00%, 10/25/2017 | 16,914 | 17,772 | ||||||
5.00%, 05/25/2018 | 51,192 | 53,788 | ||||||
4.75%, 09/25/2018 | 244,054 | 257,603 | ||||||
4.00%, 04/25/2019 | 56,497 | 59,091 |
Table of Contents
8.00%, 07/25/2019 | 14,499 | 15,882 | ||||||
8.00%, 10/25/2019 | 3,939 | 4,339 | ||||||
4.00%, 11/25/2019 | 65,310 | 68,349 | ||||||
8.50%, 11/25/2019 | 2,277 | 2,553 | ||||||
9.00%, 11/25/2019 | 1,717 | 1,922 | ||||||
9.40%, 11/25/2019 | 1,685 | 1,893 | ||||||
7.50%, 12/25/2019 | 4,199 | 4,602 | ||||||
8.50%, 01/25/2020 | 448 | 503 | ||||||
8.80%, 01/25/2020 | 1,112 | 1,252 | ||||||
7.00%, 05/25/2020 | 565 | 621 | ||||||
5.50%, 06/25/2020 | 528 | 569 | ||||||
9.50%, 06/25/2020 | 972 | 1,099 | ||||||
7.00%, 07/25/2020 | 4,512 | 4,970 | ||||||
5.50%, 08/25/2020 | 591 | 634 | ||||||
6.50%, 08/25/2020 | 5,361 | 5,789 | ||||||
505.00%, 08/25/2020 | 10 | 93 | ||||||
1118.04%, 08/25/2020 | 12 | 196 | ||||||
6.50%, 09/25/2020 | 2,623 | 2,830 | ||||||
7.00%, 09/25/2020 | 898 | 993 | ||||||
9.00%, 10/25/2020 | 3,651 | 4,130 | ||||||
21.37%, 11/25/2020 | 507 | 753 | ||||||
652.15%, 12/25/2020 | 31 | 333 | ||||||
7.00%, 01/25/2021 | 1,156 | 1,281 | ||||||
908.50%, 02/25/2021 | 1 | 18 | ||||||
5.00%, 03/25/2021 | 1,128 | 1,184 | ||||||
7.00%, 03/25/2021 | 41,023 | 45,205 | ||||||
5.00%, 05/25/2021 | 211,342 | 218,486 | ||||||
17.41%, 05/25/2021 | 924 | 1,193 | ||||||
8.50%, 06/25/2021 | 1,018 | 1,168 | ||||||
8.75%, 06/25/2021 | 4,512 | 5,160 | ||||||
1065.23%, 06/25/2021 | 51 | 795 | ||||||
6.50%, 07/25/2021 | 1,979 | 2,156 | ||||||
6.50%, 09/25/2021 | 242,898 | 269,206 | ||||||
14.95%, 09/25/2021 | 3,095 | 3,854 | ||||||
8.75%, 10/25/2021 | 7,565 | 8,490 | ||||||
24.24%, 12/25/2021 | 1,304 | 1,886 | ||||||
6.00%, 02/25/2022 | 228,447 | 251,779 |
Table of Contents
6.50%, 02/25/2022 | 33,513 | 37,181 | ||||||
0.00%, 03/25/2022 | 90,714 | 89,095 | ||||||
7.50%, 06/25/2022 | 180 | 202 | ||||||
7.00%, 07/25/2022 | 3,036 | 3,370 | ||||||
7.50%, 07/25/2022 | 34,559 | 38,279 | ||||||
8.00%, 07/25/2022 | 34,634 | 39,185 | ||||||
8.00%, 07/25/2022 | 59,785 | 64,638 | ||||||
1184.78%, 07/25/2022 | 12 | 248 | ||||||
6.00%, 08/25/2022 | 26,890 | 28,150 | ||||||
6.00%, 08/25/2022 | 6,259 | 6,784 | ||||||
6.50%, 08/25/2022 | 7,930 | 8,667 | ||||||
0.17%, 09/25/2022 | 3,207 | 3,197 | ||||||
5.50%, 09/25/2022 | 5,619 | 6,081 | ||||||
6.00%, 09/25/2022 | 268,828 | 295,600 | ||||||
7.50%, 09/25/2022 | 37,716 | 41,779 | ||||||
7.75%, 09/25/2022 | 14,716 | 16,654 | ||||||
8.00%, 09/25/2022 | 41,049 | 46,459 | ||||||
0.00%, 10/25/2022 | 4,129 | 3,801 | ||||||
1.38%, 10/25/2022 | 3,062 | 3,106 | ||||||
7.00%, 10/25/2022 | 6,175 | 7,105 | ||||||
7.50%, 10/25/2022 | 20,413 | 23,500 | ||||||
7.90%, 01/25/2023 | 20,810 | 23,518 | ||||||
6.50%, 02/25/2023 | 8,017 | 9,050 | ||||||
7.00%, 02/25/2023 | 84,934 | 95,934 | ||||||
15.50%, 02/25/2023 | 3,634 | 5,056 | ||||||
5.50%, 03/25/2023 | 469,264 | 515,307 | ||||||
6.50%, 03/25/2023 | 6,118 | 6,837 | ||||||
7.00%, 03/25/2023 | 56,556 | 63,510 | ||||||
7.50%, 03/25/2023 | 21,045 | 23,712 | ||||||
7.70%, 03/25/2023 | 9,337 | 10,588 | ||||||
0.00%, 04/25/2023 | 2,590 | 2,497 | ||||||
5.50%, 04/25/2023 | 826,000 | 911,387 | ||||||
5.50%, 04/25/2023 | 25,444 | 27,584 | ||||||
6.00%, 04/25/2023 | 14,590 | 16,046 | ||||||
7.00%, 04/25/2023 | 20,570 | 23,122 | ||||||
17.45%, 04/25/2023 | 16,012 | 6,327 | ||||||
18.94%, 04/25/2023 | 9,869 | 14,454 |
Table of Contents
5.50%, 05/25/2023 | 192,600 | 211,005 | ||||||
7.00%, 05/25/2023 | 216,389 | 244,929 | ||||||
5.00%, 06/25/2023 | 245,430 | 259,091 | ||||||
6.35%, 06/25/2023 | 163,683 | 16,913 | ||||||
7.50%, 06/25/2023 | 172,546 | 15,539 | ||||||
4.50%, 07/25/2023 | 287,000 | 310,789 | ||||||
5.00%, 07/25/2023 | 390,000 | 425,879 | ||||||
6.50%, 07/25/2023 | 5,349 | 5,863 | ||||||
6.79%, 07/25/2023 | 106,023 | 117,991 | ||||||
7.00%, 07/25/2023 | 71,213 | 80,447 | ||||||
7.00%, 07/25/2023 | 105,587 | 117,031 | ||||||
1.03%, 08/25/2023 | 13,180 | 13,441 | ||||||
6.88%, 08/25/2023 | 93,170 | 104,559 | ||||||
7.00%, 08/25/2023 | 173,369 | 194,119 | ||||||
7.90%, 08/25/2023 | 17,945 | 2,116 | ||||||
8.21%, 08/25/2023 | 84,608 | 16,614 | ||||||
0.00%, 09/25/2023 | 3,202 | 3,101 | ||||||
0.00%, 09/25/2023 | 7,924 | 7,647 | ||||||
0.80%, 09/25/2023 | 229,584 | 230,787 | ||||||
6.50%, 09/25/2023 | 8,731 | 9,608 | ||||||
12.50%, 09/25/2023 | 6,025 | 6,998 | ||||||
13.41%, 09/25/2023 | 4,853 | 6,265 | ||||||
0.70%, 10/25/2023 | 6,675 | 6,704 | ||||||
6.50%, 10/25/2023 | 148,084 | 163,015 | ||||||
6.50%, 10/25/2023 | 62,883 | 70,924 | ||||||
10.50%, 10/25/2023 | 2,815 | 3,551 | ||||||
22.95%, 10/25/2023 | 7,846 | 12,136 | ||||||
26.77%, 10/25/2023 | 4,222 | 7,121 | ||||||
0.00%, 11/25/2023 | 934 | 903 | ||||||
6.50%, 11/25/2023 | 38,608 | 44,235 | ||||||
0.75%, 12/25/2023 | 3,660 | 3,706 | ||||||
1.15%, 12/25/2023 | 11,259 | 11,515 | ||||||
6.50%, 12/25/2023 | 12,518 | 14,087 | ||||||
7.00%, 12/25/2023 | 20,185 | 20,620 | ||||||
12.27%, 12/25/2023 | 5,239 | 6,836 | ||||||
23.97%, 12/25/2023 | 11,259 | 17,376 | ||||||
27.99%, 12/25/2023 | 13,840 | 23,900 |
Table of Contents
5.00%, 02/25/2024 | 268,334 | 25,461 | ||||||
5.00%, 03/25/2024 | 288,549 | 20,948 | ||||||
5.00%, 03/25/2024 | 128,004 | 10,505 | ||||||
6.50%, 03/25/2024 | 44,835 | 50,382 | ||||||
6.50%, 03/25/2024 | 221,476 | 243,599 | ||||||
7.00%, 04/25/2024 | 163,467 | 188,031 | ||||||
7.00%, 04/25/2024 | 361,736 | 407,909 | ||||||
5.50%, 07/25/2024 | 49,195 | 54,024 | ||||||
5.50%, 08/25/2024 | 419,227 | 457,794 | ||||||
5.00%, 11/25/2024 | 696,672 | 766,253 | ||||||
8.50%, 01/25/2025 | 8,096 | 9,442 | ||||||
8.80%, 01/25/2025 | 11,345 | 13,030 | ||||||
0.45%, 07/25/2025 | 168,583 | 169,246 | ||||||
5.50%, 08/25/2025 | 393,966 | 436,447 | ||||||
5.50%, 01/25/2026 | 267,849 | 295,814 | ||||||
32.49%, 10/25/2026 | 54,235 | 92,142 | ||||||
7.00%, 11/25/2026 | 77,531 | 87,064 | ||||||
1.84%, 03/25/2027 | 64,987 | 2,471 | ||||||
1.84%, 03/25/2027 | 18,468 | 706 | ||||||
7.50%, 04/18/2027 | 11,637 | 12,898 | ||||||
7.50%, 04/20/2027 | 18,638 | 21,803 | ||||||
6.50%, 04/25/2027 | 47,773 | 53,108 | ||||||
7.50%, 05/20/2027 | 71,567 | 83,735 | ||||||
0.55%, 05/25/2027 | 7,090,939 | 7,118,643 | ||||||
6.50%, 07/18/2027 | 4,319 | 4,770 | ||||||
7.00%, 12/18/2027 | 21,358 | 4,177 | ||||||
6.00%, 07/18/2028 | 30,403 | 34,035 | ||||||
7.45%, 07/25/2028 | 857,759 | 153,255 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,166,665 | ||||||
6.00%, 12/25/2028 | 15,760 | 17,073 | ||||||
8.00%, 12/25/2028 | 31,042 | 6,164 | ||||||
5.00%, 03/25/2029 | 778,843 | 858,170 | ||||||
5.50%, 04/18/2029 | 71,824 | 78,134 | ||||||
6.35%, 04/25/2029 | 15,172 | 17,017 | ||||||
7.50%, 12/18/2029 | 22,101 | 25,420 | ||||||
7.50%, 02/25/2030 | 115,606 | 133,007 | ||||||
8.95%, 07/25/2030 | 40,432 | 9,992 |
Table of Contents
8.50%, 01/25/2031 | 5,281 | 1,370 | ||||||
7.00%, 03/25/2031 | 14,514 | 16,684 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,103,278 | ||||||
6.00%, 07/25/2031 | 81,802 | 15,855 | ||||||
7.00%, 07/25/2031 | 46,993 | 53,708 | ||||||
7.00%, 08/25/2031 | 85,746 | 98,562 | ||||||
6.50%, 09/25/2031 | 21,218 | 23,632 | ||||||
7.00%, 09/25/2031 | 18,171 | 20,897 | ||||||
7.00%, 09/25/2031 | 108,436 | 124,633 | ||||||
7.00%, 09/25/2031 | 23,836 | 27,012 | ||||||
13.90%, 09/25/2031 | 73,030 | 81,353 | ||||||
23.97%, 09/25/2031 | 59,334 | 98,260 | ||||||
6.50%, 10/25/2031 | 13,187 | 14,873 | ||||||
22.49%, 10/25/2031 | 41,540 | 60,919 | ||||||
6.00%, 11/25/2031 | 164,025 | 182,933 | ||||||
7.00%, 11/25/2031 | 151,694 | 171,988 | ||||||
15.19%, 11/25/2031 | 45,396 | 62,756 | ||||||
17.11%, 12/25/2031 | 6,465 | 9,291 | ||||||
0.00%, 01/25/2032 | 6,717 | 6,291 | ||||||
24.69%, 02/25/2032 | 26,510 | 42,334 | ||||||
1.60%, 03/25/2032 | 158,683 | 9,180 | ||||||
10.00%, 03/25/2032 | 2,495 | 3,123 | ||||||
0.00%, 04/25/2032 | 4,829 | 4,478 | ||||||
6.00%, 04/25/2032 | 390,231 | 432,781 | ||||||
6.50%, 04/25/2032 | 71,473 | 80,800 | ||||||
6.50%, 05/25/2032 | 147,906 | 166,665 | ||||||
6.50%, 06/25/2032 | 55,745 | 62,136 | ||||||
6.50%, 07/25/2032 | 298,826 | 50,067 | ||||||
6.50%, 08/25/2032 | 163,568 | 184,434 | ||||||
19.38%, 08/25/2032 | 181,137 | 234,913 | ||||||
0.95%, 11/25/2032 | 701,648 | 716,498 | ||||||
5.00%, 11/25/2032 | 36,396 | 39,673 | ||||||
6.00%, 11/25/2032 | 1,125,084 | 1,267,060 | ||||||
8.50%, 11/25/2032 | 45,811 | 55,357 | ||||||
0.00%, 12/25/2032 | 34,455 | 32,031 | ||||||
5.50%, 12/25/2032 | 461,872 | 502,156 | ||||||
14.20%, 12/25/2032 | 28,287 | 36,621 |
Table of Contents
0.00%, 01/25/2033 | 110,653 | 109,811 | ||||||
6.50%, 02/25/2033 | 54,408 | 60,080 | ||||||
5.00%, 03/25/2033 | 82,395 | 16,178 | ||||||
6.00%, 03/25/2033 | 66,000 | 73,440 | ||||||
4.00%, 04/25/2033 | 470,000 | 494,720 | ||||||
0.00%, 05/25/2033 | 20,092 | 16,779 | ||||||
4.00%, 05/25/2033 | 44,253 | 47,694 | ||||||
5.50%, 05/25/2033 | 4,925 | 52 | ||||||
6.00%, 05/25/2033 | 124,000 | 143,411 | ||||||
6.00%, 05/25/2033 | 233,000 | 265,643 | ||||||
6.00%, 05/25/2033 | 26,472 | 5,588 | ||||||
6.00%, 05/25/2033 | 115,690 | 127,951 | ||||||
6.50%, 05/25/2033 | 261,365 | 51,880 | ||||||
7.00%, 05/25/2033 | 397,958 | 85,047 | ||||||
5.75%, 06/25/2033 | 171,282 | 188,837 | ||||||
6.95%, 06/25/2033 | 227,241 | 31,217 | ||||||
13.90%, 06/25/2033 | 169,037 | 204,308 | ||||||
5.50%, 07/25/2033 | 315,103 | 326,620 | ||||||
13.37%, 07/25/2033 | 65,319 | 78,155 | ||||||
13.90%, 07/25/2033 | 73,316 | 78,800 | ||||||
0.00%, 08/25/2033 | 21,406 | 20,680 | ||||||
5.50%, 08/25/2033 | 330,847 | 361,010 | ||||||
5.50%, 08/25/2033 | 159,453 | 168,640 | ||||||
5.50%, 08/25/2033 | 672,271 | 139,247 | ||||||
7.27%, 08/25/2033 | 139,171 | 145,645 | ||||||
9.90%, 08/25/2033 | 13,465 | 14,858 | ||||||
17.69%, 08/25/2033 | 110,875 | 147,438 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,425,757 | ||||||
12.25%, 09/25/2033 | 53,351 | 65,032 | ||||||
3.00%, 10/25/2033 | 908,000 | 861,531 | ||||||
5.50%, 10/25/2033 | 1,994,415 | 2,162,319 | ||||||
7.45%, 11/25/2033 | 323,200 | 70,256 | ||||||
0.00%, 12/25/2033 | 254,671 | 238,382 | ||||||
13.80%, 12/25/2033 | 98,302 | 114,295 | ||||||
0.90%, 01/25/2034 | 401,303 | 407,890 | ||||||
11.29%, 01/25/2034 | 27,549 | 32,448 | ||||||
12.95%, 01/25/2034 | 14,313 | 15,396 |
Table of Contents
15.90%, 01/25/2034 | 44,844 | 58,876 | ||||||
5.50%, 02/25/2034 | 132,294 | 141,052 | ||||||
27.99%, 02/25/2034 | 138,770 | 194,726 | ||||||
0.00%, 03/25/2034 | 360,838 | 345,242 | ||||||
0.55%, 03/25/2034 | 330,956 | 331,723 | ||||||
5.50%, 04/25/2034 | 450,105 | 500,485 | ||||||
6.00%, 04/25/2034 | 39,282 | 41,027 | ||||||
19.11%, 04/25/2034 | 207,626 | 292,082 | ||||||
0.55%, 05/25/2034 | 643,480 | 644,785 | ||||||
16.08%, 05/25/2034 | 48,898 | 62,871 | ||||||
19.11%, 05/25/2034 | 275,120 | 382,835 | ||||||
23.39%, 05/25/2034 | 59,559 | 85,027 | ||||||
5.50%, 07/25/2034 | 1,071,536 | 1,170,144 | ||||||
13.94%, 07/25/2034 | 45,758 | 58,590 | ||||||
0.40%, 08/25/2034 | 284,198 | 283,791 | ||||||
5.50%, 08/25/2034 | 1,150,628 | 1,220,889 | ||||||
19.38%, 11/25/2034 | 110,473 | 151,674 | ||||||
0.00%, 12/25/2034 | 506 | 506 | ||||||
6.00%, 12/25/2034 | 20,695 | 20,688 | ||||||
21.28%, 12/25/2034 | 11,245 | 13,757 | ||||||
6.00%, 01/25/2035 | 64,198 | 64,801 | ||||||
24.56%, 01/25/2035 | 52,608 | 72,115 | ||||||
0.00%, 04/25/2035 | 268,173 | 262,118 | ||||||
0.50%, 04/25/2035 | 292,473 | 292,072 | ||||||
16.62%, 05/25/2035 | 38,679 | 50,196 | ||||||
19.60%, 05/25/2035 | 391,942 | 545,960 | ||||||
19.71%, 05/25/2035 | 269,446 | 376,201 | ||||||
24.19%, 05/25/2035 | 89,973 | 138,606 | ||||||
5.00%, 06/25/2035 | 126,334 | 135,539 | ||||||
6.50%, 06/25/2035 | 8,772 | 9,385 | ||||||
24.74%, 06/25/2035 | 103,000 | 154,860 | ||||||
5.75%, 07/25/2035 | 2,658,397 | 2,817,830 | ||||||
6.56%, 07/25/2035 | 214,921 | 37,810 | ||||||
17.00%, 07/25/2035 | 73,435 | 99,108 | ||||||
5.50%, 08/25/2035 | 342,076 | 377,938 | ||||||
5.50%, 08/25/2035 | 1,149,850 | 1,303,259 | ||||||
16.32%, 08/25/2035 | 105,333 | 136,760 |
Table of Contents
16.50%, 08/25/2035 | 198,737 | 260,076 | ||||||
0.00%, 09/25/2035 | 61,591 | 59,778 | ||||||
23.59%, 09/25/2035 | 47,508 | 69,869 | ||||||
0.00%, 10/25/2035 | 73,043 | 68,272 | ||||||
5.75%, 10/25/2035 | 369,265 | 402,311 | ||||||
16.50%, 10/25/2035 | 132,685 | 171,827 | ||||||
5.50%, 11/25/2035 | 180,191 | 187,370 | ||||||
24.01%, 11/25/2035 | 698,240 | 1,057,242 | ||||||
5.50%, 12/25/2035 | 584,000 | 665,566 | ||||||
5.50%, 12/25/2035 | 171,866 | 189,239 | ||||||
6.00%, 12/25/2035 | 79,452 | 87,722 | ||||||
6.00%, 12/25/2035 | 1,000,000 | 1,086,975 | ||||||
0.00%, 01/25/2036 | 55,871 | 55,359 | ||||||
5.50%, 01/25/2036 | 145,781 | 160,173 | ||||||
0.00%, 03/25/2036 | 55,669 | 48,441 | ||||||
0.00%, 03/25/2036 | 466,626 | 439,592 | ||||||
5.50%, 03/25/2036 | 750,719 | 813,299 | ||||||
5.50%, 03/25/2036 | 815,167 | 891,498 | ||||||
5.50%, 03/25/2036 | 445,787 | 497,203 | ||||||
6.55%, 03/25/2036 | 1,710,964 | 306,296 | ||||||
24.01%, 03/25/2036 | 47,275 | 72,571 | ||||||
0.00%, 04/25/2036 | 95,135 | 90,370 | ||||||
0.00%, 04/25/2036 | 156,750 | 142,318 | ||||||
0.00%, 04/25/2036 | 235,800 | 226,943 | ||||||
0.40%, 04/25/2036 | 228,401 | 227,493 | ||||||
29.47%, 05/25/2036 | 54,613 | 97,570 | ||||||
0.00%, 06/25/2036 | 157,513 | 148,397 | ||||||
0.00%, 06/25/2036 | 422,739 | 395,327 | ||||||
0.00%, 06/25/2036 | 51,101 | 47,514 | ||||||
0.00%, 06/25/2036 | 101,224 | 94,756 | ||||||
0.00%, 06/25/2036 | 341,973 | 319,331 | ||||||
0.55%, 06/25/2036 | 120,814 | 120,804 | ||||||
0.55%, 06/25/2036 | 524,027 | 525,254 | ||||||
0.60%, 06/25/2036 | 72,004 | 72,281 | ||||||
6.00%, 06/25/2036 | 8,617 | 402 | ||||||
6.43%, 06/25/2036 | 419,703 | 72,959 | ||||||
23.64%, 06/25/2036 | 19,293 | 27,043 |
Table of Contents
0.40%, 06/27/2036 | 3,263,275 | 3,260,341 | ||||||
0.00%, 07/25/2036 | 131,102 | 128,692 | ||||||
0.00%, 07/25/2036 | 61,986 | 55,244 | ||||||
0.00%, 07/25/2036 | 116,660 | 109,170 | ||||||
0.00%, 07/25/2036 | 35,134 | 33,016 | ||||||
0.44%, 07/25/2036 | 888,691 | 889,265 | ||||||
0.50%, 07/25/2036 | 319,455 | 320,298 | ||||||
0.61%, 07/25/2036 | 100,069 | 100,482 | ||||||
6.00%, 07/25/2036 | 1,480,436 | 1,640,021 | ||||||
6.37%, 07/25/2036 | 187,142 | 27,490 | ||||||
6.50%, 07/25/2036 | 706,037 | 791,365 | ||||||
6.50%, 07/25/2036 | 935,792 | 1,039,659 | ||||||
28.19%, 07/25/2036 | 53,474 | 90,253 | ||||||
38.99%, 07/25/2036 | 46,750 | 81,540 | ||||||
0.00%, 08/25/2036 | 103,675 | 92,399 | ||||||
0.00%, 08/25/2036 | 210,141 | 195,255 | ||||||
0.00%, 08/25/2036 | 89,384 | 83,528 | ||||||
0.00%, 08/25/2036 | 51,105 | 48,054 | ||||||
0.50%, 08/25/2036 | 15,188 | 15,206 | ||||||
0.50%, 08/25/2036 | 377,100 | 377,422 | ||||||
6.35%, 08/25/2036 | 93,197 | 18,463 | ||||||
6.50%, 08/25/2036 | 543,244 | 615,901 | ||||||
6.50%, 08/25/2036 | 157,465 | 175,517 | ||||||
0.00%, 09/25/2036 | 105,758 | 98,979 | ||||||
0.00%, 09/25/2036 | 113,266 | 106,971 | ||||||
0.00%, 09/25/2036 | 88,172 | 85,089 | ||||||
6.50%, 09/25/2036 | 102,880 | 115,500 | ||||||
4.50%, 10/25/2036 | 413,000 | 445,509 | ||||||
25.59%, 10/25/2036 | 73,621 | 110,032 | ||||||
0.00%, 11/25/2036 | 76,194 | 68,249 | ||||||
0.00%, 11/25/2036 | 207,271 | 184,836 | ||||||
0.00%, 11/25/2036 | 28,080 | 25,261 | ||||||
0.00%, 12/25/2036 | 92,396 | 82,390 | ||||||
0.00%, 12/25/2036 | 56,667 | 52,870 | ||||||
0.21%, 12/25/2036 | 251,038 | 244,807 | ||||||
0.22%, 12/25/2036 | 953,105 | 932,241 | ||||||
6.00%, 12/25/2036 | 174,953 | 184,047 |
Table of Contents
6.50%, 12/25/2036 | 412,720 | 81,465 | ||||||
25.95%, 12/25/2036 | 25,318 | 38,886 | ||||||
0.00%, 01/25/2037 | 301,671 | 270,681 | ||||||
0.00%, 01/25/2037 | 87,142 | 75,646 | ||||||
5.50%, 01/25/2037 | 134,000 | 147,308 | ||||||
0.35%, 02/25/2037 | 2,770 | 2,771 | ||||||
0.40%, 02/25/2037 | 404,614 | 404,307 | ||||||
38.09%, 02/25/2037 | 8,374 | 9,216 | ||||||
0.00%, 03/25/2037 | 89,085 | 83,889 | ||||||
0.65%, 03/25/2037 | 241,774 | 243,008 | ||||||
0.90%, 03/25/2037 | 397,856 | 406,631 | ||||||
5.00%, 03/25/2037 | 26,827 | 29,083 | ||||||
5.93%, 03/25/2037 | 55,989 | 8,689 | ||||||
6.00%, 03/25/2037 | 319,507 | 356,345 | ||||||
6.29%, 03/25/2037 | 867,108 | 117,412 | ||||||
0.00%, 04/25/2037 | 247,635 | 221,067 | ||||||
5.95%, 04/25/2037 | 461,118 | 65,365 | ||||||
22.16%, 04/25/2037 | 186,645 | 264,852 | ||||||
0.00%, 05/25/2037 | 78,513 | 72,272 | ||||||
0.45%, 05/25/2037 | 175,341 | 174,960 | ||||||
6.00%, 05/25/2037 | 1,135,000 | 1,252,435 | ||||||
0.55%, 06/25/2037 | 987,485 | 989,261 | ||||||
0.60%, 06/25/2037 | 79,787 | 78,092 | ||||||
5.63%, 06/25/2037 | 182,069 | 22,261 | ||||||
5.95%, 06/25/2037 | 188,223 | 25,976 | ||||||
5.95%, 06/25/2037 | 681,724 | 94,621 | ||||||
6.50%, 06/25/2037 | 109,206 | 121,674 | ||||||
0.00%, 07/25/2037 | 223,493 | 209,002 | ||||||
0.52%, 07/25/2037 | 163,674 | 164,302 | ||||||
0.65%, 07/25/2037 | 123,930 | 124,602 | ||||||
5.50%, 07/25/2037 | 455,180 | 491,630 | ||||||
6.25%, 07/25/2037 | 1,379,433 | 201,390 | ||||||
6.47%, 07/25/2037 | 832,128 | 105,529 | ||||||
7.00%, 07/25/2037 | 1,897,374 | 322,192 | ||||||
16.12%, 07/25/2037 | 119,516 | 152,642 | ||||||
0.60%, 08/25/2037 | 840,541 | 845,398 | ||||||
5.50%, 08/25/2037 | 297,567 | 322,947 |
Table of Contents
6.00%, 08/25/2037 | 475,000 | 516,307 | ||||||
6.00%, 08/25/2037 | 82,945 | 88,720 | ||||||
6.00%, 08/25/2037 | 413,000 | 473,663 | ||||||
6.00%, 08/25/2037 | 420,261 | 462,683 | ||||||
23.46%, 08/25/2037 | 166,732 | 242,291 | ||||||
0.60%, 09/25/2037 | 2,785,708 | 2,780,660 | ||||||
6.39%, 09/25/2037 | 570,821 | 95,157 | ||||||
15.77%, 09/25/2037 | 50,644 | 64,259 | ||||||
0.00%, 10/25/2037 | 1,585,647 | 1,350,951 | ||||||
6.02%, 10/25/2037 | 258,459 | 286,492 | ||||||
6.30%, 10/25/2037 | 634,189 | 85,465 | ||||||
6.31%, 10/25/2037 | 572,241 | 70,896 | ||||||
0.35%, 10/27/2037 | 4,541,000 | 4,530,479 | ||||||
8.30%, 11/25/2037 | 516,673 | 620,639 | ||||||
6.21%, 12/25/2037 | 65,343 | 8,653 | ||||||
6.25%, 12/25/2037 | 871,173 | 124,724 | ||||||
6.30%, 12/25/2037 | 582,480 | 72,717 | ||||||
6.50%, 12/25/2037 | 584,335 | 651,412 | ||||||
1.56%, 01/25/2038 | 1,239,413 | 102,155 | ||||||
5.76%, 02/25/2038 | 731,161 | 96,589 | ||||||
5.85%, 02/25/2038 | 1,133,614 | 151,258 | ||||||
1.05%, 03/25/2038 | 206,785 | 209,241 | ||||||
6.05%, 03/25/2038 | 266,978 | 36,711 | ||||||
6.08%, 03/25/2038 | 211,980 | 28,628 | ||||||
6.84%, 03/25/2038 | 327,931 | 48,876 | ||||||
13.70%, 03/25/2038 | 81,818 | 99,972 | ||||||
5.50%, 04/25/2038 | 2,774,087 | 2,967,241 | ||||||
6.50%, 04/25/2038 | 186,003 | 210,801 | ||||||
6.70%, 04/25/2038 | 278,208 | 41,943 | ||||||
6.75%, 04/25/2038 | 286,588 | 43,857 | ||||||
20.24%, 04/25/2038 | 102,622 | 140,673 | ||||||
0.00%, 05/25/2038 | 10,067 | 9,410 | ||||||
5.50%, 05/25/2038 | 2,782,177 | 3,021,940 | ||||||
1.78%, 06/25/2038 | 467,937 | 46,393 | ||||||
5.00%, 07/25/2038 | 155,000 | 172,890 | ||||||
5.00%, 07/25/2038 | 165,437 | 179,314 | ||||||
5.50%, 07/25/2038 | 1,222,251 | 1,321,480 |
Table of Contents
7.05%, 07/25/2038 | 195,063 | 38,110 | ||||||
5.70%, 09/25/2038 | 706,786 | 88,761 | ||||||
5.70%, 09/25/2038 | 334,329 | 41,882 | ||||||
4.50%, 11/25/2038 | 148,516 | 154,456 | ||||||
0.55%, 12/25/2038 | 459,163 | 459,866 | ||||||
4.00%, 02/25/2039 | 827,186 | 871,178 | ||||||
4.50%, 02/25/2039 | 45,477 | 48,607 | ||||||
6.40%, 02/25/2039 | 438,088 | 86,861 | ||||||
6.50%, 03/25/2039 | 415,736 | 53,389 | ||||||
0.60%, 04/25/2039 | 803,838 | 805,328 | ||||||
5.00%, 07/25/2039 | 296,474 | 55,314 | ||||||
7.00%, 07/25/2039 | 28,225 | 32,786 | ||||||
5.00%, 08/25/2039 | 985,232 | 1,065,263 | ||||||
6.00%, 08/25/2039 | 1,254,138 | 1,408,831 | ||||||
5.00%, 09/25/2039 | 1,455,673 | 1,546,281 | ||||||
6.02%, 09/25/2039 | 487,048 | 534,992 | ||||||
5.50%, 10/25/2039 | 797,447 | 141,111 | ||||||
5.75%, 10/25/2039 | 382,303 | 50,851 | ||||||
2.40%, 12/25/2039 | 876,738 | 893,675 | ||||||
6.03%, 12/25/2039 | 430,862 | 46,920 | ||||||
6.30%, 12/25/2039 | 642,578 | 713,955 | ||||||
0.00%, 01/25/2040 | 150,139 | 140,986 | ||||||
6.10%, 01/25/2040 | 547,617 | 75,649 | ||||||
6.19%, 02/25/2040 | 178,182 | 194,354 | ||||||
0.75%, 03/25/2040 | 448,709 | 453,551 | ||||||
6.24%, 03/25/2040 | 486,854 | 563,588 | ||||||
6.44%, 03/25/2040 | 527,152 | 592,747 | ||||||
12.36%, 03/25/2040 | 1,025,125 | 1,214,164 | ||||||
0.75%, 04/25/2040 | 380,645 | 382,372 | ||||||
6.27%, 04/25/2040 | 525,797 | 67,824 | ||||||
17.16%, 04/25/2040 | 310,000 | 424,428 | ||||||
0.75%, 05/25/2040 | 326,216 | 329,287 | ||||||
6.25%, 05/25/2040 | 355,287 | 52,256 | ||||||
0.00%, 06/25/2040 | 256,605 | 240,100 | ||||||
5.00%, 06/25/2040 | 2,694,167 | 2,958,311 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,116,823 | ||||||
5.50%, 07/25/2040 | 1,172,018 | 1,318,971 |
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4.00%, 08/25/2040 | 3,000,000 | 3,209,910 | ||||||
5.00%, 09/25/2040 | 206,000 | 231,194 | ||||||
5.50%, 10/25/2040 | 2,012,000 | 2,297,843 | ||||||
4.29%, 11/25/2040 | 2,646,313 | 271,817 | ||||||
0.70%, 01/25/2041 | 714,338 | 718,664 | ||||||
6.38%, 01/25/2041 | 1,647,609 | 346,740 | ||||||
0.55%, 02/25/2041 | 1,446,845 | 1,447,780 | ||||||
0.45%, 03/25/2041 | 861,218 | 862,195 | ||||||
2.02%, 04/25/2041 | 3,651,835 | 289,732 | ||||||
0.65%, 07/25/2041 | 222,706 | 223,429 | ||||||
0.45%, 08/25/2041 | 2,727,471 | 2,699,528 | ||||||
0.70%, 08/25/2041 | 646,435 | 652,801 | ||||||
0.65%, 11/25/2041 | 788,002 | 791,304 | ||||||
7.00%, 11/25/2041 | 4,693,942 | 5,404,338 | ||||||
7.00%, 11/25/2041 | 3,458,223 | 3,963,490 | ||||||
7.00%, 11/25/2041 | 4,345,172 | 5,049,194 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 928,845 | ||||||
6.50%, 06/25/2042 | 108,680 | 124,971 | ||||||
0.60%, 09/25/2042 | 909,724 | 899,863 | ||||||
0.65%, 09/25/2042 | 3,395,216 | 3,371,242 | ||||||
0.65%, 09/25/2042 | 463,246 | 460,891 | ||||||
0.65%, 10/25/2042 | 3,451,842 | 3,445,801 | ||||||
0.65%, 10/25/2042 | 1,490,393 | 1,485,209 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 928,330 | ||||||
3.50%, 02/25/2043 | 850,159 | 867,329 | ||||||
0.50%, 03/25/2043 | 1,364,266 | 1,346,566 | ||||||
0.00%, 09/25/2043 | 2,457,058 | 1,862,237 | ||||||
0.00%, 10/25/2043 | 1,716,870 | 1,336,257 | ||||||
0.00%, 12/25/2043 | 4,837,745 | 3,647,759 | ||||||
5.95%, 11/25/2049 | 363,410 | 56,078 | ||||||
5.82%, 02/25/2051 | 446,914 | 476,934 | ||||||
5.40%, 07/25/2051 | 136,334 | 137,616 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 106,203 | 119,771 | ||||||
6.50%, 07/25/2042 | 178,525 | 204,610 | ||||||
Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 740,369 | 809,740 | ||||||
6.50%, 09/25/2042 | 300,510 | 341,589 |
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Fannie Mae Trust 2003-W8 | ||||||||
0.55%, 05/25/2042 | 70,565 | 71,002 | ||||||
7.00%, 10/25/2042 | 381,077 | 435,963 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2033 | 508,811 | 590,025 | ||||||
5.04%, 11/25/2043 | 545,864 | 563,462 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
0.40%, 08/25/2044 | 432,588 | 428,749 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 144,663 | 167,613 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 147,358 | 172,037 | ||||||
Fannie Mae Trust 2005-W3 | ||||||||
0.37%, 03/25/2045 | 3,171,755 | 3,166,262 | ||||||
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2035 | 187,572 | 210,179 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
2.21%, 11/25/2035 | 380,736 | 370,837 | ||||||
0.37%, 02/25/2036 | 1,511,141 | 1,504,619 | ||||||
Fannie Mae Whole Loan | ||||||||
0.41%, 11/25/2046 | 4,027,672 | 4,001,995 | ||||||
Fannie Mae-Aces | ||||||||
0.50%, 01/25/2017 | 735,694 | 736,858 | ||||||
0.44%, 12/25/2017 | 1,125,000 | 1,124,703 | ||||||
2.03%, 03/25/2019 | 1,818,000 | 1,844,172 | ||||||
0.67%, 08/25/2019 | 1,818,884 | 1,825,711 | ||||||
4.45%, 09/25/2019 | 2,219,000 | 2,469,647 | ||||||
1.52%, 12/25/2019 | 782,000 | 786,827 | ||||||
1.80%, 12/25/2019 | 743,000 | 737,597 | ||||||
4.33%, 03/25/2020 | 826,000 | 917,775 | ||||||
3.66%, 11/25/2020 | 689,707 | 742,581 | ||||||
3.65%, 04/25/2021 | 894,000 | 962,934 | ||||||
3.76%, 04/25/2021 | 6,037,000 | 6,540,486 | ||||||
3.73%, 06/25/2021 | 5,158,000 | 5,563,893 | ||||||
3.76%, 06/25/2021 | 1,032,000 | 1,116,056 | ||||||
2.92%, 08/25/2021 | 706,000 | 724,466 |
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2.28%, 12/27/2022 | 1,357,000 | 1,311,372 | ||||||
2.39%, 01/25/2023 | 1,342,000 | 1,306,022 | ||||||
3.51%, 12/25/2023 | 8,394,000 | 8,844,128 | ||||||
3.50%, 01/25/2024 | 16,000,000 | 16,808,896 | ||||||
FDIC Guaranteed Notes Trust 2010-C1 | ||||||||
2.98%, 12/06/2020 (Acquired 10/28/2013, Cost $1,678,543) (b) | 1,633,122 | 1,696,020 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
5.09%, 03/25/2019 | 9,000,000 | 10,245,636 | ||||||
1.82%, 06/25/2020 | 62,060,451 | 4,671,352 | ||||||
2.87%, 12/25/2021 | 5,500,000 | 5,651,096 | ||||||
2.79%, 01/25/2022 | 4,400,000 | 4,492,875 | ||||||
2.27%, 03/25/2022 | 7,100,000 | 6,981,508 | ||||||
1.61%, 05/25/2022 | 57,055,348 | 5,236,312 | ||||||
2.37%, 05/25/2022 | 15,905,000 | 15,702,895 | ||||||
1.03%, 10/25/2022 | 23,680,249 | 1,417,287 | ||||||
2.62%, 01/25/2023 | 4,000,000 | 3,941,828 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,471,078 | ||||||
FHLMC Structured Pass Through Securities | ||||||||
6.73%, 07/25/2032 | 100,555 | 115,437 | ||||||
6.04%, 07/25/2033 | 300,362 | 341,553 | ||||||
3.55%, 10/25/2037 | 2,557,222 | 2,515,174 | ||||||
7.50%, 02/25/2042 | 426,487 | 499,177 | ||||||
7.50%, 08/25/2042 | 63,923 | 76,592 | ||||||
6.50%, 02/25/2043 | 391,502 | 462,933 | ||||||
7.00%, 02/25/2043 | 136,392 | 165,352 | ||||||
5.23%, 05/25/2043 | 952,945 | 1,030,091 | ||||||
0.00%, 07/25/2043 | 39,433 | 35,697 | ||||||
7.50%, 07/25/2043 | 101,986 | 121,902 | ||||||
0.00%, 09/25/2043 | 47,525 | 39,149 | ||||||
7.50%, 09/25/2043 | 546,264 | 651,128 | ||||||
0.00%, 10/25/2043 | 52,576 | 47,649 | ||||||
7.00%, 10/25/2043 | 525,720 | 600,492 | ||||||
1.32%, 10/25/2044 | 1,156,715 | 1,176,866 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 30,694 | 34,200 | ||||||
6.25%, 11/25/2023 | 19,314 | 21,291 | ||||||
7.50%, 04/25/2024 | 143,345 | 163,059 |
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First Boston Mortgage Securities Corp 1987 STRIPs | ||||||||
0.00%, 04/25/2017 | 674 | 674 | ||||||
10.97%, 04/25/2017 | 1,203 | 80 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA7 | ||||||||
5.00%, 09/25/2020 | 28,621 | 29,256 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 259,752 | 230,627 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 86,319 | 85,666 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 02/25/2037 | 154,647 | 136,654 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
5.50%, 08/25/2037 | 1,906,543 | 376,626 | ||||||
First Horizon Mortgage Pass-Through Trust 2003-7 | ||||||||
4.50%, 09/25/2018 | 5,996 | 6,135 | ||||||
First Horizon Mortgage Pass-Through Trust 2003-8 | ||||||||
4.50%, 09/25/2018 | 56,819 | 56,829 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR2 | ||||||||
2.63%, 05/25/2034 | 132,180 | 132,270 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR7 | ||||||||
2.55%, 02/25/2035 | 660,773 | 662,929 | ||||||
First Horizon Mortgage Pass-Through Trust 2005-AR1 | ||||||||
2.57%, 04/25/2035 | 450,116 | 451,565 | ||||||
Freddie Mac | ||||||||
3.00%, 07/15/2027 (f) | 3,000,000 | 3,109,686 | ||||||
3.50%, 07/15/2029 (f) | 3,000,000 | 3,171,094 | ||||||
4.50%, 07/15/2040 (f) | 16,000,000 | 17,316,525 | ||||||
4.00%, 07/15/2041 (f) | 2,500,000 | 2,648,437 | ||||||
3.50%, 07/15/2042 (f) | 7,500,000 | 7,709,182 | ||||||
Freddie Mac Gold Pool | ||||||||
6.50%, 07/01/2014 | 3 | 3 | ||||||
7.50%, 10/01/2014 | 2 | 2 | ||||||
8.50%, 11/01/2015 | 107 | 107 | ||||||
6.50%, 07/01/2016 | 6,416 | 6,605 | ||||||
6.50%, 08/01/2016 | 3,378 | 3,500 | ||||||
6.00%, 04/01/2017 | 346,360 | 363,463 | ||||||
6.00%, 04/01/2017 | 168,585 | 176,743 |
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7.00%, 04/01/2017 | 479 | 484 | ||||||
6.50%, 05/01/2017 | 2,424 | 2,513 | ||||||
5.50%, 06/01/2017 | 5,467 | 5,805 | ||||||
5.00%, 10/01/2017 | 49,955 | 53,027 | ||||||
6.00%, 10/01/2017 | 1,740 | 1,786 | ||||||
6.50%, 11/01/2017 | 2,041 | 2,145 | ||||||
5.00%, 12/01/2017 | 175,718 | 186,524 | ||||||
5.00%, 12/01/2017 | 185,258 | 196,651 | ||||||
6.50%, 12/01/2017 | 5,526 | 5,811 | ||||||
5.50%, 01/01/2018 | 45,673 | 48,494 | ||||||
5.50%, 02/01/2018 | 46,103 | 48,950 | ||||||
5.50%, 04/01/2018 | 468,168 | 496,362 | ||||||
6.00%, 04/01/2018 | 12,193 | 12,783 | ||||||
6.50%, 04/01/2018 | 54,192 | 56,567 | ||||||
4.00%, 06/01/2018 | 6,808 | 7,231 | ||||||
4.50%, 08/01/2018 | 17,235 | 18,309 | ||||||
4.50%, 10/01/2018 | 76,357 | 80,987 | ||||||
4.50%, 10/01/2018 | 11,873 | 12,600 | ||||||
5.00%, 12/01/2018 | 23,933 | 25,405 | ||||||
5.50%, 01/01/2019 | 78,133 | 82,958 | ||||||
6.50%, 09/01/2019 | 46,876 | 49,213 | ||||||
5.50%, 12/01/2019 | 80,446 | 85,413 | ||||||
6.00%, 02/01/2020 | 18,042 | 18,877 | ||||||
5.50%, 04/01/2020 | 72,606 | 77,744 | ||||||
5.50%, 06/01/2020 | 55,956 | 59,411 | ||||||
6.00%, 06/01/2020 | 42,305 | 44,998 | ||||||
8.00%, 07/01/2020 | 208 | 209 | ||||||
6.00%, 08/01/2020 | 25,359 | 26,956 | ||||||
6.00%, 07/01/2021 | 120,886 | 128,510 | ||||||
6.00%, 07/01/2021 | 81,713 | 85,634 | ||||||
6.00%, 01/01/2022 | 38,036 | 39,499 | ||||||
6.00%, 02/01/2022 | 21,715 | 22,593 | ||||||
6.00%, 03/01/2022 | 93,994 | 99,035 | ||||||
6.50%, 03/01/2022 | 15,425 | 16,636 | ||||||
5.50%, 11/01/2022 | 12,139 | 13,534 | ||||||
6.50%, 11/01/2022 | 49,787 | 56,102 | ||||||
6.00%, 12/01/2022 | 17,090 | 19,194 |
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5.50%, 01/01/2023 | 112,585 | 125,521 | ||||||
5.50%, 05/01/2023 | 61,533 | 68,609 | ||||||
5.00%, 06/01/2023 | 12,250 | 13,557 | ||||||
5.50%, 07/01/2023 | 13,777 | 15,362 | ||||||
5.50%, 11/01/2023 | 33,949 | 37,842 | ||||||
5.50%, 01/01/2024 | 1,902,208 | 2,085,331 | ||||||
5.50%, 02/01/2024 | 47,388 | 51,743 | ||||||
8.00%, 08/01/2024 | 1,419 | 1,655 | ||||||
8.00%, 11/01/2024 | 1,108 | 1,241 | ||||||
7.50%, 08/01/2025 | 2,445 | 2,842 | ||||||
3.50%, 11/01/2025 | 1,008,764 | 1,069,290 | ||||||
10.00%, 03/17/2026 | 93,197 | 103,240 | ||||||
7.00%, 04/01/2026 | 2,749 | 3,140 | ||||||
6.50%, 01/01/2028 | 94,540 | 107,211 | ||||||
2.50%, 04/01/2028 | 670,860 | 681,667 | ||||||
3.00%, 07/01/2028 | 3,211,886 | 3,336,173 | ||||||
8.50%, 07/01/2028 | 7,533 | 8,967 | ||||||
3.00%, 10/01/2028 | 3,474,244 | 3,607,108 | ||||||
7.00%, 12/01/2028 | 118,249 | 136,291 | ||||||
3.00%, 05/01/2029 | 2,805,999 | 2,912,035 | ||||||
6.50%, 06/01/2029 | 39,608 | 44,631 | ||||||
7.00%, 07/01/2029 | 1,194 | 1,340 | ||||||
6.50%, 08/01/2029 | 160,689 | 185,384 | ||||||
6.00%, 10/01/2029 | 37,465 | 42,664 | ||||||
10.00%, 10/01/2030 | 502,310 | 570,944 | ||||||
7.00%, 01/01/2031 | 110,053 | 127,228 | ||||||
3.50%, 01/01/2032 | 1,389,192 | 1,452,601 | ||||||
7.50%, 01/01/2032 | 229,086 | 271,360 | ||||||
3.50%, 03/01/2032 | 557,639 | 583,110 | ||||||
7.00%, 07/01/2032 | 7,904 | 8,914 | ||||||
7.00%, 08/01/2032 | 12,679 | 14,597 | ||||||
5.50%, 01/01/2033 | 449,456 | 504,961 | ||||||
3.50%, 02/01/2033 | 375,051 | 389,953 | ||||||
6.00%, 02/01/2033 | 273,243 | 304,058 | ||||||
3.50%, 05/01/2033 | 1,588,340 | 1,651,726 | ||||||
3.50%, 05/01/2033 | 461,927 | 480,314 | ||||||
5.50%, 10/01/2033 | 92,040 | 103,086 |
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6.00%, 12/01/2033 | 16,063 | 18,058 | ||||||
5.00%, 01/01/2034 | 85,633 | 95,108 | ||||||
6.00%, 01/01/2034 | 61,130 | 69,866 | ||||||
6.00%, 01/01/2034 | 85,684 | 95,347 | ||||||
5.00%, 06/01/2034 | 423,631 | 470,578 | ||||||
5.00%, 09/01/2034 | 159,614 | 177,922 | ||||||
6.50%, 11/01/2034 | 29,376 | 33,101 | ||||||
6.50%, 01/01/2035 | 255,459 | 289,179 | ||||||
5.00%, 03/01/2035 | 114,869 | 127,558 | ||||||
5.50%, 07/01/2035 | 192,045 | 215,474 | ||||||
6.50%, 12/01/2035 | 109,063 | 123,082 | ||||||
6.50%, 12/01/2035 | 157,462 | 180,604 | ||||||
5.50%, 01/01/2036 | 79,391 | 88,760 | ||||||
5.00%, 03/01/2036 | 10,069,172 | 11,174,275 | ||||||
5.00%, 07/01/2036 | 9,074 | 10,060 | ||||||
5.00%, 08/20/2036 | 5,672,595 | 6,438,931 | ||||||
5.00%, 11/01/2036 | 240,906 | 267,026 | ||||||
6.00%, 11/01/2036 | 77,325 | 84,531 | ||||||
6.50%, 11/01/2036 | 311,476 | 351,512 | ||||||
6.50%, 11/01/2036 | 65,591 | 73,910 | ||||||
6.50%, 11/01/2036 | 800,218 | 895,073 | ||||||
5.50%, 12/01/2036 | 124,058 | 138,283 | ||||||
6.00%, 12/01/2036 | 34,411 | 38,649 | ||||||
6.00%, 12/01/2036 | 59,231 | 66,668 | ||||||
6.50%, 12/01/2036 | 244,133 | 275,513 | ||||||
6.50%, 12/01/2036 | 797,178 | 899,645 | ||||||
7.50%, 12/01/2036 | 832,887 | 1,003,263 | ||||||
6.50%, 01/01/2037 | 53,468 | 60,274 | ||||||
6.50%, 01/01/2037 | 34,129 | 36,618 | ||||||
6.50%, 02/01/2037 | 61,163 | 68,910 | ||||||
7.00%, 02/01/2037 | 24,586 | 27,422 | ||||||
5.00%, 03/01/2037 | 814,283 | 901,126 | ||||||
5.00%, 06/01/2037 | 838,666 | 928,110 | ||||||
6.50%, 06/01/2037 | 45,019 | 50,777 | ||||||
5.00%, 08/01/2037 | 834,998 | 924,051 | ||||||
6.50%, 11/01/2037 | 127,760 | 145,083 | ||||||
7.50%, 01/01/2038 | 125,543 | 143,191 |
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7.50%, 01/01/2038 | 176,324 | 194,845 | ||||||
5.00%, 02/01/2038 | 832,239 | 920,997 | ||||||
5.00%, 03/01/2038 | 977,245 | 1,081,468 | ||||||
5.00%, 03/01/2038 | 1,473,406 | 1,630,544 | ||||||
5.00%, 03/01/2038 | 864,513 | 956,712 | ||||||
5.00%, 03/01/2038 | 183,369 | 202,926 | ||||||
6.50%, 03/01/2038 | 168,812 | 190,223 | ||||||
5.00%, 04/01/2038 | 910,217 | 1,007,291 | ||||||
5.50%, 05/01/2038 | 265,145 | 295,547 | ||||||
5.50%, 08/01/2038 | 320,370 | 357,103 | ||||||
5.00%, 09/01/2038 | 3,543 | 3,921 | ||||||
5.00%, 09/01/2038 | 726,820 | 804,335 | ||||||
7.50%, 09/01/2038 | 83,552 | 94,446 | ||||||
5.00%, 11/01/2038 | 5,390 | 5,965 | ||||||
5.00%, 12/01/2038 | 878,576 | 972,275 | ||||||
5.00%, 12/01/2038 | 3,342 | 3,699 | ||||||
5.00%, 02/01/2039 | 1,765,474 | 1,953,761 | ||||||
5.00%, 05/01/2039 | 16,887 | 19,039 | ||||||
4.50%, 11/01/2039 | 5,307,844 | 5,746,987 | ||||||
4.50%, 11/01/2039 | 6,096,204 | 6,600,955 | ||||||
5.00%, 03/01/2040 | 9,037,498 | 10,001,819 | ||||||
5.50%, 03/01/2040 | 74,159 | 82,662 | ||||||
5.50%, 05/01/2040 | 7,307,274 | 8,145,123 | ||||||
4.50%, 08/01/2040 | 1,395,928 | 1,512,161 | ||||||
5.00%, 08/01/2040 | 4,306,510 | 4,776,638 | ||||||
5.00%, 08/01/2040 | 1,147,662 | 1,275,496 | ||||||
5.50%, 08/01/2040 | 3,216,019 | 3,584,766 | ||||||
4.00%, 09/01/2040 | 1,981,965 | 2,102,515 | ||||||
4.50%, 09/01/2040 | 1,081,966 | 1,172,047 | ||||||
4.50%, 09/01/2040 | 4,383,864 | 4,749,157 | ||||||
4.00%, 11/01/2040 | 5,960,967 | 6,323,534 | ||||||
4.00%, 11/01/2040 | 96,232 | 102,085 | ||||||
4.00%, 12/01/2040 | 3,517,568 | 3,731,519 | ||||||
4.00%, 12/01/2040 | 3,439,286 | 3,648,475 | ||||||
4.50%, 03/01/2041 | 803,018 | 869,665 | ||||||
4.50%, 05/01/2041 | 5,309,930 | 5,772,656 | ||||||
5.00%, 06/01/2041 | 899,817 | 998,825 |
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4.00%, 11/01/2041 | 30,685 | 32,551 | ||||||
4.00%, 01/01/2042 | 597,347 | 633,680 | ||||||
4.00%, 05/01/2042 | 41,532 | 44,058 | ||||||
3.50%, 06/01/2042 | 1,015,265 | 1,044,926 | ||||||
3.50%, 06/01/2042 | 5,274,187 | 5,383,373 | ||||||
4.00%, 06/01/2042 | 4,437,450 | 4,700,407 | ||||||
3.50%, 07/01/2042 | 22,878,376 | 23,546,753 | ||||||
3.00%, 08/01/2042 | 3,692,926 | 3,647,344 | ||||||
3.50%, 09/01/2042 | 6,812,546 | 7,011,570 | ||||||
3.00%, 10/01/2042 | 8,968,821 | 8,857,988 | ||||||
4.00%, 10/01/2042 | 316,003 | 332,090 | ||||||
3.50%, 11/01/2042 | 256,526 | 261,845 | ||||||
4.00%, 01/01/2043 | 490,263 | 519,317 | ||||||
3.00%, 02/01/2043 | 749,530 | 740,258 | ||||||
3.00%, 03/01/2043 | 9,660,338 | 9,540,795 | ||||||
3.00%, 03/01/2043 | 4,760,779 | 4,701,883 | ||||||
3.50%, 03/01/2043 | 1,864,944 | 1,919,427 | ||||||
3.00%, 04/01/2043 | 187,837 | 185,512 | ||||||
3.50%, 05/01/2043 | 484,279 | 494,351 | ||||||
3.00%, 06/01/2043 | 69,345 | 68,487 | ||||||
3.00%, 06/01/2043 | 20,265,507 | 20,014,655 | ||||||
3.50%, 06/01/2043 | 1,712,578 | 1,748,061 | ||||||
4.00%, 06/01/2043 | 24,632 | 26,130 | ||||||
3.00%, 07/01/2043 | 663,929 | 655,710 | ||||||
3.00%, 07/01/2043 | 49,996 | 49,377 | ||||||
3.00%, 08/01/2043 | 964,340 | 952,403 | ||||||
3.00%, 08/01/2043 | 12,366,572 | 12,213,495 | ||||||
3.00%, 09/01/2043 | 889,825 | 878,810 | ||||||
4.00%, 09/01/2043 | 350,858 | 372,198 | ||||||
3.50%, 10/01/2043 | 404,664 | 416,486 | ||||||
3.00%, 11/01/2043 | 96,689 | 95,492 | ||||||
4.00%, 11/01/2043 | 659,272 | 699,371 | ||||||
4.00%, 11/01/2043 | 234,119 | 248,359 | ||||||
4.00%, 12/01/2043 | 1,133,566 | 1,202,513 | ||||||
4.00%, 12/01/2043 | 670,472 | 711,253 | ||||||
4.00%, 12/01/2043 | 5,836,599 | 6,191,601 | ||||||
4.00%, 01/01/2044 (Acquired 12/05/2013, Cost $3,013,934) (c) | 2,934,506 | 3,112,993 |
Table of Contents
4.00%, 01/01/2044 | 1,755,046 | 1,861,794 | ||||||
4.00%, 01/01/2044 | 228,331 | 242,218 | ||||||
4.00%, 03/01/2044 | 9,890,509 | 10,492,085 | ||||||
7.00%, 08/01/2047 | 16,923 | 18,903 | ||||||
Freddie Mac Non Gold Pool | ||||||||
12.00%, 08/01/2015 | 191 | 192 | ||||||
2.09%, 07/01/2019 | 4,602 | 4,686 | ||||||
12.00%, 07/01/2019 | 124 | 125 | ||||||
2.25%, 07/01/2026 | 5,438 | 5,482 | ||||||
2.24%, 01/01/2027 | 12,017 | 12,709 | ||||||
2.31%, 04/01/2030 | 5,474 | 5,840 | ||||||
2.50%, 09/01/2032 | 10,054 | 10,751 | ||||||
2.39%, 05/01/2033 | 349,540 | 372,262 | ||||||
2.36%, 12/01/2033 | 61,916 | 66,026 | ||||||
2.30%, 04/01/2034 | 115,423 | 122,450 | ||||||
2.50%, 09/01/2034 | 269,806 | 287,995 | ||||||
2.38%, 01/01/2035 | 111,766 | 119,154 | ||||||
5.05%, 01/01/2035 | 358,059 | 375,944 | ||||||
2.25%, 08/01/2035 | 41,586 | 44,080 | ||||||
2.51%, 12/01/2035 | 192,900 | 207,084 | ||||||
2.40%, 02/01/2036 | 58,464 | 62,179 | ||||||
3.85%, 02/01/2036 | 268,634 | 282,790 | ||||||
2.67%, 03/01/2036 | 303,594 | 325,819 | ||||||
3.11%, 03/01/2036 | 435,129 | 469,589 | ||||||
2.37%, 05/01/2036 | 293,287 | 312,635 | ||||||
2.38%, 05/01/2036 | 165,404 | 175,517 | ||||||
2.83%, 05/01/2036 | 66,026 | 71,390 | ||||||
2.51%, 06/01/2036 | 756,704 | 810,516 | ||||||
2.53%, 06/01/2036 | 191,017 | 204,094 | ||||||
2.09%, 07/01/2036 | 115,254 | 122,438 | ||||||
2.38%, 07/01/2036 | 98,252 | 104,839 | ||||||
3.79%, 07/01/2036 | 122,886 | 127,600 | ||||||
2.00%, 08/01/2036 | 64,834 | 68,382 | ||||||
2.10%, 08/01/2036 | 152,198 | 161,078 | ||||||
2.11%, 08/01/2036 | 870,038 | 925,744 | ||||||
2.47%, 09/01/2036 | 280,914 | 299,704 | ||||||
2.50%, 09/01/2036 | 315,703 | 337,165 |
Table of Contents
2.10%, 10/01/2036 | 471,052 | 499,827 | ||||||
2.12%, 10/01/2036 | 256,521 | 272,507 | ||||||
2.19%, 10/01/2036 | 153,305 | 163,713 | ||||||
2.22%, 10/01/2036 | 126,562 | 131,537 | ||||||
2.41%, 10/01/2036 | 49,160 | 51,491 | ||||||
2.48%, 10/01/2036 | 222,549 | 238,137 | ||||||
2.79%, 10/01/2036 | 193,021 | 206,536 | ||||||
2.27%, 11/01/2036 | 224,138 | 237,498 | ||||||
2.29%, 11/01/2036 | 60,235 | 63,788 | ||||||
2.37%, 11/01/2036 | 135,809 | 145,019 | ||||||
2.38%, 11/01/2036 | 359,843 | 383,609 | ||||||
2.42%, 11/01/2036 | 101,365 | 107,826 | ||||||
2.22%, 12/01/2036 | 622,696 | 657,638 | ||||||
2.32%, 12/01/2036 | 20,052 | 21,290 | ||||||
2.35%, 12/01/2036 | 687,857 | 730,192 | ||||||
2.67%, 12/01/2036 | 304,952 | 327,733 | ||||||
2.86%, 12/01/2036 | 35,065 | 37,906 | ||||||
2.04%, 01/01/2037 | 54,785 | 57,756 | ||||||
2.55%, 01/01/2037 | 153,114 | 164,088 | ||||||
2.32%, 02/01/2037 | 23,707 | 25,184 | ||||||
2.49%, 02/01/2037 | 417,337 | 447,908 | ||||||
2.51%, 02/01/2037 | 19,302 | 20,625 | ||||||
2.57%, 02/01/2037 | 240,682 | 257,917 | ||||||
2.83%, 02/01/2037 | 48,227 | 51,734 | ||||||
2.31%, 03/01/2037 | 657,021 | 701,067 | ||||||
2.80%, 03/01/2037 | 122,890 | 131,730 | ||||||
2.93%, 03/01/2037 | 58,816 | 63,756 | ||||||
1.93%, 04/01/2037 | 70,048 | 73,881 | ||||||
2.54%, 04/01/2037 | 13,363 | 13,891 | ||||||
2.67%, 04/01/2037 | 166,546 | 178,962 | ||||||
1.95%, 05/01/2037 | 179,791 | 187,812 | ||||||
2.39%, 05/01/2037 | 252,734 | 270,617 | ||||||
2.39%, 05/01/2037 | 102,324 | 109,661 | ||||||
2.50%, 05/01/2037 | 59,512 | 63,539 | ||||||
2.63%, 05/01/2037 | 464,211 | 498,737 | ||||||
2.68%, 05/01/2037 | 259,932 | 280,435 | ||||||
3.56%, 06/01/2037 | 126,767 | 134,341 |
Table of Contents
2.57%, 07/01/2037 | 117,083 | 125,178 | ||||||
6.13%, 11/01/2037 | 54,185 | 58,301 | ||||||
2.67%, 04/01/2038 | 254,563 | 273,015 | ||||||
2.49%, 05/01/2038 | 198,375 | 212,174 | ||||||
4.01%, 07/01/2040 | 299,948 | 319,634 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 1,100,260 | 1,197,849 | ||||||
6.00%, 05/15/2036 | 1,517,141 | 1,694,334 | ||||||
Freddie Mac REMICS | ||||||||
6.50%, 08/15/2016 | 22,672 | 23,789 | ||||||
6.00%, 09/15/2016 | 6,320 | 6,585 | ||||||
6.00%, 09/15/2016 | 61,383 | 64,215 | ||||||
6.00%, 09/15/2016 | 19,499 | 20,256 | ||||||
6.00%, 09/15/2016 | 5,010 | 5,204 | ||||||
6.00%, 09/15/2016 | 29,683 | 30,974 | ||||||
6.00%, 10/15/2016 | 15,982 | 16,650 | ||||||
5.50%, 12/15/2016 | 41,703 | 43,289 | ||||||
6.00%, 12/15/2016 | 14,155 | 14,783 | ||||||
6.00%, 03/15/2017 | 15,425 | 16,202 | ||||||
5.00%, 06/15/2017 | 67,505 | 69,026 | ||||||
5.50%, 06/15/2017 | 7,780 | 8,070 | ||||||
6.00%, 06/15/2017 | 44,531 | 46,496 | ||||||
16.39%, 08/15/2017 | 7,611 | 8,742 | ||||||
4.00%, 09/15/2017 | 11,767 | 11,846 | ||||||
5.50%, 10/15/2017 | 20,376 | 21,595 | ||||||
5.00%, 12/15/2017 | 48,797 | 51,361 | ||||||
5.50%, 12/15/2017 | 93,311 | 98,870 | ||||||
5.00%, 01/15/2018 | 69,317 | 72,227 | ||||||
0.00%, 02/15/2018 | 2,582 | 2,579 | ||||||
4.50%, 03/15/2018 | 30,871 | 713 | ||||||
4.50%, 05/15/2018 | 44,261 | 46,464 | ||||||
6.50%, 05/15/2018 | 8,076 | 8,633 | ||||||
4.50%, 06/15/2018 | 370,545 | 389,180 | ||||||
5.95%, 06/15/2018 | 57,708 | 4,630 | ||||||
4.50%, 07/15/2018 | 347,503 | 365,478 | ||||||
0.00%, 10/15/2018 | 4,969 | 4,968 | ||||||
0.00%, 03/15/2019 | 147,227 | 146,924 |
Table of Contents
6.50%, 03/15/2019 | 3,954 | 441 | ||||||
4.50%, 04/15/2019 | 5,745 | 5,903 | ||||||
0.00%, 07/15/2019 | 3,215 | 3,200 | ||||||
9.50%, 07/15/2019 | 1,956 | 2,038 | ||||||
0.00%, 02/15/2020 | 573,355 | 569,066 | ||||||
5.00%, 02/15/2020 | 170,824 | 15,986 | ||||||
5.00%, 02/15/2020 | 111,320 | 10,002 | ||||||
6.50%, 03/15/2020 | 12,775 | 13,749 | ||||||
12.02%, 03/15/2020 | 54,748 | 48,980 | ||||||
9.50%, 04/15/2020 | 1,295 | 1,420 | ||||||
9.60%, 04/15/2020 | 2,094 | 2,350 | ||||||
84.00%, 05/15/2020 | 13 | 17 | ||||||
5.00%, 06/15/2020 | 516,000 | 555,812 | ||||||
10.00%, 06/15/2020 | 324 | 368 | ||||||
7.80%, 09/15/2020 | 627 | 672 | ||||||
9.00%, 10/15/2020 | 1,067 | 1,158 | ||||||
6.95%, 01/15/2021 | 3,907 | 4,280 | ||||||
8.60%, 01/15/2021 | 16 | 18 | ||||||
9.50%, 01/15/2021 | 1,213 | 1,369 | ||||||
1066.21%, 02/15/2021 | 2 | 29 | ||||||
9.00%, 04/15/2021 | 849 | 998 | ||||||
1.10%, 05/15/2021 | 846 | 858 | ||||||
5.00%, 05/15/2021 | 2,511 | 2,644 | ||||||
6.75%, 05/15/2021 | 2,384 | 2,575 | ||||||
7.00%, 05/15/2021 | 14,015 | 15,593 | ||||||
33.48%, 05/15/2021 | 390 | 677 | ||||||
44.54%, 05/15/2021 | 593 | 1,025 | ||||||
6.00%, 07/15/2021 | 2,258 | 2,460 | ||||||
5.50%, 08/15/2021 | 1,143 | 1,226 | ||||||
7.00%, 09/15/2021 | 5,178 | 5,711 | ||||||
8.50%, 09/15/2021 | 5,353 | 6,066 | ||||||
6.72%, 11/15/2021 | 378,033 | 404,306 | ||||||
1181.25%, 11/15/2021 | 5 | 57 | ||||||
0.00%, 12/15/2021 | 566,324 | 565,875 | ||||||
1181.18%, 01/15/2022 | 47 | 1,002 | ||||||
5.00%, 03/15/2022 | 568,000 | 628,515 | ||||||
7.00%, 03/15/2022 | 2,521 | 2,818 |
Table of Contents
6.00%, 05/15/2022 | 1,795 | 1,933 | ||||||
7.00%, 05/15/2022 | 3,414 | 3,851 | ||||||
7.50%, 08/15/2022 | 3,535 | 4,138 | ||||||
8.00%, 08/15/2022 | 8,862 | 10,345 | ||||||
1.30%, 09/15/2022 | 6,043 | 6,172 | ||||||
5.50%, 10/15/2022 | 190,587 | 209,259 | ||||||
4.60%, 12/15/2022 | 6,380 | 6,758 | ||||||
5.50%, 12/15/2022 | 64,350 | 70,833 | ||||||
5.50%, 12/15/2022 | 372,496 | 376,875 | ||||||
5.00%, 01/15/2023 | 44,148 | 44,816 | ||||||
1.68%, 02/15/2023 | 816 | 834 | ||||||
7.50%, 02/15/2023 | 55,163 | 62,140 | ||||||
5.50%, 03/15/2023 | 146,000 | 164,968 | ||||||
1.30%, 04/15/2023 | 31,536 | 32,348 | ||||||
5.50%, 04/15/2023 | 147,000 | 163,042 | ||||||
7.00%, 04/15/2023 | 45,980 | 51,058 | ||||||
7.50%, 04/15/2023 | 9,678 | 10,912 | ||||||
5.00%, 05/15/2023 | 50,733 | 55,369 | ||||||
7.00%, 05/15/2023 | 5,606 | 6,181 | ||||||
8.87%, 05/15/2023 | 22,466 | 26,463 | ||||||
0.00%, 06/15/2023 | 9,714 | 9,710 | ||||||
0.00%, 06/15/2023 | 7,074 | 7,070 | ||||||
5.60%, 06/15/2023 | 104,880 | 112,780 | ||||||
6.40%, 06/15/2023 | 65,416 | 4,905 | ||||||
1.89%, 07/15/2023 | 19,755 | 19,333 | ||||||
8.45%, 07/15/2023 | 13,366 | 15,393 | ||||||
24.79%, 07/15/2023 | 4,150 | 6,702 | ||||||
2.18%, 08/15/2023 | 1,226 | 1,268 | ||||||
6.50%, 09/15/2023 | 136,979 | 150,277 | ||||||
7.00%, 09/15/2023 | 43,891 | 49,342 | ||||||
33.85%, 09/15/2023 | 17,811 | 30,343 | ||||||
0.00%, 10/15/2023 | 95,941 | 95,545 | ||||||
4.00%, 10/15/2023 | 774,000 | 823,902 | ||||||
6.25%, 10/15/2023 | 24,486 | 26,839 | ||||||
22.26%, 10/15/2023 | 5,255 | 9,311 | ||||||
5.00%, 11/15/2023 | 516,000 | 570,058 | ||||||
5.50%, 11/15/2023 | 169,979 | 186,717 |
Table of Contents
6.00%, 11/15/2023 | 52,796 | 58,986 | ||||||
17.00%, 11/15/2023 | 14,242 | 15,242 | ||||||
5.00%, 12/15/2023 | 69,887 | 75,296 | ||||||
6.50%, 12/15/2023 | 29,083 | 32,325 | ||||||
6.50%, 12/15/2023 | 86,889 | 97,212 | ||||||
7.00%, 01/15/2024 | 21,737 | 24,702 | ||||||
0.00%, 02/15/2024 | 25,102 | 24,570 | ||||||
0.00%, 02/15/2024 | 5,959 | 5,346 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,838 | ||||||
10.00%, 02/15/2024 | 2,165 | 2,750 | ||||||
18.90%, 02/15/2024 | 2,178 | 3,202 | ||||||
0.75%, 03/15/2024 | 3,653 | 3,699 | ||||||
1.72%, 03/15/2024 | 1,725 | 1,757 | ||||||
7.00%, 03/15/2024 | 18,109 | 20,553 | ||||||
7.00%, 03/15/2024 | 100,896 | 114,603 | ||||||
28.37%, 03/15/2024 | 11,868 | 5,829 | ||||||
7.50%, 04/15/2024 | 67,495 | 77,334 | ||||||
0.00%, 05/15/2024 | 13,348 | 12,808 | ||||||
8.03%, 05/15/2024 | 31,957 | 5,819 | ||||||
0.45%, 06/15/2024 | 170,405 | 170,896 | ||||||
6.00%, 06/15/2024 | 63,030 | 70,301 | ||||||
5.50%, 07/15/2024 | 4,694 | 68 | ||||||
7.50%, 08/15/2024 | 10,565 | 12,145 | ||||||
4.00%, 12/15/2024 | 206,000 | 217,530 | ||||||
5.00%, 12/15/2024 | 197,618 | 213,275 | ||||||
32.99%, 04/15/2025 | 53,553 | 84,035 | ||||||
4.50%, 06/15/2025 | 722,000 | 782,156 | ||||||
16.50%, 08/15/2025 | 34,178 | 44,570 | ||||||
27.36%, 10/15/2025 | 60,685 | 88,998 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,049,856 | ||||||
5.00%, 03/15/2026 | 341,338 | 373,206 | ||||||
6.50%, 03/15/2026 | 10,398 | 11,527 | ||||||
6.50%, 07/15/2026 | 70,157 | 77,467 | ||||||
7.50%, 09/15/2026 | 8,382 | 9,667 | ||||||
8.00%, 09/15/2026 | 20,692 | 24,105 | ||||||
6.50%, 01/15/2027 | 44,354 | 49,312 | ||||||
7.50%, 01/15/2027 | 54,924 | 63,096 |
Table of Contents
7.50%, 01/15/2027 | 17,492 | 20,176 | ||||||
0.85%, 02/15/2027 | 1,357 | 1,381 | ||||||
6.00%, 05/15/2027 | 46,873 | 52,302 | ||||||
7.25%, 07/15/2027 | 2,469 | 2,831 | ||||||
7.50%, 09/15/2027 | 19,477 | 21,602 | ||||||
5.50%, 10/15/2027 | 417,000 | 436,151 | ||||||
6.50%, 12/15/2027 | 28,696 | 32,418 | ||||||
7.00%, 03/15/2028 | 32,584 | 6,895 | ||||||
7.50%, 03/15/2028 | 93,664 | 107,751 | ||||||
7.50%, 05/15/2028 | 39,462 | 45,425 | ||||||
6.50%, 06/15/2028 | 50,967 | 57,034 | ||||||
7.00%, 06/15/2028 | 8,507 | 9,750 | ||||||
6.00%, 07/15/2028 | 24,735 | 27,640 | ||||||
6.25%, 08/15/2028 | 111,988 | 126,410 | ||||||
6.50%, 08/15/2028 | 104,611 | 117,534 | ||||||
6.00%, 09/15/2028 | 22,131 | 24,879 | ||||||
7.00%, 10/15/2028 | 40,221 | 8,352 | ||||||
6.00%, 11/15/2028 | 94,643 | 104,881 | ||||||
0.00%, 12/15/2028 | 54,551 | 54,410 | ||||||
6.00%, 12/15/2028 | 166,378 | 187,189 | ||||||
0.75%, 01/15/2029 | 42,644 | 43,234 | ||||||
6.00%, 01/15/2029 | 246,115 | 273,414 | ||||||
6.00%, 02/15/2029 | 50,591 | 56,123 | ||||||
6.25%, 02/15/2029 | 246,131 | 273,670 | ||||||
29.90%, 03/15/2029 | 6,813 | 11,370 | ||||||
7.00%, 04/15/2029 | 4,143 | 847 | ||||||
7.00%, 06/15/2029 | 216,716 | 249,013 | ||||||
7.50%, 06/15/2029 | 14,816 | 2,982 | ||||||
7.00%, 07/15/2029 | 87,346 | 98,792 | ||||||
7.00%, 08/15/2029 | 51,493 | 59,569 | ||||||
4.00%, 11/15/2029 | 605,413 | 65,427 | ||||||
7.50%, 11/15/2029 | 286 | 341 | ||||||
8.00%, 11/15/2029 | 45,321 | 52,902 | ||||||
7.00%, 01/15/2030 | 111,785 | 129,960 | ||||||
8.00%, 01/15/2030 | 25,697 | 30,944 | ||||||
8.00%, 01/15/2030 | 83,357 | 96,619 | ||||||
8.00%, 03/15/2030 | 16,652 | 20,085 |
Table of Contents
5.00%, 04/15/2030 | 702,000 | 765,343 | ||||||
8.00%, 04/15/2030 | 25,604 | 30,043 | ||||||
7.50%, 05/15/2030 | 19,585 | 22,633 | ||||||
7.50%, 08/15/2030 | 16,337 | 18,951 | ||||||
7.25%, 09/15/2030 | 45,177 | 51,998 | ||||||
7.00%, 10/15/2030 | 75,680 | 87,087 | ||||||
7.50%, 10/15/2030 | 5,634 | 6,536 | ||||||
7.50%, 10/15/2030 | 1,421 | 1,642 | ||||||
7.25%, 12/15/2030 | 80,133 | 92,262 | ||||||
7.00%, 03/15/2031 | 34,590 | 39,866 | ||||||
6.50%, 05/15/2031 | 22,014 | 24,769 | ||||||
7.00%, 06/15/2031 | 43,602 | 46,724 | ||||||
8.50%, 06/15/2031 | 86,584 | 104,230 | ||||||
6.00%, 07/15/2031 | 12,146 | 11,923 | ||||||
7.00%, 07/15/2031 | 87,296 | 99,921 | ||||||
6.50%, 08/15/2031 | 461,688 | 529,936 | ||||||
6.50%, 08/15/2031 | 47,475 | 53,848 | ||||||
6.50%, 08/15/2031 | 47,521 | 53,449 | ||||||
6.50%, 08/15/2031 | 43,357 | 48,781 | ||||||
6.50%, 10/15/2031 | 43,210 | 47,712 | ||||||
6.50%, 01/15/2032 | 78,161 | 88,223 | ||||||
6.50%, 01/15/2032 | 47,185 | 53,569 | ||||||
1.05%, 02/15/2032 | 247,344 | 252,858 | ||||||
6.38%, 02/15/2032 | 56,878 | 61,287 | ||||||
6.50%, 02/15/2032 | 93,462 | 106,662 | ||||||
6.50%, 02/15/2032 | 89,877 | 102,013 | ||||||
7.85%, 02/15/2032 | 201,861 | 51,954 | ||||||
8.50%, 02/15/2032 | 38,115 | 9,923 | ||||||
15.80%, 02/15/2032 | 101,570 | 138,904 | ||||||
19.11%, 02/15/2032 | 103,847 | 158,332 | ||||||
6.50%, 03/15/2032 | 128,365 | 144,840 | ||||||
6.50%, 03/15/2032 | 103,331 | 116,270 | ||||||
7.00%, 03/15/2032 | 94,249 | 108,768 | ||||||
7.00%, 03/15/2032 | 71,741 | 82,640 | ||||||
7.80%, 03/15/2032 | 79,199 | 21,016 | ||||||
7.85%, 03/15/2032 | 51,666 | 13,019 | ||||||
6.50%, 04/15/2032 | 185,000 | 201,991 |
Table of Contents
6.50%, 04/15/2032 | 305,040 | 341,547 | ||||||
6.50%, 04/15/2032 | 30,484 | 34,401 | ||||||
7.00%, 04/15/2032 | 166,351 | 186,385 | ||||||
7.00%, 04/15/2032 | 65,072 | 73,466 | ||||||
5.50%, 05/15/2032 | 163,393 | 170,932 | ||||||
6.50%, 05/15/2032 | 119,311 | 134,356 | ||||||
7.00%, 05/15/2032 | 69,377 | 79,494 | ||||||
6.50%, 06/15/2032 | 133,061 | 144,456 | ||||||
6.50%, 06/15/2032 | 92,651 | 104,134 | ||||||
6.50%, 06/15/2032 | 70,618 | 79,558 | ||||||
6.50%, 07/15/2032 | 141,969 | 160,458 | ||||||
6.50%, 07/15/2032 | 94,114 | 106,111 | ||||||
0.00%, 09/15/2032 | 258,044 | 229,159 | ||||||
6.00%, 09/15/2032 | 182,407 | 208,025 | ||||||
0.00%, 12/15/2032 | 137,376 | 135,840 | ||||||
0.00%, 12/15/2032 | 24,517 | 24,377 | ||||||
0.00%, 12/15/2032 | 19,318 | 17,958 | ||||||
0.90%, 12/15/2032 | 132,769 | 135,505 | ||||||
6.00%, 12/15/2032 | 263,122 | 293,112 | ||||||
6.00%, 12/15/2032 | 129,401 | 143,819 | ||||||
18.24%, 12/15/2032 | 78,274 | 117,902 | ||||||
0.00%, 01/15/2033 | 353,329 | 353,235 | ||||||
6.00%, 01/15/2033 | 161,740 | 179,763 | ||||||
0.00%, 02/15/2033 | 34,067 | 33,998 | ||||||
0.00%, 02/15/2033 | 87,783 | 87,774 | ||||||
0.00%, 02/15/2033 | 65,967 | 65,960 | ||||||
0.00%, 02/15/2033 | 53,369 | 53,324 | ||||||
6.00%, 02/15/2033 | 137,913 | 152,235 | ||||||
6.00%, 02/15/2033 | 641,490 | 712,404 | ||||||
6.00%, 03/15/2033 | 109,497 | 120,669 | ||||||
6.50%, 03/15/2033 | 65,946 | 13,113 | ||||||
0.50%, 05/15/2033 | 813,667 | 813,835 | ||||||
14.57%, 06/15/2033 | 233,891 | 300,396 | ||||||
5.00%, 07/15/2033 | 906,871 | 1,015,549 | ||||||
6.72%, 07/15/2033 | 462 | 502 | ||||||
12.98%, 07/15/2033 | 58,335 | 70,445 | ||||||
3.00%, 08/15/2033 | 495,000 | 466,178 |
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14.48%, 09/15/2033 | 72,770 | 93,083 | ||||||
7.87%, 10/15/2033 | 1,084,000 | 1,249,627 | ||||||
16.17%, 11/15/2033 | 40,038 | 53,511 | ||||||
0.75%, 12/15/2033 | 516,000 | 521,913 | ||||||
5.50%, 12/15/2033 | 245,546 | 258,530 | ||||||
5.50%, 12/15/2033 | 7,652 | 7,675 | ||||||
5.00%, 01/15/2034 | 906,965 | 993,832 | ||||||
5.50%, 02/15/2034 | 73,177 | 78,063 | ||||||
6.00%, 05/15/2034 | 558,221 | 616,870 | ||||||
23.94%, 06/15/2034 | 221,311 | 310,265 | ||||||
0.00%, 07/15/2034 | 393,827 | 368,267 | ||||||
2.37%, 07/15/2034 | 141,125 | 142,926 | ||||||
0.52%, 10/15/2034 | 347,567 | 347,675 | ||||||
4.00%, 11/15/2034 | 1,166,851 | 95,508 | ||||||
0.00%, 01/15/2035 | 14,776 | 14,768 | ||||||
0.00%, 02/15/2035 | 98,306 | 87,496 | ||||||
27.49%, 02/15/2035 | 111,881 | 183,988 | ||||||
0.00%, 04/15/2035 | 187,881 | 179,995 | ||||||
0.53%, 04/15/2035 | 430,613 | 431,232 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,219,610 | ||||||
0.55%, 05/15/2035 | 175,821 | 176,541 | ||||||
0.45%, 06/15/2035 | 169,870 | 169,501 | ||||||
16.64%, 06/15/2035 | 45,739 | 55,017 | ||||||
0.00%, 08/15/2035 | 10,885 | 8,941 | ||||||
0.95%, 08/15/2035 | 209,496 | 212,895 | ||||||
4.00%, 08/15/2035 | 585,001 | 12,702 | ||||||
6.00%, 08/15/2035 | 177,383 | 183,153 | ||||||
0.00%, 09/15/2035 | 98,415 | 92,000 | ||||||
6.00%, 09/15/2035 | 373,619 | 387,813 | ||||||
5.75%, 10/15/2035 | 21,112 | 21,555 | ||||||
19.49%, 11/15/2035 | 107,526 | 146,546 | ||||||
0.00%, 01/15/2036 | 132,601 | 132,514 | ||||||
6.00%, 01/15/2036 | 440,197 | 485,170 | ||||||
24.01%, 01/15/2036 | 39,110 | 57,094 | ||||||
0.00%, 02/15/2036 | 82,573 | 72,168 | ||||||
0.00%, 02/15/2036 | 130,820 | 124,648 | ||||||
0.00%, 02/15/2036 | 71,021 | 66,411 |
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0.00%, 02/15/2036 | 409,965 | 392,790 | ||||||
0.00%, 03/15/2036 | 25,352 | 23,209 | ||||||
0.00%, 03/15/2036 | 251,560 | 241,046 | ||||||
0.00%, 03/15/2036 | 239,858 | 230,570 | ||||||
6.00%, 03/15/2036 | 1,832 | 2,447 | ||||||
0.00%, 04/15/2036 | 477,320 | 456,418 | ||||||
0.00%, 04/15/2036 | 132,444 | 123,622 | ||||||
0.00%, 04/15/2036 | 263,251 | 241,861 | ||||||
0.00%, 04/15/2036 | 482,996 | 443,751 | ||||||
6.00%, 04/15/2036 | 257,584 | 283,903 | ||||||
6.00%, 04/15/2036 | 273,334 | 55,020 | ||||||
6.00%, 04/15/2036 | 2,387,620 | 2,702,762 | ||||||
0.00%, 05/15/2036 | 14,463 | 11,522 | ||||||
0.00%, 05/15/2036 | 92,613 | 84,930 | ||||||
0.00%, 05/15/2036 | 38,907 | 36,414 | ||||||
0.00%, 05/15/2036 | 170,551 | 159,628 | ||||||
0.60%, 05/15/2036 | 1,643,465 | 1,648,939 | ||||||
0.65%, 05/15/2036 | 1,098,762 | 1,105,138 | ||||||
0.00%, 06/15/2036 | 393,447 | 371,878 | ||||||
6.00%, 06/15/2036 | 61,668 | 68,251 | ||||||
6.00%, 06/15/2036 | 432,837 | 457,676 | ||||||
19.25%, 06/15/2036 | 89,576 | 122,160 | ||||||
0.00%, 07/15/2036 | 81,045 | 75,715 | ||||||
6.50%, 07/15/2036 | 396,126 | 456,192 | ||||||
6.50%, 07/15/2036 | 286,679 | 322,847 | ||||||
6.95%, 07/15/2036 | 44,738 | 8,483 | ||||||
0.00%, 08/15/2036 | 118,781 | 111,186 | ||||||
5.50%, 08/15/2036 | 212,875 | 230,938 | ||||||
5.50%, 08/15/2036 | 597,027 | 664,893 | ||||||
6.50%, 08/15/2036 | 1,568,478 | 259,038 | ||||||
0.00%, 09/15/2036 | 49,762 | 46,886 | ||||||
0.00%, 09/15/2036 | 73,417 | 69,154 | ||||||
0.00%, 10/15/2036 | 138,993 | 122,277 | ||||||
6.55%, 10/15/2036 | 152,097 | 22,956 | ||||||
7.50%, 11/15/2036 | 2,121,614 | 2,439,436 | ||||||
0.00%, 12/15/2036 | 66,331 | 58,211 | ||||||
7.00%, 12/15/2036 | 5,271,548 | 6,277,775 |
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7.50%, 12/15/2036 | 1,931,739 | 2,337,654 | ||||||
0.00%, 01/15/2037 | 58,318 | 52,118 | ||||||
5.99%, 01/15/2037 | 105,653 | 15,490 | ||||||
0.00%, 02/15/2037 | 38,306 | 35,702 | ||||||
0.00%, 02/15/2037 | 152,193 | 140,682 | ||||||
0.59%, 02/15/2037 | 176,203 | 176,600 | ||||||
4.50%, 02/15/2037 | 1,204,077 | 1,276,045 | ||||||
6.00%, 02/15/2037 | 277,863 | 302,253 | ||||||
0.00%, 03/15/2037 | 72,779 | 68,157 | ||||||
6.30%, 03/15/2037 | 187,193 | 25,865 | ||||||
9.00%, 03/15/2037 | 31,018 | 37,465 | ||||||
0.00%, 04/15/2037 | 80,270 | 71,165 | ||||||
6.00%, 04/15/2037 | 214,228 | 235,401 | ||||||
0.00%, 05/15/2037 | 9,997 | 8,630 | ||||||
0.00%, 05/15/2037 | 138,224 | 121,307 | ||||||
0.00%, 05/15/2037 | 656,088 | 563,201 | ||||||
6.00%, 05/15/2037 | 579,092 | 640,982 | ||||||
0.00%, 06/15/2037 | 48,288 | 45,186 | ||||||
0.00%, 06/15/2037 | 76,274 | 66,084 | ||||||
0.00%, 07/15/2037 | 712,599 | 651,667 | ||||||
0.55%, 07/15/2037 | 3,192,611 | 3,192,512 | ||||||
4.50%, 07/15/2037 | 2,965,426 | 300,754 | ||||||
5.50%, 07/15/2037 | 29,500 | 1,007 | ||||||
6.45%, 07/15/2037 | 154,064 | 19,399 | ||||||
4.00%, 08/15/2037 | 2,205,803 | 270,054 | ||||||
0.00%, 09/15/2037 | 88,012 | 76,616 | ||||||
0.75%, 09/15/2037 | 54,832 | 55,385 | ||||||
4.00%, 10/15/2037 | 1,477,184 | 143,802 | ||||||
4.00%, 10/15/2037 | 1,084,658 | 97,546 | ||||||
6.27%, 11/15/2037 | 852,223 | 101,028 | ||||||
6.30%, 11/15/2037 | 514,255 | 69,052 | ||||||
5.85%, 01/15/2038 | 945,213 | 124,940 | ||||||
17.07%, 02/15/2038 | 40,959 | 53,282 | ||||||
5.50%, 03/15/2038 | 918,000 | 1,031,444 | ||||||
6.65%, 04/15/2038 | 347,239 | 49,964 | ||||||
5.50%, 05/15/2038 | 430,974 | 469,834 | ||||||
6.00%, 06/15/2038 | 85,189 | 93,910 |
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6.00%, 06/15/2038 | 886,435 | 1,012,569 | ||||||
6.05%, 06/15/2038 | 344,446 | 45,304 | ||||||
5.70%, 08/15/2038 | 725,204 | 94,794 | ||||||
5.71%, 10/15/2038 | 365,462 | 399,914 | ||||||
5.50%, 01/15/2039 | 578,781 | 646,468 | ||||||
5.85%, 01/15/2039 | 367,212 | 49,824 | ||||||
2.07%, 02/15/2039 | 199,915 | 201,538 | ||||||
5.85%, 02/15/2039 | 355,512 | 48,889 | ||||||
0.55%, 04/15/2039 | 1,101,321 | 1,098,911 | ||||||
0.60%, 05/15/2039 | 1,548,064 | 1,557,681 | ||||||
5.95%, 05/15/2039 | 290,603 | 41,350 | ||||||
6.15%, 05/15/2039 | 418,532 | 56,101 | ||||||
1.35%, 07/15/2039 | 306,498 | 311,821 | ||||||
4.50%, 07/15/2039 | 1,772,839 | 1,918,994 | ||||||
0.60%, 08/15/2039 | 515,240 | 518,391 | ||||||
3.50%, 08/15/2039 | 1,168,006 | 1,213,649 | ||||||
0.00%, 10/15/2039 | 301,438 | 264,544 | ||||||
5.00%, 10/15/2039 | 1,062,271 | 166,660 | ||||||
6.10%, 12/15/2039 | 513,245 | 68,690 | ||||||
0.00%, 01/15/2040 | 336,035 | 293,634 | ||||||
1.94%, 01/15/2040 | 3,464,449 | 238,878 | ||||||
16.99%, 02/15/2040 | 475,000 | 657,985 | ||||||
0.65%, 10/15/2040 | 542,447 | 544,315 | ||||||
5.85%, 10/15/2040 | 1,552,159 | 265,643 | ||||||
5.85%, 10/15/2040 | 1,678,824 | 282,102 | ||||||
0.70%, 12/15/2040 | 4,087,678 | 4,102,819 | ||||||
0.70%, 03/15/2041 | 2,591,203 | 2,597,881 | ||||||
5.00%, 05/15/2041 | 990,199 | 1,154,790 | ||||||
5.50%, 05/15/2041 | 788,322 | 821,764 | ||||||
5.50%, 05/15/2041 | 1,917,511 | 2,031,684 | ||||||
0.55%, 10/15/2041 | 1,988,559 | 2,006,186 | ||||||
4.00%, 11/15/2041 | 2,035,769 | 2,134,006 | ||||||
4.00%, 12/15/2041 | 865,424 | 893,172 | ||||||
0.65%, 03/15/2042 | 1,696,481 | 1,699,293 | ||||||
0.65%, 07/15/2042 | 895,290 | 899,381 | ||||||
0.60%, 08/15/2042 | 4,352,224 | 4,345,008 | ||||||
0.55%, 09/15/2042 | 1,614,349 | 1,603,914 |
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3.00%, 06/15/2043 | 206,000 | 187,369 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,066,428 | ||||||
7.21%, 11/15/2046 | 2,146,954 | 2,573,748 | ||||||
3.50%, 06/15/2048 | 9,826,984 | 10,177,551 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 | 221,298 | 17,362 | ||||||
4.50%, 12/15/2020 | 143,622 | 11,604 | ||||||
9.00%, 04/01/2022 | 309 | 69 | ||||||
0.00%, 04/01/2028 | 192,633 | 182,103 | ||||||
5.00%, 09/15/2035 | 707,978 | 116,805 | ||||||
5.00%, 09/15/2035 | 451,567 | 74,600 | ||||||
5.00%, 09/15/2035 | 373,815 | 61,639 | ||||||
7.55%, 08/15/2036 | 1,520,616 | 303,485 | ||||||
0.70%, 07/15/2042 | 4,337,095 | 4,351,370 | ||||||
3.50%, 07/15/2042 | 10,883,652 | 11,162,857 | ||||||
0.65%, 08/15/2042 | 1,220,525 | 1,220,875 | ||||||
0.65%, 08/15/2042 | 3,968,063 | 3,968,576 | ||||||
0.65%, 08/15/2042 | 3,231,662 | 3,231,701 | ||||||
0.70%, 08/15/2042 | 2,737,208 | 2,757,747 | ||||||
3.00%, 08/15/2042 | 4,023,498 | 3,933,081 | ||||||
0.60%, 09/15/2042 | 3,128,296 | 3,121,834 | ||||||
0.65%, 10/15/2042 | 5,163,829 | 5,161,339 | ||||||
3.00%, 01/15/2043 | 953,885 | 947,715 | ||||||
0.00%, 09/15/2043 | 1,552,660 | 1,144,400 | ||||||
0.70%, 03/15/2044 | 5,923,617 | 5,938,135 | ||||||
Freedom Trust 2011-4 | ||||||||
5.00%, 03/25/2037 | 270,200 | 271,824 | ||||||
GE Capital Commercial Mortgage Corp | ||||||||
5.49%, 11/10/2045 | 11,008,792 | 11,527,912 | ||||||
4.83%, 06/10/2048 | 1,187,000 | 1,208,164 | ||||||
4.85%, 06/10/2048 | 1,115,000 | 1,129,097 | ||||||
Ginnie Mae | ||||||||
4.50%, 07/15/2041 (f) | 15,000,000 | 16,378,709 | ||||||
3.50%, 07/15/2042 (f) | 9,000,000 | 9,359,298 | ||||||
4.00%, 07/15/2042 (f) | 12,000,000 | 12,841,874 | ||||||
4.00%, 08/15/2042 (f) | 21,000,000 | 22,410,936 |
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Ginnie Mae I pool | ||||||||
8.00%, 01/15/2016 | 4,793 | 4,891 | ||||||
9.00%, 08/15/2016 | 54 | 57 | ||||||
9.00%, 12/15/2016 | 199 | 204 | ||||||
9.00%, 03/15/2017 | 78 | 79 | ||||||
6.50%, 06/15/2017 | 7,033 | 7,359 | ||||||
6.00%, 10/15/2017 | 5,653 | 5,891 | ||||||
8.50%, 11/15/2017 | 1,133 | 1,221 | ||||||
12.00%, 11/15/2019 | 278 | 280 | ||||||
9.00%, 02/15/2020 | 105 | 106 | ||||||
9.50%, 09/15/2020 | 18 | 18 | ||||||
8.00%, 07/15/2022 | 149 | 149 | ||||||
8.00%, 09/15/2022 | 2,554 | 2,797 | ||||||
7.50%, 11/15/2022 | 1,630 | 1,793 | ||||||
7.50%, 03/15/2023 | 359 | 397 | ||||||
7.00%, 08/15/2023 | 828 | 907 | ||||||
7.00%, 09/15/2023 | 24,547 | 26,953 | ||||||
7.00%, 11/15/2023 | 1,865 | 2,145 | ||||||
6.50%, 01/15/2024 | 8,692 | 9,876 | ||||||
7.00%, 02/15/2024 | 19,798 | 21,637 | ||||||
9.50%, 10/15/2024 | 175,385 | 197,919 | ||||||
9.00%, 11/15/2024 | 2,706 | 3,159 | ||||||
9.50%, 12/15/2025 | 5,959 | 6,809 | ||||||
7.50%, 11/15/2026 | 1,450 | 1,518 | ||||||
7.50%, 07/15/2027 | 4,982 | 5,617 | ||||||
6.50%, 03/15/2028 | 12,511 | 14,214 | ||||||
7.50%, 07/15/2028 | 934 | 967 | ||||||
8.00%, 08/15/2028 | 2,051 | 2,084 | ||||||
6.50%, 09/15/2028 | 35,758 | 40,627 | ||||||
7.50%, 09/15/2028 | 7,725 | 8,762 | ||||||
6.50%, 10/15/2028 | 1,857 | 2,110 | ||||||
6.00%, 11/15/2028 | 19,639 | 22,190 | ||||||
7.00%, 09/15/2031 | 180,781 | 213,816 | ||||||
6.50%, 01/15/2032 | 166,215 | 189,226 | ||||||
6.50%, 07/15/2032 | 2,891 | 3,299 | ||||||
6.50%, 02/15/2033 | 23,647 | 26,868 | ||||||
7.00%, 02/15/2033 | 9,328 | 10,506 | ||||||
5.50%, 04/15/2033 | 474,555 | 549,833 |
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6.50%, 04/15/2033 | 18,039 | 20,496 | ||||||
5.50%, 06/15/2033 | 11,965 | 13,470 | ||||||
7.00%, 06/15/2033 | 33,895 | 38,593 | ||||||
5.50%, 12/15/2033 | 32,467 | 36,536 | ||||||
5.50%, 07/15/2034 | 10,910 | 12,315 | ||||||
5.50%, 09/15/2034 | 32,085 | 36,065 | ||||||
7.00%, 06/15/2035 | 519,827 | 612,695 | ||||||
6.50%, 12/15/2035 | 172,391 | 201,104 | ||||||
7.00%, 04/15/2037 | 48,036 | 54,548 | ||||||
7.50%, 10/15/2037 | 120,759 | 136,170 | ||||||
3.50%, 03/15/2043 | 1,889,038 | 1,975,375 | ||||||
3.50%, 04/15/2043 | 8,377,136 | 8,727,579 | ||||||
3.50%, 06/15/2043 | 3,005,919 | 3,131,667 | ||||||
3.50%, 07/15/2043 | 997,035 | 1,042,640 | ||||||
Ginnie Mae II pool | ||||||||
8.50%, 03/20/2025 | 580 | 660 | ||||||
8.50%, 04/20/2025 | 4,957 | 5,676 | ||||||
8.50%, 05/20/2025 | 8,028 | 9,173 | ||||||
8.00%, 12/20/2025 | 1,399 | 1,602 | ||||||
8.00%, 06/20/2026 | 3,036 | 3,598 | ||||||
8.00%, 08/20/2026 | 2,190 | 2,674 | ||||||
8.00%, 09/20/2026 | 2,841 | 3,473 | ||||||
8.00%, 11/20/2026 | 2,438 | 2,928 | ||||||
8.00%, 10/20/2027 | 5,292 | 6,293 | ||||||
8.00%, 11/20/2027 | 4,707 | 5,485 | ||||||
8.00%, 12/20/2027 | 2,303 | 2,646 | ||||||
7.50%, 02/20/2028 | 3,410 | 3,941 | ||||||
6.00%, 03/20/2028 | 15,943 | 17,944 | ||||||
8.00%, 06/20/2028 | 871 | 914 | ||||||
8.00%, 08/20/2028 | 252 | 287 | ||||||
7.50%, 09/20/2028 | 10,752 | 12,984 | ||||||
8.00%, 09/20/2028 | 1,908 | 2,168 | ||||||
6.50%, 07/20/2029 | 190,067 | 218,742 | ||||||
6.00%, 11/20/2033 | 12,643 | 14,622 | ||||||
7.00%, 08/20/2038 | 86,571 | 96,698 | ||||||
6.00%, 09/20/2038 | 1,774,057 | 2,018,302 | ||||||
6.00%, 11/20/2038 | 21,047 | 22,747 |
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6.00%, 08/20/2039 | 815,492 | 927,590 | ||||||
5.50%, 09/20/2039 | 438,435 | 491,085 | ||||||
4.50%, 06/20/2040 | 2,942,044 | 3,222,760 | ||||||
5.00%, 07/20/2040 | 748,685 | 831,985 | ||||||
4.00%, 10/20/2040 | 7,393,517 | 7,932,656 | ||||||
4.50%, 01/20/2041 | 12,765,533 | 13,986,744 | ||||||
4.50%, 03/20/2041 | 2,079,143 | 2,277,282 | ||||||
4.50%, 05/20/2041 | 1,063,641 | 1,164,553 | ||||||
4.50%, 06/20/2041 | 20,828,109 | 22,797,904 | ||||||
4.50%, 09/20/2041 | 2,216,901 | 2,425,245 | ||||||
4.00%, 06/20/2042 | 2,014,286 | 2,159,278 | ||||||
3.00%, 08/20/2042 | 11,399,808 | 11,542,583 | ||||||
3.50%, 09/20/2042 | 1,318,200 | 1,375,694 | ||||||
3.50%, 10/20/2042 | 13,999,154 | 14,609,572 | ||||||
4.00%, 08/20/2043 | 9,262,792 | 9,929,546 | ||||||
3.00%, 09/20/2043 | 1,000,104 | 1,011,210 | ||||||
3.00%, 01/20/2044 | 2,124,162 | 2,147,749 | ||||||
4.46%, 05/20/2063 | 527,615 | 582,870 | ||||||
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust | ||||||||
5.24%, 11/10/2045 | 1,377,484 | 1,432,638 | ||||||
GMACM Mortgage Loan Trust 2003-AR1 | ||||||||
2.92%, 10/19/2033 | 724,810 | 723,665 | ||||||
GMACM Mortgage Loan Trust 2003-AR2 | ||||||||
2.86%, 12/19/2033 | 547,056 | 553,221 | ||||||
GMACM Mortgage Loan Trust 2003-J7 | ||||||||
5.00%, 11/25/2033 | 486,098 | 501,769 | ||||||
5.50%, 11/25/2033 | 41,819 | 43,706 | ||||||
GMACM Mortgage Loan Trust 2003-J8 | ||||||||
5.25%, 12/25/2033 | 26,419 | 27,782 | ||||||
GMACM Mortgage Loan Trust 2004-J5 | ||||||||
6.50%, 01/25/2035 | 340,506 | 357,729 | ||||||
GMACM Mortgage Loan Trust 2004-J6 | ||||||||
5.00%, 01/25/2020 | 131,963 | 136,206 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
2.80%, 06/19/2035 | 441,219 | 438,229 | ||||||
Government National Mortgage Association | ||||||||
6.00%, 04/20/2020 | 807,490 | 839,440 |
Table of Contents
5.50%, 05/16/2020 | 97,317 | 97,975 | ||||||
5.50%, 11/20/2020 | 474,287 | 512,169 | ||||||
11.05%, 12/16/2022 | 2,091 | 2,357 | ||||||
5.00%, 04/16/2023 | 619,000 | 685,343 | ||||||
6.50%, 10/16/2024 | 296,896 | 340,756 | ||||||
6.50%, 04/20/2028 | 89,173 | 101,267 | ||||||
6.00%, 02/20/2029 | 258,540 | 290,247 | ||||||
6.50%, 04/20/2029 | 267,008 | 300,639 | ||||||
8.45%, 08/16/2029 | 22,507 | 5,633 | ||||||
9.20%, 09/16/2029 | 2,058 | 2,621 | ||||||
8.00%, 11/16/2029 | 55,208 | 65,406 | ||||||
7.50%, 11/20/2029 | 31,041 | 36,064 | ||||||
8.50%, 12/16/2029 | 308,757 | 363,260 | ||||||
7.50%, 12/20/2029 | 26,486 | 30,836 | ||||||
8.00%, 12/20/2029 | 52,510 | 62,156 | ||||||
8.50%, 02/16/2030 | 312,298 | 373,363 | ||||||
38.75%, 02/16/2030 | 35,701 | 65,746 | ||||||
9.00%, 03/16/2030 | 280,661 | 336,642 | ||||||
7.35%, 04/16/2030 | 273,127 | 58,109 | ||||||
8.00%, 06/20/2030 | 26,559 | 31,777 | ||||||
9.00%, 10/20/2030 | 41,122 | 47,483 | ||||||
9.00%, 11/16/2030 | 3,404 | 692 | ||||||
9.00%, 11/20/2030 | 23,836 | 25,498 | ||||||
8.55%, 01/16/2031 | 14,711 | 4,226 | ||||||
8.40%, 03/16/2031 | 17,978 | 4,953 | ||||||
20.61%, 03/17/2031 | 135,609 | 210,556 | ||||||
6.50%, 03/20/2031 | 63,937 | 72,274 | ||||||
0.00%, 05/20/2031 | 12,486 | 12,473 | ||||||
7.90%, 08/16/2031 | 23,026 | 5,725 | ||||||
8.10%, 08/16/2031 | 28,027 | 7,168 | ||||||
6.50%, 11/20/2031 | 464,000 | 540,361 | ||||||
6.50%, 12/20/2031 | 190,097 | 219,232 | ||||||
7.24%, 01/16/2032 | 31,479 | 9,730 | ||||||
6.50%, 01/20/2032 | 51,765 | 58,556 | ||||||
0.00%, 02/20/2032 | 4,390 | 4,390 | ||||||
0.50%, 03/20/2032 | 136,656 | 136,760 | ||||||
7.80%, 04/16/2032 | 124,013 | 27,533 |
Table of Contents
11.70%, 04/16/2032 | 11,148 | 14,279 | ||||||
9.00%, 06/16/2032 | 4,213 | 5,252 | ||||||
6.50%, 06/20/2032 | 477,118 | 544,747 | ||||||
6.50%, 06/20/2032 | 120,974 | 138,033 | ||||||
6.50%, 07/16/2032 | 140,190 | 160,715 | ||||||
6.00%, 07/20/2032 | 51,885 | 58,392 | ||||||
6.50%, 07/20/2032 | 162,251 | 187,730 | ||||||
6.50%, 07/20/2032 | 240,672 | 274,931 | ||||||
7.55%, 08/20/2032 | 73,013 | 6,633 | ||||||
6.80%, 10/20/2032 | 690,476 | 47,743 | ||||||
14.43%, 11/17/2032 | 40,239 | 51,589 | ||||||
6.00%, 11/20/2032 | 146,000 | 171,692 | ||||||
0.00%, 12/20/2032 | 310,172 | 299,051 | ||||||
13.19%, 12/20/2032 | 13,777 | 14,703 | ||||||
19.24%, 12/20/2032 | 64,606 | 70,309 | ||||||
5.50%, 01/16/2033 | 678,893 | 757,116 | ||||||
0.00%, 01/17/2033 | 13,493 | 13,491 | ||||||
6.50%, 01/20/2033 | 272,811 | 310,668 | ||||||
7.55%, 02/16/2033 | 132,087 | 30,637 | ||||||
0.00%, 02/17/2033 | 115,895 | 112,954 | ||||||
7.55%, 02/20/2033 | 54,668 | 15,093 | ||||||
0.00%, 03/16/2033 | 20,478 | 17,549 | ||||||
7.50%, 03/17/2033 | 42,604 | 46,832 | ||||||
6.50%, 03/20/2033 | 149,535 | 169,833 | ||||||
6.50%, 03/20/2033 | 326,000 | 379,930 | ||||||
5.50%, 04/20/2033 | 574,266 | 637,574 | ||||||
6.50%, 05/20/2033 | 116,000 | 136,152 | ||||||
0.00%, 06/16/2033 | 92,706 | 87,189 | ||||||
6.00%, 09/16/2033 | 340,587 | 380,762 | ||||||
0.00%, 10/20/2033 | 14,764 | 12,132 | ||||||
5.83%, 10/20/2033 | 350,451 | 389,471 | ||||||
6.40%, 11/16/2033 | 212,583 | 39,589 | ||||||
6.60%, 11/20/2033 | 279,521 | 46,564 | ||||||
6.40%, 12/16/2033 | 175,486 | 31,806 | ||||||
5.35%, 02/20/2034 | 503,709 | 64,667 | ||||||
5.50%, 03/16/2034 | 4,851,645 | 5,588,615 | ||||||
6.35%, 03/16/2034 | 230,759 | 19,133 |
Table of Contents
19.25%, 04/16/2034 | 77,305 | 112,186 | ||||||
16.39%, 05/18/2034 | 127,186 | 144,801 | ||||||
0.00%, 06/20/2034 | 181,349 | 157,117 | ||||||
6.00%, 06/20/2034 | 637,109 | 716,887 | ||||||
6.55%, 07/20/2034 | 780,468 | 128,446 | ||||||
14.54%, 08/17/2034 | 99,671 | 119,787 | ||||||
5.74%, 08/20/2034 | 188,172 | 208,065 | ||||||
6.40%, 09/16/2034 | 605,518 | 102,525 | ||||||
7.00%, 09/20/2034 | 87,026 | 95,828 | ||||||
28.71%, 09/20/2034 | 87,026 | 132,768 | ||||||
13.93%, 10/16/2034 | 36,032 | 39,187 | ||||||
23.83%, 10/16/2034 | 60,021 | 86,968 | ||||||
5.95%, 10/20/2034 | 1,058,782 | 160,858 | ||||||
11.89%, 10/20/2034 | 56,178 | 59,206 | ||||||
5.93%, 11/20/2034 | 503,884 | 77,417 | ||||||
5.95%, 01/20/2035 | 488,039 | 74,346 | ||||||
6.60%, 01/20/2035 | 749,882 | 130,447 | ||||||
16.07%, 06/17/2035 | 379,841 | 476,959 | ||||||
6.65%, 06/20/2035 | 407,294 | 436,959 | ||||||
5.50%, 07/20/2035 | 79,574 | 14,994 | ||||||
20.33%, 08/16/2035 | 35,255 | 51,189 | ||||||
0.00%, 08/20/2035 | 463,883 | 399,601 | ||||||
22.15%, 08/20/2035 | 3,093 | 4,451 | ||||||
5.50%, 09/20/2035 | 332,961 | 377,378 | ||||||
6.15%, 09/20/2035 | 1,619,486 | 241,380 | ||||||
0.00%, 10/20/2035 | 80,344 | 69,692 | ||||||
0.00%, 11/20/2035 | 136,528 | 118,504 | ||||||
6.00%, 12/20/2035 | 143,490 | 29,186 | ||||||
5.75%, 02/20/2036 | 142,314 | 154,547 | ||||||
0.00%, 03/20/2036 | 134,345 | 126,075 | ||||||
0.00%, 05/20/2036 | 184,601 | 159,524 | ||||||
6.35%, 06/20/2036 | 34,016 | 3,959 | ||||||
0.00%, 07/20/2036 | 27,994 | 24,099 | ||||||
6.50%, 07/20/2036 | 689,966 | 797,671 | ||||||
6.55%, 07/20/2036 | 283,262 | 24,050 | ||||||
6.50%, 08/20/2036 | 719,481 | 841,271 | ||||||
5.56%, 10/20/2036 | 237,240 | 268,302 |
Table of Contents
6.55%, 10/20/2036 | 247,098 | 40,451 | ||||||
6.65%, 11/20/2036 | 440,170 | 72,965 | ||||||
5.96%, 02/20/2037 | 126,102 | 140,894 | ||||||
6.00%, 02/20/2037 | 19,394 | 488 | ||||||
0.00%, 03/20/2037 | 562,365 | 516,936 | ||||||
6.05%, 03/20/2037 | 393,834 | 60,454 | ||||||
6.36%, 03/20/2037 | 646,636 | 94,347 | ||||||
0.00%, 04/16/2037 | 231,564 | 217,381 | ||||||
0.35%, 04/16/2037 | 1,086,481 | 1,084,606 | ||||||
6.66%, 04/16/2037 | 596,782 | 96,112 | ||||||
6.05%, 04/20/2037 | 248,311 | 38,510 | ||||||
6.12%, 04/20/2037 | 261,905 | 294,831 | ||||||
0.45%, 05/16/2037 | 142,460 | 142,405 | ||||||
0.00%, 05/20/2037 | 42,916 | 37,105 | ||||||
6.05%, 05/20/2037 | 1,236,401 | 187,132 | ||||||
6.05%, 05/20/2037 | 541,446 | 82,198 | ||||||
6.05%, 05/20/2037 | 447,933 | 68,590 | ||||||
0.00%, 06/16/2037 | 628,608 | 590,116 | ||||||
0.00%, 06/16/2037 | 84,623 | 79,211 | ||||||
6.32%, 06/16/2037 | 362,872 | 52,606 | ||||||
6.10%, 06/20/2037 | 430,664 | 65,822 | ||||||
6.49%, 07/20/2037 | 554,981 | 90,956 | ||||||
6.53%, 07/20/2037 | 598,144 | 100,188 | ||||||
6.60%, 07/20/2037 | 939,681 | 153,314 | ||||||
6.60%, 07/20/2037 | 388,161 | 62,081 | ||||||
6.62%, 08/20/2037 | 160,343 | 25,048 | ||||||
0.00%, 09/20/2037 | 116,443 | 108,170 | ||||||
6.40%, 09/20/2037 | 355,483 | 55,870 | ||||||
19.75%, 09/20/2037 | 112,831 | 155,608 | ||||||
5.50%, 10/16/2037 | 740,719 | 102,016 | ||||||
6.35%, 10/20/2037 | 466,704 | 66,488 | ||||||
13.09%, 10/20/2037 | 67,216 | 81,469 | ||||||
0.00%, 11/16/2037 | 732,396 | 687,951 | ||||||
6.39%, 11/16/2037 | 360,234 | 55,273 | ||||||
5.50%, 11/20/2037 | 41,199 | 44,021 | ||||||
5.85%, 11/20/2037 | 438,353 | 63,439 | ||||||
6.35%, 11/20/2037 | 846,869 | 120,981 |
Table of Contents
6.36%, 11/20/2037 | 481,632 | 68,953 | ||||||
6.40%, 11/20/2037 | 394,055 | 51,420 | ||||||
19.49%, 11/20/2037 | 47,833 | 65,608 | ||||||
6.38%, 12/20/2037 | 504,312 | 72,209 | ||||||
6.40%, 12/20/2037 | 646,215 | 89,952 | ||||||
0.00%, 01/20/2038 | 99,001 | 98,078 | ||||||
0.00%, 01/20/2038 | 30,757 | 26,562 | ||||||
5.50%, 02/20/2038 | 114,455 | 21,741 | ||||||
5.85%, 02/20/2038 | 3,562,717 | 525,377 | ||||||
6.75%, 03/20/2038 | 314,133 | 50,914 | ||||||
7.55%, 04/16/2038 | 197,389 | 41,545 | ||||||
6.15%, 04/20/2038 | 596,220 | 84,355 | ||||||
6.25%, 05/16/2038 | 1,596,910 | 298,300 | ||||||
6.19%, 05/20/2038 | 460,560 | 66,387 | ||||||
6.00%, 06/20/2038 | 320,357 | 360,269 | ||||||
6.05%, 06/20/2038 | 162,980 | 24,507 | ||||||
0.97%, 07/20/2038 | 1,048,988 | 1,068,701 | ||||||
5.75%, 07/20/2038 | 696,739 | 755,488 | ||||||
6.00%, 07/20/2038 | 599,378 | 89,102 | ||||||
5.58%, 08/20/2038 | 751,417 | 821,831 | ||||||
5.85%, 08/20/2038 | 224,734 | 32,196 | ||||||
5.75%, 09/20/2038 | 672,356 | 93,401 | ||||||
6.05%, 09/20/2038 | 1,332,448 | 198,966 | ||||||
7.45%, 09/20/2038 | 295,660 | 56,799 | ||||||
6.09%, 11/20/2038 | 444,897 | 501,334 | ||||||
6.25%, 12/16/2038 | 350,264 | 35,777 | ||||||
5.55%, 12/20/2038 | 664,618 | 87,535 | ||||||
5.83%, 12/20/2038 | 1,460,473 | 1,621,926 | ||||||
5.85%, 12/20/2038 | 390,835 | 55,200 | ||||||
6.00%, 12/20/2038 | 230,085 | 35,333 | ||||||
7.15%, 12/20/2038 | 1,270,100 | 216,858 | ||||||
5.48%, 01/20/2039 | 2,353,770 | 2,598,089 | ||||||
5.95%, 02/16/2039 | 411,099 | 57,966 | ||||||
6.00%, 02/16/2039 | 506,404 | 72,440 | ||||||
5.80%, 02/20/2039 | 602,019 | 84,428 | ||||||
5.89%, 02/20/2039 | 361,772 | 52,178 | ||||||
6.15%, 03/20/2039 | 414,404 | 41,883 |
Table of Contents
6.15%, 03/20/2039 | 666,348 | 86,264 | ||||||
6.20%, 03/20/2039 | 553,607 | 72,377 | ||||||
6.50%, 03/20/2039 | 377,353 | 83,110 | ||||||
6.50%, 03/20/2039 | 179,692 | 38,480 | ||||||
6.12%, 04/20/2039 | 1,114,035 | 159,965 | ||||||
5.50%, 05/20/2039 | 139,584 | 26,134 | ||||||
6.00%, 05/20/2039 | 177,432 | 35,788 | ||||||
6.25%, 06/16/2039 | 1,733,802 | 180,053 | ||||||
5.80%, 06/20/2039 | 582,554 | 82,632 | ||||||
5.93%, 06/20/2039 | 846,784 | 122,504 | ||||||
5.95%, 07/16/2039 | 1,075,142 | 144,252 | ||||||
6.10%, 08/16/2039 | 849,936 | 124,835 | ||||||
7.00%, 08/16/2039 | 297,720 | 344,962 | ||||||
5.95%, 08/20/2039 | 520,769 | 72,677 | ||||||
5.50%, 09/20/2039 | 317,000 | 365,905 | ||||||
5.94%, 09/20/2039 | 1,321,057 | 191,678 | ||||||
6.25%, 11/16/2039 | 1,104,208 | 163,629 | ||||||
6.00%, 12/20/2039 | 1,042,788 | 1,119,222 | ||||||
5.23%, 06/20/2040 | 321,843 | 351,489 | ||||||
5.52%, 07/20/2040 | 630,759 | 708,364 | ||||||
7.00%, 10/16/2040 | 1,333,209 | 1,569,875 | ||||||
0.00%, 12/20/2040 | 1,703,024 | 1,394,710 | ||||||
6.45%, 05/20/2041 | 917,409 | 219,336 | ||||||
4.67%, 09/20/2041 | 879,820 | 953,508 | ||||||
4.54%, 11/16/2041 | 849,632 | 913,349 | ||||||
3.75%, 01/20/2042 | 846,273 | 882,757 | ||||||
3.97%, 09/16/2042 | 616,689 | 646,899 | ||||||
4.74%, 10/20/2042 | 3,506,794 | 3,832,389 | ||||||
4.71%, 11/20/2042 | 433,706 | 470,260 | ||||||
4.52%, 04/20/2043 | 441,412 | 474,701 | ||||||
0.60%, 11/20/2059 | 2,432,382 | 2,434,697 | ||||||
0.63%, 01/20/2060 | 1,367,891 | 1,369,817 | ||||||
0.60%, 03/20/2060 | 1,721,024 | 1,722,548 | ||||||
0.58%, 04/20/2060 | 3,430,808 | 3,433,189 | ||||||
5.24%, 07/20/2060 | 2,837,902 | 3,200,126 | ||||||
0.45%, 08/20/2060 | 978,733 | 977,412 | ||||||
0.62%, 01/20/2061 | 4,486,178 | 4,482,549 |
Table of Contents
0.80%, 05/20/2061 | 4,037,118 | 4,052,067 | ||||||
0.85%, 05/20/2061 | 3,958,478 | 3,978,072 | ||||||
0.70%, 10/20/2061 | 1,944,186 | 1,946,788 | ||||||
0.70%, 12/20/2061 | 9,149,402 | 9,139,685 | ||||||
0.70%, 04/20/2062 | 724,758 | 725,759 | ||||||
0.60%, 05/20/2062 | 1,761,241 | 1,762,956 | ||||||
2.00%, 06/20/2062 | 401,823 | 407,681 | ||||||
0.70%, 07/20/2062 | 2,901,644 | 2,905,213 | ||||||
0.73%, 09/20/2062 | 4,792,203 | 4,802,799 | ||||||
0.74%, 09/20/2062 | 1,285,593 | 1,288,540 | ||||||
0.65%, 10/20/2062 | 1,432,382 | 1,432,378 | ||||||
0.75%, 10/20/2062 | 566,196 | 568,134 | ||||||
0.45%, 11/20/2062 | 422,338 | 421,725 | ||||||
0.49%, 12/20/2062 | 3,835,064 | 3,796,947 | ||||||
0.47%, 01/20/2063 | 1,677,180 | 1,656,813 | ||||||
0.65%, 01/20/2063 | 1,541,718 | 1,541,704 | ||||||
1.65%, 01/20/2063 | 3,493,674 | 3,473,362 | ||||||
0.57%, 02/20/2063 | 426,588 | 422,575 | ||||||
0.60%, 02/20/2063 | 2,075,482 | 2,063,195 | ||||||
1.65%, 02/20/2063 | 4,619,341 | 4,591,533 | ||||||
0.56%, 03/20/2063 | 1,475,236 | 1,463,368 | ||||||
0.62%, 03/20/2063 | 475,799 | 473,441 | ||||||
1.75%, 03/20/2063 | 1,128,150 | 1,124,796 | ||||||
1.65%, 04/20/2063 | 1,432,112 | 1,421,989 | ||||||
0.80%, 01/20/2064 | 3,962,444 | 3,977,894 | ||||||
0.80%, 02/20/2064 | 8,096,186 | 8,127,478 | ||||||
0.84%, 02/20/2064 | 4,992,185 | 5,023,870 | ||||||
0.80%, 03/20/2064 | 4,826,409 | 4,842,201 | ||||||
0.75%, 04/20/2064 | 4,965,494 | 4,968,955 | ||||||
0.75%, 04/20/2064 | 4,977,780 | 4,984,335 | ||||||
0.75%, 05/20/2064 | 7,986,442 | 7,966,891 | ||||||
0.65%, 06/20/2064 | 3,500,000 | 3,482,500 | ||||||
GS Mortgage Securities Corp II | ||||||||
2.71%, 12/10/2027 (Acquired 10/28/2013, Cost $1,384,728) (b) | 1,388,286 | 1,407,404 | ||||||
2.77%, 11/10/2045 | 13,211,562 | 12,932,864 | ||||||
GS Mortgage Securities Corp Trust 2012-ALOHA | ||||||||
3.55%, 04/10/2034 (Acquired 08/15/2012, Cost $4,226,912) (b) | 4,200,000 | 4,351,120 |
Table of Contents
GS Mortgage Securities Corp Trust 2012-SHOP | ||||||||
1.44%, 06/05/2031 (Acquired 10/28/2013, Cost $483,630) (b) | 7,793,000 | 466,395 | ||||||
GS Mortgage Securities Corp Trust 2013-NYC5 | ||||||||
2.32%, 01/10/2030 (Acquired 10/28/2013, Cost $508,794) (b) | 505,000 | 510,390 | ||||||
GS Mortgage Securities Trust 2006-GG6 | ||||||||
5.55%, 04/10/2038 | 1,773,000 | 1,873,228 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.78%, 11/10/2039 (Acquired 10/28/2013, Cost $188,077) (b) | 13,788,046 | 149,821 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
3.00%, 08/10/2044 | 405,000 | 420,099 | ||||||
5.47%, 08/12/2044 (Acquired 03/27/2014, Cost $511,847) (b) | 500,000 | 517,408 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
3.80%, 01/11/2047 | 10,000,000 | 10,421,700 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
0.55%, 06/25/2034 (Acquired 10/28/2013, Cost $87,924) (b) | 99,405 | 86,520 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
0.50%, 03/25/2035 (Acquired 10/28/2013, Cost $158,758) (b) | 184,500 | 161,596 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
0.50%, 09/25/2035 (Acquired 10/28/2013, Cost $937,386) (b) | 1,110,544 | 951,194 | ||||||
4.84%, 09/25/2035 (Acquired 10/28/2013, Cost $117,507) (b) | 818,765 | 114,151 | ||||||
GSMS Trust 2009-RR1 | ||||||||
5.37%, 05/17/2045 (Acquired 10/28/2013, Cost $621,724) (b) | 568,000 | 618,504 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 77,346 | 80,661 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
0.55%, 09/25/2032 | 38,136 | 35,902 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 122,656 | 121,240 | ||||||
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 294,083 | 314,667 | ||||||
6.50%, 05/25/2034 | 162,244 | 174,177 | ||||||
GSR Mortgage Loan Trust 2005-5F | ||||||||
0.65%, 06/25/2035 | 103,101 | 99,630 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 490,446 | 508,695 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
2.63%, 09/25/2035 | 32,466 | 32,787 |
Table of Contents
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 272,535 | 254,225 | ||||||
6.00%, 02/25/2036 | 890,633 | 817,988 | ||||||
GSR Mortgage Loan Trust 2007-1F | ||||||||
5.50%, 01/25/2037 | 810,216 | 812,232 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.66%, 09/25/2034 | 18,877 | 19,135 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
0.45%, 05/25/2035 | 260,672 | 259,697 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 151,420 | 158,326 | ||||||
0.95%, 11/25/2034 | 8,841 | 8,629 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
0.50%, 05/25/2036 | 671,190 | 665,257 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
0.50%, 08/25/2036 | 1,233,669 | 1,217,170 | ||||||
IndyMac INDX Mortgage Loan Trust 2005-AR11 | ||||||||
0.00%, 08/25/2035 | 2,091,973 | 655 | ||||||
Jefferies Resecuritization Trust 2011-R2 | ||||||||
4.50%, 10/26/2036 | 521,290 | 541,352 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
2.52%, 03/25/2036 (Acquired 10/28/2013, Cost $55,914) (d) | 70,260 | 56,104 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.25%, 08/12/2037 (Acquired 10/28/2013, Cost $97,319) (b) | 54,598,451 | 56,619 | ||||||
5.57%, 08/12/2037 | 531,000 | 548,311 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC12 | ||||||||
4.90%, 09/12/2037 | 6,565,736 | 6,757,751 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.13%, 12/15/2044 (Acquired 10/28/2013, Cost $121,254) (b) | 57,444,381 | 77,665 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.41%, 06/12/2043 | 35,488,236 | 183,439 | ||||||
5.81%, 06/12/2043 | 177,678 | 191,373 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 220,881 | 237,368 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||
5.40%, 05/15/2045 | 162,575 | 175,100 |
Table of Contents
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
0.31%, 05/15/2047 | 261,598 | 260,745 | ||||||
5.34%, 05/15/2047 | 413,000 | 416,366 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | ||||||||
5.72%, 02/15/2051 | 155,000 | 170,680 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.19%, 02/15/2051 | 32,004,099 | 82,923 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ | ||||||||
0.93%, 04/15/2030 (Acquired 10/28/2013, Cost $1,000,434) (b) | 1,000,000 | 1,000,454 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 5,752,087 | 5,676,142 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
2.51%, 07/25/2034 | 102,112 | 105,348 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
2.67%, 09/25/2034 | 172,950 | 178,846 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 86,202 | 89,826 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
2.97%, 02/25/2035 | 343,071 | 345,846 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
5.24%, 07/25/2035 | 473,483 | 482,938 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
2.55%, 11/25/2033 | 1,310,281 | 1,309,797 | ||||||
2.57%, 08/25/2034 | 2,294,731 | 2,294,272 | ||||||
JP Morgan Mortgage Trust 2006-A3 | ||||||||
3.18%, 08/25/2034 | 298,283 | 301,259 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
2.63%, 01/25/2037 | 178,863 | 159,868 | ||||||
2.63%, 01/25/2037 | 313,751 | 282,443 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
2.66%, 07/25/2035 | 233,400 | 233,735 | ||||||
2.66%, 07/25/2035 | 93,405 | 95,194 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
2.58%, 04/25/2037 | 637,712 | 551,574 | ||||||
JP Morgan Resecuritization Trust Series 2009-6 | ||||||||
2.64%, 09/26/2036 (Acquired 10/28/2013, Cost $307,386) (b) | 304,472 | 306,979 | ||||||
JP Morgan Resecuritization Trust Series 2010-4 | ||||||||
1.87%, 08/26/2035 (Acquired 10/28/2013, Cost $293,516) (b) | 294,021 | 293,821 |
Table of Contents
JPMBB Commercial Mortgage Securities Trust 2013-C17 | ||||||||
3.93%, 01/15/2047 | 15,000,000 | 15,743,925 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.63%, 05/25/2039 | 8,425,219 | 205,365 | ||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036 (Acquired 10/28/2013, Cost $971,730) (b) | 1,027,000 | 1,042,369 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1 | ||||||||
5.16%, 02/15/2031 | 516,000 | 542,785 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C4 | ||||||||
6.03%, 06/15/2038 | 147,399 | 159,141 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.46%, 02/15/2040 | 490,000 | 535,723 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.74%, 02/15/2040 | 13,144,727 | 188,916 | ||||||
5.39%, 02/15/2040 | 14,524,487 | 15,922,324 | ||||||
5.43%, 02/15/2040 | 627,919 | 688,691 | ||||||
Lehman Mortgage Trust 2006-2 | ||||||||
6.14%, 04/25/2036 | 133,988 | 127,033 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 128,810 | 116,650 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 668,884 | 606,337 | ||||||
Luminent Mortgage Trust 2005-1 | ||||||||
0.41%, 11/25/2035 | 3,700,679 | 3,334,648 | ||||||
LVII Resecuritization Trust 2009-2 | ||||||||
5.16%, 09/27/2037 (Acquired 10/28/2013, Cost $1,340,391) (b) | 1,296,000 | 1,319,111 | ||||||
LVII Resecuritization Trust 2009-3 | ||||||||
5.23%, 11/27/2037 (Acquired 10/28/2013, Cost $843,730) (b) | 826,000 | 837,537 | ||||||
5.23%, 11/27/2037 (Acquired 10/28/2013, Cost $1,059,675) (b) | 1,032,000 | 1,074,622 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
2.64%, 04/21/2034 | 581,196 | 588,100 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
2.89%, 12/25/2034 | 67,193 | 67,713 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
2.33%, 04/25/2034 | 126,697 | 119,233 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
6.00%, 08/25/2033 | 629,746 | 671,460 |
Table of Contents
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 209,689 | 209,992 | ||||||
6.00%, 01/25/2034 | 41,010 | 41,071 | ||||||
MASTR Alternative Loan Trust 2004-1 | ||||||||
5.00%, 01/25/2019 | 67,422 | 68,675 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2019 | 40,980 | 41,755 | ||||||
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2020 | 1,021,345 | 1,067,380 | ||||||
MASTR Alternative Loan Trust 2004-2 | ||||||||
5.00%, 02/25/2019 | 4,218 | 4,341 | ||||||
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 361,866 | 383,612 | ||||||
6.25%, 04/25/2034 | 118,419 | 125,303 | ||||||
MASTR Alternative Loan Trust 2004-4 | ||||||||
5.00%, 04/25/2019 | 54,690 | 55,986 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 | 72,335 | 56,523 | ||||||
6.00%, 07/25/2034 | 41,844 | 42,575 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 | 62,349 | 49,741 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 149,591 | 155,223 | ||||||
MASTR Alternative Loan Trust 2005-1 | ||||||||
5.00%, 02/25/2035 | 3,389,282 | 3,442,209 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 150,603 | 147,703 | ||||||
MASTR Asset Securitization Trust | ||||||||
4.50%, 12/25/2018 | 14,083 | 14,421 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 | 18,600 | 16,951 | ||||||
5.00%, 12/25/2033 | 45,023 | 46,724 | ||||||
MASTR Asset Securitization Trust 2003-2 | ||||||||
4.50%, 03/25/2018 | 11,951 | 11,958 | ||||||
4.50%, 03/25/2018 | 37,940 | 37,960 | ||||||
5.00%, 03/25/2018 | 19,367 | 19,491 |
Table of Contents
MASTR Asset Securitization Trust 2003-8 | ||||||||
5.50%, 09/25/2033 | 14,662 | 15,091 | ||||||
MASTR Asset Securitization Trust 2003-9 | ||||||||
0.00%, 10/25/2018 | 24,159 | 22,680 | ||||||
5.50%, 10/25/2033 | 27,820 | 28,747 | ||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 | 13,698 | 12,144 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
4.50%, 04/25/2019 | 2,982 | 3,029 | ||||||
5.25%, 12/26/2033 | 294,038 | 306,695 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2019 | 15,704 | 14,579 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2019 | 8,244 | 7,602 | ||||||
4.75%, 08/25/2019 | 39,533 | 40,519 | ||||||
MASTR Asset Securitization Trust 2004-9 | ||||||||
5.25%, 09/25/2019 | 55,805 | 57,639 | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
0.50%, 05/25/2035 (Acquired 10/28/2013, Cost $1,285,990) (b) | 1,496,401 | 1,257,333 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.81%, 05/25/2036 (Acquired 10/28/2013, Cost $166,591) (b) | 178,386 | 169,171 | ||||||
Mastr Resecuritization Trust 2005 | ||||||||
0.00%, 05/28/2035 (Acquired 10/28/2013, Cost $184,391) (b) | 218,077 | 174,462 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
1.28%, 06/25/2037 | 437,696 | 432,332 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
2.38%, 08/25/2033 | 137,325 | 139,688 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
0.77%, 10/25/2028 | 308,466 | 306,088 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
0.79%, 10/25/2028 | 330,240 | 329,647 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
2.15%, 12/25/2034 | 275,466 | 270,634 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
0.61%, 04/25/2029 | 126,327 | 121,859 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
0.93%, 07/25/2029 | 282,265 | 267,366 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
2.47%, 08/25/2034 | 242,277 | 249,659 |
Table of Contents
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
2.47%, 02/25/2035 | 476,348 | 470,389 | ||||||
Merrill Lynch Mortgage Trust 2005-CIP1 | ||||||||
5.05%, 07/12/2038 | 5,155,000 | 5,332,543 | ||||||
Merrill Lynch Mortgage Trust 2005-LC1 | ||||||||
5.29%, 01/12/2044 | 235,355 | 247,630 | ||||||
5.55%, 01/12/2044 | 343,000 | 361,475 | ||||||
Merrill Lynch Mortgage Trust 2005-MCP1 | ||||||||
4.67%, 06/12/2043 | 5,469 | 5,469 | ||||||
Merrill Lynch Mortgage Trust 2006-C1 | ||||||||
5.86%, 05/12/2039 | 227,000 | 242,271 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 4,064 | 4,399 | ||||||
ML-CFC Commercial Mortgage Trust 2006-1 | ||||||||
5.65%, 02/12/2039 | 495,930 | 525,077 | ||||||
5.70%, 02/12/2039 | 390,000 | 415,402 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3 | ||||||||
5.41%, 07/12/2046 | 1,933,642 | 2,090,076 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.26%, 12/12/2049 (Acquired 10/28/2013, Cost $463,268) (b) | 41,200,406 | 483,322 | ||||||
5.17%, 12/12/2049 | 5,275,000 | 5,676,602 | ||||||
ML-CFC Commercial Mortgage Trust 2007-9 | ||||||||
5.70%, 09/12/2049 | 639,000 | 709,868 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 9,144,055 | 8,993,142 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | ||||||||
3.77%, 11/15/2046 | 10,000,000 | 10,363,640 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
2.92%, 02/15/2047 | 10,000,000 | 10,366,060 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,623,287 | ||||||
Morgan Stanley Capital I Trust 2004-HQ4 | ||||||||
4.97%, 04/14/2040 | 82,491 | 82,462 | ||||||
Morgan Stanley Capital I Trust 2005-HQ7 | ||||||||
5.38%, 11/14/2042 | 7,951,382 | 8,245,997 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.68%, 12/15/2043 (Acquired 10/28/2013, Cost $268,217) (b) | 20,659,550 | 219,487 |
Table of Contents
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.39%, 02/12/2044 (Acquired 10/28/2013, Cost $174,927) (b) | 36,145,345 | 168,943 | ||||||
5.42%, 02/12/2044 | 444,693 | 477,821 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.55%, 12/15/2044 (Acquired 10/28/2013, Cost $134,323) (b) | 10,904,587 | 115,959 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.60%, 03/15/2044 (Acquired 10/28/2013, Cost $368,782) (b) | 33,119,228 | 320,760 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
4.05%, 07/15/2049 | 630,000 | 677,568 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/15/2045 | 826,000 | 849,679 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.69%, 04/25/2034 | 526,611 | 555,998 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
4.99%, 10/25/2019 | 145,689 | 146,420 | ||||||
Morgan Stanley Reremic Trust | ||||||||
4.97%, 04/16/2040 (Acquired 10/28/2013, Cost $51,253) (b) | 50,470 | 50,453 | ||||||
0.25%, 07/27/2049 (Acquired 10/28/2013, Cost $989,331) (b) | 1,182,000 | 1,019,475 | ||||||
2.00%, 07/27/2049 (Acquired 10/28/2013, Cost $4,373,275) (b) | 4,344,857 | 4,369,275 | ||||||
1.00%, 03/27/2051 (Acquired 10/28/2013, Cost $1,836,157) (b) | 1,854,816 | 1,868,728 | ||||||
Morgan Stanley Re-REMIC Trust 2009 | ||||||||
0.00%, 07/17/2056 (Acquired 10/28/2013, Cost $519,570) (b) | 533,439 | 530,905 | ||||||
Morgan Stanley Re-REMIC Trust 2011 | ||||||||
2.50%, 03/23/2051 (Acquired 10/28/2013, Cost $147,725) (b) | 147,338 | 147,891 | ||||||
MortgageIT Trust 2005-1 | ||||||||
0.47%, 02/25/2035 | 191,445 | 187,527 | ||||||
MortgageIT Trust 2005-2 | ||||||||
0.41%, 05/25/2035 | 3,005,090 | 2,881,589 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
0.63%, 06/15/2030 | 552,778 | 546,561 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
0.59%, 12/15/2030 | 124,459 | 118,299 | ||||||
Multi Security Asset Trust LP Commercial Mortgage-Backed Securities Pass-Through | ||||||||
5.00%, 11/28/2035 (Acquired 10/28/2013, Cost $46,307) (b) | 46,822 | 47,182 | ||||||
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034 (Acquired 10/28/2013, Cost $106,091) (b) | 103,891 | 106,061 |
Table of Contents
NCUA Guaranteed Notes Trust 2010-C1 | ||||||||
2.65%, 10/29/2020 | 6,397,841 | 6,567,230 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
0.71%, 12/08/2020 | 2,534,844 | 2,550,628 | ||||||
2.40%, 12/08/2020 | 526,533 | 534,237 | ||||||
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1 | ||||||||
5.00%, 04/25/2018 | 968 | 981 | ||||||
7.00%, 04/25/2033 | 14,130 | 14,635 | ||||||
5.50%, 05/25/2033 | 59,677 | 61,556 | ||||||
6.00%, 05/25/2033 | 27,393 | 28,313 | ||||||
Nomura Resecuritization Trust 2010-6R | ||||||||
2.50%, 03/26/2036 (Acquired 10/28/2013, Cost $184,439) (b) | 183,945 | 184,208 | ||||||
NorthStar 2012-1 Mortgage Trust | ||||||||
1.35%, 08/25/2029 (Acquired 10/28/2013, Cost $1,569,084) (b) | 1,569,340 | 1,570,699 | ||||||
NorthStar 2013-1 | ||||||||
2.00%, 08/25/2029 (Acquired 10/28/2013, Cost $1,814,958) (b) | 1,814,041 | 1,823,837 | ||||||
5.15%, 08/25/2029 (Acquired 10/28/2013 through 11/13/2013, Cost $1,078,010) (b) | 1,071,000 | 1,060,290 | ||||||
PaineWebber CMO Trust Series H | ||||||||
8.75%, 04/01/2018 | 157 | 157 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 1,059 | 1,177 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 232,410 | 244,563 | ||||||
Provident Funding Mortgage Loan Trust 2005-1 | ||||||||
2.50%, 05/25/2035 | 109,759 | 111,959 | ||||||
RALI Series 2001-QS19 Trust | ||||||||
6.00%, 12/25/2016 | 45,573 | 46,081 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
16.30%, 10/25/2017 | 25,343 | 26,413 | ||||||
RALI Series 2002-QS8 Trust | ||||||||
6.25%, 06/25/2017 | 100,731 | 102,294 | ||||||
RALI Series 2003-QR19 Trust | ||||||||
5.75%, 10/25/2033 | 279,744 | 291,173 | ||||||
RALI Series 2003-QR24 Trust | ||||||||
4.00%, 07/25/2033 | 171,697 | 173,991 | ||||||
RALI Series 2003-QS1 Trust | ||||||||
4.25%, 01/25/2033 | 21,087 | 21,177 | ||||||
RALI Series 2003-QS13 Trust | ||||||||
4.00%, 07/25/2033 | 957,231 | 901,630 |
Table of Contents
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2018 | 205,337 | 208,774 | ||||||
RALI Series 2003-QS15 Trust | ||||||||
5.50%, 08/25/2033 | 935,024 | 955,429 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2018 | 66,375 | 67,948 | ||||||
RALI Series 2003-QS19 Trust | ||||||||
5.75%, 10/25/2033 | 771,175 | 812,654 | ||||||
RALI Series 2003-QS3 Trust | ||||||||
16.17%, 02/25/2018 | 56,520 | 63,938 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
7.40%, 05/25/2018 | 149,023 | 16,388 | ||||||
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 29,113 | 29,588 | ||||||
RALI Series 2004-QS7 Trust | ||||||||
5.50%, 05/25/2034 | 1,278,910 | 1,310,143 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
3.51%, 05/25/2035 | 277,966 | 234,154 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 37,614 | 31,342 | ||||||
RBS Commercial Funding Inc 2013-SMV Trust | ||||||||
3.26%, 03/11/2031 (Acquired 10/28/2013, Cost $483,934) (b) | 512,000 | 498,713 | ||||||
RBSCF Trust 2010-RR3 | ||||||||
4.97%, 04/16/2040 (Acquired 10/28/2013, Cost $12,251) (b) | 12,063 | 12,069 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036 (Acquired 10/28/2013, Cost $589,634) (b) | 562,228 | 606,184 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
5.88%, 11/25/2033 (Acquired 10/28/2013, Cost $911,962) (b) | 878,009 | 927,132 | ||||||
RBSSP Resecuritization Trust 2009-2 | ||||||||
7.00%, 08/26/2037 (Acquired 10/28/2013, Cost $195,649) (b) | 188,467 | 200,346 | ||||||
RBSSP Resecuritization Trust 2009-6 | ||||||||
5.50%, 01/26/2021 (Acquired 10/28/2013, Cost $31,847) (b) | 31,698 | 31,864 | ||||||
RBSSP Resecuritization Trust 2009-9 | ||||||||
6.00%, 07/26/2037 (Acquired 10/28/2013, Cost $329,021) (b) | 325,629 | 334,451 | ||||||
RBSSP Resecuritization Trust 2010-12 | ||||||||
4.00%, 06/27/2021 (Acquired 10/28/2013, Cost $63,564) (b) | 63,044 | 63,546 |
Table of Contents
RBSSP Resecuritization Trust 2010-9 | ||||||||
4.85%, 10/26/2034 (Acquired 10/28/2013, Cost $420,259) (b) | 400,462 | 420,327 | ||||||
4.00%, 05/26/2037 | 1,255,798 | 1,283,615 | ||||||
RBSSP Resecuritization Trust 2012-3 | ||||||||
0.30%, 09/26/2036 | 1,106,652 | 1,048,430 | ||||||
RCMC LLC | ||||||||
5.62%, 11/15/2044 (Acquired 10/28/2013, Cost $1,623,092) (b) | 1,621,013 | 1,669,701 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035 (Acquired 10/28/2013, Cost $15,524) (b) | 17,180 | 14,996 | ||||||
Residential Asset Securitization Trust 2003-A13 | ||||||||
5.50%, 01/25/2034 | 51,385 | 53,008 | ||||||
Residential Asset Securitization Trust 2003-A14 | ||||||||
4.75%, 02/25/2019 | 4,665 | 4,784 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2018 | 89,444 | 91,260 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 4,034,573 | 4,169,792 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.90%, 03/25/2035 | 1,548,425 | 218,274 | ||||||
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 159,029 | 145,439 | ||||||
RFMSI Series 2003-S11 Trust | ||||||||
4.00%, 06/25/2018 | 2,512 | 2,533 | ||||||
RFMSI Series 2003-S13 Trust | ||||||||
5.50%, 06/25/2033 | 92,345 | 92,838 | ||||||
RFMSI Series 2003-S14 Trust | ||||||||
0.00%, 07/25/2018 | 16,021 | 15,038 | ||||||
RFMSI Series 2003-S16 Trust | ||||||||
5.00%, 09/25/2018 | 43,928 | 44,441 | ||||||
RFMSI Series 2003-S20 Trust | ||||||||
4.75%, 12/25/2018 | 74,902 | 76,446 | ||||||
RFMSI Series 2004-S6 Trust | ||||||||
0.00%, 06/25/2034 | 28,825 | 25,600 | ||||||
RFMSI Series 2005-S1 Trust | ||||||||
4.75%, 02/25/2020 | 48,298 | 49,755 | ||||||
RFMSI Series 2005-SA4 Trust | ||||||||
2.81%, 09/25/2035 | 154,793 | 129,673 |
Table of Contents
RFSC Series 2003-RM2 Trust | ||||||||
0.00%, 05/25/2033 | 3,005 | 2,691 | ||||||
RMS Mortgage Asset Trust | ||||||||
4.70%, 10/25/2056 | 906,890 | 910,064 | ||||||
Salomon Brothers Mortgage Securities VII Inc | ||||||||
0.00%, 12/25/2018 | 8,787 | 7,688 | ||||||
3.95%, 04/25/2032 (Acquired 10/28/2013, Cost $67,016) (b) | 68,383 | 67,114 | ||||||
7.00%, 06/25/2033 | 47,190 | 50,924 | ||||||
2.62%, 09/25/2033 | 415,162 | 424,124 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
0.46%, 11/20/2034 | 117,528 | 117,314 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
0.45%, 12/20/2034 | 405,538 | 387,479 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
0.65%, 01/20/2035 | 377,376 | 345,275 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
0.85%, 09/20/2034 | 2,118,579 | 2,033,020 | ||||||
1.07%, 09/20/2034 | 387,012 | 376,014 | ||||||
Springleaf Mortgage Loan Trust | ||||||||
1.27%, 06/25/2058 (Acquired 10/28/2013, Cost $1,853,080) (b) | 1,874,771 | 1,868,061 | ||||||
2.31%, 06/25/2058 (Acquired 10/28/2013, Cost $1,083,643) (b) | 1,121,000 | 1,094,390 | ||||||
3.14%, 06/25/2058 (Acquired 10/28/2013, Cost $794,166) (b) | 817,000 | 811,526 | ||||||
3.79%, 06/25/2058 (Acquired 10/28/2013, Cost $658,804) (b) | 688,000 | 693,566 | ||||||
Springleaf Mortgage Loan Trust 2011-1 | ||||||||
4.05%, 01/25/2058 (Acquired 10/28/2013, Cost $951,136) (b) | 914,342 | 953,078 | ||||||
5.45%, 01/25/2058 (Acquired 10/28/2013, Cost $1,530,526) (b) | 1,468,000 | 1,540,977 | ||||||
Springleaf Mortgage Loan Trust 2012-1 | ||||||||
2.67%, 09/25/2057 (Acquired 10/28/2013, Cost $512,494) (b) | 501,528 | 510,784 | ||||||
6.00%, 09/25/2057 (Acquired 10/28/2013, Cost $1,960,479) (b) | 1,873,000 | 2,000,677 | ||||||
Springleaf Mortgage Loan Trust 2012-2 | ||||||||
2.22%, 10/25/2057 (Acquired 10/28/2013, Cost $2,085,363) (b) | 2,050,895 | 2,076,995 | ||||||
6.00%, 10/25/2057 (Acquired 10/28/2013, Cost $1,785,467) (b) | 1,729,000 | 1,809,950 | ||||||
Springleaf Mortgage Loan Trust 2012-3 | ||||||||
1.57%, 12/25/2059 (Acquired 10/28/2013, Cost $2,561,829) (b) | 2,561,852 | 2,560,459 | ||||||
2.66%, 12/25/2059 (Acquired 10/28/2013, Cost $985,311) (b) | 996,000 | 996,106 | ||||||
3.56%, 12/25/2059 (Acquired 10/28/2013, Cost $571,601) (b) | 584,000 | 597,110 | ||||||
4.44%, 12/25/2059 (Acquired 10/28/2013, Cost $493,697) (b) | 496,000 | 513,359 | ||||||
5.30%, 12/25/2059 (Acquired 10/28/2013, Cost $223,099) (b) | 221,000 | 228,606 |
Table of Contents
Springleaf Mortgage Loan Trust 2013-2 | ||||||||
1.78%, 12/25/2065 (Acquired 10/28/2013, Cost $2,012,326) (b) | 2,022,233 | 2,018,791 | ||||||
3.52%, 12/25/2065 (Acquired 10/28/2013, Cost $875,760) (b) | 899,000 | 918,134 | ||||||
Springleaf Mortgage Loan Trust 2013-3 | ||||||||
3.79%, 09/25/2057 (Acquired 10/28/2013, Cost $1,261,672) (b) | 1,262,000 | 1,271,456 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.39%, 06/25/2034 | 1,317,139 | 1,335,903 | ||||||
2.40%, 06/25/2034 | 176,091 | 175,140 | ||||||
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
0.49%, 10/19/2034 | 316,955 | 301,572 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
0.41%, 07/19/2035 | 1,289,416 | 1,248,474 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
0.55%, 07/25/2032 | 1,143,642 | 1,083,890 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Se 2003 29 | ||||||||
4.75%, 09/25/2018 | 125,010 | 127,667 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Ser 2003 30 | ||||||||
5.50%, 10/25/2033 | 52,762 | 55,479 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Ser 2003-16 | ||||||||
0.65%, 06/25/2033 | 120,710 | 119,428 | ||||||
Structured Asset Sec Corp Mort Pass Th Certs Ser 2003-32 | ||||||||
5.45%, 11/25/2033 | 46,975 | 48,581 | ||||||
Structured Asset Securities Corp | ||||||||
2.56%, 12/25/2033 | 3,118,807 | 3,117,348 | ||||||
3.62%, 12/25/2033 | 431,514 | 434,808 | ||||||
5.49%, 02/25/2034 | 378,782 | 403,977 | ||||||
0.50%, 06/25/2035 (Acquired 10/28/2013, Cost $118,300) (b) | 143,632 | 116,347 | ||||||
Structured Asset Securities Corp Mort Pas Thr Ce Se 2002 17 | ||||||||
6.07%, 09/25/2032 | 40,385 | 40,269 | ||||||
Structured Asset Securities Corp Mort Pass Thru Ser 2004-5H | ||||||||
5.54%, 12/25/2033 | 945,534 | 972,410 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-33H | ||||||||
5.50%, 10/25/2033 | 455,905 | 466,140 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A | ||||||||
2.47%, 11/25/2033 | 134,844 | 134,031 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-22 | ||||||||
5.17%, 01/25/2035 | 8,710,692 | 9,044,033 |
Table of Contents
Structured Asset Securities Corp Trust 2005-6 | ||||||||
5.00%, 05/25/2035 | 110,414 | 111,765 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
0.79%, 09/25/2043 | 199,289 | 195,929 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
2.02%, 12/25/2044 | 87,145 | 87,522 | ||||||
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
2.24%, 04/25/2045 | 3,079,434 | 3,124,883 | ||||||
TIAA Seasoned Commercial Mortgage Trust 2007-C4 | ||||||||
5.56%, 08/15/2039 | 777,813 | 789,923 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.48%, 05/10/2045 (Acquired 10/28/2013, Cost $257,523) (b) | 1,988,406 | 251,490 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/10/2030 (Acquired 10/28/2013, Cost $1,756,510) (b) | 1,787,000 | 1,804,128 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.94%, 05/10/2063 (Acquired 10/28/2013, Cost $682,707) (b) | 7,678,290 | 651,442 | ||||||
3.53%, 05/10/2063 | 1,073,000 | 1,107,721 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/10/2046 | 271,000 | 271,631 | ||||||
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 788,057 | 908,791 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.58%, 02/15/2024 | 173,982 | 190,688 | ||||||
6.50%, 02/15/2024 | 564,165 | 619,431 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 245,144 | 281,107 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 115,122 | 133,022 | ||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 340,509 | 402,227 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 03/15/2028 | 232,044 | 269,980 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030 (Acquired 10/28/2013, Cost $2,190,111) (b) | 2,283,000 | 2,267,571 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029 (Acquired 12/5/2013, Cost $2,569,186) (b) | 2,500,000 | 2,656,500 |
Table of Contents
Wachovia Bank Commercial Mortgage Trust Series 2004-C11 | ||||||||
5.22%, 01/15/2041 | 335,605 | 336,018 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 | ||||||||
5.45%, 12/15/2044 | 8,170,409 | 8,568,079 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.28%, 03/15/2045 (Acquired 10/28/2013, Cost $283,656) (b) | 95,971,006 | 231,674 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | ||||||||
5.93%, 06/15/2049 | 7,415,249 | 8,160,096 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
2.43%, 10/25/2033 | 686,312 | 696,018 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
2.30%, 08/25/2033 | 232,067 | 235,252 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
2.42%, 09/25/2033 | 1,207,736 | 1,231,786 | ||||||
2.44%, 09/25/2033 | 240,669 | 244,013 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 220,749 | 226,786 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | ||||||||
5.00%, 10/25/2018 | 20,916 | 21,471 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | ||||||||
0.70%, 12/25/2018 | 63,555 | 61,676 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
17.04%, 06/25/2033 | 69,662 | 79,664 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | ||||||||
4.50%, 09/25/2018 | 119,742 | 121,236 | ||||||
4.50%, 09/25/2018 | 38,517 | 38,999 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 | 22,506 | 18,801 | ||||||
5.25%, 10/25/2033 | 950,616 | 977,066 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
2.38%, 06/25/2034 | 7,593,162 | 7,736,224 | ||||||
2.38%, 06/25/2034 | 427,866 | 435,927 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 106,907 | 109,983 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 132,871 | 136,052 | ||||||
5.50%, 08/25/2019 | 282,221 | 291,568 | ||||||
6.00%, 08/25/2034 | 1,588,730 | 1,700,592 |
Table of Contents
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 46,694 | 48,795 | ||||||
6.00%, 10/25/2019 | 40,510 | 42,375 | ||||||
6.50%, 10/25/2034 | 6,039,209 | 6,576,548 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 69,694 | 72,467 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 132,380 | 135,662 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 867,821 | 910,390 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 235,767 | 248,311 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
2.38%, 09/25/2036 | 31,264 | 20,896 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
2.38%, 08/25/2046 | 145,036 | 126,719 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 | 30,933 | 21,512 | ||||||
5.50%, 03/25/2035 | 348,179 | 347,275 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.85%, 04/25/2035 | 388,806 | 50,658 | ||||||
4.90%, 04/25/2035 | 1,760,238 | 255,352 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 599,459 | 557,572 | ||||||
5.50%, 06/25/2035 | 587,715 | 125,566 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 122,853 | 112,727 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 52,048 | 47,622 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | ||||||||
0.65%, 03/25/2018 | 19,971 | 19,694 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 | 3,702 | 2,792 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 | 21,445 | 21,212 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 70,800 | 64,113 |
Table of Contents
Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.80%, 03/18/2028 (Acquired 10/28/2013, Cost $1,513,552) (b) | 1,548,000 | 1,552,728 | ||||||
Wells Fargo Mortgage Backed Securities 2003-K Trust | ||||||||
2.49%, 11/25/2033 | 493,374 | 493,577 | ||||||
2.49%, 11/25/2033 | 18,927 | 19,058 | ||||||
Wells Fargo Mortgage Backed Securities 2003-L Trust | ||||||||
2.54%, 11/25/2033 | 74,686 | 73,718 | ||||||
Wells Fargo Mortgage Backed Securities 2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 112,512 | 115,860 | ||||||
Wells Fargo Mortgage Backed Securities 2004-B Trust | ||||||||
2.49%, 02/25/2034 | 147,666 | 149,516 | ||||||
Wells Fargo Mortgage Backed Securities 2004-EE Trust | ||||||||
2.56%, 12/25/2034 | 430,048 | 437,039 | ||||||
2.56%, 12/25/2034 | 140,372 | 143,267 | ||||||
2.61%, 12/25/2034 | 285,398 | 292,650 | ||||||
2.61%, 12/25/2034 | 419,524 | 428,562 | ||||||
Wells Fargo Mortgage Backed Securities 2004-I Trust | ||||||||
2.63%, 07/25/2034 | 609,550 | 617,165 | ||||||
Wells Fargo Mortgage Backed Securities 2004-P Trust | ||||||||
2.61%, 09/25/2034 | 1,835,642 | 1,875,991 | ||||||
Wells Fargo Mortgage Backed Securities 2004-V Trust | ||||||||
2.61%, 10/25/2034 | 289,872 | 293,768 | ||||||
2.61%, 10/25/2034 | 371,789 | 384,750 | ||||||
Wells Fargo Mortgage Backed Securities 2005-14 Trust | ||||||||
0.00%, 12/25/2035 | 44,584 | 35,908 | ||||||
5.50%, 12/25/2035 | 200,417 | 212,363 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | ||||||||
2.62%, 03/25/2035 | 4,327,496 | 4,400,389 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | ||||||||
2.62%, 06/25/2035 | 383,972 | 387,464 | ||||||
Wells Fargo Mortgage Backed Securities 2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 526,528 | 525,817 | ||||||
Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 96,220 | 95,138 | ||||||
Wells Fargo Mortgage Backed Securities 2007-9 Trust | ||||||||
5.50%, 07/25/2037 | 392,651 | 396,833 |
Table of Contents
Wells Fargo Mortgage Loan 2012-RR1 Trust | ||||||||
2.85%, 08/27/2037 (Acquired 10/28/2013, Cost $838,873) (b) | 834,938 | 839,997 | ||||||
Wells Fargo Resecuritization Trust 2012 | ||||||||
1.75%, 08/20/2021 (Acquired 10/28/2013, Cost $2,027,183) (b) | 2,032,264 | 2,033,077 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/15/2044 (Acquired 10/28/2013, Cost $1,130,275) (b) | 1,059,000 | 1,158,984 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
1.08%, 04/15/2045 | 182,078 | 182,759 | ||||||
3.44%, 04/15/2045 | 3,824,780 | 3,959,026 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,380,060 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $2,726,328,249) | $ | 2,763,057,331 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $6,637,456,697) | $ | 6,759,381,001 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 7.38% | ||||||||
Money Market Funds - 7.38% | ||||||||
Fidelity Institutional Money Market Fund, 0.01% (e) | 258,738,201 | $ | 258,738,201 | |||||
Goldman Sachs Financial Square Fund, 0.01% (e) | 258,655,650 | 258,655,650 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $517,393,851) | $ | 517,393,851 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 103.88% | 7,276,774,852 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.88)% | (272,036,240 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 7,004,738,612 | ||||||
|
|
(a) | Securities that are treated as illiquid by the Adviser. The value of these securities totals $5,424,860, which represents 0.08% of total net assets. |
(b) | Restricted securities as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities totals $739,866,917, which represents 10.56% of total net assets. |
(c) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $933,898, which represents 0.01% of total net assets. |
(d) | Securities in default. The value of these securities totals $6,365,260, which represents 0.09% of total net assets. |
(e) | Partially assigned as collateral for certain delayed delivery securities. |
(f) | Delayed delivery securities. The value of these securities totals $246,732,683, which represents 3.52% of total net assets. |
(g) | Represents an inflation protected security. The value of these securities totals $6,616,006, which represents 0.09% of total net assets. |
Table of Contents
Bridge Builder Bond Fund
Schedule of Open Futures Contracts
June 30, 2014
Number of Contracts Purchased (Sold) | Description | Settlement Month | Notional Amount | Value | Cumulative Appreciation (Depreciation) | |||||||||||
(213) | U.S. 5 Year Note Future | September 2014 | $ | 25,352,692 | $ | 25,445,180 | $ | (92,488 | ) | |||||||
777 | U.S. 2 Year Note Future | September 2014 | 170,549,975 | 170,624,344 | 74,369 | |||||||||||
(69) | U.S. 10 Year Note Future | September 2014 | 8,619,898 | 8,636,859 | (16,961 | ) | ||||||||||
(129) | U.S. Ultra Bond Future | September 2014 | 19,340,806 | 19,341,938 | (1,132 | ) | ||||||||||
|
| |||||||||||||||
$ | (36,212 | ) | ||||||||||||||
|
|
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the Bridge Builder Bond Fund
In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of the Bridge Builder Bond Fund (the “Fund”) at June 30, 2014, and the results of its operations, the changes in its net assets and the financial highlights for the period October 28, 2013 (commencement of operations) through June 30, 2014, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedule of investments (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at June 30, 2014 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Chicago, IL
August 28, 2014
(b) Not Applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Table of Contents
Item 11. Controls and Procedures.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
Table of Contents
SIGNATURES
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) Bridge Builder Trust
By (Signature and Title)* | /s/ Joseph Neuberger | |||
Joseph Neuberger, President |
Date 8/28/2014
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 (Signature and Title)* | /s/ Joseph Neuberger | |||
Joseph Neuberger, President |
Date 8/28/2014
By (Signature and Title)* | /s/ Jason Hadler | |||
Jason Hadler, Treasurer |
Date 8/28/2014
* | Print the name and title of each signing officer under his or her signature. |