Table of Contents
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, 2015
Date of reporting period: December 31, 2014
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Item 1. Reports to Stockholders.
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Semiannual Report Ÿ December 31, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Dear Shareholder,
It is our pleasure to provide you with the semiannual report for the Bridge Builder Bond Fund representing performance, commentary and financials for the period from July 1, 2014 to December 31, 2014.
Bond Market Overview
Fixed-income markets remained strong during the second half of 2014 as the fundamental backdrop remained supportive. The U.S. economy continued to expand and has become a bright spot for growth as other major economies continued to struggle. In October, the Federal Reserve ended its bond purchase program, known as quantitative easing, which had been widely viewed as being supportive of historically low interest rates and boosting the prices of other financial assets. The domestic employment environment improved during the period and falling oil prices provided relief to consumers. Lastly, inflation remained tame, which is of particular concern to bond investors, as it erodes the value of income received. These factors all contributed to a general increase in investor confidence and strong fixed-income performance during the period.
The strong performance in bonds was a surprise to most market participants. While there was some volatility, Treasury yields continued to decline, particularly for bonds with longer maturities. As a result, the Treasury sector outperformed other areas of the bond market, which was a shift from the first half of the year. While the corporate sector was generally supported by strong fundamentals, investors seemed to have a somewhat diminished risk tolerance. This led to relatively lower returns for corporate bonds. The bonds of companies in the energy industry suffered the most as these firms were most directly exposed to the rapid fall in oil prices. The mortgage sector performed in line with the broader market. While changes in Federal Reserve policy have diminished support for this market, some investors felt there was more relative value in mortgages than in other sectors.
Semiannual Report Ÿ December 31, 2014 | 1 |
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Bridge Builder Mutual Funds
Letter to Shareholders (Continued)
During the 6-month period ended December 31, 2014, the Bridge Builder Bond Fund generated a total return of 1.93%, slightly behind the Barclays U.S. Aggregate Bond Index return of 1.96%. In the same period, the average return of the fund’s peer group, the Morningstar Intermediate-Term Bond, was 1.02%. Additional information and commentary specific to the Bridge Builder Bond Fund is available in the Management’s Discussion of Fund Performance in this report.
Thank you for choosing Edward Jones to help you pursue your financial goals. As always, 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 | |
William E. Fiala | Vice President, Olive Street Investment Advisers
Principal, Edward Jones Investment Advisory |
2 | Semiannual Report Ÿ December 31, 2014 |
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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.
Past performance does not guarantee future results.
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 measures the broad market for U.S. dollar-denominated investment grade fixed-rate taxable bond market. Index returns reflect the change in value, principal payments and interest of bonds in the index. You cannot invest directly in an index.
The Morningstar Intermediate-Term Bond peer group consists of intermediate-term bond portfolios which invest primarily in corporate, government, foreign or other fixed income issues and typically have durations of three and one-half to six years. These portfolios are less sensitive to interest rates than portfolios that have longer durations. Morningstar peer groups are assigned by Morningstar according to its proprietary assessment of a fund’s underlying securities. Consequently, a fund’s Morningstar peer group may change based on shifts in investment composition.
The Bridge Builder Bond Fund is distributed by Quasar Distributors, LLC.
Semiannual Report Ÿ December 31, 2014 | 3 |
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Bridge Builder Bond Fund
Management’s Discussion of Fund Performance
The final six months of 2014 resembled a “flight-to-quality” market environment, a time period when investors tend to favor safer bonds and avoid riskier bonds. This may have been driven by growing investor concern over global economic growth and the sharp drop in the price of oil. Interest rates also fell meaningfully, which is common during a “flight-to-quality” environment. As a result, U.S. Treasury bonds generally outperformed riskier bonds like corporate bonds and emerging market debt. In addition, bonds with longer maturities (which tend to experience greater price changes in response to changing interest rates) tended to perform better than bonds with shorter maturities.
For the period starting July 1, 2014 and ending December 31, 2014, the Fund returned 1.93% slightly underperforming the 1.96% gain for the Barclays U.S. Aggregate Bond Index over the same period. On the positive side, the Fund’s corporate bonds, especially bonds of financial companies, performed better than the corporate bonds in the Index. The Fund’s relative return was held back, in part, because the Fund owned fewer U.S. Treasury bonds than the Index. U.S. Treasury bonds generally outperformed the other bond sectors in the Index. Another item that detracted from returns relative to the Index was the Fund’s maturity positioning. In other words, the maturity dates (the date a bond is scheduled to be repaid in full) of the bonds held by the Fund tended to underperform the maturity dates of bonds comprising the Index.
4 | Semiannual Report Ÿ December 31, 2014 |
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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 December 31, 2014 as compared with the Barclays U.S. Aggregate Bond Index.
Bridge Builder Bond Fund
Growth of a Hypothetical $10,000 Investment as of December 31, 2014
vs.
Barclays U.S. Aggregate Bond Index
Total returns for the period ending December 31, 2014 | ||||||||||||||||
3-Month | 6-Month | 12-Month | Since Inception (Annualized) | |||||||||||||
Bridge Builder Bond Fund | 1.67 | % | 1.93 | % | 5.91 | % | 4.15 | % | ||||||||
Barclays U.S. Aggregate Bond Index | 1.79 | % | 1.96 | % | 5.97 | % | 4.15 | % |
Semiannual Report Ÿ December 31, 2014 | 5 |
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Bridge Builder Bond Fund
Management’s Discussion of Fund Performance (Continued)
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 measures the broad market for U.S. dollar-denominated investment grade fixed-rate taxable bond market. Index returns reflect the change in value, principal payments and interest of bonds in the index. 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.
6 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Bond Fund
Expense Example
For the Period Ended December 31, 2014
As a shareholder of the Fund, you incur two types of costs: (1) ongoing costs, including management fees 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 July 1, 2014, to December 31, 2014.
Actual Expenses
The first line of the table on the next page 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 (7/1/14 – 12/31/14)*” to estimate the expenses you paid on your account during the period.
Semiannual Report Ÿ December 31, 2014 | 7 |
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Bridge Builder Bond Fund
Expenses (Continued)
Expense Example
For the Period Ended December 31, 2014
Hypothetical Example for Comparison Purposes
The second line of 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 (7/1/14) | Ending account value (12/31/14) | Expenses paid during the period (7/1/14 – 12/31/14)* | ||||||||||
Actual | $ | 1,000.00 | $ | 1,019.30 | $ | 0.87 | ||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.35 | $ | 0.87 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.17%, multiplied by the average account value over the period, multiplied by 184/365 (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 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Bond Fund
Bridge Builder Bond Fund
Investments by Security Type as of December 31, 2014
(as a Percentage of Total Investments)
Semiannual Report Ÿ December 31, 2014 | 9 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES | ||||||||||||
Asset-Backed Obligations |
| |||||||||||
Chase Issuance Trust, | $ | 16,700,000 | $ | 16,602,238 | 0.22 | % | ||||||
Other Securities (1)(2) | 562,317,985 | 541,437,716 | 7.03 | % | ||||||||
Total Asset-Backed Obligations | $ | 558,039,954 | 7.25 | % | ||||||||
Corporate Bonds |
| |||||||||||
Basic Materials | ||||||||||||
Various Securities (2) | $ | 91,815,000 | $ | 97,506,399 | 1.27 | % | ||||||
Total Basic Materials | 97,506,399 | 1.27 | % | |||||||||
Communications | ||||||||||||
Various Securities (2) | 170,323,264 | 190,664,831 | 2.47 | % | ||||||||
Total Communications | 190,664,831 | 2.47 | % | |||||||||
Consumer Cyclical | ||||||||||||
Various Securities (2) | 85,260,198 | 91,460,414 | 1.19 | % | ||||||||
Total Consumer Cyclical | 91,460,414 | 1.19 | % | |||||||||
Consumer Non-cyclical | ||||||||||||
Various Securities (2) | 200,845,088 | 213,895,169 | 2.78 | % | ||||||||
Total Consumer Non-cyclical | 213,895,169 | 2.78 | % | |||||||||
Diversified | ||||||||||||
Various Securities (2) | 7,237,000 | 8,228,498 | 0.11 | % | ||||||||
Total Diversified | 8,228,498 | 0.11 | % | |||||||||
Energy | ||||||||||||
Various Securities (2) | 224,570,000 | 234,760,718 | 3.05 | % | ||||||||
Total Energy | 234,760,718 | 3.05 | % | |||||||||
Financials | ||||||||||||
American International Group, Inc., | 15,100,000 | 18,006,297 | 0.23 | % | ||||||||
Bank of America Corp., | 15,340,000 | 17,786,316 | 0.23 | % |
The accompanying notes are an integral part of these financial statements.
10 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)(Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Corporate Bonds – (continued) |
| |||||||||||
Financials – (continued) | ||||||||||||
Goldman Sachs Group, Inc., | $ | 17,547,000 | $ | 20,298,141 | 0.26 | % | ||||||
Other Securities (2) | 860,288,409 | 925,297,986 | 12.01 | % | ||||||||
Total Financials | 981,388,740 | 12.73 | % | |||||||||
Industrials | ||||||||||||
Various Securities (2) | 60,185,031 | 64,350,084 | 0.84 | % | ||||||||
Total Industrials | 64,350,084 | 0.84 | % | |||||||||
Technology | ||||||||||||
Various Securities | 66,455,000 | 69,341,696 | 0.90 | % | ||||||||
Total Technology | 69,341,696 | 0.90 | % | |||||||||
Utilities | ||||||||||||
Various Securities (2) | 118,314,196 | 127,725,732 | 1.66 | % | ||||||||
Total Utilities | 127,725,732 | 1.66 | % | |||||||||
Total Corporate Bonds | $ | 2,079,322,281 | 27.00 | % | ||||||||
Government Related | ||||||||||||
U.S. Treasury | ||||||||||||
United States Treasury Inflation Indexed Bond, 0.13%, | $ | 59,991,834 | $ | 59,330,964 | 0.77 | % | ||||||
United States Treasury Note, 0.63%, | 50,260,000 | 50,193,255 | 0.65 | % | ||||||||
United States Treasury Note, 1.25%, | 92,265,000 | 91,616,285 | 1.19 | % | ||||||||
United States Treasury Note, 1.38%, | 20,170,000 | 20,209,392 | 0.26 | % | ||||||||
United States Treasury Note, 1.38%, | 17,239,000 | 17,205,332 | 0.22 | % | ||||||||
United States Treasury Note, 1.50%, | 21,561,000 | 21,665,441 | 0.28 | % | ||||||||
United States Treasury Note, 1.50%, | 16,415,000 | 16,436,799 | 0.21 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report Ÿ December 31, 2014 | 11 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)(Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) |
| |||||||||||
U.S. Treasury – (continued) | ||||||||||||
United States Treasury Note, 1.63%, | $ | 35,655,000 | $ | 35,602,088 | 0.46 | % | ||||||
United States Treasury Note, 2.38%, | 16,950,000 | 17,569,726 | 0.23 | % | ||||||||
United States Treasury Note, 2.63%, | 89,084,000 | 93,030,154 | 1.21 | % | ||||||||
United States Treasury Note, 3.13%, | 20,774,000 | 22,145,416 | 0.29 | % | ||||||||
United States Treasury Note, 3.25%, | 20,315,000 | 21,338,693 | 0.28 | % | ||||||||
United States Treasury Note, 3.50%, | 100,768,000 | 107,987,120 | 1.40 | % | ||||||||
United States Treasury Bond, 3.50%, | 84,019,100 | 96,497,281 | 1.25 | % | ||||||||
United States Treasury Bond, 4.38%, | 16,062,600 | 21,018,169 | 0.27 | % | ||||||||
United States Treasury Bond, 5.25%, | 49,415,500 | 66,251,509 | 0.86 | % | ||||||||
United States Treasury Note, 6.25%, | 13,900,000 | 18,507,628 | 0.24 | % | ||||||||
United States Treasury Strip Coupon, 7.88%, Aug. 2018 | 23,739,000 | 22,608,976 | 0.29 | % | ||||||||
United States Treasury Strip Coupon, 7.88%, May 2019 | 18,038,000 | 16,792,476 | 0.22 | % | ||||||||
United States Treasury Strip Coupon, | 22,357,000 | 20,709,401 | 0.27 | % | ||||||||
United States Treasury Strip Coupon, 7.88%, May 2020 | 35,615,000 | 32,293,225 | 0.42 | % | ||||||||
United States Treasury Strip Coupon, 7.88%, Aug. 2020 | 25,243,000 | 22,715,797 | 0.29 | % | ||||||||
United States Treasury Strip Coupon, 7.88%, Feb. 2022 | 33,917,000 | 29,209,117 | 0.38 | % | ||||||||
United States Treasury Strip Coupon, 7.88%, Feb. 2023 | 65,197,000 | 54,503,910 | 0.71 | % |
The accompanying notes are an integral part of these financial statements.
12 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)(Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) |
| |||||||||||
U.S. Treasury – (continued) | ||||||||||||
United States Treasury Strip Coupon, 7.88%, May 2023 | $ | 33,170,000 | $ | 27,542,013 | 0.36 | % | ||||||
U.S. Treasury Note/Bond, | 220,849,000 | 248,203,821 | 3.22 | % | ||||||||
U.S. Treasury Strip Coupon, 3.50%, | 401,465,000 | 305,294,416 | 3.96 | % | ||||||||
Other Securities (3) | 30,903,684 | 18,929,395 | 0.25 | % | ||||||||
Total U.S. Treasury | 1,575,407,799 | 20.44 | % | |||||||||
Other Government Related | ||||||||||||
Federal Home Loan Banks, 0.50%, | 18,390,000 | 18,341,248 | 0.24 | % | ||||||||
Residual Funding Corp Principal Strip, 3.88%, Jul. 2020 | 24,949,000 | 22,159,827 | 0.29 | % | ||||||||
Other Securities (2) | 196,735,000 | 204,659,895 | 2.65 | % | ||||||||
Total Other Government Related | 245,160,970 | 3.18 | % | |||||||||
Total Government Related | $ | 1,820,568,769 | 23.62 | % | ||||||||
Mortgage-Backed Obligations | ||||||||||||
Banc of America Commercial Mortgage Trust, | $ | 15,385,176 | $ | 15,885,071 | 0.21 | % | ||||||
Fannie Mae, 2.50%, Feb. 2028 (4) | 16,500,000 | 16,766,837 | 0.22 | % | ||||||||
Fannie Mae, 3.00%, Jan. 2026 (4) | 33,500,000 | 34,820,372 | 0.45 | % | ||||||||
Fannie Mae, 3.00%, May 2043 | 20,022,442 | 20,284,825 | 0.26 | % | ||||||||
Fannie Mae, 3.00%, Aug. 2043 | 16,472,179 | 16,690,306 | 0.22 | % | ||||||||
Fannie Mae, 3.48%, Jan. 2024 | 16,000,000 | 16,992,128 | 0.22 | % | ||||||||
Fannie Mae, 3.50%, Jan. 2041 (4) | 19,500,000 | 20,327,229 | 0.26 | % | ||||||||
Fannie Mae, 3.50%, Feb. 2041 | 20,345,969 | 21,245,763 | 0.28 | % | ||||||||
Fannie Mae, 3.50%, Feb. 2042 (4) | 17,024,832 | 17,706,007 | 0.23 | % | ||||||||
Fannie Mae, 3.50%, Nov. 2042 | 19,325,364 | 20,169,181 | 0.26 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report Ÿ December 31, 2014 | 13 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)(Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Mortgage-Backed Obligations – (continued) |
| |||||||||||
Fannie Mae, 3.50%, Jul. 2043 | $ | 17,540,287 | $ | 18,319,242 | 0.24 | % | ||||||
Fannie Mae, 4.00%, Jan. 2041 (4) | 39,839,400 | 42,541,901 | 0.55 | % | ||||||||
Fannie Mae, 4.50%, Dec. 2040 | 19,230,804 | 20,908,388 | 0.27 | % | ||||||||
Fannie Mae, 5.00%, Jul. 2035 | 15,112,923 | 16,735,882 | 0.22 | % | ||||||||
Freddie Mac, 3.00%, Jun. 2043 | 19,654,701 | 19,885,289 | 0.26 | % | ||||||||
Freddie Mac, 3.50%, Jul. 2042 | 21,758,843 | 22,658,164 | 0.29 | % | ||||||||
Ginnie Mae, 3.50%, Jan. 2043 (4) | 20,500,000 | 21,518,594 | 0.28 | % | ||||||||
Ginnie Mae, 4.50%, Jun. 2041 | 18,555,431 | 20,341,696 | 0.26 | % | ||||||||
Ginnie Mae, 4.50%, Nov. 2043 | 14,998,505 | 16,409,345 | 0.21 | % | ||||||||
Fannie Mae, 0.19%–1184.78%, | 178,437,418 | 157,324,259 | 2.04 | % | ||||||||
Fannie Mae, 0.50%–12.50%, | 713,875,575 | 754,615,562 | 9.79 | % | ||||||||
Freddie Mac, 0.46%–1181.25%, | 126,062,507 | 111,261,913 | 1.44 | % | ||||||||
Freddie Mac, 2.50%–10.00%, | 268,089,121 | 285,166,938 | 3.70 | % | ||||||||
Ginnie Mae, 0.36%–38.73%, | 220,219,938 | 186,762,533 | 2.42 | % | ||||||||
Ginnie Mae, 3.00%–8.50%, | 112,118,907 | 119,850,027 | 1.56 | % | ||||||||
Other Securities (1)(2)(6) | 1,828,208,172 | 982,735,179 | 12.76 | % | ||||||||
Total Mortgage-Backed Obligations | $ | 2,997,922,631 | 38.90 | % | ||||||||
Total Bonds & Notes | $ | 7,455,853,635 | 96.77 | % |
The accompanying notes are an integral part of these financial statements.
14 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)(Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Fund, 0.01% (7) | 251,041,278 | $ | 251,041,278 | 3.26 | % | |||||||
Goldman Sachs Financial Square Fund, 0.01% (7) | 251,041,278 | 251,041,278 | 3.26 | % | ||||||||
Total Short-Term Investments | $ | 502,082,556 | 6.52 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 7,957,936,191 | 103.29 | % | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (253,340,884 | ) | -3.29 | % | |||||||
TOTAL NET ASSETS |
| $ | 7,704,595,307 | 100.00 | % |
(1) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $10,476,519, which represents 0.14% 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 $866,920,341, which represents 11.25% 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 $68,598,931, which represents 0.89% of total net assets. |
(4) | Includes delayed delivery securities. The value of these securities totals $213,842,006, which represents 2.78% 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 issue pledged totals $1,244,085, which represents 0.02% of total net assets. |
(6) | Includes securities in default. The value of these securities totals $6,226,166, which represents 0.08% 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.
Semiannual Report Ÿ December 31, 2014 | 15 |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
December 31, 2014 (Unaudited)(Continued)
Open Futures Contracts
Number of | Description | Settlement | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||
99 | U.S. 5 Year Note Future | Mar 2015 | $ | 11,767,775 | $ | 11,774,039 | $ | 6,264 | ||||||||
222 | U.S. Ultra Bond Future | Mar 2015 | 36,207,375 | 36,671,625 | 464,250 | |||||||||||
(229) | U.S. 10 Year Note Future | Mar 2015 | (29,049,382 | ) | (29,036,484 | ) | 12,898 | |||||||||
(180) | U.S. Long Bond Future | Mar 2015 | (25,894,139 | ) | (26,021,250 | ) | (127,111 | ) | ||||||||
955 | U.S. 2 Year Note Future | Mar 2015 | 208,652,248 | 208,757,032 | 104,784 | |||||||||||
|
| |||||||||||||||
$ | 461,085 | |||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
16 | Semiannual Report Ÿ December 31, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Statement of Assets and Liabilities
December 31, 2014 (Unaudited)
Bridge Builder Bond Fund | ||||
Assets: | ||||
Investments, at value | $ | 7,957,936,191 | ||
Cash | 179,927 | |||
Receivable for investments sold | 162,832,594 | |||
Receivable for fund shares sold | 21,833,560 | |||
Interest receivable | 40,299,458 | |||
Variation margin on futures contracts | 85,354 | |||
Prepaid expenses | 1,161,912 | |||
Total Assets | $ | 8,184,328,996 | ||
Liabilities: | ||||
Payable for investments purchased | $ | 472,373,758 | ||
Payable for fund shares redeemed | 5,986,956 | |||
Payable to Adviser | 762,996 | |||
Payable to Trustees | 52,273 | |||
Accrued expenses and other liabilities | 557,706 | |||
Total Liabilities | $ | 479,733,689 | ||
Net Assets | $ | 7,704,595,307 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 7,538,882,957 | ||
Undistributed net investment income/ (loss) | (10,133,045 | ) | ||
Accumulated net realized gain/ (loss) | 5,595,680 | |||
Net unrealized appreciation/ (depreciation) on investments | 169,788,630 | |||
Net unrealized appreciation/ (depreciation) on futures contracts | 461,085 | |||
Net Assets | $ | 7,704,595,307 | ||
Shares of beneficial interest outstanding | 754,515,969 | |||
Net Assets | $ | 7,704,595,307 | ||
Net asset value price per share | $ | 10.21 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report Ÿ December 31, 2014 | 17 |
Table of Contents
Bridge Builder Mutual Funds
Period Ended December 31, 2014 (Unaudited)
Bridge Builder Bond Fund | ||||
Investment Income: | ||||
Interest | $ | 86,903,838 | ||
Other Income | 5,863 | |||
Total Investment Income | $ | 86,909,701 | ||
Expenses: | ||||
Investment advisory fee | 11,877,351 | |||
Professional fees | 198,324 | |||
Administration fee | 526,973 | |||
Fund accounting fees | 521,770 | |||
Transfer agent fees and expenses | 16,884 | |||
Trustee fees and expenses | 141,711 | |||
Printing and mailing expense | 156,764 | |||
Custody fees | 117,628 | |||
Insurance expense | 68,590 | |||
Registration fees | 257,734 | |||
Other expenses | 97,435 | |||
Total expenses before fee waivers | 13,981,164 | |||
Fee waivers by Adviser | (7,506,141 | ) | ||
Net expenses | 6,475,023 | |||
Net Investment Income | $ | 80,434,678 | ||
Realized and Unrealized Gain/(Loss): | ||||
Net realized gain/(loss) on investments | 13,022,939 | |||
Net realized gain/(loss) on futures contracts | 325,558 | |||
Net change in unrealized appreciation/(depreciation) on investments | 48,361,623 | |||
Net realized and unrealized gain/(loss) on investments | 61,710,120 | |||
Net Increase in Net Assets Resulting from Operations | $ | 142,144,798 |
The accompanying notes are an integral part of these financial statements.
18 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Statement of Changes in Net Assets
Period Ended (Unaudited) | From October 28, 2013 (Inception Date) to June 30, 2014 | |||||||
Operations: | ||||||||
Net investment income | $ | 80,434,678 | $ | 80,876,478 | ||||
Net realized gain/(loss) on investments | 13,348,497 | 307,101 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 48,361,623 | 121,888,092 | ||||||
Net increase in net assets resulting from operations | 142,144,798 | 203,071,671 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Net investment income | (90,627,476 | ) | (88,893,387 | ) | ||||
Total dividends and distributions | (90,627,476 | ) | (88,893,387 | ) | ||||
Fund Share Transactions: | ||||||||
Proceeds from shares sold | $ | 880,796,414 | $ | 7,098,256,908 | ||||
Shares issued to holders in reinvestment of dividends | 91,509,649 | 88,893,387 | ||||||
Cost of shares redeemed | (323,966,690 | ) | (296,589,967 | ) | ||||
Net increase in net assets from capital share transactions | 648,339,373 | 6,890,560,328 | ||||||
Total increase in net assets | 699,856,695 | 7,004,738,612 | ||||||
Net Assets: | ||||||||
Beginning of period | $ | 7,004,738,612 | — | |||||
End of period* | 7,704,595,307 | $ | 7,004,738,612 | |||||
* Including undistributed net investment income/(loss) of: | (10,133,045 | ) | 59,753 | |||||
Change in Shares Outstanding: | ||||||||
Shares sold | 86,703,159 | 711,450,249 | ||||||
Shares issued to holders in reinvestment of dividends | 8,993,516 | 8,859,252 | ||||||
Shares redeemed | (31,847,225 | ) | (29,642,982 | ) | ||||
Net increase | 63,849,450 | 690,666,519 |
Semiannual Report Ÿ December 31, 2014 | 19 |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Bridge Builder Mutual Funds
Bridge Builder Bond Fund
Period Ended December 31, 2014 (Unaudited) | From October 28, 2013 (Inception Date) to June 30, 2014 | |||||||
Per share operating performance (for a share outstanding throughout the period) | ||||||||
Net asset value, beginning of period | $ | 10.14 | $ | 10.00 | ||||
Income (Loss) from Operations: | ||||||||
Net investment income | 0.11 | 0.14 | ||||||
Net realized and unrealized gain | 0.08 | 0.15 | ||||||
Total income from operations | 0.19 | 0.29 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | (0.12 | ) | (0.15 | ) | ||||
Change in net asset value for the period | 0.07 | 0.14 | ||||||
Net asset value, end of period | $ | 10.21 | $ | 10.14 | ||||
Total return | 1.93 | %(2) | 2.91 | %(1)(2) | ||||
Ratios / Supplemental Data | ||||||||
Net assets, end of period (millions) | $ | 7,705 | $ | 7,005 | ||||
Ratio of Net Expenses to Average Net Assets: | ||||||||
Before fee waivers | 0.38 | %(3) | 0.40 | %(3) | ||||
After fee waivers | 0.17 | %(3) | 0.20 | %(3) | ||||
Ratio of Net Investment Income to Average Net Assets: | ||||||||
Before fee waivers | 1.96 | %(3) | 1.79 | %(3) | ||||
After fee waivers | 2.17 | %(3) | 1.99 | %(3) | ||||
Portfolio turnover rate | 52 | %(2) | 262 | %(2)(4) |
(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. |
20 | Semiannual Report Ÿ December 31, 2014 |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)
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”). As of December 31, 2014, 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.
Semiannual Report Ÿ December 31, 2014 | 21 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(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
22 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(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.
Short-term securities with 60 days or less 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
Semiannual Report Ÿ December 31, 2014 | 23 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(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 December 31, 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 |
24 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(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 Financial Accounting Standards Board (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. |
Semiannual Report Ÿ December 31, 2014 | 25 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
Bridge Builder Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset-Backed Obligations | $ | — | $ | 436,991,001 | $ | 121,048,953 | $ | 558,039,954 | ||||||||
Corporate Bonds | — | 2,059,755,747 | 19,566,534 | 2,079,322,281 | ||||||||||||
Government Related | — | 1,819,524,668 | 1,044,101 | 1,820,568,769 | ||||||||||||
Mortgage-Backed Obligations | — | 2,931,420,416 | 66,502,215 | 2,997,922,631 | ||||||||||||
Short-Term Investments | 502,082,556 | — | — | 502,082,556 | ||||||||||||
Total Investments in Securities | $ | 502,082,556 | $ | 7,247,691,832 | $ | 208,161,803 | $ | 7,957,936,191 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | 461,085 | $ | — | $ | — | $ | 461,085 | ||||||||
Total Investments in Other Financial Instruments | $ | 461,085 | $ | — | $ | — | $ | 461,085 |
(1) | Includes cumulative appreciation/depreciation on futures contracts as reported in the Summary Schedule of Investments. |
Below are the transfers between Levels 2 and Levels 3 during the reporting period from June 30, 2014 to December 31, 2014. Transfers between levels are identified at the end of the reporting period.
Bridge Builder Bond Fund | ||||
Transfers into Level 2 | $ | 28,333,749 | ||
Transfers out of Level 2 | 68,469,212 | |||
|
| |||
Net transfers out of Level 2 | $ | 40,135,463 | ||
|
| |||
Transfers into Level 3 | $ | 68,469,212 | ||
Transfers out of Level 3 | 28,333,749 | |||
|
| |||
Net transfers into Level 3 | $ | 40,135,463 | ||
|
|
26 | Semiannual Report Ÿ December 31, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
Below is a reconciliation that details the activity of securities in Level 3 during the period ended December 31, 2014:
Bridge Builder Bond Fund | ||||
Beginning Balance – June 30, 2014 | $ | 132,261,070 | ||
Purchases | 76,067,495 | |||
Sales proceeds and paydowns | (39,534,612 | ) | ||
Transfers into Level 3 | 68,469,212 | |||
Transfer out of Level 3 | (28,333,749 | ) | ||
Realized gains/(losses), net | 118,572 | |||
Change in unrealized gains/(losses), net | (886,185 | ) | ||
|
| |||
Ending Balance – December 31, 2014 | $ | 208,161,803 | ||
|
|
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 December 31, 2014 totals $(886,185).
The following table presents information about unobservable inputs related to the Fund's categories of Level 3 investments as of December 31, 2014:
Type of Security | Fair Value at 12/31/2014 | Valuation Techniques | Unobservable Inputs | Range | ||||||
Asset-Backed Obligations | $ | 121,048,953 | Consensus pricing | Third party & broker quoted inputs | N/A | |||||
Corporate Bonds | 19,566,534 | Consensus pricing | Third party & broker quoted inputs | N/A | ||||||
Government Related | 1,044,101 | Consensus pricing | Third party & broker quoted inputs | N/A | ||||||
Mortgage-Backed Obligations | 66,502,215 | 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
Semiannual Report Ÿ December 31, 2014 | 27 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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.
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
28 | Semiannual Report Ÿ December 31, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 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 December 31, 2014, the Fund held $213,842,006 in delayed delivery purchase commitments that represent 2.78% 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.
Semiannual Report Ÿ December 31, 2014 | 29 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 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 December 31, 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 $198,478,102 and sold futures of $68,355,623 during the period ended December 31, 2014. See the Summary Schedule of Investments
30 | Semiannual Report Ÿ December 31, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
for the Fund’s open futures contracts as of December 31, 2014. The following table summarizes the fair values of derivative instruments on the Statement of Assets and Liabilities, categorized by risk exposure as of December 31, 2014.
Statement of Assets and Liabilities — Values of Derivative Instruments as of December 31, 2014
Asset Derivatives | Liability Derivatives | |||||||||||
Balance Sheet Location | Value | Balance Sheet Location | Value | |||||||||
Interest Rate Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | 575,298 | Net unrealized depreciation on futures contracts | $ | 114,213 | ||||||
Total | $ | 575,298 | $ | 114,213 |
* | Includes unrealized appreciation/(depreciation) as reported on the Summary Schedule of Investments but is exclusive of the daily variation margin payable to the broker. |
The following table presents the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended December 31, 2014.
Amount of Realized Gain/(Loss) on Derivatives Recognized in Income
Futures Contracts | ||||
Interest Rate Risk | $ | 325,558 | ||
Total | $ | 325,558 |
Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
Futures Contracts | ||||
Interest Rate Risk | $ | 497,297 | ||
Total | $ | 497,297 |
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
Semiannual Report Ÿ December 31, 2014 | 31 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 December 31, 2014:
Assets: | Gross | Gross | Net | Gross Amounts not offset in the statement of financial position | ||||||||||||||||||||
Financial Instruments | Collateral (Pledged)/ Received | Net Amount | ||||||||||||||||||||||
Description | ||||||||||||||||||||||||
Futures Contracts | $ | 575,298 | $ | (114,213 | ) | $ | 461,085 | — | $ | 461,085 | — | |||||||||||||
Liabilities: | Gross | Gross | Net | Gross Amounts not offset in the statement of financial position | ||||||||||||||||||||
Financial Instruments | Collateral (Pledged)/ Received | Net Amount | ||||||||||||||||||||||
Description | ||||||||||||||||||||||||
Futures Contracts | $ | 114,213 | $ | (114,213 | ) | — | — | — | — |
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
32 | Semiannual Report Ÿ December 31, 2014 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 may have the right to include these securities in such registration, generally without cost to the Fund. The Fund generally has no right to require registration of the unregistered securities it holds. All restricted securities held at December 31, 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 December 31, 2014, the Fund held restricted securities with an aggregate value of $866,920,341, which accounted for 11.25% of the Fund’s net assets. The Fund’s Sub-advisers have determined $6,616,207 of these securities to be illiquid and $860,304,134 to be liquid pursuant to the Fund’s illiquid and restricted securities guidelines.
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
Semiannual Report Ÿ December 31, 2014 | 33 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 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.
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.
34 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 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
Semiannual Report Ÿ December 31, 2014 | 35 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
paid to the Adviser exceed the management fees the Adviser is required to pay the Fund’s Sub-advisers. During the period ended December 31, 2014, the Adviser waived $7,506,141 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 28, 2015, 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 December 31, 2014, the Fund did not exceed the Expense Cap and no expense reimbursements are currently subject to recoupment in subsequent periods.
36 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
4. INVESTMENT TRANSACTIONS
For the period ended December 31, 2014, purchases and sales of investment securities, other than short-term investments, were as follows:
Bridge Builder Bond Fund | ||||
Purchases: | ||||
U.S. Government | $ | 4,304,679,498 | ||
Other | $ | 721,655,145 | ||
Sales: | ||||
U.S. Government | $ | 3,515,472,862 | ||
Other | $ | 149,715,715 |
5. 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.
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 | ||
|
|
Semiannual Report Ÿ December 31, 2014 | 37 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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 and the six month period ended December 31, 2014 were as follows:
2014 | July 1, 2014 – December 31, 2014 | |||||||
Distributions paid from: | ||||||||
Net Ordinary Income (3) | $ | 88,893,387 | $ | 90,627,476 | ||||
Net Long-Term Capital Gains | — | — | ||||||
Return of Capital | — | — | ||||||
|
|
|
| |||||
Total Distributions Paid | $ | 88,893,387 | $ | 90,627,476 | ||||
|
|
|
|
(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. |
6. 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”) of the Fund. The Trustees who are “interested persons” (the “Non-Independent Trustees”) of the Trust do not receive any Trustee fees.
38 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
7. 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.
8. 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.
9. 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.
a) 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,
Semiannual Report Ÿ December 31, 2014 | 39 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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).
b) 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.
c) 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 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
40 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)(Continued)
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.
d) 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.
e) 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.
f) 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.
Semiannual Report Ÿ December 31, 2014 | 41 |
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Bridge Builder Mutual Funds
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) |
42 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
General 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(1) (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) |
(1) | Robert M. Slotky retired December 31, 2014. Alan J. Herzog will fulfil the role of Chief Compliance Officer effective January 1, 2015. |
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.
Semiannual Report Ÿ December 31, 2014 | 43 |
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Bridge Builder Mutual Funds
General Information (Continued)
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 semiannual 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.
44 | Semiannual Report Ÿ December 31, 2014 |
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Bridge Builder Mutual Funds
Privacy Policy
FACTS | What Does the Bridge Builder Trust (“Bridge Builder”) Do with Your Personal Information? | |||
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. | |||
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: | |||
* Social Security number | * Investment experience | |||
* Account transactions | * Risk tolerance | |||
* Transaction history | * Account transactions | |||
When you are no longer our customer, we continue to share your information as described in this notice. | ||||
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Bridge Builder chooses to share; and whether you can limit this sharing. |
REASONS WE CAN SHARE YOUR PERSONAL INFORMATION | DOES BRIDGE BUILDER SHARE? | CAN YOU LIMIT THIS SHARING? | ||
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes – to offer our products and services to you | No | We don’t share | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes – information about your transactions and experiences | Yes | No | ||
For our affiliates’ everyday business purposes – information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? Call 855-823-3611 or go to www.bridgebuildermutualfunds.com |
Semiannual Report Ÿ December 31, 2014 | 45 |
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Bridge Builder Mutual Funds
Privacy Policy
WHO WE ARE | ||
Who is providing this notice? | Bridge Builder Trust |
WHAT WE DO | ||
How does Bridge Builder protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How does Bridge Builder collect my personal information? | We collect your personal information, for example, when you deposit money with us, if you ever were to give us your contact information, open an account with us, provide us account information or make a wire transfer. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only:
* Sharing for affiliates’ everyday business purposes – information about your creditworthiness * Affiliates from using your information to market to you * Sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
DEFINITIONS | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
* Olive Street Investment Advisers, LLC (“Olive Street”), our investment adviser, may be deemed to be affiliated with us. Olive Street is a wholly owned subsidiary of The Jones Financial Companies, L.L.L.P. (“JFC”), and is affiliated with other subsidiaries of JFC, including Edward D. Jones & Co., L.P., and Edward Jones Trust Company. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
* Bridge Builder does not share with non-affiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
* Bridge Builder does not currently engage in joint marketing efforts. |
46 | Semiannual Report Ÿ December 31, 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
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Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
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
December 31, 2014 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES - 96.77% | ||||||||
Asset Backed Obligations - 7.25% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
4.93%, 06/25/2035 | $ | 910,030 | $ | 919,532 | ||||
ABFC 2006-OPT1 Trust | ||||||||
0.32%, 09/25/2036 | 6,836,902 | 5,897,690 | ||||||
Academic Loan Funding Trust 2012-1 | ||||||||
0.97%, 12/27/2022 (Acquired 10/28/2013, Cost $1,604,542) (b) | 1,596,044 | 1,605,251 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
0.97%, 12/26/2044 (Acquired 11/15/2013, Cost $1,743,110) (b) | 1,756,206 | 1,750,617 | ||||||
Ally Auto Receivables Trust 2011-5 | ||||||||
1.32%, 07/15/2016 | 1,829,384 | 1,831,672 | ||||||
Ally Auto Receivables Trust 2012-1 | ||||||||
1.21%, 07/15/2016 | 229,000 | 229,361 | ||||||
Ally Auto Receivables Trust 2012-2 | ||||||||
0.74%, 04/15/2016 | 152,810 | 152,849 | ||||||
Ally Auto Receivables Trust 2012-3 | ||||||||
0.85%, 08/15/2016 | 296,356 | 296,644 | ||||||
Ally Auto Receivables Trust 2014-SN2 | ||||||||
1.03%, 09/20/2017 | 991,000 | 988,666 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
1.64%, 11/15/2016 (Acquired 10/28/2013, Cost $128,483) (b) | 128,551 | 128,608 | ||||||
2.28%, 09/17/2018 (Acquired 10/28/2013, Cost $331,499) (b) | 332,000 | 332,753 | ||||||
American Credit Acceptance Receivables Trust 2012-2 | ||||||||
2.75%, 02/15/2018 (Acquired 10/28/2013, Cost $125,906) (b) | 125,410 | 125,520 | ||||||
American Credit Acceptance Receivables Trust 2013-1 | ||||||||
1.45%, 04/16/2018 (Acquired 10/28/2013, Cost $343,096) (b) | 343,413 | 343,708 | ||||||
American Credit Acceptance Receivables Trust 2014-1 | ||||||||
1.14%, 03/12/2018 (Acquired 01/07/2014, Cost $366,058) (b) | 366,076 | 366,175 | ||||||
American Credit Acceptance Receivables Trust 2014-2 | ||||||||
0.99%, 10/10/2017 (Acquired 04/15/2014, Cost $2,811,536) (b) | 2,811,652 | 2,809,459 | ||||||
2.26%, 03/10/2020 (Acquired 04/15/2014, Cost $1,033,902) (b) | 1,034,000 | 1,033,001 | ||||||
American Credit Acceptance Receivables Trust 2014-4 | ||||||||
1.33%, 07/10/2018 (Acquired 11/19/2014, Cost $1,177,919) (b) | 1,178,000 | 1,177,668 | ||||||
American Express Credit Account Master Trust 2013-1 | ||||||||
0.86%, 02/16/2021 | 5,000,000 | 5,028,610 | ||||||
American Homes 4 Rent 2014-SFR2 | ||||||||
4.29%, 10/17/2036 (Acquired 09/18/2014, Cost $300,501) (b) | 300,000 | 306,628 | ||||||
AmeriCredit Automobile Receivables Trust 2012-2 | ||||||||
1.05%, 10/11/2016 | 1,542 | 1,543 | ||||||
AmeriCredit Automobile Receivables Trust 2012-3 | ||||||||
0.96%, 01/09/2017 | 96,502 | 96,540 | ||||||
AmeriCredit Automobile Receivables Trust 2012-5 | ||||||||
0.62%, 06/08/2017 | 184,314 | 184,344 | ||||||
AmeriCredit Automobile Receivables Trust 2013-1 | ||||||||
0.61%, 10/10/2017 | 108,750 | 108,767 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
0.90%, 09/10/2018 | 393,220 | 393,087 |
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Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-13 | ||||||||
5.09%, 01/25/2034 | 10,603 | 10,540 | ||||||
Anchorage Capital CLO 2013-1 Ltd | ||||||||
1.42%, 07/13/2025 (Acquired 11/25/2013, Cost $14,336,875) (b) | 14,500,000 | 14,258,575 | ||||||
Argent Securities Inc | ||||||||
1.30%, 03/25/2034 | 3,570,651 | 3,378,193 | ||||||
Argent Securities Inc Asset Back Pass Thr Certs Ser 2004-W5 | ||||||||
1.20%, 04/25/2034 | 3,667,317 | 3,474,713 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
0.51%, 11/25/2035 | 7,102,800 | 6,823,362 | ||||||
Ascentium Equipment Receivables 2012-1 LLC | ||||||||
1.83%, 09/15/2019 (Acquired 10/28/2013, Cost $92,385) (b) | 92,468 | 92,466 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2002-HE3 | ||||||||
2.49%, 10/15/2032 | 951,313 | 940,151 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6 | ||||||||
0.85%, 11/25/2033 | 1,862,969 | 1,760,079 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6 | ||||||||
0.89%, 09/25/2034 | 7,326,197 | 7,243,425 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
0.33%, 03/25/2036 | 5,519,523 | 5,174,238 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
0.94%, 04/25/2034 | 877,046 | 863,906 | ||||||
Atlas Senior Loan Fund IV Ltd | ||||||||
1.73%, 02/17/2026 (Acquired 12/13/2013, Cost $14,956,813) (b) | 15,000,000 | 14,869,500 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
1.92%, 09/20/2019 (Acquired 12/17/2014, Cost $4,872,527) (b) | 4,900,000 | 4,848,903 | ||||||
2.46%, 07/20/2020 (Acquired 02/05/2014 through 06/27/2014, Cost $10,310,126) (b) | 10,300,000 | 10,332,125 | ||||||
AXIS Equipment Finance Receivables II LLC | ||||||||
1.75%, 03/20/2017 (Acquired 11/13/2013, Cost $966,514) (b) | 966,557 | 966,285 | ||||||
Bank of America Auto Trust 2012-1 | ||||||||
0.78%, 06/15/2016 | 89,003 | 89,015 | ||||||
Battalion CLO IV Ltd | ||||||||
1.63%, 10/22/2025 | 8,000,000 | 7,922,952 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A | ||||||||
5.48%, 02/28/2041 | 38,435 | 39,348 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2047 | 268,602 | 221,507 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | ||||||||
1.01%, 08/25/2034 | 7,536,175 | 6,948,353 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | ||||||||
1.06%, 08/25/2034 | 924,542 | 868,005 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
1.67%, 03/25/2043 | 6,024,661 | 5,894,968 | ||||||
Bear Stearns Asset Backed Securities Trust 2006-SD1 | ||||||||
0.54%, 04/25/2036 | 79,431 | 76,008 | ||||||
BMW Vehicle Lease Trust 2013-1 | ||||||||
0.54%, 09/21/2015 | 169,478 | 169,506 | ||||||
BMW Vehicle Owner Trust 2014-A | ||||||||
0.53%, 04/25/2017 | 1,098,000 | 1,097,982 | ||||||
0.97%, 11/26/2018 | 680,000 | 679,263 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027 (Acquired 10/28/2013, Cost $663,439) (b) | 670,361 | 666,170 |
Table of Contents
Cabela’s Master Credit Card Trust | ||||||||
1.63%, 02/18/2020 (Acquired 10/28/2013, Cost $790,481) (b) | 784,000 | 788,039 | ||||||
California Republic Auto Receivables Trust 2012-1 | ||||||||
1.18%, 08/15/2017 (Acquired 12/03/2014, Cost $1,286,459) (b) | 1,285,925 | 1,288,566 | ||||||
Capital Auto Receivables Asset Trust / Ally | ||||||||
0.62%, 07/20/2016 | 449,689 | 449,754 | ||||||
Capital Auto Receivables Asset Trust 2013-4 | ||||||||
1.09%, 03/20/2018 | 957,000 | 956,909 | ||||||
Carfinance Capital Auto Trust 2013-1 | ||||||||
1.65%, 07/17/2017 (Acquired 10/28/2013, Cost $295,417) (b) | 294,915 | 295,236 | ||||||
2.75%, 11/15/2018 (Acquired 10/28/2013, Cost $170,015) (b) | 172,000 | 174,067 | ||||||
Carfinance Capital Auto Trust 2013-2 | ||||||||
1.75%, 11/15/2017 (Acquired 10/28/2013, Cost $139,060) (b) | 139,065 | 139,445 | ||||||
CarFinance Capital Auto Trust 2014-1 | ||||||||
1.46%, 12/17/2018 (Acquired 03/17/2014, Cost $1,272,674) (b) | 1,272,826 | 1,274,563 | ||||||
2.72%, 04/15/2020 (Acquired 03/17/2014, Cost $374,901) (b) | 375,000 | 378,250 | ||||||
CarFinance Capital Auto Trust 2014-2 | ||||||||
1.44%, 11/16/2020 (Acquired 07/29/2014, Cost $3,505,914) (b) | 3,506,167 | 3,503,253 | ||||||
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 | 5,033,063 | ||||||
Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd | ||||||||
2.13%, 10/15/2021 (Acquired 05/22/2014, Cost $2,686,667) (a) (b) | 2,686,667 | 2,674,846 | ||||||
CarMax Auto Owner Trust 2011-1 | ||||||||
2.16%, 09/15/2016 | 420,565 | 421,671 | ||||||
CarMax Auto Owner Trust 2013-1 | ||||||||
0.60%, 10/16/2017 | 165,921 | 165,838 | ||||||
CarMax Auto Owner Trust 2013-4 | ||||||||
0.80%, 07/16/2018 | 308,000 | 307,646 | ||||||
1.28%, 05/15/2019 | 275,000 | 273,325 | ||||||
CarMax Auto Owner Trust 2014-2 | ||||||||
0.98%, 01/15/2019 | 2,105,000 | 2,098,607 | ||||||
Carnow Auto Receivables Trust 2013-1 | ||||||||
1.16%, 10/16/2017 (Acquired 10/28/2013, Cost $11,862) (b) | 11,868 | 11,868 | ||||||
1.97%, 11/15/2017 (Acquired 10/28/2013, Cost $451,105) (b) | 451,000 | 450,855 | ||||||
Carnow Auto Receivables Trust 2014-1 | ||||||||
0.96%, 01/17/2017 (Acquired 09/17/2014, Cost $2,144,779) (b) | 2,144,851 | 2,142,488 | ||||||
1.89%, 11/15/2018 (Acquired 09/17/2014, Cost $999,930) (b) | 1,000,000 | 997,167 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
0.35%, 02/25/2036 | 1,808,581 | 1,752,869 | ||||||
Catamaran CLO 2014-1 Ltd | ||||||||
1.78%, 04/20/2026 | 5,500,000 | 5,446,864 | ||||||
2.03%, 04/20/2026 | 4,500,000 | 4,271,117 | ||||||
Catamaran CLO 2014-2 Ltd | ||||||||
1.78%, 10/18/2026 (Acquired 12/17/2014, Cost $989,800) (b) | 1,000,000 | 990,635 | ||||||
Chase Funding Trust Series 2003-4 | ||||||||
5.42%, 05/25/2033 | 279,552 | 289,254 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
4.28%, 11/25/2034 | 733,087 | 742,413 | ||||||
5.28%, 11/25/2034 | 430,562 | 442,069 | ||||||
Chase Issuance Trust | ||||||||
0.62%, 04/15/2019 | 16,700,000 | 16,602,238 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.53%, 10/25/2035 | 7,259,827 | 7,175,722 | ||||||
CNH Equipment Trust 2011-A | ||||||||
2.04%, 10/17/2016 | 271,199 | 271,355 |
Table of Contents
CNH Equipment Trust 2012-A | ||||||||
0.94%, 05/15/2017 | 139,255 | 139,284 | ||||||
Concord Funding Co LLC | ||||||||
2.42%, 02/15/2015 | 1,445,000 | 1,454,031 | ||||||
3.15%, 01/15/2017 (Acquired 10/28/2013, Cost $3,096,000) (b) | 3,096,000 | 3,126,651 | ||||||
Conseco Financial Corp | ||||||||
6.40%, 10/15/2018 | 7,647 | 7,831 | ||||||
7.05%, 01/15/2019 | 3,858 | 3,963 | ||||||
6.86%, 03/15/2028 | 109 | 109 | ||||||
6.24%, 12/01/2028 | 79,751 | 82,296 | ||||||
7.07%, 01/15/2029 | 1,006 | 1,023 | ||||||
6.18%, 04/01/2030 | 47,854 | 49,077 | ||||||
Conseco Financial Corp | ||||||||
6.22%, 03/01/2030 | 172,375 | 182,407 | ||||||
Contimortgage Home Equity Loan Trust 1997-2 | ||||||||
7.09%, 04/15/2028 | 2 | 2 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
4.58%, 01/25/2033 | 114,794 | 115,544 | ||||||
5.41%, 01/25/2034 | 48,346 | 48,681 | ||||||
0.92%, 03/25/2034 | 110,940 | 105,798 | ||||||
0.99%, 03/25/2034 | 13,279 | 12,254 | ||||||
0.73%, 04/25/2034 | 1,112 | 1,037 | ||||||
1.07%, 10/25/2034 | 109,963 | 106,758 | ||||||
0.95%, 11/25/2034 | 1,426,084 | 1,414,534 | ||||||
5.12%, 02/25/2035 | 133,891 | 136,512 | ||||||
4.61%, 04/25/2035 | 283,714 | 285,384 | ||||||
5.03%, 07/25/2035 | 319,042 | 324,786 | ||||||
4.78%, 02/25/2036 | 1,078,233 | 1,095,111 | ||||||
4.83%, 02/25/2036 | 1,324,056 | 1,310,510 | ||||||
0.41%, 04/25/2036 | 2,809,330 | 2,781,163 | ||||||
5.00%, 04/25/2036 | 361,218 | 304,591 | ||||||
4.98%, 05/25/2036 | 34,195 | 42,608 | ||||||
4.98%, 05/25/2036 | 99,762 | 115,152 | ||||||
4.93%, 09/25/2046 | 155,395 | 119,009 | ||||||
CPS Auto Receivables Trust 2011-B | ||||||||
3.68%, 09/17/2018 (Acquired 10/28/2013, Cost $101,171) (b) | 99,959 | 101,453 | ||||||
CPS Auto Receivables Trust 2011-C | ||||||||
4.21%, 03/15/2019 (Acquired 10/28/2013, Cost $379,545) (b) | 374,238 | 381,229 | ||||||
CPS Auto Receivables Trust 2012-A | ||||||||
2.78%, 06/17/2019 (Acquired 10/28/2013, Cost $206,082) (b) | 204,164 | 206,709 | ||||||
CPS Auto Receivables Trust 2012-B | ||||||||
2.52%, 09/16/2019 (Acquired 10/28/2013, Cost $963,990) (b) | 956,387 | 961,895 | ||||||
CPS Auto Receivables Trust 2013-A | ||||||||
1.31%, 06/15/2020 (Acquired 10/28/2013, Cost $670,316) (b) | 672,303 | 669,004 | ||||||
CPS Auto Receivables Trust 2013-C | ||||||||
1.64%, 04/16/2018 (Acquired 10/28/2013, Cost $676,760) (b) | 678,076 | 678,681 | ||||||
CPS Auto Receivables Trust 2013-D | ||||||||
1.54%, 07/16/2018 (Acquired 12/10/2013, Cost $1,978,657) (b) | 1,978,838 | 1,980,554 | ||||||
CPS Auto Receivables Trust 2014-A | ||||||||
1.21%, 08/15/2018 (Acquired 03/10/2014, Cost $1,378,977) (b) | 1,379,113 | 1,375,450 | ||||||
CPS Auto Receivables Trust 2014-B | ||||||||
1.11%, 11/15/2018 | 2,910,990 | 2,897,218 | ||||||
CPS Auto Receivables Trust 2014-C | ||||||||
1.31%, 02/15/2019 (Acquired 09/09/2014, Cost $3,570,383) (b) | 3,570,445 | 3,559,123 | ||||||
3.77%, 08/17/2020 (Acquired 09/09/2014, Cost $557,938) (b) | 558,000 | 557,520 |
Table of Contents
CPS Auto Receivables Trust 2014-D | ||||||||
1.49%, 04/15/2019 (Acquired 12/10/2014, Cost $3,499,902) (b) | 3,500,000 | 3,491,320 | ||||||
4.35%, 11/16/2020 (Acquired 12/10/2014, Cost $524,940) (b) | 525,000 | 523,780 | ||||||
CPS Auto Trust | ||||||||
1.82%, 12/16/2019 (Acquired 10/28/2013, Cost $699,198) (b) | 696,986 | 700,891 | ||||||
1.48%, 03/16/2020 (Acquired 10/28/2013, Cost $388,331) (b) | 388,074 | 388,117 | ||||||
Credit Acceptance Auto Loan Trust 2012-1 | ||||||||
2.20%, 09/16/2019 (Acquired 10/28/2013, Cost $62,275) (b) | 62,139 | 62,263 | ||||||
Credit Acceptance Auto Loan Trust 2012-2 | ||||||||
1.52%, 03/16/2020 (Acquired 10/28/2013, Cost $1,103,237) (b) | 1,100,732 | 1,103,027 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
4.18%, 12/25/2035 | 34,296 | 33,992 | ||||||
CSMC Trust 2006-CF1 | ||||||||
0.48%, 11/25/2035 (Acquired 10/28/2013, Cost $11,455) (b) | 11,588 | 11,538 | ||||||
CWHEQ Home Equity Loan Trust Series 2007-S1 | ||||||||
5.69%, 11/25/2036 | 79,960 | 76,973 | ||||||
DT Auto Owner Trust | ||||||||
0.98%, 04/16/2018 (Acquired 12/03/2014, Cost $2,734,846) (b) | 2,735,000 | 2,724,334 | ||||||
Exeter Automobile Receivables Trust 2012-2 | ||||||||
1.30%, 06/15/2017 (Acquired 10/28/2013, Cost $138,528) (b) | 138,585 | 138,707 | ||||||
Exeter Automobile Receivables Trust 2013-1 | ||||||||
1.29%, 10/16/2017 (Acquired 10/28/2013, Cost $1,927,469) (b) | 1,924,882 | 1,928,297 | ||||||
Exeter Automobile Receivables Trust 2013-2 | ||||||||
1.49%, 11/15/2017 (Acquired 10/28/2013, Cost $796,368) (b) | 795,115 | 796,083 | ||||||
Exeter Automobile Receivables Trust 2014-1 | ||||||||
1.29%, 05/15/2018 (Acquired 01/29/2014, Cost $2,260,288) (b) | 2,259,728 | 2,261,558 | ||||||
Exeter Automobile Receivables Trust 2014-2 | ||||||||
1.06%, 08/15/2018 (Acquired 05/20/2014, Cost $3,154,951) (b) | 3,158,354 | 3,153,351 | ||||||
3.26%, 12/16/2019 (Acquired 05/20/2014, Cost $334,935) (b) | 335,000 | 327,780 | ||||||
Exeter Automobile Receivables Trust 2014-3 | ||||||||
1.32%, 01/15/2019 (Acquired 10/09/2014, Cost $3,278,562) (b) | 3,278,772 | 3,278,201 | ||||||
2.77%, 11/15/2019 (Acquired 10/09/2014, Cost $666,895) (b) | 667,000 | 665,363 | ||||||
Fifth Third Auto Trust 2014-3 | ||||||||
0.57%, 05/15/2017 | 960,000 | 959,109 | ||||||
0.96%, 03/15/2019 | 413,000 | 411,312 | ||||||
First Investors Auto Owner Trust 2012-2 | ||||||||
1.47%, 05/15/2018 (Acquired 10/28/2013, Cost $302,834) (b) | 302,108 | 302,685 | ||||||
First Investors Auto Owner Trust 2013-1 | ||||||||
0.90%, 10/15/2018 (Acquired 10/28/2013, Cost $890,960) (b) | 891,515 | 891,345 | ||||||
First Investors Auto Owner Trust 2013-3 | ||||||||
0.89%, 09/15/2017 (Acquired 10/21/2014 through 10/22/2014, Cost $982,320) (b) | 981,986 | 982,069 | ||||||
First Investors Auto Owner Trust 2014-3 | ||||||||
1.06%, 11/15/2018 (Acquired 11/07/2014, Cost $676,995) (b) | 677,000 | 676,423 | ||||||
1.67%, 11/16/2020 (Acquired 11/07/2014, Cost $275,992) (b) | 276,000 | 275,173 | ||||||
Flagship Credit Auto Trust 2013-1 | ||||||||
1.32%, 04/16/2018 (Acquired 10/28/2013, Cost $551,286) (b) | 552,138 | 552,594 | ||||||
Flagship Credit Auto Trust 2013-2 | ||||||||
1.94%, 01/15/2019 (Acquired 10/28/2013, Cost $687,701) (b) | 687,697 | 692,092 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/08/2014, Cost $1,815,278) (b) | 1,815,414 | 1,810,801 | ||||||
2.55%, 02/18/2020 (Acquired 04/08/2014, Cost $279,936) (b) | 280,000 | 279,437 | ||||||
Flagship Credit Auto Trust 2014-2 | ||||||||
1.43%, 12/16/2019 (Acquired 10/09/2014, Cost $2,370,520) (b) | 2,370,790 | 2,367,819 | ||||||
2.84%, 11/16/2020 (Acquired 10/09/2014, Cost $891,885) (b) | 892,000 | 890,422 | ||||||
3.95%, 12/15/2020 (Acquired 10/09/2014, Cost $439,899) (b) | 440,000 | 440,277 |
Table of Contents
Ford Credit Auto Lease Trust 2014-A | ||||||||
0.50%, 10/15/2016 | 1,152,204 | 1,151,495 | ||||||
Ford Credit Auto Lease Trust 2014-B | ||||||||
0.89%, 09/15/2017 | 1,391,000 | 1,388,982 | ||||||
1.10%, 11/15/2017 | 550,000 | 550,996 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 890,000 | 889,320 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
0.61%, 08/15/2017 | 1,200,000 | 1,198,279 | ||||||
1.06%, 05/15/2019 | 1,040,000 | 1,036,997 | ||||||
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 | 4,926,156 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
0.54%, 01/15/2018 | 1,150,000 | 1,150,423 | ||||||
Freedom Trust 2011-2 | ||||||||
4.59%, 08/01/2046 (Acquired 10/28/2013 through 06/25/2014, Cost $504,445) (b) | 493,343 | 502,935 | ||||||
Fremont Home Loan Trust 2004-2 | ||||||||
1.02%, 07/25/2034 | 1,229,294 | 1,104,915 | ||||||
FRT 2013-1 Trust | ||||||||
4.21%, 10/25/2018 (a) | 42,835 | 42,810 | ||||||
3.96%, 10/25/2033 (a) | 82,438 | 82,500 | ||||||
5.00%, 10/25/2033 (a) | 1,000,000 | 981,300 | ||||||
Galaxy XVIII CLO Ltd | ||||||||
1.70%, 10/15/2026 | 2,250,000 | 2,230,650 | ||||||
GCAT | ||||||||
3.23%, 07/25/2019 (Acquired 07/24/2014, Cost $2,766,578) (b) | 2,766,578 | 2,775,404 | ||||||
GE Capital Mortgage Services Inc 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 308 | 311 | ||||||
6.71%, 04/25/2029 | 63,512 | 62,661 | ||||||
GE Equipment Midticket LLC | ||||||||
0.60%, 05/23/2016 | 524,362 | 524,298 | ||||||
0.78%, 09/22/2020 | 433,000 | 433,582 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 11 | 11 | ||||||
GLC II Trust 2013-1 | ||||||||
4.00%, 12/18/2020 | 4,500,000 | 4,491,450 | ||||||
GLC Trust 2013-1 | ||||||||
3.00%, 07/15/2021 | 3,702,910 | 3,694,393 | ||||||
GM Financial Automobile Leasing Trust 2014-1 | ||||||||
0.61%, 07/20/2016 (Acquired 04/03/2014, Cost $2,773,334) (b) | 2,773,630 | 2,771,231 | ||||||
GMAT 2013-1 Trust | ||||||||
3.97%, 11/25/2043 (Acquired 11/6/2013, Cost $1,526,461) (b) | 1,525,305 | 1,526,068 | ||||||
GMAT 2014-1 Trust | ||||||||
3.72%, 02/25/2044 (Acquired 02/05/2014, Cost $569,588) (b) | 569,588 | 569,790 | ||||||
Gold Key Resorts 2014-A LLC | ||||||||
3.22%, 03/17/2031 (Acquired 12/01/2014, Cost $1,725,686) (b) | 1,726,049 | 1,726,234 | ||||||
GSAA Trust | ||||||||
0.44%, 06/25/2035 | 1,812,245 | 1,759,529 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2 | ||||||||
1.15%, 05/16/2044 (Acquired 10/28/2013, Cost $6,400,569) (b) | 6,407,000 | 6,400,593 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T3 | ||||||||
2.39%, 05/15/2046 (Acquired 04/09/2014, Cost $392,000) (b) | 400,000 | 396,800 | ||||||
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 | 2,260,627 | ||||||
HLSS Servicer Advance Receivables Trust | ||||||||
1.24%, 01/17/2045 (Acquired 01/14/2014 through 02/13/2014, Cost $5,980,559) (b) | 5,977,000 | 5,977,000 |
Table of Contents
1.99%, 10/15/2045 (Acquired 10/28/2013, Cost $1,259,641) (b) | 1,255,000 | 1,260,045 | ||||||
1.50%, 01/16/2046 (Acquired 10/28/2013, Cost $1,470,441) (b) | 1,482,000 | 1,480,815 | ||||||
2.22%, 01/15/2047 (Acquired 01/14/2014, Cost $1,661,998) (b) | 1,662,000 | 1,659,839 | ||||||
2.29%, 01/15/2048 (Acquired 01/16/2013, Cost $4,196,377) (b) | 4,250,000 | 4,147,575 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
0.37%, 03/25/2036 | 95,013 | 78,741 | ||||||
Honda Auto Receivables 2012-1 Owner Trust | ||||||||
0.97%, 04/16/2018 | 349,000 | 349,561 | ||||||
Honda Auto Receivables 2014-1 Owner Trust | ||||||||
0.41%, 09/21/2016 | 4,605,135 | 4,603,275 | ||||||
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
0.77%, 03/19/2018 | 930,000 | 927,948 | ||||||
HSBC Home Equity Loan Trust USA 2006-2 | ||||||||
0.32%, 03/20/2036 | 106,656 | 105,821 | ||||||
HSBC Home Equity Loan Trust USA 2006-4 | ||||||||
0.45%, 03/20/2036 | 6,300,000 | 5,947,603 | ||||||
HSBC Home Equity Loan Trust USA 2007-1 | ||||||||
0.37%, 03/20/2036 | 44,401 | 44,010 | ||||||
HSBC Home Equity Loan Trust USA 2007-3 | ||||||||
1.37%, 11/20/2036 | 595,986 | 595,298 | ||||||
Huntington Auto Trust 2011-1 | ||||||||
1.31%, 11/15/2016 (Acquired 10/28/2013, Cost $688,829) (b) | 686,690 | 688,226 | ||||||
Huntington Auto Trust 2012-1 | ||||||||
0.81%, 09/15/2016 | 130,783 | 130,870 | ||||||
Hyundai Auto Receivables Trust 2010-B | ||||||||
1.63%, 03/15/2017 | 194,921 | 195,380 | ||||||
Hyundai Auto Receivables Trust 2011-B | ||||||||
1.65%, 02/15/2017 | 76,269 | 76,332 | ||||||
Hyundai Auto Receivables Trust 2014-B | ||||||||
0.90%, 12/17/2018 | 2,104,000 | 2,098,342 | ||||||
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 665 | 664 | ||||||
ING IM CLO 2013-3 Ltd | ||||||||
1.68%, 01/18/2026 (Acquired 11/26/2013, Cost $7,400,000) (b) | 7,400,000 | 7,332,660 | ||||||
2.03%, 01/18/2026 (Acquired 11/26/2013, Cost $8,853,210) (b) | 9,000,000 | 8,700,300 | ||||||
John Deere Owner Trust 2012-B | ||||||||
0.69%, 01/15/2019 | 675,000 | 674,515 | ||||||
John Deere Owner Trust 2014-A | ||||||||
0.45%, 09/15/2016 | 2,958,938 | 2,959,290 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CH1 | ||||||||
0.29%, 07/25/2036 | 6,146,343 | 5,911,780 | ||||||
JP Morgan Mortgage Acquisition Trust 2007-CH1 | ||||||||
0.29%, 11/25/2036 | 242,034 | 241,018 | ||||||
Kgs-alpha Sba Coof Tr 2012-2 Classa 20380825 Flt | ||||||||
0.86%, 08/25/2038 (Acquired 02/19/2014, Cost $632,461) (b) | 14,662,869 | 547,567 | ||||||
KVK CLO 2014-1 Ltd | ||||||||
1.82%, 05/15/2026 | 7,800,000 | 7,761,070 | ||||||
3.67%, 05/15/2026 | 2,000,000 | 2,014,294 | ||||||
KVK CLO 2014-2 Ltd | ||||||||
1.78%, 07/15/2026 | 4,250,000 | 4,230,025 | ||||||
Lake Country Mortgage Loan Trust 2006-HE1 | ||||||||
0.52%, 07/25/2034 (Acquired 10/28/2013, Cost $146,454) (b) | 147,999 | 147,475 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
0.92%, 02/25/2034 | 2,253,000 | 2,141,229 |
Table of Contents
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.02%, 07/25/2034 | 114,990 | 110,813 | ||||||
Long Beach Mortgage Loan Trust 2006-WL2 | ||||||||
0.37%, 01/25/2036 | 96,150 | 93,284 | ||||||
Madison Avenue Manufactured Housing Contract Trust 2002-A | ||||||||
2.42%, 03/25/2032 | 307,793 | 307,720 | ||||||
Magnetite IX Ltd | ||||||||
1.70%, 07/25/2026 (Acquired 08/18/2014, Cost $2,248,852) (b) | 2,250,000 | 2,230,875 | ||||||
Magnetite VIII Ltd | ||||||||
1.71%, 04/15/2026 | 5,750,000 | 5,719,525 | ||||||
Magnetite XI Ltd | ||||||||
1.68%, 01/18/2027 (Acquired 12/04/2014, Cost $1,491,454) (b) | 1,500,000 | 1,499,516 | ||||||
Mastr Asset Backed Securities Trust 2005-HE1 | ||||||||
0.89%, 05/25/2035 | 2,000,000 | 1,939,222 | ||||||
Mid-State Capital Corp 2006-1 Trust | ||||||||
6.08%, 10/15/2040 (Acquired 10/28/2013, Cost $1,073,918) (b) | 1,082,579 | 1,115,160 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045 (Acquired 10/28/2013, Cost $566,095) (b) | 550,947 | 566,440 | ||||||
5.25%, 12/15/2045 (Acquired 10/28/2013, Cost $1,026,383) (b) | 991,409 | 1,027,288 | ||||||
MMCA Auto Owner Trust 2012-A | ||||||||
1.57%, 08/15/2017 (Acquired 10/28/2013, Cost $1,326,296) (b) | 1,323,150 | 1,329,394 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2004-OP1 | ||||||||
1.04%, 11/25/2034 | 1,737,448 | 1,559,665 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2006-NC3 | ||||||||
0.34%, 03/25/2036 | 2,428,687 | 2,412,937 | ||||||
Nationstar Agency Advance Funding Trust 2013-T1A | ||||||||
1.00%, 02/15/2045 (Acquired 10/28/2013, Cost $2,399,239) (b) | 2,406,000 | 2,405,134 | ||||||
1.25%, 02/15/2045 (Acquired 10/28/2013, Cost $453,929) (b) | 456,000 | 455,877 | ||||||
Nationstar Agency Advance Funding Trust 2013-T2A | ||||||||
1.89%, 02/18/2048 (Acquired 10/28/2013, Cost $372,245) (b) | 381,000 | 372,690 | ||||||
Nationstar Home Equity Loan Trust 2006-B | ||||||||
0.34%, 09/25/2036 | 4,047,292 | 4,038,943 | ||||||
Navitas Equipment Receivables LLC 2013-1 | ||||||||
1.95%, 11/15/2016 (Acquired 10/31/2013, Cost $476,623) (b) | 476,630 | 476,900 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.50%, 11/25/2033 | 382,238 | 392,944 | ||||||
Nissan Auto Receivables 2012-A Owner Trust | ||||||||
1.00%, 07/16/2018 | 344,000 | 345,035 | ||||||
Nissan Auto Receivables 2014-A Owner Trust | ||||||||
0.42%, 11/15/2016 | 2,059,605 | 2,058,132 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 400,000 | 399,008 | ||||||
Normandy Mortgage Loan Co 2013-NPL3 LLC | ||||||||
4.95%, 09/16/2043 (Acquired 10/28/2013, Cost $1,422,259) (b) | 1,422,259 | 1,420,125 | ||||||
OAK Hill Advisors Residential Loan Trust 2014-NPL2 | ||||||||
3.48%, 04/25/2054 (Acquired 11/05/2014, Cost $4,547,959) (b) | 4,547,959 | 4,547,736 | ||||||
4.00%, 04/25/2054 (Acquired 11/05/2014, Cost $994,476) (b) | 1,028,000 | 995,352 | ||||||
Oakwood Mortgage Investors Inc | ||||||||
6.45%, 11/15/2017 | 4,786 | 4,906 | ||||||
OnDeck Asset Securitization Trust 2014-1 LLC | ||||||||
3.15%, 05/17/2018 (Acquired 04/30/2014, Cost $2,341,519) (b) | 2,342,000 | 2,335,567 | ||||||
OneMain Financial Issuance Trust 2014-1 | ||||||||
2.43%, 06/18/2024 (Acquired 04/09/2014, Cost $3,390,314) (b) | 3,390,000 | 3,389,932 | ||||||
3.24%, 06/18/2024 (Acquired 04/09/2014, Cost $401,931) (b) | 402,000 | 405,779 | ||||||
OneMain Financial Issuance Trust 2014-2 | ||||||||
2.47%, 09/18/2024 (Acquired 07/23/2014, Cost $5,051,236) (b) | 5,049,000 | 5,068,792 | ||||||
3.02%, 09/18/2024 (Acquired 07/23/2014, Cost $1,863,998) (b) | 1,864,000 | 1,865,156 |
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Option One Mortgage Loan Trust | ||||||||
1.01%, 02/25/2033 | 19,496 | 18,135 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.07%, 11/25/2034 | 1,691,802 | 1,564,140 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW | ||||||||
1.11%, 10/25/2034 | 843,310 | 840,189 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
0.73%, 01/25/2036 | 4,800,000 | 4,493,880 | ||||||
PFS Tax Lien Trust 2014-1 | ||||||||
1.44%, 05/15/2029 (Acquired 04/29/2014, Cost $707,130) (b) | 707,165 | 707,537 | ||||||
Progreso Receivables Funding I LLC | ||||||||
4.00%, 07/09/2018 (Acquired 04/25/2014, Cost $1,504,761) (b) | 1,500,000 | 1,510,200 | ||||||
Progreso Receivables Funding II LLC | ||||||||
3.50%, 07/08/2019 | 3,500,000 | 3,488,450 | ||||||
RAAC Series 2004-SP1 Trust | ||||||||
5.29%, 08/25/2027 | 10,053 | 10,215 | ||||||
RAMP Series 2003-RS7 Trust | ||||||||
5.34%, 08/25/2033 | 44,927 | 45,061 | ||||||
RAMP Series 2004-RS11 Trust | ||||||||
1.10%, 11/25/2034 | 338,844 | 334,367 | ||||||
RAMP Series 2005-EFC5 Trust | ||||||||
0.51%, 10/25/2035 | 60,737 | 60,596 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 01/25/2035 | 62,104 | 62,844 | ||||||
RAMP Series 2006-RZ1 Trust | ||||||||
0.47%, 03/25/2036 | 1,746,246 | 1,702,995 | ||||||
RASC Series 2002-KS4 Trust | ||||||||
0.67%, 07/25/2032 | 5,520 | 4,644 | ||||||
RASC Series 2003-KS2 Trust | ||||||||
3.99%, 04/25/2033 | 64,653 | 64,587 | ||||||
RASC Series 2003-KS5 Trust | ||||||||
0.75%, 07/25/2033 | 6,968 | 6,105 | ||||||
3.62%, 07/25/2033 | 3,756 | 3,647 | ||||||
RASC Series 2003-KS9 Trust | ||||||||
0.80%, 11/25/2033 | 8,045 | 6,770 | ||||||
RASC Series 2004-KS2 Trust | ||||||||
4.30%, 03/25/2034 | 7,457 | 7,538 | ||||||
RASC Series 2005-KS6 Trust | ||||||||
0.79%, 07/25/2035 | 1,550,000 | 1,446,457 | ||||||
RBSHD 2013-1 Trust | ||||||||
4.69%, 10/25/2047 (Acquired 02/20/2014, Cost $1,662,317) (a) (b) | 1,652,793 | 1,657,566 | ||||||
Real Estate Asset Trust 2013-1 | ||||||||
3.23%, 05/25/2052 (a) | 1,371,612 | 1,375,041 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037 | 313,365 | 167,836 | ||||||
Renaissance Home Equity Loan Trust 2005-3 | ||||||||
4.81%, 11/25/2035 | 246,758 | 249,933 | ||||||
Santander Drive Auto Receivables Trust 2012-5 | ||||||||
0.83%, 12/15/2016 | 6,972 | 6,973 | ||||||
Saxon Asset Securities Trust 2003-1 | ||||||||
4.80%, 06/25/2033 | 229,565 | 232,016 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-EC1 | ||||||||
0.78%, 01/25/2035 | 492,859 | 467,446 |
Table of Contents
Securitized Asset Backed Receivables LLC Trust 2005-OP2 | ||||||||
0.49%, 10/25/2035 (Acquired 03/13/2014, Cost $1,936,159) (b) | 1,960,047 | 1,937,504 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.50%, 01/25/2036 | 85,491 | 65,880 | ||||||
Selene Non-Performing Loans LLC | ||||||||
2.98%, 05/25/2054 (Acquired 05/23/2014, Cost $1,208,678) (b) | 1,208,678 | 1,198,067 | ||||||
SNAAC Auto Receivables Trust 2013-1 | ||||||||
1.14%, 07/16/2018 (Acquired 10/28/2013, Cost $65,657) (b) | 65,708 | 65,767 | ||||||
SNAAC Auto Receivables Trust 2014-1 | ||||||||
1.03%, 09/17/2018 (Acquired 04/01/2014, Cost $1,186,837) (b) | 1,186,872 | 1,186,501 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
0.84%, 10/25/2035 | 455,591 | 443,233 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1 | ||||||||
0.47%, 12/25/2036 | 2,225,000 | 2,155,184 | ||||||
Springcastle Amer Fd 2014-a | ||||||||
2.70%, 05/25/2023 (Acquired 09/18/2014, Cost $9,078,303) (b) | 9,078,899 | 9,064,436 | ||||||
4.61%, 10/25/2027 (Acquired 09/18/2014, Cost $1,749,624) (b) | 1,750,000 | 1,763,717 | ||||||
Springleaf Funding Trust 2013-A | ||||||||
2.58%, 09/15/2021 (Acquired 10/28/2013, Cost $8,317,478) (b) | 8,347,000 | 8,371,031 | ||||||
Springleaf Funding Trust 2013-B | ||||||||
3.92%, 01/16/2023 (Acquired 10/28/2013, Cost $509,550) (b) | 516,000 | 521,470 | ||||||
4.82%, 01/16/2023 (Acquired 10/28/2013 through 12/20/2013, Cost $1,121,564) (b) | 1,140,000 | 1,150,830 | ||||||
Springleaf Funding Trust 2014-A | ||||||||
2.41%, 12/15/2022 (Acquired 03/19/2014, Cost $6,531,924) (b) | 6,533,000 | 6,527,591 | ||||||
3.45%, 12/15/2022 (Acquired 03/19/2014, Cost $582,820) (b) | 583,000 | 583,287 | ||||||
Stanwich Mortgage Loan Trust | ||||||||
2.98%, 02/16/2043 (Acquired 10/28/2013, Cost $720,857) (b) | 714,511 | 710,938 | ||||||
Structured Asset Investment Loan Trust 2004-4 | ||||||||
0.97%, 04/25/2034 | 720,327 | 664,998 | ||||||
Structured Asset Sec Corp Pass Through Cert Series 2002-al1 | ||||||||
3.45%, 02/25/2032 | 77,346 | 76,960 | ||||||
3.45%, 02/25/2032 | 196,052 | 193,652 | ||||||
Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035 | 39,369 | 41,471 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-6XS | ||||||||
5.53%, 03/25/2034 | 301,281 | 312,629 | ||||||
5.55%, 03/25/2034 | 240,947 | 250,434 | ||||||
Sunset Mortgage Loan Co 2014-NPL2 LLC | ||||||||
3.72%, 11/16/2044 (Acquired 11/25/2014, Cost $5,400,031) (b) | 5,400,031 | 5,400,031 | ||||||
THL Credit Wind River 2014-3 CLO Ltd | ||||||||
1.86%, 01/22/2027 | 5,750,000 | 5,727,000 | ||||||
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 | 1,896,672 | ||||||
1.85%, 12/15/2018 (Acquired 06/06/2014, Cost $2,384,719) (b) | 2,385,000 | 2,380,845 | ||||||
Toyota Auto Receivables 2014-A Owner Trust | ||||||||
0.41%, 08/15/2016 | 2,166,715 | 2,166,923 | ||||||
Toyota Auto Receivables 2014-C Owner Trust | ||||||||
0.51%, 02/15/2017 | 1,067,000 | 1,067,167 | ||||||
0.93%, 07/16/2018 | 691,000 | 690,856 | ||||||
Trafigura Securitisation Finance PLC | ||||||||
2.56%, 10/15/2015 (Acquired 10/28/2013, Cost $2,570,722) (b) | 2,569,000 | 2,579,610 | ||||||
1.11%, 10/15/2021 (Acquired 10/23/2014, Cost $3,719,000) (b) | 3,719,000 | 3,704,496 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL1 | ||||||||
3.23%, 07/25/2053 (Acquired 08/19/2014, Cost $3,180,006) (b) | 3,184,079 | 3,179,943 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL2 | ||||||||
3.13%, 06/25/2054 (Acquired 09/09/2014, Cost $3,142,680) (b) | 3,145,967 | 3,142,110 | ||||||
4.00%, 06/25/2054 (Acquired 09/09/2014, Cost $858,469) (b) | 877,000 | 858,045 |
Table of Contents
Truman Capital Mortgage Loan Trust 2014-NPL3 | ||||||||
3.13%, 04/25/2053 (Acquired 09/09/2014, Cost $2,899,881) (b) | 2,903,282 | 2,899,635 | ||||||
United Auto Credit Securitization Trust 2013-1 | ||||||||
1.74%, 04/15/2016 (Acquired 10/06/2014 through 10/27/2014, Cost $1,956,468) (b) | 1,953,731 | 1,955,882 | ||||||
USAA Auto Owner Trust 2014-1 | ||||||||
0.38%, 10/17/2016 (Acquired 02/25/2014, Cost $1,130,974) (b) | 1,131,018 | 1,130,750 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
3.13%, 09/25/2043 (Acquired 09/19/2014, Cost $5,009,450) (b) | 5,015,446 | 5,008,114 | ||||||
4.25%, 09/25/2043 (Acquired 09/19/2014, Cost $1,379,292) (b) | 1,406,000 | 1,376,453 | ||||||
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC | ||||||||
3.13%, 04/27/2054 (Acquired 06/20/2014, Cost $6,641,169) (b) | 6,650,703 | 6,611,996 | ||||||
VOLT NPL X LLC | ||||||||
3.38%, 10/25/2054 (Acquired 11/13/2014, Cost $1,830,550) (b) | 1,832,798 | 1,828,955 | ||||||
VOLT XIX LLC | ||||||||
3.88%, 04/26/2055 (Acquired 12/15/2014, Cost $4,540,282) (b) | 4,545,000 | 4,522,275 | ||||||
VOLT XV LLC | ||||||||
3.25%, 05/26/2054 (Acquired 05/19/2014, Cost $1,559,613) (b) | 1,559,613 | 1,555,134 | ||||||
VOLT XVI LLC | ||||||||
3.23%, 09/25/2058 (Acquired 08/19/2014, Cost $5,229,440) (b) | 5,237,223 | 5,229,314 | ||||||
4.00%, 09/25/2058 (Acquired 10/15/2014, Cost $735,578) (b) | 748,680 | 735,834 | ||||||
VOLT XXII LLC | ||||||||
3.63%, 10/27/2053 (Acquired 02/20/2014, Cost $2,036,448) (b) | 2,036,448 | 2,037,877 | ||||||
VOLT XXIII LLC | ||||||||
3.63%, 11/25/2053 (Acquired 02/20/2014, Cost $2,061,398) (b) | 2,061,398 | 2,068,971 | ||||||
4.75%, 11/25/2053 | 597,525 | 598,293 | ||||||
VOLT XXIV LLC | ||||||||
3.25%, 11/25/2053 (Acquired 03/14/2014, Cost $4,608,787) (b) | 4,608,787 | 4,613,142 | ||||||
VOLT XXVII LLC | ||||||||
3.13%, 08/27/2057 (Acquired 10/24/2014, Cost $5,510,804) (b) | 5,517,789 | 5,510,086 | ||||||
Westgate Resorts 2012-1 LLC | ||||||||
4.50%, 09/20/2025 (Acquired 10/28/2013, Cost $449,451) (b) | 443,590 | 444,961 | ||||||
Westgate Resorts 2012-2 LLC | ||||||||
3.00%, 01/20/2025 (Acquired 10/28/2013, Cost $694,567) (b) | 693,271 | 697,916 | ||||||
Westgate Resorts LLC | ||||||||
2.50%, 03/20/2025 (Acquired 10/28/2013, Cost $487,888) (b) | 488,385 | 490,467 | ||||||
|
| |||||||
Total Asset Backed Obligations (Cost $557,897,454) | $ | 558,039,954 | ||||||
|
| |||||||
Corporate Bonds - 27.00% | ||||||||
Basic Materials - 1.27% | ||||||||
Agrium Inc | ||||||||
3.15%, 10/01/2022 | $ | 875,000 | $ | 854,148 | ||||
6.13%, 01/15/2041 | 2,850,000 | 3,381,277 | ||||||
5.25%, 01/15/2045 | 712,000 | 769,042 | ||||||
Anglo American Capital PLC | ||||||||
9.38%, 04/08/2019 (Acquired 10/28/2013, Cost $260,366) (b) | 215,000 | 267,770 | ||||||
BHP Billiton Finance USA Ltd | ||||||||
1.00%, 02/24/2015 | 194,000 | 194,106 | ||||||
5.40%, 03/29/2017 | 165,000 | 179,666 | ||||||
6.50%, 04/01/2019 | 284,000 | 333,803 | ||||||
3.85%, 09/30/2023 | 646,000 | 680,073 | ||||||
5.00%, 09/30/2043 | 3,530,000 | 4,001,329 | ||||||
CF Industries Inc | ||||||||
7.13%, 05/01/2020 | 900,000 | 1,072,228 |
Table of Contents
Dow Chemical Co/The | ||||||||
8.55%, 05/15/2019 | 96,000 | 119,351 | ||||||
4.25%, 11/15/2020 | 499,000 | 533,496 | ||||||
4.13%, 11/15/2021 | 441,000 | 465,964 | ||||||
3.00%, 11/15/2022 | 448,000 | 437,724 | ||||||
7.38%, 11/01/2029 | 339,000 | 451,283 | ||||||
5.25%, 11/15/2041 | 199,000 | 214,625 | ||||||
4.38%, 11/15/2042 | 1,570,000 | 1,520,620 | ||||||
Eastman Chemical Co | ||||||||
4.50%, 01/15/2021 | 5,175,000 | 5,522,294 | ||||||
Ecolab Inc | ||||||||
1.45%, 12/08/2017 | 5,928,000 | 5,874,873 | ||||||
5.50%, 12/08/2041 | 103,000 | 123,984 | ||||||
EI du Pont de Nemours & Co | ||||||||
1.95%, 01/15/2016 | 382,000 | 386,944 | ||||||
6.00%, 07/15/2018 | 516,000 | 587,643 | ||||||
5.60%, 12/15/2036 | 155,000 | 188,541 | ||||||
4.90%, 01/15/2041 | 222,000 | 243,269 | ||||||
Freeport-McMoRan Inc | ||||||||
2.15%, 03/01/2017 | 1,001,000 | 1,002,648 | ||||||
3.55%, 03/01/2022 | 5,025,000 | 4,749,183 | ||||||
3.88%, 03/15/2023 | 723,000 | 681,670 | ||||||
5.45%, 03/15/2043 | 269,000 | 254,359 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020 (Acquired 11/22/2013, Cost $3,515,743) (b) | 3,160,000 | 3,555,752 | ||||||
3.73%, 07/15/2023 (Acquired 12/10/2013, Cost $5,251,902) (b) | 5,380,000 | 5,502,433 | ||||||
Glencore Finance Canada Ltd | ||||||||
5.80%, 11/15/2016 (Acquired 10/28/2013 through 11/26/2013, Cost $200,222) (b) | 188,000 | 201,111 | ||||||
3.60%, 01/15/2017 (Acquired 02/06/2014, Cost $6,230,758) (b) | 6,016,000 | 6,203,537 | ||||||
4.25%, 10/25/2022 (Acquired 11/20/2013, Cost $4,816,793) (b) | 5,000,000 | 4,975,495 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019 (Acquired 10/28/2013, Cost $521,325) (b) | 537,000 | 528,770 | ||||||
4.13%, 05/30/2023 (Acquired 12/02/2013, Cost $51,712) (b) | 54,000 | 52,691 | ||||||
4.63%, 04/29/2024 (Acquired 04/22/2014, Cost $1,029,005) (b) | 1,000,000 | 1,004,800 | ||||||
Goldcorp Inc | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,812,912 | ||||||
International Paper Co | ||||||||
6.00%, 11/15/2041 | 3,150,000 | 3,687,800 | ||||||
Lubrizol Corp | ||||||||
8.88%, 02/01/2019 | 1,205,000 | 1,504,408 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 825,851 | ||||||
4.88%, 03/15/2044 | 1,500,000 | 1,543,147 | ||||||
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/2019 | 3,690,000 | 4,024,919 | ||||||
MeadWestvaco Corp | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,899,122 | ||||||
Monsanto Co | ||||||||
2.75%, 07/15/2021 | 622,000 | 620,012 | ||||||
3.38%, 07/15/2024 | 500,000 | 508,035 | ||||||
4.20%, 07/15/2034 | 665,000 | 692,930 | ||||||
4.40%, 07/15/2044 | 605,000 | 627,713 | ||||||
4.70%, 07/15/2064 | 121,000 | 126,872 | ||||||
Mosaic Co/The | ||||||||
3.75%, 11/15/2021 | 1,227,000 | 1,277,063 | ||||||
4.25%, 11/15/2023 | 746,000 | 787,175 |
Table of Contents
5.45%, 11/15/2033 | 814,000 | 920,965 | ||||||
4.88%, 11/15/2041 | 52,000 | 53,413 | ||||||
5.63%, 11/15/2043 | 2,650,000 | 3,036,940 | ||||||
Nucor Corp | ||||||||
4.00%, 08/01/2023 | 176,000 | 184,329 | ||||||
Placer Dome Inc | ||||||||
6.45%, 10/15/2035 | 203,000 | 224,127 | ||||||
Plum Creek Timberlands LP | ||||||||
5.88%, 11/15/2015 | 468,000 | 486,172 | ||||||
Potash Corp of Saskatchewan Inc | ||||||||
3.25%, 12/01/2017 | 31,000 | 32,336 | ||||||
6.50%, 05/15/2019 | 392,000 | 457,518 | ||||||
PPG Industries Inc | ||||||||
6.65%, 03/15/2018 | 112,000 | 128,073 | ||||||
9.00%, 05/01/2021 | 217,000 | 290,060 | ||||||
5.50%, 11/15/2040 | 118,000 | 142,566 | ||||||
Praxair Inc | ||||||||
4.63%, 03/30/2015 | 196,000 | 197,980 | ||||||
5.20%, 03/15/2017 | 50,000 | 54,354 | ||||||
Rio Tinto Alcan Inc | ||||||||
5.75%, 06/01/2035 | 54,000 | 62,194 | ||||||
Rio Tinto Finance USA Ltd | ||||||||
9.00%, 05/01/2019 | 797,000 | 1,008,334 | ||||||
3.50%, 11/02/2020 | 132,000 | 136,959 | ||||||
3.75%, 09/20/2021 | 388,000 | 398,787 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.63%, 08/21/2017 | 461,000 | 460,810 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023 (Acquired 10/28/2013, Cost $537,616) (b) | 537,000 | 512,835 | ||||||
Teck Resources Ltd | ||||||||
4.75%, 01/15/2022 | 1,259,000 | 1,227,161 | ||||||
3.75%, 02/01/2023 | 453,000 | 406,020 | ||||||
Union Carbide Corp | ||||||||
7.50%, 06/01/2025 | 624,000 | 807,678 | ||||||
7.75%, 10/01/2096 | 681,000 | 900,016 | ||||||
Vale Overseas Ltd | ||||||||
4.38%, 01/11/2022 | 5,000,000 | 4,792,550 | ||||||
8.25%, 01/17/2034 | 424,000 | 507,418 | ||||||
6.88%, 11/21/2036 | 167,000 | 176,050 | ||||||
6.88%, 11/10/2039 | 107,000 | 113,961 | ||||||
Westvaco Corp | ||||||||
9.75%, 06/15/2020 | 17,000 | 21,794 | ||||||
8.20%, 01/15/2030 | 537,000 | 710,538 | ||||||
|
| |||||||
97,506,399 | ||||||||
|
| |||||||
Communications - 2.47% | ||||||||
21st Century Fox America Inc | ||||||||
8.00%, 10/17/2016 | 114,000 | 127,301 | ||||||
7.25%, 05/18/2018 | 203,000 | 237,653 | ||||||
3.00%, 09/15/2022 | 380,000 | 377,436 | ||||||
8.88%, 04/26/2023 | 108,000 | 145,488 | ||||||
9.50%, 07/15/2024 | 175,000 | 242,277 | ||||||
7.30%, 04/30/2028 | 454,000 | 583,240 | ||||||
7.63%, 11/30/2028 | 310,000 | 411,046 | ||||||
6.20%, 12/15/2034 | 258,000 | 329,439 | ||||||
6.65%, 11/15/2037 | 310,000 | 413,931 |
Table of Contents
6.90%, 08/15/2039 | 155,000 | 210,131 | ||||||
6.15%, 02/15/2041 | 3,790,000 | 4,823,343 | ||||||
Amazon.com Inc | ||||||||
3.30%, 12/05/2021 | 1,086,000 | 1,100,869 | ||||||
4.80%, 12/05/2034 | 854,000 | 896,476 | ||||||
America Movil SAB de CV | ||||||||
2.38%, 09/08/2016 | 441,000 | 447,051 | ||||||
5.00%, 10/16/2019 | 3,500,000 | 3,863,685 | ||||||
5.00%, 03/30/2020 | 7,300,000 | 8,050,002 | ||||||
3.13%, 07/16/2022 | 374,000 | 369,003 | ||||||
6.13%, 03/30/2040 | 283,000 | 334,848 | ||||||
AT&T Inc | ||||||||
0.90%, 02/12/2016 | 329,000 | 328,913 | ||||||
5.50%, 02/01/2018 | 543,000 | 599,413 | ||||||
4.45%, 05/15/2021 | 722,000 | 775,726 | ||||||
3.88%, 08/15/2021 | 134,000 | 140,205 | ||||||
3.00%, 02/15/2022 | 800,000 | 784,944 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,853,740 | ||||||
6.30%, 01/15/2038 | 743,000 | 898,977 | ||||||
5.35%, 09/01/2040 | 1,094,000 | 1,184,606 | ||||||
4.30%, 12/15/2042 | 1,122,000 | 1,066,699 | ||||||
4.80%, 06/15/2044 | 5,695,000 | 5,802,955 | ||||||
4.35%, 06/15/2045 | 511,000 | 481,747 | ||||||
BellSouth Telecommunications LLC | ||||||||
6.30%, 12/15/2015 | 39,264 | 40,441 | ||||||
British Sky Broadcasting Group PLC | ||||||||
3.75%, 09/16/2024 (Acquired 09/09/2014, Cost $285,909) (b) | 287,000 | 288,758 | ||||||
British Telecommunications PLC | ||||||||
5.95%, 01/15/2018 | 289,000 | 322,289 | ||||||
2.35%, 02/14/2019 | 220,000 | 219,684 | ||||||
9.63%, 12/15/2030 | 721,000 | 1,132,007 | ||||||
CBS Corp | ||||||||
1.95%, 07/01/2017 | 4,840,000 | 4,855,115 | ||||||
5.75%, 04/15/2020 | 147,000 | 167,620 | ||||||
4.30%, 02/15/2021 | 155,000 | 166,894 | ||||||
3.70%, 08/15/2024 | 546,000 | 544,504 | ||||||
5.50%, 05/15/2033 | 77,000 | 87,550 | ||||||
5.90%, 10/15/2040 | 67,000 | 78,428 | ||||||
4.90%, 08/15/2044 | 315,000 | 319,871 | ||||||
Centel Capital Corp | ||||||||
9.00%, 10/15/2019 | 464,000 | 556,481 | ||||||
CenturyLink Inc | ||||||||
5.15%, 06/15/2017 | 322,000 | 337,295 | ||||||
Cisco Systems Inc | ||||||||
5.50%, 02/22/2016 | 155,000 | 163,528 | ||||||
2.90%, 03/04/2021 | 186,000 | 189,402 | ||||||
3.63%, 03/04/2024 | 550,000 | 573,133 | ||||||
5.90%, 02/15/2039 | 515,000 | 648,214 | ||||||
5.50%, 01/15/2040 | 481,000 | 586,136 | ||||||
Comcast Cable Communications Holdings Inc | ||||||||
9.46%, 11/15/2022 | 542,000 | 779,202 | ||||||
Comcast Cable Communications LLC | ||||||||
8.88%, 05/01/2017 | 103,000 | 120,531 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 260,666 |
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Comcast Corp | ||||||||
5.90%, 03/15/2016 | 134,000 | 142,066 | ||||||
6.50%, 01/15/2017 | 103,000 | 113,733 | ||||||
4.25%, 01/15/2033 | 1,895,000 | 2,006,667 | ||||||
4.20%, 08/15/2034 | 555,000 | 580,334 | ||||||
6.50%, 11/15/2035 | 1,342,000 | 1,791,562 | ||||||
6.45%, 03/15/2037 | 310,000 | 412,430 | ||||||
6.95%, 08/15/2037 | 107,000 | 150,752 | ||||||
Cox Communications Inc | ||||||||
3.25%, 12/15/2022 (Acquired 10/28/2013, Cost $320,038) (b) | 348,000 | 341,680 | ||||||
3.85%, 02/01/2025 (Acquired 12/01/2014, Cost $1,996,540) (b) | 2,000,000 | 2,018,834 | ||||||
4.80%, 02/01/2035 (Acquired 12/05/2014, Cost $7,147,426) (b) | 7,150,000 | 7,449,392 | ||||||
8.38%, 03/01/2039 (Acquired 10/28/2013, Cost $164,633) (b) | 134,000 | 191,038 | ||||||
Cox Enterprises Inc | ||||||||
7.38%, 07/15/2027 (Acquired 10/28/2013, Cost $318,581) (b) | 273,000 | 347,103 | ||||||
Crown Castle Towers LLC | ||||||||
3.21%, 08/15/2015 (Acquired 10/28/2013, Cost $289,951) (b) | 287,000 | 290,439 | ||||||
Deutsche Telekom International Finance BV | ||||||||
2.25%, 03/06/2017 (Acquired 10/28/2013 through 12/11/2013, Cost $4,599,168) (b) | 4,529,000 | 4,600,536 | ||||||
6.00%, 07/08/2019 | 209,000 | 242,460 | ||||||
8.75%, 06/15/2030 | 648,000 | 957,198 | ||||||
4.88%, 03/06/2042 (Acquired 10/28/2013, Cost $233,048) (b) | 240,000 | 256,543 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co Inc | ||||||||
4.60%, 02/15/2021 | 578,000 | 619,116 | ||||||
5.00%, 03/01/2021 | 446,000 | 486,363 | ||||||
3.80%, 03/15/2022 | 619,000 | 629,752 | ||||||
3.95%, 01/15/2025 | 205,000 | 206,613 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,360,367 | ||||||
6.38%, 03/01/2041 | 329,000 | 384,655 | ||||||
5.15%, 03/15/2042 | 40,000 | 41,334 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 795,473 | ||||||
4.95%, 05/15/2042 | 261,000 | 270,745 | ||||||
eBay Inc | ||||||||
2.88%, 08/01/2021 | 393,000 | 389,020 | ||||||
2.60%, 07/15/2022 | 628,000 | 595,937 | ||||||
3.45%, 08/01/2024 | 960,000 | 943,917 | ||||||
4.00%, 07/15/2042 | 213,000 | 189,637 | ||||||
GTE Corp | ||||||||
8.75%, 11/01/2021 | 114,000 | 148,679 | ||||||
6.94%, 04/15/2028 | 351,000 | 438,982 | ||||||
GTP Acquisition Partners I LLC | ||||||||
4.35%, 06/15/2016 (Acquired 10/28/2013, Cost $1,148,158) (b) | 1,087,000 | 1,107,126 | ||||||
Historic TW Inc | ||||||||
9.15%, 02/01/2023 | 347,000 | 471,957 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 769,858 | ||||||
6.40%, 04/30/2040 | 372,000 | 498,403 | ||||||
5.95%, 04/01/2041 | 527,000 | 677,677 | ||||||
4.45%, 01/15/2043 | 1,765,000 | 1,870,217 | ||||||
New Cingular Wireless Services Inc | ||||||||
8.75%, 03/01/2031 | 1,140,000 | 1,765,986 | ||||||
Nippon Telegraph & Telephone Corp | ||||||||
1.40%, 07/18/2017 | 237,000 | 236,304 |
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Orange SA | ||||||||
2.75%, 09/14/2016 | 437,000 | 446,574 | ||||||
2.75%, 02/06/2019 | 3,000,000 | 3,055,722 | ||||||
8.75%, 03/01/2031 | 655,000 | 999,125 | ||||||
Qwest Corp | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 4,470,291 | ||||||
Rogers Communications Inc | ||||||||
4.10%, 10/01/2023 | 1,255,000 | 1,318,553 | ||||||
8.75%, 05/01/2032 | 258,000 | 373,203 | ||||||
SK Telecom Co Ltd | ||||||||
6.63%, 07/20/2027 (Acquired 10/28/2013 through 11/27/2013, Cost $432,834) (b) | 361,000 | 459,997 | ||||||
Sprint Capital Corp | ||||||||
6.90%, 05/01/2019 | 301,000 | 307,020 | ||||||
8.75%, 03/15/2032 | 38,000 | 36,765 | ||||||
TCI Communications Inc | ||||||||
8.75%, 08/01/2015 | 44,000 | 46,032 | ||||||
7.13%, 02/15/2028 | 138,000 | 185,639 | ||||||
Telecom Italia Capital SA | ||||||||
7.00%, 06/04/2018 | 5,000,000 | 5,550,000 | ||||||
7.18%, 06/18/2019 | 215,000 | 246,175 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,767,300 | ||||||
Telefonica Emisiones SAU | ||||||||
6.42%, 06/20/2016 | 468,000 | 500,644 | ||||||
6.22%, 07/03/2017 | 545,000 | 603,368 | ||||||
3.19%, 04/27/2018 | 221,000 | 227,263 | ||||||
5.88%, 07/15/2019 | 197,000 | 224,199 | ||||||
5.13%, 04/27/2020 | 303,000 | 335,423 | ||||||
5.46%, 02/16/2021 | 233,000 | 259,793 | ||||||
Thomson Reuters Corp | ||||||||
4.70%, 10/15/2019 | 222,000 | 240,617 | ||||||
3.95%, 09/30/2021 | 934,000 | 984,269 | ||||||
3.85%, 09/29/2024 | 342,000 | 345,756 | ||||||
4.50%, 05/23/2043 | 312,000 | 312,207 | ||||||
Time Warner Cable Inc | ||||||||
5.85%, 05/01/2017 | 100,000 | 109,155 | ||||||
6.75%, 07/01/2018 | 5,490,000 | 6,296,355 | ||||||
8.75%, 02/14/2019 | 184,000 | 227,765 | ||||||
8.25%, 04/01/2019 | 222,000 | 271,760 | ||||||
6.55%, 05/01/2037 | 375,000 | 482,808 | ||||||
7.30%, 07/01/2038 | 253,000 | 348,850 | ||||||
6.75%, 06/15/2039 | 539,000 | 704,624 | ||||||
5.88%, 11/15/2040 | 475,000 | 566,369 | ||||||
5.50%, 09/01/2041 | 385,000 | 447,340 | ||||||
Time Warner Entertainment Co LP | ||||||||
8.38%, 03/15/2023 | 208,000 | 279,944 | ||||||
8.38%, 07/15/2033 | 671,000 | 1,006,993 | ||||||
Time Warner Inc | ||||||||
4.75%, 03/29/2021 | 585,000 | 638,456 | ||||||
4.00%, 01/15/2022 | 900,000 | 940,711 | ||||||
7.63%, 04/15/2031 | 4,513,000 | 6,291,731 | ||||||
7.70%, 05/01/2032 | 842,000 | 1,189,610 | ||||||
6.50%, 11/15/2036 | 257,000 | 326,949 | ||||||
6.20%, 03/15/2040 | 323,000 | 393,225 | ||||||
6.25%, 03/29/2041 | 170,000 | 211,096 | ||||||
5.38%, 10/15/2041 | 181,000 | 204,405 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 2,236,321 |
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Verizon Communications Inc | ||||||||
1.35%, 06/09/2017 | 889,000 | 884,887 | ||||||
2.63%, 02/21/2020 (Acquired 10/01/2013 through 10/02/2013, Cost $203,218) (b) | 205,000 | 202,656 | ||||||
4.50%, 09/15/2020 | 1,070,000 | 1,161,760 | ||||||
3.00%, 11/01/2021 | 1,975,000 | 1,947,812 | ||||||
5.15%, 09/15/2023 | 4,630,000 | 5,112,599 | ||||||
6.40%, 09/15/2033 | 12,337,000 | 15,196,507 | ||||||
4.40%, 11/01/2034 | 2,056,000 | 2,043,625 | ||||||
5.85%, 09/15/2035 | 149,000 | 175,099 | ||||||
6.40%, 02/15/2038 | 114,000 | 140,660 | ||||||
6.55%, 09/15/2043 | 5,444,000 | 6,974,575 | ||||||
4.86%, 08/21/2046 (Acquired 10/28/2013 through 11/20/2013, Cost $8,259,796) (b) | 9,143,000 | 9,391,936 | ||||||
5.01%, 08/21/2054 (Acquired 08/19/2014, Cost $5,384,551) (b) | 5,813,000 | 6,013,833 | ||||||
Verizon Maryland LLC | ||||||||
5.13%, 06/15/2033 | 103,000 | 108,676 | ||||||
Verizon New England Inc | ||||||||
7.88%, 11/15/2029 | 279,000 | 365,078 | ||||||
Verizon New York Inc | ||||||||
7.38%, 04/01/2032 | 91,000 | 114,113 | ||||||
Verizon Pennsylvania LLC | ||||||||
6.00%, 12/01/2028 | 439,000 | 490,915 | ||||||
8.35%, 12/15/2030 | 540,000 | 741,738 | ||||||
Viacom Inc | ||||||||
1.25%, 02/27/2015 | 93,000 | 93,083 | ||||||
6.25%, 04/30/2016 | 80,000 | 85,464 | ||||||
2.75%, 12/15/2019 | 149,000 | 149,295 | ||||||
4.50%, 03/01/2021 | 62,000 | 66,561 | ||||||
3.88%, 12/15/2021 | 581,000 | 601,426 | ||||||
3.13%, 06/15/2022 | 224,000 | 216,907 | ||||||
3.25%, 03/15/2023 | 69,000 | 66,636 | ||||||
4.85%, 12/15/2034 | 156,000 | 159,645 | ||||||
4.50%, 02/27/2042 | 209,000 | 203,758 | ||||||
4.38%, 03/15/2043 | 718,000 | 661,136 | ||||||
Vodafone Group PLC | ||||||||
1.63%, 03/20/2017 | 857,000 | 856,607 | ||||||
1.50%, 02/19/2018 | 784,000 | 769,942 | ||||||
5.45%, 06/10/2019 | 78,000 | 87,722 | ||||||
|
| |||||||
190,664,831 | ||||||||
|
| |||||||
Consumer, Cyclical - 1.19% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 10/28/2013, Cost $362,684) (b) | 379,018 | 382,808 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 01/31/2021 | 132,699 | 142,983 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 01/15/2023 | 4,855,773 | 5,201,746 | ||||||
American Honda Finance Corp | ||||||||
2.25%, 08/15/2019 | 739,000 | 741,377 | ||||||
Arrow Electronics Inc | ||||||||
3.38%, 11/01/2015 | 336,000 | 342,057 | ||||||
3.00%, 03/01/2018 | 197,000 | 202,011 | ||||||
6.88%, 06/01/2018 | 279,000 | 316,030 | ||||||
6.00%, 04/01/2020 | 478,000 | 536,758 | ||||||
4.50%, 03/01/2023 | 183,000 | 189,161 | ||||||
7.50%, 01/15/2027 | 992,000 | 1,215,726 |
Table of Contents
Bed Bath & Beyond Inc | ||||||||
4.92%, 08/01/2034 | 665,000 | 686,199 | ||||||
Continental Airlines 1997-4 Class A Pass Through Trust | ||||||||
6.90%, 01/02/2018 | 22,482 | 23,520 | ||||||
Continental Airlines 1999-2 Class A-1 Pass Through Trust | ||||||||
7.26%, 03/15/2020 | 44,237 | 48,882 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 6,232,433 | 6,840,095 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 207,338 | 210,448 | ||||||
CVS Health Corp | ||||||||
4.00%, 12/05/2023 | 6,000,000 | 6,349,632 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,897,082 | ||||||
CVS Pass-Through Trust | ||||||||
5.93%, 01/10/2034 (Acquired 10/28/2013, Cost $765,832) (b) | 693,400 | 806,329 | ||||||
Daimler Finance North America LLC | ||||||||
1.65%, 04/10/2015 (Acquired 10/28/2013, Cost $1,191,382) (b) | 1,189,000 | 1,191,604 | ||||||
2.63%, 09/15/2016 (Acquired 08/12/2014 through 12/22/2014, Cost $552,830) (b) | 542,000 | 555,244 | ||||||
2.95%, 01/11/2017 (Acquired 10/28/2013, Cost $1,036,449) (b) | 1,011,000 | 1,042,808 | ||||||
1.38%, 08/01/2017 (Acquired 07/24/2014, Cost $3,288,615) (b) | 3,300,000 | 3,284,599 | ||||||
1.88%, 01/11/2018 (Acquired 10/28/2013 through 12/10/2013, Cost $3,075,244) (b) | 3,080,000 | 3,090,703 | ||||||
2.38%, 08/01/2018 (Acquired 10/28/2013, Cost $195,903) (b) | 195,000 | 197,736 | ||||||
2.25%, 07/31/2019 (Acquired 11/19/2013 through 11/20/2013, Cost $3,215,205) (b) | 3,250,000 | 3,240,019 | ||||||
2.88%, 03/10/2021 (Acquired 03/03/2014, Cost $698,677) (b) | 700,000 | 706,262 | ||||||
8.50%, 01/18/2031 | 155,000 | 237,072 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 3,182,948 | 3,692,219 | ||||||
Delta Air Lines 2010-2 Class A Pass Through Trust | ||||||||
4.95%, 05/23/2019 | 318,787 | 341,102 | ||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 106,883 | 116,236 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 05/07/2020 | 350,258 | 373,025 | ||||||
DR Horton Inc | ||||||||
6.50%, 04/15/2016 | 107,000 | 112,885 | ||||||
Ford Motor Co | ||||||||
4.75%, 01/15/2043 | 7,240,000 | 7,639,069 | ||||||
Gap Inc/The | ||||||||
5.95%, 04/12/2021 | 391,000 | 444,960 | ||||||
General Motors Co | ||||||||
4.00%, 04/01/2025 | 8,070,000 | 8,090,175 | ||||||
Home Depot Inc/The | ||||||||
5.40%, 03/01/2016 | 475,000 | 501,275 | ||||||
4.40%, 04/01/2021 | 77,000 | 85,661 | ||||||
5.88%, 12/16/2036 | 5,490,000 | 7,169,929 | ||||||
4.40%, 03/15/2045 | 268,000 | 292,901 | ||||||
Johnson Controls Inc | ||||||||
4.25%, 03/01/2021 | 344,000 | 371,823 | ||||||
3.75%, 12/01/2021 | 475,000 | 490,791 | ||||||
3.63%, 07/02/2024 | 161,000 | 162,405 | ||||||
6.00%, 01/15/2036 | 107,000 | 129,568 | ||||||
5.25%, 12/01/2041 | 722,000 | 814,373 | ||||||
4.95%, 07/02/2064 | 1,380,000 | 1,422,739 | ||||||
Kohl’s Corp | ||||||||
6.25%, 12/15/2017 | 103,000 | 114,566 |
Table of Contents
Lowe’s Cos Inc | ||||||||
7.11%, 05/15/2037 | 361,000 | 509,473 | ||||||
5.13%, 11/15/2041 | 238,000 | 278,331 | ||||||
4.65%, 04/15/2042 | 449,000 | 499,390 | ||||||
Macy’s Retail Holdings Inc | ||||||||
7.45%, 07/15/2017 | 134,000 | 152,344 | ||||||
2.88%, 02/15/2023 | 421,000 | 408,826 | ||||||
4.38%, 09/01/2023 | 192,000 | 206,252 | ||||||
4.50%, 12/15/2034 | 368,000 | 370,557 | ||||||
5.13%, 01/15/2042 | 101,000 | 109,474 | ||||||
Nissan Motor Acceptance Corp | ||||||||
1.80%, 03/15/2018 (Acquired 10/28/2013, Cost $717,643) (b) | 727,000 | 722,730 | ||||||
2.65%, 09/26/2018 (Acquired 02/25/2014, Cost $506,135) (b) | 500,000 | 509,138 | ||||||
Nordstrom Inc | ||||||||
4.00%, 10/15/2021 | 398,000 | 425,786 | ||||||
PACCAR Financial Corp | ||||||||
1.60%, 03/15/2017 | 407,000 | 410,413 | ||||||
0.84%, 12/06/2018 | 3,000,000 | 3,017,304 | ||||||
Target Corp | ||||||||
6.00%, 01/15/2018 | 217,000 | 244,517 | ||||||
3.50%, 07/01/2024 | 355,000 | 368,552 | ||||||
Toyota Motor Credit Corp | ||||||||
3.20%, 06/17/2015 | 572,000 | 579,132 | ||||||
2.00%, 09/15/2016 | 1,600,000 | 1,629,008 | ||||||
2.05%, 01/12/2017 | 402,000 | 409,508 | ||||||
1.75%, 05/22/2017 | 516,000 | 520,558 | ||||||
US Airways 1998-1A Pass Through Trust | ||||||||
6.85%, 01/30/2018 | 24,942 | 26,440 | ||||||
Walgreen Co | ||||||||
3.10%, 09/15/2022 | 871,000 | 860,459 | ||||||
Walgreens Boots Alliance Inc | ||||||||
3.30%, 11/18/2021 | 416,000 | 418,894 | ||||||
4.50%, 11/18/2034 | 379,000 | 394,691 | ||||||
Wal-Mart Stores Inc | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 3,944,207 | ||||||
7.55%, 02/15/2030 | 72,000 | 106,035 | ||||||
5.25%, 09/01/2035 | 124,000 | 149,155 | ||||||
6.20%, 04/15/2038 | 108,000 | 144,647 | ||||||
|
| |||||||
91,460,414 | ||||||||
|
| |||||||
Consumer, Non-cyclical - 2.78% | ||||||||
AbbVie Inc | ||||||||
1.75%, 11/06/2017 | 866,000 | 867,882 | ||||||
2.90%, 11/06/2022 | 574,000 | 565,118 | ||||||
Actavis Funding SCS | ||||||||
4.85%, 06/15/2044 | 3,240,000 | 3,287,745 | ||||||
Actavis Inc | ||||||||
3.25%, 10/01/2022 | 271,000 | 263,851 | ||||||
ADT Corp/The | ||||||||
3.50%, 07/15/2022 | 577,000 | 491,892 | ||||||
4.13%, 06/15/2023 | 217,000 | 196,385 | ||||||
4.88%, 07/15/2042 | 323,000 | 239,020 | ||||||
Aetna Inc | ||||||||
6.75%, 12/15/2037 | 341,000 | 449,736 | ||||||
4.50%, 05/15/2042 | 205,000 | 217,039 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,984,702 |
Table of Contents
Amgen Inc | ||||||||
5.70%, 02/01/2019 | 204,000 | 229,475 | ||||||
4.50%, 03/15/2020 | 123,000 | 134,338 | ||||||
3.88%, 11/15/2021 | 722,000 | 762,803 | ||||||
5.75%, 03/15/2040 | 4,215,000 | 5,042,927 | ||||||
4.95%, 10/01/2041 | 464,000 | 497,339 | ||||||
5.15%, 11/15/2041 | 1,496,000 | 1,686,217 | ||||||
5.65%, 06/15/2042 | 522,000 | 621,075 | ||||||
5.38%, 05/15/2043 | 1,650,000 | 1,916,874 | ||||||
Anheuser-Busch Cos LLC | ||||||||
5.50%, 01/15/2018 | 103,000 | 114,563 | ||||||
5.75%, 04/01/2036 | 114,000 | 139,874 | ||||||
Anheuser-Busch InBev Finance Inc | ||||||||
3.70%, 02/01/2024 | 960,000 | 997,215 | ||||||
4.63%, 02/01/2044 | 1,860,000 | 2,023,070 | ||||||
Anheuser-Busch InBev Worldwide Inc | ||||||||
7.75%, 01/15/2019 | 132,000 | 159,884 | ||||||
Archer-Daniels-Midland Co | ||||||||
5.94%, 10/01/2032 | 227,000 | 291,657 | ||||||
Baxter International Inc | ||||||||
4.63%, 03/15/2015 | 52,000 | 52,425 | ||||||
1.85%, 06/15/2018 | 183,000 | 182,084 | ||||||
3.65%, 08/15/2042 | 1,900,000 | 1,809,091 | ||||||
Bayer US Finance LLC | ||||||||
2.38%, 10/08/2019 (Acquired 10/01/2014, Cost $384,232) (b) | 386,000 | 387,532 | ||||||
3.38%, 10/08/2024 (Acquired 10/01/2014, Cost $1,743,584) (b) | 1,761,000 | 1,791,944 | ||||||
Becton Dickinson and Co | ||||||||
5.00%, 05/15/2019 | 72,000 | 79,623 | ||||||
2.68%, 12/15/2019 | 154,000 | 156,025 | ||||||
3.73%, 12/15/2024 | 4,267,000 | 4,393,197 | ||||||
Bunge Ltd Finance Corp | ||||||||
3.20%, 06/15/2017 | 4,010,000 | 4,123,255 | ||||||
8.50%, 06/15/2019 | 4,456,000 | 5,461,006 | ||||||
Bunge NA Finance LP | ||||||||
5.90%, 04/01/2017 | 470,000 | 511,020 | ||||||
Cargill Inc | ||||||||
6.00%, 11/27/2017 (Acquired 10/28/2013, Cost $178,133) (b) | 160,000 | 178,796 | ||||||
7.35%, 03/06/2019 (Acquired 10/28/2013, Cost $348,752) (b) | 294,000 | 352,958 | ||||||
4.31%, 05/14/2021 (Acquired 10/28/2013, Cost $298,073) (b) | 281,000 | 309,032 | ||||||
3.30%, 03/01/2022 (Acquired 12/28/2013, Cost $791,780) (b) | 800,000 | 825,769 | ||||||
Celgene Corp | ||||||||
3.25%, 08/15/2022 | 1,020,000 | 1,026,567 | ||||||
4.00%, 08/15/2023 | 298,000 | 313,654 | ||||||
3.63%, 05/15/2024 | 440,000 | 449,296 | ||||||
Cigna Corp | ||||||||
5.38%, 02/15/2042 | 3,040,000 | 3,594,998 | ||||||
Coca-Cola Co/The | ||||||||
4.88%, 03/15/2019 | 160,000 | 179,389 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.38%, 11/26/2018 | 9,890,000 | 10,070,097 | ||||||
ConAgra Foods Inc | ||||||||
1.30%, 01/25/2016 | 235,000 | 234,959 | ||||||
5.82%, 06/15/2017 | 644,000 | 705,048 | ||||||
2.10%, 03/15/2018 | 189,000 | 188,387 | ||||||
4.95%, 08/15/2020 | 215,000 | 236,150 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 2,258,022 | ||||||
7.00%, 10/01/2028 | 1,250,000 | 1,599,889 |
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Delhaize Group SA | ||||||||
4.13%, 04/10/2019 | 5,510,000 | 5,786,337 | ||||||
Diageo Capital PLC | ||||||||
1.50%, 05/11/2017 | 405,000 | 405,539 | ||||||
4.83%, 07/15/2020 | 287,000 | 319,785 | ||||||
Diageo Finance BV | ||||||||
5.30%, 10/28/2015 | 222,000 | 230,140 | ||||||
Diageo Investment Corp | ||||||||
8.00%, 09/15/2022 | 516,000 | 682,253 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 03/15/2017 (Acquired 10/28/2013, Cost $281,025) (b) | 275,000 | 282,329 | ||||||
6.38%, 10/15/2017 (Acquired 10/28/2013, Cost $45,853) (b) | 41,000 | 46,035 | ||||||
2.80%, 11/01/2018 (Acquired 01/07/2014, Cost $4,948,108) (b) | 4,875,000 | 4,979,515 | ||||||
4.50%, 08/16/2021 (Acquired 10/28/2013, Cost $419,536) (b) | 400,000 | 427,704 | ||||||
6.70%, 06/01/2034 (Acquired 10/28/2013, Cost $582,270) (b) | 508,000 | 653,488 | ||||||
5.63%, 03/15/2042 (Acquired 10/28/2013, Cost $368,990) (b) | 357,000 | 416,777 | ||||||
Express Scripts Holding Co | ||||||||
2.65%, 02/15/2017 | 7,518,000 | 7,687,110 | ||||||
4.75%, 11/15/2021 | 4,000,000 | 4,414,212 | ||||||
3.50%, 06/15/2024 | 897,000 | 893,853 | ||||||
FBG Finance Pty Ltd | ||||||||
5.13%, 06/15/2015 (Acquired 10/28/2013, Cost $417,778) (b) | 410,000 | 418,119 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 491,527 | ||||||
Forest Laboratories Inc | ||||||||
4.38%, 02/01/2019 (Acquired 01/27/2014 through 02/04/2014, Cost $5,473,969) (b) | 5,100,000 | 5,387,487 | ||||||
4.88%, 02/15/2021 (Acquired 10/16/2014, Cost $319,301) (b) | 300,000 | 321,666 | ||||||
5.00%, 12/15/2021 (Acquired 04/01/2014, Cost $1,340,375) (b) | 1,238,000 | 1,340,538 | ||||||
Gilead Sciences Inc | ||||||||
3.70%, 04/01/2024 | 900,000 | 943,948 | ||||||
3.50%, 02/01/2025 | 374,000 | 383,873 | ||||||
5.65%, 12/01/2041 | 2,910,000 | 3,603,098 | ||||||
GlaxoSmithKline Capital Inc | ||||||||
5.65%, 05/15/2018 | 320,000 | 360,488 | ||||||
6.38%, 05/15/2038 | 217,000 | 288,933 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024 (Acquired 06/27/2014, Cost $3,004,730) (b) | 3,000,000 | 3,011,790 | ||||||
Heineken NV | ||||||||
1.40%, 10/01/2017 (Acquired 10/28/2013, Cost $296,532) (b) | 299,000 | 297,277 | ||||||
Hospira Inc | ||||||||
6.05%, 03/30/2017 | 537,000 | 578,975 | ||||||
Humana Inc | ||||||||
7.20%, 06/15/2018 | 215,000 | 251,160 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,198,508 | ||||||
4.50%, 12/05/2043 | 3,650,000 | 4,205,990 | ||||||
Kellogg Co | ||||||||
1.75%, 05/17/2017 | 262,000 | 263,371 | ||||||
3.25%, 05/21/2018 | 234,000 | 243,611 | ||||||
Kimberly-Clark Corp | ||||||||
7.50%, 11/01/2018 | 52,000 | 62,480 | ||||||
2.40%, 03/01/2022 | 140,000 | 137,921 | ||||||
Kraft Foods Group Inc | ||||||||
6.13%, 08/23/2018 | 531,000 | 607,153 |
Table of Contents
5.38%, 02/10/2020 | 318,000 | 360,903 | ||||||
3.50%, 06/06/2022 | 588,000 | 602,531 | ||||||
6.88%, 01/26/2039 | 1,049,000 | 1,386,523 | ||||||
6.50%, 02/09/2040 | 310,000 | 398,465 | ||||||
5.00%, 06/04/2042 | 505,000 | 555,905 | ||||||
Kroger Co/The | ||||||||
2.20%, 01/15/2017 | 399,000 | 405,343 | ||||||
6.40%, 08/15/2017 | 62,000 | 69,300 | ||||||
6.15%, 01/15/2020 | 206,000 | 238,089 | ||||||
4.00%, 02/01/2024 | 63,000 | 66,136 | ||||||
7.50%, 04/01/2031 | 1,417,000 | 1,913,640 | ||||||
5.40%, 07/15/2040 | 95,000 | 108,914 | ||||||
5.00%, 04/15/2042 | 1,434,000 | 1,562,388 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,902,493 | ||||||
McKesson Corp | ||||||||
0.95%, 12/04/2015 | 144,000 | 144,340 | ||||||
Medco Health Solutions Inc | ||||||||
2.75%, 09/15/2015 | 1,473,000 | 1,492,335 | ||||||
Medtronic Inc | ||||||||
3.15%, 03/15/2022 (Acquired 12/01/2014, Cost $813,296) (b) | 815,000 | 825,331 | ||||||
3.50%, 03/15/2025 (Acquired 12/19/2014, Cost $12,932,790) (b) | 13,000,000 | 13,298,610 | ||||||
4.38%, 03/15/2035 (Acquired 12/01/2014, Cost $978,285) (b) | 987,000 | 1,047,065 | ||||||
Merck & Co Inc | ||||||||
1.30%, 05/18/2018 | 107,000 | 106,003 | ||||||
2.40%, 09/15/2022 | 376,000 | 366,955 | ||||||
2.80%, 05/18/2023 | 361,000 | 358,491 | ||||||
4.15%, 05/18/2043 | 4,000,000 | 4,255,644 | ||||||
Mondelez International Inc | ||||||||
2.25%, 02/01/2019 | 6,550,000 | 6,523,099 | ||||||
5.38%, 02/10/2020 | 1,161,000 | 1,315,185 | ||||||
4.00%, 02/01/2024 | 1,590,000 | 1,663,565 | ||||||
Mylan Inc/PA | ||||||||
2.55%, 03/28/2019 | 600,000 | 597,696 | ||||||
7.88%, 07/15/2020 (Acquired 11/18/2013, Cost $5,366,408) (b) | 5,000,000 | 5,325,975 | ||||||
Novartis Capital Corp | ||||||||
2.40%, 09/21/2022 | 6,440,000 | 6,339,484 | ||||||
3.40%, 05/06/2024 | 922,000 | 959,140 | ||||||
PepsiCo Inc | ||||||||
1.25%, 08/13/2017 | 1,175,000 | 1,172,723 | ||||||
7.90%, 11/01/2018 | 24,000 | 29,198 | ||||||
3.00%, 08/25/2021 | 258,000 | 265,800 | ||||||
Perrigo Co PLC | ||||||||
2.30%, 11/08/2018 | 4,223,000 | 4,219,672 | ||||||
Pfizer Inc | ||||||||
3.00%, 06/15/2023 | 449,000 | 454,056 | ||||||
4.30%, 06/15/2043 | 4,170,000 | 4,465,832 | ||||||
Procter & Gamble - Esop | ||||||||
9.36%, 01/01/2021 | 182,088 | 224,807 | ||||||
Procter & Gamble Co/The | ||||||||
5.50%, 02/01/2034 | 103,000 | 132,735 | ||||||
Roche Holdings Inc | ||||||||
3.35%, 09/30/2024 (Acquired 11/13/2014, Cost $791,630) (b) | 780,000 | 802,781 | ||||||
RR Donnelley & Sons Co | ||||||||
8.60%, 08/15/2016 | 269,000 | 294,555 |
Table of Contents
6.13%, 01/15/2017 | 11,000 | 11,660 | ||||||
7.63%, 06/15/2020 | 107,000 | 117,432 | ||||||
SABMiller Holdings Inc | ||||||||
1.85%, 01/15/2015 (Acquired 10/28/2013, Cost $391,155) (b) | 391,000 | 391,151 | ||||||
2.20%, 08/01/2018 (Acquired 12/17/2013, Cost $5,110,928) (b) | 5,080,000 | 5,093,670 | ||||||
3.75%, 01/15/2022 (Acquired 10/28/2013, Cost $491,984) (b) | 481,000 | 502,025 | ||||||
Sysco Corp | ||||||||
3.00%, 10/02/2021 | 203,000 | 206,080 | ||||||
Tyson Foods Inc | ||||||||
4.50%, 06/15/2022 | 4,750,000 | 5,142,759 | ||||||
3.95%, 08/15/2024 | 1,451,000 | 1,499,929 | ||||||
UnitedHealth Group Inc | ||||||||
3.38%, 11/15/2021 | 685,000 | 710,716 | ||||||
2.75%, 02/15/2023 | 186,000 | 182,490 | ||||||
2.88%, 03/15/2023 | 310,000 | 308,002 | ||||||
6.63%, 11/15/2037 | 562,000 | 767,542 | ||||||
4.38%, 03/15/2042 | 5,170,000 | 5,516,400 | ||||||
Ventas Realty LP | ||||||||
3.75%, 05/01/2024 | 382,000 | 384,517 | ||||||
WellPoint Inc | ||||||||
2.30%, 07/15/2018 | 289,000 | 290,600 | ||||||
3.13%, 05/15/2022 | 484,000 | 483,709 | ||||||
3.30%, 01/15/2023 | 271,000 | 270,736 | ||||||
3.50%, 08/15/2024 | 694,000 | 699,033 | ||||||
4.63%, 05/15/2042 | 400,000 | 419,743 | ||||||
4.65%, 01/15/2043 | 391,000 | 406,937 | ||||||
5.10%, 01/15/2044 | 1,881,000 | 2,113,772 | ||||||
4.65%, 08/15/2044 | 395,000 | 418,316 | ||||||
Wm Wrigley Jr Co | ||||||||
2.90%, 10/21/2019 (Acquired 12/10/2013, Cost $4,981,852) (b) | 4,960,000 | 5,024,148 | ||||||
Wyeth LLC | ||||||||
6.45%, 02/01/2024 | 82,000 | 102,878 | ||||||
Zoetis Inc | ||||||||
4.70%, 02/01/2043 | 300,000 | 305,333 | ||||||
|
| |||||||
213,895,169 | ||||||||
|
| |||||||
Diversified - 0.11% | ||||||||
Hutchison Whampoa International 09 Ltd | ||||||||
7.63%, 04/09/2019 (Acquired 10/28/2013, Cost $718,621) (b) | 612,000 | 740,335 | ||||||
Hutchison Whampoa International 09/19 Ltd | ||||||||
5.75%, 09/11/2019 (Acquired 12/03/2013, Cost $6,900,983) (b) | 6,175,000 | 7,040,766 | ||||||
Hutchison Whampoa International 12 II Ltd | ||||||||
3.25%, 11/08/2022 (Acquired 10/28/2013, Cost $422,200) (b) | 450,000 | 447,397 | ||||||
|
| |||||||
8,228,498 | ||||||||
|
| |||||||
Energy - 3.05% | ||||||||
Alberta Energy Co Ltd | ||||||||
7.38%, 11/01/2031 | 274,000 | 323,345 | ||||||
Anadarko Finance Co | ||||||||
7.50%, 05/01/2031 | 206,000 | 270,907 | ||||||
Anadarko Holding Co | ||||||||
7.15%, 05/15/2028 | 170,000 | 210,023 | ||||||
Anadarko Petroleum Corp | ||||||||
6.38%, 09/15/2017 | 722,000 | 802,721 | ||||||
8.70%, 03/15/2019 | 664,000 | 813,368 | ||||||
6.95%, 06/15/2019 | 2,975,000 | 3,475,844 | ||||||
6.45%, 09/15/2036 | 2,685,000 | 3,226,548 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,517,096 |
Table of Contents
ANR Pipeline Co | ||||||||
9.63%, 11/01/2021 | 337,000 | 462,122 | ||||||
Apache Corp | ||||||||
6.90%, 09/15/2018 | 258,000 | 296,765 | ||||||
3.25%, 04/15/2022 | 99,000 | 97,270 | ||||||
5.10%, 09/01/2040 | 600,000 | 587,720 | ||||||
4.75%, 04/15/2043 | 416,000 | 390,123 | ||||||
Boardwalk Pipelines LP | ||||||||
4.95%, 12/15/2024 | 257,000 | 255,506 | ||||||
BP Capital Markets PLC | ||||||||
3.88%, 03/10/2015 | 568,000 | 571,446 | ||||||
1.85%, 05/05/2017 | 689,000 | 694,658 | ||||||
1.38%, 11/06/2017 | 229,000 | 226,504 | ||||||
2.24%, 05/10/2019 | 400,000 | 399,515 | ||||||
4.74%, 03/11/2021 | 640,000 | 696,646 | ||||||
3.25%, 05/06/2022 | 262,000 | 257,556 | ||||||
2.75%, 05/10/2023 | 262,000 | 245,003 | ||||||
3.81%, 02/10/2024 | 3,993,000 | 4,018,914 | ||||||
3.54%, 11/04/2024 | 700,000 | 696,016 | ||||||
Buckeye Partners LP | ||||||||
2.65%, 11/15/2018 | 2,900,000 | 2,856,311 | ||||||
Burlington Resources Finance Co | ||||||||
7.40%, 12/01/2031 | 53,000 | 74,709 | ||||||
Burlington Resources Inc | ||||||||
8.20%, 03/15/2025 | 206,000 | 275,889 | ||||||
Cameron International Corp | ||||||||
3.60%, 04/30/2022 | 5,900,000 | 5,816,167 | ||||||
4.00%, 12/15/2023 | 163,000 | 162,586 | ||||||
Canadian Natural Resources Ltd | ||||||||
1.75%, 01/15/2018 | 687,000 | 682,958 | ||||||
5.90%, 02/01/2018 | 41,000 | 45,374 | ||||||
7.20%, 01/15/2032 | 41,000 | 49,688 | ||||||
6.45%, 06/30/2033 | 150,000 | 175,927 | ||||||
6.50%, 02/15/2037 | 118,000 | 135,202 | ||||||
6.25%, 03/15/2038 | 478,000 | 531,629 | ||||||
6.75%, 02/01/2039 | 206,000 | 240,259 | ||||||
Cenovus Energy Inc | ||||||||
3.00%, 08/15/2022 | 184,000 | 172,214 | ||||||
6.75%, 11/15/2039 | 351,000 | 399,861 | ||||||
4.45%, 09/15/2042 | 427,000 | 369,271 | ||||||
CenterPoint Energy Resources Corp | ||||||||
6.13%, 11/01/2017 | 55,000 | 61,576 | ||||||
4.50%, 01/15/2021 | 103,000 | 112,952 | ||||||
Chevron Corp | ||||||||
4.95%, 03/03/2019 | 526,000 | 588,139 | ||||||
2.36%, 12/05/2022 | 315,000 | 305,461 | ||||||
CNOOC Finance 2013 Ltd | ||||||||
3.00%, 05/09/2023 | 2,000,000 | 1,892,814 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
1.63%, 04/30/2017 | 1,000,000 | 995,117 | ||||||
4.25%, 04/30/2024 | 1,165,000 | 1,205,401 | ||||||
Conoco Funding Co | ||||||||
7.25%, 10/15/2031 | 54,000 | 75,247 |
Table of Contents
ConocoPhillips | ||||||||
5.20%, 05/15/2018 | 155,000 | 171,381 | ||||||
5.75%, 02/01/2019 | 206,000 | 234,176 | ||||||
6.00%, 01/15/2020 | 150,000 | 174,291 | ||||||
6.50%, 02/01/2039 | 150,000 | 199,297 | ||||||
ConocoPhillips Canada Funding Co I | ||||||||
5.63%, 10/15/2016 | 126,000 | 136,022 | ||||||
DCP Midstream LLC | ||||||||
9.75%, 03/15/2019 (Acquired 10/28/2013 through 12/09/2013, Cost $6,049,200) (b) | 4,960,000 | 6,203,998 | ||||||
Devon Energy Corp | ||||||||
0.78%, 12/15/2016 | 4,000,000 | 3,982,184 | ||||||
2.25%, 12/15/2018 | 3,000,000 | 2,989,188 | ||||||
6.30%, 01/15/2019 | 1,174,000 | 1,339,991 | ||||||
3.25%, 05/15/2022 | 596,000 | 585,485 | ||||||
7.95%, 04/15/2032 | 1,000,000 | 1,378,453 | ||||||
4.75%, 05/15/2042 | 323,000 | 325,158 | ||||||
Diamond Offshore Drilling Inc | ||||||||
4.88%, 11/01/2043 | 767,000 | 653,420 | ||||||
Ecopetrol SA | ||||||||
4.13%, 01/16/2025 | 383,000 | 363,850 | ||||||
El Paso Pipeline Partners Operating Co LLC | ||||||||
5.00%, 10/01/2021 | 4,875,000 | 5,127,184 | ||||||
7.50%, 11/15/2040 | 483,000 | 594,079 | ||||||
Encana Corp | ||||||||
6.50%, 05/15/2019 | 240,000 | 272,428 | ||||||
6.50%, 08/15/2034 | 118,000 | 128,091 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 134,298 | ||||||
4.65%, 06/01/2021 | 5,000,000 | 5,226,685 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040 (Acquired 10/28/2013, Cost $546,580) (b) | 557,000 | 636,582 | ||||||
Ensco PLC | ||||||||
4.70%, 03/15/2021 | 500,000 | 502,265 | ||||||
Enterprise Products Operating LLC | ||||||||
2.55%, 10/15/2019 | 417,000 | 412,802 | ||||||
3.90%, 02/15/2024 | 2,500,000 | 2,546,220 | ||||||
3.75%, 02/15/2025 | 515,000 | 516,961 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 4,156,664 | ||||||
4.95%, 10/15/2054 | 177,000 | 181,166 | ||||||
EOG Resources Inc | ||||||||
6.88%, 10/01/2018 | 186,000 | 217,358 | ||||||
4.10%, 02/01/2021 | 547,000 | 586,940 | ||||||
2.63%, 03/15/2023 | 249,000 | 238,769 | ||||||
EQT Midstream Partners LP | ||||||||
4.00%, 08/01/2024 | 2,000,000 | 1,980,530 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas Inc | ||||||||
6.75%, 02/01/2022 | 649,000 | 713,900 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
9.25%, 04/23/2019 (Acquired 11/21/2013, Cost $2,089,989) (b) | 1,750,000 | 1,784,125 | ||||||
Halliburton Co | ||||||||
6.15%, 09/15/2019 | 77,000 | 89,183 | ||||||
3.50%, 08/01/2023 | 332,000 | 335,020 | ||||||
6.70%, 09/15/2038 | 350,000 | 453,810 | ||||||
7.45%, 09/15/2039 | 521,000 | 731,834 | ||||||
7.60%, 08/15/2096 (Acquired 10/28/2013, Cost $351,058) (b) | 258,000 | 374,863 |
Table of Contents
Harvest Operations Corp | ||||||||
2.13%, 05/14/2018 (Acquired 11/26/2014, Cost $374,775) (b) | 375,000 | 372,499 | ||||||
Hess Corp | ||||||||
7.88%, 10/01/2029 | 173,000 | 221,376 | ||||||
Husky Energy Inc | ||||||||
6.20%, 09/15/2017 | 3,630,000 | 3,992,191 | ||||||
6.15%, 06/15/2019 | 119,000 | 133,760 | ||||||
Kerr-McGee Corp | ||||||||
6.95%, 07/01/2024 | 127,000 | 155,222 | ||||||
7.88%, 09/15/2031 | 1,191,000 | 1,628,212 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 454,000 | 550,364 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,983,239 | ||||||
6.95%, 01/15/2038 | 242,000 | 279,299 | ||||||
6.50%, 09/01/2039 | 107,000 | 119,080 | ||||||
Kinder Morgan Finance Co LLC | ||||||||
5.70%, 01/05/2016 | 97,000 | 100,698 | ||||||
Korea National Oil Corp | ||||||||
3.13%, 04/03/2017 (Acquired 11/26/2014, Cost $206,757) (b) | 200,000 | 205,214 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 240,712 | ||||||
5.15%, 10/15/2043 | 941,000 | 997,557 | ||||||
Marathon Oil Corp | ||||||||
6.00%, 10/01/2017 | 289,000 | 318,555 | ||||||
5.90%, 03/15/2018 | 291,000 | 323,445 | ||||||
2.80%, 11/01/2022 | 700,000 | 655,549 | ||||||
Marathon Petroleum Corp | ||||||||
3.63%, 09/15/2024 | 1,241,000 | 1,216,184 | ||||||
Murphy Oil Corp | ||||||||
4.00%, 06/01/2022 | 537,000 | 493,639 | ||||||
Nabors Industries Inc | ||||||||
2.35%, 09/15/2016 | 5,000,000 | 4,945,690 | ||||||
6.15%, 02/15/2018 | 118,000 | 122,905 | ||||||
5.00%, 09/15/2020 | 1,190,000 | 1,168,782 | ||||||
4.63%, 09/15/2021 | 600,000 | 563,725 | ||||||
National Oilwell Varco Inc | ||||||||
6.13%, 08/15/2015 | 757,000 | 757,360 | ||||||
1.35%, 12/01/2017 | 162,000 | 159,920 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 408,000 | 508,184 | ||||||
7.50%, 07/30/2039 | 4,000,000 | 5,551,400 | ||||||
Noble Energy Inc | ||||||||
8.25%, 03/01/2019 | 323,000 | 387,245 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,716,588 | ||||||
5.05%, 11/15/2044 | 386,000 | 381,533 | ||||||
Noble Holding International Ltd | ||||||||
3.95%, 03/15/2022 | 90,000 | 78,845 | ||||||
6.05%, 03/01/2041 | 500,000 | 429,923 | ||||||
5.25%, 03/15/2042 | 64,000 | 50,486 | ||||||
Occidental Petroleum Corp | ||||||||
1.75%, 02/15/2017 | 251,000 | 252,448 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021 (Acquired 04/30/2014, Cost $422,310) (b) | 425,000 | 405,875 | ||||||
ONEOK Partners LP | ||||||||
6.15%, 10/01/2016 | 365,000 | 391,893 | ||||||
3.20%, 09/15/2018 | 1,300,000 | 1,317,586 |
Table of Contents
8.63%, 03/01/2019 | 353,000 | 426,538 | ||||||
6.65%, 10/01/2036 | 250,000 | 287,719 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,741,025 | ||||||
Petrobras Global Finance BV | ||||||||
2.00%, 05/20/2016 | 3,000,000 | 2,865,450 | ||||||
2.60%, 03/17/2017 | 1,050,000 | 969,255 | ||||||
3.25%, 03/17/2017 | 1,000,000 | 942,500 | ||||||
4.38%, 05/20/2023 | 788,000 | 677,743 | ||||||
6.25%, 03/17/2024 | 1,867,000 | 1,776,525 | ||||||
Petrobras International Finance Co SA | ||||||||
3.50%, 02/06/2017 | 537,000 | 512,787 | ||||||
5.88%, 03/01/2018 | 4,000,000 | 3,905,880 | ||||||
7.88%, 03/15/2019 | 206,000 | 216,788 | ||||||
5.75%, 01/20/2020 | 107,000 | 103,331 | ||||||
5.38%, 01/27/2021 | 743,000 | 688,441 | ||||||
6.75%, 01/27/2041 | 114,000 | 103,691 | ||||||
Petro-Canada | ||||||||
6.05%, 05/15/2018 | 263,000 | 295,808 | ||||||
6.80%, 05/15/2038 | 330,000 | 416,868 | ||||||
Petrofac Ltd | ||||||||
3.40%, 10/10/2018 (Acquired 10/28/2013 through 11/14/2013, Cost $5,099,029) (b) | 5,029,000 | 4,961,269 | ||||||
Petroleos Mexicanos | ||||||||
5.75%, 03/01/2018 | 301,000 | 325,080 | ||||||
5.50%, 01/21/2021 | 7,000,000 | 7,577,500 | ||||||
4.88%, 01/24/2022 | 6,000,000 | 6,284,460 | ||||||
4.88%, 01/18/2024 | 363,000 | 377,157 | ||||||
4.25%, 01/15/2025 (Acquired 10/06/2014, Cost $3,247,155) (b) | 3,266,000 | 3,244,771 | ||||||
6.63%, 06/15/2035 | 5,107,000 | 5,898,585 | ||||||
6.38%, 01/23/2045 | 3,002,000 | 3,399,765 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/2017 | 241,000 | 248,901 | ||||||
4.30%, 04/01/2022 | 5,736,000 | 6,055,443 | ||||||
Pioneer Natural Resources Co | ||||||||
5.88%, 07/15/2016 | 211,000 | 224,099 | ||||||
Plains All American Pipeline LP / PAA Finance Corp | ||||||||
2.60%, 12/15/2019 | 382,000 | 379,345 | ||||||
3.60%, 11/01/2024 | 1,050,000 | 1,030,802 | ||||||
4.90%, 02/15/2045 | 875,000 | 889,217 | ||||||
QEP Resources Inc | ||||||||
6.80%, 03/01/2020 | 107,000 | 110,745 | ||||||
Reliance Holding USA Inc | ||||||||
5.40%, 02/14/2022 (Acquired 11/20/2013, Cost $2,031,263) (b) | 2,000,000 | 2,166,616 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020 (Acquired 10/28/2013, Cost $185,531) (b) | 215,000 | 211,237 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021 (Acquired 10/28/2013, Cost $339,762) (b) | 337,000 | 345,880 | ||||||
3.65%, 12/01/2023 | 3,754,000 | 3,924,240 | ||||||
Shell International Finance BV | ||||||||
3.10%, 06/28/2015 | 103,000 | 104,305 | ||||||
1.13%, 08/21/2017 | 504,000 | 503,143 | ||||||
4.30%, 09/22/2019 | 310,000 | 340,212 | ||||||
4.38%, 03/25/2020 | 885,000 | 969,774 | ||||||
6.38%, 12/15/2038 | 619,000 | 831,824 | ||||||
Sinopec Group Overseas Development 2013 Ltd | ||||||||
4.38%, 10/17/2023 (Acquired 10/28/2013, Cost $476,056) (b) | 475,000 | 497,236 |
Table of Contents
Sinopec Group Overseas Development 2014 Ltd | ||||||||
1.75%, 04/10/2017 (Acquired 04/02/2014, Cost $3,990,920) (b) | 4,000,000 | 3,980,920 | ||||||
Southern Natural Gas Co LLC | ||||||||
5.90%, 04/01/2017 (Acquired 10/28/2013, Cost $163,532) (b) | 150,000 | 161,286 | ||||||
Spectra Energy Capital LLC | ||||||||
8.00%, 10/01/2019 | 515,000 | 623,207 | ||||||
5.65%, 03/01/2020 | 253,000 | 281,073 | ||||||
3.30%, 03/15/2023 | 467,000 | 443,591 | ||||||
7.50%, 09/15/2038 | 257,000 | 310,189 | ||||||
Spectra Energy Partners LP | ||||||||
2.95%, 09/25/2018 | 306,000 | 313,159 | ||||||
5.95%, 09/25/2043 | 207,000 | 245,702 | ||||||
Statoil ASA | ||||||||
3.13%, 08/17/2017 | 304,000 | 317,603 | ||||||
1.20%, 01/17/2018 | 221,000 | 218,391 | ||||||
5.25%, 04/15/2019 | 382,000 | 429,453 | ||||||
3.15%, 01/23/2022 | 237,000 | 239,231 | ||||||
2.45%, 01/17/2023 | 280,000 | 267,074 | ||||||
2.65%, 01/15/2024 | 663,000 | 644,060 | ||||||
3.25%, 11/10/2024 | 508,000 | 509,669 | ||||||
4.25%, 11/23/2041 | 193,000 | 197,823 | ||||||
Suncor Energy Inc | ||||||||
6.10%, 06/01/2018 | 196,000 | 219,855 | ||||||
3.60%, 12/01/2024 | 677,000 | 668,980 | ||||||
5.95%, 12/01/2034 | 248,000 | 289,706 | ||||||
6.85%, 06/01/2039 | 93,000 | 118,717 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 04/01/2024 | 233,000 | 235,622 | ||||||
4.95%, 01/15/2043 | 295,000 | 282,687 | ||||||
5.30%, 04/01/2044 | 200,000 | 201,590 | ||||||
5.35%, 05/15/2045 | 633,000 | 640,005 | ||||||
Talisman Energy Inc | ||||||||
7.75%, 06/01/2019 | 682,000 | 785,575 | ||||||
5.85%, 02/01/2037 | 171,000 | 165,933 | ||||||
6.25%, 02/01/2038 | 164,000 | 166,495 | ||||||
5.50%, 05/15/2042 | 860,000 | 811,777 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 10/28/2013, Cost $663,672) (b) | 714,000 | 676,759 | ||||||
Tosco Corp | ||||||||
7.80%, 01/01/2027 | 392,000 | 537,544 | ||||||
8.13%, 02/15/2030 | 361,000 | 525,201 | ||||||
Total Capital Canada Ltd | ||||||||
0.61%, 01/15/2016 | 174,000 | 174,306 | ||||||
Total Capital International SA | ||||||||
0.75%, 01/25/2016 | 256,000 | 256,162 | ||||||
1.50%, 02/17/2017 | 218,000 | 219,447 | ||||||
1.55%, 06/28/2017 | 581,000 | 582,982 | ||||||
2.10%, 06/19/2019 | 7,200,000 | 7,203,168 | ||||||
2.75%, 06/19/2021 | 900,000 | 903,366 | ||||||
2.88%, 02/17/2022 | 144,000 | 142,544 | ||||||
Total Capital SA | ||||||||
2.30%, 03/15/2016 | 1,032,000 | 1,050,435 | ||||||
4.13%, 01/28/2021 | 229,000 | 246,547 | ||||||
TransCanada PipeLines Ltd | ||||||||
6.50%, 08/15/2018 | 196,000 | 222,351 |
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7.13%, 01/15/2019 | 273,000 | 317,266 | ||||||
6.20%, 10/15/2037 | 155,000 | 182,797 | ||||||
7.25%, 08/15/2038 | 217,000 | 290,264 | ||||||
Transocean Inc | ||||||||
6.50%, 11/15/2020 | 697,000 | 657,249 | ||||||
6.38%, 12/15/2021 | 395,000 | 364,367 | ||||||
3.80%, 10/15/2022 | 287,000 | 232,563 | ||||||
7.50%, 04/15/2031 | 52,000 | 47,984 | ||||||
7.35%, 12/15/2041 | 153,000 | 137,857 | ||||||
Ultramar Diamond Shamrock Corp | ||||||||
7.20%, 10/15/2017 | 1,800,000 | 2,023,756 | ||||||
Valero Energy Corp | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 5,903,295 | ||||||
Weatherford International Ltd/Bermuda | ||||||||
6.00%, 03/15/2018 | 2,000,000 | 2,135,020 | ||||||
4.50%, 04/15/2022 | 249,000 | 221,616 | ||||||
6.50%, 08/01/2036 | 114,000 | 104,442 | ||||||
9.88%, 03/01/2039 | 275,000 | 342,939 | ||||||
6.75%, 09/15/2040 | 40,000 | 37,259 | ||||||
5.95%, 04/15/2042 | 97,000 | 82,133 | ||||||
Williams Cos Inc/The | ||||||||
5.75%, 06/24/2044 | 2,500,000 | 2,174,643 | ||||||
Williams Partners LP | ||||||||
4.30%, 03/04/2024 | 2,500,000 | 2,495,405 | ||||||
6.30%, 04/15/2040 | 333,000 | 372,517 | ||||||
5.80%, 11/15/2043 | 3,550,000 | 3,679,004 | ||||||
|
| |||||||
234,760,718 | ||||||||
|
| |||||||
Financial - 12.73% | ||||||||
ABN AMRO Bank NV | ||||||||
2.50%, 10/30/2018 (Acquired 10/28/13 through 11/15/13, Cost $6,566,713) (b) | 6,542,000 | 6,607,525 | ||||||
ACE INA Holdings Inc | ||||||||
5.60%, 05/15/2015 | 206,000 | 209,512 | ||||||
2.60%, 11/23/2015 | 375,000 | 380,841 | ||||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | 2,720,000 | 3,429,425 | ||||||
AIG Global Funding | ||||||||
1.65%, 12/15/2017 (Acquired 12/08/2014, Cost $452,579) (b) | 453,000 | 452,922 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032 (Acquired 10/28/2013, Cost $1,183,085) (b) | 955,000 | 1,314,965 | ||||||
Allstate Corp/The | ||||||||
3.15%, 06/15/2023 | 420,000 | 422,046 | ||||||
Ally Financial Inc | ||||||||
2.75%, 01/30/2017 | 5,000,000 | 4,984,400 | ||||||
8.00%, 12/31/2018 | 43,000 | 48,805 | ||||||
3.50%, 01/27/2019 | 1,000,000 | 988,000 | ||||||
American Express Centurion Bank | ||||||||
6.00%, 09/13/2017 | 506,000 | 563,928 | ||||||
American Express Co | ||||||||
7.00%, 03/19/2018 | 284,000 | 328,575 | ||||||
American Express Credit Corp | ||||||||
2.80%, 09/19/2016 | 831,000 | 855,440 | ||||||
2.38%, 03/24/2017 | 287,000 | 293,500 | ||||||
2.13%, 03/18/2019 | 637,000 | 636,201 | ||||||
2.25%, 08/15/2019 | 1,500,000 | 1,500,240 |
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American Honda Finance Corp | ||||||||
1.45%, 02/27/2015 (Acquired 10/28/2013, Cost $827,045) (b) | 826,000 | 827,272 | ||||||
2.60%, 09/20/2016 (Acquired 10/28/2013, Cost $1,214,044) (b) | 1,184,000 | 1,218,775 | ||||||
2.13%, 02/28/2017 (Acquired 10/28/2013, Cost $430,260) (b) | 425,000 | 432,749 | ||||||
1.50%, 09/11/2017 (Acquired 10/28/2013, Cost $351,083) (b) | 352,000 | 352,312 | ||||||
1.60%, 02/16/2018 (Acquired 10/28/2013, Cost $299,545) (b) | 302,000 | 300,530 | ||||||
American International Group Inc | ||||||||
5.45%, 05/18/2017 | 611,000 | 666,661 | ||||||
3.38%, 08/15/2020 | 257,000 | 266,972 | ||||||
6.40%, 12/15/2020 | 15,100,000 | 18,006,297 | ||||||
4.13%, 02/15/2024 | 622,000 | 662,126 | ||||||
8.18%, 05/15/2058 | 107,000 | 144,985 | ||||||
American Tower Corp | ||||||||
3.50%, 01/31/2023 | 341,000 | 329,477 | ||||||
American Tower Trust I | ||||||||
1.55%, 03/15/2018 (Acquired 10/28/2013, Cost $388,564) (b) | 396,000 | 391,311 | ||||||
3.07%, 03/15/2023 (Acquired 12/05/2014, Cost $1,581,664) (b) | 1,600,000 | 1,590,608 | ||||||
Ameriprise Financial Inc | ||||||||
7.30%, 06/28/2019 | 215,000 | 259,060 | ||||||
4.00%, 10/15/2023 | 650,000 | 688,522 | ||||||
Ameritech Capital Funding Corp | ||||||||
9.10%, 06/01/2016 | 109,641 | 118,625 | ||||||
6.45%, 01/15/2018 | 321,000 | 360,014 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 628,453 | ||||||
ANZ New Zealand Int’l Ltd/London | ||||||||
3.13%, 08/10/2015 (Acquired 10/28/2013, Cost $306,137) (b) | 302,000 | 306,504 | ||||||
2.60%, 09/23/2019 (Acquired 09/16/2014, Cost $3,647,628) (b) | 3,650,000 | 3,686,186 | ||||||
Aon Corp | ||||||||
3.50%, 09/30/2015 | 208,000 | 212,119 | ||||||
3.13%, 05/27/2016 | 256,000 | 262,689 | ||||||
6.25%, 09/30/2040 | 172,000 | 218,658 | ||||||
Aon PLC | ||||||||
4.00%, 11/27/2023 | 5,000,000 | 5,267,530 | ||||||
3.50%, 06/14/2024 | 475,000 | 475,976 | ||||||
Associates Corp of North America | ||||||||
6.95%, 11/01/2018 | 2,915,000 | 3,404,691 | ||||||
Australia & New Zealand Banking Group Ltd | ||||||||
3.25%, 03/01/2016 (Acquired 10/28/2013, Cost $655,442) (b) | 640,000 | 659,172 | ||||||
2.40%, 11/23/2016 (Acquired 10/28/2013, Cost $1,053,468) (b) | 1,028,000 | 1,051,685 | ||||||
4.88%, 01/12/2021 (Acquired 10/28/2013, Cost $323,611) (b) | 296,000 | 333,597 | ||||||
AXIS Specialty Finance PLC | ||||||||
2.65%, 04/01/2019 | 2,890,000 | 2,897,303 | ||||||
BAC Capital Trust VI | ||||||||
5.63%, 03/08/2035 | 43,000 | 44,672 | ||||||
Banc Amer Cmbs 2005-6 | ||||||||
5.15%, 09/10/2047 | 3,642,143 | 3,717,273 | ||||||
Bank of America Corp | ||||||||
5.00%, 01/15/2015 | 72,000 | 72,083 | ||||||
3.63%, 03/17/2016 | 245,000 | 251,883 | ||||||
6.50%, 08/01/2016 | 515,000 | 554,823 | ||||||
5.63%, 10/14/2016 | 670,000 | 717,493 | ||||||
6.40%, 08/28/2017 | 2,293,000 | 2,554,783 | ||||||
5.75%, 12/01/2017 | 480,000 | 530,350 | ||||||
2.00%, 01/11/2018 | 1,193,000 | 1,192,093 | ||||||
6.88%, 04/25/2018 | 843,000 | 968,253 |
Table of Contents
5.65%, 05/01/2018 | 825,000 | 916,553 | ||||||
6.88%, 11/15/2018 | 1,000,000 | 1,162,591 | ||||||
2.60%, 01/15/2019 | 1,363,000 | 1,373,599 | ||||||
2.65%, 04/01/2019 | 1,400,000 | 1,410,269 | ||||||
7.63%, 06/01/2019 | 360,000 | 435,100 | ||||||
5.63%, 07/01/2020 | 2,625,000 | 2,988,799 | ||||||
5.88%, 01/05/2021 | 15,340,000 | 17,786,316 | ||||||
5.00%, 05/13/2021 | 1,830,000 | 2,042,011 | ||||||
5.70%, 01/24/2022 | 500,000 | 579,218 | ||||||
3.30%, 01/11/2023 | 4,343,000 | 4,343,334 | ||||||
4.10%, 07/24/2023 | 217,000 | 228,533 | ||||||
4.13%, 01/22/2024 | 1,600,000 | 1,680,248 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,488,528 | ||||||
4.20%, 08/26/2024 | 5,765,000 | 5,872,950 | ||||||
4.25%, 10/22/2026 | 544,000 | 542,779 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 4,227,099 | ||||||
7.75%, 05/14/2038 | 137,000 | 193,486 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 5,191,000 | 5,575,991 | ||||||
Bank of Montreal | ||||||||
1.40%, 09/11/2017 | 1,416,000 | 1,414,475 | ||||||
2.55%, 11/06/2022 | 878,000 | 861,192 | ||||||
Bank of New York Mellon Corp/The | ||||||||
3.10%, 01/15/2015 | 258,000 | 258,179 | ||||||
1.20%, 02/20/2015 | 295,000 | 295,096 | ||||||
2.95%, 06/18/2015 | 826,000 | 835,279 | ||||||
2.40%, 01/17/2017 | 1,010,000 | 1,034,505 | ||||||
4.60%, 01/15/2020 | 387,000 | 426,978 | ||||||
3.55%, 09/23/2021 | 355,000 | 371,139 | ||||||
3.65%, 02/04/2024 | 93,000 | 97,258 | ||||||
3.25%, 09/11/2024 | 650,000 | 650,311 | ||||||
Bank of Nova Scotia/The | ||||||||
3.40%, 01/22/2015 | 730,000 | 731,148 | ||||||
0.66%, 12/13/2016 | 5,650,000 | 5,663,995 | ||||||
2.55%, 01/12/2017 | 867,000 | 889,143 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd/The | ||||||||
3.85%, 01/22/2015 (Acquired 10/28/2013, Cost $451,753) (b) | 451,000 | 451,751 | ||||||
2.35%, 02/23/2017 (Acquired 10/28/2013, Cost $995,825) (b) | 980,000 | 996,548 | ||||||
2.30%, 03/10/2019 (Acquired 03/04/2014, Cost $4,392,960) (b) | 4,400,000 | 4,376,258 | ||||||
2.35%, 09/08/2019 (Acquired 09/02/2014, Cost $339,888) (b) | 340,000 | 337,740 | ||||||
4.10%, 09/09/2023 (Acquired 10/28/2013, Cost $245,672) (b) | 239,000 | 257,354 | ||||||
3.75%, 03/10/2024 (Acquired 03/04/2014, Cost $3,208,088) (b) | 3,215,000 | 3,330,216 | ||||||
BanPonce Trust I | ||||||||
8.33%, 02/01/2027 | 234,000 | 204,317 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.70%, 01/20/2017 (Acquired 01/14/2014, Cost $1,648,234) (b) | 1,650,000 | 1,653,597 | ||||||
Barclays Bank PLC | ||||||||
2.75%, 02/23/2015 | 1,193,000 | 1,196,281 | ||||||
2.50%, 09/21/2015 (Acquired 10/28/2013, Cost $875,167) (b) | 864,000 | 876,121 | ||||||
5.00%, 09/22/2016 | 114,000 | 121,478 | ||||||
2.25%, 05/10/2017 (Acquired 10/28/2013, Cost $281,966) (b) | 275,000 | 280,560 | ||||||
6.05%, 12/04/2017 (Acquired 10/28/2013, Cost $416,793) (b) | 382,000 | 420,166 | ||||||
6.75%, 05/22/2019 | 430,000 | 505,983 | ||||||
5.13%, 01/08/2020 | 5,500,000 | 6,166,776 | ||||||
3.75%, 05/15/2024 | 647,000 | 666,896 |
Table of Contents
BB&T Corp | ||||||||
3.95%, 04/29/2016 | 645,000 | 667,715 | ||||||
1.60%, 08/15/2017 | 384,000 | 383,794 | ||||||
2.25%, 02/01/2019 | 150,000 | 150,307 | ||||||
6.85%, 04/30/2019 | 170,000 | 201,673 | ||||||
5.25%, 11/01/2019 | 284,000 | 316,377 | ||||||
2.45%, 01/15/2020 | 950,000 | 946,132 | ||||||
Bear Stearns Cos LLC/The | ||||||||
7.25%, 02/01/2018 | 4,806,000 | 5,539,155 | ||||||
Berkshire Hathaway Finance Corp | ||||||||
1.30%, 05/15/2018 | 100,000 | 99,237 | ||||||
5.40%, 05/15/2018 | 1,207,000 | 1,350,540 | ||||||
3.00%, 05/15/2022 | 268,000 | 272,183 | ||||||
5.75%, 01/15/2040 | 134,000 | 171,475 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,639,195 | ||||||
4.30%, 05/15/2043 | 322,000 | 341,361 | ||||||
Berkshire Hathaway Inc | ||||||||
3.75%, 08/15/2021 | 605,000 | 647,175 | ||||||
3.40%, 01/31/2022 | 1,798,000 | 1,872,119 | ||||||
BlackRock Inc | ||||||||
5.00%, 12/10/2019 | 959,000 | 1,084,227 | ||||||
3.38%, 06/01/2022 | 493,000 | 508,363 | ||||||
3.50%, 03/18/2024 | 405,000 | 417,087 | ||||||
Blackstone Holdings Finance Co LLC | ||||||||
5.88%, 03/15/2021 (Acquired 10/28/2013, Cost $1,608,098) (b) | 1,445,000 | 1,671,559 | ||||||
BNP Paribas SA | ||||||||
3.25%, 03/03/2023 | 430,000 | 438,379 | ||||||
BNZ International Funding Ltd/London | ||||||||
2.35%, 03/04/2019 (Acquired 02/25/2014, Cost $515,830) (b) | 516,000 | 516,061 | ||||||
BPCE SA | ||||||||
1.08%, 02/10/2017 | 306,000 | 308,027 | ||||||
2.50%, 12/10/2018 | 2,500,000 | 2,534,082 | ||||||
2.50%, 07/15/2019 | 1,000,000 | 1,003,939 | ||||||
5.70%, 10/22/2023 (Acquired 10/28/2013 through 11/04/2013, Cost $3,744,380) (b) | 3,645,000 | 3,913,881 | ||||||
Branch Banking & Trust Co | ||||||||
5.63%, 09/15/2016 | 480,000 | 514,428 | ||||||
0.53%, 05/23/2017 | 2,500,000 | 2,484,545 | ||||||
Caisse Centrale Desjardins | ||||||||
2.55%, 03/24/2016 (Acquired 10/28/2013, Cost $641,563) (b) | 624,000 | 637,483 | ||||||
Canadian Imperial Bank of Commerce/Canada | ||||||||
2.60%, 07/02/2015 (Acquired 10/28/2013, Cost $1,277,393) (b) | 1,264,000 | 1,276,895 | ||||||
0.90%, 10/01/2015 | 256,000 | 256,753 | ||||||
Capital One Bank USA NA | ||||||||
2.15%, 11/21/2018 | 5,000,000 | 4,973,900 | ||||||
3.38%, 02/15/2023 | 2,164,000 | 2,151,970 | ||||||
Capital One Financial Corp | ||||||||
2.15%, 03/23/2015 | 262,000 | 262,780 | ||||||
1.00%, 11/06/2015 | 211,000 | 210,799 | ||||||
2.45%, 04/24/2019 | 353,000 | 352,191 | ||||||
4.75%, 07/15/2021 | 7,058,000 | 7,778,890 | ||||||
3.50%, 06/15/2023 | 942,000 | 952,035 | ||||||
3.75%, 04/24/2024 | 2,580,000 | 2,635,726 | ||||||
Capital One NA/Mclean VA | ||||||||
2.95%, 07/23/2021 | 4,120,000 | 4,094,221 |
Table of Contents
CDP Financial Inc | ||||||||
4.40%, 11/25/2019 (Acquired 10/28/2013, Cost $340,277) (b) | 310,000 | 341,349 | ||||||
Charles Schwab Corp/The | ||||||||
3.23%, 09/01/2022 | 165,000 | 168,511 | ||||||
Chubb Corp/The | ||||||||
5.75%, 05/15/2018 | 117,000 | 132,184 | ||||||
CIT Group Inc | ||||||||
6.63%, 04/01/2018 (Acquired 11/22/2013, Cost $1,429,606) (b) | 1,300,000 | 1,410,500 | ||||||
Citigroup Inc | ||||||||
6.01%, 01/15/2015 | 523,000 | 523,744 | ||||||
4.75%, 05/19/2015 | 551,000 | 559,122 | ||||||
4.70%, 05/29/2015 | 155,000 | 157,516 | ||||||
4.45%, 01/10/2017 | 984,000 | 1,040,170 | ||||||
6.00%, 08/15/2017 | 1,393,000 | 1,541,172 | ||||||
6.13%, 11/21/2017 | 850,000 | 947,821 | ||||||
1.85%, 11/24/2017 | 800,000 | 799,081 | ||||||
8.50%, 05/22/2019 | 1,484,000 | 1,849,163 | ||||||
5.38%, 08/09/2020 | 215,000 | 244,359 | ||||||
4.50%, 01/14/2022 | 10,972,000 | 11,989,741 | ||||||
3.38%, 03/01/2023 | 127,000 | 128,136 | ||||||
3.50%, 05/15/2023 | 5,000,000 | 4,867,450 | ||||||
3.75%, 06/16/2024 | 4,508,000 | 4,603,786 | ||||||
5.50%, 09/13/2025 | 494,000 | 546,614 | ||||||
4.30%, 11/20/2026 | 1,570,000 | 1,566,483 | ||||||
6.63%, 01/15/2028 | 387,000 | 488,270 | ||||||
6.88%, 03/05/2038 | 23,000 | 31,337 | ||||||
8.13%, 07/15/2039 | 294,000 | 450,095 | ||||||
5.88%, 01/30/2042 | 212,000 | 266,661 | ||||||
6.68%, 09/13/2043 | 2,800,000 | 3,620,548 | ||||||
Citizens Bank NA/Providence RI | ||||||||
2.45%, 12/04/2019 | 8,000,000 | 7,950,000 | ||||||
CME Group Inc/IL | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,153,430 | ||||||
5.30%, 09/15/2043 | 115,000 | 139,344 | ||||||
CNA Financial Corp | ||||||||
6.50%, 08/15/2016 | 537,000 | 580,838 | ||||||
7.35%, 11/15/2019 | 700,000 | 835,482 | ||||||
5.88%, 08/15/2020 | 523,000 | 597,023 | ||||||
7.25%, 11/15/2023 | 5,470,000 | 6,820,636 | ||||||
Comerica Inc | ||||||||
3.00%, 09/16/2015 | 202,000 | 205,016 | ||||||
3.80%, 07/22/2026 | 984,000 | 990,966 | ||||||
Commonwealth Bank of Australia | ||||||||
0.83%, 10/08/2015 (Acquired 12/05/2013, Cost $536,190) (b) | 537,000 | 536,883 | ||||||
2.25%, 03/16/2017 (Acquired 10/28/2013, Cost $853,911) (b) | 836,000 | 854,821 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
3.20%, 03/11/2015 (Acquired 10/28/2013, Cost $1,317,384) (b) | 1,311,000 | 1,317,555 | ||||||
2.13%, 10/13/2015 | 241,000 | 243,893 | ||||||
3.38%, 01/19/2017 | 258,000 | 269,142 | ||||||
4.50%, 01/11/2021 | 712,000 | 783,164 | ||||||
3.88%, 02/08/2022 | 4,611,000 | 4,905,071 | ||||||
3.95%, 11/09/2022 | 400,000 | 407,451 | ||||||
5.80%, 09/30/2110 (Acquired 10/28/2013, Cost $375,769) (b) | 361,000 | 410,471 | ||||||
Corp Andina de Fomento | ||||||||
3.75%, 01/15/2016 | 939,000 | 962,512 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,939,734 |
Table of Contents
Countrywide Financial Corp | ||||||||
6.25%, 05/15/2016 | 1,461,000 | 1,550,621 | ||||||
Credit Agricole SA | ||||||||
1.11%, 10/03/2016 (Acquired 10/28/2013, Cost $754,739) (b) | 750,000 | 754,676 | ||||||
6.64%, 05/29/2049 (Acquired 10/28/2013, Cost $104,193) (b) | 107,000 | 111,914 | ||||||
Credit Suisse/New York NY | ||||||||
2.30%, 05/28/2019 | 2,413,000 | 2,408,857 | ||||||
5.30%, 08/13/2019 | 169,000 | 189,569 | ||||||
3.00%, 10/29/2021 | 515,000 | 512,596 | ||||||
3.63%, 09/09/2024 | 560,000 | 569,654 | ||||||
Dai-ichi Life Insurance Co Ltd/The | ||||||||
5.10%, 10/29/2049 | 1,095,000 | 1,140,169 | ||||||
Deutsche Bank AG/London | ||||||||
3.25%, 01/11/2016 | 560,000 | 572,149 | ||||||
1.35%, 05/30/2017 | 245,000 | 242,936 | ||||||
6.00%, 09/01/2017 | 341,000 | 378,812 | ||||||
2.50%, 02/13/2019 | 6,300,000 | 6,377,137 | ||||||
3.70%, 05/30/2024 | 3,610,000 | 3,663,309 | ||||||
Digital Realty Trust LP | ||||||||
4.50%, 07/15/2015 | 4,500,000 | 4,542,718 | ||||||
Discover Bank/Greenwood DE | ||||||||
3.20%, 08/09/2021 | 1,600,000 | 1,606,881 | ||||||
4.20%, 08/08/2023 | 6,711,000 | 7,042,054 | ||||||
DNB Boligkreditt AS | ||||||||
2.10%, 10/14/2015 (Acquired 10/28/2013, Cost $1,504,363) (b) | 1,488,000 | 1,505,177 | ||||||
Dresdner Bank AG/New York NY | ||||||||
7.25%, 09/15/2015 | 3,759,000 | 3,887,077 | ||||||
Duke Realty LP | ||||||||
3.88%, 02/15/2021 | 344,000 | 357,288 | ||||||
Equity Commonwealth | ||||||||
6.65%, 01/15/2018 | 401,000 | 440,623 | ||||||
5.88%, 09/15/2020 | 723,000 | 795,390 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 643,239 | ||||||
4.63%, 12/15/2021 | 434,000 | 474,800 | ||||||
Export-Import Bank of Korea | ||||||||
4.00%, 01/11/2017 | 200,000 | 209,666 | ||||||
4.38%, 09/15/2021 | 250,000 | 273,965 | ||||||
Fifth Third Bancorp | ||||||||
5.45%, 01/15/2017 | 150,000 | 160,968 | ||||||
2.30%, 03/01/2019 | 382,000 | 382,572 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
1.15%, 11/18/2016 | 5,000,000 | 4,990,415 | ||||||
2.38%, 04/25/2019 | 1,100,000 | 1,105,008 | ||||||
First Hawaiian Capital I | ||||||||
8.34%, 07/01/2027 | 403,000 | 408,388 | ||||||
First Tennessee Bank NA | ||||||||
5.05%, 01/15/2015 | 542,000 | 542,695 | ||||||
5.65%, 04/01/2016 | 1,344,000 | 1,388,859 | ||||||
2.95%, 12/01/2019 | 5,000,000 | 4,987,155 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033 (Acquired 10/28/2013, Cost $247,282) (b) | 250,000 | 276,403 | ||||||
6.45%, 11/15/2039 (Acquired 10/28/2013, Cost $299,198) (b) | 258,000 | 335,315 | ||||||
Ford Motor Credit Co LLC | ||||||||
4.21%, 04/15/2016 | 345,000 | 357,090 |
Table of Contents
1.48%, 05/09/2016 | 332,000 | 334,889 | ||||||
3.98%, 06/15/2016 | 1,249,000 | 1,293,217 | ||||||
3.00%, 06/12/2017 | 905,000 | 928,536 | ||||||
6.63%, 08/15/2017 | 3,473,000 | 3,871,551 | ||||||
1.68%, 09/08/2017 | 944,000 | 936,489 | ||||||
1.72%, 12/06/2017 | 2,000,000 | 1,979,330 | ||||||
2.38%, 03/12/2019 | 2,672,000 | 2,653,398 | ||||||
2.60%, 11/04/2019 | 1,800,000 | 1,790,318 | ||||||
4.25%, 09/20/2022 | 397,000 | 421,243 | ||||||
General Electric Capital Corp | ||||||||
1.63%, 07/02/2015 | 1,187,000 | 1,194,459 | ||||||
2.25%, 11/09/2015 | 426,000 | 431,845 | ||||||
1.00%, 12/11/2015 | 258,000 | 259,115 | ||||||
0.40%, 02/15/2017 | 361,000 | 359,708 | ||||||
5.40%, 02/15/2017 | 155,000 | 168,271 | ||||||
2.30%, 04/27/2017 | 790,000 | 809,158 | ||||||
5.63%, 09/15/2017 | 764,000 | 848,081 | ||||||
1.60%, 11/20/2017 | 328,000 | 330,015 | ||||||
5.63%, 05/01/2018 | 2,376,000 | 2,673,551 | ||||||
6.00%, 08/07/2019 | 547,000 | 636,256 | ||||||
2.10%, 12/11/2019 | 152,000 | 151,743 | ||||||
5.50%, 01/08/2020 | 2,028,000 | 2,321,200 | ||||||
5.55%, 05/04/2020 | 666,000 | 765,419 | ||||||
4.38%, 09/16/2020 | 1,486,000 | 1,627,521 | ||||||
4.63%, 01/07/2021 | 9,994,000 | 11,139,212 | ||||||
5.30%, 02/11/2021 | 184,000 | 210,126 | ||||||
4.65%, 10/17/2021 | 8,987,000 | 10,129,508 | ||||||
3.15%, 09/07/2022 | 1,935,000 | 1,970,828 | ||||||
3.10%, 01/09/2023 | 1,000,000 | 1,012,495 | ||||||
6.75%, 03/15/2032 | 954,000 | 1,303,051 | ||||||
5.88%, 01/14/2038 | 196,000 | 248,011 | ||||||
6.88%, 01/10/2039 | 9,483,000 | 13,413,770 | ||||||
Genworth Holdings Inc | ||||||||
4.90%, 08/15/2023 | 161,000 | 129,717 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 151,080 | ||||||
Goldman Sachs Group Inc/The | ||||||||
3.30%, 05/03/2015 | 388,000 | 391,150 | ||||||
3.70%, 08/01/2015 | 415,000 | 421,698 | ||||||
1.60%, 11/23/2015 | 688,000 | 691,603 | ||||||
3.63%, 02/07/2016 | 667,000 | 684,381 | ||||||
5.95%, 01/18/2018 | 1,711,000 | 1,900,866 | ||||||
6.15%, 04/01/2018 | 2,084,000 | 2,339,121 | ||||||
2.90%, 07/19/2018 | 263,000 | 269,806 | ||||||
7.50%, 02/15/2019 | 3,617,000 | 4,302,281 | ||||||
2.55%, 10/23/2019 | 1,947,000 | 1,939,890 | ||||||
5.38%, 03/15/2020 | 2,367,000 | 2,652,690 | ||||||
6.00%, 06/15/2020 | 1,514,000 | 1,750,226 | ||||||
5.25%, 07/27/2021 | 694,000 | 783,291 | ||||||
5.75%, 01/24/2022 | 17,547,000 | 20,298,142 | ||||||
3.63%, 01/22/2023 | 1,563,000 | 1,582,728 | ||||||
3.85%, 07/01/2024 | 723,000 | 741,507 | ||||||
6.75%, 10/01/2037 | 4,938,000 | 6,208,918 | ||||||
Great-West Life & Annuity Insurance Capital LP II | ||||||||
7.15%, 05/16/2046 (Acquired 10/28/2013, Cost $309,348) (b) | 301,000 | 311,535 |
Table of Contents
Hartford Financial Services Group Inc/The | ||||||||
4.00%, 10/15/2017 | 537,000 | 570,953 | ||||||
6.00%, 01/15/2019 | 4,591,000 | 5,206,672 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 6,182,484 | ||||||
8.13%, 06/15/2038 | 236,000 | 270,180 | ||||||
HCP Inc | ||||||||
2.63%, 02/01/2020 | 474,000 | 469,077 | ||||||
5.38%, 02/01/2021 | 1,038,000 | 1,159,141 | ||||||
4.20%, 03/01/2024 | 241,000 | 250,925 | ||||||
3.88%, 08/15/2024 | 469,000 | 476,418 | ||||||
Health Care REIT Inc | ||||||||
5.25%, 01/15/2022 | 560,000 | 622,262 | ||||||
4.50%, 01/15/2024 | 461,000 | 488,193 | ||||||
Highmark Inc | ||||||||
4.75%, 05/15/2021 (Acquired 10/30/2013 through 11/20/2013, Cost $3,333,440) (b) | 3,322,000 | 3,431,021 | ||||||
HSBC Bank PLC | ||||||||
3.50%, 06/28/2015 (Acquired 10/28/2013, Cost $483,471) (b) | 477,000 | 483,790 | ||||||
1.50%, 05/15/2018 (Acquired 10/28/2013, Cost $931,575) (b) | 944,000 | 933,707 | ||||||
4.13%, 08/12/2020 (Acquired 10/28/2013, Cost $650,720) (b) | 615,000 | 665,724 | ||||||
4.75%, 01/19/2021 (Acquired 10/28/2013, Cost $1,505,862) (b) | 1,382,000 | 1,538,500 | ||||||
HSBC Finance Corp | ||||||||
5.00%, 06/30/2015 | 671,000 | 684,538 | ||||||
0.66%, 06/01/2016 | 2,605,000 | 2,599,313 | ||||||
7.35%, 11/27/2032 | 32,000 | 41,751 | ||||||
HSBC Holdings PLC | ||||||||
5.10%, 04/05/2021 | 482,000 | 544,852 | ||||||
4.88%, 01/14/2022 | 743,000 | 828,184 | ||||||
4.00%, 03/30/2022 | 1,012,000 | 1,077,068 | ||||||
6.50%, 09/15/2037 | 5,996,000 | 7,704,176 | ||||||
6.10%, 01/14/2042 | 743,000 | 992,187 | ||||||
HSBC USA Capital Trust I | ||||||||
7.81%, 12/15/2026 (Acquired 10/28/13 through 11/25/13, Cost $1,108,394) (b) | 1,100,000 | 1,108,986 | ||||||
HSBC USA Capital Trust II | ||||||||
8.38%, 05/15/2027 (Acquired 10/28/13 through 11/25/13, Cost $54,539) (b) | 54,000 | 54,706 | ||||||
HSBC USA Capital Trust III | ||||||||
7.75%, 11/15/2026 | 107,000 | 107,851 | ||||||
HSBC USA Inc | ||||||||
2.38%, 02/13/2015 | 1,032,000 | 1,034,073 | ||||||
1.63%, 01/16/2018 | 769,000 | 766,039 | ||||||
9.13%, 05/15/2021 | 75,000 | 99,493 | ||||||
Hyundai Capital Services Inc | ||||||||
4.38%, 07/27/2016 (Acquired 10/28/2013, Cost $2,469,276) (b) | 2,367,000 | 2,476,699 | ||||||
3.50%, 09/13/2017 (Acquired 10/28/2013, Cost $4,860,218) (b) | 4,650,000 | 4,810,318 | ||||||
Industrial & Commercial Bank of China Ltd/New York | ||||||||
2.35%, 11/13/2017 | 676,000 | 674,202 | ||||||
ING Bank NV | ||||||||
2.00%, 09/25/2015 (Acquired 10/28/2013, Cost $257,523) (b) | 256,000 | 257,999 | ||||||
1.38%, 03/07/2016 (Acquired 10/28/2013, Cost $514,189) (b) | 516,000 | 517,856 | ||||||
4.00%, 03/15/2016 (Acquired 10/28/2013, Cost $403,542) (b) | 392,000 | 405,459 | ||||||
3.75%, 03/07/2017 (Acquired 10/28/2013, Cost $1,421,709) (b) | 1,369,000 | 1,432,661 | ||||||
2.50%, 10/01/2019 (Acquired 09/23/2014, Cost $1,143,790) (b) | 1,150,000 | 1,157,355 | ||||||
5.80%, 09/25/2023 (Acquired 01/14/2014, Cost $5,048,824) (b) | 4,800,000 | 5,324,539 | ||||||
Intercontinental Exchange Inc | ||||||||
2.50%, 10/15/2018 | 243,000 | 247,428 | ||||||
4.00%, 10/15/2023 | 578,000 | 608,411 |
Table of Contents
International Bank for Reconstruction & Development | ||||||||
0.00%, 02/15/2016 | 980,000 | 972,381 | ||||||
2.25%, 06/24/2021 | 11,190,000 | 11,281,199 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.13%, 01/15/2016 (Acquired 11/21/2013, Cost $3,234,225) (b) | 3,200,000 | 3,250,576 | ||||||
Invesco Finance PLC | ||||||||
3.13%, 11/30/2022 | 710,000 | 703,658 | ||||||
4.00%, 01/30/2024 | 2,400,000 | 2,516,499 | ||||||
Jackson National Life Global Funding | ||||||||
4.70%, 06/01/2018 (Acquired 10/28/2013, Cost $325,631) (b) | 310,000 | 337,693 | ||||||
Jefferies Group LLC | ||||||||
3.88%, 11/09/2015 | 317,000 | 323,698 | ||||||
5.13%, 04/13/2018 | 1,534,000 | 1,617,769 | ||||||
8.50%, 07/15/2019 | 600,000 | 718,980 | ||||||
6.88%, 04/15/2021 | 785,000 | 892,356 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,642,947 | ||||||
6.45%, 06/08/2027 | 578,000 | 599,699 | ||||||
6.25%, 01/15/2036 | 155,000 | 152,330 | ||||||
John Deere Capital Corp | ||||||||
1.20%, 10/10/2017 | 560,000 | 556,810 | ||||||
2.25%, 04/17/2019 | 5,335,000 | 5,382,594 | ||||||
1.70%, 01/15/2020 | 123,000 | 119,880 | ||||||
3.15%, 10/15/2021 | 257,000 | 266,470 | ||||||
2.80%, 01/27/2023 | 373,000 | 371,293 | ||||||
John Hancock Life Insurance Co | ||||||||
7.38%, 02/15/2024 (Acquired 10/28/2013, Cost $880,522) (b) | 731,000 | 912,512 | ||||||
JPMorgan Chase & Co | ||||||||
2.20%, 10/22/2019 | 2,000,000 | 1,982,754 | ||||||
4.25%, 10/15/2020 | 64,000 | 68,807 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 10,866,760 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,759,393 | ||||||
5.60%, 07/15/2041 | 494,000 | 598,090 | ||||||
5.63%, 08/16/2043 | 5,230,000 | 6,081,983 | ||||||
Kemper Corp | ||||||||
6.00%, 05/15/2017 | 5,000,000 | 5,401,655 | ||||||
KeyCorp | ||||||||
2.30%, 12/13/2018 | 211,000 | 211,728 | ||||||
KFW | ||||||||
2.75%, 10/01/2020 | 8,095,000 | 8,455,551 | ||||||
Korea Development Bank/The | ||||||||
0.86%, 01/22/2017 | 5,125,000 | 5,135,896 | ||||||
LeasePlan Corp NV | ||||||||
2.50%, 05/16/2018 (Acquired 10/28/2013 through 12/27/2013, Cost $9,225,433) (b) | 9,206,000 | 9,209,949 | ||||||
Liberty Mutual Group Inc | ||||||||
5.00%, 06/01/2021 (Acquired 10/28/2013, Cost $373,480) (b) | 351,000 | 382,345 | ||||||
4.25%, 06/15/2023 (Acquired 10/28/2013, Cost $319,166) (b) | 322,000 | 331,814 | ||||||
6.50%, 03/15/2035 (Acquired 11/19/2013, Cost $4,430,659) (b) | 4,000,000 | 4,887,064 | ||||||
10.75%, 06/15/2058 (Acquired 10/28/2013, Cost $406,070) (b) | 269,000 | 415,233 | ||||||
Liberty Mutual Insurance Co | ||||||||
8.50%, 05/15/2025 (Acquired 07/01/2014, Cost $904,424) (b) | 700,000 | 889,448 | ||||||
7.70%, 10/15/2097 (Acquired 10/28/2013, Cost $106,315) (b) | 100,000 | 126,322 | ||||||
Lincoln National Corp | ||||||||
8.75%, 07/01/2019 | 5,000,000 | 6,247,650 | ||||||
4.85%, 06/24/2021 | 168,000 | 185,066 | ||||||
4.20%, 03/15/2022 | 265,000 | 281,476 |
Table of Contents
7.00%, 06/15/2040 | 6,460,000 | 8,958,922 | ||||||
6.05%, 04/20/2067 | 121,000 | 121,000 | ||||||
Lloyds Bank PLC | ||||||||
2.30%, 11/27/2018 | 1,075,000 | 1,085,154 | ||||||
5.80%, 01/13/2020 (Acquired 10/28/2013, Cost $193,532) (b) | 172,000 | 198,754 | ||||||
M&I Marshall & Ilsley Bank | ||||||||
4.85%, 06/16/2015 | 1,360,000 | 1,384,568 | ||||||
M&T Capital Trust I | ||||||||
8.23%, 02/01/2027 | 337,000 | 340,146 | ||||||
M&T Capital Trust II | ||||||||
8.28%, 06/01/2027 | 169,000 | 172,031 | ||||||
Mack-Cali Realty LP | ||||||||
2.50%, 12/15/2017 | 5,050,000 | 5,070,170 | ||||||
Macquarie Bank Ltd | ||||||||
5.00%, 02/22/2017 (Acquired 10/28/2013, Cost $2,887,181) (b) | 2,719,000 | 2,900,096 | ||||||
1.60%, 10/27/2017 (Acquired 10/22/2014, Cost $619,622) (b) | 620,000 | 615,926 | ||||||
2.60%, 06/24/2019 (Acquired 06/16/2014, Cost $582,644) (b) | 583,000 | 587,883 | ||||||
Macquarie Group Ltd | ||||||||
3.00%, 12/03/2018 (Acquired 11/25/2013, Cost $5,976,000) (b) | 6,000,000 | 6,143,226 | ||||||
6.00%, 01/14/2020 (Acquired 10/28/2013, Cost $515,409) (b) | 475,000 | 538,020 | ||||||
6.25%, 01/14/2021 (Acquired 10/28/2013, Cost $1,215,417) (b) | 1,111,000 | 1,271,454 | ||||||
Manufacturers & Traders Trust Co | ||||||||
6.63%, 12/04/2017 | 464,000 | 524,936 | ||||||
Manulife Financial Corp | ||||||||
4.90%, 09/17/2020 | 225,000 | 247,036 | ||||||
Markel Corp | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 4,486,527 | ||||||
Marsh & McLennan Cos Inc | ||||||||
2.30%, 04/01/2017 | 269,000 | 272,334 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,557,100 | ||||||
3.50%, 03/10/2025 | 580,000 | 583,686 | ||||||
Massachusetts Mutual Life Insurance Co | ||||||||
7.63%, 11/15/2023 (Acquired 10/10/2012, Cost $700,907) (b) | 550,000 | 705,646 | ||||||
8.88%, 06/01/2039 (Acquired 10/28/2013 through 12/02/2013, Cost $8,026,279) (b) | 5,548,000 | 8,951,681 | ||||||
5.38%, 12/01/2041 (Acquired 10/28/2013, Cost $213,012) (b) | 203,000 | 241,383 | ||||||
MassMutual Global Funding II | ||||||||
3.13%, 04/14/2016 (Acquired 10/28/2013, Cost $287,440) (b) | 280,000 | 288,352 | ||||||
2.00%, 04/05/2017 (Acquired 10/28/2013, Cost $1,668,053) (b) | 1,652,000 | 1,675,275 | ||||||
2.50%, 10/17/2022 (Acquired 10/28/2013, Cost $360,857) (b) | 386,000 | 375,731 | ||||||
MBIA Insurance Corp | ||||||||
11.49%, 01/15/2033 (Acquired 10/28/2013, Cost $63,057) (b) | 86,000 | 51,600 | ||||||
MetLife Inc | ||||||||
6.82%, 08/15/2018 | 84,000 | 97,736 | ||||||
7.72%, 02/15/2019 | 118,000 | 142,989 | ||||||
4.37%, 09/15/2023 | 7,200,000 | 7,850,794 | ||||||
6.50%, 12/15/2032 | 56,000 | 74,700 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,388,041 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.50%, 09/29/2015 (Acquired 10/28/2013, Cost $1,044,828) (b) | 1,032,000 | 1,046,793 | ||||||
3.13%, 01/11/2016 (Acquired 10/28/2013, Cost $340,770) (b) | 334,000 | 342,700 | ||||||
1.50%, 01/10/2018 (Acquired 10/28/2013, Cost $1,382,827) (b) | 1,392,000 | 1,383,326 | ||||||
3.65%, 06/14/2018 (Acquired 10/28/2013, Cost $1,444,349) (b) | 1,373,000 | 1,454,265 | ||||||
1.88%, 06/22/2018 (Acquired 10/28/2013, Cost $223,464) (b) | 225,000 | 223,998 | ||||||
3.88%, 04/11/2022 (Acquired 10/28/2013, Cost $1,518,940) (b) | 1,480,000 | 1,564,518 |
Table of Contents
Metropolitan Life Insurance Co | ||||||||
7.70%, 11/01/2015 (Acquired 11/21/2013, Cost $3,159,085) (b) | 3,000,000 | 3,163,236 | ||||||
Mizuho Bank Ltd | ||||||||
1.85%, 03/21/2018 (Acquired 10/28/2013, Cost $372,061) (b) | 376,000 | 373,955 | ||||||
2.65%, 09/25/2019 (Acquired 09/18/2014, Cost $2,994,840) (b) | 3,000,000 | 3,013,719 | ||||||
3.60%, 09/25/2024 (Acquired 09/18/2014, Cost $1,247,600) (b) | 1,250,000 | 1,270,100 | ||||||
Morgan Stanley | ||||||||
6.00%, 04/28/2015 | 340,000 | 345,503 | ||||||
4.00%, 07/24/2015 | 684,000 | 696,875 | ||||||
1.75%, 02/25/2016 | 170,000 | 170,922 | ||||||
5.45%, 01/09/2017 | 537,000 | 576,584 | ||||||
5.95%, 12/28/2017 | 110,000 | 122,227 | ||||||
6.63%, 04/01/2018 | 457,000 | 520,539 | ||||||
7.30%, 05/13/2019 | 2,257,000 | 2,677,131 | ||||||
2.38%, 07/23/2019 | 1,700,000 | 1,693,730 | ||||||
5.63%, 09/23/2019 | 1,702,000 | 1,921,207 | ||||||
5.50%, 07/24/2020 | 774,000 | 873,248 | ||||||
5.75%, 01/25/2021 | 11,635,000 | 13,356,410 | ||||||
5.50%, 07/28/2021 | 372,000 | 422,176 | ||||||
4.88%, 11/01/2022 | 1,895,000 | 2,012,638 | ||||||
3.75%, 02/25/2023 | 600,000 | 615,493 | ||||||
4.10%, 05/22/2023 | 1,645,000 | 1,665,460 | ||||||
3.88%, 04/29/2024 | 1,350,000 | 1,385,149 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,182,894 | ||||||
5.00%, 11/24/2025 | 4,306,000 | 4,594,997 | ||||||
4.35%, 09/08/2026 | 280,000 | 281,673 | ||||||
6.38%, 07/24/2042 | 2,000,000 | 2,656,068 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 258,000 | 272,292 | ||||||
National Australia Bank Ltd | ||||||||
3.75%, 03/02/2015 (Acquired 10/28/2013, Cost $358,818) (b) | 357,000 | 358,778 | ||||||
2.75%, 09/28/2015 (Acquired 10/28/2013, Cost $815,786) (b) | 805,000 | 816,720 | ||||||
0.73%, 10/08/2015 (Acquired 10/28/2013, Cost $1,200,015) (b) | 1,200,000 | 1,199,827 | ||||||
3.00%, 07/27/2016 (Acquired 10/28/2013, Cost $742,920) (b) | 722,000 | 744,449 | ||||||
0.66%, 12/02/2016 (Acquired 11/21/2013, Cost $5,000,000) (b) | 5,000,000 | 5,017,865 | ||||||
2.00%, 06/20/2017 (Acquired 10/28/2013, Cost $2,098,807) (b) | 2,064,000 | 2,094,743 | ||||||
National City Bank/Cleveland OH | ||||||||
5.80%, 06/07/2017 | 1,013,000 | 1,112,269 | ||||||
National Rural Utilities Cooperative Finance Corp | ||||||||
10.38%, 11/01/2018 | 3,522,000 | 4,588,215 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,162,559 | ||||||
Nationwide Mutual Insurance Co | ||||||||
8.25%, 12/01/2031 (Acquired 02/13/2014, Cost $382,872) (b) | 300,000 | 426,175 | ||||||
9.38%, 08/15/2039 (Acquired 10/28/2013, Cost $1,785,910) (b) | 1,283,000 | 2,032,858 | ||||||
Navient LLC | ||||||||
5.63%, 08/01/2033 | 54,000 | 40,770 | ||||||
New York Life Global Funding | ||||||||
1.30%, 01/12/2015 (Acquired 10/28/2013, Cost $640,139) (b) | 640,000 | 640,057 | ||||||
3.00%, 05/04/2015 (Acquired 10/28/2013, Cost $1,022,414) (b) | 1,014,000 | 1,022,828 | ||||||
0.75%, 07/24/2015 (Acquired 10/28/2013, Cost $582,302) (b) | 582,000 | 582,241 | ||||||
0.80%, 02/12/2016 (Acquired 10/28/2013, Cost $155,159) (b) | 155,000 | 155,265 | ||||||
2.10%, 01/02/2019 (Acquired 12/5/2013, Cost $8,140,627) (b) | 8,150,000 | 8,179,185 | ||||||
2.15%, 06/18/2019 (Acquired 06/11/2014, Cost $731,173) (b) | 732,000 | 730,571 | ||||||
Nippon Life Insurance Co | ||||||||
5.10%, 10/16/2044 (Acquired 10/09/2014, Cost $5,020,000) (b) | 5,020,000 | 5,245,900 |
Table of Contents
Nomura Holdings Inc | ||||||||
5.00%, 03/04/2015 | 292,000 | 294,086 | ||||||
4.13%, 01/19/2016 | 864,000 | 888,100 | ||||||
2.00%, 09/13/2016 | 6,972,000 | 7,028,243 | ||||||
6.70%, 03/04/2020 | 5,300,000 | 6,266,063 | ||||||
Nordea Bank AB | ||||||||
3.13%, 03/20/2017 (Acquired 10/28/2013, Cost $1,637,978) (b) | 1,584,000 | 1,640,984 | ||||||
1.63%, 05/15/2018 (Acquired 10/28/2013, Cost $254,870) (b) | 258,000 | 255,546 | ||||||
4.88%, 05/13/2021 (Acquired 10/28/2013, Cost $669,253) (b) | 640,000 | 693,356 | ||||||
Northern Trust Corp | ||||||||
3.95%, 10/30/2025 | 6,915,000 | 7,196,835 | ||||||
Oversea-Chinese Banking Corp Ltd | ||||||||
1.63%, 03/13/2015 (Acquired 10/28/2013, Cost $679,147) (b) | 678,000 | 679,212 | ||||||
Pacific Life Global Funding | ||||||||
5.00%, 05/15/2017 (Acquired 10/28/2013, Cost $429,048) (b) | 413,000 | 440,113 | ||||||
Pacific Life Insurance Co | ||||||||
9.25%, 06/15/2039 (Acquired 10/28/2013, Cost $736,119) (b) | 526,000 | 827,400 | ||||||
Pemex Finance Ltd | ||||||||
10.61%, 08/15/2017 | 221,375 | 246,097 | ||||||
People’s United Bank | ||||||||
4.00%, 07/15/2024 | 1,220,000 | 1,235,728 | ||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,351,735 | ||||||
4.20%, 11/01/2025 | 322,000 | 340,576 | ||||||
PNC Financial Services Group Inc/The | ||||||||
3.90%, 04/29/2024 | 2,090,000 | 2,124,211 | ||||||
PNC Funding Corp | ||||||||
5.25%, 11/15/2015 | 124,000 | 128,514 | ||||||
2.70%, 09/19/2016 | 133,000 | 136,586 | ||||||
5.63%, 02/01/2017 | 127,000 | 137,063 | ||||||
6.70%, 06/10/2019 | 423,000 | 500,844 | ||||||
5.13%, 02/08/2020 | 588,000 | 660,718 | ||||||
4.38%, 08/11/2020 | 468,000 | 510,737 | ||||||
3.30%, 03/08/2022 | 575,000 | 591,340 | ||||||
Portigon AG/New York | ||||||||
4.80%, 07/15/2015 | 300,000 | 305,781 | ||||||
Principal Financial Group Inc | ||||||||
1.85%, 11/15/2017 | 149,000 | 149,119 | ||||||
Principal Life Global Funding I | ||||||||
5.05%, 03/15/2015 (Acquired 10/28/2013, Cost $166,357) (b) | 165,000 | 166,471 | ||||||
Principal Life Global Funding II | ||||||||
1.00%, 12/11/2015 (Acquired 10/28/2013, Cost $183,159) (b) | 183,000 | 183,468 | ||||||
1.50%, 09/11/2017 (Acquired 09/04/2014, Cost $1,379,351) (b) | 1,380,000 | 1,376,076 | ||||||
Private Export Funding Corp | ||||||||
4.38%, 03/15/2019 | 970,000 | 1,067,776 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,217,390 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,637,340 | ||||||
Prologis LP | ||||||||
4.25%, 08/15/2023 | 295,000 | 311,707 | ||||||
Protective Life Corp | ||||||||
7.38%, 10/15/2019 | 854,000 | 1,027,699 | ||||||
Prudential Covered Trust 2012-1 | ||||||||
3.00%, 09/30/2015 (Acquired 10/28/2013, Cost $728,995) (b) | 719,250 | 729,353 | ||||||
Prudential Financial Inc | ||||||||
2.35%, 08/15/2019 | 650,000 | 650,384 |
Table of Contents
Prudential Insurance Co of America/The | ||||||||
8.30%, 07/01/2025 (Acquired 10/28/2013, Cost $1,530,136) (b) | 1,191,000 | 1,608,535 | ||||||
Realty Income Corp | ||||||||
2.00%, 01/31/2018 | 4,700,000 | 4,708,662 | ||||||
Regions Bank/Birmingham AL | ||||||||
7.50%, 05/15/2018 | 2,787,000 | 3,235,414 | ||||||
Regions Financial Corp | ||||||||
5.75%, 06/15/2015 | 215,000 | 219,465 | ||||||
Royal Bank of Canada | ||||||||
2.30%, 07/20/2016 | 867,000 | 884,808 | ||||||
1.20%, 09/19/2017 | 727,000 | 722,849 | ||||||
2.20%, 07/27/2018 | 155,000 | 156,720 | ||||||
2.00%, 10/01/2018 | 1,231,000 | 1,242,338 | ||||||
2.20%, 09/23/2019 | 7,985,000 | 8,043,450 | ||||||
Royal Bank of Scotland PLC/The | ||||||||
6.13%, 01/11/2021 | 338,000 | 398,293 | ||||||
Santander Bank NA | ||||||||
8.75%, 05/30/2018 | 4,878,000 | 5,809,708 | ||||||
Simon Property Group LP | ||||||||
2.15%, 09/15/2017 | 946,000 | 962,039 | ||||||
6.13%, 05/30/2018 | 379,000 | 431,337 | ||||||
7.38%, 06/15/2018 | 3,000,000 | 3,527,400 | ||||||
5.65%, 02/01/2020 | 114,000 | 130,856 | ||||||
4.38%, 03/01/2021 | 6,818,000 | 7,486,525 | ||||||
4.13%, 12/01/2021 | 442,000 | 480,815 | ||||||
3.38%, 10/01/2024 | 910,000 | 925,620 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.75%, 03/19/2018 (Acquired 10/28/2013, Cost $296,377) (b) | 299,000 | 297,478 | ||||||
2.38%, 11/20/2018 (Acquired 11/13/2013, Cost $5,197,958) (b) | 5,200,000 | 5,259,197 | ||||||
2.38%, 03/25/2019 (Acquired 03/18/2014, Cost $1,224,081) (b) | 1,225,000 | 1,232,938 | ||||||
Societe Generale SA | ||||||||
1.34%, 10/01/2018 | 1,000,000 | 1,017,644 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 318,677 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.75%, 11/15/2019 (Acquired 10/28/2013, Cost $1,707,130) (b) | 1,757,000 | 1,719,834 | ||||||
Springleaf Finance Corp | ||||||||
6.90%, 12/15/2017 | 100,000 | 106,500 | ||||||
Stadshypotek AB | ||||||||
1.88%, 10/02/2019 (Acquired 10/28/2013, Cost $672,755) (b) | 683,000 | 674,622 | ||||||
Standard Chartered PLC | ||||||||
2.40%, 09/08/2019 (Acquired 09/03/2014, Cost $7,636,766) (b) | 7,650,000 | 7,609,616 | ||||||
5.20%, 01/26/2024 (Acquired 10/28/2013, Cost $630,244) (b) | 609,000 | 632,789 | ||||||
State Street Corp | ||||||||
3.10%, 05/15/2023 | 321,000 | 316,477 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,455,159 | ||||||
Sumitomo Mitsui Banking Corp | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 5,022,635 | ||||||
3.95%, 07/19/2023 | 250,000 | 266,140 | ||||||
SunTrust Bank/Atlanta GA | ||||||||
7.25%, 03/15/2018 | 1,608,000 | 1,860,543 | ||||||
SunTrust Banks Inc | ||||||||
6.00%, 09/11/2017 | 103,000 | 114,180 | ||||||
2.50%, 05/01/2019 | 8,810,000 | 8,867,873 | ||||||
Susa Partnership LP | ||||||||
8.20%, 06/01/2017 | 111,000 | 126,602 |
Table of Contents
Svenska Handelsbanken AB | ||||||||
3.13%, 07/12/2016 | 691,000 | 713,746 | ||||||
2.50%, 01/25/2019 | 2,000,000 | 2,039,240 | ||||||
Swedbank AB | ||||||||
2.13%, 09/29/2017 (Acquired 10/28/2013, Cost $216,859) (b) | 215,000 | 217,478 | ||||||
2.38%, 02/27/2019 (Acquired 02/20/2014, Cost $5,989,860) (b) | 6,000,000 | 6,036,276 | ||||||
Symetra Financial Corp | ||||||||
6.13%, 04/01/2016 (Acquired 10/28/2013, Cost $1,049,517) (b) | 1,000,000 | 1,049,131 | ||||||
Synchrony Financial | ||||||||
1.88%, 08/15/2017 | 2,620,000 | 2,625,090 | ||||||
3.00%, 08/15/2019 | 4,775,000 | 4,827,253 | ||||||
3.75%, 08/15/2021 | 6,000,000 | 6,128,934 | ||||||
4.25%, 08/15/2024 | 2,000,000 | 2,052,258 | ||||||
TD Ameritrade Holding Corp | ||||||||
5.60%, 12/01/2019 | 355,000 | 407,513 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039 (Acquired 11/22/2013, Cost $3,203,186) (b) | 2,580,000 | 3,523,839 | ||||||
Toronto-Dominion Bank/The | ||||||||
2.20%, 07/29/2015 (Acquired 10/28/2013, Cost $942,206) (b) | 933,000 | 942,077 | ||||||
2.50%, 07/14/2016 | 556,000 | 569,571 | ||||||
1.50%, 03/13/2017 (Acquired 10/28/2013, Cost $1,459,015) (b) | 1,445,000 | 1,456,165 | ||||||
2.25%, 11/05/2019 | 432,000 | 432,859 | ||||||
Travelers Cos Inc/The | ||||||||
5.80%, 05/15/2018 | 110,000 | 124,223 | ||||||
UBS AG/Stamford CT | ||||||||
3.88%, 01/15/2015 | 783,000 | 783,827 | ||||||
5.75%, 04/25/2018 | 511,000 | 574,844 | ||||||
Voya Financial Inc | ||||||||
5.50%, 07/15/2022 | 8,000,000 | 9,036,928 | ||||||
Wachovia Corp | ||||||||
5.75%, 06/15/2017 | 315,000 | 347,768 | ||||||
5.75%, 02/01/2018 | 1,865,000 | 2,088,390 | ||||||
Wells Fargo & Co | ||||||||
3.68%, 06/15/2016 | 1,723,000 | 1,787,265 | ||||||
2.63%, 12/15/2016 | 1,583,000 | 1,626,401 | ||||||
5.63%, 12/11/2017 | 948,000 | 1,054,470 | ||||||
3.00%, 01/22/2021 | 1,000,000 | 1,018,790 | ||||||
4.60%, 04/01/2021 | 1,377,000 | 1,532,132 | ||||||
3.50%, 03/08/2022 | 929,000 | 969,807 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,911,888 | ||||||
5.61%, 01/15/2044 | 317,000 | 373,176 | ||||||
4.65%, 11/04/2044 | 675,000 | 696,506 | ||||||
Wells Fargo Bank NA | ||||||||
4.75%, 02/09/2015 | 503,000 | 505,004 | ||||||
5.00%, 08/15/2015 | 485,000 | 497,997 | ||||||
0.57%, 03/15/2016 | 457,000 | 456,314 | ||||||
6.00%, 11/15/2017 | 2,224,000 | 2,492,911 | ||||||
Westpac Banking Corp | ||||||||
4.20%, 02/27/2015 | 495,000 | 497,495 | ||||||
2.45%, 11/28/2016 (Acquired 10/28/2013, Cost $693,509) (b) | 676,000 | 692,873 | ||||||
1.60%, 01/12/2018 | 846,000 | 845,947 | ||||||
0.97%, 07/30/2018 | 3,060,000 | 3,085,848 | ||||||
4.88%, 11/19/2019 | 1,105,000 | 1,232,919 | ||||||
Weyerhaeuser Co | ||||||||
7.38%, 03/15/2032 | 500,000 | 665,674 |
Table of Contents
Willis North America Inc | ||||||||
5.63%, 07/15/2015 | 81,000 | 82,962 | ||||||
7.00%, 09/29/2019 | 537,000 | 626,301 | ||||||
WR Berkley Corp | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 3,519,216 | ||||||
XLIT Ltd | ||||||||
2.30%, 12/15/2018 | 4,375,000 | 4,377,861 | ||||||
5.25%, 12/15/2043 | 2,700,000 | 3,051,640 | ||||||
|
| |||||||
981,388,740 | ||||||||
|
| |||||||
Industrial - 0.84% | ||||||||
ABB Finance USA Inc | ||||||||
1.63%, 05/08/2017 | 173,000 | 173,570 | ||||||
2.88%, 05/08/2022 | 241,000 | 242,205 | ||||||
4.38%, 05/08/2042 | 107,000 | 115,861 | ||||||
Acuity Brands Lighting Inc | ||||||||
6.00%, 12/15/2019 | 451,000 | 499,914 | ||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 10/28/2013, Cost $355,534) (b) | 376,000 | 370,997 | ||||||
BAE Systems Holdings Inc | ||||||||
6.38%, 06/01/2019 (Acquired 10/28/2013, Cost $274,077) (b) | 243,000 | 280,549 | ||||||
BAE Systems PLC | ||||||||
5.80%, 10/11/2041 (Acquired 10/28/2013, Cost $579,484) (b) | 550,000 | 666,853 | ||||||
BAE System Holdings, Inc. | ||||||||
3.80%, 10/07/2024 (Acquired 09/30/2014, Cost $348,960) (b) | 350,000 | 358,778 | ||||||
Boeing Co/The | ||||||||
3.50%, 02/15/2015 | 26,000 | 26,084 | ||||||
4.88%, 02/15/2020 | 52,000 | 58,619 | ||||||
7.95%, 08/15/2024 | 124,000 | 173,463 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.65%, 05/01/2017 | 378,000 | 414,612 | ||||||
5.75%, 03/15/2018 | 173,000 | 193,909 | ||||||
3.60%, 09/01/2020 | 146,000 | 153,221 | ||||||
3.45%, 09/15/2021 | 215,000 | 224,352 | ||||||
3.05%, 03/15/2022 | 440,000 | 444,568 | ||||||
3.00%, 03/15/2023 | 206,000 | 205,344 | ||||||
6.70%, 08/01/2028 | 62,000 | 78,544 | ||||||
7.29%, 06/01/2036 | 134,000 | 187,435 | ||||||
5.75%, 05/01/2040 | 373,000 | 460,193 | ||||||
5.40%, 06/01/2041 | 542,000 | 646,560 | ||||||
4.38%, 09/01/2042 | 462,000 | 474,580 | ||||||
5.15%, 09/01/2043 | 389,000 | 448,563 | ||||||
Canadian Pacific Railway Co | ||||||||
7.13%, 10/15/2031 | 155,000 | 213,173 | ||||||
Caterpillar Financial Services Corp | ||||||||
5.50%, 03/15/2016 | 93,000 | 98,307 | ||||||
5.45%, 04/15/2018 | 103,000 | 114,960 | ||||||
7.05%, 10/01/2018 | 361,000 | 425,874 | ||||||
7.15%, 02/15/2019 | 62,000 | 74,171 | ||||||
2.75%, 08/20/2021 | 420,000 | 423,649 | ||||||
2.85%, 06/01/2022 | 446,000 | 446,175 | ||||||
3.75%, 11/24/2023 | 2,825,000 | 2,997,271 | ||||||
3.25%, 12/01/2024 | 714,000 | 723,434 | ||||||
Caterpillar Inc | ||||||||
1.50%, 06/26/2017 | 193,000 | 194,190 | ||||||
2.60%, 06/26/2022 | 220,000 | 217,434 |
Table of Contents
CRH America Inc | ||||||||
6.00%, 09/30/2016 | 172,000 | 185,126 | ||||||
CSX Corp | ||||||||
6.25%, 04/01/2015 | 58,000 | 58,782 | ||||||
7.90%, 05/01/2017 | 413,000 | 471,457 | ||||||
7.38%, 02/01/2019 | 72,000 | 86,221 | ||||||
4.25%, 06/01/2021 | 205,000 | 222,637 | ||||||
3.40%, 08/01/2024 | 600,000 | 607,729 | ||||||
5.50%, 04/15/2041 | 402,000 | 484,977 | ||||||
4.10%, 03/15/2044 | 175,000 | 173,356 | ||||||
Danaher Corp | ||||||||
3.90%, 06/23/2021 | 387,000 | 417,228 | ||||||
Deere & Co | ||||||||
2.60%, 06/08/2022 | 619,000 | 608,957 | ||||||
3.90%, 06/09/2042 | 275,000 | 277,953 | ||||||
Eaton Corp | ||||||||
5.60%, 05/15/2018 | 273,000 | 303,129 | ||||||
7.63%, 04/01/2024 | 206,000 | 265,873 | ||||||
4.00%, 11/02/2032 | 143,000 | 145,454 | ||||||
Federal Express Corp 1998 Pass Through Trust | ||||||||
6.85%, 01/15/2019 | 1,680,477 | 1,848,526 | ||||||
6.72%, 01/15/2022 | 219,804 | 257,170 | ||||||
Fluor Corp | ||||||||
3.38%, 09/15/2021 | 1,065,000 | 1,100,205 | ||||||
General Electric Co | ||||||||
2.70%, 10/09/2022 | 350,000 | 350,142 | ||||||
3.38%, 03/11/2024 | 655,000 | 676,647 | ||||||
Hanson Ltd | ||||||||
6.13%, 08/15/2016 | 625,000 | 662,500 | ||||||
Holcim US Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019 (Acquired 10/28/2013, Cost $165,896) (b) | 148,000 | 169,396 | ||||||
Honeywell International Inc | ||||||||
5.30%, 03/01/2018 | 155,000 | 171,938 | ||||||
Illinois Tool Works Inc | ||||||||
1.95%, 03/01/2019 | 167,000 | 167,090 | ||||||
3.90%, 09/01/2042 | 1,754,000 | 1,766,983 | ||||||
Ingersoll-Rand Co | ||||||||
6.39%, 11/15/2027 | 80,000 | 95,912 | ||||||
Ingersoll-Rand Global Holding Co Ltd | ||||||||
4.25%, 06/15/2023 | 329,000 | 346,800 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 357,670 | ||||||
Koninklijke Philips NV | ||||||||
5.75%, 03/11/2018 | 172,000 | 190,913 | ||||||
3.75%, 03/15/2022 | 864,000 | 899,707 | ||||||
7.20%, 06/01/2026 | 57,000 | 72,223 | ||||||
Lafarge SA | ||||||||
6.50%, 07/15/2016 | 1,650,000 | 1,757,250 | ||||||
7.13%, 07/15/2036 | 107,000 | 124,120 | ||||||
Lockheed Martin Corp | ||||||||
2.13%, 09/15/2016 | 318,000 | 323,811 | ||||||
4.25%, 11/15/2019 | 103,000 | 112,274 | ||||||
4.85%, 09/15/2041 | 181,000 | 202,087 | ||||||
4.07%, 12/15/2042 | 462,000 | 466,192 |
Table of Contents
Martin Marietta Materials Inc | ||||||||
4.25%, 07/02/2024 | 1,705,000 | 1,747,802 | ||||||
6.25%, 05/01/2037 | 107,000 | 113,313 | ||||||
Masco Corp | ||||||||
6.13%, 10/03/2016 | 175,000 | 185,587 | ||||||
Norfolk Southern Corp | ||||||||
7.70%, 05/15/2017 | 14,000 | 15,996 | ||||||
3.25%, 12/01/2021 | 570,000 | 583,457 | ||||||
2.90%, 02/15/2023 | 294,000 | 290,622 | ||||||
5.59%, 05/17/2025 | 6,000 | 7,132 | ||||||
3.95%, 10/01/2042 | 332,000 | 325,638 | ||||||
4.80%, 08/15/2043 | 3,400,000 | 3,785,383 | ||||||
6.00%, 03/15/2105 | 351,000 | 451,682 | ||||||
6.00%, 05/23/2111 | 1,274,000 | 1,634,036 | ||||||
Northrop Grumman Systems Corp | ||||||||
7.75%, 02/15/2031 | 206,000 | 288,703 | ||||||
Odebrecht Finance Ltd | ||||||||
5.25%, 06/27/2029 (Acquired 06/19/2014, Cost $1,375,000) (b) | 1,375,000 | 1,202,437 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 34,170 | ||||||
Parker-Hannifin Corp | ||||||||
5.50%, 05/15/2018 | 80,000 | 89,510 | ||||||
3.30%, 11/21/2024 | 149,000 | 152,061 | ||||||
4.45%, 11/21/2044 | 333,000 | 359,013 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp | ||||||||
2.88%, 07/17/2018 (Acquired 10/28/2013, Cost $433,100) (b) | 431,000 | 438,243 | ||||||
2.50%, 06/15/2019 (Acquired 06/12/2014, Cost $183,949) (b) | 184,000 | 182,878 | ||||||
Precision Castparts Corp | ||||||||
0.70%, 12/20/2015 | 244,000 | 243,101 | ||||||
Raytheon Co | ||||||||
3.15%, 12/15/2024 | 378,000 | 379,134 | ||||||
Republic Services Inc | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 3,164,734 | ||||||
3.55%, 06/01/2022 | 496,000 | 509,202 | ||||||
Ryder System Inc | ||||||||
3.60%, 03/01/2016 | 278,000 | 286,138 | ||||||
2.50%, 03/01/2017 | 330,000 | 334,664 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
5.75%, 10/17/2016 (Acquired 10/28/2013, Cost $150,514) (b) | 139,000 | 150,284 | ||||||
Timken Co/The | ||||||||
3.88%, 09/01/2024 (Acquired 08/13/2014, Cost $989,010) (b) | 1,000,000 | 998,449 | ||||||
TTX Co | ||||||||
3.60%, 01/15/2025 (Acquired 11/13/2014, Cost $1,999,700) (b) | 2,000,000 | 2,038,026 | ||||||
Tyco Electronics Group SA | ||||||||
6.55%, 10/01/2017 | 752,000 | 846,473 | ||||||
2.38%, 12/17/2018 | 7,025,000 | 7,085,534 | ||||||
Union Pacific Corp | ||||||||
4.88%, 01/15/2015 | 18,000 | 18,021 | ||||||
4.16%, 07/15/2022 | 453,000 | 497,655 | ||||||
2.95%, 01/15/2023 | 149,000 | 150,566 | ||||||
3.65%, 02/15/2024 | 142,000 | 150,294 | ||||||
3.25%, 01/15/2025 | 200,000 | 205,343 | ||||||
4.30%, 06/15/2042 | 165,000 | 175,356 | ||||||
4.82%, 02/01/2044 | 106,000 | 121,021 | ||||||
4.15%, 01/15/2045 | 300,000 | 312,665 |
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Union Pacific Railroad Co 2003 Pass Through Trust | ||||||||
4.70%, 01/02/2024 | 25,750 | 28,105 | ||||||
United Parcel Service Inc | ||||||||
2.45%, 10/01/2022 | 186,000 | 182,337 | ||||||
United Parcel Service of America Inc | ||||||||
8.38%, 04/01/2020 | 243,000 | 313,423 | ||||||
8.38%, 04/01/2030 | 83,000 | 124,160 | ||||||
United Technologies Corp | ||||||||
1.80%, 06/01/2017 | 205,000 | 207,680 | ||||||
6.13%, 02/01/2019 | 867,000 | 1,006,604 | ||||||
3.10%, 06/01/2022 | 524,000 | 534,652 | ||||||
4.50%, 06/01/2042 | 693,000 | 754,531 | ||||||
Vulcan Materials Co | ||||||||
7.00%, 06/15/2018 | 215,000 | 236,500 | ||||||
7.15%, 11/30/2037 | 54,000 | 55,080 | ||||||
Wabtec Corp/DE | ||||||||
4.38%, 08/15/2023 | 322,000 | 342,208 | ||||||
Waste Management Inc | ||||||||
7.38%, 03/11/2019 | 1,275,000 | 1,540,892 | ||||||
4.75%, 06/30/2020 | 195,000 | 213,742 | ||||||
|
| |||||||
64,350,084 | ||||||||
|
| |||||||
Technology - 0.90% | ||||||||
Apple Inc | ||||||||
0.48%, 05/03/2018 | 790,000 | 790,530 | ||||||
2.85%, 05/06/2021 | 1,509,000 | 1,543,645 | ||||||
2.40%, 05/03/2023 | 2,081,000 | 2,022,726 | ||||||
Dell Inc | ||||||||
7.10%, 04/15/2028 | 196,000 | 207,760 | ||||||
EMC Corp/MA | ||||||||
1.88%, 06/01/2018 | 640,000 | 637,824 | ||||||
3.38%, 06/01/2023 | 764,000 | 766,775 | ||||||
Fidelity National Information Services Inc | ||||||||
1.45%, 06/05/2017 | 665,000 | 661,276 | ||||||
3.50%, 04/15/2023 | 430,000 | 427,421 | ||||||
3.88%, 06/05/2024 | 2,150,000 | 2,171,719 | ||||||
Fiserv Inc | ||||||||
4.63%, 10/01/2020 | 215,000 | 233,559 | ||||||
Hewlett-Packard Co | ||||||||
2.75%, 01/14/2019 | 6,625,000 | 6,633,467 | ||||||
4.30%, 06/01/2021 | 372,000 | 391,680 | ||||||
4.38%, 09/15/2021 | 293,000 | 307,204 | ||||||
4.65%, 12/09/2021 | 326,000 | 349,070 | ||||||
6.00%, 09/15/2041 | 731,000 | 822,193 | ||||||
HP Enterprise Services LLC | ||||||||
7.45%, 10/15/2029 | 250,000 | 315,872 | ||||||
Intel Corp | ||||||||
3.30%, 10/01/2021 | 504,000 | 528,508 | ||||||
4.00%, 12/15/2032 | 595,000 | 608,374 | ||||||
International Business Machines Corp | ||||||||
1.95%, 07/22/2016 | 532,000 | 542,014 | ||||||
1.25%, 02/06/2017 | 571,000 | 572,748 | ||||||
5.70%, 09/14/2017 | 408,000 | 454,690 | ||||||
7.63%, 10/15/2018 | 464,000 | 559,410 | ||||||
1.63%, 05/15/2020 | 2,670,000 | 2,573,509 | ||||||
6.22%, 08/01/2027 | 68,000 | 86,208 | ||||||
4.00%, 06/20/2042 | 79,000 | 78,665 |
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Intuit Inc | ||||||||
5.75%, 03/15/2017 | 7,359,000 | 8,087,585 | ||||||
Maxim Integrated Products Inc | ||||||||
2.50%, 11/15/2018 | 4,200,000 | 4,190,546 | ||||||
Microsoft Corp | ||||||||
0.88%, 11/15/2017 | 238,000 | 235,628 | ||||||
2.13%, 11/15/2022 | 350,000 | 339,613 | ||||||
2.38%, 05/01/2023 | 655,000 | 642,877 | ||||||
3.63%, 12/15/2023 | 5,470,000 | 5,853,655 | ||||||
4.50%, 10/01/2040 | 125,000 | 138,502 | ||||||
National Semiconductor Corp | ||||||||
6.60%, 06/15/2017 | 855,000 | 962,039 | ||||||
Oracle Corp | ||||||||
5.25%, 01/15/2016 | 239,000 | 250,451 | ||||||
5.75%, 04/15/2018 | 351,000 | 396,793 | ||||||
5.00%, 07/08/2019 | 547,000 | 613,327 | ||||||
2.80%, 07/01/2021 | 1,266,000 | 1,281,745 | ||||||
3.63%, 07/15/2023 | 149,000 | 156,258 | ||||||
3.40%, 07/01/2024 | 2,000,000 | 2,044,144 | ||||||
4.30%, 07/01/2034 | 4,314,000 | 4,618,879 | ||||||
6.50%, 04/15/2038 | 201,000 | 270,479 | ||||||
6.13%, 07/08/2039 | 265,000 | 344,023 | ||||||
Pitney Bowes Inc | ||||||||
5.60%, 03/15/2018 | 175,000 | 190,223 | ||||||
Seagate HDD Cayman | ||||||||
6.88%, 05/01/2020 | 5,679,000 | 5,962,950 | ||||||
Texas Instruments Inc | ||||||||
1.65%, 08/03/2019 | 434,000 | 423,728 | ||||||
Xerox Corp | ||||||||
6.40%, 03/15/2016 | 1,379,000 | 1,462,928 | ||||||
6.75%, 02/01/2017 | 2,170,000 | 2,391,835 | ||||||
2.95%, 03/15/2017 | 202,000 | 207,557 | ||||||
2.75%, 03/15/2019 | 3,200,000 | 3,207,984 | ||||||
5.63%, 12/15/2019 | 521,000 | 585,537 | ||||||
4.50%, 05/15/2021 | 183,000 | 195,563 | ||||||
|
| |||||||
69,341,696 | ||||||||
|
| |||||||
Utilities - 1.66% | ||||||||
AGL Capital Corp | ||||||||
4.95%, 01/15/2015 | 1,600,000 | 1,601,410 | ||||||
6.38%, 07/15/2016 | 691,000 | 743,353 | ||||||
3.50%, 09/15/2021 | 530,000 | 548,564 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,517,547 | ||||||
4.40%, 06/01/2043 | 160,000 | 168,600 | ||||||
Alabama Power Co | ||||||||
6.13%, 05/15/2038 | 219,000 | 290,989 | ||||||
6.00%, 03/01/2039 | 89,000 | 117,301 | ||||||
4.15%, 08/15/2044 | 205,000 | 215,224 | ||||||
American Electric Power Co Inc | ||||||||
1.65%, 12/15/2017 | 246,000 | 246,063 | ||||||
American Water Capital Corp | ||||||||
3.85%, 03/01/2024 | 500,000 | 526,437 | ||||||
3.40%, 03/01/2025 | 318,000 | 320,025 | ||||||
6.59%, 10/15/2037 | 386,000 | 534,265 | ||||||
Appalachian Power Co | ||||||||
6.70%, 08/15/2037 | 430,000 | 574,804 |
Table of Contents
Arizona Public Service Co | ||||||||
4.65%, 05/15/2015 | 115,000 | 116,610 | ||||||
8.75%, 03/01/2019 | 91,000 | 114,461 | ||||||
3.35%, 06/15/2024 | 676,000 | 698,007 | ||||||
5.05%, 09/01/2041 | 349,000 | 410,271 | ||||||
4.50%, 04/01/2042 | 221,000 | 234,076 | ||||||
Atmos Energy Corp | ||||||||
8.50%, 03/15/2019 | 71,000 | 88,247 | ||||||
4.15%, 01/15/2043 | 830,000 | 833,345 | ||||||
4.13%, 10/15/2044 | 450,000 | 466,462 | ||||||
Baltimore Gas & Electric Co | ||||||||
2.80%, 08/15/2022 | 509,000 | 507,301 | ||||||
Beaver Valley II Funding Corp | ||||||||
9.00%, 06/01/2017 | 27,000 | 29,160 | ||||||
Berkshire Hathaway Energy Co | ||||||||
5.75%, 04/01/2018 | 168,000 | 188,269 | ||||||
2.40%, 02/01/2020 (Acquired 12/01/2014, Cost $408,910) (b) | 409,000 | 407,219 | ||||||
3.50%, 02/01/2025 (Acquired 12/01/2014, Cost $624,856) (b) | 625,000 | 628,974 | ||||||
4.50%, 02/01/2045 (Acquired 12/01/2014, Cost $371,779) (b) | 375,000 | 392,380 | ||||||
Boston Gas Co | ||||||||
4.49%, 02/15/2042 (Acquired 10/28/2013, Cost $241,240) (b) | 253,000 | 272,584 | ||||||
CenterPoint Energy Inc | ||||||||
6.50%, 05/01/2018 | 390,000 | 445,831 | ||||||
Centrica PLC | ||||||||
4.00%, 10/16/2023 (Acquired 11/18/2013, Cost $4,975,200) (b) | 5,000,000 | 5,164,345 | ||||||
Cleveland Electric Illuminating Co/The | ||||||||
7.88%, 11/01/2017 | 356,000 | 413,723 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021 (Acquired 10/28/2013, Cost $569,899) (b) | 551,000 | 584,848 | ||||||
4.88%, 01/15/2024 (Acquired 10/28/2013 through 11/22/2013, Cost $1,822,032) (b) | 1,822,000 | 1,903,990 | ||||||
Connecticut Light & Power Co/The | ||||||||
5.65%, 05/01/2018 | 95,000 | 106,623 | ||||||
Consolidated Edison Co of New York Inc | ||||||||
5.70%, 06/15/2040 | 318,000 | 402,874 | ||||||
Consumers Energy Co | ||||||||
5.65%, 04/15/2020 | 144,000 | 165,745 | ||||||
2.85%, 05/15/2022 | 155,000 | 154,958 | ||||||
4.35%, 08/31/2064 | 191,000 | 199,388 | ||||||
Delmarva Power & Light Co | ||||||||
4.00%, 06/01/2042 | 170,000 | 175,296 | ||||||
Dominion Resources Inc/VA | ||||||||
5.25%, 08/01/2033 | 583,000 | 684,119 | ||||||
7.00%, 06/15/2038 | 124,000 | 166,510 | ||||||
4.90%, 08/01/2041 | 212,000 | 231,471 | ||||||
DTE Electric Co | ||||||||
2.65%, 06/15/2022 | 194,000 | 191,235 | ||||||
DTE Energy Co | ||||||||
2.40%, 12/01/2019 | 278,000 | 278,046 | ||||||
3.85%, 12/01/2023 | 292,000 | 306,739 | ||||||
3.50%, 06/01/2024 | 692,000 | 704,001 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.10%, 04/15/2018 | 144,000 | 159,937 | ||||||
4.30%, 06/15/2020 | 205,000 | 222,842 | ||||||
6.00%, 01/15/2038 | 161,000 | 211,903 | ||||||
4.25%, 12/15/2041 | 141,000 | 151,500 |
Table of Contents
Duke Energy Corp | ||||||||
2.15%, 11/15/2016 | 439,000 | 447,108 | ||||||
6.25%, 06/15/2018 | 1,781,000 | 2,034,506 | ||||||
3.55%, 09/15/2021 | 306,000 | 319,457 | ||||||
3.75%, 04/15/2024 | 231,000 | 240,292 | ||||||
Duke Energy Florida Inc | ||||||||
5.65%, 06/15/2018 | 116,000 | 130,824 | ||||||
6.40%, 06/15/2038 | 72,000 | 99,550 | ||||||
Duke Energy Indiana Inc | ||||||||
3.75%, 07/15/2020 | 398,000 | 421,705 | ||||||
6.35%, 08/15/2038 | 320,000 | 447,953 | ||||||
Duke Energy Progress Inc | ||||||||
5.30%, 01/15/2019 | 206,000 | 230,813 | ||||||
3.00%, 09/15/2021 | 372,000 | 381,598 | ||||||
2.80%, 05/15/2022 | 335,000 | 335,573 | ||||||
4.10%, 05/15/2042 | 217,000 | 230,087 | ||||||
4.10%, 03/15/2043 | 181,000 | 192,103 | ||||||
4.38%, 03/30/2044 | 132,000 | 144,937 | ||||||
4.15%, 12/01/2044 | 129,000 | 137,127 | ||||||
Electricite de France SA | ||||||||
1.15%, 01/20/2017 (Acquired 01/13/2014, Cost $4,978,050) (b) | 5,000,000 | 4,996,890 | ||||||
2.15%, 01/22/2019 (Acquired 01/13/2014, Cost $3,517,154) (b) | 3,558,000 | 3,566,760 | ||||||
6.00%, 01/22/2114 (Acquired 01/13/2014, Cost $1,003,464) (b) | 1,035,000 | 1,205,715 | ||||||
Enel Finance International NV | ||||||||
5.13%, 10/07/2019 (Acquired 10/28/2013, Cost $939,666) (b) | 888,000 | 981,196 | ||||||
6.80%, 09/15/2037 (Acquired 10/28/2013, Cost $211,007) (b) | 204,000 | 260,824 | ||||||
6.00%, 10/07/2039 (Acquired 10/28/2013, Cost $98,540) (b) | 103,000 | 121,028 | ||||||
Exelon Generation Co LLC | ||||||||
6.20%, 10/01/2017 | 3,436,000 | 3,818,169 | ||||||
4.00%, 10/01/2020 | 619,000 | 645,869 | ||||||
5.75%, 10/01/2041 | 192,000 | 216,609 | ||||||
FirstEnergy Transmission LLC | ||||||||
5.45%, 07/15/2044 (Acquired 05/14/2014, Cost $960,754) (b) | 965,000 | 1,040,141 | ||||||
Florida Power & Light Co | ||||||||
5.95%, 10/01/2033 | 402,000 | 530,198 | ||||||
5.63%, 04/01/2034 | 57,000 | 70,696 | ||||||
5.95%, 02/01/2038 | 103,000 | 136,904 | ||||||
Georgia Power Co | ||||||||
5.95%, 02/01/2039 | 41,000 | 52,641 | ||||||
Great Plains Energy Inc | ||||||||
4.85%, 06/01/2021 | 156,000 | 170,802 | ||||||
Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 253,528 | ||||||
8.40%, 01/15/2022 | 826,000 | 1,111,335 | ||||||
8.05%, 07/07/2024 | 638,000 | 896,189 | ||||||
Indiana Michigan Power Co | ||||||||
7.00%, 03/15/2019 | 112,000 | 132,357 | ||||||
3.20%, 03/15/2023 | 991,000 | 996,388 | ||||||
Jersey Central Power & Light Co | ||||||||
7.35%, 02/01/2019 | 31,000 | 36,589 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 470,916 | 535,277 | ||||||
Kansas City Power & Light Co | ||||||||
3.15%, 03/15/2023 | 375,000 | 376,232 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,190,369 |
Table of Contents
Korea Electric Power Corp | ||||||||
6.75%, 08/01/2027 | 233,000 | 296,500 | ||||||
Korea Gas Corp | ||||||||
4.25%, 11/02/2020 (Acquired 10/28/2013, Cost $291,708) (b) | 279,000 | 303,049 | ||||||
Korea Hydro & Nuclear Power Co Ltd | ||||||||
2.88%, 10/02/2018 (Acquired 11/18/2013, Cost $4,034,338) (b) | 4,000,000 | 4,079,524 | ||||||
Mega Advance Investments Ltd | ||||||||
5.00%, 05/12/2021 (Acquired 10/28/2013, Cost $617,391) (b) | 591,000 | 640,100 | ||||||
MidAmerican Energy Co | ||||||||
5.30%, 03/15/2018 | 72,000 | 80,137 | ||||||
Nevada Power Co | ||||||||
6.50%, 08/01/2018 | 232,000 | 268,806 | ||||||
7.13%, 03/15/2019 | 188,000 | 224,290 | ||||||
5.38%, 09/15/2040 | 38,000 | 46,439 | ||||||
5.45%, 05/15/2041 | 386,000 | 487,270 | ||||||
NextEra Energy Capital Holdings Inc | ||||||||
1.20%, 06/01/2015 | 168,000 | 168,316 | ||||||
7.88%, 12/15/2015 | 124,000 | 131,923 | ||||||
6.00%, 03/01/2019 | 124,000 | 141,255 | ||||||
2.40%, 09/15/2019 | 487,000 | 486,537 | ||||||
7.30%, 09/01/2067 | 295,000 | 315,650 | ||||||
Niagara Mohawk Power Corp | ||||||||
4.88%, 08/15/2019 (Acquired 10/28/2013, Cost $184,729) (b) | 168,000 | 185,808 | ||||||
3.51%, 10/01/2024 (Acquired 09/22/2014, Cost $257,997) (b) | 258,000 | 265,708 | ||||||
NiSource Finance Corp | ||||||||
4.45%, 12/01/2021 | 186,000 | 200,973 | ||||||
3.85%, 02/15/2023 | 283,000 | 293,225 | ||||||
5.80%, 02/01/2042 | 774,000 | 941,991 | ||||||
Northern States Power Co/MN | ||||||||
6.25%, 06/01/2036 | 258,000 | 351,606 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,565,809 | ||||||
Ohio Power Co | ||||||||
6.05%, 05/01/2018 | 160,000 | 180,799 | ||||||
5.38%, 10/01/2021 | 65,000 | 75,191 | ||||||
Oncor Electric Delivery Co LLC | ||||||||
6.80%, 09/01/2018 | 635,000 | 740,170 | ||||||
7.00%, 09/01/2022 | 124,000 | 157,065 | ||||||
Pacific Gas & Electric Co | ||||||||
5.63%, 11/30/2017 | 204,000 | 226,738 | ||||||
8.25%, 10/15/2018 | 4,484,000 | 5,395,767 | ||||||
3.25%, 09/15/2021 | 146,000 | 149,109 | ||||||
2.45%, 08/15/2022 | 581,000 | 559,058 | ||||||
3.25%, 06/15/2023 | 206,000 | 206,393 | ||||||
3.40%, 08/15/2024 | 11,150,000 | 11,283,298 | ||||||
6.05%, 03/01/2034 | 46,000 | 58,563 | ||||||
4.50%, 12/15/2041 | 749,000 | 811,239 | ||||||
4.45%, 04/15/2042 | 194,000 | 204,565 | ||||||
PacifiCorp | ||||||||
5.65%, 07/15/2018 | 294,000 | 332,131 | ||||||
5.50%, 01/15/2019 | 26,000 | 29,377 | ||||||
3.85%, 06/15/2021 | 103,000 | 110,502 | ||||||
PECO Energy Co | ||||||||
5.35%, 03/01/2018 | 93,000 | 103,555 | ||||||
2.38%, 09/15/2022 | 578,000 | 561,923 | ||||||
4.15%, 10/01/2044 | 353,000 | 375,166 |
Table of Contents
Pennsylvania Electric Co | ||||||||
6.05%, 09/01/2017 | 93,000 | 102,935 | ||||||
Potomac Electric Power Co | ||||||||
6.50%, 11/15/2037 | 136,000 | 189,274 | ||||||
PPL Electric Utilities Corp | ||||||||
2.50%, 09/01/2022 | 178,000 | 175,885 | ||||||
4.13%, 06/15/2044 | 208,000 | 217,622 | ||||||
PPL Energy Supply LLC | ||||||||
5.70%, 10/15/2015 | 221,000 | 225,813 | ||||||
Progress Energy Inc | ||||||||
4.40%, 01/15/2021 | 390,000 | 425,076 | ||||||
3.15%, 04/01/2022 | 389,000 | 394,055 | ||||||
7.75%, 03/01/2031 | 153,000 | 221,567 | ||||||
PSEG Power LLC | ||||||||
5.50%, 12/01/2015 | 226,000 | 235,343 | ||||||
5.32%, 09/15/2016 | 346,000 | 369,659 | ||||||
5.13%, 04/15/2020 | 679,000 | 754,326 | ||||||
4.15%, 09/15/2021 | 83,000 | 87,437 | ||||||
8.63%, 04/15/2031 | 130,000 | 191,479 | ||||||
Public Service Co of Colorado | ||||||||
5.80%, 08/01/2018 | 28,000 | 31,820 | ||||||
3.20%, 11/15/2020 | 120,000 | 124,843 | ||||||
2.25%, 09/15/2022 | 210,000 | 201,435 | ||||||
Public Service Co of New Hampshire | ||||||||
3.50%, 11/01/2023 | 101,000 | 104,300 | ||||||
Public Service Co of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 159,842 | ||||||
4.40%, 02/01/2021 | 203,000 | 222,508 | ||||||
6.63%, 11/15/2037 | 649,000 | 874,624 | ||||||
Public Service Electric & Gas Co | ||||||||
5.30%, 05/01/2018 | 85,000 | 94,445 | ||||||
3.15%, 08/15/2024 | 1,000,000 | 1,017,124 | ||||||
5.38%, 11/01/2039 | 117,000 | 147,409 | ||||||
RGS I&M Funding Corp | ||||||||
9.82%, 06/07/2022 | 91,280 | 108,171 | ||||||
San Diego Gas & Electric Co | ||||||||
6.00%, 06/01/2026 | 213,000 | 266,495 | ||||||
3.95%, 11/15/2041 | 310,000 | 321,735 | ||||||
Sempra Energy | ||||||||
6.50%, 06/01/2016 | 93,000 | 99,870 | ||||||
6.15%, 06/15/2018 | 237,000 | 268,594 | ||||||
9.80%, 02/15/2019 | 841,000 | 1,079,926 | ||||||
2.88%, 10/01/2022 | 361,000 | 354,859 | ||||||
4.05%, 12/01/2023 | 10,325,000 | 10,922,931 | ||||||
3.55%, 06/15/2024 | 709,000 | 715,582 | ||||||
6.00%, 10/15/2039 | 155,000 | 191,488 | ||||||
South Carolina Electric & Gas Co | ||||||||
4.50%, 06/01/2064 | 161,000 | 174,024 | ||||||
Southern California Edison Co | ||||||||
5.50%, 08/15/2018 | 144,000 | 162,229 | ||||||
3.88%, 06/01/2021 | 102,000 | 110,759 | ||||||
3.50%, 10/01/2023 | 328,000 | 344,794 | ||||||
5.95%, 02/01/2038 | 67,000 | 88,436 | ||||||
6.05%, 03/15/2039 | 253,000 | 332,172 | ||||||
3.90%, 12/01/2041 | 392,000 | 397,526 |
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Southern Co/The | ||||||||
1.95%, 09/01/2016 | 307,000 | 310,843 | ||||||
2.15%, 09/01/2019 | 555,000 | 551,429 | ||||||
Southern Power Co | ||||||||
5.15%, 09/15/2041 | 146,000 | 169,534 | ||||||
Southwestern Electric Power Co | ||||||||
5.55%, 01/15/2017 | 320,000 | 345,562 | ||||||
Southwestern Public Service Co | ||||||||
8.75%, 12/01/2018 | 351,000 | 438,457 | ||||||
State Grid Overseas Investment 2013 Ltd | ||||||||
1.75%, 05/22/2018 (Acquired 10/28/2013, Cost $238,263) (b) | 241,000 | 236,358 | ||||||
State Grid Overseas Investment 2014 Ltd | ||||||||
2.75%, 05/07/2019 (Acquired 04/28/2014, Cost $4,224,568) (b) | 4,240,000 | 4,257,812 | ||||||
Talent Yield Investments Ltd | ||||||||
4.50%, 04/25/2022 (Acquired 10/28/2013, Cost $712,398) (b) | 715,000 | 748,519 | ||||||
Virginia Electric & Power Co | ||||||||
4.45%, 02/15/2044 | 126,000 | 137,631 | ||||||
Virginia Electric and Power Co | ||||||||
5.95%, 09/15/2017 | 83,000 | 92,587 | ||||||
5.40%, 04/30/2018 | 475,000 | 531,095 | ||||||
2.95%, 01/15/2022 | 80,000 | 80,791 | ||||||
3.45%, 02/15/2024 | 191,000 | 196,666 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 3,920,420 | ||||||
Westar Energy Inc | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,363,155 | ||||||
Wisconsin Electric Power Co | ||||||||
6.25%, 12/01/2015 | 134,000 | 140,728 | ||||||
2.95%, 09/15/2021 | 27,000 | 27,550 | ||||||
Xcel Energy Inc | ||||||||
0.75%, 05/09/2016 | 28,000 | 27,950 | ||||||
4.70%, 05/15/2020 | 62,000 | 68,798 | ||||||
6.50%, 07/01/2036 | 351,000 | 475,736 | ||||||
4.80%, 09/15/2041 | 95,000 | 105,963 | ||||||
|
| |||||||
127,725,732 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $2,019,165,969) | $ | 2,079,322,281 | ||||||
|
| |||||||
Government Related - 23.62% | ||||||||
American Municipal Power Inc | ||||||||
7.50%, 02/15/2050 | $ | 1,350,000 | $ | 2,006,086 | ||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 609,825 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,325,164 | ||||||
Brazilian Government International Bond | ||||||||
4.25%, 01/07/2025 | 3,150,000 | 3,150,000 | ||||||
5.00%, 01/27/2045 | 408,000 | 399,840 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 909,449 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 297,154 | ||||||
5.04%, 01/01/2021 | 215,000 | 218,487 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 1,983,071 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,167,275 |
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Colombia Government International Bond | ||||||||
4.00%, 02/26/2024 | 437,000 | 446,833 | ||||||
5.63%, 02/26/2044 | 200,000 | 225,000 | ||||||
County of Contra Costa CA | ||||||||
5.14%, 06/01/2017 | 640,000 | 677,766 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 102,744 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
5.52%, 10/01/2044 | 2,900,000 | 3,715,625 | ||||||
4.81%, 10/01/2114 | 875,000 | 1,006,136 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 293,466 | ||||||
Elgin Local School District | ||||||||
5.50%, 08/31/2027 | 535,000 | 578,233 | ||||||
Fannie Mae Interest Strip | ||||||||
0.00%, 11/15/2021 IO | 887,000 | 755,425 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 PO | 929,000 | 564,936 | ||||||
Federal Farm Credit Banks | ||||||||
5.13%, 11/15/2018 | 344,000 | 391,799 | ||||||
Federal Home Loan Banks | ||||||||
0.50%, 09/28/2016 | 18,390,000 | 18,341,248 | ||||||
0.63%, 11/23/2016 | 3,265,000 | 3,261,164 | ||||||
5.50%, 07/15/2036 | 1,135,000 | 1,556,568 | ||||||
Federal Home Loan Mortgage Corp | ||||||||
5.50%, 08/23/2017 | 996,000 | 1,113,000 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 06/01/2017 | 2,735,000 | 2,667,626 | ||||||
1.88%, 02/19/2019 | 1,505,000 | 1,527,837 | ||||||
1.75%, 06/20/2019 | 2,285,000 | 2,296,260 | ||||||
1.75%, 11/26/2019 | 9,425,000 | 9,430,655 | ||||||
2.63%, 09/06/2024 | 10,285,000 | 10,415,836 | ||||||
Financing Corp Fico | ||||||||
0.00%, 11/30/2017 PO | 404,000 | 388,261 | ||||||
0.00%, 04/06/2018 PO | 194,000 | 185,015 | ||||||
0.00%, 05/11/2018 PO | 6,860,000 | 6,522,865 | ||||||
0.00%, 08/03/2018 PO | 276,000 | 259,726 | ||||||
0.00%, 03/07/2019 PO | 205,000 | 189,422 | ||||||
0.00%, 04/05/2019 PO | 2,766,000 | 2,555,809 | ||||||
0.00%, 09/26/2019 PO | 3,174,000 | 2,895,469 | ||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,261,887 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.50%, 10/30/2020 | 3,439,000 | 3,496,297 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 03/13/2020 | 5,000,000 | 5,537,500 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 620,000 | 619,981 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 03/15/2018 | 1,032,000 | 982,259 | ||||||
0.00%, 11/01/2019 IO | 345,000 | 313,514 | ||||||
0.00%, 08/15/2020 IO | 827,000 | 731,592 | ||||||
0.00%, 02/15/2022 | 464,000 | 390,460 | ||||||
0.00%, 08/15/2022 | 7,201,000 | 5,961,211 | ||||||
0.00%, 09/15/2023 | 1,837,000 | 1,460,828 |
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5.50%, 09/18/2023 | 8,856,000 | 10,902,861 | ||||||
0.00%, 11/01/2023 IO | 413,000 | 326,920 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,565,796 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,565,796 | ||||||
5.50%, 04/26/2024 | 3,784,000 | 4,691,388 | ||||||
0.00%, 05/15/2024 | 3,640,000 | 2,821,644 | ||||||
0.00%, 08/15/2024 | 1,500,000 | 1,152,015 | ||||||
0.00%, 11/01/2024 PO | 2,549,000 | 1,941,510 | ||||||
0.00%, 11/15/2024 | 2,299,000 | 1,748,422 | ||||||
0.00%, 08/15/2025 | 2,500,000 | 1,852,395 | ||||||
0.00%, 11/15/2026 | 258,000 | 181,235 | ||||||
5.50%, 09/18/2033 | 619,000 | 831,623 | ||||||
Lithuania Government International Bond | ||||||||
7.38%, 02/11/2020 (Acquired 08/12/2014, Cost $1,193,002) (b) | 995,000 | 1,200,099 | ||||||
Los Angeles Department of Water & Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,525,552 | ||||||
Mexico Government International Bond | ||||||||
3.50%, 01/21/2021 | 1,786,000 | 1,823,506 | ||||||
3.63%, 03/15/2022 | 2,000,000 | 2,043,000 | ||||||
4.00%, 10/02/2023 | 842,000 | 873,575 | ||||||
3.60%, 01/30/2025 | 591,000 | 588,932 | ||||||
4.75%, 03/08/2044 | 450,000 | 469,125 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,736,775 | ||||||
5.75%, 10/12/2110 | 588,000 | 632,100 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 120,000 | 123,888 | ||||||
3.75%, 07/01/2034 | 325,000 | 344,845 | ||||||
New Jersey State Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,513,437 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 330,270 | ||||||
Ohio State University/The | ||||||||
4.80%, 06/01/2111 | 1,102,000 | 1,185,058 | ||||||
Panama Government International Bond | ||||||||
5.20%, 01/30/2020 | 2,930,000 | 3,230,325 | ||||||
4.00%, 09/22/2024 | 3,133,000 | 3,219,158 | ||||||
Poland Government International Bond | ||||||||
6.38%, 07/15/2019 | 1,000,000 | 1,170,000 | ||||||
4.00%, 01/22/2024 | 1,040,000 | 1,103,700 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,544,936 | ||||||
4.46%, 10/01/2062 | 2,500,000 | 2,653,575 | ||||||
Province of British Columbia | ||||||||
2.00%, 10/23/2022 | 6,270,000 | 6,133,239 | ||||||
Province of Ontario Canada | ||||||||
2.95%, 02/05/2015 | 1,264,000 | 1,266,273 | ||||||
1.65%, 09/27/2019 | 1,315,000 | 1,299,864 | ||||||
Province of Quebec Canada | ||||||||
7.37%, 03/06/2026 | 58,000 | 81,147 | ||||||
Residual Funding Corp Principal Strip | ||||||||
0.00%, 10/15/2019 PO | 775,000 | 704,700 | ||||||
0.00%, 07/15/2020 PO | 24,949,000 | 22,159,826 | ||||||
0.00%, 10/15/2020 PO | 5,841,000 | 5,163,672 | ||||||
0.00%, 01/15/2021 PO | 2,270,000 | 1,994,343 |
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Rhode Island Housing & Mortgage Finance Corp/RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,170,880 | ||||||
Romanian Government International Bond | ||||||||
4.88%, 01/22/2024 (Acquired 01/14/2014, Cost $434,997) (b) | 440,000 | 479,600 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.50%, 03/31/2030 (Acquired 11/21/2013, Cost $2,447,637) (b) | 2,096,000 | 2,173,552 | ||||||
San Dieguito Public Facilities Authority | ||||||||
6.46%, 05/01/2027 | 685,000 | 786,955 | ||||||
South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 453,879 | ||||||
5.38%, 07/24/2044 | 1,077,000 | 1,137,581 | ||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 8,235,653 | ||||||
7.30%, 10/01/2039 | 275,000 | 405,072 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 560,000 | 555,906 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,662,582 | ||||||
Tennessee Valley Authority | ||||||||
5.88%, 04/01/2036 | 882,000 | 1,203,120 | ||||||
5.50%, 06/15/2038 | 57,000 | 75,970 | ||||||
5.25%, 09/15/2039 | 949,000 | 1,208,139 | ||||||
4.63%, 09/15/2060 | 303,000 | 344,234 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 05/01/2019 IO | 1,238,000 | 1,135,663 | ||||||
0.00%, 07/15/2028 IO | 2,000,000 | 1,275,736 | ||||||
Tennessee Valley Authority Principal Strip | ||||||||
0.00%, 12/15/2017 PO | 427,000 | 409,677 | ||||||
0.00%, 11/01/2025 PO | 1,847,000 | 1,326,770 | ||||||
0.00%, 06/15/2035 PO | 258,000 | 129,933 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 303,046 | ||||||
Tunisia Government AID Bonds | ||||||||
1.69%, 07/16/2019 | 1,032,000 | 1,027,625 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 1,910,000 | 2,220,849 | ||||||
5.75%, 03/22/2024 | 494,000 | 552,045 | ||||||
6.63%, 02/17/2045 | 214,000 | 262,631 | ||||||
Ukraine Government AID Bonds | ||||||||
1.84%, 05/16/2019 | 1,025,000 | 1,031,919 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.50%, 04/15/2015 (c) | 2,826,674 | 2,789,794 | ||||||
0.13%, 04/15/2016 (c) | 444,252 | 442,898 | ||||||
0.13%, 04/15/2019 (c) | 59,991,834 | 59,330,964 | ||||||
1.13%, 01/15/2021 (c) | 531,846 | 552,496 | ||||||
0.13%, 01/15/2022 (c) | 2,098,060 | 2,040,691 | ||||||
1.75%, 01/15/2028 (c) | 680,010 | 770,908 | ||||||
3.63%, 04/15/2028 (c) | 1,531,114 | 2,104,444 | ||||||
2.50%, 01/15/2029 (c) | 456,728 | 566,736 | ||||||
United States Treasury Note/Bond | ||||||||
11.25%, 02/15/2015 | 1,032,000 | 1,045,465 | ||||||
3.13%, 10/31/2016 | 3,400,000 | 3,554,061 | ||||||
7.50%, 11/15/2016 | 5,820,000 | 6,560,234 | ||||||
2.75%, 11/30/2016 | 258,000 | 268,219 | ||||||
0.63%, 12/31/2016 | 50,260,000 | 50,193,255 | ||||||
3.25%, 12/31/2016 | 20,315,000 | 21,338,693 |
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3.13%, 01/31/2017 | 206,000 | 216,268 | ||||||
4.63%, 02/15/2017 | 980,000 | 1,060,238 | ||||||
3.25%, 03/31/2017 | 6,295,000 | 6,639,752 | ||||||
3.13%, 04/30/2017 | 12,814,000 | 13,497,742 | ||||||
4.50%, 05/15/2017 | 4,932,000 | 5,355,457 | ||||||
2.75%, 05/31/2017 | 5,000,000 | 5,227,735 | ||||||
4.75%, 08/15/2017 | 7,303,000 | 8,019,607 | ||||||
8.88%, 08/15/2017 | 8,230,000 | 9,916,508 | ||||||
4.25%, 11/15/2017 | 3,353,000 | 3,656,604 | ||||||
2.25%, 11/30/2017 | 206,000 | 213,033 | ||||||
2.75%, 12/31/2017 | 1,459,000 | 1,529,328 | ||||||
0.88%, 01/31/2018 | 245,000 | 243,028 | ||||||
2.63%, 01/31/2018 | 2,683,000 | 2,801,849 | ||||||
3.50%, 02/15/2018 | 100,768,000 | 107,987,120 | ||||||
2.88%, 03/31/2018 | 3,159,000 | 3,323,366 | ||||||
2.38%, 05/31/2018 | 16,950,000 | 17,569,726 | ||||||
1.38%, 06/30/2018 | 20,170,000 | 20,209,392 | ||||||
1.50%, 08/31/2018 | 21,561,000 | 21,665,441 | ||||||
1.25%, 10/31/2018 | 1,930,000 | 1,917,486 | ||||||
1.25%, 11/30/2018 | 92,265,000 | 91,616,285 | ||||||
1.38%, 11/30/2018 | 17,239,000 | 17,205,332 | ||||||
1.38%, 12/31/2018 | 722,000 | 719,180 | ||||||
1.50%, 12/31/2018 | 16,415,000 | 16,436,799 | ||||||
2.75%, 02/15/2019 | 4,000,000 | 4,208,124 | ||||||
1.38%, 02/28/2019 | 2,500,000 | 2,486,523 | ||||||
1.63%, 04/30/2019 | 1,160,000 | 1,163,988 | ||||||
3.13%, 05/15/2019 | 20,774,000 | 22,145,416 | ||||||
1.50%, 05/31/2019 | 10,590,000 | 10,563,525 | ||||||
1.00%, 06/30/2019 | 2,500,000 | 2,439,648 | ||||||
1.50%, 10/31/2019 | 6,160,000 | 6,122,461 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,320,053 | ||||||
1.50%, 11/30/2019 | 5,205,000 | 5,172,063 | ||||||
1.63%, 12/31/2019 | 35,655,000 | 35,602,088 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 6,349,415 | ||||||
3.50%, 05/15/2020 | 1,300,000 | 1,418,219 | ||||||
8.75%, 05/15/2020 | 2,000,000 | 2,725,624 | ||||||
2.63%, 08/15/2020 | 89,084,000 | 93,030,154 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 8,664,552 | ||||||
2.13%, 08/31/2020 | 7,032,000 | 7,156,705 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,797,433 | ||||||
2.00%, 11/30/2020 | 1,500,000 | 1,513,125 | ||||||
2.13%, 01/31/2021 | 2,000,000 | 2,030,000 | ||||||
3.63%, 02/15/2021 | 1,961,000 | 2,160,163 | ||||||
7.88%, 02/15/2021 | 900,000 | 1,215,914 | ||||||
2.00%, 02/28/2021 | 2,500,000 | 2,517,188 | ||||||
3.13%, 05/15/2021 | 4,602,000 | 4,938,521 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 2,363,592 | ||||||
2.13%, 08/15/2021 | 5,805,000 | 5,873,482 | ||||||
8.00%, 11/15/2021 | 2,826,000 | 3,931,673 | ||||||
2.00%, 02/15/2022 | 1,250,000 | 1,253,125 | ||||||
1.75%, 05/15/2022 | 2,000,000 | 1,966,094 | ||||||
7.25%, 08/15/2022 | 1,444,000 | 1,985,725 | ||||||
7.13%, 02/15/2023 | 683,000 | 944,088 | ||||||
6.25%, 08/15/2023 | 13,900,000 | 18,507,628 | ||||||
2.25%, 11/15/2024 | 10,000,000 | 10,068,750 |
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6.75%, 08/15/2026 | 205,000 | 299,140 | ||||||
6.63%, 02/15/2027 | 753,000 | 1,098,204 | ||||||
6.38%, 08/15/2027 | 290,000 | 418,937 | ||||||
6.13%, 11/15/2027 | 470,000 | 668,575 | ||||||
5.50%, 08/15/2028 | 1,481,000 | 2,022,027 | ||||||
5.25%, 11/15/2028 | 49,415,500 | 66,251,509 | ||||||
5.25%, 02/15/2029 | 1,113,000 | 1,496,289 | ||||||
6.13%, 08/15/2029 | 603,000 | 881,652 | ||||||
6.25%, 05/15/2030 | 789,000 | 1,178,815 | ||||||
5.38%, 02/15/2031 | 5,312,000 | 7,404,014 | ||||||
4.50%, 02/15/2036 | 6,889,000 | 9,188,741 | ||||||
4.75%, 02/15/2037 | 3,955,000 | 5,455,737 | ||||||
5.00%, 05/15/2037 | 6,294,000 | 8,977,799 | ||||||
4.38%, 02/15/2038 | 16,062,600 | 21,018,169 | ||||||
4.50%, 05/15/2038 | 789,000 | 1,051,281 | ||||||
3.50%, 02/15/2039 | 84,019,100 | 96,497,281 | ||||||
4.25%, 05/15/2039 | 200,000 | 257,078 | ||||||
4.50%, 08/15/2039 | 206,000 | 274,527 | ||||||
2.88%, 05/15/2043 | 2,170,000 | 2,219,502 | ||||||
3.38%, 05/15/2044 | 5,690,000 | 6,405,694 | ||||||
3.13%, 08/15/2044 | 5,700,000 | 6,136,403 | ||||||
3.00%, 11/15/2044 | 8,235,000 | 8,654,474 | ||||||
United States Treasury Strip Coupon | ||||||||
0.00%, 08/15/2015 | 3,000 | 2,996 | ||||||
0.00%, 02/15/2016 | 5,805,000 | 5,778,796 | ||||||
0.00%, 08/15/2016 | 3,966,000 | 3,929,449 | ||||||
0.00%, 11/15/2016 | 5,261,000 | 5,197,289 | ||||||
0.00%, 02/15/2017 | 10,719,000 | 10,540,132 | ||||||
0.00%, 08/15/2017 | 4,176,000 | 4,069,090 | ||||||
0.00%, 11/15/2017 | 9,529,000 | 9,229,456 | ||||||
0.00%, 02/15/2018 | 3,658,000 | 3,521,586 | ||||||
0.00%, 05/15/2018 | 3,044,000 | 2,913,887 | ||||||
0.00%, 08/15/2018 | 23,739,000 | 22,608,976 | ||||||
0.00%, 11/15/2018 | 500,000 | 472,312 | ||||||
0.00%, 05/15/2019 | 18,038,000 | 16,792,476 | ||||||
0.00%, 08/15/2019 | 22,357,000 | 20,709,401 | ||||||
0.00%, 11/15/2019 | 4,000,000 | 3,684,608 | ||||||
0.00%, 02/15/2020 | 6,078,000 | 5,555,638 | ||||||
0.00%, 05/15/2020 | 35,615,000 | 32,293,225 | ||||||
0.00%, 08/15/2020 | 25,243,000 | 22,715,797 | ||||||
0.00%, 02/15/2021 | 14,550,000 | 12,904,744 | ||||||
0.00%, 05/15/2021 | 13,843,000 | 12,170,115 | ||||||
0.00%, 08/15/2021 | 6,139,000 | 5,368,783 | ||||||
0.00%, 11/15/2021 | 16,779,000 | 14,561,252 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 29,209,117 | ||||||
0.00%, 05/15/2022 | 8,519,000 | 7,285,151 | ||||||
0.00%, 08/15/2022 | 12,500,000 | 10,630,875 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 14,686,087 | ||||||
0.00%, 02/15/2023 | 65,197,000 | 54,503,910 | ||||||
0.00%, 05/15/2023 | 33,170,000 | 27,542,013 | ||||||
0.00%, 08/15/2023 | 5,000,000 | 4,124,930 | ||||||
0.00%, 11/15/2023 | 2,000,000 | 1,637,780 | ||||||
0.00%, 02/15/2024 | 124,000 | 100,721 | ||||||
0.00%, 05/15/2024 | 722,000 | 581,618 | ||||||
0.00%, 08/15/2024 | 1,334,000 | 1,066,357 |
Table of Contents
0.00%, 11/15/2024 | 5,105,000 | 4,047,811 | ||||||
0.00%, 02/15/2025 | 1,299,000 | 1,021,805 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 2,561,548 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 761,826 | ||||||
0.00%, 05/15/2026 | 2,301,000 | 1,738,553 | ||||||
0.00%, 08/15/2026 | 1,681,000 | 1,259,772 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 7,598,851 | ||||||
0.00%, 02/15/2027 | 19,416,000 | 14,306,835 | ||||||
0.00%, 05/15/2027 | 1,866,000 | 1,365,250 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 3,132,370 | ||||||
0.00%, 11/15/2027 | 8,107,000 | 5,845,471 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 5,552,287 | ||||||
0.00%, 05/15/2028 | 2,666,000 | 1,889,520 | ||||||
0.00%, 08/15/2028 | 6,918,000 | 4,870,064 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 5,270,528 | ||||||
0.00%, 02/15/2029 | 7,537,000 | 5,225,123 | ||||||
0.00%, 05/15/2029 | 330,000 | 227,069 | ||||||
0.00%, 08/15/2029 | 4,738,000 | 3,235,334 | ||||||
0.00%, 11/15/2029 | 5,164,000 | 3,495,790 | ||||||
0.00%, 02/15/2030 | 15,187,000 | 10,201,670 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 5,640,486 | ||||||
0.00%, 08/15/2030 | 11,062,000 | 7,317,248 | ||||||
0.00%, 11/15/2030 | 7,064,000 | 4,640,674 | ||||||
0.00%, 02/15/2031 | 9,298,000 | 6,065,718 | ||||||
0.00%, 05/15/2031 | 7,925,000 | 5,128,711 | ||||||
0.00%, 08/15/2031 | 8,762,000 | 5,623,723 | ||||||
0.00%, 11/15/2031 | 7,099,000 | 4,522,560 | ||||||
0.00%, 02/15/2032 | 11,309,000 | 7,142,945 | ||||||
0.00%, 05/15/2032 | 18,353,000 | 11,513,222 | ||||||
0.00%, 08/15/2032 | 2,475,000 | 1,540,537 | ||||||
0.00%, 11/15/2032 | 7,212,000 | 4,454,081 | ||||||
0.00%, 02/15/2033 | 2,000,000 | 1,224,404 | ||||||
0.00%, 05/15/2033 | 5,145,000 | 3,131,262 | ||||||
0.00%, 08/15/2033 | 2,412,000 | 1,457,306 | ||||||
0.00%, 11/15/2033 | 5,966,000 | 3,578,842 | ||||||
0.00%, 02/15/2034 | 3,959,000 | 2,358,507 | ||||||
0.00%, 05/15/2034 | 1,450,000 | 857,787 | ||||||
0.00%, 08/15/2034 | 2,895,000 | 1,699,469 | ||||||
0.00%, 11/15/2034 | 2,487,000 | 1,449,458 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 1,055,478 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,103,124 | ||||||
0.00%, 08/15/2035 | 175,000 | 99,969 | ||||||
0.00%, 05/15/2036 | 121,000 | 67,775 | ||||||
United States Treasury Strip Principal | ||||||||
0.00%, 05/15/2044 | 22,335,000 | 9,661,429 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 260,221 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 448,602 | ||||||
|
| |||||||
Total Government Related (Cost $1,759,398,354) | $ | 1,820,568,769 | ||||||
|
| |||||||
Mortgage Backed Obligations - 38.90% | ||||||||
A10 Securitization 2013-1 LLC | ||||||||
2.40%, 11/15/2025 (Acquired 10/28/2013, Cost $622,620) (b) | $ | 624,368 | $ | 626,020 | ||||
A10 Securitization LLC | ||||||||
3.49%, 04/15/2024 (Acquired 10/28/2013, Cost $297,506) (b) | 295,850 | 296,027 |
Table of Contents
A10 Term Asset Financing 2013-2 LLC | ||||||||
4.38%, 11/15/2027 (Acquired 10/30/2013, Cost $424,868) (b) | 425,000 | 432,352 | ||||||
A10 Term Asset Financing 2014-1 LLC | ||||||||
1.72%, 04/15/2033 (Acquired 06/04/2014, Cost $1,546,896) (b) | 1,547,000 | 1,544,797 | ||||||
3.02%, 04/15/2033 (Acquired 06/04/2014, Cost $1,806,749) (b) | 1,807,000 | 1,810,068 | ||||||
AAM ACE 2007-HE3 Resecuritization Trust 2011-1 | ||||||||
0.36%, 02/02/2037 | 13,188 | 13,145 | ||||||
ACRE Commercial Mortgage Trust 2014-FL2 | ||||||||
2.21%, 08/15/2031 (Acquired 08/01/2014, Cost $571,625) (b) | 572,000 | 569,378 | ||||||
2.66%, 08/15/2031 (Acquired 08/01/2014, Cost $721,062) (b) | 722,000 | 719,509 | ||||||
3.56%, 08/15/2031 (Acquired 12/11/2014, Cost $399,750) (b) | 400,000 | 398,585 | ||||||
Ajax Mortgage Loan Trust 2013-C | ||||||||
4.50%, 03/25/2035 (a) | 1,369,758 | 1,378,661 | ||||||
Ajaxm 2014-a A | ||||||||
4.00%, 10/25/2057 | 1,467,202 | 1,467,202 | ||||||
Alternative Loan Trust 2002-11 | ||||||||
6.25%, 10/25/2032 | 6,736 | 6,880 | ||||||
Alternative Loan Trust 2002-12 | ||||||||
0.00%, 11/25/2032 PO | 19,599 | 16,241 | ||||||
Alternative Loan Trust 2003-20CB | ||||||||
5.50%, 10/25/2033 | 692,247 | 706,046 | ||||||
Alternative Loan Trust 2003-6T2 | ||||||||
5.50%, 06/25/2033 | 32,449 | 32,454 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 3,727,686 | 3,730,869 | ||||||
5.75%, 03/25/2034 | 1,371,401 | 1,401,986 | ||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.93%, 03/25/2035 IO | 405,956 | 84,705 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
4.58%, 07/25/2035 IO | 1,279,618 | 153,463 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.90%, 06/25/2035 IO | 1,139,043 | 155,249 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 558,804 | 543,233 | ||||||
6.00%, 08/25/2035 | 16,137 | 13,106 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.88%, 09/25/2035 IO | 4,071,096 | 564,486 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 86,189 | 86,117 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
4.68%, 11/25/2035 IO | 2,499,504 | 294,769 | ||||||
5.50%, 11/25/2035 | 633,324 | 575,657 | ||||||
5.50%, 11/25/2035 | 7,938 | 7,953 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 233,147 | 218,560 | ||||||
Alternative Loan Trust 2005-J1 | ||||||||
4.93%, 02/25/2035 IO | 692,639 | 62,219 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 131,284 | 108,870 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 (f) | 42,743 | 45,813 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 214,299 | 207,828 |
Table of Contents
Alternative Loan Trust 2006-J5 | ||||||||
5.15%, 07/25/2021 | 69,615 | 69,169 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035 (Acquired 10/28/2013, Cost $124,725) (b) | 120,820 | 124,784 | ||||||
American General Mortgage Loan Trust 2010-1 | ||||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $311,773) (b) | 304,817 | 306,811 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $1,011,010) (b) | 980,000 | 1,005,757 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $479,227) (b) | 464,000 | 488,425 | ||||||
ASG Resecuritization Trust 2009-1 | ||||||||
2.05%, 06/26/2037 | 563,276 | 556,137 | ||||||
ASG Resecuritization Trust 2009-2 | ||||||||
4.69%, 05/24/2036 (Acquired 10/28/2013, Cost $565,584) (b) | 547,000 | 550,985 | ||||||
4.69%, 05/24/2036 (Acquired 10/28/2013, Cost $20,351) (b) | 20,059 | 20,042 | ||||||
ASG Resecuritization Trust 2009-3 | ||||||||
2.29%, 03/26/2037 (Acquired 10/28/2013, Cost $1,774,522) (b) | 1,771,601 | 1,763,524 | ||||||
ASG Resecuritization Trust 2009-4 | ||||||||
6.00%, 06/28/2037 (Acquired 10/28/2013, Cost $428,077) (b) | 421,320 | 426,597 | ||||||
ASG Resecuritization Trust 2009-5 | ||||||||
3.49%, 02/28/2037 (Acquired 10/28/2013, Cost $151,984) (b) | 150,736 | 150,680 | ||||||
ASG Resecuritization Trust 2010-1 | ||||||||
0.57%, 02/27/2036 (Acquired 10/28/2013, Cost $157,546) (b) | 161,586 | 157,546 | ||||||
ASG Resecuritization Trust 2010-2 | ||||||||
1.82%, 01/28/2037 | 668,064 | 657,725 | ||||||
ASG Resecuritization Trust 2011-1 | ||||||||
4.00%, 09/28/2020 (Acquired 10/28/2013, Cost $138,463) (b) | 137,283 | 137,992 | ||||||
2.51%, 11/28/2035 (Acquired 10/28/2013, Cost $669,321) (b) | 681,691 | 667,784 | ||||||
6.00%, 09/28/2036 (Acquired 10/28/2013, Cost $691,220) (b) | 668,713 | 672,173 | ||||||
ASG Resecuritization Trust 2011-2 | ||||||||
23.66%, 02/28/2036 (Acquired 10/28/2013, Cost $55,642) (b) | 46,349 | 55,619 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030 (Acquired 10/28/2013, Cost $778,135) (b) | 809,000 | 809,936 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.21%, 08/15/2046 (Acquired 08/01/2014, Cost $1,143,524) (b) | 1,200,000 | 1,205,086 | ||||||
Banc of America Alternative Loan Trust 2003-1 | ||||||||
0.00%, 02/25/2033 PO | 22,105 | 18,417 | ||||||
Banc of America Alternative Loan Trust 2003-11 | ||||||||
4.75%, 01/25/2019 | 19,244 | 19,427 | ||||||
0.00%, 01/25/2034 PO | 56,557 | 50,593 | ||||||
6.00%, 01/25/2034 | 486,365 | 506,461 | ||||||
6.00%, 01/25/2034 | 483,513 | 509,143 | ||||||
Banc of America Alternative Loan Trust 2003-4 | ||||||||
5.00%, 06/25/2018 | 401,620 | 411,594 | ||||||
Banc of America Alternative Loan Trust 2003-5 | ||||||||
5.00%, 07/25/2018 | 130,024 | 132,742 | ||||||
Banc of America Alternative Loan Trust 2003-7 | ||||||||
5.00%, 09/25/2018 | 209,202 | 211,579 | ||||||
5.50%, 09/25/2033 | 507,607 | 528,323 | ||||||
Banc of America Alternative Loan Trust 2003-9 | ||||||||
5.50%, 11/25/2033 | 75,287 | 75,887 | ||||||
Banc of America Alternative Loan Trust 2004-1 | ||||||||
5.50%, 02/25/2019 | 80,425 | 82,398 | ||||||
6.00%, 02/25/2034 | 141,819 | 150,858 | ||||||
Banc of America Alternative Loan Trust 2004-11 | ||||||||
5.50%, 12/25/2019 | 15,743 | 16,199 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 20,461 | 19,764 |
Table of Contents
Banc of America Alternative Loan Trust 2004-7 | ||||||||
5.00%, 08/25/2019 | 297,017 | 305,822 | ||||||
Banc of America Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 149,186 | 155,380 | ||||||
Banc of America Alternative Loan Trust 2005-10 | ||||||||
5.25%, 11/25/2020 | 60,897 | 62,179 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 29,200 | 26,524 | ||||||
Banc of America Alternative Loan Trust 2005-2 | ||||||||
5.50%, 03/25/2020 | 22,623 | 23,338 | ||||||
5.50%, 03/25/2035 | 18,473 | 17,107 | ||||||
Banc of America Alternative Loan Trust 2005-4 | ||||||||
5.50%, 05/25/2020 | 153,138 | 155,161 | ||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 95,213 | 90,044 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 43,653 | 39,948 | ||||||
Banc of America Alternative Loan Trust 2006-5 | ||||||||
6.00%, 06/25/2046 | 99,809 | 81,604 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.88%, 04/25/2022 | 114,901 | 115,262 | ||||||
Banc of America Commercial Mortgage Trust 2006-1 | ||||||||
5.37%, 09/10/2045 | 1,602,000 | 1,642,454 | ||||||
5.38%, 09/10/2045 | 15,385,176 | 15,885,071 | ||||||
Banc of America Commercial Mortgage Trust 2006-2 | ||||||||
5.76%, 05/10/2045 | 10,000,000 | 10,611,450 | ||||||
Banc of America Commercial Mortgage Trust 2006-3 | ||||||||
5.89%, 07/10/2044 | 1,700,499 | 1,789,760 | ||||||
Banc of America Commercial Mortgage Trust 2006-4 | ||||||||
5.63%, 07/10/2046 | 1,100,370 | 1,151,289 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.62%, 09/10/2047 IO (Acquired 10/28/2013, Cost $304,961) (b) | 22,911,553 | 202,974 | ||||||
5.41%, 09/10/2047 | 1,715,000 | 1,794,063 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.36%, 02/10/2051 | 9,087,704 | 9,815,029 | ||||||
5.49%, 02/10/2051 | 3,500,000 | 3,735,547 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 PO | 65,657 | 52,424 | ||||||
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 4,931,306 | 5,316,190 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
2.80%, 12/20/2034 | 107,549 | 105,575 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 90,677 | 89,805 | ||||||
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 PO | 72,073 | 54,088 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 PO | 29,544 | 22,707 | ||||||
Banc of America Funding 2005-C Trust | ||||||||
0.41%, 05/20/2035 | 7,872,428 | 7,270,612 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
2.69%, 03/20/2035 | 191,042 | 190,950 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 PO | 71,488 | 55,711 |
Table of Contents
Banc of America Funding 2010-R11 Trust | ||||||||
5.20%, 08/26/2035 (Acquired 10/28/2013, Cost $592,557) (b) | 584,060 | 593,905 | ||||||
Banc of America Funding 2010-R5 Trust | ||||||||
5.50%, 10/26/2037 (Acquired 10/28/2013, Cost $105,440) (b) | 103,644 | 104,282 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Inc | ||||||||
5.28%, 11/10/2042 | 516,000 | 515,860 | ||||||
4.67%, 07/10/2043 | 516,000 | 519,919 | ||||||
4.73%, 07/10/2043 | 1,097,000 | 1,110,831 | ||||||
0.07%, 10/10/2045 IO (Acquired 10/28/2013, Cost $104,255) (b) | 50,174,278 | 36,176 | ||||||
5.12%, 10/10/2045 | 10,517,462 | 10,694,860 | ||||||
Banc of America Mortgage 2003-3 Trust | ||||||||
0.72%, 05/25/2018 | 108,580 | 105,341 | ||||||
5.50%, 05/25/2033 | 318,819 | 328,595 | ||||||
Banc of America Mortgage 2003-5 Trust | ||||||||
7.50%, 02/25/2031 | 47,490 | 48,986 | ||||||
Banc of America Mortgage 2003-6 Trust | ||||||||
0.62%, 08/25/2018 | 31,074 | 30,724 | ||||||
Banc of America Mortgage 2003-7 Trust | ||||||||
4.75%, 09/25/2018 | 5,169 | 5,239 | ||||||
Banc of America Mortgage 2003-8 Trust | ||||||||
0.00%, 11/25/2033 PO | 28,212 | 22,714 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
2.62%, 04/25/2033 | 31,950 | 32,396 | ||||||
Banc of America Mortgage 2003-E Trust | ||||||||
2.73%, 06/25/2033 | 221,352 | 222,530 | ||||||
Banc of America Mortgage 2004-J Trust | ||||||||
2.82%, 11/25/2034 | 137,008 | 136,177 | ||||||
Banc of America Mortgage Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 4,875 | 4,467 | ||||||
Banc of America Mortgage Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 379,422 | 388,052 | ||||||
Banc of America Mortgage Trust 2004-4 | ||||||||
0.00%, 05/25/2034 PO | 8,217 | 7,158 | ||||||
Banc of America Mortgage Trust 2004-5 | ||||||||
4.75%, 06/25/2019 | 35,686 | 36,083 | ||||||
5.50%, 06/25/2034 | 96,434 | 98,269 | ||||||
Banc of America Mortgage Trust 2004-6 | ||||||||
5.50%, 05/25/2034 | 678,854 | 713,779 | ||||||
0.00%, 07/25/2034 PO | 45,010 | 40,174 | ||||||
5.50%, 07/25/2034 | 22,983 | 22,924 | ||||||
Banc of America Mortgage Trust 2004-8 | ||||||||
0.00%, 05/25/2032 PO | 4,113 | 3,742 | ||||||
0.00%, 10/25/2034 PO | 19,553 | 17,248 | ||||||
Banc of America Mortgage Trust 2004-9 | ||||||||
0.00%, 09/25/2032 PO | 1,731 | 1,593 | ||||||
6.50%, 09/25/2032 | 61,098 | 63,979 | ||||||
Banc of America Mortgage Trust 2005-1 | ||||||||
5.00%, 02/25/2020 | 125,083 | 128,467 | ||||||
Banc of America Re-REMIC Trust 2009-UBER1 | ||||||||
5.59%, 06/24/2050 (Acquired 10/28/2013, Cost $1,007,356) (b) | 920,531 | 959,009 | ||||||
Battalion CLO V Ltd | ||||||||
1.72%, 04/17/2026 | 9,650,000 | 9,566,238 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030 (Acquired 10/28/2013, Cost $2,823,801) (b) | 2,941,000 | 2,879,474 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/05/2036 (Acquired 10/28/2013 through 12/04/2013, Cost $2,464,145) (b) | 2,602,000 | 2,647,499 |
Table of Contents
BCAP LLC 2009-RR10 Trust | ||||||||
5.75%, 06/26/2037 (Acquired 10/28/2013, Cost $159,142) (b) | 159,344 | 161,672 | ||||||
BCAP LLC 2009-RR13-I Trust | ||||||||
5.50%, 04/26/2037 (Acquired 10/28/2013, Cost $525,032) (b) | 507,585 | 523,417 | ||||||
BCAP LLC 2009-RR14 Trust | ||||||||
2.38%, 08/26/2035 (Acquired 10/28/2013, Cost $668,262) (b) | 712,954 | 712,713 | ||||||
2.55%, 03/26/2036 (Acquired 10/28/2013, Cost $9,712) (b) | 9,719 | 9,706 | ||||||
BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/26/2034 (Acquired 10/28/2013, Cost $340,874) (b) | 335,369 | 345,064 | ||||||
BCAP LLC 2010-RR12 Trust | ||||||||
4.50%, 01/26/2036 (Acquired 10/28/2013, Cost $141,980) (b) | 140,065 | 141,078 | ||||||
2.49%, 10/26/2036 (Acquired 10/28/2013, Cost $402,961) (b) | 399,309 | 396,462 | ||||||
BCAP LLC 2010-RR4-I Trust | ||||||||
4.00%, 07/26/2036 (Acquired 10/28/2013, Cost $46,046) (b) | 45,904 | 46,293 | ||||||
BCAP LLC 2010-RR5-I Trust | ||||||||
5.44%, 04/26/2037 (Acquired 10/28/2013, Cost $581,941) (b) | 582,850 | 593,964 | ||||||
BCAP LLC 2010-RR7 Trust | ||||||||
4.62%, 04/26/2035 (Acquired 10/28/2013, Cost $242,042) (b) | 246,843 | 244,060 | ||||||
2.14%, 07/26/2045 (Acquired 10/28/2013, Cost $1,799,615) (b) | 1,856,394 | 1,862,682 | ||||||
0.82%, 02/26/2047 (Acquired 10/28/2013, Cost $279,196) (b) | 286,722 | 284,623 | ||||||
BCAP LLC 2010-RR8 Trust | ||||||||
5.05%, 05/26/2035 (Acquired 10/28/2013, Cost $147,300) (b) | 144,510 | 145,035 | ||||||
5.05%, 05/26/2035 (Acquired 10/28/2013, Cost $992,170) (b) | 1,032,000 | 973,160 | ||||||
BCAP LLC 2011-RR10 Trust | ||||||||
1.01%, 09/26/2037 (Acquired 10/28/2013, Cost $1,363,165) (b) | 1,484,771 | 1,364,685 | ||||||
BCAP LLC 2011-RR11 Trust | ||||||||
4.00%, 08/26/2021 (Acquired 10/28/2013, Cost $332,551) (b) | 327,956 | 331,886 | ||||||
3.00%, 08/26/2022 (Acquired 10/28/2013, Cost $222,235) (b) | 221,377 | 221,973 | ||||||
BCAP LLC 2011-RR4-I Trust | ||||||||
5.00%, 08/26/2037 (Acquired 10/28/2013, Cost $1,267,128) (b) | 1,260,369 | 1,285,954 | ||||||
BCAP LLC 2011-RR5-I Trust | ||||||||
0.31%, 05/28/2036 (Acquired 10/28/2013, Cost $910,947) (b) | 966,340 | 950,158 | ||||||
2.69%, 07/26/2036 (Acquired 10/28/2013, Cost $118,695) (b) | 119,043 | 118,704 | ||||||
BCAP LLC 2012-RR1 Trust | ||||||||
14.23%, 07/26/2037 (Acquired 10/28/2013, Cost $615,989) (b) | 599,237 | 631,950 | ||||||
BCAP LLC 2012-RR10-I Trust | ||||||||
0.35%, 05/26/2036 (Acquired 10/28/2013, Cost $1,574,508) (b) | 1,660,196 | 1,572,614 | ||||||
0.39%, 02/26/2037 (Acquired 10/28/2013, Cost $574,938) (b) | 604,792 | 583,317 | ||||||
BCAP LLC 2012-RR2 Trust | ||||||||
0.34%, 08/26/2036 (Acquired 10/28/2013, Cost $800,152) (b) | 827,760 | 810,426 | ||||||
BCAP LLC 2012-RR3 Trust | ||||||||
2.23%, 05/26/2037 (Acquired 10/28/2013, Cost $1,622,808) (b) | 1,641,485 | 1,645,536 | ||||||
BCAP LLC 2012-RR4 Trust | ||||||||
0.40%, 06/26/2047 (Acquired 10/28/2013, Cost $857,702) (b) | 904,667 | 860,332 | ||||||
BCAP LLC Trust | ||||||||
4.34%, 06/26/2036 (Acquired 10/28/2013, Cost $280,061) (b) | 271,272 | 274,930 | ||||||
Bear Stearns ALT-A Trust 2005-2 | ||||||||
0.67%, 03/25/2035 | 421,478 | 413,202 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
2.50%, 01/25/2033 (Acquired 10/28/2013, Cost $255,989) (b) | 267,875 | 270,035 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
2.40%, 10/25/2033 | 25,638 | 25,669 | ||||||
Bear Stearns ARM Trust 2004-2 | ||||||||
3.09%, 05/25/2034 | 142,464 | 141,752 |
Table of Contents
Bear Stearns ARM Trust 2005-5 | ||||||||
2.19%, 08/25/2035 | 817,297 | 826,039 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
2.37%, 02/25/2036 | 723,956 | 721,806 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 125,853 | 126,668 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR4 | ||||||||
5.47%, 06/11/2041 | 23,860 | 23,855 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 | ||||||||
4.87%, 09/11/2042 | 5,641,152 | 5,722,384 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 | ||||||||
5.43%, 03/11/2039 | 868,558 | 897,401 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.64%, 12/11/2038 IO (Acquired 10/28/2013, Cost $312,003) (b) | 22,962,492 | 259,315 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.54%, 10/12/2041 | 262,743 | 277,131 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.15%, 01/12/2045 IO (Acquired 10/28/2013, Cost $346,068) (b) | 63,699,092 | 271,549 | ||||||
CAM Mortgage Trust 2013-1 | ||||||||
3.50%, 11/25/2057 (Acquired 10/02/2014, Cost $2,282,934) (a)(b) | 2,282,934 | 2,283,795 | ||||||
CAM Mortgage Trust 2014-2 | ||||||||
2.60%, 05/15/2048 (Acquired 06/19/2014, Cost $800,453) (b) | 800,506 | 800,430 | ||||||
CD 2005-CD1 Commercial Mortgage Trust | ||||||||
5.23%, 07/15/2044 | 7,848,760 | 7,975,580 | ||||||
5.23%, 07/15/2044 | 619,000 | 635,289 | ||||||
CD 2006-CD3 Mortgage Trust | ||||||||
0.50%, 10/15/2048 IO (Acquired 10/28/2013, Cost $209,657) (b) | 13,007,948 | 147,133 | ||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
0.37%, 12/11/2049 IO | 21,937,999 | 148,235 | ||||||
5.32%, 12/11/2049 | 7,250,000 | 7,676,025 | ||||||
CGBAM Commercial Mortgage Trust 2014-HD | ||||||||
0.96%, 02/15/2031 (Acquired 05/13/2014, Cost $900,000) (b) | 900,000 | 895,445 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
2.52%, 09/25/2036 | 354,325 | 313,410 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
2.43%, 02/25/2037 | 43,804 | 43,805 | ||||||
2.46%, 02/25/2037 | 289,933 | 289,751 | ||||||
2.51%, 02/25/2037 | 152,431 | 150,920 | ||||||
2.53%, 02/25/2037 | 144,172 | 142,148 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
2.51%, 07/25/2037 | 176,456 | 178,276 | ||||||
2.60%, 07/25/2037 | 116,688 | 115,938 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 PO | 21,584 | 18,496 | ||||||
CHL Mortgage Pass-Through Trust 2003-39 | ||||||||
5.00%, 10/25/2033 | 410,056 | 427,974 | ||||||
CHL Mortgage Pass-Through Trust 2003-J13 | ||||||||
0.00%, 01/25/2034 PO | 4,231 | 3,812 | ||||||
5.25%, 01/25/2034 | 364,047 | 381,477 | ||||||
CHL Mortgage Pass-Through Trust 2003-J7 | ||||||||
9.55%, 08/25/2018 | 32,719 | 34,117 | ||||||
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 81,229 | 85,285 | ||||||
5.75%, 04/25/2034 | 55,343 | 57,615 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 371,124 | 384,851 |
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CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
2.46%, 06/25/2034 | 24,421 | 23,877 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2019 | 173,083 | 178,418 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
2.51%, 05/20/2034 | 42,597 | 40,535 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
2.20%, 06/20/2034 | 174,653 | 165,652 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
2.42%, 11/20/2034 | 115,798 | 110,960 | ||||||
CHL Mortgage Pass-Through Trust 2004-J8 | ||||||||
4.75%, 11/25/2019 | 19,040 | 19,540 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 58,652 | 59,697 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 32,412 | 30,282 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
2.47%, 11/25/2035 | 450,964 | 381,373 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 29,593 | 30,640 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 160,077 | 162,409 | ||||||
Citigroup Commercial Mortgage Trust 2005-C3 | ||||||||
4.83%, 05/15/2043 | 743,000 | 745,025 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,920,000 | 7,201,374 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/10/2047 | 12,300,000 | 12,604,696 | ||||||
Citigroup Mortgage Loan Trust 2008-AR4 | ||||||||
2.73%, 11/25/2038 (Acquired 10/28/2013, Cost $1,241,302) (b) | 1,229,190 | 1,231,876 | ||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
2.41%, 09/25/2033 (Acquired 10/28/2013, Cost $756,873) (b) | 746,318 | 756,205 | ||||||
7.00%, 12/25/2035 (Acquired 10/28/2013, Cost $573,569) (b) | 555,975 | 579,278 | ||||||
Citigroup Mortgage Loan Trust 2009-11 | ||||||||
5.75%, 05/25/2037 (Acquired 10/28/2013, Cost $584,848) (b) | 571,536 | 592,609 | ||||||
Citigroup Mortgage Loan Trust 2009-5 | ||||||||
6.00%, 06/25/2036 (Acquired 10/28/2013, Cost $288,780) (b) | 284,206 | 294,538 | ||||||
Citigroup Mortgage Loan Trust 2009-8 | ||||||||
6.00%, 11/25/2036 (Acquired 10/28/2013, Cost $238,874) (b) | 231,569 | 244,116 | ||||||
Citigroup Mortgage Loan Trust 2010-10 | ||||||||
2.82%, 02/25/2036 (Acquired 10/28/2013, Cost $347,822) (b) | 345,442 | 349,187 | ||||||
Citigroup Mortgage Loan Trust 2010-3 | ||||||||
2.41%, 02/25/2036 (Acquired 10/28/2013, Cost $148,863) (b) | 148,406 | 148,204 | ||||||
Citigroup Mortgage Loan Trust 2010-7 | ||||||||
2.61%, 02/25/2035 (Acquired 10/28/2013, Cost $185,700) (b) | 183,529 | 183,644 | ||||||
Citigroup Mortgage Loan Trust 2010-8 | ||||||||
4.00%, 11/25/2036 (Acquired 10/28/2013, Cost $2,768,022) (b) | 2,750,403 | 2,799,401 | ||||||
4.50%, 12/25/2036 (Acquired 10/28/2013, Cost $2,782,004) (b) | 2,726,365 | 2,795,369 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.00%, 06/25/2016 PO | 61 | 61 | ||||||
0.00%, 12/25/2018 PO | 5,061 | 4,785 | ||||||
0.00%, 12/25/2018 PO | 6,113 | 5,893 | ||||||
5.50%, 12/25/2018 | 32,458 | 32,810 | ||||||
0.00%, 09/25/2033 PO | 16,404 | 14,608 | ||||||
7.00%, 09/25/2033 | 29,053 | 30,067 |
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0.00%, 10/25/2033 PO | 15,045 | 12,482 | ||||||
5.25%, 10/25/2033 | 113,177 | 115,386 | ||||||
0.55%, 12/25/2033 | 84,390 | 80,704 | ||||||
2.45%, 08/25/2034 | 69,250 | 66,349 | ||||||
2.57%, 04/25/2035 | 48,536 | 37,153 | ||||||
5.50%, 05/25/2035 | 248,672 | 258,891 | ||||||
2.80%, 08/25/2035 | 137,545 | 100,724 | ||||||
5.50%, 11/25/2035 (f) | 37,030 | 36,744 | ||||||
6.00%, 11/25/2035 (f) | 6,279,161 | 5,964,487 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.78%, 08/15/2048 IO | 15,942,938 | 218,354 | ||||||
5.22%, 08/15/2048 | 557,976 | 587,991 | ||||||
5.25%, 08/15/2048 | 578,000 | 588,681 | ||||||
COMM 2005-C6 Mortgage Trust | ||||||||
5.12%, 06/10/2044 | 7,287,494 | 7,365,194 | ||||||
COMM 2005-LP5 Mortgage Trust | ||||||||
4.98%, 05/10/2043 | 562,515 | 565,226 | ||||||
COMM 2012-9W57 Mortgage Trust | ||||||||
2.36%, 02/10/2029 (Acquired 10/28/2013, Cost $1,054,607) (b) | 1,032,000 | 1,051,986 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/15/2045 | 2,685,538 | 2,793,244 | ||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
1.91%, 08/15/2045 IO | 3,387,531 | 337,209 | ||||||
3.15%, 08/15/2045 | 9,614,464 | 9,849,326 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030 (Acquired 10/28/2013, Cost $534,700) (b) | 516,000 | 564,900 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/10/2046 | 7,700,000 | 8,148,225 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
2.99%, 04/12/2035 (Acquired 10/28/2013, Cost $675,106) (b) | 708,000 | 708,959 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/10/2047 | 6,100,000 | 6,278,803 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/10/2047 | 5,000,000 | 5,278,190 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/10/2047 | 12,000,000 | 12,180,612 | ||||||
COMM 2014-KYO Mortgage Trust | ||||||||
1.06%, 06/11/2027 (Acquired 06/20/2014, Cost $4,232,000) (b) | 4,232,000 | 4,225,060 | ||||||
COMM 2014-PAT Mortgage Trust | ||||||||
0.96%, 08/13/2027 (Acquired 09/18/2014, Cost $1,649,000) (b) | 1,649,000 | 1,644,798 | ||||||
COMM 2014-TWC Mortgage Trust | ||||||||
1.00%, 02/13/2032 (Acquired 01/30/2014, Cost $3,251,549) (b) | 3,250,000 | 3,238,300 | ||||||
1.75%, 02/13/2032 (Acquired 08/12/2014, Cost $1,002,835) (b) | 1,000,000 | 997,824 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/10/2047 | 11,000,000 | 11,293,128 | ||||||
Commercial Mortgage Asset Trust | ||||||||
6.89%, 01/17/2032 | 16,217 | 16,191 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
2.10%, 11/17/2026 (Acquired 10/28/2013, Cost $232,248) (b) | 232,142 | 232,534 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
5.82%, 07/10/2038 | 310,000 | 326,721 | ||||||
COOF Securitization Trust 2014-1 Ltd | ||||||||
3.02%, 06/25/2040 IO (Acquired 05/16/2014, Cost $474,824) (b) | 3,370,125 | 488,668 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2006-C2 | ||||||||
5.67%, 03/15/2039 | 709,700 | 735,934 | ||||||
5.67%, 03/15/2039 | 11,921,564 | 12,414,712 |
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Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.06%, 01/15/2049 IO (Acquired 10/28/2013, Cost $82,034) (b) | 23,498,453 | 58,135 | ||||||
Credit Suisse First Boston Mortgage Securities Corp | ||||||||
4.50%, 10/25/2018 | 14,744 | 15,081 | ||||||
5.00%, 10/25/2018 | 51,695 | 52,150 | ||||||
0.00%, 08/25/2019 PO | 2,516 | 2,426 | ||||||
5.25%, 08/25/2019 | 120,676 | 123,748 | ||||||
6.70%, 02/25/2033 | 155,501 | 157,270 | ||||||
2.78%, 06/25/2033 | 76,154 | 75,801 | ||||||
5.25%, 09/25/2033 | 179,137 | 185,128 | ||||||
0.00%, 10/25/2033 PO | 134,639 | 120,379 | ||||||
5.25%, 11/25/2033 | 108,442 | 110,710 | ||||||
5.25%, 11/25/2033 | 302,489 | 309,596 | ||||||
5.50%, 09/25/2034 | 184,953 | 201,981 | ||||||
5.50%, 12/25/2034 | 300,736 | 325,364 | ||||||
0.00%, 10/25/2035 PO | 41,112 | 26,507 | ||||||
5.50%, 10/25/2035 IO | 496,260 | 88,540 | ||||||
0.00%, 11/25/2035 PO | 26,523 | 16,635 | ||||||
4.83%, 04/15/2037 | 8,975,572 | 8,989,439 | ||||||
4.73%, 07/15/2037 | 175,000 | 176,852 | ||||||
5.10%, 08/15/2038 | 7,643,857 | 7,745,321 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
6.00%, 01/27/2038 (Acquired 10/28/2013, Cost $382,797) (b) | 375,089 | 387,458 | ||||||
CSMC Series 2010-11R | ||||||||
1.17%, 06/28/2047 | 6,350,828 | 6,093,054 | ||||||
CSMC Series 2010-17R | ||||||||
2.30%, 06/26/2036 (Acquired 10/28/2013, Cost $396,608) (b) | 386,885 | 393,484 | ||||||
CSMC Series 2010-1R | ||||||||
4.90%, 01/27/2036 (Acquired 10/28/2013, Cost $107,403) (b) | 104,750 | 106,179 | ||||||
CSMC Series 2011-16R | ||||||||
3.50%, 12/27/2036 (Acquired 10/28/2013, Cost $1,086,523) (b) | 1,072,898 | 1,082,702 | ||||||
CSMC Series 2011-6R | ||||||||
2.65%, 07/28/2036 (Acquired 10/28/2013, Cost $361,303) (b) | 365,280 | 367,336 | ||||||
CSMC Series 2011-9R | ||||||||
2.16%, 03/27/2046 (Acquired 10/28/2013, Cost $1,178,881) (b) | 1,177,297 | 1,180,593 | ||||||
CSMC Series 2012-2R | ||||||||
2.43%, 03/27/2047 | 424,556 | 419,309 | ||||||
CSMC Series 2012-3R | ||||||||
2.35%, 07/27/2037 | 957,528 | 953,894 | ||||||
CSMC Series 2014-ICE | ||||||||
0.96%, 04/15/2027 (Acquired 05/30/2014, Cost $2,690,000) (b) | 2,690,000 | 2,685,284 | ||||||
CSMC Trust 2010-16 | ||||||||
3.72%, 06/25/2050 (Acquired 10/28/2013, Cost $766,858) (b) | 774,000 | 785,072 | ||||||
3.72%, 06/25/2050 (Acquired 10/28/2013, Cost $314,704) (b) | 325,000 | 332,906 | ||||||
DBRR 2013-EZ2 Trust | ||||||||
0.85%, 02/25/2045 (Acquired 10/28/2013, Cost $375,181) (b) | 376,528 | 375,994 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.40%, 07/10/2044 IO (Acquired 10/28/2013, Cost $243,101) (b) | 4,134,795 | 196,870 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-1 | ||||||||
5.75%, 02/25/2020 | 121,852 | 125,690 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-3 | ||||||||
5.30%, 06/25/2020 | 144,507 | 145,706 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5 | ||||||||
6.00%, 10/25/2021 | 122,640 | 106,603 |
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Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | ||||||||
0.00%, 10/25/2018 PO | 5,537 | 5,428 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4 | ||||||||
6.00%, 04/25/2034 | 5,409 | 5,540 | ||||||
Fannie Mae | ||||||||
3.00%, 01/15/2026 (d) | 33,500,000 | 34,820,372 | ||||||
3.50%, 01/15/2026 (d) | 1,500,000 | 1,584,609 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,502,578 | ||||||
2.50%, 02/15/2028 (d) | 16,500,000 | 16,766,837 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,501,406 | ||||||
4.50%, 02/15/2040 (d) | 11,500,000 | 12,461,329 | ||||||
3.50%, 01/15/2041 (d) | 19,500,000 | 20,327,229 | ||||||
4.00%, 01/15/2041 (d) | 23,500,000 | 25,080,467 | ||||||
4.50%, 01/15/2041 (d) | 12,000,000 | 13,025,626 | ||||||
5.00%, 01/15/2041 (d) | 3,000,000 | 3,314,473 | ||||||
5.50%, 01/15/2041 (d) | 13,000,000 | 14,541,719 | ||||||
3.50%, 02/15/2042 (d) | 16,000,000 | 16,635,630 | ||||||
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039 | 161,392 | 179,036 | ||||||
Fannie Mae Grantor Trust 2001-T10 | ||||||||
7.50%, 12/25/2041 | 182,397 | 210,900 | ||||||
Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 205,098 | 239,160 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 215,074 | 256,318 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 62,513 | 71,243 | ||||||
Fannie Mae Grantor Trust 2004-T2 | ||||||||
3.37%, 07/25/2043 | 273,648 | 284,717 | ||||||
7.50%, 11/25/2043 | 446,559 | 529,845 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
8.90%, 01/25/2044 | 61,734 | 72,797 | ||||||
6.50%, 02/25/2044 | 648,043 | 728,418 | ||||||
7.00%, 02/25/2044 | 251,302 | 287,275 | ||||||
Fannie Mae Interest Strip | ||||||||
10.00%, 09/25/2017 IO | 157 | 16 | ||||||
4.50%, 07/25/2018 IO | 72,828 | 4,065 | ||||||
4.50%, 08/25/2018 IO | 100,497 | 5,655 | ||||||
5.50%, 08/25/2018 IO | 57,375 | 3,593 | ||||||
10.50%, 03/25/2019 IO | 162 | 28 | ||||||
4.50%, 11/25/2020 IO | 15,147 | 972 | ||||||
7.50%, 04/25/2023 IO | 2,552 | 576 | ||||||
9.00%, 03/25/2024 | 1,803 | 2,115 | ||||||
0.00%, 09/25/2024 PO | 197,865 | 188,460 | ||||||
0.00%, 01/25/2033 PO | 26,543 | 24,918 | ||||||
5.00%, 12/25/2033 IO | 33,624 | 5,536 | ||||||
5.50%, 05/25/2036 IO | 148,098 | 21,837 | ||||||
5.50%, 08/25/2036 IO | 99,033 | 15,159 | ||||||
5.50%, 04/25/2037 IO | 37,639 | 6,747 | ||||||
6.00%, 01/25/2038 IO | 105,874 | 16,982 | ||||||
0.67%, 08/25/2042 | 1,330,213 | 1,343,319 | ||||||
0.72%, 08/25/2042 | 3,938,211 | 3,984,496 | ||||||
Fannie Mae Pool | ||||||||
8.00%, 11/01/2015 | 59 | 59 | ||||||
12.50%, 01/01/2016 | 23 | 23 |
Table of Contents
6.00%, 06/01/2016 | 1,327 | 1,354 | ||||||
3.98%, 11/01/2016 | 1,032,000 | 1,035,660 | ||||||
1.94%, 01/01/2017 | 970,559 | 974,556 | ||||||
5.50%, 03/01/2017 | 7,121 | 7,358 | ||||||
6.50%, 03/01/2017 | 4,153 | 4,294 | ||||||
7.00%, 03/01/2017 | 4,114 | 4,282 | ||||||
7.00%, 03/01/2017 | 2,610 | 2,719 | ||||||
7.50%, 03/01/2017 | 338 | 339 | ||||||
5.24%, 05/01/2017 | 898,507 | 963,817 | ||||||
7.00%, 05/01/2017 | 3,716 | 3,889 | ||||||
3.82%, 06/01/2017 | 1,435,683 | 1,521,223 | ||||||
7.00%, 06/01/2017 | 2,387 | 2,505 | ||||||
7.00%, 06/01/2017 | 1,755 | 1,837 | ||||||
3.39%, 08/01/2017 | 274,000 | 287,673 | ||||||
6.00%, 08/01/2017 | 1,960 | 2,037 | ||||||
6.50%, 08/01/2017 | 4,628 | 4,829 | ||||||
5.50%, 09/01/2017 | 9,805 | 10,163 | ||||||
7.00%, 09/01/2017 | 3,465 | 3,633 | ||||||
2.49%, 10/01/2017 | 465,694 | 478,055 | ||||||
2.62%, 10/01/2017 | 599,000 | 616,974 | ||||||
2.69%, 10/01/2017 | 397,297 | 410,034 | ||||||
5.89%, 10/01/2017 | 2,308,246 | 2,543,413 | ||||||
6.50%, 10/01/2017 | 3,502 | 3,621 | ||||||
6.00%, 11/01/2017 | 4,782 | 4,976 | ||||||
6.00%, 11/01/2017 | 50,278 | 52,352 | ||||||
6.50%, 11/01/2017 | 4,421 | 4,629 | ||||||
7.00%, 11/01/2017 | 5,965 | 6,110 | ||||||
3.38%, 01/01/2018 | 1,032,000 | 1,086,629 | ||||||
3.52%, 01/01/2018 | 642,323 | 678,530 | ||||||
3.54%, 01/01/2018 | 970,189 | 1,023,979 | ||||||
3.63%, 01/01/2018 | 310,000 | 328,204 | ||||||
5.50%, 02/01/2018 | 31,240 | 32,999 | ||||||
5.50%, 02/01/2018 | 50,310 | 53,148 | ||||||
3.80%, 03/01/2018 | 584,607 | 622,305 | ||||||
6.00%, 03/01/2018 | 17,031 | 17,648 | ||||||
6.50%, 03/01/2018 | 1,834 | 1,838 | ||||||
5.00%, 04/01/2018 | 19,925 | 20,997 | ||||||
4.50%, 05/01/2018 | 10,579 | 11,116 | ||||||
5.00%, 05/01/2018 | 61,840 | 65,127 | ||||||
5.00%, 05/01/2018 | 29,526 | 31,117 | ||||||
6.00%, 05/01/2018 | 7,837 | 8,284 | ||||||
9.00%, 05/01/2018 | 1,087 | 1,156 | ||||||
3.64%, 06/01/2018 | 706,025 | 749,765 | ||||||
3.74%, 06/01/2018 | 1,960,026 | 2,085,590 | ||||||
4.50%, 06/01/2018 | 13,966 | 14,674 | ||||||
4.50%, 06/01/2018 | 2,170 | 2,279 | ||||||
5.00%, 06/01/2018 | 12,603 | 13,287 | ||||||
5.00%, 06/01/2018 | 62,321 | 65,707 | ||||||
5.00%, 06/01/2018 | 50,227 | 52,959 | ||||||
4.50%, 07/01/2018 | 20,148 | 21,168 | ||||||
5.00%, 07/01/2018 | 71,422 | 75,347 | ||||||
4.50%, 08/01/2018 | 14,297 | 15,021 | ||||||
4.50%, 08/01/2018 | 27,193 | 28,572 | ||||||
5.00%, 08/01/2018 | 38,714 | 40,817 | ||||||
5.00%, 09/01/2018 | 52,392 | 55,277 |
Table of Contents
4.50%, 10/01/2018 | 33,592 | 35,303 | ||||||
5.00%, 10/01/2018 | 31,692 | 33,446 | ||||||
5.00%, 10/01/2018 | 32,373 | 34,172 | ||||||
2.97%, 11/01/2018 | 1,437,750 | 1,499,154 | ||||||
4.50%, 11/01/2018 | 53,845 | 56,775 | ||||||
5.00%, 11/01/2018 | 63,283 | 67,777 | ||||||
5.00%, 11/01/2018 | 7,434 | 7,856 | ||||||
5.00%, 11/01/2018 | 32,781 | 34,811 | ||||||
6.07%, 11/01/2018 | 594,831 | 630,832 | ||||||
3.04%, 12/01/2018 | 1,238,000 | 1,291,340 | ||||||
4.50%, 12/01/2018 | 138,974 | 146,062 | ||||||
5.00%, 12/01/2018 | 165,145 | 174,227 | ||||||
5.00%, 12/01/2018 | 441 | 471 | ||||||
9.50%, 12/01/2018 | 1,696 | 1,841 | ||||||
1.90%, 01/01/2019 | 587 | 616 | ||||||
6.00%, 01/01/2019 | 22,523 | 23,465 | ||||||
0.71%, 02/01/2019 | 4,826,748 | 4,832,081 | ||||||
1.88%, 03/01/2019 | 1,882 | 1,945 | ||||||
4.50%, 03/01/2019 | 38,349 | 40,576 | ||||||
6.00%, 03/01/2019 | 53,319 | 55,591 | ||||||
2.14%, 04/01/2019 | 2,037,053 | 2,060,763 | ||||||
3.50%, 04/01/2019 | 36,950 | 39,067 | ||||||
5.00%, 04/01/2019 | 2,139 | 2,262 | ||||||
5.00%, 04/01/2019 | 132,921 | 142,380 | ||||||
10.53%, 04/15/2019 | 6,199 | 6,940 | ||||||
2.19%, 05/01/2019 | 984,945 | 997,914 | ||||||
4.50%, 05/01/2019 | 11,014 | 11,668 | ||||||
2.10%, 06/01/2019 | 715,394 | 721,982 | ||||||
2.45%, 06/01/2019 | 1,637,054 | 1,673,114 | ||||||
2.48%, 06/01/2019 | 2,955,885 | 3,018,472 | ||||||
4.50%, 06/01/2019 | 80,128 | 84,788 | ||||||
1.94%, 07/01/2019 | 1,332,328 | 1,335,408 | ||||||
2.20%, 07/01/2019 | 743,862 | 753,325 | ||||||
2.37%, 07/01/2019 | 1,548,000 | 1,580,742 | ||||||
5.50%, 07/01/2019 | 96,291 | 103,317 | ||||||
6.00%, 07/01/2019 | 14,377 | 14,924 | ||||||
2.03%, 08/01/2019 | 4,923,000 | 4,947,554 | ||||||
2.63%, 08/01/2019 | 172 | 173 | ||||||
5.50%, 08/01/2019 | 96,657 | 103,817 | ||||||
5.00%, 09/01/2019 | 3,339 | 3,576 | ||||||
5.50%, 09/01/2019 | 72,107 | 77,453 | ||||||
9.00%, 09/01/2019 | 593 | 600 | ||||||
5.00%, 10/01/2019 | 26,146 | 28,080 | ||||||
6.00%, 10/01/2019 | 41,867 | 43,884 | ||||||
4.13%, 11/01/2019 | 877,000 | 957,663 | ||||||
4.24%, 11/01/2019 | 354,330 | 387,768 | ||||||
4.50%, 11/01/2019 | 17,900 | 18,856 | ||||||
4.50%, 11/01/2019 | 75,689 | 79,682 | ||||||
4.50%, 11/01/2019 | 35,820 | 37,709 | ||||||
1.47%, 12/01/2019 | 834,888 | 817,873 | ||||||
1.69%, 12/01/2019 | 1,032,000 | 1,013,256 | ||||||
1.80%, 12/01/2019 | 784,595 | 779,827 | ||||||
4.18%, 12/01/2019 | 477,574 | 521,710 | ||||||
4.26%, 12/01/2019 | 958,467 | 1,050,528 | ||||||
4.50%, 12/01/2019 | 57,720 | 61,145 |
Table of Contents
4.51%, 12/01/2019 | 2,053,451 | 2,274,827 | ||||||
5.00%, 12/01/2019 | 37,659 | 39,761 | ||||||
1.50%, 01/01/2020 | 828,724 | 812,017 | ||||||
1.58%, 01/01/2020 | 1,484,756 | 1,460,401 | ||||||
4.28%, 01/01/2020 | 1,904,204 | 2,066,582 | ||||||
4.54%, 01/01/2020 | 337,154 | 371,900 | ||||||
5.50%, 01/01/2020 | 236,719 | 254,450 | ||||||
4.37%, 02/01/2020 | 1,163,013 | 1,281,407 | ||||||
4.40%, 02/01/2020 | 6,347,000 | 7,007,351 | ||||||
4.40%, 02/01/2020 | 289,000 | 319,508 | ||||||
4.36%, 03/01/2020 | 281,933 | 310,546 | ||||||
5.50%, 03/01/2020 | 44,580 | 47,120 | ||||||
6.00%, 03/01/2020 | 19,465 | 20,755 | ||||||
4.00%, 04/01/2020 | 21,050 | 21,869 | ||||||
4.35%, 04/01/2020 | 1,497,183 | 1,652,183 | ||||||
4.38%, 04/01/2020 | 2,025,847 | 2,243,019 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,296,620 | ||||||
5.50%, 06/01/2020 | 323,022 | 341,481 | ||||||
5.50%, 06/01/2020 | 69,995 | 75,328 | ||||||
3.74%, 07/01/2020 | 578,075 | 622,927 | ||||||
3.93%, 07/01/2020 | 1,496,003 | 1,625,657 | ||||||
3.95%, 07/01/2020 | 717,990 | 780,877 | ||||||
3.95%, 07/01/2020 | 826,000 | 901,702 | ||||||
4.07%, 07/01/2020 | 3,186,572 | 3,479,707 | ||||||
4.13%, 07/01/2020 | 702,872 | 769,826 | ||||||
5.50%, 07/01/2020 | 77,987 | 82,433 | ||||||
3.74%, 08/01/2020 | 1,294,119 | 1,394,955 | ||||||
3.89%, 08/01/2020 | 1,240,338 | 1,346,309 | ||||||
3.96%, 08/01/2020 | 998,710 | 1,087,640 | ||||||
4.30%, 08/01/2020 | 483,472 | 532,107 | ||||||
6.50%, 08/01/2020 | 9,522 | 10,196 | ||||||
3.43%, 09/01/2020 | 964,064 | 1,024,740 | ||||||
3.50%, 09/01/2020 | 818,953 | 878,805 | ||||||
3.51%, 09/01/2020 | 2,879,083 | 3,077,623 | ||||||
3.60%, 09/01/2020 | 193,656 | 207,516 | ||||||
3.68%, 09/01/2020 | 363,402 | 390,826 | ||||||
3.85%, 09/01/2020 | 1,741,823 | 1,888,234 | ||||||
0.66%, 10/01/2020 | 1,994,726 | 1,996,777 | ||||||
3.29%, 10/01/2020 | 810,614 | 857,109 | ||||||
3.36%, 10/01/2020 | 826,000 | 875,636 | ||||||
3.50%, 10/01/2020 | 1,163,981 | 1,241,630 | ||||||
3.54%, 10/01/2020 | 482,341 | 513,345 | ||||||
3.54%, 10/01/2020 | 991,000 | 1,060,553 | ||||||
3.59%, 10/01/2020 | 1,535,098 | 1,644,424 | ||||||
3.92%, 10/01/2020 | 705,561 | 767,384 | ||||||
3.23%, 11/01/2020 | 597,771 | 630,295 | ||||||
3.27%, 11/01/2020 | 793,560 | 839,944 | ||||||
3.35%, 11/01/2020 | 654,946 | 694,113 | ||||||
0.78%, 12/01/2020 | 1,640,000 | 1,640,034 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,530,000 | ||||||
3.48%, 12/01/2020 | 877,000 | 935,046 | ||||||
3.52%, 12/01/2020 | 958,689 | 1,022,934 | ||||||
3.70%, 12/01/2020 | 385,654 | 413,975 | ||||||
3.83%, 12/01/2020 | 918,982 | 995,024 | ||||||
3.56%, 01/01/2021 | 2,248,631 | 2,410,805 |
Table of Contents
3.77%, 01/01/2021 | 1,211,772 | 1,309,774 | ||||||
3.87%, 01/01/2021 | 1,176,000 | 1,276,291 | ||||||
3.93%, 01/01/2021 | 407,916 | 443,358 | ||||||
4.05%, 01/01/2021 | 482,000 | 526,904 | ||||||
4.30%, 01/01/2021 | 829,160 | 919,305 | ||||||
4.38%, 01/01/2021 | 2,446,054 | 2,716,499 | ||||||
4.45%, 01/01/2021 | 430,749 | 479,984 | ||||||
4.64%, 01/01/2021 | 1,282,352 | 1,440,548 | ||||||
4.33%, 02/01/2021 | 503,677 | 559,119 | ||||||
4.16%, 03/01/2021 | 1,754,765 | 1,937,921 | ||||||
6.00%, 03/01/2021 | 71,383 | 76,967 | ||||||
8.00%, 03/01/2021 | 97 | 98 | ||||||
4.25%, 04/01/2021 | 784,000 | 872,156 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,147,013 | ||||||
4.30%, 04/01/2021 | 303,242 | 336,660 | ||||||
4.33%, 04/01/2021 | 737,272 | 819,833 | ||||||
6.00%, 04/01/2021 | 266,038 | 278,441 | ||||||
6.00%, 04/01/2021 | 27,393 | 29,342 | ||||||
4.36%, 05/01/2021 | 1,536,396 | 1,711,697 | ||||||
4.39%, 05/01/2021 | 773,029 | 861,004 | ||||||
3.97%, 06/01/2021 | 643,002 | 701,682 | ||||||
4.02%, 06/01/2021 | 691,000 | 755,620 | ||||||
4.10%, 06/01/2021 | 693,833 | 764,592 | ||||||
4.19%, 06/01/2021 | 556,322 | 614,934 | ||||||
4.24%, 06/01/2021 | 1,737,647 | 1,925,922 | ||||||
4.27%, 06/01/2021 | 871,720 | 957,451 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 2,064,190 | ||||||
4.48%, 06/01/2021 | 929,000 | 1,044,621 | ||||||
3.86%, 07/01/2021 | 979,400 | 1,062,684 | ||||||
3.89%, 07/01/2021 | 913,000 | 992,603 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,121,023 | ||||||
3.99%, 07/01/2021 | 546,315 | 598,877 | ||||||
4.06%, 07/01/2021 | 998,000 | 1,097,084 | ||||||
4.26%, 07/01/2021 | 2,252,000 | 2,499,651 | ||||||
4.32%, 07/01/2021 | 984,846 | 1,095,089 | ||||||
6.00%, 07/01/2021 | 14,403 | 15,454 | ||||||
4.05%, 08/01/2021 | 184,830 | 203,386 | ||||||
4.13%, 08/01/2021 | 797,033 | 880,435 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 3,183,972 | ||||||
6.00%, 08/01/2021 | 225,049 | 238,767 | ||||||
3.77%, 09/01/2021 | 2,776,000 | 2,993,890 | ||||||
3.78%, 09/01/2021 | 745,441 | 806,449 | ||||||
3.85%, 09/01/2021 | 881,988 | 957,799 | ||||||
3.88%, 09/01/2021 | 1,763,904 | 1,917,781 | ||||||
3.89%, 09/01/2021 | 1,445,000 | 1,572,138 | ||||||
3.92%, 09/01/2021 | 669,904 | 730,283 | ||||||
3.31%, 10/01/2021 | 1,722,993 | 1,820,718 | ||||||
3.40%, 10/01/2021 | 358,031 | 380,192 | ||||||
3.59%, 10/01/2021 | 1,032,000 | 1,107,070 | ||||||
4.07%, 10/01/2021 | 1,827,705 | 2,015,146 | ||||||
0.54%, 11/01/2021 | 609,000 | 609,685 | ||||||
3.43%, 11/01/2021 | 1,014,581 | 1,078,078 | ||||||
5.00%, 11/01/2021 | 325,242 | 349,296 | ||||||
3.03%, 12/01/2021 | 978,905 | 1,017,776 | ||||||
3.31%, 12/01/2021 | 393,965 | 416,386 |
Table of Contents
3.42%, 12/01/2021 | 5,193,736 | 5,524,521 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,665,461 | ||||||
6.00%, 12/01/2021 | 82,461 | 88,453 | ||||||
2.97%, 01/01/2022 | 784,375 | 812,648 | ||||||
3.03%, 01/01/2022 | 915,001 | 951,405 | ||||||
3.09%, 01/01/2022 | 1,370,243 | 1,429,420 | ||||||
3.12%, 01/01/2022 | 1,238,000 | 1,293,679 | ||||||
3.20%, 01/01/2022 | 826,000 | 866,584 | ||||||
2.99%, 02/01/2022 | 293,973 | 304,874 | ||||||
3.06%, 02/01/2022 | 863,000 | 898,123 | ||||||
3.09%, 02/01/2022 | 1,127,328 | 1,175,952 | ||||||
3.14%, 02/01/2022 | 491,068 | 512,138 | ||||||
3.14%, 02/01/2022 | 2,064,000 | 2,157,355 | ||||||
0.76%, 03/01/2022 | 722,000 | 723,054 | ||||||
0.96%, 03/01/2022 | 975,341 | 975,367 | ||||||
2.75%, 03/01/2022 | 983,871 | 1,009,583 | ||||||
2.97%, 03/01/2022 | 619,000 | 640,476 | ||||||
2.97%, 03/01/2022 | 545,695 | 565,182 | ||||||
3.08%, 03/01/2022 | 431,687 | 450,015 | ||||||
3.14%, 03/01/2022 | 305,455 | 319,339 | ||||||
3.21%, 03/01/2022 | 310,000 | 325,431 | ||||||
0.93%, 04/01/2022 | 940,000 | 946,367 | ||||||
0.93%, 04/01/2022 | 918,000 | 924,218 | ||||||
2.70%, 04/01/2022 | 1,688,016 | 1,719,701 | ||||||
3.08%, 04/01/2022 | 1,005,624 | 1,047,886 | ||||||
3.73%, 04/01/2022 | 2,472,547 | 2,663,967 | ||||||
6.50%, 04/01/2022 | 55,835 | 60,520 | ||||||
2.74%, 05/01/2022 | 1,175,309 | 1,199,065 | ||||||
2.77%, 05/01/2022 | 1,651,000 | 1,686,199 | ||||||
2.86%, 05/01/2022 | 1,481,764 | 1,521,316 | ||||||
2.90%, 05/01/2022 | 988,111 | 1,018,799 | ||||||
2.94%, 05/01/2022 | 1,086,304 | 1,122,751 | ||||||
3.02%, 05/01/2022 | 684,212 | 710,515 | ||||||
3.10%, 05/01/2022 | 802,970 | 837,852 | ||||||
3.12%, 05/01/2022 | 989,051 | 1,033,262 | ||||||
3.32%, 05/01/2022 | 2,406,946 | 2,543,071 | ||||||
6.50%, 05/01/2022 | 11,070 | 12,607 | ||||||
2.60%, 06/01/2022 | 882,157 | 891,828 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,630,177 | ||||||
2.67%, 07/01/2022 | 1,232,297 | 1,250,088 | ||||||
2.67%, 07/01/2022 | 624,000 | 633,607 | ||||||
2.69%, 07/01/2022 | 1,032,000 | 1,054,648 | ||||||
2.82%, 07/01/2022 | 1,131,991 | 1,159,053 | ||||||
2.98%, 07/01/2022 | 2,270,000 | 2,351,167 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,041,532 | ||||||
0.60%, 09/01/2022 | 1,238,000 | 1,245,738 | ||||||
2.47%, 09/01/2022 | 395,594 | 396,085 | ||||||
4.03%, 09/01/2022 | 1,237,109 | 1,357,847 | ||||||
0.59%, 10/01/2022 | 1,477,307 | 1,478,807 | ||||||
2.39%, 10/01/2022 | 673,926 | 671,453 | ||||||
2.52%, 10/01/2022 | 1,010,163 | 1,014,293 | ||||||
2.57%, 10/01/2022 | 619,000 | 623,396 | ||||||
2.64%, 10/01/2022 | 684,000 | 691,592 | ||||||
2.37%, 11/01/2022 | 496,558 | 493,797 | ||||||
2.37%, 11/01/2022 | 1,032,000 | 1,026,373 |
Table of Contents
2.38%, 11/01/2022 | 897,140 | 892,503 | ||||||
2.41%, 11/01/2022 | 621,966 | 619,650 | ||||||
2.44%, 11/01/2022 | 855,530 | 854,086 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,400,167 | ||||||
2.47%, 11/01/2022 | 516,000 | 513,135 | ||||||
2.55%, 11/01/2022 | 1,299,200 | 1,306,036 | ||||||
2.55%, 11/01/2022 | 415,009 | 417,193 | ||||||
7.50%, 11/01/2022 | 3,121 | 3,407 | ||||||
2.24%, 12/01/2022 | 671,000 | 664,149 | ||||||
2.28%, 12/01/2022 | 1,065,309 | 1,052,524 | ||||||
2.32%, 12/01/2022 | 397,077 | 393,503 | ||||||
2.34%, 12/01/2022 | 2,448,557 | 2,427,830 | ||||||
2.38%, 12/01/2022 | 516,000 | 513,302 | ||||||
2.39%, 12/01/2022 | 1,097,062 | 1,091,638 | ||||||
2.40%, 12/01/2022 | 1,632,000 | 1,622,064 | ||||||
2.42%, 12/01/2022 | 1,216,613 | 1,212,426 | ||||||
2.66%, 12/01/2022 | 1,500,000 | 1,518,035 | ||||||
6.50%, 12/01/2022 | 53,107 | 60,479 | ||||||
0.50%, 01/01/2023 | 1,527,000 | 1,527,020 | ||||||
0.51%, 01/01/2023 | 4,518,887 | 4,512,497 | ||||||
0.52%, 01/01/2023 | 2,391,904 | 2,412,628 | ||||||
0.55%, 01/01/2023 | 803,035 | 809,659 | ||||||
2.15%, 01/01/2023 | 507,153 | 498,774 | ||||||
2.33%, 01/01/2023 | 1,776,000 | 1,760,033 | ||||||
2.34%, 01/01/2023 | 1,421,675 | 1,409,584 | ||||||
2.37%, 01/01/2023 | 1,145,633 | 1,138,104 | ||||||
2.40%, 01/01/2023 | 1,537,815 | 1,529,679 | ||||||
2.44%, 01/01/2023 | 1,024,775 | 1,021,855 | ||||||
2.45%, 01/01/2023 | 758,565 | 756,793 | ||||||
2.51%, 01/01/2023 | 949,000 | 942,907 | ||||||
2.60%, 01/01/2023 | 800,349 | 806,578 | ||||||
5.50%, 01/01/2023 | 4,223,966 | 4,719,985 | ||||||
0.54%, 02/01/2023 | 1,135,000 | 1,134,421 | ||||||
2.40%, 02/01/2023 | 1,465,000 | 1,452,272 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,281,478 | ||||||
6.00%, 02/01/2023 | 551,673 | 610,887 | ||||||
2.49%, 03/01/2023 | 826,000 | 825,850 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,442,930 | ||||||
2.64%, 04/01/2023 | 365,252 | 368,397 | ||||||
2.70%, 04/01/2023 | 653,884 | 664,305 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,290,093 | ||||||
2.54%, 05/01/2023 | 310,000 | 310,706 | ||||||
5.00%, 05/01/2023 | 49,215 | 53,425 | ||||||
2.42%, 06/01/2023 | 934,975 | 928,943 | ||||||
2.66%, 06/01/2023 | 704,332 | 710,617 | ||||||
2.76%, 06/01/2023 | 1,962,388 | 2,007,148 | ||||||
2.77%, 06/01/2023 | 929,000 | 944,375 | ||||||
2.64%, 07/01/2023 | 413,000 | 415,904 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,234,475 | ||||||
3.74%, 07/01/2023 | 568,000 | 614,267 | ||||||
5.50%, 07/01/2023 | 43,148 | 48,217 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,217,769 | ||||||
4.18%, 09/01/2023 | 1,444,231 | 1,610,898 | ||||||
3.76%, 10/01/2023 | 997,937 | 1,081,370 | ||||||
5.00%, 11/01/2023 | 103,099 | 113,825 |
Table of Contents
0.63%, 12/01/2023 | 3,000,000 | 3,021,421 | ||||||
3.38%, 12/01/2023 | 2,500,000 | 2,641,599 | ||||||
3.50%, 12/01/2023 | 2,234,000 | 2,379,691 | ||||||
3.45%, 01/01/2024 | 1,800,000 | 1,910,867 | ||||||
6.00%, 01/01/2024 | 148,723 | 163,155 | ||||||
6.00%, 01/01/2024 | 422,471 | 466,595 | ||||||
7.00%, 01/01/2024 | 872 | 993 | ||||||
6.50%, 02/01/2024 | 228,918 | 250,719 | ||||||
10.00%, 02/01/2024 | 1,041 | 1,063 | ||||||
6.00%, 04/01/2024 | 28,290 | 32,031 | ||||||
0.53%, 05/01/2024 | 1,977,626 | 1,978,358 | ||||||
3.32%, 05/01/2024 | 2,500,000 | 2,609,625 | ||||||
8.00%, 05/01/2024 | 1,074 | 1,238 | ||||||
6.00%, 07/01/2024 | 100,563 | 111,202 | ||||||
6.50%, 07/01/2024 | 102,953 | 117,245 | ||||||
8.50%, 07/01/2024 | 2,227 | 2,615 | ||||||
5.00%, 08/01/2024 | 156,685 | 171,248 | ||||||
0.64%, 09/01/2024 | 3,861,878 | 3,862,482 | ||||||
7.50%, 10/01/2024 | 1,068 | 1,235 | ||||||
0.52%, 12/01/2024 | 5,000,000 | 4,998,924 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 2,024,824 | ||||||
2.92%, 12/01/2024 | 1,000,000 | 1,020,608 | ||||||
3.11%, 12/01/2024 | 2,500,000 | 2,589,181 | ||||||
2.99%, 01/01/2025 | 1,580,000 | 1,589,628 | ||||||
3.64%, 01/01/2025 | 579,739 | 620,763 | ||||||
6.50%, 04/01/2025 | 16,205 | 18,454 | ||||||
8.50%, 05/01/2025 | 88 | 89 | ||||||
8.50%, 06/01/2025 | 289 | 291 | ||||||
5.50%, 07/01/2025 | 172,355 | 192,597 | ||||||
5.00%, 10/01/2025 | 44,684 | 49,333 | ||||||
9.00%, 12/01/2025 | 389 | 393 | ||||||
6.00%, 03/01/2026 | 41,420 | 46,895 | ||||||
7.00%, 04/01/2026 | 7,083 | 7,568 | ||||||
9.00%, 04/01/2026 | 158 | 159 | ||||||
6.00%, 05/01/2026 | 89,703 | 101,561 | ||||||
6.00%, 07/01/2026 | 94,216 | 106,745 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,124,062 | ||||||
3.29%, 08/01/2026 | 1,500,000 | 1,562,029 | ||||||
4.55%, 08/01/2026 | 1,115,683 | 1,244,635 | ||||||
4.76%, 08/01/2026 | 1,084,069 | 1,249,591 | ||||||
4.77%, 08/01/2026 | 689,624 | 795,162 | ||||||
6.50%, 08/01/2026 | 153,294 | 177,217 | ||||||
3.25%, 09/01/2026 | 1,500,000 | 1,549,906 | ||||||
3.24%, 10/01/2026 | 1,994,742 | 2,058,078 | ||||||
3.12%, 11/01/2026 | 1,000,000 | 1,020,171 | ||||||
3.29%, 11/01/2026 | 2,000,000 | 2,072,897 | ||||||
3.14%, 12/01/2026 | 2,000,000 | 2,045,862 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,551,120 | ||||||
3.26%, 12/01/2026 | 1,000,000 | 1,033,590 | ||||||
4.66%, 12/01/2026 | 1,178,745 | 1,314,843 | ||||||
3.50%, 03/01/2027 | 5,287,238 | 5,595,221 | ||||||
8.00%, 03/01/2027 | 8,802 | 10,096 | ||||||
3.00%, 04/01/2027 | 1,389,518 | 1,448,050 | ||||||
3.00%, 05/01/2027 | 8,282,201 | 8,630,837 | ||||||
8.00%, 06/01/2027 | 10,805 | 12,481 |
Table of Contents
6.00%, 07/01/2027 | 120,432 | 136,583 | ||||||
2.50%, 09/01/2027 | 986,234 | 1,006,718 | ||||||
2.62%, 09/01/2027 | 13,913 | 14,859 | ||||||
6.00%, 09/01/2027 | 352,099 | 399,283 | ||||||
7.00%, 09/01/2027 | 1,757 | 2,041 | ||||||
6.00%, 11/01/2027 | 53,452 | 60,623 | ||||||
2.50%, 12/01/2027 | 2,402,346 | 2,452,516 | ||||||
6.00%, 12/01/2027 | 171,560 | 194,302 | ||||||
6.00%, 01/01/2028 | 246,589 | 281,418 | ||||||
2.50%, 03/01/2028 | 7,847,679 | 8,006,816 | ||||||
2.50%, 04/01/2028 | 9,295,110 | 9,483,575 | ||||||
5.00%, 05/01/2028 | 61,133 | 67,493 | ||||||
8.00%, 06/01/2028 | 6,460 | 7,363 | ||||||
9.50%, 07/01/2028 | 1,840 | 2,045 | ||||||
3.00%, 08/01/2028 | 3,249,041 | 3,382,674 | ||||||
3.00%, 09/01/2028 | 4,533,834 | 4,724,327 | ||||||
8.00%, 09/01/2028 | 16,391 | 19,455 | ||||||
2.50%, 10/01/2028 | 1,005,910 | 1,025,370 | ||||||
6.00%, 10/01/2028 | 212,714 | 241,138 | ||||||
8.00%, 11/01/2028 | 58,668 | 72,133 | ||||||
3.00%, 12/01/2028 | 1,941,862 | 2,020,732 | ||||||
6.00%, 12/01/2028 | 5,198 | 5,890 | ||||||
6.00%, 01/01/2029 | 10,233 | 11,736 | ||||||
7.00%, 01/01/2029 | 10,157 | 11,347 | ||||||
3.72%, 03/01/2029 | 9,356 | 9,973 | ||||||
6.50%, 03/01/2029 | 30,835 | 36,212 | ||||||
4.50%, 08/01/2029 | 481,603 | 522,638 | ||||||
4.50%, 09/01/2029 | 539,905 | 585,907 | ||||||
6.00%, 09/01/2029 | 148,159 | 167,769 | ||||||
3.63%, 10/01/2029 | 1,502,477 | 1,597,731 | ||||||
6.50%, 11/01/2029 | 1,245,306 | 1,421,262 | ||||||
8.50%, 02/01/2030 | 1,761 | 1,804 | ||||||
9.00%, 12/01/2030 | 1,839 | 1,862 | ||||||
5.00%, 04/01/2031 | 251,813 | 281,668 | ||||||
6.50%, 08/01/2031 | 30,160 | 35,554 | ||||||
6.50%, 02/01/2032 | 119,029 | 135,553 | ||||||
7.00%, 06/01/2032 | 6,086 | 6,553 | ||||||
3.50%, 07/01/2032 | 233,390 | 246,301 | ||||||
3.50%, 08/01/2032 | 1,859,048 | 1,961,522 | ||||||
7.00%, 08/01/2032 | 2,865 | 3,076 | ||||||
5.50%, 11/01/2032 | 90,555 | 102,110 | ||||||
3.50%, 12/01/2032 | 677,925 | 714,130 | ||||||
5.00%, 12/01/2032 | 8,777 | 9,433 | ||||||
6.00%, 12/01/2032 | 40,989 | 47,243 | ||||||
6.00%, 12/01/2032 | 335,061 | 384,823 | ||||||
3.50%, 02/01/2033 | 1,138,248 | 1,199,557 | ||||||
5.50%, 02/01/2033 | 6,514 | 7,345 | ||||||
7.00%, 02/01/2033 | 2,570 | 2,851 | ||||||
5.50%, 03/01/2033 | 185,044 | 209,986 | ||||||
6.00%, 03/01/2033 | 9,328 | 10,727 | ||||||
6.00%, 03/01/2033 | 4,877 | 5,548 | ||||||
6.00%, 03/01/2033 | 4,594 | 5,230 | ||||||
6.00%, 03/01/2033 | 12,870 | 14,655 | ||||||
6.00%, 03/01/2033 | 12,713 | 14,556 | ||||||
5.50%, 04/01/2033 | 138,474 | 156,054 |
Table of Contents
6.00%, 05/01/2033 | 42,555 | 49,165 | ||||||
3.50%, 06/01/2033 | 380,373 | 400,867 | ||||||
5.00%, 06/01/2033 | 35,532 | 39,668 | ||||||
7.00%, 06/01/2033 | 218,351 | 255,090 | ||||||
5.00%, 07/01/2033 | 37,085 | 41,190 | ||||||
5.00%, 07/01/2033 | 51,095 | 57,042 | ||||||
5.50%, 07/01/2033 | 37,324 | 42,075 | ||||||
2.22%, 08/01/2033 | 78,582 | 83,772 | ||||||
6.00%, 08/01/2033 | 18,534 | 21,404 | ||||||
1.79%, 09/01/2033 | 81,323 | 86,536 | ||||||
2.44%, 09/01/2033 | 35,331 | 37,802 | ||||||
5.50%, 09/01/2033 | 594,827 | 669,058 | ||||||
6.00%, 09/01/2033 | 31,296 | 36,142 | ||||||
6.00%, 09/01/2033 | 17,499 | 19,287 | ||||||
2.13%, 11/01/2033 | 80,721 | 85,128 | ||||||
4.50%, 11/01/2033 | 48,095 | 52,462 | ||||||
5.00%, 11/01/2033 | 117,402 | 130,079 | ||||||
5.00%, 11/01/2033 | 8,620,433 | 9,549,154 | ||||||
5.00%, 11/01/2033 | 13,419 | 14,865 | ||||||
5.50%, 11/01/2033 | 8,120 | 9,164 | ||||||
4.00%, 12/01/2033 | 121,732 | 130,268 | ||||||
5.50%, 12/01/2033 | 174,288 | 198,224 | ||||||
1.91%, 01/01/2034 | 3,740 | 3,760 | ||||||
2.30%, 01/01/2034 | 24,976 | 26,554 | ||||||
5.50%, 01/01/2034 | 17,011 | 19,341 | ||||||
5.50%, 03/01/2034 | 20,602 | 23,425 | ||||||
2.15%, 04/01/2034 | 19,174 | 19,625 | ||||||
5.00%, 04/01/2034 | 242,794 | 272,515 | ||||||
5.50%, 04/01/2034 | 2,488,503 | 2,802,799 | ||||||
5.00%, 05/01/2034 | 72,410 | 81,129 | ||||||
2.42%, 06/01/2034 | 106,417 | 113,343 | ||||||
2.17%, 07/01/2034 | 10,703 | 11,417 | ||||||
1.57%, 08/01/2034 | 55,315 | 57,212 | ||||||
2.14%, 08/01/2034 | 40,004 | 43,268 | ||||||
2.44%, 08/01/2034 | 24,673 | 26,278 | ||||||
2.10%, 09/01/2034 | 12,956 | 13,855 | ||||||
4.50%, 09/01/2034 | 63,538 | 69,250 | ||||||
5.50%, 09/01/2034 | 50,555 | 56,887 | ||||||
1.99%, 10/01/2034 | 46,081 | 48,608 | ||||||
2.51%, 10/01/2034 | 83,520 | 89,951 | ||||||
5.50%, 10/01/2034 | 59,468 | 63,181 | ||||||
2.11%, 11/01/2034 | 40,263 | 43,028 | ||||||
2.12%, 11/01/2034 | 27,992 | 29,750 | ||||||
3.57%, 11/01/2034 | 1,497,276 | 1,592,101 | ||||||
3.61%, 11/01/2034 | 1,498,028 | 1,588,213 | ||||||
6.00%, 11/01/2034 | 13,189 | 15,062 | ||||||
5.00%, 12/01/2034 | 69,042 | 76,478 | ||||||
1.90%, 01/01/2035 | 740,950 | 779,297 | ||||||
2.12%, 01/01/2035 | 30,554 | 32,799 | ||||||
5.00%, 01/01/2035 | 61,050 | 67,401 | ||||||
7.50%, 01/01/2035 | 96,710 | 113,177 | ||||||
1.92%, 02/01/2035 | 53,676 | 57,035 | ||||||
5.50%, 02/01/2035 | 176,932 | 198,789 | ||||||
2.18%, 03/01/2035 | 111,349 | 118,483 | ||||||
7.50%, 03/01/2035 | 97,740 | 120,445 |
Table of Contents
2.35%, 04/01/2035 | 116,355 | 124,691 | ||||||
6.00%, 04/01/2035 | 241,846 | 276,198 | ||||||
1.83%, 05/01/2035 | 77,385 | 82,755 | ||||||
2.22%, 05/01/2035 | 14,379 | 15,260 | ||||||
5.00%, 06/01/2035 | 1,499,750 | 1,660,593 | ||||||
2.16%, 07/01/2035 | 111,370 | 118,626 | ||||||
5.00%, 07/01/2035 | 7,001,588 | 7,754,430 | ||||||
5.00%, 07/01/2035 | 56,741 | 62,865 | ||||||
5.00%, 07/01/2035 | 8,054,594 | 8,918,587 | ||||||
1.89%, 08/01/2035 | 18,154 | 19,257 | ||||||
2.14%, 09/01/2035 | 55,973 | 60,032 | ||||||
5.00%, 09/01/2035 | 130,163 | 146,175 | ||||||
2.59%, 10/01/2035 | 106,949 | 114,975 | ||||||
5.00%, 10/01/2035 | 797,601 | 883,378 | ||||||
5.00%, 11/01/2035 | 308,015 | 340,562 | ||||||
5.50%, 12/01/2035 | 203,807 | 221,436 | ||||||
2.14%, 01/01/2036 | 262,520 | 278,872 | ||||||
2.35%, 01/01/2036 | 125,112 | 133,640 | ||||||
2.88%, 01/01/2036 | 7,360 | 7,511 | ||||||
5.00%, 01/01/2036 | 149,816 | 165,679 | ||||||
6.50%, 01/01/2036 | 711,590 | 826,561 | ||||||
2.84%, 02/01/2036 | 56,302 | 59,974 | ||||||
5.00%, 02/01/2036 | 115,936 | 128,299 | ||||||
6.00%, 02/01/2036 | 15,109 | 17,002 | ||||||
7.00%, 02/01/2036 | 62,041 | 71,813 | ||||||
2.88%, 03/01/2036 | 1,433,017 | 1,523,628 | ||||||
7.00%, 03/01/2036 | 3,838 | 4,411 | ||||||
5.50%, 04/01/2036 | 214,018 | 239,272 | ||||||
6.50%, 04/01/2036 | 6,393 | 7,166 | ||||||
2.37%, 05/01/2036 | 48,811 | 52,760 | ||||||
5.50%, 05/01/2036 | 265,918 | 298,471 | ||||||
5.50%, 05/01/2036 | 182,090 | 204,132 | ||||||
2.25%, 06/01/2036 | 65,620 | 70,149 | ||||||
2.35%, 06/01/2036 | 360,293 | 390,579 | ||||||
2.44%, 06/01/2036 | 97,932 | 105,869 | ||||||
2.52%, 07/01/2036 | 149,399 | 160,466 | ||||||
6.50%, 07/01/2036 | 22,903 | 26,083 | ||||||
2.24%, 08/01/2036 | 95,927 | 104,544 | ||||||
2.24%, 08/01/2036 | 298,553 | 324,547 | ||||||
2.63%, 08/01/2036 | 41,613 | 43,755 | ||||||
6.25%, 08/01/2036 | 153,709 | 165,295 | ||||||
6.50%, 08/01/2036 | 412,580 | 478,023 | ||||||
1.80%, 09/01/2036 | 425,707 | 455,735 | ||||||
1.98%, 09/01/2036 | 84,094 | 89,063 | ||||||
2.14%, 09/01/2036 | 100,652 | 109,301 | ||||||
2.28%, 09/01/2036 | 277,296 | 303,378 | ||||||
2.45%, 09/01/2036 | 107,388 | 115,426 | ||||||
6.00%, 09/01/2036 | 1,047,347 | 1,196,568 | ||||||
2.16%, 10/01/2036 | 180,848 | 195,613 | ||||||
2.58%, 10/01/2036 | 199,553 | 215,320 | ||||||
2.58%, 10/01/2036 | 484,014 | 521,795 | ||||||
6.50%, 10/01/2036 | 126,474 | 144,032 | ||||||
2.46%, 11/01/2036 | 132,068 | 141,867 | ||||||
2.67%, 11/01/2036 | 147,912 | 157,905 | ||||||
5.50%, 11/01/2036 | 75,300 | 84,292 |
Table of Contents
6.00%, 11/01/2036 | 129,994 | 147,892 | ||||||
2.41%, 12/01/2036 | 408,062 | 439,360 | ||||||
2.55%, 12/01/2036 | 194,400 | 207,954 | ||||||
7.00%, 12/01/2036 | 11,359 | 13,283 | ||||||
1.82%, 01/01/2037 | 126,644 | 135,138 | ||||||
2.47%, 01/01/2037 | 75,103 | 80,701 | ||||||
6.50%, 01/01/2037 | 309,259 | 370,233 | ||||||
7.50%, 01/01/2037 | 15,627 | 17,186 | ||||||
1.81%, 02/01/2037 | 158,656 | 166,039 | ||||||
2.41%, 02/01/2037 | 199,037 | 212,338 | ||||||
5.50%, 03/01/2037 | 1,358,135 | 1,517,621 | ||||||
6.00%, 03/01/2037 | 340,904 | 381,784 | ||||||
7.00%, 03/01/2037 | 28,728 | 34,160 | ||||||
2.35%, 04/01/2037 | 359,766 | 387,220 | ||||||
5.50%, 04/01/2037 | 400,324 | 451,264 | ||||||
6.00%, 04/01/2037 | 40,563 | 45,753 | ||||||
7.00%, 04/01/2037 | 56,688 | 63,460 | ||||||
7.00%, 04/01/2037 | 216,914 | 243,642 | ||||||
5.50%, 05/01/2037 | 880,318 | 983,693 | ||||||
6.50%, 05/01/2037 | 16,845 | 18,244 | ||||||
7.50%, 05/01/2037 | 100,023 | 116,062 | ||||||
1.71%, 07/01/2037 | 158,061 | 164,731 | ||||||
2.16%, 07/01/2037 | 17,445 | 18,220 | ||||||
2.25%, 07/01/2037 | 574,695 | 617,340 | ||||||
2.33%, 07/01/2037 | 156,374 | 167,715 | ||||||
5.00%, 07/01/2037 | 1,928,488 | 2,136,648 | ||||||
2.87%, 08/01/2037 | 364,084 | 390,543 | ||||||
6.00%, 08/01/2037 | 14,311 | 15,684 | ||||||
6.50%, 08/01/2037 | 60,016 | 68,939 | ||||||
6.50%, 08/01/2037 | 100,603 | 120,377 | ||||||
1.94%, 09/01/2037 | 74,343 | 79,872 | ||||||
2.28%, 09/01/2037 | 11,772 | 12,059 | ||||||
2.31%, 09/01/2037 | 127,784 | 137,957 | ||||||
2.50%, 09/01/2037 | 14,668 | 15,035 | ||||||
5.98%, 09/01/2037 | 50,313 | 53,236 | ||||||
6.00%, 09/01/2037 | 207,936 | 237,260 | ||||||
7.00%, 09/01/2037 | 153,591 | 171,442 | ||||||
6.50%, 10/01/2037 | 234,046 | 266,537 | ||||||
7.50%, 10/01/2037 | 3,165 | 3,361 | ||||||
7.50%, 10/01/2037 | 449,877 | 510,408 | ||||||
1.98%, 11/01/2037 | 337,032 | 356,946 | ||||||
2.26%, 11/01/2037 | 122,780 | 130,971 | ||||||
7.50%, 11/01/2037 | 160,360 | 186,703 | ||||||
8.00%, 11/01/2037 | 33,532 | 39,599 | ||||||
2.36%, 12/01/2037 | 633,303 | 677,611 | ||||||
2.43%, 01/01/2038 | 104,943 | 112,252 | ||||||
5.50%, 01/01/2038 | 452,064 | 508,635 | ||||||
7.00%, 01/01/2038 | 30,949 | 33,693 | ||||||
8.00%, 01/01/2038 | 8,379 | 9,669 | ||||||
6.00%, 04/01/2038 | 57,568 | 65,713 | ||||||
5.50%, 05/01/2038 | 94,146 | 102,140 | ||||||
6.00%, 05/01/2038 | 790,749 | 897,306 | ||||||
5.50%, 06/01/2038 | 445,680 | 498,017 | ||||||
5.50%, 06/01/2038 | 3,559,304 | 3,977,272 | ||||||
5.50%, 09/01/2038 | 2,333,703 | 2,617,025 |
Table of Contents
7.00%, 09/01/2038 | 113,199 | 132,327 | ||||||
6.50%, 10/01/2038 | 1,031,051 | 1,174,186 | ||||||
6.50%, 10/01/2038 | 267,947 | 305,145 | ||||||
7.00%, 10/01/2038 | 208,448 | 233,487 | ||||||
6.00%, 11/01/2038 | 133,830 | 153,875 | ||||||
7.00%, 11/01/2038 | 156,969 | 171,835 | ||||||
7.50%, 11/01/2038 | 105,321 | 123,355 | ||||||
7.00%, 12/01/2038 | 448,801 | 496,265 | ||||||
5.00%, 01/01/2039 | 7,214,732 | 7,965,297 | ||||||
7.00%, 01/01/2039 | 683,474 | 799,615 | ||||||
7.50%, 04/01/2039 | 384,438 | 478,496 | ||||||
5.50%, 06/01/2039 | 61,962 | 67,396 | ||||||
5.00%, 09/01/2039 | 408,508 | 453,273 | ||||||
5.50%, 09/01/2039 | 161,017 | 180,160 | ||||||
4.50%, 11/01/2039 | 74,667 | 81,158 | ||||||
5.50%, 12/01/2039 | 187,071 | 209,169 | ||||||
6.00%, 12/01/2039 | 4,171,724 | 4,739,409 | ||||||
4.00%, 07/01/2040 | 12,520,845 | 13,378,712 | ||||||
4.00%, 08/01/2040 | 490,384 | 524,321 | ||||||
4.50%, 08/01/2040 | 13,515,707 | 14,677,964 | ||||||
5.00%, 08/01/2040 | 1,996,164 | 2,212,136 | ||||||
5.00%, 08/01/2040 | 926,460 | 1,031,088 | ||||||
4.00%, 09/01/2040 | 3,392,092 | 3,625,502 | ||||||
6.00%, 10/01/2040 | 5,237,804 | 5,942,741 | ||||||
4.00%, 11/01/2040 | 2,426,295 | 2,592,997 | ||||||
3.50%, 12/01/2040 | 243,932 | 254,759 | ||||||
4.00%, 12/01/2040 | 3,163,444 | 3,380,452 | ||||||
4.00%, 12/01/2040 | 498,881 | 533,062 | ||||||
4.50%, 12/01/2040 | 15,467,227 | 16,817,021 | ||||||
4.50%, 12/01/2040 | 3,763,577 | 4,091,368 | ||||||
4.00%, 01/01/2041 | 2,732,852 | 2,921,380 | ||||||
4.00%, 01/01/2041 | 1,287,960 | 1,376,359 | ||||||
4.00%, 01/01/2041 | 3,669,444 | 3,921,431 | ||||||
4.00%, 01/01/2041 | 4,169,027 | 4,455,193 | ||||||
4.00%, 01/01/2041 | 2,567,902 | 2,743,842 | ||||||
4.00%, 01/01/2041 | 1,255,798 | 1,341,839 | ||||||
4.00%, 01/01/2041 | 656,416 | 701,391 | ||||||
3.50%, 02/01/2041 | 20,345,969 | 21,245,763 | ||||||
4.00%, 02/01/2041 | 164,467 | 175,736 | ||||||
4.00%, 02/01/2041 | 2,512,462 | 2,684,603 | ||||||
4.50%, 03/01/2041 | 2,985,773 | 3,245,384 | ||||||
4.50%, 04/01/2041 | 2,762,142 | 2,999,506 | ||||||
4.00%, 09/01/2041 | 771,764 | 824,642 | ||||||
4.00%, 10/01/2041 | 2,250,888 | 2,405,107 | ||||||
4.00%, 10/01/2041 | 2,466,133 | 2,635,372 | ||||||
3.50%, 11/01/2041 | 9,174,153 | 9,582,269 | ||||||
3.50%, 11/01/2041 | 874,310 | 913,437 | ||||||
3.50%, 12/01/2041 | 1,112,916 | 1,162,539 | ||||||
4.00%, 12/01/2041 | 5,731,936 | 6,124,661 | ||||||
4.50%, 01/01/2042 | 6,959,849 | 7,572,120 | ||||||
3.50%, 02/01/2042 | 1,024,832 | 1,070,377 | ||||||
4.00%, 03/01/2042 | 376,615 | 394,791 | ||||||
3.00%, 05/01/2042 | 1,041,122 | 1,055,334 | ||||||
3.50%, 06/01/2042 | 4,033,940 | 4,211,362 | ||||||
3.50%, 07/01/2042 | 2,319,038 | 2,420,815 |
Table of Contents
4.00%, 07/01/2042 | 918,084 | 989,953 | ||||||
4.00%, 07/01/2042 | 1,560,222 | 1,682,781 | ||||||
4.00%, 07/01/2042 | 694,500 | 749,008 | ||||||
4.00%, 07/01/2042 | 833,041 | 898,639 | ||||||
3.50%, 09/01/2042 | 1,774,112 | 1,852,045 | ||||||
3.50%, 10/01/2042 | 856,463 | 893,831 | ||||||
3.50%, 10/01/2042 | 1,497,919 | 1,563,219 | ||||||
3.00%, 11/01/2042 | 3,331,972 | 3,377,422 | ||||||
3.50%, 11/01/2042 | 5,552,816 | 5,795,862 | ||||||
3.50%, 11/01/2042 | 13,772,548 | 14,373,319 | ||||||
3.00%, 12/01/2042 | 2,164,943 | 2,194,491 | ||||||
3.00%, 12/01/2042 | 212,275 | 215,168 | ||||||
3.00%, 01/01/2043 | 2,846,758 | 2,885,340 | ||||||
3.00%, 01/01/2043 | 1,777,143 | 1,801,251 | ||||||
3.00%, 01/01/2043 | 3,011,150 | 3,051,979 | ||||||
3.00%, 01/01/2043 | 2,559,282 | 2,588,683 | ||||||
3.50%, 01/01/2043 | 1,366,977 | 1,426,969 | ||||||
3.50%, 01/01/2043 | 2,394,447 | 2,498,849 | ||||||
3.00%, 02/01/2043 | 1,433,227 | 1,449,709 | ||||||
3.50%, 02/01/2043 | 147,190 | 153,705 | ||||||
3.50%, 02/01/2043 | 143,535 | 149,792 | ||||||
3.50%, 03/01/2043 | 2,937,808 | 3,068,216 | ||||||
3.50%, 03/01/2043 | 951,986 | 993,799 | ||||||
3.00%, 04/01/2043 | 4,183,985 | 4,239,465 | ||||||
3.00%, 04/01/2043 | 2,271,197 | 2,301,365 | ||||||
3.50%, 04/01/2043 | 3,821,524 | 3,990,922 | ||||||
3.00%, 05/01/2043 | 226,211 | 229,129 | ||||||
3.00%, 05/01/2043 | 19,796,231 | 20,055,695 | ||||||
3.50%, 05/01/2043 | 182,897 | 191,364 | ||||||
3.50%, 05/01/2043 | 3,451,716 | 3,603,295 | ||||||
3.50%, 05/01/2043 | 1,325,258 | 1,383,486 | ||||||
3.50%, 05/01/2043 | 2,812,382 | 2,935,711 | ||||||
3.00%, 06/01/2043 | 198,754 | 201,345 | ||||||
3.00%, 06/01/2043 | 1,395,374 | 1,413,671 | ||||||
3.00%, 06/01/2043 | 11,900,989 | 12,055,013 | ||||||
3.00%, 06/01/2043 | 150,632 | 152,603 | ||||||
3.00%, 06/01/2043 | 958,167 | 970,495 | ||||||
3.00%, 06/01/2043 | 469,966 | 476,241 | ||||||
3.50%, 06/01/2043 | 3,107,508 | 3,244,074 | ||||||
3.00%, 07/01/2043 | 147,820 | 149,744 | ||||||
3.00%, 07/01/2043 | 601,672 | 609,495 | ||||||
3.00%, 07/01/2043 | 183,036 | 185,372 | ||||||
3.00%, 07/01/2043 | 751,250 | 760,969 | ||||||
3.00%, 07/01/2043 | 5,685,806 | 5,759,406 | ||||||
3.00%, 07/01/2043 | 888,619 | 900,274 | ||||||
3.00%, 07/01/2043 | 167,227 | 169,376 | ||||||
3.00%, 07/01/2043 | 1,836,107 | 1,859,831 | ||||||
3.50%, 07/01/2043 | 17,540,287 | 18,319,242 | ||||||
4.00%, 07/01/2043 | 1,878,294 | 2,026,227 | ||||||
3.00%, 08/01/2043 | 5,702,564 | 5,775,352 | ||||||
3.00%, 08/01/2043 | 6,593,902 | 6,684,108 | ||||||
3.00%, 08/01/2043 | 2,493,381 | 2,525,684 | ||||||
3.00%, 08/01/2043 | 1,682,332 | 1,705,162 | ||||||
3.00%, 09/01/2043 | 190,353 | 192,753 | ||||||
3.00%, 09/01/2043 | 129,929 | 131,567 |
Table of Contents
3.00%, 09/01/2043 | 3,143,733 | 3,183,835 | ||||||
5.00%, 09/01/2043 | 4,244,934 | 4,686,545 | ||||||
3.00%, 10/01/2043 | 162,106 | 164,175 | ||||||
3.00%, 10/01/2043 | 135,496 | 137,264 | ||||||
3.00%, 10/01/2043 | 178,801 | 181,183 | ||||||
4.00%, 11/01/2043 | 13,034,695 | 13,927,768 | ||||||
4.00%, 12/01/2043 | 529,287 | 565,551 | ||||||
4.00%, 12/01/2043 | 5,267,556 | 5,661,989 | ||||||
6.00%, 11/01/2048 | 91,390 | 100,657 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.85%, 12/25/2042 | 192,008 | 218,071 | ||||||
6.55%, 12/25/2042 | 48,370 | 55,623 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
6.36%, 10/25/2042 | 33,430 | 38,709 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 796,133 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 151,018 | 176,253 | ||||||
Fannie Mae REMIC Trust 2004-W6 | ||||||||
5.50%, 07/25/2034 | 20,428 | 20,521 | ||||||
5.50%, 07/25/2034 | 125,675 | 128,947 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 279,768 | 326,527 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 315,938 | 353,778 | ||||||
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.30%, 08/25/2047 | 46,290 | 52,273 | ||||||
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 125,602 | 139,011 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 PO | 91,496 | 80,932 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
38.16%, 07/25/2037 | 87,594 | 136,458 | ||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 1,623,606 | 1,802,723 | ||||||
Fannie Mae REMICS | ||||||||
6.50%, 11/25/2015 | 6,779 | 6,896 | ||||||
6.00%, 03/25/2016 | 28 | 28 | ||||||
0.64%, 10/25/2016 IO | 802,668 | 6,924 | ||||||
6.00%, 12/25/2016 | 23,921 | 24,650 | ||||||
6.00%, 12/25/2016 | 16,526 | 17,090 | ||||||
6.00%, 12/25/2016 | 93,655 | 96,851 | ||||||
6.00%, 12/25/2016 | 467 | 482 | ||||||
6.00%, 02/25/2017 | 54,754 | 56,408 | ||||||
6.00%, 02/25/2017 | 26,031 | 26,995 | ||||||
0.67%, 03/25/2017 | 1,690 | 1,696 | ||||||
6.00%, 03/25/2017 | 10,499 | 10,824 | ||||||
6.00%, 03/25/2017 | 27,790 | 28,563 | ||||||
6.00%, 04/25/2017 | 58,705 | 60,532 | ||||||
6.00%, 04/25/2017 | 9,308 | 9,590 | ||||||
6.00%, 04/25/2017 | 50,784 | 52,947 | ||||||
18.91%, 05/25/2017 | 26,309 | 30,615 | ||||||
6.00%, 06/25/2017 | 106,361 | 109,379 | ||||||
5.50%, 09/25/2017 | 53,649 | 55,647 | ||||||
5.00%, 10/25/2017 | 13,017 | 13,577 |
Table of Contents
5.00%, 05/25/2018 | 40,902 | 42,658 | ||||||
4.75%, 09/25/2018 | 194,653 | 203,958 | ||||||
4.00%, 04/25/2019 | 45,300 | 47,104 | ||||||
8.00%, 07/25/2019 | 11,111 | 12,071 | ||||||
8.00%, 10/25/2019 | 3,401 | 3,706 | ||||||
4.00%, 11/25/2019 | 52,572 | 54,591 | ||||||
8.50%, 11/25/2019 | 2,051 | 2,272 | ||||||
9.00%, 11/25/2019 | 1,532 | 1,694 | ||||||
9.40%, 11/25/2019 | 1,524 | 1,692 | ||||||
7.50%, 12/25/2019 | 3,656 | 3,964 | ||||||
8.50%, 01/25/2020 | 384 | 426 | ||||||
8.80%, 01/25/2020 | 1,005 | 1,118 | ||||||
7.00%, 05/25/2020 | 510 | 554 | ||||||
5.50%, 06/25/2020 | 471 | 503 | ||||||
9.50%, 06/25/2020 | 691 | 772 | ||||||
7.00%, 07/25/2020 | 4,097 | 4,458 | ||||||
5.50%, 08/25/2020 | 523 | 556 | ||||||
6.50%, 08/25/2020 | 4,621 | 4,948 | ||||||
505.00%, 08/25/2020 | 9 | 72 | ||||||
1118.04%, 08/25/2020 IO | 11 | 139 | ||||||
6.50%, 09/25/2020 | 2,293 | 2,451 | ||||||
7.00%, 09/25/2020 | 791 | 865 | ||||||
9.00%, 10/25/2020 | 3,273 | 3,662 | ||||||
21.35%, 11/25/2020 | 468 | 673 | ||||||
652.15%, 12/25/2020 IO | 22 | 192 | ||||||
7.00%, 01/25/2021 | 1,017 | 1,115 | ||||||
908.50%, 02/25/2021 IO | 1 | 13 | ||||||
5.00%, 03/25/2021 | 953 | 1,015 | ||||||
7.00%, 03/25/2021 | 35,786 | 39,113 | ||||||
5.00%, 05/25/2021 | 198,065 | 200,674 | ||||||
17.38%, 05/25/2021 | 794 | 1,001 | ||||||
8.50%, 06/25/2021 | 904 | 1,026 | ||||||
8.75%, 06/25/2021 | 3,918 | 4,431 | ||||||
1063.43%, 06/25/2021 | 40 | 617 | ||||||
6.50%, 07/25/2021 | 1,836 | 1,981 | ||||||
6.50%, 09/25/2021 | 204,589 | 224,786 | ||||||
14.93%, 09/25/2021 | 2,620 | 3,208 | ||||||
8.75%, 10/25/2021 | 6,787 | 7,541 | ||||||
24.49%, 12/25/2021 | 1,142 | 1,613 | ||||||
6.00%, 02/25/2022 | 197,149 | 215,466 | ||||||
6.50%, 02/25/2022 | 28,666 | 31,706 | ||||||
0.00%, 03/25/2022 PO | 78,520 | 76,337 | ||||||
7.50%, 06/25/2022 | 168 | 187 | ||||||
7.00%, 07/25/2022 | 2,716 | 2,986 | ||||||
7.50%, 07/25/2022 | 31,241 | 34,669 | ||||||
8.00%, 07/25/2022 | 44,656 | 47,653 | ||||||
8.00%, 07/25/2022 | 28,862 | 32,351 | ||||||
1184.78%, 07/25/2022 IO | 11 | 187 | ||||||
6.00%, 08/25/2022 | 5,666 | 6,093 | ||||||
6.00%, 08/25/2022 | 19,788 | 20,539 | ||||||
6.50%, 08/25/2022 | 6,775 | 7,345 | ||||||
0.19%, 09/25/2022 | 2,858 | 2,855 | ||||||
5.50%, 09/25/2022 | 4,953 | 5,318 | ||||||
6.00%, 09/25/2022 | 229,777 | 250,778 | ||||||
7.50%, 09/25/2022 | 31,988 | 35,113 |
Table of Contents
7.75%, 09/25/2022 | 12,795 | 14,335 | ||||||
8.00%, 09/25/2022 | 38,038 | 42,599 | ||||||
0.00%, 10/25/2022 PO | 3,698 | 3,526 | ||||||
1.37%, 10/25/2022 | 2,714 | 2,757 | ||||||
7.00%, 10/25/2022 | 5,630 | 6,408 | ||||||
7.50%, 10/25/2022 | 18,358 | 20,901 | ||||||
7.90%, 01/25/2023 | 18,966 | 21,598 | ||||||
6.50%, 02/25/2023 | 7,310 | 8,173 | ||||||
7.00%, 02/25/2023 | 75,828 | 84,817 | ||||||
15.50%, 02/25/2023 | 3,223 | 4,373 | ||||||
5.50%, 03/25/2023 | 408,396 | 445,186 | ||||||
6.50%, 03/25/2023 | 5,616 | 6,218 | ||||||
7.00%, 03/25/2023 | 50,175 | 55,770 | ||||||
7.50%, 03/25/2023 | 18,489 | 20,632 | ||||||
7.70%, 03/25/2023 | 8,280 | 9,399 | ||||||
0.00%, 04/25/2023 PO | 2,425 | 2,307 | ||||||
5.50%, 04/25/2023 | 22,500 | 24,617 | ||||||
5.50%, 04/25/2023 | 740,104 | 809,587 | ||||||
6.00%, 04/25/2023 | 12,870 | 14,204 | ||||||
7.00%, 04/25/2023 | 18,190 | 20,238 | ||||||
17.45%, 04/25/2023 IO | 14,155 | 4,529 | ||||||
18.97%, 04/25/2023 | 8,727 | 12,536 | ||||||
5.50%, 05/25/2023 | 168,978 | 183,724 | ||||||
7.00%, 05/25/2023 | 191,300 | 214,335 | ||||||
5.00%, 06/25/2023 | 205,397 | 216,005 | ||||||
6.33%, 06/25/2023 IO | 139,330 | 14,771 | ||||||
7.48%, 06/25/2023 IO | 131,909 | 10,010 | ||||||
4.50%, 07/25/2023 | 287,000 | 306,622 | ||||||
5.00%, 07/25/2023 | 390,000 | 418,773 | ||||||
6.50%, 07/25/2023 | 4,753 | 5,277 | ||||||
6.79%, 07/25/2023 | 93,072 | 102,647 | ||||||
7.00%, 07/25/2023 | 94,256 | 103,555 | ||||||
7.00%, 07/25/2023 | 62,234 | 69,618 | ||||||
1.05%, 08/25/2023 | 11,932 | 12,184 | ||||||
6.88%, 08/25/2023 | 84,980 | 94,461 | ||||||
7.00%, 08/25/2023 | 153,434 | 170,157 | ||||||
7.88%, 08/25/2023 IO | 14,519 | 1,557 | ||||||
8.21%, 08/25/2023 IO | 77,171 | 18,858 | ||||||
0.00%, 09/25/2023 PO | 2,801 | 2,673 | ||||||
0.00%, 09/25/2023 PO | 7,113 | 6,773 | ||||||
0.82%, 09/25/2023 | 180,367 | 181,642 | ||||||
6.50%, 09/25/2023 | 7,926 | 8,865 | ||||||
12.50%, 09/25/2023 | 5,469 | 6,270 | ||||||
13.43%, 09/25/2023 | 4,406 | 5,633 | ||||||
0.72%, 10/25/2023 | 5,163 | 5,185 | ||||||
6.50%, 10/25/2023 | 128,934 | 140,732 | ||||||
6.50%, 10/25/2023 | 56,550 | 63,160 | ||||||
10.50%, 10/25/2023 | 2,530 | 3,074 | ||||||
22.91%, 10/25/2023 | 7,053 | 10,646 | ||||||
26.81%, 10/25/2023 | 3,796 | 6,062 | ||||||
0.00%, 11/25/2023 PO | 840 | 800 | ||||||
6.50%, 11/25/2023 | 38,608 | 43,714 | ||||||
0.77%, 12/25/2023 | 3,281 | 3,329 | ||||||
1.17%, 12/25/2023 | 9,890 | 10,126 | ||||||
6.50%, 12/25/2023 | 11,319 | 12,607 |
Table of Contents
7.00%, 12/25/2023 | 10,072 | 10,170 | ||||||
12.28%, 12/25/2023 | 4,601 | 5,962 | ||||||
23.91%, 12/25/2023 | 9,890 | 14,681 | ||||||
28.04%, 12/25/2023 | 12,156 | 19,935 | ||||||
5.00%, 02/25/2024 IO | 229,224 | 19,517 | ||||||
5.00%, 03/25/2024 IO | 228,254 | 14,925 | ||||||
5.00%, 03/25/2024 IO | 105,804 | 7,784 | ||||||
6.50%, 03/25/2024 | 40,537 | 45,143 | ||||||
6.50%, 03/25/2024 | 200,780 | 219,003 | ||||||
7.00%, 04/25/2024 | 313,187 | 349,656 | ||||||
7.00%, 04/25/2024 | 145,754 | 165,880 | ||||||
5.50%, 07/25/2024 | 42,964 | 46,842 | ||||||
5.50%, 08/25/2024 | 371,653 | 403,105 | ||||||
5.00%, 11/25/2024 | 613,932 | 669,836 | ||||||
8.50%, 01/25/2025 | 7,340 | 8,474 | ||||||
8.80%, 01/25/2025 | 9,524 | 10,823 | ||||||
0.47%, 07/25/2025 | 140,527 | 141,031 | ||||||
5.50%, 08/25/2025 | 349,947 | 385,088 | ||||||
5.50%, 01/25/2026 | 238,750 | 261,548 | ||||||
32.40%, 10/25/2026 | 47,660 | 77,948 | ||||||
7.00%, 11/25/2026 | 71,500 | 79,569 | ||||||
1.84%, 03/25/2027 IO | 16,053 | 753 | ||||||
1.84%, 03/25/2027 IO | 56,460 | 2,810 | ||||||
7.50%, 04/18/2027 | 10,529 | 11,597 | ||||||
7.50%, 04/20/2027 | 17,213 | 20,009 | ||||||
6.50%, 04/25/2027 | 43,810 | 48,275 | ||||||
7.50%, 05/20/2027 | 67,671 | 78,671 | ||||||
0.57%, 05/25/2027 | 6,445,779 | 6,478,485 | ||||||
6.50%, 07/18/2027 | 3,686 | 4,034 | ||||||
7.00%, 12/18/2027 IO | 18,884 | 3,278 | ||||||
6.00%, 07/18/2028 | 28,558 | 31,651 | ||||||
7.43%, 07/25/2028 IO | 738,655 | 124,856 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,208,996 | ||||||
6.00%, 12/25/2028 | 13,780 | 14,810 | ||||||
7.98%, 12/25/2028 IO | 28,957 | 5,881 | ||||||
5.00%, 03/25/2029 | 680,826 | 741,823 | ||||||
5.50%, 04/18/2029 | 58,898 | 63,591 | ||||||
6.35%, 04/25/2029 | 13,900 | 15,469 | ||||||
7.50%, 12/18/2029 | 20,217 | 23,070 | ||||||
7.50%, 02/25/2030 | 107,580 | 122,872 | ||||||
8.93%, 07/25/2030 IO | 38,282 | 10,594 | ||||||
8.50%, 01/25/2031 IO | 4,769 | 1,099 | ||||||
7.00%, 03/25/2031 | 13,160 | 15,028 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,121,316 | ||||||
6.00%, 07/25/2031 IO | 73,576 | 12,799 | ||||||
7.00%, 07/25/2031 | 39,692 | 45,068 | ||||||
7.00%, 08/25/2031 | 74,907 | 85,536 | ||||||
6.50%, 09/25/2031 | 17,700 | 19,569 | ||||||
7.00%, 09/25/2031 | 21,176 | 23,855 | ||||||
7.00%, 09/25/2031 | 16,297 | 18,636 | ||||||
7.00%, 09/25/2031 | 92,917 | 106,082 | ||||||
13.86%, 09/25/2031 | 52,770 | 57,595 | ||||||
23.91%, 09/25/2031 | 55,250 | 89,607 | ||||||
6.50%, 10/25/2031 | 12,565 | 14,066 | ||||||
22.44%, 10/25/2031 | 36,447 | 55,947 |
Table of Contents
6.00%, 11/25/2031 | 148,222 | 163,869 | ||||||
7.00%, 11/25/2031 | 136,145 | 153,442 | ||||||
15.18%, 11/25/2031 | 40,402 | 55,168 | ||||||
17.07%, 12/25/2031 | 5,541 | 7,035 | ||||||
0.00%, 01/25/2032 PO | 6,069 | 5,571 | ||||||
24.64%, 02/25/2032 | 25,233 | 41,493 | ||||||
1.60%, 03/25/2032 IO | 145,558 | 7,916 | ||||||
10.00%, 03/25/2032 | 2,273 | 2,819 | ||||||
0.00%, 04/25/2032 PO | 4,321 | 3,951 | ||||||
6.00%, 04/25/2032 | 345,127 | 379,458 | ||||||
6.50%, 04/25/2032 | 64,402 | 72,280 | ||||||
6.50%, 05/25/2032 | 132,404 | 148,132 | ||||||
6.50%, 06/25/2032 | 49,668 | 54,974 | ||||||
6.50%, 07/25/2032 IO | 265,745 | 44,121 | ||||||
6.50%, 08/25/2032 | 152,689 | 170,999 | ||||||
19.33%, 08/25/2032 | 157,128 | 193,598 | ||||||
0.97%, 11/25/2032 | 644,683 | 660,142 | ||||||
5.00%, 11/25/2032 | 31,332 | 33,856 | ||||||
6.00%, 11/25/2032 | 997,251 | 1,112,872 | ||||||
8.50%, 11/25/2032 | 42,092 | 49,542 | ||||||
0.00%, 12/25/2032 PO | 31,039 | 28,829 | ||||||
5.50%, 12/25/2032 | 400,006 | 432,010 | ||||||
14.17%, 12/25/2032 | 25,482 | 32,417 | ||||||
0.00%, 01/25/2033 PO | 88,573 | 87,182 | ||||||
6.50%, 02/25/2033 | 50,203 | 57,304 | ||||||
5.00%, 03/25/2033 IO | 75,294 | 13,800 | ||||||
6.00%, 03/25/2033 | 66,000 | 72,190 | ||||||
4.00%, 04/25/2033 | 470,000 | 493,843 | ||||||
0.00%, 05/25/2033 PO | 16,639 | 15,481 | ||||||
4.00%, 05/25/2033 | 38,702 | 41,381 | ||||||
5.50%, 05/25/2033 IO | 596 | 0 | ||||||
6.00%, 05/25/2033 | 233,000 | 264,661 | ||||||
6.00%, 05/25/2033 | 124,000 | 144,841 | ||||||
6.00%, 05/25/2033 | 101,996 | 111,727 | ||||||
6.00%, 05/25/2033 IO | 23,865 | 5,195 | ||||||
6.50%, 05/25/2033 IO | 233,290 | 39,300 | ||||||
7.00%, 05/25/2033 IO | 358,055 | 62,433 | ||||||
5.75%, 06/25/2033 | 146,071 | 160,411 | ||||||
6.93%, 06/25/2033 IO | 199,622 | 26,332 | ||||||
13.86%, 06/25/2033 | 148,491 | 170,521 | ||||||
5.50%, 07/25/2033 | 218,997 | 224,225 | ||||||
13.36%, 07/25/2033 | 59,413 | 71,508 | ||||||
13.86%, 07/25/2033 | 61,388 | 69,478 | ||||||
0.00%, 08/25/2033 | 19,001 | 18,126 | ||||||
5.50%, 08/25/2033 | 151,879 | 158,349 | ||||||
5.50%, 08/25/2033 | 292,266 | 322,869 | ||||||
5.50%, 08/25/2033 IO | 582,417 | 109,816 | ||||||
7.26%, 08/25/2033 | 135,266 | 147,431 | ||||||
9.86%, 08/25/2033 | 13,075 | 14,759 | ||||||
17.64%, 08/25/2033 | 98,716 | 129,431 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,558,945 | ||||||
12.22%, 09/25/2033 | 45,780 | 53,262 | ||||||
3.00%, 10/25/2033 | 908,000 | 893,178 | ||||||
5.50%, 10/25/2033 | 1,802,955 | 1,940,092 | ||||||
7.43%, 11/25/2033 IO | 288,539 | 72,760 |
Table of Contents
0.00%, 12/25/2033 PO | 229,327 | 214,274 | ||||||
13.76%, 12/25/2033 | 84,527 | 97,480 | ||||||
0.92%, 01/25/2034 | 357,653 | 364,039 | ||||||
11.27%, 01/25/2034 | 22,887 | 26,599 | ||||||
12.91%, 01/25/2034 | 8,300 | 8,717 | ||||||
15.86%, 01/25/2034 | 39,724 | 50,564 | ||||||
5.50%, 02/25/2034 | 108,044 | 114,339 | ||||||
27.92%, 02/25/2034 | 119,678 | 158,896 | ||||||
0.00%, 03/25/2034 PO | 308,143 | 295,208 | ||||||
0.57%, 03/25/2034 | 282,625 | 284,125 | ||||||
5.50%, 04/25/2034 | 428,912 | 476,095 | ||||||
6.00%, 04/25/2034 | 29,468 | 30,377 | ||||||
19.06%, 04/25/2034 | 182,135 | 254,123 | ||||||
0.57%, 05/25/2034 | 587,541 | 591,014 | ||||||
16.03%, 05/25/2034 | 43,923 | 54,515 | ||||||
19.06%, 05/25/2034 | 251,203 | 345,796 | ||||||
23.32%, 05/25/2034 | 54,224 | 74,600 | ||||||
5.50%, 07/25/2034 | 1,101,343 | 1,202,896 | ||||||
13.90%, 07/25/2034 | 40,337 | 50,815 | ||||||
0.42%, 08/25/2034 | 243,638 | 244,129 | ||||||
5.50%, 08/25/2034 | 896,619 | 940,222 | ||||||
19.33%, 11/25/2034 | 97,733 | 131,077 | ||||||
21.22%, 12/25/2034 | 8,348 | 9,852 | ||||||
24.49%, 01/25/2035 | 43,077 | 56,841 | ||||||
0.00%, 04/25/2035 PO | 227,301 | 220,698 | ||||||
0.52%, 04/25/2035 | 268,964 | 269,869 | ||||||
16.58%, 05/25/2035 | 32,616 | 42,146 | ||||||
19.55%, 05/25/2035 | 350,110 | 471,944 | ||||||
19.66%, 05/25/2035 | 240,688 | 325,138 | ||||||
24.13%, 05/25/2035 | 80,371 | 113,273 | ||||||
5.00%, 06/25/2035 | 109,879 | 116,927 | ||||||
6.50%, 06/25/2035 | 6,699 | 7,120 | ||||||
24.65%, 06/25/2035 | 97,814 | 135,111 | ||||||
5.75%, 07/25/2035 | 2,578,897 | 2,858,006 | ||||||
6.54%, 07/25/2035 IO | 194,618 | 37,562 | ||||||
16.95%, 07/25/2035 | 68,356 | 98,582 | ||||||
5.50%, 08/25/2035 | 1,181,836 | 1,295,969 | ||||||
5.50%, 08/25/2035 | 309,171 | 340,911 | ||||||
16.28%, 08/25/2035 | 97,582 | 127,710 | ||||||
16.45%, 08/25/2035 | 169,530 | 221,098 | ||||||
0.00%, 09/25/2035 PO | 53,389 | 51,088 | ||||||
23.52%, 09/25/2035 | 40,940 | 58,857 | ||||||
0.00%, 10/25/2035 PO | 65,033 | 60,517 | ||||||
5.75%, 10/25/2035 | 323,565 | 350,418 | ||||||
16.45%, 10/25/2035 | 118,424 | 148,302 | ||||||
5.50%, 11/25/2035 | 116,918 | 119,983 | ||||||
23.95%, 11/25/2035 | 621,237 | 898,756 | ||||||
5.50%, 12/25/2035 | 584,000 | 660,057 | ||||||
5.50%, 12/25/2035 | 154,851 | 168,747 | ||||||
6.00%, 12/25/2035 | 1,000,000 | 1,100,771 | ||||||
6.00%, 12/25/2035 | 68,512 | 75,148 | ||||||
0.00%, 01/25/2036 PO | 45,498 | 44,549 | ||||||
5.50%, 01/25/2036 | 128,169 | 139,243 | ||||||
0.00%, 03/25/2036 PO | 49,679 | 46,573 | ||||||
0.00%, 03/25/2036 PO | 426,957 | 402,880 |
Table of Contents
5.50%, 03/25/2036 | 388,758 | 430,291 | ||||||
5.50%, 03/25/2036 | 726,569 | 804,192 | ||||||
5.50%, 03/25/2036 | 656,577 | 705,583 | ||||||
6.53%, 03/25/2036 IO | 1,565,509 | 322,800 | ||||||
23.95%, 03/25/2036 | 41,621 | 59,322 | ||||||
0.00%, 04/25/2036 PO | 83,636 | 75,159 | ||||||
0.00%, 04/25/2036 PO | 203,287 | 192,716 | ||||||
0.00%, 04/25/2036 PO | 141,949 | 132,294 | ||||||
0.42%, 04/25/2036 | 225,736 | 225,929 | ||||||
29.39%, 05/25/2036 | 48,974 | 82,718 | ||||||
0.00%, 06/25/2036 PO | 89,419 | 83,741 | ||||||
0.00%, 06/25/2036 PO | 45,479 | 42,761 | ||||||
0.00%, 06/25/2036 PO | 140,506 | 130,805 | ||||||
0.00%, 06/25/2036 PO | 376,249 | 350,798 | ||||||
0.00%, 06/25/2036 PO | 299,059 | 280,147 | ||||||
0.57%, 06/25/2036 | 462,915 | 465,908 | ||||||
0.57%, 06/25/2036 | 107,301 | 107,711 | ||||||
0.62%, 06/25/2036 | 62,684 | 63,163 | ||||||
6.00%, 06/25/2036 IO | 5,056 | 127 | ||||||
6.41%, 06/25/2036 IO | 370,202 | 57,566 | ||||||
23.58%, 06/25/2036 | 17,135 | 24,152 | ||||||
0.42%, 06/27/2036 | 2,778,504 | 2,776,054 | ||||||
0.00%, 07/25/2036 PO | 102,868 | 96,341 | ||||||
0.00%, 07/25/2036 PO | 56,386 | 52,866 | ||||||
0.00%, 07/25/2036 PO | 109,599 | 106,272 | ||||||
0.00%, 07/25/2036 PO | 30,164 | 28,405 | ||||||
0.46%, 07/25/2036 | 800,194 | 803,902 | ||||||
0.52%, 07/25/2036 | 290,208 | 292,278 | ||||||
0.63%, 07/25/2036 | 91,028 | 91,727 | ||||||
6.00%, 07/25/2036 | 1,280,893 | 1,407,956 | ||||||
6.35%, 07/25/2036 IO | 169,321 | 29,574 | ||||||
6.50%, 07/25/2036 | 811,292 | 921,129 | ||||||
6.50%, 07/25/2036 | 612,104 | 684,249 | ||||||
28.12%, 07/25/2036 | 47,190 | 77,608 | ||||||
38.88%, 07/25/2036 | 40,378 | 71,393 | ||||||
0.00%, 08/25/2036 PO | 77,996 | 72,677 | ||||||
0.00%, 08/25/2036 PO | 92,075 | 86,573 | ||||||
0.00%, 08/25/2036 PO | 42,606 | 40,586 | ||||||
0.00%, 08/25/2036 PO | 186,374 | 170,964 | ||||||
0.52%, 08/25/2036 | 2,613 | 2,614 | ||||||
0.52%, 08/25/2036 | 329,059 | 330,632 | ||||||
6.33%, 08/25/2036 IO | 93,197 | 19,430 | ||||||
6.50%, 08/25/2036 | 478,231 | 543,098 | ||||||
6.50%, 08/25/2036 | 127,472 | 141,959 | ||||||
0.00%, 09/25/2036 PO | 94,997 | 88,740 | ||||||
0.00%, 09/25/2036 PO | 102,775 | 96,009 | ||||||
0.00%, 09/25/2036 PO | 76,449 | 73,227 | ||||||
6.50%, 09/25/2036 | 88,847 | 99,502 | ||||||
4.50%, 10/25/2036 | 413,000 | 442,562 | ||||||
25.52%, 10/25/2036 | 63,525 | 89,395 | ||||||
0.00%, 11/25/2036 PO | 181,032 | 163,285 | ||||||
0.00%, 11/25/2036 PO | 25,347 | 23,869 | ||||||
0.00%, 11/25/2036 PO | 67,517 | 63,735 | ||||||
0.00%, 12/25/2036 PO | 45,198 | 42,211 | ||||||
0.00%, 12/25/2036 PO | 82,134 | 77,249 |
Table of Contents
0.22%, 12/25/2036 | 875,008 | 862,454 | ||||||
0.23%, 12/25/2036 | 235,548 | 230,364 | ||||||
6.00%, 12/25/2036 | 98,851 | 102,543 | ||||||
6.48%, 12/25/2036 IO | 387,647 | 61,615 | ||||||
25.88%, 12/25/2036 | 21,848 | 32,901 | ||||||
0.00%, 01/25/2037 PO | 258,660 | 246,599 | ||||||
0.00%, 01/25/2037 PO | 77,625 | 72,992 | ||||||
5.50%, 01/25/2037 | 134,000 | 145,472 | ||||||
0.37%, 02/25/2037 | 1,535 | 1,536 | ||||||
0.42%, 02/25/2037 | 347,253 | 347,582 | ||||||
37.98%, 02/25/2037 | 8,374 | 11,816 | ||||||
0.00%, 03/25/2037 PO | 76,433 | 71,978 | ||||||
0.67%, 03/25/2037 | 204,857 | 206,659 | ||||||
0.92%, 03/25/2037 | 323,111 | 324,500 | ||||||
5.00%, 03/25/2037 | 25,019 | 27,088 | ||||||
5.91%, 03/25/2037 IO | 40,966 | 6,430 | ||||||
6.00%, 03/25/2037 | 1,447,898 | 1,595,927 | ||||||
6.27%, 03/25/2037 IO | 734,707 | 95,126 | ||||||
0.00%, 04/25/2037 PO | 224,667 | 210,891 | ||||||
5.93%, 04/25/2037 IO | 387,501 | 46,482 | ||||||
22.10%, 04/25/2037 | 159,361 | 214,636 | ||||||
0.00%, 05/25/2037 PO | 66,145 | 63,806 | ||||||
0.47%, 05/25/2037 | 145,675 | 146,049 | ||||||
6.00%, 05/25/2037 | 970,608 | 1,083,926 | ||||||
0.57%, 06/25/2037 | 850,196 | 855,626 | ||||||
0.62%, 06/25/2037 | 70,385 | 69,298 | ||||||
5.61%, 06/25/2037 IO | 153,559 | 16,145 | ||||||
5.93%, 06/25/2037 IO | 167,901 | 19,905 | ||||||
5.93%, 06/25/2037 IO | 594,918 | 70,326 | ||||||
6.50%, 06/25/2037 | 92,106 | 102,143 | ||||||
0.00%, 07/25/2037 PO | 194,773 | 182,073 | ||||||
0.54%, 07/25/2037 | 137,290 | 137,670 | ||||||
0.67%, 07/25/2037 | 103,354 | 104,221 | ||||||
5.50%, 07/25/2037 | 374,418 | 403,268 | ||||||
6.23%, 07/25/2037 IO | 1,150,405 | 139,992 | ||||||
6.45%, 07/25/2037 IO | 708,053 | 108,905 | ||||||
6.98%, 07/25/2037 IO | 1,652,872 | 259,656 | ||||||
16.08%, 07/25/2037 | 111,445 | 140,602 | ||||||
0.62%, 08/25/2037 | 772,795 | 779,346 | ||||||
5.50%, 08/25/2037 | 263,997 | 285,517 | ||||||
6.00%, 08/25/2037 | 64,229 | 71,411 | ||||||
6.00%, 08/25/2037 | 390,380 | 434,541 | ||||||
6.00%, 08/25/2037 | 413,000 | 468,768 | ||||||
6.00%, 08/25/2037 | 403,094 | 450,499 | ||||||
23.40%, 08/25/2037 | 151,943 | 210,208 | ||||||
0.62%, 09/25/2037 | 2,568,164 | 2,579,700 | ||||||
6.37%, 09/25/2037 IO | 522,135 | 74,814 | ||||||
15.73%, 09/25/2037 | 43,627 | 54,241 | ||||||
0.00%, 10/25/2037 PO | 1,417,435 | 1,309,573 | ||||||
6.14%, 10/25/2037 | 216,263 | 238,813 | ||||||
6.28%, 10/25/2037 IO | 549,499 | 74,829 | ||||||
6.29%, 10/25/2037 IO | 514,762 | 70,106 | ||||||
0.37%, 10/27/2037 | 4,541,000 | 4,474,847 | ||||||
8.26%, 11/25/2037 | 465,607 | 538,089 | ||||||
6.19%, 12/25/2037 IO | 54,182 | 8,012 |
Table of Contents
6.23%, 12/25/2037 IO | 761,181 | 99,475 | ||||||
6.28%, 12/25/2037 IO | 519,190 | 88,708 | ||||||
6.50%, 12/25/2037 | 510,378 | 570,426 | ||||||
1.48%, 01/25/2038 IO | 1,187,683 | 84,964 | ||||||
5.74%, 02/25/2038 IO | 623,371 | 68,801 | ||||||
5.83%, 02/25/2038 IO | 1,044,043 | 125,341 | ||||||
1.07%, 03/25/2038 | 163,550 | 165,999 | ||||||
6.03%, 03/25/2038 IO | 202,889 | 27,346 | ||||||
6.06%, 03/25/2038 IO | 187,701 | 25,783 | ||||||
6.82%, 03/25/2038 IO | 283,358 | 41,464 | ||||||
13.66%, 03/25/2038 | 69,282 | 82,692 | ||||||
5.50%, 04/25/2038 | 2,344,533 | 2,519,969 | ||||||
6.50%, 04/25/2038 | 167,867 | 187,024 | ||||||
6.68%, 04/25/2038 IO | 236,787 | 35,110 | ||||||
6.73%, 04/25/2038 IO | 229,712 | 32,984 | ||||||
20.19%, 04/25/2038 | 95,488 | 131,216 | ||||||
0.00%, 05/25/2038 PO | 8,685 | 8,246 | ||||||
5.50%, 05/25/2038 | 2,351,022 | 2,539,240 | ||||||
1.74%, 06/25/2038 IO | 466,307 | 44,252 | ||||||
5.00%, 07/25/2038 | 125,385 | 135,291 | ||||||
5.00%, 07/25/2038 | 148,761 | 162,798 | ||||||
5.50%, 07/25/2038 | 1,139,861 | 1,224,107 | ||||||
7.03%, 07/25/2038 IO | 156,786 | 27,246 | ||||||
5.68%, 09/25/2038 IO | 615,964 | 75,632 | ||||||
5.68%, 09/25/2038 IO | 296,748 | 33,778 | ||||||
4.50%, 11/25/2038 | 127,545 | 131,030 | ||||||
0.57%, 12/25/2038 | 409,483 | 411,567 | ||||||
4.00%, 02/25/2039 | 701,981 | 734,528 | ||||||
4.50%, 02/25/2039 | 39,684 | 42,246 | ||||||
6.38%, 02/25/2039 IO | 365,201 | 64,833 | ||||||
6.48%, 03/25/2039 IO | 339,421 | 46,417 | ||||||
0.62%, 04/25/2039 | 760,706 | 767,236 | ||||||
5.00%, 07/25/2039 IO | 261,301 | 37,492 | ||||||
7.00%, 07/25/2039 | 23,995 | 27,867 | ||||||
5.00%, 08/25/2039 | 889,436 | 971,056 | ||||||
6.00%, 08/25/2039 | 1,109,433 | 1,247,570 | ||||||
5.00%, 09/25/2039 | 1,167,126 | 1,238,231 | ||||||
6.01%, 09/25/2039 | 447,009 | 514,712 | ||||||
5.50%, 10/25/2039 IO | 671,152 | 101,050 | ||||||
5.73%, 10/25/2039 IO | 309,524 | 35,570 | ||||||
2.32%, 12/25/2039 | 832,626 | 857,476 | ||||||
6.01%, 12/25/2039 IO | 362,685 | 44,275 | ||||||
6.30%, 12/25/2039 | 610,936 | 688,593 | ||||||
0.00%, 01/25/2040 PO | 133,982 | 126,020 | ||||||
6.08%, 01/25/2040 IO | 462,528 | 62,101 | ||||||
6.19%, 02/25/2040 | 167,375 | 181,003 | ||||||
0.77%, 03/25/2040 | 371,837 | 376,783 | ||||||
6.24%, 03/25/2040 | 460,904 | 529,700 | ||||||
6.44%, 03/25/2040 | 487,541 | 544,426 | ||||||
12.32%, 03/25/2040 | 904,445 | 1,040,607 | ||||||
0.77%, 04/25/2040 | 329,275 | 331,805 | ||||||
6.25%, 04/25/2040 IO | 438,030 | 69,231 | ||||||
17.10%, 04/25/2040 | 310,000 | 398,509 | ||||||
0.77%, 05/25/2040 | 280,628 | 284,204 | ||||||
6.23%, 05/25/2040 IO | 297,496 | 51,229 |
Table of Contents
0.00%, 06/25/2040 PO | 226,796 | 210,200 | ||||||
5.00%, 06/25/2040 | 2,372,271 | 2,590,129 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,114,605 | ||||||
5.50%, 07/25/2040 | 1,054,756 | 1,194,532 | ||||||
4.00%, 08/25/2040 | 3,000,000 | 3,172,986 | ||||||
5.00%, 09/25/2040 | 206,000 | 238,426 | ||||||
5.50%, 10/25/2040 | 2,012,000 | 2,293,000 | ||||||
4.27%, 11/25/2040 IO | 2,287,988 | 181,464 | ||||||
0.72%, 01/25/2041 | 642,346 | 647,067 | ||||||
6.36%, 01/25/2041 IO | 1,522,490 | 339,537 | ||||||
0.57%, 02/25/2041 | 1,333,550 | 1,340,593 | ||||||
0.47%, 03/25/2041 | 809,275 | 810,112 | ||||||
1.83%, 04/25/2041 IO | 3,419,986 | 262,212 | ||||||
0.67%, 07/25/2041 | 198,405 | 200,111 | ||||||
0.47%, 08/25/2041 | 2,572,601 | 2,562,470 | ||||||
0.72%, 08/25/2041 | 578,514 | 587,098 | ||||||
0.67%, 11/25/2041 | 704,560 | 711,267 | ||||||
7.00%, 11/25/2041 | 3,892,817 | 4,537,572 | ||||||
7.00%, 11/25/2041 | 3,154,310 | 3,619,820 | ||||||
7.00%, 11/25/2041 | 4,316,812 | 4,960,254 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 1,024,682 | ||||||
6.50%, 06/25/2042 | 104,730 | 119,269 | ||||||
0.62%, 09/25/2042 | 871,834 | 872,020 | ||||||
0.67%, 09/25/2042 | 438,372 | 442,214 | ||||||
0.67%, 09/25/2042 | 3,204,359 | 3,233,112 | ||||||
0.67%, 10/25/2042 | 3,312,793 | 3,341,810 | ||||||
0.67%, 10/25/2042 | 1,418,333 | 1,431,102 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 948,508 | ||||||
3.50%, 02/25/2043 | 819,399 | 841,457 | ||||||
0.52%, 03/25/2043 | 1,298,368 | 1,294,442 | ||||||
0.00%, 09/25/2043 PO | 2,381,557 | 1,891,654 | ||||||
0.00%, 10/25/2043 PO | 1,674,803 | 1,319,274 | ||||||
0.00%, 12/25/2043 PO | 4,649,121 | 3,748,571 | ||||||
5.93%, 11/25/2049 IO | 291,407 | 35,061 | ||||||
5.83%, 02/25/2051 | 377,091 | 415,076 | ||||||
5.40%, 07/25/2051 | 120,371 | 133,239 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 99,402 | 111,764 | ||||||
6.50%, 07/25/2042 | 170,775 | 196,561 | ||||||
Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 703,663 | 793,479 | ||||||
6.50%, 09/25/2042 | 285,696 | 326,689 | ||||||
Fannie Mae Trust 2003-W8 | ||||||||
0.57%, 05/25/2042 | 66,473 | 66,829 | ||||||
7.00%, 10/25/2042 | 359,715 | 416,319 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2033 | 480,975 | 561,101 | ||||||
5.04%, 11/25/2043 | 410,131 | 420,028 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
0.42%, 08/25/2044 | 382,520 | 380,195 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 127,186 | 145,930 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 134,457 | 156,688 |
Table of Contents
Fannie Mae Trust 2005-W3 | ||||||||
0.39%, 03/25/2045 | 2,896,614 | 2,903,355 | ||||||
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2035 | 165,993 | 189,071 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
2.20%, 11/25/2035 | 368,803 | 367,638 | ||||||
0.39%, 02/25/2036 | 1,386,462 | 1,386,202 | ||||||
Fannie Mae Whole Loan | ||||||||
0.43%, 11/25/2046 | 3,559,510 | 3,568,854 | ||||||
Fannie Mae-Aces | ||||||||
0.51%, 01/25/2017 | 622,542 | 622,859 | ||||||
0.45%, 12/25/2017 | 1,003,321 | 1,002,053 | ||||||
2.03%, 03/25/2019 | 1,818,000 | 1,833,366 | ||||||
0.66%, 08/25/2019 | 1,096,907 | 1,101,115 | ||||||
4.45%, 09/25/2019 | 2,219,000 | 2,443,634 | ||||||
1.52%, 12/25/2019 | 782,000 | 782,505 | ||||||
1.80%, 12/25/2019 | 743,000 | 741,341 | ||||||
4.33%, 03/25/2020 | 826,000 | 907,876 | ||||||
3.66%, 11/25/2020 | 673,716 | 724,129 | ||||||
3.65%, 04/25/2021 | 894,000 | 952,372 | ||||||
3.76%, 04/25/2021 | 6,037,000 | 6,514,847 | ||||||
3.73%, 06/25/2021 | 5,158,000 | 5,562,176 | ||||||
3.76%, 06/25/2021 | 1,032,000 | 1,112,747 | ||||||
2.92%, 08/25/2021 | 706,000 | 725,783 | ||||||
2.61%, 10/25/2021 | 3,000,000 | 3,038,334 | ||||||
2.28%, 12/27/2022 | 1,357,000 | 1,326,237 | ||||||
2.39%, 01/25/2023 | 1,342,000 | 1,325,469 | ||||||
3.51%, 12/25/2023 | 8,394,000 | 8,947,047 | ||||||
3.48%, 01/25/2024 | 16,000,000 | 16,992,128 | ||||||
3.10%, 07/25/2024 | 1,066,000 | 1,100,513 | ||||||
3.02%, 08/25/2024 | 1,273,000 | 1,301,982 | ||||||
FDIC Guaranteed Notes Trust 2010-C1 | ||||||||
2.98%, 12/06/2020 (Acquired 10/28/2013, Cost $1,452,163) (b) | 1,419,037 | 1,459,553 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
5.09%, 03/25/2019 | 9,000,000 | 10,103,796 | ||||||
1.65%, 06/25/2020 IO | 61,557,505 | 4,169,659 | ||||||
2.87%, 12/25/2021 | 5,500,000 | 5,666,804 | ||||||
2.79%, 01/25/2022 | 4,400,000 | 4,509,120 | ||||||
2.27%, 03/25/2022 | 7,100,000 | 7,046,502 | ||||||
1.47%, 05/25/2022 IO | 56,638,607 | 4,878,566 | ||||||
2.37%, 05/25/2022 | 15,905,000 | 15,829,722 | ||||||
0.90%, 10/25/2022 IO | 23,599,846 | 1,323,904 | ||||||
2.52%, 01/25/2023 | 2,000,000 | 1,996,658 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,502,533 | ||||||
3.49%, 01/25/2024 | 5,000,000 | 5,320,350 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,526,526 | ||||||
FHLMC Structured Pass Through Securities | ||||||||
6.32%, 07/25/2032 | 93,211 | 106,322 | ||||||
5.65%, 07/25/2033 | 281,772 | 318,920 | ||||||
3.15%, 10/25/2037 | 2,417,191 | 2,306,933 | ||||||
7.50%, 02/25/2042 | 404,293 | 470,332 | ||||||
7.50%, 08/25/2042 | 59,797 | 71,506 | ||||||
6.50%, 02/25/2043 | 372,335 | 428,992 | ||||||
7.00%, 02/25/2043 | 129,417 | 157,691 | ||||||
5.23%, 05/25/2043 | 903,083 | 999,974 | ||||||
0.00%, 07/25/2043 PO | 37,289 | 29,376 |
Table of Contents
7.50%, 07/25/2043 | 95,676 | 114,200 | ||||||
0.00%, 09/25/2043 PO | 45,114 | 36,778 | ||||||
7.50%, 09/25/2043 | 516,960 | 612,832 | ||||||
0.00%, 10/25/2043 PO | 48,598 | 38,675 | ||||||
7.00%, 10/25/2043 | 506,730 | 585,360 | ||||||
1.32%, 10/25/2044 | 1,085,309 | 1,095,295 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 28,411 | 31,375 | ||||||
6.25%, 11/25/2023 | 17,299 | 18,910 | ||||||
7.50%, 04/25/2024 | 127,206 | 143,358 | ||||||
First Boston Mortgage Securities Corp 1987 STRIPs | ||||||||
0.00%, 04/25/2017 PO | 433 | 433 | ||||||
10.97%, 04/25/2017 IO | 773 | 32 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA7 | ||||||||
5.00%, 09/25/2020 | 24,883 | 25,394 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 232,056 | 204,005 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 73,650 | 73,086 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 02/25/2037(f) | 145,005 | 125,789 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
5.48%, 08/25/2037 IO | 1,743,841 | 348,815 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR2 | ||||||||
2.63%, 05/25/2034 | 110,652 | 110,013 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR7 | ||||||||
2.57%, 02/25/2035 | 625,810 | 625,402 | ||||||
First Horizon Mortgage Pass-Through Trust 2005-AR1 | ||||||||
2.57%, 04/25/2035 | 425,525 | 423,189 | ||||||
Fnma Tba 30yr Tba 4% Feb | ||||||||
4.00%, 02/15/2041(d) | 6,500,000 | 6,919,377 | ||||||
Freddie Mac | ||||||||
3.50%, 01/15/2026(d) | 1,000,000 | 1,055,625 | ||||||
2.50%, 01/15/2028(d) | 3,000,000 | 3,051,234 | ||||||
3.00%, 01/15/2029(d) | 2,000,000 | 2,075,829 | ||||||
3.50%, 02/15/2042(d) | 7,000,000 | 7,260,859 | ||||||
Freddie Mac Gold Pool | ||||||||
6.50%, 07/01/2016 | 3,916 | 4,012 | ||||||
6.50%, 08/01/2016 | 2,597 | 2,674 | ||||||
6.00%, 04/01/2017 | 247,626 | 257,819 | ||||||
6.00%, 04/01/2017 | 122,046 | 127,219 | ||||||
7.00%, 04/01/2017 | 357 | 360 | ||||||
6.50%, 05/01/2017 | 1,442 | 1,459 | ||||||
5.50%, 06/01/2017 | 3,874 | 4,097 | ||||||
5.00%, 10/01/2017 | 38,073 | 39,989 | ||||||
6.00%, 10/01/2017 | 1,078 | 1,099 | ||||||
6.50%, 11/01/2017 | 1,627 | 1,703 | ||||||
5.00%, 12/01/2017 | 135,776 | 142,636 | ||||||
5.00%, 12/01/2017 | 148,056 | 155,546 | ||||||
6.50%, 12/01/2017 | 4,288 | 4,502 | ||||||
5.50%, 01/01/2018 | 34,427 | 36,413 | ||||||
5.50%, 02/01/2018 | 36,852 | 38,978 | ||||||
5.50%, 04/01/2018 | 366,129 | 386,656 | ||||||
6.00%, 04/01/2018 | 9,586 | 10,091 | ||||||
6.50%, 04/01/2018 | 39,671 | 41,234 |
Table of Contents
4.00%, 06/01/2018 | 5,358 | 5,674 | ||||||
4.50%, 08/01/2018 | 12,461 | 13,086 | ||||||
4.50%, 10/01/2018 | 62,097 | 65,219 | ||||||
4.50%, 10/01/2018 | 9,697 | 10,187 | ||||||
5.00%, 12/01/2018 | 19,137 | 20,112 | ||||||
5.50%, 01/01/2019 | 63,077 | 66,715 | ||||||
6.50%, 09/01/2019 | 34,194 | 35,828 | ||||||
5.50%, 12/01/2019 | 64,236 | 67,942 | ||||||
6.00%, 02/01/2020 | 14,379 | 15,070 | ||||||
5.50%, 04/01/2020 | 58,607 | 62,506 | ||||||
5.50%, 06/01/2020 | 44,070 | 46,612 | ||||||
6.00%, 06/01/2020 | 35,742 | 38,499 | ||||||
8.00%, 07/01/2020 | 164 | 165 | ||||||
6.00%, 08/01/2020 | 19,769 | 21,023 | ||||||
6.00%, 07/01/2021 | 60,823 | 63,608 | ||||||
6.00%, 07/01/2021 | 94,752 | 100,574 | ||||||
6.00%, 01/01/2022 | 19,286 | 19,818 | ||||||
6.00%, 02/01/2022 | 17,906 | 18,613 | ||||||
6.00%, 03/01/2022 | 71,171 | 74,722 | ||||||
6.50%, 03/01/2022 | 12,937 | 14,078 | ||||||
5.50%, 11/01/2022 | 10,323 | 11,513 | ||||||
6.50%, 11/01/2022 | 42,949 | 48,797 | ||||||
6.00%, 12/01/2022 | 14,881 | 16,828 | ||||||
5.50%, 01/01/2023 | 97,512 | 108,757 | ||||||
5.50%, 05/01/2023 | 50,941 | 56,824 | ||||||
5.00%, 06/01/2023 | 10,714 | 11,810 | ||||||
5.50%, 07/01/2023 | 12,268 | 13,687 | ||||||
5.50%, 11/01/2023 | 29,861 | 33,308 | ||||||
5.50%, 01/01/2024 | 1,621,038 | 1,766,949 | ||||||
5.50%, 02/01/2024 | 40,808 | 44,449 | ||||||
8.00%, 08/01/2024 | 1,301 | 1,527 | ||||||
8.00%, 11/01/2024 | 1,051 | 1,184 | ||||||
7.50%, 08/01/2025 | 2,169 | 2,520 | ||||||
3.50%, 11/01/2025 | 895,099 | 946,274 | ||||||
10.00%, 03/17/2026 | 77,121 | 84,684 | ||||||
7.00%, 04/01/2026 | 2,590 | 3,017 | ||||||
6.50%, 01/01/2028 | 85,836 | 98,864 | ||||||
2.50%, 04/01/2028 | 632,594 | 644,751 | ||||||
3.00%, 07/01/2028 | 4,024,290 | 4,185,524 | ||||||
8.50%, 07/01/2028 | 6,892 | 8,268 | ||||||
3.00%, 09/01/2028 | 8,613,850 | 8,963,283 | ||||||
3.00%, 10/01/2028 | 3,320,353 | 3,461,603 | ||||||
7.00%, 12/01/2028 | 108,263 | 125,966 | ||||||
3.00%, 05/01/2029 | 2,721,611 | 2,837,364 | ||||||
6.50%, 06/01/2029 | 35,979 | 42,099 | ||||||
7.00%, 07/01/2029 | 1,172 | 1,317 | ||||||
6.50%, 08/01/2029 | 145,614 | 169,690 | ||||||
6.00%, 10/01/2029 | 35,281 | 40,435 | ||||||
10.00%, 10/01/2030 | 420,432 | 477,313 | ||||||
7.00%, 01/01/2031 | 92,972 | 102,444 | ||||||
3.50%, 01/01/2032 | 1,300,780 | 1,369,106 | ||||||
7.50%, 01/01/2032 | 210,820 | 252,727 | ||||||
3.50%, 03/01/2032 | 523,243 | 550,735 | ||||||
7.00%, 07/01/2032 | 7,743 | 8,864 | ||||||
7.00%, 08/01/2032 | 10,152 | 11,337 |
Table of Contents
5.50%, 01/01/2033 | 404,865 | 455,637 | ||||||
3.50%, 02/01/2033 | 368,137 | 386,947 | ||||||
6.00%, 02/01/2033 | 204,243 | 229,386 | ||||||
3.50%, 05/01/2033 | 452,921 | 476,094 | ||||||
3.50%, 05/01/2033 | 1,537,641 | 1,616,326 | ||||||
5.50%, 10/01/2033 | 82,697 | 93,303 | ||||||
6.00%, 12/01/2033 | 15,836 | 17,925 | ||||||
5.00%, 01/01/2034 | 76,243 | 84,372 | ||||||
6.00%, 01/01/2034 | 78,972 | 88,694 | ||||||
6.00%, 01/01/2034 | 58,859 | 67,419 | ||||||
5.00%, 06/01/2034 | 386,695 | 428,213 | ||||||
5.00%, 09/01/2034 | 155,327 | 172,779 | ||||||
6.50%, 11/01/2034 | 21,474 | 24,398 | ||||||
6.50%, 01/01/2035 | 238,288 | 284,318 | ||||||
5.00%, 03/01/2035 | 102,778 | 113,675 | ||||||
5.50%, 07/01/2035 | 170,219 | 191,809 | ||||||
4.50%, 11/01/2035 | 27,976 | 30,470 | ||||||
6.50%, 12/01/2035 | 143,752 | 171,232 | ||||||
6.50%, 12/01/2035 | 84,208 | 95,658 | ||||||
5.50%, 01/01/2036 | 65,008 | 72,707 | ||||||
5.00%, 03/01/2036 | 8,730,844 | 9,657,509 | ||||||
5.00%, 07/01/2036 | 7,697 | 8,497 | ||||||
5.00%, 08/20/2036 | 4,965,398 | 5,616,936 | ||||||
5.00%, 11/01/2036 | 213,838 | 236,372 | ||||||
6.00%, 11/01/2036 | 61,619 | 67,975 | ||||||
6.50%, 11/01/2036 | 288,661 | 326,469 | ||||||
6.50%, 11/01/2036 | 746,962 | 840,127 | ||||||
6.50%, 11/01/2036 | 55,844 | 63,448 | ||||||
5.50%, 12/01/2036 | 105,946 | 118,596 | ||||||
6.00%, 12/01/2036 | 29,780 | 33,763 | ||||||
6.00%, 12/01/2036 | 51,255 | 58,251 | ||||||
6.50%, 12/01/2036 | 710,212 | 803,898 | ||||||
6.50%, 12/01/2036 | 217,622 | 249,457 | ||||||
7.50%, 12/01/2036 | 762,021 | 916,025 | ||||||
6.50%, 01/01/2037 | 33,823 | 36,414 | ||||||
6.50%, 01/01/2037 | 52,892 | 59,737 | ||||||
6.50%, 02/01/2037 | 55,016 | 62,239 | ||||||
7.00%, 02/01/2037 | 21,416 | 24,429 | ||||||
5.00%, 03/01/2037 | 736,544 | 812,395 | ||||||
5.00%, 06/01/2037 | 743,665 | 819,746 | ||||||
6.50%, 06/01/2037 | 35,233 | 39,792 | ||||||
5.00%, 08/01/2037 | 703,693 | 775,685 | ||||||
6.50%, 11/01/2037 | 113,476 | 128,927 | ||||||
7.50%, 01/01/2038 | 156,125 | 180,629 | ||||||
7.50%, 01/01/2038 | 103,930 | 117,658 | ||||||
5.00%, 02/01/2038 | 722,587 | 796,512 | ||||||
5.00%, 03/01/2038 | 779,352 | 859,085 | ||||||
5.00%, 03/01/2038 | 845,624 | 932,136 | ||||||
5.00%, 03/01/2038 | 1,275,573 | 1,406,959 | ||||||
5.00%, 03/01/2038 | 166,802 | 183,931 | ||||||
6.50%, 03/01/2038 | 145,769 | 165,617 | ||||||
5.00%, 04/01/2038 | 779,225 | 858,945 | ||||||
5.50%, 05/01/2038 | 219,744 | 245,977 | ||||||
5.50%, 08/01/2038 | 267,461 | 299,303 | ||||||
5.00%, 09/01/2038 | 3,002 | 3,309 |
Table of Contents
5.00%, 09/01/2038 | 617,936 | 681,154 | ||||||
7.50%, 09/01/2038 | 61,221 | 70,736 | ||||||
5.00%, 11/01/2038 | 4,588 | 5,058 | ||||||
5.00%, 12/01/2038 | 2,782 | 3,067 | ||||||
5.00%, 12/01/2038 | 745,241 | 821,483 | ||||||
5.00%, 02/01/2039 | 1,522,046 | 1,677,761 | ||||||
5.00%, 05/01/2039 | 15,698 | 17,656 | ||||||
4.50%, 07/01/2039 | 733,860 | 795,177 | ||||||
4.50%, 10/01/2039 | 4,749,523 | 5,148,915 | ||||||
4.50%, 11/01/2039 | 8,250,309 | 8,943,995 | ||||||
4.50%, 11/01/2039 | 5,552,191 | 6,019,569 | ||||||
5.00%, 03/01/2040 | 8,143,601 | 9,015,504 | ||||||
5.50%, 03/01/2040 | 68,167 | 76,231 | ||||||
5.50%, 05/01/2040 | 6,238,717 | 6,980,653 | ||||||
4.50%, 08/01/2040 | 1,260,033 | 1,367,062 | ||||||
5.00%, 08/01/2040 | 3,812,467 | 4,221,574 | ||||||
5.00%, 08/01/2040 | 1,039,693 | 1,152,739 | ||||||
5.50%, 08/01/2040 | 2,735,654 | 3,059,716 | ||||||
4.00%, 09/01/2040 | 1,841,779 | 1,966,382 | ||||||
4.50%, 09/01/2040 | 4,026,824 | 4,369,722 | ||||||
4.50%, 09/01/2040 | 980,859 | 1,064,280 | ||||||
4.00%, 11/01/2040 | 89,936 | 95,993 | ||||||
4.00%, 11/01/2040 | 5,707,490 | 6,092,964 | ||||||
4.00%, 12/01/2040 | 3,163,951 | 3,376,886 | ||||||
4.00%, 12/01/2040 | 957,140 | 1,025,488 | ||||||
4.00%, 12/01/2040 | 2,182,641 | 2,338,799 | ||||||
4.00%, 12/01/2040 | 2,429,134 | 2,602,962 | ||||||
4.00%, 12/01/2040 | 3,285,754 | 3,507,444 | ||||||
4.50%, 03/01/2041 | 728,434 | 790,422 | ||||||
4.50%, 05/01/2041 | 4,856,388 | 5,288,401 | ||||||
5.00%, 06/01/2041 | 836,119 | 926,478 | ||||||
4.00%, 11/01/2041 | 28,863 | 30,803 | ||||||
4.00%, 01/01/2042 | 535,161 | 571,146 | ||||||
4.00%, 05/01/2042 | 38,780 | 41,387 | ||||||
3.50%, 06/01/2042 | 5,083,783 | 5,306,034 | ||||||
3.50%, 06/01/2042 | 963,104 | 1,002,996 | ||||||
4.00%, 06/01/2042 | 4,246,738 | 4,579,504 | ||||||
3.50%, 07/01/2042 | 21,758,843 | 22,658,164 | ||||||
3.00%, 08/01/2042 | 3,530,303 | 3,573,579 | ||||||
3.50%, 09/01/2042 | 6,663,282 | 6,938,266 | ||||||
3.00%, 10/01/2042 | 8,591,955 | 8,697,301 | ||||||
3.50%, 10/01/2042 | 5,775,382 | 6,012,732 | ||||||
4.00%, 10/01/2042 | 289,957 | 303,555 | ||||||
3.50%, 11/01/2042 | 228,708 | 238,647 | ||||||
4.00%, 01/01/2043 | 484,552 | 522,719 | ||||||
3.00%, 02/01/2043 | 719,686 | 728,444 | ||||||
3.00%, 03/01/2043 | 9,282,907 | 9,395,956 | ||||||
3.00%, 03/01/2043 | 4,584,398 | 4,639,403 | ||||||
3.50%, 03/01/2043 | 1,711,310 | 1,781,274 | ||||||
3.00%, 04/01/2043 | 178,436 | 180,560 | ||||||
3.50%, 05/01/2043 | 479,581 | 500,594 | ||||||
3.00%, 06/01/2043 | 66,768 | 67,530 | ||||||
3.00%, 06/01/2043 | 19,587,932 | 19,817,759 | ||||||
3.50%, 06/01/2043 | 3,340,711 | 3,477,291 | ||||||
3.50%, 06/01/2043 | 1,654,033 | 1,726,354 |
Table of Contents
4.00%, 06/01/2043 | 24,356 | 26,098 | ||||||
3.00%, 07/01/2043 | 48,518 | 49,083 | ||||||
3.00%, 07/01/2043 | 637,436 | 644,854 | ||||||
3.00%, 08/01/2043 | 932,426 | 943,029 | ||||||
3.00%, 08/01/2043 | 11,999,515 | 12,138,213 | ||||||
3.00%, 09/01/2043 | 833,125 | 842,488 | ||||||
4.00%, 09/01/2043 | 347,516 | 372,058 | ||||||
3.50%, 10/01/2043 | 393,954 | 410,061 | ||||||
3.00%, 11/01/2043 | 93,642 | 94,709 | ||||||
4.00%, 11/01/2043 | 598,715 | 638,973 | ||||||
4.00%, 11/01/2043 | 220,320 | 235,135 | ||||||
4.00%, 12/01/2043 | 5,327,334 | 5,685,548 | ||||||
4.00%, 12/01/2043 | 636,368 | 679,158 | ||||||
4.00%, 12/01/2043 | 1,125,571 | 1,204,991 | ||||||
4.00%, 01/01/2044 | 226,352 | 242,112 | ||||||
4.00%, 01/01/2044(e) | 2,732,116 | 2,915,825 | ||||||
4.00%, 01/01/2044 | 1,616,098 | 1,724,766 | ||||||
4.00%, 03/01/2044 | 9,101,372 | 9,713,354 | ||||||
4.50%, 05/01/2044 | 5,500,001 | 5,966,453 | ||||||
3.50%, 07/01/2044 | 13,665,125 | 14,223,802 | ||||||
4.50%, 07/01/2044 | 238,264 | 258,197 | ||||||
4.00%, 10/01/2044 | 7,028,613 | 7,533,202 | ||||||
Freddie Mac Non Gold Pool | ||||||||
12.00%, 08/01/2015 | 50 | 50 | ||||||
2.09%, 07/01/2019 | 3,743 | 3,809 | ||||||
12.00%, 07/01/2019 | 57 | 57 | ||||||
2.25%, 07/01/2026 | 5,249 | 5,285 | ||||||
2.24%, 01/01/2027 | 11,531 | 12,124 | ||||||
2.31%, 04/01/2030 | 5,231 | 5,530 | ||||||
2.50%, 09/01/2032 | 9,777 | 10,499 | ||||||
2.39%, 05/01/2033 | 314,511 | 335,735 | ||||||
2.36%, 12/01/2033 | 54,556 | 58,190 | ||||||
2.30%, 04/01/2034 | 102,217 | 108,708 | ||||||
2.50%, 09/01/2034 | 240,641 | 257,481 | ||||||
2.38%, 01/01/2035 | 103,451 | 110,589 | ||||||
4.98%, 01/01/2035 | 328,912 | 345,835 | ||||||
2.23%, 08/01/2035 | 40,979 | 43,583 | ||||||
2.50%, 12/01/2035 | 160,646 | 172,677 | ||||||
2.31%, 02/01/2036 | 54,060 | 57,679 | ||||||
3.49%, 02/01/2036 | �� | 238,173 | 255,387 | |||||
2.67%, 03/01/2036 | 290,410 | 312,585 | ||||||
3.03%, 03/01/2036 | 401,309 | 433,856 | ||||||
2.37%, 05/01/2036 | 266,837 | 286,646 | ||||||
2.38%, 05/01/2036 | 161,429 | 172,029 | ||||||
2.83%, 05/01/2036 | 60,388 | 65,617 | ||||||
2.51%, 06/01/2036 | 723,594 | 777,681 | ||||||
2.53%, 06/01/2036 | 187,368 | 201,535 | ||||||
2.09%, 07/01/2036 | 111,611 | 118,470 | ||||||
2.38%, 07/01/2036 | 91,485 | 97,962 | ||||||
3.37%, 07/01/2036 | 104,089 | 108,121 | ||||||
2.00%, 08/01/2036 | 64,503 | 67,991 | ||||||
2.09%, 08/01/2036 | 142,017 | 150,147 | ||||||
2.12%, 08/01/2036 | 841,855 | 895,196 | ||||||
2.29%, 09/01/2036 | 265,467 | 284,505 | ||||||
2.43%, 09/01/2036 | 302,428 | 325,244 |
Table of Contents
2.10%, 10/01/2036 | 124,509 | 129,956 | ||||||
2.10%, 10/01/2036 | 450,744 | 477,953 | ||||||
2.13%, 10/01/2036 | 235,002 | 249,542 | ||||||
2.19%, 10/01/2036 | 143,314 | 153,059 | ||||||
2.41%, 10/01/2036 | 48,961 | 50,865 | ||||||
2.48%, 10/01/2036 | 222,344 | 237,370 | ||||||
2.78%, 10/01/2036 | 192,789 | 206,931 | ||||||
2.20%, 11/01/2036 | 50,041 | 53,257 | ||||||
2.24%, 11/01/2036 | 219,968 | 235,616 | ||||||
2.28%, 11/01/2036 | 95,535 | 102,238 | ||||||
2.37%, 11/01/2036 | 123,156 | 131,959 | ||||||
2.38%, 11/01/2036 | 337,773 | 360,699 | ||||||
2.14%, 12/01/2036 | 621,798 | 658,484 | ||||||
2.22%, 12/01/2036 | 670,254 | 713,590 | ||||||
2.30%, 12/01/2036 | 20,008 | 21,326 | ||||||
2.66%, 12/01/2036 | 264,100 | 284,902 | ||||||
2.79%, 12/01/2036 | 34,243 | 37,118 | ||||||
2.04%, 01/01/2037 | 38,419 | 40,280 | ||||||
2.56%, 01/01/2037 | 124,966 | 133,677 | ||||||
2.32%, 02/01/2037 | 21,697 | 23,161 | ||||||
2.49%, 02/01/2037 | 354,365 | 381,698 | ||||||
2.51%, 02/01/2037 | 19,292 | 20,697 | ||||||
2.57%, 02/01/2037 | 225,102 | 242,004 | ||||||
2.83%, 02/01/2037 | 48,213 | 51,887 | ||||||
2.31%, 03/01/2037 | 645,116 | 687,814 | ||||||
2.76%, 03/01/2037 | 105,464 | 113,411 | ||||||
2.93%, 03/01/2037 | 57,993 | 63,057 | ||||||
1.93%, 04/01/2037 | 69,920 | 73,697 | ||||||
2.54%, 04/01/2037 | 10,630 | 10,937 | ||||||
2.68%, 04/01/2037 | 148,310 | 160,400 | ||||||
1.94%, 05/01/2037 | 178,217 | 187,449 | ||||||
2.39%, 05/01/2037 | 248,999 | 266,918 | ||||||
2.39%, 05/01/2037 | 99,114 | 106,136 | ||||||
2.50%, 05/01/2037 | 58,021 | 61,907 | ||||||
2.63%, 05/01/2037 | 450,553 | 484,514 | ||||||
2.68%, 05/01/2037 | 253,823 | 275,448 | ||||||
2.27%, 06/01/2037 | 126,719 | 135,247 | ||||||
2.37%, 07/01/2037 | 116,982 | 125,499 | ||||||
3.67%, 11/01/2037 | 54,059 | 57,794 | ||||||
2.66%, 04/01/2038 | 242,722 | 261,301 | ||||||
2.49%, 05/01/2038 | 186,472 | 200,544 | ||||||
3.99%, 07/01/2040 | 262,072 | 276,408 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 951,130 | 1,066,591 | ||||||
6.00%, 05/15/2036 | 1,301,270 | 1,478,108 | ||||||
Freddie Mac REMICS | ||||||||
6.50%, 08/15/2016 | 15,283 | 15,855 | ||||||
6.00%, 09/15/2016 | 3,141 | 3,230 | ||||||
6.00%, 09/15/2016 | 42,008 | 43,509 | ||||||
6.00%, 09/15/2016 | 12,208 | 12,561 | ||||||
6.00%, 09/15/2016 | 20,385 | 21,070 | ||||||
6.00%, 09/15/2016 | 4,090 | 4,223 | ||||||
6.00%, 10/15/2016 | 10,988 | 11,343 | ||||||
5.50%, 12/15/2016 | 28,105 | 28,891 | ||||||
6.00%, 12/15/2016 | 9,747 | 10,084 |
Table of Contents
6.00%, 03/15/2017 | 11,170 | 11,634 | ||||||
5.00%, 06/15/2017 | 56,874 | 57,212 | ||||||
5.50%, 06/15/2017 | 4,848 | 4,975 | ||||||
6.00%, 06/15/2017 | 28,794 | 29,802 | ||||||
16.37%, 08/15/2017 | 5,943 | 6,779 | ||||||
4.00%, 09/15/2017 | 2,054 | 2,055 | ||||||
5.50%, 10/15/2017 | 15,767 | 16,580 | ||||||
5.00%, 12/15/2017 | 37,168 | 38,836 | ||||||
5.50%, 12/15/2017 | 69,435 | 72,992 | ||||||
5.00%, 01/15/2018 | 44,135 | 45,405 | ||||||
4.50%, 03/15/2018 IO | 14,093 | 156 | ||||||
4.50%, 05/15/2018 | 34,819 | 36,291 | ||||||
6.50%, 05/15/2018 | 6,220 | 6,599 | ||||||
4.50%, 06/15/2018 | 287,918 | 300,229 | ||||||
5.94%, 06/15/2018 IO | 45,979 | 3,144 | ||||||
4.50%, 07/15/2018 | 279,991 | 292,185 | ||||||
0.00%, 10/15/2018 PO | 3,286 | 3,276 | ||||||
0.00%, 03/15/2019 PO | 117,521 | 116,246 | ||||||
6.50%, 03/15/2019 IO | 3,262 | 345 | ||||||
4.50%, 04/15/2019 | 3,896 | 3,984 | ||||||
0.00%, 07/15/2019 PO | 2,437 | 2,424 | ||||||
9.50%, 07/15/2019 | 1,227 | 1,261 | ||||||
0.00%, 02/15/2020 PO | 485,648 | 476,756 | ||||||
5.00%, 02/15/2020 IO | 94,247 | 7,431 | ||||||
5.00%, 02/15/2020 IO | 144,693 | 12,634 | ||||||
6.50%, 03/15/2020 | 10,787 | 11,515 | ||||||
12.00%, 03/15/2020 | 43,630 | 49,624 | ||||||
9.50%, 04/15/2020 | 1,095 | 1,185 | ||||||
9.60%, 04/15/2020 | 1,763 | 1,950 | ||||||
5.00%, 06/15/2020 | 516,000 | 546,031 | ||||||
10.00%, 06/15/2020 | 284 | 318 | ||||||
7.80%, 09/15/2020 | 426 | 451 | ||||||
9.00%, 10/15/2020 | 949 | 1,021 | ||||||
6.95%, 01/15/2021 | 3,455 | 3,740 | ||||||
8.60%, 01/15/2021 | 14 | 16 | ||||||
9.50%, 01/15/2021 | 987 | 1,099 | ||||||
1066.21%, 02/15/2021 IO | 2 | 20 | ||||||
9.00%, 04/15/2021 | 689 | 799 | ||||||
1.11%, 05/15/2021 | 732 | 743 | ||||||
5.00%, 05/15/2021 | 2,225 | 2,327 | ||||||
6.75%, 05/15/2021 | 1,981 | 2,122 | ||||||
7.00%, 05/15/2021 | 12,740 | 14,041 | ||||||
33.45%, 05/15/2021 | 356 | 583 | ||||||
44.50%, 05/15/2021 | 513 | 856 | ||||||
6.00%, 07/15/2021 | 2,039 | 2,202 | ||||||
5.50%, 08/15/2021 | 1,051 | 1,118 | ||||||
7.00%, 09/15/2021 | 4,656 | 5,075 | ||||||
8.50%, 09/15/2021 | 4,918 | 5,521 | ||||||
6.70%, 11/15/2021 | 307,295 | 326,370 | ||||||
1181.25%, 11/15/2021 IO | 4 | 34 | ||||||
0.00%, 12/15/2021 PO | 446,070 | 441,969 | ||||||
1180.06%, 01/15/2022 IO | 41 | 907 | ||||||
5.00%, 03/15/2022 | 568,000 | 622,300 | ||||||
7.00%, 03/15/2022 | 2,058 | 2,279 | ||||||
6.00%, 05/15/2022 | 1,537 | 1,644 |
Table of Contents
7.00%, 05/15/2022 | 2,785 | 3,106 | ||||||
7.50%, 08/15/2022 | 3,121 | 3,614 | ||||||
8.00%, 08/15/2022 | 7,825 | 9,038 | ||||||
1.31%, 09/15/2022 | 5,453 | 5,574 | ||||||
5.50%, 10/15/2022 | 168,375 | 183,500 | ||||||
4.59%, 12/15/2022 | 5,400 | 5,713 | ||||||
5.50%, 12/15/2022 | 94,367 | 94,588 | ||||||
5.50%, 12/15/2022 | 56,589 | 61,845 | ||||||
5.00%, 01/15/2023 | 19,962 | 20,071 | ||||||
1.67%, 02/15/2023 | 714 | 730 | ||||||
7.50%, 02/15/2023 | 48,522 | 54,131 | ||||||
5.50%, 03/15/2023 | 146,000 | 164,166 | ||||||
1.31%, 04/15/2023 | 28,725 | 29,488 | ||||||
5.50%, 04/15/2023 | 147,000 | 169,071 | ||||||
7.00%, 04/15/2023 | 42,361 | 46,621 | ||||||
7.50%, 04/15/2023 | 8,815 | 9,844 | ||||||
5.00%, 05/15/2023 | 45,369 | 49,065 | ||||||
7.00%, 05/15/2023 | 4,895 | 5,365 | ||||||
8.88%, 05/15/2023 | 20,091 | 23,531 | ||||||
0.00%, 06/15/2023 PO | 7,442 | 7,378 | ||||||
0.00%, 06/15/2023 PO | 5,419 | 5,372 | ||||||
5.60%, 06/15/2023 | 91,838 | 98,020 | ||||||
6.39%, 06/15/2023 IO | 50,113 | 3,636 | ||||||
1.89%, 07/15/2023 | 17,775 | 17,882 | ||||||
8.44%, 07/15/2023 | 13,366 | 15,067 | ||||||
24.84%, 07/15/2023 | 3,734 | 5,819 | ||||||
2.17%, 08/15/2023 | 1,102 | 1,141 | ||||||
6.50%, 09/15/2023 | 120,035 | 130,595 | ||||||
7.00%, 09/15/2023 | 39,577 | 44,067 | ||||||
33.81%, 09/15/2023 | 15,820 | 27,185 | ||||||
0.00%, 10/15/2023 PO | 80,451 | 79,289 | ||||||
4.00%, 10/15/2023 | 774,000 | 812,921 | ||||||
6.25%, 10/15/2023 | 21,685 | 23,570 | ||||||
22.23%, 10/15/2023 | 5,255 | 9,009 | ||||||
5.00%, 11/15/2023 | 516,000 | 571,066 | ||||||
5.50%, 11/15/2023 | 146,514 | 159,819 | ||||||
6.00%, 11/15/2023 | 47,366 | 52,442 | ||||||
16.98%, 11/15/2023 | 5,510 | 5,678 | ||||||
5.00%, 12/15/2023 | 60,928 | 65,916 | ||||||
6.50%, 12/15/2023 | 72,833 | 81,064 | ||||||
6.50%, 12/15/2023 | 26,971 | 29,694 | ||||||
7.00%, 01/15/2024 | 19,286 | 21,694 | ||||||
0.00%, 02/15/2024 PO | 21,621 | 20,895 | ||||||
0.00%, 02/15/2024 PO | 5,959 | 5,194 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,854 | ||||||
10.00%, 02/15/2024 | 2,165 | 2,989 | ||||||
18.88%, 02/15/2024 | 2,004 | 2,875 | ||||||
0.76%, 03/15/2024 | 3,207 | 3,253 | ||||||
1.72%, 03/15/2024 | 1,544 | 1,545 | ||||||
7.00%, 03/15/2024 | 87,966 | 98,915 | ||||||
7.00%, 03/15/2024 | 15,808 | 17,762 | ||||||
28.42%, 03/15/2024 IO | 10,360 | 4,027 | ||||||
7.50%, 04/15/2024 | 60,948 | 69,107 | ||||||
0.00%, 05/15/2024 PO | 12,102 | 11,449 | ||||||
8.03%, 05/15/2024 IO | 28,974 | 5,094 |
Table of Contents
0.46%, 06/15/2024 | 134,331 | 134,596 | ||||||
6.00%, 06/15/2024 | 55,151 | 60,922 | ||||||
5.50%, 07/15/2024 IO | 1,468 | 6 | ||||||
7.50%, 08/15/2024 | 10,195 | 11,607 | ||||||
4.00%, 12/15/2024 | 206,000 | 219,491 | ||||||
5.00%, 12/15/2024 | 171,447 | 183,729 | ||||||
32.94%, 04/15/2025 | 46,246 | 71,989 | ||||||
4.50%, 06/15/2025 | 722,000 | 804,822 | ||||||
16.47%, 08/15/2025 | 29,628 | 37,659 | ||||||
27.32%, 10/15/2025 | 53,126 | 77,740 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,076,962 | ||||||
5.00%, 03/15/2026 | 330,483 | 355,804 | ||||||
6.50%, 03/15/2026 | 9,309 | 10,232 | ||||||
6.50%, 07/15/2026 | 60,976 | 67,288 | ||||||
7.50%, 09/15/2026 | 7,411 | 8,474 | ||||||
8.00%, 09/15/2026 | 18,957 | 21,965 | ||||||
6.50%, 01/15/2027 | 40,344 | 44,440 | ||||||
7.50%, 01/15/2027 | 49,777 | 56,725 | ||||||
7.50%, 01/15/2027 | 15,568 | 17,813 | ||||||
0.86%, 02/15/2027 | 1,212 | 1,236 | ||||||
6.00%, 05/15/2027 | 42,620 | 47,110 | ||||||
7.25%, 07/15/2027 | 2,317 | 2,636 | ||||||
7.50%, 09/15/2027 | 17,903 | 19,734 | ||||||
5.50%, 10/15/2027 | 417,000 | 424,921 | ||||||
6.50%, 12/15/2027 | 26,048 | 29,176 | ||||||
7.00%, 03/15/2028 IO | 29,215 | 5,179 | ||||||
7.50%, 03/15/2028 | 87,271 | 99,633 | ||||||
7.50%, 05/15/2028 | 32,890 | 37,569 | ||||||
6.50%, 06/15/2028 | 45,336 | 50,312 | ||||||
7.00%, 06/15/2028 | 7,983 | 9,076 | ||||||
6.00%, 07/15/2028 | 20,374 | 22,574 | ||||||
6.25%, 08/15/2028 | 99,912 | 111,788 | ||||||
6.50%, 08/15/2028 | 93,330 | 103,970 | ||||||
6.00%, 09/15/2028 | 17,990 | 19,995 | ||||||
7.00%, 10/15/2028 IO | 36,639 | 6,186 | ||||||
6.00%, 11/15/2028 | 83,130 | 91,256 | ||||||
0.00%, 12/15/2028 PO | 21,404 | 21,401 | ||||||
6.00%, 12/15/2028 | 149,873 | 167,157 | ||||||
0.76%, 01/15/2029 | 38,293 | 38,896 | ||||||
6.00%, 01/15/2029 | 216,910 | 238,684 | ||||||
6.00%, 02/15/2029 | 44,290 | 48,977 | ||||||
6.25%, 02/15/2029 | 223,314 | 246,108 | ||||||
29.88%, 03/15/2029 | 6,105 | 10,618 | ||||||
7.00%, 04/15/2029 IO | 3,582 | 611 | ||||||
7.00%, 06/15/2029 | 179,261 | 204,309 | ||||||
7.50%, 06/15/2029 IO | 13,859 | 2,415 | ||||||
7.00%, 07/15/2029 | 78,946 | 88,703 | ||||||
7.00%, 08/15/2029 | 46,701 | 53,591 | ||||||
4.00%, 11/15/2029 IO | 532,213 | 48,005 | ||||||
7.50%, 11/15/2029 | 247 | 293 | ||||||
8.00%, 11/15/2029 | 40,716 | 47,073 | ||||||
7.00%, 01/15/2030 | 96,695 | 111,519 | ||||||
8.00%, 01/15/2030 | 78,539 | 90,347 | ||||||
8.00%, 01/15/2030 | 24,692 | 29,449 | ||||||
8.00%, 03/15/2030 | 15,762 | 18,840 |
Table of Contents
5.00%, 04/15/2030 | 702,000 | 786,812 | ||||||
8.00%, 04/15/2030 | 22,913 | 26,667 | ||||||
7.50%, 05/15/2030 | 18,212 | 20,915 | ||||||
7.50%, 08/15/2030 | 15,134 | 17,443 | ||||||
7.25%, 09/15/2030 | 40,475 | 46,394 | ||||||
7.00%, 10/15/2030 | 67,319 | 76,930 | ||||||
7.50%, 10/15/2030 | 5,391 | 6,216 | ||||||
7.50%, 10/15/2030 | 1,385 | 1,589 | ||||||
7.25%, 12/15/2030 | 73,254 | 83,765 | ||||||
7.00%, 03/15/2031 | 32,017 | 36,636 | ||||||
6.50%, 05/15/2031 | 20,269 | 22,628 | ||||||
7.00%, 06/15/2031 | 40,011 | 42,680 | ||||||
8.50%, 06/15/2031 | 76,541 | 91,019 | ||||||
6.00%, 07/15/2031 | 11,945 | 11,698 | ||||||
7.00%, 07/15/2031 | 75,534 | 85,878 | ||||||
6.50%, 08/15/2031 | 41,391 | 46,606 | ||||||
6.50%, 08/15/2031 | 33,871 | 37,807 | ||||||
6.50%, 08/15/2031 | 411,918 | 469,004 | ||||||
6.50%, 08/15/2031 | 40,945 | 45,905 | ||||||
6.50%, 10/15/2031 | 36,130 | 39,637 | ||||||
6.50%, 01/15/2032 | 69,739 | 78,161 | ||||||
6.50%, 01/15/2032 | 41,889 | 47,205 | ||||||
1.06%, 02/15/2032 | 225,092 | 230,415 | ||||||
6.38%, 02/15/2032 | 51,711 | 55,276 | ||||||
6.50%, 02/15/2032 | 78,860 | 88,846 | ||||||
6.50%, 02/15/2032 | 85,526 | 96,925 | ||||||
7.84%, 02/15/2032 IO | 178,262 | 44,526 | ||||||
8.49%, 02/15/2032 IO | 35,026 | 9,648 | ||||||
15.78%, 02/15/2032 | 93,400 | 123,567 | ||||||
19.08%, 02/15/2032 | 93,706 | 135,955 | ||||||
6.50%, 03/15/2032 | 94,671 | 105,736 | ||||||
6.50%, 03/15/2032 | 115,872 | 129,805 | ||||||
7.00%, 03/15/2032 | 82,543 | 94,649 | ||||||
7.00%, 03/15/2032 | 64,518 | 73,877 | ||||||
7.79%, 03/15/2032 IO | 71,189 | 18,926 | ||||||
7.84%, 03/15/2032 IO | 46,441 | 10,328 | ||||||
6.50%, 04/15/2032 | 185,000 | 200,363 | ||||||
6.50%, 04/15/2032 | 267,157 | 296,755 | ||||||
6.50%, 04/15/2032 | 27,371 | 30,670 | ||||||
7.00%, 04/15/2032 | 149,884 | 167,017 | ||||||
7.00%, 04/15/2032 | 57,041 | 63,910 | ||||||
5.50%, 05/15/2032 | 131,046 | 135,834 | ||||||
6.50%, 05/15/2032 | 110,031 | 123,084 | ||||||
7.00%, 05/15/2032 | 64,300 | 73,259 | ||||||
6.50%, 06/15/2032 | 79,009 | 88,117 | ||||||
6.50%, 06/15/2032 | 65,054 | 72,858 | ||||||
6.50%, 06/15/2032 | 119,707 | 132,806 | ||||||
6.50%, 07/15/2032 | 126,391 | 141,834 | ||||||
6.50%, 07/15/2032 | 84,697 | 94,880 | ||||||
0.00%, 09/15/2032 PO | 237,368 | 215,076 | ||||||
6.00%, 09/15/2032 | 161,266 | 181,346 | ||||||
0.00%, 12/15/2032 PO | 113,969 | 111,591 | ||||||
0.00%, 12/15/2032 PO | 16,614 | 15,468 | ||||||
0.00%, 12/15/2032 PO | 19,802 | 19,500 | ||||||
0.91%, 12/15/2032 | 128,300 | 131,069 |
Table of Contents
6.00%, 12/15/2032 | 117,057 | 129,058 | ||||||
6.00%, 12/15/2032 | 229,503 | 257,972 | ||||||
18.21%, 12/15/2032 | 75,640 | 110,554 | ||||||
0.00%, 01/15/2033 PO | 253,161 | 252,498 | ||||||
6.00%, 01/15/2033 | 149,089 | 164,369 | ||||||
0.00%, 02/15/2033 PO | 35,257 | 35,226 | ||||||
0.00%, 02/15/2033 PO | 46,918 | 46,875 | ||||||
6.00%, 02/15/2033 | 124,774 | 136,704 | ||||||
6.00%, 02/15/2033 | 541,929 | 597,120 | ||||||
6.00%, 03/15/2033 | 96,218 | 105,241 | ||||||
6.50%, 03/15/2033 IO | 58,751 | 9,652 | ||||||
0.51%, 05/15/2033 | 727,905 | 731,030 | ||||||
14.56%, 06/15/2033 | 203,286 | 252,020 | ||||||
5.00%, 07/15/2033 | 929,781 | 1,041,927 | ||||||
6.72%, 07/15/2033 | 462 | 556 | ||||||
12.97%, 07/15/2033 | 52,531 | 61,599 | ||||||
3.00%, 08/15/2033 | 495,000 | 496,133 | ||||||
14.46%, 09/15/2033 | 63,104 | 78,455 | ||||||
7.87%, 10/15/2033 | 1,084,000 | 1,233,277 | ||||||
16.15%, 11/15/2033 | 34,468 | 43,964 | ||||||
0.76%, 12/15/2033 | 494,109 | 500,810 | ||||||
5.50%, 12/15/2033 | 205,399 | 214,286 | ||||||
5.00%, 01/15/2034 | 818,549 | 889,510 | ||||||
5.50%, 02/15/2034 | 55,894 | 59,383 | ||||||
6.00%, 05/15/2034 | 486,390 | 534,344 | ||||||
23.90%, 06/15/2034 | 203,003 | 280,696 | ||||||
0.00%, 07/15/2034 PO | 351,884 | 326,275 | ||||||
2.38%, 07/15/2034 | 123,891 | 126,965 | ||||||
0.53%, 10/15/2034 | 327,762 | 329,047 | ||||||
4.00%, 11/15/2034 IO | 1,016,647 | 67,719 | ||||||
0.00%, 01/15/2035 PO | 5,227 | 5,181 | ||||||
0.00%, 02/15/2035 PO | 87,732 | 81,156 | ||||||
27.45%, 02/15/2035 | 96,446 | 140,210 | ||||||
0.00%, 04/15/2035 PO | 166,396 | 151,570 | ||||||
0.54%, 04/15/2035 | 405,749 | 407,805 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,237,287 | ||||||
0.56%, 05/15/2035 | 160,740 | 162,158 | ||||||
0.46%, 06/15/2035 | 153,874 | 154,148 | ||||||
16.61%, 06/15/2035 | 35,192 | 41,697 | ||||||
0.00%, 08/15/2035 PO | 10,434 | 8,971 | ||||||
0.96%, 08/15/2035 | 184,335 | 187,600 | ||||||
4.00%, 08/15/2035 IO | 355,507 | 3,560 | ||||||
6.00%, 08/15/2035 | 117,408 | 120,397 | ||||||
0.00%, 09/15/2035 PO | 88,159 | 82,877 | ||||||
6.00%, 09/15/2035 | 268,503 | 277,668 | ||||||
5.75%, 10/15/2035 | 2,111 | 2,113 | ||||||
19.46%, 11/15/2035 | 97,076 | 124,424 | ||||||
0.00%, 01/15/2036 PO | 102,905 | 102,190 | ||||||
6.00%, 01/15/2036 | 379,092 | 415,266 | ||||||
23.98%, 01/15/2036 | 33,994 | 47,577 | ||||||
0.00%, 02/15/2036 PO | 351,738 | 332,394 | ||||||
0.00%, 02/15/2036 PO | 112,276 | 105,866 | ||||||
0.00%, 02/15/2036 PO | 64,471 | 60,347 | ||||||
0.00%, 02/15/2036 PO | 74,915 | 70,331 | ||||||
0.00%, 03/15/2036 PO | 215,782 | 203,908 |
Table of Contents
0.00%, 03/15/2036 PO | 21,778 | 20,435 | ||||||
0.00%, 03/15/2036 PO | 209,699 | 198,963 | ||||||
6.00%, 03/15/2036 | 1,888 | 2,623 | ||||||
0.00%, 04/15/2036 PO | 409,636 | 387,029 | ||||||
0.00%, 04/15/2036 PO | 415,921 | 387,505 | ||||||
0.00%, 04/15/2036 PO | 226,693 | 211,205 | ||||||
0.00%, 04/15/2036 PO | 116,165 | 108,561 | ||||||
6.00%, 04/15/2036 | 2,064,001 | 2,309,138 | ||||||
6.00%, 04/15/2036 | 222,611 | 243,994 | ||||||
6.00%, 04/15/2036 IO | 229,428 | 40,501 | ||||||
0.00%, 05/15/2036 PO | 14,459 | 13,312 | ||||||
0.00%, 05/15/2036 PO | 85,622 | 80,441 | ||||||
0.00%, 05/15/2036 PO | 33,631 | 31,185 | ||||||
0.00%, 05/15/2036 PO | 150,843 | 141,042 | ||||||
0.61%, 05/15/2036 | 1,489,102 | 1,498,078 | ||||||
0.66%, 05/15/2036 | 967,114 | 976,054 | ||||||
0.00%, 06/15/2036 PO | 347,264 | 326,770 | ||||||
6.00%, 06/15/2036 | 346,199 | 363,315 | ||||||
6.00%, 06/15/2036 | 52,915 | 58,530 | ||||||
19.22%, 06/15/2036 | 75,087 | 98,929 | ||||||
0.00%, 07/15/2036 PO | 70,246 | 65,219 | ||||||
6.50%, 07/15/2036 | 246,900 | 279,009 | ||||||
6.50%, 07/15/2036 | 357,746 | 411,279 | ||||||
6.94%, 07/15/2036 IO | 44,240 | 9,305 | ||||||
0.00%, 08/15/2036 PO | 103,716 | 97,414 | ||||||
5.50%, 08/15/2036 | 515,094 | 572,049 | ||||||
5.50%, 08/15/2036 | 183,661 | 197,853 | ||||||
6.49%, 08/15/2036 IO | 1,404,606 | 224,250 | ||||||
0.00%, 09/15/2036 PO | 44,502 | 41,737 | ||||||
0.00%, 09/15/2036 PO | 65,338 | 61,424 | ||||||
0.00%, 10/15/2036 PO | 121,486 | 114,011 | ||||||
6.54%, 10/15/2036 IO | 125,575 | 18,325 | ||||||
7.50%, 11/15/2036 | 1,829,150 | 2,091,496 | ||||||
0.00%, 12/15/2036 PO | 59,941 | 56,065 | ||||||
7.00%, 12/15/2036 | 4,592,614 | 5,383,067 | ||||||
7.50%, 12/15/2036 | 1,686,310 | 2,018,580 | ||||||
0.00%, 01/15/2037 PO | 51,960 | 49,494 | ||||||
5.98%, 01/15/2037 IO | 97,887 | 12,746 | ||||||
0.00%, 02/15/2037 PO | 31,094 | 29,039 | ||||||
0.00%, 02/15/2037 PO | 137,374 | 130,905 | ||||||
0.60%, 02/15/2037 | 150,293 | 151,372 | ||||||
4.50%, 02/15/2037 | 1,067,681 | 1,120,899 | ||||||
6.00%, 02/15/2037 | 251,948 | 281,485 | ||||||
0.00%, 03/15/2037 PO | 60,950 | 56,813 | ||||||
6.29%, 03/15/2037 IO | 151,467 | 19,600 | ||||||
9.00%, 03/15/2037 | 31,018 | 35,850 | ||||||
0.00%, 04/15/2037 | 68,516 | 65,321 | ||||||
6.00%, 04/15/2037 | 183,537 | 201,678 | ||||||
0.00%, 05/15/2037 PO | 8,109 | 7,075 | ||||||
0.00%, 05/15/2037 PO | 122,728 | 115,677 | ||||||
0.00%, 05/15/2037 PO | 585,880 | 528,150 | ||||||
6.00%, 05/15/2037 | 461,155 | 508,121 | ||||||
0.00%, 06/15/2037 PO | 66,546 | 62,196 | ||||||
0.00%, 06/15/2037 PO | 40,154 | 36,944 | ||||||
0.00%, 07/15/2037 PO | 654,898 | 615,360 |
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0.56%, 07/15/2037 | 2,951,045 | 2,943,115 | ||||||
4.50%, 07/15/2037 IO | 2,502,167 | 200,060 | ||||||
5.50%, 07/15/2037 IO | 11,456 | 139 | ||||||
6.44%, 07/15/2037 IO | 139,138 | 20,907 | ||||||
4.00%, 08/15/2037 IO | 1,950,250 | 199,617 | ||||||
0.00%, 09/15/2037 PO | 79,062 | 74,392 | ||||||
0.76%, 09/15/2037 | 48,254 | 48,947 | ||||||
4.00%, 10/15/2037 IO | 945,192 | 64,446 | ||||||
4.00%, 10/15/2037 IO | 1,284,035 | 111,908 | ||||||
0.84%, 11/15/2037 | 2,073,563 | 2,103,014 | ||||||
6.26%, 11/15/2037 IO | 748,510 | 99,853 | ||||||
6.29%, 11/15/2037 IO | 464,762 | 64,924 | ||||||
5.84%, 01/15/2038 IO | 849,239 | 98,409 | ||||||
17.05%, 02/15/2038 | 35,422 | 44,990 | ||||||
5.50%, 03/15/2038 | 918,000 | 1,059,183 | ||||||
6.64%, 04/15/2038 IO | 302,560 | 42,676 | ||||||
5.50%, 05/15/2038 | 339,923 | 369,486 | ||||||
6.00%, 06/15/2038 | 69,611 | 76,357 | ||||||
6.00%, 06/15/2038 | 913,363 | 1,029,940 | ||||||
6.04%, 06/15/2038 IO | 311,441 | 45,005 | ||||||
5.69%, 08/15/2038 IO | 631,311 | 78,367 | ||||||
5.71%, 10/15/2038 | 271,317 | 296,093 | ||||||
5.50%, 01/15/2039 | 507,744 | 561,705 | ||||||
5.84%, 01/15/2039 IO | 305,975 | 39,929 | ||||||
1.96%, 02/15/2039 | 187,389 | 189,373 | ||||||
5.84%, 02/15/2039 IO | 296,226 | 46,009 | ||||||
0.56%, 04/15/2039 | 1,059,099 | 1,070,955 | ||||||
0.61%, 05/15/2039 | 1,445,033 | 1,452,617 | ||||||
5.94%, 05/15/2039 IO | 240,162 | 28,724 | ||||||
6.14%, 05/15/2039 IO | 354,496 | 44,581 | ||||||
1.36%, 07/15/2039 | 245,783 | 250,710 | ||||||
4.50%, 07/15/2039 | 1,632,209 | 1,779,284 | ||||||
0.61%, 08/15/2039 | 476,102 | 479,731 | ||||||
3.50%, 08/15/2039 | 1,108,448 | 1,159,211 | ||||||
0.00%, 10/15/2039 PO | 275,440 | 259,058 | ||||||
5.00%, 10/15/2039 IO | 955,134 | 117,522 | ||||||
6.09%, 12/15/2039 IO | 459,571 | 60,489 | ||||||
0.00%, 01/15/2040 PO | 294,521 | 277,549 | ||||||
1.83%, 01/15/2040 IO | 3,249,790 | 252,720 | ||||||
16.96%, 02/15/2040 | 475,000 | 623,958 | ||||||
0.66%, 10/15/2040 | 491,190 | 494,231 | ||||||
5.84%, 10/15/2040 IO | 1,368,159 | 159,942 | ||||||
5.84%, 10/15/2040 IO | 1,552,694 | 257,352 | ||||||
0.71%, 12/15/2040 | 3,801,185 | 3,841,469 | ||||||
0.71%, 03/15/2041 | 2,455,169 | 2,482,751 | ||||||
5.00%, 05/15/2041 | 1,015,213 | 1,221,046 | ||||||
5.50%, 05/15/2041 | 1,781,710 | 1,861,196 | ||||||
5.50%, 05/15/2041 | 725,697 | 752,317 | ||||||
0.56%, 10/15/2041 | 1,807,729 | 1,819,739 | ||||||
4.00%, 11/15/2041 | 1,847,314 | 1,948,114 | ||||||
4.00%, 12/15/2041 | 804,371 | 858,387 | ||||||
0.66%, 03/15/2042 | 1,589,706 | 1,602,829 | ||||||
0.66%, 07/15/2042 | 855,294 | 865,250 | ||||||
0.61%, 08/15/2042 | 4,127,180 | 4,151,626 | ||||||
0.56%, 09/15/2042 | 1,523,383 | 1,526,138 |
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3.00%, 06/15/2043 | 206,000 | 196,420 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,167,443 | ||||||
7.19%, 11/15/2046 | 1,940,676 | 2,271,220 | ||||||
3.50%, 06/15/2048 | 9,266,819 | 9,563,783 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 IO | 182,069 | 11,999 | ||||||
4.50%, 12/15/2020 IO | 117,192 | 7,869 | ||||||
9.00%, 04/01/2022 IO | 267 | 58 | ||||||
0.00%, 04/01/2028 PO | 164,503 | 152,271 | ||||||
5.00%, 09/15/2035 IO | 616,657 | 85,267 | ||||||
5.00%, 09/15/2035 IO | 390,589 | 54,214 | ||||||
5.00%, 09/15/2035 IO | 323,540 | 43,482 | ||||||
7.54%, 08/15/2036 IO | 1,269,266 | 235,529 | ||||||
0.71%, 07/15/2042 | 4,776,954 | 4,837,161 | ||||||
3.50%, 07/15/2042 | 10,504,900 | 10,798,690 | ||||||
0.66%, 08/15/2042 | 1,187,229 | 1,199,769 | ||||||
0.66%, 08/15/2042 | 3,811,695 | 3,851,876 | ||||||
0.66%, 08/15/2042 | 3,106,527 | 3,141,542 | ||||||
0.71%, 08/15/2042 | 2,653,721 | 2,688,207 | ||||||
3.00%, 08/15/2042 | 3,864,945 | 3,902,897 | ||||||
0.61%, 09/15/2042 | 3,013,485 | 3,036,350 | ||||||
0.66%, 10/15/2042 | 4,966,218 | 4,964,715 | ||||||
3.00%, 01/15/2043 | 927,547 | 925,116 | ||||||
0.00%, 09/15/2043 PO | 1,513,697 | 1,186,005 | ||||||
0.71%, 03/15/2044 | 5,735,406 | 5,744,602 | ||||||
GE Capital Commercial Mortgage Corp | ||||||||
5.31%, 11/10/2045 | 11,008,792 | 11,179,725 | ||||||
4.83%, 06/10/2048 | 859,581 | 859,276 | ||||||
4.85%, 06/10/2048 | 1,115,000 | 1,115,292 | ||||||
Ginnie Mae | ||||||||
4.00%, 01/15/2042(d) | 12,500,000 | 13,402,197 | ||||||
3.50%, 01/15/2043(d) | 20,500,000 | 21,518,594 | ||||||
Ginnie Mae I pool | ||||||||
8.00%, 01/15/2016 | 1,613 | 1,630 | ||||||
9.00%, 08/15/2016 | 40 | 42 | ||||||
9.00%, 12/15/2016 | 150 | 152 | ||||||
9.00%, 03/15/2017 | 60 | 60 | ||||||
6.50%, 06/15/2017 | 5,894 | 6,136 | ||||||
6.00%, 10/15/2017 | 4,765 | 4,956 | ||||||
8.50%, 11/15/2017 | 838 | 887 | ||||||
12.00%, 11/15/2019 | 118 | 119 | ||||||
9.00%, 02/15/2020 | 97 | 98 | ||||||
9.50%, 09/15/2020 | 15 | 15 | ||||||
8.00%, 07/15/2022 | 130 | 131 | ||||||
8.00%, 09/15/2022 | 1,069 | 1,111 | ||||||
7.50%, 11/15/2022 | 1,510 | 1,655 | ||||||
7.50%, 03/15/2023 | 344 | 381 | ||||||
7.00%, 08/15/2023 | 793 | 867 | ||||||
7.00%, 09/15/2023 | 23,537 | 25,919 | ||||||
7.00%, 11/15/2023 | 1,721 | 1,971 | ||||||
6.50%, 01/15/2024 | 8,211 | 9,370 | ||||||
7.00%, 02/15/2024 | 15,740 | 17,037 | ||||||
9.50%, 10/15/2024 | 143,273 | 160,387 | ||||||
9.00%, 11/15/2024 | 2,429 | 2,796 | ||||||
9.50%, 12/15/2025 | 5,460 | 6,357 |
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7.50%, 11/15/2026 | 1,408 | 1,470 | ||||||
7.50%, 07/15/2027 | 4,854 | 5,481 | ||||||
6.50%, 03/15/2028 | 12,235 | 13,961 | ||||||
7.50%, 07/15/2028 | 911 | 941 | ||||||
8.00%, 08/15/2028 | 1,984 | 2,013 | ||||||
6.50%, 09/15/2028 | 30,536 | 34,845 | ||||||
7.50%, 09/15/2028 | 6,570 | 7,416 | ||||||
6.50%, 10/15/2028 | 1,728 | 1,972 | ||||||
6.00%, 11/15/2028 | 14,368 | 16,237 | ||||||
7.00%, 09/15/2031 | 165,656 | 196,575 | ||||||
6.50%, 01/15/2032 | 157,162 | 185,641 | ||||||
6.50%, 07/15/2032 | 2,841 | 3,241 | ||||||
6.50%, 02/15/2033 | 18,911 | 21,579 | ||||||
7.00%, 02/15/2033 | 6,738 | 7,529 | ||||||
5.50%, 04/15/2033 | 425,490 | 493,077 | ||||||
6.50%, 04/15/2033 | 17,748 | 20,309 | ||||||
5.50%, 06/15/2033 | 11,738 | 13,211 | ||||||
7.00%, 06/15/2033 | 29,800 | 34,647 | ||||||
5.50%, 12/15/2033 | 29,437 | 33,136 | ||||||
5.50%, 07/15/2034 | 10,763 | 12,155 | ||||||
5.50%, 09/15/2034 | 31,424 | 35,344 | ||||||
7.00%, 06/15/2035 | 471,604 | 555,251 | ||||||
6.50%, 12/15/2035 | 159,176 | 186,751 | ||||||
7.00%, 04/15/2037 | 47,503 | 55,359 | ||||||
7.50%, 10/15/2037 | 100,304 | 112,846 | ||||||
3.50%, 03/15/2043 | 1,835,525 | 1,937,378 | ||||||
3.50%, 04/15/2043 | 8,286,069 | 8,713,547 | ||||||
3.00%, 05/15/2043 | 1,490,486 | 1,529,035 | ||||||
3.50%, 06/15/2043 | 2,760,458 | 2,907,404 | ||||||
3.50%, 07/15/2043 | 978,630 | 1,033,006 | ||||||
Ginnie Mae II pool | ||||||||
8.50%, 03/20/2025 | 560 | 637 | ||||||
8.50%, 04/20/2025 | 4,125 | 4,723 | ||||||
8.50%, 05/20/2025 | 7,742 | 8,940 | ||||||
8.00%, 12/20/2025 | 1,355 | 1,593 | ||||||
8.00%, 06/20/2026 | 2,446 | 2,817 | ||||||
8.00%, 08/20/2026 | 2,054 | 2,515 | ||||||
8.00%, 09/20/2026 | 2,514 | 2,940 | ||||||
8.00%, 11/20/2026 | 2,283 | 2,740 | ||||||
8.00%, 10/20/2027 | 5,098 | 6,080 | ||||||
8.00%, 11/20/2027 | 4,000 | 4,675 | ||||||
8.00%, 12/20/2027 | 2,240 | 2,632 | ||||||
7.50%, 02/20/2028 | 3,249 | 3,919 | ||||||
6.00%, 03/20/2028 | 13,655 | 15,422 | ||||||
8.00%, 06/20/2028 | 838 | 877 | ||||||
8.00%, 08/20/2028 | 246 | 281 | ||||||
7.50%, 09/20/2028 | 10,443 | 12,689 | ||||||
8.00%, 09/20/2028 | 974 | 1,066 | ||||||
6.50%, 07/20/2029 | 171,103 | 198,041 | ||||||
6.00%, 11/20/2033 | 11,306 | 13,004 | ||||||
7.00%, 08/20/2038 | 74,117 | 84,571 | ||||||
6.00%, 09/20/2038 | 1,489,186 | 1,679,018 | ||||||
6.00%, 11/20/2038 | 17,022 | 18,241 | ||||||
6.00%, 08/20/2039 | 664,286 | 759,273 | ||||||
5.50%, 09/20/2039 | 364,395 | 404,185 |
Table of Contents
4.50%, 06/20/2040 | 2,607,345 | 2,865,434 | ||||||
5.00%, 07/20/2040 | 667,011 | 744,422 | ||||||
4.00%, 10/20/2040 | 6,676,586 | 7,182,210 | ||||||
4.50%, 01/20/2041 | 11,462,893 | 12,587,069 | ||||||
4.50%, 03/20/2041 | 1,852,696 | 2,032,709 | ||||||
4.50%, 05/20/2041 | 949,023 | 1,040,715 | ||||||
4.50%, 06/20/2041 | 18,555,431 | 20,341,696 | ||||||
4.50%, 09/20/2041 | 1,980,459 | 2,169,640 | ||||||
4.00%, 06/20/2042 | 8,826,153 | 9,472,730 | ||||||
3.00%, 08/20/2042 | 10,656,849 | 10,910,857 | ||||||
3.50%, 09/20/2042 | 1,217,594 | 1,280,147 | ||||||
3.50%, 10/20/2042 | 12,911,441 | 13,574,755 | ||||||
4.00%, 02/20/2043 | 3,666,266 | 3,935,499 | ||||||
3.50%, 05/20/2043 | 3,000,282 | 3,153,831 | ||||||
4.00%, 08/20/2043 | 8,311,102 | 8,919,427 | ||||||
3.00%, 09/20/2043 | 960,605 | 983,556 | ||||||
3.50%, 10/20/2043 | 4,942,680 | 5,193,846 | ||||||
4.50%, 11/20/2043 | 14,998,505 | 16,409,345 | ||||||
3.00%, 01/20/2044 | 1,945,983 | 1,992,370 | ||||||
4.00%, 06/20/2044 | 13,597,644 | 14,596,773 | ||||||
4.46%, 05/20/2063 | 531,060 | 580,962 | ||||||
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust | ||||||||
5.24%, 11/10/2045 | 1,203,367 | 1,224,664 | ||||||
GMACM Mortgage Loan Trust 2003-AR1 | ||||||||
2.85%, 10/19/2033 | 625,176 | 617,439 | ||||||
GMACM Mortgage Loan Trust 2003-AR2 | ||||||||
2.79%, 12/19/2033 | 522,262 | 524,300 | ||||||
GMACM Mortgage Loan Trust 2003-J7 | ||||||||
5.00%, 11/25/2033 | 432,113 | 433,705 | ||||||
5.50%, 11/25/2033 | 37,175 | 37,960 | ||||||
GMACM Mortgage Loan Trust 2003-J8 | ||||||||
5.25%, 12/25/2033 | 22,648 | 23,617 | ||||||
GMACM Mortgage Loan Trust 2004-J5 | ||||||||
6.50%, 01/25/2035 | 304,824 | 317,694 | ||||||
GMACM Mortgage Loan Trust 2004-J6 | ||||||||
5.00%, 01/25/2020 | 110,521 | 113,920 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
2.80%, 06/19/2035 | 400,021 | 394,420 | ||||||
Gnma Remic Trust 2014-h15 | ||||||||
0.66%, 07/20/2064 | 2,938,971 | 2,922,569 | ||||||
Gnma Remic Trust 2014-h17 | ||||||||
0.66%, 07/20/2064 | 3,950,089 | 3,927,763 | ||||||
Government National Mortgage Association | ||||||||
6.00%, 04/20/2020 | 678,734 | 690,634 | ||||||
5.50%, 11/20/2020 | 442,796 | 472,123 | ||||||
5.00%, 04/16/2023 | 619,000 | 673,146 | ||||||
6.50%, 10/16/2024 | 266,190 | 302,550 | ||||||
6.50%, 04/20/2028 | 81,047 | 91,419 | ||||||
6.00%, 02/20/2029 | 236,218 | 264,106 | ||||||
8.44%, 08/16/2029 IO | 20,957 | 5,384 | ||||||
7.50%, 11/20/2029 | 29,058 | 33,536 | ||||||
8.50%, 02/16/2030 | 280,893 | 332,492 | ||||||
38.73%, 02/16/2030 | 33,672 | 59,191 | ||||||
9.00%, 03/16/2030 | 254,434 | 310,145 | ||||||
7.34%, 04/16/2030 IO | 244,448 | 49,937 |
Table of Contents
8.00%, 06/20/2030 | 24,456 | 29,074 | ||||||
9.00%, 10/20/2030 | 38,585 | 44,300 | ||||||
9.00%, 11/16/2030 IO | 3,038 | 547 | ||||||
9.00%, 11/20/2030 | 22,414 | 23,883 | ||||||
8.54%, 01/16/2031 IO | 13,786 | 4,253 | ||||||
8.39%, 03/16/2031 IO | 12,922 | 3,809 | ||||||
20.59%, 03/17/2031 | 124,938 | 193,049 | ||||||
7.89%, 08/16/2031 IO | 22,326 | 5,964 | ||||||
8.09%, 08/16/2031 IO | 26,530 | 8,448 | ||||||
7.23%, 01/16/2032 IO | 29,745 | 8,424 | ||||||
0.52%, 03/20/2032 | 124,615 | 125,099 | ||||||
7.79%, 04/16/2032 IO | 115,094 | 26,157 | ||||||
11.68%, 04/16/2032 | 10,325 | 13,067 | ||||||
9.00%, 06/16/2032 | 3,889 | 4,677 | ||||||
6.50%, 06/20/2032 | 110,119 | 125,040 | ||||||
6.50%, 06/20/2032 | 435,824 | 498,236 | ||||||
6.50%, 07/16/2032 | 127,576 | 145,482 | ||||||
6.00%, 07/20/2032 | 46,552 | 52,076 | ||||||
6.50%, 07/20/2032 | 219,531 | 249,662 | ||||||
6.50%, 07/20/2032 | 147,337 | 169,670 | ||||||
7.53%, 08/20/2032 IO | 59,112 | 4,501 | ||||||
6.78%, 10/20/2032 IO | 520,540 | 27,134 | ||||||
14.41%, 11/17/2032 | 34,636 | 43,778 | ||||||
6.00%, 11/20/2032 | 146,000 | 172,522 | ||||||
0.00%, 12/20/2032 PO | 267,408 | 260,097 | ||||||
13.17%, 12/20/2032 | 8,087 | 8,427 | ||||||
19.21%, 12/20/2032 | 29,193 | 30,346 | ||||||
5.50%, 01/16/2033 | 697,777 | 770,427 | ||||||
0.00%, 01/17/2033 PO | 9,518 | 9,495 | ||||||
6.50%, 01/20/2033 | 244,575 | 276,712 | ||||||
7.54%, 02/16/2033 IO | 120,241 | 26,815 | ||||||
0.00%, 02/17/2033 PO | 99,367 | 96,300 | ||||||
7.53%, 02/20/2033 IO | 50,063 | 13,408 | ||||||
0.00%, 03/16/2033 PO | 18,395 | 16,726 | ||||||
7.49%, 03/17/2033 | 35,863 | 38,248 | ||||||
6.50%, 03/20/2033 | 326,000 | 377,940 | ||||||
6.50%, 03/20/2033 | 134,811 | 152,175 | ||||||
5.50%, 04/20/2033 | 519,082 | 573,302 | ||||||
6.50%, 05/20/2033 | 116,000 | 135,700 | ||||||
0.00%, 06/16/2033 PO | 84,189 | 79,141 | ||||||
6.00%, 09/16/2033 | 300,961 | 334,359 | ||||||
0.00%, 10/20/2033 PO | 13,571 | 12,252 | ||||||
5.82%, 10/20/2033 | 324,191 | 357,931 | ||||||
6.39%, 11/16/2033 IO | 194,872 | 40,003 | ||||||
6.58%, 11/20/2033 | 261,369 | 43,064 | ||||||
6.39%, 12/16/2033 IO | 159,845 | 31,929 | ||||||
5.33%, 02/20/2034 IO | 451,455 | 59,852 | ||||||
5.50%, 03/16/2034 | 4,986,603 | 5,669,334 | ||||||
6.34%, 03/16/2034 IO | 186,633 | 12,845 | ||||||
19.22%, 04/16/2034 | 73,011 | 106,456 | ||||||
16.37%, 05/18/2034 | 97,691 | 112,135 | ||||||
0.00%, 06/20/2034 PO | 161,630 | 150,033 | ||||||
6.00%, 06/20/2034 | 575,875 | 645,278 | ||||||
6.53%, 07/20/2034 | 698,648 | 106,366 | ||||||
14.52%, 08/17/2034 | 91,190 | 107,215 |
Table of Contents
5.74%, 08/20/2034 | 168,288 | 188,278 | ||||||
6.39%, 09/16/2034 IO | 554,378 | 106,986 | ||||||
7.00%, 09/20/2034 | 77,701 | 84,643 | ||||||
28.65%, 09/20/2034 | 77,701 | 117,791 | ||||||
13.91%, 10/16/2034 | 29,017 | 34,480 | ||||||
23.79%, 10/16/2034 | 55,502 | 83,371 | ||||||
5.93%, 10/20/2034 IO | 958,035 | 141,185 | ||||||
11.87%, 10/20/2034 | 45,395 | 51,582 | ||||||
5.91%, 11/20/2034 IO | 461,095 | 64,193 | ||||||
5.93%, 01/20/2035 IO | 435,564 | 66,069 | ||||||
6.58%, 01/20/2035 IO | 671,851 | 103,066 | ||||||
16.05%, 06/17/2035 | 333,474 | 442,998 | ||||||
6.63%, 06/20/2035 | 361,538 | 389,044 | ||||||
5.50%, 07/20/2035 IO | 71,031 | 11,749 | ||||||
20.30%, 08/16/2035 | 31,943 | 42,573 | ||||||
0.00%, 08/20/2035 PO | 424,378 | 398,576 | ||||||
22.11%, 08/20/2035 | 3,093 | 3,856 | ||||||
5.50%, 09/20/2035 | 342,223 | 383,886 | ||||||
6.13%, 09/20/2035 IO | 1,440,047 | 225,753 | ||||||
0.00%, 10/20/2035 PO | 70,053 | 66,238 | ||||||
0.00%, 11/20/2035 PO | 121,881 | 115,225 | ||||||
6.00%, 12/20/2035 IO | 128,467 | 26,162 | ||||||
5.75%, 02/20/2036 | 121,387 | 130,535 | ||||||
0.00%, 03/20/2036 | 116,806 | 110,040 | ||||||
0.00%, 05/20/2036 PO | 161,579 | 151,975 | ||||||
6.33%, 06/20/2036 IO | 28,917 | 2,909 | ||||||
0.00%, 07/20/2036 PO | 24,399 | 22,861 | ||||||
6.50%, 07/20/2036 | 652,860 | 744,534 | ||||||
6.53%, 07/20/2036 IO | 221,394 | 14,722 | ||||||
6.50%, 08/20/2036 | 743,183 | 870,009 | ||||||
5.56%, 10/20/2036 | 243,918 | 272,705 | ||||||
6.53%, 10/20/2036 IO | 220,962 | 35,123 | ||||||
6.63%, 11/20/2036 IO | 382,926 | 60,794 | ||||||
5.96%, 02/20/2037 | 117,505 | 130,519 | ||||||
6.00%, 02/20/2037 IO | 6,345 | 46 | ||||||
0.00%, 03/20/2037 PO | 495,263 | 478,185 | ||||||
6.03%, 03/20/2037 IO | 333,949 | 45,898 | ||||||
6.34%, 03/20/2037 IO | 554,645 | 81,172 | ||||||
0.00%, 04/16/2037 PO | 205,299 | 191,359 | ||||||
0.36%, 04/16/2037 | 999,132 | 998,743 | ||||||
6.65%, 04/16/2037 IO | 529,092 | 80,856 | ||||||
6.03%, 04/20/2037 IO | 217,673 | 30,361 | ||||||
6.12%, 04/20/2037 | 239,326 | 267,488 | ||||||
0.46%, 05/16/2037 | 120,780 | 121,054 | ||||||
0.00%, 05/20/2037 PO | 37,162 | 34,858 | ||||||
6.03%, 05/20/2037 IO | 458,390 | 58,765 | ||||||
6.03%, 05/20/2037 IO | 394,798 | 54,878 | ||||||
6.03%, 05/20/2037 IO | 1,070,779 | 144,933 | ||||||
0.00%, 06/16/2037 PO | 565,869 | 527,366 | ||||||
0.00%, 06/16/2037 PO | 75,626 | 70,918 | ||||||
6.31%, 06/16/2037 IO | 324,292 | 48,010 | ||||||
6.08%, 06/20/2037 IO | 369,762 | 50,734 | ||||||
6.47%, 07/20/2037 IO | 482,288 | 73,192 | ||||||
6.51%, 07/20/2037 IO | 521,206 | 80,269 | ||||||
6.58%, 07/20/2037 IO | 812,137 | 125,658 |
Table of Contents
6.58%, 07/20/2037 IO | 333,864 | 51,171 | ||||||
6.61%, 08/20/2037 IO | 137,240 | 20,931 | ||||||
0.00%, 09/20/2037 PO | 97,016 | 94,352 | ||||||
6.38%, 09/20/2037 IO | 299,564 | 46,359 | ||||||
19.71%, 09/20/2037 | 96,574 | 130,767 | ||||||
5.50%, 10/16/2037 IO | 640,568 | 75,624 | ||||||
6.33%, 10/20/2037 IO | 403,899 | 59,455 | ||||||
13.07%, 10/20/2037 | 58,658 | 70,098 | ||||||
0.00%, 11/16/2037 | 653,851 | 622,449 | ||||||
6.38%, 11/16/2037 IO | 316,828 | 44,375 | ||||||
5.50%, 11/20/2037 | 31,912 | 33,730 | ||||||
5.83%, 11/20/2037 IO | 377,796 | 50,170 | ||||||
6.33%, 11/20/2037 IO | 726,530 | 107,908 | ||||||
6.34%, 11/20/2037 IO | 420,304 | 61,804 | ||||||
6.38%, 11/20/2037 IO | 338,010 | 51,041 | ||||||
19.45%, 11/20/2037 | 41,335 | 56,006 | ||||||
6.36%, 12/20/2037 IO | 435,930 | 65,026 | ||||||
6.38%, 12/20/2037 IO | 554,552 | 83,389 | ||||||
0.00%, 01/20/2038 PO | 26,412 | 24,548 | ||||||
0.00%, 01/20/2038 PO | 78,632 | 77,782 | ||||||
5.50%, 02/20/2038 IO | 96,431 | 14,741 | ||||||
5.83%, 02/20/2038 IO | 3,149,724 | 426,201 | ||||||
6.73%, 03/20/2038 IO | 267,632 | 42,292 | ||||||
7.54%, 04/16/2038 IO | 179,288 | 39,449 | ||||||
6.13%, 04/20/2038 IO | 512,009 | 86,605 | ||||||
6.24%, 05/16/2038 IO | 1,454,164 | 265,079 | ||||||
6.17%, 05/20/2038 IO | 397,960 | 54,408 | ||||||
6.00%, 06/20/2038 | 276,443 | 310,687 | ||||||
6.03%, 06/20/2038 IO | 139,107 | 17,398 | ||||||
0.99%, 07/20/2038 | 923,049 | 943,360 | ||||||
5.75%, 07/20/2038 | 588,145 | 632,890 | ||||||
5.98%, 07/20/2038 IO | 507,633 | 64,500 | ||||||
5.58%, 08/20/2038 | 698,426 | 788,566 | ||||||
5.83%, 08/20/2038 IO | 190,868 | 23,415 | ||||||
5.73%, 09/20/2038 IO | 574,232 | 72,411 | ||||||
6.03%, 09/20/2038 IO | 1,152,817 | 156,804 | ||||||
7.43%, 09/20/2038 IO | 252,650 | 44,271 | ||||||
6.09%, 11/20/2038 | 410,844 | 460,815 | ||||||
6.24%, 12/16/2038 IO | 277,356 | 25,049 | ||||||
5.53%, 12/20/2038 IO | 579,131 | 70,635 | ||||||
5.83%, 12/20/2038 IO | 336,516 | 42,998 | ||||||
5.84%, 12/20/2038 | 1,330,346 | 1,468,529 | ||||||
6.00%, 12/20/2038 IO | 189,332 | 21,081 | ||||||
7.13%, 12/20/2038 IO | 1,086,349 | 180,564 | ||||||
5.48%, 01/20/2039 | 2,101,454 | 2,300,857 | ||||||
5.94%, 02/16/2039 IO | 326,613 | 41,424 | ||||||
5.99%, 02/16/2039 IO | 446,473 | 57,921 | ||||||
5.78%, 02/20/2039 IO | 517,168 | 61,065 | ||||||
5.87%, 02/20/2039 IO | 310,058 | 36,798 | ||||||
6.13%, 03/20/2039 IO | 334,423 | 24,631 | ||||||
6.13%, 03/20/2039 IO | 566,585 | 62,962 | ||||||
6.18%, 03/20/2039 IO | 470,723 | 52,834 | ||||||
6.50%, 03/20/2039 IO | 153,815 | 29,985 | ||||||
6.50%, 03/20/2039 IO | 327,475 | 65,843 | ||||||
6.10%, 04/20/2039 IO | 952,613 | 121,085 |
Table of Contents
5.50%, 05/20/2039 IO | 118,222 | 18,044 | ||||||
6.00%, 05/20/2039 IO | 152,431 | 25,788 | ||||||
6.24%, 06/16/2039 IO | 1,408,935 | 140,632 | ||||||
5.78%, 06/20/2039 IO | 497,279 | 59,402 | ||||||
5.91%, 06/20/2039 IO | 723,021 | 85,806 | ||||||
5.94%, 07/16/2039 IO | 906,001 | 100,264 | ||||||
6.09%, 08/16/2039 IO | 738,257 | 102,193 | ||||||
7.00%, 08/16/2039 | 284,994 | 324,254 | ||||||
5.93%, 08/20/2039 IO | 449,839 | 54,802 | ||||||
5.50%, 09/20/2039 | 317,000 | 377,539 | ||||||
5.92%, 09/20/2039 IO | 1,138,473 | 141,739 | ||||||
6.24%, 11/16/2039 IO | 972,979 | 139,761 | ||||||
6.00%, 12/20/2039 | 832,694 | 882,625 | ||||||
5.23%, 06/20/2040 | 376,626 | 416,848 | ||||||
5.52%, 07/20/2040 | 568,274 | 636,696 | ||||||
7.00%, 10/16/2040 | 1,182,108 | 1,375,084 | ||||||
0.00%, 12/20/2040 PO | 1,598,498 | 1,359,242 | ||||||
6.43%, 05/20/2041 IO | 817,526 | 181,832 | ||||||
4.66%, 09/20/2041 | 823,696 | 887,518 | ||||||
4.70%, 10/20/2041 | 1,502,000 | 1,667,220 | ||||||
4.53%, 11/16/2041 | 783,383 | 857,974 | ||||||
3.75%, 01/20/2042 | 809,625 | 842,520 | ||||||
3.98%, 09/16/2042 | 566,037 | 590,307 | ||||||
4.72%, 10/20/2042 | 3,241,739 | 3,498,685 | ||||||
4.71%, 11/20/2042 | 406,219 | 437,299 | ||||||
4.52%, 04/20/2043 | 429,005 | 459,000 | ||||||
0.61%, 11/20/2059 | 2,172,526 | 2,178,388 | ||||||
0.64%, 01/20/2060 | 1,263,591 | 1,267,521 | ||||||
0.61%, 03/20/2060 | 1,469,280 | 1,473,484 | ||||||
0.59%, 04/20/2060 | 3,188,939 | 3,197,412 | ||||||
5.24%, 07/20/2060 | 2,913,077 | 3,193,251 | ||||||
0.46%, 08/20/2060 | 850,281 | 850,959 | ||||||
0.63%, 01/20/2061 | 4,344,403 | 4,357,523 | ||||||
0.66%, 03/20/2061 | 3,476,310 | 3,467,024 | ||||||
0.81%, 05/20/2061 | 3,986,196 | 3,995,735 | ||||||
0.86%, 05/20/2061 | 3,908,619 | 3,940,482 | ||||||
0.71%, 10/20/2061 | 1,895,650 | 1,904,617 | ||||||
0.71%, 12/20/2061 | 8,855,186 | 8,852,733 | ||||||
0.71%, 04/20/2062 | 712,370 | 715,668 | ||||||
0.61%, 05/20/2062 | 1,552,155 | 1,556,633 | ||||||
2.00%, 06/20/2062 | 393,410 | 396,450 | ||||||
0.71%, 07/20/2062 | 2,880,329 | 2,894,523 | ||||||
0.74%, 09/20/2062 | 4,536,205 | 4,537,720 | ||||||
0.75%, 09/20/2062 | 1,271,599 | 1,278,974 | ||||||
0.66%, 10/20/2062 | 1,340,377 | 1,345,779 | ||||||
0.76%, 10/20/2062 | 530,112 | 523,983 | ||||||
0.46%, 11/20/2062 | 350,618 | 350,872 | ||||||
0.50%, 12/20/2062 | 3,614,059 | 3,581,984 | ||||||
0.48%, 01/20/2063 | 1,609,972 | 1,592,080 | ||||||
0.66%, 01/20/2063 | 1,475,460 | 1,481,173 | ||||||
1.65%, 01/20/2063 | 3,468,210 | 3,438,259 | ||||||
0.58%, 02/20/2063 | 410,939 | 407,566 | ||||||
0.61%, 02/20/2063 | 1,979,905 | 1,969,618 | ||||||
1.65%, 02/20/2063 | 4,574,589 | 4,535,275 | ||||||
0.57%, 03/20/2063 | 1,425,443 | 1,415,056 |
Table of Contents
0.63%, 03/20/2063 | 459,106 | 457,164 | ||||||
1.75%, 03/20/2063 | 1,130,148 | 1,123,579 | ||||||
1.65%, 04/20/2063 | 1,392,870 | 1,379,148 | ||||||
0.81%, 01/20/2064 | 3,853,843 | 3,869,281 | ||||||
0.81%, 02/20/2064 | 7,916,828 | 7,948,575 | ||||||
0.85%, 02/20/2064 | 4,746,535 | 4,776,063 | ||||||
0.81%, 03/20/2064 | 4,608,526 | 4,626,291 | ||||||
0.76%, 04/20/2064 | 4,833,417 | 4,838,169 | ||||||
0.76%, 04/20/2064 | 4,894,624 | 4,902,524 | ||||||
0.76%, 05/20/2064 | 7,946,688 | 7,951,392 | ||||||
0.66%, 06/20/2064 | 3,483,622 | 3,463,716 | ||||||
0.63%, 07/20/2064 | 5,164,147 | 5,139,881 | ||||||
0.63%, 09/20/2064 | 4,998,289 | 4,962,196 | ||||||
0.76%, 10/20/2064 | 2,002,480 | 1,998,269 | ||||||
GS Mortgage Securities Corp II | ||||||||
2.71%, 12/10/2027 (Acquired 10/28/2013, Cost $1,359,246) (b) | 1,362,739 | 1,377,531 | ||||||
2.77%, 11/10/2045 | 13,211,562 | 13,133,931 | ||||||
GS Mortgage Securities Corp Trust 2012-ALOHA | ||||||||
3.55%, 04/10/2034 (Acquired 08/15/2012, Cost $4,225,277) (b) | 4,200,000 | 4,376,224 | ||||||
GS Mortgage Securities Corp Trust 2012-SHOP | ||||||||
1.30%, 06/05/2031 IO (Acquired 10/28/2013, Cost $452,769) (b) | 7,793,000 | 418,983 | ||||||
GS Mortgage Securities Corp Trust 2013-NYC5 | ||||||||
2.32%, 01/10/2030 (Acquired 10/28/2013, Cost $508,508) (b) | 505,000 | 510,996 | ||||||
GS Mortgage Securities Trust 2006-GG6 | ||||||||
5.55%, 04/10/2038 | 1,773,000 | 1,819,385 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.58%, 11/10/2039 IO (Acquired 10/28/2013, Cost $182,254) (b) | 12,987,110 | 106,767 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.31%, 08/10/2044 (Acquired 03/27/2014, Cost $511,335) (b) | 500,000 | 527,217 | ||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/10/2046 | 5,700,000 | 6,075,653 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.55%, 11/10/2046 IO | 25,741,622 | 2,026,947 | ||||||
GS Mortgage Securities Trust 2013-GCJ14 | ||||||||
0.91%, 08/10/2046 IO | 30,179,091 | 1,465,346 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.07%, 01/10/2047 | 3,000,000 | 3,229,854 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/10/2047 | 8,000,000 | 8,169,248 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
0.57%, 06/25/2034 (Acquired 10/28/2013, Cost $84,920) (b) | 95,175 | 82,511 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
0.52%, 03/25/2035 (Acquired 10/28/2013, Cost $150,049) (b) | 172,501 | 150,790 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
0.52%, 09/25/2035 (Acquired 10/28/2013, Cost $902,165) (b) | 1,056,238 | 900,817 | ||||||
4.78%, 09/25/2035 IO (Acquired 10/28/2013, Cost $110,915) (b) | 778,727 | 104,860 | ||||||
GSMS Trust 2009-RR1 | ||||||||
5.37%, 05/17/2045 (Acquired 10/28/2013, Cost $619,425) (b) | 568,000 | 602,056 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 75,736 | 78,915 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
0.57%, 09/25/2032 | 35,630 | 33,505 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 126,382 | 125,026 |
Table of Contents
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 269,251 | 277,311 | ||||||
6.50%, 05/25/2034 | 145,185 | 155,464 | ||||||
GSR Mortgage Loan Trust 2005-5F | ||||||||
0.67%, 06/25/2035 | 86,784 | 83,890 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 427,552 | 442,975 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
2.64%, 09/25/2035 | 29,138 | 29,263 | ||||||
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 244,382 | 226,560 | ||||||
6.00%, 02/25/2036 | 811,727 | 736,162 | ||||||
GSR Mortgage Loan Trust 2007-1F | ||||||||
5.50%, 01/25/2037 | 705,517 | 702,132 | ||||||
HILT 2014-ORL Mortgage Trust | ||||||||
1.06%, 07/15/2029 (Acquired 09/02/2014 through 09/05/2014, Cost $1,600,867) (b) | 1,600,000 | 1,593,659 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.64%, 09/25/2034 | 17,833 | 18,090 | ||||||
Impac CMB Trust Series 2004-7 | ||||||||
0.91%, 11/25/2034 | 2,157,197 | 2,047,193 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
0.47%, 05/25/2035 | 253,724 | 252,101 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 142,316 | 148,739 | ||||||
0.97%, 11/25/2034 | 7,725 | 7,675 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
0.52%, 05/25/2036 | 654,778 | 633,693 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
0.52%, 08/25/2036 | 932,827 | 915,611 | ||||||
IndyMac INDX Mortgage Loan Trust 2005-AR11 | ||||||||
0.00%, 08/25/2035 IO | 1,951,888 | 20 | ||||||
Jefferies Resecuritization Trust 2011-R2 | ||||||||
4.50%, 10/26/2036 | 440,502 | 454,285 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
2.58%, 03/25/2036 (f) | 65,400 | 53,333 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.13%, 08/12/2037 IO (Acquired 10/28/2013, Cost $96,887) (b) | 30,787,845 | 21,644 | ||||||
5.40%, 08/12/2037 | 531,000 | 534,810 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC12 | ||||||||
4.90%, 09/12/2037 | 6,565,736 | 6,633,856 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 | ||||||||
4.94%, 08/15/2042 | 861,072 | 870,257 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.13%, 12/15/2044 IO (Acquired 10/28/2013, Cost $116,936) (b) | 52,410,689 | 48,794 | ||||||
5.24%, 12/15/2044 | 916,599 | 931,947 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.21%, 06/12/2043 IO | 34,585,816 | 130,354 | ||||||
5.81%, 06/12/2043 | 173,817 | 182,217 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 220,180 | 230,050 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||
5.40%, 05/15/2045 | 152,434 | 160,392 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
0.32%, 05/15/2047 | 235,364 | 235,289 | ||||||
5.34%, 05/15/2047 | 413,000 | 414,020 |
Table of Contents
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | ||||||||
5.72%, 02/15/2051 | 154,360 | 166,012 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.08%, 02/15/2051 IO | 29,358,509 | 68,405 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ | ||||||||
0.94%, 04/15/2030 (Acquired 05/9/2014, Cost $1,000,311) (b) | 1,000,000 | 999,141 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,181,124 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
2.51%, 07/25/2034 | 95,804 | 98,148 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
2.55%, 09/25/2034 | 150,677 | 154,722 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 70,770 | 73,533 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
2.57%, 02/25/2035 | 306,169 | 312,135 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
5.24%, 07/25/2035 | 425,182 | 425,572 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
2.43%, 11/25/2033 | 1,169,492 | 1,171,924 | ||||||
2.50%, 08/25/2034 | 2,032,886 | 2,038,007 | ||||||
JP Morgan Mortgage Trust 2006-A3 | ||||||||
2.54%, 08/25/2034 | 259,987 | 261,058 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
2.70%, 01/25/2037 | 167,282 | 152,719 | ||||||
2.70%, 01/25/2037 | 293,437 | 265,601 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
2.58%, 07/25/2035 | 208,356 | 207,343 | ||||||
2.58%, 07/25/2035 | 3,178,301 | 3,228,677 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
2.54%, 04/25/2037 | 615,191 | 550,975 | ||||||
JP Morgan Resecuritization Trust Series 2009-6 | ||||||||
2.52%, 09/26/2036 (Acquired 10/28/2013, Cost $252,797) (b) | 250,587 | 253,505 | ||||||
JP Morgan Resecuritization Trust Series 2010-4 | ||||||||
1.87%, 08/26/2035 (Acquired 10/28/2013, Cost $202,649) (b) | 202,998 | 202,636 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
3.67%, 04/15/2047 | 2,010,000 | 2,113,933 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C24 | ||||||||
3.10%, 11/15/2047 | 13,000,000 | 13,213,005 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | ||||||||
3.41%, 11/15/2047 | 13,000,000 | 13,327,769 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.60%, 05/25/2039 IO | 7,699,149 | 178,043 | ||||||
KGS-Alpha SBA COOF Trust 2014-2 | ||||||||
3.12%, 04/25/2040 IO (Acquired 10/21/2014, Cost $489,512) (b) | 3,212,285 | 473,812 | ||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036 (Acquired 10/28/2013, Cost $971,730) (b) | 1,027,000 | 1,076,089 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1 | ||||||||
5.16%, 02/15/2031 | 503,988 | 516,170 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C4 | ||||||||
5.83%, 06/15/2038 | 145,675 | 153,018 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.46%, 02/15/2040 | 490,000 | 522,864 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.54%, 02/15/2040 IO | 13,087,903 | 158,246 | ||||||
5.39%, 02/15/2040 | 14,490,399 | 15,572,629 | ||||||
5.43%, 02/15/2040 | 624,566 | 668,171 |
Table of Contents
Lehman Mortgage Trust 2006-2 | ||||||||
6.15%, 04/25/2036 | 121,396 | 115,102 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 119,959 | 108,924 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 621,761 | 527,203 | ||||||
Luminent Mortgage Trust 2005-1 | ||||||||
0.43%, 11/25/2035 | 3,512,004 | 3,159,184 | ||||||
LVII Resecuritization Trust 2009-2 | ||||||||
5.13%, 09/27/2037 (Acquired 10/28/2013, Cost $943,763) (b) | 914,077 | 921,774 | ||||||
LVII Resecuritization Trust 2009-3 | ||||||||
4.80%, 11/27/2037 (Acquired 10/28/2013, Cost $841,803) (b) | 826,000 | 829,382 | ||||||
4.80%, 11/27/2037 (Acquired 10/28/2013, Cost $1,056,666) (b) | 1,032,000 | 1,082,052 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
2.64%, 04/21/2034 | 531,585 | 534,590 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
2.81%, 12/25/2034 | 65,899 | 65,988 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
2.32%, 04/25/2034 | 116,602 | 108,835 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
6.00%, 08/25/2033 | 565,366 | 602,454 | ||||||
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 206,308 | 206,532 | ||||||
6.00%, 01/25/2034 | 36,698 | 36,679 | ||||||
MASTR Alternative Loan Trust 2004-1 | ||||||||
5.00%, 01/25/2019 | 58,082 | 59,009 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2019 | 35,845 | 36,450 | ||||||
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2020 | 813,166 | 847,043 | ||||||
MASTR Alternative Loan Trust 2004-2 | ||||||||
5.00%, 02/25/2019 | 3,453 | 3,545 | ||||||
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 331,585 | 351,233 | ||||||
6.25%, 04/25/2034 | 109,044 | 115,287 | ||||||
MASTR Alternative Loan Trust 2004-4 | ||||||||
5.00%, 04/25/2019 | 45,988 | 46,963 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 PO | 67,924 | 53,319 | ||||||
6.00%, 07/25/2034 | 40,549 | 41,273 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 PO | 57,873 | 44,512 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 122,332 | 126,516 | ||||||
MASTR Alternative Loan Trust 2005-1 | ||||||||
5.00%, 02/25/2035 | 2,812,227 | 2,849,095 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 122,432 | 119,475 | ||||||
MASTR Asset Securitization Trust | ||||||||
4.50%, 12/25/2018 | 10,942 | 11,178 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 PO | 16,735 | 15,068 | ||||||
5.00%, 12/25/2033 | 41,017 | 42,543 |
Table of Contents
MASTR Asset Securitization Trust 2003-2 | ||||||||
4.50%, 03/25/2018 | 9,433 | 9,433 | ||||||
4.50%, 03/25/2018 | 29,947 | 29,947 | ||||||
5.00%, 03/25/2018 | 14,590 | 14,667 | ||||||
MASTR Asset Securitization Trust 2003-8 | ||||||||
5.50%, 09/25/2033 | 12,847 | 13,219 | ||||||
MASTR Asset Securitization Trust 2003-9 | ||||||||
0.00%, 10/25/2018 PO | 20,697 | 20,068 | ||||||
5.50%, 10/25/2033 | 25,020 | 25,028 | ||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 13,000 | 11,389 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
4.50%, 04/25/2019 | 2,698 | 2,742 | ||||||
5.25%, 12/26/2033 | 263,004 | 274,128 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 13,021 | 12,580 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2019 PO | 6,847 | 6,361 | ||||||
4.75%, 08/25/2019 | 34,437 | 35,442 | ||||||
MASTR Asset Securitization Trust 2004-9 | ||||||||
5.25%, 09/25/2019 | 49,910 | 51,393 | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
0.52%, 05/25/2035 (Acquired 10/28/2013, Cost $1,231,987) (b) | 1,417,483 | 1,169,236 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.77%, 05/25/2036 (Acquired 10/28/2013, Cost $159,222) (b) | 169,739 | 159,934 | ||||||
Mastr Resecuritization Trust 2005-PO | ||||||||
0.00%, 05/28/2035 PO (Acquired 10/28/2013, Cost $158,775) (b) | 180,717 | 144,573 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
1.24%, 06/25/2037 | 396,298 | 386,817 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
2.31%, 08/25/2033 | 119,490 | 120,705 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
0.79%, 10/25/2028 | 254,496 | 250,577 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
0.81%, 10/25/2028 | 300,511 | 298,415 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
2.16%, 12/25/2034 | 246,769 | 240,617 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
0.63%, 04/25/2029 | 109,950 | 104,764 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
0.96%, 07/25/2029 | 224,060 | 211,183 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
2.46%, 08/25/2034 | 209,122 | 214,405 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
2.47%, 02/25/2035 | 432,902 | 424,025 | ||||||
Merrill Lynch Mortgage Trust 2005-CIP1 | ||||||||
5.05%, 07/12/2038 | 5,155,000 | 5,198,781 | ||||||
Merrill Lynch Mortgage Trust 2005-LC1 | ||||||||
5.29%, 01/12/2044 | 228,299 | 234,517 | ||||||
5.37%, 01/12/2044 | 343,000 | 354,682 | ||||||
Merrill Lynch Mortgage Trust 2006-C1 | ||||||||
5.68%, 05/12/2039 | 227,000 | 236,797 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 3,179 | 3,408 | ||||||
ML-CFC Commercial Mortgage Trust 2006-1 | ||||||||
5.47%, 02/12/2039 | 471,752 | 487,517 | ||||||
5.52%, 02/12/2039 | 390,000 | 406,165 |
Table of Contents
ML-CFC Commercial Mortgage Trust 2006-3 | ||||||||
5.41%, 07/12/2046 | 1,922,163 | 2,038,443 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.21%, 12/12/2049 IO (Acquired 10/28/2013, Cost $447,706) (b) | 38,705,089 | 425,950 | ||||||
ML-CFC Commercial Mortgage Trust 2007-9 | ||||||||
5.70%, 09/12/2049 | 639,000 | 691,061 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 9,144,055 | 9,157,424 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | ||||||||
3.96%, 08/15/2046 | 5,200,000 | 5,566,340 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | ||||||||
3.77%, 11/15/2046 | 10,000,000 | 10,546,050 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
2.92%, 02/15/2047 | 10,000,000 | 10,310,370 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,611,244 | ||||||
Morgan Stanley Capital I Trust 2005-HQ7 | ||||||||
5.21%, 11/14/2042 | 7,205,678 | 7,319,290 | ||||||
Morgan Stanley Capital I Trust 2005-IQ10 | ||||||||
5.23%, 09/15/2042 | 574,604 | 583,552 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.47%, 12/15/2043 IO (Acquired 10/28/2013, Cost $258,368) (b) | 19,962,957 | 160,362 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.22%, 02/12/2044 IO (Acquired 10/28/2013, Cost $172,436) (b) | 34,742,415 | 138,310 | ||||||
5.42%, 02/12/2044 | 334,254 | 358,525 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.39%, 12/15/2044 IO (Acquired 10/28/2013, Cost $130,398) (b) | 9,357,794 | 102,561 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.41%, 03/15/2044 IO (Acquired 10/28/2013, Cost $358,746) (b) | 32,910,808 | 251,735 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
4.05%, 07/15/2049 | 630,000 | 669,311 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/15/2045 | 826,000 | 849,987 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.68%, 04/25/2034 | 479,277 | 505,484 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
5.04%, 10/25/2019 | 126,137 | 126,263 | ||||||
Morgan Stanley Reremic Trust | ||||||||
0.25%, 07/27/2049 (Acquired 10/28/2013, Cost $998,248) (b) | 1,182,000 | 1,029,758 | ||||||
2.00%, 07/27/2049 (Acquired 10/28/2013, Cost $3,567,312) (b) | 3,545,249 | 3,554,112 | ||||||
1.00%, 03/27/2051 (Acquired 10/28/2013, Cost $1,582,588) (b) | 1,598,671 | 1,596,673 | ||||||
Morgan Stanley Re-REMIC Trust 2009-IO | ||||||||
0.00%, 07/17/2056 PO (Acquired 10/28/2013, Cost $72,979) (b) | 74,927 | 74,609 | ||||||
MortgageIT Trust 2005-1 | ||||||||
0.81%, 02/25/2035 | 177,620 | 173,103 | ||||||
MortgageIT Trust 2005-2 | ||||||||
0.43%, 05/25/2035 | 2,791,029 | 2,682,480 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
0.64%, 06/15/2030 | 514,981 | 490,197 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
0.60%, 12/15/2030 | 113,303 | 107,878 | ||||||
Multi Security Asset Trust LP Commercial Mortgage-Backed Securities Pass-Through | ||||||||
5.00%, 11/28/2035 (Acquired 10/28/2013, Cost $15,429) (b) | 15,601 | 15,560 | ||||||
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034 (Acquired 10/28/2013, Cost $99,673) (b) | 97,750 | 99,118 |
Table of Contents
NCUA Guaranteed Notes Trust 2010-C1 | ||||||||
2.65%, 10/29/2020 | 6,276,514 | 6,418,608 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
0.72%, 12/08/2020 | 2,408,005 | 2,430,955 | ||||||
2.40%, 12/08/2020 | 474,702 | 478,270 | ||||||
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1 | ||||||||
5.00%, 04/25/2018 | 835 | 844 | ||||||
7.00%, 04/25/2033 | 11,118 | 11,527 | ||||||
5.50%, 05/25/2033 | 58,080 | 59,851 | ||||||
6.00%, 05/25/2033 | 26,985 | 27,866 | ||||||
Nomura Resecuritization Trust 2010-6R | ||||||||
2.53%, 03/26/2036 (Acquired 10/28/2013, Cost $165,441) (b) | 165,032 | 164,738 | ||||||
NorthStar 2012-1 Mortgage Trust | ||||||||
1.36%, 08/25/2029 (Acquired 10/28/2013, Cost $198,678) (b) | 198,711 | 198,712 | ||||||
NorthStar 2013-1 | ||||||||
2.02%, 08/25/2029 (Acquired 10/28/2013, Cost $1,718,403) (b) | 1,718,076 | 1,720,309 | ||||||
5.17%, 08/25/2029 (Acquired 10/28/2013 through 11/13/2013, Cost $1,076,903) (b) | 1,071,000 | 1,073,892 | ||||||
PaineWebber CMO Trust Series H | ||||||||
8.75%, 04/01/2018 | 92 | 92 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 948 | 1,042 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 209,346 | 220,037 | ||||||
Provident Funding Mortgage Loan Trust 2005-1 | ||||||||
2.48%, 05/25/2035 | 93,666 | 94,721 | ||||||
RAIT 2014-FL3 Trust | ||||||||
1.41%, 12/15/2031 (Acquired 10/23/2014, Cost $2,002,000) (b) | 2,002,000 | 2,002,346 | ||||||
1.96%, 12/15/2031 (Acquired 10/23/2014, Cost $1,500,000) (b) | 1,500,000 | 1,499,922 | ||||||
RALI Series 2001-QS19 Trust | ||||||||
6.00%, 12/25/2016 | 33,121 | 33,401 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
16.27%, 10/25/2017 | 18,806 | 19,464 | ||||||
RALI Series 2002-QS8 Trust | ||||||||
6.25%, 06/25/2017 | 77,738 | 78,690 | ||||||
RALI Series 2003-QR19 Trust | ||||||||
5.75%, 10/25/2033 | 257,145 | 267,478 | ||||||
RALI Series 2003-QR24 Trust | ||||||||
4.00%, 07/25/2033 | 169,446 | 170,844 | ||||||
RALI Series 2003-QS1 Trust | ||||||||
4.25%, 01/25/2033 | 13,239 | 13,263 | ||||||
RALI Series 2003-QS13 Trust | ||||||||
4.00%, 07/25/2033 | 976,536 | 923,665 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2018 | 169,550 | 172,177 | ||||||
RALI Series 2003-QS15 Trust | ||||||||
5.50%, 08/25/2033 | 961,034 | 980,385 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2018 | 54,295 | 55,431 | ||||||
RALI Series 2003-QS19 Trust | ||||||||
5.75%, 10/25/2033 | 698,684 | 735,804 | ||||||
RALI Series 2003-QS3 Trust | ||||||||
16.13%, 02/25/2018 | 42,859 | 47,689 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
7.38%, 05/25/2018 IO | 117,397 | 11,531 |
Table of Contents
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 24,246 | 24,596 | ||||||
RALI Series 2004-QS7 Trust | ||||||||
5.50%, 05/25/2034 | 1,190,865 | 1,219,361 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
3.49%, 05/25/2035 | 278,262 | 233,476 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 35,942 | 30,593 | ||||||
RBS Commercial Funding Inc 2013-SMV Trust | ||||||||
3.26%, 03/11/2031 (Acquired 10/28/2013, Cost $485,882) (b) | 512,000 | 519,797 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036 (Acquired 10/28/2013, Cost $547,396) (b) | 523,688 | 564,676 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
5.81%, 11/25/2033 (Acquired 10/28/2013, Cost $756,467) (b) | 730,908 | 769,137 | ||||||
RBSSP Resecuritization Trust 2009-2 | ||||||||
7.00%, 08/26/2037 (Acquired 10/28/2013, Cost $175,999) (b) | 169,989 | 179,542 | ||||||
RBSSP Resecuritization Trust 2009-9 | ||||||||
6.00%, 07/26/2037 (Acquired 10/28/2013, Cost $281,053) (b) | 278,451 | 284,705 | ||||||
RBSSP Resecuritization Trust 2010-12 | ||||||||
4.00%, 06/27/2021 (Acquired 10/28/2013, Cost $20,995) (b) | 20,852 | 20,881 | ||||||
RBSSP Resecuritization Trust 2010-9 | ||||||||
4.80%, 10/26/2034 (Acquired 10/28/2013, Cost $336,635) (b) | 322,410 | 335,569 | ||||||
4.00%, 05/26/2037 | 1,032,533 | 1,044,974 | ||||||
RBSSP Resecuritization Trust 2012-3 | ||||||||
0.32%, 09/26/2036 | 946,369 | 900,226 | ||||||
RCMC LLC | ||||||||
5.62%, 11/15/2044 (Acquired 10/28/2013, Cost $934,269) (b) | 933,327 | 960,017 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035 PO (Acquired 10/28/2013, Cost $14,351) (b) | 15,703 | 13,534 | ||||||
Residential Asset Securitization Trust 2003-A13 | ||||||||
5.50%, 01/25/2034 | 46,780 | 48,256 | ||||||
Residential Asset Securitization Trust 2003-A14 | ||||||||
4.75%, 02/25/2019 | 3,802 | 3,890 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2018 | 72,467 | 73,198 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 3,540,462 | 3,656,911 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.88%, 03/25/2035 IO | 1,455,301 | 204,754 | ||||||
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 147,257 | 134,861 | ||||||
RFMSI Series 2003-S11 Trust | ||||||||
4.00%, 06/25/2018 | 1,663 | 1,647 | ||||||
RFMSI Series 2003-S13 Trust | ||||||||
5.50%, 06/25/2033 | 43,614 | 43,681 | ||||||
RFMSI Series 2003-S14 Trust | ||||||||
0.00%, 07/25/2018 PO | 12,968 | 12,581 | ||||||
RFMSI Series 2003-S16 Trust | ||||||||
5.00%, 09/25/2018 | 34,699 | 35,055 | ||||||
RFMSI Series 2003-S20 Trust | ||||||||
4.75%, 12/25/2018 | 61,342 | 62,220 | ||||||
RFMSI Series 2004-S6 Trust | ||||||||
0.00%, 06/25/2034 PO | 25,386 | 21,730 | ||||||
RFMSI Series 2005-S1 Trust | ||||||||
4.75%, 02/25/2020 | 38,352 | 39,423 |
Table of Contents
RFMSI Series 2005-SA4 Trust | ||||||||
2.70%, 09/25/2035 | 150,816 | 126,022 | ||||||
RFSC Series 2003-RM2 Trust | ||||||||
0.00%, 05/25/2033 PO | 2,378 | 2,108 | ||||||
Salomon Brothers Mortgage Securities VII Inc | ||||||||
0.00%, 12/25/2018 PO | 3,495 | 3,072 | ||||||
3.95%, 04/25/2032 (Acquired 10/28/2013, Cost $55,625) (b) | 56,760 | 55,738 | ||||||
7.00%, 06/25/2033 | 43,023 | 46,524 | ||||||
2.49%, 09/25/2033 | 360,567 | 364,934 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
0.48%, 11/20/2034 | 111,529 | 106,574 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
0.47%, 12/20/2034 | 368,289 | 351,202 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
0.66%, 01/20/2035 | 313,156 | 286,813 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
0.87%, 09/20/2034 | 2,010,426 | 1,918,394 | ||||||
1.07%, 09/20/2034 | 356,975 | 344,908 | ||||||
Springleaf Mortgage Loan Trust | ||||||||
1.27%, 06/25/2058 (Acquired 10/28/2013, Cost $1,543,627) (b) | 1,561,696 | 1,556,339 | ||||||
2.31%, 06/25/2058 (Acquired 10/28/2013, Cost $1,083,643) (b) | 1,121,000 | 1,098,512 | ||||||
3.14%, 06/25/2058 (Acquired 10/28/2013, Cost $794,166) (b) | 817,000 | 818,524 | ||||||
3.79%, 06/25/2058 (Acquired 10/28/2013, Cost $658,804) (b) | 688,000 | 693,140 | ||||||
Springleaf Mortgage Loan Trust 2012-1 | ||||||||
2.67%, 09/25/2057 (Acquired 10/28/2013, Cost $383,408) (b) | 375,575 | 381,171 | ||||||
6.00%, 09/25/2057 (Acquired 10/28/2013, Cost $1,956,520) (b) | 1,873,000 | 1,904,034 | ||||||
Springleaf Mortgage Loan Trust 2012-2 | ||||||||
2.22%, 10/25/2057 (Acquired 10/28/2013, Cost $1,698,047) (b) | 1,671,187 | 1,693,595 | ||||||
6.00%, 10/25/2057 (Acquired 10/28/2013, Cost $1,783,060) (b) | 1,729,000 | 1,797,116 | ||||||
Springleaf Mortgage Loan Trust 2012-3 | ||||||||
1.57%, 12/25/2059 (Acquired 10/28/2013, Cost $2,031,476) (b) | 2,031,495 | 2,029,997 | ||||||
2.66%, 12/25/2059 (Acquired 10/28/2013, Cost $985,311) (b) | 996,000 | 995,837 | ||||||
3.56%, 12/25/2059 (Acquired 10/28/2013, Cost $571,601) (b) | 584,000 | 592,510 | ||||||
4.44%, 12/25/2059 (Acquired 10/28/2013, Cost $493,697) (b) | 496,000 | 507,483 | ||||||
5.30%, 12/25/2059 (Acquired 10/28/2013, Cost $223,016) (b) | 221,000 | 227,953 | ||||||
Springleaf Mortgage Loan Trust 2013-2 | ||||||||
1.78%, 12/25/2065 (Acquired 10/28/2013, Cost $1,771,419) (b) | 1,780,140 | 1,777,021 | ||||||
3.52%, 12/25/2065 (Acquired 10/28/2013, Cost $875,760) (b) | 899,000 | 917,198 | ||||||
Springleaf Mortgage Loan Trust 2013-3 | ||||||||
3.79%, 09/25/2057 (Acquired 10/28/2013, Cost $1,261,672) (b) | 1,262,000 | 1,270,920 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.35%, 06/25/2034 | 132,462 | 131,729 | ||||||
2.39%, 06/25/2034 | 1,130,408 | 1,136,933 | ||||||
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
0.82%, 10/19/2034 | 297,150 | 279,835 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
0.41%, 07/19/2035 | 1,136,691 | 1,089,466 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
0.57%, 07/25/2032 | 1,037,321 | 984,539 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Se 2003 29 | ||||||||
4.75%, 09/25/2018 | 102,214 | 104,032 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Ser 2003 30 | ||||||||
5.50%, 10/25/2033 | 46,425 | 48,777 | ||||||
Structured Asset Sec Corp Mort Pass Th Certs Ser 2003-32 | ||||||||
5.47%, 11/25/2033 | 45,351 | 46,903 |
Table of Contents
Structured Asset Securities Corp | ||||||||
2.55%, 12/25/2033 | 2,899,575 | 2,855,870 | ||||||
3.62%, 12/25/2033 | 379,768 | 380,525 | ||||||
5.49%, 02/25/2034 | 350,200 | 371,874 | ||||||
0.52%, 06/25/2035 (Acquired 10/28/2013, Cost $113,201) (b) | 135,483 | 109,444 | ||||||
Structured Asset Securities Corp Mort Pass Thru Ser 2004-5H | ||||||||
5.54%, 12/25/2033 | 872,053 | 896,474 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-33H | ||||||||
5.50%, 10/25/2033 | 415,017 | 424,111 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A | ||||||||
2.48%, 11/25/2033 | 120,608 | 118,939 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-22 | ||||||||
5.13%, 01/25/2035 | 7,597,574 | 7,864,226 | ||||||
Structured Asset Securities Corp Trust 2005-6 | ||||||||
5.00%, 05/25/2035 | 88,612 | 89,608 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
0.81%, 09/25/2043 | 1,557,302 | 1,487,552 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
1.97%, 12/25/2044 | 933,220 | 927,611 | ||||||
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
2.25%, 04/25/2045 | 2,800,227 | 2,812,523 | ||||||
TIAA Seasoned Commercial Mortgage Trust 2007-C4 | ||||||||
5.56%, 08/15/2039 | 453,035 | 453,096 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.29%, 05/10/2045 IO (Acquired 10/28/2013, Cost $247,441) (b) | 1,971,183 | 230,857 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/10/2030 (Acquired 10/28/2013, Cost $1,756,510) (b) | 1,787,000 | 1,833,015 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.76%, 05/10/2063 IO (Acquired 10/28/2013, Cost $660,606) (b) | 7,605,418 | 602,927 | ||||||
3.53%, 05/10/2063 | 1,073,000 | 1,120,322 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/10/2046 | 271,000 | 276,348 | ||||||
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 709,394 | 809,168 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.57%, 02/15/2024 | 158,735 | 172,804 | ||||||
6.50%, 02/15/2024 | 519,365 | 566,030 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 227,645 | 259,468 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 107,378 | 123,365 | ||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 317,048 | 371,966 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 03/15/2028 | 213,685 | 247,482 | ||||||
VML 2014-NPL1 LLC | ||||||||
3.88%, 04/25/2054 (Acquired 11/26/2014, Cost $1,102,000) (b) | 1,102,000 | 1,102,000 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030 (Acquired 10/28/2013, Cost $2,193,928) (b) | 2,283,000 | 2,285,242 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029 (Acquired 12/5/2013, Cost $2,564,053) (b) | 2,500,000 | 2,645,363 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2004-C11 | ||||||||
5.19%, 01/15/2041 | 163,286 | 163,255 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21 | ||||||||
5.24%, 10/15/2044 | 822,565 | 837,914 | ||||||
5.24%, 10/15/2044 | 5,000,000 | 5,118,825 |
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Wachovia Bank Commercial Mortgage Trust Series 2005-C22 | ||||||||
5.27%, 12/15/2044 | 7,375,993 | 7,533,463 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 | ||||||||
5.47%, 01/15/2045 | 5,360,000 | 5,579,905 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.10%, 03/15/2045 IO (Acquired 10/28/2013, Cost $283,794) (b) | 87,041,627 | 130,649 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | ||||||||
5.72%, 06/15/2049 | 7,406,587 | 7,961,000 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
2.42%, 10/25/2033 | 631,744 | 639,471 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
2.30%, 08/25/2033 | 215,503 | 216,434 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
2.41%, 09/25/2033 | 1,132,513 | 1,166,249 | ||||||
2.44%, 09/25/2033 | 214,622 | 216,156 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 213,367 | 220,867 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | ||||||||
5.00%, 10/25/2018 | 16,216 | 16,662 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | ||||||||
0.72%, 12/25/2018 | 48,095 | 46,742 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
17.00%, 06/25/2033 | 56,860 | 64,291 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | ||||||||
4.50%, 09/25/2018 | 88,299 | 89,246 | ||||||
4.50%, 09/25/2018 | 29,239 | 29,558 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 PO | 16,943 | 13,197 | ||||||
5.25%, 10/25/2033 | 819,893 | 842,187 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
2.37%, 06/25/2034 | 7,001,378 | 7,065,532 | ||||||
2.37%, 06/25/2034 | 394,519 | 398,134 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 85,823 | 88,048 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 106,213 | 108,478 | ||||||
5.50%, 08/25/2019 | 236,210 | 243,120 | ||||||
6.00%, 08/25/2034 | 1,454,701 | 1,555,356 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 38,714 | 40,174 | ||||||
6.00%, 10/25/2019 | 34,079 | 35,773 | ||||||
6.50%, 10/25/2034 | 5,612,937 | 6,130,051 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 59,136 | 61,258 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 124,872 | 127,937 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 763,331 | 799,657 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 193,611 | 203,055 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
2.27%, 09/25/2036 | 29,341 | 19,367 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
2.24%, 08/25/2046 | 137,697 | 119,199 |
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Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 PO | 24,888 | 17,479 | ||||||
5.50%, 03/25/2035 | 301,663 | 303,717 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.83%, 04/25/2035 IO | 376,455 | 48,336 | ||||||
4.88%, 04/25/2035 IO | 1,665,202 | 235,173 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 558,582 | 516,914 | ||||||
5.50%, 06/25/2035 IO | 537,929 | 113,045 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 118,399 | 109,684 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 49,234 | 44,850 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | ||||||||
0.67%, 03/25/2018 | 15,220 | 15,045 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 PO | 3,367 | 2,530 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 PO | 19,652 | 17,624 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 66,390 | 60,062 | ||||||
Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.71%, 03/18/2028 (Acquired 10/28/2013, Cost $1,513,552) (b) | 1,548,000 | 1,550,308 | ||||||
Wells Fargo Mortgage Backed Securities 2003-K Trust | ||||||||
2.49%, 11/25/2033 | 433,000 | 434,967 | ||||||
2.49%, 11/25/2033 | 16,611 | 16,887 | ||||||
Wells Fargo Mortgage Backed Securities 2003-L Trust | ||||||||
2.55%, 11/25/2033 | 63,282 | 62,111 | ||||||
Wells Fargo Mortgage Backed Securities 2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 94,990 | 97,781 | ||||||
Wells Fargo Mortgage Backed Securities 2004-B Trust | ||||||||
2.49%, 02/25/2034 | 139,801 | 139,708 | ||||||
Wells Fargo Mortgage Backed Securities 2004-EE Trust | ||||||||
2.50%, 12/25/2034 | 376,973 | 381,782 | ||||||
2.50%, 12/25/2034 | 123,048 | 125,894 | ||||||
2.61%, 12/25/2034 | 255,728 | 260,122 | ||||||
2.61%, 12/25/2034 | 375,910 | 378,094 | ||||||
Wells Fargo Mortgage Backed Securities 2004-I Trust | ||||||||
2.60%, 07/25/2034 | 536,515 | 541,075 | ||||||
Wells Fargo Mortgage Backed Securities 2004-P Trust | ||||||||
2.61%, 09/25/2034 | 1,640,680 | 1,649,261 | ||||||
Wells Fargo Mortgage Backed Securities 2004-V Trust | ||||||||
2.60%, 10/25/2034 | 273,956 | 276,349 | ||||||
2.60%, 10/25/2034 | 351,375 | 356,251 | ||||||
Wells Fargo Mortgage Backed Securities 2005-14 Trust | ||||||||
0.00%, 11/25/2035 PO | 41,995 | 33,921 | ||||||
5.50%, 11/25/2035 | 182,857 | 193,452 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | ||||||||
2.62%, 03/25/2035 | 3,899,317 | 3,928,421 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | ||||||||
2.59%, 06/25/2035 | 338,313 | 340,414 | ||||||
Wells Fargo Mortgage Backed Securities 2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 463,835 | 457,305 | ||||||
Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 82,985 | 83,984 |
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Wells Fargo Mortgage Backed Securities 2007-9 Trust | ||||||||
5.50%, 07/25/2037 | 328,539 | 333,152 | ||||||
Wells Fargo Mortgage Loan 2012-RR1 Trust | ||||||||
2.85%, 08/27/2037 (Acquired 10/28/2013, Cost $627,152) (b) | 624,464 | 615,097 | ||||||
Wells Fargo Resecuritization Trust 2012-IO | ||||||||
1.75%, 08/20/2021 (Acquired 10/28/2013, Cost $1,398,337) (b) | 1,401,841 | 1,401,407 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/15/2044 (Acquired 10/28/2013, Cost $1,127,121) (b) | 1,059,000 | 1,154,426 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
1.08%, 04/15/2045 | 138,691 | 139,081 | ||||||
3.44%, 04/15/2045 | 9,470,780 | 9,894,673 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||
4.18%, 03/15/2045 (Acquired 08/04/2014, Cost $285,281) (b) | 300,000 | 286,057 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
3.68%, 08/15/2047 | 7,000,000 | 7,335,790 | ||||||
WFRBS Commercial Mortgage Trust 2014-C23 | ||||||||
3.64%, 10/15/2057 | 3,500,000 | 3,682,557 | ||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.32%, 11/15/2047 | 5,000,000 | 5,159,965 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,553,190 | ||||||
|
| |||||||
Total Mortgage Backed Obligations (Cost $2,949,603,228) | $ | 2,997,922,631 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $7,286,065,005) | $ | 7,455,853,635 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 6.52% | ||||||||
Money Market Funds - 6.52% | ||||||||
Fidelity Institutional Money Market Funds - Government Portfolio, 0.01% (g) | 251,041,278 | $ | 251,041,278 | |||||
Goldman Sachs Financial Square Funds - Federal Fund, 0.01% (g) | 251,041,278 | 251,041,278 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $502,082,556) | $ | 502,082,556 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 103.29% | 7,957,936,191 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.29)% | (253,340,884 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 7,704,595,307 | ||||||
|
|
PO | Principal Only Strip |
IO | Interest Only Strip |
(a) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $10,476,519, which represents 0.14% of total net assets. |
(b) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $866,920,341, which represents 11.25% of total net assets. See Note 2(d) in the Notes to Financial Statements. |
(c) | Includes inflation protected securities. The value of these securities totals $68,598,931, which represents 0.89% of total net assets. |
(d) | Includes delayed delivery securities. The value of these securities totals $213,842,006, which represents 2.78% of total net assets. See Note 2(b) in the Notes to Financial Statements. |
(e) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $1,244,085, which represents 0.02% of total net assets. |
(f) | Includes securities in default. The value of these securities totals $6,226,166, which represents 0.08% of total net assets. |
(g) | Partially assigned as collateral for certain delayed delivery securities. See Note 2(b) in the Notes to Financial Statements. |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments (Unaudited)
December 31, 2014
Open Futures Contracts
Number of Contracts | Description | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||
99 | U.S. 5 Year Note Future | Mar 2015 | $ | 11,767,775 | $ | 11,774,039 | $ | 6,264 | ||||||||
222 | U.S. Ultra Bond Future | Mar 2015 | 36,207,375 | 36,671,625 | 464,250 | |||||||||||
(229) | U.S. 10 Year Note Future | Mar 2015 | (29,049,382 | ) | (29,036,484 | ) | 12,898 | |||||||||
(180) | U.S. Long Bond Future | Mar 2015 | (25,894,139 | ) | (26,021,250 | ) | (127,111 | ) | ||||||||
955 | U.S. 2 Year Note Future | Mar 2015 | 208,652,248 | 208,757,032 | 104,784 | |||||||||||
|
| |||||||||||||||
$ | 461,085 | |||||||||||||||
|
|
Table of Contents
(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. Not Applicable. |
(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 | 2/24/2015 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Joseph Neuberger | |
Joseph Neuberger, President |
Date 2/24/2015 |
By (Signature and Title)* | /s/ Jason Hadler | |
Jason Hadler, Treasurer | ||
Date 2/24/2015 |
* | Print the name and title of each signing officer under his or her signature. |