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: June 30, 2015
Table of Contents
Item 1. Reports to Stockholders.
Table of Contents
Bridge Builder MUTUAL FUNDS Annual Report June 30, 2015 Bridge Builder Bond Fund Bridge Builder Large Cap Growth Fund Bridge Builder Large Cap Value Fund Bridge Builder Small/Mid Cap Growth Fund Bridge Builder Small/Mid Cap Value Fund
Table of Contents
Page | ||||
Letter to Shareholders | 1 | |||
Management’s Discussion of Fund Performance | 2 | |||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
Expenses | 8 | |||
Portfolio Composition/Summary Schedule of Investments | 9 | |||
9 | ||||
15 | ||||
19 | ||||
23 | ||||
27 | ||||
Statements of Assets and Liabilities | 31 | |||
Statements of Operations | 32 | |||
Statements of Changes in Net Assets | 33 | |||
Financial Highlights | 34 | |||
Notes to Financial Statements | 39 | |||
Report of Independent Registered Public Accounting Firm | 54 | |||
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements | 55 | |||
General Information | 68 | |||
Privacy Policy | 70 |
Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds annual report for the 12 month period ended June 30, 2015. In this report you will find performance information and commentary from each of the mutual fund portfolio management teams, summaries of portfolio holdings, financial statements and other important information about the Bridge Builder Mutual Funds.
On April 27, 2015, four U.S. equity mutual funds were added to the Bridge Builder lineup: Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund and Bridge Builder Small/Mid Cap Value Fund. These mutual funds join the Bridge Builder Bond Fund, which was launched in 2013.
The Bridge Builder Mutual Funds are available exclusively through Edward Jones Advisory Solutions®, a mutual fund advisory program. Each Bridge Builder Fund uses a multi-manager structure, for which several leading asset management firms are selected to invest portions of a Fund’s assets. Each manager within a Fund brings a unique perspective and investment approach. These managers are selected by Olive Street Investment Advisers, LLC, an affiliate of Edward Jones. Olive Street strives to combine complementary investment styles, performance patterns and portfolio characteristics and to invest in high-quality strategies that have generally demonstrated a track record of success. We select managers we expect to use for the long-term. The Funds are managed according to the key tenets of our investment philosophy: diversification, long-term approach and high quality.
For details about individual fund performance and market commentary, please refer to the Management’s Discussion of Fund Performance section of this report for each Fund.
Thank you for choosing Bridge Builder Mutual Funds. We look forward to playing an important role in helping you pursue 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 |
Annual Report • June 30, 2015 | 1 |
Table of Contents
Management’s Discussion of Fund Performance
The year ending June 30 was generally positive for bond markets. Over this period the Barclays U.S. Aggregate Bond Index returned 1.86%. A decline in interest rates during the period provided a constructive backdrop. The yield on the 10-year Treasury note began at 2.57% and ended the period at 2.35%. This was a positive driver of returns in the market, particularly for government bonds. These tend to be most sensitive to changes in interest rates. However, there was heightened volatility in interest rates. This increased volatility was partly driven by market participants’ anticipation of a potential change in Federal Reserve policy. The Federal Reserve has shifted communication that it may be getting closer to raising short-term interest rates but has reiterated its decision will be data dependent. Thus far, uneven economic data has delayed a change in Fed policy. Corporate bonds also had positive performance during the period, although the returns were lower than government bonds. Investors generally had less appetite for riskier bonds, which resulted in credit spreads increasing. This held back returns of the corporate sector.
Over this same period, the Bridge Builder Bond Fund returned 2.01%, which outperformed the Barclays U.S. Aggregate Bond Index (the “Index”). The general decline in rates over the period was an overall positive contributor to performance. The Fund’s largest sector exposure is to securitized bonds, such as mortgage backed securities and asset backed securities. This sector was one of the best performing areas of the market with returns only slightly lower than Treasuries. This was the largest contributor to the Fund’s absolute performance. Relative to the Index the Fund is overweight securitized bonds, which was a significant contributor to the positive relative performance. The Fund also benefited from its selection of individual bonds, particularly within the corporate and mortgage sectors. Overall, the Fund’s duration, a measure of interest rate risk, was in-line with the benchmark and had no material impact on relative performance.
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Bond Fund from its inception (October 28, 2013) to June 30, 2015 as compared with the Barclays U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2015
vs.
Barclays U.S. Aggregate Bond Index
Total returns for the year ended June 30, 2015 | ||||||||||||||||
3-Month | 6-Month | 12-Month | Since Inception (Annualized) | |||||||||||||
Bridge Builder Bond Fund | -1.66 | % | 0.07 | % | 2.01 | % | 2.95 | % | ||||||||
Barclays U.S. Aggregate Bond Index | -1.68 | % | -0.10 | % | 1.86 | % | 2.84 | % |
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.
2 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Management’s Discussion of Fund Performance
Since the Bridge Builder Large Cap Growth Fund commenced operations on April 27, 2015, the broad U.S. equity market has fallen slightly. Within the large-capitalization portion of the market there were minimal differences in performance between value and growth style stocks and between high- and low-quality stocks. Over this short time period, the higher-dividend-yielding portions of the market such as utilities, REITs and telecommunications underperformed the broader market. This underperformance was likely driven by interest rates rising during the period. The energy sector also lagged the broad market. Health care was the strongest-performing sector of the market.
For the period starting April 27, 2015, and ending June 30, 2015, the Bridge Builder Large Cap Growth fund returned -1.70%. The Fund outperformed the -2.15% return of the Russell 1000 Growth Index (the “Index”) for the same period. Over this short period of time, the Fund’s allocations to information technology, industrials and energy securities were less than the Index. These allocations benefited relative performance, as those areas lagged the broad market. Stock selection in the financial services sector was the biggest driver of outperformance across the Fund. This was only modestly offset by poor stock selection in the consumer staples space.
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Large Cap Growth Fund from its inception (April 27, 2015) to June 30, 2015 as compared with the Russell 1000 Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2015
vs.
Russell 1000 Growth Index
Total returns for the period ended June 30, 2015 | ||||
Since Inception | ||||
Bridge Builder Large Cap Growth Fund | -1.70 | % | ||
Russell 1000 Growth Index | -2.15 | % |
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 Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forcasted growth values. 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.
Annual Report • June 30, 2015 | 3 |
Table of Contents
Bridge Builder Large Cap Value Fund
Management’s Discussion of Fund Performance
Since the Bridge Builder Large Cap Value Fund commenced operations on April 27, 2015, the broad U.S. equity market has fallen slightly. Within the large-capitalization portion of the market there were minimal differences in performance between value and growth style stocks and between high- and low-quality stocks. Over this short time period, the higher-dividend-yielding portions of the market such as utilities, REITs and telecommunications underperformed the broader market. This underperformance was likely driven by interest rates rising during the period. The energy sector also lagged the broad market. Health care was the strongest-performing sector of the market.
For the period starting April 27, 2015, and ending June 30, 2015, the Bridge Builder Large Cap Value Fund returned -1.62%. The Fund underperformed the -1.31% return of the Russell 1000 Value Index (the “Index”) for the same period. Over this short period of time, the Fund’s allocation to energy, utilities and REIT securities was less than the Index. This allocation benefited relative performance, as those sectors lagged the broad market. The Fund had less allocated to financial services stocks than the Index. This hurt relative performance. The Fund’s holdings in the industrials sector also detracted from performance, as some of these holdings were negatively affected by falling gold prices.
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Large Cap Value Fund from its inception (April 27, 2015) to June 30, 2015 as compared with the Russell 1000 Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2015
vs.
Russell 1000 Value Index
Total returns for the period ended June 30, 2015 | ||||
Since Inception | ||||
Bridge Builder Large Cap Value Fund | -1.62 | % | ||
Russell 1000 Value Index | -1.31 | % |
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 Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values. 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.
4 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Management’s Discussion of Fund Performance
Since the Bridge Builder Small/Mid Cap Growth Fund commenced operations on April 27, 2015, the broad U.S. equity market has fallen slightly. Over this short period of time, within the small- and mid-capitalization portion of the market, growth stocks outperformed value stocks. The higher-dividend-yielding portions of the market such as utilities, REITs and telecommunications underperformed the broader market. This underperformance was likely driven by interest rates rising during the period. The energy sector also lagged the broad market. Health care was the strongest-performing sector of the market.
For the period starting April 27, 2015, and ending June 30, 2015, the Bridge Builder Small/Mid Cap Growth Fund returned -0.40%. The Fund underperformed the 0.28% return of the Russell 2500 Growth Index (the “Index”) for the same period. Over this short period of time, the Fund’s relative performance benefited from underweighting consumer discretionary, industrials and materials, as each of these areas lagged the Index. However, the Fund’s overweight energy and underweight health care and information technology positions detracted from Fund performance. Stock selection was an overall headwind for the Fund, particularly in the consumer discretionary and information technology sectors. However, strong stock selection in the financial services sector was the single largest source of outperformance for the Fund.
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Growth Fund from its inception (April 27, 2015) to June 30, 2015 as compared with the Russell 2500 Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2015
vs.
Russell 2500 Growth Index
Total returns for the period ended June 30, 2015 | ||||
Since Inception | ||||
Bridge Builder Small/Mid Cap Growth Fund | -0.40 | % | ||
Russell 2500 Growth Index | 0.28 | % |
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 Russell 2500 Growth Index measures the performance of the small to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500 Index companies with higher price-to-book ratios and higher forcasted growth values. 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.
Annual Report • June 30, 2015 | 5 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance
Since the Bridge Builder Small/Mid Cap Value Fund commenced operations on April 27, 2015, the broad U.S. equity market has fallen slightly. Over this short period of time, within the small- and mid-capitalization portion of the market, growth stocks outperformed value stocks. The higher-dividend-yielding portions of the market such as utilities, REITs and telecommunications underperformed the broader market. This underperformance was likely driven by interest rates rising during the period. The energy sector also lagged the broad market. Health care was the strongest-performing sector of the market.
For the period beginning April 27, 2015 and ending June 30, 2015, the Bridge Builder Small/Mid Cap Value Fund returned -1.30%. The Fund underperformed the -1.23% return of the Russell 2500 Value Index (the “Index”) for the same period. The Fund’s relative performance benefited from underweighting utilities and overweighting health care. The Fund’s performance was also aided by its energy holdings, which outperformed the energy portion of the Index. The Fund’s holdings in the health care and technology sectors underperformed the Index’s holdings in those areas.
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Value Fund from its inception (April 27, 2015) to June 30, 2015 as compared with the Russell 2500 Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2015
vs.
Russell 2500 Value Index
Total returns for the period ended June 30, 2015 | ||||
Since Inception | ||||
Bridge Builder Small/Mid Cap Value Fund | -1.30 | % | ||
Russell 2500 Value Index | -1.23 | % |
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 Russell 2500 Value Index measures the performance of the small to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 Index companies with lower price-to-book ratios and lower forcasted growth values. 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 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Management’s Discussion of Fund Performance
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.
Diversification does not guarantee a profit or protect from loss in a declining market.
Past performance does not guarantee future results. Short term performance, in particular, is not a good indication of a fund’s future performance, and an investment should not be made solely on returns.
Mutual fund investing involves risk. The value of your investment in the Funds could go down as well as up. You may lose money investing in the Funds, including the loss of principal. Investing in the bond market is subject to certain risks including market, credit, interest-rate, liquidity and reinvestment risk. Investments in asset-backed, mortgage-related and mortgage-backed securities may be more sensitive to changes in interest rates, prepayments and impairment of the value of the collateral underlying the security. Investments in derivatives may be more sensitive to market, counterparty, liquidity and correlation risk. Investments in U.S dollar-denominated foreign securities (including emerging markets) may be more sensitive to currency fluctuations, political and economic instability, differing government regulations and liquidity risk. Investments in real estate investment trusts (REITs) may be affected by changes in the value of underlying properties and tenant credit quality. Investments in small and mid-cap companies may involve additional risks such as limited liquidity and greater volatility than larger companies. 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 Bridge Builder Funds are distributed by Quasar Distributors, LLC.
Annual Report • June 30, 2015 | 7 |
Table of Contents
Bridge Builder Mutual Funds
Expense Example
For the Period Ended June 30, 2015
As a shareholder of the Funds, 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 Funds. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on $1,000 invested at the beginning of the period and held for the entire period from January 1, 2015, to June 30, 2015 for the Bridge Builder Bond Fund. For the Bridge Builder Large Cap Growth, Large Cap Value, Small/Mid Cap Growth and Small/Mid Cap Value Funds, the example is based on the period from April 27, 2015 (the inception date of the Funds) to June 30, 2015.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 Funds 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 of owning shares of a Fund only and do not reflect any annual Edward Jones Advisory Solutions® program and administrative fees. If fees of Edward Jones Advisory Solutions® had been included, your costs would have been higher.
Beginning account value | Ending account value | Annualized Expense Ratio | Expenses paid during the period | |||||||||||||||||
Bridge Builder Bond Fund | 0.19 | % | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.70 | $ | 0.94 | * | |||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.85 | $ | 0.95 | * | |||||||||||||
Bridge Builder Large Cap Growth Fund | 0.37 | % | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 983.00 | $ | 0.65 | ** | |||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,008.25 | $ | 0.66 | ** | |||||||||||||
Bridge Builder Large Cap Value Fund | 0.40 | % | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 983.80 | $ | 0.71 | ** | |||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,008.19 | $ | 0.72 | ** | |||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | 0.49 | % | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 996.00 | $ | 0.87 | ** | |||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,008.03 | $ | 0.88 | ** | |||||||||||||
Bridge Builder Small/Mid Cap Value Fund | 0.62 | % | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 987.00 | $ | 1.10 | ** | |||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,007.80 | $ | 1.11 | ** |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Fund. |
** | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 65/365 (to reflect the period since the Funds’ inception on April 27, 2015). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
8 | Annual Report • June 30, 2015 |
Table of Contents
Investments by Security Type as of June 30, 2015
(As a Percentage of Total Investments)
Annual Report • June 30, 2015 | 9 |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2015
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES |
| |||||||||||
Asset-Backed Obligations |
| |||||||||||
Chase Issuance Trust, | $ | 16,700,000 | $ | 16,600,067 | 0.19 | % | ||||||
OneMain Financial Issuance Trust, | 17,662,000 | 17,675,423 | 0.21 | % | ||||||||
Synchrony Credit Card Master Note Trust, | 17,700,000 | 17,716,727 | 0.21 | % | ||||||||
Other Securities (1)(2) | 770,604,445 | 752,958,230 | 8.74 | % | ||||||||
Total Asset-Backed Obligations | $ | 804,950,447 | 9.35 | % | ||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (2) | $ | 118,824,000 | $ | 121,481,197 | 1.41 | % | ||||||
Total Basic Materials | 121,481,197 | 1.41 | % | |||||||||
Communications | ||||||||||||
Various Securities (2) | 200,441,933 | 206,600,442 | 2.40 | % | ||||||||
Total Communications | 206,600,442 | 2.40 | % | |||||||||
Consumer Cyclical | ||||||||||||
Various Securities (2) | 112,347,730 | 116,101,234 | 1.35 | % | ||||||||
Total Consumer Cyclical | 116,101,234 | 1.35 | % | |||||||||
Consumer Non-cyclical | ||||||||||||
Various Securities (2) | 284,542,726 | 290,455,028 | 3.37 | % | ||||||||
Total Consumer Non-cyclical | 290,455,028 | 3.37 | % | |||||||||
Diversified | ||||||||||||
Various Securities (2) | 7,597,000 | 8,486,760 | 0.10 | % | ||||||||
Total Diversified | 8,486,760 | 0.10 | % | |||||||||
Energy | ||||||||||||
Various Securities (2) | 289,931,000 | 295,531,912 | 3.43 | % | ||||||||
Total Energy | 295,531,912 | 3.43 | % | |||||||||
Financials | ||||||||||||
American International Group, Inc., | 15,100,000 | 17,895,916 | 0.21 | % | ||||||||
Bank of America Corp, | 15,340,000 | 17,534,602 | 0.20 | % | ||||||||
Goldman Sachs Group, Inc., | 17,547,000 | 19,938,305 | 0.23 | % | ||||||||
Other Securities (2) | 1,053,275,482 | 1,100,521,977 | 12.78 | % | ||||||||
Total Financials | 1,155,890,800 | 13.42 | % | |||||||||
Industrials | ||||||||||||
Various Securities (2) | 84,511,084 | 85,001,296 | 0.99 | % | ||||||||
Total Industrials | 85,001,296 | 0.99 | % | |||||||||
Technology | ||||||||||||
Various Securities | 80,409,000 | 81,326,240 | 0.94 | % | ||||||||
Total Technology | 81,326,240 | 0.94 | % | |||||||||
Utilities | ||||||||||||
Various Securities (2) | 123,274,303 | 128,975,888 | 1.50 | % | ||||||||
Total Utilities | 128,975,888 | 1.50 | % | |||||||||
Total Corporate Bonds | $ | 2,489,850,797 | 28.91 | % |
The accompanying notes are an integral part of these financial statements.
10 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related | ||||||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Bond, 2.75%, | $ | 17,685,000 | $ | 16,376,593 | 0.19 | % | ||||||
U.S. Treasury Bond, 2.88%, | 25,625,000 | 24,303,724 | 0.28 | % | ||||||||
U.S. Treasury Bond, 3.50%, | 104,519,100 | 112,178,364 | 1.30 | % | ||||||||
U.S. Treasury Bond, 4.38%, | 15,710,000 | 19,245,975 | 0.22 | % | ||||||||
U.S. Treasury Bond, 5.25%, | 49,415,500 | 64,294,211 | 0.75 | % | ||||||||
U.S. Treasury Inflation Indexed Bond, 0.13%, | 20,600,629 | 20,732,596 | 0.24 | % | ||||||||
U.S. Treasury Note, 1.25%, | 89,945,000 | 90,113,647 | 1.05 | % | ||||||||
U.S. Treasury Note, 1.50%, | 21,561,000 | 21,827,149 | 0.25 | % | ||||||||
U.S. Treasury Note, 1.50%, | 19,265,000 | 19,442,604 | 0.23 | % | ||||||||
U.S. Treasury Note, 1.63%, | 39,785,000 | 40,204,612 | 0.47 | % | ||||||||
U.S. Treasury Note, 2.00%, | 16,000,000 | 16,012,496 | 0.19 | % | ||||||||
U.S. Treasury Note, 2.63%, | 37,034,000 | 38,709,196 | 0.45 | % | ||||||||
U.S. Treasury Note, 3.13%, | 20,774,000 | 22,156,759 | 0.26 | % | ||||||||
U.S. Treasury Note, 3.25%, | 20,315,000 | 21,145,051 | 0.25 | % | ||||||||
U.S. Treasury Note, 3.50%, | 41,363,000 | 44,138,830 | 0.51 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 21,739,000 | 21,020,265 | 0.24 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 22,357,000 | 21,020,655 | 0.24 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 25,243,000 | 23,031,814 | 0.27 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 19,635,000 | 16,218,294 | 0.19 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 33,917,000 | 29,452,471 | 0.34 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 61,562,000 | 51,785,954 | 0.60 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 20,278,000 | 19,202,718 | 0.22 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 37,115,000 | 34,049,746 | 0.40 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, | 33,770,000 | 28,089,076 | 0.33 | % | ||||||||
United States Treasury Note/Bond, | 270,784,000 | 295,901,446 | 3.44 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 11 |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) |
| |||||||||||
U.S. Treasury – (continued) | ||||||||||||
United States Treasury Strip Coupon, | $ | 459,900,000 | $ | 341,414,853 | 3.96 | % | ||||||
Other Securities (3) | 30,190,612 | 16,655,686 | 0.19 | % | ||||||||
Total U.S. Treasury | 1,468,724,785 | 17.06 | % | |||||||||
Other Government Related | ||||||||||||
Federal Home Loan Banks, 0.50%, Sep. 2016 | 18,390,000 | 18,392,593 | 0.21 | % | ||||||||
Residual Funding Corp Principal Strip, 0.00%, Jul. 2020 | 37,494,000 | 33,900,950 | 0.39 | % | ||||||||
Other Securities (2) | 223,817,000 | 227,434,616 | 2.64 | % | ||||||||
Total Other Government Related | 279,728,159 | 3.24 | % | |||||||||
Total Government Related | $ | 1,748,452,944 | 20.30 | % | ||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 3.00%, Jul. 2042 (4) | $ | 18,500,000 | $ | 18,387,263 | 0.21 | % | ||||||
Fannie Mae, 3.00%, May 2043 | 19,072,944 | 19,044,941 | 0.22 | % | ||||||||
Fannie Mae, 3.00%, Aug. 2043 | 18,824,368 | 18,796,346 | 0.22 | % | ||||||||
Fannie Mae, 3.09%, Apr. 2027 | 23,211,000 | 22,936,228 | 0.27 | % | ||||||||
Fannie Mae, 3.50%, Jan. 2024 | 16,000,000 | 16,768,960 | 0.19 | % | ||||||||
Fannie Mae, 3.50%, Aug. 2040 (4) | 22,000,000 | 22,570,195 | 0.26 | % | ||||||||
Fannie Mae, 3.50%, Feb. 2041 | 18,652,600 | 19,234,748 | 0.22 | % | ||||||||
Fannie Mae, 3.50%, Nov. 2042 | 18,246,575 | 18,831,571 | 0.22 | % | ||||||||
Fannie Mae, 3.50%, Jul. 2043 | 16,950,541 | 17,481,990 | 0.20 | % | ||||||||
Fannie Mae, 3.50%, Apr. 2045 | 19,249,703 | 19,822,303 | 0.23 | % | ||||||||
Fannie Mae, 4.00%, Jul. 2040 (4) | 34,635,372 | 36,676,039 | 0.43 | % | ||||||||
Fannie Mae, 4.00%, Aug. 2040 (4) | 51,922,138 | 54,819,755 | 0.64 | % | ||||||||
Fannie Mae, 4.50%, Aug. 2040 | 20,547,836 | 22,246,103 | 0.26 | % | ||||||||
Fannie Mae, 4.50%, Dec. 2040 | 16,818,820 | 18,213,295 | 0.21 | % | ||||||||
Freddie Mac, 3.00%, Jun. 2043 | 18,842,252 | 18,735,445 | 0.22 | % | ||||||||
Freddie Mac, 3.50%, Jul. 2042 | 20,230,772 | 20,819,865 | 0.24 | % | ||||||||
Ginnie Mae, 3.50%, Jul. 2045 (4) | 38,500,000 | 39,882,081 | 0.46 | % | ||||||||
Ginnie Mae, 4.00%, May 2045 | 17,032,163 | 18,140,281 | 0.21 | % | ||||||||
Fannie Mae, 0.00%–1,184.78%, | 161,085,902 | 143,243,238 | 1.66 | % | ||||||||
Fannie Mae, 0.52%–10.51%, | 833,792,933 | 870,622,312 | 10.11 | % | ||||||||
Fannie Mae, 3.00%–8.50%, | 136,138,821 | 143,490,911 | 1.67 | % | ||||||||
FHLMC, 1.02%–5.09%, | 225,565,859 | 97,198,013 | 1.13 | % | ||||||||
Freddie Mac, 0.00%–1,181.25%, | 119,073,883 | 107,664,803 | 1.25 | % | ||||||||
Freddie Mac, 2.50%–10.00%, | 267,057,802 | 280,886,865 | 3.26 | % | ||||||||
Ginnie Mae, 0.00%–38.58%, | 236,691,479 | 212,317,525 | 2.47 | % | ||||||||
Other Securities (1)(2)(6) | 1,639,244,902 | 962,159,339 | 11.17 | % | ||||||||
Total Mortgage-Backed Obligations | $ | 3,240,990,415 | 37.63 | % | ||||||||
Total Bonds & Notes | $ | 8,284,244,603 | 96.19 | % |
The accompanying notes are an integral part of these financial statements.
12 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS – 6.48% |
| |||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Fund, 0.01% (7) | 278,789,989 | $ | 278,789,989 | 3.24 | % | |||||||
Goldman Sachs Financial Square Fund, 0.01% (7) | 278,789,989 | 278,789,989 | 3.24 | % | ||||||||
Total Short-Term Investments | $ | 557,579,978 | 6.48 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 8,841,824,581 | 102.67 | % | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (230,172,197 | ) | -2.67 | % | |||||||
TOTAL NET ASSETS |
| $ | 8,611,652,384 | 100.00 | % |
(1) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $11,040,641, which represents 0.13% 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 $1,113,397,062, which represents 12.93% 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 $28,119,970, which represents 0.33% of total net assets. |
(4) | Includes delayed delivery securities. The value of these securities totals $209,183,768, which represents 2.43% of total net assets. See Note 2(b) in the Notes to Financial Statements. |
(5) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $1,438,983, which represents 0.02% of total net assets. |
(6) | Includes securities in default. The value of these securities totals $5,839,265, which represents 0.07% 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.
Annual Report • June 30, 2015 | 13 |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Open Futures Contracts
Number | Description | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||
(1,044) | U.S. 10 Year Note Future | Sept. 2015 | $ | (131,431,842 | ) | $ | (131,723,438 | ) | $ | (291,596 | ) | |||||
1,177 | U.S. 5 Year Note Future | Sept. 2015 | 140,006,952 | 140,366,446 | 359,494 | |||||||||||
57 | U.S. Long Bond Future | Sept. 2015 | 8,615,763 | 8,598,094 | (17,669 | ) | ||||||||||
548 | U.S. 2 Year Note Future | Sept. 2015 | 119,966,633 | 119,977,750 | 11,117 | |||||||||||
(36) | U.S. Ultra Bond Future | Sept. 2015 | (5,560,828 | ) | (5,546,250 | ) | 14,578 | |||||||||
|
| |||||||||||||||
$ | 75,924 | |||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
14 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Portfolio Composition
Investments by Sector as of June 30, 2015
(As a Percentage of Total Investments)
(1) | Amount calculated is less than 0.005% |
Annual Report • June 30, 2015 | 15 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2015
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Amazon.com, Inc. (1) | 151,739 | $ | 65,868,382 | 2.55 | % | |||||||
Dollar General Corp. | 218,982 | 17,023,661 | 0.66 | % | ||||||||
Lowe’s Companies | 745,274 | 49,911,000 | 1.93 | % | ||||||||
Netflix, Inc. (1) | 32,056 | 21,058,869 | 0.81 | % | ||||||||
Nike, Inc. | 169,962 | 18,359,295 | 0.71 | % | ||||||||
Starbucks Corp. | 696,003 | 37,316,201 | 1.44 | % | ||||||||
The Priceline Group, Inc. (1) | 29,490 | 33,953,901 | 1.31 | % | ||||||||
Walt Disney Co. | 247,573 | 28,257,982 | 1.09 | % | ||||||||
Other Securities (1) | 3,479,007 | 184,605,233 | 7.14 | % | ||||||||
Total Consumer Discretionary | 456,354,524 | 17.64 | % | |||||||||
Consumer Staples | ||||||||||||
Colgate Palmolive Co. | 529,338 | 34,623,999 | 1.34 | % | ||||||||
Costco Wholesale Corp. | 155,116 | 20,949,967 | 0.81 | % | ||||||||
Mondelez International, Inc. | 648,030 | 26,659,954 | 1.03 | % | ||||||||
The Hershey Co. | 247,295 | 21,967,215 | 0.85 | % | ||||||||
Whole Foods Market, Inc. | 549,613 | 21,676,737 | 0.84 | % | ||||||||
Other Securities (1) | 1,150,248 | 87,825,129 | 3.39 | % | ||||||||
Total Consumer Staples | 213,703,001 | 8.26 | % | |||||||||
Energy | ||||||||||||
Schlumberger Ltd | 498,366 | 42,954,166 | 1.66 | % | ||||||||
Other Securities (1) | 519,902 | 26,899,566 | 1.04 | % | ||||||||
Total Energy | 69,853,732 | 2.70 | % | |||||||||
Financials | ||||||||||||
American Express Co. | 325,592 | 25,305,010 | 0.98 | % | ||||||||
Aon Plc | 197,797 | 19,716,405 | 0.76 | % | ||||||||
Equinix, Inc. | 74,919 | 19,029,426 | 0.74 | % | ||||||||
Intercontinental Exchange, Inc. | 93,711 | 20,954,717 | 0.81 | % | ||||||||
State Street Corp. | 289,430 | 22,286,110 | 0.86 | % | ||||||||
Voya Financial, Inc. | 395,100 | 18,360,297 | 0.71 | % | ||||||||
Other Securities (1) | 2,395,160 | 123,866,827 | 4.78 | % | ||||||||
Total Financials | 249,518,792 | 9.64 | % | |||||||||
Health Care | ||||||||||||
Amgen, Inc. | 184,307 | 28,294,811 | 1.10 | % | ||||||||
BioMarin Pharmaceutical, Inc. (1) | 196,650 | 26,897,787 | 1.04 | % | ||||||||
Bristol Myers Squibb Co. | 674,441 | 44,877,304 | 1.73 | % | ||||||||
Cerner Corp. (1) | 557,882 | 38,527,331 | 1.49 | % | ||||||||
Eli Lilly & Co. | 242,254 | 20,225,786 | 0.78 | % | ||||||||
Gilead Sciences, Inc. | 327,014 | 38,286,799 | 1.48 | % | ||||||||
Pfizer, Inc. | 655,900 | 21,992,327 | 0.85 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (1) | 33,473 | 17,075,582 | 0.66 | % | ||||||||
Shire Plc–ADR | 69,959 | 16,894,399 | 0.65 | % | ||||||||
Other Securities (1) | 2,437,401 | 204,084,838 | 7.89 | % | ||||||||
Total Health Care | 457,156,964 | 17.67 | % |
The accompanying notes are an integral part of these financial statements.
16 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
Honeywell International, Inc. | 234,058 | $ | 23,866,894 | 0.93 | % | |||||||
TransDigm Group, Inc. (1) | 115,570 | 25,965,112 | 1.00 | % | ||||||||
Union Pacific Corp. | 234,348 | 22,349,767 | 0.86 | % | ||||||||
Verisk Analytics, Inc. (1) | 274,216 | 19,951,956 | 0.77 | % | ||||||||
Other Securities (1) | 1,968,301 | 136,405,221 | 5.27 | % | ||||||||
Total Industrials | 228,538,950 | 8.83 | % | |||||||||
Information Technology | ||||||||||||
Adobe Systems, Inc. (1) | 226,658 | 18,361,565 | 0.71 | % | ||||||||
Apple, Inc. | 677,568 | 84,983,966 | 3.28 | % | ||||||||
Automatic Data Processing, Inc. | 271,289 | 21,765,516 | 0.84 | % | ||||||||
Cisco Systems, Inc. | 647,100 | 17,769,366 | 0.69 | % | ||||||||
EMC Corp. | 737,101 | 19,452,095 | 0.75 | % | ||||||||
Facebook, Inc. (1) | 410,223 | 35,182,776 | 1.36 | % | ||||||||
Google, Inc. - Class A (1) | 127,057 | 68,615,862 | 2.65 | % | ||||||||
Google, Inc. - Class C (1) | 73,818 | 38,423,007 | 1.49 | % | ||||||||
Linkedin Corp. (1) | 140,580 | 29,048,045 | 1.12 | % | ||||||||
Mastercard, Inc. | 593,025 | 55,435,977 | 2.14 | % | ||||||||
Microsoft Corp. | 420,375 | 18,559,556 | 0.72 | % | ||||||||
Red Hat, Inc. (1) | 542,213 | 41,170,233 | 1.59 | % | ||||||||
Salesforce.com, Inc. (1) | 365,897 | 25,477,408 | 0.98 | % | ||||||||
SAP SE–ADR | 304,910 | 21,413,829 | 0.83 | % | ||||||||
Visa, Inc. | 565,269 | 37,957,813 | 1.47 | % | ||||||||
Other Securities (1) | 4,577,720 | 186,929,632 | 7.22 | % | ||||||||
Total Information Technology | 720,546,646 | 27.84 | % | |||||||||
Materials | ||||||||||||
Ecolab, Inc. | 232,562 | 26,295,785 | 1.02 | % | ||||||||
Monsanto Co. | 357,215 | 38,075,547 | 1.47 | % | ||||||||
Other Securities (1) | 212,371 | 16,792,929 | 0.65 | % | ||||||||
Total Materials | 81,164,261 | 3.14 | % | |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 199,792 | 16,479,106 | 0.64 | % | ||||||||
Total Telecommunication Services | 16,479,106 | 0.64 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 3,171 | 112,379 | 0.00 | %(2) | ||||||||
Total Utilities | 112,379 | 0.00 | %(2) | |||||||||
Total Common Stocks | $ | 2,493,428,355 | 96.36 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 17 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Fund, 0.01% | 44,921,518 | $ | 44,921,518 | 1.74 | % | |||||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 44,921,519 | 44,921,519 | 1.74 | % | ||||||||
Total Short-Term Investments |
| $ | 89,843,037 | 3.48 | % | |||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 2,583,271,392 | 99.84 | % | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 4,030,598 | 0.16 | % | ||||||||
TOTAL NET ASSETS |
| $ | 2,587,301,990 | 100.00 | % |
Open Futures Contracts
Number | Description | Settlement Month | Notional Amount | Value | Unrealized Depreciation | |||||||||||
5 | E-Mini S&P 500 Index Futures | Sep. 2015 | $ | 522,817 | $ | 513,600 | $ | (9,217 | ) | |||||||
2 | E-Mini NASDAQ 100 Index Futures | Sep. 2015 | 177,025 | 175,610 | (1,415 | ) | ||||||||||
|
| |||||||||||||||
$ | (10,632 | ) | ||||||||||||||
|
|
ADR—American Depository Receipt
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Amount calculated is less than 0.005% |
The accompanying notes are an integral part of these financial statements.
18 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Value Fund
Portfolio Composition
Investments by Sector as of June 30, 2015
(As a Percentage of Total Investments)
Annual Report • June 30, 2015 | 19 |
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2015
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | �� | |||||||||||
McDonald’s Corp. | 151,396 | $ | 14,393,218 | 0.67 | % | |||||||
Nike, Inc. | 155,222 | 16,767,080 | 0.78 | % | ||||||||
TJX Companies, Inc. | 270,527 | 17,900,772 | 0.83 | % | ||||||||
Other Securities (1) | 2,968,653 | 162,843,069 | 7.58 | % | ||||||||
Total Consumer Discretionary | 211,904,139 | 9.86 | % | |||||||||
Consumer Staples | ||||||||||||
Coca Cola Co. | 413,171 | 16,208,698 | 0.75 | % | ||||||||
CVS Health Corp. | 206,291 | 21,635,800 | 1.01 | % | ||||||||
Procter & Gamble Co. | 199,187 | 15,584,391 | 0.72 | % | ||||||||
Wal-Mart Stores, Inc. | 342,182 | 24,270,969 | 1.13 | % | ||||||||
Other Securities (1) | 1,197,955 | 93,291,272 | 4.34 | % | ||||||||
Total Consumer Staples | 170,991,130 | 7.95 | % | |||||||||
Energy | ||||||||||||
Apache Corp. | 281,005 | 16,194,318 | 0.75 | % | ||||||||
Chevron Corp. | 267,087 | 25,765,883 | 1.20 | % | ||||||||
Devon Energy Corp. | 332,318 | 19,769,598 | 0.92 | % | ||||||||
Exxon Mobil Corp. | 264,215 | 21,982,688 | 1.02 | % | ||||||||
Phillips 66 | 247,276 | 19,920,555 | 0.93 | % | ||||||||
Other Securities (1) | 3,527,990 | 66,930,862 | 3.11 | % | ||||||||
Total Energy | 170,563,904 | 7.93 | % | |||||||||
Financials | ||||||||||||
ACE Ltd | 173,707 | 17,662,528 | 0.82 | % | ||||||||
Alleghany Corp. (1) | 38,773 | 18,175,231 | 0.85 | % | ||||||||
Bank of America Corp. | 1,068,660 | 18,188,593 | 0.85 | % | ||||||||
Berkshire Hathaway, Inc.–Class B (1) | 133,155 | 18,123,727 | 0.84 | % | ||||||||
Capital One Financial Corp. | 212,350 | 18,680,430 | 0.87 | % | ||||||||
Citigroup, Inc. | 649,775 | 35,893,571 | 1.67 | % | ||||||||
JPMorgan Chase & Co. | 296,441 | 20,086,842 | 0.93 | % | ||||||||
Marsh & McLennan Companies, Inc. | 253,730 | 14,386,491 | 0.67 | % | ||||||||
PNC Financial Services Group, Inc. | 265,753 | 25,419,274 | 1.18 | % | ||||||||
The Chubb Corp. | 266,068 | 25,313,710 | 1.18 | % | ||||||||
Wells Fargo & Co. | 594,549 | 33,437,436 | 1.56 | % | ||||||||
Other Securities (1) | 7,435,756 | 221,940,203 | 10.32 | % | ||||||||
Total Financials | 467,308,036 | 21.74 | % | |||||||||
Health Care | ||||||||||||
Cardinal Health, Inc. | 310,406 | 25,965,462 | 1.21 | % | ||||||||
Cigna Corporation | 130,634 | 21,162,708 | 0.98 | % | ||||||||
Johnson & Johnson | 295,159 | 28,766,196 | 1.34 | % | ||||||||
Medtronic Plc | 403,925 | 29,930,843 | 1.39 | % | ||||||||
Merck & Co., Inc. | 512,291 | 29,164,727 | 1.36 | % | ||||||||
Pfizer, Inc. | 736,543 | 24,696,287 | 1.15 | % | ||||||||
UnitedHealth Group, Inc. | 234,573 | 28,617,906 | 1.33 | % | ||||||||
Other Securities (1) | 1,122,197 | 74,836,790 | 3.48 | % | ||||||||
Total Health Care | 263,140,919 | 12.24 | % |
The accompanying notes are an integral part of these financial statements.
20 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
General Dynamics Corp. | 123,511 | $ | 17,500,274 | 0.81 | % | |||||||
Honeywell International, Inc. | 239,932 | 24,465,866 | 1.14 | % | ||||||||
Jacobs Engineering Group, Inc.(1) | 490,519 | 19,924,882 | 0.93 | % | ||||||||
Joy Global, Inc. | 654,017 | 23,675,415 | 1.10 | % | ||||||||
Lockheed Martin Corp. | 86,160 | 16,017,144 | 0.74 | % | ||||||||
Union Pacific Corp. | 221,233 | 21,098,991 | 0.98 | % | ||||||||
United Parcel Service, Inc. | 209,815 | 20,333,172 | 0.95 | % | ||||||||
United Technologies Corp. | 153,350 | 17,011,116 | 0.79 | % | ||||||||
Other Securities (1) | 2,455,100 | 147,925,473 | 6.88 | % | ||||||||
Total Industrials | 307,952,333 | 14.32 | % | |||||||||
Information Technology | ||||||||||||
Accenture Plc | 171,436 | 16,591,576 | 0.77 | % | ||||||||
Automatic Data Processing, Inc. | 184,253 | 14,782,618 | 0.69 | % | ||||||||
Avnet, Inc. | 438,922 | 18,044,083 | 0.84 | % | ||||||||
Cisco Systems, Inc. | 582,817 | 16,004,155 | 0.74 | % | ||||||||
EMC Corp. | 584,113 | 15,414,742 | 0.72 | % | ||||||||
Google, Inc.–Class C (1) | 30,153 | 15,694,938 | 0.73 | % | ||||||||
Microsoft Corp. | 754,913 | 33,329,409 | 1.55 | % | ||||||||
Oracle Corp. | 1,064,051 | 42,881,255 | 1.99 | % | ||||||||
Samsung Electronic Co. Ltd | 22,952 | 26,041,023 | 1.21 | % | ||||||||
Other Securities (1) | 2,160,283 | 93,427,289 | 4.34 | % | ||||||||
Total Information Technology | 292,211,088 | 13.58 | % | |||||||||
Materials | ||||||||||||
Goldcorp, Inc. | 1,252,485 | 20,290,257 | 0.94 | % | ||||||||
Praxair, Inc. | 133,171 | 15,920,593 | 0.74 | % | ||||||||
The Mosaic Co. | 314,575 | 14,737,839 | 0.69 | % | ||||||||
Other Securities (1) | 5,387,555 | 68,013,692 | 3.16 | % | ||||||||
Total Materials | 118,962,381 | 5.53 | % | |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 912,113 | 32,005,381 | 1.49 | % | ||||||||
Total Telecommunication Services | 32,005,381 | 1.49 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 281,008 | 11,938,730 | 0.56 | % | ||||||||
Total Utilities | 11,938,730 | 0.56 | % | |||||||||
Total Common Stocks | $ | 2,046,978,041 | 95.20 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 21 |
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Fund, 0.01% | 48,316,296 | $ | 48,316,296 | 2.25 | % | |||||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 48,316,296 | 48,316,296 | 2.25 | % | ||||||||
Total Short-Term Investments | $ | 96,632,592 | 4.50 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES | $ | 2,143,610,633 | 99.70 | % | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 6,449,488 | 0.30 | % | ||||||||
TOTAL NET ASSETS |
| $ | 2,150,060,121 | 100.00 | % |
Open Futures Contracts
Number | Description | Settlement Month | Notional Amount | Value | Unrealized (Depreciation) | |||||||||||
9 | E-Mini S&P 500 Index Futures | Sep. 2015 | $ | 944,596 | $ | 924,480 | $ | (20,116 | ) | |||||||
|
| |||||||||||||||
$ | (20,116 | ) | ||||||||||||||
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
The accompanying notes are an integral part of these financial statements.
22 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Portfolio Composition
Investments by Sector as of June 30, 2015
(As a Percentage of Total Investments)
Annual Report • June 30, 2015 | 23 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2015
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Advance Auto Parts, Inc. | 74,220 | $ | 11,822,504 | 0.83 | % | |||||||
CarMax, Inc. (1) | 124,280 | 8,228,579 | 0.58 | % | ||||||||
Panera Bread Co. (1) | 51,610 | 9,019,880 | 0.63 | % | ||||||||
Polaris Industries, Inc. | 77,249 | 11,441,349 | 0.80 | % | ||||||||
Ross Stores, Inc. | 190,080 | 9,239,789 | 0.65 | % | ||||||||
Tractor Supply Co. | 124,280 | 11,177,743 | 0.78 | % | ||||||||
Other Securities (1) | 3,902,380 | 168,268,075 | 11.82 | % | ||||||||
Total Consumer Discretionary | 229,197,919 | 16.09 | % | |||||||||
Consumer Staples | ||||||||||||
Casey’s General Stores, Inc. | 135,305 | 12,954,101 | 0.91 | % | ||||||||
Flowers Foods, Inc. | 599,256 | 12,674,264 | 0.89 | % | ||||||||
McCormick & Co., Inc. | 165,000 | 13,356,750 | 0.94 | % | ||||||||
The J. M. Smucker Co. | 101,000 | 10,949,410 | 0.77 | % | ||||||||
Other Securities (1) | 518,345 | 24,464,853 | 1.71 | % | ||||||||
Total Consumer Staples | 74,399,378 | 5.22 | % | |||||||||
Energy | ||||||||||||
Core Laboratories | 114,220 | 13,025,649 | 0.91 | % | ||||||||
Other Securities (1) | 2,013,053 | 37,091,559 | 2.61 | % | ||||||||
Total Energy | 50,117,208 | 3.52 | % | |||||||||
Financials | ||||||||||||
Affiliated Managers Group, Inc. (1) | 40,080 | 8,761,488 | 0.62 | % | ||||||||
Allied World Assurance Co. Holdings, AG. | 223,500 | 9,659,670 | 0.68 | % | ||||||||
Arthur J. Gallagher & Co. | 205,604 | 9,725,069 | 0.68 | % | ||||||||
Commerce Bancshares, Inc. | 194,000 | 9,073,380 | 0.64 | % | ||||||||
Cullen/Frost Bankers, Inc. | 130,500 | 10,254,690 | 0.72 | % | ||||||||
Endurance Specialty Holdings Ltd | 150,000 | 9,855,000 | 0.69 | % | ||||||||
Jones Lang LaSalle, Inc. | 68,864 | 11,775,744 | 0.83 | % | ||||||||
Northern Trust Corp. | 127,000 | 9,710,420 | 0.68 | % | ||||||||
Prosperity Bancshares, Inc. | 147,500 | 8,516,650 | 0.60 | % | ||||||||
Signature Bank (1) | 67,124 | 9,826,282 | 0.69 | % | ||||||||
Other Securities (1) | 2,055,782 | 81,022,991 | 5.68 | % | ||||||||
Total Financials | 178,181,384 | 12.51 | % | |||||||||
Health Care | ||||||||||||
Alkermes Plc (1) | 152,236 | 9,794,864 | 0.69 | % | ||||||||
BioMarin Pharmaceutical, Inc.(1) | 65,700 | 8,986,446 | 0.63 | % | ||||||||
Centene Corp. (1) | 113,860 | 9,154,344 | 0.64 | % | ||||||||
MEDNAX, Inc. (1) | 129,946 | 9,630,298 | 0.68 | % | ||||||||
Mettler-Toledo International, Inc. (1) | 47,528 | 16,228,911 | 1.14 | % | ||||||||
PAREXEL International Corp. (1) | 164,470 | 10,577,066 | 0.74 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (1) | 16,740 | 8,539,576 | 0.60 | % | ||||||||
Sirona Dental Systems, Inc. (1) | 84,540 | 8,489,507 | 0.60 | % | ||||||||
St. Jude Medical, Inc. | 198,500 | 14,504,395 | 1.02 | % | ||||||||
The Cooper Companies, Inc. | 52,893 | 9,413,367 | 0.66 | % |
The accompanying notes are an integral part of these financial statements.
24 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Health Care – (continued) | ||||||||||||
Other Securities (1) | 3,703,784 | $ | 155,261,760 | 10.90 | % | |||||||
Total Health Care | 260,580,534 | 18.30 | % | |||||||||
Industrials | ||||||||||||
Dover Corp. | 136,500 | 9,579,570 | 0.67 | % | ||||||||
IDEX Corp. | 129,568 | 10,181,453 | 0.71 | % | ||||||||
Rockwell Automation, Inc. | 164,880 | 20,550,643 | 1.44 | % | ||||||||
W.W. Grainger, Inc. | 35,540 | 8,410,541 | 0.59 | % | ||||||||
Wabco Holdings, Inc. (1) | 74,559 | 9,224,439 | 0.65 | % | ||||||||
Other Securities (1) | 3,109,264 | 143,021,606 | 10.04 | % | ||||||||
Total Industrials | 200,968,252 | 14.10 | % | |||||||||
Information Technology | ||||||||||||
Alliance Data Systems Corp. (1) | 35,540 | 10,375,548 | 0.73 | % | ||||||||
ANSYS, Inc. (1) | 99,709 | 9,097,449 | 0.64 | % | ||||||||
Aspen Technology, Inc. (1) | 205,641 | 9,366,948 | 0.66 | % | ||||||||
Citrix Systems, Inc. (1) | 133,500 | 9,366,360 | 0.66 | % | ||||||||
FEI Co. | 124,816 | 10,350,991 | 0.73 | % | ||||||||
Fortinet, Inc. (1) | 412,254 | 17,038,458 | 1.20 | % | ||||||||
MercadoLibre, Inc. | 61,160 | 8,666,372 | 0.61 | % | ||||||||
PTC, Inc. (1) | 269,689 | 11,062,643 | 0.78 | % | ||||||||
Red Hat, Inc. (1) | 163,000 | 12,376,590 | 0.87 | % | ||||||||
SolarWinds, Inc. (1) | 405,831 | 18,720,984 | 1.31 | % | ||||||||
Splunk, Inc. (1) | 164,199 | 11,431,534 | 0.80 | % | ||||||||
WEX, Inc. (1) | 103,799 | 11,829,972 | 0.83 | % | ||||||||
Workday, Inc. (1) | 115,300 | 8,807,767 | 0.62 | % | ||||||||
Other Securities (1) | 4,181,337 | 144,939,114 | 10.17 | % | ||||||||
Total Information Technology | 293,430,730 | 20.61 | % | |||||||||
Materials | ||||||||||||
Various Securities (1) | 985,010 | 49,285,374 | 3.46 | % | ||||||||
Total Materials | 49,285,374 | 3.46 | % | |||||||||
Telecommunication Services | ||||||||||||
SBA Communications Corp. (1) | 93,490 | 10,748,545 | 0.75 | % | ||||||||
Other Securities (1) | 100,531 | 1,817,794 | 0.13 | % | ||||||||
Total Telecommunication Services | 12,566,339 | 0.88 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 54,406 | 2,266,826 | 0.16 | % | ||||||||
Total Utilities | 2,266,826 | 0.16 | % | |||||||||
Total Common Stocks | $ | 1,350,993,944 | 94.85 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 25 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Fund, 0.01% | 33,541,668 | $ | 33,541,668 | 2.36 | % | |||||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 33,479,623 | 33,479,623 | 2.35 | % | ||||||||
Total Short-Term Investments | $ | 67,021,291 | 4.71 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES | $ | 1,418,015,235 | 99.56 | % | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 6,235,711 | 0.44 | % | |||||||||
TOTAL NET ASSETS | $ | 1,424,250,946 | 100.00 | % |
Open Futures Contracts
Number | Description | Settlement Month | Notional Amount | Value | Unrealized Depreciation | |||||||||||
12 | E-Mini S&P MidCap 400 Index Futures | Sep. 2015 | $ | 1,837,836 | $ | 1,797,720 | $ | (40,116 | ) | |||||||
26 | E-Mini NASDAQ 100 Index Futures | Sep. 2015 | 2,336,902 | 2,282,930 | (53,972 | ) | ||||||||||
87 | Russell 2000 Index Mini Futures | Sep. 2015 | 11,023,235 | 10,878,480 | (144,755 | ) | ||||||||||
|
| |||||||||||||||
$ | (238,843 | ) | ||||||||||||||
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
The accompanying notes are an integral part of these financial statements.
26 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Portfolio Composition
Investments by Sector as of June 30, 2015
(As a Percentage of Total Investments)
Annual Report • June 30, 2015 | 27 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2015
Shares | Value | Percentage of Net Assets | ||||||||
COMMON STOCKS | ||||||||||
Consumer Discretionary | ||||||||||
Delphi Automotive Plc | 54,625 | $ | 4,648,041 | 0.52 | % | |||||
Gildan Activewear, Inc. | 160,950 | 5,349,978 | 0.60 | % | ||||||
HSN, Inc. | 62,100 | 4,358,799 | 0.49 | % | ||||||
Jarden Corp. (1) | 116,725 | 6,040,519 | 0.68 | % | ||||||
Lear Corp. | 54,362 | 6,102,678 | 0.69 | % | ||||||
Men’s Wearhouse, Inc. | 130,810 | 8,380,997 | 0.94 | % | ||||||
PVH Corp. | 43,575 | 5,019,840 | 0.57 | % | ||||||
Servicemaster Global Holdings, Inc. (1) | 111,525 | 4,033,859 | 0.45 | % | ||||||
Tenneco, Inc. (1) | 98,341 | 5,648,707 | 0.64 | % | ||||||
Other Securities (1) | 1,508,865 | 67,006,411 | 7.56 | % | ||||||
Total Consumer Discretionary | 116,589,829 | 13.14 | % | |||||||
Consumer Staples | ||||||||||
Rite Aid Corp. (1) | 572,104 | 4,777,068 | 0.54 | % | ||||||
Other Securities (1) | 387,792 | 19,407,439 | 2.19 | % | ||||||
Total Consumer Staples | 24,184,507 | 2.73 | % | |||||||
Energy | ||||||||||
Various Securities (1) | 1,301,075 | 34,827,404 | 3.93 | % | ||||||
Total Energy | 34,827,404 | 3.93 | % | |||||||
Financials | ||||||||||
Allstate Corp. | 62,175 | 4,033,292 | 0.46 | % | ||||||
Ares Capital Corp. | 359,275 | 5,913,667 | 0.67 | % | ||||||
Arthur J. Gallagher & Co. | 107,695 | 5,093,974 | 0.57 | % | ||||||
BB&T Corp. | 109,938 | 4,431,601 | 0.50 | % | ||||||
Boston Properties, Inc. | 35,166 | 4,256,493 | 0.48 | % | ||||||
CIT Group, Inc. | 111,525 | 5,184,797 | 0.58 | % | ||||||
First American Financial Corp. | 137,074 | 5,100,524 | 0.57 | % | ||||||
Horace Mann Educators Corp. | 110,391 | 4,016,025 | 0.45 | % | ||||||
Investors Bancorp, Inc. | 601,089 | 7,393,395 | 0.83 | % | ||||||
NASDAQ OMX Group, Inc. | 106,094 | 5,178,448 | 0.58 | % | ||||||
PacWest Bancorp | 168,649 | 7,886,027 | 0.89 | % | ||||||
Raymond James Financial, Inc. | 82,038 | 4,887,824 | 0.55 | % | ||||||
Reinsurance Group of America, Inc. | 92,981 | 8,821,107 | 0.99 | % | ||||||
SEI Investments Co. | 150,162 | 7,362,443 | 0.83 | % | ||||||
Symetra Financial Corp. | 169,517 | 4,097,226 | 0.46 | % | ||||||
TD Ameritrade Holding Corp. | 146,030 | 5,376,825 | 0.61 | % | ||||||
Other Securities (1) | 4,820,604 | 155,316,264 | 17.51 | % | ||||||
Total Financials | 244,349,932 | 27.53 | % | |||||||
Health Care | ||||||||||
AMSURG Corp. (1) | 95,747 | 6,697,503 | 0.75 | % | ||||||
Analogic Corp. | 63,546 | 5,013,779 | 0.57 | % | ||||||
Catalent, Inc. (1) | 196,375 | 5,759,679 | 0.65 | % | ||||||
Community Health Systems, Inc. (1) | 95,118 | 5,989,580 | 0.68 | % | ||||||
HCA Holdings, Inc. (1) | 84,525 | 7,668,108 | 0.86 | % |
The accompanying notes are an integral part of these financial statements.
28 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Health Care – (continued) | ||||||||||||
VWR Corp. (1) | 210,326 | $ | 5,622,014 | 0.63 | % | |||||||
Other Securities (1) | 884,020 | 46,566,914 | 5.25 | % | ||||||||
Total Health Care | 83,317,577 | 9.39 | % | |||||||||
Industrials | ||||||||||||
HD Supply Holdings, Inc. (1) | 148,250 | 5,215,435 | 0.59 | % | ||||||||
Robert Half International, Inc. | 96,253 | 5,342,042 | 0.60 | % | ||||||||
Wabco Holdings, Inc. (1) | 52,492 | 6,494,310 | 0.73 | % | ||||||||
Other Securities (1) | 2,344,776 | 101,076,086 | 11.40 | % | ||||||||
Total Industrials | 118,127,873 | 13.32 | % | |||||||||
Information Technology | ||||||||||||
Activision Blizzard, Inc. | 176,461 | 4,272,121 | 0.48 | % | ||||||||
Amdocs Ltd | 82,942 | 4,527,804 | 0.51 | % | ||||||||
Avago Technologies Ltd | 59,101 | 7,856,296 | 0.88 | % | ||||||||
CommScope Holding Company, Inc. (1) | 160,023 | 4,882,302 | 0.55 | % | ||||||||
Fiserv, Inc. (1) | 58,525 | 4,847,626 | 0.55 | % | ||||||||
Global Payments, Inc. | 62,178 | 6,432,314 | 0.73 | % | ||||||||
NCR Corp. (1) | 161,234 | 4,853,143 | 0.55 | % | ||||||||
Sabre Corp. | 185,325 | 4,410,735 | 0.50 | % | ||||||||
Total Systems Services, Inc. | 162,574 | 6,790,716 | 0.77 | % | ||||||||
Western Digital Corp. | 61,677 | 4,836,710 | 0.55 | % | ||||||||
Other Securities (1) | 2,745,977 | 87,224,524 | 9.82 | % | ||||||||
Total Information Technology | 140,934,291 | 15.89 | % | |||||||||
Materials | ||||||||||||
Avery Dennison Corp. | 110,081 | 6,708,336 | 0.76 | % | ||||||||
Crown Holdings, Inc. (1) | 184,261 | 9,749,250 | 1.10 | % | ||||||||
Graphic Packaging Holding Co. | 339,998 | 4,736,172 | 0.53 | % | ||||||||
Packaging Corporation of America | 71,165 | 4,447,101 | 0.50 | % | ||||||||
Rock-Tenn Co. | 79,674 | 4,796,375 | 0.54 | % | ||||||||
Other Securities (1) | 1,234,660 | 37,433,554 | 4.21 | % | ||||||||
Total Materials | 67,870,788 | 7.64 | % | |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 130,362 | 3,034,595 | 0.34 | % | ||||||||
Total Telecommunication Services | 3,034,595 | 0.34 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 898,728 | 31,367,216 | 3.54 | % | ||||||||
Total Utilities | 31,367,216 | 3.54 | % | |||||||||
Total Common Stocks | $ | 864,604,012 | 97.45 | % | ||||||||
Contracts | Value | Percentage of Net Assets | ||||||||||
RIGHTS |
| |||||||||||
Health Care | ||||||||||||
BioScrip, Inc. (2) | 8 | $ | — | 0.00 | % | |||||||
Total Rights | $ | — | 0.00 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 29 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2015 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Fund, 0.01% | 10,622,857 | $ | 10,622,857 | 1.20 | % | |||||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 10,619,438 | 10,619,438 | 1.20 | % | ||||||||
Total Short-Term Investments |
| $ | 21,242,295 | 2.40 | % | |||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 885,846,307 | 99.85 | % | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 1,288,584 | 0.15 | % | ||||||||
TOTAL NET ASSETS |
| $ | 887,134,891 | 100.00 | % |
Open Futures Contracts
Number of | Description | Settlement Month | Notional Amount | Value | Unrealized (Depreciation) | |||||||||||
2 | E-Mini S&P MidCap 400 Index Futures | Sep. 2015 | $ | 305,964 | $ | 299,620 | $ | (6,344 | ) | |||||||
|
| |||||||||||||||
$ | (6,344 | ) | ||||||||||||||
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | The price for this security was derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $0 or 0.00% of the Fund’s net assets and is classified as a Level 2 security. |
The accompanying notes are an integral part of these financial statements.
30 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2015
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund | Bridge Builder Large Cap Value Fund | Bridge Builder Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at value (1) | $ | 8,841,824,581 | $ | 2,583,271,392 | $ | 2,143,610,633 | $ | 1,418,015,235 | $ | 885,846,307 | ||||||||||
Cash | 112,211 | 136 | 84,250 | 127,026 | 211,742 | |||||||||||||||
Receivable for investments sold | 179,680,010 | 37,338,170 | 31,168,118 | 76,471,545 | 17,999,292 | |||||||||||||||
Receivable for fund shares sold | 24,291,589 | 6,832,661 | 6,765,428 | 4,459,003 | 1,201,493 | |||||||||||||||
Dividend and interest receivable | 43,878,818 | 1,806,069 | 2,870,108 | 714,134 | 890,517 | |||||||||||||||
Tax reclaim receivable | — | 42,477 | 134,448 | 9,689 | — | |||||||||||||||
Variation margin on futures | — | 1,834 | 1,755 | 147,774 | 360 | |||||||||||||||
Deposits at broker for futures | — | 47,300 | 45,540 | 707,520 | 16,000 | |||||||||||||||
Prepaid expenses and other assets | 248,417 | 356,161 | 352,219 | 198,361 | 109,418 | |||||||||||||||
Total Assets | $ | 9,090,035,626 | $ | 2,629,696,200 | $ | 2,185,032,499 | $ | 1,500,850,287 | $ | 906,275,129 | ||||||||||
Liabilities: | ||||||||||||||||||||
Payable for investments purchased | $ | 468,298,496 | $ | 39,026,827 | $ | 31,911,654 | $ | 74,300,215 | $ | 17,585,261 | ||||||||||
Payable for fund shares redeemed | 7,989,156 | 2,480,805 | 2,295,032 | 1,679,736 | 1,069,362 | |||||||||||||||
Variation margin on futures contracts | 46,586 | — | — | — | — | |||||||||||||||
Payable to Adviser | 823,880 | 573,613 | 501,349 | 419,739 | 336,695 | |||||||||||||||
Payable to Trustees | 53,478 | 10,246 | 10,479 | 4,375 | 4,649 | |||||||||||||||
Accrued expenses and other liabilities | 1,171,646 | 302,719 | 253,864 | 195,276 | 144,271 | |||||||||||||||
Total Liabilities | $ | 478,383,242 | $ | 42,394,210 | $ | 34,972,378 | $ | 76,599,341 | $ | 19,140,238 | ||||||||||
Net Assets | $ | 8,611,652,384 | $ | 2,587,301,990 | $ | 2,150,060,121 | $ | 1,424,250,946 | $ | 887,134,891 | ||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Capital stock | $ | 8,543,206,435 | $ | 2,618,289,191 | $ | 2,209,852,538 | $ | 1,421,694,450 | $ | 898,216,780 | ||||||||||
Undistributed net investment income | 679,524 | 3,038,582 | 57,233 | 971,870 | 1,408,900 | |||||||||||||||
Accumulated net realized gain/(loss) | (3,822,744 | ) | (4,089,740 | ) | 566,150 | (2,893,285 | ) | 118,907 | ||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | 71,513,245 | (29,925,411 | ) | (60,396,066 | ) | 4,716,754 | (12,603,352 | ) | ||||||||||||
Foreign currency translation | — | — | 382 | — | — | |||||||||||||||
Futures contracts | 75,924 | (10,632 | ) | (20,116 | ) | (238,843 | ) | (6,344 | ) | |||||||||||
Net Assets | $ | 8,611,652,384 | $ | 2,587,301,990 | $ | 2,150,060,121 | $ | 1,424,250,946 | $ | 887,134,891 | ||||||||||
Shares of beneficial interest outstanding (unlimited shares without par value authorized) | 852,228,279 | 263,257,032 | 219,174,548 | 143,016,696 | 89,850,507 | |||||||||||||||
Net Assets | $ | 8,611,652,384 | $ | 2,587,301,990 | $ | 2,150,060,121 | $ | 1,424,250,946 | $ | 887,134,891 | ||||||||||
Net asset value price per share | $ | 10.10 | $ | 9.83 | $ | 9.81 | $ | 9.96 | $ | 9.87 | ||||||||||
(1) Cost of investments | $ | 8,770,311,336 | $ | 2,613,196,803 | $ | 2,204,006,699 | $ | 1,413,298,481 | $ | 898,449,659 |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 31 |
Table of Contents
Bridge Builder Mutual Funds
Periods Ended June 30, 2015
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund(1) | Bridge Builder Large Cap Value Fund(1) | Bridge Builder Growth Fund(1) | Bridge Builder Small/Mid Cap Value Fund(1) | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | — | $ | 4,386,988 | $ | 7,465,131 | $ | 1,892,176 | $ | 2,119,369 | ||||||||||
Less: Foreign taxes withheld and issuance fees | — | (68,935 | ) | (124,955 | ) | (9,776 | ) | (1,771 | ) | |||||||||||
Interest | 184,187,189 | 824 | 954 | 679 | 267 | |||||||||||||||
Other income | 22,680 | — | — | — | — | |||||||||||||||
Total Investment Income | $ | 184,209,869 | $ | 4,318,877 | $ | 7,341,130 | $ | 1,883,079 | $ | 2,117,865 | ||||||||||
Expenses: | ||||||||||||||||||||
Investment advisory fee | 25,071,158 | 1,519,335 | 1,253,220 | 1,189,530 | 729,560 | |||||||||||||||
Professional fees | 616,924 | 57,143 | 51,786 | 45,899 | 44,208 | |||||||||||||||
Administration fee | 1,225,355 | 63,346 | 51,271 | 39,306 | 33,191 | |||||||||||||||
Fund accounting fees | 1,052,726 | 11,584 | 11,584 | 23,303 | 23,358 | |||||||||||||||
Transfer agent fees and expenses | 33,994 | 3,904 | 3,904 | 3,072 | 3,072 | |||||||||||||||
Trustee fees and expenses | 344,884 | 12,992 | 12,992 | 6,528 | 6,528 | |||||||||||||||
Printing and mailing expense | 127,679 | 14,452 | 12,004 | 7,925 | 4,972 | |||||||||||||||
Custody fees | 237,159 | 4,608 | 4,608 | 11,955 | 11,576 | |||||||||||||||
Insurance expense | 137,452 | — | — | — | — | |||||||||||||||
Registration fees | 948,953 | 187,157 | 156,053 | 104,224 | 66,694 | |||||||||||||||
Offering costs | 31,345 | 11,904 | 11,904 | 9,280 | 9,280 | |||||||||||||||
Other expenses | 142,676 | 577 | 576 | 320 | 320 | |||||||||||||||
Total expenses before fee waivers | 29,970,305 | 1,887,002 | 1,569,902 | 1,441,342 | 932,759 | |||||||||||||||
Fee waivers by Adviser | (15,866,563 | ) | (594,283 | ) | (433,586 | ) | (520,853 | ) | (213,565 | ) | ||||||||||
Net expenses | 14,103,742 | 1,292,719 | 1,136,316 | 920,489 | 719,194 | |||||||||||||||
Net Investment Income | $ | 170,106,127 | $ | 3,026,158 | $ | 6,204,814 | $ | 962,590 | $ | 1,398,671 | ||||||||||
Realized and Unrealized Gain/(Loss): | ||||||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||||||
Investments | 24,981,827 | (4,107,903 | ) | 555,985 | (3,042,955 | ) | 140,673 | |||||||||||||
Foreign currency transactions | — | 520 | (17,017 | ) | — | — | ||||||||||||||
Futures contracts | (3,680,600 | ) | 18,163 | 10,165 | 149,670 | (20,817 | ) | |||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||||||
Investments | (50,411,059 | ) | (29,925,411 | ) | (60,396,464 | ) | 4,716,754 | (12,603,352 | ) | |||||||||||
Foreign currency transactions | — | — | 780 | — | — | |||||||||||||||
Futures contracts | 112,136 | (10,632 | ) | (20,116 | ) | (238,843 | ) | (6,344 | ) | |||||||||||
Net realized and unrealized gain/(loss) on investments | (28,997,696 | ) | (34,025,263 | ) | (59,866,667 | ) | 1,584,626 | (12,489,840 | ) | |||||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 141,108,431 | $ | (30,999,105 | ) | $ | (53,661,853 | ) | $ | 2,547,216 | $ | (11,091,169 | ) |
(1) | Since inception of Fund on April 27, 2015 |
The accompanying notes are an integral part of these financial statements.
32 | Annual Report • June 30, 2015 |
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Bridge Builder Mutual Funds
Statements of Changes in Net Assets
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund | Bridge Builder Large Cap Value Fund | Bridge Builder Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||||
Year Ended June 30, 2015 | From (Inception Date) to June 30, 2014 | From April 27, 2015 (Inception Date) to June 30, 2015 | From April 27, 2015 (Inception Date) to June 30, 2015 | From April 27, 2015 (Inception Date) to June 30, 2015 | From April 27, 2015 (Inception Date) to June 30, 2015 | |||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||
Net investment income | $ | 170,106,127 | $ | 80,876,478 | $ | 3,026,158 | $ | 6,204,814 | $ | 962,590 | $ | 1,398,671 | ||||||||||||||
Net realized gain/(loss) on investments, futures contracts and foreign currency transactions | 21,301,227 | 307,101 | (4,089,220 | ) | 549,133 | (2,893,285 | ) | 119,856 | ||||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts and foreign currency transactions | (50,298,923 | ) | 121,888,092 | (29,936,043 | ) | (60,415,800 | ) | 4,477,911 | (12,609,696 | ) | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 141,108,431 | 203,071,671 | (30,999,105 | ) | (53,661,853 | ) | 2,547,216 | (11,091,169 | ) | |||||||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||||||||||||
Net investment income | (186,830,832 | ) | (88,893,387 | ) | — | (6,142,468 | ) | — | — | |||||||||||||||||
Total dividends and distributions | (186,830,832 | ) | (88,893,387 | ) | — | (6,142,468 | ) | — | — | |||||||||||||||||
Fund Share Transactions: | ||||||||||||||||||||||||||
Proceeds from shares sold | $ | 2,206,543,601 | $ | 7,098,256,908 | $ | 2,680,798,759 | $ | 2,250,379,331 | $ | 1,453,813,530 | $ | 919,471,124 | ||||||||||||||
Shares issued to holders in reinvestment of dividends | 186,830,832 | 88,893,387 | — | 6,142,468 | — | — | ||||||||||||||||||||
Cost of shares redeemed | (740,738,260 | ) | (296,589,967 | ) | (62,497,664 | ) | (46,657,357 | ) | (32,109,800 | ) | (21,245,064 | ) | ||||||||||||||
Net increase in net assets from capital share transactions | 1,652,636,173 | 6,890,560,328 | 2,618,301,095 | 2,209,864,442 | 1,421,703,730 | 898,226,060 | ||||||||||||||||||||
Total increase in net assets | 1,606,913,772 | 7,004,738,612 | 2,587,301,990 | 2,150,060,121 | 1,424,250,946 | 887,134,891 | ||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||
Beginning of period | $ | 7,004,738,612 | — | — | — | — | — | |||||||||||||||||||
End of period* | 8,611,652,384 | $ | 7,004,738,612 | $ | 2,587,301,990 | $ | 2,150,060,121 | $ | 1,424,250,946 | $ | 887,134,891 | |||||||||||||||
* Including undistributed net investment income of: | 679,524 | 59,753 | 3,038,582 | 57,233 | 971,870 | 1,408,900 | ||||||||||||||||||||
Change in Shares Outstanding: | ||||||||||||||||||||||||||
Shares sold | 215,737,181 | 711,450,249 | 269,523,643 | 223,189,329 | 146,219,051 | 91,964,984 | ||||||||||||||||||||
Shares issued to holders in reinvestment of dividends | 18,274,112 | 8,859,252 | — | 626,144 | — | — | ||||||||||||||||||||
Shares redeemed | (72,449,533 | ) | (29,642,982 | ) | (6,266,611 | ) | (4,640,925 | ) | (3,202,355 | ) | (2,114,477 | ) | ||||||||||||||
Net increase | 161,561,760 | 690,666,519 | 263,257,032 | 219,174,548 | 143,016,696 | 89,850,507 |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 33 |
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Bridge Builder Mutual Funds
Bridge Builder Bond Fund
Year Ended June 30, 2015 | 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 | 0.24 | 0.14 | ||||||
Net realized and unrealized gain/(loss) | (0.04 | ) | 0.15 | |||||
Total income/(loss) from operations | 0.20 | 0.29 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Dividends from net investment income | (0.24 | ) | (0.15 | ) | ||||
Change in net asset value for the period | (0.04 | ) | 0.14 | |||||
Net asset value, end of period | $ | 10.10 | $ | 10.14 | ||||
Total return | 2.01 | % | 2.91 | %(1) | ||||
Ratios / Supplemental Data | ||||||||
Net assets, end of period (millions) | $ | 8,612 | $ | 7,005 | ||||
Ratio of Net Expenses to Average Net Assets: | ||||||||
Before fee waivers | 0.38 | % | 0.40 | %(2) | ||||
After fee waivers | 0.18 | % | 0.20 | %(2) | ||||
Ratio of Net Investment Income to Average Net Assets: | ||||||||
Before fee waivers | 1.97 | % | 1.79 | %(2) | ||||
After fee waivers | 2.17 | % | 1.99 | %(2) | ||||
Portfolio turnover rate | 115 | % | 262 | %(1)(3) |
(1) | Not Annualized |
(2) | Annualized |
(3) | Excludes securities received in capital contribution in-kind. |
The accompanying notes are an integral part of these financial statements.
34 | Annual Report • June 30, 2015 |
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Bridge Builder Mutual Funds
Financial Highlights
Bridge Builder Large Cap Growth Fund
From April 27, 2015 (Inception Date) to June 30, 2015 | ||||
Per share operating performance (for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (Loss) from Operations: | ||||
Net investment income | 0.01 | |||
Net realized and unrealized gain/(loss) | (0.18 | ) | ||
Total income/(loss) from operations | (0.17 | ) | ||
Dividends and Distributions to Shareholders: | ||||
Dividends from net investment income | — | |||
Change in net asset value for the period | (0.17 | ) | ||
Net asset value, end of period | $ | 9.83 | ||
Total return | (1.70 | )%(1) | ||
Ratios / Supplemental Data | ||||
Net assets, end of period (millions) | $ | 2,587 | ||
Ratio of Net Expenses to Average Net Assets: | ||||
Before fee waivers | 0.54 | %(2) | ||
After fee waivers | 0.37 | %(2) | ||
Ratio of Net Investment Income to Average Net Assets: | ||||
Before fee waivers | 0.69 | %(2) | ||
After fee waivers | 0.86 | %(2) | ||
Portfolio turnover rate | 7 | %(1) |
(1) | Not Annualized |
(2) | Annualized |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 35 |
Table of Contents
Bridge Builder Mutual Funds
Financial Highlights
Bridge Builder Large Cap Value Fund
From April 27, 2015 (Inception Date) to June 30, 2015 | ||||
Per share operating performance (for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (Loss) from Operations: | ||||
Net investment income | 0.03 | |||
Net realized and unrealized gain/(loss) | (0.19 | ) | ||
Total income/(loss) from operations | (0.16 | ) | ||
Dividends and Distributions to Shareholders: | ||||
Dividends from net investment income | (0.03 | ) | ||
Change in net asset value for the period | (0.19 | ) | ||
Net asset value, end of period | $ | 9.81 | ||
Total return | (1.62 | )%(1) | ||
Ratios / Supplemental Data | ||||
Net assets, end of period (millions) | $ | 2,150 | ||
Ratio of Net Expenses to Average Net Assets: | ||||
Before fee waivers | 0.54 | %(2) | ||
After fee waivers | 0.40 | %(2) | ||
Ratio of Net Investment Income to Average Net Assets: | ||||
Before fee waivers | 2.00 | %(2) | ||
After fee waivers | 2.14 | %(2) | ||
Portfolio turnover rate | 7 | %(1) |
(1) | Not Annualized |
(2) | Annualized |
The accompanying notes are an integral part of these financial statements.
36 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Financial Highlights
Bridge Builder Small/Mid Cap Growth Fund
From April 27, 2015 (Inception Date) to June 30, 2015 | ||||
Per share operating performance (for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (Loss) from Operations: | ||||
Net investment income | 0.01 | |||
Net realized and unrealized gain/(loss) | (0.05 | ) | ||
Total income/(loss) from operations | (0.04 | ) | ||
Dividends and Distributions to Shareholders: | ||||
Dividends from net investment income | — | |||
Change in net asset value for the period | (0.04 | ) | ||
Net asset value, end of period | $ | 9.96 | ||
Total return | (0.40 | )%(1) | ||
Ratios / Supplemental Data | ||||
Net assets, end of period (millions) | $ | 1,424 | ||
Ratio of Net Expenses to Average Net Assets: | ||||
Before fee waivers | 0.77 | %(2) | ||
After fee waivers | 0.49 | %(2) | ||
Ratio of Net Investment Income to Average Net Assets: | ||||
Before fee waivers | 0.23 | %(2) | ||
After fee waivers | 0.51 | %(2) | ||
Portfolio turnover rate | 12 | %(1) |
(1) | Not Annualized |
(2) | Annualized |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2015 | 37 |
Table of Contents
Bridge Builder Mutual Funds
Financial Highlights
Bridge Builder Small/Mid Cap Value Fund
From April 27, 2015 (Inception Date) to June 30, 2015 | ||||
Per share operating performance (for a share outstanding throughout the period) | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income (Loss) from Operations: | ||||
Net investment income | 0.02 | |||
Net realized and unrealized gain/(loss) | (0.15 | ) | ||
Total income/(loss) from operations | (0.13 | ) | ||
Dividends and Distributions to Shareholders: | ||||
Dividends from net investment income | — | |||
Change in net asset value for the period | (0.13 | ) | ||
Net asset value, end of period | $ | 9.87 | ||
Total return | (1.30 | )%(1) | ||
Ratios / Supplemental Data | ||||
Net assets, end of period (millions) | $ | 887 | ||
Ratio of Net Expenses to Average Net Assets: | ||||
Before fee waivers | 0.81 | %(2) | ||
After fee waivers | 0.62 | %(2) | ||
Ratio of Net Investment Income to Average Net Assets: | ||||
Before fee waivers | 1.02 | %(2) | ||
After fee waivers | 1.21 | %(2) | ||
Portfolio turnover rate | 8 | %(1) |
(1) | Not Annualized |
(2) | Annualized |
The accompanying notes are an integral part of these financial statements.
38 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2015, the Trust consisted of five series: the Bridge Builder Bond Fund (the “Bond Fund”), the Bridge Builder Large Cap Growth Fund (the “Large Cap Growth Fund”), the Bridge Builder Large Cap Value Fund (the “Large Cap Value Fund”), the Bridge Builder Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”) and the Bridge Builder Small/Mid Cap Value Fund (the “Small/Mid Cap Value Fund”) (each a “Fund,” and collectively, the “Funds”). The Funds are diversified and each currently offers a single class of shares. Each Fund has adopted its own investment objective and policies.
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 Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
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 that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board of Trustees. 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 independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. 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 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.
Short-term securities with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
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 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
Annual Report • June 30, 2015 | 39 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 and are classified as Level 2 or Level 3.
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 New York Stock Exchange (“NYSE”) generally 4:00 p.m. Eastern time and are classified as Level 2.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies will be converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
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.
Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board of Trustees and are classified as Level 2 or Level 3.
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, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when 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 a Fund calculates its own share price. If there is no price, or in the investment 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, a 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, a 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 of Trustees. 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 generally 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 Funds have 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 each 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 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 |
40 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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. |
Bridge Builder Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset-Backed Obligations | $ | — | $ | 589,887,183 | $ | 215,063,264 | $ | 804,950,447 | ||||||||
Corporate Bonds | — | 2,478,941,998 | 10,908,799 | 2,489,850,797 | ||||||||||||
Government Related | — | 1,748,452,944 | — | 1,748,452,944 | ||||||||||||
Mortgage-Backed Obligations | — | 3,154,353,152 | 86,637,263 | 3,240,990,415 | ||||||||||||
Short-Term Investments | 557,579,978 | — | — | 557,579,978 | ||||||||||||
Total Investments in Securities | $ | 557,579,978 | $ | 7,971,635,277 | $ | 312,609,326 | $ | 8,841,824,581 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | 75,924 | $ | — | $ | — | $ | 75,924 | ||||||||
Total Investments in Other Financial Instruments | $ | 75,924 | $ | — | $ | — | $ | 75,924 | ||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 456,354,524 | $ | — | $ | — | $ | 456,354,524 | ||||||||
Consumer Staples | 213,703,001 | — | — | 213,703,001 | ||||||||||||
Energy | 69,853,732 | — | — | 69,853,732 | ||||||||||||
Financials | 249,518,792 | — | — | 249,518,792 | ||||||||||||
Health Care | 457,156,964 | — | — | 457,156,964 | ||||||||||||
Industrials | 228,538,950 | — | — | 228,538,950 | ||||||||||||
Information Technology | 720,546,646 | — | — | 720,546,646 | ||||||||||||
Materials | 81,164,261 | — | — | 81,164,261 | ||||||||||||
Telecommunication Services | 16,479,106 | — | — | 16,479,106 | ||||||||||||
Utilities | 112,379 | — | — | 112,379 | ||||||||||||
Short-Term Investments | 89,843,037 | — | — | 89,843,037 | ||||||||||||
Total Investments in Securities | $ | 2,583,271,392 | $ | — | $ | — �� | $ | 2,583,271,392 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (10,632 | ) | $ | — | $ | — | $ | (10,632 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (10,632 | ) | $ | — | $ | — | $ | (10,632 | ) |
Annual Report • June 30, 2015 | 41 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Large Cap Value Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 198,744,605 | $ | 13,159,534 | $ | — | | $ | 211,904,139 | |||||||
Consumer Staples | 170,991,130 | — | — | 170,991,130 | ||||||||||||
Energy | 170,563,904 | — | — | 170,563,904 | ||||||||||||
Financials | 467,308,036 | — | — | 467,308,036 | ||||||||||||
Health Care | 263,140,919 | — | — | 263,140,919 | ||||||||||||
Industrials | 307,952,333 | — | — | 307,952,333 | ||||||||||||
Information Technology | 266,170,065 | 26,041,023 | — | 292,211,088 | ||||||||||||
Materials | 118,962,381 | — | — | 118,962,381 | ||||||||||||
Telecommunication Services | 32,005,381 | — | — | 32,005,381 | ||||||||||||
Utilities | 11,938,730 | — | — | 11,938,730 | ||||||||||||
Short-Term Investments | 96,632,592 | — | — | 96,632,592 | ||||||||||||
Total Investments in Securities | $ | 2,104,410,076 | $ | 39,200,557 | $ | — | $ | 2,143,610,633 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (20,116 | ) | $ | — | $ | — | $ | (20,116 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (20,116 | ) | $ | — | $ | — | $ | (20,116 | ) |
Bridge Builder Small/Mid Cap Growth Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 229,197,919 | $ | — | | $ | — | | $ | 229,197,919 | ||||||
Consumer Staples | 74,399,378 | — | — | 74,399,378 | ||||||||||||
Energy | 50,117,208 | — | — | 50,117,208 | ||||||||||||
Financials | 178,181,384 | — | — | 178,181,384 | ||||||||||||
Health Care | 260,580,534 | — | — | 260,580,534 | ||||||||||||
Industrials | 200,968,252 | — | — | 200,968,252 | ||||||||||||
Information Technology | 293,430,730 | — | — | 293,430,730 | ||||||||||||
Materials | 49,285,374 | — | — | 49,285,374 | ||||||||||||
Telecommunication Services | 12,566,339 | — | — | 12,566,339 | ||||||||||||
Utilities | 2,266,826 | — | — | 2,266,826 | ||||||||||||
Short-Term Investments | 67,021,291 | — | — | 67,021,291 | ||||||||||||
Total Investments in Securities | $ | 1,418,015,235 | $ | — | $ | — | $ | 1,418,015,235 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (238,843 | ) | $ | — | $ | — | $ | (238,843 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (238,843 | ) | $ | — | $ | — | $ | (238,843 | ) |
42 | Annual Report • June 30, 2015 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Bridge Builder Small/Mid Cap Value Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 116,589,829 | $ | — | | $ | — | | $ | 116,589,829 | ||||||
Consumer Staples | 24,184,507 | — | — | 24,184,507 | ||||||||||||
Energy | 34,827,404 | — | — | 34,827,404 | ||||||||||||
Financials | 244,349,932 | — | — | 244,349,932 | ||||||||||||
Health Care | 83,317,577 | — | — | 83,317,577 | ||||||||||||
Industrials | 118,127,873 | — | — | 118,127,873 | ||||||||||||
Information Technology | 140,934,291 | — | — | 140,934,291 | ||||||||||||
Materials | 67,870,788 | — | — | 67,870,788 | ||||||||||||
Telecommunication Services | 3,034,595 | — | — | 3,034,595 | ||||||||||||
Utilities | 31,367,216 | — | — | 31,367,216 | ||||||||||||
Rights | ||||||||||||||||
Health Care | — | — | (2) | — | — | |||||||||||
Short-Term Investments | 21,242,295 | — | — | 21,242,295 | ||||||||||||
Total Investments in Securities | $ | 885,846,307 | $ | — | $ | — | $ | 885,846,307 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (6,344 | ) | $ | — | $ | — | $ | (6,344 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (6,344 | ) | $ | — | $ | — | $ | (6,344 | ) |
Below are the transfers between Levels 2 and Levels 3 during the reporting period from June 30, 2014 to June 30, 2015. Transfers between levels are identified at the end of the reporting period.
Bridge Builder Bond Fund | ||||
Transfers into Level 2 | $ | 28,865,251 | ||
Transfers out of Level 2 | (55,822,874 | ) | ||
|
| |||
Net transfers out of Level 2 | $ | 26,957,623 | ||
|
| |||
Transfers into Level 3 | $ | 55,822,874 | ||
Transfers out of Level 3 | (28,865,251 | ) | ||
|
| |||
Net transfers into Level 3 | $ | 26,957,623 | ||
|
|
Below is a reconciliation that details the activity of securities in Level 3 during the period ended June 30, 2015:
Bridge Builder Bond Fund | ||||
Beginning Balance – June 30, 2014 | $ | 132,261,070 | ||
Purchases | 242,188,128 | |||
Sales proceeds and paydowns | (87,757,322 | ) | ||
Transfers into Level 3 | 55,822,874 | |||
Transfer out of Level 3 | (28,865,251 | ) | ||
Realized gains/(losses), net | 176,252 | |||
Change in unrealized gains/(losses), net | (1,216,425 | ) | ||
|
| |||
Ending Balance – June 30, 2015 | $ | 312,609,326 | ||
|
|
(1) | Includes cumulative appreciation/(depreciation) on futures contracts as reported in the Summary Schedule of Investments. |
(2) | Includes a security with a market value less than $0.50. |
Annual Report • June 30, 2015 | 43 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain/(loss) on investments and net change in unrealized appreciation/(depreciation) on investments on the Statements of Operations, respectively. The net change in unrealized appreciation/(depreciation) on investments related to Level 3 securities held by the Bond Fund at June 30, 2015 totals $(1,038,483).
The following table presents information about unobservable inputs related to the Bond Fund's categories of Level 3 investments as of June 30, 2015:
Type of Security | Fair Value at 6/30/2015 | Valuation Techniques | Unobservable Inputs | Range | ||||||
Asset-Backed Obligations | $ | 207,499,269 | Consensus pricing | Third party & broker quoted inputs | N/A | |||||
Asset-Backed Obligations | 7,563,995 | Market activity | Recent transaction | N/A | ||||||
Corporate Bonds | 10,908,799 | Consensus pricing | Third party & broker quoted inputs | N/A | ||||||
Mortgage-Backed Obligations | 66,991,948 | Consensus pricing | Third party & broker quoted inputs | N/A | ||||||
Mortgage-Backed Obligations | 19,645,315 | Market activity | Recent transaction | N/A |
The following provides a general description of the impact of a change in an unobservable input on the fair value measurement and the interrelationship of unobservable inputs, where relevant and significant. Interrelationships may also exist between observable and unobservable inputs (for example, as interest rates rise, prepayment rates decline).
Third-Party & Broker Quoted Inputs
The significant unobservable inputs used by the third-party pricing vendors and broker-dealers generally include prepayment rates, interest rates, probability of default and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation could result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.
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 – A 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, this risk is in addition to the risk of decline in the value of the Fund’s other assets. Where such purchases are made through dealers, the Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in a loss to the Fund of an advantageous yield or price. Although the Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment prior to settlement if it deems it appropriate to do so. The Fund may realize short-term gains or losses upon the sale of forward commitments.
A 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
44 | Annual Report • June 30, 2015 |
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Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the Fund delivers securities under the commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
Fixed-income securities purchased on a delayed delivery basis are typically marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
As of June 30, 2015, the Bond Fund held $209,183,768 in delayed delivery purchase commitments that represent 2.43% of the Bond Fund’s net assets.
c) Derivatives – The Funds invest in derivatives as permitted by their 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.
A 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. A Fund is also 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. A 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 – A Fund may enter into 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 June 30, 2015, the Funds purchased and sold futures contracts to gain or hedge exposure to risk factors and alter the respective Fund’s investment characteristics. Upon entering into futures contracts, a 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 Funds’ average monthly notional amount of purchased futures and sold futures during the period ended June 30, 2015 were as follows:
Average Monthly Notional Amount of: | ||||||||
Purchased Futures | Sold Futures | |||||||
Bridge Builder Bond Fund | $ | 224,013,539 | $ | 79,948,277 | ||||
Bridge Builder Large Cap Growth Fund | 469,685 | — | ||||||
Bridge Builder Large Cap Value Fund | 704,348 | — | ||||||
Bridge Builder Small/Mid Cap Growth Fund | 10,401,651 | — | ||||||
Bridge Builder Small/Mid Cap Value Fund | 885,634 | — |
See the Summary Schedule of Investments for the Funds’ open futures contracts as of June 30, 2015.
Annual Report • June 30, 2015 | 45 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure as of June 30, 2015.
Statements of Assets and Liabilities — Values of Derivative Instruments as of June 30, 2015
Asset Derivatives | Liability Derivatives | |||||||||||
Balance Sheet Location | Value | Balance Sheet Location | Value | |||||||||
Bridge Builder Bond Fund |
| |||||||||||
Interest Rate Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | 385,189 | Net unrealized (depreciation) on futures contracts | $ | (309,265 | ) | |||||
Total | $ | 385,189 | $ | (309,265 | ) | |||||||
Bridge Builder Large Cap Growth Fund |
| |||||||||||
Equity Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | — | Net unrealized (depreciation) on futures contracts | $ | (10,632 | ) | |||||
Total | $ | — | $ | (10,632 | ) | |||||||
Bridge Builder Large Cap Value Fund |
| |||||||||||
Equity Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | — | Net unrealized (depreciation) on futures contracts | $ | (20,116 | ) | |||||
Total | $ | — | $ | (20,116 | ) | |||||||
Bridge Builder Small/Mid Cap Growth Fund |
| |||||||||||
Equity Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | — | Net unrealized (depreciation) on futures contracts | $ | (238,843 | ) | |||||
Total | $ | — | $ | (238,843 | ) | |||||||
Bridge Builder Small/Mid Cap Value Fund |
| |||||||||||
Equity Risk: Futures Contracts* | Net unrealized appreciation on futures contracts | $ | — | Net unrealized (depreciation) on futures contracts | $ | (6,344 | ) | |||||
Total | $ | — | $ | (6,344 | ) |
*Includes | unrealized appreciation/(depreciation) as reported on the Summary Schedule of Investments. |
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the period ended June 30, 2015.
Amount of Realized Gain/(Loss) on Derivatives Recognized in Income
Futures Contracts | ||||
Bridge Builder Bond Fund | ||||
Interest Rate Risk | $ | (3,680,600 | ) | |
Total | $ | (3,680,600 | ) | |
Bridge Builder Large Cap Growth Fund | ||||
Equity Risk | $ | 18,163 | ||
Total | $ | 18,163 | ||
Bridge Builder Large Cap Value Fund | ||||
Equity Risk | $ | 10,165 | ||
Total | $ | 10,165 | ||
Bridge Builder Small/Mid Cap Growth Fund | ||||
Equity Risk | $ | 149,670 | ||
Total | $ | 149,670 | ||
Bridge Builder Small/Mid Cap Value Fund | ||||
Equity Risk | $ | (20,817 | ) | |
Total | $ | (20,817 | ) |
46 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income
Futures Contracts | ||||
Bridge Builder Bond Fund | ||||
Interest Rate Risk | $ | 112,136 | ||
Total | $ | 112,136 | ||
Bridge Builder Large Cap Growth Fund | ||||
Equity Risk | $ | (10,632 | ) | |
Total | $ | (10,632 | ) | |
Bridge Builder Large Cap Value Fund | ||||
Equity Risk | $ | (20,116 | ) | |
Total | $ | (20,116 | ) | |
Bridge Builder Small/Mid Cap Growth Fund | ||||
Equity Risk | $ | (238,843 | ) | |
Total | $ | (238,843 | ) | |
Bridge Builder Small/Mid Cap Value Fund | ||||
Equity Risk | $ | (6,344 | ) | |
Total | $ | (6,344 | ) |
The Funds are subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties.
For financial reporting purposes, a Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The following table presents the Funds’ derivatives by investment type, net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2015:
Assets: | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets & Liabilities | Net Amounts Presented in the Statements of Assets & Liabilities | Gross Amounts not offset in the Statements of Assets & Liabilities | Net Amount | |||||||||||||||||||
Financial Instruments | Collateral Received | |||||||||||||||||||||||
| ||||||||||||||||||||||||
Bridge Builder Bond Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | 385,189 | $ | (309,265 | ) | $ | 75,924 | $ | — | | $ | — | $ | 75,924 | ||||||||||
Bridge Builder Large Cap Growth Fund |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | — | — | — | ||||||||||||||||||
Bridge Builder Large Cap Value Fund |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | — | — | — | ||||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | — | — | — | ||||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | — | — | — |
Annual Report • June 30, 2015 | 47 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Liabilities: | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets & Liabilities | Net Amounts Presented in the Statements of Assets & Liabilities | Gross Amounts not offset in the Statements of Assets & Liabilities | Net Amount | |||||||||||||||||||
Financial Instruments | Collateral Received | |||||||||||||||||||||||
| ||||||||||||||||||||||||
Bridge Builder Bond Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | 309,265 | $ | (309,265 | ) | $ | — | $ | — | | $ | — | $ | — | | |||||||||
Bridge Builder Large Cap Growth Fund |
| |||||||||||||||||||||||
Futures Contracts | 10,632 | — | 10,632 | — | (10,632 | ) | — | |||||||||||||||||
Bridge Builder Large Cap Value Fund |
| |||||||||||||||||||||||
Futures Contracts | 20,116 | — | 20,116 | — | (20,116 | ) | — | |||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund |
| |||||||||||||||||||||||
Futures Contracts | 238,843 | — | 238,843 | — | (238,843 | ) | — | |||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund |
| |||||||||||||||||||||||
Futures Contracts | 6,344 | — | 6,344 | — | (6,344 | ) | — |
d) Restricted Securities – The Funds 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, a Fund may have the right to include these securities in such registration, generally without cost to the Fund. A Fund generally has no right to require registration of the unregistered securities it holds. All restricted securities held at June 30, 2015 met the definition of Rule 144A of the Securities Act of 1933 and can be traded with an institutional investor without registration. As of June 30, 2015, the Bond Fund held restricted securities with an aggregate value of $1,113,397,062, which accounted for 12.93% of the Bond Fund’s net assets. The Bond Fund’s sub-advisers have determined $8,726,765 of these securities to be illiquid and $1,104,670,297 to be liquid pursuant to the Fund’s illiquid and restricted securities guidelines.
e) Federal Income and Excise Taxes – The Funds intend 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 each Fund’s taxable earnings to shareholders. As such, the Funds 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, 2015, management of the Trust has reviewed the Funds’ 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 Funds are also not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period, the Funds did not incur any interest or penalties.
f) Distributions to Shareholders – The Bond Fund will make distributions of net investment income monthly. The Large Cap Value Fund will make distributions of net investment income quarterly. The Large Cap Growth, Small/Mid Cap Growth and Small/Mid Cap Value Funds will make distributions of net investment income annually. The Funds will make distributions of 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 respective 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.
48 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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) Investment Transactions, Income and Expense Allocation – 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 an 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 Funds’ 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. Issuance fees, if any, are custodial fees on American Depository Receipts (ADRs) charged by ADR agents on ADR dividends. Issuance fees are included as a component of net investment income. Realized gains and losses are evaluated on the basis of identified cost. Expenses common to multiple Funds are allocated among the respective Funds based upon their relative net assets values or other appropriate allocation methods.
3. INVESTMENT ADVISER
Olive Street Investment Advisers, LLC (the “Adviser”) acts as investment adviser to the Funds 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 Funds’ 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 Funds, and shall furnish continuously an investment program for the Funds. 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.
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 Bond Fund’s average daily net assets, 0.44% of the Large Cap Growth Fund’s average daily net assets, 0.44% of the Large Cap Value Fund’s average daily net assets, 0.64% of the Small/Mid Cap Growth Fund’s average daily net assets, and 0.64% of the Small/Mid Cap Value Fund’s average daily net assets. The Adviser has contractually agreed to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the Adviser is required to pay each Fund’s Sub-advisers. During the period ended June 30, 2015, the Adviser waived the advisory fees listed below which are not subject to recoupment by the Adviser:
Advisory Fees Waived | ||||
Bridge Builder Bond Fund | $ | 15,866,563 | ||
Bridge Builder Large Cap Growth Fund | 594,283 | |||
Bridge Builder Large Cap Value Fund | 433,586 | |||
Bridge Builder Small/Mid Cap Growth Fund | 520,853 | |||
Bridge Builder Small/Mid Cap Value Fund | 213,565 |
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 Bond Fund’s assets.
The Adviser has selected and the Board has approved Lazard Asset Management LLC (“Lazard”), Sustainable Growth Advisers, LP (“SGA”), Jennison Associates LLC (“Jennison”), William Blair & Company, L.L.C. (“William Blair”), and BlackRock Investment Management, LLC (“BlackRock”) to sub-advise discrete portions of the Large Cap Growth Fund’s assets.
Annual Report • June 30, 2015 | 49 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Adviser has selected and the Board has approved Barrow, Hanley, Mewhinney & Strauss, LLC (“Barrow Hanley”), Wellington Management Company LLP (“Wellington”), Artisan Partners Limited Partnership (“Artisan Partners”), and BlackRock to sub-advise discrete portions of the Large Cap Value Fund’s assets.
The Adviser has selected and the Board has approved Champlain Investment Partners, LLC (“Champlain”), ClearBridge Investments, LLC (“ClearBridge”), Eagle Asset Management, Inc. (“Eagle”), and BlackRock to sub-advise discrete portions of the Small/Mid Cap Growth Fund’s assets.
The Adviser has selected and the Board has approved Boston Partners (“Boston”), Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”), Silvercrest Asset Management Group LLC (“Silvercrest”), Advisory Research, Inc. (“Advisory Research”), and BlackRock to sub-advise discrete portions of the Small/Mid Cap Value Fund’s assets.
Subject to the supervision of the Adviser, the Sub-advisers provide the Funds, among other services, a continuous investment program for the Funds and determine from time to time which securities or other investments shall be purchased, sold or exchanged for the Funds, 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 Funds, each Sub-adviser is entitled to receive fees from the Adviser.
Pursuant to an operating expense limitation agreement between the Adviser and the Funds, effective until October 28, 2016, 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 Bond Fund’s average annual net assets and 0.51% of the Large Cap Growth Fund’s and Large Cap Value Fund’s average annual net assets and 0.73% of the Small/Mid Cap Growth Fund’s and Small/Mid Cap Value Fund’s average annual net assets (each an “Expense Cap”).
Any Fund expenses reimbursed by the Adviser related to the operating expense limitation agreement are subject to recoupment by the Adviser in subsequent fiscal years 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 a Fund in the prior three fiscal years. A Fund must pay its current ordinary operating expenses before the Adviser is entitled to any recoupment of expenses. During the period ended June 30, 2015, the Funds did not exceed the Expense Cap and no expense reimbursements are currently subject to recoupment in subsequent periods.
4. OFFERING AND ORGANIZATIONAL COSTS
Total offering costs of approximately $41,267, $35,524, $26,918 and $20,500 were incurred in connection with the offering of shares of the Large Cap Growth Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund and Small/Mid Cap Value Fund, respectively. Offering costs are accounted for as deferred costs until operations begin and are then amortized over twelve months. Total organizational costs of approximately $10,144, $8,247, $5,317 and $3,086 were incurred in connection with the organization of the Large Cap Growth Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund and Small/Mid Cap Value Fund, respectively. Organizational costs are expensed as incurred. These amounts are included in Expenses per the Statements of Operations.
5. LINE OF CREDIT ARRANGEMENT
The Trust is a party to an unsecured line of credit agreement with U.S. Bank, N.A., expiring April 26, 2016. The Funds collectively may borrow up to $200 million. Interest is charged on borrowings at the prevailing prime rate minus one and one-half percent and is reflected as interest expense on the Statements of Operations. The Funds intend to use this line of credit to increase the efficiency of cash flow management as necessary. As of June 30, 2015, the Funds have yet to use this line of credit arrangement.
50 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
6. INVESTMENT TRANSACTIONS
For the period ended June 30, 2015, purchases and sales of investment securities, other than short-term investments, were as follows:
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund | Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||
Purchases: | ||||||||||||||||||||
U.S. Government | $ | 9,123,747,443 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Other | 1,893,549,776 | 2,647,282,127 | 2,212,450,851 | 1,460,677,088 | 928,488,348 | |||||||||||||||
Sales: | ||||||||||||||||||||
U.S. Government | 8,377,582,866 | — | — | — | — | |||||||||||||||
Other | 272,988,777 | 119,178,146 | 97,136,473 | 109,219,582 | 47,780,908 |
7. 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, 2015 the Funds made the following permanent book-to-tax reclassifications primarily related to the treatment of organization costs, paydowns and difference between book and tax accretion methods for market premium:
Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Paid-In Capital | ||||||||||
Bridge Builder Bond Fund | $ | 17,344,473 | $ | (17,371,154 | ) | $ | 26,681 | |||||
Bridge Builder Large Cap Growth Fund | 12,424 | (520 | ) | (11,904 | ) | |||||||
Bridge Builder Large Cap Value Fund | (5,113 | ) | 17,017 | (11,904 | ) | |||||||
Bridge Builder Small/Mid Cap Growth Fund | 9,280 | — | (9,280 | ) | ||||||||
Bridge Builder Small/Mid Cap Value Fund | 10,229 | (949 | ) | (9,280 | ) |
At June 30, 2015, gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes were as follows:
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund | Bridge Builder Large Cap Value Fund | Bridge Builder Small/ Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||
Cost of Investments | $ | 8,774,426,345 | $ | 2,614,303,218 | $ | 2,204,513,836 | $ | 1,413,689,188 | $ | 898,956,028 | ||||||||||
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Gross Unrealized Appreciation | $ | 126,400,429 | $ | 46,132,565 | $ | 26,518,914 | $ | 41,827,974 | $ | 17,706,779 | ||||||||||
Gross Unrealized Depreciation | (59,002,193 | ) | (77,164,391 | ) | (87,422,117 | ) | (37,501,927 | ) | (30,816,500 | ) | ||||||||||
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Net Unrealized Appreciation/(Depreciation) | $ | 67,398,236 | $ | (31,031,826 | ) | $ | (60,903,203 | ) | $ | 4,326,047 | $ | (13,109,721 | ) | |||||||
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As of June 30, 2015, the components of accumulated earnings on a tax basis were as follows:
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund | Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||
Accumulated Capital and Other Losses | $ | (3,000,993 | ) | $ | (2,999,015 | ) | $ | (2,811 | ) | $ | (2,741,733 | ) | $ | — | ||||||
Undistributed Net Ordinary Income | 4,048,706 | 3,043,640 | 1,103,815 | 972,182 | 1,986,386 | |||||||||||||||
Undistributed Long-Term Capital Gain | — | — | 9,782 | — | 41,446 | |||||||||||||||
Unrealized Appreciation/(Depreciation) on Investments | 67,398,236 | (31,031,826 | ) | (60,903,203 | ) | 4,326,047 | (13,109,721 | ) | ||||||||||||
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Total Accumulated Gain/(Loss) | $ | 68,445,949 | $ | (30,987,201 | ) | $ | (59,792,417 | ) | $ | 2,556,496 | $ | (11,081,889 | ) | |||||||
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At June 30, 2015, the Funds had the following capital loss carryforwards. The capital loss carryforwards do not have an expiration date and will retain their character as either short-term or long-term capital losses. The ability to utilize capital loss carryforwards in the future may be limited under the Internal Revenue Code and related regulations based on the results of future transactions.
Capital Loss Carryforwards | ||||
Bridge Builder Bond Fund | $ | — | ||
Bridge Builder Large Cap Growth Fund | 2,993,957 | |||
Bridge Builder Large Cap Value Fund | — | |||
Bridge Builder Small/Mid Cap Growth Fund | 2,741,421 | |||
Bridge Builder Small/Mid Cap Value Fund | — |
Annual Report • June 30, 2015 | 51 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
At June 30, 2015 the Bridge Builder Bond Fund deferred, on a tax basis, post-October capital losses of $1,602,494. Under current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first business day of the Fund’s next taxable year.
The tax character of distributions paid by the Funds during the fiscal periods ended June 30, 2015 and June 30, 2014 were as follows:
Bridge Builder Bond Fund | Bridge Builder Large Cap Growth Fund | Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||
2015 | 2014 | 2015 | 2015 | 2015 | 2015 | |||||||||||||||||||
Distributions paid from: | ||||||||||||||||||||||||
Net Ordinary Income (1) | $ | 186,830,832 | $ | 88,893,387 | $ | — | | $ | 6,142,468 | $ | — | | $ | — | | |||||||||
Net Long-Term Capital Gains | — | — | — | — | — | — | ||||||||||||||||||
Return of Capital | — | — | — | — | — | — | ||||||||||||||||||
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Total Distributions Paid | $ | 186,830,832 | $ | 88,893,387 | $ | — | $ | 6,142,468 | $ | — | $ | — | ||||||||||||
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(1) | Net Ordinary Income includes net short-term capital gains, if any. |
8. Trustees
Trustee fees and expenses displayed in the Statements of Operations include amounts accrued by the Funds to pay remuneration to each Trustee who is not an “interested person” as defined in the 1940 Act (an “Independent Trustee”) of the Trust. The Trustees who are “interested persons” (the “Non-Independent Trustees”) of the Trust do not receive any Trustee fees.
9. 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 Funds shall pay the administrator monthly, a fee accrued daily and based on average daily net assets. The Funds 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 Funds for administrative services are included in Administration fee in the Statements of Operations.
Certain employees of the Administrator are also Officers of the Trust.
10. 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 Funds for custody services are included in Custody fees in the Statements of Operations.
11. Risks
Investing in the Funds may involve certain risks including, but not limited to, those described below. Please refer to the Funds’ prospectus and Statements of Additional Information for more information on risks associated with investing in the Funds.
a) Interest Rate Risk – The Bond Fund invests in fixed income securities that change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. On the other hand, if rates fall, the value of these investments generally increases. Fixed income markets have experienced historically low interest rates for an extended period of time, which may increase the risk of interest rates rising in the future as a result of market forces, government action or other factors. Securities with greater interest rate sensitivity and longer
52 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 Funds 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 a Fund’s investments may experience extreme reductions in buyside demand, which may result in values of a 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, a Fund’s investments previously determined to be liquid may be deemed to be illiquid, and, because of regulatory limitations on investments in illiquid securities, a Fund may not be able to make or gain the desired level of exposure to certain investments that it otherwise would.
c) Redemption Risk – A Fund may experience losses when selling securities to meet redemption requests. This risk is greater for larger or frequent redemption requests. Because the Funds currently are available only to participants in a single asset allocation program, a reduction in the allocation of program assets to a Fund could result in one or more large redemption requests. Moreover, as a result of the requirement that a Fund satisfy redemption requests even during times of significant market or economic turmoil, a Fund may be forced to sell portfolio securities during periods of reduced liquidity when prices are rapidly declining. This may require a Fund to realize investment losses at times that the Adviser or 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 – A 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 a Fund.
f) Market Risk – The overall market may perform poorly or the returns from the securities in which a Fund invests may underperform returns from the general securities markets or other types of investments.
g) Equity Risk – The value of equity securities will rise and fall over short or extended periods of time in response to the activities of the company that issued them, general market conditions and/or economic conditions.
h) Multi-Manager and Multi-Style Management Risk – To a significant extent, the Funds’ performance will depend on the success of the Adviser’s methodology in allocating the Funds’ assets to sub-advisers and its selection and oversight of the sub-advisers and on a sub-adviser’s skill in executing the relevant strategy and selecting investments for the Funds. Because portions of a Fund’s assets are managed by different sub-advisers using different styles, a Fund could experience overlapping securities transactions. Certain sub-advisers may be purchasing securities at the same time other sub-advisers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style.
Annual Report • June 30, 2015 | 53 |
Table of Contents
Bridge Builder Mutual Funds
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the Bridge Builder Trust
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Bridge Builder Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund and Bridge Builder Small/Mid Cap Value Fund (hereafter referred to as the “Funds”) at June 30, 2015, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Chicago, IL
August 24, 2015
54 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Bond Fund
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements
Pursuant to Section 15 of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.(1)
At an in-person meeting held on May 21-22, 2015 (the “in person Meeting”), the Board, including the Independent Trustees, considered and approved the annual continuance of an investment advisory agreement (the “Advisory Agreement”) with Olive Street Investment Advisors (the “Adviser”) and an investment sub-advisory agreement with each of the following sub-advisers: Robert W. Baird & Co. Incorporated (“Baird”), J.P. Morgan Investment Management Inc. (“J.P. Morgan”), and Prudential Investment Management, Inc. (“Prudential,” together with Baird and J.P Morgan, the “Current Sub-advisers”) for the Bridge Builder Bond Fund (the “Fund”), a series of Bridge Builder Trust (collectively, the “Current Sub-advisory Agreements”). The Board also approved a new investment sub-advisory agreement with Loomis Sayles & Company L.P. (the “New Sub-adviser” and, together with the Current Sub-advisers, the “Sub-advisers”) for an initial two-year term (the “New Sub-advisory Agreement,” together with the Advisory Agreement and Current Sub-advisory Agreements, the “Agreements”). In advance of the in person Meeting and a telephonic meeting held on May 5, 2015 (together with the in person Meeting, the “Meetings”), in response to the Independent Trustees’ request for information, the Adviser and the Sub-advisers furnished information to the Board necessary for the Board to evaluate the terms of the Agreements.
This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Adviser and the Sub-advisers; (ii) the Fund’s historical performance and the overall performance of the Adviser and the Current Sub-advisers; (iii) the Adviser’s and the Sub-advisers’ investment management personnel; (iv) the Adviser’s and the Sub-advisers’ operations; (v) the Sub-advisers’ investment philosophy and investment process; (vi) the advisory fees proposed to be payable to the Adviser and the Fund’s overall fees and operating expenses, in each case compared with those of a peer group of mutual funds; (vii) the sub-advisory fees payable to the Sub-advisers; (viii) the Adviser’s and the Sub-advisers’ policies and compliance procedures, including those related to personal securities transactions; (ix) the Adviser’s and its affiliates’ experience in selecting and monitoring third-party investment managers; and (ix) the investment performance of accounts managed by the New Sub-adviser with strategies similar to the portion of the Fund proposed to be managed by the New Sub-adviser.
At the Meetings, representatives of the Adviser and the Sub-advisers along with other Fund service providers made their presentations and responded to questions regarding their services, fees and other aspects of the Agreements. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and the Sub-advisers to discuss the Agreements and the services to be provided by the Adviser, the Current Sub-advisers, and the New Sub-adviser.
In considering the approval of the Agreements, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services provided and to be provided by the Adviser and the Sub-advisers under the Agreements. The Trustees considered the nature, extent and quality of the Adviser’s and each of the Current Sub-advisers’ overall services provided to the Fund as well as their specific responsibilities in all aspects of day-to-day investment management of the Fund. In this regard, the Board considered the Adviser’s oversight role and responsibilities with regard to the Sub-advisers, and the Current Sub-advisers’ role in the day-to-day management of the Fund’s portfolio. The Board also considered the existing relationship between the Adviser and
(1) Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without shareholder approval and granting them relief from certain disclosure requirements.
Annual Report • June 30, 2015 | 55 |
Table of Contents
Bridge Builder Bond Fund
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
each Current Sub-adviser and the Trust, as well as the Board’s knowledge of the Adviser’s and each Current Sub-adviser’s operations, and noted that during the course of the prior year, including at the in person Meeting, they had met with representatives of the Adviser to review Fund performance and Sub-adviser oversight, including the Adviser’s risk management process, and with representatives of the Current Sub-advisers. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and Current Sub-advisers are capable of continuing to provide services of the type and nature contemplated by the terms of the Advisory Agreement and Current Sub-advisory Agreements. The Board reviewed the portfolio management services proposed to be provided by the New Sub-adviser, including how the New Sub-adviser’s investment philosophy and process complement those of the Current Sub-advisers, as well as the background and experience of the New Sub-adviser’s portfolio management personnel. The Board reviewed the resources of the New Sub-adviser. The Trustees also considered other services to be provided to the Fund by the New Sub-adviser under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions. The Board reviewed the terms of the proposed New Sub-advisory Agreement. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the New Sub-adviser is capable of providing services of the type and nature contemplated by the terms of the New Sub-advisory Agreement.
2. Fees and Other Expenses. In considering the advisory fee and total fees and expenses of the Fund, the Board reviewed comparisons to its peer funds, as well as expense waivers and reimbursements. The Trustees reviewed a report on the advisory fees payable by the Fund to the Adviser, as well as the sub-advisory fees payable by the Adviser to the Current Sub-advisers, as well as the sub-advisory fees proposed to be payable by the Adviser to the New Sub-adviser. The Trustees also reviewed reports prepared by Morningstar Associates, LLC, an independent provider of mutual fund industry data, comparing the Fund’s advisory fees and gross and net expense ratios to those paid by an independently-selected peer group of mutual funds. The Trustees considered that the Adviser, not the Fund, pays the Current and New Sub-advisers pursuant to the Current and New Sub-advisory Agreements. The Trustees evaluated the fees payable under the Current and New Sub-advisory Agreements. The Board noted that the Adviser had no similarly managed separate accounts for purposes of comparison. In addition, the Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay the Sub-advisers. The Board noted that the Adviser may terminate this waiver arrangement following notice, without Board approval, once a year. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees were reasonable in light of the nature and quality of the services rendered by the Adviser and the Current Sub-advisers, and expected to be rendered by the New Sub-adviser.
3. The Fund’s Investment Performance Record. In assessing the quality of the portfolio management delivered by the Adviser and Current Sub-advisers, the Board reviewed the performance of the Fund on both an absolute basis, and in comparison to appropriate securities benchmarks and its peer funds utilizing classifications provided by Morningstar Associates, LLC. The Board noted that the Fund outperformed its peer group average and index for the one-year period ending March 31, 2015. The Board also noted that for the one-year period ending March 31, 2015, each of the Current Sub-advisers outperformed the Fund’s peer group, while both Baird and Prudential outperformed the Fund’s index and JP Morgan slightly underperformed against the index over the same period. The Board noted that the Adviser did not provide advisory services to accounts other than the Fund, and therefore had no similarly managed separate accounts for purposes of the comparison. The Board did consider hypothetical and historical performance of the Fund, each Current Sub-adviser’s performance history with respect to the portion of the Fund managed by it, and the New Sub-adviser’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. The Board considered that the Adviser has contractually agreed to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the
56 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Bond Fund
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
Adviser is required to pay the Sub-advisers. Therefore, the Adviser does not receive any profit from its management of the Fund or from hiring or terminating any sub-adviser. Additionally, the Adviser does not profit or receive any benefit from allocating assets among the Sub-advisers in any particular manner. Also, the Board did not consider profitability of the Sub-advisers to be a material factor, given that the Sub-advisers are not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Board also considered whether economies of scale were being realized by the Adviser that should be shared with shareholders. The Board noted that as Fund assets have grown, the Fund’s gross and net expense ratios have decreased, and that two of the Current Sub-advisers had agreed to contractual breakpoints in their fee schedules.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program, sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Advisory Agreement and Current Sub-advisory Agreements for an additional year and the New Sub-advisory Agreement for an initial term of two years. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or single piece of information, that was all-important, controlling, or determinative of its decision, and each Trustee may have attributed different weights to the various factors and conclusions with respect thereto, and information.
Annual Report • June 30, 2015 | 57 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements
Pursuant to Section 15 of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.(1)
At a meeting held on February 18-19, 2015 (the “February Meeting”), the Board, including the Independent Trustees, considered and approved an investment advisory agreement with Olive Street Investment Advisors (the “Adviser”) and investment sub-advisory agreements with Lazard Asset Management LLC; Sustainable Growth Advisers, LP; Jennison Associates LLC; William Blair & Co., L.L.C.; and BlackRock Investment Management, LLC (the “Sub-advisers”), each for an initial two-year term (the “Agreements”) for the Bridge Builder Large Cap Growth Fund (the “Fund”), a series of Bridge Builder Trust. In advance of the February Meeting and a meeting held on November 10-11, 2014 (together with the February Meeting, the “Meetings”), in response to the Independent Trustees; request for information, the Adviser and the Sub-advisers furnished information to the Board necessary for the Board to evaluate the terms of the Agreements.
This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Adviser and the Sub-advisers; (ii) the Adviser’s and the Sub-advisers’ investment management personnel; (iii) the Adviser’s and the Sub-advisers’ operations; (iv) each Sub-adviser’s investment philosophy and investment process; (v) the advisory fees proposed to be payable to the Adviser and the Fund’s overall fees and operating expenses, in each case compared with those of a peer group of mutual funds; (vi) the sub-advisory fees proposed to be payable to the Sub-advisers; (vii) the Adviser’s and the Sub-advisers’ policies and compliance procedures, including those related to personal securities transactions; (viii) the Adviser’s and its affiliates’ experience in selecting and monitoring third-party investment managers; and (ix) the investment performance of accounts managed by each Sub-adviser with strategies similar to the portion of the Fund proposed to be managed by the Sub-Adviser.
At the Meetings, representatives of the Adviser and the Sub-advisers, along with other Fund service providers made a presentation and responded to questions regarding their services, fees and other aspects of the Agreements. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and the Sub-advisers to discuss the Agreements and the services to be provided by the Adviser and the Sub-advisers.
In considering the approval of the Agreements, the Board considered various factors as discussed in further detail below:
1. The nature, extent and quality of the services provided and to be provided by the Adviser under the Advisory Agreement and the Sub-advisers under Sub-advisory Agreements. The Board reviewed the advisory services to be provided by the Adviser, including identifying, analyzing and recommending the engagement of the Sub-advisers. The Board also reviewed the portfolio management services to be provided by each Sub-adviser, including how each Sub-adviser’s investment philosophy and process complement those of the other Sub-advisers, as well as the background and experience of the Sub-advisers’ portfolio management personnel. The Board reviewed the resources of the Adviser and the Sub-advisers, and the terms of the proposed Agreements, including the Adviser’s obligation to supervise and monitor the performance of the Sub-advisers and to allocate assets among the Sub-advisers. The Trustees also considered other services to be provided to the Fund by the Adviser, or by the Sub-advisers under the Advisors supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and the Sub-advisers are capable of providing services of the type and nature contemplated by the terms of the Agreements.
(1) Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without shareholder approval and granting them relief from certain disclosure requirements.
58 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements (Continued)
2. Fees and Other Expenses. The Trustees reviewed a report on the advisory fees proposed to be payable by the Fund to the Adviser, as well as the sub-advisory fees proposed to be payable by the Adviser to the Sub-advisers. The Trustees also reviewed reports prepared by Lipper, Inc., an independent provider of industry data, comparing the Fund’s advisory fees and gross and net expense ratios to those paid by a peer group of mutual funds. The Trustees considered that the Adviser, not the Fund, would pay the Sub-advisers pursuant to the sub-advisory agreements. The Trustees evaluated both the fee that would be payable under the sub-advisory agreements and the portion of the fee under the advisory agreement that could be retained by the Adviser, subject, however, to the waiver described below.
In addition, the Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay the Sub-advisers. The Board noted that the Adviser may terminate this waiver arrangement following notice, without Board approval, once a year. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by the Adviser and the Sub-advisers.
3. The Fund’s Investment Performance Record. Because the Fund is new and had not commenced operations, it did not yet have an investment performance record. The Board did consider hypothetical and historical performance of the Fund and each Sub-adviser’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. Because the Fund is new and had not yet commenced operations, the Adviser did not present the Board with information regarding its profitability or the extent to which economies of scale would be realized as the assets of the Fund grow. Also, the board did not consider profitability of the Sub-advisers to be a material factor, given that the Sub-advisers are not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Trustees expect to receive information on the Adviser’s profitability and economies of scale in advance of considering future renewals of the Agreements.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Agreements for initial terms of two years. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or single piece of information, that was all-important, controlling or determinative of its decision, and each Trustee may have attributed different weights to the various factors and conclusions with respect thereto, and information.
Annual Report • June 30, 2015 | 59 |
Table of Contents
Bridge Builder Large Cap Value Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements
Pursuant to Section 15 of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.(1)
At a meeting held on February 18-19, 2015 (the “February Meeting”), the Board, including the Independent Trustees, considered and approved an investment advisory agreement with Olive Street Investment Advisors (the “Advisor”) and investment sub-advisory agreements with Artisan Partners Limited Partnership; Barrow, Hanley, Mewhinney & Strauss, LLC; Wellington Management Company LLP; and BlackRock Investment Management, LLC. (the “Sub-advisers”), each for an initial two-year term (the “Agreements”), for the Bridge Builder Large Cap Value Fund (the “Fund”), a series of Bridge Builder Trust. In advance of the February Meeting and a meeting held on November 10-11, 2014 (together with the February meeting, the “Meetings”), in response to the Independent Trustees’ request for information, the Adviser and the Sub-advisers furnished information to the Board necessary for the Board to evaluate the terms of the Agreements.
This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Adviser and the Sub-advisers; (ii) the Adviser’s and the Sub-advisers’ investment management personnel; (iii) the Adviser’s and the Sub-advisers’ operations; (iv) each Sub-adviser’s investment philosophy and investment process; (v) the advisory fees proposed to be payable to the Adviser and the Fund’s overall fees and operating expenses, in each case compared with those of a peer group of mutual funds; (vi) the sub-advisory fees proposed to be payable to the Sub-advisers; (vii) the Adviser’s and the Sub-advisers’ policies and compliance procedures, including those related to personal securities transactions; (viii) the Adviser’s and its affiliates’ experience in selecting and monitoring third-party investment managers; and (ix) the investment performance of accounts managed by each Sub-adviser with strategies similar to the portion of the Fund proposed to be managed by the Sub-adviser.
At the Meetings, representatives of the Adviser and the Sub-advisers, along with other Fund service providers made a presentation and responded to questions regarding their services, fees and other aspects of the Agreements. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and the Sub-advisers to discuss the Agreements and the services to be provided by the Adviser and the Sub-advisers.
In considering the approval of the Agreements, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services provided and to be provided by the Adviser under the Advisory Agreement and the Sub-advisers under Sub-advisory Agreements. The board reviewed the advisory services to be provided by the Adviser, including identifying, analyzing and recommending the engagement of the Sub-advisers. The Board also reviewed the portfolio management services to be provided by each Sub-adviser, including how each Sub-adviser’s investment philosophy and process complement those of the other Sub-advisers, as well as the background and experience of the Sub-advisers’ portfolio management personnel. The Board reviewed the resources of the Adviser and the Sub-advisers, and the terms of the proposed Agreements, including the Adviser’s obligation to supervise and monitor the performance of the Sub-advisers and to allocate assets among the Sub-advisers. The Trustees also considered other services to be provided to the Fund by the Adviser, or by the Sub-advisers under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and Sub-advisers are capable of providing services of the type and nature contemplated by the terms of the Agreements.
(1) Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without shareholder approval and granting them relief from certain disclosure requirements.
60 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Large Cap Value Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements (Continued)
2. Fees and Other Expenses. The Trustees reviewed a report on the advisory fees proposed to be payable by the Fund to the Adviser, as well as the sub-advisory fees proposed to be payable by the Adviser to the Sub-advisers. The Trustees also reviewed reports prepared by Lipper, Inc., an independent provider of industry data, comparing the Fund’s advisory fees and gross and net expense ratios to those paid by a peer group of mutual funds. The Trustees considered that the Adviser, not the Fund, would pay the Sub-advisers pursuant to the sub-advisory agreements. The Trustees evaluated both the fee that would be payable under the sub-advisory agreements and the portion of the fee under the advisory agreement that could be retained by the Adviser, subject, however, to the waiver described below.
In addition, the Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay the Sub-advisers. The Board noted that the Adviser may terminate this waiver arrangement following notice, without Board approval, once a year. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by the Adviser and the Sub-advisers.
3. The Fund’s Investment Performance Record. Because the Fund is new and had not commenced operations, it did not yet have an investment performance record. The Board did consider hypothetical historical performance of the Fund and each Sub-adviser’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. Because the Fund is new and had not yet commenced operations, the Adviser did not present the Board with information regarding its profitability or the extent to which economies of scale would be realized as the assets of the Fund grow. Also, the Board did not consider profitability of the Sub-advisers to be a material factor, given that the Sub-advisers are not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Trustees expect to receive information on the Adviser’s profitability and economies of scale in advance of considering future renewals of the Agreements.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Agreements for initial terms of two years. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or single piece of information, that was all-important, controlling or determinative of its decision, and each Trustee may have attributed different weights to the various factors and conclusions with respect thereto, and information.
Annual Report • June 30, 2015 | 61 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements
Pursuant to Section 15 of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.(1)
At a meeting held on February 18-19, 2015 (the “February Meeting”), the Board, including the Independent Trustees, considered and approved an investment advisory agreement with Olive Street Investment Advisors (the “Adviser”) and investment sub-advisory agreements with Eagle Asset Management, Inc.; Champlain Investment Partners, LLC; ClearBridge Investments, LLC; and BlackRock Investment Management (the “Sub-advisers”), each for an initial two-year term (the “Agreements”), for the Bridge Builder Small/Mid Cap Growth Fund (the “Fund”), a series of Bridge Builder Trust. In advance of the February Meeting and a meeting held on November 10-11, 2014 (together with the February Meeting, the “Meetings”), in response to the Independent Trustees’ request for information, the Adviser and the Sub-advisers furnished information to the Board necessary for the Board to evaluate the terms of the Agreements.
This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Adviser and the Sub-advisers; (ii) the Adviser’s and the Sub-advisers’ investment management personnel; (iii) the Adviser’s and the Sub-advisers’ operations; (iv) each Sub-adviser’s investment philosophy and investment process; (v) the advisory fees proposed to be payable to the Adviser and the Fund’s overall fees and operating expenses, in each case compared with those of a peer group of mutual funds; (vi) the sub-advisory fees proposed to be payable to the Sub-advisers; (vii) the Adviser’s and the Sub-advisers’ policies and compliance procedures, including those related to personal securities transactions; (viii) the Adviser’s and its affiliates’ experience in selecting and monitoring third-party investment managers; and (ix) the investment performance of accounts managed by each Sub-adviser with strategies similar to the portion of the Fund proposed to be managed by the Sub-adviser.
At the Meetings, representatives of the Adviser and the Sub-advisers, along with other Fund service providers made a presentation and responded to questions regarding their services, fees and other aspects of the Agreements. The Independent Trustees received advice from Fund counsel and from their legal independent counsel, including advice regarding the legal standards applicable to the consideration of advisory arrangements, and met in executive session outside the presence of the Interested Trustees, Fund management and representatives of the Adviser and the Sub-advisers to discuss the Agreements and the services to be provided by the Adviser and the Sub-advisers.
In considering the approval of the Agreements, the Board considered various factors as discussed in further detail below:
1. The nature, extent and quality of the services provided and to be provided by the Adviser under the Advisory Agreement and the Sub-advisers under Sub-advisory Agreements. The Board reviewed the advisory services to be provided by the Adviser, including identifying, analyzing and recommending the engagement of the Sub-advisers. The Board also reviewed the portfolio management services to be provided by each Sub-adviser, including how each Sub-adviser’s investment philosophy and process complement those of the other Sub-advisers , as well as the background and experience of the Sub-advisers’ portfolio management personnel. The Board reviewed the resources of the Adviser and the Sub-advisers, and the terms of the proposed Agreements, including the Adviser’s obligation to supervise and monitor the performance of the Sub-advisers and to allocate assets among the Sub-advisers. The Trustees also considered other services to be provided to the Fund by the Adviser, or by the Sub-advisers under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and the Sub-advisers are capable of providing services of the type and nature contemplated by the terms of the Agreements.
(1) Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without shareholder approval and granting them relief from certain disclosure requirements.
62 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements (Continued)
2. Fees and Other Expenses. The Trustees reviewed a reported on the advisory fees proposed to be payable by the Fund to the Adviser, as well as the sub-advisory fees proposed to be payable by the Adviser to the Sub-advisers. The Trustees also reviewed reports prepared by Lipper, Inc., an independent provider of industry data, comparing the Fund’s advisory fees and gross and net expense ratios to those paid by a peer group of mutual funds. The Trustees considered that the Adviser, not the Fund, would pay the Sub-advisers pursuant to the sub-advisory agreements. The Trustees evaluated both the fee that would be payable under the sub-advisory agreements and the portion of the fee under the advisory agreement that could be retained by the Adviser, subject, however, to the waiver described below.
In addition, the Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay the Sub-advisers. The Board noted that the Adviser may terminate this waiver arrangement following notice, without Board approval, once a year. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by the Adviser and the Sub-advisers.
3. The Fund’s Investment Performance Record. Because the Fund is new and had not commenced operations, it did not yet have an investment performance record. The Board did consider hypothetical and historical performance of the Fund and each Sub-Adviser’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. Because the Fund is new and had not yet commenced operations, the Adviser did not present the Board with information regarding its profitability or the extent to which economies of scale would be realized as the assets of the Fund grow. Also, the Board did not consider profitability of the Sub-advisers to be a material factor, given that the Sub-advisers are not affiliated with the Adviser, and therefore, the fees were negotiated at arm’s length. The Trustees expect to receive information on the Adviser’s profitability and economies of scale in advance of considering future renewals of the Agreements.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Agreements for initial terms of two years. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or single piece of information, that was all-important, controlling or determinative of its decision, and each Trustee may have attributed different weights to the various factors and conclusions with respect thereto, and information.
Annual Report • June 30, 2015 | 63 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Board Consideration of Sub-advisory Agreement
Pursuant to Section 15 of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.(1)
At a meeting held on May 21-22, 2015 (the “Meeting”), the Board, including the Independent Trustees, considered and approved an investment sub-advisory agreement with Stephens Investment Management Group, LLC (the “Sub-adviser”), for an initial two-year term (the “Agreement”), for the Bridge Builder Small/Mid Cap Growth Fund (the “Fund”), a series of the Bridge Builder Trust. In advance of the May Meeting, in response to the Independent Trustees’ request for information, the Sub-adviser furnished information to the Board necessary for the Board to evaluate the terms of the Agreement.
This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Sub-adviser; (ii) the Sub-adviser’s investment management personnel; (iii) the Sub-adviser’s operations; (iv) the Sub-adviser’s investment philosophy and investment process; (v) the sub-advisory fees proposed to be payable to the Sub-adviser; (vi) the Sub-adviser’s policies and compliance procedures, including those related to personal securities transactions; and (vii) the investment performance of accounts managed by the Sub-adviser with strategies similar to the portion of the Fund proposed to be managed by the Sub-adviser.
At the Meeting, representatives of the Sub-adviser made a presentation and responded to questions regarding their services, fees and other aspects of the Agreement. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Sub-adviser to discuss the Agreement and the services to be provided by the Sub-adviser. In considering the approval of the Agreements, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services provided and to be provided by the Sub-adviser under Sub-advisory Agreement. The Board reviewed the portfolio management services proposed to be provided by the Sub-adviser, including how the Sub-adviser’s investment philosophy and process complement those of the other Sub-advisers that manage the Fund, as well as the background and experience of the Sub-adviser’s portfolio management personnel. The Board reviewed the resources of the Sub-adviser, and the terms of the proposed Agreement. The Trustees also considered other services to be provided to the Fund by the Sub-adviser under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Sub-adviser is capable of providing services of the type and nature contemplated by the terms of the Agreement.
2. Fees and Other Expenses. The Trustees reviewed a report on the sub-advisory fees proposed to be payable by the Adviser to the Sub-adviser. The Trustees considered that the Adviser, not the Fund, would pay the Sub-adviser pursuant to the Agreement. The Trustees noted, however, that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay the Sub-advisers. Given the terms of this waiver arrangement, the Trustees acknowledged that sub-advisory fee levels can affect the Fund’s net expense ratio. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by the Sub-adviser.
(1) Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without shareholder approval and granting them relief from certain disclosure requirements.
64 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Board Consideration of Sub-advisory Agreement (Continued)
3. The Sub-Adviser’s Investment Performance Record. Because the Sub-adviser is new to the Fund, which only recently commenced operations, the Board was not able to evaluate an investment performance record for a portion of the Fund managed by the Sub-adviser. The Board did consider hypothetical performance of the Fund and the Sub-adviser’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. The Board did not consider profitability of the Sub-adviser to be a material factor, given that the Sub-adviser is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Board noted that the Sub-adviser had agreed to contractual breakpoints in its fee schedule.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Agreement for an initial term of two years. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or single piece of information, that was all-important, controlling or determinative of its decision, and each Trustee may have attributed different weights to the various factors and conclusions with respect thereto, and information.
Annual Report • June 30, 2015 | 65 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements
Pursuant to Section 15 of the 1940 Act, a fund’s advisory and sub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the Board of Trustees (the “Board” or the “Trustees”) of the Trust who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.(1)
At a meeting held on February 18-19, 2015 (the “February Meeting”), the Board, including the Independent Trustees, considered and approved an investment advisory agreement with Olive Street Investment Advisors (the “Adviser”) and investment sub-advisory agreements with Vaughan Nelson Investment Management, L.P.; Boston Partners; Silvercrest Asset Management Group LLC; Advisory Research, Inc.; and BlackRock Investment Management, LLC (the “Sub-advisers”) each for an initial two-year term (the “Agreements”), for the Bridge Builder Small/Mid Cap Value Fund (the “Fund”), a series of Bridge Builder Trust. In advance of the February Meeting and a meeting held on November 10-11, 2014 (together with the February Meeting, the “Meetings”), in response to the Independent Trustees’ request for information, the Adviser and the Sub-advisers furnished information to the Board necessary for the Board to evaluate the terms of the Agreements.
This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Adviser and the Sub-advisers; (ii) the Adviser’s and the Sub-advisers’ investment management personnel; (iii) the Adviser’s and the Sub-advisers’ operations; (iv) each Sub-adviser’s investment philosophy and investment process; (v) the advisory fees proposed to be payable to the Adviser and the Fund’s overall fees and operating expenses, in each case compared with those of a peer group of mutual funds; (vi) the sub-advisory fees proposed to be payable to the Sub-advisers; (vii) the Adviser’s and the Sub-advisers’ policies and compliance procedures, including those related to personal securities transactions; (viii) the Adviser’s and its affiliates’ experience in selecting and monitoring third-party investment managers; and (ix) the investment performance of accounts managed by each Sub-adviser with strategies similar to the portion of the Fund proposed to be managed by the Sub-adviser.
At the Meetings, representatives of the Adviser and the Sub-advisers, along with other Fund service providers made a presentation and responded to questions regarding their services, fees and other aspects of the Agreements. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and the Sub-advisers to discuss the terms of the Agreements and the services to be provided by the Adviser and the Sub-advisers.
In considering the approval of the Agreements, the Board considered various factors as discussed in further detail below:
1. The nature, extent and quality of the services provided and to be provided by the Adviser under the Advisory Agreement and the Sub-advisers under Sub-advisory Agreements. The Board reviewed the advisory services to be provided by the Adviser, including identifying, analyzing and recommending the engagement of the Sub-advisers. The Board also reviewed the portfolio management services to be provided by each Sub-adviser, including how each Sun-adviser’s investment philosophy and process complement those of the other Sub-advisers, as well as the background and experience of the Sub-advisers’ portfolio management personnel. The Board reviewed the resources of the Adviser and the Sub-advisers, and the terms of the proposed Agreements, including the Adviser’s obligation to supervise and monitor the performance of the Sub-advisers and to allocate assets among the Sub-advisers. The Trustees also considered other services to be provided to the Fund by the Adviser, or by the Sub-advisers under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity, voting proxies, and selecting broker-dealers to execute portfolio transactions. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and the Sub-Advisers are capable of providing services of the type and nature contemplated by the terms of the Agreements.
(1) Bridge Builder Trust and the Adviser have received an exemptive order from the Securities and Exchange Commission permitting them to enter into and materially amend sub-advisory agreements without shareholder approval and granting them relief from certain disclosure requirements.
66 | Annual Report • June 30, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Board Consideration of Investment Advisory and Sub-advisory Agreements (Continued)
2. Fees and Other Expenses. The Trustees reviewed a report on the advisory fees proposed to be payable by the Fund to the Adviser, as well as the sub-advisory fees proposed to be payable by the Adviser to the Sub-advisers. The Trustees also reviewed reports prepared by Lipper, Inc., an independent provider of industry data, comparing the Fund’s advisory fees and gross and net expense ratios to those paid by a peer group of mutual funds. The Trustees considered that the Adviser, not the Fund, would pay the Sub-advisers pursuant to the sub-advisory agreements. The Trustees evaluated both the fee that would be payable under the sub-advisory agreements and the portion of the fee under the advisory agreement that could be retained by the Adviser, subject, however, to the waiver described below.
In addition, the Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay the Sub-advisers. The Board noted that the Adviser may terminate this waiver arrangement following notice, without Board approval, once a year. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by the Adviser and the Sub-advisers.
3. The Fund’s Investment Performance Record. Because the Fund is new and had not commenced operations, it did not yet have an investment performance record. The Board did consider hypothetical and historical performance of the Fund and each Sub-Adviser’s performance history with respect to similarly-managed investment accounts.
4. Profitability and Economies of Scale. Because the Fund is new and had not yet commenced operations, the Adviser did not present the Board with information regarding its profitability or the extent to which economies of scale would be as the assets of the Fund grow. Also, the Board did not consider profitability of the Sub-advisers to be a material factor, given that the Sub-advisers are not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Trustees expect to receive information on the Adviser’s profitability and economies of scale in advance of considering future renewals of the Agreements.
5. Indirect Benefits. The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Agreements for initial terms of two years. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or single piece of information, that was all-important, controlling or determinative of its decision, and each Trustee may have attributed different weights to the various factors and conclusions with respect thereto, and information.
Annual Report • June 30, 2015 | 67 |
Table of Contents
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 (1982-2005) | |||
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) |
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) | |||
Alan J. Herzog (Born: 1973) | Chief Compliance Officer and Vice President | Indefinite Term; Since January 1, 2015 | Director of Funds Compliance, Edward Jones (Since 2013); Senior Counsel, Wells Fargo Advisors, LLC (2008-2013) | |||
Elaine E. Richards (Born: 1968) | Secretary | Indefinite Term; Since Inception | Vice President and Legal Compliance Officer, U.S. Bancorp Fund Services, LLC (Since July 2007) |
The business address of the Trustees and Officers is the address of the Trust: 615 East Michigan Street, Milwaukee, Wisconsin 53202.
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
68 | Annual Report • June 30, 2015 |
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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 Funds use to determine how to vote proxies relating to portfolio securities is available, free of charge, by calling 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, 1-855-823-3611.
Household Delivery of Shareholder Documents
To reduce expenses the Funds may mail only one copy of the prospectus, Statement of Additional Information 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 Trust at 1-855-823-3611. You will begin receiving individual copies thirty days after your request is received.
Schedule of Investments
Each 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.
Tax Notice
The percentage of dividend income distributed for the period ended June 30, 2015, which is designated as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003, was 0%, 0%, 100%, 0% and 0% for the Bond Fund, Large Cap Growth Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund and Small/Mid Cap Value Fund, respectively. 0%, 0%, 90.49%, 0% and 0% of the dividends paid by the Bond Fund, Large Cap Growth Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund and Small/Mid Cap Value Fund, respectively, qualify for the corporate dividends received deduction.
For the period ended June 30, 2015, 0%, 0%, 0%, 0% and 0% of the ordinary income distributions paid by the Bond Fund, Large Cap Growth Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund and Small/Mid Cap Value Fund, respectively, were designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c). For the period ended June 30, 2015, 100%, 0%, 0%, 0% and 0% of the ordinary income distributions paid by the Bond Fund, Large Cap Growth Fund, Large Cap Value Fund, Small/Mid Cap Growth Fund and Small/Mid Cap Value Fund, respectively, qualify as interest related dividends under Internal Revenue Code Section 871(k)(2)(c).
Annual Report • June 30, 2015 | 69 |
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Bridge Builder Mutual Funds
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 |
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. |
Questions? Call 855-823-3611 or go to www.bridgebuildermutualfunds.com |
70 | Annual Report • June 30, 2015 |
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Investment Adviser
Olive Street Investment Advisers, LLC
12555 Manchester Road
St. Louis, MO 63131
Administrator, Fund Accountant & Transfer Agent
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
Distributor
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Morgan Lewis & Bockius, LLP
1701 Market Street
Philadelphia, PA 19103
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
One North Wacker
Chicago, IL 60606
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Bridge Builder Mutual Funds Bridge Builder mutual funds, available exclusively through Edward Jones Advisory Solutions®, provide investors diversified expertise from leading asset management firms. The management of Bridge Builder mutual funds is rooted in our investment philosophy of diversification, a long-term approach and high quality. Visit www.bridgebuildermutualfunds.com for more information. Enroll in e-delivery Add convenience and organization to your financial life by signing up for e-delivery. Visit www.edwardjones.com/edelivery to learn more and enroll. DES-8308-A
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Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that John Tesoro and William Scheffel are the “audit committee financial experts” and are considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, and tax services during the past two fiscal years. “Audit fees” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related fees” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax fees” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 6/30/2015 | FYE 6/30/2014 | |||||||
Audit Fees | $ | 198,500 | $ | 65,000 | ||||
Audit-Related Fees | ||||||||
Tax Fees | $ | 27,775 | $ | 5,100 | ||||
All Other Fees |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
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The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X were as follows:
FYE 6/30/2015 | FYE 6/30/2014 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any entity controlling, controlled by, or under common control with the investment adviser) for the last two years.
FYE 6/30/2015 | FYE 6/30/2014 | |||||||
Non-Audit Related Fees | ||||||||
Registrant | $ | 27,775 | $ | 5,100 | ||||
Registrant’s Investment Adviser | $ | 0 | $ | 0 |
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).
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Item 6. Investments.
Bridge Builder Bond Fund
Schedule of Investments
June 30, 2015
Principal | ||||||||
Amount | Value | |||||||
BONDS & NOTES - 96.19% | ||||||||
Asset Backed Obligations - 9.35% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
5.00%, 06/25/2035 | $ | 838,775 | $ | 863,556 | ||||
ABFC 2006-OPT1 Trust | ||||||||
0.34%, 09/25/2036 | 6,442,393 | 5,529,912 | ||||||
Academic Loan Funding Trust 2012-1 | ||||||||
0.99%, 12/27/2022 (Acquired 10/28/2013, Cost $1,260,237) (b) | 1,254,509 | 1,255,512 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
0.99%, 12/26/2044 (Acquired 11/15/2013, Cost $1,566,879) (b) | 1,578,081 | 1,574,603 | ||||||
Ally Auto Receivables Trust 2012-3 | ||||||||
0.85%, 08/15/2016 | 37,950 | 37,955 | ||||||
Ally Auto Receivables Trust 2014-SN2 | ||||||||
1.03%, 09/20/2017 | 991,000 | 990,123 | ||||||
Ally Auto Receivables Trust 2015-SN1 | ||||||||
0.93%, 10/20/2016 | 2,750,000 | 2,750,300 | ||||||
1.21%, 03/20/2017 | 915,000 | 916,424 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
2.28%, 09/17/2018 (Acquired 10/28/2013, Cost $143,554) (b) | 143,699 | 143,729 | ||||||
American Credit Acceptance Receivables Trust 2013-1 | ||||||||
1.45%, 04/16/2018 (Acquired 10/28/2013, Cost $158,806) (b) | 158,902 | 158,918 | ||||||
American Credit Acceptance Receivables Trust 2014-1 | ||||||||
1.14%, 03/12/2018 (Acquired 01/07/2014, Cost $126,328) (b) | 126,332 | 126,303 | ||||||
American Credit Acceptance Receivables Trust 2014-2 | ||||||||
0.99%, 10/10/2017 (Acquired 04/15/2014, Cost $1,231,256) (b) | 1,231,290 | 1,230,328 | ||||||
2.26%, 03/10/2020 (Acquired 04/15/2014, Cost $1,033,921) (b) | 1,034,000 | 1,034,549 | ||||||
American Credit Acceptance Receivables Trust 2014-3 | ||||||||
2.43%, 06/10/2020 (Acquired 01/28/2015, Cost $500,540) (b) | 500,000 | 500,452 | ||||||
American Credit Acceptance Receivables Trust 2014-4 | ||||||||
1.33%, 07/10/2018 (Acquired 11/19/2014, Cost $787,245) (b) | 787,287 | 787,040 | ||||||
American Credit Acceptance Receivables Trust 2015-1 | ||||||||
1.43%, 08/12/2019 (Acquired 03/11/2015, Cost $1,839,350) (b) | 1,839,469 | 1,837,341 | ||||||
American Credit Acceptance Receivables Trust 2015-2 | ||||||||
1.57%, 06/12/2019 | 2,349,000 | 2,347,052 | ||||||
4.32%, 05/12/2021 | 980,000 | 981,560 | ||||||
American Express Credit Account Master Trust 2013-1 | ||||||||
0.89%, 02/16/2021 | 5,000,000 | 5,024,885 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
4.29%, 10/17/2036 (Acquired 09/18/2014, Cost $300,473) (b) | 300,000 | 309,765 | ||||||
6.23%, 10/17/2036 (Acquired 09/10/2014, Cost $1,094,548) (b) | 1,000,000 | 1,072,892 |
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American Homes 4 Rent 2014-SFR3 Trust | ||||||||
4.60%, 12/17/2036 (Acquired 04/06/2015, Cost $421,919) (b) | 400,000 | 413,818 | ||||||
6.42%, 12/17/2036 (Acquired 04/01/2015 through 04/22/2015, Cost $1,111,302) (b) | 1,000,000 | 1,070,725 | ||||||
American Homes 4 Rent 2015-SFR1 | ||||||||
3.47%, 04/17/2052 (Acquired 04/01/2015 through 04/13/2015, Cost $2,282,612) (b) | 2,243,269 | 2,227,274 | ||||||
5.64%, 04/17/2052 (Acquired 04/01/2015 through 04/22/2015, Cost $1,107,615) (b) | 1,050,000 | 1,083,805 | ||||||
AmeriCredit Automobile Receivables Trust 2012-5 | ||||||||
0.62%, 06/08/2017 | 28,287 | 28,288 | ||||||
AmeriCredit Automobile Receivables Trust 2013-1 | ||||||||
0.61%, 10/10/2017 | 45,883 | 45,878 | ||||||
AmeriCredit Automobile Receivables Trust 2013-4 | ||||||||
0.96%, 04/09/2018 | 2,019,515 | 2,021,991 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
0.90%, 09/10/2018 | 2,073,220 | 2,073,094 | ||||||
AmeriCredit Automobile Receivables Trust 2014-1 | ||||||||
0.90%, 02/08/2019 | 2,719,000 | 2,714,992 | ||||||
AmeriCredit Automobile Receivables Trust 2015-2 | ||||||||
0.83%, 09/10/2018 | 2,044,000 | 2,041,938 | ||||||
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-13 | ||||||||
5.09%, 01/25/2034 | 8,869 | 8,824 | ||||||
Anchorage Capital CLO 2013-1 Ltd | ||||||||
1.47%, 07/13/2025 (Acquired 11/25/2013, Cost $14,353,726) (b) | 14,500,000 | 14,307,962 | ||||||
Apidos CLO IX | ||||||||
1.58%, 07/15/2023 | 3,000,000 | 2,998,500 | ||||||
Argent Securities Inc | ||||||||
1.32%, 03/25/2034 | 3,570,651 | 3,374,883 | ||||||
Argent Securities Inc Asset Back Pass Thr Certs Ser 2004-W5 | ||||||||
1.22%, 04/25/2034 | 3,667,317 | 3,469,938 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
0.53%, 11/25/2035 | 6,493,869 | 6,298,157 | ||||||
ARLP Securitization Trust Series 2015-1 | ||||||||
3.97%, 05/25/2055 (Acquired 06/26/2015, Cost $2,967,000) (b) | 2,967,000 | 2,967,000 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2002-HE3 | ||||||||
2.51%, 10/15/2032 | 801,071 | 792,982 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6 | ||||||||
0.87%, 11/25/2033 | 1,862,969 | 1,758,477 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6 | ||||||||
0.91%, 09/25/2034 | 6,879,950 | 6,792,375 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
0.35%, 03/25/2036 | 5,185,783 | 4,860,862 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
0.96%, 04/25/2034 | 770,258 | 757,685 | ||||||
Atlas Senior Loan Fund IV Ltd | ||||||||
1.77%, 02/17/2026 (Acquired 12/13/2013, Cost $15,211,648) (b) | 15,250,000 | 15,211,875 |
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Avis Budget Rental Car Funding AESOP LLC | ||||||||
1.92%, 09/20/2019 (Acquired 12/17/2014, Cost $4,878,313) (b) | 4,900,000 | 4,881,914 | ||||||
2.46%, 07/20/2020 (Acquired 02/05/2014 through 06/27/2014, Cost $10,308,286) (b) | 10,300,000 | 10,360,564 | ||||||
2.50%, 07/20/2021 (Acquired 01/22/2015, Cost $11,998,142) (b) | 12,000,000 | 11,916,360 | ||||||
2.63%, 12/20/2021 (Acquired 05/20/2015, Cost $7,798,392) (b) | 7,800,000 | 7,772,778 | ||||||
AXIS Equipment Finance Receivables II LLC | ||||||||
1.75%, 03/20/2017 (Acquired 11/13/2013, Cost $574,391) (b) | 574,406 | 574,469 | ||||||
Axis Equipment Finance Receivables III LLC | ||||||||
1.90%, 03/20/2020 (Acquired 04/16/2015, Cost $1,624,918) (b) | 1,625,000 | 1,625,094 | ||||||
B2R Mortgage Trust 2015-1 | ||||||||
2.52%, 05/15/2048 (Acquired 04/07/2015, Cost $1,336,471) (b) | 1,336,503 | 1,328,407 | ||||||
BA Credit Card Trust | ||||||||
1.36%, 09/15/2020 | 1,200,000 | 1,195,477 | ||||||
Babson CLO Ltd 2013-I | ||||||||
1.38%, 04/20/2025 (Acquired 05/03/2013, Cost $765,155) (b) | 775,000 | 766,688 | ||||||
Battalion CLO IV Ltd | ||||||||
1.68%, 10/22/2025 | 8,000,000 | 7,974,088 | ||||||
Battalion CLO VIII Ltd | ||||||||
1.82%, 04/18/2027 | 1,750,000 | 1,746,500 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A | ||||||||
5.48%, 02/28/2041 | 24,550 | 25,598 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2047 | 268,602 | 240,548 | ||||||
BCC Funding X LLC | ||||||||
2.22%, 10/20/2020 (Acquired 06/17/2015, Cost $2,698,973) (b) | 2,699,000 | 2,704,595 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | ||||||||
1.04%, 08/25/2034 | 7,536,175 | 6,947,720 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | ||||||||
1.08%, 08/25/2034 | 924,542 | 870,158 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
1.69%, 03/25/2043 | 5,798,204 | 5,668,898 | ||||||
Bear Stearns Asset Backed Securities Trust 2006-SD1 | ||||||||
0.56%, 04/25/2036 | 71,705 | 68,614 | ||||||
Blue Elephant Loan Trust 2015-1 | ||||||||
3.12%, 12/15/2022 | 2,540,990 | 2,539,720 | ||||||
BMW Vehicle Owner Trust 2014-A | ||||||||
0.53%, 04/25/2017 | 901,659 | 901,906 | ||||||
0.97%, 11/26/2018 | 680,000 | 679,901 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027 (Acquired 10/28/2013, Cost $577,204) (b) | 582,785 | 579,770 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
1.63%, 02/18/2020 (Acquired 10/28/2013, Cost $788,969) (b) | 784,000 | 790,669 | ||||||
California Republic Auto Receivables Trust 2012-1 | ||||||||
1.18%, 08/15/2017 (Acquired 12/03/2014, Cost $638,590) (b) | 638,429 | 639,215 | ||||||
CAM Mortgage LLC 2015-1 | ||||||||
3.50%, 07/15/2064 (Acquired 06/24/2015, Cost $3,750,000) (b) | 3,750,000 | 3,535,500 |
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Capital Auto Receivables Asset Trust 2013-3 | ||||||||
1.31%, 12/20/2017 | 1,300,000 | 1,304,060 | ||||||
Capital Auto Receivables Asset Trust 2013-4 | ||||||||
0.85%, 02/21/2017 | 875,705 | 876,157 | ||||||
1.09%, 03/20/2018 | 957,000 | 958,045 | ||||||
Capital Auto Receivables Asset Trust 2014-2 | ||||||||
0.91%, 04/20/2017 | 700,000 | 700,043 | ||||||
Carfinance Capital Auto Trust 2013-1 | ||||||||
1.65%, 07/17/2017 (Acquired 10/28/2013, Cost $16,414) (b) | 16,398 | 16,402 | ||||||
2.75%, 11/15/2018 (Acquired 10/28/2013, Cost $170,615) (b) | 172,000 | 173,157 | ||||||
Carfinance Capital Auto Trust 2013-2 | ||||||||
1.75%, 11/15/2017 (Acquired 10/28/2013, Cost $68,893) (b) | 68,894 | 68,980 | ||||||
CarFinance Capital Auto Trust 2014-1 | ||||||||
1.46%, 12/17/2018 (Acquired 03/17/2014, Cost $872,741) (b) | 872,818 | 871,660 | ||||||
2.72%, 04/15/2020 (Acquired 03/17/2014, Cost $374,921) (b) | 375,000 | 378,067 | ||||||
CarFinance Capital Auto Trust 2014-2 | ||||||||
1.44%, 11/16/2020 (Acquired 07/29/2014, Cost $2,703,722) (b) | 2,703,885 | 2,698,691 | ||||||
CarFinance Capital Auto Trust 2015-1 | ||||||||
1.75%, 06/15/2021 (Acquired 02/18/2015, Cost $1,480,148) (b) | 1,480,167 | 1,481,288 | ||||||
Carlyle Global Market Strategies CLO 2013-1 Ltd | ||||||||
1.56%, 02/14/2025 (Acquired 01/02/2014, Cost $5,050,818) (b) | 5,100,000 | 5,083,823 | ||||||
Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd | ||||||||
2.18%, 10/15/2021 (Acquired 05/22/2014, Cost $2,686,667) (a)(b) | 2,686,667 | 2,662,756 | ||||||
CarMax Auto Owner Trust 2013-1 | ||||||||
0.60%, 10/16/2017 | 100,693 | 100,621 | ||||||
CarMax Auto Owner Trust 2013-4 | ||||||||
0.80%, 07/16/2018 | 308,000 | 307,975 | ||||||
1.28%, 05/15/2019 | 275,000 | 275,242 | ||||||
CarMax Auto Owner Trust 2014-2 | ||||||||
0.98%, 01/15/2019 | 2,105,000 | 2,106,530 | ||||||
CarMax Auto Owner Trust 2015-2 | ||||||||
0.82%, 06/15/2018 | 1,818,000 | 1,819,107 | ||||||
Carnow Auto Receivables Trust 2013-1 | ||||||||
1.97%, 11/15/2017 (Acquired 10/28/2013, Cost $37,459) (b) | 37,454 | 37,448 | ||||||
Carnow Auto Receivables Trust 2014-1 | ||||||||
0.96%, 01/17/2017 (Acquired 09/17/2014, Cost $905,919) (b) | 905,936 | 905,448 | ||||||
1.89%, 11/15/2018 (Acquired 09/17/2014, Cost $999,946) (b) | 1,000,000 | 1,001,489 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
0.37%, 02/25/2036 | 1,627,202 | 1,576,587 | ||||||
Catamaran CLO 2014-1 Ltd | ||||||||
1.83%, 04/20/2026 | 5,500,000 | 5,498,212 | ||||||
2.08%, 04/20/2026 | 4,500,000 | 4,446,108 | ||||||
Catamaran CLO 2014-2 Ltd | ||||||||
1.79%, 10/18/2026 (Acquired 12/17/2014, Cost $990,714) (b) | 1,000,000 | 1,000,449 | ||||||
Catamaran CLO 2015-1 Ltd | ||||||||
1.81%, 04/22/2027 (Acquired 03/31/2015, Cost $750,000) (b) | 750,000 | 749,872 |
Table of Contents
Chase Funding Trust Series 2003-4 | ||||||||
5.41%, 05/25/2033 | 254,920 | 263,233 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
4.28%, 11/25/2034 | 661,942 | 672,719 | ||||||
5.25%, 11/25/2034 | 388,777 | 405,305 | ||||||
Chase Issuance Trust | ||||||||
0.65%, 04/15/2019 | 16,700,000 | 16,600,067 | ||||||
Chrysler Capital Auto Receivables Trust 2014-A | ||||||||
0.83%, 09/17/2018 (Acquired 05/15/2015, Cost $1,000,323) (b) | 1,000,000 | 1,000,405 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.55%, 10/25/2035 | 6,636,151 | 6,552,011 | ||||||
Concord Funding Co LLC | ||||||||
3.15%, 01/15/2017 (Acquired 10/28/2013, Cost $3,096,000) (b) | 3,096,000 | 3,125,412 | ||||||
Conseco Financial Corp | ||||||||
6.40%, 10/15/2018 | 6,456 | 6,559 | ||||||
7.05%, 01/15/2019 | 2,904 | 2,974 | ||||||
6.24%, 12/01/2028 | 70,078 | 72,127 | ||||||
7.07%, 01/15/2029 | 425 | 430 | ||||||
6.22%, 03/01/2030 | 157,194 | 166,590 | ||||||
6.18%, 04/01/2030 | 43,506 | 46,544 | ||||||
Consumer Credit Origination Loan Trust 2015-1 | ||||||||
2.82%, 03/15/2021 (Acquired 02/03/2015 through 02/17/2015, Cost $1,275,406) (b) | 1,275,470 | 1,283,013 | ||||||
Contimortgage Home Equity Loan Trust 1997-2 | ||||||||
7.09%, 04/15/2028 | 1 | 1 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
5.12%, 02/25/2035 | 112,150 | 114,213 | ||||||
4.76%, 02/25/2036 | 1,116,439 | 1,142,038 | ||||||
0.43%, 04/25/2036 | 2,092,567 | 2,079,214 | ||||||
4.95%, 04/25/2036 | 332,332 | 300,547 | ||||||
4.93%, 09/25/2046 | 148,512 | 133,258 | ||||||
CPS Auto Receivables Trust 2011-B | ||||||||
3.68%, 09/17/2018 (Acquired 10/28/2013, Cost $71,083) (b) | 70,490 | 71,145 | ||||||
CPS Auto Receivables Trust 2011-C | ||||||||
4.21%, 03/15/2019 (Acquired 10/28/2013, Cost $270,927) (b) | 268,209 | 272,459 | ||||||
CPS Auto Receivables Trust 2012-A | ||||||||
2.78%, 06/17/2019 (Acquired 10/28/2013, Cost $150,412) (b) | 149,393 | 151,101 | ||||||
CPS Auto Receivables Trust 2012-B | ||||||||
2.52%, 09/16/2019 (Acquired 10/28/2013, Cost $722,086) (b) | 717,466 | 721,992 | ||||||
CPS Auto Receivables Trust 2013-A | ||||||||
1.31%, 06/15/2020 (Acquired 10/28/2013, Cost $522,505) (b) | 523,798 | 522,404 | ||||||
CPS Auto Receivables Trust 2013-C | ||||||||
1.64%, 04/16/2018 (Acquired 10/28/2013, Cost $451,937) (b) | 452,541 | 453,472 | ||||||
CPS Auto Receivables Trust 2013-D | ||||||||
1.54%, 07/16/2018 (Acquired 12/10/2013, Cost $1,359,269) (b) | 1,359,357 | 1,361,358 | ||||||
CPS Auto Receivables Trust 2014-A | ||||||||
1.21%, 08/15/2018 (Acquired 03/10/2014, Cost $969,429) (b) | 969,499 | 968,465 |
Table of Contents
CPS Auto Receivables Trust 2014-B | ||||||||
1.11%, 11/15/2018 | 2,214,734 | 2,208,914 | ||||||
CPS Auto Receivables Trust 2014-C | ||||||||
1.31%, 02/15/2019 (Acquired 09/09/2014 through 06/18/2015, Cost $3,219,276) (b) | 3,220,271 | 3,219,668 | ||||||
3.77%, 08/17/2020 (Acquired 09/09/2014, Cost $557,949) (b) | 558,000 | 557,436 | ||||||
CPS Auto Receivables Trust 2014-D | ||||||||
1.49%, 04/15/2019 (Acquired 12/10/2014, Cost $2,842,396) (b) | 2,842,456 | 2,856,071 | ||||||
4.35%, 11/16/2020 (Acquired 12/10/2014, Cost $524,952) (b) | 525,000 | 531,873 | ||||||
CPS Auto Receivables Trust 2015-A | ||||||||
1.53%, 07/15/2019 (Acquired 03/19/2015, Cost $2,421,772) (b) | 2,421,772 | 2,431,761 | ||||||
4.00%, 02/16/2021 (Acquired 03/19/2015, Cost $445,919) (b) | 446,000 | 445,288 | ||||||
CPS Auto Trust | ||||||||
1.65%, 11/15/2019 (Acquired 06/09/2015, Cost $4,999,989) (b) | 5,000,000 | 5,004,905 | ||||||
1.82%, 12/16/2019 (Acquired 10/28/2013, Cost $537,236) (b) | 536,225 | 538,941 | ||||||
1.48%, 03/16/2020 (Acquired 10/28/2013, Cost $297,700) (b) | 297,550 | 298,218 | ||||||
4.20%, 05/17/2021 (Acquired 06/09/2015, Cost $1,904,876) (b) | 1,905,000 | 1,910,635 | ||||||
Credit Acceptance Auto Loan Trust 2012-2 | ||||||||
1.52%, 03/16/2020 (Acquired 10/28/2013, Cost $130,721) (b) | 130,482 | 130,639 | ||||||
Credit Acceptance Auto Loan Trust 2013-1 | ||||||||
1.21%, 10/15/2020 (Acquired 01/30/2015, Cost $1,534,614) (b) | 1,534,360 | 1,536,127 | ||||||
Credit Acceptance Auto Loan Trust 2014-1 | ||||||||
1.55%, 10/15/2021 (Acquired 01/21/2015, Cost $1,398,204) (b) | 1,400,000 | 1,400,249 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
4.16%, 12/25/2035 | 32,104 | 31,796 | ||||||
CSMC Trust 2006-CF1 | ||||||||
0.50%, 11/25/2035 (Acquired 10/28/2013, Cost $6,052) (b) | 6,117 | 6,075 | ||||||
CWABS Asset-Backed Certificates Trust 2004-13 | ||||||||
4.58%, 01/25/2033 | 25,034 | 25,022 | ||||||
CWABS Asset-Backed Certificates Trust 2004-15 | ||||||||
4.61%, 04/25/2035 | 227,249 | 228,520 | ||||||
CWABS Asset-Backed Certificates Trust 2005-1 | ||||||||
5.03%, 07/25/2035 | 250,821 | 255,227 | ||||||
CWABS Asset-Backed Certificates Trust 2005-11 | ||||||||
4.78%, 02/25/2036 | 971,220 | 996,165 | ||||||
CWABS Asset-Backed Certificates Trust 2005-17 | ||||||||
4.89%, 05/25/2036 | 22,825 | 31,995 | ||||||
4.89%, 05/25/2036 | 85,215 | 104,168 | ||||||
CWABS Inc Asset-Backed Certificates Series 2003-5 | ||||||||
5.41%, 01/25/2034 | 39,953 | 40,466 | ||||||
CWABS Inc Asset-Backed Certificates Series 2004-1 | ||||||||
0.94%, 03/25/2034 | 95,883 | 91,458 | ||||||
1.01%, 03/25/2034 | 12,149 | 11,211 | ||||||
0.75%, 04/25/2034 | 1,112 | 1,040 | ||||||
CWABS Inc Asset-Backed Certificates Trust 2004-6 | ||||||||
1.09%, 10/25/2034 | 86,656 | 83,733 | ||||||
0.97%, 11/25/2034 | 1,426,084 | 1,374,279 |
Table of Contents
CWHEQ Home Equity Loan Trust Series 2007-S1 | ||||||||
5.69%, 11/25/2036 | 62,673 | 60,407 | ||||||
Drive Auto Receivables Trust 2015-A | ||||||||
1.01%, 11/15/2017 (Acquired 03/12/2015, Cost $3,226,184) (b) | 3,226,000 | 3,227,394 | ||||||
4.12%, 06/15/2022 (Acquired 03/12/2015, Cost $1,765,609) (b) | 1,766,000 | 1,783,995 | ||||||
Drive Auto Receivables Trust 2015-B | ||||||||
2.12%, 06/17/2019 (Acquired 05/20/2015, Cost $1,631,899) (b) | 1,632,000 | 1,631,685 | ||||||
3.84%, 07/15/2021 (Acquired 05/20/2015, Cost $1,920,464) (b) | 1,921,000 | 1,916,707 | ||||||
DT Auto Owner Trust 2014-3 | ||||||||
0.98%, 04/16/2018 (Acquired 12/03/2014, Cost $1,737,014) (b) | 1,737,087 | 1,736,922 | ||||||
DT Auto Owner Trust 2015-1 | ||||||||
1.06%, 09/17/2018 (Acquired 02/18/2015, Cost $1,770,486) (b) | 1,770,487 | 1,770,932 | ||||||
DT Auto Owner Trust 2015-2 | ||||||||
1.24%, 09/17/2018 (Acquired 06/10/2015, Cost $2,999,852) (b) | 3,000,000 | 2,999,700 | ||||||
4.25%, 02/15/2022 (Acquired 06/10/2015, Cost $1,355,955) (b) | 1,356,000 | 1,355,864 | ||||||
Exeter Automobile Receivables Trust 2013-1 | ||||||||
1.29%, 10/16/2017 (Acquired 10/28/2013, Cost $676,338) (b) | 675,773 | 676,402 | ||||||
Exeter Automobile Receivables Trust 2013-2 | ||||||||
1.49%, 11/15/2017 (Acquired 10/28/2013, Cost $319,297) (b) | 318,978 | 319,495 | ||||||
Exeter Automobile Receivables Trust 2014-1 | ||||||||
1.29%, 05/15/2018 (Acquired 01/29/2014, Cost $1,298,186) (b) | 1,297,960 | 1,299,387 | ||||||
Exeter Automobile Receivables Trust 2014-2 | ||||||||
1.06%, 08/15/2018 (Acquired 05/20/2014, Cost $1,948,200) (b) | 1,949,780 | 1,946,840 | ||||||
3.26%, 12/16/2019 (Acquired 05/20/2014, Cost $334,947) (b) | 335,000 | 333,304 | ||||||
Exeter Automobile Receivables Trust 2014-3 | ||||||||
1.32%, 01/15/2019 (Acquired 10/09/2014, Cost $2,248,198) (b) | 2,248,310 | 2,248,350 | ||||||
2.77%, 11/15/2019 (Acquired 10/09/2014, Cost $666,915) (b) | 667,000 | 672,154 | ||||||
Exeter Automobile Receivables Trust 2015-1 | ||||||||
1.60%, 06/17/2019 (Acquired 02/26/2015, Cost $2,683,494) (b) | 2,683,638 | 2,689,547 | ||||||
2.84%, 03/16/2020 (Acquired 02/26/2015, Cost $1,124,749) (b) | 1,125,000 | 1,131,119 | ||||||
Exeter Automobile Receivables Trust 2015-2 | ||||||||
1.54%, 11/15/2019 (Acquired 05/12/2015, Cost $3,257,266) (b) | 3,257,475 | 3,256,866 | ||||||
Fifth Third Auto Trust 2014-3 | ||||||||
0.57%, 05/15/2017 | 817,230 | 817,104 | ||||||
0.96%, 03/15/2019 | 413,000 | 412,135 | ||||||
First Investors Auto Owner Trust 2012-2 | ||||||||
1.47%, 05/15/2018 (Acquired 10/28/2013, Cost $144,851) (b) | 144,621 | 144,763 | ||||||
First Investors Auto Owner Trust 2013-1 | ||||||||
0.90%, 10/15/2018 (Acquired 10/28/2013, Cost $488,429) (b) | 488,637 | 488,496 | ||||||
First Investors Auto Owner Trust 2013-2 | ||||||||
1.23%, 03/15/2019 (Acquired 06/13/2013, Cost $809,574) (b) | 808,849 | 809,658 | ||||||
First Investors Auto Owner Trust 2013-3 | ||||||||
0.89%, 09/15/2017 (Acquired 10/21/2014 through 10/22/2014, Cost $141,557) (b) | 141,528 | 141,523 | ||||||
1.44%, 10/15/2019 (Acquired 11/06/2013, Cost $1,203,478) (b) | 1,200,000 | 1,202,630 | ||||||
First Investors Auto Owner Trust 2014-2 | ||||||||
0.86%, 08/15/2018 (Acquired 01/28/2015, Cost $392,760) (b) | 393,301 | 392,887 |
Table of Contents
First Investors Auto Owner Trust 2014-3 | ||||||||
1.06%, 11/15/2018 (Acquired 11/07/2014, Cost $605,944) (b) | 605,947 | 605,812 | ||||||
1.67%, 11/16/2020 (Acquired 11/07/2014, Cost $275,993) (b) | 276,000 | 275,759 | ||||||
First Investors Auto Owner Trust 2015-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/16/2015, Cost $2,195,975) (b) | 2,196,000 | 2,195,642 | ||||||
FirstKey Lending 2015-SFR1 Trust | ||||||||
2.55%, 03/09/2047 (Acquired 04/09/2015, Cost $3,334,128) (b) | 3,326,083 | 3,327,131 | ||||||
3.42%, 03/09/2047 (Acquired 04/09/2015, Cost $1,456,136) (b) | 1,442,000 | 1,449,495 | ||||||
Flagship Credit Auto Trust 2013-1 | ||||||||
1.32%, 04/16/2018 (Acquired 10/28/2013, Cost $307,669) (b) | 307,935 | 308,197 | ||||||
Flagship Credit Auto Trust 2013-2 | ||||||||
1.94%, 01/15/2019 (Acquired 10/28/2013, Cost $466,192) (b) | 466,190 | 468,520 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/08/2014, Cost $1,303,990) (b) | 1,304,066 | 1,302,364 | ||||||
2.55%, 02/18/2020 (Acquired 04/08/2014, Cost $279,949) (b) | 280,000 | 281,154 | ||||||
Flagship Credit Auto Trust 2014-2 | ||||||||
1.43%, 12/16/2019 (Acquired 10/09/2014, Cost $1,851,810) (b) | 1,851,981 | 1,850,241 | ||||||
2.84%, 11/16/2020 (Acquired 10/09/2014, Cost $891,903) (b) | 892,000 | 898,257 | ||||||
3.95%, 12/15/2020 (Acquired 10/09/2014, Cost $439,915) (b) | 440,000 | 446,001 | ||||||
Flagship Credit Auto Trust 2015-1 | ||||||||
1.63%, 06/15/2020 (Acquired 03/05/2015, Cost $3,138,895) (b) | 3,139,219 | 3,140,936 | ||||||
Flatiron CLO 2013-1 Ltd | ||||||||
1.67%, 01/17/2026 (Acquired 08/12/2014, Cost $745,868) (b) | 750,000 | 747,698 | ||||||
Ford Credit Auto Lease Trust 2014-A | ||||||||
0.50%, 10/15/2016 | 520,228 | 520,202 | ||||||
Ford Credit Auto Lease Trust 2014-B | ||||||||
0.89%, 09/15/2017 | 1,391,000 | 1,392,616 | ||||||
1.10%, 11/15/2017 | 550,000 | 550,553 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 890,000 | 889,814 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
0.61%, 08/15/2017 | 1,055,063 | 1,055,107 | ||||||
1.06%, 05/15/2019 | 1,040,000 | 1,040,770 | ||||||
Ford Credit Auto Owner Trust 2014-REV2 | ||||||||
2.31%, 04/15/2026 (Acquired 10/07/2014, Cost $6,869,649) (b) | 6,820,000 | 6,890,069 | ||||||
Ford Credit Auto Owner Trust 2015-A | ||||||||
0.81%, 01/15/2018 | 2,069,000 | 2,070,411 | ||||||
1.28%, 09/15/2019 | 942,000 | 941,942 | ||||||
Ford Credit Auto Owner Trust 2015-B | ||||||||
0.72%, 03/15/2018 | 3,733,000 | 3,729,924 | ||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-REV1 | ||||||||
2.26%, 11/15/2025 (Acquired 05/06/2014, Cost $4,898,905) (b) | 4,900,000 | 4,957,168 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
0.57%, 01/15/2018 | 1,150,000 | 1,150,537 | ||||||
Freedom Trust 2011-2 | ||||||||
5.00%, 08/01/2046 (Acquired 10/28/2013 through 06/25/2014, Cost $323,230) (b) | 316,498 | 320,716 |
Table of Contents
Fremont Home Loan Trust 2004-2 | ||||||||
1.04%, 07/25/2034 | 1,229,294 | 1,104,700 | ||||||
FRT 2013-1 Trust | ||||||||
4.21%, 10/25/2018 (a) | 23,978 | 23,976 | ||||||
3.96%, 10/25/2033 (a) | 11,379 | 11,379 | ||||||
5.00%, 10/25/2033 (a) | 1,000,000 | 982,100 | ||||||
Galaxy XVIII CLO Ltd | ||||||||
1.75%, 10/15/2026 | 2,250,000 | 2,245,950 | ||||||
GCAT | ||||||||
3.23%, 07/25/2019 (Acquired 07/24/2014, Cost $2,234,923) (b) | 2,234,923 | 2,248,594 | ||||||
GE Capital Mortgage Services Inc 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 230 | 232 | ||||||
6.71%, 04/25/2029 | 59,112 | 56,827 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
0.69%, 01/20/2020 | 5,300,000 | 5,279,717 | ||||||
GE Equipment Midticket LLC | ||||||||
0.60%, 05/23/2016 | 11,710 | 11,711 | ||||||
0.78%, 09/22/2020 | 433,000 | 433,009 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 10 | 10 | ||||||
GLC II Trust 2013-1 | ||||||||
4.00%, 12/18/2020 | 3,412,684 | 3,430,089 | ||||||
GLC Trust 2013-1 | ||||||||
3.00%, 07/15/2021 | 2,759,826 | 2,757,894 | ||||||
GLS Auto Receivables Trust 2015-1 | ||||||||
2.25%, 12/15/2020 | 3,139,000 | 3,138,859 | ||||||
4.43%, 12/15/2020 | 954,000 | 953,956 | ||||||
GM Financial Automobile Leasing Trust 2014-1 | ||||||||
0.61%, 07/20/2016 (Acquired 04/03/2014, Cost $2,003,615) (b) | 2,004,014 | 2,002,425 | ||||||
GM Financial Automobile Leasing Trust 2015-1 | ||||||||
1.10%, 12/20/2017 | 3,619,000 | 3,623,719 | ||||||
1.53%, 09/20/2018 | 1,198,000 | 1,200,541 | ||||||
1.73%, 06/20/2019 | 502,000 | 503,076 | ||||||
GMAT 2013-1 Trust | ||||||||
3.97%, 11/25/2043 (Acquired 11/6/2013, Cost $1,161,991) (b) | 1,161,148 | 1,154,878 | ||||||
GMAT 2014-1 Trust | ||||||||
3.72%, 02/25/2044 (Acquired 02/05/2014, Cost $380,655) (b) | 380,655 | 380,175 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
0.69%, 05/15/2020 (Acquired 05/13/2015, Cost $4,600,000) (b) | 4,600,000 | 4,601,914 | ||||||
GO Financial Auto Securitization Trust 2015-1 | ||||||||
1.81%, 03/15/2018 | 2,711,484 | 2,709,024 | ||||||
3.59%, 10/15/2020 | 995,000 | 994,136 | ||||||
Gold Key Resorts 2014-A LLC | ||||||||
3.22%, 03/17/2031 (Acquired 12/01/2014, Cost $1,588,770) (b) | 1,589,084 | 1,595,503 | ||||||
Gramercy Park CLO Ltd | ||||||||
1.57%, 07/17/2023 (Acquired 07/10/2014, Cost $1,125,000) (b) | 1,125,000 | 1,124,384 |
Table of Contents
GSAA Trust | ||||||||
0.46%, 06/25/2035 | 1,627,419 | 1,580,512 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T3 | ||||||||
2.39%, 05/15/2046 (Acquired 04/09/2014, Cost $392,377) (b) | 400,000 | 394,903 | ||||||
HLSS Servicer Advance Receivables Backed Notes Series 2013-T7 | ||||||||
1.98%, 11/15/2046 (Acquired 11/22/2013, Cost $2,282,393) (b) | 2,283,000 | 2,271,585 | ||||||
HLSS Servicer Advance Receivables Trust | ||||||||
1.99%, 10/15/2045 (Acquired 10/28/2013, Cost $1,259,389) (b) | 1,255,000 | 1,253,745 | ||||||
1.50%, 01/16/2046 (Acquired 10/28/2013, Cost $1,470,997) (b) | 1,482,000 | 1,480,518 | ||||||
2.22%, 01/15/2047 (Acquired 01/14/2014, Cost $1,661,998) (b) | 1,662,000 | 1,658,676 | ||||||
2.29%, 01/15/2048 (Acquired 01/16/2013, Cost $4,198,834) (b) | 4,250,000 | 4,208,792 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
0.39%, 03/25/2036 | 85,176 | 70,163 | ||||||
Honda Auto Receivables 2014-1 Owner Trust | ||||||||
0.41%, 09/21/2016 | 2,003,829 | 2,003,411 | ||||||
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
0.77%, 03/19/2018 | 930,000 | 928,473 | ||||||
Honda Auto Receivables 2015-1 Owner Trust | ||||||||
0.70%, 06/15/2017 | 683,000 | 682,809 | ||||||
HSBC Home Equity Loan Trust USA 2006-4 | ||||||||
0.47%, 03/20/2036 | 6,300,000 | 5,939,905 | ||||||
HSBC Home Equity Loan Trust USA 2007-1 | ||||||||
0.39%, 03/20/2036 | 36,046 | 35,745 | ||||||
HSBC Home Equity Loan Trust USA 2007-3 | ||||||||
1.39%, 11/20/2036 | 501,843 | 499,246 | ||||||
Huntington Auto Trust 2011-1 | ||||||||
1.31%, 11/15/2016 (Acquired 10/28/2013, Cost $210,612) (b) | 210,294 | 210,349 | ||||||
Hyundai Auto Receivables Trust 2014-B | ||||||||
0.90%, 12/17/2018 | 2,104,000 | 2,102,426 | ||||||
Hyundai Auto Receivables Trust 2015-A | ||||||||
0.68%, 10/16/2017 | 1,125,000 | 1,125,697 | ||||||
Hyundai Auto Receivables Trust 2015-B | ||||||||
0.69%, 04/16/2018 | 781,000 | 780,995 | ||||||
1.12%, 11/15/2019 | 1,024,000 | 1,021,819 | ||||||
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 492 | 491 | ||||||
Invitation Homes 2014-SFR1 Trust | ||||||||
1.19%, 06/17/2031 (Acquired 05/14/2015, Cost $1,992,579) (b) | 2,000,000 | 1,976,986 | ||||||
John Deere Owner Trust 2012-B | ||||||||
0.69%, 01/15/2019 | 675,000 | 675,402 | ||||||
John Deere Owner Trust 2014-A | ||||||||
0.45%, 09/15/2016 | 1,221,260 | 1,221,242 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CH1 | ||||||||
0.31%, 07/25/2036 | 5,629,565 | 5,411,740 | ||||||
JP Morgan Mortgage Acquisition Trust 2007-CH1 | ||||||||
0.31%, 11/25/2036 | 151,222 | 150,784 |
Table of Contents
Kgs-alpha Sba Coof Tr 2012-2 Classa 20380825 Flt | ||||||||
0.00%, 08/01/2038 (Acquired 02/19/2014, Cost $596,661) (b) | 13,285,915 | 460,855 | ||||||
KVK CLO 2014-1 Ltd | ||||||||
1.86%, 05/15/2026 | 7,800,000 | 7,799,267 | ||||||
3.67%, 05/15/2026 | 2,000,000 | 2,031,506 | ||||||
KVK CLO 2014-2 Ltd | ||||||||
1.83%, 07/15/2026 | 4,250,000 | 4,244,050 | ||||||
KVK CLO Ltd | ||||||||
1.86%, 05/20/2027 | 250,000 | 250,000 | ||||||
Lake Country Mortgage Loan Trust 2006-HE1 | ||||||||
0.54%, 07/25/2034 (Acquired 10/28/2013, Cost $5,632) (b) | 5,688 | 5,684 | ||||||
Limerock CLO II Ltd | ||||||||
1.78%, 04/18/2026 (Acquired 02/26/2014, Cost $248,799) (b) | 250,000 | 250,204 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
0.94%, 02/25/2034 | 2,081,296 | 1,978,665 | ||||||
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.04%, 07/25/2034 | 97,743 | 94,169 | ||||||
Long Beach Mortgage Loan Trust 2006-WL2 | ||||||||
0.39%, 01/25/2036 | 85,072 | 81,962 | ||||||
Madison Avenue Manufactured Housing Contract Trust 2002-A | ||||||||
2.44%, 03/25/2032 | 140,231 | 140,215 | ||||||
Magnetite IX Ltd | ||||||||
1.70%, 07/25/2026 (Acquired 08/18/2014, Cost $2,248,852) (b) | 2,250,000 | 2,245,050 | ||||||
Magnetite VIII Ltd | ||||||||
1.76%, 04/15/2026 (Acquired 04/16/2014 through 01/21/2015, Cost $13,730,697) (b) | 13,750,000 | 13,750,000 | ||||||
Magnetite XI Ltd | ||||||||
1.73%, 01/18/2027 (Acquired 12/04/2014, Cost $1,492,050) (b) | 1,500,000 | 1,499,800 | ||||||
MarketPlace Loan Trust | ||||||||
3.25%, 06/01/2017 (Acquired 05/28/2015, Cost $2,741,131) (b) | 2,750,000 | 2,750,000 | ||||||
5.25%, 06/01/2017 (Acquired 05/26/2015, Cost $496,962) (b) | 500,000 | 500,000 | ||||||
Mastr Asset Backed Securities Trust 2005-HE1 | ||||||||
0.91%, 05/25/2035 | 2,000,000 | 1,945,792 | ||||||
Mid-State Capital Corp 2006-1 Trust | ||||||||
6.08%, 10/15/2040 (Acquired 10/28/2013, Cost $1,033,570) (b) | 1,041,544 | 1,089,835 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045 (Acquired 10/28/2013, Cost $535,516) (b) | 521,827 | 535,852 | ||||||
5.25%, 12/15/2045 (Acquired 10/28/2013, Cost $970,625) (b) | 939,008 | 981,450 | ||||||
MMCA Auto Owner Trust 2012-A | ||||||||
1.57%, 08/15/2017 (Acquired 10/28/2013, Cost $641,332) (b) | 640,450 | 641,778 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2004-OP1 | ||||||||
1.06%, 11/25/2034 | 1,737,448 | 1,584,005 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2006-NC3 | ||||||||
0.36%, 03/25/2036 | 1,835,887 | 1,824,311 | ||||||
Nationstar Agency Advance Funding Trust 2013-T2A | ||||||||
1.89%, 02/18/2048 (Acquired 10/28/2013, Cost $372,656) (b) | 381,000 | 374,294 | ||||||
Nationstar HECM Loan Trust 2015-1A | ||||||||
3.84%, 05/25/2018 (Acquired 06/10/2015, Cost $2,005,518) (b) | 2,005,518 | 2,005,578 |
Table of Contents
Nationstar Home Equity Loan Trust 2006-B | ||||||||
0.36%, 09/25/2036 | 4,760,460 | 4,754,014 | ||||||
Navitas Equipment Receivables LLC 2013-1 | ||||||||
1.95%, 11/15/2016 (Acquired 10/31/2013, Cost $286,960) (b) | 286,962 | 286,990 | ||||||
Neuberger Berman CLO XII Ltd | ||||||||
2.38%, 07/25/2023 | 250,000 | 249,780 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.18%, 11/25/2033 | 358,459 | 368,831 | ||||||
Nissan Auto Lease Trust 2015-A | ||||||||
0.99%, 11/15/2017 | 2,700,000 | 2,699,730 | ||||||
Nissan Auto Receivables 2012-A Owner Trust | ||||||||
1.00%, 07/16/2018 | 328,272 | 328,854 | ||||||
Nissan Auto Receivables 2014-A Owner Trust | ||||||||
0.42%, 11/15/2016 | 683,412 | 683,450 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 400,000 | 400,467 | ||||||
Normandy Mortgage Loan Co 2013-NPL3 LLC | ||||||||
4.95%, 09/16/2043 (Acquired 10/28/2013, Cost $840,831) (b) | 840,831 | 839,570 | ||||||
NRPL Trust 2015-1 | ||||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $2,404,631) (b) | 2,404,631 | 2,411,621 | ||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $955,264) (b) | 1,000,000 | 994,600 | ||||||
NRPL Trust 2015-2 | ||||||||
3.75%, 10/25/2057 (Acquired 06/04/2015, Cost $4,656,249) (b) | 4,679,155 | 4,656,910 | ||||||
OAK Hill Advisors Residential Loan Trust 2014-NPL2 | ||||||||
3.48%, 04/25/2054 (Acquired 11/05/2014, Cost $4,207,322) (b) | 4,207,322 | 4,224,584 | ||||||
4.00%, 04/25/2054 (Acquired 11/05/2014, Cost $995,793) (b) | 1,028,000 | 1,020,791 | ||||||
Oak Hill Advisors Residential Loan Trust 2015-NPL1 | ||||||||
3.47%, 01/25/2055 (Acquired 03/05/2015, Cost $3,134,667) (b) | 3,134,667 | 3,135,873 | ||||||
4.00%, 01/25/2055 (Acquired 03/05/2015, Cost $1,508,254) (b) | 1,558,000 | 1,511,645 | ||||||
Oakwood Mortgage Investors Inc | ||||||||
6.45%, 11/15/2017 | 4,449 | 4,557 | ||||||
Ocwen Freddie Advance Funding 2015-T1 LLC | ||||||||
2.06%, 11/15/2045 | 907,000 | 907,000 | ||||||
2.56%, 11/15/2045 | 266,000 | 266,000 | ||||||
3.05%, 11/15/2045 | 101,000 | 101,000 | ||||||
3.79%, 11/15/2045 | 165,000 | 164,999 | ||||||
Ocwen Freddie Advance Funding LLC Advance Receivables Backed Notes 2015-2 | ||||||||
2.01%, 09/15/2045 | 3,136,000 | 3,135,997 | ||||||
2.51%, 09/15/2045 | 619,000 | 618,999 | ||||||
3.00%, 09/15/2045 | 170,000 | 170,000 | ||||||
3.74%, 09/15/2045 | 392,000 | 392,000 | ||||||
OnDeck Asset Securitization Trust 2014-1 LLC | ||||||||
3.15%, 05/17/2018 (Acquired 04/30/2014, Cost $2,341,654) (b) | 2,342,000 | 2,348,618 | ||||||
OneMain Financial Issuance Trust 2014-1 | ||||||||
2.43%, 06/18/2024 (Acquired 04/09/2014, Cost $3,390,288) (b) | 3,390,000 | 3,408,696 | ||||||
3.24%, 06/18/2024 (Acquired 04/09/2014, Cost $401,937) (b) | 402,000 | 404,266 |
Table of Contents
OneMain Financial Issuance Trust 2014-2 | ||||||||
2.47%, 09/18/2024 (Acquired 07/23/2014, Cost $5,051,042) (b) | 5,049,000 | 5,075,810 | ||||||
3.02%, 09/18/2024 (Acquired 07/23/2014, Cost $1,864,000) (b) | 1,864,000 | 1,878,521 | ||||||
OneMain Financial Issuance Trust 2015-1 | ||||||||
3.19%, 03/18/2026 (Acquired 01/28/2015, Cost $3,450,966) (b) | 3,452,000 | 3,501,053 | ||||||
3.85%, 03/18/2026 (Acquired 02/13/2015, Cost $500,316) (b) | 500,000 | 513,530 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 05/12/2015, Cost $17,663,090) (b) | 17,662,000 | 17,675,423 | ||||||
3.10%, 07/18/2025 (Acquired 05/12/2015, Cost $1,626,512) (b) | 1,627,000 | 1,632,044 | ||||||
Option One Mortgage Loan Trust | ||||||||
1.03%, 02/25/2033 | 18,509 | 17,219 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.09%, 11/25/2034 | 1,691,802 | 1,562,510 | ||||||
Palmer Square CLO 2015-1 Ltd | ||||||||
1.78%, 05/21/2027 | 250,000 | 249,901 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW | ||||||||
1.12%, 10/25/2034 | 565,803 | 563,690 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
1.03%, 01/25/2036 | 4,800,000 | 4,575,754 | ||||||
PFS Tax Lien Trust 2014-1 | ||||||||
1.44%, 04/15/2016 (Acquired 04/29/2014, Cost $553,196) (b) | 553,221 | 554,725 | ||||||
Prestige Auto Receivables Trust 2013-1 | ||||||||
1.09%, 02/15/2018 (Acquired 01/23/2015, Cost $198,367) (b) | 198,279 | 198,367 | ||||||
Prestige Auto Receivables Trust 2014-1 | ||||||||
0.97%, 03/15/2018 (Acquired 05/06/2015, Cost $484,972) (b) | 484,560 | 484,937 | ||||||
Prgso 2015-b A | ||||||||
3.00%, 07/08/2020 | 1,203,000 | 1,203,000 | ||||||
Prgso 2015-b B | ||||||||
5.00%, 07/08/2020 | 605,000 | 605,000 | ||||||
Progreso Receivables Funding I LLC | ||||||||
4.00%, 07/09/2018 (Acquired 04/25/2014, Cost $2,004,029) (b) | 2,000,000 | 1,990,200 | ||||||
Progreso Receivables Funding II LLC | ||||||||
3.50%, 07/08/2019 | 3,500,000 | 3,488,100 | ||||||
Progreso Receivables Funding III LLC | ||||||||
3.63%, 02/08/2020 (Acquired 01/20/2015, Cost $3,090,000) (b) | 3,090,000 | 3,085,674 | ||||||
5.50%, 02/08/2020 (Acquired 01/20/2015, Cost $793,000) (b) | 793,000 | 796,172 | ||||||
Progress Residential 2015-SFR2 Trust | ||||||||
2.74%, 06/12/2032 (Acquired 05/20/2015, Cost $3,405,932) (b) | 3,406,000 | 3,376,885 | ||||||
3.14%, 06/12/2032 (Acquired 05/20/2015, Cost $2,011,964) (b) | 2,012,000 | 1,997,701 | ||||||
3.44%, 06/12/2032 (Acquired 05/20/2015, Cost $2,137,956) (b) | 2,138,000 | 2,121,020 | ||||||
4.43%, 06/12/2032 (Acquired 05/20/2015, Cost $891,977) (b) | 892,000 | 889,004 | ||||||
RAAC Series 2004-SP1 Trust | ||||||||
5.29%, 08/25/2027 | 6,605 | 6,712 | ||||||
Race Point VIII CLO Ltd | ||||||||
1.53%, 02/20/2025 (Acquired 02/19/2015, Cost $248,013) (b) | 250,000 | 248,542 |
Table of Contents
RAMP Series 2003-RS7 Trust | ||||||||
5.34%, 08/25/2033 | 33,887 | 33,986 | ||||||
RAMP Series 2004-RS11 Trust | ||||||||
1.12%, 11/25/2034 | 275,646 | 271,550 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 01/25/2035 | 43,447 | 43,944 | ||||||
RAMP Series 2006-RZ1 Trust | ||||||||
0.49%, 03/25/2036 | 1,377,694 | 1,344,371 | ||||||
RASC Series 2002-KS4 Trust | ||||||||
0.69%, 07/25/2032 | 5,280 | 4,579 | ||||||
RASC Series 2003-KS2 Trust | ||||||||
3.99%, 04/25/2033 | 50,228 | 50,180 | ||||||
RASC Series 2003-KS5 Trust | ||||||||
0.77%, 07/25/2033 | 6,825 | 5,991 | ||||||
3.62%, 07/25/2033 | 2,957 | 2,874 | ||||||
RASC Series 2003-KS9 Trust | ||||||||
0.82%, 11/25/2033 | 7,626 | 6,402 | ||||||
RASC Series 2004-KS2 Trust | ||||||||
4.30%, 03/25/2034 | 6,197 | 6,263 | ||||||
RASC Series 2005-KS6 Trust | ||||||||
0.81%, 07/25/2035 | 1,550,000 | 1,453,365 | ||||||
RBSHD 2013-1 Trust | ||||||||
4.69%, 10/25/2047 (Acquired 02/20/2014, Cost $1,301,611) (a)(b) | 1,295,163 | 1,296,657 | ||||||
Regatta V Funding Ltd | ||||||||
1.84%, 10/25/2026 | 1,000,000 | 1,000,300 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037 | 311,370 | 172,482 | ||||||
Renaissance Home Equity Loan Trust 2005-3 | ||||||||
4.81%, 11/25/2035 | 227,552 | 230,205 | ||||||
RMAT 2015-NPL1 LLC | ||||||||
3.75%, 05/25/2055 | 1,955,090 | 1,940,427 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
1.21%, 10/16/2017 (Acquired 02/23/2015, Cost $1,427,527) (b) | 1,426,778 | 1,428,120 | ||||||
1.84%, 11/18/2019 (Acquired 06/10/2015, Cost $506,811) (b) | 506,815 | 506,811 | ||||||
1.97%, 03/16/2021 (Acquired 06/10/2015, Cost $1,835,408) (b) | 1,835,465 | 1,835,407 | ||||||
Santander Drive Auto Receivables Trust 2012-5 | ||||||||
1.56%, 08/15/2018 | 249,534 | 249,796 | ||||||
Santander Drive Auto Receivables Trust 2013-2 | ||||||||
1.33%, 03/15/2018 | 1,200,000 | 1,201,451 | ||||||
Santander Drive Auto Receivables Trust 2013-3 | ||||||||
1.19%, 05/15/2018 | 470,000 | 470,607 | ||||||
Santander Drive Auto Receivables Trust 2013-5 | ||||||||
0.82%, 02/15/2018 | 1,722,882 | 1,723,043 | ||||||
Santander Drive Auto Receivables Trust 2013-A | ||||||||
1.02%, 01/16/2018 (Acquired 04/15/2015 through 04/27/2015, Cost $2,959,115) (b) | 2,956,409 | 2,957,331 | ||||||
Santander Drive Auto Receivables Trust 2014-2 | ||||||||
0.80%, 04/16/2018 | 3,900,000 | 3,900,476 |
Table of Contents
Santander Drive Auto Receivables Trust 2014-3 | ||||||||
0.81%, 07/16/2018 | 2,791,000 | 2,789,398 | ||||||
Santander Drive Auto Receivables Trust 2014-4 | ||||||||
0.67%, 01/16/2018 | 390,578 | 390,258 | ||||||
Santander Drive Auto Receivables Trust 2015-S1 | ||||||||
1.93%, 09/17/2019 (Acquired 06/10/2015, Cost $1,683,931) (b) | 1,683,978 | 1,683,930 | ||||||
Saxon Asset Securities Trust 2003-1 | ||||||||
4.80%, 06/25/2033 | 198,579 | 200,637 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-EC1 | ||||||||
0.80%, 01/25/2035 | 297,584 | 286,767 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-OP2 | ||||||||
0.51%, 10/25/2035 (Acquired 03/13/2014, Cost $1,663,356) (b) | 1,682,603 | 1,663,827 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.41%, 01/25/2036 | 83,774 | 62,061 | ||||||
Selene Non-Performing Loans LLC | ||||||||
2.98%, 05/25/2054 (Acquired 05/23/2014, Cost $1,403,692) (b) | 1,407,216 | 1,394,494 | ||||||
SNAAC Auto Receivables Trust 2014-1 | ||||||||
1.03%, 09/17/2018 (Acquired 04/01/2014, Cost $636,338) (b) | 636,352 | 636,597 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
0.86%, 10/25/2035 | 436,134 | 424,425 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1 | ||||||||
0.49%, 12/25/2036 | 2,225,000 | 2,156,481 | ||||||
SpringCastle America Funding LLC | ||||||||
2.70%, 05/25/2023 (Acquired 09/18/2014, Cost $7,454,698) (b) | 7,455,123 | 7,500,741 | ||||||
4.61%, 10/25/2027 (Acquired 09/18/2014, Cost $1,749,658) (b) | 1,750,000 | 1,788,377 | ||||||
Springleaf Funding Trust 2013-A | ||||||||
2.58%, 09/15/2021 (Acquired 10/28/2013, Cost $4,876,463) (b) | 4,891,544 | 4,909,824 | ||||||
Springleaf Funding Trust 2013-B | ||||||||
3.92%, 01/16/2023 (Acquired 10/28/2013, Cost $510,373) (b) | 516,000 | 516,361 | ||||||
4.82%, 01/16/2023 (Acquired 10/28/2013 through 12/20/2013, Cost $1,123,872) (b) | 1,140,000 | 1,134,756 | ||||||
Springleaf Funding Trust 2014-A | ||||||||
2.41%, 12/15/2022 (Acquired 03/19/2014, Cost $11,531,023) (b) | 11,533,000 | 11,547,416 | ||||||
3.45%, 12/15/2022 (Acquired 03/19/2014, Cost $582,844) (b) | 583,000 | 585,196 | ||||||
Springleaf Funding Trust 2015-A | ||||||||
3.16%, 11/15/2024 (Acquired 02/18/2015, Cost $13,389,689) (b) | 13,392,000 | 13,544,388 | ||||||
3.62%, 11/15/2024 (Acquired 02/18/2015, Cost $1,086,675) (b) | 1,087,000 | 1,097,748 | ||||||
Structured Asset Investment Loan Trust 2004-4 | ||||||||
0.99%, 04/25/2034 | 720,327 | 665,363 | ||||||
Structured Asset Sec Corp Pass Through Cert Series 2002-al1 | ||||||||
3.45%, 02/25/2032 | 72,381 | 72,037 | ||||||
3.45%, 02/25/2032 | 176,385 | 174,297 | ||||||
Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035 | 30,777 | 32,393 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-6XS | ||||||||
5.53%, 03/25/2034 | 269,398 | 279,122 | ||||||
5.55%, 03/25/2034 | 215,449 | 223,906 |
Table of Contents
Sunset Mortgage Loan Co 2014-NPL2 LLC | ||||||||
3.72%, 11/16/2044 (Acquired 11/25/2014, Cost $4,177,730) (b) | 4,177,730 | 4,162,022 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
0.64%, 03/15/2020 | 17,700,000 | 17,716,726 | ||||||
Synchrony Credit Card Master Note Trust 2015-1 | ||||||||
2.37%, 03/15/2023 | 4,950,000 | 4,987,853 | ||||||
THL Credit Wind River 2014-3 CLO Ltd | ||||||||
1.90%, 01/22/2027 | 5,750,000 | 5,779,325 | ||||||
Tidewater Auto Receivables Trust 2014-A | ||||||||
1.40%, 07/15/2018 (Acquired 06/06/2014 through 06/23/2014, Cost $1,900,511) (b) | 1,901,000 | 1,901,709 | ||||||
1.85%, 12/15/2018 (Acquired 06/06/2014, Cost $2,384,783) (b) | 2,385,000 | 2,391,175 | ||||||
Toyota Auto Receivables 2014-A Owner Trust | ||||||||
0.41%, 08/15/2016 | 807,622 | 807,495 | ||||||
Toyota Auto Receivables 2014-C Owner Trust | ||||||||
0.51%, 02/15/2017 | 984,169 | 983,726 | ||||||
0.93%, 07/16/2018 | 691,000 | 690,550 | ||||||
Trafigura Securitisation Finance Plc. 2014-1 | ||||||||
1.14%, 10/15/2021 (Acquired 10/23/2014, Cost $3,719,000) (a)(b) | 3,719,000 | 3,705,612 | ||||||
Tricon American Homes 2015-SFR1 Trust | ||||||||
1.44%, 05/17/2032 (Acquired 04/28/2015, Cost $957,000) (b) | 957,000 | 949,104 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL1 | ||||||||
3.23%, 07/25/2053 (Acquired 08/19/2014, Cost $2,333,040) (b) | 2,335,916 | 2,333,466 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL2 | ||||||||
3.13%, 06/25/2054 (Acquired 09/09/2014, Cost $1,704,068) (b) | 1,705,792 | 1,704,388 | ||||||
4.00%, 06/25/2054 (Acquired 09/09/2014, Cost $859,175) (b) | 877,000 | 862,756 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL3 | ||||||||
3.13%, 04/25/2053 (Acquired 09/09/2014, Cost $1,805,013) (b) | 1,807,059 | 1,805,436 | ||||||
US Residential Opportunity Fund II Trust 2015-1 | ||||||||
3.72%, 02/27/2035 (Acquired 02/19/2015, Cost $2,430,280) (b) | 2,434,371 | 2,445,389 | ||||||
US Residential Opportunity Fund III Trust 2015-1 | ||||||||
3.72%, 01/27/2035 (Acquired 02/06/2015, Cost $2,808,369) (b) | 2,808,369 | 2,808,936 | ||||||
USAA Auto Owner Trust 2014-1 | ||||||||
0.38%, 10/17/2016 | 234,647 | 234,629 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 02/06/2015, Cost $3,010,509) (b) | 3,013,699 | 3,007,274 | ||||||
Vibrant CLO Ltd 2015-3 | ||||||||
1.89%, 04/20/2026 | 5,250,000 | 5,249,916 | ||||||
Volkswagen Auto Lease Trust 2015-A | ||||||||
0.87%, 06/20/2017 | 1,663,000 | 1,663,414 | ||||||
VOLT NPL X LLC | ||||||||
3.38%, 10/25/2054 (Acquired 11/13/2014, Cost $1,107,976) (b) | 1,109,290 | 1,109,381 | ||||||
VOLT XIX LLC | ||||||||
3.88%, 04/25/2055 (Acquired 12/15/2014, Cost $2,823,744) (b) | 2,826,577 | 2,837,253 | ||||||
VOLT XV LLC | ||||||||
3.25%, 05/26/2054 (Acquired 05/19/2014, Cost $816,871) (b) | 816,871 | 814,824 |
Table of Contents
VOLT XVI LLC | ||||||||
3.23%, 09/25/2058 (Acquired 08/19/2014, Cost $3,399,770) (b) | 3,404,641 | 3,406,186 | ||||||
4.00%, 09/25/2058 (Acquired 10/15/2014, Cost $736,070) (b) | 748,680 | 735,745 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 02/25/2015, Cost $2,585,980) (b) | 2,588,639 | 2,585,126 | ||||||
4.25%, 02/25/2055 (Acquired 02/25/2015, Cost $655,925) (b) | 667,691 | 659,266 | ||||||
VOLT XXIV LLC | ||||||||
3.50%, 02/25/2055 | 4,932,447 | 4,932,447 | ||||||
VOLT XXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/17/2015, Cost $7,991,166) (b) | 8,000,000 | 7,991,200 | ||||||
VOLT XXVI LLC | ||||||||
3.13%, 09/25/2043 (Acquired 09/19/2014, Cost $4,662,087) (b) | 4,667,407 | 4,659,949 | ||||||
4.25%, 09/25/2043 (Acquired 09/19/2014, Cost $1,380,087) (b) | 1,405,580 | 1,383,487 | ||||||
VOLT XXVII LLC | ||||||||
3.38%, 08/27/2057 (Acquired 10/24/2014, Cost $5,243,267) (b) | 5,249,666 | 5,252,905 | ||||||
VOLT XXX LLC | ||||||||
3.63%, 10/25/2057 (Acquired 01/15/2015, Cost $3,029,767) (b) | 3,029,767 | 3,027,522 | ||||||
VOLT XXXI LLC | ||||||||
3.38%, 02/25/2055 (Acquired 01/22/2015, Cost $2,479,280) (b) | 2,481,868 | 2,475,276 | ||||||
VOLT XXXIII LLC | ||||||||
3.50%, 03/25/2055 (Acquired 03/13/2015, Cost $3,852,558) (b) | 3,856,371 | 3,857,628 | ||||||
VOLT XXXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/26/2015, Cost $3,058,081) (b) | 3,061,000 | 3,057,939 | ||||||
Voya CLO 2013-3 Ltd | ||||||||
1.73%, 01/18/2026 (Acquired 11/26/2013, Cost $7,400,000) (b) | 7,400,000 | 7,399,260 | ||||||
2.08%, 01/18/2026 (Acquired 11/26/2013, Cost $8,867,431) (b) | 9,000,000 | 8,940,600 | ||||||
Westgate Resorts 2012-2 LLC | ||||||||
3.00%, 01/20/2025 (Acquired 10/28/2013, Cost $438,619) (b) | 437,890 | 439,478 | ||||||
Westgate Resorts 2012-A LLC | ||||||||
2.25%, 08/20/2025 (Acquired 01/12/2015, Cost $1,183,156) (b) | 1,181,466 | 1,183,829 | ||||||
Westgate Resorts 2015-1 LLC | ||||||||
2.75%, 05/20/2027 (Acquired 02/20/2015, Cost $578,573) (b) | 578,687 | 579,065 | ||||||
Westgate Resorts LLC | ||||||||
2.50%, 03/20/2025 (Acquired 10/28/2013, Cost $346,126) (b) | 346,450 | 347,366 | ||||||
World Omni Auto Receivables Trust 2015-A | ||||||||
0.79%, 07/16/2018 | 1,099,000 | 1,099,309 | ||||||
1.34%, 05/15/2020 | 643,000 | 644,109 | ||||||
|
| |||||||
Total Asset Backed Obligations (Cost $803,821,511) | $ | 804,950,447 | ||||||
|
| |||||||
Corporate Bonds - 28.91% | ||||||||
Basic Materials - 1.41% | ||||||||
Agrium Inc | ||||||||
3.15%, 10/01/2022 | $ | 875,000 | $ | 847,346 | ||||
3.38%, 03/15/2025 | 430,000 | 408,218 | ||||||
4.13%, 03/15/2035 | 1,960,000 | 1,747,269 | ||||||
6.13%, 01/15/2041 | 2,850,000 | 3,196,437 | ||||||
5.25%, 01/15/2045 | 712,000 | 716,554 |
Table of Contents
Anglo American Capital PLC | ||||||||
9.38%, 04/08/2019 (Acquired 10/28/2013, Cost $255,457) (b) | 215,000 | 261,642 | ||||||
BHP Billiton Finance USA Ltd | ||||||||
5.40%, 03/29/2017 | 165,000 | 177,419 | ||||||
6.50%, 04/01/2019 | 284,000 | 328,374 | ||||||
3.85%, 09/30/2023 | 646,000 | 662,940 | ||||||
5.00%, 09/30/2043 | 3,530,000 | 3,679,185 | ||||||
CF Industries Inc | ||||||||
7.13%, 05/01/2020 | 900,000 | 1,068,231 | ||||||
5.38%, 03/15/2044 | 2,040,000 | 2,018,674 | ||||||
Dow Chemical Co/The | ||||||||
8.55%, 05/15/2019 | 96,000 | 116,969 | ||||||
4.13%, 11/15/2021 | 940,000 | 984,922 | ||||||
3.00%, 11/15/2022 | 448,000 | 430,455 | ||||||
7.38%, 11/01/2029 | 339,000 | 426,581 | ||||||
5.25%, 11/15/2041 | 199,000 | 202,332 | ||||||
4.38%, 11/15/2042 | 1,570,000 | 1,425,167 | ||||||
Eastman Chemical Co | ||||||||
2.70%, 01/15/2020 | 7,390,000 | 7,372,375 | ||||||
4.50%, 01/15/2021 | 5,175,000 | 5,592,503 | ||||||
Ecolab Inc | ||||||||
1.45%, 12/08/2017 | 5,928,000 | 5,874,476 | ||||||
2.25%, 01/12/2020 | 233,000 | 230,465 | ||||||
5.50%, 12/08/2041 | 103,000 | 112,148 | ||||||
EI du Pont de Nemours & Co | ||||||||
6.00%, 07/15/2018 | 516,000 | 578,718 | ||||||
5.60%, 12/15/2036 | 155,000 | 175,826 | ||||||
4.90%, 01/15/2041 | 222,000 | 234,112 | ||||||
Freeport-McMoRan Inc | ||||||||
2.15%, 03/01/2017 | 1,001,000 | 1,002,324 | ||||||
3.55%, 03/01/2022 | 5,025,000 | 4,646,175 | ||||||
4.55%, 11/14/2024 | 723,000 | 672,723 | ||||||
5.40%, 11/14/2034 | 310,000 | 266,715 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020 (Acquired 11/22/2013, Cost $3,487,956) (b) | 3,160,000 | 3,524,215 | ||||||
3.73%, 07/15/2023 (Acquired 12/10/2013, Cost $5,258,327) (b) | 5,380,000 | 5,409,149 | ||||||
Glencore Finance Canada Ltd | ||||||||
5.80%, 11/15/2016 (Acquired 10/28/2013 through 11/26/2013, Cost $197,009) (b) | 188,000 | 197,859 | ||||||
3.60%, 01/15/2017 (Acquired 02/06/2014, Cost $6,178,807) (b) | 6,016,000 | 6,174,245 | ||||||
4.25%, 10/25/2022 (Acquired 11/20/2013, Cost $4,827,137) (b) | 5,000,000 | 4,907,280 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019 (Acquired 10/28/2013, Cost $523,169) (b) | 537,000 | 530,626 | ||||||
4.13%, 05/30/2023 (Acquired 12/02/2013, Cost $51,828) (b) | 54,000 | 52,175 | ||||||
4.63%, 04/29/2024 (Acquired 04/22/2014, Cost $1,027,771) (b) | 1,000,000 | 991,104 | ||||||
Goldcorp Inc | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,798,396 |
Table of Contents
International Paper Co | ||||||||
5.00%, 09/15/2035 | 2,065,000 | 2,017,104 | ||||||
6.00%, 11/15/2041 | 3,150,000 | 3,385,349 | ||||||
5.15%, 05/15/2046 | 1,085,000 | 1,038,647 | ||||||
Lubrizol Corp | ||||||||
8.88%, 02/01/2019 | 1,205,000 | 1,479,777 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 771,553 | ||||||
4.88%, 03/15/2044 | 1,500,000 | 1,452,202 | ||||||
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/2019 | 3,690,000 | 3,994,706 | ||||||
4.63%, 02/26/2055 | 545,000 | 478,065 | ||||||
MeadWestvaco Corp | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,863,977 | ||||||
Monsanto Co | ||||||||
4.40%, 07/15/2044 | 605,000 | 538,954 | ||||||
4.70%, 07/15/2064 | 91,000 | 78,460 | ||||||
Mosaic Co/The | ||||||||
3.75%, 11/15/2021 | 1,227,000 | 1,264,102 | ||||||
4.25%, 11/15/2023 | 746,000 | 766,068 | ||||||
5.45%, 11/15/2033 | 814,000 | 864,138 | ||||||
4.88%, 11/15/2041 | 52,000 | 49,217 | ||||||
5.63%, 11/15/2043 | 3,515,000 | 3,732,290 | ||||||
Nucor Corp | ||||||||
4.00%, 08/01/2023 | 176,000 | 178,360 | ||||||
Placer Dome Inc | ||||||||
6.45%, 10/15/2035 | 203,000 | 201,911 | ||||||
Plum Creek Timberlands LP | ||||||||
5.88%, 11/15/2015 | 468,000 | 475,987 | ||||||
Potash Corp of Saskatchewan Inc | ||||||||
3.25%, 12/01/2017 | 31,000 | 32,286 | ||||||
6.50%, 05/15/2019 | 392,000 | 452,775 | ||||||
3.00%, 04/01/2025 | 1,100,000 | 1,037,454 | ||||||
PPG Industries Inc | ||||||||
6.65%, 03/15/2018 | 112,000 | 125,720 | ||||||
9.00%, 05/01/2021 | 217,000 | 286,501 | ||||||
5.50%, 11/15/2040 | 118,000 | 133,997 | ||||||
Praxair Inc | ||||||||
5.20%, 03/15/2017 | 50,000 | 53,367 | ||||||
2.65%, 02/05/2025 | 359,000 | 342,516 | ||||||
Rio Tinto Alcan Inc | ||||||||
5.75%, 06/01/2035 | 54,000 | 59,449 | ||||||
Rio Tinto Finance USA Ltd | ||||||||
9.00%, 05/01/2019 | 797,000 | 992,257 | ||||||
3.50%, 11/02/2020 | 132,000 | 137,391 | ||||||
3.75%, 09/20/2021 | 388,000 | 401,657 | ||||||
3.75%, 06/15/2025 | 8,735,000 | 8,599,153 |
Table of Contents
Rio Tinto Finance USA PLC | ||||||||
1.63%, 08/21/2017 | 461,000 | 461,113 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023 (Acquired 10/28/2013, Cost $537,605) (b) | 537,000 | 531,630 | ||||||
Southern Copper Corp | ||||||||
5.88%, 04/23/2045 | 2,300,000 | 2,187,760 | ||||||
Teck Resources Ltd | ||||||||
4.75%, 01/15/2022 | 1,709,000 | 1,586,263 | ||||||
3.75%, 02/01/2023 | 453,000 | 389,199 | ||||||
Union Carbide Corp | ||||||||
7.50%, 06/01/2025 | 624,000 | 776,497 | ||||||
7.75%, 10/01/2096 | 681,000 | 841,316 | ||||||
Vale Overseas Ltd | ||||||||
4.38%, 01/11/2022 | 5,000,000 | 4,904,050 | ||||||
8.25%, 01/17/2034 | 424,000 | 467,161 | ||||||
6.88%, 11/21/2036 | 167,000 | 161,061 | ||||||
6.88%, 11/10/2039 | 107,000 | 102,977 | ||||||
Westvaco Corp | ||||||||
9.75%, 06/15/2020 | 17,000 | 21,496 | ||||||
8.20%, 01/15/2030 | 537,000 | 722,960 | ||||||
|
| |||||||
121,481,197 | ||||||||
|
| |||||||
Communications - 2.40% | ||||||||
21st Century Fox America Inc | ||||||||
8.00%, 10/17/2016 | 114,000 | 123,721 | ||||||
7.25%, 05/18/2018 | 203,000 | 233,936 | ||||||
3.00%, 09/15/2022 | 380,000 | 370,829 | ||||||
8.88%, 04/26/2023 | 108,000 | 142,647 | ||||||
9.50%, 07/15/2024 | 175,000 | 241,988 | ||||||
7.30%, 04/30/2028 | 454,000 | 561,677 | ||||||
7.63%, 11/30/2028 | 310,000 | 400,451 | ||||||
6.20%, 12/15/2034 | 258,000 | 298,602 | ||||||
6.65%, 11/15/2037 | 310,000 | 376,136 | ||||||
6.90%, 08/15/2039 | 155,000 | 193,276 | ||||||
6.15%, 02/15/2041 | 3,790,000 | 4,387,008 | ||||||
Amazon.com Inc | ||||||||
3.30%, 12/05/2021 | 1,086,000 | 1,099,104 | ||||||
4.80%, 12/05/2034 | 854,000 | 845,788 | ||||||
America Movil SAB de CV | ||||||||
2.38%, 09/08/2016 | 441,000 | 446,566 | ||||||
5.00%, 10/16/2019 | 3,500,000 | 3,852,590 | ||||||
5.00%, 03/30/2020 | 7,300,000 | 8,080,735 | ||||||
3.13%, 07/16/2022 | 374,000 | 369,003 | ||||||
6.13%, 03/30/2040 | 283,000 | 326,899 |
Table of Contents
AT&T Inc | ||||||||
0.90%, 02/12/2016 | 329,000 | 329,000 | ||||||
5.50%, 02/01/2018 | 543,000 | 593,151 | ||||||
4.45%, 05/15/2021 | 722,000 | 768,796 | ||||||
3.88%, 08/15/2021 | 134,000 | 138,068 | ||||||
3.00%, 02/15/2022 | 1,219,000 | 1,186,779 | ||||||
3.00%, 06/30/2022 | 2,649,000 | 2,555,289 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,776,700 | ||||||
3.40%, 05/15/2025 | 238,000 | 225,975 | ||||||
4.50%, 05/15/2035 | 5,949,000 | 5,452,586 | ||||||
6.30%, 01/15/2038 | 743,000 | 816,483 | ||||||
5.35%, 09/01/2040 | 1,094,000 | 1,073,622 | ||||||
4.30%, 12/15/2042 | 1,122,000 | 958,226 | ||||||
4.80%, 06/15/2044 | 4,305,000 | 3,951,297 | ||||||
4.35%, 06/15/2045 | 511,000 | 436,016 | ||||||
4.75%, 05/15/2046 | 3,860,000 | 3,494,481 | ||||||
BellSouth Corp | ||||||||
6.88%, 10/15/2031 | 1,100,000 | 1,238,678 | ||||||
6.55%, 06/15/2034 | 2,520,000 | 2,721,207 | ||||||
BellSouth Telecommunications LLC | ||||||||
6.30%, 12/15/2015 | 19,933 | 20,332 | ||||||
British Telecommunications PLC | ||||||||
5.95%, 01/15/2018 | 289,000 | 318,967 | ||||||
2.35%, 02/14/2019 | 220,000 | 220,860 | ||||||
9.63%, 12/15/2030 | 721,000 | 1,068,192 | ||||||
CBS Corp | ||||||||
1.95%, 07/01/2017 | 4,840,000 | 4,883,468 | ||||||
3.38%, 03/01/2022 | 302,000 | 297,996 | ||||||
3.70%, 08/15/2024 | 546,000 | 532,751 | ||||||
5.50%, 05/15/2033 | 77,000 | 77,458 | ||||||
5.90%, 10/15/2040 | 67,000 | 69,723 | ||||||
4.90%, 08/15/2044 | 315,000 | 291,269 | ||||||
Centel Capital Corp | ||||||||
9.00%, 10/15/2019 | 464,000 | 551,991 | ||||||
CenturyLink Inc | ||||||||
5.15%, 06/15/2017 | 322,000 | 334,075 | ||||||
Cisco Systems Inc | ||||||||
5.50%, 02/22/2016 | 155,000 | 159,763 | ||||||
2.90%, 03/04/2021 | 186,000 | 189,642 | ||||||
3.00%, 06/15/2022 | 889,000 | 880,715 | ||||||
3.63%, 03/04/2024 | 550,000 | 566,686 | ||||||
3.50%, 06/15/2025 | 467,000 | 472,861 | ||||||
5.90%, 02/15/2039 | 515,000 | 613,119 | ||||||
5.50%, 01/15/2040 | 481,000 | 546,417 | ||||||
Comcast Cable Communications Holdings Inc | ||||||||
9.46%, 11/15/2022 | 542,000 | 744,004 | ||||||
Comcast Cable Communications LLC | ||||||||
8.88%, 05/01/2017 | 103,000 | 116,915 |
Table of Contents
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 251,483 | ||||||
Comcast Corp | ||||||||
6.50%, 01/15/2017 | 103,000 | 111,400 | ||||||
4.25%, 01/15/2033 | 1,895,000 | 1,847,650 | ||||||
4.20%, 08/15/2034 | 555,000 | 533,659 | ||||||
6.50%, 11/15/2035 | 1,342,000 | 1,664,985 | ||||||
6.45%, 03/15/2037 | 310,000 | 381,961 | ||||||
6.95%, 08/15/2037 | 107,000 | 138,702 | ||||||
Cox Communications Inc | ||||||||
3.25%, 12/15/2022 (Acquired 10/28/2013, Cost $321,531) (b) | 348,000 | 331,330 | ||||||
3.85%, 02/01/2025 (Acquired 12/01/2014, Cost $1,996,827) (b) | 2,000,000 | 1,919,232 | ||||||
4.80%, 02/01/2035 (Acquired 12/05/2014, Cost $7,148,292) (b) | 7,150,000 | 6,580,903 | ||||||
8.38%, 03/01/2039 (Acquired 10/28/2013, Cost $164,382) (b) | 134,000 | 170,357 | ||||||
Cox Enterprises Inc | ||||||||
7.38%, 07/15/2027 (Acquired 10/28/2013, Cost $317,304) (b) | 273,000 | 327,482 | ||||||
Crown Castle Towers LLC | ||||||||
3.22%, 05/15/2022 (Acquired 04/30/2015, Cost $589,000) (b) | 589,000 | 579,635 | ||||||
Deutsche Telekom International Finance BV | ||||||||
2.25%, 03/06/2017 (Acquired 10/28/2013 through 12/11/2013, Cost $4,583,352) (b) | 4,529,000 | 4,580,726 | ||||||
6.00%, 07/08/2019 | 209,000 | 239,040 | ||||||
8.75%, 06/15/2030 | 648,000 | 910,070 | ||||||
4.88%, 03/06/2042 (Acquired 10/28/2013, Cost $233,142) (b) | 240,000 | 239,208 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co Inc | ||||||||
4.60%, 02/15/2021 | 578,000 | 615,196 | ||||||
5.00%, 03/01/2021 | 271,000 | 293,171 | ||||||
3.80%, 03/15/2022 | 1,394,000 | 1,400,464 | ||||||
3.95%, 01/15/2025 | 205,000 | 200,687 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,178,825 | ||||||
6.38%, 03/01/2041 | 329,000 | 352,826 | ||||||
5.15%, 03/15/2042 | 40,000 | 37,509 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 790,268 | ||||||
4.95%, 05/15/2042 | 1,161,000 | 1,069,287 | ||||||
eBay Inc | ||||||||
2.88%, 08/01/2021 | 393,000 | 386,719 | ||||||
2.60%, 07/15/2022 | 1,963,000 | 1,821,203 | ||||||
3.45%, 08/01/2024 | 960,000 | 922,953 | ||||||
4.00%, 07/15/2042 | 213,000 | 172,234 | ||||||
GTE Corp | ||||||||
8.75%, 11/01/2021 | 114,000 | 145,781 | ||||||
6.94%, 04/15/2028 | 351,000 | 422,815 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 06/15/2020 (Acquired 05/20/2015, Cost $271,000) (b) | 271,000 | 269,561 | ||||||
3.48%, 06/16/2025 (Acquired 05/20/2015, Cost $314,000) (b) | 314,000 | 309,557 |
Table of Contents
Historic TW Inc | ||||||||
9.15%, 02/01/2023 | 347,000 | 457,895 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 757,396 | ||||||
6.40%, 04/30/2040 | 372,000 | 460,452 | ||||||
5.95%, 04/01/2041 | 527,000 | 615,373 | ||||||
4.45%, 01/15/2043 | 1,765,000 | 1,690,174 | ||||||
New Cingular Wireless Services Inc | ||||||||
8.75%, 03/01/2031 | 1,140,000 | 1,579,219 | ||||||
Nippon Telegraph & Telephone Corp | ||||||||
1.40%, 07/18/2017 | 237,000 | 237,248 | ||||||
Orange SA | ||||||||
2.75%, 09/14/2016 | 437,000 | 444,868 | ||||||
2.75%, 02/06/2019 | 3,000,000 | 3,041,364 | ||||||
9.00%, 03/01/2031 | 1,393,000 | 1,961,206 | ||||||
Qwest Corp | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 4,267,097 | ||||||
Rogers Communications Inc | ||||||||
4.10%, 10/01/2023 | 1,255,000 | 1,284,154 | ||||||
8.75%, 05/01/2032 | 258,000 | 351,408 | ||||||
SK Telecom Co Ltd | ||||||||
6.63%, 07/20/2027 (Acquired 10/28/2013 through 11/27/2013, Cost $430,686) (b) | 361,000 | 459,878 | ||||||
Sky PLC | ||||||||
3.75%, 09/16/2024 (Acquired 09/09/2014, Cost $285,968) (b) | 287,000 | 279,778 | ||||||
Sprint Capital Corp | ||||||||
6.90%, 05/01/2019 | 301,000 | 307,020 | ||||||
8.75%, 03/15/2032 | 38,000 | 36,955 | ||||||
TCI Communications Inc | ||||||||
8.75%, 08/01/2015 | 44,000 | 44,276 | ||||||
7.13%, 02/15/2028 | 138,000 | 179,654 | ||||||
Telecom Italia Capital SA | ||||||||
7.00%, 06/04/2018 | 5,000,000 | 5,506,000 | ||||||
7.18%, 06/18/2019 | 215,000 | 241,606 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,796,070 | ||||||
Telefonica Emisiones SAU | ||||||||
6.42%, 06/20/2016 | 468,000 | 489,303 | ||||||
6.22%, 07/03/2017 | 545,000 | 592,292 | ||||||
3.19%, 04/27/2018 | 221,000 | 226,906 | ||||||
5.13%, 04/27/2020 | 500,000 | 546,481 | ||||||
5.46%, 02/16/2021 | 233,000 | 257,393 | ||||||
Telstra Corp Ltd | ||||||||
3.13%, 04/07/2025 (Acquired 03/30/2015, Cost $2,281,193) (b) | 2,285,000 | 2,228,426 | ||||||
Thomson Reuters Corp | ||||||||
4.70%, 10/15/2019 | 222,000 | 241,713 | ||||||
3.95%, 09/30/2021 | 934,000 | 977,242 | ||||||
3.85%, 09/29/2024 | 342,000 | 339,354 | ||||||
4.50%, 05/23/2043 | 312,000 | 281,428 |
Table of Contents
Time Warner Cable Inc | ||||||||
5.85%, 05/01/2017 | 100,000 | 106,772 | ||||||
6.75%, 07/01/2018 | 5,490,000 | 6,117,952 | ||||||
8.75%, 02/14/2019 | 184,000 | 218,392 | ||||||
8.25%, 04/01/2019 | 222,000 | 260,925 | ||||||
6.55%, 05/01/2037 | 375,000 | 389,311 | ||||||
7.30%, 07/01/2038 | 253,000 | 284,274 | ||||||
6.75%, 06/15/2039 | 539,000 | 573,126 | ||||||
5.88%, 11/15/2040 | 475,000 | 458,475 | ||||||
5.50%, 09/01/2041 | 385,000 | 357,956 | ||||||
Time Warner Cos Inc | ||||||||
7.57%, 02/01/2024 | 330,000 | 409,320 | ||||||
Time Warner Entertainment Co LP | ||||||||
8.38%, 03/15/2023 | 208,000 | 257,747 | ||||||
8.38%, 07/15/2033 | 671,000 | 821,651 | ||||||
Time Warner Inc | ||||||||
4.75%, 03/29/2021 | 585,000 | 631,767 | ||||||
4.00%, 01/15/2022 | 900,000 | 920,364 | ||||||
3.60%, 07/15/2025 | 2,670,000 | 2,592,979 | ||||||
7.63%, 04/15/2031 | 4,513,000 | 5,860,514 | ||||||
7.70%, 05/01/2032 | 842,000 | 1,103,376 | ||||||
6.50%, 11/15/2036 | 257,000 | 300,984 | ||||||
6.20%, 03/15/2040 | 323,000 | 365,799 | ||||||
6.25%, 03/29/2041 | 170,000 | 193,912 | ||||||
5.38%, 10/15/2041 | 181,000 | 185,053 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 2,031,768 | ||||||
Verizon Communications Inc | ||||||||
1.35%, 06/09/2017 | 889,000 | 887,608 | ||||||
2.63%, 02/21/2020 | 1,205,000 | 1,201,271 | ||||||
4.50%, 09/15/2020 | 1,070,000 | 1,153,195 | ||||||
3.00%, 11/01/2021 | 1,975,000 | 1,946,248 | ||||||
5.15%, 09/15/2023 | 2,630,000 | 2,881,583 | ||||||
6.40%, 09/15/2033 | 7,405,000 | 8,463,411 | ||||||
4.40%, 11/01/2034 | 2,056,000 | 1,924,307 | ||||||
5.85%, 09/15/2035 | 149,000 | 161,263 | ||||||
4.27%, 01/15/2036 (Acquired 09/17/2013 through 10/03/2013, Cost $2,235,742) (b) | 2,311,000 | 2,072,824 | ||||||
6.55%, 09/15/2043 | 49,000 | 57,290 | ||||||
4.86%, 08/21/2046 | 9,143,000 | 8,526,158 | ||||||
4.52%, 09/15/2048 (Acquired 10/28/2013 through 03/30/2015, Cost $5,522,762) (b) | 6,396,000 | 5,633,942 | ||||||
5.01%, 08/21/2054 | 5,813,000 | 5,313,716 | ||||||
4.67%, 03/15/2055 (Acquired 09/11/2013 through 10/14/2014, Cost $6,014,879) (b) | 6,860,000 | 5,944,773 | ||||||
Verizon Maryland LLC | ||||||||
5.13%, 06/15/2033 | 103,000 | 100,381 | ||||||
Verizon New England Inc | ||||||||
7.88%, 11/15/2029 | 1,159,000 | 1,476,582 |
Table of Contents
Verizon New York Inc | ||||||||
7.38%, 04/01/2032 | 91,000 | 107,981 | ||||||
Verizon Pennsylvania LLC | ||||||||
6.00%, 12/01/2028 | 439,000 | 467,756 | ||||||
8.35%, 12/15/2030 | 540,000 | 683,728 | ||||||
Viacom Inc | ||||||||
6.25%, 04/30/2016 | 80,000 | 83,425 | ||||||
2.75%, 12/15/2019 | 149,000 | 148,867 | ||||||
3.88%, 12/15/2021 | 581,000 | 588,727 | ||||||
3.13%, 06/15/2022 | 286,000 | 273,448 | ||||||
3.25%, 03/15/2023 | 69,000 | 65,488 | ||||||
4.85%, 12/15/2034 | 156,000 | 143,859 | ||||||
4.50%, 02/27/2042 | 209,000 | 174,160 | ||||||
4.38%, 03/15/2043 | 718,000 | 579,707 | ||||||
Vodafone Group PLC | ||||||||
1.63%, 03/20/2017 | 857,000 | 853,447 | ||||||
1.50%, 02/19/2018 | 784,000 | 770,400 | ||||||
2.50%, 09/26/2022 | 78,000 | 71,458 | ||||||
|
| |||||||
206,600,442 | ||||||||
|
| |||||||
Consumer, Cyclical - 1.35% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 10/28/2013, Cost $354,130) (b) | 369,527 | 377,841 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 01/31/2021 | 125,043 | 135,046 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 01/15/2023 | 4,711,078 | 5,005,520 | ||||||
American Airlines 2015-1 Class A Pass Through Trust | ||||||||
3.38%, 05/01/2027 | 2,995,000 | 2,957,562 | ||||||
American Honda Finance Corp | ||||||||
2.25%, 08/15/2019 | 739,000 | 743,443 | ||||||
Arrow Electronics Inc | ||||||||
3.00%, 03/01/2018 | 197,000 | 200,018 | ||||||
6.88%, 06/01/2018 | 279,000 | 309,654 | ||||||
6.00%, 04/01/2020 | 478,000 | 536,869 | ||||||
4.50%, 03/01/2023 | 183,000 | 186,807 | ||||||
7.50%, 01/15/2027 | 992,000 | 1,168,964 | ||||||
Bed Bath & Beyond Inc | ||||||||
4.92%, 08/01/2034 | 1,865,000 | 1,815,003 | ||||||
BorgWarner Inc | ||||||||
3.38%, 03/15/2025 | 1,205,000 | 1,183,873 | ||||||
Continental Airlines 1997-4 Class A Pass Through Trust | ||||||||
6.90%, 01/02/2018 | 15,028 | 15,694 | ||||||
Continental Airlines 1999-2 Class A-1 Pass Through Trust | ||||||||
7.26%, 03/15/2020 | 38,725 | 42,985 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 6,103,444 | 6,805,340 |
Table of Contents
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 201,887 | 205,642 | ||||||
Costco Wholesale Corp | ||||||||
2.25%, 02/15/2022 | 751,000 | 728,416 | ||||||
CVS Health Corp | ||||||||
4.00%, 12/05/2023 | 6,000,000 | 6,189,798 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,539,855 | ||||||
CVS Pass-Through Trust | ||||||||
5.93%, 01/10/2034 (Acquired 10/28/2013, Cost $753,699) (b) | 683,436 | 782,114 | ||||||
Daimler Finance North America LLC | ||||||||
2.63%, 09/15/2016 (Acquired 08/12/2014 through 12/22/2014, Cost $549,690) (b) | 542,000 | 551,025 | ||||||
2.95%, 01/11/2017 (Acquired 10/28/2013, Cost $1,030,253) (b) | 1,011,000 | 1,035,699 | ||||||
1.38%, 08/01/2017 (Acquired 07/24/2014, Cost $3,290,785) (b) | 3,300,000 | 3,294,789 | ||||||
1.88%, 01/11/2018 (Acquired 10/28/2013 through 12/10/2013, Cost $3,076,020) (b) | 3,080,000 | 3,085,294 | ||||||
2.38%, 08/01/2018 (Acquired 10/28/2013, Cost $195,784) (b) | 195,000 | 197,604 | ||||||
2.25%, 07/31/2019 (Acquired 11/19/2013 through 11/20/2013, Cost $3,218,861) (b) | 3,250,000 | 3,236,015 | ||||||
2.25%, 03/02/2020 (Acquired 02/23/2015, Cost $3,567,291) (b) | 3,575,000 | 3,528,689 | ||||||
2.88%, 03/10/2021 (Acquired 03/03/2014, Cost $698,791) (b) | 700,000 | 705,244 | ||||||
8.50%, 01/18/2031 | 155,000 | 227,267 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 3,061,926 | 3,513,561 | ||||||
Delta Air Lines 2010-2 Class A Pass Through Trust | ||||||||
4.95%, 05/23/2019 | 296,402 | 314,187 | ||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 100,448 | 107,981 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 05/07/2020 | 336,843 | 360,422 | ||||||
DR Horton Inc | ||||||||
6.50%, 04/15/2016 | 107,000 | 110,477 | ||||||
Ford Motor Co | ||||||||
4.75%, 01/15/2043 | 7,240,000 | 7,042,768 | ||||||
Ford Motor Credit Co LLC | ||||||||
2.15%, 01/09/2018 | 386,000 | 387,412 | ||||||
2.24%, 06/15/2018 | 942,000 | 942,136 | ||||||
Gap Inc/The | ||||||||
5.95%, 04/12/2021 | 368,000 | 415,176 | ||||||
General Motors Co | ||||||||
4.00%, 04/01/2025 | 8,070,000 | 7,935,118 | ||||||
General Motors Financial Co Inc | ||||||||
3.45%, 04/10/2022 | 4,820,000 | 4,712,851 | ||||||
Home Depot Inc/The | ||||||||
5.40%, 03/01/2016 | 475,000 | 489,973 | ||||||
2.63%, 06/01/2022 | 347,000 | 341,373 | ||||||
5.88%, 12/16/2036 | 5,490,000 | 6,587,764 | ||||||
4.40%, 03/15/2045 | 268,000 | 266,583 | ||||||
4.25%, 04/01/2046 | 655,000 | 633,518 |
Table of Contents
Johnson Controls Inc | ||||||||
4.25%, 03/01/2021 | 344,000 | 363,062 | ||||||
3.75%, 12/01/2021 | 475,000 | 487,322 | ||||||
3.63%, 07/02/2024 | 161,000 | 161,056 | ||||||
6.00%, 01/15/2036 | 107,000 | 122,365 | ||||||
5.25%, 12/01/2041 | 722,000 | 754,533 | ||||||
4.95%, 07/02/2064 | 1,380,000 | 1,305,777 | ||||||
Kohl’s Corp | ||||||||
6.25%, 12/15/2017 | 103,000 | 114,285 | ||||||
Lowe’s Cos Inc | ||||||||
5.50%, 10/15/2035 | 550,000 | 622,060 | ||||||
7.11%, 05/15/2037 | 361,000 | 467,903 | ||||||
5.13%, 11/15/2041 | 238,000 | 259,281 | ||||||
4.65%, 04/15/2042 | 449,000 | 461,263 | ||||||
Macy’s Retail Holdings Inc | ||||||||
7.45%, 07/15/2017 | 134,000 | 149,357 | ||||||
3.88%, 01/15/2022 | 950,000 | 984,009 | ||||||
2.88%, 02/15/2023 | 421,000 | 404,766 | ||||||
4.38%, 09/01/2023 | 192,000 | 202,217 | ||||||
6.90%, 01/15/2032 | 400,000 | 493,159 | ||||||
4.50%, 12/15/2034 | 368,000 | 352,035 | ||||||
5.13%, 01/15/2042 | 101,000 | 101,116 | ||||||
Marriott International Inc/MD | ||||||||
3.00%, 03/01/2019 | 7,250,000 | 7,429,271 | ||||||
McDonald’s Corp | ||||||||
6.30%, 10/15/2037 | 660,000 | 778,191 | ||||||
Nissan Motor Acceptance Corp | ||||||||
1.80%, 03/15/2018 (Acquired 10/28/2013, Cost $719,074) (b) | 727,000 | 727,665 | ||||||
2.65%, 09/26/2018 (Acquired 02/25/2014, Cost $505,351) (b) | 500,000 | 512,533 | ||||||
Nordstrom Inc | ||||||||
4.00%, 10/15/2021 | 398,000 | 422,558 | ||||||
PACCAR Financial Corp | ||||||||
1.60%, 03/15/2017 | 407,000 | 410,901 | ||||||
0.88%, 12/06/2018 | 3,000,000 | 3,011,931 | ||||||
Starbucks Corp | ||||||||
4.30%, 06/15/2045 | 604,000 | 593,304 | ||||||
Target Corp | ||||||||
6.00%, 01/15/2018 | 217,000 | 241,336 | ||||||
3.50%, 07/01/2024 | 355,000 | 363,249 | ||||||
Toyota Motor Credit Corp | ||||||||
2.00%, 09/15/2016 | 1,600,000 | 1,623,435 | ||||||
2.05%, 01/12/2017 | 402,000 | 408,322 | ||||||
1.75%, 05/22/2017 | 516,000 | 523,058 | ||||||
1.45%, 01/12/2018 | 193,000 | 193,096 | ||||||
US Airways 1998-1A Pass Through Trust | ||||||||
6.85%, 01/30/2018 | 24,943 | 26,439 |
Table of Contents
Walgreen Co | ||||||||
3.10%, 09/15/2022 | 871,000 | 844,649 | ||||||
Walgreens Boots Alliance Inc | ||||||||
3.30%, 11/18/2021 | 907,000 | 899,701 | ||||||
3.80%, 11/18/2024 | 670,000 | 654,452 | ||||||
4.50%, 11/18/2034 | 1,079,000 | 1,011,631 | ||||||
Wal-Mart Stores Inc | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 3,868,227 | ||||||
7.55%, 02/15/2030 | 72,000 | 101,846 | ||||||
5.25%, 09/01/2035 | 124,000 | 140,363 | ||||||
6.20%, 04/15/2038 | 108,000 | 134,306 | ||||||
WW Grainger Inc | ||||||||
4.60%, 06/15/2045 | 423,000 | 421,834 | ||||||
|
| |||||||
116,101,234 | ||||||||
|
| |||||||
Consumer, Non-cyclical - 3.37% | ||||||||
AbbVie Inc | ||||||||
1.75%, 11/06/2017 | 866,000 | 868,510 | ||||||
2.90%, 11/06/2022 | 574,000 | 555,300 | ||||||
3.20%, 11/06/2022 | 469,000 | 463,836 | ||||||
3.60%, 05/14/2025 | 12,060,000 | 11,901,531 | ||||||
4.50%, 05/14/2035 | 870,000 | 848,544 | ||||||
Actavis Funding SCS | ||||||||
3.00%, 03/12/2020 | 539,000 | 540,462 | ||||||
3.45%, 03/15/2022 | 898,000 | 888,671 | ||||||
3.80%, 03/15/2025 | 2,355,000 | 2,309,864 | ||||||
4.55%, 03/15/2035 | 4,708,000 | 4,462,916 | ||||||
4.75%, 03/15/2045 | 1,395,000 | 1,322,286 | ||||||
Actavis Inc | ||||||||
3.25%, 10/01/2022 | 271,000 | 262,382 | ||||||
ADT Corp/The | ||||||||
3.50%, 07/15/2022 | 577,000 | 523,627 | ||||||
4.13%, 06/15/2023 | 217,000 | 201,810 | ||||||
4.88%, 07/15/2042 | 323,000 | 247,095 | ||||||
Aetna Inc | ||||||||
6.75%, 12/15/2037 | 341,000 | 427,812 | ||||||
4.50%, 05/15/2042 | 205,000 | 190,019 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,762,085 | ||||||
Allergan Inc/United States | ||||||||
2.80%, 03/15/2023 | 700,000 | 645,691 | ||||||
Amgen Inc | ||||||||
5.70%, 02/01/2019 | 204,000 | 227,737 | ||||||
2.13%, 05/01/2020 | 123,000 | 120,333 | ||||||
3.88%, 11/15/2021 | 722,000 | 756,354 | ||||||
2.70%, 05/01/2022 | 5,600,000 | 5,408,659 | ||||||
3.13%, 05/01/2025 | 525,000 | 495,942 | ||||||
5.75%, 03/15/2040 | 4,215,000 | 4,630,363 | ||||||
4.95%, 10/01/2041 | 464,000 | 462,825 |
Table of Contents
5.15%, 11/15/2041 | 1,496,000 | 1,531,153 | ||||||
5.65%, 06/15/2042 | 522,000 | 578,270 | ||||||
5.38%, 05/15/2043 | 1,020,000 | 1,078,692 | ||||||
4.40%, 05/01/2045 | 630,000 | 582,072 | ||||||
Anheuser-Busch Cos LLC | ||||||||
5.50%, 01/15/2018 | 103,000 | 113,225 | ||||||
5.75%, 04/01/2036 | 114,000 | 130,614 | ||||||
Anheuser-Busch InBev Finance Inc | ||||||||
2.63%, 01/17/2023 | 160,000 | 153,053 | ||||||
3.70%, 02/01/2024 | 960,000 | 981,210 | ||||||
4.63%, 02/01/2044 | 1,860,000 | 1,865,273 | ||||||
Anheuser-Busch InBev Worldwide Inc | ||||||||
7.75%, 01/15/2019 | 132,000 | 156,580 | ||||||
Anthem Inc | ||||||||
2.30%, 07/15/2018 | 289,000 | 290,560 | ||||||
3.13%, 05/15/2022 | 484,000 | 469,827 | ||||||
3.30%, 01/15/2023 | 271,000 | 260,304 | ||||||
3.50%, 08/15/2024 | 694,000 | 665,638 | ||||||
4.63%, 05/15/2042 | 400,000 | 364,364 | ||||||
4.65%, 01/15/2043 | 391,000 | 357,207 | ||||||
5.10%, 01/15/2044 | 1,881,000 | 1,832,197 | ||||||
4.65%, 08/15/2044 | 395,000 | 359,997 | ||||||
Archer-Daniels-Midland Co | ||||||||
5.94%, 10/01/2032 | 227,000 | 272,025 | ||||||
BAT International Finance PLC | ||||||||
3.95%, 06/15/2025 (Acquired 06/10/2015, Cost $6,988,836) (b) | 7,010,000 | 7,078,656 | ||||||
Baxalta Inc | ||||||||
3.60%, 06/23/2022 (Acquired 06/18/2015, Cost $366,685) (b) | 367,000 | 366,642 | ||||||
5.25%, 06/23/2045 (Acquired 06/18/2015, Cost $2,098,108) (b) | 2,112,000 | 2,116,099 | ||||||
Baxter International Inc | ||||||||
1.85%, 06/15/2018 | 183,000 | 182,298 | ||||||
3.65%, 08/15/2042 | 1,900,000 | 1,871,971 | ||||||
Bayer US Finance LLC | ||||||||
2.38%, 10/08/2019 (Acquired 10/01/2014, Cost $384,414) (b) | 386,000 | 387,063 | ||||||
3.38%, 10/08/2024 (Acquired 10/01/2014, Cost $466,560) (b) | 471,000 | 467,822 | ||||||
Baylor Scott & White Holdings | ||||||||
4.19%, 11/15/2045 | 1,800,000 | 1,665,288 | ||||||
Becton Dickinson and Co | ||||||||
5.00%, 05/15/2019 | 72,000 | 78,663 | ||||||
2.68%, 12/15/2019 | 154,000 | 153,863 | ||||||
3.73%, 12/15/2024 | 4,267,000 | 4,246,305 | ||||||
Brown-Forman Corp | ||||||||
4.50%, 07/15/2045 | 375,000 | 369,706 | ||||||
Bunge Ltd Finance Corp | ||||||||
3.20%, 06/15/2017 | 4,010,000 | 4,128,227 | ||||||
8.50%, 06/15/2019 | 4,456,000 | 5,383,084 |
Table of Contents
Bunge NA Finance LP | ||||||||
5.90%, 04/01/2017 | 470,000 | 502,011 | ||||||
Cardinal Health Inc | ||||||||
3.75%, 09/15/2025 | 412,000 | 409,241 | ||||||
4.90%, 09/15/2045 | 315,000 | 311,255 | ||||||
Cargill Inc | ||||||||
6.00%, 11/27/2017 (Acquired 10/28/2013, Cost $175,082) (b) | 160,000 | 176,501 | ||||||
7.35%, 03/06/2019 (Acquired 10/28/2013, Cost $342,536) (b) | 294,000 | 349,069 | ||||||
4.31%, 05/14/2021 (Acquired 10/28/2013, Cost $296,863) (b) | 281,000 | 305,924 | ||||||
3.30%, 03/01/2022 (Acquired 12/28/2013, Cost $792,337) (b) | 800,000 | 816,209 | ||||||
Celgene Corp | ||||||||
3.25%, 08/15/2022 | 1,220,000 | 1,205,056 | ||||||
4.00%, 08/15/2023 | 298,000 | 304,406 | ||||||
3.63%, 05/15/2024 | 440,000 | 439,478 | ||||||
Cigna Corp | ||||||||
3.25%, 04/15/2025 | 970,000 | 928,990 | ||||||
5.38%, 02/15/2042 | 3,040,000 | 3,252,730 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.38%, 11/26/2018 | 9,890,000 | 10,029,449 | ||||||
ConAgra Foods Inc | ||||||||
1.30%, 01/25/2016 | 235,000 | 235,023 | ||||||
5.82%, 06/15/2017 | 644,000 | 691,718 | ||||||
2.10%, 03/15/2018 | 189,000 | 187,067 | ||||||
4.95%, 08/15/2020 | 215,000 | 232,862 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 2,209,441 | ||||||
7.00%, 10/01/2028 | 1,250,000 | 1,475,060 | ||||||
Diageo Capital PLC | ||||||||
1.50%, 05/11/2017 | 405,000 | 405,199 | ||||||
4.83%, 07/15/2020 | 287,000 | 317,219 | ||||||
Diageo Finance BV | ||||||||
5.30%, 10/28/2015 | 222,000 | 225,236 | ||||||
Diageo Investment Corp | ||||||||
8.00%, 09/15/2022 | 516,000 | 671,622 | ||||||
Eli Lilly & Co | ||||||||
2.75%, 06/01/2025 | 2,100,000 | 2,027,176 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 03/15/2017 (Acquired 10/28/2013, Cost $279,684) (b) | 275,000 | 281,666 | ||||||
6.38%, 10/15/2017 (Acquired 10/28/2013, Cost $45,004) (b) | 41,000 | 45,062 | ||||||
2.80%, 11/01/2018 (Acquired 01/07/2014, Cost $4,939,028) (b) | 4,875,000 | 4,969,673 | ||||||
4.50%, 08/16/2021 (Acquired 10/28/2013, Cost $418,237) (b) | 400,000 | 431,392 | ||||||
6.70%, 06/01/2034 (Acquired 10/28/2013, Cost $581,205) (b) | 508,000 | 616,520 | ||||||
5.63%, 03/15/2042 (Acquired 10/28/2013, Cost $368,923) (b) | 357,000 | 381,322 | ||||||
4.50%, 02/15/2045 (Acquired 02/10/2015, Cost $296,563) (b) | 300,000 | 274,696 | ||||||
Express Scripts Holding Co | ||||||||
2.65%, 02/15/2017 | 7,518,000 | 7,651,715 | ||||||
4.75%, 11/15/2021 | 4,000,000 | 4,335,732 | ||||||
3.50%, 06/15/2024 | 897,000 | 876,055 |
Table of Contents
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 486,350 | ||||||
Forest Laboratories LLC | ||||||||
4.38%, 02/01/2019 (Acquired 01/27/2014 through 02/04/2014, Cost $5,430,419) (b) | 5,100,000 | 5,394,071 | ||||||
4.88%, 02/15/2021 (Acquired 10/16/2014, Cost $317,896) (b) | 300,000 | 324,951 | ||||||
5.00%, 12/15/2021 (Acquired 04/01/2014, Cost $5,132,986) (b) | 4,738,000 | 5,137,337 | ||||||
Gilead Sciences Inc | ||||||||
3.70%, 04/01/2024 | 900,000 | 918,393 | ||||||
3.50%, 02/01/2025 | 374,000 | 373,975 | ||||||
5.65%, 12/01/2041 | 2,910,000 | 3,337,313 | ||||||
GlaxoSmithKline Capital Inc | ||||||||
5.65%, 05/15/2018 | 320,000 | 356,969 | ||||||
6.38%, 05/15/2038 | 217,000 | 272,294 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024 (Acquired 06/27/2014, Cost $3,004,533) (b) | 3,000,000 | 2,987,070 | ||||||
Heineken NV | ||||||||
1.40%, 10/01/2017 (Acquired 10/28/2013, Cost $296,975) (b) | 299,000 | 298,981 | ||||||
HJ Heinz Co | ||||||||
2.80%, 07/02/2020 (Acquired 06/23/2015, Cost $3,766,431) (b) | 3,775,000 | 3,774,509 | ||||||
3.95%, 07/15/2025 (Acquired 06/23/2015 through 06/24/2015, Cost $1,476,677) (b) | 1,478,000 | 1,486,326 | ||||||
5.00%, 07/15/2035 (Acquired 06/23/2015, Cost $2,655,504) (b) | 2,681,000 | 2,715,435 | ||||||
Hospira Inc | ||||||||
6.05%, 03/30/2017 | 537,000 | 577,714 | ||||||
5.80%, 08/12/2023 | 4,000,000 | 4,649,872 | ||||||
Humana Inc | ||||||||
7.20%, 06/15/2018 | 215,000 | 247,259 | ||||||
JM Smucker Co/The | ||||||||
3.00%, 03/15/2022 (Acquired 03/27/2015, Cost $4,796,699) (b) | 4,750,000 | 4,660,572 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,130,529 | ||||||
4.50%, 12/05/2043 | 3,650,000 | 3,874,387 | ||||||
Kellogg Co | ||||||||
1.75%, 05/17/2017 | 262,000 | 263,308 | ||||||
3.25%, 05/21/2018 | 234,000 | 242,164 | ||||||
Kimberly-Clark Corp | ||||||||
7.50%, 11/01/2018 | 52,000 | 61,760 | ||||||
2.40%, 03/01/2022 | 140,000 | 136,658 | ||||||
Kraft Foods Group Inc | ||||||||
6.13%, 08/23/2018 | 531,000 | 593,449 | ||||||
5.38%, 02/10/2020 | 138,000 | 153,910 | ||||||
3.50%, 06/06/2022 | 768,000 | 769,150 | ||||||
6.88%, 01/26/2039 | 1,049,000 | 1,281,623 | ||||||
6.50%, 02/09/2040 | 310,000 | 363,303 | ||||||
5.00%, 06/04/2042 | 505,000 | 501,515 |
Table of Contents
Kroger Co/The | ||||||||
2.20%, 01/15/2017 | 399,000 | 404,519 | ||||||
6.40%, 08/15/2017 | 62,000 | 68,251 | ||||||
6.15%, 01/15/2020 | 206,000 | 236,843 | ||||||
4.00%, 02/01/2024 | 63,000 | 64,980 | ||||||
7.50%, 04/01/2031 | 1,417,000 | 1,820,110 | ||||||
5.40%, 07/15/2040 | 95,000 | 102,859 | ||||||
5.00%, 04/15/2042 | 1,434,000 | 1,483,691 | ||||||
Laboratory Corp of America Holdings | ||||||||
4.63%, 11/15/2020 | 6,630,000 | 7,166,035 | ||||||
3.20%, 02/01/2022 | 1,127,000 | 1,109,870 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,645,388 | ||||||
McKesson Corp | ||||||||
0.95%, 12/04/2015 | 144,000 | 144,202 | ||||||
Medco Health Solutions Inc | ||||||||
2.75%, 09/15/2015 | 1,473,000 | 1,479,075 | ||||||
Medtronic Inc | ||||||||
3.15%, 03/15/2022 (Acquired 12/01/2014, Cost $813,389) (b) | 815,000 | 817,885 | ||||||
3.50%, 03/15/2025 (Acquired 12/19/2014, Cost $12,934,972) (b) | 13,000,000 | 12,956,788 | ||||||
4.38%, 03/15/2035 (Acquired 12/01/2014, Cost $978,387) (b) | 987,000 | 976,426 | ||||||
Merck & Co Inc | ||||||||
1.30%, 05/18/2018 | 107,000 | 106,521 | ||||||
2.35%, 02/10/2022 | 386,000 | 372,984 | ||||||
2.40%, 09/15/2022 | 376,000 | 361,369 | ||||||
2.80%, 05/18/2023 | 361,000 | 354,713 | ||||||
4.15%, 05/18/2043 | 4,000,000 | 3,873,332 | ||||||
3.70%, 02/10/2045 | 70,000 | 62,285 | ||||||
Mondelez International Inc | ||||||||
2.25%, 02/01/2019 | 6,550,000 | 6,556,268 | ||||||
4.00%, 02/01/2024 | 1,590,000 | 1,644,604 | ||||||
Mylan Inc | ||||||||
2.55%, 03/28/2019 | 600,000 | 594,371 | ||||||
7.88%, 07/15/2020 (Acquired 11/18/2013, Cost $5,209,072) (b) | 5,000,000 | 5,208,600 | ||||||
New York and Presbyterian Hospital/The | ||||||||
4.02%, 08/01/2045 | 125,000 | 113,581 | ||||||
Novartis Capital Corp | ||||||||
2.40%, 09/21/2022 | 6,440,000 | 6,252,081 | ||||||
3.40%, 05/06/2024 | 922,000 | 934,262 | ||||||
PepsiCo Inc | ||||||||
1.25%, 08/13/2017 | 1,175,000 | 1,176,758 | ||||||
7.90%, 11/01/2018 | 24,000 | 28,640 | ||||||
3.00%, 08/25/2021 | 258,000 | 264,018 | ||||||
Perrigo Co PLC | ||||||||
2.30%, 11/08/2018 | 4,223,000 | 4,225,006 | ||||||
Pfizer Inc | ||||||||
3.00%, 06/15/2023 | 449,000 | 446,783 | ||||||
4.30%, 06/15/2043 | 4,170,000 | 4,072,484 |
Table of Contents
Procter & Gamble - Esop | ||||||||
9.36%, 01/01/2021 | 171,726 | 208,608 | ||||||
Procter & Gamble Co/The | ||||||||
5.50%, 02/01/2034 | 103,000 | 123,761 | ||||||
Quest Diagnostics Inc | ||||||||
3.50%, 03/30/2025 | 4,820,000 | 4,567,061 | ||||||
Reynolds American Inc | ||||||||
4.00%, 06/12/2022 | 4,590,000 | 4,683,191 | ||||||
Roche Holdings Inc | ||||||||
3.35%, 09/30/2024 (Acquired 11/13/2014, Cost $791,126) (b) | 780,000 | 786,309 | ||||||
RR Donnelley & Sons Co | ||||||||
8.60%, 08/15/2016 | 269,000 | 289,175 | ||||||
6.13%, 01/15/2017 | 11,000 | 11,330 | ||||||
7.63%, 06/15/2020 | 107,000 | 120,375 | ||||||
SABMiller Holdings Inc | ||||||||
2.20%, 08/01/2018 (Acquired 12/17/2013, Cost $5,106,795) (b) | 5,080,000 | 5,135,108 | ||||||
3.75%, 01/15/2022 (Acquired 10/28/2013, Cost $1,486,000) (b) | 1,441,000 | 1,487,296 | ||||||
Sysco Corp | ||||||||
3.00%, 10/02/2021 | 203,000 | 205,030 | ||||||
Texas Health Resources | ||||||||
4.33%, 11/15/2055 | 1,000,000 | 931,849 | ||||||
Tyson Foods Inc | ||||||||
4.50%, 06/15/2022 | 4,750,000 | 5,041,075 | ||||||
3.95%, 08/15/2024 | 1,451,000 | 1,459,597 | ||||||
UnitedHealth Group Inc | ||||||||
3.38%, 11/15/2021 | 685,000 | 703,053 | ||||||
2.75%, 02/15/2023 | 186,000 | 177,705 | ||||||
2.88%, 03/15/2023 | 310,000 | 298,031 | ||||||
6.63%, 11/15/2037 | 562,000 | 718,303 | ||||||
4.38%, 03/15/2042 | 5,170,000 | 4,994,360 | ||||||
Ventas Realty LP | ||||||||
3.75%, 05/01/2024 | 382,000 | 375,911 | ||||||
Wm Wrigley Jr Co | ||||||||
2.90%, 10/21/2019 (Acquired 12/10/2013, Cost $4,979,784) (b) | 4,960,000 | 5,046,483 | ||||||
Wyeth LLC | ||||||||
6.45%, 02/01/2024 | 82,000 | 101,070 | ||||||
Zimmer Biomet Holdings Inc | ||||||||
2.70%, 04/01/2020 | 3,790,000 | 3,767,154 | ||||||
3.55%, 04/01/2025 | 6,000,000 | 5,807,070 | ||||||
Zoetis Inc | ||||||||
4.70%, 02/01/2043 | 300,000 | 285,017 | ||||||
|
| |||||||
290,455,028 | ||||||||
|
| |||||||
Diversified - 0.10% | ||||||||
Hutchison Whampoa International 09 Ltd | ||||||||
7.63%, 04/09/2019 (Acquired 10/28/2013, Cost $706,923) (b) | 612,000 | 723,177 |
Table of Contents
Hutchison Whampoa International 09/19 Ltd | ||||||||
5.75%, 09/11/2019 (Acquired 12/03/2013, Cost $6,828,796) (b) | 6,175,000 | 6,961,028 | ||||||
Hutchison Whampoa International 12 II Ltd | ||||||||
3.25%, 11/08/2022 (Acquired 10/28/2013, Cost $423,748) (b) | 450,000 | 447,156 | ||||||
MUFG Americas Holdings Corp | ||||||||
2.25%, 02/10/2020 | 360,000 | 355,399 | ||||||
|
| |||||||
8,486,760 | ||||||||
|
| |||||||
Energy - 3.43% | ||||||||
Alberta Energy Co Ltd | ||||||||
7.38%, 11/01/2031 | 274,000 | 319,205 | ||||||
Anadarko Finance Co | ||||||||
7.50%, 05/01/2031 | 206,000 | 257,364 | ||||||
Anadarko Holding Co | ||||||||
7.15%, 05/15/2028 | 170,000 | 207,063 | ||||||
Anadarko Petroleum Corp | ||||||||
6.38%, 09/15/2017 | 722,000 | 792,115 | ||||||
8.70%, 03/15/2019 | 664,000 | 802,330 | ||||||
6.95%, 06/15/2019 | 2,975,000 | 3,453,324 | ||||||
6.45%, 09/15/2036 | 2,685,000 | 3,089,337 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,600,000 | ||||||
ANR Pipeline Co | ||||||||
9.63%, 11/01/2021 | 337,000 | 443,675 | ||||||
Apache Corp | ||||||||
6.90%, 09/15/2018 | 258,000 | 295,126 | ||||||
3.25%, 04/15/2022 | 99,000 | 97,249 | ||||||
5.10%, 09/01/2040 | 600,000 | 577,997 | ||||||
4.75%, 04/15/2043 | 416,000 | 383,640 | ||||||
Boardwalk Pipelines LP | ||||||||
4.95%, 12/15/2024 | 257,000 | 251,676 | ||||||
BP Capital Markets PLC | ||||||||
1.85%, 05/05/2017 | 689,000 | 696,434 | ||||||
1.38%, 11/06/2017 | 229,000 | 228,802 | ||||||
2.24%, 05/10/2019 | 400,000 | 402,729 | ||||||
4.74%, 03/11/2021 | 640,000 | 705,522 | ||||||
3.06%, 03/17/2022 | 757,000 | 754,317 | ||||||
3.25%, 05/06/2022 | 262,000 | 262,417 | ||||||
2.75%, 05/10/2023 | 262,000 | 250,260 | ||||||
3.81%, 02/10/2024 | 3,993,000 | 4,058,429 | ||||||
3.54%, 11/04/2024 | 700,000 | 692,547 | ||||||
3.51%, 03/17/2025 | 45,000 | 44,309 | ||||||
Buckeye Partners LP | ||||||||
2.65%, 11/15/2018 | 2,900,000 | 2,887,681 | ||||||
4.88%, 02/01/2021 | 704,000 | 733,358 | ||||||
4.15%, 07/01/2023 | 738,000 | 718,395 | ||||||
5.85%, 11/15/2043 | 591,000 | 572,150 |
Table of Contents
Burlington Resources Finance Co | ||||||||
7.40%, 12/01/2031 | 53,000 | 70,256 | ||||||
Burlington Resources Inc | ||||||||
8.20%, 03/15/2025 | 206,000 | 265,873 | ||||||
Cameron International Corp | ||||||||
3.60%, 04/30/2022 | 5,900,000 | 5,859,113 | ||||||
4.00%, 12/15/2023 | 163,000 | 161,839 | ||||||
Canadian Natural Resources Ltd | ||||||||
1.75%, 01/15/2018 | 687,000 | 682,040 | ||||||
5.90%, 02/01/2018 | 41,000 | 44,721 | ||||||
7.20%, 01/15/2032 | 41,000 | 48,766 | ||||||
6.45%, 06/30/2033 | 675,000 | 768,789 | ||||||
6.50%, 02/15/2037 | 118,000 | 133,663 | ||||||
6.25%, 03/15/2038 | 478,000 | 527,947 | ||||||
6.75%, 02/01/2039 | 206,000 | 244,152 | ||||||
Cenovus Energy Inc | ||||||||
3.00%, 08/15/2022 | 1,884,000 | 1,779,527 | ||||||
6.75%, 11/15/2039 | 468,000 | 529,097 | ||||||
4.45%, 09/15/2042 | 310,000 | 271,973 | ||||||
CenterPoint Energy Resources Corp | ||||||||
6.13%, 11/01/2017 | 55,000 | 60,839 | ||||||
4.50%, 01/15/2021 | 103,000 | 110,590 | ||||||
Chevron Corp | ||||||||
4.95%, 03/03/2019 | 526,000 | 581,065 | ||||||
2.36%, 12/05/2022 | 315,000 | 301,066 | ||||||
CNOOC Finance 2013 Ltd | ||||||||
3.00%, 05/09/2023 | 2,200,000 | 2,081,493 | ||||||
CNOOC Finance 2015 Australia Pty Ltd | ||||||||
2.63%, 05/05/2020 | 983,000 | 969,293 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.50%, 05/05/2025 | 670,000 | 643,473 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
1.63%, 04/30/2017 | 1,000,000 | 1,001,285 | ||||||
4.25%, 04/30/2024 | 1,165,000 | 1,188,109 | ||||||
Conoco Funding Co | ||||||||
7.25%, 10/15/2031 | 54,000 | 70,140 | ||||||
ConocoPhillips | ||||||||
5.20%, 05/15/2018 | 155,000 | 170,941 | ||||||
5.75%, 02/01/2019 | 206,000 | 232,719 | ||||||
6.00%, 01/15/2020 | 150,000 | 173,585 | ||||||
6.50%, 02/01/2039 | 150,000 | 185,582 | ||||||
ConocoPhillips Canada Funding Co I | ||||||||
5.63%, 10/15/2016 | 126,000 | 133,275 | ||||||
ConocoPhillips Co | ||||||||
2.20%, 05/15/2020 | 328,000 | 325,358 | ||||||
3.35%, 05/15/2025 | 598,000 | 590,051 |
Table of Contents
DCP Midstream LLC | ||||||||
9.75%, 03/15/2019 (Acquired 10/28/2013 through 12/09/2013, Cost $5,929,508) (b) | 4,960,000 | 5,752,117 | ||||||
Devon Energy Corp | ||||||||
0.83%, 12/15/2016 | 4,000,000 | 3,953,868 | ||||||
2.25%, 12/15/2018 | 3,000,000 | 3,006,315 | ||||||
6.30%, 01/15/2019 | 1,174,000 | 1,325,374 | ||||||
3.25%, 05/15/2022 | 896,000 | 884,554 | ||||||
7.95%, 04/15/2032 | 2,500,000 | 3,240,815 | ||||||
4.75%, 05/15/2042 | 323,000 | 307,141 | ||||||
Diamond Offshore Drilling Inc | ||||||||
5.70%, 10/15/2039 | 500,000 | 436,409 | ||||||
4.88%, 11/01/2043 | 767,000 | 605,949 | ||||||
Ecopetrol SA | ||||||||
4.13%, 01/16/2025 | 383,000 | 353,432 | ||||||
5.38%, 06/26/2026 | 537,000 | 531,630 | ||||||
Encana Corp | ||||||||
6.50%, 05/15/2019 | 240,000 | 272,287 | ||||||
6.50%, 08/15/2034 | 118,000 | 126,084 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 131,837 | ||||||
4.65%, 06/01/2021 | 5,000,000 | 5,163,555 | ||||||
3.60%, 02/01/2023 | 716,000 | 677,217 | ||||||
4.75%, 01/15/2026 | 682,000 | 672,228 | ||||||
5.15%, 03/15/2045 | 140,000 | 123,286 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040 (Acquired 10/28/2013, Cost $546,782) (b) | 557,000 | 562,401 | ||||||
EnLink Midstream Partners LP | ||||||||
4.15%, 06/01/2025 | 521,000 | 508,538 | ||||||
5.05%, 04/01/2045 | 378,000 | 341,625 | ||||||
Ensco PLC | ||||||||
4.70%, 03/15/2021 | 500,000 | 508,805 | ||||||
5.20%, 03/15/2025 | 422,000 | 417,213 | ||||||
5.75%, 10/01/2044 | 333,000 | 295,840 | ||||||
Enterprise Products Operating LLC | ||||||||
2.55%, 10/15/2019 | 417,000 | 416,551 | ||||||
4.05%, 02/15/2022 | 400,000 | 412,740 | ||||||
3.35%, 03/15/2023 | 600,000 | 585,232 | ||||||
3.90%, 02/15/2024 | 3,000,000 | 3,008,430 | ||||||
3.75%, 02/15/2025 | 515,000 | 503,977 | ||||||
3.70%, 02/15/2026 | 304,000 | 295,401 | ||||||
6.65%, 10/15/2034 | 672,000 | 812,146 | ||||||
5.75%, 03/01/2035 | 1,075,000 | 1,149,995 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 3,788,140 | ||||||
4.90%, 05/15/2046 | 486,000 | 456,801 | ||||||
4.95%, 10/15/2054 | 177,000 | 164,140 |
Table of Contents
EOG Resources Inc | ||||||||
6.88%, 10/01/2018 | 186,000 | 216,121 | ||||||
4.10%, 02/01/2021 | 547,000 | 587,203 | ||||||
2.63%, 03/15/2023 | 249,000 | 238,800 | ||||||
EQT Midstream Partners LP | ||||||||
4.00%, 08/01/2024 | 2,000,000 | 1,890,398 | ||||||
Exxon Mobil Corp | ||||||||
2.40%, 03/06/2022 | 1,600,000 | 1,568,120 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas Inc | ||||||||
6.75%, 02/01/2022 | 649,000 | 687,940 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
9.25%, 04/23/2019 (Acquired 11/21/2013, Cost $2,053,769) (b) | 1,750,000 | 1,942,500 | ||||||
Gulf South Pipeline Co LP | ||||||||
4.00%, 06/15/2022 | 2,000,000 | 1,921,238 | ||||||
Halliburton Co | ||||||||
6.15%, 09/15/2019 | 77,000 | 88,525 | ||||||
3.50%, 08/01/2023 | 1,032,000 | 1,041,139 | ||||||
6.70%, 09/15/2038 | 350,000 | 434,628 | ||||||
7.45%, 09/15/2039 | 521,000 | 701,927 | ||||||
7.60%, 08/15/2096 (Acquired 10/28/2013, Cost $351,036) (b) | 258,000 | 343,853 | ||||||
Harvest Operations Corp | ||||||||
2.13%, 05/14/2018 (Acquired 11/26/2014, Cost $374,814) (b) | 375,000 | 376,685 | ||||||
Helmerich & Payne International Drilling Co | ||||||||
4.65%, 03/15/2025 (Acquired 03/12/2015 through 03/13/2015, Cost $4,725,282) (b) | 4,710,000 | 4,855,073 | ||||||
Hess Corp | ||||||||
7.88%, 10/01/2029 | 173,000 | 217,507 | ||||||
Husky Energy Inc | ||||||||
6.20%, 09/15/2017 | 3,630,000 | 3,941,084 | ||||||
6.15%, 06/15/2019 | 119,000 | 131,856 | ||||||
Kerr-McGee Corp | ||||||||
6.95%, 07/01/2024 | 127,000 | 152,913 | ||||||
7.88%, 09/15/2031 | 1,191,000 | 1,521,910 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 454,000 | 545,071 | ||||||
5.00%, 10/01/2021 | 4,875,000 | 5,153,216 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,832,874 | ||||||
6.95%, 01/15/2038 | 242,000 | 259,362 | ||||||
6.50%, 09/01/2039 | 107,000 | 109,400 | ||||||
7.50%, 11/15/2040 | 483,000 | 539,209 | ||||||
Kinder Morgan Finance Co LLC | ||||||||
5.70%, 01/05/2016 | 97,000 | 99,146 | ||||||
Korea National Oil Corp | ||||||||
3.13%, 04/03/2017 (Acquired 11/26/2014, Cost $205,285) (b) | 200,000 | 205,136 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 236,172 | ||||||
4.25%, 02/01/2021 | 502,000 | 533,587 | ||||||
3.20%, 03/15/2025 | 386,000 | 370,069 | ||||||
5.15%, 10/15/2043 | 941,000 | 948,312 |
Table of Contents
Marathon Oil Corp | ||||||||
6.00%, 10/01/2017 | 289,000 | 315,859 | ||||||
5.90%, 03/15/2018 | 291,000 | 319,423 | ||||||
2.80%, 11/01/2022 | 700,000 | 662,695 | ||||||
6.60%, 10/01/2037 | 410,000 | 461,059 | ||||||
Marathon Petroleum Corp | ||||||||
3.63%, 09/15/2024 | 1,241,000 | 1,218,527 | ||||||
Murphy Oil Corp | ||||||||
4.00%, 06/01/2022 | 537,000 | 507,058 | ||||||
Nabors Industries Inc | ||||||||
2.35%, 09/15/2016 | 5,000,000 | 5,014,145 | ||||||
6.15%, 02/15/2018 | 118,000 | 127,363 | ||||||
5.00%, 09/15/2020 | 1,190,000 | 1,237,812 | ||||||
4.63%, 09/15/2021 | 600,000 | 595,460 | ||||||
National Oilwell Varco Inc | ||||||||
6.13%, 08/15/2015 | 757,000 | 757,509 | ||||||
1.35%, 12/01/2017 | 162,000 | 160,224 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 408,000 | 487,411 | ||||||
7.50%, 07/30/2039 | 4,000,000 | 5,311,132 | ||||||
Noble Energy Inc | ||||||||
8.25%, 03/01/2019 | 323,000 | 384,595 | ||||||
4.15%, 12/15/2021 | 550,000 | 572,360 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,597,313 | ||||||
5.05%, 11/15/2044 | 386,000 | 368,547 | ||||||
Noble Holding International Ltd | ||||||||
4.00%, 03/16/2018 | 158,000 | 161,685 | ||||||
3.95%, 03/15/2022 | 90,000 | 82,840 | ||||||
6.05%, 03/01/2041 | 500,000 | 413,167 | ||||||
5.25%, 03/15/2042 | 64,000 | 48,090 | ||||||
6.95%, 04/01/2045 | 254,000 | 233,284 | ||||||
Occidental Petroleum Corp | ||||||||
1.75%, 02/15/2017 | 251,000 | 253,241 | ||||||
2.70%, 02/15/2023 | 100,000 | 96,577 | ||||||
3.50%, 06/15/2025 | 455,000 | 452,715 | ||||||
4.63%, 06/15/2045 | 158,000 | 156,686 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021 (Acquired 04/30/2014, Cost $422,514) (b) | 425,000 | 421,005 | ||||||
ONEOK Partners LP | ||||||||
6.15%, 10/01/2016 | 365,000 | 385,529 | ||||||
3.20%, 09/15/2018 | 1,300,000 | 1,328,224 | ||||||
8.63%, 03/01/2019 | 353,000 | 419,624 | ||||||
3.80%, 03/15/2020 | 1,000,000 | 1,020,295 | ||||||
4.90%, 03/15/2025 | 2,500,000 | 2,469,420 | ||||||
6.65%, 10/01/2036 | 1,050,000 | 1,095,485 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,451,805 |
Table of Contents
Petrobras Global Finance BV | ||||||||
2.00%, 05/20/2016 | 3,000,000 | 2,964,510 | ||||||
3.50%, 02/06/2017 | 537,000 | 531,216 | ||||||
2.64%, 03/17/2017 | 1,050,000 | 1,028,160 | ||||||
3.25%, 03/17/2017 | 1,000,000 | 983,840 | ||||||
5.88%, 03/01/2018 | 4,000,000 | 4,080,000 | ||||||
7.88%, 03/15/2019 | 206,000 | 218,758 | ||||||
5.75%, 01/20/2020 | 107,000 | 106,020 | ||||||
5.38%, 01/27/2021 | 743,000 | 714,989 | ||||||
4.38%, 05/20/2023 | 788,000 | 686,900 | ||||||
6.25%, 03/17/2024 | 1,867,000 | 1,802,532 | ||||||
6.75%, 01/27/2041 | 114,000 | 99,799 | ||||||
6.85%, 06/05/2115 | 130,000 | 107,476 | ||||||
Petro-Canada | ||||||||
6.05%, 05/15/2018 | 263,000 | 291,939 | ||||||
5.95%, 05/15/2035 | 350,000 | 400,802 | ||||||
6.80%, 05/15/2038 | 330,000 | 415,253 | ||||||
Petrofac Ltd | ||||||||
3.40%, 10/10/2018 (Acquired 10/28/2013 through 11/14/2013, Cost $5,090,339) (b) | 5,029,000 | 4,973,007 | ||||||
Petroleos Mexicanos | ||||||||
5.75%, 03/01/2018 | 301,000 | 327,437 | ||||||
5.50%, 01/21/2021 | 7,000,000 | 7,591,500 | ||||||
4.88%, 01/24/2022 | 6,000,000 | 6,239,220 | ||||||
4.88%, 01/18/2024 | 363,000 | 372,075 | ||||||
4.25%, 01/15/2025 (Acquired 10/06/2014, Cost $3,247,918) (b) | 3,266,000 | 3,180,757 | ||||||
4.50%, 01/23/2026 (Acquired 01/15/2015, Cost $1,190,920) (b) | 1,193,000 | 1,166,038 | ||||||
6.63%, 06/15/2035 | 5,107,000 | 5,451,723 | ||||||
6.38%, 01/23/2045 | 3,002,000 | 3,095,963 | ||||||
5.63%, 01/23/2046 (Acquired 01/15/2015, Cost $747,562) (b) | 753,000 | 703,076 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/2017 | 241,000 | 247,388 | ||||||
4.30%, 04/01/2022 | 5,736,000 | 6,014,236 | ||||||
Phillips 66 Partners LP | ||||||||
2.65%, 02/15/2020 | 3,650,000 | 3,587,574 | ||||||
Pioneer Natural Resources Co | ||||||||
5.88%, 07/15/2016 | 211,000 | 220,492 | ||||||
Plains All American Pipeline LP / PAA Finance Corp | ||||||||
2.60%, 12/15/2019 | 382,000 | 380,069 | ||||||
3.60%, 11/01/2024 | 1,050,000 | 1,011,968 | ||||||
4.90%, 02/15/2045 | 875,000 | 822,052 | ||||||
QEP Resources Inc | ||||||||
6.80%, 03/01/2020 | 107,000 | 110,344 | ||||||
Reliance Holding USA Inc | ||||||||
5.40%, 02/14/2022 (Acquired 11/20/2013, Cost $1,775,846) (b) | 1,750,000 | 1,885,086 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020 (Acquired 10/28/2013, Cost $187,830) (b) | 215,000 | 219,838 |
Table of Contents
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021 (Acquired 10/28/2013, Cost $339,578) (b) | 337,000 | 346,483 | ||||||
3.65%, 12/01/2023 | 3,754,000 | 3,874,301 | ||||||
Shell International Finance BV | ||||||||
1.13%, 08/21/2017 | 504,000 | 503,286 | ||||||
4.30%, 09/22/2019 | 310,000 | 337,602 | ||||||
4.38%, 03/25/2020 | 885,000 | 968,058 | ||||||
2.13%, 05/11/2020 | 699,000 | 697,352 | ||||||
3.25%, 05/11/2025 | 7,695,000 | 7,608,162 | ||||||
4.13%, 05/11/2035 | 625,000 | 609,909 | ||||||
6.38%, 12/15/2038 | 619,000 | 775,907 | ||||||
Sinopec Group Overseas Development 2012 Ltd | ||||||||
3.90%, 05/17/2022 (Acquired 06/22/2015, Cost $615,394) (b) | 600,000 | 612,475 | ||||||
Sinopec Group Overseas Development 2013 Ltd | ||||||||
4.38%, 10/17/2023 (Acquired 10/28/2013, Cost $476,032) (b) | 475,000 | 497,135 | ||||||
Sinopec Group Overseas Development 2014 Ltd | ||||||||
1.75%, 04/10/2017 (Acquired 04/02/2014 through 06/22/2015, Cost $4,393,305) (b) | 4,400,000 | 4,401,602 | ||||||
Sinopec Group Overseas Development 2015 Ltd | ||||||||
2.50%, 04/28/2020 (Acquired 04/21/2015, Cost $8,963,099) (b) | 9,000,000 | 8,896,572 | ||||||
Southern Natural Gas Co LLC | ||||||||
5.90%, 04/01/2017 (Acquired 10/28/2013, Cost $160,580) (b) | 150,000 | 159,737 | ||||||
Spectra Energy Capital LLC | ||||||||
8.00%, 10/01/2019 | 515,000 | 609,781 | ||||||
5.65%, 03/01/2020 | 253,000 | 274,343 | ||||||
3.30%, 03/15/2023 | 467,000 | 427,727 | ||||||
7.50%, 09/15/2038 | 1,457,000 | 1,649,725 | ||||||
Spectra Energy Partners LP | ||||||||
2.95%, 09/25/2018 | 306,000 | 312,778 | ||||||
3.50%, 03/15/2025 | 787,000 | 751,920 | ||||||
5.95%, 09/25/2043 | 207,000 | 224,680 | ||||||
4.50%, 03/15/2045 | 3,000,000 | 2,648,112 | ||||||
Statoil ASA | ||||||||
3.13%, 08/17/2017 | 304,000 | 315,786 | ||||||
1.20%, 01/17/2018 | 221,000 | 220,043 | ||||||
5.25%, 04/15/2019 | 382,000 | 426,525 | ||||||
3.15%, 01/23/2022 | 237,000 | 238,810 | ||||||
2.45%, 01/17/2023 | 280,000 | 268,034 | ||||||
2.65%, 01/15/2024 | 663,000 | 634,522 | ||||||
3.25%, 11/10/2024 | 508,000 | 504,326 | ||||||
4.25%, 11/23/2041 | 193,000 | 187,418 | ||||||
Suncor Energy Inc | ||||||||
6.10%, 06/01/2018 | 196,000 | 218,257 | ||||||
3.60%, 12/01/2024 | 677,000 | 672,691 | ||||||
5.95%, 12/01/2034 | 248,000 | 281,132 | ||||||
6.85%, 06/01/2039 | 93,000 | 116,579 |
Table of Contents
Sunoco Logistics Partners Operations LP | ||||||||
5.50%, 02/15/2020 | 410,000 | 452,959 | ||||||
4.25%, 04/01/2024 | 833,000 | 807,773 | ||||||
4.95%, 01/15/2043 | 1,482,000 | 1,293,887 | ||||||
5.30%, 04/01/2044 | 200,000 | 181,501 | ||||||
5.35%, 05/15/2045 | 633,000 | 575,961 | ||||||
Talisman Energy Inc | ||||||||
7.75%, 06/01/2019 | 682,000 | 781,586 | ||||||
5.85%, 02/01/2037 | 171,000 | 162,428 | ||||||
6.25%, 02/01/2038 | 164,000 | 160,560 | ||||||
5.50%, 05/15/2042 | 860,000 | 771,682 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/2025 | 3,500,000 | 3,452,148 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 10/28/2013, Cost $666,518) (b) | 714,000 | 667,430 | ||||||
Tosco Corp | ||||||||
7.80%, 01/01/2027 | 392,000 | 512,395 | ||||||
8.13%, 02/15/2030 | 361,000 | 500,912 | ||||||
Total Capital Canada Ltd | ||||||||
0.66%, 01/15/2016 | 174,000 | 174,316 | ||||||
Total Capital International SA | ||||||||
0.75%, 01/25/2016 | 256,000 | 256,381 | ||||||
1.50%, 02/17/2017 | 218,000 | 219,748 | ||||||
1.55%, 06/28/2017 | 581,000 | 586,299 | ||||||
2.75%, 06/19/2021 | 900,000 | 906,094 | ||||||
2.70%, 01/25/2023 | 144,000 | 139,670 | ||||||
Total Capital SA | ||||||||
2.30%, 03/15/2016 | 1,032,000 | 1,045,023 | ||||||
4.13%, 01/28/2021 | 229,000 | 246,962 | ||||||
TransCanada PipeLines Ltd | ||||||||
1.88%, 01/12/2018 | 205,000 | 206,260 | ||||||
6.50%, 08/15/2018 | 196,000 | 222,417 | ||||||
7.13%, 01/15/2019 | 273,000 | 316,888 | ||||||
6.20%, 10/15/2037 | 155,000 | 175,362 | ||||||
7.25%, 08/15/2038 | 217,000 | 274,797 | ||||||
Transocean Inc | ||||||||
6.50%, 11/15/2020 | 395,000 | 364,881 | ||||||
6.88%, 12/15/2021 | 697,000 | 629,914 | ||||||
4.30%, 10/15/2022 | 287,000 | 216,685 | ||||||
7.50%, 04/15/2031 | 52,000 | 41,600 | ||||||
7.85%, 12/15/2041 | 153,000 | 122,400 | ||||||
Ultramar Diamond Shamrock Corp | ||||||||
7.20%, 10/15/2017 | 1,800,000 | 1,990,112 | ||||||
Union Electric Co | ||||||||
3.65%, 04/15/2045 | 1,370,000 | 1,219,727 | ||||||
Valero Energy Corp | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 5,631,035 |
Table of Contents
Weatherford International Ltd/Bermuda | ||||||||
4.50%, 04/15/2022 | 249,000 | 233,575 | ||||||
6.50%, 08/01/2036 | 114,000 | 103,387 | ||||||
9.88%, 03/01/2039 | 275,000 | 315,804 | ||||||
5.95%, 04/15/2042 | 97,000 | 81,760 | ||||||
Western Gas Partners LP | ||||||||
5.45%, 04/01/2044 | 680,000 | 675,362 | ||||||
Williams Cos Inc/The | ||||||||
5.75%, 06/24/2044 | 2,500,000 | 2,312,618 | ||||||
Williams Partners LP | ||||||||
4.30%, 03/04/2024 | 2,500,000 | 2,455,473 | ||||||
6.30%, 04/15/2040 | 333,000 | 337,281 | ||||||
5.80%, 11/15/2043 | 3,550,000 | 3,385,347 | ||||||
Woodside Finance Ltd | ||||||||
3.65%, 03/05/2025 (Acquired 02/26/2015, Cost $3,298,137) (b) | 3,300,000 | 3,164,423 | ||||||
|
| |||||||
295,531,912 | ||||||||
|
| |||||||
Financial - 13.42% | ||||||||
Abbey National Treasury Services PLC/London | ||||||||
2.38%, 03/16/2020 | 7,325,000 | 7,293,803 | ||||||
ABN AMRO Bank NV | ||||||||
1.80%, 06/04/2018 (Acquired 05/28/2015, Cost $1,593,051) (b) | 1,594,000 | 1,592,215 | ||||||
2.50%, 10/30/2018 (Acquired 10/28/13 through 11/15/13, Cost $6,563,695) (b) | 6,542,000 | 6,645,481 | ||||||
2.45%, 06/04/2020 (Acquired 05/28/2015, Cost $1,995,661) (b) | 2,000,000 | 1,988,338 | ||||||
ACE INA Holdings Inc | ||||||||
2.60%, 11/23/2015 | 375,000 | 377,632 | ||||||
3.15%, 03/15/2025 | 3,409,000 | 3,325,149 | ||||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | 2,720,000 | 3,375,025 | ||||||
AIA Group Ltd | ||||||||
3.20%, 03/11/2025 (Acquired 03/04/2015, Cost $1,997,526) (b) | 2,000,000 | 1,923,864 | ||||||
AIG Global Funding | ||||||||
1.65%, 12/15/2017 (Acquired 12/08/2014, Cost $452,649) (b) | 453,000 | 453,565 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032 (Acquired 10/28/2013, Cost $1,178,851) (b) | 955,000 | 1,221,018 | ||||||
Allstate Corp/The | ||||||||
3.15%, 06/15/2023 | 420,000 | 419,984 | ||||||
Ally Financial Inc | ||||||||
2.75%, 01/30/2017 | 5,000,000 | 4,977,500 | ||||||
8.00%, 12/31/2018 | 43,000 | 47,999 | ||||||
3.50%, 01/27/2019 | 1,000,000 | 992,500 | ||||||
American Express Centurion Bank | ||||||||
6.00%, 09/13/2017 | 506,000 | 553,083 | ||||||
American Express Co | ||||||||
7.00%, 03/19/2018 | 284,000 | 321,934 |
Table of Contents
American Express Credit Corp | ||||||||
2.80%, 09/19/2016 | 831,000 | 848,303 | ||||||
2.38%, 03/24/2017 | 287,000 | 292,879 | ||||||
2.13%, 03/18/2019 | 637,000 | 637,866 | ||||||
2.25%, 08/15/2019 | 1,500,000 | 1,501,376 | ||||||
2.38%, 05/26/2020 | 644,000 | 638,806 | ||||||
American Honda Finance Corp | ||||||||
2.60%, 09/20/2016 (Acquired 10/28/2013, Cost $1,205,379) (b) | 1,184,000 | 1,207,891 | ||||||
2.13%, 02/28/2017 (Acquired 10/28/2013, Cost $429,064) (b) | 425,000 | 432,176 | ||||||
1.50%, 09/11/2017 (Acquired 10/28/2013, Cost $351,254) (b) | 352,000 | 353,563 | ||||||
1.60%, 02/16/2018 (Acquired 10/28/2013, Cost $299,930) (b) | 302,000 | 302,732 | ||||||
American International Group Inc | ||||||||
6.40%, 12/15/2020 | 15,100,000 | 17,895,916 | ||||||
4.88%, 06/01/2022 | 257,000 | 281,713 | ||||||
4.13%, 02/15/2024 | 622,000 | 644,552 | ||||||
3.88%, 01/15/2035 | 376,000 | 339,685 | ||||||
8.18%, 05/15/2058 | 107,000 | 141,668 | ||||||
American Tower Corp | ||||||||
3.50%, 01/31/2023 | 341,000 | 327,145 | ||||||
American Tower Trust I | ||||||||
1.55%, 03/15/2018 (Acquired 10/28/2013, Cost $388,668) (b) | 396,000 | 393,874 | ||||||
3.07%, 03/15/2023 (Acquired 12/05/2014, Cost $2,878,276) (b) | 2,900,000 | 2,835,594 | ||||||
Ameriprise Financial Inc | ||||||||
7.30%, 06/28/2019 | 215,000 | 255,512 | ||||||
4.00%, 10/15/2023 | 650,000 | 677,880 | ||||||
Ameritech Capital Funding Corp | ||||||||
9.10%, 06/01/2016 | 83,490 | 88,116 | ||||||
6.45%, 01/15/2018 | 321,000 | 356,139 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 619,673 | ||||||
ANZ New Zealand Int’l Ltd/London | ||||||||
3.13%, 08/10/2015 (Acquired 10/28/2013, Cost $302,752) (b) | 302,000 | 302,837 | ||||||
1.75%, 03/29/2018 (Acquired 03/24/2015, Cost $2,436,707) (b) | 2,437,000 | 2,435,379 | ||||||
2.60%, 09/23/2019 (Acquired 09/16/2014, Cost $3,647,934) (b) | 3,650,000 | 3,677,386 | ||||||
Aon Corp | ||||||||
3.50%, 09/30/2015 | 208,000 | 209,232 | ||||||
3.13%, 05/27/2016 | 256,000 | 261,091 | ||||||
6.25%, 09/30/2040 | 172,000 | 206,983 | ||||||
Aon PLC | ||||||||
4.00%, 11/27/2023 | 5,000,000 | 5,138,565 | ||||||
3.50%, 06/14/2024 | 815,000 | 801,433 | ||||||
Associates Corp of North America | ||||||||
6.95%, 11/01/2018 | 2,915,000 | 3,351,763 | ||||||
Australia & New Zealand Banking Group Ltd | ||||||||
2.40%, 11/23/2016 (Acquired 10/28/2013, Cost $1,046,791) (b) | 1,028,000 | 1,050,245 | ||||||
4.88%, 01/12/2021 (Acquired 10/28/2013, Cost $321,517) (b) | 296,000 | 331,995 | ||||||
Australia & New Zealand Banking Group Ltd/New York NY | ||||||||
1.45%, 05/15/2018 | 640,000 | 635,644 |
Table of Contents
AXIS Specialty Finance PLC | ||||||||
2.65%, 04/01/2019 | 2,890,000 | 2,883,177 | ||||||
BAC Capital Trust VI | ||||||||
5.63%, 03/08/2035 | 43,000 | 46,081 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Inc | ||||||||
5.33%, 09/10/2047 | 2,919,567 | 2,934,343 | ||||||
Bank of America Corp | ||||||||
3.63%, 03/17/2016 | 245,000 | 249,519 | ||||||
6.50%, 08/01/2016 | 515,000 | 543,215 | ||||||
5.63%, 10/14/2016 | 670,000 | 706,145 | ||||||
3.88%, 03/22/2017 | 1,700,000 | 1,767,221 | ||||||
6.40%, 08/28/2017 | 2,293,000 | 2,513,731 | ||||||
5.75%, 12/01/2017 | 480,000 | 522,808 | ||||||
2.00%, 01/11/2018 | 1,193,000 | 1,196,361 | ||||||
6.88%, 04/25/2018 | 843,000 | 951,858 | ||||||
5.65%, 05/01/2018 | 825,000 | 905,822 | ||||||
1.95%, 05/12/2018 | 500,000 | 499,655 | ||||||
6.88%, 11/15/2018 | 1,500,000 | 1,720,266 | ||||||
2.60%, 01/15/2019 | 1,363,000 | 1,376,937 | ||||||
2.65%, 04/01/2019 | 1,400,000 | 1,415,602 | ||||||
7.63%, 06/01/2019 | 360,000 | 426,915 | ||||||
2.25%, 04/21/2020 | 750,000 | 735,699 | ||||||
5.63%, 07/01/2020 | 2,625,000 | 2,955,330 | ||||||
5.88%, 01/05/2021 | 15,340,000 | 17,534,602 | ||||||
5.00%, 05/13/2021 | 1,830,000 | 2,006,903 | ||||||
3.30%, 01/11/2023 | 5,843,000 | 5,747,233 | ||||||
4.10%, 07/24/2023 | 217,000 | 223,138 | ||||||
4.13%, 01/22/2024 | 1,600,000 | 1,638,742 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,428,634 | ||||||
4.20%, 08/26/2024 | 5,765,000 | 5,742,943 | ||||||
4.00%, 01/22/2025 | 654,000 | 636,245 | ||||||
3.95%, 04/21/2025 | 5,201,000 | 5,016,006 | ||||||
4.25%, 10/22/2026 | 544,000 | 529,896 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 4,000,822 | ||||||
7.75%, 05/14/2038 | 137,000 | 181,891 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 5,191,000 | 5,497,414 | ||||||
Bank of Montreal | ||||||||
1.40%, 09/11/2017 | 1,416,000 | 1,420,322 | ||||||
2.55%, 11/06/2022 | 878,000 | 852,125 | ||||||
Bank of New York Mellon Corp/The | ||||||||
2.40%, 01/17/2017 | 1,010,000 | 1,029,791 | ||||||
4.60%, 01/15/2020 | 387,000 | 425,787 | ||||||
3.55%, 09/23/2021 | 355,000 | 370,488 | ||||||
3.65%, 02/04/2024 | 93,000 | 95,357 | ||||||
3.25%, 09/11/2024 | 650,000 | 648,427 | ||||||
3.00%, 02/24/2025 | 5,360,000 | 5,184,835 |
Table of Contents
Bank of Nova Scotia/The | ||||||||
0.71%, 12/13/2016 | 5,650,000 | 5,659,272 | ||||||
2.55%, 01/12/2017 | 867,000 | 885,441 | ||||||
1.70%, 06/11/2018 | 2,825,000 | 2,824,610 | ||||||
1.85%, 04/14/2020 | 1,900,000 | 1,877,008 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd/The | ||||||||
2.35%, 02/23/2017 (Acquired 10/28/2013, Cost $992,202) (b) | 980,000 | 993,110 | ||||||
2.30%, 03/10/2019 (Acquired 03/04/2014 through 06/26/2015, Cost $5,518,094) (b) | 5,525,000 | 5,518,845 | ||||||
2.35%, 09/08/2019 (Acquired 09/02/2014, Cost $339,904) (b) | 340,000 | 339,305 | ||||||
4.10%, 09/09/2023 (Acquired 10/28/2013, Cost $245,353) (b) | 239,000 | 251,066 | ||||||
3.75%, 03/10/2024 (Acquired 03/04/2014, Cost $3,208,533) (b) | 3,215,000 | 3,274,497 | ||||||
BanPonce Trust I | ||||||||
8.33%, 02/01/2027 | 234,000 | 220,354 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.70%, 01/20/2017 (Acquired 01/14/2014, Cost $1,648,664) (b) | 1,650,000 | 1,657,567 | ||||||
Barclays Bank PLC | ||||||||
2.50%, 09/21/2015 (Acquired 10/28/2013, Cost $867,450) (b) | 864,000 | 867,701 | ||||||
5.00%, 09/22/2016 | 114,000 | 119,300 | ||||||
2.25%, 05/10/2017 (Acquired 10/28/2013, Cost $280,506) (b) | 275,000 | 280,766 | ||||||
6.05%, 12/04/2017 (Acquired 10/28/2013, Cost $411,061) (b) | 382,000 | 415,557 | ||||||
6.75%, 05/22/2019 | 430,000 | 498,311 | ||||||
5.13%, 01/08/2020 | 5,500,000 | 6,112,843 | ||||||
3.75%, 05/15/2024 | 647,000 | 648,655 | ||||||
Barclays PLC | ||||||||
2.00%, 03/16/2018 | 2,915,000 | 2,908,607 | ||||||
2.88%, 06/08/2020 | 1,743,000 | 1,730,653 | ||||||
3.65%, 03/16/2025 | 2,522,000 | 2,385,303 | ||||||
BB&T Corp | ||||||||
3.95%, 04/29/2016 | 645,000 | 660,838 | ||||||
1.60%, 08/15/2017 | 384,000 | 385,888 | ||||||
6.85%, 04/30/2019 | 170,000 | 198,825 | ||||||
5.25%, 11/01/2019 | 284,000 | 312,599 | ||||||
2.45%, 01/15/2020 | 1,100,000 | 1,101,560 | ||||||
Bear Stearns Cos LLC/The | ||||||||
7.25%, 02/01/2018 | 4,806,000 | 5,441,925 | ||||||
Berkshire Hathaway Finance Corp | ||||||||
1.30%, 05/15/2018 | 100,000 | 99,959 | ||||||
5.40%, 05/15/2018 | 1,207,000 | 1,338,032 | ||||||
3.00%, 05/15/2022 | 268,000 | 270,292 | ||||||
5.75%, 01/15/2040 | 134,000 | 155,932 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,495,213 | ||||||
4.30%, 05/15/2043 | 322,000 | 310,485 | ||||||
Berkshire Hathaway Inc | ||||||||
3.75%, 08/15/2021 | 605,000 | 649,512 | ||||||
3.40%, 01/31/2022 | 1,798,000 | 1,872,074 |
Table of Contents
BlackRock Inc | ||||||||
5.00%, 12/10/2019 | 959,000 | 1,069,976 | ||||||
3.38%, 06/01/2022 | 493,000 | 506,841 | ||||||
3.50%, 03/18/2024 | 405,000 | 411,057 | ||||||
Blackstone Holdings Finance Co LLC | ||||||||
5.88%, 03/15/2021 (Acquired 10/28/2013, Cost $1,596,413) (b) | 1,445,000 | 1,658,559 | ||||||
4.45%, 07/15/2045 (Acquired 04/22/2015 through 04/23/2015, Cost $168,833) (b) | 170,000 | 155,337 | ||||||
BNP Paribas SA | ||||||||
2.38%, 05/21/2020 | 1,390,000 | 1,374,725 | ||||||
3.25%, 03/03/2023 | 430,000 | 426,519 | ||||||
BNZ International Funding Ltd/London | ||||||||
2.35%, 03/04/2019 (Acquired 02/25/2014, Cost $515,856) (b) | 516,000 | 516,346 | ||||||
BPCE SA | ||||||||
1.13%, 02/10/2017 | 306,000 | 307,686 | ||||||
1.63%, 01/26/2018 | 1,300,000 | 1,297,799 | ||||||
2.50%, 12/10/2018 | 2,500,000 | 2,539,970 | ||||||
2.50%, 07/15/2019 | 1,000,000 | 1,008,062 | ||||||
5.70%, 10/22/2023 (Acquired 10/28/2013 through 11/04/2013, Cost $3,740,177) (b) | 3,645,000 | 3,842,253 | ||||||
Branch Banking & Trust Co | ||||||||
5.63%, 09/15/2016 | 480,000 | 504,941 | ||||||
0.58%, 05/23/2017 | 2,500,000 | 2,488,213 | ||||||
Caisse Centrale Desjardins | ||||||||
2.55%, 03/24/2016 (Acquired 10/28/2013, Cost $637,674) (b) | 624,000 | 633,421 | ||||||
0.94%, 01/29/2018 (Acquired 01/26/2015, Cost $7,000,000) (b) | 7,000,000 | 7,029,239 | ||||||
Canadian Imperial Bank of Commerce/Canada | ||||||||
2.60%, 07/02/2015 (Acquired 10/28/2013, Cost $1,264,074) (b) | 1,264,000 | 1,264,000 | ||||||
0.90%, 10/01/2015 | 256,000 | 256,282 | ||||||
Capital One Bank USA NA | ||||||||
2.15%, 11/21/2018 | 5,000,000 | 4,991,095 | ||||||
3.38%, 02/15/2023 | 2,164,000 | 2,099,433 | ||||||
Capital One Financial Corp | ||||||||
1.00%, 11/06/2015 | 211,000 | 210,682 | ||||||
2.45%, 04/24/2019 | 353,000 | 352,787 | ||||||
4.75%, 07/15/2021 | 7,058,000 | 7,701,337 | ||||||
3.50%, 06/15/2023 | 942,000 | 925,914 | ||||||
3.75%, 04/24/2024 | 2,580,000 | 2,564,522 | ||||||
3.20%, 02/05/2025 | 350,000 | 330,016 | ||||||
Capital One NA/Mclean VA | ||||||||
0.96%, 02/05/2018 | 3,000,000 | 3,000,678 | ||||||
2.95%, 07/23/2021 | 4,120,000 | 4,046,759 | ||||||
CDP Financial Inc | ||||||||
4.40%, 11/25/2019 (Acquired 10/28/2013, Cost $337,339) (b) | 310,000 | 338,903 | ||||||
Charles Schwab Corp/The | ||||||||
3.23%, 09/01/2022 | 165,000 | 166,095 | ||||||
Chubb Corp/The | ||||||||
5.75%, 05/15/2018 | 117,000 | 130,564 |
Table of Contents
CIT Group Inc | ||||||||
6.63%, 04/01/2018 (Acquired 11/22/2013, Cost $1,410,658) (b) | 1,300,000 | 1,391,000 | ||||||
Citigroup Inc | ||||||||
4.45%, 01/10/2017 | 984,000 | 1,027,925 | ||||||
6.00%, 08/15/2017 | 1,393,000 | 1,514,911 | ||||||
6.13%, 11/21/2017 | 850,000 | 933,559 | ||||||
1.85%, 11/24/2017 | 800,000 | 801,806 | ||||||
1.70%, 04/27/2018 | 1,500,000 | 1,489,594 | ||||||
8.50%, 05/22/2019 | 1,484,000 | 1,808,825 | ||||||
2.40%, 02/18/2020 | 3,450,000 | 3,411,777 | ||||||
5.38%, 08/09/2020 | 215,000 | 240,163 | ||||||
4.50%, 01/14/2022 | 10,000,000 | 10,727,260 | ||||||
3.50%, 05/15/2023 | 5,000,000 | 4,875,380 | ||||||
3.88%, 10/25/2023 | 972,000 | 990,621 | ||||||
3.75%, 06/16/2024 | 4,508,000 | 4,528,245 | ||||||
4.40%, 06/10/2025 | 627,000 | 623,723 | ||||||
5.50%, 09/13/2025 | 494,000 | 533,121 | ||||||
4.30%, 11/20/2026 | 1,570,000 | 1,532,606 | ||||||
6.63%, 01/15/2028 | 387,000 | 477,472 | ||||||
8.13%, 07/15/2039 | 294,000 | 420,749 | ||||||
5.88%, 01/30/2042 | 212,000 | 247,177 | ||||||
5.30%, 05/06/2044 | 3,150,000 | 3,198,041 | ||||||
Citizens Bank NA/Providence RI | ||||||||
2.45%, 12/04/2019 | 8,000,000 | 7,941,536 | ||||||
CME Group Inc/IL | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,140,062 | ||||||
3.00%, 03/15/2025 | 838,000 | 812,492 | ||||||
5.30%, 09/15/2043 | 115,000 | 126,435 | ||||||
CNA Financial Corp | ||||||||
6.50%, 08/15/2016 | 537,000 | 567,946 | ||||||
7.35%, 11/15/2019 | 700,000 | 826,791 | ||||||
5.88%, 08/15/2020 | 253,000 | 287,975 | ||||||
7.25%, 11/15/2023 | 5,470,000 | 6,592,389 | ||||||
3.95%, 05/15/2024 | 270,000 | 267,790 | ||||||
Comerica Bank | ||||||||
2.50%, 06/02/2020 | 8,000,000 | 7,997,608 | ||||||
Comerica Inc | ||||||||
3.00%, 09/16/2015 | 202,000 | 203,003 | ||||||
3.80%, 07/22/2026 | 984,000 | 954,457 | ||||||
Commonwealth Bank of Australia | ||||||||
0.87%, 10/08/2015 (Acquired 12/05/2013, Cost $536,716) (b) | 537,000 | 536,962 | ||||||
2.25%, 03/16/2017 (Acquired 10/28/2013, Cost $849,909) (b) | 836,000 | 853,853 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
2.13%, 10/13/2015 | 241,000 | 242,098 | ||||||
3.38%, 01/19/2017 | 258,000 | 266,244 | ||||||
3.88%, 02/08/2022 | 5,323,000 | 5,531,480 |
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3.95%, 11/09/2022 | 400,000 | 399,469 | ||||||
5.80%, 09/30/2110 (Acquired 10/28/2013, Cost $375,768) (b) | 361,000 | 377,350 | ||||||
Corp Andina de Fomento | ||||||||
3.75%, 01/15/2016 | 939,000 | 948,429 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,953,630 | ||||||
Countrywide Financial Corp | ||||||||
6.25%, 05/15/2016 | 1,461,000 | 1,518,265 | ||||||
Credit Agricole SA | ||||||||
1.13%, 10/03/2016 (Acquired 10/28/2013, Cost $753,405) (b) | 750,000 | 753,730 | ||||||
6.64%, 05/29/2049 (Acquired 10/28/2013, Cost $104,212) (b) | 107,000 | 111,280 | ||||||
Credit Suisse Group Funding Guernsey Ltd | ||||||||
2.75%, 03/26/2020 (Acquired 03/23/2015, Cost $3,539,284) (b) | 3,541,000 | 3,495,863 | ||||||
4.88%, 05/15/2045 (Acquired 05/18/2015, Cost $249,183) (b) | 250,000 | 239,679 | ||||||
Credit Suisse/New York NY | ||||||||
1.75%, 01/29/2018 | 375,000 | 373,367 | ||||||
2.30%, 05/28/2019 | 2,413,000 | 2,407,059 | ||||||
5.30%, 08/13/2019 | 169,000 | 188,075 | ||||||
3.00%, 10/29/2021 | 1,265,000 | 1,253,730 | ||||||
3.63%, 09/09/2024 | 560,000 | 556,505 | ||||||
Dai-ichi Life Insurance Co Ltd/The | ||||||||
5.10%, 10/29/2049 | 1,095,000 | 1,155,225 | ||||||
Deutsche Bank AG/London | ||||||||
6.00%, 09/01/2017 | 901,000 | 980,178 | ||||||
1.88%, 02/13/2018 | 2,429,000 | 2,420,419 | ||||||
2.50%, 02/13/2019 | 6,300,000 | 6,318,024 | ||||||
3.70%, 05/30/2024 | 3,610,000 | 3,543,955 | ||||||
Discover Bank/Greenwood DE | ||||||||
3.10%, 06/04/2020 | 8,000,000 | 7,984,952 | ||||||
3.20%, 08/09/2021 | 1,600,000 | 1,575,874 | ||||||
4.20%, 08/08/2023 | 6,711,000 | 6,784,089 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 2,920,000 | 2,783,899 | ||||||
DNB Boligkreditt AS | ||||||||
2.10%, 10/14/2015 (Acquired 10/28/2013, Cost $1,493,980) (b) | 1,488,000 | 1,494,483 | ||||||
Dresdner Bank AG/New York NY | ||||||||
7.25%, 09/15/2015 | 3,759,000 | 3,798,244 | ||||||
Duke Realty LP | ||||||||
3.88%, 02/15/2021 | 344,000 | 356,716 | ||||||
Equity Commonwealth | ||||||||
6.65%, 01/15/2018 | 401,000 | 433,346 | ||||||
5.88%, 09/15/2020 | 1,393,000 | 1,528,604 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 648,253 | ||||||
4.63%, 12/15/2021 | 434,000 | 473,041 | ||||||
Export-Import Bank of Korea | ||||||||
4.00%, 01/11/2017 | 200,000 | 207,815 | ||||||
4.38%, 09/15/2021 | 250,000 | 270,956 |
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Fifth Third Bancorp | ||||||||
5.45%, 01/15/2017 | 150,000 | 158,991 | ||||||
2.30%, 03/01/2019 | 382,000 | 382,110 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
1.15%, 11/18/2016 | 5,000,000 | 4,988,330 | ||||||
2.38%, 04/25/2019 | 1,100,000 | 1,100,722 | ||||||
First Tennessee Bank NA | ||||||||
5.65%, 04/01/2016 | 1,344,000 | 1,386,021 | ||||||
2.95%, 12/01/2019 | 5,000,000 | 4,993,495 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033 (Acquired 10/28/2013, Cost $247,349) (b) | 250,000 | 258,415 | ||||||
6.45%, 11/15/2039 (Acquired 10/28/2013, Cost $298,809) (b) | 258,000 | 312,533 | ||||||
Ford Motor Credit Co LLC | ||||||||
4.21%, 04/15/2016 | 345,000 | 352,823 | ||||||
1.53%, 05/09/2016 | 332,000 | 333,880 | ||||||
3.98%, 06/15/2016 | 1,249,000 | 1,278,099 | ||||||
3.00%, 06/12/2017 | 905,000 | 925,579 | ||||||
6.63%, 08/15/2017 | 3,473,000 | 3,809,572 | ||||||
1.68%, 09/08/2017 | 944,000 | 941,114 | ||||||
1.72%, 12/06/2017 | 2,000,000 | 1,989,246 | ||||||
2.38%, 03/12/2019 | 2,672,000 | 2,661,552 | ||||||
2.60%, 11/04/2019 | 1,800,000 | 1,785,440 | ||||||
4.25%, 09/20/2022 | 397,000 | 412,967 | ||||||
General Electric Capital Corp | ||||||||
1.63%, 07/02/2015 | 1,187,000 | 1,187,000 | ||||||
2.25%, 11/09/2015 | 426,000 | 428,570 | ||||||
1.00%, 12/11/2015 | 258,000 | 258,735 | ||||||
0.44%, 02/15/2017 | 361,000 | 360,658 | ||||||
5.40%, 02/15/2017 | 155,000 | 165,613 | ||||||
2.30%, 04/27/2017 | 790,000 | 805,313 | ||||||
5.63%, 09/15/2017 | 764,000 | 831,634 | ||||||
1.60%, 11/20/2017 | 328,000 | 329,965 | ||||||
5.63%, 05/01/2018 | 2,376,000 | 2,628,512 | ||||||
6.00%, 08/07/2019 | 547,000 | 624,819 | ||||||
2.10%, 12/11/2019 | 152,000 | 152,890 | ||||||
5.50%, 01/08/2020 | 2,028,000 | 2,297,162 | ||||||
2.20%, 01/09/2020 | 559,000 | 558,373 | ||||||
5.55%, 05/04/2020 | 666,000 | 756,314 | ||||||
4.38%, 09/16/2020 | 1,486,000 | 1,616,639 | ||||||
4.63%, 01/07/2021 | 9,994,000 | 10,992,870 | ||||||
5.30%, 02/11/2021 | 184,000 | 206,697 | ||||||
4.65%, 10/17/2021 | 8,987,000 | 9,838,222 | ||||||
3.15%, 09/07/2022 | 1,935,000 | 1,940,459 | ||||||
3.10%, 01/09/2023 | 1,000,000 | 995,991 | ||||||
6.75%, 03/15/2032 | 954,000 | 1,235,379 |
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5.88%, 01/14/2038 | 196,000 | 235,254 | ||||||
6.88%, 01/10/2039 | 9,483,000 | 12,693,157 | ||||||
Genworth Holdings Inc | ||||||||
4.90%, 08/15/2023 | 161,000 | 142,535 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 146,905 | ||||||
Goldman Sachs Group Inc/The | ||||||||
3.70%, 08/01/2015 | 415,000 | 415,879 | ||||||
1.60%, 11/23/2015 | 688,000 | 690,376 | ||||||
3.63%, 02/07/2016 | 667,000 | 677,507 | ||||||
5.95%, 01/18/2018 | 1,711,000 | 1,880,037 | ||||||
6.15%, 04/01/2018 | 2,084,000 | 2,316,049 | ||||||
2.90%, 07/19/2018 | 263,000 | 269,510 | ||||||
7.50%, 02/15/2019 | 3,617,000 | 4,245,873 | ||||||
2.55%, 10/23/2019 | 1,000,000 | 1,001,548 | ||||||
5.38%, 03/15/2020 | 2,367,000 | 2,633,541 | ||||||
2.60%, 04/23/2020 | 1,328,000 | 1,320,185 | ||||||
6.00%, 06/15/2020 | 1,514,000 | 1,728,883 | ||||||
5.25%, 07/27/2021 | 694,000 | 769,909 | ||||||
5.75%, 01/24/2022 | 17,547,000 | 19,938,305 | ||||||
3.63%, 01/22/2023 | 1,563,000 | 1,551,220 | ||||||
3.85%, 07/01/2024 | 723,000 | 723,797 | ||||||
3.50%, 01/23/2025 | 6,509,000 | 6,302,827 | ||||||
3.75%, 05/22/2025 | 288,000 | 283,772 | ||||||
6.75%, 10/01/2037 | 4,938,000 | 5,782,457 | ||||||
5.15%, 05/22/2045 | 128,000 | 123,055 | ||||||
Great-West Life & Annuity Insurance Capital LP II | ||||||||
7.15%, 05/16/2046 (Acquired 10/28/2013, Cost $306,387) (b) | 301,000 | 307,020 | ||||||
Hartford Financial Services Group Inc/The | ||||||||
6.00%, 01/15/2019 | 4,591,000 | 5,126,806 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 6,094,143 | ||||||
8.13%, 06/15/2038 | 236,000 | 265,205 | ||||||
HCP Inc | ||||||||
2.63%, 02/01/2020 | 474,000 | 468,824 | ||||||
5.38%, 02/01/2021 | 1,038,000 | 1,144,112 | ||||||
4.20%, 03/01/2024 | 241,000 | 241,156 | ||||||
3.88%, 08/15/2024 | 469,000 | 457,013 | ||||||
3.40%, 02/01/2025 | 662,000 | 620,584 | ||||||
Health Care REIT Inc | ||||||||
5.25%, 01/15/2022 | 560,000 | 612,031 | ||||||
4.50%, 01/15/2024 | 461,000 | 478,023 | ||||||
4.00%, 06/01/2025 | 372,000 | 367,182 | ||||||
Highmark Inc | ||||||||
4.75%, 05/15/2021 (Acquired 10/30/2013 through 11/20/2013, Cost $3,332,819) (b) | 3,322,000 | 3,400,329 |
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HSBC Bank PLC | ||||||||
1.50%, 05/15/2018 (Acquired 10/28/2013, Cost $933,381) (b) | 944,000 | 937,580 | ||||||
4.13%, 08/12/2020 (Acquired 10/28/2013, Cost $647,799) (b) | 615,000 | 659,627 | ||||||
4.75%, 01/19/2021 (Acquired 10/28/2013, Cost $1,496,482) (b) | 1,382,000 | 1,521,817 | ||||||
HSBC Finance Corp | ||||||||
0.71%, 06/01/2016 | 2,605,000 | 2,600,767 | ||||||
7.35%, 11/27/2032 | 32,000 | 39,823 | ||||||
HSBC Holdings PLC | ||||||||
5.10%, 04/05/2021 | 482,000 | 536,764 | ||||||
4.88%, 01/14/2022 | 743,000 | 816,528 | ||||||
4.00%, 03/30/2022 | 1,012,000 | 1,058,561 | ||||||
6.50%, 09/15/2037 | 5,996,000 | 7,214,081 | ||||||
6.10%, 01/14/2042 | 743,000 | 901,449 | ||||||
HSBC USA Inc | ||||||||
1.63%, 01/16/2018 | 769,000 | 769,005 | ||||||
2.35%, 03/05/2020 | 1,256,000 | 1,244,658 | ||||||
5.00%, 09/27/2020 | 3,000,000 | 3,326,271 | ||||||
9.13%, 05/15/2021 | 75,000 | 97,164 | ||||||
Huntington National Bank/The | ||||||||
2.00%, 06/30/2018 | 440,000 | 439,940 | ||||||
Hyundai Capital Services Inc | ||||||||
4.38%, 07/27/2016 (Acquired 10/28/2013, Cost $2,436,999) (b) | 2,367,000 | 2,441,814 | ||||||
3.50%, 09/13/2017 (Acquired 10/28/2013, Cost $4,822,153) (b) | 4,650,000 | 4,814,001 | ||||||
Industrial & Commercial Bank of China Ltd/New York | ||||||||
2.35%, 11/13/2017 | 676,000 | 680,808 | ||||||
ING Bank NV | ||||||||
2.00%, 09/25/2015 (Acquired 10/28/2013, Cost $256,487) (b) | 256,000 | 256,677 | ||||||
1.38%, 03/07/2016 (Acquired 10/28/2013, Cost $514,952) (b) | 516,000 | 517,956 | ||||||
4.00%, 03/15/2016 (Acquired 10/28/2013, Cost $398,790) (b) | 392,000 | 400,381 | ||||||
3.75%, 03/07/2017 (Acquired 10/28/2013, Cost $1,409,877) (b) | 1,369,000 | 1,422,255 | ||||||
2.50%, 10/01/2019 (Acquired 09/23/2014, Cost $1,144,428) (b) | 1,150,000 | 1,156,456 | ||||||
2.45%, 03/16/2020 (Acquired 03/10/2015, Cost $1,996,466) (b) | 2,000,000 | 1,998,084 | ||||||
5.80%, 09/25/2023 (Acquired 01/14/2014, Cost $5,037,702) (b) | 4,800,000 | 5,234,611 | ||||||
Intercontinental Exchange Inc | ||||||||
2.50%, 10/15/2018 | 243,000 | 248,190 | ||||||
4.00%, 10/15/2023 | 578,000 | 601,310 | ||||||
International Bank for Reconstruction & Development | ||||||||
0.00%, 02/15/2016 | 980,000 | 976,992 | ||||||
2.25%, 06/24/2021 | 11,190,000 | 11,405,206 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.13%, 01/15/2016 | 3,200,000 | 3,224,394 | ||||||
Invesco Finance PLC | ||||||||
3.13%, 11/30/2022 | 710,000 | 700,950 | ||||||
4.00%, 01/30/2024 | 2,400,000 | 2,461,205 | ||||||
Jackson National Life Global Funding | ||||||||
4.70%, 06/01/2018 (Acquired 10/28/2013, Cost $323,456) (b) | 310,000 | 335,431 |
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Jefferies Group LLC | ||||||||
3.88%, 11/09/2015 | 317,000 | 319,666 | ||||||
5.13%, 04/13/2018 | 1,534,000 | 1,628,142 | ||||||
6.88%, 04/15/2021 | 1,385,000 | 1,583,788 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,681,003 | ||||||
6.45%, 06/08/2027 | 578,000 | 626,555 | ||||||
6.25%, 01/15/2036 | 155,000 | 153,287 | ||||||
John Deere Capital Corp | ||||||||
1.20%, 10/10/2017 | 560,000 | 559,155 | ||||||
2.25%, 04/17/2019 | 5,335,000 | 5,379,131 | ||||||
1.70%, 01/15/2020 | 123,000 | 120,330 | ||||||
3.15%, 10/15/2021 | 257,000 | 263,684 | ||||||
2.80%, 01/27/2023 | 373,000 | 366,611 | ||||||
John Hancock Life Insurance Co | ||||||||
7.38%, 02/15/2024 (Acquired 10/28/2013, Cost $873,902) (b) | 731,000 | 895,369 | ||||||
JPMorgan Chase & Co | ||||||||
2.20%, 10/22/2019 | 2,000,000 | 1,980,794 | ||||||
4.25%, 10/15/2020 | 64,000 | 68,369 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 10,681,140 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,685,134 | ||||||
3.13%, 01/23/2025 | 4,000,000 | 3,813,148 | ||||||
5.60%, 07/15/2041 | 494,000 | 558,192 | ||||||
4.95%, 06/01/2045 | 5,575,000 | 5,399,856 | ||||||
Kemper Corp | ||||||||
6.00%, 05/15/2017 | 5,000,000 | 5,330,665 | ||||||
KeyBank NA/Cleveland OH | ||||||||
2.25%, 03/16/2020 | 5,000,000 | 4,953,270 | ||||||
3.18%, 05/22/2022 | 567,000 | 565,243 | ||||||
KeyCorp | ||||||||
5.10%, 03/24/2021 | 211,000 | 233,870 | ||||||
KFW | ||||||||
2.75%, 10/01/2020 | 8,095,000 | 8,440,017 | ||||||
Korea Development Bank/The | ||||||||
0.90%, 01/22/2017 | 5,125,000 | 5,122,924 | ||||||
LeasePlan Corp NV | ||||||||
2.50%, 05/16/2018 (Acquired 10/28/2013 through 12/27/2013, Cost $9,222,749) (b) | 9,206,000 | 9,214,783 | ||||||
Legg Mason Inc | ||||||||
3.95%, 07/15/2024 | 820,000 | 828,060 | ||||||
Liberty Mutual Group Inc | ||||||||
5.00%, 06/01/2021 (Acquired 10/28/2013, Cost $371,933) (b) | 351,000 | 382,646 | ||||||
4.25%, 06/15/2023 (Acquired 10/28/2013, Cost $319,318) (b) | 322,000 | 330,726 | ||||||
6.50%, 03/15/2035 (Acquired 11/19/2013, Cost $4,425,206) (b) | 4,000,000 | 4,664,628 | ||||||
10.75%, 06/15/2058 (Acquired 10/28/2013, Cost $404,808) (b) | 269,000 | 406,190 | ||||||
Liberty Mutual Insurance Co | ||||||||
8.50%, 05/15/2025 (Acquired 07/01/2014, Cost $896,784) (b) | 700,000 | 873,672 | ||||||
7.70%, 10/15/2097 (Acquired 10/28/2013, Cost $106,315) (b) | 100,000 | 121,703 |
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Lincoln National Corp | ||||||||
8.75%, 07/01/2019 | 5,000,000 | 6,130,315 | ||||||
4.85%, 06/24/2021 | 168,000 | 183,991 | ||||||
4.20%, 03/15/2022 | 705,000 | 739,111 | ||||||
7.00%, 06/15/2040 | 6,460,000 | 8,077,694 | ||||||
6.05%, 04/20/2067 | 121,000 | 109,505 | ||||||
Lloyds Bank PLC | ||||||||
1.75%, 03/16/2018 | 1,106,000 | 1,105,564 | ||||||
1.75%, 05/14/2018 | 3,200,000 | 3,195,123 | ||||||
2.30%, 11/27/2018 | 1,075,000 | 1,086,761 | ||||||
5.80%, 01/13/2020 (Acquired 10/28/2013, Cost $191,540) (b) | 172,000 | 196,354 | ||||||
2.40%, 03/17/2020 | 5,000,000 | 4,981,980 | ||||||
3.50%, 05/14/2025 | 7,735,000 | 7,582,651 | ||||||
Mack-Cali Realty LP | ||||||||
2.50%, 12/15/2017 | 5,050,000 | 5,068,417 | ||||||
Macquarie Bank Ltd | ||||||||
5.00%, 02/22/2017 (Acquired 10/28/2013, Cost $2,848,734) (b) | 2,719,000 | 2,871,326 | ||||||
1.60%, 10/27/2017 (Acquired 10/22/2014, Cost $619,691) (b) | 620,000 | 619,609 | ||||||
2.60%, 06/24/2019 (Acquired 06/16/2014, Cost $582,684) (b) | 583,000 | 585,817 | ||||||
2.40%, 01/21/2020 (Acquired 01/14/2015, Cost $1,596,776) (b) | 1,600,000 | 1,591,722 | ||||||
Macquarie Group Ltd | ||||||||
3.00%, 12/03/2018 (Acquired 11/25/2013, Cost $5,978,976) (b) | 6,000,000 | 6,100,590 | ||||||
6.00%, 01/14/2020 (Acquired 10/28/2013, Cost $511,762) (b) | 475,000 | 533,317 | ||||||
6.25%, 01/14/2021 (Acquired 10/28/2013, Cost $1,207,794) (b) | 1,111,000 | 1,265,581 | ||||||
Manufacturers & Traders Trust Co | ||||||||
6.63%, 12/04/2017 | 464,000 | 518,512 | ||||||
Manulife Financial Corp | ||||||||
4.90%, 09/17/2020 | 225,000 | 249,187 | ||||||
Markel Corp | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 4,420,086 | ||||||
Marsh & McLennan Cos Inc | ||||||||
2.30%, 04/01/2017 | 269,000 | 273,357 | ||||||
2.35%, 03/06/2020 | 3,769,000 | 3,750,539 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,521,400 | ||||||
3.50%, 03/10/2025 | 580,000 | 571,991 | ||||||
Massachusetts Mutual Life Insurance Co | ||||||||
7.63%, 11/15/2023 (Acquired 10/30/2014, Cost $693,741) (b) | 550,000 | 686,687 | ||||||
8.88%, 06/01/2039 (Acquired 10/28/2013 through 12/02/2013, Cost $8,002,152) (b) | 5,548,000 | 8,291,702 | ||||||
5.38%, 12/01/2041 (Acquired 10/28/2013, Cost $212,932) (b) | 203,000 | 220,138 | ||||||
MassMutual Global Funding II | ||||||||
3.13%, 04/14/2016 (Acquired 10/28/2013, Cost $284,564) (b) | 280,000 | 285,056 | ||||||
2.00%, 04/05/2017 (Acquired 10/28/2013, Cost $1,664,569) (b) | 1,652,000 | 1,673,436 | ||||||
2.50%, 10/17/2022 (Acquired 10/28/2013, Cost $362,300) (b) | 386,000 | 372,460 | ||||||
MBIA Insurance Corp | ||||||||
11.54%, 01/15/2033 (Acquired 10/28/2013, Cost $63,105) (b) | 86,000 | 40,850 | ||||||
MetLife Inc | ||||||||
6.82%, 08/15/2018 | 84,000 | 96,628 | ||||||
7.72%, 02/15/2019 | 118,000 | 140,658 |
Table of Contents
4.37%, 09/15/2023 | 7,200,000 | 7,648,452 | ||||||
6.50%, 12/15/2032 | 56,000 | 69,458 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,102,258 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.50%, 09/29/2015 (Acquired 10/28/2013, Cost $1,036,220) (b) | 1,032,000 | 1,036,799 | ||||||
3.13%, 01/11/2016 (Acquired 10/28/2013, Cost $337,485) (b) | 334,000 | 338,445 | ||||||
1.50%, 01/10/2018 (Acquired 10/28/2013, Cost $1,384,316) (b) | 1,392,000 | 1,388,766 | ||||||
3.65%, 06/14/2018 (Acquired 10/28/2013, Cost $1,434,351) (b) | 1,373,000 | 1,452,476 | ||||||
1.88%, 06/22/2018 (Acquired 10/28/2013, Cost $223,679) (b) | 225,000 | 226,524 | ||||||
2.00%, 04/14/2020 (Acquired 04/07/2015, Cost $405,286) (b) | 407,000 | 400,934 | ||||||
3.88%, 04/11/2022 (Acquired 10/28/2013, Cost $1,516,621) (b) | 1,480,000 | 1,553,729 | ||||||
Metropolitan Life Insurance Co | ||||||||
7.70%, 11/01/2015 (Acquired 11/21/2013, Cost $3,063,975) (b) | 3,000,000 | 3,060,975 | ||||||
Mizuho Bank Ltd | ||||||||
1.85%, 03/21/2018 (Acquired 10/28/2013, Cost $372,662) (b) | 376,000 | 376,358 | ||||||
1.80%, 03/26/2018 (Acquired 03/19/2015, Cost $604,276) (b) | 605,000 | 604,870 | ||||||
2.65%, 09/25/2019 (Acquired 09/18/2014, Cost $2,995,415) (b) | 3,000,000 | 3,033,723 | ||||||
2.40%, 03/26/2020 (Acquired 03/19/2015, Cost $4,994,014) (b) | 5,000,000 | 5,001,840 | ||||||
3.60%, 09/25/2024 (Acquired 09/18/2014, Cost $1,247,752) (b) | 1,250,000 | 1,262,644 | ||||||
Morgan Stanley | ||||||||
4.00%, 07/24/2015 | 684,000 | 685,144 | ||||||
1.75%, 02/25/2016 | 170,000 | 170,683 | ||||||
5.45%, 01/09/2017 | 537,000 | 568,993 | ||||||
5.95%, 12/28/2017 | 110,000 | 120,892 | ||||||
6.63%, 04/01/2018 | 457,000 | 512,535 | ||||||
7.30%, 05/13/2019 | 2,257,000 | 2,653,528 | ||||||
2.38%, 07/23/2019 | 2,600,000 | 2,580,984 | ||||||
5.63%, 09/23/2019 | 1,702,000 | 1,905,833 | ||||||
2.65%, 01/27/2020 | 750,000 | 748,036 | ||||||
2.80%, 06/16/2020 | 1,282,000 | 1,284,269 | ||||||
5.50%, 07/24/2020 | 774,000 | 867,263 | ||||||
5.75%, 01/25/2021 | 11,635,000 | 13,198,895 | ||||||
5.50%, 07/28/2021 | 372,000 | 419,220 | ||||||
4.88%, 11/01/2022 | 1,895,000 | 2,013,379 | ||||||
3.75%, 02/25/2023 | 600,000 | 607,328 | ||||||
4.10%, 05/22/2023 | 1,645,000 | 1,645,994 | ||||||
3.88%, 04/29/2024 | 1,350,000 | 1,362,471 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,160,561 | ||||||
5.00%, 11/24/2025 | 4,306,000 | 4,500,872 | ||||||
4.35%, 09/08/2026 | 430,000 | 421,757 | ||||||
3.95%, 04/23/2027 | 7,343,000 | 6,911,533 | ||||||
6.38%, 07/24/2042 | 2,000,000 | 2,450,910 | ||||||
4.30%, 01/27/2045 | 459,000 | 427,266 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 258,000 | 270,975 |
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National Australia Bank Ltd | ||||||||
2.75%, 09/28/2015 (Acquired 10/28/2013, Cost $808,524) (b) | 805,000 | 808,998 | ||||||
0.77%, 10/08/2015 (Acquired 10/28/2013, Cost $1,200,005) (b) | 1,200,000 | 1,199,946 | ||||||
3.00%, 07/27/2016 (Acquired 10/28/2013, Cost $736,303) (b) | 722,000 | 738,710 | ||||||
0.71%, 12/02/2016 (Acquired 11/21/2013, Cost $5,000,000) (b) | 5,000,000 | 5,014,775 | ||||||
2.00%, 06/20/2017 (Acquired 10/28/2013, Cost $2,091,858) (b) | 2,064,000 | 2,098,370 | ||||||
National City Bank/Cleveland OH | ||||||||
5.80%, 06/07/2017 | 1,013,000 | 1,090,849 | ||||||
National Rural Utilities Cooperative Finance Corp | ||||||||
10.38%, 11/01/2018 | 3,522,000 | 4,479,632 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,087,067 | ||||||
Nationwide Financial Services Inc | ||||||||
5.38%, 03/25/2021 (Acquired 02/05/2015, Cost $2,272,726) (b) | 2,000,000 | 2,192,684 | ||||||
Nationwide Mutual Insurance Co | ||||||||
8.25%, 12/01/2031 (Acquired 02/13/2014, Cost $381,407) (b) | 300,000 | 400,904 | ||||||
9.38%, 08/15/2039 (Acquired 10/28/2013, Cost $1,781,652) (b) | 1,283,000 | 1,914,939 | ||||||
Navient Corp | ||||||||
5.63%, 08/01/2033 | 54,000 | 43,740 | ||||||
New York Life Global Funding | ||||||||
0.75%, 07/24/2015 (Acquired 10/28/2013, Cost $582,034) (b) | 582,000 | 582,061 | ||||||
0.80%, 02/12/2016 (Acquired 10/28/2013, Cost $155,088) (b) | 155,000 | 155,221 | ||||||
2.10%, 01/02/2019 (Acquired 12/5/2013, Cost $8,141,758) (b) | 8,150,000 | 8,183,831 | ||||||
2.15%, 06/18/2019 (Acquired 06/11/2014 through 06/10/2015, Cost $1,911,977) (b) | 1,912,000 | 1,915,503 | ||||||
Nippon Life Insurance Co | ||||||||
5.10%, 10/16/2044 (Acquired 10/09/2014, Cost $5,020,000) (b) | 5,020,000 | 5,252,175 | ||||||
Nomura Holdings Inc | ||||||||
4.13%, 01/19/2016 | 864,000 | 878,303 | ||||||
2.00%, 09/13/2016 | 6,972,000 | 7,022,150 | ||||||
6.70%, 03/04/2020 | 5,300,000 | 6,211,319 | ||||||
Nordea Bank AB | ||||||||
3.13%, 03/20/2017 (Acquired 10/28/2013, Cost $1,626,002) (b) | 1,584,000 | 1,634,691 | ||||||
1.63%, 05/15/2018 (Acquired 10/28/2013, Cost $255,322) (b) | 258,000 | 257,248 | ||||||
4.88%, 05/13/2021 (Acquired 10/28/2013, Cost $667,242) (b) | 640,000 | 692,140 | ||||||
Northern Trust Corp | ||||||||
3.95%, 10/30/2025 | 6,915,000 | 7,133,576 | ||||||
Pacific Life Global Funding | ||||||||
5.00%, 05/15/2017 (Acquired 10/28/2013, Cost $425,776) (b) | 413,000 | 435,889 | ||||||
Pacific Life Insurance Co | ||||||||
9.25%, 06/15/2039 (Acquired 10/28/2013, Cost $734,230) (b) | 526,000 | 783,307 | ||||||
Pemex Finance Ltd | ||||||||
10.61%, 08/15/2017 | 181,125 | 199,114 | ||||||
People’s United Bank NA | ||||||||
4.00%, 07/15/2024 | 1,220,000 | 1,206,296 | ||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,280,716 | ||||||
4.20%, 11/01/2025 | 322,000 | 337,416 |
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PNC Financial Services Group Inc/The | ||||||||
3.90%, 04/29/2024 | 2,090,000 | 2,108,394 | ||||||
PNC Funding Corp | ||||||||
5.25%, 11/15/2015 | 124,000 | 126,123 | ||||||
2.70%, 09/19/2016 | 133,000 | 135,297 | ||||||
5.63%, 02/01/2017 | 127,000 | 134,949 | ||||||
6.70%, 06/10/2019 | 423,000 | 492,878 | ||||||
5.13%, 02/08/2020 | 588,000 | 658,678 | ||||||
4.38%, 08/11/2020 | 468,000 | 509,011 | ||||||
3.30%, 03/08/2022 | 575,000 | 584,259 | ||||||
Portigon AG/New York | ||||||||
4.80%, 07/15/2015 | 300,000 | 300,010 | ||||||
Principal Financial Group Inc | ||||||||
1.85%, 11/15/2017 | 149,000 | 150,040 | ||||||
3.40%, 05/15/2025 | 7,000,000 | 6,827,345 | ||||||
Principal Life Global Funding II | ||||||||
1.00%, 12/11/2015 (Acquired 10/28/2013, Cost $183,075) (b) | 183,000 | 183,348 | ||||||
1.50%, 09/11/2017 (Acquired 09/04/2014, Cost $1,379,477) (b) | 1,380,000 | 1,380,653 | ||||||
Private Export Funding Corp | ||||||||
4.38%, 03/15/2019 | 970,000 | 1,066,962 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,217,382 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,624,969 | ||||||
Prologis LP | ||||||||
4.25%, 08/15/2023 | 295,000 | 302,326 | ||||||
Protective Life Corp | ||||||||
7.38%, 10/15/2019 | 854,000 | 1,010,526 | ||||||
Prudential Covered Trust 2012-1 | ||||||||
3.00%, 09/30/2015 (Acquired 10/28/2013, Cost $674,317) (b) | 671,300 | 674,812 | ||||||
Prudential Financial Inc | ||||||||
2.35%, 08/15/2019 | 650,000 | 649,706 | ||||||
Prudential Insurance Co of America/The | ||||||||
8.30%, 07/01/2025 (Acquired 10/28/2013, Cost $1,517,536) (b) | 1,191,000 | 1,583,599 | ||||||
Realty Income Corp | ||||||||
2.00%, 01/31/2018 | 4,700,000 | 4,731,325 | ||||||
3.25%, 10/15/2022 | 1,490,000 | 1,444,707 | ||||||
Regions Bank/Birmingham AL | ||||||||
7.50%, 05/15/2018 | 2,787,000 | 3,197,425 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.38%, 05/04/2020 (Acquired 04/27/2015, Cost $5,982,304) (b) | 6,000,000 | 5,935,938 | ||||||
Royal Bank of Canada | ||||||||
2.30%, 07/20/2016 | 867,000 | 881,360 | ||||||
1.20%, 09/19/2017 | 727,000 | 725,742 | ||||||
2.20%, 07/27/2018 | 155,000 | 157,556 | ||||||
2.00%, 10/01/2018 | 1,231,000 | 1,247,420 | ||||||
2.20%, 09/23/2019 | 7,985,000 | 8,037,438 | ||||||
1.88%, 02/05/2020 | 2,100,000 | 2,081,287 |
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Royal Bank of Scotland PLC/The | ||||||||
6.13%, 01/11/2021 | 338,000 | 387,495 | ||||||
Santander Bank NA | ||||||||
8.75%, 05/30/2018 | 4,878,000 | 5,683,080 | ||||||
Santander UK PLC | ||||||||
5.00%, 11/07/2023 (Acquired 10/31/2013, Cost $2,138,581) (b) | 2,000,000 | 2,043,946 | ||||||
Simon Property Group LP | ||||||||
2.15%, 09/15/2017 | 946,000 | 962,715 | ||||||
6.13%, 05/30/2018 | 379,000 | 425,625 | ||||||
7.38%, 06/15/2018 | 3,000,000 | 3,469,878 | ||||||
4.38%, 03/01/2021 | 6,932,000 | 7,502,788 | ||||||
4.13%, 12/01/2021 | 442,000 | 474,337 | ||||||
3.75%, 02/01/2024 | 345,000 | 352,926 | ||||||
3.38%, 10/01/2024 | 565,000 | 560,532 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.75%, 03/19/2018 (Acquired 10/28/2013, Cost $296,779) (b) | 299,000 | 298,827 | ||||||
2.38%, 11/20/2018 (Acquired 11/13/2013, Cost $5,198,265) (b) | 5,200,000 | 5,281,869 | ||||||
2.38%, 03/25/2019 (Acquired 03/18/2014, Cost $1,224,204) (b) | 1,225,000 | 1,237,005 | ||||||
2.45%, 05/27/2020 (Acquired 05/19/2015, Cost $2,995,463) (b) | 3,000,000 | 2,975,082 | ||||||
Societe Generale SA | ||||||||
1.36%, 10/01/2018 | 1,000,000 | 1,015,336 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 313,239 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.75%, 11/15/2019 (Acquired 10/28/2013, Cost $1,712,039) (b) | 1,757,000 | 1,734,690 | ||||||
Springleaf Finance Corp | ||||||||
6.90%, 12/15/2017 | 100,000 | 106,000 | ||||||
Stadshypotek AB | ||||||||
1.88%, 10/02/2019 (Acquired 10/28/2013, Cost $673,798) (b) | 683,000 | 682,654 | ||||||
Standard Chartered PLC | ||||||||
1.70%, 04/17/2018 (Acquired 04/13/2015, Cost $749,223) (b) | 750,000 | 746,910 | ||||||
2.40%, 09/08/2019 (Acquired 09/03/2014, Cost $7,638,222) (b) | 7,650,000 | 7,641,355 | ||||||
5.20%, 01/26/2024 (Acquired 10/28/2013, Cost $629,312) (b) | 609,000 | 636,840 | ||||||
State Street Corp | ||||||||
3.10%, 05/15/2023 | 321,000 | 314,066 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,428,746 | ||||||
Sumitomo Mitsui Banking Corp | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 5,051,095 | ||||||
2.45%, 01/16/2020 | 2,725,000 | 2,728,911 | ||||||
3.95%, 07/19/2023 | 250,000 | 259,772 | ||||||
SunTrust Bank/Atlanta GA | ||||||||
7.25%, 03/15/2018 | 1,608,000 | 1,827,950 | ||||||
SunTrust Banks Inc | ||||||||
6.00%, 09/11/2017 | 103,000 | 112,421 | ||||||
2.50%, 05/01/2019 | 8,810,000 | 8,853,407 | ||||||
Susa Partnership LP | ||||||||
8.20%, 06/01/2017 | 111,000 | 124,008 |
Table of Contents
Svenska Handelsbanken AB | ||||||||
3.13%, 07/12/2016 | 691,000 | 707,256 | ||||||
2.50%, 01/25/2019 | 2,000,000 | 2,031,012 | ||||||
Swedbank AB | ||||||||
2.13%, 09/29/2017 (Acquired 10/28/2013, Cost $216,529) (b) | 215,000 | 217,449 | ||||||
2.38%, 02/27/2019 (Acquired 02/20/2014, Cost $5,991,106) (b) | 6,000,000 | 6,041,994 | ||||||
Symetra Financial Corp | ||||||||
6.13%, 04/01/2016 (Acquired 10/28/2013, Cost $1,029,915) (b) | 1,000,000 | 1,029,708 | ||||||
Synchrony Financial | ||||||||
1.88%, 08/15/2017 | 2,620,000 | 2,618,488 | ||||||
3.00%, 08/15/2019 | 4,775,000 | 4,805,431 | ||||||
3.75%, 08/15/2021 | 6,000,000 | 6,039,378 | ||||||
4.25%, 08/15/2024 | 2,000,000 | 2,005,810 | ||||||
TD Ameritrade Holding Corp | ||||||||
5.60%, 12/01/2019 | 355,000 | 403,308 | ||||||
2.95%, 04/01/2022 | 725,000 | 718,162 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039 (Acquired 11/22/2013, Cost $3,196,975) (b) | 2,580,000 | 3,220,635 | ||||||
TIAA Asset Management Finance Co LLC | ||||||||
2.95%, 11/01/2019 (Acquired 10/27/2014 through 10/28/2014, Cost $3,764,183) (b) | 3,700,000 | 3,724,409 | ||||||
Toronto-Dominion Bank/The | ||||||||
2.20%, 07/29/2015 (Acquired 10/28/2013, Cost $934,233) (b) | 933,000 | 934,134 | ||||||
2.50%, 07/14/2016 | 556,000 | 565,434 | ||||||
1.50%, 03/13/2017 (Acquired 10/28/2013, Cost $1,455,868) (b) | 1,445,000 | 1,458,100 | ||||||
2.25%, 11/05/2019 | 432,000 | 433,393 | ||||||
1.95%, 04/02/2020 (Acquired 03/26/2015, Cost $9,983,704) (b) | 10,000,000 | 9,914,040 | ||||||
Travelers Cos Inc/The | ||||||||
5.80%, 05/15/2018 | 110,000 | 122,709 | ||||||
UBS AG/Stamford CT | ||||||||
5.75%, 04/25/2018 | 511,000 | 565,843 | ||||||
1.13%, 06/01/2020 | 8,200,000 | 8,176,515 | ||||||
Ventas Realty LP | ||||||||
3.50%, 02/01/2025 | 251,000 | 240,124 | ||||||
Voya Financial Inc | ||||||||
5.50%, 07/15/2022 | 8,000,000 | 8,972,712 | ||||||
Wachovia Corp | ||||||||
5.75%, 06/15/2017 | 315,000 | 342,095 | ||||||
5.75%, 02/01/2018 | 1,865,000 | 2,057,326 | ||||||
Wells Fargo & Co | ||||||||
3.68%, 06/15/2016 | 1,723,000 | 1,769,792 | ||||||
2.63%, 12/15/2016 | 1,583,000 | 1,618,974 | ||||||
5.63%, 12/11/2017 | 948,000 | 1,041,397 | ||||||
3.00%, 01/22/2021 | 1,000,000 | 1,015,283 | ||||||
4.60%, 04/01/2021 | 1,377,000 | 1,507,355 | ||||||
3.50%, 03/08/2022 | 929,000 | 954,120 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,868,082 |
Table of Contents
3.00%, 02/19/2025 | 4,075,000 | 3,896,702 | ||||||
5.61%, 01/15/2044 | 317,000 | 346,440 | ||||||
4.65%, 11/04/2044 | 675,000 | 644,616 | ||||||
Wells Fargo Bank NA | ||||||||
5.00%, 08/15/2015 | 485,000 | 487,533 | ||||||
0.62%, 03/15/2016 | 457,000 | 457,086 | ||||||
6.00%, 11/15/2017 | 2,224,000 | 2,449,398 | ||||||
Westpac Banking Corp | ||||||||
2.45%, 11/28/2016 (Acquired 10/28/2013, Cost $688,950) (b) | 676,000 | 690,151 | ||||||
1.60%, 01/12/2018 | 846,000 | 848,191 | ||||||
1.02%, 07/30/2018 | 3,060,000 | 3,071,068 | ||||||
4.88%, 11/19/2019 | 1,105,000 | 1,224,076 | ||||||
2.00%, 03/03/2020 (Acquired 02/24/2015, Cost $1,347,311) (b) | 1,349,000 | 1,341,163 | ||||||
Weyerhaeuser Co | ||||||||
7.38%, 03/15/2032 | 500,000 | 623,720 | ||||||
Willis North America Inc | ||||||||
5.63%, 07/15/2015 | 81,000 | 81,097 | ||||||
7.00%, 09/29/2019 | 537,000 | 611,430 | ||||||
WR Berkley Corp | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 3,274,727 | ||||||
XLIT Ltd | ||||||||
2.30%, 12/15/2018 | 4,375,000 | 4,401,745 | ||||||
5.25%, 12/15/2043 | 2,700,000 | 2,782,258 | ||||||
|
| |||||||
1,155,890,800 | ||||||||
|
| |||||||
Industrial - 0.99% | ||||||||
ABB Finance USA Inc | ||||||||
1.63%, 05/08/2017 | 173,000 | 174,058 | ||||||
2.88%, 05/08/2022 | 241,000 | 236,876 | ||||||
4.38%, 05/08/2042 | 107,000 | 105,631 | ||||||
Acuity Brands Lighting Inc | ||||||||
6.00%, 12/15/2019 | 451,000 | 495,053 | ||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 10/28/2013, Cost $356,631) (b) | 376,000 | 360,611 | ||||||
Arrow Electronics Inc | ||||||||
3.50%, 04/01/2022 | 965,000 | 949,027 | ||||||
BAE Systems Holdings Inc | ||||||||
6.38%, 06/01/2019 (Acquired 10/28/2013, Cost $270,789) (b) | 243,000 | 276,935 | ||||||
3.80%, 10/07/2024 (Acquired 09/30/2014, Cost $349,020) (b) | 350,000 | 350,924 | ||||||
BAE Systems PLC | ||||||||
5.80%, 10/11/2041 (Acquired 10/28/2013, Cost $579,286) (b) | 550,000 | 632,527 | ||||||
Boeing Co/The | ||||||||
4.88%, 02/15/2020 | 52,000 | 58,623 | ||||||
7.95%, 08/15/2024 | 124,000 | 168,681 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.65%, 05/01/2017 | 378,000 | 407,374 | ||||||
5.75%, 03/15/2018 | 173,000 | 192,036 |
Table of Contents
3.60%, 09/01/2020 | 146,000 | 152,519 | ||||||
3.45%, 09/15/2021 | 215,000 | 221,873 | ||||||
3.05%, 03/15/2022 | 440,000 | 438,657 | ||||||
3.00%, 03/15/2023 | 206,000 | 200,999 | ||||||
6.70%, 08/01/2028 | 62,000 | 78,324 | ||||||
7.29%, 06/01/2036 | 134,000 | 174,348 | ||||||
5.75%, 05/01/2040 | 373,000 | 426,599 | ||||||
5.40%, 06/01/2041 | 542,000 | 595,286 | ||||||
4.38%, 09/01/2042 | 462,000 | 443,400 | ||||||
5.15%, 09/01/2043 | 389,000 | 416,740 | ||||||
4.15%, 04/01/2045 | 1,825,000 | 1,682,254 | ||||||
Canadian Pacific Railway Co | ||||||||
4.50%, 01/15/2022 | 1,200,000 | 1,288,979 | ||||||
2.90%, 02/01/2025 | 644,000 | 605,254 | ||||||
7.13%, 10/15/2031 | 155,000 | 197,680 | ||||||
Caterpillar Financial Services Corp | ||||||||
5.50%, 03/15/2016 | 93,000 | 96,165 | ||||||
5.45%, 04/15/2018 | 103,000 | 113,809 | ||||||
1.70%, 06/16/2018 | 400,000 | 400,746 | ||||||
7.05%, 10/01/2018 | 361,000 | 421,242 | ||||||
7.15%, 02/15/2019 | 62,000 | 72,947 | ||||||
2.75%, 08/20/2021 | 420,000 | 424,279 | ||||||
2.85%, 06/01/2022 | 446,000 | 444,338 | ||||||
3.75%, 11/24/2023 | 2,825,000 | 2,944,644 | ||||||
3.25%, 12/01/2024 | 714,000 | 705,972 | ||||||
Caterpillar Inc | ||||||||
1.50%, 06/26/2017 | 193,000 | 194,813 | ||||||
2.60%, 06/26/2022 | 220,000 | 214,925 | ||||||
CRH America Inc | ||||||||
3.88%, 05/18/2025 (Acquired 05/12/2015, Cost $353,569) (b) | 354,000 | 350,256 | ||||||
5.13%, 05/18/2045 (Acquired 05/12/2015, Cost $227,192) (b) | 230,000 | 226,634 | ||||||
CSX Corp | ||||||||
7.90%, 05/01/2017 | 413,000 | 461,058 | ||||||
7.38%, 02/01/2019 | 72,000 | 84,353 | ||||||
4.25%, 06/01/2021 | 205,000 | 221,521 | ||||||
3.40%, 08/01/2024 | 600,000 | 599,507 | ||||||
5.50%, 04/15/2041 | 402,000 | 445,437 | ||||||
4.10%, 03/15/2044 | 175,000 | 159,650 | ||||||
3.95%, 05/01/2050 | 246,000 | 214,406 | ||||||
Danaher Corp | ||||||||
3.90%, 06/23/2021 | 387,000 | 413,970 | ||||||
Deere & Co | ||||||||
2.60%, 06/08/2022 | 619,000 | 608,362 | ||||||
3.90%, 06/09/2042 | 275,000 | 255,604 |
Table of Contents
Eaton Corp | ||||||||
1.50%, 11/02/2017 | 163,000 | 162,601 | ||||||
5.60%, 05/15/2018 | 273,000 | 301,008 | ||||||
7.63%, 04/01/2024 | 206,000 | 260,751 | ||||||
4.00%, 11/02/2032 | 143,000 | 138,014 | ||||||
5.80%, 03/15/2037 | 500,000 | 559,887 | ||||||
Federal Express Corp 1998 Pass Through Trust | ||||||||
6.85%, 01/15/2019 | 1,353,225 | 1,485,165 | ||||||
6.72%, 01/15/2022 | 207,833 | 240,317 | ||||||
FedEx Corp | ||||||||
3.90%, 02/01/2035 | 414,000 | 381,545 | ||||||
Fluor Corp | ||||||||
3.38%, 09/15/2021 | 1,065,000 | 1,099,896 | ||||||
General Electric Co | ||||||||
2.70%, 10/09/2022 | 350,000 | 342,061 | ||||||
3.38%, 03/11/2024 | 655,000 | 664,086 | ||||||
Hanson Ltd | ||||||||
6.13%, 08/15/2016 | 625,000 | 650,938 | ||||||
Harris Corp | ||||||||
3.83%, 04/27/2025 | 820,000 | 795,882 | ||||||
Holcim US Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019 (Acquired 10/28/2013, Cost $164,236) (b) | 148,000 | 167,027 | ||||||
Honeywell International Inc | ||||||||
5.30%, 03/01/2018 | 155,000 | 171,050 | ||||||
Illinois Tool Works Inc | ||||||||
1.95%, 03/01/2019 | 167,000 | 167,726 | ||||||
3.90%, 09/01/2042 | 1,754,000 | 1,617,870 | ||||||
Ingersoll-Rand Co | ||||||||
6.39%, 11/15/2027 | 80,000 | 94,379 | ||||||
Ingersoll-Rand Global Holding Co Ltd | ||||||||
4.25%, 06/15/2023 | 329,000 | 340,651 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 358,113 | ||||||
John Deere Capital Corp | ||||||||
2.05%, 03/10/2020 | 300,000 | 296,606 | ||||||
Koninklijke Philips NV | ||||||||
5.75%, 03/11/2018 | 172,000 | 188,772 | ||||||
3.75%, 03/15/2022 | 864,000 | 874,674 | ||||||
7.20%, 06/01/2026 | 57,000 | 70,031 | ||||||
Lafarge SA | ||||||||
6.50%, 07/15/2016 | 1,650,000 | 1,728,375 | ||||||
7.13%, 07/15/2036 | 107,000 | 128,133 | ||||||
Lockheed Martin Corp | ||||||||
2.13%, 09/15/2016 | 318,000 | 322,625 | ||||||
4.25%, 11/15/2019 | 103,000 | 111,950 | ||||||
4.85%, 09/15/2041 | 181,000 | 190,624 | ||||||
4.07%, 12/15/2042 | 462,000 | 434,897 |
Table of Contents
Martin Marietta Materials Inc | ||||||||
4.25%, 07/02/2024 | 1,705,000 | 1,723,636 | ||||||
6.25%, 05/01/2037 | 107,000 | 107,886 | ||||||
Masco Corp | ||||||||
6.13%, 10/03/2016 | 175,000 | 184,188 | ||||||
Norfolk Southern Corp | ||||||||
7.70%, 05/15/2017 | 14,000 | 15,560 | ||||||
3.25%, 12/01/2021 | 570,000 | 584,210 | ||||||
2.90%, 02/15/2023 | 294,000 | 283,210 | ||||||
5.59%, 05/17/2025 | 6,000 | 6,887 | ||||||
3.95%, 10/01/2042 | 332,000 | 295,501 | ||||||
4.80%, 08/15/2043 | 3,400,000 | 3,451,139 | ||||||
6.00%, 03/15/2105 | 351,000 | 392,741 | ||||||
6.00%, 05/23/2111 | 1,274,000 | 1,436,533 | ||||||
Northrop Grumman Corp | ||||||||
3.85%, 04/15/2045 | 195,000 | 171,477 | ||||||
Northrop Grumman Systems Corp | ||||||||
7.75%, 02/15/2031 | 206,000 | 274,739 | ||||||
Odebrecht Finance Ltd | ||||||||
5.25%, 06/27/2029 (Acquired 06/19/2014, Cost $1,375,000) (b) | 1,375,000 | 1,031,525 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 33,660 | ||||||
Parker-Hannifin Corp | ||||||||
5.50%, 05/15/2018 | 80,000 | 88,481 | ||||||
3.30%, 11/21/2024 | 149,000 | 149,289 | ||||||
4.45%, 11/21/2044 | 333,000 | 334,505 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp | ||||||||
2.88%, 07/17/2018 (Acquired 10/28/2013, Cost $432,819) (b) | 431,000 | 438,787 | ||||||
2.50%, 06/15/2019 (Acquired 06/12/2014, Cost $183,955) (b) | 184,000 | 182,111 | ||||||
3.38%, 02/01/2022 (Acquired 01/26/2015 through 06/05/2015, Cost $1,983,241) (b) | 2,011,000 | 1,947,205 | ||||||
4.25%, 01/17/2023 (Acquired 01/23/2015, Cost $231,408) (b) | 220,000 | 222,681 | ||||||
Precision Castparts Corp | ||||||||
0.70%, 12/20/2015 | 244,000 | 243,892 | ||||||
3.25%, 06/15/2025 | 880,000 | 867,436 | ||||||
4.20%, 06/15/2035 | 75,000 | 74,528 | ||||||
4.38%, 06/15/2045 | 415,000 | 410,076 | ||||||
Raytheon Co | ||||||||
3.15%, 12/15/2024 | 378,000 | 374,324 | ||||||
Republic Services Inc | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 3,128,907 | ||||||
3.55%, 06/01/2022 | 496,000 | 501,966 | ||||||
Ryder System Inc | ||||||||
3.60%, 03/01/2016 | 278,000 | 282,652 | ||||||
2.50%, 03/01/2017 | 330,000 | 335,921 | ||||||
2.50%, 05/11/2020 | 1,020,000 | 1,011,624 |
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Siemens Financieringsmaatschappij NV | ||||||||
5.75%, 10/17/2016 (Acquired 10/28/2013, Cost $147,332) (b) | 139,000 | 147,423 | ||||||
2.90%, 05/27/2022 (Acquired 05/18/2015, Cost $553,000) (b) | 553,000 | 545,144 | ||||||
4.40%, 05/27/2045 (Acquired 05/18/2015, Cost $509,199) (b) | 513,000 | 504,026 | ||||||
Timken Co/The | ||||||||
3.88%, 09/01/2024 | 1,000,000 | 966,579 | ||||||
TTX Co | ||||||||
3.60%, 01/15/2025 (Acquired 11/13/2014, Cost $1,999,875) (b) | 2,000,000 | 2,004,724 | ||||||
3.90%, 02/01/2045 (Acquired 01/26/2015, Cost $3,968,031) (b) | 4,000,000 | 3,490,344 | ||||||
Tyco Electronics Group SA | ||||||||
6.55%, 10/01/2017 | 752,000 | 834,267 | ||||||
2.38%, 12/17/2018 | 7,025,000 | 7,100,076 | ||||||
Union Pacific Corp | ||||||||
4.16%, 07/15/2022 | 453,000 | 485,945 | ||||||
2.95%, 01/15/2023 | 149,000 | 149,134 | ||||||
3.65%, 02/15/2024 | 142,000 | 145,979 | ||||||
3.25%, 01/15/2025 | 200,000 | 197,730 | ||||||
3.38%, 02/01/2035 | 1,500,000 | 1,329,165 | ||||||
4.30%, 06/15/2042 | 165,000 | 161,976 | ||||||
4.82%, 02/01/2044 | 106,000 | 112,320 | ||||||
4.15%, 01/15/2045 | 300,000 | 285,910 | ||||||
Union Pacific Railroad Co 2003 Pass Through Trust | ||||||||
4.70%, 01/02/2024 | 24,026 | 26,068 | ||||||
Union Pacific Railroad Co 2015-1 Pass Through Trust | ||||||||
2.70%, 05/12/2027 | 700,000 | 677,255 | ||||||
United Parcel Service Inc | ||||||||
2.45%, 10/01/2022 | 186,000 | 179,499 | ||||||
United Parcel Service of America Inc | ||||||||
8.38%, 04/01/2020 | 243,000 | 309,517 | ||||||
8.38%, 04/01/2030 | 83,000 | 117,849 | ||||||
United Technologies Corp | ||||||||
1.80%, 06/01/2017 | 205,000 | 207,956 | ||||||
3.10%, 06/01/2022 | 524,000 | 527,549 | ||||||
4.50%, 06/01/2042 | 693,000 | 701,445 | ||||||
4.15%, 05/15/2045 | 6,360,000 | 6,049,206 | ||||||
Vulcan Materials Co | ||||||||
7.00%, 06/15/2018 | 215,000 | 242,950 | ||||||
7.15%, 11/30/2037 | 54,000 | 59,400 | ||||||
Wabtec Corp/DE | ||||||||
4.38%, 08/15/2023 | 322,000 | 334,248 | ||||||
Waste Management Inc | ||||||||
4.75%, 06/30/2020 | 195,000 | 214,800 | ||||||
3.13%, 03/01/2025 | 424,000 | 411,384 | ||||||
3.90%, 03/01/2035 | 156,000 | 142,591 | ||||||
|
| |||||||
85,001,296 | ||||||||
|
| |||||||
Technology - 0.94% | ||||||||
Apple Inc | ||||||||
0.53%, 05/03/2018 | 790,000 | 791,102 |
Table of Contents
2.85%, 05/06/2021 | 1,509,000 | 1,529,572 | ||||||
2.15%, 02/09/2022 | 1,200,000 | 1,145,254 | ||||||
2.40%, 05/03/2023 | 2,081,000 | 1,988,776 | ||||||
3.20%, 05/13/2025 | 1,010,000 | 1,003,186 | ||||||
3.45%, 02/09/2045 | 500,000 | 423,876 | ||||||
Dell Inc | ||||||||
7.10%, 04/15/2028 | 196,000 | 205,310 | ||||||
EMC Corp/MA | ||||||||
1.88%, 06/01/2018 | 640,000 | 641,263 | ||||||
3.38%, 06/01/2023 | 1,764,000 | 1,757,854 | ||||||
Fidelity National Information Services Inc | ||||||||
1.45%, 06/05/2017 | 665,000 | 663,401 | ||||||
3.50%, 04/15/2023 | 2,430,000 | 2,355,659 | ||||||
3.88%, 06/05/2024 | 2,150,000 | 2,121,964 | ||||||
Fiserv Inc | ||||||||
4.63%, 10/01/2020 | 215,000 | 232,177 | ||||||
3.85%, 06/01/2025 | 5,000,000 | 4,999,630 | ||||||
Hewlett-Packard Co | ||||||||
2.75%, 01/14/2019 | 6,625,000 | 6,692,495 | ||||||
4.30%, 06/01/2021 | 372,000 | 386,001 | ||||||
4.38%, 09/15/2021 | 293,000 | 303,903 | ||||||
4.65%, 12/09/2021 | 326,000 | 345,927 | ||||||
6.00%, 09/15/2041 | 731,000 | 720,778 | ||||||
HP Enterprise Services LLC | ||||||||
7.45%, 10/15/2029 | 250,000 | 304,727 | ||||||
Intel Corp | ||||||||
3.30%, 10/01/2021 | 504,000 | 525,585 | ||||||
4.00%, 12/15/2032 | 1,195,000 | 1,141,841 | ||||||
International Business Machines Corp | ||||||||
1.95%, 07/22/2016 | 532,000 | 539,599 | ||||||
1.25%, 02/06/2017 | 571,000 | 575,326 | ||||||
7.63%, 10/15/2018 | 872,000 | 1,034,345 | ||||||
1.63%, 05/15/2020 | 2,670,000 | 2,594,033 | ||||||
6.22%, 08/01/2027 | 68,000 | 84,555 | ||||||
6.50%, 01/15/2028 | 120,000 | 151,359 | ||||||
4.00%, 06/20/2042 | 79,000 | 70,965 | ||||||
Intuit Inc | ||||||||
5.75%, 03/15/2017 | 8,059,000 | 8,621,623 | ||||||
Maxim Integrated Products Inc | ||||||||
2.50%, 11/15/2018 | 4,200,000 | 4,230,370 | ||||||
Microsoft Corp | ||||||||
0.88%, 11/15/2017 | 238,000 | 237,431 | ||||||
2.38%, 02/12/2022 | 800,000 | 784,778 | ||||||
2.13%, 11/15/2022 | 350,000 | 333,587 | ||||||
2.38%, 05/01/2023 | 655,000 | 633,748 | ||||||
3.63%, 12/15/2023 | 445,000 | 462,434 |
Table of Contents
3.50%, 02/12/2035 | 318,000 | 289,777 | ||||||
4.50%, 10/01/2040 | 125,000 | 126,946 | ||||||
4.00%, 02/12/2055 | 333,000 | 297,454 | ||||||
National Semiconductor Corp | ||||||||
6.60%, 06/15/2017 | 855,000 | 944,030 | ||||||
Oracle Corp | ||||||||
5.25%, 01/15/2016 | 239,000 | 245,193 | ||||||
5.75%, 04/15/2018 | 351,000 | 390,326 | ||||||
5.00%, 07/08/2019 | 547,000 | 607,275 | ||||||
2.80%, 07/01/2021 | 1,266,000 | 1,280,317 | ||||||
3.63%, 07/15/2023 | 149,000 | 153,020 | ||||||
3.40%, 07/01/2024 | 2,000,000 | 2,002,250 | ||||||
2.95%, 05/15/2025 | 1,500,000 | 1,442,543 | ||||||
4.30%, 07/01/2034 | 4,314,000 | �� | 4,241,434 | |||||
6.50%, 04/15/2038 | 201,000 | 251,341 | ||||||
6.13%, 07/08/2039 | 265,000 | 319,140 | ||||||
4.38%, 05/15/2055 | 400,000 | 371,448 | ||||||
Pitney Bowes Inc | ||||||||
5.60%, 03/15/2018 | 175,000 | 189,817 | ||||||
QUALCOMM Inc | ||||||||
3.00%, 05/20/2022 | 7,000,000 | 6,963,005 | ||||||
Texas Instruments Inc | ||||||||
1.65%, 08/03/2019 | 434,000 | 427,553 | ||||||
Xerox Corp | ||||||||
6.40%, 03/15/2016 | 1,379,000 | 1,430,242 | ||||||
6.75%, 02/01/2017 | 2,170,000 | 2,337,229 | ||||||
2.95%, 03/15/2017 | 202,000 | 206,871 | ||||||
2.75%, 03/15/2019 | 3,200,000 | 3,243,693 | ||||||
5.63%, 12/15/2019 | 521,000 | 582,609 | ||||||
2.75%, 09/01/2020 | 2,177,000 | 2,154,098 | ||||||
4.50%, 05/15/2021 | 183,000 | 194,195 | ||||||
|
| |||||||
81,326,240 | ||||||||
|
| |||||||
Utilities - 1.50% | ||||||||
AGL Capital Corp | ||||||||
6.38%, 07/15/2016 | 691,000 | 728,052 | ||||||
3.50%, 09/15/2021 | 530,000 | 552,149 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,425,160 | ||||||
4.40%, 06/01/2043 | 160,000 | 158,484 | ||||||
Alabama Power Co | ||||||||
2.80%, 04/01/2025 | 2,025,000 | 1,937,905 | ||||||
6.13%, 05/15/2038 | 219,000 | 268,868 | ||||||
6.00%, 03/01/2039 | 89,000 | 107,763 | ||||||
4.15%, 08/15/2044 | 205,000 | 195,433 | ||||||
3.75%, 03/01/2045 | 415,000 | 371,376 | ||||||
American Electric Power Co Inc | ||||||||
1.65%, 12/15/2017 | 246,000 | 246,241 |
Table of Contents
American Water Capital Corp | ||||||||
3.85%, 03/01/2024 | 500,000 | 522,264 | ||||||
3.40%, 03/01/2025 | 318,000 | 316,684 | ||||||
6.59%, 10/15/2037 | 386,000 | 497,786 | ||||||
Appalachian Power Co | ||||||||
6.70%, 08/15/2037 | 430,000 | 533,973 | ||||||
Arizona Public Service Co | ||||||||
8.75%, 03/01/2019 | 91,000 | 111,496 | ||||||
2.20%, 01/15/2020 | 167,000 | 165,460 | ||||||
3.35%, 06/15/2024 | 676,000 | 678,525 | ||||||
5.05%, 09/01/2041 | 349,000 | 375,411 | ||||||
4.50%, 04/01/2042 | 221,000 | 221,093 | ||||||
Atmos Energy Corp | ||||||||
8.50%, 03/15/2019 | 71,000 | 86,189 | ||||||
4.15%, 01/15/2043 | 830,000 | 779,805 | ||||||
4.13%, 10/15/2044 | 450,000 | 428,161 | ||||||
Baltimore Gas & Electric Co | ||||||||
2.80%, 08/15/2022 | 509,000 | 497,077 | ||||||
Beaver Valley II Funding Corp | ||||||||
9.00%, 06/01/2017 | 15,000 | 16,200 | ||||||
Berkshire Hathaway Energy Co | ||||||||
5.75%, 04/01/2018 | 168,000 | 185,802 | ||||||
2.40%, 02/01/2020 | 409,000 | 406,866 | ||||||
3.50%, 02/01/2025 | 625,000 | 621,441 | ||||||
4.50%, 02/01/2045 | 375,000 | 365,000 | ||||||
Boston Gas Co | ||||||||
4.49%, 02/15/2042 (Acquired 10/28/2013, Cost $241,360) (b) | 253,000 | 252,995 | ||||||
CenterPoint Energy Inc | ||||||||
6.50%, 05/01/2018 | 390,000 | 438,789 | ||||||
Centrica PLC | ||||||||
4.00%, 10/16/2023 (Acquired 11/18/2013, Cost $4,976,849) (b) | 5,000,000 | 5,033,990 | ||||||
Cleveland Electric Illuminating Co/The | ||||||||
7.88%, 11/01/2017 | 356,000 | 405,983 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021 (Acquired 10/28/2013, Cost $568,617) (b) | 551,000 | 575,795 | ||||||
4.88%, 01/15/2024 (Acquired 10/28/2013 through 11/22/2013, Cost $1,822,080) (b) | 1,822,000 | 1,862,995 | ||||||
Connecticut Light & Power Co/The | ||||||||
5.65%, 05/01/2018 | 95,000 | 105,873 | ||||||
Consolidated Edison Co of New York Inc | ||||||||
5.70%, 06/15/2040 | 318,000 | 367,142 | ||||||
Consumers Energy Co | ||||||||
5.65%, 04/15/2020 | 144,000 | 165,363 | ||||||
2.85%, 05/15/2022 | 155,000 | 155,266 | ||||||
4.35%, 08/31/2064 | 191,000 | 178,325 | ||||||
Delmarva Power & Light Co | ||||||||
4.00%, 06/01/2042 | 170,000 | 158,903 |
Table of Contents
Dominion Resources Inc/VA | ||||||||
5.25%, 08/01/2033 | 583,000 | 611,419 | ||||||
7.00%, 06/15/2038 | 124,000 | 153,759 | ||||||
4.90%, 08/01/2041 | 212,000 | 215,195 | ||||||
DTE Electric Co | ||||||||
2.65%, 06/15/2022 | 194,000 | 190,276 | ||||||
3.70%, 03/15/2045 | 463,000 | 416,864 | ||||||
DTE Energy Co | ||||||||
2.40%, 12/01/2019 | 278,000 | 277,751 | ||||||
3.30%, 06/15/2022 (Acquired 06/09/2015, Cost $138,949) (b) | 139,000 | 139,991 | ||||||
3.85%, 12/01/2023 | 292,000 | 302,546 | ||||||
3.50%, 06/01/2024 | 692,000 | 691,964 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.10%, 04/15/2018 | 144,000 | 158,016 | ||||||
4.30%, 06/15/2020 | 205,000 | 224,244 | ||||||
6.00%, 12/01/2028 | 235,000 | 285,714 | ||||||
6.00%, 01/15/2038 | 161,000 | 196,349 | ||||||
4.25%, 12/15/2041 | 141,000 | 138,211 | ||||||
Duke Energy Corp | ||||||||
2.15%, 11/15/2016 | 439,000 | 445,700 | ||||||
6.25%, 06/15/2018 | 1,781,000 | 2,008,213 | ||||||
3.55%, 09/15/2021 | 306,000 | 317,185 | ||||||
Duke Energy Florida Inc | ||||||||
5.65%, 06/15/2018 | 116,000 | 129,216 | ||||||
6.40%, 06/15/2038 | 72,000 | 92,337 | ||||||
Duke Energy Indiana Inc | ||||||||
3.75%, 07/15/2020 | 398,000 | 423,472 | ||||||
6.35%, 08/15/2038 | 320,000 | 401,981 | ||||||
Duke Energy Progress Inc | ||||||||
5.30%, 01/15/2019 | 206,000 | 229,426 | ||||||
3.00%, 09/15/2021 | 372,000 | 378,780 | ||||||
2.80%, 05/15/2022 | 335,000 | 329,776 | ||||||
4.10%, 05/15/2042 | 217,000 | 206,895 | ||||||
4.10%, 03/15/2043 | 181,000 | 172,435 | ||||||
4.38%, 03/30/2044 | 132,000 | 133,022 | ||||||
4.15%, 12/01/2044 | 129,000 | 124,181 | ||||||
Electricite de France SA | ||||||||
1.15%, 01/20/2017 (Acquired 01/13/2014, Cost $4,983,352) (b) | 5,000,000 | 5,007,410 | ||||||
2.15%, 01/22/2019 (Acquired 01/13/2014, Cost $3,521,998) (b) | 3,558,000 | 3,579,661 | ||||||
6.00%, 01/22/2114 (Acquired 01/13/2014, Cost $1,003,515) (b) | 1,035,000 | 1,097,491 | ||||||
Enel Finance International NV | ||||||||
5.13%, 10/07/2019 (Acquired 10/28/2013, Cost $934,716) (b) | 888,000 | 972,775 | ||||||
6.80%, 09/15/2037 (Acquired 10/28/2013, Cost $210,964) (b) | 204,000 | 245,232 | ||||||
6.00%, 10/07/2039 (Acquired 10/28/2013, Cost $98,602) (b) | 103,000 | 114,018 | ||||||
Exelon Corp | ||||||||
4.95%, 06/15/2035 | 1,500,000 | 1,509,861 |
Table of Contents
Exelon Generation Co LLC | ||||||||
6.20%, 10/01/2017 | 3,436,000 | 3,756,039 | ||||||
2.95%, 01/15/2020 | 300,000 | 301,292 | ||||||
4.00%, 10/01/2020 | 619,000 | 645,242 | ||||||
5.75%, 10/01/2041 | 192,000 | 198,634 | ||||||
FirstEnergy Transmission LLC | ||||||||
5.45%, 07/15/2044 (Acquired 05/14/2014, Cost $960,826) (b) | 965,000 | 1,001,112 | ||||||
Florida Power & Light Co | ||||||||
5.95%, 10/01/2033 | 402,000 | 488,267 | ||||||
5.63%, 04/01/2034 | 57,000 | 67,339 | ||||||
5.95%, 02/01/2038 | 103,000 | 125,411 | ||||||
Georgia Power Co | ||||||||
5.95%, 02/01/2039 | 41,000 | 48,275 | ||||||
Great Plains Energy Inc | ||||||||
4.85%, 06/01/2021 | 156,000 | 170,893 | ||||||
Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 247,885 | ||||||
8.40%, 01/15/2022 | 826,000 | 1,090,090 | ||||||
8.05%, 07/07/2024 | 638,000 | 871,160 | ||||||
Indiana Michigan Power Co | ||||||||
7.00%, 03/15/2019 | 112,000 | 130,272 | ||||||
3.20%, 03/15/2023 | 991,000 | 980,938 | ||||||
Jersey Central Power & Light Co | ||||||||
7.35%, 02/01/2019 | 31,000 | 35,903 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 467,498 | 500,947 | ||||||
Kansas City Power & Light Co | ||||||||
3.15%, 03/15/2023 | 375,000 | 367,435 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,113,007 | ||||||
Korea Electric Power Corp | ||||||||
6.75%, 08/01/2027 | 233,000 | 289,971 | ||||||
Korea Gas Corp | ||||||||
4.25%, 11/02/2020 (Acquired 10/28/2013, Cost $290,724) (b) | 279,000 | 302,753 | ||||||
Korea Hydro & Nuclear Power Co Ltd | ||||||||
2.88%, 10/02/2018 (Acquired 11/18/2013, Cost $4,030,042) (b) | 4,000,000 | 4,096,924 | ||||||
Mega Advance Investments Ltd | ||||||||
5.00%, 05/12/2021 (Acquired 10/28/2013, Cost $615,585) (b) | 591,000 | 634,557 | ||||||
MidAmerican Energy Co | ||||||||
5.30%, 03/15/2018 | 72,000 | 78,980 | ||||||
Nevada Power Co | ||||||||
6.50%, 08/01/2018 | 232,000 | 264,605 | ||||||
7.13%, 03/15/2019 | 188,000 | 220,940 | ||||||
5.38%, 09/15/2040 | 38,000 | 43,189 | ||||||
5.45%, 05/15/2041 | 386,000 | 438,761 |
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NextEra Energy Capital Holdings Inc | ||||||||
7.88%, 12/15/2015 | 124,000 | 127,743 | ||||||
6.00%, 03/01/2019 | 124,000 | 138,969 | ||||||
2.40%, 09/15/2019 | 487,000 | 486,097 | ||||||
7.30%, 09/01/2067 | 295,000 | 306,247 | ||||||
Niagara Mohawk Power Corp | ||||||||
4.88%, 08/15/2019 (Acquired 10/28/2013, Cost $183,023) (b) | 168,000 | 184,231 | ||||||
3.51%, 10/01/2024 (Acquired 09/22/2014, Cost $258,000) (b) | 258,000 | 258,144 | ||||||
NiSource Finance Corp | ||||||||
3.85%, 02/15/2023 | 283,000 | 290,852 | ||||||
5.80%, 02/01/2042 | 774,000 | 898,663 | ||||||
Northern States Power Co/MN | ||||||||
6.25%, 06/01/2036 | 258,000 | 325,380 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,447,687 | ||||||
Ohio Power Co | ||||||||
6.05%, 05/01/2018 | 160,000 | 178,071 | ||||||
5.38%, 10/01/2021 | 65,000 | 74,033 | ||||||
Oncor Electric Delivery Co LLC | ||||||||
6.80%, 09/01/2018 | 635,000 | 734,437 | ||||||
7.00%, 09/01/2022 | 124,000 | 152,388 | ||||||
Pacific Gas & Electric Co | ||||||||
5.63%, 11/30/2017 | 204,000 | 222,630 | ||||||
8.25%, 10/15/2018 | 4,484,000 | 5,372,944 | ||||||
3.25%, 09/15/2021 | 146,000 | 148,241 | ||||||
2.45%, 08/15/2022 | 581,000 | 549,912 | ||||||
3.25%, 06/15/2023 | 206,000 | 204,424 | ||||||
3.40%, 08/15/2024 | 11,150,000 | 11,123,430 | ||||||
3.50%, 06/15/2025 | 547,000 | 545,152 | ||||||
6.05%, 03/01/2034 | 46,000 | 55,148 | ||||||
4.50%, 12/15/2041 | 749,000 | 735,693 | ||||||
4.45%, 04/15/2042 | 194,000 | 189,042 | ||||||
PacifiCorp | ||||||||
5.65%, 07/15/2018 | 294,000 | 327,963 | ||||||
5.50%, 01/15/2019 | 26,000 | 29,121 | ||||||
3.85%, 06/15/2021 | 103,000 | 109,345 | ||||||
PECO Energy Co | ||||||||
5.35%, 03/01/2018 | 93,000 | 102,111 | ||||||
2.38%, 09/15/2022 | 578,000 | 550,785 | ||||||
4.15%, 10/01/2044 | 353,000 | 341,541 | ||||||
Pennsylvania Electric Co | ||||||||
6.05%, 09/01/2017 | 93,000 | 101,492 | ||||||
Potomac Electric Power Co | ||||||||
6.50%, 11/15/2037 | 136,000 | 174,329 | ||||||
PPL Electric Utilities Corp | ||||||||
2.50%, 09/01/2022 | 178,000 | 172,134 | ||||||
4.13%, 06/15/2044 | 208,000 | 200,437 |
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Progress Energy Inc | ||||||||
4.40%, 01/15/2021 | 390,000 | 417,043 | ||||||
3.15%, 04/01/2022 | 389,000 | 388,501 | ||||||
7.75%, 03/01/2031 | 153,000 | 205,995 | ||||||
PSEG Power LLC | ||||||||
5.50%, 12/01/2015 | 226,000 | 230,269 | ||||||
5.32%, 09/15/2016 | 346,000 | 362,266 | ||||||
5.13%, 04/15/2020 | 679,000 | 749,046 | ||||||
4.15%, 09/15/2021 | 83,000 | 86,956 | ||||||
8.63%, 04/15/2031 | 130,000 | 178,424 | ||||||
Public Service Co of Colorado | ||||||||
5.80%, 08/01/2018 | 28,000 | 31,468 | ||||||
3.20%, 11/15/2020 | 120,000 | 124,987 | ||||||
2.25%, 09/15/2022 | 210,000 | 202,050 | ||||||
Public Service Co of New Hampshire | ||||||||
3.50%, 11/01/2023 | 101,000 | 103,571 | ||||||
Public Service Co of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 158,578 | ||||||
4.40%, 02/01/2021 | 203,000 | 217,681 | ||||||
6.63%, 11/15/2037 | 649,000 | 819,451 | ||||||
Public Service Electric & Gas Co | ||||||||
5.30%, 05/01/2018 | 85,000 | 93,722 | ||||||
3.15%, 08/15/2024 | 1,000,000 | 997,593 | ||||||
5.38%, 11/01/2039 | 117,000 | 133,791 | ||||||
RGS I&M Funding Corp | ||||||||
9.82%, 06/07/2022 | 89,805 | 105,811 | ||||||
San Diego Gas & Electric Co | ||||||||
6.00%, 06/01/2026 | 213,000 | 264,089 | ||||||
3.95%, 11/15/2041 | 310,000 | 297,377 | ||||||
Sempra Energy | ||||||||
6.50%, 06/01/2016 | 93,000 | 97,426 | ||||||
6.15%, 06/15/2018 | 237,000 | 265,905 | ||||||
9.80%, 02/15/2019 | 841,000 | 1,055,621 | ||||||
2.88%, 10/01/2022 | 361,000 | 349,591 | ||||||
4.05%, 12/01/2023 | 10,325,000 | 10,650,537 | ||||||
3.55%, 06/15/2024 | 709,000 | 707,353 | ||||||
6.00%, 10/15/2039 | 155,000 | 182,804 | ||||||
South Carolina Electric & Gas Co | ||||||||
4.50%, 06/01/2064 | 161,000 | 145,877 | ||||||
Southern California Edison Co | ||||||||
5.50%, 08/15/2018 | 144,000 | 161,096 | ||||||
3.88%, 06/01/2021 | 102,000 | 109,153 | ||||||
1.85%, 02/01/2022 | 336,000 | 335,466 | ||||||
3.50%, 10/01/2023 | 328,000 | 336,039 | ||||||
5.95%, 02/01/2038 | 67,000 | 81,252 | ||||||
6.05%, 03/15/2039 | 253,000 | 312,016 | ||||||
3.90%, 12/01/2041 | 392,000 | 365,805 |
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Southern Co/The | ||||||||
1.95%, 09/01/2016 | 307,000 | 310,456 | ||||||
2.15%, 09/01/2019 | 555,000 | 548,856 | ||||||
Southern Power Co | ||||||||
5.15%, 09/15/2041 | 146,000 | 149,883 | ||||||
Southwestern Electric Power Co | ||||||||
5.55%, 01/15/2017 | 320,000 | 339,613 | ||||||
Southwestern Public Service Co | ||||||||
8.75%, 12/01/2018 | 351,000 | 429,489 | ||||||
State Grid Overseas Investment 2013 Ltd | ||||||||
1.75%, 05/22/2018 (Acquired 10/28/2013, Cost $238,658) (b) | 241,000 | 239,137 | ||||||
State Grid Overseas Investment 2014 Ltd | ||||||||
2.75%, 05/07/2019 (Acquired 04/28/2014, Cost $4,226,315) (b) | 4,240,000 | 4,279,775 | ||||||
Talen Energy Supply LLC | ||||||||
5.70%, 10/15/2015 | 221,000 | 221,000 | ||||||
Talent Yield Investments Ltd | ||||||||
4.50%, 04/25/2022 (Acquired 10/28/2013, Cost $712,616) (b) | 715,000 | 737,165 | ||||||
Virginia Electric & Power Co | ||||||||
5.95%, 09/15/2017 | 83,000 | 91,174 | ||||||
5.40%, 04/30/2018 | 475,000 | 525,765 | ||||||
2.95%, 01/15/2022 | 80,000 | 79,673 | ||||||
3.45%, 02/15/2024 | 191,000 | 193,213 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 3,617,929 | ||||||
4.45%, 02/15/2044 | 126,000 | 126,058 | ||||||
WEC Energy Group Inc | ||||||||
3.55%, 06/15/2025 | 865,000 | 861,364 | ||||||
Westar Energy Inc | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,029,451 | ||||||
Wisconsin Electric Power Co | ||||||||
6.25%, 12/01/2015 | 134,000 | 137,096 | ||||||
2.95%, 09/15/2021 | 27,000 | 27,562 | ||||||
3.10%, 06/01/2025 | 285,000 | 282,819 | ||||||
Xcel Energy Inc | ||||||||
0.75%, 05/09/2016 | 28,000 | 27,916 | ||||||
4.70%, 05/15/2020 | 62,000 | 67,571 | ||||||
6.50%, 07/01/2036 | 351,000 | 437,050 | ||||||
4.80%, 09/15/2041 | 95,000 | 98,177 | ||||||
|
| |||||||
128,975,888 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $2,481,310,616) | $ | 2,489,850,797 | ||||||
|
| |||||||
Government Related - 20.30% | ||||||||
American Municipal Power Inc | ||||||||
7.50%, 02/15/2050 | $ | 1,350,000 | $ | 1,837,107 | ||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 604,871 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,132,658 |
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Brazilian Government International Bond | ||||||||
4.25%, 01/07/2025 | 10,150,000 | 9,794,750 | ||||||
5.00%, 01/27/2045 | 408,000 | 352,920 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 944,426 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 294,916 | ||||||
5.04%, 01/01/2021 | 215,000 | 216,698 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 1,906,573 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,077,548 | ||||||
Colombia Government International Bond | ||||||||
4.00%, 02/26/2024 | 437,000 | 434,815 | ||||||
5.63%, 02/26/2044 | 200,000 | 202,500 | ||||||
5.00%, 06/15/2045 | 842,000 | 778,850 | ||||||
County of Contra Costa CA | ||||||||
5.14%, 06/01/2017 | 640,000 | 671,046 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 101,978 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
5.52%, 10/01/2044 | 2,900,000 | 3,475,070 | ||||||
4.81%, 10/01/2114 | 875,000 | 886,690 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 289,201 | ||||||
Elgin Local School District | ||||||||
5.50%, 08/31/2027 | 535,000 | 571,311 | ||||||
Export-Import Bank of Korea | ||||||||
2.25%, 01/21/2020 | 1,800,000 | 1,781,078 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 | 929,000 | 547,642 | ||||||
Federal Farm Credit Banks | ||||||||
5.13%, 11/15/2018 | �� | 344,000 | 387,431 | |||||
Federal Home Loan Banks | ||||||||
0.50%, 09/28/2016 | 18,390,000 | 18,392,593 | ||||||
0.63%, 11/23/2016 | 3,265,000 | 3,269,503 | ||||||
5.50%, 07/15/2036 | 1,135,000 | 1,463,513 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 06/01/2017 | 2,735,000 | 2,692,542 | ||||||
1.13%, 07/20/2018 | 9,975,000 | 9,969,434 | ||||||
1.88%, 02/19/2019 | 1,505,000 | 1,532,343 | ||||||
1.63%, 01/21/2020 | 4,705,000 | 4,694,451 | ||||||
1.50%, 06/22/2020 | 9,980,000 | 9,852,426 | ||||||
2.63%, 09/06/2024 | 3,985,000 | 3,980,429 |
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Financing Corp | ||||||||
0.00%, 11/30/2017 | 404,000 | 394,788 | ||||||
0.00%, 04/06/2018 | 194,000 | 187,889 | ||||||
0.00%, 05/11/2018 | 6,860,000 | 6,615,084 | ||||||
0.00%, 08/03/2018 | 276,000 | 264,159 | ||||||
0.00%, 03/07/2019 | 205,000 | 192,825 | ||||||
0.00%, 04/05/2019 | 2,766,000 | 2,586,240 | ||||||
0.00%, 09/26/2019 | 3,174,000 | 2,939,810 | ||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,278,798 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.50%, 10/30/2020 | 3,439,000 | 3,547,318 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 03/13/2020 | 5,000,000 | 5,562,500 | ||||||
5.88%, 01/15/2024 (Acquired 03/20/2015, Cost $1,505,854) (b) | 1,300,000 | 1,436,500 | ||||||
4.13%, 01/15/2025 (Acquired 01/08/2015, Cost $1,317,260) (b) | 1,325,000 | 1,300,156 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 560,000 | 552,160 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 11/01/2019 | 345,000 | 317,661 | ||||||
0.00%, 02/15/2022 | 464,000 | 394,245 | ||||||
0.00%, 08/15/2022 | 7,201,000 | 5,962,730 | ||||||
0.00%, 05/01/2023 | 1,000,000 | 804,042 | ||||||
0.00%, 09/15/2023 | 1,837,000 | 1,457,149 | ||||||
5.50%, 09/18/2023 | 8,856,000 | 10,697,366 | ||||||
0.00%, 11/01/2023 | 413,000 | 325,997 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,560,474 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,560,244 | ||||||
5.50%, 04/26/2024 | 3,784,000 | 4,609,135 | ||||||
0.00%, 05/15/2024 | 3,640,000 | 2,810,746 | ||||||
0.00%, 08/15/2024 | 1,500,000 | 1,147,257 | ||||||
0.00%, 11/01/2024 | 2,549,000 | 1,932,183 | ||||||
0.00%, 11/15/2024 | 2,299,000 | 1,740,134 | ||||||
0.00%, 08/15/2025 | 2,500,000 | 1,840,442 | ||||||
0.00%, 11/15/2026 | 258,000 | 179,491 | ||||||
5.50%, 09/18/2033 | 619,000 | 790,698 | ||||||
Lithuania Government International Bond | ||||||||
7.38%, 02/11/2020 (Acquired 08/12/2014, Cost $1,175,088) (b) | 995,000 | 1,182,359 | ||||||
Los Angeles Department of Water & Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,270,264 | ||||||
Mexico Government International Bond | ||||||||
3.50%, 01/21/2021 | 1,786,000 | 1,823,506 | ||||||
3.63%, 03/15/2022 | 2,000,000 | 2,028,000 | ||||||
4.00%, 10/02/2023 | 842,000 | 864,313 | ||||||
3.60%, 01/30/2025 | 868,000 | 855,848 | ||||||
4.75%, 03/08/2044 | 450,000 | 429,750 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,592,978 | ||||||
5.75%, 10/12/2110 | 588,000 | 579,180 |
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New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 120,000 | 123,376 | ||||||
3.75%, 07/01/2034 | 300,000 | 316,041 | ||||||
New Jersey State Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 7,944,634 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 316,261 | ||||||
Ohio State University/The | ||||||||
4.80%, 06/01/2111 | 1,102,000 | 1,048,300 | ||||||
Panama Government International Bond | ||||||||
5.20%, 01/30/2020 | 2,930,000 | 3,228,860 | ||||||
4.00%, 09/22/2024 | 3,133,000 | 3,148,665 | ||||||
3.75%, 03/16/2025 | 1,234,000 | 1,215,490 | ||||||
Peruvian Government International Bond | ||||||||
5.63%, 11/18/2050 | 190,000 | 211,850 | ||||||
Poland Government International Bond | ||||||||
6.38%, 07/15/2019 | 1,000,000 | 1,155,500 | ||||||
4.00%, 01/22/2024 | 1,040,000 | 1,088,100 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,491,802 | ||||||
5.65%, 11/01/2040 | 435,000 | 511,534 | ||||||
4.46%, 10/01/2062 | 2,065,000 | 2,032,125 | ||||||
Province of British Columbia Canada | ||||||||
2.00%, 10/23/2022 | 6,270,000 | 6,134,982 | ||||||
Province of Ontario Canada | ||||||||
1.65%, 09/27/2019 | 1,315,000 | 1,308,716 | ||||||
Province of Quebec Canada | ||||||||
7.37%, 03/06/2026 | 58,000 | 79,298 | ||||||
Residual Funding Corp Principal Strip | ||||||||
0.00%, 10/15/2019 | 5,732,000 | 5,303,481 | ||||||
0.00%, 07/15/2020 | 37,494,000 | 33,900,950 | ||||||
0.00%, 10/15/2020 | 5,841,000 | 5,238,197 | ||||||
0.00%, 01/15/2021 | 2,270,000 | 2,016,768 | ||||||
Rhode Island Housing & Mortgage Finance Corp/RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,140,560 | ||||||
Romanian Government International Bond | ||||||||
4.88%, 01/22/2024 (Acquired 01/14/2014, Cost $435,232) (b) | 440,000 | 465,300 | ||||||
6.13%, 01/22/2044 | 1,000,000 | 1,122,000 | ||||||
San Dieguito Public Facilities Authority | ||||||||
6.46%, 05/01/2027 | 685,000 | 834,796 | ||||||
South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 446,461 | ||||||
5.38%, 07/24/2044 | 1,077,000 | 1,074,062 | ||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 7,698,162 | ||||||
7.30%, 10/01/2039 | 275,000 | 388,966 |
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State of Illinois | ||||||||
5.10%, 06/01/2033 | 560,000 | 521,892 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,616,056 | ||||||
Tennessee Valley Authority | ||||||||
5.88%, 04/01/2036 | 882,000 | 1,141,193 | ||||||
5.50%, 06/15/2038 | 57,000 | 70,830 | ||||||
5.25%, 09/15/2039 | 949,000 | 1,150,690 | ||||||
4.63%, 09/15/2060 | 303,000 | 319,570 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 05/01/2019 | 1,238,000 | 1,150,709 | ||||||
0.00%, 07/15/2028 | 2,000,000 | 1,256,524 | ||||||
Tennessee Valley Authority Strip | ||||||||
0.00%, 12/15/2017 | 427,000 | 414,961 | ||||||
0.00%, 11/01/2025 | 1,847,000 | 1,314,933 | ||||||
0.00%, 06/15/2035 | 258,000 | 117,117 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 298,614 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 3,910,000 | 4,463,124 | ||||||
5.75%, 03/22/2024 | 494,000 | 534,755 | ||||||
4.25%, 04/14/2026 | 895,000 | 853,078 | ||||||
Ukraine Government AID Bonds | ||||||||
1.85%, 05/29/2020 | 6,070,000 | 6,074,783 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.13%, 04/15/2016 (c) | 442,691 | 444,731 | ||||||
0.13%, 04/15/2019 (c) | 908,757 | 919,478 | ||||||
0.13%, 04/15/2020 (c) | 20,600,629 | 20,732,596 | ||||||
1.13%, 01/15/2021 (c) | 529,974 | 559,744 | ||||||
0.13%, 01/15/2022 (c) | 2,090,700 | 2,068,649 | ||||||
1.75%, 01/15/2028 (c) | 677,622 | 764,707 | ||||||
3.63%, 04/15/2028 (c) | 1,525,742 | 2,071,433 | ||||||
2.50%, 01/15/2029 (c) | 455,126 | 558,632 | ||||||
United States Treasury Note/Bond | ||||||||
3.13%, 10/31/2016 | 3,400,000 | 3,520,061 | ||||||
7.50%, 11/15/2016 | 5,820,000 | 6,381,083 | ||||||
2.75%, 11/30/2016 | 258,000 | 266,184 | ||||||
3.25%, 12/31/2016 | 20,315,000 | 21,145,051 | ||||||
3.13%, 01/31/2017 | 206,000 | 214,369 | ||||||
4.63%, 02/15/2017 | 980,000 | 1,044,312 | ||||||
3.25%, 03/31/2017 | 6,295,000 | 6,587,617 | ||||||
3.13%, 04/30/2017 | 12,814,000 | 13,402,650 | ||||||
4.50%, 05/15/2017 | 4,932,000 | 5,286,487 | ||||||
2.75%, 05/31/2017 | 5,000,000 | 5,201,170 | ||||||
0.75%, 06/30/2017 | 4,360,000 | 4,367,835 | ||||||
4.75%, 08/15/2017 | 7,303,000 | 7,926,034 |
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8.88%, 08/15/2017 | 8,230,000 | 9,645,815 | ||||||
4.25%, 11/15/2017 | 3,353,000 | 3,624,385 | ||||||
2.25%, 11/30/2017 | 206,000 | 213,065 | ||||||
1.00%, 12/15/2017 | 3,895,000 | 3,909,606 | ||||||
2.75%, 12/31/2017 | 1,459,000 | 1,527,732 | ||||||
0.88%, 01/31/2018 | 245,000 | 244,981 | ||||||
2.63%, 01/31/2018 | 2,683,000 | 2,802,477 | ||||||
3.50%, 02/15/2018 | 41,363,000 | 44,138,830 | ||||||
2.88%, 03/31/2018 | 3,159,000 | 3,323,366 | ||||||
1.13%, 06/15/2018 | 1,605,000 | 1,610,141 | ||||||
1.50%, 08/31/2018 | 21,561,000 | 21,827,149 | ||||||
1.25%, 10/31/2018 | 1,930,000 | 1,935,277 | ||||||
1.25%, 11/30/2018 | 89,945,000 | 90,113,647 | ||||||
1.38%, 11/30/2018 | 7,744,000 | 7,799,052 | ||||||
1.38%, 12/31/2018 | 9,902,000 | 9,952,282 | ||||||
1.50%, 12/31/2018 | 19,265,000 | 19,442,604 | ||||||
2.75%, 02/15/2019 | 5,000,000 | 5,260,545 | ||||||
1.38%, 02/28/2019 | 2,500,000 | 2,507,228 | ||||||
1.25%, 04/30/2019 | 10,475,000 | 10,444,717 | ||||||
1.63%, 04/30/2019 | 39,785,000 | 40,204,612 | ||||||
3.13%, 05/15/2019 | 20,774,000 | 22,156,759 | ||||||
1.50%, 05/31/2019 | 4,925,000 | 4,949,625 | ||||||
1.00%, 06/30/2019 | 2,500,000 | 2,462,305 | ||||||
1.50%, 10/31/2019 | 3,515,000 | 3,513,903 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,337,620 | ||||||
1.63%, 12/31/2019 | 29,000 | 29,093 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 6,223,611 | ||||||
3.50%, 05/15/2020 | 1,300,000 | 1,412,633 | ||||||
8.75%, 05/15/2020 | 2,000,000 | 2,666,250 | ||||||
2.63%, 08/15/2020 | 37,034,000 | 38,709,196 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 8,498,580 | ||||||
2.13%, 08/31/2020 | 7,032,000 | 7,178,680 | ||||||
1.75%, 10/31/2020 | 800,000 | 800,000 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,798,150 | ||||||
2.00%, 11/30/2020 | 1,500,000 | 1,517,929 | ||||||
2.13%, 01/31/2021 | 3,000,000 | 3,048,282 | ||||||
3.63%, 02/15/2021 | 1,961,000 | 2,150,358 | ||||||
7.88%, 02/15/2021 | 900,000 | 1,193,977 | ||||||
2.00%, 02/28/2021 | 2,500,000 | 2,521,095 | ||||||
3.13%, 05/15/2021 | 4,602,000 | 4,918,746 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 2,317,421 | ||||||
2.13%, 08/15/2021 | 5,805,000 | 5,864,861 | ||||||
2.13%, 09/30/2021 | 8,755,000 | 8,834,338 | ||||||
2.00%, 10/31/2021 | 16,000,000 | 16,012,496 | ||||||
8.00%, 11/15/2021 | 4,414,000 | 6,019,592 | ||||||
1.50%, 01/31/2022 | 1,250,000 | 1,208,789 |
Table of Contents
1.75%, 05/15/2022 | 2,000,000 | 1,959,532 | ||||||
2.00%, 02/15/2023 | 500,000 | 493,867 | ||||||
7.13%, 02/15/2023 | 683,000 | 925,678 | ||||||
1.75%, 05/15/2023 | 15,090,000 | 14,580,713 | ||||||
2.50%, 08/15/2023 | 6,000,000 | 6,122,346 | ||||||
2.50%, 05/15/2024 | 10,025,000 | 10,183,205 | ||||||
2.38%, 08/15/2024 | 2,000,000 | 2,007,812 | ||||||
6.75%, 08/15/2026 | 205,000 | 291,933 | ||||||
6.63%, 02/15/2027 | 753,000 | 1,071,260 | ||||||
6.38%, 08/15/2027 | 290,000 | 408,039 | ||||||
6.13%, 11/15/2027 | 470,000 | 650,620 | ||||||
5.50%, 08/15/2028 | 1,481,000 | 1,965,681 | ||||||
5.25%, 11/15/2028 | 49,415,500 | 64,294,211 | ||||||
5.25%, 02/15/2029 | 1,113,000 | 1,449,596 | ||||||
6.13%, 08/15/2029 | 603,000 | 851,690 | ||||||
6.25%, 05/15/2030 | 789,000 | 1,136,345 | ||||||
5.38%, 02/15/2031 | 5,312,000 | 7,126,377 | ||||||
4.50%, 02/15/2036 | 6,889,000 | 8,631,166 | ||||||
4.75%, 02/15/2037 | 3,955,000 | 5,106,277 | ||||||
5.00%, 05/15/2037 | 6,294,000 | 8,405,442 | ||||||
4.38%, 02/15/2038 | 15,710,000 | 19,245,975 | ||||||
4.50%, 05/15/2038 | 1,989,000 | 2,476,770 | ||||||
3.50%, 02/15/2039 | 104,519,100 | 112,178,364 | ||||||
4.25%, 05/15/2039 | 6,800,000 | 8,173,280 | ||||||
4.50%, 08/15/2039 | 706,000 | 880,239 | ||||||
4.63%, 02/15/2040 | 4,605,000 | 5,848,709 | ||||||
2.75%, 11/15/2042 | 17,685,000 | 16,376,593 | ||||||
2.88%, 05/15/2043 (e) | 25,625,000 | 24,303,724 | ||||||
2.50%, 02/15/2045 | 1,930,000 | 1,690,560 | ||||||
United States Treasury Strip Coupon | ||||||||
0.00%, 08/15/2015 | 3,000 | 3,000 | ||||||
0.00%, 02/15/2016 | 5,805,000 | 5,798,992 | ||||||
0.00%, 08/15/2016 | 3,966,000 | 3,948,046 | ||||||
0.00%, 11/15/2016 | 4,261,000 | 4,233,350 | ||||||
0.00%, 02/15/2017 | 10,719,000 | 10,619,839 | ||||||
0.00%, 08/15/2017 | 4,176,000 | 4,112,813 | ||||||
0.00%, 11/15/2017 | 9,529,000 | 9,347,673 | ||||||
0.00%, 02/15/2018 | 3,658,000 | 3,570,285 | ||||||
0.00%, 05/15/2018 | 1,624,000 | 1,578,267 | ||||||
0.00%, 08/15/2018 | 21,739,000 | 21,020,265 | ||||||
0.00%, 11/15/2018 | 500,000 | 479,922 | ||||||
0.00%, 05/15/2019 | 20,278,000 | 19,202,718 | ||||||
0.00%, 08/15/2019 | 22,357,000 | 21,020,655 | ||||||
0.00%, 11/15/2019 | 7,500,000 | 6,995,205 | ||||||
0.00%, 02/15/2020 | 6,078,000 | 5,627,578 | ||||||
0.00%, 05/15/2020 | 37,115,000 | 34,049,746 |
Table of Contents
0.00%, 08/15/2020 | 25,243,000 | 23,031,814 | ||||||
0.00%, 02/15/2021 | 14,550,000 | 13,050,652 | ||||||
0.00%, 05/15/2021 | 14,843,000 | 13,195,947 | ||||||
0.00%, 08/15/2021 | 7,469,000 | 6,583,983 | ||||||
0.00%, 11/15/2021 | 11,144,000 | 9,761,776 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 29,452,471 | ||||||
0.00%, 05/15/2022 | 18,154,000 | 15,633,408 | ||||||
0.00%, 08/15/2022 | 12,500,000 | 10,682,975 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 14,765,918 | ||||||
0.00%, 02/15/2023 | 61,562,000 | 51,785,954 | ||||||
0.00%, 05/15/2023 | 33,770,000 | 28,089,076 | ||||||
0.00%, 08/15/2023 | 19,635,000 | 16,218,294 | ||||||
0.00%, 11/15/2023 | 9,300,000 | 7,604,219 | ||||||
0.00%, 02/15/2024 | 6,124,000 | 4,964,384 | ||||||
0.00%, 05/15/2024 | 1,322,000 | 1,064,568 | ||||||
0.00%, 08/15/2024 | 1,834,000 | 1,465,166 | ||||||
0.00%, 11/15/2024 | 6,105,000 | 4,835,905 | ||||||
0.00%, 02/15/2025 | 799,000 | 627,280 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 2,554,793 | ||||||
0.00%, 08/15/2025 | 1,360,000 | 1,052,530 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 760,626 | ||||||
0.00%, 05/15/2026 | 3,801,000 | 2,862,579 | ||||||
0.00%, 08/15/2026 | 1,681,000 | 1,253,828 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 7,551,819 | ||||||
0.00%, 02/15/2027 | 20,416,000 | 14,956,353 | ||||||
0.00%, 05/15/2027 | 1,866,000 | 1,355,565 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 3,106,787 | ||||||
0.00%, 11/15/2027 | 7,702,000 | 5,493,806 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 5,483,407 | ||||||
0.00%, 05/15/2028 | 3,071,000 | 2,147,289 | ||||||
0.00%, 08/15/2028 | 6,918,000 | 4,791,601 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 5,177,424 | ||||||
0.00%, 02/15/2029 | 7,537,000 | 5,118,158 | ||||||
0.00%, 05/15/2029 | 1,330,000 | 894,252 | ||||||
0.00%, 08/15/2029 | 4,738,000 | 3,159,279 | ||||||
0.00%, 11/15/2029 | 5,164,000 | 3,404,904 | ||||||
0.00%, 02/15/2030 | 15,187,000 | 9,919,268 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 5,475,556 | ||||||
0.00%, 08/15/2030 | 13,772,000 | 8,836,666 | ||||||
0.00%, 11/15/2030 | 7,064,000 | 4,508,217 | ||||||
0.00%, 02/15/2031 | 9,298,000 | 5,875,918 | ||||||
0.00%, 05/15/2031 | 9,225,000 | 5,752,286 | ||||||
0.00%, 08/15/2031 | 11,262,000 | 6,963,914 | ||||||
0.00%, 11/15/2031 | 7,099,000 | 4,336,687 | ||||||
0.00%, 02/15/2032 | 15,909,000 | 9,638,834 | ||||||
0.00%, 05/15/2032 | 24,453,000 | 14,651,406 |
Table of Contents
0.00%, 08/15/2032 | 10,925,000 | 6,482,862 | ||||||
0.00%, 11/15/2032 | 9,612,000 | 5,643,388 | ||||||
0.00%, 02/15/2033 | 2,000,000 | 1,163,382 | ||||||
0.00%, 05/15/2033 | 9,345,000 | 5,381,346 | ||||||
0.00%, 08/15/2033 | 4,212,000 | 2,402,828 | ||||||
0.00%, 11/15/2033 | 5,966,000 | 3,371,906 | ||||||
0.00%, 02/15/2034 | 3,959,000 | 2,213,220 | ||||||
0.00%, 05/15/2034 | 2,650,000 | 1,465,651 | ||||||
0.00%, 08/15/2034 | 2,895,000 | 1,586,749 | ||||||
0.00%, 11/15/2034 | 3,492,000 | 1,905,993 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 982,430 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,025,080 | ||||||
0.00%, 08/15/2035 | 175,000 | 92,857 | ||||||
0.00%, 05/15/2036 | 121,000 | 62,260 | ||||||
United States Treasury Strip | ||||||||
0.00%, 08/15/2039 | 1,225,000 | 562,552 | ||||||
0.00%, 05/15/2044 | 22,335,000 | 8,705,759 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 247,809 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 444,551 | ||||||
|
| |||||||
Total Government Related (Cost $1,719,838,113) | $ | 1,748,452,944 | ||||||
|
| |||||||
Mortgage Backed Obligations - 37.63% | ||||||||
A10 Securitization 2013-1 LLC | ||||||||
2.40%, 11/15/2025 (Acquired 10/28/2013, Cost $282,022) (b) | $ | 282,731 | $ | 283,552 | ||||
A10 Securitization LLC | ||||||||
3.49%, 04/15/2024 (Acquired 10/28/2013, Cost $296,684) (b) | 295,220 | 293,596 | ||||||
2.10%, 04/15/2034 (Acquired 04/24/2015, Cost $2,910,713) (b) | 2,911,000 | 2,898,695 | ||||||
3.13%, 04/15/2034 (Acquired 04/24/2015, Cost $861,993) (b) | 862,000 | 857,986 | ||||||
A10 Term Asset Financing 2013-2 LLC | ||||||||
4.38%, 11/15/2027 (Acquired 10/30/2013, Cost $424,879) (b) | 425,000 | 426,603 | ||||||
A10 Term Asset Financing 2014-1 LLC | ||||||||
1.72%, 04/15/2033 (Acquired 06/04/2014, Cost $1,795,317) (b) | 1,797,000 | 1,792,198 | ||||||
3.02%, 04/15/2033 (Acquired 06/04/2014, Cost $1,806,765) (b) | 1,807,000 | 1,805,835 | ||||||
ACRE Commercial Mortgage Trust 2014-FL2 | ||||||||
2.05%, 08/15/2031 (Acquired 08/01/2014, Cost $571,659) (b) | 572,000 | 570,477 | ||||||
2.50%, 08/15/2031 (Acquired 08/01/2014, Cost $721,155) (b) | 722,000 | 720,887 | ||||||
3.40%, 08/15/2031 (Acquired 12/11/2014, Cost $399,876) (b) | 400,000 | 398,670 | ||||||
Ajax Mortgage Loan Trust 2013-C | ||||||||
4.50%, 03/25/2035 (a) | 1,300,320 | 1,296,420 | ||||||
Ajax Mortgage Loan Trust 2014-A | ||||||||
3.75%, 10/25/2057 | 1,389,358 | 1,383,802 | ||||||
Ajax Mortgage Loan Trust 2015-B | ||||||||
3.88%, 07/25/2060 | 1,458,000 | 1,454,890 |
Table of Contents
Alternative Loan Trust 2002-11 | ||||||||
6.25%, 10/25/2032 | 3,710 | 3,794 | ||||||
Alternative Loan Trust 2002-12 | ||||||||
0.00%, 11/25/2032 PO | 19,302 | 14,402 | ||||||
Alternative Loan Trust 2003-20CB | ||||||||
5.50%, 10/25/2033 | 619,056 | 631,465 | ||||||
Alternative Loan Trust 2003-6T2 | ||||||||
5.50%, 06/25/2033 | 29,160 | 29,415 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 1,311,830 | 1,321,865 | ||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.91%, 03/25/2035 IO | 369,291 | 76,927 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
4.56%, 07/25/2035 IO | 1,166,570 | 143,076 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.88%, 06/25/2035 IO | 1,064,881 | 159,733 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 518,102 | 502,474 | ||||||
6.00%, 08/25/2035 | 15,191 | 12,231 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.86%, 09/25/2035 IO | 3,784,644 | 596,399 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 75,077 | 75,188 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
4.66%, 11/25/2035 IO | 2,261,654 | 254,440 | ||||||
5.50%, 11/25/2035 | 573,057 | 523,520 | ||||||
5.50%, 11/25/2035 | 7,268 | 7,252 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 216,346 | 204,039 | ||||||
Alternative Loan Trust 2005-J1 | ||||||||
4.91%, 02/25/2035 IO | 546,157 | 50,666 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 124,422 | 101,965 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 (f) | 37,417 | 40,682 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 198,668 | 193,226 | ||||||
Alternative Loan Trust 2006-J5 | ||||||||
4.97%, 07/25/2021 | 64,557 | 64,158 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035 (Acquired 10/28/2013, Cost $91,013) (b) | 88,413 | 91,295 | ||||||
American General Mortgage Loan Trust 2010-1 | ||||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $32,827) (b) | 32,144 | 32,123 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $1,008,874) (b) | 980,000 | 996,866 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $478,178) (b) | 464,000 | 485,219 | ||||||
ASG Resecuritization Trust 2009-1 | ||||||||
5.63%, 06/26/2037 | 457,196 | 452,104 |
Table of Contents
ASG Resecuritization Trust 2009-2 | ||||||||
4.65%, 05/24/2036 (Acquired 10/28/2013, Cost $254,412) (b) | 246,800 | 247,262 | ||||||
ASG Resecuritization Trust 2009-3 | ||||||||
2.08%, 03/26/2037 (Acquired 10/28/2013, Cost $1,505,551) (b) | 1,503,292 | 1,498,801 | ||||||
ASG Resecuritization Trust 2009-4 | ||||||||
6.00%, 06/28/2037 (Acquired 10/28/2013, Cost $279,515) (b) | 275,469 | 260,191 | ||||||
ASG Resecuritization Trust 2009-5 | ||||||||
3.32%, 02/28/2037 (Acquired 10/28/2013, Cost $127,993) (b) | 127,027 | 127,650 | ||||||
ASG Resecuritization Trust 2010-1 | ||||||||
0.58%, 02/27/2036 (Acquired 10/28/2013, Cost $90,047) (b) | 92,101 | 89,798 | ||||||
ASG Resecuritization Trust 2010-2 | ||||||||
1.79%, 01/28/2037 | 563,009 | 555,352 | ||||||
ASG Resecuritization Trust 2011-1 | ||||||||
4.00%, 09/28/2020 (Acquired 10/28/2013, Cost $80,826) (b) | 80,189 | 80,374 | ||||||
2.56%, 11/28/2035 (Acquired 10/28/2013, Cost $588,182) (b) | 598,006 | 588,459 | ||||||
6.00%, 09/28/2036 (Acquired 10/28/2013, Cost $633,101) (b) | 613,844 | 570,559 | ||||||
ASG Resecuritization Trust 2011-2 | ||||||||
23.59%, 02/28/2036 (Acquired 10/28/2013, Cost $28,726) (b) | 24,308 | 29,170 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030 (Acquired 10/28/2013, Cost $780,379) (b) | 809,000 | 798,832 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.35%, 08/15/2046 (Acquired 08/01/2014, Cost $1,145,973) (b) | 1,200,000 | 1,112,436 | ||||||
Banc of America Alternative Loan Trust 2003-1 | ||||||||
0.00%, 02/25/2033 PO | 21,116 | 17,651 | ||||||
Banc of America Alternative Loan Trust 2003-11 | ||||||||
4.75%, 01/25/2019 | 15,527 | 15,651 | ||||||
0.00%, 01/25/2034 PO | 51,381 | 44,665 | ||||||
6.00%, 01/25/2034 | 435,281 | 453,153 | ||||||
6.00%, 01/25/2034 | 449,582 | 473,148 | ||||||
Banc of America Alternative Loan Trust 2003-4 | ||||||||
5.00%, 06/25/2018 | 306,108 | 312,504 | ||||||
Banc of America Alternative Loan Trust 2003-5 | ||||||||
5.00%, 07/25/2018 | 102,299 | 104,133 | ||||||
Banc of America Alternative Loan Trust 2003-7 | ||||||||
5.00%, 09/25/2018 | 165,710 | 167,534 | ||||||
5.50%, 09/25/2033 | 456,861 | 475,250 | ||||||
Banc of America Alternative Loan Trust 2004-1 | ||||||||
5.50%, 02/25/2019 | 66,331 | 67,719 | ||||||
6.00%, 02/25/2034 | 124,818 | 132,653 | ||||||
Banc of America Alternative Loan Trust 2004-11 | ||||||||
5.50%, 12/25/2019 | 13,426 | 13,781 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 16,665 | 16,134 | ||||||
Banc of America Alternative Loan Trust 2004-7 | ||||||||
5.00%, 08/25/2019 | 250,633 | 257,432 |
Table of Contents
Banc of America Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 126,804 | 124,290 | ||||||
Banc of America Alternative Loan Trust 2005-10 | ||||||||
5.25%, 11/25/2020 | 50,583 | 51,596 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 26,554 | 24,115 | ||||||
Banc of America Alternative Loan Trust 2005-2 | ||||||||
5.50%, 03/25/2020 | 20,180 | 20,769 | ||||||
5.50%, 03/25/2035 | 16,927 | 15,691 | ||||||
Banc of America Alternative Loan Trust 2005-4 | ||||||||
5.50%, 05/25/2020 | 130,953 | 132,526 | ||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 83,841 | 78,927 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 39,442 | 36,041 | ||||||
Banc of America Alternative Loan Trust 2006-5 | ||||||||
6.00%, 06/25/2046 | 91,373 | 77,911 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.94%, 04/25/2022 | 103,746 | 104,008 | ||||||
Banc of America Commercial Mortgage Trust 2006-1 | ||||||||
5.37%, 09/10/2045 | 1,521,997 | 1,529,768 | ||||||
5.38%, 09/10/2045 | 14,913,021 | 15,070,159 | ||||||
Banc of America Commercial Mortgage Trust 2006-2 | ||||||||
5.95%, 05/10/2045 | 10,000,000 | 10,373,060 | ||||||
Banc of America Commercial Mortgage Trust 2006-3 | ||||||||
5.89%, 07/10/2044 | 1,684,612 | 1,735,068 | ||||||
Banc of America Commercial Mortgage Trust 2006-4 | ||||||||
5.63%, 07/10/2046 | 1,034,303 | 1,061,289 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.82%, 09/10/2047 (Acquired 10/28/2013, Cost $291,268) (b) | 21,127,815 | 139,549 | ||||||
5.41%, 09/10/2047 | 1,715,000 | 1,763,207 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.36%, 02/10/2051 | 9,044,332 | 9,658,243 | ||||||
5.49%, 02/10/2051 | 2,986,531 | 3,152,836 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 PO | 59,141 | 48,597 | ||||||
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 4,492,057 | 4,840,246 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
2.91%, 12/20/2034 | 105,475 | 104,337 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 76,305 | 75,180 | ||||||
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 PO | 67,229 | 54,292 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 PO | 27,684 | 19,321 |
Table of Contents
Banc of America Funding 2005-C Trust | ||||||||
0.43%, 05/20/2035 | 7,233,898 | 6,692,217 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
2.70%, 03/20/2035 | 163,423 | 162,877 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 PO | 61,320 | 47,817 | ||||||
Banc of America Funding 2010-R11 Trust | ||||||||
5.20%, 08/26/2035 (Acquired 10/28/2013, Cost $487,084) (b) | 480,779 | 486,737 | ||||||
Banc of America Funding 2010-R5 Trust | ||||||||
5.50%, 10/26/2037 (Acquired 10/28/2013, Cost $26,235) (b) | 25,829 | 25,823 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Inc | ||||||||
5.52%, 11/10/2042 | 166,180 | 166,028 | ||||||
4.73%, 07/10/2043 | 331,314 | 331,986 | ||||||
0.24%, 10/10/2045 (Acquired 10/28/2013, Cost $95,724) (b) | 36,038,127 | 6,162 | ||||||
5.12%, 10/10/2045 | 5,331,351 | 5,334,396 | ||||||
Banc of America Mortgage 2003-3 Trust | ||||||||
0.74%, 05/25/2018 | 90,109 | 87,694 | ||||||
5.50%, 05/25/2033 | 280,131 | 288,325 | ||||||
Banc of America Mortgage 2003-5 Trust | ||||||||
7.50%, 02/25/2031 | 47,117 | 48,581 | ||||||
Banc of America Mortgage 2003-6 Trust | ||||||||
0.64%, 08/25/2018 | 24,997 | 24,749 | ||||||
Banc of America Mortgage 2003-7 Trust | ||||||||
4.75%, 09/25/2018 | 3,849 | 3,895 | ||||||
Banc of America Mortgage 2003-8 Trust | ||||||||
0.00%, 11/25/2033 PO | 25,571 | 21,034 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
2.62%, 04/25/2033 | 31,272 | 31,744 | ||||||
Banc of America Mortgage 2003-E Trust | ||||||||
2.82%, 06/25/2033 | 204,622 | 205,446 | ||||||
Banc of America Mortgage 2004-J Trust | ||||||||
2.86%, 11/25/2034 | 120,248 | 117,910 | ||||||
Banc of America Mortgage Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 3,562 | 3,252 | ||||||
Banc of America Mortgage Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 280,393 | 285,357 | ||||||
Banc of America Mortgage Trust 2004-4 | ||||||||
0.00%, 05/25/2034 PO | 7,408 | 6,449 | ||||||
Banc of America Mortgage Trust 2004-5 | ||||||||
4.75%, 06/25/2019 | 26,997 | 27,261 | ||||||
5.50%, 06/25/2034 | 88,720 | 90,402 | ||||||
Banc of America Mortgage Trust 2004-6 | ||||||||
5.50%, 05/25/2034 | 607,138 | 640,954 | ||||||
0.00%, 07/25/2034 PO | 37,430 | 33,502 | ||||||
5.50%, 07/25/2034 | 19,365 | 19,318 | ||||||
Banc of America Mortgage Trust 2004-8 | ||||||||
0.00%, 05/25/2032 PO | 2,711 | 2,370 | ||||||
0.00%, 10/25/2034 PO | 13,873 | 11,923 |
Table of Contents
Banc of America Mortgage Trust 2004-9 | ||||||||
0.00%, 09/25/2032 PO | 674 | 621 | ||||||
6.50%, 09/25/2032 | 47,768 | 49,901 | ||||||
Banc of America Mortgage Trust 2005-1 | ||||||||
5.00%, 02/25/2020 | 107,640 | 110,412 | ||||||
Banc of America Re-REMIC Trust 2009-UBER1 | ||||||||
5.67%, 06/24/2050 (Acquired 10/28/2013, Cost $978,897) (b) | 897,555 | 926,905 | ||||||
Battalion CLO V Ltd | ||||||||
1.77%, 04/17/2026 | 9,650,000 | 9,634,068 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030 (Acquired 10/28/2013, Cost $2,832,546) (b) | 2,941,000 | 2,902,079 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/05/2036 (Acquired 10/28/2013 through 12/04/2013, Cost $2,471,879) (b) | 2,602,000 | 2,584,874 | ||||||
BCAP LLC 2009-RR10 Trust | ||||||||
5.75%, 06/26/2037 (Acquired 10/28/2013, Cost $46,053) (b) | 46,104 | 46,355 | ||||||
BCAP LLC 2009-RR13-I Trust | ||||||||
5.50%, 04/26/2037 (Acquired 10/28/2013, Cost $414,845) (b) | 402,411 | 412,587 | ||||||
BCAP LLC 2009-RR14 Trust | ||||||||
2.42%, 08/26/2035 (Acquired 10/28/2013, Cost $671,097) (b) | 712,954 | 713,038 | ||||||
BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/26/2034 (Acquired 10/28/2013, Cost $311,261) (b) | 306,973 | 321,677 | ||||||
BCAP LLC 2010-RR12 Trust | ||||||||
4.50%, 01/26/2036 (Acquired 10/28/2013, Cost $126,209) (b) | 124,989 | 125,215 | ||||||
2.52%, 10/26/2036 (Acquired 10/28/2013, Cost $341,871) (b) | 339,052 | 335,674 | ||||||
BCAP LLC 2010-RR4-I Trust | ||||||||
4.00%, 07/26/2036 (Acquired 10/28/2013, Cost $3,635) (b) | 3,625 | 3,622 | ||||||
BCAP LLC 2010-RR5-I Trust | ||||||||
5.40%, 04/26/2037 (Acquired 10/28/2013, Cost $483,799) (b) | 484,494 | 493,160 | ||||||
BCAP LLC 2010-RR6 Trust | ||||||||
5.64%, 06/26/2036 (Acquired 10/28/2013, Cost $209,288) (b) | 203,225 | 204,296 | ||||||
BCAP LLC 2010-RR7 Trust | ||||||||
2.61%, 04/26/2035 (Acquired 10/28/2013, Cost $183,500) (b) | 186,721 | 184,343 | ||||||
2.18%, 07/26/2045 (Acquired 10/28/2013, Cost $1,663,142) (b) | 1,711,890 | 1,715,057 | ||||||
0.85%, 02/26/2047 (Acquired 10/28/2013, Cost $163,344) (b) | 167,445 | 166,678 | ||||||
BCAP LLC 2010-RR8 Trust | ||||||||
5.06%, 05/26/2035 (Acquired 10/28/2013, Cost $74,212) (b) | 72,988 | 72,851 | ||||||
5.06%, 05/26/2035 (Acquired 10/28/2013, Cost $997,394) (b) | 1,032,000 | 983,984 | ||||||
BCAP LLC 2011-RR10 Trust | ||||||||
0.97%, 09/26/2037 (Acquired 10/28/2013, Cost $1,245,591) (b) | 1,338,279 | 1,286,305 | ||||||
BCAP LLC 2011-RR11 Trust | ||||||||
4.00%, 08/26/2021 (Acquired 10/28/2013, Cost $232,475) (b) | 229,872 | 232,126 | ||||||
3.00%, 08/26/2022 (Acquired 10/28/2013, Cost $145,589) (b) | 145,120 | 145,304 | ||||||
BCAP LLC 2011-RR4-I Trust | ||||||||
5.00%, 08/26/2037 (Acquired 10/28/2013, Cost $1,204,251) (b) | 1,198,615 | 1,216,228 |
Table of Contents
BCAP LLC 2011-RR5-I Trust | ||||||||
0.33%, 05/28/2036 (Acquired 10/28/2013, Cost $742,930) (b) | 784,625 | 772,689 | ||||||
BCAP LLC 2012-RR1 Trust | ||||||||
6.54%, 07/26/2037 (Acquired 10/28/2013, Cost $573,818) (b) | 559,608 | 597,614 | ||||||
BCAP LLC 2012-RR10-I Trust | ||||||||
0.37%, 05/26/2036 (Acquired 10/28/2013, Cost $1,334,056) (b) | 1,401,797 | 1,337,721 | ||||||
0.41%, 02/26/2037 (Acquired 10/28/2013, Cost $504,068) (b) | 528,378 | 510,137 | ||||||
BCAP LLC 2012-RR2 Trust | ||||||||
0.35%, 08/26/2036 (Acquired 10/28/2013, Cost $576,092) (b) | 594,612 | 585,715 | ||||||
BCAP LLC 2012-RR3 Trust | ||||||||
2.05%, 05/26/2037 (Acquired 10/28/2013, Cost $1,335,531) (b) | 1,349,909 | 1,352,596 | ||||||
BCAP LLC 2012-RR4 Trust | ||||||||
0.41%, 06/26/2047 (Acquired 10/28/2013, Cost $653,675) (b) | 687,151 | 660,981 | ||||||
BCAP LLC 2015-RR1 | ||||||||
1.18%, 09/11/2038 (Acquired 03/24/2015, Cost $1,776,861) (b) | 1,891,360 | 1,761,612 | ||||||
Bear Stearns ALT-A Trust 2005-2 | ||||||||
0.69%, 03/25/2035 | 383,349 | 376,582 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
2.51%, 01/25/2033 (Acquired 10/28/2013, Cost $227,877) (b) | 237,169 | 239,180 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
2.48%, 10/25/2033 | 25,086 | 25,104 | ||||||
Bear Stearns ARM Trust 2004-2 | ||||||||
3.09%, 05/25/2034 | 115,003 | 114,529 | ||||||
Bear Stearns ARM Trust 2005-5 | ||||||||
2.16%, 08/25/2035 | 738,939 | 744,284 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
2.36%, 02/25/2036 | 679,697 | 674,356 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 103,443 | 104,128 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9 | ||||||||
4.87%, 09/11/2042 | 410,307 | 409,983 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11 | ||||||||
5.60%, 03/11/2039 | 813,235 | 823,555 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.83%, 12/11/2038 (Acquired 10/28/2013, Cost $296,278) (b) | 22,168,913 | 178,105 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.54%, 10/12/2041 | 252,271 | 262,122 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.30%, 01/12/2045 (Acquired 10/28/2013, Cost $326,487) (b) | 62,719,648 | 205,846 | ||||||
CAM Mortgage Trust 2013-1 | ||||||||
3.50%, 11/25/2057 (Acquired 10/02/2014, Cost $1,060,797) (a)(b) | 1,060,797 | 1,061,742 | ||||||
CD 2005-CD1 Commercial Mortgage Trust | ||||||||
5.38%, 07/15/2044 | 3,950,083 | 3,953,192 | ||||||
5.38%, 07/15/2044 | 619,000 | 622,997 | ||||||
CD 2006-CD3 Mortgage Trust | ||||||||
0.71%, 10/15/2048 (Acquired 10/28/2013, Cost $200,486) (b) | 11,301,887 | 111,923 |
Table of Contents
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
0.55%, 12/11/2049 | 21,775,778 | 109,641 | ||||||
5.32%, 12/11/2049 | 7,250,000 | 7,553,652 | ||||||
CGBAM Commercial Mortgage Trust 2014-HD | ||||||||
0.99%, 02/15/2031 (Acquired 05/13/2014, Cost $900,000) (b) | 900,000 | 896,584 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
2.53%, 09/25/2036 | 324,064 | 286,723 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
2.53%, 02/25/2037 | 37,724 | 37,734 | ||||||
2.55%, 02/25/2037 | 130,229 | 128,362 | ||||||
2.57%, 02/25/2037 | 146,741 | 145,320 | ||||||
2.64%, 02/25/2037 | 266,923 | 267,139 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
2.51%, 07/25/2037 | 157,343 | 158,782 | ||||||
2.70%, 07/25/2037 | 108,182 | 107,581 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 PO | 19,402 | 16,663 | ||||||
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 73,535 | 77,212 | ||||||
5.75%, 04/25/2034 | 50,101 | 52,163 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 343,083 | 356,686 | ||||||
CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
2.51%, 06/25/2034 | 20,992 | 20,564 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2019 | 142,565 | 146,565 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
2.51%, 05/20/2034 | 38,378 | 36,575 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
2.29%, 06/20/2034 | 165,872 | 157,515 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
2.43%, 11/20/2034 | 108,884 | 104,237 | ||||||
CHL Mortgage Pass-Through Trust 2004-J8 | ||||||||
4.75%, 11/25/2019 | 16,166 | 16,552 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 53,763 | 54,212 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 27,805 | 27,221 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
2.46%, 11/25/2035 | 418,706 | 354,796 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 26,324 | 27,230 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 140,072 | 141,467 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC19 | ||||||||
3.75%, 03/10/2047 | 7,125,000 | 7,374,382 |
Table of Contents
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,920,000 | 7,123,621 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/10/2047 | 12,300,000 | 12,433,270 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC29 | ||||||||
2.94%, 04/10/2048 | 10,000,000 | 9,689,890 | ||||||
Citigroup Mortgage Loan Trust 2008-AR4 | ||||||||
2.52%, 11/25/2038 (Acquired 10/28/2013, Cost $1,158,465) (b) | 1,147,808 | 1,149,213 | ||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
2.41%, 09/25/2033 (Acquired 10/28/2013, Cost $694,637) (b) | 685,783 | 694,947 | ||||||
7.00%, 12/25/2035 (Acquired 10/28/2013, Cost $532,800) (b) | 517,558 | 538,641 | ||||||
Citigroup Mortgage Loan Trust 2009-11 | ||||||||
5.75%, 05/25/2037 (Acquired 10/28/2013, Cost $482,419) (b) | 472,881 | 487,795 | ||||||
Citigroup Mortgage Loan Trust 2009-5 | ||||||||
6.00%, 06/25/2036 (Acquired 10/28/2013, Cost $241,787) (b) | 238,338 | 248,221 | ||||||
Citigroup Mortgage Loan Trust 2009-8 | ||||||||
6.00%, 11/25/2036 (Acquired 10/28/2013, Cost $204,754) (b) | 198,946 | 208,964 | ||||||
Citigroup Mortgage Loan Trust 2010-10 | ||||||||
2.47%, 02/25/2036 (Acquired 10/28/2013, Cost $329,414) (b) | 327,310 | 331,791 | ||||||
Citigroup Mortgage Loan Trust 2010-3 | ||||||||
2.36%, 02/25/2036 (Acquired 10/28/2013, Cost $131,393) (b) | 131,024 | 130,666 | ||||||
Citigroup Mortgage Loan Trust 2010-7 | ||||||||
2.61%, 02/25/2035 (Acquired 10/28/2013, Cost $139,023) (b) | 137,589 | 137,076 | ||||||
Citigroup Mortgage Loan Trust 2010-8 | ||||||||
4.00%, 11/25/2036 (Acquired 10/28/2013, Cost $1,940,025) (b) | 1,928,859 | 1,955,449 | ||||||
4.50%, 12/25/2036 (Acquired 10/28/2013, Cost $2,132,742) (b) | 2,093,800 | 2,135,877 | ||||||
Citigroup Mortgage Loan Trust 2015-A | ||||||||
4.50%, 06/25/2058 (Acquired 03/31/2015, Cost $490,031) (b) | 497,626 | 476,817 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.00%, 06/25/2016 PO | 61 | 60 | ||||||
0.00%, 12/25/2018 PO | 4,658 | 4,433 | ||||||
0.00%, 12/25/2018 PO | 4,572 | 4,425 | ||||||
5.50%, 12/25/2018 | 27,234 | 27,352 | ||||||
0.00%, 09/25/2033 PO | 13,067 | 11,654 | ||||||
7.00%, 09/25/2033 | 16,824 | 17,411 | ||||||
0.00%, 10/25/2033 PO | 13,293 | 11,971 | ||||||
5.25%, 10/25/2033 | 105,426 | 107,484 | ||||||
0.57%, 12/25/2033 | 74,993 | 71,916 | ||||||
2.26%, 08/25/2034 | 63,780 | 61,135 | ||||||
2.62%, 04/25/2035 | 45,561 | 35,700 | ||||||
5.50%, 05/25/2035 | 222,286 | 231,470 | ||||||
2.48%, 08/25/2035 | 129,282 | 94,421 | ||||||
5.50%, 11/25/2035 (f) | 29,792 | 29,535 | ||||||
6.00%, 11/25/2035 (f) | 5,905,599 | 5,620,005 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.98%, 08/15/2048 | 14,799,121 | 148,938 | ||||||
5.22%, 08/15/2048 | 507,345 | 527,643 | ||||||
5.25%, 08/15/2048 | 578,000 | 592,766 |
Table of Contents
COMM 2005-C6 Mortgage Trust | ||||||||
5.12%, 06/10/2044 | 868,366 | 867,869 | ||||||
COMM 2006-C7 Mortgage Trust | ||||||||
5.94%, 06/10/2046 | 1,676,074 | 1,715,551 | ||||||
COMM 2012-9W57 Mortgage Trust | ||||||||
2.36%, 02/10/2029 (Acquired 10/28/2013, Cost $1,052,765) (b) | 1,032,000 | 1,048,489 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/15/2045 | 4,035,538 | 4,176,637 | ||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
2.05%, 08/15/2045 | 3,358,138 | 309,580 | ||||||
3.15%, 08/15/2045 | 9,614,464 | 9,785,178 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030 (Acquired 10/28/2013, Cost $533,344) (b) | 516,000 | 552,986 | ||||||
COMM 2013-CCRE10 Mortgage Trust | ||||||||
3.92%, 08/10/2046 | 4,125,000 | 4,380,135 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/10/2046 | 7,700,000 | 8,086,563 | ||||||
COMM 2013-CCRE9 Mortgage Trust | ||||||||
4.02%, 07/10/2045 | 4,000,000 | 4,275,412 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
3.09%, 04/12/2035 (Acquired 10/28/2013, Cost $677,113) (b) | 708,000 | 698,614 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/10/2047 | 6,100,000 | 6,290,857 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/10/2047 | 5,000,000 | 5,186,535 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/10/2047 | 12,000,000 | 12,059,700 | ||||||
COMM 2014-KYO Mortgage Trust | ||||||||
1.09%, 06/11/2027 (Acquired 06/20/2014, Cost $4,232,000) (b) | 4,232,000 | 4,229,677 | ||||||
COMM 2014-PAT Mortgage Trust | ||||||||
0.99%, 08/13/2027 (Acquired 09/18/2014, Cost $1,649,000) (b) | 1,649,000 | 1,639,363 | ||||||
COMM 2014-TWC Mortgage Trust | ||||||||
1.04%, 02/13/2032 (Acquired 01/30/2014, Cost $3,251,315) (b) | 3,250,000 | 3,240,013 | ||||||
1.79%, 02/13/2032 (Acquired 08/12/2014, Cost $1,002,502) (b) | 1,000,000 | 1,000,461 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/10/2047 | 11,000,000 | 11,332,211 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
2.12%, 11/17/2026 (Acquired 10/28/2013, Cost $194,965) (b) | 194,921 | 194,866 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
6.01%, 07/10/2038 | 310,000 | 321,205 | ||||||
COOF Securitization Trust 2014-1 Ltd | ||||||||
3.03%, 06/25/2040 (Acquired 05/16/2014, Cost $453,690) (b) | 3,246,207 | 459,014 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2006-C2 | ||||||||
5.86%, 03/15/2039 | 686,419 | 696,488 | ||||||
5.86%, 03/15/2039 | 11,159,192 | 11,407,093 |
Table of Contents
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.22%, 01/15/2049 (Acquired 10/28/2013, Cost $76,568) (b) | 23,191,834 | 44,760 | ||||||
Credit Suisse First Boston Mortgage Securities Corp | ||||||||
4.50%, 10/25/2018 | 9,688 | 9,652 | ||||||
5.00%, 10/25/2018 | 41,070 | 41,377 | ||||||
0.00%, 08/25/2019 PO | 2,151 | 2,131 | ||||||
5.25%, 08/25/2019 | 104,215 | 106,685 | ||||||
6.71%, 02/25/2033 | 148,229 | 149,939 | ||||||
2.83%, 06/25/2033 | 74,701 | 74,509 | ||||||
5.25%, 09/25/2033 | 165,359 | 170,880 | ||||||
0.00%, 10/25/2033 PO | 117,402 | 100,969 | ||||||
5.25%, 11/25/2033 | 91,169 | 93,037 | ||||||
5.25%, 11/25/2033 | 243,977 | 249,201 | ||||||
5.50%, 09/25/2034 | 171,741 | 187,525 | ||||||
5.50%, 12/25/2034 | 281,623 | 304,565 | ||||||
0.00%, 10/25/2035 PO | 36,469 | 26,074 | ||||||
5.50%, 10/25/2035 IO | 463,521 | 79,306 | ||||||
0.00%, 11/25/2035 PO | 24,993 | 15,942 | ||||||
5.10%, 08/15/2038 | 278,575 | 278,204 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
6.00%, 01/27/2038 (Acquired 10/28/2013, Cost $311,102) (b) | 305,490 | 314,088 | ||||||
CSAIL 2015-C1 Commercial Mortgage Trust | ||||||||
3.24%, 04/15/2050 | 15,000,000 | 15,009,600 | ||||||
CSMC Series 2010-11R | ||||||||
1.17%, 06/28/2047 | 5,917,437 | 5,696,582 | ||||||
CSMC Series 2010-17R | ||||||||
2.31%, 06/26/2036 (Acquired 10/28/2013, Cost $360,513) (b) | 352,410 | 357,415 | ||||||
CSMC Series 2010-1R | ||||||||
4.96%, 01/27/2036 (Acquired 10/28/2013, Cost $34,063) (b) | 33,300 | 33,411 | ||||||
CSMC Series 2011-16R | ||||||||
3.50%, 12/27/2036 (Acquired 10/28/2013, Cost $748,566) (b) | 740,127 | 745,374 | ||||||
CSMC Series 2011-6R | ||||||||
2.67%, 07/28/2036 (Acquired 10/28/2013, Cost $319,906) (b) | 323,165 | 325,124 | ||||||
CSMC Series 2011-9R | ||||||||
2.17%, 03/27/2046 (Acquired 10/28/2013, Cost $493,737) (b) | 493,239 | 493,872 | ||||||
CSMC Series 2012-2R | ||||||||
2.47%, 03/27/2047 | 382,993 | 378,319 | ||||||
CSMC Series 2012-3R | ||||||||
2.29%, 07/27/2037 | 754,313 | 751,593 | ||||||
CSMC Series 2014-ICE | ||||||||
0.99%, 04/15/2027 (Acquired 05/30/2014, Cost $2,690,000) (b) | 2,690,000 | 2,683,119 | ||||||
CSMC Trust 2010-16 | ||||||||
3.75%, 06/25/2050 (Acquired 10/28/2013, Cost $627,125) (b) | 632,694 | 636,450 | ||||||
DBRR 2013-EZ2 Trust | ||||||||
0.85%, 02/25/2045 (Acquired 10/28/2013, Cost $33,538) (b) | 33,653 | 33,649 |
Table of Contents
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.56%, 07/10/2044 (Acquired 10/28/2013, Cost $232,970) (b) | 4,096,588 | 168,251 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-1 | ||||||||
5.77%, 02/25/2020 | 105,362 | 108,421 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-3 | ||||||||
5.28%, 06/25/2020 | 120,718 | 121,563 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5 | ||||||||
6.00%, 10/25/2021 | 108,400 | 94,763 | ||||||
Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | ||||||||
0.00%, 10/25/2018 PO | 4,551 | 4,469 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4 | ||||||||
6.00%, 04/25/2034 | 4,325 | 4,430 | ||||||
Fannie Mae | ||||||||
3.30%, 07/31/2030 | 1,005,000 | 1,009,789 | ||||||
3.39%, 09/30/2030 | 2,000,000 | 2,031,250 | ||||||
3.00%, 07/15/2042 (d) | 18,500,000 | 18,387,263 | ||||||
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039 | 149,946 | 165,556 | ||||||
Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 196,006 | 228,549 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 202,054 | 240,868 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 58,988 | 70,031 | ||||||
Fannie Mae Grantor Trust 2004-T2 | ||||||||
3.41%, 07/25/2043 | 260,804 | 271,204 | ||||||
7.50%, 11/25/2043 | 425,469 | 504,316 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
8.95%, 01/25/2044 | 57,798 | 66,763 | ||||||
6.50%, 02/25/2044 | 613,254 | 688,211 | ||||||
7.00%, 02/25/2044 | 244,203 | 278,685 | ||||||
Fannie Mae Strip | ||||||||
10.00%, 09/25/2017 IO | 124 | 11 | ||||||
4.50%, 07/25/2018 IO | 54,707 | 2,657 | ||||||
4.50%, 08/25/2018 IO | 76,139 | 3,319 | ||||||
5.50%, 08/25/2018 IO | 43,322 | 2,261 | ||||||
10.50%, 03/25/2019 IO | 130 | 18 | ||||||
4.50%, 11/25/2020 IO | 11,989 | 714 | ||||||
7.50%, 04/25/2023 IO | 2,239 | 478 | ||||||
9.00%, 03/25/2024 | 1,631 | 1,897 | ||||||
0.00%, 09/25/2024 PO | 174,181 | 165,985 | ||||||
0.00%, 01/25/2033 PO | 23,114 | 21,235 | ||||||
5.00%, 12/25/2033 IO | 29,100 | 6,358 | ||||||
5.50%, 05/25/2036 IO | 129,194 | 30,536 | ||||||
5.50%, 08/25/2036 IO | 84,389 | 19,083 | ||||||
5.50%, 04/25/2037 IO | 34,913 | 7,701 | ||||||
6.00%, 01/25/2038 IO | 90,131 | 18,277 |
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0.69%, 08/25/2042 | 1,286,093 | 1,289,973 | ||||||
0.74%, 08/25/2042 | 3,718,157 | 3,711,127 | ||||||
Fannie Mae Pool | ||||||||
8.00%, 11/01/2015 | 18 | 18 | ||||||
6.00%, 06/01/2016 | 612 | 620 | ||||||
3.98%, 11/01/2016 | 1,032,000 | 1,030,064 | ||||||
1.94%, 01/01/2017 | 494,661 | 494,300 | ||||||
5.50%, 03/01/2017 | 4,933 | 5,047 | ||||||
6.50%, 03/01/2017 | 2,916 | 2,987 | ||||||
7.00%, 03/01/2017 | 2,057 | 2,103 | ||||||
7.00%, 03/01/2017 | 3,050 | 3,146 | ||||||
7.50%, 03/01/2017 | 251 | 251 | ||||||
5.24%, 05/01/2017 | 891,960 | 948,419 | ||||||
7.00%, 05/01/2017 | 2,121 | 2,187 | ||||||
3.82%, 06/01/2017 | 1,421,519 | 1,493,265 | ||||||
7.00%, 06/01/2017 | 1,929 | 2,002 | ||||||
7.00%, 06/01/2017 | 1,388 | 1,438 | ||||||
3.39%, 08/01/2017 | 274,000 | 286,259 | ||||||
6.00%, 08/01/2017 | 1,489 | 1,512 | ||||||
6.50%, 08/01/2017 | 2,251 | 2,320 | ||||||
5.50%, 09/01/2017 | 6,875 | 7,063 | ||||||
7.00%, 09/01/2017 | 2,768 | 2,872 | ||||||
2.49%, 10/01/2017 | 460,390 | 471,397 | ||||||
2.62%, 10/01/2017 | 599,000 | 614,888 | ||||||
2.69%, 10/01/2017 | 393,452 | 404,355 | ||||||
5.90%, 10/01/2017 | 2,289,563 | 2,492,463 | ||||||
6.50%, 10/01/2017 | 2,673 | 2,715 | ||||||
6.00%, 11/01/2017 | 33,101 | 33,996 | ||||||
6.00%, 11/01/2017 | 3,358 | 3,450 | ||||||
6.50%, 11/01/2017 | 3,658 | 3,794 | ||||||
7.00%, 11/01/2017 | 2,917 | 2,961 | ||||||
3.38%, 01/01/2018 | 1,032,000 | 1,081,518 | ||||||
3.52%, 01/01/2018 | 636,914 | 670,131 | ||||||
3.54%, 01/01/2018 | 961,175 | 1,010,490 | ||||||
3.63%, 01/01/2018 | 310,000 | 326,772 | ||||||
5.50%, 02/01/2018 | 23,985 | 25,023 | ||||||
5.50%, 02/01/2018 | 39,020 | 40,469 | ||||||
3.80%, 03/01/2018 | 579,433 | 613,933 | ||||||
6.00%, 03/01/2018 | 11,076 | 11,374 | ||||||
6.50%, 03/01/2018 | 1,566 | 1,570 | ||||||
5.00%, 04/01/2018 | 15,216 | 15,928 | ||||||
4.50%, 05/01/2018 | 8,172 | 8,509 | ||||||
5.00%, 05/01/2018 | 46,784 | 48,975 | ||||||
5.00%, 05/01/2018 | 22,464 | 23,516 | ||||||
6.00%, 05/01/2018 | 5,493 | 5,713 | ||||||
9.00%, 05/01/2018 | 744 | 791 |
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3.64%, 06/01/2018 | 700,372 | 741,084 | ||||||
3.74%, 06/01/2018 | 1,945,796 | 2,060,303 | ||||||
4.50%, 06/01/2018 | 1,668 | 1,736 | ||||||
4.50%, 06/01/2018 | 11,552 | 12,029 | ||||||
5.00%, 06/01/2018 | 48,821 | 51,106 | ||||||
5.00%, 06/01/2018 | 9,321 | 9,758 | ||||||
5.00%, 06/01/2018 | 37,261 | 39,006 | ||||||
4.50%, 07/01/2018 | 15,278 | 15,905 | ||||||
5.00%, 07/01/2018 | 56,742 | 59,399 | ||||||
4.50%, 08/01/2018 | 10,770 | 11,213 | ||||||
4.50%, 08/01/2018 | 20,317 | 21,154 | ||||||
5.00%, 08/01/2018 | 30,514 | 31,943 | ||||||
5.00%, 09/01/2018 | 41,241 | 43,172 | ||||||
4.50%, 10/01/2018 | 27,039 | 28,153 | ||||||
5.00%, 10/01/2018 | 26,289 | 27,520 | ||||||
5.00%, 10/01/2018 | 26,193 | 27,419 | ||||||
4.50%, 11/01/2018 | 42,896 | 44,670 | ||||||
5.00%, 11/01/2018 | 25,163 | 26,341 | ||||||
5.00%, 11/01/2018 | 5,981 | 6,261 | ||||||
5.00%, 11/01/2018 | 52,354 | 55,513 | ||||||
6.07%, 11/01/2018 | 591,077 | 632,950 | ||||||
3.04%, 12/01/2018 | 1,238,000 | 1,291,652 | ||||||
4.50%, 12/01/2018 | 107,359 | 111,821 | ||||||
5.00%, 12/01/2018 | 377 | 398 | ||||||
5.00%, 12/01/2018 | 127,798 | 133,781 | ||||||
9.50%, 12/01/2018 | 1,395 | 1,516 | ||||||
1.91%, 01/01/2019 | 506 | 528 | ||||||
6.00%, 01/01/2019 | 15,598 | 16,118 | ||||||
0.73%, 02/01/2019 | 4,779,497 | 4,801,877 | ||||||
1.91%, 03/01/2019 | 1,472 | 1,517 | ||||||
4.50%, 03/01/2019 | 32,084 | 33,502 | ||||||
6.00%, 03/01/2019 | 37,270 | 38,627 | ||||||
2.14%, 04/01/2019 | 2,016,277 | 2,047,102 | ||||||
3.50%, 04/01/2019 | 32,589 | 34,343 | ||||||
5.00%, 04/01/2019 | 106,661 | 113,213 | ||||||
5.00%, 04/01/2019 | 1,875 | 1,963 | ||||||
10.51%, 04/15/2019 | 5,236 | 5,866 | ||||||
2.19%, 05/01/2019 | 974,721 | 990,946 | ||||||
4.50%, 05/01/2019 | 8,868 | 9,277 | ||||||
2.45%, 06/01/2019 | 1,622,643 | 1,662,225 | ||||||
2.48%, 06/01/2019 | 2,932,822 | 3,002,237 | ||||||
4.50%, 06/01/2019 | 64,475 | 67,314 | ||||||
1.94%, 07/01/2019 | 1,320,287 | 1,325,755 | ||||||
2.20%, 07/01/2019 | 737,141 | 748,922 | ||||||
2.37%, 07/01/2019 | 1,548,000 | 1,583,386 | ||||||
5.50%, 07/01/2019 | 79,625 | 84,262 |
Table of Contents
6.00%, 07/01/2019 | 9,642 | 9,944 | ||||||
2.03%, 08/01/2019 | 4,923,000 | 4,959,910 | ||||||
2.63%, 08/01/2019 | 151 | 152 | ||||||
5.50%, 08/01/2019 | 84,836 | 89,841 | ||||||
5.00%, 09/01/2019 | 2,665 | 2,797 | ||||||
5.50%, 09/01/2019 | 61,615 | 65,999 | ||||||
9.00%, 09/01/2019 | 425 | 430 | ||||||
5.00%, 10/01/2019 | 20,559 | 21,647 | ||||||
6.00%, 10/01/2019 | 30,115 | 31,381 | ||||||
4.13%, 11/01/2019 | 877,000 | 953,019 | ||||||
4.24%, 11/01/2019 | 351,132 | 382,221 | ||||||
4.50%, 11/01/2019 | 14,432 | 15,065 | ||||||
4.50%, 11/01/2019 | 67,251 | 70,160 | ||||||
4.50%, 11/01/2019 | 28,685 | 29,928 | ||||||
1.47%, 12/01/2019 | 825,236 | 813,365 | ||||||
1.69%, 12/01/2019 | 1,032,000 | 1,019,600 | ||||||
1.80%, 12/01/2019 | 776,359 | 775,309 | ||||||
4.18%, 12/01/2019 | 473,099 | �� | 514,200 | |||||
4.26%, 12/01/2019 | 949,842 | 1,035,488 | ||||||
4.50%, 12/01/2019 | 45,930 | 48,019 | ||||||
4.51%, 12/01/2019 | 2,036,120 | 2,243,274 | ||||||
5.00%, 12/01/2019 | 30,471 | 32,390 | ||||||
1.50%, 01/01/2020 | 819,676 | 808,000 | ||||||
1.58%, 01/01/2020 | 1,467,635 | 1,451,725 | ||||||
4.28%, 01/01/2020 | 1,884,561 | 2,035,996 | ||||||
4.54%, 01/01/2020 | 334,293 | 367,041 | ||||||
5.50%, 01/01/2020 | 187,351 | 197,798 | ||||||
4.37%, 02/01/2020 | 1,153,097 | 1,264,154 | ||||||
4.40%, 02/01/2020 | 289,000 | 317,879 | ||||||
4.40%, 02/01/2020 | 6,347,000 | 6,997,376 | ||||||
4.36%, 03/01/2020 | 278,405 | 304,975 | ||||||
5.50%, 03/01/2020 | 34,102 | 35,638 | ||||||
6.00%, 03/01/2020 | 15,762 | 16,638 | ||||||
4.00%, 04/01/2020 | 10,753 | 11,043 | ||||||
4.35%, 04/01/2020 | 1,486,571 | 1,631,630 | ||||||
4.38%, 04/01/2020 | 2,008,877 | 2,207,562 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,290,993 | ||||||
5.50%, 06/01/2020 | 246,936 | 257,735 | ||||||
5.50%, 06/01/2020 | 56,376 | 59,753 | ||||||
3.74%, 07/01/2020 | 572,691 | 613,811 | ||||||
3.93%, 07/01/2020 | 1,484,238 | 1,602,401 | ||||||
3.95%, 07/01/2020 | 826,000 | 896,903 | ||||||
3.95%, 07/01/2020 | 712,898 | 773,197 | ||||||
4.07%, 07/01/2020 | 3,160,557 | 3,424,846 | ||||||
4.13%, 07/01/2020 | 696,427 | 758,677 | ||||||
5.50%, 07/01/2020 | 58,121 | 60,577 |
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3.74%, 08/01/2020 | 1,281,259 | 1,375,081 | ||||||
3.89%, 08/01/2020 | 1,230,069 | 1,326,082 | ||||||
3.96%, 08/01/2020 | 990,939 | 1,071,828 | ||||||
4.30%, 08/01/2020 | 479,165 | 525,011 | ||||||
6.50%, 08/01/2020 | 7,870 | 8,398 | ||||||
3.43%, 09/01/2020 | 954,860 | 1,011,619 | ||||||
3.50%, 09/01/2020 | 811,095 | 866,883 | ||||||
3.60%, 09/01/2020 | 191,961 | 204,886 | ||||||
3.85%, 09/01/2020 | 1,728,529 | 1,862,671 | ||||||
0.68%, 10/01/2020 | 1,978,903 | 1,979,722 | ||||||
3.29%, 10/01/2020 | 803,764 | 848,526 | ||||||
3.36%, 10/01/2020 | 826,000 | 872,572 | ||||||
3.50%, 10/01/2020 | 1,152,878 | 1,225,237 | ||||||
3.54%, 10/01/2020 | 991,000 | 1,055,907 | ||||||
3.59%, 10/01/2020 | 1,522,558 | 1,624,791 | ||||||
3.92%, 10/01/2020 | 700,268 | 756,353 | ||||||
3.23%, 11/01/2020 | 592,354 | 623,670 | ||||||
3.27%, 11/01/2020 | 788,569 | 833,109 | ||||||
3.35%, 11/01/2020 | 649,548 | 685,854 | ||||||
0.80%, 12/01/2020 | 1,640,000 | 1,639,568 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,534,852 | ||||||
3.48%, 12/01/2020 | 877,000 | 931,730 | ||||||
3.52%, 12/01/2020 | 950,817 | 1,010,653 | ||||||
3.70%, 12/01/2020 | 381,841 | 408,139 | ||||||
3.83%, 12/01/2020 | 910,399 | 980,910 | ||||||
3.56%, 01/01/2021 | 2,208,185 | 2,357,090 | ||||||
3.77%, 01/01/2021 | 1,201,965 | 1,295,634 | ||||||
3.87%, 01/01/2021 | 1,176,000 | 1,270,557 | ||||||
3.93%, 01/01/2021 | 405,028 | 438,253 | ||||||
4.05%, 01/01/2021 | 482,000 | 521,373 | ||||||
4.30%, 01/01/2021 | 815,932 | 897,879 | ||||||
4.38%, 01/01/2021 | 2,426,462 | 2,680,989 | ||||||
4.45%, 01/01/2021 | 427,341 | 473,529 | ||||||
4.64%, 01/01/2021 | 1,273,318 | 1,421,531 | ||||||
4.33%, 02/01/2021 | 500,080 | 551,558 | ||||||
4.16%, 03/01/2021 | 1,739,234 | 1,903,119 | ||||||
6.00%, 03/01/2021 | 59,154 | 63,632 | ||||||
8.00%, 03/01/2021 | 88 | 89 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,134,993 | ||||||
4.25%, 04/01/2021 | 784,000 | 858,030 | ||||||
4.30%, 04/01/2021 | 301,058 | 331,316 | ||||||
4.33%, 04/01/2021 | 731,426 | 805,302 | ||||||
6.00%, 04/01/2021 | 188,952 | 196,573 | ||||||
6.00%, 04/01/2021 | 21,872 | 23,344 | ||||||
4.36%, 05/01/2021 | 1,525,829 | 1,684,831 | ||||||
4.39%, 05/01/2021 | 767,706 | 850,584 |
Table of Contents
3.97%, 06/01/2021 | 638,305 | 689,604 | ||||||
4.02%, 06/01/2021 | 691,000 | 746,484 | ||||||
4.10%, 06/01/2021 | 688,187 | 750,081 | ||||||
4.19%, 06/01/2021 | 552,167 | 604,974 | ||||||
4.24%, 06/01/2021 | 1,725,371 | 1,895,039 | ||||||
4.27%, 06/01/2021 | 864,969 | 941,771 | ||||||
4.30%, 06/01/2021 | 1,265,065 | 1,393,764 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 2,041,495 | ||||||
4.48%, 06/01/2021 | 929,000 | 1,036,397 | ||||||
3.86%, 07/01/2021 | 970,804 | 1,041,691 | ||||||
3.89%, 07/01/2021 | 913,000 | 985,713 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,119,736 | ||||||
3.99%, 07/01/2021 | 541,185 | 586,218 | ||||||
4.06%, 07/01/2021 | 998,000 | 1,085,960 | ||||||
4.26%, 07/01/2021 | 2,252,000 | 2,482,865 | ||||||
4.32%, 07/01/2021 | 976,886 | 1,077,781 | ||||||
6.00%, 07/01/2021 | 12,040 | 12,742 | ||||||
4.05%, 08/01/2021 | 182,358 | 198,382 | ||||||
4.13%, 08/01/2021 | 790,351 | 865,493 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 3,158,926 | ||||||
6.00%, 08/01/2021 | 168,898 | 178,294 | ||||||
3.77%, 09/01/2021 | 2,776,000 | 2,990,814 | ||||||
3.78%, 09/01/2021 | 738,874 | 793,211 | ||||||
3.85%, 09/01/2021 | 874,448 | 942,054 | ||||||
3.88%, 09/01/2021 | 1,747,372 | 1,885,876 | ||||||
3.89%, 09/01/2021 | 1,445,000 | 1,572,628 | ||||||
3.92%, 09/01/2021 | 664,544 | 718,454 | ||||||
3.31%, 10/01/2021 | 1,708,088 | 1,793,110 | ||||||
3.40%, 10/01/2021 | 354,738 | 374,143 | ||||||
4.07%, 10/01/2021 | 1,814,012 | 1,976,430 | ||||||
0.56%, 11/01/2021 | 609,000 | 609,310 | ||||||
3.43%, 11/01/2021 | 1,006,210 | 1,061,527 | ||||||
5.00%, 11/01/2021 | 262,054 | 279,168 | ||||||
3.03%, 12/01/2021 | 969,085 | 1,003,431 | ||||||
3.31%, 12/01/2021 | 390,570 | 409,879 | ||||||
3.42%, 12/01/2021 | 5,158,895 | 5,445,506 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,649,402 | ||||||
6.00%, 12/01/2021 | 66,515 | 71,156 | ||||||
2.97%, 01/01/2022 | 776,662 | 801,194 | ||||||
3.03%, 01/01/2022 | 902,107 | 934,378 | ||||||
3.09%, 01/01/2022 | 1,356,929 | 1,408,851 | ||||||
3.12%, 01/01/2022 | 1,238,000 | 1,288,833 | ||||||
3.20%, 01/01/2022 | 826,000 | 862,252 | ||||||
2.99%, 02/01/2022 | 291,207 | 300,634 | ||||||
3.06%, 02/01/2022 | 863,000 | 894,410 | ||||||
3.09%, 02/01/2022 | 1,116,013 | 1,158,519 |
Table of Contents
3.14%, 02/01/2022 | 486,360 | 505,048 | ||||||
3.14%, 02/01/2022 | 2,064,000 | 2,145,299 | ||||||
0.98%, 03/01/2022 | 965,040 | 964,813 | ||||||
2.75%, 03/01/2022 | 974,412 | 997,213 | ||||||
2.97%, 03/01/2022 | 541,279 | 558,833 | ||||||
2.97%, 03/01/2022 | 619,000 | 637,876 | ||||||
3.08%, 03/01/2022 | 427,326 | 443,268 | ||||||
3.14%, 03/01/2022 | 302,588 | 314,886 | ||||||
3.21%, 03/01/2022 | 310,000 | 323,435 | ||||||
2.70%, 04/01/2022 | 1,665,089 | 1,692,899 | ||||||
3.08%, 04/01/2022 | 1,000,263 | 1,038,301 | ||||||
3.73%, 04/01/2022 | 2,456,873 | 2,621,756 | ||||||
6.50%, 04/01/2022 | 47,571 | 51,714 | ||||||
2.74%, 05/01/2022 | 1,162,442 | 1,185,984 | ||||||
2.77%, 05/01/2022 | 1,651,000 | 1,683,895 | ||||||
2.86%, 05/01/2022 | 1,467,927 | 1,507,340 | ||||||
2.90%, 05/01/2022 | 978,884 | 1,006,288 | ||||||
2.94%, 05/01/2022 | 1,076,054 | 1,110,219 | ||||||
3.02%, 05/01/2022 | 678,351 | 702,002 | ||||||
3.10%, 05/01/2022 | 796,913 | 828,273 | ||||||
3.12%, 05/01/2022 | 980,006 | 1,019,988 | ||||||
3.32%, 05/01/2022 | 2,389,562 | 2,504,452 | ||||||
6.50%, 05/01/2022 | 9,714 | 11,152 | ||||||
2.60%, 06/01/2022 | 872,366 | 883,611 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,625,323 | ||||||
2.67%, 07/01/2022 | 624,000 | 630,703 | ||||||
2.67%, 07/01/2022 | 1,219,605 | 1,237,998 | ||||||
2.69%, 07/01/2022 | 1,024,439 | 1,046,656 | ||||||
2.71%, 07/01/2022 | 1,000,000 | 1,013,928 | ||||||
2.82%, 07/01/2022 | 1,119,934 | 1,146,853 | ||||||
2.98%, 07/01/2022 | 2,270,000 | 2,339,281 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,041,163 | ||||||
0.62%, 09/01/2022 | 1,238,000 | 1,245,239 | ||||||
2.47%, 09/01/2022 | 391,591 | 392,831 | ||||||
4.03%, 09/01/2022 | 1,229,730 | 1,335,492 | ||||||
0.61%, 10/01/2022 | 1,460,993 | 1,462,348 | ||||||
2.39%, 10/01/2022 | 667,082 | 665,540 | ||||||
2.52%, 10/01/2022 | 1,000,451 | 1,005,771 | ||||||
2.57%, 10/01/2022 | 617,309 | 622,076 | ||||||
2.64%, 10/01/2022 | 684,000 | 691,002 | ||||||
2.37%, 11/01/2022 | 1,030,550 | 1,023,992 | ||||||
2.37%, 11/01/2022 | 491,690 | 488,927 | ||||||
2.38%, 11/01/2022 | 889,010 | 884,230 | ||||||
2.41%, 11/01/2022 | 616,108 | 614,809 | ||||||
2.44%, 11/01/2022 | 847,287 | 847,156 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,392,366 |
Table of Contents
2.47%, 11/01/2022 | 516,000 | 512,472 | ||||||
2.55%, 11/01/2022 | 411,288 | 413,898 | ||||||
2.55%, 11/01/2022 | 1,287,551 | 1,295,722 | ||||||
7.50%, 11/01/2022 | 2,926 | 3,185 | ||||||
2.24%, 12/01/2022 | 664,985 | 656,201 | ||||||
2.28%, 12/01/2022 | 1,055,622 | 1,042,515 | ||||||
2.32%, 12/01/2022 | 392,902 | 389,344 | ||||||
2.34%, 12/01/2022 | 2,427,373 | 2,405,963 | ||||||
2.38%, 12/01/2022 | 511,323 | 508,123 | ||||||
2.39%, 12/01/2022 | 1,086,997 | 1,081,111 | ||||||
2.40%, 12/01/2022 | 1,632,000 | 1,618,547 | ||||||
2.42%, 12/01/2022 | 1,205,530 | 1,202,627 | ||||||
2.66%, 12/01/2022 | 1,500,000 | 1,524,324 | ||||||
6.50%, 12/01/2022 | 44,081 | 50,604 | ||||||
0.52%, 01/01/2023 | 1,527,000 | 1,529,451 | ||||||
0.53%, 01/01/2023 | 4,470,074 | 4,468,479 | ||||||
0.57%, 01/01/2023 | 794,436 | 800,600 | ||||||
2.15%, 01/01/2023 | 502,196 | 492,603 | ||||||
2.33%, 01/01/2023 | 1,762,361 | 1,744,511 | ||||||
2.34%, 01/01/2023 | 1,408,572 | 1,395,393 | ||||||
2.37%, 01/01/2023 | 1,134,322 | 1,126,206 | ||||||
2.40%, 01/01/2023 | 1,523,193 | 1,516,980 | ||||||
2.44%, 01/01/2023 | 1,015,598 | 1,013,722 | ||||||
2.45%, 01/01/2023 | 752,070 | 751,003 | ||||||
2.51%, 01/01/2023 | 949,000 | 941,284 | ||||||
2.60%, 01/01/2023 | 793,258 | 799,766 | ||||||
5.50%, 01/01/2023 | 3,709,856 | 4,160,447 | ||||||
0.56%, 02/01/2023 | 1,135,000 | 1,134,423 | ||||||
2.40%, 02/01/2023 | 1,465,000 | 1,449,708 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,277,938 | ||||||
6.00%, 02/01/2023 | 473,715 | 524,466 | ||||||
2.49%, 03/01/2023 | 822,547 | 822,395 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,435,135 | ||||||
2.64%, 04/01/2023 | 362,441 | 365,156 | ||||||
2.70%, 04/01/2023 | 648,157 | 654,188 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,259,998 | ||||||
2.54%, 05/01/2023 | 310,000 | 308,959 | ||||||
5.00%, 05/01/2023 | 41,639 | 44,780 | ||||||
2.42%, 06/01/2023 | 926,226 | 918,868 | ||||||
2.66%, 06/01/2023 | 698,456 | 698,702 | ||||||
2.76%, 06/01/2023 | 1,946,066 | 1,961,645 | ||||||
2.77%, 06/01/2023 | 929,000 | 932,826 | ||||||
2.64%, 07/01/2023 | 413,000 | 411,315 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,127,981 | ||||||
3.74%, 07/01/2023 | 568,000 | 608,086 | ||||||
5.50%, 07/01/2023 | 38,152 | 42,791 |
Table of Contents
3.59%, 08/01/2023 | 1,135,000 | 1,200,594 | ||||||
4.18%, 09/01/2023 | 1,436,287 | 1,577,593 | ||||||
3.76%, 10/01/2023 | 991,480 | 1,063,947 | ||||||
0.65%, 12/01/2023 | 3,000,000 | 3,020,257 | ||||||
3.38%, 12/01/2023 | 2,500,000 | 2,606,819 | ||||||
3.50%, 12/01/2023 | 2,234,000 | 2,347,863 | ||||||
3.45%, 01/01/2024 | 1,800,000 | 1,885,549 | ||||||
6.00%, 01/01/2024 | 370,686 | 413,364 | ||||||
6.00%, 01/01/2024 | 128,991 | 143,320 | ||||||
7.00%, 01/01/2024 | 781 | 896 | ||||||
6.50%, 02/01/2024 | 190,726 | 211,257 | ||||||
10.00%, 02/01/2024 | 860 | 877 | ||||||
6.00%, 04/01/2024 | 25,127 | 28,513 | ||||||
0.55%, 05/01/2024 | 1,958,449 | 1,959,093 | ||||||
3.32%, 05/01/2024 | 2,500,000 | 2,587,422 | ||||||
8.00%, 05/01/2024 | 955 | 1,091 | ||||||
6.00%, 07/01/2024 | 85,958 | 95,326 | ||||||
6.50%, 07/01/2024 | 90,133 | 103,470 | ||||||
8.50%, 07/01/2024 | 2,129 | 2,505 | ||||||
5.00%, 08/01/2024 | 137,213 | 149,197 | ||||||
0.66%, 09/01/2024 | 3,823,634 | 3,833,602 | ||||||
7.50%, 10/01/2024 | 937 | 1,070 | ||||||
0.55%, 12/01/2024 | 5,000,000 | 4,998,853 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 1,989,875 | ||||||
2.92%, 12/01/2024 | 1,000,000 | 998,178 | ||||||
3.11%, 12/01/2024 | 2,500,000 | 2,533,567 | ||||||
2.93%, 01/01/2025 | 2,000,000 | 2,003,514 | ||||||
2.99%, 01/01/2025 | 1,580,000 | 1,588,334 | ||||||
3.64%, 01/01/2025 | 576,108 | 609,782 | ||||||
0.56%, 03/01/2025 | 3,978,227 | 3,978,601 | ||||||
2.70%, 04/01/2025 | 5,000,000 | 4,911,609 | ||||||
6.50%, 04/01/2025 | 13,965 | 16,032 | ||||||
8.50%, 05/01/2025 | 86 | 86 | ||||||
5.50%, 07/01/2025 | 150,870 | 169,243 | ||||||
5.00%, 10/01/2025 | 39,541 | 43,636 | ||||||
3.77%, 12/01/2025 | 3,500,000 | 3,702,544 | ||||||
9.00%, 12/01/2025 | 196 | 198 | ||||||
3.50%, 01/01/2026 | 785,079 | 830,614 | ||||||
6.00%, 03/01/2026 | 36,027 | 40,892 | ||||||
7.00%, 04/01/2026 | 6,849 | 7,313 | ||||||
9.00%, 04/01/2026 | 109 | 110 | ||||||
6.00%, 05/01/2026 | 78,988 | 89,656 | ||||||
6.00%, 07/01/2026 | 84,213 | 95,577 | ||||||
3.29%, 08/01/2026 | 1,500,000 | 1,521,134 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,040,282 | ||||||
4.55%, 08/01/2026 | 1,095,264 | 1,208,724 |
Table of Contents
4.76%, 08/01/2026 | 1,075,533 | 1,219,755 | ||||||
4.77%, 08/01/2026 | 684,198 | 776,172 | ||||||
6.50%, 08/01/2026 | 143,336 | 165,949 | ||||||
3.25%, 09/01/2026 | 1,500,000 | 1,516,219 | ||||||
3.24%, 10/01/2026 | 1,978,499 | 2,003,273 | ||||||
3.12%, 11/01/2026 | 1,000,000 | 1,002,702 | ||||||
3.29%, 11/01/2026 | 2,000,000 | 2,028,246 | ||||||
3.14%, 12/01/2026 | 1,982,980 | 1,990,884 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,516,575 | ||||||
3.26%, 12/01/2026 | 1,000,000 | 1,020,619 | ||||||
4.66%, 12/01/2026 | 1,169,474 | 1,303,988 | ||||||
3.12%, 02/01/2027 | 1,500,000 | 1,516,228 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,530,976 | ||||||
2.91%, 03/01/2027 | 10,000,000 | 9,801,745 | ||||||
3.50%, 03/01/2027 | 4,780,168 | 5,051,157 | ||||||
8.00%, 03/01/2027 | 8,552 | 9,779 | ||||||
3.00%, 04/01/2027 | 1,270,370 | 1,317,417 | ||||||
3.03%, 04/01/2027 | 1,500,000 | 1,479,068 | ||||||
2.79%, 05/01/2027 | 2,000,000 | 1,925,705 | ||||||
2.81%, 05/01/2027 | 2,000,000 | 1,935,083 | ||||||
2.83%, 05/01/2027 | 8,000,000 | 7,736,387 | ||||||
3.00%, 05/01/2027 | 7,542,879 | 7,822,357 | ||||||
8.00%, 06/01/2027 | 10,529 | 12,124 | ||||||
2.50%, 07/01/2027 (d) | 500,000 | 505,234 | ||||||
3.50%, 07/01/2027 | 5,798,426 | 6,129,112 | ||||||
6.00%, 07/01/2027 | 106,021 | 120,329 | ||||||
2.50%, 09/01/2027 | 922,894 | 939,548 | ||||||
2.63%, 09/01/2027 | 12,050 | 12,838 | ||||||
6.00%, 09/01/2027 | 309,472 | 351,228 | ||||||
7.00%, 09/01/2027 | 1,565 | 1,824 | ||||||
6.00%, 11/01/2027 | 47,757 | 54,204 | ||||||
2.50%, 12/01/2027 | 2,210,636 | 2,250,480 | ||||||
6.00%, 12/01/2027 | 150,568 | 170,857 | ||||||
6.00%, 01/01/2028 | 224,892 | 255,251 | ||||||
2.50%, 03/01/2028 | 7,313,067 | 7,435,961 | ||||||
2.50%, 04/01/2028 | 8,713,034 | 8,859,693 | ||||||
5.00%, 05/01/2028 | 52,919 | 58,363 | ||||||
8.00%, 06/01/2028 | 6,116 | 6,976 | ||||||
9.50%, 07/01/2028 | 1,693 | 1,871 | ||||||
3.00%, 08/01/2028 | 2,926,472 | 3,034,474 | ||||||
3.00%, 09/01/2028 | 4,221,981 | 4,377,837 | ||||||
8.00%, 09/01/2028 | 14,738 | 17,311 | ||||||
2.50%, 10/01/2028 | 953,302 | 966,377 | ||||||
6.00%, 10/01/2028 | 188,105 | 213,594 | ||||||
8.00%, 11/01/2028 | 53,361 | 65,128 | ||||||
3.00%, 12/01/2028 | 1,795,149 | 1,858,514 |
Table of Contents
6.00%, 12/01/2028 | 5,052 | 5,739 | ||||||
6.00%, 01/01/2029 | 8,866 | 10,170 | ||||||
7.00%, 01/01/2029 | 9,893 | 11,035 | ||||||
3.72%, 03/01/2029 | 7,788 | 8,280 | ||||||
6.50%, 03/01/2029 | 27,781 | 32,843 | ||||||
4.50%, 08/01/2029 | 417,490 | 451,040 | ||||||
4.50%, 09/01/2029 | 472,746 | 510,981 | ||||||
6.00%, 09/01/2029 | 132,143 | 150,044 | ||||||
3.63%, 10/01/2029 | 1,491,820 | 1,540,566 | ||||||
6.50%, 11/01/2029 | 1,122,515 | 1,301,707 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,538,576 | ||||||
8.50%, 02/01/2030 | 1,699 | 1,743 | ||||||
2.50%, 04/01/2030 | 3,967,054 | 4,014,438 | ||||||
3.03%, 04/01/2030 | 3,500,000 | 3,345,366 | ||||||
3.08%, 04/01/2030 | 2,000,000 | 1,952,305 | ||||||
2.50%, 05/01/2030 | 4,939,396 | 4,995,900 | ||||||
2.92%, 05/01/2030 | 4,000,000 | 3,857,796 | ||||||
2.94%, 05/01/2030 | 2,500,000 | 2,383,269 | ||||||
2.96%, 06/01/2030 | 2,070,000 | 2,005,683 | ||||||
3.20%, 06/01/2030 | 1,000,000 | 978,935 | ||||||
9.00%, 12/01/2030 | 1,698 | 1,721 | ||||||
5.00%, 04/01/2031 | 243,634 | 275,778 | ||||||
6.50%, 08/01/2031 | 29,463 | 34,777 | ||||||
4.00%, 11/01/2031 | 10,826,990 | 11,571,214 | ||||||
6.50%, 02/01/2032 | 113,836 | 132,166 | ||||||
7.00%, 06/01/2032 | 5,985 | 6,442 | ||||||
3.50%, 07/01/2032 | 225,423 | 235,411 | ||||||
3.50%, 08/01/2032 | 1,720,107 | 1,796,055 | ||||||
7.00%, 08/01/2032 | 2,824 | 3,031 | ||||||
5.50%, 11/01/2032 | 89,004 | 102,229 | ||||||
3.50%, 12/01/2032 | 617,941 | 645,418 | ||||||
5.00%, 12/01/2032 | 3,642 | 3,912 | ||||||
6.00%, 12/01/2032 | 40,204 | 46,476 | ||||||
6.00%, 12/01/2032 | 304,881 | 350,429 | ||||||
3.50%, 02/01/2033 | 1,091,943 | 1,140,546 | ||||||
5.50%, 02/01/2033 | 5,706 | 6,432 | ||||||
7.00%, 02/01/2033 | 1,926 | 2,141 | ||||||
5.50%, 03/01/2033 | 170,442 | 194,453 | ||||||
6.00%, 03/01/2033 | 8,114 | 9,317 | ||||||
6.00%, 03/01/2033 | 4,792 | 5,462 | ||||||
6.00%, 03/01/2033 | 4,516 | 5,154 | ||||||
6.00%, 03/01/2033 | 11,304 | 12,947 | ||||||
6.00%, 03/01/2033 | 12,674 | 14,468 | ||||||
5.50%, 04/01/2033 | 120,931 | 136,161 | ||||||
6.00%, 05/01/2033 | 39,309 | 45,534 | ||||||
3.50%, 06/01/2033 | 370,233 | 386,833 |
Table of Contents
5.00%, 06/01/2033 | 33,061 | 36,924 | ||||||
7.00%, 06/01/2033 | 198,490 | 237,075 | ||||||
5.00%, 07/01/2033 | 32,746 | 36,387 | ||||||
5.00%, 07/01/2033 | 45,219 | 50,259 | ||||||
5.50%, 07/01/2033 | 33,074 | 37,306 | ||||||
2.16%, 08/01/2033 | 69,274 | 73,330 | ||||||
6.00%, 08/01/2033 | 18,207 | 21,073 | ||||||
1.79%, 09/01/2033 | 70,995 | 74,368 | ||||||
2.44%, 09/01/2033 | 33,962 | 36,286 | ||||||
5.50%, 09/01/2033 | 462,435 | 519,423 | ||||||
6.00%, 09/01/2033 | 30,090 | 34,825 | ||||||
6.00%, 09/01/2033 | 17,208 | 19,011 | ||||||
4.50%, 10/01/2033 | 11,807,590 | 12,854,877 | ||||||
2.15%, 11/01/2033 | 72,532 | 77,198 | ||||||
4.50%, 11/01/2033 | 43,396 | 47,096 | ||||||
5.00%, 11/01/2033 | 8,389,485 | 9,304,309 | ||||||
5.00%, 11/01/2033 | 11,688 | 12,940 | ||||||
5.00%, 11/01/2033 | 103,980 | 115,314 | ||||||
5.50%, 11/01/2033 | 7,585 | 8,598 | ||||||
4.00%, 12/01/2033 | 119,198 | 126,693 | ||||||
5.50%, 12/01/2033 | 163,400 | 186,933 | ||||||
1.91%, 01/01/2034 | 3,666 | 3,683 | ||||||
2.25%, 01/01/2034 | 22,297 | 23,732 | ||||||
5.50%, 01/01/2034 | 15,844 | 18,110 | ||||||
5.50%, 03/01/2034 | 16,716 | 18,749 | ||||||
2.14%, 04/01/2034 | 18,799 | 19,222 | ||||||
5.00%, 04/01/2034 | 226,466 | 254,620 | ||||||
5.50%, 04/01/2034 | 2,152,430 | 2,423,406 | ||||||
5.00%, 05/01/2034 | 67,057 | 75,162 | ||||||
2.55%, 06/01/2034 | 100,477 | 106,637 | ||||||
2.20%, 07/01/2034 | 10,457 | 11,194 | ||||||
1.57%, 08/01/2034 | 54,043 | 56,027 | ||||||
2.14%, 08/01/2034 | 37,313 | 39,657 | ||||||
2.25%, 08/01/2034 | 16,667 | 17,763 | ||||||
2.09%, 09/01/2034 | 11,857 | 12,593 | ||||||
4.50%, 09/01/2034 | 57,145 | 61,955 | ||||||
5.50%, 09/01/2034 | 44,311 | 49,957 | ||||||
1.99%, 10/01/2034 | 41,634 | 44,031 | ||||||
2.51%, 10/01/2034 | 81,472 | 87,369 | ||||||
5.50%, 10/01/2034 | 58,556 | 62,388 | ||||||
2.12%, 11/01/2034 | 37,045 | 39,584 | ||||||
2.12%, 11/01/2034 | 27,414 | 29,308 | ||||||
3.57%, 11/01/2034 | 1,481,088 | 1,541,324 | ||||||
3.61%, 11/01/2034 | 1,486,419 | 1,537,202 | ||||||
6.00%, 11/01/2034 | 11,637 | 13,315 | ||||||
5.00%, 12/01/2034 | 62,206 | 68,990 |
Table of Contents
1.89%, 01/01/2035 | 604,146 | 631,479 | ||||||
2.12%, 01/01/2035 | 22,740 | 24,099 | ||||||
5.00%, 01/01/2035 | 56,303 | 63,227 | ||||||
7.50%, 01/01/2035 | 89,380 | 109,303 | ||||||
1.91%, 02/01/2035 | 46,430 | 48,711 | ||||||
5.00%, 02/01/2035 | 6,960,404 | 7,706,695 | ||||||
5.00%, 02/01/2035 | 7,192,736 | 7,971,019 | ||||||
5.50%, 02/01/2035 | 155,090 | 174,622 | ||||||
2.18%, 03/01/2035 | 109,846 | 117,403 | ||||||
7.50%, 03/01/2035 | 93,293 | 117,883 | ||||||
2.40%, 04/01/2035 | 109,037 | 116,170 | ||||||
3.45%, 04/01/2035 | 1,995,260 | 1,963,165 | ||||||
6.00%, 04/01/2035 | 215,498 | 246,596 | ||||||
2.05%, 05/01/2035 | 68,372 | 72,346 | ||||||
2.35%, 05/01/2035 | 14,087 | 14,917 | ||||||
3.12%, 06/01/2035 | 3,400,000 | 3,235,263 | ||||||
5.00%, 06/01/2035 | 1,314,524 | 1,457,353 | ||||||
2.18%, 07/01/2035 | 96,190 | 102,966 | ||||||
5.00%, 07/01/2035 | 7,070,055 | 7,837,215 | ||||||
5.00%, 07/01/2035 | 44,029 | 48,586 | ||||||
5.00%, 07/01/2035 | 6,143,604 | 6,814,084 | ||||||
1.92%, 08/01/2035 | 17,810 | 18,877 | ||||||
2.14%, 09/01/2035 | 52,546 | 56,154 | ||||||
5.00%, 09/01/2035 | 118,640 | 133,472 | ||||||
2.67%, 10/01/2035 | 104,984 | 112,763 | ||||||
5.00%, 10/01/2035 | 697,372 | 771,124 | ||||||
5.00%, 11/01/2035 | 267,209 | 295,268 | ||||||
5.50%, 12/01/2035 | 178,214 | 194,734 | ||||||
2.14%, 01/01/2036 | 218,533 | 230,565 | ||||||
2.40%, 01/01/2036 | 110,141 | 117,691 | ||||||
2.88%, 01/01/2036 | 7,232 | 7,376 | ||||||
5.00%, 01/01/2036 | 127,678 | 141,117 | ||||||
6.50%, 01/01/2036 | 638,162 | 736,358 | ||||||
2.88%, 02/01/2036 | 51,673 | 55,029 | ||||||
5.00%, 02/01/2036 | 101,370 | 112,098 | ||||||
6.00%, 02/01/2036 | 12,822 | 14,466 | ||||||
7.00%, 02/01/2036 | 61,359 | 71,671 | ||||||
2.88%, 03/01/2036 | 1,291,661 | 1,377,351 | ||||||
7.00%, 03/01/2036 | 3,800 | 4,358 | ||||||
5.50%, 04/01/2036 | 185,330 | 207,807 | ||||||
6.50%, 04/01/2036 | 4,133 | 4,332 | ||||||
2.48%, 05/01/2036 | 47,331 | 50,545 | ||||||
5.50%, 05/01/2036 | 232,437 | 261,571 | ||||||
5.50%, 05/01/2036 | 156,032 | 175,365 | ||||||
2.38%, 06/01/2036 | 321,157 | 341,982 | ||||||
2.41%, 06/01/2036 | 64,476 | 68,394 |
Table of Contents
2.58%, 06/01/2036 | 84,430 | 90,900 | ||||||
2.27%, 07/01/2036 | 148,122 | 157,670 | ||||||
6.50%, 07/01/2036 | 15,581 | 17,887 | ||||||
2.24%, 08/01/2036 | 298,170 | 318,255 | ||||||
2.25%, 08/01/2036 | 81,538 | 86,851 | ||||||
2.69%, 08/01/2036 | 41,594 | 43,630 | ||||||
6.22%, 08/01/2036 | 144,574 | 156,035 | ||||||
6.50%, 08/01/2036 | 381,391 | 444,031 | ||||||
1.75%, 09/01/2036 | 408,086 | 428,203 | ||||||
1.98%, 09/01/2036 | 83,932 | 88,444 | ||||||
2.14%, 09/01/2036 | 100,413 | 106,963 | ||||||
2.28%, 09/01/2036 | 275,696 | 293,875 | ||||||
2.45%, 09/01/2036 | 105,502 | 113,172 | ||||||
6.00%, 09/01/2036 | 885,867 | 1,013,183 | ||||||
2.16%, 10/01/2036 | 180,289 | 192,713 | ||||||
2.58%, 10/01/2036 | 196,101 | 211,361 | ||||||
2.58%, 10/01/2036 | 483,238 | 520,339 | ||||||
6.50%, 10/01/2036 | 110,222 | 127,036 | ||||||
2.45%, 11/01/2036 | 112,821 | 120,300 | ||||||
2.67%, 11/01/2036 | 144,706 | 154,502 | ||||||
5.50%, 11/01/2036 | 65,683 | 73,679 | ||||||
6.00%, 11/01/2036 | 115,174 | 130,892 | ||||||
2.41%, 12/01/2036 | 376,532 | 401,471 | ||||||
2.55%, 12/01/2036 | 194,249 | 207,587 | ||||||
7.00%, 12/01/2036 | 11,359 | 12,644 | ||||||
1.82%, 01/01/2037 | 123,621 | 130,100 | ||||||
2.42%, 01/01/2037 | 63,214 | 68,406 | ||||||
6.50%, 01/01/2037 | 298,213 | 358,126 | ||||||
7.50%, 01/01/2037 | 15,493 | 17,063 | ||||||
1.81%, 02/01/2037 | 155,917 | 163,984 | ||||||
2.41%, 02/01/2037 | 198,711 | 211,452 | ||||||
5.50%, 03/01/2037 | 1,162,173 | 1,303,777 | ||||||
6.00%, 03/01/2037 | 296,863 | 336,178 | ||||||
7.00%, 03/01/2037 | 28,478 | 34,437 | ||||||
2.36%, 04/01/2037 | 342,545 | 368,458 | ||||||
5.50%, 04/01/2037 | 355,965 | 401,380 | ||||||
7.00%, 04/01/2037 | 56,517 | 64,489 | ||||||
7.00%, 04/01/2037 | 189,973 | 223,577 | ||||||
5.50%, 05/01/2037 | 708,884 | 795,531 | ||||||
6.50%, 05/01/2037 | 8,986 | 9,247 | ||||||
7.50%, 05/01/2037 | 87,025 | 102,680 | ||||||
1.71%, 07/01/2037 | 153,730 | 161,226 | ||||||
2.16%, 07/01/2037 | 17,423 | 18,201 | ||||||
2.26%, 07/01/2037 | 526,314 | 559,327 | ||||||
2.34%, 07/01/2037 | 153,558 | 164,337 | ||||||
5.00%, 07/01/2037 | 1,723,823 | 1,911,868 |
Table of Contents
2.94%, 08/01/2037 | 333,842 | 357,731 | ||||||
6.00%, 08/01/2037 | 11,913 | 13,113 | ||||||
6.50%, 08/01/2037 | 88,839 | 101,985 | ||||||
6.50%, 08/01/2037 | 52,674 | 61,276 | ||||||
1.96%, 09/01/2037 | 61,209 | 65,851 | ||||||
2.28%, 09/01/2037 | 11,584 | 11,868 | ||||||
2.31%, 09/01/2037 | 127,285 | 137,294 | ||||||
2.50%, 09/01/2037 | 14,667 | 15,040 | ||||||
5.99%, 09/01/2037 | 46,518 | 50,131 | ||||||
6.00%, 09/01/2037 | 179,253 | 204,532 | ||||||
7.00%, 09/01/2037 | 100,973 | 108,949 | ||||||
6.50%, 10/01/2037 | 202,806 | 232,996 | ||||||
7.50%, 10/01/2037 | 3,161 | 3,465 | ||||||
7.50%, 10/01/2037 | 390,563 | 460,213 | ||||||
1.99%, 11/01/2037 | 326,153 | 345,664 | ||||||
2.26%, 11/01/2037 | 117,421 | 125,705 | ||||||
7.50%, 11/01/2037 | 147,911 | 185,004 | ||||||
8.00%, 11/01/2037 | 24,648 | 27,501 | ||||||
2.37%, 12/01/2037 | 557,730 | 597,752 | ||||||
2.41%, 01/01/2038 | 67,021 | 72,007 | ||||||
5.50%, 01/01/2038 | 390,520 | 439,232 | ||||||
7.00%, 01/01/2038 | 30,949 | 33,576 | ||||||
8.00%, 01/01/2038 | 8,291 | 10,093 | ||||||
6.00%, 04/01/2038 | 57,010 | 65,154 | ||||||
5.50%, 05/01/2038 | 84,081 | 91,791 | ||||||
6.00%, 05/01/2038 | 669,672 | 761,669 | ||||||
5.50%, 06/01/2038 | 3,080,715 | 3,453,635 | ||||||
5.50%, 06/01/2038 | 383,664 | 430,145 | ||||||
5.50%, 09/01/2038 | 2,047,106 | 2,301,385 | ||||||
7.00%, 09/01/2038 | 112,171 | 137,403 | ||||||
6.50%, 10/01/2038 | 896,189 | 1,030,189 | ||||||
6.50%, 10/01/2038 | 231,248 | 265,467 | ||||||
7.00%, 10/01/2038 | 180,231 | 209,134 | ||||||
6.00%, 11/01/2038 | 123,649 | 142,674 | ||||||
7.00%, 11/01/2038 | 140,366 | 166,734 | ||||||
7.50%, 11/01/2038 | 93,591 | 111,089 | ||||||
7.00%, 12/01/2038 | 378,730 | 429,847 | ||||||
5.00%, 01/01/2039 | 6,157,358 | 6,790,738 | ||||||
7.00%, 01/01/2039 | 604,853 | 707,105 | ||||||
7.50%, 04/01/2039 | 379,111 | 481,424 | ||||||
5.50%, 06/01/2039 | 43,513 | 47,509 | ||||||
5.00%, 09/01/2039 | 348,139 | 385,764 | ||||||
5.50%, 09/01/2039 | 143,921 | 161,586 | ||||||
4.50%, 11/01/2039 | 64,673 | 70,004 | ||||||
5.50%, 12/01/2039 | 184,975 | 207,603 | ||||||
6.00%, 12/01/2039 | 3,595,066 | 4,086,185 |
Table of Contents
4.00%, 07/01/2040 (d) | 23,500,000 | 24,865,479 | ||||||
4.00%, 07/01/2040 | 11,135,372 | 11,810,560 | ||||||
5.50%, 07/01/2040 (d) | 13,000,000 | 14,597,781 | ||||||
4.00%, 08/01/2040 | 422,138 | 448,025 | ||||||
4.50%, 08/01/2040 | 9,217,692 | 9,981,096 | ||||||
4.50%, 08/01/2040 | 11,330,143 | 12,265,007 | ||||||
5.00%, 08/01/2040 | 833,629 | 929,541 | ||||||
5.00%, 08/01/2040 | 1,809,208 | 2,008,031 | ||||||
3.50%, 08/15/2040 (d) | 22,000,000 | 22,570,195 | ||||||
4.00%, 08/15/2040 (d) | 51,500,000 | 54,371,730 | ||||||
4.00%, 09/01/2040 | 2,967,506 | 3,152,313 | ||||||
6.00%, 10/01/2040 | 4,504,925 | 5,126,310 | ||||||
4.00%, 11/01/2040 | 2,133,902 | 2,259,590 | ||||||
3.50%, 12/01/2040 | 223,939 | 230,932 | ||||||
4.00%, 12/01/2040 | 2,856,008 | 3,038,134 | ||||||
4.00%, 12/01/2040 | 452,673 | 480,569 | ||||||
4.50%, 12/01/2040 | 3,455,300 | 3,744,064 | ||||||
4.50%, 12/01/2040 | 13,363,521 | 14,469,231 | ||||||
4.00%, 01/01/2041 | 1,136,765 | 1,209,341 | ||||||
4.00%, 01/01/2041 | 597,228 | 635,382 | ||||||
4.00%, 01/01/2041 | 3,746,283 | 3,986,151 | ||||||
4.00%, 01/01/2041 | 2,317,268 | 2,465,034 | ||||||
4.00%, 01/01/2041 | 2,483,025 | 2,641,342 | ||||||
4.00%, 01/01/2041 | 3,297,645 | 3,508,775 | ||||||
4.00%, 01/01/2041 | 1,207,288 | 1,284,632 | ||||||
3.50%, 02/01/2041 | 18,652,600 | 19,234,748 | ||||||
4.00%, 02/01/2041 | 2,259,661 | 2,406,245 | ||||||
4.00%, 02/01/2041 | 142,343 | 151,348 | ||||||
4.50%, 03/01/2041 | 2,601,031 | 2,817,316 | ||||||
4.50%, 04/01/2041 | 2,346,919 | 2,539,260 | ||||||
4.50%, 05/01/2041 | 4,404,218 | 4,771,324 | ||||||
3.50%, 07/15/2041 (d) | 6,000,000 | 6,171,445 | ||||||
4.50%, 07/15/2041 (d) | 1,000,000 | 1,080,312 | ||||||
4.00%, 09/01/2041 | 687,978 | 731,548 | ||||||
4.00%, 10/01/2041 | 2,248,214 | 2,394,734 | ||||||
4.00%, 10/01/2041 | 1,806,910 | 1,912,532 | ||||||
3.50%, 11/01/2041 | 8,428,420 | 8,694,592 | ||||||
3.50%, 11/01/2041 | 808,441 | 834,094 | ||||||
3.50%, 12/01/2041 | 1,033,183 | 1,065,932 | ||||||
4.00%, 12/01/2041 | 5,077,130 | 5,396,897 | ||||||
4.50%, 01/01/2042 | 5,991,619 | 6,484,965 | ||||||
3.50%, 02/01/2042 | 969,058 | 1,000,029 | ||||||
4.00%, 03/01/2042 | 342,480 | 355,697 | ||||||
3.00%, 05/01/2042 | 989,658 | 988,972 | ||||||
3.50%, 05/01/2042 | 15,286,334 | 15,773,289 | ||||||
5.00%, 05/01/2042 | 5,978,399 | 6,621,856 |
Table of Contents
3.50%, 06/01/2042 | 3,708,868 | 3,826,994 | ||||||
3.50%, 07/01/2042 | 2,201,444 | 2,271,737 | ||||||
3.50%, 07/01/2042 | 7,662,241 | 7,906,300 | ||||||
4.00%, 07/01/2042 | 805,040 | 857,961 | ||||||
4.00%, 07/01/2042 | 687,660 | 732,993 | ||||||
4.00%, 07/01/2042 | 865,413 | 921,367 | ||||||
4.00%, 07/01/2042 | 1,485,581 | 1,583,050 | ||||||
3.50%, 09/01/2042 | 1,707,971 | 1,759,563 | ||||||
3.00%, 10/01/2042 | 9,010,601 | 9,004,368 | ||||||
3.50%, 10/01/2042 | 795,552 | 820,898 | ||||||
3.50%, 10/01/2042 | 1,419,882 | 1,465,317 | ||||||
3.00%, 11/01/2042 | 3,200,603 | 3,198,386 | ||||||
3.50%, 11/01/2042 | 13,030,332 | 13,446,988 | ||||||
3.50%, 11/01/2042 | 5,216,243 | 5,384,583 | ||||||
3.00%, 12/01/2042 | 201,762 | 201,622 | ||||||
3.00%, 12/01/2042 | 2,070,925 | 2,069,492 | ||||||
3.00%, 01/01/2043 | 2,515,759 | 2,503,861 | ||||||
3.00%, 01/01/2043 | 1,708,350 | 1,707,167 | ||||||
3.00%, 01/01/2043 | 2,730,818 | 2,728,926 | ||||||
3.00%, 01/01/2043 | 2,883,210 | 2,880,766 | ||||||
3.50%, 01/01/2043 | 1,331,416 | 1,371,671 | ||||||
3.50%, 01/01/2043 | 2,200,871 | 2,270,718 | ||||||
3.00%, 02/01/2043 | 1,386,750 | 1,380,224 | ||||||
3.50%, 02/01/2043 | 139,868 | 144,343 | ||||||
3.50%, 02/01/2043 | 136,700 | 141,059 | ||||||
3.50%, 03/01/2043 | 923,959 | 951,853 | ||||||
3.50%, 03/01/2043 | 2,732,684 | 2,819,832 | ||||||
3.00%, 04/01/2043 | 4,706,779 | 4,700,603 | ||||||
3.00%, 04/01/2043 | 2,165,579 | 2,163,074 | ||||||
3.50%, 04/01/2043 | 3,701,873 | 3,820,305 | ||||||
3.00%, 05/01/2043 | 18,849,343 | 18,821,736 | ||||||
3.00%, 05/01/2043 | 223,601 | 223,205 | ||||||
3.50%, 05/01/2043 | 175,377 | 180,982 | ||||||
3.50%, 05/01/2043 | 1,271,892 | 1,310,187 | ||||||
3.50%, 05/01/2043 | 2,742,906 | 2,825,582 | ||||||
3.50%, 05/01/2043 | 3,344,972 | 3,445,869 | ||||||
3.00%, 06/01/2043 | 190,392 | 190,083 | ||||||
3.00%, 06/01/2043 | 145,158 | 144,923 | ||||||
3.00%, 06/01/2043 | 11,406,173 | 11,385,890 | ||||||
3.00%, 06/01/2043 | 1,364,637 | 1,362,636 | ||||||
3.00%, 06/01/2043 | 938,494 | 936,827 | ||||||
3.00%, 06/01/2043 | 357,760 | 356,034 | ||||||
3.50%, 06/01/2043 | 3,005,886 | 3,096,604 | ||||||
3.00%, 07/01/2043 | 134,287 | 134,070 | ||||||
3.00%, 07/01/2043 | 5,470,205 | 5,460,483 | ||||||
3.00%, 07/01/2043 | 741,689 | 740,371 |
Table of Contents
3.00%, 07/01/2043 | 1,772,720 | 1,769,572 | ||||||
3.00%, 07/01/2043 | 159,251 | 158,918 | ||||||
3.00%, 07/01/2043 | 733,071 | 729,534 | ||||||
3.00%, 07/01/2043 | 2,422,422 | 2,417,379 | ||||||
3.00%, 07/01/2043 | 575,166 | 574,235 | ||||||
3.00%, 07/01/2043 | 181,127 | 180,721 | ||||||
3.50%, 07/01/2043 | 16,950,541 | 17,481,990 | ||||||
4.00%, 07/01/2043 | 1,803,639 | 1,922,614 | ||||||
3.00%, 08/01/2043 | 5,507,867 | 5,496,372 | ||||||
3.00%, 08/01/2043 | 2,850,445 | 2,844,499 | ||||||
3.00%, 08/01/2043 | 1,657,659 | 1,656,513 | ||||||
3.00%, 08/01/2043 | 6,419,825 | 6,415,383 | ||||||
3.00%, 08/01/2043 | 2,388,572 | 2,383,580 | ||||||
3.00%, 09/01/2043 | 115,709 | 115,151 | ||||||
3.00%, 09/01/2043 | 4,147,280 | 4,137,980 | ||||||
3.00%, 09/01/2043 | 188,248 | 187,767 | ||||||
3.00%, 09/01/2043 | 3,018,276 | 3,011,979 | ||||||
5.00%, 09/01/2043 | 3,569,829 | 3,937,041 | ||||||
2.50%, 10/01/2043 | 3,499,999 | 3,353,791 | ||||||
3.00%, 10/01/2043 | 151,540 | 151,224 | ||||||
3.00%, 10/01/2043 | 112,851 | 112,739 | ||||||
3.00%, 10/01/2043 | 161,925 | 161,144 | ||||||
4.00%, 11/01/2043 | 10,463,149 | 11,073,071 | ||||||
4.00%, 12/01/2043 | 424,422 | 449,162 | ||||||
4.00%, 12/01/2043 | 4,491,173 | 4,768,578 | ||||||
4.00%, 09/01/2044 | 3,754,096 | 3,974,264 | ||||||
3.00%, 04/01/2045 | 12,805,139 | 12,746,545 | ||||||
3.50%, 04/01/2045 | 19,249,703 | 19,822,303 | ||||||
6.00%, 11/01/2048 | 70,877 | 78,253 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.79%, 12/25/2042 | 178,770 | 199,131 | ||||||
6.47%, 12/25/2042 | 46,289 | 53,733 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
6.37%, 10/25/2042 | 28,425 | 32,904 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 779,866 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 143,709 | 167,649 | ||||||
Fannie Mae REMIC Trust 2004-W6 | ||||||||
5.50%, 07/25/2034 | 88,525 | 90,079 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 268,277 | 313,246 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 285,647 | 320,630 | ||||||
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.31%, 08/25/2047 | 40,806 | 46,126 |
Table of Contents
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 98,789 | 109,467 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 PO | 87,135 | 78,061 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
38.06%, 07/25/2037 | 67,563 | 105,637 | ||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 1,465,356 | 1,692,200 | ||||||
Fannie Mae REMICS | ||||||||
6.50%, 11/25/2015 | 2,336 | 2,350 | ||||||
6.00%, 03/25/2016 | 9 | 9 | ||||||
0.64%, 10/25/2016 IO | 658,435 | 4,537 | ||||||
6.00%, 12/25/2016 | 53,804 | 55,258 | ||||||
6.00%, 12/25/2016 | 292 | 298 | ||||||
6.00%, 12/25/2016 | 13,599 | 13,912 | ||||||
6.00%, 12/25/2016 | 9,807 | 10,066 | ||||||
6.00%, 02/25/2017 | 16,265 | 16,752 | ||||||
6.00%, 02/25/2017 | 31,266 | 31,915 | ||||||
0.69%, 03/25/2017 | 1,155 | 1,158 | ||||||
6.00%, 03/25/2017 | 14,990 | 15,270 | ||||||
6.00%, 03/25/2017 | 6,219 | 6,352 | ||||||
6.00%, 04/25/2017 | 35,169 | 36,371 | ||||||
6.00%, 04/25/2017 | 34,891 | 35,691 | ||||||
6.00%, 04/25/2017 | 5,540 | 5,667 | ||||||
18.87%, 05/25/2017 | 18,284 | 20,928 | ||||||
6.00%, 06/25/2017 | 58,281 | 59,466 | ||||||
5.50%, 09/25/2017 | 34,821 | 35,891 | ||||||
5.00%, 10/25/2017 | 9,127 | 9,430 | ||||||
5.00%, 05/25/2018 | 30,312 | 31,549 | ||||||
4.75%, 09/25/2018 | 150,983 | 157,357 | ||||||
4.00%, 04/25/2019 | 35,622 | 36,898 | ||||||
8.00%, 07/25/2019 | 9,002 | 9,753 | ||||||
8.00%, 10/25/2019 | 2,976 | 3,235 | ||||||
4.00%, 11/25/2019 | 40,335 | 41,796 | ||||||
8.50%, 11/25/2019 | 1,615 | 1,781 | ||||||
9.00%, 11/25/2019 | 1,267 | 1,393 | ||||||
9.40%, 11/25/2019 | 1,352 | 1,493 | ||||||
7.50%, 12/25/2019 | 3,197 | 3,459 | ||||||
8.50%, 01/25/2020 | 333 | 369 | ||||||
8.80%, 01/25/2020 | 894 | 989 | ||||||
7.00%, 05/25/2020 | 453 | 493 | ||||||
5.50%, 06/25/2020 | 413 | 440 | ||||||
9.50%, 06/25/2020 | 603 | 673 | ||||||
7.00%, 07/25/2020 | 3,501 | 3,799 | ||||||
5.50%, 08/25/2020 | 474 | 504 | ||||||
6.50%, 08/25/2020 | 4,220 | 4,514 |
Table of Contents
505.00%, 08/25/2020 | 7 | 53 | ||||||
1118.04%, 08/25/2020 IO | 9 | 110 | ||||||
6.50%, 09/25/2020 | 2,034 | 2,173 | ||||||
7.00%, 09/25/2020 | 656 | 716 | ||||||
9.00%, 10/25/2020 | 3,004 | 3,355 | ||||||
21.32%, 11/25/2020 | 431 | 636 | ||||||
652.15%, 12/25/2020 IO | 18 | 129 | ||||||
7.00%, 01/25/2021 | 918 | 1,005 | ||||||
908.50%, 02/25/2021 IO | 1 | 9 | ||||||
5.00%, 03/25/2021 | 834 | 888 | ||||||
7.00%, 03/25/2021 | 31,633 | 34,404 | ||||||
5.00%, 05/25/2021 | 106,043 | 106,797 | ||||||
17.35%, 05/25/2021 | 668 | 857 | ||||||
8.50%, 06/25/2021 | 770 | 873 | ||||||
8.75%, 06/25/2021 | 3,401 | 3,838 | ||||||
1061.64%, 06/25/2021 | 31 | 425 | ||||||
6.50%, 07/25/2021 | 1,597 | 1,724 | ||||||
6.50%, 09/25/2021 | 167,818 | 186,437 | ||||||
14.91%, 09/25/2021 | 2,214 | 2,689 | ||||||
8.75%, 10/25/2021 | 6,090 | 6,750 | ||||||
24.69%, 12/25/2021 | 956 | 1,337 | ||||||
6.00%, 02/25/2022 | 174,137 | 190,928 | ||||||
6.50%, 02/25/2022 | 25,616 | 28,505 | ||||||
0.00%, 03/25/2022 PO | 68,188 | 66,239 | ||||||
7.50%, 06/25/2022 | 156 | 174 | ||||||
7.00%, 07/25/2022 | 2,394 | 2,634 | ||||||
7.50%, 07/25/2022 | 27,591 | 30,865 | ||||||
8.00%, 07/25/2022 | 31,016 | 32,614 | ||||||
8.00%, 07/25/2022 | 26,331 | 29,572 | ||||||
1184.78%, 07/25/2022 IO | 10 | 166 | ||||||
6.00%, 08/25/2022 | 4,496 | 4,843 | ||||||
6.00%, 08/25/2022 | 14,089 | 14,489 | ||||||
6.50%, 08/25/2022 | 6,264 | 6,802 | ||||||
0.21%, 09/25/2022 | 2,548 | 2,547 | ||||||
5.50%, 09/25/2022 | 4,289 | 4,613 | ||||||
6.00%, 09/25/2022 | 201,064 | 221,425 | ||||||
7.50%, 09/25/2022 | 27,138 | 29,841 | ||||||
7.75%, 09/25/2022 | 11,699 | 13,141 | ||||||
8.00%, 09/25/2022 | 32,876 | 36,862 | ||||||
0.00%, 10/25/2022 PO | 3,330 | 3,194 | ||||||
1.38%, 10/25/2022 | 2,347 | 2,382 | ||||||
7.00%, 10/25/2022 | 4,935 | 5,629 | ||||||
7.50%, 10/25/2022 | 16,406 | 18,744 | ||||||
7.90%, 01/25/2023 | 16,951 | 19,348 | ||||||
6.50%, 02/25/2023 | 6,610 | 7,414 | ||||||
7.00%, 02/25/2023 | 68,990 | 77,420 |
Table of Contents
15.50%, 02/25/2023 | 2,880 | 4,068 | ||||||
5.50%, 03/25/2023 | 351,250 | 384,242 | ||||||
6.50%, 03/25/2023 | 5,098 | 5,662 | ||||||
7.00%, 03/25/2023 | 44,802 | 49,909 | ||||||
7.50%, 03/25/2023 | 15,523 | 17,363 | ||||||
7.70%, 03/25/2023 | 7,502 | 8,542 | ||||||
0.00%, 04/25/2023 PO | 2,259 | 2,152 | ||||||
5.50%, 04/25/2023 | 644,433 | 705,137 | ||||||
5.50%, 04/25/2023 | 19,742 | 21,647 | ||||||
6.00%, 04/25/2023 | 11,718 | 13,350 | ||||||
7.00%, 04/25/2023 | 15,960 | 17,801 | ||||||
17.73%, 04/25/2023 IO | 12,974 | 3,093 | ||||||
18.95%, 04/25/2023 | 7,657 | 11,242 | ||||||
5.50%, 05/25/2023 | 144,964 | 157,475 | ||||||
7.00%, 05/25/2023 | 168,658 | 189,469 | ||||||
5.00%, 06/25/2023 | 168,158 | 177,005 | ||||||
6.31%, 06/25/2023 IO | 116,775 | 12,358 | ||||||
7.46%, 06/25/2023 IO | 96,320 | 6,069 | ||||||
4.50%, 07/25/2023 | 255,313 | 270,776 | ||||||
5.00%, 07/25/2023 | 390,000 | 412,634 | ||||||
6.50%, 07/25/2023 | 4,217 | 4,692 | ||||||
6.79%, 07/25/2023 | 84,765 | 93,770 | ||||||
7.00%, 07/25/2023 | 83,389 | 91,869 | ||||||
7.00%, 07/25/2023 | 56,883 | 63,831 | ||||||
1.07%, 08/25/2023 | 10,586 | 10,775 | ||||||
6.88%, 08/25/2023 | 76,614 | 85,427 | ||||||
7.00%, 08/25/2023 | 139,933 | 155,674 | ||||||
7.86%, 08/25/2023 IO | 10,452 | 1,007 | ||||||
8.52%, 08/25/2023 IO | 69,573 | 15,329 | ||||||
0.00%, 09/25/2023 PO | 2,421 | 2,327 | ||||||
0.00%, 09/25/2023 PO | 6,368 | 6,098 | ||||||
0.84%, 09/25/2023 | 138,752 | 139,614 | ||||||
6.50%, 09/25/2023 | 6,978 | 7,827 | ||||||
12.50%, 09/25/2023 | 4,815 | 5,677 | ||||||
13.41%, 09/25/2023 | 3,879 | 5,109 | ||||||
0.74%, 10/25/2023 | 3,947 | 3,962 | ||||||
6.50%, 10/25/2023 | 114,640 | 131,677 | ||||||
6.50%, 10/25/2023 | 50,984 | 57,152 | ||||||
10.50%, 10/25/2023 | 2,284 | 2,909 | ||||||
22.86%, 10/25/2023 | 6,368 | 9,858 | ||||||
26.78%, 10/25/2023 | 3,427 | 5,761 | ||||||
0.00%, 11/25/2023 PO | 743 | 713 | ||||||
6.50%, 11/25/2023 | 38,608 | 44,346 | ||||||
0.79%, 12/25/2023 | 2,954 | 2,997 | ||||||
1.19%, 12/25/2023 | 8,897 | 9,113 | ||||||
6.50%, 12/25/2023 | 10,112 | 11,303 |
Table of Contents
7.00%, 12/25/2023 | 2,270 | 2,272 | ||||||
12.27%, 12/25/2023 | 4,139 | 5,419 | ||||||
23.85%, 12/25/2023 | 8,897 | 13,818 | ||||||
28.00%, 12/25/2023 | 10,935 | 18,795 | ||||||
5.00%, 02/25/2024 IO | 191,896 | 15,721 | ||||||
5.00%, 03/25/2024 IO | 176,658 | 10,372 | ||||||
5.00%, 03/25/2024 IO | 85,310 | 5,953 | ||||||
6.50%, 03/25/2024 | 179,393 | 196,251 | ||||||
6.50%, 03/25/2024 | 36,888 | 42,370 | ||||||
7.00%, 04/25/2024 | 129,584 | 147,119 | ||||||
7.00%, 04/25/2024 | 271,696 | 304,395 | ||||||
5.50%, 07/25/2024 | 37,425 | 41,019 | ||||||
5.50%, 08/25/2024 | 324,823 | 356,982 | ||||||
5.00%, 11/25/2024 | 537,185 | 581,732 | ||||||
8.50%, 01/25/2025 | 6,454 | 7,438 | ||||||
8.80%, 01/25/2025 | 8,903 | 10,185 | ||||||
0.49%, 07/25/2025 | 110,756 | 111,082 | ||||||
5.50%, 08/25/2025 | 312,264 | 346,722 | ||||||
5.50%, 01/25/2026 | 211,332 | 231,375 | ||||||
32.32%, 10/25/2026 | 40,789 | 67,625 | ||||||
7.00%, 11/25/2026 | 64,486 | 72,041 | ||||||
1.84%, 03/25/2027 IO | 13,995 | 622 | ||||||
1.84%, 03/25/2027 IO | 47,887 | 2,253 | ||||||
7.50%, 04/18/2027 | 9,730 | 10,740 | ||||||
7.50%, 04/20/2027 | 15,388 | 18,049 | ||||||
6.50%, 04/25/2027 | 40,607 | 46,643 | ||||||
7.50%, 05/20/2027 | 62,620 | 73,507 | ||||||
0.59%, 05/25/2027 | 5,829,432 | 5,876,068 | ||||||
6.50%, 07/18/2027 | 3,398 | 3,903 | ||||||
7.00%, 12/18/2027 IO | 16,959 | 2,407 | ||||||
6.00%, 07/18/2028 | 24,131 | 27,418 | ||||||
7.41%, 07/25/2028 IO | 651,633 | 115,841 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,194,900 | ||||||
6.00%, 12/25/2028 | 12,405 | 13,800 | ||||||
7.96%, 12/25/2028 IO | 26,894 | 5,230 | ||||||
5.00%, 03/25/2029 | 598,670 | 651,164 | ||||||
5.50%, 04/18/2029 | 51,719 | 57,666 | ||||||
6.35%, 04/25/2029 | 12,789 | 14,197 | ||||||
7.50%, 12/18/2029 | 18,014 | 20,637 | ||||||
7.50%, 02/25/2030 | 96,549 | 110,681 | ||||||
8.91%, 07/25/2030 IO | 35,871 | 10,015 | ||||||
8.50%, 01/25/2031 IO | 4,358 | 895 | ||||||
7.00%, 03/25/2031 | 11,911 | 13,663 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,145,908 | ||||||
6.00%, 07/25/2031 IO | 66,483 | 9,974 | ||||||
7.00%, 07/25/2031 | 35,509 | 40,487 |
Table of Contents
7.00%, 08/25/2031 | 66,337 | 77,131 | ||||||
6.50%, 09/25/2031 | 15,105 | 17,357 | ||||||
7.00%, 09/25/2031 | 85,272 | 97,874 | ||||||
7.00%, 09/25/2031 | 15,917 | 18,280 | ||||||
7.00%, 09/25/2031 | 19,871 | 22,477 | ||||||
13.83%, 09/25/2031 | 30,873 | 32,920 | ||||||
23.85%, 09/25/2031 | 49,806 | 86,186 | ||||||
6.50%, 10/25/2031 | 11,318 | 12,721 | ||||||
22.39%, 10/25/2031 | 33,178 | 50,454 | ||||||
6.00%, 11/25/2031 | 129,433 | 147,565 | ||||||
7.00%, 11/25/2031 | 122,459 | 138,470 | ||||||
15.13%, 11/25/2031 | 35,924 | 51,481 | ||||||
17.03%, 12/25/2031 | 4,136 | 5,465 | ||||||
0.00%, 01/25/2032 PO | 5,484 | 5,142 | ||||||
24.58%, 02/25/2032 | 23,188 | 40,388 | ||||||
1.60%, 03/25/2032 IO | 129,652 | 7,139 | ||||||
10.00%, 03/25/2032 | 2,038 | 2,661 | ||||||
0.00%, 04/25/2032 PO | 3,879 | 3,604 | ||||||
6.00%, 04/25/2032 | 316,658 | 361,335 | ||||||
6.50%, 04/25/2032 | 57,417 | 66,248 | ||||||
6.50%, 05/25/2032 | 118,014 | 131,779 | ||||||
6.50%, 06/25/2032 | 43,969 | 50,806 | ||||||
6.50%, 07/25/2032 IO | 238,197 | 45,373 | ||||||
6.50%, 08/25/2032 | 137,373 | 159,252 | ||||||
19.29%, 08/25/2032 | 134,052 | 168,527 | ||||||
0.99%, 11/25/2032 | 591,417 | 606,318 | ||||||
5.00%, 11/25/2032 | 29,448 | 31,825 | ||||||
6.00%, 11/25/2032 | 905,048 | 1,033,941 | ||||||
8.50%, 11/25/2032 | 38,614 | 49,084 | ||||||
0.00%, 12/25/2032 PO | 27,048 | 25,095 | ||||||
5.50%, 12/25/2032 | 350,268 | 377,123 | ||||||
14.14%, 12/25/2032 | 22,205 | 29,797 | ||||||
0.00%, 01/25/2033 PO | 69,378 | 68,337 | ||||||
6.50%, 02/25/2033 | 44,743 | 50,385 | ||||||
5.00%, 03/25/2033 IO | 66,126 | 10,760 | ||||||
6.00%, 03/25/2033 | 66,000 | 71,862 | ||||||
4.00%, 04/25/2033 | 470,000 | 494,333 | ||||||
0.00%, 05/25/2033 PO | 15,940 | 14,660 | ||||||
4.00%, 05/25/2033 | 32,636 | 34,838 | ||||||
6.00%, 05/25/2033 | 233,000 | 262,125 | ||||||
6.00%, 05/25/2033 IO | 20,387 | 4,345 | ||||||
6.00%, 05/25/2033 | 89,300 | 101,818 | ||||||
6.00%, 05/25/2033 | 124,000 | 143,188 | ||||||
6.50%, 05/25/2033 IO | 207,458 | 37,852 | ||||||
7.00%, 05/25/2033 IO | 326,369 | 47,834 | ||||||
5.75%, 06/25/2033 | 131,327 | 149,037 |
Table of Contents
6.91%, 06/25/2033 IO | 181,370 | 24,152 | ||||||
13.83%, 06/25/2033 | 134,915 | 166,439 | ||||||
5.50%, 07/25/2033 | 132,524 | 135,002 | ||||||
13.29%, 07/25/2033 | 50,912 | 63,169 | ||||||
13.83%, 07/25/2033 | 52,621 | 62,657 | ||||||
0.00%, 08/25/2033 PO | 16,873 | 14,938 | ||||||
5.50%, 08/25/2033 | 144,093 | 148,708 | ||||||
5.50%, 08/25/2033 IO | 535,360 | 113,939 | ||||||
5.50%, 08/25/2033 | 262,999 | 296,433 | ||||||
7.22%, 08/25/2033 | 130,616 | 132,154 | ||||||
9.83%, 08/25/2033 | 13,075 | 15,854 | ||||||
17.59%, 08/25/2033 | 88,002 | 119,717 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,518,843 | ||||||
12.19%, 09/25/2033 | 40,984 | 51,653 | ||||||
3.00%, 10/25/2033 | 908,000 | 872,063 | ||||||
5.50%, 10/25/2033 | 1,645,664 | 1,857,485 | ||||||
7.41%, 11/25/2033 IO | 262,360 | 66,057 | ||||||
0.00%, 12/25/2033 PO | 206,255 | 178,300 | ||||||
13.73%, 12/25/2033 | 74,260 | 90,256 | ||||||
0.94%, 01/25/2034 | 315,642 | 322,049 | ||||||
11.24%, 01/25/2034 | 19,014 | 22,952 | ||||||
12.88%, 01/25/2034 | 3,447 | 3,553 | ||||||
15.83%, 01/25/2034 | 34,443 | 46,405 | ||||||
5.50%, 02/25/2034 | 87,127 | 91,862 | ||||||
27.85%, 02/25/2034 | 104,584 | 145,363 | ||||||
0.00%, 03/25/2034 PO | 268,096 | 253,633 | ||||||
0.59%, 03/25/2034 | 245,894 | 247,259 | ||||||
5.50%, 04/25/2034 | 398,860 | 442,106 | ||||||
6.00%, 04/25/2034 | 19,060 | 19,543 | ||||||
19.01%, 04/25/2034 | 160,329 | 233,486 | ||||||
0.59%, 05/25/2034 | 529,317 | 532,947 | ||||||
15.99%, 05/25/2034 | 39,318 | 52,104 | ||||||
19.01%, 05/25/2034 | 226,309 | 326,482 | ||||||
23.25%, 05/25/2034 | 50,234 | 78,100 | ||||||
5.50%, 07/25/2034 | 1,078,292 | 1,215,605 | ||||||
13.87%, 07/25/2034 | 35,993 | 47,884 | ||||||
0.44%, 08/25/2034 | 210,567 | 210,913 | ||||||
5.50%, 08/25/2034 | 725,459 | 762,426 | ||||||
19.29%, 11/25/2034 | 85,510 | 116,512 | ||||||
21.17%, 12/25/2034 | 5,971 | 7,023 | ||||||
24.42%, 01/25/2035 | 34,963 | 47,068 | ||||||
0.00%, 04/25/2035 PO | 190,348 | 182,176 | ||||||
0.54%, 04/25/2035 | 242,202 | 242,863 | ||||||
16.53%, 05/25/2035 | 27,487 | 36,543 | ||||||
19.51%, 05/25/2035 | 311,981 | 442,219 | ||||||
19.62%, 05/25/2035 | 214,475 | 304,692 |
Table of Contents
24.06%, 05/25/2035 | 71,618 | 108,960 | ||||||
5.00%, 06/25/2035 | 94,550 | 100,346 | ||||||
6.50%, 06/25/2035 | 5,053 | 5,346 | ||||||
24.57%, 06/25/2035 | 86,809 | 130,201 | ||||||
5.75%, 07/25/2035 | 2,472,484 | 2,828,005 | ||||||
6.52%, 07/25/2035 IO | 173,399 | 33,970 | ||||||
16.91%, 07/25/2035 | 61,682 | 84,212 | ||||||
5.50%, 08/25/2035 | 1,214,711 | 1,289,460 | ||||||
5.50%, 08/25/2035 | 276,494 | 313,429 | ||||||
16.23%, 08/25/2035 | 89,484 | 119,327 | ||||||
16.41%, 08/25/2035 | 144,538 | 194,188 | ||||||
0.00%, 09/25/2035 PO | 46,219 | 44,160 | ||||||
23.45%, 09/25/2035 | 35,261 | 53,745 | ||||||
0.00%, 10/25/2035 PO | 58,363 | 53,452 | ||||||
5.75%, 10/25/2035 | 283,328 | 307,191 | ||||||
16.41%, 10/25/2035 | 106,541 | 142,908 | ||||||
5.50%, 11/25/2035 | 73,715 | 75,266 | ||||||
23.88%, 11/25/2035 | 552,145 | 866,166 | ||||||
5.50%, 12/25/2035 | 584,000 | 658,744 | ||||||
5.50%, 12/25/2035 | 138,531 | 150,575 | ||||||
6.00%, 12/25/2035 | 1,000,000 | 1,104,166 | ||||||
6.00%, 12/25/2035 | 59,354 | 66,069 | ||||||
0.00%, 01/25/2036 PO | 36,875 | 36,045 | ||||||
5.50%, 01/25/2036 | 106,280 | 115,091 | ||||||
0.00%, 03/25/2036 PO | 43,271 | 40,057 | ||||||
0.00%, 03/25/2036 PO | 387,757 | 340,167 | ||||||
5.50%, 03/25/2036 | 632,775 | 713,260 | ||||||
5.50%, 03/25/2036 | 340,917 | 372,481 | ||||||
5.50%, 03/25/2036 | 579,708 | 653,374 | ||||||
6.51%, 03/25/2036 IO | 1,421,775 | 274,738 | ||||||
23.88%, 03/25/2036 | 37,770 | 60,199 | ||||||
0.00%, 04/25/2036 PO | 73,244 | 65,745 | ||||||
0.00%, 04/25/2036 PO | 175,865 | 166,087 | ||||||
0.00%, 04/25/2036 PO | 131,075 | 113,855 | ||||||
0.44%, 04/25/2036 | 222,972 | 223,164 | ||||||
29.31%, 05/25/2036 | 44,868 | 84,287 | ||||||
0.00%, 06/25/2036 PO | 39,930 | 37,373 | ||||||
0.00%, 06/25/2036 PO | 121,552 | 113,041 | ||||||
0.00%, 06/25/2036 PO | 79,678 | 74,615 | ||||||
0.00%, 06/25/2036 PO | 334,471 | 288,851 | ||||||
0.00%, 06/25/2036 PO | 266,414 | 231,754 | ||||||
0.59%, 06/25/2036 | 93,965 | 94,381 | ||||||
0.59%, 06/25/2036 | 412,482 | 415,451 | ||||||
0.64%, 06/25/2036 | 54,717 | 55,160 | ||||||
6.00%, 06/25/2036 IO | 2,648 | 39 | ||||||
6.39%, 06/25/2036 IO | 332,526 | 59,746 |
Table of Contents
23.51%, 06/25/2036 | 15,005 | 20,112 | ||||||
0.44%, 06/27/2036 | 2,307,305 | 2,305,175 | ||||||
0.00%, 07/25/2036 PO | 26,090 | 24,186 | ||||||
0.00%, 07/25/2036 PO | 91,232 | 88,462 | ||||||
0.00%, 07/25/2036 PO | 50,275 | 44,652 | ||||||
0.00%, 07/25/2036 PO | 91,169 | 85,361 | ||||||
0.48%, 07/25/2036 | 724,450 | 727,841 | ||||||
0.54%, 07/25/2036 | 262,845 | 264,592 | ||||||
0.65%, 07/25/2036 | 81,163 | 81,894 | ||||||
6.00%, 07/25/2036 | 1,134,325 | 1,289,487 | ||||||
6.33%, 07/25/2036 IO | 142,452 | 22,682 | ||||||
6.50%, 07/25/2036 | 715,024 | 817,909 | ||||||
6.50%, 07/25/2036 | 539,472 | 634,493 | ||||||
28.05%, 07/25/2036 | 42,330 | 76,705 | ||||||
38.78%, 07/25/2036 | 35,803 | 68,043 | ||||||
0.00%, 08/25/2036 PO | 36,487 | 33,857 | ||||||
0.00%, 08/25/2036 PO | 82,529 | 76,518 | ||||||
0.00%, 08/25/2036 PO | 67,552 | 63,158 | ||||||
0.00%, 08/25/2036 PO | 164,556 | 147,378 | ||||||
0.54%, 08/25/2036 | 284,995 | 286,423 | ||||||
6.31%, 08/25/2036 IO | 93,197 | 20,104 | ||||||
6.50%, 08/25/2036 | 92,438 | 106,177 | ||||||
6.50%, 08/25/2036 | 420,934 | 482,170 | ||||||
0.00%, 09/25/2036 PO | 83,872 | 77,399 | ||||||
0.00%, 09/25/2036 PO | 65,420 | 62,404 | ||||||
0.00%, 09/25/2036 PO | 91,321 | 85,007 | ||||||
6.50%, 09/25/2036 | 77,508 | 87,126 | ||||||
4.50%, 10/25/2036 | 399,335 | 426,069 | ||||||
25.45%, 10/25/2036 | 54,528 | 84,928 | ||||||
0.00%, 11/25/2036 PO | 160,028 | 138,185 | ||||||
0.00%, 11/25/2036 PO | 60,840 | 56,425 | ||||||
0.00%, 11/25/2036 PO | 22,920 | 20,042 | ||||||
0.00%, 12/25/2036 PO | 35,770 | 32,899 | ||||||
0.00%, 12/25/2036 PO | 72,350 | 62,485 | ||||||
0.25%, 12/25/2036 | 214,004 | 209,197 | ||||||
0.25%, 12/25/2036 | 790,783 | 789,234 | ||||||
6.00%, 12/25/2036 | 65,598 | 67,753 | ||||||
6.46%, 12/25/2036 IO | 339,577 | 60,521 | ||||||
25.81%, 12/25/2036 | 18,887 | 28,173 | ||||||
0.00%, 01/25/2037 PO | 229,752 | 211,933 | ||||||
0.00%, 01/25/2037 PO | 69,375 | 61,038 | ||||||
5.50%, 01/25/2037 | 134,000 | 144,681 | ||||||
0.39%, 02/25/2037 | 661 | 662 | ||||||
0.44%, 02/25/2037 | 293,768 | 294,075 | ||||||
37.88%, 02/25/2037 | 8,374 | 11,609 | ||||||
0.00%, 03/25/2037 PO | 65,623 | 60,775 |
Table of Contents
0.69%, 03/25/2037 | 177,632 | 179,363 | ||||||
0.94%, 03/25/2037 | 274,851 | 283,860 | ||||||
5.00%, 03/25/2037 | 22,361 | 24,355 | ||||||
5.89%, 03/25/2037 IO | 32,903 | 5,092 | ||||||
6.00%, 03/25/2037 | 1,376,654 | 1,525,858 | ||||||
6.25%, 03/25/2037 IO | 637,067 | 94,333 | ||||||
0.00%, 04/25/2037 PO | 204,146 | 189,086 | ||||||
5.91%, 04/25/2037 IO | 285,151 | 41,479 | ||||||
22.04%, 04/25/2037 | 134,708 | 194,666 | ||||||
0.00%, 05/25/2037 PO | 53,853 | 51,749 | ||||||
0.49%, 05/25/2037 | 120,371 | 120,632 | ||||||
6.00%, 05/25/2037 | 814,947 | 917,415 | ||||||
0.59%, 06/25/2037 | 768,515 | 773,261 | ||||||
0.64%, 06/25/2037 | 60,401 | 60,602 | ||||||
5.59%, 06/25/2037 IO | 134,462 | 16,226 | ||||||
5.91%, 06/25/2037 IO | 158,415 | 24,131 | ||||||
5.91%, 06/25/2037 IO | 518,318 | 73,589 | ||||||
6.50%, 06/25/2037 | 80,651 | 90,147 | ||||||
0.00%, 07/25/2037 PO | 167,395 | 156,089 | ||||||
0.56%, 07/25/2037 | 122,699 | 122,797 | ||||||
0.69%, 07/25/2037 | 89,613 | 90,497 | ||||||
5.50%, 07/25/2037 | 353,392 | 399,263 | ||||||
6.21%, 07/25/2037 IO | 997,455 | 151,248 | ||||||
6.43%, 07/25/2037 IO | 596,900 | 93,596 | ||||||
6.96%, 07/25/2037 IO | 1,451,765 | 244,050 | ||||||
16.03%, 07/25/2037 | 91,644 | 117,745 | ||||||
0.64%, 08/25/2037 | 665,927 | 667,673 | ||||||
5.50%, 08/25/2037 | 235,336 | 255,805 | ||||||
6.00%, 08/25/2037 | 53,444 | 59,870 | ||||||
6.00%, 08/25/2037 | 363,669 | 407,582 | ||||||
6.00%, 08/25/2037 | 413,000 | 467,560 | ||||||
6.00%, 08/25/2037 | 342,220 | 383,617 | ||||||
23.33%, 08/25/2037 | 131,297 | 195,084 | ||||||
0.64%, 09/25/2037 | 2,361,999 | 2,372,231 | ||||||
6.35%, 09/25/2037 IO | 470,724 | 71,728 | ||||||
15.68%, 09/25/2037 | 36,412 | 47,115 | ||||||
0.00%, 10/25/2037 PO | 1,267,692 | 1,139,804 | ||||||
6.14%, 10/25/2037 | 196,052 | 218,238 | ||||||
6.26%, 10/25/2037 IO | 483,528 | 72,531 | ||||||
6.27%, 10/25/2037 IO | 471,697 | 70,450 | ||||||
0.39%, 10/27/2037 | 4,021,864 | 3,974,587 | ||||||
8.21%, 11/25/2037 | 416,644 | 488,333 | ||||||
6.17%, 12/25/2037 IO | 42,031 | 5,428 | ||||||
6.21%, 12/25/2037 IO | 628,519 | 94,510 | ||||||
6.26%, 12/25/2037 IO | 466,570 | 75,813 | ||||||
6.50%, 12/25/2037 | 430,905 | 498,814 |
Table of Contents
1.48%, 01/25/2038 IO | 1,140,982 | 75,824 | ||||||
5.72%, 02/25/2038 IO | 559,017 | 74,598 | ||||||
5.81%, 02/25/2038 IO | 936,694 | 126,773 | ||||||
1.09%, 03/25/2038 | 128,314 | 130,298 | ||||||
6.01%, 03/25/2038 IO | 169,707 | 27,945 | ||||||
6.04%, 03/25/2038 IO | 154,221 | 18,464 | ||||||
6.80%, 03/25/2038 IO | 236,882 | 35,461 | ||||||
13.63%, 03/25/2038 | 59,775 | 74,731 | ||||||
5.50%, 04/25/2038 | 1,928,212 | 2,065,497 | ||||||
6.50%, 04/25/2038 | 149,959 | 167,211 | ||||||
6.66%, 04/25/2038 IO | 190,815 | 27,314 | ||||||
6.71%, 04/25/2038 IO | 201,270 | 31,213 | ||||||
20.14%, 04/25/2038 | 82,493 | 121,426 | ||||||
0.00%, 05/25/2038 PO | 7,395 | 6,804 | ||||||
5.50%, 05/25/2038 | 1,926,892 | 2,065,522 | ||||||
1.71%, 06/25/2038 IO | 433,650 | 33,709 | ||||||
5.00%, 07/25/2038 | 110,970 | 120,340 | ||||||
5.00%, 07/25/2038 | 130,580 | 143,522 | ||||||
5.50%, 07/25/2038 | 968,720 | 1,045,131 | ||||||
7.01%, 07/25/2038 IO | 127,838 | 24,616 | ||||||
5.66%, 09/25/2038 IO | 535,808 | 63,040 | ||||||
5.66%, 09/25/2038 IO | 289,211 | 39,748 | ||||||
4.50%, 11/25/2038 | 101,565 | 106,284 | ||||||
0.59%, 12/25/2038 | 342,987 | 343,980 | ||||||
4.00%, 02/25/2039 | 523,478 | 547,678 | ||||||
4.50%, 02/25/2039 | 34,433 | 36,743 | ||||||
6.36%, 02/25/2039 IO | 330,196 | 68,040 | ||||||
6.46%, 03/25/2039 IO | 293,203 | 44,086 | ||||||
0.64%, 04/25/2039 | 697,597 | 701,239 | ||||||
5.00%, 07/25/2039 IO | 229,069 | 39,555 | ||||||
7.00%, 07/25/2039 | 20,398 | 23,887 | ||||||
5.00%, 08/25/2039 | 783,525 | 868,443 | ||||||
6.00%, 08/25/2039 | 962,503 | 1,095,148 | ||||||
5.00%, 09/25/2039 | 861,492 | 923,976 | ||||||
6.02%, 09/25/2039 | 403,757 | 465,695 | ||||||
5.50%, 10/25/2039 IO | 565,941 | 100,495 | ||||||
5.71%, 10/25/2039 IO | 251,698 | 31,672 | ||||||
2.38%, 12/25/2039 | 816,781 | 846,943 | ||||||
5.99%, 12/25/2039 IO | 312,204 | 39,090 | ||||||
6.30%, 12/25/2039 | 552,546 | 621,170 | ||||||
0.00%, 01/25/2040 PO | 119,891 | 112,572 | ||||||
6.06%, 01/25/2040 IO | 407,829 | 63,001 | ||||||
6.19%, 02/25/2040 | 153,031 | 173,456 | ||||||
0.79%, 03/25/2040 | 308,389 | 312,587 | ||||||
6.23%, 03/25/2040 | 431,753 | 499,499 | ||||||
6.44%, 03/25/2040 | 456,085 | 514,461 |
Table of Contents
12.29%, 03/25/2040 | 799,236 | 976,653 | ||||||
0.79%, 04/25/2040 | 263,499 | 265,600 | ||||||
6.23%, 04/25/2040 IO | 382,523 | 60,534 | ||||||
17.04%, 04/25/2040 | 310,000 | 425,062 | ||||||
0.79%, 05/25/2040 | 245,769 | 248,921 | ||||||
6.21%, 05/25/2040 IO | 256,819 | 48,013 | ||||||
0.00%, 06/25/2040 PO | 199,929 | 186,352 | ||||||
5.00%, 06/25/2040 | 2,033,630 | 2,243,279 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,103,255 | ||||||
5.50%, 07/25/2040 | 939,944 | 1,070,946 | ||||||
4.00%, 08/25/2040 | 3,000,000 | 3,152,955 | ||||||
5.00%, 09/25/2040 | 206,000 | 234,114 | ||||||
5.50%, 10/25/2040 | 2,012,000 | 2,270,804 | ||||||
4.25%, 11/25/2040 IO | 2,039,258 | 186,070 | ||||||
0.74%, 01/25/2041 | 555,147 | 559,248 | ||||||
6.34%, 01/25/2041 IO | 1,416,012 | 324,554 | ||||||
0.59%, 02/25/2041 | 1,223,901 | 1,229,572 | ||||||
0.49%, 03/25/2041 | 732,182 | 735,111 | ||||||
1.83%, 04/25/2041 IO | 3,170,313 | 225,991 | ||||||
0.69%, 07/25/2041 | 177,056 | 178,738 | ||||||
0.49%, 08/25/2041 | 2,434,701 | 2,426,342 | ||||||
0.74%, 08/25/2041 | 528,486 | 535,678 | ||||||
0.69%, 11/25/2041 | 614,338 | 620,392 | ||||||
7.00%, 11/25/2041 | 3,473,897 | 4,094,095 | ||||||
7.00%, 11/25/2041 | 2,822,803 | 3,337,965 | ||||||
7.00%, 11/25/2041 | 3,915,137 | 4,627,109 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 1,004,848 | ||||||
6.50%, 06/25/2042 | 98,909 | 112,887 | ||||||
0.64%, 09/25/2042 | 831,554 | 829,918 | ||||||
0.69%, 09/25/2042 | 413,252 | 417,079 | ||||||
0.69%, 09/25/2042 | 2,976,282 | 2,986,411 | ||||||
0.69%, 10/25/2042 | 3,156,307 | 3,182,804 | ||||||
0.69%, 10/25/2042 | 1,341,928 | 1,357,619 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 942,111 | ||||||
3.50%, 02/25/2043 | 778,685 | 804,804 | ||||||
0.54%, 03/25/2043 | 1,235,559 | 1,227,554 | ||||||
0.00%, 09/25/2043 PO | 2,311,663 | 1,761,352 | ||||||
0.00%, 10/25/2043 PO | 1,620,836 | 1,235,428 | ||||||
0.00%, 12/25/2043 PO | 4,480,212 | 3,455,531 | ||||||
5.91%, 11/25/2049 IO | 239,538 | 35,634 | ||||||
5.82%, 02/25/2051 | 305,116 | 334,997 | ||||||
5.43%, 07/25/2051 | 101,544 | 112,917 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 95,202 | 106,591 | ||||||
6.50%, 07/25/2042 | 160,418 | 183,544 |
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Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 658,088 | 738,407 | ||||||
6.50%, 09/25/2042 | 272,645 | 310,438 | ||||||
Fannie Mae Trust 2003-W8 | ||||||||
0.59%, 05/25/2042 | 62,657 | 62,993 | ||||||
7.00%, 10/25/2042 | 333,752 | 387,327 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2033 | 453,492 | 527,381 | ||||||
5.04%, 11/25/2043 | 296,860 | 302,502 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
0.44%, 08/25/2044 | 348,275 | 346,140 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 116,845 | 136,268 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 121,174 | 141,403 | ||||||
Fannie Mae Trust 2005-W3 | ||||||||
0.41%, 03/25/2045 | 2,607,781 | 2,613,161 | ||||||
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2035 | 143,274 | 163,112 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
2.26%, 11/25/2035 | 328,559 | 326,644 | ||||||
0.41%, 02/25/2036 | 1,248,591 | 1,247,553 | ||||||
Fannie Mae Whole Loan | ||||||||
0.45%, 11/25/2046 | 3,134,020 | 3,138,890 | ||||||
Fannie Mae-Aces | ||||||||
0.55%, 01/25/2017 | 412,466 | 412,815 | ||||||
0.49%, 12/25/2017 | 877,985 | 879,016 | ||||||
2.03%, 03/25/2019 | 1,818,000 | 1,847,701 | ||||||
0.70%, 08/25/2019 | 769,657 | 774,797 | ||||||
4.45%, 09/25/2019 | 2,106,826 | 2,310,676 | ||||||
1.80%, 12/25/2019 | 743,000 | 746,215 | ||||||
4.33%, 03/25/2020 | 826,000 | 904,770 | ||||||
3.66%, 11/25/2020 | 667,063 | 715,474 | ||||||
3.65%, 04/25/2021 | 894,000 | 952,745 | ||||||
3.76%, 04/25/2021 | 6,037,000 | 6,484,631 | ||||||
3.73%, 06/25/2021 | 5,158,000 | 5,552,876 | ||||||
3.76%, 06/25/2021 | 1,032,000 | 1,107,496 | ||||||
2.92%, 08/25/2021 | 706,000 | 721,465 | ||||||
2.61%, 10/25/2021 | 3,000,000 | 3,042,819 | ||||||
2.28%, 12/27/2022 | 1,357,000 | 1,328,979 | ||||||
2.39%, 01/25/2023 | 1,342,000 | 1,315,387 | ||||||
3.51%, 12/25/2023 | 8,394,000 | 8,824,914 | ||||||
3.50%, 01/25/2024 | 16,000,000 | 16,768,960 | ||||||
3.10%, 07/25/2024 | 1,066,000 | 1,086,314 | ||||||
3.02%, 08/25/2024 | 1,273,000 | 1,279,323 | ||||||
2.53%, 09/25/2024 | 1,390,000 | 1,349,160 | ||||||
2.72%, 10/25/2024 | 13,450,000 | 13,259,669 |
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3.16%, 12/01/2024 | 2,991,649 | 3,036,719 | ||||||
2.59%, 12/25/2024 | 1,640,000 | 1,597,698 | ||||||
2.83%, 01/25/2025 | 3,500,000 | 3,458,668 | ||||||
2.90%, 01/25/2025 | 2,000,000 | 1,994,578 | ||||||
3.09%, 04/25/2027 | 23,211,000 | 22,936,228 | ||||||
FDIC Guaranteed Notes Trust 2010-C1 | ||||||||
2.98%, 12/06/2020 (Acquired 10/28/2013, Cost $1,257,291) (b) | 1,233,456 | 1,262,138 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
5.09%, 03/25/2019 | 9,000,000 | 10,046,790 | ||||||
1.80%, 06/25/2020 | 60,478,431 | 3,789,518 | ||||||
2.87%, 12/25/2021 | 5,500,000 | 5,649,996 | ||||||
1.60%, 05/25/2022 | 56,177,509 | 4,529,705 | ||||||
2.37%, 05/25/2022 | 15,905,000 | 15,842,461 | ||||||
1.02%, 10/25/2022 | 23,485,919 | 1,234,115 | ||||||
2.52%, 01/25/2023 | 2,000,000 | 1,994,122 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,458,231 | ||||||
3.06%, 07/25/2023 | 8,150,000 | 8,344,712 | ||||||
3.53%, 07/25/2023 | 12,628,000 | 13,339,903 | ||||||
3.49%, 01/25/2024 | 5,000,000 | 5,252,305 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,463,899 | ||||||
2.81%, 01/25/2025 | 10,205,000 | 10,102,828 | ||||||
2.77%, 05/25/2025 | 4,250,000 | 4,149,428 | ||||||
FHLMC Structured Pass Through Securities | ||||||||
6.15%, 07/25/2032 | 88,247 | 100,265 | ||||||
5.58%, 07/25/2033 | 268,925 | 306,717 | ||||||
3.01%, 10/25/2037 | 2,271,996 | 2,268,388 | ||||||
7.50%, 02/25/2042 | 387,677 | 460,917 | ||||||
7.50%, 08/25/2042 | 56,931 | 68,025 | ||||||
6.50%, 02/25/2043 | 354,358 | 415,416 | ||||||
7.00%, 02/25/2043 | 122,465 | 148,650 | ||||||
5.23%, 05/25/2043 | 858,064 | 942,425 | ||||||
0.00%, 07/25/2043 PO | 35,165 | 30,105 | ||||||
7.50%, 07/25/2043 | 90,511 | 107,961 | ||||||
0.00%, 09/25/2043 PO | 42,826 | 34,527 | ||||||
7.50%, 09/25/2043 | 491,978 | 581,013 | ||||||
0.00%, 10/25/2043 PO | 46,109 | 35,286 | ||||||
7.00%, 10/25/2043 | 481,945 | 552,336 | ||||||
1.35%, 10/25/2044 | 1,017,448 | 1,032,575 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 25,248 | 27,952 | ||||||
6.25%, 11/25/2023 | 15,445 | 16,952 | ||||||
7.50%, 04/25/2024 | 113,933 | 128,966 | ||||||
First Boston Mortgage Securities Corp 1987 STRIPs | ||||||||
0.00%, 04/25/2017 | 183 | 183 | ||||||
10.97%, 04/25/2017 | 327 | 5 |
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First Horizon Alternative Mortgage Securities Trust 2005-FA7 | ||||||||
5.00%, 09/25/2020 | 20,523 | 20,907 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 207,763 | 187,033 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 62,631 | 62,703 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 02/25/2037 (f) | 114,616 | 98,964 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
5.46%, 08/25/2037 IO | 1,573,338 | 319,539 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR2 | ||||||||
2.75%, 05/25/2034 | 89,546 | 88,858 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR7 | ||||||||
2.58%, 02/25/2035 | 562,412 | 563,908 | ||||||
First Horizon Mortgage Pass-Through Trust 2005-AR1 | ||||||||
2.62%, 04/25/2035 | 394,381 | 393,529 | ||||||
Fnma Pass-thru Blln Multi 7+ | ||||||||
3.00%, 06/01/2027 | 2,000,000 | 1,961,265 | ||||||
3.13%, 06/01/2030 | 1,000,000 | 965,292 | ||||||
Freddie Mac Gold Pool | ||||||||
6.50%, 07/01/2016 | 2,239 | 2,272 | ||||||
6.50%, 08/01/2016 | 1,395 | 1,420 | ||||||
6.00%, 04/01/2017 | 166,393 | 171,603 | ||||||
6.00%, 04/01/2017 | 84,771 | 87,299 | ||||||
7.00%, 04/01/2017 | 153 | 154 | ||||||
6.50%, 05/01/2017 | 1,036 | 1,044 | ||||||
5.50%, 06/01/2017 | 2,704 | 2,788 | ||||||
5.00%, 10/01/2017 | 27,338 | 28,542 | ||||||
6.00%, 10/01/2017 | 352 | 354 | ||||||
6.50%, 11/01/2017 | 1,238 | 1,285 | ||||||
5.00%, 12/01/2017 | 101,354 | 105,819 | ||||||
5.00%, 12/01/2017 | 107,287 | 112,012 | ||||||
6.50%, 12/01/2017 | 2,800 | 2,902 | ||||||
5.50%, 01/01/2018 | 26,167 | 27,138 | ||||||
5.50%, 02/01/2018 | 27,813 | 29,046 | ||||||
5.50%, 04/01/2018 | 285,901 | 299,725 | ||||||
6.00%, 04/01/2018 | 7,135 | 7,414 | ||||||
6.50%, 04/01/2018 | 26,533 | 27,287 | ||||||
4.00%, 06/01/2018 | 4,063 | 4,254 | ||||||
4.50%, 08/01/2018 | 9,715 | 10,115 | ||||||
4.50%, 10/01/2018 | 48,678 | 50,684 | ||||||
4.50%, 10/01/2018 | 6,413 | 6,677 | ||||||
5.00%, 12/01/2018 | 14,708 | 15,355 | ||||||
5.50%, 01/01/2019 | 50,140 | 52,107 | ||||||
6.50%, 09/01/2019 | 21,159 | 21,914 | ||||||
5.50%, 12/01/2019 | 50,042 | 52,798 | ||||||
6.00%, 02/01/2020 | 10,618 | 11,035 |
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5.50%, 04/01/2020 | 49,188 | 52,077 | ||||||
5.50%, 06/01/2020 | 32,954 | 34,431 | ||||||
6.00%, 06/01/2020 | 27,533 | 29,110 | ||||||
8.00%, 07/01/2020 | 121 | 122 | ||||||
6.00%, 08/01/2020 | 15,236 | 16,076 | ||||||
6.00%, 07/01/2021 | 42,091 | 43,507 | ||||||
6.00%, 07/01/2021 | 73,554 | 77,466 | ||||||
6.00%, 01/01/2022 | 13,155 | 13,466 | ||||||
6.00%, 02/01/2022 | 12,058 | 12,409 | ||||||
6.00%, 03/01/2022 | 49,131 | 51,022 | ||||||
6.50%, 03/01/2022 | 10,645 | 11,437 | ||||||
5.50%, 11/01/2022 | 8,946 | 10,009 | ||||||
6.50%, 11/01/2022 | 37,724 | 43,191 | ||||||
6.00%, 12/01/2022 | 13,164 | 14,891 | ||||||
5.50%, 07/01/2023 | 10,841 | 12,136 | ||||||
5.50%, 01/01/2024 | 1,385,494 | 1,519,360 | ||||||
5.50%, 02/01/2024 | 33,955 | 36,865 | ||||||
8.00%, 08/01/2024 | 1,205 | 1,417 | ||||||
8.00%, 11/01/2024 | 854 | 949 | ||||||
7.50%, 08/01/2025 | 2,030 | 2,425 | ||||||
3.50%, 11/01/2025 | 795,954 | 839,946 | ||||||
3.50%, 12/01/2025 | 2,338,275 | 2,470,342 | ||||||
10.00%, 03/17/2026 | 62,478 | 67,742 | ||||||
7.00%, 04/01/2026 | 2,401 | 2,807 | ||||||
3.50%, 08/01/2026 | 2,709,211 | 2,861,703 | ||||||
3.50%, 01/01/2027 | 434,589 | 459,153 | ||||||
6.50%, 01/01/2028 | 82,949 | 96,550 | ||||||
2.50%, 04/01/2028 | 590,825 | 602,578 | ||||||
3.00%, 07/01/2028 | 3,736,430 | 3,869,702 | ||||||
8.50%, 07/01/2028 | 6,271 | 7,688 | ||||||
3.00%, 08/01/2028 | 1,973,393 | 2,046,819 | ||||||
3.00%, 09/01/2028 | 8,049,320 | 8,338,225 | ||||||
3.00%, 10/01/2028 | 3,119,062 | 3,237,065 | ||||||
7.00%, 12/01/2028 | 98,067 | 115,044 | ||||||
3.00%, 05/01/2029 | 2,636,406 | 2,736,033 | ||||||
6.50%, 06/01/2029 | 33,016 | 38,624 | ||||||
7.00%, 07/01/2029 | 1,149 | 1,291 | ||||||
6.50%, 08/01/2029 | 138,251 | 161,556 | ||||||
6.00%, 10/01/2029 | 33,179 | 37,966 | ||||||
2.50%, 03/01/2030 | 2,926,910 | 2,959,126 | ||||||
10.00%, 10/01/2030 | 343,505 | 387,917 | ||||||
7.00%, 01/01/2031 | 79,790 | 90,097 | ||||||
3.50%, 01/01/2032 | 1,182,633 | 1,231,811 | ||||||
7.50%, 01/01/2032 | 188,168 | 220,713 | ||||||
3.50%, 03/01/2032 | 474,416 | 494,162 | ||||||
7.00%, 07/01/2032 | 6,348 | 7,044 |
Table of Contents
7.00%, 08/01/2032 | 9,796 | 11,787 | ||||||
5.50%, 01/01/2033 | 315,573 | 353,165 | ||||||
3.50%, 02/01/2033 | 360,932 | 376,030 | ||||||
6.00%, 02/01/2033 | 170,975 | 187,877 | ||||||
3.50%, 05/01/2033 | 1,440,887 | 1,500,916 | ||||||
3.50%, 05/01/2033 | 412,201 | 429,464 | ||||||
5.50%, 10/01/2033 | 78,103 | 88,481 | ||||||
6.00%, 12/01/2033 | 15,583 | 17,643 | ||||||
5.00%, 01/01/2034 | 66,854 | 74,852 | ||||||
6.00%, 01/01/2034 | 77,338 | 85,500 | ||||||
6.00%, 01/01/2034 | 55,811 | 63,907 | ||||||
5.00%, 06/01/2034 | 355,324 | 393,874 | ||||||
5.00%, 09/01/2034 | 142,419 | 159,273 | ||||||
6.50%, 11/01/2034 | 17,414 | 20,189 | ||||||
6.50%, 01/01/2035 | 220,331 | 261,705 | ||||||
5.00%, 03/01/2035 | 95,604 | 106,189 | ||||||
5.50%, 07/01/2035 | 155,749 | 175,470 | ||||||
4.50%, 11/01/2035 | 23,156 | 25,110 | ||||||
6.50%, 12/01/2035 | 128,473 | 148,949 | ||||||
6.50%, 12/01/2035 | 83,110 | 92,415 | ||||||
5.50%, 01/01/2036 | 57,118 | 64,034 | ||||||
5.00%, 03/01/2036 | 7,515,720 | 8,304,925 | ||||||
5.00%, 07/01/2036 | 6,469 | 7,133 | ||||||
5.00%, 08/20/2036 | 4,687,721 | 5,296,536 | ||||||
5.00%, 11/01/2036 | 187,470 | 207,208 | ||||||
6.00%, 11/01/2036 | 43,815 | 48,394 | ||||||
6.50%, 11/01/2036 | 266,703 | 304,946 | ||||||
6.50%, 11/01/2036 | 695,573 | 790,965 | ||||||
6.50%, 11/01/2036 | 47,097 | 53,922 | ||||||
5.50%, 12/01/2036 | 92,388 | 103,439 | ||||||
6.00%, 12/01/2036 | 45,830 | 52,138 | ||||||
6.00%, 12/01/2036 | 23,866 | 26,973 | ||||||
6.50%, 12/01/2036 | 625,679 | 693,301 | ||||||
6.50%, 12/01/2036 | 210,372 | 243,759 | ||||||
7.50%, 12/01/2036 | 681,593 | 805,592 | ||||||
6.50%, 01/01/2037 | 48,025 | 54,912 | ||||||
6.50%, 01/01/2037 | 33,506 | 36,620 | ||||||
6.50%, 02/01/2037 | 54,506 | 60,490 | ||||||
7.00%, 02/01/2037 | 18,691 | 21,847 | ||||||
5.00%, 03/01/2037 | 635,798 | 700,696 | ||||||
5.00%, 06/01/2037 | 613,441 | 674,276 | ||||||
6.50%, 06/01/2037 | 25,099 | 26,827 | ||||||
5.00%, 08/01/2037 | 599,613 | 660,158 | ||||||
6.50%, 11/01/2037 | 112,277 | 134,737 | ||||||
7.50%, 01/01/2038 | 138,456 | 167,383 | ||||||
7.50%, 01/01/2038 | 82,455 | 94,565 |
Table of Contents
5.00%, 02/01/2038 | 649,701 | 714,994 | ||||||
5.00%, 03/01/2038 | 149,287 | 164,369 | ||||||
5.00%, 03/01/2038 | 1,084,503 | 1,194,086 | ||||||
5.00%, 03/01/2038 | 715,832 | 787,372 | ||||||
5.00%, 03/01/2038 | 668,270 | 734,897 | ||||||
6.50%, 03/01/2038 | 131,528 | 152,953 | ||||||
5.00%, 04/01/2038 | 652,855 | 717,599 | ||||||
5.50%, 05/01/2038 | 187,940 | 210,326 | ||||||
5.50%, 08/01/2038 | 225,473 | 252,248 | ||||||
5.00%, 09/01/2038 | 2,539 | 2,791 | ||||||
5.00%, 09/01/2038 | 522,897 | 574,866 | ||||||
7.50%, 09/01/2038 | 55,958 | 68,357 | ||||||
5.00%, 11/01/2038 | 3,873 | 4,260 | ||||||
5.00%, 12/01/2038 | 627,126 | 689,593 | ||||||
5.00%, 12/01/2038 | 2,361 | 2,597 | ||||||
5.00%, 02/01/2039 | 1,286,990 | 1,414,908 | ||||||
5.00%, 05/01/2039 | 15,241 | 17,149 | ||||||
4.50%, 07/01/2039 | 618,099 | 668,300 | ||||||
4.50%, 10/01/2039 | 4,185,657 | 4,526,194 | ||||||
4.50%, 11/01/2039 | 7,018,263 | 7,590,263 | ||||||
4.50%, 11/01/2039 | 4,789,614 | 5,179,948 | ||||||
5.00%, 03/01/2040 | 6,888,184 | 7,622,409 | ||||||
5.50%, 03/01/2040 | 57,893 | 64,778 | ||||||
5.50%, 05/01/2040 | 5,289,905 | 5,917,754 | ||||||
4.50%, 08/01/2040 | 1,100,272 | 1,190,218 | ||||||
5.00%, 08/01/2040 | 3,310,177 | 3,665,734 | ||||||
5.00%, 08/01/2040 | 891,059 | 988,297 | ||||||
5.50%, 08/01/2040 | 2,296,518 | 2,569,074 | ||||||
4.00%, 09/01/2040 | 1,638,951 | 1,736,136 | ||||||
4.50%, 09/01/2040 | 846,876 | 915,200 | ||||||
4.50%, 09/01/2040 | 3,390,687 | 3,667,004 | ||||||
4.00%, 11/01/2040 | 81,266 | 86,079 | ||||||
4.00%, 11/01/2040 | 4,935,255 | 5,222,591 | ||||||
4.00%, 12/01/2040 | 2,879,408 | 3,050,427 | ||||||
4.00%, 12/01/2040 | 879,853 | 933,646 | ||||||
4.00%, 12/01/2040 | 2,278,952 | 2,418,536 | ||||||
4.00%, 12/01/2040 | 1,976,443 | 2,097,438 | ||||||
4.00%, 12/01/2040 | 2,955,238 | 3,131,037 | ||||||
4.00%, 01/01/2041 | 1,932,536 | 2,048,076 | ||||||
4.50%, 03/01/2041 | 622,683 | 673,408 | ||||||
4.50%, 05/01/2041 | 4,445,319 | 4,817,571 | ||||||
5.00%, 06/01/2041 | 823,091 | 912,916 | ||||||
4.00%, 11/01/2041 | 25,916 | 27,438 | ||||||
4.00%, 01/01/2042 | 487,038 | 515,599 | ||||||
4.00%, 05/01/2042 | 34,963 | 37,004 | ||||||
3.50%, 06/01/2042 | 4,909,774 | 5,056,927 |
Table of Contents
3.50%, 06/01/2042 | 895,312 | 921,405 | ||||||
4.00%, 06/01/2042 | 4,057,164 | 4,324,688 | ||||||
3.50%, 07/01/2042 | 20,230,772 | 20,819,865 | ||||||
3.00%, 08/01/2042 | 3,350,985 | 3,333,945 | ||||||
3.50%, 08/01/2042 | 1,669,425 | 1,717,920 | ||||||
3.50%, 08/15/2042 (d) | 1,500,000 | 1,536,004 | ||||||
3.50%, 09/01/2042 | 6,472,274 | 6,661,095 | ||||||
3.00%, 10/01/2042 | 8,187,402 | 8,145,743 | ||||||
3.50%, 10/01/2042 | 5,417,103 | 5,574,589 | ||||||
4.00%, 10/01/2042 | 198,714 | 206,119 | ||||||
3.50%, 11/01/2042 | 209,651 | 215,939 | ||||||
4.00%, 01/01/2043 | 468,878 | 499,679 | ||||||
3.00%, 02/01/2043 | 686,470 | 682,976 | ||||||
3.00%, 03/01/2043 | 4,385,766 | 4,362,437 | ||||||
3.00%, 03/01/2043 | 8,875,618 | 8,830,459 | ||||||
3.50%, 03/01/2043 | 1,559,942 | 1,605,043 | ||||||
3.00%, 04/01/2043 | 167,573 | 166,641 | ||||||
3.50%, 05/01/2043 | 474,893 | 489,229 | ||||||
3.00%, 06/01/2043 | 18,776,212 | 18,669,810 | ||||||
3.00%, 06/01/2043 | 66,041 | 65,635 | ||||||
3.50%, 06/01/2043 | 1,612,532 | 1,661,148 | ||||||
3.50%, 06/01/2043 | 3,134,729 | 3,223,977 | ||||||
4.00%, 06/01/2043 | 24,080 | 25,597 | ||||||
3.00%, 07/01/2043 | 47,152 | 46,879 | ||||||
3.00%, 07/01/2043 | 615,926 | 612,356 | ||||||
3.00%, 08/01/2043 | 906,677 | 901,105 | ||||||
3.00%, 08/01/2043 | 11,582,433 | 11,513,949 | ||||||
3.00%, 09/01/2043 | 766,912 | 762,132 | ||||||
4.00%, 09/01/2043 | 344,061 | 365,357 | ||||||
3.50%, 10/01/2043 | 382,772 | 393,423 | ||||||
3.00%, 11/01/2043 | 89,601 | 89,051 | ||||||
4.00%, 11/01/2043 | 490,758 | 518,362 | ||||||
4.00%, 11/01/2043 | 192,448 | 203,611 | ||||||
4.00%, 12/01/2043 | 546,600 | 577,781 | ||||||
4.00%, 12/01/2043 | 1,116,293 | 1,185,400 | ||||||
4.00%, 12/01/2043 | 4,443,344 | 4,693,276 | ||||||
4.00%, 01/01/2044 | 1,346,885 | 1,422,645 | ||||||
4.00%, 01/01/2044 | 224,436 | 237,918 | ||||||
4.00%, 01/01/2044 | 2,440,876 | 2,581,362 | ||||||
4.00%, 03/01/2044 | 7,563,153 | 7,988,571 | ||||||
3.50%, 05/01/2044 | 10,219,169 | 10,552,119 | ||||||
4.50%, 05/01/2044 | 4,557,703 | 4,922,389 | ||||||
3.50%, 07/01/2044 | 11,798,665 | 12,126,973 | ||||||
4.50%, 07/01/2044 | 171,262 | 185,264 | ||||||
4.00%, 10/01/2044 | 6,645,645 | 7,053,097 | ||||||
3.50%, 03/01/2045 | 5,515,071 | 5,668,794 |
Table of Contents
3.00%, 05/01/2045 | 1,908,731 | 1,897,220 | ||||||
3.00%, 05/01/2045 | 3,494,529 | 3,471,284 | ||||||
3.00%, 06/01/2045 | 1,000,000 | 992,863 | ||||||
Freddie Mac Non Gold Pool | ||||||||
2.13%, 07/01/2019 | 2,950 | 2,994 | ||||||
12.00%, 07/01/2019 | 18 | 18 | ||||||
2.25%, 07/01/2026 | 5,056 | 5,093 | ||||||
2.27%, 01/01/2027 | 11,003 | 11,574 | ||||||
2.33%, 04/01/2030 | 5,010 | 5,291 | ||||||
2.50%, 09/01/2032 | 9,459 | 10,121 | ||||||
2.47%, 05/01/2033 | 291,934 | 310,626 | ||||||
2.36%, 12/01/2033 | 53,247 | 57,041 | ||||||
2.37%, 04/01/2034 | 95,374 | 101,068 | ||||||
2.52%, 09/01/2034 | 232,003 | 248,180 | ||||||
2.38%, 01/01/2035 | 311,279 | 331,799 | ||||||
2.38%, 01/01/2035 | 95,597 | 102,028 | ||||||
2.26%, 08/01/2035 | 27,935 | 29,572 | ||||||
2.50%, 12/01/2035 | 160,323 | 171,080 | ||||||
2.30%, 02/01/2036 | 48,906 | 52,043 | ||||||
2.54%, 02/01/2036 | 220,495 | 235,868 | ||||||
2.67%, 03/01/2036 | 221,298 | 236,694 | ||||||
3.03%, 03/01/2036 | 349,372 | 375,568 | ||||||
2.49%, 05/01/2036 | 241,196 | 257,992 | ||||||
2.50%, 05/01/2036 | 154,327 | 163,737 | ||||||
2.94%, 05/01/2036 | 51,945 | 55,712 | ||||||
2.60%, 06/01/2036 | 662,454 | 708,882 | ||||||
2.64%, 06/01/2036 | 180,619 | 193,919 | ||||||
2.09%, 07/01/2036 | 100,510 | 106,283 | ||||||
2.40%, 07/01/2036 | 80,496 | 86,425 | ||||||
3.43%, 07/01/2036 | 93,063 | 96,933 | ||||||
2.00%, 08/01/2036 | 62,004 | 65,324 | ||||||
2.08%, 08/01/2036 | 126,667 | 133,678 | ||||||
2.12%, 08/01/2036 | 768,021 | 815,559 | ||||||
2.33%, 09/01/2036 | 256,797 | 273,363 | ||||||
2.46%, 09/01/2036 | 269,640 | 289,376 | ||||||
2.10%, 10/01/2036 | 425,230 | 448,714 | ||||||
2.10%, 10/01/2036 | 122,400 | 129,874 | ||||||
2.14%, 10/01/2036 | 225,573 | 238,318 | ||||||
2.19%, 10/01/2036 | 131,161 | 139,336 | ||||||
2.41%, 10/01/2036 | 48,852 | 50,699 | ||||||
2.49%, 10/01/2036 | 210,443 | 225,882 | ||||||
2.65%, 10/01/2036 | 161,885 | 173,861 | ||||||
2.20%, 11/01/2036 | 45,980 | 49,116 | ||||||
2.24%, 11/01/2036 | 210,725 | 224,952 | ||||||
2.28%, 11/01/2036 | 95,134 | 101,232 | ||||||
2.37%, 11/01/2036 | 110,835 | 118,418 |
Table of Contents
2.38%, 11/01/2036 | 319,391 | 341,699 | ||||||
2.14%, 12/01/2036 | 612,985 | 651,204 | ||||||
2.22%, 12/01/2036 | 622,002 | 664,026 | ||||||
2.28%, 12/01/2036 | 19,876 | 21,206 | ||||||
2.57%, 12/01/2036 | 234,627 | 251,891 | ||||||
2.77%, 12/01/2036 | 32,573 | 35,479 | ||||||
2.04%, 01/01/2037 | 37,881 | 39,884 | ||||||
2.50%, 01/01/2037 | 122,784 | 131,654 | ||||||
2.28%, 02/01/2037 | 21,677 | 23,136 | ||||||
2.48%, 02/01/2037 | 19,277 | 20,556 | ||||||
2.49%, 02/01/2037 | 346,051 | 368,645 | ||||||
2.57%, 02/01/2037 | 181,187 | 195,376 | ||||||
2.83%, 02/01/2037 | 43,581 | 46,962 | ||||||
2.31%, 03/01/2037 | 632,542 | 670,461 | ||||||
2.73%, 03/01/2037 | 105,312 | 113,790 | ||||||
2.89%, 03/01/2037 | 57,056 | 62,278 | ||||||
1.93%, 04/01/2037 | 69,760 | 73,500 | ||||||
2.49%, 04/01/2037 | 10,475 | 10,839 | ||||||
2.70%, 04/01/2037 | 148,047 | 160,196 | ||||||
1.94%, 05/01/2037 | 177,639 | 186,758 | ||||||
2.39%, 05/01/2037 | 191,299 | 204,201 | ||||||
2.39%, 05/01/2037 | 83,426 | 88,682 | ||||||
2.50%, 05/01/2037 | 57,936 | 62,070 | ||||||
2.64%, 05/01/2037 | 439,122 | 471,080 | ||||||
2.82%, 05/01/2037 | 253,133 | 271,014 | ||||||
2.30%, 06/01/2037 | 115,853 | 123,954 | ||||||
2.41%, 07/01/2037 | 116,858 | 125,129 | ||||||
2.25%, 11/01/2037 | 53,820 | 57,165 | ||||||
2.67%, 04/01/2038 | 238,417 | 256,568 | ||||||
2.51%, 05/01/2038 | 167,975 | 179,892 | ||||||
3.98%, 07/01/2040 | 211,978 | 223,359 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 831,391 | 948,773 | ||||||
6.00%, 05/15/2036 | 1,135,977 | 1,292,128 | ||||||
Freddie Mac REMICS | ||||||||
6.50%, 08/15/2016 | 8,613 | 8,846 | ||||||
6.00%, 09/15/2016 | 24,513 | 25,119 | ||||||
6.00%, 09/15/2016 | 2,386 | 2,444 | ||||||
6.00%, 09/15/2016 | 1,683 | 1,718 | ||||||
6.00%, 09/15/2016 | 6,760 | 6,901 | ||||||
6.00%, 09/15/2016 | 10,983 | 11,271 | ||||||
6.00%, 10/15/2016 | 6,748 | 6,911 | ||||||
5.50%, 12/15/2016 | 15,658 | 16,014 | ||||||
6.00%, 12/15/2016 | 6,074 | 6,243 | ||||||
6.00%, 03/15/2017 | 7,491 | 7,746 | ||||||
5.50%, 06/15/2017 | 2,693 | 2,739 |
Table of Contents
6.00%, 06/15/2017 | 17,077 | 17,575 | ||||||
16.31%, 08/15/2017 | 4,315 | 4,852 | ||||||
5.50%, 10/15/2017 | 11,545 | 12,027 | ||||||
5.00%, 12/15/2017 | 26,975 | 27,905 | ||||||
5.50%, 12/15/2017 | 51,748 | 54,017 | ||||||
5.00%, 01/15/2018 | 26,388 | 27,300 | ||||||
4.50%, 03/15/2018 IO | 1,497 | 0 | ||||||
4.50%, 05/15/2018 | 26,637 | 27,795 | ||||||
6.50%, 05/15/2018 | 4,591 | 4,833 | ||||||
4.50%, 06/15/2018 | 218,854 | 228,364 | ||||||
5.91%, 06/15/2018 IO | 35,744 | 2,155 | ||||||
4.50%, 07/15/2018 | 211,549 | 220,742 | ||||||
0.00%, 10/15/2018 PO | 1,767 | 1,764 | ||||||
0.00%, 03/15/2019 PO | 92,368 | 91,456 | ||||||
6.50%, 03/15/2019 IO | 2,663 | 249 | ||||||
4.50%, 04/15/2019 | 2,418 | 2,479 | ||||||
0.00%, 07/15/2019 PO | 1,715 | 1,707 | ||||||
9.50%, 07/15/2019 | 504 | 510 | ||||||
0.00%, 02/15/2020 PO | 395,023 | 388,754 | ||||||
5.00%, 02/15/2020 IO | 74,789 | 5,397 | ||||||
5.00%, 02/15/2020 IO | 117,692 | 9,181 | ||||||
6.50%, 03/15/2020 | 8,525 | 9,088 | ||||||
11.96%, 03/15/2020 | 33,989 | 38,293 | ||||||
9.50%, 04/15/2020 | 878 | 942 | ||||||
9.60%, 04/15/2020 | 1,466 | 1,610 | ||||||
5.00%, 06/15/2020 | 417,931 | 439,875 | ||||||
10.00%, 06/15/2020 | 228 | 252 | ||||||
7.80%, 09/15/2020 | 325 | 342 | ||||||
9.00%, 10/15/2020 | 854 | 917 | ||||||
6.95%, 01/15/2021 | 2,895 | 3,121 | ||||||
8.60%, 01/15/2021 | 13 | 14 | ||||||
9.50%, 01/15/2021 | 855 | 947 | ||||||
1066.21%, 02/15/2021 IO | 1 | 11 | ||||||
9.00%, 04/15/2021 | 612 | 709 | ||||||
1.14%, 05/15/2021 | 629 | 637 | ||||||
5.00%, 05/15/2021 | 1,800 | 1,878 | ||||||
6.75%, 05/15/2021 | 1,712 | 1,832 | ||||||
7.00%, 05/15/2021 | 11,309 | 12,473 | ||||||
33.37%, 05/15/2021 | 311 | 517 | ||||||
44.39%, 05/15/2021 | 441 | 743 | ||||||
6.00%, 07/15/2021 | 1,821 | 1,964 | ||||||
5.50%, 08/15/2021 | 920 | 979 | ||||||
7.00%, 09/15/2021 | 4,129 | 4,495 | ||||||
8.50%, 09/15/2021 | 3,943 | 4,430 | ||||||
6.68%, 11/15/2021 | 255,576 | 270,744 | ||||||
1181.25%, 11/15/2021 IO | 3 | 20 |
Table of Contents
0.00%, 12/15/2021 PO | 341,527 | 338,774 | ||||||
1177.00%, 01/15/2022 IO | 35 | 701 | ||||||
5.00%, 03/15/2022 | 568,000 | 616,737 | ||||||
7.00%, 03/15/2022 | 1,801 | 1,997 | ||||||
6.00%, 05/15/2022 | 1,232 | 1,317 | ||||||
7.00%, 05/15/2022 | 2,408 | 2,688 | ||||||
7.50%, 08/15/2022 | 2,826 | 3,259 | ||||||
8.00%, 08/15/2022 | 7,085 | 8,153 | ||||||
1.34%, 09/15/2022 | 4,839 | 4,948 | ||||||
5.50%, 10/15/2022 | 144,586 | 158,385 | ||||||
4.58%, 12/15/2022 | 4,731 | 5,088 | ||||||
5.50%, 12/15/2022 | 48,317 | 52,643 | ||||||
5.00%, 01/15/2023 | 4 | 4 | ||||||
1.68%, 02/15/2023 | 619 | 633 | ||||||
7.50%, 02/15/2023 | 43,655 | 48,829 | ||||||
5.50%, 03/15/2023 | 146,000 | 165,423 | ||||||
1.34%, 04/15/2023 | 25,413 | 26,102 | ||||||
5.50%, 04/15/2023 | 147,000 | 167,153 | ||||||
7.00%, 04/15/2023 | 37,909 | 41,824 | ||||||
7.50%, 04/15/2023 | 7,799 | 8,734 | ||||||
5.00%, 05/15/2023 | 40,650 | 44,074 | ||||||
7.00%, 05/15/2023 | 4,359 | 4,926 | ||||||
8.89%, 05/15/2023 | 18,001 | 21,380 | ||||||
0.00%, 06/15/2023 PO | 4,063 | 4,032 | ||||||
0.00%, 06/15/2023 PO | 5,579 | 5,360 | ||||||
5.60%, 06/15/2023 | 81,231 | 86,904 | ||||||
6.36%, 06/15/2023 IO | 37,571 | 2,415 | ||||||
1.61%, 07/15/2023 | 15,425 | 15,644 | ||||||
8.41%, 07/15/2023 | 13,366 | 15,872 | ||||||
24.80%, 07/15/2023 | 3,240 | 5,252 | ||||||
2.18%, 08/15/2023 | 994 | 1,030 | ||||||
6.50%, 09/15/2023 | 106,270 | 121,805 | ||||||
7.00%, 09/15/2023 | 34,794 | 38,836 | ||||||
33.70%, 09/15/2023 | 14,236 | 25,519 | ||||||
0.00%, 10/15/2023 PO | 66,537 | 65,637 | ||||||
4.00%, 10/15/2023 | 749,963 | 778,430 | ||||||
6.25%, 10/15/2023 | 19,272 | 21,480 | ||||||
22.15%, 10/15/2023 | 5,255 | 8,831 | ||||||
5.00%, 11/15/2023 | 516,000 | 564,873 | ||||||
5.50%, 11/15/2023 | 127,265 | 139,715 | ||||||
6.00%, 11/15/2023 | 42,069 | 46,688 | ||||||
5.00%, 12/15/2023 | 53,105 | 57,502 | ||||||
6.50%, 12/15/2023 | 25,090 | 27,833 | ||||||
6.50%, 12/15/2023 | 60,861 | 67,699 | ||||||
7.00%, 01/15/2024 | 17,326 | 19,560 | ||||||
0.00%, 02/15/2024 PO | 18,988 | 18,378 |
Table of Contents
0.00%, 02/15/2024 PO | 5,959 | 5,379 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,851 | ||||||
10.00%, 02/15/2024 | 2,165 | 3,210 | ||||||
18.82%, 02/15/2024 | 1,790 | 2,624 | ||||||
0.79%, 03/15/2024 | 2,910 | 2,952 | ||||||
1.39%, 03/15/2024 | 1,384 | 1,400 | ||||||
7.00%, 03/15/2024 | 78,260 | 88,289 | ||||||
7.00%, 03/15/2024 | 14,149 | 15,955 | ||||||
28.38%, 03/15/2024 IO | 9,273 | 2,783 | ||||||
7.50%, 04/15/2024 | 54,449 | 61,950 | ||||||
0.00%, 05/15/2024 PO | 10,866 | 10,292 | ||||||
8.36%, 05/15/2024 IO | 26,016 | 3,550 | ||||||
0.49%, 06/15/2024 | 94,915 | 95,059 | ||||||
6.00%, 06/15/2024 | 50,643 | 57,315 | ||||||
7.50%, 08/15/2024 | 8,138 | 9,300 | ||||||
4.00%, 12/15/2024 | 206,000 | 225,568 | ||||||
5.00%, 12/15/2024 | 149,212 | 162,193 | ||||||
32.80%, 04/15/2025 | 40,865 | 67,965 | ||||||
4.50%, 06/15/2025 | 722,000 | 809,213 | ||||||
16.41%, 08/15/2025 | 25,651 | 33,716 | ||||||
27.21%, 10/15/2025 | 47,434 | 74,026 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,123,190 | ||||||
5.00%, 03/15/2026 | 319,353 | 354,920 | ||||||
6.50%, 03/15/2026 | 8,318 | 9,172 | ||||||
6.50%, 07/15/2026 | 53,721 | 61,576 | ||||||
7.50%, 09/15/2026 | 6,574 | 7,550 | ||||||
8.00%, 09/15/2026 | 17,662 | 20,440 | ||||||
6.50%, 01/15/2027 | 35,635 | 40,845 | ||||||
7.50%, 01/15/2027 | 45,005 | 51,478 | ||||||
7.50%, 01/15/2027 | 14,600 | 16,790 | ||||||
0.89%, 02/15/2027 | 1,138 | 1,161 | ||||||
6.00%, 05/15/2027 | 37,939 | 41,888 | ||||||
7.25%, 07/15/2027 | 2,106 | 2,407 | ||||||
7.50%, 09/15/2027 | 16,340 | 18,049 | ||||||
5.50%, 10/15/2027 | 177,370 | 178,644 | ||||||
6.50%, 12/15/2027 | 23,405 | 26,203 | ||||||
7.00%, 03/15/2028 IO | 25,958 | 3,957 | ||||||
7.50%, 03/15/2028 | 79,665 | 91,283 | ||||||
7.50%, 05/15/2028 | 30,267 | 34,820 | ||||||
6.50%, 06/15/2028 | 41,177 | 47,230 | ||||||
7.00%, 06/15/2028 | 5,370 | 6,127 | ||||||
6.00%, 07/15/2028 | 14,757 | 16,337 | ||||||
6.25%, 08/15/2028 | 90,602 | 101,600 | ||||||
6.50%, 08/15/2028 | 84,634 | 94,463 | ||||||
6.00%, 09/15/2028 | 15,822 | 17,905 | ||||||
7.00%, 10/15/2028 IO | 33,062 | 4,615 |
Table of Contents
6.00%, 11/15/2028 | 73,696 | 83,858 | ||||||
6.00%, 12/15/2028 | 135,395 | 151,407 | ||||||
0.79%, 01/15/2029 | 33,963 | 34,513 | ||||||
6.00%, 01/15/2029 | 193,692 | 220,628 | ||||||
6.00%, 02/15/2029 | 40,295 | 44,585 | ||||||
6.25%, 02/15/2029 | 205,861 | 227,983 | ||||||
29.75%, 03/15/2029 | 5,481 | 10,021 | ||||||
7.00%, 04/15/2029 IO | 3,182 | 463 | ||||||
7.00%, 06/15/2029 | 166,803 | 191,065 | ||||||
7.50%, 06/15/2029 IO | 12,878 | 1,930 | ||||||
7.00%, 07/15/2029 | 73,057 | 82,456 | ||||||
7.00%, 08/15/2029 | 41,461 | 48,265 | ||||||
4.00%, 11/15/2029 IO | 458,819 | 39,351 | ||||||
7.50%, 11/15/2029 | 222 | 263 | ||||||
8.00%, 11/15/2029 | 37,165 | 42,929 | ||||||
7.00%, 01/15/2030 | 85,017 | 97,868 | ||||||
8.00%, 01/15/2030 | 22,598 | 27,390 | ||||||
8.00%, 01/15/2030 | 73,578 | 85,076 | ||||||
8.00%, 03/15/2030 | 15,002 | 17,993 | ||||||
5.00%, 04/15/2030 | 702,000 | 773,875 | ||||||
8.00%, 04/15/2030 | 21,253 | 24,720 | ||||||
7.50%, 05/15/2030 | 16,780 | 19,385 | ||||||
7.50%, 08/15/2030 | 14,073 | 16,282 | ||||||
7.25%, 09/15/2030 | 38,150 | 43,894 | ||||||
7.00%, 10/15/2030 | 55,830 | 64,116 | ||||||
7.50%, 10/15/2030 | 1,342 | 1,546 | ||||||
7.50%, 10/15/2030 | 4,905 | 5,673 | ||||||
7.25%, 12/15/2030 | 66,770 | 76,649 | ||||||
7.00%, 03/15/2031 | 29,577 | 34,579 | ||||||
6.50%, 05/15/2031 | 16,792 | 19,235 | ||||||
7.00%, 06/15/2031 | 37,480 | 44,059 | ||||||
8.50%, 06/15/2031 | 68,331 | 80,966 | ||||||
6.00%, 07/15/2031 | 11,737 | 11,456 | ||||||
7.00%, 07/15/2031 | 68,885 | 78,630 | ||||||
6.50%, 08/15/2031 | 38,688 | 44,202 | ||||||
6.50%, 08/15/2031 | 378,141 | 443,018 | ||||||
6.50%, 08/15/2031 | 37,978 | 43,821 | ||||||
6.50%, 08/15/2031 | 31,395 | 36,273 | ||||||
6.50%, 10/15/2031 | 33,463 | 38,592 | ||||||
6.50%, 01/15/2032 | 38,277 | 42,998 | ||||||
6.50%, 01/15/2032 | 63,696 | 71,183 | ||||||
1.09%, 02/15/2032 | 199,816 | 204,728 | ||||||
6.38%, 02/15/2032 | 46,176 | 49,708 | ||||||
6.50%, 02/15/2032 | 78,643 | 89,383 | ||||||
6.50%, 02/15/2032 | 72,584 | 81,506 | ||||||
7.81%, 02/15/2032 IO | 158,910 | 39,582 |
Table of Contents
8.46%, 02/15/2032 IO | 31,718 | 10,082 | ||||||
15.73%, 02/15/2032 | 86,384 | 126,609 | ||||||
19.02%, 02/15/2032 | 84,395 | 130,846 | ||||||
6.50%, 03/15/2032 | 104,092 | 121,069 | ||||||
6.50%, 03/15/2032 | 90,046 | 103,794 | ||||||
7.00%, 03/15/2032 | 59,116 | 68,039 | ||||||
7.00%, 03/15/2032 | 74,335 | 85,608 | ||||||
7.76%, 03/15/2032 IO | 65,167 | 17,343 | ||||||
7.81%, 03/15/2032 IO | 42,512 | 11,383 | ||||||
6.50%, 04/15/2032 | 232,926 | 267,341 | ||||||
6.50%, 04/15/2032 | 157,429 | 182,645 | ||||||
6.50%, 04/15/2032 | 24,431 | 28,290 | ||||||
7.00%, 04/15/2032 | 139,652 | 163,311 | ||||||
7.00%, 04/15/2032 | 49,500 | 55,668 | ||||||
5.50%, 05/15/2032 | 99,856 | 103,288 | ||||||
6.50%, 05/15/2032 | 98,581 | 114,799 | ||||||
7.00%, 05/15/2032 | 57,157 | 65,384 | ||||||
6.50%, 06/15/2032 | 108,033 | 124,436 | ||||||
6.50%, 06/15/2032 | 70,569 | 80,884 | ||||||
6.50%, 06/15/2032 | 55,488 | 63,706 | ||||||
6.50%, 07/15/2032 | 110,266 | 127,391 | ||||||
6.50%, 07/15/2032 | 80,057 | 92,154 | ||||||
0.00%, 09/15/2032 PO | 2,062,234 | 1,739,132 | ||||||
6.00%, 09/15/2032 | 140,949 | 160,928 | ||||||
0.00%, 12/15/2032 PO | 14,364 | 13,050 | ||||||
0.00%, 12/15/2032 PO | 15,231 | 15,004 | ||||||
0.00%, 12/15/2032 PO | 94,911 | 92,885 | ||||||
0.94%, 12/15/2032 | 119,772 | 121,914 | ||||||
6.00%, 12/15/2032 | 202,290 | 227,975 | ||||||
6.00%, 12/15/2032 | 97,043 | 109,887 | ||||||
18.15%, 12/15/2032 | 70,612 | 104,120 | ||||||
0.00%, 01/15/2033 PO | 158,377 | 158,036 | ||||||
6.00%, 01/15/2033 | 126,978 | 145,059 | ||||||
0.00%, 02/15/2033 PO | 13,135 | 13,127 | ||||||
0.00%, 02/15/2033 PO | 17,479 | 17,469 | ||||||
6.00%, 02/15/2033 | 459,344 | 503,540 | ||||||
6.00%, 02/15/2033 | 99,626 | 113,557 | ||||||
6.00%, 03/15/2033 | 83,649 | 91,532 | ||||||
6.50%, 03/15/2033 IO | 51,980 | 10,940 | ||||||
0.54%, 05/15/2033 | 644,862 | 647,774 | ||||||
14.51%, 06/15/2033 | 179,299 | 238,409 | ||||||
5.00%, 07/15/2033 | 953,269 | 1,074,735 | ||||||
6.71%, 07/15/2033 | 462 | 550 | ||||||
12.92%, 07/15/2033 | 48,544 | 55,390 | ||||||
3.00%, 08/15/2033 | 495,000 | 494,304 | ||||||
14.42%, 09/15/2033 | 55,708 | 75,243 |
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7.84%, 10/15/2033 | 1,084,000 | 1,270,187 | ||||||
16.09%, 11/15/2033 | 29,535 | 39,716 | ||||||
0.79%, 12/15/2033 | 419,840 | 426,065 | ||||||
5.50%, 12/15/2033 | 145,311 | 151,181 | ||||||
5.00%, 01/15/2034 | 706,412 | 772,982 | ||||||
5.50%, 02/15/2034 | 42,665 | 45,347 | ||||||
6.00%, 05/15/2034 | 426,166 | 466,521 | ||||||
23.81%, 06/15/2034 | 177,078 | 253,368 | ||||||
0.00%, 07/15/2034 PO | 303,670 | 261,743 | ||||||
2.41%, 07/15/2034 | 108,096 | 112,869 | ||||||
0.56%, 10/15/2034 | 300,831 | 301,761 | ||||||
4.00%, 11/15/2034 IO | 834,673 | 49,522 | ||||||
0.00%, 01/15/2035 PO | 3,860 | 3,707 | ||||||
0.00%, 02/15/2035 PO | 79,337 | 72,896 | ||||||
27.34%, 02/15/2035 | 89,469 | 146,041 | ||||||
0.00%, 04/15/2035 PO | 149,358 | 135,087 | ||||||
0.57%, 04/15/2035 | 383,014 | 384,924 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,226,929 | ||||||
0.59%, 05/15/2035 | 142,938 | 144,206 | ||||||
0.49%, 06/15/2035 | 140,770 | 140,877 | ||||||
16.55%, 06/15/2035 | 26,513 | 31,681 | ||||||
0.00%, 08/15/2035 PO | 10,070 | 8,244 | ||||||
0.99%, 08/15/2035 | 158,664 | 161,902 | ||||||
4.00%, 08/15/2035 IO | 136,137 | 570 | ||||||
6.00%, 08/15/2035 | 69,197 | 70,362 | ||||||
0.00%, 09/15/2035 PO | 75,630 | 69,496 | ||||||
6.00%, 09/15/2035 | 197,914 | 204,182 | ||||||
19.38%, 11/15/2035 | 84,690 | 115,029 | ||||||
0.00%, 01/15/2036 PO | 73,076 | 72,798 | ||||||
6.00%, 01/15/2036 | 333,773 | 381,184 | ||||||
23.89%, 01/15/2036 | 28,751 | 44,165 | ||||||
0.00%, 02/15/2036 PO | 57,077 | 51,882 | ||||||
0.00%, 02/15/2036 PO | 96,745 | 88,050 | ||||||
0.00%, 02/15/2036 PO | 302,655 | 285,099 | ||||||
0.00%, 02/15/2036 PO | 66,270 | 61,070 | ||||||
0.00%, 03/15/2036 PO | 185,964 | 175,038 | ||||||
0.00%, 03/15/2036 PO | 173,036 | 163,120 | ||||||
0.00%, 03/15/2036 PO | 19,170 | 16,493 | ||||||
6.00%, 03/15/2036 | 1,945 | 2,615 | ||||||
0.00%, 04/15/2036 PO | 356,680 | 327,273 | ||||||
0.00%, 04/15/2036 PO | 194,404 | 178,376 | ||||||
0.00%, 04/15/2036 PO | 101,069 | 94,919 | ||||||
0.00%, 04/15/2036 PO | 355,569 | 335,056 | ||||||
6.00%, 04/15/2036 | 1,804,161 | 2,042,303 | ||||||
6.00%, 04/15/2036 | 203,638 | 233,171 | ||||||
6.00%, 04/15/2036 IO | 195,098 | 36,002 |
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0.00%, 05/15/2036 PO | 132,794 | 124,089 | ||||||
0.00%, 05/15/2036 PO | 78,953 | 72,664 | ||||||
0.00%, 05/15/2036 PO | 14,455 | 11,823 | ||||||
0.00%, 05/15/2036 PO | 28,855 | 26,442 | ||||||
0.64%, 05/15/2036 | 1,333,139 | 1,340,747 | ||||||
0.69%, 05/15/2036 | 845,698 | 852,503 | ||||||
0.00%, 06/15/2036 PO | 308,519 | 273,038 | ||||||
6.00%, 06/15/2036 | 260,546 | 275,562 | ||||||
6.00%, 06/15/2036 | 42,830 | 48,443 | ||||||
19.15%, 06/15/2036 | 67,443 | 96,173 | ||||||
0.00%, 07/15/2036 PO | 62,805 | 58,460 | ||||||
6.50%, 07/15/2036 | 291,323 | 336,485 | ||||||
6.50%, 07/15/2036 | 220,770 | 255,284 | ||||||
6.91%, 07/15/2036 IO | 35,957 | 7,504 | ||||||
0.00%, 08/15/2036 PO | 89,724 | 83,523 | ||||||
5.50%, 08/15/2036 | 158,211 | 171,431 | ||||||
5.50%, 08/15/2036 | 443,719 | 499,472 | ||||||
6.46%, 08/15/2036 IO | 1,264,924 | 223,503 | ||||||
0.00%, 09/15/2036 PO | 38,415 | 33,552 | ||||||
0.00%, 09/15/2036 PO | 55,820 | 52,176 | ||||||
0.00%, 10/15/2036 PO | 104,911 | 98,871 | ||||||
6.51%, 10/15/2036 IO | 119,920 | 21,389 | ||||||
7.50%, 11/15/2036 | 1,653,652 | 1,962,747 | ||||||
0.00%, 12/15/2036 PO | 50,607 | 46,609 | ||||||
7.00%, 12/15/2036 | 4,019,002 | 4,717,135 | ||||||
7.50%, 12/15/2036 | 1,453,788 | 1,765,389 | ||||||
0.00%, 01/15/2037 PO | 46,489 | 43,040 | ||||||
5.95%, 01/15/2037 IO | 86,954 | 14,455 | ||||||
0.00%, 02/15/2037 PO | 123,132 | 114,861 | ||||||
0.00%, 02/15/2037 PO | 24,258 | 22,174 | ||||||
0.63%, 02/15/2037 | 128,332 | 129,313 | ||||||
4.50%, 02/15/2037 | 941,427 | 1,000,889 | ||||||
6.00%, 02/15/2037 | 190,835 | 210,832 | ||||||
0.00%, 03/15/2037 PO | 51,101 | 47,271 | ||||||
6.26%, 03/15/2037 IO | 135,922 | 19,986 | ||||||
9.00%, 03/15/2037 | 31,018 | 38,497 | ||||||
0.00%, 04/15/2037 PO | 60,355 | 56,047 | ||||||
6.00%, 04/15/2037 | 166,998 | 189,611 | ||||||
0.00%, 05/15/2037 PO | 109,146 | 100,750 | ||||||
0.00%, 05/15/2037 PO | 7,052 | 6,232 | ||||||
0.00%, 05/15/2037 PO | 520,326 | 478,380 | ||||||
6.00%, 05/15/2037 | 380,055 | 421,058 | ||||||
0.00%, 06/15/2037 PO | 57,048 | 49,425 | ||||||
0.00%, 06/15/2037 PO | 35,084 | 32,140 | ||||||
0.00%, 07/15/2037 PO | 605,255 | 512,482 | ||||||
0.58%, 07/15/2037 | 2,681,287 | 2,677,753 |
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4.50%, 07/15/2037 IO | 2,005,914 | 163,179 | ||||||
6.41%, 07/15/2037 IO | 120,653 | 19,318 | ||||||
4.00%, 08/15/2037 IO | 1,598,368 | 140,209 | ||||||
0.00%, 09/15/2037 PO | 71,804 | 66,266 | ||||||
0.79%, 09/15/2037 | 42,141 | 42,347 | ||||||
4.00%, 10/15/2037 IO | 1,024,025 | 66,158 | ||||||
4.00%, 10/15/2037 IO | 729,175 | 41,244 | ||||||
0.87%, 11/15/2037 | 1,788,899 | 1,816,620 | ||||||
6.23%, 11/15/2037 IO | 653,673 | 96,857 | ||||||
6.26%, 11/15/2037 IO | 393,626 | 59,285 | ||||||
5.81%, 01/15/2038 IO | 752,123 | 115,922 | ||||||
16.99%, 02/15/2038 | 31,826 | 42,840 | ||||||
5.50%, 03/15/2038 | 918,000 | 1,060,032 | ||||||
6.61%, 04/15/2038 IO | 268,687 | 43,702 | ||||||
5.50%, 05/15/2038 | 288,206 | 313,797 | ||||||
6.00%, 06/15/2038 | 884,814 | 991,837 | ||||||
6.00%, 06/15/2038 | 65,041 | 71,861 | ||||||
6.01%, 06/15/2038 IO | 288,785 | 40,753 | ||||||
5.66%, 08/15/2038 IO | 556,740 | 71,006 | ||||||
5.70%, 10/15/2038 | 242,881 | 272,805 | ||||||
5.50%, 01/15/2039 | 439,669 | 494,612 | ||||||
1.94%, 02/15/2039 | 184,378 | 186,211 | ||||||
5.81%, 02/15/2039 IO | 254,396 | 42,446 | ||||||
0.59%, 04/15/2039 | 981,411 | 980,646 | ||||||
0.64%, 05/15/2039 | 1,299,039 | 1,306,143 | ||||||
5.91%, 05/15/2039 IO | 208,678 | 28,067 | ||||||
6.11%, 05/15/2039 IO | 299,503 | 39,700 | ||||||
1.39%, 07/15/2039 | 198,645 | 202,868 | ||||||
4.50%, 07/15/2039 | 1,497,882 | 1,635,582 | ||||||
0.64%, 08/15/2039 | 420,284 | 422,681 | ||||||
3.50%, 08/15/2039 | 1,048,981 | 1,107,514 | ||||||
0.00%, 10/15/2039 PO | 247,893 | 228,104 | ||||||
5.00%, 10/15/2039 IO | 850,172 | 128,701 | ||||||
6.06%, 12/15/2039 IO | 361,418 | 47,650 | ||||||
0.00%, 01/15/2040 PO | 256,950 | 238,571 | ||||||
1.78%, 01/15/2040 IO | 3,119,110 | 283,375 | ||||||
16.88%, 02/15/2040 | 475,000 | 681,018 | ||||||
0.69%, 10/15/2040 | 445,580 | 448,540 | ||||||
5.81%, 10/15/2040 IO | 1,416,113 | 250,291 | ||||||
5.81%, 10/15/2040 IO | 1,196,860 | 225,684 | ||||||
0.74%, 12/15/2040 | 3,446,609 | 3,480,492 | ||||||
0.74%, 03/15/2041 | 2,283,205 | 2,309,624 | ||||||
5.00%, 05/15/2041 | 1,040,859 | 1,218,214 | ||||||
5.50%, 05/15/2041 | 1,651,616 | 1,822,284 | ||||||
5.50%, 05/15/2041 | 657,531 | 721,318 | ||||||
0.59%, 10/15/2041 | 1,671,099 | 1,679,776 |
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4.00%, 11/15/2041 | 1,638,845 | 1,750,017 | ||||||
4.00%, 12/15/2041 | 749,410 | 813,194 | ||||||
0.69%, 03/15/2042 | 1,499,279 | 1,511,699 | ||||||
0.69%, 07/15/2042 | 796,548 | 803,683 | ||||||
0.64%, 08/15/2042 | 3,897,841 | 3,916,239 | ||||||
0.59%, 09/15/2042 | 1,424,340 | 1,426,290 | ||||||
3.00%, 06/15/2043 | 206,000 | 199,579 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,135,406 | ||||||
1.75%, 02/15/2046 | 3,740,101 | 3,885,344 | ||||||
7.21%, 11/15/2046 | 1,766,938 | 2,076,310 | ||||||
3.50%, 06/15/2048 | 8,456,453 | 8,957,896 | ||||||
0.00%, 10/15/2049 PO | 1,070,296 | 917,890 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 IO | 146,171 | 8,792 | ||||||
4.50%, 12/15/2020 IO | 94,246 | 5,846 | ||||||
9.00%, 04/01/2022 IO | 228 | 47 | ||||||
0.00%, 04/01/2028 PO | 149,132 | 138,579 | ||||||
5.00%, 09/15/2035 IO | 531,426 | 115,701 | ||||||
5.00%, 09/15/2035 IO | 336,462 | 74,660 | ||||||
5.00%, 09/15/2035 IO | 281,035 | 60,068 | ||||||
7.51%, 08/15/2036 IO | 1,072,077 | 219,793 | ||||||
0.74%, 07/15/2042 | 4,530,744 | 4,526,971 | ||||||
3.50%, 07/15/2042 | 10,090,766 | 10,357,769 | ||||||
0.69%, 08/15/2042 | 1,135,540 | 1,132,487 | ||||||
0.69%, 08/15/2042 | 3,643,174 | 3,653,905 | ||||||
0.69%, 08/15/2042 | 2,985,039 | 2,976,600 | ||||||
0.74%, 08/15/2042 | 2,548,999 | 2,567,306 | ||||||
3.00%, 08/15/2042 | 3,694,070 | 3,676,694 | ||||||
0.64%, 09/15/2042 | 2,865,516 | 2,880,698 | ||||||
0.69%, 10/15/2042 | 4,767,100 | 4,808,307 | ||||||
3.00%, 01/15/2043 | 887,803 | 902,806 | ||||||
0.00%, 09/15/2043 PO | 1,470,718 | 1,200,684 | ||||||
0.74%, 03/15/2044 | 5,516,774 | 5,511,069 | ||||||
GE Capital Commercial Mortgage Corp | ||||||||
5.50%, 11/10/2045 | 10,987,245 | 11,012,681 | ||||||
Ginnie Mae I pool | ||||||||
8.00%, 01/15/2016 | 247 | 248 | ||||||
9.00%, 08/15/2016 | 22 | 22 | ||||||
9.00%, 12/15/2016 | 96 | 97 | ||||||
9.00%, 03/15/2017 | 41 | 41 | ||||||
6.50%, 06/15/2017 | 4,222 | 4,349 | ||||||
6.00%, 10/15/2017 | 2,316 | 2,338 | ||||||
8.50%, 11/15/2017 | 538 | 562 | ||||||
12.00%, 11/15/2019 | 37 | 37 | ||||||
9.00%, 02/15/2020 | 89 | 89 | ||||||
9.50%, 09/15/2020 | 8 | 8 |
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8.00%, 07/15/2022 | 107 | 107 | ||||||
8.00%, 09/15/2022 | 825 | 836 | ||||||
7.50%, 11/15/2022 | 1,370 | 1,493 | ||||||
7.50%, 03/15/2023 | 329 | 363 | ||||||
7.00%, 08/15/2023 | 756 | 825 | ||||||
7.00%, 09/15/2023 | 22,502 | 24,716 | ||||||
7.00%, 11/15/2023 | 1,601 | 1,851 | ||||||
6.50%, 01/15/2024 | 7,710 | 8,794 | ||||||
7.00%, 02/15/2024 | 11,019 | 11,850 | ||||||
9.50%, 10/15/2024 | 112,399 | 124,218 | ||||||
9.00%, 11/15/2024 | 2,101 | 2,396 | ||||||
9.50%, 12/15/2025 | 4,498 | 5,170 | ||||||
7.50%, 11/15/2026 | 1,363 | 1,421 | ||||||
7.50%, 07/15/2027 | 3,834 | 4,273 | ||||||
6.50%, 03/15/2028 | 9,185 | 10,477 | ||||||
7.50%, 07/15/2028 | 887 | 916 | ||||||
8.00%, 08/15/2028 | 1,915 | 1,941 | ||||||
6.50%, 09/15/2028 | 29,850 | 34,048 | ||||||
7.50%, 09/15/2028 | 6,406 | 7,257 | ||||||
6.50%, 10/15/2028 | 1,684 | 1,921 | ||||||
6.00%, 11/15/2028 | 13,892 | 15,892 | ||||||
7.00%, 09/15/2031 | 152,935 | 184,551 | ||||||
6.50%, 01/15/2032 | 134,480 | 153,393 | ||||||
6.50%, 07/15/2032 | 2,792 | 3,185 | ||||||
6.50%, 02/15/2033 | 17,746 | 20,294 | ||||||
7.00%, 02/15/2033 | 6,635 | 7,520 | ||||||
5.50%, 04/15/2033 | 410,815 | 474,626 | ||||||
6.50%, 04/15/2033 | 17,395 | 19,892 | ||||||
5.50%, 06/15/2033 | 9,838 | 11,273 | ||||||
7.00%, 06/15/2033 | 28,177 | 34,226 | ||||||
5.50%, 12/15/2033 | 25,723 | 29,616 | ||||||
5.50%, 07/15/2034 | 10,607 | 12,132 | ||||||
5.50%, 09/15/2034 | 30,771 | 35,409 | ||||||
7.00%, 06/15/2035 | 437,508 | 526,710 | ||||||
6.50%, 12/15/2035 | 145,508 | 170,876 | ||||||
7.00%, 04/15/2037 | 46,982 | 54,593 | ||||||
7.50%, 10/15/2037 | 87,636 | 100,938 | ||||||
4.00%, 06/15/2039 | 1,262,407 | 1,343,361 | ||||||
4.50%, 04/15/2040 | 8,000,000 | 8,690,264 | ||||||
4.00%, 10/15/2040 | 629,686 | 670,171 | ||||||
3.50%, 03/15/2043 | 1,741,416 | 1,812,388 | ||||||
3.50%, 04/15/2043 | 7,969,727 | 8,288,678 | ||||||
3.00%, 05/15/2043 | 1,426,497 | 1,442,972 | ||||||
3.50%, 06/15/2043 | 2,732,357 | 2,835,386 | ||||||
3.50%, 07/15/2043 | 954,741 | 993,436 |
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Ginnie Mae II pool | ||||||||
8.50%, 03/20/2025 | 539 | 611 | ||||||
8.50%, 04/20/2025 | 3,124 | 3,487 | ||||||
8.50%, 05/20/2025 | 7,438 | 8,556 | ||||||
8.00%, 12/20/2025 | 1,309 | 1,528 | ||||||
8.00%, 06/20/2026 | 2,348 | 2,753 | ||||||
8.00%, 08/20/2026 | 1,985 | 2,436 | ||||||
8.00%, 09/20/2026 | 2,204 | 2,630 | ||||||
8.00%, 11/20/2026 | 1,964 | 2,323 | ||||||
8.00%, 10/20/2027 | 4,885 | 6,001 | ||||||
8.00%, 11/20/2027 | 3,846 | 4,547 | ||||||
8.00%, 12/20/2027 | 2,172 | 2,542 | ||||||
7.50%, 02/20/2028 | 2,960 | 3,557 | ||||||
6.00%, 03/20/2028 | 12,331 | 14,288 | ||||||
8.00%, 06/20/2028 | 803 | 840 | ||||||
8.00%, 08/20/2028 | 240 | 274 | ||||||
7.50%, 09/20/2028 | 9,705 | 11,816 | ||||||
8.00%, 09/20/2028 | 942 | 1,072 | ||||||
6.50%, 07/20/2029 | 152,714 | 177,059 | ||||||
6.00%, 11/20/2033 | 10,350 | 11,909 | ||||||
7.00%, 08/20/2038 | 67,065 | 81,186 | ||||||
6.00%, 09/20/2038 | 1,307,638 | 1,486,002 | ||||||
6.00%, 11/20/2038 | 15,292 | 16,516 | ||||||
6.00%, 08/20/2039 | 606,475 | 699,295 | ||||||
5.50%, 09/20/2039 | 313,566 | 350,925 | ||||||
4.50%, 06/20/2040 | 2,266,292 | 2,472,549 | ||||||
5.00%, 07/20/2040 | 584,456 | 650,826 | ||||||
4.00%, 10/20/2040 | 5,910,209 | 6,325,768 | ||||||
4.50%, 01/20/2041 | 1,654,992 | 1,809,192 | ||||||
4.50%, 03/20/2041 | 1,618,865 | 1,766,208 | ||||||
4.50%, 05/20/2041 | 825,138 | 900,241 | ||||||
4.50%, 06/20/2041 | 5,686,433 | 6,204,007 | ||||||
4.50%, 07/15/2041 (d) | 13,500,000 | 14,554,687 | ||||||
4.50%, 09/20/2041 | 1,746,171 | 1,908,878 | ||||||
4.00%, 06/20/2042 | 7,705,375 | 8,197,585 | ||||||
4.00%, 08/15/2042 (d) | 6,750,000 | 7,134,963 | ||||||
3.00%, 08/20/2042 | 9,798,663 | 9,936,622 | ||||||
3.50%, 09/20/2042 | 1,106,579 | 1,149,579 | ||||||
3.50%, 10/20/2042 | 11,645,135 | 12,098,258 | ||||||
4.00%, 02/20/2043 | 3,305,781 | 3,524,179 | ||||||
3.50%, 05/20/2043 | 2,710,261 | 2,816,004 | ||||||
3.00%, 09/20/2043 | 905,142 | 917,886 | ||||||
3.00%, 01/20/2044 | 1,773,547 | 1,798,519 | ||||||
4.50%, 12/20/2044 | 6,425,036 | 6,932,807 | ||||||
4.00%, 01/20/2045 | 4,371,383 | 4,628,478 | ||||||
3.50%, 02/20/2045 | 8,675,230 | 9,030,065 | ||||||
4.50%, 02/20/2045 | 2,658,576 | 2,868,654 |
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3.00%, 04/20/2045 | 8,480,643 | 8,559,317 | ||||||
3.50%, 04/20/2045 | 11,507,623 | 11,982,667 | ||||||
4.00%, 04/20/2045 | 4,968,591 | 5,291,844 | ||||||
4.00%, 05/20/2045 | 17,032,163 | 18,140,281 | ||||||
3.00%, 07/15/2045 (d) | 3,500,000 | 3,526,592 | ||||||
3.50%, 07/15/2045 (d) | 38,500,000 | 39,882,081 | ||||||
4.46%, 05/20/2063 | 521,807 | 571,342 | ||||||
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust | ||||||||
5.24%, 11/10/2045 | 965,811 | 970,865 | ||||||
GMACM Mortgage Loan Trust 2003-AR1 | ||||||||
2.92%, 10/19/2033 | 542,535 | 535,688 | ||||||
GMACM Mortgage Loan Trust 2003-AR2 | ||||||||
2.80%, 12/19/2033 | 463,648 | 454,910 | ||||||
GMACM Mortgage Loan Trust 2003-J7 | ||||||||
5.00%, 11/25/2033 | 388,871 | 390,699 | ||||||
5.50%, 11/25/2033 | 33,455 | 34,279 | ||||||
GMACM Mortgage Loan Trust 2003-J8 | ||||||||
5.25%, 12/25/2033 | 20,515 | 21,392 | ||||||
GMACM Mortgage Loan Trust 2004-J5 | ||||||||
6.50%, 01/25/2035 | 262,936 | 274,099 | ||||||
GMACM Mortgage Loan Trust 2004-J6 | ||||||||
5.00%, 01/25/2020 | 90,430 | 93,019 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
2.91%, 06/19/2035 | 373,408 | 366,823 | ||||||
Government National Mortgage Association | ||||||||
6.00%, 04/20/2020 | 316,654 | 319,453 | ||||||
5.50%, 11/20/2020 | 410,428 | 438,027 | ||||||
5.00%, 04/16/2023 | 619,000 | 667,440 | ||||||
6.50%, 10/16/2024 | 241,657 | 275,957 | ||||||
6.50%, 04/20/2028 | 24,820 | 28,969 | ||||||
6.00%, 02/20/2029 | 217,175 | 244,793 | ||||||
8.42%, 08/16/2029 IO | 19,721 | 5,861 | ||||||
7.50%, 11/20/2029 | 27,314 | 31,814 | ||||||
8.50%, 02/16/2030 | 256,318 | 304,941 | ||||||
38.58%, 02/16/2030 | 31,753 | 50,961 | ||||||
9.00%, 03/16/2030 | 231,264 | 283,822 | ||||||
7.32%, 04/16/2030 IO | 220,145 | 43,585 | ||||||
8.00%, 06/20/2030 | 22,874 | 27,402 | ||||||
9.00%, 10/20/2030 | 35,777 | 41,528 | ||||||
9.00%, 11/16/2030 IO | 2,028 | 330 | ||||||
9.00%, 11/20/2030 | 21,057 | 22,603 | ||||||
8.52%, 01/16/2031 IO | 12,902 | 4,591 | ||||||
8.37%, 03/16/2031 IO | 10,541 | 3,621 | ||||||
20.53%, 03/17/2031 | 113,366 | 179,726 | ||||||
7.87%, 08/16/2031 IO | 21,646 | 6,856 | ||||||
8.07%, 08/16/2031 IO | 24,693 | 7,874 |
Table of Contents
7.21%, 01/16/2032 IO | 27,417 | 7,753 | ||||||
0.54%, 03/20/2032 | 112,102 | 112,628 | ||||||
7.77%, 04/16/2032 IO | 107,045 | 24,429 | ||||||
11.65%, 04/16/2032 | 9,574 | 12,867 | ||||||
9.00%, 06/16/2032 | 3,469 | 4,407 | ||||||
6.50%, 06/20/2032 | 101,094 | 118,597 | ||||||
6.50%, 06/20/2032 | 401,055 | 470,959 | ||||||
6.50%, 07/16/2032 | 117,164 | 138,328 | ||||||
6.00%, 07/20/2032 | 42,444 | 48,038 | ||||||
6.50%, 07/20/2032 | 203,376 | 238,275 | ||||||
6.50%, 07/20/2032 | 137,795 | 163,449 | ||||||
7.51%, 08/20/2032 IO | 45,733 | 3,139 | ||||||
6.76%, 10/20/2032 IO | 382,461 | 17,153 | ||||||
14.36%, 11/17/2032 | 31,289 | 42,735 | ||||||
6.00%, 11/20/2032 | 146,000 | 172,270 | ||||||
0.00%, 12/20/2032 PO | 232,590 | 224,851 | ||||||
13.13%, 12/20/2032 | 4,274 | 4,397 | ||||||
5.50%, 01/16/2033 | 717,188 | 820,978 | ||||||
0.00%, 01/17/2033 PO | 6,117 | 6,105 | ||||||
6.50%, 01/20/2033 | 225,271 | 256,878 | ||||||
7.52%, 02/16/2033 IO | 108,017 | 23,284 | ||||||
0.00%, 02/17/2033 PO | 87,983 | 84,824 | ||||||
7.51%, 02/20/2033 IO | 46,408 | 12,895 | ||||||
0.00%, 03/16/2033 PO | 16,645 | 14,001 | ||||||
7.67%, 03/17/2033 | 31,984 | 35,295 | ||||||
6.50%, 03/20/2033 | 122,049 | 139,266 | ||||||
6.50%, 03/20/2033 | 326,000 | 379,833 | ||||||
5.50%, 04/20/2033 | 471,984 | 538,685 | ||||||
6.50%, 05/20/2033 | 116,000 | 135,079 | ||||||
0.00%, 06/16/2033 PO | 79,637 | 71,160 | ||||||
6.00%, 09/16/2033 | 277,144 | 316,850 | ||||||
0.00%, 10/20/2033 PO | 12,585 | 11,557 | ||||||
5.82%, 10/20/2033 | 302,436 | 344,699 | ||||||
6.37%, 11/16/2033 IO | 179,667 | 36,261 | ||||||
6.56%, 11/20/2033 IO | 233,598 | 40,296 | ||||||
6.37%, 12/16/2033 IO | 149,683 | 32,693 | ||||||
5.31%, 02/20/2034 IO | 412,171 | 56,740 | ||||||
5.50%, 03/16/2034 | 5,125,316 | 5,917,141 | ||||||
6.32%, 03/16/2034 IO | 158,123 | 12,218 | ||||||
19.15%, 04/16/2034 | 67,497 | 97,321 | ||||||
16.31%, 05/18/2034 | 62,755 | 71,927 | ||||||
0.00%, 06/20/2034 PO | 146,862 | 137,926 | ||||||
6.00%, 06/20/2034 | 527,078 | 605,803 | ||||||
14.47%, 08/17/2034 | 83,014 | 104,817 | ||||||
5.74%, 08/20/2034 | 153,402 | 173,837 | ||||||
6.37%, 09/16/2034 IO | 514,201 | 96,089 |
Table of Contents
7.00%, 09/20/2034 | 70,011 | 81,851 | ||||||
28.55%, 09/20/2034 | 70,011 | 118,533 | ||||||
13.86%, 10/16/2034 | 23,330 | 28,352 | ||||||
23.71%, 10/16/2034 | 51,319 | 77,736 | ||||||
5.91%, 10/20/2034 IO | 859,932 | 136,643 | ||||||
11.83%, 10/20/2034 | 36,464 | 42,399 | ||||||
5.89%, 11/20/2034 IO | 423,361 | 68,577 | ||||||
5.91%, 01/20/2035 IO | 393,020 | 62,549 | ||||||
6.56%, 01/20/2035 IO | 607,068 | 108,402 | ||||||
15.99%, 06/17/2035 | 293,644 | 404,290 | ||||||
6.61%, 06/20/2035 | 325,572 | 360,175 | ||||||
5.50%, 07/20/2035 IO | 64,257 | 12,712 | ||||||
20.22%, 08/16/2035 | 29,075 | 43,011 | ||||||
0.00%, 08/20/2035 PO | 381,935 | 357,352 | ||||||
22.02%, 08/20/2035 | 3,093 | 3,729 | ||||||
5.50%, 09/20/2035 | 351,743 | 396,519 | ||||||
6.11%, 09/20/2035 IO | 1,291,424 | 207,809 | ||||||
0.00%, 10/20/2035 PO | 64,918 | 59,219 | ||||||
0.00%, 11/20/2035 PO | 109,340 | 101,317 | ||||||
6.00%, 12/20/2035 IO | 116,762 | 24,109 | ||||||
5.75%, 02/20/2036 | 105,818 | 114,586 | ||||||
0.00%, 03/20/2036 PO | 103,995 | 96,210 | ||||||
0.00%, 05/20/2036 PO | 143,141 | 132,113 | ||||||
6.31%, 06/20/2036 IO | 25,497 | 2,889 | ||||||
0.00%, 07/20/2036 PO | 21,550 | 20,148 | ||||||
6.50%, 07/20/2036 | 582,969 | 684,972 | ||||||
6.51%, 07/20/2036 IO | 175,215 | 11,866 | ||||||
6.50%, 08/20/2036 | 767,666 | 903,324 | ||||||
5.56%, 10/20/2036 | 250,784 | 281,958 | ||||||
6.51%, 10/20/2036 IO | 192,020 | 34,797 | ||||||
6.61%, 11/20/2036 IO | 337,852 | 61,623 | ||||||
5.95%, 02/20/2037 | 106,940 | 119,821 | ||||||
0.00%, 03/20/2037 PO | 442,669 | 417,722 | ||||||
6.01%, 03/20/2037 IO | 293,976 | 46,033 | ||||||
0.00%, 04/16/2037 PO | 186,837 | 170,301 | ||||||
0.38%, 04/16/2037 | 924,550 | 925,814 | ||||||
6.63%, 04/16/2037 IO | 481,510 | 83,678 | ||||||
6.01%, 04/20/2037 IO | 194,940 | 30,925 | ||||||
6.11%, 04/20/2037 | 219,364 | 247,508 | ||||||
0.48%, 05/16/2037 | 110,034 | 110,352 | ||||||
0.00%, 05/20/2037 PO | 32,771 | 30,642 | ||||||
6.01%, 05/20/2037 IO | 351,412 | 54,788 | ||||||
6.01%, 05/20/2037 IO | 399,800 | 61,386 | ||||||
6.01%, 05/20/2037 IO | 944,292 | 144,148 | ||||||
0.00%, 06/16/2037 PO | 65,397 | 61,343 | ||||||
0.00%, 06/16/2037 PO | 511,312 | 481,270 |
Table of Contents
6.29%, 06/16/2037 IO | 280,427 | 45,984 | ||||||
6.06%, 06/20/2037 IO | 325,524 | 50,285 | ||||||
6.45%, 07/20/2037 IO | 429,548 | 74,174 | ||||||
6.49%, 07/20/2037 IO | 459,864 | 80,815 | ||||||
6.56%, 07/20/2037 IO | 295,007 | 51,384 | ||||||
6.59%, 08/20/2037 IO | 119,889 | 20,367 | ||||||
0.00%, 09/20/2037 PO | 82,444 | 78,970 | ||||||
6.36%, 09/20/2037 IO | 264,917 | 46,965 | ||||||
19.64%, 09/20/2037 | 84,364 | 119,962 | ||||||
5.50%, 10/16/2037 IO | 550,592 | 70,957 | ||||||
13.03%, 10/20/2037 | 51,881 | 66,586 | ||||||
0.00%, 11/16/2037 PO | 596,331 | 547,483 | ||||||
6.36%, 11/16/2037 IO | 286,797 | 54,769 | ||||||
5.50%, 11/20/2037 | 25,277 | 26,609 | ||||||
5.81%, 11/20/2037 IO | 337,167 | 52,033 | ||||||
6.31%, 11/20/2037 IO | 652,467 | 112,576 | ||||||
6.32%, 11/20/2037 IO | 371,749 | 63,265 | ||||||
6.36%, 11/20/2037 IO | 300,166 | 51,495 | ||||||
19.39%, 11/20/2037 | 37,397 | 54,492 | ||||||
6.36%, 12/20/2037 IO | 483,421 | 82,577 | ||||||
0.00%, 01/20/2038 PO | 60,540 | 59,923 | ||||||
0.00%, 01/20/2038 PO | 23,160 | 21,552 | ||||||
5.50%, 02/20/2038 IO | 84,045 | 15,246 | ||||||
5.81%, 02/20/2038 IO | 2,837,960 | 473,800 | ||||||
7.52%, 04/16/2038 IO | 163,449 | 38,188 | ||||||
6.11%, 04/20/2038 IO | 463,314 | 74,376 | ||||||
6.22%, 05/16/2038 IO | 1,327,656 | 243,171 | ||||||
6.00%, 06/20/2038 | 243,922 | 277,856 | ||||||
6.01%, 06/20/2038 IO | 122,210 | 18,504 | ||||||
1.01%, 07/20/2038 | 819,139 | 836,734 | ||||||
5.75%, 07/20/2038 | 516,380 | 558,013 | ||||||
5.96%, 07/20/2038 IO | 451,571 | 68,397 | ||||||
5.57%, 08/20/2038 | 645,482 | 736,648 | ||||||
5.81%, 08/20/2038 IO | 167,110 | 24,209 | ||||||
5.71%, 09/20/2038 IO | 509,852 | 73,967 | ||||||
6.01%, 09/20/2038 IO | 1,035,100 | 163,022 | ||||||
7.41%, 09/20/2038 IO | 224,169 | 45,709 | ||||||
6.11%, 11/20/2038 | 370,387 | 420,850 | ||||||
6.22%, 12/16/2038 IO | 225,527 | 18,696 | ||||||
5.51%, 12/20/2038 IO | 523,469 | 73,949 | ||||||
5.81%, 12/20/2038 IO | 299,079 | 44,488 | ||||||
5.85%, 12/20/2038 | 1,189,980 | 1,360,164 | ||||||
6.00%, 12/20/2038 IO | 158,187 | 20,476 | ||||||
7.11%, 12/20/2038 IO | 968,657 | 187,926 | ||||||
5.47%, 01/20/2039 | 1,918,806 | 2,132,409 | ||||||
5.92%, 02/16/2039 IO | 277,141 | 38,698 |
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5.97%, 02/16/2039 IO | 397,438 | 59,627 | ||||||
5.76%, 02/20/2039 IO | 462,836 | 67,883 | ||||||
5.85%, 02/20/2039 IO | 273,146 | 40,135 | ||||||
6.11%, 03/20/2039 IO | 499,955 | 67,751 | ||||||
6.11%, 03/20/2039 IO | 274,263 | 26,169 | ||||||
6.50%, 03/20/2039 IO | 136,876 | 29,943 | ||||||
6.50%, 03/20/2039 IO | 292,550 | 57,323 | ||||||
6.08%, 04/20/2039 IO | 836,899 | 122,298 | ||||||
5.50%, 05/20/2039 IO | 103,617 | 18,267 | ||||||
6.00%, 05/20/2039 IO | 136,459 | 27,571 | ||||||
6.22%, 06/16/2039 IO | 1,150,990 | 107,795 | ||||||
5.76%, 06/20/2039 IO | 436,395 | 62,523 | ||||||
5.89%, 06/20/2039 IO | 641,624 | 97,661 | ||||||
5.92%, 07/16/2039 IO | 770,612 | 96,185 | ||||||
6.07%, 08/16/2039 IO | 644,268 | 103,772 | ||||||
7.00%, 08/16/2039 | 273,001 | 311,320 | ||||||
5.50%, 09/20/2039 | 317,000 | 367,804 | ||||||
5.90%, 09/20/2039 IO | 1,010,903 | 154,223 | ||||||
6.22%, 11/16/2039 IO | 846,113 | 138,985 | ||||||
6.00%, 12/20/2039 | 680,513 | 720,656 | ||||||
5.23%, 06/20/2040 | 346,774 | 387,995 | ||||||
5.53%, 07/20/2040 | 514,040 | 582,356 | ||||||
7.00%, 10/16/2040 | 1,059,106 | 1,255,372 | ||||||
0.00%, 12/20/2040 PO | 1,497,386 | 1,248,994 | ||||||
6.41%, 05/20/2041 IO | 725,682 | 141,401 | ||||||
4.67%, 09/20/2041 | 756,129 | 819,131 | ||||||
4.69%, 10/20/2041 | 1,392,744 | 1,524,142 | ||||||
4.53%, 11/16/2041 | 713,636 | 780,060 | ||||||
3.00%, 12/20/2041 | 1,000,000 | 957,872 | ||||||
3.74%, 01/20/2042 | 771,991 | 808,935 | ||||||
3.98%, 09/16/2042 | 517,061 | 541,114 | ||||||
4.71%, 10/20/2042 | 2,899,278 | 3,149,274 | ||||||
4.70%, 11/20/2042 | 378,140 | 414,853 | ||||||
4.51%, 04/20/2043 | 405,948 | 435,351 | ||||||
0.63%, 11/20/2059 | 1,753,316 | 1,758,594 | ||||||
0.66%, 01/20/2060 | 1,045,330 | 1,048,720 | ||||||
0.63%, 03/20/2060 | 1,215,514 | 1,219,507 | ||||||
0.61%, 04/20/2060 | 2,794,089 | 2,798,856 | ||||||
5.24%, 07/20/2060 | 2,989,921 | 3,244,645 | ||||||
0.48%, 08/20/2060 | 688,291 | 689,242 | ||||||
0.65%, 01/20/2061 | 4,138,440 | 4,151,041 | ||||||
0.68%, 03/20/2061 | 3,277,631 | 3,287,237 | ||||||
0.83%, 05/20/2061 | 3,847,994 | 3,856,760 | ||||||
0.88%, 05/20/2061 | 3,773,107 | 3,796,964 | ||||||
0.73%, 10/20/2061 | 1,891,204 | 1,900,150 | ||||||
0.73%, 12/20/2061 | 8,491,179 | 8,539,655 |
Table of Contents
0.73%, 04/20/2062 | 687,111 | 690,585 | ||||||
0.88%, 04/20/2062 | 1,301,000 | 1,316,751 | ||||||
0.63%, 05/20/2062 | 1,299,824 | 1,304,069 | ||||||
2.00%, 06/20/2062 | 384,654 | 388,774 | ||||||
0.73%, 07/20/2062 | 2,789,810 | 2,801,608 | ||||||
0.76%, 09/20/2062 | 4,334,902 | 4,338,973 | ||||||
0.77%, 09/20/2062 | 1,225,214 | 1,231,509 | ||||||
0.68%, 10/20/2062 | 1,252,380 | 1,256,381 | ||||||
0.78%, 10/20/2062 | 524,096 | 526,422 | ||||||
0.48%, 11/20/2062 | 247,179 | 247,605 | ||||||
0.52%, 12/20/2062 | 3,431,435 | 3,423,066 | ||||||
0.50%, 01/20/2063 | 1,539,291 | 1,530,528 | ||||||
0.68%, 01/20/2063 | 1,386,853 | 1,391,527 | ||||||
1.65%, 01/20/2063 | 3,400,110 | 3,388,203 | ||||||
0.60%, 02/20/2063 | 372,572 | 372,072 | ||||||
0.63%, 02/20/2063 | 1,905,245 | 1,907,607 | ||||||
1.65%, 02/20/2063 | 4,486,539 | 4,471,509 | ||||||
0.59%, 03/20/2063 | 1,387,845 | 1,385,325 | ||||||
0.65%, 03/20/2063 | 438,236 | 438,578 | ||||||
1.75%, 03/20/2063 | 1,105,559 | 1,107,566 | ||||||
1.65%, 04/20/2063 | 1,364,834 | 1,358,665 | ||||||
0.65%, 06/20/2063 | 3,630,911 | 3,641,296 | ||||||
0.68%, 01/20/2064 | 4,824,860 | 4,848,955 | ||||||
0.83%, 01/20/2064 | 3,667,939 | 3,701,299 | ||||||
0.83%, 02/20/2064 | 7,641,134 | 7,710,240 | ||||||
0.87%, 02/20/2064 | 4,382,438 | 4,441,855 | ||||||
0.83%, 03/20/2064 | 4,357,783 | 4,400,824 | ||||||
0.78%, 04/20/2064 | 4,533,347 | 4,572,161 | ||||||
0.78%, 04/20/2064 | 4,667,336 | 4,698,476 | ||||||
0.78%, 05/20/2064 | 7,598,628 | 7,666,317 | ||||||
0.68%, 06/20/2064 | 3,204,065 | 3,214,465 | ||||||
0.65%, 07/20/2064 | 5,025,188 | 5,029,630 | ||||||
0.68%, 07/20/2064 | 2,612,504 | 2,620,950 | ||||||
0.68%, 07/20/2064 | 3,465,669 | 3,477,061 | ||||||
0.65%, 09/20/2064 | 4,906,648 | 4,913,733 | ||||||
0.78%, 10/20/2064 | 1,958,349 | 1,974,296 | ||||||
0.00%, 02/20/2065 | 3,353,609 | 3,361,738 | ||||||
0.66%, 02/20/2065 | 4,969,916 | 4,971,755 | ||||||
0.66%, 03/20/2065 | 10,007,737 | 10,005,195 | ||||||
0.66%, 04/20/2065 | 7,002,390 | 7,000,737 | ||||||
GS Mortgage Securities Corp II | ||||||||
2.71%, 12/10/2027 (Acquired 10/28/2013, Cost $1,333,362) (b) | 1,336,501 | 1,356,158 | ||||||
2.77%, 11/10/2045 | 13,211,562 | 13,095,710 | ||||||
GS Mortgage Securities Corp Trust 2012-ALOHA | ||||||||
3.55%, 04/10/2034 (Acquired 04/01/2014, Cost $4,223,712) (b) | 4,200,000 | 4,341,448 |
Table of Contents
GS Mortgage Securities Corp Trust 2012-SHOP | ||||||||
1.44%, 06/05/2031 (Acquired 10/28/2013, Cost $422,955) (b) | 7,793,000 | 373,137 | ||||||
GS Mortgage Securities Corp Trust 2013-NYC5 | ||||||||
2.32%, 01/10/2030 (Acquired 10/28/2013, Cost $508,236) (b) | 505,000 | 510,652 | ||||||
GS Mortgage Securities Trust 2006-GG6 | ||||||||
5.55%, 04/10/2038 | 1,773,000 | 1,783,058 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.76%, 11/10/2039 (Acquired 10/28/2013, Cost $173,356) (b) | 12,178,933 | 66,935 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.47%, 08/10/2044 (Acquired 03/27/2014, Cost $510,844) (b) | 500,000 | 516,200 | ||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/10/2046 | 5,880,000 | 6,232,271 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.71%, 11/10/2046 | 25,593,917 | 1,848,546 | ||||||
GS Mortgage Securities Trust 2013-GCJ14 | ||||||||
1.05%, 08/10/2046 | 29,907,894 | 1,349,654 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.07%, 01/10/2047 | 2,600,000 | 2,758,467 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/10/2047 | 8,000,000 | 8,058,856 | ||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
3.14%, 02/10/2048 | 9,000,000 | 8,881,092 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
0.59%, 06/25/2034 (Acquired 10/28/2013, Cost $80,640) (b) | 89,679 | 77,863 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
0.54%, 03/25/2035 (Acquired 10/28/2013, Cost $144,484) (b) | 164,446 | 143,515 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
0.54%, 09/25/2035 (Acquired 10/28/2013, Cost $862,238) (b) | 998,980 | 848,509 | ||||||
4.69%, 09/25/2035 IO (Acquired 10/28/2013, Cost $105,114) (b) | 736,513 | 94,307 | ||||||
GSMS Trust 2009-RR1 | ||||||||
5.37%, 05/17/2045 (Acquired 10/28/2013, Cost $617,208) (b) | 568,000 | 584,103 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 64,008 | 66,710 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
0.59%, 09/25/2032 | 32,875 | 30,978 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 130,221 | 135,205 | ||||||
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 220,115 | 227,290 | ||||||
6.50%, 05/25/2034 | 141,183 | 152,084 | ||||||
GSR Mortgage Loan Trust 2005-5F | ||||||||
0.69%, 06/25/2035 | 74,811 | 72,636 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 370,473 | 383,565 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
2.73%, 09/25/2035 | 25,568 | 25,679 |
Table of Contents
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 208,089 | 199,129 | ||||||
6.00%, 02/25/2036 | 733,551 | 661,919 | ||||||
GSR Mortgage Loan Trust 2007-1F | ||||||||
5.50%, 01/25/2037 | 608,112 | 601,513 | ||||||
HILT 2014-ORL Mortgage Trust | ||||||||
1.09%, 07/15/2029 (Acquired 09/02/2014 through 09/05/2014, Cost $1,600,647) (b) | 1,600,000 | 1,597,440 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.97%, 09/25/2034 | 16,726 | 16,820 | ||||||
Impac CMB Trust Series 2004-7 | ||||||||
0.93%, 11/25/2034 | 2,005,093 | 1,902,057 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
0.49%, 05/25/2035 | 220,375 | 216,514 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 131,350 | 134,386 | ||||||
0.99%, 11/25/2034 | 6,731 | 6,668 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
0.54%, 05/25/2036 | 618,445 | 598,534 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
0.54%, 08/25/2036 | 713,587 | 703,709 | ||||||
IndyMac INDX Mortgage Loan Trust 2005-AR11 | ||||||||
0.00%, 08/25/2035 IO | 1,834,529 | 0 | ||||||
Jefferies Resecuritization Trust 2011-R2 | ||||||||
4.50%, 10/26/2036 | 358,090 | 367,818 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
2.52%, 03/25/2036 (f) | 61,304 | 50,078 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.09%, 08/12/2037 (Acquired 10/28/2013, Cost $91,991) (b) | 12,033,264 | 16,979 | ||||||
5.58%, 08/12/2037 | 265,417 | 265,599 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC12 | ||||||||
4.90%, 09/12/2037 | 303,823 | 303,639 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 | ||||||||
4.94%, 08/15/2042 | 101,459 | 101,418 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.12%, 12/15/2044 (Acquired 10/28/2013, Cost $112,646) (b) | 41,454,334 | 21,349 | ||||||
5.41%, 12/15/2044 | 524,196 | 525,373 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.41%, 06/12/2043 | 34,317,689 | 83,701 | ||||||
5.81%, 06/12/2043 | 173,817 | 178,543 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 220,180 | 225,975 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||
5.40%, 05/15/2045 | 149,309 | 153,945 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
0.34%, 05/15/2047 | 226,342 | 224,438 | ||||||
5.34%, 05/15/2047 | 413,000 | 413,169 |
Table of Contents
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | ||||||||
5.72%, 02/15/2051 | 153,462 | 163,723 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19 | ||||||||
5.88%, 02/12/2049 | 1,576,354 | 1,677,359 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.19%, 02/15/2051 | 29,219,143 | 55,925 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | ||||||||
2.38%, 10/15/2045 | 7,800,000 | 7,810,249 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,118,866 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
2.58%, 07/25/2034 | 88,641 | 90,688 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
2.59%, 09/25/2034 | 129,790 | 133,027 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 56,713 | 58,749 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
2.59%, 02/25/2035 | 286,931 | 292,415 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
2.93%, 07/25/2035 | 372,136 | 367,957 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
2.44%, 11/25/2033 | 1,060,597 | 1,062,265 | ||||||
2.64%, 08/25/2034 | 1,871,441 | 1,874,403 | ||||||
JP Morgan Mortgage Trust 2006-A3 | ||||||||
2.63%, 08/25/2034 | 228,146 | 229,290 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
2.56%, 01/25/2037 | 159,413 | 146,232 | ||||||
2.56%, 01/25/2037 | 279,634 | 256,513 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
2.56%, 07/25/2035 | 188,993 | 189,089 | ||||||
2.56%, 07/25/2035 | 2,882,930 | 2,923,167 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
2.57%, 04/25/2037 | 571,119 | 511,410 | ||||||
JP Morgan Resecuritization Trust Series 2009-6 | ||||||||
2.50%, 09/26/2036 (Acquired 10/28/2013, Cost $194,842) (b) | 193,271 | 194,869 | ||||||
JP Morgan Resecuritization Trust Series 2010-4 | ||||||||
1.87%, 08/26/2035 (Acquired 10/28/2013, Cost $137,511) (b) | 137,718 | 137,386 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
3.67%, 04/15/2047 | 2,010,000 | 2,098,890 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C24 | ||||||||
3.10%, 11/15/2047 | 13,000,000 | 13,149,487 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | ||||||||
3.41%, 11/15/2047 | 13,000,000 | 13,186,602 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
2.77%, 10/15/2048 | 3,200,000 | 3,265,571 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.61%, 05/25/2039 (Acquired 10/28/2013, Cost $192,820) (b) | 7,041,080 | 159,524 |
Table of Contents
KGS-Alpha SBA COOF Trust 2014-2 | ||||||||
3.04%, 04/25/2040 (Acquired 10/21/2014, Cost $466,447) (b) | 2,960,484 | 429,733 | ||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036 (Acquired 10/28/2013, Cost $974,796) (b) | 1,027,000 | 1,048,304 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1 | ||||||||
5.16%, 02/15/2031 | 430,520 | 434,699 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C4 | ||||||||
6.03%, 06/15/2038 | 144,422 | 148,424 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.46%, 02/15/2040 | 490,000 | 517,032 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.74%, 02/15/2040 | 13,063,195 | 121,540 | ||||||
5.39%, 02/15/2040 | 14,454,755 | 15,298,522 | ||||||
5.43%, 02/15/2040 | 622,750 | 657,797 | ||||||
Lehman Mortgage Trust 2006-2 | ||||||||
5.97%, 04/25/2036 | 114,299 | 106,512 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 111,477 | 101,175 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 600,207 | 495,913 | ||||||
Luminent Mortgage Trust 2005-1 | ||||||||
0.45%, 11/25/2035 | 3,312,896 | 2,983,302 | ||||||
LVII Resecuritization Trust 2009-2 | ||||||||
5.19%, 09/27/2037 (Acquired 10/28/2013, Cost $307,156) (b) | 297,986 | 298,456 | ||||||
LVII Resecuritization Trust 2009-3 | ||||||||
5.16%, 11/27/2037 (Acquired 10/28/2013, Cost $403,130) (b) | 396,371 | 396,768 | ||||||
5.16%, 11/27/2037 (Acquired 10/28/2013, Cost $1,053,981) (b) | 1,032,000 | 1,067,914 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
2.67%, 04/21/2034 | 488,930 | 492,107 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
3.13%, 12/25/2034 | 64,921 | 64,421 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
2.26%, 04/25/2034 | 106,616 | 99,451 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
6.00%, 08/25/2033 | 504,825 | 537,748 | ||||||
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 171,712 | 175,504 | ||||||
6.00%, 01/25/2034 | 34,921 | 35,356 | ||||||
MASTR Alternative Loan Trust 2004-1 | ||||||||
5.00%, 01/25/2019 | 47,062 | 47,728 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2019 | 29,295 | 29,747 | ||||||
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2020 | 656,613 | 682,028 | ||||||
MASTR Alternative Loan Trust 2004-2 | ||||||||
5.00%, 02/25/2019 | 2,773 | 2,838 |
Table of Contents
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 309,574 | 327,755 | ||||||
6.25%, 04/25/2034 | 98,965 | 104,557 | ||||||
MASTR Alternative Loan Trust 2004-4 | ||||||||
5.00%, 04/25/2019 | 38,424 | 39,152 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 PO | 64,644 | 50,798 | ||||||
6.00%, 07/25/2034 | 37,903 | 38,574 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 PO | 52,797 | 40,741 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 102,235 | 105,395 | ||||||
MASTR Alternative Loan Trust 2005-1 | ||||||||
5.00%, 02/25/2035 | 2,283,538 | 2,308,501 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 107,368 | 104,021 | ||||||
MASTR Asset Securitization Trust | ||||||||
4.50%, 12/25/2018 | 9,511 | 9,691 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 PO | 13,929 | 12,467 | ||||||
5.00%, 12/25/2033 | 37,401 | 37,899 | ||||||
MASTR Asset Securitization Trust 2003-2 | ||||||||
4.50%, 03/25/2018 | 6,757 | 6,755 | ||||||
4.50%, 03/25/2018 | 21,450 | 21,443 | ||||||
5.00%, 03/25/2018 | 11,099 | 11,148 | ||||||
MASTR Asset Securitization Trust 2003-8 | ||||||||
5.50%, 09/25/2033 | 10,082 | 10,372 | ||||||
MASTR Asset Securitization Trust 2003-9 | ||||||||
0.00%, 10/25/2018 PO | 15,740 | 15,596 | ||||||
5.50%, 10/25/2033 | 21,483 | 21,491 | ||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 10,473 | 9,094 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
4.50%, 04/25/2019 | 1,982 | 2,010 | ||||||
5.25%, 12/26/2033 | 241,794 | 251,493 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 10,027 | 9,939 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2019 PO | 5,485 | 5,130 | ||||||
4.75%, 08/25/2019 | 28,581 | 29,360 | ||||||
MASTR Asset Securitization Trust 2004-9 | ||||||||
5.25%, 09/25/2019 | 44,865 | 46,044 | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
0.54%, 05/25/2035 (Acquired 10/28/2013, Cost $1,174,041) (b) | 1,336,485 | 1,093,466 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.70%, 05/25/2036 (Acquired 10/28/2013, Cost $154,069) (b) | 163,578 | 153,401 |
Table of Contents
Mastr Resecuritization Trust 2005 | ||||||||
0.00%, 05/28/2035 PO (Acquired 10/28/2013, Cost $140,067) (b) | 155,420 | 124,336 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
1.19%, 06/25/2037 | 354,966 | 344,730 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
2.32%, 08/25/2033 | 113,742 | 114,809 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
0.81%, 10/25/2028 | 229,707 | 219,307 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
0.83%, 10/25/2028 | 259,948 | 253,672 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
2.16%, 12/25/2034 | 223,528 | 224,059 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
0.65%, 04/25/2029 | 98,617 | 94,563 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
1.04%, 07/25/2029 | 196,941 | 185,667 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
2.51%, 08/25/2034 | 196,167 | 200,781 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
2.46%, 02/25/2035 | 385,487 | 378,045 | ||||||
Merrill Lynch Mortgage Trust 2005-LC1 | ||||||||
5.29%, 01/12/2044 | 207,224 | 208,253 | ||||||
5.55%, 01/12/2044 | 343,000 | 348,188 | ||||||
Merrill Lynch Mortgage Trust 2006-C1 | ||||||||
5.87%, 05/12/2039 | 227,000 | 231,800 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 2,300 | 2,438 | ||||||
ML-CFC Commercial Mortgage Trust 2006-1 | ||||||||
5.65%, 02/12/2039 | 458,092 | 464,237 | ||||||
5.70%, 02/12/2039 | 390,000 | 397,376 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3 | ||||||||
5.41%, 07/12/2046 | 1,882,581 | 1,958,182 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.80%, 12/12/2049 (Acquired 10/28/2013, Cost $417,164) (b) | 31,520,074 | 236,810 | ||||||
5.20%, 12/12/2049 | 2,000,000 | 2,097,578 | ||||||
ML-CFC Commercial Mortgage Trust 2007-9 | ||||||||
5.70%, 09/12/2049 | 639,000 | 680,679 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 9,144,055 | 9,087,938 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | ||||||||
3.96%, 08/15/2046 | 5,200,000 | 5,536,523 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
2.92%, 02/15/2047 | 10,000,000 | 10,300,420 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,588,786 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | ||||||||
3.45%, 07/15/2050 | 12,200,000 | 12,291,427 |
Table of Contents
Morgan Stanley Capital I Trust 2005-HQ7 | ||||||||
5.36%, 11/14/2042 | 4,660,753 | 4,662,454 | ||||||
Morgan Stanley Capital I Trust 2005-IQ10 | ||||||||
5.23%, 09/15/2042 | 18,289 | 18,277 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.65%, 12/15/2043 (Acquired 10/28/2013, Cost $246,122) (b) | 19,566,400 | 108,124 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.39%, 02/12/2044 (Acquired 10/28/2013, Cost $162,034) (b) | 34,566,000 | 103,387 | ||||||
5.42%, 02/12/2044 | 331,645 | 349,100 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.62%, 12/15/2044 (Acquired 10/28/2013, Cost $124,116) (b) | 9,131,383 | 82,091 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.59%, 03/15/2044 (Acquired 10/28/2013, Cost $341,489) (b) | 31,035,733 | 174,514 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
4.05%, 07/15/2049 | 630,000 | 670,341 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/15/2045 | 826,000 | 847,935 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.67%, 04/25/2034 | 445,236 | 469,404 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
5.05%, 10/25/2019 | 111,693 | 111,466 | ||||||
Morgan Stanley Reremic Trust | ||||||||
0.25%, 07/27/2049 (Acquired 10/28/2013, Cost $1,006,824) (b) | 1,182,000 | 1,047,725 | ||||||
2.00%, 07/27/2049 (Acquired 10/28/2013, Cost $2,767,494) (b) | 2,751,216 | 2,749,840 | ||||||
1.00%, 03/27/2051 (Acquired 10/28/2013, Cost $1,345,870) (b) | 1,358,911 | 1,357,212 | ||||||
MortgageIT Trust 2005-1 | ||||||||
0.83%, 02/25/2035 | 162,223 | 158,139 | ||||||
MortgageIT Trust 2005-2 | ||||||||
0.45%, 05/25/2035 | 2,536,330 | 2,417,107 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
0.67%, 06/15/2030 | 464,512 | 440,845 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
0.63%, 12/15/2030 | 101,706 | 96,963 | ||||||
Multi Security Asset Trust LP Commercial Mortgage-Backed Securities Pass-Through | ||||||||
5.00%, 11/28/2035 (Acquired 10/28/2013, Cost $427) (b) | 432 | 430 | ||||||
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034 (Acquired 10/28/2013, Cost $94,086) (b) | 92,399 | 92,646 | ||||||
NCUA Guaranteed Notes Trust 2010-C1 | ||||||||
2.65%, 10/29/2020 | 5,690,031 | 5,805,249 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
0.74%, 12/08/2020 | 2,254,279 | 2,270,586 | ||||||
2.40%, 12/08/2020 | 426,309 | 430,159 | ||||||
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1 | ||||||||
5.00%, 04/25/2018 | 698 | 704 | ||||||
7.00%, 04/25/2033 | 11,068 | 11,473 | ||||||
5.50%, 05/25/2033 | 38,051 | 39,162 | ||||||
6.00%, 05/25/2033 | 23,762 | 24,518 |
Table of Contents
Nomura Resecuritization Trust 2010-6R | ||||||||
2.65%, 03/26/2036 (Acquired 10/28/2013, Cost $120,559) (b) | 120,285 | 119,701 | ||||||
NorthStar 2013-1 | ||||||||
2.04%, 08/25/2029 (Acquired 10/28/2013, Cost $1,178,084) (b) | 1,178,084 | 1,174,550 | ||||||
5.19%, 08/25/2029 (Acquired 10/28/2013 through 11/13/2013, Cost $1,076,255) (b) | 1,071,000 | 1,070,143 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 831 | 910 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 184,994 | 194,257 | ||||||
Provident Funding Mortgage Loan Trust 2005-1 | ||||||||
2.48%, 05/25/2035 | 77,816 | 78,529 | ||||||
RAIT 2014-FL3 Trust | ||||||||
1.42%, 12/15/2031 (Acquired 10/23/2014, Cost $1,960,259) (b) | 1,960,259 | 1,959,585 | ||||||
1.97%, 12/15/2031 (Acquired 10/23/2014, Cost $1,489,836) (b) | 1,489,836 | 1,488,438 | ||||||
RAIT 2015-FL4 Trust | ||||||||
1.53%, 12/15/2031 (Acquired 05/19/2015, Cost $1,590,000) (b) | 1,590,000 | 1,585,798 | ||||||
1.93%, 12/15/2031 (Acquired 05/19/2015, Cost $1,000,000) (b) | 1,000,000 | 1,000,407 | ||||||
RALI Series 2001-QS19 Trust | ||||||||
6.00%, 12/25/2016 | 20,318 | 20,433 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
16.23%, 10/25/2017 | 14,339 | 14,783 | ||||||
RALI Series 2002-QS8 Trust | ||||||||
6.25%, 06/25/2017 | 57,046 | 57,568 | ||||||
RALI Series 2003-QR19 Trust | ||||||||
5.75%, 10/25/2033 | 242,504 | 255,432 | ||||||
RALI Series 2003-QR24 Trust | ||||||||
4.00%, 07/25/2033 | 167,151 | 167,844 | ||||||
RALI Series 2003-QS1 Trust | ||||||||
4.25%, 01/25/2033 | 7,106 | 7,105 | ||||||
RALI Series 2003-QS13 Trust | ||||||||
4.00%, 07/25/2033 | 996,230 | 944,301 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2018 | 133,914 | 135,776 | ||||||
RALI Series 2003-QS15 Trust | ||||||||
5.50%, 08/25/2033 | 987,767 | 1,006,173 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2018 | 43,504 | 44,242 | ||||||
RALI Series 2003-QS19 Trust | ||||||||
5.75%, 10/25/2033 | 648,721 | 682,937 | ||||||
RALI Series 2003-QS3 Trust | ||||||||
16.09%, 02/25/2018 | 32,882 | 36,128 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
7.36%, 05/25/2018 IO | 89,043 | 6,870 | ||||||
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 19,981 | 20,239 |
Table of Contents
RALI Series 2004-QS7 Trust | ||||||||
5.50%, 05/25/2034 | 1,084,154 | 1,114,875 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
3.45%, 05/25/2035 | 278,102 | 234,325 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 33,304 | 28,356 | ||||||
RBS Commercial Funding Inc 2013-SMV Trust | ||||||||
3.26%, 03/11/2031 (Acquired 10/28/2013, Cost $487,740) (b) | 512,000 | 507,553 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036 (Acquired 10/28/2013, Cost $512,820) (b) | 492,234 | 529,023 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
5.79%, 11/25/2033 (Acquired 10/28/2013, Cost $673,909) (b) | 653,914 | 686,885 | ||||||
RBSSP Resecuritization Trust 2009-2 | ||||||||
7.00%, 08/26/2037 (Acquired 10/28/2013, Cost $158,137) (b) | 153,050 | 161,452 | ||||||
RBSSP Resecuritization Trust 2009-9 | ||||||||
6.00%, 07/26/2037 (Acquired 10/28/2013, Cost $237,227) (b) | 235,209 | 239,778 | ||||||
RBSSP Resecuritization Trust 2010-9 | ||||||||
5.00%, 10/26/2034 (Acquired 10/28/2013, Cost $294,622) (b) | 283,247 | 292,475 | ||||||
4.00%, 05/26/2037 | 799,541 | 807,383 | ||||||
RBSSP Resecuritization Trust 2012-3 | ||||||||
0.33%, 09/26/2036 | 836,945 | 800,160 | ||||||
RCMC LLC | ||||||||
5.62%, 11/15/2044 (Acquired 10/28/2013, Cost $783,828) (b) | 783,229 | 800,342 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035 PO (Acquired 10/28/2013, Cost $13,750) (b) | 14,933 | 12,905 | ||||||
Residential Asset Securitization Trust 2003-A13 | ||||||||
5.50%, 01/25/2034 | 40,973 | 42,108 | ||||||
Residential Asset Securitization Trust 2003-A14 | ||||||||
4.75%, 02/25/2019 | 3,028 | 3,093 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2018 | 52,926 | 53,415 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 3,405,155 | 3,517,011 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.86%, 03/25/2035 IO | 1,359,114 | 186,132 | ||||||
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 141,445 | 127,226 | ||||||
RFMSI Series 2003-S11 Trust | ||||||||
4.00%, 06/25/2018 | 1,076 | 1,066 | ||||||
RFMSI Series 2003-S13 Trust | ||||||||
5.50%, 06/25/2033 | 22,606 | 22,617 | ||||||
RFMSI Series 2003-S14 Trust | ||||||||
0.00%, 07/25/2018 PO | 9,724 | 9,665 | ||||||
RFMSI Series 2003-S16 Trust | ||||||||
5.00%, 09/25/2018 | 27,335 | 27,582 |
Table of Contents
RFMSI Series 2003-S20 Trust | ||||||||
4.75%, 12/25/2018 | 47,951 | 48,564 | ||||||
RFMSI Series 2004-S6 Trust | ||||||||
0.00%, 06/25/2034 PO | 23,562 | 20,179 | ||||||
RFMSI Series 2005-S1 Trust | ||||||||
4.75%, 02/25/2020 | 32,487 | 33,326 | ||||||
RFMSI Series 2005-SA4 Trust | ||||||||
2.67%, 09/25/2035 | 134,797 | 112,579 | ||||||
RFSC Series 2003-RM2 Trust | ||||||||
0.00%, 05/25/2033 PO | 2,294 | 2,034 | ||||||
RREF 2015-LT7 LLC | ||||||||
3.00%, 12/25/2032 (Acquired 06/15/2015, Cost $1,498,828) (b) | 1,500,000 | 1,498,826 | ||||||
Salomon Brothers Mortgage Securities VII Inc | ||||||||
0.00%, 12/25/2018 PO | 2,578 | 2,280 | ||||||
3.95%, 04/25/2032 (Acquired 10/28/2013, Cost $46,103) (b) | 46,957 | 46,178 | ||||||
7.00%, 06/25/2033 | 39,457 | 42,560 | ||||||
2.49%, 09/25/2033 | 342,222 | 346,186 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
0.81%, 11/20/2034 | 107,734 | 102,998 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
0.49%, 12/20/2034 | 325,811 | 316,450 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
0.76%, 01/20/2035 | 281,503 | 258,063 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
0.89%, 09/20/2034 | 1,811,149 | 1,728,222 | ||||||
1.13%, 09/20/2034 | 331,771 | 320,648 | ||||||
Springleaf Mortgage Loan Trust 2012-2 | ||||||||
2.22%, 10/25/2057 (Acquired 10/28/2013, Cost $1,267,929) (b) | 1,248,792 | 1,251,884 | ||||||
6.00%, 10/25/2057 (Acquired 10/28/2013, Cost $1,780,592) (b) | 1,729,000 | 1,790,872 | ||||||
Springleaf Mortgage Loan Trust 2012-3 | ||||||||
1.57%, 12/25/2059 (Acquired 10/28/2013, Cost $1,530,291) (b) | 1,530,304 | 1,533,331 | ||||||
2.66%, 12/25/2059 (Acquired 10/28/2013, Cost $985,796) (b) | 996,000 | 1,000,339 | ||||||
3.56%, 12/25/2059 (Acquired 10/28/2013, Cost $572,160) (b) | 584,000 | 588,242 | ||||||
4.44%, 12/25/2059 (Acquired 10/28/2013, Cost $493,800) (b) | 496,000 | 505,736 | ||||||
5.30%, 12/25/2059 (Acquired 10/28/2013, Cost $222,925) (b) | 221,000 | 227,046 | ||||||
Springleaf Mortgage Loan Trust 2013-1 | ||||||||
1.27%, 06/25/2058 (Acquired 10/28/2013, Cost $1,226,108) (b) | 1,239,848 | 1,238,323 | ||||||
2.31%, 06/25/2058 (Acquired 10/28/2013, Cost $1,085,282) (b) | 1,121,000 | 1,124,192 | ||||||
3.14%, 06/25/2058 (Acquired 10/28/2013, Cost $795,163) (b) | 817,000 | 818,257 | ||||||
3.79%, 06/25/2058 (Acquired 10/28/2013, Cost $660,044) (b) | 688,000 | 692,647 | ||||||
Springleaf Mortgage Loan Trust 2013-2 | ||||||||
1.78%, 12/25/2065 (Acquired 10/28/2013, Cost $1,543,564) (b) | 1,550,898 | 1,554,474 | ||||||
3.52%, 12/25/2065 (Acquired 10/28/2013, Cost $876,535) (b) | 899,000 | 915,515 | ||||||
Springleaf Mortgage Loan Trust 2013-3 | ||||||||
3.79%, 09/25/2057 (Acquired 10/28/2013, Cost $1,261,680) (b) | 1,262,000 | 1,269,798 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.36%, 06/25/2034 | 98,091 | 97,611 | ||||||
2.45%, 06/25/2034 | 1,065,541 | 1,064,272 |
Table of Contents
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
0.85%, 10/19/2034 | 282,362 | 269,866 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
0.44%, 07/19/2035 | 1,039,958 | 990,797 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
0.59%, 07/25/2032 | 901,438 | 853,213 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Se 2003 29 | ||||||||
4.75%, 09/25/2018 | 79,005 | 80,283 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Ser 2003 30 | ||||||||
5.50%, 10/25/2033 | 42,090 | 44,215 | ||||||
Structured Asset Sec Corp Mort Pass Th Certs Ser 2003-32 | ||||||||
5.49%, 11/25/2033 | 41,445 | 42,880 | ||||||
Structured Asset Securities Corp | ||||||||
2.55%, 12/25/2033 | 2,652,276 | 2,608,726 | ||||||
3.77%, 12/25/2033 | 345,644 | 346,093 | ||||||
5.49%, 02/25/2034 | 330,307 | 349,868 | ||||||
0.54%, 06/25/2035 (Acquired 10/28/2013, Cost $107,384) (b) | 126,761 | 102,400 | ||||||
Structured Asset Securities Corp Mort Pass Thru Ser 2004-5H | ||||||||
5.54%, 12/25/2033 | 816,553 | 839,462 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-33H | ||||||||
5.50%, 10/25/2033 | 376,509 | 384,462 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A | ||||||||
2.46%, 11/25/2033 | 109,574 | 108,204 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-22 | ||||||||
5.06%, 01/25/2035 | 6,361,219 | 6,563,525 | ||||||
Structured Asset Securities Corp Trust 2005-6 | ||||||||
5.00%, 05/25/2035 | 84,108 | 85,315 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
0.83%, 09/25/2043 | 1,411,738 | 1,363,077 | ||||||
Thornburg Mortgage Securities Trust 2003-5 | ||||||||
2.16%, 10/25/2043 | 8,002,803 | 8,034,974 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
2.00%, 12/25/2044 | 754,961 | 745,962 | ||||||
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
2.23%, 04/25/2045 | 2,416,701 | 2,427,970 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.25%, 05/10/2045 (Acquired 10/28/2013, Cost $237,240) (b) | 1,939,866 | 207,760 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/10/2030 (Acquired 10/28/2013, Cost $1,758,738) (b) | 1,787,000 | 1,834,547 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.89%, 05/10/2063 (Acquired 10/28/2013, Cost $637,622) (b) | 7,527,938 | 534,145 | ||||||
3.53%, 05/10/2063 | 1,073,000 | 1,110,701 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/10/2046 | 271,000 | 273,863 |
Table of Contents
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 638,323 | 725,702 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.57%, 02/15/2024 | 142,223 | 155,982 | ||||||
6.50%, 02/15/2024 | 473,701 | 537,514 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 212,230 | 241,657 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 99,574 | 114,248 | ||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 295,627 | 346,352 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 03/15/2028 | 197,838 | 235,885 | ||||||
VML 2014-NPL1 LLC | ||||||||
3.88%, 04/25/2054 (Acquired 11/26/2014, Cost $946,862) (b) | 946,862 | 948,353 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030 (Acquired 10/28/2013, Cost $2,200,447) (b) | 2,283,000 | 2,258,901 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029 (Acquired 12/5/2013, Cost $2,559,176) (b) | 2,500,000 | 2,633,658 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2004-C11 | ||||||||
5.22%, 01/15/2041 | 152,328 | 152,591 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21 | ||||||||
5.43%, 10/15/2044 | 325,249 | 325,581 | ||||||
5.43%, 10/15/2044 | 5,000,000 | 5,027,775 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 | ||||||||
5.45%, 12/15/2044 | 5,051,389 | 5,057,668 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 | ||||||||
5.47%, 01/15/2045 | 5,360,000 | 5,469,741 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.25%, 03/15/2045 (Acquired 10/28/2013, Cost $264,579) (b) | 69,842,471 | 48,121 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | ||||||||
5.90%, 06/15/2049 | 6,823,943 | 7,210,451 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
2.42%, 10/25/2033 | 576,139 | 582,473 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
2.32%, 08/25/2033 | 193,802 | 194,216 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
2.41%, 09/25/2033 | 1,048,119 | 1,058,437 | ||||||
2.44%, 09/25/2033 | 204,325 | 202,667 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 193,049 | 199,754 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | ||||||||
5.00%, 10/25/2018 | 13,329 | 13,507 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | ||||||||
0.74%, 12/25/2018 | 37,770 | 36,776 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
16.95%, 06/25/2033 | 49,197 | 54,532 |
Table of Contents
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | ||||||||
4.50%, 09/25/2018 | 72,330 | 73,002 | ||||||
4.50%, 09/25/2018 | 23,508 | 23,731 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 PO | 14,518 | 11,480 | ||||||
5.25%, 10/25/2033 | 708,052 | 726,718 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
2.46%, 06/25/2034 | 6,281,807 | 6,347,137 | ||||||
2.46%, 06/25/2034 | 353,972 | 357,654 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 70,586 | 72,241 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 84,992 | 86,603 | ||||||
5.50%, 08/25/2019 | 192,617 | 197,629 | ||||||
6.00%, 08/25/2034 | 1,337,201 | 1,428,877 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 29,724 | 30,737 | ||||||
6.00%, 10/25/2019 | 28,290 | 29,557 | ||||||
6.50%, 10/25/2034 | 5,270,472 | 5,750,491 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 45,941 | 47,445 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 108,896 | 111,097 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 654,260 | 684,548 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 165,699 | 173,458 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
2.28%, 09/25/2036 | 26,738 | 17,901 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
2.25%, 08/25/2046 | 132,445 | 112,050 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 PO | 22,227 | 15,842 | ||||||
5.50%, 03/25/2035 | 265,745 | 266,904 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.81%, 04/25/2035 IO | 360,933 | 45,290 | ||||||
4.86%, 04/25/2035 IO | 1,500,337 | 226,608 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 512,020 | 470,665 | ||||||
5.50%, 06/25/2035 IO | 484,285 | 101,111 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 107,622 | 103,197 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 43,774 | 39,816 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | ||||||||
0.69%, 03/25/2018 | 10,908 | 10,797 |
Table of Contents
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 PO | 2,983 | 2,253 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 PO | 16,592 | 14,746 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 59,393 | 53,861 | ||||||
Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.80%, 03/18/2028 (Acquired 10/28/2013, Cost $1,516,528) (b) | 1,548,000 | 1,548,641 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
2.99%, 02/15/2048 | 8,800,000 | 8,822,713 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 | ||||||||
3.37%, 06/15/2048 | 10,000,000 | 10,015,260 | ||||||
Wells Fargo Mortgage Backed Securities 2003-K Trust | ||||||||
2.49%, 11/25/2033 | 389,157 | 390,625 | ||||||
2.49%, 11/25/2033 | 14,929 | 15,163 | ||||||
Wells Fargo Mortgage Backed Securities 2003-L Trust | ||||||||
2.55%, 11/25/2033 | 60,404 | 60,072 | ||||||
Wells Fargo Mortgage Backed Securities 2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 90,168 | 92,730 | ||||||
Wells Fargo Mortgage Backed Securities 2004-B Trust | ||||||||
2.49%, 02/25/2034 | 120,681 | 120,430 | ||||||
Wells Fargo Mortgage Backed Securities 2004-EE Trust | �� | |||||||
2.60%, 12/25/2034 | 351,739 | 354,334 | ||||||
2.60%, 12/25/2034 | 114,811 | 115,658 | ||||||
2.69%, 12/25/2034 | 219,095 | 222,767 | ||||||
2.69%, 12/25/2034 | 322,061 | 323,835 | ||||||
Wells Fargo Mortgage Backed Securities 2004-I Trust | ||||||||
2.61%, 07/25/2034 | 505,295 | 509,723 | ||||||
Wells Fargo Mortgage Backed Securities 2004-P Trust | ||||||||
2.63%, 09/25/2034 | 1,497,673 | 1,502,933 | ||||||
Wells Fargo Mortgage Backed Securities 2004-V Trust | ||||||||
2.69%, 10/25/2034 | 242,212 | 244,225 | ||||||
2.69%, 10/25/2034 | 310,660 | 314,816 | ||||||
Wells Fargo Mortgage Backed Securities 2005-14 Trust | ||||||||
0.00%, 11/25/2035 PO | 37,585 | 30,664 | ||||||
5.50%, 11/25/2035 | 159,408 | 168,583 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | ||||||||
2.71%, 03/25/2035 | 3,527,731 | 3,553,830 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | ||||||||
2.62%, 06/25/2035 | 300,374 | 301,782 | ||||||
Wells Fargo Mortgage Backed Securities 2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 404,870 | 399,414 | ||||||
Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 72,481 | 72,642 | ||||||
Wells Fargo Mortgage Loan 2012-RR1 Trust | ||||||||
2.85%, 08/27/2037 (Acquired 10/28/2013, Cost $452,149) (b) | 450,369 | 443,614 |
Table of Contents
Wells Fargo Resecuritization Trust 2012 | ||||||||
1.75%, 08/20/2021 (Acquired 10/28/2013, Cost $882,923) (b) | 884,782 | 884,782 | ||||||
Wfcm 2015-nxs2 A4 | ||||||||
3.50%, 07/15/2058 | 15,000,000 | 15,149,385 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/15/2044 (Acquired 10/28/2013, Cost $1,124,076) (b) | 1,059,000 | 1,146,413 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
1.08%, 04/15/2045 | 93,274 | 93,394 | ||||||
3.44%, 04/15/2045 | 9,470,780 | 9,852,244 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||
4.32%, 03/15/2045 (Acquired 08/04/2014, Cost $285,936) (b) | 300,000 | 281,280 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
3.68%, 08/15/2047 | 7,000,000 | 7,221,914 | ||||||
WFRBS Commercial Mortgage Trust 2014-C23 | ||||||||
3.64%, 10/15/2057 | 3,500,000 | 3,666,698 | ||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.32%, 11/15/2047 | 5,000,000 | 5,141,095 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,469,020 | ||||||
|
| |||||||
Total Mortgage Backed Obligations (Cost $3,207,761,118) | $ | 3,240,990,415 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $8,212,731,358) | $ | 8,284,244,603 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 6.48% | ||||||||
Money Market Funds - 6.48% | ||||||||
Fidelity Institutional Money Market Fund, 0.01% (g) | 278,789,989 | $ | 278,789,989 | |||||
Goldman Sachs Financial Square Fund, 0.00% (g) | 278,789,989 | 278,789,989 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $557,579,978) | $ | 557,579,978 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 102.67% | 8,841,824,581 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.67)% | (230,172,197 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 8,611,652,384 | ||||||
|
|
PO | Principal Only Strip |
IO | Interest Only Strip |
Percentages | are stated as a percent of net assets. |
(a) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $11,040,641, which represents 0.13% 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 $1,113,397,062, which represents 12.93% of total net assets. |
(c) | Includes inflation protected securities. The value of these securities totals $28,119,970, which represents 0.33% of total net assets. |
(d) | Includes delayed delivery securities. The value of these securities totals $209,183,768, which represents 2.43% of total net assets. |
(e) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $1,438,983, which represents 0.02% of total net assets. |
(f) | Includes securities in default. The value of these securities totals $5,839,265, which represents 0.07% of total net assets. |
(g) | Partially assigned as collateral for certain delayed delivery securities. |
Table of Contents
Bridge Builder Bond Fund
Summary Schedule of Investments
June 30, 2015
Open Futures Contracts
Number of Contracts Purchased (Sold) | Description | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||
(1,044) | U.S. 10 Year Note Future | Sept. 2015 | $ | (131,431,842 | ) | $ | (131,723,438 | ) | $ | (291,596 | ) | |||||
1,177 | U.S. 5 Year Note Future | Sept. 2015 | 140,006,952 | 140,366,446 | 359,494 | |||||||||||
57 | U.S. Long Bond Future | Sept. 2015 | 8,615,763 | 8,598,094 | (17,669 | ) | ||||||||||
548 | U.S. 2 Year Note Future | Sept. 2015 | 119,966,633 | 119,977,750 | 11,117 | |||||||||||
(36) | U.S. Ultra Bond Future | Sept. 2015 | (5,560,828 | ) | (5,546,250 | ) | 14,578 | |||||||||
|
| |||||||||||||||
$ | 75,924 | |||||||||||||||
|
|
Table of Contents
Bridge Builder Large Cap Growth Fund
Schedule of Investments
June 30, 2015
Shares | Value | |||||||
COMMON STOCKS- 96.36% | ||||||||
Consumer Discretionary - 17.64% | ||||||||
Aaron’s, Inc. | 229 | $ | 8,292 | |||||
Advance Auto Parts, Inc. | 68,397 | 10,894,958 | ||||||
Amazon.com, Inc. (a) | 151,739 | 65,868,383 | ||||||
AMC Networks, Inc. (a) | 1,430 | 117,045 | ||||||
Aramark | 4,222 | 130,755 | ||||||
AutoNation, Inc. (a) | 1,739 | 109,522 | ||||||
Autozone, Inc. (a) | 19,746 | 13,168,607 | ||||||
Bed Bath & Beyond, Inc. (a) | 4,089 | 282,059 | ||||||
Borgwarner, Inc. | 191,104 | 10,862,351 | ||||||
Brinker International, Inc. | 1,460 | 84,169 | ||||||
Brunswick Corp. | 1,631 | 82,953 | ||||||
Cabela’s, Inc. (a) | 115 | 5,748 | ||||||
Cablevision Systems Corp. | 697 | 16,686 | ||||||
CarMax, Inc. (a) | 4,994 | 330,653 | ||||||
Carter’s, Inc. | 1,248 | 132,662 | ||||||
CBS Corp. | 11,747 | 651,958 | ||||||
Charter Communications, Inc. - Class A (a) | 1,789 | 306,366 | ||||||
Chipotle Mexican Grill, Inc. (a) | 742 | 448,903 | ||||||
Choice Hotels International, Inc. | 846 | 45,895 | ||||||
Cinemark Holdings, Inc. | 2,766 | 111,110 | ||||||
Clear Channel Outdoor Holdings, Inc. | 338 | 3,424 | ||||||
Coach, Inc. | 924 | 31,980 | ||||||
Comcast Corp. - Special Class A | 8,216 | 492,467 | ||||||
Comcast Corp. | 45,754 | 2,751,646 | ||||||
CST Brands, Inc. | 1,531 | 59,801 | ||||||
D.R. Horton, Inc. | 3,244 | 88,756 | ||||||
Darden Restaurants, Inc. | 598 | 42,506 | ||||||
Delphi Automotive Plc | 6,892 | 586,440 | ||||||
Dick’s Sporting Goods, Inc. | 1,513 | 78,328 | ||||||
Dillard’s, Inc. | 68 | 7,153 |
Table of Contents
DIRECTV (a) | 11,283 | 1,046,950 | ||||||
Discovery Communications, Inc. - Class A (a) | 3,382 | 112,485 | ||||||
Discovery Communications, Inc. - Class C (a) | 5,955 | 185,081 | ||||||
DISH Network Corp. (a) | 3,496 | 236,714 | ||||||
Dollar General Corp. | 218,982 | 17,023,661 | ||||||
Dollar Tree, Inc. (a) | 4,922 | 388,789 | ||||||
Domino’s Pizza, Inc. | 1,318 | 149,461 | ||||||
DSW, Inc. | 105 | 3,504 | ||||||
Dunkin’ Brands Group, Inc. | 2,297 | 126,335 | ||||||
Expedia, Inc. | 2,345 | 256,426 | ||||||
Extended Stay America, Inc. | 1,426 | 26,766 | ||||||
Family Dollar Stores, Inc. | 2,166 | 170,702 | ||||||
Foot Locker, Inc. | 2,888 | 193,525 | ||||||
Fossil Group, Inc. (a) | 821 | 56,945 | ||||||
Gap, Inc. | 5,688 | 217,111 | ||||||
Gentex Corp. | 3,511 | 57,651 | ||||||
Genuine Parts Co. | 3,375 | 302,164 | ||||||
GNC Holdings, Inc. | 2,067 | 91,940 | ||||||
GoPro, Inc. (a) | 2,130 | 112,294 | ||||||
Groupon, Inc. (a) | 11,821 | 59,460 | ||||||
H&R Block, Inc. | 6,143 | 182,140 | ||||||
Hanesbrands, Inc. | 9,587 | 319,439 | ||||||
Harley-Davidson, Inc. | 59,818 | 3,370,744 | ||||||
Harman International Industries, Inc. | 1,699 | 202,079 | ||||||
Hasbro, Inc. | 2,159 | 161,472 | ||||||
Hilton Worldwide Holdings, Inc. (a) | 12,397 | 341,537 | ||||||
Home Depot, Inc. | 31,004 | 3,445,475 | ||||||
Inditex S.A. - ADR | 653,602 | 10,607,960 | ||||||
International Game Technology (a) | 1,513 | 26,871 | ||||||
Interpublic Group of Companies, Inc. | 9,818 | 189,193 | ||||||
Jarden Corp. (a) | 4,597 | 237,895 | ||||||
JD.com, Inc. (a) - ADR | 186,249 | 6,351,091 | ||||||
Johnson Controls, Inc. | 3,423 | 169,541 | ||||||
Kate Spade & Co. (a) | 3,047 | 65,632 | ||||||
Kohl’s Corp. | 173,300 | 10,850,313 | ||||||
L Brands, Inc. | 5,907 | 506,407 | ||||||
Las Vegas Sands Corp. | 8,715 | 458,148 | ||||||
Lear Corp. | 1,405 | 157,725 |
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Leggett & Platt, Inc. | 3,289 | 160,109 | ||||||
Lennar Corp. - Class A | 1,628 | 83,093 | ||||||
Lennar Corp. - Class B | 91 | 3,924 | ||||||
Liberty Interactive Corp. (a) | 4,805 | 133,339 | ||||||
Liberty Venture Group (a) | 3,383 | 132,850 | ||||||
Lions Gate Entertainment Corp. | 2,266 | 83,955 | ||||||
Live Nation Entertainment, Inc. (a) | 3,476 | 95,555 | ||||||
LKQ Corp. (a) | 7,261 | 219,609 | ||||||
Lowes Companies, Inc. | 745,274 | 49,911,000 | ||||||
Lululemon Athletica, Inc. (a) | 2,663 | 173,894 | ||||||
Macy’s, Inc. | 5,879 | 396,656 | ||||||
Markit Ltd (a) | 269,259 | 6,884,953 | ||||||
Marriott International, Inc. | 133,489 | 9,930,247 | ||||||
McDonald’s Corp. | 22,878 | 2,175,011 | ||||||
MGM Resorts International (a) | 726 | 13,250 | ||||||
Michael Kors Holdings Ltd (a) | 4,735 | 199,296 | ||||||
Mohawk Industries, Inc. (a) | 1,035 | 197,582 | ||||||
Morningstar, Inc. | 452 | 35,957 | ||||||
Murphy USA, Inc. (a) | 66 | 3,684 | ||||||
Netflix, Inc. (a) | 32,056 | 21,058,869 | ||||||
Newell Rubbermaid, Inc. | 3,233 | 132,909 | ||||||
Nike, Inc. | 169,962 | 18,359,295 | ||||||
Nordstrom, Inc. | 3,350 | 249,575 | ||||||
Norwegian Cruise Line Holdings Ltd (a) | 59,682 | 3,344,579 | ||||||
NVR, Inc. (a) | 98 | 131,320 | ||||||
Office Depot, Inc. (a) | 2,313 | 20,031 | ||||||
Omnicom Group, Inc. | 5,832 | 405,266 | ||||||
O’Reilly Automotive, Inc. (a) | 2,411 | 544,838 | ||||||
Panera Bread Co. (a) | 605 | 105,736 | ||||||
Penske Automotive Group, Inc. | 382 | 19,906 | ||||||
Polaris Industries, Inc. | 1,587 | 235,051 | ||||||
Ralph Lauren Corp. | 79 | 10,456 | ||||||
Regal Entertainment Group | 1,976 | 41,318 | ||||||
Ross Stores, Inc. | 9,877 | 480,121 | ||||||
Sally Beauty Holdings, Inc. (a) | 294,411 | 9,297,499 | ||||||
Scripps Networks Interactive, Inc. | 2,182 | 142,637 | ||||||
Sears Holdings Corp. (a) | 33 | 881 | ||||||
Service Corp. International | 4,824 | 141,970 |
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Servicemaster Global Holdings, Inc. (a) | 199,553 | 7,217,832 | ||||||
Signet Jewelers Ltd | 1,916 | 245,708 | ||||||
Sirius XM Holdings, Inc. (a) | 54,858 | 204,620 | ||||||
Six Flags Enertainment Corp. | 1,712 | 76,783 | ||||||
Skechers USA, Inc. (a) | 977 | 107,265 | ||||||
Starbucks Corp. | 696,003 | 37,316,201 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,079 | 330,766 | ||||||
Starz (a) | 2,059 | 92,078 | ||||||
Target Corp. | 1,265 | 103,262 | ||||||
Tempur Sealy International, Inc. (a) | 1,457 | 96,016 | ||||||
Tesla Motors, Inc. (a) | 47,497 | 12,741,545 | ||||||
The Madison Square Garden Co. (a) | 1,468 | 122,563 | ||||||
The Michaels Companies, Inc. (a) | 1,496 | 40,257 | ||||||
The Priceline Group, Inc. (a) | 29,490 | 33,953,901 | ||||||
Thor Industries, Inc. | 1,089 | 61,289 | ||||||
Tiffany & Co. | 2,033 | 186,629 | ||||||
Time Warner Cable, Inc. | 6,747 | 1,202,113 | ||||||
Time Warner, Inc. | 10,136 | 885,988 | ||||||
TJX Companies, Inc. | 16,229 | 1,073,873 | ||||||
Toll Brothers, Inc. (a) | 1,463 | 55,872 | ||||||
Tractor Supply Co. | 3,257 | 292,935 | ||||||
TripAdvisor, Inc. (a) | 2,677 | 233,274 | ||||||
Tupperware Brands Corp. | 1,126 | 72,672 | ||||||
Twenty-First Century Fox, Inc. - Class A | 20,343 | 662,063 | ||||||
Twenty-First Century Fox, Inc. - Class B | 7,815 | 251,799 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 1,534 | 236,926 | ||||||
Under Armour, Inc. (a) | 135,702 | 11,322,975 | ||||||
Urban Outfitters, Inc. (a) | 2,334 | 81,690 | ||||||
VF Corp. | 150,647 | 10,506,122 | ||||||
Viacom, Inc. - Class A | 247 | 16,023 | ||||||
Viacom, Inc. - Class B | 111,573 | 7,212,079 | ||||||
Vipshop Holdings Ltd (a) - ADR | 110,971 | 2,469,105 | ||||||
Vista Outdoor, Inc. (a) | 199 | 8,935 | ||||||
Visteon Corp. (a) | 1,066 | 111,909 | ||||||
Walt Disney Co. | 247,573 | 28,257,982 | ||||||
Whirlpool Corp. | 143 | 24,746 | ||||||
Williams-Sonoma, Inc. | 64,731 | 5,325,419 | ||||||
Wyndham Worldwide Corp. | 2,866 | 234,754 |
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Wynn Resorts Ltd | 1,717 | 169,416 | ||||||
Yum! Brands, Inc. | 10,321 | 929,716 | ||||||
|
| |||||||
456,354,524 | ||||||||
|
| |||||||
Consumer Staples - 8.26% | ||||||||
Altria Group, Inc. | 44,168 | 2,160,257 | ||||||
Brown Forman Corp. - Class A | 607 | 67,632 | ||||||
Brown Forman Corp. - Class B | 2,799 | 280,404 | ||||||
Campbell Soup Co. | 2,448 | 116,647 | ||||||
Church & Dwight Co., Inc. | 3,124 | 253,450 | ||||||
Clorox Co. | 2,471 | 257,033 | ||||||
Coca Cola Co. | 93,590 | 3,671,536 | ||||||
Coca-Cola Enterprises, Inc. | 5,561 | 241,570 | ||||||
Colgate Palmolive Co. | 529,338 | 34,623,999 | ||||||
ConAgra Foods, Inc. | 1,387 | 60,640 | ||||||
Constellation Brands, Inc. | 3,905 | 453,058 | ||||||
Costco Wholesale Corp. | 155,116 | 20,949,967 | ||||||
Coty, Inc. | 1,986 | 63,492 | ||||||
CVS Health Corp. | 97,465 | 10,222,129 | ||||||
Dr. Pepper Snapple Group, Inc. | 4,577 | 333,663 | ||||||
Estee Lauder Companies, Inc. | 5,007 | 433,907 | ||||||
Flowers Foods, Inc. | 3,701 | 78,276 | ||||||
General Mills, Inc. | 14,241 | 793,509 | ||||||
Herbalife Ltd (a) | 1,492 | 82,194 | ||||||
Hormel Foods Corp. | 3,194 | 180,046 | ||||||
Ingredion, Inc. | 210 | 16,760 | ||||||
Kellogg Co. | 152,865 | 9,584,635 | ||||||
Keurig Green Mountain, Inc. | 52,036 | 3,987,519 | ||||||
Kimberly Clark Corp. | 6,892 | 730,345 | ||||||
Kraft Foods Group, Inc. | 14,129 | 1,202,943 | ||||||
Kroger Co. | 11,700 | 848,367 | ||||||
McCormick & Co, Inc. | 3,050 | 246,897 | ||||||
Mead Johnson Nutrition Co. | 107,399 | 9,689,538 | ||||||
Molson Coors Brewing Co. | 67,300 | 4,698,213 | ||||||
Mondelez International, Inc. | 648,030 | 26,659,954 | ||||||
Monster Beverage Corp. (a) | 33,325 | 4,466,217 | ||||||
Nu Skin Enterprises, Inc. | 294 | 13,856 | ||||||
PepsiCo, Inc. | 35,230 | 3,288,368 | ||||||
Philip Morris International, Inc. | 18,414 | 1,476,250 |
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Pilgrim’s Pride Corp. | 165 | 3,790 | ||||||
Procter & Gamble Co. | 166,890 | 13,057,474 | ||||||
Reynolds American, Inc. | 95,084 | 7,098,971 | ||||||
Rite Aid Corp. (a) | 14,019 | 117,059 | ||||||
Spectrum Brands Holdings, Inc. | 604 | 61,602 | ||||||
Sprouts Farmers Market, Inc. (a) | 3,660 | 98,747 | ||||||
Sysco Corp. | 4,422 | 159,634 | ||||||
The Hain Celestial Group, Inc. (a) | 2,449 | 161,291 | ||||||
The Hershey Co. | 247,295 | 21,967,215 | ||||||
The J. M. Smucker Co. | 60,750 | 6,585,908 | ||||||
Tyson Foods, Inc. | 359 | 15,304 | ||||||
Walgreens Boots Alliance, Inc. | 3,099 | 261,680 | ||||||
WhiteWave Foods Co. (a) | 4,180 | 204,318 | ||||||
Whole Foods Market, Inc. | 549,613 | 21,676,737 | ||||||
|
| |||||||
213,703,001 | ||||||||
|
| |||||||
Energy - 2.70% | ||||||||
Cabot Oil & Gas Corp. | 9,872 | 311,363 | ||||||
Continental Resources, Inc. (a) | 674 | 28,571 | ||||||
Core Laboratories | 52,490 | 5,985,960 | ||||||
CVR Energy, Inc. | 153 | 5,759 | ||||||
Dresser-Rand Group, Inc. (a) | 1,837 | 156,476 | ||||||
EOG Rescources, Inc. | 77,127 | 6,752,469 | ||||||
FMC Technologies, Inc. (a) | 3,588 | 148,866 | ||||||
Halliburton Co. | 164,600 | 7,089,322 | ||||||
HollyFrontier Corp. | 693 | 29,584 | ||||||
Marathon Petroleum Corp. | 973 | 50,898 | ||||||
Memorial Resource Development Corp. (a) | 1,971 | 37,390 | ||||||
Oceaneering International, Inc. | 413 | 19,242 | ||||||
ONEOK, Inc. | 2,243 | 88,554 | ||||||
Range Resources Corp. | 267 | 13,184 | ||||||
RPC, Inc. | 172 | 2,379 | ||||||
Schlumberger Ltd | 498,366 | 42,954,165 | ||||||
Suncor Energy, Inc. | 183,372 | 5,046,397 | ||||||
Targa Resources Corp. | 653 | 58,261 | ||||||
Teekay Corp. | 432 | 18,498 | ||||||
Tesoro Corp. | 184 | 15,531 | ||||||
The Williams Companies, Inc. | 17,876 | 1,025,903 | ||||||
World Fuel Services Corp. | 312 | 14,960 | ||||||
|
| |||||||
69,853,732 | ||||||||
|
|
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Financials - 9.64% | ||||||||
Affiliated Managers Group, Inc. (a) | 1,307 | 285,710 | ||||||
Ally Financial, Inc. (a) | 851 | 19,088 | ||||||
American Express Co. | 325,592 | 25,305,010 | ||||||
American Tower Corp. | 10,099 | 942,136 | ||||||
Ameriprise Financial, Inc. | 3,607 | 450,622 | ||||||
AmTrust Financial Services, Inc. | 52 | 3,406 | ||||||
Aon Plc | 197,797 | 19,716,405 | ||||||
Arthur J. Gallagher & Co. | 2,225 | 105,242 | ||||||
Artisan Partners Asset Management, Inc. | 848 | 39,398 | ||||||
Bank New York Mellon Corp. | 2,891 | 121,335 | ||||||
Berkshire Hathaway, Inc. - Class B (a) | 2,886 | 392,813 | ||||||
BlackRock, Inc. | 953 | 329,719 | ||||||
Boston Properties, Inc. | 3,343 | 404,637 | ||||||
CBOE Holdings, Inc. | 2,002 | 114,554 | ||||||
CBRE Group, Inc. (a) | 6,827 | 252,599 | ||||||
Charles Schwab Corp. | 317,733 | 10,373,982 | ||||||
Citigroup, Inc. | 239,895 | 13,251,800 | ||||||
Columbia Property Trust, Inc. | 365 | 8,961 | ||||||
Comerica, Inc. | 133,415 | 6,846,858 | ||||||
Credit Acceptance Corp. (a) | 203 | 49,975 | ||||||
Crown Castle International Corp. | 7,966 | 639,670 | ||||||
Digital Realty Trust, Inc. | 1,861 | 124,091 | ||||||
Eaton Vance Corp. | 2,802 | 109,642 | ||||||
Empire State Realty Trust, Inc. | 1,253 | 21,376 | ||||||
Encore Capital Group, Inc. (a) | 159,829 | 6,831,091 | ||||||
Equinix, Inc. | 74,919 | 19,029,426 | ||||||
Equity Lifestyle Properties, Inc. | 2,011 | 105,738 | ||||||
Erie Indemnity Co. | 580 | 47,601 | ||||||
Extra Space Storage, Inc. | 2,781 | 181,377 | ||||||
Federal Realty Investment Trust | 1,640 | 210,067 | ||||||
Federated Investors, Inc. | 2,238 | 74,951 | ||||||
Gaming and Leisure Properties, Inc. | 287 | 10,521 | ||||||
Hartford Financial Services Group, Inc. | 327,100 | 13,597,547 | ||||||
Health Care Real Estate Investment Trust, Inc. | 3,775 | 247,753 | ||||||
Healthcare Trust of America, Inc. | 293 | 7,017 | ||||||
Interactive Brokers Group, Inc. | 120 | 4,987 |
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Intercontinental Exchange, Inc. | 93,711 | 20,954,717 | ||||||
Invesco Ltd | 1,285 | 48,175 | ||||||
Iron Mountain, Inc. | 1,970 | 61,070 | ||||||
Jones Lang LaSalle, Inc. | 780 | 133,380 | ||||||
Lamar Advertising Co. | 1,933 | 111,109 | ||||||
Lazard Ltd | 3,008 | 169,170 | ||||||
Legg Mason, Inc. | 763 | 39,317 | ||||||
Leucadia National Corp. | 1,051 | 25,518 | ||||||
LPL Financial Holdings, Inc. | 151,735 | 7,054,160 | ||||||
Markel Corp. (a) | 35 | 28,024 | ||||||
Marsh & McLennan Companies, Inc. | 7,676 | 435,229 | ||||||
McGraw Hill Financial, Inc. | 6,533 | 656,240 | ||||||
Moody’s Corp. | 110,298 | 11,907,772 | ||||||
Morgan Stanley | 301,148 | 11,681,531 | ||||||
MSCI, Inc. | 2,684 | 165,200 | ||||||
NorthStar Asset Management Group, Inc. | 4,627 | 85,553 | ||||||
Omega Healthcare Investors, Inc. | 1,187 | 40,750 | ||||||
Plum Creek Timber Co., Inc. | 1,719 | 69,740 | ||||||
Post Properties, Inc. | 440 | 23,923 | ||||||
Public Storage | 3,157 | 582,056 | ||||||
Realogy Holdings Corp. (a) | 1,273 | 59,475 | ||||||
Santander Consumer USA Holding, Inc. (a) | 119 | 3,043 | ||||||
SEI Investments Co. | 3,325 | 163,025 | ||||||
Signature Bank (a) | 52,684 | 7,712,411 | ||||||
Simon Property Group, Inc. | 7,430 | 1,285,539 | ||||||
SLM Corp. (a) | 9,348 | 92,265 | ||||||
Springleaf Holdings, Inc. (a) | 166,405 | 7,639,654 | ||||||
State Street Corp. | 289,430 | 22,286,110 | ||||||
SVB Financial Group (a) | 769 | 110,721 | ||||||
T. Rowe Price Group, Inc. | 6,220 | 483,481 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,288 | 72,530 | ||||||
Taubman Centers, Inc. | 548 | 38,086 | ||||||
TD Ameritrade Holding Corp. | 5,451 | 200,706 | ||||||
The Howard Hughes Corp. (a) | 383 | 54,976 | ||||||
Voya Financial, Inc. | 395,100 | 18,360,297 | ||||||
Waddell & Reed Financial, Inc. | 1,887 | 89,274 | ||||||
Wells Fargo & Co. | 289,900 | 16,303,976 | ||||||
Weyerhaeuser Co. | 1,063 | 33,484 | ||||||
|
| |||||||
249,518,792 | ||||||||
|
|
Table of Contents
Health Care - 17.67% | ||||||||
AbbVie, Inc. | 41,770 | 2,806,510 | ||||||
Acadia Healthcare Company, Inc. (a) | 1,234 | 96,659 | ||||||
Aetna, Inc. | 2,051 | 261,420 | ||||||
Agios Pharmaceuticals, Inc. (a) | 617 | 68,573 | ||||||
Akorn, Inc. (a) | 1,871 | 81,688 | ||||||
Alere, Inc. (a) | 1,305 | 68,839 | ||||||
Alexion Pharmaceuticals, Inc. (a) | 64,184 | 11,602,542 | ||||||
Align Technology, Inc. (a) | 94,003 | 5,894,928 | ||||||
Alkermes Plc (a) | 2,938 | 189,031 | ||||||
Allergan Plc (a) | 49,515 | 15,025,822 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 1,343 | 18,372 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 1,449 | 173,692 | ||||||
AmerisourceBergen Corp. | 5,234 | 556,584 | ||||||
Amgen, Inc. | 184,307 | 28,294,811 | ||||||
Analogic Corp. | 11,427 | 901,590 | ||||||
Anthem, Inc. | 1,252 | 205,503 | ||||||
athenahealth, Inc. (a) | 921 | 105,528 | ||||||
Baxter International, Inc. | 8,249 | 576,853 | ||||||
Becton Dickinson and Co. | 4,998 | 707,967 | ||||||
Biogen, Inc. (a) | 41,241 | 16,658,890 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 196,650 | 26,897,787 | ||||||
Bio-Techne Corp. | 367 | 36,139 | ||||||
Bluebird Bio, Inc. (a) | 784 | 132,002 | ||||||
Boston Scientific Corp. (a) | 2,496 | 44,179 | ||||||
Bristol Myers Squibb Co. | 674,441 | 44,877,304 | ||||||
Brookdale Senior Living, Inc. (a) | 950 | 32,965 | ||||||
Bruker Corp. (a) | 2,644 | 53,964 | ||||||
C.R. Bard, Inc. | 1,768 | 301,798 | ||||||
Cardinal Health, Inc. | 7,139 | 597,177 | ||||||
Catamaran Corp. (a) | 2,811 | 171,696 | ||||||
Celgene Corp. (a) | 75,263 | 8,710,563 | ||||||
Centene Corp. (a) | 2,838 | 228,175 | ||||||
Cerner Corp. (a) | 557,882 | 38,527,331 | ||||||
Charles River Laboratories International, Inc. (a) | 1,131 | 79,555 | ||||||
Cigna Corporation | 6,143 | 995,166 | ||||||
DaVita HealthCare Partners, Inc. (a) | 1,213 | 96,397 |
Table of Contents
DENTSPLY International, Inc. | 855 | 44,075 | ||||||
DexCom, Inc. (a) | 1,893 | 151,402 | ||||||
Edwards Lifesciences Corp. (a) | 2,568 | 365,760 | ||||||
Eli Lilly & Co. | 242,254 | 20,225,786 | ||||||
Endo International Plc (a) | 1,541 | 122,741 | ||||||
Envision Healthcare Holdings, Inc. (a) | 4,431 | 174,936 | ||||||
Exact Sciences Corp. (a) | 117,618 | 3,497,959 | ||||||
Express Scripts Holding Co. (a) | 14,622 | 1,300,481 | ||||||
Gilead Sciences, Inc. | 327,014 | 38,286,799 | ||||||
HCA Holdings, Inc. (a) | 597 | 54,160 | ||||||
Health Net, Inc. (a) | 304 | 19,492 | ||||||
Henry Schein, Inc. (a) | 1,996 | 283,672 | ||||||
Hill-Rom Holdings, Inc. | 1,243 | 67,532 | ||||||
HMS Holdings Corp. (a) | 232,945 | 3,999,666 | ||||||
Hologic, Inc. (a) | 5,869 | 223,374 | ||||||
Hospira, Inc. (a) | 3,217 | 285,380 | ||||||
Humana, Inc. | 3,311 | 633,328 | ||||||
IDEXX Laboratories, Inc. (a) | 2,234 | 143,289 | ||||||
Illumina, Inc. (a) | 55,255 | 12,065,482 | ||||||
IMS Health Holdings, Inc. (a) | 3,191 | 97,804 | ||||||
Incyte Corp. (a) | 3,734 | 389,120 | ||||||
Inovalon Holdings, Inc. (a) | 606 | 16,907 | ||||||
Intercept Pharmaceuticals, Inc. (a) | 381 | 91,966 | ||||||
Intrexon Corp. (a) | 1,105 | 53,924 | ||||||
Intuitive Surgical, Inc. (a) | 880 | 426,360 | ||||||
Isis Pharmaceuticals, Inc. (a) | 2,858 | 164,478 | ||||||
Jazz Pharmaceuticals Plc (a) | 1,458 | 256,710 | ||||||
Johnson & Johnson | 8,538 | 832,113 | ||||||
Juno Therapeutics, Inc. (a) | 285 | 15,199 | ||||||
Laboratory Corp. of America Holdings (a) | 794 | 96,249 | ||||||
Lifepoint Hospitals, Inc. (a) | 104 | 9,043 | ||||||
Mallinckrodt Plc (a) | 1,100 | 129,492 | ||||||
McKesson Corp. | 39,127 | 8,796,141 | ||||||
Medivation, Inc. (a) | 35,245 | 4,024,979 | ||||||
MEDNAX, Inc. (a) | 1,289 | 95,528 | ||||||
Merck & Co., Inc. | 135,327 | 7,704,166 | ||||||
Mettler-Toledo International, Inc. (a) | 668 | 228,095 | ||||||
Mylan (a) | 40,806 | 2,769,095 |
Table of Contents
Novo Nordisk A/S - ADR | 143,709 | 7,869,505 | ||||||
Omnicare, Inc. | 784 | 73,892 | ||||||
Opko Health, Inc. (a) | 5,605 | 90,128 | ||||||
Patterson Companies, Inc. | 1,125 | 54,731 | ||||||
PerkinElmer, Inc. | 419 | 22,056 | ||||||
Perrigo Co. Plc | 646 | 119,400 | ||||||
Pfizer, Inc. | 655,900 | 21,992,327 | ||||||
Premier, Inc. (a) | 898 | 34,537 | ||||||
Puma Biotechnology, Inc. (a) | 597 | 69,700 | ||||||
Quintiles Transitional Holdings, Inc. (a) | 138,290 | 10,041,237 | ||||||
Receptos, Inc. (a) | 754 | 143,298 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 33,473 | 17,075,581 | ||||||
ResMed, Inc. | 3,364 | 189,629 | ||||||
Sanofi - ADR | 257,050 | 12,731,687 | ||||||
Seattle Genetics, Inc. (a) | 2,266 | 109,674 | ||||||
Shire Plc - ADR | 69,959 | 16,894,399 | ||||||
Sirona Dental Systems, Inc. (a) | 1,326 | 133,157 | ||||||
St. Jude Medical, Inc. | 3,785 | 276,570 | ||||||
Stryker Corp. | 4,088 | 390,690 | ||||||
Tenet Healthcare Corp. (a) | 2,369 | 137,118 | ||||||
The Cooper Companies, Inc. | 787 | 140,062 | ||||||
The Spectranetics Corp. (a) | 116,939 | 2,690,766 | ||||||
Thermo Fisher Scientific, Inc. | 93,402 | 12,119,844 | ||||||
United Therapeutics Corp. (a) | 1,104 | 192,041 | ||||||
UnitedHealth Group, Inc. | 89,984 | 10,978,048 | ||||||
Universal Health Services, Inc. | 395 | 56,130 | ||||||
Varian Medical Systems, Inc. (a) | 2,382 | 200,874 | ||||||
VCA, Inc. (a) | 1,850 | 100,649 | ||||||
Veeva Systems, Inc. (a) | 1,696 | 47,539 | ||||||
Vertex Pharmaceuticals, Inc (a) | 117,762 | 14,541,252 | ||||||
VWR Corp. (a) | 370 | 9,890 | ||||||
Waters Corp. (a) | 1,965 | 252,267 | ||||||
Zimmer Holdings, Inc. | 253 | 27,635 | ||||||
Zoetis, Inc. | 272,293 | 13,129,968 | ||||||
|
| |||||||
457,156,964 | ||||||||
|
| |||||||
Industrials - 8.83% | ||||||||
3M Co. | 15,141 | 2,336,256 | ||||||
Acuity Brands, Inc. | 1,037 | 186,639 |
Table of Contents
AECOM (a) | 474 | 15,680 | ||||||
Air Lease Corp. | 156 | 5,288 | ||||||
Alaska Air Group, Inc. | 3,095 | 199,411 | ||||||
Allegion Plc | 2,284 | 137,360 | ||||||
Allison Transmission Holdings, Inc. | 2,329 | 68,146 | ||||||
AMERCO | 84 | 27,460 | ||||||
American Airlines Group, Inc. | 201,801 | 8,058,923 | ||||||
Ametek, Inc. | 211,670 | 11,595,283 | ||||||
A.O. Smith Corp. | 1,772 | 127,549 | ||||||
Armstrong World Industries, Inc. (a) | 587 | 31,275 | ||||||
Avis Budget Group, Inc. (a) | 2,526 | 111,346 | ||||||
B/E Aerospace, Inc. | 2,534 | 139,117 | ||||||
Babcock & Wilcox Co. | 509 | 16,695 | ||||||
Boeing Co. | 90,225 | 12,516,012 | ||||||
C.H. Robinson Worldwide, Inc. | 3,481 | 217,180 | ||||||
Carlisle Companies, Inc. | 339 | 33,941 | ||||||
Caterpillar, Inc. | 2,507 | 212,644 | ||||||
Cintas Corp. | 2,278 | 192,696 | ||||||
Clean Harbors, Inc. (a) | 947 | 50,892 | ||||||
Copart, Inc. (a) | 3,020 | 107,150 | ||||||
Covanta Holding Corp. | 2,732 | 57,891 | ||||||
CSX Corp. | 6,084 | 198,643 | ||||||
Cummins, Inc. | 3,220 | 422,432 | ||||||
Danaher Corp. | 2,852 | 244,103 | ||||||
Deere & Co. | 1,435 | 139,267 | ||||||
Delta Air Lines, Inc. | 19,483 | 800,362 | ||||||
Donaldson Company, Inc. | 2,934 | 105,037 | ||||||
Dun & Bradstreet Corp. | 255 | 31,110 | ||||||
Eaton Corp. Plc | 97,500 | 6,580,275 | ||||||
Emerson Electric Co. | 10,991 | 609,231 | ||||||
Equifax, Inc. | 139,554 | 13,549,298 | ||||||
Expeditors International of Washington, Inc. | 4,574 | 210,884 | ||||||
Fastenal Co. | 7,016 | 295,935 | ||||||
Fedex Corp. | 2,452 | 417,821 | ||||||
Flowserve Corp. | 1,496 | 78,779 | ||||||
Fortune Brands Home & Security, Inc. | 1,332 | 61,032 | ||||||
General Dynamics Corp. | 2,130 | 301,800 | ||||||
Genesee & Wyoming, Inc. (a) | 495 | 37,709 |
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Graco, Inc. | 1,401 | 99,513 | ||||||
HD Supply Holdings, Inc. (a) | 4,069 | 143,147 | ||||||
Hertz Global Holdings, Inc. (a) | 9,688 | 175,546 | ||||||
Hexcel Corp. | 2,278 | 113,308 | ||||||
Honeywell International, Inc. | 234,058 | 23,866,894 | ||||||
Hubbell, Inc. | 183 | 19,815 | ||||||
Huntington Ingalls Industries, Inc. | 1,161 | 130,717 | ||||||
IDEX Corp. | 1,697 | 133,350 | ||||||
IHS, Inc. (a) | 1,406 | 180,854 | ||||||
Illinois Tool Works, Inc. | 7,142 | 655,564 | ||||||
Ingersoll-Rand Plc | 443 | 29,867 | ||||||
J.B. Hunt Transport Services, Inc. | 2,196 | 180,270 | ||||||
JetBlue Airways Corp. (a) | 2,789 | 57,900 | ||||||
Joy Global, Inc. | 118,700 | 4,296,940 | ||||||
KAR Auction Services, Inc. | 1,137 | 42,524 | ||||||
Landstar System, Inc. | 1,065 | 71,216 | ||||||
Lennox International, Inc. | 966 | 104,028 | ||||||
Lincoln Electric Holdings, Inc. | 1,662 | 101,199 | ||||||
Lockheed Martin Corp. | 4,651 | 864,621 | ||||||
Masco Corp. | 8,321 | 221,921 | ||||||
MSC Industrial Direct Company, Inc. | 349 | 24,350 | ||||||
Nielsen | 6,053 | 270,993 | ||||||
Nordson Corp. | 1,452 | 113,096 | ||||||
Northrop Grumman Corp. | 1,407 | 223,192 | ||||||
Old Dominion Freight Lines, Inc. (a) | 1,666 | 114,296 | ||||||
PACCAR, Inc. | 7,656 | 488,529 | ||||||
Pall Corp. | 2,544 | 316,601 | ||||||
Parker-Hannifin Corp. | 53,100 | 6,177,123 | ||||||
Pitney Bowes, Inc. | 1,863 | 38,769 | ||||||
Precision Castparts Corp. | 631 | 126,118 | ||||||
Quanta Services, Inc. (a) | 967 | 27,869 | ||||||
Regal-Beloit Corp. | 57 | 4,138 | ||||||
Robert Half International, Inc. | 3,224 | 178,932 | ||||||
Rockwell Automation, Inc. | 61,409 | 7,654,018 | ||||||
Rockwell Collins, Inc. | 88,239 | 8,148,872 | ||||||
Rollins, Inc. | 2,274 | 64,877 | ||||||
Roper Technologies, Inc. | 919 | 158,491 | ||||||
RPX Corp. (a) | 196,581 | 3,322,219 |
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RR Donnelley & Sons Co. | 2,614 | 45,562 | ||||||
Snap-on, Inc. | 1,387 | 220,880 | ||||||
SolarCity Corp. (a) | 1,412 | 75,613 | ||||||
Southwest Airlines Co. | 15,951 | 527,819 | ||||||
Spirit AeroSystems Holdings, Inc. (a) | 3,121 | 171,998 | ||||||
Spirit Airlines, Inc. (a) | 1,743 | 108,240 | ||||||
Stanley Black & Decker, Inc. | 338 | 35,571 | ||||||
Stericycle, Inc. (a) | 80,722 | 10,809,483 | ||||||
Textron, Inc. | 1,505 | 67,168 | ||||||
The Middleby Corp. (a) | 1,369 | 153,643 | ||||||
The Toro Co. | 1,322 | 89,605 | ||||||
Towers Watson & Co. | 49,635 | 6,244,083 | ||||||
TransDigm Group, Inc. (a) | 115,570 | 25,965,112 | ||||||
Tyco International Plc | 217,483 | 8,368,746 | ||||||
Union Pacific Corp. | 234,348 | 22,349,769 | ||||||
United Continental Holdings, Inc. (a) | 9,118 | 483,345 | ||||||
United Parcel Service, Inc. | 16,745 | 1,622,758 | ||||||
United Rentals, Inc. (a) | 2,315 | 202,840 | ||||||
United Technologies Corp. | 95,855 | 10,633,195 | ||||||
USG Corp. (a) | 2,211 | 61,444 | ||||||
Valmont Industries, Inc. | 31 | 3,685 | ||||||
Verisk Analytics, Inc. (a) | 274,216 | 19,951,956 | ||||||
W.W. Grainger, Inc. | 1,598 | 378,167 | ||||||
Wabco Holdings, Inc. (a) | 1,303 | 161,207 | ||||||
Wabtec Corp. | 2,306 | 217,317 | ||||||
Waste Management, Inc. | 918 | 42,549 | ||||||
Watsco, Inc. | 622 | 76,966 | ||||||
|
| |||||||
228,538,950 | ||||||||
|
| |||||||
Information Technology - 27.84% | ||||||||
3D Systems Corp. (a) | 980 | 19,130 | ||||||
Accenture Plc | 14,992 | 1,450,926 | ||||||
Adobe Systems, Inc. (a) | 226,658 | 18,361,565 | ||||||
Akamai Technologies, Inc. (a) | 174,168 | 12,160,410 | ||||||
Alibaba Group Holding Ltd (a) - ADR | 72,264 | 5,945,159 | ||||||
Alliance Data Systems Corp. (a) | 1,481 | 432,363 | ||||||
Altera Corp. | 2,235 | 114,432 | ||||||
Amphenol Corp. | 7,374 | 427,471 | ||||||
Analog Devices, Inc. | 6,848 | 439,539 |
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ANSYS, Inc. (a) | 405 | 36,952 | ||||||
Apple, Inc. | 677,568 | 84,983,966 | ||||||
Applied Materials, Inc. | 178,362 | 3,428,118 | ||||||
Arista Networks, Inc. (a) | 805 | 65,801 | ||||||
Arm Holdings Plc - ADR | 112,277 | 5,531,888 | ||||||
ARRIS Group, Inc. (a) | 543 | 16,616 | ||||||
Atmel Corp. | 9,875 | 97,318 | ||||||
Autodesk, Inc. (a) | 4,038 | 202,203 | ||||||
Automatic Data Processing, Inc. | 271,289 | 21,765,516 | ||||||
Avago Technologies Ltd | 6,125 | 814,196 | ||||||
Black Knight Financial Services, Inc. (a) | 434 | 13,398 | ||||||
Booz Allen Hamilton Holding Corp. | 2,248 | 56,740 | ||||||
Broadcom Corp. | 963 | 49,585 | ||||||
Broadridge Financial Solutions, Inc. | 2,862 | 143,129 | ||||||
Cadence Design Systems, Inc. (a) | 6,986 | 137,345 | ||||||
CDK Global, Inc. | 3,827 | 206,581 | ||||||
CDW Corp. | 3,148 | 107,913 | ||||||
Cisco Systems, Inc. | 647,100 | 17,769,366 | ||||||
Citrix Systems, Inc. (a) | 107,826 | 7,565,072 | ||||||
Cognex Corp. | 2,080 | 100,048 | ||||||
Cognizant Technology Solutions - Class A (a) | 14,572 | 890,203 | ||||||
CommScope Holding Company, Inc. (a) | 1,113 | 33,958 | ||||||
CoreLogic, Inc. (a) | 967 | 38,380 | ||||||
CoStar Group, Inc. (a) | 24,842 | 4,999,701 | ||||||
DST Systems, Inc. | 678 | 85,414 | ||||||
EMC Corp. | 737,101 | 19,452,095 | ||||||
eBay, Inc. (a) | 28,995 | 1,746,659 | ||||||
Electronic Arts, Inc. (a) | 7,509 | 499,348 | ||||||
F5 Networks, Inc. (a) | 1,717 | 206,641 | ||||||
Facebook, Inc. (a) | 410,223 | 35,182,776 | ||||||
FactSet Research Systems, Inc. | 997 | 162,022 | ||||||
Fidelity National Information Services, Inc. | 2,916 | 180,209 | ||||||
FireEye, Inc. (a) | 116,552 | 5,700,558 | ||||||
Fiserv, Inc. (a) | 5,652 | 468,155 | ||||||
Fleetcor Technologies, Inc. (a) | 36,762 | 5,737,078 | ||||||
FLIR Systems, Inc. | 2,111 | 65,061 | ||||||
Fortinet, Inc. (a) | 3,409 | 140,894 | ||||||
Freescale Semiconductor Ltd (a) | 2,418 | 96,647 |
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Gartner, Inc. (a) | 1,982 | 170,016 | ||||||
Genpact Ltd (a) | 3,797 | 80,990 | ||||||
Global Payments, Inc. | 1,581 | 163,554 | ||||||
GoDaddy, Inc. (a) | 564 | 15,899 | ||||||
Google, Inc. - Class A (a) | 127,057 | 68,615,862 | ||||||
Google, Inc. - Class C (a) | 73,818 | 38,423,007 | ||||||
Guidewire Software, Inc. (a) | 93,629 | 4,955,783 | ||||||
Harris Corp. | 505 | 38,840 | ||||||
HomeAway, Inc. (a) | 728 | 22,655 | ||||||
IAC/InterActiveCorp | 1,754 | 139,724 | ||||||
Informatica Corp. (a) | 2,500 | 121,175 | ||||||
Ingram Micro, Inc. (a) | 209 | 5,231 | ||||||
Intel Corp. | 7,926 | 241,069 | ||||||
International Business Machiness Co. | 12,029 | 1,956,637 | ||||||
Intuit, Inc. | 6,579 | 662,966 | ||||||
IPG Photonics Corp. (a) | 825 | 70,269 | ||||||
Jabil Circuit, Inc. | 861 | 18,331 | ||||||
Jack Henry & Associates, Inc. | 1,965 | 127,135 | ||||||
Juniper Networks, Inc. | 1,668 | 43,318 | ||||||
Keysight Technologies, Inc. (a) | 3,393 | 105,828 | ||||||
King Digital Entertainment Plc | 1,919 | 27,346 | ||||||
KLA-Tencor Corp. | 3,817 | 214,554 | ||||||
Lam Research Corp. | 2,699 | 219,564 | ||||||
Leidos Holdings, Inc. | 137 | 5,531 | ||||||
LendingClub Corp. (a) | 1,594 | 23,511 | ||||||
Linear Technology Corp. | 5,716 | 252,819 | ||||||
Linkedin Corp. (a) | 140,580 | 29,048,045 | ||||||
MasterCard, Inc. | 593,025 | 55,435,977 | ||||||
Maxim Integrated Products, Inc. | 2,339 | 80,871 | ||||||
Microchip Technology, Inc. | 4,829 | 229,015 | ||||||
Micron Technology, Inc. (a) | 2,040 | 38,434 | ||||||
Microsoft Corp. | 420,375 | 18,559,556 | ||||||
Motorola Solutions, Inc. | 5,035 | 288,707 | ||||||
National Instruments Corp. | 591 | 17,411 | ||||||
NetApp, Inc. | 2,233 | 70,473 | ||||||
NetSuite, Inc. (a) | 954 | 87,529 | ||||||
NeuStar, Inc. (a) | 190,171 | 5,554,895 | ||||||
NXP Semiconductors (a) | 78,050 | 7,664,510 |
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ON Semiconductor Corp. (a) | 9,456 | 110,541 | ||||||
Oracle Corp. | 45,374 | 1,828,572 | ||||||
Palo Alto Networks, Inc. (a) | 1,733 | 302,755 | ||||||
Pandora Media, Inc. (a) | 332,514 | 5,167,268 | ||||||
Paychex, Inc. | 6,753 | 316,581 | ||||||
PTC, Inc. (a) | 2,763 | 113,338 | ||||||
Qorvo, Inc. (a) | 3,567 | 286,323 | ||||||
QUALCOMM, Inc. | 261,904 | 16,403,048 | ||||||
Rackspace Hosting, Inc. (a) | 2,940 | 109,339 | ||||||
Red Hat, Inc. (a) | 542,213 | 41,170,233 | ||||||
Sabre Corp. | 2,713 | 64,569 | ||||||
Salesforce.com, Inc. (a) | 365,897 | 25,477,408 | ||||||
SAP SE - ADR | 304,910 | 21,413,829 | ||||||
ServiceNow, Inc. (a) | 47,183 | 3,506,169 | ||||||
Skyworks Solutions, Inc. | 4,561 | 474,800 | ||||||
SolarWinds, Inc. (a) | 1,592 | 73,439 | ||||||
Solera Holdings, Inc. | 125,939 | 5,611,842 | ||||||
Splunk, Inc. (a) | 98,960 | 6,889,595 | ||||||
SS&C Technologies Holdings, Inc. | 1,527 | 95,438 | ||||||
SunEdison, Inc. (a) | 5,983 | 178,952 | ||||||
SunPower Corp. (a) | 126 | 3,580 | ||||||
Synopsys, Inc. (a) | 271 | 13,726 | ||||||
Tableau Software, Inc. (a) | 1,183 | 136,400 | ||||||
Tencent Holdings Ltd - ADR | 390,340 | 7,826,317 | ||||||
Teradata Corp. (a) | 2,519 | 93,203 | ||||||
Texas Instruments, Inc. | 24,831 | 1,279,045 | ||||||
The Western Union Co. | 12,323 | 250,527 | ||||||
Total Systems Services, Inc. | 3,944 | 164,741 | ||||||
Trimble Navigation Ltd (a) | 329 | 7,718 | ||||||
Twitter, Inc. (a) | 243,208 | 8,808,994 | ||||||
Ultimate Software Group, Inc. (a) | 683 | 112,244 | ||||||
Vantiv, Inc. (a) | 321,993 | 12,296,913 | ||||||
VeriFone Systems, Inc. (a) | 2,715 | 92,201 | ||||||
Verint Systems, Inc. (a) | 96,154 | 5,840,875 | ||||||
VeriSign, Inc. (a) | 2,470 | 152,448 | ||||||
Visa, Inc. | 565,269 | 37,957,813 | ||||||
VMware, Inc. (a) | 1,956 | 167,707 | ||||||
WEX, Inc. (a) | 923 | 105,194 |
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Workday, Inc. (a) | 114,769 | 8,767,204 | ||||||
Xerox Corp. | 830,200 | 8,833,328 | ||||||
Xilinx, Inc. | 1,427 | 63,016 | ||||||
Yahoo!, Inc. (a) | 147,505 | 5,795,471 | ||||||
Yelp, Inc. (a) | 1,551 | 66,740 | ||||||
Zebra Technologies Corp. (a) | 1,235 | 137,147 | ||||||
Zillow Group, Inc. (a) | 628 | 54,473 | ||||||
|
| |||||||
720,546,646 | ||||||||
|
| |||||||
Materials - 3.14% | ||||||||
Air Products & Chemicals, Inc. | 4,219 | 577,286 | ||||||
Airgas, Inc. | 365 | 38,610 | ||||||
AptarGroup, Inc. | 277 | 17,664 | ||||||
Ashland, Inc. | 154 | 18,773 | ||||||
Avery Dennison Corp. | 2,021 | 123,160 | ||||||
Axalta Coating Systems Ltd (a) | 2,408 | 79,657 | ||||||
Ball Corp. | 3,291 | 230,864 | ||||||
Bemis, Inc. | 254 | 11,432 | ||||||
Celanese Corp. | 260 | 18,689 | ||||||
CF Industries Holdings, Inc. | 5,618 | 361,125 | ||||||
Compass Minerals International, Inc. | 794 | 65,219 | ||||||
Crown Holdings, Inc. (a) | 1,463 | 77,407 | ||||||
Cytec Industries, Inc. | 167 | 10,108 | ||||||
Dow Chemical Co. | 3,605 | 184,468 | ||||||
DuPont | 9,982 | 638,349 | ||||||
Eagle Materials, Inc. | 1,199 | 91,520 | ||||||
Eastman Chemical Co. | 109,984 | 8,998,891 | ||||||
Ecolab, Inc. | 232,562 | 26,295,785 | ||||||
FMC Corp. | 2,308 | 121,285 | ||||||
Graphic Packaging Holding Co. | 4,530 | 63,103 | ||||||
Huntsman Corp. | 3,101 | 68,439 | ||||||
International Flavors & Fragrances, Inc. | 1,931 | 211,039 | ||||||
International Paper Co. | 9,544 | 454,199 | ||||||
LyondellBasell Industries N. V. - Class A | 9,191 | 951,452 | ||||||
Martin Marietta Materials, Inc. | 226 | 31,981 | ||||||
Monsanto Co. | 357,215 | 38,075,547 | ||||||
NewMarket Corp. | 203 | 90,110 | ||||||
Owens-Illinois, Inc. (a) | 243 | 5,574 | ||||||
Packaging Corporation of America | 2,337 | 146,039 |
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Platform Specialty Products Corp. (a) | 470 | 12,023 | ||||||
PPG Industries, Inc. | 6,489 | 744,418 | ||||||
Praxair, Inc. | 5,733 | 685,380 | ||||||
Rock-Tenn Co. | 643 | 38,709 | ||||||
Royal Gold, Inc. | 82 | 5,050 | ||||||
RPM International, Inc. | 3,180 | 155,725 | ||||||
Scotts Miracle-Gro Co. | 967 | 57,256 | ||||||
Sealed Air Corp. | 5,004 | 257,105 | ||||||
Sigma-Aldrich Corp. | 1,111 | 154,818 | ||||||
Silgan Holdings, Inc. | 970 | 51,177 | ||||||
Southern Copper Corp. | 891 | 26,204 | ||||||
Steel Dynamics, Inc. | 641 | 13,278 | ||||||
Tahoe Resources, Inc. | 490 | 5,944 | ||||||
The Sherwin-Williams Co. | 1,933 | 531,614 | ||||||
The Valspar Corp. | 1,940 | 158,731 | ||||||
Vulcan Materials Co. | 415 | 34,832 | ||||||
W.R. Grace & Co. (a) | 1,737 | 174,222 | ||||||
|
| |||||||
81,164,261 | ||||||||
|
| |||||||
Telecommunication Services - 0.64% | ||||||||
Level 3 Communications, Inc. (a) | 822 | 43,295 | ||||||
SBA Communications Corp. (a) | 105,672 | 12,149,110 | ||||||
Verizon Communications, Inc. | 90,334 | 4,210,468 | ||||||
Zayo Group Holdings, Inc. (a) | 2,964 | 76,233 | ||||||
|
| |||||||
16,479,106 | ||||||||
|
| |||||||
Utilities - 0.00% | ||||||||
Calpine Corp. (a) | 1,031 | 18,547 | ||||||
Dominion Resources, Inc. | 709 | 47,411 | ||||||
ITC Holdings Corp. | 1,367 | 43,990 | ||||||
TerraForm Power, Inc. | 64 | 2,431 | ||||||
|
| |||||||
112,379 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,523,353,766) | $ | 2,493,428,355 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Funds - 3.48% | ||||||||
Goldman Sachs Financial Square Fund, 0.01% | 44,921,518 | $ | 44,921,518 | |||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 44,921,519 | 44,921,519 | ||||||
|
| |||||||
Total Money Market Funds (Cost $89,843,037) | $ | 89,843,037 | ||||||
|
|
Table of Contents
TOTAL INVESTMENTS IN SECURITIES - 99.84% | $ | 2,583,271,392 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.16% | 4,030,598 | |||
|
| |||
TOTAL NET ASSETS - 100.00% | $ | 2,587,301,990 | ||
|
|
Percentages are stated as a percent of net assets.
ADR - | American Depository Receipt |
(a) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2015
Open Futures Contracts
Number of Contracts Purchased | Description | Settlement Month | Notional Amount | Value | Unrealized Depreciation | |||||||||||
5 | E-Mini S&P 500 Index Futures | Sep. 2015 | $ | 522,817 | $ | 513,600 | $ | (9,217 | ) | |||||||
2 | E-Mini NASDAQ 100 Index Futures | Sep. 2015 | 177,025 | 175,610 | (1,415 | ) | ||||||||||
|
| |||||||||||||||
$ | (10,632 | ) | ||||||||||||||
|
|
Table of Contents
Bridge Builder Large Cap Value Fund
Schedule of Investments
June 30, 2015
Shares | Value | |||||||
Common Stocks - 95.20% | ||||||||
Consumer Discretionary - 9.86% | ||||||||
Aaron’s, Inc. | 1,117 | $ | 40,447 | |||||
Aramark | 333 | 10,313 | ||||||
Best Buy, Inc. | 6,137 | 200,128 | ||||||
Brunswick Corp. | 493 | 25,074 | ||||||
Cabela’s, Inc. (a) | 925 | 46,231 | ||||||
Cablevision Systems Corp. | 3,506 | 83,934 | ||||||
Carnival Corp. | 230,589 | 11,388,791 | ||||||
Clear Channel Outdoor Holdings, Inc. | 519 | 5,257 | ||||||
Coach, Inc. | 4,805 | 166,301 | ||||||
Comcast Corp. | 4,164 | 250,423 | ||||||
Comcast Corp. - Special Class A | 748 | 44,835 | ||||||
CST Brands, Inc. | 247 | 9,648 | ||||||
D.R. Horton, Inc. | 3,890 | 106,430 | ||||||
Darden Restaurants, Inc | 2,038 | 144,861 | ||||||
Delphi Automotive Plc | 165,400 | 14,073,886 | ||||||
Dick’s Sporting Goods, Inc. | 579 | 29,975 | ||||||
Dillard’s, Inc. | 425 | 44,706 | ||||||
Discovery Communications - Class A | 283 | 9,413 | ||||||
Discovery Communications - Class C (a) | 499 | 15,509 | ||||||
Dish Network Corp. (a) | 1,439 | 97,435 | ||||||
Walt Disney Co. | 87,631 | 10,002,202 | ||||||
DSW, Inc. | 1,394 | 46,518 | ||||||
Family Dollar Stores, Inc. | 128 | 10,088 | ||||||
Foot Locker, Inc. | 382 | 25,598 | ||||||
Ford Motor Co. | 78,952 | 1,185,069 | ||||||
Fossil Group, Inc. (a) | 156 | 10,820 | ||||||
GameStop Corp. | 2,166 | 93,051 | ||||||
Gannett Co., Inc. (a) | 2,294 | 32,093 | ||||||
Garmin Ltd | 2,396 | 105,256 |
Table of Contents
General Motors Co. | 32,499 | 1,083,192 | ||||||
Gentex Corp. | 2,975 | 48,849 | ||||||
Genuine Parts Co. | 211 | 18,891 | ||||||
Goodyear Tire & Rubber Co. | 5,458 | 164,559 | ||||||
Graham Holdings Co. | 71 | 76,329 | ||||||
H&R Block, Inc. | 362 | 10,733 | ||||||
Hanesbrands, Inc. | 409,400 | 13,641,208 | ||||||
Harley-Davidson, Inc. | 1,907 | 107,459 | ||||||
Hasbro, Inc. | 424 | 31,711 | ||||||
Hyatt Hotels Corp. (a) | 689 | 39,059 | ||||||
International Game Technology Plc (a) | 623 | 11,064 | ||||||
J.C. Penney Company, Inc. (a) | 6,170 | 52,260 | ||||||
John Wiley & Sons, Inc. | 944 | 51,325 | ||||||
Johnson Controls, Inc. | 248,342 | 12,300,379 | ||||||
Kohls Corp. | 4,104 | 256,951 | ||||||
Las Vegas Sands Corp. | 230,035 | 12,092,940 | ||||||
Lear Corp. | 383 | 42,996 | ||||||
Lennar Corp. - Class A | 2,138 | 109,123 | ||||||
Lennar Corp. - Class B | 120 | 5,174 | ||||||
Liberty Broadband Corp. - Class A (a) | 529 | 26,963 | ||||||
Liberty Broadband Corp. - Class C (a) | 1,342 | 68,657 | ||||||
Liberty Interactive Corp. (a) | 5,486 | 152,236 | ||||||
Liberty Media Corp - Class A (a) | 2,114 | 76,189 | ||||||
Liberty Media Corp - Class C (a) | 4,055 | 145,574 | ||||||
Lowes Companies, Inc. | 183,856 | 12,312,836 | ||||||
Macy’s, Inc. | 1,928 | 130,082 | ||||||
Mattel, Inc. | 6,842 | 175,771 | ||||||
McDonald’s Corp. | 151,396 | 14,393,218 | ||||||
MGM Resorts International (a) | 8,375 | 152,844 | ||||||
Michelin | 125,062 | 13,159,534 | ||||||
Mohawk Industries, Inc. (a) | 372 | 71,015 | ||||||
Murphy USA, Inc. (a) | 860 | 48,005 | ||||||
Newell Rubbermaid, Inc. | 2,695 | 110,791 | ||||||
News Corp. - Class A (a) | 7,756 | 113,160 | ||||||
News Corp. - Class B (a) | 2,445 | 34,817 | ||||||
Nike, Inc. | 155,222 | 16,767,080 | ||||||
Norwegian Cruise Line Holdings Ltd (a) | 172,523 | 9,668,189 |
Table of Contents
NVR, Inc. (a) | 8,700 | 11,658,000 | ||||||
Office Depot, Inc. (a) | 9,110 | 78,893 | ||||||
Penske Automotive Group, Inc. | 539 | 28,087 | ||||||
Pulte Group, Inc. | 7,373 | 148,566 | ||||||
PVH Corp. | 1,672 | 192,614 | ||||||
Ralph Lauren Corp. | 1,144 | 151,420 | ||||||
Royal Caribbean Cruises Ltd | 156,078 | 12,281,778 | ||||||
Sears Holdings Corp. (a) | 240 | 6,408 | ||||||
SeaWorld Enertainment, Inc. | 506,300 | 9,336,172 | ||||||
Staples, Inc. | 12,955 | 198,341 | ||||||
Target Corp. | 144,240 | 11,774,311 | ||||||
TEGNA, Inc. | 4,588 | 147,137 | ||||||
Thomson Reuters Corp. | 6,666 | 253,775 | ||||||
Tiffany & Co. | 562 | 51,592 | ||||||
Time Warner, Inc. | 8,087 | 706,885 | ||||||
TJX Companies, Inc. | 270,527 | 17,900,772 | ||||||
Toll Brothers, Inc. (a) | 2,312 | 88,295 | ||||||
Tribune Media Co. | 1,631 | 87,079 | ||||||
Tupperware Brands Corp. | 55 | 3,550 | ||||||
Twenty-First Centy Fox, Inc. - Class A | 8,223 | 267,618 | ||||||
Twenty-First Centy Fox, Inc. - Class B | 3,159 | 101,783 | ||||||
Vista Outdoor, Inc. (a) | 1,124 | 50,468 | ||||||
Wendy’s Co. | 5,506 | 62,108 | ||||||
Whirlpool Corp. | 1,470 | 254,383 | ||||||
Wynn Resorts Ltd | 189 | 18,649 | ||||||
|
| |||||||
211,904,139 | ||||||||
|
| |||||||
Consumer Staples - 7.95% | ||||||||
Altria Group, Inc. | 223,547 | 10,933,684 | ||||||
Anheuser-Busch InBev NV - ADR | 79,189 | 9,555,737 | ||||||
Archer-Daniels-Midland Co. | 12,545 | 604,920 | ||||||
Avon Products, Inc. | 8,798 | 55,076 | ||||||
Brown Forman Corp. - Class A | 39 | 4,345 | ||||||
Brown Forman Corp. - Class B | 179 | 17,932 | ||||||
Bunge Ltd | 2,904 | 254,971 | ||||||
Campbell Soup Co. | 1,448 | 68,997 | ||||||
Clorox Co. | 550 | 57,211 | ||||||
Coca Cola Co. | 413,171 | 16,208,698 |
Table of Contents
Colgate Palmolive Co. | 199,110 | 13,023,785 | ||||||
ConAgra Foods, Inc. | 7,461 | 326,195 | ||||||
Costco Wholesale Corp. | 79,965 | 10,800,073 | ||||||
CVS Health Corp. | 206,291 | 21,635,800 | ||||||
Diageo Plc - ADR | 102,078 | 11,845,131 | ||||||
Energizer Holdings, Inc. | 1,258 | 165,490 | ||||||
Flowers Foods, Inc. | 384 | 8,122 | ||||||
Herbalife Ltd (a) | 218 | 12,010 | ||||||
Ingredion, Inc. | 1,265 | 100,960 | ||||||
Kellogg Co. | 505 | 31,664 | ||||||
Kimberly Clark Corp. | 1,524 | 161,498 | ||||||
Molson Coors Brewing Co. | 2,789 | 194,700 | ||||||
Mondelez International, Inc. | 32,892 | 1,353,177 | ||||||
Nu Skin Enterprises, Inc. | 937 | 44,161 | ||||||
Philip Morris International, Inc. | 110,326 | 8,844,835 | ||||||
Pilgrim’s Pride Corp. | 1,128 | 25,910 | ||||||
Pinnacle Foods, Inc. | 2,357 | 107,338 | ||||||
Procter & Gamble Co. | 199,187 | 15,584,391 | ||||||
Reynolds American, Inc. | 152,305 | 11,371,091 | ||||||
Rite Aid Corp. (a) | 8,118 | 67,785 | ||||||
Sysco Corp. | 8,261 | 298,222 | ||||||
The J. M. Smucker Co. | 2,420 | 262,352 | ||||||
Tyson Foods, Inc. | 5,655 | 241,073 | ||||||
Walgreens Boots Alliance, Inc. | 147,191 | 12,428,808 | ||||||
Wal-Mart Stores, Inc. | 342,182 | 24,270,969 | ||||||
Whole Foods Market, Inc. | 609 | 24,019 | ||||||
|
| |||||||
170,991,130 | ||||||||
|
| |||||||
Energy - 7.93% | ||||||||
Anadarko Petroleum Corp. | 10,271 | 801,754 | ||||||
Antero Resources Corp. (a) | 1,410 | 48,419 | ||||||
Apache Corp. | 281,005 | 16,194,318 | ||||||
Baker Hughes, Inc. | 8,790 | 542,343 | ||||||
BP Plc - ADR | 176,200 | 7,040,952 | ||||||
California Resources Corp. | 6,359 | 38,408 | ||||||
Cameron International Corp. (a) | 3,871 | 202,724 | ||||||
Cheniere Energy, Inc. (a) | 4,784 | 331,340 | ||||||
Chesapeake Energy Corp. | 11,863 | 132,510 |
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Chevron Corp. | 267,087 | 25,765,883 | ||||||
Cimarex Energy Co. | 1,913 | 211,023 | ||||||
Cobalt International Energy, Inc. (a) | 7,415 | 72,000 | ||||||
Concho Resources, Inc. (a) | 2,427 | 276,338 | ||||||
ConocoPhillips | 122,532 | 7,524,690 | ||||||
CONSOL Energy, Inc. | 4,627 | 100,591 | ||||||
Continental Resources, Inc (a) | 1,163 | 49,300 | ||||||
CVR Energy, Inc. | 231 | 8,695 | ||||||
Denbury Resources, Inc. | 1,951,679 | 12,412,678 | ||||||
Devon Energy Corp. | 332,318 | 19,769,598 | ||||||
Diamond Offshore Drilling, Inc. | 1,299 | 33,527 | ||||||
Diamondback Energy, Inc. (a) | 1,275 | 96,110 | ||||||
Dril-Quip, Inc. (a) | 788 | 59,297 | ||||||
Energen Corp. | 1,478 | 100,947 | ||||||
Ensco Plc | 4,738 | 105,515 | ||||||
EOG Resources, Inc. | 10,146 | 888,282 | ||||||
EP Energy Corp. (a) | 688 | 8,758 | ||||||
EQT Corp. | 3,081 | 250,609 | ||||||
Exxon Mobil Corp. | 264,215 | 21,982,688 | ||||||
FMC Technologies, Inc. (a) | 1,630 | 67,629 | ||||||
FMSA Holdings, Inc. (a) | 461,200 | 3,777,228 | ||||||
Franks International | 694 | 13,075 | ||||||
Golar LNG Ltd | 1,819 | 85,129 | ||||||
Gulfport Energy Corp. (a) | 1,955 | 78,689 | ||||||
Halliburton Co. | 17,206 | 741,062 | ||||||
Helmerich & Payne, Inc. | 1,950 | 137,319 | ||||||
Hess Corp. | 5,099 | 341,021 | ||||||
HollyFrontier Corp. | 3,351 | 143,054 | ||||||
Kinder Morgan, Inc. | 36,106 | 1,386,109 | ||||||
Kosmos Energy Ltd (a) | 3,188 | 26,875 | ||||||
Laredo Petroleum, Inc. (a) | 2,491 | 31,337 | ||||||
Marathon Oil Corp. | 13,649 | 362,244 | ||||||
Marathon Petroleum Corp. | 10,162 | 531,574 | ||||||
Murphy Oil Corp. | 3,599 | 149,610 | ||||||
Nabors Industries Ltd | 6,681 | 96,407 | ||||||
National Oilwell Varco, Inc. | 7,843 | 378,660 | ||||||
Newfield Exploration Co. (a) | 3,292 | 118,907 |
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Noble Corp Plc | 4,893 | 75,303 | ||||||
Noble Energy, Inc. | 7,848 | 334,953 | ||||||
Occidental Petroleum Corp. | 87,232 | 6,784,033 | ||||||
Oceaneering International, Inc. | 1,648 | 76,780 | ||||||
ONEOK, Inc. | 2,322 | 91,673 | ||||||
Patterson-Uti Energy, Inc. | 2,969 | 55,862 | ||||||
PBF Energy, Inc. | 1,740 | 49,451 | ||||||
Phillips 66 | 247,276 | 19,920,555 | ||||||
Pioneer Natural Resources Co. | 3,019 | 418,705 | ||||||
QEP Resources, Inc. | 3,573 | 66,136 | ||||||
Range Resources Corp. | 3,194 | 157,720 | ||||||
Rowan Companies Plc | 2,523 | 53,261 | ||||||
RPC, Inc. | 1,017 | 14,065 | ||||||
Schlumberger Ltd | 164,744 | 14,199,285 | ||||||
Seadrill Ltd | 255,556 | 2,642,449 | ||||||
SM Energy Co. | 1,365 | 62,954 | ||||||
Southwestern Energy Co. (a) | 7,776 | 176,749 | ||||||
Spectra Energy Corp. | 13,575 | 442,545 | ||||||
Superior Energy Services, Inc. | 3,089 | 64,993 | ||||||
Targa Resources Corp. | 581 | 51,837 | ||||||
Teekay Corp. | 578 | 24,750 | ||||||
Tesoro Corp. | 2,390 | 201,740 | ||||||
Valero Energy Corp. | 10,285 | 643,841 | ||||||
Weatherford International Plc (a) | 15,667 | 192,234 | ||||||
Whiting Petroleum Corp. (a) | 4,128 | 138,701 | ||||||
World Fuel Services Corp. | 1,194 | 57,252 | ||||||
WPX Energy, Inc. (a) | 4,141 | 50,851 | ||||||
|
| |||||||
170,563,904 | ||||||||
|
| |||||||
Financials - 21.74% | ||||||||
ACE Ltd | 173,707 | 17,662,528 | ||||||
Aflac, Inc. | 8,774 | 545,743 | ||||||
Alexandria Real Estate Equity, Inc. | 1,457 | 127,429 | ||||||
Alleghany Corp. (a) | 38,773 | 18,175,231 | ||||||
Allied World Assurance Co. Holdings, AG. | 1,930 | 83,415 | ||||||
Allstate Corp. | 170,325 | 11,048,983 | ||||||
Ally Financial, Inc. (a) | 9,016 | 202,229 | ||||||
American Campus Communities, Inc. | 2,271 | 85,594 |
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American Capital Agency Corp. | 311,271 | 5,718,048 | ||||||
American Express Co. | 149,985 | 11,656,834 | ||||||
American Financial Goup, Inc. | 1,395 | 90,731 | ||||||
American Homes 4 Rent | 3,351 | 53,750 | ||||||
American International Group, Inc. | 217,763 | 13,462,109 | ||||||
American National Insurance Co. | 152 | 15,553 | ||||||
American Realty Capital Properties, Inc. | 18,304 | 148,812 | ||||||
Ameriprise Financial, Inc. | 74,013 | 9,246,444 | ||||||
AmTrust Financial Services, Inc. | 733 | 48,019 | ||||||
Annaly Capital Management, Inc. | 639,242 | 5,874,634 | ||||||
Apartment Investment & Management Co. | 3,161 | 116,736 | ||||||
Apple Hospitality Real Estate Investment Trust, Inc. | 3,764 | 71,027 | ||||||
Arch Capital Group Ltd (a) | 169,802 | 11,369,942 | ||||||
Arthur J. Gallagher & Co. | 1,512 | 71,518 | ||||||
Aspen Insurance Holdings Ltd | 1,246 | 59,683 | ||||||
Associated Banc Corp. | 3,085 | 62,533 | ||||||
Assurant, Inc. | 1,374 | 92,058 | ||||||
Assured Guaranty Ltd | 3,052 | 73,217 | ||||||
AvalonBay Communities, Inc. | 2,673 | 427,333 | ||||||
Axis Capital Holdings Ltd | 2,041 | 108,928 | ||||||
Bank New York Mellon Corp. | 20,229 | 849,011 | ||||||
Bank of America Corp. | 1,068,660 | 18,188,593 | ||||||
Bank of Hawaii Corp. | 882 | 58,812 | ||||||
BankUnited, Inc. | 2,092 | 75,166 | ||||||
BB&T Corp. | 14,754 | 594,734 | ||||||
Berkshire Hathaway, Inc. - Class B | 133,155 | 18,123,727 | ||||||
BioMed Realty Trust, Inc. | 4,117 | 79,623 | ||||||
BlackRock, Inc. | 32,866 | 11,370,979 | ||||||
BOK Financial Corp. | 571 | 39,730 | ||||||
Boston Properties, Inc. | 270 | 32,681 | ||||||
Brandywine Realty Trust | 3,638 | 48,313 | ||||||
Brixmor Property Group, Inc. | 3,499 | 80,932 | ||||||
Brown & Brown, Inc. | 2,343 | 76,991 | ||||||
Camden Property Trust | 1,757 | 130,510 | ||||||
Capital One Financial Corp. | 212,350 | 18,680,429 | ||||||
CBL & Associates Properties, Inc. | 3,377 | 54,707 | ||||||
Charles Schwab Corp. | 6,788 | 221,628 |
Table of Contents
Chimera Investment Corp. | 4,158 | 57,006 | ||||||
Cincinnati Financial Corp. | 3,324 | 166,798 | ||||||
CIT Group, Inc. | 3,520 | 163,645 | ||||||
Citigroup, Inc. | 649,775 | 35,893,571 | ||||||
Citizens Financial Group, Inc. | 6,307 | 172,244 | ||||||
City National Corp. | 973 | 87,949 | ||||||
CME Group, Inc. | 6,483 | 603,308 | ||||||
CNA Financial Corp. | 544 | 20,786 | ||||||
Columbia Property Trust, Inc. | 2,221 | 54,526 | ||||||
Comerica, Inc. | 3,600 | 184,752 | ||||||
Commerce Bancshares, Inc. | 1,666 | 77,919 | ||||||
Communications Sales & Leasing, Inc. | 2,440 | 60,317 | ||||||
Corporate Office Properties Trust | 1,912 | 45,008 | ||||||
Corrections Corp Of America | 2,367 | 78,300 | ||||||
Cullen/Frost Bankers, Inc. | 1,097 | 86,202 | ||||||
DDR Corp. | 6,125 | 94,692 | ||||||
Digital Realty Trust, Inc. | 1,170 | 78,016 | ||||||
Discover Financial Services | 158,948 | 9,158,584 | ||||||
Douglas Emmett, Inc. | 2,949 | 79,446 | ||||||
Duke Realty Corp. | 6,978 | 129,581 | ||||||
E*TRADE Financial Corp. (a) | 204,063 | 6,111,687 | ||||||
East West Bancorp, Inc. | 2,909 | 130,381 | ||||||
Empire State Realty Trust, Inc. | 1,192 | 20,336 | ||||||
Endurance Specialty Holdings Ltd | 914 | 60,050 | ||||||
Equity Commonwealth | 2,624 | 67,358 | ||||||
Equity Residential | 7,361 | 516,521 | ||||||
Essex Property Real Estate Investment Trust, Inc. | 1,322 | 280,925 | ||||||
Everest Re Group Ltd | 899 | 163,627 | ||||||
Fidelity National Financial, Inc. | 5,671 | 209,770 | ||||||
Fifth Third Bancorp | 450,978 | 9,389,362 | ||||||
First Horizon National Corp. | 4,722 | 73,994 | ||||||
First Niagara Financial Group, Inc. | 683,880 | 6,455,827 | ||||||
First Republic Bank | 2,865 | 180,581 | ||||||
Forest City Enterprises, Inc. (a) | 4,417 | 97,616 | ||||||
Franklin Resources, Inc. | 7,843 | 384,542 | ||||||
Gaming and Leisure Properties, Inc. | 1,542 | 56,530 | ||||||
General Growth Properties, Inc. | 11,668 | 299,401 |
Table of Contents
Genworth Financial, Inc. (a) | 10,058 | 76,139 | ||||||
Hanover Insurance Group, Inc. | 895 | 66,257 | ||||||
HCC Insurance Holdings, Inc. | 1,936 | 148,762 | ||||||
HCP, Inc. | 9,336 | 340,484 | ||||||
Health Care Real Estate Investment Trust, Inc. | 3,893 | 255,498 | ||||||
Healthcare Trust of America, Inc. | 2,284 | 54,702 | ||||||
Home Properties, Inc. | 1,172 | 85,615 | ||||||
Hospitality Properties Trust | 3,033 | 87,411 | ||||||
Host Hotels & Resorts, Inc. | 15,321 | 303,815 | ||||||
Hudson City Bancorp, Inc. | 10,708 | 105,795 | ||||||
Huntington Bancshares, Inc. | 16,349 | 184,907 | ||||||
Interactive Brokers Group, Inc. | 1,063 | 44,178 | ||||||
Intercontinental Exchange, Inc. | 1,450 | 324,234 | ||||||
Invesco Ltd | 7,630 | 286,049 | ||||||
Iron Mountain, Inc. | 2,589 | 80,259 | ||||||
Jones Lang LaSalle, Inc. | 247 | 42,237 | ||||||
JPMorgan Chase & Co. | 296,441 | 20,086,842 | ||||||
KeyCorp | 17,154 | 257,653 | ||||||
Kilroy Realty Corp. | 1,781 | 119,594 | ||||||
Kimco Realty Corp. | 8,347 | 188,141 | ||||||
Legg Mason, Inc. | 1,337 | 68,896 | ||||||
Leucadia National Corp. | 5,754 | 139,707 | ||||||
Liberty Property Trust | 3,023 | 97,401 | ||||||
Lincoln National Corp. | 5,117 | 303,029 | ||||||
Loews Corp. | 6,296 | 242,459 | ||||||
M&T Bank Corp. | 2,689 | 335,937 | ||||||
Markel Corp. (a) | 253 | 202,572 | ||||||
Marsh & McLennan Companies, Inc. | 253,730 | 14,386,491 | ||||||
Metlife, Inc. | 18,943 | 1,060,619 | ||||||
MFA Financial, Inc. | 7,490 | 55,351 | ||||||
Mid-America Apartment Communities, Inc. | 1,524 | 110,962 | ||||||
Morgan Stanley | 30,998 | 1,202,412 | ||||||
Nasdaq OMX Group, Inc. | 2,341 | 114,264 | ||||||
National Retail Properties, Inc. | 2,710 | 94,877 | ||||||
Navient Corp. | 611,567 | 11,136,635 | ||||||
New York Community Bancorp, Inc. | 522,984 | 9,612,446 | ||||||
Northern Trust Corp. | 4,719 | 360,815 |
Table of Contents
NorthStar Realty Finance Corp. | 7,014 | 111,523 | ||||||
Old Republic International Corp. | 5,281 | 82,542 | ||||||
Omega Healthcare Investors, Inc. | 2,690 | 92,348 | ||||||
Outfront Media, Inc. | 2,779 | 70,142 | ||||||
PacWest Bancorp | 2,060 | 96,326 | ||||||
Paramount Group, Inc. | 3,612 | 61,982 | ||||||
Partnerre Ltd | 966 | 124,131 | ||||||
People’s United Financial, Inc. | 580,551 | 9,410,732 | ||||||
Piedmont Office Realty Trust, Inc. | 3,122 | 54,916 | ||||||
Plum Creek Timber Co., Inc. | 2,096 | 85,035 | ||||||
PNC Financial Services Group, Inc. | 265,753 | 25,419,274 | ||||||
Popular, Inc. (a) | 2,093 | 60,404 | ||||||
Post Properties, Inc. | 732 | 39,799 | ||||||
Principal Financial Group, Inc. | 5,953 | 305,329 | ||||||
ProAssurance Corp. | 1,113 | 51,432 | ||||||
Prologis, Inc. | 10,597 | 393,149 | ||||||
Prudential Financial, Inc. | 9,160 | 801,683 | ||||||
Public Storage | 45,681 | 8,422,206 | ||||||
Raymond James Financial, Inc. | 2,584 | 153,955 | ||||||
Rayonier, Inc. | 2,566 | 65,561 | ||||||
Realogy Holdings Corp. (a) | 1,885 | 88,067 | ||||||
Realty Income Corp. | 4,703 | 208,766 | ||||||
Regency Centers Corp. | 1,908 | 112,534 | ||||||
Regions Financial Corp. | 27,103 | 280,787 | ||||||
Reinsurance Group of America, Inc. | 1,339 | 127,031 | ||||||
RenaissanceRe Holdings Ltd | 932 | 94,607 | ||||||
Retail Properties of America, Inc. | 4,797 | 66,822 | ||||||
Santander Consumer USA Holding, Inc. (a) | 1,696 | 43,367 | ||||||
Senior Housing Properties Trust | 4,753 | 83,415 | ||||||
Signature Bank (a) | 79 | 11,565 | ||||||
Sl Green Realty Corp. | 2,014 | 221,318 | ||||||
SLM Corp. (a) | 1,114,089 | 10,996,058 | ||||||
Spirit Realty Capital, Inc. | 8,927 | 86,324 | ||||||
Springleaf Holdings, Inc. (a) | 1,054 | 48,389 | ||||||
StanCorp Financial Group, Inc. | 854 | 64,571 | ||||||
Starwood Property Trust, Inc. | 4,816 | 103,881 | ||||||
State Street Corp. | 156,325 | 12,037,025 |
Table of Contents
SunTrust Banks, Inc. | 10,439 | 449,086 | ||||||
SVB Financial Group (a) | 386 | 55,576 | ||||||
Synchrony Financial (a) | 2,598 | 85,552 | ||||||
Synovus Financial Corp. | 2,694 | 83,029 | ||||||
Taubman Centers, Inc. | 640 | 44,480 | ||||||
TCF Financial Corp. | 3,416 | 56,740 | ||||||
TD Ameritrade Holding Corp. | 800 | 29,456 | ||||||
TFS Financial Corp. | 1,335 | 22,455 | ||||||
The Chubb Corp. | 266,068 | 25,313,709 | ||||||
The Goldman Sachs Group, Inc. | 57,144 | 11,931,096 | ||||||
The Hartford Financial Services Group, Inc. | 8,492 | 353,012 | ||||||
The Howard Hughes Corp. (a) | 479 | 68,756 | ||||||
The Macerich Co. | 3,201 | 238,795 | ||||||
The Progressive Corp. | 355,129 | 9,883,240 | ||||||
Torchmark Corp. | 2,550 | 148,461 | ||||||
Travelers Companies, Inc. | 6,445 | 622,974 | ||||||
Two Harbors Investment Corp. | 7,413 | 72,203 | ||||||
U.S. Bancorp | 33,874 | 1,470,132 | ||||||
UDR, Inc. | 5,235 | 167,677 | ||||||
Unum Group | 5,046 | 180,394 | ||||||
Validus Holdings Ltd | 1,711 | 75,267 | ||||||
Ventas, Inc. | 6,411 | 398,059 | ||||||
Vornado Realty Trust | 3,808 | 361,493 | ||||||
Voya Financial, Inc. | 4,630 | 215,156 | ||||||
W.P. Carey, Inc. | 2,110 | 124,363 | ||||||
W.R. Berkley Corp. | 1,967 | 102,146 | ||||||
Waddell & Reed Financial, Inc. | 106 | 5,015 | ||||||
Weingarten Realty Investors | 2,506 | 81,921 | ||||||
Wells Fargo & Co. | 594,549 | 33,437,436 | ||||||
Weyerhaeuser Co. | 9,569 | 301,423 | ||||||
White Mountains Insurance Group Ltd | 122 | 79,903 | ||||||
WP Glimcher, Inc. | 3,747 | 50,697 | ||||||
XL Group Plc | 6,201 | 230,677 | ||||||
Zions Bancorp | 4,110 | 130,431 | ||||||
|
| |||||||
467,308,036 | ||||||||
|
| |||||||
Health Care - 12.24% | ||||||||
Abbott Laboratories | 30,104 | 1,477,504 |
Table of Contents
Aetna, Inc. | 5,325 | 678,724 | ||||||
Agilent Technologies, Inc. | 6,734 | 259,798 | ||||||
Alere, Inc. (a) | 617 | 32,547 | ||||||
Alkermes Plc (a) | 517 | 33,264 | ||||||
Allergan Plc (a) | 4,349 | 1,319,748 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 2,520 | 34,474 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 274 | 32,844 | ||||||
Amgen, Inc. | 72,326 | 11,103,488 | ||||||
Anthem, Inc. | 71,267 | 11,697,765 | ||||||
Baxter International, Inc. | 4,017 | 280,909 | ||||||
Bio-Rad Laboratories, Inc. (a) | 418 | 62,955 | ||||||
Bio-Techne Corp. | 441 | 43,425 | ||||||
Boston Scientific Corp. (a) | 24,921 | 441,102 | ||||||
Brookdale Senior Living, Inc. (a) | 2,920 | 101,324 | ||||||
Cardinal Health, Inc. | 310,406 | 25,965,462 | ||||||
Catamaran Corp. (a) | 1,826 | 111,532 | ||||||
Cigna Corporation | 130,634 | 21,162,708 | ||||||
Community Health Systems, Inc. (a) | 2,387 | 150,309 | ||||||
DaVita HealthCare Partners, Inc. (a) | 2,540 | 201,854 | ||||||
DENTSPLY International, Inc. | 2,104 | 108,461 | ||||||
Endo International Plc (a) | 2,310 | 183,991 | ||||||
Express Scripts Holding Co. (a) | 108,900 | 9,685,566 | ||||||
HCA Holdings, Inc. (a) | 5,978 | 542,324 | ||||||
Health Net, Inc. (a) | 1,303 | 83,548 | ||||||
Hill-Rom Holdings, Inc. | 93 | 5,053 | ||||||
Hospira, Inc. (a) | 769 | 68,218 | ||||||
Humana, Inc. | 225 | 43,038 | ||||||
Johnson & Johnson | 295,159 | 28,766,196 | ||||||
Laboratory Corp. of America Holdings (a) | 1,359 | 164,738 | ||||||
Lifepoint Hospitals, Inc. (a) | 809 | 70,343 | ||||||
Mallinckrodt Plc (a) | 1,434 | 168,810 | ||||||
MEDNAX, Inc. (a) | 800 | 59,288 | ||||||
Medtronic Plc | 403,925 | 29,930,842 | ||||||
Merck & Co., Inc | 512,291 | 29,164,727 | ||||||
Mylan (a) | 1,292 | 87,675 | ||||||
Omnicare, Inc. | 1,295 | 122,054 | ||||||
Patterson Companies, Inc. | 789 | 38,385 |
Table of Contents
PerkinElmer, Inc. | 1,926 | 101,385 | ||||||
Perrigo Co. Plc | 2,411 | 445,625 | ||||||
Pfizer, Inc. | 736,543 | 24,696,287 | ||||||
QIAGEN (a) | 4,692 | 116,315 | ||||||
Quest Diagnostics, Inc. | 2,905 | 210,671 | ||||||
Quintiles Transitional Holdings, Inc. (a) | 85 | 6,172 | ||||||
Roche Holdings Ltd - ADR | 351,550 | 12,328,858 | ||||||
Sanofi - ADR | 226,300 | 11,208,639 | ||||||
St. Jude Medical, Inc. | 2,479 | 181,141 | ||||||
Stryker Corp. | 3,368 | 321,880 | ||||||
Teleflex, Inc. | 840 | 113,778 | ||||||
Teva Pharmaceutical Industries Ltd - ADR | 151,900 | 8,977,290 | ||||||
The Cooper Companies, Inc. | 311 | 55,349 | ||||||
Thermo Fisher Scientific, Inc. | 5,337 | 692,529 | ||||||
UnitedHealth Group, Inc. | 234,573 | 28,617,906 | ||||||
Universal Health Services, Inc. | 1,523 | 216,418 | ||||||
VCA, Inc. (a) | 95 | 5,168 | ||||||
VWR Corp. (a) | 280 | 7,484 | ||||||
Zimmer Holdings, Inc. | 3,232 | 353,031 | ||||||
|
| |||||||
263,140,919 | ||||||||
|
| |||||||
Industrials - 14.32% | ||||||||
AECOM (a) | 2,640 | 87,331 | ||||||
AGCO Corp. | 1,534 | 87,101 | ||||||
Air Lease Corp. | 1,965 | 66,613 | ||||||
Allison Transmission Holdings, Inc. | 1,661 | 48,601 | ||||||
AMERCO | 77 | 25,172 | ||||||
Armstrong World Industries, Inc. (a) | 295 | 15,718 | ||||||
Babcock & Wilcox Co. | 1,733 | 56,842 | ||||||
Canadian National Railway Co. | 247,080 | 14,268,870 | ||||||
Carlisle Companies, Inc. | 1,030 | 103,124 | ||||||
Caterpillar, Inc. | 10,083 | 855,240 | ||||||
Chicago Bridge & Iron Co. | 1,981 | 99,129 | ||||||
Clean Harbors, Inc. (a) | 385 | 20,690 | ||||||
Colfax Corp. (a) | 2,031 | 93,731 | ||||||
Copa Holdings S.A. | 666 | 55,005 | ||||||
Crane Co. | 973 | 57,144 | ||||||
CSX Corp. | 14,824 | 484,004 |
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Cummins, Inc. | 939 | 123,187 | ||||||
Danaher Corp. | 10,103 | 864,716 | ||||||
Deere & Co. | 113,436 | 11,008,964 | ||||||
Donaldson Company, Inc. | 279 | 9,988 | ||||||
Dover Corp. | 3,244 | 227,664 | ||||||
Dun & Bradstreet Corp. | 506 | 61,732 | ||||||
Eaton Corp. Plc | 138,046 | 9,316,725 | ||||||
Emerson Electric Co. | 160,703 | 8,907,767 | ||||||
Fedex Corp. | 3,661 | 623,834 | ||||||
Flowserve Corp. | 1,452 | 76,462 | ||||||
Fluor Corp. | 2,964 | 157,122 | ||||||
Fortune Brands Home & Security, Inc. | 2,096 | 96,039 | ||||||
GATX Corp. | 888 | 47,197 | ||||||
General Dynamics Corp. | 123,511 | 17,500,274 | ||||||
General Electric Co. | 203,742 | 5,413,425 | ||||||
Genesee & Wyoming, Inc. (a) | 655 | 49,898 | ||||||
Honeywell International, Inc. | 239,932 | 24,465,866 | ||||||
Hubbell, Inc. | 1,016 | 110,012 | ||||||
IDEX Corp. | 136 | 10,687 | ||||||
IHS, Inc. (a) | 201 | 25,855 | ||||||
Ingersoll-Rand Plc | 4,979 | 335,684 | ||||||
ITT Corp. | 1,804 | 75,479 | ||||||
Jacobs Engineering Group, Inc. (a) | 490,519 | 19,924,882 | ||||||
JetBlue Airways Corp. (a) | 3,972 | 82,459 | ||||||
Joy Global, Inc. | 654,017 | 23,675,415 | ||||||
Kansas City Southern | 2,236 | 203,923 | ||||||
KAR Auction Services, Inc. | 1,904 | 71,210 | ||||||
KBR, Inc. | 356,417 | 6,943,003 | ||||||
Kennametal, Inc. | 1,604 | 54,728 | ||||||
Kirby Corp. (a) | 1,129 | 86,549 | ||||||
L-3 Communications Holdings, Inc. | 1,666 | 188,891 | ||||||
Lincoln Electric Holdings, Inc. | 121 | 7,368 | ||||||
Lockheed Martin Corp. | 86,160 | 16,017,144 | ||||||
Macquarie Infrastructure Corp. | 1,398 | 115,517 | ||||||
ManpowerGroup, Inc. | 1,582 | 141,399 | ||||||
MSC Industrial Direct Company, Inc. | 668 | 46,606 | ||||||
Nielsen | 2,315 | 103,643 |
Table of Contents
Norfolk Southern Corp. | 6,165 | 538,574 | ||||||
Northrop Grumman Corp. | 73,652 | 11,683,417 | ||||||
NOW, Inc. (a) | 2,168 | 43,165 | ||||||
Orbital ATK, Inc. | 1,224 | 89,793 | ||||||
Oshkosh Corp. | 1,582 | 67,045 | ||||||
Owens Corning | 300,086 | 12,378,547 | ||||||
PACCAR, Inc. | 689 | 43,965 | ||||||
Parker-Hannifin Corp. | 1,534 | 178,450 | ||||||
Pentair Plc | 3,633 | 249,769 | ||||||
Pitney Bowes, Inc. | 2,500 | 52,025 | ||||||
Precision Castparts Corp. | 52,376 | 10,468,391 | ||||||
Quanta Services, Inc. (a) | 3,317 | 95,596 | ||||||
Raytheon Co. | 72,271 | 6,914,889 | ||||||
Regal-Beloit Corp. | 859 | 62,355 | ||||||
Republic Services, Inc. | 4,903 | 192,051 | ||||||
Rolls-Royce Holdings Plc - ADR | 154,200 | 10,581,204 | ||||||
Roper Technologies, Inc. | 1,255 | 216,437 | ||||||
RR Donnelley & Sons Co. | 2,004 | 34,930 | ||||||
Ryder System, Inc. | 1,078 | 94,185 | ||||||
Spirit AeroSystems Holdings, Inc. (a) | 224,721 | 12,384,374 | ||||||
SPX Corp. | 72,530 | 5,250,447 | ||||||
Stanley Black & Decker, Inc. | 120,923 | 12,725,937 | ||||||
Terex Corp. | 2,126 | 49,429 | ||||||
Textron, Inc. | 4,340 | 193,694 | ||||||
The ADT Corp. | 3,464 | 116,286 | ||||||
The Manitowoc Company, Inc. | 2,753 | 53,959 | ||||||
The Timken Co. | 1,571 | 57,451 | ||||||
Towers Watson & Co. | 1,153 | 145,047 | ||||||
Trinity Industries, Inc. | 3,134 | 82,832 | ||||||
Triumph Group, Inc. | 997 | 65,792 | ||||||
Tyco International Plc | 1,073 | 41,289 | ||||||
Union Pacific Corp. | 221,233 | 21,098,991 | ||||||
United Parcel Service, Inc. | 209,815 | 20,333,172 | ||||||
United Technologies Corp. | 153,350 | 17,011,116 | ||||||
Valmont Industries, Inc. | 451 | 53,610 | ||||||
Waste Connections, Inc. | 2,505 | 118,036 | ||||||
Waste Management, Inc. | 8,480 | 393,048 |
Table of Contents
WESCO International, Inc. (a) | 895 | 61,433 | ||||||
Xylem, Inc. | 3,668 | 135,973 | ||||||
|
| |||||||
307,952,333 | ||||||||
|
| |||||||
Information Technology - 13.58% | ||||||||
3D Systems Corp. (a) | 1,431 | 27,933 | ||||||
Accenture Plc | 171,436 | 16,591,576 | ||||||
Activision Blizzard, Inc. | 10,204 | 247,039 | ||||||
Altera Corp. | 4,195 | 214,784 | ||||||
Amdocs Ltd | 3,127 | 170,703 | ||||||
Analog Devices, Inc. | 539 | 34,596 | ||||||
ANSYS, Inc. (a) | 1,473 | 134,397 | ||||||
Apple, Inc. | 114,514 | 14,362,918 | ||||||
Applied Materials, Inc. | 10,161 | 195,294 | ||||||
ARRIS Group, Inc. (a) | 2,292 | 70,135 | ||||||
Arrow Electronics, Inc. (a) | 1,935 | 107,973 | ||||||
Autodesk, Inc. (a) | 1,184 | 59,289 | ||||||
Automatic Data Processing, Inc. | 184,253 | 14,782,618 | ||||||
Avnet, Inc. | 438,922 | 18,044,083 | ||||||
Black Knight Financial Services, Inc. (a) | 52 | 1,605 | ||||||
Booz Allen Hamilton Holding Corp. | 143 | 3,609 | ||||||
Broadcom Corp. | 10,356 | 533,230 | ||||||
Brocade Communications Systems, Inc. | 8,450 | 100,386 | ||||||
CA, Inc. | 174,386 | 5,107,766 | ||||||
Cisco Systems, Inc. | 582,817 | 16,004,155 | ||||||
CommScope Holding Company, Inc. (a) | 1,186 | 36,185 | ||||||
Computer Sciences Corp. | 2,807 | 184,252 | ||||||
CoreLogic, Inc. (a) | 1,006 | 39,928 | ||||||
Corning, Inc. | 25,449 | 502,109 | ||||||
Cree, Inc. (a) | 2,207 | 57,448 | ||||||
Cypress Semiconductor Corp. | 6,712 | 78,933 | ||||||
Dolby Laboratories, Inc. | 1,008 | 39,997 | ||||||
DST Systems, Inc. | 169 | 21,291 | ||||||
EMC Corp Mass | 584,113 | 15,414,742 | ||||||
EchoStar Corp. (a) | 892 | 43,423 | ||||||
Fairchild Semiconductor International, Inc. (a) | 529,700 | 9,206,186 | ||||||
Fidelity National Information Services, Inc. | 3,262 | 201,592 | ||||||
First Solar, Inc. (a) | 1,544 | 72,537 |
Table of Contents
FLIR Systems, Inc. | 1,046 | 32,238 | ||||||
Freescale Semiconductor Ltd (a) | 212 | 8,474 | ||||||
Google, Inc. - Class C (a) | 30,153 | 15,694,938 | ||||||
Harris Corp. | 2,080 | 159,973 | ||||||
Hewlett Packard Co. | 36,753 | 1,102,958 | ||||||
HomeAway, Inc. (a) | 1,304 | 40,580 | ||||||
Ingram Micro, Inc. (a) | 2,983 | 74,665 | ||||||
Intel Corp. | 319,512 | 9,717,957 | ||||||
International Business Machines Corp. | 79,716 | 12,966,605 | ||||||
Jabil Circuit, Inc. | 3,190 | 67,915 | ||||||
JDS Uniphase Corp. (a) | 4,735 | 54,831 | ||||||
Juniper Networks, Inc. | 6,571 | 170,649 | ||||||
Keysight Technologies, Inc. (a) | 544 | 16,967 | ||||||
Lam Research Corp. | 916 | 74,517 | ||||||
Leidos Holdings, Inc. | 1,234 | 49,817 | ||||||
Lexmark International, Inc. | 1,240 | 54,808 | ||||||
Marvell Technology Group Ltd | 9,161 | 120,788 | ||||||
Maxim Integrated Prods, Inc. | 3,762 | 130,071 | ||||||
Microchip Technology, Inc. | 214,300 | 10,163,178 | ||||||
Micron Technology, Inc. (a) | 20,142 | 379,475 | ||||||
Microsoft Corp. | 754,913 | 33,329,409 | ||||||
National Instruments Corp. | 1,774 | 52,262 | ||||||
NCR Corp. (a) | 3,428 | 103,183 | ||||||
NetApp, Inc. | 4,413 | 139,274 | ||||||
Nuance Communications, Inc. (a) | 5,118 | 89,616 | ||||||
NVIDIA Corp. | 10,879 | 218,777 | ||||||
ON Semiconductor Corp. (a) | 669 | 7,821 | ||||||
Oracle Corp. | 1,064,051 | 42,881,255 | ||||||
Paychex, Inc. | 840 | 39,379 | ||||||
QUALCOMM, Inc. | 187,653 | 11,752,707 | ||||||
Samsung Electronic Co. Ltd | 22,952 | 26,041,023 | ||||||
SanDisk Corp. | 4,204 | 244,757 | ||||||
SS&C Technologies Holdings, Inc. | 151 | 9,438 | ||||||
SunEdison, Inc. (a) | 441 | 13,190 | ||||||
SunPower Corp. (a) | 1,023 | 29,063 | ||||||
Symantec Corp. | 13,765 | 320,036 | ||||||
Synopsys, Inc. (a) | 2,908 | 147,290 |
Table of Contents
Teradata Corp. (a) | 738 | 27,306 | ||||||
Teradyne, Inc. | 4,339 | 83,699 | ||||||
Texas Instruments, Inc. | 217,400 | 11,198,274 | ||||||
Trimble Navigation Ltd (a) | 4,969 | 116,573 | ||||||
Western Digital Corp. | 4,544 | 356,340 | ||||||
Xerox Corp. | 22,323 | 237,517 | ||||||
Xilinx, Inc. | 4,023 | 177,656 | ||||||
Yahoo!, Inc. (a) | 18,976 | 745,567 | ||||||
Zillow Group, Inc. (a) | 358 | 31,053 | ||||||
Zynga, Inc. (a) | 15,562 | 44,507 | ||||||
|
| |||||||
292,211,088 | ||||||||
|
| |||||||
Materials - 5.53% | ||||||||
Air Products & Chemicals, Inc. | 769 | 105,222 | ||||||
Airgas, Inc. | 1,065 | 112,656 | ||||||
Albemarle Corp. | 2,269 | 125,408 | ||||||
Alcoa, Inc. | 24,718 | 275,606 | ||||||
Allegheny Technologies, Inc. | 2,209 | 66,712 | ||||||
AptarGroup, Inc. | 1,032 | 65,811 | ||||||
Ashland, Inc. | 1,237 | 150,790 | ||||||
Avery Dennison Corp. | 129 | 7,861 | ||||||
Bemis, Inc. | 1,756 | 79,038 | ||||||
Cabot Corp. | 1,289 | 48,067 | ||||||
Celanese Corp. | 94,021 | 6,758,229 | ||||||
CRH Plc - ADR | 427,300 | 12,011,403 | ||||||
Crown Holdings, Inc. (a) | 1,577 | 83,439 | ||||||
Cytec Industries, Inc. | 1,303 | 78,871 | ||||||
Domtar Corp. | 1,289 | 53,365 | ||||||
Dow Chemical Co. | 20,259 | 1,036,653 | ||||||
DuPont | 9,848 | 629,780 | ||||||
Eastman Chemical Co. | 2,258 | 184,750 | ||||||
Ecolab, Inc. | 98,132 | 11,095,785 | ||||||
FMC Corp. | 167,846 | 8,820,307 | ||||||
Freeport-McMoRan, Inc. | 21,031 | 391,597 | ||||||
Goldcorp, Inc. | 1,252,485 | 20,290,257 | ||||||
Graphic Packaging Holding Co. | 2,814 | 39,199 | ||||||
Huntsman Corp. | 1,517 | 33,480 | ||||||
International Paper Co. | 426 | 20,273 |
Table of Contents
Kinross Gold Corp. (a) | 4,187,094 | 9,714,058 | ||||||
LyondellBasell Industries NV | 38,775 | 4,013,988 | ||||||
Martin Marietta Materials, Inc. | 1,174 | 166,133 | ||||||
MeadWestvaco Corp. | 3,394 | 160,163 | ||||||
Newmont Mining Corp. | 10,108 | 236,123 | ||||||
Nucor Corp. | 232,335 | 10,239,003 | ||||||
Owens-Illinois, Inc. (a) | 3,056 | 70,105 | ||||||
Platform Specialty Products Corp. (a) | 2,042 | 52,234 | ||||||
Praxair, Inc. | 133,171 | 15,920,593 | ||||||
Reliance Steel & Aluminum Co. | 1,503 | 90,901 | ||||||
Rock-Tenn Co. | 2,304 | 138,701 | ||||||
Royal Gold, Inc. | 1,242 | 76,495 | ||||||
Scotts Miracle-Gro Co. | 94 | 5,566 | ||||||
Sigma-Aldrich Corp. | 1,479 | 206,099 | ||||||
Sonoco Products Co. | 2,041 | 87,477 | ||||||
Southern Copper Corp. | 1,554 | 45,703 | ||||||
Steel Dynamics, Inc. | 4,347 | 90,048 | ||||||
Tahoe Resources, Inc. | 2,827 | 34,291 | ||||||
The Mosaic Co. | 314,575 | 14,737,839 | ||||||
United States Steel Corp. | 2,946 | 60,746 | ||||||
Vulcan Materials Co. | 2,332 | 195,725 | ||||||
Westlake Chemical Corp. | 814 | 55,831 | ||||||
|
| |||||||
118,962,381 | ||||||||
|
| |||||||
Telecommunication Services - 1.49% | ||||||||
AT&T, Inc. | 105,006 | 3,729,813 | ||||||
Centurylink, Inc. | 11,400 | 334,932 | ||||||
Frontier Communications Corp. | 20,288 | 100,426 | ||||||
Level 3 Communications, Inc. (a) | 5,153 | 271,408 | ||||||
SBA Communications Corp. (a) | 1,328 | 152,680 | ||||||
Softbank Group Corp. (a) - ADR | 355,000 | 10,454,750 | ||||||
Sprint Corp. (a) | 15,019 | 68,487 | ||||||
Telephone & Data Systems, Inc. | 1,901 | 55,889 | ||||||
T-Mobile US, Inc. (a) | 5,528 | 214,321 | ||||||
United States Cellular Corp. (a) | 282 | 10,623 | ||||||
Verizon Communications, Inc. | 231,938 | 10,810,630 | ||||||
Vodafone Group Plc - ADR | 158,900 | 5,791,905 | ||||||
Zayo Group Holdings, Inc. (a) | 370 | 9,517 | ||||||
|
| |||||||
32,005,381 | ||||||||
|
|
Table of Contents
Utilities - 0.56% | ||||||||
AES Corp. | 13,800 | 182,988 | ||||||
AGL Resources, Inc. | 2,426 | 112,955 | ||||||
Alliant Energy Corp. | 2,285 | 131,890 | ||||||
Ameren Corp. | 4,907 | 184,896 | ||||||
American Electric Power Company, Inc. | 9,907 | 524,774 | ||||||
American Water Works Company, Inc. | 3,639 | 176,965 | ||||||
Aqua America, Inc. | 3,581 | 87,699 | ||||||
Atmos Energy Corp. | 2,043 | 104,765 | ||||||
Calpine Corp. (a) | 6,656 | 119,741 | ||||||
CenterPoint Energy, Inc. | 8,700 | 165,561 | ||||||
CMS Energy Corp. | 5,611 | 178,654 | ||||||
Consolidated Edison, Inc. | 5,923 | 342,823 | ||||||
Dominion Resources, Inc. | 11,401 | 762,385 | ||||||
DTE Energy Co. | 3,627 | 270,719 | ||||||
Duke Energy Corp. | 13,984 | 987,550 | ||||||
Edison International | 6,589 | 366,217 | ||||||
Entergy Corp. | 3,631 | 255,985 | ||||||
Eversource Energy | 6,424 | 291,714 | ||||||
Exelon Corp. | 17,415 | 547,179 | ||||||
FirstEnergy Corp. | 8,534 | 277,782 | ||||||
Great Plains Energy, Inc. | 3,120 | 75,379 | ||||||
Hawaiian Electric Industries, Inc. | 2,173 | 64,603 | ||||||
ITC Holdings Corp. | 1,981 | 63,749 | ||||||
MDU Resources Group, Inc. | 3,939 | 76,929 | ||||||
National Fuel Gas Co. | 1,708 | 100,584 | ||||||
Nextera Energy, Inc. | 8,981 | 880,407 | ||||||
NiSource, Inc. | 6,418 | 292,597 | ||||||
NRG Energy, Inc. | 6,744 | 154,303 | ||||||
OGE Energy Corp. | 4,036 | 115,309 | ||||||
Pepco Holdings, Inc. | 5,118 | 137,879 | ||||||
PG&E Corp. | 9,706 | 476,565 | ||||||
Pinnacle West Capital Corp. | 2,240 | 127,434 | ||||||
PPL Corp. | 13,510 | 398,140 | ||||||
Public Service Enterprise Group, Inc. | 10,229 | 401,795 | ||||||
Questar Corp. | 3,554 | 74,314 |
Table of Contents
SCANA Corp. | 2,890 | 146,378 | ||||||
Sempra Energy | 5,007 | 495,393 | ||||||
TECO Energy, Inc. | 4,755 | 83,973 | ||||||
TerraForm Power, Inc. | 981 | 37,258 | ||||||
The Southern Co. | 18,366 | 769,535 | ||||||
UGI Corp. | 3,489 | 120,196 | ||||||
Vectren Corp. | 1,671 | 64,300 | ||||||
WEC Energy Group, Inc. | 6,384 | 287,087 | ||||||
Westar Energy, Inc. | 2,674 | 91,504 | ||||||
Xcel Energy, Inc. | 10,251 | 329,877 | ||||||
|
| |||||||
11,938,730 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,107,374,107) | $ | 2,046,978,041 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Funds - 4.50% | ||||||||
Goldman Sachs Financial Square Fund, 0.01% | 48,316,296 | $ | 48,316,296 | |||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 48,316,296 | 48,316,296 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $96,632,592) | $ | 96,632,592 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.70% | $ | 2,143,610,633 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.30% | 6,449,488 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,150,060,121 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(a) | Non-income producing security. |
The accompanying notes are an integral part of this Schedule of Investments.
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2015
Open Futures Contracts
Number of Contracts Purchased | Description | Settlement Month | Notional Amount | Value | Unrealized (Depreciation) | |||||||||||
9 | E-Mini S&P 500 Index Futures | Sep. 2015 | $ | 944,596 | $ | 924,480 | $ | (20,116 | ) | |||||||
|
| |||||||||||||||
$ | (20,116 | ) | ||||||||||||||
|
|
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
June 30, 2015
Shares | Value | |||||||
COMMON STOCKS - 94.85% | ||||||||
Consumer Discretionary - 16.09% | ||||||||
1-800-Flowers.Com, Inc. (a) | 4,145 | $ | 43,357 | |||||
2u, Inc. (a) | 3,899 | 125,509 | ||||||
Aaron’s, Inc. | 1,556 | 56,343 | ||||||
Advance Auto Parts, Inc. | 74,220 | 11,822,504 | ||||||
AMC Entertainment Holdings, Inc. | 440 | 13,499 | ||||||
AMC Networks, Inc. (a) | 9,780 | 800,493 | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 12,580 | 263,048 | ||||||
American Eagle Outfitters, Inc. | 28,163 | 484,967 | ||||||
America’s Car-Mart, Inc. (a) | 238 | 11,738 | ||||||
Ann, Inc. (a) | 7,480 | 361,209 | ||||||
Aramark | 28,829 | 892,834 | ||||||
Arctic Cat, Inc. | 823 | 27,332 | ||||||
Asbury Automotive Group, Inc. (a) | 4,450 | 403,259 | ||||||
AutoNation, Inc. (a) | 11,838 | 745,557 | ||||||
Bassett Furniture Industries, Inc. | 875 | 24,859 | ||||||
Bed Bath & Beyond, Inc. (a) | 104,500 | 7,208,410 | ||||||
Big Lots, Inc. | 8,777 | 394,877 | ||||||
BJ’s Restaurants, Inc. (a) | 3,487 | 168,945 | ||||||
Black Diamond, Inc. (a) | 359 | 3,317 | ||||||
Bloomin Brands, Inc. | 102,814 | 2,195,079 | ||||||
Blue Nile, Inc. (a) | 1,922 | 58,410 | ||||||
Bob Evans Farms, Inc. | 290 | 14,804 | ||||||
Bojangles, Inc. (a) | 1,417 | 33,810 | ||||||
Boot Barn Holdings, Inc. (a) | 1,951 | 62,432 | ||||||
Boyd Gaming Corp. (a) | 14,102 | 210,825 | ||||||
Bravo Brio Restaurant Group, Inc. (a) | 2,247 | 30,447 | ||||||
Bright Horizons Family Solutions, Inc. (a) | 6,081 | 351,482 | ||||||
Brinker International, Inc. | 10,010 | 577,076 | ||||||
Brunswick Corp. | 11,153 | 567,242 | ||||||
Buckle, Inc. | 4,578 | 209,535 | ||||||
Buffalo Wild Wings, Inc. (a) | 49,065 | 7,687,995 | ||||||
Build-A-Bear Workshop, Inc. (a) | 222 | 3,550 | ||||||
Burlington Stores, Inc. (a) | 11,087 | 567,654 | ||||||
Cabela’s, Inc. (a) | 163,814 | 8,187,424 | ||||||
Cablevision Systems Corp. | 4,896 | 117,210 | ||||||
Caleres, Inc. | 771 | 24,502 | ||||||
Capella Education Company | 1,977 | 106,106 | ||||||
CarMax, Inc. (a) | 124,280 | 8,228,579 | ||||||
Carmike Cinemas, Inc. (a) | 251 | 6,662 | ||||||
Carriage Services, Inc. | 564 | 13,468 | ||||||
Carrols Restaurant Group, Inc. (a) | 4,660 | 48,464 | ||||||
Carter’s, Inc. | 8,557 | 909,609 | ||||||
Cato Corp. | 700 | 27,132 | ||||||
Cavco Industries, Inc. (a) | 1,109 | 83,663 | ||||||
Central European Media Enterprises Ltd (a) | 8,177 | 17,826 | ||||||
Century Communities, Inc. (a) | 284 | 5,717 | ||||||
Cheesecake Factory, Inc. | 7,902 | 430,936 | ||||||
Chegg, Inc. (a) | 4,781 | 37,483 |
Table of Contents
Cherokee, Inc. | 1,240 | 34,943 | ||||||
Chicos FAS, Inc. | 23,177 | 385,434 | ||||||
Children’s Place, Inc. | 870 | 56,907 | ||||||
Choice Hotels International, Inc. | 6,082 | 329,948 | ||||||
Churchill Downs, Inc. | 2,325 | 290,741 | ||||||
Chuy’s Holdings, Inc. (a) | 2,687 | 71,985 | ||||||
Cinemark Holdings, Inc. | 18,844 | 756,963 | ||||||
Citi Trends, Inc. (a) | 136 | 3,291 | ||||||
Clear Channel Outdoor Holdings, Inc. | 2,497 | 25,295 | ||||||
ClubCorp Holdings, Inc. | 7,226 | 172,557 | ||||||
Collectors Universe, Inc. | 1,143 | 22,791 | ||||||
Columbia Sportswear Co. | 3,234 | 195,528 | ||||||
Container Store Group, Inc. (a) | 2,574 | 43,423 | ||||||
Cooper Tire & Rubber Co. | 1,112 | 37,619 | ||||||
Cooper-Standard Holdings, Inc. (a) | 152 | 9,343 | ||||||
Core Mark Holding Company, Inc. | 1,946 | 115,300 | ||||||
Cracker Barrel Old Country Store, Inc. | 2,925 | 436,293 | ||||||
Crocs, Inc. (a) | 9,656 | 142,040 | ||||||
Crown Media Holdings, Inc. (a) | 5,233 | 23,653 | ||||||
CST Brands, Inc. | 114,356 | 4,466,745 | ||||||
Culp, Inc. | 1,660 | 51,460 | ||||||
D.R. Horton, Inc. | 22,185 | 606,982 | ||||||
Dana Holding Corp. | 14,136 | 290,919 | ||||||
Dave & Busters Entertainment, Inc. (a) | 3,734 | 134,760 | ||||||
Deckers Outdoor Corp. (a) | 3,222 | 231,887 | ||||||
Del Frisco’s Restaurant Group, Inc. (a) | 113,443 | 2,113,443 | ||||||
Denny’s Corp. (a) | 9,717 | 112,814 | ||||||
Destination Xl Group, Inc. (a) | 682 | 3,417 | ||||||
Diamond Resorts International, Inc. (a) | 7,286 | 229,873 | ||||||
Dick’s Sporting Goods, Inc. | 10,302 | 533,335 | ||||||
Dillard’s, Inc. | 470 | 49,439 | ||||||
DineEquity, Inc. | 2,594 | 257,039 | ||||||
Domino’s Pizza, Inc. | 9,029 | 1,023,889 | ||||||
Dorman Products, Inc. (a) | 4,316 | 205,701 | ||||||
Drew Industries, Inc. | 3,889 | 225,640 | ||||||
DSW, Inc. | 736 | 24,560 | ||||||
Dunkin’ Brands Group, Inc. | 15,658 | 861,190 | ||||||
E.W. Scripps Co. | 6,159 | 140,733 | ||||||
El Pollo LoCo Holdings, Inc. (a) | 2,235 | 46,287 | ||||||
Eldorado Resorts, Inc. (a) | 4,204 | 32,875 | ||||||
Empire Resorts, Inc. (a) | 2,381 | 12,119 | ||||||
Entravision Communication Corp. | 10,023 | 82,489 | ||||||
Escalade, Inc. | 374 | 6,878 | ||||||
Etsy, Inc. (a) | 3,256 | 45,747 | ||||||
Express, Inc. (a) | 12,434 | 225,180 | ||||||
Extended Stay America, Inc. | 10,592 | 198,812 | ||||||
Fenix Parts, Inc. (a) | 1,423 | 14,258 | ||||||
Fiesta Restaurant Group, Inc. (a) | 4,395 | 219,750 | ||||||
Finish Line, Inc. | 2,125 | 59,117 | ||||||
Five Below, Inc. (a) | 8,826 | 348,892 | ||||||
Foot Locker, Inc. | 19,674 | 1,318,355 | ||||||
Fossil Group, Inc. (a) | 5,609 | 389,040 | ||||||
Fox Factory Holding Corp. (a) | 2,593 | 41,695 | ||||||
Francesca’s Holdings Corp. (a) | 6,918 | 93,185 | ||||||
Gentex Corp. | 23,759 | 390,123 |
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Gentherm, Inc. (a) | 64,967 | 3,567,338 | ||||||
G-III Apparel Group Ltd (a) | 6,482 | 456,009 | ||||||
Global Eagle Entertainment, Inc. (a) | 7,515 | 97,845 | ||||||
GNC Holdings, Inc. | 14,144 | 629,125 | ||||||
GoPro, Inc. (a) | 14,513 | 765,125 | ||||||
Grand Canyon Education, Inc. (a) | 7,653 | 324,487 | ||||||
Gray Television, Inc. (a) | 10,398 | 163,041 | ||||||
Group 1 Automotive, Inc. | 816 | 74,117 | ||||||
Groupon, Inc. (a) | 80,589 | 405,363 | ||||||
Harman International Industries, Inc. | 11,588 | 1,378,277 | ||||||
Helen Of Troy Corp. (a) | 1,898 | 185,036 | ||||||
Hemisphere Media Group, Inc. (a) | 273 | 3,249 | ||||||
Hibbett Sports, Inc. (a) | 4,029 | 187,671 | ||||||
Hooker Furniture Corp. | 136 | 3,415 | ||||||
Houghton Mifflin Harcourt Co. (a) | 1,548 | 39,010 | ||||||
HSN, Inc. | 5,263 | 369,410 | ||||||
Iconix Brand Group, Inc. (a) | 71,630 | 1,788,601 | ||||||
Imax Corp. (a) | 9,833 | 395,975 | ||||||
Installed Building Products, Inc. (a) | 3,258 | 79,756 | ||||||
International Game Technology Plc (a) | 10,517 | 186,782 | ||||||
Interpublic Group of Companies, Inc. | 67,252 | 1,295,946 | ||||||
Interval Leisure Group, Inc. | 6,383 | 145,852 | ||||||
iRobot Corp. (a) | 897 | 28,596 | ||||||
Isle Of Capri Casinos, Inc. (a) | 4,314 | 78,299 | ||||||
Jack In The Box, Inc. | 6,083 | 536,277 | ||||||
JAKKS Pacific, Inc. (a) | 382 | 3,778 | ||||||
Jamba, Inc. (a) | 2,309 | 35,766 | ||||||
Jarden Corp. (a) | 31,334 | 1,621,534 | ||||||
John Wiley & Sons, Inc. | 119,000 | 6,470,030 | ||||||
Journal Media Group, Inc. | 404 | 3,349 | ||||||
Kate Spade & Co. (a) | 20,855 | 449,217 | ||||||
Kirkland’s, Inc. | 2,802 | 78,092 | ||||||
Kona Grill, Inc. (a) | 654 | 12,694 | ||||||
Krispy Kreme Doughnuts, Inc. (a) | 10,556 | 203,309 | ||||||
La Quinta Holdings, Inc. (a) | 15,967 | 364,846 | ||||||
Lands End, Inc. (a) | 486 | 12,067 | ||||||
La-Z-Boy, Inc. | 3,188 | 83,972 | ||||||
Lear Corp. | 9,584 | 1,075,900 | ||||||
Leggett & Platt, Inc. | 22,332 | 1,087,122 | ||||||
Lennar Corp. - Class A | 11,430 | 583,387 | ||||||
Lennar Corp. - Class B | 278 | 11,987 | ||||||
LGI Homes, Inc. (a) | 668 | 13,213 | ||||||
Libbey, Inc. | 3,335 | 137,836 | ||||||
Liberty Tax, Inc. | 875 | 21,656 | ||||||
Liberty TripAdvisor Holdings, Inc. (a) | 3,544 | 114,188 | ||||||
Liberty Venture Group (a) | 23,102 | 907,216 | ||||||
Lifelock, Inc. (a) | 200,541 | 3,288,872 | ||||||
Lions Gate Entertainment Corp. | 15,500 | 574,275 | ||||||
Lithia Motors, Inc. | 3,703 | 419,031 | ||||||
Live Nation Entertainment, Inc. (a) | 23,662 | 650,468 | ||||||
LKQ Corp. (a) | 49,307 | 1,491,290 | ||||||
Loral Space and Communications, Inc. (a) | 2,100 | 132,552 | ||||||
Lululemon Athletica, Inc. (a) | 18,136 | 1,184,281 | ||||||
M.D.C. Holdings, Inc. | 2,239 | 67,103 | ||||||
M/I Homes, Inc. (a) | 771 | 19,021 |
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Malibu Boats, Inc. (a) | 2,898 | 58,221 | ||||||
Marine Products Corp. | 1,515 | 9,454 | ||||||
Marinemax, Inc. (a) | 2,195 | 51,604 | ||||||
Marriott Vacations Worldwide Corp. | 2,587 | 237,357 | ||||||
Martha Stewart Living Omnimedia, Inc. (a) | 3,871 | 24,155 | ||||||
Mattress Firm Holding Corp. (a) | 40,427 | 2,464,026 | ||||||
MDC Partners, Inc. | 121,540 | 2,394,338 | ||||||
Mens Wearhouse, Inc. | 7,871 | 504,295 | ||||||
Meritage Homes Corp. (a) | 474 | 22,321 | ||||||
Metaldyne Performance Group, Inc. | 1,078 | 19,566 | ||||||
Monarch Casino & Resort, Inc. (a) | 885 | 18,196 | ||||||
Monro Muffler Brake, Inc. | 42,240 | 2,625,638 | ||||||
Morgans Hotel Group Co. (a) | 3,965 | 26,724 | ||||||
Morningstar, Inc. | 3,062 | 243,582 | ||||||
Motorcar Parts of America, Inc. (a) | 2,713 | 81,634 | ||||||
Murphy USA, Inc. (a) | 477 | 26,626 | ||||||
National Cinemedia, Inc. | 2,508 | 40,028 | ||||||
Nautilus, Inc. (a) | 5,201 | 111,874 | ||||||
New Home Company, Inc. (a) | 357 | 6,151 | ||||||
New York Times Co. | 4,488 | 61,261 | ||||||
Nexstar Broadcasting Group, Inc. | 5,146 | 288,176 | ||||||
Noodles & Co. (a) | 1,422 | 20,761 | ||||||
NutriSystem, Inc. | 4,640 | 115,443 | ||||||
NVR, Inc. (a) | 657 | 880,380 | ||||||
Office Depot, Inc. (a) | 15,825 | 137,044 | ||||||
Orbitz Worldwide, Inc. (a) | 18,233 | 208,221 | ||||||
Outerwall, Inc. | 3,033 | 230,842 | ||||||
Overstock.Com, Inc. (a) | 1,876 | 42,285 | ||||||
Oxford Industries, Inc. | 2,379 | 208,044 | ||||||
Panera Bread Co. (a) | 51,610 | 9,019,880 | ||||||
Papa John’s International, Inc. | 4,740 | 358,391 | ||||||
Papa Murphy’s Holdings, Inc. (a) | 1,551 | 32,137 | ||||||
Party City Holdings, Inc. (a) | 4,150 | 84,120 | ||||||
Penn National Gaming, Inc. (a) | 1,857 | 34,076 | ||||||
Penske Automotive Group, Inc. | 2,611 | 136,059 | ||||||
Performance Sports Group Ltd (a) | 639 | 11,502 | ||||||
Petmed Express, Inc. | 3,180 | 54,919 | ||||||
Pier 1 Imports, Inc. | 14,698 | 185,636 | ||||||
Polaris Industries, Inc. | 77,249 | 11,441,349 | ||||||
Pool Corp. | 7,097 | 498,067 | ||||||
Popeyes Louisiana Kitchen, Inc. (a) | 40,626 | 2,437,154 | ||||||
Potbelly Corp. (a) | 3,485 | 42,691 | ||||||
Quiksilver, Inc. (a) | 15,336 | 10,165 | ||||||
Reading International, Inc. (a) | 671 | 9,293 | ||||||
Red Robin Gourmet Burgers, Inc. (a) | 2,297 | 197,129 | ||||||
Regal Entertainment Group | 13,599 | 284,355 | ||||||
Rentrak Corp. (a) | 1,901 | 132,690 | ||||||
Restoration Hardware Holdings, Inc. (a) | 5,439 | 531,010 | ||||||
Ross Stores, Inc. | 190,080 | 9,239,789 | ||||||
Ruth’s Hospitality Group, Inc. | 3,704 | 59,708 | ||||||
Ryland Group, Inc. | 2,716 | 125,941 | ||||||
Sally Beauty Holdings, Inc. (a) | 146,691 | 4,632,502 | ||||||
Scientific Games Corp. (a) | 8,255 | 128,283 | ||||||
Sears Holdings Corp. (a) | 196 | 5,233 | ||||||
SeaWorld Enertainment, Inc. | 11,278 | 207,966 |
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Select Comfort Corp. (a) | 8,525 | 256,347 | ||||||
Sequential Brands Group, Inc. (a) | 3,304 | 50,518 | ||||||
Service Corp. International | 32,832 | 966,246 | ||||||
Servicemaster Global Holdings, Inc. (a) | 16,762 | 606,282 | ||||||
SFX Entertainment, Inc. (a) | 3,172 | 14,242 | ||||||
Shake Shack, Inc. (a) | 812 | 48,939 | ||||||
Shutterfly, Inc. (a) | 3,877 | 185,359 | ||||||
Signet Jewelers Ltd | 62,810 | 8,054,754 | ||||||
Sinclair Broadcast Group, Inc. | 10,913 | 304,582 | ||||||
Six Flags Enertainment Corp. | 11,747 | 526,853 | ||||||
Skechers USA, Inc. (a) | 6,669 | 732,190 | ||||||
Skullcandy, Inc. (a) | 1,335 | 10,239 | ||||||
Smith & Wesson Holding Corp. (a) | 8,801 | 146,009 | ||||||
Sonic Corp. | 6,200 | 178,560 | ||||||
Sotheby’s | 10,102 | 457,014 | ||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 1,336 | 15,190 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 81,510 | 6,609,646 | ||||||
Starz Series A (a) | 14,063 | 628,897 | ||||||
Steiner Leisure Ltd (a) | 2,038 | 109,604 | ||||||
Steven Madden Ltd (a) | 65,607 | 2,806,667 | ||||||
Stoneridge, Inc. (a) | 4,435 | 51,934 | ||||||
Strattec Security Corp. | 104 | 7,145 | ||||||
Strayer Education, Inc. (a) | 750 | 32,325 | ||||||
Sturm, Ruger & Company, Inc. | 3,065 | 176,084 | ||||||
Superior Uniform Group, Inc. | 1,216 | 20,113 | ||||||
Tempur Sealy International, Inc. (a) | 9,938 | 654,914 | ||||||
Tenneco, Inc. (a) | 9,969 | 572,619 | ||||||
Texas Roadhouse, Inc. | 61,821 | 2,313,960 | ||||||
The Habit Restaurants, Inc. (a) | 1,867 | 58,418 | ||||||
The Madison Square Garden Co. (a) | 9,987 | 833,815 | ||||||
The Michaels Companies, Inc. (a) | 10,251 | 275,854 | ||||||
Thor Industries, Inc. | 7,349 | 413,602 | ||||||
Tile Shop Holdings, Inc. (a) | 4,567 | 64,806 | ||||||
Toll Brothers, Inc. (a) | 10,018 | 382,587 | ||||||
Tower International, Inc. (a) | 1,964 | 51,162 | ||||||
Tractor Supply Co. | 124,280 | 11,177,743 | ||||||
Travelport Worldwide Ltd | 12,231 | 168,543 | ||||||
Tri Pointe Homes, Inc. (a) | 1,641 | 25,107 | ||||||
Tribune Publishing Co. | 1,885 | 29,293 | ||||||
TripAdvisor, Inc. (a) | 88,990 | 7,754,589 | ||||||
Tuesday Morning Corp. (a) | 5,722 | 64,458 | ||||||
Tumi Holdings, Inc. (a) | 99,859 | 2,049,107 | ||||||
Tupperware Brands Corp. | 103,634 | 6,688,538 | ||||||
Ulta Salon Cosmetcs & Fragrance, Inc. (a) | 10,431 | 1,611,068 | ||||||
Under Armour, Inc. (a) | 53,620 | 4,474,053 | ||||||
Unifi, Inc. (a) | 144 | 4,824 | ||||||
Universal Electronics, Inc. (a) | 2,127 | 106,010 | ||||||
Urban Outfitters, Inc. (a) | 88,513 | 3,097,955 | ||||||
Vail Resorts, Inc. | 5,992 | 654,326 | ||||||
Vince Holding Corp. (a) | 2,445 | 29,291 | ||||||
Vista Outdoor, Inc. (a) | 1,405 | 63,084 | ||||||
Visteon Corp. (a) | 7,222 | 758,166 | ||||||
Vitamin Shoppe, Inc. (a) | 29,356 | 1,094,098 | ||||||
VOXX International Corp. (a) | 394 | 3,262 | ||||||
Wayfair, Inc. (a) | 3,250 | 122,330 |
Table of Contents
Weight Watchers International, Inc. (a) | 4,489 | 21,772 | ||||||
William Lyon Homes (a) | 573 | 14,709 | ||||||
Williams-Sonoma, Inc. | 14,880 | 1,224,178 | ||||||
Winmark Corp. | 363 | 35,756 | ||||||
Winnebago Industries, Inc. | 4,016 | 94,737 | ||||||
Wolverine World Wide, Inc. | 16,835 | 479,461 | ||||||
World Wrestling Entertainment, Inc. | 4,995 | 82,418 | ||||||
Zagg, Inc. (a) | 4,655 | 36,868 | ||||||
Zoe’s Kitchen, Inc. (a) | 3,155 | 129,166 | ||||||
Zulily, Inc. (a) | 10,622 | 138,511 | ||||||
Zumiez, Inc. (a) | 2,862 | 76,215 | ||||||
|
| |||||||
229,197,919 | ||||||||
|
| |||||||
Consumer Staples - 5.22% | ||||||||
Alico, Inc. | 72 | 3,266 | ||||||
Arcadia Biosciences, Inc. (a) | 550 | 3,504 | ||||||
B&G Foods, Inc. | 8,957 | 255,543 | ||||||
Boston Beer, Inc. (a) | 1,483 | 344,041 | ||||||
Boulder Brands, Inc. (a) | 8,163 | 56,651 | ||||||
Calavo Growers, Inc. | 30,075 | 1,561,795 | ||||||
Cal-Maine Foods, Inc. | 5,151 | 268,882 | ||||||
Casey’s General Stores, Inc. | 135,305 | 12,954,101 | ||||||
Castle Brands, Inc. (a) | 10,638 | 14,787 | ||||||
Central Garden & Pet Co. (a) | 997 | 11,376 | ||||||
Coca-Cola Bottling Co. Consolidated | 691 | 104,389 | ||||||
Coty, Inc. | 13,613 | 435,208 | ||||||
Craft Brew Alliance, Inc. (a) | 626 | 6,924 | ||||||
Dean Foods Co. | 7,036 | 113,772 | ||||||
Diamond Foods, Inc. (a) | 4,012 | 125,897 | ||||||
Diplomat Pharmacy, Inc. (a) | 5,883 | 263,264 | ||||||
Fairway Group Holdings Corp. (a) | 1,209 | 4,304 | ||||||
Farmer Brothers Co. (a) | 1,258 | 29,563 | ||||||
Flowers Foods, Inc. | 599,256 | 12,674,264 | ||||||
Freshpet, Inc. (a) | 3,299 | 61,361 | ||||||
Herbalife Ltd (a) | 10,181 | 560,871 | ||||||
HRG Group, Inc. (a) | 5,920 | 76,960 | ||||||
Ingles Markets, Inc. | 631 | 30,143 | ||||||
Ingredion, Inc. | 1,430 | 114,128 | ||||||
Inter Parfums, Inc. | 1,068 | 36,237 | ||||||
Inventure Foods, Inc. (a) | 3,181 | 32,287 | ||||||
J & J Snack Foods Corp. | 22,663 | 2,508,114 | ||||||
John B. Sanfilippo & Son, Inc. | 364 | 18,892 | ||||||
Lancaster Colony Corp. | 1,890 | 171,707 | ||||||
Landec Corp. (a) | 897 | 12,944 | ||||||
Lifeway Foods, Inc. (a) | 832 | 15,966 | ||||||
Limoneira Co. | 1,909 | 42,437 | ||||||
McCormick & Co, Inc. | 165,000 | 13,356,750 | ||||||
Medifast, Inc. (a) | 1,814 | 58,628 | ||||||
MGP Ingredients, Inc. | 1,805 | 30,360 | ||||||
Molson Coors Brewing Co. | 60,000 | 4,188,600 | ||||||
National Beverage Corp. (a) | 1,807 | 40,639 | ||||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 1,478 | 36,388 | ||||||
Natural Health Trends Corp. | 1,313 | 54,437 | ||||||
Nu Skin Enterprises, Inc. | 2,021 | 95,250 | ||||||
Orchids Paper Products Company | 447 | 10,759 | ||||||
Pilgrim’s Pride Corp. | 1,228 | 28,207 |
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PriceSmart, Inc. | 3,134 | 285,946 | ||||||
Revlon, Inc. (a) | 506 | 18,575 | ||||||
Rite Aid Corp. (a) | 95,811 | 800,022 | ||||||
Seaboard Corp. (a) | 4 | 14,396 | ||||||
Spectrum Brands Holdings, Inc. | 4,109 | 419,077 | ||||||
Sprouts Farmers Market, Inc. (a) | 24,889 | 671,505 | ||||||
Synutra International, Inc. (a) | 3,322 | 23,752 | ||||||
The Chefs’ Warehouse, Inc. (a) | 3,069 | 65,186 | ||||||
The Fresh Market, Inc. (a) | 6,948 | 223,309 | ||||||
The Hain Celestial Group, Inc. (a) | 16,691 | 1,099,269 | ||||||
The J. M. Smucker Co. | 101,000 | 10,949,410 | ||||||
Tootsie Roll Industries, Inc. | 1,028 | 33,215 | ||||||
Treehouse Foods, Inc. (a) | 79,887 | 6,473,244 | ||||||
United Natural Foods, Inc. (a) | 7,498 | 477,473 | ||||||
Usana Health Sciences, Inc. (a) | 930 | 127,094 | ||||||
Vector Group Ltd | 13,074 | 306,716 | ||||||
WD-40 Co. | 2,338 | 203,780 | ||||||
WhiteWave Foods Co. (a) | 28,515 | 1,393,813 | ||||||
|
| |||||||
74,399,378 | ||||||||
|
| |||||||
Energy - 3.52% | ||||||||
Cameron International Corp. (a) | 92,050 | 4,820,658 | ||||||
Carrizo Oil & Gas, Inc. (a) | 42,653 | 2,100,234 | ||||||
Core Laboratories | 114,220 | 13,025,649 | ||||||
CVR Energy, Inc. | 870 | 32,747 | ||||||
Delek US Holdings, Inc. | 5,222 | 192,274 | ||||||
Denbury Resources, Inc. | 904,000 | 5,749,440 | ||||||
Dresser-Rand Group, Inc. (a) | 12,493 | 1,064,154 | ||||||
Energy Fuels, Inc. (a) | 3,485 | 15,508 | ||||||
Evolution Petroleum Corp. | 3,654 | 24,080 | ||||||
FMSA Holdings, Inc. (a) | 9,466 | 77,526 | ||||||
Forum Energy Technologies, Inc. (a) | 61,560 | 1,248,437 | ||||||
Franks International | 250,000 | 4,710,000 | ||||||
Hallador Energy Company | 434 | 3,620 | ||||||
Helix Energy Solutions Group, Inc. (a) | 83,483 | 1,054,390 | ||||||
Ion Geophysical Corp. (a) | 3,933 | 4,208 | ||||||
Isramco, Inc. (a) | 138 | 19,047 | ||||||
Magnum Hunter Resources Corp. (a) | 33,118 | 61,931 | ||||||
Matador Resources Co. (a) | 7,070 | 176,750 | ||||||
Memorial Resource Development Corp. (a) | 13,297 | 252,244 | ||||||
Oasis Petroleum, Inc. (a) | 109,997 | 1,743,452 | ||||||
Oceaneering International, Inc. | 129,044 | 6,012,160 | ||||||
Oil States International, Inc. (a) | 100,316 | 3,734,765 | ||||||
Panhandle Oil And Gas, Inc. | 1,239 | 25,635 | ||||||
Par Pete Corp. (a) | 2,301 | 43,075 | ||||||
Parsley Energy, Inc. (a) | 4,816 | 83,895 | ||||||
PHI, Inc. (a) | 89 | 2,672 | ||||||
Rignet, Inc. (a) | 1,951 | 59,642 | ||||||
RPC, Inc. | 1,034 | 14,300 | ||||||
RSP Permian, Inc. (a) | 55,823 | 1,569,184 | ||||||
SemGroup Corp. | 7,137 | 567,249 | ||||||
Solazyme, Inc. (a) | 13,350 | 41,919 | ||||||
Synergy Resources Corp. (a) | 1,866 | 21,328 | ||||||
Targa Resources Corp. | 4,439 | 396,048 | ||||||
Teekay Corp. | 2,987 | 127,903 | ||||||
Ultra Petroleum Corp. (a) | 12,202 | 152,769 |
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Uranium Energy Corp. (a) | 15,096 | 24,003 | ||||||
US Silica Holdings, Inc. | 8,681 | 254,874 | ||||||
Western Refining, Inc. | 11,618 | 506,777 | ||||||
World Fuel Services Corp. | 2,141 | 102,661 | ||||||
|
| |||||||
50,117,208 | ||||||||
|
| |||||||
Financials - 12.51% | ||||||||
Affiliated Managers Group, Inc. (a) | 40,080 | $ | 8,761,489 | |||||
Alexander’s, Inc. | 320 | 131,200 | ||||||
Allied World Assurance Co Holdings, AG. | 223,500 | 9,659,670 | ||||||
Altisource Asset Management Corp. (a) | 124 | 17,892 | ||||||
Altisource Portfolio Solutions S.A. (a) | 2,320 | 71,433 | ||||||
American Assets Trust, Inc. | 71,890 | 2,818,806 | ||||||
Amtrust Financial Services, Inc. | 30,088 | 1,971,065 | ||||||
Arthur J. Gallagher & Co. | 205,604 | 9,725,069 | ||||||
Artisan Partners Asset Management, Inc. | 5,747 | 267,006 | ||||||
Ashford, Inc. (a) | 157 | 13,701 | ||||||
Atlas Financial Holdings, Inc. (a) | 845 | 16,756 | ||||||
Bank Of The Ozarks, Inc. | 12,697 | 580,888 | ||||||
BGC Partners, Inc. | 29,750 | 260,312 | ||||||
Bofi Holding, Inc. (a) | 2,523 | 266,706 | ||||||
Cardinal Financial Corp. | 179 | 3,900 | ||||||
Caretrust REIT, Inc. | 5,131 | 65,010 | ||||||
CBOE Holdings, Inc. | 13,525 | 773,900 | ||||||
CIFC Corp. | 425 | 3,370 | ||||||
Cohen & Steers, Inc. | 3,177 | 108,272 | ||||||
Columbia Property Trust, Inc. | 2,561 | 62,873 | ||||||
Commerce Bancshares, Inc. | 194,000 | 9,073,380 | ||||||
Consolidated-Tomoka Land Co. | 233 | 13,430 | ||||||
CoreSite Realty Corp. | 4,026 | 182,941 | ||||||
Corporate Office Properties Trust | 94,319 | 2,220,269 | ||||||
Cowen Group, Inc. (a) | 1,396 | 8,934 | ||||||
Crawford & Co. | 1,277 | 10,765 | ||||||
Credit Acceptance Corp (a) | 1,384 | 340,713 | ||||||
Cubesmart | 21,362 | 494,744 | ||||||
Cullen/Frost Bankers, Inc. | 130,500 | 10,254,690 | ||||||
CyrusOne, Inc. | 7,962 | 234,481 | ||||||
Diamond Hill Investment Group, Inc. | 483 | 96,436 | ||||||
Dupont Fabros Technology, Inc. | 3,849 | 113,353 | ||||||
Eagle Bancorp, Inc. (a) | 92,332 | 4,058,915 | ||||||
Easterly Government Properties, Inc. | 2,065 | 32,875 | ||||||
Eastgroup Properties, Inc. | 1,100 | 61,853 | ||||||
Eaton Vance Corp. | 19,179 | 750,474 | ||||||
eHealth, Inc. (a) | 2,930 | 37,182 | ||||||
Empire State Realty Trust, Inc. | 9,100 | 155,246 | ||||||
Employers Holdings, Inc. | 3,131 | 71,324 | ||||||
Encore Capital Group, Inc. (a) | 812 | 34,705 | ||||||
Endurance Specialty Holdings Ltd | 150,000 | 9,855,000 | ||||||
Enova International, Inc. (a) | 3,776 | 70,536 | ||||||
Equity Lifestyle Properties, Inc. | 13,795 | 725,341 | ||||||
Equity One, Inc. | 1,015 | 23,690 | ||||||
Erie Indemnity Co. | 3,826 | 314,000 | ||||||
Essent Group Ltd (a) | 9,105 | 249,022 | ||||||
Evercore Partners, Inc. | 54,821 | 2,958,141 | ||||||
Excel Trust, Inc. | 2,602 | 41,034 | ||||||
Extra Space Storage, Inc. | 19,059 | 1,243,028 |
Table of Contents
Federal Realty Investment Trust | 11,141 | 1,427,051 | ||||||
Federated Investors, Inc. | 15,161 | 507,742 | ||||||
Fifth Street Asset Management, Inc. | 960 | 9,869 | ||||||
Financial Engines, Inc. | 67,834 | 2,881,588 | ||||||
First Cash Financial Services, Inc. (a) | 4,188 | 190,931 | ||||||
First Financial Bankshares, Inc. | 5,851 | 202,679 | ||||||
First Midwest Bancorp, Inc. | 127,332 | 2,415,488 | ||||||
Gain Capital Holdings, Inc. | 881 | 8,422 | ||||||
Gamco Investors, Inc. | 1,036 | 71,184 | ||||||
Gaming and Leisure Properties, Inc. | 2,205 | 80,835 | ||||||
Greenhill & Co, Inc. | 4,766 | 196,979 | ||||||
HCI Group, Inc. | 283 | 12,511 | ||||||
Healthcare Trust of America, Inc. | 2,184 | 52,307 | ||||||
Heritage Financial Group, Inc. | 490 | 14,788 | ||||||
Heritage Insurance Holdings, Inc. (a) | 2,657 | 61,084 | ||||||
HFF, Inc. | 76,886 | 3,208,453 | ||||||
Hilltop Holdings, Inc. (a) | 4,451 | 107,225 | ||||||
Home Bancshares, Inc. | 7,476 | 273,323 | ||||||
Homestreet, Inc. (a) | 1,167 | 26,631 | ||||||
Impac Mortgage Holdings, Inc. (a) | 1,345 | 25,743 | ||||||
Inland Real Estate Corp. | 4,422 | 41,655 | ||||||
INTL FCStone, Inc. (a) | 660 | 21,938 | ||||||
Investment Technology Group, Inc. | 776 | 19,245 | ||||||
Iron Mountain, Inc. | 13,692 | 424,452 | ||||||
James River Group Holdings Ltd | 72,013 | 1,862,976 | ||||||
Janus Capital Group, Inc. | 2,130 | 36,466 | ||||||
Jones Lang LaSalle, Inc. | 68,864 | 11,775,744 | ||||||
KCG Holdings, Inc. (a) | 985 | 12,145 | ||||||
Kennedy-Wilson Holdings, Inc. | 1,373 | 33,762 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 2,134 | 7,469 | ||||||
Lamar Advertising Co. | 13,168 | 756,897 | ||||||
Lazard Ltd | 123,462 | 6,943,503 | ||||||
Legg Mason, Inc. | 5,213 | 268,626 | ||||||
Lendingtree, Inc. (a) | 944 | 74,208 | ||||||
LPL Financial Holdings, Inc. | 13,389 | 622,455 | ||||||
LTC Properties, Inc. | 446 | 18,554 | ||||||
Maiden Holdings Ltd | 1,120 | 17,674 | ||||||
Marcus & Millichap, Inc. (a) | 2,255 | 104,046 | ||||||
MarketAxess Holdings, Inc. | 6,053 | 561,537 | ||||||
Medley Management, Inc. | 1,166 | 13,805 | ||||||
Meridian Bancorp, Inc. (a) | 1,373 | 18,412 | ||||||
MGIC Investment Corp. (a) | 24,899 | 283,351 | ||||||
Moelis & Co. | 2,411 | 69,220 | ||||||
MSCI, Inc. | 18,282 | 1,125,257 | ||||||
National General Holdings Corp. | 496 | 10,332 | ||||||
National Health Investors, Inc. | 2,246 | 139,926 | ||||||
National Interstate Corp. | 103 | 2,814 | ||||||
National Storage Affiliates Trust Co. | 3,708 | 45,979 | ||||||
Northern Trust Corp. | 127,000 | 9,710,420 | ||||||
Northstar Asset Management Group, Inc. | 31,570 | 583,729 | ||||||
OM Asset Management Plc | 4,133 | 73,526 | ||||||
Omega Healthcare Investors, Inc. | 8,359 | 286,964 | ||||||
On Deck Capital, Inc. (a) | 1,863 | 21,574 | ||||||
Patriot National, Inc. (a) | 1,441 | 23,056 | ||||||
Pebblebrook Hotel Trust | 69,591 | 2,984,062 |
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Pinnacle Financial Partners, Inc. | 418 | 22,727 | ||||||
Plum Creek Timber Co., Inc. | 11,664 | 473,208 | ||||||
Post Properties, Inc. | 3,035 | 165,013 | ||||||
Potlatch Corp. | 4,882 | 172,432 | ||||||
PRA Group, Inc. (a) | 62,424 | 3,889,639 | ||||||
Prosperity Bancshares, Inc. | 147,500 | 8,516,650 | ||||||
PS Business Parks, Inc. | 352 | 25,397 | ||||||
Pzena Investment Management, Inc. | 1,941 | 21,448 | ||||||
QTS Realty Trust, Inc. | 3,855 | 140,515 | ||||||
Realogy Holdings Corp. (a) | 8,803 | 411,276 | ||||||
Regional Management Corp. (a) | 249 | 4,447 | ||||||
Resource America, Inc. | 407 | 3,423 | ||||||
RLJ Lodging Trust | 8,080 | 240,622 | ||||||
Ryman Hospitality Properties, Inc. | 7,192 | 381,967 | ||||||
Sabra Health Care REIT, Inc. | 1,676 | 43,140 | ||||||
Saul Centers, Inc. | 1,511 | 74,326 | ||||||
SEI Investments Co. | 22,565 | 1,106,362 | ||||||
Selective Insurance Group, Inc. | 68,826 | 1,930,569 | ||||||
Signature Bank (a) | 67,124 | 9,826,282 | ||||||
SLM Corp. (a) | 63,407 | 625,827 | ||||||
South Street Financial Corp. | 44,269 | 3,364,001 | ||||||
Sovran Self Storage, Inc. | 5,134 | 446,196 | ||||||
Square 1 Financial, Inc. (a) | 963 | 26,338 | ||||||
State National Companies, Inc. | 420 | 4,549 | ||||||
Stonegate Mortgage Corp. (a) | 603 | 6,072 | ||||||
Sun Communities, Inc. | 1,308 | 80,874 | ||||||
SVB Financial Group (a) | 5,205 | 749,416 | ||||||
Tanger Factory Outlet Centers, Inc. | 15,643 | 495,883 | ||||||
Taubman Centers, Inc. | 3,814 | 265,073 | ||||||
Terreno Realty Corp. | 63,911 | 1,259,047 | ||||||
Texas Capital Bancshares, Inc. (a) | 28,210 | 1,755,790 | ||||||
The Howard Hughes Corp. (a) | 2,587 | 371,338 | ||||||
Third Point Reinsurance Ltd (a) | 958 | 14,131 | ||||||
United Financial Bancorp, Inc. | 1,577 | 21,211 | ||||||
Universal Insurance Holdings, Inc. | 5,326 | 128,889 | ||||||
Urban Edge Properties | 9,830 | 204,366 | ||||||
Virtu Financial, Inc. (a) | 3,100 | 72,788 | ||||||
Virtus Investment Partners, Inc. | 68 | 8,993 | ||||||
Waddell & Reed Financial, Inc. | 12,837 | 607,318 | ||||||
Walker & Dunlop, Inc. (a) | 2,200 | 58,828 | ||||||
Western Alliance Bancorporation (a) | 75,171 | 2,537,773 | ||||||
Westwood Holdings Group, Inc. | 1,233 | 73,450 | ||||||
Willis Group Holdings Plc | 149,500 | 7,011,550 | ||||||
WisdomTree Investments, Inc. | 18,618 | 408,944 | ||||||
World Acceptance Corp. (a) | 813 | 50,008 | ||||||
ZAIS Group Holdings, Inc. (a) | 629 | 6,856 | ||||||
|
| |||||||
178,181,384 | ||||||||
|
| |||||||
Health Care - 18.30% | ||||||||
AAC Holdings, Inc. (a) | 1,300 | 56,672 | ||||||
Abaxis, Inc. | 3,656 | 188,211 | ||||||
AbbVie, Inc. | 1 | 39 | ||||||
Abeona Therapeutics, Inc. (a) | 1,576 | 7,975 | ||||||
ABIOMED, Inc. (a) | 6,825 | 448,607 | ||||||
Acadia Healthcare Company, Inc. (a) | 8,438 | 660,949 | ||||||
ACADIA Pharmaceuticals, Inc. (a) | 11,981 | 501,764 |
Table of Contents
Accelerate Diagnostics, Inc. (a) | 3,555 | 91,755 | ||||||
Acceleron Pharma, Inc. (a) | 3,523 | 111,468 | ||||||
Accuray, Inc. (a) | 12,779 | 86,130 | ||||||
Aceto Corp. | 4,147 | 102,141 | ||||||
Achillion Pharmaceuticals, Inc. (a) | 19,185 | 169,979 | ||||||
Acorda Therapeutics, Inc. (a) | 6,349 | 211,612 | ||||||
Addus Homecare Corp. (a) | 103 | 2,870 | ||||||
Adeptus Health, Inc. (a) | 1,019 | 96,795 | ||||||
Aduro Biotech, Inc. (a) | 1,368 | 41,491 | ||||||
Advaxis, Inc. (a) | 4,958 | 100,796 | ||||||
Aegerion Pharmaceuticals, Inc. (a) | 4,100 | 77,777 | ||||||
Aerie Pharmaceuticals, Inc. (a) | 3,355 | 59,216 | ||||||
Affimed N.V. (a) | 2,503 | 33,715 | ||||||
Affymetrix, Inc. (a) | 3,476 | 37,958 | ||||||
Agenus, Inc. (a) | 9,963 | 85,981 | ||||||
Agile Therapeutics, Inc. (a) | 1,640 | 14,088 | ||||||
Agios Pharmaceuticals, Inc. (a) | 4,217 | 468,677 | ||||||
Air Methods Corp. (a) | 6,390 | 264,163 | ||||||
Akorn, Inc. (a) | 47,947 | 2,093,366 | ||||||
Albany Molecular Research, Inc. (a) | 4,020 | 81,284 | ||||||
Alder Biopharmaceuticals, Inc. (a) | 3,367 | 178,350 | ||||||
Alere, Inc. (a) | 8,923 | 470,688 | ||||||
Alexion Pharmaceuticals, Inc. (a) | 41,320 | 7,469,416 | ||||||
Align Technology, Inc. (a) | 99,671 | 6,250,368 | ||||||
Alimera Sciences, Inc. (a) | 5,098 | 23,502 | ||||||
Alkermes Plc (a) | 152,236 | 9,794,864 | ||||||
Alliance HealthCare Services, Inc. (a) | 194 | 3,626 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 9,197 | 125,815 | ||||||
AMAG Pharmaceuticals, Inc. (a) | 861 | 59,461 | ||||||
Amedisys, Inc. (a) | 3,647 | 144,895 | ||||||
Amicus Therapeutics, Inc. (a) | 15,703 | 222,197 | ||||||
AMN Healthcare Services, Inc. (a) | 7,765 | 245,296 | ||||||
Amphastar Pharmaceuticals, Inc. (a) | 3,381 | 59,438 | ||||||
Amsurg Corp. (a) | 43,492 | 3,042,265 | ||||||
Anacor Pharmaceuticals, Inc. (a) | 6,683 | 517,465 | ||||||
Analogic Corp. | 203 | 16,017 | ||||||
ANI Pharmaceuticals, Inc. (a) | 1,293 | 80,231 | ||||||
Anika Therapeutics, Inc. (a) | 1,846 | 60,973 | ||||||
Antares Pharma, Inc. (a) | 25,445 | 52,926 | ||||||
Anthera Pharmaceuticals, Inc. (a) | 5,816 | 50,134 | ||||||
Applied Genetic Technologies Corp. (a) | 1,363 | 20,908 | ||||||
Aratana Therapeutics, Inc. (a) | 4,366 | 66,014 | ||||||
Ardelyx, Inc. (a) | 1,968 | 31,429 | ||||||
Arena Pharmaceuticals, Inc. (a) | 39,242 | 182,083 | ||||||
Ariad Pharmaceuticals, Inc. (a) | 27,343 | 226,127 | ||||||
Array Biopharma, Inc. (a) | 18,860 | 135,981 | ||||||
Arrowhead Research Corp. (a) | 5,331 | 38,117 | ||||||
Assembly Biosciences, Inc. (a) | 2,139 | 41,197 | ||||||
Asterias Biotherapeutics, Inc. - Class A (a) | 1,729 | 7,953 | ||||||
Atara Biotherapeutics, Inc. (a) | 2,354 | 124,197 | ||||||
athenahealth, Inc. (a) | 6,268 | 718,187 | ||||||
AtriCure, Inc. (a) | 3,509 | 86,462 | ||||||
Atrion Corp. | 236 | 92,585 | ||||||
aTyr Pharma, Inc. (a) | 1,017 | 18,835 | ||||||
Avalanche Biotechnologies, Inc. (a) | 3,201 | 51,984 |
Table of Contents
Bellicum Pharmaceuticals, Inc. (a) | 1,441 | 30,650 | ||||||
BioCryst Pharmaceuticals, Inc. (a) | 9,469 | 141,372 | ||||||
BioDelivery Sciences International, Inc. (a) | 7,518 | 59,843 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 65,700 | 8,986,446 | ||||||
Bio-Rad Laboratories, Inc. (a) | 21,920 | 3,301,371 | ||||||
Bio-Reference Laboratories, Inc. (a) | 4,001 | 165,041 | ||||||
BioSpecifics Technologies Corp. (a) | 797 | 41,125 | ||||||
Bio-Techne Corp. | 18,978 | 1,868,764 | ||||||
BioTelemetry, Inc. (a) | 4,472 | 42,171 | ||||||
BioTime, Inc. (a) | 8,418 | 30,557 | ||||||
Bluebird Bio, Inc. (a) | 5,347 | 900,274 | ||||||
Blueprint Medicines Corp. (a) | 1,531 | 40,556 | ||||||
Brookdale Senior Living, Inc. (a) | 6,547 | 227,181 | ||||||
Bruker Corp. (a) | 18,094 | 369,299 | ||||||
C.R. Bard, Inc. | 33,000 | 5,633,100 | ||||||
Cambrex Corp. (a) | 5,129 | 225,368 | ||||||
Cantel Medical Corp. | 44,079 | 2,365,720 | ||||||
Capital Senior Living Corp. (a) | 4,756 | 116,522 | ||||||
Cara Therapeutics, Inc. (a) | 2,623 | 31,869 | ||||||
Carbylan Therapeutics, Inc. (a) | 2,018 | 14,429 | ||||||
Cardiovascular Systems, Inc. (a) | 4,861 | 128,573 | ||||||
Castlight Health, Inc. (a) | 5,374 | 43,744 | ||||||
Catalent, Inc. (a) | 13,660 | 400,648 | ||||||
Catalyst Pharmaceuticals, Inc. (a) | 12,190 | 50,345 | ||||||
Celldex Therapeutics, Inc. (a) | 14,602 | 368,262 | ||||||
Cellular Biomedicine Group, Inc. (a) | 1,628 | 61,066 | ||||||
Cempra, Inc. (a) | 5,217 | 179,256 | ||||||
Centene Corp. (a) | 113,860 | 9,154,344 | ||||||
Cepheid (a) | 130,203 | 7,961,913 | ||||||
Cerus Corp. (a) | 13,277 | 68,908 | ||||||
Charles River Laboratories International, Inc. (a) | 7,702 | 541,759 | ||||||
Chemed Corp. | 2,780 | 364,458 | ||||||
ChemoCentryx, Inc. (a) | 4,437 | 36,517 | ||||||
Chimerix, Inc. (a) | 6,727 | 310,787 | ||||||
Cidara Therapeutics, Inc. (a) | 796 | 11,160 | ||||||
Civitas Solutions, Inc. (a) | 1,910 | 40,740 | ||||||
Clovis Oncology, Inc. (a) | 4,067 | 357,408 | ||||||
Coherus Biosciences, Inc. (a) | 3,821 | 110,427 | ||||||
Collegium Pharmaceutical, Inc. (a) | 1,103 | 19,678 | ||||||
Computer Programs & Systems, Inc. | 1,765 | 94,286 | ||||||
Concert Pharmaceuticals, Inc. (a) | 2,503 | 37,270 | ||||||
Connecture, Inc. (a) | 1,116 | 11,785 | ||||||
Corcept Therapeutics, Inc. (a) | 10,172 | 61,134 | ||||||
Corindus Vascular Robotics, Inc. (a) | 3,942 | 13,836 | ||||||
Corium International, Inc. (a) | 1,374 | 18,810 | ||||||
Cormedix, Inc. (a) | 5,174 | 20,075 | ||||||
Corvel Corp. (a) | 1,333 | 42,683 | ||||||
Cross Country Healthcare, Inc. (a) | 3,209 | 40,690 | ||||||
CTI BioPharma Corp. (a) | 26,098 | 50,891 | ||||||
Curis, Inc. (a) | 18,006 | 59,600 | ||||||
Cutera, Inc. (a) | 1,560 | 24,149 | ||||||
Cyberonics, Inc. (a) | 4,285 | 254,786 | ||||||
Cynosure, Inc. (a) | 3,399 | 131,133 | ||||||
Cytokinetics, Inc. (a) | 2,814 | 18,910 | ||||||
CytRx Corp. (a) | 9,035 | 33,610 |
Table of Contents
Dentsply International, Inc. | 5,861 | 302,135 | ||||||
Depomed, Inc. (a) | 9,811 | 210,544 | ||||||
Dermira, Inc. (a) | 679 | 11,916 | ||||||
DexCom, Inc. (a) | 12,933 | 1,034,381 | ||||||
Dicerna Pharmaceuticals, Inc. (a) | 2,434 | 33,954 | ||||||
Durect Corp. (a) | 18,178 | 43,445 | ||||||
Dyax Corp. (a) | 23,777 | 630,090 | ||||||
Dynavax Technologies Corp. (a) | 4,739 | 111,011 | ||||||
Eagle Pharmaceuticals, Inc. (a) | 1,410 | 114,013 | ||||||
Edwards Lifesciences Corp. (a) | 42,500 | 6,053,275 | ||||||
Emergent Biosolutions, Inc. (a) | 3,496 | 115,193 | ||||||
Enanta Pharmaceuticals, Inc. (a) | 2,613 | 117,559 | ||||||
Endologix, Inc. (a) | 10,995 | 168,663 | ||||||
Ensign Group, Inc. | 40,298 | 2,057,616 | ||||||
Entellus Medical, Inc. (a) | 788 | 20,386 | ||||||
Envision Healthcare Holdings, Inc. (a) | 30,179 | 1,191,467 | ||||||
Epizyme, Inc. (a) | 4,693 | 112,632 | ||||||
Esperion Therapeutics, Inc. (a) | 2,155 | 176,193 | ||||||
Exact Sciences Corp. (a) | 14,427 | 429,059 | ||||||
Examworks Group, Inc. (a) | 6,745 | 263,729 | ||||||
Exelixis, Inc. (a) | 31,909 | 119,978 | ||||||
Fibrocell Science, Inc. (a) | 3,908 | 20,595 | ||||||
FibroGen, Inc. (a) | 7,782 | 182,877 | ||||||
Five Prime Therapeutics, Inc. (a) | 3,517 | 87,362 | ||||||
Flex Pharma, Inc. (a) | 885 | 15,222 | ||||||
Flexion Therapeutics, Inc. (a) | 2,264 | 49,559 | ||||||
Fluidigm Corp. (a) | 4,731 | 114,490 | ||||||
Foamix Pharmaceuticals Ltd (a) | 3,625 | 37,156 | ||||||
Foundation Medicine, Inc. (a) | 1,963 | 66,428 | ||||||
Galena Biopharma, Inc. (a) | 26,952 | 45,818 | ||||||
Genesis Healthcare, Inc. (a) | 2,915 | 19,239 | ||||||
Genmark Diagnostics, Inc. (a) | 6,728 | 60,956 | ||||||
Genocea Biosciences, Inc. (a) | 2,937 | 40,325 | ||||||
Genomic Health, Inc. (a) | 2,812 | 78,145 | ||||||
Geron Corp. (a) | 24,262 | 103,841 | ||||||
Globus Medical, Inc. (a) | 95,909 | 2,461,984 | ||||||
Haemonetics Corp. (a) | 4,100 | 169,576 | ||||||
Halozyme Therapeutics, Inc. (a) | 17,276 | 390,092 | ||||||
Health Net, Inc. (a) | 2,089 | 133,947 | ||||||
Healthequity, Inc. (a) | 5,878 | 188,390 | ||||||
Healthsouth Corp. | 14,899 | 686,248 | ||||||
HealthStream, Inc. (a) | 4,065 | 123,657 | ||||||
HeartWare International, Inc. (a) | 2,800 | 203,532 | ||||||
Heron Therapeutics, Inc. (a) | 4,021 | 125,294 | ||||||
Heska Corp. (a) | 927 | 27,523 | ||||||
Hill-Rom Holdings, Inc. | 8,539 | 463,924 | ||||||
HMS Holdings Corp. (a) | 14,361 | 246,578 | ||||||
Hologic, Inc. (a) | 40,080 | 1,525,445 | ||||||
ICU Medical, Inc. (a) | 27,769 | 2,656,383 | ||||||
Idera Pharmaceuticals, Inc. (a) | 12,860 | 47,711 | ||||||
IDEXX Laboratories, Inc. (a) | 15,267 | 979,225 | ||||||
IGI Labs, Inc. (a) | 6,842 | 43,105 | ||||||
Ignyta, Inc. (a) | 1,743 | 26,302 | ||||||
Immune Design Corp. (a) | 1,825 | 37,686 | ||||||
Immunogen, Inc. (a) | 14,004 | 201,378 |
Table of Contents
Immunomedics, Inc. (a) | 14,232 | 57,782 | ||||||
Impax Laboratories, Inc. (a) | 11,656 | 535,244 | ||||||
Imprivata, Inc. (a) | 1,456 | 23,820 | ||||||
INC Research Holdings, Inc. (a) | 2,124 | 85,215 | ||||||
Infinity Pharmaceuticals, Inc. (a) | 7,902 | 86,527 | ||||||
Inogen, Inc. (a) | 2,600 | 115,960 | ||||||
Inovalon Holdings, Inc. (a) | 4,180 | 116,622 | ||||||
Inovio Pharmaceuticals, Inc. (a) | 10,396 | 84,831 | ||||||
Insmed, Inc. (a) | 9,960 | 243,223 | ||||||
Insulet Corp. (a) | 9,261 | 286,952 | ||||||
Insys Therapeutics, Inc. (a) | 3,866 | 138,867 | ||||||
Integra Lifesciences Holdings Corp. (a) | 43,950 | 2,960,911 | ||||||
Intercept Pharmaceuticals, Inc. (a) | 2,591 | 625,416 | ||||||
Intersect ENT, Inc. (a) | 2,250 | 64,417 | ||||||
Intra-Cellular Therapies, Inc. (a) | 3,537 | 113,007 | ||||||
Intrexon Corp. (a) | 7,561 | 368,977 | ||||||
InVitae Corp. (a) | 1,201 | 17,871 | ||||||
Invivo Therapeutics Holdings Corp. (a) | 4,387 | 70,850 | ||||||
IPC Healthcare, Inc. (a) | 39,662 | 2,196,878 | ||||||
Iradimed Corp. (a) | 468 | 10,890 | ||||||
Ironwood Pharmaceuticals, Inc. (a) | 20,399 | 246,012 | ||||||
Isis Pharmaceuticals, Inc. (a) | 19,487 | 1,121,477 | ||||||
Juno Therapeutics, Inc. (a) | 1,945 | 103,727 | ||||||
K2M Group Holdings, Inc. (a) | 2,886 | 69,322 | ||||||
Karyopharm Therapeutics, Inc. (a) | 3,732 | 101,548 | ||||||
Keryx Biopharmaceuticals, Inc. (a) | 16,835 | 168,013 | ||||||
Kite Pharma, Inc. (a) | 4,701 | 286,620 | ||||||
Kythera Biopharmaceuticals, Inc. (a) | 4,187 | 315,323 | ||||||
La Jolla Pharmaceutical Co. (a) | 1,867 | 45,760 | ||||||
Laboratory Corp. of America Holdings (a) | 60,000 | 7,273,200 | ||||||
Landauer, Inc. | 1,559 | 55,563 | ||||||
Lannet, Inc. (a) | 4,336 | 257,732 | ||||||
LDR Holding Corp. (a) | 3,830 | 165,647 | ||||||
Lemaitre Vascular, Inc. | 711 | 8,575 | ||||||
Lexicon Pharmaceuticals, Inc. (a) | 2,529 | 20,358 | ||||||
Lifepoint Hospitals, Inc. (a) | 702 | 61,039 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 2,873 | 289,886 | ||||||
Lion Biotechnologies, Inc. (a) | 7,283 | 66,785 | ||||||
Luminex Corp. (a) | 402 | 6,939 | ||||||
Macrogenics, Inc. (a) | 4,589 | 174,244 | ||||||
Mannkind Corp. (a) | 40,106 | 228,203 | ||||||
Masimo Corp. (a) | 77,685 | 3,009,517 | ||||||
MedAssets, Inc. (a) | 9,293 | 205,004 | ||||||
Medgenics, Inc. (a) | 2,578 | 15,803 | ||||||
Medicines Co. (a) | 1,088 | 31,128 | ||||||
Medidata Solutions, Inc. (a) | 9,004 | 489,097 | ||||||
MEDNAX, Inc. (a) | 129,946 | 9,630,298 | ||||||
Merge Healthcare, Inc. (a) | 11,776 | 56,525 | ||||||
Meridian Bioscience, Inc. | 5,650 | 105,316 | ||||||
Merrimack Pharmaceuticals, Inc. (a) | 16,929 | 209,327 | ||||||
Mettler-Toledo International, Inc. (a) | 47,528 | 16,228,911 | ||||||
MiMedx Group, Inc. (a) | 17,764 | 205,885 | ||||||
Mirati Therapeutics, Inc. (a) | 1,606 | 50,541 | ||||||
Molina Healthcare, Inc. (a) | 5,766 | 405,350 | ||||||
Momenta Pharmaceuticals, Inc. (a) | 9,928 | 226,458 |
Table of Contents
Myriad Genetics, Inc. (a) | 11,222 | 381,436 | ||||||
Nanostring Technologies, Inc. (a) | 2,045 | 31,534 | ||||||
National Research Corp. | 1,504 | 21,372 | ||||||
Natus Medical, Inc. (a) | 5,423 | 230,803 | ||||||
Navidea Biopharmaceuticals, Inc. (a) | 20,520 | 33,037 | ||||||
Nektar Therapeutics (a) | 21,317 | 266,676 | ||||||
Neogen Corp. (a) | 5,978 | 283,596 | ||||||
Neogenomics, Inc. (a) | 8,582 | 46,429 | ||||||
Neurocrine Biosciences, Inc. (a) | 13,913 | 664,485 | ||||||
Nevro Corp. (a) | 2,476 | 133,085 | ||||||
Newlink Genetics Corp. (a) | 3,410 | 150,961 | ||||||
Nobilis Health Corp. (a) | 5,194 | 35,319 | ||||||
Northwest Biotherapeutics, Inc. (a) | 7,618 | 75,647 | ||||||
Novavax, Inc. (a) | 43,623 | 485,960 | ||||||
Nuvasive, Inc. (a) | 42,838 | 2,029,664 | ||||||
NxStage Medical, Inc. (a) | 10,328 | 147,535 | ||||||
Ocata Therapeutics, Inc. (a) | 4,889 | 25,765 | ||||||
Ocular Therapeutix, Inc. (a) | 2,123 | 44,647 | ||||||
Omeros Corp. (a) | 5,716 | 102,831 | ||||||
Omnicare, Inc. | 5,354 | 504,614 | ||||||
Omnicell, Inc. (a) | 71,347 | 2,690,495 | ||||||
Oncomed Pharmaceuticals, Inc. (a) | 2,749 | 61,853 | ||||||
Oncothyreon, Inc. (a) | 16,518 | 61,777 | ||||||
Ophthotech Corp. (a) | 3,839 | 199,858 | ||||||
Opko Health, Inc. (a) | 38,203 | 614,304 | ||||||
OraSure Technologies, Inc. (a) | 1,058 | 5,703 | ||||||
Orexigen Therapeutics, Inc. (a) | 16,763 | 82,977 | ||||||
Organovo Holdings, Inc. (a) | 13,158 | 49,606 | ||||||
Osiris Therapeutics, Inc. (a) | 2,806 | 54,605 | ||||||
Otonomy, Inc. (a) | 2,394 | 55,038 | ||||||
Ovascience, Inc. (a) | 3,852 | 111,438 | ||||||
Oxford Immunotec Global Plc (a) | 3,047 | 42,201 | ||||||
Pacific Biosciences of California, Inc. (a) | 9,916 | 57,116 | ||||||
Pacira Pharmaceuticals, Inc. (a) | 5,928 | 419,228 | ||||||
Paratek Pharmaceuticals, Inc. | 1,930 | 49,736 | ||||||
Parexel International Corp. (a) | 164,470 | 10,577,066 | ||||||
Patterson Companies, Inc. | 7,743 | 376,697 | ||||||
Peregrine Pharmaceuticals, Inc. (a) | 28,384 | 37,183 | ||||||
PerkinElmer, Inc. | 2,908 | 153,077 | ||||||
Pernix Therapeutics Holdings, Inc. (a) | 7,241 | 42,867 | ||||||
Pfenex, Inc. (a) | 2,657 | 51,546 | ||||||
Phibro Animal Health Corp. | 2,921 | 113,744 | ||||||
Portola Pharmaceuticals, Inc. (a) | 7,531 | 343,037 | ||||||
Pozen, Inc. (a) | 4,727 | 48,735 | ||||||
PRA Health Sciences, Inc. (a) | 3,250 | 118,073 | ||||||
Premier, Inc. (a) | 6,157 | 236,798 | ||||||
Press Ganey Holdings, Inc. (a) | 1,714 | 49,140 | ||||||
Prestige Brands Holdings, Inc. (a) | 58,869 | 2,722,103 | ||||||
Progenics Pharmaceuticals, Inc. (a) | 11,289 | 84,216 | ||||||
Proteon Therapeutics, Inc. (a) | 1,216 | 21,718 | ||||||
Prothena Corporation Plc (a) | 5,101 | 268,670 | ||||||
PTC Therapeutics, Inc. (a) | 5,517 | 265,533 | ||||||
Puma Biotechnology, Inc. (a) | 4,072 | 475,406 | ||||||
Quality Systems, Inc. | 7,947 | 131,682 | ||||||
Quidel Corp. (a) | 1,978 | 45,395 |
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Quintiles Transitional Holdings, Inc. (a) | 12,234 | 888,311 | ||||||
Radius Health, Inc. (a) | 4,766 | 322,658 | ||||||
Radnet, Inc. (a) | 5,818 | 38,922 | ||||||
Raptor Pharmaceutical Corp. (a) | 13,022 | 205,617 | ||||||
Receptos, Inc. (a) | 5,140 | 976,857 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 16,740 | 8,539,576 | ||||||
Regulus Therapeutics, Inc. (a) | 4,646 | 50,920 | ||||||
Relypsa, Inc. (a) | 5,302 | 175,443 | ||||||
Repligen Corp. (a) | 5,352 | 220,877 | ||||||
ResMed, Inc. | 22,961 | 1,294,312 | ||||||
Retrophin, Inc. (a) | 5,726 | 189,817 | ||||||
Revance Therapeutics, Inc. (a) | 2,512 | 80,334 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 10,967 | 35,204 | ||||||
Rockwell Medical, Inc. (a) | 7,259 | 117,015 | ||||||
RTI Surgical, Inc. (a) | 7,742 | 50,013 | ||||||
SAGE Therapeutics, Inc. (a) | 2,245 | 163,885 | ||||||
Sagent Pharmaceuticals, Inc. (a) | 3,584 | 87,127 | ||||||
Sangamo Biosciences, Inc. (a) | 11,345 | 125,816 | ||||||
Sarepta Therapeutics, Inc. (a) | 6,748 | 205,342 | ||||||
SciClone Pharmaceuticals, Inc. (a) | 8,088 | 79,424 | ||||||
Seattle Genetics, Inc. (a) | 15,416 | 746,134 | ||||||
Second Sight Medical Products, Inc. (a) | 1,951 | 26,553 | ||||||
Select Medical Holdings Corp. | 16,064 | 260,237 | ||||||
Sequenom, Inc. (a) | 19,558 | 59,456 | ||||||
Sientra, Inc. (a) | 1,093 | 27,576 | ||||||
Sirona Dental Systems, Inc. (a) | 84,540 | 8,489,507 | ||||||
Sorrento Therapeutics, Inc. (a) | 4,652 | 81,968 | ||||||
Spark Therapeutics, Inc. (a) | 1,318 | 79,436 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 2,946 | 20,151 | ||||||
St. Jude Medical, Inc. | 198,500 | 14,504,395 | ||||||
STAAR Surgical Co. (a) | 6,322 | 61,071 | ||||||
Stemline Therapeutics, Inc. (a) | 411 | 4,837 | ||||||
Steris Corp. | 85,802 | 5,529,081 | ||||||
Sucampo Pharmaceuticals, Inc. (a) | 4,097 | 67,314 | ||||||
Supernus Pharmaceuticals, Inc. (a) | 5,610 | 95,258 | ||||||
Surgical Care Affiliates, Inc. (a) | 3,315 | 127,230 | ||||||
SurModics, Inc. (a) | 469 | 10,984 | ||||||
Synergy Pharmaceuticals, Inc. (a) | 16,127 | 133,854 | ||||||
Synta Pharmaceuticals Corp. (a) | 14,474 | 32,277 | ||||||
T2 Biosystems, Inc. (a) | 1,440 | 23,371 | ||||||
Tandem Diabetes Care, Inc. (a) | 2,818 | 30,547 | ||||||
Team Health Holdings, Inc. (a) | 11,705 | 764,688 | ||||||
Teleflex, Inc. | 46,500 | 6,298,425 | ||||||
Tenet Healthcare Corp. (a) | 16,206 | 938,003 | ||||||
TESARO, Inc. (a) | 3,792 | 222,932 | ||||||
Tetraphase Pharmaceuticals, Inc. (a) | 5,900 | 279,896 | ||||||
TG Therapeutics, Inc. (a) | 5,783 | 95,940 | ||||||
The Cooper Companies, Inc. | 52,893 | 9,413,367 | ||||||
The Providence Service Corp. (a) | 2,241 | 99,231 | ||||||
The Spectranetics Corp. (a) | 7,003 | 161,139 | ||||||
TherapeuticsMD, Inc. (a) | 20,742 | 163,032 | ||||||
Theravance, Inc. | 12,084 | 218,358 | ||||||
Thoratec Corp. (a) | 8,866 | 395,158 | ||||||
Threshold Pharmaceutical, Inc. (a) | 9,897 | 39,984 | ||||||
Tobira Therapeutics, Inc. (a) | 385 | 6,641 |
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Tokai Pharmaceuticals, Inc. (a) | 552 | 7,342 | ||||||
Tornier, Inc. (a) | 3,233 | 80,793 | ||||||
TransEnterix, Inc. (a) | 723 | 2,169 | ||||||
Trevena, Inc. (a) | 3,869 | 24,220 | ||||||
Trovagene, Inc. (a) | 4,016 | 40,762 | ||||||
Trupanion, Inc. (a) | 1,941 | 15,994 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 5,842 | 598,162 | ||||||
Unilife Corp. (a) | 15,707 | 33,770 | ||||||
United Therapeutics Corp. (a) | 7,523 | 1,308,626 | ||||||
US Physical Therapy, Inc. | 2,032 | 111,272 | ||||||
Utah Medical Products, Inc. | 634 | 37,805 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 5,452 | 69,186 | ||||||
Vascular Solutions, Inc. (a) | 2,829 | 98,223 | ||||||
VCA, Inc. (a) | 12,577 | 684,252 | ||||||
Veeva Systems, Inc. (a) | 11,620 | 325,709 | ||||||
Veracyte, Inc. (a) | 2,133 | 23,762 | ||||||
Verastem, Inc. (a) | 580 | 4,373 | ||||||
Versartis, Inc. (a) | 275 | 4,186 | ||||||
Vitae Pharmaceuticals, Inc. (a) | 2,137 | 30,773 | ||||||
Vital Therapies, Inc. (a) | 2,696 | 56,886 | ||||||
Vivus, Inc. (a) | 16,664 | 39,327 | ||||||
Vocera Communications, Inc. (a) | 2,796 | 32,014 | ||||||
VWR Corp. (a) | 2,694 | 72,011 | ||||||
Waters Corp. (a) | 43,000 | 5,520,340 | ||||||
Wellcare Health Plans, Inc. (a) | 7,159 | 607,298 | ||||||
West Pharmaceutical Services, Inc. | 40,422 | 2,347,710 | ||||||
Wright Medical Group, Inc. (a) | 4,155 | 109,110 | ||||||
Xbiotech, Inc. (a) | 670 | 12,114 | ||||||
Xencor, Inc. (a) | 4,640 | 101,941 | ||||||
Xenoport, Inc. (a) | 9,284 | 56,911 | ||||||
XOMA Corp. (a) | 12,259 | 47,565 | ||||||
Zafgen, Inc. (a) | 2,673 | 92,566 | ||||||
Zeltiq Aesthetics, Inc. (a) | 5,288 | 155,837 | ||||||
Ziopharm Oncology, Inc. (a) | 18,683 | 224,193 | ||||||
Zogenix, Inc. (a) | 24,925 | 41,874 | ||||||
ZS Pharma, Inc. (a) | 2,950 | 154,551 | ||||||
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260,580,534 | ||||||||
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Industrials - 14.10% | ||||||||
Aaon, Inc. | 81,442 | 1,834,074 | ||||||
Accuride Corp. (a) | 6,210 | 23,908 | ||||||
Actuant Corp. | 180,000 | 4,156,200 | ||||||
Acuity Brands, Inc. | 7,059 | 1,270,479 | ||||||
Advanced Drain Systems, Inc. | 5,456 | 160,024 | ||||||
AECOM (a) | 3,192 | 105,591 | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 4,913 | 101,257 | ||||||
Air Lease Corp. | 978 | 33,154 | ||||||
Alaska Air Group, Inc. | 121,938 | 7,856,465 | ||||||
Albany International Corp. | 575 | 22,885 | ||||||
Allegiant Travel Co. | 2,183 | 388,312 | ||||||
Allegion Plc | 15,575 | 936,681 | ||||||
Allied Motion Technologies, Inc. | 1,108 | 24,886 | ||||||
Allison Transmission Holdings, Inc. | 15,767 | 461,342 | ||||||
Altra Industrial Motion Corp. | 3,460 | 94,043 | ||||||
AMERCO | 570 | 186,339 | ||||||
American Railcar Industries, Inc. | 431 | 20,964 |
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American Woodmark Corp. (a) | 2,082 | 114,198 | ||||||
Apogee Enterprises, Inc. | 4,734 | 249,198 | ||||||
Applied Industrial Technologies, Inc. | 2,580 | 102,297 | ||||||
ARC Document Solutions, Inc. (a) | 6,880 | 52,357 | ||||||
ArcBest Corp. | 1,429 | 45,442 | ||||||
Argan, Inc. | 1,836 | 74,046 | ||||||
Armstrong World Industries, Inc. (a) | 3,951 | 210,509 | ||||||
Astronics Corp. (a) | 26,092 | 1,849,662 | ||||||
Avis Budget Group, Inc. (a) | 17,290 | 762,143 | ||||||
AZZ, Inc. | 4,242 | 219,736 | ||||||
B/E Aerospace, Inc. | 17,289 | 949,166 | ||||||
Babcock & Wilcox Co. | 3,440 | 112,832 | ||||||
Barrett Business Services, Inc. | 1,202 | 43,657 | ||||||
Beacon Roofing Supply, Inc. (a) | 45,689 | 1,517,789 | ||||||
Blount International, Inc. (a) | 8,142 | 88,911 | ||||||
Blue Bird Corp. (a) | 799 | 10,379 | ||||||
Brinks Co. | 7,915 | 232,938 | ||||||
Builders FirstSource, Inc. (a) | 7,548 | 96,916 | ||||||
C.H. Robinson Worldwide, Inc. | 80,270 | 5,008,045 | ||||||
Carlisle Companies, Inc. | 2,288 | 229,075 | ||||||
Casella Waste Systems, Inc. (a) | 1,225 | 6,872 | ||||||
CEB, Inc. | 5,472 | 476,392 | ||||||
Celadon Group, Inc. | 3,144 | 65,018 | ||||||
Cintas Corp. | 15,481 | 1,309,538 | ||||||
Clarcor, Inc. | 129,501 | 8,060,142 | ||||||
Clean Harbors, Inc. (a) | 6,442 | 346,193 | ||||||
Comfort Systems USA, Inc. | 5,624 | 129,071 | ||||||
Commercial Vehicle Group, Inc. (a) | 4,969 | 35,826 | ||||||
Continental Building Products, Inc. (a) | 5,192 | 110,018 | ||||||
Copart, Inc. (a) | 20,486 | 726,843 | ||||||
Covanta Holding Corp. | 18,469 | 391,358 | ||||||
Covenant Transportation Group, Inc. - Class A (a) | 1,940 | 48,616 | ||||||
Curtiss-Wright Corp. | 455 | 32,960 | ||||||
Deluxe Corp. | 4,488 | 278,256 | ||||||
Donaldson Company, Inc. | 154,898 | 5,545,348 | ||||||
Douglas Dynamics, Inc. | 1,028 | 22,081 | ||||||
Dover Corp. | 136,500 | 9,579,570 | ||||||
Dun & Bradstreet Corp. | 1,772 | 216,184 | ||||||
DXP Enterprises, Inc. (a) | 637 | 29,620 | ||||||
Dycom Industries, Inc. (a) | 5,556 | 326,971 | ||||||
Echo Global Logistics, Inc. (a) | 4,823 | 157,519 | ||||||
Encore Wire Corp. | 2,579 | 114,224 | ||||||
EnerSys, Inc. | 1,947 | 136,855 | ||||||
Enphase Energy, Inc. (a) | 4,534 | 34,504 | ||||||
EnPro Industries, Inc. | 2,251 | 128,802 | ||||||
Esterline Technologies Corp. (a) | 48,500 | 4,623,990 | ||||||
Exponent, Inc. | 3,995 | 178,896 | ||||||
Fastenal Co. | 90,000 | 3,796,200 | ||||||
Fortune Brands Home & Security, Inc. | 9,021 | 413,342 | ||||||
Forward Air Corp. | 4,993 | 260,934 | ||||||
Franklin Covey Co. (a) | 197 | 3,997 | ||||||
Franklin Electric Company, Inc. | 7,166 | 231,677 | ||||||
FreightCar America, Inc. | 995 | 20,776 | ||||||
FTI Consulting, Inc. (a) | 582 | 24,002 | ||||||
Fuelcell Energy, Inc. (a) | 11,519 | 11,253 |
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Furmanite Corp. (a) | 5,209 | 42,297 | ||||||
G & K Services, Inc. | 2,340 | 161,788 | ||||||
Generac Holdings, Inc. (a) | 11,301 | 449,215 | ||||||
General Cable Corp. | 7,272 | 143,477 | ||||||
Genesee & Wyoming, Inc. (a) | 3,378 | 257,336 | ||||||
Global Brass and Copper Holdings, Inc. | 3,306 | 56,235 | ||||||
Gorman Rupp Co. | 677 | 19,010 | ||||||
GP Strategies Corp. (a) | 2,114 | 70,269 | ||||||
Graco, Inc. | 9,523 | 676,419 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 982 | 5,853 | ||||||
Greenbrier Companies, Inc. | 4,368 | 204,641 | ||||||
Griffon Corp. | 1,571 | 25,010 | ||||||
H&E Equipment Services, Inc. | 5,109 | 102,027 | ||||||
Harsco Corp. | 12,945 | 213,592 | ||||||
Hawaiian Holdings, Inc. (a) | 7,840 | 186,200 | ||||||
HC2 Holdings, Inc. (a) | 2,064 | 18,473 | ||||||
HD Supply Holdings, Inc. (a) | 27,709 | 974,803 | ||||||
Healthcare Services Group, Inc. | 83,638 | 2,764,236 | ||||||
Heartland Express, Inc. | 8,137 | 164,612 | ||||||
Heico Corp. - Class A | 6,293 | 319,496 | ||||||
Heico Corp. | 47,258 | 2,755,141 | ||||||
Heidrick & Struggles International, Inc. | 133 | 3,469 | ||||||
Heritage Crystal Clean, Inc. (a) | 184 | 2,705 | ||||||
Herman Miller, Inc. | 9,663 | 279,551 | ||||||
Hexcel Corp. | 15,708 | 781,316 | ||||||
Hillenbrand, Inc. | 10,215 | 313,600 | ||||||
HNI Corp. | 7,197 | 368,127 | ||||||
Hub Group, Inc. (a) | 33,632 | 1,356,715 | ||||||
Hubbell, Inc. | 1,202 | 130,153 | ||||||
Huntington Ingalls Industries, Inc. | 7,934 | 893,289 | ||||||
Huron Consulting Group, Inc. (a) | 442 | 30,980 | ||||||
Hyster-Yale Materials Handling, Inc. | 449 | 31,107 | ||||||
IDEX Corp. | 129,568 | 10,181,453 | ||||||
InnerWorkings, Inc. (a) | 2,423 | 16,161 | ||||||
Insperity, Inc. | 3,168 | 161,251 | ||||||
Insteel Industries, Inc. | 2,751 | 51,444 | ||||||
Interface, Inc. | 10,741 | 269,062 | ||||||
Jetblue Airways Corp. (a) | 19,177 | 398,115 | ||||||
John Bean Technologies Corp. | 4,796 | 180,282 | ||||||
Kadant, Inc. | 291 | 13,735 | ||||||
Kaman Corp. | 328 | 13,756 | ||||||
KAR Auction Services, Inc. | 7,744 | 289,626 | ||||||
Kforce, Inc. | 4,023 | 92,006 | ||||||
Kimball International, Inc. | 1,881 | 22,873 | ||||||
Knight Transportation, Inc. | 10,262 | 274,406 | ||||||
Knoll, Inc. | 7,977 | 199,664 | ||||||
Korn/Ferry International | 4,466 | 155,283 | ||||||
Landstar System, Inc. | 46,583 | 3,115,005 | ||||||
Lawson Prods, Inc. (a) | 579 | 13,595 | ||||||
Lennox International, Inc. | 6,643 | 715,385 | ||||||
Lincoln Electric Holdings, Inc. | 11,259 | 685,561 | ||||||
Lindsay Corp. | 1,632 | 143,469 | ||||||
Lydall, Inc. (a) | �� | 957 | 28,289 | |||||
Marten Transport Ltd | 401 | 8,702 | ||||||
Masonite International Corp. (a) | 4,868 | 341,295 |
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Matson, Inc. | 6,494 | 273,008 | ||||||
Matthews International Corp. | 267 | 14,188 | ||||||
Meritor, Inc. (a) | 9,011 | 118,224 | ||||||
Miller Industries, Inc. | 172 | 3,431 | ||||||
Mistras Group, Inc. (a) | 1,473 | 27,958 | ||||||
Mobile Mini, Inc. | 694 | 29,176 | ||||||
Moog, Inc. (a) | 574 | 40,570 | ||||||
MSA Safety, Inc. | 3,095 | 150,138 | ||||||
MSC Industrial Direct Company, Inc. | 2,341 | 163,332 | ||||||
Mueller Industries, Inc. | 6,223 | 216,063 | ||||||
Mueller Water Products, Inc. | 26,106 | 237,565 | ||||||
Multi-Color Corp. | 2,089 | 133,445 | ||||||
Navistar International Corp. (a) | 530 | 11,994 | ||||||
NCI Building Systems, Inc. (a) | 4,401 | 66,323 | ||||||
Neff Corp. (a) | 689 | 6,952 | ||||||
NN, Inc. | 3,163 | 80,720 | ||||||
Nordson Corp. | 9,855 | 767,606 | ||||||
Nortek, Inc. (a) | 1,549 | 128,768 | ||||||
NV5 Holdings, Inc. (a) | 856 | 20,767 | ||||||
Old Dominion Freight Lines, Inc. (a) | 11,326 | 777,020 | ||||||
Omega Flex, Inc. | 501 | 18,868 | ||||||
On Assignment, Inc. (a) | 8,422 | 330,816 | ||||||
P.A.M. Transportation Services, Inc. (a) | 514 | 29,838 | ||||||
Parker-Hannifin Corp. | 59,000 | 6,863,470 | ||||||
Park-Ohio Holdings Corp. | 1,439 | 69,734 | ||||||
Patrick Industries, Inc. (a) | 2,056 | 78,231 | ||||||
Paylocity Holding Corp. (a) | 2,530 | 90,700 | ||||||
PGT, Inc. (a) | 7,979 | 115,775 | ||||||
Pitney Bowes, Inc. | 12,813 | 266,639 | ||||||
Plug Power, Inc. (a) | 16,641 | 40,770 | ||||||
Ply Gem Holdings, Inc. (a) | 3,573 | 42,126 | ||||||
Polypore International, Inc. (a) | 7,317 | 438,142 | ||||||
Power Solutions International, Inc. (a) | 747 | 40,353 | ||||||
PowerSecure International, Inc. (a) | 767 | 11,321 | ||||||
Primoris Services Corp. | 96,527 | 1,911,235 | ||||||
Proto Labs, Inc. (a) | 38,332 | 2,586,643 | ||||||
Quality Distribution, Inc. (a) | 1,258 | 19,449 | ||||||
Quanex Building Products Corp. | 346 | 7,415 | ||||||
Quanta Services, Inc. (a) | 170,657 | 4,918,335 | ||||||
Radiant Logistics, Inc. (a) | 4,079 | 29,817 | ||||||
Raven Industries, Inc. | 692 | 14,068 | ||||||
RBC Bearings, Inc. (a) | 24,324 | 1,745,490 | ||||||
Regal-Beloit Corp. | 387 | 28,092 | ||||||
Resources Connection, Inc. | 1,070 | 17,216 | ||||||
Rexnord Corp. (a) | 16,593 | 396,739 | ||||||
Ritchie Bros Auctioneers, Inc. | 86,034 | 2,402,069 | ||||||
Roadrunner Transportation Systems, Inc. (a) | 119,310 | 3,078,198 | ||||||
Robert Half International, Inc. | 21,954 | 1,218,447 | ||||||
Rockwell Automation, Inc. | 164,880 | 20,550,643 | ||||||
Rollins, Inc. | 15,274 | 435,767 | ||||||
RPX Corp. (a) | 1,122 | 18,962 | ||||||
RR Donnelley & Sons Co. | 17,894 | 311,892 | ||||||
Saia, Inc. (a) | 4,074 | 160,067 | ||||||
Simpson Manufacturing Company, Inc. | 491 | 16,694 | ||||||
Smith A.O. Corp. | 12,074 | 869,087 |
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Snap-on, Inc. | 9,417 | 1,499,657 | ||||||
SolarCity Corp. (a) | 9,612 | 514,723 | ||||||
SP Plus Corp. (a) | 2,540 | 66,319 | ||||||
Sparton Corp. (a) | 954 | 26,063 | ||||||
Spirit Aerosystems Holdings, Inc. (a) | 21,355 | 1,176,874 | ||||||
Spirit Airlines, Inc. (a) | 11,854 | 736,133 | ||||||
Standex International Corp. | 1,526 | 121,973 | ||||||
Steelcase, Inc. | 13,500 | 255,285 | ||||||
Stock Building Supply Holdings, Inc. (a) | 2,470 | 48,289 | ||||||
Sun Hydraulics Corp. | 3,622 | 138,034 | ||||||
Swift Transportation Co. (a) | 14,479 | 328,239 | ||||||
Taser International, Inc. (a) | 8,725 | 290,630 | ||||||
Team, Inc. (a) | 3,363 | 135,361 | ||||||
Teledyne Technologies, Inc. (a) | 1,486 | 156,788 | ||||||
Tennant Co. | 2,765 | 180,665 | ||||||
The Advisory Board Co. (a) | 39,849 | 2,178,545 | ||||||
The Middleby Corp. (a) | 9,302 | 1,043,963 | ||||||
The Toro Co. | 37,119 | 2,515,926 | ||||||
Thermon Group Holdings, Inc. (a) | 759 | 18,269 | ||||||
Titan International, Inc. | 446 | 4,790 | ||||||
Towers Watson & Co. | 51,991 | 6,540,468 | ||||||
Trex Company, Inc. (a) | 5,238 | 258,914 | ||||||
TriMas Corp. (a) | 537 | 15,895 | ||||||
Trinet Group, Inc. (a) | 6,233 | 158,007 | ||||||
Trueblue, Inc. (a) | 6,877 | 205,622 | ||||||
United Rentals, Inc. (a) | 81,510 | 7,141,906 | ||||||
Universal Truckload Services, Inc. | 886 | 19,457 | ||||||
US Ecology, Inc. | 3,509 | 170,958 | ||||||
USA Truck, Inc. (a) | 606 | 12,865 | ||||||
USG Corp. (a) | 14,888 | 413,738 | ||||||
Valmont Industries, Inc. | 201 | 23,893 | ||||||
Vectrus, Inc. (a) | 1,652 | 41,085 | ||||||
Vicor Corp. (a) | 2,294 | 27,964 | ||||||
Virgin America, Inc. (a) | 3,873 | 106,430 | ||||||
Volt Information Sciences, Inc. (a) | 894 | 8,681 | ||||||
W.W. Grainger, Inc. | 35,540 | 8,410,541 | ||||||
Wabash National Corp. (a) | 11,137 | 139,658 | ||||||
Wabco Holdings, Inc. (a) | 74,559 | 9,224,439 | ||||||
Wabtec Corp. | 15,656 | 1,475,421 | ||||||
Wageworks, Inc. (a) | 62,034 | 2,509,275 | ||||||
Watsco, Inc. | 4,232 | 523,668 | ||||||
Werner Enterprises, Inc. | 1,687 | 44,284 | ||||||
West Corp. | 1,313 | 39,521 | ||||||
Woodward, Inc. | 7,328 | 402,967 | ||||||
Xerium Technologies, Inc. (a) | 1,903 | 34,635 | ||||||
XPO Logistics, Inc. (a) | 9,629 | 435,038 | ||||||
YRC Worldwide, Inc. (a) | 1,135 | 14,732 | ||||||
|
| |||||||
200,968,252 | ||||||||
|
| |||||||
Information Technology - 20.61% | ||||||||
3D Systems Corp. (a) | 6,682 | 130,433 | ||||||
6d Global Technologies, Inc. (a) | 1,561 | 10,209 | ||||||
A10 Networks, Inc. (a) | 5,302 | 34,145 | ||||||
ACI Worldwide, Inc. (a) | 18,971 | 466,117 | ||||||
Advanced Micro Devices, Inc. (a) | 45,539 | 109,294 | ||||||
Advanced Energy Industries, Inc. (a) | 3,681 | 101,191 |
Table of Contents
Advent Software, Inc. | 8,608 | 380,560 | ||||||
Aerohive Networks, Inc. (a) | 3,634 | 25,365 | ||||||
Alliance Data Systems Corp. (a) | 35,540 | 10,375,548 | ||||||
Alliance Fiber Optic Products, Inc. | 2,379 | 44,130 | ||||||
Altera Corp. | 123,000 | 6,297,600 | ||||||
Ambarella, Inc. (a) | 5,121 | 525,876 | ||||||
Amber Road, Inc. (a) | 2,401 | 16,855 | ||||||
American Software, Inc. | 672 | 6,384 | ||||||
Angie’s List, Inc. (a) | 7,276 | 44,820 | ||||||
ANSYS, Inc. (a) | 99,709 | 9,097,449 | ||||||
Apigee Corp. (a) | 692 | 6,872 | ||||||
Applied Micro Circuits Corp. (a) | 3,444 | 23,247 | ||||||
Applied Optoelectronics, Inc. (a) | 2,031 | 35,258 | ||||||
Arista Networks, Inc. (a) | 5,482 | 448,099 | ||||||
ARRIS Group, Inc. (a) | 3,761 | 115,087 | ||||||
Aspen Technology, Inc. (a) | 205,641 | 9,366,948 | ||||||
Atmel Corp. | 67,836 | 668,524 | ||||||
AVG Technologies (a) | 6,727 | 183,042 | ||||||
Avid Technology, Inc. (a) | 3,314 | 44,209 | ||||||
Badger Meter, Inc. | 2,302 | 146,154 | ||||||
Barracuda Networks, Inc. (a) | 1,325 | 52,497 | ||||||
Bazaarvoice, Inc. (a) | 4,392 | 25,869 | ||||||
Belden, Inc. | 6,967 | 565,929 | ||||||
Benefitfocus, Inc. (a) | 1,286 | 56,391 | ||||||
Black Knight Financial Services, Inc. (a) | 2,950 | 91,067 | ||||||
Blackbaud, Inc. | 7,611 | 433,446 | ||||||
Blackhawk Network Holdings, Inc. (a) | 8,857 | 364,908 | ||||||
Booz Allen Hamilton Holding Corp. | 15,402 | 388,746 | ||||||
Bottomline Technologies, Inc. (a) | 92,130 | 2,562,135 | ||||||
Box, Inc. (a) | 2,047 | 38,156 | ||||||
Brightcove, Inc. (a) | 5,143 | 35,281 | ||||||
Broadridge Financial Solutions, Inc. | 19,519 | 976,145 | ||||||
Broadsoft, Inc. (a) | 4,758 | 164,484 | ||||||
Cabot Microelectronics Corp. (a) | 3,360 | 158,290 | ||||||
Cadence Design Systems, Inc. (a) | 47,551 | 934,853 | ||||||
CalAmp Corp. (a) | 5,903 | 107,789 | ||||||
Callidus Software, Inc. (a) | 8,959 | 139,581 | ||||||
Carbonite, Inc. (a) | 2,949 | 34,828 | ||||||
Cardtronics, Inc. (a) | 7,334 | 271,725 | ||||||
Care.Com, Inc. (a) | 299 | 1,770 | ||||||
Cascade Microtech, Inc. (a) | 1,712 | 26,065 | ||||||
Cass Information Systems, Inc. | 1,055 | 59,312 | ||||||
Cavium, Inc. (a) | 8,993 | 618,808 | ||||||
CDW Corp. | 21,472 | 736,060 | ||||||
Ceva, Inc. (a) | 1,534 | 29,806 | ||||||
ChannelAdvisor Corp. (a) | 3,629 | 43,367 | ||||||
Check Point Software Technologies Ltd (a) | 103,000 | 8,193,650 | ||||||
Ciena Corp. (a) | 19,203 | 454,727 | ||||||
Cimpress (a) | 5,375 | 452,360 | ||||||
Cirrus Logic, Inc. (a) | 10,355 | 352,381 | ||||||
Citrix Systems, Inc. (a) | 133,500 | 9,366,360 | ||||||
Clearfield, Inc. (a) | 1,685 | 26,808 | ||||||
Code Rebel Corp. (a) | 219 | 7,089 | ||||||
Cognex Corp. | 52,152 | 2,508,511 | ||||||
Coherent, Inc. (a) | 316 | 20,060 |
Table of Contents
CommScope Holding Company, Inc. (a) | 7,621 | 232,517 | ||||||
Commvault Systems, Inc. (a) | 73,466 | 3,115,693 | ||||||
comScore, Inc. (a) | 5,568 | 296,552 | ||||||
Comverse, Inc. (a) | 3,631 | 72,910 | ||||||
Constant Contact, Inc. (a) | 87,948 | 2,529,384 | ||||||
Control4 Corp. (a) | 215,027 | 1,911,590 | ||||||
CoreLogic, Inc. (a) | 6,624 | 262,907 | ||||||
Cornerstone Ondemand, Inc. (a) | 8,757 | 304,744 | ||||||
CoStar Group, Inc. (a) | 5,263 | 1,059,231 | ||||||
Coupons.Com, Inc. (a) | 9,851 | 106,292 | ||||||
Cray, Inc. (a) | 6,642 | 196,005 | ||||||
CSG Systems International, Inc. | 5,333 | 168,843 | ||||||
Cvent, Inc. (a) | 3,787 | 97,629 | ||||||
Cyan, Inc. (a) | 1,031 | 5,402 | ||||||
Daktronics, Inc. | 1,363 | 16,165 | ||||||
Datalink Corp. (a) | 381 | 3,406 | ||||||
DealerTrack Technologies, Inc. (a) | 2,789 | 175,121 | ||||||
Demandware, Inc. (a) | 5,427 | 385,751 | ||||||
DHI Group, Inc. (a) | 2,654 | 23,594 | ||||||
Diebold, Inc. | 10,527 | 368,445 | ||||||
Digimarc Corp. (a) | 1,150 | 51,911 | ||||||
Digital Turbine, Inc. (a) | 6,914 | 20,880 | ||||||
Diodes, Inc. (a) | 102,477 | 2,470,720 | ||||||
Dot Hill Systems Corp. (a) | 10,204 | 62,448 | ||||||
DST Systems, Inc. | 4,630 | 583,287 | ||||||
DTS, Inc. (a) | 2,537 | 77,353 | ||||||
EarthLink Holdings Corp. | 16,725 | 125,270 | ||||||
Eastman Kodak Co. (a) | 2,610 | 43,848 | ||||||
Ebix, Inc. | 4,404 | 143,614 | ||||||
Electronics For Imaging, Inc. (a) | 7,609 | 331,068 | ||||||
Ellie Mae, Inc. (a) | 4,820 | 336,388 | ||||||
Endurance International Group Holdings, Inc. (a) | 9,583 | 197,985 | ||||||
Entegris, Inc. (a) | 13,247 | 193,009 | ||||||
Envestnet, Inc. (a) | 5,738 | 231,987 | ||||||
EPAM Systems, Inc. (a) | 7,969 | 567,632 | ||||||
EPIQ System, Inc. | 1,914 | 32,308 | ||||||
Eplus, Inc. (a) | 76 | 5,825 | ||||||
Euronet Worldwide, Inc. (a) | 8,436 | 520,501 | ||||||
Evertec, Inc. | 10,716 | 227,608 | ||||||
Everyday Health, Inc. (a) | 3,167 | 40,474 | ||||||
Exar Corp. (a) | 940 | 9,193 | ||||||
ExlService Holdings, Inc. (a) | 5,005 | 173,073 | ||||||
Extreme Networks, Inc. (a) | 1,354 | 3,642 | ||||||
FactSet Research Systems, Inc. | 6,788 | 1,103,118 | ||||||
Fair Isaac Corp. | 5,080 | 461,162 | ||||||
FARO Technologies, Inc. (a) | 649 | 30,308 | ||||||
FEI Co. | 124,816 | 10,350,991 | ||||||
FireEye, Inc. (a) | 22,440 | 1,097,540 | ||||||
Five9, Inc. (a) | 3,610 | 18,880 | ||||||
Fleetmatics Group Plc (a) | 6,241 | 292,266 | ||||||
FLIR Systems, Inc. | 14,279 | 440,079 | ||||||
Formfactor, Inc. (a) | 4,219 | 38,815 | ||||||
Forrester Research, Inc. | 1,566 | 56,407 | ||||||
Fortinet, Inc. (a) | 412,254 | 17,038,458 | ||||||
Gartner, Inc. (a) | 13,503 | 1,158,287 |
Table of Contents
Genpact Ltd (a) | 25,833 | 551,018 | ||||||
Gigamon, Inc. (a) | 4,492 | 148,191 | ||||||
Global Payments, Inc. | 10,809 | 1,118,191 | ||||||
Globant S.A. (a) | 2,489 | 75,740 | ||||||
Glu Mobile, Inc. (a) | 10,383 | 64,478 | ||||||
Godaddy, Inc. (a) | 3,835 | 108,109 | ||||||
Gogo, Inc. (a) | 9,107 | 195,163 | ||||||
Grubhub, Inc. (a) | 122,115 | 4,160,458 | ||||||
GTT Communications, Inc. (a) | 4,022 | 96,005 | ||||||
Guidance Software, Inc. (a) | 2,953 | 25,012 | ||||||
Guidewire Software, Inc. (a) | 147,411 | 7,802,464 | ||||||
Hackett Group, Inc. | 3,920 | 52,646 | ||||||
Harmonic, Inc. (a) | 2,207 | 15,074 | ||||||
Heartland Payment Systems, Inc. | 5,978 | 323,111 | ||||||
HomeAway, Inc. (a) | 4,949 | 154,013 | ||||||
Hortonworks, Inc. (a) | 1,194 | 30,232 | ||||||
HubSpot, Inc. (a) | 3,055 | 151,467 | ||||||
IAC/InterActiveCorp | 11,930 | 950,344 | ||||||
iGATE Corp. (a) | 5,924 | 282,516 | ||||||
Immersion Corp. (a) | 4,615 | 58,472 | ||||||
Imperva, Inc. (a) | 4,337 | 293,615 | ||||||
Infinera Corp. (a) | 21,145 | 443,622 | ||||||
Infoblox, Inc. (a) | 9,293 | 243,570 | ||||||
Informatica Corp. (a) | 17,001 | 824,038 | ||||||
Ingram Micro, Inc. (a) | 1,457 | 36,469 | ||||||
Inphi Corp. (a) | 6,273 | 143,401 | ||||||
Integrated Device Technology, Inc. (a) | 24,157 | 524,207 | ||||||
Interactive Intelligence Group, Inc. (a) | 2,774 | 123,360 | ||||||
Interdigital, Inc. | 5,273 | 299,981 | ||||||
Internap Corp. (a) | 8,834 | 81,715 | ||||||
Intralinks Holdings, Inc. (a) | 3,459 | 41,197 | ||||||
Invensense, Inc. (a) | 12,623 | 190,607 | ||||||
IPG Photonics Corp. (a) | 94,152 | 8,019,397 | ||||||
Ixia (a) | 8,880 | 110,467 | ||||||
J2 Global, Inc. | 37,149 | 2,523,903 | ||||||
Jabil Circuit, Inc. | 5,933 | 126,314 | ||||||
Jack Henry & Associates, Inc. | 13,253 | 857,469 | ||||||
Jive Software, Inc. (a) | 7,243 | 38,026 | ||||||
Keysight Technologies, Inc. (a) | 23,101 | 720,520 | ||||||
King Digital Entertainment Plc | 13,150 | 187,388 | ||||||
KVH Industries, Inc. (a) | 2,066 | 27,788 | ||||||
Lattice Semiconductor Corp. (a) | 4,752 | 27,989 | ||||||
Leidos Holdings, Inc. | 919 | 37,100 | ||||||
LendingClub Corp. (a) | 10,874 | 160,392 | ||||||
Lionbridge Technologies, Inc. (a) | 10,673 | 65,852 | ||||||
Littelfuse, Inc. | 3,150 | 298,904 | ||||||
Liveperson, Inc. (a) | 9,169 | 89,948 | ||||||
Logmein, Inc. (a) | 4,006 | 258,347 | ||||||
Luxoft Holding, Inc. (a) | 3,015 | 170,498 | ||||||
M/A-Com Technology Solutions Holdings, Inc. (a) | 3,838 | 146,804 | ||||||
Manhattan Associates, Inc. (a) | 12,000 | 715,800 | ||||||
Marin Software, Inc. (a) | 503 | 3,390 | ||||||
Marketo, Inc. (a) | 5,616 | 157,585 | ||||||
Mattson Technology, Inc. (a) | 12,227 | 40,960 | ||||||
Maximus, Inc. | 10,748 | 706,466 |
Table of Contents
MaxLinear, Inc. (a) | 8,400 | 101,640 | ||||||
Maxpoint Interactive, Inc. (a) | 1,095 | 8,848 | ||||||
Mercadolibre, Inc. | 61,160 | 8,666,372 | ||||||
Mesa Laboratories, Inc. | 440 | 39,116 | ||||||
Methode Electronics, Inc. | 6,301 | 172,962 | ||||||
Micrel, Inc. | 7,171 | 99,677 | ||||||
Microsemi Corp. (a) | 15,500 | 541,725 | ||||||
Microstrategy, Inc. (a) | 1,502 | 255,460 | ||||||
Mobileiron, Inc. (a) | 6,126 | 36,205 | ||||||
Model N, Inc. (a) | 3,380 | 40,256 | ||||||
Monolithic Power Systems, Inc. | 6,379 | 323,479 | ||||||
Monotype Imaging Holdings, Inc. | 81,127 | 1,955,972 | ||||||
MTS Systems Corp. | 2,407 | 165,963 | ||||||
National Instruments Corp. | 3,941 | 116,102 | ||||||
NetScout Systems, Inc. (a) | 6,046 | 221,707 | ||||||
NetSuite, Inc. (a) | 6,494 | 595,825 | ||||||
NeuStar, Inc. (a) | 63,982 | 1,868,914 | ||||||
New Relic, Inc. (a) | 925 | 32,551 | ||||||
Newport Corp. (a) | 2,161 | 40,973 | ||||||
NIC, Inc. | 10,430 | 190,660 | ||||||
Nice-Systems Ltd - ADR | 45,501 | 2,893,409 | ||||||
Nimble Storage, Inc. (a) | 8,228 | 230,878 | ||||||
Novatel Wireless, Inc. (a) | 5,434 | 17,661 | ||||||
NVE Corp. | 305 | 23,912 | ||||||
ON Semiconductor Corp. (a) | 64,484 | 753,818 | ||||||
Opower, Inc. (a) | 4,216 | 48,526 | ||||||
OSI Systems, Inc. (a) | 828 | 58,614 | ||||||
Pandora Media, Inc. (a) | 34,423 | 534,933 | ||||||
Park City Group, Inc. (a) | 1,630 | 20,196 | ||||||
Paycom Software, Inc. (a) | 5,204 | 177,717 | ||||||
Pdf Solutions, Inc. (a) | 4,090 | 65,440 | ||||||
Pegasystems, Inc. | 5,678 | 129,969 | ||||||
Perficient, Inc. (a) | 3,870 | 74,459 | ||||||
Pfsweb, Inc. (a) | 1,726 | 23,922 | ||||||
Plantronics, Inc. | 52,866 | 2,976,884 | ||||||
Plexus Corp. (a) | 2,037 | 89,384 | ||||||
PMC-Sierra, Inc. (a) | 9,652 | 82,621 | ||||||
Power Integrations, Inc. | 61,708 | 2,787,967 | ||||||
Proofpoint, Inc. (a) | 6,443 | 410,226 | ||||||
PROS Holdings, Inc. (a) | 3,846 | 81,189 | ||||||
PTC, Inc. (a) | 269,689 | 11,062,643 | ||||||
Q2 Holdings, Inc. (a) | 3,192 | 90,174 | ||||||
QAD, Inc. | 421 | 11,127 | ||||||
Qlik Technologies, Inc. (a) | 54,329 | 1,899,342 | ||||||
Qualys, Inc. (a) | 54,454 | 2,197,219 | ||||||
Rackspace Hosting, Inc. (a) | 20,025 | 744,730 | ||||||
Rally Software Development Corp. (a) | 4,227 | 82,215 | ||||||
Rambus, Inc. (a) | 18,757 | 271,789 | ||||||
RealD, Inc. (a) | 6,700 | 82,611 | ||||||
Realpage, Inc. (a) | 8,511 | 162,305 | ||||||
Red Hat, Inc. (a) | 163,000 | 12,376,590 | ||||||
Reis, Inc. | 787 | 17,456 | ||||||
Retailmenot, Inc. (a) | 403 | 7,186 | ||||||
Rofin Sinar Technologies, Inc. (a) | 518 | 14,297 | ||||||
Rogers Corp. (a) | 955 | 63,164 |
Table of Contents
Rubicon Project, Inc. (a) | 4,259 | 63,715 | ||||||
Ruckus Wireless, Inc. (a) | 12,292 | 127,099 | ||||||
Rudolph Technologies, Inc. (a) | 890 | 10,689 | ||||||
Sabre Corp. | 18,556 | 441,633 | ||||||
Sapiens International Corp. | 2,950 | 30,621 | ||||||
Science Applications International Corp. | 7,516 | 397,221 | ||||||
SciQuest, Inc. (a) | 131,039 | 1,940,688 | ||||||
Semtech Corp. (a) | 71,466 | 1,418,600 | ||||||
Servicesource International, Inc. (a) | 5,470 | 29,921 | ||||||
ShoreTel, Inc. (a) | 2,238 | 15,174 | ||||||
Shutterstock, Inc. (a) | 3,199 | 187,589 | ||||||
Silicon Graphics International Corp. (a) | 5,425 | 35,100 | ||||||
Silicon Laboratories, Inc. (a) | 4,882 | 263,677 | ||||||
Silver Spring Networks, Inc. (a) | 5,542 | 68,776 | ||||||
SolarWinds, Inc. (a) | 405,831 | 18,720,984 | ||||||
Solera Holdings, Inc. | 10,915 | 486,372 | ||||||
Splunk, Inc. (a) | 164,199 | 11,431,534 | ||||||
SPS Commerce, Inc. (a) | 30,351 | 1,997,096 | ||||||
SS&C Technologies Holdings, Inc. | 10,405 | 650,313 | ||||||
Stamps.com, Inc. (a) | 2,334 | 171,712 | ||||||
SunEdison, Inc. (a) | 40,770 | 1,219,431 | ||||||
SunPower Corp. (a) | 669 | 19,006 | ||||||
Super Micro Computer, Inc. (a) | 6,023 | 178,160 | ||||||
Synaptics, Inc. (a) | 6,006 | 520,930 | ||||||
Synchronoss Technologies, Inc. (a) | 6,314 | 288,739 | ||||||
Synopsys, Inc. (a) | 1,756 | 88,941 | ||||||
Syntel, Inc. (a) | 5,082 | 241,293 | ||||||
Tableau Software, Inc. (a) | 8,080 | 931,624 | ||||||
Take-Two Interactive Software, Inc. (a) | 7,116 | 196,188 | ||||||
Tangoe, Inc. (a) | 211,111 | 2,655,776 | ||||||
TechTarget, Inc. (a) | 856 | 7,644 | ||||||
Teletech Holdings, Inc. | 1,467 | 39,726 | ||||||
Teradata Corp. (a) | 17,171 | 635,327 | ||||||
Tessera Technologies, Inc. | 5,274 | 200,307 | ||||||
Textura Corp. (a) | 3,204 | 89,167 | ||||||
Tivo, Inc. (a) | 15,721 | 159,411 | ||||||
Total Systems Services, Inc. | 26,898 | 1,123,529 | ||||||
Travelzoo, Inc. (a) | 1,091 | 12,306 | ||||||
Trimble Navigation Ltd (a) | 2,182 | 51,190 | ||||||
TrueCar, Inc. (a) | 7,965 | 95,500 | ||||||
TubeMogul, Inc. (a) | 2,267 | 32,395 | ||||||
Tyler Technologies, Inc. (a) | 5,469 | 707,579 | ||||||
Ubiquiti Networks, Inc. | 4,668 | 148,979 | ||||||
Ultimate Software Group, Inc. (a) | 4,640 | 762,538 | ||||||
Unisys Corp. (a) | 5,212 | 104,188 | ||||||
Universal Display Corp. (a) | 6,549 | 338,780 | ||||||
Vantiv, Inc. (a) | 23,422 | 894,486 | ||||||
Varonis Systems, Inc. (a) | 1,454 | 32,119 | ||||||
Vasco Data Security International, Inc. (a) | 4,830 | 145,818 | ||||||
VeriFone Systems, Inc. (a) | 18,518 | 628,871 | ||||||
Verint Systems, Inc. (a) | 9,413 | 571,793 | ||||||
Viasat, Inc. (a) | 5,920 | 356,739 | ||||||
Violin Memory, Inc. (a) | 14,598 | 35,765 | ||||||
VirnetX Holding Corp. (a) | 7,105 | 29,841 | ||||||
Virtusa Corp. (a) | 39,744 | 2,042,842 |
Table of Contents
Web.Com Group, Inc. (a) | 7,156 | 173,318 | ||||||
WebMD Health Corp. (a) | 6,173 | 273,340 | ||||||
WEX, Inc. (a) | 103,799 | 11,829,972 | ||||||
Wix.Com Ltd (a) | 3,044 | 71,899 | ||||||
Workday, Inc. (a) | 115,300 | 8,807,767 | ||||||
Workiva, Inc. (a) | 1,081 | 14,950 | ||||||
Xcerra Corp. (a) | 4,037 | 30,560 | ||||||
Xilinx, Inc. | 134,000 | 5,917,440 | ||||||
XO Group, Inc. (a) | 4,344 | 71,024 | ||||||
Xoom Corp. (a) | 5,183 | 109,128 | ||||||
Yelp, Inc. (a) | 10,567 | 454,698 | ||||||
Yodlee, Inc. (a) | 2,910 | 42,020 | ||||||
Zebra Technologies Corp. (a) | 8,419 | 934,930 | ||||||
Zendesk, Inc. (a) | 8,751 | 194,360 | ||||||
Zillow Group, Inc. (a) | 4,279 | 371,160 | ||||||
Zix Corp. (a) | 9,432 | 48,763 | ||||||
|
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293,430,730 | ||||||||
|
| |||||||
Materials - 3.46% | ||||||||
A. Schulman, Inc. | 4,269 | 186,641 | ||||||
AEP Industries, Inc. (a) | 641 | 35,383 | ||||||
American Vanguard Corp. | 567 | 7,825 | ||||||
AptarGroup, Inc. | 101,838 | 6,494,209 | ||||||
Ashland, Inc. | 1,073 | 130,799 | ||||||
Avery Dennison Corp. | 13,785 | 840,058 | ||||||
Axalta Coating Systems Ltd (a) | 16,426 | 543,372 | ||||||
Balchem Corp. | 60,999 | 3,398,864 | ||||||
Ball Corp. | 22,429 | 1,573,394 | ||||||
Bemis, Inc. | 1,732 | 77,957 | ||||||
Berry Plastics Group, Inc. (a) | 229,581 | 7,438,424 | ||||||
Boise Cascade Co. (a) | 5,486 | 201,226 | ||||||
Calgon Carbon Corp. | 3,947 | 76,493 | ||||||
Century Alum Co. (a) | 581 | 6,060 | ||||||
Chase Corp. | 1,019 | 40,505 | ||||||
Chemtura Corp. (a) | 11,023 | 312,061 | ||||||
Clearwater Paper Corp. (a) | 3,105 | 177,916 | ||||||
Compass Minerals International, Inc. | 5,481 | 450,209 | ||||||
Core Molding Technologies, Inc. (a) | 1,303 | 29,761 | ||||||
Crown Holdings, Inc. (a) | 10,038 | 531,111 | ||||||
Cytec Industries, Inc. | 1,153 | 69,791 | ||||||
Deltic Timber Corp. | 1,753 | 118,573 | ||||||
Eagle Materials, Inc. | 8,174 | 623,921 | ||||||
Ferro Corp. (a) | 11,785 | 197,752 | ||||||
Globe Specialty Metals, Inc. | 10,378 | 183,691 | ||||||
Graphic Packaging Holding Co. | 31,196 | 434,560 | ||||||
Handy & Harman Ltd (a) | 82 | 2,841 | ||||||
Hawkins, Inc. | 239 | 9,653 | ||||||
Haynes International, Inc. | 141 | 6,954 | ||||||
HB Fuller Co. | 8,245 | 334,912 | ||||||
Headwaters, Inc. (a) | 12,108 | 220,608 | ||||||
Huntsman Corp. | 21,266 | 469,341 | ||||||
International Flavors & Fragrances, Inc. | 13,134 | 1,435,415 | ||||||
Kaiser Aluminum Corp. | 882 | 73,277 | ||||||
KapStone Paper and Packaging Corp. | 13,989 | 323,426 | ||||||
KMG Chemicals, Inc. | 1,606 | 40,857 | ||||||
Koppers Holdings, Inc. | 3,400 | 84,048 |
Table of Contents
Louisiana-Pacific Corp. (a) | 21,335 | 363,335 | ||||||
LSB Industries, Inc. (a) | 1,198 | 48,926 | ||||||
Martin Marietta Materials, Inc. | 44,367 | �� | 6,278,374 | |||||
Minerals Technologies, Inc. | 5,317 | 362,247 | ||||||
Myers Industries, Inc. | 3,978 | 75,582 | ||||||
Neenah Paper, Inc. | 1,493 | 88,027 | ||||||
NewMarket Corp. | 1,378 | 611,680 | ||||||
Olin Corp. | 10,097 | 272,114 | ||||||
Olympic Steel, Inc. | 280 | 4,883 | ||||||
Omnova Solutions, Inc. (a) | 4,738 | 35,488 | ||||||
Owens-Illinois, Inc. (a) | 1,727 | 39,617 | ||||||
Packaging Corporation of America | 15,987 | 999,028 | ||||||
Platform Specialty Products Corp. (a) | 3,237 | 82,802 | ||||||
Polyone Corp. | 14,527 | 569,023 | ||||||
Quaker Chemical Corp. | 35,705 | 3,172,032 | ||||||
Real Industry, Inc. (a) | 2,522 | 28,625 | ||||||
Rock-Tenn Co. | 4,453 | 268,071 | ||||||
Royal Gold, Inc. | 550 | 33,874 | ||||||
RPM International, Inc. | 21,625 | 1,058,976 | ||||||
RTI International Metals, Inc. (a) | 444 | 13,995 | ||||||
Ryerson Holding Corp. (a) | 152 | 1,383 | ||||||
Schweitzer-Mauduit International, Inc. | 922 | 36,769 | ||||||
Scotts Miracle-Gro Co. | 6,587 | 390,016 | ||||||
Sealed Air Corp. | 34,244 | 1,759,457 | ||||||
Senomyx, Inc. (a) | 6,822 | 36,566 | ||||||
Sensient Technologies Corp. | 29,726 | 2,031,475 | ||||||
Silgan Holdings, Inc. | 6,596 | 348,005 | ||||||
Steel Dynamics, Inc. | 4,422 | 91,602 | ||||||
Stepan Co. | 1,551 | 83,925 | ||||||
Stillwater Mining Co. (a) | 6,395 | 74,118 | ||||||
Summit Materials, Inc. (a) | 4,177 | 106,514 | ||||||
Suncoke Energy, Inc. | 7,527 | 97,851 | ||||||
Tahoe Resources, Inc. | 3,220 | 39,059 | ||||||
The Valspar Corp. | 13,224 | 1,081,988 | ||||||
Trecora Resources (a) | 3,307 | 49,936 | ||||||
Tredegar Corp. | 860 | 19,015 | ||||||
Trinseo S.A. (a) | 1,907 | 51,184 | ||||||
United States Lime & Minerals, Inc. | 27 | 1,569 | ||||||
US Concrete, Inc. (a) | 2,388 | 90,481 | ||||||
Valhi, Inc. | 1,333 | 7,545 | ||||||
W.R. Grace & Co. (a) | 11,837 | 1,187,251 | ||||||
Wausau Paper Corp. | 6,160 | 56,549 | ||||||
Worthington Industries, Inc. | 1,814 | 54,529 | ||||||
|
| |||||||
49,285,374 | ||||||||
|
| |||||||
Telecommunication Services - 0.88% | ||||||||
8x8, Inc. (a) | 5,019 | 44,970 | ||||||
Boingo Wireless, Inc. (a) | 3,141 | 25,945 | ||||||
Cogent Communications Holdings, Inc. | 7,471 | 252,819 | ||||||
Consolidated Communications Holdings, Inc. | 5,327 | 111,920 | ||||||
FairPoint Communications, Inc. (a) | 3,303 | 60,181 | ||||||
General Communication, Inc. (a) | 5,781 | 98,335 | ||||||
IDT Corp. | 515 | 9,311 | ||||||
Incontact, Inc. (a) | 8,988 | 88,711 | ||||||
Inteliquent, Inc. | 2,314 | 42,578 | ||||||
Intelsat S.A. (a) | 1,293 | 12,826 |
Table of Contents
Lumos Networks Corp. | 3,123 | 46,189 | ||||||
Pacific Datavision, Inc. (a) | 1,431 | 60,288 | ||||||
RingCentral, Inc. (a) | 8,705 | 160,955 | ||||||
SBA Communications Corp. (a) | 93,490 | 10,748,545 | ||||||
Shenandoah Telecommunications Company | 3,368 | 115,287 | ||||||
Straight Path Communications, Inc. (a) | 1,578 | 51,743 | ||||||
Vonage Holdings Corp. (a) | 3,321 | 16,306 | ||||||
Windstream Holdings, Inc. | 15,652 | 99,860 | ||||||
Zayo Group Holdings, Inc. (a) | 20,201 | 519,570 | ||||||
|
| |||||||
12,566,339 | ||||||||
|
| |||||||
Utilities - 0.16% | ||||||||
Allete, Inc. | 39,000 | 1,809,210 | ||||||
American States Water Co. | 409 | 15,293 | ||||||
Genie Energy Ltd | 423 | 4,429 | ||||||
ITC Holdings Corp. | 9,227 | 296,925 | ||||||
Ormat Technologies, Inc. | 2,507 | 94,464 | ||||||
Spark Energy, Inc. | 349 | 5,500 | ||||||
TerraForm Power, Inc. | 396 | 15,040 | ||||||
Vivint Solar, Inc. (a) | 2,041 | 24,839 | ||||||
York Water Co. | 54 | 1,126 | ||||||
|
| |||||||
2,266,826 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,346,277,190) | $ | 1,350,993,944 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.71% | ||||||||
Money Market Funds - 4.71% | ||||||||
Goldman Sachs Financial Square Fund, 0.01% | 33,541,668 | $ | 33,541,668 | |||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 33,479,623 | 33,479,623 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $67,021,291) | $ | 67,021,291 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.56% | $ | 1,418,015,235 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.44% | 6,235,711 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 1,424,250,946 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(a) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2015
Open Futures Contracts
Number of Contracts Purchased | Description | Settlement Month | Notional Amount | Value | Unrealized Depreciation | |||||||||||
12 | E-Mini S&P MidCap 400 Index Futures | Sep. 2015 | $ | 1,837,836 | $ | 1,797,720 | $ | (40,116 | ) | |||||||
26 | E-Mini NASDAQ 100 Index Futures | Sep. 2015 | 2,336,902 | 2,282,930 | (53,972 | ) | ||||||||||
87 | Russell 2000 Index Mini Futures | Sep. 2015 | 11,023,235 | 10,878,480 | (144,755 | ) | ||||||||||
|
| |||||||||||||||
$ | (238,843 | ) | ||||||||||||||
|
|
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
June 30, 2015
Shares | Value | |||||||
COMMON STOCKS - 97.45% | ||||||||
Consumer Discretionary - 13.14% | ||||||||
Aaron’s, Inc. | 2,234 | $ | 80,893 | |||||
Abercrombie & Fitch Co. | 2,802 | 60,271 | ||||||
AMC Entertainment Holdings, Inc. | 783 | 24,022 | ||||||
American Eagle Outfitters, Inc. | 911 | 15,687 | ||||||
American Public Education, Inc. (a) | 690 | 17,747 | ||||||
America’s Car-Mart, Inc. (a) | 265 | 13,070 | ||||||
Apollo Education Group, Inc. (a) | 3,803 | 48,983 | ||||||
Aramark | 638 | 19,759 | ||||||
Arctic Cat, Inc. | 346 | 11,491 | ||||||
Ascena Retail Group, Inc. (a) | 5,639 | 93,918 | ||||||
Ascent Capital Group, Inc. (a) | 529 | 22,609 | ||||||
Barnes & Noble, Inc. (a) | 2,030 | 52,699 | ||||||
Bassett Furniture Industries, Inc. | 210 | 5,966 | ||||||
Beazer Homes USA, Inc. (a) | 1,098 | 21,905 | ||||||
Bebe Stores, Inc. | 1,353 | 2,706 | ||||||
Belmond Ltd (a) | 4,033 | 50,372 | ||||||
Big 5 Sporting Goods Corp. | 785 | 11,155 | ||||||
Biglari Holdings, Inc. (a) | 7,762 | 3,211,527 | ||||||
Black Diamond, Inc. (a) | 946 | 8,741 | ||||||
Bob Evans Farms, Inc. | 882 | 45,026 | ||||||
Bridgepoint Education, Inc. (a) | 689 | 6,587 | ||||||
Brunswick Corp. | 44,073 | 2,241,553 | ||||||
Build-A-Bear Workshop, Inc. (a) | 530 | 8,475 | ||||||
Burlington Stores, Inc. (a) | 310 | 15,872 | ||||||
Cabela’s, Inc. (a) | 62,016 | 3,099,560 | ||||||
Cablevision Systems Corp. | 6,956 | 166,527 | ||||||
Caesars Acquisition Co. (a) | 2,068 | 14,228 | ||||||
Caesars Entertainment Corp. (a) | 1,923 | 11,769 | ||||||
Caleres, Inc. | 1,586 | 50,403 | ||||||
Callaway Golf Co. | 3,322 | 29,699 | ||||||
Cambium Learning Group, Inc. (a) | 484 | 2,067 | ||||||
Career Education Corp. (a) | 2,769 | 9,138 |
Table of Contents
Carmike Cinemas, Inc. (a) | 937 | 24,868 | ||||||
Carriage Services, Inc. | 541 | 12,919 | ||||||
Carrols Restaurant Group, Inc. (a) | 181 | 1,882 | ||||||
Cato Corp. | 880 | 34,109 | ||||||
Cavco Industries, Inc. (a) | 75 | 5,658 | ||||||
CBS Corp. | 32,511 | 1,804,361 | ||||||
Central European Media Enterprises Ltd (a) | 786 | 1,713 | ||||||
Century Communities, Inc. (a) | 578 | 11,635 | ||||||
Chegg, Inc. (a) | 1,864 | 14,614 | ||||||
Children’s Place, Inc. | 613 | 40,096 | ||||||
Christopher & Banks Corp. (a) | 1,486 | 5,959 | ||||||
Citi Trends, Inc. (a) | 587 | 14,205 | ||||||
Clear Channel Outdoor Holdings, Inc. | 895 | 9,066 | ||||||
Columbia Sportswear Co. | 346 | 20,919 | ||||||
Conn’s, Inc. (a) | 1,100 | 43,670 | ||||||
Cooper Tire & Rubber Co. | 2,059 | 69,656 | ||||||
Cooper-Standard Holdings, Inc. (a) | 535 | 32,886 | ||||||
Core Mark Holding Co., Inc. | 42,345 | 2,508,941 | ||||||
Cracker Barrel Old Country Store, Inc. | 57 | 8,502 | ||||||
Crocs, Inc. (a) | 719 | 10,576 | ||||||
CSS Industries, Inc. | 383 | 11,586 | ||||||
CST Brands, Inc. | 89,434 | 3,493,292 | ||||||
Cumulus Media, Inc. (a) | 5,740 | 11,652 | ||||||
D.R. Horton, Inc. | 7,733 | 211,575 | ||||||
Daily Journal Corp. (a) | 44 | 8,646 | ||||||
Dana Holding Corp. | 3,103 | 63,860 | ||||||
Deckers Outdoor Corp. (a) | 597 | 42,966 | ||||||
Del Frisco’s Restaurant Group, Inc. (a) | 882 | 16,432 | ||||||
Delphi Automotive Plc | 54,625 | 4,648,041 | ||||||
Denny’s Corp. (a) | 1,153 | 13,386 | ||||||
Destination Xl Group, Inc. (a) | 1,176 | 5,892 | ||||||
Devry Education Group, Inc. | 2,568 | 76,989 | ||||||
Dick’s Sporting Goods, Inc. | 1,151 | 59,587 | ||||||
Dillard’s, Inc. | 848 | 89,201 | ||||||
DineEquity, Inc. | 49 | 4,855 | ||||||
Dreamworks Animation SKG, Inc. (a) | 3,053 | 80,538 | ||||||
DSW, Inc. | 2,776 | 92,635 | ||||||
E.W. Scripps Co. | 77,724 | 1,775,993 |
Table of Contents
Eldorado Resorts, Inc. (a) | 561 | 4,387 | ||||||
Empire Resorts, Inc. (a) | 51 | 260 | ||||||
Entercom Communications Corp. (a) | 1,025 | 11,706 | ||||||
Entravision Communication Corp. | 167 | 1,374 | ||||||
Eros International Plc (a) | 1,124 | 28,235 | ||||||
Escalade, Inc. | 331 | 6,087 | ||||||
Ethan Allen Interiors, Inc. | 1,101 | 29,000 | ||||||
EVINE Live, Inc. (a) | 2,008 | 5,402 | ||||||
Expedia, Inc. | 32,235 | 3,524,897 | ||||||
Express, Inc. (a) | 347 | 6,284 | ||||||
Federal Mogul Holdings Corp. (a) | 1,232 | 13,983 | ||||||
Fenix Parts, Inc. (a) | 195 | 1,954 | ||||||
Finish Line, Inc. | 73,279 | 2,038,622 | ||||||
Flexsteel Industries, Inc. | 202 | 8,704 | ||||||
Foot Locker, Inc. | 31,743 | 2,127,098 | ||||||
Fossil Group, Inc. (a) | 313 | 21,710 | ||||||
Freds, Inc. | 1,561 | 30,112 | ||||||
FTD Companies, Inc. (a) | 718 | 20,240 | ||||||
GameStop Corp. | 4,351 | 186,919 | ||||||
Gannett Co., Inc. (a) | 4,559 | 63,773 | ||||||
Genesco, Inc. (a) | 968 | 63,917 | ||||||
Gentex Corp. | 5,876 | 96,484 | ||||||
Gildan Activewear, Inc. | 160,950 | 5,349,978 | ||||||
Goodyear Tire & Rubber Co. | 10,844 | 326,947 | ||||||
Graham Holdings Co. | 140 | 150,507 | ||||||
Green Brick Partners, Inc. (a) | 568 | 6,220 | ||||||
Group 1 Automotive, Inc. | 743 | 67,487 | ||||||
Guess, Inc. | 2,504 | 48,002 | ||||||
H&R Block, Inc. | 71,948 | 2,133,258 | ||||||
Harley-Davidson, Inc. | 20,283 | 1,142,947 | ||||||
Harman International Industries, Inc. | 19,175 | 2,280,675 | ||||||
Harte-Hanks, Inc. | 2,103 | 12,534 | ||||||
Haverty Furniture, Inc. | 866 | 18,723 | ||||||
Helen Of Troy Corp. (a) | 674 | 65,708 | ||||||
Hemisphere Media Group, Inc. (a) | 404 | 4,808 | ||||||
Hooker Furniture Corp. | 391 | 9,818 | ||||||
Houghton Mifflin Harcourt Co. (a) | 5,087 | 128,192 | ||||||
Hovnanian Enterprises, Inc. (a) | 4,792 | 12,747 |
Table of Contents
HSN, Inc. | 62,100 | 4,358,799 | ||||||
Iconix Brand Group, Inc. (a) | 1,923 | 48,017 | ||||||
International Game Technology Plc (a) | 1,220 | 21,667 | ||||||
International Speedway Corp. | 1,124 | 41,217 | ||||||
Intrawest Resorts Holdings, Inc. (a) | 702 | 8,157 | ||||||
iRobot Corp. (a) | 975 | 31,083 | ||||||
Isle Of Capri Casinos, Inc. (a) | 40 | 726 | ||||||
J.C. Penney Co., Inc. (a) | 12,242 | 103,690 | ||||||
JAKKS Pacific, Inc. (a) | 760 | 7,516 | ||||||
Jarden Corp. (a) | 116,725 | 6,040,519 | ||||||
John Wiley & Sons, Inc. | 1,851 | 100,639 | ||||||
Johnson Outdoors, Inc. | 217 | 5,110 | ||||||
Journal Media Group, Inc. | 691 | 5,728 | ||||||
K12, Inc. (a) | 1,350 | 17,078 | ||||||
KB Home | 3,300 | 54,780 | ||||||
Kona Grill, Inc. (a) | 155 | 3,009 | ||||||
Lands End, Inc. (a) | 552 | 13,706 | ||||||
La-Z-Boy, Inc. | 94,368 | 2,485,653 | ||||||
Lear Corp. | 54,362 | 6,102,678 | ||||||
Lennar Corp. | 192 | 8,279 | ||||||
Lennar Corp. | 73,536 | 3,753,277 | ||||||
LGI Homes, Inc. (a) | 463 | 9,158 | ||||||
Libbey, Inc. | 76 | 3,141 | ||||||
Liberty Broadband Corp. - Class A (a) | 1,073 | 54,691 | ||||||
Liberty Broadband Corp. - Class C (a) | 2,633 | 134,704 | ||||||
Liberty TripAdvisor Holdings, Inc. (a) | 2,128 | 68,564 | ||||||
Lifetime Brands, Inc. | 446 | 6,587 | ||||||
Lithia Motors, Inc. | 19,680 | 2,226,989 | ||||||
Lumber Liquidators Holdings, Inc. (a) | 1,095 | 22,677 | ||||||
M.D.C. Holdings, Inc. | 49,180 | 1,473,925 | ||||||
M/I Homes, Inc. (a) | 820 | 20,229 | ||||||
Macy’s, Inc. | 43,520 | 2,936,294 | ||||||
Marcus Corp. | 763 | 14,634 | ||||||
Marinemax, Inc. (a) | 504 | 11,849 | ||||||
Marriott Vacations Worldwide Corp. | 446 | 40,921 | ||||||
Martha Stewart Living Omnimedia, Inc. (a) | 432 | 2,696 | ||||||
MDC Partners, Inc. | 1,261 | 24,842 | ||||||
Media General, Inc. (a) | 3,849 | 63,585 |
Table of Contents
Mens Wearhouse, Inc. | 130,810 | 8,380,997 | ||||||
Meredith Corp. | 1,481 | 77,234 | ||||||
Meritage Homes Corp. (a) | 1,493 | 70,305 | ||||||
Metaldyne Performance Group, Inc. | 219 | 3,975 | ||||||
Modine Manufacturing Co. (a) | 1,915 | 20,548 | ||||||
Monarch Casino & Resort, Inc. (a) | 421 | 8,656 | ||||||
Morgans Hotel Group Co. (a) | 858 | 5,783 | ||||||
Movado Group, Inc. | 653 | 17,735 | ||||||
Murphy USA, Inc. (a) | 1,707 | 95,285 | ||||||
NACCO Industries, Inc. | 197 | 11,970 | ||||||
National Cinemedia, Inc. | 1,862 | 29,718 | ||||||
New Home Co., Inc. (a) | 374 | 6,444 | ||||||
New Media Investment Group, Inc. | 1,809 | 32,435 | ||||||
New York Times Co. | 4,427 | 60,429 | ||||||
Newell Rubbermaid, Inc. | 95,538 | 3,927,567 | ||||||
Noodles & Co. (a) | 155 | 2,263 | ||||||
Office Depot, Inc. (a) | 18,098 | 156,729 | ||||||
Omnicom Group, Inc. | 29,717 | 2,065,034 | ||||||
Penn National Gaming, Inc. (a) | 2,976 | 54,610 | ||||||
Penske Automotive Group, Inc. | 1,070 | 55,758 | ||||||
Pep Boys-Manny Moe & Jack (a) | 2,257 | 27,693 | ||||||
Performance Sports Group Ltd (a) | 1,678 | 30,204 | ||||||
Perry Ellis International, Inc. (a) | 492 | 11,695 | ||||||
Pulte Group, Inc. | 14,645 | 295,097 | ||||||
PVH Corp. | 43,575 | 5,019,840 | ||||||
Quiksilver, Inc. (a) | 2,565 | 1,700 | ||||||
Reading International, Inc. (a) | 523 | 7,244 | ||||||
Regis Corp. (a) | 1,607 | 25,326 | ||||||
Remy International, Inc. | 1,199 | 26,510 | ||||||
Rent-A-Center, Inc. | 2,135 | 60,527 | ||||||
Rentrak Corp. (a) | 32 | 2,234 | ||||||
Ruby Tuesday, Inc. (a) | 2,534 | 15,888 | ||||||
Ruth’s Hospitality Group, Inc. | 541 | 8,721 | ||||||
Ryland Group, Inc. | 1,232 | 57,128 | ||||||
Saga Communications, Inc. | 132 | 4,996 | ||||||
Scholastic Corp. | 42,073 | 1,856,681 | ||||||
Sears Holdings Corp. (a) | 474 | 12,656 | ||||||
Sequential Brands Group, Inc. (a) | 123 | 1,881 |
Table of Contents
Servicemaster Global Holdings, Inc. (a) | 111,525 | 4,033,859 | ||||||
SFX Entertainment, Inc. (a) | 1,020 | 4,580 | ||||||
Shake Shack, Inc. (a) | 56 | 3,375 | ||||||
Shoe Carnival, Inc. | 649 | 18,730 | ||||||
Shutterfly, Inc. (a) | 546 | 26,104 | ||||||
Signet Jewelers Ltd | 27,625 | 3,542,630 | ||||||
Sizmek, Inc. (a) | 869 | 6,170 | ||||||
Skullcandy, Inc. (a) | 825 | 6,328 | ||||||
Sonic Automotive, Inc. | 1,326 | 31,599 | ||||||
Sonic Corp. | 585 | 16,848 | ||||||
Speedway Motorsports, Inc. | 504 | 11,416 | ||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 309 | 3,513 | ||||||
Stage Stores, Inc. | 1,353 | 23,718 | ||||||
Standard Motor Products, Inc. | 790 | 27,745 | ||||||
Standard Pacific Corp. (a) | 5,915 | 52,703 | ||||||
Stein Mart, Inc. | 1,154 | 12,082 | ||||||
Strattec Security Corp. | 117 | 8,038 | ||||||
Strayer Education, Inc. (a) | 264 | 11,378 | ||||||
Superior Industries International, Inc. | 1,014 | 18,566 | ||||||
Systemax, Inc. (a) | 530 | 4,579 | ||||||
Taylor Morrison Home Corp. (a) | 1,398 | 28,463 | ||||||
Tegna, Inc. | 9,117 | 292,382 | ||||||
Tenneco, Inc. (a) | 98,341 | 5,648,707 | ||||||
Tilly’s, Inc. (a) | 442 | 4,274 | ||||||
Time, Inc. | 4,392 | 101,060 | ||||||
Toll Brothers, Inc. (a) | 4,606 | 175,903 | ||||||
Tower International, Inc. (a) | 370 | 9,639 | ||||||
Townsquare Media, Inc. (a) | 127 | 1,725 | ||||||
Travelport Worldwide Ltd | 1,228 | 16,922 | ||||||
Tri Pointe Homes, Inc. (a) | 6,159 | 94,233 | ||||||
Tribune Media Co. | 3,237 | 172,823 | ||||||
Tribune Publishing Co. | 358 | 5,563 | ||||||
Tuesday Morning Corp. (a) | 377 | 4,247 | ||||||
Tupperware Brands Corp. | 116 | 7,487 | ||||||
Unifi, Inc. (a) | 611 | 20,469 | ||||||
Universal Electronics, Inc. (a) | 106 | 5,283 | ||||||
Universal Technical Institute, Inc. | 918 | 7,895 | ||||||
Vera Bradley, Inc. (a) | 853 | 9,613 |
Table of Contents
Vista Outdoor, Inc. (a) | 2,235 | 100,352 | ||||||
Visteon Corp. (a) | 18,100 | 1,900,138 | �� | |||||
Vitamin Shoppe, Inc. (a) | 1,126 | 41,966 | ||||||
VOXX International Corp. (a) | 807 | 6,682 | ||||||
WCI Communities, Inc. (a) | 617 | 15,049 | ||||||
Wendy’s Co. | 10,920 | 123,178 | ||||||
West Marine, Inc. (a) | 711 | 6,854 | ||||||
Weyco Group, Inc. | 275 | 8,201 | ||||||
William Lyon Homes (a) | 647 | 16,608 | ||||||
Winnebago Industries, Inc. | 99 | 2,335 | ||||||
Wolverine World Wide, Inc. | 74,060 | 2,109,229 | ||||||
Zumiez, Inc. (a) | 180 | 4,793 | ||||||
|
| |||||||
116,589,829 | ||||||||
|
| |||||||
Consumer Staples - 2.73% | ||||||||
Alico, Inc. | 115 | 5,216 | ||||||
Avon Products, Inc. | 17,488 | 109,475 | ||||||
B&G Foods, Inc. | 120 | 3,424 | ||||||
Boulder Brands, Inc. (a) | 168 | 1,166 | ||||||
Central Garden & Pet Co. (a) | 1,676 | 19,123 | ||||||
Coca-Cola Bottling Co. Consolidated | 18 | 2,719 | ||||||
Coca-Cola Enterprises, Inc. | 28,537 | 1,239,647 | ||||||
Constellation Brands, Inc. | 26,810 | 3,110,496 | ||||||
Craft Brew Alliance, Inc. (a) | 265 | 2,931 | ||||||
Darling Ingredients, Inc. (a) | 6,648 | 97,460 | ||||||
Dean Foods Co. | 2,037 | 32,938 | ||||||
Elizabeth Arden, Inc. (a) | 1,074 | 15,315 | ||||||
Energizer Holdings, Inc. | 2,493 | 327,954 | ||||||
Fairway Group Holdings Corp. (a) | 526 | 1,873 | ||||||
Flowers Foods, Inc. | 762 | 16,116 | ||||||
Fresh Del Monte Produce, Inc. | 1,331 | 51,457 | ||||||
Herbalife Ltd (a) | 433 | 23,854 | ||||||
HRG Group, Inc. (a) | 120,272 | 1,563,536 | ||||||
Ingles Markets, Inc. | 389 | 18,583 | ||||||
Ingredion, Inc. | 2,515 | 200,722 | ||||||
Inter Parfums, Inc. | 409 | 13,877 | ||||||
J & J Snack Foods Corp. | 22,570 | 2,497,822 | ||||||
John B. Sanfilippo & Son, Inc. | 247 | 12,819 | ||||||
Lancaster Colony Corp. | 30,981 | 2,814,624 |
Table of Contents
Landec Corp. (a) | 846 | 12,208 | ||||||
Nature’s Sunshine Products, Inc. | 467 | 6,421 | ||||||
Nu Skin Enterprises, Inc. | 1,864 | 87,850 | ||||||
Nutraceutical International Corp. (a) | 368 | 9,104 | ||||||
Oil-Dri Corp. of America | 177 | 5,377 | ||||||
Omega Protein Corp. (a) | 865 | 11,894 | ||||||
Orchids Paper Products Co. | 269 | 6,475 | ||||||
Pilgrim’s Pride Corp. | 2,332 | 53,566 | ||||||
Pinnacle Foods, Inc. | 4,674 | 212,854 | ||||||
Post Holdings, Inc. (a) | 2,204 | 118,862 | ||||||
Revlon, Inc. (a) | 357 | 13,106 | ||||||
Reynolds American, Inc. | 8,782 | 655,664 | ||||||
Rite Aid Corp. (a) | 572,104 | 4,777,068 | ||||||
Sanderson Farms, Inc. | 910 | 68,396 | ||||||
Seaboard Corp. (a) | 10 | 35,990 | ||||||
Seneca Foods Corp. (a) | 331 | 9,192 | ||||||
Smart & Final Stores, Inc. (a) | 973 | 17,388 | ||||||
Snyder’s-Lance, Inc. | 1,968 | 63,507 | ||||||
SpartanNash Co. | 1,509 | 49,103 | ||||||
Spectrum Brands Holdings, Inc. | 37,075 | 3,781,279 | ||||||
Supervalu, Inc. (a) | 10,523 | 85,131 | ||||||
The Andersons, Inc. | 1,144 | 44,616 | ||||||
Tootsie Roll Industries, Inc. | 479 | 15,477 | ||||||
Treehouse Foods, Inc. (a) | 1,722 | 139,534 | ||||||
Tyson Foods, Inc. | 38,227 | 1,629,617 | ||||||
United Natural Foods, Inc. (a) | 159 | 10,125 | ||||||
Universal Corp. | 916 | 52,505 | ||||||
Village Super Market, Inc. | 273 | 8,651 | ||||||
Weis Markets, Inc. | 484 | 20,400 | ||||||
|
| |||||||
24,184,507 | ||||||||
|
| |||||||
Energy - 3.93% | ||||||||
Abraxas Petroleum Corp. (a) | 4,043 | 11,927 | ||||||
Adams Resources & Energy, Inc. | 90 | 4,014 | ||||||
Alon USA Energy, Inc. | 1,260 | 23,814 | ||||||
Approach Resources, Inc. (a) | 1,536 | 10,522 | ||||||
Ardmore Shipping Corp. | 747 | 9,046 | ||||||
Atwood Oceanics, Inc. | 2,622 | 69,326 | ||||||
Barrett Bill Corp. (a) | 2,134 | 18,331 |
Table of Contents
Basic Energy Services, Inc. (a) | 1,704 | 12,865 | ||||||
Bonanza Creek Energy, Inc. (a) | 43,631 | 796,266 | ||||||
Bristow Group, Inc. | 1,408 | 75,046 | ||||||
C&J Energy Services Ltd (a) | 2,271 | 29,977 | ||||||
California Resources Corp. | 12,737 | 76,932 | ||||||
Callon Petroleum Co. (a) | 2,817 | 23,437 | ||||||
CARBO Ceramics, Inc. | 792 | 32,971 | ||||||
Carrizo Oil & Gas, Inc. (a) | 39,275 | 1,933,901 | ||||||
Clayton Williams Energy, Inc. (a) | 250 | 16,438 | ||||||
Clean Energy Fuels Corp. (a) | 2,849 | 16,011 | ||||||
Cloud Peak Energy, Inc. (a) | 2,502 | 11,659 | ||||||
Cobalt International Energy, Inc. (a) | 14,829 | 143,990 | ||||||
CONSOL Energy, Inc. | 9,228 | 200,617 | ||||||
Contango Oil & Gas Co. (a) | 703 | 8,626 | ||||||
CVR Energy, Inc. | 397 | 14,943 | ||||||
Delek US Holdings, Inc. | 40,502 | 1,491,284 | ||||||
Denbury Resources, Inc. | 14,566 | 92,640 | ||||||
DHT Holdings, Inc. | 3,948 | 30,676 | ||||||
Diamond Offshore Drilling, Inc. | 2,583 | 66,667 | ||||||
Diamondback Energy, Inc. (a) | 2,551 | 192,294 | ||||||
Dorian LPG Ltd (a) | 1,028 | 17,147 | ||||||
Dril-Quip, Inc. (a) | 1,570 | 118,143 | ||||||
Eclipse Resources Corp. (a) | 2,056 | 10,815 | ||||||
Energen Corp. | 46,979 | 3,208,666 | ||||||
Energy Fuels, Inc. (a) | 744 | 3,311 | ||||||
Energy XXI Ltd | 4,087 | 10,749 | ||||||
Ensco Plc | 9,416 | 209,694 | ||||||
EP Energy Corp. (a) | 1,456 | 18,535 | ||||||
EQT Corp. | 21,996 | 1,789,155 | ||||||
Era Group, Inc. (a) | 884 | 18,104 | ||||||
Erin Energy Corp. (a) | 582 | 2,276 | ||||||
EXCO Resources, Inc. | 6,778 | 7,998 | ||||||
Exterran Holdings, Inc. | 2,784 | 90,898 | ||||||
FMSA Holdings, Inc. (a) | 291 | 2,383 | ||||||
Forum Energy Technologies, Inc. (a) | 80,503 | 1,632,601 | ||||||
Franks International | 1,389 | 26,169 | ||||||
Frontline Ltd (a) | 4,269 | 10,416 | ||||||
GasLog Ltd | 1,678 | 33,476 |
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Gastar Exploration, Inc. (a) | 3,457 | 10,682 | ||||||
Geospace Technologies Corp. (a) | 483 | 11,133 | ||||||
Golar LNG Ltd | 3,604 | 168,667 | ||||||
Green Plains, Inc. | 1,526 | 42,041 | ||||||
Gulfmark Offshore, Inc. | 1,058 | 12,273 | ||||||
Gulfport Energy Corp. (a) | 86,671 | 3,488,508 | ||||||
Halcon Resources Corp. (a) | 15,007 | 17,408 | ||||||
Hallador Energy Co. | 440 | 3,670 | ||||||
Helix Energy Solutions Group, Inc. (a) | 4,279 | 54,044 | ||||||
Hornbeck Offshore Services, Inc. (a) | 1,303 | 26,751 | ||||||
Independence Contract Drilling, Inc. (a) | 648 | 5,748 | ||||||
Ion Geophysical Corp. (a) | 4,508 | 4,824 | ||||||
Jones Energy, Inc. (a) | 1,184 | 10,715 | ||||||
Key Energy Services, Inc. (a) | 5,349 | 9,628 | ||||||
Kosmos Energy Ltd (a) | 86,587 | 729,928 | ||||||
Laredo Petroleum, Inc. (a) | 5,040 | 63,403 | ||||||
Marathon Petroleum Corp. | 56,137 | 2,936,526 | ||||||
Matador Resources Co. (a) | 82,686 | 2,067,150 | ||||||
Matrix Service Co. (a) | 1,073 | 19,614 | ||||||
McDermott International, Inc. (a) | 9,578 | 51,147 | ||||||
Nabors Industries Ltd | 13,248 | 191,169 | ||||||
Natural Gas Services Group, Inc. (a) | 499 | 11,387 | ||||||
Navios Maritime Acquisition Corp. | 3,461 | 12,425 | ||||||
Newfield Exploration Co. (a) | 6,587 | 237,922 | ||||||
Newpark Resources, Inc. (a) | 3,554 | 28,894 | ||||||
Noble Corp. Plc | 9,738 | 149,868 | ||||||
Noble Energy, Inc. | 27,625 | 1,179,035 | ||||||
Nordic American Offshore Ltd | 779 | 6,341 | ||||||
Nordic American Tanker Ltd | 3,577 | 50,901 | ||||||
North Atlantic Drilling Ltd | 2,741 | 3,262 | ||||||
Northern Oil & Gas, Inc. (a) | 2,651 | 17,947 | ||||||
Oasis Petroleum, Inc. (a) | 5,639 | 89,378 | ||||||
Oceaneering International, Inc. | 3,279 | 152,769 | ||||||
Oil States International, Inc. (a) | 2,079 | 77,401 | ||||||
Pacific Ethanol, Inc. (a) | 938 | 9,680 | ||||||
Panhandle Oil And Gas, Inc. | 407 | 8,421 | ||||||
Parker Drilling Co. (a) | 5,234 | 17,377 | ||||||
Parsley Energy, Inc. (a) | 63,429 | 1,104,933 |
Table of Contents
Patterson-Uti Energy, Inc. | 5,898 | 110,971 | ||||||
PBF Energy, Inc. | 3,472 | 98,674 | ||||||
PDC Energy, Inc. (a) | 1,626 | 87,219 | ||||||
Peabody Energy Corp. | 11,468 | 25,115 | ||||||
Penn Virginia Corp. (a) | 2,685 | 11,760 | ||||||
PHI, Inc. (a) | 508 | 15,250 | ||||||
Pioneer Energy Services Corp. (a) | 2,566 | 16,268 | ||||||
QEP Resources, Inc. | 69,033 | 1,277,801 | ||||||
Renewable Energy Group, Inc. (a) | 1,777 | 20,542 | ||||||
REX American Resources Corp. (a) | 268 | 17,056 | ||||||
Rex Energy Corp. (a) | 2,007 | 11,219 | ||||||
Rice Energy, Inc. (a) | 40,539 | 844,427 | ||||||
Ring Energy, Inc. (a) | 921 | 10,306 | ||||||
Rosetta Resources, Inc. (a) | 3,074 | 71,132 | ||||||
Rowan Companies Plc | 5,010 | 105,761 | ||||||
RPC, Inc. | 2,034 | 28,130 | ||||||
RSP Permian, Inc. (a) | 2,245 | 63,107 | ||||||
Sanchez Energy Corp. (a) | 2,178 | 21,344 | ||||||
Sandridge Energy, Inc. (a) | 17,788 | 15,600 | ||||||
Scorpio Tankers, Inc. | 7,214 | 72,789 | ||||||
Seacor Holdings, Inc. (a) | 735 | 52,141 | ||||||
Seadrill Ltd | 15,032 | 155,431 | ||||||
Seventy Seven Energy, Inc. (a) | 2,255 | 9,674 | ||||||
Ship Finance International Ltd | 2,401 | 39,184 | ||||||
SM Energy Co. | 2,740 | 126,369 | ||||||
Stone Energy Corp. (a) | 2,387 | 30,052 | ||||||
Sunoco L.P. | 51,355 | 2,326,382 | ||||||
Superior Energy Services, Inc. | 6,055 | 127,397 | ||||||
Synergy Resources Corp. (a) | 3,816 | 43,617 | ||||||
Targa Resources Corp. | 1,154 | 102,960 | ||||||
Teekay Corp. | 1,139 | 48,772 | ||||||
Teekay Tankers Ltd | 3,473 | 22,957 | ||||||
Tesco Corp. | 1,558 | 16,982 | ||||||
Tetra Technologies, Inc. (a) | 3,356 | 21,411 | ||||||
Tidewater, Inc. | 1,899 | 43,164 | ||||||
TransAtlantic Petroleum Ltd (a) | 1,176 | 6,009 | ||||||
Triangle Petroleum Corp. (a) | 2,023 | 10,155 | ||||||
Ultra Petroleum Corp. (a) | 3,233 | 40,477 |
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Unit Corp. (a) | 2,052 | 55,650 | ||||||
W&T Offshore, Inc. | 1,527 | 8,368 | ||||||
Western Refining, Inc. | 27,525 | 1,200,641 | ||||||
Westmoreland Coal Co. (a) | 636 | 13,216 | ||||||
Whiting Petroleum Corp. (a) | 44,010 | 1,478,736 | ||||||
World Fuel Services Corp. | 2,364 | 113,354 | ||||||
WPX Energy, Inc. (a) | 8,315 | 102,108 | ||||||
|
| |||||||
34,827,404 | ||||||||
|
| |||||||
Financials - 27.53% | ||||||||
1st Source Corp. | 622 | 21,223 | ||||||
Acadia Realty Trust | 2,788 | 81,159 | ||||||
Access National Corp. | 271 | 5,268 | ||||||
AG Mortgage Investment Trust, Inc. | 1,396 | 24,123 | ||||||
Agree Realty Corp. | 739 | 21,557 | ||||||
Alexander & Baldwin, Inc. | 77,968 | 3,071,939 | ||||||
Alexander’s, Inc. | 7 | 2,870 | ||||||
Alexandria Real Estate Equity, Inc. | 2,885 | 252,322 | ||||||
Alleghany Corp. (a) | 7,349 | 3,444,917 | ||||||
Allied World Assurance Co Holdings, AG. | 3,867 | 167,132 | ||||||
Allstate Corp. | 62,175 | 4,033,292 | ||||||
Altisource Asset Management Corp. (a) | 14 | 2,020 | ||||||
Altisource Residential Corp. | 2,399 | 40,423 | ||||||
American Assets Trust, Inc. | 25,147 | 986,014 | ||||||
American Campus Communities, Inc. | 4,525 | 170,547 | ||||||
American Capital Mortgage Investment Corp. | 2,286 | 36,553 | ||||||
American Equity Investment Life Holding Co. | 3,174 | 85,635 | ||||||
American Financial Goup, Inc. | 2,780 | 180,811 | ||||||
American Homes 4 Rent | 86,874 | 1,393,459 | ||||||
American National BankShares, Inc. | 388 | 9,238 | ||||||
American National Insurance Co. | 295 | 30,184 | ||||||
American Residential Properties, Inc. | 1,310 | 24,235 | ||||||
Ameris Bancorp | 1,285 | 32,498 | ||||||
Amerisafe, Inc. | 831 | 39,107 | ||||||
Ames National Corp. | 339 | 8,509 | ||||||
Amtrust Financial Services, Inc. | 1,479 | 96,889 | ||||||
Anchor BanCorp Wisconsin, Inc. (a) | 260 | 9,875 | ||||||
Anworth Mortgage Asset Corp. | 4,477 | 22,072 | ||||||
Aon Plc | 38,510 | 3,838,677 |
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Apartment Investment & Management Co. | 6,243 | 230,554 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 2,453 | 40,303 | ||||||
Apollo Residential Mortgage, Inc. | 1,315 | 19,317 | ||||||
Apple Hospitality REIT, Inc. | 7,503 | 141,582 | ||||||
Arch Capital Group Ltd (a) | 5,001 | 334,867 | ||||||
Ares Cap Corp. | 359,275 | 5,913,667 | ||||||
Ares Commercial Real Estate Corp. | 1,196 | 13,622 | ||||||
Argo Group International Holdings Ltd | 1,143 | 63,665 | ||||||
Armada Hoffler Properties, Inc. | 1,300 | 12,987 | ||||||
Armour Residential REIT, Inc. | 14,298 | 40,177 | ||||||
Arrow Financial Corp. | 452 | 12,218 | ||||||
Arthur J. Gallagher & Co. | 107,695 | 5,093,974 | ||||||
Ashford Hospitality Prime, Inc. | 1,075 | 16,146 | ||||||
Ashford Hospitality Trust, Inc. | 3,453 | 29,212 | ||||||
Aspen Insurance Holdings Ltd | 2,521 | 120,756 | ||||||
Associated Banc Corp. | 6,153 | 124,721 | ||||||
Associated Estates Realty Corp. | 2,348 | 67,223 | ||||||
Assurant, Inc. | 2,749 | 184,183 | ||||||
Assured Guaranty Ltd | 6,110 | 146,579 | ||||||
Astoria Financial Corp. | 3,651 | 50,347 | ||||||
Atlas Financial Holdings, Inc. (a) | 263 | 5,215 | ||||||
AV Homes, Inc. (a) | 441 | 6,337 | ||||||
Axis Capital Holdings Ltd | 4,085 | 218,016 | ||||||
Baldwin & Lyons, Inc. | 503 | 11,579 | ||||||
Banc of California, Inc. | 1,409 | 19,374 | ||||||
BancFirst Corp. | 282 | 18,457 | ||||||
Banco Latinoamericano De Comerico | 1,263 | 40,643 | ||||||
Bancorpsouth, Inc. | 118,394 | 3,049,829 | ||||||
Bank Mutual Corp. | 1,852 | 14,205 | ||||||
Bank of Hawaii Corp. | 1,764 | 117,624 | ||||||
Bank Of Marin Bancorp | 230 | 11,700 | ||||||
Bank Of The Ozarks, Inc. | 56,170 | 2,569,777 | ||||||
BankFinancial Corp. | 722 | 8,505 | ||||||
BankUnited, Inc. | 81,085 | 2,913,384 | ||||||
Banner Corp. | 845 | 40,501 | ||||||
Bar Harbor Bankshares | 209 | 7,405 | ||||||
BB&T Corp. | 109,938 | 4,431,601 | ||||||
BBCN Bancorp, Inc. | 3,210 | 47,476 |
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BBX Capital Corp. (a) | 93 | 1,510 | ||||||
Bear State Financial, Inc. (a) | 507 | 4,735 | ||||||
Beneficial Bancorp, Inc. (a) | 3,317 | 41,429 | ||||||
Berkshire Hills Bancorp, Inc. | 1,181 | 33,635 | ||||||
BioMed Realty Trust, Inc. | 8,206 | 158,704 | ||||||
Blue Hills Bancorp, Inc. (a) | 1,217 | 17,038 | ||||||
Bluerock Resident Growth REIT, Inc. - Class A | 771 | 9,761 | ||||||
BNC Bancorp | 950 | 18,363 | ||||||
BOK Financial Corp. | 1,153 | 80,226 | ||||||
Boston Private Financial Holdings, Inc. | 3,392 | 45,487 | ||||||
Boston Properties, Inc. | 35,166 | 4,256,493 | ||||||
Brandywine Realty Trust | 7,247 | 96,240 | ||||||
Bridge Bancorp, Inc. | 489 | 13,051 | ||||||
Bridge Capital Holdings (a) | 377 | 11,235 | ||||||
Brixmor Property Group, Inc. | 6,923 | 160,129 | ||||||
Brookline Bancorp, Inc. | 2,906 | 32,809 | ||||||
Brown & Brown, Inc. | 4,651 | 152,832 | ||||||
Bryn Mawr Bank Corp. | 681 | 20,539 | ||||||
BSB Bancorp, Inc. (a) | 304 | 6,721 | ||||||
C1 Financial, Inc. (a) | 155 | 3,004 | ||||||
Calamos Asset Management, Inc. | 765 | 9,371 | ||||||
Camden National Corp. | 308 | 11,920 | ||||||
Camden Property Trust | 3,496 | 259,683 | ||||||
Campus Crest Communities, Inc. | 2,718 | 15,058 | ||||||
Capital Bank Financial Corp. (a) | 62,483 | 1,816,381 | ||||||
Capital City Bank Group, Inc. | 427 | 6,520 | ||||||
Capital Southwest Corp. | 70,615 | 3,525,807 | ||||||
Capitol Federal Financial, Inc. | 5,653 | 68,062 | ||||||
Capstead Mortgage Corp. | 4,066 | 45,133 | ||||||
Cardinal Financial Corp. | 1,268 | 27,630 | ||||||
Cascade Bancorp (a) | 1,174 | 6,081 | ||||||
Cash Amer International, Inc. | 1,090 | 28,547 | ||||||
CatchMark Timber Trust, Inc. | 1,543 | 17,853 | ||||||
Cathay General Bancorp | 3,220 | 104,489 | ||||||
CBL & Associates Properties, Inc. | 6,793 | 110,047 | ||||||
Cedar Realty Trust, Inc. | 3,713 | 23,763 | ||||||
CenterState Banks, Inc. | 1,792 | 24,210 | ||||||
Central Pacific Financial Corp. | 910 | 21,612 |
Table of Contents
Century Bancorp, Inc. | 136 | 5,530 | ||||||
Chambers Street Properties | 9,750 | 77,512 | ||||||
Charles Schwab Corp. | 61,185 | 1,997,690 | ||||||
Charter Financial Corp. | 655 | 8,129 | ||||||
Chatham Lodging Trust | 1,568 | 41,505 | ||||||
Chemical Financial Corp. | 1,397 | 46,185 | ||||||
Chesapeake Lodging Trust | 2,429 | 74,036 | ||||||
Chimera Investment Corp. | 8,565 | 117,426 | ||||||
CIFC Corp. | 321 | 2,546 | ||||||
CIT Group, Inc. | 111,525 | 5,184,797 | ||||||
Citizens & Northern Corp. | 562 | 11,549 | ||||||
Citizens, Inc. (a) | 1,746 | 13,025 | ||||||
City Holding Co. | 615 | 30,289 | ||||||
City National Corp. | 1,929 | 174,362 | ||||||
Clifton Bancorp, Inc. | 983 | 13,752 | ||||||
CNB Financial Corp., Inc. | 631 | 11,610 | ||||||
CNO Financial Group, Inc. | 7,912 | 145,185 | ||||||
Cobiz Financial, Inc. | 1,512 | 19,762 | ||||||
Colony Capital, Inc. | 4,581 | 103,760 | ||||||
Columbia Banking System, Inc. | 2,352 | 76,534 | ||||||
Columbia Property Trust, Inc. | 4,385 | 107,652 | ||||||
Commerce Bancshares, Inc. | 3,316 | 155,089 | ||||||
Communications Sales & Leasing, Inc. | 4,842 | 119,694 | ||||||
Community Bank System, Inc. | 1,666 | 62,925 | ||||||
Community Trust Bancorp, Inc. | 686 | 23,921 | ||||||
CommunityOne Bancorp (a) | 512 | 5,514 | ||||||
ConnectOne Bancorp, Inc. | 1,160 | 24,975 | ||||||
Consolidated-Tomoka Land Co. | 131 | 7,551 | ||||||
Corenergy Infrastructure Trust, Inc. | 2,080 | 13,146 | ||||||
Corporate Office Properties Trust | 3,839 | 90,370 | ||||||
Corrections Corp Of America | 4,738 | 156,733 | ||||||
Cousins Properties, Inc. | 8,770 | 91,033 | ||||||
Cowen Group, Inc. (a) | 4,301 | 27,526 | ||||||
Crawford & Co. | 863 | 7,275 | ||||||
Cu Bancorp (a) | 656 | 14,537 | ||||||
Cubesmart | 1,468 | 33,999 | ||||||
Cullen/Frost Bankers, Inc. | 2,184 | 171,619 | ||||||
Customers Bancorp, Inc. (a) | 1,049 | 28,208 |
Table of Contents
CVB Financial Corp. | 173,101 | 3,048,309 | ||||||
CyrusOne, Inc. | 160 | 4,712 | ||||||
CYS Investments, Inc. | 6,897 | 53,314 | ||||||
DCT Industrial Trust, Inc. | 3,553 | 111,706 | ||||||
DDR Corp. | 12,163 | 188,040 | ||||||
Diamondrock Hospitality Co. | 8,146 | 104,350 | ||||||
Dime Community Bancshares, Inc. | 1,251 | 21,192 | ||||||
Discover Financial Services | 57,416 | 3,308,310 | ||||||
Donegal Group, Inc. | 487 | 7,417 | ||||||
Douglas Emmett, Inc. | 51,058 | 1,375,503 | ||||||
Duke Realty Corp. | 13,896 | 258,049 | ||||||
Dupont Fabros Technology, Inc. | 1,673 | 49,270 | ||||||
Dynex Capital, Inc. | 2,809 | 21,405 | ||||||
E*TRADE Financial Corp. (a) | 11,645 | 348,768 | ||||||
Eagle Bancorp, Inc. (a) | 260 | 11,430 | ||||||
East West Bancorp, Inc. | 74,701 | 3,348,099 | ||||||
Eastgroup Properties, Inc. | 44,587 | 2,507,127 | ||||||
Education Realty Trust, Inc. | 1,964 | 61,591 | ||||||
EMC Insurance Group, Inc. | 368 | 9,213 | ||||||
Empire State Realty Trust, Inc. | 2,394 | 40,842 | ||||||
Employers Holdings, Inc. | 547 | 12,461 | ||||||
Encore Capital Group, Inc. (a) | 59,163 | 2,528,627 | ||||||
Endurance Specialty Holdings Ltd | 1,844 | 121,151 | ||||||
Enova International, Inc. (a) | 154 | 2,877 | ||||||
Enstar Group Ltd (a) | 18,641 | 2,888,423 | ||||||
Enterprise Bancorp, Inc. | 309 | 7,243 | ||||||
Enterprise Financial Services Corp. | 820 | 18,671 | ||||||
EPR Properties | 2,318 | 126,980 | ||||||
Equity Commonwealth | 5,194 | 133,330 | ||||||
Equity One, Inc. | 2,711 | 63,275 | ||||||
Equity Residential | 50,123 | 3,517,131 | ||||||
Essex Property REIT, Inc. | 11,030 | 2,343,875 | ||||||
EverBank Financial Corp. | 3,908 | 76,792 | ||||||
Everest Re Group Ltd | 1,799 | 327,436 | ||||||
Excel Trust, Inc. | 1,979 | 31,209 | ||||||
Ezcorp, Inc. (a) | 2,213 | 16,443 | ||||||
F.N.B. Corp. | 7,107 | 101,772 | ||||||
Farmers Capital Bank Corp. (a) | 288 | 8,188 |
Table of Contents
FBL Financial Group, Inc. | 387 | 22,338 | ||||||
FCB Financial Holdings, Inc. (a) | 1,113 | 35,393 | ||||||
Federal Agricultural Mortgage Corp. | 434 | 12,612 | ||||||
Federated National Holding Co. | 590 | 14,278 | ||||||
FelCor Lodging Trust, Inc. | 5,728 | 56,593 | ||||||
Fidelity & Guaranty Life | 488 | �� | 11,531 | |||||
Fidelity National Financial Ventures Group (a) | 3,214 | 49,431 | ||||||
Fidelity Southern Corp. | 685 | 11,946 | ||||||
Fifth Third Bancorp | 191,193 | 3,980,638 | ||||||
Financial Institutions, Inc. | 667 | 16,568 | ||||||
First American Financial Corp. | 137,074 | 5,100,524 | ||||||
First Bancorp | 839 | 13,995 | ||||||
First Bancorp P.R. (a) | 4,466 | 21,526 | ||||||
First Bancorp, Inc. | 457 | 8,884 | ||||||
First Busey Corp. | 3,099 | 20,360 | ||||||
First Business Financial Services, Inc. | 147 | 6,891 | ||||||
First Cash Financial Services, Inc. (a) | 90 | 4,103 | ||||||
First Citizens Bancshares, Inc. | 310 | 81,542 | ||||||
First Commonwealth Financial Corp. | 3,592 | 34,447 | ||||||
First Community Bancshares, Inc. | 714 | 13,009 | ||||||
First Connecticut Bancorp, Inc. | 632 | 10,030 | ||||||
First Defiance Financial Corp. | 384 | 14,412 | ||||||
First Financial Bancorp | 2,440 | 43,774 | ||||||
First Financial Bankshares, Inc. | 1,096 | 37,965 | ||||||
First Financial Corp. | 445 | 15,913 | ||||||
First Horizon National Corp. | 9,444 | 147,987 | ||||||
First Industrial Realty Trust, Inc. | 4,457 | 83,480 | ||||||
First Interstate BancSystem, Inc. | 769 | 21,332 | ||||||
First Merchants Corp. | 1,515 | 37,420 | ||||||
First Midwest Bancorp, Inc. | 3,172 | 60,173 | ||||||
First NBC Bank Holding Co. (a) | 619 | 22,284 | ||||||
First Niagara Financial Group, Inc. | 14,288 | 134,879 | ||||||
First of Long Island Corp. | 562 | 15,579 | ||||||
First Potomac Realty Trust | 2,372 | 24,432 | ||||||
First Republic Bank | 5,705 | 359,586 | ||||||
Firstmerit Corp. | 6,706 | 139,686 | ||||||
Flagstar Bancorp, Inc. (a) | 908 | 16,780 | ||||||
Flushing Financial Corp. | 1,243 | 26,115 |
Table of Contents
Forest City Enterprises, Inc. (a) | 8,744 | 193,242 | ||||||
Forestar Group, Inc. (a) | 1,341 | 17,648 | ||||||
Fox Chase Bancorp, Inc. | 486 | 8,223 | ||||||
Franklin Financial Network, Inc. (a) | 228 | 5,230 | ||||||
Franklin Street Properties Corp. | 3,615 | 40,886 | ||||||
FRP Holdings, Inc. (a) | 263 | 8,529 | ||||||
Fulton Financial Corp. | 7,162 | 93,536 | ||||||
Gain Capital Holdings, Inc. | 980 | 9,369 | ||||||
Gaming and Leisure Properties, Inc. | 3,043 | 111,556 | ||||||
Genworth Financial, Inc. (a) | 19,971 | 151,180 | ||||||
German American Bancorp, Inc. | 600 | 17,670 | ||||||
Getty Realty Corp. | 1,104 | 18,061 | ||||||
Glacier Bancorp, Inc. | 3,057 | 89,937 | ||||||
Gladstone Commercial Corp. | 837 | 13,861 | ||||||
Global Indemnity Plc (a) | 373 | 10,474 | ||||||
Government Properties Income Trust | 914 | 16,955 | ||||||
Gramercy Property Trust, Inc. | 2,290 | 53,517 | ||||||
Great Ajax Corp. | 395 | 5,601 | ||||||
Great Southern Bancorp, Inc. | 415 | 17,488 | ||||||
Great Western Bancorp, Inc. | 1,630 | 39,299 | ||||||
Green Bancorp, Inc. (a) | 402 | 6,175 | ||||||
Green Dot Corp. (a) | 1,846 | 35,296 | ||||||
Greenlight Capital Re Ltd (a) | 1,258 | 36,696 | ||||||
Guaranty Bancorp | �� | 609 | 10,055 | |||||
Hallmark Financial Services, Inc. (a) | 653 | 7,431 | ||||||
Hampton Roads Bankshares, Inc. (a) | 1,664 | 3,461 | ||||||
Hancock Holding Co. | 3,158 | 100,772 | ||||||
Hanmi Financial Corp. | 1,348 | 33,484 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,374 | 27,549 | ||||||
Hanover Insurance Group, Inc. | 1,819 | 134,661 | ||||||
Hatteras Financial Corp. | 4,105 | 66,912 | ||||||
HCC Insurance Holdings, Inc. | 3,855 | 296,218 | ||||||
HCI Group, Inc. | 327 | 14,457 | ||||||
Healthcare Realty Trust, Inc. | 4,064 | 94,529 | ||||||
Healthcare Trust of America, Inc. | 4,580 | 109,691 | ||||||
Heartland Financial USA, Inc. | 666 | 24,789 | ||||||
Heritage Commerce Corp. | 855 | 8,217 | ||||||
Heritage Financial Corp. | 1,344 | 24,017 |
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Heritage Financial Group, Inc. | 246 | 7,424 | ||||||
Heritage Insurance Holdings, Inc. (a) | 398 | 9,150 | ||||||
Heritage Oaks Bancorp | 965 | 7,595 | ||||||
Hersha Hospitality Trust | 1,977 | 50,677 | ||||||
Highwoods Properties, Inc. | 3,799 | 151,770 | ||||||
Hilltop Holdings, Inc. (a) | 1,995 | 48,060 | ||||||
Hingham Institution for Savings | 49 | 5,640 | ||||||
Home Bancshares, Inc. | 467 | 17,074 | ||||||
Home Properties, Inc. | 2,331 | 170,280 | ||||||
Homestreet, Inc. (a) | 621 | 14,171 | ||||||
Hometrust Bancshares, Inc. (a) | 802 | 13,442 | ||||||
Horace Mann Educators Corp. | 110,391 | 4,016,025 | ||||||
Horizon Bancorp | 366 | 9,135 | ||||||
Hospitality Properties Trust | 6,054 | 174,476 | ||||||
Hudson City Bancorp, Inc. | 21,251 | 209,960 | ||||||
Hudson Pacific Properties, Inc. | 3,014 | 85,507 | ||||||
Hudson Valley Holding Corp. | 595 | 16,785 | ||||||
Huntington Bancshares, Inc. | 310,142 | 3,507,706 | ||||||
Iberiabank Corp. | 39,667 | 2,706,479 | ||||||
Independence Holding Co. | 363 | 4,788 | ||||||
Independence Realty Trust, Inc. | 936 | 7,048 | ||||||
Independent Bank Corp. | 69,215 | 3,245,491 | ||||||
Independent Bank Group, Inc. | 388 | 16,645 | ||||||
Infinity Property & Casualty Corp. | 460 | 34,886 | ||||||
Infrareit, Inc. | 852 | 24,163 | ||||||
Inland Real Estate Corp. | 2,409 | 22,693 | ||||||
International Banchares Corp. | 2,200 | 59,114 | ||||||
INTL FCStone, Inc. (a) | 452 | 15,024 | ||||||
Invesco Mortgage Capital, Inc. | 5,076 | 72,688 | ||||||
Investment Technology Group, Inc. | 1,201 | 29,785 | ||||||
Investors Bancorp, Inc. | 601,089 | 7,393,395 | ||||||
Investors Real Estate Trust | 5,134 | 36,657 | ||||||
Iron Mountain, Inc. | 5,131 | 159,061 | ||||||
iStar Financial, Inc. (a) | 3,363 | 44,795 | ||||||
J.G. Wentworth Co. (a) | 560 | 5,152 | ||||||
James River Group Holdings Ltd | 530 | 13,711 | ||||||
Janus Capital Group, Inc. | 5,429 | 92,944 | ||||||
Jones Lang LaSalle, Inc. | 492 | 84,132 |
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Kansas City Life Insurance Co. | 142 | 6,491 | ||||||
KCG Holdings, Inc. (a) | 1,598 | 19,703 | ||||||
Kearny Financial Corp. (a) | 3,741 | 41,750 | ||||||
Kemper Corp. | 1,762 | 67,925 | ||||||
Kennedy-Wilson Holdings, Inc. | 141,813 | 3,487,182 | ||||||
Kilroy Realty Corp. | 25,189 | 1,691,441 | ||||||
Kimco Realty Corp. | 93,695 | 2,111,885 | ||||||
Kite Realty Group Trust | 3,377 | 82,635 | ||||||
Ladder Capital Corp. | 1,563 | 27,118 | ||||||
Ladenburg Thalmann Financial Services, Inc. (a) | 3,784 | 13,244 | ||||||
Lakeland Bancorp, Inc. | 1,717 | 20,415 | ||||||
Lakeland Financial Corp. | 685 | 29,708 | ||||||
LaSalle Hotel Properties | 35,231 | 1,249,291 | ||||||
LegacyTexas Financial Group, Inc. | 1,920 | 57,984 | ||||||
Legg Mason, Inc. | 2,673 | 137,740 | ||||||
Lexington Realty Trust | 8,415 | 71,359 | ||||||
Liberty Property Trust | 6,020 | 193,964 | ||||||
Loews Corp. | 38,952 | 1,500,042 | ||||||
LPL Financial Holdings, Inc. | 84,525 | 3,929,567 | ||||||
LTC Properties, Inc. | 1,380 | 57,408 | ||||||
Mack Cali Realty Corp. | 3,600 | 66,348 | ||||||
Maiden Holdings Ltd | 1,903 | 30,029 | ||||||
MainSource Financial Group, Inc. | 854 | 18,745 | ||||||
Marlin Business Services Corp. | 351 | 5,925 | ||||||
Marsh & McLennan Companies, Inc. | 70,262 | 3,983,855 | ||||||
MB Financial, Inc. | 3,014 | 103,802 | ||||||
MBIA, Inc. (a) | 6,314 | 37,947 | ||||||
McGraw Hill Financial, Inc. | 18,359 | 1,844,162 | ||||||
Meadowbrook Insurance Group, Inc. | 2,056 | 17,682 | ||||||
Medical Properties Trust, Inc. | 8,531 | 111,841 | ||||||
Mercantile Bank Corp. | 724 | 15,501 | ||||||
Merchants Bancshares, Inc. | 242 | 8,003 | ||||||
Meridian Bancorp, Inc. (a) | 1,868 | 25,050 | ||||||
Meta Financial Group, Inc. | 237 | 10,172 | ||||||
Metro Bancorp, Inc. | 479 | 12,521 | ||||||
MFA Financial, Inc. | 15,237 | 112,601 | ||||||
MGIC Investment Corp. (a) | 7,595 | 86,431 | ||||||
Mid-America Apartment Communities, Inc. | 3,042 | 221,488 |
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MidWestOne Financial Group, Inc. | 283 | 9,316 | ||||||
Moelis & Co. | 91 | 2,613 | ||||||
Monmouth Real Estate Investment Corp. | 2,600 | 25,272 | ||||||
Monogram Residential Trust, Inc. | 6,732 | 60,723 | ||||||
Montpelier Re Holdings Ltd | 1,500 | 59,250 | ||||||
Moody’s Corp. | 13,595 | 1,467,716 | ||||||
Nasdaq OMX Group, Inc. | 106,094 | 5,178,448 | ||||||
National Bank Holdings Corp. | 1,436 | 29,912 | ||||||
National Bankshares, Inc | 306 | 8,954 | ||||||
National Communications Corp. (a) | 240 | 6,192 | ||||||
National General Holdings Corp. | 1,401 | 29,183 | ||||||
National Health Investors, Inc. | 1,014 | 63,172 | ||||||
National Interstate Corp. | 280 | 7,650 | ||||||
National Penn Bancshares, Inc. | 5,699 | 64,285 | ||||||
National Retail Properties, Inc. | 5,402 | 189,124 | ||||||
National Western Life Insurance Co. | 101 | 24,188 | ||||||
Nationstar Mortgage Holdings, Inc. (a) | 1,592 | 26,746 | ||||||
Navient Corp. | 94,759 | 1,725,561 | ||||||
Navigators Group, Inc. (a) | 35,809 | 2,777,346 | ||||||
NBT Bancorp, Inc. | 1,758 | 46,007 | ||||||
Nelnet, Inc. | 956 | 41,404 | ||||||
New Residential Investment Corp. | 8,099 | 123,429 | ||||||
New Senior Investment Group, Inc. | 2,695 | 36,032 | ||||||
New York Mortgage Trust, Inc. | 4,753 | 35,552 | ||||||
New York REIT, Inc. | 6,637 | 66,038 | ||||||
NewBridge Bancorp | 1,408 | 12,573 | ||||||
NewStar Financial, Inc. (a) | 1,022 | 11,242 | ||||||
Nexpoint Residential Trust, Inc. | 748 | 10,046 | ||||||
NMI Holdings, Inc. (a) | 2,092 | 16,778 | ||||||
Northfield Bancorp, Inc. | 218,206 | 3,284,000 | ||||||
Northstar Realty Finance Corp. | 13,943 | 221,694 | ||||||
Northwest Bancshares, Inc. | 3,859 | 49,472 | ||||||
OceanFirst Financial Corp. | 530 | 9,884 | ||||||
Ocwen Financial Corp. (a) | 4,321 | 44,074 | ||||||
OFG Bancorp | 1,947 | 20,774 | ||||||
Old National Bancorp | 4,760 | 68,830 | ||||||
Old Republic International Corp. | 10,705 | 167,319 | ||||||
Old Second Bancorp, Inc. (a) | 828 | 5,465 |
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Omega Healthcare Investors, Inc. | 5,369 | 184,318 | ||||||
One Liberty Properties, Inc. | 556 | 11,832 | ||||||
OneBeacon Insurance Group Ltd | 981 | 14,234 | ||||||
Oppenheimer Holdings, Inc. | 441 | 11,589 | ||||||
Opus Bank | 428 | 15,485 | ||||||
Orchid Island Capital, Inc. | 819 | 9,181 | ||||||
Oritani Financial Corp. | 1,842 | 29,564 | ||||||
Outfront Media, Inc. | 5,493 | 138,643 | ||||||
Pacific Continental Corp. | 822 | 11,122 | ||||||
Pacific Premier Bancorp, Inc. (a) | 849 | 14,399 | ||||||
PacWest Bancorp | 168,649 | 7,886,027 | ||||||
Palmetto Bancshares, Inc. | 232 | 4,587 | ||||||
Paramount Group, Inc. | 7,127 | 122,299 | ||||||
Park National Corp. | 511 | 44,646 | ||||||
Park Sterling Corp. | 1,917 | 13,802 | ||||||
Parkway Properties, Inc. | 3,486 | 60,796 | ||||||
Partnerre Ltd | 1,926 | 247,491 | ||||||
Peapack-Gladstone Financial Corp. | 615 | 13,665 | ||||||
Pebblebrook Hotel Trust | 83,164 | 3,566,072 | ||||||
Penns Woods Bancorp, Inc. | 209 | 9,215 | ||||||
Pennsylvania REIT | 2,774 | 59,197 | ||||||
Peoples Bancorp, Inc. | 725 | 16,922 | ||||||
Peoples Financial Services Corp. | 308 | 12,200 | ||||||
People’s United Financial, Inc. | 12,452 | 201,847 | ||||||
PHH Corp. (a) | 1,999 | 52,034 | ||||||
Physicians Realty Trust | 141,908 | 2,179,707 | ||||||
Pico Holdings, Inc. (a) | 976 | 14,367 | ||||||
Piedmont Office Realty Trust, Inc. | 6,210 | 109,234 | ||||||
Pinnacle Financial Partners, Inc. | 1,340 | 72,856 | ||||||
Piper Jaffray Companies. (a) | 693 | 30,243 | ||||||
Plum Creek Timber Co., Inc. | 4,160 | 168,771 | ||||||
Popular, Inc. (a) | 4,156 | 119,942 | ||||||
Post Properties, Inc. | 1,472 | 80,033 | ||||||
Potlatch Corp. | 468 | 16,530 | ||||||
Preferred Apartment Communities, Inc. | 831 | 8,268 | ||||||
Preferred Bank Los Angeles | 479 | 14,394 | ||||||
Primerica, Inc. | 2,077 | 94,898 | ||||||
PrivateBancorp, Inc. | 3,154 | 125,592 |
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ProAssurance Corp. | 2,291 | 105,867 | ||||||
Prosperity Bancshares, Inc. | 2,831 | 163,462 | ||||||
Provident Financial Services, Inc. | 2,651 | 50,342 | ||||||
PS Business Parks, Inc. | 712 | 51,371 | ||||||
QCR Holdings, Inc. | 449 | 9,770 | ||||||
Radian Group, Inc. | 7,714 | 144,715 | ||||||
Rait Financial Trust | 3,479 | 21,257 | ||||||
Ramco-Gershenson Properties Trust | 3,225 | 52,632 | ||||||
Raymond James Financial, Inc. | 82,038 | 4,887,824 | ||||||
Rayonier, Inc. | 5,119 | 130,790 | ||||||
RCS Capital Corp. | 2,001 | 15,328 | ||||||
Re/Max Holdings, Inc. | 424 | 15,056 | ||||||
Realogy Holdings Corp. (a) | 3,733 | 174,406 | ||||||
Redwood Trust, Inc. | 3,492 | 54,824 | ||||||
Regency Centers Corp. | 48,708 | 2,872,798 | ||||||
Regional Management Corp. (a) | 442 | 7,894 | ||||||
Reinsurance Group of America, Inc. | 92,981 | 8,821,107 | ||||||
RenaissanceRe Holdings Ltd | 1,874 | 190,230 | ||||||
Renasant Corp. | 1,298 | 42,315 | ||||||
Republic Bancorp, Inc. | 381 | 9,792 | ||||||
Resource America, Inc. | 714 | 6,005 | ||||||
Resource Capital Corp. | 5,612 | 21,718 | ||||||
Retail Opportunity Investments Corp. | 3,803 | 59,403 | ||||||
Retail Properties of America, Inc. | 9,510 | 132,474 | ||||||
Rexford Industrial Realty, Inc. | 2,256 | 32,892 | ||||||
RLI Corp. | 1,773 | 91,114 | ||||||
RLJ Lodging Trust | 3,408 | 101,490 | ||||||
Rouse Properties, Inc. | 1,428 | 23,348 | ||||||
S&T Bancorp, Inc. | 1,391 | 41,160 | ||||||
Sabra Health Care REIT, Inc. | 2,048 | 52,716 | ||||||
Safeguard Scientifics, Inc. (a) | 846 | 16,463 | ||||||
Safety Insurance Group, Inc. | 618 | 35,665 | ||||||
Sandy Spring Bancorp, Inc. | 985 | 27,560 | ||||||
Saul Centers, Inc. | 46 | 2,263 | ||||||
Seacoast Banking Corp. of Florida (a) | 849 | 13,414 | ||||||
SEI Investments Co. | 150,162 | 7,362,443 | ||||||
Select Income REIT | 2,601 | 53,685 | ||||||
Selective Insurance Group, Inc. | 2,374 | 66,591 |
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Senior Housing Properties Trust | 9,571 | 167,971 | ||||||
ServisFirst Bancshares, Inc. | 869 | 32,648 | ||||||
Sierra Bancorp | 513 | 8,880 | ||||||
Signature Bank (a) | 164 | 24,008 | ||||||
Silver Bay Realty Trust Corp. | 94,498 | 1,539,372 | ||||||
Simmons First National Corp. | 1,183 | 55,222 | ||||||
Sl Green Realty Corp. | 27,662 | 3,039,777 | ||||||
SLM Corp. (a) | 115,510 | 1,140,084 | ||||||
South Street Financial Corp. | 928 | 70,519 | ||||||
Southside Bancshares, Inc. | 1,062 | 31,042 | ||||||
Southwest Bancorp, Inc. | 848 | 15,781 | ||||||
Sovran Self Storage, Inc. | 190 | 16,513 | ||||||
Spirit Realty Capital, Inc. | 17,831 | 172,426 | ||||||
Springleaf Holdings, Inc. (a) | 2,090 | 95,952 | ||||||
Square 1 Financial, Inc. (a) | 435 | 11,897 | ||||||
Stag Industrial, Inc. | 2,647 | 52,940 | ||||||
StanCorp Financial Group, Inc. | 1,704 | 128,839 | ||||||
Starwood Property Trust, Inc. | 9,696 | 209,143 | ||||||
Starwood Waypoint Residentl Trust | 1,515 | 35,996 | ||||||
State Auto Financial Corp. | 683 | 16,358 | ||||||
State Bank Financial Corp. | 1,478 | 32,073 | ||||||
State National Companies, Inc. | 1,235 | 13,375 | ||||||
State Street Corp. | 26,641 | 2,051,357 | ||||||
Sterling Bancorp | 3,794 | 55,772 | ||||||
Stewart Information Services Corp. | 937 | 37,293 | ||||||
Stifel Financial Corp. (a) | 39,119 | 2,258,731 | ||||||
Stock Yards Bancorp, Inc. | 637 | 24,072 | ||||||
Stonegate Bank | 356 | 10,563 | ||||||
Stonegate Mortgage Corp. (a) | 538 | 5,418 | ||||||
Store Capital Corp. | 1,469 | 29,527 | ||||||
Strategic Hotels & Resorts, Inc. (a) | 11,053 | 133,962 | ||||||
Suffolk Bancorp | 474 | 12,163 | ||||||
Summit Hotel Properties, Inc. | 3,644 | 47,408 | ||||||
Sun Bancorp, Inc. (a) | 287 | 5,525 | ||||||
Sun Communities, Inc. | 1,567 | 96,888 | ||||||
Sunstone Hotel Investors, Inc. | 8,435 | 126,609 | ||||||
Suntrust Banks, Inc. | 69,784 | 3,002,108 | ||||||
Susquehanna Bancshares, Inc. | 7,320 | 103,358 |
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SVB Financial Group (a) | 765 | 110,145 | ||||||
Symetra Financial Corp. | 169,517 | 4,097,226 | ||||||
Synovus Financial Corp. | 5,317 | 163,870 | ||||||
Talmer Bancorp, Inc. | 2,168 | 36,314 | ||||||
Taubman Centers, Inc. | 1,376 | 95,632 | ||||||
TCF Financial Corp. | 6,867 | 114,061 | ||||||
TD Ameritrade Holding Corp. | 146,030 | 5,376,825 | ||||||
Tejon Ranch Co. (a) | 508 | 13,061 | ||||||
Terreno Realty Corp. | 1,750 | 34,475 | ||||||
Territorial Bancorp, Inc. | 337 | 8,176 | ||||||
Texas Capital Bancshares, Inc. (a) | 1,711 | 106,493 | ||||||
TFS Financial Corp. | 2,650 | 44,573 | ||||||
The Bancorp, Inc. (a) | 1,346 | 12,491 | ||||||
The GEO Group, Inc. | 2,991 | 102,173 | ||||||
The Howard Hughes Corp. (a) | 948 | 136,076 | ||||||
The St. Joe Co. (a) | 1,891 | 29,367 | ||||||
Third Point Reinsurance Ltd (a) | 3,231 | 47,657 | ||||||
Tiptree Financial, Inc. | 1,179 | 8,548 | ||||||
Tompkins Financial Corp. | 625 | 33,575 | ||||||
Torchmark Corp. | 61,689 | 3,591,534 | ||||||
Towne Bank | 1,822 | 29,680 | ||||||
Trade Street Residential, Inc. | 833 | 5,548 | ||||||
TriCo Bancshares | 976 | 23,473 | ||||||
Tristate Capital Holdings, Inc. (a) | 897 | 11,598 | ||||||
Triumph Bancorp, Inc. (a) | 594 | 7,811 | ||||||
TrustCo Bank Corp. | 3,856 | 27,108 | ||||||
Trustmark Corp. | 2,759 | 68,920 | ||||||
Two Harbors Investment Corp. | 15,112 | 147,191 | ||||||
UMB Financial Corp. | 1,605 | 91,517 | ||||||
UMH Properties, Inc. | 1,043 | 10,221 | ||||||
Umpqua Holdings Corp. | 8,888 | 159,895 | ||||||
Union Bankshares Corp. | 1,824 | 42,390 | ||||||
United Bankshares, Inc. | 2,796 | 112,483 | ||||||
United Community Banks, Inc. | 1,949 | 40,676 | ||||||
United Community Financial Corp. | 1,984 | 10,614 | ||||||
United Financial Bancorp, Inc. | 1,823 | 24,519 | ||||||
United Fire Group, Inc. | 845 | 27,682 | ||||||
United Insurance Holdings Corp. | 711 | 11,049 |
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UnitedDevelopment Funding IV | 1,250 | 21,850 | ||||||
Univest Corp. of Pennsylvania | 702 | 14,293 | ||||||
Unum Group | 51,716 | 1,848,847 | ||||||
Validus Holdings Ltd | 3,471 | 152,689 | ||||||
Valley National Bancorp | 9,460 | 97,533 | ||||||
Virtus Investment Partners, Inc. | 263 | 34,782 | ||||||
W.P. Carey, Inc. | 4,211 | 248,196 | ||||||
W.R. Berkley Corp. | 32,649 | 1,695,463 | ||||||
Waddell & Reed Financial, Inc. | 236 | 11,165 | ||||||
Walker & Dunlop, Inc. (a) | 539 | 14,413 | ||||||
Walter Investment Management Corp. (a) | 1,535 | 35,105 | ||||||
Washington Federal, Inc. | 3,834 | 89,524 | ||||||
Washington Real Estate Investment Trust | 2,793 | 72,478 | ||||||
Washington Trust Bancorp, Inc. | 628 | 24,793 | ||||||
Waterstone Financial, Inc. | 1,342 | 17,714 | ||||||
Webster Financial Corp. | 3,651 | 144,397 | ||||||
Weingarten Realty Investors | 4,992 | 163,188 | ||||||
WesBanco, Inc. | 1,519 | 51,676 | ||||||
West Bancorporation, Inc. | 676 | 13,412 | ||||||
Westamerica Bancorporation | 1,047 | 53,031 | ||||||
Western Alliance Bancorporation (a) | 1,381 | 46,623 | ||||||
Western Asset Mortgage Capital Corp. | 1,859 | 27,457 | ||||||
White Mountains Insurance Group Ltd | 241 | 157,841 | ||||||
Whitestone REIT | 1,139 | 14,830 | ||||||
Wilshire Bancorp, Inc. | 2,871 | 36,261 | ||||||
Wintrust Financial Corp. | 1,911 | 102,009 | ||||||
World Acceptance Corp. (a) | 111 | 6,828 | ||||||
WP Glimcher, Inc. | 7,512 | 101,637 | ||||||
WSFS Financial Corp. | 1,165 | 31,863 | ||||||
Xenia Hotels & Resorts, Inc. | 4,489 | 97,591 | ||||||
XL Group Plc | 55,298 | 2,057,086 | ||||||
Yadkin Financial Corp. (a) | 977 | 20,467 | ||||||
Zions Bancorp | 8,154 | 258,766 | ||||||
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244,349,932 | ||||||||
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Health Care - 9.39% | ||||||||
ACADIA Pharmaceuticals, Inc. (a) | 265 | 11,098 | ||||||
Aceto Corp. | 149 | 3,670 | ||||||
Acorda Therapeutics, Inc. (a) | 157 | 5,233 |
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Adamas Pharmaceuticals, Inc. (a) | 419 | 10,986 | ||||||
Addus Homecare Corp. (a) | 29,584 | 824,210 | ||||||
Affymetrix, Inc. (a) | 2,228 | 24,330 | ||||||
Agenus, Inc. (a) | 640 | 5,523 | ||||||
Akebia Therapeutics, Inc. (a) | 985 | 10,136 | ||||||
Alere, Inc. (a) | 72,425 | 3,820,419 | ||||||
Alkermes Plc (a) | 1,023 | 65,820 | ||||||
Alliance HealthCare Services, Inc. (a) | 170 | 3,177 | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 5,018 | 68,646 | ||||||
Almost Family, Inc. (a) | 290 | 11,574 | ||||||
Amedisys, Inc. (a) | 231 | 9,178 | ||||||
Amphastar Pharmaceuticals, Inc. (a) | 420 | 7,384 | ||||||
Amsurg Corp. (a) | 95,747 | 6,697,503 | ||||||
Analogic Corp. | 63,546 | 5,013,779 | ||||||
AngioDynamics, Inc. (a) | 1,028 | 16,859 | ||||||
Anika Therapeutics, Inc. (a) | 127 | 4,195 | ||||||
Array Biopharma, Inc. (a) | 1,144 | 8,248 | ||||||
Arrowhead Research Corp. (a) | 1,082 | 7,736 | ||||||
AtriCure, Inc. (a) | 294 | 7,244 | ||||||
Becton Dickinson and Co. | 11,691 | 1,656,030 | ||||||
BioCryst Pharmaceuticals, Inc. (a) | 607 | 9,063 | ||||||
Bio-Rad Laboratories, Inc. (a) | 829 | 124,856 | ||||||
BioScrip, Inc. (a) | 2,805 | 10,182 | ||||||
Bio-Techne Corp. | 875 | 86,161 | ||||||
Boston Scientific Corp. (a) | 115,369 | 2,042,031 | ||||||
Brookdale Senior Living, Inc. (a) | 5,803 | 201,364 | ||||||
Bruker Corp. (a) | 46,941 | 958,066 | ||||||
Calithera Biosciences, Inc. (a) | 436 | 3,113 | ||||||
Capital Senior Living Corp. (a) | 52,660 | 1,290,170 | ||||||
Cardinal Health, Inc. | 33,348 | 2,789,560 | ||||||
Catalent, Inc. (a) | 196,375 | 5,759,679 | ||||||
Celldex Therapeutics, Inc. (a) | 391 | 9,861 | ||||||
Cerus Corp. (a) | 559 | 2,901 | ||||||
Community Health Systems, Inc. (a) | 95,118 | 5,989,580 | ||||||
Conmed Corp. | 1,103 | 64,272 | ||||||
Cross Country Healthcare, Inc. (a) | 481 | 6,099 | ||||||
Cryolife, Inc. | 1,176 | 13,265 | ||||||
Cutera, Inc. (a) | 163 | 2,523 |
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Cynosure, Inc. (a) | 80 | 3,086 | ||||||
Cytokinetics, Inc. (a) | 677 | 4,549 | ||||||
DaVita HealthCare Partners, Inc. (a) | 13,354 | 1,061,242 | ||||||
Dentsply International, Inc. | 4,173 | 215,118 | ||||||
Dermira, Inc. (a) | 315 | 5,528 | ||||||
Emergent Biosolutions, Inc. (a) | 358 | 11,796 | ||||||
Endocyte, Inc. (a) | 1,490 | 7,733 | ||||||
Ensign Group, Inc. | 56 | 2,859 | ||||||
Entellus Medical, Inc. (a) | 33 | 854 | ||||||
Exactech, Inc. (a) | 418 | 8,707 | ||||||
Five Star Quality Care, Inc. (a) | 1,781 | 8,549 | ||||||
Genesis Healthcare, Inc. (a) | 603 | 3,980 | ||||||
Geron Corp. (a) | 359 | 1,537 | ||||||
Greatbatch, Inc. (a) | 45,745 | 2,466,570 | ||||||
Haemonetics Corp. (a) | 1,090 | 45,082 | ||||||
Halyard Health, Inc. (a) | 1,865 | 75,532 | ||||||
Hanger, Inc. (a) | 1,505 | 35,277 | ||||||
Harvard Bioscience, Inc. (a) | 1,245 | 7,096 | ||||||
HCA Holdings, Inc. (a) | 84,525 | 7,668,108 | ||||||
Health Net, Inc. (a) | 2,590 | 166,071 | ||||||
Healthsouth Corp. | 42,595 | 1,961,926 | ||||||
Healthways, Inc. (a) | 1,239 | 14,843 | ||||||
Hill-Rom Holdings, Inc. | 200 | 10,866 | ||||||
ICON Plc (a) | 36,935 | 2,485,726 | ||||||
ICU Medical, Inc. (a) | 27,948 | 2,673,506 | ||||||
Ignyta, Inc. (a) | 289 | 4,361 | ||||||
Immunomedics, Inc. (a) | 243 | 987 | ||||||
INC Research Holdings, Inc. (a) | 49,280 | 1,977,114 | ||||||
Inovio Pharmaceuticals, Inc. (a) | 370 | 3,019 | ||||||
Integra Lifesciences Holdings Corp. (a) | 39,128 | 2,636,053 | ||||||
Invacare Corp. | 1,381 | 29,871 | ||||||
IPC Healthcare, Inc. (a) | 294 | 16,285 | ||||||
Kindred Healthcare, Inc. | 3,356 | 68,093 | ||||||
Laboratory Corp. of America Holdings (a) | 16,173 | 1,960,491 | ||||||
Lemaitre Vascular, Inc. | 282 | 3,401 | ||||||
Lexicon Pharmaceuticals, Inc. (a) | 972 | 7,825 | ||||||
LHC Group, Inc. (a) | 506 | 19,354 | ||||||
Lifepoint Hospitals, Inc. (a) | 1,606 | 139,642 |
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Loxo Oncology, Inc. (a) | 303 | 5,463 | ||||||
Luminex Corp. (a) | 1,599 | 27,599 | ||||||
Magellan Health, Inc. (a) | 1,100 | 77,077 | ||||||
Mallinckrodt Plc (a) | 31,525 | 3,711,123 | ||||||
McKesson Corp. | 3,406 | 765,703 | ||||||
MedAssets, Inc. (a) | 193 | 4,258 | ||||||
Medicines Co. (a) | 2,404 | 68,778 | ||||||
MEDNAX, Inc. (a) | 1,589 | 117,761 | ||||||
Meridian Bioscience, Inc. | 268 | 4,996 | ||||||
Merit Medical Systems, Inc. (a) | 1,831 | 39,440 | ||||||
Merrimack Pharmaceuticals, Inc. (a) | 246 | 3,042 | ||||||
National Healthcare Corp. | 406 | 26,386 | ||||||
Navidea Biopharmaceuticals, Inc. (a) | 1,212 | 1,951 | ||||||
Omeros Corp. (a) | 118 | 2,123 | ||||||
Omnicare, Inc. | 14,110 | 1,329,867 | ||||||
OraSure Technologies, Inc. (a) | 2,168 | 11,686 | ||||||
Orthofix International (a) | 797 | 26,397 | ||||||
Osiris Therapeutics, Inc. (a) | 109 | 2,121 | ||||||
Owens & Minor, Inc. | 2,554 | 86,836 | ||||||
Patterson Companies, Inc. | 1,570 | 76,380 | ||||||
PDL BioPharma, Inc. | 6,759 | 43,460 | ||||||
PerkinElmer, Inc. | 3,877 | 204,085 | ||||||
PharMerica Corp. (a) | 1,267 | 42,191 | ||||||
QIAGEN (a) | 9,294 | 230,398 | ||||||
Quidel Corp. (a) | 659 | 15,124 | ||||||
Quintiles Transitional Holdings, Inc. (a) | 167 | 12,126 | ||||||
Rigel Pharmaceuticals, Inc. (a) | 801 | 2,571 | ||||||
Rockwell Medical, Inc. (a) | 223 | 3,595 | ||||||
RTI Surgical, Inc. (a) | 402 | 2,597 | ||||||
Select Medical Holdings Corp. | 259 | 4,196 | ||||||
Spectrum Pharmaceuticals, Inc. (a) | 2,094 | 14,323 | ||||||
St. Jude Medical, Inc. | 27,131 | 1,982,462 | ||||||
Stemline Therapeutics, Inc. (a) | 507 | 5,967 | ||||||
Steris Corp. | 26,970 | 1,737,947 | ||||||
Surgical Care Affiliates, Inc. (a) | 22 | 844 | ||||||
SurModics, Inc. (a) | 460 | 10,773 | ||||||
Teleflex, Inc. | 1,668 | 225,931 | ||||||
The Cooper Companies, Inc. | 613 | 109,096 |
Table of Contents
Theravance Biopharma, Inc. (a) | 1,023 | 13,319 | ||||||
Theravance, Inc. | 449 | 8,113 | ||||||
Tokai Pharmaceuticals, Inc. (a) | 219 | 2,913 | ||||||
Tornier (a) | 644 | 16,094 | ||||||
TransEnterix, Inc. (a) | 1,048 | 3,144 | ||||||
Triple-S Management Corp. (a) | 969 | 24,865 | ||||||
Trupanion, Inc. (a) | 92 | 758 | ||||||
Unilife Corp. (a) | 1,081 | 2,324 | ||||||
Universal American Corp. (a) | 1,964 | 19,876 | ||||||
Vanda Pharmaceuticals, Inc. (a) | 333 | 4,226 | ||||||
VCA, Inc. (a) | 190 | 10,337 | ||||||
Verastem, Inc. (a) | 1,046 | 7,887 | ||||||
Versartis, Inc. (a) | 834 | 12,693 | ||||||
Vocera Communications, Inc. (a) | 342 | 3,916 | ||||||
VWR Corp. (a) | 210,326 | 5,622,014 | ||||||
Wright Medical Group, Inc. (a) | 1,025 | 26,917 | ||||||
XOMA Corp. (a) | 885 | 3,434 | ||||||
Zimmer Holdings, Inc. | 27,737 | 3,029,713 | ||||||
|
| |||||||
83,317,577 | ||||||||
|
| |||||||
Industrials - 13.32% | ||||||||
AAR Corp. | 1,420 | 45,255 | ||||||
ABM Industries | 2,254 | 74,089 | ||||||
Acacia Research Corp. | 2,169 | 19,022 | ||||||
Acco Brands Corp. (a) | 4,435 | 34,460 | ||||||
Actuant Corp. | 2,407 | 55,578 | ||||||
AECOM (a) | 5,247 | 173,571 | ||||||
Aegion Corp. (a) | 1,471 | 27,861 | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 1,323 | 27,267 | ||||||
AeroVironment, Inc. (a) | 775 | 20,212 | ||||||
AGCO Corp. | 3,044 | 172,838 | ||||||
Air Lease Corp. | 3,909 | 132,515 | ||||||
Air Transport Services Group, Inc. (a) | 2,204 | 23,120 | ||||||
Aircastle Ltd | 2,489 | 56,426 | ||||||
Alamo Group, Inc. | 388 | 21,200 | ||||||
Albany International Corp. | 985 | 39,203 | ||||||
Allison Transmission Holdings, Inc. | 3,277 | 95,885 | ||||||
Altra Industrial Motion Corp. | 85,209 | 2,315,981 | ||||||
AMERCO | 152 | 49,690 |
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Ameresco, Inc. (a) | 823 | 6,296 | ||||||
American Railcar Industries, Inc. | 288 | 14,008 | ||||||
American Science & Engineering, Inc. | 275 | 12,048 | ||||||
Applied Industrial Technologies, Inc. | 49,557 | 1,964,935 | ||||||
ArcBest Corp. | 709 | 22,546 | ||||||
Argan, Inc. | 62 | 2,500 | ||||||
Armstrong World Industries, Inc. (a) | 578 | 30,796 | ||||||
Astec Industries, Inc. | 799 | 33,414 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 1,005 | 55,235 | ||||||
Babcock & Wilcox Co. | 3,450 | 113,160 | ||||||
Barnes Group, Inc. | 2,207 | 86,051 | ||||||
Beacon Roofing Supply, Inc. (a) | 1,504 | 49,963 | ||||||
Brady Corp. | 1,932 | 47,798 | ||||||
Briggs & Stratton Corp. | 1,776 | 34,206 | ||||||
CAI International, Inc. (a) | 697 | 14,351 | ||||||
Carlisle Companies, Inc. | 19,555 | 1,957,847 | ||||||
Casella Waste Systems, Inc. (a) | 1,300 | 7,293 | ||||||
Cbiz, Inc. (a) | 168,518 | 1,624,514 | ||||||
CDI Corp. | 605 | 7,865 | ||||||
CECO Environmental Corp. | 886 | 10,038 | ||||||
Celadon Group, Inc. | 352 | 7,279 | ||||||
Chart Industries, Inc. (a) | 1,230 | 43,972 | ||||||
Chicago Bridge & Iron Co. | 3,934 | 196,857 | ||||||
Circor International, Inc. | 38,382 | 2,092,970 | ||||||
Civeo Corp. | 3,911 | 12,007 | ||||||
Clarcor, Inc. | 110 | 6,846 | ||||||
Clean Harbors, Inc. (a) | 764 | 41,057 | ||||||
Colfax Corp. (a) | 4,036 | 186,261 | ||||||
Columbus Mckinnon Corp. | 782 | 19,550 | ||||||
Comfort Systems USA, Inc. | 84 | 1,928 | ||||||
Con-way, Inc. | 51,425 | 1,973,177 | ||||||
Copa Holdings S.A. | 1,322 | 109,184 | ||||||
CRA International, Inc. (a) | 387 | 10,786 | ||||||
Crane Co. | 1,935 | 113,643 | ||||||
Cubic Corp. | 831 | 39,539 | ||||||
Curtiss-Wright Corp. | 21,987 | 1,592,738 | ||||||
Delta Air Lines, Inc. | 30,601 | 1,257,089 | ||||||
Deluxe Corp. | 911 | 56,482 |
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Digitalglobe, Inc. (a) | 2,921 | 81,175 | ||||||
Donaldson Co., Inc. | 530 | 18,974 | ||||||
Douglas Dynamics, Inc. | 677 | 14,542 | ||||||
Ducommun, Inc. (a) | 444 | 11,397 | ||||||
Dun & Bradstreet Corp. | 1,004 | 122,488 | ||||||
DXP Enterprises, Inc. (a) | 356 | 16,554 | ||||||
Eagle Bulk Shipping, Inc. (a) | 817 | 5,694 | ||||||
Emcor Group, Inc. | 62,410 | 2,981,326 | ||||||
Encore Wire Corp. | 51,932 | 2,300,068 | ||||||
EnerSys, Inc. | 1,307 | 91,869 | ||||||
Engility Holdings, Inc. (a) | 781 | 19,650 | ||||||
Ennis, Inc. | 1,029 | 19,129 | ||||||
EnPro Industries, Inc. | 376 | 21,515 | ||||||
Equifax, Inc. | 36,805 | 3,573,397 | ||||||
Esco Technologies, Inc. | 51,916 | 1,942,178 | ||||||
Essendant, Inc. | 1,547 | 60,720 | ||||||
Esterline Technologies Corp. (a) | 1,251 | 119,270 | ||||||
Exone Co. (a) | 423 | 4,695 | ||||||
Federal Signal Corp. | 2,536 | 37,812 | ||||||
Fluor Corp. | 22,731 | 1,204,970 | ||||||
Fortune Brands Home & Security, Inc. | 4,148 | 190,061 | ||||||
Franklin Covey Co. (a) | 435 | 8,826 | ||||||
Franklin Electric Co., Inc. | 157 | 5,076 | ||||||
FreightCar America, Inc. | 267 | 5,575 | ||||||
FTI Consulting, Inc. (a) | 1,538 | 63,427 | ||||||
Fuelcell Energy, Inc. (a) | 7,065 | 6,902 | ||||||
G & K Services, Inc. | 24,555 | 1,697,733 | ||||||
GATX Corp. | 1,769 | 94,022 | ||||||
General Cable Corp. | 174 | 3,433 | ||||||
Genesee & Wyoming, Inc. (a) | 1,300 | 99,034 | ||||||
Gibraltar Industries, Inc. (a) | 1,303 | 26,542 | ||||||
Global Brass and Copper Holdings, Inc. | 114 | 1,939 | ||||||
Golden Ocean Group Ltd | 2,850 | 10,973 | ||||||
Gorman Rupp Co. | 565 | 15,865 | ||||||
Graftech International Ltd (a) | 4,987 | 24,736 | ||||||
Graham Corp. | 402 | 8,237 | ||||||
Granite Construction, Inc. | 1,585 | 56,283 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 2,273 | 13,547 |
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Griffon Corp. | 1,039 | 16,541 | ||||||
HC2 Holdings, Inc. (a) | 265 | 2,372 | ||||||
HD Supply Holdings, Inc. (a) | 148,250 | 5,215,435 | ||||||
Heidrick & Struggles International, Inc. | 695 | 18,126 | ||||||
Heritage Crystal Clean, Inc. (a) | 472 | 6,938 | ||||||
Hertz Global Holdings, Inc. (a) | 121,275 | 2,197,503 | ||||||
Hill International, Inc. (a) | 1,470 | 7,732 | ||||||
Hillenbrand, Inc. | 57,380 | 1,761,566 | ||||||
Hub Group, Inc. (a) | 125 | 5,042 | ||||||
Hubbell, Inc. | 12,277 | 1,329,354 | ||||||
Huntington Ingalls Industries, Inc. | 28,087 | 3,162,315 | ||||||
Hurco Companies, Inc. | 266 | 9,209 | ||||||
Huron Consulting Group, Inc. (a) | 819 | 57,404 | ||||||
Hyster-Yale Materials Handling, Inc. | 269 | 18,636 | ||||||
ICF International, Inc. (a) | 786 | 27,400 | ||||||
IDEX Corp. | 252 | 19,802 | ||||||
Ingersoll-Rand Plc | 35,506 | 2,393,815 | ||||||
InnerWorkings, Inc. (a) | 958 | 6,390 | ||||||
Insteel Industries, Inc. | 104 | 1,945 | ||||||
ITT Corp. | 3,579 | 149,745 | ||||||
Jacobs Engineering Group, Inc. (a) | 5,040 | 204,725 | ||||||
Jetblue Airways Corp. (a) | 7,879 | 163,568 | ||||||
Joy Global, Inc. | 3,916 | 141,759 | ||||||
Kadant, Inc. | 406 | 19,163 | ||||||
Kaman Corp. | 986 | 41,353 | ||||||
KAR Auction Services, Inc. | 81,475 | 3,047,165 | ||||||
KBR, Inc. | 5,802 | 113,023 | ||||||
Kelly Services, Inc. | 1,188 | 18,236 | ||||||
Kennametal, Inc. | 3,187 | 108,740 | ||||||
KEYW Holding Corp. (a) | 1,333 | 12,424 | ||||||
Kimball International, Inc. | 892 | 10,847 | ||||||
Kirby Corp. (a) | 2,241 | 171,795 | ||||||
KLX, Inc. (a) | 2,118 | 93,467 | ||||||
Knoll, Inc. | 118,260 | 2,960,048 | ||||||
Korn/Ferry International | 928 | 32,267 | ||||||
Kratos Defense & Security Solutions, Inc. (a) | 1,820 | 11,466 | ||||||
L.B. Foster Co. | 447 | 15,471 | ||||||
Lincoln Electric Holdings, Inc. | 243 | 14,796 |
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Lindsay Corp. | 70 | 6,154 | ||||||
LSI Industries, Inc. | 869 | 8,116 | ||||||
Lydall, Inc. (a) | 81,831 | 2,418,924 | ||||||
Macquarie Infrastructure Corp. | 2,770 | 228,885 | ||||||
ManpowerGroup, Inc. | 37,297 | 3,333,606 | ||||||
Marten Transport Ltd | 826 | 17,924 | ||||||
Masco Corp. | 116,537 | 3,108,042 | ||||||
Masonite International Corp. (a) | 26,355 | 1,847,749 | ||||||
Mastec, Inc. (a) | 2,694 | 53,530 | ||||||
Matson, Inc. | 143 | 6,012 | ||||||
Matthews International Corp. | 1,260 | 66,956 | ||||||
McGrath RentCorp | 1,088 | 33,108 | ||||||
Meritor, Inc. (a) | 1,742 | 22,855 | ||||||
Miller Industries, Inc. | 439 | 8,758 | ||||||
Mistras Group, Inc. (a) | 283 | 5,371 | ||||||
Mobile Mini, Inc. | 1,668 | 70,123 | ||||||
Moog, Inc. (a) | 1,418 | 100,224 | ||||||
MRC Global, Inc. (a) | 4,154 | 64,138 | ||||||
MSA Safety, Inc. | 47,318 | 2,295,396 | ||||||
MSC Industrial Direct Co., Inc. | 1,328 | 92,655 | ||||||
Mueller Industries, Inc. | 749 | 26,005 | ||||||
MYR Group, Inc. (a) | 901 | 27,895 | ||||||
National Presto Industries, Inc. | 195 | 15,662 | ||||||
Navigant Consulting, Inc. (a) | 1,939 | 28,833 | ||||||
Navios Maritime Holdings, Inc. | 3,254 | 12,105 | ||||||
Navistar International Corp. (a) | 1,946 | 44,038 | ||||||
Neff Corp. (a) | 374 | 3,774 | ||||||
NL Industries, Inc. (a) | 347 | 2,571 | ||||||
Northwest Pipe Co. (a) | 384 | 7,822 | ||||||
NOW, Inc. (a) | 4,308 | 85,772 | ||||||
Orbital ATK, Inc. | 2,435 | 178,632 | ||||||
Orion Marine Group, Inc. (a) | 1,135 | 8,195 | ||||||
Oshkosh Corp. | 28,629 | 1,213,297 | ||||||
Owens Corning | 4,737 | 195,401 | ||||||
Parker-Hannifin Corp. | 32,389 | 3,767,812 | ||||||
Pendrell Corp. (a) | 6,710 | 9,193 | ||||||
Pitney Bowes, Inc. | 4,979 | 103,613 | ||||||
Plug Power, Inc. (a) | 2,802 | 6,865 |
Table of Contents
Powell Industries, Inc. | 418 | 14,701 | ||||||
PowerSecure International, Inc. (a) | 751 | 11,085 | ||||||
Preformed Line Products Co. | 129 | 4,866 | ||||||
Primoris Services Corp. | 503 | 9,959 | ||||||
Quad/Graphics, Inc. | 1,214 | 22,471 | ||||||
Quality Distribution, Inc. (a) | 843 | 13,033 | ||||||
Quanex Building Products Corp. | 1,330 | 28,502 | ||||||
Quanta Services, Inc. (a) | 6,584 | 189,751 | ||||||
Raven Industries, Inc. | 1,338 | 27,202 | ||||||
Raytheon Co. | 12,541 | 1,199,923 | ||||||
Regal-Beloit Corp. | 1,705 | 123,766 | ||||||
Republic Airways Holdings, Inc. (a) | 2,187 | 20,077 | ||||||
Resources Connection, Inc. | 1,233 | 19,839 | ||||||
Roadrunner Transportation Systems, Inc. (a) | 769 | 19,840 | ||||||
Robert Half International, Inc. | 96,253 | 5,342,041 | ||||||
RPX Corp. (a) | 2,010 | 33,969 | ||||||
RR Donnelley & Sons Co. | 3,987 | 69,493 | ||||||
Rush Enterprises, Inc. (a) | 1,416 | 37,113 | ||||||
Ryder System, Inc. | 2,142 | 187,147 | ||||||
Safe Bulkers, Inc. | 1,738 | 5,596 | ||||||
Scorpio Bulkers, Inc. (a) | 7,168 | 11,684 | ||||||
Simpson Manufacturing Co., Inc. | 1,554 | 52,836 | ||||||
Skywest, Inc. | 2,063 | 31,028 | ||||||
Snap-on, Inc. | 21,775 | 3,467,669 | ||||||
Sparton Corp. (a) | 162 | 4,426 | ||||||
Spirit Aerosystems Holdings, Inc. (a) | 433 | 23,863 | ||||||
SPX Corp. | 1,652 | 119,588 | ||||||
Standex International Corp. | 28,638 | 2,289,035 | ||||||
Stanley Black & Decker, Inc. | 18,608 | 1,958,306 | ||||||
TAL International Group, Inc. | 1,352 | 42,723 | ||||||
Teledyne Technologies, Inc. (a) | 1,056 | 111,419 | ||||||
Tennant Co. | 47 | 3,071 | ||||||
Terex Corp. | 42,507 | 988,288 | ||||||
Tetra Tech, Inc. | 2,462 | 63,126 | ||||||
Textainer Group Holdings Ltd | 892 | 23,201 | ||||||
The ADT Corp. | 6,879 | 230,928 | ||||||
The Manitowoc Co., Inc. | 5,470 | 107,212 | ||||||
The Timken Co. | 37,034 | 1,354,333 |
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Thermon Group Holdings, Inc. (a) | 1,120 | 26,958 | ||||||
Titan International, Inc. | 1,640 | 17,614 | ||||||
Titan Machinery, Inc. (a) | 594 | 8,750 | ||||||
Towers Watson & Co. | 30,619 | 3,851,870 | ||||||
TRC Companies, Inc. (a) | 689 | 6,993 | ||||||
TriMas Corp. (a) | 1,705 | 50,468 | ||||||
Trinet Group, Inc. (a) | 106,140 | 2,690,649 | ||||||
Trinity Industries, Inc. | 6,229 | 164,632 | ||||||
Triumph Group, Inc. | 1,982 | 130,792 | ||||||
Tutor Perini Corp. (a) | 1,593 | 34,377 | ||||||
Twin Disc, Inc. | 338 | 6,300 | ||||||
UniFirst Corp. | 597 | 66,774 | ||||||
United Rentals, Inc. (a) | 25,675 | 2,249,644 | ||||||
Universal Forest Products, Inc. | 810 | 42,144 | ||||||
Universal Truckload Services, Inc. | 151 | 3,316 | ||||||
US Ecology, Inc. | 71,180 | 3,467,890 | ||||||
USA Truck, Inc. (a) | 257 | 5,456 | ||||||
UTI Worldwide, Inc. (a) | 3,841 | 38,372 | ||||||
Valmont Industries, Inc. | 898 | 106,745 | ||||||
Vectrus, Inc. (a) | 35 | 870 | ||||||
Veritiv Corp. (a) | 330 | 12,032 | ||||||
Viad Corp. | 809 | 21,932 | ||||||
Vicor Corp. (a) | 77 | 939 | ||||||
Virgin America, Inc. (a) | 75 | 2,061 | ||||||
VSE Corp. | 171 | 9,150 | ||||||
Wabco Holdings, Inc. (a) | 52,492 | 6,494,310 | ||||||
Waste Connections, Inc. | 4,967 | 234,045 | ||||||
Watts Water Technologies, Inc. | 39,070 | 2,025,780 | ||||||
Werner Enterprises, Inc. | 1,363 | 35,779 | ||||||
Wesco Aircraft Holdings, Inc. (a) | 2,482 | 37,602 | ||||||
WESCO International, Inc. (a) | 33,233 | 2,281,113 | ||||||
West Corp. | 1,815 | 54,632 | ||||||
Woodward, Inc. | 816 | 44,872 | ||||||
XPO Logistics, Inc. (a) | 504 | 22,771 | ||||||
Xylem, Inc. | 7,272 | 269,573 | ||||||
YRC Worldwide, Inc. (a) | 1,073 | 13,928 | ||||||
|
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118,127,873 | ||||||||
|
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Information Technology - 15.89% |
Table of Contents
3D Systems Corp. (a) | 2,848 | 55,593 | ||||||
6d Global Technologies, Inc. (a) | 361 | 2,361 | ||||||
ACI Worldwide, Inc. (a) | 111,580 | 2,741,521 | ||||||
Activision Blizzard, Inc. | 176,461 | 4,272,121 | ||||||
Actua Corp. (a) | 1,746 | 24,898 | ||||||
Acxiom Corp. (a) | 3,143 | 55,254 | ||||||
Adtran, Inc. | 2,146 | 34,873 | ||||||
Advanced Micro Devices, Inc. (a) | 14,294 | 34,306 | ||||||
Advanced Energy Industries, Inc. (a) | 749 | 20,590 | ||||||
Agilysys, Inc. (a) | 600 | 5,508 | ||||||
Alliance Data Systems Corp. (a) | 7,973 | 2,327,638 | ||||||
Alpha and Omega Semiconductor Ltd (a) | 839 | 7,333 | ||||||
Amdocs Ltd | 82,942 | 4,527,804 | ||||||
American Software, Inc. | 816 | 7,752 | ||||||
Amkor Technology, Inc. (a) | 3,991 | 23,866 | ||||||
Anixter International, Inc. (a) | 1,149 | 74,857 | ||||||
ANSYS, Inc. (a) | 2,921 | 266,512 | ||||||
Applied Micro Circuits Corp. (a) | 2,354 | 15,890 | ||||||
Applied Optoelectronics, Inc. (a) | 118 | 2,048 | ||||||
ARRIS Group, Inc. (a) | 4,555 | 139,383 | ||||||
Arrow Electronics, Inc. (a) | 52,377 | 2,922,637 | ||||||
Avago Technologies Ltd | 59,101 | 7,856,296 | ||||||
Avid Technology, Inc. (a) | 459 | 6,123 | ||||||
Avnet, Inc. | 64,071 | 2,633,959 | ||||||
AVX Corp. | 1,883 | 25,345 | ||||||
Axcelis Technologies, Inc. (a) | 4,575 | 13,542 | ||||||
Bankrate, Inc. (a) | 2,597 | 27,243 | ||||||
Bazaarvoice, Inc. (a) | 1,188 | 6,997 | ||||||
Bel Fuse, Inc. | 414 | 8,495 | ||||||
Benchmark Electronics, Inc. (a) | 2,088 | 45,477 | ||||||
Black Box Corp. | 621 | 12,420 | ||||||
Black Knight Financial Services, Inc. (a) | 106 | 3,272 | ||||||
Blucora, Inc. (a) | 1,649 | 26,631 | ||||||
Booz Allen Hamilton Holding Corp. | 301 | 7,597 | ||||||
Bottomline Technologies, Inc. (a) | 262 | 7,286 | ||||||
Broadridge Financial Solutions, Inc. | 68,600 | 3,430,686 | ||||||
Brocade Communications Systems, Inc. | 204,766 | 2,432,620 | ||||||
Brooks Automation, Inc. | 2,681 | 30,697 |
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Cabot Microelectronics Corp. (a) | 147 | 6,925 | ||||||
Caci International, Inc. (a) | 41,641 | 3,368,341 | ||||||
Calix, Inc. (a) | 1,684 | 12,815 | ||||||
Care.com, Inc. (a) | 648 | 3,836 | ||||||
Cascade Microtech, Inc. (a) | 121 | 1,842 | ||||||
Cass Information Systems, Inc. | 198 | 11,132 | ||||||
Ceva, Inc. (a) | 414 | 8,044 | ||||||
Check Point Software Technologies Ltd (a) | 43,575 | 3,466,391 | ||||||
Checkpoint Systems, Inc. | 1,707 | 17,377 | ||||||
Ciber, Inc. (a) | 3,189 | 11,002 | ||||||
Coherent, Inc. (a) | 877 | 55,672 | ||||||
Cohu, Inc. | 1,061 | 14,037 | ||||||
CommScope Holding Co., Inc. (a) | 160,023 | 4,882,302 | ||||||
Comtech Telecommunications Corp. | 660 | 19,173 | ||||||
Control4 Corp. (a) | 853 | 7,583 | ||||||
Convergys Corp. | 3,981 | 101,476 | ||||||
CoreLogic, Inc. (a) | 1,994 | 79,142 | ||||||
Cree, Inc. (a) | 4,381 | 114,037 | ||||||
CTS Corp. | 1,431 | 27,575 | ||||||
Cyan, Inc. (a) | 870 | 4,559 | ||||||
Cypress Semiconductor Corp. | 13,331 | 156,773 | ||||||
Daktronics, Inc. | 1,211 | 14,362 | ||||||
Datalink Corp. (a) | 805 | 7,197 | ||||||
DealerTrack Technologies, Inc. (a) | 1,520 | 95,441 | ||||||
DHI Group, Inc. (a) | 1,070 | 9,512 | ||||||
Digi International, Inc. (a) | 963 | 9,197 | ||||||
Diodes, Inc. (a) | 1,489 | 35,900 | ||||||
Dolby Laboratories, Inc. | 2,017 | 80,035 | ||||||
DSP Group, Inc. (a) | 876 | 9,049 | ||||||
DST Systems, Inc. | 336 | 42,329 | ||||||
DTS, Inc. (a) | 83 | 2,531 | ||||||
EchoStar Corp. (a) | 1,764 | 85,872 | ||||||
Electro Rent Corp. | 691 | 7,504 | ||||||
EMCORE Corp. (a) | 945 | 5,689 | ||||||
EnerNOC, Inc. (a) | 1,080 | 10,476 | ||||||
Entegris, Inc. (a) | 187,007 | 2,724,692 | ||||||
EPIQ System, Inc. | 809 | 13,656 | ||||||
Eplus, Inc. (a) | 209 | 16,020 |
Table of Contents
Exar Corp. (a) | 1,358 | 13,281 | ||||||
ExlService Holdings, Inc. (a) | 93 | 3,216 | ||||||
Extreme Networks, Inc. (a) | 3,654 | 9,829 | ||||||
Fabrinet (a) | 1,472 | 27,571 | ||||||
Fairchild Semiconductor International, Inc. (a) | 4,684 | 81,408 | ||||||
FARO Technologies, Inc. (a) | 535 | 24,985 | ||||||
FEI Co. | 19,310 | 1,601,378 | ||||||
Fidelity National Information Services, Inc. | 44,666 | 2,760,359 | ||||||
Finisar Corp. (a) | 4,174 | 74,589 | ||||||
First Solar, Inc. (a) | 3,036 | 142,631 | ||||||
Fiserv, Inc. (a) | 58,525 | 4,847,626 | ||||||
Flextronics International Ltd (a) | 161,558 | 1,827,221 | ||||||
FLIR Systems, Inc. | 2,076 | 63,982 | ||||||
Formfactor, Inc. (a) | 1,225 | 11,270 | ||||||
Global Cash Access Holdings, Inc. (a) | 2,702 | 20,913 | ||||||
Global Payments, Inc. | 62,178 | 6,432,314 | ||||||
Glu Mobile, Inc. (a) | 2,309 | 14,339 | ||||||
GSI Group, Inc. (a) | 1,374 | 20,651 | ||||||
Harmonic, Inc. (a) | 3,234 | 22,088 | ||||||
Harris Corp. | 32,610 | 2,508,035 | ||||||
HomeAway, Inc. (a) | 2,586 | 80,476 | ||||||
IAC/InterActiveCorp | 14,350 | 1,143,121 | ||||||
II-Vi, Inc. (a) | 2,098 | 39,820 | ||||||
Imation Corp. (a) | 1,236 | 5,018 | ||||||
Ingram Micro, Inc. (a) | 5,933 | 148,503 | ||||||
Insight Enterprises, Inc. (a) | 1,554 | 46,480 | ||||||
Integrated Silicon Solution, Inc. | 1,349 | 29,867 | ||||||
Interdigital, Inc. | 150 | 8,534 | ||||||
Intersil Corp. | 5,323 | 66,591 | ||||||
Intralinks Holdings, Inc. (a) | 737 | 8,778 | ||||||
Itron, Inc. (a) | 47,862 | 1,648,367 | ||||||
Ixia (a) | 270 | 3,359 | ||||||
IXYS Corp. | 1,008 | 15,422 | ||||||
Jabil Circuit, Inc. | 107,983 | 2,298,958 | ||||||
JDS Uniphase Corp. (a) | 9,428 | 109,176 | ||||||
Keysight Technologies, Inc. (a) | 1,080 | 33,685 | ||||||
Kimball Electronics, Inc. (a) | 1,111 | 16,209 | ||||||
Knowles Corp. (a) | 3,429 | 62,065 |
Table of Contents
Kopin Corp. (a) | 2,642 | 9,115 | ||||||
KVH Industries, Inc. (a) | 124 | 1,668 | ||||||
Lattice Semiconductor Corp. (a) | 3,505 | 20,644 | ||||||
Leidos Holdings, Inc. | 2,453 | 99,028 | ||||||
Lexmark International, Inc. | 2,468 | 109,086 | ||||||
Limelight Networks, Inc. (a) | 2,474 | 9,748 | ||||||
Liquidity Services, Inc. (a) | 1,001 | 9,640 | ||||||
Littelfuse, Inc. | 32,780 | 3,110,494 | ||||||
M/A-Com Technology Solutions Holdings, Inc. (a) | 90,750 | 3,471,188 | ||||||
Mantech International Corp. | 1,024 | 29,696 | ||||||
Marchex, Inc. | 1,288 | 6,376 | ||||||
Marin Software, Inc. (a) | 1,031 | 6,949 | ||||||
Marvell Technology Group Ltd | 18,142 | 239,202 | ||||||
Mentor Graphics Corp. | 107,536 | 2,842,176 | ||||||
Mercury Systems, Inc. (a) | 1,424 | 20,847 | ||||||
Methode Electronics, Inc. | 30,500 | 837,225 | ||||||
Micron Technology, Inc. (a) | 184,025 | 3,467,031 | ||||||
Microsemi Corp. (a) | 51,532 | 1,801,043 | ||||||
Millennial Media, Inc. (a) | 4,796 | 7,770 | ||||||
MKS Instrument, Inc. | 73,480 | 2,787,831 | ||||||
ModusLink Global Solutions, Inc. (a) | 1,548 | 5,263 | ||||||
MoneyGram International, Inc. (a) | 1,200 | 11,028 | ||||||
Monster Worldwide, Inc. (a) | 3,884 | 25,401 | ||||||
Motorola Solutions, Inc. | 31,546 | 1,808,848 | ||||||
Multi-Fineline Electronix, Inc. (a) | 373 | 8,154 | ||||||
Nanometrics, Inc. (a) | 952 | 15,346 | ||||||
National Instruments Corp. | 3,521 | 103,729 | ||||||
NCR Corp. (a) | 161,234 | 4,853,143 | ||||||
Neophotonics Corp. (a) | 1,115 | 10,180 | ||||||
Netease, Inc. - ADR | 13,176 | 1,908,741 | ||||||
NetGear, Inc. (a) | 1,387 | 41,638 | ||||||
NeuStar, Inc. (a) | 177 | 5,170 | ||||||
Newport Corp. (a) | 1,062 | 20,136 | ||||||
Nuance Communications, Inc. (a) | 10,176 | 178,182 | ||||||
NVE Corp. | 110 | 8,624 | ||||||
NXP Semiconductors (a) | 24,742 | 2,429,664 | ||||||
Oclaro, Inc. (a) | 3,843 | 8,685 | ||||||
Omnivision Technologies, Inc. (a) | 2,364 | 61,925 |
Table of Contents
ON Semiconductor Corp. (a) | 217,650 | 2,544,329 | ||||||
OSI Systems, Inc. (a) | 595 | 42,120 | ||||||
Park Electrochemical Corp. | 895 | 17,148 | ||||||
PC Connection, Inc. | 385 | 9,525 | ||||||
Perficient, Inc. (a) | 484 | 9,312 | ||||||
Pericom Semiconductor Corp. | 928 | 12,203 | ||||||
Photronics, Inc. (a) | 2,799 | 26,618 | ||||||
Plexus Corp. (a) | 846 | 37,122 | ||||||
PMC-Sierra, Inc. (a) | 4,599 | 39,367 | ||||||
Polycom, Inc. (a) | 5,437 | 62,199 | ||||||
Power Integrations, Inc. | 397 | 17,936 | ||||||
Progress Software Corp. (a) | 2,045 | 56,238 | ||||||
QAD, Inc. | 299 | 7,903 | ||||||
QLogic Corp. (a) | 3,499 | 49,651 | ||||||
Quantum Corp. (a) | 8,609 | 14,463 | ||||||
QuinStreet, Inc. (a) | 1,411 | 9,101 | ||||||
RealNetworks, Inc. (a) | 890 | 4,815 | ||||||
Reis, Inc. | 123 | 2,728 | ||||||
Retailmenot, Inc. (a) | 1,456 | 25,960 | ||||||
Rocket Fuel, Inc. (a) | 1,074 | 8,807 | ||||||
Rofin Sinar Technologies, Inc. (a) | 994 | 27,434 | ||||||
Rogers Corp. (a) | 510 | 33,731 | ||||||
Rovi Corp. (a) | 3,568 | 56,910 | ||||||
Rudolph Technologies, Inc. (a) | 1,187 | 14,256 | ||||||
Sabre Corp. | 185,325 | 4,410,735 | ||||||
Sanmina Corp. (a) | 3,333 | 67,193 | ||||||
Sapiens International Corp. | 232 | 2,408 | ||||||
ScanSource, Inc. (a) | 1,145 | 43,579 | ||||||
SciQuest, Inc. (a) | 469 | 6,946 | ||||||
SeaChange International, Inc. (a) | 1,376 | 9,646 | ||||||
Seagate Technology Plc | 35,388 | 1,680,930 | ||||||
Semtech Corp. (a) | 1,775 | 35,234 | ||||||
Servicesource International, Inc. (a) | 983 | 5,377 | ||||||
ShoreTel, Inc. (a) | 2,024 | 13,723 | ||||||
Sigma Designs, Inc. (a) | 1,384 | 16,511 | ||||||
Silicon Laboratories, Inc. (a) | 500 | 27,005 | ||||||
Silver Spring Networks, Inc. (a) | 81 | 1,005 | ||||||
Skyworks Solutions, Inc. | 38,375 | 3,994,838 |
Table of Contents
Sonus Networks, Inc. (a) | 1,979 | 13,695 | ||||||
SS&C Technologies Holdings, Inc. | 297 | 18,563 | ||||||
Stratasys Ltd (a) | 2,045 | 71,432 | ||||||
SunEdison, Inc. (a) | 869 | 25,992 | ||||||
SunPower Corp. (a) | 2,034 | 57,786 | ||||||
Sykes Enterprises, Inc. (a) | 1,501 | 36,399 | ||||||
Synnex Corp. | 1,155 | 84,534 | ||||||
Synopsys, Inc. (a) | 5,769 | 292,200 | ||||||
Take-Two Interactive Software, Inc. (a) | 1,639 | 45,187 | ||||||
TE Connectivity Ltd | 23,171 | 1,489,895 | ||||||
Tech Data Corp. (a) | 54,983 | 3,164,821 | ||||||
TechTarget, Inc. (a) | 679 | 6,063 | ||||||
TeleCommunication Systems, Inc. (a) | 2,014 | 6,666 | ||||||
Telenav, Inc. (a) | 1,100 | 8,855 | ||||||
Teletech Holdings, Inc. | 123,129 | 3,334,333 | ||||||
Teradata Corp. (a) | 1,469 | 54,353 | ||||||
Teradyne, Inc. | 8,613 | 166,145 | ||||||
Tessera Technologies, Inc. | 822 | 31,220 | ||||||
Total Systems Services, Inc. | 162,574 | 6,790,716 | ||||||
Trimble Navigation Ltd (a) | 9,867 | 231,480 | ||||||
TTM Technologies , Inc. (a) | 2,442 | 24,392 | ||||||
Ubiquiti Networks, Inc. | 84 | 2,681 | ||||||
Ultra Clean Holdings, Inc. (a) | 1,264 | 7,875 | ||||||
Ultratech, Inc. (a) | 1,105 | 20,509 | ||||||
Unisys Corp. (a) | 852 | 17,031 | ||||||
United Online, Inc. (a) | 578 | 9,057 | ||||||
Veeco Instruments, Inc. (a) | 1,628 | 46,789 | ||||||
Verint Systems, Inc. (a) | 135 | 8,201 | ||||||
Viasat, Inc. (a) | 255 | 15,366 | ||||||
Vishay Intertechnology, Inc. | 5,474 | 63,936 | ||||||
Vishay Precision Group, Inc. (a) | 511 | 7,696 | ||||||
Western Digital Corp. | 61,677 | 4,836,710 | ||||||
Xcerra Corp. (a) | 1,310 | 9,917 | ||||||
Zillow Group, Inc. (a) | 711 | 61,672 | ||||||
Zynga, Inc. (a) | 30,581 | 87,462 | ||||||
|
| |||||||
140,934,291 | ||||||||
|
| |||||||
Materials - 7.64% | ||||||||
A. Schulman, Inc. | 119 | 5,203 |
Table of Contents
AK Steel Holding Corp. (a) | 7,455 | 28,851 | ||||||
Albemarle Corp. | 4,505 | 248,991 | ||||||
Allegheny Technologies, Inc. | 4,394 | 132,699 | ||||||
American Vanguard Corp. | 1,025 | 14,145 | ||||||
AptarGroup, Inc. | 2,046 | 130,473 | ||||||
Ashland, Inc. | 2,453 | 299,021 | ||||||
Avery Dennison Corp. | 110,081 | 6,708,336 | ||||||
Axiall Corp. | 2,825 | 101,841 | ||||||
Bemis, Inc. | 3,483 | 156,770 | ||||||
Berry Plastics Group, Inc. (a) | 1,928 | 62,467 | ||||||
Boise Cascade Co. (a) | 13,151 | 482,379 | ||||||
Cabot Corp. | 2,563 | 95,574 | ||||||
Calgon Carbon Corp. | 82,321 | 1,595,381 | ||||||
Carpenter Technology Corp. | 92,373 | 3,572,988 | ||||||
Century Alum Co. (a) | 1,882 | 19,629 | ||||||
Chase Corp. | 26 | 1,034 | ||||||
Cliffs Natural Resources, Inc. | 6,524 | 28,249 | ||||||
Coeur Mining, Inc. (a) | 5,449 | 31,114 | ||||||
Commercial Metals Co. | 4,683 | 75,303 | ||||||
Constellium (a) | 282,200 | 3,338,426 | ||||||
Crown Holdings, Inc. (a) | 184,261 | 9,749,250 | ||||||
Cytec Industries, Inc. | 2,583 | 156,349 | ||||||
Domtar Corp. | 2,569 | 106,357 | ||||||
Flotek Industries, Inc. (a) | 2,160 | 27,065 | ||||||
FutureFuel Corp. | 977 | 12,574 | ||||||
Glatfelter | 101,184 | 2,225,036 | ||||||
Graphic Packaging Holding Co. | 339,998 | 4,736,172 | ||||||
Greif, Inc. | 1,246 | 44,669 | ||||||
Handy & Harman Ltd (a) | 88 | 3,049 | ||||||
Hawkins, Inc. | 368 | 14,864 | ||||||
Haynes International, Inc. | 500 | 24,660 | ||||||
HB Fuller Co. | 53,260 | 2,163,421 | ||||||
Hecla Mining Co. | 15,499 | 40,762 | ||||||
Horsehead Holding Corp. (a) | 2,264 | 26,534 | ||||||
Huntsman Corp. | 54,615 | 1,205,353 | ||||||
Innophos Holdings, Inc. | 55,850 | 2,939,944 | ||||||
Innospec, Inc. | 969 | 43,644 | ||||||
International Paper Co. | 30,009 | 1,428,128 |
Table of Contents
Intrepid Potash, Inc. (a) | 83,646 | 998,733 | ||||||
Kaiser Aluminum Corp. | 447 | 37,137 | ||||||
Kraton Performance Polymers, Inc. (a) | 1,264 | 30,184 | ||||||
Kronos Worldwide, Inc. | 828 | 9,075 | ||||||
Louisiana-Pacific Corp. (a) | 445 | 7,578 | ||||||
LSB Industries, Inc. (a) | 498 | 20,338 | ||||||
Martin Marietta Materials, Inc. | 2,328 | 329,435 | ||||||
Materion Corp. | 800 | 28,200 | ||||||
Minerals Technologies, Inc. | 31,480 | 2,144,732 | ||||||
Neenah Paper, Inc. | 308 | 18,160 | ||||||
Olin Corp. | 639 | 17,221 | ||||||
Olympic Steel, Inc. | 314 | 5,476 | ||||||
OM Group, Inc. | 66,683 | 2,240,549 | ||||||
Omnova Solutions, Inc. (a) | 754 | 5,647 | ||||||
Owens-Illinois, Inc. (a) | 6,075 | 139,361 | ||||||
Packaging Corp. of America | 71,165 | 4,447,101 | ||||||
Platform Specialty Products Corp. (a) | 4,055 | 103,727 | ||||||
Polyone Corp. | 17,213 | 674,233 | ||||||
Quaker Chemical Corp. | 163 | 14,481 | ||||||
Rayonier Advanced Materials, Inc. | 1,596 | 25,951 | ||||||
Real Industry, Inc. (a) | 350 | 3,973 | ||||||
Reliance Steel & Aluminum Co. | 60,863 | 3,680,994 | ||||||
Rock-Tenn Co. | 79,674 | 4,796,375 | ||||||
Royal Gold, Inc. | 2,465 | 151,819 | ||||||
RTI International Metals, Inc. (a) | 1,143 | 36,027 | ||||||
Ryerson Holding Corp. (a) | 344 | 3,130 | ||||||
Schnitzer Steel Industries, Inc. | 1,127 | 19,689 | ||||||
Schweitzer-Mauduit International, Inc. | 1,018 | 40,598 | ||||||
Scotts Miracle-Gro Co. | 182 | 10,776 | ||||||
Sensient Technologies Corp. | 31,848 | 2,176,492 | ||||||
Sonoco Products Co. | 4,049 | 173,540 | ||||||
Steel Dynamics, Inc. | 8,636 | 178,895 | ||||||
Stepan Co. | 399 | 21,590 | ||||||
Stillwater Mining Co. (a) | 3,292 | 38,154 | ||||||
Suncoke Energy, Inc. | 832 | 10,816 | ||||||
Tahoe Resources, Inc. | 5,617 | 68,134 | ||||||
The Valspar Corp. | 34,374 | 2,812,481 | ||||||
TimkenSteel Corp. | 1,618 | 43,670 |
Table of Contents
Tredegar Corp. | 790 | 17,467 | ||||||
Tronox Ltd | 2,613 | 38,228 | ||||||
United States Lime & Minerals, Inc. | 73 | 4,243 | ||||||
United States Steel Corp. | 5,848 | 120,586 | ||||||
Valhi, Inc. | 368 | 2,083 | ||||||
Wausau Paper Corp. | 238 | 2,185 | ||||||
Worthington Industries, Inc. | 1,491 | 44,819 | ||||||
|
| |||||||
67,870,788 | ||||||||
|
| |||||||
Telecommunication Services - 0.34% | ||||||||
8x8, Inc. (a) | 2,296 | 20,572 | ||||||
Atlantic Tele Network, Inc. | 34,629 | 2,392,171 | ||||||
Boingo Wireless, Inc. (a) | 665 | 5,493 | ||||||
Cincinnati Bell, Inc. (a) | 8,443 | 32,252 | ||||||
Consolidated Communications Holdings, Inc. | 638 | 13,404 | ||||||
Frontier Communications Corp. | 40,311 | 199,540 | ||||||
Globalstar, Inc. (a) | 19,085 | 40,269 | ||||||
Hawaiian Telcom Holdco, Inc. (a) | 427 | 11,145 | ||||||
IDT Corp. | 587 | 10,613 | ||||||
Incontact, Inc. (a) | 307 | 3,030 | ||||||
Inteliquent, Inc. | 791 | 14,554 | ||||||
Intelsat S.A. (a) | 843 | 8,363 | ||||||
Iridium Communications, Inc. (a) | 3,461 | 31,461 | ||||||
Lumos Networks Corp. | 114 | 1,686 | ||||||
NTELOS Holdings Corp. (a) | 428 | 1,977 | ||||||
ORBCOMM, Inc. (a) | 2,214 | 14,945 | ||||||
Pacific Datavision, Inc. (a) | 157 | 6,614 | ||||||
Premiere Global Services, Inc. (a) | 1,753 | 18,038 | ||||||
Shenandoah Telecommunications Co. | 168 | 5,751 | ||||||
Spok Holdings, Inc. | 951 | 16,015 | ||||||
Telephone & Data Systems, Inc. | 3,768 | 110,779 | ||||||
United States Cellular Corp. (a) | 565 | 21,284 | ||||||
Vonage Holdings Corp. (a) | 6,724 | 33,015 | ||||||
Windstream Holdings, Inc. | 261 | 1,665 | ||||||
Zayo Group Holdings, Inc. (a) | 776 | 19,959 | ||||||
|
| |||||||
3,034,595 | ||||||||
|
| |||||||
Utilities - 3.54% | ||||||||
Abengoa Yield Plc | 1,948 | 61,011 | ||||||
AES Corp. | 157,180 | 2,084,207 |
Table of Contents
AGL Resources, Inc. | 4,824 | 224,605 | ||||||
Allete, Inc. | 1,971 | 91,435 | ||||||
Alliant Energy Corp. | 42,740 | 2,466,953 | ||||||
Ameren Corp. | 34,366 | 1,294,911 | ||||||
American Electric Power Co., Inc. | 61,053 | 3,233,977 | ||||||
American States Water Co. | 1,395 | 52,159 | ||||||
American Water Works Co., Inc. | 7,196 | 349,942 | ||||||
Aqua America, Inc. | 7,105 | 174,002 | ||||||
Artesian Resources Corp. | 326 | 6,875 | ||||||
Atlantic Power Corp. | 5,010 | 15,431 | ||||||
Atmos Energy Corp. | 4,047 | 207,530 | ||||||
Avista Corp. | 2,517 | 77,146 | ||||||
Black Hills Corp. | 1,820 | 79,443 | ||||||
California Water Service Group | 1,913 | 43,712 | ||||||
Chesapeake Utilities Corp. | 614 | 33,064 | ||||||
Cleco Corp. | 2,428 | 130,748 | ||||||
CMS Energy Corp. | 11,087 | 353,010 | ||||||
Connecticut Water Services, Inc. | 438 | 14,962 | ||||||
Consolidated Water Co., Inc. | 570 | 7,182 | ||||||
Dynegy, Inc. (a) | 5,139 | 150,316 | ||||||
Edison International | 53,876 | 2,994,428 | ||||||
El Paso Electric Co. | 1,639 | 56,808 | ||||||
Empire District Electric Co. | 1,735 | 37,823 | ||||||
FirstEnergy Corp. | 26,097 | 849,457 | ||||||
Genie Energy Ltd | 383 | 4,010 | ||||||
Great Plains Energy, Inc. | 75,089 | 1,814,150 | ||||||
Hawaiian Electric Industries, Inc. | 4,310 | 128,136 | ||||||
IDACORP, Inc. | 2,025 | 113,684 | ||||||
ITC Holdings Corp. | 3,921 | 126,178 | ||||||
Laclede Group, Inc. | 1,756 | 91,417 | ||||||
MDU Res Group, Inc. | 7,919 | 154,658 | ||||||
MGE Energy, Inc. | 56,748 | 2,197,850 | ||||||
Middlesex Water Co. | 653 | 14,732 | ||||||
National Fuel Gas Co. | 3,431 | 202,052 | ||||||
New Jersey Resources Corp. | 3,449 | 95,020 | ||||||
Northwest Natural Gas Co. | 1,074 | 45,301 | ||||||
Northwestern Corp. | 1,900 | 92,625 | ||||||
NRG Yield, Inc. | 1,340 | 29,333 |
Table of Contents
NRG Yield, Inc. | 1,430 | 31,446 | ||||||
OGE Energy Corp. | 8,037 | 229,617 | ||||||
One Gas, Inc. | 57,661 | 2,454,052 | ||||||
Ormat Technologies, Inc. | 865 | 32,593 | ||||||
Otter Tail Corp. | 1,499 | 39,873 | ||||||
Pattern Energy Group, Inc. | 2,074 | 58,860 | ||||||
Pepco Holdings, Inc. | 10,148 | 273,387 | ||||||
PG&E Corp. | 24,805 | 1,217,926 | ||||||
Piedmont Natural Gas Co., Inc. | 3,173 | 112,039 | ||||||
Pinnacle West Capital Corp. | 4,440 | 252,592 | ||||||
PNM Resources, Inc. | 3,209 | 78,941 | ||||||
Portland General Electric Co. | 44,037 | 1,460,267 | ||||||
Questar Corp. | 7,168 | 149,883 | ||||||
SCANA Corp. | 5,737 | 290,579 | ||||||
SJW Corp. | 621 | 19,059 | ||||||
South Jersey Industries, Inc. | 2,855 | 70,604 | ||||||
Southwest Gas Corp. | 1,886 | 100,354 | ||||||
Spark Energy, Inc. | 70 | 1,103 | ||||||
Talen Energy Corp. (a) | 3,319 | 56,954 | ||||||
TECO Energy, Inc. | 9,457 | 167,011 | ||||||
TerraForm Power, Inc. | 1,946 | 73,909 | ||||||
UGI Corp. | 6,931 | 238,773 | ||||||
UIL Holdings Corp. | 42,115 | 1,929,709 | ||||||
Unitil Corp. | 599 | 19,779 | ||||||
Vectren Corp. | 3,330 | 128,138 | ||||||
Vivint Solar, Inc. (a) | 319 | 3,882 | ||||||
Westar Energy, Inc. | 45,511 | 1,557,386 | ||||||
WGL Holdings, Inc. | 2,005 | 108,851 | ||||||
York Water Co. | 449 | 9,366 | ||||||
|
| |||||||
31,367,216 | ||||||||
|
| |||||||
Total Common Stocks (Cost $877.207.364) | $ | 864,604,012 | ||||||
|
| |||||||
Contracts | ||||||||
RIGHTS - 0.00% | ||||||||
Health Care - 0.00% | ||||||||
BioScrip, Inc. (b) | 8 | $ | — | |||||
|
| |||||||
Total Rights (Cost $0) | $ | — | ||||||
|
|
Table of Contents
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Funds - 2.40% | ||||||||
Goldman Sachs Financial Square Funds - Government Fund, 0.01% | 10,622,857 | $ | 10,622,857 | |||||
JPMorgan U.S. Government Money Market Fund, 0.01% | 10,619,438 | 10,619,438 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $21,242,295) | $ | 21,242,295 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.85% | $ | 885,846,307 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.15% | 1,288,584 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 887,134,891 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(a) | Non-Income Producing |
(b) | The price for this security was derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $0 or 0.00% of the Fund’s net assets and is classified as a Level 2 security. |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2015
Open Futures Contracts
Number of Contracts | Description | Settlement Month | Notional Amount | Value | Unrealized (Depreciation) | |||||||||||
2 | E-Mini S&P MidCap 400 Index Futures | Sep. 2015 | $ | 305,964 | $ | 299,620 | $ | (6,344 | ) | |||||||
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$ | (6,344 | ) | ||||||||||||||
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the Bridge Builder Trust
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of the Bridge Builder Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund and Bridge Builder Small/Mid Cap Value Fund (hereafter referred to as the “Funds”) at June 30, 2015, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedules of investments (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
August 24, 2015
Chicago, IL
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(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.
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Item 11. Controls and Procedures.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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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 12/16/2015 |
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 12/16/2015 | ||||||
By (Signature and Title)* | /s/ Jason Hadler | |||||
Jason Hadler, Treasurer | ||||||
Date 12/16/2015 |
* | Print the name and title of each signing officer under his or her signature. |