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, 2016
Date of reporting period: December 31, 2015
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
TM
MUTU A L F U N D S
Semiannual Report
December 31, 2015
(Unaudited)
Bridge Builder Core Bond Fund
Bridge Builder Core Plus Bond Fund
Bridge Builder Municipal 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
Bridge Builder International Equity Fund
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Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements | 73 | |||
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Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder funds semiannual report for the six-month period ended December 31, 2015. In this report you will find fund performance information, summaries of portfolio holdings, financial statements and other important information about each of the Bridge Builder funds.
During the last six months, three additional funds were added to the Bridge Builder lineup: the Bridge Builder International Equity Fund, the Bridge Builder Core Plus Bond Fund, and the Bridge Builder Municipal Bond Fund. Additionally, the name of the Bridge Builder Bond Fund has been changed to the Bridge Builder Core Bond Fund.
Bridge Builder funds are available exclusively through Edward Jones Advisory Solutions®, an asset allocation program providing investment advisory services. Each Bridge Builder fund uses a multi-manager structure, where several leading asset management firms are selected to invest a portion of the mutual fund’s assets. Each manager within the mutual fund brings a unique perspective and investment approach. These managers are selected by Olive Street Investment Advisers, LLC (“Olive Street”), 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 mutual funds are managed according to the key tenets of our investment philosophy: diversification, high quality and a long-term approach.
For additional information about the funds, visit www.bridgebuildermutualfunds.com.
We look forward to playing an important role in helping you pursue your financial goals. If you have any questions regarding your account please contact your Edward Jones financial advisor for additional information.
Sincerely,
William H. Broderick, III | Chairman, Bridge Builder Trust | |
William E. Fiala | Vice President, Olive Street Investment Advisers
Principal, Edward Jones Investment Advisory |
Semiannual Report • December 31, 2015 | 1 |
Table of Contents
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Core Bond Fund is to provide total return (capital appreciation plus income).
Investment Strategy
The Fund’s assets are allocated across different fixed-income market sectors and maturities. Most of the Fund’s investments are fixed-income securities issued or guaranteed by the U.S. government or its agencies, municipalities, U.S. corporate issuers, asset-backed securities, privately-issued securities, floating rate securities, and mortgage-related and mortgage-backed securities. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
Robert W. Baird & Co., Inc. utilizes a structured, risk-controlled philosophy with a disciplined duration approach to invest its allocated portion of the Fund’s assets. | J.P. Morgan Investment Management, Inc. incorporates a bottom-up, value-oriented approach in managing its allocated portion of the Fund’s assets. | Loomis, Sayles & Company, L.P. employs an investment philosophy which focuses on relative value investing on a risk-adjusted basis, seeking to add value for clients primarily through security selection while managing top-down risks in the portfolio. | Prudential Investment Management, Inc. uses a team approach to attempt to add value by tilting toward fixed-income sectors that it believes are attractive and by utilizing its extensive research capabilities to choose attractive fixed-income securities within sectors. |
Fund Performance as of December 31, 2015
6-Month (1) | 1 Year | Since Inception (10/28/2013) | ||||||||||
Bridge Builder Core Bond Fund | 0.78 | % | 0.86 | % | 2.62 | % | ||||||
Barclays Capital U.S. Aggregate Bond Index | 0.65 | % | 0.55 | % | 2.48 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.39%*
Net Expense Ratio: 0.19%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Mortgage-Backed Obligations | 34.1 | % | ||
Corporate Bonds | 29.1 | % | ||
Government Related | 21.1 | % | ||
Asset-Backed Obligations | 9.4 | % | ||
Short-Term Investments | 6.3 | % |
2 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Core Plus Bond Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Core Plus Bond Fund is to provide total return (capital appreciation plus income).
Investment Strategy
The Fund’s assets are allocated across different fixed-income market sectors and maturities. Most of the Fund’s investments are fixed-income securities issued or guaranteed by the U.S. government or its agencies, municipalities, U.S. corporate issuers, asset-backed securities, privately-issued securities, floating rate securities, and mortgage-related and mortgage-backed securities. The Fund may invest in securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
Janus Capital Management, LLC applies a bottom-up fundamental approach in choosing investments. This means that the portfolio managers look at income-producing securities one at a time to determine if a security is an attractive investment opportunity and is consistent with Janus’ and the Fund’s investment policies. | Loomis, Sayles & Company, L.P. generally seeks fixed-income securities of issuers whose credit profiles it believes are improving. Loomis Sayles relies primarily on issue selection as the key driver to investment performance. Loomis Sayles also analyzes different sectors of the economy and differences in the yields of various fixed-income securities in an effort to find securities that it believes may produce attractive returns in comparison to these securities’ risk. | Metropolitan West Asset Management, LLC employs a value-oriented fixed-income management philosophy and an investment process predicated on a long-term economic outlook. | T. Rowe Price Associates, Inc. emphasizes the value of in-depth fundamental research, diversification and risk management practices. T. Rowe Price’s strategy integrates top-down sector allocation with bottom-up security selection in pursuit of the Fund’s investment objective. |
Fund Performance as of December 31, 2015
Since Inception (7/13/2015) (1) | ||||
Bridge Builder Core Plus Bond Fund | 0.19 | % | ||
Barclays Capital U.S. Aggregate Bond Index | 0.99 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.44%*
Net Expense Ratio: 0.26%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Corporate Bonds | 34.8 | % | ||
Mortgage-Backed Obligations | 27.4 | % | ||
Government Related | 24.3 | % | ||
Asset-Backed Obligations | 7.3 | % | ||
Short-Term Investments | 5.4 | % | ||
Bank Loans | 0.5 | % | ||
Preferred Stock | 0.3 | % |
Semiannual Report • December 31, 2015 | 3 |
Table of Contents
Bridge Builder Municipal Bond Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Municipal Bond Fund is to provide current income exempt from Federal tax, with a secondary goal of preservation of investment principal.
Investment Strategy
The Fund invests under normal conditions, at least 80% of its net assets in municipal securities of any maturity or duration whose interest is exempt from Federal income tax. Municipal securities include debt obligations issued by or on behalf of a governmental entity or other qualifying issuer that pay interest that is generally excludable from gross income for Federal income tax purposes. Interest may be includable in taxable income for investors subject to the alternative minimum tax. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
FIAM LLC, dba Fidelity Institutional Asset Management allocates assets across different market sectors and maturities, normally investing in investment-grade municipal securities. When selecting investments, FIAM dba Fidelity Institutional Asset Management analyzes issuer credit quality, security-specific features, current and potential future valuation, and trading opportunities. | T. Rowe Price Associates Inc.’s investment approach emphasizes in-depth fundamental research, diversification, and strict risk management practices in the pursuit of the Fund’s investment objective. Investment decisions reflect the portfolio managers’ outlook for interest rates and the economy, as well as the prices, yields, and credit quality of various municipal securities. | Wells Capital Management starts its investment process with a top-down, macroeconomic outlook. WellsCap’s security selection is based on several factors including improving financial trends, positive industry and sector dynamics, improving economic conditions, specific demographic trends and value relative to other securities. |
Fund Performance as of December 31, 2015
Since Inception (9/14/2015) (1) | ||||
Bridge Builder Municipal Bond Fund | 1.81 | % | ||
Barclays Municipal 1-15 Year Index | 1.95 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.48%*
Net Expense Ratio: 0.32%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Portfolio Characteristics***
Security Type Breakdown | (% of Investments) | |||
General Obligation | 30.6 | % | ||
General Revenue | 25.1 | % | ||
Healthcare | 12.4 | % | ||
Transportation Utilities |
| 11.5 8.7 | % % | |
Education | 7.8 | % | ||
Housing | 2.9 | % | ||
Short-Term Investments | 1.0 | % |
Breakdown by State | (% of Net Assets) | |||
New York | 13.2 | % | ||
Texas | 9.4 | % | ||
Illinois | 8.3 | % | ||
Pennsylvania Florida |
| 7.4 6.9 | % % | |
California | 6.5 | % | ||
Connecticut | 4.2 | % | ||
Virginia | 4.1 | % | ||
Michigan | 3.4 | % | ||
New Jersey | 3.2 | % | ||
Other | 31.8 | % |
4 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Large Cap Growth Fund is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those whose market capitalizations typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
Lazard Asset Management LLC, invests primarily in equity securities of U.S. companies that have strong and/or improving financial productivity and are undervalued based on their earnings, cash flow or asset values. | Sustainable Growth Advisers, LP, seeks to identify large-capitalization companies that exhibit characteristics such as pricing power, repeat revenue streams and global reach that seem to have the potential for long-term earnings growth within the context of low business risk. | Jennison Associates LLC, invests in companies that have strong capital appreciation potential. It follows a highly disciplined investment selection and management process of identifying companies that show superior absolute and relative earnings growth and are believed to be attractively valued. | William Blair Investment Management, LLC, invests primarily in a diversified portfolio of equity securities of domestic growth companies of all sizes that are expected to exhibit quality growth characteristics. William Blair performs fundamental company analysis and focuses on stock selection. | BlackRock Investment Management, LLC, invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Growth Index. |
Fund Performance as of December 31, 2015
6-Month (1) | Since Inception (4/27/2015) (1) | |||||||
Bridge Builder Large Cap Growth Fund | 2.27 | % | 0.53 | % | ||||
Russell 1000® Growth Index | 1.64 | % | -0.54 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.54%*
Net Expense Ratio: 0.37%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Information Technology | 31.7 | % | ||
Consumer Discretionary | 19.3 | % | ||
Healthcare | 15.9 | % | ||
Financials | 7.9 | % | ||
Industrials | 7.9 | % | ||
Consumer Staples | 7.6 | % | ||
Energy | 3.5 | % | ||
Short-Term Investments | 3.0 | % | ||
Materials | 2.6 | % | ||
Telecommunication Services | 0.6 | % | ||
Utilities | 0.0 | % |
Top Equity Holdings | (% of Net Assets) | |||
Alphabet, Inc. – Class A | 3.9 | % | ||
Amazon.com, Inc. | 3.2 | % | ||
Apple, Inc. | 2.9 | % | ||
Facebook, Inc. | 2.7 | % | ||
Visa, Inc. | 2.4 | % | ||
Lowes Companies, Inc. | 2.0 | % | ||
Alphabet, Inc. – Class C | 1.9 | % | ||
Microsoft Corp. | 1.9 | % | ||
Red Hat, Inc. | 1.8 | % | ||
Bristol Myers Squibb Co. | 1.8 | % |
Semiannual Report • December 31, 2015 | 5 |
Table of Contents
Bridge Builder Large Cap Value Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Large Cap Value Fund is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those whose market capitalizations typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
Artisan Partners Limited Partnership employs a fundamental investment process to construct a diversified portfolio of equity securities that are undervalued, in solid financial condition and have attractive business economics. | Barrow, Hanley, Mewhinney & Strauss, LLC believes that equity market inefficiencies can best be exploited through adherence to a value-oriented investment process dedicated to the selection of securities on a bottom-up basis. Barrow Hanley implements this strategy by seeking to construct portfolios of individual stocks that reflect all three value characteristics: price/earnings and price/book ratios below the market, and dividend yields above the market (as measured by the S&P 500 Index). | Wellington Management Company LLP uses substantial proprietary, fundamental research resources to identify companies with superior prospects for dividend growth and capital appreciation that sell at reasonable valuation levels. Wellington Management believes that above-average growth in dividends is an effective and often overlooked indicator of higher quality, shareholder-oriented companies that have the ability to produce consistent, above-average returns over the long term. | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Value Index. |
Fund Performance as of December 31, 2015
6-Month (1) | Since Inception (4/27/2015) (1) | |||||||
Bridge Builder Large Cap Value Fund | -3.35 | % | -4.92 | % | ||||
Russell 1000® Value Index | -3.23 | % | -4.50 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.54%*
Net Expense Ratio: 0.40%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Financials | 22.2 | % | ||
Industrials | 14.6 | % | ||
Information Technology | 12.7 | % | ||
Healthcare | 11.3 | % | ||
Consumer Discretionary | 11.0 | % | ||
Energy | 8.5 | % | ||
Consumer Staples | 7.7 | % | ||
Materials | 6.0 | % | ||
Short-Term Investments | 3.7 | % | ||
Telecommunication Services | 1.7 | % | ||
Utilities | 0.6 | % |
Top Equity Holdings | (% of Net Assets) | |||
Oracle Corp. | 1.8 | % | ||
Microsoft Corp. | 1.7 | % | ||
Citigroup, Inc. | 1.6 | % | ||
Wells Fargo & Co. | 1.6 | % | ||
Chevron Corp. | 1.4 | % | ||
Johnson & Johnson | 1.4 | % | ||
Medtronic Plc | 1.4 | % | ||
Merck & Co, Inc. | 1.4 | % | ||
United Technologies Corp. | 1.4 | % | ||
United Health Group, Inc. | 1.3 | % |
6 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Growth Fund is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of small- and mid-capitalization companies, which are defined as those whose market capitalizations typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
Eagle Asset Management, Inc. invests primarily in small-capitalization companies. The team generally focuses on investing in small capitalization companies that demonstrate growth potential at a price that does not appear to reflect the company’s true underlying value. The portfolio managers use a three-pronged investment philosophy: quality, valuation and balance. | Champlain Investment Partners, LLC seeks capital appreciation by investing mainly in common stocks of medium-sized companies that it believes have strong long-term fundamentals, superior capital appreciation potential and attractive valuations. Champlain expects to identify a diversified universe of medium-sized companies that trade at a discount to their estimated or intrinsic fair values. | ClearBridge Investments, LLC invests primarily in mid-capitalization companies. The team normally invests in stocks selected for their long-term growth potential. The portfolio managers conduct bottom-up, fundamental research and look for attractive valuations, favorable growth and attractive risk/reward profiles, and strong free cash flow and balance sheets. | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 2500® Growth Index. | Stephens Investment Management Group, LLC employs a disciplined, bottom-up investment selection process that combines rigorous fundamental analysis with quantitative screening in an effort to identify companies that exhibit potential for superior earnings growth that is unrecognized by the markets. |
Fund Performance as of December 31, 2015
6-Month (1) | Since Inception (4/27/2015) (1) | |||||||
Bridge Builder Small/Mid Cap Growth Fund | -5.47 | % | -5.85 | % | ||||
Russell 2500® Growth Index | -7.66 | % | -7.40 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.77%*
Net Expense Ratio: 0.49%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Information Technology | 22.3 | % | ||
Healthcare | 18.6 | % | ||
Consumer Discretionary | 15.4 | % | ||
Industrials | 14.2 | % | ||
Financials | 12.4 | % | ||
Consumer Staples | 6.9 | % | ||
Short-Term Investments | 3.4 | % | ||
Materials | 3.2 | % | ||
Energy | 2.6 | % | ||
Telecommunication Services | 0.8 | % | ||
Utilities | 0.2 | % |
Top Equity Holdings | (% of Net Assets) | |||
SolarWinds, Inc. | 1.6 | % | ||
Rockwell Automation, Inc. | 1.3 | % | ||
Fortinet, Inc. | 1.1 | % | ||
Mettler – Toledo International, Inc. | 1.1 | % | ||
Workday, Inc. | 1.0 | % | ||
Casey’s General Stores, Inc. | 1.0 | % | ||
Core Laboratories | 1.0 | % | ||
The J.M. Smucker Co. | 1.0 | % | ||
IDEX Corp. | 0.9 | % | ||
Splunk, Inc. | 0.9 | % | ||
Semiannual Report • December 31, 2015 | 7 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Value Fund is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of small- and mid-capitalization companies, which are defined as those whose market capitalizations typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Sub-advisers
Vaughan Nelson Investment Management, LP uses a bottom-up value-oriented investment process. Vaughan Nelson seeks companies that typically possess one or more of the following attributes: companies earning a positive return on capital with stable-to-improving returns, valued at a discount to their asset value, and/or having an attractive and sustainable dividend level. | Boston Partners primarily invests in medium-capitalization companies and uses bottom-up fundamental analysis to make investment decisions. Boston Partner’s strategy seeks to add value through bottom-up stock selection. The strategy is designed to identify companies with attractive valuation, sound business fundamentals and improving business momentum. | Silvercrest Asset Management Group LLC invests in small-capitalization companies that typically possess one or more of the following attributes: business that results in relatively consistent longer-term earnings and cash flow growth, franchise/asset value that may make the company attractive to potential acquirers, cyclically depressed earnings and/or cash flow that has potential for improvement, or a catalyst that will promote recognition of the company’s undervalued status. | Advisory Research, Inc. uses a bottom-up approach that seeks to identify companies with attractive valuations relative to net asset value. The strategy invests in stocks that Advisory Research believes are profitable, undervalued on a price-to-book basis and exhibit low levels of leverage. | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 2500® Value Index. |
Fund Performance as of December 31, 2015
6-Month (1) | Since Inception (4/27/2015) (1) | |||||||
Bridge Builder Small/Mid Cap Value Fund | -5.32 | % | -6.55 | % | ||||
Russell 2500® Value Index | -7.07 | % | -8.22 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.88%*
Net Expense Ratio: 0.69%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Financials | 28.5 | % | ||
Information Technology | 15.7 | % | ||
Industrials | 14.1 | % | ||
Consumer Discretionary | 11.5 | % | ||
Healthcare | 9.1 | % | ||
Materials | 7.7 | % | ||
Utilities | 4.1 | % | ||
Energy | 3.3 | % | ||
Consumer Staples | 2.7 | % | ||
Short-Term Investments | 2.7 | % | ||
Telecommunication Services | 0.6 | % |
Top Equity Holdings | (% of Net Assets) | |||
Crown Holdings, Inc. | 1.2 | % | ||
Jarden Corp. | 0.9 | % | ||
Investors Bancorp, Inc. | 0.9 | % | ||
Fidelity National Information Services, Inc. | 0.9 | % | ||
SEI Investments Co. | 0.8 | % | ||
Reinsurance Group of America, Inc. | 0.8 | % | ||
Grand Canyon Education, Inc. | 0.8 | % | ||
Synchrony Financial | 0.7 | % | ||
VWR Corp. | 0.7 | % | ||
First Data Corp. | 0.7 | % |
8 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder International Equity Fund
Fund Characteristics and Performance
Investment Objective
The investment objective of the Bridge Builder International Equity Fund is to provide capital appreciation.
Investment Strategy
The Fund will primarily invest in non-U.S. dollar denominated securities of large capitalization companies that derive a majority of their revenues or profits from a country or countries other than the United States. The Fund employs a multi-manager sub-advised structure.
Investment Sub-advisers
Baillie Gifford Overseas Limited primarily uses proprietary, fundamental research to identify companies for investment that can exhibit sustained, above-average growth with attractive financial characteristics and sustainable competitive advantages. When evaluating individual companies for investment, Baillie Gifford normally focuses on growth/quality, management, valuation and sell discipline. | BlackRock Investment Management, LLC’s equity index strategy invests and reinvests in a portfolio of international equity securities whose total rates of return will approximate as closely as practicable the capitalization weighted total rates of return of the markets in certain countries for equity securities traded outside the United States. | Edinburgh Partners Limited employs a disciplined, value-oriented, global investment strategy to select stocks. Edinburgh Partners aims to identify and buy undervalued non-U.S. companies, including those in the emerging markets, and hold them until share prices reflect their long-term earnings potential. | Manning & Napier Advisors, LLC uses a bottom up strategy focusing on individual security selection to choose stocks from companies outside the U.S. Manning & Napier uses fundamental analysis to look for companies trading at attractive valuations for strong strategic profiles, companies with competitive strength in rebounding industries, and businesses going through restructuring. | Mondrian Investment Partners Limited employs an active, value-oriented approach to managing international equities, and invests in securities where rigorous dividend discount analysis identifies value in terms of the long-term flow of income. The philosophy is built upon the assumption that dividend yield and future real growth are critical in determining a company’s total expected return and that the dividend component will be a meaningful portion of the expected return over time. | WCM Investment Management uses a bottom-up approach that seeks to identify companies with attractive fundamentals, such as long-term growth in revenue and earnings, and that show a high probability for superior future growth. WCM’s investment process focuses on seeking industry-leading companies that WCM believes possess growing competitive advantages; corporate cultures emphasizing strong, quality and experienced management; low or no debt; and attractive relative valuations. |
Fund Performance as of December 31, 2015
Since Inception (7/06/2015) (1) | ||||
Bridge Builder International Equity Fund | -5.06 | % | ||
MSCI EAFE Index | -4.86 | % |
(1) | Cumulative return for all periods with less than 12 months of performance. |
Gross Expense Ratio: 0.74%*
Net Expense Ratio: 0.49%**
Performance data quoted represents past performance; past performance 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. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611. Short term performance, in particular, is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.
Semiannual Report • December 31, 2015 | 9 |
Table of Contents
Bridge Builder International Equity Fund (continued)
Fund Characteristics and Performance
Portfolio Characteristics***
Sector Breakdown | (% of Investments) | |||
Consumer Discretionary | 15.1 | % | ||
Financials | 14.9 | % | ||
Consumer Staples | 14.6 | % | ||
Information Technology | 12.9 | % | ||
Healthcare | 12.5 | % | ||
Industrials | 10.3 | % | ||
Energy | 5.3 | % | ||
Short-Term Investments | 4.5 | % | ||
Telecommunication Services | 4.4 | % | ||
Materials | 3.5 | % | ||
Utilities | 2.0 | % |
Country Breakdown | (% of Investments) | |||
Japan | 18.6 | % | ||
United Kingdom | 17.7 | % | ||
Switzerland | 8.9 | % | ||
Germany | 6.5 | % | ||
United States | 5.9 | % | ||
Hong Kong | 4.6 | % | ||
France | 4.0 | % | ||
Denmark | 3.8 | % | ||
Netherlands | 3.5 | % | ||
China | 3.2 | % | ||
Other | 23.3 | % |
Top Equity Holdings | (% of Net Assets) | |||
Nestle SA | 2.1 | % | ||
Taiwan Semiconductor MFG Co. Ltd. | 1.6 | % | ||
Japan Tobacco, Inc. | 1.2 | % | ||
Roche Holdings AG | 1.2 | % | ||
Tesco Plc | 1.1 | % | ||
Novartis AG | 1.1 | % | ||
Baidu, Inc. | 1.1 | % | ||
Unilever Plc | 1.0 | % | ||
BP Plc | 1.0 | % | ||
ABB Ltd. | 1.0 | % |
10 | Semiannual Report • December 31, 2015 |
Table of Contents
Fund Characteristics and Performance
* | The Gross Expense Ratio, per the Fund’s latest Prospectus, includes all categories of expenses before any expense reductions or fee waivers. |
** | Olive Street Investment Advisers, LLC has contractually agreed, until at least October 28, 2016, to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the Adviser is required to pay the Fund’s Sub-advisers. This contractual agreement may only be changed or eliminated with the approval of the Board of Trustees. Such waivers are not subject to reimbursement by the Fund. |
*** | Fund holdings, sector and portfolio exposure are subject to change at any time and are not recommendations to buy or sell any security. |
Mutual fund investing involves risk. The value of your investment in a Fund could go down as well as up. 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 lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The risks to the municipal bond market can include unusual volatility, liquidity issues, the inability of the issuer to repay the obligation and a tax risk to the investor if the municipal obligation fails to meet requirements. There is no guarantee that all of the municipal bond income will remain exempt from federal or state income taxes. Investments in municipal securities may be adversely affected by unfavorable legislative or political developments and economic developments that impact the financial condition of municipal issuers. Investments in small and mid-cap companies may involve additional risks such as limited liquidity and greater volatility than larger companies. Investments in non-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. 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.
You cannot invest directly in an index.
Barclays Municipal 1-15 Year Index (1-17) is a subset of the Barclays Municipal Bond Index covering only maturities between 1 and 17 years. The Barclays Municipal Bond Index is an unmanaged index composed of tax-exempt bonds with maturities greater than one year and a minimum credit rating of Baa.
Barclays Capital U.S. Aggregate Bond Index is a broad base index, maintained by Barclays Capital, and is often used to represent investment grade bonds being traded in United States.
Duration is a measure of the sensitivity of the price of a fixed income security (or a portfolio of fixed income securities) to changes in interest rates.
Free Cash Flow is a measure of financial performance calculated as operating cash flow minus capital expenditures. Free cash flow (FCF) represents the cash that a company is able to generate after laying out the money required to maintain or expand its asset base. Free cash flow is important because it allows a company to pursue opportunities that enhance shareholder value. Without cash, it’s tough to develop new products, make acquisitions, pay dividends and reduce debt.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East Index (EAFE) is an unmanaged index of over 900 companies, and is a generally accepted benchmark for major overseas markets.
The MSCI EM (Emerging Markets) is a market capitalization weighted index that is designed to measure the equity market performance of emerging market countries.
Price to Earnings Ratio is a valuation ratio of a company’s current share price compared to its per-share earnings. It is calculated by dividing the current closing price of the stock by the earnings per share of the last four quarters.
Price to Book Ratio is a ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
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 forecasted growth values.
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 Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
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 forecasted growth values.
Semiannual Report • December 31, 2015 | 11 |
Table of Contents
Bridge Builder Mutual Funds
Fund Characteristics and Performance (Continued)
The Russell 2500®Value Index includes the subset of companies in the Russell 2500 Index with lower price-to-book and lower forecasted growth.
The Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe.
The S&P 500 Index, an unmanaged index, consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to its market value.
12 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Fund Expense Examples (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management 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.
Actual Expenses
The Examples are based on $1,000 invested at the beginning of the period and held for the entire period from July 1, 2015 to December 31, 2015 except as noted below.
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.
For the Bridge Builder Core Plus Bond, Municipal Bond and International Equity Funds, the “Actual” line in the table is based on the periods from July 13, 2015, September 14, 2015 and July 6, 2015 (the inception dates of the Funds) to December 31, 2015, respectively.
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 | Annual Expense Ratio | Expenses paid during the period* | |||||||||||||||||
Bridge Builder Core Bond Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.80 | 0.17 | % | $ | 0.86 | ||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.28 | $ | 0.87 | ||||||||||||||
Bridge Builder Core Plus Bond Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.90 | 0.22 | % | $ | 1.03 | ** | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.03 | $ | 1.12 | ||||||||||||||
Bridge Builder Municipal Bond Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.10 | 0.26 | % | $ | 0.77 | *** | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.83 | $ | 1.32 | ||||||||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.70 | 0.31 | % | $ | 1.58 | ||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.58 | $ | 1.58 | ||||||||||||||
Bridge Builder Large Cap Value Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 966.50 | 0.34 | % | $ | 1.68 | ||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.43 | $ | 1.73 | ||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 945.30 | 0.47 | % | $ | 2.30 | ||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.77 | $ | 2.39 | ||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 946.80 | 0.54 | % | $ | 2.64 | ||||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.42 | $ | 2.75 | ||||||||||||||
Bridge Builder International Equity Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 949.40 | 0.45 | % | $ | 2.13 | **** | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.87 | $ | 2.29 |
Semiannual Report • December 31, 2015 | 13 |
Table of Contents
Bridge Builder Mutual Funds
Fund Expense Examples (Unaudited) (Continued)
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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 Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 171/366 (to reflect the period since the Fund’s inception on July 13, 2015). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
*** | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 108/366 (to reflect the period since the Fund’s inception on September 14,2015). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
**** | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 178/366 (to reflect the period since the Fund’s inception on July 6, 2015). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
14 | Semiannual Report • December 31, 2015 |
Table of Contents
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES |
| |||||||||||
Asset-Backed Obligations |
| |||||||||||
Various Securities (1) (2) | $ | 995,850,699 | $ | 975,274,170 | 9.77 | % | ||||||
Total Asset-Backed Obligations | $ | 975,274,170 | 9.77 | % | ||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (2) | $ | 130,831,000 | $ | 121,244,814 | 1.21 | % | ||||||
Total Basic Materials | 121,244,814 | 1.21 | % | |||||||||
Communications | ||||||||||||
Various Securities (2) | 238,895,000 | 240,215,029 | 2.41 | % | ||||||||
Total Communications | 240,215,029 | 2.41 | % | |||||||||
Consumer Cyclical | ||||||||||||
Various Securities (2) | 158,387,937 | 160,353,380 | 1.61 | % | ||||||||
Total Consumer Cyclical | 160,353,380 | 1.61 | % | |||||||||
Consumer Non-cyclical | ||||||||||||
Various Securities (2) | 351,136,860 | 358,295,949 | 3.59 | % | ||||||||
Total Consumer Non-cyclical | 358,295,949 | 3.59 | % | |||||||||
Diversified | ||||||||||||
Various Securities (2) | 7,597,000 | 8,362,286 | 0.08 | % | ||||||||
Total Diversified | 8,362,286 | 0.08 | % | |||||||||
Energy | ||||||||||||
Various Securities (2) | 353,258,000 | 328,005,158 | 3.28 | % | ||||||||
Total Energy | 328,005,158 | 3.28 | % | |||||||||
Financials | ||||||||||||
GE Capital International Funding Co, 2.34%, Nov. 2020 (Acquired 10/28/2013 through 7/28/2015, Cost $20,835,229) (2) | 21,913,000 | 21,752,443 | 0.22 | % | ||||||||
Goldman Sachs Group, Inc., 5.75%, Jan. 2022 | 17,947,000 | 20,411,446 | 0.20 | % | ||||||||
Other Securities (2) | 1,279,599,365 | 1,323,360,321 | 13.25 | % | ||||||||
Total Financials | 1,365,524,210 | 13.67 | % | |||||||||
Industrials | ||||||||||||
Various Securities (2) | 128,972,653 | 129,194,956 | 1.29 | % | ||||||||
Total Industrials | 129,194,956 | 1.29 | % | |||||||||
Technology | ||||||||||||
Various Securities (2) | 102,078,000 | 102,645,859 | 1.03 | % | ||||||||
Total Technology | 102,645,859 | 1.03 | % | |||||||||
Utilities | ||||||||||||
Various Securities (2) | 192,909,259 | 200,466,919 | 2.01 | % | ||||||||
Total Utilities | 200,466,919 | 2.01 | % | |||||||||
Total Corporate Bonds | $ | 3,014,308,560 | 30.18 | % | ||||||||
Government Related | ||||||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Bond, 2.50%, May 2024 | $ | 36,425,000 | $ | 37,218,009 | 0.37 | % | ||||||
U.S. Treasury Bond, 2.75%, Nov. 2042 | 27,980,000 | 26,621,879 | 0.27 | % | ||||||||
U.S. Treasury Bond, 2.88%, Aug. 2045 | 33,845,000 | 32,807,177 | 0.33 | % | ||||||||
U.S. Treasury Bond, 2.88%, May 2043 (5) | 25,625,000 | 24,932,664 | 0.25 | % | ||||||||
U.S. Treasury Bond, 3.00%, May 2045 | 36,990,000 | 36,750,083 | 0.37 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 15 |
Table of Contents
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) | ||||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Bond, 3.50%, Feb. 2039 | $ | 159,469,100 | $ | 176,053,408 | 1.76 | % | ||||||
U.S. Treasury Bond, 4.75%, Feb. 2037 | 17,086,000 | 22,612,996 | 0.23 | % | ||||||||
U.S. Treasury Bond, 5.25%, Nov. 2028 | 30,240,500 | 39,515,654 | 0.40 | % | ||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, Apr. 2020 (3) | 72,951,985 | 71,969,540 | 0.72 | % | ||||||||
U.S. Treasury Note, 0.88%, Jan. 2018 | 28,425,000 | 28,298,964 | 0.28 | % | ||||||||
U.S. Treasury Note, 0.88%, Nov. 2017 | 70,063,000 | 69,866,964 | 0.70 | % | ||||||||
U.S. Treasury Note, 1.13%, Dec. 2019 | 27,570,000 | 27,050,967 | 0.27 | % | ||||||||
U.S. Treasury Note, 1.50%, Dec. 2018 | 24,330,000 | 24,444,132 | 0.24 | % | ||||||||
U.S. Treasury Note, 1.63%, Jun. 2020 | 90,901,000 | 90,549,940 | 0.91 | % | ||||||||
U.S. Treasury Note, 1.63%, Nov. 2020 | 57,210,000 | 56,885,791 | 0.57 | % | ||||||||
U.S. Treasury Note, 1.75%, Dec. 2020 | 22,855,000 | 22,836,602 | 0.23 | % | ||||||||
U.S. Treasury Note, 2.00%, Aug. 2025 | 26,015,000 | 25,364,209 | 0.25 | % | ||||||||
U.S. Treasury Note, 2.00%, Nov. 2022 | 48,035,000 | 47,772,825 | 0.48 | % | ||||||||
U.S. Treasury Note, 2.63%, Aug. 2020 | 60,309,000 | 62,669,555 | 0.63 | % | ||||||||
U.S. Treasury Note, 3.25%, Dec. 2016 | 20,315,000 | 20,801,707 | 0.21 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2018 | 21,739,000 | 21,053,656 | 0.21 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2019 | 22,357,000 | 21,099,083 | 0.21 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2020 | 25,243,000 | 23,195,591 | 0.23 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2022 | 33,917,000 | 29,781,636 | 0.30 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2023 | 61,562,000 | 52,555,972 | 0.53 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2019 | 20,278,000 | 19,278,132 | 0.19 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2020 | 39,615,000 | 36,579,342 | 0.37 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2023 | 33,770,000 | 28,580,564 | 0.29 | % | ||||||||
U.S. Treasury Note/Bond, 0.63%–8.75%, Oct. 2016–Feb. 2045 | 284,381,000 | 296,990,310 | 2.97 | % | ||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2016–May 2036 | 470,808,000 | 354,364,534 | 3.55 | % | ||||||||
Other Securities (3) | 33,994,602 | 20,259,530 | 0.20 | % | ||||||||
Total U.S. Treasury | 1,848,761,416 | 18.52 | % | |||||||||
Other Government Related | ||||||||||||
Federal Home Loan Banks, 0.50%, Sep. 2016 | 18,390,000 | 18,358,369 | 0.18 | % | ||||||||
Residual Funding Corp Principal Strip, 0.00%, Jul. 2020 | 36,899,000 | 33,718,675 | 0.34 | % | ||||||||
Other Securities (2) | 287,067,000 | 291,462,510 | 2.92 | % | ||||||||
Total Other Government Related | 343,539,554 | 3.44 | % | |||||||||
Total Government Related | $ | 2,192,300,970 | 21.96 | % | ||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 2.50%, Jan. 2028 (4) | $ | 44,035,000 | $ | 44,373,664 | 0.45 | % | ||||||
Fannie Mae, 3.00%, Aug. 2043 | 20,302,796 | 20,353,732 | 0.20 | % | ||||||||
Fannie Mae, 3.00%, Jan. 2043 (4) | 21,380,000 | 21,372,562 | 0.21 | % | ||||||||
Fannie Mae, 3.00%, May 2043 | 27,698,568 | 27,771,238 | 0.28 | % | ||||||||
Fannie Mae, 3.09%, Apr. 2027 | 23,211,000 | 23,559,903 | 0.24 | % | ||||||||
Fannie Mae, 3.50%, Apr. 2045 | 18,945,775 | 19,555,135 | 0.20 | % | ||||||||
Fannie Mae, 3.50%, Jan. 2041 (4) | 59,615,000 | 61,486,684 | 0.62 | % | ||||||||
Fannie Mae, 3.50%, Oct. 2033 | 19,235,422 | 20,105,471 | 0.20 | % | ||||||||
Fannie Mae, 4.00%, Jan. 2041(4) | 60,405,000 | 63,903,090 | 0.64 | % | ||||||||
Fannie Mae, 4.00%, Jul. 2045 | 18,326,505 | 19,439,973 | 0.19 | % |
The accompanying notes are an integral part of these financial statements.
16 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||
Fannie Mae, 4.50%, Aug. 2040 | $ | 23,059,436 | $ | 24,964,490 | 0.25 | % | ||||||
Freddie Mac, 3.00%, Jun. 2043 | 17,914,638 | 17,915,754 | 0.18 | % | ||||||||
Freddie Mac, 3.50%, Jan. 2042 (4) | 26,515,000 | 27,285,579 | 0.27 | % | ||||||||
Freddie Mac, 3.50%, Jul. 2042 | 18,688,704 | 19,255,773 | 0.19 | % | ||||||||
Freddie Mac, 3.50%, May 2044 | 25,286,621 | 26,117,794 | 0.26 | % | ||||||||
Ginnie Mae, 3.00%, Jan. 2043 (4) | 27,685,000 | 28,050,312 | 0.28 | % | ||||||||
Ginnie Mae, 3.50%, Jan. 2043 (4) | 88,175,000 | 91,888,455 | 0.92 | % | ||||||||
Ginnie Mae, 3.50%, Jul. 2045 | 21,266,790 | 22,194,984 | 0.22 | % | ||||||||
Fannie Mae, 0.00%–1184.78%, Oct. 2016–Jul. 2051 | 132,489,824 | 116,031,286 | 1.16 | % | ||||||||
Fannie Mae, 0.53%–10.50%, Jun. 2016–Nov. 2048 (4) | 988,386,799 | 1,031,557,166 | 10.33 | % | ||||||||
Freddie Mac, 0.89%–5.09%, Mar. 2019–Aug. 2025 | 242,318,028 | 113,703,934 | 1.14 | % | ||||||||
Freddie Mac, 2.50%–10.00%, Jul. 2016–Dec. 2045 (4) | 292,366,155 | 306,181,419 | 3.07 | % | ||||||||
Ginnie Mae, 3.00%–8.50%, Mar. 2025–May 2063 (4) | 148,461,196 | 156,954,161 | 1.57 | % | ||||||||
Ginnie Mae, 0.00%–38.28%, Nov. 2020–Nov. 2065 | 238,657,646 | 217,625,801 | 2.18 | % | ||||||||
Other Securities (1)(2)(6) | 1,548,627,944 | 1,011,312,525 | 10.13 | % | ||||||||
Total Mortgage-Backed Obligations | $ | 3,532,960,885 | 35.38 | % | ||||||||
Total Bonds & Notes | $ | 9,714,844,585 | 97.29 | % | ||||||||
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Portfolio – Class I, 0.12% (7) | 329,401,553 | $ | 329,401,553 | 3.30 | % | |||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.11% (7) | 329,018,348 | 329,018,348 | 3.29 | % | ||||||||
Total Money Market Funds | 658,419,901 | 6.59 | % | |||||||||
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury Bills | ||||||||||||
U.S. Treasury Bill, 0.00%, Jun. 2016 (5) | $ | 500,000 | 498,888 | 0.01 | % | |||||||
Total U.S. Treasury Bills | 498,888 | 0.01 | % | |||||||||
Total Short-Term Investments | $ | 658,918,789 | 6.60 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 10,373,763,374 | 103.89 | % | |||||||
SECURITIES SOLD SHORT |
| |||||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 4.00%, 1/15/2041 (8) | $ | (76,000,000 | ) | $ | (80,401,206 | ) | -0.81 | % | ||||
Total Securities Sold Short | $ | (80,401,206 | ) | -0.81 | % | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (307,974,100 | ) | -3.08 | % | |||||||
TOTAL NET ASSETS |
| $ | 9,985,388,068 | 100.00 | % |
(1) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $17,577,056, which represents 0.18% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 17 |
Table of Contents
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
(2) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $1,321,587,969, which represents 13.24% of total net assets. See Note 3(e) in the Notes to Financial Statements. |
(3) | Includes inflation protected securities. The value of these securities totals $82,453,449, which represents 0.83% of total net assets. |
(4) | Includes delayed delivery purchase commitment securities. The value of these securities totals $407,538,571, which represents 4.08% of total net assets. See Note 3(a) in the Notes to Financial Statements. |
(5) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $1,834,639, which represents 0.02% of total net assets. See Note 3(b) in the Notes to Financial Statements. |
(6) | Includes securities in default. The value of these securities totals $5,025,871, which represents 0.05% of total net assets. |
(7) | Partially assigned as collateral for certain delayed delivery securities. See Note 3(a) in the Notes to Financial Statements. |
(8) | Delayed delivery sale commitment security. See Note 3(a) in the Notes to Financial Statements. |
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
2,006 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2016 | $ | 436,446,449 | $ | 435,772,157 | $ | (674,292 | ) | ||||||||||
251 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2016 | 29,757,694 | 29,698,398 | (59,296 | ) | |||||||||||||
(18) | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2016 | (2,131,711 | ) | (2,129,767 | ) | 1,944 | ||||||||||||
63 | U.S. 10 Year Note Future | J.P. Morgan | Mar. 2016 | 7,930,318 | 7,932,093 | 1,775 | ||||||||||||||
(179) | U.S. Long Bond Future | J.P. Morgan | Mar. 2016 | (27,815,091 | ) | (27,521,251 | ) | 293,840 | ||||||||||||
44 | U.S. Ultra Bond Future | J.P. Morgan | Mar. 2016 | 6,954,089 | 6,982,249 | 28,160 | ||||||||||||||
|
| |||||||||||||||||||
$ | (407,869 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
18 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES |
| |||||||||||
Asset-Backed Obligations |
| |||||||||||
Various Securities (1) | $ | 169,329,526 | $ | 166,033,373 | 7.54 | % | ||||||
Total Asset-Backed Obligations | $ | 166,033,373 | 7.54 | % | ||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (1) | $ | 24,873,000 | $ | 21,276,519 | 0.97 | % | ||||||
Total Basic Materials | 21,276,519 | 0.97 | % | |||||||||
Communications | ||||||||||||
CCO Safari II, LLC, 4.91%, Jul. 2025 (Acquired 07/13/2015 through 10/27/2015, Cost $2,007,958) (1) | 7,598,000 | 7,590,531 | 0.34 | % | ||||||||
Other Securities (1) | 68,854,000 | 68,431,924 | 3.11 | % | ||||||||
Total Communications | 76,022,455 | 3.45 | % | |||||||||
Consumer Cyclical | ||||||||||||
Various Securities (1) | 85,564,325 | 86,389,421 | 3.92 | % | ||||||||
Total Consumer Cyclical | 86,389,421 | 3.92 | % | |||||||||
Consumer Non-cyclical | ||||||||||||
Actavis Funding SCS, 3.80%, Mar. 2025 | 6,359,000 | 6,327,110 | 0.29 | % | ||||||||
Other Securities (1) | 94,971,000 | 95,598,605 | 4.34 | % | ||||||||
Total Consumer Non-cyclical | 101,925,715 | 4.63 | % | |||||||||
Diversified | ||||||||||||
Various Securities | 1,180,000 | 1,090,025 | 0.05 | % | ||||||||
Total Diversified | 1,090,025 | 0.05 | % | |||||||||
Energy | ||||||||||||
Various Securities (1) | 81,101,000 | 70,137,227 | 3.19 | % | ||||||||
Total Energy | 70,137,227 | 3.19 | % | |||||||||
Financials | ||||||||||||
Various Securities (1) | 324,368,000 | 328,490,849 | 14.92 | % | ||||||||
Total Financials | 328,490,849 | 14.92 | % | |||||||||
Industrials | ||||||||||||
Various Securities (1) | 47,107,400 | 46,939,260 | 2.13 | % | ||||||||
Total Industrials | 46,939,260 | 2.13 | % | |||||||||
Technology | ||||||||||||
Various Securities (1) | 34,275,000 | 32,880,192 | 1.49 | % | ||||||||
Total Technology | 32,880,192 | 1.49 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 31,070,000 | 31,576,685 | 1.44 | % | ||||||||
Total Utilities | 31,576,685 | 1.44 | % | |||||||||
Total Corporate Bonds | $ | 796,728,348 | 36.19 | % | ||||||||
Government Related | ||||||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Bond, 3.00%, May 2045 | $ | 31,203,000 | $ | 31,000,617 | 1.41 | % | ||||||
U.S. Treasury Bond, 3.00%, Nov. 2045 | 28,996,000 | 28,854,268 | 1.31 | % | ||||||||
U.S. Treasury Bond, 3.13%, Aug. 2044 | 6,600,000 | 6,731,941 | 0.31 | % | ||||||||
U.S. Treasury Inflation Indexed Bond, 0.25%, Jan. 2025 (2) | 6,647,473 | 6,334,178 | 0.29 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 19 |
Table of Contents
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Government Related – (continued) | ||||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Inflation Indexed Bond, 0.38%, Jul. 2025 (2) | $ | 9,848,773 | $ | 9,519,036 | 0.43 | % | ||||||
U.S. Treasury Inflation Indexed Bond, 0.75%, Feb. 2045 (2) | 20,306,251 | 17,629,785 | 0.80 | % | ||||||||
U.S. Treasury Note, 0.50%, Apr. 2017 | 8,117,000 | 8,074,540 | 0.37 | % | ||||||||
U.S. Treasury Note, 0.63%, May 2017 | 39,505,000 | 39,331,415 | 1.79 | % | ||||||||
U.S. Treasury Note, 0.63%, Jun. 2017 | 7,798,000 | 7,758,901 | 0.35 | % | ||||||||
U.S. Treasury Note, 0.63%, Jul. 2017 | 26,255,000 | 26,109,180 | 1.19 | % | ||||||||
U.S. Treasury Note, 0.75%, Oct. 2017 | 68,352,000 | 67,993,425 | 3.09 | % | ||||||||
U.S. Treasury Note, 0.88%, Jan. 2017 | 9,192,000 | 9,192,984 | 0.42 | % | ||||||||
U.S. Treasury Note, 1.00%, Dec. 2017 | 23,330,000 | 23,302,054 | 1.06 | % | ||||||||
U.S. Treasury Note, 1.00%, Sep. 2018 | 11,144,000 | 11,065,992 | 0.50 | % | ||||||||
U.S. Treasury Note, 1.38%, Sep. 2020 | 7,346,000 | 7,220,846 | 0.33 | % | ||||||||
U.S. Treasury Note, 1.38%, Oct. 2020 | 41,910,000 | 41,179,886 | 1.87 | % | ||||||||
U.S. Treasury Note, 1.50%, Aug. 2018 | 12,998,000 | 13,086,464 | 0.59 | % | ||||||||
U.S. Treasury Note, 1.50%, Nov. 2019 | 33,481,000 | 33,354,107 | 1.51 | % | ||||||||
U.S. Treasury Note, 1.63%, Jul. 2019 | 7,022,000 | 7,047,757 | 0.32 | % | ||||||||
U.S. Treasury Note, 1.63%, Nov. 2020 | 13,045,000 | 12,971,073 | 0.59 | % | ||||||||
U.S. Treasury Note, 1.75%, Dec. 2020 | 13,745,000 | 13,733,935 | 0.62 | % | ||||||||
U.S. Treasury Note, 2.00%, Aug. 2021 | 7,835,000 | 7,871,158 | 0.36 | % | ||||||||
U.S. Treasury Note, 2.25%, Nov. 2025 | 37,496,000 | 37,412,084 | 1.70 | % | ||||||||
U.S. Treasury Note/Bond, 0.25%-3.75%, Feb. 2016-Nov. 2045 (5) | 43,778,000 | 44,384,254 | 2.01 | % | ||||||||
Other Securities (2) | 4,724,548 | 4,663,866 | 0.20 | % | ||||||||
Total U.S. Treasury | 515,823,746 | 23.42 | % | |||||||||
Other Government Related | ||||||||||||
Various Securities (1) | 39,053,745 | 39,647,079 | 1.80 | % | ||||||||
Total Other Government Related | 39,647,079 | 1.80 | % | |||||||||
Total Government Related | $ | 555,470,825 | 25.22 | % | ||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 3.00%, Jan. 2043 (3) | $ | 21,670,000 | $ | 21,662,461 | 0.98 | % | ||||||
Fannie Mae, 3.00%, Jun. 2045 | 7,730,339 | 7,738,372 | 0.35 | % | ||||||||
Fannie Mae, 3.00%, Jul. 2045 | 9,345,311 | 9,356,474 | 0.43 | % | ||||||||
Fannie Mae, 3.50%, Jan. 2041 (3) | 31,635,000 | 32,628,219 | 1.48 | % | ||||||||
Fannie Mae, 3.50%, May 2033 | 18,378,891 | 19,250,291 | 0.87 | % | ||||||||
Fannie Mae, 3.50%, May 2045 | 6,455,944 | 6,669,652 | 0.30 | % | ||||||||
Fannie Mae, 4.00%, Jan. 2041 (3) | 10,385,000 | 10,986,402 | 0.50 | % | ||||||||
Fannie Mae, 4.00%, Jan. 2042 | 6,217,147 | 6,594,532 | 0.30 | % | ||||||||
Fannie Mae, 4.50%, Jan. 2041 | 14,725,196 | 16,199,141 | 0.74 | % | ||||||||
Fannie Mae, 4.50%, Jan. 2041 (3) | 7,300,000 | 7,881,747 | 0.36 | % | ||||||||
Fannie Mae, 4.50%, Nov. 2041 | 7,809,030 | 8,555,799 | 0.39 | % | ||||||||
Fannie Mae, 4.50%, Jun. 2044 | 7,187,646 | 7,780,405 | 0.35 | % | ||||||||
Freddie Mac, 3.50%, Jun. 2045 | 9,566,471 | 9,855,164 | 0.45 | % | ||||||||
Freddie Mac, 3.50%, Jul. 2045 | 8,432,357 | 8,684,537 | 0.39 | % | ||||||||
Freddie Mac, 3.50%, Aug. 2045 | 5,827,807 | 6,023,027 | 0.27 | % | ||||||||
Freddie Mac, 3.50%, Oct. 2045 | 9,132,686 | 9,426,987 | 0.43 | % | ||||||||
Freddie Mac, 4.00%, Sep. 2041 | 23,501,364 | 25,119,139 | 1.14 | % |
The accompanying notes are an integral part of these financial statements.
20 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||
Freddie Mac, 5.50%, Aug. 2041 | $ | 14,155,624 | $ | 15,974,167 | 0.74 | % | ||||||
Ginnie Mae, 3.00%, Aug. 2045 | 7,832,710 | 7,946,762 | 0.36 | % | ||||||||
Ginnie Mae, 3.50%, Jan. 2043 (3) | 10,590,000 | 11,035,994 | 0.50 | % | ||||||||
Ginnie Mae, 3.50%, Sep. 2042 | 7,677,464 | 8,025,107 | 0.37 | % | ||||||||
Ginnie Mae, 3.50%, Jul. 2045 | 11,863,631 | 12,381,422 | 0.56 | % | ||||||||
Ginnie Mae, 3.50%, Sep. 2045 | 6,294,323 | 6,569,040 | 0.30 | % | ||||||||
Ginnie Mae, 4.00%, Aug. 2045 | 6,044,737 | 6,421,367 | 0.29 | % | ||||||||
Ginnie Mae, 4.50%, May 2044 | 16,958,598 | 18,500,417 | 0.84 | % | ||||||||
Fannie Mae, 2.28%-6.50%, May 2018-Dec. 2045 (3) | 92,571,899 | 98,192,913 | 4.46 | % | ||||||||
Freddie Mac, 2.50%-5.50%, Jul. 2030-Nov.2045 | 38,680,958 | 40,164,746 | 1.83 | % | ||||||||
Other Securities (1)(3) | 187,743,198 | 188,341,641 | 8.55 | % | ||||||||
Total Mortgage-Backed Obligations | $ | 627,965,925 | 28.53 | % | ||||||||
Total Bonds & Notes | $ | 2,146,198,471 | 97.48 | % | ||||||||
BANK LOANS | ||||||||||||
Various Securities | $ | 11,331,328 | $ | 11,043,319 | 0.51 | % | ||||||
Total Bank Loans | $ | 11,043,319 | 0.51 | % | ||||||||
Shares | Value | | Percentage of Net Assets | | ||||||||
PREFERRED STOCKS |
| |||||||||||
Financials | ||||||||||||
Various Securities | 232,377 | $ | 6,373,608 | 0.31 | % | |||||||
Total Preferred Stocks | $ | 6,373,608 | 0.31 | % | ||||||||
Shares | Value | | Percentage of Net Assets | | ||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Portfolio – Class I, 0.12% (4) | 61,248,250 | $ | 61,248,250 | 2.78 | % | |||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.11% (4) | 61,314,206 | 61,314,206 | 2.78 | % | ||||||||
Total Money Market Funds | 122,562,456 | 5.56 | % | |||||||||
U.S. Treasury Bills | | Principal Amount | | Value | | Percentage of Net Assets | | |||||
U.S. Treasury Bill, 0.00%, Jan. 2016 | $ | 365,000 | $ | 364,999 | 0.02 | % | ||||||
U.S. Treasury Bill, 0.00%, Feb. 2016 | 450,000 | 449,945 | 0.02 | % | ||||||||
Total U.S. Treasury Bills | 814,944 | 0.04 | % | |||||||||
Total Short-Term Investments | $ | 123,377,400 | 5.60 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 2,286,992,798 | 103.90 | % | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS |
| (85,778,378 | ) | -3.90 | % | |||||||
Total Net Assets |
| $ | 2,201,214,420 | 100.00 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 21 |
Table of Contents
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
(1) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $282,859,011, which represents 12.85% of total net assets. See Note 3(e) in the Notes to Financial Statements. |
(2) | Inflation protected security or includes inflation protected securities. The value of these securities totals $38,146,865, which represents 1.73% of total net assets. |
(3) | Includes delayed delivery securities. The value of these securities totals $89,752,501, which represents 4.08% of total net assets. See Note 3(a) in the Notes to Financial Statements. |
(4) | Partially assigned as collateral for certain delayed delivery securities. See Note 3(a) in the Notes to Financial Statements. |
(5) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $394,969, which represents 0.02% of total net assets. |
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
(22) | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2016 | $ | (4,785,996 | ) | $ | (4,779,156 | ) | $ | 6,840 | |||||||||
225 | U.S. 5 Year Note Future | Citigroup | Mar. 2016 | 26,683,460 | 26,622,070 | (61,390 | ) | |||||||||||||
(151) | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2016 | (17,958,327 | ) | (17,866,367 | ) | 91,960 | ||||||||||||
(315) | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2016 | (39,779,077 | ) | (39,660,469 | ) | 118,608 | ||||||||||||
(103) | U.S. 10 Year Note Future | JP Morgan | Mar. 2016 | (13,007,142 | ) | (12,968,344 | ) | 38,798 | ||||||||||||
148 | U.S. Long Bond Future | Goldman Sachs | Mar. 2016 | 22,736,331 | 22,755,000 | 18,669 | ||||||||||||||
(38) | U.S. Long Bond Future | JP Morgan | Mar. 2016 | (5,817,195 | ) | (5,842,500 | ) | (25,305 | ) | |||||||||||
|
| |||||||||||||||||||
$ | 188,180 | |||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Over the Counter
Purchase Contracts | Counterparty | Currency | Currency Amount Purchased | Value at Settlement Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||
Brazilian Real, Expiring 3/2/16* | HSBC | BRL | 2,390,000 | $ | 603,078 | $ | 592,132 | $ | (10,946 | ) | ||||||||||
Euro, Expiring 2/25/16 | BNP Paribas | EUR | 805,000 | 882,760 | 876,086 | (6,674 | ) | |||||||||||||
Indian Rupee, Expiring 1/13/16* | Goldman Sachs | INR | 46,340,000 | 704,309 | 698,954 | (5,355 | ) | |||||||||||||
Mexican Peso, Expiring 1/8/16 | Royal Bank of Scotland | MXN | 16,765,000 | 1,008,148 | 972,181 | (35,967 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 3,198,295 | $ | 3,139,353 | $ | (58,942 | ) | ||||||||||||||
|
|
|
|
|
|
Sales Contracts | Counterparty | Currency | Currency Amount Sold | Value at Settlement Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||
Australian Dollar, Expiring 2/23/16 | HSBC | AUD | (990,000 | ) | $ | (706,685 | ) | $ | (719,427 | ) | $ | (12,742 | ) | |||||||
Brazilian Real, Expiring 3/2/16* | HSBC | BRL | (2,390,000 | ) | (611,050 | ) | (592,132 | ) | 18,918 | |||||||||||
Euro, Expiring 2/25/16 | Bank of America | EUR | (1,435,000 | ) | (1,526,410 | ) | (1,561,718 | ) | (35,308 | ) | ||||||||||
Mexican Peso, Expiring 1/8/16 | Royal Bank of Scotland | MXN | (43,380,000 | ) | (2,543,014 | ) | (2,515,550 | ) | 27,464 | |||||||||||
Mexican Peso, Expiring 1/8/16 | Royal Bank of Scotland | MXN | (12,640,000 | ) | (760,328 | ) | (732,978 | ) | 27,350 | |||||||||||
Polish Zloty, Expiring 2/25/16 | BNP Paribas | PLN | (2,675,000 | ) | (679,750 | ) | (681,162 | ) | (1,412 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
$ | (6,827,237 | ) | $ | (6,802,967 | ) | $ | 24,270 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | (3,628,942 | ) | $ | (3,663,614 | ) | $ | (34,672 | ) | ||||||||||||
|
|
|
|
|
|
* | Non-deliverable forward. |
The accompanying notes are an integral part of these financial statements.
22 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
MUNICIPAL BONDS |
| |||||||||||
Education | ||||||||||||
Palm Beach County School District, 5.00%, Aug. 2030 | $ | 4,520,000 | $ | 5,366,325 | 0.40 | % | ||||||
School Board of Miami-Dade County, 5.00%, May 2031 | 5,000,000 | 5,789,950 | 0.44 | % | ||||||||
University of Michigan, 5.00%, Apr. 2017 | 5,220,000 | 5,498,383 | 0.41 | % | ||||||||
Virginia Public School Authority, 5.00%, Aug. 2021 | 6,000,000 | 7,117,980 | 0.54 | % | ||||||||
Virginia Public School Authority, 5.00%, Aug. 2017–Aug. 2027 | 12,345,000 | 14,413,361 | 1.09 | % | ||||||||
Other Securities | 58,245,000 | 65,134,248 | 4.91 | % | ||||||||
Total Education | 103,320,247 | 7.79 | % | |||||||||
General Obligation | ||||||||||||
City of New York NY, 5.00%, Aug. 2017 | 6,365,000 | 6,784,199 | 0.52 | % | ||||||||
City of New York NY, 5.00%, Aug. 2018 | 8,850,000 | 9,729,071 | 0.73 | % | ||||||||
City of New York NY, 5.00%, Aug. 2021 | 6,000,000 | 7,103,880 | 0.54 | % | ||||||||
City of Philadelphia PA, 2.00%, Aug. 2016 | 5,805,000 | 5,852,775 | 0.44 | % | ||||||||
City of Philadelphia PA, 5.00%, Aug. 2028 | 6,000,000 | 7,084,680 | 0.53 | % | ||||||||
Commonwealth of Massachusetts, 4.00%, Dec. 2017 | 6,015,000 | 6,374,156 | 0.48 | % | ||||||||
Commonwealth of Pennsylvania, 5.00%, Mar. 2023 | 9,970,000 | 11,934,389 | 0.90 | % | ||||||||
County of Fairfax VA, 5.00%, Oct. 2017 | 5,320,000 | 5,708,254 | 0.43 | % | ||||||||
County of Suffolk NY, 1.50%, Sep. 2016 | 7,500,000 | 7,537,350 | 0.57 | % | ||||||||
Cypress-Fairbanks Independent School District, 3.00%, Feb. 2040 | 9,000,000 | 9,351,150 | 0.71 | % | ||||||||
Cypress-Fairbanks Independent School District, 5.00%, Feb. 2021 | 4,720,000 | 5,539,534 | 0.42 | % | ||||||||
Metropolitan Government of Nashville & Davidson County TN, 5.00%, Jul. 2017 | 8,000,000 | 8,500,320 | 0.64 | % | ||||||||
State of California, 5.00%, Aug. 2017 | 5,000,000 | 5,333,350 | 0.40 | % | ||||||||
State of Connecticut, 5.00%, Aug. 2019 | 20,380,000 | 22,986,398 | 1.73 | % | ||||||||
State of Connecticut, 5.00%, Sep. 2022 | 5,725,000 | 6,852,825 | 0.52 | % | ||||||||
State of Connecticut, 5.00%, Aug. 2031 | 4,625,000 | 5,456,853 | 0.41 | % | ||||||||
State of Florida, 5.00%, Jun. 2017 | 5,635,000 | 5,970,170 | 0.45 | % | ||||||||
State of Illinois, 5.00%, Mar. 2028 | 5,000,000 | 5,331,850 | 0.40 | % | ||||||||
State of Maryland, 5.00%, Mar. 2020 | 6,000,000 | 6,926,100 | 0.52 | % | ||||||||
State of Texas, 5.00%, Oct. 2032 | 5,000,000 | 6,021,350 | 0.45 | % | ||||||||
State of Washington, 5.00%, Jul. 2031 | 5,000,000 | 5,973,800 | 0.45 | % | ||||||||
City of Chicago IL, 5.00%–5.25%, Jan. 2020–Jan. 2035 (2) | 10,000,000 | 10,282,501 | 0.78 | % | ||||||||
City of Hartford CT, 5.00%, Apr. 2018–Jul. 2026 | 14,565,000 | 16,832,739 | 1.27 | % | ||||||||
Other Securities | 191,675,000 | 213,947,936 | 16.14 | % | ||||||||
Total General Obligation | 403,415,630 | 30.43 | % | |||||||||
General Revenue | ||||||||||||
California State Public Works Board, 4.00%, May 2017 | 11,315,000 | 11,802,903 | 0.90 | % | ||||||||
California State Public Works Board, 5.00%, May 2018 | 15,265,000 | 16,676,097 | 1.26 | % | ||||||||
Industrial Development Board of the City of Mobile Alabama, 1.63%, Jul. 2034 | 11,500,000 | 11,539,215 | 0.87 | % | ||||||||
Louisiana Public Facilities Authority, 5.00%, Jun. 2021 | 7,695,000 | 8,931,356 | 0.67 | % | ||||||||
New Jersey Economic Development Authority, 5.00%, Jun. 2025 | 5,000,000 | 5,480,500 | 0.41 | % | ||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, 0.30%, Nov. 2022 | 6,000,000 | 6,000,000 | 0.45 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp I, 6.25%, Dec. 2026 | 4,750,000 | 5,846,063 | 0.44 | % | ||||||||
Utah Transit Authority, 0.00%, Jun. 2035 | 16,935,000 | 6,795,677 | 0.51 | % | ||||||||
City of Chicago IL, 4.25%–5.00%, Jan. 2020–Jan. 2028 (2) | 3,000,000 | 3,153,336 | 0.24 | % | ||||||||
Illinois Finance Authority, 4.00%–8.00%, May 2023–May 2047 (2) | 1,895,000 | 2,055,297 | 0.16 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 23 |
Table of Contents
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
General Revenue – (continued) | ||||||||||||
Indiana Finance Authority, 5.00%–6.00%, Dec. 2026–Jan. 2051 (2) | $ | 9,070,000 | $ | 9,576,718 | 0.72 | % | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, 0.24%–5.00%, Nov. 2018–Nov. 2029 | 12,900,000 | 14,319,413 | 1.08 | % | ||||||||
New York State Dormitory Authority, 5.00%, Mar. 2016–Mar. 2027 (2) | 14,855,000 | 16,381,814 | 1.24 | % | ||||||||
State of Mississippi, 3.00%–5.00%, Oct. 2017–Oct. 2022 | 12,945,000 | 14,625,106 | 1.10 | % | ||||||||
Other Securities (1) | 183,615,000 | 197,431,907 | 14.89 | % | ||||||||
Total General Revenue | 330,615,402 | 24.94 | % | |||||||||
Healthcare | ||||||||||||
Butler County Hospital Authority, 0.13%, Oct. 2042 | 9,510,000 | 9,510,000 | 0.72 | % | ||||||||
Indiana Health Facility Financing Authority, 4.00%, Nov. 2027 | 8,000,000 | 8,371,440 | 0.63 | % | ||||||||
Michigan State Hospital Finance Authority, 1.40%, Nov. 2047 | 7,565,000 | 7,600,026 | 0.57 | % | ||||||||
Michigan State Hospital Finance Authority, 1.50%, Nov. 2047 | 6,000,000 | 6,045,300 | 0.46 | % | ||||||||
New York State Dormitory Authority, 5.00%, May 2024 | 4,870,000 | 5,835,867 | 0.44 | % | ||||||||
Illinois Finance Authority, 5.00%–5.50%, Feb. 2023–Nov. 2045 (2) | 13,495,000 | 14,964,805 | 1.13 | % | ||||||||
Indiana Finance Authority, 5.00%, Sep. 2019–Mar. 2036 (2) | 4,700,000 | 5,248,610 | 0.40 | % | ||||||||
New York State Dormitory Authority, 5.00%, Jul. 2022–Jul. 2025 (2) | 1,000,000 | 1,199,503 | 0.09 | % | ||||||||
Other Securities (1) | 96,765,000 | 104,152,879 | 7.85 | % | ||||||||
Total Healthcare | 162,928,430 | 12.29 | % | |||||||||
Housing | ||||||||||||
Various Securities | 37,345,000 | 38,283,508 | 2.89 | % | ||||||||
Total Housing | 38,283,508 | 2.89 | % | |||||||||
Transportation | ||||||||||||
Chicago Transit Authority, 5.00%, Jun. 2026 | 8,275,000 | 9,280,164 | 0.71 | % | ||||||||
County of Miami-Dade FL Aviation Revenue, 5.25%, Oct. 2022 | 5,000,000 | 5,355,750 | 0.40 | % | ||||||||
Metropolitan Transportation Authority, 5.00%, Nov. 2029 | 10,000,000 | 11,978,800 | 0.90 | % | ||||||||
New York State Thruway Authority, 5.00%, May 2019 | 11,000,000 | 12,333,200 | 0.93 | % | ||||||||
North Texas Tollway Authority, 5.00%, Jan. 2045 | 5,000,000 | 5,573,950 | 0.42 | % | ||||||||
Texas Transportation Commission State Highway Fund, 5.00%, Oct. 2023 | 5,000,000 | 6,158,600 | 0.46 | % | ||||||||
Other Securities | 91,505,000 | 100,937,580 | 7.62 | % | ||||||||
Total Transportation | 151,618,044 | 11.44 | % | |||||||||
Utilities | ||||||||||||
City of Lakeland FL Department of Electric Utilities, 5.00%, Oct. 2017 | 5,200,000 | 5,569,200 | 0.42 | % | ||||||||
City Public Service Board of San Antonio TX, 3.00%, Dec. 2045 | 5,000,000 | 5,306,900 | 0.40 | % | ||||||||
New York City Water & Sewer System, 5.00%, Jun. 2031 | 6,075,000 | 7,249,298 | 0.55 | % | ||||||||
North Carolina Eastern Municipal Power Agency, 5.00%, Jan. 2026 | 5,000,000 | 5,583,800 | 0.42 | % | ||||||||
Piedmont Municipal Power Agency, 5.00%, Jan. 2017 | 13,185,000 | 13,715,828 | 1.04 | % | ||||||||
South Carolina State Public Service Authority, 5.00%, Dec. 2050 | 8,640,000 | 9,510,394 | 0.72 | % | ||||||||
Other Securities | 61,865,000 | 67,528,734 | 5.09 | % | ||||||||
Total Utilities | 114,464,154 | 8.64 | % | |||||||||
Total Municipal Bonds | $ | 1,304,645,415 | 98.42 | % |
The accompanying notes are an integral part of these financial statements.
24 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Portfolio – Class I, 0.12% | 6,922,753 | $ | 6,922,753 | 0.52 | % | |||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.11% | 6,922,752 | 6,922,752 | 0.52 | % | ||||||||
Total Short-Term Investments | $ | 13,845,505 | 1.04 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 1,318,490,920 | 99.46 | % | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 7,076,722 | 0.54 | % | ||||||||
TOTAL NET ASSETS |
| $ | 1,325,567,642 | 100.00 | % |
(1) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $3,996,134, which represents 0.30% of total net assets. |
(2) | Issuer includes securities in multiple catergories. The market value of the issuer as a whole is greater than 1% of the Fund’s Net Assets. |
STATE | % of Net Assets | |||
Alabama | 1.42 | % | ||
Alaska | 0.36 | % | ||
Arizona | 0.78 | % | ||
Arkansas | 0.06 | % | ||
California | 6.47 | % | ||
Colorado | 0.52 | % | ||
Connecticut | 4.22 | % | ||
Delaware | 0.00 | % | ||
District of Columbia | 0.19 | % | ||
Florida | 6.96 | % | ||
Georgia | 0.96 | % | ||
Guam | 0.12 | % | ||
Hawaii | 0.18 | % | ||
Idaho | 0.24 | % | ||
Illinois | 8.26 | % | ||
Indiana | 2.70 | % | ||
Iowa | 0.14 | % | ||
Kansas | 0.37 | % | ||
Kentucky | 0.78 | % | ||
Louisiana | 1.89 | % | ||
Maryland | 2.52 | % | ||
Massachusetts | 2.66 | % | ||
Michigan | 3.40 | % | ||
Minnesota | 0.68 | % | ||
Mississippi | 1.18 | % | ||
Missouri | 0.59 | % | ||
Nevada | 0.76 | % |
New Hampshire | 0.19 | % | ||
New Jersey | 3.20 | % | ||
New Mexico | 0.34 | % | ||
New York | 13.20 | % | ||
North Carolina | 2.38 | % | ||
North Dakota | 0.04 | % | ||
Ohio | 1.86 | % | ||
Oklahoma | 0.31 | % | ||
Oregon | 0.40 | % | ||
Pennsylvania | 7.38 | % | ||
Puerto Rico | 0.16 | % | ||
Rhode Island | 0.10 | % | ||
South Carolina | 2.28 | % | ||
South Dakota | 0.36 | % | ||
Tennessee | 1.58 | % | ||
Texas | 9.41 | % | ||
Utah | 0.57 | % | ||
Virgin Islands | 0.25 | % | ||
Virginia | 4.09 | % | ||
Washington | 1.45 | % | ||
West Virginia | 0.07 | % | ||
Wisconsin | 0.39 | % | ||
|
| |||
Total Municipal Bonds | 98.42 | % | ||
|
| |||
SHORT-TERM INVESTMENTS | 1.04 | % | ||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.46 | % | ||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.54 | % | ||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 25 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Amazon.com, Inc. (1) | 125,335 | $ | 84,712,673 | 3.23 | % | |||||||
Lowe’s Companies | 684,630 | 52,059,265 | 1.98 | % | ||||||||
Netflix, Inc. (1) | 180,484 | 20,643,760 | 0.79 | % | ||||||||
Nike, Inc. | 645,522 | 40,345,125 | 1.54 | % | ||||||||
Starbucks Corp. | 663,990 | 39,859,320 | 1.52 | % | ||||||||
The Priceline Group, Inc. (1) | 29,750 | 37,929,762 | 1.45 | % | ||||||||
Walt Disney Co. | 317,522 | 33,365,212 | 1.27 | % | ||||||||
Other Securities (1) | 3,906,016 | 196,151,745 | 7.47 | % | ||||||||
Total Consumer Discretionary | 505,066,862 | 19.25 | % | |||||||||
Consumer Staples | ||||||||||||
Colgate Palmolive Co. | 367,496 | 24,482,584 | 0.93 | % | ||||||||
Costco Wholesale Corp. | 155,273 | 25,076,589 | 0.96 | % | ||||||||
Kellogg Co. | 246,111 | 17,786,442 | 0.68 | % | ||||||||
Mondelez International, Inc. | 629,722 | 28,236,734 | 1.08 | % | ||||||||
Procter & Gamble Co. | 336,390 | 26,712,730 | 1.02 | % | ||||||||
Whole Foods Market, Inc. | 561,698 | 18,816,883 | 0.72 | % | ||||||||
Other Securities (1) | 807,392 | 58,043,649 | 2.20 | % | ||||||||
Total Consumer Staples | 199,155,611 | 7.59 | % | |||||||||
Energy | ||||||||||||
Exxon Mobil Corp. | 274,940 | 21,431,573 | 0.82 | % | ||||||||
Schlumberger Ltd | 596,749 | 41,623,243 | 1.59 | % | ||||||||
Other Securities (1) | 607,176 | 29,212,604 | 1.11 | % | ||||||||
Total Energy | 92,267,420 | 3.52 | % | |||||||||
Financials | ||||||||||||
Bank of America Corp. | 1,341,620 | 22,579,465 | 0.86 | % | ||||||||
Equinix, Inc. | 68,295 | 20,652,408 | 0.79 | % | ||||||||
Intercontinental Exchange, Inc. | 97,976 | 25,107,330 | 0.96 | % | ||||||||
State Street Corp. | 344,920 | 22,888,891 | 0.87 | % | ||||||||
Wells Fargo & Co. | 414,250 | 22,518,630 | 0.86 | % | ||||||||
Other Securities (1) | 1,580,555 | 94,116,916 | 3.58 | % | ||||||||
Total Financials | 207,863,640 | 7.92 | % | |||||||||
Healthcare |
| |||||||||||
Amgen, Inc. | 206,488 | 33,519,197 | 1.28 | % | ||||||||
Biogen, Inc. (1) | 63,681 | 19,508,674 | 0.74 | % | ||||||||
BioMarin Pharmaceutical, Inc. (1) | 194,194 | 20,343,763 | 0.78 | % | ||||||||
Bristol Myers Squibb Co. | 667,447 | 45,913,679 | 1.75 | % | ||||||||
Cerner Corp. (1) | 588,724 | 35,423,523 | 1.35 | % | ||||||||
Gilead Sciences, Inc. | 178,445 | 18,056,850 | 0.69 | % | ||||||||
Johnson & Johnson | 238,183 | 24,466,158 | 0.93 | % | ||||||||
Pfizer, Inc. | 738,340 | 23,833,615 | 0.91 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (1) | 32,795 | 17,803,422 | 0.68 | % | ||||||||
Shire Plc – ADR | 78,549 | 16,102,545 | 0.61 | % | ||||||||
Other Securities (1) | 1,820,158 | 162,894,722 | 6.21 | % | ||||||||
Total Healthcare | 417,866,148 | 15.93 | % |
The accompanying notes are an integral part of these financial statements.
26 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
Honeywell International, Inc. | 211,456 | $ | 21,900,498 | 0.83 | % | |||||||
TransDigm Group, Inc. (1) | 94,404 | 21,566,594 | 0.82 | % | ||||||||
Union Pacific Corp. | 306,266 | 23,950,001 | 0.91 | % | ||||||||
Verisk Analytics, Inc. (1) | 279,939 | 21,521,710 | 0.82 | % | ||||||||
Other Securities (1) | 1,672,214 | 118,753,335 | 4.54 | % | ||||||||
Total Industrials | 207,692,138 | 7.92 | % | |||||||||
Information Technology | ||||||||||||
Adobe Systems, Inc. (1) | 227,494 | 21,370,786 | 0.81 | % | ||||||||
Alphabet, Inc. – Class A (1) | 131,553 | 102,349,550 | 3.90 | % | ||||||||
Alphabet, Inc. – Class C (1) | 65,903 | 50,012,469 | 1.91 | % | ||||||||
Apple, Inc. | 730,075 | 76,847,695 | 2.93 | % | ||||||||
ARM Holdings Plc – ADR | 493,893 | 22,343,719 | 0.85 | % | ||||||||
Automatic Data Processing, Inc. | 271,431 | 22,995,634 | 0.88 | % | ||||||||
Facebook, Inc. (1) | 678,519 | 71,013,799 | 2.71 | % | ||||||||
Fleetcor Technologies, Inc. (1) | 166,564 | 23,806,992 | 0.91 | % | ||||||||
Linkedin Corp. (1) | 85,271 | 19,192,797 | 0.73 | % | ||||||||
MasterCard, Inc. | 357,490 | 34,805,226 | 1.33 | % | ||||||||
Microsoft Corp. | 889,519 | 49,350,514 | 1.88 | % | ||||||||
Red Hat, Inc. (1) | 571,885 | 47,357,797 | 1.81 | % | ||||||||
Salesforce.com, Inc. (1) | 459,296 | 36,008,806 | 1.37 | % | ||||||||
Visa, Inc. | 806,660 | 62,556,483 | 2.38 | % | ||||||||
Other Securities (1) | 4,843,425 | 190,005,975 | 7.23 | % | ||||||||
Total Information Technology | 830,018,242 | 31.63 | % | |||||||||
Materials | ||||||||||||
Ecolab, Inc. | 237,291 | 27,141,345 | 1.03 | % | ||||||||
Monsanto Co. | 348,272 | 34,311,757 | 1.31 | % | ||||||||
Other Securities (1) | 104,447 | 6,971,791 | 0.27 | % | ||||||||
Total Materials | 68,424,893 | 2.61 | % | |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 212,712 | 15,144,427 | 0.58 | % | ||||||||
Total Telecommunication Services | 15,144,427 | 0.58 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 3,171 | 117,335 | 0.00 | %(2) | ||||||||
Total Utilities | 117,335 | 0.00 | %(2) | |||||||||
Total Common Stocks | $ | 2,543,616,716 | 96.95 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 27 |
Table of Contents
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.18% | 38,770,238 | $ | 38,770,238 | 1.48 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.12% | 38,770,238 | 38,770,238 | 1.48 | % | ||||||||
Total Short-Term Investments |
| $ | 77,540,476 | 2.96 | % | |||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 2,621,157,192 | 99.91 | % | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 2,319,131 | 0.09 | % | ||||||||
TOTAL NET ASSETS |
| $ | 2,623,476,323 | 100.00 | % |
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 sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
Open Futures Contracts
Number of Contracts Purchased | Description | Counterparty | Settlement Month | | Notional Amount | | Value | | Unrealized Depreciation | | ||||||||
5 | E-Mini NASDAQ 100 Index Futures | Morgan Stanley | Mar. 2016 | $ | 462,441 | $ | 458,775 | $ | (3,666 | ) | ||||||||
13 | E-Mini S&P 500 Index Futures | Morgan Stanley | Mar. 2016 | 1,331,040 | 1,323,010 | (8,030 | ) | |||||||||||
|
| |||||||||||||||||
$ | (11,696 | ) | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
28 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
McDonald’s Corp. | 146,913 | $ | 17,356,302 | 0.81 | % | |||||||
Nike, Inc. | 243,234 | 15,202,125 | 0.71 | % | ||||||||
Royal Caribbean Cruises Ltd. | 156,210 | 15,810,014 | 0.73 | % | ||||||||
Time Warner, Inc. | 267,790 | 17,317,979 | 0.80 | % | ||||||||
TJX Companies, Inc. | 259,101 | 18,372,852 | 0.85 | % | ||||||||
Other Securities (1) | 3,263,995 | 152,955,629 | 7.11 | % | ||||||||
Total Consumer Discretionary | 237,014,901 | 11.01 | % | |||||||||
Consumer Staples | ||||||||||||
Coca Cola Co. | 388,286 | 16,680,767 | 0.78 | % | ||||||||
Colgate Palmolive Co. | 275,049 | 18,323,764 | 0.85 | % | ||||||||
Costco Wholesale Corp. | 102,430 | 16,542,445 | 0.77 | % | ||||||||
CVS Health Corp. | 238,909 | 23,358,133 | 1.09 | % | ||||||||
Walgreen Boots Alliance, Inc. | 175,672 | 14,959,349 | 0.70 | % | ||||||||
Other Securities (1) | 1,121,580 | 75,901,224 | 3.51 | % | ||||||||
Total Consumer Staples | 165,765,682 | 7.70 | % | |||||||||
Energy | ||||||||||||
Apache Corp. | 456,053 | 20,280,677 | 0.94 | % | ||||||||
Chevron Corp. | 341,401 | 30,712,434 | 1.43 | % | ||||||||
Devon Energy Corp. | 533,885 | 17,084,320 | 0.79 | % | ||||||||
Exxon Mobil Corp. | 275,375 | 21,465,481 | 1.00 | % | ||||||||
Schlumberger Ltd. | 214,803 | 14,982,509 | 0.70 | % | ||||||||
Other Securities (1) | 4,282,761 | 79,405,965 | 3.69 | % | ||||||||
Total Energy | 183,931,386 | 8.55 | % | |||||||||
Financials | ||||||||||||
ACE Ltd. | 163,596 | 19,116,193 | 0.89 | % | ||||||||
Alleghany Corp. (1) | 32,851 | 15,700,478 | 0.73 | % | ||||||||
American Express Co. | 286,140 | 19,901,037 | 0.92 | % | ||||||||
Bank of America Corp. | 1,076,979 | 18,125,557 | 0.84 | % | ||||||||
Berkshire Hathaway, Inc.–Class B (1) | 177,004 | 23,371,608 | 1.09 | % | ||||||||
Capital One Financial Corp. | 212,947 | 15,370,514 | 0.71 | % | ||||||||
Citigroup, Inc. | 680,286 | 35,204,800 | 1.64 | % | ||||||||
JPMorgan Chase & Co. | 299,641 | 19,785,295 | 0.92 | % | ||||||||
Marsh & McLennan Companies, Inc. | 301,878 | 16,739,135 | 0.78 | % | ||||||||
PNC Financial Services Group, Inc. | 270,590 | 25,789,933 | 1.20 | % | ||||||||
The Chubb Corp. | 168,809 | 22,390,826 | 1.04 | % | ||||||||
Wells Fargo & Co. | 612,820 | 33,312,895 | 1.55 | % | ||||||||
Other Securities (1) | 8,070,300 | 214,008,304 | 9.95 | % | ||||||||
Total Financials | 478,816,575 | 22.26 | % | |||||||||
Healthcare | ||||||||||||
Cardinal Health, Inc. | 294,551 | 26,294,568 | 1.22 | % | ||||||||
Johnson & Johnson | 297,234 | 30,531,876 | 1.42 | % | ||||||||
Medtronic Plc | 389,280 | 29,943,418 | 1.39 | % | ||||||||
Merck & Co., Inc. | 556,127 | 29,374,628 | 1.37 | % | ||||||||
Pfizer, Inc. | 505,652 | 16,322,447 | 0.76 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 29 |
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Healthcare – (continued) | ||||||||||||
UnitedHealth Group, Inc. | 230,465 | $ | 27,111,903 | 1.26 | % | |||||||
Other Securities (1) | 1,248,304 | 82,539,583 | 3.83 | % | ||||||||
Total Healthcare | 242,118,423 | 11.25 | % | |||||||||
Industrials | ||||||||||||
General Dynamics Corp. | 118,512 | 16,278,808 | 0.76 | % | ||||||||
Honeywell International, Inc. | 246,848 | 25,566,047 | 1.19 | % | ||||||||
Jacobs Engineering Group, Inc. (1) | 383,734 | 16,097,641 | 0.75 | % | ||||||||
Lockheed Martin Corp. | 74,976 | 16,281,038 | 0.76 | % | ||||||||
Union Pacific Corp. | 309,906 | 24,234,649 | 1.13 | % | ||||||||
United Parcel Service, Inc. | 203,459 | 19,578,860 | 0.91 | % | ||||||||
United Technologies Corp. | 302,123 | 29,024,957 | 1.35 | % | ||||||||
Other Securities (1) | 4,611,648 | 167,231,600 | 7.76 | % | ||||||||
Total Industrials | 314,293,600 | 14.61 | % | |||||||||
Information Technology | ||||||||||||
Accenture Plc | 153,965 | 16,089,342 | 0.75 | % | ||||||||
Apple, Inc. | 144,659 | 15,226,806 | 0.71 | % | ||||||||
Automatic Data Processing, Inc. | 191,321 | 16,208,715 | 0.75 | % | ||||||||
Microsoft Corp. | 655,660 | 36,376,017 | 1.69 | % | ||||||||
Oracle Corp. | 1,070,648 | 39,110,771 | 1.82 | % | ||||||||
QUALCOMM, Inc. | 399,781 | 19,983,053 | 0.93 | % | ||||||||
Samsung Electronic Co. Ltd. | 24,010 | 25,608,641 | 1.19 | % | ||||||||
Other Securities (1) | 2,662,038 | 104,289,902 | 4.84 | % | ||||||||
Total Information Technology | 272,893,247 | 12.68 | % | |||||||||
Materials | ||||||||||||
Goldcorp, Inc. | 1,827,324 | 21,123,865 | 0.98 | % | ||||||||
Praxair, Inc. | 146,696 | 15,021,670 | 0.70 | % | ||||||||
The Mosaic Co. | 634,574 | 17,507,897 | 0.81 | % | ||||||||
Other Securities (1) | 6,012,635 | 76,268,275 | 3.55 | % | ||||||||
Total Materials | 129,921,707 | 6.04 | % | |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 1,157,959 | 36,679,342 | 1.70 | % | ||||||||
Total Telecommunication Services | 36,679,342 | 1.70 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 294,662 | 12,865,159 | 0.60 | % | ||||||||
Total Utilities | 12,865,159 | 0.60 | % | |||||||||
Total Common Stocks | $ | 2,074,300,022 | 96.40 | % |
The accompanying notes are an integral part of these financial statements.
30 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.18% | 39,799,225 | $ | 39,799,225 | 1.85 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.12% | 39,799,226 | 39,799,226 | 1.85 | % | ||||||||
Total Short-Term Investments | $ | 79,598,451 | 3.70 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES | $ | 2,153,898,473 | 100.10 | % | ||||||||
OTHER LIABILITIES IN EXCESS OF ASSETS |
| (2,113,386 | ) | -0.10 | % | |||||||
TOTAL NET ASSETS |
| $ | 2,151,785,087 | 100.00 | % |
(1) | Non-income producing security or includes securities that are non-income producing. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Depreciation | ||||||||||||||
20 | E-Mini S&P 500 Index Futures | Morgan Stanley | Mar. 2016 | $ | 2,046,964 | $ | 2,035,400 | $ | (11,564 | ) | ||||||||||
|
| |||||||||||||||||||
$ | (11,564 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 31 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Advance Auto Parts, Inc. | 82,420 | $ | 12,405,034 | 0.89 | % | |||||||
Buffalo Wild Wings, Inc. (1) | 68,023 | 10,859,872 | 0.78 | % | ||||||||
Cabela’s, Inc. (1) | 188,682 | 8,817,110 | 0.63 | % | ||||||||
CarMax, Inc. (1) | 185,548 | 10,014,026 | 0.72 | % | ||||||||
Ross Stores, Inc. | 231,340 | 12,448,405 | 0.89 | % | ||||||||
Signet Jewelers Ltd. | 71,000 | 8,781,990 | 0.63 | % | ||||||||
Tractor Supply Co. | 114,290 | 9,771,795 | 0.70 | % | ||||||||
TripAdvisor, Inc. (1) | 99,400 | 8,473,850 | 0.61 | % | ||||||||
Other Securities (1) | 3,659,990 | 133,789,506 | 9.58 | % | ||||||||
Total Consumer Discretionary | 215,361,588 | 15.43 | % | |||||||||
Consumer Staples | ||||||||||||
Casey’s General Stores, Inc. | 115,397 | 13,899,569 | 1.00 | % | ||||||||
Flowers Foods, Inc. | 539,679 | 11,597,702 | 0.83 | % | ||||||||
McCormick & Co, Inc. | 111,500 | 9,539,940 | 0.68 | % | ||||||||
The J. M. Smucker Co. | 109,000 | 13,444,060 | 0.96 | % | ||||||||
Treehouse Foods, Inc. (1) | 130,787 | 10,261,548 | 0.73 | % | ||||||||
Other Securities (1) | 879,123 | 37,125,189 | 2.67 | % | ||||||||
Total Consumer Staples | 95,868,008 | 6.87 | % | |||||||||
Energy | ||||||||||||
Core Laboratories | 124,405 | 13,527,800 | 0.97 | % | ||||||||
Other Securities(1) | 2,004,380 | 22,750,037 | 1.63 | % | ||||||||
Total Energy | 36,277,837 | 2.60 | % | |||||||||
Financials | ||||||||||||
Allied World Assurance Company Holdings, AG. | 284,500 | 10,580,555 | 0.76 | % | ||||||||
Commerce Bancshares, Inc. | 217,875 | 9,268,402 | 0.66 | % | ||||||||
Cullen/Frost Bankers, Inc. | 141,500 | 8,490,000 | 0.61 | % | ||||||||
Endurance Specialty Holdings Ltd. | 171,500 | 10,974,285 | 0.79 | % | ||||||||
Jones Lang LaSalle, Inc. | 67,995 | 10,869,681 | 0.78 | % | ||||||||
Northern Trust Corp. | 139,500 | 10,056,555 | 0.72 | % | ||||||||
Signature Bank (1) | 65,449 | 10,037,913 | 0.72 | % | ||||||||
Other Securities (1) | 2,690,068 | 102,159,257 | 7.31 | % | ||||||||
Total Financials | 172,436,648 | 12.35 | % | |||||||||
Healthcare | ||||||||||||
Alkermes Plc (1) | 118,398 | 9,398,433 | 0.68 | % | ||||||||
Centene Corp. (1) | 144,746 | 9,525,734 | 0.68 | % | ||||||||
Cepheid (1) | 268,625 | 9,812,871 | 0.70 | % | ||||||||
Laboratory Corp. of America Holdings (1) | 70,000 | 8,654,800 | 0.62 | % | ||||||||
MEDNAX, Inc. (1) | 128,749 | 9,226,154 | 0.66 | % | ||||||||
Mettler-Toledo International, Inc. (1) | 43,424 | 14,726,381 | 1.05 | % | ||||||||
Parexel International Corp. (1) | 148,069 | 10,086,461 | 0.72 | % | ||||||||
Sirona Dental Systems, Inc. (1) | 76,534 | 8,385,831 | 0.60 | % | ||||||||
St. Jude Medical, Inc. | 202,500 | 12,508,425 | 0.90 | % |
The accompanying notes are an integral part of these financial statements.
32 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Healthcare – (continued) | ||||||||||||
Other Securities (1) | 3,597,669 | $ | 167,713,209 | 12.01 | % | |||||||
Total Healthcare | 260,038,299 | 18.62 | % | |||||||||
Industrials | ||||||||||||
Alaska Air Group, Inc. | 116,259 | 9,360,012 | 0.67 | % | ||||||||
Dover Corp. | 160,000 | 9,809,600 | 0.70 | % | ||||||||
IDEX Corp. | 169,435 | 12,980,415 | 0.93 | % | ||||||||
Rockwell Automation, Inc. | 172,880 | 17,739,217 | 1.27 | % | ||||||||
W.W. Grainger, Inc. | 42,000 | 8,508,780 | 0.61 | % | ||||||||
Other Securities (1) | 3,001,664 | 139,728,239 | 10.01 | % | ||||||||
Total Industrials | 198,126,263 | 14.19 | % | |||||||||
Information Technology | ||||||||||||
Alliance Data Systems Corp. (1) | 38,535 | 10,657,625 | 0.76 | % | ||||||||
Aspen Technology, Inc. (1) | 240,925 | 9,097,328 | 0.65 | % | ||||||||
Check Point Software Technologies Ltd. (1) | 104,400 | 8,496,072 | 0.61 | % | ||||||||
FEI Co. | 124,295 | 9,917,498 | 0.71 | % | ||||||||
Fortinet, Inc. (1) | 482,307 | 15,033,509 | 1.08 | % | ||||||||
IPG Photonics Corp. (1) | 105,199 | 9,379,543 | 0.67 | % | ||||||||
Mercadolibre, Inc. | 75,900 | 8,678,406 | 0.62 | % | ||||||||
PTC, Inc. (1) | 269,663 | 9,338,430 | 0.67 | % | ||||||||
Red Hat, Inc. (1) | 152,860 | 12,658,336 | 0.91 | % | ||||||||
SolarWinds, Inc. (1) | 386,347 | 22,755,838 | 1.63 | % | ||||||||
Splunk, Inc. (1) | 216,221 | 12,715,957 | 0.91 | % | ||||||||
WEX, Inc. (1) | 133,622 | 11,812,185 | 0.85 | % | ||||||||
Workday, Inc. (1) | 181,000 | 14,422,080 | 1.03 | % | ||||||||
Other Securities (1) | 4,230,153 | 156,556,807 | 11.21 | % | ||||||||
Total Information Technology | 311,519,614 | 22.31 | % | |||||||||
Materials | ||||||||||||
Berry Plastics Group, Inc. (1) | 314,263 | 11,370,035 | 0.81 | % | ||||||||
Other Securities (1) | 573,927 | 33,352,213 | 2.39 | % | ||||||||
Total Materials | 44,722,248 | 3.20 | % | |||||||||
Telecommunication Services | ||||||||||||
SBA Communications Corp. (1) | 94,790 | 9,959,585 | 0.71 | % | ||||||||
Other Securities (1) | 66,439 | 1,238,611 | 0.09 | % | ||||||||
Total Telecommunication Services | 11,198,196 | 0.80 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 53,277 | 2,480,302 | 0.18 | % | ||||||||
Total Utilities | 2,480,302 | 0.18 | % | |||||||||
Total Common Stocks | $ | 1,348,029,003 | 96.55 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 33 |
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.18% | 23,544,698 | $ | 23,544,698 | 1.68 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.12% | 23,544,698 | 23,544,698 | 1.69 | % | ||||||||
Total Short-Term Investments |
| $ | 47,089,396 | 3.37 | % | |||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 1,395,118,399 | 99.92 | % | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 1,115,710 | 0.08 | % | ||||||||
TOTAL NET ASSETS |
| $ | 1,396,234,109 | 100.00 | % |
(1) | Non-income producing security or includes securities that are non-income producing. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Depreciation | ||||||||||||||
3 | E-Mini NASDAQ 100 Index Futures | Morgan Stanley | Mar. 2016 | $ | 276,700 | $ | 275,265 | $ | (1,435 | ) | ||||||||||
9 | E-Mini Russell 2000 Index Futures | Morgan Stanley | Mar. 2016 | 1,021,809 | 1,018,350 | (3,459 | ) | |||||||||||||
1 | E-Mini S&P 400 Index Futures | Morgan Stanley | Mar. 2016 | 139,809 | 139,350 | (459 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (5,353 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
34 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
CST Brands, Inc. | 105,909 | $ | 4,145,278 | 0.51 | % | |||||||
Gildan Activewear, Inc. | 162,975 | 4,631,749 | 0.57 | % | ||||||||
Grand Canyon Education, Inc. (1) | 153,475 | 6,157,417 | 0.76 | % | ||||||||
Jarden Corp. (1) | 130,050 | 7,428,456 | 0.91 | % | ||||||||
Newell Rubbermaid, Inc. | 89,233 | 3,933,391 | 0.48 | % | ||||||||
Servicemaster Global Holdings, Inc. (1) | 112,725 | 4,423,329 | 0.54 | % | ||||||||
Tenneco, Inc. (1) | 107,036 | 4,914,023 | 0.60 | % | ||||||||
Other Securities (1) | 1,472,339 | 58,182,430 | 7.15 | % | ||||||||
Total Consumer Discretionary | 93,816,073 | 11.52 | % | |||||||||
Consumer Staples | ||||||||||||
Rite Aid Corp. (1) | 534,503 | 4,190,504 | 0.51 | % | ||||||||
Other Securities (1) | 347,272 | 17,404,557 | 2.13 | % | ||||||||
Total Consumer Staples | 21,595,061 | 2.64 | % | |||||||||
Energy | ||||||||||||
Various Securities (1) | 1,304,144 | 26,950,743 | 3.31 | % | ||||||||
Total Energy | 26,950,743 | 3.31 | % | |||||||||
Financials | ||||||||||||
Ares Capital Corp. | 387,750 | 5,525,438 | 0.68 | % | ||||||||
Arthur J. Gallagher & Co. | 139,234 | 5,700,240 | 0.70 | % | ||||||||
Boston Properties, Inc. | 30,717 | 3,917,646 | 0.48 | % | ||||||||
Equity Residential | 53,491 | 4,364,331 | 0.54 | % | ||||||||
Fifth Third Bancorp | 207,290 | 4,166,529 | 0.51 | % | ||||||||
First American Financial Corp. | 133,212 | 4,782,311 | 0.59 | % | ||||||||
Investors Bancorp, Inc. | 593,738 | 7,386,101 | 0.91 | % | ||||||||
Nasdaq OMX Group, Inc. | 91,764 | 5,337,912 | 0.65 | % | ||||||||
PacWest Bancorp | 134,737 | 5,807,165 | 0.71 | % | ||||||||
Raymond James Financial, Inc. | 88,686 | 5,141,127 | 0.63 | % | ||||||||
Reinsurance Group of America, Inc. | 80,071 | 6,850,074 | 0.84 | % | ||||||||
SEI Investments Co. | 130,827 | 6,855,335 | 0.84 | % | ||||||||
Synchrony Financial (1) | 198,975 | 6,050,830 | 0.74 | % | ||||||||
TD Ameritrade Holding Corp. | 142,022 | 4,929,584 | 0.60 | % | ||||||||
Other Securities (1) | 5,087,913 | 154,809,240 | 18.99 | % | ||||||||
Total Financials | 231,623,863 | 28.41 | % | |||||||||
Healthcare | ||||||||||||
Amsurg Corp. (1) | 62,490 | 4,749,240 | 0.57 | % | ||||||||
Analogic Corp. | 62,700 | 5,179,020 | 0.64 | % | ||||||||
Catalent, Inc. (1) | 187,425 | 4,691,248 | 0.58 | % | ||||||||
Community Health Systems, Inc. (1) | 165,317 | 4,385,860 | 0.54 | % | ||||||||
Endo International Plc (1) | 76,050 | 4,655,781 | 0.57 | % | ||||||||
HCA Holdings, Inc. (1) | 81,500 | 5,511,845 | 0.68 | % | ||||||||
VWR Corp. (1) | 212,786 | 6,023,972 | 0.74 | % | ||||||||
Other Securities (1) | 884,157 | 39,147,233 | 4.80 | % | ||||||||
Total Healthcare | 74,344,199 | 9.12 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 35 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
Equifax, Inc. | 39,905 | $ | 4,444,220 | 0.55 | % | |||||||
HD Supply Holdings, Inc. (1) | 150,075 | 4,506,752 | 0.55 | % | ||||||||
Robert Half International, Inc. | 89,359 | 4,212,383 | 0.52 | % | ||||||||
Towers Watson & Co. | 33,081 | 4,249,585 | 0.52 | % | ||||||||
Wabco Holdings, Inc. (1) | 44,670 | 4,567,954 | 0.56 | % | ||||||||
Other Securities (1) | 2,688,835 | 93,059,851 | 11.41 | % | ||||||||
Total Industrials | 115,040,745 | 14.11 | % | |||||||||
Information Technology | ||||||||||||
Activision Blizzard, Inc. | 120,396 | 4,660,529 | 0.57 | % | ||||||||
Avago Technologies Ltd. | 37,010 | 5,372,002 | 0.66 | % | ||||||||
Broadridge Financial Solutions, Inc. | 76,050 | 4,086,167 | 0.50 | % | ||||||||
Fidelity National Information Services, Inc. | 116,328 | 7,049,477 | 0.86 | % | ||||||||
First Data Corp. (1) | 366,375 | 5,869,328 | 0.72 | % | ||||||||
Global Payments, Inc. | 63,224 | 4,078,580 | 0.50 | % | ||||||||
NCR Corp. (1) | 163,252 | 3,993,144 | 0.49 | % | ||||||||
Sabre Corp. | 164,350 | 4,596,870 | 0.56 | % | ||||||||
Total Systems Services, Inc. | 93,611 | 4,661,828 | 0.57 | % | ||||||||
Western Digital Corp. | 66,870 | 4,015,544 | 0.49 | % | ||||||||
Other Securities (1) | 2,522,595 | 79,543,913 | 9.76 | % | ||||||||
Total Information Technology | 127,927,382 | 15.68 | % | |||||||||
Materials | ||||||||||||
Avery Dennison Corp. | 80,830 | 5,064,808 | 0.62 | % | ||||||||
Constellium (1) | 543,275 | 4,183,218 | 0.51 | % | ||||||||
Crown Holdings, Inc. (1) | 191,514 | 9,709,760 | 1.19 | % | ||||||||
Graphic Packaging Holding Co. | 368,368 | 4,726,161 | 0.58 | % | ||||||||
Packaging Corporation of America | 80,042 | 5,046,648 | 0.62 | % | ||||||||
WestRock Co. | 85,927 | 3,919,990 | 0.48 | % | ||||||||
Other Securities (1) | 880,975 | 29,821,001 | 3.66 | % | ||||||||
Total Materials | 62,471,586 | 7.66 | % | |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 229,829 | 5,200,999 | 0.64 | % | ||||||||
Total Telecommunication Services | 5,200,999 | 0.64 | % | |||||||||
Utilities | ||||||||||||
Various Securities (1) | 861,635 | 33,223,623 | 4.07 | % | ||||||||
Total Utilities | 33,223,623 | 4.07 | % | |||||||||
Total Common Stocks | $ | 792,194,274 | 97.16 | % |
The accompanying notes are an integral part of these financial statements.
36 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.18% | 10,962,435 | $ | 10,962,435 | 1.34 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.12% | 10,962,435 | 10,962,435 | 1.35 | % | ||||||||
Total Short-Term Investments |
| $ | 21,924,870 | 2.69 | % | |||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES |
| $ | 814,119,144 | 99.85 | % | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES |
| 1,242,698 | 0.15 | % | ||||||||
TOTAL NET ASSETS |
| $ | 815,361,842 | 100.00 | % |
(1) | Non-income producing security or includes securities that are non-income producing. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
Open Futures Contracts
Number of | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
2 | E-Mini Russell 2000 Index Futures | Morgan Stanley | Mar. 2016 | $ | 226,689 | $ | 226,300 | $ | (389 | ) | ||||||||||
2 | E-Mini S&P 400 Index Futures | Morgan Stanley | Mar. 2016 | 277,734 | 278,700 | 966 | ||||||||||||||
|
| |||||||||||||||||||
$ | 577 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 37 |
Table of Contents
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Carnival Plc | 262,455 | $ | 14,951,121 | 0.68 | % | |||||||
Ctrip.com International, Ltd. – ADR (1) | 321,417 | 14,891,250 | 0.68 | % | ||||||||
Galaxy Entertainment Group Ltd. | 4,579,000 | 14,347,483 | 0.66 | % | ||||||||
Industria de Diseno Textil SA | 422,675 | 14,520,709 | 0.66 | % | ||||||||
Sumitomo Electric Industries Ltd. | 924,900 | 13,060,357 | 0.60 | % | ||||||||
Toyota Motor Corp. | 274,900 | 16,928,073 | 0.77 | % | ||||||||
Other Securities (1) | 15,322,721 | 241,292,031 | 11.04 | % | ||||||||
Total Consumer Discretionary | 329,991,024 | 15.09 | % | |||||||||
Consumer Staples | ||||||||||||
Japan Tobacco, Inc. | 731,700 | 26,863,466 | 1.23 | % | ||||||||
Kao Corp. | 384,700 | 19,769,251 | 0.90 | % | ||||||||
Nestle SA | 609,773 | 45,266,653 | 2.07 | % | ||||||||
Reckitt Benckiser Group Plc | 149,425 | 13,825,831 | 0.63 | % | ||||||||
Tesco Plc (1) | 11,023,936 | 24,222,773 | 1.11 | % | ||||||||
Unilever Plc – ADR | 522,453 | 22,409,269 | 1.02 | % | ||||||||
Other Securities (1) | 23,970,303 | 165,163,955 | 7.56 | % | ||||||||
Total Consumer Staples | 317,521,198 | 14.52 | % | |||||||||
Energy | ||||||||||||
BG Group Plc | 1,243,609 | 18,027,263 | 0.82 | % | ||||||||
BP Plc | 4,088,315 | 21,245,810 | 0.97 | % | ||||||||
Royal Dutch Shell Plc – Class A | 855,781 | 19,517,963 | 0.89 | % | ||||||||
Total SA | 294,020 | 13,181,397 | 0.60 | % | ||||||||
Other Securities (1) | 4,249,842 | 43,238,692 | 1.99 | % | ||||||||
Total Energy | 115,211,125 | 5.27 | % | |||||||||
Financials | ||||||||||||
ACE Ltd. | 122,125 | 14,270,306 | 0.65 | % | ||||||||
BNP Paribas SA | 234,388 | 13,261,117 | 0.61 | % | ||||||||
Daito Trust Construction Co. Ltd. | 110,500 | 12,763,908 | 0.58 | % | ||||||||
Hargreaves Lansdown Plc | 632,451 | 14,040,889 | 0.64 | % | ||||||||
Investment AB Kinnevik | 449,158 | 13,834,643 | 0.63 | % | ||||||||
MS&AD Insurance Group Holdings, Inc. | 436,400 | 12,797,288 | 0.59 | % | ||||||||
Nomura Holdings, Inc. | 2,318,300 | 12,913,059 | 0.59 | % | ||||||||
Royal Bank of Scotland Group Plc (1) | 3,193,998 | 14,197,604 | 0.65 | % | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 419,700 | 15,839,918 | 0.72 | % | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 3,770,000 | 14,278,240 | 0.65 | % | ||||||||
United Overseas Bank Ltd. | 1,225,500 | 16,895,742 | 0.77 | % | ||||||||
Other Securities (1) | 34,753,278 | 168,854,242 | 7.73 | % | ||||||||
Total Financials | 323,946,956 | 14.81 | % | |||||||||
Healthcare | ||||||||||||
AstraZeneca Plc | 215,561 | 14,560,661 | 0.67 | % | ||||||||
Fresenius Medical Care AG & Co. | 156,954 | 13,189,632 | 0.60 | % | ||||||||
Novartis AG – ADR | 275,346 | 23,685,064 | 1.08 | % | ||||||||
Novo Nordisk A/S – ADR | 259,460 | 15,069,437 | 0.69 | % | ||||||||
Novo Nordisk A/S – Class B | 304,459 | 17,627,631 | 0.81 | % |
The accompanying notes are an integral part of these financial statements.
38 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Healthcare – (continued) | ||||||||||||
Roche Holding AG | 92,962 | $ | 25,760,552 | 1.18 | % | |||||||
Sysmex Corp. | 220,900 | 14,169,561 | 0.65 | % | ||||||||
Takeda Pharmaceutical Co. Ltd. | 259,400 | 12,933,546 | 0.59 | % | ||||||||
Other Securities (1) | 9,871,460 | 135,743,821 | 6.20 | % | ||||||||
Total Healthcare | 272,739,905 | 12.47 | % | |||||||||
Industrials | ||||||||||||
ABB Ltd. | 1,173,411 | 20,942,588 | 0.96 | % | ||||||||
CK Hutchison Holdings Ltd. | 977,500 | 13,139,485 | 0.60 | % | ||||||||
East Japan Railway Co. | 153,200 | 14,426,223 | 0.66 | % | ||||||||
Other Securities (1) | 12,959,587 | 176,634,526 | 8.07 | % | ||||||||
Total Industrials | 225,142,822 | 10.29 | % | |||||||||
Information Technology | ||||||||||||
Alibaba Group Holding Ltd. – ADR (1) | 244,296 | 19,853,936 | 0.91 | % | ||||||||
Baidu, Inc. – ADR (1) | 123,223 | 23,294,076 | 1.06 | % | ||||||||
Infineon Technologies AG | 1,001,764 | 14,604,508 | 0.67 | % | ||||||||
Lenovo Group Ltd. | 12,842,000 | 12,960,063 | 0.59 | % | ||||||||
Nokia Corp. | 2,102,112 | 14,871,515 | 0.68 | % | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | 1,551,641 | 35,299,833 | 1.61 | % | ||||||||
Tencent Holdings Ltd. | 1,038,800 | 20,339,690 | 0.93 | % | ||||||||
Other Securities (1) | 7,635,252 | �� | 140,125,309 | 6.41 | % | |||||||
Total Information Technology | 281,348,929 | 12.86 | % | |||||||||
Materials | ||||||||||||
Bayer AG | 104,507 | 13,051,989 | 0.60 | % | ||||||||
Novozymes A/S | 315,942 | 15,126,952 | 0.69 | % | ||||||||
Other Securities (1) | 6,479,950 | 46,961,088 | 2.14 | % | ||||||||
Total Materials | 75,140,029 | 3.43 | % | |||||||||
Telecommunication Services | ||||||||||||
Nippon Telegraph & Telephone Corp. | 383,000 | 15,242,679 | 0.70 | % | ||||||||
Vodafone Group Plc | 4,097,904 | 13,288,626 | 0.61 | % | ||||||||
Other Securities (1) | 8,053,204 | 67,210,087 | 3.07 | % | ||||||||
Total Telecommunication Services | 95,741,392 | 4.38 | % | |||||||||
Utilities | ||||||||||||
National Grid Plc | 916,202 | 12,635,954 | 0.58 | % | ||||||||
Other Securities (1) | 3,762,331 | 31,678,418 | 1.44 | % | ||||||||
Total Utilities | 44,314,372 | 2.02 | % | |||||||||
Total Common Stocks | $ | 2,081,097,752 | 95.14 | % | ||||||||
PREFERRED STOCKS | ||||||||||||
Consumer Discretionary | ||||||||||||
Volkswagen AG | 1,218 | $ | 175,855 | 0.01 | % | |||||||
Financials | ||||||||||||
Shinkin Central Bank | 4 | 7,503 | 0.00 | %(2) |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 39 |
Table of Contents
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2015 (Unaudited) (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
Healthcare | ||||||||||||
Grifols SA – Class B | 882 | $ | 28,583 | 0.00 | %(2) | |||||||
Total Preferred Stocks | $ | 211,941 | 0.01 | % | ||||||||
RIGHTS | ||||||||||||
Financials | ||||||||||||
Ascendas Real Estate Investment Trust (1) | 480 | $ | 21 | 0.00 | %(2) | |||||||
Ubi Banca SPA (1) | 7,853 | — | 0.00 | %(2) | ||||||||
Total Rights | $ | 21 | 0.00 | % | ||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.18% | 49,497,470 | $ | 49,497,470 | 2.26 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.12% | 49,497,470 | 49,497,470 | 2.26 | % | ||||||||
Total Short-Term Investments | $ | 98,994,940 | 4.52 | % | ||||||||
| ||||||||||||
TOTAL INVESTMENT IN SECURITIES | $ | 2,180,304,654 | 99.67 | % | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 7,224,952 | 0.33 | % | |||||||||
TOTAL NET ASSETS | $ | 2,187,529,606 | 100.00 | % |
ADR—American Depository Receipt
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Amount less than 0.005%. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
COUNTRY | % of Net Assets | |||
Australia | 2.60 | % | ||
Austria | 0.01 | % | ||
Belgium | 0.57 | % | ||
Bermuda | 0.38 | % | ||
Brazil | 0.75 | % | ||
Canada | 1.24 | % | ||
Chile | 0.20 | % | ||
China | 3.16 | % | ||
Denmark | 3.83 | % | ||
Finland | 1.01 | % | ||
France | 4.00 | % | ||
Germany | 6.38 | % | ||
Greece | 0.03 | % | ||
Hong Kong | 4.57 | % | ||
India | 0.66 | % | ||
Indonesia | 0.48 | % | ||
Ireland | 1.63 | % | ||
Israel | 0.20 | % | ||
Italy | 0.53 | % | ||
Japan | 18.64 | % | ||
Luxembourg | 0.01 | % | ||
Mexico | 0.86 | % |
Netherlands | 3.51 | % | ||
Netherlands Antilles | 0.40 | % | ||
New Zealand | 0.01 | % | ||
Norway | 0.19 | % | ||
Philippines | 0.11 | % | ||
Portugal | 0.24 | % | ||
Republic of Korea | 1.27 | % | ||
Singapore | 1.14 | % | ||
South Africa | 0.90 | % | ||
Spain | 2.18 | % | ||
Sweden | 2.74 | % | ||
Switzerland | 8.91 | % | ||
Taiwan, Province of China | 2.04 | % | ||
Thailand | 0.68 | % | ||
United Kingdom | 17.74 | % | ||
United States | 1.34 | % | ||
Other (individually each country is less than 0.005%) | 0.01 | % | ||
|
| |||
Total Country | 95.15 | % | ||
|
| |||
SHORT-TERM INVESTMENTS | 4.52 | % | ||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.67 | % | ||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.33 | % | ||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
40 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2015 (Unaudited)
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (1) | $ | 10,373,763,374 | $ | 2,286,992,798 | $ | 1,318,490,920 | $ | 2,621,157,192 | ||||||||
Cash | 171,504 | 7,316 | — | — | ||||||||||||
Receivable for investments sold | 206,658,115 | 32,072,299 | — | 2,262,520 | ||||||||||||
Receivable for fund shares sold | 20,830,882 | 4,045,594 | 3,472,033 | 4,844,137 | ||||||||||||
Receivable for forward foreign currency exchange contracts | — | 18,847 | — | — | ||||||||||||
Dividend and interest receivable | 49,882,345 | 12,685,139 | 13,989,033 | 1,768,527 | ||||||||||||
Tax reclaim receivable | — | 18,255 | — | 42,438 | ||||||||||||
Variation margin on futures contracts | 30,927 | — | — | — | ||||||||||||
Deposits at broker for futures | — | — | — | 80,260 | ||||||||||||
Prepaid expenses and other assets | 247,497 | 192,110 | 134,477 | 329,421 | ||||||||||||
Total Assets | $ | 10,651,584,644 | $ | 2,336,032,358 | $ | 1,336,086,463 | $ | 2,630,484,495 | ||||||||
Liabilities: | ||||||||||||||||
Securities sold short, at value (2) | $ | 80,401,206 | $ | — | $ | — | $ | — | ||||||||
Payable for investments purchased | 570,236,331 | 129,807,217 | 7,177,230 | 2,274,727 | ||||||||||||
Payable for fund shares redeemed | 13,257,187 | 4,308,575 | 2,927,560 | 3,793,213 | ||||||||||||
Payable to Custodian | — | — | — | 14,332 | ||||||||||||
Variation margin on futures contracts | — | 67,695 | — | 16,426 | ||||||||||||
Payable to Adviser | 994,529 | 298,272 | 202,471 | 615,675 | ||||||||||||
Payable to Trustees | 84,642 | 14,200 | 13,624 | 24,230 | ||||||||||||
Payable for forward foreign currency exchange contracts | — | 53,519 | — | — | ||||||||||||
Accrued expenses and other liabilities | 1,222,681 | 268,460 | 197,936 | 269,569 | ||||||||||||
Total Liabilities | $ | 666,196,576 | $ | 134,817,938 | $ | 10,518,821 | $ | 7,008,172 | ||||||||
Net Assets | $ | 9,985,388,068 | $ | 2,201,214,420 | $ | 1,325,567,642 | $ | 2,623,476,323 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 9,994,158,488 | $ | 2,232,024,727 | $ | 1,311,738,421 | $ | 2,607,523,977 | ||||||||
Undistributed (distribution in excess of) net investment income | (18,963,579 | ) | (4,357,030 | ) | (529,951 | ) | 729,777 | |||||||||
Accumulated net realized gain/(loss) | (4,717,209 | ) | (3,498,792 | ) | 368,836 | (41,283,576 | ) | |||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 15,201,005 | (23,103,594 | ) | 13,990,336 | 56,517,841 | |||||||||||
Securities sold short | 117,232 | — | — | — | ||||||||||||
Foreign currency translation | — | (4,399 | ) | — | — | |||||||||||
Futures contracts | (407,869 | ) | 188,180 | — | (11,696 | ) | ||||||||||
Forward foreign currency exchange contracts | — | (34,672 | ) | — | — | |||||||||||
Net Assets | $ | 9,985,388,068 | $ | 2,201,214,420 | $ | 1,325,567,642 | $ | 2,623,476,323 | ||||||||
Shares of beneficial interest outstanding (unlimited shares without par value authorized) | 995,514,654 | 222,602,604 | 131,076,874 | 262,276,945 | ||||||||||||
Net Assets | $ | 9,985,388,068 | $ | 2,201,214,420 | $ | 1,325,567,642 | $ | 2,623,476,323 | ||||||||
Net asset value price per share | $ | 10.03 | $ | 9.89 | $ | 10.11 | $ | 10.00 | ||||||||
(1) Cost of investments | $ | 10,358,562,369 | $ | 2,310,096,392 | $ | 1,304,500,584 | $ | 2,564,639,351 | ||||||||
(2) Proceeds from securities sold short | 80,518,438 | — | — | — |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 41 |
Table of Contents
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2015 (Unaudited) (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | Bridge Builder International Equity Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (1) | $ | 2,153,898,473 | $ | 1,395,118,399 | $ | 814,119,144 | $ | 2,180,304,654 | ||||||||
Cash | 36,867 | — | 186,729 | — | ||||||||||||
Foreign currency (2) | 49,999 | — | — | 5,538,820 | ||||||||||||
Receivable for investments sold | 2,096,696 | 110,754 | 2,294,585 | 256,622 | ||||||||||||
Receivable for fund shares sold | 5,103,333 | 3,135,263 | 743,121 | 4,104,899 | ||||||||||||
Dividend and interest receivable | 3,313,397 | 663,327 | 1,120,592 | 2,815,778 | ||||||||||||
Tax reclaim receivable | 146,164 | 93 | — | 378,634 | ||||||||||||
Foreign currency spot trade receivable | — | — | — | 24,800 | ||||||||||||
Deposits at broker for futures | 101,960 | 75,380 | 27,000 | — | ||||||||||||
Prepaid expenses and other assets | 312,315 | 196,139 | 124,499 | 425,923 | ||||||||||||
Total Assets | $ | 2,165,059,204 | $ | 1,399,299,355 | $ | 818,615,670 | $ | 2,193,850,130 | ||||||||
Liabilities: | ||||||||||||||||
Payable for investments purchased | $ | 8,999,473 | $ | 898,639 | $ | 1,550,219 | $ | 2,264,914 | ||||||||
Payable for fund shares redeemed | 3,476,764 | 1,482,103 | 1,236,001 | 2,988,903 | ||||||||||||
Payable to Custodian | — | 12,072 | — | — | ||||||||||||
Variation margin on futures contracts | 19,200 | 15,145 | 4,900 | — | ||||||||||||
Payable to Adviser | 521,147 | 482,810 | 314,680 | 687,382 | ||||||||||||
Payable to Trustees | 19,647 | 13,793 | 6,257 | 15,038 | ||||||||||||
Accrued expenses and other liabilities | 237,886 | 160,684 | 141,771 | 364,287 | ||||||||||||
Total Liabilities | $ | 13,274,117 | $ | 3,065,246 | $ | 3,253,828 | $ | 6,320,524 | ||||||||
Net Assets | $ | 2,151,785,087 | $ | 1,396,234,109 | $ | 815,361,842 | $ | 2,187,529,606 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Capital stock | $ | 2,304,342,233 | $ | 1,476,129,097 | $ | 879,114,187 | $ | 2,359,646,839 | ||||||||
Undistributed (distribution in excess of) net investment income | (114,400 | ) | 3,933 | 797,580 | 1,076,803 | |||||||||||
Accumulated net realized gain/(loss) | (16,283,323 | ) | (11,992,140 | ) | (10,141,118 | ) | (22,761,059 | ) | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (136,145,216 | ) | (67,901,428 | ) | (54,409,384 | ) | (150,399,989 | ) | ||||||||
Foreign currency translation | (2,643 | ) | — | — | (32,988 | ) | ||||||||||
Futures contracts | (11,564 | ) | (5,353 | ) | 577 | — | ||||||||||
Net Assets | $ | 2,151,785,087 | $ | 1,396,234,109 | $ | 815,361,842 | $ | 2,187,529,606 | ||||||||
Shares of beneficial interest outstanding (unlimited shares without par value authorized) | 229,174,566 | 148,707,367 | 87,878,621 | 231,555,271 | ||||||||||||
Net Assets | $ | 2,151,785,087 | $ | 1,396,234,109 | $ | 815,361,842 | $ | 2,187,529,606 | ||||||||
Net asset value price per share | $ | 9.39 | $ | 9.39 | $ | 9.28 | $ | 9.45 | ||||||||
(1) Cost of investments | $ | 2,290,043,689 | $ | 1,463,019,827 | $ | 868,528,528 | $ | 2,330,704,643 | ||||||||
(2) Cost of foreign currency | 49,823 | — | — | 5,575,391 |
The accompanying notes are an integral part of these financial statements.
42 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Six Months Ended December 31, 2015 (Unaudited)
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund(1) | Bridge Builder Municipal Bond Fund(2) | Bridge Builder Large Cap Growth Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income | $ | — | $ | 253,756 | $ | — | $ | 15,394,907 | ||||||||
Less: Foreign taxes withheld and issuance fees | — | — | — | (65,206 | ) | |||||||||||
Interest income | 117,610,851 | 21,151,465 | 6,881,831 | 14,292 | ||||||||||||
Less: Foreign taxes withheld | — | (13,109 | ) | — | — | |||||||||||
Other income | 149,581 | — | — | — | ||||||||||||
Total Investment Income | $ | 117,760,432 | $ | 21,392,112 | $ | 6,881,831 | $ | 15,343,993 | ||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 15,757,803 | 3,401,401 | 1,317,063 | 5,782,949 | ||||||||||||
Professional fees | 225,772 | 67,795 | 40,239 | 64,584 | ||||||||||||
Administration fee | 575,368 | 131,216 | 56,553 | 175,068 | ||||||||||||
Fund accounting fees | 576,084 | 90,816 | 28,492 | 7,024 | ||||||||||||
Transfer agent fees and expenses | 14,812 | 9,229 | 4,774 | 8,004 | ||||||||||||
Trustee fees and expenses | 195,420 | 36,447 | 22,791 | 58,368 | ||||||||||||
Printing and mailing expense | 129,636 | 26,704 | 26,685 | 64,448 | ||||||||||||
Custody fees | 148,344 | 36,263 | 19,852 | 71,592 | ||||||||||||
Insurance expense | 73,508 | 2,859 | 1,007 | 3,221 | ||||||||||||
Registration fees | 530,400 | 93,922 | 55,935 | 206,360 | ||||||||||||
Offering costs | — | 16,040 | �� | 8,566 | 18,216 | |||||||||||
Other expenses | 42,496 | 12,896 | 3,995 | 8,521 | ||||||||||||
Total expenses before fee waivers | 18,269,643 | 3,925,588 | 1,585,952 | 6,468,355 | ||||||||||||
Fee waivers by Adviser | (9,975,654 | ) | (1,856,387 | ) | (649,792 | ) | (2,413,617 | ) | ||||||||
Net expenses | 8,293,989 | 2,069,201 | 936,160 | 4,054,738 | ||||||||||||
Net Investment Income | $ | 109,466,443 | $ | 19,322,911 | $ | 5,945,671 | $ | 11,289,255 | ||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 15,828,149 | 1,316,553 | 1,123,279 | (37,131,978 | ) | |||||||||||
Securities sold short | 444,709 | — | — | — | ||||||||||||
Foreign currency transactions | — | (283,386 | ) | — | (1,546 | ) | ||||||||||
Futures contracts | (242,709 | ) | 477,178 | (3,330 | ) | (60,312 | ) | |||||||||
Forward foreign currency exchange contracts | — | 459,744 | — | — | ||||||||||||
Swap contracts | — | 18,143 | — | — | ||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (56,312,240 | ) | (23,103,594 | ) | 13,990,336 | 86,443,252 | ||||||||||
Securities sold short | 117,232 | — | — | — | ||||||||||||
Foreign currency transactions | — | (4,399 | ) | — | — | |||||||||||
Futures contracts | (483,793 | ) | 188,180 | — | (1,064 | ) | ||||||||||
Forward foreign currency exchange contracts | — | (34,672 | ) | — | — | |||||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | (40,648,652 | ) | (20,966,253 | ) | 15,110,285 | 49,248,352 | ||||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 68,817,791 | $ | (1,643,342 | ) | $ | 21,055,956 | $ | 60,537,607 |
(1) | Since Inception on July 13, 2015. |
(2) | Since Inception on September 14, 2015. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 43 |
Table of Contents
Bridge Builder Mutual Funds
Statements of Operations
Six Months Ended December 31, 2015 (Unaudited) (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | Bridge Builder International Equity Fund(1) | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income | $ | 22,708,231 | $ | 6,008,928 | $ | 6,598,102 | $ | 16,921,628 | ||||||||
Less: Foreign taxes withheld and issuance fees | (179,925 | ) | (45,029 | ) | (4,405 | ) | (1,650,556 | ) | ||||||||
Interest income | 14,949 | 7,314 | 3,398 | 14,319 | ||||||||||||
Total Investment Income | $ | 22,543,255 | $ | 5,971,213 | $ | 6,597,095 | $ | 15,285,391 | ||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 4,746,333 | 4,482,281 | 2,731,319 | 5,780,466 | ||||||||||||
Professional fees | 56,186 | 47,104 | 36,808 | 60,296 | ||||||||||||
Administration fee | 140,880 | 118,312 | 90,775 | 151,631 | ||||||||||||
Fund accounting fees | 7,151 | 16,892 | 21,604 | 58,988 | ||||||||||||
Transfer agent fees and expenses | 7,623 | 7,176 | 2,711 | 10,841 | ||||||||||||
Trustee fees and expenses | 45,731 | 33,404 | 16,532 | 35,836 | ||||||||||||
Printing and mailing expense | 47,834 | 61,400 | 21,888 | 33,184 | ||||||||||||
Custody fees | 89,253 | 118,264 | 94,771 | 272,888 | ||||||||||||
Insurance expense | 2,627 | 1,727 | 1,061 | 2,627 | ||||||||||||
Registration fees | 185,203 | 111,944 | 68,411 | 94,833 | ||||||||||||
Offering costs | 14,706 | 10,856 | 6,986 | 12,881 | ||||||||||||
Other expenses | 9,852 | 7,159 | 5,207 | 9,525 | ||||||||||||
Total expenses before fee waivers | 5,353,379 | 5,016,519 | 3,098,073 | 6,523,996 | ||||||||||||
Fee waivers by Adviser | (1,679,597 | ) | (1,723,039 | ) | (810,105 | ) | (2,190,695 | ) | ||||||||
Net expenses | 3,673,782 | 3,293,480 | 2,287,968 | 4,333,301 | ||||||||||||
Net Investment Income | $ | 18,869,473 | $ | 2,677,733 | $ | 4,309,127 | $ | 10,952,090 | ||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation): | ||||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | (15,731,385 | ) | (8,323,661 | ) | (9,569,331 | ) | (21,756,739 | ) | ||||||||
Foreign currency transactions | (4,989 | ) | — | — | (1,004,320 | ) | ||||||||||
Futures contracts | (57,956 | ) | (775,194 | ) | (70,350 | ) | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (75,949,150 | ) | (72,618,182 | ) | (41,806,032 | ) | (150,399,989 | ) | ||||||||
Foreign currency transactions | (3,025 | ) | — | — | (32,988 | ) | ||||||||||
Futures contracts | 8,552 | 233,490 | 6,921 | — | ||||||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | (91,537,953 | ) | (81,483,547 | ) | (51,438,792 | ) | (173,194,036 | ) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (72,668,480 | ) | $ | (78,805,814 | ) | $ | (47,129,665 | ) | $ | (162,241,946 | ) |
(1) | Since Inception on July 6, 2015. |
The accompanying notes are an integral part of these financial statements.
44 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||||||||||||
Six Months Ended December 31, 2015 (Unaudited) | Year Ended June 30, 2015 | �� | From July 13, 2015(1) to December 31, 2015 (Unaudited) | From September 14, 2015(1) to December 31, 2015 (Unaudited) | Six Months Ended December 31, 2015 (Unaudited) | From April 27, 2015(1) to June 30, 2015 | ||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 109,466,443 | $ | 170,106,127 | $ | 19,322,911 | $ | 5,945,671 | $ | 11,289,255 | $ | 3,026,158 | ||||||||||||
Net realized gain/(loss) | 16,030,149 | 21,301,227 | 1,988,232 | 1,119,949 | (37,193,836 | ) | (4,089,220 | ) | ||||||||||||||||
Net change in unrealized appreciation/ (depreciation) | (56,678,801 | ) | (50,298,923 | ) | (22,954,485 | ) | 13,990,336 | 86,442,188 | (29,936,043 | ) | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 68,817,791 | 141,108,431 | (1,643,342 | ) | 21,055,956 | 60,537,607 | (30,999,105 | ) | ||||||||||||||||
Distributions to Shareholders: |
| |||||||||||||||||||||||
Net investment income | (129,109,546 | ) | (186,830,832 | ) | (23,679,941 | ) | (6,475,622 | ) | (13,598,060 | ) | — | |||||||||||||
Net realized gains | (16,924,614 | ) | — | (5,487,024 | ) | (751,113 | ) | — | — | |||||||||||||||
Total distributions | (146,034,160 | ) | (186,830,832 | ) | (29,166,965 | ) | (7,226,735 | ) | (13,598,060 | ) | — | |||||||||||||
Capital Transactions: |
| |||||||||||||||||||||||
Proceeds from shares sold | $ | 1,965,097,808 | $ | 2,206,543,601 | $ | 2,378,279,760 | $ | 1,367,272,767 | $ | 191,061,349 | $ | 2,680,798,759 | ||||||||||||
Reinvestment of distributions | 146,034,160 | 186,830,832 | 29,166,965 | 7,226,735 | 13,598,060 | — | ||||||||||||||||||
Cost of shares redeemed | (660,179,915 | ) | (740,738,260 | ) | (175,421,998 | ) | (62,761,081 | ) | (215,424,623 | ) | (62,497,664 | ) | ||||||||||||
Net increase/(decrease) from capital transactions | 1,450,952,053 | 1,652,636,173 | 2,232,024,727 | 1,311,738,421 | (10,765,214 | ) | 2,618,301,095 | |||||||||||||||||
Total increase/(decrease) in net assets | 1,373,735,684 | 1,606,913,772 | 2,201,214,420 | 1,325,567,642 | 36,174,333 | 2,587,301,990 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 8,611,652,384 | 7,004,738,612 | — | — | 2,587,301,990 | — | ||||||||||||||||||
End of period* | $ | 9,985,388,068 | $ | 8,611,652,384 | $ | 2,201,214,420 | $ | 1,325,567,642 | $ | 2,623,476,323 | $ | 2,587,301,990 | ||||||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | (18,963,579 | ) | $ | 679,524 | $ | (4,357,030 | ) | $ | (529,951 | ) | $ | 729,777 | $ | 3,038,582 | |||||||||
Change in Shares Outstanding: |
| |||||||||||||||||||||||
Shares sold | 193,970,507 | 215,737,181 | 237,191,217 | 136,592,809 | 19,275,145 | 269,523,643 | ||||||||||||||||||
Shares issued on reinvestment of distributions | 14,434,076 | 18,274,112 | 2,925,719 | 716,145 | 1,381,917 | — | ||||||||||||||||||
Shares redeemed | (65,118,208 | ) | (72,449,533 | ) | (17,514,332 | ) | (6,232,080 | ) | (21,637,149 | ) | (6,266,611 | ) | ||||||||||||
Net increase/(decrease) | 143,286,375 | 161,561,760 | 222,602,604 | 131,076,874 | (980,087 | ) | 263,257,032 |
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 45 |
Table of Contents
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||||
Six Months Ended December 31, 2015 (Unaudited) | From April 27, 2015(1) to June 30, 2015 | Six Months Ended December 31, 2015 (Unaudited) | From April 27, 2015(1) to June 30, 2015 | Six Months Ended December 31, 2015 (Unaudited) | From April 27, 2015(1) to June 30, 2015 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 18,869,473 | $ | 6,204,814 | $ | 2,677,733 | $ | 962,590 | $ | 4,309,127 | $ | 1,398,671 | ||||||||||||
Net realized gain/(loss) | (15,794,330 | ) | 549,133 | (9,098,855 | ) | (2,893,285 | ) | (9,639,681 | ) | 119,856 | ||||||||||||||
Net change in unrealized appreciation/(depreciation) | (75,743,623 | ) | (60,415,800 | ) | (72,384,692 | ) | 4,477,911 | (41,799,111 | ) | (12,609,696 | ) | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (72,668,480 | ) | (53,661,853 | ) | (78,805,814 | ) | 2,547,216 | (47,129,665 | ) | (11,091,169 | ) | |||||||||||||
Distributions to Shareholders: |
| |||||||||||||||||||||||
Net investment income | (19,041,106 | ) | (6,142,468 | ) | (3,645,670 | ) | — | (4,920,447 | ) | — | ||||||||||||||
Net realized gains | (1,055,143 | ) | — | — | — | (620,344 | ) | — | ||||||||||||||||
Total distributions | (20,096,249 | ) | (6,142,468 | ) | (3,645,670 | ) | — | (5,540,791 | ) | — | ||||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | $ | 214,373,669 | $ | 2,250,379,331 | $ | 136,826,627 | $ | 1,453,813,530 | $ | 29,601,830 | $ | 919,471,124 | ||||||||||||
Reinvestment of distributions | 20,096,249 | 6,142,468 | 3,645,670 | — | 5,540,791 | — | ||||||||||||||||||
Cost of shares redeemed | (139,980,223 | ) | (46,657,357 | ) | (86,037,650 | ) | (32,109,800 | ) | (54,245,214 | ) | (21,245,064 | ) | ||||||||||||
Net increase/(decrease) from capital transactions | 94,489,695 | 2,209,864,442 | 54,434,647 | 1,421,703,730 | (19,102,593 | ) | 898,226,060 | |||||||||||||||||
Total increase/(decrease) in net assets | 1,724,966 | 2,150,060,121 | (28,016,837 | ) | 1,424,250,946 | (71,773,049 | ) | 887,134,891 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 2,150,060,121 | — | 1,424,250,946 | — | 887,134,891 | — | ||||||||||||||||||
End of period* | $ | 2,151,785,087 | $ | 2,150,060,121 | $ | 1,396,234,109 | $ | 1,424,250,946 | $ | 815,361,842 | $ | 887,134,891 | ||||||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | (114,400 | ) | $ | 57,233 | $ | 3,933 | $ | 971,870 | $ | 797,580 | $ | 1,408,900 | |||||||||||
Change in Shares Outstanding: |
| |||||||||||||||||||||||
Shares sold | 22,464,176 | 223,189,329 | 13,946,976 | 146,219,051 | 3,095,924 | 91,964,984 | ||||||||||||||||||
Shares issued on reinvestment of distributions | 2,187,058 | 626,144 | 395,838 | — | 609,548 | — | ||||||||||||||||||
Shares redeemed | (14,651,216 | ) | (4,640,925 | ) | (8,652,143 | ) | (3,202,355 | ) | (5,677,358 | ) | (2,114,477 | ) | ||||||||||||
Net increase/(decrease) | 10,000,018 | 219,174,548 | 5,690,671 | 143,016,696 | (1,971,886 | ) | 89,850,507 |
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
46 | Semiannual Report • December 31, 2015 |
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Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder International Equity Fund | ||||
From July 6, 2015(1) to December 31, 2015 (Unaudited) | ||||
Operations: | ||||
Net investment income | $ | 10,952,090 | ||
Net realized gain/(loss) | (22,761,059 | ) | ||
Net change in unrealized appreciation/(depreciation) | (150,432,977 | ) | ||
Net increase/(decrease) in net assets resulting from operations | (162,241,946 | ) | ||
Distributions to Shareholders: | ||||
Net investment income | (9,875,287 | ) | ||
Total distributions | (9,875,287 | ) | ||
Capital Transactions: | ||||
Proceeds from shares sold | $ | 2,454,134,961 | ||
Reinvestment of distributions | 9,875,287 | |||
Cost of shares redeemed | (104,363,409 | ) | ||
Net increase from capital transactions | 2,359,646,839 | |||
Total increase/(decrease) in net assets | 2,187,529,606 | |||
Net Assets: | ||||
Beginning of period | — | |||
End of period* | $ | 2,187,529,606 | ||
* Including undistributed (distribution in excess of) net investment income of: | $ | 1,076,803 | ||
Change in Shares Outstanding: | ||||
Shares sold | 241,376,195 | |||
Shares issued on reinvestment of distributions | 1,063,002 | |||
Shares redeemed | (10,883,926 | ) | ||
Net increase/(decrease) | 231,555,271 |
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 47 |
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Bridge Builder Mutual Funds
Net asset value, beginning of period | Net investment income | Net realized | Net | Distributions from net investment income | Distributions from net realized gains | |||||||||||||||||||
Bridge Builder Core Bond Fund | ||||||||||||||||||||||||
Six months ended December 31, 2015 (Unaudited) | $ | 10.10 | 0.11 | (0.03 | ) | 0.08 | (0.13 | ) | (0.02 | ) | ||||||||||||||
For the year ended June 30, 2015 | $ | 10.14 | 0.24 | (0.04 | ) | 0.20 | (0.24 | ) | — | |||||||||||||||
For the period October 28, 2013(4) - June 30, 2014 | $ | 10.00 | 0.14 | 0.15 | 0.29 | (0.15 | ) | — | ||||||||||||||||
Bridge Builder Core Plus Fund | ||||||||||||||||||||||||
For the period July 13, 2015(4) - December 31, 2015 (Unaudited) | $ | 10.00 | 0.08 | (0.07 | ) | 0.01 | (0.10 | ) | (0.02 | ) | ||||||||||||||
Bridge Builder Municipal Bond Fund | ||||||||||||||||||||||||
For the period September 14, 2015(4) - December 31, 2015 (Unaudited) | $ | 10.00 | 0.06 | 0.12 | 0.18 | (0.06 | ) | (0.01 | ) | |||||||||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||||||||||
Six months ended December 31, 2015 (Unaudited) | $ | 9.83 | 0.04 | 0.18 | 0.22 | (0.05 | ) | — | ||||||||||||||||
For the period April 27, 2015(4) - June 30, 2015 | $ | 10.00 | 0.01 | (0.18 | ) | (0.17 | ) | — | — | |||||||||||||||
Bridge Builder Large Cap Value Fund | ||||||||||||||||||||||||
Six months ended December 31, 2015 (Unaudited) | $ | 9.81 | 0.08 | (0.42 | ) | (0.34 | ) | (0.08 | ) | — | (5) | |||||||||||||
For the period April 27, 2015(4) - June 30, 2015 | $ | 10.00 | 0.03 | (0.19 | ) | (0.16 | ) | (0.03 | ) | — | ||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||||||||||
Six months ended December 31, 2015 (Unaudited) | $ | 9.96 | 0.02 | (0.56 | ) | (0.54 | ) | (0.03 | ) | — | ||||||||||||||
For the period April 27, 2015(4) - June 30, 2015 | $ | 10.00 | 0.01 | (0.05 | ) | (0.04 | ) | — | — | |||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||||||
Six months ended December 31, 2015 (Unaudited) | $ | 9.87 | 0.05 | (0.58 | ) | (0.53 | ) | (0.05 | ) | (0.01 | ) | |||||||||||||
For the period April 27, 2015(4) - June 30, 2015 | $ | 10.00 | 0.02 | (0.15 | ) | (0.13 | ) | — | — | |||||||||||||||
Bridge Builder International Equity Fund | ||||||||||||||||||||||||
For the period July 6, 2015(4) - December 31, 2015 (Unaudited) | $ | 10.00 | 0.05 | (0.56 | ) | (0.51 | ) | (0.04 | ) | — |
(1) | Annualized for periods less than one year. |
(2) | Total returns and portfolio turnover are not annualized for periods less than one year. |
(3) | Excludes securities received in capital contribution in-kind. |
(4) | Inception Date. |
(5) | Less than $0.005. |
The accompanying notes are an integral part of these financial statements.
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Change in net asset value for the period | Net asset value, end of period | Total return(2) | Net assets, end of period (millions) | Ratio of expenses (prior to reimburse- ments) to average net assets(1) | Ratio of net expenses to average net assets(1) | Ratio of net investment income (prior to reimburse- ments) to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover rate(2) | ||||||||||||||||||||||||||
(0.07 | ) | $ | 10.03 | 0.78 | % | $ | 9,985 | 0.37 | % | 0.17 | % | 2.02 | % | 2.22 | % | 116 | % | |||||||||||||||||
(0.04 | ) | $ | 10.10 | 2.01 | % | $ | 8,612 | 0.38 | % | 0.18 | % | 1.97 | % | 2.17 | % | 115 | % | |||||||||||||||||
0.14 | $ | 10.14 | 2.91 | % | $ | 7,005 | 0.40 | % | 0.20 | % | 1.79 | % | 1.99 | % | 262 | %(3) | ||||||||||||||||||
| (0.11 | ) | $ | 9.89 | 0.19 | % | $ | 2,201 | 0.42 | % | 0.22 | % | 1.85 | % | 2.05 | % | 108 | % | ||||||||||||||||
| 0.11 |
| $ | 10.11 | 1.81 | % | $ | 1,326 | 0.43 | % | 0.26 | % | 1.45 | % | 1.62 | % | 14 | % | ||||||||||||||||
0.17 | $ | 10.00 | 2.27 | % | $ | 2,623 | 0.49 | % | 0.31 | % | 0.68 | % | 0.86 | % | 23 | % | ||||||||||||||||||
(0.17 | ) | $ | 9.83 | 1.70 | % | $ | 2,587 | 0.54 | % | 0.37 | % | 0.69 | % | 0.86 | % | 7 | % | |||||||||||||||||
(0.42 | ) | $ | 9.39 | (3.35 | )% | $ | 2,152 | 0.50 | % | 0.34 | % | 1.59 | % | 1.75 | % | 15 | % | |||||||||||||||||
(0.19 | ) | $ | 9.81 | (1.62 | )% | $ | 2,150 | 0.54 | % | 0.40 | % | 2.00 | % | 2.14 | % | 7 | % | |||||||||||||||||
(0.57 | ) | $ | 9.39 | (5.47 | )% | $ | 1,396 | 0.72 | % | 0.47 | % | 0.14 | % | 0.39 | % | 25 | % | |||||||||||||||||
(0.04 | ) | $ | 9.96 | (0.40 | )% | $ | 1,424 | 0.77 | % | 0.49 | % | 0.23 | % | 0.51 | % | 12 | % | |||||||||||||||||
(0.59 | ) | $ | 9.28 | (5.32 | )% | $ | 815 | 0.73 | % | 0.54 | % | 0.82 | % | 1.01 | % | 18 | % | |||||||||||||||||
(0.13 | ) | $ | 9.87 | (1.30 | )% | $ | 887 | 0.81 | % | 0.62 | % | 1.02 | % | 1.21 | % | 8 | % | |||||||||||||||||
| (0.55 | ) | $ | 9.45 | (5.06 | )% | $ | 2,188 | 0.68 | % | 0.45 | % | 0.91 | % | 1.14 | % | 11 | % |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2015 | 49 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2015, the Trust consists of nine series, of which the following eight active series are presented in this book (each a “Fund,” and collectively, the “Funds”). The one remaining series is inactive and currently not available for purchase.
Olive Street Investment Advisers, LLC (the “Adviser”) acts as investment adviser to the Funds.
Fund | Investment Objective | |
Bridge Builder Core Bond Fund (“Core Bond Fund”) | To provide total return (capital appreciation plus income) | |
Bridge Builder Core Plus Bond Fund (“Core Plus Bond Fund”) | To provide total return (capital appreciation plus income) | |
Bridge Builder Municipal Bond Fund (“Muni Bond Fund”) | To provide current income exempt from Federal tax, with a secondary goal of preservation of investment principal | |
Bridge Builder Large Cap Growth Fund (“Large Cap Growth Fund”) | To provide capital appreciation | |
Bridge Builder Large Cap Value Fund (“Large Cap Value Fund”) | To provide capital appreciation | |
Bridge Builder Small/Mid Cap Growth Fund (“Small/Mid Cap Growth Fund”) | To provide capital appreciation | |
Bridge Builder Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”) | To provide capital appreciation | |
Bridge Builder International Equity Fund (“International Equity Fund”) | To provide capital appreciation |
The Funds are diversified and each currently offers a single class of shares. The Funds are available for investment exclusively through Edward Jones Advisory Solutions®.
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.
a) Use of estimates – 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.
b) Investment Valuation – All securities and other investments are recorded at their estimated fair value, as described in Note 4.
c) Federal Income Taxes – Each Fund is treated as a separate taxable entity for federal income tax purposes. The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and to distribute substantially all of their net investment income and capital gains to shareholders. As a result, no provision for Federal income taxes is recorded in the financial statements.
The Adviser has reviewed the Funds’ tax positions for all open tax years (the prior three years of tax filings or since inception, if shorter are considered open for examination) and have concluded that there is no tax liability/benefit resulting from 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 expense will significantly change in the next twelve months.
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
As of December 31, 2015, the Funds had no tax examinations or audits in progress.
d) Distributions to Shareholders – Distributions to shareholders are recorded on the ex-dividend date. The Core Bond, Core Plus Bond and Muni Bond Funds will generally declare and pay distributions of net investment income monthly. The Large Cap Value Fund will generally declare and pay distributions of net investment income quarterly. The Large Cap Growth, Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds will declare and pay distributions of net investment income annually. Realized capital gains, if any, are distributed for each Fund at least annually. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature, these amounts are reclassified within the capital accounts in the financial statements to reflect their tax character.
e) 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.
f) Investment Transactions, Income and Expense Allocation – Investment transactions are recorded on trade date. Securities gains and losses, net of foreign taxes withheld, if any, are calculated on the basis of identified cost. Dividend income (expense) net of foreign taxes withheld, if any, is recognized on ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as the information becomes available, which may be after the published ex-dividend date. Issuance fees, if any, are custodial fees on American Depositary Receipts (ADRs) charged by ADR agents on ADR Dividends. Interest income is recognized on an accrual basis while discounts & premiums on securities purchased are amortized or accreted, respectively, using the constant yield method over the life of the security. Expenses common to multiple Funds are allocated among the respective Funds based upon their relative net asset values or other reasonable allocation methods.
g) Foreign Currency Translation and Transactions – The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
h) Offering and Organizational Costs – Offering costs, including professional fees, printing fees and the offering of the initial registration statement are accounted for as deferred costs until operations begin and are then amortized over a period of twelve months. Organizational costs, if any, are expensed as incurred.
3. SECURITIES AND OTHER INVESTMENTS
a) Delayed Delivery Securities – Certain Funds 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
Semiannual Report • December 31, 2015 | 51 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
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 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.
b) 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.
Futures Contracts – Certain Funds 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. The Funds buy and sell futures contracts to gain or hedge exposure to certain risk factors. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities, which are referred to as initial margin. Securities deposited as initial margin are designated on the Summary Schedule of Investments and cash deposited is recorded as Deposits at broker for futures on the Statements of Assets and Liabilities. Exchange traded futures are marked to market daily based on the price movement of the contract, this change in value creates either a payable or receivable for the Fund as either more or less margin is required by the clearing agent. This change in value, known as variation margin is moved daily between the Fund and its counterparty. A change in the market value of an open futures contracts is recorded as unrealized gain or loss until the contract is closed. When a contract is closed, the Fund will record a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Fund’s basis in the contracts. Futures contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Forward Foreign Currency Exchange Contracts – Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Credit Default Swap Contracts – Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to the counterparty, the
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Such variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss.
Risks of loss may exceed amounts recognized on the Summary Schedule of Investments. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Summary Schedule of Investments. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
c) Loan Participation, Assignments, and Unfunded Commitments – Certain Funds invest in loan participations and assignments. When one of the Funds purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of the loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
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d) Master Netting Agreement – The Funds are subject to master netting agreements or similar arrangements that allow for amounts owed between an individual Fund and a 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.
e) 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 December 31, 2015 met the definition of Rule 144A of the Securities Act of 1933 and can be traded with an institutional investor without registration. The Core Bond Fund’s sub-advisers have determined $7,453,601 of the Fund’s December 31, 2015 restricted securities to be illiquid and $1,314,134,368 to be liquid pursuant to the Fund’s illiquid and restricted securities guidelines. The Core Plus Bond Fund’s sub-advisers have determined all of the Fund’s December 31, 2015 restricted securities to be liquid pursuant to the Fund’s illiquid and restricted securities guidelines.
4. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Funds’ Board of Trustees (“Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has established a Valuation Committee (“VC”) whose function is to monitor the valuation of portfolio securities and derivatives instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The VC is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the 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.
Additionally, the Board 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 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
54 | Semiannual Report • December 31, 2015 |
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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.
b) Fair Value Hierarchy – 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 Funds have the ability to access for the asset or liability at the measurement date. Because a quoted price alone forms the basis for the measurement, the access requirement within Level 1 limits discretion in pricing the asset or liability, including in situations in which there are multiple markets for the asset or liability with different prices and no single market represents a principal market for the asset or liability. Importantly, the Financial Accounting Standards Board (FASB) has indicated that when a quoted price in an active market for a security is available, that price should be used to measure fair value without regard to an entity’s intent to transact at that price. |
• | Level 2 – Fair value measurement within Level 2 should be based on all inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. |
• | Level 3 – Fair value measurement within Level 3 should be based on unobservable inputs in such cases where markets don’t exist or are illiquid. Significant unobservable inputs include model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Trust’s own assumptions that market participants would use to price the asset or liability based on the best available information. |
c) Valuation Techniques – 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. 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 typically categorized as Level 2.
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.
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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 the last bid and ask price on such day. 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 and are classified as Level 2 or Level 3.
Certain vendor-priced securities may also be considered Level 3 if significant unobservable inputs are used by the vendors.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are classified as Level 2.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to 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.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. As of December 31, 2015, the Large Cap Value Fund and International Fund had securities with market values of $38,804,634 and $1,725,613,224, that represent 1.8% and 78.9% of each Fund’s net assets, respectively, that were fair valued using these valuation adjustments.
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.
Credit default swaps are marked to market daily based on quotations provided by an independent pricing service.
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Bridge Builder Core Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset-Backed Obligations | $ | — | $ | 782,156,142 | $ | 193,118,028 | $ | 975,274,170 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 121,244,814 | — | 121,244,814 | ||||||||||||
Communications | — | 240,215,029 | — | 240,215,029 | ||||||||||||
Consumer Cyclical | — | 160,286,582 | 66,798 | 160,353,380 | ||||||||||||
Consumer Non-cyclical | — | 358,295,949 | — | 358,295,949 | ||||||||||||
Diversified | — | 8,362,286 | — | 8,362,286 | ||||||||||||
Energy | — | 328,005,158 | — | 328,005,158 | ||||||||||||
Financials | — | 1,365,524,210 | — | 1,365,524,210 | ||||||||||||
Industrials | — | 129,194,956 | — | 129,194,956 | ||||||||||||
Technology | — | 102,645,859 | — | 102,645,859 | ||||||||||||
Utilities | — | 200,466,919 | — | 200,466,919 | ||||||||||||
Government Related | — | 2,192,300,970 | — | 2,192,300,970 | ||||||||||||
Mortgage-Backed Obligations | — | 3,445,242,658 | 87,718,227 | 3,532,960,885 | ||||||||||||
Mortgage-Backed Obligations (Sold Short) | — | (80,401,206 | ) | — | (80,401,206 | ) | ||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 658,419,901 | — | — | 658,419,901 | ||||||||||||
U.S. Treasury Bills | — | 498,888 | — | 498,888 | ||||||||||||
Total Investments in Securities | $ | 658,419,901 | $ | 9,354,039,214 | $ | 280,903,053 | $ | 10,293,362,168 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (407,869 | ) | $ | — | $ | — | $ | (407,869 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (407,869 | ) | $ | — | $ | — | $ | (407,869 | ) | ||||||
Bridge Builder Core Plus Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset-Backed Obligations | $ | — | $ | 145,384,766 | $ | 20,648,607 | $ | 166,033,373 | ||||||||
Bank Loans | — | 11,043,319 | — | 11,043,319 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 21,276,519 | — | 21,276,519 | ||||||||||||
Communications | — | 76,022,455 | — | 76,022,455 | ||||||||||||
Consumer Cyclical | — | 86,389,421 | — | 86,389,421 | ||||||||||||
Consumer Non-cyclical | — | 101,925,715 | — | 101,925,715 | ||||||||||||
Diversified | — | 1,090,025 | — | 1,090,025 | ||||||||||||
Energy | — | 70,137,227 | — | 70,137,227 | ||||||||||||
Financials | — | 328,490,849 | — | 328,490,849 | ||||||||||||
Industrials | — | 45,326,567 | 1,612,693 | 46,939,260 | ||||||||||||
Technology | — | 32,880,192 | — | 32,880,192 | ||||||||||||
Utilities | — | 31,576,685 | — | 31,576,685 | ||||||||||||
Government Related | — | 555,470,825 | — | 555,470,825 | ||||||||||||
Mortgage-Backed Obligations | — | 588,953,465 | 39,012,460 | 627,965,925 | ||||||||||||
Preferred Stocks – Financials | 2,572,008 | 3,801,600 | — | 6,373,608 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 122,562,456 | — | — | 122,562,456 | ||||||||||||
U.S. Treasury Bills | — | 814,944 | — | 814,944 | ||||||||||||
Total Investments in Securities | $ | 125,134,464 | $ | 2,100,584,574 | $ | 61,273,760 | $ | 2,286,992,798 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | 188,180 | $ | — | $ | — | $ | 188,180 | ||||||||
Forward Contracts | — | (34,672 | ) | — | (34,672 | ) | ||||||||||
Total Investments in Other Financial Instruments | $ | 188,180 | $ | (34,672 | ) | $ | — | $ | 153,508 |
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Bridge Builder Municipal Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Municipal Bonds | ||||||||||||||||
Education | $ | — | $ | 103,320,247 | $ | — | $ | 103,320,247 | ||||||||
General Obligation | — | 403,415,630 | — | 403,415,630 | ||||||||||||
General Revenue | — | 327,876,934 | 2,738,468 | 330,615,402 | ||||||||||||
Healthcare | — | 162,928,430 | — | 162,928,430 | ||||||||||||
Housing | — | 38,283,508 | — | 38,283,508 | ||||||||||||
Transportation | — | 151,618,044 | — | 151,618,044 | ||||||||||||
Utilities | — | 114,464,154 | — | 114,464,154 | ||||||||||||
Short-Term Investments – Money Market Funds | 13,845,505 | — | — | 13,845,505 | ||||||||||||
Total Investments in Securities | $ | 13,845,505 | $ | 1,301,906,947 | $ | 2,738,468 | $ | 1,318,490,920 | ||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 505,066,862 | $ | — | $ | — | $ | 505,066,862 | ||||||||
Consumer Staples | 199,155,611 | — | — | 199,155,611 | ||||||||||||
Energy | 92,267,420 | — | — | 92,267,420 | ||||||||||||
Financials | 207,863,640 | — | — | 207,863,640 | ||||||||||||
Healthcare | 417,866,148 | — | — | 417,866,148 | ||||||||||||
Industrials | 207,692,138 | — | — | 207,692,138 | ||||||||||||
Information Technology | 830,018,242 | — | — | 830,018,242 | ||||||||||||
Materials | 68,424,893 | — | — | 68,424,893 | ||||||||||||
Telecommunication Services | 15,144,427 | — | — | 15,144,427 | ||||||||||||
Utilities | 117,335 | — | — | 117,335 | ||||||||||||
Short-Term Investments – Money Market Funds | 77,540,476 | — | — | 77,540,476 | ||||||||||||
Total Investments in Securities | $ | 2,621,157,192 | $ | — | $ | — | $ | 2,621,157,192 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (11,696 | ) | $ | — | $ | — | $ | (11,696 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (11,696 | ) | $ | — | $ | — | $ | (11,696 | ) |
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Bridge Builder Large Cap Value Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 223,818,908 | $ | 13,195,993 | $ | — | $ | 237,014,901 | ||||||||
Consumer Staples | 165,765,682 | — | — | 165,765,682 | ||||||||||||
Energy | 183,931,386 | — | — | 183,931,386 | ||||||||||||
Financials | 478,816,575 | — | — | 478,816,575 | ||||||||||||
Healthcare | 242,118,423 | — | — | 242,118,423 | ||||||||||||
Industrials | 314,293,600 | — | — | 314,293,600 | ||||||||||||
Information Technology | 247,284,606 | 25,608,641 | — | 272,893,247 | ||||||||||||
Materials | 129,921,707 | — | — | 129,921,707 | ||||||||||||
Telecommunication Services | 36,679,342 | — | — | 36,679,342 | ||||||||||||
Utilities | 12,865,159 | — | — | 12,865,159 | ||||||||||||
Short-Term Investments – Money Market Funds | 79,598,451 | — | — | 79,598,451 | ||||||||||||
Total Investments in Securities | $ | 2,115,093,839 | $ | 38,804,634 | $ | — | $ | 2,153,898,473 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (11,564 | ) | $ | — | $ | — | $ | (11,564 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (11,564 | ) | $ | — | $ | — | $ | (11,564 | ) | ||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 215,361,588 | $ | — | $ | — | $ | 215,361,588 | ||||||||
Consumer Staples | 95,868,008 | — | — | 95,868,008 | ||||||||||||
Energy | 36,277,837 | — | — | 36,277,837 | ||||||||||||
Financials | 172,436,648 | — | — | 172,436,648 | ||||||||||||
Healthcare | 260,038,299 | — | — | 260,038,299 | ||||||||||||
Industrials | 198,126,263 | — | — | 198,126,263 | ||||||||||||
Information Technology | 311,519,340 | — | 274 | 311,519,614 | ||||||||||||
Materials | 44,722,248 | — | — | 44,722,248 | ||||||||||||
Telecommunication Services | 11,198,196 | — | — | 11,198,196 | ||||||||||||
Utilities | 2,480,302 | — | — | 2,480,302 | ||||||||||||
Short-Term Investments – Money Market Funds | 47,089,396 | — | — | 47,089,396 | ||||||||||||
Total Investments in Securities | $ | 1,395,118,125 | $ | — | $ | 274 | $ | 1,395,118,399 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | (5,353 | ) | $ | — | $ | — | $ | (5,353 | ) | ||||||
Total Investments in Other Financial Instruments | $ | (5,353 | ) | $ | — | $ | — | $ | (5,353 | ) |
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Bridge Builder Small/Mid Cap Value Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 93,816,073 | $ | — | $ | — | $ | 93,816,073 | ||||||||
Consumer Staples | 21,595,061 | — | — | 21,595,061 | ||||||||||||
Energy | 26,950,743 | — | — | 26,950,743 | ||||||||||||
Financials | 231,623,863 | — | — | 231,623,863 | ||||||||||||
Healthcare | 74,344,199 | — | — | 74,344,199 | ||||||||||||
Industrials | 115,040,745 | — | — | 115,040,745 | ||||||||||||
Information Technology | 127,927,277 | — | 105 | 127,927,382 | ||||||||||||
Materials | 62,471,586 | — | — | 62,471,586 | ||||||||||||
Telecommunication Services | 5,200,999 | — | — | 5,200,999 | ||||||||||||
Utilities | 33,223,623 | — | — | 33,223,623 | ||||||||||||
Short-Term Investments – Money Market Funds | 21,924,870 | — | — | 21,924,870 | ||||||||||||
Total Investments in Securities | $ | 814,119,039 | $ | — | $ | 105 | $ | 814,119,144 | ||||||||
Other Financial Instruments (1) | ||||||||||||||||
Futures Contracts | $ | 577 | $ | — | $ | — | $ | 577 | ||||||||
Total Investments in Other Financial Instruments | $ | 577 | $ | — | $ | — | $ | 577 | ||||||||
Bridge Builder International Equity Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 42,451,118 | $ | 287,539,906 | $ | — | $ | 329,991,024 | ||||||||
Consumer Staples | 32,401,280 | 285,119,918 | — | 317,521,198 | ||||||||||||
Energy | 27,397,557 | 87,813,568 | — | 115,211,125 | ||||||||||||
Financials | 29,930,034 | 294,016,922 | — | 323,946,956 | ||||||||||||
Healthcare | 70,123,065 | 202,616,840 | — | 272,739,905 | ||||||||||||
Industrials | 24,269,628 | 200,873,194 | — | 225,142,822 | ||||||||||||
Information Technology | 114,999,499 | 166,349,430 | — | 281,348,929 | ||||||||||||
Materials | 5,800,108 | 69,339,921 | — | 75,140,029 | ||||||||||||
Telecommunication Services | 8,311,291 | 87,430,101 | — | 95,741,392 | ||||||||||||
Utilities | 12,889 | 44,301,483 | — | 44,314,372 | ||||||||||||
Rights – Financials | — | 21 | — | 21 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 175,855 | — | 175,855 | ||||||||||||
Financials | — | 7,503 | — | 7,503 | ||||||||||||
Healthcare | — | 28,583 | — | 28,583 | ||||||||||||
Short-Term Investments – Money Market Funds | 98,994,940 | — | — | 98,994,940 | ||||||||||||
Total Investments in Securities | $ | 454,691,409 | $ | 1,725,613,245 | $ | — | $ | 2,180,304,654 |
(1) | Derivative instruments, including futures and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/depreciation of the instrument within the Funds’ Summary Schedule of Investments. Credit default swaps are reported at value. |
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The Funds recognize all transfers at the end of the reporting period. Transfers from Level 1 and Level 2 to Level 3 are generally due to a decline in market activity which resulted in a lack of or fewer observable market inputs used to determine price. Transfers from Level 3 to Level 2 are generally the result of increased market activity, resulting in an increase in the number of observable inputs used to determine price.
The Core Bond, Core Plus Bond, Muni Bond, Small/Mid Cap Growth and Small/Mid Cap Value Funds all held Level 3 securities at the end of the period. In the aggregate, securities classified as Level 3 in the Muni Bond, Small/Mid Cap Growth and Small/Mid Cap Value Funds have been deemed quantitatively insignificant.
The following tables include both the transfers between levels and a rollforward of the balances of investments classified as Level 3 for each Fund which held Level 3 securities deemed to be quantitatively significant in the aggregate.
Below are the transfers between levels during the reporting period from July 1, 2015 to December 31, 2015.
Bridge Builder Core Bond Fund | ||||
Transfers into Level 1 | $ | — | ||
Transfers out of Level 1* | — | |||
|
| |||
Net transfers out of Level 1 | $ | — | ||
|
| |||
Transfers into Level 2 | $ | 79,560,649 | ||
Transfers out of Level 2* | (40,524,226 | ) | ||
|
| |||
Net transfers into Level 2 | $ | 39,036,423 | ||
|
| |||
Transfers into Level 3* | $ | 40,524,226 | ||
Transfers out of Level 3 | (79,560,649 | ) | ||
|
| |||
Net transfers into/(out of) Level 3 | $ | (39,036,423 | ) | |
|
|
*Securities | transferred from Level 1 and Level 2 to Level 3 because of the lack of observable market data. |
Below is a roll forward which details the activity of securities in Level 3 during the period ended December 31, 2015:
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | |||||||
Beginning Balance – June 30, 2015 | $ | 312,609,326 | $ | — | ||||
Purchases | 73,989,646 | 63,599,636 | ||||||
Sales proceeds and paydowns | (61,532,076 | ) | (1,099,073 | ) | ||||
Transfers into Level 3 | 40,524,226 | — | ||||||
Transfer out of Level 3 | (79,560,649 | ) | — | |||||
Realized gains/(losses), net | 357,520 | 17,356 | ||||||
Change in unrealized gains/(losses), net | (5,484,940 | ) | (1,244,159 | ) | ||||
|
|
|
| |||||
Ending Balance – December 31, 2015 | $ | 280,903,053 | $ | 61,273,760 | ||||
|
|
|
|
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 Core Bond Fund and Core Plus Bond Fund at December 31, 2015 total $(2,309,997) and $(1,185,298) respectively.
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).
Semiannual Report • December 31, 2015 | 61 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
The following table presents information about unobservable inputs related to the Funds’ categories of Level 3 investments as of December 31, 2015:
Bridge Builder Core Bond Fund
Investment Type | Fair Value at 12/31/15 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Asset-Backed Obligations | $ | 157,133,178 | Discounted Cash Flow | Internal Rate of Return | 2.41%-8.35% | 4.60 | % | |||||||
Life expectancy (in months) | 1-375 | 25.16 | ||||||||||||
Asset-Backed Obligations | 29,852,458 | Indicative market quotations | Single Broker quote | $2.8785-$100 | N/A | |||||||||
Asset-Backed Obligations | 6,132,391 | Market activity | Recent transaction | $95.80 -$99.5484 | N/A | |||||||||
Corporate Bonds | 66,798 | Indicative market quotations | Single Broker quote | $106-$108 | N/A | |||||||||
Mortgage-Backed Obligations | 85,730,680 | Discounted Cash Flow | Internal Rate of Return | 2.17%-44.55% | 4.46 | % | ||||||||
Life expectancy (in months) | 1-251 | 51.81 | ||||||||||||
Mortgage-Backed Obligations | 502,548 | Indicative market quotations | Single Broker quote | $2.01536-$13.6875 | N/A | |||||||||
Mortgage-Backed Obligations | 1,485,000 | Market activity | Recent transaction | $100.00 | N/A |
Bridge Builder Core Plus Bond Fund
Investment Type | Fair Value at 12/31/15 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Asset-Backed Obligations | $ | 18,353,182 | Discounted Cash Flow | Internal Rate of Return | 3.82%-7.43% | 4.67 | % | |||||||
Life expectancy (in months) | 8-168 | 71.83 | ||||||||||||
Asset-Backed Obligations | 2,295,425 | Indicative market quotations | Broker quote | $93.50 | N/A | |||||||||
Corporate Bonds | 1,612,693 | Discounted Cash Flow | Internal Rate of Return | 3.56% | 3.56 | % | ||||||||
Life expectancy (in months) | 45.48 | 45.48 | ||||||||||||
Mortgage-Backed Obligations | 39,012,460 | Discounted Cash Flow | Internal Rate of Return | 2.91%-5.65% | 4.47 | % | ||||||||
Life expectancy (in months) | 9-115 | 41.98 |
5. DERIVATIVE INSTRUMENTS
Certain funds use derivative instruments as part of their principal investment strategy to achieve their stated investment objective. The Funds’ derivative contracts held at period end are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities across derivative types that are subject to master netting arrangements in the Statements of Assets and Liabilities. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.
62 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The following table lists the fair value of derivative instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at period end.
Statements of Assets and Liabilities — Values of Derivative Instruments as of December 31, 2015
Asset Derivatives | Liability Derivatives | |||||||||||
Balance Sheet Location | Value | Balance Sheet Location | Value | |||||||||
Interest Rate Risk: | ||||||||||||
Futures Contracts* | ||||||||||||
Bridge Builder Core Bond Fund | Net unrealized appreciation on futures contracts | $ | 325,719 | Net unrealized (depreciation) on futures contracts | $ | (733,588 | ) | |||||
Bridge Builder Core Plus Bond Fund | Net unrealized appreciation on futures contracts | 274,875 | Net unrealized (depreciation) on futures contracts | (86,695 | ) | |||||||
Equity Risk: | ||||||||||||
Futures Contracts* | ||||||||||||
Bridge Builder Large Cap Growth Fund | Net unrealized appreciation on futures contracts | — | Net unrealized (depreciation) on futures contracts | (11,696 | ) | |||||||
Bridge Builder Large Cap Value Fund | Net unrealized appreciation on futures contracts | — | Net unrealized (depreciation) on futures contracts | (11,564 | ) | |||||||
Bridge Builder Small/Mid Cap Growth Fund | Net unrealized appreciation on futures contracts | — | Net unrealized (depreciation) on futures contracts | (5,353 | ) | |||||||
Bridge Builder Small/Mid Cap Value Fund | Net unrealized appreciation on futures contracts | 966 | Net unrealized (depreciation) on futures contracts | (389 | ) | |||||||
Foreign Exchange Risk: | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||
Bridge Builder Core Plus Bond Fund | Net unrealized appreciation on forward foreign currency exchange contracts | 73,732 | Net unrealized (depreciation) on forward foreign currency exchange contracts | (108,404 | ) |
*Includes unrealized appreciation/(depreciation) as reported on the Summary Schedule of Investments.
The following table lists the effect of derivative instruments held by the Funds, by primary underlying risk and contract type, on the Statements of Operations for the period ended December 31, 2015.
Amount of Realized Gain/(Loss) on Derivatives recognized as a result from Operations
Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | ||||||||||
Interest Rate Risk: |
| |||||||||||
Bridge Builder Core Bond Fund | $ | (242,709 | ) | $ | — | $ | — | |||||
Bridge Builder Core Plus Bond Fund | 477,178 | — | — | |||||||||
Bridge Builder Municipal Bond Fund | (3,330 | ) | — | — | ||||||||
Equity Risk: |
| |||||||||||
Bridge Builder Large Cap Growth Fund | (60,312 | ) | — | — | ||||||||
Bridge Builder Large Cap Value Fund | (57,956 | ) | — | — | ||||||||
Bridge Builder Small/Mid Cap Growth Fund | (775,194 | ) | — | — | ||||||||
Bridge Builder Small/Mid Cap Value Fund | (70,350 | ) | — | — | ||||||||
Foreign Exchange Risk: |
| |||||||||||
Bridge Builder Core Plus Bond Fund | — | 459,744 | — | |||||||||
Credit Risk: |
| |||||||||||
Bridge Builder Core Plus Bond Fund | — | — | 18,143 |
Semiannual Report • December 31, 2015 | 63 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Net Change in Unrealized Appreciation/(Depreciation) on Derivatives recognized as a result from Operations
Futures Contracts | Forward Foreign Currency Exchange Contracts | |||||||
Interest Rate Risk: |
| |||||||
Bridge Builder Core Bond Fund | $ | (483,793 | ) | $ | — | |||
Bridge Builder Core Plus Bond Fund | 188,180 | — | ||||||
Equity Risk: |
| |||||||
Bridge Builder Large Cap Growth Fund | (1,064 | ) | — | |||||
Bridge Builder Large Cap Value Fund | 8,552 | — | ||||||
Bridge Builder Small/Mid Cap Growth Fund | 233,490 | — | ||||||
Bridge Builder Small/Mid Cap Value Fund | 6,921 | — | ||||||
Foreign Exchange Risk: |
| |||||||
Bridge Builder Core Plus Bond Fund | — | (34,672 | ) |
The following table presents the Funds’ derivatives assets and liabilities by counterparty and contract type, net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2015:
Assets | Gross Amounts of | Gross Amounts | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net | |||||||||||||||||||
Bridge Builder Core Plus Bond Fund | Financial Instruments | Collateral (Pledged)/ Received | ||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
HSBC | $ | 18,918 | $ | (18,918 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Royal Bank of Scotland | 54,814 | (35,967 | ) | 18,847 | — | — | 18,847 | |||||||||||||||||
Liabilities | Gross Amounts of | Gross Amounts | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net | |||||||||||||||||||
Bridge Builder Core Plus Bond Fund | Financial Instruments | Collateral (Pledged)/ Received | ||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
Bank of America | $ | 35,308 | $ | — | $ | 35,308 | $ | — | $ | — | $ | 35,308 | ||||||||||||
BNP Paribas | 8,086 | — | 8,086 | — | — | 8,086 | ||||||||||||||||||
Goldman Sachs | 5,355 | — | 5,355 | — | — | 5,355 | ||||||||||||||||||
HSBC | 23,688 | (18,918 | ) | 4,770 | — | — | 4,770 | |||||||||||||||||
Royal Bank of Scotland | 35,967 | (35,967 | ) | — | — | — | — |
64 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The Funds’ average monthly notional amount of derivatives during the period ended December 31, 2015 were as follows:
Average Monthly Notional Amount of: | ||||||||||||||||||||
Purchased Futures | Sold Futures | Purchased Swaps | Sold Swaps | Forward Contracts | ||||||||||||||||
Bridge Builder Core Bond Fund | $ | 418,374,666 | $ | (105,969,301 | ) | $ | — | $ | — | $ | — | |||||||||
Bridge Builder Core Plus Bond Fund | 25,466,495 | (45,927,781 | ) | 472,500 | 1,833,333 | 14,646,117 | ||||||||||||||
Bridge Builder Municipal Bond Fund | — | — | — | — | — | |||||||||||||||
Bridge Builder Large Cap Growth Fund | 1,567,727 | — | — | — | — | |||||||||||||||
Bridge Builder Large Cap Value Fund | 1,730,212 | — | — | — | — | |||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | 2,338,980 | — | — | — | — | |||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | 481,163 | — | — | — | — | |||||||||||||||
Bridge Builder International Fund | — | — | — | — | — |
6. INVESTMENT ADVISER AND OTHER AGREEMENTS
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 advisers (the “Sub-advisers”) and allocates Fund assets among the Sub-advisers.
In consideration of the services provided by the Adviser pursuant to the Advisory Agreements, the Funds pay the Adviser an investment management fee at an annual rate of each Fund’s average daily net assets. In an effort to pass along lower fund expenses to shareholders, the Adviser does not retain any portion of the management fees. The Adviser has contractually agreed to waive its management fees to the extent management fees paid to the Adviser exceed the management fees the Adviser is required to pay each Fund’s Sub-advisers. The annual management fee and amounts of management fees waived by the Adviser during the period ended December 31, 2015 are noted in the table below:
Fund | Annual Management Fee | Management Fees Waived by Adviser | ||||||
Bridge Builder Core Bond Fund | 0.32 | % | $ | (9,975,654 | ) | |||
Bridge Builder Core Plus Bond Fund | 0.36 | (1,856,387 | ) | |||||
Bridge Builder Municipal Bond Fund | 0.36 | (649,792 | ) | |||||
Bridge Builder Large Cap Growth Fund | 0.44 | (2,413,617 | ) | |||||
Bridge Builder Large Cap Value Fund | 0.44 | (1,679,597 | ) | |||||
Bridge Builder Small/Mid Cap Growth Fund | 0.64 | (1,723,039 | ) | |||||
Bridge Builder Small/Mid Cap Value Fund | 0.64 | (810,105 | ) | |||||
Bridge Builder International Equity Fund | 0.60 | (2,190,695 | ) |
None of the management fees waived by the Adviser are subject to recoupment by the Adviser.
Semiannual Report • December 31, 2015 | 65 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The Adviser has selected and the Board has approved the following Sub-advisers to sub-advise discrete portions of each of the Fund’s assets:
Fund | Sub-advisers | |
Bridge Builder Core Bond Fund | Robert W. Baird & Co., Inc. J.P. Morgan Investment Management, Inc. Loomis, Sayles & Company, L.P. Prudential Investment Management, Inc. | |
Bridge Builder Core Plus Bond Fund | Janus Capital Management, LLC Loomis Sayles & Company, L.P. Metropolitan West Asset Management, LLC T.Rowe Price Associates, Inc. | |
Bridge Builder Municipal Bond Fund | FIAM, LLC T. Rowe Price Associates, Inc. Wells Capital Management, Inc. | |
Bridge Builder Large Cap Growth Fund | Lazard Asset Management LLC Sustainable Growth Advisers, LP Jennison Associates LLC William Blair Investment Management, L.L.C. BlackRock Investment Management, LLC | |
Bridge Builder Large Cap Value Fund | Barrow, Hanley, Mewhinney& Strauss, LLC Wellington Management Company LLP Artisan Partners Limited Partnership BlackRock Investment Management, LLC | |
Bridge Builder Small/Mid Cap Growth Fund | Champlain Investment Partners, LLC ClearBridge Investments, LLC Eagle Asset Management, Inc. Stephens Investment Management Group, LLC BlackRock Investment Management, LLC | |
Bridge Builder Small/Mid Cap Value Fund | Boston Partners Vaughn Nelson Investment Management, L.P. Silvercrest Asset Management Group LLC Advisory Research, Inc. BlackRock Investment Management, LLC | |
Bridge Builder International Equity Fund | Baillie Gifford Overseas Limited Edinburgh Partners Limited Manning & Napier Advisors, LLC Mondrian Investment Partners Limited WCM Investment Management BlackRock Investment Management, LLC |
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 each of the following (each an “Expense Cap”).
66 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Fund | Expense Cap | |
Bridge Builder Core Bond Fund | 0.48% | |
Bridge Builder Core Plus Bond Fund | 0.42 | |
Bridge Builder Municipal Bond Fund | 0.48 | |
Bridge Builder Large Cap Growth Fund | 0.51 | |
Bridge Builder Large Cap Value Fund | 0.51 | |
Bridge Builder Small/Mid Cap Growth Fund | 0.73 | |
Bridge Builder Small/Mid Cap Value Fund | 0.73 | |
Bridge Builder International Equity Fund | 0.67 |
The Trust has agreed to repay the fee waiver/expense reimbursement to the Adviser. However, the repayment of previously waived fees is limited to amounts that do not cause the aggregate operating expenses of the Fund to exceed the current expense cap or the expense cap in place at the time the waiver was generated. The Adviser has up to three fiscal years from the time the fees were first waived/reimbursed to request reimbursement from a Fund. During the period ended December 31, 2015, the Funds did not exceed the Expense Cap and there are no expense reimbursements currently available for recoupment in future periods.
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 the Administration fee in the Statements of Operations.
Certain employees of the Administrator are also Officers of the Trust.
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.
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 by the 1940 Act, (an “Independent Trustee”) of the Trust. The Trustees who are not Independent Trustees of the Trust are not compensated by the Trust.
7. 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 did not have any outstanding borrowings under this agreement at period end.
Semiannual Report • December 31, 2015 | 67 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
8. INVESTMENT TRANSACTIONS
For the period ended December 31, 2015, purchases and sales of investment securities, other than short-term investments, were as follows:
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | Bridge Builder Municipal 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 | Bridge Builder International Equity Fund | |||||||||||||||||||||||||
Purchases: | ||||||||||||||||||||||||||||||||
U.S. Government | $ | 10,265,608,268 | $ | 3,154,671,159 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other | 1,877,096,467 | 1,213,059,654 | 1,413,134,247 | 578,452,699 | 417,137,309 | 417,082,072 | 145,272,372 | 2,475,179,823 | ||||||||||||||||||||||||
Sales: | ||||||||||||||||||||||||||||||||
U.S. Government | 9,845,382,809 | 2,141,524,849 | — | — | — | — | — | — | ||||||||||||||||||||||||
Other | 1,134,865,015 | 63,346,288 | 162,800,566 | 575,260,105 | 296,954,113 | 333,003,486 | 159,348,155 | 220,925,960 |
9. 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 Core 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 Core 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 Core 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.
68 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Capital Loss Carryforwards | ||||
Bridge Builder Core 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 | — |
At June 30, 2015 the Bridge Builder Core 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 Core 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. |
The International Equity Fund, Core Plus Bond Fund and Municipal Bond Fund commenced operations subsequent to June 30, 2015, therefore the above information is not applicable to these Funds.
10. 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. Certain Funds invest 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. The value of a fixed income security with greater duration will be more sensitive to changes in interest rates than a similar security with less duration. Duration is a measure of the sensitivity of the price of a fixed income security (or a portfolio of fixed income securities) to changes in interest rates. The prices of fixed income securities with less duration generally will be less affected by changes in interest rates than the prices of fixed income securities with greater duration. For example, a five-year duration means the fixed income security is expected to decrease in value by 5% if interest rates rise 1% and increase in value by 5% if interest rates fall 1%, holding other factors constant. Usually, the changes in the value of fixed income securities will not affect cash income generated, but may affect the value of your investment in the Fund. Floating 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 benchmark rate chosen, frequency of reset and reset caps or floors, among other things). Zero coupon bonds have longer durations than coupon-bearing bonds with comparable maturities and generally experience greater volatility in response to changing interest rates.
b) Liquidity Risk. Low trading volume, a lack of a market maker, or contractual or legal restrictions may limit or prevent a Fund from selling securities or closing derivative positions at desirable times or prices. During times of significant market or economic turmoil, usually liquid markets for certain of a Fund’s investments may experience
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Notes to Financial Statements (Unaudited) (Continued)
extreme reductions in buy-side 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, Fund 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 redemption requests or redemption requests during adverse market conditions. Because the Funds currently are available only to participants in a single asset allocation program, a reduction in the allocation of program assets to the Funds 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 a Sub-adviser believes that it would have been advisable to hold a particular investment until a more orderly sale could occur or the market recovers.
d) Credit Risk. There is a risk that issuers and counterparties will not make payments on securities, repurchase agreements or other investments held by a Fund. Such defaults could result in losses to a Fund. In addition, the credit quality of securities held by a Fund may be lowered if an issuer’s financial condition changes. Lower credit quality may lead to greater volatility in the price of a security and in shares of a Fund. Lower credit quality also may affect liquidity and make it difficult for the Fund to sell the security. A Fund may invest in securities that are rated in the lowest investment grade category. Such securities may exhibit speculative characteristics similar to high yield securities, and issuers of such securities may be more vulnerable to changes in economic conditions than issuers of higher grade securities.
e) Counterparty Risk. When a Fund enters into an investment contract, such as a derivative or a repurchase agreement, the Fund is exposed to the risk that the other party will not fulfill its contractual obligations. For example, in a repurchase agreement, there exists the risk that a Fund buys a security from a seller (counterparty) that agrees to repurchase the security at an agreed upon price and time, but the counterparty later fails to repurchase the security.
f) Market Risk. Various market risks can affect the price or liquidity of an issuer’s securities in which a Fund may invest. Returns from the securities in which a Fund invests may underperform returns from the various general securities markets or different asset classes. Different types of securities tend to go through cycles of outperformance and underperformance in comparison to the general securities markets. Adverse events occurring with respect to an issuer’s performance or financial position can depress the value of the issuer’s securities. The liquidity in a market for a particular security will affect its value and may be affected by factors relating to the issuer, as well as the depth of the market for that security. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed income markets. As a result, a Fund’s value may fluctuate and/or a Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market. Other market risks that can affect value include a market’s current attitudes about types of securities, market reactions to political or economic events, including litigation, and tax and regulatory effects (including lack of adequate regulations for a market or particular type of instrument).
g) Equity Risk. Since certain Funds purchase equity securities, those Funds are subject to equity risk. This is the risk that stock prices will fall over short or extended periods of time. Although the stock market has historically outperformed other asset classes over the long term, the stock market tends to move in cycles. Individual stock prices may fluctuate drastically from day-to-day and may underperform other asset classes over an extended period of time. Individual companies may report poor results or be negatively affected by industry and/or economic trends
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Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
and developments. The prices of securities issued by such companies may suffer a decline in response. These price movements may result from factors affecting individual companies, industries or the securities market as a whole.
h) Multi-Manager and Multi-Style Management Risk. Fund performance is dependent upon the success of the Adviser and the Sub-advisers in implementing a Fund’s investment strategies in pursuit of its objective. To a significant extent, a Fund’s performance will depend on the success of the Adviser’s methodology in allocating the Fund’s 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 Fund. There can be no assurance that the Adviser or Sub-advisers will be successful in this regard. In addition, because portions of each Fund’s assets are managed by different Sub-advisers using different styles/strategies, a Fund could experience overlapping security transactions. Certain Sub-advisers may be purchasing securities at the same time that 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. The Adviser’s and the Sub-advisers’ judgments about the attractiveness, value and potential appreciation of a particular asset class or individual security in which a Fund invests may prove to be incorrect, and there is no guarantee that the Adviser’s or a Sub-adviser’s judgment will produce the desired results. In addition, a Fund may allocate its assets so as to under- or over-emphasize certain strategies or investments under market conditions that are not optimal, in which case a Fund’s value may be adversely affected.
i) Foreign Securities Risk. The securities of foreign issuers, including ADRs and GDRs, may be less liquid and more volatile than securities of comparable U.S. issuers. The costs associated with securities transactions are often higher in foreign countries than the United States. Additionally, investments in securities of foreign issuers, even those publicly traded in the United States, may involve risks which are in addition to those inherent in domestic investments. Foreign companies may not be subject to the same regulatory requirements of U.S. companies, and as a consequence, there may be less publicly available information about such companies. Also, foreign companies may not be subject to uniform accounting, auditing, and financial reporting standards and requirements comparable to those applicable to U.S. companies. Foreign governments and foreign economies, particularly in emerging markets, may be less stable than the U.S. Government and the U.S. economy.
j) Currency Risk. While the Funds’ net assets are valued in U.S. dollars, the securities of foreign companies are frequently denominated in foreign currencies. Thus, a change in the value of a foreign currency against the U.S. dollar will result in a corresponding change in value of securities denominated in that currency. Some of the factors that may impair the investments denominated in a foreign currency are: (1) it may be expensive to convert foreign currencies into U.S. dollars and vice versa; (2) complex political and economic factors may significantly affect the values of various currencies, including U.S. dollars, and their exchange rates; (3) government intervention may increase risks involved in purchasing or selling foreign currency options, forward contracts and futures contracts, since exchange rates may not be free to fluctuate in response to other market forces; (4) there may be no systematic reporting of last sale information for foreign currencies or regulatory requirement that quotations available through dealers or other market sources be firm or revised on a timely basis; (5) available quotation information is generally representative of very large round-lot transactions in the inter-bank market and thus may not reflect exchange rates for smaller odd-lot transactions (less than $1 million) where rates may be less favorable; and (6) the inter-bank market in foreign currencies is a global, around-the-clock market. To the extent that a market is closed while the markets for the underlying currencies remain open, certain markets may not always reflect significant price and rate movements.
k) Geographic Focus Risk. To the extent that a significant portion of a Fund’s portfolio is invested in the securities of companies in a particular country or region, a Fund may be more susceptible to economic, political, regulatory or other events or conditions affecting issuers within that country or region. As a result, a Fund may be subject to greater price volatility and risk of loss than a fund holding more geographically diverse investments.
11. SUBSEQUENT EVENTS
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require accrual or disclosure.
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Bridge Builder Mutual Funds
Independent Trustees of the Trust
Name | Role | Term | Principal Occupation | |||
Jean E. Carter (Born: 1957) | Lead Independent Trustee | Indefinite Term; Since Inception | Retired; Director of Investment Management Group for Russell Investment Group (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) | |||
Michelle M. Keeley (Born: 1964) | Trustee | Indefinite Term; Since August 2015 | Retired: Executive Vice President, Ameriprise Financial Services, Inc. (2002-2010) | |||
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 | Chief Executive Officer, Victory Wireline, LLC (2015-Present); Retired (2013-2015); 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.
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Bridge Builder Core Plus 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 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 Advisers (the “Adviser”) and investment sub-advisory agreements with Janus Capital Management, LLC; Loomis Sayles & Company, L.P.; Metropolitan West Asset Management, LLC; and T. Rowe Price Associates, Inc. (the “Sub-advisers”), each for an initial two-year term (the “Agreements”), for the Bridge Builder Core Plus Bond 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
(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.
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Bridge Builder Core Plus Bond Fund
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
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.
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 arms’ 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.
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Bridge Builder International Equity 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 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 Advisers (the “Adviser”) and investment sub-advisory agreements with Baillie Gifford Overseas Limited; BlackRock Investment Management, LLC; Edinburgh Partners Limited; Manning & Napier Advisors, LLC; Mondrian Investment Partners Limited; and WCM Investment Management (the “Sub-advisers”), each for an initial two-year term (the “Agreements”), for the Bridge Builder International Equity 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
(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.
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Bridge Builder International Equity Fund
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
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.
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.
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Bridge Builder Municipal 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 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 Advisers (the “Adviser”) and investment sub-advisory agreements with Pyramis Global Advisors, LLC; Wells Capital Management, Inc.; and T. Rowe Price Group, Inc. (the “Sub-advisers”), each for an initial two-year term (the “Agreements”), for the Bridge Builder Municipal Bond 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 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
(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.
Semiannual Report • December 31, 2015 | 77 |
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Bridge Builder Municipal Bond Fund
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
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.
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.
78 | Semiannual Report • December 31, 2015 |
Table of Contents
Bridge Builder Mutual Funds
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.
Semiannual Report • December 31, 2015 | 79 |
Table of Contents
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 |
80 | Semiannual Report • December 31, 2015 |
Table of Contents
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
Table of Contents
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
Table of Contents
Item 2. | Code of Ethics. |
Not applicable for semi-annual reports.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semi-annual reports.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semi-annual reports.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. | Investments. |
Table of Contents
Bridge Builder Core Bond Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Principal | ||||||||
Amount | Value | |||||||
BONDS & NOTES - 97.29% | ||||||||
Asset-Backed Obligations - 9.77% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
4.92%, 06/25/2035 | 769,279 | $ | 787,648 | |||||
ABFC 2006-OPT1 Trust | ||||||||
0.57%, 09/25/2036 | 6,000,374 | 5,380,089 | ||||||
Academic Loan Funding Trust 2012-1 | ||||||||
1.22%, 12/27/2022 (Acquired 10/28/2013, Cost $969,749) (2) | 966,106 | 961,809 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
1.22%, 12/26/2044 (Acquired 11/15/2013, Cost $1,401,058) (2) | 1,410,743 | 1,388,727 | ||||||
Accredited Mortgage Loan Trust 2006-2 | ||||||||
0.57%, 09/25/2036 | 1,293,145 | 1,278,165 | ||||||
Ally Auto Receivables Trust 2014-SN2 | ||||||||
1.03%, 09/20/2017 | 991,000 | 988,365 | ||||||
Ally Auto Receivables Trust 2015-1 | ||||||||
1.39%, 09/16/2019 | 2,637,000 | 2,626,098 | ||||||
Ally Auto Receivables Trust 2015-2 | ||||||||
1.49%, 11/15/2019 | 997,000 | 992,966 | ||||||
1.84%, 06/15/2020 | 2,078,000 | 2,068,952 | ||||||
Ally Auto Receivables Trust 2015-SN1 | ||||||||
0.93%, 10/20/2016 | 2,252,302 | 2,248,374 | ||||||
1.21%, 03/20/2017 | 915,000 | 911,022 | ||||||
American Credit Acceptance Receivables Trust 2013-1 | ||||||||
1.45%, 04/16/2018 (Acquired 10/28/2013, Cost $3,836) (2) | 3,836 | 3,837 | ||||||
American Credit Acceptance Receivables Trust 2014-2 | ||||||||
2.26%, 03/10/2020 (Acquired 04/15/2014, Cost $992,502) (2) | 992,554 | 992,759 | ||||||
American Credit Acceptance Receivables Trust 2014-3 | ||||||||
2.43%, 06/10/2020 (Acquired 01/28/2015, Cost $500,420) (2) | 500,000 | 496,817 | ||||||
American Credit Acceptance Receivables Trust 2014-4 | ||||||||
1.33%, 07/10/2018 (Acquired 11/19/2014, Cost $375,340) (2) | 375,353 | 374,548 | ||||||
American Credit Acceptance Receivables Trust 2015-1 | ||||||||
1.43%, 08/12/2019 (Acquired 03/11/2015, Cost $1,165,327) (2) | 1,165,385 | 1,160,922 | ||||||
American Credit Acceptance Receivables Trust 2015-2 | ||||||||
1.57%, 06/12/2019 (Acquired 06/17/2015, Cost $1,675,514) (2) | 1,675,513 | 1,669,770 | ||||||
4.32%, 05/12/2021 (Acquired 06/17/2015, Cost $979,849) (2) | 980,000 | 958,993 | ||||||
American Express Credit Account Master Trust 2013-1 | ||||||||
1.03%, 02/16/2021 | 5,250,000 | 5,231,633 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
3.79%, 10/17/2036 (Acquired 07/16/2015, Cost $2,015,162) (2) | 1,961,852 | 1,973,935 | ||||||
4.29%, 10/17/2036 (Acquired 09/18/2014, Cost $300,446) (2) | 300,000 | 298,852 | ||||||
6.23%, 10/17/2036 (Acquired 09/10/2014, Cost $1,089,473) (2) | 1,000,000 | 1,008,253 |
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American Homes 4 Rent 2014-SFR3 Trust | ||||||||
4.60%, 12/17/2036 (Acquired 04/06/2015, Cost $618,433) (2) | 600,000 | 582,675 | ||||||
6.42%, 12/17/2036 (Acquired 04/01/2015 through 04/22/2015, Cost $1,105,384) (2) | 1,000,000 | 1,020,292 | ||||||
American Homes 4 Rent 2015-SFR1 | ||||||||
3.47%, 04/17/2052 (Acquired 04/01/2015 through 04/13/2015, Cost $2,260,384) (2) | 2,223,076 | 2,181,737 | ||||||
5.64%, 04/17/2052 (Acquired 04/01/2015 through 04/22/2015, Cost $1,105,397) (2) | 1,050,000 | 1,012,699 | ||||||
American Homes 4 Rent 2015-SFR2 Trust | ||||||||
3.73%, 10/17/2045 (Acquired 09/14/2015, Cost $1,751,510) (2) | 1,745,113 | 1,740,930 | ||||||
AmeriCredit Automobile Receivables 2015-4 | ||||||||
1.03%, 04/08/2019 | 16,463,000 | 16,464,641 | ||||||
1.70%, 07/08/2020 | 2,778,000 | 2,764,967 | ||||||
AmeriCredit Automobile Receivables Trust 2013-4 | ||||||||
0.96%, 04/09/2018 | 920,173 | 919,794 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
0.90%, 09/10/2018 | 1,271,033 | 1,269,168 | ||||||
AmeriCredit Automobile Receivables Trust 2014-1 | ||||||||
0.90%, 02/08/2019 | 3,098,201 | 3,090,463 | ||||||
AmeriCredit Automobile Receivables Trust 2014-3 | ||||||||
1.92%, 11/08/2019 | 463,000 | 463,429 | ||||||
AmeriCredit Automobile Receivables Trust 2015-2 | ||||||||
0.83%, 09/10/2018 | 1,631,934 | 1,627,572 | ||||||
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-13 | ||||||||
4.97%, 01/25/2034 | 6,356 | 6,368 | ||||||
Apidos CLO IX | ||||||||
1.62%, 07/15/2023 | 3,000,000 | 2,988,900 | ||||||
Argent Securities Inc | ||||||||
1.56%, 03/25/2034 | 3,570,651 | 3,371,081 | ||||||
Argent Securities Inc Asset Back Pass Thr Certs Ser 2004-W5 | ||||||||
1.46%, 04/25/2034 | 3,667,317 | 3,463,141 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
0.76%, 11/25/2035 | 5,876,281 | 5,700,855 | ||||||
ARLP Securitization Trust Series 2015-1 | ||||||||
3.97%, 05/25/2055 (Acquired 06/26/2015, Cost $2,939,736) (2) | 2,939,736 | 2,873,592 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2002-HE3 | ||||||||
2.66%, 10/15/2032 | 707,431 | 704,432 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE6 | ||||||||
1.10%, 11/25/2033 | 1,862,969 | 1,758,664 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6 | ||||||||
1.14%, 09/25/2034 | 6,419,083 | 6,345,792 | ||||||
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
0.59%, 03/25/2036 | 4,671,823 | 4,390,192 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
1.20%, 04/25/2034 | 593,874 | 583,857 | ||||||
Atlas Senior Loan Fund IV Ltd | ||||||||
1.86%, 02/17/2026 (Acquired 12/13/2013, Cost $15,213,077) (2) | 15,250,000 | 15,092,925 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
1.92%, 09/20/2019 (Acquired 12/17/2014, Cost $4,883,363) (2) | 4,900,000 | 4,863,878 | ||||||
2.50%, 07/20/2021 (Acquired 01/22/2015, Cost $11,998,456) (2) | 12,000,000 | 11,851,629 | ||||||
2.63%, 12/20/2021 (Acquired 05/20/2015, Cost $7,798,648) (2) | 7,800,000 | 7,702,121 |
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Avis Budget Rental Car Funding AESOP, LLC | ||||||||
2.46%, 07/20/2020 (Acquired 02/05/2014 through 06/27/2014, Cost $10,306,642) (2) | 10,300,000 | 10,334,228 | ||||||
AXIS Equipment Finance Receivables II LLC | ||||||||
1.75%, 03/20/2017 (Acquired 11/13/2013, Cost $254,285) (2) | 254,288 | 253,958 | ||||||
Axis Equipment Finance Receivables III LLC | ||||||||
1.90%, 03/20/2020 (Acquired 04/16/2015, Cost $1,624,913) (2) | 1,624,978 | 1,618,676 | ||||||
B2R Mortgage Trust 2015-1 | ||||||||
2.52%, 05/15/2048 (Acquired 04/07/2015, Cost $1,312,668) (2) | 1,312,700 | 1,284,137 | ||||||
B2R Mortgage Trust 2015-2 | ||||||||
3.34%, 11/15/2048 (Acquired 11/10/2015, Cost $3,028,594) (2) | 3,028,613 | 3,019,321 | ||||||
BA Credit Card Trust | ||||||||
1.36%, 09/15/2020 | 1,304,000 | 1,295,320 | ||||||
Babson CLO Ltd 2013-I | ||||||||
1.42%, 04/20/2025 (Acquired 02/19/2015, Cost $766,080) (2) | 775,000 | 759,012 | ||||||
Battalion CLO IV Ltd | ||||||||
1.72%, 10/22/2025 | 8,000,000 | 7,898,816 | ||||||
Battalion CLO VIII Ltd | ||||||||
1.85%, 04/18/2027 | 1,750,000 | 1,734,250 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2047 | 265,022 | 227,861 | ||||||
BCC Funding Corp X | ||||||||
2.22%, 10/20/2020 (Acquired 06/17/2015, Cost $2,698,993) (2) | 2,699,000 | 2,698,319 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | ||||||||
1.28%, 08/25/2034 | 7,536,175 | 6,964,713 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | ||||||||
1.32%, 08/25/2034 | 924,542 | 871,038 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
1.92%, 03/25/2043 | 5,558,081 | 5,432,392 | ||||||
Bear Stearns Asset Backed Securities Trust 2006-SD1 | ||||||||
0.79%, 04/25/2036 | 62,202 | 59,541 | ||||||
Blue Elephant Loan Trust 2015-1 | ||||||||
3.12%, 12/15/2022 | 1,634,111 | 1,628,881 | ||||||
BMW Floorplan Master Owner Trust | ||||||||
0.83%, 07/15/2020 (Acquired 07/15/2015, Cost $8,600,000) (2) | 8,600,000 | 8,546,199 | ||||||
BMW Vehicle Owner Trust 2014-A | ||||||||
0.53%, 04/25/2017 | 293,845 | 293,617 | ||||||
0.97%, 11/26/2018 | 680,000 | 678,239 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027 (Acquired 10/28/2013, Cost $499,107) (2) | 503,568 | 499,064 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
1.63%, 02/18/2020 (Acquired 10/28/2013, Cost $787,444) (2) | 784,000 | 785,557 | ||||||
California Republic Auto Receivables Trust 2012-1 | ||||||||
1.18%, 08/15/2017 (Acquired 12/03/2014, Cost $133,680) (2) | 133,660 | 133,639 | ||||||
California Republic Auto Receivables Trust 2014-2 | ||||||||
1.57%, 12/16/2019 | 188,000 | 186,526 | ||||||
California Republic Auto Receivables Trust 2014-3 | ||||||||
1.09%, 11/15/2018 | 2,000,000 | 1,994,374 |
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California Republic Auto Receivables Trust 2015-2 | ||||||||
1.31%, 08/15/2019 | 5,628,000 | 5,577,587 | ||||||
California Republic Auto Receivables Trust 2015-3 | ||||||||
1.62%, 11/15/2019 | 4,201,000 | 4,167,870 | ||||||
CAM Mortgage LLC 2015-1 | ||||||||
3.38%, 07/15/2064 (Acquired 06/24/2015, Cost $2,365,851) (2) | 2,365,851 | 2,363,679 | ||||||
Capital Auto Receivables Asset Trust 2013-3 | ||||||||
1.31%, 12/20/2017 | 894,114 | 894,060 | ||||||
Capital Auto Receivables Asset Trust 2013-4 | ||||||||
1.09%, 03/20/2018 | 944,612 | 943,489 | ||||||
Capital Auto Receivables Asset Trust 2014-2 | ||||||||
0.91%, 04/20/2017 | 372,003 | 371,774 | ||||||
Capital Auto Receivables Asset Trust 2015-3 | ||||||||
1.67%, 01/22/2019 | 9,725,000 | 9,704,489 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
0.37%, 07/15/2020 | 5,005,000 | 4,980,099 | ||||||
1.45%, 08/16/2021 | 5,770,000 | 5,720,067 | ||||||
CarFinance Capital Auto Trust 2013-1 | ||||||||
2.75%, 11/15/2018 (Acquired 10/28/2013, Cost $111,434) (2) | 112,032 | 112,451 | ||||||
CarFinance Capital Auto Trust 2013-2 | ||||||||
1.75%, 11/15/2017 (Acquired 10/28/2013, Cost $6,747) (2) | 6,747 | 6,745 | ||||||
CarFinance Capital Auto Trust 2014-1 | ||||||||
1.46%, 12/17/2018 (Acquired 03/17/2014, Cost $547,552) (2) | 547,636 | 546,788 | ||||||
2.72%, 04/15/2020 (Acquired 03/17/2014, Cost $374,941) (2) | 375,000 | 374,200 | ||||||
CarFinance Capital Auto Trust 2014-2 | ||||||||
1.44%, 11/16/2020 (Acquired 07/29/2014, Cost $1,980,939) (2) | 1,981,034 | 1,959,235 | ||||||
CarFinance Capital Auto Trust 2015-1 | ||||||||
1.75%, 06/15/2021 (Acquired 02/18/2015, Cost $2,774,055) (2) | 2,784,794 | 2,767,315 | ||||||
Carlyle Global Market Strategies CLO 2013-1 Ltd | ||||||||
1.66%, 02/14/2025 (Acquired 01/02/2014, Cost $5,055,013) (2) | 5,100,000 | 5,056,650 | ||||||
Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd | ||||||||
2.22%, 10/15/2021 (Acquired 05/22/2014, Cost $2,686,667) (1)(2) | 2,686,667 | 2,657,114 | ||||||
CarMax Auto Owner Trust 2013-1 | ||||||||
0.60%, 10/16/2017 | 44,761 | 44,713 | ||||||
CarMax Auto Owner Trust 2013-4 | ||||||||
0.80%, 07/16/2018 | 208,777 | 208,257 | ||||||
1.28%, 05/15/2019 | 275,000 | 273,368 | ||||||
CarMax Auto Owner Trust 2014-2 | ||||||||
0.98%, 01/15/2019 | 2,105,000 | 2,097,837 | ||||||
CarMax Auto Owner Trust 2015-2 | ||||||||
0.82%, 06/15/2018 | 1,693,007 | 1,688,833 | ||||||
CarMax Auto Owner Trust 2015-4 | ||||||||
1.56%, 11/16/2020 | 6,003,000 | 5,959,720 | ||||||
Carnow Auto Receivables Trust 2014-1 | ||||||||
1.89%, 11/15/2018 (Acquired 09/17/2014, Cost $981,770) (2) | 981,806 | 979,945 | ||||||
Carnow Auto Receivables Trust 2015-1 | ||||||||
1.69%, 01/15/2020 (Acquired 09/11/2015, Cost $3,160,528) (2) | 3,160,528 | 3,155,507 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
0.60%, 02/25/2036 | 1,381,574 | 1,346,752 |
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Catamaran CLO 2014-1 Ltd | ||||||||
1.87%, 04/20/2026 | 5,500,000 | 5,439,858 | ||||||
2.12%, 04/20/2026 | 4,500,000 | 4,299,048 | ||||||
Catamaran CLO 2014-2 Ltd | ||||||||
1.83%, 10/18/2026 (Acquired 12/17/2014, Cost $991,439) (2) | 1,000,000 | 988,110 | ||||||
Catamaran CLO 2015-1 Ltd | ||||||||
1.87%, 04/22/2027 (Acquired 03/31/2015, Cost $750,000) (2) | 750,000 | 741,842 | ||||||
Chase Funding Trust Series 2003-4 | ||||||||
5.42%, 05/25/2033 | 230,468 | 237,322 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
4.28%, 11/25/2034 | 594,492 | 605,104 | ||||||
5.25%, 11/25/2034 | 349,161 | 363,245 | ||||||
Chase Issuance Trust | ||||||||
0.79%, 04/15/2019 | 16,700,000 | 16,630,201 | ||||||
1.59%, 02/18/2020 | 3,603,000 | 3,602,920 | ||||||
Chrysler Capital Auto Receivables Trust 2014-A | ||||||||
0.83%, 09/17/2018 (Acquired 05/15/2015, Cost $615,199) (2) | 615,070 | 613,891 | ||||||
Citi Held For Asset Issuance 2015-PM1 | ||||||||
1.85%, 12/15/2021 (Acquired 07/29/2015, Cost $2,017,905) (2) | 2,017,923 | 2,017,098 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.78%, 10/25/2035 | 5,517,233 | 5,447,376 | ||||||
Concord Funding Co LLC | ||||||||
3.15%, 01/15/2017 (Acquired 10/28/2013, Cost $3,096,000) (2) | 3,096,000 | 3,106,526 | ||||||
Conseco Financial Corp | ||||||||
6.40%, 10/15/2018 | 5,013 | 5,012 | ||||||
7.05%, 01/15/2019 | 1,959 | 1,998 | ||||||
6.24%, 12/01/2028 | 61,378 | 62,997 | ||||||
7.07%, 01/15/2029 | 53 | 53 | ||||||
6.22%, 03/01/2030 | 139,564 | 145,592 | ||||||
6.18%, 04/01/2030 | 39,448 | 41,981 | ||||||
Consumer Credit Origination Loan Trust 2015-1 | ||||||||
2.82%, 03/15/2021 (Acquired 02/03/2015 through 02/17/2015, Cost $805,657) (2) | 805,691 | 805,550 | ||||||
Contimortgage Home Equity Loan Trust 1997-2 | ||||||||
7.09%, 04/15/2028 | 1 | 1 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
5.12%, 02/25/2035 | 94,638 | 96,230 | ||||||
4.58%, 02/25/2036 | 846,429 | 861,367 | ||||||
0.67%, 04/25/2036 | 1,359,295 | 1,352,620 | ||||||
4.87%, 04/25/2036 | 308,180 | 273,875 | ||||||
4.78%, 09/25/2046 | 138,603 | 123,619 | ||||||
CPS Auto Receivables Trust 2011-B | ||||||||
3.68%, 09/17/2018 (Acquired 10/28/2013, Cost $46,310) (2) | 46,052 | 46,078 | ||||||
CPS Auto Receivables Trust 2011-C | ||||||||
4.21%, 03/15/2019 (Acquired 10/28/2013, Cost $184,755) (2) | 183,468 | 184,211 | ||||||
CPS Auto Receivables Trust 2012-A | ||||||||
2.78%, 06/17/2019 (Acquired 10/28/2013, Cost $103,012) (2) | 102,518 | 102,835 | ||||||
CPS Auto Receivables Trust 2012-B | ||||||||
2.52%, 09/16/2019 (Acquired 10/28/2013, Cost $518,588) (2) | 516,071 | 516,468 |
Table of Contents
CPS Auto Receivables Trust 2013-A | ||||||||
1.31%, 06/15/2020 (Acquired 10/28/2013, Cost $398,682) (2) | 399,460 | 395,412 | ||||||
CPS Auto Receivables Trust 2013-C | ||||||||
1.64%, 04/16/2018 (Acquired 10/28/2013, Cost $422,658) (2) | 423,168 | 422,241 | ||||||
CPS Auto Receivables Trust 2013-D | ||||||||
1.54%, 07/16/2018 (Acquired 12/10/2013, Cost $825,640) (2) | 825,675 | 823,502 | ||||||
CPS Auto Receivables Trust 2014-A | ||||||||
1.21%, 08/15/2018 (Acquired 03/10/2014, Cost $694,916) (2) | 695,220 | 693,075 | ||||||
CPS Auto Receivables Trust 2014-B | ||||||||
1.11%, 11/15/2018 | 1,507,643 | 1,496,588 | ||||||
CPS Auto Receivables Trust 2014-C | ||||||||
1.31%, 02/15/2019 (Acquired 09/09/2014 through 06/18/2015, Cost $2,313,248) (2) | 2,313,777 | 2,296,624 | ||||||
3.77%, 08/17/2020 (Acquired 09/09/2014, Cost $557,958) (2) | 558,000 | 548,733 | ||||||
CPS Auto Receivables Trust 2014-D | ||||||||
1.49%, 04/15/2019 (Acquired 12/10/2014, Cost $2,148,054) (2) | 2,148,088 | 2,131,966 | ||||||
4.35%, 11/16/2020 (Acquired 12/10/2014, Cost $524,959) (2) | 525,000 | 522,441 | ||||||
CPS Auto Receivables Trust 2015-A | ||||||||
1.53%, 07/15/2019 (Acquired 03/19/2015, Cost $1,957,271) (2) | 1,957,271 | 1,942,996 | ||||||
4.00%, 02/16/2021 (Acquired 03/19/2015, Cost $445,932) (2) | 446,000 | 438,423 | ||||||
CPS Auto Receivables Trust 2015-B | ||||||||
1.65%, 11/15/2019 (Acquired 06/09/2015, Cost $4,148,649) (2) | 4,148,649 | 4,113,174 | ||||||
4.20%, 05/17/2021 (Acquired 06/09/2015, Cost $1,904,899) (2) | 1,905,000 | 1,873,002 | ||||||
CPS Auto Receivables Trust 2015-C | ||||||||
1.77%, 06/17/2019 (Acquired 09/11/2015, Cost $4,309,980) (2) | 4,310,258 | 4,300,346 | ||||||
4.63%, 08/16/2021 (Acquired 09/11/2015, Cost $1,375,753) (2) | 1,376,000 | 1,367,526 | ||||||
CPS Auto Trust | ||||||||
1.82%, 12/16/2019 (Acquired 10/28/2013, Cost $392,743) (2) | 392,199 | 390,570 | ||||||
1.48%, 03/16/2020 (Acquired 10/28/2013, Cost $221,479) (2) | 221,396 | 220,627 | ||||||
Credit Acceptance Auto Loan Trust 2013-1 | ||||||||
1.21%, 10/15/2020 (Acquired 01/30/2015, Cost $293,244) (2) | 293,204 | 293,076 | ||||||
Credit Acceptance Auto Loan Trust 2014-1 | ||||||||
1.55%, 10/15/2021 (Acquired 01/21/2015, Cost $1,398,501) (2) | 1,400,000 | 1,394,064 | ||||||
Credit Acceptance Auto Loan Trust 2014-2 | ||||||||
1.88%, 03/15/2022 (Acquired 09/18/2014, Cost $2,245,715) (2) | 2,250,000 | 2,239,341 | ||||||
Credit Acceptance Auto Loan Trust 2015-2 | ||||||||
2.40%, 02/15/2023 (Acquired 08/12/2015, Cost $2,820,899) (2) | 2,821,000 | 2,803,135 | ||||||
3.76%, 02/15/2024 (Acquired 08/12/2015, Cost $433,999) (2) | 434,000 | 429,865 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
4.12%, 12/25/2035 | 27,770 | 27,449 | ||||||
CSMC Trust 2006-CF1 | ||||||||
0.73%, 11/25/2035 (Acquired 10/28/2013, Cost $2,549) (2) | 2,575 | 2,570 | ||||||
CWABS Asset-Backed Certificates Trust 2004-15 | ||||||||
4.61%, 04/25/2035 | 150,821 | 151,528 | ||||||
CWABS Asset-Backed Certificates Trust 2005-1 | ||||||||
5.03%, 07/25/2035 | 204,225 | 207,619 | ||||||
CWABS Asset-Backed Certificates Trust 2005-11 | ||||||||
4.78%, 02/25/2036 | 841,991 | 859,951 |
Table of Contents
CWABS Asset-Backed Certificates Trust 2005-17 | ||||||||
4.79%, 05/25/2036 | 10,080 | 21,691 | ||||||
4.79%, 05/25/2036 | 70,785 | 94,711 | ||||||
CWABS Inc Asset-Backed Certificates Series 2003-5 | ||||||||
5.41%, 01/25/2034 | 36,142 | 36,147 | ||||||
CWABS Inc Asset-Backed Certificates Series 2004-1 | ||||||||
1.17%, 03/25/2034 | 82,562 | 78,853 | ||||||
1.25%, 03/25/2034 | 11,150 | 10,146 | ||||||
0.98%, 04/25/2034 | 1,112 | 1,004 | ||||||
CWABS Inc Asset-Backed Certificates Trust 2004-6 | ||||||||
1.32%, 10/25/2034 | 59,262 | 56,901 | ||||||
1.20%, 11/25/2034 | 1,426,084 | 1,380,308 | ||||||
CWHEQ Home Equity Loan Trust Series 2007-S1 | ||||||||
5.69%, 11/25/2036 | 45,450 | 44,765 | ||||||
Discover Card Execution Note Trust | ||||||||
1.90%, 10/17/2022 | 3,525,000 | 3,477,128 | ||||||
Drive Auto Receivables Trust 2015-A | ||||||||
1.01%, 11/15/2017 (Acquired 03/12/2015, Cost $911,177) (2) | 911,144 | 910,618 | ||||||
4.12%, 06/15/2022 (Acquired 03/12/2015, Cost $1,765,658) (2) | 1,766,000 | 1,748,503 | �� | |||||
Drive Auto Receivables Trust 2015-B | ||||||||
0.93%, 12/15/2017 (Acquired 07/31/2015, Cost $348,041) (2) | 348,325 | 347,968 | ||||||
2.12%, 06/17/2019 (Acquired 05/20/2015, Cost $1,631,922) (2) | 1,632,000 | 1,628,324 | ||||||
3.84%, 07/15/2021 (Acquired 05/20/2015, Cost $1,920,543) (2) | 1,921,000 | 1,884,882 | ||||||
Drive Auto Receivables Trust 2015-C | ||||||||
1.00%, 02/15/2018 (Acquired 07/15/2015, Cost $2,683,363) (2) | 2,683,363 | 2,682,156 | ||||||
1.03%, 02/15/2018 (Acquired 07/15/2015, Cost $548,895) (2) | 548,902 | 548,322 | ||||||
4.20%, 09/15/2021 (Acquired 07/15/2015, Cost $926,458) (2) | 926,471 | 919,663 | ||||||
Drive Auto Receivables Trust 2015-D | ||||||||
1.23%, 06/15/2018 (Acquired 09/23/2015, Cost $9,159,751) (2) | 9,160,000 | 9,150,495 | ||||||
DT Auto Owner Trust 2014-3 | ||||||||
0.98%, 04/16/2018 (Acquired 12/03/2014, Cost $780,207) (2) | 780,229 | 778,707 | ||||||
DT Auto Owner Trust 2015-1 | ||||||||
1.06%, 09/17/2018 (Acquired 02/18/2015, Cost $890,450) (2) | 890,451 | 888,562 | ||||||
DT Auto Owner Trust 2015-2 | ||||||||
1.24%, 09/17/2018 (Acquired 06/10/2015, Cost $1,766,750) (2) | 1,766,806 | 1,762,973 | ||||||
4.25%, 02/15/2022 (Acquired 06/10/2015, Cost $1,355,964) (2) | 1,356,000 | 1,341,351 | ||||||
DT Auto Owner Trust 2015-3 | ||||||||
1.66%, 03/15/2019 (Acquired 10/07/2015, Cost $6,627,553) (2) | 6,628,400 | 6,613,968 | ||||||
Exeter Automobile Receivables Trust 2014-1 | ||||||||
1.29%, 05/15/2018 (Acquired 01/29/2014, Cost $587,114) (2) | 587,108 | 586,651 | ||||||
Exeter Automobile Receivables Trust 2014-2 | ||||||||
1.06%, 08/15/2018 (Acquired 05/20/2014, Cost $1,056,679) (2) | 1,057,330 | 1,054,412 | ||||||
3.26%, 12/16/2019 (Acquired 05/20/2014, Cost $334,961) (2) | 335,000 | 329,891 | ||||||
Exeter Automobile Receivables Trust 2014-3 | ||||||||
1.32%, 01/15/2019 (Acquired 10/09/2014, Cost $3,336,748) (2) | 3,339,508 | 3,326,320 | ||||||
2.77%, 11/15/2019 (Acquired 10/09/2014, Cost $666,934) (2) | 667,000 | 666,927 | ||||||
Exeter Automobile Receivables Trust 2015-1 | ||||||||
1.60%, 06/17/2019 (Acquired 02/26/2015, Cost $1,736,117) (2) | 1,736,189 | 1,732,836 | ||||||
2.84%, 03/16/2020 (Acquired 02/26/2015, Cost $1,124,797) (2) | 1,125,000 | 1,121,452 |
Table of Contents
Exeter Automobile Receivables Trust 2015-2 | ||||||||
1.54%, 11/15/2019 (Acquired 05/12/2015, Cost $2,336,313) (2) | 2,336,432 | 2,325,991 | ||||||
Fifth Third Auto Trust 2014-3 | ||||||||
0.57%, 05/15/2017 | 306,483 | 306,239 | ||||||
0.96%, 03/15/2019 | 413,000 | 411,611 | ||||||
First Investors Auto Owner Trust 2012-2 | ||||||||
1.47%, 05/15/2018 (Acquired 10/28/2013, Cost $4,953) (2) | 4,948 | 4,949 | ||||||
First Investors Auto Owner Trust 2013-1 | ||||||||
0.90%, 10/15/2018 (Acquired 10/28/2013, Cost $154,304) (2) | 154,347 | 154,211 | ||||||
First Investors Auto Owner Trust 2013-2 | ||||||||
1.23%, 03/15/2019 (Acquired 03/17/2015, Cost $444,782) (2) | 444,511 | 444,094 | ||||||
First Investors Auto Owner Trust 2013-3 | ||||||||
1.44%, 10/15/2019 (Acquired 11/06/2013, Cost $789,186) (2) | 787,570 | 786,480 | ||||||
First Investors Auto Owner Trust 2014-2 | ||||||||
0.86%, 08/15/2018 (Acquired 01/28/2015, Cost $176,964) (2) | 177,129 | 176,917 | ||||||
First Investors Auto Owner Trust 2014-3 | ||||||||
1.06%, 11/15/2018 (Acquired 11/07/2014, Cost $338,647) (2) | 338,649 | 338,265 | ||||||
1.67%, 11/16/2020 (Acquired 11/07/2014, Cost $773,652) (2) | 776,000 | 771,142 | ||||||
First Investors Auto Owner Trust 2015-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/16/2015, Cost $1,713,933) (2) | 1,713,948 | 1,707,098 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
1.59%, 12/16/2019 (Acquired 08/16/2015, Cost $1,925,509) (2) | 1,925,516 | 1,922,766 | ||||||
4.22%, 12/15/2021 (Acquired 08/18/2015, Cost $279,982) (2) | 280,000 | 279,849 | ||||||
FirstKey Lending 2015-SFR1 Trust | ||||||||
2.55%, 03/09/2047 (Acquired 04/09/2015, Cost $3,294,237) (2) | 3,286,715 | 3,219,521 | ||||||
3.42%, 03/09/2047 (Acquired 04/09/2015, Cost $1,455,472) (2) | 1,442,000 | 1,419,273 | ||||||
Flagship Credit Auto Trust 2013-1 | ||||||||
1.32%, 04/16/2018 (Acquired 10/28/2013, Cost $114,636) (2) | 114,697 | 114,571 | ||||||
Flagship Credit Auto Trust 2013-2 | ||||||||
1.94%, 01/15/2019 (Acquired 10/28/2013, Cost $283,215) (2) | 283,214 | 282,910 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/08/2014, Cost $1,646,805) (2) | 1,649,592 | 1,641,724 | ||||||
2.55%, 02/18/2020 (Acquired 04/08/2014, Cost $279,961) (2) | 280,000 | 278,303 | ||||||
Flagship Credit Auto Trust 2014-2 | ||||||||
1.43%, 12/16/2019 (Acquired 10/09/2014, Cost $1,350,283) (2) | 1,350,382 | 1,341,724 | ||||||
2.84%, 11/16/2020 (Acquired 10/09/2014, Cost $891,920) (2) | 892,000 | 888,555 | ||||||
3.95%, 12/15/2020 (Acquired 10/09/2014, Cost $439,930) (2) | 440,000 | 434,513 | ||||||
Flagship Credit Auto Trust 2015-1 | ||||||||
1.63%, 06/15/2020 (Acquired 03/05/2015, Cost $2,439,135) (2) | 2,439,341 | 2,413,378 | ||||||
Flagship Credit Auto Trust 2015-2 | ||||||||
1.98%, 10/15/2020 (Acquired 07/29/2015, Cost $2,041,667) (2) | 2,041,855 | 2,032,808 | ||||||
Flagship Credit Auto Trust 2015-3 | ||||||||
2.38%, 10/15/2020 (Acquired 10/28/2015, Cost $2,220,914) (2) | 2,220,921 | 2,209,982 | ||||||
3.68%, 03/15/2022 (Acquired 10/28/2015, Cost $567,884) (2) | 568,000 | 561,573 | ||||||
4.65%, 03/15/2022 (Acquired 10/28/2015, Cost $566,826) (2) | 567,000 | 560,785 | ||||||
Flatiron CLO 2013-1 Ltd | ||||||||
1.72%, 01/17/2026 (Acquired 08/12/2014, Cost $746,072) (2) | 750,000 | 738,630 |
Table of Contents
Ford Credit Auto Lease Trust 2014-B | ||||||||
0.89%, 09/15/2017 | 1,391,000 | 1,388,828 | ||||||
1.10%, 11/15/2017 | 550,000 | 548,297 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 890,000 | 888,456 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
0.61%, 08/15/2017 | 452,753 | 452,600 | ||||||
1.06%, 05/15/2019 | 1,040,000 | 1,037,506 | ||||||
Ford Credit Auto Owner Trust 2014-REV2 | ||||||||
2.31%, 04/15/2026 (Acquired 10/07/2014, Cost $6,864,496) (2) | 6,820,000 | 6,810,084 | ||||||
Ford Credit Auto Owner Trust 2015-A | ||||||||
0.81%, 01/15/2018 | 1,384,684 | 1,383,497 | ||||||
1.28%, 09/15/2019 | 942,000 | 940,439 | ||||||
Ford Credit Auto Owner Trust 2015-C | ||||||||
1.41%, 02/15/2020 | 2,876,000 | 2,863,179 | ||||||
1.74%, 02/15/2021 | 3,338,000 | 3,321,456 | ||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-REV1 | ||||||||
2.26%, 11/15/2025 (Acquired 05/06/2014, Cost $4,899,022) (2) | 4,900,000 | 4,940,314 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
0.71%, 01/15/2018 | 1,150,000 | 1,150,000 | ||||||
2.39%, 08/15/2022 | 1,374,000 | 1,366,373 | ||||||
Freedom Trust 2011-2 | ||||||||
5.00%, 08/01/2046 (Acquired 10/28/2013 through 06/25/2014, Cost $173,502) (2) | 170,097 | 171,210 | ||||||
Fremont Home Loan Trust 2004-2 | ||||||||
1.28%, 07/25/2034 | 1,229,294 | 1,064,735 | ||||||
FRT 2013-1 Trust | ||||||||
5.00%, 10/25/2033 (1) | 820,313 | 810,059 | ||||||
Galaxy XVIII CLO Ltd | ||||||||
1.79%, 10/15/2026 | 2,250,000 | 2,230,425 | ||||||
GCAT 2015-2 | ||||||||
3.75%, 07/25/2020 (Acquired 07/22/2015 through 07/27/2015, Cost $3,197,856) (2) | 3,200,479 | 3,172,579 | ||||||
GE Capital Mortgage Services Inc 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 156 | 158 | ||||||
6.71%, 04/25/2029 | 52,184 | 47,196 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
0.90%, 01/20/2020 | 5,300,000 | 5,274,067 | ||||||
GE Equipment Midticket LLC | ||||||||
0.78%, 09/22/2020 | 79,683 | 79,665 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 9 | 7 | ||||||
GLC II Trust 2013-1 | ||||||||
4.00%, 12/18/2020 | 2,297,409 | 2,298,098 | ||||||
GLC Trust 2013-1 | ||||||||
3.00%, 07/15/2021 | 1,897,406 | 1,892,283 | ||||||
GLS Auto Receivables Trust 2015-1 | ||||||||
2.25%, 12/15/2020 (Acquired 06/26/2015, Cost $2,519,085) (2) | 2,519,085 | 2,504,151 | ||||||
4.30%, 12/15/2020 (Acquired 06/26/2015, Cost $953,962) (2) | 954,000 | 941,955 |
Table of Contents
GM Financial Automobile Leasing Trust 2015-1 | ||||||||
1.10%, 12/20/2017 | 3,090,011 | 3,084,082 | ||||||
1.53%, 09/20/2018 | 1,198,000 | 1,192,110 | ||||||
1.73%, 06/20/2019 | 502,000 | 499,074 | ||||||
GMAT 2013-1 Trust | ||||||||
3.97%, 11/25/2043 (Acquired 11/6/2013, Cost $950,565) (2) | 949,905 | 942,685 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
0.83%, 05/15/2020 (Acquired 05/13/2015, Cost $4,600,000) (2) | 4,600,000 | 4,582,085 | ||||||
GO Financial Auto Securitization Trust 2015-1 | ||||||||
1.81%, 03/15/2018 | 1,622,607 | 1,619,989 | ||||||
3.59%, 10/15/2020 | 995,000 | 990,839 | ||||||
GO Financial Auto Securitization Trust 2015-2 | ||||||||
3.27%, 11/15/2018 (Acquired 11/19/2015, Cost $3,301,389) (2) | 3,301,389 | 3,297,118 | ||||||
4.80%, 08/17/2020 (Acquired 11/19/2015, Cost $1,872,788) (2) | 1,873,000 | 1,865,886 | ||||||
Gold Key Resorts 2014-A LLC | ||||||||
3.22%, 03/17/2031 (Acquired 12/01/2014, Cost $1,452,521) (2) | 1,452,790 | 1,440,113 | ||||||
Gramercy Park CLO Ltd | ||||||||
1.62%, 07/17/2023 (Acquired 07/10/2014, Cost $1,125,000) (2) | 1,125,000 | 1,120,147 | ||||||
GSAA Trust | ||||||||
0.74%, 03/25/2035 | 9,900,997 | 9,767,514 | ||||||
0.69%, 06/25/2035 | 1,416,574 | 1,376,411 | ||||||
Hertz Vehicle Financing II LP | ||||||||
2.67%, 09/25/2021 (Acquired 09/30/2015, Cost $7,998,071) (2) | 8,000,000 | 7,899,866 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
0.62%, 03/25/2036 | 77,863 | 69,919 | ||||||
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
0.77%, 03/19/2018 | 910,202 | 907,643 | ||||||
Honda Auto Receivables 2015-1 Owner Trust | ||||||||
0.70%, 06/15/2017 | 515,748 | 515,242 | ||||||
Honda Auto Receivables 2015-3 Owner Trust | ||||||||
1.56%, 10/18/2021 | 1,936,000 | 1,924,005 | ||||||
Honda Auto Receivables 2015-4 Owner Trust | ||||||||
1.23%, 09/23/2019 | 4,966,000 | 4,925,840 | ||||||
HSBC Home Equity Loan Trust USA 2006-4 | ||||||||
0.68%, 03/20/2036 | 6,300,000 | 5,971,570 | ||||||
HSBC Home Equity Loan Trust USA 2007-1 | ||||||||
0.60%, 03/20/2036 | 28,018 | 27,894 | ||||||
HSBC Home Equity Loan Trust USA 2007-3 | ||||||||
1.60%, 11/20/2036 | 407,496 | 406,191 | ||||||
Hyundai Auto Receivables Trust 2014-B | ||||||||
0.90%, 12/17/2018 | 2,043,098 | 2,038,673 | ||||||
Hyundai Auto Receivables Trust 2015-A | ||||||||
0.68%, 10/16/2017 | 659,829 | 659,441 | ||||||
1.05%, 04/15/2019 | 250,000 | 248,978 | ||||||
Hyundai Auto Receivables Trust 2015-B | ||||||||
0.69%, 04/16/2018 | 1,334,212 | 1,331,412 | ||||||
1.12%, 11/15/2019 | 1,024,000 | 1,016,061 | ||||||
Hyundai Auto Receivables Trust 2015-C | ||||||||
1.46%, 02/18/2020 | 2,287,000 | 2,278,148 |
Table of Contents
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 382 | 381 | ||||||
Invitation Homes 2014-SFR1 Trust | ||||||||
1.35%, 06/17/2031 (Acquired 05/14/2015, Cost $1,992,938) (2) | 2,000,000 | 1,957,116 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CH1 | ||||||||
0.55%, 07/25/2036 | 4,887,196 | 4,702,106 | ||||||
JP Morgan Mortgage Acquisition Trust 2007-CH1 | ||||||||
0.55%, 11/25/2036 | 44,191 | 44,161 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.01%, 08/01/2038 (Acquired 02/19/2014, Cost $561,884) (2) | 10,462,875 | 300,808 | ||||||
KVK CLO 2014-1 Ltd | ||||||||
1.95%, 05/15/2026 | 7,800,000 | 7,701,252 | ||||||
3.67%, 05/15/2026 | 2,000,000 | 2,011,874 | ||||||
KVK CLO 2014-2 Ltd | ||||||||
1.87%, 07/15/2026 | 4,250,000 | 4,211,325 | ||||||
KVK CLO 2015-1 Ltd | ||||||||
1.95%, 05/20/2027 | 250,000 | 247,725 | ||||||
Lila Mexican Holdings Llc | ||||||||
3.35%, 08/11/2022 (1) | 3,500,000 | 3,353,000 | ||||||
Limerock CLO II Ltd | ||||||||
1.82%, 04/18/2026 (Acquired 02/26/2014, Cost $248,883) (2) | 250,000 | 246,607 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
1.17%, 02/25/2034 | 1,870,140 | 1,779,619 | ||||||
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.28%, 07/25/2034 | 81,960 | 78,896 | ||||||
Long Beach Mortgage Loan Trust 2006-WL2 | ||||||||
0.62%, 01/25/2036 | 73,567 | 71,002 | ||||||
LV Tower 52 Issuer 2013-1 | ||||||||
5.50%, 07/15/2019 (1) | 3,236,562 | 3,166,329 | ||||||
7.50%, 07/15/2019 (1) | 1,637,891 | 1,575,160 | ||||||
Magnetite IX Ltd | ||||||||
1.74%, 07/25/2026 (Acquired 08/18/2014, Cost $2,248,853) (2) | 2,250,000 | 2,224,800 | ||||||
Magnetite VIII Ltd | ||||||||
1.80%, 04/15/2026 (Acquired 04/16/2014 through 01/21/2015, Cost $13,731,146) (2) | 13,750,000 | 13,660,625 | ||||||
Magnetite XI Ltd | ||||||||
1.77%, 01/18/2027 (Acquired 12/04/2014, Cost $1,492,637) (2) | 1,500,000 | 1,487,159 | ||||||
MarketPlace Loan Trust 2015-OD2 | ||||||||
3.25%, 08/17/2017 | 1,636,532 | 1,633,643 | ||||||
5.25%, 08/17/2017 | 712,000 | 709,200 | ||||||
MarketPlace Loan Trust 2015-OD1 | ||||||||
3.25%, 06/17/2017 (Acquired 05/28/2015, Cost $1,187,950) (2) | 1,190,222 | 1,186,199 | ||||||
5.25%, 06/17/2017 (Acquired 05/26/2015, Cost $498,198) (2) | 500,000 | 496,806 | ||||||
MarketPlace Loan Trust 2015-OD3 | ||||||||
3.88%, 09/17/2017 | 4,010,393 | 3,997,808 | ||||||
5.88%, 09/17/2017 | 750,000 | �� | 744,897 | |||||
MarketPlace Loan Trust 2015-OD4 | ||||||||
3.25%, 12/18/2017 (Acquired 12/22/2015, Cost $2,779,697) (2) | 2,792,000 | 2,779,391 | ||||||
Mastr Asset Backed Securities Trust 2005-HE1 | ||||||||
1.14%, 05/25/2035 | 2,000,000 | 1,953,905 |
Table of Contents
Mastr Asset Backed Securities Trust 2006-NC1 | ||||||||
0.72%, 01/25/2036 | 4,633,000 | 4,452,221 | ||||||
Mercedes-Benz Auto Receivables Trust 2015-1 | ||||||||
0.82%, 06/15/2018 | 2,455,000 | 2,449,303 | ||||||
Mid-State Capital Corp 2006-1 Trust | ||||||||
6.08%, 10/15/2040 (Acquired 10/28/2013, Cost $990,134) (2) | 997,428 | 1,042,847 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045 (Acquired 10/28/2013, Cost $505,591) (2) | 493,227 | 506,016 | ||||||
5.25%, 12/15/2045 (Acquired 10/28/2013, Cost $916,115) (2) | 887,544 | 926,352 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2004-OP1 | ||||||||
1.29%, 11/25/2034 | 1,737,448 | 1,573,899 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2006-NC3 | ||||||||
0.59%, 03/25/2036 | 1,163,498 | 1,152,465 | ||||||
Nationstar Agency Advance Funding Trust 2013-T2A | ||||||||
1.89%, 02/18/2048 (Acquired 10/28/2013, Cost $373,052) (2) | 381,000 | 373,532 | ||||||
Nationstar HECM Loan Trust 2015-1A | ||||||||
3.84%, 05/25/2018 (Acquired 06/10/2015, Cost $1,652,966) (2) | 1,652,966 | 1,648,338 | ||||||
Nationstar HECM Loan Trust 2015-2A | ||||||||
2.88%, 11/25/2025 (Acquired 11/19/2015, Cost $2,183,249) (2) | 2,183,252 | 2,181,068 | ||||||
4.11%, 11/25/2025 (Acquired 11/19/2015, Cost $1,963,996) (2) | 1,964,000 | 1,962,036 | ||||||
Nationstar Home Equity Loan Trust 2006-B | ||||||||
0.59%, 09/25/2036 | 1,261,011 | 1,260,864 | ||||||
Navitas Equipment Receivables LLC 2013-1 | ||||||||
1.95%, 11/15/2016 (Acquired 10/31/2013, Cost $126,156) (2) | 126,157 | 126,071 | ||||||
Neuberger Berman CLO Ltd | ||||||||
2.42%, 07/25/2023 | 250,000 | 247,216 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.18%, 11/25/2033 | 330,265 | 339,705 | ||||||
Nissan Auto Lease Trust 2015-A | ||||||||
0.99%, 11/15/2017 | 2,651,437 | 2,647,365 | ||||||
Nissan Auto Receivables 2012-A Owner Trust | ||||||||
1.00%, 07/16/2018 | 115,438 | 115,464 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 400,000 | 398,764 | ||||||
Nissan Auto Receivables 2015-C Owner Trust | ||||||||
1.37%, 05/15/2020 | 4,461,000 | 4,430,699 | ||||||
Normandy Mortgage Loan Co 2013-NPL3 LLC | ||||||||
4.95%, 09/16/2043 (Acquired 10/28/2013, Cost $162,474) (2) | 162,474 | 162,231 | ||||||
NRPL Trust 2015-1 | ||||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $2,223,852) (2) | 2,223,852 | 2,212,138 | ||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $956,418) (2) | 1,000,000 | 988,500 | ||||||
NRPL Trust 2015-2 | ||||||||
3.75%, 10/25/2057 (Acquired 06/04/2015, Cost $4,413,090) (2) | 4,433,908 | 4,394,259 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T1 | ||||||||
2.31%, 08/15/2046 (Acquired 08/25/2015, Cost $1,750,000) (2) | 1,750,000 | 1,748,810 | ||||||
3.10%, 08/15/2046 (Acquired 08/25/2015, Cost $799,230) (2) | 800,000 | 799,250 | ||||||
3.60%, 08/15/2046 (Acquired 08/25/2015, Cost $1,246,071) (2) | 1,250,000 | 1,246,484 |
Table of Contents
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T2 | ||||||||
4.68%, 08/17/2048 (Acquired 08/25/2015, Cost $1,406,000) (2) | 1,406,000 | 1,406,879 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T3 | ||||||||
4.27%, 11/15/2046 (Acquired 11/20/2015, Cost $3,750,000) (2) | 3,750,000 | 3,744,694 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T4 | ||||||||
3.20%, 11/15/2047 (Acquired 11/20/2015, Cost $6,500,000) (2) | 6,500,000 | 6,479,720 | ||||||
4.67%, 11/15/2047 (Acquired 11/20/2015, Cost $2,000,000) (2) | 2,000,000 | 1,994,350 | ||||||
OAK Hill Advisors Residential Loan Trust 2014-NPL2 | ||||||||
3.35%, 04/25/2054 (Acquired 11/05/2014, Cost $2,935,047) (2) | 2,935,047 | 2,917,947 | ||||||
4.00%, 04/25/2054 (Acquired 11/05/2014, Cost $997,840) (2) | 1,028,000 | 1,013,278 | ||||||
Oak Hill Advisors Residential Loan Trust 2015-NPL1 | ||||||||
3.47%, 01/25/2055 (Acquired 03/05/2015, Cost $2,238,882) (2) | 2,238,882 | 2,227,997 | ||||||
4.00%, 01/25/2055 (Acquired 03/05/2015, Cost $1,510,141) (2) | 1,558,000 | 1,516,651 | ||||||
Oak Hill Advisors Residential Loan Trust 2015-NPL2 | ||||||||
3.72%, 07/25/2055 (Acquired 08/04/2015, Cost $3,603,220) (2) | 3,603,220 | 3,568,018 | ||||||
4.00%, 07/25/2055 (Acquired 08/04/2015, Cost $620,603) (2) | 641,000 | 621,280 | ||||||
Oakwood Mortgage Investors Inc | ||||||||
6.45%, 11/15/2017 | 4,123 | 4,377 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
2.54%, 09/17/2046 (Acquired 9/11/2015, Cost $1,107,999) (2) | 1,108,000 | 1,107,031 | ||||||
4.10%, 09/17/2046 (Acquired 9/11/2015, Cost $2,623,935) (2) | 2,628,000 | 2,623,015 | ||||||
4.26%, 11/15/2046 (Acquired 11/06/2015, Cost $750,999) (2) | 751,000 | 750,925 | ||||||
3.21%, 11/15/2047 (Acquired 11/06/2015, Cost $4,767,959) (2) | 4,768,000 | 4,753,632 | ||||||
4.20%, 11/15/2047 (Acquired 11/06/2015, Cost $729,998) (2) | 730,000 | 729,927 | ||||||
4.69%, 11/15/2047 (Acquired 11/06/2015, Cost $1,749,999) (2) | 1,750,000 | 1,747,290 | ||||||
OnDeck Asset Securitization Trust 2014-1 LLC | ||||||||
3.15%, 05/17/2018 (Acquired 04/30/2014, Cost $2,341,765) (2) | 2,342,000 | 2,339,698 | ||||||
OneMain Financial Issuance Trust 2014-1 | ||||||||
2.43%, 06/18/2024 (Acquired 04/09/2014, Cost $3,390,260) (2) | 3,390,000 | 3,378,194 | ||||||
3.24%, 06/18/2024 (Acquired 04/09/2014, Cost $401,943) (2) | 402,000 | 400,077 | ||||||
OneMain Financial Issuance Trust 2014-2 | ||||||||
2.47%, 09/18/2024 (Acquired 07/23/2014, Cost $5,050,853) (2) | 5,049,000 | 5,039,054 | ||||||
3.02%, 09/18/2024 (Acquired 07/23/2014, Cost $1,864,000) (2) | 1,864,000 | 1,855,127 | ||||||
OneMain Financial Issuance Trust 2015-1 | ||||||||
3.19%, 03/18/2026 (Acquired 01/28/2015, Cost $3,451,072) (2) | 3,452,000 | 3,430,598 | ||||||
3.85%, 03/18/2026 (Acquired 02/13/2015, Cost $500,284) (2) | 500,000 | 505,670 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 05/12/2015, Cost $18,062,073) (2) | 18,062,000 | 17,850,332 | ||||||
3.10%, 07/18/2025 (Acquired 05/12/2015, Cost $1,626,560) (2) | 1,627,000 | 1,612,487 | ||||||
Option One Mortgage Loan Trust | ||||||||
1.26%, 02/25/2033 | 17,150 | 15,956 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.32%, 11/25/2034 | 1,691,802 | 1,560,846 | ||||||
Palmer Square CLO 2015-1 Ltd | ||||||||
1.88%, 05/21/2027 (Acquired 04/10/2015, Cost $249,382) (2) | 250,000 | 247,003 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW | ||||||||
1.36%, 10/25/2034 | 290,393 | 289,955 | ||||||
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
1.26%, 01/25/2036 | 4,800,000 | 4,577,917 |
Table of Contents
PFS Tax Lien Trust 2014-1 | ||||||||
1.44%, 04/15/2016 (Acquired 04/29/2014, Cost $406,968) (2) | 406,985 | 405,492 | ||||||
Prestige Auto Receivables Trust 2014-1 | ||||||||
0.97%, 03/15/2018 (Acquired 05/06/2015, Cost $223,628) (2) | 223,506 | 223,067 | ||||||
Pretium Mortgage Credit Partners I 2015-NPL2 LLC | ||||||||
3.75%, 07/27/2030 (Acquired 07/22/2015, Cost $1,388,220) (2) | 1,389,469 | 1,376,239 | ||||||
4.25%, 07/27/2030 (Acquired 07/22/2015, Cost $1,474,842) (2) | 1,500,000 | 1,469,225 | ||||||
Progreso Receivables Funding II LLC | ||||||||
3.50%, 07/08/2019 | 3,500,000 | 3,484,950 | ||||||
Progreso Receivables Funding III LLC | ||||||||
3.63%, 02/08/2020 (Acquired 01/20/2015, Cost $3,090,000) (2) | 3,090,000 | 3,060,027 | ||||||
5.50%, 02/08/2020 (Acquired 01/20/2015, Cost $793,000) (2) | 793,000 | 789,669 | ||||||
Progreso Receivables Funding LLC | ||||||||
3.00%, 07/08/2020 (Acquired 06/30/2015, Cost $1,203,000) (2) | 1,203,000 | 1,189,302 | ||||||
5.00%, 07/08/2020 (Acquired 06/30/2015, Cost $605,000) (2) | 605,000 | 605,000 | ||||||
Progress Residential 2015-SFR2 Trust | ||||||||
2.74%, 06/12/2032 (Acquired 05/20/2015, Cost $3,405,937) (2) | 3,406,000 | 3,324,038 | ||||||
3.14%, 06/12/2032 (Acquired 05/20/2015, Cost $2,011,967) (2) | 2,012,000 | 1,943,307 | ||||||
3.44%, 06/12/2032 (Acquired 05/20/2015, Cost $2,137,959) (2) | 2,138,000 | 2,041,784 | ||||||
4.43%, 06/12/2032 (Acquired 05/20/2015, Cost $891,978) (2) | 892,000 | 840,493 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
3.07%, 11/12/2032 (Acquired 10/23/2015, Cost $5,256,798) (2) | 5,257,000 | 5,182,232 | ||||||
4.67%, 11/12/2032 (Acquired 10/23/2015, Cost $294,989) (2) | 295,000 | 293,370 | ||||||
5.66%, 11/12/2032 (Acquired 10/23/2015, Cost $999,984) (2) | 1,000,000 | 988,839 | ||||||
PURCHASING POWER FUNDING 2015-A LLC | ||||||||
4.75%, 12/15/2019 (Acquired 11/03/2015, Cost $3,500,000) (2) | 3,500,000 | 3,485,556 | ||||||
RAAC Series 2004-SP1 Trust | ||||||||
5.29%, 08/25/2027 | 4,290 | 4,358 | ||||||
Race Point VIII CLO Ltd | ||||||||
1.62%, 02/20/2025 (Acquired 02/19/2015, Cost $248,085) (2) | 250,000 | 245,900 | ||||||
RAMP Series 2003-RS7 Trust | ||||||||
5.34%, 08/25/2033 | 22,528 | 22,584 | ||||||
RAMP Series 2004-RS11 Trust | ||||||||
1.35%, 11/25/2034 | 210,914 | 208,849 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 01/25/2035 | 30,503 | 30,834 | ||||||
RAMP Series 2006-RZ1 Trust | ||||||||
0.72%, 03/25/2036 | 1,045,176 | 1,022,998 | ||||||
RASC Series 2002-KS4 Trust | ||||||||
0.92%, 07/25/2032 | 4,974 | 4,415 | ||||||
RASC Series 2003-KS2 Trust | ||||||||
3.99%, 04/25/2033 | 38,283 | 38,239 | ||||||
RASC Series 2003-KS5 Trust | ||||||||
1.00%, 07/25/2033 | 5,782 | 5,135 | ||||||
3.62%, 07/25/2033 | 2,178 | 2,119 | ||||||
RASC Series 2003-KS9 Trust | ||||||||
1.06%, 11/25/2033 | 7,392 | 6,210 |
Table of Contents
RASC Series 2004-KS2 Trust | ||||||||
4.30%, 03/25/2034 | 4,662 | 4,709 | ||||||
RASC Series 2005-KS6 Trust | ||||||||
1.04%, 07/25/2035 | 1,550,000 | 1,471,778 | ||||||
RBSHD 2013-1 Trust | ||||||||
4.69%, 10/25/2047 (Acquired 02/20/2014, Cost $802,767) (1)(2) | 799,699 | 799,769 | ||||||
Regatta V Funding Ltd | ||||||||
1.88%, 10/25/2026 | 1,000,000 | 992,800 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037 | 310,658 | 165,249 | ||||||
Renaissance Home Equity Loan Trust 2005-3 | ||||||||
4.81%, 11/25/2035 | 196,489 | �� | 198,287 | |||||
RMAT 2015-NPL1 LLC | ||||||||
3.75%, 05/25/2055 | 1,682,234 | 1,673,486 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
1.84%, 11/18/2019 (Acquired 06/10/2015, Cost $286,066) (2) | 286,068 | 284,637 | ||||||
1.97%, 03/16/2021 (Acquired 06/10/2015, Cost $1,115,646) (2) | 1,115,675 | 1,110,096 | ||||||
Santander Drive Auto Receivables Trust 2013-2 | ||||||||
1.33%, 03/15/2018 | 567,003 | 566,998 | ||||||
Santander Drive Auto Receivables Trust 2013-3 | ||||||||
1.19%, 05/15/2018 | 330,811 | 330,684 | ||||||
Santander Drive Auto Receivables Trust 2014-2 | ||||||||
0.80%, 04/16/2018 | 2,355,460 | 2,353,833 | ||||||
Santander Drive Auto Receivables Trust 2014-3 | ||||||||
0.81%, 07/16/2018 | 2,445,900 | 2,443,539 | ||||||
Santander Drive Auto Receivables Trust 2014-4 | ||||||||
0.67%, 01/16/2018 | 106,022 | 105,988 | ||||||
1.82%, 05/15/2019 | 363,000 | 363,314 | ||||||
Santander Drive Auto Receivables Trust 2015-2 | ||||||||
2.44%, 04/15/2021 | 955,000 | 944,641 | ||||||
Santander Drive Auto Receivables Trust 2015-3 | ||||||||
2.07%, 04/15/2020 | 2,174,000 | 2,168,256 | ||||||
Santander Drive Auto Receivables Trust 2015-4 | ||||||||
1.03%, 12/17/2018 | 6,500,000 | 6,497,673 | ||||||
1.20%, 12/17/2018 | 4,218,000 | 4,209,667 | ||||||
2.97%, 03/15/2021 | 2,218,000 | 2,214,793 | ||||||
Santander Drive Auto Receivables Trust 2015-5 | ||||||||
1.08%, 12/17/2018 | 12,807,000 | 12,806,996 | ||||||
2.74%, 12/15/2021 | 1,217,000 | 1,207,055 | ||||||
Santander Drive Auto Receivables Trust 2015-S1 | ||||||||
1.93%, 09/17/2019 (Acquired 06/10/2015, Cost $1,144,205) (2) | 1,144,230 | 1,138,509 | ||||||
Saxon Asset Securities Trust 2003-1 | ||||||||
4.80%, 06/25/2033 | 154,513 | 156,028 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-EC1 | ||||||||
1.04%, 01/25/2035 | 73,461 | 72,676 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-OP2 | ||||||||
0.75%, 10/25/2035 (Acquired 03/13/2014, Cost $1,382,085) (2) | 1,397,157 | 1,381,977 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.38%, 01/25/2036 | 82,963 | 60,617 |
Table of Contents
Selene Non-Performing Loans LLC | ||||||||
2.98%, 05/25/2054 (Acquired 05/23/2014, Cost $1,152,245) (2) | 1,155,018 | 1,141,844 | ||||||
Skopos Auto Receivables Trust 2015-2 | ||||||||
3.55%, 02/15/2020 (Acquired 11/05/2015, Cost $849,007) (2) | 849,080 | 847,753 | ||||||
SNAAC Auto Receivables Trust 2014-1 | ||||||||
1.03%, 09/17/2018 (Acquired 04/01/2014, Cost $218,937) (2) | 218,940 | 218,842 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
1.09%, 10/25/2035 | 396,534 | 386,364 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1 | ||||||||
0.72%, 12/25/2036 | 2,225,000 | 2,160,060 | ||||||
SpringCastle America Funding LLC | ||||||||
2.70%, 05/25/2023 (Acquired 09/18/2014, Cost $5,988,304) (2) | 5,988,599 | 5,975,147 | ||||||
4.61%, 10/25/2027 (Acquired 09/18/2014, Cost $1,749,687) (2) | 1,750,000 | 1,753,647 | ||||||
Springleaf Funding Trust 2013-B | ||||||||
3.92%, 01/16/2023 (Acquired 10/28/2013, Cost $511,136) (2) | 516,000 | 516,294 | ||||||
4.82%, 01/16/2023 (Acquired 10/28/2013 through 12/20/2013, Cost $1,126,015) (2) | 1,140,000 | 1,137,264 | ||||||
Springleaf Funding Trust 2014-A | ||||||||
2.41%, 12/15/2022 (Acquired 03/19/2014, Cost $11,531,302) (2) | 11,533,000 | 11,499,812 | ||||||
3.45%, 12/15/2022 (Acquired 03/19/2014, Cost $582,866) (2) | 583,000 | 581,614 | ||||||
Springleaf Funding Trust 2015-A | ||||||||
3.16%, 11/15/2024 (Acquired 02/18/2015, Cost $14,398,102) (2) | 14,392,000 | 14,291,101 | ||||||
3.62%, 11/15/2024 (Acquired 02/18/2015, Cost $1,086,711) (2) | 1,087,000 | 1,075,446 | ||||||
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T2 | ||||||||
4.23%, 01/15/2047 (Acquired 12/10/2015, Cost $1,718,919) (2) | 1,719,000 | 1,716,731 | ||||||
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T3 | ||||||||
4.43%, 07/15/2047 (Acquired 12/10/2015, Cost $1,781,922) (2) | 1,782,000 | 1,782,000 | ||||||
Structured Asset Investment Loan Trust 2004-4 | ||||||||
1.22%, 04/25/2034 | 720,327 | 666,023 | ||||||
Structured Asset Sec Corp Pass Through Cert Series 2002-al1 | ||||||||
3.45%, 02/25/2032 | 68,130 | 67,808 | ||||||
3.45%, 02/25/2032 | 157,323 | 155,488 | ||||||
Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035 | 22,686 | 23,761 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-6XS | ||||||||
5.53%, 03/25/2034 | 246,528 | 253,977 | ||||||
5.55%, 03/25/2034 | 197,159 | 204,997 | ||||||
Sunset Mortgage Loan Co 2014-NPL2 LLC | ||||||||
3.72%, 11/16/2044 (Acquired 11/25/2014, Cost $2,955,707) (2) | 2,955,707 | 2,940,928 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
0.78%, 03/15/2020 | 17,700,000 | 17,671,156 | ||||||
Synchrony Credit Card Master Note Trust 2015-1 | ||||||||
2.37%, 03/15/2023 | 4,950,000 | 4,929,311 | ||||||
Synchrony Credit Card Master Note Trust 2015-2 | ||||||||
1.60%, 04/15/2021 | 4,000,000 | 3,971,948 | ||||||
Synchrony Credit Card Master Note Trust 2015-3 | ||||||||
1.74%, 09/15/2021 | 6,100,000 | 6,052,311 | ||||||
TCF Auto Receivables Owner Trust 2015-2 | ||||||||
2.06%, 04/15/2020 (Acquired 11/18/2015, Cost $9,999,178) (2) | 10,000,000 | 9,975,229 |
Table of Contents
THL Credit Wind River 2014-3 CLO Ltd | ||||||||
1.94%, 01/22/2027 | 5,750,000 | 5,709,750 | ||||||
Tidewater Auto Receivables Trust 2014-A | ||||||||
1.40%, 07/15/2018 (Acquired 06/06/2014 through 06/23/2014, Cost $1,316,333) (2) | 1,316,567 | 1,315,044 | ||||||
1.85%, 12/15/2018 (Acquired 06/06/2014, Cost $2,384,844) (2) | 2,385,000 | 2,381,281 | ||||||
Toyota Auto Receivables 2014-C Owner Trust | ||||||||
0.51%, 02/15/2017 | 343,050 | 342,901 | ||||||
0.93%, 07/16/2018 | 691,000 | 689,538 | ||||||
Trafigura Securitisation Finance Plc. 2014-1 | ||||||||
1.28%, 10/15/2021 (Acquired 10/23/2014, Cost $3,719,000) (1)(2) | 3,719,000 | 3,697,802 | ||||||
Tricon American Homes 2015-SFR1 Trust | ||||||||
1.57%, 05/17/2032 (Acquired 04/28/2015, Cost $957,000) (2) | 957,000 | 937,318 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL1 | ||||||||
3.23%, 07/25/2053 (Acquired 08/19/2014, Cost $1,020,370) (2) | 1,021,582 | 1,018,047 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL2 | ||||||||
3.13%, 06/25/2054 (Acquired 09/09/2014, Cost $89,552) (2) | 89,640 | 89,442 | ||||||
4.00%, 06/25/2054 (Acquired 09/09/2014, Cost $859,858) (2) | 877,000 | 859,134 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL3 | ||||||||
3.13%, 04/25/2053 (Acquired 09/09/2014, Cost $672,734) (2) | 673,471 | 670,866 | ||||||
US Residential Opportunity Fund II Trust 2015-1 | ||||||||
3.72%, 02/27/2035 (Acquired 02/19/2015, Cost $2,141,838) (2) | 2,145,223 | 2,134,767 | ||||||
US Residential Opportunity Fund III Trust 2015-1 | ||||||||
3.72%, 01/27/2035 (Acquired 02/06/2015, Cost $3,734,134) (2) | 3,732,967 | 3,708,832 | ||||||
USAA Auto Owner Trust 2015-1 | ||||||||
1.20%, 06/17/2019 | 1,558,000 | 1,550,814 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 02/06/2015, Cost $4,949,902) (2) | 4,958,758 | 4,872,546 | ||||||
Vibrant CLO Ltd 2015-3 | ||||||||
1.95%, 04/20/2026 | 5,250,000 | 5,186,102 | ||||||
Volkswagen Auto Lease Trust 2015-A | ||||||||
0.87%, 06/20/2017 | 1,228,941 | 1,226,558 | ||||||
VOLT NPL X LLC | ||||||||
3.38%, 10/25/2054 (Acquired 11/13/2014, Cost $749,018) (2) | 749,827 | 742,678 | ||||||
VOLT XIX LLC | ||||||||
3.88%, 04/25/2055 (Acquired 12/15/2014, Cost $1,829,766) (2) | 1,831,535 | 1,823,152 | ||||||
VOLT XL LLC | ||||||||
4.38%, 11/27/2045 (Acquired 12/08/2015, Cost $2,513,088) (2) | 2,515,000 | 2,512,004 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 02/25/2015, Cost $2,199,624) (2) | 2,201,803 | 2,172,009 | ||||||
4.25%, 02/25/2055 (Acquired 02/25/2015, Cost $655,497) (2) | 666,826 | 642,503 | ||||||
VOLT XXIV LLC | ||||||||
3.50%, 02/25/2055 | 4,111,556 | 4,064,977 | ||||||
VOLT XXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/17/2015, Cost $7,030,773) (2) | 7,038,221 | 6,935,565 | ||||||
VOLT XXVI LLC | ||||||||
3.13%, 09/25/2043 (Acquired 09/19/2014, Cost $3,295,556) (2) | 3,299,141 | 3,289,018 | ||||||
4.25%, 09/25/2043 (Acquired 09/19/2014, Cost $1,356,282) (2) | 1,380,166 | 1,370,568 |
Table of Contents
VOLT XXVII LLC | ||||||||
3.38%, 08/27/2057 (Acquired 10/24/2014, Cost $4,104,558) (2) | 4,109,213 | 4,077,376 | ||||||
VOLT XXX LLC | ||||||||
3.63%, 10/25/2057 (Acquired 01/15/2015, Cost $4,393,810) (2) | 4,394,792 | 4,380,444 | ||||||
VOLT XXXI LLC | ||||||||
3.38%, 02/25/2055 (Acquired 01/22/2015, Cost $2,262,607) (2) | 2,264,892 | 2,233,228 | ||||||
VOLT XXXIII LLC | ||||||||
3.50%, 03/25/2055 (Acquired 03/13/2015, Cost $3,421,960) (2) | 3,425,235 | 3,365,411 | ||||||
VOLT XXXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/26/2015, Cost $2,597,051) (2) | 2,599,410 | 2,559,866 | ||||||
VOLT XXXVIII, LLC | ||||||||
3.88%, 09/25/2045 (Acquired 09/10/2015, Cost $1,174,284) (2) | 1,175,246 | 1,162,780 | ||||||
Voya CLO 2013-3 Ltd | ||||||||
1.77%, 01/18/2026 (Acquired 11/26/2013, Cost $7,400,000) (2) | 7,400,000 | 7,314,160 | ||||||
2.12%, 01/18/2026 (Acquired 11/26/2013, Cost $8,879,228) (2) | 9,000,000 | 8,794,800 | ||||||
Westgate Resorts 2012-A LLC | ||||||||
2.25%, 08/20/2025 (Acquired 01/12/2015, Cost $895,582) (2) | 894,426 | 893,816 | ||||||
Westgate Resorts 2015-1 LLC | ||||||||
2.75%, 05/20/2027 (Acquired 02/20/2015, Cost $489,120) (2) | 489,164 | 483,943 | ||||||
Westgate Resorts LLC | ||||||||
2.50%, 03/20/2025 (Acquired 10/28/2013, Cost $214,326) (2) | 214,507 | 214,474 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
0.81%, 02/15/2022 | 964,000 | 958,174 | ||||||
World Omni Auto Receivables Trust 2015-A | ||||||||
0.79%, 07/16/2018 | 756,378 | 755,322 | ||||||
1.34%, 05/15/2020 | 643,000 | 639,930 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $980,155,536) | $ | 975,274,170 | ||||||
|
| |||||||
Corporate Bonds - 30.18% | ||||||||
Basic Materials - 1.21% | ||||||||
Agrium Inc | ||||||||
3.15%, 10/01/2022 | 875,000 | $ | 837,155 | |||||
3.38%, 03/15/2025 | 430,000 | 392,539 | ||||||
4.13%, 03/15/2035 | 1,960,000 | 1,667,184 | ||||||
6.13%, 01/15/2041 | 2,850,000 | 3,035,313 | ||||||
5.25%, 01/15/2045 | 712,000 | 663,674 | ||||||
Alcoa Inc | ||||||||
6.15%, 08/15/2020 | 3,484,000 | 3,597,230 | ||||||
Anglo American Capital PLC | ||||||||
9.38%, 04/08/2019 (Acquired 10/28/2013, Cost $250,400) (2) | 215,000 | 193,500 | ||||||
Barrick PD Australia Finance Pty Ltd | ||||||||
5.95%, 10/15/2039 | 2,574,000 | 1,756,341 | ||||||
BHP Billiton Finance USA Ltd | ||||||||
5.40%, 03/29/2017 | 165,000 | 171,896 | ||||||
6.50%, 04/01/2019 | 284,000 | 312,860 | ||||||
3.85%, 09/30/2023 | 646,000 | 611,711 | ||||||
5.00%, 09/30/2043 | 3,530,000 | 3,198,819 | ||||||
6.25%, 10/19/2075 (Acquired 10/14/2015, Cost $2,655,000) (2) | 2,655,000 | 2,598,581 |
Table of Contents
CF Industries Inc | ||||||||
7.13%, 05/01/2020 | 900,000 | 1,015,859 | ||||||
5.38%, 03/15/2044 | 2,040,000 | 1,774,124 | ||||||
Corp Nacional del Cobre de Chile | ||||||||
4.88%, 11/04/2044 (Acquired 07/28/2015, Cost $342,659) (2) | 370,000 | 295,226 | ||||||
Dow Chemical Co/The | ||||||||
8.55%, 05/15/2019 | 96,000 | 113,181 | ||||||
4.13%, 11/15/2021 | 940,000 | 985,773 | ||||||
3.00%, 11/15/2022 | 448,000 | 429,178 | ||||||
7.38%, 11/01/2029 | 339,000 | 418,900 | ||||||
5.25%, 11/15/2041 | 199,000 | 193,967 | ||||||
4.38%, 11/15/2042 | 1,570,000 | 1,367,845 | ||||||
Eastman Chemical Co | ||||||||
2.70%, 01/15/2020 | 7,390,000 | 7,319,994 | ||||||
4.50%, 01/15/2021 | 5,175,000 | 5,458,528 | ||||||
Ecolab Inc | ||||||||
1.45%, 12/08/2017 | 5,928,000 | 5,872,146 | ||||||
2.25%, 01/12/2020 | 233,000 | 231,740 | ||||||
5.50%, 12/08/2041 | 103,000 | 112,121 | ||||||
EI du Pont de Nemours & Co | ||||||||
5.60%, 12/15/2036 | 155,000 | 160,202 | ||||||
4.90%, 01/15/2041 | 161,000 | 153,956 | ||||||
Freeport-McMoRan Inc | ||||||||
2.15%, 03/01/2017 | 1,001,000 | 915,915 | ||||||
3.55%, 03/01/2022 | 5,025,000 | 2,914,500 | ||||||
3.88%, 03/15/2023 | 844,000 | 481,080 | ||||||
5.40%, 11/14/2034 | 1,159,000 | 614,270 | ||||||
5.45%, 03/15/2043 | 841,000 | 437,320 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020 (Acquired 11/22/2013, Cost $3,459,455) (2) | 3,160,000 | 3,486,775 | ||||||
3.73%, 07/15/2023 (Acquired 12/10/2013, Cost $5,264,810) (2) | 5,380,000 | 5,444,668 | ||||||
Glencore Finance Canada Ltd | ||||||||
5.80%, 11/15/2016 (Acquired 10/28/2013 through 11/26/2013, Cost $193,748) (2) | 188,000 | 187,295 | ||||||
4.50%, 10/25/2022 (Acquired 11/20/2013, Cost $4,837,197) (2) | 5,000,000 | 3,775,000 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019 (Acquired 10/28/2013, Cost $525,035) (2) | 537,000 | 448,395 | ||||||
4.13%, 05/30/2023 (Acquired 12/02/2013, Cost $51,942) (2) | 54,000 | 39,825 | �� | |||||
4.63%, 04/29/2024 (Acquired 04/22/2014, Cost $1,026,451) (2) | 1,000,000 | 724,200 | ||||||
Goldcorp Inc | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,699,784 | ||||||
International Paper Co | ||||||||
5.00%, 09/15/2035 | 2,065,000 | 2,047,850 | ||||||
6.00%, 11/15/2041 | 3,150,000 | 3,303,314 | ||||||
5.15%, 05/15/2046 | 1,085,000 | 1,032,220 | ||||||
Lubrizol Corp | ||||||||
8.88%, 02/01/2019 | 1,205,000 | 1,439,697 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 729,200 | ||||||
4.88%, 03/15/2044 | 1,500,000 | 1,369,709 |
Table of Contents
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/2019 | 3,690,000 | 3,925,319 | ||||||
4.63%, 02/26/2055 | 545,000 | 441,970 | ||||||
MeadWestvaco Corp | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,761,413 | ||||||
9.75%, 06/15/2020 | 17,000 | 20,933 | ||||||
8.20%, 01/15/2030 | 537,000 | 696,209 | ||||||
Monsanto Co | ||||||||
4.40%, 07/15/2044 | 605,000 | 501,099 | ||||||
4.70%, 07/15/2064 | 91,000 | 69,095 | ||||||
Mosaic Co/The | ||||||||
3.75%, 11/15/2021 | 1,227,000 | 1,230,493 | ||||||
4.25%, 11/15/2023 | 9,279,000 | 9,190,887 | ||||||
5.45%, 11/15/2033 | 814,000 | 822,542 | ||||||
4.88%, 11/15/2041 | 52,000 | 45,265 | ||||||
5.63%, 11/15/2043 | 3,515,000 | 3,369,307 | ||||||
Nucor Corp | ||||||||
4.00%, 08/01/2023 | 176,000 | 170,710 | ||||||
Placer Dome Inc | ||||||||
6.45%, 10/15/2035 | 203,000 | 157,328 | ||||||
Potash Corp of Saskatchewan Inc | ||||||||
3.25%, 12/01/2017 | 31,000 | 31,675 | ||||||
6.50%, 05/15/2019 | 392,000 | 443,600 | ||||||
3.00%, 04/01/2025 | 1,100,000 | 1,033,768 | ||||||
PPG Industries Inc | ||||||||
6.65%, 03/15/2018 | 112,000 | 122,697 | ||||||
9.00%, 05/01/2021 | 217,000 | 275,798 | ||||||
5.50%, 11/15/2040 | 118,000 | 131,444 | ||||||
Praxair Inc | ||||||||
5.20%, 03/15/2017 | 50,000 | 52,190 | ||||||
Rio Tinto Alcan Inc | ||||||||
5.75%, 06/01/2035 | 54,000 | 52,425 | ||||||
Rio Tinto Finance USA Ltd | ||||||||
9.00%, 05/01/2019 | 797,000 | 930,539 | ||||||
3.50%, 11/02/2020 | 132,000 | 129,436 | ||||||
3.75%, 09/20/2021 | 388,000 | 377,340 | ||||||
3.75%, 06/15/2025 | 8,735,000 | 7,935,424 | ||||||
Rio Tinto Finance USA PLC | ||||||||
1.63%, 08/21/2017 | 461,000 | 454,405 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023 (Acquired 10/28/2013, Cost $537,576) (2) | 537,000 | 171,840 | ||||||
Southern Copper Corp | ||||||||
5.88%, 04/23/2045 | 2,300,000 | 1,760,024 | ||||||
Teck Resources Ltd | ||||||||
4.75%, 01/15/2022 | 1,709,000 | 828,865 | ||||||
3.75%, 02/01/2023 | 453,000 | 209,512 |
Table of Contents
Union Carbide Corp | ||||||||
7.50%, 06/01/2025 | 624,000 | 742,519 | ||||||
7.75%, 10/01/2096 | 681,000 | 813,272 | ||||||
Vale Overseas Ltd | ||||||||
4.38%, 01/11/2022 | 5,000,000 | 3,784,145 | ||||||
8.25%, 01/17/2034 | 424,000 | 339,671 | ||||||
6.88%, 11/21/2036 | 167,000 | 116,740 | ||||||
6.88%, 11/10/2039 | 107,000 | 74,355 | ||||||
|
| |||||||
121,244,814 | ||||||||
|
| |||||||
Communications - 2.41% | ||||||||
21st Century Fox America Inc | ||||||||
8.00%, 10/17/2016 | 114,000 | 119,925 | ||||||
7.25%, 05/18/2018 | 203,000 | 226,477 | ||||||
3.00%, 09/15/2022 | 380,000 | 374,488 | ||||||
8.88%, 04/26/2023 | 108,000 | 141,319 | ||||||
9.50%, 07/15/2024 | 175,000 | 238,411 | ||||||
7.30%, 04/30/2028 | 454,000 | 544,122 | ||||||
7.63%, 11/30/2028 | 310,000 | 390,894 | ||||||
6.20%, 12/15/2034 | 258,000 | 292,791 | ||||||
6.65%, 11/15/2037 | 310,000 | 360,239 | ||||||
6.90%, 08/15/2039 | 155,000 | 183,258 | ||||||
Amazon.com Inc | ||||||||
3.80%, 12/05/2024 | 1,086,000 | 1,130,341 | ||||||
4.80%, 12/05/2034 | 854,000 | 898,702 | ||||||
America Movil SAB de CV | ||||||||
2.38%, 09/08/2016 | 441,000 | 442,632 | ||||||
5.00%, 10/16/2019 | 3,500,000 | 3,781,088 | ||||||
5.00%, 03/30/2020 | 7,300,000 | 7,922,121 | ||||||
3.13%, 07/16/2022 | 374,000 | 367,480 | ||||||
6.13%, 03/30/2040 | 283,000 | 310,929 | ||||||
AT&T Inc | ||||||||
5.50%, 02/01/2018 | 543,000 | 580,446 | ||||||
4.45%, 05/15/2021 | 362,000 | 385,434 | ||||||
3.88%, 08/15/2021 | 494,000 | 511,132 | ||||||
3.00%, 02/15/2022 | 1,219,000 | 1,195,617 | ||||||
3.00%, 06/30/2022 | 2,649,000 | 2,576,870 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,831,008 | ||||||
3.40%, 05/15/2025 | 4,538,000 | 4,361,994 | ||||||
4.50%, 05/15/2035 | 6,946,000 | 6,424,744 | ||||||
6.30%, 01/15/2038 | 743,000 | 813,384 | ||||||
5.35%, 09/01/2040 | 1,094,000 | 1,080,533 | ||||||
4.30%, 12/15/2042 | 2,472,000 | 2,112,057 | ||||||
4.80%, 06/15/2044 | 4,305,000 | 3,943,965 | ||||||
4.35%, 06/15/2045 | 511,000 | 439,156 | ||||||
4.75%, 05/15/2046 | 3,860,000 | 3,533,537 | ||||||
BellSouth LLC | ||||||||
6.88%, 10/15/2031 | 1,100,000 | 1,202,430 | ||||||
6.55%, 06/15/2034 | 2,520,000 | 2,634,879 |
Table of Contents
British Telecommunications PLC | ||||||||
5.95%, 01/15/2018 | 289,000 | 311,611 | ||||||
2.35%, 02/14/2019 | 220,000 | 220,605 | ||||||
9.63%, 12/15/2030 | 721,000 | 1,053,154 | ||||||
CBS Corp | ||||||||
1.95%, 07/01/2017 | 4,840,000 | 4,841,868 | ||||||
3.70%, 08/15/2024 | 848,000 | 825,131 | ||||||
4.00%, 01/15/2026 | 1,000,000 | 975,695 | ||||||
5.50%, 05/15/2033 | 77,000 | 76,088 | ||||||
5.90%, 10/15/2040 | 67,000 | 69,337 | ||||||
4.90%, 08/15/2044 | 315,000 | 286,393 | ||||||
CCO Safari II LLC | ||||||||
3.58%, 07/23/2020 (Acquired 07/09/2015, Cost $3,544,544) (2) | 3,548,000 | 3,527,677 | ||||||
4.46%, 07/23/2022 (Acquired 07/09/2015, Cos $1,753,000) (2) | 1,753,000 | 1,746,900 | ||||||
6.38%, 10/23/2035 (Acquired 07/09/2015 through 07/29/2015, Cost $2,035,709) (2) | 2,005,000 | 2,023,516 | ||||||
6.83%, 10/23/2055 (Acquired 07/09/2015, Cost $690,000) (2) | 690,000 | 678,914 | ||||||
Centel Capital Corp | ||||||||
9.00%, 10/15/2019 | 464,000 | 531,558 | ||||||
CenturyLink Inc | ||||||||
5.15%, 06/15/2017 | 322,000 | 330,855 | ||||||
Cisco Systems Inc | ||||||||
5.50%, 02/22/2016 | 155,000 | 155,989 | ||||||
2.90%, 03/04/2021 | 186,000 | 191,285 | ||||||
3.00%, 06/15/2022 | 889,000 | 904,260 | ||||||
3.63%, 03/04/2024 | 550,000 | 574,209 | ||||||
3.50%, 06/15/2025 | 467,000 | 480,825 | ||||||
5.90%, 02/15/2039 | 515,000 | 628,166 | ||||||
5.50%, 01/15/2040 | 481,000 | 564,316 | ||||||
Comcast Cable Communications Holdings Inc | ||||||||
9.46%, 11/15/2022 | 542,000 | 748,355 | ||||||
Comcast Cable Communications LLC | ||||||||
8.88%, 05/01/2017 | 103,000 | 112,939 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 246,807 | ||||||
Comcast Corp | ||||||||
6.50%, 01/15/2017 | 103,000 | 108,422 | ||||||
4.25%, 01/15/2033 | 1,895,000 | 1,862,029 | ||||||
4.20%, 08/15/2034 | 4,915,000 | 4,867,993 | ||||||
6.50%, 11/15/2035 | 1,342,000 | 1,681,907 | ||||||
6.45%, 03/15/2037 | 310,000 | 385,809 | ||||||
6.95%, 08/15/2037 | 107,000 | 140,161 | ||||||
Cox Communications Inc | ||||||||
3.25%, 12/15/2022 (Acquired 10/28/2013, Cost $323,057) (2) | 348,000 | 316,329 | ||||||
3.85%, 02/01/2025 (Acquired 12/01/2014, Cost $1,996,991) (2) | 2,000,000 | 1,833,770 | ||||||
4.80%, 02/01/2035 (Acquired 12/05/2014, Cost $7,148,460) (2) | 7,150,000 | 5,914,909 | ||||||
8.38%, 03/01/2039 (Acquired 10/28/2013, Cost $164,101) (2) | 134,000 | 147,588 | ||||||
Cox Enterprises Inc | ||||||||
7.38%, 07/15/2027 (Acquired 10/28/2013, Cost $315,981) (2) | 273,000 | 313,720 | ||||||
Crown Castle Towers LLC | ||||||||
3.22%, 05/15/2022 (Acquired 04/30/2015, Cost $589,000) (2) | 589,000 | 581,143 |
Table of Contents
Deutsche Telekom International Finance BV | ||||||||
2.25%, 03/06/2017 (Acquired 10/28/2013 through 12/11/2013, Cost $4,567,224) (2) | 4,529,000 | 4,557,352 | ||||||
6.00%, 07/08/2019 | 209,000 | 233,970 | ||||||
8.75%, 06/15/2030 | 648,000 | 898,953 | ||||||
4.88%, 03/06/2042 (Acquired 10/28/2013, Cost $233,205) (2) | 240,000 | 244,406 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co Inc | ||||||||
4.60%, 02/15/2021 | 578,000 | 612,378 | ||||||
3.80%, 03/15/2022 | 1,665,000 | 1,676,538 | ||||||
3.95%, 01/15/2025 | 205,000 | 202,251 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,153,598 | ||||||
6.38%, 03/01/2041 | 329,000 | 353,114 | ||||||
5.15%, 03/15/2042 | 730,000 | 680,124 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 770,611 | ||||||
4.95%, 05/15/2042 | 1,161,000 | 971,960 | ||||||
eBay Inc | ||||||||
2.60%, 07/15/2022 | 2,356,000 | 2,193,886 | ||||||
3.45%, 08/01/2024 | 960,000 | 917,811 | ||||||
4.00%, 07/15/2042 | 213,000 | 168,210 | ||||||
Grupo Televisa SAB | ||||||||
6.13%, 01/31/2046 | 382,000 | 379,746 | ||||||
GTE Corp | ||||||||
8.75%, 11/01/2021 | 114,000 | 140,925 | ||||||
6.94%, 04/15/2028 | 351,000 | 415,664 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 06/15/2020 (Acquired 05/20/2015, Cost $271,000) (2) | 271,000 | 262,800 | ||||||
3.48%, 06/16/2025 (Acquired 05/20/2015, Cost $314,000) (2) | 314,000 | 309,133 | ||||||
Historic TW Inc | ||||||||
9.15%, 02/01/2023 | 347,000 | 450,484 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 760,688 | ||||||
6.40%, 04/30/2040 | 372,000 | 463,751 | ||||||
5.95%, 04/01/2041 | 527,000 | 630,284 | ||||||
4.45%, 01/15/2043 | 1,765,000 | 1,728,062 | ||||||
New Cingular Wireless Services Inc | ||||||||
8.75%, 03/01/2031 | 1,140,000 | 1,570,520 | ||||||
Nippon Telegraph & Telephone Corp | ||||||||
1.40%, 07/18/2017 | 237,000 | 236,092 | ||||||
Ooredoo International Finance Ltd | ||||||||
3.88%, 01/31/2028 (Acquired 07/30/2015, Cost $1,171,549) (2) | 1,210,000 | 1,147,695 | ||||||
Orange SA | ||||||||
2.75%, 09/14/2016 | 437,000 | 441,898 | ||||||
2.75%, 02/06/2019 | 3,000,000 | 3,042,780 | ||||||
9.00%, 03/01/2031 | 1,393,000 | 1,966,086 | ||||||
Qwest Corp | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 4,049,635 |
Table of Contents
Rogers Communications Inc | ||||||||
4.10%, 10/01/2023 | 1,255,000 | 1,293,739 | ||||||
3.63%, 12/15/2025 | 4,350,000 | 4,279,125 | ||||||
8.75%, 05/01/2032 | 258,000 | 348,799 | ||||||
SK Telecom Co Ltd | ||||||||
6.63%, 07/20/2027 (Acquired 10/28/2013 through 11/27/2013, Cost $428,477) (2) | 361,000 | 462,080 | ||||||
Sky PLC | ||||||||
3.75%, 09/16/2024 (Acquired 09/09/2014, Cost $286,016) (2) | 287,000 | 280,468 | ||||||
Sprint Capital Corp | ||||||||
6.90%, 05/01/2019 | 301,000 | 245,315 | ||||||
8.75%, 03/15/2032 | 38,000 | 28,500 | ||||||
TCI Communications Inc | ||||||||
7.13%, 02/15/2028 | 138,000 | 178,475 | ||||||
Telecom Italia Capital SA | ||||||||
7.00%, 06/04/2018 | 5,000,000 | 5,400,000 | ||||||
7.18%, 06/18/2019 | 215,000 | 237,042 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,660,440 | ||||||
Telefonica Emisiones SAU | ||||||||
6.42%, 06/20/2016 | 468,000 | 478,761 | ||||||
6.22%, 07/03/2017 | 545,000 | 579,193 | ||||||
3.19%, 04/27/2018 | 221,000 | 225,313 | ||||||
5.13%, 04/27/2020 | 500,000 | 546,121 | ||||||
5.46%, 02/16/2021 | 233,000 | 260,433 | ||||||
Telstra Corp Ltd | ||||||||
3.13%, 04/07/2025 (Acquired 03/30/2015, Cost $2,281,347) (2) | 2,285,000 | 2,193,173 | ||||||
Thomson Reuters Corp | ||||||||
4.70%, 10/15/2019 | 222,000 | 237,197 | ||||||
3.95%, 09/30/2021 | 934,000 | 964,527 | ||||||
3.85%, 09/29/2024 | 342,000 | 335,199 | ||||||
4.50%, 05/23/2043 | 312,000 | 271,168 | ||||||
Time Warner Cable Inc | ||||||||
5.85%, 05/01/2017 | 100,000 | 104,616 | ||||||
6.75%, 07/01/2018 | 5,490,000 | 5,991,089 | ||||||
8.75%, 02/14/2019 | 184,000 | 213,504 | ||||||
8.25%, 04/01/2019 | 222,000 | 255,131 | ||||||
6.55%, 05/01/2037 | 375,000 | 379,290 | ||||||
7.30%, 07/01/2038 | 758,000 | 822,042 | ||||||
6.75%, 06/15/2039 | 539,000 | 540,917 | ||||||
5.88%, 11/15/2040 | 475,000 | 450,048 | ||||||
5.50%, 09/01/2041 | 385,000 | 347,912 | ||||||
Time Warner Entertainment Co LP | ||||||||
8.38%, 07/15/2033 | 879,000 | 1,037,006 | ||||||
Time Warner Inc | ||||||||
4.75%, 03/29/2021 | 585,000 | 629,103 | ||||||
4.00%, 01/15/2022 | 900,000 | 932,791 | ||||||
7.57%, 02/01/2024 | 330,000 | 403,782 | ||||||
3.60%, 07/15/2025 | 6,160,000 | 5,999,335 | ||||||
7.63%, 04/15/2031 | 4,513,000 | 5,584,057 | ||||||
7.70%, 05/01/2032 | 842,000 | 1,051,148 |
Table of Contents
6.50%, 11/15/2036 | 257,000 | 290,967 | ||||||
6.20%, 03/15/2040 | 323,000 | 354,688 | ||||||
6.25%, 03/29/2041 | 170,000 | 188,787 | ||||||
5.38%, 10/15/2041 | 181,000 | 185,184 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 1,967,478 | ||||||
4.85%, 07/15/2045 | 1,670,000 | 1,589,214 | ||||||
Twenty-First Century Fox America, Inc. | ||||||||
4.75%, 09/15/2044 | 2,006,000 | 1,929,002 | ||||||
Verizon Communications Inc | ||||||||
1.35%, 06/09/2017 | 889,000 | 886,469 | ||||||
2.63%, 02/21/2020 | 1,205,000 | 1,209,422 | ||||||
4.50%, 09/15/2020 | 1,070,000 | 1,149,775 | ||||||
3.00%, 11/01/2021 | 1,975,000 | 1,970,142 | ||||||
5.15%, 09/15/2023 | 2,630,000 | 2,891,532 | ||||||
6.40%, 09/15/2033 | 7,405,000 | 8,436,731 | ||||||
4.40%, 11/01/2034 | 2,056,000 | 1,896,927 | ||||||
5.85%, 09/15/2035 | 149,000 | 159,255 | ||||||
4.27%, 01/15/2036 | 6,861,000 | 6,192,780 | ||||||
6.55%, 09/15/2043 | 49,000 | 58,172 | ||||||
4.86%, 08/21/2046 | 9,143,000 | 8,649,900 | ||||||
4.52%, 09/15/2048 | 8,941,000 | 7,995,123 | ||||||
5.01%, 08/21/2054 | 5,813,000 | 5,321,278 | ||||||
4.67%, 03/15/2055 | 8,143,000 | 7,063,800 | ||||||
Verizon Maryland LLC | ||||||||
5.13%, 06/15/2033 | 103,000 | 101,863 | ||||||
Verizon New England Inc | ||||||||
7.88%, 11/15/2029 | 1,159,000 | 1,431,970 | ||||||
Verizon New York Inc | ||||||||
7.38%, 04/01/2032 | 91,000 | 102,721 | ||||||
Verizon Pennsylvania LLC | ||||||||
6.00%, 12/01/2028 | 439,000 | 462,913 | ||||||
8.35%, 12/15/2030 | 540,000 | 645,153 | ||||||
Viacom Inc | ||||||||
6.25%, 04/30/2016 | 32,000 | 32,493 | ||||||
2.75%, 12/15/2019 | 149,000 | 147,041 | ||||||
3.88%, 12/15/2021 | 581,000 | 571,435 | ||||||
3.13%, 06/15/2022 | 286,000 | 265,067 | ||||||
3.25%, 03/15/2023 | 69,000 | 63,036 | ||||||
4.85%, 12/15/2034 | 156,000 | 127,392 | ||||||
4.50%, 02/27/2042 | 209,000 | 156,703 | ||||||
4.38%, 03/15/2043 | 718,000 | 525,950 | ||||||
Vodafone Group PLC | ||||||||
1.63%, 03/20/2017 | 857,000 | 855,737 | ||||||
1.50%, 02/19/2018 | 784,000 | 775,337 | ||||||
2.50%, 09/26/2022 | 38,000 | 35,211 | ||||||
2.95%, 02/19/2023 | 40,000 | 37,501 | ||||||
|
| |||||||
240,215,029 | ||||||||
|
|
Table of Contents
Consumer Cyclical - 1.61% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 07/14/2015 $345,545) (2) | 360,036 | 359,586 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 01/31/2021 | 117,613 | 124,670 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 01/15/2023 | 4,464,116 | 4,709,642 | ||||||
American Airlines 2015-1 Class A Pass Through Trust | ||||||||
3.38%, 05/01/2027 | 2,934,443 | 2,831,737 | ||||||
American Honda Finance Corp | ||||||||
2.25%, 08/15/2019 | 739,000 | 740,881 | ||||||
Arrow Electronics Inc | ||||||||
3.00%, 03/01/2018 | 197,000 | 196,838 | ||||||
6.88%, 06/01/2018 | 279,000 | 303,801 | ||||||
6.00%, 04/01/2020 | 478,000 | 519,693 | ||||||
4.50%, 03/01/2023 | 183,000 | 184,895 | ||||||
7.50%, 01/15/2027 | 992,000 | 1,169,722 | ||||||
Bed Bath & Beyond Inc | ||||||||
4.92%, 08/01/2034 | 1,865,000 | 1,662,965 | ||||||
Continental Airlines 1997-4 Class A Pass Through Trust | ||||||||
6.90%, 01/02/2018 | 14,234 | 14,626 | ||||||
Continental Airlines 1999-2 Class A-1 Pass Through Trust | ||||||||
7.26%, 03/15/2020 | 37,943 | 40,978 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 5,966,596 | 6,588,912 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 196,437 | 201,348 | ||||||
CVS Health Corp | ||||||||
3.50%, 07/20/2022 | 3,401,000 | 3,462,425 | ||||||
4.00%, 12/05/2023 | 6,000,000 | 6,235,626 | ||||||
4.88%, 07/20/2035 | 2,771,000 | 2,862,202 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,530,922 | ||||||
5.13%, 07/20/2045 | 869,000 | 915,433 | ||||||
CVS Pass-Through Trust | ||||||||
5.93%, 01/10/2034 (Acquired 10/28/2013, Cost $741,237) (2) | 673,174 | 738,984 | ||||||
Daimler Finance North America LLC | ||||||||
2.63%, 09/15/2016 (Acquired 08/12/2014 through 12/22/2014, Cost $546,498) (2) | 542,000 | 546,699 | ||||||
2.95%, 01/11/2017 (Acquired 10/28/2013, Cost $1,023,999) (2) | 1,011,000 | 1,023,113 | ||||||
1.38%, 08/01/2017 (Acquired 07/24/2014, Cost $3,292,974) (2) | 3,300,000 | 3,270,303 | ||||||
1.88%, 01/11/2018 (Acquired 10/28/2013 through 12/10/2013, Cost $3,076,791) (2) | 3,080,000 | 3,067,880 | ||||||
2.38%, 08/01/2018 (Acquired 10/28/2013, Cost $195,660) (2) | 195,000 | 195,297 | ||||||
2.00%, 08/03/2018 (Acquired 07/28/2015, Cost $299,472) (2) | 300,000 | 298,024 | ||||||
2.25%, 07/31/2019 (Acquired 11/19/2013 through 11/20/2013, Cost $3,222,525) (2) | 3,250,000 | 3,207,711 | ||||||
2.25%, 03/02/2020 (Acquired 02/23/2015, Cost $3,568,083) (2) | 3,575,000 | 3,495,045 | ||||||
2.88%, 03/10/2021 (Acquired 03/03/2014, Cost $698,890) (2) | 700,000 | 690,552 | ||||||
8.50%, 01/18/2031 | 155,000 | 224,787 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 2,940,469 | 3,386,832 | ||||||
Delta Air Lines 2010-2 Class A Pass Through Trust | ||||||||
4.95%, 05/23/2019 | 273,700 | 287,385 |
Table of Contents
Delta Air Lines 2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 94,012 | 99,653 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 05/07/2020 | 316,806 | 334,231 | ||||||
DR Horton Inc | ||||||||
6.50%, 04/15/2016 | 107,000 | 108,070 | ||||||
Ford Motor Co | ||||||||
4.75%, 01/15/2043 | 7,240,000 | 6,824,446 | ||||||
Ford Motor Credit Co LLC | ||||||||
1.46%, 03/27/2017 | 5,710,000 | 5,656,023 | ||||||
2.15%, 01/09/2018 | 386,000 | 384,609 | ||||||
2.24%, 06/15/2018 | 942,000 | 933,498 | ||||||
2.55%, 10/05/2018 | 1,500,000 | 1,489,318 | ||||||
3.16%, 08/04/2020 | 1,300,000 | 1,296,085 | ||||||
3.20%, 01/15/2021 | 3,514,000 | 3,490,495 | ||||||
4.13%, 08/04/2025 | 265,000 | 264,195 | ||||||
Gap Inc/The | ||||||||
5.95%, 04/12/2021 | 368,000 | 389,479 | ||||||
General Motors Co | ||||||||
4.00%, 04/01/2025 | 8,070,000 | 7,645,219 | ||||||
6.25%, 10/02/2043 | 1,754,000 | 1,850,712 | ||||||
General Motors Financial Co Inc | ||||||||
2.63%, 07/10/2017 | 4,820,000 | 4,834,604 | ||||||
3.10%, 01/15/2019 | 4,609,000 | 4,603,280 | ||||||
3.20%, 07/13/2020 | 1,682,000 | 1,656,099 | ||||||
3.45%, 04/10/2022 | 4,820,000 | 4,626,347 | ||||||
Home Depot Inc/The | ||||||||
2.63%, 06/01/2022 | 347,000 | 346,678 | ||||||
5.88%, 12/16/2036 | 5,490,000 | 6,691,959 | ||||||
4.40%, 03/15/2045 | 268,000 | 277,021 | ||||||
4.25%, 04/01/2046 | 655,000 | 669,555 | ||||||
Hyundai Capital America | ||||||||
2.40%, 10/30/2018 (Acquired 10/27/2015, Cost $2,716,692) (2) | 2,717,000 | 2,708,816 | ||||||
Johnson Controls Inc | ||||||||
4.25%, 03/01/2021 | 344,000 | 353,671 | ||||||
3.75%, 12/01/2021 | 475,000 | 478,717 | ||||||
3.63%, 07/02/2024 | 161,000 | 155,543 | ||||||
6.00%, 01/15/2036 | 107,000 | 111,683 | ||||||
5.25%, 12/01/2041 | 722,000 | 661,614 | ||||||
4.63%, 07/02/2044 | 2,316,000 | 1,962,789 | ||||||
4.95%, 07/02/2064 | 1,380,000 | 1,119,852 | ||||||
Lowe’s Cos Inc | ||||||||
3.38%, 09/15/2025 | 477,000 | 484,640 | ||||||
5.50%, 10/15/2035 | 550,000 | 640,760 | ||||||
7.11%, 05/15/2037 | 361,000 | 465,948 | ||||||
5.13%, 11/15/2041 | 238,000 | 263,306 | ||||||
4.65%, 04/15/2042 | 449,000 | 474,590 |
Table of Contents
Macy’s Retail Holdings Inc | ||||||||
7.45%, 07/15/2017 | 134,000 | 144,781 | ||||||
3.45%, 01/15/2021 | 201,000 | 199,919 | ||||||
3.88%, 01/15/2022 | 950,000 | 935,826 | ||||||
2.88%, 02/15/2023 | 421,000 | 381,797 | ||||||
4.38%, 09/01/2023 | 192,000 | 191,304 | ||||||
6.90%, 01/15/2032 | 400,000 | 441,460 | ||||||
4.50%, 12/15/2034 | 368,000 | 307,530 | ||||||
5.13%, 01/15/2042 | 101,000 | 86,808 | ||||||
Marriott International Inc/MD | ||||||||
3.00%, 03/01/2019 | 7,250,000 | 7,349,651 | ||||||
McDonald’s Corp | ||||||||
2.75%, 12/09/2020 | 1,379,000 | 1,378,320 | ||||||
3.70%, 01/30/2026 | 3,712,000 | 3,709,873 | ||||||
4.70%, 12/09/2035 | 216,000 | 215,184 | ||||||
6.30%, 10/15/2037 | 1,054,000 | 1,235,601 | ||||||
4.88%, 12/09/2045 | 2,031,000 | 2,041,937 | ||||||
Nissan Motor Acceptance Corp | ||||||||
1.80%, 03/15/2018 (Acquired 10/28/2013, Cost $720,513) (2) | 727,000 | 723,603 | ||||||
2.65%, 09/26/2018 (Acquired 02/25/2014, Cost $504,546) (2) | 500,000 | 506,384 | ||||||
Nordstrom Inc | ||||||||
4.00%, 10/15/2021 | 398,000 | 420,709 | ||||||
PACCAR Financial Corp | ||||||||
1.05%, 12/06/2018 | 3,000,000 | 3,005,880 | ||||||
Starbucks Corp | ||||||||
4.30%, 06/15/2045 | 604,000 | 626,433 | ||||||
Target Corp | ||||||||
6.00%, 01/15/2018 | 217,000 | 236,542 | ||||||
3.50%, 07/01/2024 | 355,000 | 368,503 | ||||||
Toyota Motor Credit Corp | ||||||||
1.75%, 05/22/2017 | 516,000 | 519,313 | ||||||
1.45%, 01/12/2018 | 3,533,000 | 3,526,482 | ||||||
2.80%, 07/13/2022 | 640,000 | 637,410 | ||||||
US Airways 1998-1A Pass Through Trust | ||||||||
6.85%, 01/30/2018 | 24,358 | 25,820 | ||||||
Walgreen Co | ||||||||
3.10%, 09/15/2022 | 871,000 | 843,859 | ||||||
Walgreens Boots Alliance Inc | ||||||||
3.30%, 11/18/2021 | 907,000 | 889,907 | ||||||
3.80%, 11/18/2024 | 670,000 | 650,522 | ||||||
4.50%, 11/18/2034 | 1,079,000 | 985,368 | ||||||
4.80%, 11/18/2044 | 1,715,000 | 1,557,980 | ||||||
Wal-Mart Stores Inc | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 3,944,884 | ||||||
7.55%, 02/15/2030 | 72,000 | 101,516 | ||||||
5.25%, 09/01/2035 | 124,000 | 141,257 | ||||||
6.20%, 04/15/2038 | 108,000 | 135,419 | ||||||
WW Grainger Inc | ||||||||
4.60%, 06/15/2045 | 423,000 | 442,579 | ||||||
|
| |||||||
160,353,380 | ||||||||
|
|
Table of Contents
Consumer Non-cyclical - 3.59% | ||||||||
AbbVie Inc | ||||||||
1.75%, 11/06/2017 | 866,000 | 864,365 | ||||||
1.80%, 05/14/2018 | 7,230,000 | 7,197,183 | ||||||
2.90%, 11/06/2022 | 574,000 | 555,712 | ||||||
3.20%, 11/06/2022 | 469,000 | 461,846 | ||||||
3.60%, 05/14/2025 | 12,060,000 | 11,903,968 | ||||||
4.50%, 05/14/2035 | 4,031,000 | 3,946,692 | ||||||
Actavis Funding SCS | ||||||||
3.00%, 03/12/2020 | 4,199,000 | 4,195,654 | ||||||
3.45%, 03/15/2022 | 1,198,000 | 1,199,913 | ||||||
3.80%, 03/15/2025 | 2,355,000 | 2,343,190 | ||||||
4.55%, 03/15/2035 | 6,258,000 | 6,082,513 | ||||||
4.75%, 03/15/2045 | 1,020,000 | 994,356 | ||||||
Actavis Inc | ||||||||
3.25%, 10/01/2022 | 271,000 | 266,566 | ||||||
ADT Corp/The | ||||||||
3.50%, 07/15/2022 | 577,000 | 516,415 | ||||||
4.88%, 07/15/2042 | 323,000 | 230,945 | ||||||
Aetna Inc | ||||||||
6.75%, 12/15/2037 | 341,000 | 429,507 | ||||||
4.50%, 05/15/2042 | 205,000 | 201,202 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,823,256 | ||||||
Allergan Inc/United States | ||||||||
2.80%, 03/15/2023 | 700,000 | 659,396 | ||||||
Amgen Inc | ||||||||
5.70%, 02/01/2019 | 204,000 | 224,960 | ||||||
2.13%, 05/01/2020 | 123,000 | 121,372 | ||||||
3.88%, 11/15/2021 | 722,000 | 752,565 | ||||||
2.70%, 05/01/2022 | 5,600,000 | 5,436,200 | ||||||
3.13%, 05/01/2025 | 525,000 | 498,782 | ||||||
5.75%, 03/15/2040 | 4,215,000 | 4,559,707 | ||||||
4.95%, 10/01/2041 | 464,000 | 459,273 | ||||||
5.15%, 11/15/2041 | 1,496,000 | 1,517,602 | ||||||
5.65%, 06/15/2042 | 522,000 | 564,410 | ||||||
5.38%, 05/15/2043 | 1,020,000 | 1,082,950 | ||||||
4.40%, 05/01/2045 | 918,000 | 849,940 | ||||||
Anheuser-Busch Cos LLC | ||||||||
5.50%, 01/15/2018 | 103,000 | 110,116 | ||||||
5.75%, 04/01/2036 | 114,000 | 123,725 | ||||||
Anheuser-Busch InBev Finance Inc | ||||||||
2.63%, 01/17/2023 | 160,000 | 153,616 | ||||||
3.70%, 02/01/2024 | 960,000 | 979,879 | ||||||
4.00%, 01/17/2043 | 2,030,000 | 1,827,985 | ||||||
Anheuser-Busch InBev Worldwide Inc | ||||||||
7.75%, 01/15/2019 | 132,000 | 152,611 |
Table of Contents
Anthem Inc | ||||||||
2.30%, 07/15/2018 | 289,000 | 288,517 | ||||||
3.13%, 05/15/2022 | 484,000 | 475,214 | ||||||
3.30%, 01/15/2023 | 271,000 | 263,484 | ||||||
3.50%, 08/15/2024 | 694,000 | 677,669 | ||||||
4.63%, 05/15/2042 | 400,000 | 377,715 | ||||||
4.65%, 01/15/2043 | 391,000 | 372,222 | ||||||
5.10%, 01/15/2044 | 1,881,000 | 1,886,861 | ||||||
4.65%, 08/15/2044 | 395,000 | 376,448 | ||||||
AstraZeneca PLC | ||||||||
2.38%, 11/16/2020 | 7,302,000 | 7,252,616 | ||||||
3.38%, 11/16/2025 | 3,757,000 | 3,730,164 | ||||||
BAT International Finance PLC | ||||||||
3.95%, 06/15/2025 (Acquired 06/10/2015, Cost $6,989,717) (2) | 7,010,000 | 7,216,171 | ||||||
Baxalta Inc | ||||||||
3.60%, 06/23/2022 (Acquired 06/18/2015, Cost $366,705) (2) | 367,000 | 367,099 | ||||||
5.25%, 06/23/2045 (Acquired 06/18/2015, Cost $2,098,205) (2) | 2,112,000 | 2,118,608 | ||||||
Baxter International Inc | ||||||||
1.85%, 06/15/2018 | 183,000 | 181,901 | ||||||
Bayer US Finance LLC | ||||||||
3.38%, 10/08/2024 (Acquired 10/01/2014, Cost $466,766) (2) | 471,000 | 474,539 | ||||||
Baylor Scott & White Holdings | ||||||||
4.19%, 11/15/2045 | 1,800,000 | 1,702,132 | ||||||
Becton Dickinson and Co | ||||||||
5.00%, 05/15/2019 | 72,000 | 77,767 | ||||||
2.68%, 12/15/2019 | 154,000 | 154,881 | ||||||
3.73%, 12/15/2024 | 4,267,000 | 4,306,163 | ||||||
Biogen Inc | ||||||||
3.63%, 09/15/2022 | 673,000 | 680,535 | ||||||
5.20%, 09/15/2045 | 366,000 | 366,105 | ||||||
Brown-Forman Corp | ||||||||
4.50%, 07/15/2045 | 375,000 | 387,543 | ||||||
Bunge Ltd Finance Corp | ||||||||
3.20%, 06/15/2017 | 4,010,000 | 4,049,458 | ||||||
8.50%, 06/15/2019 | 7,456,000 | 8,630,723 | ||||||
3.50%, 11/24/2020 | 283,000 | 281,550 | ||||||
Bunge NA Finance LP | ||||||||
5.90%, 04/01/2017 | 470,000 | 489,999 | ||||||
Cardinal Health Inc | ||||||||
3.75%, 09/15/2025 | 412,000 | 418,512 | ||||||
4.90%, 09/15/2045 | 315,000 | 321,831 | ||||||
Cargill Inc | ||||||||
6.00%, 11/27/2017 (Acquired 10/28/2013, Cost $171,998) (2) | 160,000 | 171,762 | ||||||
7.35%, 03/06/2019 (Acquired 10/28/2013, Cost $336,169) (2) | 294,000 | 338,252 | ||||||
4.31%, 05/14/2021 (Acquired 10/28/2013, Cost $295,621) (2) | 281,000 | 300,818 | ||||||
3.30%, 03/01/2022 (Acquired 12/28/2013, Cost $792,857) (2) | 800,000 | 805,052 | ||||||
Celgene Corp | ||||||||
3.25%, 08/15/2022 | 1,220,000 | 1,210,384 |
Table of Contents
4.00%, 08/15/2023 | 298,000 | 305,992 | ||||||
3.63%, 05/15/2024 | 686,000 | 675,040 | ||||||
5.00%, 08/15/2045 | 302,000 | 303,155 | ||||||
Cigna Corp | ||||||||
3.25%, 04/15/2025 | 970,000 | 952,624 | ||||||
5.38%, 02/15/2042 | 3,040,000 | 3,330,059 | ||||||
City of Hope | ||||||||
5.62%, 11/15/2043 | 1,522,000 | 1,712,165 | ||||||
Cleveland Clinic Foundation/The | ||||||||
4.86%, 01/01/2114 | 1,278,000 | 1,237,825 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.38%, 11/26/2018 | 9,890,000 | 9,874,334 | ||||||
ConAgra Foods Inc | ||||||||
1.30%, 01/25/2016 | 235,000 | 235,035 | ||||||
5.82%, 06/15/2017 | 644,000 | 679,359 | ||||||
2.10%, 03/15/2018 | 189,000 | 188,445 | ||||||
4.95%, 08/15/2020 | 215,000 | 229,901 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 2,189,568 | ||||||
7.00%, 10/01/2028 | 1,250,000 | 1,476,807 | ||||||
Danaher Corp | ||||||||
2.40%, 09/15/2020 | 280,000 | 280,022 | ||||||
Diageo Investment Corp | ||||||||
8.00%, 09/15/2022 | 516,000 | 654,290 | ||||||
DP World Ltd | ||||||||
6.85%, 07/02/2037 (Acquired 09/25/2013, Cost $1,276,167) (2) | 1,160,000 | 1,139,700 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 03/15/2017 (Acquired 10/28/2013, Cost $278,316) (2) | 275,000 | 278,342 | ||||||
6.38%, 10/15/2017 (Acquired 10/28/2013, Cost $44,140) (2) | 41,000 | 44,031 | ||||||
2.80%, 11/01/2018 (Acquired 01/07/2014, Cost $4,929,711) (2) | 4,875,000 | 4,907,774 | ||||||
2.35%, 10/15/2019 (Acquired 06/30/2014, Cost $7,037,693) (2) | 7,055,000 | 6,955,708 | ||||||
4.50%, 08/16/2021 (Acquired 10/28/2013, Cost $416,890) (2) | 400,000 | 423,427 | ||||||
6.70%, 06/01/2034 (Acquired 10/28/2013, Cost $580,071) (2) | 508,000 | 598,511 | ||||||
5.63%, 03/15/2042 (Acquired 10/28/2013, Cost $368,820) (2) | 357,000 | 383,181 | ||||||
4.50%, 02/15/2045 (Acquired 02/10/2015, Cost $296,591) (2) | 300,000 | 278,794 | ||||||
Express Scripts Holding Co | ||||||||
2.65%, 02/15/2017 | 7,518,000 | 7,592,248 | ||||||
4.75%, 11/15/2021 | 4,000,000 | 4,289,760 | ||||||
3.50%, 06/15/2024 | 897,000 | 884,191 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 464,075 | ||||||
Forest Laboratories LLC | ||||||||
4.38%, 02/01/2019 (Acquired 01/27/2014 through 02/04/2014, Cost $5,385,944) (2) | 5,100,000 | 5,343,357 | ||||||
5.00%, 12/15/2021 (Acquired 04/01/2014, Cost $5,104,082) (2) | 4,738,000 | 5,150,675 | ||||||
Gilead Sciences Inc | ||||||||
3.25%, 09/01/2022 | 431,000 | 434,129 | ||||||
3.70%, 04/01/2024 | 900,000 | 921,963 | ||||||
3.50%, 02/01/2025 | 374,000 | 377,153 | ||||||
4.60%, 09/01/2035 | 333,000 | 338,420 |
Table of Contents
5.65%, 12/01/2041 | 2,910,000 | 3,315,785 | ||||||
4.75%, 03/01/2046 | 3,132,000 | 3,167,605 | ||||||
GlaxoSmithKline Capital Inc | ||||||||
6.38%, 05/15/2038 | 217,000 | 276,940 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/2022 | 320,000 | 322,624 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024 (Acquired 06/27/2014, Cost $3,004,318) (2) | 3,000,000 | 2,915,637 | ||||||
Heineken NV | ||||||||
1.40%, 10/01/2017 (Acquired 10/28/2013, Cost $297,421) (2) | 299,000 | 297,818 | ||||||
Humana Inc | ||||||||
7.20%, 06/15/2018 | 215,000 | 240,608 | ||||||
JM Smucker Co/The | ||||||||
3.00%, 03/15/2022 | 4,750,000 | 4,726,226 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,180,161 | ||||||
4.50%, 12/05/2043 | 2,780,000 | 3,023,472 | ||||||
Kellogg Co | ||||||||
1.75%, 05/17/2017 | 262,000 | 262,126 | ||||||
3.25%, 05/21/2018 | 234,000 | 239,909 | ||||||
Kimberly-Clark Corp | ||||||||
7.50%, 11/01/2018 | 52,000 | 60,260 | ||||||
2.40%, 03/01/2022 | 140,000 | 138,055 | ||||||
Kraft Foods Group Inc | ||||||||
6.13%, 08/23/2018 | 531,000 | 583,015 | ||||||
5.38%, 02/10/2020 | 138,000 | 151,116 | ||||||
3.50%, 06/06/2022 | 768,000 | 776,657 | ||||||
6.88%, 01/26/2039 | 2,365,000 | 2,803,213 | ||||||
6.50%, 02/09/2040 | 310,000 | 361,081 | ||||||
5.00%, 06/04/2042 | 505,000 | 508,465 | ||||||
Kraft Heinz Foods Co | ||||||||
1.60%, 06/30/2017 (Acquired 06/23/2015 through 06/26/2015, Cost $6,649,237) (2) | 6,640,000 | 6,621,242 | ||||||
2.80%, 07/02/2020 (Acquired 06/23/2015, Cost $3,767,230) (2) | 3,775,000 | 3,766,151 | ||||||
3.95%, 07/15/2025 (Acquired 06/23/2015 through 06/24/2015, Cost $1,476,758) (2) | 1,478,000 | 1,492,309 | ||||||
5.00%, 07/15/2035 (Acquired 06/23/2015, Cost $3,586,608) (2) | 3,555,000 | 3,642,442 | ||||||
Kroger Co/The | ||||||||
6.40%, 08/15/2017 | 62,000 | 66,580 | ||||||
6.15%, 01/15/2020 | 206,000 | 233,166 | ||||||
4.00%, 02/01/2024 | 63,000 | 65,326 | ||||||
7.50%, 04/01/2031 | 1,417,000 | 1,805,001 | ||||||
5.40%, 07/15/2040 | 95,000 | 100,500 | ||||||
5.00%, 04/15/2042 | 1,434,000 | 1,466,938 | ||||||
Laboratory Corp of America Holdings | ||||||||
4.63%, 11/15/2020 | 6,630,000 | 6,984,778 | ||||||
3.20%, 02/01/2022 | 1,127,000 | 1,106,491 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,697,076 | ||||||
Mead Johnson Nutrition Co. | ||||||||
4.13%, 11/15/2025 | 891,000 | 898,163 |
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Medtronic Inc | ||||||||
3.15%, 03/15/2022 | 815,000 | 824,037 | ||||||
3.50%, 03/15/2025 | 13,000,000 | 13,153,907 | ||||||
4.38%, 03/15/2035 | 2,887,000 | 2,916,756 | ||||||
4.63%, 03/15/2045 | 1,363,000 | 1,405,290 | ||||||
Merck & Co Inc | ||||||||
2.40%, 09/15/2022 | 376,000 | 368,493 | ||||||
2.80%, 05/18/2023 | 361,000 | 359,463 | ||||||
4.15%, 05/18/2043 | 4,000,000 | 4,015,844 | ||||||
3.70%, 02/10/2045 | 70,000 | 65,084 | ||||||
Mondelez International Inc | ||||||||
2.25%, 02/01/2019 | 6,550,000 | 6,548,500 | ||||||
4.00%, 02/01/2024 | 1,590,000 | 1,640,074 | ||||||
Mylan Inc | ||||||||
2.55%, 03/28/2019 | 600,000 | 592,163 | ||||||
New York and Presbyterian Hospital/The | ||||||||
4.02%, 08/01/2045 | 125,000 | 117,999 | ||||||
Novartis Capital Corp | ||||||||
2.40%, 09/21/2022 | 6,440,000 | 6,343,348 | ||||||
3.40%, 05/06/2024 | 922,000 | 952,467 | ||||||
NYU Hospitals Center | ||||||||
5.75%, 07/01/2043 | 936,000 | 1,068,014 | ||||||
PepsiCo Inc | ||||||||
7.90%, 11/01/2018 | 24,000 | 28,125 | ||||||
3.00%, 08/25/2021 | 258,000 | 265,978 | ||||||
3.10%, 07/17/2022 | 593,000 | 608,168 | ||||||
4.60%, 07/17/2045 | 278,000 | 293,947 | ||||||
Perrigo Co PLC | ||||||||
2.30%, 11/08/2018 | 4,223,000 | 4,163,587 | ||||||
Pfizer Inc | ||||||||
6.05%, 03/30/2017 | 537,000 | 569,284 | ||||||
3.00%, 06/15/2023 | 449,000 | 452,530 | ||||||
5.80%, 08/12/2023 | 4,000,000 | 4,679,884 | ||||||
4.30%, 06/15/2043 | 4,170,000 | 4,175,116 | ||||||
Procter & Gamble - Esop | ||||||||
9.36%, 01/01/2021 | 160,860 | 192,039 | ||||||
Procter & Gamble Co/The | ||||||||
5.50%, 02/01/2034 | 103,000 | 123,035 | ||||||
Quest Diagnostics Inc | ||||||||
3.50%, 03/30/2025 | 4,820,000 | 4,657,118 | ||||||
Reynolds American Inc | ||||||||
2.30%, 06/12/2018 | 7,430,000 | 7,477,173 | ||||||
4.00%, 06/12/2022 | 4,590,000 | 4,774,770 | ||||||
5.70%, 08/15/2035 | 3,048,000 | 3,339,401 | ||||||
Roche Holdings Inc | ||||||||
3.35%, 09/30/2024 (Acquired 11/13/2014, Cost $790,585) (2) | 780,000 | 798,715 | ||||||
3.00%, 11/10/2025 (Acquired 11/02/2015, Cost $4,689,286) (2) | 4,724,000 | 4,669,887 |
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RR Donnelley & Sons Co | ||||||||
8.60%, 08/15/2016 | 269,000 | 279,424 | ||||||
6.13%, 01/15/2017 | 11,000 | 11,275 | ||||||
7.63%, 06/15/2020 | 107,000 | 110,333 | ||||||
SABMiller Holdings Inc | ||||||||
2.20%, 08/01/2018 (Acquired 12/17/2013, Cost $5,102,553) (2) | 5,080,000 | 5,069,047 | ||||||
3.75%, 01/15/2022 (Acquired 10/28/2013, Cost $1,482,882) (2) | 1,441,000 | 1,482,141 | ||||||
Sysco Corp | ||||||||
3.75%, 10/01/2025 | 277,000 | 280,925 | ||||||
Texas Health Resources | ||||||||
4.33%, 11/15/2055 | 1,000,000 | 956,672 | ||||||
Tyson Foods Inc | ||||||||
4.50%, 06/15/2022 | 4,750,000 | 5,059,121 | ||||||
3.95%, 08/15/2024 | 1,451,000 | 1,489,881 | ||||||
4.88%, 08/15/2034 | 400,000 | 407,976 | ||||||
UnitedHealth Group Inc | ||||||||
1.90%, 07/16/2018 | 291,000 | 291,938 | ||||||
3.38%, 11/15/2021 | 685,000 | 708,050 | ||||||
3.35%, 07/15/2022 | 334,000 | 341,669 | ||||||
2.75%, 02/15/2023 | 186,000 | 182,402 | ||||||
2.88%, 03/15/2023 | 310,000 | 306,738 | ||||||
4.63%, 07/15/2035 | 227,000 | 235,616 | ||||||
6.63%, 11/15/2037 | 562,000 | 716,662 | ||||||
4.38%, 03/15/2042 | 5,170,000 | 5,076,346 | ||||||
4.75%, 07/15/2045 | 2,294,000 | 2,414,013 | ||||||
Ventas Realty LP | ||||||||
3.75%, 05/01/2024 | 382,000 | 374,329 | ||||||
Wm Wrigley Jr Co | ||||||||
2.90%, 10/21/2019 (Acquired 12/10/2013, Cost $4,977,556) (2) | 4,960,000 | 5,007,646 | ||||||
Wyeth LLC | ||||||||
6.45%, 02/01/2024 | 82,000 | 100,314 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
2.70%, 04/01/2020 | 3,790,000 | 3,743,728 | ||||||
3.55%, 04/01/2025 | 6,000,000 | 5,833,506 | ||||||
Zoetis Inc | ||||||||
3.45%, 11/13/2020 | 150,000 | 150,180 | ||||||
3.25%, 02/01/2023 | 1,000,000 | 955,024 | ||||||
4.50%, 11/13/2025 | 336,000 | 340,728 | ||||||
4.70%, 02/01/2043 | 300,000 | 262,006 | ||||||
|
| |||||||
358,295,949 | ||||||||
|
| |||||||
Diversified - 0.08% | ||||||||
Hutchison Whampoa International 09 Ltd | ||||||||
7.63%, 04/09/2019 (Acquired 10/28/2013, Cost $694,925) (2) | 612,000 | 707,372 | ||||||
Hutchison Whampoa International 09/19 Ltd | ||||||||
5.75%, 09/11/2019 (Acquired 12/03/2013, Cost $6,754,647) (2) | 6,175,000 | 6,852,595 | ||||||
Hutchison Whampoa International 12 II Ltd | ||||||||
3.25%, 11/08/2022 (Acquired 10/28/2013, Cost $425,302) (2) | 450,000 | 448,206 | ||||||
MUFG Americas Holdings Corp | ||||||||
2.25%, 02/10/2020 | 360,000 | 354,113 | ||||||
|
| |||||||
8,362,286 | ||||||||
|
|
Table of Contents
Energy - 3.28% | ||||||||
Alberta Energy Co Ltd | ||||||||
7.38%, 11/01/2031 | 274,000 | 250,003 | ||||||
Anadarko Finance Co | ||||||||
7.50%, 05/01/2031 | 206,000 | 218,900 | ||||||
Anadarko Holding Co | ||||||||
7.15%, 05/15/2028 | 170,000 | 173,818 | ||||||
Anadarko Petroleum Corp | ||||||||
6.38%, 09/15/2017 | 722,000 | 757,090 | ||||||
8.70%, 03/15/2019 | 664,000 | 754,529 | ||||||
6.95%, 06/15/2019 | 2,975,000 | 3,249,881 | ||||||
6.45%, 09/15/2036 | 2,685,000 | 2,586,130 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,440,000 | ||||||
4.50%, 07/15/2044 | 1,432,000 | 1,096,313 | ||||||
ANR Pipeline Co | ||||||||
9.63%, 11/01/2021 | 337,000 | 436,293 | ||||||
Apache Corp | ||||||||
6.90%, 09/15/2018 | 258,000 | 283,477 | ||||||
3.25%, 04/15/2022 | 99,000 | 94,298 | ||||||
5.10%, 09/01/2040 | 600,000 | 512,916 | ||||||
4.75%, 04/15/2043 | 416,000 | 357,373 | ||||||
Boardwalk Pipelines LP | ||||||||
4.95%, 12/15/2024 | 257,000 | 223,564 | ||||||
BP Capital Markets PLC | ||||||||
1.38%, 11/06/2017 | 229,000 | 227,668 | ||||||
2.24%, 05/10/2019 | 400,000 | 400,538 | ||||||
3.06%, 03/17/2022 | 757,000 | 742,287 | ||||||
3.25%, 05/06/2022 | 262,000 | 258,908 | ||||||
2.75%, 05/10/2023 | 262,000 | 246,114 | ||||||
3.81%, 02/10/2024 | 4,633,000 | 4,632,106 | ||||||
3.54%, 11/04/2024 | 700,000 | 680,901 | ||||||
3.51%, 03/17/2025 | 45,000 | 43,606 | ||||||
Buckeye Partners LP | ||||||||
2.65%, 11/15/2018 | 2,900,000 | 2,789,971 | ||||||
4.88%, 02/01/2021 | 704,000 | 684,857 | ||||||
4.15%, 07/01/2023 | 738,000 | 632,364 | ||||||
5.85%, 11/15/2043 | 591,000 | 456,226 | ||||||
Burlington Resources Finance Co | ||||||||
7.40%, 12/01/2031 | 53,000 | 63,124 | ||||||
Burlington Resources Inc | ||||||||
8.20%, 03/15/2025 | 206,000 | 249,413 | ||||||
Cameron International Corp | ||||||||
3.60%, 04/30/2022 | 5,900,000 | 5,835,584 | ||||||
4.00%, 12/15/2023 | 163,000 | 163,804 | ||||||
Canadian Natural Resources Ltd | ||||||||
1.75%, 01/15/2018 | 687,000 | 668,292 |
Table of Contents
5.90%, 02/01/2018 | 41,000 | 42,690 | ||||||
7.20%, 01/15/2032 | 41,000 | 40,873 | ||||||
6.45%, 06/30/2033 | 675,000 | 648,872 | ||||||
6.50%, 02/15/2037 | 118,000 | 109,908 | ||||||
6.25%, 03/15/2038 | 478,000 | 435,037 | ||||||
6.75%, 02/01/2039 | 498,000 | 468,983 | ||||||
Cenovus Energy Inc | ||||||||
3.00%, 08/15/2022 | 6,594,000 | 5,850,672 | ||||||
6.75%, 11/15/2039 | 468,000 | 444,994 | ||||||
4.45%, 09/15/2042 | 310,000 | 225,839 | ||||||
CenterPoint Energy Resources Corp | ||||||||
6.13%, 11/01/2017 | 55,000 | 59,183 | ||||||
4.50%, 01/15/2021 | 103,000 | 108,154 | ||||||
Chevron Corp | ||||||||
2.42%, 11/17/2020 | 2,660,000 | 2,646,772 | ||||||
2.36%, 12/05/2022 | 315,000 | 300,991 | ||||||
Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP | ||||||||
1.70%, 05/01/2018 (Acquired 07/13/2015 through 07/28/2015, Cost $2,225,858) (2) | 2,230,000 | 2,202,328 | ||||||
CNOOC Finance 2013 Ltd | ||||||||
3.00%, 05/09/2023 | 2,200,000 | 2,059,127 | ||||||
CNOOC Finance 2015 Australia Pty Ltd | ||||||||
2.63%, 05/05/2020 | 1,583,000 | 1,547,470 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.50%, 05/05/2025 | 670,000 | 637,737 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
1.63%, 04/30/2017 | 1,000,000 | 994,215 | ||||||
4.25%, 04/30/2024 | 1,165,000 | 1,174,231 | ||||||
Conoco Funding Co | ||||||||
7.25%, 10/15/2031 | 54,000 | 62,121 | ||||||
ConocoPhillips | ||||||||
5.20%, 05/15/2018 | 155,000 | 164,637 | ||||||
5.75%, 02/01/2019 | 206,000 | 222,966 | ||||||
2.20%, 05/15/2020 | 328,000 | 317,488 | ||||||
6.00%, 01/15/2020 | 150,000 | 167,126 | ||||||
3.35%, 05/15/2025 | 598,000 | 540,472 | ||||||
4.15%, 11/15/2034 | 608,000 | 526,833 | ||||||
6.50%, 02/01/2039 | 150,000 | 158,067 | ||||||
ConocoPhillips Canada Funding Co I | ||||||||
5.63%, 10/15/2016 | 126,000 | 130,140 | ||||||
DCP Midstream LLC | ||||||||
9.75%, 03/15/2019 (Acquired 10/28/2013 through 12/09/2013, Cost $5,806,076) (2) | 4,960,000 | 5,051,155 | ||||||
Devon Energy Corp | ||||||||
1.05%, 12/15/2016 | 4,000,000 | 3,959,068 | ||||||
2.25%, 12/15/2018 | 3,000,000 | 2,738,655 | ||||||
6.30%, 01/15/2019 | 1,174,000 | 1,209,848 | ||||||
3.25%, 05/15/2022 | 4,175,000 | 3,550,374 | ||||||
7.95%, 04/15/2032 | 2,500,000 | 2,583,390 | ||||||
4.75%, 05/15/2042 | 323,000 | 229,145 | ||||||
5.00%, 06/15/2045 | 1,042,000 | 789,692 |
Table of Contents
Diamond Offshore Drilling Inc | ||||||||
5.70%, 10/15/2039 | 500,000 | 341,619 | ||||||
4.88%, 11/01/2043 | 767,000 | 465,781 | ||||||
Ecopetrol SA | ||||||||
4.13%, 01/16/2025 | 383,000 | 306,400 | ||||||
5.38%, 06/26/2026 | 537,000 | 457,793 | ||||||
Enbridge Energy Partners LP | ||||||||
4.38%, 10/15/2020 | 6,575,000 | 6,416,536 | ||||||
Encana Corp | ||||||||
6.50%, 05/15/2019 | 240,000 | 233,994 | ||||||
6.50%, 08/15/2034 | 118,000 | 95,348 | ||||||
6.63%, 08/15/2037 | 1,714,000 | 1,386,465 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 117,874 | ||||||
3.60%, 02/01/2023 | 716,000 | 589,790 | ||||||
4.75%, 01/15/2026 | 682,000 | 587,002 | ||||||
5.15%, 03/15/2045 | 140,000 | 98,965 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040 (Acquired 10/28/2013, Cost $546,874) (2) | 557,000 | 499,835 | ||||||
EnLink Midstream Partners LP | ||||||||
4.15%, 06/01/2025 | 1,129,000 | �� | 869,003 | |||||
5.05%, 04/01/2045 | 378,000 | 234,368 | ||||||
Ensco PLC | ||||||||
4.70%, 03/15/2021 | 500,000 | 402,766 | ||||||
5.20%, 03/15/2025 | 422,000 | 300,466 | ||||||
5.75%, 10/01/2044 | 333,000 | 219,388 | ||||||
Enterprise Products Operating LLC | ||||||||
5.25%, 01/31/2020 | 417,000 | 439,315 | ||||||
4.05%, 02/15/2022 | 400,000 | 391,478 | ||||||
3.35%, 03/15/2023 | 600,000 | 542,778 | ||||||
3.90%, 02/15/2024 | 3,000,000 | 2,800,104 | ||||||
3.75%, 02/15/2025 | 515,000 | 471,338 | ||||||
3.70%, 02/15/2026 | 304,000 | 272,915 | ||||||
6.65%, 10/15/2034 | 672,000 | 682,567 | ||||||
5.75%, 03/01/2035 | 1,075,000 | 994,035 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 3,198,212 | ||||||
5.10%, 02/15/2045 | 904,000 | 756,647 | ||||||
4.90%, 05/15/2046 | 1,431,000 | 1,169,091 | ||||||
4.95%, 10/15/2054 | 177,000 | 138,460 | ||||||
EOG Resources Inc | ||||||||
6.88%, 10/01/2018 | 186,000 | 207,027 | ||||||
4.10%, 02/01/2021 | 547,000 | 577,047 | ||||||
2.63%, 03/15/2023 | 249,000 | 235,999 | ||||||
EQT Midstream Partners LP | ||||||||
4.00%, 08/01/2024 | 2,000,000 | 1,649,592 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas Inc | ||||||||
6.75%, 02/01/2022 | 649,000 | 399,135 |
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Gazprom OAO Via Gaz Capital SA | ||||||||
9.25%, 04/23/2019 (Acquired 11/21/2013, Cost $2,016,430) (2) | 1,750,000 | 1,954,313 | ||||||
Gulf South Pipeline Co LP | ||||||||
4.00%, 06/15/2022 | 2,000,000 | 1,786,306 | ||||||
Halliburton Co | ||||||||
6.15%, 09/15/2019 | 77,000 | 86,691 | ||||||
2.70%, 11/15/2020 | 2,397,000 | 2,370,290 | ||||||
3.38%, 11/15/2022 | 305,000 | 300,186 | ||||||
3.50%, 08/01/2023 | 1,032,000 | 1,012,938 | ||||||
3.80%, 11/15/2025 | 2,500,000 | 2,435,863 | ||||||
6.70%, 09/15/2038 | 350,000 | 410,474 | ||||||
7.45%, 09/15/2039 | 521,000 | 665,798 | ||||||
7.60%, 08/15/2096 (Acquired 10/28/2013, Cost $351,005) (2) | 258,000 | 319,411 | ||||||
Harvest Operations Corp | ||||||||
2.13%, 05/14/2018 (Acquired 11/26/2014, Cost $374,846) (2) | 375,000 | 373,464 | ||||||
Helmerich & Payne International Drilling Co. | ||||||||
4.65%, 03/15/2025 | 4,710,000 | 4,714,724 | ||||||
Hess Corp | ||||||||
7.88%, 10/01/2029 | 173,000 | 188,995 | ||||||
Husky Energy Inc | ||||||||
6.20%, 09/15/2017 | 3,630,000 | 3,784,925 | ||||||
6.15%, 06/15/2019 | 119,000 | 127,162 | ||||||
Kerr-McGee Corp | ||||||||
6.95%, 07/01/2024 | 127,000 | 136,451 | ||||||
7.88%, 09/15/2031 | 1,191,000 | 1,285,252 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 454,000 | 488,405 | ||||||
5.00%, 10/01/2021 | 4,875,000 | 4,602,736 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,510,893 | ||||||
6.95%, 01/15/2038 | 242,000 | 215,134 | ||||||
6.50%, 09/01/2039 | 107,000 | 88,237 | ||||||
7.50%, 11/15/2040 | 483,000 | 440,541 | ||||||
Kinder Morgan Finance Co LLC | ||||||||
5.70%, 01/05/2016 | 97,000 | 97,000 | ||||||
Kinder Morgan Inc/DE | ||||||||
5.30%, 12/01/2034 | 892,000 | 702,588 | ||||||
5.05%, 02/15/2046 | 1,414,000 | 1,048,583 | ||||||
Korea National Oil Corp | ||||||||
3.13%, 04/03/2017 (Acquired 11/26/2014, Cost $203,787) (2) | 200,000 | 203,082 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 224,907 | ||||||
4.25%, 02/01/2021 | 502,000 | 502,078 | ||||||
3.20%, 03/15/2025 | 386,000 | 337,223 | ||||||
5.15%, 10/15/2043 | 941,000 | 807,184 | ||||||
Marathon Oil Corp | ||||||||
6.00%, 10/01/2017 | 289,000 | 294,579 | ||||||
5.90%, 03/15/2018 | 291,000 | 294,324 | ||||||
2.70%, 06/01/2020 | 3,510,000 | 3,095,855 |
Table of Contents
3.85%, 06/01/2025 | 700,000 | 563,483 | ||||||
6.60%, 10/01/2037 | 410,000 | 351,878 | ||||||
5.20%, 06/01/2045 | 1,167,000 | 830,903 | ||||||
Marathon Petroleum Corp | ||||||||
3.40%, 12/15/2020 | 2,228,000 | 2,188,818 | ||||||
3.63%, 09/15/2024 | 1,241,000 | 1,157,037 | ||||||
Murphy Oil Corp | ||||||||
4.00%, 06/01/2022 | 537,000 | 407,292 | ||||||
Nabors Industries Inc | ||||||||
2.35%, 09/15/2016 | 5,000,000 | 4,975,325 | ||||||
6.15%, 02/15/2018 | 118,000 | 119,743 | ||||||
5.00%, 09/15/2020 | 595,000 | 522,248 | ||||||
4.63%, 09/15/2021 | 1,195,000 | 982,394 | ||||||
National Oilwell Varco Inc | ||||||||
1.35%, 12/01/2017 | 162,000 | 158,526 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 408,000 | 456,311 | ||||||
7.50%, 07/30/2039 | 4,000,000 | 5,156,896 | ||||||
Noble Energy Inc | ||||||||
8.25%, 03/01/2019 | 323,000 | 361,266 | ||||||
5.63%, 05/01/2021 | 686,000 | 671,036 | ||||||
4.15%, 12/15/2021 | 550,000 | 533,188 | ||||||
5.88%, 06/01/2022 | 522,000 | 496,579 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,158,952 | ||||||
5.05%, 11/15/2044 | 386,000 | 311,648 | ||||||
Noble Holding International Ltd | ||||||||
4.00%, 03/16/2018 | 158,000 | 143,090 | ||||||
3.95%, 03/15/2022 | 90,000 | 59,527 | ||||||
6.05%, 03/01/2041 | 500,000 | 298,950 | ||||||
5.25%, 03/15/2042 | 64,000 | 35,467 | ||||||
6.95%, 04/01/2045 | 254,000 | 162,530 | ||||||
Occidental Petroleum Corp | ||||||||
2.70%, 02/15/2023 | 100,000 | 94,124 | ||||||
3.50%, 06/15/2025 | 455,000 | 444,661 | ||||||
4.63%, 06/15/2045 | 158,000 | 153,144 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021 (Acquired 04/30/2014, Cost $422,705) (2) | 425,000 | 408,000 | ||||||
ONEOK Partners LP | ||||||||
6.15%, 10/01/2016 | 365,000 | 374,700 | ||||||
3.20%, 09/15/2018 | 1,300,000 | 1,240,396 | ||||||
8.63%, 03/01/2019 | 353,000 | 389,354 | ||||||
3.80%, 03/15/2020 | 515,000 | 489,691 | ||||||
3.38%, 10/01/2022 | 485,000 | 393,692 | ||||||
4.90%, 03/15/2025 | 2,500,000 | 2,106,503 | ||||||
6.65%, 10/01/2036 | 1,050,000 | 867,899 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 1,905,198 | ||||||
Petrobras Global Finance BV | ||||||||
2.00%, 05/20/2016 | 3,000,000 | 2,955,000 |
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3.50%, 02/06/2017 | 537,000 | 502,095 | ||||||
2.89%, 03/17/2017 | 1,050,000 | 962,062 | ||||||
3.25%, 03/17/2017 | 1,000,000 | 925,000 | ||||||
5.88%, 03/01/2018 | 4,000,000 | 3,560,000 | ||||||
7.88%, 03/15/2019 | 206,000 | 182,310 | ||||||
5.75%, 01/20/2020 | 107,000 | 83,995 | ||||||
5.38%, 01/27/2021 | 743,000 | 553,535 | ||||||
4.38%, 05/20/2023 | 788,000 | 520,080 | ||||||
6.25%, 03/17/2024 | 1,867,000 | 1,339,573 | ||||||
6.75%, 01/27/2041 | 114,000 | 72,960 | ||||||
6.85%, 06/05/2115 | 130,000 | 84,175 | ||||||
Petro-Canada | ||||||||
6.05%, 05/15/2018 | 263,000 | 281,938 | ||||||
5.95%, 05/15/2035 | 350,000 | 350,667 | ||||||
6.80%, 05/15/2038 | 330,000 | 360,833 | ||||||
Petrofac Ltd | ||||||||
3.40%, 10/10/2018 (Acquired 10/28/2013 through 11/14/2013, Cost $5,081,308) (2) | 5,029,000 | 4,777,706 | ||||||
Petroleos Mexicanos | ||||||||
5.75%, 03/01/2018 | 301,000 | 313,341 | ||||||
5.50%, 01/21/2021 | 2,920,000 | 2,945,404 | ||||||
4.88%, 01/24/2022 | 6,000,000 | 5,775,000 | ||||||
4.88%, 01/18/2024 | 363,000 | 338,497 | ||||||
4.25%, 01/15/2025 (Acquired 10/06/2014, Cost $304,385) (2) | 306,000 | 267,750 | ||||||
4.50%, 01/23/2026 (Acquired 01/15/2015, Cost $1,190,998) (2) | 1,193,000 | 1,048,051 | ||||||
6.63%, 06/15/2035 | 647,000 | 578,256 | ||||||
6.38%, 01/23/2045 | 3,002,000 | 2,540,836 | ||||||
5.63%, 01/23/2046 (Acquired 01/15/2015, Cost $3,060,938) (2) | 3,427,000 | 2,622,340 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/2017 | 241,000 | 244,271 | ||||||
4.30%, 04/01/2022 | 5,736,000 | 5,904,432 | ||||||
Phillips 66 Partners LP | ||||||||
2.65%, 02/15/2020 | 3,650,000 | 3,445,045 | ||||||
Pioneer Natural Resources Co | ||||||||
5.88%, 07/15/2016 | 211,000 | 214,303 | ||||||
Plains All American Pipeline LP / PAA Finance Corp | ||||||||
2.60%, 12/15/2019 | 382,000 | 338,857 | ||||||
3.60%, 11/01/2024 | 1,050,000 | 842,799 | ||||||
4.65%, 10/15/2025 | 4,813,000 | 4,203,881 | ||||||
4.90%, 02/15/2045 | 875,000 | 628,898 | ||||||
QEP Resources Inc | ||||||||
6.80%, 03/01/2020 | 107,000 | 96,300 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp | ||||||||
5.88%, 03/01/2022 | 5,000,000 | 4,713,195 | ||||||
4.50%, 11/01/2023 | 4,990,000 | 4,319,090 | ||||||
Reliance Holding USA Inc | ||||||||
5.40%, 02/14/2022 (Acquired 11/20/2013, Cost $1,774,175) (2) | 1,750,000 | 1,893,395 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020 (Acquired 10/28/2013, Cost $190,180) (2) | 215,000 | 197,800 |
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Schlumberger Holdings Corp | ||||||||
3.00%, 12/21/2020 (Acquired 12/10/2015, Cost $4,113,735) (2) | 4,123,000 | 4,070,345 | ||||||
3.63%, 12/21/2022 (Acquired 12/10/2015, Cost $9,086,763) (2) | 9,099,000 | 8,992,514 | ||||||
4.00%, 12/21/2025 (Acquired 12/10/2015 through 12/15/2015, Cost $3,494,416) (2) | 3,499,000 | 3,454,594 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021 (Acquired 10/28/2013, Cost $339,379) (2) | 337,000 | 337,060 | ||||||
3.65%, 12/01/2023 | 3,754,000 | 3,810,302 | ||||||
Shell International Finance BV | ||||||||
4.30%, 09/22/2019 | 310,000 | 330,521 | ||||||
4.38%, 03/25/2020 | 885,000 | 950,639 | ||||||
2.13%, 05/11/2020 | 699,000 | 687,721 | ||||||
3.25%, 05/11/2025 | 7,025,000 | 6,859,315 | ||||||
4.13%, 05/11/2035 | 625,000 | 596,261 | ||||||
6.38%, 12/15/2038 | 619,000 | 731,300 | ||||||
Sinopec Group Overseas Development 2012 Ltd | ||||||||
3.90%, 05/17/2022 (Acquired 06/22/2015, Cost $614,404) (2) | 600,000 | 610,385 | ||||||
Sinopec Group Overseas Development 2013 Ltd | ||||||||
4.38%, 10/17/2023 (Acquired 10/28/2013, Cost $475,979) (2) | 475,000 | 491,175 | ||||||
Sinopec Group Overseas Development 2014 Ltd | ||||||||
1.75%, 04/10/2017 (Acquired 04/02/2014 through 06/22/2015, Cost $4,395,181) (2) | 4,400,000 | 4,384,239 | ||||||
Sinopec Group Overseas Development 2015 Ltd | ||||||||
2.50%, 04/28/2020 (Acquired 04/21/2015, Cost $8,966,734) (2) | 9,000,000 | 8,853,759 | ||||||
Southern Natural Gas Co LLC | ||||||||
5.90%, 04/01/2017 (Acquired 10/28/2013, Cost $157,576) (2) | 150,000 | 152,533 | ||||||
Spectra Energy Capital LLC | ||||||||
8.00%, 10/01/2019 | 515,000 | 585,821 | ||||||
5.65%, 03/01/2020 | 253,000 | 265,809 | ||||||
3.30%, 03/15/2023 | 467,000 | 399,723 | ||||||
7.50%, 09/15/2038 | 1,457,000 | 1,443,828 | ||||||
Spectra Energy Partners LP | ||||||||
2.95%, 09/25/2018 | 306,000 | 300,700 | ||||||
3.50%, 03/15/2025 | 787,000 | 688,844 | ||||||
5.95%, 09/25/2043 | 207,000 | 197,516 | ||||||
4.50%, 03/15/2045 | 3,000,000 | 2,304,819 | ||||||
Statoil ASA | ||||||||
3.13%, 08/17/2017 | 304,000 | 311,827 | ||||||
1.20%, 01/17/2018 | 221,000 | 218,854 | ||||||
5.25%, 04/15/2019 | 382,000 | 416,760 | ||||||
3.15%, 01/23/2022 | 237,000 | 236,411 | ||||||
2.45%, 01/17/2023 | 280,000 | 265,536 | ||||||
2.65%, 01/15/2024 | 663,000 | 620,467 | ||||||
3.25%, 11/10/2024 | 508,000 | 498,573 | ||||||
4.25%, 11/23/2041 | 193,000 | 181,926 | ||||||
Suncor Energy Inc | ||||||||
6.10%, 06/01/2018 | 196,000 | 210,832 | ||||||
3.60%, 12/01/2024 | 677,000 | 638,070 | ||||||
5.95%, 12/01/2034 | 248,000 | 248,471 | ||||||
6.85%, 06/01/2039 | 93,000 | 102,459 |
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Sunoco Logistics Partners Operations LP | ||||||||
5.50%, 02/15/2020 | 410,000 | 425,265 | ||||||
4.25%, 04/01/2024 | 833,000 | 720,847 | ||||||
5.95%, 12/01/2025 | 200,000 | 190,556 | ||||||
4.95%, 01/15/2043 | 1,482,000 | 1,059,824 | ||||||
5.30%, 04/01/2044 | 200,000 | 148,842 | ||||||
5.35%, 05/15/2045 | 633,000 | 469,986 | ||||||
Talisman Energy Inc | ||||||||
7.75%, 06/01/2019 | 682,000 | 734,979 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/2025 | 3,500,000 | 3,074,187 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 10/28/2013, Cost $669,390) (2) | 714,000 | 634,685 | ||||||
Tosco Corp | ||||||||
7.80%, 01/01/2027 | 392,000 | 479,152 | ||||||
8.13%, 02/15/2030 | 361,000 | 451,448 | ||||||
Total Capital Canada Ltd | ||||||||
0.70%, 01/15/2016 | 174,000 | 173,998 | ||||||
Total Capital International SA | ||||||||
1.50%, 02/17/2017 | 218,000 | 218,386 | ||||||
1.55%, 06/28/2017 | 581,000 | 582,509 | ||||||
2.75%, 06/19/2021 | 900,000 | 896,640 | ||||||
2.70%, 01/25/2023 | 144,000 | 138,060 | ||||||
3.75%, 04/10/2024 | 229,000 | 232,716 | ||||||
TransCanada PipeLines Ltd | ||||||||
1.63%, 11/09/2017 | 8,510,000 | 8,440,567 | ||||||
1.88%, 01/12/2018 | 205,000 | 204,220 | ||||||
6.50%, 08/15/2018 | 196,000 | 213,861 | ||||||
7.13%, 01/15/2019 | 273,000 | 304,196 | ||||||
6.20%, 10/15/2037 | 155,000 | 163,099 | ||||||
7.25%, 08/15/2038 | 217,000 | 257,798 | ||||||
Transocean Inc | ||||||||
6.50%, 11/15/2020 | 395,000 | 272,550 | ||||||
7.13%, 12/15/2021 | 697,000 | 450,436 | ||||||
4.30%, 10/15/2022 | 287,000 | 152,110 | ||||||
7.50%, 04/15/2031 | 52,000 | 29,640 | ||||||
8.10%, 12/15/2041 | 153,000 | 87,210 | ||||||
Ultramar Diamond Shamrock Corp | ||||||||
7.20%, 10/15/2017 | 1,800,000 | 1,933,711 | ||||||
Union Electric Co | ||||||||
3.65%, 04/15/2045 | 1,370,000 | 1,235,056 | ||||||
Valero Energy Corp | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 5,023,935 | ||||||
Weatherford International Ltd/Bermuda | ||||||||
4.50%, 04/15/2022 | 249,000 | 179,280 | ||||||
6.50%, 08/01/2036 | 114,000 | 76,950 | ||||||
9.88%, 03/01/2039 | 275,000 | 237,875 | ||||||
5.95%, 04/15/2042 | 97,000 | 68,143 |
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Western Gas Partners LP | ||||||||
5.45%, 04/01/2044 | 680,000 | 539,904 | ||||||
Williams Cos Inc/The | ||||||||
5.75%, 06/24/2044 | 2,500,000 | 1,484,483 | ||||||
Williams Partners LP | ||||||||
4.30%, 03/04/2024 | 2,500,000 | 1,982,008 | ||||||
6.30%, 04/15/2040 | 1,512,000 | 1,160,212 | ||||||
5.80%, 11/15/2043 | 3,550,000 | 2,481,400 | ||||||
Woodside Finance Ltd | ||||||||
3.65%, 03/05/2025 (Acquired 02/26/2015, Cost $3,298,211) (2) | 3,300,000 | 2,925,080 | ||||||
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328,005,158 | ||||||||
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Financials - 13.67% | ||||||||
Abbey National Treasury Services PLC/United Kingdom | ||||||||
2.38%, 03/16/2020 | 7,325,000 | 7,315,390 | ||||||
ABN AMRO Bank NV | ||||||||
1.80%, 06/04/2018 (Acquired 05/28/2015, Cost $1,593,211) (2) | 1,594,000 | 1,580,283 | ||||||
2.50%, 10/30/2018 (Acquired 10/28/13 through 11/15/13, Cost $6,560,527) (2) | 6,542,000 | 6,583,653 | ||||||
2.45%, 06/04/2020 (Acquired 05/28/2015, Cos $1,996,080) (2) | 2,000,000 | 1,982,824 | ||||||
4.75%, 07/28/2025 (Acquired 07/21/2015, Cost $230,402) (2) | 231,000 | 230,238 | ||||||
ACE INA Holdings Inc | ||||||||
2.30%, 11/03/2020 | 7,000,000 | 6,952,813 | ||||||
2.88%, 11/03/2022 | 312,000 | 309,823 | ||||||
2.70%, 03/13/2023 | 300,000 | 293,259 | ||||||
3.15%, 03/15/2025 | 3,409,000 | 3,371,133 | ||||||
3.35%, 05/03/2026 | 2,070,000 | 2,064,030 | ||||||
4.35%, 11/03/2045 | 305,000 | 309,952 | ||||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | 2,720,000 | 3,316,006 | ||||||
AIA Group Ltd | ||||||||
3.20%, 03/11/2025 (Acquired 03/04/2015, Cost $9,268,086) (2) | 9,545,000 | 9,212,949 | ||||||
AIG Global Funding | ||||||||
1.65%, 12/15/2017 (Acquired 12/08/2014, Cost $452,720) (2) | 453,000 | 450,711 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032 (Acquired 10/28/2013, Cost $1,174,392) (2) | 955,000 | 1,225,731 | ||||||
Allstate Corp/The | ||||||||
3.15%, 06/15/2023 | 420,000 | 419,917 | ||||||
Ally Financial Inc | ||||||||
2.75%, 01/30/2017 | 5,000,000 | 4,987,500 | ||||||
8.00%, 12/31/2018 | 43,000 | 47,085 | ||||||
3.50%, 01/27/2019 | 1,000,000 | 986,250 | ||||||
American Express Centurion Bank | ||||||||
6.00%, 09/13/2017 | 506,000 | 542,040 | ||||||
American Express Co | ||||||||
7.00%, 03/19/2018 | 284,000 | 314,958 | ||||||
American Express Credit Corp | ||||||||
2.80%, 09/19/2016 | 831,000 | 841,614 | ||||||
2.38%, 03/24/2017 | 287,000 | 290,134 | ||||||
1.80%, 07/31/2018 | 456,000 | 455,191 |
Table of Contents
2.13%, 03/18/2019 | 637,000 | 637,030 | ||||||
2.25%, 08/15/2019 | 500,000 | 500,072 | ||||||
2.38%, 05/26/2020 | 644,000 | 639,314 | ||||||
2.60%, 09/14/2020 | 333,000 | 333,937 | ||||||
American Honda Finance Corp | ||||||||
2.13%, 02/28/2017 (Acquired 10/28/2013, Cost $427,844) (2) | 425,000 | 429,560 | ||||||
1.50%, 09/11/2017 (Acquired 10/28/2013, Cost $351,423) (2) | 352,000 | 352,404 | ||||||
1.60%, 02/16/2018 (Acquired 10/28/2013, Cost $300,318) (2) | 302,000 | 299,736 | ||||||
American International Group Inc | ||||||||
6.40%, 12/15/2020 | 5,100,000 | 5,884,584 | ||||||
4.13%, 02/15/2024 | 879,000 | 903,364 | ||||||
3.75%, 07/10/2025 | 444,000 | 440,290 | ||||||
3.88%, 01/15/2035 | 376,000 | 331,600 | ||||||
4.80%, 07/10/2045 | 725,000 | 701,036 | ||||||
8.18%, 05/15/2058 | 107,000 | 140,705 | ||||||
American Tower Corp | ||||||||
3.50%, 01/31/2023 | 341,000 | 333,516 | ||||||
American Tower Trust I | ||||||||
1.55%, 03/15/2018 (Acquired 10/28/2013, Cost $388,773) (2) | 396,000 | 386,751 | ||||||
3.07%, 03/15/2023 (Acquired 12/05/2014, Cost $2,879,300) (2) | 2,900,000 | 2,839,658 | ||||||
Ameriprise Financial Inc | ||||||||
7.30%, 06/28/2019 | 215,000 | 248,433 | ||||||
4.00%, 10/15/2023 | 650,000 | 675,281 | ||||||
Ameritech Capital Funding Corp | ||||||||
9.10%, 06/01/2016 | 83,490 | 85,657 | ||||||
6.45%, 01/15/2018 | 321,000 | 345,611 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 598,402 | ||||||
ANZ New Zealand Int’l Ltd/London | ||||||||
1.75%, 03/29/2018 (Acquired 03/24/2015, Cost $2,436,743) (2) | 2,437,000 | 2,420,635 | ||||||
2.60%, 09/23/2019 (Acquired 09/16/2014, Cost $3,648,168) (2) | 3,650,000 | 3,660,443 | ||||||
2.85%, 08/06/2020 (Acquired 07/30/2015, Cos $249,808) (2) | 250,000 | 252,198 | ||||||
Aon Corp | ||||||||
3.13%, 05/27/2016 | 256,000 | 257,988 | ||||||
6.25%, 09/30/2040 | 172,000 | 205,593 | ||||||
Aon PLC | ||||||||
4.00%, 11/27/2023 | 5,000,000 | 5,125,770 | ||||||
3.50%, 06/14/2024 | 815,000 | 796,116 | ||||||
Australia & New Zealand Banking Group Ltd | ||||||||
2.40%, 11/23/2016 (Acquired 10/28/2013, Cost $1,040,067) (2) | 1,028,000 | 1,039,265 | ||||||
4.88%, 01/12/2021 (Acquired 10/28/2013, Cost $319,385) (2) | 296,000 | 325,928 | ||||||
Australia & New Zealand Banking Group Ltd/New York NY | ||||||||
1.45%, 05/15/2018 | 640,000 | 634,004 | ||||||
AXIS Specialty Finance PLC | ||||||||
2.65%, 04/01/2019 | 2,890,000 | 2,878,004 | ||||||
BAC Capital Trust VI | ||||||||
5.63%, 03/08/2035 (c) | 43,000 | 46,396 |
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Bank of America Corp | ||||||||
3.63%, 03/17/2016 | 245,000 | 246,259 | ||||||
6.50%, 08/01/2016 | 515,000 | 530,008 | ||||||
5.63%, 10/14/2016 | 670,000 | 691,194 | ||||||
3.88%, 03/22/2017 | 700,000 | 717,884 | ||||||
6.40%, 08/28/2017 | 2,293,000 | 2,456,207 | ||||||
5.75%, 12/01/2017 | 480,000 | 513,506 | ||||||
2.00%, 01/11/2018 | 1,193,000 | 1,191,589 | ||||||
6.88%, 04/25/2018 | 843,000 | 930,139 | ||||||
5.65%, 05/01/2018 | 825,000 | 887,114 | ||||||
1.95%, 05/12/2018 | 3,913,000 | 3,890,763 | ||||||
6.88%, 11/15/2018 | 1,500,000 | 1,685,534 | ||||||
2.60%, 01/15/2019 | 1,363,000 | 1,367,627 | ||||||
2.65%, 04/01/2019 | 1,400,000 | 1,403,098 | ||||||
7.63%, 06/01/2019 | 360,000 | 416,584 | ||||||
2.25%, 04/21/2020 | 750,000 | 732,071 | ||||||
5.63%, 07/01/2020 | 2,625,000 | 2,916,834 | ||||||
2.63%, 10/19/2020 | 10,626,000 | 10,497,011 | ||||||
5.88%, 01/05/2021 | 15,340,000 | 17,367,258 | ||||||
5.00%, 05/13/2021 | 1,830,000 | 1,999,597 | ||||||
3.30%, 01/11/2023 | 5,843,000 | 5,760,999 | ||||||
4.10%, 07/24/2023 | 217,000 | 224,465 | ||||||
4.13%, 01/22/2024 | 1,600,000 | 1,653,398 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,445,558 | ||||||
4.20%, 08/26/2024 | 5,765,000 | 5,773,371 | ||||||
4.00%, 01/22/2025 | 654,000 | 640,747 | ||||||
3.95%, 04/21/2025 | 5,201,000 | 5,065,041 | ||||||
3.88%, 08/01/2025 | 2,065,000 | 2,096,440 | ||||||
4.25%, 10/22/2026 | 544,000 | 538,525 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 4,062,226 | ||||||
7.75%, 05/14/2038 | 137,000 | 185,754 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 5,191,000 | 5,399,990 | ||||||
2.05%, 12/07/2018 | 10,128,000 | 10,100,168 | ||||||
Bank of Montreal | ||||||||
1.40%, 09/11/2017 | 201,000 | 200,915 | ||||||
2.38%, 01/25/2019 | 215,000 | 216,804 | ||||||
2.55%, 11/06/2022 | 878,000 | 867,445 | ||||||
Bank of New York Mellon Corp/The | ||||||||
4.60%, 01/15/2020 | 387,000 | 419,289 | ||||||
2.60%, 08/17/2020 | 663,000 | 665,783 | ||||||
2.45%, 11/27/2020 | 247,000 | 246,034 | ||||||
3.55%, 09/23/2021 | 355,000 | 372,504 | ||||||
3.65%, 02/04/2024 | 93,000 | 96,613 | ||||||
3.25%, 09/11/2024 | 650,000 | 654,632 | ||||||
3.00%, 02/24/2025 | 5,360,000 | 5,273,356 | ||||||
Bank of Nova Scotia/The | ||||||||
1.45%, 04/25/2018 | 867,000 | 860,398 | ||||||
1.70%, 06/11/2018 | 2,825,000 | 2,814,324 | ||||||
1.85%, 04/14/2020 | 1,900,000 | 1,861,835 |
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Bank of Tokyo-Mitsubishi UFJ Ltd/The | ||||||||
2.35%, 02/23/2017 (Acquired 10/28/2013, Cost $988,511) (2) | 980,000 | 986,873 | ||||||
2.15%, 09/14/2018 (Acquired 09/08/2015, Cost $349,908) (2) | 350,000 | 349,028 | ||||||
2.30%, 03/10/2019 (Acquired 03/04/2014 through 06/26/2015, Cost $5,519,066) (2) | 5,525,000 | 5,503,038 | ||||||
2.35%, 09/08/2019 (Acquired 09/02/2014, Cost $339,915) (2) | 340,000 | 338,359 | ||||||
4.10%, 09/09/2023 (Acquired 10/28/2013, Cost $245,016) (2) | 239,000 | 251,343 | ||||||
3.75%, 03/10/2024 (Acquired 03/04/2014, Cost $3,208,853) (2) | 3,215,000 | 3,294,333 | ||||||
BanPonce Trust I | ||||||||
8.33%, 02/01/2027 | 234,000 | 221,207 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.70%, 01/20/2017 (Acquired 01/14/2014, Cost $1,649,091) (2) | 1,650,000 | 1,653,282 | ||||||
Barclays Bank PLC | ||||||||
5.00%, 09/22/2016 | 114,000 | 116,922 | ||||||
2.25%, 05/10/2017 (Acquired 10/28/2013, Cost $279,032) (2) | 275,000 | 277,927 | ||||||
6.05%, 12/04/2017 (Acquired 10/28/2013, Cost $405,197) (2) | 382,000 | 407,503 | ||||||
6.75%, 05/22/2019 | 430,000 | 488,842 | ||||||
5.13%, 01/08/2020 | 5,500,000 | 6,048,377 | ||||||
3.75%, 05/15/2024 | 647,000 | 659,820 | ||||||
Barclays PLC | ||||||||
2.00%, 03/16/2018 | 2,915,000 | 2,897,603 | ||||||
2.88%, 06/08/2020 | 1,743,000 | 1,739,343 | ||||||
3.65%, 03/16/2025 | 2,522,000 | 2,423,705 | ||||||
5.25%, 08/17/2045 | 413,000 | 416,009 | ||||||
BB&T Corp | ||||||||
1.60%, 08/15/2017 | 384,000 | 384,460 | ||||||
6.85%, 04/30/2019 | 170,000 | 193,805 | ||||||
5.25%, 11/01/2019 | 284,000 | 310,475 | ||||||
2.45%, 01/15/2020 | 1,100,000 | 1,107,334 | ||||||
Bear Stearns Cos LLC/The | ||||||||
7.25%, 02/01/2018 | 4,806,000 | 5,301,782 | ||||||
Berkshire Hathaway Finance Corp | ||||||||
3.00%, 05/15/2022 | 268,000 | 272,730 | ||||||
5.75%, 01/15/2040 | 134,000 | 156,285 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,508,710 | ||||||
4.30%, 05/15/2043 | 322,000 | 315,551 | ||||||
Berkshire Hathaway Inc | ||||||||
3.75%, 08/15/2021 | 605,000 | 645,401 | ||||||
3.40%, 01/31/2022 | 1,798,000 | 1,895,008 | ||||||
BlackRock Inc | ||||||||
5.00%, 12/10/2019 | 959,000 | 1,060,745 | ||||||
3.38%, 06/01/2022 | 493,000 | 510,031 | ||||||
3.50%, 03/18/2024 | 405,000 | 416,023 | ||||||
Blackstone Holdings Finance Co LLC | ||||||||
5.88%, 03/15/2021 (Acquired 10/28/2013, Cost $1,584,331) (2) | 1,445,000 | 1,653,180 | ||||||
4.45%, 07/15/2045 (Acquired 04/22/2015 through 04/23/2015, Cost $168,861) (2) | 170,000 | 159,428 | ||||||
BNP Paribas SA | ||||||||
2.38%, 05/21/2020 | 1,390,000 | 1,376,367 |
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3.25%, 03/03/2023 | 430,000 | 429,527 | ||||||
4.38%, 09/28/2025 (Acquired 09/21/2015, Cost $1,783,258) (2) | 1,800,000 | 1,763,069 | ||||||
BNZ International Funding Ltd/London | ||||||||
2.35%, 03/04/2019 (Acquired 02/25/2014, Cost $515,875) (2) | 516,000 | 513,127 | ||||||
BPCE SA | ||||||||
1.19%, 02/10/2017 | 306,000 | 306,547 | ||||||
1.63%, 01/26/2018 | 1,300,000 | 1,291,602 | ||||||
2.50%, 12/10/2018 | 2,500,000 | 2,521,517 | ||||||
2.50%, 07/15/2019 | 1,000,000 | 1,003,353 | ||||||
5.70%, 10/22/2023 (Acquired 10/28/2013 through 11/04/2013, Cost $3,735,517) (2) | 3,645,000 | 3,827,050 | ||||||
Branch Banking & Trust Co | ||||||||
5.63%, 09/15/2016 | 480,000 | 494,325 | ||||||
0.68%, 05/23/2017 | 2,500,000 | 2,488,010 | ||||||
Caisse Centrale Desjardins | ||||||||
2.55%, 03/24/2016 (Acquired 10/28/2013, Cost $633,731) (2) | 624,000 | 626,394 | ||||||
0.99%, 01/29/2018 (Acquired 01/26/2015, Cost $7,000,000) (2) | 7,000,000 | 6,986,315 | ||||||
Capital One Bank USA NA | ||||||||
2.15%, 11/21/2018 | 5,000,000 | 4,957,000 | ||||||
3.38%, 02/15/2023 | 2,164,000 | 2,118,625 | ||||||
Capital One Financial Corp | ||||||||
2.45%, 04/24/2019 | 353,000 | 353,725 | ||||||
4.75%, 07/15/2021 | 7,058,000 | 7,648,649 | ||||||
3.50%, 06/15/2023 | 942,000 | 936,776 | ||||||
3.75%, 04/24/2024 | 2,580,000 | 2,598,057 | ||||||
3.20%, 02/05/2025 | 350,000 | 338,518 | ||||||
4.20%, 10/29/2025 | 440,000 | 434,661 | ||||||
Capital One NA/Mclean VA | ||||||||
1.01%, 02/05/2018 | 3,000,000 | 2,980,743 | ||||||
1.65%, 02/05/2018 | 4,640,000 | 4,593,971 | ||||||
2.95%, 07/23/2021 | 4,120,000 | 4,079,076 | ||||||
CDP Financial Inc | ||||||||
4.40%, 11/25/2019 (Acquired 10/28/2013, Cost $334,361) (2) | 310,000 | 335,108 | ||||||
Charles Schwab Corp/The | ||||||||
3.23%, 09/01/2022 | 165,000 | 167,215 | ||||||
Chubb Corp/The | ||||||||
5.75%, 05/15/2018 | 117,000 | 127,360 | ||||||
CIT Group Inc | ||||||||
6.63%, 04/01/2018 (Acquired 11/22/2013, Cost $1,391,180) (2) | 1,300,000 | 1,371,500 | ||||||
Citigroup Inc | ||||||||
1.85%, 11/24/2017 | 800,000 | 798,861 | ||||||
1.70%, 04/27/2018 | 1,500,000 | 1,485,820 | ||||||
2.15%, 07/30/2018 | 658,000 | 657,522 | ||||||
2.05%, 12/07/2018 | 3,600,000 | 3,580,906 | ||||||
2.40%, 02/18/2020 | 2,500,000 | 2,471,790 | ||||||
4.50%, 01/14/2022 | 10,000,000 | 10,712,130 | ||||||
3.50%, 05/15/2023 | 5,000,000 | 4,916,465 | ||||||
3.88%, 10/25/2023 | 972,000 | 1,004,595 | ||||||
3.75%, 06/16/2024 | 4,508,000 | 4,591,245 |
Table of Contents
4.40%, 06/10/2025 | 10,157,000 | 10,263,445 | ||||||
5.50%, 09/13/2025 | 494,000 | 536,590 | ||||||
4.30%, 11/20/2026 | 1,570,000 | 1,563,250 | ||||||
4.45%, 09/29/2027 | 1,000,000 | 994,048 | ||||||
6.63%, 01/15/2028 | 387,000 | 470,893 | ||||||
8.13%, 07/15/2039 | 164,000 | 234,395 | ||||||
5.88%, 01/30/2042 | 212,000 | 243,160 | ||||||
4.65%, 07/30/2045 | 222,000 | 224,537 | ||||||
Citizens Bank NA/Providence RI | ||||||||
2.45%, 12/04/2019 | 8,000,000 | 7,872,992 | ||||||
Citizens Financial Group Inc | ||||||||
4.30%, 12/03/2025 | 343,000 | 345,081 | ||||||
CME Group Inc/IL | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,142,507 | ||||||
3.00%, 03/15/2025 | 838,000 | 822,668 | ||||||
5.30%, 09/15/2043 | 115,000 | 131,643 | ||||||
CNA Financial Corp | ||||||||
6.50%, 08/15/2016 | 537,000 | 552,937 | ||||||
7.35%, 11/15/2019 | 700,000 | 806,089 | ||||||
7.25%, 11/15/2023 | 7,470,000 | 8,832,535 | ||||||
3.95%, 05/15/2024 | 523,000 | 520,919 | ||||||
Comerica Bank | ||||||||
2.50%, 06/02/2020 | 8,000,000 | 7,957,512 | ||||||
Comerica Inc | ||||||||
3.80%, 07/22/2026 | 984,000 | 969,084 | ||||||
Commonwealth Bank of Australia | ||||||||
2.25%, 03/16/2017 (Acquired 10/28/2013, Cost $845,845) (2) | 836,000 | 844,689 | ||||||
4.50%, 12/09/2025 (Acquired 12/02/2015, Cost $776,397) (2) | 778,000 | 771,959 | ||||||
Compass Bank | ||||||||
3.88%, 04/10/2025 | 840,000 | 770,536 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
3.38%, 01/19/2017 | 258,000 | 263,728 | ||||||
3.88%, 02/08/2022 | 5,323,000 | 5,618,176 | ||||||
3.95%, 11/09/2022 | 400,000 | 404,929 | ||||||
4.38%, 08/04/2025 | 316,000 | 321,430 | ||||||
5.80%, 09/30/2110 (Acquired 10/28/2013, Cost $375,766) (2) | 361,000 | 394,733 | ||||||
Corp Andina de Fomento | ||||||||
3.75%, 01/15/2016 | 939,000 | 939,667 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,911,681 | ||||||
Countrywide Financial Corp | ||||||||
6.25%, 05/15/2016 | 1,461,000 | 1,485,611 | ||||||
Credit Agricole SA | ||||||||
1.46%, 10/03/2016 (Acquired 10/28/2013, Cost $752,058) (2) | 750,000 | 752,269 | ||||||
6.64%, 05/29/2049 (Acquired 10/28/2013, Cost $104,223) (2) | 107,000 | 108,408 | ||||||
Credit Suisse Group Funding Guernsey Ltd | ||||||||
2.75%, 03/26/2020 (Acquired 03/23/2015, Cost $3,539,455) (2) | 3,541,000 | 3,507,775 | ||||||
3.13%, 12/10/2020 (Acquired 12/07/2015 through 12/11/2015, Cost $8,237,469) (2) | 8,252,000 | 8,218,233 | ||||||
3.80%, 09/15/2022 (Acquired 09/10/2015, Cost $4,106,230) (2) | 4,113,000 | 4,111,421 | ||||||
4.88%, 05/15/2045 (Acquired 05/18/2015, Cost $249,188) (2) | 250,000 | 246,529 |
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Credit Suisse AG/New York NY | ||||||||
1.75%, 01/29/2018 | 375,000 | 373,937 | ||||||
2.30%, 05/28/2019 | 2,413,000 | 2,415,763 | ||||||
5.30%, 08/13/2019 | 169,000 | 186,633 | ||||||
3.00%, 10/29/2021 | 1,265,000 | 1,260,633 | ||||||
3.63%, 09/09/2024 | 560,000 | 564,603 | ||||||
Dai-ichi Life Insurance Co Ltd/The | ||||||||
5.10%, 10/29/2049 | 695,000 | 722,800 | ||||||
Deutsche Bank AG/London | ||||||||
6.00%, 09/01/2017 | 901,000 | 954,363 | ||||||
1.88%, 02/13/2018 | 2,429,000 | 2,408,283 | ||||||
2.50%, 02/13/2019 | 6,000,000 | 6,045,588 | ||||||
2.95%, 08/20/2020 | 1,140,000 | 1,142,092 | ||||||
3.70%, 05/30/2024 | 3,610,000 | 3,596,943 | ||||||
Discover Bank/Greenwood DE | ||||||||
3.10%, 06/04/2020 | 8,000,000 | 8,021,912 | ||||||
3.20%, 08/09/2021 | 1,600,000 | 1,589,862 | ||||||
4.20%, 08/08/2023 | 6,711,000 | 6,856,441 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 2,920,000 | 2,805,592 | ||||||
Duke Realty LP | ||||||||
4.38%, 06/15/2022 | 344,000 | 354,515 | ||||||
Equity Commonwealth | ||||||||
6.65%, 01/15/2018 | 401,000 | 424,411 | ||||||
5.88%, 09/15/2020 | 1,393,000 | 1,497,405 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 647,794 | ||||||
4.63%, 12/15/2021 | 434,000 | 471,228 | ||||||
Export-Import Bank of Korea | ||||||||
4.00%, 01/11/2017 | 200,000 | 204,306 | ||||||
4.38%, 09/15/2021 | 250,000 | 270,078 | ||||||
Fifth Third Bancorp | ||||||||
5.45%, 01/15/2017 | 150,000 | 155,501 | ||||||
2.30%, 03/01/2019 | 382,000 | 382,948 | ||||||
2.88%, 07/27/2020 | 2,625,000 | 2,623,105 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
1.15%, 11/18/2016 | 5,000,000 | 4,994,235 | ||||||
2.38%, 04/25/2019 | 1,100,000 | 1,103,751 | ||||||
First Tennessee Bank NA | ||||||||
5.65%, 04/01/2016 | 1,344,000 | 1,354,124 | ||||||
2.95%, 12/01/2019 | 5,000,000 | 4,963,470 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033 (Acquired 10/28/2013, Cost $247,398) (2) | 250,000 | 260,801 | ||||||
6.45%, 11/15/2039 (Acquired 10/28/2013, Cost $298,387) (2) | 258,000 | 317,989 | ||||||
Ford Motor Credit Co LLC | ||||||||
4.21%, 04/15/2016 | 345,000 | 347,760 | ||||||
1.59%, 05/09/2016 | 332,000 | 332,452 |
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3.00%, 06/12/2017 | 905,000 | 913,835 | ||||||
3.98%, 06/15/2016 | 1,249,000 | 1,262,848 | ||||||
6.63%, 08/15/2017 | 3,473,000 | 3,701,721 | ||||||
1.68%, 09/08/2017 | 944,000 | 932,614 | ||||||
1.72%, 12/06/2017 | 2,000,000 | 1,969,146 | ||||||
2.38%, 03/12/2019 | 2,672,000 | 2,634,774 | ||||||
2.60%, 11/04/2019 | 1,800,000 | 1,767,463 | ||||||
4.25%, 09/20/2022 | 397,000 | 406,179 | ||||||
GE Capital International Funding Co | ||||||||
0.96%, 04/15/2016 (Acquired 01/06/2015, Cost $3,438,925) (2) | 3,483,000 | 3,484,543 | ||||||
2.34%, 11/15/2020 (Acquired 10/28/2013 through 07/28/2015, Cost $20,835,229) (2) | 21,913,000 | 21,752,443 | ||||||
3.37%, 11/15/2025 (Acquired 10/28/2013 through 07/15/2015, Cost $2,645,833) (2) | 2,789,000 | 2,839,936 | ||||||
4.42%, 11/15/2035 (Acquired 03/06/2012, Cost $9,224,840) (2) | 10,513,000 | 10,732,112 | ||||||
General Electric Capital Corp | ||||||||
0.53%, 02/15/2017 | 361,000 | 360,614 | ||||||
5.40%, 02/15/2017 | 155,000 | 162,041 | ||||||
2.30%, 04/27/2017 | 790,000 | 799,725 | ||||||
1.60%, 11/20/2017 | 328,000 | 330,123 | ||||||
6.00%, 08/07/2019 | 157,000 | 177,870 | ||||||
2.10%, 12/11/2019 | 152,000 | 152,041 | ||||||
5.50%, 01/08/2020 | 581,000 | 651,750 | ||||||
2.20%, 01/09/2020 | 161,000 | 161,459 | ||||||
5.55%, 05/04/2020 | 191,000 | 216,033 | ||||||
4.38%, 09/16/2020 | 426,000 | 462,653 | ||||||
4.63%, 01/07/2021 | 2,862,000 | 3,143,661 | ||||||
5.30%, 02/11/2021 | 184,000 | 207,568 | ||||||
4.65%, 10/17/2021 | 2,189,000 | 2,420,496 | ||||||
3.15%, 09/07/2022 | 554,000 | 567,017 | ||||||
3.10%, 01/09/2023 | 516,000 | 523,745 | ||||||
6.75%, 03/15/2032 | 274,000 | 358,018 | ||||||
5.88%, 01/14/2038 | 196,000 | 239,933 | ||||||
6.88%, 01/10/2039 | 2,782,000 | 3,791,860 | ||||||
Genworth Holdings Inc | ||||||||
4.90%, 08/15/2023 | 161,000 | 107,065 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 148,490 | ||||||
Goldman Sachs Group Inc/The | ||||||||
3.63%, 02/07/2016 | 667,000 | 668,690 | ||||||
5.95%, 01/18/2018 | 1,711,000 | 1,842,661 | ||||||
6.15%, 04/01/2018 | 2,084,000 | 2,263,080 | ||||||
2.90%, 07/19/2018 | 263,000 | 268,145 | ||||||
7.50%, 02/15/2019 | 3,617,000 | 4,139,367 | ||||||
2.55%, 10/23/2019 | 1,000,000 | 999,818 | ||||||
5.38%, 03/15/2020 | 2,367,000 | 2,600,247 | ||||||
2.60%, 04/23/2020 | 1,328,000 | 1,324,985 | ||||||
6.00%, 06/15/2020 | 1,514,000 | 1,711,660 | ||||||
2.75%, 09/15/2020 | 396,000 | 395,826 | ||||||
5.25%, 07/27/2021 | 694,000 | 767,672 |
Table of Contents
5.75%, 01/24/2022 | 17,947,000 | 20,411,446 | ||||||
3.63%, 01/22/2023 | 3,915,000 | 3,960,946 | ||||||
3.85%, 07/01/2024 | 723,000 | 738,179 | ||||||
3.50%, 01/23/2025 | 6,509,000 | 6,402,096 | ||||||
3.75%, 05/22/2025 | 288,000 | 290,036 | ||||||
6.75%, 10/01/2037 | 4,938,000 | 5,768,340 | ||||||
5.15%, 05/22/2045 | 128,000 | 124,251 | ||||||
4.75%, 10/21/2045 | 2,581,000 | 2,563,245 | ||||||
Great-West Life & Annuity Insurance Capital LP II | ||||||||
7.15%, 05/16/2046 (Acquired 10/28/2013, Cost $303,325) (2) | 301,000 | 304,010 | ||||||
Guardian Life Insurance Co of America/The | ||||||||
7.38%, 09/30/2039 (Acquired 08/27/2015, Cost $5,310,533) (2) | 4,083,000 | 5,204,004 | ||||||
Hartford Financial Services Group Inc/The | ||||||||
6.00%, 01/15/2019 | 4,591,000 | 5,050,105 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 6,041,832 | ||||||
8.13%, 06/15/2038 | 236,000 | 258,125 | ||||||
HCP Inc | ||||||||
2.63%, 02/01/2020 | 474,000 | 466,871 | ||||||
4.20%, 03/01/2024 | 241,000 | 239,578 | ||||||
3.88%, 08/15/2024 | 1,507,000 | 1,460,612 | ||||||
3.40%, 02/01/2025 | 662,000 | 617,140 | ||||||
Highmark Inc | ||||||||
4.75%, 05/15/2021 (Acquired 10/30/2013 through 11/20/2013, Cost $3,331,990) (2) | 3,322,000 | 3,375,581 | ||||||
HSBC Bank PLC | ||||||||
1.50%, 05/15/2018 (Acquired 10/28/2013, Cost $935,195) (2) | 944,000 | 933,688 | ||||||
4.13%, 08/12/2020 (Acquired 10/28/2013, Cost $644,796) (2) | 615,000 | 655,173 | ||||||
4.75%, 01/19/2021 (Acquired 10/28/2013, Cost $1,486,931) (2) | 1,382,000 | 1,522,342 | ||||||
HSBC Finance Corp | ||||||||
0.84%, 06/01/2016 | 2,605,000 | 2,600,343 | ||||||
6.68%, 01/15/2021 | 2,500,000 | 2,869,390 | ||||||
7.35%, 11/27/2032 | 32,000 | 39,535 | ||||||
HSBC Holdings PLC | ||||||||
4.88%, 01/14/2022 | 743,000 | 815,084 | ||||||
4.00%, 03/30/2022 | 1,494,000 | 1,568,843 | ||||||
4.25%, 03/14/2024 | 3,250,000 | 3,264,983 | ||||||
4.25%, 08/18/2025 | 587,000 | 582,639 | ||||||
6.50%, 09/15/2037 | 226,000 | 271,157 | ||||||
6.10%, 01/14/2042 | 743,000 | 940,418 | ||||||
HSBC USA Inc | ||||||||
1.63%, 01/16/2018 | 769,000 | 765,262 | ||||||
2.35%, 03/05/2020 | 1,256,000 | 1,241,765 | ||||||
2.75%, 08/07/2020 | 247,000 | 247,130 | ||||||
5.00%, 09/27/2020 | 3,000,000 | 3,272,898 | ||||||
9.13%, 05/15/2021 | 75,000 | 94,716 | ||||||
Huntington National Bank/The | ||||||||
2.00%, 06/30/2018 | 440,000 | 437,235 | ||||||
2.20%, 11/06/2018 | 3,328,000 | 3,319,228 | ||||||
2.88%, 08/20/2020 | 4,534,000 | 4,501,210 |
Table of Contents
Hyundai Capital Services Inc | ||||||||
4.38%, 07/27/2016 (Acquired 10/28/2013, Cost $2,404,408) (2) | 2,367,000 | 2,399,901 | ||||||
3.50%, 09/13/2017 (Acquired 10/28/2013, Cost $4,783,367) (2) | 4,650,000 | 4,736,197 | ||||||
Industrial & Commercial Bank of China Ltd/New York | ||||||||
2.35%, 11/13/2017 | 676,000 | 677,789 | ||||||
ING Bank NV | ||||||||
1.38%, 03/07/2016 (Acquired 10/28/2013, Cost $515,722) (2) | 516,000 | 516,457 | ||||||
4.00%, 03/15/2016 (Acquired 10/28/2013, Cost $393,958) (2) | 392,000 | 394,462 | ||||||
3.75%, 03/07/2017 (Acquired 10/28/2013, Cost $1,397,797) (2) | 1,369,000 | 1,402,579 | ||||||
2.00%, 11/26/2018 (Acquired 11/17/2015, Cost $4,258,112) (2) | 4,269,000 | 4,252,005 | ||||||
2.50%, 10/01/2019 (Acquired 09/23/2014, Cost $1,145,056) (2) | 1,150,000 | 1,152,398 | ||||||
2.45%, 03/16/2020 (Acquired 03/10/2015, Cost $1,996,824) (2) | 2,000,000 | 1,994,518 | ||||||
5.80%, 09/25/2023 (Acquired 01/14/2014, Cost $5,025,812) (2) | 4,800,000 | 5,215,445 | ||||||
Intercontinental Exchange Inc | ||||||||
2.50%, 10/15/2018 | 243,000 | 245,160 | ||||||
4.00%, 10/15/2023 | 578,000 | 595,697 | ||||||
International Bank for Reconstruction & Development | ||||||||
0.00%, 02/15/2016 | 980,000 | 979,824 | ||||||
2.25%, 06/24/2021 | 11,190,000 | 11,308,054 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.13%, 01/15/2016 | 3,200,000 | 3,201,597 | ||||||
Invesco Finance PLC | ||||||||
3.13%, 11/30/2022 | 710,000 | 700,431 | ||||||
4.00%, 01/30/2024 | 2,400,000 | 2,481,161 | ||||||
3.75%, 01/15/2026 | 4,249,000 | 4,281,628 | ||||||
Jackson National Life Global Funding | ||||||||
4.70%, 06/01/2018 (Acquired 10/28/2013, Cost $321,224) (2) | 310,000 | 328,513 | ||||||
1.88%, 10/15/2018 (Acquired 10/07/2015, Cost $224,891) (2) | 225,000 | 223,433 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 04/13/2018 | 1,534,000 | 1,595,632 | ||||||
6.88%, 04/15/2021 | 1,385,000 | 1,550,064 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,579,772 | ||||||
6.45%, 06/08/2027 | 578,000 | 610,857 | ||||||
6.25%, 01/15/2036 | 155,000 | 143,154 | ||||||
John Deere Capital Corp | ||||||||
2.25%, 04/17/2019 | 5,000,000 | 5,023,375 | ||||||
1.70%, 01/15/2020 | 123,000 | 119,876 | ||||||
3.15%, 10/15/2021 | 257,000 | 261,574 | ||||||
2.80%, 01/27/2023 | 373,000 | 366,298 | ||||||
John Hancock Life Insurance Co | ||||||||
7.38%, 02/15/2024 (Acquired 10/28/2013, Cost $867,031) (2) | 731,000 | 867,840 | ||||||
JPMorgan Chase & Co | ||||||||
2.20%, 10/22/2019 | 2,000,000 | 1,984,640 | ||||||
2.25%, 01/23/2020 | 3,733,000 | 3,673,862 | ||||||
4.25%, 10/15/2020 | 64,000 | 67,923 | ||||||
2.55%, 10/29/2020 | 2,642,000 | 2,618,478 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 10,645,400 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,736,810 |
Table of Contents
3.13%, 01/23/2025 | 4,000,000 | 3,891,568 | ||||||
3.90%, 07/15/2025 | 2,465,000 | 2,538,647 | ||||||
4.25%, 10/01/2027 | 2,328,000 | 2,324,683 | ||||||
5.60%, 07/15/2041 | 494,000 | 569,757 | ||||||
4.95%, 06/01/2045 | 5,575,000 | 5,573,405 | ||||||
Kemper Corp | ||||||||
6.00%, 05/15/2017 | 5,000,000 | 5,194,670 | ||||||
KeyBank NA/Cleveland OH | ||||||||
2.25%, 03/16/2020 | 5,000,000 | 4,945,205 | ||||||
3.18%, 05/22/2022 | 567,000 | 560,441 | ||||||
KeyCorp | ||||||||
5.10%, 03/24/2021 | 211,000 | 230,673 | ||||||
KeyCorp Medium Term Notes BE | ||||||||
2.90%, 09/15/2020 | 280,000 | 279,069 | ||||||
KFW | ||||||||
2.75%, 10/01/2020 | 8,095,000 | 8,384,566 | ||||||
Korea Development Bank/The | ||||||||
0.95%, 01/22/2017 | 5,125,000 | 5,127,086 | ||||||
LeasePlan Corp NV | ||||||||
2.50%, 05/16/2018 (Acquired 10/28/2013 through 12/27/2013, Cost $9,219,875) (2) | 9,206,000 | 9,066,870 | ||||||
2.88%, 01/22/2019 (Acquired 10/14/2015, Cost $724,563) (2) | 725,000 | 715,763 | ||||||
Legg Mason Inc | ||||||||
3.95%, 07/15/2024 | 820,000 | 807,006 | ||||||
Liberty Mutual Group Inc | ||||||||
5.00%, 06/01/2021 (Acquired 10/28/2013, Cost $370,333) (2) | 351,000 | 375,521 | ||||||
4.25%, 06/15/2023 (Acquired 10/28/2013, Cost $319,462) (2) | 322,000 | 327,412 | ||||||
6.50%, 03/15/2035 (Acquired 11/19/2013, Cost $4,419,122) (2) | 4,000,000 | 4,717,588 | ||||||
10.75%, 06/15/2058 (Acquired 10/28/2013, Cost $403,478) (2) | 269,000 | 400,810 | ||||||
Liberty Mutual Insurance Co | ||||||||
8.50%, 05/15/2025 (Acquired 07/01/2014, Cost $888,884) (2) | 700,000 | 870,097 | ||||||
7.70%, 10/15/2097 (Acquired 10/28/2013, Cost $106,314) (2) | 100,000 | 123,439 | ||||||
Lincoln National Corp | ||||||||
8.75%, 07/01/2019 | 5,000,000 | 6,006,925 | ||||||
4.85%, 06/24/2021 | 168,000 | 180,945 | ||||||
4.20%, 03/15/2022 | 705,000 | 737,176 | ||||||
7.00%, 06/15/2040 | 6,460,000 | 8,102,455 | ||||||
6.05%, 04/20/2067 | 121,000 | 94,380 | ||||||
Lloyds Bank PLC | ||||||||
1.75%, 03/16/2018 | 1,106,000 | 1,103,180 | ||||||
1.75%, 05/14/2018 | 3,200,000 | 3,193,635 | ||||||
2.00%, 08/17/2018 | 300,000 | 300,223 | ||||||
2.30%, 11/27/2018 | 1,075,000 | 1,079,531 | ||||||
5.80%, 01/13/2020 (Acquired 10/28/2013, Cost $189,513) (2) | 172,000 | 192,921 | ||||||
2.40%, 03/17/2020 | 5,000,000 | 4,967,250 | ||||||
3.50%, 05/14/2025 | 7,735,000 | 7,761,825 | ||||||
Mack-Cali Realty LP | ||||||||
2.50%, 12/15/2017 | 5,050,000 | 5,048,298 |
Table of Contents
Macquarie Bank Ltd | ||||||||
5.00%, 02/22/2017 (Acquired 10/28/2013, Cost $2,809,528) (2) | 2,719,000 | 2,812,099 | ||||||
1.60%, 10/27/2017 (Acquired 10/22/2014, Cost $619,757) (2) | 620,000 | 615,463 | ||||||
2.60%, 06/24/2019 (Acquired 06/16/2014, Cost $582,722) (2) | 583,000 | 582,466 | ||||||
2.40%, 01/21/2020 (Acquired 01/14/2015, Cost $1,597,113) (2) | 1,600,000 | 1,585,499 | ||||||
2.85%, 07/29/2020 (Acquired 07/23/2015, Cost $399,488) (2) | 400,000 | 401,799 | ||||||
4.00%, 07/29/2025 (Acquired 07/23/2015, Cost $499,291) (2) | 500,000 | 506,878 | ||||||
Macquarie Group Ltd | ||||||||
3.00%, 12/03/2018 (Acquired 11/25/2013, Cost $5,981,927) (2) | 6,000,000 | 6,055,902 | ||||||
6.00%, 01/14/2020 (Acquired 10/28/2013, Cost $508,030) (2) | 475,000 | 524,440 | ||||||
6.25%, 01/14/2021 (Acquired 10/28/2013, Cost $1,199,974) (2) | 1,111,000 | 1,240,313 | ||||||
Manufacturers & Traders Trust Co | ||||||||
6.63%, 12/04/2017 | 464,000 | 504,272 | ||||||
Manulife Financial Corp | ||||||||
4.90%, 09/17/2020 | 225,000 | 244,953 | ||||||
Markel Corp | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 4,340,287 | ||||||
Marsh & McLennan Cos Inc | ||||||||
2.30%, 04/01/2017 | 269,000 | 271,119 | ||||||
2.35%, 03/06/2020 | 3,769,000 | 3,736,447 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,442,670 | ||||||
3.50%, 03/10/2025 | 580,000 | 571,326 | ||||||
Massachusetts Mutual Life Insurance Co | ||||||||
7.63%, 11/15/2023 (Acquired 10/30/2014, Cost $686,387) (2) | 550,000 | 675,522 | ||||||
8.88%, 06/01/2039 (Acquired 10/28/2013 through 12/02/2013, Cost $7,976,719) (2) | 5,548,000 | 8,056,450 | ||||||
5.38%, 12/01/2041 (Acquired 10/28/2013, Cost $212,839) (2) | 203,000 | 219,793 | ||||||
MassMutual Global Funding II | ||||||||
3.13%, 04/14/2016 (Acquired 10/28/2013, Cost $281,651) (2) | 280,000 | 281,617 | ||||||
2.50%, 10/17/2022 (Acquired 10/28/2013, Cost $363,758) (2) | 386,000 | 370,318 | ||||||
MBIA Insurance Corp | ||||||||
11.58%, 01/15/2033 (Acquired 10/28/2013, Cost $63,107) (2) | 86,000 | 16,125 | ||||||
MetLife Inc | ||||||||
6.82%, 08/15/2018 | 84,000 | 94,597 | ||||||
7.72%, 02/15/2019 | 118,000 | 137,116 | ||||||
4.37%, 09/15/2023 | 7,200,000 | 7,733,023 | ||||||
6.50%, 12/15/2032 | 56,000 | 68,777 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,148,914 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.30%, 04/10/2017 (Acquired 12/19/2014, Cost $12,074,067) (2) | 12,050,000 | 12,046,144 | ||||||
1.50%, 01/10/2018 (Acquired 10/28/2013, Cost $1,385,814) (2) | 1,392,000 | 1,384,817 | ||||||
3.65%, 06/14/2018 (Acquired 10/28/2013, Cost $1,424,171) (2) | 1,373,000 | 1,429,226 | ||||||
1.88%, 06/22/2018 (Acquired 10/28/2013, Cost $223,896) (2) | 225,000 | 225,019 | ||||||
3.88%, 04/11/2022 (Acquired 10/28/2013, Cost $1,514,187) (2) | 1,480,000 | 1,544,957 | ||||||
3.00%, 01/10/2023 (Acquired 01/03/2013, Cost $399,000) (2) | 407,000 | 404,988 | ||||||
Mizuho Bank Ltd | ||||||||
1.85%, 03/21/2018 (Acquired 10/28/2013, Cost $373,265) (2) | 376,000 | 374,004 | ||||||
1.80%, 03/26/2018 (Acquired 03/19/2015, Cost $604,406) (2) | 605,000 | 600,997 | ||||||
2.65%, 09/25/2019 (Acquired 09/18/2014, Cost $2,995,933) (2) | 3,000,000 | 3,015,195 | ||||||
2.40%, 03/26/2020 (Acquired 03/19/2015, Cost $4,994,618) (2) | 5,000,000 | 4,949,590 | ||||||
3.60%, 09/25/2024 (Acquired 09/18/2014, Cost $1,247,856) (2) | 1,250,000 | 1,265,825 |
Table of Contents
Morgan Stanley | ||||||||
5.95%, 12/28/2017 | 110,000 | 118,283 | ||||||
6.63%, 04/01/2018 | 994,000 | 1,090,058 | ||||||
7.30%, 05/13/2019 | 2,257,000 | 2,593,485 | ||||||
2.38%, 07/23/2019 | 2,770,000 | 2,761,338 | ||||||
5.63%, 09/23/2019 | 2,302,000 | 2,541,341 | ||||||
2.65%, 01/27/2020 | 750,000 | 748,223 | ||||||
2.80%, 06/16/2020 | 1,282,000 | 1,286,566 | ||||||
5.50%, 07/24/2020 | 774,000 | 861,250 | ||||||
5.75%, 01/25/2021 | 11,635,000 | 13,069,468 | ||||||
5.50%, 07/28/2021 | 372,000 | 416,980 | ||||||
4.88%, 11/01/2022 | 1,895,000 | 2,012,308 | ||||||
3.75%, 02/25/2023 | 600,000 | 614,947 | ||||||
4.10%, 05/22/2023 | 1,645,000 | 1,662,983 | ||||||
3.88%, 04/29/2024 | 1,350,000 | 1,376,278 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,172,718 | ||||||
4.00%, 07/23/2025 | 5,174,000 | 5,332,500 | ||||||
5.00%, 11/24/2025 | 4,306,000 | 4,573,683 | ||||||
4.35%, 09/08/2026 | 430,000 | 431,661 | ||||||
3.95%, 04/23/2027 | 7,343,000 | 7,130,016 | ||||||
6.38%, 07/24/2042 | 2,000,000 | 2,471,386 | ||||||
4.30%, 01/27/2045 | 459,000 | 437,646 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 258,000 | 265,825 | ||||||
National Australia Bank Ltd | ||||||||
3.00%, 07/27/2016 (Acquired 10/28/2013, Cost $729,635) (2) | 722,000 | 729,713 | ||||||
0.85%, 12/02/2016 (Acquired 11/21/2013, Cost $5,000,000) (2) | 5,000,000 | 5,004,830 | ||||||
2.00%, 06/20/2017 (Acquired 10/28/2013, Cost $2,084,816) (2) | 2,064,000 | 2,081,282 | ||||||
National City Bank/Cleveland OH | ||||||||
5.80%, 06/07/2017 | 1,013,000 | 1,068,057 | ||||||
National Rural Utilities Cooperative Finance Corp | ||||||||
10.38%, 11/01/2018 | 3,522,000 | 4,297,319 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,089,304 | ||||||
Nationwide Financial Services Inc | ||||||||
5.38%, 03/25/2021 (Acquired 02/05/2015, Cost $2,250,493) (2) | 2,000,000 | 2,190,002 | ||||||
Nationwide Mutual Insurance Co | ||||||||
8.25%, 12/01/2031 (Acquired 02/13/2014, Cost $379,866) (2) | 300,000 | 389,258 | ||||||
9.38%, 08/15/2039 (Acquired 10/28/2013, Cost $9,585,984) (2) | 6,433,000 | 9,336,657 | ||||||
Navient Corp | ||||||||
5.63%, 08/01/2033 | 54,000 | 36,180 | ||||||
New York Life Global Funding | ||||||||
0.80%, 02/12/2016 (Acquired 10/28/2013, Cost $155,016) (2) | 155,000 | 155,000 | ||||||
2.10%, 01/02/2019 (Acquired 12/5/2013, Cost $8,142,897) (2) | 8,150,000 | 8,162,706 | ||||||
2.15%, 06/18/2019 (Acquired 06/11/2014 through 06/10/2015, Cost $1,911,980) (2) | 1,912,000 | 1,910,679 | ||||||
Nippon Life Insurance Co | ||||||||
5.10%, 10/16/2044 (Acquired 10/09/2014, Cost $5,020,000) (2) | 5,020,000 | 5,245,900 |
Table of Contents
Nomura Holdings Inc | ||||||||
4.13%, 01/19/2016 | 864,000 | 864,921 | ||||||
2.00%, 09/13/2016 | 6,972,000 | 6,999,832 | ||||||
6.70%, 03/04/2020 | 5,300,000 | 6,113,974 | ||||||
Nordea Bank AB | ||||||||
3.13%, 03/20/2017 (Acquired 10/28/2013, Cost $594,998) (2) | 584,000 | 595,542 | ||||||
1.63%, 05/15/2018 (Acquired 10/28/2013, Cost $255,779) (2) | 258,000 | 256,524 | ||||||
1.88%, 09/17/2018 (Acquired 09/09/2015, Cost $4,822,831) (2) | 4,835,000 | 4,804,080 | ||||||
2.50%, 09/17/2020 (Acquired 09/09/2015, Cost $448,988) (2) | 450,000 | 447,526 | ||||||
4.25%, 09/21/2022 (Acquired 12/03/2015, Cost $656,574) (2) | 640,000 | 655,880 | ||||||
Northern Trust Corp | ||||||||
3.95%, 10/30/2025 | 6,915,000 | 7,245,696 | ||||||
Pacific Life Global Funding | ||||||||
5.00%, 05/15/2017 (Acquired 10/28/2013, Cost $422,429) (2) | 413,000 | 428,301 | ||||||
Pacific Life Insurance Co | ||||||||
9.25%, 06/15/2039 (Acquired 10/28/2013, Cost $732,243) (2) | 526,000 | 763,660 | ||||||
Pemex Finance Ltd | ||||||||
10.61%, 08/15/2017 | 140,875 | 150,693 | ||||||
People’s United Bank NA | ||||||||
4.00%, 07/15/2024 | 1,220,000 | 1,206,493 | ||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,306,164 | ||||||
4.20%, 11/01/2025 | 322,000 | 341,483 | ||||||
PNC Financial Services Group Inc/The | ||||||||
3.90%, 04/29/2024 | 2,090,000 | 2,140,839 | ||||||
PNC Funding Corp | ||||||||
2.70%, 09/19/2016 | 133,000 | 134,303 | ||||||
5.63%, 02/01/2017 | 127,000 | 132,039 | ||||||
6.70%, 06/10/2019 | 423,000 | 483,494 | ||||||
5.13%, 02/08/2020 | 588,000 | 646,768 | ||||||
4.38%, 08/11/2020 | 468,000 | 505,171 | ||||||
3.30%, 03/08/2022 | 575,000 | 588,785 | ||||||
Pricoa Global Funding I | ||||||||
1.90%, 09/21/2018 (Acquired 09/14/2015, Cost $1,914,234) (2) | 1,915,000 | 1,908,286 | ||||||
Principal Financial Group Inc | ||||||||
8.88%, 05/15/2019 | 810,000 | 969,510 | ||||||
3.40%, 05/15/2025 | 7,000,000 | 6,863,143 | ||||||
Private Export Funding Corp | ||||||||
4.38%, 03/15/2019 | 970,000 | 1,049,012 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,213,750 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,625,278 | ||||||
Prologis LP | ||||||||
4.25%, 08/15/2023 | 295,000 | 310,430 | ||||||
3.75%, 11/01/2025 | 177,000 | 175,577 | ||||||
Protective Life Corp | ||||||||
7.38%, 10/15/2019 | 854,000 | 988,204 | ||||||
Protective Life Global Funding | ||||||||
2.70%, 11/25/2020 (Acquired 11/19/2015, Cost $4,995,684) (2) | 5,000,000 | 4,998,665 |
Table of Contents
Prudential Financial Inc | ||||||||
2.35%, 08/15/2019 | 650,000 | 646,960 | ||||||
6.63%, 06/21/2040 | 4,195,000 | 5,140,519 | ||||||
Prudential Insurance Co of America/The | ||||||||
8.30%, 07/01/2025 (Acquired 10/28/2013, Cost $2,161,793) (2) | 1,691,000 | 2,157,239 | ||||||
Realty Income Corp | ||||||||
2.00%, 01/31/2018 | 4,700,000 | 4,702,613 | ||||||
3.25%, 10/15/2022 | 1,490,000 | 1,438,464 | ||||||
Regions Bank/Birmingham AL | ||||||||
7.50%, 05/15/2018 | 2,787,000 | 3,096,789 | ||||||
2.25%, 09/14/2018 | 1,400,000 | 1,398,649 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.15%, 10/15/2018 (Acquired 10/13/2015, Cost $3,997,308) (2) | 4,000,000 | 3,976,436 | ||||||
2.38%, 05/04/2020 (Acquired 04/27/2015, Cost $5,984,043) (2) | 6,000,000 | 5,872,182 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/2017 | 727,000 | 723,604 | ||||||
2.20%, 07/27/2018 | 155,000 | 156,281 | ||||||
2.00%, 10/01/2018 | 1,231,000 | 1,233,647 | ||||||
2.00%, 12/10/2018 | 11,350,000 | 11,340,534 | ||||||
2.20%, 09/23/2019 | 15,695,000 | 15,708,513 | ||||||
1.88%, 02/05/2020 | 1,100,000 | 1,079,983 | ||||||
2.10%, 10/14/2020 | 1,785,000 | 1,754,905 | ||||||
Santander Bank NA | ||||||||
8.75%, 05/30/2018 | 4,878,000 | 5,505,369 | ||||||
Santander Issuances SAU | ||||||||
5.18%, 11/19/2025 | 2,510,000 | 2,472,280 | ||||||
Santander UK Group Holdings PLC | ||||||||
5.63%, 09/15/2045 (Acquired 09/08/2015 through 09/11/2015, Cost $1,660,909) (2) | 1,662,000 | 1,660,338 | ||||||
Santander UK Plc | ||||||||
5.00%, 11/07/2023 (Acquired 10/31/2013, Cost $2,131,490) (2) | 2,000,000 | 2,081,902 | ||||||
Simon Property Group LP | ||||||||
2.15%, 09/15/2017 | 946,000 | 954,845 | ||||||
4.38%, 03/01/2021 | 6,932,000 | 7,519,182 | ||||||
4.13%, 12/01/2021 | 442,000 | 471,289 | ||||||
3.75%, 02/01/2024 | 910,000 | 946,070 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.75%, 03/19/2018 (Acquired 10/28/2013, Cost $297,182) (2) | 299,000 | 297,419 | ||||||
2.38%, 11/20/2018 (Acquired 11/13/2013, Cost $5,198,512) (2) | 5,200,000 | 5,229,702 | ||||||
2.38%, 03/25/2019 (Acquired 03/18/2014, Cost $1,224,307) (2) | 1,225,000 | 1,230,635 | ||||||
2.45%, 05/27/2020 (Acquired 05/19/2015, Cost $2,995,902) (2) | 3,000,000 | 2,980,017 | ||||||
Societe Generale SA | ||||||||
1.69%, 10/01/2018 | 1,000,000 | 1,008,040 | ||||||
5.63%, 11/24/2045 (Acquired 11/17/2015, Cost $1,860,636) (2) | 1,902,000 | 1,820,887 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 312,113 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.75%, 11/15/2019 (Acquired 10/28/2013, Cost $524,769) (2) | 537,000 | 525,775 | ||||||
Springleaf Finance Corp | ||||||||
6.90%, 12/15/2017 | 100,000 | 103,500 |
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Stadshypotek AB | ||||||||
1.88%, 10/02/2019 (Acquired 10/28/2013, Cost $674,844) (2) | 683,000 | 673,573 | ||||||
Standard Chartered PLC | ||||||||
1.70%, 04/17/2018 (Acquired 04/13/2015, Cost $749,360) (2) | 750,000 | 742,410 | ||||||
2.40%, 09/08/2019 (Acquired 09/03/2014, Cost $7,639,576) (2) | 7,650,000 | 7,525,014 | ||||||
5.20%, 01/26/2024 (Acquired 10/28/2013, Cost $628,334) (2) | 609,000 | 626,202 | ||||||
State Street Corp | ||||||||
3.10%, 05/15/2023 | 321,000 | 317,422 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,441,811 | ||||||
3.55%, 08/18/2025 | 247,000 | 254,806 | ||||||
Stifel Financial Corp | ||||||||
3.50%, 12/01/2020 | 5,000,000 | 4,944,495 | ||||||
Sumitomo Mitsui Banking Corp | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 5,018,320 | ||||||
2.45%, 01/16/2020 | 2,725,000 | 2,710,127 | ||||||
3.95%, 07/19/2023 | 250,000 | 260,568 | ||||||
SunTrust Bank/Atlanta GA | ||||||||
7.25%, 03/15/2018 | 1,608,000 | 1,778,003 | ||||||
SunTrust Banks Inc | ||||||||
6.00%, 09/11/2017 | 103,000 | 109,417 | ||||||
2.50%, 05/01/2019 | 8,810,000 | 8,854,869 | ||||||
Susa Partnership LP | ||||||||
8.20%, 06/01/2017 | 111,000 | 120,087 | ||||||
Svenska Handelsbanken AB | ||||||||
3.13%, 07/12/2016 | 691,000 | 698,752 | ||||||
2.50%, 01/25/2019 | 2,000,000 | 2,019,128 | ||||||
2.40%, 10/01/2020 | 2,000,000 | 1,985,508 | ||||||
Swedbank AB | ||||||||
2.13%, 09/29/2017 (Acquired 10/28/2013, Cost $216,192) (2) | 215,000 | 215,995 | ||||||
2.38%, 02/27/2019 (Acquired 02/20/2014, Cost $5,992,282) (2) | 6,000,000 | 6,007,704 | ||||||
Symetra Financial Corp | ||||||||
6.13%, 04/01/2016 (Acquired 10/28/2013, Cost $1,009,933) (2) | 1,000,000 | 1,010,313 | ||||||
Synchrony Financial | ||||||||
1.88%, 08/15/2017 | 2,620,000 | 2,607,938 | ||||||
2.60%, 01/15/2019 | 1,350,000 | 1,345,514 | ||||||
3.00%, 08/15/2019 | 4,775,000 | 4,769,308 | ||||||
3.75%, 08/15/2021 | 6,000,000 | 5,996,184 | ||||||
4.25%, 08/15/2024 | 2,000,000 | 1,973,156 | ||||||
TD Ameritrade Holding Corp | ||||||||
5.60%, 12/01/2019 | 355,000 | 395,712 | ||||||
2.95%, 04/01/2022 | 725,000 | 718,621 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039 (Acquired 11/22/2013, Cost $3,190,478) (2) | 2,580,000 | 3,190,113 | ||||||
TIAA Asset Management Finance Co LLC | ||||||||
2.95%, 11/01/2019 (Acquired 10/27/2014 through 10/28/2014, Cost $6,321,332) (2) | 6,235,000 | 6,250,045 | ||||||
4.13%, 11/01/2024 (Acquired 10/27/2014, Cost $516,335) (2) | 510,000 | 512,012 | ||||||
Toronto-Dominion Bank/The | ||||||||
1.50%, 03/13/2017 (Acquired 10/28/2013, Cost $447,363) (2) | 445,000 | 445,732 |
Table of Contents
1.75%, 07/23/2018 | 556,000 | 555,282 | ||||||
2.25%, 11/05/2019 | 432,000 | 431,899 | ||||||
1.95%, 04/02/2020 (Acquired 03/26/2015, Cost $8,028,226) (2) | 8,040,000 | 7,912,075 | ||||||
2.50%, 12/14/2020 | 8,092,000 | 8,088,375 | ||||||
Travelers Cos Inc/The | ||||||||
5.80%, 05/15/2018 | 110,000 | 120,143 | ||||||
UBS AG/Stamford CT | ||||||||
1.38%, 06/01/2017 | 7,030,000 | 6,996,980 | ||||||
5.75%, 04/25/2018 | 322,000 | 348,987 | ||||||
1.26%, 06/01/2020 | 8,200,000 | 8,168,520 | ||||||
UBS Group Funding Jersey Ltd | ||||||||
2.95%, 09/24/2020 (Acquired 09/21/2015, Cost $1,247,971) (2) | 1,250,000 | 1,238,464 | ||||||
UDR Inc | ||||||||
4.63%, 01/10/2022 | 4,034,000 | 4,301,047 | ||||||
Ventas Realty LP | ||||||||
3.50%, 02/01/2025 | 251,000 | 240,362 | ||||||
4.13%, 01/15/2026 | 449,000 | 447,574 | ||||||
Visa Inc | ||||||||
4.15%, 12/14/2035 | 5,062,000 | 5,110,069 | ||||||
4.30%, 12/14/2045 | 3,026,000 | 3,067,117 | ||||||
Voya Financial Inc | ||||||||
5.50%, 07/15/2022 | 8,000,000 | 8,955,352 | ||||||
Wachovia Corp | ||||||||
5.75%, 06/15/2017 | 315,000 | 333,483 | ||||||
5.75%, 02/01/2018 | 1,865,000 | 2,014,316 | ||||||
WEA Finance, LLC / Westfield UK & Europe Finance Plc | ||||||||
3.25%, 10/05/2020 (Acquired 09/28/2015 through 09/29/2015, Cost $12,621,918) (2) | 12,630,000 | 12,683,400 | ||||||
Wells Fargo & Co | ||||||||
2.63%, 12/15/2016 | 1,583,000 | 1,604,480 | ||||||
5.63%, 12/11/2017 | 948,000 | 1,017,144 | ||||||
2.60%, 07/22/2020 | 478,000 | 476,978 | ||||||
2.55%, 12/07/2020 | 7,176,000 | 7,140,012 | ||||||
4.60%, 04/01/2021 | 1,377,000 | 1,501,108 | ||||||
3.50%, 03/08/2022 | 1,929,000 | 1,988,708 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,890,329 | ||||||
3.00%, 02/19/2025 | 4,075,000 | 3,963,964 | ||||||
3.55%, 09/29/2025 | 700,000 | 706,408 | ||||||
4.30%, 07/22/2027 | 13,158,000 | 13,442,805 | ||||||
5.61%, 01/15/2044 | 317,000 | 352,059 | ||||||
4.65%, 11/04/2044 | 675,000 | 656,735 | ||||||
4.90%, 11/17/2045 | 3,221,000 | 3,250,981 | ||||||
Wells Fargo Bank NA | ||||||||
0.67%, 03/15/2016 | 457,000 | 456,884 | ||||||
6.00%, 11/15/2017 | 2,224,000 | 2,398,851 | ||||||
Welltower Inc | ||||||||
3.75%, 03/15/2023 | 560,000 | 550,299 | ||||||
4.50%, 01/15/2024 | 461,000 | 471,706 | ||||||
Welltower, Inc. | ||||||||
4.00%, 06/01/2025 | 372,000 | 365,983 |
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Westpac Banking Corp | ||||||||
2.45%, 11/28/2016 (Acquired 10/28/2013, Cost $684,363) (2) | 676,000 | 684,182 | ||||||
1.60%, 01/12/2018 | 846,000 | 844,413 | ||||||
1.06%, 07/30/2018 | 3,060,000 | 3,054,660 | ||||||
4.88%, 11/19/2019 | 1,105,000 | 1,203,604 | ||||||
2.00%, 03/03/2020 (Acquired 02/24/2015, Cost $1,347,453) (2) | 1,349,000 | 1,332,812 | ||||||
2.60%, 11/23/2020 | 6,632,000 | 6,629,453 | ||||||
Weyerhaeuser Co | ||||||||
7.38%, 03/15/2032 | 500,000 | 594,700 | ||||||
Willis North America Inc | ||||||||
7.00%, 09/29/2019 | 537,000 | 602,052 | ||||||
WR Berkley Corp | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 3,300,348 | ||||||
XLIT Ltd | ||||||||
2.30%, 12/15/2018 | 4,375,000 | 4,376,378 | ||||||
5.25%, 12/15/2043 | 2,700,000 | 2,792,186 | ||||||
|
| |||||||
1,365,524,210 | ||||||||
|
| |||||||
Industrials - 1.29% | ||||||||
ABB Finance USA Inc | ||||||||
1.63%, 05/08/2017 | 173,000 | 173,123 | ||||||
2.88%, 05/08/2022 | 241,000 | 237,670 | ||||||
4.38%, 05/08/2042 | 107,000 | 106,043 | ||||||
Acuity Brands Lighting Inc | ||||||||
6.00%, 12/15/2019 | 451,000 | 488,761 | ||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 10/28/2013, Cost $357,732) (2) | 376,000 | 362,304 | ||||||
Arrow Electronics Inc | ||||||||
3.50%, 04/01/2022 | 965,000 | 929,580 | ||||||
BAE Systems Holdings Inc | ||||||||
6.38%, 06/01/2019 (Acquired 10/28/2013, Cost $267,416) (2) | 243,000 | 271,955 | ||||||
2.85%, 12/15/2020 (Acquired 12/03/2015, Cost $2,719,502) (2) | 2,729,000 | 2,723,187 | ||||||
3.80%, 10/07/2024 (Acquired 09/30/2014, Cost $772,938) (2) | 770,000 | 766,254 | ||||||
3.85%, 12/15/2025 (Acquired 12/03/2015 through 12/16/2015, Cost $3,903,198) (2) | 3,947,000 | 3,909,788 | ||||||
BAE Systems PLC | ||||||||
5.80%, 10/11/2041 (Acquired 10/28/2013, Cost $579,026) (2) | 550,000 | 610,310 | ||||||
Boeing Co/The | ||||||||
4.88%, 02/15/2020 | 52,000 | 57,935 | ||||||
7.95%, 08/15/2024 | 124,000 | 165,399 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.65%, 05/01/2017 | 378,000 | 397,546 | ||||||
5.75%, 03/15/2018 | 173,000 | 186,777 | ||||||
3.60%, 09/01/2020 | 146,000 | 152,187 | ||||||
3.45%, 09/15/2021 | 215,000 | 219,867 | ||||||
3.05%, 03/15/2022 | 440,000 | 441,180 | ||||||
3.00%, 03/15/2023 | 206,000 | 203,046 | ||||||
6.70%, 08/01/2028 | 62,000 | 76,002 | ||||||
7.29%, 06/01/2036 | 134,000 | 172,295 |
Table of Contents
5.75%, 05/01/2040 | 373,000 | 417,648 | ||||||
5.40%, 06/01/2041 | 542,000 | 589,298 | ||||||
4.38%, 09/01/2042 | 462,000 | �� | 436,787 | |||||
5.15%, 09/01/2043 | 4,187,000 | 4,412,709 | ||||||
4.15%, 04/01/2045 | 1,825,000 | 1,654,156 | ||||||
Canadian Pacific Railway Co | ||||||||
4.50%, 01/15/2022 | 1,200,000 | 1,276,380 | ||||||
2.90%, 02/01/2025 | 644,000 | 606,250 | ||||||
7.13%, 10/15/2031 | 155,000 | 191,937 | ||||||
6.13%, 09/15/2115 | 1,766,000 | 1,787,572 | ||||||
Caterpillar Financial Services Corp | ||||||||
5.50%, 03/15/2016 | 93,000 | 93,824 | ||||||
5.45%, 04/15/2018 | 103,000 | 111,410 | ||||||
7.05%, 10/01/2018 | 361,000 | 409,480 | ||||||
7.15%, 02/15/2019 | 62,000 | 71,057 | ||||||
2.75%, 08/20/2021 | 420,000 | 417,640 | ||||||
2.85%, 06/01/2022 | 446,000 | 441,899 | ||||||
3.75%, 11/24/2023 | 2,825,000 | 2,940,622 | ||||||
3.25%, 12/01/2024 | 714,000 | 708,449 | ||||||
Caterpillar Inc | ||||||||
1.50%, 06/26/2017 | 193,000 | 193,347 | ||||||
2.60%, 06/26/2022 | 220,000 | 215,920 | ||||||
CRH America Inc | ||||||||
3.88%, 05/18/2025 (Acquired 05/12/2015, Cost $353,587) (2) | 354,000 | 351,759 | ||||||
5.13%, 05/18/2045 (Acquired 05/12/2015, Cost $227,212) (2) | 230,000 | 230,132 | ||||||
CSX Corp | ||||||||
7.90%, 05/01/2017 | 413,000 | 446,906 | ||||||
7.38%, 02/01/2019 | 72,000 | 82,438 | ||||||
4.25%, 06/01/2021 | 205,000 | 216,891 | ||||||
3.40%, 08/01/2024 | 600,000 | 596,854 | ||||||
5.50%, 04/15/2041 | 402,000 | 442,793 | ||||||
4.10%, 03/15/2044 | 175,000 | 158,496 | ||||||
3.95%, 05/01/2050 | 246,000 | 208,042 | ||||||
Danaher Corp | ||||||||
3.90%, 06/23/2021 | 387,000 | 411,443 | ||||||
Deere & Co | ||||||||
2.60%, 06/08/2022 | 619,000 | 610,620 | ||||||
3.90%, 06/09/2042 | 275,000 | 262,664 | ||||||
Eaton Corp | ||||||||
1.50%, 11/02/2017 | 163,000 | 161,979 | ||||||
5.60%, 05/15/2018 | 273,000 | 295,167 | ||||||
7.63%, 04/01/2024 | 206,000 | 256,611 | ||||||
4.00%, 11/02/2032 | 143,000 | 136,257 | ||||||
5.80%, 03/15/2037 | 500,000 | 567,085 | ||||||
Federal Express Corp 1998 Pass Through Trust | ||||||||
6.85%, 01/15/2019 | 1,353,226 | 1,447,952 | ||||||
6.72%, 01/15/2022 | 207,833 | 234,331 | ||||||
FedEx Corp | ||||||||
3.90%, 02/01/2035 | 414,000 | 376,850 |
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General Electric Co | ||||||||
2.70%, 10/09/2022 | 350,000 | 348,759 | ||||||
3.38%, 03/11/2024 | 655,000 | 677,945 | ||||||
Hanson Ltd. | ||||||||
6.13%, 08/15/2016 | 625,000 | 641,406 | ||||||
Harris Corp. | ||||||||
3.83%, 04/27/2025 | 820,000 | 807,717 | ||||||
Holcim US Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019 (Acquired 10/28/2013, Cost $162,539) (2) | 148,000 | 164,165 | ||||||
Honeywell International Inc | ||||||||
5.30%, 03/01/2018 | 155,000 | 167,271 | ||||||
Illinois Tool Works Inc | ||||||||
1.95%, 03/01/2019 | 167,000 | 167,213 | ||||||
3.90%, 09/01/2042 | 1,754,000 | 1,662,866 | ||||||
Ingersoll-Rand Co | ||||||||
6.39%, 11/15/2027 | 80,000 | 91,444 | ||||||
Ingersoll-Rand Global Holding Co Ltd | ||||||||
4.25%, 06/15/2023 | 329,000 | 338,885 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 354,763 | ||||||
John Deere Capital Corp | ||||||||
1.60%, 07/13/2018 | 315,000 | 313,597 | ||||||
2.05%, 03/10/2020 | 300,000 | 296,436 | ||||||
2.45%, 09/11/2020 | 335,000 | 334,429 | ||||||
Koninklijke Philips NV | ||||||||
5.75%, 03/11/2018 | 172,000 | 184,093 | ||||||
3.75%, 03/15/2022 | 864,000 | 887,274 | ||||||
7.20%, 06/01/2026 | 57,000 | 69,108 | ||||||
Lafarge SA | ||||||||
6.50%, 07/15/2016 | 1,650,000 | 1,691,611 | ||||||
7.13%, 07/15/2036 | 107,000 | 122,722 | ||||||
Lockheed Martin Corp | ||||||||
4.25%, 11/15/2019 | 103,000 | 110,518 | ||||||
2.50%, 11/23/2020 | 5,232,000 | 5,213,589 | ||||||
3.10%, 01/15/2023 | 346,000 | 345,807 | ||||||
3.55%, 01/15/2026 | 4,828,000 | 4,852,792 | ||||||
4.50%, 05/15/2036 | 400,000 | 404,666 | ||||||
4.85%, 09/15/2041 | 181,000 | 186,357 | ||||||
4.07%, 12/15/2042 | 462,000 | 427,558 | ||||||
4.70%, 05/15/2046 | 651,000 | 669,890 | ||||||
Martin Marietta Materials Inc | ||||||||
4.25%, 07/02/2024 | 1,705,000 | 1,674,186 | ||||||
6.25%, 05/01/2037 | 107,000 | 108,472 | ||||||
Masco Corp | ||||||||
6.13%, 10/03/2016 | 175,000 | 180,247 | ||||||
Norfolk Southern Corp | ||||||||
7.70%, 05/15/2017 | 14,000 | 15,132 |
Table of Contents
3.25%, 12/01/2021 | 570,000 | 568,652 | ||||||
2.90%, 02/15/2023 | 294,000 | 284,048 | ||||||
5.59%, 05/17/2025 | 6,000 | 6,864 | ||||||
7.80%, 05/15/2027 | 1,705,000 | 2,249,072 | ||||||
3.95%, 10/01/2042 | 332,000 | 285,750 | ||||||
4.80%, 08/15/2043 | 3,400,000 | 3,303,120 | ||||||
6.00%, 03/15/2105 | 351,000 | 375,902 | ||||||
6.00%, 05/23/2111 | 1,083,000 | 1,133,249 | ||||||
Northrop Grumman Corp | ||||||||
3.85%, 04/15/2045 | 195,000 | 175,327 | ||||||
Northrop Grumman Systems Corp | ||||||||
7.75%, 02/15/2031 | 206,000 | 271,744 | ||||||
Odebrecht Finance Ltd | ||||||||
5.25%, 06/27/2029 (Acquired 06/19/2014, Cost $1,375,000) (2) | 1,375,000 | 663,438 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 31,620 | ||||||
Parker-Hannifin Corp | ||||||||
5.50%, 05/15/2018 | 80,000 | 86,463 | ||||||
3.30%, 11/21/2024 | 149,000 | 150,290 | ||||||
4.45%, 11/21/2044 | 333,000 | 346,017 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp | ||||||||
2.88%, 07/17/2018 (Acquired 10/28/2013, Cost $432,529) (2) | 431,000 | 433,791 | ||||||
3.38%, 02/01/2022 (Acquired 01/26/2015 through 06/05/2015, Cost $1,985,151) (2) | 2,011,000 | 1,952,783 | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | ||||||||
2.50%, 06/15/2019 (Acquired 06/12/2014, Cost $183,961) (2) | 184,000 | 181,022 | ||||||
4.25%, 01/17/2023 (Acquired 01/23/2015, Cost $230,739) (2) | 220,000 | 221,450 | ||||||
Pentair Finance SA | ||||||||
2.90%, 09/15/2018 | 915,000 | 911,014 | ||||||
3.63%, 09/15/2020 | 6,650,000 | 6,644,142 | ||||||
Precision Castparts Corp | ||||||||
3.25%, 06/15/2025 | 880,000 | 874,774 | ||||||
4.20%, 06/15/2035 | 75,000 | 74,579 | ||||||
4.38%, 06/15/2045 | 415,000 | 415,836 | ||||||
Raytheon Co | ||||||||
3.15%, 12/15/2024 | 378,000 | 379,051 | ||||||
Republic Services Inc | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 3,091,541 | ||||||
3.55%, 06/01/2022 | 496,000 | 506,805 | ||||||
Roper Technologies Inc | ||||||||
3.00%, 12/15/2020 | 208,000 | 207,152 | ||||||
Ryder System Inc | ||||||||
3.60%, 03/01/2016 | 278,000 | 279,088 | ||||||
2.50%, 03/01/2017 | 330,000 | 332,217 | ||||||
2.50%, 05/11/2020 | 1,020,000 | 993,808 | ||||||
2.88%, 09/01/2020 | 345,000 | 340,987 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
5.75%, 10/17/2016 (Acquired 10/28/2013, Cost $144,110) (2) | 139,000 | 143,953 | ||||||
1.45%, 05/25/2018 (Acquired 05/18/2015, Cost $3,352,248) (2) | 3,370,000 | 3,343,323 |
Table of Contents
2.90%, 05/27/2022 (Acquired 05/18/2015, Cost $553,000) (2) | 553,000 | 553,139 | ||||||
4.40%, 05/27/2045 (Acquired 05/18/2015, Cost $509,231) (2) | 513,000 | 523,913 | ||||||
Timken Co/The | ||||||||
3.88%, 09/01/2024 | 1,000,000 | 944,218 | ||||||
TTX Co | ||||||||
3.60%, 01/15/2025 (Acquired 11/13/2014, Cost $1,999,893) (2) | 2,000,000 | 1,982,438 | ||||||
3.90%, 02/01/2045 (Acquired 01/26/2015, Cost $3,968,321) (2) | 4,000,000 | 3,514,364 | ||||||
Tyco Electronics Group SA | ||||||||
6.55%, 10/01/2017 | 752,000 | 810,457 | ||||||
2.38%, 12/17/2018 | 7,025,000 | 7,016,240 | ||||||
Tyco International Finance SA | ||||||||
5.13%, 09/14/2045 | 205,000 | 212,691 | ||||||
Union Pacific Corp | ||||||||
4.16%, 07/15/2022 | 453,000 | 489,959 | ||||||
2.95%, 01/15/2023 | 149,000 | 149,519 | ||||||
3.65%, 02/15/2024 | 142,000 | 148,292 | ||||||
3.25%, 01/15/2025 | 200,000 | 202,981 | ||||||
3.38%, 02/01/2035 | 1,500,000 | 1,354,743 | ||||||
4.30%, 06/15/2042 | 165,000 | 164,893 | ||||||
4.82%, 02/01/2044 | 106,000 | 115,238 | ||||||
4.15%, 01/15/2045 | 300,000 | 297,410 | ||||||
4.38%, 11/15/2065 | 1,285,000 | 1,190,178 | ||||||
Union Pacific Railroad Co 2003 Pass Through Trust | ||||||||
4.70%, 01/02/2024 | 23,594 | 25,216 | ||||||
Union Pacific Railroad Co 2015-1 Pass Through Trust | ||||||||
2.70%, 05/12/2027 | 700,000 | 678,256 | ||||||
United Parcel Service of America Inc | ||||||||
8.38%, 04/01/2020 | 243,000 | 301,363 | ||||||
2.45%, 10/01/2022 | 186,000 | 183,994 | ||||||
8.38%, 04/01/2030 | 83,000 | 116,506 | ||||||
United Technologies Corp | ||||||||
1.78%, 05/04/2018 | 13,010,000 | 12,950,037 | ||||||
3.10%, 06/01/2022 | 524,000 | 533,546 | ||||||
4.50%, 06/01/2042 | 693,000 | 697,856 | ||||||
4.15%, 05/15/2045 | 785,000 | 749,817 | ||||||
Vulcan Materials Co | ||||||||
7.15%, 11/30/2037 | 54,000 | 56,700 | ||||||
Vulcan Materials Co. | ||||||||
7.00%, 06/15/2018 | 215,000 | 238,650 | ||||||
Wabtec Corp/DE | ||||||||
4.38%, 08/15/2023 | 322,000 | 329,765 | ||||||
Waste Management Inc | ||||||||
4.75%, 06/30/2020 | 195,000 | 211,379 | ||||||
3.13%, 03/01/2025 | 424,000 | 412,685 | ||||||
3.90%, 03/01/2035 | 156,000 | 145,859 | ||||||
|
| |||||||
129,194,956 | ||||||||
|
|
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Technology - 1.03% | ||||||||
Apple Inc | ||||||||
0.58%, 05/03/2018 | 790,000 | 788,346 | ||||||
2.15%, 02/09/2022 | 1,200,000 | 1,165,166 | ||||||
2.40%, 05/03/2023 | 2,081,000 | 2,028,842 | ||||||
3.20%, 05/13/2025 | 1,010,000 | 1,022,836 | ||||||
3.45%, 02/09/2045 | 500,000 | 430,434 | ||||||
Dell Inc | ||||||||
7.10%, 04/15/2028 | 196,000 | 188,650 | ||||||
Fidelity National Information Services Inc | ||||||||
1.45%, 06/05/2017 | 665,000 | 656,026 | ||||||
3.63%, 10/15/2020 | 4,000,000 | 4,053,844 | ||||||
3.50%, 04/15/2023 | 2,430,000 | 2,320,366 | ||||||
3.88%, 06/05/2024 | 2,150,000 | 2,076,148 | ||||||
Fiserv Inc | ||||||||
4.63%, 10/01/2020 | 215,000 | 229,588 | ||||||
4.75%, 06/15/2021 | 5,231,000 | 5,588,759 | ||||||
3.85%, 06/01/2025 | 5,000,000 | 4,993,585 | ||||||
Hewlett Packard Enterprise Co | ||||||||
4.40%, 10/15/2022 (Acquired 09/30/2015, Cost $7,485,595) (2) | 7,500,000 | 7,472,122 | ||||||
4.94%, 10/15/2025 (Acquired 09/30/2015, Cost $4,536,887) (2) | 4,557,000 | 4,475,343 | ||||||
HP Inc | ||||||||
4.38%, 09/15/2021 | 293,000 | 288,439 | ||||||
4.65%, 12/09/2021 | 326,000 | 324,794 | ||||||
6.00%, 09/15/2041 | 731,000 | 638,309 | ||||||
HP Enterprise Services LLC | ||||||||
7.45%, 10/15/2029 | 250,000 | 290,178 | ||||||
Intel Corp | ||||||||
3.30%, 10/01/2021 | 259,000 | 268,429 | ||||||
3.10%, 07/29/2022 | 245,000 | 249,977 | ||||||
3.70%, 07/29/2025 | 456,000 | 471,743 | ||||||
4.00%, 12/15/2032 | 1,195,000 | 1,189,207 | ||||||
International Business Machines Corp | ||||||||
7.63%, 10/15/2018 | 872,000 | 1,005,276 | ||||||
1.63%, 05/15/2020 | 1,670,000 | 1,628,721 | ||||||
2.88%, 11/09/2022 | 8,581,000 | 8,520,899 | ||||||
6.22%, 08/01/2027 | 68,000 | 83,439 | ||||||
6.50%, 01/15/2028 | 120,000 | 149,920 | ||||||
4.00%, 06/20/2042 | 79,000 | 73,891 | ||||||
Intuit Inc | ||||||||
5.75%, 03/15/2017 | 8,059,000 | 8,443,930 | ||||||
Maxim Integrated Products Inc | ||||||||
2.50%, 11/15/2018 | 4,200,000 | 4,201,134 | ||||||
Microsoft Corp | ||||||||
2.13%, 11/15/2022 | 350,000 | 338,393 | ||||||
2.38%, 05/01/2023 | 1,055,000 | 1,024,227 | ||||||
3.63%, 12/15/2023 | 445,000 | 467,897 | ||||||
3.50%, 02/12/2035 | 318,000 | 293,951 | ||||||
4.20%, 11/03/2035 | 1,988,000 | 2,028,579 | ||||||
4.50%, 10/01/2040 | 125,000 | 129,952 |
Table of Contents
4.45%, 11/03/2045 | 2,838,000 | 2,926,809 | ||||||
4.00%, 02/12/2055 | 333,000 | 298,897 | ||||||
4.75%, 11/03/2055 | 408,000 | 422,538 | ||||||
National Semiconductor Corp | ||||||||
6.60%, 06/15/2017 | 855,000 | 918,842 | ||||||
Oracle Corp | ||||||||
5.75%, 04/15/2018 | 351,000 | 383,025 | ||||||
5.00%, 07/08/2019 | 547,000 | 601,776 | ||||||
2.80%, 07/01/2021 | 766,000 | 775,949 | ||||||
3.63%, 07/15/2023 | 149,000 | 154,198 | ||||||
3.40%, 07/01/2024 | 2,000,000 | 2,031,988 | ||||||
2.95%, 05/15/2025 | 2,000,000 | 1,952,708 | ||||||
4.30%, 07/01/2034 | 4,314,000 | 4,288,496 | ||||||
6.50%, 04/15/2038 | 201,000 | 252,059 | ||||||
6.13%, 07/08/2039 | 265,000 | 320,413 | ||||||
4.38%, 05/15/2055 | 400,000 | 365,667 | ||||||
Pitney Bowes Inc | ||||||||
5.60%, 03/15/2018 | 175,000 | 185,076 | ||||||
QUALCOMM Inc | ||||||||
3.00%, 05/20/2022 | 7,000,000 | 6,933,577 | ||||||
Texas Instruments Inc | ||||||||
1.65%, 08/03/2019 | 434,000 | 429,762 | ||||||
Xerox Corp | ||||||||
6.40%, 03/15/2016 | 1,379,000 | 1,391,713 | ||||||
6.75%, 02/01/2017 | 2,170,000 | 2,273,962 | ||||||
2.95%, 03/15/2017 | 202,000 | 203,508 | ||||||
2.75%, 03/15/2019 | 3,200,000 | 3,143,008 | ||||||
5.63%, 12/15/2019 | 521,000 | 554,249 | ||||||
2.75%, 09/01/2020 | 2,177,000 | 2,051,513 | ||||||
4.50%, 05/15/2021 | 183,000 | 184,786 | ||||||
|
| |||||||
102,645,859 | ||||||||
|
| |||||||
Utilities - 2.01% | ||||||||
AGL Capital Corp | ||||||||
6.38%, 07/15/2016 | 691,000 | 708,989 | ||||||
3.50%, 09/15/2021 | 530,000 | 531,408 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,325,860 | ||||||
4.40%, 06/01/2043 | 160,000 | 143,934 | ||||||
Alabama Power Co | ||||||||
2.80%, 04/01/2025 | 2,025,000 | 1,954,990 | ||||||
6.13%, 05/15/2038 | 219,000 | 266,412 | ||||||
6.00%, 03/01/2039 | 89,000 | 105,782 | ||||||
4.15%, 08/15/2044 | 205,000 | 194,822 | ||||||
3.75%, 03/01/2045 | 415,000 | 372,854 | ||||||
American Electric Power Co Inc | ||||||||
1.65%, 12/15/2017 | 246,000 | 244,173 | ||||||
American Water Capital Corp | ||||||||
3.85%, 03/01/2024 | 500,000 | 525,199 | ||||||
3.40%, 03/01/2025 | 592,000 | 601,502 | ||||||
6.59%, 10/15/2037 | 386,000 | 500,204 |
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Appalachian Power Co | ||||||||
6.70%, 08/15/2037 | 430,000 | 514,806 | ||||||
Arizona Public Service Co | ||||||||
8.75%, 03/01/2019 | 91,000 | 108,071 | ||||||
2.20%, 01/15/2020 | 167,000 | 165,476 | ||||||
3.35%, 06/15/2024 | 676,000 | 686,800 | ||||||
5.05%, 09/01/2041 | 349,000 | 381,755 | ||||||
4.50%, 04/01/2042 | 221,000 | 226,495 | ||||||
Atmos Energy Corp | ||||||||
8.50%, 03/15/2019 | 71,000 | 83,234 | ||||||
4.15%, 01/15/2043 | 830,000 | 802,930 | ||||||
4.13%, 10/15/2044 | 450,000 | 430,907 | ||||||
Baltimore Gas & Electric Co | ||||||||
2.80%, 08/15/2022 | 509,000 | 504,364 | ||||||
Beaver Valley II Funding Corp | ||||||||
9.00%, 06/01/2017 | 15,000 | 15,900 | ||||||
Berkshire Hathaway Energy Co | ||||||||
5.75%, 04/01/2018 | 168,000 | 181,514 | ||||||
2.40%, 02/01/2020 | 409,000 | 405,197 | ||||||
3.50%, 02/01/2025 | 625,000 | 619,828 | ||||||
4.50%, 02/01/2045 | 375,000 | 360,285 | ||||||
Boston Gas Co | ||||||||
4.49%, 02/15/2042 (Acquired 10/28/2013, Cost $241,470) (2) | 253,000 | 245,872 | ||||||
CenterPoint Energy Inc | ||||||||
6.50%, 05/01/2018 | 390,000 | 425,538 | ||||||
Centrica PLC | ||||||||
4.00%, 10/16/2023 (Acquired 11/18/2013, Cost $4,978,040) (2) | 5,000,000 | 4,965,255 | ||||||
Cleveland Electric Illuminating Co/The | ||||||||
7.88%, 11/01/2017 | 356,000 | 391,735 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021 (Acquired 10/28/2013, Cost $567,285) (2) | 551,000 | 557,888 | ||||||
4.88%, 01/15/2024 (Acquired 10/28/2013 through 11/22/2013, Cost $1,822,074) (2) | 1,822,000 | 1,794,670 | ||||||
Connecticut Light & Power Co/The | ||||||||
5.65%, 05/01/2018 | 95,000 | 103,341 | ||||||
Consolidated Edison Co of New York Inc | ||||||||
5.70%, 06/15/2040 | 318,000 | 372,593 | ||||||
Consumers Energy Co | ||||||||
5.65%, 04/15/2020 | 144,000 | 162,396 | ||||||
2.85%, 05/15/2022 | 155,000 | 153,501 | ||||||
4.35%, 08/31/2064 | 191,000 | 181,078 | ||||||
Delmarva Power & Light Co | ||||||||
4.00%, 06/01/2042 | 170,000 | 160,643 | ||||||
Dominion Gas Holdings LLC | ||||||||
2.50%, 12/15/2019 | 1,260,000 | 1,258,795 | ||||||
2.80%, 11/15/2020 | 264,000 | 264,883 | ||||||
4.60%, 12/15/2044 | 380,000 | 353,479 |
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Dominion Resources Inc/VA | ||||||||
1.90%, 06/15/2018 | 4,890,000 | 4,843,144 | ||||||
5.25%, 08/01/2033 | 583,000 | 605,531 | ||||||
7.00%, 06/15/2038 | 124,000 | 149,108 | ||||||
4.90%, 08/01/2041 | 212,000 | 207,314 | ||||||
DTE Electric Co | ||||||||
2.65%, 06/15/2022 | 194,000 | 190,978 | ||||||
3.70%, 03/15/2045 | 463,000 | 425,419 | ||||||
DTE Energy Co | ||||||||
2.40%, 12/01/2019 | 278,000 | 276,888 | ||||||
3.30%, 06/15/2022 (Acquired 06/09/2015, Cost $138,952) (2) | 139,000 | 139,480 | ||||||
3.85%, 12/01/2023 | 292,000 | 300,070 | ||||||
3.50%, 06/01/2024 | 692,000 | 693,284 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.10%, 04/15/2018 | 144,000 | 154,368 | ||||||
4.30%, 06/15/2020 | 205,000 | 221,903 | ||||||
6.00%, 12/01/2028 | 235,000 | 281,862 | ||||||
6.00%, 01/15/2038 | 161,000 | 198,646 | ||||||
4.25%, 12/15/2041 | 141,000 | 140,601 | ||||||
Duke Energy Corp | ||||||||
2.15%, 11/15/2016 | 439,000 | 441,628 | ||||||
6.25%, 06/15/2018 | 1,781,000 | 1,954,658 | ||||||
3.55%, 09/15/2021 | 306,000 | 312,592 | ||||||
Duke Energy Florida LLC | ||||||||
5.65%, 06/15/2018 | 116,000 | 126,645 | ||||||
6.40%, 06/15/2038 | 72,000 | 92,012 | ||||||
Duke Energy Indiana Inc | ||||||||
3.75%, 07/15/2020 | 398,000 | 419,176 | ||||||
6.35%, 08/15/2038 | 320,000 | 408,106 | ||||||
Duke Energy Progress LLC | ||||||||
5.30%, 01/15/2019 | 206,000 | 226,321 | ||||||
3.00%, 09/15/2021 | 372,000 | 379,394 | ||||||
2.80%, 05/15/2022 | 335,000 | 335,386 | ||||||
3.25%, 08/15/2025 | 158,000 | 159,211 | ||||||
4.10%, 05/15/2042 | 217,000 | 210,385 | ||||||
4.38%, 03/30/2044 | 132,000 | 133,961 | ||||||
4.15%, 12/01/2044 | 129,000 | 125,986 | ||||||
Duke Energy Progress, LLC | ||||||||
4.10%, 03/15/2043 | 181,000 | 175,519 | ||||||
4.20%, 08/15/2045 | 325,000 | 320,190 | ||||||
Electricite de France SA | ||||||||
1.15%, 01/20/2017 (Acquired 01/13/2014, Cost $4,988,685) (2) | 5,000,000 | 4,987,335 | ||||||
2.15%, 01/22/2019 (Acquired 01/13/2014, Cost $3,526,881) (2) | 3,558,000 | 3,541,466 | ||||||
4.75%, 10/13/2035 (Acquired 10/07/2015, Cost $4,895,787) (2) | 5,000,000 | 4,941,945 | ||||||
6.00%, 01/22/2114 (Acquired 01/13/2014, Cost $1,003,517) (2) | 1,035,000 | 1,012,727 | ||||||
Enel Finance International NV | ||||||||
5.13%, 10/07/2019 (Acquired 10/28/2013, Cost $929,591) (2) | 888,000 | 959,577 | ||||||
6.80%, 09/15/2037 (Acquired 10/28/2013, Cost $210,891) (2) | 204,000 | 249,094 | ||||||
6.00%, 10/07/2039 (Acquired 10/28/2013, Cost $98,642) (2) | 103,000 | 115,175 |
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Exelon Corp | ||||||||
1.55%, 06/09/2017 | 3,820,000 | 3,804,044 | ||||||
4.95%, 06/15/2035 (Acquired 06/08/2015, Cost $1,495,941) (2) | 1,500,000 | 1,504,050 | ||||||
5.63%, 06/15/2035 | 774,000 | 825,979 | ||||||
Exelon Generation Co LLC | ||||||||
6.20%, 10/01/2017 | 3,436,000 | 3,665,862 | ||||||
2.95%, 01/15/2020 | 300,000 | 299,015 | ||||||
4.00%, 10/01/2020 | 619,000 | 638,228 | ||||||
5.75%, 10/01/2041 | 192,000 | 185,571 | ||||||
FirstEnergy Transmission LLC | ||||||||
5.45%, 07/15/2044 (Acquired 05/14/2014, Cost $3,136,604) (2) | 3,100,000 | 3,121,065 | ||||||
Florida Power & Light Co | ||||||||
3.13%, 12/01/2025 | 3,496,000 | 3,502,838 | ||||||
5.63%, 04/01/2034 | 57,000 | 67,845 | ||||||
5.95%, 02/01/2038 | 103,000 | 128,274 | ||||||
Georgia Power Co | ||||||||
5.95%, 02/01/2039 | 41,000 | 46,561 | ||||||
Great Plains Energy Inc | ||||||||
4.85%, 06/01/2021 | 156,000 | 167,624 | ||||||
Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 243,472 | ||||||
8.40%, 01/15/2022 | 826,000 | 1,067,505 | ||||||
8.05%, 07/07/2024 | 638,000 | 859,101 | ||||||
Indiana Michigan Power Co | ||||||||
7.00%, 03/15/2019 | 112,000 | 126,954 | ||||||
3.20%, 03/15/2023 | 991,000 | 977,476 | ||||||
ITC Holdings Corp | ||||||||
5.30%, 07/01/2043 | 2,191,000 | 2,243,470 | ||||||
Jersey Central Power & Light Co | ||||||||
7.35%, 02/01/2019 | 31,000 | 34,900 | ||||||
4.30%, 01/15/2026 (Acquired 08/11/2015 through 08/21/2015, Cost $2,869,091) (2) | 2,877,000 | 2,896,613 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 464,002 | 504,696 | ||||||
Kansas City Power & Light Co | ||||||||
3.15%, 03/15/2023 | 375,000 | 367,680 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,121,105 | ||||||
Korea Electric Power Corp | ||||||||
6.75%, 08/01/2027 | 233,000 | 289,906 | ||||||
Korea Gas Corp | ||||||||
4.25%, 11/02/2020 (Acquired 10/28/2013, Cost $289,709) (2) | 279,000 | 300,044 | ||||||
Korea Hydro & Nuclear Power Co Ltd | ||||||||
2.88%, 10/02/2018 (Acquired 11/18/2013, Cost $4,025,565) (2) | 4,000,000 | 4,051,840 | ||||||
Mega Advance Investments Ltd | ||||||||
5.00%, 05/12/2021 (Acquired 10/28/2013, Cost $613,709) (2) | 591,000 | 626,601 | ||||||
MidAmerican Energy Co | ||||||||
5.30%, 03/15/2018 | 72,000 | 77,320 | ||||||
3.50%, 10/15/2024 | 317,000 | 324,148 | ||||||
4.25%, 05/01/2046 | 1,442,000 | 1,426,268 |
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Nevada Power Co | ||||||||
6.50%, 08/01/2018 | 232,000 | 257,516 | ||||||
7.13%, 03/15/2019 | 188,000 | 215,032 | ||||||
5.38%, 09/15/2040 | 38,000 | 41,958 | ||||||
5.45%, 05/15/2041 | 386,000 | 433,407 | ||||||
NextEra Energy Capital Holdings Inc | ||||||||
1.59%, 06/01/2017 | 3,349,000 | 3,336,950 | ||||||
2.06%, 09/01/2017 | 3,748,000 | 3,751,414 | ||||||
6.00%, 03/01/2019 | 124,000 | 135,841 | ||||||
2.40%, 09/15/2019 | 487,000 | 479,969 | ||||||
2.70%, 09/15/2019 | 2,780,000 | 2,767,743 | ||||||
7.30%, 09/01/2067 | 295,000 | 281,931 | ||||||
Niagara Mohawk Power Corp | ||||||||
4.88%, 08/15/2019 (Acquired 10/28/2013, Cost $181,278) (2) | 168,000 | 179,336 | ||||||
3.51%, 10/01/2024 (Acquired 09/22/2014, Cost $258,000) (2) | 258,000 | 259,103 | ||||||
NiSource Finance Corp | ||||||||
3.85%, 02/15/2023 | 283,000 | 288,632 | ||||||
5.80%, 02/01/2042 | 774,000 | 879,505 | ||||||
Northern States Power Co/MN | ||||||||
6.25%, 06/01/2036 | 258,000 | 327,427 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,468,104 | ||||||
Ohio Power Co | ||||||||
6.05%, 05/01/2018 | 160,000 | 173,817 | ||||||
5.38%, 10/01/2021 | 65,000 | 72,384 | ||||||
Oncor Electric Delivery Co LLC | ||||||||
6.80%, 09/01/2018 | 635,000 | 705,851 | ||||||
7.00%, 09/01/2022 | 124,000 | 148,950 | ||||||
4.55%, 12/01/2041 | 2,659,000 | 2,548,255 | ||||||
Pacific Gas & Electric Co | ||||||||
5.63%, 11/30/2017 | 204,000 | 218,055 | ||||||
8.25%, 10/15/2018 | 4,484,000 | 5,212,220 | ||||||
3.25%, 09/15/2021 | 146,000 | 149,430 | ||||||
2.45%, 08/15/2022 | 581,000 | 561,920 | ||||||
3.25%, 06/15/2023 | 206,000 | 206,562 | ||||||
3.40%, 08/15/2024 | 11,150,000 | 11,196,261 | ||||||
3.50%, 06/15/2025 | 2,867,000 | 2,900,805 | ||||||
6.05%, 03/01/2034 | 146,000 | 174,172 | ||||||
4.50%, 12/15/2041 | 749,000 | 746,427 | ||||||
4.45%, 04/15/2042 | 194,000 | 194,794 | ||||||
PacifiCorp | ||||||||
5.65%, 07/15/2018 | 294,000 | 320,502 | ||||||
5.50%, 01/15/2019 | 26,000 | 28,535 | ||||||
3.85%, 06/15/2021 | 103,000 | 108,341 | ||||||
PECO Energy Co | ||||||||
5.35%, 03/01/2018 | 93,000 | 99,936 | ||||||
2.38%, 09/15/2022 | 578,000 | 560,296 | ||||||
4.15%, 10/01/2044 | 353,000 | 346,670 | ||||||
Pennsylvania Electric Co | ||||||||
6.05%, 09/01/2017 | 93,000 | 98,993 |
Table of Contents
Potomac Electric Power Co | ||||||||
6.50%, 11/15/2037 | 136,000 | 174,657 | ||||||
PPL Electric Utilities Corp | ||||||||
2.50%, 09/01/2022 | 178,000 | 174,113 | ||||||
4.13%, 06/15/2044 | 208,000 | 204,828 | ||||||
Progress Energy Inc | ||||||||
4.40%, 01/15/2021 | 390,000 | 412,688 | ||||||
3.15%, 04/01/2022 | 389,000 | 382,011 | ||||||
7.75%, 03/01/2031 | 2,763,000 | 3,559,136 | ||||||
PSEG Power LLC | ||||||||
5.32%, 09/15/2016 | 346,000 | 355,488 | ||||||
5.13%, 04/15/2020 | 430,000 | 461,989 | ||||||
4.15%, 09/15/2021 | 332,000 | 337,728 | ||||||
8.63%, 04/15/2031 | 130,000 | 161,815 | ||||||
Public Service Co of Colorado | ||||||||
5.80%, 08/01/2018 | 28,000 | 30,608 | ||||||
3.20%, 11/15/2020 | 120,000 | 123,959 | ||||||
2.25%, 09/15/2022 | 210,000 | 202,456 | ||||||
Public Service Co of New Hampshire | ||||||||
3.50%, 11/01/2023 | 101,000 | 103,531 | ||||||
Public Service Co of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 156,394 | ||||||
4.40%, 02/01/2021 | 203,000 | 214,664 | ||||||
6.63%, 11/15/2037 | 649,000 | 780,966 | ||||||
Public Service Electric & Gas Co | ||||||||
5.30%, 05/01/2018 | 85,000 | 91,860 | ||||||
3.15%, 08/15/2024 | 1,000,000 | 1,002,538 | ||||||
5.38%, 11/01/2039 | 117,000 | 135,002 | ||||||
RGS I&M Funding Corp | ||||||||
9.82%, 06/07/2022 | 88,257 | 90,027 | ||||||
San Diego Gas & Electric Co | ||||||||
6.00%, 06/01/2026 | 213,000 | 262,022 | ||||||
3.95%, 11/15/2041 | 310,000 | 298,661 | ||||||
Sempra Energy | ||||||||
6.50%, 06/01/2016 | 93,000 | 94,689 | ||||||
6.15%, 06/15/2018 | 237,000 | 258,685 | ||||||
9.80%, 02/15/2019 | 12,506,000 | 15,137,488 | ||||||
2.88%, 10/01/2022 | 361,000 | 349,477 | ||||||
4.05%, 12/01/2023 | 10,325,000 | 10,636,712 | ||||||
3.55%, 06/15/2024 | 709,000 | 705,149 | ||||||
6.00%, 10/15/2039 | 155,000 | 173,807 | ||||||
South Carolina Electric & Gas Co | ||||||||
4.50%, 06/01/2064 | 161,000 | 149,899 | ||||||
Southern California Edison Co | ||||||||
5.50%, 08/15/2018 | 144,000 | 156,907 | ||||||
3.88%, 06/01/2021 | 102,000 | 107,948 | ||||||
1.85%, 02/01/2022 | 312,000 | 309,120 |
Table of Contents
3.50%, 10/01/2023 | 328,000 | 338,467 | ||||||
5.95%, 02/01/2038 | 67,000 | 81,963 | ||||||
6.05%, 03/15/2039 | 253,000 | 313,205 | ||||||
3.90%, 12/01/2041 | 392,000 | 372,207 | ||||||
Southern Co/The | ||||||||
1.95%, 09/01/2016 | 307,000 | 308,285 | ||||||
1.30%, 08/15/2017 | 3,577,000 | 3,544,070 | ||||||
2.15%, 09/01/2019 | 2,700,000 | 2,649,532 | ||||||
Southern Power Co | ||||||||
1.85%, 12/01/2017 | 1,529,000 | 1,528,301 | ||||||
4.15%, 12/01/2025 | 218,000 | 217,739 | ||||||
5.15%, 09/15/2041 | 146,000 | 135,095 | ||||||
5.25%, 07/15/2043 | 1,305,000 | 1,244,319 | ||||||
Southwestern Electric Power Co | ||||||||
5.55%, 01/15/2017 | 320,000 | 330,738 | ||||||
Southwestern Public Service Co | ||||||||
8.75%, 12/01/2018 | 351,000 | 413,386 | ||||||
State Grid Overseas Investment 2013 Ltd | ||||||||
1.75%, 05/22/2018 (Acquired 10/28/2013, Cost $239,054) (2) | 241,000 | 238,920 | ||||||
State Grid Overseas Investment 2014 Ltd | ||||||||
2.75%, 05/07/2019 (Acquired 04/28/2014, Cost $4,228,006) (2) | 4,240,000 | 4,284,274 | ||||||
Talent Yield Investments Ltd | ||||||||
4.50%, 04/25/2022 (Acquired 10/28/2013, Cost $712,768) (2) | 715,000 | 740,538 | ||||||
Virginia Electric & Power Co | ||||||||
5.95%, 09/15/2017 | 83,000 | 89,215 | ||||||
5.40%, 04/30/2018 | 475,000 | 513,556 | ||||||
2.95%, 01/15/2022 | 80,000 | 80,513 | ||||||
3.45%, 02/15/2024 | 191,000 | 194,815 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 3,700,403 | ||||||
4.45%, 02/15/2044 | 126,000 | 129,574 | ||||||
WEC Energy Group Inc | ||||||||
1.65%, 06/15/2018 | 2,022,000 | 2,004,668 | ||||||
3.55%, 06/15/2025 | 865,000 | 870,008 | ||||||
Westar Energy Inc | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,098,105 | ||||||
Wisconsin Electric Power Co | ||||||||
2.95%, 09/15/2021 | 27,000 | 27,296 | ||||||
3.10%, 06/01/2025 | 285,000 | 285,870 | ||||||
Xcel Energy Inc | ||||||||
0.75%, 05/09/2016 | 28,000 | 27,975 | ||||||
1.20%, 06/01/2017 | 1,141,000 | 1,135,254 | ||||||
4.70%, 05/15/2020 | 62,000 | 66,656 | ||||||
6.50%, 07/01/2036 | 351,000 | 423,969 | ||||||
4.80%, 09/15/2041 | 95,000 | 95,439 | ||||||
|
| |||||||
200,466,919 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $3,049,318,003) | $ | 3,014,308,560 | ||||||
|
|
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Government Related - 21.96% | ||||||||
American Municipal Power Inc | ||||||||
7.50%, 02/15/2050 | 1,350,000 | $ | 1,787,535 | |||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 606,011 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,223,705 | ||||||
Brazilian Government International Bond | ||||||||
5.00%, 01/27/2045 | 408,000 | 272,340 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 943,243 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 292,912 | ||||||
5.04%, 01/01/2021 | 215,000 | 215,290 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 1,922,686 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,122,445 | ||||||
Colombia Government International Bond | ||||||||
4.00%, 02/26/2024 | 437,000 | 416,242 | ||||||
4.50%, 01/28/2026 | 1,192,000 | 1,138,360 | ||||||
5.63%, 02/26/2044 | 200,000 | 182,500 | ||||||
5.00%, 06/15/2045 | 842,000 | 703,070 | ||||||
County of Contra Costa CA | ||||||||
5.14%, 06/01/2017 | 640,000 | 661,856 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 102,786 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
5.52%, 10/01/2044 | 2,900,000 | 3,403,875 | ||||||
4.81%, 10/01/2114 | 875,000 | 866,399 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 288,758 | ||||||
Elgin Local School District | ||||||||
5.50%, 08/31/2027 | 535,000 | 566,495 | ||||||
European Investment Bank | ||||||||
1.63%, 03/16/2020 | 5,140,000 | 5,092,090 | ||||||
Export-Import Bank of Korea | ||||||||
2.25%, 01/21/2020 | 1,800,000 | 1,772,372 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 | 929,000 | 563,577 | ||||||
Federal Farm Credit Banks | ||||||||
5.13%, 11/15/2018 | 344,000 | 378,694 | ||||||
Federal Home Loan Banks | ||||||||
0.50%, 09/28/2016 | 18,390,000 | 18,358,369 | ||||||
0.63%, 11/23/2016 | 3,265,000 | 3,258,725 | ||||||
1.00%, 12/19/2017 | 13,680,000 | 13,646,402 | ||||||
1.83%, 07/29/2020 | 5,525,000 | 5,516,210 | ||||||
5.50%, 07/15/2036 | 1,135,000 | 1,474,299 |
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Federal Home Loan Mortgage Corp | ||||||||
2.38%, 01/13/2022 | 5,352,000 | 5,426,372 | ||||||
6.25%, 07/15/2032 | 2,020,000 | 2,808,030 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 06/01/2017 | 2,735,000 | 2,690,392 | ||||||
1.13%, 07/20/2018 | 9,975,000 | 9,935,469 | ||||||
1.88%, 02/19/2019 | 1,505,000 | 1,525,414 | ||||||
1.63%, 01/21/2020 | 1,730,000 | 1,726,852 | ||||||
1.50%, 06/22/2020 | 4,310,000 | 4,258,047 | ||||||
1.50%, 11/30/2020 | 15,090,000 | 14,828,445 | ||||||
2.63%, 09/06/2024 | 6,411,000 | 6,483,079 | ||||||
Financing Corp | ||||||||
0.00%, 11/30/2017 | 404,000 | 394,530 | ||||||
0.00%, 04/06/2018 | 194,000 | 188,364 | ||||||
0.00%, 05/11/2018 | 6,860,000 | 6,646,503 | ||||||
0.00%, 08/03/2018 | 276,000 | 265,956 | ||||||
0.00%, 03/07/2019 | 205,000 | 194,459 | ||||||
0.00%, 04/05/2019 | 2,766,000 | 2,619,333 | ||||||
0.00%, 09/26/2019 | 3,174,000 | 2,943,806 | ||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,293,314 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.50%, 10/30/2020 | 3,439,000 | 3,526,120 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 03/13/2020 | 5,000,000 | 5,419,710 | ||||||
5.88%, 01/15/2024 (Acquired 03/20/2015, Cost $1,495,495) (2) | 1,300,000 | 1,392,708 | ||||||
4.13%, 01/15/2025 (Acquired 01/08/2015, Cost $1,317,594) (2) | 1,325,000 | 1,269,799 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 980,000 | 984,586 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 11/01/2019 | 345,000 | 319,725 | ||||||
0.00%, 02/15/2022 | 464,000 | 398,820 | ||||||
0.00%, 08/15/2022 | 7,201,000 | 6,057,964 | ||||||
0.00%, 05/01/2023 | 1,000,000 | 821,689 | ||||||
0.00%, 09/15/2023 | 1,837,000 | 1,486,835 | ||||||
5.50%, 09/18/2023 | 8,856,000 | 10,613,207 | ||||||
0.00%, 11/01/2023 | 413,000 | 331,564 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,591,320 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,591,398 | ||||||
5.50%, 04/26/2024 | 3,784,000 | 4,578,288 | ||||||
0.00%, 05/15/2024 | 3,640,000 | 2,860,323 | ||||||
0.00%, 08/15/2024 | 1,500,000 | 1,163,583 | ||||||
0.00%, 11/01/2024 | 2,549,000 | 1,955,435 | ||||||
0.00%, 11/15/2024 | 2,299,000 | 1,774,918 | ||||||
0.00%, 08/15/2025 | 2,500,000 | 1,867,712 | ||||||
0.00%, 11/15/2026 | 258,000 | 182,809 | ||||||
5.50%, 09/18/2033 | 619,000 | 799,210 | ||||||
Lithuania Government International Bond | ||||||||
7.38%, 02/11/2020 (Acquired 08/12/2014, Cost $1,156,722) (2) | 995,000 | 1,176,588 |
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Los Angeles Department of Water & Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,272,496 | ||||||
Metropolitan Transportation Authority | ||||||||
6.81%, 11/15/2040 | 1,770,000 | 2,344,648 | ||||||
Mexico Government International Bond | ||||||||
3.50%, 01/21/2021 | 1,786,000 | 1,812,790 | ||||||
3.63%, 03/15/2022 | 2,000,000 | 2,012,000 | ||||||
4.00%, 10/02/2023 | 842,000 | 852,946 | ||||||
3.60%, 01/30/2025 | 868,000 | 845,866 | ||||||
4.75%, 03/08/2044 | 1,570,000 | 1,430,270 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,531,350 | ||||||
5.75%, 10/12/2110 | 588,000 | 548,310 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 110,000 | 110,752 | ||||||
3.75%, 07/01/2034 | 275,000 | 280,176 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.75%, 12/15/2028 | 2,450,000 | 2,522,447 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,068,080 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 313,872 | ||||||
North Carolina Housing Finance Agency | ||||||||
3.00%, 01/01/2033 | 5,880,000 | 5,946,856 | ||||||
Ohio State University/The | ||||||||
4.80%, 06/01/2111 | 1,102,000 | 1,054,713 | ||||||
Panama Government International Bond | ||||||||
5.20%, 01/30/2020 | 8,403,000 | 9,117,255 | ||||||
4.00%, 09/22/2024 | 3,133,000 | 3,133,000 | ||||||
3.75%, 03/16/2025 | 1,234,000 | 1,209,320 | ||||||
Peruvian Government International Bond | ||||||||
5.63%, 11/18/2050 | 190,000 | 193,800 | ||||||
Poland Government International Bond | ||||||||
6.38%, 07/15/2019 | 1,000,000 | 1,142,500 | ||||||
4.00%, 01/22/2024 | 1,040,000 | 1,094,080 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,501,353 | ||||||
5.65%, 11/01/2040 | 435,000 | 514,340 | ||||||
4.46%, 10/01/2062 | 2,065,000 | 1,984,609 | ||||||
Province of British Columbia Canada | ||||||||
2.00%, 10/23/2022 | 6,270,000 | 6,091,148 | ||||||
Province of Quebec Canada | ||||||||
7.37%, 03/06/2026 | 58,000 | 77,652 | ||||||
Residual Funding Corp Principal Strip | ||||||||
0.00%, 10/15/2019 | 5,732,000 | 5,338,865 | ||||||
0.00%, 07/15/2020 | 36,899,000 | 33,718,675 | ||||||
0.00%, 10/15/2020 | 6,411,000 | 5,802,974 | ||||||
0.00%, 01/15/2021 | 2,270,000 | 2,032,347 | ||||||
Rhode Island Housing & Mortgage Finance Corp/RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,160,120 |
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Romanian Government International Bond | ||||||||
4.88%, 01/22/2024 (Acquired 01/14/2014, Cost $435,459) (2) | 440,000 | 472,692 | ||||||
6.13%, 01/22/2044 | 1,000,000 | 1,170,000 | ||||||
San Dieguito Public Facilities Authority | ||||||||
6.46%, 05/01/2027 | 685,000 | 835,358 | ||||||
South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 411,951 | ||||||
5.38%, 07/24/2044 | 1,077,000 | 969,300 | ||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 7,730,350 | ||||||
7.30%, 10/01/2039 | 275,000 | 384,887 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 4,480,000 | 4,236,512 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,650,294 | ||||||
Tennessee Valley Authority | ||||||||
5.88%, 04/01/2036 | 882,000 | 1,133,174 | ||||||
5.50%, 06/15/2038 | 57,000 | 70,570 | ||||||
5.25%, 09/15/2039 | 949,000 | 1,141,072 | ||||||
3.50%, 12/15/2042 | 2,237,000 | 2,066,086 | ||||||
4.63%, 09/15/2060 | 303,000 | 316,699 | ||||||
4.25%, 09/15/2065 | 5,531,000 | 5,404,279 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 05/01/2019 | 1,238,000 | 1,150,295 | ||||||
0.00%, 07/15/2028 | 2,000,000 | 1,286,312 | ||||||
Tennessee Valley Authority Principal Strip | ||||||||
0.00%, 12/15/2017 | 427,000 | 415,563 | ||||||
0.00%, 11/01/2025 | 1,847,000 | 1,358,428 | ||||||
0.00%, 06/15/2035 | 258,000 | 119,397 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 298,483 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 3,910,000 | 4,350,477 | ||||||
5.75%, 03/22/2024 | 494,000 | 521,921 | ||||||
4.25%, 04/14/2026 | 895,000 | 839,109 | ||||||
Ukraine Government AID Bonds | ||||||||
1.85%, 05/29/2020 | 6,070,000 | 6,045,016 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.13%, 04/15/2016 (3) | 445,011 | 443,242 | ||||||
0.13%, 04/15/2019 (3) | 913,518 | 907,563 | ||||||
1.38%, 01/15/2020 (3) | 326,655 | 339,300 | ||||||
0.13%, 04/15/2020 (3) | 72,951,985 | 71,969,540 | ||||||
0.13%, 01/15/2022 (3) | 2,334,922 | 2,259,976 | ||||||
1.75%, 01/15/2028 (3) | 681,168 | 742,818 | ||||||
3.63%, 04/15/2028 (3) | 1,533,732 | 2,001,250 | ||||||
2.50%, 01/15/2029 (3) | 457,509 | 540,899 | ||||||
0.75%, 02/15/2045 (3) | 3,742,087 | 3,248,861 |
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United States Treasury Note/Bond | ||||||||
3.13%, 10/31/2016 | 3,400,000 | 3,465,722 | ||||||
2.75%, 11/30/2016 | 258,000 | 262,503 | ||||||
3.25%, 12/31/2016 | 20,315,000 | 20,801,707 | ||||||
3.13%, 01/31/2017 | 206,000 | 210,996 | ||||||
4.63%, 02/15/2017 | 980,000 | 1,020,655 | ||||||
3.25%, 03/31/2017 | 6,295,000 | 6,477,826 | ||||||
2.75%, 05/31/2017 | 5,000,000 | 5,127,820 | ||||||
0.75%, 06/30/2017 | 4,360,000 | 4,346,545 | ||||||
0.88%, 10/15/2017 | 7,960,000 | 7,936,653 | ||||||
0.75%, 10/31/2017 | 4,720,000 | 4,695,239 | ||||||
4.25%, 11/15/2017 | 3,353,000 | 3,551,109 | ||||||
0.88%, 11/30/2017 | 70,063,000 | 69,866,964 | ||||||
2.25%, 11/30/2017 | 206,000 | 210,603 | ||||||
2.75%, 12/31/2017 | 1,459,000 | 1,506,399 | ||||||
0.88%, 01/15/2018 | 28,425,000 | 28,298,964 | ||||||
0.88%, 01/31/2018 | 245,000 | 243,799 | ||||||
2.63%, 01/31/2018 | 2,683,000 | 2,766,771 | ||||||
3.50%, 02/15/2018 | 6,993,000 | 7,344,769 | ||||||
0.75%, 02/28/2018 | 5,250,000 | 5,205,721 | ||||||
0.63%, 04/30/2018 | 7,585,000 | 7,488,049 | ||||||
1.50%, 08/31/2018 | 6,561,000 | 6,605,654 | ||||||
1.25%, 10/31/2018 | 1,930,000 | 1,927,547 | ||||||
1.25%, 11/15/2018 | 1,926,000 | 1,923,252 | ||||||
1.25%, 11/30/2018 | 13,950,000 | 13,928,461 | ||||||
1.25%, 12/15/2018 | 1,370,000 | 1,367,296 | ||||||
1.38%, 12/31/2018 | 722,000 | 722,641 | ||||||
1.50%, 12/31/2018 | 24,330,000 | 24,444,132 | ||||||
2.75%, 02/15/2019 | 5,000,000 | 5,211,450 | ||||||
3.13%, 05/15/2019 | 10,774,000 | 11,369,910 | ||||||
1.50%, 05/31/2019 | 4,925,000 | 4,930,472 | ||||||
1.50%, 10/31/2019 | 3,515,000 | 3,504,683 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,338,237 | ||||||
1.13%, 12/31/2019 | 27,570,000 | 27,050,967 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 6,052,051 | ||||||
3.50%, 05/15/2020 | 1,300,000 | 1,398,164 | ||||||
8.75%, 05/15/2020 | 2,000,000 | 2,593,876 | ||||||
1.63%, 06/30/2020 | 90,901,000 | 90,549,940 | ||||||
1.63%, 07/31/2020 | 16,894,000 | 16,817,605 | ||||||
2.63%, 08/15/2020 | 60,309,000 | 62,669,555 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 8,261,613 | ||||||
2.13%, 08/31/2020 | 2,032,000 | 2,065,394 | ||||||
1.38%, 09/30/2020 | 13,816,000 | 13,580,617 | ||||||
1.38%, 10/31/2020 | 11,791,000 | 11,585,589 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,776,876 | ||||||
1.63%, 11/30/2020 | 57,210,000 | 56,885,791 | ||||||
2.00%, 11/30/2020 | 1,500,000 | 1,515,636 | ||||||
1.75%, 12/31/2020 | 22,855,000 | 22,836,602 |
Table of Contents
3.63%, 02/15/2021 | 1,961,000 | 2,132,513 | ||||||
7.88%, 02/15/2021 | 900,000 | 1,166,015 | ||||||
3.13%, 05/15/2021 | 4,602,000 | 4,896,114 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 2,266,538 | ||||||
2.13%, 08/15/2021 | 2,805,000 | 2,838,926 | ||||||
2.13%, 09/30/2021 | 5,885,000 | 5,948,505 | ||||||
2.00%, 10/31/2021 | 15,000,000 | 15,044,895 | ||||||
8.00%, 11/15/2021 | 4,414,000 | 5,897,629 | ||||||
1.50%, 01/31/2022 | 1,250,000 | 1,215,300 | ||||||
1.75%, 03/31/2022 | 2,070,000 | 2,038,401 | ||||||
1.75%, 05/15/2022 | 2,000,000 | 1,967,470 | ||||||
2.13%, 06/30/2022 | 2,000,000 | 2,010,542 | ||||||
2.00%, 11/30/2022 | 48,035,000 | 47,772,825 | ||||||
2.00%, 02/15/2023 | 500,000 | 497,080 | ||||||
1.75%, 05/15/2023 | 13,090,000 | 12,752,134 | ||||||
2.50%, 08/15/2023 | 1,000,000 | 1,025,951 | ||||||
2.50%, 05/15/2024 | 36,425,000 | 37,218,009 | ||||||
2.38%, 08/15/2024 | 2,000,000 | 2,020,712 | ||||||
2.00%, 08/15/2025 | 26,015,000 | 25,364,209 | ||||||
2.25%, 11/15/2025 | 11,309,000 | 11,283,690 | ||||||
5.50%, 08/15/2028 | 1,481,000 | 1,971,051 | ||||||
5.25%, 11/15/2028 | 30,240,500 | 39,515,654 | ||||||
6.13%, 08/15/2029 | 603,000 | 855,872 | ||||||
6.25%, 05/15/2030 | 789,000 | 1,144,022 | ||||||
5.38%, 02/15/2031 | 1,312,000 | 1,778,841 | ||||||
4.75%, 02/15/2037 | 17,086,000 | 22,612,996 | ||||||
4.38%, 02/15/2038 | 10,000,000 | 12,598,350 | ||||||
3.50%, 02/15/2039 | 159,469,100 | 176,053,408 | ||||||
4.25%, 05/15/2039 | 6,800,000 | 8,384,658 | ||||||
4.50%, 08/15/2039 | 706,000 | 901,914 | ||||||
2.75%, 11/15/2042 | 27,980,000 | 26,621,879 | ||||||
2.88%, 05/15/2043 (5) | 25,625,000 | 24,932,664 | ||||||
2.50%, 02/15/2045 | 11,185,000 | 10,014,982 | ||||||
3.00%, 05/15/2045 | 36,990,000 | 36,750,083 | ||||||
2.88%, 08/15/2045 | 33,845,000 | 32,807,177 | ||||||
United States Treasury Strip Coupon | ||||||||
0.00%, 08/15/2016 | 3,966,000 | 3,949,743 | ||||||
0.00%, 11/15/2016 | 4,261,000 | 4,231,360 | ||||||
0.00%, 08/15/2017 | 4,176,000 | 4,112,613 | ||||||
0.00%, 11/15/2017 | 9,529,000 | 9,342,174 | ||||||
0.00%, 02/15/2018 | 3,658,000 | 3,571,920 | ||||||
0.00%, 05/15/2018 | 1,624,000 | 1,579,762 | ||||||
0.00%, 08/15/2018 | 21,739,000 | 21,053,656 | ||||||
0.00%, 11/15/2018 | 500,000 | 481,383 | ||||||
0.00%, 05/15/2019 | 20,278,000 | 19,278,132 | ||||||
0.00%, 08/15/2019 | 22,357,000 | 21,099,083 | ||||||
0.00%, 11/15/2019 | 7,500,000 | 7,032,930 | ||||||
0.00%, 02/15/2020 | 6,078,000 | 5,661,256 |
Table of Contents
0.00%, 05/15/2020 | 39,615,000 | 36,579,342 | ||||||
0.00%, 08/15/2020 | 25,243,000 | 23,195,591 | ||||||
0.00%, 02/15/2021 | 14,550,000 | 13,155,528 | ||||||
0.00%, 05/15/2021 | 14,843,000 | 13,329,311 | ||||||
0.00%, 08/15/2021 | 9,469,000 | 8,445,221 | ||||||
0.00%, 11/15/2021 | 11,144,000 | 9,863,309 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 29,781,636 | ||||||
0.00%, 05/15/2022 | 18,154,000 | 15,817,308 | ||||||
0.00%, 08/15/2022 | 12,500,000 | 10,807,225 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 14,936,386 | ||||||
0.00%, 02/15/2023 | 61,562,000 | 52,555,972 | ||||||
0.00%, 05/15/2023 | 33,770,000 | 28,580,564 | ||||||
0.00%, 08/15/2023 | 19,635,000 | 16,521,596 | ||||||
0.00%, 11/15/2023 | 9,300,000 | 7,752,201 | ||||||
0.00%, 02/15/2024 | 6,124,000 | 5,075,914 | ||||||
0.00%, 05/15/2024 | 1,322,000 | 1,086,149 | ||||||
0.00%, 08/15/2024 | 1,834,000 | 1,493,357 | ||||||
0.00%, 11/15/2024 | 6,105,000 | 4,932,871 | ||||||
0.00%, 02/15/2025 | 799,000 | 640,442 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 2,605,188 | ||||||
0.00%, 08/15/2025 | 1,360,000 | 1,072,878 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 776,911 | ||||||
0.00%, 05/15/2026 | 3,801,000 | 2,926,116 | ||||||
0.00%, 08/15/2026 | 1,681,000 | 1,284,965 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 7,741,979 | ||||||
0.00%, 02/15/2027 | 20,416,000 | 15,329,129 | ||||||
0.00%, 05/15/2027 | 1,866,000 | 1,387,668 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 3,181,329 | ||||||
0.00%, 11/15/2027 | 7,702,000 | 5,638,573 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 5,640,970 | ||||||
0.00%, 05/15/2028 | 3,071,000 | 2,206,814 | ||||||
0.00%, 08/15/2028 | 6,918,000 | 4,933,247 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 5,324,748 | ||||||
0.00%, 02/15/2029 | 7,537,000 | 5,277,520 | ||||||
0.00%, 05/15/2029 | 1,330,000 | 923,890 | ||||||
0.00%, 08/15/2029 | 4,738,000 | 3,265,155 | ||||||
0.00%, 11/15/2029 | 5,164,000 | 3,518,347 | ||||||
0.00%, 02/15/2030 | 15,187,000 | 10,254,308 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 5,674,071 | ||||||
0.00%, 08/15/2030 | 13,772,000 | 9,140,518 | ||||||
0.00%, 11/15/2030 | 7,064,000 | 4,644,022 | ||||||
0.00%, 02/15/2031 | 9,298,000 | 6,083,635 | ||||||
0.00%, 05/15/2031 | 9,225,000 | 5,969,571 | ||||||
0.00%, 08/15/2031 | 11,262,000 | 7,217,208 | ||||||
0.00%, 11/15/2031 | 8,399,000 | 5,341,243 | ||||||
0.00%, 02/15/2032 | 15,909,000 | 10,017,086 | ||||||
0.00%, 05/15/2032 | 24,453,000 | 15,245,761 | ||||||
0.00%, 08/15/2032 | 10,925,000 | 6,761,701 |
Table of Contents
0.00%, 11/15/2032 | 9,612,000 | 5,880,170 | ||||||
0.00%, 02/15/2033 | 3,000,000 | 1,821,429 | ||||||
0.00%, 05/15/2033 | 10,845,000 | 6,524,211 | ||||||
0.00%, 08/15/2033 | 4,212,000 | 2,509,678 | ||||||
0.00%, 11/15/2033 | 5,966,000 | 3,518,425 | ||||||
0.00%, 02/15/2034 | 3,959,000 | 2,311,363 | ||||||
0.00%, 05/15/2034 | 4,650,000 | 2,687,830 | ||||||
0.00%, 08/15/2034 | 2,895,000 | 1,659,547 | ||||||
0.00%, 11/15/2034 | 3,492,000 | 1,984,242 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 1,027,919 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,072,692 | ||||||
0.00%, 08/15/2035 | 175,000 | 96,973 | ||||||
0.00%, 05/15/2036 | 121,000 | 65,546 | ||||||
United States Treasury Strip Principal | ||||||||
0.00%, 08/15/2039 | 1,225,000 | 607,038 | ||||||
0.00%, 05/15/2044 | 22,335,000 | 9,168,584 | ||||||
University of California | ||||||||
4.77%, 05/15/2115 | 1,594,000 | 1,511,128 | ||||||
Uruguay Government International Bond | ||||||||
5.10%, 06/18/2050 | 2,005,000 | 1,729,313 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 247,540 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 443,816 | ||||||
|
| |||||||
Total Government Related (Cost $2,163,889,484) | $ | 2,192,300,970 | ||||||
|
| |||||||
Mortgage Backed Obligations - 35.38% | ||||||||
A10 Securitization 2013-1 LLC | ||||||||
2.40%, 11/15/2025 (Acquired 10/28/2013, Cost $247,472) (2) | 248,032 | $ | 248,080 | |||||
A10 Securitization 2015-1 LLC | ||||||||
2.10%, 04/15/2034 (Acquired 04/24/2015, Cost $2,910,730) (2) | 2,911,000 | 2,883,170 | ||||||
3.13%, 04/15/2034 (Acquired 04/24/2015, Cost $861,994) (2) | 862,000 | 856,219 | ||||||
A10 Term Asset Financing 2013-2 LLC | ||||||||
4.38%, 11/15/2027 (Acquired 10/30/2013, Cost $424,889) (2) | 425,000 | 425,416 | ||||||
A10 Term Asset Financing 2014-1 LLC | ||||||||
1.72%, 04/15/2033 (Acquired 06/04/2014, Cost $1,559,701) (2) | 1,561,068 | 1,550,668 | ||||||
3.02%, 04/15/2033 (Acquired 06/04/2014, Cost $1,806,781) (2) | 1,807,000 | 1,802,184 | ||||||
ACRE Commercial Mortgage Trust 2014-FL2 | ||||||||
2.40%, 08/15/2031 (Acquired 08/01/2014, Cost $571,686) (2) | 572,000 | 566,512 | ||||||
2.85%, 08/15/2031 (Acquired 08/01/2014, Cost $721,228) (2) | 722,000 | 716,053 | ||||||
3.75%, 08/15/2031 (Acquired 12/11/2014, Cost $399,960) (2) | 400,000 | 396,694 | ||||||
Ajax Mortgage Loan Trust 2013-C | ||||||||
4.50%, 03/25/2053 (1) | 1,228,860 | 1,218,907 | ||||||
Ajax Mortgage Loan Trust 2014-A | ||||||||
3.75%, 10/25/2057 | 1,215,443 | 1,201,101 | ||||||
Ajax Mortgage Loan Trust 2015-B | ||||||||
3.88%, 07/25/2060 (Acquired 06/24/2015, Cost $1,418,270) (2) | 1,421,186 | 1,415,824 | ||||||
Alternative Loan Trust 2002-11 | ||||||||
6.25%, 10/25/2032 | 3,640 | 3,719 |
Table of Contents
Alternative Loan Trust 2002-12 | ||||||||
0.00%, 11/25/2032 PO | 15,286 | 11,501 | ||||||
Alternative Loan Trust 2003-20CB | ||||||||
5.50%, 10/25/2033 | 562,010 | 573,695 | ||||||
Alternative Loan Trust 2003-6T2 | ||||||||
5.50%, 06/25/2033 | 28,123 | 28,416 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 1,185,181 | 1,193,840 | ||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.68%, 03/25/2035 IO | 339,977 | 69,423 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
4.33%, 07/25/2035 IO | 1,063,510 | 128,114 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.65%, 06/25/2035 IO | 1,017,306 | 152,082 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 464,166 | 452,038 | ||||||
6.00%, 08/25/2035 | 13,550 | 10,810 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.63%, 09/25/2035 IO | 3,510,696 | 563,658 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 63,144 | 63,407 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
4.43%, 11/25/2035 IO | 1,992,992 | 223,657 | ||||||
5.50%, 11/25/2035 | 504,984 | 463,829 | ||||||
5.50%, 11/25/2035 | 6,495 | 6,451 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 195,417 | 184,615 | ||||||
Alternative Loan Trust 2005-J1 | ||||||||
4.68%, 02/25/2035 IO | 436,331 | 30,428 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 114,517 | 93,827 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 (6) | 33,414 | 36,621 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 174,622 | 170,488 | ||||||
Alternative Loan Trust 2006-J5 | ||||||||
4.81%, 07/25/2021 | 56,247 | 55,945 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035 (Acquired 10/28/2013, Cost $63,039) (2) | 61,432 | 63,305 | ||||||
American General Mortgage Loan Trust 2010-1 | ||||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $455,556) (2) | 443,467 | 445,548 | ||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $477,117) (2) | 464,000 | 475,328 | ||||||
Angel Oak Mortgage Trust LLC 2015-1 | ||||||||
4.50%, 11/25/2045 (Acquired 12/10/2015, Cost $2,114,540) (2) | 2,119,000 | 2,115,276 | ||||||
ASG Resecuritization Trust 2009-1 | ||||||||
5.63%, 06/26/2037 | 305,278 | 302,219 | ||||||
ASG Resecuritization Trust 2009-3 | ||||||||
2.10%, 03/26/2037 (Acquired 10/28/2013, Cost $1,184,779) (2) | 1,183,163 | 1,178,303 |
Table of Contents
ASG Resecuritization Trust 2009-4 | ||||||||
6.00%, 06/28/2037 (Acquired 10/28/2013, Cost $77,388) (2) | 76,355 | 76,308 | ||||||
ASG Resecuritization Trust 2009-5 | ||||||||
3.30%, 02/28/2037 (Acquired 10/28/2013, Cost $99,274) (2) | 98,584 | 98,768 | ||||||
ASG Resecuritization Trust 2010-1 | ||||||||
0.59%, 02/27/2036 (Acquired 10/28/2013, Cost $23,604) (2) | 24,071 | 23,997 | ||||||
ASG Resecuritization Trust 2010-2 | ||||||||
1.80%, 01/28/2037 | 410,642 | 405,313 | ||||||
ASG Resecuritization Trust 2011-1 | ||||||||
4.00%, 09/28/2020 (Acquired 10/28/2013, Cost $46,224) (2) | 45,893 | 45,897 | ||||||
2.65%, 11/28/2035 (Acquired 10/28/2013, Cost $494,567) (2) | 501,955 | 494,394 | ||||||
6.00%, 09/28/2036 (Acquired 10/28/2013, Cost $583,950) (2) | 567,427 | 511,821 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030 (Acquired 10/28/2013, Cost $782,514) (2) | 809,000 | 803,976 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.21%, 08/15/2046 (Acquired 08/01/2014, Cost $1,148,339) (2) | 1,200,000 | 1,126,593 | ||||||
Banc of America Alternative Loan Trust 2003-1 | ||||||||
0.00%, 02/25/2033 PO | 19,079 | 15,989 | ||||||
Banc of America Alternative Loan Trust 2003-11 | ||||||||
4.75%, 01/25/2019 | 12,513 | 12,594 | ||||||
0.00%, 01/25/2034 PO | 47,882 | 41,696 | ||||||
6.00%, 01/25/2034 | 398,201 | 414,275 | ||||||
6.00%, 01/25/2034 | 409,800 | 430,880 | ||||||
Banc of America Alternative Loan Trust 2003-4 | ||||||||
5.00%, 06/25/2018 | 223,999 | 227,809 | ||||||
Banc of America Alternative Loan Trust 2003-5 | ||||||||
5.00%, 07/25/2018 | 78,631 | 79,592 | ||||||
Banc of America Alternative Loan Trust 2003-7 | ||||||||
5.00%, 09/25/2018 | 124,698 | 125,945 | ||||||
5.50%, 09/25/2033 | 419,219 | 429,080 | ||||||
Banc of America Alternative Loan Trust 2004-1 | ||||||||
5.50%, 02/25/2019 | 51,099 | 52,011 | ||||||
6.00%, 02/25/2034 | 107,763 | 114,389 | ||||||
Banc of America Alternative Loan Trust 2004-11 | ||||||||
5.50%, 12/25/2019 | 11,176 | 11,439 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 13,928 | 13,533 | ||||||
Banc of America Alternative Loan Trust 2004-7 | ||||||||
5.00%, 08/25/2019 | 198,939 | 203,728 | ||||||
Banc of America Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 96,941 | 94,901 | ||||||
Banc of America Alternative Loan Trust 2005-10 | ||||||||
5.25%, 11/25/2020 | 44,152 | 44,960 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 23,718 | 21,523 | ||||||
Banc of America Alternative Loan Trust 2005-2 | ||||||||
5.50%, 03/25/2020 | 15,855 | 16,272 | ||||||
5.50%, 03/25/2035 | 14,328 | 13,251 |
Table of Contents
Banc of America Alternative Loan Trust 2005-4 | ||||||||
5.50%, 05/25/2020 | 115,741 | 116,568 | ||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 75,069 | 70,408 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 35,468 | 32,284 | ||||||
Banc of America Alternative Loan Trust 2006-5 | ||||||||
6.00%, 06/25/2046 | 80,496 | 68,303 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.85%, 04/25/2022 | 91,311 | 91,363 | ||||||
Banc of America Commercial Mortgage Trust 2006-2 | ||||||||
5.87%, 05/10/2045 | 10,000,000 | 10,113,872 | ||||||
Banc of America Commercial Mortgage Trust 2006-3 | ||||||||
5.89%, 07/10/2044 | 1,623,929 | 1,632,485 | ||||||
Banc of America Commercial Mortgage Trust 2006-4 | ||||||||
5.63%, 07/10/2046 | 1,593,333 | 1,606,251 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.67%, 09/10/2047 (Acquired 10/28/2013, Cost $282,593) (2) | 17,799,193 | 76,907 | ||||||
5.41%, 09/10/2047 | 1,483,040 | 1,500,186 | ||||||
Banc of America Commercial Mortgage Trust 2006-6 | ||||||||
5.37%, 10/10/2045 | 228,254 | 228,433 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.36%, 02/10/2051 | 8,785,136 | 9,178,298 | ||||||
5.49%, 02/10/2051 | 2,967,029 | 3,072,970 | ||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 | ||||||||
3.71%, 09/15/2048 | 746,000 | 762,150 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 PO | 53,190 | 43,930 | ||||||
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 4,109,102 | 4,424,420 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
3.08%, 12/20/2034 | 103,349 | 102,215 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 69,871 | 68,604 | ||||||
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 PO | 56,499 | 45,436 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 PO | 21,731 | 15,122 | ||||||
Banc of America Funding 2005-C Trust | ||||||||
0.64%, 05/20/2035 | 6,502,767 | 6,057,941 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
2.84%, 03/20/2035 | 133,110 | 132,451 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 PO | 36,955 | 28,648 | ||||||
Banc of America Funding 2010-R11 Trust | ||||||||
5.12%, 08/26/2035 (Acquired 10/28/2013, Cost $384,201) (2) | 379,691 | 382,648 |
Table of Contents
Banc of America Merrill Lynch Commercial Mortgage Inc | ||||||||
5.34%, 11/10/2042 | 127,040 | 126,899 | ||||||
4.73%, 07/10/2043 | 171,676 | 171,399 | ||||||
0.04%, 10/10/2045 (Acquired 10/28/2013, Cost $92,144) (2) | 5,746,331 | 2,978 | ||||||
Banc of America Mortgage 2003-3 Trust | ||||||||
0.97%, 05/25/2018 | 73,618 | 71,809 | ||||||
5.50%, 05/25/2033 | 225,109 | 231,145 | ||||||
Banc of America Mortgage 2003-5 Trust | ||||||||
7.50%, 02/25/2031 | 46,560 | 48,204 | ||||||
Banc of America Mortgage 2003-6 Trust | ||||||||
0.87%, 08/25/2018 | 18,980 | 18,800 | ||||||
Banc of America Mortgage 2003-7 Trust | ||||||||
4.75%, 09/25/2018 | 2,998 | 3,028 | ||||||
Banc of America Mortgage 2003-8 Trust | ||||||||
0.00%, 11/25/2033 PO | 20,542 | 17,091 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
2.62%, 04/25/2033 | 24,855 | 25,146 | ||||||
Banc of America Mortgage 2003-E Trust | ||||||||
2.79%, 06/25/2033 | 182,710 | 183,054 | ||||||
Banc of America Mortgage 2004-J Trust | ||||||||
3.12%, 11/25/2034 | 94,919 | 93,357 | ||||||
Banc of America Mortgage Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 3,342 | 3,053 | ||||||
Banc of America Mortgage Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 193,900 | 196,929 | ||||||
Banc of America Mortgage Trust 2004-4 | ||||||||
0.00%, 05/25/2034 PO | 6,741 | 5,875 | ||||||
Banc of America Mortgage Trust 2004-5 | ||||||||
4.75%, 06/25/2019 | 18,301 | 18,349 | ||||||
5.50%, 06/25/2034 | 81,470 | 82,981 | ||||||
Banc of America Mortgage Trust 2004-6 | ||||||||
5.50%, 05/25/2034 | 555,144 | 563,751 | ||||||
0.00%, 07/25/2034 PO | 30,543 | 27,215 | ||||||
5.50%, 07/25/2034 | 13,489 | 13,694 | ||||||
Banc of America Mortgage Trust 2004-8 | ||||||||
0.00%, 05/25/2032 PO | 2,179 | 1,876 | ||||||
0.00%, 10/25/2034 PO | 9,703 | 8,396 | ||||||
Banc of America Mortgage Trust 2004-9 | ||||||||
0.00%, 09/25/2032 PO | 551 | 506 | ||||||
6.50%, 09/25/2032 | 41,164 | 42,891 | ||||||
Banc of America Mortgage Trust 2005-1 | ||||||||
5.00%, 02/25/2020 | 83,821 | 85,807 | ||||||
Banc of America Re-REMIC Trust 2009-UBER1 | ||||||||
5.59%, 06/24/2050 (Acquired 10/28/2013, Cost $885,251) (2) | 814,371 | 825,691 | ||||||
Battalion CLO V Ltd | ||||||||
1.82%, 04/17/2026 (Acquired 03/07/2014, Cost $9,629,248) (2) | 9,650,000 | 9,549,698 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030 (Acquired 10/28/2013, Cost $2,840,857) (2) | 2,941,000 | 2,908,359 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/05/2036 (Acquired 10/28/2013 through 12/04/2013, Cost $2,479,306) (2) | 2,602,000 | 2,588,492 |
Table of Contents
BCAP LLC 2009-RR13-I Trust | ||||||||
5.50%, 04/26/2037 (Acquired 10/28/2013, Cost $291,515) (2) | 283,665 | 288,408 | ||||||
BCAP LLC 2009-RR14 Trust | ||||||||
2.51%, 08/26/2035 (Acquired 10/28/2013, Cost $673,698) (2) | 712,954 | 712,399 | ||||||
BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/26/2034 (Acquired 10/28/2013, Cost $267,218) (2) | 263,958 | 280,323 | ||||||
BCAP LLC 2010-RR12 Trust | ||||||||
4.03%, 01/26/2036 (Acquired 10/28/2013, Cost $77,915) (2) | 77,031 | 76,516 | ||||||
2.74%, 10/26/2036 (Acquired 10/28/2013, Cost $251,072) (2) | 249,193 | 246,309 | ||||||
BCAP LLC 2010-RR5-I Trust | ||||||||
5.40%, 04/26/2037 (Acquired 10/28/2013, Cost $368,823) (2) | 369,305 | 374,822 | ||||||
BCAP LLC 2010-RR6 Trust | ||||||||
4.18%, 06/26/2036 (Acquired 10/28/2013, Cost $121,121) (2) | 117,889 | 117,853 | ||||||
BCAP LLC 2010-RR7 Trust | ||||||||
2.71%, 04/26/2035 (Acquired 10/28/2013, Cost $137,684) (2) | 139,862 | 138,386 | ||||||
2.27%, 07/26/2045 (Acquired 10/28/2013, Cost $1,546,271) (2) | 1,589,020 | 1,592,416 | ||||||
0.94%, 02/26/2047 (Acquired 10/28/2013, Cost $26,802) (2) | 27,436 | 27,390 | ||||||
BCAP LLC 2010-RR8 Trust | ||||||||
2.74%, 05/26/2035 (Acquired 10/28/2013, Cost $29,954) (2) | 29,516 | 29,460 | ||||||
2.74%, 05/26/2035 (Acquired 10/28/2013, Cost $1,001,371) (2) | 1,032,000 | 997,919 | ||||||
BCAP LLC 2011-RR10 Trust | ||||||||
1.15%, 09/26/2037 (Acquired 10/28/2013, Cost $1,139,302) (2) | 1,218,303 | 1,171,973 | ||||||
BCAP LLC 2011-RR11 Trust | ||||||||
4.00%, 08/26/2021 (Acquired 10/28/2013, Cost $133,831) (2) | 132,630 | 133,339 | ||||||
3.00%, 08/26/2022 (Acquired 10/28/2013, Cost $89,223) (2) | 88,986 | 89,077 | ||||||
BCAP LLC 2011-RR4-I Trust | ||||||||
5.00%, 08/26/2037 (Acquired 10/28/2013, Cost $1,050,248) (2) | 1,046,008 | 1,054,499 | ||||||
BCAP LLC 2011-RR5-I Trust | ||||||||
0.37%, 05/28/2036 (Acquired 10/28/2013, Cost $444,035) (2) | 466,903 | 462,503 | ||||||
BCAP LLC 2012-RR1 Trust | ||||||||
3.47%, 07/26/2037 (Acquired 10/28/2013, Cost $534,447) (2) | 522,753 | 557,016 | ||||||
BCAP LLC 2012-RR10-I Trust | ||||||||
0.41%, 05/26/2036 (Acquired 10/28/2013, Cost $1,119,500) (2) | 1,172,717 | 1,126,770 | ||||||
0.45%, 02/26/2037 (Acquired 10/28/2013, Cost $433,041) (2) | 452,467 | 437,985 | ||||||
BCAP LLC 2012-RR2 Trust | ||||||||
0.39%, 08/26/2036 (Acquired 10/28/2013, Cost $326,364) (2) | 336,124 | 333,367 | ||||||
BCAP LLC 2012-RR3 Trust | ||||||||
2.08%, 05/26/2037 (Acquired 10/28/2013, Cost $931,919) (2) | 941,181 | 942,141 | ||||||
BCAP LLC 2012-RR4 Trust | ||||||||
0.42%, 06/26/2047 (Acquired 10/28/2013, Cost $502,077) (2) | 525,820 | 508,813 | ||||||
BCAP LLC 2015-RR1 | ||||||||
1.20%, 09/11/2038 (Acquired 03/24/2015, Cost $1,551,152) (2) | 1,644,864 | 1,531,040 | ||||||
Bear Stearns ALT-A Trust 2005-2 | ||||||||
0.92%, 03/25/2035 | 315,619 | 309,964 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
2.57%, 01/25/2033 (Acquired 10/28/2013, Cost $209,848) (2) | 217,385 | 219,343 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
2.54%, 10/25/2033 | 24,558 | 24,606 |
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Bear Stearns ARM Trust 2004-2 | ||||||||
3.05%, 05/25/2034 | 113,813 | 113,353 | ||||||
Bear Stearns ARM Trust 2005-5 | ||||||||
2.16%, 08/25/2035 | 640,859 | 646,601 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
2.58%, 02/25/2036 | 604,797 | 599,075 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 89,005 | 89,587 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.64%, 12/11/2038 (Acquired 10/28/2013, Cost $286,467) (2) | 21,046,691 | 97,511 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.54%, 10/12/2041 | 243,584 | 246,799 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.14%, 01/12/2045 (Acquired 10/28/2013, Cost $320,308) (2) | 62,009,656 | 126,208 | ||||||
CAM Mortgage Trust 2013-1 | ||||||||
3.50%, 11/25/2057 (Acquired 10/02/2014, Cost $298,796) (1)(2) | 298,796 | 298,916 | ||||||
CD 2006-CD3 Mortgage Trust | ||||||||
0.51%, 10/15/2048 (Acquired 10/28/2013, Cost $194,648) (2) | 11,011,372 | 76,684 | ||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
0.37%, 12/11/2049 | 20,049,200 | 62,794 | ||||||
5.32%, 12/11/2049 | 6,473,580 | 6,582,358 | ||||||
CGBAM Commercial Mortgage Trust 2014-HD | ||||||||
1.13%, 02/15/2031 (Acquired 05/13/2014, Cost $900,000) (2) | 900,000 | 896,829 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
2.66%, 09/25/2036 | 300,956 | 267,746 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
2.61%, 02/25/2037 | 33,348 | 33,442 | ||||||
2.66%, 02/25/2037 | 244,676 | 245,193 | ||||||
2.69%, 02/25/2037 | 139,349 | 138,177 | ||||||
2.70%, 02/25/2037 | 112,534 | 111,379 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
2.70%, 07/25/2037 | 98,944 | 98,494 | ||||||
2.72%, 07/25/2037 | 139,742 | 140,960 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 PO | 19,021 | 16,369 | ||||||
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 62,590 | 65,679 | ||||||
5.75%, 04/25/2034 | 42,644 | 44,374 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 292,909 | 304,381 | ||||||
CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
2.51%, 06/25/2034 | 19,238 | 18,855 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2019 | �� | 104,928 | 107,548 | |||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
2.62%, 05/20/2034 | 35,145 | 33,446 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
2.32%, 06/20/2034 | 150,886 | 143,411 |
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CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
2.64%, 11/20/2034 | 102,652 | 98,252 | ||||||
CHL Mortgage Pass-Through Trust 2004-J8 | ||||||||
4.75%, 11/25/2019 | 12,429 | 12,689 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 46,048 | 45,939 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 23,853 | 23,309 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
2.71%, 11/25/2035 | 392,629 | 334,619 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC35 | ||||||||
3.82%, 11/10/2048 | 1,216,000 | 1,245,722 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 19,272 | 19,882 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 119,541 | 120,685 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC19 | ||||||||
3.75%, 03/10/2047 | 7,125,000 | 7,357,164 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,920,000 | 7,080,751 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/10/2047 | 12,300,000 | 12,384,773 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC29 | ||||||||
2.94%, 04/10/2048 | 10,000,000 | 9,640,676 | ||||||
Citigroup Global Markets Mortgage Securities VII Inc | ||||||||
0.00%, 12/25/2018 PO | 2,003 | 1,843 | ||||||
3.95%, 04/25/2032 (Acquired 10/28/2013, Cost $40,523) (2) | 41,179 | 40,558 | ||||||
7.00%, 06/25/2033 | 32,613 | 33,435 | ||||||
2.74%, 09/25/2033 | 291,065 | 290,707 | ||||||
Citigroup Mortgage Loan Trust 2008-AR4 | ||||||||
2.74%, 11/25/2038 (Acquired 10/28/2013, Cost $909,262) (2) | 901,392 | 898,794 | ||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
2.52%, 09/25/2033 (Acquired 10/28/2013, Cost $605,239) (2) | 598,252 | 604,924 | ||||||
7.00%, 12/25/2035 (Acquired 10/28/2013, Cost $419,111) (2) | 407,962 | 422,788 | ||||||
Citigroup Mortgage Loan Trust 2009-11 | ||||||||
5.75%, 05/25/2037 (Acquired 10/28/2013, Cost $323,754) (2) | 318,128 | 324,562 | ||||||
Citigroup Mortgage Loan Trust 2009-5 | ||||||||
6.00%, 06/25/2036 (Acquired 10/28/2013, Cost $202,075) (2) | 199,525 | 206,674 | ||||||
Citigroup Mortgage Loan Trust 2009-8 | ||||||||
6.00%, 11/25/2036 (Acquired 10/28/2013, Cost $178,254) (2) | 173,600 | 181,557 | ||||||
Citigroup Mortgage Loan Trust 2010-10 | ||||||||
2.59%, 02/25/2036 (Acquired 10/28/2013, Cost $284,278) (2) | 282,574 | 285,623 | ||||||
Citigroup Mortgage Loan Trust 2010-3 | ||||||||
2.58%, 02/25/2036 (Acquired 10/28/2013, Cost $101,868) (2) | 101,608 | 100,865 | ||||||
Citigroup Mortgage Loan Trust 2010-7 | ||||||||
2.66%, 02/25/2035 (Acquired 10/28/2013, Cost $121,974) (2) | 120,851 | 120,144 |
Table of Contents
Citigroup Mortgage Loan Trust 2010-8 | ||||||||
4.00%, 11/25/2036 (Acquired 10/28/2013, Cost $1,188,623) (2) | 1,182,681 | 1,193,190 | ||||||
4.50%, 12/25/2036 (Acquired 10/28/2013, Cost $1,408,180) (2) | 1,385,478 | 1,404,372 | ||||||
Citigroup Mortgage Loan Trust 2015-A | ||||||||
4.50%, 06/25/2058 (Acquired 03/31/2015, Cost $486,066) (2) | 493,318 | 482,633 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
0.00%, 06/25/2016 PO | 60 | 60 | ||||||
0.00%, 12/25/2018 PO | 4,572 | 4,396 | ||||||
0.00%, 12/25/2018 PO | 3,271 | 3,179 | ||||||
5.50%, 12/25/2018 | 26,746 | 26,815 | ||||||
0.00%, 09/25/2033 PO | 12,106 | 10,863 | ||||||
7.00%, 09/25/2033 | 8,837 | 9,108 | ||||||
0.00%, 10/25/2033 PO | 11,182 | 10,078 | ||||||
5.25%, 10/25/2033 | 87,824 | 89,509 | ||||||
0.80%, 12/25/2033 | 64,099 | 61,673 | ||||||
2.32%, 08/25/2034 | 60,905 | 58,439 | ||||||
2.73%, 04/25/2035 | 41,461 | 33,362 | ||||||
5.50%, 05/25/2035 | 208,331 | 216,766 | ||||||
2.60%, 08/25/2035 | 125,930 | 91,225 | ||||||
5.50%, 11/25/2035 (6) | 25,688 | 24,589 | ||||||
6.00%, 11/25/2035 (6) | 5,290,669 | 4,830,379 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.77%, 08/15/2048 | 14,454,943 | 85,251 | ||||||
5.22%, 08/15/2048 | 481,201 | 488,860 | ||||||
5.25%, 08/15/2048 | 578,000 | 585,733 | ||||||
COMM 2006-C7 Mortgage Trust | ||||||||
5.77%, 06/10/2046 | 1,133,967 | 1,143,303 | ||||||
COMM 2012-9W57 Mortgage Trust | ||||||||
2.36%, 02/10/2029 (Acquired 10/28/2013, Cost $8,049,429) (2) | 7,943,000 | 7,994,566 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/15/2045 | 4,035,538 | 4,146,141 | ||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
1.83%, 08/15/2045 | 3,268,849 | 281,361 | ||||||
3.15%, 08/15/2045 | 9,614,464 | 9,704,702 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030 (Acquired 10/28/2013, Cost $532,054) (2) | 516,000 | 549,384 | ||||||
COMM 2013-CCRE10 Mortgage Trust | ||||||||
3.92%, 08/10/2046 | 4,125,000 | 4,340,520 | ||||||
COMM 2013-CCRE11 Mortgage Trust | ||||||||
3.98%, 10/10/2046 | 1,770,000 | 1,869,737 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/10/2046 | 7,700,000 | 7,999,718 | ||||||
COMM 2013-CCRE9 Mortgage Trust | ||||||||
4.02%, 07/10/2045 | 4,000,000 | 4,232,776 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
2.99%, 04/12/2035 (Acquired 10/28/2013, Cost $679,042) (2) | 708,000 | 703,791 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/10/2047 | 6,100,000 | 6,198,226 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/10/2047 | 5,000,000 | 5,152,577 |
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COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/10/2047 | 12,000,000 | 11,926,932 | ||||||
COMM 2014-KYO Mortgage Trust | ||||||||
1.20%, 06/11/2027 (Acquired 06/20/2014, Cost $4,232,000) (2) | 4,232,000 | 4,182,893 | ||||||
COMM 2014-PAT Mortgage Trust | ||||||||
1.12%, 08/13/2027 (Acquired 09/18/2014, Cost $1,649,000) (2) | 1,649,000 | 1,624,208 | ||||||
COMM 2014-TWC Mortgage Trust | ||||||||
1.05%, 02/13/2032 (Acquired 01/30/2014, Cost $3,251,065) (2) | 3,250,000 | 3,212,990 | ||||||
2.02%, 02/13/2032 (Acquired 08/12/2014, Cost $1,002,143) (2) | 1,000,000 | 992,409 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/10/2047 | 11,000,000 | 11,216,315 | ||||||
COMM 2015-3BP Mortgage Trust | ||||||||
3.18%, 02/10/2035 (Acquired 06/11/2015, Cost $1,016,794) (2) | 1,025,000 | 1,004,415 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.43%, 08/10/2055 | 7,500,000 | 7,503,289 | ||||||
3.70%, 08/10/2055 | 770,833 | 783,406 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.51%, 08/10/2048 | 13,200,000 | 13,290,263 | ||||||
3.76%, 08/10/2048 | 2,437,000 | 2,485,058 | ||||||
COMM 2015-CCRE26 Mortgage Trust | ||||||||
3.63%, 10/10/2048 | 1,142,000 | 1,151,367 | ||||||
COMM 2015-LC23 Mortgage Trust | ||||||||
3.77%, 10/10/2053 | 1,558,000 | 1,586,919 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
3.62%, 07/10/2050 | 735,000 | 742,889 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
5.83%, 07/10/2038 | 310,000 | 313,410 | ||||||
COOF Securitization Trust 2014-1 Ltd | ||||||||
2.91%, 06/25/2040 (Acquired 05/16/2014, Cost $432,980) (2) | 3,053,955 | 406,481 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2006-C2 | ||||||||
5.66%, 03/15/2039 | 128,897 | 128,704 | ||||||
5.66%, 03/15/2039 | 6,714,611 | 6,714,074 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.06%, 01/15/2049 (Acquired 10/28/2013, Cost $76,025) (2) | 22,869,648 | 25,934 | ||||||
Credit Suisse First Boston Mortgage Securities Corp | ||||||||
4.50%, 10/25/2018 | 7,683 | 7,655 | ||||||
5.00%, 10/25/2018 | 30,507 | 30,695 | ||||||
0.00%, 08/25/2019 PO | 1,856 | 1,844 | ||||||
5.25%, 08/25/2019 | 89,321 | 91,230 | ||||||
6.70%, 02/25/2033 | 143,250 | 144,779 | ||||||
2.89%, 06/25/2033 | 69,501 | 69,018 | ||||||
5.25%, 07/25/2033 | 3,549,622 | 3,671,239 | ||||||
5.25%, 09/25/2033 | 141,655 | 146,305 | ||||||
0.00%, 10/25/2033 PO | 108,366 | 93,700 | ||||||
5.25%, 11/25/2033 | 81,056 | 82,661 | ||||||
5.25%, 11/25/2033 | 210,263 | 214,385 | ||||||
5.50%, 09/25/2034 | 137,807 | 144,953 |
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5.50%, 12/25/2034 | 213,291 | 230,570 | ||||||
0.00%, 10/25/2035 PO | 29,060 | 20,809 | ||||||
5.50%, 10/25/2035 IO | 424,764 | 45,782 | ||||||
0.00%, 11/25/2035 PO | 24,244 | 15,285 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
6.00%, 01/27/2038 (Acquired 10/28/2013, Cost $242,866) (2) | 238,963 | 244,302 | ||||||
CSAIL 2015-C2 Commercial Mortgage Trust | ||||||||
3.50%, 06/15/2057 | 353,000 | 356,152 | ||||||
CSAIL 2015-C4 Commercial Mortgage Trust | ||||||||
3.54%, 11/15/2048 | 7,500,000 | 7,497,817 | ||||||
3.81%, 11/15/2048 | 1,526,000 | 1,555,452 | ||||||
CSMC Series 2010-11R | ||||||||
1.23%, 06/28/2047 | 5,058,625 | 4,895,885 | ||||||
CSMC Series 2010-17R | ||||||||
2.45%, 06/26/2036 (Acquired 10/28/2013, Cost $303,320) (2) | 297,127 | 301,054 | ||||||
CSMC Series 2011-16R | ||||||||
3.44%, 12/27/2036 (Acquired 10/28/2013, Cost $561,332) (2) | 555,821 | 558,593 | ||||||
CSMC Series 2011-6R | ||||||||
2.86%, 07/28/2036 (Acquired 10/28/2013, Cost $232,296) (2) | 234,447 | 235,565 | ||||||
CSMC Series 2012-2R | ||||||||
2.43%, 03/27/2047 | 335,732 | 331,108 | ||||||
CSMC Series 2012-3R | ||||||||
2.38%, 07/27/2037 | 567,818 | 565,340 | ||||||
CSMC Trust 2014-ICE | ||||||||
1.13%, 04/15/2027 (Acquired 05/30/2014, Cost $2,690,000) (2) | 2,690,000 | 2,672,492 | ||||||
CSMC Trust 2010-16 | ||||||||
4.25%, 06/25/2050 (Acquired 10/28/2013, Cost $321,673) (2) | 324,398 | 324,979 | ||||||
CSMC Trust 2014-USA | ||||||||
3.95%, 09/15/2037 (Acquired 09/22/2014, Cost $1,213,374) (2) | 1,145,000 | 1,175,925 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.37%, 07/10/2044 (Acquired 10/28/2013, Cost $224,149) (2) | 3,937,681 | 138,959 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-1 | ||||||||
5.83%, 02/25/2020 | 86,785 | 89,011 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-3 | ||||||||
5.17%, 06/25/2020 | 109,517 | 109,912 | ||||||
Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | ||||||||
0.00%, 10/25/2018 PO | 3,282 | 3,232 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4 | ||||||||
6.00%, 04/25/2034 | 3,037 | 3,111 | ||||||
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039 | 135,694 | 153,584 | ||||||
Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 183,192 | 213,261 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 192,054 | 226,541 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 54,737 | 61,111 |
Table of Contents
Fannie Mae Grantor Trust 2004-T2 | ||||||||
3.52%, 07/25/2043 | 244,515 | 253,586 | ||||||
7.50%, 11/25/2043 | 405,712 | 477,398 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
8.97%, 01/25/2044 | 53,933 | 49,187 | ||||||
6.50%, 02/25/2044 | 571,845 | 637,252 | ||||||
7.00%, 02/25/2044 | 225,997 | 257,205 | ||||||
Fannie Mae Interest Strip | ||||||||
10.00%, 09/25/2017 IO | 72 | 5 | ||||||
4.50%, 07/25/2018 IO | 40,240 | 1,626 | ||||||
4.50%, 08/25/2018 IO | 55,323 | 1,638 | ||||||
5.50%, 08/25/2018 IO | 30,595 | 1,323 | ||||||
10.50%, 03/25/2019 IO | 101 | 10 | ||||||
4.50%, 11/25/2020 IO | 9,225 | 490 | ||||||
7.50%, 04/25/2023 IO | 1,977 | 397 | ||||||
9.00%, 03/25/2024 | 1,462 | 1,761 | ||||||
0.00%, 09/25/2024 PO | 152,466 | 135,529 | ||||||
0.00%, 01/25/2033 PO | 20,314 | 18,482 | ||||||
5.00%, 12/25/2033 IO | 26,019 | 5,306 | ||||||
5.50%, 05/25/2036 IO | 111,566 | 24,528 | ||||||
5.50%, 08/25/2036 IO | 73,741 | 16,687 | ||||||
5.50%, 04/25/2037 IO | 29,652 | 5,880 | ||||||
6.00%, 01/25/2038 IO | 76,093 | 14,444 | ||||||
0.92%, 08/25/2042 | 1,220,998 | 1,200,045 | ||||||
0.97%, 08/25/2042 | 3,495,701 | 3,544,615 | ||||||
Fannie Mae Pool | ||||||||
6.00%, 06/01/2016 | 252 | 252 | ||||||
1.94%, 01/01/2017 | 488,883 | 488,259 | ||||||
5.50%, 03/01/2017 | 3,383 | 3,432 | ||||||
6.50%, 03/01/2017 | 1,499 | 1,522 | ||||||
7.00%, 03/01/2017 | 646 | 650 | ||||||
7.00%, 03/01/2017 | 2,041 | 2,079 | ||||||
7.50%, 03/01/2017 | 160 | 159 | ||||||
5.24%, 05/01/2017 | 885,364 | 920,313 | ||||||
7.00%, 05/01/2017 | 1,298 | 1,325 | ||||||
3.82%, 06/01/2017 | 1,407,201 | 1,442,464 | ||||||
7.00%, 06/01/2017 | 828 | 834 | ||||||
7.00%, 06/01/2017 | 839 | 856 | ||||||
3.39%, 08/01/2017 | 274,000 | 282,101 | ||||||
6.00%, 08/01/2017 | 1,150 | 1,160 | ||||||
6.50%, 08/01/2017 | 1,575 | 1,610 | ||||||
5.50%, 09/01/2017 | 4,600 | 4,689 | ||||||
7.00%, 09/01/2017 | 1,588 | 1,631 | ||||||
2.49%, 10/01/2017 | 455,033 | 462,098 | ||||||
2.62%, 10/01/2017 | 599,000 | 609,441 | ||||||
2.69%, 10/01/2017 | 389,572 | 396,706 | ||||||
5.89%, 10/01/2017 | 2,270,677 | 2,423,569 | ||||||
6.50%, 10/01/2017 | 1,689 | 1,702 | ||||||
6.00%, 11/01/2017 | 2,325 | 2,369 |
Table of Contents
6.00%, 11/01/2017 | 21,193 | 21,575 | ||||||
6.50%, 11/01/2017 | 590 | 590 | ||||||
7.00%, 11/01/2017 | 760 | 762 | ||||||
3.38%, 01/01/2018 | 1,032,000 | 1,063,386 | ||||||
3.52%, 01/01/2018 | 631,455 | 652,381 | ||||||
3.63%, 01/01/2018 | 310,000 | 320,894 | ||||||
5.50%, 02/01/2018 | 26,865 | 27,576 | ||||||
5.50%, 02/01/2018 | 16,733 | 17,266 | ||||||
3.80%, 03/01/2018 | 574,207 | 597,353 | ||||||
6.00%, 03/01/2018 | 6,088 | 6,193 | ||||||
6.50%, 03/01/2018 | 1,290 | 1,292 | ||||||
5.00%, 04/01/2018 | 10,912 | 11,303 | ||||||
4.50%, 05/01/2018 | 5,908 | 6,103 | ||||||
5.00%, 05/01/2018 | 34,631 | 35,941 | ||||||
5.00%, 05/01/2018 | 16,625 | 17,261 | ||||||
6.00%, 05/01/2018 | 4,364 | 4,505 | ||||||
9.00%, 05/01/2018 | 550 | 556 | ||||||
3.64%, 06/01/2018 | 694,676 | 723,589 | ||||||
3.74%, 06/01/2018 | 1,930,279 | 2,001,911 | ||||||
4.50%, 06/01/2018 | 7,921 | 8,185 | ||||||
5.00%, 06/01/2018 | 26,919 | 27,890 | ||||||
5.00%, 06/01/2018 | 7,127 | 7,404 | ||||||
5.00%, 06/01/2018 | 36,914 | 38,345 | ||||||
5.00%, 07/01/2018 | 41,842 | 43,673 | ||||||
4.50%, 08/01/2018 | 8,013 | 8,280 | ||||||
5.00%, 08/01/2018 | 23,671 | 24,507 | ||||||
5.00%, 09/01/2018 | 31,102 | 32,388 | ||||||
4.50%, 10/01/2018 | 18,897 | 19,527 | ||||||
5.00%, 10/01/2018 | 19,083 | 19,864 | ||||||
5.00%, 10/01/2018 | 19,573 | 20,332 | ||||||
4.50%, 11/01/2018 | 31,936 | 33,043 | ||||||
5.00%, 11/01/2018 | 17,620 | 18,243 | ||||||
5.00%, 11/01/2018 | 42,409 | 44,441 | ||||||
5.00%, 11/01/2018 | 4,736 | 4,967 | ||||||
6.07%, 11/01/2018 | 587,305 | 615,324 | ||||||
3.04%, 12/01/2018 | 1,238,000 | 1,274,970 | ||||||
5.00%, 12/01/2018 | 94,301 | 97,788 | ||||||
5.00%, 12/01/2018 | 316 | 328 | ||||||
9.50%, 12/01/2018 | 1,054 | 1,120 | ||||||
1.88%, 01/01/2019 | 423 | 439 | ||||||
6.00%, 01/01/2019 | 9,766 | 9,996 | ||||||
0.74%, 02/01/2019 | 4,732,247 | 4,720,923 | ||||||
1.98%, 03/01/2019 | 1,120 | 1,146 | ||||||
4.50%, 03/01/2019 | 24,990 | 25,920 | ||||||
6.00%, 03/01/2019 | 23,783 | 24,420 | ||||||
2.14%, 04/01/2019 | 1,995,343 | 2,007,369 | ||||||
3.50%, 04/01/2019 | 22,607 | 23,680 | ||||||
5.00%, 04/01/2019 | 1,599 | 1,655 |
Table of Contents
5.00%, 04/01/2019 | 80,791 | 84,948 | ||||||
10.50%, 04/15/2019 | 4,228 | 4,598 | ||||||
2.19%, 05/01/2019 | 964,404 | 971,467 | ||||||
4.50%, 05/01/2019 | 6,799 | 7,038 | ||||||
2.45%, 06/01/2019 | 1,608,122 | 1,631,146 | ||||||
2.48%, 06/01/2019 | 2,909,590 | 2,960,261 | ||||||
4.50%, 06/01/2019 | 49,813 | 51,614 | ||||||
1.94%, 07/01/2019 | 1,308,154 | 1,306,435 | ||||||
2.20%, 07/01/2019 | 730,360 | 735,524 | ||||||
2.37%, 07/01/2019 | 1,548,000 | 1,575,903 | ||||||
5.50%, 07/01/2019 | 65,155 | 68,201 | ||||||
6.00%, 07/01/2019 | 5,678 | 5,802 | ||||||
2.03%, 08/01/2019 | 239,717 | 241,786 | ||||||
2.63%, 08/01/2019 | 127 | 126 | ||||||
5.50%, 08/01/2019 | 67,883 | 70,971 | ||||||
5.00%, 09/01/2019 | 2,107 | 2,195 | ||||||
5.50%, 09/01/2019 | 51,850 | 54,780 | ||||||
9.00%, 09/01/2019 | 242 | 242 | ||||||
5.00%, 10/01/2019 | 15,295 | 16,073 | ||||||
6.00%, 10/01/2019 | 20,515 | 21,207 | ||||||
4.13%, 11/01/2019 | 877,000 | 939,015 | ||||||
4.24%, 11/01/2019 | 347,898 | 373,044 | ||||||
4.50%, 11/01/2019 | 51,051 | 52,774 | ||||||
4.50%, 11/01/2019 | 11,511 | 11,988 | ||||||
4.50%, 11/01/2019 | 22,609 | 23,418 | ||||||
1.47%, 12/01/2019 | 815,510 | 799,404 | ||||||
1.69%, 12/01/2019 | 1,032,000 | 1,017,739 | ||||||
4.18%, 12/01/2019 | 468,574 | 501,848 | ||||||
4.26%, 12/01/2019 | 941,122 | 1,010,716 | ||||||
4.50%, 12/01/2019 | 36,103 | 37,538 | ||||||
4.51%, 12/01/2019 | 2,018,612 | 2,183,561 | ||||||
4.28%, 01/01/2020 | 1,864,657 | 1,986,348 | ||||||
4.50%, 01/01/2020 | 6,920,296 | 7,175,505 | ||||||
4.54%, 01/01/2020 | 331,402 | 358,362 | ||||||
5.50%, 01/01/2020 | 141,251 | 147,513 | ||||||
4.37%, 02/01/2020 | 1,143,079 | 1,234,126 | ||||||
4.40%, 02/01/2020 | 289,000 | 313,179 | ||||||
4.40%, 02/01/2020 | 6,347,000 | 6,890,059 | ||||||
5.50%, 03/01/2020 | 24,528 | 25,390 | ||||||
6.00%, 03/01/2020 | 13,497 | 14,156 | ||||||
4.00%, 04/01/2020 | 8,567 | 8,749 | ||||||
4.35%, 04/01/2020 | 1,475,885 | 1,596,491 | ||||||
4.38%, 04/01/2020 | 1,991,732 | 2,162,836 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,249,617 | ||||||
5.50%, 06/01/2020 | 44,804 | 47,036 | ||||||
5.50%, 06/01/2020 | 179,268 | 185,287 | ||||||
3.74%, 07/01/2020 | 567,250 | 604,835 | ||||||
3.93%, 07/01/2020 | 1,472,376 | 1,579,994 |
Table of Contents
3.95%, 07/01/2020 | 707,776 | 762,764 | ||||||
3.95%, 07/01/2020 | 826,000 | 886,144 | ||||||
4.07%, 07/01/2020 | 3,134,320 | 3,375,551 | ||||||
4.13%, 07/01/2020 | 689,805 | 741,690 | ||||||
5.50%, 07/01/2020 | 41,900 | 43,329 | ||||||
3.74%, 08/01/2020 | 1,268,262 | 1,354,379 | ||||||
3.89%, 08/01/2020 | 1,219,699 | 1,298,549 | ||||||
3.96%, 08/01/2020 | 983,106 | 1,049,901 | ||||||
4.30%, 08/01/2020 | 474,814 | 517,227 | ||||||
6.50%, 08/01/2020 | 6,467 | 6,827 | ||||||
3.43%, 09/01/2020 | 945,559 | 990,480 | ||||||
3.50%, 09/01/2020 | 803,154 | 848,094 | ||||||
3.60%, 09/01/2020 | 190,249 | 200,659 | ||||||
3.85%, 09/01/2020 | 1,715,134 | 1,827,466 | ||||||
0.69%, 10/01/2020 | 1,963,080 | 1,963,716 | ||||||
3.29%, 10/01/2020 | 796,757 | 831,953 | ||||||
3.36%, 10/01/2020 | 823,903 | 862,111 | ||||||
3.50%, 10/01/2020 | 1,141,658 | 1,199,628 | ||||||
3.54%, 10/01/2020 | 991,000 | 1,043,797 | ||||||
3.59%, 10/01/2020 | 1,509,920 | 1,592,712 | ||||||
3.92%, 10/01/2020 | 694,937 | 742,183 | ||||||
3.23%, 11/01/2020 | 586,890 | 611,370 | ||||||
3.27%, 11/01/2020 | 783,562 | 822,893 | ||||||
3.35%, 11/01/2020 | 644,107 | 673,795 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,549,859 | ||||||
3.48%, 12/01/2020 | 877,000 | 921,600 | ||||||
3.54%, 12/01/2020 | 860,911 | 904,912 | ||||||
3.70%, 12/01/2020 | 377,988 | 399,928 | ||||||
3.83%, 12/01/2020 | 901,728 | 961,152 | ||||||
3.56%, 01/01/2021 | 2,166,489 | 2,286,359 | ||||||
3.77%, 01/01/2021 | 1,192,077 | 1,271,484 | ||||||
3.87%, 01/01/2021 | 1,176,000 | 1,256,947 | ||||||
3.93%, 01/01/2021 | 402,121 | 430,446 | ||||||
4.05%, 01/01/2021 | 482,000 | 519,513 | ||||||
4.30%, 01/01/2021 | 710,716 | 771,676 | ||||||
4.38%, 01/01/2021 | 2,406,686 | 2,618,949 | ||||||
4.45%, 01/01/2021 | 423,903 | 462,629 | ||||||
4.64%, 01/01/2021 | 1,264,219 | 1,389,620 | ||||||
4.33%, 02/01/2021 | 496,458 | 540,513 | ||||||
4.16%, 03/01/2021 | 1,723,549 | 1,863,385 | ||||||
6.00%, 03/01/2021 | 48,730 | 52,216 | ||||||
8.00%, 03/01/2021 | 78 | 78 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,124,341 | ||||||
4.25%, 04/01/2021 | 784,000 | 854,150 | ||||||
4.30%, 04/01/2021 | 298,860 | 325,451 | ||||||
4.33%, 04/01/2021 | 725,528 | 790,841 | ||||||
6.00%, 04/01/2021 | 17,724 | 18,898 | ||||||
6.00%, 04/01/2021 | 123,158 | 127,336 |
Table of Contents
4.36%, 05/01/2021 | 1,515,203 | 1,655,908 | ||||||
4.39%, 05/01/2021 | 762,352 | 832,874 | ||||||
3.97%, 06/01/2021 | 633,571 | 681,175 | ||||||
4.02%, 06/01/2021 | 691,000 | 746,342 | ||||||
4.10%, 06/01/2021 | 682,488 | 737,880 | ||||||
4.19%, 06/01/2021 | 547,982 | 594,721 | ||||||
4.24%, 06/01/2021 | 1,713,016 | 1,863,482 | ||||||
4.26%, 06/01/2021 | 725,661 | 782,920 | ||||||
4.30%, 06/01/2021 | 1,255,818 | 1,368,806 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 2,035,945 | ||||||
4.48%, 06/01/2021 | 929,000 | 1,022,818 | ||||||
3.86%, 07/01/2021 | 962,125 | 1,026,464 | ||||||
3.89%, 07/01/2021 | 913,000 | 979,251 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,106,142 | ||||||
3.99%, 07/01/2021 | 536,004 | 576,843 | ||||||
4.06%, 07/01/2021 | 998,000 | 1,078,823 | ||||||
4.26%, 07/01/2021 | 2,252,000 | 2,455,808 | ||||||
4.31%, 07/01/2021 | 937,077 | 1,027,081 | ||||||
6.00%, 07/01/2021 | 9,177 | 9,606 | ||||||
4.05%, 08/01/2021 | 179,846 | 194,250 | ||||||
4.13%, 08/01/2021 | 783,607 | 848,998 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 3,136,203 | ||||||
6.00%, 08/01/2021 | 124,466 | 131,119 | ||||||
3.77%, 09/01/2021 | 2,776,000 | 2,963,427 | ||||||
3.78%, 09/01/2021 | 732,245 | 782,161 | ||||||
3.85%, 09/01/2021 | 866,837 | 928,999 | ||||||
3.88%, 09/01/2021 | 1,730,655 | 1,853,994 | ||||||
3.89%, 09/01/2021 | 1,445,000 | 1,544,581 | ||||||
3.92%, 09/01/2021 | 659,136 | 708,105 | ||||||
3.31%, 10/01/2021 | 1,693,042 | 1,762,194 | ||||||
3.40%, 10/01/2021 | 351,414 | 367,340 | ||||||
4.07%, 10/01/2021 | 1,800,224 | 1,949,069 | ||||||
0.57%, 11/01/2021 | 609,000 | 609,255 | ||||||
3.43%, 11/01/2021 | 997,773 | 1,044,810 | ||||||
5.00%, 11/01/2021 | 205,545 | 215,367 | ||||||
3.03%, 12/01/2021 | 959,172 | 986,754 | ||||||
3.31%, 12/01/2021 | 387,144 | 403,043 | ||||||
3.42%, 12/01/2021 | 5,123,872 | 5,425,402 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,638,881 | ||||||
6.00%, 12/01/2021 | 52,477 | 55,922 | ||||||
2.97%, 01/01/2022 | 768,877 | 788,556 | ||||||
3.03%, 01/01/2022 | 889,054 | 918,739 | ||||||
3.09%, 01/01/2022 | 1,343,490 | 1,386,236 | ||||||
3.12%, 01/01/2022 | 1,238,000 | 1,279,359 | ||||||
3.20%, 01/01/2022 | 826,000 | 856,237 | ||||||
2.99%, 02/01/2022 | 288,415 | 296,068 | ||||||
3.06%, 02/01/2022 | 863,000 | 888,823 | ||||||
3.09%, 02/01/2022 | 1,104,592 | 1,139,714 |
Table of Contents
3.14%, 02/01/2022 | 481,608 | 497,668 | ||||||
0.99%, 03/01/2022 | 954,738 | 954,382 | ||||||
2.75%, 03/01/2022 | 964,865 | 978,082 | ||||||
3.08%, 03/01/2022 | 422,926 | 436,136 | ||||||
3.14%, 03/01/2022 | 299,695 | 309,684 | ||||||
3.21%, 03/01/2022 | 310,000 | 321,533 | ||||||
2.70%, 04/01/2022 | 1,641,876 | 1,660,658 | ||||||
3.08%, 04/01/2022 | 994,906 | 1,025,812 | ||||||
3.73%, 04/01/2022 | 2,441,135 | 2,597,219 | ||||||
6.50%, 04/01/2022 | 38,566 | 41,514 | ||||||
2.77%, 05/01/2022 | 1,651,000 | 1,673,342 | ||||||
2.86%, 05/01/2022 | 1,453,963 | 1,481,798 | ||||||
2.90%, 05/01/2022 | 969,572 | 990,244 | ||||||
2.94%, 05/01/2022 | 1,065,710 | 1,090,758 | ||||||
3.02%, 05/01/2022 | 672,438 | 691,142 | ||||||
3.10%, 05/01/2022 | 790,816 | 816,253 | ||||||
3.12%, 05/01/2022 | 970,879 | 1,003,199 | ||||||
3.32%, 05/01/2022 | 2,372,069 | 2,469,126 | ||||||
6.50%, 05/01/2022 | 8,440 | 9,644 | ||||||
2.60%, 06/01/2022 | 862,492 | 867,722 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,629,220 | ||||||
2.67%, 07/01/2022 | 624,000 | 627,717 | ||||||
2.69%, 07/01/2022 | 1,015,403 | 1,024,672 | ||||||
2.71%, 07/01/2022 | 1,000,000 | 1,009,406 | ||||||
2.82%, 07/01/2022 | 1,107,772 | 1,126,249 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,036,449 | ||||||
2.47%, 09/01/2022 | 387,552 | 386,595 | ||||||
4.03%, 09/01/2022 | 1,222,332 | 1,331,617 | ||||||
2.39%, 10/01/2022 | 660,178 | 656,386 | ||||||
2.52%, 10/01/2022 | 990,660 | 990,458 | ||||||
2.57%, 10/01/2022 | 612,165 | 613,565 | ||||||
2.64%, 10/01/2022 | 682,031 | 685,386 | ||||||
2.37%, 11/01/2022 | 486,780 | 483,146 | ||||||
2.38%, 11/01/2022 | 880,808 | 874,550 | ||||||
2.41%, 11/01/2022 | 610,198 | 605,929 | ||||||
2.44%, 11/01/2022 | 838,972 | 834,613 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,390,185 | ||||||
2.47%, 11/01/2022 | 516,000 | 512,326 | ||||||
2.55%, 11/01/2022 | 1,275,799 | 1,277,084 | ||||||
2.55%, 11/01/2022 | 407,534 | 407,944 | ||||||
7.50%, 11/01/2022 | 2,473 | 2,664 | ||||||
2.24%, 12/01/2022 | 658,925 | 649,557 | ||||||
2.28%, 12/01/2022 | 1,045,857 | 1,031,720 | ||||||
2.32%, 12/01/2022 | 388,691 | 384,556 | ||||||
2.34%, 12/01/2022 | 2,406,007 | 2,381,762 | ||||||
2.38%, 12/01/2022 | 506,611 | 502,711 | ||||||
2.39%, 12/01/2022 | 1,076,843 | 1,069,336 | ||||||
2.40%, 12/01/2022 | 1,632,000 | 1,615,097 |
Table of Contents
2.42%, 12/01/2022 | 1,194,358 | 1,185,948 | ||||||
2.66%, 12/01/2022 | 1,500,000 | 1,544,108 | ||||||
6.50%, 12/01/2022 | 37,562 | 42,924 | ||||||
0.53%, 01/01/2023 | 1,527,000 | 1,523,939 | ||||||
0.54%, 01/01/2023 | 4,421,262 | 4,418,939 | ||||||
0.58%, 01/01/2023 | 785,837 | 791,416 | ||||||
2.15%, 01/01/2023 | 497,199 | 487,378 | ||||||
2.33%, 01/01/2023 | 1,746,042 | 1,726,569 | ||||||
2.34%, 01/01/2023 | 1,395,365 | 1,380,757 | ||||||
2.37%, 01/01/2023 | 1,122,787 | 1,113,244 | ||||||
2.45%, 01/01/2023 | 745,519 | 741,142 | ||||||
2.51%, 01/01/2023 | 949,000 | 941,813 | ||||||
2.60%, 01/01/2023 | 786,106 | 788,559 | ||||||
0.57%, 02/01/2023 | 1,135,000 | 1,134,298 | ||||||
2.40%, 02/01/2023 | 1,465,000 | 1,448,016 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,276,966 | ||||||
6.00%, 02/01/2023 | 407,138 | 445,814 | ||||||
2.49%, 03/01/2023 | 815,446 | 811,736 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,440,248 | ||||||
2.64%, 04/01/2023 | 359,610 | 360,395 | ||||||
2.70%, 04/01/2023 | 642,382 | 646,237 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,256,535 | ||||||
2.54%, 05/01/2023 | 310,000 | 308,629 | ||||||
5.00%, 05/01/2023 | 34,954 | 37,584 | ||||||
2.42%, 06/01/2023 | 917,403 | 908,296 | ||||||
2.76%, 06/01/2023 | 1,929,615 | 1,936,592 | ||||||
2.77%, 06/01/2023 | 929,000 | 930,438 | ||||||
2.64%, 07/01/2023 | 413,000 | 409,327 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,124,372 | ||||||
3.74%, 07/01/2023 | 568,000 | 602,343 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,195,488 | ||||||
4.18%, 09/01/2023 | 1,428,343 | 1,552,099 | ||||||
3.76%, 10/01/2023 | 984,995 | 1,045,980 | ||||||
0.66%, 12/01/2023 | 3,000,000 | 3,018,453 | ||||||
3.38%, 12/01/2023 | 2,500,000 | 2,600,654 | ||||||
3.50%, 12/01/2023 | 2,234,000 | 2,339,110 | ||||||
3.45%, 01/01/2024 | 1,800,000 | 1,878,498 | ||||||
6.00%, 01/01/2024 | 111,686 | 122,827 | ||||||
6.00%, 01/01/2024 | 320,848 | 352,275 | ||||||
7.00%, 01/01/2024 | 710 | 804 | ||||||
6.50%, 02/01/2024 | 162,985 | 179,100 | ||||||
10.00%, 02/01/2024 | 739 | 742 | ||||||
0.56%, 05/01/2024 | 1,939,271 | 1,939,605 | ||||||
3.32%, 05/01/2024 | 2,500,000 | 2,630,284 | ||||||
8.00%, 05/01/2024 | 894 | 1,011 | ||||||
6.00%, 07/01/2024 | 73,275 | 80,816 | ||||||
6.50%, 07/01/2024 | 77,660 | 88,749 | ||||||
8.50%, 07/01/2024 | 1,838 | 2,123 |
Table of Contents
5.00%, 08/01/2024 | 115,957 | 125,164 | ||||||
0.67%, 09/01/2024 | 3,785,390 | 3,794,832 | ||||||
7.50%, 10/01/2024 | 847 | 953 | ||||||
0.56%, 12/01/2024 | 5,000,000 | 4,998,266 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 1,994,321 | ||||||
2.92%, 12/01/2024 | 1,000,000 | 1,000,137 | ||||||
3.08%, 12/01/2024 | 1,992,585 | 2,027,948 | ||||||
3.11%, 12/01/2024 | 2,500,000 | 2,536,684 | ||||||
2.93%, 01/01/2025 | 2,000,000 | 2,006,324 | ||||||
2.99%, 01/01/2025 | 1,580,000 | 1,591,152 | ||||||
3.64%, 01/01/2025 | 572,465 | 603,573 | ||||||
0.57%, 03/01/2025 | 3,934,680 | 3,934,496 | ||||||
2.70%, 04/01/2025 | 5,000,000 | 4,913,856 | ||||||
6.50%, 04/01/2025 | 11,513 | 13,156 | ||||||
2.68%, 05/01/2025 | 1,981,274 | 1,951,681 | ||||||
8.50%, 05/01/2025 | 83 | 82 | ||||||
5.50%, 07/01/2025 | 132,525 | 147,553 | ||||||
3.10%, 09/01/2025 | 5,000,000 | 5,047,327 | ||||||
3.77%, 12/01/2025 | 3,500,000 | 3,700,912 | ||||||
3.50%, 01/01/2026 | 681,509 | 715,628 | ||||||
3.00%, 01/15/2026(4) | 4,055,000 | 4,176,504 | ||||||
7.00%, 04/01/2026 | 6,607 | 7,001 | ||||||
9.00%, 04/01/2026 | 58 | 57 | ||||||
6.00%, 07/01/2026 | 72,158 | 81,424 | ||||||
3.29%, 08/01/2026 | 1,500,000 | 1,526,634 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,052,116 | ||||||
4.55%, 08/01/2026 | 1,074,258 | 1,201,039 | ||||||
4.76%, 08/01/2026 | 1,066,743 | 1,206,122 | ||||||
4.77%, 08/01/2026 | 678,610 | 767,496 | ||||||
6.50%, 08/01/2026 | 124,070 | 141,786 | ||||||
3.25%, 09/01/2026 | 1,500,000 | 1,523,017 | ||||||
3.24%, 10/01/2026 | 1,962,139 | 1,993,634 | ||||||
3.12%, 11/01/2026 | 1,000,000 | 1,004,907 | ||||||
3.29%, 11/01/2026 | 2,000,000 | 2,035,500 | ||||||
3.14%, 12/01/2026 | 1,965,835 | 1,981,215 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,511,516 | ||||||
3.26%, 12/01/2026 | 1,000,000 | 1,016,430 | ||||||
4.66%, 12/01/2026 | 1,160,121 | 1,315,042 | ||||||
3.12%, 02/01/2027 | 1,500,000 | 1,508,126 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,541,037 | ||||||
2.91%, 03/01/2027 | 10,000,000 | 9,893,962 | ||||||
3.50%, 03/01/2027 | 4,191,274 | 4,391,073 | ||||||
8.00%, 03/01/2027 | 8,290 | 9,382 | ||||||
3.00%, 04/01/2027 | 1,142,586 | 1,182,921 | ||||||
3.03%, 04/01/2027 | 1,500,000 | 1,483,489 | ||||||
2.79%, 05/01/2027 | 2,000,000 | 1,933,347 | ||||||
2.81%, 05/01/2027 | 2,000,000 | 1,952,401 | ||||||
2.83%, 05/01/2027 | 8,000,000 | 7,748,679 |
Table of Contents
3.00%, 05/01/2027 | 6,824,807 | 7,067,337 | ||||||
3.00%, 06/01/2027 | 2,000,000 | 1,968,962 | ||||||
8.00%, 06/01/2027 | 10,167 | 11,577 | ||||||
3.50%, 07/01/2027 | 5,210,626 | 5,471,732 | ||||||
6.00%, 07/01/2027 | 94,024 | 106,097 | ||||||
2.50%, 09/01/2027 | 851,431 | 864,988 | ||||||
2.54%, 09/01/2027 | 10,295 | 10,965 | ||||||
7.00%, 09/01/2027 | 1,398 | 1,623 | ||||||
6.00%, 11/01/2027 | 41,588 | 46,928 | ||||||
2.50%, 12/01/2027 | 2,009,662 | 2,041,644 | ||||||
6.00%, 12/01/2027 | 129,278 | 145,880 | ||||||
6.00%, 01/01/2028 | 196,693 | 221,952 | ||||||
2.50%, 01/15/2028 (4) | 44,035,000 | 44,373,664 | ||||||
2.50%, 03/01/2028 | 6,806,967 | 6,895,749 | ||||||
2.50%, 04/01/2028 | 8,043,306 | 8,148,065 | ||||||
5.00%, 05/01/2028 | 46,091 | 50,688 | ||||||
8.00%, 06/01/2028 | 5,813 | 6,565 | ||||||
9.50%, 07/01/2028 | 1,539 | 1,675 | ||||||
3.00%, 08/01/2028 | 2,698,018 | 2,785,814 | ||||||
3.00%, 09/01/2028 | 3,895,478 | 4,022,251 | ||||||
8.00%, 09/01/2028 | 14,339 | 16,688 | ||||||
2.50%, 10/01/2028 | 896,499 | 908,167 | ||||||
6.00%, 10/01/2028 | 163,895 | 184,968 | ||||||
8.00%, 11/01/2028 | 45,003 | 52,407 | ||||||
3.00%, 12/01/2028 | 1,647,577 | 1,699,468 | ||||||
6.00%, 12/01/2028 | 4,900 | 5,530 | ||||||
6.00%, 01/01/2029 | 7,839 | 8,933 | ||||||
7.00%, 01/01/2029 | 9,614 | 10,607 | ||||||
3.74%, 03/01/2029 | 6,315 | 6,706 | ||||||
6.50%, 03/01/2029 | 24,928 | 28,076 | ||||||
4.50%, 08/01/2029 | 358,132 | 386,729 | ||||||
4.50%, 09/01/2029 | 407,085 | 439,590 | ||||||
6.00%, 09/01/2029 | 114,138 | 128,795 | ||||||
3.63%, 10/01/2029 | 1,481,100 | 1,524,018 | ||||||
6.50%, 11/01/2029 | 1,005,455 | 1,149,037 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,537,628 | ||||||
8.50%, 02/01/2030 | 1,635 | 1,649 | ||||||
2.50%, 04/01/2030 | 3,753,404 | 3,788,832 | ||||||
3.03%, 04/01/2030 | 3,500,000 | 3,371,219 | ||||||
3.08%, 04/01/2030 | 2,000,000 | 1,953,593 | ||||||
2.50%, 05/01/2030 | 4,688,742 | 4,730,225 | ||||||
2.92%, 05/01/2030 | 4,000,000 | 4,018,275 | ||||||
2.94%, 05/01/2030 | 2,500,000 | 2,387,893 | ||||||
2.96%, 06/01/2030 | 2,051,483 | 1,987,995 | ||||||
3.13%, 06/01/2030 | 1,000,000 | 1,005,428 | ||||||
3.20%, 06/01/2030 | 1,000,000 | 985,943 | ||||||
3.30%, 07/01/2030 | 1,005,000 | 995,913 | ||||||
3.34%, 07/01/2030 | 1,500,000 | 1,499,208 |
Table of Contents
3.39%, 09/01/2030 | 1,992,094 | 2,007,612 | ||||||
3.26%, 10/01/2030 | 5,235,881 | 5,213,588 | ||||||
3.50%, 10/01/2030 | 3,676,928 | 3,874,024 | ||||||
3.00%, 11/01/2030 | 4,055,551 | 4,188,011 | ||||||
3.00%, 11/01/2030 | 4,048,133 | 4,182,228 | ||||||
3.50%, 11/01/2030 | 4,025,522 | 4,247,240 | ||||||
9.00%, 12/01/2030 | 1,556 | 1,572 | ||||||
5.00%, 04/01/2031 | 209,482 | 236,291 | ||||||
6.50%, 08/01/2031 | 25,113 | 28,699 | ||||||
4.00%, 11/01/2031 | 9,732,775 | 10,411,274 | ||||||
6.50%, 02/01/2032 | 102,166 | 116,809 | ||||||
7.00%, 06/01/2032 | 5,879 | 6,279 | ||||||
3.50%, 07/01/2032 | 209,160 | 218,628 | ||||||
7.00%, 08/01/2032 | 2,781 | 2,959 | ||||||
5.50%, 11/01/2032 | 79,892 | 91,285 | ||||||
3.50%, 12/01/2032 | 588,732 | 616,713 | ||||||
5.00%, 12/01/2032 | 2,706 | 2,892 | ||||||
6.00%, 12/01/2032 | 39,434 | 45,292 | ||||||
6.00%, 12/01/2032 | 274,456 | 313,462 | ||||||
3.50%, 02/01/2033 | 1,019,243 | 1,067,252 | ||||||
5.50%, 02/01/2033 | 4,546 | 5,082 | ||||||
7.00%, 02/01/2033 | 1,873 | 2,026 | ||||||
5.50%, 03/01/2033 | 152,137 | 172,917 | ||||||
6.00%, 03/01/2033 | 7,967 | 9,086 | ||||||
6.00%, 03/01/2033 | 4,702 | 5,334 | ||||||
6.00%, 03/01/2033 | 8,391 | 9,469 | ||||||
6.00%, 03/01/2033 | 10,120 | 11,551 | ||||||
6.00%, 03/01/2033 | 4,423 | 5,015 | ||||||
5.50%, 04/01/2033 | 108,038 | 121,534 | ||||||
6.00%, 05/01/2033 | 35,076 | 40,355 | ||||||
3.50%, 06/01/2033 | 350,711 | 367,428 | ||||||
5.00%, 06/01/2033 | 29,716 | 33,190 | ||||||
7.00%, 06/01/2033 | 179,171 | 211,957 | ||||||
5.00%, 07/01/2033 | 41,189 | 46,004 | ||||||
5.00%, 07/01/2033 | 29,072 | 32,303 | ||||||
5.50%, 07/01/2033 | 29,394 | 33,040 | ||||||
2.33%, 08/01/2033 | 55,187 | 58,223 | ||||||
6.00%, 08/01/2033 | 15,593 | 17,910 | ||||||
1.89%, 09/01/2033 | 69,155 | 72,157 | ||||||
2.69%, 09/01/2033 | 29,711 | 31,772 | ||||||
5.50%, 09/01/2033 | 416,567 | 468,183 | ||||||
6.00%, 09/01/2033 | 16,336 | 18,058 | ||||||
6.00%, 09/01/2033 | 26,727 | 30,735 | ||||||
3.50%, 10/01/2033 | 19,235,422 | 20,105,471 | ||||||
4.50%, 10/01/2033 | 10,346,589 | 11,260,579 | ||||||
2.38%, 11/01/2033 | 61,702 | 65,469 | ||||||
4.50%, 11/01/2033 | 36,673 | 39,757 | ||||||
5.00%, 11/01/2033 | 7,424,360 | 8,211,434 |
Table of Contents
5.00%, 11/01/2033 | 10,323 | 11,418 | ||||||
5.00%, 11/01/2033 | 91,797 | 101,540 | ||||||
5.50%, 11/01/2033 | 6,150 | 6,880 | ||||||
4.00%, 12/01/2033 | 116,255 | 123,542 | ||||||
5.50%, 12/01/2033 | 149,519 | 170,952 | ||||||
1.91%, 01/01/2034 | 3,591 | 3,610 | ||||||
2.38%, 01/01/2034 | 21,806 | 22,981 | ||||||
5.50%, 01/01/2034 | 13,541 | 15,454 | ||||||
5.50%, 03/01/2034 | 14,540 | 16,271 | ||||||
2.14%, 04/01/2034 | 18,417 | 18,817 | ||||||
5.00%, 04/01/2034 | 210,251 | 236,348 | ||||||
5.50%, 04/01/2034 | 1,871,141 | 2,104,029 | ||||||
5.00%, 05/01/2034 | 60,290 | 67,576 | ||||||
2.55%, 06/01/2034 | 85,007 | 90,022 | ||||||
2.32%, 07/01/2034 | 10,213 | 10,893 | ||||||
5.50%, 07/01/2034 | 901,692 | 1,013,348 | ||||||
1.59%, 08/01/2034 | 47,342 | 49,089 | ||||||
2.39%, 08/01/2034 | 36,046 | 38,126 | ||||||
2.50%, 08/01/2034 | 14,040 | 14,889 | ||||||
2.32%, 09/01/2034 | 9,871 | 10,423 | ||||||
4.50%, 09/01/2034 | 52,133 | 56,524 | ||||||
5.50%, 09/01/2034 | 1,102,222 | 1,241,858 | ||||||
2.26%, 10/01/2034 | 37,432 | 39,452 | ||||||
2.63%, 10/01/2034 | 72,277 | 76,929 | ||||||
5.50%, 10/01/2034 | 57,614 | 60,890 | ||||||
2.35%, 11/01/2034 | 19,486 | 20,600 | ||||||
2.49%, 11/01/2034 | 32,461 | 34,485 | ||||||
3.57%, 11/01/2034 | 1,464,716 | 1,573,155 | ||||||
3.61%, 11/01/2034 | 1,474,731 | 1,579,891 | ||||||
5.50%, 11/01/2034 | 123,725 | 139,082 | ||||||
6.00%, 11/01/2034 | 10,309 | 11,741 | ||||||
5.00%, 12/01/2034 | 55,534 | 61,416 | ||||||
1.98%, 01/01/2035 | 527,095 | 550,750 | ||||||
2.19%, 01/01/2035 | 16,777 | 17,732 | ||||||
5.00%, 01/01/2035 | 51,327 | 57,591 | ||||||
7.50%, 01/01/2035 | 82,806 | 100,974 | ||||||
1.97%, 02/01/2035 | 37,337 | 38,918 | ||||||
5.00%, 02/01/2035 | 6,172,950 | 6,824,807 | ||||||
5.00%, 02/01/2035 | 6,216,395 | 6,875,376 | ||||||
5.50%, 02/01/2035 | 136,209 | 153,492 | ||||||
2.25%, 03/01/2035 | 96,855 | 102,558 | ||||||
7.50%, 03/01/2035 | 86,946 | 108,742 | ||||||
2.46%, 04/01/2035 | 89,932 | 95,040 | ||||||
3.45%, 04/01/2035 | 1,980,810 | 1,964,700 | ||||||
6.00%, 04/01/2035 | 190,824 | 217,441 | ||||||
2.05%, 05/01/2035 | 64,994 | 68,036 | ||||||
2.35%, 05/01/2035 | 11,323 | 11,982 | ||||||
3.12%, 06/01/2035 | 3,400,000 | 3,162,524 |
Table of Contents
5.00%, 06/01/2035 | 1,147,359 | 1,268,067 | ||||||
2.24%, 07/01/2035 | 85,197 | 90,758 | ||||||
5.00%, 07/01/2035 | 6,181,807 | 6,832,049 | ||||||
5.00%, 07/01/2035 | 5,387,121 | 5,955,925 | ||||||
5.00%, 07/01/2035 | 43,208 | 47,675 | ||||||
2.14%, 08/01/2035 | 17,468 | 18,465 | ||||||
2.37%, 09/01/2035 | 46,305 | 49,260 | ||||||
5.00%, 09/01/2035 | 108,749 | 122,199 | ||||||
2.72%, 10/01/2035 | 102,959 | 109,891 | ||||||
5.00%, 10/01/2035 | 602,790 | 665,048 | ||||||
5.00%, 11/01/2035 | 226,559 | 249,835 | ||||||
5.50%, 12/01/2035 | 145,138 | 156,911 | ||||||
2.25%, 01/01/2036 | 207,401 | 218,130 | ||||||
2.48%, 01/01/2036 | 99,959 | 105,760 | ||||||
2.88%, 01/01/2036 | 3,944 | 4,017 | ||||||
5.00%, 01/01/2036 | 112,800 | 124,460 | ||||||
6.50%, 01/01/2036 | 570,765 | 655,070 | ||||||
2.92%, 02/01/2036 | 39,701 | 42,136 | ||||||
5.00%, 02/01/2036 | 87,857 | 96,928 | ||||||
6.00%, 02/01/2036 | 10,585 | 11,636 | ||||||
7.00%, 02/01/2036 | 60,656 | 70,140 | ||||||
2.95%, 03/01/2036 | 978,132 | 1,036,494 | ||||||
7.00%, 03/01/2036 | 3,761 | 4,272 | ||||||
5.50%, 04/01/2036 | 162,006 | 181,664 | ||||||
6.50%, 04/01/2036 | 1,083 | 1,091 | ||||||
2.48%, 05/01/2036 | 45,203 | 48,110 | ||||||
5.50%, 05/01/2036 | 205,886 | 231,511 | ||||||
5.50%, 05/01/2036 | 135,181 | 151,865 | ||||||
2.41%, 06/01/2036 | 49,977 | 52,991 | ||||||
2.58%, 06/01/2036 | 273,425 | 291,647 | ||||||
2.69%, 06/01/2036 | 82,730 | 88,841 | ||||||
2.27%, 07/01/2036 | 139,671 | 148,527 | ||||||
6.50%, 07/01/2036 | 13,563 | 15,500 | ||||||
2.37%, 08/01/2036 | 72,416 | 76,623 | ||||||
2.49%, 08/01/2036 | 297,608 | 317,159 | ||||||
2.69%, 08/01/2036 | 41,574 | 43,510 | ||||||
6.19%, 08/01/2036 | 88,260 | 93,440 | ||||||
6.50%, 08/01/2036 | 353,502 | 407,402 | ||||||
1.87%, 09/01/2036 | 407,105 | 424,672 | ||||||
2.10%, 09/01/2036 | 80,076 | 84,014 | ||||||
2.39%, 09/01/2036 | 100,179 | 106,031 | ||||||
2.54%, 09/01/2036 | 260,941 | 277,754 | ||||||
2.70%, 09/01/2036 | 103,626 | 110,335 | ||||||
5.50%, 09/01/2036 | 2,571,144 | 2,893,625 | ||||||
6.00%, 09/01/2036 | 756,461 | 856,974 | ||||||
2.51%, 10/01/2036 | 166,319 | 176,389 | ||||||
2.84%, 10/01/2036 | 446,608 | 476,414 | ||||||
2.84%, 10/01/2036 | 192,590 | 205,387 |
Table of Contents
6.50%, 10/01/2036 | 94,069 | 107,502 | ||||||
2.75%, 11/01/2036 | 98,781 | 104,469 | ||||||
3.01%, 11/01/2036 | 93,939 | 99,308 | ||||||
5.50%, 11/01/2036 | 56,111 | 62,650 | ||||||
6.00%, 11/01/2036 | 110,228 | 124,866 | ||||||
2.71%, 12/01/2036 | 352,397 | 372,588 | ||||||
2.81%, 12/01/2036 | 193,761 | 205,687 | ||||||
7.00%, 12/01/2036 | 11,358 | 12,535 | ||||||
1.86%, 01/01/2037 | 120,631 | 126,121 | ||||||
2.49%, 01/01/2037 | 59,621 | 63,361 | ||||||
6.50%, 01/01/2037 | 263,191 | 298,107 | ||||||
7.50%, 01/01/2037 | 15,353 | 16,688 | ||||||
1.85%, 02/01/2037 | 153,159 | 159,279 | ||||||
2.43%, 02/01/2037 | 193,189 | 205,081 | ||||||
5.50%, 03/01/2037 | 1,000,380 | 1,117,917 | ||||||
6.00%, 03/01/2037 | 243,914 | 271,886 | ||||||
7.00%, 03/01/2037 | 25,879 | 30,514 | ||||||
2.35%, 04/01/2037 | 304,956 | 323,794 | ||||||
5.50%, 04/01/2037 | 313,876 | 353,024 | ||||||
7.00%, 04/01/2037 | 165,225 | 191,448 | ||||||
7.00%, 04/01/2037 | 43,974 | 49,088 | ||||||
5.50%, 05/01/2037 | 597,233 | 668,025 | ||||||
6.50%, 05/01/2037 | 8,898 | 9,201 | ||||||
7.50%, 05/01/2037 | 67,508 | 75,784 | ||||||
1.72%, 07/01/2037 | 150,324 | 157,077 | ||||||
2.41%, 07/01/2037 | 17,423 | 18,163 | ||||||
2.49%, 07/01/2037 | 467,840 | 496,699 | ||||||
2.56%, 07/01/2037 | 150,775 | 160,678 | ||||||
5.00%, 07/01/2037 | 1,536,608 | 1,699,443 | ||||||
3.11%, 08/01/2037 | 333,260 | 355,111 | ||||||
5.50%, 08/01/2037 | 3,973,413 | 4,472,605 | ||||||
6.50%, 08/01/2037 | 87,855 | 104,640 | ||||||
6.50%, 08/01/2037 | 47,121 | 54,049 | ||||||
2.20%, 09/01/2037 | 46,543 | 49,435 | ||||||
2.53%, 09/01/2037 | 11,397 | 11,683 | ||||||
2.56%, 09/01/2037 | 126,768 | 135,197 | ||||||
2.75%, 09/01/2037 | 14,664 | 15,010 | ||||||
6.00%, 09/01/2037 | 157,946 | 179,769 | ||||||
6.02%, 09/01/2037 | 37,110 | 39,399 | ||||||
7.00%, 09/01/2037 | 99,969 | 119,088 | ||||||
6.50%, 10/01/2037 | 175,103 | 200,109 | ||||||
7.50%, 10/01/2037 | 341,655 | 403,542 | ||||||
7.50%, 10/01/2037 | 1,936 | 2,000 | ||||||
2.27%, 11/01/2037 | 302,047 | 316,485 | ||||||
2.38%, 11/01/2037 | 103,046 | 109,070 | ||||||
7.50%, 11/01/2037 | 131,195 | 155,198 | ||||||
8.00%, 11/01/2037 | 19,972 | 22,261 | ||||||
2.54%, 12/01/2037 | 556,950 | 590,763 |
Table of Contents
2.41%, 01/01/2038 | 60,563 | 64,727 | ||||||
5.50%, 01/01/2038 | 332,762 | 373,765 | ||||||
7.00%, 01/01/2038 | 30,949 | 33,226 | ||||||
8.00%, 01/01/2038 | 8,176 | 9,906 | ||||||
5.50%, 02/01/2038 | 397,410 | 446,999 | ||||||
6.00%, 04/01/2038 | 39,963 | 45,095 | ||||||
5.50%, 05/01/2038 | 74,749 | 81,513 | ||||||
6.00%, 05/01/2038 | 566,310 | 639,855 | ||||||
5.50%, 06/01/2038 | 329,427 | 368,097 | ||||||
5.50%, 06/01/2038 | 2,606,241 | 2,913,362 | ||||||
5.50%, 09/01/2038 | 1,787,163 | 2,008,130 | ||||||
7.00%, 09/01/2038 | 99,853 | 115,438 | ||||||
6.50%, 10/01/2038 | 775,604 | 886,363 | ||||||
6.50%, 10/01/2038 | 199,958 | 228,512 | ||||||
7.00%, 10/01/2038 | 161,192 | 189,327 | ||||||
6.00%, 11/01/2038 | 118,141 | 135,545 | ||||||
7.00%, 11/01/2038 | 129,993 | 157,602 | ||||||
7.50%, 11/01/2038 | 80,929 | 96,170 | ||||||
7.00%, 12/01/2038 | 353,596 | 426,894 | ||||||
5.00%, 01/01/2039 | 5,234,316 | 5,756,515 | ||||||
7.00%, 01/01/2039 | 540,543 | 635,602 | ||||||
7.50%, 04/01/2039 | 357,220 | 454,195 | ||||||
5.50%, 06/01/2039 | 35,280 | 38,205 | ||||||
5.00%, 09/01/2039 | 276,474 | 304,430 | ||||||
5.50%, 09/01/2039 | 142,552 | 158,874 | ||||||
4.50%, 11/01/2039 | 57,034 | 61,705 | ||||||
5.50%, 12/01/2039 | 162,854 | 181,414 | ||||||
6.00%, 12/01/2039 | 3,039,030 | 3,435,851 | ||||||
4.00%, 07/01/2040 | 9,998,139 | 10,586,585 | ||||||
4.00%, 08/01/2040 | 381,856 | 404,955 | ||||||
4.50%, 08/01/2040 | 5,554,487 | 6,039,272 | ||||||
4.50%, 08/01/2040 | 8,003,030 | 8,660,860 | ||||||
4.50%, 08/01/2040 | 9,501,919 | 10,264,358 | ||||||
5.00%, 08/01/2040 | 1,589,781 | 1,752,379 | ||||||
5.00%, 08/01/2040 | 720,979 | 803,251 | ||||||
4.00%, 09/01/2040 | 2,629,095 | 2,789,506 | ||||||
6.00%, 10/01/2040 | 3,836,808 | 4,336,781 | ||||||
4.00%, 11/01/2040 | 1,824,553 | 1,930,896 | ||||||
4.50%, 11/01/2040 | 8,298,681 | 9,023,018 | ||||||
3.50%, 12/01/2040 | 206,415 | 213,393 | ||||||
4.00%, 12/01/2040 | 430,268 | 456,352 | ||||||
4.00%, 12/01/2040 | 2,573,779 | 2,729,373 | ||||||
4.50%, 12/01/2040 | 11,682,761 | 12,643,534 | ||||||
4.50%, 12/01/2040 | 3,436,964 | 3,718,652 | ||||||
4.00%, 01/01/2041 | 2,292,228 | 2,431,289 | ||||||
4.00%, 01/01/2041 | 1,038,358 | 1,101,213 | ||||||
4.00%, 01/01/2041 | 3,038,450 | 3,222,780 | ||||||
4.00%, 01/01/2041 | 2,091,251 | 2,217,902 |
Table of Contents
4.00%, 01/01/2041 | 1,192,790 | 1,265,201 | ||||||
4.00%, 01/01/2041 | 3,384,419 | 3,589,706 | ||||||
4.00%, 01/01/2041 | 524,374 | 556,084 | ||||||
3.50%, 01/15/2041 (4) | 59,615,000 | 61,486,684 | ||||||
4.00%, 01/15/2041 (4) | 60,405,000 | 63,903,090 | ||||||
4.50%, 01/15/2041 (4) | 11,500,000 | 12,416,450 | ||||||
5.50%, 01/15/2041 (4) | 13,000,000 | 14,490,496 | ||||||
3.50%, 02/01/2041 | 17,277,869 | 17,861,973 | ||||||
4.00%, 02/01/2041 | 2,853,371 | 3,027,956 | ||||||
4.00%, 02/01/2041 | 111,944 | 118,469 | ||||||
4.50%, 03/01/2041 | 2,309,572 | 2,499,184 | ||||||
4.50%, 04/01/2041 | 2,104,892 | 2,275,806 | ||||||
4.50%, 05/01/2041 | 4,051,292 | 4,380,498 | ||||||
4.50%, 05/01/2041 | 364,468 | 396,337 | ||||||
4.00%, 09/01/2041 | 601,744 | 638,179 | ||||||
4.00%, 10/01/2041 | 1,434,588 | 1,518,202 | ||||||
4.00%, 10/01/2041 | 2,067,426 | 2,194,112 | ||||||
3.50%, 11/01/2041 | 7,790,638 | 8,055,196 | ||||||
3.50%, 11/01/2041 | 734,001 | 758,907 | ||||||
4.50%, 11/01/2041 | 2,172,138 | 2,361,513 | ||||||
3.50%, 12/01/2041 | 964,644 | 997,376 | ||||||
4.00%, 12/01/2041 | 4,585,813 | 4,864,051 | ||||||
4.00%, 12/01/2041 | 2,994,484 | 3,175,536 | ||||||
4.00%, 12/01/2041 | 3,022,034 | 3,207,830 | ||||||
4.00%, 01/01/2042 | 6,881,575 | 7,305,597 | ||||||
4.50%, 01/01/2042 | 41,551 | 45,382 | ||||||
4.50%, 01/01/2042 | 5,280,531 | 5,711,441 | ||||||
3.50%, 02/01/2042 | 887,433 | 917,471 | ||||||
4.00%, 03/01/2042 | 316,384 | 328,574 | ||||||
3.00%, 05/01/2042 | 937,934 | 941,640 | ||||||
3.50%, 05/01/2042 | 14,246,514 | 14,725,635 | ||||||
5.00%, 05/01/2042 | 5,185,638 | 5,730,969 | ||||||
3.50%, 06/01/2042 | 3,376,695 | 3,490,216 | ||||||
3.50%, 07/01/2042 | 1,999,469 | 2,066,308 | ||||||
3.50%, 07/01/2042 | 7,266,140 | 7,508,722 | ||||||
4.00%, 07/01/2042 | 754,199 | 802,581 | ||||||
4.00%, 07/01/2042 | 815,943 | 868,470 | ||||||
4.00%, 07/01/2042 | 657,958 | 700,133 | ||||||
4.00%, 07/01/2042 | 1,402,247 | 1,492,412 | ||||||
3.50%, 09/01/2042 | 1,627,262 | 1,680,997 | ||||||
3.00%, 10/01/2042 | 8,560,664 | 8,586,797 | ||||||
3.50%, 10/01/2042 | 731,014 | 755,355 | ||||||
3.50%, 10/01/2042 | 1,308,450 | 1,351,784 | ||||||
4.50%, 10/01/2042 | 312,094 | 339,300 | ||||||
3.00%, 11/01/2042 | 3,019,820 | 3,026,312 | ||||||
3.50%, 11/01/2042 | 12,174,230 | 12,578,383 | ||||||
3.50%, 11/01/2042 | 4,853,005 | 5,015,987 | ||||||
3.00%, 12/01/2042 | 191,945 | 192,424 |
Table of Contents
3.00%, 12/01/2042 | 1,974,249 | 1,979,208 | ||||||
3.00%, 01/01/2043 | 2,419,000 | 2,415,516 | ||||||
3.00%, 01/01/2043 | 2,610,957 | 2,616,569 | ||||||
3.00%, 01/01/2043 | 2,748,385 | 2,753,788 | ||||||
3.00%, 01/01/2043 | 1,629,896 | 1,633,400 | ||||||
3.50%, 01/01/2043 | 1,288,351 | 1,330,953 | ||||||
3.50%, 01/01/2043 | 1,998,119 | 2,064,014 | ||||||
3.00%, 01/15/2043 (4) | 21,380,000 | 21,372,562 | ||||||
3.00%, 02/01/2043 | 1,350,269 | 1,348,317 | ||||||
3.50%, 02/01/2043 | 131,247 | 135,674 | ||||||
3.50%, 02/01/2043 | 127,406 | 131,622 | ||||||
3.50%, 03/01/2043 | 2,586,081 | 2,672,750 | ||||||
3.50%, 03/01/2043 | 889,502 | 918,881 | ||||||
3.00%, 04/01/2043 | 2,054,024 | 2,057,905 | ||||||
3.00%, 04/01/2043 | 498,362 | 500,422 | ||||||
3.00%, 04/01/2043 | 688,121 | 690,969 | ||||||
3.00%, 04/01/2043 | 4,517,264 | 4,525,638 | ||||||
3.50%, 04/01/2043 | 3,498,873 | 3,618,790 | ||||||
3.00%, 05/01/2043 | 209,037 | 209,399 | ||||||
3.00%, 05/01/2043 | 9,695,645 | 9,735,728 | ||||||
3.00%, 05/01/2043 | 17,793,886 | 17,826,110 | ||||||
3.50%, 05/01/2043 | 162,130 | 167,805 | ||||||
3.50%, 05/01/2043 | 3,224,492 | 3,330,967 | ||||||
3.50%, 05/01/2043 | 2,467,180 | 2,548,233 | ||||||
3.50%, 05/01/2043 | 1,225,163 | 1,265,739 | ||||||
3.00%, 06/01/2043 | 180,643 | 180,970 | ||||||
3.00%, 06/01/2043 | 1,226,664 | 1,231,747 | ||||||
3.00%, 06/01/2043 | 353,723 | 354,375 | ||||||
3.00%, 06/01/2043 | 10,894,357 | 10,913,284 | ||||||
3.00%, 06/01/2043 | 884,678 | 886,175 | ||||||
3.00%, 06/01/2043 | 140,612 | 140,866 | ||||||
3.00%, 06/01/2043 | 1,287,723 | 1,290,104 | ||||||
3.50%, 06/01/2043 | 2,896,114 | 2,991,723 | ||||||
3.00%, 07/01/2043 | 2,333,787 | 2,337,660 | ||||||
3.00%, 07/01/2043 | 5,174,174 | 5,183,140 | ||||||
3.00%, 07/01/2043 | 179,162 | 179,452 | ||||||
3.00%, 07/01/2043 | 707,127 | 708,326 | ||||||
3.00%, 07/01/2043 | 1,686,848 | 1,689,711 | ||||||
3.00%, 07/01/2043 | 544,812 | 545,778 | ||||||
3.00%, 07/01/2043 | 153,727 | 153,982 | ||||||
3.00%, 07/01/2043 | 715,762 | 717,003 | ||||||
3.00%, 07/01/2043 | 120,416 | 120,625 | ||||||
3.50%, 07/01/2043 | 16,143,783 | 16,684,829 | ||||||
4.00%, 07/01/2043 | 1,738,760 | 1,851,040 | ||||||
3.00%, 08/01/2043 | 2,360,097 | 2,363,917 | ||||||
3.00%, 08/01/2043 | 1,632,726 | 1,636,523 | ||||||
3.00%, 08/01/2043 | 2,710,890 | 2,715,388 | ||||||
3.00%, 08/01/2043 | 2,234,667 | 2,243,909 |
Table of Contents
3.00%, 08/01/2043 | 6,115,942 | 6,136,820 | ||||||
3.00%, 08/01/2043 | 5,248,475 | 5,257,175 | ||||||
3.00%, 09/01/2043 | 101,991 | 102,145 | ||||||
3.00%, 09/01/2043 | 3,959,100 | 3,965,501 | ||||||
3.00%, 09/01/2043 | 176,032 | 176,297 | ||||||
3.00%, 09/01/2043 | 2,766,696 | 2,771,169 | ||||||
5.00%, 09/01/2043 | 2,855,779 | 3,140,684 | ||||||
2.50%, 10/01/2043 | 3,338,395 | 3,225,042 | ||||||
3.00%, 10/01/2043 | 145,276 | 145,517 | ||||||
3.00%, 10/01/2043 | 159,182 | 159,488 | ||||||
3.00%, 10/01/2043 | 106,616 | 106,819 | ||||||
4.00%, 11/01/2043 | 9,177,535 | 9,714,037 | ||||||
4.00%, 12/01/2043 | 380,652 | 402,883 | ||||||
4.00%, 12/01/2043 | 4,083,923 | 4,345,640 | ||||||
4.00%, 09/01/2044 | 3,449,043 | 3,650,069 | ||||||
3.00%, 04/01/2045 | 12,422,030 | 12,431,081 | ||||||
3.50%, 04/01/2045 | 18,945,775 | 19,555,135 | ||||||
3.50%, 07/01/2045 | 3,939,146 | 4,075,339 | ||||||
4.00%, 07/01/2045 | 14,668,332 | 15,563,677 | ||||||
4.00%, 07/01/2045 | 3,658,173 | 3,876,295 | ||||||
4.00%, 08/01/2045 | 3,635,917 | 3,863,468 | ||||||
4.00%, 08/01/2045 | 5,497,463 | 5,825,404 | ||||||
4.00%, 09/01/2045 | 3,662,416 | 3,891,622 | ||||||
4.00%, 09/01/2045 | 3,654,495 | 3,883,205 | ||||||
3.50%, 10/01/2045 | 6,124,213 | 6,335,949 | ||||||
4.00%, 10/01/2045 | 7,276,837 | 7,710,934 | ||||||
4.00%, 10/01/2045 | 7,062,917 | 7,504,940 | ||||||
3.50%, 11/01/2045 | 6,057,020 | 6,254,237 | ||||||
3.50%, 11/01/2045 | 5,010,371 | 5,171,556 | ||||||
4.00%, 11/01/2045 | 5,918,550 | 6,288,966 | ||||||
4.00%, 12/01/2045 | 6,184,990 | 6,553,973 | ||||||
6.00%, 11/01/2048 | 69,816 | 76,580 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.74%, 12/25/2042 | 167,250 | 187,805 | ||||||
6.39%, 12/25/2042 | 43,714 | 50,312 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
6.36%, 10/25/2042 | 26,228 | 30,110 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 796,732 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 135,337 | 156,910 | ||||||
Fannie Mae REMIC Trust 2004-W6 | ||||||||
5.50%, 07/25/2034 | 54,452 | 54,978 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 256,178 | 296,776 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 252,918 | 281,024 | ||||||
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.32%, 08/25/2047 | 36,388 | 40,667 |
Table of Contents
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 79,518 | 87,630 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 PO | 79,934 | 71,918 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
36.65%, 07/25/2037 | 59,637 | 91,881 | ||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 1,306,738 | 1,498,895 | ||||||
Fannie Mae REMICS | ||||||||
0.64%, 10/25/2016 IO | 516,053 | 2,041 | ||||||
6.00%, 12/25/2016 | 5,546 | 5,634 | ||||||
6.00%, 12/25/2016 | 143 | 145 | ||||||
6.00%, 12/25/2016 | 26,016 | 26,523 | ||||||
6.00%, 12/25/2016 | 4,885 | 4,980 | ||||||
6.00%, 02/25/2017 | 12,572 | 12,693 | ||||||
6.00%, 02/25/2017 | 8,787 | 8,979 | ||||||
0.92%, 03/25/2017 | 625 | 626 | ||||||
6.00%, 03/25/2017 | 5,224 | 5,255 | ||||||
6.00%, 03/25/2017 | 2,736 | 2,761 | ||||||
6.00%, 04/25/2017 | 19,587 | 20,089 | ||||||
6.00%, 04/25/2017 | 2,343 | 2,358 | ||||||
6.00%, 04/25/2017 | 16,305 | 16,508 | ||||||
18.31%, 05/25/2017 | 11,572 | 12,739 | ||||||
6.00%, 06/25/2017 | 19,157 | 19,401 | ||||||
5.50%, 09/25/2017 | 20,031 | 20,396 | ||||||
5.00%, 10/25/2017 | 6,582 | 6,731 | ||||||
5.00%, 05/25/2018 | 22,089 | 22,764 | ||||||
4.75%, 09/25/2018 | 109,603 | 113,235 | ||||||
4.00%, 04/25/2019 | 27,032 | 27,776 | ||||||
8.00%, 07/25/2019 | 7,333 | 7,847 | ||||||
8.00%, 10/25/2019 | 2,533 | 2,722 | ||||||
4.00%, 11/25/2019 | 29,818 | 30,666 | ||||||
8.50%, 11/25/2019 | 1,426 | 1,550 | ||||||
9.00%, 11/25/2019 | 1,057 | 1,147 | ||||||
9.40%, 11/25/2019 | 1,158 | 1,259 | ||||||
7.50%, 12/25/2019 | 2,729 | 2,917 | ||||||
8.50%, 01/25/2020 | 291 | 317 | ||||||
8.80%, 01/25/2020 | 747 | 814 | ||||||
7.00%, 05/25/2020 | 322 | 350 | ||||||
5.50%, 06/25/2020 | 339 | 358 | ||||||
9.50%, 06/25/2020 | 526 | 579 | ||||||
7.00%, 07/25/2020 | 2,889 | 3,091 | ||||||
5.50%, 08/25/2020 | 418 | 440 | ||||||
6.50%, 08/25/2020 | 3,641 | 3,854 | ||||||
505.00%, 08/25/2020 | 6 | 57 | ||||||
1118.04%, 08/25/2020 IO | 8 | 79 | ||||||
6.50%, 09/25/2020 | 1,702 | 1,800 |
Table of Contents
7.00%, 09/25/2020 | 567 | 611 | ||||||
9.00%, 10/25/2020 | 2,325 | 2,555 | ||||||
20.97%, 11/25/2020 | 279 | 408 | ||||||
652.15%, 12/25/2020 IO | 15 | 196 | ||||||
7.00%, 01/25/2021 | 659 | 709 | ||||||
908.50%, 02/25/2021 IO | 1 | 7 | ||||||
5.00%, 03/25/2021 | 704 | 742 | ||||||
7.00%, 03/25/2021 | 25,786 | 27,710 | ||||||
5.00%, 05/25/2021 | 949 | 948 | ||||||
16.94%, 05/25/2021 | 540 | 674 | ||||||
8.50%, 06/25/2021 | 643 | 718 | ||||||
8.75%, 06/25/2021 | 2,839 | 3,159 | ||||||
1037.54%, 06/25/2021 | 24 | 281 | ||||||
6.50%, 07/25/2021 | 1,474 | 1,574 | ||||||
6.50%, 09/25/2021 | 140,889 | 155,690 | ||||||
14.68%, 09/25/2021 | 1,810 | 2,141 | ||||||
8.75%, 10/25/2021 | 4,872 | 5,329 | ||||||
24.35%, 12/25/2021 | 808 | 1,102 | ||||||
6.00%, 02/25/2022 | 151,033 | 164,727 | ||||||
6.50%, 02/25/2022 | 22,637 | 25,056 | ||||||
0.00%, 03/25/2022 PO | 58,885 | 56,374 | ||||||
7.50%, 06/25/2022 | 120 | 133 | ||||||
7.00%, 07/25/2022 | 2,090 | 2,269 | ||||||
7.50%, 07/25/2022 | 23,567 | 26,160 | ||||||
8.00%, 07/25/2022 | 24,213 | 26,846 | ||||||
8.00%, 07/25/2022 | 19,567 | 20,313 | ||||||
1184.78%, 07/25/2022 IO | 8 | 189 | ||||||
6.00%, 08/25/2022 | 8,464 | 8,620 | ||||||
6.00%, 08/25/2022 | 3,927 | 4,187 | ||||||
6.50%, 08/25/2022 | 5,404 | 5,802 | ||||||
0.44%, 09/25/2022 | 2,212 | 2,210 | ||||||
5.50%, 09/25/2022 | 3,829 | 4,075 | ||||||
6.00%, 09/25/2022 | 176,701 | 193,614 | ||||||
7.50%, 09/25/2022 | 22,924 | 24,952 | ||||||
7.75%, 09/25/2022 | 10,634 | 11,788 | ||||||
8.00%, 09/25/2022 | 29,504 | 32,676 | ||||||
0.00%, 10/25/2022 PO | 3,021 | 2,866 | ||||||
1.35%, 10/25/2022 | 2,066 | 2,095 | ||||||
7.00%, 10/25/2022 | 4,288 | 4,692 | ||||||
7.50%, 10/25/2022 | 14,267 | 15,996 | ||||||
7.90%, 01/25/2023 | 14,831 | 16,719 | ||||||
6.50%, 02/25/2023 | 5,904 | 6,546 | ||||||
7.00%, 02/25/2023 | 61,180 | 67,822 | ||||||
15.50%, 02/25/2023 | 2,542 | 3,551 | ||||||
5.50%, 03/25/2023 | 304,746 | 330,577 | ||||||
6.50%, 03/25/2023 | 4,521 | 4,963 | ||||||
7.00%, 03/25/2023 | 39,913 | 43,949 | ||||||
7.50%, 03/25/2023 | 14,029 | 15,496 |
Table of Contents
7.70%, 03/25/2023 | 6,472 | 7,273 | ||||||
0.00%, 04/25/2023 PO | 2,091 | 1,983 | ||||||
5.50%, 04/25/2023 | 560,095 | 607,685 | ||||||
5.50%, 04/25/2023 | 17,436 | 18,759 | ||||||
6.00%, 04/25/2023 | 10,209 | 11,637 | ||||||
7.00%, 04/25/2023 | 14,096 | 15,531 | ||||||
17.56%, 04/25/2023 IO | 11,344 | 2,242 | ||||||
19.02%, 04/25/2023 | 6,763 | 9,759 | ||||||
5.50%, 05/25/2023 | 128,102 | 137,862 | ||||||
7.00%, 05/25/2023 | 148,392 | 164,844 | ||||||
5.00%, 06/25/2023 | 134,678 | 141,027 | ||||||
6.08%, 06/25/2023 IO | 99,266 | 9,727 | ||||||
7.23%, 06/25/2023 IO | 65,725 | 3,088 | ||||||
4.50%, 07/25/2023 | 226,131 | 238,169 | ||||||
6.50%, 07/25/2023 | 3,666 | 4,032 | ||||||
6.79%, 07/25/2023 | 74,625 | 81,589 | ||||||
7.00%, 07/25/2023 | 73,394 | 79,937 | ||||||
7.00%, 07/25/2023 | 51,497 | 57,082 | ||||||
1.30%, 08/25/2023 | 9,258 | 9,413 | ||||||
6.88%, 08/25/2023 | 67,200 | 74,013 | ||||||
7.00%, 08/25/2023 | 123,734 | 136,009 | ||||||
7.63%, 08/25/2023 IO | 7,163 | 636 | ||||||
8.49%, 08/25/2023 IO | 61,025 | 13,497 | ||||||
0.00%, 09/25/2023 PO | 2,104 | 1,987 | ||||||
0.00%, 09/25/2023 PO | 5,655 | 5,357 | ||||||
1.07%, 09/25/2023 | 101,851 | 102,392 | ||||||
6.50%, 09/25/2023 | 6,215 | 6,892 | ||||||
12.50%, 09/25/2023 | 4,288 | 4,948 | ||||||
13.48%, 09/25/2023 | 3,454 | 4,518 | ||||||
0.97%, 10/25/2023 | 2,352 | 2,357 | ||||||
6.50%, 10/25/2023 | 44,159 | 48,888 | ||||||
6.50%, 10/25/2023 | 95,880 | 109,565 | ||||||
10.50%, 10/25/2023 | 2,031 | 2,577 | ||||||
22.20%, 10/25/2023 | 5,662 | 8,647 | ||||||
26.91%, 10/25/2023 | 3,047 | 5,032 | ||||||
0.00%, 11/25/2023 PO | 660 | 621 | ||||||
6.50%, 11/25/2023 | 35,576 | 40,654 | ||||||
1.02%, 12/25/2023 | 2,631 | 2,668 | ||||||
1.42%, 12/25/2023 | 7,752 | 7,878 | ||||||
6.50%, 12/25/2023 | 9,035 | 9,985 | ||||||
12.30%, 12/25/2023 | 3,607 | 4,683 | ||||||
23.02%, 12/25/2023 | 7,752 | 11,858 | ||||||
28.14%, 12/25/2023 | 9,528 | 16,002 | ||||||
5.00%, 02/25/2024 IO | 159,439 | 12,211 | ||||||
5.00%, 03/25/2024 IO | 67,204 | 4,209 | ||||||
5.00%, 03/25/2024 IO | 131,853 | 6,709 | ||||||
6.50%, 03/25/2024 | 32,132 | 36,718 | ||||||
6.50%, 03/25/2024 | 162,973 | 177,510 |
Table of Contents
7.00%, 04/25/2024 | 241,664 | 267,732 | ||||||
7.00%, 04/25/2024 | 115,893 | 130,007 | ||||||
5.50%, 07/25/2024 | 32,451 | 35,182 | ||||||
5.50%, 08/25/2024 | 284,137 | 309,716 | ||||||
5.00%, 11/25/2024 | 469,717 | 507,215 | ||||||
8.50%, 01/25/2025 | 6,040 | 6,889 | ||||||
8.80%, 01/25/2025 | 8,579 | 9,726 | ||||||
0.72%, 07/25/2025 | 85,414 | 85,629 | ||||||
5.50%, 08/25/2025 | 279,667 | 307,874 | ||||||
5.50%, 01/25/2026 | 186,674 | 202,417 | ||||||
31.14%, 10/25/2026 | 36,189 | 60,718 | ||||||
7.00%, 11/25/2026 | 59,240 | 65,463 | ||||||
1.84%, 03/25/2027 IO | 12,269 | 419 | ||||||
1.84%, 03/25/2027 IO | 39,900 | 1,210 | ||||||
7.50%, 04/18/2027 | 9,395 | 10,295 | ||||||
7.50%, 04/20/2027 | 14,082 | 16,355 | ||||||
6.50%, 04/25/2027 | 37,212 | 42,523 | ||||||
7.50%, 05/20/2027 | 55,785 | 64,849 | ||||||
0.82%, 05/25/2027 | 5,231,699 | 5,256,617 | ||||||
6.50%, 07/18/2027 | 2,980 | 3,405 | ||||||
7.00%, 12/18/2027 IO | 14,992 | 1,797 | ||||||
6.00%, 07/18/2028 | 21,684 | 24,496 | ||||||
7.18%, 07/25/2028 IO | 575,131 | 101,384 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,204,057 | ||||||
6.00%, 12/25/2028 | 11,140 | 12,252 | ||||||
7.73%, 12/25/2028 IO | 22,650 | 4,053 | ||||||
5.00%, 03/25/2029 | 520,323 | 564,174 | ||||||
5.50%, 04/18/2029 | 50,171 | 55,377 | ||||||
6.35%, 04/25/2029 | 11,847 | 13,046 | ||||||
7.50%, 12/18/2029 | 16,219 | 18,854 | ||||||
7.50%, 02/25/2030 | 90,386 | 102,778 | ||||||
8.68%, 07/25/2030 IO | 32,023 | 8,806 | ||||||
8.50%, 01/25/2031 IO | 4,051 | 751 | ||||||
7.00%, 03/25/2031 | 11,378 | 12,953 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,159,230 | ||||||
6.00%, 07/25/2031 IO | 61,054 | 7,714 | ||||||
7.00%, 07/25/2031 | 32,684 | 36,990 | ||||||
7.00%, 08/25/2031 | 61,785 | 71,289 | ||||||
6.50%, 09/25/2031 | 14,236 | 16,330 | ||||||
7.00%, 09/25/2031 | 16,902 | 18,969 | ||||||
7.00%, 09/25/2031 | 14,088 | 16,055 | ||||||
7.00%, 09/25/2031 | 80,677 | 91,870 | ||||||
13.36%, 09/25/2031 | 15,213 | 15,653 | ||||||
23.02%, 09/25/2031 | 45,912 | 81,989 | ||||||
6.50%, 10/25/2031 | 10,216 | 11,376 | ||||||
21.69%, 10/25/2031 | 29,508 | 44,585 | ||||||
6.00%, 11/25/2031 | 115,855 | 131,333 | ||||||
7.00%, 11/25/2031 | 110,547 | 124,011 |
Table of Contents
14.78%, 11/25/2031 | 31,779 | 45,949 | ||||||
16.48%, 12/25/2031 | 3,612 | 5,002 | ||||||
0.00%, 01/25/2032 PO | 4,742 | 4,332 | ||||||
23.82%, 02/25/2032 | 18,850 | 31,540 | ||||||
1.60%, 03/25/2032 IO | 116,546 | 7,004 | ||||||
10.00%, 03/25/2032 | 1,730 | 2,249 | ||||||
0.00%, 04/25/2032 PO | 3,487 | 3,150 | ||||||
6.00%, 04/25/2032 | 286,023 | 324,486 | ||||||
6.50%, 04/25/2032 | 51,537 | 58,085 | ||||||
6.50%, 05/25/2032 | 109,836 | 121,900 | ||||||
6.50%, 06/25/2032 | 39,727 | 45,524 | ||||||
6.50%, 07/25/2032 IO | 210,041 | 36,962 | ||||||
6.50%, 08/25/2032 | 117,046 | 133,914 | ||||||
18.64%, 08/25/2032 | 111,038 | 138,308 | ||||||
1.22%, 11/25/2032 | 543,343 | 557,248 | ||||||
5.00%, 11/25/2032 | 26,693 | 28,857 | ||||||
6.00%, 11/25/2032 | 803,326 | 912,871 | ||||||
8.50%, 11/25/2032 | 35,475 | 41,999 | ||||||
0.00%, 12/25/2032 PO | 23,631 | 21,479 | ||||||
5.50%, 12/25/2032 | 300,315 | 321,218 | ||||||
13.71%, 12/25/2032 | 19,401 | 26,272 | ||||||
0.00%, 01/25/2033 PO | 52,590 | 51,598 | ||||||
6.50%, 02/25/2033 | 40,160 | 44,757 | ||||||
5.00%, 03/25/2033 IO | 60,894 | 10,173 | ||||||
6.00%, 03/25/2033 | 66,000 | 70,560 | ||||||
4.00%, 04/25/2033 | 422,291 | 441,053 | ||||||
0.00%, 05/25/2033 PO | 14,119 | 12,925 | ||||||
4.00%, 05/25/2033 | 24,997 | 26,473 | ||||||
6.00%, 05/25/2033 | 124,000 | 142,477 | ||||||
6.00%, 05/25/2033 IO | 18,368 | 4,578 | ||||||
6.00%, 05/25/2033 | 78,173 | 88,879 | ||||||
6.00%, 05/25/2033 | 233,000 | 259,603 | ||||||
6.50%, 05/25/2033 IO | 181,665 | 41,060 | ||||||
7.00%, 05/25/2033 IO | 301,134 | 38,098 | ||||||
5.75%, 06/25/2033 | 115,967 | 131,166 | ||||||
6.68%, 06/25/2033 IO | 166,046 | 17,338 | ||||||
13.36%, 06/25/2033 | 123,515 | 145,706 | ||||||
5.50%, 07/25/2033 | 65,176 | 65,714 | ||||||
13.14%, 07/25/2033 | 47,924 | 58,372 | ||||||
13.36%, 07/25/2033 | 48,028 | 55,149 | ||||||
0.00%, 08/25/2033 PO | 14,297 | 13,511 | ||||||
5.50%, 08/25/2033 | 233,550 | 261,983 | ||||||
5.50%, 08/25/2033 IO | 474,348 | 88,990 | ||||||
5.50%, 08/25/2033 | 104,704 | 106,764 | ||||||
7.14%, 08/25/2033 | 118,568 | 127,449 | ||||||
9.41%, 08/25/2033 | 11,256 | 13,223 | ||||||
16.89%, 08/25/2033 | 77,827 | 104,362 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,537,987 |
Table of Contents
11.80%, 09/25/2033 | 35,284 | 43,261 | ||||||
3.00%, 10/25/2033 | 908,000 | 892,309 | ||||||
5.50%, 10/25/2033 | 1,502,467 | 1,680,333 | ||||||
7.18%, 11/25/2033 IO | 237,776 | 50,833 | ||||||
0.00%, 12/25/2033 PO | 179,975 | 164,010 | ||||||
13.26%, 12/25/2033 | 63,521 | 74,211 | ||||||
1.17%, 01/25/2034 | 281,966 | 288,089 | ||||||
10.89%, 01/25/2034 | 15,766 | 19,058 | ||||||
15.36%, 01/25/2034 | 30,063 | 38,925 | ||||||
5.50%, 02/25/2034 | 69,094 | 72,134 | ||||||
26.91%, 02/25/2034 | 87,561 | 110,936 | ||||||
0.00%, 03/25/2034 PO | 243,151 | 229,284 | ||||||
0.82%, 03/25/2034 | 223,015 | 224,407 | ||||||
5.50%, 04/25/2034 | 373,410 | 409,953 | ||||||
6.00%, 04/25/2034 | 9,434 | 9,549 | ||||||
18.37%, 04/25/2034 | 139,688 | 202,580 | ||||||
0.82%, 05/25/2034 | 480,759 | 482,835 | ||||||
15.34%, 05/25/2034 | 35,212 | 45,579 | ||||||
18.37%, 05/25/2034 | 205,549 | 281,792 | ||||||
22.31%, 05/25/2034 | 45,921 | 66,166 | ||||||
5.50%, 07/25/2034 | 909,656 | 1,019,711 | ||||||
13.40%, 07/25/2034 | 31,815 | 42,889 | ||||||
0.67%, 08/25/2034 | 176,079 | 175,908 | ||||||
18.64%, 11/25/2034 | 73,331 | 93,967 | ||||||
20.40%, 12/25/2034 | 4,016 | 4,536 | ||||||
23.54%, 01/25/2035 | 28,053 | 36,652 | ||||||
0.00%, 04/25/2035 PO | 161,177 | 154,371 | ||||||
0.77%, 04/25/2035 | 221,822 | 222,469 | ||||||
15.95%, 05/25/2035 | 23,540 | 29,659 | ||||||
18.86%, 05/25/2035 | 277,773 | 388,145 | ||||||
18.97%, 05/25/2035 | 190,959 | 267,498 | ||||||
23.20%, 05/25/2035 | 63,765 | 91,428 | ||||||
5.00%, 06/25/2035 | 80,361 | 84,471 | ||||||
6.50%, 06/25/2035 | 3,746 | 3,927 | ||||||
23.39%, 06/25/2035 | 76,123 | 115,097 | ||||||
5.75%, 07/25/2035 | 2,299,468 | 2,625,249 | ||||||
6.29%, 07/25/2035 IO | 152,995 | 30,100 | ||||||
16.32%, 07/25/2035 | 56,851 | 81,115 | ||||||
5.50%, 08/25/2035 | 245,894 | 273,425 | ||||||
5.50%, 08/25/2035 | 1,169,440 | 1,242,532 | ||||||
15.65%, 08/25/2035 | 80,628 | 110,909 | ||||||
15.82%, 08/25/2035 | 123,160 | 166,023 | ||||||
0.00%, 09/25/2035 PO | 39,953 | 37,820 | ||||||
22.51%, 09/25/2035 | 30,353 | 46,284 | ||||||
0.00%, 10/25/2035 PO | 51,678 | 46,960 | ||||||
5.75%, 10/25/2035 | 247,914 | 266,782 | ||||||
15.82%, 10/25/2035 | 95,526 | 126,301 | ||||||
5.50%, 11/25/2035 | 25,020 | 25,175 |
Table of Contents
23.02%, 11/25/2035 | 490,171 | 723,842 | ||||||
5.50%, 12/25/2035 | 584,000 | 679,255 | ||||||
5.50%, 12/25/2035 | 123,835 | 133,368 | ||||||
6.00%, 12/25/2035 | 50,817 | 56,045 | ||||||
6.00%, 12/25/2035 | 1,000,000 | 1,096,791 | ||||||
0.00%, 01/25/2036 PO | 29,704 | 28,634 | ||||||
5.50%, 01/25/2036 | 92,594 | 100,728 | ||||||
0.00%, 03/25/2036 PO | 40,109 | 37,152 | ||||||
0.00%, 03/25/2036 PO | 353,531 | 326,653 | ||||||
5.50%, 03/25/2036 | 552,963 | 621,933 | ||||||
5.50%, 03/25/2036 | 513,232 | 576,452 | ||||||
5.50%, 03/25/2036 | 277,286 | 298,687 | ||||||
6.28%, 03/25/2036 IO | 1,296,281 | 245,540 | ||||||
23.02%, 03/25/2036 | 32,639 | 50,204 | ||||||
0.00%, 04/25/2036 PO | 118,661 | 109,538 | ||||||
0.00%, 04/25/2036 PO | 64,839 | 59,214 | ||||||
0.00%, 04/25/2036 PO | 150,861 | 139,828 | ||||||
0.67%, 04/25/2036 | 205,932 | 206,031 | ||||||
28.25%, 05/25/2036 | 39,743 | 72,669 | ||||||
0.00%, 06/25/2036 PO | 70,555 | 64,081 | ||||||
0.00%, 06/25/2036 PO | 104,995 | 97,199 | ||||||
0.00%, 06/25/2036 PO | 34,803 | 31,912 | ||||||
0.00%, 06/25/2036 PO | 236,142 | 216,401 | ||||||
0.00%, 06/25/2036 PO | 295,244 | 268,565 | ||||||
0.82%, 06/25/2036 | 80,729 | 81,101 | ||||||
6.00%, 06/25/2036 IO | 566 | 2 | ||||||
6.16%, 06/25/2036 IO | 293,888 | 49,853 | ||||||
22.65%, 06/25/2036 | 12,892 | 16,965 | ||||||
0.45%, 06/27/2036 | 1,876,143 | 1,874,307 | ||||||
0.00%, 07/25/2036 PO | 81,008 | 73,703 | ||||||
0.00%, 07/25/2036 PO | 44,469 | 40,846 | ||||||
0.00%, 07/25/2036 PO | 23,229 | 21,432 | ||||||
0.00%, 07/25/2036 PO | 77,503 | 74,807 | ||||||
0.71%, 07/25/2036 | 646,212 | 649,450 | ||||||
0.88%, 07/25/2036 | 71,789 | 72,485 | ||||||
6.00%, 07/25/2036 | 998,906 | 1,128,462 | ||||||
6.10%, 07/25/2036 IO | 132,236 | 25,494 | ||||||
6.50%, 07/25/2036 | 474,840 | 554,689 | ||||||
6.50%, 07/25/2036 | 629,360 | 714,853 | ||||||
27.11%, 07/25/2036 | 38,316 | 69,795 | ||||||
37.37%, 07/25/2036 | 31,295 | 55,902 | ||||||
0.00%, 08/25/2036 PO | 74,653 | 69,134 | ||||||
0.00%, 08/25/2036 PO | 30,241 | 28,091 | ||||||
0.00%, 08/25/2036 PO | 59,781 | 54,176 | ||||||
0.00%, 08/25/2036 PO | 144,332 | 131,496 | ||||||
0.77%, 08/25/2036 | 252,211 | 253,699 | ||||||
6.08%, 08/25/2036 IO | 93,197 | 27,194 | ||||||
6.50%, 08/25/2036 | 363,537 | 412,936 |
Table of Contents
6.50%, 08/25/2036 | 76,998 | 87,988 | ||||||
0.00%, 09/25/2036 PO | 80,864 | 74,571 | ||||||
0.00%, 09/25/2036 PO | 75,789 | 69,820 | ||||||
0.00%, 09/25/2036 PO | 55,650 | 52,714 | ||||||
6.50%, 09/25/2036 | 64,559 | 72,100 | ||||||
4.50%, 10/25/2036 | 366,701 | 393,925 | ||||||
24.51%, 10/25/2036 | 47,340 | 74,179 | ||||||
0.00%, 11/25/2036 PO | 20,956 | 19,361 | ||||||
0.00%, 11/25/2036 PO | 134,574 | 123,026 | ||||||
0.00%, 11/25/2036 PO | 54,738 | 50,535 | ||||||
0.00%, 12/25/2036 PO | 64,694 | 60,273 | ||||||
0.00%, 12/25/2036 PO | 29,472 | 26,916 | ||||||
0.28%, 12/25/2036 | 714,115 | 712,744 | ||||||
0.48%, 12/25/2036 | 198,868 | 194,468 | ||||||
6.00%, 12/25/2036 | 26,717 | 27,071 | ||||||
6.23%, 12/25/2036 IO | 298,074 | 47,657 | ||||||
24.87%, 12/25/2036 | 16,246 | 24,083 | ||||||
0.00%, 01/25/2037 PO | 62,458 | 58,031 | ||||||
0.00%, 01/25/2037 PO | 203,367 | 188,099 | ||||||
5.50%, 01/25/2037 | 125,977 | 134,092 | ||||||
0.62%, 02/25/2037 | 44 | 44 | ||||||
0.67%, 02/25/2037 | 256,263 | 255,421 | ||||||
36.47%, 02/25/2037 | 8,374 | 20,667 | ||||||
0.00%, 03/25/2037 PO | 57,420 | 52,606 | ||||||
0.92%, 03/25/2037 | 155,054 | 156,225 | ||||||
1.17%, 03/25/2037 | 227,420 | 240,899 | ||||||
5.00%, 03/25/2037 | 18,175 | 19,616 | ||||||
5.66%, 03/25/2037 IO | 24,479 | 4,041 | ||||||
6.00%, 03/25/2037 | 1,180,257 | 1,289,844 | ||||||
6.02%, 03/25/2037 IO | 556,093 | 83,925 | ||||||
0.00%, 04/25/2037 PO | 188,336 | 174,934 | ||||||
5.68%, 04/25/2037 IO | 244,280 | 36,566 | ||||||
21.26%, 04/25/2037 | 117,091 | 173,548 | ||||||
0.00%, 05/25/2037 PO | 44,570 | 42,454 | ||||||
0.72%, 05/25/2037 | 105,584 | 105,690 | ||||||
6.00%, 05/25/2037 | 681,258 | 763,191 | ||||||
0.82%, 06/25/2037 | 677,571 | 682,265 | ||||||
0.87%, 06/25/2037 | 51,292 | 52,789 | ||||||
5.36%, 06/25/2037 IO | 115,604 | 14,237 | ||||||
5.68%, 06/25/2037 IO | 141,795 | 22,982 | ||||||
5.68%, 06/25/2037 IO | 449,701 | 61,277 | ||||||
6.50%, 06/25/2037 | 69,340 | 76,949 | ||||||
0.00%, 07/25/2037 PO | 140,014 | 124,207 | ||||||
0.79%, 07/25/2037 | 109,841 | 110,035 | ||||||
0.92%, 07/25/2037 | 78,564 | 79,144 | ||||||
5.50%, 07/25/2037 | 325,338 | 365,112 | ||||||
5.98%, 07/25/2037 IO | 874,470 | 129,185 | ||||||
6.20%, 07/25/2037 IO | 509,645 | 77,441 |
Table of Contents
6.73%, 07/25/2037 IO | 1,324,902 | 222,410 | ||||||
15.45%, 07/25/2037 | 80,737 | 106,647 | ||||||
0.87%, 08/25/2037 | 559,298 | 561,092 | ||||||
5.50%, 08/25/2037 | 213,735 | 230,786 | ||||||
6.00%, 08/25/2037 | 323,035 | 358,908 | ||||||
6.00%, 08/25/2037 | 50,106 | 55,769 | ||||||
6.00%, 08/25/2037 | 289,533 | 320,435 | ||||||
6.00%, 08/25/2037 | 379,606 | 424,463 | ||||||
22.47%, 08/25/2037 | 114,609 | 163,813 | ||||||
0.87%, 09/25/2037 | 2,130,162 | 2,142,084 | ||||||
6.12%, 09/25/2037 IO | 431,859 | 83,496 | ||||||
15.10%, 09/25/2037 | 33,327 | 44,546 | ||||||
0.00%, 10/25/2037 PO | 1,146,194 | 1,029,732 | ||||||
6.03%, 10/25/2037 IO | 413,754 | 61,986 | ||||||
6.04%, 10/25/2037 IO | 435,093 | 63,927 | ||||||
6.07%, 10/25/2037 | 171,896 | 189,515 | ||||||
0.40%, 10/27/2037 | 3,020,969 | 3,004,892 | ||||||
5.94%, 12/25/2037 IO | 33,231 | 4,231 | ||||||
5.98%, 12/25/2037 IO | 541,110 | 70,639 | ||||||
6.03%, 12/25/2037 IO | 426,064 | 59,264 | ||||||
6.50%, 12/25/2037 | 378,129 | 441,994 | ||||||
1.49%, 01/25/2038 IO | 1,062,222 | 71,855 | ||||||
5.49%, 02/25/2038 IO | 490,650 | 69,293 | ||||||
5.58%, 02/25/2038 IO | 825,040 | 109,758 | ||||||
1.32%, 03/25/2038 | 108,839 | 110,652 | ||||||
5.78%, 03/25/2038 IO | 141,564 | 23,391 | ||||||
5.81%, 03/25/2038 IO | 136,948 | 19,224 | ||||||
6.57%, 03/25/2038 IO | 204,403 | 28,978 | ||||||
13.16%, 03/25/2038 | 52,105 | 67,579 | ||||||
5.50%, 04/25/2038 | 1,498,760 | 1,565,078 | ||||||
6.43%, 04/25/2038 IO | 149,122 | 20,472 | ||||||
6.48%, 04/25/2038 IO | 186,961 | 29,695 | ||||||
6.50%, 04/25/2038 | 133,118 | 146,784 | ||||||
19.44%, 04/25/2038 | 70,821 | 95,961 | ||||||
0.00%, 05/25/2038 PO | 5,826 | 5,412 | ||||||
1.67%, 06/25/2038 IO | 432,230 | 31,334 | ||||||
5.00%, 07/25/2038 | 105,811 | 113,968 | ||||||
5.00%, 07/25/2038 | 116,024 | 126,627 | ||||||
5.50%, 07/25/2038 | 793,813 | 848,987 | ||||||
6.78%, 07/25/2038 IO | 116,207 | 24,201 | ||||||
5.43%, 09/25/2038 IO | 484,319 | 63,297 | ||||||
5.43%, 09/25/2038 IO | 263,521 | 36,546 | ||||||
4.50%, 11/25/2038 | 80,437 | 83,355 | ||||||
0.82%, 12/25/2038 | 290,099 | 290,540 | ||||||
4.00%, 02/25/2039 | 411,649 | 426,014 | ||||||
4.50%, 02/25/2039 | 29,625 | 31,423 | ||||||
6.13%, 02/25/2039 IO | 294,666 | 62,318 | ||||||
6.23%, 03/25/2039 IO | 254,016 | 38,247 |
Table of Contents
0.87%, 04/25/2039 | 629,487 | 633,571 | ||||||
5.00%, 07/25/2039 IO | 199,973 | 30,842 | ||||||
7.00%, 07/25/2039 | 16,257 | 18,785 | ||||||
5.00%, 08/25/2039 | 696,637 | 769,776 | ||||||
6.00%, 08/25/2039 | 842,097 | 951,524 | ||||||
5.00%, 09/25/2039 | 700,275 | 745,941 | ||||||
6.01%, 09/25/2039 | 353,289 | 405,938 | ||||||
5.48%, 10/25/2039 IO | 207,570 | 27,390 | ||||||
5.50%, 10/25/2039 IO | 483,591 | 81,891 | ||||||
2.48%, 12/25/2039 | 771,744 | 815,141 | ||||||
5.76%, 12/25/2039 IO | 265,775 | 36,048 | ||||||
6.29%, 12/25/2039 | 508,864 | 566,529 | ||||||
0.00%, 01/25/2040 PO | 106,523 | 97,257 | ||||||
5.83%, 01/25/2040 IO | 355,332 | 56,981 | ||||||
6.21%, 02/25/2040 | 139,090 | 155,654 | ||||||
1.02%, 03/25/2040 | 256,351 | 259,568 | ||||||
6.24%, 03/25/2040 | 386,074 | 442,030 | ||||||
6.45%, 03/25/2040 | 412,023 | 460,094 | ||||||
11.82%, 03/25/2040 | 694,299 | 851,832 | ||||||
1.02%, 04/25/2040 | 224,476 | 226,137 | ||||||
6.00%, 04/25/2040 IO | 336,718 | 64,527 | ||||||
16.26%, 04/25/2040 | 310,000 | 401,011 | ||||||
1.02%, 05/25/2040 | 206,555 | 208,952 | ||||||
5.98%, 05/25/2040 IO | 213,826 | 40,188 | ||||||
0.00%, 06/25/2040 PO | 176,021 | 159,433 | ||||||
5.00%, 06/25/2040 | 1,768,647 | 1,933,924 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,094,091 | ||||||
5.50%, 07/25/2040 | 818,470 | 924,605 | ||||||
4.00%, 08/25/2040 | 3,000,000 | 3,104,298 | ||||||
5.00%, 09/25/2040 | 206,000 | 234,320 | ||||||
5.50%, 10/25/2040 | 2,012,000 | 2,323,393 | ||||||
4.02%, 11/25/2040 IO | 1,752,970 | 158,225 | ||||||
0.97%, 01/25/2041 | 474,398 | 476,301 | ||||||
6.11%, 01/25/2041 IO | 1,290,949 | 287,638 | ||||||
1.79%, 04/25/2041 IO | 2,852,874 | 202,738 | ||||||
0.92%, 07/25/2041 | 156,739 | 157,712 | ||||||
0.97%, 08/25/2041 | 473,913 | 480,126 | ||||||
0.92%, 11/25/2041 | 549,633 | 553,259 | ||||||
7.00%, 11/25/2041 | 3,503,195 | 4,111,203 | ||||||
7.00%, 11/25/2041 | 2,544,261 | 2,986,101 | ||||||
7.00%, 11/25/2041 | 3,071,220 | 3,602,689 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 1,002,050 | ||||||
6.50%, 06/25/2042 | 93,371 | 105,727 | ||||||
0.87%, 09/25/2042 | 775,139 | 783,990 | ||||||
0.92%, 09/25/2042 | 2,831,904 | 2,822,623 | ||||||
0.92%, 09/25/2042 | 381,942 | 381,712 | ||||||
0.92%, 10/25/2042 | 1,252,627 | 1,264,912 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 950,700 |
Table of Contents
3.50%, 02/25/2043 | 743,987 | 767,726 | ||||||
0.00%, 09/25/2043 PO | 2,218,423 | 1,735,904 | ||||||
0.00%, 10/25/2043 PO | 1,572,903 | 1,215,086 | ||||||
0.00%, 12/25/2043 PO | 4,294,835 | 3,295,376 | ||||||
5.68%, 11/25/2049 IO | 215,115 | 32,179 | ||||||
5.82%, 02/25/2051 | 270,992 | 295,836 | ||||||
5.47%, 07/25/2051 | 79,121 | 87,328 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 89,792 | 99,913 | ||||||
6.50%, 07/25/2042 | 150,672 | 171,988 | ||||||
Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 613,858 | 686,019 | ||||||
6.50%, 09/25/2042 | 257,867 | 292,533 | ||||||
Fannie Mae Trust 2003-W8 | ||||||||
0.82%, 05/25/2042 | 57,326 | 57,456 | ||||||
7.00%, 10/25/2042 | 308,594 | 354,905 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2033 | 421,240 | 488,843 | ||||||
5.04%, 11/25/2043 | 175,574 | 176,736 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
0.67%, 08/25/2044 | 302,083 | 300,522 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 104,143 | 120,300 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 109,452 | 127,346 | ||||||
Fannie Mae Trust 2005-W3 | ||||||||
0.64%, 03/25/2045 | 2,376,929 | 2,383,467 | ||||||
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2035 | 127,287 | 143,771 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
2.35%, 11/25/2035 | 314,703 | 321,027 | ||||||
0.64%, 02/25/2036 | 1,105,859 | 1,105,793 | ||||||
Fannie Mae Whole Loan | ||||||||
0.68%, 11/25/2046 | 2,811,390 | 2,817,521 | ||||||
Fannie Mae-Aces | ||||||||
0.54%, 01/25/2017 | 130,574 | 130,571 | ||||||
0.69%, 08/25/2019 | 645,361 | 648,530 | ||||||
1.80%, 12/25/2019 | 743,000 | 745,282 | ||||||
4.33%, 03/25/2020 | 806,526 | 865,312 | ||||||
3.66%, 11/25/2020 | 657,153 | 695,161 | ||||||
3.73%, 06/25/2021 | 5,158,000 | 5,496,487 | ||||||
3.76%, 06/25/2021 | 1,032,000 | 1,102,071 | ||||||
2.92%, 08/25/2021 | 706,000 | 720,640 | ||||||
2.61%, 10/25/2021 | 3,000,000 | 3,031,573 | ||||||
1.13%, 11/25/2022 | 4,500,000 | 4,496,341 | ||||||
2.28%, 12/27/2022 | 1,357,000 | 1,334,979 | ||||||
2.39%, 01/25/2023 | 1,342,000 | 1,315,523 | ||||||
3.51%, 12/25/2023 | 8,394,000 | 8,831,884 |
Table of Contents
3.48%, 01/25/2024 | 16,000,000 | 16,660,438 | ||||||
3.10%, 07/25/2024 | 1,066,000 | 1,083,080 | ||||||
3.02%, 08/25/2024 | 1,273,000 | 1,287,921 | ||||||
2.53%, 09/25/2024 | 1,390,000 | 1,347,318 | ||||||
2.72%, 10/25/2024 | 13,450,000 | 13,200,893 | ||||||
3.05%, 12/01/2024 | 2,918,235 | 2,996,331 | ||||||
2.59%, 12/25/2024 | 1,640,000 | 1,626,905 | ||||||
2.83%, 01/25/2025 | 3,500,000 | 3,527,841 | ||||||
2.90%, 01/25/2025 | 2,000,000 | 1,998,732 | ||||||
3.04%, 11/25/2025 | 8,800,000 | 8,739,184 | ||||||
3.09%, 04/25/2027 | 23,211,000 | 23,559,903 | ||||||
FDIC Guaranteed Notes Trust 2010-C1 | ||||||||
2.98%, 12/06/2020 (Acquired 10/28/2013, Cost $1,084,121) (2) | 1,067,314 | 1,084,533 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
5.09%, 03/25/2019 | 9,000,000 | 9,793,181 | ||||||
1.65%, 06/25/2020 | 59,946,038 | 3,212,778 | ||||||
2.60%, 09/25/2020 | 763,000 | 773,024 | ||||||
2.87%, 12/25/2021 | 5,500,000 | 5,646,535 | ||||||
1.45%, 05/25/2022 | 55,681,935 | 4,159,457 | ||||||
2.37%, 05/25/2022 | 15,905,000 | 15,779,878 | ||||||
0.94%, 09/25/2022 | 5,516,000 | 5,496,366 | ||||||
0.89%, 10/25/2022 | 23,348,055 | 1,108,454 | ||||||
2.52%, 01/25/2023 | 2,000,000 | 1,989,516 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,496,971 | ||||||
3.06%, 07/25/2023 | 8,150,000 | 8,311,759 | ||||||
3.53%, 07/25/2023 | 12,628,000 | 13,266,116 | ||||||
3.49%, 01/25/2024 | 5,000,000 | 5,220,502 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,440,013 | ||||||
3.24%, 09/25/2024 | 1,444,000 | 1,477,007 | ||||||
2.81%, 01/25/2025 | 10,205,000 | 10,047,879 | ||||||
2.77%, 05/25/2025 | 4,250,000 | 4,179,261 | ||||||
3.16%, 05/25/2025 | 5,600,000 | 5,644,853 | ||||||
3.28%, 06/25/2025 | 1,373,000 | 1,404,428 | ||||||
3.01%, 07/25/2025 | 1,532,000 | 1,527,043 | ||||||
3.33%, 08/25/2025 | 1,690,000 | 1,728,913 | ||||||
FHLMC Structured Pass Through Securities | ||||||||
6.04%, 07/25/2032 | 86,873 | 98,735 | ||||||
5.46%, 07/25/2033 | 253,802 | 286,986 | ||||||
1.48%, 10/25/2037 | 2,155,781 | 2,166,123 | ||||||
7.50%, 02/25/2042 | 363,965 | 428,152 | ||||||
7.50%, 08/25/2042 | 54,739 | 67,260 | ||||||
6.50%, 02/25/2043 | 338,550 | 395,522 | ||||||
7.00%, 02/25/2043 | 118,001 | 137,412 | ||||||
5.23%, 05/25/2043 | 818,544 | 894,170 | ||||||
0.00%, 07/25/2043 PO | 32,917 | 20,438 | ||||||
7.50%, 07/25/2043 | 85,691 | 103,381 | ||||||
0.00%, 09/25/2043 PO | 39,739 | 33,378 | ||||||
7.50%, 09/25/2043 | 466,589 | 549,139 |
Table of Contents
0.00%, 10/25/2043 PO | 42,885 | 34,487 | ||||||
7.00%, 10/25/2043 | 457,770 | 525,985 | ||||||
1.44%, 10/25/2044 | 948,755 | 964,837 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 22,496 | 24,633 | ||||||
6.25%, 11/25/2023 | 13,871 | 15,412 | ||||||
7.50%, 04/25/2024 | 101,590 | 113,721 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA7 | ||||||||
5.00%, 09/25/2020 | 17,909 | 18,214 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 181,173 | 154,862 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 53,071 | 53,379 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 02/25/2037(6) | 99,156 | 85,823 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
5.23%, 08/25/2037 IO | 1,431,910 | 293,689 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR2 | ||||||||
2.75%, 05/25/2034 | 79,049 | 78,412 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR7 | ||||||||
2.68%, 02/25/2035 | 479,599 | 479,059 | ||||||
First Horizon Mortgage Pass-Through Trust 2005-AR1 | ||||||||
2.61%, 04/25/2035 | 319,899 | 317,675 | ||||||
Freddie Mac Gold Pool | ||||||||
6.50%, 07/01/2016 | 710 | 713 | ||||||
6.50%, 08/01/2016 | 654 | 657 | ||||||
6.00%, 04/01/2017 | 104,987 | 107,167 | ||||||
6.00%, 04/01/2017 | 51,227 | 52,156 | ||||||
7.00%, 04/01/2017 | 72 | 72 | ||||||
6.50%, 05/01/2017 | 124 | 124 | ||||||
5.50%, 06/01/2017 | 1,749 | 1,788 | ||||||
5.00%, 10/01/2017 | 19,037 | 19,687 | ||||||
6.00%, 10/01/2017 | 65 | 65 | ||||||
6.50%, 11/01/2017 | 951 | 977 | ||||||
5.00%, 12/01/2017 | 71,387 | 73,826 | ||||||
5.00%, 12/01/2017 | 78,079 | 80,747 | ||||||
6.50%, 12/01/2017 | 1,917 | 1,972 | ||||||
5.50%, 01/01/2018 | 19,250 | 19,790 | ||||||
5.50%, 02/01/2018 | 19,798 | 20,452 | ||||||
5.50%, 04/01/2018 | 212,846 | 220,861 | ||||||
6.00%, 04/01/2018 | 4,827 | 4,973 | ||||||
6.50%, 04/01/2018 | 15,991 | 16,296 | ||||||
4.00%, 06/01/2018 | 3,019 | 3,142 | ||||||
4.50%, 08/01/2018 | 6,180 | 6,380 | ||||||
4.50%, 10/01/2018 | 36,458 | 37,643 | ||||||
4.50%, 10/01/2018 | 4,471 | 4,615 | ||||||
5.00%, 12/01/2018 | 10,872 | 11,244 | ||||||
5.50%, 01/01/2019 | 33,538 | 34,529 |
Table of Contents
6.50%, 09/01/2019 | 12,738 | 13,080 | ||||||
5.50%, 12/01/2019 | 37,377 | 39,037 | ||||||
6.00%, 02/01/2020 | 7,744 | 7,992 | ||||||
5.50%, 04/01/2020 | 38,865 | 40,635 | ||||||
5.50%, 06/01/2020 | 23,079 | 23,850 | ||||||
6.00%, 06/01/2020 | 21,967 | 23,150 | ||||||
8.00%, 07/01/2020 | 88 | 89 | ||||||
6.00%, 08/01/2020 | 11,506 | 12,064 | ||||||
6.00%, 07/01/2021 | 26,644 | 27,271 | ||||||
6.00%, 07/01/2021 | 54,917 | 57,392 | ||||||
6.00%, 01/01/2022 | 5,974 | 6,096 | ||||||
6.00%, 02/01/2022 | 8,732 | 8,918 | ||||||
6.00%, 03/01/2022 | 32,045 | 32,949 | ||||||
6.50%, 03/01/2022 | 8,489 | 9,013 | ||||||
6.00%, 12/01/2022 | 11,712 | 13,151 | ||||||
5.50%, 07/01/2023 | 0 | — | ||||||
5.50%, 02/01/2024 | 28,531 | 30,771 | ||||||
8.00%, 08/01/2024 | 1,083 | 1,252 | ||||||
8.00%, 11/01/2024 | 803 | 889 | ||||||
7.50%, 08/01/2025 | 1,868 | 2,203 | ||||||
3.50%, 11/01/2025 | 702,914 | 736,659 | ||||||
3.50%, 12/01/2025 | 2,084,925 | 2,189,027 | ||||||
10.00%, 03/17/2026 | 48,772 | 51,876 | ||||||
7.00%, 04/01/2026 | 2,197 | 2,534 | ||||||
3.50%, 08/01/2026 | 2,395,603 | 2,515,299 | ||||||
3.50%, 01/01/2027 | 400,334 | 420,439 | ||||||
6.50%, 01/01/2028 | 67,991 | 77,428 | ||||||
2.50%, 04/01/2028 | 4,188,323 | 4,257,610 | ||||||
3.00%, 07/01/2028 | 3,344,453 | 3,452,372 | ||||||
8.50%, 07/01/2028 | 5,749 | 7,024 | ||||||
3.00%, 08/01/2028 | 1,834,329 | 1,895,191 | ||||||
3.00%, 09/01/2028 | 7,296,483 | 7,531,504 | ||||||
3.00%, 10/01/2028 | 2,967,841 | 3,069,071 | ||||||
7.00%, 12/01/2028 | 86,693 | 99,865 | ||||||
3.00%, 01/15/2029(4) | 6,635,000 | 6,835,980 | ||||||
3.00%, 05/01/2029 | 2,551,168 | 2,638,086 | ||||||
6.50%, 06/01/2029 | 28,902 | 32,914 | ||||||
7.00%, 07/01/2029 | 1,125 | 1,244 | ||||||
6.50%, 08/01/2029 | 128,621 | 148,558 | ||||||
6.00%, 10/01/2029 | 30,821 | 35,184 | ||||||
2.50%, 03/01/2030 | 2,770,119 | 2,798,076 | ||||||
10.00%, 10/01/2030 | 278,688 | 307,772 | ||||||
7.00%, 01/01/2031 | 76,216 | 88,608 | ||||||
3.50%, 01/01/2032 | 1,076,320 | 1,125,149 | ||||||
7.50%, 01/01/2032 | 169,387 | 199,379 | ||||||
3.50%, 03/01/2032 | 434,296 | 454,024 | ||||||
7.00%, 07/01/2032 | 6,196 | 6,958 | ||||||
7.00%, 08/01/2032 | 9,199 | 10,714 |
Table of Contents
5.50%, 01/01/2033 | 266,596 | 295,715 | ||||||
3.50%, 02/01/2033 | 344,023 | 358,504 | ||||||
6.00%, 02/01/2033 | 113,710 | 123,167 | ||||||
3.50%, 05/01/2033 | 1,386,287 | 1,444,640 | ||||||
3.50%, 05/01/2033 | 402,872 | 419,831 | ||||||
5.50%, 10/01/2033 | 71,301 | 80,572 | ||||||
6.00%, 12/01/2033 | 15,336 | 17,243 | ||||||
5.00%, 01/01/2034 | 58,328 | 64,822 | ||||||
6.00%, 01/01/2034 | 66,817 | 73,056 | ||||||
6.00%, 01/01/2034 | 51,326 | 58,548 | ||||||
5.00%, 06/01/2034 | 301,576 | 331,676 | ||||||
5.00%, 09/01/2034 | 132,175 | 146,677 | ||||||
6.50%, 11/01/2034 | 17,182 | 20,458 | ||||||
6.50%, 01/01/2035 | 183,611 | 209,097 | ||||||
5.00%, 03/01/2035 | 92,511 | 102,088 | ||||||
5.50%, 07/01/2035 | 137,304 | 152,618 | ||||||
4.50%, 11/01/2035 | 21,140 | 22,841 | ||||||
6.50%, 12/01/2035 | 77,138 | 84,805 | ||||||
6.50%, 12/01/2035 | 117,570 | 138,346 | ||||||
5.50%, 01/01/2036 | 49,711 | 55,271 | ||||||
5.00%, 03/01/2036 | 6,376,986 | 7,000,052 | ||||||
5.00%, 07/01/2036 | 5,625 | 6,178 | ||||||
5.00%, 11/01/2036 | 168,585 | 185,358 | ||||||
6.00%, 11/01/2036 | 29,073 | 31,536 | ||||||
6.50%, 11/01/2036 | 42,908 | 50,622 | ||||||
6.50%, 11/01/2036 | 615,953 | 704,732 | ||||||
6.50%, 11/01/2036 | 262,962 | 294,147 | ||||||
5.50%, 12/01/2036 | 80,246 | 89,174 | ||||||
6.00%, 12/01/2036 | 39,217 | 44,362 | ||||||
6.00%, 12/01/2036 | 19,971 | 22,619 | ||||||
6.50%, 12/01/2036 | 576,301 | 647,873 | ||||||
6.50%, 12/01/2036 | 188,716 | 210,317 | ||||||
7.50%, 12/01/2036 | 623,574 | 736,520 | ||||||
6.50%, 01/01/2037 | 6,821 | 6,936 | ||||||
6.50%, 01/01/2037 | 41,357 | 45,761 | ||||||
6.50%, 02/01/2037 | 53,975 | 59,915 | ||||||
7.00%, 02/01/2037 | 16,069 | 18,475 | ||||||
5.00%, 03/01/2037 | 496,622 | 543,562 | ||||||
5.00%, 06/01/2037 | 533,806 | 583,327 | ||||||
6.50%, 06/01/2037 | 24,718 | 27,112 | ||||||
5.00%, 08/01/2037 | 511,757 | 559,621 | ||||||
6.50%, 11/01/2037 | 103,336 | 121,270 | ||||||
7.50%, 01/01/2038 | 78,687 | 99,465 | ||||||
7.50%, 01/01/2038 | 120,435 | 139,790 | ||||||
5.00%, 02/01/2038 | 557,665 | 608,918 | ||||||
5.00%, 03/01/2038 | 613,355 | 669,954 | ||||||
5.00%, 03/01/2038 | 589,772 | 643,874 | ||||||
5.00%, 03/01/2038 | 925,912 | 1,012,985 |
Table of Contents
5.00%, 03/01/2038 | 130,994 | 143,104 | ||||||
6.50%, 03/01/2038 | 105,030 | 120,749 | ||||||
5.00%, 04/01/2038 | 572,989 | 625,209 | ||||||
5.50%, 05/01/2038 | 159,464 | 177,338 | ||||||
5.50%, 08/01/2038 | 188,671 | 209,829 | ||||||
5.00%, 09/01/2038 | 448,108 | 489,141 | ||||||
5.00%, 09/01/2038 | 2,187 | 2,387 | ||||||
7.50%, 09/01/2038 | 54,446 | 66,176 | ||||||
5.00%, 11/01/2038 | 3,311 | 3,615 | ||||||
5.00%, 11/01/2038 | 192,917 | 210,437 | ||||||
5.00%, 12/01/2038 | 534,349 | 583,476 | ||||||
5.00%, 12/01/2038 | 1,919 | 2,093 | ||||||
5.00%, 02/01/2039 | 1,095,342 | 1,195,566 | ||||||
5.00%, 05/01/2039 | 14,744 | 16,482 | ||||||
4.50%, 07/01/2039 | 544,092 | 586,744 | ||||||
4.50%, 10/01/2039 | 3,654,321 | 3,941,173 | ||||||
5.00%, 10/01/2039 | 1,199,935 | 1,309,888 | ||||||
4.50%, 11/01/2039 | 6,090,596 | 6,568,691 | ||||||
4.50%, 11/01/2039 | 4,237,585 | 4,569,910 | ||||||
5.00%, 03/01/2040 | 5,884,917 | 6,456,461 | ||||||
5.50%, 03/01/2040 | 52,645 | 58,349 | ||||||
5.50%, 05/01/2040 | 4,477,559 | 4,979,942 | ||||||
4.50%, 07/01/2040 | 7,476,946 | 8,158,065 | ||||||
4.50%, 08/01/2040 | 960,154 | 1,035,535 | ||||||
4.50%, 08/01/2040 | 99,652 | 108,241 | ||||||
5.00%, 08/01/2040 | 765,249 | 839,878 | ||||||
5.00%, 08/01/2040 | 2,816,194 | 3,092,235 | ||||||
5.50%, 08/01/2040 | 1,919,635 | 2,135,223 | ||||||
4.00%, 09/01/2040 | 1,451,389 | 1,537,551 | ||||||
4.50%, 09/01/2040 | 2,926,517 | 3,158,674 | ||||||
4.50%, 09/01/2040 | 739,918 | 797,961 | ||||||
4.00%, 11/01/2040 | 4,594,233 | 4,867,638 | ||||||
4.00%, 11/01/2040 | 74,185 | 78,576 | ||||||
4.00%, 12/01/2040 | 2,577,288 | 2,730,516 | ||||||
4.00%, 12/01/2040 | 2,691,160 | 2,851,217 | ||||||
4.00%, 12/01/2040 | 2,047,486 | 2,171,883 | ||||||
4.00%, 12/01/2040 | 1,829,777 | 1,940,950 | ||||||
4.00%, 12/01/2040 | 786,959 | 834,759 | ||||||
4.50%, 12/01/2040 | 545,242 | 592,451 | ||||||
4.00%, 01/01/2041 | 1,798,046 | 1,905,057 | ||||||
4.00%, 01/15/2041(4) | 7,665,000 | 8,095,218 | ||||||
4.50%, 03/01/2041 | 555,627 | 599,298 | ||||||
4.50%, 05/01/2041 | 4,000,981 | 4,325,721 | ||||||
5.00%, 06/01/2041 | 811,512 | 891,057 | ||||||
4.00%, 11/01/2041 | 25,139 | 26,616 | ||||||
4.00%, 01/01/2042 | 438,091 | 463,747 | ||||||
3.50%, 01/15/2042(4) | 26,515,000 | 27,285,579 | ||||||
4.00%, 05/01/2042 | 31,148 | 32,963 |
Table of Contents
3.50%, 06/01/2042 | 823,376 | 848,359 | ||||||
3.50%, 06/01/2042 | 4,667,382 | 4,820,236 | ||||||
4.00%, 06/01/2042 | 3,917,879 | 4,172,255 | ||||||
3.50%, 07/01/2042 | 18,688,704 | 19,255,773 | ||||||
3.00%, 08/01/2042 | 3,160,068 | 3,161,086 | ||||||
3.50%, 08/01/2042 | 1,557,814 | 1,605,083 | ||||||
3.50%, 09/01/2042 | 6,225,974 | 6,414,896 | ||||||
3.00%, 10/01/2042 | 7,740,988 | 7,743,477 | ||||||
3.50%, 10/01/2042 | 5,074,948 | 5,228,942 | ||||||
4.00%, 10/01/2042 | 195,995 | 203,238 | ||||||
3.50%, 11/01/2042 | 206,569 | 213,349 | ||||||
4.00%, 01/01/2043 | 443,507 | 472,227 | ||||||
3.00%, 01/15/2043(4) | 10,610,000 | 10,588,693 | ||||||
3.00%, 02/01/2043 | 650,617 | 650,827 | ||||||
3.00%, 03/01/2043 | 4,148,852 | 4,149,919 | ||||||
3.00%, 03/01/2043 | 2,463,069 | 2,463,863 | ||||||
3.00%, 03/01/2043 | 8,417,850 | 8,420,555 | ||||||
3.00%, 03/01/2043 | 593,630 | 593,821 | ||||||
3.50%, 03/01/2043 | 1,440,215 | 1,483,907 | ||||||
3.00%, 04/01/2043 | 158,264 | 158,284 | ||||||
3.50%, 05/01/2043 | 470,019 | 485,477 | ||||||
3.00%, 06/01/2043 | 17,849,337 | 17,850,470 | ||||||
3.00%, 06/01/2043 | 65,301 | 65,284 | ||||||
3.50%, 06/01/2043 | 1,568,303 | 1,619,946 | ||||||
3.50%, 06/01/2043 | 2,922,475 | 3,010,570 | ||||||
4.00%, 06/01/2043 | 23,798 | 25,245 | ||||||
3.00%, 07/01/2043 | 2,513,229 | 2,513,389 | ||||||
3.00%, 07/01/2043 | 437,150 | 437,121 | ||||||
3.00%, 07/01/2043 | 580,673 | 580,672 | ||||||
3.00%, 07/01/2043 | 44,646 | 44,646 | ||||||
3.00%, 08/01/2043 | 865,919 | 865,750 | ||||||
3.00%, 08/01/2043 | 11,761,823 | 11,761,048 | ||||||
3.00%, 09/01/2043 | 726,152 | 725,917 | ||||||
4.00%, 09/01/2043 | 317,965 | 336,758 | ||||||
4.50%, 09/01/2043 | 4,416,908 | 4,821,140 | ||||||
3.50%, 10/01/2043 | 366,699 | 377,666 | ||||||
3.00%, 11/01/2043 | 86,141 | 86,124 | ||||||
4.00%, 11/01/2043 | 176,576 | 186,987 | ||||||
4.00%, 11/01/2043 | 435,759 | 460,649 | ||||||
4.00%, 12/01/2043 | 3,976,215 | 4,203,327 | ||||||
4.00%, 12/01/2043 | 492,735 | 520,879 | ||||||
4.00%, 12/01/2043 | 1,106,795 | 1,175,451 | ||||||
4.00%, 01/01/2044 | 192,921 | 203,876 | ||||||
4.00%, 01/01/2044 | 1,198,216 | 1,266,655 | ||||||
4.00%, 03/01/2044 | 6,760,964 | 7,148,565 | ||||||
3.50%, 05/01/2044 | 25,286,621 | 26,117,794 | ||||||
4.50%, 05/01/2044 | 3,974,677 | 4,290,818 | ||||||
3.50%, 07/01/2044 | 11,013,638 | 11,343,015 |
Table of Contents
4.50%, 07/01/2044 | 146,245 | 157,908 | ||||||
4.00%, 10/01/2044 | 6,275,630 | 6,655,953 | ||||||
3.50%, 03/01/2045 | 5,463,146 | 5,626,529 | ||||||
3.00%, 05/01/2045 | 1,890,743 | 1,889,885 | ||||||
3.00%, 05/01/2045 | 3,317,586 | 3,315,565 | ||||||
3.00%, 06/01/2045 | 988,974 | 987,795 | ||||||
4.00%, 08/01/2045 | 5,284,822 | 5,590,990 | ||||||
4.00%, 09/01/2045 | 5,532,015 | 5,852,298 | ||||||
3.50%, 12/01/2045 | 7,000,000 | 7,209,344 | ||||||
Freddie Mac Non Gold Pool | ||||||||
2.23%, 07/01/2019 | 2,199 | 2,226 | ||||||
2.38%, 07/01/2026 | 4,862 | 4,893 | ||||||
2.39%, 01/01/2027 | 10,490 | 11,010 | ||||||
2.46%, 04/01/2030 | 4,707 | 4,940 | ||||||
2.62%, 09/01/2032 | 9,139 | 9,759 | ||||||
2.50%, 05/01/2033 | 265,712 | 281,013 | ||||||
2.61%, 12/01/2033 | 47,102 | 49,746 | ||||||
2.39%, 04/01/2034 | 88,740 | 93,842 | ||||||
2.64%, 09/01/2034 | 204,145 | 216,522 | ||||||
2.38%, 01/01/2035 | 301,495 | 320,304 | ||||||
2.38%, 01/01/2035 | 90,317 | 96,035 | ||||||
2.32%, 08/01/2035 | 27,438 | 28,987 | ||||||
2.57%, 12/01/2035 | 139,991 | 148,914 | ||||||
2.46%, 02/01/2036 | 43,402 | 45,769 | ||||||
2.66%, 02/01/2036 | 205,501 | 218,628 | ||||||
2.67%, 03/01/2036 | 217,722 | 231,605 | ||||||
3.21%, 03/01/2036 | 258,110 | 272,135 | ||||||
2.50%, 05/01/2036 | 214,090 | 227,593 | ||||||
2.50%, 05/01/2036 | 137,026 | 144,903 | ||||||
2.94%, 05/01/2036 | 42,906 | 45,540 | ||||||
2.60%, 06/01/2036 | 593,481 | 629,856 | ||||||
2.65%, 06/01/2036 | 175,551 | 186,918 | ||||||
2.11%, 07/01/2036 | 90,453 | 95,625 | ||||||
2.50%, 07/01/2036 | 72,167 | 76,452 | ||||||
3.37%, 07/01/2036 | 84,143 | 87,396 | ||||||
2.01%, 08/01/2036 | 58,067 | 61,118 | ||||||
2.13%, 08/01/2036 | 118,813 | 125,063 | ||||||
2.17%, 08/01/2036 | 712,105 | 753,531 | ||||||
2.52%, 09/01/2036 | 249,198 | 263,539 | ||||||
2.54%, 09/01/2036 | 248,348 | 263,815 | ||||||
2.22%, 10/01/2036 | 401,118 | 420,732 | ||||||
2.26%, 10/01/2036 | 203,232 | 213,467 | ||||||
2.33%, 10/01/2036 | 119,815 | 126,580 | ||||||
2.35%, 10/01/2036 | 105,683 | 111,495 | ||||||
2.54%, 10/01/2036 | 48,775 | 50,586 | ||||||
2.61%, 10/01/2036 | 210,153 | 224,530 | ||||||
2.97%, 10/01/2036 | 161,791 | 171,871 | ||||||
2.46%, 11/01/2036 | 45,532 | 48,199 |
Table of Contents
2.49%, 11/01/2036 | 96,447 | 102,295 | ||||||
2.52%, 11/01/2036 | 185,938 | 197,526 | ||||||
2.52%, 11/01/2036 | 309,315 | 327,613 | ||||||
2.54%, 11/01/2036 | 86,101 | 91,315 | ||||||
2.42%, 12/01/2036 | 596,321 | 623,733 | ||||||
2.46%, 12/01/2036 | 569,692 | 602,374 | ||||||
2.51%, 12/01/2036 | 18,706 | 19,859 | ||||||
2.59%, 12/01/2036 | 214,084 | 228,336 | ||||||
3.08%, 12/01/2036 | 29,462 | 31,866 | ||||||
2.13%, 01/01/2037 | 24,223 | 25,404 | ||||||
2.50%, 01/01/2037 | 111,841 | 119,340 | ||||||
2.27%, 02/01/2037 | 19,470 | 20,695 | ||||||
2.48%, 02/01/2037 | 16,996 | 18,002 | ||||||
2.52%, 02/01/2037 | 330,178 | 350,775 | ||||||
2.57%, 02/01/2037 | 178,160 | 190,048 | ||||||
2.83%, 02/01/2037 | 43,570 | 46,738 | ||||||
2.37%, 03/01/2037 | 577,640 | 609,623 | ||||||
2.73%, 03/01/2037 | 85,327 | 89,999 | ||||||
2.98%, 03/01/2037 | 47,159 | 50,323 | ||||||
2.05%, 04/01/2037 | 69,639 | 72,977 | ||||||
2.49%, 04/01/2037 | 10,255 | 10,603 | ||||||
2.70%, 04/01/2037 | 146,500 | 155,649 | ||||||
2.06%, 05/01/2037 | 168,533 | 175,690 | ||||||
2.51%, 05/01/2037 | 77,626 | 82,819 | ||||||
2.51%, 05/01/2037 | 187,999 | 199,912 | ||||||
2.62%, 05/01/2037 | 51,798 | 55,238 | ||||||
2.65%, 05/01/2037 | 405,108 | 432,535 | ||||||
2.82%, 05/01/2037 | 238,975 | 254,807 | ||||||
2.37%, 06/01/2037 | 115,812 | 123,147 | ||||||
2.62%, 07/01/2037 | 106,209 | 113,195 | ||||||
2.55%, 11/01/2037 | 52,975 | 56,052 | ||||||
2.69%, 04/01/2038 | 220,936 | 236,399 | ||||||
2.51%, 05/01/2038 | 156,370 | 166,130 | ||||||
3.98%, 07/01/2040 | 178,724 | 187,072 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 715,380 | 812,070 | ||||||
6.00%, 05/15/2036 | 983,837 | 1,103,763 | ||||||
Freddie Mac REMICS | ||||||||
6.50%, 08/15/2016 | 3,840 | 3,916 | ||||||
6.00%, 09/15/2016 | 2,951 | 2,993 | ||||||
6.00%, 09/15/2016 | 11,905 | 12,109 | ||||||
6.00%, 09/15/2016 | 1,140 | 1,160 | ||||||
6.00%, 09/15/2016 | 5,951 | 6,060 | ||||||
6.00%, 09/15/2016 | 678 | 687 | ||||||
6.00%, 10/15/2016 | 3,185 | 3,237 | ||||||
5.50%, 12/15/2016 | 6,186 | 6,265 | ||||||
6.00%, 12/15/2016 | 3,016 | 3,046 | ||||||
6.00%, 03/15/2017 | 4,567 | 4,672 |
Table of Contents
5.50%, 06/15/2017 | 975 | 981 | ||||||
6.00%, 06/15/2017 | 8,377 | 8,526 | ||||||
15.99%, 08/15/2017 | 2,608 | 2,838 | ||||||
5.50%, 10/15/2017 | 7,966 | 8,206 | ||||||
5.00%, 12/15/2017 | 17,897 | 18,341 | ||||||
5.50%, 12/15/2017 | 35,246 | 36,382 | ||||||
5.00%, 01/15/2018 | 15,255 | 15,630 | ||||||
4.50%, 05/15/2018 | 19,149 | 19,724 | ||||||
6.50%, 05/15/2018 | 3,483 | 3,627 | ||||||
4.50%, 06/15/2018 | 159,767 | 164,862 | ||||||
5.77%, 06/15/2018 IO | 26,934 | 1,331 | ||||||
4.50%, 07/15/2018 | 156,350 | 161,347 | ||||||
0.00%, 10/15/2018 PO | 912 | 895 | ||||||
0.00%, 03/15/2019 PO | 70,817 | 69,349 | ||||||
6.50%, 03/15/2019 IO | 2,126 | 173 | ||||||
4.50%, 04/15/2019 | 1,274 | 1,305 | ||||||
0.00%, 07/15/2019 PO | 1,035 | 1,026 | ||||||
0.00%, 02/15/2020 PO | 320,415 | 305,992 | ||||||
5.00%, 02/15/2020 IO | 60,041 | 3,800 | ||||||
5.00%, 02/15/2020 IO | 95,464 | 6,873 | ||||||
6.50%, 03/15/2020 | 7,145 | 7,540 | ||||||
11.70%, 03/15/2020 | 25,656 | 28,256 | ||||||
9.50%, 04/15/2020 | 587 | 615 | ||||||
9.60%, 04/15/2020 | 1,097 | 1,176 | ||||||
10.00%, 06/15/2020 | 184 | 200 | ||||||
7.80%, 09/15/2020 | 225 | 234 | ||||||
9.00%, 10/15/2020 | 734 | 778 | ||||||
6.95%, 01/15/2021 | 2,523 | 2,686 | ||||||
8.60%, 01/15/2021 | 11 | 12 | ||||||
9.50%, 01/15/2021 | 704 | 769 | ||||||
1066.21%, 02/15/2021 IO | 1 | 8 | ||||||
9.00%, 04/15/2021 | 531 | 605 | ||||||
1.28%, 05/15/2021 | 502 | 509 | ||||||
5.00%, 05/15/2021 | 1,477 | 1,528 | ||||||
6.75%, 05/15/2021 | 1,484 | 1,569 | ||||||
7.00%, 05/15/2021 | 8,716 | 9,479 | ||||||
32.88%, 05/15/2021 | 217 | 352 | ||||||
43.74%, 05/15/2021 | 352 | 562 | ||||||
6.00%, 07/15/2021 | 1,433 | 1,528 | ||||||
5.50%, 08/15/2021 | 693 | 731 | ||||||
7.00%, 09/15/2021 | 3,687 | 3,957 | ||||||
8.50%, 09/15/2021 | 3,272 | 3,636 | ||||||
6.68%, 11/15/2021 | 201,079 | 210,859 | ||||||
1181.25%, 11/15/2021 IO | 2 | 14 | ||||||
0.00%, 12/15/2021 PO | 249,089 | 244,627 | ||||||
1159.02%, 01/15/2022 IO | 29 | 522 | ||||||
5.00%, 03/15/2022 | 568,000 | 604,541 | ||||||
7.00%, 03/15/2022 | 1,561 | 1,710 |
Table of Contents
6.00%, 05/15/2022 | 1,070 | 1,133 | ||||||
7.00%, 05/15/2022 | 2,136 | 2,354 | ||||||
7.50%, 08/15/2022 | 2,489 | 2,829 | ||||||
8.00%, 08/15/2022 | 6,239 | 7,043 | ||||||
1.48%, 09/15/2022 | 4,213 | 4,300 | ||||||
5.50%, 10/15/2022 | 124,021 | 133,807 | ||||||
4.51%, 12/15/2022 | 4,116 | 4,444 | ||||||
5.50%, 12/15/2022 | 41,202 | 44,426 | ||||||
1.65%, 02/15/2023 | 564 | 575 | ||||||
7.50%, 02/15/2023 | 38,480 | 42,534 | ||||||
5.50%, 03/15/2023 | 146,000 | 164,121 | ||||||
1.48%, 04/15/2023 | 22,641 | 23,224 | ||||||
5.50%, 04/15/2023 | 147,000 | 165,302 | ||||||
7.00%, 04/15/2023 | 33,500 | 36,532 | ||||||
7.50%, 04/15/2023 | 6,948 | 7,690 | ||||||
5.00%, 05/15/2023 | 36,368 | 38,988 | ||||||
7.00%, 05/15/2023 | 3,790 | 4,232 | ||||||
8.62%, 05/15/2023 | 16,105 | 18,994 | ||||||
0.00%, 06/15/2023 PO | 2,953 | 2,917 | ||||||
0.00%, 06/15/2023 PO | 4,056 | 4,006 | ||||||
5.60%, 06/15/2023 | 73,407 | 77,758 | ||||||
6.22%, 06/15/2023 IO | 27,312 | 1,442 | ||||||
1.53%, 07/15/2023 | 13,573 | 13,639 | ||||||
8.27%, 07/15/2023 | 13,366 | 15,358 | ||||||
24.92%, 07/15/2023 | 2,851 | 4,523 | ||||||
2.15%, 08/15/2023 | 872 | 902 | ||||||
6.50%, 09/15/2023 | 96,018 | 109,338 | ||||||
7.00%, 09/15/2023 | 29,811 | 32,914 | ||||||
33.07%, 09/15/2023 | 12,493 | 21,987 | ||||||
0.00%, 10/15/2023 PO | 54,636 | 53,700 | ||||||
6.25%, 10/15/2023 | 16,183 | 17,836 | ||||||
21.68%, 10/15/2023 | 5,255 | 8,308 | ||||||
5.00%, 11/15/2023 | 461,514 | 498,951 | ||||||
5.50%, 11/15/2023 | 112,445 | 121,653 | ||||||
6.00%, 11/15/2023 | 36,698 | 40,113 | ||||||
5.00%, 12/15/2023 | 46,213 | 49,586 | ||||||
6.50%, 12/15/2023 | 50,679 | 55,780 | ||||||
6.50%, 12/15/2023 | 22,765 | 24,971 | ||||||
7.00%, 01/15/2024 | 14,808 | 16,521 | ||||||
0.00%, 02/15/2024 PO | 16,734 | 15,980 | ||||||
0.00%, 02/15/2024 PO | 5,959 | 5,219 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,849 | ||||||
10.00%, 02/15/2024 | 2,165 | 3,183 | ||||||
18.49%, 02/15/2024 | 1,622 | 2,346 | ||||||
0.93%, 03/15/2024 | 2,503 | 2,538 | ||||||
1.41%, 03/15/2024 | 1,212 | 1,212 | ||||||
7.00%, 03/15/2024 | 66,745 | 74,482 | ||||||
7.00%, 03/15/2024 | 12,661 | 14,117 |
Table of Contents
28.52%, 03/15/2024 IO | 8,298 | 4,553 | ||||||
7.50%, 04/15/2024 | 48,728 | 54,759 | ||||||
0.00%, 05/15/2024 PO | 9,545 | 8,990 | ||||||
8.34%, 05/15/2024 IO | 22,853 | 2,707 | ||||||
0.63%, 06/15/2024 | 63,012 | 63,079 | ||||||
6.00%, 06/15/2024 | 44,113 | 49,565 | ||||||
7.50%, 08/15/2024 | 7,800 | 8,812 | ||||||
4.00%, 12/15/2024 | 206,000 | 223,137 | ||||||
5.00%, 12/15/2024 | 131,405 | 141,545 | ||||||
32.01%, 04/15/2025 | 36,080 | 58,316 | ||||||
4.50%, 06/15/2025 | 722,000 | 801,255 | ||||||
16.05%, 08/15/2025 | 22,644 | 29,339 | ||||||
26.57%, 10/15/2025 | 42,686 | 65,401 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,113,638 | ||||||
5.00%, 03/15/2026 | 307,943 | 334,020 | ||||||
6.50%, 03/15/2026 | 6,932 | 7,560 | ||||||
6.50%, 07/15/2026 | 45,278 | 51,559 | ||||||
7.50%, 09/15/2026 | 6,173 | 7,024 | ||||||
8.00%, 09/15/2026 | 16,718 | 19,143 | ||||||
6.50%, 01/15/2027 | 32,162 | 36,624 | ||||||
7.50%, 01/15/2027 | 40,376 | 45,738 | ||||||
7.50%, 01/15/2027 | 13,437 | 15,296 | ||||||
1.03%, 02/15/2027 | 1,053 | 1,073 | ||||||
6.00%, 05/15/2027 | 34,471 | 38,088 | ||||||
7.25%, 07/15/2027 | 1,909 | 2,161 | ||||||
7.50%, 09/15/2027 | 14,973 | 16,408 | ||||||
6.50%, 12/15/2027 | 21,599 | 23,934 | ||||||
7.00%, 03/15/2028 IO | 22,231 | 5,218 | ||||||
7.50%, 03/15/2028 | 70,947 | 80,547 | ||||||
7.50%, 05/15/2028 | 24,909 | 28,380 | ||||||
6.50%, 06/15/2028 | 36,414 | 41,556 | ||||||
7.00%, 06/15/2028 | 4,303 | 4,857 | ||||||
6.00%, 07/15/2028 | 13,572 | 14,888 | ||||||
6.25%, 08/15/2028 | 80,606 | 89,494 | ||||||
6.50%, 08/15/2028 | 75,296 | 83,227 | ||||||
6.00%, 09/15/2028 | 14,359 | 16,089 | ||||||
7.00%, 10/15/2028 IO | 29,075 | 3,413 | ||||||
6.00%, 11/15/2028 | 66,976 | 75,757 | ||||||
6.00%, 12/15/2028 | 123,467 | 136,757 | ||||||
0.93%, 01/15/2029 | 30,773 | 31,263 | ||||||
6.00%, 01/15/2029 | 174,458 | 197,666 | ||||||
6.00%, 02/15/2029 | 36,614 | 40,267 | ||||||
6.25%, 02/15/2029 | 186,399 | 209,394 | ||||||
29.49%, 03/15/2029 | 4,980 | 9,001 | ||||||
7.00%, 04/15/2029 IO | 2,791 | 349 | ||||||
7.00%, 06/15/2029 | 153,732 | 174,576 | ||||||
7.50%, 06/15/2029 IO | 11,691 | 1,542 | ||||||
7.00%, 07/15/2029 | 66,829 | 74,761 |
Table of Contents
7.00%, 08/15/2029 | 37,542 | 43,313 | ||||||
4.00%, 11/15/2029 IO | 394,316 | 29,081 | ||||||
7.50%, 11/15/2029 | 200 | 234 | ||||||
8.00%, 11/15/2029 | 33,990 | 38,865 | ||||||
7.00%, 01/15/2030 | 76,273 | 87,046 | ||||||
8.00%, 01/15/2030 | 65,672 | 75,252 | ||||||
8.00%, 01/15/2030 | 20,968 | 25,147 | ||||||
8.00%, 03/15/2030 | 12,821 | 15,218 | ||||||
5.00%, 04/15/2030 | 702,000 | 779,077 | ||||||
8.00%, 04/15/2030 | 19,417 | 22,379 | ||||||
7.50%, 05/15/2030 | 15,331 | 17,570 | ||||||
7.50%, 08/15/2030 | 13,306 | 15,270 | ||||||
7.25%, 09/15/2030 | 36,650 | 41,833 | ||||||
7.00%, 10/15/2030 | 50,205 | 57,115 | ||||||
7.50%, 10/15/2030 | 4,342 | 4,982 | ||||||
7.50%, 10/15/2030 | 910 | 1,040 | ||||||
7.25%, 12/15/2030 | 59,178 | 67,363 | ||||||
7.00%, 03/15/2031 | 26,641 | 30,850 | ||||||
6.50%, 05/15/2031 | 15,231 | 17,327 | ||||||
7.00%, 06/15/2031 | 28,950 | 33,675 | ||||||
8.50%, 06/15/2031 | 60,771 | 71,367 | ||||||
6.00%, 07/15/2031 | 11,520 | 11,184 | ||||||
7.00%, 07/15/2031 | 61,810 | 70,004 | ||||||
6.50%, 08/15/2031 | 29,010 | 33,123 | ||||||
6.50%, 08/15/2031 | 343,698 | 396,017 | ||||||
6.50%, 08/15/2031 | 31,483 | 35,852 | ||||||
6.50%, 08/15/2031 | 33,268 | 37,481 | ||||||
6.50%, 10/15/2031 | 30,472 | 34,631 | ||||||
6.50%, 01/15/2032 | 34,876 | 38,883 | ||||||
6.50%, 01/15/2032 | 57,662 | 63,982 | ||||||
1.23%, 02/15/2032 | 181,513 | 185,981 | ||||||
6.38%, 02/15/2032 | 40,419 | 43,087 | ||||||
6.50%, 02/15/2032 | 64,769 | 72,192 | ||||||
6.50%, 02/15/2032 | 68,010 | 76,616 | ||||||
7.67%, 02/15/2032 IO | 142,075 | 30,867 | ||||||
8.32%, 02/15/2032 IO | 28,277 | 8,736 | ||||||
15.44%, 02/15/2032 | 74,845 | 100,759 | ||||||
18.64%, 02/15/2032 | 76,051 | 119,554 | ||||||
6.50%, 03/15/2032 | 91,908 | 105,314 | ||||||
6.50%, 03/15/2032 | 80,887 | 91,849 | ||||||
7.00%, 03/15/2032 | 54,417 | 62,092 | ||||||
7.00%, 03/15/2032 | 68,165 | 77,904 | ||||||
7.62%, 03/15/2032 IO | 58,936 | 15,769 | ||||||
7.67%, 03/15/2032 IO | 38,448 | 10,362 | ||||||
6.50%, 04/15/2032 | 136,744 | 159,376 | ||||||
6.50%, 04/15/2032 | 21,869 | 25,209 | ||||||
6.50%, 04/15/2032 | 208,481 | 237,704 | ||||||
7.00%, 04/15/2032 | 45,257 | 50,466 |
Table of Contents
7.00%, 04/15/2032 | 124,600 | 144,355 | ||||||
5.50%, 05/15/2032 | 72,372 | 74,011 | ||||||
6.50%, 05/15/2032 | 74,950 | 85,379 | ||||||
7.00%, 05/15/2032 | 51,948 | 58,929 | ||||||
6.50%, 06/15/2032 | 46,519 | 52,865 | ||||||
6.50%, 06/15/2032 | 89,926 | 102,647 | ||||||
6.50%, 06/15/2032 | 62,420 | 71,079 | ||||||
6.50%, 07/15/2032 | 70,762 | 80,576 | ||||||
6.50%, 07/15/2032 | 96,107 | 109,809 | ||||||
0.00%, 09/15/2032 PO | 1,915,393 | 1,697,809 | ||||||
6.00%, 09/15/2032 | 116,425 | 132,365 | ||||||
0.00%, 12/15/2032 PO | 76,870 | 74,770 | ||||||
0.00%, 12/15/2032 PO | 10,411 | 10,272 | ||||||
0.00%, 12/15/2032 PO | 12,463 | 11,364 | ||||||
1.08%, 12/15/2032 | 100,761 | 102,874 | ||||||
6.00%, 12/15/2032 | 91,771 | 103,801 | ||||||
6.00%, 12/15/2032 | 173,333 | 193,428 | ||||||
17.81%, 12/15/2032 | 59,404 | 83,285 | ||||||
0.00%, 01/15/2033 PO | 79,364 | 78,678 | ||||||
6.00%, 01/15/2033 | 111,752 | 127,011 | ||||||
6.00%, 02/15/2033 | 92,603 | 104,916 | ||||||
6.00%, 02/15/2033 | 413,691 | 450,815 | ||||||
6.00%, 03/15/2033 | 72,659 | 78,976 | ||||||
6.50%, 03/15/2033 IO | 46,755 | 9,350 | ||||||
14.24%, 06/15/2033 | 156,657 | 211,387 | ||||||
5.00%, 07/15/2033 | 977,350 | 1,102,281 | ||||||
6.68%, 07/15/2033 | 462 | 505 | ||||||
12.63%, 07/15/2033 | 41,965 | 47,648 | ||||||
3.00%, 08/15/2033 | 495,000 | 497,044 | ||||||
14.15%, 09/15/2033 | 50,064 | 66,834 | ||||||
7.71%, 10/15/2033 | 1,084,000 | 1,221,875 | ||||||
15.77%, 11/15/2033 | 25,237 | 33,507 | ||||||
0.93%, 12/15/2033 | 364,489 | 368,616 | ||||||
5.50%, 12/15/2033 | 112,645 | 116,142 | ||||||
5.00%, 01/15/2034 | 608,175 | 668,406 | ||||||
5.50%, 02/15/2034 | 32,545 | 34,342 | ||||||
6.00%, 05/15/2034 | 367,330 | 398,385 | ||||||
23.28%, 06/15/2034 | 146,350 | 193,228 | ||||||
0.00%, 07/15/2034 PO | 261,856 | 239,648 | ||||||
2.55%, 07/15/2034 | 94,446 | 99,424 | ||||||
4.00%, 11/15/2034 IO | 691,074 | 31,091 | ||||||
0.00%, 01/15/2035 PO | 2,778 | 2,730 | ||||||
0.00%, 02/15/2035 PO | 70,159 | 64,060 | ||||||
26.71%, 02/15/2035 | 81,420 | 128,850 | ||||||
0.00%, 04/15/2035 PO | 127,624 | 122,195 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,225,227 | ||||||
0.73%, 05/15/2035 | 126,059 | 126,460 | ||||||
0.63%, 06/15/2035 | 131,799 | 131,498 |
Table of Contents
16.18%, 06/15/2035 | 19,359 | 22,868 | ||||||
0.00%, 08/15/2035 PO | 9,654 | 8,801 | ||||||
1.13%, 08/15/2035 | 135,643 | 138,469 | ||||||
6.00%, 08/15/2035 | 4,739 | 4,737 | ||||||
0.00%, 09/15/2035 PO | 65,030 | 59,870 | ||||||
6.00%, 09/15/2035 | 129,467 | 131,683 | ||||||
18.90%, 11/15/2035 | 77,995 | 102,884 | ||||||
0.00%, 01/15/2036 PO | 46,843 | 46,526 | ||||||
6.00%, 01/15/2036 | 294,550 | 335,559 | ||||||
23.35%, 01/15/2036 | 24,754 | 37,847 | ||||||
0.00%, 02/15/2036 PO | 259,758 | 240,207 | ||||||
0.00%, 02/15/2036 PO | 58,407 | 54,200 | ||||||
0.00%, 02/15/2036 PO | 86,454 | 79,666 | ||||||
0.00%, 02/15/2036 PO | 50,351 | 46,537 | ||||||
0.00%, 03/15/2036 PO | 16,242 | 15,062 | ||||||
0.00%, 03/15/2036 PO | 149,055 | 138,027 | ||||||
0.00%, 03/15/2036 PO | 160,184 | 148,208 | ||||||
6.00%, 03/15/2036 | 2,004 | 2,833 | ||||||
0.00%, 04/15/2036 PO | 86,623 | 79,936 | ||||||
0.00%, 04/15/2036 PO | 303,476 | 280,383 | ||||||
0.00%, 04/15/2036 PO | 165,203 | 151,292 | ||||||
0.00%, 04/15/2036 PO | 303,104 | 277,581 | ||||||
6.00%, 04/15/2036 | 184,484 | 210,571 | ||||||
6.00%, 04/15/2036 IO | 168,280 | 33,410 | ||||||
6.00%, 04/15/2036 | 1,552,412 | 1,748,935 | ||||||
0.00%, 05/15/2036 PO | 14,450 | 11,834 | ||||||
0.00%, 05/15/2036 PO | 69,588 | 64,431 | ||||||
0.00%, 05/15/2036 PO | 24,566 | 22,436 | ||||||
0.00%, 05/15/2036 PO | 114,753 | 102,494 | ||||||
0.78%, 05/15/2036 | 1,175,454 | 1,180,050 | ||||||
0.83%, 05/15/2036 | 729,814 | 733,850 | ||||||
0.00%, 06/15/2036 PO | 272,126 | 252,455 | ||||||
6.00%, 06/15/2036 | 37,644 | 42,234 | ||||||
6.00%, 06/15/2036 | 191,686 | 200,093 | ||||||
18.75%, 06/15/2036 | 60,100 | 86,961 | ||||||
0.00%, 07/15/2036 PO | 53,349 | 48,107 | ||||||
6.50%, 07/15/2036 | 189,217 | 213,734 | ||||||
6.50%, 07/15/2036 | 242,281 | 276,585 | ||||||
6.77%, 07/15/2036 IO | 27,577 | 4,517 | ||||||
0.00%, 08/15/2036 PO | 76,674 | 69,353 | ||||||
5.50%, 08/15/2036 | 138,184 | 148,870 | ||||||
5.50%, 08/15/2036 | 387,551 | 430,842 | ||||||
6.32%, 08/15/2036 IO | 1,135,419 | 202,055 | ||||||
0.00%, 09/15/2036 PO | 33,598 | 31,100 | ||||||
0.00%, 09/15/2036 PO | 49,423 | 45,951 | ||||||
0.00%, 10/15/2036 PO | 88,747 | 78,350 | ||||||
6.37%, 10/15/2036 IO | 104,786 | 17,298 | ||||||
7.50%, 11/15/2036 | 1,448,353 | 1,709,113 |
Table of Contents
0.00%, 12/15/2036 PO | 44,739 | 41,677 | ||||||
7.00%, 12/15/2036 | 3,515,085 | 4,100,897 | ||||||
7.50%, 12/15/2036 | 1,246,871 | 1,504,359 | ||||||
0.00%, 01/15/2037 PO | 42,401 | 39,167 | ||||||
5.81%, 01/15/2037 IO | 76,763 | 10,906 | ||||||
0.00%, 02/15/2037 PO | 21,930 | 19,469 | ||||||
0.00%, 02/15/2037 PO | 111,242 | 103,883 | ||||||
0.77%, 02/15/2037 | 107,163 | 107,733 | ||||||
6.00%, 02/15/2037 | 145,873 | 159,495 | ||||||
0.00%, 03/15/2037 PO | 44,876 | 40,282 | ||||||
6.12%, 03/15/2037 IO | 112,247 | 17,115 | ||||||
9.00%, 03/15/2037 | 30,311 | 36,555 | ||||||
0.00%, 04/15/2037 PO | 52,412 | 48,414 | ||||||
6.00%, 04/15/2037 | 134,314 | 151,650 | ||||||
0.00%, 05/15/2037 PO | 467,073 | 433,807 | ||||||
0.00%, 05/15/2037 PO | 95,623 | 88,470 | ||||||
0.00%, 05/15/2037 PO | 5,866 | 5,483 | ||||||
6.00%, 05/15/2037 | 334,675 | 358,694 | ||||||
0.00%, 06/15/2037 PO | 48,576 | 44,503 | ||||||
0.00%, 06/15/2037 PO | 28,024 | 25,798 | ||||||
0.00%, 07/15/2037 PO | 561,950 | 496,484 | ||||||
0.59%, 07/15/2037 | 2,446,960 | 2,444,802 | ||||||
4.50%, 07/15/2037 IO | 1,573,082 | 109,101 | ||||||
6.27%, 07/15/2037 IO | 112,339 | 18,379 | ||||||
4.00%, 08/15/2037 IO | 1,288,972 | 66,556 | ||||||
0.00%, 09/15/2037 PO | 62,738 | 58,130 | ||||||
0.93%, 09/15/2037 | 36,660 | 36,985 | ||||||
4.00%, 10/15/2037 IO | 816,471 | 49,077 | ||||||
4.00%, 10/15/2037 IO | 566,656 | 23,013 | ||||||
1.01%, 11/15/2037 | 1,517,765 | 1,543,866 | ||||||
6.09%, 11/15/2037 IO | 592,278 | 86,656 | ||||||
6.12%, 11/15/2037 IO | 346,339 | 48,154 | ||||||
5.67%, 01/15/2038 IO | 660,703 | 90,937 | ||||||
16.62%, 02/15/2038 | 26,583 | 35,230 | ||||||
5.50%, 03/15/2038 | 918,000 | 1,043,703 | ||||||
6.47%, 04/15/2038 IO | 235,178 | 37,833 | ||||||
5.50%, 05/15/2038 | 216,764 | 234,351 | ||||||
5.87%, 06/15/2038 IO | 261,801 | 36,093 | ||||||
6.00%, 06/15/2038 | 53,927 | 60,846 | ||||||
6.00%, 06/15/2038 | 775,422 | 862,480 | ||||||
5.52%, 08/15/2038 IO | 504,396 | 63,611 | ||||||
5.68%, 10/15/2038 | 218,978 | 243,303 | ||||||
5.50%, 01/15/2039 | 393,041 | 435,541 | ||||||
2.03%, 02/15/2039 | 178,671 | 183,669 | ||||||
5.67%, 02/15/2039 IO | 216,588 | 38,138 | ||||||
0.73%, 04/15/2039 | 902,795 | 909,910 | ||||||
0.78%, 05/15/2039 | 1,145,892 | 1,149,594 | ||||||
5.77%, 05/15/2039 IO | 179,472 | 22,555 |
Table of Contents
5.97%, 05/15/2039 IO | 263,560 | 36,324 | ||||||
1.53%, 07/15/2039 | 165,476 | 168,782 | ||||||
4.50%, 07/15/2039 | 1,367,733 | 1,468,353 | ||||||
0.78%, 08/15/2039 | 363,594 | 364,858 | ||||||
3.50%, 08/15/2039 | 987,023 | 1,033,108 | ||||||
0.00%, 10/15/2039 PO | 224,222 | 209,339 | ||||||
5.00%, 10/15/2039 IO | 745,709 | 76,878 | ||||||
5.92%, 12/15/2039 IO | 286,961 | 34,674 | ||||||
0.00%, 01/15/2040 PO | 228,271 | 212,255 | ||||||
1.87%, 01/15/2040 IO | 2,922,534 | 206,672 | ||||||
16.40%, 02/15/2040 | 475,000 | 656,226 | ||||||
0.83%, 10/15/2040 | 396,265 | 398,476 | ||||||
5.67%, 10/15/2040 IO | 1,281,246 | 213,003 | ||||||
5.67%, 10/15/2040 IO | 1,015,958 | 163,888 | ||||||
0.88%, 12/15/2040 | 3,018,256 | 3,046,031 | ||||||
0.88%, 03/15/2041 | 2,123,876 | 2,138,759 | ||||||
5.00%, 05/15/2041 | 1,067,153 | 1,262,794 | ||||||
5.50%, 05/15/2041 | 586,226 | 644,037 | ||||||
5.50%, 05/15/2041 | 1,527,000 | 1,685,084 | ||||||
0.73%, 10/15/2041 | 1,550,113 | 1,554,378 | ||||||
4.00%, 11/15/2041 | 1,439,370 | 1,516,619 | ||||||
4.00%, 12/15/2041 | 677,494 | 723,369 | ||||||
0.83%, 03/15/2042 | 1,405,138 | 1,422,855 | ||||||
0.83%, 07/15/2042 | 745,383 | 752,890 | ||||||
0.78%, 08/15/2042 | 3,628,853 | 3,678,989 | ||||||
0.73%, 09/15/2042 | 1,325,749 | 1,321,320 | ||||||
3.00%, 06/15/2043 | 206,000 | 199,598 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,144,504 | ||||||
1.75%, 02/15/2046 | 3,521,152 | 3,646,760 | ||||||
7.25%, 11/15/2046 | 1,575,926 | 1,827,039 | ||||||
3.50%, 06/15/2048 | 7,924,705 | 8,326,239 | ||||||
0.00%, 10/15/2049 PO | 975,598 | 892,177 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 IO | 113,375 | 5,959 | ||||||
4.50%, 12/15/2020 IO | 76,089 | 4,736 | ||||||
9.00%, 04/01/2022 IO | 189 | 35 | ||||||
0.00%, 04/01/2028 PO | 131,435 | 115,519 | ||||||
5.00%, 09/15/2035 IO | 242,654 | 45,083 | ||||||
5.00%, 09/15/2035 IO | 457,359 | 81,872 | ||||||
5.00%, 09/15/2035 IO | 289,873 | 51,127 | ||||||
7.37%, 08/15/2036 IO | 901,173 | 184,470 | ||||||
0.88%, 07/15/2042 | 4,284,300 | 4,344,407 | ||||||
3.50%, 07/15/2042 | 9,610,579 | 9,834,119 | ||||||
0.83%, 08/15/2042 | 2,803,868 | 2,808,099 | ||||||
0.88%, 08/15/2042 | 2,419,435 | 2,453,543 | ||||||
3.00%, 08/15/2042 | 3,445,150 | 3,439,374 | ||||||
3.00%, 01/15/2043 | 841,172 | 834,753 | ||||||
0.00%, 09/15/2043 PO | 1,422,647 | 1,092,839 |
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Ginnie Mae I pool | ||||||||
9.00%, 08/15/2016 | 11 | 11 | ||||||
9.00%, 12/15/2016 | 36 | 36 | ||||||
9.00%, 03/15/2017 | 21 | 21 | ||||||
6.50%, 06/15/2017 | 2,997 | 3,061 | ||||||
6.00%, 10/15/2017 | 1,013 | 1,015 | ||||||
8.50%, 11/15/2017 | 313 | 322 | ||||||
9.00%, 02/15/2020 | 80 | 80 | ||||||
9.50%, 09/15/2020 | 5 | 5 | ||||||
8.00%, 07/15/2022 | 81 | 81 | ||||||
8.00%, 09/15/2022 | 576 | 582 | ||||||
7.50%, 11/15/2022 | 778 | 826 | ||||||
7.50%, 03/15/2023 | 313 | 340 | ||||||
7.00%, 08/15/2023 | 718 | 776 | ||||||
7.00%, 09/15/2023 | 21,410 | 23,234 | ||||||
7.00%, 11/15/2023 | 1,474 | 1,681 | ||||||
6.50%, 01/15/2024 | 5,673 | 6,491 | ||||||
7.00%, 02/15/2024 | 10,243 | 11,040 | ||||||
9.50%, 10/15/2024 | 85,310 | 93,253 | ||||||
9.00%, 11/15/2024 | 1,770 | 1,979 | ||||||
9.50%, 12/15/2025 | 3,886 | 4,384 | ||||||
7.50%, 11/15/2026 | 1,316 | 1,367 | ||||||
7.50%, 07/15/2027 | 3,723 | 4,143 | ||||||
6.50%, 03/15/2028 | 8,958 | 10,248 | ||||||
7.50%, 07/15/2028 | 861 | 887 | ||||||
8.00%, 08/15/2028 | 1,839 | 1,860 | ||||||
6.50%, 09/15/2028 | 29,140 | 33,338 | ||||||
7.50%, 09/15/2028 | 6,236 | 6,981 | ||||||
6.50%, 10/15/2028 | 1,638 | 1,874 | ||||||
6.00%, 11/15/2028 | 13,371 | 15,121 | ||||||
7.00%, 09/15/2031 | 139,709 | 165,541 | ||||||
6.50%, 01/15/2032 | 121,379 | 141,153 | ||||||
6.50%, 07/15/2032 | 2,743 | 3,139 | ||||||
6.50%, 02/15/2033 | 17,425 | 19,935 | ||||||
7.00%, 02/15/2033 | 6,532 | 7,288 | ||||||
5.50%, 04/15/2033 | 393,773 | 447,946 | ||||||
6.50%, 04/15/2033 | 14,440 | 16,520 | ||||||
5.50%, 06/15/2033 | 7,463 | 8,432 | ||||||
7.00%, 06/15/2033 | 27,189 | 32,884 | ||||||
5.50%, 12/15/2033 | 23,651 | 26,923 | ||||||
5.50%, 07/15/2034 | 10,448 | 11,844 | ||||||
5.50%, 09/15/2034 | 26,301 | 29,705 | ||||||
7.00%, 06/15/2035 | 398,427 | 469,771 | ||||||
6.50%, 12/15/2035 | 131,683 | 152,801 | ||||||
7.00%, 04/15/2037 | 40,068 | 44,749 | ||||||
7.50%, 10/15/2037 | 84,559 | 107,484 | ||||||
4.00%, 06/15/2039 | 1,140,811 | 1,210,587 | ||||||
4.50%, 04/15/2040 | 6,391,802 | 6,899,446 |
Table of Contents
4.00%, 10/15/2040 | 545,764 | 579,011 | ||||||
3.50%, 03/15/2043 | 1,696,371 | 1,774,181 | ||||||
3.50%, 04/15/2043 | 7,469,924 | 7,799,742 | ||||||
3.00%, 05/15/2043 | 1,292,360 | 1,314,276 | ||||||
3.50%, 06/15/2043 | 2,644,810 | 2,754,956 | ||||||
3.50%, 07/15/2043 | 926,061 | 968,126 | ||||||
Ginnie Mae II pool | ||||||||
8.50%, 03/20/2025 | 517 | 580 | ||||||
8.50%, 04/20/2025 | 2,977 | 3,377 | ||||||
8.50%, 05/20/2025 | 7,115 | 8,092 | ||||||
8.00%, 12/20/2025 | 959 | 1,056 | ||||||
8.00%, 06/20/2026 | 2,255 | 2,614 | ||||||
8.00%, 08/20/2026 | 1,871 | 2,269 | ||||||
8.00%, 09/20/2026 | 2,092 | 2,536 | ||||||
8.00%, 11/20/2026 | 1,756 | 2,090 | ||||||
8.00%, 10/20/2027 | 4,679 | 5,683 | ||||||
8.00%, 11/20/2027 | 3,692 | 4,312 | ||||||
8.00%, 12/20/2027 | 1,963 | 2,261 | ||||||
7.50%, 02/20/2028 | 2,727 | 3,266 | ||||||
6.00%, 03/20/2028 | 11,900 | 13,678 | ||||||
8.00%, 06/20/2028 | 635 | 648 | ||||||
8.00%, 08/20/2028 | 173 | 182 | ||||||
7.50%, 09/20/2028 | 7,591 | 8,502 | ||||||
8.00%, 09/20/2028 | 546 | 565 | ||||||
6.50%, 07/20/2029 | 135,274 | 154,850 | ||||||
6.00%, 11/20/2033 | 9,209 | 10,471 | ||||||
5.00%, 10/20/2037 | 987,828 | 1,069,714 | ||||||
7.00%, 08/20/2038 | 61,189 | 73,412 | ||||||
6.00%, 09/20/2038 | 1,104,607 | 1,235,871 | ||||||
6.00%, 11/20/2038 | 12,191 | 12,968 | ||||||
6.00%, 08/20/2039 | 547,713 | 622,274 | ||||||
5.50%, 09/20/2039 | 292,516 | 324,152 | ||||||
4.50%, 06/20/2040 | 1,944,880 | 2,118,219 | ||||||
5.00%, 07/20/2040 | 496,675 | 548,720 | ||||||
4.00%, 10/20/2040 | 5,198,028 | 5,566,069 | ||||||
4.50%, 01/20/2041 | 1,440,478 | 1,568,867 | ||||||
4.50%, 03/20/2041 | 1,403,122 | 1,528,186 | ||||||
4.50%, 05/20/2041 | 715,316 | 779,076 | ||||||
4.50%, 06/20/2041 | 4,933,598 | 5,373,357 | ||||||
4.50%, 09/20/2041 | 1,520,063 | 1,655,556 | ||||||
4.00%, 01/15/2042 (4) | 3,750,000 | 3,981,332 | ||||||
4.50%, 01/15/2042 (4) | 8,000,000 | 8,593,551 | ||||||
4.00%, 06/20/2042 | 6,708,751 | 7,164,543 | ||||||
3.00%, 08/20/2042 | 8,981,639 | 9,135,493 | ||||||
3.50%, 10/20/2042 | 10,527,502 | 11,004,198 | ||||||
3.00%, 01/15/2043 (4) | 27,685,000 | 28,050,312 | ||||||
3.50%, 01/15/2043 (4) | 88,175,000 | 91,888,455 | ||||||
4.00%, 02/20/2043 | 2,919,796 | 3,117,743 |
Table of Contents
3.50%, 05/20/2043 | 2,456,323 | 2,566,797 | ||||||
3.00%, 09/20/2043 | 848,176 | 862,715 | ||||||
3.00%, 01/20/2044 | 1,641,300 | 1,669,418 | ||||||
3.00%, 04/20/2045 | 11,266,651 | 11,430,705 | ||||||
3.50%, 04/20/2045 | 10,916,093 | 11,392,528 | ||||||
4.00%, 05/20/2045 | 15,737,116 | 16,719,162 | ||||||
3.50%, 07/20/2045 | 21,266,790 | 22,194,984 | ||||||
3.00%, 08/20/2045 | 3,450,533 | 3,500,776 | ||||||
4.00%, 08/20/2045 | 13,477,237 | 14,316,964 | ||||||
4.50%, 08/20/2045 | 13,000,899 | 13,987,028 | ||||||
4.00%, 10/20/2045 | 13,399,059 | 14,246,500 | ||||||
4.46%, 05/20/2063 | 523,984 | 561,234 | ||||||
GMACM Mortgage Loan Trust 2003-AR1 | ||||||||
3.14%, 10/19/2033 | 495,847 | 490,568 | ||||||
GMACM Mortgage Loan Trust 2003-AR2 | ||||||||
3.10%, 12/19/2033 | 452,604 | 444,910 | ||||||
GMACM Mortgage Loan Trust 2003-J8 | ||||||||
5.25%, 12/25/2033 | 16,660 | 17,361 | ||||||
GMACM Mortgage Loan Trust 2004-J5 | ||||||||
6.50%, 01/25/2035 | 217,315 | 229,594 | ||||||
GMACM Mortgage Loan Trust 2004-J6 | ||||||||
5.00%, 01/25/2020 | 70,270 | 72,108 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
2.98%, 06/19/2035 | 348,278 | 342,658 | ||||||
Government National Mortgage Association | ||||||||
5.50%, 11/20/2020 | 377,160 | 397,301 | ||||||
5.00%, 04/16/2023 | 619,000 | 655,343 | ||||||
6.50%, 10/16/2024 | 220,232 | 248,599 | ||||||
6.00%, 02/20/2029 | 195,958 | 218,600 | ||||||
8.26%, 08/16/2029 IO | 18,173 | 4,558 | ||||||
7.50%, 11/20/2029 | 25,657 | 29,586 | ||||||
8.50%, 02/16/2030 | 233,609 | 274,363 | ||||||
38.28%, 02/16/2030 | 29,358 | 44,886 | ||||||
9.00%, 03/16/2030 | 212,068 | 257,019 | ||||||
7.16%, 04/16/2030 IO | 197,589 | 37,723 | ||||||
8.00%, 06/20/2030 | 21,141 | 25,086 | ||||||
9.00%, 10/20/2030 | 32,866 | 37,810 | ||||||
9.00%, 11/16/2030 IO | 1,824 | 272 | ||||||
9.00%, 11/20/2030 | 19,646 | 20,920 | ||||||
8.36%, 01/16/2031 IO | 12,370 | 3,281 | ||||||
8.21%, 03/16/2031 IO | 9,326 | 3,127 | ||||||
20.10%, 03/17/2031 | 103,285 | 169,678 | ||||||
7.71%, 08/16/2031 IO | 21,112 | 7,144 | ||||||
7.91%, 08/16/2031 IO | 23,718 | 7,912 | ||||||
7.05%, 01/16/2032 IO | 25,275 | 6,973 | ||||||
0.75%, 03/20/2032 | 101,762 | 102,234 | ||||||
7.61%, 04/16/2032 IO | 98,472 | 21,655 | ||||||
11.41%, 04/16/2032 | 8,679 | 10,636 |
Table of Contents
9.00%, 06/16/2032 | 3,095 | 3,953 | ||||||
6.50%, 06/20/2032 | 92,756 | 107,466 | ||||||
6.50%, 06/20/2032 | 362,852 | 416,032 | ||||||
6.50%, 07/16/2032 | 108,378 | 126,764 | ||||||
6.00%, 07/20/2032 | 38,328 | 42,953 | ||||||
6.50%, 07/20/2032 | 124,883 | 145,610 | ||||||
6.50%, 07/20/2032 | 183,896 | 210,509 | ||||||
7.34%, 08/20/2032 IO | 32,700 | 1,631 | ||||||
6.59%, 10/20/2032 IO | 223,467 | 5,461 | ||||||
14.07%, 11/17/2032 | 27,759 | 33,920 | ||||||
6.00%, 11/20/2032 | 146,000 | 169,923 | ||||||
0.00%, 12/20/2032 PO | 196,237 | 190,051 | ||||||
12.70%, 12/20/2032 | 555 | 558 | ||||||
5.50%, 01/16/2033 | 737,138 | 833,432 | ||||||
0.00%, 01/17/2033 PO | 3,199 | 3,191 | ||||||
6.50%, 01/20/2033 | 201,188 | 227,713 | ||||||
7.36%, 02/16/2033 IO | 97,083 | 16,760 | ||||||
0.00%, 02/17/2033 PO | 71,736 | 68,063 | ||||||
7.34%, 02/20/2033 IO | 42,293 | 11,390 | ||||||
0.00%, 03/16/2033 PO | 14,624 | 13,239 | ||||||
7.27%, 03/17/2033 | 26,142 | 28,266 | ||||||
6.50%, 03/20/2033 | 326,000 | 375,389 | ||||||
6.50%, 03/20/2033 | 109,242 | 123,549 | ||||||
5.50%, 04/20/2033 | 431,252 | 483,208 | ||||||
6.50%, 05/20/2033 | 116,000 | 133,786 | ||||||
0.00%, 06/16/2033 PO | 72,560 | 64,456 | ||||||
6.00%, 09/16/2033 | 253,426 | 285,559 | ||||||
0.00%, 10/20/2033 PO | 11,507 | 10,277 | ||||||
5.82%, 10/20/2033 | 272,759 | 307,998 | ||||||
6.21%, 11/16/2033 IO | 166,249 | 32,803 | ||||||
6.21%, 12/16/2033 IO | 140,142 | 30,200 | ||||||
5.50%, 03/16/2034 | 5,267,887 | 5,974,667 | ||||||
6.16%, 03/16/2034 IO | 123,487 | 6,426 | ||||||
18.72%, 04/16/2034 | 64,699 | 94,235 | ||||||
15.96%, 05/18/2034 | 32,504 | 38,262 | ||||||
0.00%, 06/20/2034 PO | 132,397 | 121,190 | ||||||
6.00%, 06/20/2034 | 482,622 | 545,291 | ||||||
14.14%, 08/17/2034 | 75,591 | 92,193 | ||||||
5.73%, 08/20/2034 | 139,809 | 156,889 | ||||||
6.21%, 09/16/2034 IO | 472,225 | 87,800 | ||||||
7.00%, 09/20/2034 | 62,923 | 74,640 | ||||||
27.49%, 09/20/2034 | 62,923 | 106,634 | ||||||
13.51%, 10/16/2034 | 18,722 | 22,595 | ||||||
23.12%, 10/16/2034 | 47,316 | 72,351 | ||||||
5.70%, 10/20/2034 IO | 774,210 | 120,402 | ||||||
11.40%, 10/20/2034 | 29,072 | 33,389 | ||||||
5.68%, 11/20/2034 IO | 390,205 | 62,409 | ||||||
6.35%, 01/20/2035 IO | 543,649 | 94,762 |
Table of Contents
15.60%, 06/17/2035 | 256,609 | 354,759 | ||||||
6.40%, 06/20/2035 | 288,964 | 323,556 | ||||||
5.50%, 07/20/2035 IO | 57,363 | 13,345 | ||||||
19.69%, 08/16/2035 | 26,424 | 38,745 | ||||||
0.00%, 08/20/2035 PO | 339,875 | 314,171 | ||||||
21.21%, 08/20/2035 | 3,093 | 4,053 | ||||||
5.50%, 09/20/2035 | 361,528 | 401,680 | ||||||
5.90%, 09/20/2035 IO | 1,152,109 | 212,680 | ||||||
0.00%, 10/20/2035 PO | 62,042 | 56,415 | ||||||
0.00%, 11/20/2035 PO | 99,994 | 93,591 | ||||||
6.00%, 12/20/2035 IO | 104,850 | 20,012 | ||||||
5.75%, 02/20/2036 | 91,851 | 98,550 | ||||||
0.00%, 03/20/2036 PO | 93,671 | 85,681 | ||||||
0.00%, 05/20/2036 PO | 128,470 | 117,130 | ||||||
6.10%, 06/20/2036 IO | 21,934 | 2,380 | ||||||
0.00%, 07/20/2036 PO | 19,241 | 17,449 | ||||||
6.30%, 07/20/2036 IO | 134,741 | 7,568 | ||||||
6.50%, 07/20/2036 | 531,557 | 619,175 | ||||||
6.50%, 08/20/2036 | 708,220 | 825,166 | ||||||
5.56%, 10/20/2036 | 257,843 | 287,653 | ||||||
6.30%, 10/20/2036 IO | 172,181 | 30,467 | ||||||
6.40%, 11/20/2036 IO | 296,642 | 56,163 | ||||||
5.95%, 02/20/2037 | 94,747 | 105,215 | ||||||
0.00%, 03/20/2037 PO | 388,490 | 364,041 | ||||||
5.80%, 03/20/2037 IO | 266,885 | 43,830 | ||||||
0.00%, 04/16/2037 PO | 170,898 | 156,345 | ||||||
6.47%, 04/16/2037 IO | 440,433 | 89,515 | ||||||
5.80%, 04/20/2037 IO | 173,433 | 28,165 | ||||||
6.13%, 04/20/2037 | 196,269 | 219,266 | ||||||
0.64%, 05/16/2037 | 101,242 | 101,553 | ||||||
0.00%, 05/20/2037 PO | 28,482 | 25,660 | ||||||
5.80%, 05/20/2037 IO | 313,373 | 55,869 | ||||||
5.80%, 05/20/2037 IO | 348,687 | 61,768 | ||||||
0.00%, 06/16/2037 PO | 60,340 | 55,064 | ||||||
0.00%, 06/16/2037 PO | 451,553 | 417,355 | ||||||
6.13%, 06/16/2037 IO | 258,743 | 49,415 | ||||||
5.85%, 06/20/2037 IO | 283,992 | 40,441 | ||||||
6.24%, 07/20/2037 IO | 382,174 | 73,964 | ||||||
6.28%, 07/20/2037 IO | 403,589 | 74,196 | ||||||
6.35%, 07/20/2037 IO | 264,503 | 47,387 | ||||||
6.37%, 08/20/2037 IO | 101,655 | 15,546 | ||||||
0.00%, 09/20/2037 PO | 71,617 | 67,958 | ||||||
6.15%, 09/20/2037 IO | 247,130 | 45,186 | ||||||
19.00%, 09/20/2037 | 71,533 | 99,760 | ||||||
5.50%, 10/16/2037 IO | 484,981 | 56,289 | ||||||
12.60%, 10/20/2037 | 45,101 | 59,248 | ||||||
0.00%, 11/16/2037 PO | 530,636 | 455,286 | ||||||
6.20%, 11/16/2037 IO | 264,349 | 43,521 |
Table of Contents
5.50%, 11/20/2037 | 18,913 | 19,703 | ||||||
5.60%, 11/20/2037 IO | 296,979 | 47,798 | ||||||
6.10%, 11/20/2037 IO | 577,001 | 103,598 | ||||||
6.11%, 11/20/2037 IO | 323,167 | 57,435 | ||||||
6.15%, 11/20/2037 IO | 265,775 | 48,233 | ||||||
18.74%, 11/20/2037 | 32,717 | 49,268 | ||||||
6.15%, 12/20/2037 IO | 427,736 | 76,738 | ||||||
0.00%, 01/20/2038 PO | 20,261 | 18,295 | ||||||
0.00%, 01/20/2038 PO | 45,892 | 45,249 | ||||||
5.48%, 01/20/2038 | 1,355,766 | 1,515,999 | ||||||
5.50%, 02/20/2038 IO | 72,476 | 12,674 | ||||||
5.60%, 02/20/2038 IO | 2,522,621 | 426,427 | ||||||
7.36%, 04/16/2038 IO | 148,230 | 36,528 | ||||||
5.90%, 04/20/2038 IO | 412,361 | 67,695 | ||||||
6.06%, 05/16/2038 IO | 1,216,582 | 218,739 | ||||||
5.80%, 06/20/2038 IO | 106,741 | 16,707 | ||||||
6.00%, 06/20/2038 | 213,956 | 242,933 | ||||||
1.22%, 07/20/2038 | 753,348 | 769,411 | ||||||
5.75%, 07/20/2038 | 446,193 | 478,448 | ||||||
5.75%, 07/20/2038 IO | 386,511 | 56,035 | ||||||
5.57%, 08/20/2038 | 565,318 | 642,152 | ||||||
5.60%, 08/20/2038 IO | 143,513 | 20,023 | ||||||
5.50%, 09/20/2038 IO | 446,375 | 64,924 | ||||||
5.80%, 09/20/2038 IO | 905,044 | 143,589 | ||||||
7.20%, 09/20/2038 IO | 195,377 | 39,252 | ||||||
6.10%, 11/20/2038 | 331,320 | 373,274 | ||||||
6.06%, 12/16/2038 IO | 179,316 | 13,457 | ||||||
5.30%, 12/20/2038 IO | 470,142 | 69,167 | ||||||
5.60%, 12/20/2038 IO | 263,861 | 40,055 | ||||||
5.85%, 12/20/2038 | 1,085,938 | 1,230,640 | ||||||
6.00%, 12/20/2038 IO | 138,215 | 17,898 | ||||||
6.90%, 12/20/2038 IO | 842,653 | 160,509 | ||||||
5.47%, 01/20/2039 | 1,740,590 | 1,919,409 | ||||||
5.76%, 02/16/2039 IO | 225,900 | 33,601 | ||||||
5.81%, 02/16/2039 IO | 326,013 | 43,356 | ||||||
5.55%, 02/20/2039 IO | 404,504 | 55,781 | ||||||
5.64%, 02/20/2039 IO | 234,628 | 31,117 | ||||||
5.90%, 03/20/2039 IO | 218,868 | 14,166 | ||||||
5.90%, 03/20/2039 IO | 431,047 | 52,074 | ||||||
6.50%, 03/20/2039 IO | 258,302 | 60,216 | ||||||
6.50%, 03/20/2039 IO | 120,443 | 28,094 | ||||||
5.87%, 04/20/2039 IO | 724,893 | 99,589 | ||||||
5.50%, 05/20/2039 IO | 89,233 | 16,381 | ||||||
6.00%, 05/20/2039 IO | 119,429 | 23,983 | ||||||
6.06%, 06/16/2039 IO | 906,986 | 80,950 | ||||||
5.55%, 06/20/2039 IO | 376,568 | 49,665 | ||||||
5.68%, 06/20/2039 IO | 551,391 | 77,273 | ||||||
5.76%, 07/16/2039 IO | 664,187 | 77,466 |
Table of Contents
5.91%, 08/16/2039 IO | 573,641 | 93,810 | ||||||
7.00%, 08/16/2039 | 262,093 | 294,222 | ||||||
5.50%, 09/20/2039 | 317,000 | 368,164 | ||||||
5.69%, 09/20/2039 IO | 891,272 | 138,799 | ||||||
6.06%, 11/16/2039 IO | 777,354 | 131,529 | ||||||
6.00%, 12/20/2039 | 517,297 | 540,565 | ||||||
5.22%, 06/20/2040 | 323,004 | 358,330 | ||||||
5.54%, 07/20/2040 | 463,072 | 520,468 | ||||||
7.00%, 10/16/2040 | 951,578 | 1,116,946 | ||||||
0.00%, 12/20/2040 PO | 1,357,631 | 1,239,105 | ||||||
6.20%, 05/20/2041 IO | 658,299 | 145,747 | ||||||
4.66%, 09/20/2041 | 682,767 | 733,166 | ||||||
4.69%, 10/20/2041 | 1,250,949 | 1,353,263 | ||||||
4.53%, 11/16/2041 | 663,049 | 716,457 | ||||||
3.00%, 12/20/2041 | 1,000,000 | 977,630 | ||||||
3.73%, 01/20/2042 | 698,192 | 726,687 | ||||||
3.98%, 09/16/2042 | 481,076 | 500,142 | ||||||
4.69%, 10/20/2042 | 2,649,101 | 2,849,554 | ||||||
4.70%, 11/20/2042 | 349,817 | 379,509 | ||||||
4.51%, 04/20/2043 | 379,824 | 404,115 | ||||||
0.64%, 11/20/2059 | 1,355,241 | 1,355,368 | ||||||
0.67%, 01/20/2060 | 821,354 | 821,603 | ||||||
0.64%, 03/20/2060 | 912,576 | 912,669 | ||||||
0.62%, 04/20/2060 | 2,362,360 | 2,357,899 | ||||||
5.23%, 07/20/2060 | 3,069,078 | 3,308,970 | ||||||
0.49%, 08/20/2060 | 527,412 | 526,732 | ||||||
0.66%, 01/20/2061 | 3,739,068 | 3,732,187 | ||||||
0.69%, 03/20/2061 | 3,021,505 | 3,010,569 | ||||||
0.84%, 05/20/2061 | 3,653,574 | 3,655,812 | ||||||
0.89%, 05/20/2061 | 3,582,471 | 3,588,342 | ||||||
0.66%, 08/20/2061 | 764,650 | 757,340 | ||||||
0.74%, 10/20/2061 | 1,799,940 | 1,799,416 | ||||||
0.74%, 12/20/2061 | 8,132,002 | 8,116,437 | ||||||
0.74%, 04/20/2062 | 652,790 | 652,513 | ||||||
0.89%, 04/20/2062 | 1,220,252 | 1,224,377 | ||||||
0.64%, 05/20/2062 | 1,007,803 | 1,007,787 | ||||||
2.00%, 06/20/2062 | 364,322 | 364,730 | ||||||
0.74%, 07/20/2062 | 2,647,037 | 2,646,333 | ||||||
0.77%, 09/20/2062 | 3,991,787 | 3,989,865 | ||||||
0.78%, 09/20/2062 | 1,144,440 | 1,144,838 | ||||||
0.69%, 10/20/2062 | 1,138,935 | 1,137,636 | ||||||
0.71%, 10/20/2062 | 3,339,875 | 3,347,936 | ||||||
0.79%, 10/20/2062 | 517,955 | 518,303 | ||||||
0.49%, 11/20/2062 | 189,751 | 189,355 | ||||||
0.53%, 12/20/2062 | 3,227,704 | 3,197,625 | ||||||
0.51%, 01/20/2063 | 1,422,355 | 1,406,690 | ||||||
0.69%, 01/20/2063 | 1,291,282 | 1,289,777 | ||||||
1.65%, 01/20/2063 | 3,297,718 | 3,260,548 |
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0.61%, 02/20/2063 | 339,029 | 336,125 | ||||||
0.64%, 02/20/2063 | 1,780,834 | 1,770,959 | ||||||
1.65%, 02/20/2063 | 4,448,969 | 4,399,724 | ||||||
0.60%, 03/20/2063 | 1,350,237 | 1,337,264 | ||||||
0.66%, 03/20/2063 | 416,755 | 417,335 | ||||||
1.75%, 03/20/2063 | 1,076,353 | 1,073,884 | ||||||
1.65%, 04/20/2063 | 1,347,480 | 1,330,810 | ||||||
0.66%, 06/20/2063 | 3,510,444 | 3,494,167 | ||||||
0.69%, 01/20/2064 | 4,573,090 | 4,554,831 | ||||||
0.84%, 01/20/2064 | 3,552,465 | 3,554,099 | ||||||
0.84%, 02/20/2064 | 7,231,379 | 7,234,652 | ||||||
0.88%, 02/20/2064 | 4,091,078 | 4,089,705 | ||||||
0.84%, 03/20/2064 | 4,091,293 | 4,092,678 | ||||||
0.79%, 04/20/2064 | 4,260,317 | 4,237,815 | ||||||
0.79%, 04/20/2064 | 4,529,211 | 4,521,202 | ||||||
0.79%, 05/20/2064 | 7,363,319 | 7,324,110 | ||||||
0.69%, 06/20/2064 | 3,073,439 | 3,039,688 | ||||||
0.66%, 07/20/2064 | 4,789,493 | 4,754,524 | ||||||
0.69%, 07/20/2064 | 2,452,329 | 2,425,643 | ||||||
0.69%, 07/20/2064 | 3,202,115 | 3,167,065 | ||||||
0.66%, 09/20/2064 | 4,720,869 | 4,651,344 | ||||||
0.79%, 10/20/2064 | 1,890,169 | 1,879,812 | ||||||
0.00%, 02/20/2065 | 3,087,929 | 3,070,509 | ||||||
0.67%, 02/20/2065 | 4,903,976 | 4,889,435 | ||||||
0.67%, 03/20/2065 | 9,754,674 | 9,720,009 | ||||||
0.67%, 04/20/2065 | 6,938,940 | 6,904,945 | ||||||
0.64%, 06/20/2065 | 2,419,425 | 2,401,759 | ||||||
0.63%, 07/20/2065 | 4,029,740 | 3,961,233 | ||||||
0.66%, 08/20/2065 | 781,266 | 769,811 | ||||||
1.00%, 11/20/2065 | 7,989,493 | 7,899,642 | ||||||
GS Mortgage Securities Corp II | ||||||||
2.71%, 12/10/2027 (Acquired 10/28/2013, Cost $1,307,241) (2) | 1,310,041 | 1,321,109 | ||||||
2.77%, 11/10/2045 | 13,211,562 | 12,996,915 | ||||||
GS Mortgage Securities Corp Trust 2012-ALOHA | ||||||||
3.55%, 04/10/2034 (Acquired 04/01/2014, Cost $4,222,214) (2) | 4,200,000 | 4,316,987 | ||||||
GS Mortgage Securities Corp Trust 2012-SHOP | ||||||||
1.30%, 06/05/2031 (Acquired 10/28/2013, Cost $397,214) (2) | 7,793,000 | 321,870 | ||||||
2.93%, 06/05/2031 (Acquired 02/12/2013, Cost $3,739,611) (2) | 3,624,000 | 3,671,903 | ||||||
GS Mortgage Securities Corp Trust 2013-NYC5 | ||||||||
2.32%, 01/10/2030 (Acquired 10/28/2013, Cost $507,979) (2) | 505,000 | 508,418 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.58%, 11/10/2039 (Acquired 10/28/2013, Cost $167,657) (2) | 11,648,995 | 27,202 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.31%, 08/10/2044 (Acquired 03/27/2014, Cost $510,366) (2) | 500,000 | 500,786 | ||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/10/2046 | 5,880,000 | 6,202,039 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.52%, 11/10/2046 | 25,437,867 | 1,652,513 |
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GS Mortgage Securities Trust 2013-GCJ14 | ||||||||
0.86%, 08/10/2046 | 29,625,335 | 1,206,693 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.07%, 01/10/2047 | 2,600,000 | 2,737,471 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/10/2047 | 8,000,000 | 7,974,718 | ||||||
GS Mortgage Securities Trust 2015-590M | ||||||||
3.62%, 10/10/2035 (Acquired 10/23/2015, Cost $1,329,038) (2) | 1,291,000 | 1,305,889 | ||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
3.14%, 02/10/2048 | 9,000,000 | 8,855,775 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
0.82%, 06/25/2034 (Acquired 10/28/2013, Cost $76,116) (2) | 84,009 | 70,783 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
0.77%, 03/25/2035 (Acquired 10/28/2013, Cost $137,395) (2) | 154,968 | 132,936 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
0.77%, 09/25/2035 (Acquired 10/28/2013, Cost $820,808) (2) | 941,283 | 774,342 | ||||||
4.59%, 09/25/2035 IO (Acquired 10/28/2013, Cost $99,191) (2) | 693,975 | 84,972 | ||||||
GSMS Trust 2009-RR1 | ||||||||
5.37%, 05/17/2045 (Acquired 10/28/2013, Cost $615,064) (2) | 568,000 | 572,723 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 52,324 | 54,580 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
0.82%, 09/25/2032 | 22,024 | 20,863 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 134,177 | 138,906 | ||||||
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 205,017 | 211,848 | ||||||
6.50%, 05/25/2034 | 132,350 | 141,379 | ||||||
GSR Mortgage Loan Trust 2005-5F | ||||||||
0.92%, 06/25/2035 | 62,122 | 59,051 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 309,137 | 322,307 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
2.74%, 09/25/2035 | 22,228 | 22,287 | ||||||
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 170,930 | 162,603 | ||||||
6.00%, 02/25/2036 | 631,945 | 562,381 | ||||||
GSR Mortgage Loan Trust 2007-1F | ||||||||
5.50%, 01/25/2037 | 533,777 | 524,135 | ||||||
HILT 2014-ORL Mortgage Trust | ||||||||
1.23%, 07/15/2029 (Acquired 09/02/2014 through 09/05/2014, Cost $1,600,423) (2) | 1,600,000 | 1,587,872 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.99%, 09/25/2034 | 15,669 | 15,757 | ||||||
Impac CMB Trust Series 2004-7 | ||||||||
1.16%, 11/25/2034 | 1,764,935 | 1,663,645 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
1.02%, 05/25/2035 | 202,608 | 198,762 |
Table of Contents
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 118,727 | 121,421 | ||||||
1.22%, 11/25/2034 | 5,489 | 5,426 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
0.77%, 05/25/2036 | 579,658 | 528,586 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
0.77%, 08/25/2036 | 632,830 | 618,407 | ||||||
Jefferies Resecuritization Trust 2011-R2 | ||||||||
4.50%, 10/26/2036 | 276,335 | 281,318 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
2.59%, 03/25/2036(6) | 57,944 | 48,459 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.05%, 08/12/2037 (Acquired 10/28/2013, Cost $86,058) (2) | 10,010,598 | 12,999 | ||||||
5.41%, 08/12/2037 | 78,766 | 78,617 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.07%, 12/15/2044 (Acquired 10/28/2013, Cost $108,483) (2) | 10,882,110 | 11,691 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.22%, 06/12/2043 | 31,596,314 | 27,716 | ||||||
5.81%, 06/12/2043 | 154,798 | 154,989 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 163,866 | 165,786 | ||||||
5.55%, 05/12/2045 | 1,068,307 | 1,081,092 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||
5.40%, 05/15/2045 | 145,209 | 146,043 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
0.49%, 05/15/2047 | 215,414 | 213,845 | ||||||
5.34%, 05/15/2047 | 413,000 | 412,134 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | ||||||||
5.72%, 02/15/2051 | 152,478 | 159,246 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19 | ||||||||
5.69%, 02/12/2049 | 1,534,550 | 1,600,820 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.08%, 02/15/2051 | 28,874,296 | 36,364 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | ||||||||
2.38%, 10/15/2045 | 7,800,000 | 7,722,426 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,040,181 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
2.71%, 07/25/2034 | 86,499 | 89,070 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
2.81%, 09/25/2034 | 107,830 | 110,356 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 44,553 | 45,962 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
2.72%, 02/25/2035 | 253,212 | 258,589 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
2.53%, 07/25/2035 | 293,426 | 289,788 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
2.68%, 11/25/2033 | 918,945 | 921,701 | ||||||
2.72%, 08/25/2034 | 1,651,357 | 1,656,740 |
Table of Contents
JP Morgan Mortgage Trust 2006-A3 | ||||||||
2.74%, 08/25/2034 | 205,646 | 206,488 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
2.92%, 01/25/2037 | 149,554 | 131,304 | ||||||
2.92%, 01/25/2037 | 262,339 | 230,325 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
2.73%, 07/25/2035 | 171,809 | 172,130 | ||||||
2.73%, 07/25/2035 | 2,620,800 | 2,660,426 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
2.67%, 04/25/2037 | 537,781 | �� | 471,633 | |||||
JP Morgan Resecuritization Trust Series 2009-6 | ||||||||
2.66%, 09/26/2036 (Acquired 10/28/2013, Cost $150,967) (2) | 149,861 | 150,785 | ||||||
JP Morgan Resecuritization Trust Series 2010-4 | ||||||||
1.99%, 08/26/2035 (Acquired 10/28/2013, Cost $37,097) (2) | 37,144 | 37,063 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
3.67%, 04/15/2047 | 2,010,000 | 2,061,864 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C24 | ||||||||
3.10%, 11/15/2047 | 13,000,000 | 12,928,664 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | ||||||||
3.41%, 11/15/2047 | 13,000,000 | 13,035,821 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
2.77%, 10/15/2048 | 3,200,000 | 3,226,038 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 | ||||||||
3.82%, 07/15/2048 | 1,260,000 | 1,290,702 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C32 | ||||||||
3.60%, 11/15/2048 | 1,157,000 | 1,163,568 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.58%, 05/25/2039 (Acquired 10/28/2013, Cost $183,521) (2) | 6,281,026 | 126,602 | ||||||
KGS-Alpha SBA COOF Trust 2014-2 | ||||||||
3.09%, 04/25/2040 (Acquired 10/21/2014, Cost $442,988) (2) | 2,746,633 | 375,945 | ||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036 (Acquired 10/28/2013, Cost $977,746) (2) | 1,027,000 | 1,051,030 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C4 | ||||||||
5.82%, 06/15/2038 | 125,497 | 126,596 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C7 | ||||||||
5.30%, 11/15/2038 | 758,769 | 765,267 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.46%, 02/15/2040 | 490,000 | 504,955 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.54%, 02/15/2040 | 13,033,783 | 80,300 | ||||||
5.39%, 02/15/2040 | 14,418,803 | 14,826,035 | ||||||
5.43%, 02/15/2040 | 620,550 | 636,844 | ||||||
Lehman Mortgage Trust 2006-2 | ||||||||
5.94%, 04/25/2036 | 100,320 | 89,603 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 93,747 | 85,138 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 532,325 | 417,280 |
Table of Contents
Luminent Mortgage Trust 2005-1 | ||||||||
0.68%, 11/25/2035 | 2,940,645 | 2,651,448 | ||||||
LVII Resecuritization Trust 2009-3 | ||||||||
5.09%, 11/27/2037 (Acquired 10/28/2013, Cost $224,505) (2) | 220,328 | 227,312 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
2.78%, 04/21/2034 | 433,990 | 436,081 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
3.40%, 12/25/2034 | 63,757 | 63,291 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
2.39%, 04/25/2034 | 104,368 | 97,772 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
6.00%, 08/25/2033 | 468,060 | 496,735 | ||||||
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 150,140 | 153,291 | ||||||
6.00%, 01/25/2034 | 29,532 | 29,886 | ||||||
MASTR Alternative Loan Trust 2004-1 | ||||||||
5.00%, 01/25/2019 | 37,705 | 38,155 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2019 | 23,973 | 24,295 | ||||||
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2020 | 552,307 | 571,634 | ||||||
MASTR Alternative Loan Trust 2004-2 | ||||||||
5.00%, 02/25/2019 | 2,088 | 2,132 | ||||||
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 303,739 | 321,363 | ||||||
6.25%, 04/25/2034 | 87,964 | 92,862 | ||||||
MASTR Alternative Loan Trust 2004-4 | ||||||||
5.00%, 04/25/2019 | 31,555 | 32,068 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 PO | 57,610 | 45,583 | ||||||
6.00%, 07/25/2034 | 34,977 | 35,576 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 PO | 47,451 | 36,724 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 79,037 | 81,167 | ||||||
MASTR Alternative Loan Trust 2005-1 | ||||||||
5.00%, 02/25/2035 | 1,775,604 | 1,790,538 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 98,939 | 95,910 | ||||||
MASTR Asset Securitization Trust | ||||||||
4.50%, 12/25/2018 | 7,597 | 7,719 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 PO | 11,991 | 10,768 | ||||||
5.00%, 12/25/2033 | 31,623 | 32,029 | ||||||
MASTR Asset Securitization Trust 2003-2 | ||||||||
4.50%, 03/25/2018 | 4,957 | 4,953 | ||||||
4.50%, 03/25/2018 | 15,736 | 15,723 | ||||||
5.00%, 03/25/2018 | 7,258 | 7,280 |
Table of Contents
MASTR Asset Securitization Trust 2003-8 | ||||||||
5.50%, 09/25/2033 | 8,358 | 8,563 | ||||||
MASTR Asset Securitization Trust 2003-9 | ||||||||
0.00%, 10/25/2018 PO | 12,487 | 11,916 | ||||||
5.50%, 10/25/2033 | 17,766 | 17,766 | ||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 9,639 | 8,294 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
4.50%, 04/25/2019 | 1,281 | 1,297 | ||||||
5.25%, 12/26/2033 | 208,515 | 216,769 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 7,631 | 7,622 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2019 PO | 4,232 | 3,980 | ||||||
4.75%, 08/25/2019 | 24,467 | 25,064 | ||||||
MASTR Asset Securitization Trust 2004-9 | ||||||||
5.25%, 09/25/2019 | 37,087 | 37,944 | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
0.77%, 05/25/2035 (Acquired 10/28/2013, Cost $1,115,378) (2) | 1,256,950 | 1,014,691 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.64%, 05/25/2036 (Acquired 10/28/2013, Cost $148,139) (2) | 156,721 | 146,199 | ||||||
MASTR Resecuritization Trust 2005-PO | ||||||||
0.00%, 05/28/2035 PO (Acquired 10/28/2013, Cost $119,516) (2) | 129,286 | 101,856 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
1.31%, 06/25/2037 | 351,534 | 341,413 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
2.44%, 08/25/2033 | 101,047 | 102,020 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
1.04%, 10/25/2028 | 208,719 | 199,468 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
1.06%, 10/25/2028 | 235,619 | 229,824 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
2.24%, 12/25/2034 | 203,935 | 204,688 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
0.88%, 04/25/2029 | 89,132 | 85,564 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
1.43%, 07/25/2029 | 178,228 | 169,879 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
2.56%, 08/25/2034 | 171,456 | 175,356 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
2.50%, 02/25/2035 | 342,680 | 335,555 | ||||||
Merrill Lynch Mortgage Trust 2006-C1 | ||||||||
5.87%, 05/12/2039 | 134,574 | 134,714 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 1,492 | 1,566 | ||||||
ML-CFC Commercial Mortgage Trust 2006-1 | ||||||||
5.52%, 02/12/2039 | 390,000 | 389,709 |
Table of Contents
ML-CFC Commercial Mortgage Trust 2006-3 | ||||||||
5.41%, 07/12/2046 | 1,870,752 | 1,895,059 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.61%, 12/12/2049 (Acquired 10/28/2013, Cost $406,033) (2) | 30,054,662 | 143,048 | ||||||
5.20%, 12/12/2049 | 2,000,000 | 2,052,492 | ||||||
ML-CFC Commercial Mortgage Trust 2007-9 | ||||||||
5.70%, 09/12/2049 | 621,177 | 646,132 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 9,144,055 | 9,103,677 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | ||||||||
3.96%, 08/15/2046 | 5,200,000 | 5,477,741 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
2.92%, 02/15/2047 | 10,000,000 | 10,188,155 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,553,254 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | ||||||||
3.45%, 07/15/2050 | 12,200,000 | 12,190,711 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.48%, 05/15/2048 | 5,000,000 | 5,018,209 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.45%, 12/15/2043 (Acquired 10/28/2013, Cost $239,115) (2) | 19,067,489 | 55,336 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.21%, 02/12/2044 (Acquired 10/28/2013, Cost $159,791) (2) | 33,833,209 | 63,146 | ||||||
5.42%, 02/12/2044 | 329,004 | 337,611 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.45%, 12/15/2044 (Acquired 10/28/2013, Cost $120,305) (2) | 8,356,003 | 58,626 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.40%, 03/15/2044 (Acquired 10/28/2013, Cost $332,030) (2) | 30,165,493 | 115,534 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
4.05%, 07/15/2049 | 630,000 | 660,269 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/15/2045 | 826,000 | 837,701 | ||||||
Morgan Stanley Capital I Trust 2014-CPT | ||||||||
3.35%, 07/13/2029 (Acquired 07/31/2015, Cost $1,551,063) (2) | 1,500,000 | 1,529,157 | ||||||
Morgan Stanley Capital I Trust 2015-UBS8 | ||||||||
3.81%, 12/15/2048 | 919,000 | 934,678 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.68%, 04/25/2034 | 396,131 | 417,271 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
5.01%, 10/25/2019 | 98,719 | 98,175 | ||||||
Morgan Stanley Reremic Trust | ||||||||
0.25%, 07/27/2049 (Acquired 10/28/2013, Cost $1,015,071) (2) | 1,182,000 | 1,072,192 | ||||||
2.00%, 07/27/2049 (Acquired 10/28/2013, Cost $2,006,936) (2) | 1,995,711 | 1,984,735 | ||||||
1.00%, 03/27/2051 (Acquired 10/28/2013, Cost $1,118,408) (2) | 1,128,739 | 1,114,630 | ||||||
MortgageIT Trust 2005-1 | ||||||||
1.06%, 02/25/2035 | 143,882 | 140,304 | ||||||
MortgageIT Trust 2005-2 | ||||||||
0.68%, 05/25/2035 | 2,249,291 | 2,147,490 | ||||||
MortgageIT Trust 2005-3 | ||||||||
0.72%, 08/25/2035 | 6,139,506 | 5,683,119 |
Table of Contents
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
0.81%, 06/15/2030 | 416,570 | 395,484 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
0.77%, 12/15/2030 | 93,884 | 89,535 | ||||||
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034 (Acquired 10/28/2013, Cost $88,486) (2) | 86,995 | 86,434 | ||||||
NCUA Guaranteed Notes Trust 2010-C1 | ||||||||
2.65%, 10/29/2020 | 3,030,456 | 3,036,002 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
0.83%, 12/08/2020 | 2,086,071 | 2,100,103 | ||||||
2.40%, 12/08/2020 | 373,290 | 375,107 | ||||||
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1 | ||||||||
5.00%, 04/25/2018 | 557 | 560 | ||||||
7.00%, 04/25/2033 | 11,012 | 11,409 | ||||||
5.50%, 05/25/2033 | 36,675 | 37,715 | ||||||
6.00%, 05/25/2033 | 23,371 | 24,086 | ||||||
Nomura Resecuritization Trust 2010-6R | ||||||||
2.65%, 03/26/2036 (Acquired 10/28/2013, Cost $95,458) (2) | 95,261 | 94,623 | ||||||
NorthStar 2013-1 | ||||||||
2.27%, 08/25/2029 (Acquired 10/28/2013, Cost $547,092) (2) | 547,092 | 546,272 | ||||||
5.42%, 08/25/2029 (Acquired 10/28/2013 through 11/13/2013, Cost $1,075,182) (2) | 1,071,000 | 1,070,357 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 660 | 713 | ||||||
PFP 2015-2 Ltd | ||||||||
1.77%, 07/14/2034 (Acquired 07/28/2015, Cost $1,208,000) (2) | 1,208,000 | 1,208,506 | ||||||
3.57%, 07/14/2034 (Acquired 07/28/2015, Cost $821,000) (2) | 821,000 | 821,345 | ||||||
4.32%, 07/14/2034 (Acquired 07/28/2015, Cost $730,000) (2) | 730,000 | 730,311 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 164,690 | 172,734 | ||||||
Provident Funding Mortgage Loan Trust 2005-1 | ||||||||
2.54%, 05/25/2035 | 75,954 | 76,684 | ||||||
RAIT 2014-FL2 Trust | ||||||||
2.48%, 05/13/2031 (Acquired 05/22/2014, Cost $1,463,033) (2) | 1,500,000 | 1,467,616 | ||||||
RAIT 2014-FL3 Trust | ||||||||
1.58%, 12/15/2031 (Acquired 10/23/2014, Cost $1,459,173) (2) | 1,459,173 | 1,455,499 | ||||||
2.13%, 12/15/2031 (Acquired 10/23/2014, Cost $1,489,835) (2) | 1,489,836 | 1,484,705 | ||||||
RAIT 2015-FL4 Trust | ||||||||
1.68%, 12/15/2031 (Acquired 05/19/2015, Cost $1,563,267) (2) | 1,563,267 | 1,546,314 | ||||||
2.08%, 12/15/2031 (Acquired 05/19/2015, Cost $966,832) (2) | 966,832 | 966,397 | ||||||
RAIT 2015-FL5 Trust | ||||||||
4.26%, 01/15/2031 | 1,485,000 | 1,485,000 | ||||||
RALI Series 2001-QS19 Trust | ||||||||
6.00%, 12/25/2016 | 11,322 | 11,345 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
15.74%, 10/25/2017 | 10,080 | 10,603 | ||||||
RALI Series 2002-QS8 Trust | ||||||||
6.25%, 06/25/2017 | 38,874 | 39,090 |
Table of Contents
RALI Series 2003-QR19 Trust | ||||||||
5.75%, 10/25/2033 | 226,932 | 238,825 | ||||||
RALI Series 2003-QR24 Trust | ||||||||
4.00%, 07/25/2033 | 91,695 | 91,805 | ||||||
RALI Series 2003-QS1 Trust | ||||||||
4.25%, 01/25/2033 | 495 | 494 | ||||||
RALI Series 2003-QS13 Trust | ||||||||
4.00%, 07/25/2033 | 1,016,321 | 967,730 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2018 | 100,148 | 101,284 | ||||||
RALI Series 2003-QS15 Trust | ||||||||
5.50%, 08/25/2033 | 1,015,244 | 1,030,008 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2018 | 31,176 | 31,612 | ||||||
RALI Series 2003-QS19 Trust | ||||||||
5.75%, 10/25/2033 | 601,006 | 632,438 | ||||||
RALI Series 2003-QS3 Trust | ||||||||
15.57%, 02/25/2018 | 23,888 | 25,218 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
7.13%, 05/25/2018 IO | 64,250 | 3,491 | ||||||
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 15,982 | 16,156 | ||||||
RALI Series 2004-QS7 Trust | ||||||||
5.50%, 05/25/2034 | 960,588 | 987,180 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
3.47%, 05/25/2035 | 277,807 | 236,061 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 30,850 | 25,855 | ||||||
RBS Commercial Funding Inc 2013-GSP Trust | ||||||||
3.83%, 01/13/2032 (Acquired 08/19/2015, Cost $1,505,824) (2) | 1,441,000 | 1,492,911 | ||||||
RBS Commercial Funding Inc 2013-SMV Trust | ||||||||
3.26%, 03/11/2031 (Acquired 10/28/2013, Cost $489,510) (2) | 512,000 | 514,121 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036 (Acquired 10/28/2013, Cost $477,995) (2) | 460,250 | 493,743 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
5.82%, 11/25/2033 (Acquired 10/28/2013, Cost $616,598) (2) | 600,386 | 628,277 | ||||||
RBSSP Resecuritization Trust 2009-2 | ||||||||
7.00%, 08/26/2037 (Acquired 10/28/2013, Cost $134,680) (2) | 130,602 | 137,126 | ||||||
RBSSP Resecuritization Trust 2009-9 | ||||||||
6.00%, 07/26/2037 (Acquired 10/28/2013, Cost $156,075) (2) | 154,872 | 156,734 | ||||||
RBSSP Resecuritization Trust 2010-9 | ||||||||
5.00%, 10/26/2034 (Acquired 10/28/2013, Cost $217,387) (2) | 209,644 | 214,745 | ||||||
4.00%, 05/26/2037 | 569,967 | 571,901 | ||||||
RBSSP Resecuritization Trust 2012-3 | ||||||||
0.37%, 09/26/2036 | 698,952 | 672,532 | ||||||
RCMC LLC | ||||||||
5.62%, 11/15/2044 (Acquired 10/28/2013, Cost $595,601) (2) | 595,268 | 601,786 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035 PO (Acquired 10/28/2013, Cost $12,845) (2) | 13,865 | �� | 11,742 |
Table of Contents
RALI Series 2003-QS7 Trust | ||||||||
4.75%, 04/25/2033 | 794,366 | 804,748 | ||||||
Residential Asset Securitization Trust 2003-A13 | ||||||||
5.50%, 01/25/2034 | 36,826 | 37,875 | ||||||
Residential Asset Securitization Trust 2003-A14 | ||||||||
4.75%, 02/25/2019 | 2,214 | 2,254 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2018 | 37,570 | 37,852 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 3,185,987 | 3,227,238 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.63%, 03/25/2035 IO | 1,250,154 | 167,198 | ||||||
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 126,105 | 111,645 | ||||||
Resource Capital Corp 2015-CRE4 Ltd | ||||||||
1.73%, 08/15/2032 (Acquired 08/05/2015, Cost $700,000) (2) | 700,000 | 693,035 | ||||||
3.33%, 08/15/2032 (Acquired 08/05/2015, Cost $1,151,000) (2) | 1,151,000 | 1,133,886 | ||||||
RFMSI Series 2003-S11 Trust | ||||||||
4.00%, 06/25/2018 | 674 | 669 | ||||||
RFMSI Series 2003-S14 Trust | ||||||||
0.00%, 07/25/2018 PO | 7,607 | 7,292 | ||||||
RFMSI Series 2003-S16 Trust | ||||||||
5.00%, 09/25/2018 | 20,295 | 20,444 | ||||||
RFMSI Series 2003-S20 Trust | ||||||||
4.75%, 12/25/2018 | 35,196 | 35,578 | ||||||
RFMSI Series 2004-S6 Trust | ||||||||
0.00%, 06/25/2034 PO | 22,353 | 19,141 | ||||||
RFMSI Series 2005-SA4 Trust | ||||||||
2.83%, 09/25/2035 | 112,069 | 93,163 | ||||||
RREF 2015-LT7 LLC | ||||||||
3.00%, 12/25/2032 (Acquired 06/15/2015, Cost $1,094,173) (2) | 1,094,971 | 1,094,284 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
1.02%, 11/20/2034 | 92,177 | 88,135 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
1.00%, 12/20/2034 | 299,898 | 290,936 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
1.12%, 01/20/2035 | 249,253 | 229,076 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
1.10%, 09/20/2034 | 1,651,713 | 1,572,036 | ||||||
1.27%, 09/20/2034 | 303,501 | 292,371 | ||||||
Springleaf Mortgage Loan Trust 2013-1 | ||||||||
1.27%, 06/25/2058 (Acquired 10/28/2013, Cost $911,854) (2) | 921,603 | 917,871 | ||||||
2.31%, 06/25/2058 (Acquired 10/28/2013, Cost $1,087,055) (2) | 1,121,000 | 1,122,537 | ||||||
3.14%, 06/25/2058 (Acquired 10/28/2013, Cost $796,243) (2) | 817,000 | 817,996 | ||||||
3.79%, 06/25/2058 (Acquired 10/28/2013, Cost $661,396) (2) | 688,000 | 689,733 | ||||||
Springleaf Mortgage Loan Trust 2013-2 | ||||||||
1.78%, 12/25/2065 (Acquired 10/28/2013, Cost $1,294,813) (2) | 1,300,724 | 1,299,629 | ||||||
3.52%, 12/25/2065 (Acquired 10/28/2013, Cost $877,396) (2) | 899,000 | 904,614 |
Table of Contents
Springleaf Mortgage Loan Trust 2013-3 | ||||||||
3.79%, 09/25/2057 (Acquired 10/28/2013, Cost $1,261,690) (2) | 1,262,000 | 1,274,468 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.45%, 06/25/2034 | 66,343 | 66,125 | ||||||
2.55%, 06/25/2034 | 923,539 | 921,312 | ||||||
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
1.06%, 10/19/2034 | 254,520 | 243,378 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
0.65%, 07/19/2035 | 896,048 | 855,844 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
0.82%, 07/25/2032 | 780,633 | 740,588 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Se 2003 29 | ||||||||
4.75%, 09/25/2018 | 55,793 | 56,554 | ||||||
Structured Asset Sec Corp Mort Pas Thr Certs Ser 2003 30 | ||||||||
5.50%, 10/25/2033 | 36,598 | 38,428 | ||||||
Structured Asset Sec Corp Mort Pass Th Certs Ser 2003-32 | ||||||||
5.25%, 11/25/2033 | 26,769 | 27,080 | ||||||
Structured Asset Securities Corp | ||||||||
2.71%, 12/25/2033 | 2,547,181 | 2,508,916 | ||||||
4.42%, 12/25/2033 | 322,610 | 323,614 | ||||||
5.55%, 02/25/2034 | 311,163 | 323,083 | ||||||
0.77%, 06/25/2035 (Acquired 10/28/2013, Cost $102,887) (2) | 119,898 | 96,856 | ||||||
Structured Asset Securities Corp Mort Pass Thru Ser 2004-5H | ||||||||
5.54%, 12/25/2033 | 742,382 | 762,510 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-33H | ||||||||
5.50%, 10/25/2033 | 345,655 | 352,563 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A | ||||||||
2.61%, 11/25/2033 | 99,204 | 97,763 | ||||||
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2004-22 | ||||||||
5.03%, 01/25/2035 | 5,383,662 | 5,539,908 | ||||||
Structured Asset Securities Corp Trust 2005-6 | ||||||||
5.00%, 05/25/2035 | 70,178 | 71,101 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
1.06%, 09/25/2043 | 1,277,948 | 1,233,969 | ||||||
Thornburg Mortgage Securities Trust 2003-5 | ||||||||
2.36%, 10/25/2043 | 7,323,608 | 7,372,475 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
2.21%, 12/25/2044 | 700,204 | 692,217 | ||||||
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
2.27%, 04/25/2045 | 2,062,219 | 2,060,198 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.18%, 05/10/2045 (Acquired 10/28/2013, Cost $227,646) (2) | 1,859,320 | 187,001 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/10/2030 (Acquired 10/28/2013, Cost $1,760,860) (2) | 1,787,000 | 1,800,248 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.71%, 05/10/2063 (Acquired 10/28/2013, Cost $616,916) (2) | 7,449,654 | 473,938 | ||||||
3.53%, 05/10/2063 | 1,073,000 | 1,097,883 |
Table of Contents
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/10/2046 | 271,000 | 271,626 | ||||||
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 566,219 | 634,941 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.57%, 02/15/2024 | 132,426 | 143,686 | ||||||
6.50%, 02/15/2024 | 426,374 | 477,523 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 197,433 | 225,831 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 90,825 | 103,132 | ||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 272,155 | 315,717 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 03/15/2028 | 182,648 | 215,761 | ||||||
VML 2014-NPL1 LLC | ||||||||
3.88%, 04/25/2054 (Acquired 11/26/2014, Cost $781,932) (2) | 781,932 | 777,738 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030 (Acquired 10/28/2013, Cost $2,206,647) (2) | 2,283,000 | 2,249,193 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029 (Acquired 12/5/2013, Cost $2,554,545) (2) | 2,500,000 | 2,594,630 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2004-C11 | ||||||||
5.17%, 01/15/2041 | 124,634 | 124,585 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21 | ||||||||
5.30%, 10/15/2044 | 1,371,422 | 1,369,909 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.10%, 03/15/2045 (Acquired 10/28/2013, Cost $259,760) (2) | 33,701,716 | 351 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | ||||||||
5.71%, 06/15/2049 | 5,691,664 | 5,891,383 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
2.53%, 10/25/2033 | 536,036 | 542,303 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
2.41%, 08/25/2033 | 179,810 | 180,548 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
2.52%, 09/25/2033 | 926,089 | 936,269 | ||||||
2.56%, 09/25/2033 | 173,800 | 171,947 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 166,033 | 171,630 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | ||||||||
5.00%, 10/25/2018 | 10,476 | 10,594 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | ||||||||
0.97%, 12/25/2018 | 26,796 | 26,112 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
16.30%, 06/25/2033 | 34,811 | 41,750 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | ||||||||
4.50%, 09/25/2018 | 52,166 | 52,559 | ||||||
4.50%, 09/25/2018 | 17,416 | 17,550 |
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WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 PO | 12,796 | 10,182 | ||||||
5.25%, 10/25/2033 | 629,680 | 645,985 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
2.46%, 06/25/2034 | 5,608,932 | 5,668,914 | ||||||
2.46%, 06/25/2034 | 316,057 | 319,437 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 57,963 | 59,128 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 68,091 | 69,194 | ||||||
5.50%, 08/25/2019 | 152,010 | 155,465 | ||||||
6.00%, 08/25/2034 | 1,229,084 | 1,311,716 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 22,627 | 23,306 | ||||||
6.00%, 10/25/2019 | 23,512 | 24,444 | ||||||
6.50%, 10/25/2034 | 4,914,894 | 5,357,816 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 37,685 | 38,717 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 103,453 | 105,503 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 566,314 | 593,094 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 137,212 | 143,275 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
2.45%, 09/25/2036 | 25,599 | 21,443 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
2.40%, 08/25/2046 | 123,417 | 105,632 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 PO | 19,979 | 14,367 | ||||||
5.50%, 03/25/2035 | 234,556 | 235,195 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.58%, 04/25/2035 IO | 345,210 | 42,089 | ||||||
4.63%, 04/25/2035 IO | 1,319,747 | 188,587 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 466,724 | 440,902 | ||||||
5.50%, 06/25/2035 IO | 449,349 | 91,745 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 93,330 | 88,991 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 39,613 | 35,979 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | ||||||||
0.92%, 03/25/2018 | 8,485 | 8,408 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 PO | 2,481 | 1,883 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 PO | 15,609 | 13,917 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 50,398 | 45,741 |
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Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.71%, 03/18/2028 (Acquired 10/28/2013, Cost $1,519,334) (2) | 1,548,000 | 1,553,457 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
2.99%, 02/15/2048 | 9,300,000 | 9,203,657 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 | ||||||||
3.37%, 06/15/2048 | 10,000,000 | 9,919,972 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/15/2058 | 729,000 | 738,596 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.50%, 07/15/2058 | 15,000,000 | 15,037,977 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS3 | ||||||||
3.62%, 09/15/2057 | 858,000 | 866,232 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 | ||||||||
3.81%, 12/15/2048 | 932,000 | 954,033 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 | ||||||||
3.79%, 12/15/2047 | 969,000 | 991,049 | ||||||
Wells Fargo Mortgage Backed Securities 2003-K Trust | ||||||||
2.62%, 11/25/2033 | 360,923 | 362,756 | ||||||
2.62%, 11/25/2033 | 13,846 | 14,078 | ||||||
Wells Fargo Mortgage Backed Securities 2003-L Trust | ||||||||
2.72%, 11/25/2033 | 51,992 | 52,015 | ||||||
Wells Fargo Mortgage Backed Securities 2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 76,010 | 78,119 | ||||||
Wells Fargo Mortgage Backed Securities 2004-B Trust | ||||||||
2.54%, 02/25/2034 | 114,666 | 114,362 | ||||||
Wells Fargo Mortgage Backed Securities 2004-EE Trust | ||||||||
2.71%, 12/25/2034 | 323,730 | 326,435 | ||||||
2.71%, 12/25/2034 | 105,669 | 106,552 | ||||||
2.74%, 12/25/2034 | 194,733 | 199,271 | ||||||
2.74%, 12/25/2034 | 4,725,488 | 4,827,886 | ||||||
Wells Fargo Mortgage Backed Securities 2004-I Trust | ||||||||
2.78%, 07/25/2034 | 475,592 | 483,276 | ||||||
Wells Fargo Mortgage Backed Securities 2004-P Trust | ||||||||
2.74%, 09/25/2034 | 1,303,650 | 1,307,861 | ||||||
Wells Fargo Mortgage Backed Securities 2004-V Trust | ||||||||
2.74%, 10/25/2034 | 201,191 | 202,832 | ||||||
2.74%, 10/25/2034 | 258,047 | 261,423 | ||||||
Wells Fargo Mortgage Backed Securities 2005-14 Trust | ||||||||
0.00%, 11/25/2035 PO | 27,910 | 23,727 | ||||||
5.50%, 11/25/2035 | 132,439 | 137,727 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR10 Trust | ||||||||
2.74%, 06/25/2035 | 7,962,757 | 8,098,034 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | ||||||||
2.75%, 03/25/2035 | 2,986,877 | 3,005,387 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | ||||||||
2.73%, 06/25/2035 | 262,681 | 263,816 | ||||||
Wells Fargo Mortgage Backed Securities 2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 346,942 | 343,560 |
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Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 61,164 | 61,293 | ||||||
Wells Fargo Mortgage Loan 2012-RR1 Trust | ||||||||
2.85%, 08/27/2037 (Acquired 10/28/2013, Cost $241,271) (2) | 240,431 | 236,825 | ||||||
Wells Fargo Resecuritization Trust 2012-IO | ||||||||
1.75%, 08/20/2021 (Acquired 10/28/2013, Cost $459,156) (2) | 459,958 | 459,958 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/15/2044 (Acquired 10/28/2013, Cost $1,121,137) (2) | 1,059,000 | 1,134,293 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
1.08%, 04/15/2045 | 47,307 | 47,261 | ||||||
3.44%, 04/15/2045 | 9,470,780 | 9,727,567 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||
4.18%, 03/15/2045 (Acquired 08/04/2014, Cost $286,568) (2) | 300,000 | 277,087 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
3.68%, 08/15/2047 | 7,000,000 | 7,160,513 | ||||||
WFRBS Commercial Mortgage Trust 2014-C23 | ||||||||
3.64%, 10/15/2057 | 3,500,000 | 3,604,324 | ||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.32%, 11/15/2047 | 5,000,000 | 5,062,055 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,338,571 | ||||||
|
| |||||||
Total Mortgage Backed Obligations (Cost $3,506,280,633) | $ | 3,532,960,885 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $9,699,643,656) | $ | 9,714,844,585 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENTS - 6.60% | ||||||||
Money Market Funds - 6.59% | ||||||||
Fidelity Institutional Money Market Government Portfolio – Class I, 0.12% (7) | 329,401,553 | $ | 329,401,553 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.11% (7) | 329,018,348 | 329,018,348 | ||||||
|
| |||||||
Total Money Market Funds | 658,419,901 | |||||||
Principal Amount | Value | |||||||
U.S. Treasury Bills - 0.01% | ||||||||
U.S. Treasury Bill, 0.00%, 6/26/2016 (5) | $ | 500,000 | 498,888 | |||||
|
| |||||||
Total U.S. Treasury Bills | 498,888 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $658,919,182) | $ | 658,918,789 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 103.89% | $ | 10,373,763,374 | ||||||
|
| |||||||
SECURITIES SOLD SHORT - (0.81%) | ||||||||
Mortgage-Backed Obligations | ||||||||
Fannie Mae, 4.00%, 1/15/2041 (8) | $ | (76,000,000 | ) | $ | (80,401,206 | ) | ||
|
| |||||||
Total Securities Sold Short | $ | (80,401,206 | ) | |||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.08)% | (307,974,100 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 9,985,388,068 | ||||||
|
|
(1) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $17,577,056, which represents 0.18% of total net assets. |
Table of Contents
(2) | Includes restricted securities as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities total $1,321,587,969, which represents 13.24% of total net assets. |
(3) | Includes inflation protected securities. The value of these securities totals $82,453,449, which represents 0.83% of total net assets. |
(4) | Includes delayed delivery purchase commitment securities. The value of these securities totals $407,538,571, which represents 4.08% of total net assets. |
(5) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $1,834,639, which represents 0.02% of total net assets. |
(6) | Includes securities in default. The value of these securities totals $5,025,871, which represents 0.05% of total net assets. |
(7) | Partially assigned as collateral for certain delayed delivery securities. |
(8) | Delayed delivery sale commitment security. |
Table of Contents
Open Futures Contracts
Number of Contracts Purchased (Sold) | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
2,006 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2016 | $ | 436,446,449 | $ | 435,772,157 | $ | (674,292 | ) | ||||||||
251 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2016 | 29,757,694 | 29,698,398 | (59,296 | ) | |||||||||||
(18) | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2016 | (2,131,711 | ) | (2,129,767 | ) | 1,944 | ||||||||||
63 | U.S. 10 Year Note Future | J.P. Morgan | Mar. 2016 | 7,930,318 | 7,932,093 | 1,775 | ||||||||||||
(179) | U.S. Long Bond Future | J.P. Morgan | Mar. 2016 | (27,815,091 | ) | (27,521,251 | ) | 293,840 | ||||||||||
44 | U.S. Ultra Bond Future | J.P. Morgan | Mar. 2016 | 6,954,089 | 6,982,249 | 28,160 | ||||||||||||
|
| |||||||||||||||||
$ | (407,869 | ) | ||||||||||||||||
|
|
Table of Contents
Bridge Builder Core Plus Bond Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Principal | ||||||||
Amount | Value | |||||||
BONDS & NOTES - 97.48% | ||||||||
Asset Backed Obligations - 7.54% | ||||||||
ABFC 2007-NC1 Trust | ||||||||
0.49%, 05/25/2037 (Acquired 09/03/2015, Cost $2,982,343) (1) | $ | 4,000,000 | $ | 2,966,835 | ||||
ACE Securities Corp Home Equity Loan Trust Series 2005-HE7 | ||||||||
0.85%, 11/25/2035 | 1,674,214 | 1,649,753 | ||||||
Air Canada 2015-2 Class B Pass Through Trust | ||||||||
5.00%, 12/15/2023 (Acquired 12/01/2015, Cost $2,455,000) (1) | 2,455,000 | 2,295,425 | ||||||
Ally Master Owner Trust | ||||||||
1.54%, 09/15/2019 | 1,450,000 | 1,441,235 | ||||||
1.63%, 05/15/2020 | 1,670,000 | 1,654,316 | ||||||
American Homes 4 Rent 2015-SFR2 Trust | ||||||||
5.04%, 10/17/2045 (Acquired 09/11/2015, Cost $222,994) (1) | 223,000 | 219,343 | ||||||
AmeriCredit Automobile Receivables 2015-1 | ||||||||
1.26%, 11/08/2019 | 1,645,000 | 1,636,862 | ||||||
AmeriCredit Automobile Receivables 2015-4 | ||||||||
3.72%, 12/08/2021 | 531,000 | 529,550 | ||||||
Americredit Automobile Receivables Trust 2014-4 | ||||||||
3.07%, 11/09/2020 | 5,600,000 | 5,574,375 | ||||||
AmeriCredit Automobile Receivables Trust 2015-3 | ||||||||
3.34%, 08/08/2021 | 1,865,000 | 1,845,646 | ||||||
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R8 | ||||||||
1.15%, 09/25/2034 | 3,731,820 | 3,718,870 | ||||||
Ameriquest Mortgage Securities Trust 2006-R2 | ||||||||
0.37%, 04/25/2036 | 2,942,568 | 2,887,880 | ||||||
AMPLIT Trust 2015-A | ||||||||
5.00%, 09/15/2021 (Acquired 11/13/2015, Cost $1,645,000) (1) | 1,645,000 | 1,636,775 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.97%, 02/20/2020 (Acquired 08/26/2015, Cost $1,023,621) (1) | 1,000,000 | 1,017,868 | ||||||
2.46%, 07/20/2020 (Acquired 07/15/2015 thruough 07/23/2015 , Cost $1,654,250) (1) | 1,645,000 | 1,650,467 | ||||||
BA Credit Card Trust | ||||||||
0.48%, 09/16/2019 | 3,500,000 | 3,496,039 | ||||||
Banc of America Funding 2015-R8 Trust | ||||||||
1.02%, 11/26/2046 (Acquired 09/28/2015, Cost $3,775,194) (1) | 4,022,434 | 3,761,634 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
2.20%, 12/15/2022 | 1,705,000 | 1,698,668 | ||||||
BMW Vehicle Owner Trust 2013-A | ||||||||
1.12%, 04/27/2020 | 2,370,000 | 2,361,571 | ||||||
Brazos Higher Education Authority Inc | ||||||||
0.72%, 12/26/2019 | 2,973,483 | 2,953,507 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
2.26%, 03/15/2023 | 850,000 | 843,742 | ||||||
Capital Auto Receivables Asset Trust 2014-1 | ||||||||
2.84%, 04/22/2019 | 1,185,000 | 1,194,878 | ||||||
Capital Auto Receivables Asset Trust 2014-2 | ||||||||
1.62%, 10/22/2018 | 553,000 | 552,111 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1.39%, 01/15/2021 | 2,385,000 | 2,371,789 | ||||||
CarMax Auto Owner Trust 2013-3 | ||||||||
1.49%, 01/15/2019 | 1,600,000 | 1,598,799 | ||||||
CarMax Auto Owner Trust 2014-3 | ||||||||
1.16%, 06/17/2019 | 1,100,000 | 1,095,869 | ||||||
Carnow Auto Receivables Trust 2015-1 | ||||||||
3.88%, 04/15/2020 (Acquired 09/11/2015, Cost $649,974) (1) | 650,000 | 646,889 | ||||||
Cedar Funding III CLO Ltd | ||||||||
1.86%, 05/20/2026 | 1,660,000 | 1,642,988 | ||||||
Chase Issuance Trust | ||||||||
0.41%, 05/15/2018 | 1,680,000 | 1,679,582 | ||||||
1.15%, 01/15/2019 | 3,000,000 | 2,997,588 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
0.40%, 05/09/2018 | 1,680,000 | 1,679,844 | ||||||
1.02%, 02/22/2019 | 5,335,000 | 5,322,038 | ||||||
CKE Restaurant Holdings Inc | ||||||||
4.47%, 03/20/2043 (Acquired 07/28/2015, Cost $2,180,372) (1) | 2,123,631 | 2,111,847 | ||||||
CLI Funding V LLC | ||||||||
3.38%, 10/18/2029 (Acquired 07/23/2015, Cost $1,154,409) (1) | 1,148,060 | 1,112,977 |
Table of Contents
CNH Equipment Trust 2013-A | ||||||||
1.01%, 02/18/2020 | 1,450,000 | 1,442,868 | ||||||
CNH Equipment Trust 2013-D | ||||||||
1.37%, 10/15/2020 | 800,000 | 795,446 | ||||||
CNH Equipment Trust 2015-A | ||||||||
1.85%, 04/15/2021 | 1,047,000 | 1,041,107 | ||||||
Colony American Finance 2015-1 Ltd | ||||||||
4.83%, 10/15/2047 (Acquired 10/22/2015, Cost $724,992) (1) | 725,000 | 720,070 | ||||||
Colony American Homes 2014-1 | ||||||||
2.40%, 05/17/2031 (Acquired 07/21/2015, Cost $1,490,096) (1) | 1,500,000 | 1,459,378 | ||||||
DB Master Finance LLC 2015-1 | ||||||||
3.26%, 02/20/2045 (Acquired 07/15/2015 through 07/29/2015, Cost $695,589) (1) | 694,750 | 687,451 | ||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | ||||||||
6.72%, 01/02/2023 | 592,620 | 671,142 | ||||||
Diamond Resorts Owner Trust 2013-1 | ||||||||
1.95%, 01/20/2025 (Acquired 08/26/2015, Cost $1,011,560) (1) | 1,016,599 | 1,005,808 | ||||||
Diamond Resorts Owner Trust 2014-1 | ||||||||
2.54%, 05/20/2027 (Acquired 07/15/2015, Cost $332,076) (1) | 331,759 | 329,107 | ||||||
Diamond Resorts Owner Trust 2015-1 | ||||||||
2.73%, 07/20/2027 (Acquired 07/23/2015, Cost $536,886) (1) | 536,934 | 531,286 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
5.22%, 01/25/2042 (Acquired 07/15/2015 through 07/29/2015, Cost $1,956,788) (1) | 1,893,041 | 1,947,501 | ||||||
3.48%, 10/25/2045 (Acquired 10/14/2015, Cost $1,711,000) (1) | 1,711,000 | 1,676,780 | ||||||
Drive Auto Receivables Trust 2015-B | ||||||||
2.76%, 07/15/2021 (Acquired 08/06/2015, Cost $841,829) (1) | 845,000 | 839,228 | ||||||
Drive Auto Receivables Trust 2015-C | ||||||||
3.01%, 05/17/2021 (Acquired 07/15/2015, Cost $824,891) (1) | 825,000 | 816,453 | ||||||
Dryden XXXI Senior Loan Fund | ||||||||
1.64%, 04/18/2026 (Acquired 07/21/2015, Cost $1,659,122) (1) | 1,665,000 | 1,644,354 | ||||||
Enterprise Fleet Financing LLC | ||||||||
2.09%, 02/22/2021 (Acquired 07/22/2015, Cost $719,935) (1) | 720,000 | 718,965 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
4.22%, 12/15/2021 (Acquired 08/18/2015, Cost $269,982) (1) | 270,000 | 269,854 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
3.34%, 04/15/2020 (Acquired 09/01/2015, Cost $99,793) (1) | 100,000 | 98,857 | ||||||
Flatiron CLO 2014-1 Ltd | ||||||||
1.67%, 07/17/2026 | 1,660,000 | 1,643,400 | ||||||
Ford Credit Auto Owner Trust 2014-A | ||||||||
1.90%, 09/15/2019 | 1,100,000 | 1,101,239 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 2,400,000 | 2,395,838 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
1.06%, 05/15/2019 | 445,000 | 443,933 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
1.92%, 01/15/2019 | 869,000 | 873,143 | ||||||
HOA Funding LLC | ||||||||
4.85%, 08/20/2044 (Acquired 07/15/2015 through 12/09/2015, Cost $636,150) (1) | 663,000 | 602,688 | ||||||
Honda Auto Receivables 2013-4 Owner Trust | ||||||||
0.69%, 09/18/2017 | 1,323,398 | 1,322,009 | ||||||
Honda Auto Receivables 2014-1 Owner Trust | ||||||||
0.67%, 11/21/2017 | 1,559,720 | 1,556,892 | ||||||
HSI Asset Securitization Corp Trust 2006-OPT1 | ||||||||
0.41%, 12/25/2035 | 3,047,739 | 2,995,412 | ||||||
Hyundai Auto Lease Securitization Trust 2015-B | ||||||||
1.66%, 07/15/2019 (Acquired 07/15/2015 through 07/29/2015, Cost $1,676,528) (1) | 1,675,000 | 1,663,895 | ||||||
Invitation Homes 2013-SFR1 Trust | ||||||||
2.40%, 12/17/2030 (Acquired 08/05/2015, Cost $894,255) (1) | 905,000 | 876,627 | ||||||
John Deere Owner Trust 2015-B | ||||||||
1.44%, 10/15/2019 | 315,000 | 313,521 | ||||||
Kubota Credit Owner Trust 2014-1 | ||||||||
1.16%, 05/15/2018 (Acquired 07/15/2015, Cost $484,457) (1) | 485,000 | 483,392 | ||||||
Kubota Credit Owner Trust 2015-1 | ||||||||
1.79%, 08/16/2021 (Acquired 11/12/2015, Cost $495,540) (1) | 500,000 | 494,328 | ||||||
Mercedes Benz Auto Lease Trust 2015-A | ||||||||
1.21%, 10/15/2020 | 1,500,000 | 1,496,017 | ||||||
MVW Owner Trust 2015-1 | ||||||||
2.52%, 12/20/2032 (Acquired 08/04/2015, Cost $1,973,913) (1) | 1,974,055 | 1,946,625 | ||||||
Nelnet Student Loan Trust 2008-3 | ||||||||
1.98%, 11/25/2024 | 495,000 | 498,177 | ||||||
New Century Home Equity Loan Trust 2005-3 | ||||||||
0.68%, 07/25/2035 | 1,875,000 | 1,815,441 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 2,370,000 | 2,362,678 |
Table of Contents
Nissan Auto Receivables 2015-A Owner Trust | ||||||||
0.67%, 09/15/2017 | 1,581,489 | 1,579,796 | ||||||
NovaStar Mortgage Funding Trust Series 2005-2 | ||||||||
1.07%, 10/25/2035 | 3,302,022 | 3,281,919 | ||||||
Oak Hill Advisors Residential Loan Trust 2015-NPL2 | ||||||||
3.72%, 07/25/2055 (Acquired 08/04/2015, Cost $394,586) (1) | 394,587 | 390,732 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 07/23/2015, Cost $1,400,942) (1) | 1,400,000 | 1,383,593 | ||||||
OneMain Financial Issuance Trust 2015-3 | ||||||||
4.16%, 11/20/2028 (Acquired 09/24/2015, Cost $709,852) (1) | 710,000 | 708,438 | ||||||
Option One Mortgage Loan Trust 2005-2 | ||||||||
0.85%, 05/25/2035 | 1,448,010 | 1,390,760 | ||||||
Option One Mortgage Loan Trust 2005-3 | ||||||||
0.66%, 08/25/2035 | 2,478,734 | 2,457,971 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
4.67%, 11/12/2032 (Acquired 10/23/2015, Cost $504,981) (1) | 505,000 | 502,209 | ||||||
RAMP Series 2005-RS5 Trust | ||||||||
0.63%, 05/25/2035 | 3,008,174 | 2,975,556 | ||||||
RCO Depositor II LLC | ||||||||
4.50%, 09/25/2054 (Acquired 12/04/2015, Cost $812,927) (1) | 816,323 | 812,630 | ||||||
Santander Drive Auto Receivables Trust 2015-4 | ||||||||
3.53%, 08/16/2021 | 937,000 | 928,628 | ||||||
Shenton Aircraft Investment I Ltd | ||||||||
4.75%, 10/15/2042 (Acquired 10/09/2015, Cost $808,759) (1) | 816,440 | 808,275 | ||||||
Sierra Timeshare 2015-2 Receivables Funding LLC | ||||||||
2.43%, 06/20/2032 (Acquired 07/15/2015 through 07/29/2015, Cost $1,257,729) (1) | 1,263,090 | 1,241,102 | ||||||
SLM Student Loan Trust 2004-10 | ||||||||
0.87%, 04/27/2026 (Acquired 12/04/2015, Cost $3,112,396) (1) | 3,180,000 | 3,113,050 | ||||||
SLM Student Loan Trust 2007-8 | ||||||||
1.32%, 04/27/2043 | 2,305,696 | 1,965,394 | ||||||
SLM Student Loan Trust 2008-4 | ||||||||
1.97%, 07/25/2022 | 100,000 | 100,615 | ||||||
SLM Student Loan Trust 2008-5 | ||||||||
2.02%, 07/25/2023 | 4,485,000 | 4,511,474 | ||||||
SLM Student Loan Trust 2008-9 | ||||||||
1.82%, 04/25/2023 | 503,462 | 503,805 | ||||||
SLM Student Loan Trust 2012-3 | ||||||||
0.84%, 12/26/2025 | 1,926,887 | 1,861,478 | ||||||
SLM Student Loan Trust 2012-7 | ||||||||
2.22%, 09/25/2043 | 2,220,000 | 1,971,919 | ||||||
SLM Student Loan Trust 2013-2 | ||||||||
0.64%, 09/25/2026 | 3,703,282 | 3,598,622 | ||||||
SMB Private Education Loan Trust 2015-B | ||||||||
2.98%, 07/15/2027 (Acquired 07/23/2015, Cost $358,435) (1) | 360,000 | 356,271 | ||||||
SMB Private Education Loan Trust 2015-C | ||||||||
2.75%, 07/15/2027 (Acquired 10/21/2015, Cost $609,910) (1) | 610,000 | 600,927 | ||||||
SoFi Professional Loan Program 2015-B LLC | ||||||||
3.52%, 03/25/2036 (Acquired 07/23/2015, Cost $1,246,073) (1) | 1,250,000 | 1,224,631 | ||||||
SoFi Professional Loan Program 2015-C LLC | ||||||||
3.58%, 08/25/2036 (Acquired 07/29/2015 through 12/01/2015, Cost $1,118,075) (1) | 1,125,000 | 1,096,809 | ||||||
SoFi Professional Loan Program 2015-d LLC | ||||||||
3.59%, 10/26/2037 (Acquired 11/13/2015, Cost $612,832) (1) | 620,000 | 607,062 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
1.69%, 03/15/2021 | 1,675,000 | 1,663,082 | ||||||
2.21%, 09/15/2022 | 1,700,000 | 1,687,276 | ||||||
Towd Point Mortgage Trust 2015-5 | ||||||||
2.75%, 05/25/2055 (Acquired 10/23/2015, Cost $591,042) (1) | 590,018 | 582,784 | ||||||
Toyota Auto Receivables 2014-B Owner Trust | ||||||||
0.76%, 03/15/2018 | 1,965,000 | 1,960,036 | ||||||
US Residential Opportunity Fund III Trust 2015-1 | ||||||||
3.72%, 01/27/2035 (Acquired 09/02/2015, Cost $492,432) (1) | 492,653 | 489,468 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 08/12/2015, Cost $415,842) (1) | 416,983 | 409,733 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 10/30/2015, Cost $205,820) (1) | 207,356 | 204,550 | ||||||
VOLT XXXIX LLC | ||||||||
4.13%, 10/25/2045 (Acquired 10/22/2015, Cost $665,590) (1) | 666,200 | 661,236 | ||||||
VOLT XXXVIII LLC | ||||||||
3.88%, 09/25/2045 (Acquired 09/10/2015, Cost $577,517) (1) | 577,990 | 571,859 | ||||||
Wendys Funding LLC 2015-1 | ||||||||
3.37%, 06/15/2045 (Acquired 07/13/2015 through 07/29/2015, Cost $3,059,389) (1) | 3,069,308 | 2,994,686 | ||||||
Wheels SPV 2 LLC | ||||||||
1.27%, 04/22/2024 (Acquired 07/15/2015 through 07/22/2015, Cost $1,980,168) (1) | 1,985,000 | 1,965,154 |
Table of Contents
World Financial Network Credit Card Master Trust | ||||||||
1.61%, 12/15/2021 | 1,450,000 | 1,441,373 | ||||||
|
| |||||||
Total Asset Backed Obligations (Cost $167,212,710) | $ | 166,033,373 | ||||||
|
| |||||||
Corporate Bonds - 36.19% | ||||||||
Basic Materials - 0.97% | ||||||||
Albemarle Corp | ||||||||
4.15%, 12/01/2024 | $ | 1,402,000 | $ | 1,339,970 | ||||
5.45%, 12/01/2044 | 1,109,000 | 1,072,537 | ||||||
Alcoa Inc | ||||||||
6.15%, 08/15/2020 | 1,640,000 | 1,693,300 | ||||||
5.13%, 10/01/2024 | 1,561,000 | 1,420,510 | ||||||
Allegheny Technologies Inc | ||||||||
5.95%, 01/15/2021 | 2,150,000 | 1,268,500 | ||||||
Ashland Inc | ||||||||
3.88%, 04/15/2018 | 1,353,000 | 1,380,060 | ||||||
6.88%, 05/15/2043 | 433,000 | 411,350 | ||||||
Barrick Gold Corp | ||||||||
4.10%, 05/01/2023 | 502,000 | 430,677 | ||||||
BHP Billiton Finance USA Ltd | ||||||||
3.85%, 09/30/2023 | 490,000 | 463,991 | ||||||
Freeport-McMoRan Inc | ||||||||
4.55%, 11/14/2024 | 2,900,000 | 1,660,250 | ||||||
Georgia-Pacific LLC | ||||||||
3.16%, 11/15/2021 (Acquired 07/13/2015 through 07/29/2015, Cost $1,843,040) (1) | 1,835,000 | 1,832,283 | ||||||
3.60%, 03/01/2025 (Acquired 07/14/2015 through 07/29/2015, Cost $922,091) (1) | 932,000 | 921,665 | ||||||
Glencore Funding LLC | ||||||||
4.00%, 04/16/2025 (Acquired 07/13/2015, Cost $2,142,559) (1) | 2,350,000 | 1,633,250 | ||||||
Goldcorp Inc | ||||||||
3.70%, 03/15/2023 | 1,520,000 | 1,388,385 | ||||||
Lundin Mining Corp | ||||||||
7.50%, 11/01/2020 (Acquired 07/13/2015 through 07/22/2015, Cost $124,810) (1) | 120,000 | 112,500 | ||||||
LYB International Finance BV | ||||||||
4.00%, 07/15/2023 | 1,205,000 | 1,201,833 | ||||||
LyondellBasell Industries NV | ||||||||
4.63%, 02/26/2055 | 1,536,000 | 1,245,625 | ||||||
Reliance Steel & Aluminum Co | ||||||||
4.50%, 04/15/2023 | 210,000 | 195,563 | ||||||
Solvay Finance America LLC | ||||||||
4.45%, 12/03/2025 (Acquired 11/30/2015 through 12/23/2015, Cost $1,620,240) (1) | 1,625,000 | 1,604,270 | ||||||
|
| |||||||
21,276,519 | ||||||||
|
| |||||||
Communications - 3.45% | ||||||||
21st Century Fox America Inc | ||||||||
3.70%, 09/15/2024 | 2,500,000 | 2,522,475 | ||||||
4.75%, 09/15/2044 | 1,445,000 | 1,389,535 | ||||||
Alcatel-Lucent USA Inc | ||||||||
6.75%, 11/15/2020 (Acquired 07/23/2015, Cost $848,001) (1) | 809,000 | 852,484 | ||||||
6.50%, 01/15/2028 | 700,000 | 703,500 | ||||||
6.45%, 03/15/2029 | 915,000 | 926,437 | ||||||
Alibaba Group Holding Ltd | ||||||||
3.13%, 11/28/2021 | 875,000 | 848,640 | ||||||
3.60%, 11/28/2024 | 1,425,000 | 1,361,220 | ||||||
Altice Luxembourg SA | ||||||||
7.63%, 02/15/2025 (Acquired 08/21/2015, Cost $429,255) (1) | 450,000 | 388,125 | ||||||
Altice US Finance I Corp | ||||||||
5.38%, 07/15/2023 (Acquired 11/10/2015, Cost $746,369) (1) | 750,000 | 751,875 | ||||||
Amazon.com Inc | ||||||||
3.80%, 12/05/2024 | 1,625,000 | 1,691,349 | ||||||
4.95%, 12/05/2044 | 1,815,000 | 1,933,726 | ||||||
AT&T Inc | ||||||||
0.70%, 02/12/2016 | 4,050,000 | 4,048,206 | ||||||
3.40%, 05/15/2025 | 2,275,000 | 2,186,764 | ||||||
4.35%, 06/15/2045 | 300,000 | 257,822 | ||||||
CBS Corp | ||||||||
4.00%, 01/15/2026 | 2,525,000 | 2,463,630 | ||||||
CC Holdings GS V LLC / Crown Castle GS III Corp | ||||||||
3.85%, 04/15/2023 | 3,000,000 | 2,946,360 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp | ||||||||
6.50%, 04/30/2021 | 1,575,000 | 1,638,000 | ||||||
5.13%, 05/01/2023 (Acquired 09/29/2015, Cost $367,876) (1) | 400,000 | 400,500 | ||||||
5.38%, 05/01/2025 (Acquired 07/29/2015 through 08/28/2015, Cost $1,640,082) (1) | 1,675,000 | 1,666,625 | ||||||
CCO Safari II LLC | ||||||||
4.46%, 07/23/2022 (Acquired 10/20/2015 through 10/28/2015, Cost $902,395) (1) | 884,000 | 880,924 | ||||||
4.91%, 07/23/2025 (Acquired 07/13/2015 through 10/27/2015, Cost $2,007,958) (1) | 7,598,000 | 7,590,531 | ||||||
6.48%, 10/23/2045 (Acquired 07/13/2015 through 07/27/2015, Cost $1,636,512) (1) | 1,625,000 | 1,625,577 |
Table of Contents
Cox Communications Inc | ||||||||
3.85%, 02/01/2025 (Acquired 07/22/2015, Cost $1,386,209) (1) | 1,450,000 | 1,329,483 | ||||||
Crown Castle Towers LLC | ||||||||
3.66%, 05/15/2025 (Acquired 07/14/2015 through 07/27/2015, Cost $1,283,867) (1) | 1,300,000 | 1,261,602 | ||||||
DISH DBS Corp | ||||||||
6.75%, 06/01/2021 | 400,000 | 403,000 | ||||||
Expedia Inc | ||||||||
5.00%, 02/15/2026 (Acquired 12/01/2015 through 12/11/2015, Cost $1,312,015) (1) | 1,320,000 | 1,288,942 | ||||||
Intelsat Jackson Holdings SA | ||||||||
7.50%, 04/01/2021 | 515,000 | 448,050 | ||||||
Interpublic Group of Cos Inc/The | ||||||||
4.00%, 03/15/2022 | 1,100,000 | 1,101,668 | ||||||
Level 3 Communications Inc | ||||||||
5.75%, 12/01/2022 | 150,000 | 153,375 | ||||||
Level 3 Financing Inc | ||||||||
6.13%, 01/15/2021 | 220,000 | 227,700 | ||||||
5.38%, 05/01/2025 (Acquired 07/13/2015, Cost $1,439,466) (1) | 1,475,000 | 1,467,625 | ||||||
MDC Partners Inc | ||||||||
6.75%, 04/01/2020 (Acquired 08/21/2015, Cost $272,454) (1) | 275,000 | 283,250 | ||||||
Neptune Finco Corp | ||||||||
10.13%, 01/15/2023 (Acquired 09/25/2015, Cost $225,000) (1) | 225,000 | 234,563 | ||||||
6.63%, 10/15/2025 (Acquired 09/25/2015, Cost $790,000) (1) | 790,000 | 821,600 | ||||||
Nielsen Finance LLC / Nielsen Finance Co | ||||||||
4.50%, 10/01/2020 | 600,000 | 609,000 | ||||||
Omnicom Group Inc | ||||||||
3.65%, 11/01/2024 | 1,600,000 | 1,585,014 | ||||||
Priceline Group Inc/The | ||||||||
3.65%, 03/15/2025 | 645,000 | 627,813 | ||||||
Rogers Communications Inc | ||||||||
3.63%, 12/15/2025 | 255,000 | 250,845 | ||||||
Sirius XM Radio Inc | ||||||||
4.25%, 05/15/2020 (Acquired 09/25/2015, Cost $371,899) (1) | 375,000 | 378,750 | ||||||
5.25%, 08/15/2022 (Acquired 07/20/2015 through 07/29/2015, Cost $1,153,335) (1) | 1,100,000 | 1,160,500 | ||||||
Sky PLC | ||||||||
3.75%, 09/16/2024 (Acquired 10/08/2015, Cost $276,477) (1) | 280,000 | 273,627 | ||||||
Sprint Communications Inc | ||||||||
9.00%, 11/15/2018 (Acquired 08/26/2015 through 09/21/2015, Cost $1,159,908) (1) | 1,061,000 | 1,116,703 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/2033 | 2,115,000 | 2,019,825 | ||||||
Telefonica Emisiones SAU | ||||||||
4.57%, 04/27/2023 | 150,000 | 157,356 | ||||||
Tencent Holdings Ltd | ||||||||
3.38%, 05/02/2019 (Acquired 07/14/2015 through 07/30/2015, Cost $1,679,646) (1) | 1,650,000 | 1,678,101 | ||||||
Time Warner Cable Inc | ||||||||
6.55%, 05/01/2037 | 190,000 | 192,173 | ||||||
6.75%, 06/15/2039 | 930,000 | 933,307 | ||||||
4.50%, 09/15/2042 | 1,575,000 | 1,235,961 | ||||||
Time Warner Inc | ||||||||
3.60%, 07/15/2025 | 2,565,000 | 2,498,100 | ||||||
T-Mobile USA Inc | ||||||||
6.25%, 04/01/2021 | 785,000 | 810,513 | ||||||
6.73%, 04/28/2022 | 335,000 | 349,237 | ||||||
Univision Communications Inc | ||||||||
5.13%, 02/15/2025 (Acquired 07/13/2015 through 07/29/2015, Cost $239,809) (1) | 240,000 | 228,000 | ||||||
Verizon Communications Inc | ||||||||
2.50%, 09/15/2016 | 2,300,000 | 2,317,993 | ||||||
4.50%, 09/15/2020 | 150,000 | 161,183 | ||||||
3.50%, 11/01/2024 | 2,150,000 | 2,124,602 | ||||||
6.40%, 09/15/2033 | 2,715,000 | 3,093,278 | ||||||
4.27%, 01/15/2036 | 1,050,000 | 947,736 | ||||||
4.86%, 08/21/2046 | 1,500,000 | 1,419,102 | ||||||
4.52%, 09/15/2048 | 400,000 | 357,684 | ||||||
WPP Finance 2010 | ||||||||
4.75%, 11/21/2021 | 1,300,000 | 1,400,889 | ||||||
|
| |||||||
76,022,455 | ||||||||
|
| |||||||
Consumer, Cyclical - 3.92% | ||||||||
1011778 BC ULC / New Red Finance Inc | ||||||||
4.63%, 01/15/2022 (Acquired 07/13/2015 through 08/21/2015, Cost $1,838,199) (1) | 1,840,000 | 1,844,600 | ||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 07/14/2015 $1,392,944) (1) | 1,379,532 | 1,377,808 | ||||||
American Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.00%, 07/15/2025 | 2,161,042 | 2,182,652 |
Table of Contents
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70%, 10/01/2026 | 2,072,014 | 2,073,257 | ||||||
American Airlines 2015-1 Class B Pass Through Trust | ||||||||
3.70%, 05/01/2023 | 2,301,784 | 2,249,994 | ||||||
AutoNation Inc | ||||||||
4.50%, 10/01/2025 | 465,000 | 472,071 | ||||||
Brinker International Inc | ||||||||
3.88%, 05/15/2023 | 2,489,000 | 2,401,447 | ||||||
CalAtlantic Group Inc | ||||||||
0.25%, 06/01/2019 | 110,000 | 98,381 | ||||||
Choice Hotels International Inc | ||||||||
5.75%, 07/01/2022 | 1,325,000 | 1,417,750 | ||||||
Churchill Downs Inc | ||||||||
5.38%, 12/15/2021 | 750,000 | 751,875 | ||||||
Cintas Corp No 2 | ||||||||
2.85%, 06/01/2016 | 425,000 | 426,684 | ||||||
4.30%, 06/01/2021 | 28,000 | 29,575 | ||||||
Continental Airlines 2000-1 Class A-1 Pass Through Trust | ||||||||
8.05%, 11/01/2020 | 568,570 | 636,799 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 1,185,573 | 1,309,229 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust | ||||||||
7.25%, 11/10/2019 | 1,080,780 | 1,218,039 | ||||||
Continental Airlines 2012-1 Class A Pass Through Trust | ||||||||
4.15%, 04/11/2024 | 1,140,039 | 1,169,680 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 2,058,549 | 2,110,013 | ||||||
CVS Health Corp | ||||||||
2.80%, 07/20/2020 | 2,397,000 | 2,408,767 | ||||||
3.50%, 07/20/2022 | 1,770,000 | 1,801,968 | ||||||
4.75%, 12/01/2022 (Acquired 07/22/2015, Cost $433,315) (1) | 410,000 | 439,369 | ||||||
5.00%, 12/01/2024 (Acquired 07/22/2015 through 08/18/2015, Cost $1,176,954) (1) | 1,105,000 | 1,196,071 | ||||||
3.88%, 07/20/2025 | 2,621,000 | 2,675,375 | ||||||
4.88%, 07/20/2035 | 250,000 | 258,228 | ||||||
5.13%, 07/20/2045 | 200,000 | 210,687 | ||||||
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036 (Acquired 07/22/2015 through 08/28/2015, Cost $3,359,637) (1) | 3,342,564 | 3,257,663 | ||||||
Delphi Automotive PLC | ||||||||
4.25%, 01/15/2026 | 1,660,000 | 1,668,385 | ||||||
Delphi Corp | ||||||||
5.00%, 02/15/2023 | 1,385,000 | 1,465,330 | ||||||
Delta Air Lines 2015-1 Class AA Pass Through Trust | ||||||||
3.63%, 01/30/2029 | 740,000 | 749,250 | ||||||
Dollar Tree Inc | ||||||||
5.75%, 03/01/2023 (Acquired 07/13/2015, Cost $36,848) (1) | 35,000 | 36,487 | ||||||
DR Horton Inc | ||||||||
4.75%, 05/15/2017 | 415,000 | 426,931 | ||||||
3.75%, 03/01/2019 | 630,000 | 630,000 | ||||||
Ford Motor Credit Co LLC | ||||||||
3.98%, 06/15/2016 | 1,886,000 | 1,906,910 | ||||||
8.00%, 12/15/2016 | 950,000 | 1,004,237 | ||||||
2.15%, 01/09/2018 | 2,850,000 | 2,839,732 | ||||||
3.16%, 08/04/2020 | 1,220,000 | 1,216,325 | ||||||
4.13%, 08/04/2025 | 3,300,000 | 3,289,971 | ||||||
General Motors Co | ||||||||
4.88%, 10/02/2023 | 3,150,000 | 3,221,351 | ||||||
4.00%, 04/01/2025 | 2,406,000 | 2,279,355 | ||||||
General Motors Financial Co Inc | ||||||||
6.75%, 06/01/2018 | 475,000 | 514,799 | ||||||
3.10%, 01/15/2019 | 1,144,000 | 1,142,580 | ||||||
4.00%, 01/15/2025 | 3,000,000 | 2,847,939 | ||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp | ||||||||
5.63%, 10/15/2021 | 1,185,000 | 1,227,956 | ||||||
Home Depot Inc/The | ||||||||
3.35%, 09/15/2025 | 485,000 | 495,901 | ||||||
Hyatt Hotels Corp | ||||||||
3.38%, 07/15/2023 | 245,000 | 232,770 | ||||||
Iconix Brand Group Inc | ||||||||
1.50%, 03/15/2018 | 10,000 | 4,925 | ||||||
Ingram Micro Inc | ||||||||
4.95%, 12/15/2024 | 1,400,000 | 1,395,537 | ||||||
International Game Technology PLC | ||||||||
6.25%, 02/15/2022 (Acquired 08/21/2015, Cost $292,116) (1) | 300,000 | 280,500 |
Table of Contents
Macy’s Retail Holdings Inc | ||||||||
5.90%, 12/01/2016 | 340,000 | 352,798 | ||||||
Magna International Inc | ||||||||
4.15%, 10/01/2025 | 665,000 | 677,346 | ||||||
Marriott International Inc/MD | ||||||||
3.75%, 10/01/2025 | 2,280,000 | 2,242,813 | ||||||
MDC Holdings Inc | ||||||||
5.50%, 01/15/2024 | 1,000,000 | 1,010,000 | ||||||
Newell Rubbermaid Inc | ||||||||
3.90%, 11/01/2025 | 270,000 | 243,730 | ||||||
O’Reilly Automotive Inc | ||||||||
4.63%, 09/15/2021 | 1,300,000 | 1,385,614 | ||||||
Outerwall Inc | ||||||||
5.88%, 06/15/2021 | 240,000 | 196,800 | ||||||
QVC Inc | ||||||||
5.13%, 07/02/2022 | 1,600,000 | 1,595,006 | ||||||
4.38%, 03/15/2023 | 920,000 | 873,682 | ||||||
4.85%, 04/01/2024 | 550,000 | 526,750 | ||||||
4.45%, 02/15/2025 | 125,000 | 115,943 | ||||||
Southwest Airlines Co | ||||||||
5.13%, 03/01/2017 | 545,000 | 566,435 | ||||||
Spirit Airlines 2015-1 Pass Through Trust A | ||||||||
4.10%, 04/01/2028 | 2,800,000 | 2,758,000 | ||||||
Toll Brothers Finance Corp | ||||||||
4.00%, 12/31/2018 | 460,000 | 469,200 | ||||||
5.88%, 02/15/2022 | 415,000 | 435,750 | ||||||
4.38%, 04/15/2023 | 145,000 | 140,650 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
3.75%, 09/03/2026 | 2,550,000 | 2,572,440 | ||||||
US Airways 2011-1 Class A Pass Through Trust | ||||||||
7.13%, 10/22/2023 | 2,300,915 | 2,646,052 | ||||||
US Airways 2013-1 Class A Pass Through Trust | ||||||||
3.95%, 11/15/2025 | 2,048,962 | 2,064,329 | ||||||
Wyndham Worldwide Corp | ||||||||
5.10%, 10/01/2025 | 1,120,000 | 1,131,431 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp | ||||||||
4.25%, 05/30/2023 (Acquired 07/13/2015, Cost $110,422) (1) | 118,000 | 100,964 | ||||||
ZF North America Capital Inc | ||||||||
4.00%, 04/29/2020 (Acquired 07/24/2015, Cost $432,485) (1) | 430,000 | 433,547 | ||||||
4.50%, 04/29/2022 (Acquired 07/24/2015, Cost $285,922) (1) | 290,000 | 283,475 | ||||||
4.75%, 04/29/2025 (Acquired 07/13/2015 through 07/29/2015, Cost $691,339) (1) | 705,000 | 671,513 | ||||||
|
| |||||||
86,389,421 | ||||||||
|
| |||||||
Consumer, Non-cyclical - 4.63% | ||||||||
AbbVie Inc | ||||||||
3.60%, 05/14/2025 | 2,150,000 | 2,122,183 | ||||||
4.70%, 05/14/2045 | 750,000 | 733,454 | ||||||
Actavis Funding SCS | ||||||||
3.00%, 03/12/2020 | 3,999,000 | 3,995,813 | ||||||
3.45%, 03/15/2022 | 985,000 | 986,573 | ||||||
3.80%, 03/15/2025 | 6,359,000 | 6,327,109 | ||||||
4.55%, 03/15/2035 | 2,025,000 | 1,968,215 | ||||||
Aetna Inc | ||||||||
3.50%, 11/15/2024 | 1,140,000 | 1,138,817 | ||||||
Amgen Inc | ||||||||
5.15%, 11/15/2041 | 400,000 | 405,776 | ||||||
4.40%, 05/01/2045 | 500,000 | 462,930 | ||||||
Anthem Inc | ||||||||
3.50%, 08/15/2024 | 740,000 | 722,586 | ||||||
Ashtead Capital Inc | ||||||||
6.50%, 07/15/2022 (Acquired 08/21/2015, Cost $286,614) (1) | 275,000 | 286,687 | ||||||
Baxalta Inc | ||||||||
4.00%, 06/23/2025 (Acquired 07/22/2015, Cost $2,161,566) (1) | 2,180,000 | 2,158,520 | ||||||
Becton Dickinson and Co | ||||||||
1.80%, 12/15/2017 | 915,000 | 913,719 | ||||||
Biogen Inc | ||||||||
2.90%, 09/15/2020 | 290,000 | 289,363 | ||||||
4.05%, 09/15/2025 | 1,105,000 | 1,110,734 | ||||||
5.20%, 09/15/2045 | 1,175,000 | 1,175,336 | ||||||
BioMarin Pharmaceutical Inc | ||||||||
1.50%, 10/15/2020 | 640,000 | 855,200 | ||||||
Block Financial LLC | ||||||||
5.25%, 10/01/2025 | 2,485,000 | 2,541,405 |
Table of Contents
Cardinal Health Inc | ||||||||
3.50%, 11/15/2024 | 1,210,000 | 1,212,069 | ||||||
Celgene Corp | ||||||||
3.63%, 05/15/2024 | 500,000 | 492,011 | ||||||
3.88%, 08/15/2025 | 4,810,000 | 4,794,714 | ||||||
5.00%, 08/15/2045 | 1,000,000 | 1,003,826 | ||||||
CHS/Community Health Systems Inc | ||||||||
5.13%, 08/01/2021 | 380,000 | 378,100 | ||||||
Danaher Corp | ||||||||
4.38%, 09/15/2045 | 400,000 | 413,171 | ||||||
DaVita HealthCare Partners Inc | ||||||||
5.00%, 05/01/2025 | 750,000 | 723,750 | ||||||
Delhaize Group | ||||||||
5.70%, 10/01/2040 | 690,000 | 709,419 | ||||||
DP World Ltd | ||||||||
6.85%, 07/02/2037 | 400,000 | 393,000 | ||||||
DS Services of America Inc | ||||||||
10.00%, 09/01/2021 (Acquired 10/05/2015, Cost $896,027) (1) | 785,000 | 890,975 | ||||||
Endo Ltd / Endo Finance LLC / Endo Finco Inc | ||||||||
6.00%, 02/01/2025 (Acquired 07/14/2015, Cost $207,368) (1) | 200,000 | 197,000 | ||||||
ERAC USA Finance LLC | ||||||||
3.80%, 11/01/2025 (Acquired 11/02/2015, Cost $3,024,336) (1) | 3,030,000 | 3,000,103 | ||||||
Fresenius Medical Care US Finance II Inc | ||||||||
5.88%, 01/31/2022 (Acquired 07/13/2015 through 08/21/2015, Cost $1,675,863) (1) | 1,560,000 | 1,669,200 | ||||||
FTI Consulting Inc | ||||||||
6.00%, 11/15/2022 | 220,000 | 230,450 | ||||||
Gilead Sciences Inc | ||||||||
3.65%, 03/01/2026 | 1,500,000 | 1,513,330 | ||||||
HCA Inc | ||||||||
3.75%, 03/15/2019 | 590,000 | 594,425 | ||||||
6.50%, 02/15/2020 | 550,000 | 599,225 | ||||||
4.75%, 05/01/2023 | 500,000 | 495,000 | ||||||
5.38%, 02/01/2025 | 1,425,000 | 1,407,188 | ||||||
5.25%, 04/15/2025 | 1,810,000 | 1,823,575 | ||||||
5.88%, 02/15/2026 | 460,000 | 461,725 | ||||||
HPHT Finance 15 Ltd | ||||||||
2.25%, 03/17/2018 (Acquired 10/09/2015, Cost $839,234) (1) | 840,000 | 834,381 | ||||||
Imperial Tobacco Finance PLC | ||||||||
2.95%, 07/21/2020 (Acquired 07/15/2015 through 07/27/2015, Cost $1,667,000) (1) | 1,665,000 | 1,668,790 | ||||||
4.25%, 07/21/2025 (Acquired 10/15/2015, Cost $1,390,395) (1) | 1,345,000 | 1,365,075 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.50%, 04/01/2022 | 1,275,000 | 1,296,242 | ||||||
Kindred Healthcare Inc | ||||||||
8.75%, 01/15/2023 | 300,000 | 276,000 | ||||||
Kraft Heinz Foods Co | ||||||||
2.80%, 07/02/2020 (Acquired 07/13/2015 through 07/29/2015, Cost $960,825) (1) | 960,000 | 957,750 | ||||||
3.50%, 07/15/2022 (Acquired 07/22/2015, Cost $576,416) (1) | 575,000 | 579,030 | ||||||
3.95%, 07/15/2025 (Acquired 07/22/2015, Cost $2,167,384) (1) | 2,155,000 | 2,175,863 | ||||||
5.20%, 07/15/2045 (Acquired 08/13/2015, Cost $1,041,915) (1) | 1,000,000 | 1,044,193 | ||||||
Laboratory Corp of America Holdings | ||||||||
3.20%, 02/01/2022 | 1,385,000 | 1,359,796 | ||||||
3.60%, 02/01/2025 | 1,475,000 | 1,423,410 | ||||||
Life Technologies Corp | ||||||||
6.00%, 03/01/2020 | 1,824,000 | 2,022,814 | ||||||
5.00%, 01/15/2021 | 265,000 | 281,932 | ||||||
Mead Johnson Nutrition Co | ||||||||
4.13%, 11/15/2025 | 170,000 | 171,367 | ||||||
Medtronic Inc | ||||||||
2.75%, 04/01/2023 | 700,000 | 683,781 | ||||||
3.50%, 03/15/2025 | 2,210,000 | 2,236,164 | ||||||
4.63%, 03/15/2045 | 700,000 | 721,719 | ||||||
Molina Healthcare Inc | ||||||||
5.38%, 11/15/2022 (Acquired 11/05/2015, Cost $125,000) (1) | 125,000 | 125,000 | ||||||
Novartis Capital Corp | ||||||||
4.00%, 11/20/2045 | 1,000,000 | 978,541 | ||||||
PepsiCo Inc | ||||||||
3.10%, 07/17/2022 | 800,000 | 820,463 | ||||||
Pernod Ricard SA | ||||||||
5.50%, 01/15/2042 (Acquired 11/24/2015 through 12/23/2015, Cost $613,992) (1) | 600,000 | 604,355 | ||||||
Post Holdings Inc | ||||||||
7.38%, 02/15/2022 | 275,000 | 286,688 | ||||||
Reynolds American Inc | ||||||||
3.25%, 11/01/2022 | 1,215,000 | 1,201,996 |
Table of Contents
4.45%, 06/12/2025 | 680,000 | 711,563 | ||||||
5.85%, 08/15/2045 | 360,000 | 399,963 | ||||||
Smithfield Foods Inc | ||||||||
5.25%, 08/01/2018 (Acquired 07/13/2015, Cost $121,906) (1) | 120,000 | 121,500 | ||||||
Spectrum Brands Inc | ||||||||
5.75%, 07/15/2025 (Acquired 11/19/2015, Cost $722,568) (1) | 700,000 | 717,500 | ||||||
Tenet Healthcare Corp | ||||||||
3.84%, 06/15/2020 (Acquired 08/20/2015 through 09/11/2015, Cost $776,080) (1) | 775,000 | 755,625 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
3.65%, 11/10/2021 | 725,000 | 735,654 | ||||||
Thermo Fisher Scientific Inc | ||||||||
3.30%, 02/15/2022 | 605,000 | 603,863 | ||||||
Transurban Finance Co Pty Ltd | ||||||||
4.13%, 02/02/2026 (Acquired 10/27/2015, Cost $153,663) (1) | 155,000 | 152,487 | ||||||
Tyson Foods Inc | ||||||||
6.60%, 04/01/2016 | 580,000 | 587,678 | ||||||
4.50%, 06/15/2022 | 670,000 | 713,602 | ||||||
3.95%, 08/15/2024 | 300,000 | 308,039 | ||||||
UBM PLC | ||||||||
5.75%, 11/03/2020 (Acquired 07/13/2015 through 07/15/2015, Cost $913,321) (1) | 845,000 | 903,175 | ||||||
United Rentals North America Inc | ||||||||
6.13%, 06/15/2023 | 275,000 | 281,188 | ||||||
UnitedHealth Group Inc | ||||||||
3.75%, 07/15/2025 | 1,230,000 | 1,269,136 | ||||||
Universal Health Services Inc | ||||||||
4.75%, 08/01/2022 (Acquired 08/24/2015 through 10/22/2015, Cost $1,656,283) (1) | 1,620,000 | 1,636,200 | ||||||
Valeant Pharmaceuticals International Inc | ||||||||
5.50%, 03/01/2023 (Acquired 07/21/2015 through 08/04/2015, Cost $1,619,788) (1) | 1,590,000 | 1,399,200 | ||||||
5.88%, 05/15/2023 (Acquired 07/29/2015 through 10/06/2015, Cost $1,055,183) (1) | 1,050,000 | 937,125 | ||||||
5.88%, 05/15/2023 | 205,000 | 182,963 | ||||||
Verisk Analytics Inc | ||||||||
4.88%, 01/15/2019 | 540,000 | 564,992 | ||||||
5.80%, 05/01/2021 | 2,220,000 | 2,460,672 | ||||||
4.13%, 09/12/2022 | 1,547,000 | 1,559,548 | ||||||
4.00%, 06/15/2025 | 2,925,000 | 2,841,521 | ||||||
5.50%, 06/15/2045 | 1,095,000 | 1,045,376 | ||||||
Wm Wrigley Jr Co | ||||||||
2.40%, 10/21/2018 (Acquired 07/13/2015 through 07/29/2015, Cost $1,482,489) (1) | 1,465,000 | 1,469,037 | ||||||
3.38%, 10/21/2020 (Acquired 07/22/2015, Cost $1,253,479) (1) | 1,221,000 | 1,245,286 | ||||||
Zimmer Biomet Holdings Inc | ||||||||
2.70%, 04/01/2020 | 1,290,000 | 1,274,251 | ||||||
3.15%, 04/01/2022 | 1,310,000 | 1,287,891 | ||||||
3.55%, 04/01/2025 | 1,490,000 | 1,448,654 | ||||||
|
| |||||||
101,925,715 | ||||||||
|
| |||||||
Diversified - 0.05% | ||||||||
RWT Holdings Inc | ||||||||
5.63%, 11/15/2019 | 1,180,000 | 1,090,025 | ||||||
|
| |||||||
Energy - 3.19% | ||||||||
APT Pipelines Ltd | ||||||||
3.88%, 10/11/2022 (Acquired 08/06/2015 through 08/19/2015, Cost $1,354,310) (1) | 1,360,000 | 1,308,884 | ||||||
Boardwalk Pipelines LP | ||||||||
5.75%, 09/15/2019 | 1,850,000 | 1,862,275 | ||||||
BP Capital Markets PLC | ||||||||
3.51%, 03/17/2025 | 1,525,000 | 1,477,763 | ||||||
Chesapeake Energy Corp | ||||||||
6.13%, 02/15/2021 | 1,625,000 | 458,250 | ||||||
8.00%, 12/15/2022 (Acquired 07/13/2015 through 07/29/2015, Cost $220,349) (1) | 146,000 | 71,540 | ||||||
Chevron Corp | ||||||||
1.35%, 11/15/2017 | 915,000 | 912,099 | ||||||
Cimarex Energy Co | ||||||||
5.88%, 05/01/2022 | 2,855,000 | 2,735,213 | ||||||
4.38%, 06/01/2024 | 5,137,000 | 4,559,185 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/2024 | 900,000 | 907,132 | ||||||
Concho Resources Inc | ||||||||
6.50%, 01/15/2022 | 60,000 | 57,600 | ||||||
5.50%, 10/01/2022 | 155,000 | 141,050 | ||||||
5.50%, 04/01/2023 | 500,000 | 462,500 | ||||||
Continental Resources Inc/OK | ||||||||
5.00%, 09/15/2022 | 190,000 | 140,125 | ||||||
3.80%, 06/01/2024 | 2,610,000 | 1,839,251 | ||||||
Devon Energy Corp | ||||||||
2.25%, 12/15/2018 | 920,000 | 839,854 |
Table of Contents
Enable Midstream Partners LP | ||||||||
3.90%, 05/15/2024 | 2,300,000 | 1,759,408 | ||||||
Enbridge Energy Partners LP | ||||||||
5.88%, 10/15/2025 | 750,000 | 722,908 | ||||||
Energy Transfer Equity LP | ||||||||
5.50%, 06/01/2027 | 400,000 | 304,000 | ||||||
Energy Transfer Partners LP | ||||||||
4.15%, 10/01/2020 | 585,000 | 539,885 | ||||||
4.75%, 01/15/2026 | 2,195,000 | 1,889,252 | ||||||
6.50%, 02/01/2042 | 1,000,000 | 813,351 | ||||||
5.15%, 03/15/2045 | 700,000 | 494,823 | ||||||
6.13%, 12/15/2045 | 100,000 | 81,365 | ||||||
EnLink Midstream Partners LP | ||||||||
4.40%, 04/01/2024 | 865,000 | 685,238 | ||||||
4.15%, 06/01/2025 | 1,500,000 | 1,154,565 | ||||||
5.60%, 04/01/2044 | 450,000 | 313,453 | ||||||
Enterprise Products Operating LLC | ||||||||
3.75%, 02/15/2025 | 2,585,000 | 2,365,844 | ||||||
5.10%, 02/15/2045 | 1,065,000 | 891,404 | ||||||
Exxon Mobil Corp | ||||||||
3.57%, 03/06/2045 | 885,000 | 831,826 | ||||||
Helmerich & Payne International Drilling Co | ||||||||
4.65%, 03/15/2025 | 1,450,000 | 1,451,454 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
5.00%, 10/01/2021 | 575,000 | 542,887 | ||||||
4.30%, 05/01/2024 | 1,115,000 | 958,769 | ||||||
4.25%, 09/01/2024 | 295,000 | 251,130 | ||||||
Kinder Morgan Inc/DE | ||||||||
4.30%, 06/01/2025 | 2,700,000 | 2,334,034 | ||||||
7.75%, 01/15/2032 | 515,000 | 488,708 | ||||||
Korea National Oil Corp | ||||||||
4.00%, 10/27/2016 (Acquired 07/22/2015 through 07/24/2015, Cost $572,515) (1) | 560,000 | 571,224 | ||||||
Matador Resources Co | ||||||||
6.88%, 04/15/2023 | 230,000 | 213,900 | ||||||
Motiva Enterprises LLC | ||||||||
5.75%, 01/15/2020 (Acquired 07/22/2015, Cost $426,800) (1) | 390,000 | 419,929 | ||||||
Newfield Exploration Co | ||||||||
5.38%, 01/01/2026 | 2,215,000 | 1,832,912 | ||||||
Noble Energy Inc | ||||||||
4.15%, 12/15/2021 | 1,655,000 | 1,604,410 | ||||||
Oceaneering International Inc | ||||||||
4.65%, 11/15/2024 | 2,285,000 | 1,918,868 | ||||||
Pertamina Persero PT | ||||||||
6.00%, 05/03/2042 | 280,000 | 229,263 | ||||||
6.00%, 05/03/2042 | 200,000 | 163,760 | ||||||
Petrobras Global Finance BV | ||||||||
5.75%, 01/20/2020 | 135,000 | 105,975 | ||||||
Petroleos Mexicanos | ||||||||
4.88%, 01/24/2022 | 300,000 | 288,750 | ||||||
4.50%, 01/23/2026 (Acquired 07/14/2015 through 07/29/2015, Cost $588,767) (1) | 605,000 | 531,492 | ||||||
5.63%, 01/23/2046 (Acquired 07/29/2015, Cost $215,478) (1) | 235,000 | 179,822 | ||||||
Phillips 66 Partners LP | ||||||||
3.61%, 02/15/2025 | 385,000 | 338,075 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp | ||||||||
5.88%, 03/01/2022 | 500,000 | 471,319 | ||||||
5.00%, 10/01/2022 | 1,000,000 | 886,263 | ||||||
Rowan Cos Inc | ||||||||
4.75%, 01/15/2024 | 2,280,000 | 1,621,914 | ||||||
Sabine Pass LNG LP | ||||||||
7.50%, 11/30/2016 | 880,000 | 875,600 | ||||||
Schlumberger Holdings Corp | ||||||||
3.00%, 12/21/2020 (Acquired 12/10/2015, Cost $598,652) (1) | 600,000 | 592,337 | ||||||
4.00%, 12/21/2025 (Acquired 12/10/2015 through 12/17/2015, Cost $1,132,420) (1) | 1,135,000 | 1,120,596 | ||||||
SESI LLC | ||||||||
6.38%, 05/01/2019 | 1,255,000 | 1,164,803 | ||||||
Seven Generations Energy Ltd | ||||||||
8.25%, 05/15/2020 (Acquired 07/13/2015 through 07/29/2015, Cost $226,407) (1) | 220,000 | 198,000 | ||||||
Shell International Finance BV | ||||||||
2.13%, 05/11/2020 | 400,000 | 393,546 | ||||||
2.25%, 11/10/2020 | 2,061,000 | 2,030,085 | ||||||
3.25%, 05/11/2025 | 1,900,000 | 1,855,188 | ||||||
4.38%, 05/11/2045 | 1,000,000 | 944,129 |
Table of Contents
SM Energy Co | ||||||||
6.13%, 11/15/2022 | 5,000 | 3,675 | ||||||
5.00%, 01/15/2024 | 85,000 | 55,250 | ||||||
5.63%, 06/01/2025 | 55,000 | 36,300 | ||||||
Southwestern Energy Co | ||||||||
4.95%, 01/23/2025 | 1,475,000 | 929,250 | ||||||
Spectra Energy Partners LP | ||||||||
4.75%, 03/15/2024 | 1,460,000 | 1,414,930 | ||||||
SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp | ||||||||
7.38%, 02/01/2020 (Acquired 07/22/2015 through 07/29/2015, Cost $239,234) (1) | 240,000 | 148,800 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 04/01/2024 | 1,500,000 | 1,298,043 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp | ||||||||
4.13%, 11/15/2019 | 1,600,000 | 1,332,000 | ||||||
6.75%, 03/15/2024 (Acquired 09/09/2015 through 09/11/2015, Cost $823,152) (1) | 825,000 | 703,313 | ||||||
TerraForm Power Operating LLC | ||||||||
5.88%, 02/01/2023 (Acquired 07/13/2015 through 08/17/2015, Cost $239,127) (1) | 240,000 | 198,600 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 07/16/2015 through 07/22/2015, Cost $726,325) (1) | 775,000 | 688,908 | ||||||
Western Gas Partners LP | ||||||||
5.38%, 06/01/2021 | 2,407,000 | 2,437,133 | ||||||
Whiting Petroleum Corp | ||||||||
1.25%, 04/01/2020 (Acquired 12/7/2015, Cost $797,351) (1) | 1,000,000 | 680,000 | ||||||
Williams Cos Inc/The | ||||||||
3.70%, 01/15/2023 | 1,350,000 | 932,525 | ||||||
Williams Partners LP | ||||||||
6.30%, 04/15/2040 | 135,000 | 103,590 | ||||||
Williams Partners LP / ACMP Finance Corp | ||||||||
4.88%, 03/15/2024 | 2,170,000 | 1,738,775 | ||||||
WPX Energy Inc | ||||||||
7.50%, 08/01/2020 | 95,000 | 76,950 | ||||||
8.25%, 08/01/2023 | 200,000 | 160,000 | ||||||
|
| |||||||
70,137,227 | ||||||||
|
| |||||||
Financials - 14.92% | ||||||||
Abbey National Treasury Services PLC/United Kingdom | ||||||||
1.38%, 03/13/2017 | 1,500,000 | 1,493,850 | ||||||
ABN AMRO Bank NV | ||||||||
4.75%, 07/28/2025 (Acquired 07/21/2015 through 07/28/2015, Cost $1,291,312) (1) | 1,290,000 | 1,285,743 | ||||||
ACE INA Holdings Inc | ||||||||
2.30%, 11/03/2020 | 485,000 | 481,731 | ||||||
3.35%, 05/03/2026 | 1,294,000 | 1,290,268 | ||||||
4.35%, 11/03/2045 | 380,000 | 386,170 | ||||||
AerCap Ireland Capital Ltd / AerCap Global Aviation Trust | ||||||||
4.63%, 10/30/2020 | 1,067,000 | 1,092,341 | ||||||
4.63%, 07/01/2022 | 3,187,000 | 3,222,854 | ||||||
Aflac Inc | ||||||||
3.63%, 11/15/2024 | 1,710,000 | 1,740,455 | ||||||
Air Lease Corp | ||||||||
4.25%, 09/15/2024 | 1,425,000 | 1,396,500 | ||||||
Alexandria Real Estate Equities Inc | ||||||||
2.75%, 01/15/2020 | 643,000 | 632,308 | ||||||
4.60%, 04/01/2022 | 2,255,000 | 2,340,728 | ||||||
4.50%, 07/30/2029 | 636,000 | 622,096 | ||||||
Allied World Assurance Co Holdings Ltd | ||||||||
4.35%, 10/29/2025 | 2,490,000 | 2,451,520 | ||||||
Ally Financial Inc | ||||||||
8.00%, 12/31/2018 | 688,000 | 753,360 | ||||||
4.13%, 03/30/2020 | 1,035,000 | 1,029,825 | ||||||
4.63%, 03/30/2025 | 2,550,000 | 2,518,125 | ||||||
5.75%, 11/20/2025 | 389,000 | 393,862 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/2020 | 1,900,000 | 1,897,779 | ||||||
American Express Co | ||||||||
6.80%, 09/01/2066 | 900,000 | 906,750 | ||||||
American Express Credit Corp | ||||||||
2.80%, 09/19/2016 | 2,000,000 | 2,025,544 | ||||||
Ameriprise Financial Inc | ||||||||
7.52%, 06/01/2066 | 2,139,000 | 2,090,872 | ||||||
AvalonBay Communities Inc | ||||||||
5.75%, 09/15/2016 | 1,025,000 | 1,056,302 | ||||||
Bank of America Corp | ||||||||
3.75%, 07/12/2016 | 1,750,000 | 1,771,907 | ||||||
6.50%, 08/01/2016 | 750,000 | 771,857 | ||||||
5.75%, 08/15/2016 | 415,000 | 425,162 |
Table of Contents
2.00%, 01/11/2018 | 1,000,000 | 998,817 | ||||||
2.63%, 10/19/2020 | 1,390,000 | 1,373,127 | ||||||
3.30%, 01/11/2023 | 650,000 | 640,878 | ||||||
4.00%, 04/01/2024 | 2,155,000 | 2,205,095 | ||||||
4.20%, 08/26/2024 | 1,350,000 | 1,351,960 | ||||||
3.88%, 08/01/2025 | 3,650,000 | 3,705,571 | ||||||
4.25%, 10/22/2026 | 2,150,000 | 2,128,362 | ||||||
8.00%, 12/31/2099 | 2,118,000 | 2,155,065 | ||||||
Bank of America NA | ||||||||
6.10%, 06/15/2017 | 850,000 | 898,139 | ||||||
Barclays Bank PLC | ||||||||
5.00%, 09/22/2016 | 1,750,000 | 1,794,854 | ||||||
5.14%, 10/14/2020 | 275,000 | 298,557 | ||||||
Barclays PLC | ||||||||
4.38%, 09/11/2024 | 2,200,000 | 2,151,206 | ||||||
3.65%, 03/16/2025 | 1,815,000 | 1,744,260 | ||||||
5.25%, 08/17/2045 | 785,000 | 790,719 | ||||||
BBVA Bancomer SA/Texas | ||||||||
6.50%, 03/10/2021 | 750,000 | 795,000 | ||||||
Berkshire Hathaway Finance Corp | ||||||||
4.40%, 05/15/2042 | 1,000,000 | 989,967 | ||||||
Berkshire Hathaway Inc | ||||||||
4.50%, 02/11/2043 | 1,000,000 | 1,006,157 | ||||||
BioMed Realty LP | ||||||||
2.63%, 05/01/2019 | 1,400,000 | 1,360,551 | ||||||
BPCE SA | ||||||||
5.15%, 07/21/2024 (Acquired 07/13/2015 through 09/28/2015, Cost $1,735,417) (1) | 1,700,000 | 1,714,481 | ||||||
Branch Banking & Trust Co | ||||||||
3.80%, 10/30/2026 | 1,250,000 | 1,269,186 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.88%, 08/15/2022 | 2,455,000 | 2,444,007 | ||||||
Capital One Bank USA NA | ||||||||
1.15%, 11/21/2016 | 500,000 | 498,808 | ||||||
Carlyle Holdings Finance LLC | ||||||||
3.88%, 02/01/2023 (Acquired 07/31/2015, Cost $711,125) (1) | 694,000 | 703,266 | ||||||
CBRE Services Inc | ||||||||
4.88%, 03/01/2026 | 2,115,000 | 2,107,741 | ||||||
Charles Schwab Corp/The | ||||||||
3.00%, 03/10/2025 | 740,000 | 727,870 | ||||||
7.00%, 02/28/2049 | 1,394,000 | 1,582,190 | ||||||
CIT Group Inc | ||||||||
4.25%, 08/15/2017 | 3,395,000 | 3,471,388 | ||||||
5.25%, 03/15/2018 | 785,000 | 810,512 | ||||||
5.50%, 02/15/2019 (Acquired 07/13/2015 through 10/28/2015, Cost $1,839,983) (1) | 1,754,000 | 1,832,930 | ||||||
Citigroup Inc | ||||||||
5.30%, 01/07/2016 | 3,000,000 | 3,000,390 | ||||||
1.30%, 04/01/2016 | 2,000,000 | 2,002,806 | ||||||
1.30%, 11/15/2016 | 625,000 | 623,485 | ||||||
2.15%, 07/30/2018 | 650,000 | 649,528 | ||||||
4.45%, 09/29/2027 | 2,154,000 | 2,141,179 | ||||||
Citizens Financial Group Inc | ||||||||
4.30%, 12/03/2025 | 1,386,000 | 1,394,407 | ||||||
CNA Financial Corp | ||||||||
5.88%, 08/15/2020 | 1,700,000 | 1,884,532 | ||||||
CNO Financial Group Inc | ||||||||
4.50%, 05/30/2020 | 825,000 | 841,500 | ||||||
5.25%, 05/30/2025 | 1,345,000 | 1,368,537 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
4.38%, 08/04/2025 | 2,475,000 | 2,517,528 | ||||||
Credit Agricole SA | ||||||||
4.38%, 03/17/2025 (Acquired 07/31/2015 through 08/28/2015, Cost $2,464,725) (1) | 2,525,000 | 2,442,789 | ||||||
Credit Suisse AG | ||||||||
6.50%, 08/08/2023 (Acquired 07/13/2015 through 07/29/2015, Cost $1,652,396) (1) | 1,500,000 | 1,616,250 | ||||||
Credit Suisse Group Funding Guernsey Ltd | ||||||||
3.80%, 09/15/2022 (Acquired 09/10/2015, Cost $2,495,885) (1) | 2,500,000 | 2,499,040 | ||||||
DDR Corp | ||||||||
9.63%, 03/15/2016 | 325,000 | 330,076 | ||||||
3.63%, 02/01/2025 | 2,225,000 | 2,100,682 | ||||||
4.25%, 02/01/2026 | 1,315,000 | 1,282,863 | ||||||
Digital Delta Holdings LLC | ||||||||
4.75%, 10/01/2025 (Acquired 09/23/2015, Cost $1,640,000) (1) | 1,640,000 | 1,654,790 | ||||||
Discover Bank/Greenwood DE | ||||||||
2.60%, 11/13/2018 | 2,010,000 | 2,008,800 |
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Discover Financial Services | ||||||||
3.95%, 11/06/2024 | 445,000 | 438,846 | ||||||
3.75%, 03/04/2025 | 2,660,000 | 2,555,778 | ||||||
E*TRADE Financial Corp | ||||||||
5.38%, 11/15/2022 | 1,170,000 | 1,225,575 | ||||||
4.63%, 09/15/2023 | 2,270,000 | 2,306,887 | ||||||
ERP Operating LP | ||||||||
5.13%, 03/15/2016 | 2,925,000 | 2,947,637 | ||||||
Farmers Exchange Capital II | ||||||||
6.15%, 11/01/2053 (Acquired 08/31/2015, Cost $298,750) (1) | 280,000 | 300,141 | ||||||
GE Capital Trust I | ||||||||
6.38%, 11/15/2067 | 1,244,000 | 1,292,982 | ||||||
General Electric Capital Corp | ||||||||
6.38%, 11/15/2067 | 1,335,000 | 1,394,140 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 2,040,000 | 2,385,186 | ||||||
Goldman Sachs Group Inc/The | ||||||||
5.35%, 01/15/2016 | 2,000,000 | 2,002,090 | ||||||
0.77%, 03/22/2016 | 3,750,000 | 3,746,460 | ||||||
5.63%, 01/15/2017 | 680,000 | 706,290 | ||||||
2.38%, 01/22/2018 | 1,180,000 | 1,190,274 | ||||||
7.50%, 02/15/2019 | 1,455,000 | 1,665,131 | ||||||
3.63%, 01/22/2023 | 2,400,000 | 2,428,167 | ||||||
4.25%, 10/21/2025 | 1,900,000 | 1,886,658 | ||||||
6.75%, 10/01/2037 | 460,000 | 537,350 | ||||||
4.75%, 10/21/2045 | 800,000 | 794,497 | ||||||
Goodman Funding Pty Ltd | ||||||||
6.38%, 04/15/2021 (Acquired 07/13/2015 through 08/21/2015, Cost $2,175,448) (1) | 1,915,000 | 2,175,090 | ||||||
HBOS PLC | ||||||||
1.03%, 09/30/2016 | 1,500,000 | 1,494,479 | ||||||
HCP Inc | ||||||||
3.75%, 02/01/2016 | 1,000,000 | 1,001,407 | ||||||
6.30%, 09/15/2016 | 2,027,000 | 2,095,579 | ||||||
5.63%, 05/01/2017 | 700,000 | 732,187 | ||||||
4.00%, 12/01/2022 | 900,000 | 895,881 | ||||||
4.00%, 06/01/2025 | 2,200,000 | 2,149,345 | ||||||
Host Hotels & Resorts LP | ||||||||
3.75%, 10/15/2023 | 2,175,000 | 2,097,163 | ||||||
HSBC Holdings PLC | ||||||||
6.38%, 03/29/2049 | 1,500,000 | 1,498,125 | ||||||
ING Bank NV | ||||||||
5.80%, 09/25/2023 (Acquired 07/29/2015 through 11/13/2015, Cost $3,229,406) (1) | 2,965,000 | 3,221,624 | ||||||
4.13%, 11/21/2023 | 1,000,000 | 1,018,512 | ||||||
Intercontinental Exchange Inc | ||||||||
3.75%, 12/01/2025 | 1,124,000 | 1,127,806 | ||||||
International Lease Finance Corp | ||||||||
6.75%, 09/01/2016 (Acquired 08/06/2015 through 11/05/2015, Cost $3,394,599) (1) | 3,299,000 | 3,389,723 | ||||||
8.75%, 03/15/2017 | 471,000 | 501,615 | ||||||
7.13%, 09/01/2018 (Acquired 07/14/2015, Cost $551,568) (1) | 500,000 | 548,125 | ||||||
Intesa Sanpaolo SpA | ||||||||
6.50%, 02/24/2021 (Acquired 07/13/2015 through 08/17/2015, Cost $797,317) (1) | 700,000 | 794,032 | ||||||
5.02%, 06/26/2024 (Acquired 07/13/2015 through 10/28/2015, Cost $4,838,894) (1) | 4,896,000 | 4,819,363 | ||||||
Iron Mountain Inc | ||||||||
6.00%, 08/15/2023 | 275,000 | 284,625 | ||||||
Jackson National Life Global Funding | ||||||||
1.88%, 10/15/2018 (Acquired 10/07/2015, Cost $999,516) (1) | 1,000,000 | 993,035 | ||||||
2.60%, 12/09/2020 (Acquired 12/02/2015, Cost $1,563,562) (1) | 1,565,000 | 1,557,920 | ||||||
Jones Lang LaSalle Inc | ||||||||
4.40%, 11/15/2022 | 1,270,000 | 1,302,192 | ||||||
JPMorgan Chase & Co | ||||||||
3.15%, 07/05/2016 | 1,000,000 | 1,010,317 | ||||||
2.55%, 10/29/2020 | 1,915,000 | 1,897,951 | ||||||
4.50%, 01/24/2022 | 1,500,000 | 1,617,924 | ||||||
3.88%, 09/10/2024 | 2,175,000 | 2,164,673 | ||||||
JPMorgan Chase Bank NA | ||||||||
0.67%, 06/13/2016 | 500,000 | 499,257 | ||||||
6.00%, 10/01/2017 | 4,811,000 | 5,144,152 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.25%, 02/02/2037 | 1,500,000 | 1,181,250 | ||||||
Kennedy-Wilson Inc | ||||||||
5.88%, 04/01/2024 | 1,835,000 | 1,770,775 | ||||||
KeyCorp | ||||||||
2.90%, 09/15/2020 | 1,340,000 | 1,335,545 |
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Kilroy Realty LP | ||||||||
4.38%, 10/01/2025 | 1,515,000 | 1,534,756 | ||||||
Kimco Realty Corp | ||||||||
3.40%, 11/01/2022 | 150,000 | 148,672 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp | ||||||||
5.88%, 08/01/2021 (Acquired 08/31/2015 through 10/14/2015, Cost $1,665,041) (1) | 1,745,000 | 1,587,950 | ||||||
Lazard Group LLC | ||||||||
4.25%, 11/14/2020 | 1,560,000 | 1,616,456 | ||||||
LeasePlan Corp NV | ||||||||
2.50%, 05/16/2018 (Acquired 07/13/2015 through 08/24/2015, Cost $3,128,854) (1) | 3,115,000 | 3,067,923 | ||||||
Liberty Mutual Group Inc | ||||||||
4.85%, 08/01/2044 (Acquired 07/21/2015 through 08/21/2015, Cost $1,418,613) (1) | 1,445,000 | 1,338,486 | ||||||
Lloyds Banking Group PLC | ||||||||
4.50%, 11/04/2024 | 2,825,000 | 2,868,076 | ||||||
4.58%, 12/10/2025 (Acquired 07/13/2015 through 07/28/2015, Cost $1,462,979) (1) | 1,490,000 | 1,494,008 | ||||||
Mid-America Apartments LP | ||||||||
6.05%, 09/01/2016 | 975,000 | 1,000,177 | ||||||
Morgan Stanley | ||||||||
3.80%, 04/29/2016 | 700,000 | 705,919 | ||||||
5.45%, 01/09/2017 | 2,500,000 | 2,595,043 | ||||||
5.55%, 04/27/2017 | 2,000,000 | 2,098,560 | ||||||
2.13%, 04/25/2018 | 1,420,000 | 1,423,179 | ||||||
4.88%, 11/01/2022 | 485,000 | 515,023 | ||||||
3.75%, 02/25/2023 | 3,000,000 | 3,074,736 | ||||||
4.00%, 07/23/2025 | 100,000 | 103,063 | ||||||
5.00%, 11/24/2025 | 5,325,000 | 5,656,029 | ||||||
4.35%, 09/08/2026 | 440,000 | 441,700 | ||||||
5.55%, 12/29/2049 | 1,280,000 | 1,280,000 | ||||||
Nationstar Mortgage LLC / Nationstar Capital Corp | ||||||||
7.88%, 10/01/2020 | 330,000 | 315,810 | ||||||
Nationwide Building Society | ||||||||
3.90%, 07/21/2025 (Acquired 07/14/2015 through 08/03/2015, Cost $1,460,969) (1) | 1,445,000 | 1,491,176 | ||||||
Nationwide Mutual Insurance Co | ||||||||
2.63%, 12/15/2024 (Acquired 09/29/2015, Cost $1,009,015) (1) | 1,050,000 | 1,015,569 | ||||||
Navient Corp | ||||||||
5.00%, 10/26/2020 | 240,000 | 210,600 | ||||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp | ||||||||
5.88%, 03/15/2022 (Acquired 07/13/2015 through 07/29/2015, Cost $1,593,007) (1) | 1,505,000 | 1,565,200 | ||||||
4.88%, 04/15/2045 (Acquired 07/22/2015 through 08/27/2015, Cost $1,576,113) (1) | 1,739,000 | 1,465,431 | ||||||
New York Life Global Funding | ||||||||
1.55%, 11/02/2018 (Acquired 10/27/2015, Cost $1,997,291) (1) | 2,000,000 | 1,983,964 | ||||||
Old Republic International Corp | ||||||||
4.88%, 10/01/2024 | 1,600,000 | 1,639,814 | ||||||
Post Apartment Homes LP | ||||||||
4.75%, 10/15/2017 | 91,000 | 94,633 | ||||||
Pricoa Global Funding I | ||||||||
2.55%, 11/24/2020 (Acquired 11/17/2015, Cost $1,555,000) (1) | 1,555,000 | 1,547,600 | ||||||
Primerica Inc | ||||||||
4.75%, 07/15/2022 | 2,632,000 | 2,782,682 | ||||||
Principal Financial Group Inc | ||||||||
4.70%, 05/15/2055 | 1,435,000 | 1,426,390 | ||||||
Prologis LP | ||||||||
3.75%, 11/01/2025 | 1,325,000 | 1,314,348 | ||||||
Protective Life Global Funding | ||||||||
2.70%, 11/25/2020 (Acquired 11/19/2015, Cost $1,948,317) (1) | 1,950,000 | 1,949,479 | ||||||
Provident Funding Associates LP / PFG Finance Corp | ||||||||
6.75%, 06/15/2021 (Acquired 07/13/2015 through 07/29/2015, Cost $231,558) (1) | 240,000 | 232,200 | ||||||
Quicken Loans Inc | ||||||||
5.75%, 05/01/2025 (Acquired 07/13/2015 through 11/12/2015, Cost $1,051,275) (1) | 1,090,000 | 1,038,225 | ||||||
Raymond James Financial Inc | ||||||||
5.63%, 04/01/2024 | 3,185,000 | 3,527,480 | ||||||
Realty Income Corp | ||||||||
5.95%, 09/15/2016 | 2,545,000 | 2,620,503 | ||||||
Reckson Operating Partnership LP | ||||||||
6.00%, 03/31/2016 | 1,750,000 | 1,766,335 | ||||||
Redwood Trust Inc | ||||||||
4.63%, 04/15/2018 | 20,000 | 18,625 | ||||||
Reinsurance Group of America Inc | ||||||||
5.00%, 06/01/2021 | 500,000 | 539,325 | ||||||
4.70%, 09/15/2023 | 1,000,000 | 1,054,814 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.15%, 10/15/2018 (Acquired 10/13/2015, Cost $1,573,940) (1) | 1,575,000 | 1,565,722 |
Table of Contents
Retail Opportunity Investments Partnership LP | ||||||||
5.00%, 12/15/2023 | 275,000 | 280,897 | ||||||
4.00%, 12/15/2024 | 410,000 | 387,360 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/2017 | 2,840,000 | 2,826,734 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
6.40%, 10/21/2019 | 550,000 | 610,299 | ||||||
6.13%, 12/15/2022 | 3,025,000 | 3,293,345 | ||||||
6.10%, 06/10/2023 | 1,410,000 | 1,515,641 | ||||||
6.00%, 12/19/2023 | 1,393,000 | 1,500,269 | ||||||
5.13%, 05/28/2024 | 3,748,000 | 3,798,759 | ||||||
Royal Bank of Scotland PLC/The | ||||||||
4.38%, 03/16/2016 | 2,750,000 | 2,767,941 | ||||||
Santander Holdings USA Inc | ||||||||
4.50%, 07/17/2025 | 2,200,000 | 2,239,833 | ||||||
Santander Issuances SAU | ||||||||
5.18%, 11/19/2025 | 2,400,000 | 2,363,933 | ||||||
Santander UK Group Holdings PLC | ||||||||
2.88%, 10/16/2020 | 1,490,000 | 1,479,885 | ||||||
4.75%, 09/15/2025 (Acquired 09/08/2015, Cost $1,022,237) (1) | 1,025,000 | 1,011,477 | ||||||
Santander UK PLC | ||||||||
5.00%, 11/07/2023 (Acquired 07/13/2015 through 08/28/2015, Cost $5,322,563) (1) | 5,143,000 | 5,353,611 | ||||||
Senior Housing Properties Trust | ||||||||
6.75%, 12/15/2021 | 603,000 | 679,012 | ||||||
Simon Property Group LP | ||||||||
2.50%, 09/01/2020 | 1,530,000 | 1,531,389 | ||||||
SL Green Realty Corp | ||||||||
5.00%, 08/15/2018 | 1,687,000 | 1,770,360 | ||||||
7.75%, 03/15/2020 | 1,047,000 | 1,222,403 | ||||||
Societe Generale SA | ||||||||
4.25%, 04/14/2025 (Acquired 07/13/2015 through 08/31/2015, Cost $4,063,044) (1) | 4,300,000 | 4,060,236 | ||||||
Standard Chartered PLC | ||||||||
1.70%, 04/17/2018 (Acquired 08/03/2015, Cost $969,642) (1) | 970,000 | 960,184 | ||||||
5.20%, 01/26/2024 (Acquired 07/22/2015, Cost $2,734,186) (1) | 2,600,000 | 2,673,439 | ||||||
Stifel Financial Corp | ||||||||
4.25%, 07/18/2024 | 880,000 | 874,505 | ||||||
SVB Financial Group | ||||||||
5.38%, 09/15/2020 | 224,000 | 245,159 | ||||||
Synchrony Financial | ||||||||
3.00%, 08/15/2019 | 1,630,000 | 1,628,057 | ||||||
TD Ameritrade Holding Corp | ||||||||
2.95%, 04/01/2022 | 967,000 | 958,492 | ||||||
3.63%, 04/01/2025 | 3,073,000 | 3,112,273 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.38%, 09/15/2054 (Acquired 11/09/2015, Cost $2,431,269) (1) | 2,500,000 | 2,447,460 | ||||||
UBS Group Funding Jersey Ltd | ||||||||
4.13%, 09/24/2025 (Acquired 09/21/2015, Cost $2,700,054) (1) | 2,705,000 | 2,703,886 | ||||||
Unum Group | ||||||||
3.88%, 11/05/2025 | 2,500,000 | 2,461,013 | ||||||
Ventas Realty LP | ||||||||
1.25%, 04/17/2017 | 3,500,000 | 3,474,408 | ||||||
Visa Inc | ||||||||
3.15%, 12/14/2025 | 1,170,000 | 1,172,472 | ||||||
4.30%, 12/14/2045 | 930,000 | 942,637 | ||||||
Voya Financial Inc | ||||||||
5.65%, 05/15/2053 | 855,000 | 842,175 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC | ||||||||
2.70%, 09/17/2019 (Acquired 07/31/2015 through 09/11/2015, Cost $2,888,616) (1) | 2,889,000 | 2,865,949 | ||||||
3.25%, 10/05/2020 (Acquired 09/28/2015 through 09/29/2015, Cost $642,886) (1) | 645,000 | 647,727 | ||||||
Wells Fargo & Co | ||||||||
2.60%, 07/22/2020 | 310,000 | 309,337 | ||||||
5.88%, 12/31/2049 | 348,000 | 366,270 | ||||||
Wells Fargo Bank NA | ||||||||
0.67%, 03/15/2016 | 1,775,000 | 1,774,551 | ||||||
Welltower Inc | ||||||||
3.63%, 03/15/2016 | 600,000 | 602,606 | ||||||
6.20%, 06/01/2016 | 2,550,000 | 2,599,544 | ||||||
4.00%, 06/01/2025 | 2,190,000 | 2,154,579 | ||||||
ZFS Finance USA Trust II | ||||||||
6.45%, 12/15/2065 (Acquired 07/28/2015 through 11/30/2015, Cost $2,103,266) (1) | 2,080,000 | 2,101,840 | ||||||
Zions Bancorporation | ||||||||
5.80%, 12/29/2049 | 54,000 | 51,705 | ||||||
|
| |||||||
328,490,849 | ||||||||
|
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Table of Contents
Industrials - 2.13% | ||||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 08/04/2015, Cost $727,612) (1) | 750,000 | 722,681 | ||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc | ||||||||
3.34%, 12/15/2019 (Acquired 09/21/2015, Cost $394,372) (1) | 400,000 | 391,000 | ||||||
Arrow Electronics Inc | ||||||||
4.00%, 04/01/2025 | 2,150,000 | 2,066,958 | ||||||
Autoridad del Canal de Panama | ||||||||
4.95%, 07/29/2035 (Acquired 09/24/2015, Cost $196,477) (1) | 200,000 | 206,000 | ||||||
Aviation Capital Group Corp | ||||||||
6.75%, 04/06/2021 (Acquired 07/22/2015, Cost $2,733,137) (1) | 2,425,000 | 2,716,000 | ||||||
Ball Corp | ||||||||
4.38%, 12/15/2020 | 1,457,000 | 1,479,766 | ||||||
Brambles USA Inc | ||||||||
4.13%, 10/23/2025 (Acquired 10/19/2015, Cost $833,003) (1) | 835,000 | 839,779 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
4.55%, 09/01/2044 | 1,400,000 | 1,352,196 | ||||||
CCCI Treasure Ltd | ||||||||
3.50%, 12/29/2049 | 200,000 | 196,430 | ||||||
CNH Industrial Capital LLC | ||||||||
3.63%, 04/15/2018 | 965,000 | 950,042 | ||||||
CRCC Yupeng Ltd | ||||||||
3.95%, 02/28/2049 | 200,000 | 202,432 | ||||||
Embraer Overseas Ltd | ||||||||
5.70%, 09/16/2023 (Acquired 07/13/2015, Cost $1,428,587) (1) | 1,350,000 | 1,312,875 | ||||||
Exelis Inc | ||||||||
4.25%, 10/01/2016 | 180,000 | 183,233 | ||||||
5.55%, 10/01/2021 | 150,000 | 164,496 | ||||||
Flextronics International Ltd | ||||||||
5.00%, 02/15/2023 | 2,095,000 | 2,123,806 | ||||||
FLIR Systems Inc | ||||||||
3.75%, 09/01/2016 | 1,402,000 | 1,422,266 | ||||||
General Electric Co | ||||||||
4.00%, 12/29/2049 | 493,800 | 493,800 | ||||||
4.10%, 12/29/2049 | 2,368,600 | 2,362,679 | ||||||
Hanson Ltd | ||||||||
6.13%, 08/15/2016 | 195,000 | 200,119 | ||||||
Harris Corp | ||||||||
3.83%, 04/27/2025 | 1,135,000 | 1,117,999 | ||||||
5.05%, 04/27/2045 | 665,000 | 651,106 | ||||||
Jabil Circuit Inc | ||||||||
4.70%, 09/15/2022 | 2,120,000 | 2,056,400 | ||||||
Keysight Technologies Inc | ||||||||
4.55%, 10/30/2024 | 1,450,000 | 1,394,072 | ||||||
Lockheed Martin Corp | ||||||||
3.55%, 01/15/2026 | 460,000 | 462,362 | ||||||
3.80%, 03/01/2045 | 1,645,000 | 1,457,082 | ||||||
Martin Marietta Materials Inc | ||||||||
4.25%, 07/02/2024 | 795,000 | 780,632 | ||||||
Masco Corp | ||||||||
4.45%, 04/01/2025 | 2,150,000 | 2,107,000 | ||||||
Molex Electronic Technologies LLC | ||||||||
2.88%, 04/15/2020 (Acquired 07/27/2015 through 07/29/2015, Cost $909,728) (1) | 920,000 | 896,393 | ||||||
NCI Building Systems Inc | ||||||||
8.25%, 01/15/2023 (Acquired 07/13/2015 through 07/22/2015, Cost $126,847) (1) | 120,000 | 126,000 | ||||||
Owens Corning | ||||||||
4.20%, 12/01/2024 | 2,775,000 | 2,701,007 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp | ||||||||
2.50%, 03/15/2016 (Acquired 07/31/2015, Cost $1,182,788) (1) | 1,180,000 | 1,182,047 | ||||||
3.38%, 03/15/2018 (Acquired 07/14/2015, Cost $369,453) (1) | 360,000 | 365,723 | ||||||
2.50%, 06/15/2019 (Acquired 07/22/2015, Cost $435,190) (1) | 440,000 | 432,880 | ||||||
4.25%, 01/17/2023 (Acquired 07/22/2015, Cost $721,192) (1) | 710,000 | 714,679 | ||||||
Reliance Intermediate Holdings LP | ||||||||
6.50%, 04/01/2023 (Acquired 07/13/2015 through 08/17/2015, Cost $228,321) (1) | 220,000 | 228,800 | ||||||
Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | ||||||||
5.75%, 10/15/2020 | 775,000 | 788,322 | ||||||
Roper Technologies Inc | ||||||||
3.00%, 12/15/2020 | 550,000 | 547,757 | ||||||
RTI International Metals Inc | ||||||||
1.63%, 10/15/2019 | 800,000 | 818,500 | ||||||
SBA Tower Trust | ||||||||
2.90%, 10/15/2019 (Acquired 07/14/2015 through 07/30/2015, Cost $1,670,466) (1) | 1,650,000 | 1,612,693 | ||||||
3.87%, 10/15/2024 (Acquired 09/02/2015, Cost $836,750) (1) | 830,000 | 820,081 | ||||||
Terex Corp | ||||||||
6.00%, 05/15/2021 | 240,000 | 220,800 |
Table of Contents
Trimble Navigation Ltd | ||||||||
4.75%, 12/01/2024 | 2,241,000 | 2,227,892 | ||||||
Vulcan Materials Co | ||||||||
7.00%, 06/15/2018 | 185,000 | 205,350 | ||||||
7.50%, 06/15/2021 | 1,125,000 | 1,310,625 | ||||||
4.50%, 04/01/2025 | 2,350,000 | 2,326,500 | ||||||
|
| |||||||
46,939,260 | ||||||||
|
| |||||||
Technology - 1.49% | ||||||||
Apple Inc | ||||||||
2.40%, 05/03/2023 | 2,780,000 | 2,710,322 | ||||||
4.38%, 05/13/2045 | 785,000 | 792,034 | ||||||
Autodesk Inc | ||||||||
3.60%, 12/15/2022 | 650,000 | 631,686 | ||||||
4.38%, 06/15/2025 | 1,410,000 | 1,385,710 | ||||||
Cadence Design Systems Inc | ||||||||
4.38%, 10/15/2024 | 2,326,000 | 2,309,553 | ||||||
Fidelity National Information Services Inc | ||||||||
3.63%, 10/15/2020 | 2,794,000 | 2,831,610 | ||||||
5.00%, 03/15/2022 | 655,000 | 680,789 | ||||||
4.50%, 10/15/2022 | 1,395,000 | 1,420,552 | ||||||
5.00%, 10/15/2025 | 4,775,000 | 4,928,764 | ||||||
First Data Corp | ||||||||
5.38%, 08/15/2023 (Acquired 08/21/2015 through 09/25/2015, Cost $1,005,964) (1) | 1,000,000 | 1,005,000 | ||||||
7.00%, 12/01/2023 (Acquired 10/29/2015, Cost $125,000) (1) | 125,000 | 125,000 | ||||||
Hewlett Packard Enterprise Co | ||||||||
4.94%, 10/15/2025 (Acquired 09/30/2015 through 10/13/2015, Cost $2,121,697) (1) | 2,130,000 | 2,091,833 | ||||||
KLA-Tencor Corp | ||||||||
4.65%, 11/01/2024 | 2,500,000 | 2,516,697 | ||||||
Microsoft Corp | ||||||||
3.75%, 02/12/2045 | 650,000 | 598,920 | ||||||
4.45%, 11/03/2045 | 1,350,000 | 1,392,245 | ||||||
MSCI Inc | ||||||||
5.75%, 08/15/2025 (Acquired 08/10/2015, Cost $539,264) (1) | 534,000 | 547,350 | ||||||
NXP BV / NXP Funding LLC | ||||||||
5.75%, 03/15/2023 (Acquired 08/21/2015, Cost $285,268) (1) | 275,000 | 283,938 | ||||||
Rovi Corp | ||||||||
0.50%, 03/01/2020 (Acquired 08/28/2015, Cost $836,389) (1) | 1,050,000 | 917,438 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 06/01/2023 | 257,000 | 224,969 | ||||||
4.75%, 01/01/2025 | 3,999,000 | 3,331,811 | ||||||
4.88%, 06/01/2027 (Acquired 07/22/2015 through 09/09/2015, Cost $1,151,354) (1) | 1,206,000 | 925,997 | ||||||
5.75%, 12/01/2034 (Acquired 07/13/2015 through 07/29/2015, Cost $1,271,928) (1) | 1,315,000 | 920,183 | ||||||
TSMC Global Ltd | ||||||||
1.63%, 04/03/2018 (Acquired 07/13/2015, Cost $311,019) (1) | 314,000 | 307,791 | ||||||
|
| |||||||
32,880,192 | ||||||||
|
| |||||||
Utilities - 1.44% | ||||||||
AEP Texas Central Co | ||||||||
3.85%, 10/01/2025 (Acquired 09/15/2015, Cost $1,485,672) (1) | 1,500,000 | 1,517,016 | ||||||
Cleco Power LLC | ||||||||
6.00%, 12/01/2040 | 1,000,000 | 1,123,350 | ||||||
Dominion Resources Inc/VA | ||||||||
3.90%, 10/01/2025 | 2,480,000 | 2,484,228 | ||||||
Duke Energy Progress LLC | ||||||||
4.10%, 03/15/2043 | 900,000 | 872,745 | ||||||
4.20%, 08/15/2045 | 1,000,000 | 985,200 | ||||||
Duquesne Light Holdings Inc | ||||||||
6.40%, 09/15/2020 (Acquired 07/21/2015, Cost $456,200) (1) | 400,000 | 452,984 | ||||||
5.90%, 12/01/2021 (Acquired 10/01/2015, Cost $1,702,062) (1) | 1,500,000 | 1,673,216 | ||||||
Enel Finance International NV | ||||||||
6.00%, 10/07/2039 (Acquired 07/15/2015, Cost $2,786,467) (1) | 2,445,000 | 2,734,004 | ||||||
Entergy Corp | ||||||||
5.13%, 09/15/2020 | 1,250,000 | 1,343,735 | ||||||
Exelon Corp | ||||||||
2.85%, 06/15/2020 | 1,110,000 | 1,104,236 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.35%, 01/15/2025 (Acquired 07/21/2015 through 08/06/2015, Cost $1,897,801) (1) | 1,850,000 | 1,876,309 | ||||||
Florida Power & Light Co | ||||||||
4.05%, 10/01/2044 | 350,000 | 346,443 | ||||||
Indianapolis Power & Light Co | ||||||||
4.70%, 09/01/2045 (Acquired 09/08/2015, Cost $994,772) (1) | 1,000,000 | 1,003,187 | ||||||
IPALCO Enterprises Inc | ||||||||
5.00%, 05/01/2018 | 245,000 | 256,638 |
Table of Contents
Jersey Central Power & Light Co | ||||||||
4.80%, 06/15/2018 | 2,000,000 | 2,094,806 | ||||||
Kansas City Power & Light Co | ||||||||
3.65%, 08/15/2025 | 1,700,000 | 1,712,116 | ||||||
NextEra Energy Capital Holdings Inc | ||||||||
2.06%, 09/01/2017 | 1,000,000 | 1,000,911 | ||||||
NGL Energy Partners LP / NGL Energy Finance Corp | ||||||||
5.13%, 07/15/2019 | 1,180,000 | 932,200 | ||||||
Northern States Power Co/MN | ||||||||
4.00%, 08/15/2045 | 1,000,000 | 977,995 | ||||||
NRG Energy Inc | ||||||||
6.63%, 03/15/2023 | 300,000 | 260,250 | ||||||
Origin Energy Finance Ltd | ||||||||
3.50%, 10/09/2018 (Acquired 08/05/2015, Cost $1,180,285) (1) | 1,160,000 | 1,131,298 | ||||||
Perusahaan Gas Negara Persero Tbk | ||||||||
5.13%, 05/16/2024 | 200,000 | 191,299 | ||||||
PPL WEM Ltd / Western Power Distribution Ltd | ||||||||
3.90%, 05/01/2016 (Acquired 07/13/2015, Cost $166,316) (1) | 165,000 | 165,660 | ||||||
5.38%, 05/01/2021 (Acquired 07/14/2015 through 07/24/2015, Cost $885,164) (1) | 805,000 | 878,381 | ||||||
Public Service Co of New Mexico | ||||||||
3.85%, 08/01/2025 | 2,000,000 | 1,979,848 | ||||||
Sempra Energy | ||||||||
2.85%, 11/15/2020 | 375,000 | 373,880 | ||||||
Southern California Gas Co | ||||||||
3.20%, 06/15/2025 | 1,175,000 | 1,175,430 | ||||||
Southern Power Co | ||||||||
4.15%, 12/01/2025 | 580,000 | 579,306 | ||||||
Southwestern Electric Power Co | ||||||||
3.90%, 04/01/2045 | 400,000 | 350,014 | ||||||
|
| |||||||
31,576,685 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $812,070,610) | $ | 796,728,348 | ||||||
|
| |||||||
Government Related - 25.22% | ||||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | $ | 650,000 | $ | 876,005 | ||||
City of New York NY | ||||||||
6.27%, 12/01/2037 | 2,050,000 | 2,625,948 | ||||||
Colombia Government International Bond | ||||||||
4.00%, 02/26/2024 | 400,000 | 381,000 | ||||||
East Bay Municipal Utility District Water System Revenue | ||||||||
5.87%, 06/01/2040 | 210,000 | 262,189 | ||||||
European Investment Bank | ||||||||
1.75%, 06/17/2019 | 2,850,000 | 2,858,425 | ||||||
Indonesia Government International Bond | ||||||||
4.75%, 01/08/2026 (Acquired 12/01/2015, Cost $298,805) (1) | 300,000 | 296,299 | ||||||
International Bank for Reconstruction & Development | ||||||||
4.25%, 02/05/2016 | CLP 995,000,000 | 1,402,712 | ||||||
4.50%, 08/03/2017 | COP 10,610,000,000 | 3,275,413 | ||||||
International Finance Corp | ||||||||
7.80%, 06/03/2019 | INR 264,360,000 | 4,063,127 | ||||||
Metropolitan Transportation Authority | ||||||||
7.34%, 11/15/2039 | 475,000 | 696,364 | ||||||
Mexican Bonos | ||||||||
7.75%, 12/14/2017 | MXN 205,850 | 1,276,894 | ||||||
4.75%, 06/14/2018 | MXN 402,132 | 2,344,452 | ||||||
6.50%, 06/10/2021 | MXN 70,550 | 423,486 | ||||||
8.50%, 11/18/2038 | MXN 6,895,000 | 470,024 | ||||||
7.75%, 11/13/2042 | MXN 677,500 | 4,295,514 | ||||||
Mexican Udibonos | ||||||||
4.50%, 12/04/2025 | MXN 3,982,710 | 253,964 | ||||||
Mexico Government International Bond | ||||||||
4.00%, 10/02/2023 | 696,000 | 705,048 | ||||||
3.60%, 01/30/2025 | 1,060,000 | 1,032,970 | ||||||
Morocco Government International Bond | ||||||||
4.25%, 12/11/2022 | 495,000 | 490,050 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 1,000,000 | 1,374,460 | ||||||
New York City Water & Sewer System | ||||||||
5.95%, 06/15/2042 | 560,000 | 729,322 | ||||||
5.88%, 06/15/2044 | 500,000 | 649,260 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.35%, 09/10/2024 | 400,000 | 382,368 | ||||||
Poland Government Bond | ||||||||
5.75%, 10/25/2021 | PLN 2,275,000 | 683,025 |
Table of Contents
Province of Manitoba Canada | ||||||||
3.05%, 05/14/2024 | 430,000 | 437,531 | ||||||
Province of Ontario Canada | ||||||||
3.15%, 12/15/2017 | 2,845,000 | 2,938,615 | ||||||
1.20%, 02/14/2018 | 2,850,000 | 2,833,575 | ||||||
2.50%, 09/10/2021 | 945,000 | 944,781 | ||||||
State of Texas | ||||||||
4.68%, 04/01/2040 | 410,000 | 457,154 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.63%, 01/15/2024(2) | 4,724,548 | 4,663,866 | ||||||
0.25%, 01/15/2025(2) | 6,647,473 | 6,334,177 | ||||||
0.38%, 07/15/2025(2) | 9,848,773 | 9,519,036 | ||||||
0.75%, 02/15/2045(2) | 20,306,251 | 17,629,786 | ||||||
United States Treasury Note/Bond | ||||||||
0.25%, 02/29/2016(5) | 500,000 | 499,958 | ||||||
0.50%, 01/31/2017 | 1,437,000 | 1,431,710 | ||||||
0.88%, 01/31/2017 | 9,192,000 | 9,192,984 | ||||||
0.88%, 02/28/2017 | 1,075,000 | 1,075,460 | ||||||
0.50%, 04/30/2017 | 8,117,000 | 8,074,540 | ||||||
0.63%, 05/31/2017 | 39,505,000 | 39,331,415 | ||||||
0.63%, 06/30/2017 | 7,798,000 | 7,758,901 | ||||||
0.75%, 06/30/2017 | 1,709,000 | 1,703,726 | ||||||
0.88%, 07/15/2017 | 534,000 | 533,132 | ||||||
0.63%, 07/31/2017 | 26,255,000 | 26,109,180 | ||||||
1.00%, 09/15/2017 | 57,000 | 56,971 | ||||||
0.88%, 10/15/2017 | 97,000 | 96,715 | ||||||
0.75%, 10/31/2017 | 68,352,000 | 67,993,425 | ||||||
1.00%, 12/15/2017 | 11,545,000 | 11,530,453 | ||||||
0.75%, 12/31/2017 | 702,000 | 697,314 | ||||||
1.00%, 12/31/2017 | 11,785,000 | 11,771,600 | ||||||
0.88%, 01/31/2018 | 1,118,000 | 1,112,517 | ||||||
0.75%, 03/31/2018 | 842,000 | 834,539 | ||||||
2.38%, 05/31/2018 | 1,131,000 | 1,163,150 | ||||||
0.88%, 07/15/2018 | 81,000 | 80,277 | ||||||
1.38%, 07/31/2018 | 3,693,000 | 3,707,702 | ||||||
1.50%, 08/31/2018 | 12,998,000 | 13,086,464 | ||||||
1.00%, 09/15/2018 | 11,144,000 | 11,065,992 | ||||||
1.63%, 07/31/2019 | 7,022,000 | 7,047,757 | ||||||
1.75%, 09/30/2019 | 4,278,000 | 4,307,822 | ||||||
1.50%, 10/31/2019 | 6,025,000 | 6,007,317 | ||||||
1.50%, 11/30/2019 | 33,481,000 | 33,354,107 | ||||||
1.63%, 12/31/2019 | 1,280,000 | 1,280,321 | ||||||
1.38%, 03/31/2020 | 141,000 | 139,293 | ||||||
1.38%, 09/30/2020 | 7,346,000 | 7,220,846 | ||||||
1.38%, 10/31/2020 | 41,910,000 | 41,179,886 | ||||||
1.63%, 11/30/2020 | 13,045,000 | 12,971,074 | ||||||
1.75%, 12/31/2020 | 13,745,000 | 13,733,935 | ||||||
2.00%, 08/31/2021 | 7,835,000 | 7,871,159 | ||||||
2.13%, 09/30/2021 | 3,651,000 | 3,690,398 | ||||||
2.25%, 11/15/2024 | 3,027,000 | 3,025,226 | ||||||
2.00%, 08/15/2025 | 2,451,000 | 2,389,686 | ||||||
2.25%, 11/15/2025 | 37,496,000 | 37,412,084 | ||||||
3.75%, 11/15/2043 | 709,000 | 815,067 | ||||||
3.63%, 02/15/2044 | 5,113,000 | 5,740,723 | ||||||
3.38%, 05/15/2044 | 81,000 | 86,762 | ||||||
3.13%, 08/15/2044 | 6,600,000 | 6,731,941 | ||||||
3.00%, 11/15/2044 | 1,810,000 | 1,799,889 | ||||||
2.50%, 02/15/2045 | 796,000 | 712,734 | ||||||
3.00%, 05/15/2045 | 31,203,000 | 31,000,617 | ||||||
2.88%, 08/15/2045 | 1,440,000 | 1,395,844 | ||||||
3.00%, 11/15/2045 | 28,996,000 | 28,854,268 | ||||||
University of California | ||||||||
4.13%, 05/15/2045 | 190,000 | 187,104 | ||||||
|
| |||||||
Total Government Related (Cost $559,284,642) | $ | 555,470,825 | ||||||
|
| |||||||
Mortgage Backed Obligations - 28.53% | ||||||||
Alternative Loan Trust 2006-HY12 | ||||||||
3.58%, 08/25/2036 | $ | 658,033 | $ | 629,343 | ||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
5.41%, 09/10/2047 | 2,699,739 | 2,730,951 | ||||||
Banc of America Commercial Mortgage Trust 2006-6 | ||||||||
5.42%, 10/10/2045 | 3,124,399 | 3,168,045 |
Table of Contents
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.49%, 02/10/2051 | 1,759,025 | 1,821,832 | ||||||
Banc of America Funding 2015-R7 Trust | ||||||||
1.10%, 09/26/2046 | 2,701,821 | 2,611,495 | ||||||
Bear Stearns ARM Trust 2003-3 | ||||||||
2.61%, 05/25/2033 | 1,529,603 | 1,531,295 | ||||||
Citigroup Commercial Mortgage Trust 2012-GC8 | ||||||||
1.81%, 09/10/2045 | 2,000,000 | 1,997,708 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||
2.69%, 02/10/2048 | 1,700,000 | 1,718,052 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
3.78%, 09/10/2058 | 340,000 | 347,405 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC35 | ||||||||
3.82%, 11/10/2048 | 640,000 | 655,643 | ||||||
Citigroup Commercial Mortgage Trust 2015-P1 | ||||||||
3.72%, 09/15/2048 | 1,200,000 | 1,222,870 | ||||||
4.49%, 09/15/2048 | 660,000 | 631,311 | ||||||
Comm 2014-UBS2 Mortgage Trust | ||||||||
5.15%, 03/10/2047 | 800,000 | 813,845 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.70%, 08/10/2055 | 1,400,000 | 1,422,835 | ||||||
COMM 2015-CCRE26 Mortgage Trust | ||||||||
3.63%, 10/10/2048 | 310,000 | 312,543 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
3.15%, 07/10/2050 | 890,000 | 913,637 | ||||||
3.90%, 07/10/2050 | 885,000 | 911,114 | ||||||
4.29%, 07/10/2050 | 1,075,000 | 1,117,932 | ||||||
4.59%, 07/10/2050 | 440,000 | 438,044 | ||||||
Commercial Mortgage Trust 2007-GG9 | ||||||||
5.48%, 03/10/2039 (Acquired 07/14/2015 through 07/29/2015, Cost $1,764,266) (1) | 1,695,000 | 1,735,987 | ||||||
CSMC Trust 2015-GLPB | ||||||||
3.64%, 11/15/2034 (Acquired 12/04/2015, Cost $865,119) (1) | 840,000 | 862,202 | ||||||
3.94%, 11/15/2034 (Acquired 12/04/2015, Cost $573,150) (1) | 560,000 | 571,219 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
3.39%, 07/10/2044 (Acquired 07/30/2015, Cost $3,332,543) (1) | 3,287,776 | 3,298,971 | ||||||
DBUBS 2011-LC3 Mortgage Trust | ||||||||
3.64%, 08/10/2044 | 779,913 | 782,889 | ||||||
Eleven Madison Trust 2015-11MD Mortgage Trust | ||||||||
3.55%, 09/10/2035 (Acquired 09/15/2015, Cost $217,958) (1) | 215,000 | 217,310 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
1.69%, 07/25/2025 | 359,428 | 359,534 | ||||||
1.69%, 07/25/2025 | 796,711 | 796,412 | ||||||
Fannie Mae Pool | ||||||||
3.74%, 05/01/2018 | 1,180,082 | 1,229,799 | ||||||
4.52%, 08/01/2019 | 1,423,277 | 1,534,984 | ||||||
4.91%, 10/01/2019 | 1,817,812 | 1,995,427 | ||||||
3.54%, 10/01/2020 | 1,250,000 | 1,316,596 | ||||||
3.92%, 10/01/2020 | 259,880 | 277,548 | ||||||
3.77%, 12/01/2020 | 1,842,545 | 1,955,743 | ||||||
4.30%, 01/01/2021 | 1,403,836 | 1,524,249 | ||||||
4.30%, 07/01/2021 | 2,999,379 | 3,285,941 | ||||||
3.68%, 10/01/2021 | 1,195,726 | 1,271,864 | ||||||
3.02%, 04/01/2022 | 2,272,064 | 2,335,117 | ||||||
2.40%, 10/01/2022 | 1,322,420 | 1,312,669 | ||||||
2.28%, 11/01/2022 | 1,666,396 | 1,645,431 | ||||||
3.67%, 08/01/2023 | 786,673 | 833,129 | ||||||
3.95%, 10/01/2024 | 724,267 | 777,023 | ||||||
2.81%, 04/01/2025 | 980,000 | 968,211 | ||||||
4.15%, 12/01/2025 | 1,410,000 | 1,533,625 | ||||||
4.59%, 08/01/2026 | 1,180,027 | 1,319,565 | ||||||
4.19%, 11/01/2026 | 1,205,833 | 1,308,222 | ||||||
4.00%, 05/01/2027 | 2,186,042 | 2,318,102 | ||||||
2.50%, 01/15/2028 (3) | 3,815,000 | 3,844,340 | ||||||
4.08%, 01/01/2029 | 1,447,609 | 1,557,081 | ||||||
3.00%, 05/01/2030 | 380,177 | 391,903 | ||||||
2.50%, 07/01/2030 | 1,901,565 | 1,918,651 | ||||||
2.50%, 07/01/2030 | 1,060,524 | 1,070,053 | ||||||
3.00%, 07/01/2030 | 1,616,290 | 1,666,143 | ||||||
2.50%, 08/01/2030 | 2,658,055 | 2,681,926 | ||||||
3.00%, 09/01/2030 | 568,200 | 585,837 | ||||||
3.50%, 05/01/2033 | 18,378,891 | 19,250,291 | ||||||
3.00%, 10/01/2033 | 3,697,143 | 3,794,712 | ||||||
5.50%, 05/01/2034 | 3,792,297 | 4,267,452 |
Table of Contents
5.50%, 07/01/2034 | 927,553 | 1,042,411 | ||||||
5.00%, 02/01/2036 | 3,189,959 | 3,519,295 | ||||||
6.00%, 06/01/2036 | 31,339 | 35,461 | ||||||
5.50%, 07/01/2036 | 371,722 | 418,176 | ||||||
6.00%, 07/01/2038 | 2,849,535 | 3,240,964 | ||||||
5.50%, 12/01/2039 | 740,625 | 825,828 | ||||||
5.00%, 05/01/2040 | 81,948 | 90,155 | ||||||
6.50%, 05/01/2040 | 1,136,142 | 1,304,115 | ||||||
5.00%, 06/01/2040 | 24,239 | 26,708 | ||||||
4.50%, 08/01/2040 | 232,562 | 251,655 | ||||||
4.50%, 10/01/2040 | 72,300 | 78,231 | ||||||
4.50%, 01/01/2041 | 51,078 | 55,267 | ||||||
4.50%, 01/01/2041 | 14,674,118 | 16,143,875 | ||||||
3.50%, 01/15/2041 (3) | 31,635,000 | 32,628,219 | ||||||
4.00%, 01/15/2041 (3) | 10,385,000 | 10,986,402 | ||||||
4.50%, 01/15/2041 (3) | 7,300,000 | 7,881,746 | ||||||
4.00%, 02/01/2041 | 588,214 | 624,205 | ||||||
4.50%, 02/01/2041 | 807,726 | 874,007 | ||||||
4.50%, 04/01/2041 | 188,599 | 204,066 | ||||||
5.50%, 06/01/2041 | 807,720 | 914,459 | ||||||
4.50%, 08/01/2041 | 94,742 | 102,490 | ||||||
5.00%, 08/01/2041 | 763,637 | 843,476 | ||||||
4.50%, 11/01/2041 | 6,210,096 | 6,826,204 | ||||||
4.50%, 11/01/2041 | 1,598,934 | 1,729,595 | ||||||
4.00%, 01/01/2042 | 104,826 | 111,152 | ||||||
4.00%, 01/01/2042 | 6,112,321 | 6,483,380 | ||||||
4.00%, 02/01/2042 | 171,857 | 182,325 | ||||||
5.50%, 02/01/2042 | 3,522,906 | 3,926,288 | ||||||
5.00%, 03/01/2042 | 1,283,832 | 1,421,440 | ||||||
3.50%, 06/01/2042 | 173,339 | 179,062 | ||||||
3.50%, 06/01/2042 | 118,014 | 121,910 | ||||||
3.50%, 07/01/2042 | 318,876 | 329,385 | ||||||
3.50%, 07/01/2042 | 162,966 | 168,329 | ||||||
3.50%, 08/01/2042 | 326,525 | 337,262 | ||||||
2.50%, 12/01/2042 | 980,812 | 947,527 | ||||||
3.50%, 12/01/2042 | 3,011,848 | 3,111,277 | ||||||
3.50%, 01/01/2043 | 466,158 | 481,569 | ||||||
3.00%, 01/15/2043 (3) | 21,670,000 | 21,662,461 | ||||||
2.50%, 04/01/2043 | 873,433 | 843,696 | ||||||
3.00%, 04/01/2043 | 1,378,715 | 1,381,266 | ||||||
3.50%, 01/01/2044 | 607,110 | 627,143 | ||||||
4.50%, 06/01/2044 | 5,572,363 | 6,032,285 | ||||||
4.50%, 06/01/2044 | 1,615,284 | 1,748,121 | ||||||
3.00%, 05/01/2045 | 2,149,997 | 2,151,563 | ||||||
3.50%, 05/01/2045 | 1,632,366 | 1,686,778 | ||||||
3.50%, 05/01/2045 | 4,823,578 | 4,982,873 | ||||||
3.00%, 06/01/2045 | 7,730,339 | 7,738,372 | ||||||
4.50%, 06/01/2045 | 630,268 | 693,151 | ||||||
3.00%, 07/01/2045 | 9,345,311 | 9,356,474 | ||||||
4.00%, 07/01/2045 | 2,237,741 | 2,369,036 | ||||||
4.00%, 07/01/2045 | 3,200,130 | 3,387,892 | ||||||
4.00%, 09/01/2045 | 4,210,414 | 4,483,317 | ||||||
4.00%, 09/01/2045 | 345,883 | 366,196 | ||||||
3.50%, 10/01/2045 | 650,549 | 672,069 | ||||||
4.00%, 10/01/2045 | 351,581 | 372,229 | ||||||
4.00%, 12/01/2045 | 2,082,265 | 2,209,376 | ||||||
4.00%, 12/01/2045 | 2,070,000 | 2,199,552 | ||||||
4.00%, 12/01/2045 | 295,000 | 313,008 | ||||||
Fannie Mae-Aces | ||||||||
0.50%, 10/25/2021 | 1,323,753 | 1,314,208 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
0.57%, 04/25/2020 | 2,973,514 | 2,973,755 | ||||||
0.74%, 07/25/2020 | 1,868,876 | 1,878,875 | ||||||
0.82%, 07/25/2020 | 2,153,212 | 2,162,839 | ||||||
3.16%, 05/25/2025 | 770,000 | 776,167 | ||||||
Freddie Mac Gold Pool | ||||||||
2.50%, 07/01/2030 | 2,364,351 | 2,387,678 | ||||||
3.00%, 08/01/2030 | 1,703,365 | 1,756,812 | ||||||
2.50%, 09/01/2030 | 5,706,700 | 5,763,005 | ||||||
5.50%, 08/01/2041 | 14,155,624 | 15,974,167 | ||||||
4.00%, 09/01/2041 | 23,501,364 | 25,119,139 | ||||||
5.00%, 11/01/2041 | 2,400,464 | 2,627,033 | ||||||
4.50%, 07/01/2042 | 1,559,206 | 1,679,478 |
Table of Contents
3.00%, 02/01/2043 | 1,370,961 | 1,371,401 | ||||||
3.50%, 10/01/2043 | 1,608,030 | 1,656,187 | ||||||
3.50%, 01/01/2044 | 1,781,710 | 1,835,658 | ||||||
4.50%, 05/01/2044 | 763,709 | 839,831 | ||||||
3.00%, 06/01/2045 | �� | 1,675,044 | 1,673,048 | |||||
3.50%, 06/01/2045 | 1,103,867 | 1,139,475 | ||||||
3.50%, 06/01/2045 | 8,462,604 | 8,715,689 | ||||||
4.50%, 06/01/2045 | 1,244,845 | 1,370,325 | ||||||
3.00%, 07/01/2045 | 4,101,616 | 4,096,729 | ||||||
3.50%, 07/01/2045 | 8,432,357 | 8,684,537 | ||||||
4.00%, 07/01/2045 | 1,387,300 | 1,466,441 | ||||||
3.50%, 08/01/2045 | 5,827,807 | 6,023,027 | ||||||
4.00%, 09/01/2045 | 3,660,732 | 3,869,290 | ||||||
3.50%, 10/01/2045 | 7,433,846 | 7,677,341 | ||||||
3.50%, 10/01/2045 | 1,698,841 | 1,749,647 | ||||||
4.00%, 10/01/2045 | 3,663,145 | 3,871,839 | ||||||
4.00%, 11/01/2045 | 3,689,779 | 3,899,990 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
2.39%, 02/25/2024 | 600,000 | 597,988 | ||||||
2.59%, 08/25/2024 | 701,920 | 709,395 | ||||||
2.84%, 10/25/2024 | 700,000 | 709,405 | ||||||
2.59%, 01/25/2025 | 705,000 | 715,787 | ||||||
2.39%, 03/25/2025 | 2,160,000 | 2,153,774 | ||||||
2.14%, 05/25/2025 | 720,000 | 703,025 | ||||||
2.04%, 10/25/2027 | 950,000 | 936,995 | ||||||
2.79%, 12/25/2027 | 2,700,000 | 2,685,148 | ||||||
2.84%, 03/25/2028 | 795,000 | 787,430 | ||||||
3.27%, 04/25/2028 | 2,245,000 | 2,240,554 | ||||||
3.22%, 05/25/2028 | 330,000 | 329,752 | ||||||
FREMF 2015-K47 Mortgage Trust | ||||||||
3.72%, 06/25/2048 (Acquired 07/24/2015, Cost $645,418) (1) | 700,000 | 623,333 | ||||||
FREMF 2015-K48 Mortgage Trust | ||||||||
3.64%, 06/25/2025 (Acquired 09/16/2015, Cost $480,465) (1) | 535,000 | 483,017 | ||||||
FREMF 2015-K49 Mortgage Trust | ||||||||
3.72%, 10/25/2048 (Acquired 10/16/2015, Cost $323,271) (1) | 355,000 | 315,027 | ||||||
FREMF 2015-K718 Mortgage Trust | ||||||||
3.67%, 02/25/2022 (Acquired 07/14/2015 through 07/29/2015, Cost $903,883) (1) | 925,000 | 873,455 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF | ||||||||
3.49%, 12/15/2019 (Acquired 07/13/2015, Cost $1,236,131) (1) | 1,250,000 | 1,202,577 | ||||||
Ginnie Mae I pool | ||||||||
3.00%, 07/15/2042 | 233,202 | 237,167 | ||||||
3.00%, 10/15/2042 | 388,615 | 395,205 | ||||||
3.00%, 12/15/2042 | 55,372 | 56,312 | ||||||
4.50%, 05/15/2044 | 16,958,598 | 18,500,418 | ||||||
Ginnie Mae II pool | ||||||||
4.00%, 10/20/2040 | 160,891 | 172,283 | ||||||
4.50%, 01/15/2042 (3) | 1,595,000 | 1,713,339 | ||||||
3.00%, 07/20/2042 | 3,173,880 | 3,228,248 | ||||||
3.00%, 08/20/2042 | 103,555 | 105,328 | ||||||
3.50%, 09/20/2042 | 7,677,464 | 8,025,107 | ||||||
3.50%, 01/15/2043 (3) | 10,590,000 | 11,035,994 | ||||||
2.50%, 06/20/2043 | 413,944 | 402,989 | ||||||
3.50%, 09/20/2043 | 272,683 | 284,843 | ||||||
5.00%, 05/20/2044 | 879,160 | 962,252 | ||||||
5.00%, 11/20/2044 | 2,288,034 | 2,477,017 | ||||||
5.00%, 12/20/2044 | 539,878 | 604,568 | ||||||
2.50%, 01/20/2045 | 2,904,454 | 2,827,444 | ||||||
4.50%, 05/20/2045 | 507,194 | 545,582 | ||||||
4.50%, 06/20/2045 | 2,449,856 | 2,635,072 | ||||||
5.00%, 06/20/2045 | 1,182,632 | 1,279,065 | ||||||
5.50%, 06/20/2045 | 821,464 | 901,326 | ||||||
3.00%, 07/20/2045 | 1,900,597 | 1,928,272 | ||||||
3.50%, 07/20/2045 | 11,863,631 | 12,381,422 | ||||||
3.00%, 08/20/2045 | 7,832,710 | 7,946,762 | ||||||
4.00%, 08/20/2045 | 6,044,737 | 6,421,367 | ||||||
3.00%, 09/20/2045 | 1,657,251 | 1,681,382 | ||||||
3.50%, 09/20/2045 | 6,294,323 | 6,569,040 | ||||||
4.00%, 09/20/2045 | 4,485,027 | 4,768,508 | ||||||
4.00%, 11/20/2045 | 4,935,418 | 5,335,847 | ||||||
Government National Mortgage Association | ||||||||
3.50%, 03/20/2039 IO | 2,438,015 | 237,016 | ||||||
4.39%, 10/16/2040 | 150,230 | 150,734 | ||||||
GS Mortgage Securities Corp II | ||||||||
2.77%, 11/10/2045 | 2,420,000 | 2,380,683 |
Table of Contents
GS Mortgage Securities Corp Trust 2013-NYC5 | ||||||||
3.77%, 01/10/2030 (Acquired 08/20/2015, Cost $331,509) (1) | 330,000 | 328,036 | ||||||
GS Mortgage Securities Trust 2011-GC3 | ||||||||
5.74%, 03/10/2044 (Acquired 09/11/2015, Cost $365,092) (1) | 340,000 | 350,678 | ||||||
GS Mortgage Securities Trust 2015-GC34 | ||||||||
3.51%, 10/10/2048 | 540,000 | 540,032 | ||||||
3.91%, 10/10/2048 | 170,000 | 170,914 | ||||||
Hilton USA Trust 2013-HLT | ||||||||
4.41%, 11/05/2030 (Acquired 07/22/2015, Cost $1,008,897) (1) | 1,000,000 | 1,000,867 | ||||||
4.60%, 11/05/2030 (Acquired 08/26/2015, Cost $1,373,102) (1) | 1,366,000 | 1,365,633 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 721,875 | 730,336 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17 | ||||||||
5.43%, 12/12/2043 | 3,049,277 | 3,100,298 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
5.34%, 05/15/2047 | 1,776,604 | 1,809,392 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19 | ||||||||
5.88%, 02/12/2049 | 1,675,000 | 1,725,916 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 | ||||||||
5.79%, 02/12/2051 | 883,644 | 918,499 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11 | ||||||||
5.96%, 06/15/2049 | 1,655,000 | 1,683,270 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
6.21%, 02/15/2051 | 1,650,000 | 1,736,069 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2010-CNTR | ||||||||
4.31%, 08/05/2032 (Acquired 07/14/2015 through 09/18/2015, Cost $2,384,251) (1) | 2,195,000 | 2,342,896 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 | ||||||||
4.72%, 02/15/2046 (Acquired 08/25/2015, Cost $1,210,297) (1) | 1,100,000 | 1,190,046 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | ||||||||
3.15%, 08/15/2046 | 2,986,612 | 3,009,751 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 | ||||||||
2.21%, 05/15/2045 | 1,300,753 | 1,306,010 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC | ||||||||
3.09%, 07/05/2032 (Acquired 09/14/2015, Cost $784,240) (1) | 775,000 | 777,031 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO | ||||||||
3.51%, 01/15/2032 (Acquired 07/13/2015, Cost $1,200,302) (1) | 1,200,000 | 1,191,436 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP | ||||||||
2.94%, 07/15/2036 (Acquired 09/28/2015, Cost $250,000) (1) | 250,000 | 249,578 | ||||||
4.69%, 07/15/2036 (Acquired 09/28/2015, Cost $759,000) (1) | 759,000 | 758,893 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES | ||||||||
3.62%, 09/05/2032 (Acquired 10/07/2015, Cost $558,548) (1) | 590,000 | 552,040 | ||||||
JP Morgan Resecuritization Trust Series 2014-6 | ||||||||
0.41%, 07/27/2046 (Acquired 08/18/2015, Cost $3,540,331) (1) | 3,737,724 | 3,487,250 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
3.99%, 10/15/2048 | 1,200,000 | 1,135,882 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 | ||||||||
3.09%, 07/15/2048 | 15,000 | 15,324 | ||||||
3.82%, 07/15/2048 | 1,700,000 | 1,741,424 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C31 | ||||||||
3.80%, 08/15/2048 | 580,000 | 593,057 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.48%, 02/15/2040 | 315,000 | 318,153 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
5.49%, 02/15/2040 | 1,000,000 | 1,023,547 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | ||||||||
6.11%, 07/15/2040 | 565,000 | 590,037 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | ||||||||
2.14%, 04/25/2029 | 1,861,873 | 1,837,311 | ||||||
Merrill Lynch Mortgage Trust 2006-C1 | ||||||||
5.87%, 05/12/2039 | 1,028,571 | 1,029,645 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | ||||||||
1.86%, 02/15/2046 | 2,005,000 | 2,000,162 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | ||||||||
4.46%, 08/15/2047 | 1,140,000 | 1,159,805 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.73%, 05/15/2048 | 2,700,000 | 2,753,001 | ||||||
4.04%, 05/15/2048 | 45,000 | 45,744 | ||||||
4.50%, 05/15/2048 | 85,000 | 84,218 | ||||||
4.50%, 05/15/2048 | 55,000 | 51,399 | ||||||
Morgan Stanley Capital I Trust 2007-IQ14 | ||||||||
5.87%, 04/15/2049 | 1,660,000 | 1,687,919 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
3.22%, 07/15/2049 | 3,185,878 | 3,213,386 |
Table of Contents
Morgan Stanley Resecuritization Trust 2013-R10 | ||||||||
2.56%, 01/26/2051 (Acquired 07/24/2015, Cost $2,001,547) (1) | 1,982,818 | 1,985,222 | ||||||
Nomura Resecuritization Trust 2015-7R | ||||||||
2.38%, 08/26/2036 (Acquired 08/20/2015, Cost $2,704,364) (1) | 2,669,256 | 2,684,958 | ||||||
OBP Depositor LLC Trust 2010-OBP | ||||||||
4.65%, 07/15/2045 (Acquired 08/04/2015, Cost $801,086) (1) | 730,000 | 786,573 | ||||||
RALI Series 2003-QS7 Trust | ||||||||
4.75%, 04/25/2033 | 173,695 | 175,965 | ||||||
Sequoia Mortgage Trust 2003-2 | ||||||||
0.88%, 06/20/2033 | 1,914,787 | 1,823,264 | ||||||
Sequoia Mortgage Trust 2004-9 | ||||||||
1.27%, 10/20/2034 | 3,141,407 | 3,014,983 | ||||||
Springleaf Mortgage Loan Trust 2013-1 | ||||||||
1.27%, 06/25/2058 (Acquired 08/04/2015, Cost $2,107,145) (1) | 2,109,047 | 2,100,506 | ||||||
Starwood Retail Property Trust 2014-STAR | ||||||||
2.70%, 11/15/2027 (Acquired 07/22/2015 through 09/08/2015, Cost $2,207,697) (1) | 2,206,000 | 2,193,691 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.44%, 03/25/2034 | 1,237,250 | 1,241,912 | ||||||
Structured Asset Mortgage Investments Trust 2003-AR3 | ||||||||
0.90%, 11/19/2033 | 1,683,772 | 1,582,397 | ||||||
Towd Point Mortgage Trust 2015-3 | ||||||||
3.00%, 03/25/2054 (Acquired 07/23/2015, Cost $592,219) (1) | 592,034 | 589,568 | ||||||
Towd Point Mortgage Trust 2015-4 | ||||||||
2.75%, 04/26/2055 (Acquired 09/25/2015, Cost $658,701) (1) | 658,950 | 651,701 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
5.05%, 05/10/2063 (Acquired 07/24/2015, Cost $2,761,046) (1) | 2,750,000 | 2,651,439 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C30 | ||||||||
5.38%, 12/15/2043 | 1,000,000 | 1,033,271 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31 | ||||||||
5.66%, 04/15/2047 | 5,640,000 | 5,634,484 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | ||||||||
0.51%, 08/25/2045 | 3,925,611 | 3,649,242 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | ||||||||
0.48%, 10/25/2045 | 3,040,198 | 2,800,244 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | ||||||||
0.45%, 11/25/2045 | 2,345,718 | 2,194,866 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/15/2058 | 1,280,000 | 1,296,848 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.77%, 07/15/2058 | 2,320,000 | 2,370,750 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 | ||||||||
3.79%, 12/15/2047 | 500,000 | 511,377 | ||||||
WF-RBS Commercial Mortgage Trust 2011-C2 | ||||||||
5.64%, 02/15/2044 (Acquired 09/02/2015 through 09/14/2015, Cost $1,508,245) (1) | 1,405,000 | 1,475,778 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
3.24%, 03/15/2044 (Acquired 07/15/2015, Cost $1,518,859) (1) | 1,505,771 | 1,506,846 | ||||||
WFRBS Commercial Mortgage Trust 2012-C7 | ||||||||
4.84%, 06/15/2045 (Acquired 11/23/2015 through 12/03/2015, Cost $353,220) (1) | 360,000 | 346,896 | ||||||
WFRBS Commercial Mortgage Trust 2013-C18 | ||||||||
3.65%, 12/15/2046 | 320,000 | 330,562 | ||||||
|
| |||||||
Total Mortgage Backed Obligations (Cost $630,635,364) | $ | 627,965,925 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $2,169,203,326) | $ | 2,146,198,471 | ||||||
|
| |||||||
Bank Loans - 0.51% | ||||||||
Asurion TI B2 | ||||||||
4.25%, 07/08/2020 | $ | 432,781 | $ | 394,012 | ||||
Asurion LLC | ||||||||
5.00%, 08/04/2022 | 870,625 | 794,010 | ||||||
Avago Technologies Cayman Finance Ltd | ||||||||
4.25%, 11/13/2022 | 3,555,000 | 3,512,802 | ||||||
CCO Safari III LLC | ||||||||
3.50%, 01/21/2023 | 2,131,000 | 2,126,568 | ||||||
Dell International LLC | ||||||||
4.00%, 04/29/2020 | 123,253 | 122,262 | ||||||
First Data Corp | ||||||||
3.95%, 06/25/2022 | 791,874 | 779,798 | ||||||
Husky Injection Molding Systems Ltd | ||||||||
4.25%, 06/30/2021 | 649,206 | 622,426 | ||||||
Intelsat Jackson Holdings SA | ||||||||
3.75%, 06/30/2019 | 420,000 | 396,299 | ||||||
Level 3 Financing Inc | ||||||||
3.50%, 05/31/2022 | 440,000 | 432,630 |
Table of Contents
Match Group Inc | ||||||||
5.50%, 11/16/2022 | 575,000 | 567,094 | ||||||
Numericable T/1 B-5 | ||||||||
4.00%, 07/27/2022 | 475,000 | 453,107 | ||||||
Petsmart T/I B1 | ||||||||
4.25%, 03/11/2022 | 628,222 | 610,788 | ||||||
Univision Communications T/I C4 | ||||||||
4.00%, 03/01/2020 | 119,368 | 116,623 | ||||||
Valeant Pharmaceuticals International Inc | ||||||||
3.75%, 08/05/2020 | 120,000 | 114,900 | ||||||
|
| |||||||
Total Bank Loans (Cost $11,283,527) | $ | 11,043,319 | ||||||
|
| |||||||
Shares |
Value | |||||||
Preferred Stocks - 0.31% | ||||||||
Financials - 0.31% | ||||||||
Citigroup Capital XIII, 6.692% | 26,550 | $ | 690,034 | |||||
Discover Financial Services, 6.500% | 57,550 | 1,523,349 | ||||||
General Electric Capital Corp., 4.700% | 5,800 | 147,726 | ||||||
Morgan Stanley, 7.125% | 45,400 | 1,298,440 | ||||||
Morgan Stanley, 6.875% | 48,575 | 1,347,956 | ||||||
Morgan Stanley Capital Trust III, 6.250% | 5,575 | 142,051 | ||||||
Morgan Stanley Capital Trust VIII, 6.450% | 2,702 | 68,388 | ||||||
Wells Fargo & Co., 6.625% | 40,225 | 1,155,664 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $6,232,095) | $ | 6,373,608 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 5.60% | ||||||||
Money Market Funds - 5.56% | ||||||||
Fidelity Institutional Money Market Government Portfolio – Class I, 0.12% (4) | 61,248,250 | $ | 61,248,250 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.11% (4) | 61,314,206 | 61,314,206 | ||||||
|
| |||||||
Total Money Market Funds | $ | 122,562,456 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
U. S. Treasury Bills - 0.04% | ||||||||
U.S. Treasury Bill, 0.00%, Jan. 2016 | $ | 365,000 | $ | 364,998 | ||||
U.S. Treasury Bill, 0.00%, Feb. 2016 | 450,000 | 449,946 | ||||||
|
| |||||||
Total U.S. Treasury Bills | 814,944 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $123,377,444) | $ | 123,377,400 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 103.90% | $ | 2,286,992,798 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.90)% | (85,778,378 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,201,214,420 | ||||||
|
|
(1) | Restricted security as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities total $282,859,011, which represents 12.85% of total net assets. |
(2) | Inflation protected security . The value of these securities totals $38,146,865, which represents 1.73% of total net assets. |
(3) | Delayed delivery security. The value of these securities totals $89,752,501, which represents 4.08% of total net assets. |
(4) | Partially assigned as collateral for certain delayed delivery securities. |
(5) | Partially assigned as collateral for certain futures contracts. The value of the pledged issue totals $394,969, which represents 0.02% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Table of Contents
Open Futures Contracts
Number of Contracts Purchased (Sold) | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
(22) | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2016 | $ | (4,785,996 | ) | $ | (4,779,156 | ) | $ | 6,840 | |||||||
225 | U.S. 5 Year Note Future | Citigroup | Mar. 2016 | 26,683,460 | 26,622,070 | (61,390 | ) | |||||||||||
(151) | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2016 | (17,958,327 | ) | (17,866,367 | ) | 91,960 | ||||||||||
(315) | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2016 | (39,779,077 | ) | (39,660,469 | ) | 118,608 | ||||||||||
(103) | U.S. 10 Year Note Future | JP Morgan | Mar. 2016 | (13,007,142 | ) | (12,968,344 | ) | 38,798 | ||||||||||
148 | U.S. Long Bond Future | Goldman Sachs | Mar. 2016 | 22,736,331 | 22,755,000 | 18,669 | ||||||||||||
(38) | U.S. Long Bond Future | JP Morgan | Mar. 2016 | (5,817,195 | ) | (5,842,500 | ) | (25,305 | ) | |||||||||
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| |||||||||||||||||
$ | 188,180 | |||||||||||||||||
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Table of Contents
Forward Foreign Currency Exchange Contracts
Over the Counter
Purchase Contracts | Counterparty | Currency | Currency Amount Purchased | Value at Settlement Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||
Brazilian Real, Expiring 3/2/16* | HSBC | BRL | 2,390,000 | $ | 603,078 | $ | 592,132 | ($ | 10,946 | ) | ||||||||||
Euro, Expiring 2/25/16 | BNP Paribas | EUR | 805,000 | 882,760 | 876,086 | (6,674 | ) | |||||||||||||
Indian Rupee, Expiring 1/13/16* | Goldman Sachs | INR | 46,340,000 | 704,309 | 698,954 | (5,355 | ) | |||||||||||||
Mexican Peso, Expiring 1/8/16 | Royal Bank of Scotland | MXN | 16,765,000 | 1,008,148 | 972,181 | (35,967 | ) | |||||||||||||
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|
|
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|
| |||||||||||||||
$ | 3,198,295 | $ | 3,139,353 | ($ | 58,942 | ) | ||||||||||||||
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|
| |||||||||||||||
Sales Contracts | Counterparty | Currency | Currency Amount Sold | Value at Settlement Date | Value at December 31, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||
Australian Dollar, Expiring 2/23/16 | HSBC | AUD | (990,000 | ) | ($ | 706,685 | ) | ($ | 719,427 | ) | ($ | 12,742 | ) | |||||||
Brazilian Real, Expiring 3/2/16* | HSBC | BRL | (2,390,000 | ) | (611,050 | ) | (592,132 | ) | 18,918 | |||||||||||
Euro, Expiring 2/25/16 | Bank of America | EUR | (1,435,000 | ) | (1,526,410 | ) | (1,561,718 | ) | (35,308 | ) | ||||||||||
Mexican Peso, Expiring 1/8/16 | Royal Bank of Scotland | MXN | (43,380,000 | ) | (2,543,014 | ) | (2,515,550 | ) | 27,464 | |||||||||||
Mexican Peso, Expiring 1/8/16 | Royal Bank of Scotland | MXN | (12,640,000 | ) | (760,328 | ) | (732,978 | ) | 27,350 | |||||||||||
Polish Zloty, Expiring 2/25/16 | BNP Paribas | PLN | (2,675,000 | ) | (679,750 | ) | (681,162 | ) | (1,412 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
($ | 6,827,237 | ) | ($ | 6,802,967 | ) | $ | 24,270 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
($ | 3,628,942 | ) | ($ | 3,663,614 | ) | ($ | 34,672 | ) | ||||||||||||
|
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|
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* | Non-deliverable forward. |
Table of Contents
Bridge Builder Municipal Bond Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Principal | ||||||||
Amount | Value | |||||||
Municipal Bonds - 98.42% | ||||||||
Alabama - 1.42% | ||||||||
County of Jefferson AL Sewer Revenue | ||||||||
5.00%, 10/01/2044 | $ | 1,500,000 | $ | 1,656,930 | ||||
5.25%, 10/01/2048 | 1,500,000 | 1,676,595 | ||||||
Industrial Development Board of the City of Mobile Alabama | ||||||||
1.63%, 07/15/2034 | 11,500,000 | 11,539,215 | ||||||
Montgomery Medical Clinic Board | ||||||||
5.00%, 03/01/2019 | 1,500,000 | 1,637,295 | ||||||
5.00%, 03/01/2029 | 1,000,000 | 1,126,970 | ||||||
Selma Industrial Development Board | ||||||||
5.80%, 05/01/2034 | 775,000 | 865,923 | ||||||
5.38%, 12/01/2035 | 215,000 | 239,598 | ||||||
|
| |||||||
18,742,526 | ||||||||
|
| |||||||
Alaska - 0.36% | ||||||||
City of Valdez AK | ||||||||
5.00%, 01/01/2021 | 4,000,000 | 4,579,040 | ||||||
|
| |||||||
Arizona - 0.78% | ||||||||
Arizona Health Facilities Authority | ||||||||
5.00%, 02/01/2042 | 2,000,000 | 2,125,600 | ||||||
City of Phoenix Civic Improvement Corp | ||||||||
5.25%, 07/01/2017 | 2,750,000 | 2,932,105 | ||||||
Glendale Industrial Development Authority | ||||||||
5.00%, 12/01/2027 | 1,000,000 | 1,075,590 | ||||||
5.00%, 12/01/2032 | 1,050,000 | 1,129,369 | ||||||
Peoria Industrial Development Authority | ||||||||
5.00%, 11/15/2019 | 220,000 | 227,465 | ||||||
Salt Verde Financial Corp | ||||||||
5.00%, 12/01/2037 | 2,500,000 | 2,842,650 | ||||||
|
| |||||||
10,332,779 | ||||||||
|
| |||||||
Arkansas - 0.06% | ||||||||
Benton Washington Regional Public Water Authority | ||||||||
0.55%, 10/01/2016 | 740,000 | 736,337 | ||||||
|
| |||||||
California - 6.47% | ||||||||
Abag Finance Authority for Nonprofit Corps | ||||||||
5.00%, 08/01/2033 | 1,300,000 | 1,500,551 | ||||||
Acalanes Union High School District | ||||||||
5.00%, 08/01/2018 | 1,160,000 | 1,256,918 | ||||||
California Health Facilities Financing Authority | ||||||||
5.63%, 07/01/2025 | 2,130,000 | 2,446,923 | ||||||
California Municipal Finance Authority | ||||||||
0.50%, 09/01/2021 | 3,000,000 | 3,000,000 | ||||||
California State Public Works Board | ||||||||
4.00%, 05/01/2017 | 11,315,000 | 11,802,903 | ||||||
5.00%, 05/01/2018 | 8,200,000 | 8,958,008 | ||||||
5.00%, 05/01/2018 | 7,065,000 | 7,718,088 | ||||||
5.00%, 05/01/2029 | 1,100,000 | 1,318,218 | ||||||
5.00%, 11/01/2037 | 235,000 | 266,415 | ||||||
California Statewide Communities Development Authority | ||||||||
5.00%, 10/01/2028 | 1,100,000 | 1,217,667 | ||||||
5.38%, 11/01/2049 | 100,000 | 101,571 | ||||||
City of San Jose CA | ||||||||
0.95%, 12/01/2017 | 5,000,000 | 4,997,200 |
Table of Contents
Golden State Tobacco Securitization Corp | ||||||||
4.50%, 06/01/2027 | 3,785,000 | 3,751,541 | ||||||
5.00%, 06/01/2040 | 2,000,000 | 2,285,040 | ||||||
Los Angeles County Public Works Financing Authority | ||||||||
5.00%, 12/01/2029 | 1,200,000 | 1,446,504 | ||||||
5.00%, 12/01/2030 | 2,520,000 | 3,020,623 | ||||||
Mendocino-Lake Community College District | ||||||||
5.00%, 08/01/2027 | 1,700,000 | 2,075,887 | ||||||
5.00%, 08/01/2028 | 1,000,000 | 1,210,640 | ||||||
5.00%, 08/01/2029 | 775,000 | 928,039 | ||||||
5.00%, 08/01/2030 | 2,530,000 | 3,006,045 | ||||||
Orange County Community Facilities District | ||||||||
5.25%, 08/15/2045 | 1,000,000 | 1,103,900 | ||||||
Orchard School District | ||||||||
0.00%, 08/01/2022 | 2,940,000 | 2,549,686 | ||||||
Port of Los Angeles | ||||||||
4.00%, 08/01/2017 | 1,000,000 | 1,050,610 | ||||||
Sacramento City Financing Authority | ||||||||
5.00%, 12/01/2033 | 875,000 | 1,020,679 | ||||||
State of California | ||||||||
5.00%, 08/01/2017 | 5,000,000 | 5,333,350 | ||||||
5.00%, 09/01/2018 | 4,000,000 | 4,416,680 | ||||||
5.00%, 08/01/2019 | 1,000,000 | 1,134,630 | ||||||
5.00%, 08/01/2023 | 3,000,000 | 3,685,980 | ||||||
5.00%, 08/01/2027 | 620,000 | 763,046 | ||||||
5.00%, 08/01/2035 | 2,000,000 | 2,353,120 | ||||||
|
| |||||||
85,720,462 | ||||||||
|
| |||||||
Colorado - 0.52% | ||||||||
City & County of Denver CO Airport System Revenue | ||||||||
5.50%, 11/15/2016 | 1,210,000 | 1,260,784 | ||||||
Colorado Health Facilities Authority | ||||||||
5.00%, 12/01/2022 | 1,855,000 | 2,089,639 | ||||||
5.00%, 10/01/2038 | 630,000 | 728,935 | ||||||
1.42%, 10/01/2039 | 2,000,000 | 2,001,820 | ||||||
6.13%, 12/01/2045 | 275,000 | 277,519 | ||||||
Park Creek Metropolitan District | ||||||||
5.00%, 12/01/2045 | 500,000 | 556,100 | ||||||
|
| |||||||
6,914,797 | ||||||||
|
| |||||||
Connecticut - 4.22% | ||||||||
City of Hartford CT | ||||||||
5.00%, 04/01/2018 | 2,885,000 | 3,113,463 | ||||||
5.00%, 08/15/2019 | 1,700,000 | 1,903,116 | ||||||
5.00%, 07/15/2021 | 3,300,000 | 3,866,247 | ||||||
5.00%, 07/15/2022 | 2,250,000 | 2,660,985 | ||||||
5.00%, 07/15/2023 | 2,000,000 | 2,378,760 | ||||||
5.00%, 07/15/2026 | 2,430,000 | 2,910,168 | ||||||
City of West Haven CT | ||||||||
5.00%, 08/01/2021 | 2,495,000 | 2,866,331 | ||||||
Mohegan Tribe of Indians of Connecticut | ||||||||
5.25%, 02/01/2022 (1) | 955,000 | 944,227 | ||||||
State of Connecticut | ||||||||
5.00%, 08/01/2019 | 20,380,000 | 22,986,399 | ||||||
5.00%, 09/01/2022 | 5,725,000 | 6,852,825 | ||||||
5.00%, 08/01/2031 | 4,625,000 | 5,456,853 | ||||||
|
| |||||||
55,939,374 | ||||||||
|
| |||||||
Delaware - 0.00% | ||||||||
Delaware State Economic Development Authority | ||||||||
5.40%, 02/01/2031 | 25,000 | 27,701 | ||||||
|
| |||||||
District of Columbia - 0.19% | ||||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | ||||||||
0.00%, 10/01/2041 | 2,000,000 | 2,472,520 | ||||||
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Table of Contents
Florida - 6.96% | ||||||||
Alachua County Health Facilities Authority | ||||||||
6.38%, 11/15/2049 | 300,000 | 323,862 | ||||||
Central Florida Expressway Authority | ||||||||
5.00%, 07/01/2017 | 2,105,000 | 2,234,058 | ||||||
Citizens Property Insurance Corp | ||||||||
5.00%, 06/01/2016 | 2,165,000 | 2,204,143 | ||||||
City of Lakeland FL Department of Electric Utilities | ||||||||
5.00%, 10/01/2017 | 5,200,000 | 5,569,200 | ||||||
City of Tampa FL | ||||||||
5.00%, 04/01/2040 | 1,115,000 | 1,199,439 | ||||||
County of Broward FL Airport System Revenue | ||||||||
5.00%, 10/01/2016 | 1,885,000 | 1,946,526 | ||||||
5.00%, 10/01/2029 | 500,000 | 582,490 | ||||||
5.00%, 10/01/2042 | 110,000 | 122,189 | ||||||
County of Hillsborough FL | ||||||||
5.00%, 11/01/2025 | 1,775,000 | 2,180,019 | ||||||
County of Miami-Dade FL Aviation Revenue | ||||||||
5.25%, 10/01/2021 | 3,000,000 | 3,215,070 | ||||||
5.25%, 10/01/2022 | 5,000,000 | 5,355,750 | ||||||
5.00%, 10/01/2031 | 3,000,000 | 3,367,230 | ||||||
5.00%, 10/01/2035 | 1,000,000 | 1,124,020 | ||||||
Florida Department of Environmental Protection | ||||||||
5.00%, 07/01/2016 | 1,065,000 | 1,088,877 | ||||||
5.00%, 07/01/2019 | 300,000 | 338,370 | ||||||
Florida Housing Finance Corp | ||||||||
0.60%, 09/01/2016 | 3,500,000 | 3,498,950 | ||||||
Florida’s Turnpike Enterprise | ||||||||
5.00%, 07/01/2017 | 2,000,000 | 2,123,540 | ||||||
Greater Orlando Aviation Authority | ||||||||
5.00%, 10/01/2031 | 2,000,000 | 2,306,260 | ||||||
5.00%, 10/01/2033 | 2,000,000 | 2,288,220 | ||||||
JEA Electric System Revenue | ||||||||
5.00%, 10/01/2020 | 4,400,000 | 5,123,316 | ||||||
Marion County School Board | ||||||||
5.00%, 06/01/2026 | 1,435,000 | 1,706,115 | ||||||
Martin County Health Facilities Authority | ||||||||
5.00%, 11/15/2023 | 800,000 | 916,664 | ||||||
Miami-Dade County Educational Facilities Authority | ||||||||
5.00%, 04/01/2040 | 2,510,000 | 2,834,418 | ||||||
Miami-Dade County Expressway Authority | ||||||||
5.00%, 07/01/2019 | 1,250,000 | 1,408,050 | ||||||
Miami-Dade County Industrial Development Authority | ||||||||
4.00%, 09/15/2019 | 480,000 | 496,301 | ||||||
Palm Beach County School District | ||||||||
5.00%, 08/01/2030 | 4,520,000 | 5,366,325 | ||||||
5.00%, 08/01/2032 | 3,000,000 | 3,525,840 | ||||||
School Board of Miami-Dade County/The | ||||||||
5.00%, 05/01/2025 | 3,000,000 | 3,600,630 | ||||||
5.00%, 02/01/2030 | 500,000 | 583,505 | ||||||
5.00%, 05/01/2031 | 5,000,000 | 5,789,950 | ||||||
Seminole Tribe of Florida Inc | ||||||||
5.50%, 10/01/2024 | 3,500,000 | 3,696,770 | ||||||
State of Florida | ||||||||
5.00%, 06/01/2017 | 3,135,000 | 3,321,470 | ||||||
5.00%, 06/01/2017 | 2,500,000 | 2,648,700 | ||||||
5.00%, 07/01/2019 | 3,500,000 | 3,963,015 | ||||||
5.00%, 07/01/2023 | 2,630,000 | 3,233,506 | ||||||
5.00%, 07/01/2024 | 2,460,000 | 3,057,239 | ||||||
|
| |||||||
92,340,027 | ||||||||
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Table of Contents
Georgia - 0.96% | ||||||||
City of Atlanta GA Water & Wastewater Revenue | ||||||||
5.50%, 11/01/2017 | 3,010,000 | 3,264,977 | ||||||
5.00%, 11/01/2021 | 1,000,000 | 1,191,250 | ||||||
City of East Point GA | ||||||||
4.00%, 08/01/2017 | 340,000 | 354,430 | ||||||
4.00%, 08/01/2018 | 400,000 | 422,512 | ||||||
5.00%, 08/01/2019 | 955,000 | 1,049,402 | ||||||
5.00%, 08/01/2020 | 415,000 | 461,617 | ||||||
5.00%, 08/01/2021 | 250,000 | 280,642 | ||||||
Georgia Housing & Finance Authority | ||||||||
1.40%, 06/01/2018 | 750,000 | 748,582 | ||||||
Gwinnett County School District | ||||||||
5.00%, 02/01/2032 | 1,000,000 | 1,083,650 | ||||||
Monroe County Development Authority | ||||||||
2.35%, 10/01/2048 | 500,000 | 507,465 | ||||||
State of Georgia | ||||||||
5.00%, 02/01/2018 | 3,035,000 | 3,294,128 | ||||||
|
| |||||||
12,658,655 | ||||||||
|
| |||||||
Guam - 0.12% | ||||||||
Guam Government Waterworks Authority | ||||||||
5.00%, 07/01/2035 | 1,500,000 | 1,646,895 | ||||||
|
| |||||||
Hawaii - 0.18% | ||||||||
City & County of Honolulu HI | ||||||||
5.00%, 10/01/2029 | 2,000,000 | 2,447,080 | ||||||
|
| |||||||
Idaho - 0.24% | ||||||||
Idaho Housing & Finance Association | ||||||||
0.80%, 04/01/2017 | 3,150,000 | 3,146,125 | ||||||
|
| |||||||
Illinois - 8.26% | ||||||||
Chicago Board of Education | ||||||||
5.00%, 12/01/2021 | 2,000,000 | 2,026,000 | ||||||
5.00%, 12/01/2041 | 770,000 | 642,927 | ||||||
5.25%, 12/01/2041 | 3,000,000 | 2,600,070 | ||||||
Chicago Midway International Airport | ||||||||
5.00%, 01/01/2032 | 2,000,000 | 2,195,740 | ||||||
5.00%, 01/01/2034 | 1,000,000 | 1,090,620 | ||||||
Chicago O’Hare International Airport | ||||||||
5.00%, 01/01/2023 | 1,000,000 | 1,184,670 | ||||||
5.25%, 01/01/2024 | 1,495,000 | 1,495,000 | ||||||
5.25%, 01/01/2026 | 3,000,000 | 3,000,000 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,254,240 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,309,620 | ||||||
Chicago Park District | ||||||||
5.00%, 01/01/2017 | 1,000,000 | 1,033,130 | ||||||
Chicago Transit Authority | ||||||||
5.00%, 06/01/2016 | 1,840,000 | 1,871,151 | ||||||
5.25%, 06/01/2024 | 2,000,000 | 2,230,240 | ||||||
5.00%, 06/01/2026 | 8,275,000 | 9,280,164 | ||||||
City of Chicago IL | ||||||||
4.25%, 01/01/2020 | 365,000 | 383,283 | ||||||
5.00%, 01/01/2020 | 3,500,000 | 3,604,615 | ||||||
5.25%, 01/01/2021 | 1,565,000 | 1,617,709 | ||||||
5.00%, 01/01/2022 | 460,000 | 499,298 | ||||||
5.00%, 01/01/2023 | 1,310,000 | 1,372,566 | ||||||
5.25%, 01/01/2027 | 2,435,000 | 2,563,227 | ||||||
5.00%, 01/01/2028 | 865,000 | 898,190 | ||||||
5.00%, 01/01/2035 | 2,500,000 | 2,496,950 | ||||||
City of Chicago IL Motor Fuel Tax Revenue | ||||||||
5.00%, 01/01/2025 | 2,000,000 | 2,131,340 |
Table of Contents
City of Chicago IL Wastewater Transmission Revenue | ||||||||
5.00%, 01/01/2028 | 1,385,000 | 1,536,796 | ||||||
5.00%, 01/01/2029 | 1,300,000 | 1,431,027 | ||||||
5.00%, 01/01/2033 | 2,000,000 | 2,187,620 | ||||||
City of Chicago IL Waterworks Revenue | ||||||||
5.00%, 11/01/2020 | 915,000 | 1,016,464 | ||||||
County of Cook IL | ||||||||
5.00%, 11/15/2023 | 2,500,000 | 2,864,575 | ||||||
5.00%, 11/15/2026 | 1,000,000 | 1,083,640 | ||||||
5.25%, 11/15/2028 | 675,000 | 725,206 | ||||||
Illinois Finance Authority | ||||||||
5.50%, 02/15/2017 | 2,000,000 | 2,096,880 | ||||||
4.00%, 05/15/2023 | 500,000 | 507,460 | ||||||
5.00%, 11/15/2023 | 750,000 | 882,413 | ||||||
5.25%, 11/15/2026 | 50,000 | 50,524 | ||||||
4.75%, 05/15/2033 | 145,000 | 145,977 | ||||||
5.00%, 11/15/2034 | 3,000,000 | 3,441,450 | ||||||
5.00%, 08/15/2035 | 100,000 | 109,749 | ||||||
5.25%, 11/15/2036 | 50,000 | 50,355 | ||||||
5.00%, 05/15/2037 | 1,050,000 | 1,054,610 | ||||||
5.00%, 11/15/2038 | 3,795,000 | 4,294,308 | ||||||
5.00%, 08/15/2044 | 200,000 | 216,016 | ||||||
5.00%, 11/15/2045 | 2,500,000 | 2,768,500 | ||||||
8.00%, 05/15/2046 | 1,000,000 | 1,146,990 | ||||||
5.25%, 05/15/2047 | 250,000 | 254,870 | ||||||
Illinois Sports Facilities Authority/The | ||||||||
5.00%, 06/15/2017 | 750,000 | 782,573 | ||||||
5.25%, 06/15/2032 | 1,735,000 | 1,936,416 | ||||||
Illinois State Toll Highway Authority | ||||||||
5.00%, 01/01/2038 | 2,700,000 | 3,083,724 | ||||||
Lake County Community Unit School District No 60 Waukegan | ||||||||
5.00%, 01/01/2026 | 1,000,000 | 1,175,450 | ||||||
5.00%, 01/01/2027 | 2,200,000 | 2,566,960 | ||||||
Metropolitan Pier & Exposition Authority | ||||||||
5.00%, 12/15/2026 | 2,000,000 | 2,211,700 | ||||||
5.00%, 12/15/2028 | 2,400,000 | 2,617,512 | ||||||
5.25%, 06/15/2050 | 3,275,000 | 3,399,483 | ||||||
State of Illinois | ||||||||
5.00%, 01/01/2017 | 1,145,000 | 1,184,766 | ||||||
5.00%, 03/01/2028 | 5,000,000 | 5,331,850 | ||||||
5.25%, 02/01/2029 | 3,720,000 | 4,078,199 | ||||||
5.25%, 02/01/2031 | 500,000 | 542,010 | ||||||
5.50%, 07/01/2038 | 1,500,000 | 1,623,135 | ||||||
Village of Bedford Park IL | ||||||||
4.00%, 12/01/2020 | 1,180,000 | 1,232,309 | ||||||
Will & Kankakee Counties School District No 255 | ||||||||
4.00%, 06/01/2018 | 1,070,000 | 1,127,951 | ||||||
|
| |||||||
109,540,218 | ||||||||
|
| |||||||
Indiana - 2.70% | ||||||||
City of Indianapolis IN Thermal Energy System Revenue | ||||||||
5.00%, 10/01/2017 | 1,000,000 | 1,068,660 | ||||||
City of Whiting IN | ||||||||
5.00%, 11/01/2045 | 2,485,000 | 2,897,634 | ||||||
Indiana Development Finance Authority | ||||||||
3.50%, 10/01/2031 | 3,600,000 | 3,602,592 | ||||||
Indiana Finance Authority | ||||||||
5.00%, 09/15/2019 | 700,000 | 778,050 | ||||||
6.00%, 12/01/2026 | 1,220,000 | 827,843 | ||||||
5.25%, 02/01/2033 | 2,500,000 | 2,978,600 | ||||||
5.00%, 03/01/2036 | 4,000,000 | 4,470,560 | ||||||
5.00%, 09/01/2046 | 2,750,000 | 2,961,833 | ||||||
5.25%, 01/01/2051 | 2,600,000 | 2,808,442 |
Table of Contents
Indiana Health Facility Financing Authority | ||||||||
2.00%, 10/01/2026 | 3,000,000 | 3,035,190 | ||||||
4.00%, 11/01/2027 | 8,000,000 | 8,371,440 | ||||||
5.00%, 11/01/2027 | 1,955,000 | 2,001,646 | ||||||
|
| |||||||
35,802,490 | ||||||||
|
| |||||||
Iowa - 0.14% | ||||||||
Iowa Finance Authority | ||||||||
5.25%, 12/01/2025 | 1,500,000 | 1,630,155 | ||||||
4.75%, 08/01/2042 | 270,000 | 274,563 | ||||||
|
| |||||||
1,904,718 | ||||||||
|
| |||||||
Kansas - 0.37% | ||||||||
City of Wichita KS | ||||||||
5.00%, 11/15/2017 | 2,375,000 | 2,554,930 | ||||||
Kansas Development Finance Authority | ||||||||
5.00%, 11/15/2032 | 2,000,000 | 2,282,100 | ||||||
|
| |||||||
4,837,030 | ||||||||
|
| |||||||
Kentucky - 0.78% | ||||||||
City of Russell KY | ||||||||
5.00%, 11/01/2022 | 3,200,000 | 3,726,976 | ||||||
Kentucky Asset Liability Commission | ||||||||
5.00%, 09/01/2024 | 1,000,000 | 1,199,430 | ||||||
5.00%, 09/01/2025 | 1,250,000 | 1,511,725 | ||||||
Kentucky Economic Development Finance Authority | ||||||||
6.38%, 06/01/2040 | 1,550,000 | 1,770,735 | ||||||
6.50%, 03/01/2045 | 1,000,000 | 1,145,530 | ||||||
Kentucky Public Transportation Infrastructure Authority | ||||||||
5.00%, 07/01/2017 | 910,000 | 960,086 | ||||||
|
| |||||||
10,314,482 | ||||||||
|
| |||||||
Louisiana - 1.89% | ||||||||
City of New Orleans LA | ||||||||
5.00%, 12/01/2019 | 2,450,000 | 2,763,894 | ||||||
Jefferson Parish Hospital Service District No 1 | ||||||||
5.50%, 01/01/2026 | 3,000,000 | 3,585,570 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Auth | ||||||||
6.50%, 11/01/2035 | 1,000,000 | 1,183,500 | ||||||
Louisiana Public Facilities Authority | ||||||||
5.00%, 06/01/2021 | 7,695,000 | 8,931,356 | ||||||
New Orleans Aviation Board | ||||||||
5.00%, 01/01/2024 | 1,400,000 | 1,640,898 | ||||||
5.00%, 01/01/2040 | 1,540,000 | 1,734,487 | ||||||
Parish of St John the Baptist LA | ||||||||
5.13%, 06/01/2037 | 2,000,000 | 2,026,500 | ||||||
State of Louisiana | ||||||||
5.00%, 11/15/2017 | 1,000,000 | 1,074,990 | ||||||
5.00%, 02/01/2018 | 2,000,000 | 2,165,580 | ||||||
|
| |||||||
25,106,775 | ||||||||
|
| |||||||
Maryland - 2.52% | ||||||||
City of Westminster MD | ||||||||
6.25%, 07/01/2044 | 1,000,000 | 1,075,560 | ||||||
County of Anne Arundel MD | ||||||||
5.00%, 04/01/2018 | 1,115,000 | 1,216,220 | ||||||
Maryland Economic Development Corp | ||||||||
5.00%, 06/01/2019 | 3,415,000 | 3,854,920 | ||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||
5.00%, 08/15/2017 | 1,370,000 | 1,457,885 | ||||||
5.00%, 07/01/2018 | 2,100,000 | 2,307,375 | ||||||
5.50%, 01/01/2028 | 2,500,000 | 2,727,950 | ||||||
0.99%, 05/15/2038 | 1,000,000 | 1,003,570 | ||||||
5.00%, 08/15/2038 | 1,945,000 | 2,193,435 | ||||||
5.00%, 07/01/2045 | 1,500,000 | 1,627,305 |
Table of Contents
Maryland State Transportation Authority | ||||||||
5.00%, 03/01/2016 | 1,490,000 | 1,501,235 | ||||||
State of Maryland | ||||||||
5.25%, 03/01/2017 | 500,000 | 526,665 | ||||||
5.00%, 11/01/2018 | 3,000,000 | 3,332,760 | ||||||
5.00%, 03/01/2020 | 6,000,000 | 6,926,100 | ||||||
5.00%, 08/01/2022 | 3,000,000 | 3,652,440 | ||||||
|
| |||||||
33,403,420 | ||||||||
|
| |||||||
Massachusetts - 2.66% | ||||||||
City of Boston MA | ||||||||
5.00%, 04/01/2023 | 2,095,000 | 2,573,393 | ||||||
City of Springfield MA | ||||||||
5.00%, 08/01/2017 | 4,580,000 | 4,881,639 | ||||||
Commonwealth of Massachusetts | ||||||||
4.00%, 12/01/2017 | 6,015,000 | 6,374,156 | ||||||
Massachusetts Bay Transportation Authority | ||||||||
5.00%, 07/01/2026 | 2,000,000 | 2,482,900 | ||||||
Massachusetts Department of Transportation | ||||||||
5.00%, 01/01/2019 | 1,500,000 | 1,667,175 | ||||||
Massachusetts Development Finance Agency | ||||||||
1.05%, 11/01/2017 | 1,000,000 | 1,000,080 | ||||||
0.49%, 07/01/2050 | 4,000,000 | 3,971,520 | ||||||
Massachusetts Educational Financing Authority | ||||||||
4.00%, 01/01/2018 | 1,500,000 | 1,562,595 | ||||||
Massachusetts Health & Educational Facilities Authority | ||||||||
5.00%, 10/01/2017 | 2,000,000 | 2,137,680 | ||||||
0.89%, 07/01/2038 | 5,000,000 | 4,999,700 | ||||||
Massachusetts School Building Authority | ||||||||
5.00%, 01/15/2028 | 3,000,000 | 3,654,000 | ||||||
|
| |||||||
35,304,838 | ||||||||
|
| |||||||
Michigan - 3.40% | ||||||||
City of Detroit MI Sewage Disposal System Revenue | ||||||||
5.25%, 07/01/2039 | 3,000,000 | 3,309,600 | ||||||
City of Wyandotte MI Electric System Revenue | ||||||||
5.00%, 10/01/2021 | 750,000 | 844,042 | ||||||
5.00%, 10/01/2022 | 800,000 | 906,280 | ||||||
5.00%, 10/01/2023 | 500,000 | 568,560 | ||||||
5.00%, 10/01/2024 | 765,000 | 869,813 | ||||||
Holly Area School District | ||||||||
4.00%, 05/01/2017 | 500,000 | 520,010 | ||||||
Lake Orion Community School District | ||||||||
5.00%, 05/01/2020 | 1,390,000 | 1,588,812 | ||||||
5.00%, 05/01/2021 | 1,385,000 | 1,615,741 | ||||||
Michigan Finance Authority | ||||||||
5.00%, 07/01/2030 | 600,000 | 693,606 | ||||||
5.00%, 07/01/2033 | 250,000 | 281,553 | ||||||
Michigan State Hospital Finance Authority | ||||||||
1.63%, 11/01/2027 | 3,500,000 | 3,490,305 | ||||||
1.40%, 11/15/2047 | 7,565,000 | 7,600,026 | ||||||
1.50%, 11/15/2047 | 6,000,000 | 6,045,300 | ||||||
University of Michigan | ||||||||
5.00%, 04/01/2017 | 5,220,000 | 5,498,383 | ||||||
Wayne County Airport Authority | ||||||||
5.00%, 12/01/2018 | 250,000 | 274,760 | ||||||
5.00%, 12/01/2019 | 200,000 | 224,818 | ||||||
5.00%, 12/01/2020 | 200,000 | 228,688 | ||||||
5.00%, 12/01/2021 | 400,000 | 464,076 | ||||||
5.00%, 12/01/2022 | 200,000 | 234,698 |
Table of Contents
5.00%, 12/01/2023 | 400,000 | 473,504 | ||||||
5.00%, 12/01/2024 | 250,000 | 297,625 | ||||||
5.00%, 12/01/2027 | 3,000,000 | 3,452,370 | ||||||
5.00%, 12/01/2040 | 4,000,000 | 4,469,960 | ||||||
5.00%, 12/01/2042 | 1,000,000 | 1,087,410 | ||||||
|
| |||||||
45,039,940 | ||||||||
|
| |||||||
Minnesota - 0.68% | ||||||||
City of Rochester MN | ||||||||
5.00%, 12/01/2025 | 850,000 | 921,808 | ||||||
5.25%, 12/01/2038 | 1,000,000 | 1,043,910 | ||||||
Forest Lake Independent School District No 831 | ||||||||
5.00%, 02/01/2017 | 2,805,000 | 2,931,730 | ||||||
State of Minnesota | ||||||||
5.00%, 06/01/2017 | 2,010,000 | 2,131,002 | ||||||
5.00%, 11/01/2018 | 1,830,000 | 2,032,435 | ||||||
|
| |||||||
9,060,885 | ||||||||
|
| |||||||
Mississippi - 1.18% | ||||||||
Mississippi Business Finance Corp | ||||||||
0.40%, 05/01/2037 | 1,000,000 | 999,560 | ||||||
State of Mississippi | ||||||||
3.00%, 10/15/2017 | 1,500,000 | 1,550,220 | ||||||
4.00%, 10/15/2018 | 2,100,000 | 2,259,978 | ||||||
5.00%, 10/15/2019 | 4,545,000 | 5,155,257 | ||||||
5.00%, 10/15/2020 | 1,750,000 | 2,027,673 | ||||||
5.00%, 10/15/2021 | 1,300,000 | 1,534,988 | ||||||
5.00%, 10/15/2022 | 1,750,000 | 2,096,990 | ||||||
|
| |||||||
15,624,666 | ||||||||
|
| |||||||
Missouri - 0.59% | ||||||||
Health & Educational Facilities Authority of the State of Missouri | ||||||||
5.00%, 02/01/2029 | 1,000,000 | 1,161,660 | ||||||
5.00%, 02/01/2036 | 200,000 | 224,904 | ||||||
4.00%, 02/01/2040 | 100,000 | 101,029 | ||||||
5.00%, 08/01/2040 | 1,145,000 | 1,197,727 | ||||||
5.00%, 02/01/2045 | 300,000 | 331,692 | ||||||
Missouri Highway & Transportation Commission | ||||||||
5.00%, 05/01/2018 | 2,990,000 | 3,272,166 | ||||||
St Louis County Industrial Development Authority | ||||||||
5.00%, 12/01/2025 | 1,275,000 | 1,377,281 | ||||||
5.13%, 08/15/2045 | 200,000 | 199,988 | ||||||
|
| |||||||
7,866,447 | ||||||||
|
| |||||||
Nevada - 0.76% | ||||||||
Clark County School District | ||||||||
5.00%, 06/15/2018 | 4,000,000 | 4,306,080 | ||||||
County of Clark NV | ||||||||
5.00%, 11/01/2032 | 3,000,000 | 3,548,760 | ||||||
Las Vegas Valley Water District | ||||||||
5.00%, 06/01/2039 | 1,950,000 | 2,264,242 | ||||||
|
| |||||||
10,119,082 | ||||||||
|
| |||||||
New Hampshire - 0.19% | ||||||||
New Hampshire Business Finance Authority | ||||||||
4.00%, 01/01/2017 | 520,000 | 533,712 | ||||||
4.00%, 01/01/2018 | 545,000 | 569,705 | ||||||
4.00%, 01/01/2019 | 565,000 | 598,945 | ||||||
5.00%, 01/01/2024 | 720,000 | 829,865 | ||||||
|
| |||||||
2,532,227 | ||||||||
|
| |||||||
New Jersey - 3.20% | ||||||||
City of Millville NJ | ||||||||
2.00%, 07/15/2016 | 1,070,000 | 1,077,394 | ||||||
City of Trenton NJ | ||||||||
4.00%, 07/15/2016 | 600,000 | 608,826 |
Table of Contents
New Jersey Economic Development Authority | ||||||||
5.00%, 06/15/2019 | 4,500,000 | 4,847,130 | ||||||
4.00%, 01/01/2020 | 115,000 | 116,864 | ||||||
5.00%, 03/01/2024 | 2,405,000 | 2,627,799 | ||||||
5.00%, 06/15/2025 | 5,000,000 | 5,480,500 | ||||||
5.50%, 01/01/2027 | 500,000 | 580,860 | ||||||
5.63%, 11/15/2030 | 2,095,000 | 2,345,164 | ||||||
5.63%, 01/01/2052 | 2,000,000 | 2,236,240 | ||||||
New Jersey Educational Facilities Authority | ||||||||
5.00%, 06/01/2023 | 855,000 | 919,493 | ||||||
New Jersey Health Care Facilities Financing Authority | ||||||||
5.00%, 07/01/2024 | 2,500,000 | 2,878,525 | ||||||
5.00%, 07/01/2025 | 1,580,000 | 1,807,014 | ||||||
5.00%, 07/01/2031 | 430,000 | 476,053 | ||||||
5.63%, 07/01/2032 | 380,000 | 441,583 | ||||||
5.00%, 07/01/2046 | 575,000 | 627,607 | ||||||
New Jersey Higher Education Student Assistance Authority | ||||||||
5.00%, 12/01/2019 | 500,000 | 551,090 | ||||||
5.50%, 12/01/2021 | 1,000,000 | 1,145,350 | ||||||
5.00%, 12/01/2044 | 1,000,000 | 1,028,210 | ||||||
New Jersey Housing & Mortgage Finance Agency | ||||||||
0.80%, 11/01/2017 | 3,000,000 | 2,989,020 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.25%, 12/15/2022 | 1,760,000 | 1,977,131 | ||||||
5.00%, 12/15/2023 | 2,700,000 | 2,990,466 | ||||||
5.00%, 06/15/2025 | 450,000 | 488,349 | ||||||
0.00%, 12/15/2026 | 2,400,000 | 1,449,816 | ||||||
New Jersey Turnpike Authority | ||||||||
5.00%, 01/01/2017 | 255,000 | 265,575 | ||||||
Tobacco Settlement Financing Corp/NJ | ||||||||
4.63%, 06/01/2026 | 2,500,000 | 2,494,775 | ||||||
|
| |||||||
42,450,834 | ||||||||
|
| |||||||
New Mexico - 0.34% | ||||||||
Farmington Municipal School District No 5/NM | ||||||||
5.00%, 09/01/2024 | 490,000 | 604,503 | ||||||
Town of Clayton NM | ||||||||
4.00%, 11/01/2020 | 3,545,000 | 3,841,929 | ||||||
|
| |||||||
4,446,432 | ||||||||
|
| |||||||
New York - 13.20% | ||||||||
Binghamton City School District | ||||||||
2.00%, 11/18/2016 | 1,400,000 | 1,412,936 | ||||||
Build NYC Resource Corp | ||||||||
5.00%, 08/01/2022 | 200,000 | 232,482 | ||||||
5.00%, 08/01/2023 | 230,000 | 269,082 | ||||||
5.00%, 01/01/2035 | 3,000,000 | 3,205,890 | ||||||
Chautauqua County Capital Resource Corp | ||||||||
1.30%, 11/01/2031 | 1,100,000 | 1,100,000 | ||||||
City of New York NY | ||||||||
5.00%, 08/01/2017 | 6,365,000 | 6,784,199 | ||||||
5.00%, 08/01/2018 | 8,850,000 | 9,729,070 | ||||||
5.00%, 08/01/2021 | 6,000,000 | 7,103,880 | ||||||
0.56%, 08/01/2025 | 500,000 | 497,110 | ||||||
5.00%, 08/01/2027 | 2,975,000 | 3,635,629 | ||||||
5.00%, 08/01/2028 | 3,975,000 | 4,842,504 | ||||||
City of Yonkers NY | ||||||||
4.00%, 07/01/2018 | 2,000,000 | 2,120,560 | ||||||
5.00%, 09/01/2022 | 2,350,000 | 2,798,333 | ||||||
5.00%, 09/01/2025 | 1,015,000 | 1,235,285 | ||||||
County of Erie NY | ||||||||
5.00%, 06/01/2017 | 1,000,000 | 1,059,190 |
Table of Contents
5.00%, 09/15/2017 | 550,000 | 588,731 | ||||||
5.00%, 06/01/2018 | 500,000 | 546,610 | ||||||
5.00%, 09/15/2018 | 365,000 | 402,544 | ||||||
5.00%, 06/01/2019 | 1,000,000 | 1,124,180 | ||||||
5.00%, 09/15/2019 | 500,000 | 566,465 | ||||||
5.00%, 06/01/2020 | 500,000 | 575,895 | ||||||
5.00%, 09/15/2020 | 350,000 | 405,808 | ||||||
5.00%, 06/01/2021 | 750,000 | 881,895 | ||||||
5.00%, 09/15/2021 | 225,000 | 266,051 | ||||||
5.00%, 06/01/2025 | 1,630,000 | 2,006,383 | ||||||
County of Rockland NY | ||||||||
4.00%, 01/01/2021 | 1,100,000 | 1,211,045 | ||||||
County of Suffolk NY | ||||||||
2.00%, 07/27/2016 | 5,000,000 | 5,034,500 | ||||||
1.50%, 09/30/2016 | 7,500,000 | 7,537,350 | ||||||
East Rockaway Union Free School District | ||||||||
1.50%, 06/21/2016 | 1,750,000 | 1,756,055 | ||||||
Metropolitan Transportation Authority | ||||||||
5.00%, 11/15/2019 | 1,290,000 | 1,465,376 | ||||||
1.01%, 11/01/2026 | 520,000 | 520,317 | ||||||
5.00%, 11/15/2029 | 10,000,000 | 11,978,800 | ||||||
0.77%, 11/01/2032 | 1,000,000 | 994,930 | ||||||
Nassau County Industrial Development Agency | ||||||||
6.50%, 01/01/2034 (1) | 300,000 | 299,262 | ||||||
6.70%, 01/01/2049 (1) | 285,000 | 281,489 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
5.00%, 11/01/2018 | 1,650,000 | 1,829,108 | ||||||
5.00%, 02/01/2019 | 1,000,000 | 1,116,420 | ||||||
0.24%, 11/01/2022 | 5,000,000 | 5,000,000 | ||||||
0.30%, 11/01/2022 | 6,000,000 | 6,000,000 | ||||||
5.00%, 11/01/2028 | 3,250,000 | 3,966,105 | ||||||
5.00%, 11/01/2029 | 2,000,000 | 2,407,780 | ||||||
New York City Water & Sewer System | ||||||||
5.00%, 06/15/2031 | 6,075,000 | 7,249,298 | ||||||
New York Convention Center Development Corp | ||||||||
5.00%, 11/15/2033 | 3,000,000 | 3,553,680 | ||||||
New York Liberty Development Corp | ||||||||
5.25%, 10/01/2035 | 1,500,000 | 1,797,660 | ||||||
5.38%, 11/15/2040 | 1,500,000 | 1,587,060 | ||||||
5.00%, 11/15/2044 | 1,500,000 | 1,546,470 | ||||||
New York State Dormitory Authority | ||||||||
5.00%, 03/15/2016 | 1,000,000 | 1,009,160 | ||||||
5.00%, 03/15/2017 | 2,750,000 | 2,892,752 | ||||||
5.00%, 03/15/2018 | 4,000,000 | 4,348,680 | ||||||
5.00%, 12/15/2018 | 1,105,000 | 1,150,371 | ||||||
5.00%, 03/15/2019 | 3,500,000 | 3,924,550 | ||||||
5.00%, 07/01/2022 | 250,000 | 296,580 | ||||||
5.00%, 07/01/2023 | 250,000 | 298,832 | ||||||
5.00%, 05/01/2024 | 4,870,000 | 5,835,867 | ||||||
5.00%, 07/01/2024 | 250,000 | 301,128 | ||||||
5.00%, 07/01/2025 | 250,000 | 302,963 | ||||||
5.00%, 03/15/2027 | 2,500,000 | 3,056,300 | ||||||
New York State Thruway Authority | ||||||||
5.00%, 05/01/2019 | 11,000,000 | 12,333,200 | ||||||
New York State Urban Development Corp | ||||||||
5.00%, 03/15/2020 | 3,215,000 | 3,693,006 | ||||||
5.00%, 03/15/2035 | 2,800,000 | 3,268,104 | ||||||
New York Transportation Development Corp | ||||||||
5.00%, 01/01/2023 | 125,000 | 147,284 |
Table of Contents
Port Authority of New York & New Jersey | ||||||||
5.00%, 09/01/2017 | 3,000,000 | 3,197,700 | ||||||
5.00%, 10/15/2033 | 3,500,000 | 4,030,565 | ||||||
Sales Tax Asset Receivable Corp | ||||||||
5.00%, 10/15/2017 | 1,500,000 | 1,611,345 | ||||||
Suffolk County Economic Development Corp | ||||||||
5.00%, 07/01/2028 | 300,000 | 356,664 | ||||||
5.00%, 07/01/2028 | 1,750,000 | 1,920,258 | ||||||
Upper Mohawk Valley Regional Water Finance Authority | ||||||||
5.00%, 04/01/2019 | 500,000 | 559,950 | ||||||
|
| |||||||
175,058,676 | ||||||||
|
| |||||||
North Carolina - 2.38% | ||||||||
Charlotte-Mecklenburg Hospital Authority/The | ||||||||
5.00%, 01/15/2031 | 1,500,000 | 1,720,275 | ||||||
County of Mecklenburg NC | ||||||||
5.00%, 08/01/2018 | 3,000,000 | 3,307,680 | ||||||
County of Wake NC | ||||||||
5.00%, 03/01/2020 | 1,515,000 | 1,749,507 | ||||||
North Carolina Capital Facilities Finance Agency | ||||||||
5.00%, 06/01/2019 | 500,000 | 552,745 | ||||||
5.00%, 06/01/2021 | 500,000 | 570,390 | ||||||
North Carolina Eastern Municipal Power Agency | ||||||||
5.00%, 01/01/2020 | 1,000,000 | 1,116,760 | ||||||
5.00%, 01/01/2021 | 1,420,000 | 1,585,799 | ||||||
5.00%, 01/01/2021 | 1,965,000 | 2,311,803 | ||||||
5.00%, 01/01/2026 | 5,000,000 | 5,583,800 | ||||||
North Carolina Medical Care Commission | ||||||||
6.25%, 07/01/2035 | 1,000,000 | 1,127,090 | ||||||
5.00%, 09/01/2037 | 1,500,000 | 1,509,330 | ||||||
4.88%, 07/01/2040 | 550,000 | 566,423 | ||||||
North Carolina Municipal Power Agency No 1 | ||||||||
5.00%, 01/01/2020 | 1,100,000 | 1,259,445 | ||||||
5.00%, 01/01/2025 | 2,935,000 | 3,268,504 | ||||||
5.00%, 01/01/2026 | 2,515,000 | 2,800,780 | ||||||
State of North Carolina | ||||||||
5.00%, 06/01/2017 | 2,400,000 | 2,544,840 | ||||||
|
| |||||||
31,575,171 | ||||||||
|
| |||||||
North Dakota - 0.04% | ||||||||
City of Hazen ND | ||||||||
2.50%, 07/01/2017 | 500,000 | 500,000 | ||||||
|
| |||||||
Ohio - 1.86% | ||||||||
Buckeye Tobacco Settlement Financing Authority | ||||||||
6.50%, 06/01/2047 | 2,000,000 | 1,849,700 | ||||||
City of Cleveland OH Airport System Revenue | ||||||||
5.25%, 01/01/2018 | 1,215,000 | 1,304,570 | ||||||
Clermont County Port Authority | ||||||||
5.00%, 12/01/2029 | 750,000 | 884,707 | ||||||
5.00%, 12/01/2030 | 850,000 | 997,075 | ||||||
5.00%, 12/01/2031 | 650,000 | 759,428 | ||||||
County of Cuyahoga OH | ||||||||
5.00%, 12/01/2026 | 2,500,000 | 2,946,075 | ||||||
Ohio Air Quality Development Authority | ||||||||
5.70%, 08/01/2020 | 1,500,000 | 1,651,500 | ||||||
Ohio Housing Finance Agency | ||||||||
0.85%, 08/01/2017 | 2,000,000 | 1,991,480 | ||||||
Ohio Water Development Authority | ||||||||
4.00%, 12/01/2033 | 3,285,000 | 3,420,933 | ||||||
Southeastern Ohio Port Authority | ||||||||
5.75%, 12/01/2032 | 220,000 | 239,417 | ||||||
5.50%, 12/01/2043 | 1,000,000 | 1,064,340 |
Table of Contents
State of Ohio | ||||||||
4.00%, 09/01/2021 | 3,980,000 | 4,526,534 | ||||||
1.70%, 11/01/2022 | 3,000,000 | 2,999,160 | ||||||
|
| |||||||
24,634,919 | ||||||||
|
| |||||||
Oklahoma - 0.31% | ||||||||
Cleveland County Educational Facilities Authority | ||||||||
5.00%, 07/01/2018 | 1,000,000 | 1,090,740 | ||||||
Garvin County Educational Facilities Authority | ||||||||
4.00%, 09/01/2017 | 500,000 | 522,920 | ||||||
Oklahoma County Finance Authority | ||||||||
5.70%, 04/01/2025 (1) | 700,000 | 684,719 | ||||||
5.13%, 04/01/2042 (1) | 1,900,000 | 1,786,437 | ||||||
|
| |||||||
4,084,816 | ||||||||
|
| |||||||
Oregon - 0.40% | ||||||||
State of Oregon Department of Transportation | ||||||||
5.00%, 11/15/2023 | 2,000,000 | 2,255,040 | ||||||
State of Oregon Housing & Community Services Department | ||||||||
0.80%, 08/01/2018 | 3,000,000 | 2,995,530 | ||||||
|
| |||||||
5,250,570 | ||||||||
|
| |||||||
Pennsylvania - 7.38% | ||||||||
Allegheny County Airport Authority | ||||||||
5.00%, 01/01/2017 | 1,755,000 | 1,824,235 | ||||||
Beaver County Industrial Development Authority | ||||||||
3.50%, 12/01/2035 | 3,285,000 | 3,365,844 | ||||||
Butler County Hospital Authority | ||||||||
0.13%, 10/01/2042 | 9,510,000 | 9,510,000 | ||||||
Central Greene School District | ||||||||
5.00%, 02/15/2018 | 860,000 | 926,891 | ||||||
Chester County Industrial Development Authority | ||||||||
0.65%, 02/01/2017 | 3,350,000 | 3,334,221 | ||||||
City of Philadelphia PA | ||||||||
2.00%, 08/01/2016 | 5,805,000 | 5,852,775 | ||||||
5.00%, 08/01/2017 | 2,000,000 | 2,125,880 | ||||||
5.00%, 08/01/2023 | 3,000,000 | 3,543,720 | ||||||
5.00%, 07/15/2026 | 2,475,000 | 2,898,819 | ||||||
5.00%, 08/01/2028 | 6,000,000 | 7,084,680 | ||||||
Commonwealth of Pennsylvania | ||||||||
3.10%, 06/01/2016 | 1,000,000 | 1,009,310 | ||||||
5.00%, 04/01/2017 | 1,000,000 | 1,052,310 | ||||||
5.00%, 08/15/2021 | 1,015,000 | 1,195,812 | ||||||
5.00%, 03/15/2023 | 9,970,000 | 11,934,389 | ||||||
County of Allegheny PA | ||||||||
4.00%, 12/01/2017 | 3,725,000 | 3,932,184 | ||||||
Cumberland County Municipal Authority | ||||||||
5.25%, 01/01/2041 | 170,000 | 174,561 | ||||||
Delaware County Authority | ||||||||
5.00%, 08/01/2030 | 1,150,000 | 1,355,781 | ||||||
Delaware Valley Regional Finance Authority | ||||||||
5.75%, 07/01/2017 | 3,000,000 | 3,206,460 | ||||||
Montgomery County Industrial Development Authority/PA | ||||||||
5.25%, 01/15/2036 | 2,500,000 | 2,756,675 | ||||||
5.25%, 01/01/2040 | 1,510,000 | 1,513,201 | ||||||
Northampton County General Purpose Authority | ||||||||
5.50%, 08/15/2040 | 125,000 | 134,639 | ||||||
Pennsylvania Economic Development Financing Authority | ||||||||
0.55%, 08/01/2045 | 2,000,000 | 1,999,840 | ||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||
5.00%, 06/15/2024 | 3,005,000 | 3,611,499 | ||||||
5.00%, 06/15/2025 | 1,855,000 | 2,241,118 | ||||||
1.20%, 11/01/2031 | 2,500,000 | 2,492,375 | ||||||
Pennsylvania State University | ||||||||
5.00%, 03/01/2017 | 1,500,000 | 1,574,805 |
Table of Contents
Reading School District | ||||||||
5.00%, 02/01/2018 | 1,450,000 | 1,549,020 | ||||||
5.00%, 02/01/2019 | 1,660,000 | 1,815,310 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,115,430 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,115,430 | ||||||
5.00%, 02/01/2021 | 1,000,000 | 1,132,070 | ||||||
5.00%, 02/01/2022 | 1,920,000 | 2,195,693 | ||||||
Redevelopment Authority of the City of Philadelphia | ||||||||
5.00%, 04/15/2023 | 1,335,000 | 1,530,831 | ||||||
State Public School Building Authority | ||||||||
5.00%, 04/01/2023 | 2,500,000 | 2,739,125 | ||||||
5.00%, 06/15/2025 | 3,000,000 | 3,527,880 | ||||||
Susquehanna Area Regional Airport Authority | ||||||||
6.50%, 01/01/2038 | 475,000 | 501,078 | ||||||
|
| |||||||
97,873,891 | ||||||||
|
| |||||||
Puerto Rico - 0.16% | ||||||||
Puerto Rico Electric Power Authority | ||||||||
5.00%, 07/01/2019 | 1,500,000 | 1,501,005 | ||||||
5.50%, 07/01/2019 | 500,000 | 515,150 | ||||||
5.25%, 07/01/2027 | 145,000 | 143,196 | ||||||
|
| |||||||
2,159,351 | ||||||||
|
| |||||||
Rhode Island - 0.10% | ||||||||
Providence Redevelopment Agency | ||||||||
5.00%, 04/01/2028 | 1,200,000 | 1,333,440 | ||||||
|
| |||||||
South Carolina - 2.28% | ||||||||
City of Woodruff SC Sewer System Revenue | ||||||||
1.05%, 04/01/2017 | 3,000,000 | 2,994,480 | ||||||
Piedmont Municipal Power Agency | ||||||||
5.00%, 01/01/2017 | 13,185,000 | 13,715,828 | ||||||
Scago Educational Facilities Corp for Sumter County School 17 | ||||||||
4.00%, 12/01/2019 | 630,000 | 678,296 | ||||||
4.00%, 12/01/2021 | 1,895,000 | 2,069,643 | ||||||
Scago Educational Facilities Corp for Union School District | ||||||||
5.00%, 12/01/2023 | 1,060,000 | 1,258,135 | ||||||
South Carolina State Public Service Authority | ||||||||
5.00%, 12/01/2050 | 8,640,000 | 9,510,394 | ||||||
|
| |||||||
30,226,776 | ||||||||
|
| |||||||
South Dakota - 0.36% | ||||||||
South Dakota Health & Educational Facilities Authority | ||||||||
3.00%, 11/01/2017 | 450,000 | 465,768 | ||||||
5.00%, 09/01/2019 | 300,000 | 336,045 | ||||||
5.00%, 11/01/2029 | 800,000 | 935,920 | ||||||
5.00%, 11/01/2030 | 1,000,000 | 1,164,350 | ||||||
5.00%, 11/01/2042 | 145,000 | 158,823 | ||||||
5.00%, 11/01/2045 | 1,500,000 | 1,684,215 | ||||||
|
| |||||||
4,745,121 | ||||||||
|
| |||||||
Tennessee - 1.58% | ||||||||
Chattanooga Health Educational & Housing Facility Board | ||||||||
4.00%, 10/01/2016 | 2,120,000 | 2,169,205 | ||||||
3.00%, 10/01/2018 | 500,000 | 520,570 | ||||||
3.00%, 10/01/2019 | 600,000 | 626,112 | ||||||
5.00%, 10/01/2021 | 1,000,000 | 1,144,280 | ||||||
5.00%, 10/01/2022 | 325,000 | 374,419 | ||||||
5.00%, 10/01/2030 | 500,000 | 557,470 | ||||||
5.00%, 10/01/2032 | 1,215,000 | 1,348,322 | ||||||
5.00%, 10/01/2035 | 2,260,000 | 2,498,227 | ||||||
Johnson City Health & Educational Facilities Board | ||||||||
5.00%, 08/15/2042 | 2,000,000 | 2,169,420 | ||||||
Metropolitan Government of Nashville & Davidson County TN | ||||||||
5.00%, 07/01/2017 | 8,000,000 | 8,500,320 |
Table of Contents
Tennessee Energy Acquisition Corp | ||||||||
5.00%, 09/01/2016 | 1,020,000 | 1,048,570 | ||||||
|
| |||||||
20,956,915 | ||||||||
|
| |||||||
Texas - 9.41% | ||||||||
Austin Convention Enterprises Inc | ||||||||
5.25%, 01/01/2024 | 1,330,000 | 1,368,038 | ||||||
Board of Managers Joint Guadalupe County-City of Seguin Hospital | ||||||||
5.25%, 12/01/2035 | 525,000 | 567,493 | ||||||
Central Texas Regional Mobility Authority | ||||||||
5.00%, 01/01/2016 | 1,175,000 | 1,175,000 | ||||||
5.00%, 01/01/2022 | 990,000 | 1,146,479 | ||||||
5.00%, 01/01/2034 | 1,475,000 | 1,672,665 | ||||||
5.00%, 01/01/2042 | 1,335,000 | 1,411,496 | ||||||
Central Texas Turnpike System | ||||||||
5.00%, 08/15/2037 | 2,500,000 | 2,800,225 | ||||||
City of Austin TX | ||||||||
5.00%, 09/01/2019 | 610,000 | 693,057 | ||||||
5.00%, 09/01/2033 | 2,920,000 | 3,520,294 | ||||||
City of El Paso TX | ||||||||
5.00%, 08/15/2025 | 2,245,000 | 2,762,652 | ||||||
City of Houston TX Airport System Revenue | ||||||||
5.00%, 07/01/2017 | 1,500,000 | 1,590,810 | ||||||
City of San Antonio TX | ||||||||
5.00%, 02/01/2017 | 4,300,000 | 4,501,842 | ||||||
5.00%, 02/01/2026 | 2,190,000 | 2,697,708 | ||||||
City Public Service Board of San Antonio TX | ||||||||
5.00%, 02/01/2017 | 2,075,000 | 2,171,944 | ||||||
5.00%, 02/01/2017 | 1,175,000 | 1,230,025 | ||||||
5.00%, 02/01/2032 | 4,250,000 | 4,447,625 | ||||||
3.00%, 12/01/2045 | 5,000,000 | 5,306,900 | ||||||
County of Williamson TX | ||||||||
5.00%, 02/15/2021 | 1,000,000 | 1,178,490 | ||||||
Cypress-Fairbanks Independent School District | ||||||||
5.00%, 02/15/2017 | 1,205,000 | 1,262,924 | ||||||
5.00%, 02/15/2021 | 4,720,000 | 5,539,534 | ||||||
3.00%, 02/15/2040 | 4,000,000 | 4,126,000 | ||||||
3.00%, 02/15/2040 | 5,000,000 | 5,225,150 | ||||||
Dallas/Fort Worth International Airport | ||||||||
5.00%, 11/01/2017 | 1,000,000 | 1,073,810 | ||||||
Fort Bend Independent School District | ||||||||
0.66%, 08/01/2040 | 2,500,000 | 2,499,150 | ||||||
Harris County Cultural Education Facilities Finance Corp | ||||||||
4.00%, 12/01/2016 | 500,000 | 514,730 | ||||||
5.00%, 06/01/2018 | 3,000,000 | 3,268,440 | ||||||
Houston Independent School District | ||||||||
0.95%, 06/01/2035 | 1,000,000 | 999,860 | ||||||
Love Field Airport Modernization Corp | ||||||||
5.00%, 11/01/2028 | 250,000 | 274,950 | ||||||
5.25%, 11/01/2040 | 1,435,000 | 1,578,141 | ||||||
Lower Colorado River Authority | ||||||||
5.00%, 05/15/2020 | 340,000 | 388,317 | ||||||
Mission Economic Development Corp | ||||||||
0.50%, 01/01/2020 | 1,500,000 | 1,500,000 | ||||||
0.60%, 01/01/2026 | 4,500,000 | 4,500,090 | ||||||
New Hope Cultural Education Facilities Corp | ||||||||
5.00%, 07/01/2035 | 2,000,000 | 2,114,500 | ||||||
5.00%, 07/01/2047 | 1,075,000 | 1,106,078 | ||||||
North Texas Municipal Water District | ||||||||
5.00%, 06/01/2017 | 2,230,000 | 2,362,640 |
Table of Contents
North Texas Tollway Authority | ||||||||
5.00%, 01/01/2031 | 650,000 | 737,756 | ||||||
5.00%, 01/01/2033 | 3,150,000 | 3,584,480 | ||||||
6.25%, 01/01/2039 | 340,000 | 385,706 | ||||||
5.00%, 01/01/2040 | 2,000,000 | 2,229,060 | ||||||
5.00%, 01/01/2045 | 5,000,000 | 5,573,950 | ||||||
State of Texas | ||||||||
5.00%, 04/01/2017 | 1,500,000 | 1,580,190 | ||||||
5.00%, 10/01/2019 | 1,950,000 | 2,221,440 | ||||||
5.00%, 04/01/2020 | 2,845,000 | 3,101,960 | ||||||
5.00%, 10/01/2032 | 5,000,000 | 6,021,350 | ||||||
Tarrant County Cultural Education Facilities Finance Corp | ||||||||
5.00%, 11/15/2035 | 1,750,000 | 1,814,715 | ||||||
5.00%, 11/15/2040 | 1,800,000 | 1,839,258 | ||||||
Texas Municipal Gas Acquisition & Supply Corp I | ||||||||
1.79%, 12/15/2026 | 2,000,000 | 1,794,240 | ||||||
6.25%, 12/15/2026 | 4,750,000 | 5,846,063 | ||||||
Texas Municipal Gas Acquisition & Supply Corp III | ||||||||
5.00%, 12/15/2032 | 3,000,000 | 3,253,980 | ||||||
Texas Transportation Commission State Highway Fund | ||||||||
5.00%, 10/01/2023 | 5,000,000 | 6,158,600 | ||||||
|
| |||||||
124,719,805 | ||||||||
|
| |||||||
Utah - 0.57% | ||||||||
State of Utah | ||||||||
5.00%, 07/01/2016 | 800,000 | 818,208 | ||||||
Utah Transit Authority | ||||||||
0.00%, 06/15/2035 | 16,935,000 | 6,795,677 | ||||||
|
| |||||||
7,613,885 | ||||||||
|
| |||||||
Virgin Islands - 0.25% | ||||||||
Virgin Islands Public Finance Authority | ||||||||
5.00%, 10/01/2032 | 3,000,000 | 3,294,870 | ||||||
|
| |||||||
Virginia - 4.09% | ||||||||
Chesterfield County Economic Development Authority | ||||||||
5.00%, 05/01/2023 | 200,000 | 222,718 | ||||||
City of Norfolk VA Water Revenue | ||||||||
5.00%, 11/01/2017 | 1,000,000 | 1,075,890 | ||||||
County of Botetourt VA | ||||||||
6.00%, 07/01/2034 | 1,500,000 | 1,569,960 | ||||||
County of Fairfax VA | ||||||||
5.00%, 10/01/2017 | 5,320,000 | 5,708,254 | ||||||
Fairfax County Economic Development Authority | ||||||||
5.00%, 04/01/2017 | 1,785,000 | 1,879,748 | ||||||
Fredericksburg Economic Development Authority | ||||||||
5.00%, 06/15/2031 | 500,000 | 556,330 | ||||||
Greater Richmond Convention Center Authority | ||||||||
5.00%, 06/15/2020 | 1,000,000 | 1,146,130 | ||||||
Hanover County Economic Development Authority | ||||||||
5.00%, 07/01/2042 | 1,000,000 | 1,021,640 | ||||||
5.00%, 07/01/2047 | 2,000,000 | 2,035,440 | ||||||
Norfolk Economic Development Authority | ||||||||
5.00%, 11/01/2020 | 645,000 | 752,180 | ||||||
Virginia College Building Authority | ||||||||
5.00%, 09/01/2016 | 1,000,000 | 1,029,890 | ||||||
5.00%, 02/01/2017 | 500,000 | 523,525 | ||||||
5.00%, 02/01/2017 | 200,000 | 209,410 | ||||||
5.00%, 07/01/2030 | 500,000 | 523,455 | ||||||
5.00%, 07/01/2045 | 500,000 | 504,885 | ||||||
5.00%, 07/01/2045 | 1,000,000 | 1,009,770 | ||||||
Virginia Commonwealth Transportation Board | ||||||||
5.00%, 05/15/2021 | 2,280,000 | 2,697,080 |
Table of Contents
Virginia Public School Authority | ||||||||
5.00%, 08/01/2017 | 1,310,000 | 1,397,128 | ||||||
5.00%, 07/15/2018 | 1,510,000 | 1,661,015 | ||||||
5.00%, 08/01/2018 | 1,020,000 | 1,122,143 | ||||||
5.00%, 07/15/2020 | 3,000,000 | 3,490,560 | ||||||
5.00%, 08/01/2021 | 6,000,000 | 7,117,980 | ||||||
5.00%, 08/01/2022 | 2,505,000 | 3,035,835 | ||||||
5.00%, 08/01/2027 | 3,000,000 | 3,706,680 | ||||||
Virginia Small Business Financing Authority | ||||||||
5.00%, 01/01/2040 | 1,555,000 | 1,643,822 | ||||||
5.50%, 01/01/2042 | 3,250,000 | 3,570,840 | ||||||
Wise County Industrial Development Authority | ||||||||
1.88%, 11/01/2040 | 5,000,000 | 5,026,350 | ||||||
|
| |||||||
54,238,658 | ||||||||
|
| |||||||
Washington - 1.45% | ||||||||
Energy Northwest | ||||||||
5.00%, 07/01/2018 | 1,000,000 | 1,098,490 | ||||||
Skagit County Public Hospital District No 1 | ||||||||
5.00%, 12/01/2020 | 1,000,000 | 1,119,070 | ||||||
State of Washington | ||||||||
5.00%, 02/01/2020 | 2,420,000 | 2,778,959 | ||||||
5.00%, 07/01/2021 | 1,200,000 | 1,425,264 | ||||||
5.00%, 08/01/2027 | 550,000 | 677,957 | ||||||
5.00%, 07/01/2031 | 5,000,000 | 5,973,800 | ||||||
Tobacco Settlement Authority | ||||||||
5.00%, 06/01/2016 | 3,055,000 | 3,108,860 | ||||||
Washington Health Care Facilities Authority | ||||||||
5.00%, 10/01/2017 | 1,150,000 | 1,233,099 | ||||||
5.00%, 10/01/2021 | 1,510,000 | 1,782,102 | ||||||
|
| |||||||
19,197,601 | ||||||||
|
| |||||||
West Virginia - 0.07% | ||||||||
West Virginia Economic Development Authority | ||||||||
5.38%, 12/01/2038 | 885,000 | 982,270 | ||||||
|
| |||||||
Wisconsin - 0.39% | ||||||||
County of La Crosse WI | ||||||||
3.00%, 10/01/2017 | 510,000 | 529,303 | ||||||
State of Wisconsin | ||||||||
5.00%, 05/01/2018 | 1,000,000 | 1,092,200 | ||||||
5.00%, 11/01/2020 | 2,005,000 | 2,344,306 | ||||||
Wisconsin Health & Educational Facilities Authority | ||||||||
5.00%, 08/15/2016 | 500,000 | 512,995 | ||||||
5.00%, 12/01/2022 | 560,000 | 661,074 | ||||||
|
| |||||||
5,139,878 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $1,290,655,079) | $ | 1,304,645,415 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENTS - 1.04% | ||||||||
Money Market Funds - 1.04% | ||||||||
Fidelity Institutional Money Market Government Portfolio – Class I, 0.12% | 6,922,753 | $ | 6,922,753 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.11% | 6,922,752 | 6,922,752 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $13,845,505) | $ | 13,845,505 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.46% | $ | 1,318,490,920 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.54% | 7,076,722 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 1,325,567,642 | ||||||
|
|
(1) | Securitiy is treated as illiquid by the Fund. The value of these securities totals $3,996,134, which represents 0.30% of total net assets. |
Table of Contents
Municipal Bonds
Alabama | 1.42 | % | ||
Alaska | 0.36 | % | ||
Arizona | 0.78 | % | ||
Arkansas | 0.06 | % | ||
California | 6.47 | % | ||
Colorado | 0.52 | % | ||
Connecticut | 4.22 | % | ||
Delaware | 0.00 | % | ||
District of Columbia | 0.19 | % | ||
Florida | 6.96 | % | ||
Georgia | 0.96 | % | ||
Guam | 0.12 | % | ||
Hawaii | 0.18 | % | ||
Idaho | 0.24 | % | ||
Illinois | 8.26 | % | ||
Indiana | 2.70 | % | ||
Iowa | 0.14 | % | ||
Kansas | 0.37 | % | ||
Kentucky | 0.78 | % | ||
Louisiana | 1.89 | % | ||
Maryland | 2.52 | % | ||
Massachusetts | 2.66 | % | ||
Michigan | 3.40 | % | ||
Minnesota | 0.68 | % | ||
Mississippi | 1.18 | % | ||
Missouri | 0.59 | % | ||
Nevada | 0.76 | % | ||
New Hampshire | 0.19 | % | ||
New Jersey | 3.20 | % | ||
New Mexico | 0.34 | % | ||
New York | 13.20 | % | ||
North Carolina | 2.38 | % | ||
North Dakota | 0.04 | % | ||
Ohio | 1.86 | % | ||
Oklahoma | 0.31 | % | ||
Oregon | 0.40 | % | ||
Pennsylvania | 7.38 | % | ||
Puerto Rico | 0.16 | % | ||
Rhode Island | 0.10 | % | ||
South Carolina | 2.28 | % | ||
South Dakota | 0.36 | % | ||
Tennessee | 1.58 | % | ||
Texas | 9.41 | % | ||
Utah | 0.57 | % | ||
Virgin Islands | 0.25 | % | ||
Virginia | 4.09 | % | ||
Washington | 1.45 | % | ||
West Virginia | 0.07 | % | ||
Wisconsin | 0.39 | % | ||
|
| |||
Total Municipal Bonds | 98.42 | % | ||
|
| |||
SHORT-TERM INVESTMENTS | 1.04 | % | ||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.46 | % | ||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.54 | % | ||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
Table of Contents
Bridge Builder Large Cap Growth Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | |||||||
Common Stocks - 96.95% | ||||||||
Consumer Discretionary - 19.25% | ||||||||
Aaron’s, Inc. | 229 | $ | 5,127 | |||||
Advance Auto Parts, Inc. | 49,198 | 7,404,791 | ||||||
Amazon.com, Inc. (1) | 125,335 | 84,712,673 | ||||||
AMC Networks, Inc. (1) | 1,469 | 109,705 | ||||||
Aramark | 4,301 | 138,707 | ||||||
AutoNation, Inc. (1) | 1,781 | 106,254 | ||||||
Autozone, Inc. (1) | 15,920 | 11,811,207 | ||||||
Bed Bath & Beyond, Inc. (1) | 4,129 | 199,224 | ||||||
Borgwarner, Inc. | 218,077 | 9,427,469 | ||||||
Brinker International, Inc. | 1,460 | 70,007 | ||||||
Brunswick Corp. | 1,631 | 82,382 | ||||||
Cabela’s, Inc. (1) | 115 | 5,374 | ||||||
Cablevision Systems Corp. | 697 | 22,234 | ||||||
CarMax, Inc. (1) | 5,080 | 274,168 | ||||||
Carter’s, Inc. | 1,273 | 113,335 | ||||||
CBS Corp. | 11,924 | 561,978 | ||||||
Charter Communications, Inc. - Class A (1) | 1,834 | 335,805 | ||||||
Chipotle Mexican Grill, Inc. (1) | 755 | 362,287 | ||||||
Choice Hotels International, Inc. | 846 | 42,647 | ||||||
Cinemark Holdings, Inc. | 2,766 | 92,467 | ||||||
Clear Channel Outdoor Holdings, Inc. (1) | 338 | 1,889 | ||||||
Coach, Inc. | 924 | 30,243 | ||||||
Comcast Corp. - Class A | 54,857 | 3,095,581 | ||||||
CST Brands, Inc. | 1,531 | 59,923 | ||||||
D.R. Horton, Inc. | 3,244 | 103,905 | ||||||
Darden Restaurants, Inc. | 598 | 38,057 | ||||||
Delphi Automotive Plc | 6,958 | 596,509 | ||||||
Dick’s Sporting Goods, Inc. | 1,513 | 53,485 | ||||||
Dillard’s, Inc. | 68 | 4,468 | ||||||
Discovery Communications, Inc. - Class A (1) | 3,382 | 90,232 | ||||||
Discovery Communications, Inc. - Class C (1) | 6,154 | 155,204 | ||||||
Dish Network Corp. (1) | 3,590 | 205,276 | ||||||
Dollar General Corp. | 219,087 | 15,745,783 | ||||||
Dollar Tree, Inc. (1) | 5,589 | 431,583 | ||||||
Domino’s Pizza, Inc. | 1,368 | 152,190 | ||||||
DSW, Inc. | 105 | 2,505 | ||||||
Dunkin’ Brands Group, Inc. | 2,297 | 97,829 | ||||||
Expedia, Inc. | 2,538 | 315,473 | ||||||
Extended Stay America, Inc. | 1,426 | 22,673 | ||||||
Foot Locker, Inc. | 2,923 | 190,258 | ||||||
Fossil Group, Inc. (1) | 821 | 30,016 | ||||||
Gap, Inc. | 5,764 | 142,371 | ||||||
Gentex Corp. | 3,511 | 56,211 | ||||||
Genuine Parts Co. | 3,405 | 292,455 | ||||||
GNC Holdings, Inc. | 2,067 | 64,118 | ||||||
GoPro, Inc. (1) | 2,130 | 38,361 | ||||||
Groupon, Inc. (1) | 11,821 | 36,290 | ||||||
H&R Block, Inc. | 5,348 | 178,142 | ||||||
Hanesbrands, Inc. | 9,670 | 284,588 | ||||||
Harley-Davidson, Inc. | 2,763 | 125,413 | ||||||
Harman International Industries, Inc. | 1,725 | 162,512 | ||||||
Hasbro, Inc. | 2,192 | 147,653 | ||||||
Hilton Worldwide Holdings, Inc. | 12,497 | 267,436 | ||||||
Home Depot, Inc. | 31,512 | 4,167,462 | ||||||
Industria De Diseno Textil SA -ADR | 667,504 | 11,514,444 | ||||||
International Game Technology Plc | 1,513 | 24,480 | ||||||
Interpublic Group of Companies, Inc. | 9,945 | 231,520 | ||||||
Jarden Corp. (1) | 5,086 | 290,512 | ||||||
JD.com, Inc. - ADR (1) | 91,355 | 2,947,569 | ||||||
Johnson Controls, Inc. | 3,484 | 137,583 | ||||||
Kate Spade & Co. (1) | 3,047 | 54,145 |
Table of Contents
L Brands, Inc. | 6,008 | 575,687 | ||||||
Las Vegas Sands Corp. | 8,822 | 386,757 | ||||||
Lear Corp. | 1,428 | 175,401 | ||||||
Leggett & Platt, Inc. | 3,345 | 140,557 | ||||||
Lennar Corp. - Class A | 1,628 | 79,626 | ||||||
Lennar Corp. - Class B | 157 | 6,308 | ||||||
Liberty Interactive Corp. (1) | 5,312 | 145,124 | ||||||
Liberty Venture Group (1) | 3,503 | 158,020 | ||||||
Lions Gate Entertainment Corp. | 2,266 | 73,396 | ||||||
Live Nation Entertainment, Inc. (1) | 3,476 | 85,405 | ||||||
LKQ Corp. (1) | 7,342 | 217,543 | ||||||
Lowes Companies, Inc. | 684,630 | 52,059,265 | ||||||
lululemon athletica, Inc. (1) | 2,709 | 142,141 | ||||||
Macy’s, Inc. | 5,493 | 192,145 | ||||||
Markit Ltd. (1) | 273,440 | 8,249,685 | ||||||
Marriott International, Inc. | 151,471 | 10,154,616 | ||||||
McDonalds Corp. | 70,680 | 8,350,135 | ||||||
MGM Resorts International (1) | 726 | 16,495 | ||||||
Michael Kors Holdings Ltd. (1) | 4,460 | 178,668 | ||||||
Mohawk Industries, Inc. (1) | 1,048 | 198,481 | ||||||
Morningstar, Inc. | 486 | 39,079 | ||||||
MSG Network, Inc. (1) | 254,903 | 5,301,982 | ||||||
Murphy USA, Inc. (1) | 66 | 4,009 | ||||||
Netflix, Inc. (1) | 180,484 | 20,643,760 | ||||||
Newell Rubbermaid, Inc. | 243,271 | 10,723,386 | ||||||
Nike, Inc. | 645,522 | 40,345,125 | ||||||
Nordstrom, Inc. | 3,384 | 168,557 | ||||||
Norwegian Cruise Line Holdings Ltd. (1) | 109,478 | 6,415,411 | ||||||
NVR, Inc. (1) | 98 | 161,014 | ||||||
Office Depot, Inc. (1) | 2,313 | 13,045 | ||||||
Omnicom Group, Inc. | 5,905 | 446,772 | ||||||
O’Reilly Automotive, Inc. (1) | 2,455 | 622,146 | ||||||
Panera Bread Co. (1) | 618 | 120,374 | ||||||
Penske Automotive Group, Inc. | 382 | 16,174 | ||||||
Polaris Industries, Inc. | 1,607 | 138,122 | ||||||
Ralph Lauren Corp. | 79 | 8,807 | ||||||
Regal Entertainment Group | 1,976 | 37,287 | ||||||
Ross Stores, Inc. | 10,024 | 539,391 | ||||||
Sally Beauty Holdings, Inc. (1) | 294,411 | 8,211,123 | ||||||
Scripps Networks Interactive, Inc. | 2,182 | 120,468 | ||||||
Sears Holdings Corp. (1) | 33 | 679 | ||||||
Service Corp. International | 4,908 | 127,706 | ||||||
Servicemaster Global Holdings, Inc. (1) | 2,453 | 96,256 | ||||||
Shake Shack, Inc. (1) | 61,919 | 2,451,992 | ||||||
Signet Jewelers Ltd. | 1,934 | 239,216 | ||||||
Sirius XM Holdings, Inc. (1) | 55,492 | 225,852 | ||||||
Six Flags Enertainment Corp. | 1,712 | 94,057 | ||||||
Skechers USA, Inc. (1) | 2,988 | 90,268 | ||||||
Starbucks Corp. | 663,990 | 39,859,320 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,114 | 285,018 | ||||||
Starz Series A (1) | 2,137 | 71,590 | ||||||
Steven Madden Ltd. (1) | 121,484 | 3,671,247 | ||||||
Target Corp. | 1,265 | 91,852 | ||||||
Tempur Sealy International, Inc. (1) | 1,457 | 102,660 | ||||||
Tesla Motors, Inc. (1) | 38,705 | 9,289,587 | ||||||
The Madison Square Garden Co. (1) | 51,565 | 8,343,217 | ||||||
The Michaels Companies, Inc. (1) | 1,496 | 33,077 | ||||||
The Priceline Group, Inc. (1) | 29,750 | 37,929,762 | ||||||
Thor Industries, Inc. | 1,089 | 61,148 | ||||||
Tiffany & Co. | 2,064 | 157,463 | ||||||
Time Warner Cable, Inc. | 6,865 | 1,274,075 | ||||||
Time Warner, Inc. | 10,281 | 664,872 | ||||||
TJX Companies, Inc. | 16,488 | 1,169,164 | ||||||
Toll Brothers, Inc. (1) | 1,463 | 48,718 | ||||||
Topbuild Corp. (1) | 924 | 28,431 | ||||||
Tractor Supply Co. | 3,316 | 283,518 | ||||||
TripAdvisor, Inc. (1) | 2,714 | 231,369 | ||||||
Tupperware Brands Corp. | 1,126 | 62,662 |
Table of Contents
Twenty-First Century Fox, Inc. - Class A | 19,323 | 524,813 | ||||||
Twenty-First Century Fox, Inc. - Class B | 8,073 | 219,828 | ||||||
Ulta Salon Cosmetcs & Fragrance, Inc. (1) | 1,563 | 289,155 | ||||||
Under Armour, Inc. (1) | 135,755 | 10,943,211 | ||||||
Urban Outfitters, Inc. (1) | 2,219 | 50,482 | ||||||
VF Corp. | 150,723 | 9,382,507 | ||||||
Viacom, Inc. - Class A | 329 | 14,473 | ||||||
Viacom, Inc. - Class B | 100,791 | 4,148,558 | ||||||
Vista Outdoor, Inc. (1) | 199 | 8,858 | ||||||
Visteon Corp. (1) | 974 | 111,523 | ||||||
Walt Disney Co. | 317,522 | 33,365,212 | ||||||
Whirlpool Corp. | 143 | 21,002 | ||||||
Williams-Sonoma, Inc. | 64,761 | 3,782,690 | ||||||
Wyndham Worldwide Corp. | 2,898 | 210,540 | ||||||
Wynn Resorts Ltd. | 1,717 | 118,799 | ||||||
Yum! Brands, Inc. | 10,469 | 764,760 | ||||||
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505,066,862 | ||||||||
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| |||||||
Consumer Staples - 7.59% | ||||||||
Altria Group, Inc. | 44,858 | 2,611,184 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 605 | 11,320 | ||||||
Brown Forman Corp. - Class A | 607 | 66,837 | ||||||
Brown Forman Corp. - Class B | 2,634 | 261,504 | ||||||
Campbell Soup Co. | 2,497 | 131,217 | ||||||
Church & Dwight Co., Inc. | 3,153 | 267,627 | ||||||
Clorox Co. | 2,516 | 319,104 | ||||||
Coca Cola Co. | 95,052 | 4,083,434 | ||||||
Coca-Cola Enterprises, Inc. | 5,659 | 278,649 | ||||||
Colgate Palmolive Co. | 367,496 | 24,482,584 | ||||||
ConAgra Foods, Inc. | 1,387 | 58,476 | ||||||
Constellation Brands, Inc. | 3,945 | 561,926 | ||||||
Costco Wholesale Corp. | 155,273 | 25,076,589 | ||||||
Coty, Inc. | 1,986 | 50,902 | ||||||
CVS Health Corp. | 126,342 | 12,352,457 | ||||||
Dr Pepper Snapple Group, Inc. | 4,648 | 433,194 | ||||||
Flowers Foods, Inc. | 3,701 | 79,534 | ||||||
General Mills, Inc. | 14,450 | 833,187 | ||||||
Herbalife Ltd. (1) | 1,540 | 82,575 | ||||||
Hormel Foods Corp. | 3,235 | 255,824 | ||||||
Ingredion, Inc. | 210 | 20,126 | ||||||
Kellogg Co. | 246,111 | 17,786,442 | ||||||
Keurig Green Mountain, Inc. | 3,126 | 281,277 | ||||||
Kimberly Clark Corp. | 6,994 | 890,336 | ||||||
Kraft Heinz Co. | 14,356 | 1,044,543 | ||||||
Kroger Co. | 23,794 | 995,303 | ||||||
Estee Lauder Companies, Inc. | 5,071 | 446,552 | ||||||
McCormick & Co, Inc. | 3,111 | 266,177 | ||||||
Mead Johnson Nutrition Co | 29,651 | 2,340,946 | ||||||
Mondelez International, Inc. | 629,722 | 28,236,734 | ||||||
Monster Beverage Corp. (1) | 33,383 | 4,972,732 | ||||||
Nu Skin Enterprises, Inc. | 294 | 11,140 | ||||||
PepsiCo, Inc. | 35,802 | 3,577,336 | ||||||
Philip Morris International, Inc. | 18,718 | 1,645,499 | ||||||
Pilgrim’s Pride Corp. | 165 | 3,645 | ||||||
Procter & Gamble Co. | 336,390 | 26,712,730 | ||||||
Reynolds American, Inc. | 216,651 | 9,998,444 | ||||||
Rite Aid Corp. (1) | 14,019 | 109,909 | ||||||
Spectrum Brands Holdings, Inc. | 604 | 61,487 | ||||||
Sprouts Farmers Market, Inc. (1) | 3,660 | 97,319 | ||||||
Sysco Corp. | 4,485 | 183,885 | ||||||
The Hain Celestial Group, Inc. (1) | 2,492 | 100,652 | ||||||
The Hershey Co. | 3,520 | 314,230 | ||||||
The J.M. Smucker Co. | 60,750 | 7,492,905 | ||||||
Tyson Foods, Inc. | 359 | 19,145 | ||||||
Walgreens Boots Alliance, Inc. | 3,128 | 266,365 | ||||||
WhiteWave Foods Co. (1) | 4,234 | 164,745 | ||||||
Whole Foods Market, Inc. | 561,698 | 18,816,883 | ||||||
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199,155,611 | ||||||||
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Table of Contents
Energy - 3.52% | ||||||||
Cabot Oil & Gas Corp. | 9,979 | 176,528 | ||||||
Continental Resources, Inc. (1) | 674 | 15,489 | ||||||
Core Laboratories NV | 119,179 | 12,959,524 | ||||||
CVR Energy, Inc. | 153 | 6,021 | ||||||
EOG Resources, Inc. | 41,822 | 2,960,579 | ||||||
Exxon Mobil Corp. | 274,940 | 21,431,573 | ||||||
FMC Technologies, Inc. (1) | 3,692 | 107,105 | ||||||
Halliburton Co. | 221,660 | 7,545,306 | ||||||
HollyFrontier Corp. | 693 | 27,644 | ||||||
Marathon Petroleum Corp. | 973 | 50,440 | ||||||
Memorial Resource Development Corp. (1) | 2,259 | 36,483 | ||||||
Oceaneering International, Inc. | 413 | 15,496 | ||||||
ONEOK, Inc. | 2,243 | 55,312 | ||||||
Range Resources Corp. | 267 | 6,571 | ||||||
RPC, Inc. | 172 | 2,055 | ||||||
Schlumberger Ltd. | 596,749 | 41,623,243 | ||||||
Suncor Energy, Inc. | 183,372 | 4,730,998 | ||||||
Targa Resources Corp. | 653 | 17,670 | ||||||
Teekay Corp. | 432 | 4,264 | ||||||
Tesoro Corp. | 184 | 19,388 | ||||||
The Williams Companies, Inc. | 18,044 | 463,731 | ||||||
World Fuel Services Corp. | 312 | 12,000 | ||||||
|
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92,267,420 | ||||||||
|
| |||||||
Financials - 7.92% | ||||||||
Affiliated Managers Group, Inc. (1) | 50,479 | 8,064,525 | ||||||
Ally Financial, Inc. (1) | 851 | 15,863 | ||||||
American Express Co. | 4,034 | 280,565 | ||||||
American Tower Corp. | 10,296 | 998,197 | ||||||
Ameriprise Financial, Inc. | 3,652 | 388,646 | ||||||
Amtrust Financial Services, Inc. | 52 | 3,202 | ||||||
Aon Plc | 110,850 | 10,221,478 | ||||||
Arthur J. Gallagher & Co. | 2,225 | 91,091 | ||||||
Artisan Partners Asset Management, Inc. | 848 | 30,579 | ||||||
Bank of America Corp. | 1,341,620 | 22,579,465 | ||||||
Bank of New York Mellon Corp. | 2,891 | 119,167 | ||||||
Berkshire Hathaway, Inc. - Class B (1) | 2,905 | 383,576 | ||||||
BlackRock, Inc. | 961 | 327,240 | ||||||
Boston Properties, Inc. | 3,405 | 434,274 | ||||||
CBOE Holdings, Inc. | 2,060 | 133,694 | ||||||
CBRE Group, Inc. (1) | 6,903 | 238,706 | ||||||
Charles Schwab Corp. | 251,454 | 8,280,380 | ||||||
Columbia Property Trust, Inc. | 365 | 8,570 | ||||||
Credit Acceptance Corp (1) | 203 | 43,446 | ||||||
Crown Castle International Corp. | 8,097 | 699,986 | ||||||
Digital Realty Trust, Inc. | 2,022 | 152,904 | ||||||
Eaton Vance Corp. | 2,874 | 93,204 | ||||||
Empire State Realty Trust, Inc. | 1,253 | 22,642 | ||||||
Encore Capital Group, Inc. (1) | 159,829 | 4,647,827 | ||||||
Equinix, Inc. | 68,295 | 20,652,408 | ||||||
Equity Lifestyle Properties, Inc. | 2,117 | 141,140 | ||||||
Erie Indemnity Co. | 609 | 58,245 | ||||||
Extra Space Storage, Inc. | 2,994 | 264,101 | ||||||
Federal Realty Investment Trust | 1,687 | 246,471 | ||||||
Federated Investors, Inc. | 2,238 | 64,119 | ||||||
Four Corners Property Trust, Inc. (1) | 199 | 4,808 | ||||||
Gaming and Leisure Properties, Inc. | 287 | 7,979 | ||||||
Harford Financial Services Group, Inc. | 198,430 | 8,623,768 | ||||||
Healthcare Trust of America, Inc. | 293 | 7,902 | ||||||
Interactive Brokers Group, Inc. | 180 | 7,848 | ||||||
Intercontinental Exchange, Inc. | 97,976 | 25,107,330 | ||||||
Invesco Ltd. | 1,285 | 43,022 | ||||||
Iron Mountain, Inc. | 1,970 | 53,210 | ||||||
Jones Lang LaSalle, Inc. | 780 | 124,691 | ||||||
Lamar Advertising Co. | 1,978 | 118,640 | ||||||
Lazard Ltd. | 3,061 | 137,776 | ||||||
Legg Mason, Inc. | 763 | 29,932 | ||||||
LendingClub Corp. (1) | 1,594 | 17,614 | ||||||
Leucadia National Corp. | 1,051 | 18,277 |
Table of Contents
LPL Financial Holdings, Inc. | 2,033 | 86,707 | ||||||
Markel Corp. (1) | 38 | 33,567 | ||||||
Marsh & McLennan Companies, Inc. | 7,768 | 430,736 | ||||||
McGraw Hill Financial, Inc. | 6,635 | 654,078 | ||||||
Moody’s Corp. | 110,382 | 11,075,730 | ||||||
Morgan Stanley | 236,600 | 7,526,246 | ||||||
MSCI, Inc. | 2,488 | 179,459 | ||||||
Northstar Asset Management Group, Inc. | 4,627 | 56,172 | ||||||
Omega Healthcare Investors, Inc. | 1,187 | 41,521 | ||||||
Onemain Holdings, Inc. (1) | 204,990 | 8,515,285 | ||||||
Plum Creek Timber Co., Inc. | 1,719 | 82,031 | ||||||
Post Properties, Inc. | 440 | 26,030 | ||||||
Public Storage | 3,212 | 795,612 | ||||||
Realogy Holdings Corp. (1) | 1,273 | 46,681 | ||||||
Santander Consumer USA Holding, Inc. (1) | 119 | 1,886 | ||||||
SEI Investments Co. | 3,374 | 176,798 | ||||||
Signature Bank (1) | 104,105 | 15,966,584 | ||||||
Simon Property Group, Inc. | 7,557 | 1,469,383 | ||||||
SLM Corp. (1) | 9,348 | 60,949 | ||||||
State Street Corp. | 344,920 | 22,888,891 | ||||||
SVB Financial Group (1) | 769 | 91,434 | ||||||
T. Rowe Price Group, Inc. | 6,330 | 452,532 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,389 | 78,120 | ||||||
Taubman Centers, Inc. | 548 | 42,042 | ||||||
TD Ameritrade Holding Corp. | 5,451 | 189,204 | ||||||
The Howard Hughes Corp. (1) | 383 | 43,340 | ||||||
Waddell & Reed Financial, Inc. | 1,887 | 54,081 | ||||||
Wells Fargo & Co. | 414,250 | 22,518,630 | ||||||
Welltower, Inc | 3,815 | 259,534 | ||||||
Weyerhaeuser Co. | 1,063 | 31,869 | ||||||
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| |||||||
207,863,640 | ||||||||
|
| |||||||
Healthcare - 15.93% | ||||||||
AbbVie, Inc. | 40,114 | 2,376,353 | ||||||
Acadia Healthcare Co., Inc. (1) | 1,234 | 77,076 | ||||||
Aetna, Inc. | 71,903 | 7,774,152 | ||||||
Agios Pharmaceuticals, Inc. (1) | 617 | 40,056 | ||||||
Akorn, Inc. (1) | 1,871 | 69,807 | ||||||
Alere, Inc. (1) | 1,305 | 51,012 | ||||||
Alexion Pharmaceuticals, Inc. (1) | 75,829 | 14,464,382 | ||||||
Align Technology, Inc. (1) | 111,498 | 7,342,143 | ||||||
Alkermes Plc (1) | 2,974 | 236,076 | ||||||
Allergan Plc (1) | 32,079 | 10,024,687 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 1,343 | 20,655 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 1,473 | 138,668 | ||||||
Amerisourcebergen Corp. | 4,986 | 517,098 | ||||||
Amgen, Inc. | 206,488 | 33,519,197 | ||||||
Anthem, Inc. | 1,269 | 176,949 | ||||||
athenahealth, Inc. (1) | 939 | 151,151 | ||||||
Baxalta, Inc | 8,387 | 327,345 | ||||||
Baxter International, Inc. | 8,314 | 317,179 | ||||||
Becton Dickinson and Co. | 5,084 | 783,394 | ||||||
Biogen, Inc. (1) | 63,681 | 19,508,674 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 194,194 | 20,343,763 | ||||||
Bio-Techne Corp. | 396 | 35,640 | ||||||
Bluebird Bio, Inc. (1) | 858 | 55,101 | ||||||
Boston Scientific Corp. (1) | 2,496 | 46,026 | ||||||
Bristol Myers Squibb Co. | 667,447 | 45,913,679 | ||||||
Brookdale Senior Living, Inc. (1) | 950 | 17,537 | ||||||
Bruker Corp. (1) | 2,644 | 64,170 | ||||||
C.R. Bard, Inc. | 1,808 | 342,507 | ||||||
Cardinal Health, Inc. | 7,235 | 645,868 | ||||||
Celgene Corp. (1) | 115,132 | 13,788,208 | ||||||
Centene Corp. (1) | 2,880 | 189,533 | ||||||
Cerner Corp. (1) | 588,724 | 35,423,523 | ||||||
Charles River Laboratories International, Inc. (1) | 1,131 | 90,921 | ||||||
Cigna Corp. | 6,246 | 913,977 | ||||||
DaVita HealthCare Partners, Inc. (1) | 1,252 | 87,277 | ||||||
Dentsply International, Inc. | 855 | 52,027 |
Table of Contents
DexCom, Inc. (1) | 1,919 | 157,166 | ||||||
Edwards Lifesciences Corp. (1) | 5,212 | 411,644 | ||||||
Eli Lilly & Co. | 173,326 | 14,604,449 | ||||||
Endo International Plc (1) | 1,971 | 120,665 | ||||||
Envision Healthcare Holdings, Inc. (1) | 4,491 | 116,631 | ||||||
Exact Sciences Corp. (1) | 117,618 | 1,085,614 | ||||||
Express Scripts Holding Co. (1) | 13,773 | 1,203,898 | ||||||
Gilead Sciences, Inc. | 178,445 | 18,056,850 | ||||||
HCA Holdings, Inc. (1) | 597 | 40,375 | ||||||
Health Net, Inc. (1) | 304 | 20,812 | ||||||
Henry Schein, Inc. (1) | 2,045 | 323,499 | ||||||
Hill-Rom Holdings, Inc. | 1,243 | 59,739 | ||||||
Hologic, Inc. (1) | 5,932 | 229,509 | ||||||
Humana, Inc. | 3,365 | 600,686 | ||||||
IDEXX Laboratories, Inc. (1) | 2,267 | 165,310 | ||||||
Illumina, Inc. (1) | 42,140 | 8,088,562 | ||||||
IMS Health Holdings, Inc. (1) | 3,191 | 81,275 | ||||||
Incyte Corp. (1) | 3,800 | 412,110 | ||||||
Inovalon Holdings, Inc. (1) | 606 | 10,302 | ||||||
Intercept Pharmaceuticals, Inc. (1) | 381 | 56,902 | ||||||
Intrexon Corp. (1) | 1,184 | �� | 35,698 | |||||
Intuitive Surgical, Inc. (1) | 897 | 489,905 | ||||||
Ionis Pharmaceuticals, Inc. (1) | 2,905 | 179,907 | ||||||
Jazz Pharmaceuticals Plc (1) | 1,492 | 209,715 | ||||||
Johnson & Johnson | 238,183 | 24,466,158 | ||||||
Juno Therapeutics, Inc. (1) | 285 | 12,531 | ||||||
Laboratory Corp. of America Holdings (1) | 794 | 98,170 | ||||||
Lifepoint Hospitals, Inc. (1) | 104 | 7,634 | ||||||
Mallinckrodt Plc (1) | 100,055 | 7,467,105 | ||||||
McKesson Corp. | 40,781 | 8,043,237 | ||||||
Medivation, Inc. (1) | 70,542 | 3,410,000 | ||||||
MEDNAX, Inc. (1) | 1,289 | 92,370 | ||||||
Merck & Co., Inc. | 7,780 | 410,940 | ||||||
Mettler-Toledo International, Inc. (1) | 685 | 232,304 | ||||||
Mylan (1) | 8,606 | 465,326 | ||||||
Novo Nordisk A/S - ADR | 115,601 | 6,714,106 | ||||||
Opko Health, Inc. (1) | 7,253 | 72,893 | ||||||
Patterson Companies, Inc. | 1,125 | 50,861 | ||||||
PerkinElmer, Inc. | 419 | 22,446 | ||||||
Perrigo Co. Plc | 34,672 | 5,017,038 | ||||||
Pfizer, Inc. | 738,340 | 23,833,615 | ||||||
Premier, Inc. (1) | 992 | 34,988 | ||||||
Puma Biotechnology, Inc. (1) | 597 | 46,805 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 117,648 | 8,077,712 | ||||||
Regeneron Pharmaceuticals, Inc. (1) | 32,795 | 17,803,422 | ||||||
ResMed, Inc. | 3,413 | 183,244 | ||||||
Seattle Genetics, Inc. (1) | 2,542 | 114,085 | ||||||
Shire Plc - ADR | 78,549 | 16,102,545 | ||||||
Sirona Dental Systems, Inc. (1) | 1,352 | 148,139 | ||||||
St. Jude Medical, Inc. | 3,820 | 235,961 | ||||||
Stryker Corp. | 4,138 | 384,586 | ||||||
Tenet Healthcare Corp. (1) | 2,369 | 71,781 | ||||||
The Cooper Companies, Inc. | 807 | 108,299 | ||||||
Thermo Fisher Scientific, Inc. | 47,877 | 6,791,352 | ||||||
United Therapeutics Corp. (1) | 1,121 | 175,560 | ||||||
UnitedHealth Group, Inc. | 21,937 | 2,580,669 | ||||||
Universal Health Services, Inc. | 395 | 47,199 | ||||||
Varian Medical Systems, Inc. (1) | 2,413 | 194,970 | ||||||
VCA, Inc. (1) | 1,900 | 104,500 | ||||||
Veeva Systems, Inc. (1) | 1,696 | 48,930 | ||||||
Vertex Pharmaceuticals, Inc. (1) (1) | 83,434 | 10,498,500 | ||||||
VWR Corp. (1) | 370 | 10,475 | ||||||
Waters Corp. (1) | 2,017 | 271,448 | ||||||
Zimmer Holdings, Inc. | 253 | 25,955 | ||||||
Zoetis, Inc. | 223,315 | 10,701,255 | ||||||
|
| |||||||
417,866,148 | ||||||||
|
|
Table of Contents
Industrials - 7.92% | ||||||||
3M Co. | 15,312 | 2,306,600 | ||||||
A.O. Smith Corp. | 1,772 | 135,753 | ||||||
Acuity Brands, Inc. | 1,050 | 245,490 | ||||||
AECOM (1) | 474 | 14,234 | ||||||
Air Lease Corp. | 156 | 5,223 | ||||||
Alaska Air Group, Inc. | 3,126 | 251,674 | ||||||
Allegion Plc | 2,325 | 153,264 | ||||||
Allison Transmission Holdings, Inc. | 2,329 | 60,298 | ||||||
AMERCO | 84 | 32,718 | ||||||
American Airlines Group, Inc. | 223,978 | 9,485,468 | ||||||
Ametek, Inc. | 211,774 | 11,348,969 | ||||||
Armstrong World Industries, Inc. (1) | 587 | 26,843 | ||||||
Avis Budget Group, Inc. (1) | 2,526 | 91,669 | ||||||
B/E Aerospace, Inc. | 2,584 | 109,484 | ||||||
Babcock & Wilcox Enterprise, Inc. (1) | 254 | 5,301 | ||||||
Boeing Co. | 98,366 | 14,222,740 | ||||||
BWX Technologies, Inc. | 509 | 16,171 | ||||||
C.H. Robinson Worldwide, Inc. | 3,517 | 218,124 | ||||||
Carlisle Companies, Inc. | 339 | 30,066 | ||||||
Caterpillar , Inc. | 2,541 | 172,686 | ||||||
Cintas Corp. | 2,307 | 210,052 | ||||||
Clean Harbors, Inc. (1) | 947 | 39,443 | ||||||
Copart, Inc. (1) | 3,020 | 114,790 | ||||||
Covanta Holding Corp. | 2,732 | 42,319 | ||||||
CSX Corp. | 6,172 | 160,163 | ||||||
Cummins, Inc. | 3,241 | 285,240 | ||||||
Danaher Corp. | 124,696 | 11,581,764 | ||||||
Deere & Co. | 1,435 | 109,447 | ||||||
Delta Air Lines, Inc. | 19,666 | 996,870 | ||||||
Donaldson Co., Inc. | 2,934 | 84,088 | ||||||
Dun & Bradstreet Corp. | 255 | 26,502 | ||||||
Emerson Electric Co. | 11,097 | 530,770 | ||||||
Equifax, Inc. | 78,503 | 8,742,879 | ||||||
Expeditors International Wash, Inc. | 4,625 | 208,587 | ||||||
Fastenal Co. | 7,080 | 289,006 | ||||||
Fedex Corp. | 2,469 | 367,856 | ||||||
Flowserve Corp. | 1,496 | 62,952 | ||||||
Fortune Brands Home & Security, Inc. | 1,332 | 73,926 | ||||||
General Dynamics Corp. | 2,147 | 294,912 | ||||||
Genesee & Wyoming, Inc. (1) | 495 | 26,577 | ||||||
Graco, Inc. | 1,401 | 100,970 | ||||||
HD Supply Holdings, Inc. (1) | 4,146 | 124,504 | ||||||
Hertz Global Holdings, Inc. (1) | 9,823 | 139,781 | ||||||
Hexcel Corp. | 2,327 | 108,089 | ||||||
Honeywell International, Inc. | 211,456 | 21,900,498 | ||||||
Hubbell, Inc. (1) | 183 | 18,490 | ||||||
Huntington Ingalls Industries, Inc. | 1,183 | 150,064 | ||||||
IDEX Corp. | 1,697 | 130,007 | ||||||
IHS, Inc. (1) | 1,428 | 169,118 | ||||||
Illinois Tool Works, Inc. | 7,209 | 668,130 | ||||||
Ingersoll-Rand Plc | 443 | 24,493 | ||||||
J.B. Hunt Transportation Services, Inc. | 2,229 | 163,519 | ||||||
Jetblue Airways Corp. (1) | 2,789 | 63,171 | ||||||
Kansas City Southern | 81,928 | 6,117,564 | ||||||
KAR Auction Services, Inc. | 1,137 | 42,103 | ||||||
Landstar System, Inc. | 1,065 | 62,462 | ||||||
Lennox International, Inc. | 966 | 120,653 | ||||||
Lincoln Electric Holdings, Inc. | 1,662 | 86,241 | ||||||
Lockheed Martin Corp. | 4,706 | 1,021,908 | ||||||
Masco Corp. | 8,413 | 238,088 | ||||||
MSC Industrial Direct Co., Inc. | 349 | 19,638 | ||||||
Nielsen Holdings Plc | 6,169 | 287,475 | ||||||
Nordson Corp. | 1,452 | 93,146 | ||||||
Northrop Grumman Corp. | 1,344 | 253,761 | ||||||
Old Dominion Freight Lines, Inc. (1) | 1,666 | 98,411 | ||||||
PACCAR, Inc. | 7,741 | 366,923 | ||||||
Parker-Hannifin Corp. | 1,524 | 147,798 | ||||||
Pitney Bowes, Inc. | 1,863 | 38,471 | ||||||
Precision Castparts Corp. | 631 | 146,398 |
Table of Contents
Quanta Services, Inc. (1) | 967 | 19,582 | ||||||
Raytheon Co. | 61,145 | 7,614,387 | ||||||
Regal-Beloit Corp. | 57 | 3,336 | ||||||
Robert Half International, Inc. | 3,272 | 154,242 | ||||||
Rockwell Automation, Inc. | 61,432 | 6,303,538 | ||||||
Rockwell Collins, Inc. | 88,269 | 8,147,229 | ||||||
Rollins, Inc. | 2,274 | 58,897 | ||||||
Roper Technologies, Inc. | 935 | 177,454 | ||||||
RPX Corp. (1) | 85,196 | 937,156 | ||||||
RR Donnelley & Sons Co. | 2,614 | 38,478 | ||||||
Snap-on, Inc. | 1,403 | 240,516 | ||||||
SolarCity Corp. (1) | 1,412 | 72,040 | ||||||
Southwest Airlines Co. | 16,100 | 693,266 | ||||||
Spirit Aerosystems Holdings, Inc. (1) | 3,169 | 158,672 | ||||||
Spirit Airlines, Inc. (1) | 1,743 | 69,459 | ||||||
Stanley Black & Decker, Inc. | 338 | 36,075 | ||||||
Stericycle, Inc. (1) | 2,048 | 246,989 | ||||||
Textron, Inc. | 1,505 | 63,225 | ||||||
The Middleby Corp. (1) | 1,392 | 150,155 | ||||||
The Toro Co. | 1,357 | 99,156 | ||||||
Towers Watson & Co. | 70,257 | 9,025,214 | ||||||
TransDigm Group, Inc. (1) | 94,404 | 21,566,594 | ||||||
TransUnion (1) | 607 | 16,735 | ||||||
Tyco International Plc | 217,552 | 6,937,733 | ||||||
Union Pacific Corp. | 306,266 | 23,950,001 | ||||||
United Continental Holdings, Inc. (1) | 9,206 | 527,504 | ||||||
United Parcel Service, Inc. | 16,944 | 1,630,521 | ||||||
United Rentals, Inc. (1) | 2,351 | 170,542 | ||||||
United Technologies Corp. | 1,982 | 190,411 | ||||||
USG Corp. (1) | 2,211 | 53,705 | ||||||
Valmont Industries, Inc. | 31 | 3,287 | ||||||
Verisk Analytics, Inc. (1) | 279,939 | 21,521,710 | ||||||
W.W. Grainger, Inc. | 1,522 | 308,342 | ||||||
Wabco Holdings, Inc. (1) | 1,325 | 135,494 | ||||||
Wabtec Corp. | 2,332 | 165,852 | ||||||
Waste Management, Inc. | 918 | 48,994 | ||||||
Watsco, Inc. | 622 | 72,855 | ||||||
|
| |||||||
207,692,138 | ||||||||
|
| |||||||
Information Technology - 31.63% | ||||||||
3D Systems Corp. (1) | 980 | 8,516 | ||||||
Accenture Plc | 15,234 | 1,591,953 | ||||||
Adobe Systems, Inc. (1) | 227,494 | 21,370,786 | ||||||
Akamai Technologies, Inc. (1) | 68,606 | 3,610,734 | ||||||
Alibaba Group Holding Ltd. - ADR (1) | 128,190 | 10,418,001 | ||||||
Alliance Data Systems Corp. (1) | 1,511 | 417,896 | ||||||
Alphabet, Inc. - Class A (1) | 131,553 | 102,349,550 | ||||||
Alphabet, Inc. - Class C (1) | 65,903 | 50,012,469 | ||||||
Amphenol Corp. | 7,511 | 392,299 | ||||||
Analog Devices, Inc. | 6,893 | 381,321 | ||||||
ANSYS, Inc. (1) | 439 | 40,606 | ||||||
Apple, Inc. | 730,075 | 76,847,695 | ||||||
Applied Materials, Inc. | 529,627 | 9,888,136 | ||||||
Arista Networks, Inc. (1) | 805 | 62,661 | ||||||
ARM Holdings Plc - ADR | 493,893 | 22,343,719 | ||||||
ARRIS Group, Inc. (1) | 1,670 | 51,052 | ||||||
Atmel Corp. | 10,178 | 87,633 | ||||||
Autodesk, Inc. (1) | 4,091 | 249,265 | ||||||
Automatic Data Processing, Inc. | 271,431 | 22,995,634 | ||||||
Avago Technologies Ltd. | 6,216 | 902,252 | ||||||
Black Knight Financial Services, Inc. (1) | 434 | 14,348 | ||||||
Booz Allen Hamilton Holding Corp. | 2,248 | 69,351 | ||||||
Broadcom Corp. | 963 | 55,681 | ||||||
Broadridge Financial Solutions, Inc. | 2,909 | 156,301 | ||||||
Cadence Design Systems, Inc. (1) | 7,104 | 147,834 | ||||||
CDK Global, Inc. | 3,876 | 183,994 | ||||||
CDW Corp. | 3,209 | 134,906 | ||||||
Check Point Software Technologies Ltd. (1) | 77,900 | 6,339,502 | ||||||
Cisco Systems, Inc. | 574,680 | 15,605,435 |
Table of Contents
Citrix Systems, Inc. (1) | 3,895 | 294,657 | ||||||
Cognex Corp. | 2,080 | 70,242 | ||||||
Cognizant Technology Solutions - Class A (1) | 14,814 | 889,136 | ||||||
CommScope Holding Co., Inc. (1) | 1,113 | 28,816 | ||||||
CoreLogic, Inc. (1) | 967 | 32,743 | ||||||
CoStar Group, Inc. (1) | 32,081 | 6,630,822 | ||||||
DST Systems, Inc. | 678 | 77,333 | ||||||
eBay, Inc. (1) | 289,712 | 7,961,286 | ||||||
Electronic Arts, Inc. (1) | 7,619 | 523,578 | ||||||
EMC Corp. | 3,801 | 97,610 | ||||||
F5 Networks, Inc. (1) | 1,738 | 168,516 | ||||||
Facebook, Inc. (1) | 678,519 | 71,013,799 | ||||||
FactSet Research Systems, Inc. | 1,013 | 164,683 | ||||||
Fidelity National Information Services, Inc. | 104,722 | 6,346,153 | ||||||
FireEye, Inc. (1) | 3,358 | 69,645 | ||||||
First Data Corp. (1) | 3,375 | 54,067 | ||||||
Fiserv, Inc. (1) | 5,773 | 527,999 | ||||||
Fitbit, Inc. (1) | 682 | 20,180 | ||||||
Fleetcor Technologies, Inc. (1) | 166,564 | 23,806,992 | ||||||
FLIR Systems, Inc. | 2,111 | 59,256 | ||||||
Fortinet, Inc. (1) | 3,465 | 108,004 | ||||||
Gartner, Inc. (1) | 2,040 | 185,028 | �� | |||||
Genpact Ltd. (1) | 3,972 | 99,221 | ||||||
Global Payments, Inc. | 3,208 | 206,948 | ||||||
GoDaddy, Inc. (1) | 564 | 18,082 | ||||||
Guidewire Software, Inc. (1) | 93,629 | 5,632,721 | ||||||
Harris Corp. | 505 | 43,884 | ||||||
Ingram Micro, Inc. | 209 | 6,349 | ||||||
Intel Corp. | 8,010 | 275,944 | ||||||
InterActiveCorp | 1,754 | 105,328 | ||||||
International Business Machines Corp. | 12,214 | 1,680,891 | ||||||
Intuit, Inc. | 6,698 | 646,357 | ||||||
IPG Photonics Corp. (1) | 825 | 73,557 | ||||||
Jabil Circuit, Inc. | 861 | 20,053 | ||||||
Jack Henry & Associates, Inc. | 2,007 | 156,666 | ||||||
Juniper Networks, Inc. | 1,668 | 46,037 | ||||||
Keysight Technologies, Inc. (1) | 3,393 | 96,124 | ||||||
King Digital Entertainment Plc | 1,919 | 34,312 | ||||||
KLA-Tencor Corp. | 3,865 | 268,038 | ||||||
Lam Research Corp. | 2,734 | 217,134 | ||||||
Leidos Holdings, Inc. | 137 | 7,708 | ||||||
Linear Technology Corp. | 5,777 | 245,349 | ||||||
LinkedIn Corp. (1) | 85,271 | 19,192,797 | ||||||
MasterCard, Inc. | 357,490 | 34,805,226 | ||||||
Match Group, Inc. (1) | 690 | 9,349 | ||||||
Maxim Integrated Products, Inc. | 2,339 | 88,882 | ||||||
Microchip Technology, Inc. | 5,012 | 233,258 | ||||||
Micron Technology, Inc. (1) | 2,040 | 28,886 | ||||||
Microsoft Corp. | 889,519 | 49,350,514 | ||||||
Motorola Solutions, Inc. | 4,258 | 291,460 | ||||||
National Instruments Corp. | 591 | 16,956 | ||||||
NetApp, Inc. | 2,132 | 56,562 | ||||||
NetSuite, Inc. (1) | 985 | 83,351 | ||||||
NeuStar, Inc. (1) | 224,346 | 5,377,574 | ||||||
NXP Semiconductors NV (1) | 57,240 | 4,822,470 | ||||||
ON Semiconductor Corp. (1) | 9,456 | 92,669 | ||||||
Oracle Corp. | 46,092 | 1,683,741 | ||||||
Palo Alto Networks, Inc. (1) | 13,985 | 2,463,318 | ||||||
Pandora Media, Inc. (1) | 407,769 | 5,468,182 | ||||||
Paychex, Inc. | 6,856 | 362,614 | ||||||
PayPal Holdings, Inc. (1) | 29,465 | 1,066,633 | ||||||
PTC, Inc. (1) | 2,763 | 95,683 | ||||||
Qorvo, Inc. (1) | 3,613 | 183,902 | ||||||
QUALCOMM, Inc. | 5,539 | 276,867 | ||||||
Rackspace Hosting, Inc. (1) | 2,940 | 74,441 | ||||||
Red Hat, Inc. (1) | 571,885 | 47,357,797 | ||||||
Sabre Corp. | 2,801 | 78,344 | ||||||
Salesforce.com, Inc. (1) | 459,296 | 36,008,806 |
Table of Contents
SAP SE - ADR | 199,769 | 15,801,728 | ||||||
ServiceNow, Inc. (1) | 53,905 | 4,666,017 | ||||||
Skyworks Solutions, Inc. | 4,618 | 354,801 | ||||||
SolarWinds, Inc. (1) | 1,592 | 93,769 | ||||||
Solera Holdings, Inc. | 1,619 | 88,770 | ||||||
Splunk, Inc. (1) | 99,001 | 5,822,249 | ||||||
Square, Inc. (1) | 246,848 | 3,231,240 | ||||||
SS&C Technologies Holdings, Inc. | 1,784 | 121,794 | ||||||
SunEdison, Inc. (1) | 5,983 | 30,453 | ||||||
SunPower Corp. (1) | 126 | 3,781 | ||||||
Synopsys, Inc. (1) | 271 | 12,360 | ||||||
Tableau Software, Inc. (1) | 1,211 | 114,100 | ||||||
Tencent Holdings Ltd. - ADR | 515,231 | 10,108,832 | ||||||
Teradata Corp. (1) | 2,519 | 66,552 | ||||||
Texas Instruments, Inc. | 241,522 | 13,237,821 | ||||||
The Western Union Co. | 12,456 | 223,087 | ||||||
Total Systems Services, Inc. | 3,997 | 199,051 | ||||||
Trimble Navigation Ltd. (1) | 329 | 7,057 |
Table of Contents
Twitter, Inc. (1) | 126,434 | 2,925,683 | ||||||
Ultimate Software Group, Inc. (1) | 700 | 136,857 | ||||||
Vantiv, Inc. (1) | 199,434 | 9,457,160 | ||||||
VeriFone Systems, Inc. (1) | 2,715 | 76,074 | ||||||
Verisign, Inc. (1) | 2,506 | 218,924 | ||||||
Visa, Inc. | 806,660 | 62,556,483 | ||||||
VMware, Inc. (1) | 1,987 | 112,405 | ||||||
WEX, Inc. (1) | 923 | 81,593 | ||||||
Workday, Inc. (1) | 184,676 | 14,714,984 | ||||||
Xilinx, Inc. | 1,427 | 67,026 | ||||||
Yelp, Inc. (1) | 1,551 | 44,669 | ||||||
Zebra Technologies Corp. (1) | 1,235 | 86,018 | ||||||
Zillow Group, Inc. - Class A (1) | 628 | 16,353 | ||||||
Zillow Group, Inc. - Class C (1) | 1,256 | 29,491 | ||||||
|
| |||||||
830,018,242 | ||||||||
|
| |||||||
Materials - 2.61% | ||||||||
Air Products & Chemicals, Inc. | 4,259 | 554,138 | ||||||
Airgas, Inc. | 365 | 50,487 | ||||||
AptarGroup, Inc. | 277 | 20,124 | ||||||
Ashland, Inc. | 154 | 15,816 | ||||||
Avery Dennison Corp. | 2,021 | 126,636 | ||||||
Axalta Coating Systems Ltd. (1) | 2,408 | 64,173 | ||||||
Ball Corp. | 3,328 | 242,045 | ||||||
Bemis, Inc. | 254 | 11,351 | ||||||
Celanese Corp. | 260 | 17,506 | ||||||
CF Industries Holdings, Inc. | 5,662 | 231,066 | ||||||
Chemours Co. | 1,996 | 10,699 | ||||||
Compass Minerals International, Inc. | 825 | 62,098 | ||||||
Crown Holdings, Inc. (1) | 1,463 | 74,174 | ||||||
Dow Chemical Co. | 3,661 | 188,468 | ||||||
DuPont | 10,081 | 671,395 | ||||||
Eagle Materials, Inc. | 1,199 | 72,456 | ||||||
Eastman Chemical Co. | 884 | 59,679 | ||||||
Ecolab, Inc. | 237,291 | 27,141,345 | ||||||
FMC Corp. | 2,308 | 90,312 | ||||||
Graphic Packaging Holding Co. | 4,530 | 58,120 | ||||||
Huntsman Corp. | 3,101 | 35,258 | ||||||
International Flavors & Fragrances, Inc. | 1,954 | 233,777 | ||||||
International Paper Co. | 9,661 | 364,220 | ||||||
Lyondellbasell Industries NV | 8,866 | 770,455 | ||||||
Martin Marietta Materials, Inc. | 226 | 30,867 | ||||||
Monsanto Co. | 348,272 | 34,311,757 | ||||||
NewMarket Corp. | 203 | 77,288 | ||||||
Owens-Illinois, Inc. (1) | 243 | 4,233 | ||||||
Packaging Corporation of America | 2,375 | 149,744 | ||||||
Platform Specialty Products Corp. (1) | 470 | 6,030 | ||||||
PPG Industries, Inc. | 6,550 | 647,271 | ||||||
Praxair, Inc. | 5,786 | 592,486 | ||||||
Royal Gold, Inc. | 82 | 2,991 | ||||||
RPM International, Inc. | 3,236 | 142,578 | ||||||
Scotts Miracle-Gro Co. | 967 | 62,381 | ||||||
Sealed Air Corp. | 5,052 | 225,319 | ||||||
Silgan Holdings, Inc. | 970 | 52,108 | ||||||
Southern Copper Corp. | 891 | 23,273 | ||||||
Steel Dynamics, Inc. | 641 | 11,455 | ||||||
Tahoe Resources, Inc. | 490 | 4,248 | ||||||
The Sherwin-Williams Co. | 1,953 | 506,999 | ||||||
The Valspar Corp. | 1,974 | 163,743 | ||||||
Vulcan Materials Co. | 415 | 39,413 | ||||||
W.R. Grace & Co. (1) | 1,763 | 175,577 | ||||||
WestRock Co. | 643 | 29,334 | ||||||
|
| |||||||
68,424,893 | ||||||||
|
|
Table of Contents
Telecommunication Services - 0.58% | ||||||||
AT&T, Inc. | 21,635 | 744,460 | ||||||
Level 3 Communications, Inc. (1) | 822 | 44,684 | ||||||
SBA Communications Corp. (1) | 95,495 | 10,033,660 | ||||||
Verizon Communications, Inc. | 91,796 | 4,242,810 | ||||||
Zayo Group Holdings, Inc. (1) | 2,964 | 78,813 | ||||||
|
| |||||||
15,144,427 | ||||||||
|
| |||||||
Utilities - 0.00% (2) | ||||||||
Calpine Corp. (1) | 1,031 | 14,918 | ||||||
Dominion Resources, Inc. | 709 | 47,957 | ||||||
ITC Holdings Corp. | 1,367 | 53,655 | ||||||
TerraForm Power, Inc. | 64 | 805 | ||||||
|
| |||||||
117,335 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,487,098,875) | $ | 2,543,616,716 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.96% | ||||||||
Money Market Funds - 2.96% | ||||||||
Goldman Sachs Financial Square Funds - Government Fund - Class I, 0.18% | 38,770,238 | $ | 38,770,238 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.12% | 38,770,238 | 38,770,238 | ||||||
|
| |||||||
Total Money Market Funds (Cost $77,540,476) | $ | 77,540,476 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES (Cost $2,564,639,351) - 99.91% | $ | 2,621,157,192 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.09% | 2,319,131 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,623,476,323 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR- | American Depository Receipt |
(1) | Non-income producing security. |
(2) | Amount calculated is less than 0.005%. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Table of Contents
Open Futures Contracts
Number of Contracts Purchased | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Depreciation | ||||||||||||
5 | E-Mini NASDAQ 100 Index Futures | Morgan Stanley | Mar. 2016 | $ | 462,441 | $ | 458,775 | $ | (3,666 | ) | ||||||||
13 | E-Mini S&P 500 Index Futures | Morgan Stanley | Mar. 2016 | 1,331,040 |
| 1,323,010 |
| (8,030 | ) | |||||||||
|
| |||||||||||||||||
$ | (11,696 | ) | ||||||||||||||||
|
|
Table of Contents
Bridge Builder Large Cap Value Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | |||||||
Common Stocks - 96.40% | ||||||||
Consumer Discretionary - 11.01% | ||||||||
Aaron’s, Inc. | 1,169 | $ | 26,174 | |||||
Aramark | 333 | 10,739 | ||||||
Best Buy, Inc. | 6,387 | 194,484 | ||||||
Brunswick Corp. | 535 | 27,023 | ||||||
Cabela’s, Inc. (1) | 969 | 45,281 | ||||||
Cable One, Inc. | 71 | 30,790 | ||||||
Cablevision Systems Corp. | 3,616 | 115,350 | ||||||
Carnival Corp. | 230,905 | 12,579,704 | ||||||
CBS Corp. | 302,555 | 14,259,417 | ||||||
Clear Channel Outdoor Holdings, Inc. (1) | 519 | 2,901 | ||||||
Coach, Inc. | 4,955 | 162,177 | ||||||
Comcast Corp. - Class A | 5,113 | 288,527 | ||||||
CST Brands, Inc. | 304 | 11,899 | ||||||
D. R. Horton, Inc. | 4,012 | 128,504 | ||||||
Darden Restaurants, Inc. | 2,102 | 133,771 | ||||||
Delphi Automotive Plc | 69,300 | 5,941,089 | ||||||
Dick’s Sporting Goods, Inc. | 621 | 21,952 | ||||||
Dillard’s, Inc. | 447 | 29,372 | ||||||
Discovery Communications, Inc. - Class A (1) | 283 | 7,550 | ||||||
Discovery Communications, Inc. - Class C (1) | 499 | 12,585 | ||||||
Dish Network Corp. (1) | 1,485 | 84,912 | ||||||
DSW, Inc. | 1,460 | 34,836 | ||||||
Expedia, Inc. | 284 | 35,319 | ||||||
Foot Locker, Inc. | 412 | 26,817 | ||||||
Ford Motor Co. | 82,684 | 1,165,018 | ||||||
Fossil Group, Inc. (1) | 156 | 5,703 | ||||||
GameStop Corp. | 2,235 | 62,669 | ||||||
Gannett Co., Inc. | 2,441 | 39,764 | ||||||
Garmin Ltd. | 2,471 | 91,847 | ||||||
General Motors Co. | 33,902 | 1,153,007 | ||||||
Gentex Corp. | 3,101 | 49,647 | ||||||
Genuine Parts Co. | 235 | 20,184 | ||||||
Goodyear Tire & Rubber Co. | 5,695 | 186,056 | ||||||
Graham Holdings Co. | 75 | 36,373 | ||||||
H&R Block, Inc. | 365 | 12,158 | ||||||
Hanesbrands, Inc. | 409,400 | 12,048,642 | ||||||
Harley-Davidson, Inc. | 1,967 | 89,282 | ||||||
Hasbro, Inc. | 451 | 30,379 | ||||||
Hyatt Hotels Corp. (1) | 729 | 34,278 | ||||||
International Game Technology Plc | 623 | 10,080 | ||||||
J.C. Penney Co., Inc. (1) | 6,375 | 42,458 | ||||||
John Wiley & Sons, Inc. | 983 | 44,264 | ||||||
Johnson Controls, Inc. | 248,722 | 9,822,032 | ||||||
Kohl’s Corp. | 4,275 | 203,618 | ||||||
Lear Corp. | 403 | 49,500 | ||||||
Lennar Corp. - Class A | 2,205 | 107,847 | ||||||
Lennar Corp. - Class B | 120 | 4,822 | ||||||
Liberty Broadband Corp. - Class A (1) | 567 | 29,286 | ||||||
Liberty Broadband Corp. - Class C (1) | 1,384 | 71,774 | ||||||
Liberty Interactive Corp. (1) | 536,331 | 14,652,563 | ||||||
Liberty Media Corp - Class A (1) | 2,181 | 85,604 |
Table of Contents
Liberty Media Corp - Class C (1) | 4,182 | 159,251 | ||||||
Lowes Companies, Inc. | 150,267 | 11,426,303 | ||||||
Macy’s, Inc. | 1,988 | 69,540 | ||||||
Mattel, Inc. | 7,056 | 191,712 | ||||||
McDonalds Corp. | 146,913 | 17,356,302 | ||||||
MGM Resorts International (1) | 8,737 | 198,505 | ||||||
Michelin | 138,638 | 13,195,993 | ||||||
Mohawk Industries, Inc. (1) | 384 | 72,726 | ||||||
Murphy USA, Inc. (1) | 901 | 54,727 | ||||||
Newell Rubbermaid, Inc. | 2,780 | 122,542 | ||||||
News Corp. - Class A | 7,999 | 106,867 | ||||||
News Corp. - Class B | 2,596 | 36,240 | ||||||
Nike, Inc. | 243,234 | 15,202,125 | ||||||
Norwegian Cruise Line Holdings Ltd. (1) | 172,523 | 10,109,848 | ||||||
NVR, Inc. (1) | 8,700 | 14,294,100 | ||||||
Office Depot, Inc. (1) | 9,395 | 52,988 | ||||||
Penske Automotive Group, Inc. | 580 | 24,557 | ||||||
Pulte Group, Inc. | 7,604 | 135,503 | ||||||
PVH Corp. | 1,745 | 128,519 | ||||||
Ralph Lauren Corp. | 1,179 | 131,435 | ||||||
Royal Caribbean Cruises Ltd. | 156,210 | 15,810,014 | ||||||
Sears Holdings Corp. (1) | 240 | 4,934 | ||||||
SeaWorld Enertainment, Inc. | 506,300 | 9,969,047 | ||||||
Staples, Inc. | 13,527 | 128,101 | ||||||
Target Corp. | 104,644 | 7,598,201 | ||||||
TENGA, Inc. | 4,731 | 120,735 | ||||||
Thomson Reuters Corp. | 6,926 | 262,149 | ||||||
Tiffany & Co. | 587 | 44,782 | ||||||
Time Warner, Inc. | 267,790 | 17,317,979 | ||||||
TJX Companies, Inc. | 259,101 | 18,372,852 | ||||||
Toll Brothers, Inc. (1) | 2,385 | 79,421 | ||||||
Tribune Media Co. | 1,683 | 56,902 | ||||||
Tupperware Brands Corp. | 55 | 3,061 | ||||||
Twenty-First Century Fox, Inc. - Class A | 8,554 | 232,327 | ||||||
Twenty-First Century Fox, Inc. - Class B | 3,258 | 88,715 | ||||||
Vista Outdoor, Inc. (1) | 1,168 | 51,988 | ||||||
Walt Disney Co. | 87,046 | 9,146,794 | ||||||
Wendy’s Co. | 5,506 | 59,300 | ||||||
Whirlpool Corp. | 1,530 | 224,711 | ||||||
Wynn Resorts Ltd. | 189 | 13,077 | ||||||
|
| |||||||
237,014,901 | ||||||||
|
| |||||||
Consumer Staples - 7.70% | ||||||||
Altria Group, Inc. | 223,620 | 13,016,920 | ||||||
Anheuser-Busch InBev SA/NV - ADR | 51,934 | 6,491,750 | ||||||
Archer Daniels Midland Co. | 13,006 | 477,060 | ||||||
Avon Products, Inc. | 9,246 | 37,446 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 288 | 5,389 | ||||||
Brown Forman Corp. - Class A | 39 | 4,294 | ||||||
Brown Forman Corp. - Class B | 179 | 17,771 | ||||||
Bunge Ltd. | 3,023 | 206,411 | ||||||
Campbell Soup Co. | 1,493 | 78,457 | ||||||
Clorox Co. | 569 | 72,166 | ||||||
Coca Cola Co. | 388,286 | 16,680,767 | ||||||
Colgate Palmolive Co. | 275,049 | 18,323,764 | ||||||
ConAgra Foods, Inc. | 7,746 | 326,571 | ||||||
Costco Wholesale Corp. | 102,430 | 16,542,445 | ||||||
CVS Health Corp. | 238,909 | 23,358,133 | ||||||
Diageo Plc - ADR | 99,283 | 10,828,797 |
Table of Contents
Edgewell Personal Care Co. | 1,297 | 101,646 | ||||||
Energizer Holdings, Inc. | 1,306 | 44,482 | ||||||
Flowers Foods, Inc. | 384 | 8,252 | ||||||
Herbalife Ltd. (1) | 218 | 11,689 | ||||||
Ingredion, Inc. | 1,304 | 124,975 | ||||||
Kellogg Co. | 535 | 38,665 | ||||||
Kimberly Clark Corp. | 1,591 | 202,534 | ||||||
Molson Coors Brewing Co. | 2,902 | 272,556 | ||||||
Mondelez International, Inc. | 34,512 | 1,547,518 | ||||||
Nu Skin Enterprises, Inc. | 981 | 37,170 | ||||||
Philip Morris International, Inc. | 111,026 | 9,760,296 | ||||||
Pilgrim’s Pride Corp. | 1,225 | 27,060 | ||||||
Pinnacle Foods, Inc. | 2,431 | 103,220 | ||||||
Procter & Gamble Co. | 187,687 | 14,904,225 | ||||||
Reynolds American, Inc. | 304,610 | 14,057,752 | ||||||
Rite Aid Corp. (1) | 8,373 | 65,644 | ||||||
Sysco Corp. | 8,571 | 351,411 | ||||||
The J. M. Smucker Co. | 2,514 | 310,077 | ||||||
Tyson Foods, Inc. | 5,880 | 313,581 | ||||||
Walgreens Boots Alliance, Inc. | 175,672 | 14,959,349 | ||||||
Wal-Mart Stores, Inc. | 33,198 | 2,035,037 | ||||||
Whole Foods Market, Inc. | 609 | 20,402 | ||||||
|
| |||||||
165,765,682 | ||||||||
|
| |||||||
Energy - 8.55% | ||||||||
Anadarko Petroleum Corp. | 10,876 | 528,356 | ||||||
Antero Resources Corp. (1) | 1,489 | 32,460 | ||||||
Apache Corp. | 456,053 | 20,280,677 | ||||||
Baker Hughes, Inc. | 9,113 | 420,565 | ||||||
BP Plc - ADR | 352,800 | 11,028,528 | ||||||
California Resources Corp. | 6,834 | 15,923 | ||||||
Cameron International Corp. (1) | 4,024 | 254,317 | ||||||
Cheniere Energy, Inc. (1) | 4,974 | 185,282 | ||||||
Chesapeake Energy Corp. | 12,234 | 55,053 | ||||||
Chevron Corp. | 341,401 | 30,712,434 | ||||||
Cimarex Energy Co. | 1,991 | 177,956 | ||||||
Cobalt International Energy, Inc. (1) | 7,675 | 41,445 | ||||||
Columbia Pipeline Group, Inc | 8,426 | 168,520 | ||||||
Concho Resources, Inc. (1) | 2,707 | 251,372 | ||||||
ConocoPhillips | 231,477 | 10,807,661 | ||||||
CONSOL Energy, Inc. | 4,775 | 37,723 | ||||||
Continental Resources, Inc. (1) | 1,228 | 28,219 | ||||||
CVR Energy, Inc. | 231 | 9,090 | ||||||
Denbury Resources, Inc. | 2,163,013 | 4,369,286 | ||||||
Devon Energy Corp. | 533,885 | 17,084,320 | ||||||
Diamond Offshore Drilling, Inc. | 1,403 | 29,603 | ||||||
Diamondback Energy, Inc. (1) | 1,388 | 92,857 | ||||||
Dril-Quip, Inc. (1) | 818 | 48,450 | ||||||
Energen Corp. | 1,643 | 67,347 | ||||||
Ensco Plc | 4,886 | 75,196 | ||||||
EOG Resources, Inc. | 153,536 | 10,868,813 | ||||||
EP Energy Corp. (1) | 688 | 3,013 | ||||||
EQT Corp. | 3,205 | 167,077 | ||||||
Exxon Mobil Corp. | 275,375 | 21,465,481 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 461,200 | 1,083,820 | ||||||
FMC Technologies, Inc. (1) | 1,690 | 49,027 | ||||||
Franks International | 694 | 11,583 | ||||||
Golar LNG Ltd. | 1,876 | 29,622 | ||||||
Gulfport Energy Corp. (1) | 2,260 | 55,528 |
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Halliburton Co. | 18,093 | 615,886 | ||||||
Helmerich & Payne, Inc. | 2,011 | 107,689 | ||||||
Hess Corp. | 272,581 | 13,214,727 | ||||||
HollyFrontier Corp. | 3,497 | 139,495 | ||||||
Kinder Morgan, Inc. | 37,640 | 561,589 | ||||||
Kosmos Energy Ltd. (1) | 3,466 | 18,023 | ||||||
Laredo Petroleum, Inc. (1) | 2,642 | 21,110 | ||||||
Marathon Oil Corp. | 14,180 | 178,526 | ||||||
Marathon Petroleum Corp. | 10,648 | 551,992 | ||||||
Murphy Oil Corp. | 3,712 | 83,334 | ||||||
Nabors Industries Ltd. | 6,890 | 58,634 | ||||||
National Oilwell Varco, Inc. | 8,141 | 272,642 | ||||||
Newfield Exploration Co. (1) | 3,395 | 110,541 | ||||||
Noble Corp. Plc | 5,054 | 53,320 | ||||||
Noble Energy, Inc. | 9,006 | 296,568 | ||||||
Occidental Petroleum Corp. | 163,981 | 11,086,755 | ||||||
Oceaneering International, Inc. | 1,699 | 63,747 | ||||||
ONEOK, Inc. | 2,395 | 59,061 | ||||||
Patterson-UTI Energy, Inc. | 3,106 | 46,838 | ||||||
PBF Energy, Inc. | 2,296 | 84,516 | ||||||
Phillips 66 | 100,835 | 8,248,303 | ||||||
Pioneer Natural Resources Co. | 3,211 | 402,595 | ||||||
QEP Resources, Inc. | 3,723 | 49,888 | ||||||
Range Resources Corp. | 3,294 | 81,065 | ||||||
Rowan Companies Plc | 2,638 | 44,714 | ||||||
RPC, Inc. | 1,017 | 12,153 | ||||||
Schlumberger Ltd. | 214,803 | 14,982,509 | ||||||
Seadrill Ltd. (1) | 67,035 | 227,249 | ||||||
SM Energy Co. | 1,420 | 27,917 | ||||||
Southwestern Energy Co. (1) | 8,020 | 57,022 | ||||||
Spectra Energy Corp. | 14,074 | 336,932 | ||||||
Superior Energy Services, Inc. | 3,214 | 43,293 | ||||||
Targa Resources Corp. | 613 | 16,588 | ||||||
Teekay Corp. | 578 | 5,705 | ||||||
Tesoro Corp. | 2,485 | 261,844 | ||||||
Valero Energy Corp. | 10,153 | 717,919 | ||||||
Weatherford International Plc (1) | 16,355 | 137,218 | ||||||
Whiting Petroleum Corp. (1) | 4,257 | 40,186 | ||||||
World Fuel Services Corp. | 1,247 | 47,960 | ||||||
WPX Energy, Inc. (1) | 5,005 | 28,729 | ||||||
|
| |||||||
183,931,386 | ||||||||
|
| |||||||
Financials - 22.26% | ||||||||
ACE Ltd. | 163,596 | 19,116,193 | ||||||
Aflac, Inc. | 9,305 | 557,370 | ||||||
Alexandria Real Estate Equity, Inc. | 1,503 | 135,811 | ||||||
Alleghany Corp. (1) | 32,851 | 15,700,478 | ||||||
Allied World Assurance Co. Holdings, AG. | 1,991 | 74,045 | ||||||
Allstate Corp. | 187,751 | 11,657,460 | ||||||
Ally Financial, Inc. (1) | 9,399 | 175,197 | ||||||
American Campus Communities, Inc. | 2,342 | 96,818 | ||||||
American Capital Agency Corp. | 451,879 | 7,835,582 | ||||||
American Express Co. | 286,140 | 19,901,037 | ||||||
American Financial Goup, Inc. | 1,439 | 103,723 | ||||||
American Homes 4 Rent | 3,478 | 57,944 | ||||||
American International Group, Inc. | 216,912 | 13,442,037 | ||||||
American National Insurance Co. | 152 | 15,545 | ||||||
Ameriprise Financial, Inc. | 74,032 | 7,878,485 | ||||||
Amtrust Financial Services, Inc. | 768 | 47,293 |
Table of Contents
Annaly Capital Management, Inc. | 923,093 | 8,658,612 | ||||||
Apartment Investment & Management Co. | 3,259 | 130,458 | ||||||
Apple Hospitality REIT, Inc. | 3,764 | 75,167 | ||||||
Arch Capital Group Ltd. (1) | 170,938 | 11,922,926 | ||||||
Arthur J. Gallagher & Co. | 1,560 | 63,866 | ||||||
Aspen Insurance Holdings Ltd. | 1,290 | 62,307 | ||||||
Associated Banc Corp. | 3,196 | 59,925 | ||||||
Assurant, Inc. | 1,417 | 114,125 | ||||||
Assured Guaranty Ltd. | 3,147 | 83,175 | ||||||
Avalonbay Communities, Inc. | 2,844 | 523,666 | ||||||
Axis Capital Holdings Ltd. | 2,105 | 118,343 | ||||||
Bank of America Corp. | 1,076,979 | 18,125,557 | ||||||
Bank of Hawaii Corp. | 915 | 57,554 | ||||||
Bank of New York Mellon Corp. | 21,319 | 878,769 | ||||||
BankUnited, Inc. | 2,157 | 77,781 | ||||||
BB&T Corp. | 16,621 | 628,440 | ||||||
Berkshire Hathaway, Inc. - Class B (1) | 177,004 | 23,371,608 | ||||||
BioMed Realty Trust, Inc. | 4,246 | 100,588 | ||||||
BlackRock, Inc. | 34,656 | 11,801,061 | ||||||
BOK Financial Corp. | 603 | 36,053 | ||||||
Boston Properties, Inc. | 288 | 36,732 | ||||||
Brandywine Realty Trust | 3,807 | 52,004 | ||||||
Brixmor Property Group, Inc. | 3,609 | 93,184 | ||||||
Brown & Brown, Inc. | 2,417 | 77,586 | ||||||
Camden Property Trust | 1,811 | 139,012 | ||||||
Capital One Financial Corp. | 212,947 | 15,370,514 | ||||||
Care Capital Properties, Inc. | 1,735 | 53,039 | ||||||
CBL & Associates Properties, Inc. | 3,516 | 43,493 | ||||||
Charles Schwab Corp. | 7,075 | 232,980 | ||||||
Chimera Investment Corp. | 4,301 | 58,666 | ||||||
Cincinnati Financial Corp. | 3,466 | 205,083 | ||||||
CIT Group, Inc. | 3,630 | 144,111 | ||||||
Citigroup, Inc. | 680,286 | 35,204,800 | ||||||
Citizens Financial Group, Inc. | 6,504 | 170,341 | ||||||
CME Group, Inc. | 6,831 | 618,889 | ||||||
CNA Financial Corp. | 544 | 19,122 | ||||||
Columbia Property Trust, Inc. | 2,315 | 54,356 | ||||||
Comerica, Inc. | 3,713 | 155,315 | ||||||
Commerce Bancshares, Inc. | 1,804 | 76,738 | ||||||
Communications Sales & Leasing, Inc. | 2,538 | 47,435 | ||||||
Corporate Office Properties Trust | 2,010 | 43,878 | ||||||
Corrections Corp Of America | 2,441 | 64,662 | ||||||
Cullen/Frost Bankers, Inc. | 1,131 | 67,860 | ||||||
DDR Corp. | 6,317 | 106,378 | ||||||
Digital Realty Trust, Inc. | 1,207 | 91,273 | ||||||
Discover Financial Services | 159,510 | 8,552,926 | ||||||
Douglas Emmett, Inc. | 3,042 | 94,850 | ||||||
Duke Realty Corp. | 7,197 | 151,281 | ||||||
E*TRADE Financial Corp. (1) | 248,846 | 7,375,795 | ||||||
East West Bancorp, Inc. | 3,000 | 124,680 | ||||||
Empire State Realty Trust, Inc. | 1,192 | 21,539 | ||||||
Endurance Specialty Holdings Ltd. | 1,298 | 83,059 | ||||||
Equity Commonwealth (1) | 2,706 | 75,037 | ||||||
Equity Residential | 7,802 | 636,565 | ||||||
Essex Property Trust, Inc. | 1,373 | 328,710 | ||||||
Everest Re Group Ltd. | 926 | 169,541 | ||||||
Fifth Third Bancorp | 451,601 | 9,077,180 | ||||||
First Horizon National Corp. | 4,870 | 70,712 |
Table of Contents
First Niagara Financial Group, Inc. | 345,705 | 3,750,899 | ||||||
First Republic Bank | 3,000 | 198,180 | ||||||
FNFV Group | 5,907 | 204,796 | ||||||
Forest City Enterprises, Inc. (1) | 4,555 | 99,891 | ||||||
Four Corners Property Trust, Inc. (1) | 700 | 16,912 | ||||||
Franklin Resources, Inc. | 8,143 | 299,825 | ||||||
Gaming and Leisure Properties, Inc. | 1,607 | 44,675 | ||||||
General Growth Properties, Inc. | 12,111 | 329,540 | ||||||
Genworth Financial, Inc. (1) | 10,452 | 38,986 | ||||||
Hanover Insurance Group, Inc. | 923 | 75,077 | ||||||
Harford Finanacial Services Group, Inc. | 8,804 | 382,622 | ||||||
HCP, Inc. | 9,682 | 370,240 | ||||||
Healthcare Trust of America, Inc. | 2,370 | 63,919 | ||||||
Hospitality Properties Trust | 3,127 | 81,771 | ||||||
Host Hotels & Resorts, Inc. | 15,919 | 244,197 | ||||||
Huntington Bancshares, Inc. | 17,053 | 188,606 | ||||||
Interactive Brokers Group, Inc. | 1,116 | 48,658 | ||||||
Intercontinental Exchange, Inc. | 1,504 | 385,415 | ||||||
Invesco Ltd. | 7,924 | 265,296 | ||||||
Iron Mountain, Inc. | 2,670 | 72,117 | ||||||
Jones Lang LaSalle, Inc. | 261 | 41,723 | ||||||
JPMorgan Chase & Co. | 299,641 | 19,785,295 | ||||||
KeyCorp | 584,749 | 7,712,839 | ||||||
Kilroy Realty Corp. | 1,837 | 116,245 | ||||||
Kimco Realty Corp. | 8,690 | 229,937 | ||||||
Legg Mason, Inc. | 1,385 | 54,334 | ||||||
Leucadia National Corp. | 5,934 | 103,192 | ||||||
Liberty Property Trust | 3,117 | 96,783 | ||||||
Lincoln National Corp. | 5,320 | 267,383 | ||||||
Loews Corp. | 6,550 | 251,520 | ||||||
M&T Bank Corp. | 3,449 | 417,950 | ||||||
Markel Corp. (1) | 264 | 233,204 | ||||||
Marsh & McLennan Companies, Inc. | 301,878 | 16,739,135 | ||||||
Mercury General Corp. | 241 | 11,223 | ||||||
Metlife, Inc. | 19,745 | 951,906 | ||||||
MFA Financial, Inc. | 7,774 | 51,308 | ||||||
Mid-America Apartment Communities, Inc. | 1,572 | 142,753 | ||||||
Morgan Stanley | 32,610 | 1,037,324 | ||||||
Nasdaq OMX Group, Inc. | 2,415 | 140,481 | ||||||
National Retail Properties, Inc. | 2,795 | 111,940 | ||||||
Navient Corp. | 611,813 | 7,005,259 | ||||||
New York Community Bancorp, Inc. | 676,921 | 11,047,351 | ||||||
Northern Trust Corp. | 4,898 | 353,097 | ||||||
NorthStar Reality Finance Corp. | 3,804 | 64,782 | ||||||
Northstar Realty Europe Corp. | 1,268 | 14,975 | ||||||
Old Republic International Corp. | 5,447 | 101,478 | ||||||
Omega Healthcare Investors, Inc. | 2,775 | 97,070 | ||||||
Onemain Holdings, Inc. (1) | 1,100 | 45,694 | ||||||
Outfront Media, Inc. | 2,869 | 62,630 | ||||||
PacWest Bancorp | 2,348 | 101,199 | ||||||
Paramount Group, Inc. | 3,738 | 67,658 | ||||||
Partnerre Ltd. | 996 | 139,181 | ||||||
People’s United Financial, Inc. | 580,747 | 9,379,064 | ||||||
Piedmont Office Realty Trust, Inc. | 3,240 | 61,171 | ||||||
Plum Creek Timber Co., Inc. | 2,161 | 103,123 | ||||||
PNC Financial Services Group, Inc. | 270,590 | 25,789,933 | ||||||
Popular, Inc. | 2,159 | 61,186 | ||||||
Post Properties, Inc. | 769 | 45,494 |
Table of Contents
Principal Financial Group, Inc. | 6,183 | 278,111 | ||||||
ProAssurance Corp. | 1,155 | 56,052 | ||||||
Prologis, Inc | 10,986 | 471,519 | ||||||
Prudential Financial, Inc. | 9,668 | 787,072 | ||||||
Public Storage | 47,765 | 11,831,391 | ||||||
Raymond James Financial, Inc. | 2,665 | 154,490 | ||||||
Rayonier, Inc. | 2,652 | 58,874 | ||||||
Realogy Holdings Corp. (1) | 1,944 | 71,287 | ||||||
Realty Income Corp. | 5,474 | 282,623 | ||||||
Regency Centers Corp. | 1,967 | 133,992 | ||||||
Regions Financial Corp. | 28,179 | 270,518 | ||||||
Reinsurance Group of America, Inc. | 1,381 | 118,145 | ||||||
RenaissanceRe Holdings Ltd. | 961 | 108,776 | ||||||
Retail Properties of America, Inc. | 4,947 | 73,067 | ||||||
RMR Group, Inc. (1) | 106 | 1,532 | ||||||
Santander Consumer USA Holding, Inc. (1) | 1,790 | 28,372 | ||||||
Senior Housing Properties Trust | 4,900 | 72,716 | ||||||
Signature Bank (1) | 94 | 14,417 | ||||||
SL Green Realty Corp. | 2,096 | 236,806 | ||||||
SLM Corp. (1) | 1,114,089 | 7,263,860 | ||||||
Spirit Realty Capital, Inc. | 9,206 | 92,244 | ||||||
StanCorp Financial Group, Inc. | 881 | 100,328 | ||||||
Starwood Property Trust, Inc. | 5,546 | 114,026 | ||||||
State Street Corp. | 156,819 | 10,406,509 | ||||||
SunTrust Banks, Inc. | 10,822 | 463,615 | ||||||
SVB Financial Group (1) | 403 | 47,917 | ||||||
Synchrony Financial (1) | 17,571 | 534,334 | ||||||
Synovus Financial Corp. | 2,778 | 89,952 | ||||||
Taubman Centers, Inc. | 819 | 62,834 | ||||||
TCF Financial Corp. | 3,547 | 50,084 | ||||||
TD Ameritrade Holding Corp. | 866 | 30,059 | ||||||
TFS Financial Corp. | 1,335 | 25,138 | ||||||
The Chubb Corp. | 168,809 | 22,390,826 | ||||||
The Goldman Sachs Group, Inc. | 66,981 | 12,071,986 | ||||||
The Howard Hughes Corp. (1) | 495 | 56,014 | ||||||
The Macerich Co. | 3,328 | 268,536 | ||||||
The Progressive Corp. | 221,168 | 7,033,142 | ||||||
Torchmark Corp. | 2,630 | 150,331 | ||||||
Travelers Companies, Inc. | 6,807 | 768,238 | ||||||
Two Harbors Investment Corp. | 7,645 | 61,925 | ||||||
U.S. Bancorp | 35,292 | 1,505,910 | ||||||
UDR, Inc. | 5,461 | 205,170 | ||||||
Unum Group | 5,204 | 173,241 | ||||||
Validus Holdings Ltd. | 1,764 | 81,656 | ||||||
Ventas, Inc. | 7,173 | 404,772 | ||||||
Vereit, Inc. | 18,877 | 149,506 | ||||||
Vornado Realty Trust | 3,949 | 394,742 | ||||||
Voya Financial, Inc. | 4,828 | 178,201 | ||||||
W.P. Carey, Inc. | 2,176 | 128,384 | ||||||
W.R. Berkley Corp. | 2,028 | 111,033 | ||||||
Waddell & Reed Financial, Inc. | 106 | 3,038 | ||||||
Weingarten Realty Investors | 2,584 | 89,355 | ||||||
Wells Fargo & Co. | 612,820 | 33,312,895 | ||||||
Welltower, Inc | 4,046 | 275,249 | ||||||
Weyerhaeuser Co. | 9,943 | 298,091 | ||||||
White Mountains Insurance Group Ltd. | 125 | 90,851 | ||||||
WP Glimcher, Inc. | 3,918 | 41,570 | ||||||
XL Group Plc | 6,452 | 252,789 | ||||||
Zions Bancorp | 4,238 | 115,697 | ||||||
|
| |||||||
478,816,575 | ||||||||
|
|
Table of Contents
Healthcare - 11.25% | ||||||||
Abbott Laboratories | 31,599 | 1,419,111 | ||||||
Aetna, Inc. | 5,520 | 596,822 | ||||||
Agilent Technologies, Inc. | 7,004 | 292,837 | ||||||
Alere, Inc. (1) | 656 | 25,643 | ||||||
Alkermes Plc (1) | 548 | 43,500 | ||||||
Allergan Plc (1) | 4,525 | 1,414,063 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 2,673 | 41,111 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 274 | 25,794 | ||||||
Amgen, Inc. | 72,772 | 11,813,079 | ||||||
Anthem, Inc. | 65,023 | 9,066,807 | ||||||
Baxalta, Inc | 4,143 | 161,701 | ||||||
Baxter International, Inc. | 4,143 | 158,055 | ||||||
Bio-Rad Laboratories, Inc. (1) | 433 | 60,040 | ||||||
Bio-Techne Corp. | 463 | 41,670 | ||||||
Boston Scientific Corp. (1) | 25,913 | 477,836 | ||||||
Brookdale Senior Living, Inc. (1) | 3,011 | 55,583 | ||||||
Cardinal Health, Inc. | 294,551 | 26,294,568 | ||||||
Cigna Corp. | 71,700 | 10,491,861 | ||||||
Community Health Systems, Inc. (1) | 2,462 | 65,317 | ||||||
DaVita HealthCare Partners, Inc. (1) | 2,649 | 184,662 | ||||||
Dentsply International, Inc. | 2,170 | 132,045 | ||||||
Endo International Plc (1) | 3,223 | 197,312 | ||||||
Express Scripts Holding Co. (1) | 81,612 | 7,133,705 | ||||||
HCA Holdings, Inc. (1) | 6,197 | 419,103 | ||||||
Health Net, Inc. (1) | 1,344 | 92,010 | ||||||
Hill-Rom Holdings, Inc. | 93 | 4,470 | ||||||
Humana, Inc. | 236 | 42,128 | ||||||
Johnson & Johnson | 297,234 | 30,531,876 | ||||||
Laboratory Corp. of America Holdings (1) | 1,401 | 173,221 | ||||||
Lifepoint Hospitals, Inc. (1) | 835 | 61,289 | ||||||
Mallinckrodt Plc (1) | 1,479 | 110,378 | ||||||
MEDNAX, Inc. (1) | 826 | 59,191 | ||||||
Medtronic Plc | 389,280 | 29,943,418 | ||||||
Merck & Co., Inc. | 556,127 | 29,374,628 | ||||||
Mylan (1) | 1,334 | 72,129 | ||||||
Patterson Companies, Inc. | 834 | 37,705 | ||||||
PerkinElmer, Inc. | 2,009 | 107,622 | ||||||
Perrigo Co. Plc | 2,500 | 361,750 | ||||||
Pfizer, Inc. | 505,652 | 16,322,447 | ||||||
QIAGEN (1) | 4,839 | 133,798 | ||||||
Quest Diagnostics, Inc. | 3,030 | 215,554 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 85 | 5,836 | ||||||
Roche Holding Ltd. - ADR | 403,946 | 13,924,019 | ||||||
Sanofi - ADR | 254,700 | 10,862,955 | ||||||
St. Jude Medical, Inc. | 2,557 | 157,946 | ||||||
Stryker Corp. | 3,495 | 324,825 | ||||||
Teleflex, Inc. | 867 | 113,967 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR | 151,900 | 9,970,716 | ||||||
The Cooper Companies, Inc. | 325 | 43,615 | ||||||
Thermo Fisher Scientific, Inc. | 5,637 | 799,608 | ||||||
UnitedHealth Group, Inc. | 230,465 | 27,111,903 | ||||||
Universal Health Services, Inc. | 1,588 | 189,750 | ||||||
VCA, Inc. (1) | 95 | 5,225 | ||||||
VWR Corp. (1) | 280 | 7,927 | ||||||
Zimmer Holdings, Inc. | 3,356 | 344,292 | ||||||
|
| |||||||
242,118,423 | ||||||||
|
|
Table of Contents
Industrials - 14.61% | ||||||||
AECOM (1) | 2,722 | 81,742 | ||||||
AGCO Corp. | 1,582 | 71,807 | ||||||
Air Lease Corp. | 2,029 | 67,931 | ||||||
Allison Transmission Holdings, Inc. | 1,733 | 44,867 | ||||||
AMERCO | 83 | 32,329 | ||||||
Armstrong World Industries, Inc. (1) | 295 | 13,490 | ||||||
Babcock & Wilcox Enterprise, Inc. (1) | 866 | 18,073 | ||||||
BWX Technologies, Inc. | 1,809 | 57,472 | ||||||
Canadian Natonal Railway Co. | 260,456 | 14,554,281 | ||||||
Carlisle Companies, Inc. | 1,062 | 94,189 | ||||||
Caterpillar, Inc. | 10,614 | 721,327 | ||||||
Chicago Bridge & Iron Co. | 2,043 | 79,657 | ||||||
Clean Harbors, Inc. (1) | 385 | 16,035 | ||||||
Colfax Corp. (1) | 2,095 | 48,918 | ||||||
Copa Holdings SA | 707 | 34,120 | ||||||
Crane Co. | 1,013 | 48,462 | ||||||
CSX Corp. | 427,962 | 11,105,614 | ||||||
Cummins, Inc. | 968 | 85,194 | ||||||
Danaher Corp. | 10,239 | 950,998 | ||||||
Deere & Co. | 113,640 | 8,667,323 | ||||||
Donaldson Co., Inc. | 279 | 7,996 | ||||||
Dover Corp. | 3,378 | 207,105 | ||||||
Dun & Bradstreet Corp. | 525 | 54,563 | ||||||
Eaton Corp. Plc | 126,424 | 6,579,105 | ||||||
Emerson Electric Co. | 4,380 | 209,495 | ||||||
Fedex Corp. | 3,880 | 578,081 | ||||||
Flowserve Corp. | 1,499 | 63,078 | ||||||
Fluor Corp. | 3,057 | 144,352 | ||||||
Fortune Brands Home & Security, Inc. | 2,161 | 119,936 | ||||||
GATX Corp. | 930 | 39,572 | ||||||
General Dynamics Corp. | 118,512 | 16,278,808 | ||||||
General Electric Co. | 198,223 | 6,174,646 | ||||||
Genesee & Wyoming, Inc. (1) | 687 | 36,885 | ||||||
Honeywell International, Inc. | 246,848 | 25,566,047 | ||||||
Hubbell, Inc. (1) | 1,048 | 105,890 | ||||||
IDEX Corp. | 136 | 10,419 | ||||||
IHS, Inc. (1) | 201 | 23,804 | ||||||
Ingersoll-Rand Plc | 5,173 | 286,015 | ||||||
ITT Corp. | 1,861 | 67,592 | ||||||
Jacobs Engineering Group, Inc. (1) | 383,734 | 16,097,641 | ||||||
Jetblue Airways Corp. (1) | 4,097 | 92,797 | ||||||
Joy Global, Inc. | 862,448 | 10,875,469 | ||||||
Kansas City Southern | 2,328 | 173,832 | ||||||
KAR Auction Services, Inc. | 1,963 | 72,690 | ||||||
KBR, Inc. | 356,535 | 6,032,572 | ||||||
Kennametal, Inc. | 1,674 | 32,141 | ||||||
Kirby Corp. (1) | 1,164 | 61,250 | ||||||
L-3 Communications Holdings, Inc. | 1,737 | 207,589 | ||||||
Lincoln Electric Holdings, Inc. | 121 | 6,279 | ||||||
Lockheed Martin Corp. | 74,976 | 16,281,038 | ||||||
Macquarie Infrastructure Corp. | 1,442 | 104,689 | ||||||
ManpowerGroup, Inc. | 1,632 | 137,561 | ||||||
MSC Industrial Direct Co., Inc. | 698 | 39,276 | ||||||
Nielsen Holdings Plc | 239,888 | 11,178,781 | ||||||
Norfolk Southern Corp. | 6,534 | 552,711 | ||||||
Northrop Grumman Corp. | 55,282 | 10,437,794 |
Table of Contents
NOW, Inc. (1) | 2,282 | 36,101 | ||||||
Orbital ATK, Inc. | 1,262 | 112,747 | ||||||
Oshkosh Corp. | 1,632 | 63,713 | ||||||
Owens Corning | 300,161 | 14,116,572 | ||||||
PACCAR, Inc. | 724 | 34,318 | ||||||
Parker-Hannifin Corp. | 1,582 | 153,422 | ||||||
Pentair Plc | 3,784 | 187,422 | ||||||
Pitney Bowes, Inc. | 2,602 | 53,731 | ||||||
Precision Castparts Corp. | 44,567 | 10,339,990 | ||||||
Quanta Services, Inc. (1) | 2,607 | 52,792 | ||||||
Raytheon Co. | 72,588 | 9,039,384 | ||||||
Regal-Beloit Corp. | 890 | 52,083 | ||||||
Republic Services, Inc. | 5,106 | 224,613 | ||||||
Rolls-Royce Holdings Plc - ADR | 771,000 | 6,568,920 | ||||||
Roper Technologies, Inc. | 1,307 | 248,056 | ||||||
RR Donnelley & Sons Co. | 2,133 | 31,398 | ||||||
Ryder System, Inc. | 1,112 | 63,195 | ||||||
Spirit Aerosystems Holdings, Inc. (1) | 224,721 | 11,251,780 | ||||||
SPX Corp. | 867 | 8,089 | ||||||
SPX Flow, Inc. (1) | 72,567 | 2,025,345 | ||||||
Stanley Black & Decker, Inc. | 121,032 | 12,917,745 | ||||||
Terex Corp. | 2,218 | 40,989 | ||||||
Textron, Inc. | 4,528 | 190,221 | ||||||
The ADT Corp. | 3,573 | 117,838 | ||||||
The Manitowoc Co., Inc. | 2,873 | 44,101 | ||||||
The Timken Co. | 1,637 | 46,802 | ||||||
Towers Watson & Co. | 1,189 | 152,739 | ||||||
TransUnion (1) | 153 | 4,218 | ||||||
Trinity Industries, Inc. | 3,232 | 77,633 | ||||||
Triumph Group, Inc. | 1,039 | 41,300 | ||||||
Tyco International Plc | 206,429 | 6,583,021 | ||||||
Union Pacific Corp. | 309,906 | 24,234,649 | ||||||
United Parcel Service, Inc. | 203,459 | 19,578,860 | ||||||
United Technologies Corp. | 302,123 | 29,024,957 | ||||||
Valmont Industries, Inc. | 471 | 49,935 | ||||||
Waste Connections, Inc. | 2,584 | 145,531 | ||||||
Waste Management, Inc. | 8,792 | 469,229 | ||||||
WESCO International, Inc. (1) | 933 | 40,753 | ||||||
Xylem, Inc. | 3,783 | 138,080 | ||||||
|
| |||||||
314,293,600 | ||||||||
|
| |||||||
Information Technology - 12.68% | ||||||||
3D Systems Corp. (1) | 1,431 | 12,436 | ||||||
Accenture Plc | 153,965 | 16,089,342 | ||||||
Activision Blizzard, Inc. | 10,590 | 409,939 | ||||||
Alphabet, Inc. - Class C (1) | 13,832 | 10,496,828 | ||||||
Amdocs Ltd. | 3,261 | 177,953 | ||||||
Analog Devices, Inc. | 576 | 31,864 | ||||||
ANSYS, Inc. (1) | 1,519 | 140,507 | ||||||
Apple, Inc. | 144,659 | 15,226,806 | ||||||
Applied Materials, Inc. | 10,479 | 195,643 | ||||||
ARRIS Group, Inc. (1) | 2,369 | 72,420 | ||||||
Arrow Electronics, Inc. (1) | 217,743 | 11,797,316 | ||||||
Autodesk, Inc. (1) | 1,228 | 74,822 | ||||||
Automatic Data Processing, Inc. | 191,321 | 16,208,715 | ||||||
Avnet, Inc. | 284,556 | 12,190,379 | ||||||
Black Knight Financial Services, Inc. (1) | 52 | 1,719 | ||||||
Booz Allen Hamilton Holding Corp. | 143 | 4,412 | ||||||
Broadcom Corp. | 10,954 | 633,360 |
Table of Contents
Brocade Communications Systems, Inc. | 8,715 | 80,004 | ||||||
CA Technologies, Inc. | 6,659 | 190,181 | ||||||
Cisco Systems, Inc. | 542,944 | 14,743,644 | ||||||
CommScope Holding Co., Inc. (1) | 1,247 | 32,285 | ||||||
Computer Sciences Corp. | 2,927 | 95,654 | ||||||
CoreLogic, Inc. (1) | 1,060 | 35,892 | ||||||
Corning, Inc. | 24,931 | 455,739 | ||||||
Cree, Inc. (1) | 2,284 | 60,914 | ||||||
CSRA, Inc. | 2,927 | 87,810 | ||||||
Cypress Semiconductor Corp. | 6,922 | 67,905 | ||||||
Dolby Laboratories, Inc. | 1,072 | 36,073 | ||||||
DST Systems, Inc. | 169 | 19,276 | ||||||
EchoStar Corp. (1) | 938 | 36,685 | ||||||
EMC Corp. | 464,386 | 11,925,432 | ||||||
Fidelity National Information Services, Inc. | 3,394 | 205,676 | ||||||
First Data Corp. (1) | 858 | 13,745 | ||||||
First Solar, Inc. (1) | 1,587 | 104,726 | ||||||
Fitbit, Inc. (1) | 287 | 8,492 | ||||||
FLIR Systems, Inc. | 1,119 | 31,410 | ||||||
Harris Corp. | 2,145 | 186,401 | ||||||
Hewlett-Packard Enterprise Co. | 38,103 | 579,166 | ||||||
HP, Inc. | 38,103 | 451,140 | ||||||
Ingram Micro, Inc. | 3,077 | 93,479 | ||||||
Intel Corp. | 323,107 | 11,131,036 | ||||||
International Business Machines Corp. | 8,471 | 1,165,779 | ||||||
Jabil Circuit, Inc. | 3,294 | 76,717 | ||||||
Juniper Networks, Inc. | 6,848 | 189,005 | ||||||
Keysight Technologies, Inc. (1) | 544 | 15,412 | ||||||
Lam Research Corp. | 945 | 75,052 | ||||||
Leidos Holdings, Inc. | 1,283 | 72,182 | ||||||
Lexmark International, Inc. | 1,310 | 42,510 | ||||||
Lumentum Holdings, Inc. (1) | 947 | 20,853 | ||||||
Marvell Technology Group Ltd. | 9,447 | 83,323 | ||||||
Match Group, Inc. (1) | 152 | 2,060 | ||||||
Maxim Integrated Products, Inc. | 3,880 | 147,440 | ||||||
Microchip Technology, Inc. | 214,300 | 9,973,522 | ||||||
Micron Technology, Inc. (1) | 20,885 | 295,732 | ||||||
Microsoft Corp. | 655,660 | 36,376,017 | ||||||
National Instruments Corp. | 1,844 | 52,904 | ||||||
NCR Corp. (1) | 3,535 | 86,466 | ||||||
NetApp, Inc. | 4,551 | 120,738 | ||||||
Nuance Communications, Inc. (1) | 5,278 | 104,979 | ||||||
NVIDIA Corp. | 11,301 | 372,481 | ||||||
ON Semiconductor Corp. (1) | 669 | 6,556 | ||||||
Oracle Corp. | 1,070,648 | 39,110,771 | ||||||
Paychex, Inc. | 885 | 46,808 | ||||||
QUALCOMM, Inc. | 399,781 | 19,983,053 | ||||||
Samsung Electronic Co. Ltd. | 24,010 | 25,608,641 | ||||||
SanDisk Corp. | 4,369 | 332,000 | ||||||
Square, Inc. (1) | 148 | 1,937 | ||||||
SS&C Technologies Holdings, Inc. | 181 | 12,357 | ||||||
SunEdison, Inc. (1) | 441 | 2,245 | ||||||
SunPower Corp. (1) | 1,107 | 33,221 | ||||||
Symantec Corp. | 14,296 | 300,216 | ||||||
Synopsys, Inc. (1) | 2,999 | 136,784 | ||||||
Teradata Corp. (1) | 738 | 19,498 | ||||||
Teradyne, Inc. | 4,474 | 92,478 | ||||||
Texas Instruments, Inc. | 217,400 | 11,915,694 |
Table of Contents
Trimble Navigation Ltd. (1) | 5,124 | 109,910 | ||||||
Viavi Solutions, Inc. (1) | 5,094 | 31,022 | ||||||
Western Digital Corp. | 4,711 | 282,896 | ||||||
Xerox Corp. | 21,340 | 226,844 | ||||||
Xilinx, Inc. | 4,196 | 197,086 | ||||||
Yahoo!, Inc. (1) | 19,930 | 662,872 | ||||||
Zillow Group, Inc. - Class A (1) | 358 | 9,322 | ||||||
Zillow Group, Inc. - Class C (1) | 716 | 16,812 | ||||||
Zynga, Inc. (1) | 16,353 | 43,826 | ||||||
|
| |||||||
272,893,247 | ||||||||
|
| |||||||
Materials - 6.04% | ||||||||
Air Products & Chemicals, Inc. | 83,293 | 10,837,252 | ||||||
Airgas, Inc. | 1,099 | 152,014 | ||||||
Albemarle Corp. | 2,340 | 131,063 | ||||||
Alcoa, Inc. | 27,501 | 271,435 | ||||||
Allegheny Technologies, Inc. | 2,320 | 26,100 | ||||||
AptarGroup, Inc. | 1,064 | 77,300 | ||||||
Ashland, Inc. | 1,276 | 131,045 | ||||||
Avery Dennison Corp. | 129 | 8,083 | ||||||
Bemis, Inc. | 1,811 | 80,934 | ||||||
Cabot Corp. | 1,348 | 55,106 | ||||||
Celanese Corp. | 169,340 | 11,401,662 | ||||||
Chemours Co. | 1,969 | 10,554 | ||||||
CRH Plc - ADR | 427,300 | 12,314,786 | ||||||
Crown Holdings, Inc. (1) | 1,626 | 82,438 | ||||||
Domtar Corp. | 1,340 | 49,513 | ||||||
Dow Chemical Co. | 20,556 | 1,058,223 | ||||||
DuPont | 10,372 | 690,775 | ||||||
Eastman Chemical Co. | 2,329 | 157,231 | ||||||
Ecolab, Inc. | 95,244 | 10,894,009 | ||||||
FMC Corp. | 190,201 | 7,442,565 | ||||||
Freeport-McMoRan, Inc. | 23,849 | 161,458 | ||||||
Goldcorp, Inc. | 1,827,324 | 21,123,865 | ||||||
Graphic Packaging Holding Co. | 2,956 | 37,925 | ||||||
Huntsman Corp. | 1,517 | 17,248 | ||||||
International Paper Co. | 426 | 16,060 | ||||||
Kinross Gold Corp. (1) | 4,640,996 | 8,446,613 | ||||||
Martin Marietta Materials, Inc. | 1,224 | 167,174 | ||||||
Newmont Mining Corp. | 11,146 | 200,517 | ||||||
Nucor Corp. | 257,042 | 10,358,793 | ||||||
Owens-Illinois, Inc. (1) | 3,156 | 54,978 | ||||||
Platform Specialty Products Corp. (1) | 2,358 | 30,253 | ||||||
Praxair, Inc. | 146,696 | 15,021,670 | ||||||
Reliance Steel & Aluminum Co. | 1,550 | 89,761 | ||||||
Royal Gold, Inc. | 1,286 | 46,900 | ||||||
Scotts Miracle-Gro Co. | 94 | 6,064 | ||||||
Sonoco Products Co. | 2,105 | 86,031 | ||||||
Southern Copper Corp. | 1,629 | 42,549 | ||||||
Steel Dynamics, Inc. | 4,483 | 80,111 | ||||||
Tahoe Resources, Inc. | 3,050 | 26,444 | ||||||
The Mosaic Co. | 634,574 | 17,507,897 | ||||||
United States Steel Corp. | 3,078 | 24,562 | ||||||
Vulcan Materials Co. | 2,427 | 230,492 | ||||||
Westlake Chemical Corp. | 854 | 46,389 | ||||||
WestRock Co. | 4,951 | 225,865 | ||||||
|
| |||||||
129,921,707 | ||||||||
|
|
Table of Contents
Telecommunication Services - 1.70% | ||||||||
AT&T, Inc. | 109,076 | 3,753,305 | ||||||
CenturyLink, Inc. | 11,837 | 297,819 | ||||||
Frontier Communications Corp. | 24,364 | 113,780 | ||||||
Level 3 Communications, Inc. (1) | 5,361 | 291,424 | ||||||
SBA Communications Corp. (1) | 1,369 | 143,841 | ||||||
Softbank Group Corp. - ADR (1) | 451,915 | 11,381,479 | ||||||
Sprint Corp. (1) | 15,490 | 56,074 | ||||||
Telephone & Data Systems, Inc. | 1,974 | 51,107 | ||||||
T-Mobile US, Inc. (1) | 5,778 | 226,035 | ||||||
U.S. Cellular (1) | 282 | 11,508 | ||||||
Verizon Communications, Inc. | 232,172 | 10,730,990 | ||||||
Vodafone Group Plc - ADR | 297,900 | 9,610,254 | ||||||
Zayo Group Holdings, Inc. (1) | 441 | 11,726 | ||||||
|
| |||||||
36,679,342 | ||||||||
|
| |||||||
Utilities - 0.60% | ||||||||
AES Corp. | 14,232 | 136,200 | ||||||
AGL Resources, Inc. | 2,502 | 159,653 | ||||||
Alliant Energy Corp. | 2,357 | 147,195 | ||||||
Ameren Corp. | 5,109 | 220,862 | ||||||
American Electric Power Co., Inc. | 10,513 | 612,592 | ||||||
American Water Works Co., Inc. | 3,790 | 226,452 | ||||||
Aqua America, Inc. | 3,693 | 110,051 | ||||||
Atmos Energy Corp. | 2,107 | 132,825 | ||||||
Avangrid, Inc. (1) | 1,209 | 46,426 | ||||||
Calpine Corp. (1) | 6,865 | 99,337 | ||||||
CenterPoint Energy, Inc. | 8,972 | 164,726 | ||||||
CMS Energy Corp. | 5,832 | 210,419 | ||||||
Consolidated Edison, Inc. | 6,140 | 394,618 | ||||||
Dominion Resources, Inc. | 11,989 | 810,936 | ||||||
DTE Energy Co. | 3,766 | 301,995 | ||||||
Duke Energy Corp. | 14,571 | 1,040,224 | ||||||
Edison International | 6,831 | 404,463 | ||||||
Entergy Corp. | 3,775 | 258,059 | ||||||
Eversource Energy | 6,667 | 340,484 | ||||||
Exelon Corp. | 19,381 | 538,210 | ||||||
FirstEnergy Corp. | 8,868 | 281,382 | ||||||
Great Plains Energy, Inc. | 3,218 | 87,884 | ||||||
Hawaiian Electric Industries, Inc. | 2,246 | 65,022 | ||||||
ITC Holdings Corp. | 2,044 | 80,227 | ||||||
MDU Resources Group, Inc. | 4,062 | 74,416 | ||||||
National Fuel Gas Co. | 1,761 | 75,283 | ||||||
Nextera Energy, Inc. | 9,362 | 972,618 | ||||||
NiSource, Inc. | 6,619 | 129,137 | ||||||
NRG Energy, Inc. | 6,957 | 81,884 | ||||||
OGE Energy Corp. | 4,162 | 109,419 | ||||||
Pepco Holdings, Inc. | 5,278 | 137,281 | ||||||
PG&E Corp. | 10,314 | 548,602 | ||||||
Pinnacle West Capital Corp. | 2,310 | 148,949 | ||||||
PPL Corp. | 14,006 | 478,025 | ||||||
Public Service Enterprise Group, Inc. | 10,605 | 410,307 | ||||||
Questar Corp. | 3,665 | 71,394 | ||||||
SCANA Corp. | 2,981 | 180,321 | ||||||
Sempra Energy | 5,324 | 500,509 | ||||||
TECO Energy, Inc. | 4,904 | 130,692 | ||||||
TerraForm Power, Inc. | 1,111 | 13,976 | ||||||
The Southern Co. | 19,041 | 890,928 | ||||||
UGI Corp. | 3,598 | 121,468 | ||||||
Vectren Corp. | 1,724 | 73,132 | ||||||
WEC Energy Group, Inc. | 6,624 | 339,877 |
Table of Contents
Westar Energy, Inc. | 2,946 | 124,940 | ||||||
Xcel Energy, Inc. | 10,631 | 381,759 | ||||||
|
| |||||||
12,865,159 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,210,445,238) | $ | 2,074,300,022 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.70% | ||||||||
Money Market Funds - 3.70% | ||||||||
Goldman Sachs Financial Square Funds - Government Fund - Class I, 0.18% | 39,799,225 | $ | 39,799,225 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.12% | 39,799,226 | 39,799,226 | ||||||
|
| |||||||
Total Money Market Funds (Cost $79,598,451) | $ | 79,598,451 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES (Cost $2,290,043,689) - 100.10% | $ | 2,153,898,473 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.10)% | (2,113,386 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,151,785,087 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR - American Depository Receipt
(1) | Non-income producing security. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Table of Contents
Open Futures Contracts
Number of Contracts Purchased | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Depreciation | ||||||||||||
20 | E-Mini S&P 500 Index Futures | Morgan Stanley | Mar. 2016 | $ | 2,046,964 | $ | 2,035,400 | $ | (11,564 | ) | ||||||||
|
| |||||||||||||||||
$ | (11,564 | ) | ||||||||||||||||
|
|
Table of Contents
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 96.55% | ||||||||
Consumer Discretionary - 15.43% | ||||||||
1-800-Flowers.Com, Inc. (1) | 2,768 | $ | 20,151 | |||||
2u, Inc. (1) | 2,900 | 81,142 | ||||||
Aaron’s, Inc. | 33,698 | 754,498 | ||||||
Advance Auto Parts, Inc. | 82,420 | 12,405,034 | ||||||
AMC Entertainment Holdings, Inc. | 214 | 5,136 | ||||||
AMC Networks, Inc. (1) | 6,545 | 488,781 | ||||||
American Axle & Manufacturing Holdings, Inc. (1) | 8,185 | 155,024 | ||||||
American Eagle Outfitters, Inc. | 18,740 | 290,470 | ||||||
America’s Car-Mart, Inc. (1) | 144 | 3,843 | ||||||
Aramark | 19,250 | 620,812 | ||||||
Arctic Cat, Inc. | 499 | 8,174 | ||||||
Asbury Automotive Group, Inc. (1) | 2,731 | 184,179 | ||||||
Ascena Retail Group, Inc. (1) | 3,324 | 32,741 | ||||||
AutoNation, Inc. (1) | 7,960 | 474,894 | ||||||
Bassett Furniture Industries, Inc. | 553 | 13,869 | ||||||
Big Lots, Inc. | 5,511 | 212,394 | ||||||
BJ’s Restaurants, Inc. (1) | 2,312 | 100,503 | ||||||
Black Diamond, Inc. (1) | 136 | 601 | ||||||
Bloomin Brands, Inc. | 161,902 | 2,734,525 | ||||||
Blue Nile, Inc. (1) | 1,269 | 47,118 | ||||||
Bob Evans Farms, Inc. | 177 | 6,876 | ||||||
Bojangles, Inc. (1) | 872 | 13,839 | ||||||
Boot Barn Holdings, Inc. (1) | 99,981 | 1,228,766 | ||||||
Boyd Gaming Corp. (1) | 9,058 | 179,982 | ||||||
Bravo Brio Restaurant Group, Inc. (1) | 1,560 | 14,040 | ||||||
Bright Horizons Family Solutions, Inc. (1) | 11,602 | 775,014 | ||||||
Brinker International, Inc. | 6,770 | 324,621 | ||||||
Brunswick Corp. | 7,510 | 379,330 | ||||||
Buckle, Inc. | 3,018 | 92,894 | ||||||
Buffalo Wild Wings, Inc. (1) | 68,023 | 10,859,872 | ||||||
Build-A-Bear Workshop, Inc. (1) | 101 | 1,236 | ||||||
Burlington Stores, Inc. (1) | 7,505 | 321,964 | ||||||
Cabela’s, Inc. (1) | 188,682 | 8,817,110 | ||||||
Cablevision Systems Corp. | 3,180 | 101,442 | ||||||
CalAtlantic Group, Inc. | 1,829 | 69,356 | ||||||
Caleres, Inc. | 384 | 10,299 | ||||||
Callaway Golf Co. | 152,960 | 1,440,883 | ||||||
Capella Education Company | 1,295 | 59,855 | ||||||
CarMax, Inc. (1) | 185,548 | 10,014,026 | ||||||
Carmike Cinemas, Inc. (1) | 123 | 2,822 | ||||||
Carriage Services, Inc. | 351 | 8,459 | ||||||
Carrols Restaurant Group, Inc. (1) | 3,261 | 38,284 | ||||||
Carter’s, Inc. | 5,742 | 511,210 | ||||||
Cato Corp. | 495 | 18,226 | ||||||
Cavco Industries, Inc. (1) | 847 | 70,564 | ||||||
Central European Media Enterprises Ltd. (1) | 5,319 | 14,308 | ||||||
Century Communities, Inc. (1) | 138 | 2,444 | ||||||
Cheesecake Factory, Inc. | 5,410 | 249,455 |
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Chegg, Inc. (1) | 2,962 | 19,934 | ||||||
Cherokee, Inc. (1) | 798 | 13,765 | ||||||
Chicos FAS, Inc. | 15,353 | 163,816 | ||||||
Children’s Place, Inc. | 578 | 31,906 | ||||||
Choice Hotels International, Inc. | 3,994 | 201,338 | ||||||
Churchill Downs, Inc. | 1,377 | 194,832 | ||||||
Chuy’s Holdings, Inc. (1) | 36,085 | 1,130,904 | ||||||
Cinemark Holdings, Inc. | 12,580 | 420,549 | ||||||
Citi Trends, Inc. | 45 | 956 | ||||||
Clear Channel Outdoor Holdings, Inc. (1) | 1,651 | 9,229 | ||||||
ClubCorp Holdings, Inc. | 4,819 | 88,043 | ||||||
Collectors Universe, Inc. | 734 | 11,377 | ||||||
Columbia Sportswear Co. | 2,132 | 103,956 | ||||||
Container Store Group, Inc. (1) | 1,754 | 14,383 | ||||||
Cooper Tire & Rubber Co. | 698 | 26,419 | ||||||
Cooper-Standard Holdings, Inc. (1) | 95 | 7,371 | ||||||
Core Mark Holding Company, Inc. | 1,282 | 105,047 | ||||||
Cracker Barrel Old Country Store, Inc. | 1,974 | 250,362 | ||||||
Crocs, Inc. (1) | 6,301 | 64,522 | ||||||
Crown Media Holdings, Inc. (1) | 2,852 | 16,000 | ||||||
CST Brands, Inc. | 177,846 | 6,960,892 | ||||||
Culp, Inc. | 1,124 | 28,628 | ||||||
D. R. Horton, Inc. | 14,846 | 475,517 | ||||||
Dana Holding Corp. | 9,002 | 124,228 | ||||||
Dave & Busters Entertainment, Inc. (1) | 2,452 | 102,346 | ||||||
Deckers Outdoor Corp. (1) | 2,017 | 95,202 | ||||||
Del Frisco’s Restaurant Group, Inc. (1) | 126 | 2,019 | ||||||
Denny’s Corp. (1) | 6,718 | 66,038 | ||||||
Destination Xl Group, Inc. (1) | 682 | 3,765 | ||||||
Diamond Resorts International, Inc. (1) | 4,835 | 123,341 | ||||||
Dick’s Sporting Goods, Inc. | 7,015 | 247,980 | ||||||
Dillard’s, Inc. | 293 | 19,253 | ||||||
DineEquity, Inc. | 1,722 | 145,802 | ||||||
Domino’s Pizza, Inc. | 6,001 | 667,611 | ||||||
Dorman Products, Inc. (1) | 2,841 | 134,862 | ||||||
Drew Industries, Inc. | 2,568 | 156,366 | ||||||
DSW, Inc. | 467 | 11,143 | ||||||
Duluth Holdings, Inc. (1) | 738 | 10,767 | ||||||
Dunkin’ Brands Group, Inc. | 10,546 | 449,154 | ||||||
E.W. Scripps Co. | 4,398 | 83,562 | ||||||
El Pollo LoCo Holdings, Inc. (1) | 1,562 | 19,728 | ||||||
Eldorado Resorts, Inc. (1) | 2,579 | 28,369 | ||||||
Empire Resorts, Inc. (1) | 315 | 5,666 | ||||||
Entravision Communication Corp. | 6,488 | 50,022 | ||||||
Escalade, Inc. | 228 | 3,021 | ||||||
Etsy, Inc. (1) | 2,011 | 16,611 | ||||||
Expedia, Inc. | 5,614 | 697,840 | ||||||
Express, Inc. (1) | 8,165 | 141,091 | ||||||
Extended Stay America, Inc. | 6,941 | 110,362 | ||||||
Fenix Parts, Inc. (1) | 895 | 6,077 | ||||||
Fiesta Restaurant Group, Inc. (1) | 2,877 | 96,667 | ||||||
Finish Line, Inc. | 1,395 | 25,222 | ||||||
Five Below, Inc. (1) | 5,838 | 187,400 | ||||||
Fogo De Chao, Inc. (1) | 653 | 9,899 | ||||||
Foot Locker, Inc. | 13,177 | 857,691 |
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Fossil Group, Inc. (1) | 3,699 | 135,235 | ||||||
Fox Factory Holding Corp. (1) | 1,786 | 29,523 | ||||||
Francesca’s Holdings Corp. (1) | 4,541 | 79,059 | ||||||
Gentex Corp. | 16,254 | 260,227 | ||||||
Gentherm, Inc. (1) | 67,510 | 3,199,974 | ||||||
G-III Apparel Group Ltd. (1) | 4,277 | 189,300 | ||||||
Global Eagle Entertainment, Inc. (1) | 4,925 | 48,610 | ||||||
GNC Holdings, Inc. | 9,426 | 292,395 | ||||||
GoPro, Inc. (1) | 9,587 | 172,662 | ||||||
Grand Canyon Education, Inc. (1) | 5,037 | 202,084 | ||||||
Gray Television, Inc. (1) | 6,818 | 111,133 | ||||||
Group 1 Automotive, Inc. | 537 | 40,651 | ||||||
Groupon, Inc. (1) | 50,330 | 154,513 | ||||||
Harman International Industries, Inc. | 17,670 | 1,664,691 | ||||||
Helen Of Troy Corp. (1) | 1,246 | 117,435 | ||||||
Hemisphere Media Group, Inc. (1) | 97 | 1,431 | ||||||
Hibbett Sports, Inc. (1) | 2,672 | 80,801 | ||||||
Hooker Furniture Corp. | 50 | 1,262 | ||||||
Horizon Global Corp. (1) | 46 | 477 | ||||||
Houghton Mifflin Harcourt Co. (1) | 967 | 21,061 | ||||||
HSN, Inc. | 3,465 | 175,572 | ||||||
Imax Corp. (1) | 60,475 | 2,149,281 | ||||||
Installed Building Products, Inc. (1) | 2,126 | 52,789 | ||||||
International Game Technology Plc | 6,849 | 110,817 | ||||||
Interpublic Group of Companies, Inc. | 45,065 | 1,049,113 | ||||||
Interval Leisure Group, Inc. | 4,151 | 64,797 | ||||||
iRobot Corp. (1) | 549 | 19,435 | ||||||
Isle Of Capri Casinos, Inc. (1) | 2,697 | 37,569 | ||||||
Jack In The Box, Inc. | 4,106 | 314,971 | ||||||
JAKKS Pacific, Inc. (1) | 382 | 3,041 | ||||||
Jamba, Inc. (1) | 1,552 | 20,936 | ||||||
Jarden Corp. (1) | 22,981 | 1,312,675 | ||||||
John Wiley & Sons, Inc. | 127,500 | 5,741,325 | ||||||
Journal Media Group, Inc. | 91 | 1,094 | ||||||
Kate Spade & Co. (1) | 14,330 | 254,644 | ||||||
Kirkland’s, Inc. | 1,851 | 26,839 | ||||||
Kona Grill, Inc. (1) | 434 | 6,883 | ||||||
Krispy Kreme Doughnuts, Inc. (1) | 102,191 | 1,540,018 | ||||||
La Quinta Holdings, Inc. (1) | 10,735 | 146,103 | ||||||
Lands End, Inc. (1) | 295 | 6,915 | ||||||
La-Z-Boy, Inc. | 2,098 | 51,233 | ||||||
Lear Corp. | 6,388 | 784,638 | ||||||
Leggett & Platt, Inc. | 15,045 | 632,191 | ||||||
Lennar Corp. - Class A | 7,504 | 367,021 | ||||||
Lennar Corp. - Class B | 349 | 14,023 | ||||||
LGI Homes, Inc. (1) | 385 | 9,367 | ||||||
Libbey, Inc. | 2,202 | 46,947 | ||||||
Liberty Tax, Inc. | 559 | 13,321 | ||||||
Liberty TripAdvisor Holdings, Inc. (1) | 2,613 | 79,278 | ||||||
Liberty Venture Group (1) | 15,514 | 699,837 | ||||||
Lifelock, Inc. (1) | 10,117 | 145,179 | ||||||
Lions Gate Entertainment Corp. | 10,331 | 334,621 | ||||||
Lithia Motors, Inc. | 2,504 | 267,102 | ||||||
Live Nation Entertainment, Inc. (1) | 15,874 | 390,024 | ||||||
LKQ Corp. (1) | 87,980 | 2,606,847 |
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Loral Space and Communications, Inc. (1) | 1,386 | 56,424 | ||||||
lululemon athletica, Inc. (1) | 12,218 | 641,078 | ||||||
M.D.C. Holdings, Inc. | 1,509 | 38,525 | ||||||
M/I Homes, Inc. (1) | 488 | 10,697 | ||||||
Malibu Boats, Inc. (1) | 2,010 | 32,904 | ||||||
Marine Products Corp. | 972 | 5,871 | ||||||
Marinemax, Inc. (1) | 1,370 | 25,235 | ||||||
Marriott Vacations Worldwide Corp. | 1,744 | 99,321 | ||||||
Mattress Firm Holding Corp. (1) | 39,763 | 1,774,623 | ||||||
MCBC Holdings, Inc. (1) | 924 | 12,659 | ||||||
MDC Partners, Inc. | 119,914 | 2,604,532 | ||||||
Mens Wearhouse, Inc. | 5,199 | 76,321 | ||||||
Meritage Homes Corp. (1) | 296 | 10,061 | ||||||
Metaldyne Performance Group, Inc. | 712 | 13,058 | ||||||
Monarch Casino & Resort, Inc. (1) | 525 | 11,928 | ||||||
Monro Muffler Brake, Inc. | 43,461 | 2,877,987 | ||||||
Morgans Hotel Group Co. (1) | 2,624 | 8,843 | ||||||
Morningstar, Inc. | 2,037 | 163,795 | ||||||
Motorcar Parts of America, Inc. (1) | 1,775 | 60,013 | ||||||
MSG Network, Inc. (1) | 6,622 | 137,738 | ||||||
Murphy USA, Inc. (1) | 291 | 17,675 | ||||||
National Cinemedia, Inc. | 143,470 | 2,253,914 | ||||||
Nautilus, Inc. (1) | 3,382 | 56,547 | ||||||
Netflix, Inc. (1) | 18,160 | 2,077,141 | ||||||
New Home Company, Inc. (1) | 218 | 2,825 | ||||||
New York Times Co. | 2,975 | 39,924 | ||||||
Nexstar Broadcasting Group, Inc. | 3,378 | 198,289 | ||||||
Noodles & Co. (1) | 866 | 8,392 | ||||||
NutriSystem, Inc. | 3,058 | 66,175 | ||||||
NVR, Inc. (1) | 439 | 721,277 | ||||||
Office Depot, Inc. (1) | 11,437 | 64,505 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (1) | 84,553 | 1,438,247 | ||||||
Outerwall, Inc. | 2,007 | 73,336 | ||||||
Overstock.Com, Inc. (1) | 1,319 | 16,197 | ||||||
Oxford Industries, Inc. | 1,577 | 100,644 | ||||||
Panera Bread Co. (1) | 19,752 | 3,847,295 | ||||||
Papa John’s International, Inc. | 3,110 | 173,756 | ||||||
Papa Murphy’s Holdings, Inc. (1) | 1,005 | 11,316 | ||||||
Party City Holdings, Inc. (1) | 2,747 | 35,464 | ||||||
Penn National Gaming, Inc. (1) | 1,102 | 17,654 | ||||||
Penske Automotive Group, Inc. | 1,687 | 71,428 | ||||||
Performance Sports Group Ltd. (1) | 385 | 3,708 | ||||||
Petmed Express, Inc. | 2,129 | 36,491 | ||||||
Pier 1 Imports, Inc. | 9,846 | 50,116 | ||||||
Planet Fitness, Inc. (1) | 1,077 | 16,834 | ||||||
Polaris Industries, Inc. | 74,597 | 6,411,612 | ||||||
Pool Corp. | 4,797 | 387,502 | ||||||
Popeyes Louisiana Kitchen, Inc. (1) | 56,496 | 3,305,016 | ||||||
Potbelly Corp. (1) | 53,762 | 629,553 | ||||||
Ralph Lauren Corp. | 58,360 | 6,505,973 | ||||||
Reading International, Inc. (1) | 370 | 4,851 | ||||||
Red Robin Gourmet Burgers, Inc. (1) | 1,522 | 93,968 | ||||||
Regal Entertainment Group | 8,911 | 168,151 | ||||||
Rentrak Corp. (1) | 1,242 | 59,032 | ||||||
Restoration Hardware Holdings, Inc. (1) | 3,668 | 291,423 |
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Ross Stores, Inc. | 231,340 | 12,448,405 | ||||||
Ruth’s Hospitality Group, Inc. | 2,468 | 39,291 | ||||||
Sally Beauty Holdings, Inc. (1) | 232,368 | 6,480,744 | ||||||
Scientific Games Corp. (1) | 5,432 | 48,725 | ||||||
Sears Holdings Corp. (1) | 82 | 1,686 | ||||||
SeaWorld Enertainment, Inc. | 7,365 | 145,017 | ||||||
Select Comfort Corp. (1) | 5,613 | 120,174 | ||||||
Sequential Brands Group, Inc. (1) | 3,647 | 28,846 | ||||||
Service Corp. International | 21,957 | 571,321 | ||||||
Servicemaster Global Holdings, Inc. (1) | 11,223 | 440,391 | ||||||
SFX Entertainment, Inc. (1) | 1,762 | 335 | ||||||
Shake Shack, Inc. (1) | 554 | 21,938 | ||||||
Shutterfly, Inc. (1) | 2,559 | 114,029 | ||||||
Signet Jewelers Ltd. | 71,000 | 8,781,990 | ||||||
Sinclair Broadcast Group, Inc. | 7,458 | 242,683 | ||||||
Six Flags Enertainment Corp. | 7,829 | 430,125 | ||||||
Skechers USA, Inc. (1) | 13,467 | 406,838 | ||||||
Skullcandy, Inc. (1) | 791 | 3,741 | ||||||
Smith & Wesson Holding Corp. (1) | 5,743 | 126,231 | ||||||
Sonic Corp. | 4,067 | 131,405 | ||||||
Sotheby’s | 6,672 | 171,871 | ||||||
Sportsman’s Warehouse Holdings, Inc. (1) | 814 | 10,501 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 110,720 | 7,670,682 | ||||||
Starz Series A (1) | 9,524 | 319,054 | ||||||
Steven Madden Ltd. (1) | 66,828 | 2,019,542 | ||||||
Stoneridge, Inc. (1) | 2,981 | 44,119 | ||||||
Strattec Security Corp. | 49 | 2,768 | ||||||
Strayer Education, Inc. (1) | 487 | 29,278 | ||||||
Sturm, Ruger & Company, Inc. | 2,021 | 120,472 | ||||||
Superior Uniform Group, Inc. | 760 | 12,905 | ||||||
Tempur Sealy International, Inc. (1) | 6,692 | 471,518 | ||||||
Tenneco, Inc. (1) | 6,305 | 289,463 | ||||||
Texas Roadhouse, Inc. | 62,100 | 2,221,317 | ||||||
The Habit Restaurants, Inc. (1) | 1,273 | 29,355 | ||||||
The Madison Square Garden Co. (1) | 2,227 | 360,329 | ||||||
The Michaels Companies, Inc. (1) | 6,757 | 149,397 | ||||||
Thor Industries, Inc. | 5,070 | 284,680 | ||||||
Tile Shop Holdings, Inc. (1) | 2,913 | 47,773 | ||||||
Toll Brothers, Inc. (1) | 6,789 | 226,074 | ||||||
Tower International, Inc. | 1,269 | 36,255 | ||||||
Tractor Supply Co. | 114,290 | 9,771,795 | ||||||
Travelport Worldwide Ltd. | 8,128 | 104,851 | ||||||
Tri Pointe Homes, Inc. (1) | 987 | 12,505 | ||||||
Tribune Publishing Co. | 1,595 | 14,706 | ||||||
TripAdvisor, Inc. (1) | 99,400 | 8,473,850 | ||||||
Tuesday Morning Corp. (1) | 3,938 | 25,597 | ||||||
Tumi Holdings, Inc. (1) | 103,778 | 1,725,828 | ||||||
Tupperware Brands Corp. | 90,594 | 5,041,556 | ||||||
Ulta Salon Cosmetcs & Fragrance, Inc. (1) | 17,609 | 3,257,665 | ||||||
Under Armour, Inc. (1) | 54,320 | 4,378,735 | ||||||
Unifi, Inc. (1) | 75 | 2,111 | ||||||
Universal Electronics, Inc. (1) | 1,419 | 72,866 | ||||||
Urban Outfitters, Inc. (1) | 9,509 | 216,330 | ||||||
Vail Resorts, Inc. | 4,048 | 518,104 | ||||||
Vince Holding Corp. (1) | 1,548 | 7,090 |
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Vista Outdoor, Inc. (1) | 31,976 | 1,423,252 | ||||||
Visteon Corp. (1) | 4,403 | 504,143 | ||||||
Vitamin Shoppe, Inc. (1) | 194 | 6,344 | ||||||
VOXX International Corp. (1) | 91 | 479 | ||||||
Wayfair, Inc. (1) | 2,127 | 101,288 | ||||||
Weight Watchers International, Inc. (1) | 2,876 | 65,573 | ||||||
William Lyon Homes (1) | 324 | 5,346 | ||||||
Williams-Sonoma, Inc. | 9,973 | 582,523 | ||||||
Wingstop, Inc. (1) | 713 | 16,264 | ||||||
Winmark Corp. | 240 | 22,322 | ||||||
Winnebago Industries, Inc. | 2,618 | 52,098 | ||||||
Wolverine World Wide, Inc. | 11,101 | 185,498 | ||||||
World Wrestling Entertainment, Inc. | 3,212 | 57,302 | ||||||
Zagg, Inc. (1) | 2,904 | 31,770 | ||||||
Zoe’s Kitchen, Inc. (1) | 2,111 | 59,066 | ||||||
Zumiez, Inc. (1) | 1,768 | 26,732 | ||||||
|
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215,361,588 | ||||||||
|
| |||||||
Consumer Staples - 6.87% | ||||||||
Alico, Inc. | 23 | 890 | ||||||
Amplify Snack Brands, Inc. (1) | 1,021 | 11,762 | ||||||
Arcadia Biosciences, Inc. (1) | 550 | 1,672 | ||||||
B&G Foods, Inc. | 6,083 | 213,027 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 175,198 | 3,277,955 | ||||||
Boston Beer, Inc. (1) | 1,011 | 204,131 | ||||||
Boulder Brands, Inc. (1) | 5,419 | 59,501 | ||||||
Calavo Growers, Inc. | 49,351 | 2,418,199 | ||||||
Cal-Maine Foods, Inc. | 3,365 | 155,934 | ||||||
Casey’s General Stores, Inc. | 115,397 | 13,899,569 | ||||||
Castle Brands, Inc. (1) | 7,219 | 8,879 | ||||||
Central Garden & Pet Co. (1) | 461 | 6,270 | ||||||
Coca-Cola Bottling Co. Consolidated | 462 | 84,320 | ||||||
Coty, Inc. | 9,187 | 235,463 | ||||||
Craft Brew Alliance, Inc. (1) | 388 | 3,247 | ||||||
Dean Foods Co. | 4,970 | 85,235 | ||||||
Diamond Foods, Inc. (1) | 2,687 | 103,584 | ||||||
Diplomat Pharmacy, Inc. (1) | 3,876 | 132,637 | ||||||
Fairway Group Holdings Corp. (1) | 507 | 335 | ||||||
Farmer Brothers Co. (1) | 840 | 27,107 | ||||||
Flowers Foods, Inc. | 539,679 | 11,597,702 | ||||||
Freshpet, Inc. (1) | 2,082 | 17,676 | ||||||
Herbalife Ltd. (1) | 6,896 | 369,763 | ||||||
HRG Group, Inc. (1) | 3,777 | 51,216 | ||||||
Ingles Markets, Inc. | 401 | 17,676 | ||||||
Ingredion, Inc. | 945 | 90,569 | ||||||
Inter Parfums, Inc. | 729 | 17,365 | ||||||
Inventure Foods, Inc. (1) | 2,053 | 14,576 | ||||||
J & J Snack Foods Corp. | 16,633 | 1,940,572 | ||||||
John B. Sanfilippo & Son, Inc. | 230 | 12,427 | ||||||
Lancaster Colony Corp. | 1,276 | 147,327 | ||||||
Landec Corp. (1) | 587 | 6,944 | ||||||
Lifeway Foods, Inc. (1) | 448 | 4,973 | ||||||
Limoneira Co. | 1,267 | 18,929 | ||||||
McCormick & Co, Inc. | 111,500 | 9,539,940 | ||||||
Mead Johnson Nutrition Co | 92,100 | 7,271,295 | ||||||
Medifast, Inc. | 1,205 | 36,608 |
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MGP Ingredients, Inc. | 1,135 | 29,453 | ||||||
Molson Coors Brewing Co. | 61,500 | 5,776,080 | ||||||
Monster Beverage Corp. (1) | 12,855 | 1,914,881 | ||||||
National Beverage Corp. (1) | 1,144 | 51,983 | ||||||
Natural Grocers by Vitamin Cottage, Inc. (1) | 1,010 | 20,574 | ||||||
Natural Health Trends Corp. | 869 | 29,137 | ||||||
Nu Skin Enterprises, Inc. | 1,324 | 50,166 | ||||||
Orchids Paper Products Company | 292 | 9,029 | ||||||
Performance Food Group Co. (1) | 982 | 22,723 | ||||||
Pilgrim’s Pride Corp. | 789 | 17,429 | ||||||
PriceSmart, Inc. | 2,128 | 176,603 | ||||||
Revlon, Inc. (1) | 333 | 9,271 | ||||||
Rite Aid Corp. (1) | 64,445 | 505,249 | ||||||
Seaboard Corp. (1) | 2 | 5,789 | ||||||
Spectrum Brands Holdings, Inc. | 2,781 | 283,106 | ||||||
Sprouts Farmers Market, Inc. (1) | 16,670 | 443,255 | ||||||
Synutra International, Inc. (1) | 1,930 | 9,090 | ||||||
The Chefs’ Warehouse, Inc. (1) | 2,051 | 34,211 | ||||||
The Fresh Market, Inc. (1) | 4,634 | 108,528 | ||||||
The Hain Celestial Group, Inc. (1) | 11,184 | 451,722 | ||||||
The J. M. Smucker Co. | 109,000 | 13,444,060 | ||||||
Tootsie Roll Industries, Inc. | 680 | 21,481 | ||||||
Treehouse Foods, Inc. (1) | 130,787 | 10,261,548 | ||||||
United Natural Foods, Inc. (1) | 36,593 | 1,440,300 | ||||||
Usana Health Sciences, Inc. (1) | 600 | 76,650 | ||||||
Vector Group Ltd. | 9,504 | 224,199 | ||||||
WD-40 Co. | 1,551 | 153,006 | ||||||
WhiteWave Foods Co. (1) | 38,890 | 1,513,210 | ||||||
Whole Foods Market, Inc. | 200,000 | 6,700,000 | ||||||
|
| |||||||
95,868,008 | ||||||||
|
| |||||||
Energy - 2.60% | ||||||||
Carrizo Oil & Gas, Inc. (1) | 68,460 | 2,025,047 | ||||||
Core Laboratories NV | 124,405 | 13,527,800 | ||||||
CVR Energy, Inc. | 560 | 22,036 | ||||||
Delek US Holdings, Inc. | 3,461 | 85,141 | ||||||
Denbury Resources, Inc. | 922,000 | 1,862,440 | ||||||
Energy Fuels, Inc. (1) | 2,232 | 6,584 | ||||||
Evolution Petroleum Corp. | 2,493 | 11,991 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 6,009 | 14,121 | ||||||
Forum Energy Technologies, Inc. (1) | 107,117 | 1,334,678 | ||||||
Franks International | 311,000 | 5,190,590 | ||||||
Hallador Energy Company | 103 | 470 | ||||||
Ion Geophysical Corp. (1) | 1,424 | 716 | ||||||
Isramco, Inc. (1) | 93 | 8,306 | ||||||
Matador Resources Co. (1) | 4,618 | 91,298 | ||||||
Memorial Resource Development Corp. (1) | 9,699 | 156,639 | ||||||
Oceaneering International, Inc. | 150,319 | 5,639,969 | ||||||
Oil States International, Inc. (1) | 32,931 | 897,370 | ||||||
Panhandle Oil And Gas, Inc. | 723 | 11,684 | ||||||
Par Petroleum Corp. (1) | 1,554 | 36,581 | ||||||
Parsley Energy, Inc. (1) | 3,752 | 69,224 | ||||||
PHI, Inc. (1) | 89 | 1,460 | ||||||
Range Resources Corp. | 21,755 | 535,391 | ||||||
Rice Energy, Inc. (1) | 66,715 | 727,193 | ||||||
Rignet, Inc. (1) | 1,310 | 27,104 |
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RPC, Inc. | 42,671 | 509,918 | ||||||
RSP Permian, Inc. (1) | 70,697 | 1,724,300 | ||||||
SemGroup Corp. | 4,700 | 135,642 | ||||||
Solazyme, Inc. (1) | 8,426 | 20,896 | ||||||
Synergy Resources Corp. (1) | 121,243 | 1,032,990 | ||||||
Targa Resources Corp. | 2,913 | 78,826 | ||||||
Teekay Corp. | 1,966 | 19,404 | ||||||
Ultra Petroleum Corp. (1) | 8,241 | 20,603 | ||||||
Uranium Energy Corp. (1) | 10,093 | 10,699 | ||||||
US Silica Holdings, Inc. | 5,801 | 108,653 | ||||||
Western Refining, Inc. | 7,824 | 278,691 | ||||||
World Fuel Services Corp. | 1,388 | 53,382 | ||||||
|
| |||||||
36,277,837 | ||||||||
|
| |||||||
Financials - 12.35% | ||||||||
Affiliated Managers Group, Inc. (1) | 46,160 | 7,374,522 | ||||||
Alexander’s, Inc. | 219 | 84,120 | ||||||
Allied World Assurance Co. Holdings, AG. | 284,500 | 10,580,555 | ||||||
Altisource Asset Management Corp. (1) | 79 | 1,356 | ||||||
Altisource Portfolio Solutions S.A. (1) | 1,458 | 40,547 | ||||||
American Assets Trust, Inc. | 76,830 | 2,946,430 | ||||||
Amerisafe, Inc. | 39,719 | 2,021,697 | ||||||
Amtrust Financial Services, Inc. | 247 | 15,210 | ||||||
Arthur J. Gallagher & Co. | 204,612 | 8,376,815 | ||||||
Artisan Partners Asset Management, Inc. | 3,822 | 137,821 | ||||||
Ashford, Inc. (1) | 105 | 5,591 | ||||||
Associated Capital Group, Inc. (1) | 689 | 21,014 | ||||||
Atlas Financial Holdings, Inc. (1) | 534 | 10,627 | ||||||
Bank Of The Ozarks, Inc. | 8,592 | 424,960 | ||||||
BGC Partners, Inc. | 19,608 | 192,354 | ||||||
BNC Bancorp | 471 | 11,954 | ||||||
Bofi Holding, Inc. (1) | 6,592 | 138,762 | ||||||
Cardinal Financial Corp. | 179 | 4,072 | ||||||
Caretrust REIT, Inc. | 5,329 | 58,353 | ||||||
CBOE Holdings, Inc. | 9,017 | 585,203 | ||||||
Central Pacific Financial Corp. | 61,632 | �� | 1,357,137 | |||||
Cohen & Steers, Inc. | 2,457 | 74,889 | ||||||
Columbia Property Trust, Inc. | 1,671 | 39,235 | ||||||
Commerce Bancshares, Inc. | 217,875 | 9,268,402 | ||||||
Consolidated-Tomoka Land Co. | 145 | 7,643 | ||||||
CoreSite Realty Corp. | 2,626 | 148,947 | ||||||
Corporate Office Properties Trust | 101,555 | 2,216,946 | ||||||
Cowen Group, Inc. (1) | 810 | 3,102 | ||||||
Crawford & Co. | 854 | 4,535 | ||||||
Credit Acceptance Corp (1) | 912 | 195,186 | ||||||
Cubesmart | 14,476 | 443,255 | ||||||
Cullen/Frost Bankers, Inc. | 141,500 | 8,490,000 | ||||||
CyrusOne, Inc. | 6,775 | 253,724 | ||||||
Diamond Hill Investment Group, Inc. | 323 | 61,047 | ||||||
Dupont Fabros Technology, Inc. | 2,516 | 79,984 | ||||||
Eagle Bancorp, Inc. (1) | 53,440 | 2,697,117 | ||||||
Easterly Government Properties, Inc. | 1,559 | 26,784 | ||||||
Eastgroup Properties, Inc. | 744 | 41,374 | ||||||
Eaton Vance Corp. | 12,905 | 418,509 | ||||||
eHealth, Inc. (1) | 1,947 | 19,431 | ||||||
Empire State Realty Trust, Inc. | 5,862 | 105,926 |
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Employers Holdings, Inc. | 2,065 | 56,374 | ||||||
Encore Capital Group, Inc. (1) | 20,949 | 609,197 | ||||||
Endurance Specialty Holdings Ltd. | 171,500 | 10,974,285 | ||||||
Enova International, Inc. (1) | 2,615 | 17,285 | ||||||
Equity Lifestyle Properties, Inc. | 9,185 | 612,364 | ||||||
Equity One, Inc. | 1,042 | 28,290 | ||||||
Erie Indemnity Co. | 2,632 | 251,724 | ||||||
Essent Group Ltd. (1) | 5,982 | 130,946 | ||||||
Evercore Partners, Inc. | 56,844 | 3,073,555 | ||||||
Extra Space Storage, Inc. | 13,260 | 1,169,665 | ||||||
Federal Realty Investment Trust | 7,416 | 1,083,478 | ||||||
Federated Investors, Inc. | 10,319 | 295,639 | ||||||
Fifth Street Asset Management, Inc. | 689 | 2,246 | ||||||
Financial Engines, Inc. | 69,489 | 2,339,695 | ||||||
First Cash Financial Services, Inc. (1) | 2,791 | 104,467 | ||||||
First Financial Bankshares, Inc. | 3,925 | 118,417 | ||||||
First Midwest Bancorp, Inc. | 137,103 | 2,526,808 | ||||||
First Republic Bank | 101,400 | 6,698,484 | ||||||
Gain Capital Holdings, Inc. | 506 | 4,104 | ||||||
Gamco Investors, Inc. | 689 | 21,387 | ||||||
Gaming and Leisure Properties, Inc. | 1,387 | 38,559 | ||||||
Greenhill & Co, Inc. | 3,176 | 90,865 | ||||||
HCI Group, Inc. | 167 | 5,820 | ||||||
Healthcare Trust of America, Inc. | 1,429 | 38,540 | ||||||
Heritage Insurance Holdings, Inc. (1) | 1,749 | 38,163 | ||||||
HFF, Inc. | 87,200 | 2,709,304 | ||||||
Hilltop Holdings, Inc. (1) | 59,778 | 1,148,933 | ||||||
Home Bancshares, Inc. | 4,995 | 202,397 | ||||||
Homestreet, Inc. (1) | 760 | 16,500 | ||||||
Houlihan Lokey, Inc. | 432 | 11,323 | ||||||
Hudson Pacific Properties, Inc. | 74,587 | 2,098,878 | ||||||
Impac Mortgage Holdings, Inc. (1) | 851 | 15,318 | ||||||
Inland Real Estate Corp. | 3,106 | 32,986 | ||||||
INTL FCStone, Inc. (1) | 406 | 13,585 | ||||||
Investment Technology Group, Inc. | 482 | 8,204 | ||||||
Iron Mountain, Inc. | 9,146 | 247,033 | ||||||
James River Group Holdings Ltd. | 97,963 | 3,285,679 | ||||||
Janus Capital Group, Inc. | 1,392 | 19,613 | ||||||
Jones Lang LaSalle, Inc. | 67,995 | 10,869,681 | ||||||
KCG Holdings, Inc. (1) | 446 | 5,490 | ||||||
Kennedy-Wilson Holdings, Inc. | 887 | 21,359 | ||||||
Ladenburg Thalmann Financial Services, Inc. (1) | 1,223 | 3,375 | ||||||
Lamar Advertising Co. | 8,877 | 532,442 | ||||||
Lazard Ltd. | 118,256 | 5,322,703 | ||||||
Legg Mason, Inc. | 3,431 | 134,598 | ||||||
LendingClub Corp. (1) | 7,212 | 79,693 | ||||||
Lendingtree, Inc. (1) | 618 | 55,175 | ||||||
LPL Financial Holdings, Inc. | 9,045 | 385,769 | ||||||
LTC Properties, Inc. | 258 | 11,130 | ||||||
Maiden Holdings Ltd. | 634 | 9,453 | ||||||
Marcus & Millichap, Inc. (1) | 1,493 | 43,506 | ||||||
MarketAxess Holdings, Inc. | 13,092 | 1,460,936 | ||||||
Medley Management, Inc. | 823 | 4,683 | ||||||
Meridian Bancorp, Inc. | 758 | 10,688 | ||||||
MGIC Investment Corp. (1) | 16,319 | 144,097 |
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Moelis & Co. | 1,651 | 48,176 | ||||||
MSCI, Inc. | 11,026 | 795,305 | ||||||
National General Holdings Corp. | 382 | 8,350 | ||||||
National Health Investors, Inc. | 1,411 | 85,888 | ||||||
National Interstate Corp. | 179 | 4,779 | ||||||
National Storage Affiliates Trust Co. | 2,422 | 41,489 | ||||||
Northern Trust Corp. | 139,500 | 10,056,555 | ||||||
Northstar Asset Management Group, Inc. | 21,605 | 262,285 | ||||||
OM Asset Management Plc | 2,736 | 41,943 | ||||||
Omega Healthcare Investors, Inc. | 5,397 | 188,787 | ||||||
On Deck Capital, Inc. (1) | 1,187 | 12,226 | ||||||
Patriot National, Inc. (1) | 908 | 6,093 | ||||||
Pebblebrook Hotel Trust | 74,931 | 2,099,567 | ||||||
Pinnacle Financial Partners, Inc. | 247 | 12,686 | ||||||
Plum Creek Timber Co., Inc. | 7,891 | 376,559 | ||||||
Post Properties, Inc. | 2,136 | 126,366 | ||||||
Potlatch Corp. | 3,232 | 97,736 | ||||||
PRA Group, Inc. (1) | 81,689 | 2,833,791 | ||||||
Prosperity Bancshares, Inc. | 152,500 | 7,298,650 | ||||||
PS Business Parks, Inc. | 306 | 26,754 | ||||||
Pzena Investment Management, Inc. | 1,283 | 11,034 | ||||||
QTS Realty Trust, Inc. | 2,905 | 131,045 | ||||||
Realogy Holdings Corp. (1) | 5,787 | 212,209 | ||||||
Regional Management Corp. (1) | 138 | 2,135 | ||||||
Renasant Corp. | 222 | 7,639 | ||||||
Resource America, Inc. | 144 | 883 | ||||||
RLJ Lodging Trust | 5,208 | 112,649 | ||||||
Ryman Hospitality Properties, Inc. | 4,927 | 254,430 | ||||||
Sabra Health Care REIT, Inc. | 1,136 | 22,981 | ||||||
Saul Centers, Inc. | 980 | 50,245 | ||||||
SEI Investments Co. | 15,108 | 791,659 | ||||||
Signature Bank (1) | 65,449 | 10,037,913 | ||||||
SLM Corp. (1) | 43,712 | 285,002 | ||||||
South Street Financial Corp. | 47,588 | 3,423,957 | ||||||
Sovran Self Storage, Inc. | 3,423 | 367,322 | ||||||
State National Companies, Inc. | 200 | 1,962 | ||||||
Stonegate Mortgage Corp. (1) | 341 | 1,858 | ||||||
Sun Communities, Inc. | 844 | 57,839 | ||||||
SVB Financial Group (1) | 17,369 | 2,065,174 | ||||||
Talmer BanCorp., Inc. | 174,724 | 3,164,252 | ||||||
Tanger Factory Outlet Centers, Inc. | 10,742 | 351,263 | ||||||
Taubman Centers, Inc. | 2,364 | 181,366 | ||||||
Terreno Realty Corp. | 121,136 | 2,740,096 | ||||||
Texas Capital Bancshares, Inc. (1) | 30,110 | 1,488,036 | ||||||
The Howard Hughes Corp. (1) | 1,712 | 193,730 | ||||||
Third Point Reinsurance Ltd. (1) | 633 | 8,489 | ||||||
United Financial Bancorp, Inc. | 1,009 | 12,996 | ||||||
Universal Health Realty Income Trust | 347 | 17,353 | ||||||
Universal Insurance Holdings, Inc. | 3,459 | 80,180 | ||||||
Urban Edge Properties | 10,107 | 237,009 | ||||||
Virtu Financial, Inc. | 2,073 | 46,933 | ||||||
Virtus Investment Partners, Inc. | 41 | 4,816 | ||||||
Waddell & Reed Financial, Inc. | 8,773 | 251,434 | ||||||
Walker & Dunlop, Inc. (1) | 1,442 | 41,544 | ||||||
Western Alliance Bancorporation (1) | 60,506 | 2,169,745 |
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Westwood Holdings Group, Inc. | 828 | 43,131 | ||||||
WisdomTree Investments, Inc. | 57,142 | 895,987 | ||||||
World Acceptance Corp. (1) | 477 | 17,697 | ||||||
WSFS Financial Corp. | 157 | 5,081 | ||||||
ZAIS Group Holdings, Inc. (1) | 385 | 3,565 | ||||||
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Healthcare - 18.62% | ||||||||
AAC Holdings, Inc. (1) | 20,597 | 392,579 | ||||||
Abaxis, Inc. | 2,433 | 135,469 | ||||||
Abeona Therapeutics, Inc. (1) | 1,052 | 3,535 | ||||||
ABIOMED, Inc. (1) | 16,449 | 1,485,016 | ||||||
Acadia Healthcare Co., Inc. (1) | 37,312 | 2,330,508 | ||||||
ACADIA Pharmaceuticals, Inc. (1) | 7,977 | 284,380 | ||||||
Accelerate Diagnostics, Inc. (1) | 2,323 | 49,921 | ||||||
Acceleron Pharma, Inc. (1) | 2,315 | 112,879 | ||||||
Accuray, Inc. (1) | 8,520 | 57,510 | ||||||
Aceto Corp. | 2,921 | 78,809 | ||||||
Achillion Pharmaceuticals, Inc. (1) | 12,481 | 134,670 | ||||||
Aclaris Therapeutics, Inc. (1) | 724 | 19,505 | ||||||
Acorda Therapeutics, Inc. (1) | 4,180 | 178,820 | ||||||
Addus Homecare Corp. (1) | 29 | 675 | ||||||
Adeptus Health, Inc. (1) | 679 | 37,019 | ||||||
Aduro Biotech, Inc. (1) | 917 | 25,804 | ||||||
Advaxis, Inc. (1) | 3,270 | 32,896 | ||||||
Aegerion Pharmaceuticals, Inc. (1) | 2,711 | 27,381 | ||||||
Aerie Pharmaceuticals, Inc. (1) | 2,206 | 53,716 | ||||||
Affimed N.V. (1) | 1,539 | 10,958 | ||||||
Affymetrix, Inc. (1) | 2,401 | 24,226 | ||||||
Agenus, Inc. (1) | 6,647 | 30,177 | ||||||
Agile Therapeutics, Inc. (1) | 1,032 | 10,072 | ||||||
Agios Pharmaceuticals, Inc. (1) | 2,766 | 179,569 | ||||||
Aimmune Therapeutics, Inc. (1) | 1,041 | 19,206 | ||||||
Air Methods Corp. (1) | 4,214 | 176,693 | ||||||
Akorn, Inc. (1) | 50,034 | 1,866,769 | �� | |||||
Albany Molecular Research, Inc. (1) | 2,659 | 52,781 | ||||||
Alder Biopharmaceuticals, Inc. (1) | 2,524 | 83,368 | ||||||
Alere, Inc. (1) | 6,065 | 237,081 | ||||||
Alexion Pharmaceuticals, Inc. (1) | 41,920 | 7,996,240 | ||||||
Align Technology, Inc. (1) | 96,828 | 6,376,124 | ||||||
Alimera Sciences, Inc. (1) | 3,100 | 7,502 | ||||||
Alkermes Plc (1) | 118,398 | 9,398,433 | ||||||
Alliance HealthCare Services, Inc. (1) | 194 | 1,781 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 6,576 | 101,139 | ||||||
AMAG Pharmaceuticals, Inc. (1) | 2,891 | 87,279 | ||||||
Amedisys, Inc. (1) | 2,420 | 95,154 | ||||||
Amicus Therapeutics, Inc. (1) | 12,422 | 120,493 | ||||||
AMN Healthcare Services, Inc. (1) | 5,111 | 158,697 | ||||||
Amphastar Pharmaceuticals, Inc. (1) | 2,324 | 33,071 | ||||||
Amsurg Corp. (1) | 14,601 | 1,109,676 | ||||||
Anacor Pharmaceuticals, Inc. (1) | 4,498 | 508,139 | ||||||
Analogic Corp. | 118 | 9,747 | ||||||
ANI Pharmaceuticals, Inc. (1) | 856 | 38,627 | ||||||
Anika Therapeutics, Inc. (1) | 1,213 | 46,288 | ||||||
Antares Pharma, Inc. (1) | 15,990 | 19,348 | ||||||
Anthera Pharmaceuticals, Inc. (1) | 4,371 | 20,281 |
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Applied Genetic Technologies Corp. (1) | 881 | 17,972 | ||||||
Aratana Therapeutics, Inc. (1) | 2,717 | 15,161 | ||||||
Ardelyx, Inc. (1) | 1,798 | 32,580 | ||||||
Arena Pharmaceuticals, Inc. (1) | 25,825 | 49,068 | ||||||
Ariad Pharmaceuticals, Inc. (1) | 18,024 | 112,650 | ||||||
Array Biopharma, Inc. (1) | 12,315 | 51,969 | ||||||
Arrowhead Research Corp. (1) | 3,262 | 20,061 | ||||||
Assembly Biosciences, Inc. (1) | 1,340 | 10,063 | ||||||
Asterias Biotherapeutics, Inc. - Class A (1) | 1,081 | 4,248 | ||||||
Atara Biotherapeutics, Inc. (1) | 1,793 | 47,353 | ||||||
athenahealth, Inc. (1) | 15,587 | 2,509,039 | ||||||
AtriCure, Inc. (1) | 2,309 | 51,814 | ||||||
Atrion Corp. | 153 | 58,324 | ||||||
aTyr Pharma, Inc. (1) | 615 | 6,045 | ||||||
Avalanche Biotechnologies, Inc. (1) | 1,946 | 18,526 | ||||||
Axovant Sciences Ltd. (1) | 1,356 | 24,449 | ||||||
Bellicum Pharmaceuticals, Inc. (1) | 797 | 16,155 | ||||||
BioCryst Pharmaceuticals, Inc. (1) | 6,226 | 64,252 | ||||||
BioDelivery Sciences International, Inc. (1) | 5,026 | 24,075 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 66,600 | 6,977,016 | ||||||
Bio-Rad Laboratories, Inc. (1) | 21,846 | 3,029,166 | ||||||
BioSpecifics Technologies Corp. (1) | 535 | 22,989 | ||||||
Bio-Techne Corp. | 19,455 | 1,750,950 | ||||||
BioTelemetry, Inc. (1) | 2,930 | 34,222 | ||||||
BioTime, Inc. (1) | 6,097 | 24,998 | ||||||
Bluebird Bio, Inc. (1) | 3,958 | 254,183 | ||||||
Blueprint Medicines Corp. (1) | 1,046 | 27,552 | ||||||
Brookdale Senior Living, Inc. (1) | 4,296 | 79,304 | ||||||
Bruker Corp. (1) | 11,995 | 291,119 | ||||||
C.R. Bard, Inc. | 32,500 | 6,156,800 | ||||||
Cambrex Corp. (1) | 3,490 | 164,344 | ||||||
Cantel Medical Corp. | 27,057 | 1,681,322 | ||||||
Capital Senior Living Corp. (1) | 3,543 | 73,907 | ||||||
Cara Therapeutics, Inc. (1) | 2,173 | 36,637 | ||||||
Carbylan Therapeutics, Inc. (1) | 1,292 | 4,677 | ||||||
Cardiovascular Systems, Inc. (1) | 3,207 | 48,490 | ||||||
Castlight Health, Inc. (1) | 3,417 | 14,591 | ||||||
Catabasis Pharmaceuticals, Inc. (1) | 462 | 3,664 | ||||||
Catalent, Inc. (1) | 9,350 | 234,031 | ||||||
Catalyst Pharmaceuticals, Inc. (1) | 8,377 | 20,524 | ||||||
Celldex Therapeutics, Inc. (1) | 9,555 | 149,822 | ||||||
Cellular Biomedicine Group, Inc. (1) | 998 | 21,447 | ||||||
Cempra, Inc. (1) | 3,433 | 106,869 | ||||||
Centene Corp. (1) | 144,746 | 9,525,734 | ||||||
Cepheid (1) | 268,625 | 9,812,871 | ||||||
Cerner Corp. (1) | 30,650 | 1,844,211 | ||||||
Cerus Corp. (1) | 8,685 | 54,889 | ||||||
Charles River Laboratories International, Inc. (1) | 5,181 | 416,501 | ||||||
Chemed Corp. | 1,877 | 281,175 | ||||||
ChemoCentryx, Inc. (1) | 2,745 | 22,235 | ||||||
Chiasma, Inc. (1) | 785 | 15,362 | ||||||
Chimerix, Inc. (1) | 5,193 | 46,477 | ||||||
Cidara Therapeutics, Inc. (1) | 494 | 8,477 | ||||||
Civitas Solutions, Inc. (1) | 1,287 | 37,053 | ||||||
Clovis Oncology, Inc. (1) | 2,981 | 104,335 |
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Coherus Biosciences, Inc. (1) | 2,476 | 56,849 | ||||||
Collegium Pharmaceutical, Inc. (1) | 709 | 19,498 | ||||||
Computer Programs & Systems, Inc. | 1,200 | 59,700 | ||||||
Concert Pharmaceuticals, Inc. (1) | 1,656 | 31,414 | ||||||
ConforMIS, Inc. (1) | 1,143 | 19,762 | ||||||
Connecture, Inc. (1) | 692 | 2,498 | ||||||
Corcept Therapeutics, Inc. (1) | 6,816 | 33,944 | ||||||
Corindus Vascular Robotics, Inc. (1) | 2,479 | 7,958 | ||||||
Corium International, Inc. (1) | 1,346 | 10,930 | ||||||
Cormedix, Inc. (1) | 3,263 | 6,624 | ||||||
Corvel Corp. (1) | 907 | 39,835 | ||||||
Cross Country Healthcare, Inc. (1) | 2,126 | 34,845 | ||||||
CTI BioPharma Corp. (1) | 31,487 | 38,729 | ||||||
Curis, Inc. (1) | 12,095 | 35,196 | ||||||
Cutera, Inc. (1) | 1,046 | 13,378 | ||||||
Cynosure, Inc. (1) | 2,235 | 99,837 | ||||||
Cytokinetics, Inc. (1) | 1,953 | 20,428 | ||||||
CytomX Therapeutics, Inc. (1) | 1,065 | 22,227 | ||||||
CytRx Corp. (1) | 6,626 | 17,559 | ||||||
Dentsply International, Inc. | 3,946 | 240,114 | ||||||
Depomed, Inc. (1) | 6,100 | 110,593 | ||||||
Dermira, Inc. (1) | 659 | 22,808 | ||||||
DexCom, Inc. (1) | 8,642 | 707,780 | ||||||
Dicerna Pharmaceuticals, Inc. (1) | 1,465 | 17,390 | ||||||
Dimension Therapeutics, Inc. (1) | 1,213 | 13,683 | ||||||
Durect Corp. (1) | 12,273 | 27,123 | ||||||
Dyax Corp. (1) | 15,849 | 596,239 | ||||||
Dynavax Technologies Corp. (1) | 3,884 | 93,837 | ||||||
Eagle Pharmaceuticals, Inc. (1) | 922 | 81,754 | ||||||
Edge Therapeutics, Inc. (1) | 1,253 | 15,663 | ||||||
Edwards Lifesciences Corp. (1) | 70,000 | 5,528,600 | ||||||
Emergent Biosolutions, Inc. (1) | 2,557 | 102,306 | ||||||
Enanta Pharmaceuticals, Inc. (1) | 1,721 | 56,827 | ||||||
EndoChoice Holdings, Inc. (1) | 830 | 6,931 | ||||||
Endologix, Inc. (1) | 7,269 | 71,963 | ||||||
Ensign Group, Inc. | 70,300 | 1,590,889 | ||||||
Entellus Medical, Inc. (1) | 516 | 8,700 | ||||||
Envision Healthcare Holdings, Inc. (1) | 20,418 | 530,255 | ||||||
Epizyme, Inc. (1) | 3,085 | 49,422 | ||||||
Esperion Therapeutics, Inc. (1) | 1,414 | 31,476 | ||||||
Evolent Health, Inc. (1) | 1,276 | 15,452 | ||||||
Exact Sciences Corp. (1) | 10,245 | 94,561 | ||||||
Examworks Group, Inc. (1) | 64,724 | 1,721,658 | ||||||
Exelixis, Inc. (1) | 24,182 | 136,386 | ||||||
Fibrocell Science, Inc. (1) | 2,554 | 11,621 | ||||||
FibroGen, Inc. (1) | 5,122 | 156,067 | ||||||
Five Prime Therapeutics, Inc. (1) | 2,598 | 107,817 | ||||||
Flex Pharma, Inc. (1) | 559 | 6,960 | ||||||
Flexion Therapeutics, Inc. (1) | 1,401 | 26,997 | ||||||
Fluidigm Corp. (1) | 3,137 | 33,911 | ||||||
Foamix Pharmaceuticals Ltd. (1) | 2,288 | 18,556 | ||||||
Foundation Medicine, Inc. (1) | 1,298 | 27,336 | ||||||
Galena Biopharma, Inc. (1) | 17,419 | 25,606 | ||||||
Genesis Healthcare, Inc. (1) | 1,908 | 6,621 | ||||||
Genmark Diagnostics, Inc. (1) | 4,601 | 35,704 |
Table of Contents
Genocea Biosciences, Inc. (1) | 2,418 | 12,743 | ||||||
Genomic Health, Inc. (1) | 1,888 | 66,458 | ||||||
Geron Corp. (1) | 15,905 | 76,980 | ||||||
Glaukos Corp. (1) | 657 | 16,221 | ||||||
Global Blood Therapeutics, Inc. (1) | 646 | 20,885 | ||||||
Globus Medical, Inc. (1) | 84,960 | 2,363,587 | ||||||
Haemonetics Corp. (1) | 2,659 | 85,726 | ||||||
Halozyme Therapeutics, Inc. (1) | 11,350 | 196,696 | ||||||
Health Net, Inc. (1) | 1,361 | 93,174 | ||||||
Healthequity, Inc. (1) | 40,701 | 1,020,374 | ||||||
Healthsouth Corp. | 10,116 | 352,138 | ||||||
HealthStream, Inc. (1) | 2,691 | 59,202 | ||||||
HeartWare International, Inc. (1) | 1,877 | 94,601 | ||||||
Heron Therapeutics, Inc. (1) | 3,162 | 84,425 | ||||||
Heska Corp. (1) | 650 | 25,142 | ||||||
Hill-Rom Holdings, Inc. | 5,784 | 277,979 | ||||||
HMS Holdings Corp. (1) | 106,786 | 1,317,739 | ||||||
Hologic, Inc. (1) | 67,830 | 2,624,343 | ||||||
ICON Plc (1) | 16,810 | 1,306,137 | ||||||
ICU Medical, Inc. (1) | 24,120 | 2,720,254 | ||||||
Idera Pharmaceuticals, Inc. (1) | 8,519 | 26,324 | ||||||
IDEXX Laboratories, Inc. (1) | 33,946 | 2,475,342 | ||||||
Ignyta, Inc. (1) | 1,300 | 17,420 | ||||||
Illumina, Inc. (1) | 13,840 | 2,656,519 | ||||||
Immune Design Corp. (1) | 1,137 | 22,831 | ||||||
Immunogen, Inc. (1) | 9,230 | 125,251 | ||||||
Immunomedics, Inc. (1) | 9,609 | 29,500 | ||||||
Impax Laboratories, Inc. (1) | 7,968 | 340,712 | ||||||
Imprivata, Inc. (1) | 966 | 10,916 | ||||||
INC Research Holdings, Inc. (1) | 1,387 | 67,283 | ||||||
Infinity Pharmaceuticals, Inc. (1) | 5,213 | 40,922 | ||||||
Inogen, Inc. (1) | 1,709 | 68,514 | ||||||
Inovalon Holdings, Inc. (1) | 24,546 | 417,282 | ||||||
Inovio Pharmaceuticals, Inc. (1) | 6,906 | 46,408 | ||||||
Insmed, Inc. (1) | 6,557 | 119,010 | ||||||
Insulet Corp. (1) | 6,113 | 231,133 | ||||||
Insys Therapeutics, Inc. (1) | 2,504 | 71,690 | ||||||
Integra Lifesciences Holdings Corp. (1) | 48,055 | 3,257,168 | ||||||
Intercept Pharmaceuticals, Inc. (1) | 1,712 | 255,687 | ||||||
Intersect ENT, Inc. (1) | 1,806 | 40,635 | ||||||
Intra-Cellular Therapies, Inc. (1) | 2,914 | 156,744 | ||||||
Intrexon Corp. (1) | 5,440 | 164,016 | ||||||
Intuitive Surgical, Inc. (1) | 1,975 | 1,078,666 | ||||||
InVitae Corp. (1) | 738 | 6,059 | ||||||
Invivo Therapeutics Holdings Corp. (1) | 2,723 | 19,606 | ||||||
Invuity, Inc. (1) | 463 | 4,084 | ||||||
Ionis Pharmaceuticals, Inc. (1) | 13,019 | 806,267 | ||||||
Iradimed Corp. (1) | 319 | 8,942 | ||||||
Ironwood Pharmaceuticals, Inc. (1) | 13,478 | 156,210 | ||||||
Juno Therapeutics, Inc. (1) | 1,391 | 61,162 | ||||||
K2M Group Holdings, Inc. (1) | 1,921 | 37,921 | ||||||
Karyopharm Therapeutics, Inc. (1) | 2,448 | 32,436 | ||||||
Keryx Biopharmaceuticals, Inc. (1) | 11,051 | 55,808 | ||||||
Kite Pharma, Inc. (1) | 3,205 | 197,492 | ||||||
La Jolla Pharmaceutical Co. (1) | 1,425 | 38,475 |
Table of Contents
Laboratory Corp. of America Holdings (1) | 70,000 | 8,654,800 | ||||||
Landauer, Inc. | 1,049 | 34,533 | ||||||
Lannet, Inc. (1) | 2,863 | 114,864 | ||||||
Lantheus Holdings, Inc. (1) | 2,130 | 7,199 | ||||||
LDR Holding Corp. (1) | 2,698 | 67,747 | ||||||
Lemaitre Vascular, Inc. | 481 | 8,297 | ||||||
Lexicon Pharmaceuticals, Inc. (1) | 1,769 | 23,545 | ||||||
LHC Group, Inc. (1) | 82 | 3,714 | ||||||
Lifepoint Hospitals, Inc. (1) | 470 | 34,498 | ||||||
Ligand Pharmaceuticals, Inc. (1) | 20,824 | 2,257,738 | ||||||
Lion Biotechnologies, Inc. (1) | 4,802 | 37,071 | ||||||
LivaNova Plc (1) | 3,458 | 205,301 | ||||||
Luminex Corp. (1) | 223 | 4,770 | ||||||
Macrogenics, Inc. (1) | 3,336 | 103,316 | ||||||
Mannkind Corp. (1) | 26,206 | 37,999 | ||||||
Masimo Corp. (1) | 66,841 | 2,774,570 | ||||||
MedAssets, Inc. (1) | 6,122 | 189,415 | ||||||
Medgenics, Inc. (1) | 3,369 | 20,281 | ||||||
Medicines Co. (1) | 729 | 27,221 | ||||||
Medidata Solutions, Inc. (1) | 44,706 | 2,203,559 | ||||||
Medivation, Inc. (1) | 13,350 | 645,339 | ||||||
MEDNAX, Inc. (1) | 128,749 | 9,226,153 | ||||||
Meridian Bioscience, Inc. | 4,206 | 86,307 | ||||||
Merit Medical Systems, Inc. (1) | 66,385 | 1,234,097 | ||||||
Merrimack Pharmaceuticals, Inc. (1) | 12,707 | 100,385 | ||||||
Mettler-Toledo International, Inc. (1) | 43,424 | 14,726,381 | ||||||
MiMedx Group, Inc. (1) | 11,748 | 110,079 | ||||||
Mirati Therapeutics, Inc. (1) | 1,237 | 39,089 | ||||||
Molina Healthcare, Inc. (1) | 4,354 | 261,806 | ||||||
Momenta Pharmaceuticals, Inc. (1) | 6,542 | 97,083 | ||||||
MyoKardia, Inc. (1) | 1,238 | 18,149 | ||||||
Myriad Genetics, Inc. (1) | 27,792 | 1,199,503 | ||||||
Nanostring Technologies, Inc. (1) | 1,464 | 21,535 | ||||||
NantKwest, Inc. (1) | 717 | 12,426 | ||||||
Natera, Inc. (1) | 967 | 10,444 | ||||||
National Research Corp. | 903 | 14,484 | ||||||
Natus Medical, Inc. (1) | 3,544 | 170,289 | ||||||
Navidea Biopharmaceuticals, Inc. (1) | 12,774 | 16,989 | ||||||
Nektar Therapeutics (1) | 14,108 | 237,720 | ||||||
Neogen Corp. (1) | 65,714 | 3,714,155 | ||||||
Neogenomics, Inc. (1) | 5,731 | 45,103 | ||||||
Neos Therapeutics, Inc. (1) | 547 | 7,833 | ||||||
Neurocrine Biosciences, Inc. (1) | 9,417 | 532,720 | ||||||
Nevro Corp. (1) | 1,809 | 122,126 | ||||||
Newlink Genetics Corp. (1) | 2,247 | 81,768 | ||||||
Nivalis Therapeutics, Inc. (1) | 547 | 4,234 | ||||||
Nobilis Health Corp. (1) | 3,299 | 9,303 | ||||||
Northwest Biotherapeutics, Inc. (1) | 5,157 | 16,502 | ||||||
Novavax, Inc. (1) | 28,691 | 240,717 | ||||||
Novocure Ltd. (1) | 879 | 19,654 | ||||||
Nuvasive, Inc. (1) | 70,154 | 3,796,033 | ||||||
NxStage Medical, Inc. (1) | 6,837 | 149,799 | ||||||
Ocata Therapeutics, Inc. (1) | 3,622 | 30,497 | ||||||
Ocular Therapeutix, Inc. (1) | 1,547 | 14,495 | ||||||
Omeros Corp. (1) | 3,805 | 59,853 |
Table of Contents
Omnicell, Inc. (1) | 92,387 | 2,871,388 | ||||||
Oncomed Pharmaceuticals, Inc. (1) | 1,797 | 40,504 | ||||||
Oncothyreon, Inc. (1) | 10,338 | 22,950 | ||||||
Ophthotech Corp. (1) | 2,532 | 198,838 | ||||||
Opko Health, Inc. (1) | 32,663 | 328,263 | ||||||
OraSure Technologies, Inc. (1) | 507 | 3,265 | ||||||
Orexigen Therapeutics, Inc. (1) | 11,078 | 19,054 | ||||||
Organovo Holdings, Inc. (1) | 9,762 | 24,307 | ||||||
Osiris Therapeutics, Inc. | 1,861 | 19,317 | ||||||
Otonomy, Inc. (1) | 1,567 | 43,484 | ||||||
Ovascience, Inc. (1) | 2,547 | 24,884 | ||||||
Oxford Immunotec Global Plc (1) | 2,136 | 24,564 | ||||||
Pacific Biosciences of California, Inc. (1) | 6,465 | 84,885 | ||||||
Pacira Pharmaceuticals, Inc. (1) | 27,937 | 2,145,282 | ||||||
Paratek Pharmaceuticals, Inc. (1) | 1,297 | 24,604 | ||||||
Parexel International Corp. (1) | 148,069 | 10,086,460 | ||||||
Patterson Companies, Inc. | 5,193 | 234,776 | ||||||
Penumbra, Inc. (1) | 443 | 23,838 | ||||||
Peregrine Pharmaceuticals, Inc. (1) | 18,247 | 21,349 | ||||||
PerkinElmer, Inc. | 1,874 | 100,390 | ||||||
Pernix Therapeutics Holdings, Inc. (1) | 4,479 | 13,213 | ||||||
Pfenex, Inc. (1) | 1,664 | 20,600 | ||||||
Phibro Animal Health Corp. | 1,908 | 57,488 | ||||||
Portola Pharmaceuticals, Inc. (1) | 5,476 | 281,740 | ||||||
Pozen, Inc. (1) | 2,923 | 19,964 | ||||||
PRA Health Sciences, Inc. (1) | 2,120 | 95,972 | ||||||
Premier, Inc. (1) | 4,045 | 142,667 | ||||||
Press Ganey Holdings, Inc. (1) | 1,130 | 35,652 | ||||||
Prestige Brands Holdings, Inc. (1) | 44,276 | 2,279,328 | ||||||
Progenics Pharmaceuticals, Inc. (1) | 7,429 | 45,540 | ||||||
Proteon Therapeutics, Inc. (1) | 746 | 11,570 | ||||||
Prothena Corporation Plc (1) | 3,493 | 237,908 | ||||||
PTC Therapeutics, Inc. (1) | 3,619 | 117,256 | ||||||
Puma Biotechnology, Inc. (1) | 2,680 | 210,112 | ||||||
Quality Systems, Inc. | 5,868 | 94,592 | ||||||
Quidel Corp. (1) | 1,329 | 28,175 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 8,178 | 561,501 | ||||||
Radius Health, Inc. (1) | 3,654 | 224,867 | ||||||
Radnet, Inc. (1) | 3,640 | 22,495 | ||||||
Raptor Pharmaceutical Corp. (1) | 8,529 | 44,351 | ||||||
REGENXBIO, Inc. (1) | 994 | 16,500 | ||||||
Regulus Therapeutics, Inc. (1) | 3,065 | 26,727 | ||||||
Relypsa, Inc. (1) | 3,459 | 98,028 | ||||||
Repligen Corp. (1) | 20,493 | 579,747 | ||||||
ResMed, Inc. | 39,069 | 2,097,615 | ||||||
Retrophin, Inc. (1) | 3,708 | 71,527 | ||||||
Revance Therapeutics, Inc. (1) | 1,998 | 68,252 | ||||||
Rigel Pharmaceuticals, Inc. (1) | 7,416 | 22,470 | ||||||
Rockwell Medical, Inc. (1) | 4,815 | 49,306 | ||||||
RTI Surgical, Inc. (1) | 4,896 | 19,437 | ||||||
SAGE Therapeutics, Inc. (1) | 1,476 | 86,051 | ||||||
Sagent Pharmaceuticals, Inc. (1) | 2,391 | 38,041 | ||||||
Sangamo Biosciences, Inc. (1) | 7,414 | 67,690 | ||||||
Sarepta Therapeutics, Inc. (1) | 4,961 | 191,395 | ||||||
SciClone Pharmaceuticals, Inc. (1) | 5,289 | 48,659 |
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SeaSpine Holdings Corp. (1) | 398 | 6,838 | ||||||
Seattle Genetics, Inc. (1) | 11,451 | 513,921 | ||||||
Second Sight Medical Products, Inc. (1) | 1,245 | 7,333 | ||||||
Select Medical Holdings Corp. | 10,597 | 126,210 | ||||||
Sequenom, Inc. (1) (1) | 12,311 | 20,190 | ||||||
Seres Therapeutics, Inc. (1) | 845 | 29,651 | ||||||
Sientra, Inc. (1) | 704 | 4,168 | ||||||
Sirona Dental Systems, Inc. (1) | 76,534 | 8,385,830 | ||||||
Sorrento Therapeutics, Inc. (1) | 3,099 | 26,992 | ||||||
Spark Therapeutics, Inc. (1) | 865 | 39,193 | ||||||
Spectrum Pharmaceuticals, Inc. (1) | 1,842 | 11,107 | ||||||
St. Jude Medical, Inc. | 202,500 | 12,508,425 | ||||||
STAAR Surgical Co. (1) | 4,211 | 30,067 | ||||||
Stemline Therapeutics, Inc. (1) | 208 | 1,312 | ||||||
STERIS Plc | 86,305 | 6,502,219 | ||||||
Sucampo Pharmaceuticals, Inc. (1) | 2,687 | 46,458 | ||||||
Supernus Pharmaceuticals, Inc. (1) | 3,690 | 49,594 | ||||||
Surgery Partners, Inc. (1) | 1,028 | 21,064 | ||||||
Surgical Care Affiliates, Inc. (1) | 2,181 | 86,826 | ||||||
SurModics, Inc. (1) | 273 | 5,534 | ||||||
Synergy Pharmaceuticals, Inc. (1) | 10,761 | 61,015 | ||||||
Synta Pharmaceuticals Corp. (1) | 8,858 | 3,118 | ||||||
T2 Biosystems, Inc. (1) | 868 | 9,496 | ||||||
Tandem Diabetes Care, Inc. (1) | 1,775 | 20,963 | ||||||
Team Health Holdings, Inc. (1) | 7,938 | 348,399 | ||||||
Teladoc, Inc. (1) | 937 | 16,829 | ||||||
Teleflex, Inc. | 42,000 | 5,520,900 | ||||||
Teligent, Inc. (1) | 4,563 | 40,611 | ||||||
Tenet Healthcare Corp. (1) | 11,044 | 334,633 | ||||||
TESARO, Inc. (1) | 2,500 | 130,800 | ||||||
Tetraphase Pharmaceuticals, Inc. (1) | 3,782 | 37,933 | ||||||
TG Therapeutics, Inc. (1) | 3,749 | 44,726 | ||||||
The Cooper Companies, Inc. | 55,585 | 7,459,507 | ||||||
The Providence Service Corp. (1) | 1,582 | 74,227 | ||||||
The Spectranetics Corp. (1) | 4,583 | 69,020 | ||||||
TherapeuticsMD, Inc. (1) | 13,546 | 140,472 | ||||||
Theravance, Inc. | 7,898 | 83,245 | ||||||
Threshold Pharmaceutical, Inc. (1) | 6,548 | 3,142 | ||||||
Tobira Therapeutics, Inc. (1) | 197 | 1,980 | ||||||
Tokai Pharmaceuticals, Inc. (1) | 363 | 3,165 | ||||||
TransEnterix, Inc. (1) | 75 | 186 | ||||||
Trevena, Inc. (1) | 3,435 | 36,068 | ||||||
Trovagene, Inc. (1) | 3,083 | 16,648 | ||||||
Trupanion, Inc. (1) | 1,276 | 12,454 | ||||||
Ultragenyx Pharmaceutical, Inc. (1) | 4,241 | 475,755 | ||||||
Unilife Corp. (1) | 9,937 | 4,920 | ||||||
United Therapeutics Corp. (1) | 5,009 | 784,459 | ||||||
Universal Health Services, Inc. | 68,750 | 8,214,938 | ||||||
US Physical Therapy, Inc. | 1,326 | 71,180 | ||||||
Utah Medical Products, Inc. | 400 | 23,416 | ||||||
Vanda Pharmaceuticals, Inc. (1) | 3,578 | 33,311 | ||||||
Vascular Solutions, Inc. (1) | 1,899 | 65,307 | ||||||
VCA, Inc. (1) | 8,457 | 465,135 | ||||||
Veeva Systems, Inc. (1) | 7,651 | 220,731 | ||||||
Veracyte, Inc. (1) | 1,362 | 9,806 |
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Verastem, Inc. (1) | 284 | 528 | ||||||
Versartis, Inc. (1) | 147 | 1,821 | ||||||
Vitae Pharmaceuticals, Inc. (1) | 1,299 | 23,512 | ||||||
Vital Therapies, Inc. (1) | 3,005 | 34,618 | ||||||
Vivus, Inc. (1) | 11,666 | 11,899 | ||||||
Vocera Communications, Inc. (1) | 1,763 | 21,509 | ||||||
Voyager Therapeutics, Inc. (1) | 872 | 19,097 | ||||||
vTv Therapeutics, Inc. (1) | 431 | 2,935 | ||||||
VWR Corp. (1) | 1,716 | 48,580 | ||||||
Waters Corp. (1) | 43,500 | 5,854,230 | ||||||
Wellcare Health Plans, Inc. (1) | 4,723 | 369,386 | ||||||
West Pharmaceutical Services, Inc. | 33,814 | 2,036,279 | ||||||
Wright Medical Group NV (1) | 4,973 | 120,247 | ||||||
Xbiotech, Inc. (1) | 386 | 4,196 | ||||||
Xencor, Inc. (1) | 3,042 | 44,474 | ||||||
Xenoport, Inc. (1) | 6,243 | 34,274 | ||||||
XOMA Corp. (1) | 7,542 | 10,031 | ||||||
Zafgen, Inc. (1) | 1,669 | 10,498 | ||||||
Zeltiq Aesthetics, Inc. (1) | 3,486 | 99,456 | ||||||
Ziopharm Oncology, Inc. (1) | 12,255 | 101,839 | ||||||
Zogenix, Inc. (1) | 2,689 | 39,636 | ||||||
Zynerba Pharmaceuticals, Inc. (1) | 366 | 3,686 | ||||||
|
| |||||||
260,038,299 | ||||||||
|
| |||||||
Industrials - 14.19% | ||||||||
A.O. Smith Corp. | 67,895 | 5,201,436 | ||||||
Aaon, Inc. | 84,857 | 1,970,380 | ||||||
Accuride Corp. (1) | 3,569 | 5,925 | ||||||
Actuant Corp. | 130,000 | 3,114,800 | ||||||
Acuity Brands, Inc. | 12,142 | 2,838,800 | ||||||
Advanced Drain Systems, Inc. | 3,580 | 86,027 | ||||||
AECOM (1) | 2,152 | 64,625 | ||||||
Aerojet Rocketdyne Holdings, Inc. (1) | 3,209 | 50,253 | ||||||
Air Lease Corp. | 590 | 19,753 | ||||||
Alaska Air Group, Inc. | 116,259 | 9,360,012 | ||||||
Albany International Corp. | 429 | 15,680 | ||||||
Allegiant Travel Co. | 1,468 | 246,374 | ||||||
Allegion Plc | 10,488 | 691,369 | ||||||
Allied Motion Technologies, Inc. | 687 | 17,986 | ||||||
Allison Transmission Holdings, Inc. | 10,775 | 278,965 | ||||||
Altra Industrial Motion Corp. | 2,254 | 56,530 | ||||||
AMERCO | 373 | 145,283 | ||||||
American Railcar Industries, Inc. | 267 | 12,357 | ||||||
American Woodmark Corp. (1) | 1,365 | 109,173 | ||||||
Apogee Enterprises, Inc. | 3,105 | 135,099 | ||||||
Applied Industrial Technologies, Inc. | 1,925 | 77,943 | ||||||
ARC Document Solutions, Inc. (1) | 4,209 | 18,604 | ||||||
ArcBest Corp. | 866 | 18,524 | ||||||
Argan, Inc. | 1,215 | 39,366 | ||||||
Armstrong World Industries, Inc. (1) | 2,634 | 120,453 | ||||||
Astronics Corp. (1) | 70,051 | 2,851,776 | ||||||
Avis Budget Group, Inc. (1) | 11,064 | 401,513 | ||||||
AZZ, Inc. | 2,766 | 153,707 | ||||||
B/E Aerospace, Inc. | 11,649 | 493,568 | ||||||
Babcock & Wilcox Enterprise, Inc. (1) | 1,081 | 22,560 | ||||||
Barrett Business Services, Inc. | 768 | 33,439 |
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Beacon Roofing Supply, Inc. (1) | 33,224 | 1,368,164 | ||||||
Blount International, Inc. (1) | 5,309 | 52,081 | ||||||
Blue Bird Corp. (1) | 463 | 4,695 | ||||||
BMC Stock Holdings, Inc. (1) | 4,285 | 71,774 | ||||||
Builders FirstSource, Inc. (1) | 5,413 | 59,976 | ||||||
BWX Technologies, Inc. | 2,236 | 71,038 | ||||||
C.H. Robinson Worldwide, Inc. | 81,370 | 5,046,567 | ||||||
Carlisle Companies, Inc. | 1,516 | 134,454 | ||||||
Casella Waste Systems, Inc. (1) | 859 | 5,137 | ||||||
CEB, Inc. | 23,531 | 1,444,568 | ||||||
CECO Environmental Corp. | 1,185 | 9,101 | ||||||
Celadon Group, Inc. | 2,090 | 20,670 | ||||||
Cintas Corp. | 9,734 | 886,281 | ||||||
Clarcor, Inc. | 149,918 | 7,447,926 | ||||||
Clean Harbors, Inc. (1) | 4,283 | 178,387 | ||||||
Comfort Systems USA, Inc. | 3,761 | 106,888 | ||||||
Commercial Vehicle Group, Inc. (1) | 3,047 | 8,410 | ||||||
Continental Building Products, Inc. (1) | 3,373 | 58,893 | ||||||
Copart, Inc. (1) | 13,133 | 499,185 | ||||||
Covanta Holding Corp. | 12,669 | 196,243 | ||||||
Covenant Transportation Group, Inc. - Class A (1) | 1,157 | 21,856 | ||||||
Curtiss-Wright Corp. | 278 | 19,043 | ||||||
Deluxe Corp. | 2,957 | 161,275 | ||||||
Donaldson Co., Inc. | 180,211 | 5,164,847 | ||||||
Douglas Dynamics, Inc. | 659 | 13,885 | ||||||
Dover Corp. | 160,000 | 9,809,600 | ||||||
Dun & Bradstreet Corp. | 1,165 | 121,078 | ||||||
DXP Enterprises, Inc. (1) | 389 | 8,869 | ||||||
Dycom Industries, Inc. (1) | 3,742 | 261,790 | ||||||
Echo Global Logistics, Inc. (1) | 3,186 | 64,963 | ||||||
Encore Wire Corp. | 1,907 | 70,731 | ||||||
EnerSys, Inc. | 1,393 | 77,910 | ||||||
Enphase Energy, Inc. (1) | 2,816 | 9,884 | ||||||
EnPro Industries, Inc. | 1,464 | 64,182 | ||||||
Exponent, Inc. | 2,642 | 131,968 | ||||||
Fastenal Co. | 124,500 | 5,082,090 | ||||||
Fortune Brands Home & Security, Inc. | 6,145 | 341,047 | ||||||
Forward Air Corp. | 3,295 | 141,718 | ||||||
Franklin Covey Co. (1) | 79 | 1,322 | ||||||
Franklin Electric Company, Inc. | 4,720 | 127,582 | ||||||
FreightCar America, Inc. | 656 | 12,746 | ||||||
FTI Consulting, Inc. (1) | 367 | 12,720 | ||||||
FuelCell Energy, Inc. (1) | 546 | 2,708 | ||||||
Furmanite Corp. (1) | 3,424 | 22,804 | ||||||
G & K Services, Inc. | 1,547 | 97,306 | ||||||
Generac Holdings, Inc. (1) | 7,551 | 224,793 | ||||||
General Cable Corp. | 5,358 | 71,958 | ||||||
Genesee & Wyoming, Inc. (1) | 2,232 | 119,836 | ||||||
Global Brass and Copper Holdings, Inc. | 2,144 | 45,667 | ||||||
Gorman Rupp Co. | 391 | 10,451 | ||||||
GP Strategies Corp. (1) | 1,408 | 35,355 | ||||||
Graco, Inc. | 6,454 | 465,140 | ||||||
Great Lakes Dredge & Dock Corp. (1) | 436 | 1,727 | ||||||
Greenbrier Companies, Inc. | 2,895 | 94,435 | ||||||
Griffon Corp. | 839 | 14,934 |
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H&E Equipment Services, Inc. | 3,363 | 58,785 | ||||||
Harsco Corp. | 8,692 | 68,493 | ||||||
Hawaiian Holdings, Inc. (1) | 5,122 | 180,960 | ||||||
HC2 Holdings, Inc. (1) | 1,322 | 6,993 | ||||||
HD Supply Holdings, Inc. (1) | 18,733 | 562,552 | ||||||
Healthcare Services Group, Inc. | 85,572 | 2,983,896 | ||||||
Heartland Express, Inc. | 5,358 | 91,193 | ||||||
Heico Corp. | 61,049 | 3,318,624 | ||||||
Heico Corp. - Class A | 4,311 | 212,101 | ||||||
Heidrick & Struggles International, Inc. | 104 | 2,831 | ||||||
Heritage Crystal Clean, Inc. (1) | 184 | 1,950 | ||||||
Herman Miller, Inc. | 6,391 | 183,422 | ||||||
Hexcel Corp. | 10,509 | 488,143 | ||||||
Hillenbrand, Inc. | 6,731 | 199,440 | ||||||
HNI Corp. | 4,747 | 171,177 | ||||||
Hub Group, Inc. (1) | 3,530 | 116,313 | ||||||
Hubbell, Inc. (1) | 803 | 81,135 | ||||||
Huntington Ingalls Industries, Inc. | 5,302 | 672,559 | ||||||
Huron Consulting Group, Inc. (1) | 295 | 17,523 | ||||||
Hyster-Yale Materials Handling, Inc. | 274 | 14,371 | ||||||
IDEX Corp. | 169,435 | 12,980,415 | ||||||
IHS, Inc. (1) | 5,930 | 702,290 | ||||||
InnerWorkings, Inc. (1) | 1,517 | 11,377 | ||||||
Insperity, Inc. | 2,037 | 98,082 | ||||||
Insteel Industries, Inc. | 1,775 | 37,133 | ||||||
Interface, Inc. | 7,071 | 135,339 | ||||||
J.B. Hunt Transportation Services, Inc. | 8,405 | 616,591 | ||||||
Jetblue Airways Corp. (1) | 12,518 | 283,533 | ||||||
John Bean Technologies Corp. | 3,140 | 156,466 | ||||||
Kadant, Inc. | 181 | 7,350 | ||||||
Kaman Corp. | 227 | 9,264 | ||||||
KAR Auction Services, Inc. | 5,088 | 188,409 | ||||||
Kforce, Inc. | 2,907 | 73,489 | ||||||
Kimball International, Inc. | 1,169 | 11,421 | ||||||
Knight Transportation, Inc. | 6,696 | 162,244 | ||||||
Knoll, Inc. | 5,238 | 98,474 | ||||||
Korn/Ferry International | 2,952 | 97,947 | ||||||
Landstar System, Inc. | 28,345 | 1,662,434 | ||||||
Lawson Products, Inc. DE (1) | 406 | 9,480 | ||||||
Lennox International, Inc. | 4,409 | 550,684 | ||||||
Lincoln Electric Holdings, Inc. | 7,655 | 397,218 | ||||||
Lindsay Corp. | 1,078 | 78,047 | ||||||
Lydall, Inc. (1) | 592 | 21,004 | ||||||
Marten Transport Ltd. | 167 | 2,956 | ||||||
Masonite International Corp. (1) | 3,435 | 210,325 | ||||||
Matson, Inc. | 4,420 | 188,425 | ||||||
Matthews International Corp. | 164 | 8,766 | ||||||
Meritor, Inc. (1) | 5,925 | 49,474 | ||||||
Milacron Holdings Corp. (1) | 844 | 10,558 | ||||||
Miller Industries, Inc. | 31 | 675 | ||||||
Mistras Group, Inc. (1) | 1,009 | 19,262 | ||||||
Mobile Mini, Inc. | 406 | 12,639 | ||||||
Moog, Inc. (1) | 365 | 22,119 | ||||||
MSA Safety, Inc. | 2,020 | 87,809 | ||||||
MSC Industrial Direct Co., Inc. | 13,918 | 783,166 |
Table of Contents
Mueller Industries, Inc. | 4,139 | 112,167 | ||||||
Mueller Water Products, Inc. | 17,216 | 148,058 | ||||||
Multi-Color Corp. | 1,367 | 81,760 | ||||||
Navistar International Corp. (1) | 334 | 2,953 | ||||||
NCI Building Systems, Inc. (1) | 2,842 | 35,269 | ||||||
Neff Corp. (1) | 605 | 4,634 | ||||||
NN, Inc. | 2,884 | 45,971 | ||||||
Nordson Corp. | 6,712 | 430,575 | ||||||
Nortek, Inc. (1) | 1,038 | 45,278 | ||||||
NV5 Holdings, Inc. (1) | 547 | 12,023 | ||||||
Old Dominion Freight Lines, Inc. (1) | 7,606 | 449,286 | ||||||
Omega Flex, Inc. | 288 | 9,507 | ||||||
On Assignment, Inc. (1) | 5,748 | 258,373 | ||||||
Orbital ATK, Inc. | 16,120 | 1,440,161 | ||||||
P.A.M. Transportation Services, Inc. (1) | 316 | 8,718 | ||||||
Parker-Hannifin Corp. | 78,000 | 7,564,440 | ||||||
Park-Ohio Holdings Corp. | 952 | 35,015 | ||||||
Patrick Industries, Inc. (1) | 1,361 | 59,203 | ||||||
Paylocity Holding Corp. (1) | 1,648 | 66,826 | ||||||
PGT, Inc. (1) | 5,110 | 58,203 | ||||||
Pitney Bowes, Inc. | 8,418 | 173,832 | ||||||
Plug Power, Inc. (1) | 11,140 | 23,505 | ||||||
Ply Gem Holdings, Inc. (1) | 2,386 | 29,920 | ||||||
Power Solutions International, Inc. (1) | 479 | 8,742 | ||||||
PowerSecure International, Inc. (1) | 463 | 6,968 | ||||||
Primoris Services Corp. | 85,510 | 1,883,785 | ||||||
Proto Labs, Inc. (1) | 65,142 | 4,148,894 | ||||||
Quanex Building Products Corp. | 260 | 5,421 | ||||||
Quanta Services, Inc. (1) | 3,492 | 70,713 | ||||||
Radiant Logistics, Inc. (1) | 3,102 | 10,640 | ||||||
Raven Industries, Inc. | 382 | 5,959 | ||||||
RBC Bearings, Inc. (1) | 33,085 | 2,136,960 | ||||||
Regal-Beloit Corp. | 229 | 13,401 | ||||||
Resources Connection, Inc. | 774 | 12,647 | ||||||
Rexnord Corp. (1) | 10,947 | 198,360 | ||||||
Ritchie Bros Auctioneers, Inc. | 91,180 | 2,198,350 | ||||||
Roadrunner Transportation Systems, Inc. (1) | 127,536 | 1,202,664 | ||||||
Robert Half International, Inc. | 14,746 | 695,126 | ||||||
Rockwell Automation, Inc. | 172,880 | 17,739,217 | ||||||
Rollins, Inc. | 10,346 | 267,961 | ||||||
RPX Corp. (1) | 694 | 7,634 | ||||||
RR Donnelley & Sons Co. | 11,852 | 174,461 | ||||||
Saia, Inc. (1) | 2,634 | 58,606 | ||||||
Sensata Technologies Holding NV (1) | 148,812 | 6,854,281 | ||||||
Simpson Manufacturing Company, Inc. | 316 | 10,791 | ||||||
Snap-on, Inc. | 44,685 | 7,660,350 | ||||||
SolarCity Corp. (1) | 6,337 | 323,314 | ||||||
SP Plus Corp. (1) | 1,687 | 40,319 | ||||||
Sparton Corp. (1) | 604 | 12,074 | ||||||
Spirit Aerosystems Holdings, Inc. (1) | 14,244 | 713,197 | ||||||
Spirit Airlines, Inc. (1) | 8,167 | 325,455 | ||||||
Standex International Corp. | 999 | 83,067 | ||||||
Steelcase, Inc. | 8,912 | 132,789 | ||||||
Stericycle, Inc. (1) | 11,370 | 1,371,222 | ||||||
Sun Hydraulics Corp. | 2,728 | 86,559 |
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Sunrun, Inc. (1) | 259 | 3,048 | ||||||
Swift Transportation Co. (1) | 9,508 | 131,401 | ||||||
Taser International, Inc. (1) | 54,137 | 936,029 | ||||||
Team, Inc. (1) | 2,201 | 70,344 | ||||||
Teledyne Technologies, Inc. (1) | 978 | 86,749 | ||||||
Tennant Co. | 1,853 | 104,250 | ||||||
The Advisory Board Co. (1) | 84,330 | 4,183,611 | ||||||
The Brink’s Co. | 5,209 | 150,332 | ||||||
The Middleby Corp. (1) | 6,232 | 672,246 | ||||||
The Toro Co. | 29,878 | 2,183,185 | ||||||
Thermon Group Holdings, Inc. (1) | 461 | 7,800 | ||||||
Titan International, Inc. | 446 | 1,757 | ||||||
Towers Watson & Co. | 1,323 | 169,953 | ||||||
TransUnion (1) | 2,789 | 76,893 | ||||||
Trex Company, Inc. (1) | 3,428 | 130,401 | ||||||
TriMas Corp. (1) | 295 | 5,502 | ||||||
Trinet Group, Inc. (1) | 4,079 | 78,929 | ||||||
Trueblue, Inc. (1) | 4,518 | 116,384 | ||||||
United Rentals, Inc. (1) | 99,637 | 7,227,668 | ||||||
Univar, Inc. (1) | 2,235 | 38,017 | ||||||
Universal Truckload Services, Inc. | 513 | 7,203 | ||||||
US Ecology, Inc. | 2,349 | 85,598 | ||||||
USA Truck, Inc. (1) | 359 | 6,265 | ||||||
USG Corp. (1) | 10,311 | 250,454 | ||||||
Valmont Industries, Inc. | 143 | 15,161 | ||||||
Vectrus, Inc. (1) | 1,063 | 22,206 | ||||||
Verisk Analytics, Inc. (1) | 22,170 | 1,704,430 | ||||||
Vicor Corp. (1) | 1,432 | 13,060 | ||||||
Virgin America, Inc. (1) | 2,532 | 91,177 | ||||||
Volt Information Sciences, Inc. (1) | 610 | 4,965 | ||||||
W.W. Grainger, Inc. | 42,000 | 8,508,780 | ||||||
Wabash National Corp. (1) | 7,999 | 94,628 | ||||||
Wabco Holdings, Inc. (1) | 72,544 | 7,418,349 | ||||||
Wabtec Corp. | 10,486 | 745,764 | ||||||
Wageworks, Inc. (1) | 86,643 | 3,930,993 | ||||||
Watsco, Inc. | 2,876 | 336,866 | ||||||
Werner Enterprises, Inc. | 1,090 | 25,495 | ||||||
West Corp. | 785 | 16,932 | ||||||
Woodward, Inc. | 5,119 | 254,210 | ||||||
Xerium Technologies, Inc. (1) | 1,160 | 13,746 | ||||||
XPO Logistics, Inc. (1) | 6,327 | 172,411 | ||||||
YRC Worldwide, Inc. (1) | 649 | 9,203 | ||||||
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198,126,263 | ||||||||
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Information Technology - 22.31% | ||||||||
3D Systems Corp. (1) | 4,414 | 38,358 | ||||||
6d Global Technologies, Inc. (1) | 944 | 274 | ||||||
A10 Networks, Inc. (1) | 3,620 | 23,747 | ||||||
ACI Worldwide, Inc. (1) | 12,579 | 269,191 | ||||||
Advanced Micro Devices, Inc. (1) | 30,514 | 87,575 | ||||||
Advanced Energy Industries, Inc. (1) | 2,341 | 66,086 | ||||||
Aerohive Networks, Inc. (1) | 2,348 | 11,998 | ||||||
Akamai Technologies, Inc. (1) | 13,350 | 702,610 | ||||||
Alarm.com Holdings, Inc. (1) | 1,027 | 17,130 | ||||||
Alliance Data Systems Corp. (1) | 38,535 | 10,657,625 | ||||||
Alliance Fiber Optic Products, Inc. (1) | 1,482 | 22,467 |
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Ambarella, Inc. (1) | 3,364 | 187,509 | ||||||
Amber Road, Inc. (1) | 1,488 | 7,574 | ||||||
American Software, Inc. | 331 | 3,370 | ||||||
Angie’s List, Inc. (1) | 4,760 | 44,506 | ||||||
ANSYS, Inc. (1) | 78,708 | 7,280,490 | ||||||
Apigee Corp. (1) | 420 | 3,373 | ||||||
Appfolio, Inc. (1) | 538 | 7,855 | ||||||
Applied Micro Circuits Corp. (1) | 2,131 | 13,574 | ||||||
Applied Optoelectronics, Inc. (1) | 1,548 | 26,564 | ||||||
Arista Networks, Inc. (1) | 3,726 | 290,032 | ||||||
ARRIS Group, Inc. (1) | 7,491 | 229,000 | ||||||
Aspen Technology, Inc. (1) | 240,925 | 9,097,328 | ||||||
Atlassian Corporation Plc (1) | 196,100 | 5,898,688 | ||||||
Atmel Corp. | 45,278 | 389,844 | ||||||
AVG Technologies (1) | 4,458 | 89,383 | ||||||
Avid Technology, Inc. (1) | 2,302 | 16,782 | ||||||
Badger Meter, Inc. | 1,540 | 90,229 | ||||||
Barracuda Networks, Inc. (1) | 825 | 15,411 | ||||||
Bazaarvoice, Inc. (1) | 2,642 | 11,572 | ||||||
Belden, Inc. | 4,788 | 228,292 | ||||||
Benefitfocus, Inc. (1) | 849 | 30,895 | ||||||
Black Knight Financial Services, Inc. (1) | 2,110 | 69,757 | ||||||
Blackbaud, Inc. | 5,188 | 341,682 | ||||||
Blackhawk Network Holdings, Inc. (1) | 5,960 | 263,492 | ||||||
Booz Allen Hamilton Holding Corp. | 10,386 | 320,408 | ||||||
Bottomline Technologies, Inc. (1) | 65,547 | 1,948,712 | ||||||
Box, Inc. (1) | 1,321 | 18,441 | ||||||
Brightcove, Inc. (1) | 3,312 | 20,534 | ||||||
Broadridge Financial Solutions, Inc. | 13,021 | 699,618 | ||||||
Broadsoft, Inc. (1) | 3,133 | 110,783 | ||||||
Cabot Microelectronics Corp. (1) | 2,241 | 98,111 | ||||||
Cadence Design Systems, Inc. (1) | 85,794 | 1,785,373 | ||||||
CalAmp Corp. (1) | 3,886 | 77,448 | ||||||
Callidus Software, Inc. (1) | 5,957 | 110,621 | ||||||
Carbonite, Inc. (1) | 1,785 | 17,493 | ||||||
Cardtronics, Inc. (1) | 53,253 | 1,791,963 | ||||||
Care.com, Inc. (1) | 299 | 2,141 | ||||||
Cascade Microtech, Inc. (1) | 1,106 | 17,972 | ||||||
Cass Information Systems, Inc. | 691 | 35,559 | ||||||
Cavium, Inc. (1) | 26,357 | 1,731,918 | ||||||
CDW Corp. | 14,336 | 602,685 | ||||||
Ceva, Inc. (1) | 1,081 | 25,252 | ||||||
ChannelAdvisor Corp. (1) | 2,385 | 33,032 | ||||||
Check Point Software Technologies Ltd. (1) | 104,400 | 8,496,072 | ||||||
Ciena Corp. (1) | 13,670 | 282,832 | ||||||
Cimpress (1) | 3,642 | 295,512 | ||||||
Cirrus Logic, Inc. (1) | 7,037 | 207,803 | ||||||
Citrix Systems, Inc. (1) | 81,280 | 6,148,832 | ||||||
Clearfield, Inc. (1) | 1,145 | 15,354 | ||||||
Code Rebel Corp. (1) | 219 | 587 | ||||||
Cognex Corp. | 114,884 | 3,879,633 | ||||||
Coherent, Inc. (1) | 194 | 12,631 | ||||||
CommScope Holding Co., Inc. (1) | 5,005 | 129,579 | ||||||
Commvault Systems, Inc. (1) | 4,837 | 190,336 | ||||||
comScore, Inc. (1) | 3,679 | 151,391 |
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Constant Contact, Inc. (1) | 3,406 | 99,591 | ||||||
CoreLogic, Inc. (1) | 4,360 | 147,630 | ||||||
Cornerstone Ondemand, Inc. (1) | 5,798 | 200,205 | ||||||
CoStar Group, Inc. (1) | 14,401 | 2,976,543 | ||||||
CPI Card Group, Inc. (1) | 1,751 | 18,666 | ||||||
Cray, Inc. (1) | 4,380 | 142,131 | ||||||
Cree, Inc. (1) | 14,335 | 382,314 | ||||||
CSG Systems International, Inc. | 3,528 | 126,937 | ||||||
Cvent, Inc. (1) | 2,531 | 88,357 | ||||||
Cyberark Software Ltd. (1) | 9,885 | 446,209 | ||||||
Daktronics, Inc. | 802 | 6,993 | ||||||
Datalink Corp. (1) | 49 | 333 | ||||||
Demandware, Inc. (1) | 27,804 | 1,500,582 | ||||||
DHI Group, Inc. (1) | 1,596 | 14,635 | ||||||
Diebold, Inc. | 7,298 | 219,597 | ||||||
Digimarc Corp. (1) | 712 | 25,995 | ||||||
Digital Turbine, Inc. (1) | 5,517 | 7,338 | ||||||
DST Systems, Inc. | 2,821 | 321,763 | ||||||
DTS, Inc. (1) | 1,667 | 37,641 | ||||||
EarthLink Holdings Corp. | 10,964 | 81,463 | ||||||
Eastman Kodak Co. (1) | 1,942 | 24,353 | ||||||
Ebix, Inc. | 2,857 | 93,681 | ||||||
Electronics For Imaging, Inc. (1) | 5,251 | 245,432 | ||||||
Ellie Mae, Inc. (1) | 64,051 | 3,857,792 | ||||||
Endurance International Group Holdings, Inc. (1) | 6,232 | 68,116 | ||||||
Entegris, Inc. (1) | 8,764 | 116,298 | ||||||
Envestnet, Inc. (1) | 41,724 | 1,245,461 | ||||||
EPAM Systems, Inc. (1) | 5,342 | 419,988 | ||||||
EPIQ System, Inc. | 1,191 | 15,566 | ||||||
Eplus, Inc. (1) | 42 | 3,917 | ||||||
Euronet Worldwide, Inc. (1) | 35,497 | 2,571,048 | ||||||
Evertec, Inc. | 7,105 | 118,938 | ||||||
Everyday Health, Inc. (1) | 2,220 | 13,364 | ||||||
Exar Corp. (1) | 595 | 3,647 | ||||||
ExlService Holdings, Inc. (1) | 3,312 | 148,808 | ||||||
Extreme Networks, Inc. (1) | 958 | 3,909 | ||||||
FactSet Research Systems, Inc. | 4,519 | 734,654 | ||||||
Fair Isaac Corp. | 3,420 | 322,096 | ||||||
FARO Technologies, Inc. (1) | 391 | 11,542 | ||||||
FEI Co. | 124,295 | 9,917,498 | ||||||
FireEye, Inc. (1) | 43,480 | 901,775 | ||||||
Fitbit, Inc. (1) | 3,084 | 91,256 | ||||||
Five9, Inc. (1) | 2,291 | 19,932 | ||||||
Fleetmatics Group Plc (1) | 4,114 | 208,950 | ||||||
FLIR Systems, Inc. | 48,892 | 1,372,398 | ||||||
Formfactor, Inc. (1) | 2,680 | 24,120 | ||||||
Forrester Research, Inc. | 1,074 | 30,588 | ||||||
Fortinet, Inc. (1) | 482,307 | 15,033,509 | ||||||
Gartner, Inc. (1) | 9,018 | 817,933 | ||||||
Genpact Ltd. (1) | 17,453 | 435,976 | ||||||
Gigamon, Inc. (1) | 3,164 | 84,067 | ||||||
Global Payments, Inc. | 14,416 | 929,976 | ||||||
Globant S.A. (1) | 1,635 | 61,329 | ||||||
Glu Mobile, Inc. (1) | 6,958 | 16,908 | ||||||
Godaddy, Inc. (1) | 2,535 | 81,272 |
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Gogo, Inc. (1) | 6,055 | 107,779 | ||||||
Grubhub, Inc. (1) | 162,730 | 3,938,066 | ||||||
GTT Communications, Inc. (1) | 2,623 | 44,748 | ||||||
Guidance Software, Inc. (1) | 1,891 | 11,384 | ||||||
Guidewire Software, Inc. (1) | 124,355 | 7,481,197 | ||||||
Hackett Group, Inc. | 2,582 | 41,493 | ||||||
Harmonic, Inc. (1) | 1,319 | 5,368 | ||||||
Heartland Payment Systems, Inc. | 4,023 | 381,461 | ||||||
Hortonworks, Inc. (1) | 742 | 16,250 | ||||||
HubSpot, Inc. (1) | 2,031 | 114,366 | ||||||
Immersion Corp. (1) | 3,009 | 35,085 | ||||||
Imperva, Inc. (1) | 2,954 | 187,018 | ||||||
Infinera Corp. (1) | 14,776 | 267,741 | ||||||
Infoblox, Inc. (1) | 6,688 | 122,992 | ||||||
Ingram Micro, Inc. | 944 | 28,679 | ||||||
Inphi Corp. (1) | 4,081 | 110,269 | ||||||
Integrated Device Technology, Inc. (1) | 53,365 | 1,406,168 | ||||||
Interactive Intelligence Group, Inc. (1) | 1,837 | 57,719 | ||||||
InterActiveCorp | 8,085 | 485,504 | ||||||
Interdigital, Inc. | 3,459 | 169,629 | ||||||
Internap Corp. (1) | 5,960 | 38,144 | ||||||
Intralinks Holdings, Inc. (1) | 2,165 | 19,637 | ||||||
Invensense, Inc. (1) | 9,095 | 93,042 | ||||||
IPG Photonics Corp. (1) | 105,199 | 9,379,543 | ||||||
Ixia (1) | 5,801 | 72,106 | ||||||
J2 Global, Inc. | 36,889 | 3,036,702 | ||||||
Jabil Circuit, Inc. | 4,093 | 95,326 | ||||||
Jack Henry & Associates, Inc. | 8,860 | 691,612 | ||||||
Jive Software, Inc. (1) | 4,968 | 20,269 | ||||||
Keysight Technologies, Inc. (1) | 15,569 | 441,070 | ||||||
King Digital Entertainment Plc | 8,622 | 154,161 | ||||||
KVH Industries, Inc. (1) | 1,283 | 12,086 | ||||||
Lattice Semiconductor Corp. (1) | 2,843 | 18,394 | ||||||
Leidos Holdings, Inc. | 630 | 35,444 | ||||||
Lionbridge Technologies, Inc. (1) | 6,971 | 34,228 | ||||||
Littelfuse, Inc. | 2,188 | 234,138 | ||||||
Liveperson, Inc. (1) | 6,048 | 40,824 | ||||||
Logmein, Inc. (1) | 2,636 | 176,876 | ||||||
Luxoft Holding, Inc. (1) | 1,967 | 151,715 | ||||||
M/A-Com Technology Solutions Holdings, Inc. (1) | 2,673 | 109,299 | ||||||
Manhattan Associates, Inc. (1) | 25,500 | 1,687,335 | ||||||
Marin Software, Inc. (1) | 111 | 397 | ||||||
Marketo, Inc. (1) | 3,726 | 106,973 | ||||||
Match Group, Inc. (1) | 3,337 | 45,216 | ||||||
Mattson Technology, Inc. (1) | 7,567 | 26,712 | ||||||
Maximus, Inc. | 7,233 | 406,856 | ||||||
MaxLinear, Inc. (1) | 5,543 | 81,648 | ||||||
Maxpoint Interactive, Inc. (1) | 711 | 1,216 | ||||||
Mercadolibre, Inc. | 75,900 | 8,678,406 | ||||||
Mesa Laboratories, Inc. | 310 | 30,845 | ||||||
Methode Electronics, Inc. | 4,122 | 131,203 | ||||||
Microchip Technology, Inc. | 31,145 | 1,449,488 | ||||||
Microsemi Corp. (1) | 10,502 | 342,260 | ||||||
Microstrategy, Inc. (1) | 993 | 178,035 | ||||||
MINDBODY, Inc. (1) | 633 | 9,577 |
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Mobileiron, Inc. (1) | 3,778 | 13,639 | ||||||
Model N, Inc. (1) | 2,282 | 25,467 | ||||||
Monolithic Power Systems, Inc. | 28,725 | 1,830,070 | ||||||
Monotype Imaging Holdings, Inc. | 84,678 | 2,001,788 | ||||||
MTS Systems Corp. | 1,586 | 100,568 | ||||||
National Instruments Corp. | 28,297 | 811,841 | ||||||
NetScout Systems, Inc. (1) | 48,952 | 1,502,826 | ||||||
NetSuite, Inc. (1) | 4,394 | 371,820 | ||||||
NeuStar, Inc. (1) | 53,321 | 1,278,104 | ||||||
New Relic, Inc. (1) | 627 | 22,842 | ||||||
Newport Corp. (1) | 1,447 | 22,964 | ||||||
NIC, Inc. | 6,964 | 137,052 | ||||||
Nice-Systems Ltd. | 48,991 | 2,808,164 | ||||||
Nimble Storage, Inc. (1) | 5,430 | 49,956 | ||||||
Novatel Wireless, Inc. (1) | 3,216 | 5,371 | ||||||
NVE Corp. | 207 | 11,629 | ||||||
NVIDIA Corp. | 161,200 | 5,313,152 | ||||||
ON Semiconductor Corp. (1) | 43,580 | 427,084 | ||||||
Opower, Inc. (1) | 2,798 | 29,547 | ||||||
OSI Systems, Inc. (1) | 541 | 47,965 | ||||||
Palo Alto Networks, Inc. (1) | 8,405 | 1,480,457 | ||||||
Pandora Media, Inc. (1) | 23,519 | 315,390 | ||||||
Park City Group, Inc. (1) | 995 | 11,850 | ||||||
Paycom Software, Inc. (1) | 66,359 | 2,497,089 | ||||||
Pdf Solutions, Inc. (1) | 2,697 | 29,235 | ||||||
Pegasystems, Inc. | 3,807 | 104,692 | ||||||
Perficient, Inc. (1) | 2,551 | 43,673 | ||||||
Pfsweb, Inc. (1) | 1,141 | 14,685 | ||||||
Plantronics, Inc. | 54,070 | 2,563,999 | ||||||
Plexus Corp. (1) | 1,358 | 47,421 | ||||||
PMC-Sierra, Inc. (1) | 7,069 | 82,142 | ||||||
Power Integrations, Inc. | 80,483 | 3,913,888 | ||||||
Proofpoint, Inc. (1) | 33,869 | 2,201,824 | ||||||
PROS Holdings, Inc. (1) | 44,098 | 1,016,018 | ||||||
PTC, Inc. (1) | 269,663 | 9,338,430 | ||||||
Pure Storage, Inc. (1) | 124,999 | 1,946,234 | ||||||
Q2 Holdings, Inc. (1) | 2,078 | 54,797 | ||||||
QAD, Inc. | 244 | 5,007 | ||||||
Qlik Technologies, Inc. (1) | 126,922 | 4,018,351 | ||||||
Qualys, Inc. (1) | 97,891 | 3,239,213 | ||||||
Quotient Technology, Inc. (1) | 6,517 | 44,446 | ||||||
Rackspace Hosting, Inc. (1) | 12,856 | 325,514 | ||||||
Rambus, Inc. (1) | 12,379 | 143,473 | ||||||
Rapid7, Inc. (1) | 738 | 11,166 | ||||||
RealD, Inc. (1) | 4,285 | 45,207 | ||||||
Realpage, Inc. (1) | 5,629 | 126,371 | ||||||
Red Hat, Inc. (1) | 152,860 | 12,658,337 | ||||||
Reis, Inc. | 542 | 12,862 | ||||||
Retailmenot, Inc. (1) | 181 | 1,796 | ||||||
Rofin Sinar Technologies, Inc. (1) | 316 | 8,462 | ||||||
Rogers Corp. (1) | 639 | 32,953 | ||||||
Rubicon Project, Inc. (1) | 2,763 | 45,451 | ||||||
Ruckus Wireless, Inc. (1) | 8,012 | 85,809 | ||||||
Rudolph Technologies, Inc. (1) | 505 | 7,181 | ||||||
Sabre Corp. | 12,415 | 347,248 |
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Sapiens International Corp. | 2,035 | 20,757 | ||||||
Science Applications International Corp. | 5,210 | 238,514 | ||||||
SciQuest, Inc. (1) | 140,071 | 1,816,721 | ||||||
Semtech Corp. (1) | 118,572 | 2,243,382 | ||||||
Servicesource International, Inc. (1) | 3,459 | 15,946 | ||||||
ShoreTel, Inc. (1) | 1,357 | 12,009 | ||||||
Shutterstock, Inc. (1) | 2,122 | 68,625 | ||||||
Silicon Graphics International Corp. (1) | 3,771 | 22,249 | ||||||
Silicon Laboratories, Inc. (1) | 3,220 | 156,299 | ||||||
Silver Spring Networks, Inc. (1) | 3,635 | 52,380 | ||||||
SolarWinds, Inc. (1) | 386,347 | 22,755,838 | ||||||
Solera Holdings, Inc. | 7,374 | 404,316 | ||||||
Splunk, Inc. (1) | 216,221 | 12,715,957 | ||||||
SPS Commerce, Inc. (1) | 31,554 | 2,215,406 | ||||||
Square, Inc. (1) | 2,799 | 36,639 | ||||||
SS&C Technologies Holdings, Inc. | 7,904 | 539,606 | ||||||
Stamps.com, Inc. (1) | 1,526 | 167,265 | ||||||
SunEdison, Inc. (1) | 26,875 | 136,794 | ||||||
SunPower Corp. (1) | 423 | 12,694 | ||||||
Super Micro Computer, Inc. (1) | 3,953 | 96,888 | ||||||
Synaptics, Inc. (1) | 4,063 | 326,421 | ||||||
Synchronoss Technologies, Inc. (1) | 4,153 | 146,310 | ||||||
Synopsys, Inc. (1) | 70,684 | 3,223,897 | ||||||
Syntel, Inc. (1) | 3,362 | 152,131 | ||||||
Tableau Software, Inc. (1) | 17,286 | 1,628,687 | ||||||
Take-Two Interactive Software, Inc. (1) | 4,692 | 163,469 | ||||||
Tangoe, Inc. (1) | 4,175 | 35,028 | ||||||
TechTarget, Inc. (1) | 481 | 3,862 | ||||||
Teletech Holdings, Inc. | 961 | 26,822 | ||||||
Teradata Corp. (1) | 10,844 | 286,498 | ||||||
Tessera Technologies, Inc. | 3,416 | 102,514 | ||||||
Textura Corp. (1) | 2,120 | 45,750 | ||||||
Tivo, Inc. (1) | 10,325 | 89,105 | ||||||
Total Systems Services, Inc. | 17,966 | 894,707 | ||||||
Travelzoo, Inc. (1) | 658 | 5,507 | ||||||
Trimble Navigation Ltd. (1) | 1,442 | 30,931 | ||||||
TrueCar, Inc. (1) | 5,240 | 49,990 | ||||||
TubeMogul, Inc. (1) | 1,583 | 21,529 | ||||||
Tyler Technologies, Inc. (1) | 11,080 | 1,931,466 | ||||||
Ubiquiti Networks, Inc. (1) | 3,092 | 97,985 | ||||||
Ultimate Software Group, Inc. (1) | 12,991 | 2,539,870 | ||||||
Unisys Corp. (1) | 3,422 | 37,813 | ||||||
Universal Display Corp. (1) | 4,494 | 244,653 | ||||||
Vantiv, Inc. (1) | 15,592 | 739,373 | ||||||
Varonis Systems, Inc. (1) | 886 | 16,657 | ||||||
Vasco Data Security International, Inc. (1) | 34,782 | 581,903 | ||||||
VeriFone Systems, Inc. (1) | 12,325 | 345,347 | ||||||
Verint Systems, Inc. (1) | 6,457 | 261,896 | ||||||
Viasat, Inc. (1) | 4,062 | 247,823 | ||||||
Violin Memory, Inc. (1) | 9,169 | 8,253 | ||||||
VirnetX Holding Corp. (1) | 4,627 | 11,891 | ||||||
Virtusa Corp. (1) | 61,781 | 2,554,027 | ||||||
Web.Com Group, Inc. (1) | 4,718 | 94,407 | ||||||
WebMD Health Corp. (1) | 4,071 | 196,629 | ||||||
WEX, Inc. (1) | 133,622 | 11,812,185 |
Table of Contents
Wix.Com Ltd. (1) | 1,994 | 45,364 | ||||||
Workday, Inc. (1) | 181,000 | 14,422,080 | ||||||
Workiva, Inc. (1) | 715 | 12,563 | ||||||
Xactly Corp. (1) | 1,097 | 9,357 | ||||||
Xcerra Corp. (1) | 2,384 | 14,423 | ||||||
Xilinx, Inc. | 82,500 | 3,875,025 | ||||||
XO Group, Inc. (1) | 2,802 | 45,000 | ||||||
Xura, Inc. (1) | 2,678 | 65,825 | ||||||
Yelp, Inc. (1) | 6,977 | 200,938 | ||||||
Zebra Technologies Corp. (1) | 5,677 | 395,403 | ||||||
Zendesk, Inc. (1) | 5,750 | 152,030 | ||||||
Zillow Group, Inc. - Class A (1) | 2,893 | 75,334 | ||||||
Zillow Group, Inc. - Class C (1) | 5,581 | 131,042 | ||||||
Zix Corp. (1) | 6,197 | 31,481 | ||||||
|
| |||||||
311,519,614 | ||||||||
|
| |||||||
Materials - 3.20% | ||||||||
A. Schulman, Inc. | 2,800 | 85,792 | ||||||
AEP Industries, Inc. (1) | 422 | 32,557 | ||||||
Airgas, Inc. | 10,380 | 1,435,762 | ||||||
American Vanguard Corp. | 385 | 5,394 | ||||||
AptarGroup, Inc. | 86,733 | 6,301,152 | ||||||
Ashland, Inc. | 692 | 71,068 | ||||||
Avery Dennison Corp. | 9,219 | 577,663 | ||||||
Axalta Coating Systems Ltd. (1) | 11,207 | 298,667 | ||||||
Balchem Corp. | 66,975 | 4,072,080 | ||||||
Ball Corp. | 15,011 | 1,091,750 | ||||||
Bemis, Inc. | 1,145 | 51,170 | ||||||
Berry Plastics Group, Inc. (1) | 314,263 | 11,370,035 | ||||||
Boise Cascade Co. (1) | 3,544 | 90,478 | ||||||
Calgon Carbon Corp. | 2,605 | 44,936 | ||||||
Century Alum Co. (1) | 330 | 1,459 | ||||||
Chase Corp. | 678 | 27,615 | ||||||
Chemtura Corp. (1) | 7,546 | 205,779 | ||||||
Clearwater Paper Corp. (1) | 2,075 | 94,475 | ||||||
Compass Minerals International, Inc. | 3,752 | 282,413 | ||||||
Core Molding Technologies, Inc. (1) | 826 | 10,598 | ||||||
Crown Holdings, Inc. (1) | 6,743 | 341,870 | ||||||
Deltic Timber Corp. | 1,193 | 70,232 | ||||||
Eagle Materials, Inc. | 5,559 | 335,930 | ||||||
Ferro Corp. (1) | 7,760 | 86,291 | ||||||
Ferroglobe Plc | 6,924 | 74,433 | ||||||
Graphic Packaging Holding Co. | 21,010 | 269,558 | ||||||
Handy & Harman Ltd. (1) | 82 | 1,682 | ||||||
Hawkins, Inc. | 172 | 6,152 | ||||||
Haynes International, Inc. | 58 | 2,128 | ||||||
HB Fuller Co. | 5,417 | 197,558 | ||||||
Headwaters, Inc. (1) | 7,932 | 133,813 | ||||||
Huntsman Corp. | 13,982 | 158,975 | ||||||
International Flavors & Fragrances, Inc. | 8,773 | 1,049,602 | ||||||
Kaiser Aluminum Corp. | 611 | 51,116 | ||||||
KapStone Paper and Packaging Corp. | 9,172 | 207,195 | ||||||
KMG Chemicals, Inc. | 990 | 22,790 | ||||||
Koppers Holdings, Inc. (1) | 2,251 | 41,081 | ||||||
Louisiana-Pacific Corp. (1) | 14,676 | 264,315 | ||||||
LSB Industries, Inc. (1) | 758 | 5,495 |
Table of Contents
Martin Marietta Materials, Inc. | 44,435 | 6,068,932 | ||||||
Minerals Technologies, Inc. | 3,509 | 160,923 | ||||||
Multi Packaging Solutions International Ltd. (1) | 1,482 | 25,713 | ||||||
Myers Industries, Inc. | 2,647 | 35,258 | ||||||
Neenah Paper, Inc. | 999 | 62,368 | ||||||
NewMarket Corp. | 926 | 352,556 | ||||||
Olin Corp. | 7,897 | 136,302 | ||||||
Olympic Steel, Inc. | 106 | 1,227 | ||||||
Omnova Solutions, Inc. (1) | 2,884 | 17,679 | ||||||
Owens-Illinois, Inc. (1) | 1,164 | 20,277 | ||||||
Packaging Corporation of America | 10,717 | 675,707 | ||||||
Platform Specialty Products Corp. (1) | 2,353 | 30,189 | ||||||
Polyone Corp. | 9,713 | 308,485 | ||||||
Quaker Chemical Corp. | 36,567 | 2,825,166 | ||||||
Real Industry, Inc. (1) | 1,557 | 12,503 | ||||||
Rentech, Inc. (1) | 2,497 | 8,789 | ||||||
Royal Gold, Inc. | 363 | 13,239 | ||||||
RPM International, Inc. | 14,552 | 641,161 | ||||||
Ryerson Holding Corp. (1) | 152 | 710 | ||||||
Schweitzer-Mauduit International, Inc. | 625 | 26,244 | ||||||
Scotts Miracle-Gro Co. | 4,437 | 286,231 | ||||||
Sealed Air Corp. | 21,372 | 953,191 | ||||||
Senomyx, Inc. (1) | 4,770 | 17,983 | ||||||
Sensient Technologies Corp. | 3,342 | 209,944 | ||||||
Silgan Holdings, Inc. | 4,366 | 234,542 | ||||||
Steel Dynamics, Inc. | 2,874 | 51,358 | ||||||
Stepan Co. | 1,017 | 50,535 | ||||||
Stillwater Mining Co. (1) | 4,250 | 36,422 | ||||||
Summit Materials, Inc. (1) | 3,629 | 72,734 | ||||||
Suncoke Energy, Inc. | 5,154 | 17,884 | ||||||
Tahoe Resources, Inc. | 2,008 | 17,409 | ||||||
The Valspar Corp. | 8,859 | 734,854 | ||||||
Trecora Resources (1) | 2,186 | 27,085 | ||||||
Tredegar Corp. | 527 | 7,178 | ||||||
Trinseo S.A. (1) | 1,260 | 35,532 | ||||||
United States Lime & Minerals, Inc. | 27 | 1,484 | ||||||
US Concrete, Inc. (1) | 1,563 | 82,308 | ||||||
Valhi, Inc. | 814 | 1,091 | ||||||
W.R. Grace & Co. (1) | 7,932 | 789,948 | ||||||
Wausau Paper Corp. | 4,151 | 42,465 | ||||||
WestRock Co. | 2,672 | 121,897 | ||||||
Worthington Industries, Inc. | 1,184 | 35,686 | ||||||
|
| |||||||
44,722,248 | ||||||||
|
| |||||||
Telecommunication Services - 0.80% | ||||||||
8×8, Inc. (1) | 3,331 | 38,140 | ||||||
Boingo Wireless, Inc. (1) | 2,018 | 13,359 | ||||||
Cogent Communications Holdings, Inc. | 4,949 | 171,681 | ||||||
Consolidated Communications Holdings, Inc. | 3,512 | 73,576 | ||||||
FairPoint Communications, Inc. (1) | 2,257 | 36,270 | ||||||
General Communication, Inc. (1) | 3,780 | 74,768 | ||||||
IDT Corp. | 280 | 3,265 | ||||||
Incontact, Inc. (1) | 5,942 | 56,687 | ||||||
Inteliquent, Inc. | 1,548 | 27,508 | ||||||
Intelsat S.A. (1) | 938 | 3,902 | ||||||
Lumos Networks Corp. (1) | 2,035 | 22,792 |
Table of Contents
pdvWireless, Inc. (1) | 971 | 26,703 | ||||||
RingCentral, Inc. (1) | 5,751 | 135,609 | ||||||
SBA Communications Corp. (1) | 94,790 | 9,959,585 | ||||||
Shenandoah Telecommunications Company | 2,265 | 97,508 | ||||||
Straight Path Communications, Inc. (1) | 982 | 16,832 | ||||||
Vonage Holdings Corp. (1) | 1,973 | 11,325 | ||||||
Windstream Holdings, Inc. | 10,273 | 66,158 | ||||||
Zayo Group Holdings, Inc. (1) | 13,634 | 362,528 | ||||||
|
| |||||||
11,198,196 | ||||||||
|
| |||||||
Utilities - 0.18% | ||||||||
Allete, Inc. | 41,991 | 2,134,402 | ||||||
American States Water Co. | 269 | 11,285 | ||||||
Genie Energy Ltd. | 182 | 2,029 | ||||||
ITC Holdings Corp. | 6,267 | 245,980 | ||||||
Ormat Technologies, Inc. | 1,600 | 58,352 | ||||||
Spark Energy, Inc. | 210 | 4,351 | ||||||
Terraform Global, Inc. | 1,074 | 6,004 | ||||||
TerraForm Power, Inc. | 321 | 4,038 | ||||||
Vivint Solar, Inc. (1) | 1,309 | 12,514 | ||||||
York Water Co. | 54 | 1,347 | ||||||
|
| |||||||
2,480,302 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,415,930,431) | $ | 1,348,029,003 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.37% | ||||||||
Money Market Funds - 3.37% | ||||||||
Goldman Sachs Financial Square Funds - Government Fund - Class I, 0.18% | 23,544,698 | $ | 23,544,698 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.12% | 23,544,698 | 23,544,698 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $47,089,396) | $ | 47,089,396 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.92% | $ | 1,395,118,399 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.08% | 1,115,710 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 1,396,234,109 | ||||||
|
|
(1) | Non-income producing security. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
Table of Contents
Open Futures Contracts
Number of Contracts Purchased | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Depreciation | ||||||||||||
3 | E-Mini NASDAQ 100 Index Futures | Morgan Stanley | Mar. 2016 | $ | 276,700 | $ | 275,265 | $ | (1,435 | ) | ||||||||
9 | E-Mini Russell 2000 Index Futures | Morgan Stanley | Mar. 2016 | 1,021,809 | 1,018,350 | (3,459 | ) | |||||||||||
1 | E-Mini S&P 400 Index Futures | Morgan Stanley | Mar. 2016 | 139,809 | 139,350 | (459 | ) | |||||||||||
|
| |||||||||||||||||
$ | (5,353 | ) | ||||||||||||||||
|
|
Table of Contents
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 97.16% | ||||||||
Consumer Discretionary - 11.52% | ||||||||
Aaron’s, Inc. | 2,388 | $ | 53,467 | |||||
Abercrombie & Fitch Co. | 2,902 | 78,354 | ||||||
AMC Entertainment Holdings, Inc. | 797 | 19,128 | ||||||
American Eagle Outfitters, Inc. | 941 | 14,585 | ||||||
American Public Education, Inc. (1) | 703 | 13,083 | ||||||
America’s Car-Mart, Inc. (1) | 254 | 6,779 | ||||||
Apollo Education Group, Inc. (1) | 3,913 | 30,013 | ||||||
Aramark | 689 | 22,220 | ||||||
Arctic Cat, Inc. | 346 | 5,667 | ||||||
Ascena Retail Group, Inc. (1) | 5,665 | 55,800 | ||||||
Ascent Capital Group, Inc. (1) | 488 | 8,159 | ||||||
Barnes & Noble Education, Inc. (1) | 1,188 | 11,821 | ||||||
Barnes & Noble, Inc. | 1,953 | 17,011 | ||||||
Bassett Furniture Industries, Inc. | 201 | 5,041 | ||||||
Beazer Homes USA, Inc. (1) | 1,278 | 14,684 | ||||||
Bebe Stores, Inc. | 4,939 | 2,791 | ||||||
Belmond Ltd. (1) | 3,906 | 37,107 | ||||||
Best Buy, Inc. | 34,480 | 1,049,916 | ||||||
Big 5 Sporting Goods Corp. | 785 | 7,842 | ||||||
Biglari Holdings, Inc. (1) | 65 | 21,178 | ||||||
Black Diamond, Inc. (1) | 946 | 4,181 | ||||||
Bob Evans Farms, Inc. | 834 | 32,401 | ||||||
Bridgepoint Education, Inc. (1) | 689 | 5,243 | ||||||
Brunswick Corp. | 47,700 | 2,409,327 | ||||||
Build-A-Bear Workshop, Inc. (1) | 530 | 6,487 | ||||||
Burlington Stores, Inc. (1) | 310 | 13,299 | ||||||
Cabela’s, Inc. (1) | 1,866 | 87,198 | ||||||
Cable One, Inc. | 142 | 61,580 | ||||||
Cablevision Systems Corp. | 7,187 | 229,265 | ||||||
Caesars Acquisition Co. (1) | 1,826 | 12,435 | ||||||
Caesars Entertainment Corp. (1) | 2,143 | 16,908 | ||||||
CalAtlantic Group, Inc. | 2,563 | 97,189 | ||||||
Caleres, Inc. | 1,586 | 42,537 | ||||||
Callaway Golf Co. | 3,043 | 28,665 | ||||||
Cambium Learning Group, Inc. (1) | 484 | 2,347 | ||||||
Career Education Corp. (1) | 2,769 | 10,051 | ||||||
Carmike Cinemas, Inc. (1) | 937 | 21,495 | ||||||
Carriage Services, Inc. | 541 | 13,038 | ||||||
Carrols Restaurant Group, Inc. (1) | 181 | 2,125 | ||||||
Cato Corp. | 880 | 32,402 | ||||||
Cavco Industries, Inc. (1) | 75 | 6,248 | ||||||
CBS Corp. | 18,687 | 880,718 | ||||||
Central European Media Enterprises Ltd. (1) | 786 | 2,114 | ||||||
Century Communities, Inc. (1) | 578 | 10,236 | ||||||
Chegg, Inc. (1) | 1,864 | 12,545 | ||||||
Children’s Place, Inc. | 613 | 33,838 | ||||||
Christopher & Banks Corp. (1) | 1,486 | 2,452 | ||||||
Citi Trends, Inc. | 587 | 12,474 |
Table of Contents
Clear Channel Outdoor Holdings, Inc. (1) | 895 | 5,003 | ||||||
Columbia Sportswear Co. | 346 | 16,871 | ||||||
Conn’s, Inc. (1) | 940 | 22,062 | ||||||
Cooper Tire & Rubber Co. | 2,225 | 84,216 | ||||||
Cooper-Standard Holdings, Inc. (1) | 515 | 39,959 | ||||||
Core Mark Holding Company, Inc. | 22,190 | 1,818,249 | ||||||
Cracker Barrel Old Country Store, Inc. | 57 | 7,229 | ||||||
Crocs, Inc. (1) | 719 | 7,363 | ||||||
CSS Industries, Inc. | 383 | 10,870 | ||||||
CST Brands, Inc. | 105,909 | 4,145,278 | ||||||
Cumulus Media, Inc. (1) | 5,740 | 1,895 | ||||||
D. R. Horton, Inc. | 7,999 | 256,208 | ||||||
Daily Journal Corp. (1) | 44 | 8,888 | ||||||
Dana Holding Corp. | 3,103 | 42,821 | ||||||
Deckers Outdoor Corp. (1) | 597 | 28,178 | ||||||
Del Frisco’s Restaurant Group, Inc. (1) | 882 | 14,130 | ||||||
Delphi Automotive Plc | 28,525 | 2,445,448 | ||||||
Denny’s Corp. (1) | 1,153 | 11,334 | ||||||
Destination Xl Group, Inc. (1) | 1,176 | 6,492 | ||||||
Devry Education Group, Inc. | 2,814 | 71,222 | ||||||
Dick’s Sporting Goods, Inc. | 1,151 | 40,688 | ||||||
Dillard’s, Inc. | 813 | 53,422 | ||||||
DineEquity, Inc. | 49 | 4,149 | ||||||
Dreamworks Animation SKG, Inc. (1) | 3,275 | 84,397 | ||||||
DSW, Inc. | 3,042 | 72,582 | ||||||
E.W. Scripps Co. | 75,554 | 1,435,526 | ||||||
Eldorado Resorts, Inc. (1) | 561 | 6,171 | ||||||
Empire Resorts, Inc. (1) | 10 | 184 | ||||||
Entercom Communications Corp. (1) | 1,025 | 11,511 | ||||||
Entravision Communication Corp. | 167 | 1,288 | ||||||
Eros International Plc (1) | 1,124 | 10,285 | ||||||
Escalade, Inc. | 331 | 4,386 | ||||||
Ethan Allen Interiors, Inc. | 1,043 | 29,016 | ||||||
EVINE Live, Inc. (1) | 2,008 | 3,574 | ||||||
Expedia, Inc. | 27,957 | 3,475,056 | ||||||
Express, Inc. (1) | 347 | 5,996 | ||||||
Federal Mogul Holdings Corp. (1) | 1,232 | 8,439 | ||||||
Fenix Parts, Inc. (1) | 195 | 1,324 | ||||||
Finish Line, Inc. | 1,344 | 24,300 | ||||||
Flexsteel Industries, Inc. | 232 | 10,250 | ||||||
Foot Locker, Inc. | 759 | 49,403 | ||||||
Fossil Group, Inc. (1) | 313 | 11,443 | ||||||
Freds, Inc. | 1,561 | 25,554 | ||||||
FTD Companies, Inc. (1) | 718 | 18,790 | ||||||
GameStop Corp. | 4,470 | 125,339 | ||||||
Gannett Co., Inc. | 4,924 | 80,212 | ||||||
Genesco, Inc. (1) | 968 | 55,011 | ||||||
Gentex Corp. | 6,373 | 102,032 | ||||||
Gildan Activewear, Inc. | 162,975 | 4,631,749 | ||||||
Goodyear Tire & Rubber Co. | 11,180 | 365,251 | ||||||
Graham Holdings Co. | 143 | 69,351 | ||||||
Grand Canyon Education, Inc. (1) | 153,475 | 6,157,417 | ||||||
Green Brick Partners, Inc. (1) | 871 | 6,271 | ||||||
Group 1 Automotive, Inc. | 743 | 56,245 | ||||||
Guess, Inc. | 2,504 | 47,276 |
Table of Contents
Harley-Davidson, Inc. | 21,990 | 998,126 | ||||||
Harman International Industries, Inc. | 19,350 | 1,822,963 | ||||||
Harte-Hanks, Inc. | 2,103 | 6,814 | ||||||
Haverty Furniture, Inc. | 866 | 18,567 | ||||||
Helen Of Troy Corp. (1) | 722 | 68,049 | ||||||
Hemisphere Media Group, Inc. (1) | 404 | 5,959 | ||||||
Hooker Furniture Corp. | 391 | 9,869 | ||||||
Horizon Global Corp. (1) | 682 | 7,072 | ||||||
Houghton Mifflin Harcourt Co. (1) | 5,193 | 113,104 | ||||||
Hovnanian Enterprises, Inc. (1) | 4,792 | 8,674 | ||||||
HSN, Inc. | 73,350 | 3,716,644 | ||||||
Iconix Brand Group, Inc. (1) | 1,923 | 13,134 | ||||||
International Game Technology Plc | 1,220 | 19,740 | ||||||
International Speedway Corp. | 1,124 | 37,901 | ||||||
Intrawest Resorts Holdings, Inc. (1) | 702 | 5,490 | ||||||
iRobot Corp. (1) | 975 | 34,515 | ||||||
Isle Of Capri Casinos, Inc. (1) | 40 | 557 | ||||||
J. Alexander’s Holdings, Inc. (1) | 555 | 6,061 | ||||||
J.C. Penney Co., Inc. (1) | 12,805 | 85,281 | ||||||
JAKKS Pacific, Inc. (1) | 760 | 6,050 | ||||||
Jarden Corp. (1) | 130,050 | 7,428,456 | ||||||
John Wiley & Sons, Inc. | 1,903 | 85,692 | ||||||
Johnson Outdoors, Inc. | 217 | 4,750 | ||||||
Journal Media Group, Inc. | 936 | 11,251 | ||||||
K12, Inc. (1) | 1,350 | 11,880 | ||||||
KB Home | 3,300 | 40,689 | ||||||
Kona Grill, Inc. (1) | 155 | 2,458 | ||||||
Lands End, Inc. (1) | 552 | 12,939 | ||||||
La-Z-Boy, Inc. | 91,748 | 2,240,486 | ||||||
Lear Corp. | 29,787 | 3,658,737 | ||||||
Lennar Corp. - Class A | 74,358 | 3,636,850 | ||||||
Lennar Corp. - Class B | 220 | 8,840 | ||||||
LGI Homes, Inc. (1) | 463 | 11,265 | ||||||
Libbey, Inc. | 76 | 1,620 | ||||||
Liberty Broadband Corp. - Class A (1) | 1,073 | 55,420 | ||||||
Liberty Broadband Corp. - Class C (1) | 2,830 | 146,764 | ||||||
Liberty TripAdvisor Holdings, Inc. (1) | 2,335 | 70,844 | ||||||
Lifetime Brands, Inc. | 446 | 5,914 | ||||||
Lithia Motors, Inc. | 19,130 | 2,040,597 | ||||||
Lumber Liquidators Holdings, Inc. (1) | 1,095 | 19,009 | ||||||
M.D.C. Holdings, Inc. | 1,040 | 26,551 | ||||||
M/I Homes, Inc. (1) | 820 | 17,974 | ||||||
Marcus Corp. | 763 | 14,474 | ||||||
Marinemax, Inc. (1) | 504 | 9,284 | ||||||
Marriott Vacations Worldwide Corp. | 446 | 25,400 | ||||||
MDC Partners, Inc. | 1,261 | 27,389 | ||||||
Media General, Inc. (1) | 4,197 | 67,782 | ||||||
Mens Wearhouse, Inc. | 102,875 | 1,510,205 | ||||||
Meredith Corp. | 1,628 | 70,411 | ||||||
Meritage Homes Corp. (1) | 1,493 | 50,747 | ||||||
Metaldyne Performance Group, Inc. | 219 | 4,016 | ||||||
Modine Manufacturing Co. (1) | 1,915 | 17,331 | ||||||
Monarch Casino & Resort, Inc. (1) | 421 | 9,565 | ||||||
Morgans Hotel Group Co. (1) | 858 | 2,891 | ||||||
Motorcar Parts of America, Inc. (1) | 73 | 2,468 |
Table of Contents
Movado Group, Inc. | 653 | 16,789 | ||||||
Murphy USA, Inc. (1) | 1,832 | 111,276 | ||||||
NACCO Industries, Inc. | 173 | 7,301 | ||||||
National Cinemedia, Inc. | 1,862 | 29,252 | ||||||
New Home Company, Inc. (1) | 374 | 4,847 | ||||||
New Media Investment Group, Inc. | 1,809 | 35,203 | ||||||
New York Times Co. | 4,427 | 59,410 | ||||||
Newell Rubbermaid, Inc. | 89,233 | 3,933,391 | ||||||
Noodles & Co. (1) | 155 | 1,502 | ||||||
Office Depot, Inc. (1) | 19,408 | 109,461 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (1) | 351 | 5,971 | ||||||
Omnicom Group, Inc. | 35,611 | 2,694,328 | ||||||
Penn National Gaming, Inc. (1) | 2,976 | 47,676 | ||||||
Penske Automotive Group, Inc. | 1,070 | 45,304 | ||||||
Pep Boys-Manny Moe & Jack (1) | 2,257 | 41,551 | ||||||
Performance Sports Group Ltd. (1) | 1,678 | 16,159 | ||||||
Perry Ellis International, Inc. (1) | 492 | 9,063 | ||||||
Planet Fitness, Inc. (1) | 274 | 4,283 | ||||||
Potbelly Corp. (1) | 120,160 | 1,407,074 | ||||||
Pulte Group, Inc. | 15,166 | 270,258 | ||||||
PVH Corp. | 47,525 | 3,500,216 | ||||||
Reading International, Inc. (1) | 523 | 6,857 | ||||||
Regis Corp. (1) | 1,607 | 22,739 | ||||||
Rent-A-Center, Inc. | 2,135 | 31,961 | ||||||
Rentrak Corp. (1) | 32 | 1,521 | ||||||
Ruby Tuesday, Inc. (1) | 2,534 | 13,962 | ||||||
Ruth’s Hospitality Group, Inc. | 392 | 6,241 | ||||||
Saga Communications, Inc. | 132 | 5,075 | ||||||
Scholastic Corp. | 49,998 | 1,927,923 | ||||||
Sears Holdings Corp. (1) | 474 | 9,745 | ||||||
Sequential Brands Group, Inc. (1) | 237 | 1,875 | ||||||
Servicemaster Global Holdings, Inc. (1) | 112,725 | 4,423,329 | ||||||
SFX Entertainment, Inc. (1) | 1,020 | 194 | ||||||
Shake Shack, Inc. (1) | 35 | 1,386 | ||||||
Shoe Carnival, Inc. | 606 | 14,059 | ||||||
Shutterfly, Inc. (1) | 546 | 24,330 | ||||||
Signet Jewelers Ltd. | 26,825 | 3,317,984 | ||||||
Sizmek, Inc. (1) | 869 | 3,172 | ||||||
Skullcandy, Inc. (1) | 623 | 2,947 | ||||||
Sonic Automotive, Inc. | 1,326 | 30,180 | ||||||
Sonic Corp. | 585 | 18,901 | ||||||
Speedway Motorsports, Inc. | 504 | 10,443 | ||||||
Sportsman’s Warehouse Holdings, Inc. (1) | 399 | 5,147 | ||||||
Stage Stores, Inc. | 1,353 | 12,326 | ||||||
Standard Motor Products, Inc. | 790 | 30,060 | ||||||
Stein Mart, Inc. | 1,154 | 7,766 | ||||||
Strattec Security Corp. | 117 | 6,609 | ||||||
Strayer Education, Inc. (1) | 264 | 15,872 | ||||||
Superior Industries International, Inc. | 885 | 16,302 | ||||||
Systemax, Inc. (1) | 530 | 4,558 | ||||||
Taylor Morrison Home Corp. (1) | 1,335 | 21,360 | ||||||
Tegna, Inc. | 9,427 | 240,577 | ||||||
Tenneco, Inc. (1) | 107,036 | 4,914,023 | ||||||
Tilly’s, Inc. (1) | 442 | 2,930 | ||||||
Time, Inc. | 4,661 | 73,038 |
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Toll Brothers, Inc. (1) | 4,781 | 159,207 | ||||||
Tower International, Inc. | 370 | 10,571 | ||||||
Townsquare Media, Inc. (1) | 263 | 3,145 | ||||||
Travelport Worldwide Ltd. | 1,228 | 15,841 | ||||||
Tri Pointe Homes, Inc. (1) | 6,656 | 84,332 | ||||||
Tribune Media Co. | 61,072 | 2,064,844 | ||||||
Tribune Publishing Co. | 464 | 4,278 | ||||||
Tuesday Morning Corp. (1) | 377 | 2,451 | ||||||
Tupperware Brands Corp. | 116 | 6,455 | ||||||
Unifi, Inc. (1) | 568 | 15,989 | ||||||
Universal Electronics, Inc. (1) | 106 | 5,443 | ||||||
Universal Technical Institute, Inc. | 918 | 4,278 | ||||||
Vera Bradley, Inc. (1) | 853 | 13,443 | ||||||
Vista Outdoor, Inc. (1) | 2,406 | 107,091 | ||||||
Visteon Corp. (1) | 18,910 | 2,165,195 | ||||||
Vitamin Shoppe, Inc. (1) | 1,126 | 36,820 | ||||||
VOXX International Corp. (1) | 807 | 4,245 | ||||||
WCI Communities, Inc. (1) | 617 | 13,747 | ||||||
Weight Watchers International, Inc. (1) | 188 | 4,286 | ||||||
Wendy’s Co. | 8,385 | 90,306 | ||||||
West Marine, Inc. (1) | 711 | 6,036 | ||||||
Weyco Group, Inc. | 275 | 7,359 | ||||||
William Lyon Homes (1) | 647 | 10,676 | ||||||
Wingstop, Inc. (1) | 15 | 342 | ||||||
Winnebago Industries, Inc. | 99 | 1,970 | ||||||
Wolverine World Wide, Inc. | 82,150 | 1,372,727 | ||||||
Zumiez, Inc. (1) | 180 | 2,722 | ||||||
|
| |||||||
93,816,073 | ||||||||
|
| |||||||
Consumer Staples - 2.64% | ||||||||
Alico, Inc. | 142 | 5,494 | ||||||
Amplify Snack Brands, Inc. (1) | 284 | 3,272 | ||||||
Avon Products, Inc. | 17,940 | 72,657 | ||||||
B&G Foods, Inc. | 125 | 4,378 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 579 | 10,833 | ||||||
Boulder Brands, Inc. (1) | 168 | 1,845 | ||||||
Central Garden & Pet Co. (1) | 1,500 | 20,400 | ||||||
Coca-Cola Bottling Co. Consolidated | 18 | 3,285 | ||||||
Coca-Cola Enterprises, Inc. | 30,941 | 1,523,535 | ||||||
Constellation Brands, Inc. | 19,565 | 2,786,839 | ||||||
Craft Brew Alliance, Inc. (1) | 265 | 2,218 | ||||||
Darling Ingredients, Inc. (1) | 7,293 | 76,722 | ||||||
Dean Foods Co. | 2,037 | 34,935 | ||||||
Diamond Foods, Inc. (1) | 42 | 1,619 | ||||||
Edgewell Personal Care Co. | 2,526 | 197,963 | ||||||
Elizabeth Arden, Inc. (1) | 1,074 | 10,633 | ||||||
Energizer Holdings, Inc. | 2,623 | 89,339 | ||||||
Fairway Group Holdings Corp. (1) | 526 | 347 | ||||||
Flowers Foods, Inc. | 762 | 16,375 | ||||||
Fresh Del Monte Produce, Inc. | 1,482 | 57,620 | ||||||
Herbalife Ltd. (1) | 433 | 23,217 | ||||||
HRG Group, Inc. (1) | 130,978 | 1,776,062 | ||||||
Ingles Markets, Inc. | 389 | 17,147 | ||||||
Ingredion, Inc. | 2,597 | 248,897 | ||||||
Inter Parfums, Inc. | 409 | 9,742 | ||||||
J & J Snack Foods Corp. | 16,790 | 1,958,889 |
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John B. Sanfilippo & Son, Inc. | 247 | 13,345 | ||||||
Lancaster Colony Corp. | 30,121 | 3,477,771 | ||||||
Landec Corp. (1) | 846 | 10,008 | ||||||
Nature’s Sunshine Products, Inc. | 467 | 4,726 | ||||||
Nu Skin Enterprises, Inc. | 2,000 | 75,780 | ||||||
Nutraceutical International Corp. (1) | 368 | 9,502 | ||||||
Oil-Dri Corp. of America | 177 | 6,519 | ||||||
Omega Protein Corp. (1) | 865 | 19,203 | ||||||
Orchids Paper Products Company | 269 | 8,317 | ||||||
Performance Food Group Co. (1) | 467 | 10,806 | ||||||
Pilgrim’s Pride Corp. | 2,332 | 51,514 | ||||||
Pinnacle Foods, Inc. | 4,844 | 205,676 | ||||||
Post Holdings, Inc. (1) | 2,547 | 157,150 | ||||||
Revlon, Inc. (1) | 357 | 9,939 | ||||||
Rite Aid Corp. (1) | 534,503 | 4,190,504 | ||||||
Sanderson Farms, Inc. | 910 | 70,543 | ||||||
Seaboard Corp. (1) | 10 | 28,947 | ||||||
Seneca Foods Corp. (1) | 331 | 9,592 | ||||||
Smart & Final Stores, Inc. (1) | 973 | 17,718 | ||||||
Snyder’s-Lance, Inc. | 2,136 | 73,265 | ||||||
SpartanNash Co. | 1,509 | 32,655 | ||||||
Spectrum Brands Holdings, Inc. | 37,350 | 3,802,230 | ||||||
Supervalu, Inc. (1) | 11,427 | 77,475 | ||||||
The Andersons, Inc. | 1,157 | 36,596 | ||||||
Tootsie Roll Industries, Inc. | 479 | 15,132 | ||||||
Treehouse Foods, Inc. (1) | 1,801 | 141,306 | ||||||
United Natural Foods, Inc. (1) | 159 | 6,258 | ||||||
Universal Corp. | 916 | 51,369 | ||||||
Village Super Market, Inc. | 273 | 7,194 | ||||||
Weis Markets, Inc. | 446 | 19,758 | ||||||
|
| |||||||
21,595,061 | ||||||||
|
| |||||||
Energy - 3.31% | ||||||||
Abraxas Petroleum Corp. (1) | 4,044 | 4,287 | ||||||
Adams Resources & Energy, Inc. | 68 | 2,611 | ||||||
Alon USA Energy, Inc. | 1,272 | 18,876 | ||||||
Approach Resources, Inc. (1) | 571 | 1,051 | ||||||
Archrock, Inc. | 2,784 | 20,936 | ||||||
Ardmore Shipping Corp. | 747 | 9,502 | ||||||
Atwood Oceanics, Inc. | 2,599 | 26,588 | ||||||
Barrett Bill Corp. (1) | 2,134 | 8,387 | ||||||
Basic Energy Services, Inc. (1) | 1,250 | 3,350 | ||||||
Bonanza Creek Energy, Inc. (1) | 2,041 | 10,756 | ||||||
Bristow Group, Inc. | 30,155 | 781,014 | ||||||
C&J Energy Services Ltd. (1) | 2,271 | 10,810 | ||||||
California Resources Corp. | 12,737 | 29,677 | ||||||
Callon Petroleum Co. (1) | 3,511 | 29,282 | ||||||
CARBO Ceramics, Inc. | 792 | 13,622 | ||||||
Carrizo Oil & Gas, Inc. (1) | 39,548 | 1,169,830 | ||||||
Cimarex Energy Co. | 12,946 | 1,157,113 | ||||||
Clayton Williams Energy, Inc. (1) | 250 | 7,392 | ||||||
Clean Energy Fuels Corp. (1) | 2,849 | 10,256 | ||||||
Cloud Peak Energy, Inc. (1) | 2,502 | 5,204 | ||||||
Cobalt International Energy, Inc. (1) | 15,909 | 85,909 | ||||||
CONSOL Energy, Inc. | 10,135 | 80,066 | ||||||
Contango Oil & Gas Company (1) | 703 | 4,506 |
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CVR Energy, Inc. | 397 | 15,622 | ||||||
Delek US Holdings, Inc. | 1,042 | 25,633 | ||||||
Denbury Resources, Inc. | 14,566 | 29,423 | ||||||
DHT Holdings, Inc. | 3,792 | 30,677 | ||||||
Diamond Offshore Drilling, Inc. | 2,855 | 60,240 | ||||||
Diamondback Energy, Inc. (1) | 39,664 | 2,653,522 | ||||||
Dorian LPG Ltd. (1) | 1,028 | 12,100 | ||||||
Dril-Quip, Inc. (1) | 1,602 | 94,886 | ||||||
Earthstone Energy, Inc. (1) | 90 | 1,198 | ||||||
Eclipse Resources Corp. (1) | 2,056 | 3,742 | ||||||
Energen Corp. | 60,199 | 2,467,557 | ||||||
Energy Fuels, Inc. (1) | 744 | 2,195 | ||||||
Energy XXI Ltd. | 4,087 | 4,128 | ||||||
Ensco Plc | 9,945 | 153,054 | ||||||
EP Energy Corp. (1) | 1,456 | 6,377 | ||||||
EQT Corp. | 23,848 | 1,243,196 | ||||||
Era Group, Inc. (1) | 884 | 9,857 | ||||||
Erin Energy Corp. (1) | 582 | 1,862 | ||||||
EXCO Resources, Inc. (1) | 6,778 | 8,405 | ||||||
Exterran Corp. (1) | 1,392 | 22,342 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 291 | 684 | ||||||
Forum Energy Technologies, Inc. (1) | 93,493 | 1,164,923 | ||||||
Franks International | 1,389 | 23,182 | ||||||
Frontline Ltd. | 10,702 | 31,999 | ||||||
GasLog Ltd. | 1,678 | 13,927 | ||||||
Gastar Exploration, Inc. (1) | 3,457 | 4,529 | ||||||
Gener8 Maritime, Inc. (1) | 560 | 5,292 | ||||||
Geospace Technologies Corp. (1) | 483 | 6,796 | ||||||
Golar LNG Ltd. | 3,780 | 59,686 | ||||||
Green Plains, Inc. | 1,526 | 34,945 | ||||||
Gulfmark Offshore, Inc. (1) | 1,058 | 4,941 | ||||||
Gulfport Energy Corp. (1) | 54,615 | 1,341,891 | ||||||
Halcon Res Corp. (1) | 3,001 | 3,782 | ||||||
Hallador Energy Company | 440 | 2,006 | ||||||
Helix Energy Solutions Group, Inc. (1) | 4,279 | 22,508 | ||||||
Hornbeck Offshore Services, Inc. (1) | 1,303 | 12,952 | ||||||
Independence Contract Drilling, Inc. (1) | 648 | 3,272 | ||||||
Ion Geophysical Corp. (1) | 4,508 | 2,268 | ||||||
Jones Energy, Inc. (1) | 1,184 | 4,558 | ||||||
Key Energy Services, Inc. (1) | 5,349 | 2,579 | ||||||
Kosmos Energy Ltd. (1) | 84,257 | 438,136 | ||||||
Laredo Petroleum, Inc. (1) | 5,040 | 40,270 | ||||||
Marathon Petroleum Corp. | 50,595 | 2,622,845 | ||||||
Matador Resources Co. (1) | 97,016 | 1,918,006 | ||||||
Matrix Service Co. (1) | 1,073 | 22,039 | ||||||
McDermott International, Inc. (1) | 9,578 | 32,086 | ||||||
Nabors Industries Ltd. | 13,805 | 117,481 | ||||||
Natural Gas Services Group, Inc. (1) | 499 | 11,128 | ||||||
Navios Maritime Acquisition Corp. | 3,461 | 10,418 | ||||||
Newfield Exploration Co. (1) | 6,826 | 222,255 | ||||||
Newpark Resources, Inc. (1) | 3,554 | 18,765 | ||||||
Noble Corp. Plc | 9,973 | 105,215 | ||||||
Nordic American Offshore Ltd. | 779 | 4,105 | ||||||
Nordic American Tanker Ltd. | 3,577 | 55,587 | ||||||
North Atlantic Drilling Ltd. (1) | 274 | 674 |
Table of Contents
Northern Oil & Gas, Inc. (1) | 2,651 | 10,233 | ||||||
Oasis Petroleum, Inc. (1) | 5,639 | 41,559 | ||||||
Oceaneering International, Inc. | 3,406 | 127,793 | ||||||
Oil States International, Inc. (1) | 2,279 | 62,103 | ||||||
Pacific Ethanol, Inc. (1) | 1,274 | 6,090 | ||||||
Panhandle Oil And Gas, Inc. | 407 | 6,577 | ||||||
Par Petroleum Corp. (1) | 66 | 1,554 | ||||||
Parker Drilling Co. (1) | 5,234 | 9,526 | ||||||
Parsley Energy, Inc. (1) | 94,416 | 1,741,975 | ||||||
Patterson-Uti Energy, Inc. | 6,366 | 95,999 | ||||||
PBF Energy, Inc. | 4,078 | 150,111 | ||||||
PDC Energy, Inc. (1) | 1,696 | 90,532 | ||||||
Peabody Energy Corp. | 764 | 5,868 | ||||||
Penn Virginia Corp. (1) | 2,685 | 807 | ||||||
PHI, Inc. (1) | 508 | 8,336 | ||||||
Pioneer Energy Services Corp. (1) | 2,566 | 5,568 | ||||||
QEP Resources, Inc. | 90,980 | 1,219,132 | ||||||
Renewable Energy Group, Inc. (1) | 1,777 | 16,508 | ||||||
REX American Resources Corp. (1) | 220 | 11,895 | ||||||
Rex Energy Corp. (1) | 2,007 | 2,107 | ||||||
Rice Energy, Inc. (1) | 43,952 | 479,077 | ||||||
Ring Energy, Inc. (1) | 1,142 | 8,051 | ||||||
Rowan Companies Plc | 5,145 | 87,208 | ||||||
RPC, Inc. | 2,034 | 24,306 | ||||||
RSP Permian, Inc. (1) | 43,807 | 1,068,453 | ||||||
Sanchez Energy Corp. (1) | 2,178 | 9,387 | ||||||
Sandridge Energy, Inc. (1) | 17,788 | 3,558 | ||||||
Scorpio Tankers, Inc. | 7,214 | 57,856 | ||||||
Seacor Holdings, Inc. (1) | 735 | 38,632 | ||||||
Seadrill Ltd. (1) | 15,810 | 53,596 | ||||||
Seventy Seven Energy, Inc. (1) | 2,255 | 2,368 | ||||||
Ship Finance International Ltd. | 2,401 | 39,785 | ||||||
SM Energy Co. | 2,918 | 57,368 | ||||||
Stone Energy Corp. (1) | 2,387 | 10,240 | ||||||
Sunoco L.P. | 28,155 | 1,115,220 | ||||||
Superior Energy Services, Inc. | 6,540 | 88,094 | ||||||
Synergy Resources Corp. (1) | 3,923 | 33,424 | ||||||
Targa Resources Corp. | 1,154 | 31,227 | ||||||
Teekay Corp. | 1,139 | 11,242 | ||||||
Teekay Tankers Ltd. | 3,697 | 25,435 | ||||||
Tesco Corp. | 1,558 | 11,280 | ||||||
Tetra Technologies, Inc. (1) | 3,356 | 25,237 | ||||||
Tidewater, Inc. | 1,899 | 13,217 | ||||||
TransAtlantic Petroleum Ltd. (1) | 1,176 | 1,635 | ||||||
Triangle Petroleum Corp. (1) | 2,023 | 1,558 | ||||||
Ultra Petroleum Corp. (1) | 3,233 | 8,082 | ||||||
Unit Corp. (1) | 2,052 | 25,034 | ||||||
W&T Offshore, Inc. (1) | 1,527 | 3,527 | ||||||
Western Refining, Inc. | 29,843 | 1,063,008 | ||||||
Westmoreland Coal Co. (1) | 724 | 4,257 | ||||||
Whiting Petroleum Corp. (1) | 8,377 | 79,079 | ||||||
World Fuel Services Corp. | 2,560 | 98,458 | ||||||
WPX Energy, Inc. (1) | 9,547 | 54,800 | ||||||
|
| |||||||
26,950,743 | ||||||||
|
|
Table of Contents
Financials - 28.41% | ||||||||
1st Source Corp. | 646 | 19,942 | ||||||
Acadia Realty Trust | 2,829 | 93,781 | ||||||
Access National Corp. | 495 | 10,128 | ||||||
AG Mortgage Investment Trust, Inc. | 1,282 | 16,461 | ||||||
Agree Realty Corp. | 979 | 33,276 | ||||||
Alexander & Baldwin, Inc. | 77,995 | 2,754,003 | ||||||
Alexander’s, Inc. | 7 | 2,689 | ||||||
Alexandria Real Estate Equity, Inc. | 3,003 | 271,351 | ||||||
Alleghany Corp. (1) | 6,477 | 3,095,553 | ||||||
Allegiance Bancshares, Inc. (1) | 295 | 6,977 | ||||||
Allied World Assurance Co. Holdings, AG. | 102,635 | 3,816,996 | ||||||
Allstate Corp. | 20,286 | 1,259,558 | ||||||
Ally Financial, Inc. (1) | 94,951 | 1,769,887 | ||||||
Altisource Asset Management Corp. (1) | 174 | 2,986 | ||||||
Altisource Residential Corp. | 2,399 | 29,772 | ||||||
Ambac Financial Group, Inc. (1) | 1,610 | 22,685 | ||||||
American Assets Trust, Inc. | 27,386 | 1,050,253 | ||||||
American Campus Communities, Inc. | 4,712 | 194,794 | ||||||
American Capital Mortgage Investment Corp. | 2,183 | 30,475 | ||||||
American Equity Investment Life Holding Co. | 3,339 | 80,236 | ||||||
American Financial Goup, Inc. | 2,888 | 208,167 | ||||||
American Homes 4 Rent | 78,234 | 1,303,378 | ||||||
American National BankShares, Inc. | 388 | 9,937 | ||||||
American National Insurance Co. | 295 | 30,170 | ||||||
American Residential Properties, Inc. | 1,352 | 25,553 | ||||||
Ameris Bancorp | 1,336 | 45,411 | ||||||
Amerisafe, Inc. | 775 | 39,447 | ||||||
Ames National Corp. | 382 | 9,279 | ||||||
Amtrust Financial Services, Inc. | 1,614 | 99,390 | ||||||
Anchor BanCorp Wisconsin, Inc. (1) | 327 | 14,231 | ||||||
Anworth Mortgage Asset Corp. | 4,477 | 19,475 | ||||||
Aon Plc | 41,098 | 3,789,647 | ||||||
Apartment Investment & Management Co. | 6,519 | 260,956 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 2,453 | 42,265 | ||||||
Apollo Residential Mortgage, Inc. | 1,315 | 15,714 | ||||||
Apple Hospitality REIT, Inc. | 7,221 | 144,203 | ||||||
Ares Capital Corp. | 387,750 | 5,525,437 | ||||||
Arch Capital Group Ltd. (1) | 5,151 | 359,282 | ||||||
Ares Commercial Real Estate Corp. | 1,196 | 13,682 | ||||||
Argo Group International Holdings Ltd. | 1,143 | 68,397 | ||||||
Arlington Asset Investment Corp. | 925 | 12,238 | ||||||
Armada Hoffler Properties, Inc. | 1,140 | 11,947 | ||||||
ARMOUR Residential REIT, Inc. | 1,815 | 39,494 | ||||||
Arrow Financial Corp. | 468 | 12,716 | ||||||
Arthur J. Gallagher & Co. | 139,234 | 5,700,240 | ||||||
Ashford Hospitality Prime, Inc. | 1,131 | 16,399 | ||||||
Ashford Hospitality Trust, Inc. | 3,444 | 21,732 | ||||||
Aspen Insurance Holdings Ltd. | 2,591 | 125,145 | ||||||
Associated Banc Corp. | 6,266 | 117,487 | ||||||
Assurant, Inc. | 2,839 | 228,653 | ||||||
Assured Guaranty Ltd. | 6,013 | 158,924 | ||||||
Astoria Financial Corp. | 3,688 | 58,455 | ||||||
Atlas Financial Holdings, Inc. (1) | 263 | 5,234 | ||||||
AV Homes, Inc. (1) | 836 | 10,709 | ||||||
Axis Capital Holdings Ltd. | 4,230 | 237,811 |
Table of Contents
Baldwin & Lyons, Inc. | 415 | 9,972 | ||||||
Banc of California, Inc. | 1,537 | 22,471 | ||||||
BancFirst Corp. | 298 | 17,469 | ||||||
Banco Latinoamericano De Comerico | 1,263 | 32,750 | ||||||
Bancorpsouth, Inc. | 126,385 | 3,031,976 | ||||||
Bank Mutual Corp. | 1,983 | 15,467 | ||||||
Bank of Hawaii Corp. | 1,853 | 116,554 | ||||||
Bank Of Marin Bancorp | 250 | 13,350 | ||||||
Bank Of The Ozarks, Inc. | 37,580 | 1,858,707 | ||||||
BankFinancial Corp. | 780 | 9,851 | ||||||
BankUnited, Inc. | 72,212 | 2,603,965 | ||||||
Banner Corp. | 860 | 39,440 | ||||||
Bar Harbor Bankshares | 254 | 8,743 | ||||||
BB&T Corp. | 96,871 | 3,662,693 | ||||||
BBCN Bancorp, Inc. | 3,268 | 56,275 | ||||||
BBX Capital Corp. (1) | 106 | 1,659 | ||||||
Bear State Financial, Inc. (1) | 563 | 6,097 | ||||||
Beneficial Bancorp, Inc. (1) | 3,317 | 44,182 | ||||||
Berkshire Hills Bancorp, Inc. | 1,181 | 34,379 | ||||||
BioMed Realty Trust, Inc. | 8,531 | 202,099 | ||||||
Blue Hills Bancorp, Inc. | 1,217 | 18,632 | ||||||
Bluerock Resident Growth REIT, Inc. - Class A | 771 | 9,136 | ||||||
BNC Bancorp | 1,028 | 26,091 | ||||||
BOK Financial Corp. | 1,159 | 69,297 | ||||||
Boston Private Financial Holdings, Inc. | 3,392 | 38,465 | ||||||
Boston Properties, Inc. | 30,717 | 3,917,646 | ||||||
Brandywine Realty Trust | 7,794 | 106,466 | ||||||
Bridge Bancorp, Inc. | 586 | 17,832 | ||||||
Brixmor Property Group, Inc. | 7,247 | 187,118 | ||||||
Brookline Bancorp, Inc. | 2,906 | 33,419 | ||||||
Brown & Brown, Inc. | 4,864 | 156,134 | ||||||
Bryn Mawr Bank Corp. | 713 | 20,477 | ||||||
BSB Bancorp, Inc. (1) | 349 | 8,163 | ||||||
C1 Financial, Inc. (1) | 208 | 5,036 | ||||||
Calamos Asset Management, Inc. | 765 | 7,405 | ||||||
Camden National Corp. | 308 | 13,580 | ||||||
Camden Property Trust | 3,604 | 276,643 | ||||||
Campus Crest Communities, Inc. (1) | 2,718 | 18,482 | ||||||
Capital Bank Financial Corp. | 62,483 | 1,998,206 | ||||||
Capital City Bank Group, Inc. | 427 | 6,554 | ||||||
Capitol Federal Financial, Inc. | 6,171 | 77,508 | ||||||
Capstead Mortgage Corp. | 4,066 | 35,537 | ||||||
Cardinal Financial Corp. | 1,268 | 28,847 | ||||||
Cascade Bancorp (1) | 1,174 | 7,126 | ||||||
Cash Amer International, Inc. | 1,090 | 32,645 | ||||||
CatchMark Timber Trust, Inc. | 1,543 | 17,451 | ||||||
Cathay General Bancorp | 3,420 | 107,149 | ||||||
CBL & Associates Properties, Inc. | 6,890 | 85,229 | ||||||
Cedar Realty Trust, Inc. | 3,430 | 24,284 | ||||||
CenterState Banks, Inc. | 1,792 | 28,045 | ||||||
Central Pacific Financial Corp. | 910 | 20,038 | ||||||
Century Bancorp, Inc. | 136 | 5,911 | ||||||
Charles Schwab Corp. | 46,748 | 1,539,412 | ||||||
Charter Financial Corp. | 655 | 8,653 | ||||||
Chatham Lodging Trust | 1,568 | 32,113 |
Table of Contents
Chemical Financial Corp. | 1,347 | 46,162 | ||||||
Chesapeake Lodging Trust | 2,429 | 61,114 | ||||||
Chimera Investment Corp. | 8,169 | 111,425 | ||||||
Citizens & Northern Corp. | 562 | 11,802 | ||||||
Citizens, Inc. (1) | 1,898 | 14,102 | ||||||
City Holding Company | 615 | 28,069 | ||||||
Clifton Bancorp, Inc. | 1,103 | 15,817 | ||||||
CNB Financial Corporation, Inc. | 631 | 11,377 | ||||||
CNO Financial Group, Inc. | 7,855 | 149,952 | ||||||
Cobiz Financial, Inc. | 1,512 | 20,291 | ||||||
Colony Capital, Inc. | 4,818 | 93,855 | ||||||
Columbia Banking System, Inc. | 2,352 | 76,464 | ||||||
Columbia Property Trust, Inc. | 4,630 | 108,712 | ||||||
Commerce Bancshares, Inc. | 3,630 | 154,412 | ||||||
Communications Sales & Leasing, Inc. | 5,166 | 96,553 | ||||||
Community Bank System, Inc. | 1,855 | 74,089 | ||||||
Community Trust Bancorp, Inc. | 625 | 21,850 | ||||||
CommunityOne Bancorp (1) | 512 | 6,897 | ||||||
ConnectOne Bancorp, Inc. | 1,160 | 21,680 | ||||||
Consolidated-Tomoka Land Co. | 131 | 6,905 | ||||||
CorEnergy Infrastructure Trust, Inc. | 498 | 7,390 | ||||||
Corporate Office Properties Trust | 4,119 | 89,918 | ||||||
Corrections Corp Of America | 4,990 | 132,185 | ||||||
Cousins Properties, Inc. | 9,443 | 89,047 | ||||||
Cowen Group, Inc. (1) | 4,301 | 16,473 | ||||||
Crawford & Co. | 863 | 4,583 | ||||||
Cu Bancorp (1) | 656 | 16,636 | ||||||
Cubesmart | 1,468 | 44,950 | ||||||
Cullen/Frost Bankers, Inc. | 2,258 | 135,480 | ||||||
Customers Bancorp, Inc. (1) | 1,049 | 28,554 | ||||||
CVB Financial Corp. | 168,341 | 2,848,330 | ||||||
CyrusOne, Inc. | 249 | 9,325 | ||||||
CYS Investments, Inc. | 6,708 | 47,828 | ||||||
DCT Industrial Trust, Inc. | 3,750 | 140,137 | ||||||
DDR Corp. | 12,549 | 211,325 | ||||||
Diamondrock Hospitality Co. | 8,737 | 84,312 | ||||||
Dime Community Bancshares, Inc. | 1,251 | 21,880 | ||||||
Discover Financial Services | 61,272 | 3,285,405 | ||||||
Donegal Group, Inc. | 419 | 5,900 | ||||||
Douglas Emmett, Inc. | 54,995 | 1,714,744 | ||||||
Duke Realty Corp. | 14,389 | 302,457 | ||||||
Dupont Fabros Technology, Inc. | 1,673 | 53,185 | ||||||
Dynex Capital, Inc. | 2,434 | 15,456 | ||||||
E*TRADE Financial Corp. (1) | 12,026 | 356,451 | ||||||
Eagle Bancorp, Inc. (1) | 327 | 16,504 | ||||||
East West Bancorp, Inc. | 80,732 | 3,355,222 | ||||||
Eastgroup Properties, Inc. | 43,367 | 2,411,639 | ||||||
Education Realty Trust, Inc. | 2,366 | 89,624 | ||||||
EMC Insurance Group, Inc. | 367 | 9,285 | ||||||
Empire State Realty Trust, Inc. | 2,394 | 43,260 | ||||||
Employers Holdings, Inc. | 547 | 14,933 | ||||||
Encore Capital Group, Inc. (1) | 873 | 25,387 | ||||||
Endurance Specialty Holdings Ltd. | 2,623 | 167,846 | ||||||
Enova International, Inc. (1) | 154 | 1,018 | ||||||
Enstar Group Ltd. (1) | 18,655 | 2,798,996 |
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Enterprise Bancorp, Inc. | 309 | 7,061 | ||||||
Enterprise Financial Services Corp. | 820 | 23,247 | ||||||
EPR Properties | 2,435 | 142,326 | ||||||
Equity Bancshares, Inc. (1) | 264 | 6,175 | ||||||
Equity Commonwealth (1) | 5,412 | 150,075 | ||||||
Equity One, Inc. | 2,711 | 73,604 | ||||||
Equity Residential | 53,491 | 4,364,331 | ||||||
Essex Property Trust, Inc. | 11,962 | 2,863,822 | ||||||
EverBank Financial Corp. | 4,268 | 68,203 | ||||||
Everest Re Group Ltd. | 1,833 | 335,604 | ||||||
Ezcorp, Inc. (1) | 2,213 | 11,043 | ||||||
F.N.B. Corp. | 7,512 | 100,210 | ||||||
Farmers Capital Bank Corp. (1) | 288 | 7,808 | ||||||
FBL Financial Group, Inc. | 387 | 24,629 | ||||||
FCB Financial Holdings, Inc. (1) | 1,113 | 39,834 | ||||||
Federal Agricultural Mortgage Corp. | 434 | 13,701 | ||||||
Federated National Holding Co. | 590 | 17,440 | ||||||
FelCor Lodging Trust, Inc. | 5,728 | 41,814 | ||||||
Fidelity & Guaranty Life | 488 | 12,381 | ||||||
Fidelity National Financial Ventures Group (1) | 3,214 | 36,093 | ||||||
Fidelity Southern Corp. | 685 | 15,282 | ||||||
Fifth Third Bancorp | 207,290 | 4,166,529 | ||||||
Financial Institutions, Inc. | 594 | 16,632 | ||||||
First American Financial Corp. | 133,212 | 4,782,311 | ||||||
First Bancorp NC | 765 | 14,336 | ||||||
First Bancorp PR (1) | 4,466 | 14,514 | ||||||
First Bancorp, Inc. ME | 457 | 9,355 | ||||||
First Busey Corp. | 979 | 20,197 | ||||||
First Business Financial Services, Inc. | 397 | 9,929 | ||||||
First Cash Financial Services, Inc. (1) | 90 | 3,369 | ||||||
First Citizens Bancshares, Inc. | 334 | 86,229 | ||||||
First Commonwealth Financial Corp. | 3,592 | 32,579 | ||||||
First Community Bancshares, Inc. | 714 | 13,302 | ||||||
First Connecticut Bancorp, Inc. | 632 | 11,003 | ||||||
First Defiance Financial Corp. | 384 | 14,508 | ||||||
First Financial Bancorp | 2,783 | 50,289 | ||||||
First Financial Bankshares, Inc. | 1,096 | 33,066 | ||||||
First Financial Corp. | 445 | 15,117 | ||||||
First Horizon National Corp. | 9,845 | 142,949 | ||||||
First Industrial Realty Trust, Inc. | 4,695 | 103,900 | ||||||
First Interstate BancSystem, Inc. | 769 | 22,355 | ||||||
First Merchants Corp. | 1,515 | 38,511 | ||||||
First Midwest Bancorp, Inc. | 3,172 | 58,460 | ||||||
First NBC Bank Holding Co. (1) | 619 | 23,144 | ||||||
First Niagara Financial Group, Inc. | 14,975 | 162,479 | ||||||
First of Long Island Corp. | 514 | 15,420 | ||||||
First Potomac Realty Trust | 2,372 | 27,041 | ||||||
First Republic Bank | 5,926 | 391,472 | ||||||
Firstmerit Corp. | 7,108 | 132,564 | ||||||
Flagstar Bancorp, Inc. (1) | 832 | 19,228 | ||||||
Flushing Financial Corp. | 1,243 | 26,899 | ||||||
Forest City Enterprises, Inc. (1) | 9,185 | 201,427 | ||||||
Forestar Group, Inc. (1) | 1,341 | 14,671 | ||||||
Fox Chase Bancorp, Inc. | 486 | 9,861 | ||||||
Franklin Financial Network, Inc. (1) | 228 | 7,155 |
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Franklin Street Properties Corp. | 3,615 | 37,415 | ||||||
FRP Holdings, Inc. (1) | 263 | 8,926 | ||||||
Fulton Financial Corp. | 7,649 | 99,513 | ||||||
Gain Capital Holdings, Inc. | 980 | 7,948 | ||||||
Gaming and Leisure Properties, Inc. | 3,111 | 86,486 | ||||||
Genworth Financial, Inc. (1) | 19,971 | 74,492 | ||||||
German American Bancorp, Inc. | 554 | 18,459 | ||||||
Getty Realty Corp. | 1,104 | 18,934 | ||||||
Glacier Bancorp, Inc. | 3,293 | 87,363 | ||||||
Gladstone Commercial Corp. | 837 | 12,212 | ||||||
Global Indemnity Plc (1) | 322 | 9,344 | ||||||
Government Properties Income Trust | 2,522 | 40,024 | ||||||
Gramercy Property Trust, Inc. | 17,231 | 133,023 | ||||||
Great Ajax Corp. | 254 | 3,078 | ||||||
Great Southern Bancorp, Inc. | 415 | 18,783 | ||||||
Great Western Bancorp, Inc. | 1,675 | 48,608 | ||||||
Green Bancorp, Inc. (1) | 969 | 10,155 | ||||||
Green Dot Corp. (1) | 1,846 | 30,311 | ||||||
Greenlight Capital Re Ltd. (1) | 1,169 | 21,872 | ||||||
Guaranty Bancorp | 609 | 10,073 | ||||||
Hallmark Financial Services, Inc. (1) | 653 | 7,634 | ||||||
Hampton Roads Bankshares, Inc. (1) | 1,664 | 3,062 | ||||||
Hancock Holding Co. | 3,158 | 79,487 | ||||||
Hanmi Financial Corp. | 1,294 | 30,694 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,801 | 34,075 | ||||||
Hanover Insurance Group, Inc. | 1,852 | 150,642 | ||||||
Hatteras Financial Corp. | 4,041 | 53,139 | ||||||
HCI Group, Inc. | 327 | 11,396 | ||||||
Healthcare Realty Trust, Inc. | 4,219 | 119,482 | ||||||
Healthcare Trust of America, Inc. | 4,732 | 127,622 | ||||||
Heartland Financial USA, Inc. | 734 | 23,018 | ||||||
Heritage Commerce Corp. | 855 | 10,226 | ||||||
Heritage Financial Corp. | 1,219 | 22,966 | ||||||
Heritage Insurance Holdings, Inc. (1) | 398 | 8,684 | ||||||
Heritage Oaks Bancorp | 965 | 7,730 | ||||||
Hersha Hospitality Trust | 1,976 | 42,998 | ||||||
Highwoods Properties, Inc. | 3,977 | 173,397 | ||||||
Hilltop Holdings, Inc. (1) | 1,995 | 38,344 | ||||||
Hingham Institution for Savings | 49 | 5,870 | ||||||
Home Bancshares, Inc. | 407 | 16,492 | ||||||
Homestreet, Inc. (1) | 621 | 13,482 | ||||||
Hometrust Bancshares, Inc. (1) | 802 | 16,240 | ||||||
Horace Mann Educators Corp. | 107,331 | 3,561,243 | ||||||
Horizon Bancorp | 506 | 14,148 | ||||||
Hospitality Properties Trust | 6,054 | 158,312 | ||||||
Houlihan Lokey, Inc. | 345 | 9,042 | ||||||
Hudson Pacific Properties, Inc. | 3,190 | 89,767 | ||||||
Huntington Bancshares, Inc. | 334,621 | 3,700,908 | ||||||
Iberiabank Corp. | 38,711 | 2,131,815 | ||||||
Independence Holding Co. | 363 | 5,028 | ||||||
Independence Realty Trust, Inc. | 1,278 | 9,598 | ||||||
Independent Bank Corp. | 67,275 | 3,129,633 | ||||||
Independent Bank Corp. MI | 923 | 14,057 | ||||||
Independent Bank Group, Inc. | 388 | 12,416 | ||||||
Infinity Property & Casualty Corp. | 460 | 37,826 |
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Infrareit, Inc. | 987 | 18,259 | ||||||
Inland Real Estate Corp. | 2,409 | 25,584 | ||||||
International Banchares Corp. | 2,408 | 61,886 | ||||||
INTL FCStone, Inc. (1) | 452 | 15,124 | ||||||
Invesco Mortgage Capital, Inc. | 5,091 | 63,077 | ||||||
Investment Technology Group, Inc. | 1,201 | 20,441 | ||||||
Investors Bancorp, Inc. | 593,738 | 7,386,101 | ||||||
Investors Real Estate Trust | 4,957 | 34,451 | ||||||
Iron Mountain, Inc. | 5,370 | 145,044 | ||||||
iStar Financial, Inc. (1) | 3,899 | 45,735 | ||||||
J.G. Wentworth Co. (1) | 560 | 1,008 | ||||||
James River Group Holdings Ltd. | 465 | 15,596 | ||||||
Janus Capital Group, Inc. | 5,769 | 81,285 | ||||||
Jones Lang LaSalle, Inc. | 516 | 82,488 | ||||||
KCG Holdings, Inc. (1) | 1,254 | 15,437 | ||||||
Kearny Financial Corp. | 3,741 | 47,398 | ||||||
Kemper Corp. | 1,762 | 65,634 | ||||||
Kennedy-Wilson Holdings, Inc. | 151,492 | 3,647,927 | ||||||
Kilroy Realty Corp. | 27,113 | 1,715,711 | ||||||
Kimco Realty Corp. | 113,981 | 3,015,937 | ||||||
Kite Realty Group Trust | 3,632 | 94,178 | ||||||
Ladder Capital Corp. | 1,563 | 19,412 | ||||||
Ladenburg Thalmann Financial Services, Inc. (1) | 3,784 | 10,444 | ||||||
Lakeland Bancorp, Inc. | 1,538 | 18,133 | ||||||
Lakeland Financial Corp. | 685 | 31,935 | ||||||
LaSalle Hotel Properties | 4,811 | 121,045 | ||||||
LegacyTexas Financial Group, Inc. | 1,920 | 48,038 | ||||||
Legg Mason, Inc. | 2,783 | 109,177 | ||||||
Lexington Realty Trust | 8,415 | 67,320 | ||||||
Liberty Property Trust | 6,219 | 193,100 | ||||||
Live Oak Bancshares, Inc. | 84 | 1,193 | ||||||
Loews Corp. | 42,230 | 1,621,632 | ||||||
LTC Properties, Inc. | 1,380 | 59,533 | ||||||
Mack Cali Realty Corp. | 3,778 | 88,216 | ||||||
Maiden Holdings Ltd. | 1,840 | 27,434 | ||||||
MainSource Financial Group, Inc. | 854 | 19,540 | ||||||
Marlin Business Services Corp. | 351 | 5,637 | ||||||
Marsh & McLennan Companies, Inc. | 57,190 | 3,171,185 | ||||||
MB Financial, Inc. | 3,243 | 104,976 | ||||||
MBIA, Inc. (1) | 5,937 | 38,472 | ||||||
McGraw Hill Financial, Inc. | 15,667 | 1,544,453 | ||||||
Medical Properties Trust, Inc. | 10,010 | 115,215 | ||||||
Mercantile Bank Corp. | 724 | 17,767 | ||||||
Merchants Bancshares, Inc. | 242 | 7,621 | ||||||
Mercury General Corp. | 676 | 31,481 | ||||||
Meridian Bancorp, Inc. | 1,868 | 26,339 | ||||||
Meta Financial Group, Inc. | 276 | 12,677 | ||||||
Metro Bancorp, Inc. | 479 | 15,031 | ||||||
MFA Financial, Inc. | 15,897 | 104,920 | ||||||
MGIC Investment Corp. (1) | 8,056 | 71,134 | ||||||
Mid-America Apartment Communities, Inc. | 3,117 | 283,055 | ||||||
MidWestOne Financial Group, Inc. | 283 | 8,606 | ||||||
Moelis & Co. | 91 | 2,655 | ||||||
Monmouth Real Estate Investment Corp. | 2,600 | 27,196 | ||||||
Monogram Residential Trust, Inc. | 7,238 | 70,643 |
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Moody’s Corp. | 14,512 | 1,456,134 | ||||||
Nasdaq OMX Group, Inc. | 91,764 | 5,337,912 | ||||||
National Bank Holdings Corp. | 1,244 | 26,584 | ||||||
National Bankshares, Inc | 306 | 10,875 | ||||||
National Communications Corp. (1) | 240 | 6,012 | ||||||
National General Holdings Corp. | 1,529 | 33,424 | ||||||
National Health Investors, Inc. | 1,087 | 66,166 | ||||||
National Interstate Corp. | 189 | 5,046 | ||||||
National Penn Bancshares, Inc. | 5,699 | 70,269 | ||||||
National Retail Properties, Inc. | 5,571 | 223,119 | ||||||
National Western Life Group, Inc. - Class A | 87 | 21,919 | ||||||
Nationstar Mortgage Holdings, Inc. (1) | 1,592 | 21,285 | ||||||
Navient Corp. | 102,734 | 1,176,304 | ||||||
Navigators Group, Inc. (1) | 25,423 | 2,181,039 | ||||||
NBT Bancorp, Inc. | 1,758 | 49,013 | ||||||
Nelnet, Inc. | 956 | 32,093 | ||||||
New Residential Investment Corp. | 316,933 | 3,853,905 | ||||||
New Senior Investment Group, Inc. | 3,517 | 34,678 | ||||||
New York Mortgage Trust, Inc. | 4,753 | 25,333 | ||||||
New York REIT, Inc. | 6,637 | 76,326 | ||||||
NewBridge Bancorp | 1,408 | 17,149 | ||||||
NewStar Financial, Inc. (1) | 1,022 | 9,178 | ||||||
Nexpoint Residential Trust, Inc. | 748 | 9,791 | ||||||
NMI Holdings, Inc. (1) | 2,092 | 14,163 | ||||||
Northfield Bancorp, Inc. | 136,656 | 2,175,564 | ||||||
NorthStar Reality Finance Corp. | 7,758 | 132,119 | ||||||
Northstar Realty Europe Corp. | 2,483 | 29,324 | ||||||
Northwest Bancshares, Inc. | 4,306 | 57,657 | ||||||
OceanFirst Financial Corp. | 530 | 10,616 | ||||||
Ocwen Financial Corp. (1) | 4,321 | 30,117 | ||||||
OFG Bancorp | 1,781 | 13,037 | ||||||
Old National Bancorp | 4,760 | 64,546 | ||||||
Old Republic International Corp. | 10,850 | 202,136 | ||||||
Old Second Bancorp, Inc. (1) | 1,006 | 7,887 | ||||||
Omega Healthcare Investors, Inc. | 5,591 | 195,573 | ||||||
One Liberty Properties, Inc. | 556 | 11,932 | ||||||
OneBeacon Insurance Group Ltd | 981 | 12,174 | ||||||
Onemain Holdings, Inc. (1) | 2,191 | 91,014 | ||||||
Oppenheimer Holdings, Inc. | 441 | 7,665 | ||||||
Opus Bank | 428 | 15,823 | ||||||
Orchid Island Capital, Inc. | 1,013 | 10,059 | ||||||
Oritani Financial Corp. | 1,842 | 30,393 | ||||||
Outfront Media, Inc. | 5,670 | 123,776 | ||||||
Pacific Continental Corp. | 822 | 12,231 | ||||||
Pacific Premier Bancorp, Inc. (1) | 849 | 18,041 | ||||||
PacWest Bancorp | 134,737 | 5,807,165 | ||||||
Paramount Group, Inc. | 7,524 | 136,184 | ||||||
Park National Corp. | 523 | 47,321 | ||||||
Park Sterling Corp. | 1,917 | 14,032 | ||||||
Parkway Properties, Inc. | 3,486 | 54,486 | ||||||
Partnerre Ltd. | 2,000 | 279,480 | ||||||
Peapack-Gladstone Financial Corp. | 615 | 12,681 | ||||||
Pebblebrook Hotel Trust | 80,961 | 2,268,527 | ||||||
Penns Woods Bancorp, Inc. | 209 | 8,874 | ||||||
Pennsylvania Real Estate Investment Trust | 3,064 | 67,010 |
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Peoples Bancorp, Inc. | 725 | 13,659 | ||||||
Peoples Financial Services Corp. | 308 | 11,729 | ||||||
People’s United Financial, Inc. | 12,851 | 207,544 | ||||||
People’s Utah Bancorp | 58 | 998 | ||||||
PHH Corp. (1) | 1,999 | 32,384 | ||||||
Physicians Realty Trust | 138,682 | 2,338,179 | ||||||
Pico Holdings, Inc. (1) | 976 | 10,072 | ||||||
Piedmont Office Realty Trust, Inc. | 6,202 | 117,094 | ||||||
Pinnacle Financial Partners, Inc. | 1,340 | 68,822 | ||||||
Piper Jaffray Cos. (1) | 589 | 23,796 | ||||||
Plum Creek Timber Co., Inc. | 4,307 | 205,530 | ||||||
Popular, Inc. | 4,332 | 122,769 | ||||||
Post Properties, Inc. | 1,483 | 87,734 | ||||||
Potlatch Corp. | 468 | 14,152 | ||||||
Preferred Apartment Communities, Inc. | 831 | 10,869 | ||||||
Preferred Bank Los Angeles | 479 | 15,817 | ||||||
Primerica, Inc. | 1,995 | 94,224 | ||||||
PrivateBancorp, Inc. | 3,294 | 135,120 | ||||||
ProAssurance Corp. | 2,335 | 113,318 | ||||||
Prosperity Bancshares, Inc. | 2,987 | 142,958 | ||||||
Provident Financial Services, Inc. | 2,651 | 53,418 | ||||||
PS Business Parks, Inc. | 712 | 62,250 | ||||||
QCR Holdings, Inc. | 449 | 10,906 | ||||||
QTS Realty Trust, Inc. | 52,256 | 2,357,268 | ||||||
Radian Group, Inc. | 8,160 | 109,262 | ||||||
Rait Financial Trust | 3,479 | 9,393 | ||||||
Ramco-Gershenson Properties Trust | 3,225 | 53,567 | ||||||
Raymond James Financial, Inc. | 88,686 | 5,141,127 | ||||||
Rayonier, Inc. | 5,322 | 118,148 | ||||||
RCS Capital Corp. (1) | 2,001 | 609 | ||||||
Re/Max Holdings, Inc. | 488 | 18,202 | ||||||
Realogy Holdings Corp. (1) | 3,895 | 142,830 | ||||||
Redwood Trust, Inc. | 3,391 | 44,761 | ||||||
Regency Centers Corp. | 57,447 | 3,913,290 | ||||||
Regional Management Corp. (1) | 442 | 6,838 | ||||||
Reinsurance Group of America, Inc. | 80,071 | 6,850,074 | ||||||
RenaissanceRe Holdings Ltd. | 1,907 | 215,853 | ||||||
Renasant Corp. | 1,525 | 52,475 | ||||||
Republic Bancorp, Inc. | 381 | 10,062 | ||||||
Resource America, Inc. | 714 | 4,377 | ||||||
Resource Capital Corp. | 1,315 | 16,779 | ||||||
Retail Opportunity Investments Corp. | 4,097 | 73,336 | ||||||
Retail Properties of America, Inc. | 9,816 | 144,982 | ||||||
Rexford Industrial Realty, Inc. | 2,256 | 36,908 | ||||||
RLI Corp. | 1,773 | 109,483 | ||||||
RLJ Lodging Trust | 3,664 | 79,252 | ||||||
RMR Group, Inc. (1) | 280 | 4,035 | ||||||
Rouse Properties, Inc. | 1,428 | 20,792 | ||||||
Ryman Hospitality Properties, Inc. | 32,625 | 1,684,755 | ||||||
S & T Bancorp, Inc. | 1,391 | 42,871 | ||||||
Sabra Health Care REIT, Inc. | 2,284 | 46,205 | ||||||
Safeguard Scientifics, Inc. (1) | 846 | 12,275 | ||||||
Safety Insurance Group, Inc. | 618 | 34,843 | ||||||
Sandy Spring Bancorp, Inc. | 985 | 26,556 | ||||||
Saul Centers, Inc. | 46 | 2,358 |
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Seacoast Banking Corp. of Florida (1) | 894 | 13,392 | ||||||
SEI Investments Co. | 130,827 | 6,855,335 | ||||||
Select Income REIT | 2,601 | 51,552 | ||||||
Selective Insurance Group, Inc. | 2,327 | 78,141 | ||||||
Senior Housing Properties Trust | 9,571 | 142,034 | ||||||
ServisFirst Bancshares, Inc. | 928 | 44,108 | ||||||
Sierra Bancorp | 513 | 9,054 | ||||||
Signature Bank (1) | 179 | 27,453 | ||||||
Silver Bay Realty Trust Corp. | 1,518 | 23,772 | ||||||
Simmons First National Corp. | 1,220 | 62,659 | ||||||
SL Green Realty Corp. | 29,993 | 3,388,609 | ||||||
SLM Corp. (1) | 125,118 | 815,769 | ||||||
South Street Financial Corp. | 928 | 66,770 | ||||||
Southside Bancshares, Inc. | 1,062 | 25,509 | ||||||
Southwest Bancorp, Inc. | 753 | 13,162 | ||||||
Sovran Self Storage, Inc. | 190 | 20,389 | ||||||
Spirit Realty Capital, Inc. | 18,563 | 186,001 | ||||||
Stag Industrial, Inc. | 2,647 | 48,837 | ||||||
StanCorp Financial Group, Inc. | 1,739 | 198,037 | ||||||
Starwood Property Trust, Inc. | 10,033 | 206,278 | ||||||
Starwood Waypoint Residentl Trust | 1,515 | 34,300 | ||||||
State Auto Financial Corp. | 619 | 12,745 | ||||||
State Bank Financial Corp. | 1,478 | 31,082 | ||||||
State National Companies, Inc. | 1,235 | 12,115 | ||||||
State Street Corp. | 19,423 | 1,288,910 | ||||||
Sterling Bancorp | 4,936 | 80,062 | ||||||
Stewart Information Services Corp. | 937 | 34,978 | ||||||
Stifel Financial Corp. (1) | 38,264 | 1,620,863 | ||||||
Stock Yards Bancorp, Inc. | 637 | 24,072 | ||||||
Stonegate Bank | 489 | 16,069 | ||||||
Stonegate Mortgage Corp. (1) | 538 | 2,932 | ||||||
Store Capital Corp. | 1,774 | 41,157 | ||||||
Suffolk Bancorp | 474 | 13,438 | ||||||
Summit Hotel Properties, Inc. | 3,545 | 42,363 | ||||||
Sun Bancorp, Inc. (1) | 334 | 6,894 | ||||||
Sun Communities, Inc. | 1,720 | 117,872 | ||||||
Sunstone Hotel Investors, Inc. | 8,978 | 112,135 | ||||||
SunTrust Banks, Inc. | 74,473 | 3,190,423 | ||||||
SVB Financial Group (1) | 798 | 94,882 | ||||||
Symetra Financial Corp. | 105,992 | 3,367,366 | ||||||
Synchrony Financial (1) | 198,975 | 6,050,830 | ||||||
Synovus Financial Corp. | 5,564 | 180,162 | ||||||
Talmer BanCorp., Inc. | 2,020 | 36,582 | ||||||
Taubman Centers, Inc. | 1,578 | 121,064 | ||||||
TCF Financial Corp. | 7,293 | 102,977 | ||||||
TD Ameritrade Holding Corp. | 142,022 | 4,929,584 | ||||||
Tejon Ranch Co. (1) | 538 | 10,303 | ||||||
Terreno Realty Corp. | 1,750 | 39,585 | ||||||
Territorial Bancorp, Inc. | 337 | 9,348 | ||||||
Texas Capital Bancshares, Inc. (1) | 1,826 | 90,241 | ||||||
TFS Financial Corp. | 2,650 | 49,900 | ||||||
The Bancorp, Inc. (1) | 1,324 | 8,434 | ||||||
The GEO Group, Inc. | 3,253 | 94,044 | ||||||
The Howard Hughes Corp. (1) | 1,005 | 113,726 | ||||||
The Macerich Co. | 19,222 | 1,551,023 |
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The St. Joe Co. (1) | 1,534 | 28,394 | ||||||
Third Point Reinsurance Ltd. (1) | 3,231 | 43,328 | ||||||
Tiptree Financial, Inc. | 1,179 | 7,239 | ||||||
Tompkins Financial Corp. | 625 | 35,100 | ||||||
Torchmark Corp. | 31,066 | 1,775,733 | ||||||
Towne Bank | 1,822 | 38,025 | ||||||
TriCo Bancshares | 926 | 25,409 | ||||||
Tristate Capital Holdings, Inc. (1) | 897 | 12,549 | ||||||
Triumph Bancorp, Inc. (1) | 594 | 9,801 | ||||||
TrustCo Bank Corp. | 3,856 | 23,676 | ||||||
Trustmark Corp. | 2,759 | 63,567 | ||||||
Two Harbors Investment Corp. | 15,606 | 126,409 | ||||||
UBP, Inc. | 699 | 13,449 | ||||||
UMB Financial Corp. | 1,721 | 80,113 | ||||||
UMH Properties, Inc. | 1,043 | 10,555 | ||||||
Umpqua Holdings Corp. | 9,418 | 149,746 | ||||||
Union Bankshares Corp. | 1,824 | 46,038 | ||||||
United Bankshares, Inc. | 2,971 | 109,897 | ||||||
United Community Banks, Inc. | 2,113 | 41,182 | ||||||
United Community Financial Corp. | 1,984 | 11,706 | ||||||
United Financial Bancorp, Inc. | 1,639 | 21,110 | ||||||
United Fire Group, Inc. | 845 | 32,372 | ||||||
United Insurance Holdings Corp. | 711 | 12,158 | ||||||
United Development Funding IV | 1,250 | 13,750 | ||||||
Univest Corp. of Pennsylvania | 808 | 16,855 | ||||||
Unum Group | 97,940 | 3,260,423 | ||||||
Validus Holdings Ltd. | 3,566 | 165,070 | ||||||
Valley National Bancorp | 9,991 | 98,411 | ||||||
Virtus Investment Partners, Inc. | 263 | 30,892 | ||||||
W.P. Carey, Inc. | 4,316 | 254,644 | ||||||
W.R. Berkley Corp. | 35,113 | 1,922,437 | ||||||
Waddell & Reed Financial, Inc. | 236 | 6,764 | ||||||
Walker & Dunlop, Inc. (1) | 539 | 15,529 | ||||||
Walter Investment Management Corp. (1) | 1,535 | 21,828 | ||||||
Washington Federal, Inc. | 4,110 | 97,941 | ||||||
Washington Real Estate Investment Trust | 2,793 | 75,579 | ||||||
Washington Trust Bancorp, Inc. | 628 | 24,819 | ||||||
Waterstone Financial, Inc. | 1,162 | 16,384 | ||||||
Webster Financial Corp. | 3,796 | 141,173 | ||||||
Weingarten Realty Investors | 5,109 | 176,669 | ||||||
WesBanco, Inc. | 1,556 | 46,711 | ||||||
West Bancorporation, Inc. | 676 | 13,351 | ||||||
Westamerica Bancorporation | 1,047 | 48,947 | ||||||
Western Alliance Bancorporation (1) | 1,797 | 64,440 | ||||||
Western Asset Mortgage Capital Corp. | 1,761 | 17,997 | ||||||
White Mountains Insurance Group Ltd. | 231 | 167,893 | ||||||
Whitestone REIT | 1,139 | 13,679 | ||||||
Wilshire Bancorp, Inc. | 2,871 | 33,160 | ||||||
Wintrust Financial Corp. | 2,034 | 98,690 | ||||||
World Acceptance Corp. (1) | 111 | 4,118 | ||||||
WP Glimcher, Inc. | 8,033 | 85,230 | ||||||
WSFS Financial Corp. | 1,165 | 37,699 | ||||||
Xenia Hotels & Resorts, Inc. | 4,904 | 75,178 | ||||||
XL Group Plc | 40,391 | 1,582,519 | ||||||
Yadkin Financial Corp. | 977 | 24,591 | ||||||
Zions Bancorp | 8,499 | 232,023 | ||||||
|
| |||||||
231,623,863 | ||||||||
|
|
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Healthcare - 9.12% | ||||||||
ACADIA Pharmaceuticals, Inc. (1) | 265 | 9,447 | ||||||
Aceto Corp. | 133 | 3,588 | ||||||
Acorda Therapeutics, Inc. (1) | 165 | 7,059 | ||||||
Adamas Pharmaceuticals, Inc. (1) | 439 | 12,432 | ||||||
Addus Homecare Corp. (1) | 25,178 | 586,144 | ||||||
Affymetrix, Inc. (1) | 2,720 | 27,445 | ||||||
Agenus, Inc. (1) | 500 | 2,270 | ||||||
Akebia Therapeutics, Inc. (1) | 1,104 | 14,264 | ||||||
Alere, Inc. (1) | 1,240 | 48,472 | ||||||
Alkermes Plc (1) | 1,093 | 86,762 | ||||||
Alliance HealthCare Services, Inc. (1) | 189 | 1,735 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 5,142 | 79,084 | ||||||
Almost Family, Inc. (1) | 295 | 11,278 | ||||||
Amedisys, Inc. (1) | 246 | 9,673 | ||||||
Amphastar Pharmaceuticals, Inc. (1) | 510 | 7,257 | ||||||
Amsurg Corp. (1) | 62,490 | 4,749,240 | ||||||
Analogic Corp. | 62,700 | 5,179,020 | ||||||
AngioDynamics, Inc. (1) | 1,374 | 16,680 | ||||||
Anika Therapeutics, Inc. (1) | 141 | 5,381 | ||||||
Array Biopharma, Inc. (1) | 1,144 | 4,828 | ||||||
Arrowhead Research Corp. (1) | 1,208 | 7,429 | ||||||
AtriCure, Inc. (1) | 326 | 7,315 | ||||||
Becton Dickinson and Co. | 12,479 | 1,922,889 | ||||||
BioCryst Pharmaceuticals, Inc. (1) | 607 | 6,264 | ||||||
Bio-Rad Laboratories, Inc. (1) | 852 | 118,138 | ||||||
BioScrip, Inc. (1) | 2,805 | 4,909 | ||||||
Bio-Techne Corp. | 943 | 84,870 | ||||||
Boston Scientific Corp. (1) | 137,032 | 2,526,870 | ||||||
Brookdale Senior Living, Inc. (1) | 71,274 | 1,315,718 | ||||||
Bruker Corp. (1) | 50,893 | 1,235,173 | ||||||
Calithera Biosciences, Inc. (1) | 436 | 3,340 | ||||||
Capital Senior Living Corp. (1) | 89,205 | 1,860,816 | ||||||
Cardinal Health, Inc. | 42,430 | 3,787,726 | ||||||
Catalent, Inc. (1) | 187,425 | 4,691,248 | ||||||
Celldex Therapeutics, Inc. (1) | 391 | 6,131 | ||||||
Cerus Corp. (1) | 559 | 3,533 | ||||||
Community Health Systems, Inc. (1) | 165,317 | 4,385,860 | ||||||
Conmed Corp. | 1,103 | 48,587 | ||||||
Cross Country Healthcare, Inc. (1) | 481 | 7,884 | ||||||
Cryolife, Inc. | 931 | 10,036 | ||||||
Cutera, Inc. (1) | 163 | 2,085 | ||||||
Cynosure, Inc. (1) | 80 | 3,574 | ||||||
Cytokinetics, Inc. (1) | 677 | 7,081 | ||||||
DaVita HealthCare Partners, Inc. (1) | 14,481 | 1,009,471 | ||||||
Dentsply International, Inc. | 4,340 | 264,089 | ||||||
Dermira, Inc. (1) | 444 | 15,367 | ||||||
Emergent Biosolutions, Inc. (1) | 358 | 14,324 | ||||||
Endo International Plc (1) | 76,050 | 4,655,781 | ||||||
Endocyte, Inc. (1) | 1,490 | 5,975 | ||||||
Ensign Group, Inc. | 112 | 2,535 | ||||||
Entellus Medical, Inc. (1) | 33 | 556 | ||||||
Evolent Health, Inc. (1) | 47 | 569 |
Table of Contents
Exactech, Inc. (1) | 418 | 7,587 | ||||||
Five Star Quality Care, Inc. (1) | 1,781 | 5,664 | ||||||
Genesis Healthcare, Inc. (1) | 773 | 2,682 | ||||||
Geron Corp. (1) | 359 | 1,738 | ||||||
Global Blood Therapeutics, Inc. (1) | 54 | 1,746 | ||||||
Greatbatch, Inc. (1) | 44,463 | 2,334,307 | ||||||
Haemonetics Corp. (1) | 1,090 | 35,142 | ||||||
Halyard Health, Inc. (1) | 2,065 | 68,992 | ||||||
Hanger, Inc. (1) | 1,427 | 23,474 | ||||||
Harvard Bioscience, Inc. (1) | 1,245 | 4,320 | ||||||
HCA Holdings, Inc. (1) | 81,500 | 5,511,845 | ||||||
Health Net, Inc. (1) | 2,697 | 184,637 | ||||||
Healthsouth Corp. | 46,565 | 1,620,928 | ||||||
Healthways, Inc. (1) | 1,239 | 15,946 | ||||||
Hill-Rom Holdings, Inc. | 200 | 9,612 | ||||||
ICON Plc (1) | 40,045 | 3,111,497 | ||||||
ICU Medical, Inc. (1) | 24,486 | 2,761,531 | ||||||
Ignyta, Inc. (1) | 368 | 4,931 | ||||||
Immunomedics, Inc. (1) | 243 | 746 | ||||||
INC Research Holdings, Inc. (1) | 54,860 | 2,661,259 | ||||||
Inovio Pharmaceuticals, Inc. (1) | 370 | 2,486 | ||||||
Integra Lifesciences Holdings Corp. (1) | 38,125 | 2,584,112 | ||||||
Invacare Corp. | 1,309 | 22,764 | ||||||
Kindred Healthcare, Inc. | 3,356 | 39,970 | ||||||
Laboratory Corp. of America Holdings (1) | 17,537 | 2,168,275 | ||||||
Lemaitre Vascular, Inc. | 282 | 4,864 | ||||||
Lexicon Pharmaceuticals, Inc. (1) | 972 | 12,937 | ||||||
LHC Group, Inc. (1) | 486 | 22,011 | ||||||
Lifepoint Hospitals, Inc. (1) | 1,718 | 126,101 | ||||||
LivaNova Plc (1) | 540 | 32,060 | ||||||
Loxo Oncology, Inc. (1) | 441 | 12,546 | ||||||
Luminex Corp. (1) | 1,599 | 34,203 | ||||||
Magellan Health, Inc. (1) | 1,029 | 63,448 | ||||||
MedAssets, Inc. (1) | 193 | 5,971 | ||||||
Medicines Co. (1) | 2,522 | 94,171 | ||||||
MEDNAX, Inc. (1) | 1,671 | 119,744 | ||||||
Meridian Bioscience, Inc. | 268 | 5,499 | ||||||
Merit Medical Systems, Inc. (1) | 1,785 | 33,183 | ||||||
Merrimack Pharmaceuticals, Inc. (1) | 246 | 1,943 | ||||||
National Healthcare Corp. | 406 | 25,050 | ||||||
Navidea Biopharmaceuticals, Inc. (1) | 1,212 | 1,612 | ||||||
Omeros Corp. (1) | 118 | 1,856 | ||||||
OraSure Technologies, Inc. (1) | 2,168 | 13,962 | ||||||
Orthofix International (1) | 797 | 31,250 | ||||||
Osiris Therapeutics, Inc. | 109 | 1,131 | ||||||
Owens & Minor, Inc. | 2,734 | 98,369 | ||||||
Patterson Companies, Inc. | 1,672 | 75,591 | ||||||
PDL BioPharma, Inc. | 6,759 | 23,927 | ||||||
PerkinElmer, Inc. | 4,006 | 214,601 | ||||||
PharMerica Corp. (1) | 1,236 | 43,260 | ||||||
QIAGEN (1) | 9,801 | 270,998 | ||||||
Quidel Corp. (1) | 659 | 13,971 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 167 | 11,466 | ||||||
Rigel Pharmaceuticals, Inc. (1) | 801 | 2,427 | ||||||
Rockwell Medical, Inc. (1) | 223 | 2,284 |
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RTI Surgical, Inc. (1) | 402 | 1,596 | ||||||
SeaSpine Holdings Corp. (1) | 192 | 3,299 | ||||||
Select Medical Holdings Corp. | 259 | 3,085 | ||||||
Seres Therapeutics, Inc. (1) | 43 | 1,509 | ||||||
Spectrum Pharmaceuticals, Inc. (1) | 2,094 | 12,627 | ||||||
St. Jude Medical, Inc. | 30,197 | 1,865,269 | ||||||
Stemline Therapeutics, Inc. (1) | 507 | 3,199 | ||||||
Surgery Partners, Inc. (1) | 413 | 8,462 | ||||||
Surgical Care Affiliates, Inc. (1) | 22 | 876 | ||||||
SurModics, Inc. (1) | 460 | 9,324 | ||||||
Teladoc, Inc. (1) | 51 | 916 | ||||||
Teleflex, Inc. | 1,721 | 226,225 | ||||||
The Cooper Companies, Inc. | 654 | 87,767 | ||||||
Theravance Biopharma, Inc. (1) | 1,390 | 22,782 | ||||||
Theravance, Inc. | 449 | 4,732 | ||||||
Tokai Pharmaceuticals, Inc. (1) | 219 | 1,910 | ||||||
TransEnterix, Inc. (1) | 1,652 | 4,097 | ||||||
Triple-S Management Corp. (1) | 969 | 23,169 | ||||||
Trupanion, Inc. (1) | 92 | 898 | ||||||
Unilife Corp. (1) | 1,081 | 535 | ||||||
Universal American Corp. | 1,964 | 13,748 | ||||||
Vanda Pharmaceuticals, Inc. (1) | 333 | 3,100 | ||||||
VCA, Inc. (1) | 190 | 10,450 | ||||||
Verastem, Inc. (1) | 1,046 | 1,946 | ||||||
Versartis, Inc. (1) | 834 | 10,333 | ||||||
Vocera Communications, Inc. (1) | 342 | 4,172 | ||||||
VWR Corp. (1) | 212,786 | 6,023,972 | ||||||
Wright Medical Group NV (1) | 1,700 | 41,106 | ||||||
XOMA Corp. (1) | 885 | 1,177 | ||||||
Zimmer Holdings, Inc. | 24,243 | 2,487,089 | ||||||
|
| |||||||
74,344,199 | ||||||||
|
| |||||||
Industrials - 14.11% | ||||||||
AAR Corp. | 1,465 | 38,515 | ||||||
ABM Industries | 2,305 | 65,623 | ||||||
Acacia Research Corp. | 2,169 | 9,305 | ||||||
Acco Brands Corp. (1) | 4,482 | 31,957 | ||||||
Actuant Corp. | 2,452 | 58,750 | ||||||
AECOM (1) | 5,448 | 163,603 | ||||||
Aegion Corp. (1) | 1,517 | 29,293 | ||||||
Aerojet Rocketdyne Holdings, Inc. (1) | 1,366 | 21,392 | ||||||
AeroVironment, Inc. (1) | 854 | 25,167 | ||||||
AGCO Corp. | 3,113 | 141,299 | ||||||
Air Lease Corp. | 3,985 | 133,418 | ||||||
Air Transport Services Group, Inc. (1) | 2,204 | 22,216 | ||||||
Aircastle Ltd. | 2,797 | 58,429 | ||||||
Alamo Group, Inc. | 407 | 21,205 | ||||||
Albany International Corp. | 1,005 | 36,733 | ||||||
Allison Transmission Holdings, Inc. | 3,358 | 86,939 | ||||||
Altra Industrial Motion Corp. | 82,839 | 2,077,602 | ||||||
AMERCO | 157 | 61,151 | ||||||
Ameresco, Inc. (1) | 824 | 5,150 | ||||||
American Railcar Industries, Inc. | 299 | 13,838 | ||||||
American Science & Engineering, Inc. | 318 | 13,159 | ||||||
Applied Industrial Technologies, Inc. | 31,412 | 1,271,872 | ||||||
ArcBest Corp. | 703 | 15,037 |
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Argan, Inc. | 55 | 1,782 | ||||||
Armstrong World Industries, Inc. (1) | 634 | 28,993 | ||||||
Astec Industries, Inc. | 805 | 32,763 | ||||||
Atlas Air Worldwide Holdings, Inc. (1) | 1,030 | 42,580 | ||||||
Babcock & Wilcox Enterprise, Inc. (1) | 95,363 | 1,990,226 | ||||||
Barnes Group, Inc. | 2,252 | 79,698 | ||||||
Beacon Roofing Supply, Inc. (1) | 1,553 | 63,953 | ||||||
Brady Corp. | 1,932 | 44,397 | ||||||
Briggs & Stratton Corp. | 1,776 | 30,725 | ||||||
BWX Technologies, Inc. | 3,541 | 112,498 | ||||||
CAI International, Inc. (1) | 697 | 7,026 | ||||||
Carlisle Companies, Inc. | 2,143 | 190,063 | ||||||
Casella Waste Systems, Inc. (1) | 1,300 | 7,774 | ||||||
Cbiz, Inc. (1) | 54,235 | 534,757 | ||||||
CDI Corp. | 605 | 4,090 | ||||||
CECO Environmental Corp. | 886 | 6,804 | ||||||
Celadon Group, Inc. | 352 | 3,481 | ||||||
Chart Industries, Inc. (1) | 1,230 | 22,091 | ||||||
Chicago Bridge & Iron Co. | 4,041 | 157,559 | ||||||
Circor International, Inc. | 37,322 | 1,573,122 | ||||||
Civeo Corp. (1) | 3,911 | 5,554 | ||||||
Clarcor, Inc. | 110 | 5,465 | ||||||
Clean Harbors, Inc. (1) | 786 | 32,737 | ||||||
Colfax Corp. (1) | 4,206 | 98,210 | ||||||
Columbus Mckinnon Corp. | 782 | 14,780 | ||||||
Comfort Systems USA, Inc. | 84 | 2,387 | ||||||
Copa Holdings SA | 1,335 | 64,427 | ||||||
CRA International, Inc. (1) | 387 | 7,218 | ||||||
Crane Co. | 2,088 | 99,890 | ||||||
CSW Industrials, Inc. (1) | 55,575 | 2,093,510 | ||||||
Cubic Corp. | 863 | 40,777 | ||||||
Curtiss-Wright Corp. | 21,438 | 1,468,503 | ||||||
Delta Air Lines, Inc. | 16,801 | 851,643 | ||||||
Deluxe Corp. | 911 | 49,686 | ||||||
Digitalglobe, Inc. (1) | 2,921 | 45,743 | ||||||
Donaldson Co., Inc. | 530 | 15,190 | ||||||
Douglas Dynamics, Inc. | 677 | 14,264 | ||||||
Ducommun, Inc. (1) | 444 | 7,202 | ||||||
Dun & Bradstreet Corp. | 1,083 | 112,556 | ||||||
DXP Enterprises, Inc. (1) | 356 | 8,117 | ||||||
Eagle Bulk Shipping, Inc. (1) | 817 | 2,876 | ||||||
Emcor Group, Inc. | 60,832 | 2,922,369 | ||||||
Encore Wire Corp. | 42,932 | 1,592,348 | ||||||
EnerSys, Inc. | 1,423 | 79,588 | ||||||
Engility Holdings, Inc. (1) | 722 | 23,451 | ||||||
Ennis, Inc. | 1,029 | 19,808 | ||||||
EnPro Industries, Inc. | 376 | 16,484 | ||||||
Equifax, Inc. | 39,905 | 4,444,220 | ||||||
Esco Technologies, Inc. | 55,426 | 2,003,096 | ||||||
Essendant, Inc. | 1,547 | 50,293 | ||||||
Esterline Technologies Corp. (1) | 1,254 | 101,574 | ||||||
Exone Co. (1) | 423 | 4,247 | ||||||
Exponent, Inc. | 65 | 3,247 | ||||||
Federal Signal Corp. | 2,536 | 40,196 | ||||||
Fluor Corp. | 24,647 | 1,163,831 |
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Fortune Brands Home & Security, Inc. | 4,335 | 240,592 | ||||||
Franklin Covey Co. (1) | 435 | 7,282 | ||||||
Franklin Electric Company, Inc. | 157 | 4,244 | ||||||
FreightCar America, Inc. | 267 | 5,188 | ||||||
FTI Consulting, Inc. (1) | 1,703 | 59,026 | ||||||
FuelCell Energy, Inc. (1) | 588 | 2,916 | ||||||
Furmanite Corp. (1) | 308 | 2,051 | ||||||
G & K Services, Inc. | 23,877 | 1,501,863 | ||||||
GATX Corp. | 1,880 | 79,994 | ||||||
General Cable Corp. | 174 | 2,337 | ||||||
Genesee & Wyoming, Inc. (1) | 1,449 | 77,797 | ||||||
Gibraltar Industries, Inc. (1) | 1,246 | 31,698 | ||||||
Global Brass and Copper Holdings, Inc. | 114 | 2,428 | ||||||
Golden Ocean Group Ltd. (1) | 2,850 | 3,050 | ||||||
Gorman Rupp Co. | 565 | 15,102 | ||||||
Graham Corp. | 402 | 6,762 | ||||||
Granite Construction, Inc. | 1,728 | 74,148 | ||||||
Great Lakes Dredge & Dock Corp. (1) | 2,273 | 9,001 | ||||||
Griffon Corp. | 1,039 | 18,494 | ||||||
HC2 Holdings, Inc. (1) | 265 | 1,402 | ||||||
HD Supply Holdings, Inc. (1) | 150,075 | 4,506,752 | ||||||
Heidrick & Struggles International, Inc. | 695 | 18,918 | ||||||
Heritage Crystal Clean, Inc. (1) | 472 | 5,003 | ||||||
Hertz Global Holdings, Inc. (1) | 210,850 | 3,000,395 | ||||||
Hill International, Inc. (1) | 1,470 | 5,704 | ||||||
Hillenbrand, Inc. | 40,360 | 1,195,867 | ||||||
Hub Group, Inc. (1) | 125 | 4,119 | ||||||
Hubbell, Inc. (1) | 13,247 | 1,338,477 | ||||||
Huntington Ingalls Industries, Inc. | 27,270 | 3,459,199 | ||||||
Hurco Companies, Inc. | 266 | 7,065 | ||||||
Huron Consulting Group, Inc. (1) | 819 | 48,649 | ||||||
Hyster-Yale Materials Handling, Inc. | 269 | 14,109 | ||||||
ICF International, Inc. (1) | 786 | 27,950 | ||||||
IDEX Corp. | 293 | 22,447 | ||||||
Ingersoll-Rand Plc | 38,495 | 2,128,389 | ||||||
InnerWorkings, Inc. (1) | 958 | 7,185 | ||||||
Insteel Industries, Inc. | 104 | 2,176 | ||||||
ITT Corp. | 3,815 | 138,561 | ||||||
Jacobs Engineering Group, Inc. (1) | 5,290 | 221,915 | ||||||
Jetblue Airways Corp. (1) | 8,140 | 184,371 | ||||||
Joy Global, Inc. | 3,916 | 49,381 | ||||||
Kadant, Inc. | 406 | 16,488 | ||||||
Kaman Corp. | 1,139 | 46,483 | ||||||
KAR Auction Services, Inc. | 82,692 | 3,062,085 | ||||||
KBR, Inc. | 6,169 | 104,379 | ||||||
Kelly Services, Inc. | 1,188 | 19,186 | ||||||
Kennametal, Inc. | 3,492 | 67,046 | ||||||
KEYW Holding Corp. (1) | 1,333 | 8,025 | ||||||
Kimball International, Inc. | 892 | 8,715 | ||||||
Kirby Corp. (1) | 2,394 | 125,972 | ||||||
KLX, Inc. (1) | 2,324 | 71,556 | ||||||
Knoll, Inc. | 114,930 | 2,160,684 | ||||||
Korn/Ferry International | 928 | 30,791 | ||||||
Kratos Defense & Security Solutions, Inc. (1) | 1,820 | 7,462 | ||||||
L.B. Foster Co. | 447 | 6,106 |
Table of Contents
Lawson Products, Inc. DE (1) | 93 | 2,172 | ||||||
Lincoln Electric Holdings, Inc. | 243 | 12,609 | ||||||
Lindsay Corp. | 70 | 5,068 | ||||||
LSI Industries, Inc. | 869 | 10,593 | ||||||
Lydall, Inc. (1) | 69,251 | 2,457,025 | ||||||
Macquarie Infrastructure Corp. | 2,853 | 207,128 | ||||||
ManpowerGroup, Inc. | 40,111 | 3,380,956 | ||||||
Marten Transport Ltd. | 826 | 14,620 | ||||||
Masco Corp. | 126,348 | 3,575,648 | ||||||
Masonite International Corp. (1) | 32,575 | 1,994,567 | ||||||
Mastec, Inc. (1) | 2,694 | 46,822 | ||||||
Matson, Inc. | 143 | 6,096 | ||||||
Matthews International Corp. | 1,374 | 73,440 | ||||||
McGrath RentCorp | 933 | 23,502 | ||||||
Meritor, Inc. (1) | 1,742 | 14,546 | ||||||
Milacron Holdings Corp. (1) | 249,823 | 3,125,286 | ||||||
Miller Industries, Inc. | 439 | 9,561 | ||||||
Mistras Group, Inc. (1) | 283 | 5,402 | ||||||
Mobile Mini, Inc. | 1,668 | 51,925 | ||||||
Moog, Inc. (1) | 1,418 | 85,931 | ||||||
MRC Global, Inc. (1) | 4,154 | 53,587 | ||||||
MSA Safety, Inc. | 45,988 | 1,999,098 | ||||||
MSC Industrial Direct Co., Inc. | 1,443 | 81,198 | ||||||
Mueller Industries, Inc. | 749 | 20,298 | ||||||
MYR Group, Inc. (1) | 901 | 18,570 | ||||||
National Presto Industries, Inc. | 195 | 16,158 | ||||||
Navigant Consulting, Inc. (1) | 1,939 | 31,140 | ||||||
Navios Maritime Holdings, Inc. | 3,254 | 5,695 | ||||||
Navistar International Corp. (1) | 1,946 | 17,203 | ||||||
Neff Corp. (1) | 374 | 2,865 | ||||||
NL Industries, Inc. (1) | 347 | 1,055 | ||||||
Northwest Pipe Co. (1) | 384 | 4,297 | ||||||
NOW, Inc. (1) | 4,703 | 74,401 | ||||||
Orbital ATK, Inc. | 2,511 | 224,333 | ||||||
Orion Marine Group, Inc. (1) | 1,135 | 4,733 | ||||||
Oshkosh Corp. | 35,264 | 1,376,707 | ||||||
Owens Corning | 4,920 | 231,388 | ||||||
Parker-Hannifin Corp. | 12,142 | 1,177,531 | ||||||
Pendrell Corp. (1) | 6,710 | 3,362 | ||||||
Pitney Bowes, Inc. | 5,348 | 110,436 | ||||||
Plug Power, Inc. (1) | 2,802 | 5,912 | ||||||
Powell Industries, Inc. | 370 | 9,631 | ||||||
PowerSecure International, Inc. (1) | 751 | 11,303 | ||||||
Preformed Line Products Co. | 129 | 5,431 | ||||||
Primoris Services Corp. | 503 | 11,081 | ||||||
Quad/Graphics, Inc. | 1,214 | 11,290 | ||||||
Quanex Building Products Corp. | 78,623 | 1,639,290 | ||||||
Quanta Services, Inc. (1) | 5,297 | 107,264 | ||||||
Raven Industries, Inc. | 1,338 | 20,873 | ||||||
Raytheon Co. | 13,385 | 1,666,834 | ||||||
Regal-Beloit Corp. | 1,835 | 107,384 | ||||||
Republic Airways Holdings, Inc. (1) | 2,187 | 8,595 | ||||||
Resources Connection, Inc. | 1,233 | 20,147 | ||||||
Roadrunner Transportation Systems, Inc. (1) | 713 | 6,724 | ||||||
Robert Half International, Inc. | 89,359 | 4,212,383 |
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RPX Corp. (1) | 2,010 | 22,110 | ||||||
RR Donnelley & Sons Co. | 3,987 | 58,689 | ||||||
Rush Enterprises, Inc. (1) | 1,416 | 30,996 | ||||||
Ryder System, Inc. | 2,282 | 129,686 | ||||||
Safe Bulkers, Inc. | 1,433 | 1,161 | ||||||
Scorpio Bulkers, Inc. (1) | 1,231 | 12,175 | ||||||
Simpson Manufacturing Company, Inc. | 1,554 | 53,069 | ||||||
Skywest, Inc. | 2,063 | 39,238 | ||||||
Snap-on, Inc. | 22,075 | 3,784,317 | ||||||
Sparton Corp. (1) | 162 | 3,238 | ||||||
Spirit Aerosystems Holdings, Inc. (1) | 433 | 21,680 | ||||||
SPX Corp. | 1,652 | 15,413 | ||||||
SPX Flow, Inc. (1) | 1,652 | 46,107 | ||||||
Standex International Corp. | 27,828 | 2,313,898 | ||||||
Stanley Black & Decker, Inc. | 27,422 | 2,926,750 | ||||||
Sunrun, Inc. (1) | 674 | 7,933 | ||||||
TAL International Group, Inc. | 1,352 | 21,497 | ||||||
Teledyne Technologies, Inc. (1) | 1,086 | 96,328 | ||||||
Tennant Co. | 47 | 2,644 | ||||||
Terex Corp. | 4,592 | 84,860 | ||||||
Tetra Tech, Inc. | 2,462 | 64,061 | ||||||
Textainer Group Holdings Ltd. | 892 | 12,586 | ||||||
Textron, Inc. | 37,879 | 1,591,297 | ||||||
The ADT Corp. | 7,157 | 236,038 | ||||||
The Brink’s Co. | 94,828 | 2,736,736 | ||||||
The Manitowoc Co., Inc. | 5,944 | 91,240 | ||||||
The Timken Co. | 32,959 | 942,298 | ||||||
Thermon Group Holdings, Inc. (1) | 1,120 | 18,950 | ||||||
Titan International, Inc. | 1,640 | 6,462 | ||||||
Titan Machinery, Inc. (1) | 673 | 7,356 | ||||||
Towers Watson & Co. | 33,081 | 4,249,585 | ||||||
TransUnion (1) | 302 | 8,326 | ||||||
TRC Companies, Inc. (1) | 689 | 6,373 | ||||||
TriMas Corp. (1) | 1,705 | 31,798 | ||||||
Trinet Group, Inc. (1) | 107,440 | 2,078,964 | ||||||
Trinity Industries, Inc. | 6,453 | 155,001 | ||||||
Triumph Group, Inc. | 2,166 | 86,098 | ||||||
Tutor Perini Corp. (1) | 1,510 | 25,277 | ||||||
Twin Disc, Inc. | 338 | 3,556 | ||||||
UniFirst Corp. | 657 | 68,459 | ||||||
United Rentals, Inc. (1) | 26,150 | 1,896,921 | ||||||
Univar, Inc. (1) | 780 | 13,268 | ||||||
Universal Forest Products, Inc. | 810 | 55,380 | ||||||
Universal Truckload Services, Inc. | 151 | 2,120 | ||||||
US Ecology, Inc. | 69,160 | 2,520,190 | ||||||
USA Truck, Inc. (1) | 257 | 4,485 | ||||||
UTI Worldwide, Inc. (1) | 3,841 | 27,002 | ||||||
Valmont Industries, Inc. | 915 | 97,008 | ||||||
Vectrus, Inc. (1) | 35 | 731 | ||||||
Veritiv Corp. (1) | 330 | 11,953 | ||||||
Viad Corp. | 809 | 22,838 | ||||||
Vicor Corp. (1) | 77 | 702 | ||||||
Virgin America, Inc. (1) | 75 | 2,701 | ||||||
VSE Corp. | 171 | 10,633 | ||||||
Wabco Holdings, Inc. (1) | 44,670 | 4,567,954 |
Table of Contents
Waste Connections, Inc. | 5,121 | 288,415 | ||||||
Watts Water Technologies, Inc. | 38,128 | 1,893,818 | ||||||
Werner Enterprises, Inc. | 1,363 | 31,881 | ||||||
Wesco Aircraft Holdings, Inc. (1) | 2,482 | 29,710 | ||||||
WESCO International, Inc. (1) | 36,033 | 1,573,921 | ||||||
West Corp. | 1,815 | 39,150 | ||||||
Woodward, Inc. | 816 | 40,523 | ||||||
XPO Logistics, Inc. (1) | 504 | 13,734 | ||||||
Xylem, Inc. | 7,634 | 278,641 | ||||||
YRC Worldwide, Inc. (1) | 1,073 | 15,215 | ||||||
|
| |||||||
115,040,745 | ||||||||
|
| |||||||
Information Technology - 15.68% | ||||||||
3D Systems Corp. (1) | 2,848 | 24,749 | ||||||
6d Global Technologies, Inc. (1) | 361 | 105 | ||||||
ACI Worldwide, Inc. (1) | 108,440 | 2,320,616 | ||||||
Activision Blizzard, Inc. | 120,396 | 4,660,529 | ||||||
Actua Corp. (1) | 1,583 | 18,125 | ||||||
Acxiom Corp. (1) | 3,212 | 67,195 | ||||||
Adtran, Inc. | 2,088 | 35,955 | ||||||
Advanced Micro Devices, Inc. (1) | 14,875 | 42,691 | ||||||
Advanced Energy Industries, Inc. (1) | 783 | 22,104 | ||||||
Agilysys, Inc. (1) | 1,002 | 10,010 | ||||||
Alliance Data Systems Corp. (1) | 8,647 | 2,391,501 | ||||||
Alpha and Omega Semiconductor Ltd. (1) | 839 | 7,710 | ||||||
Amdocs Ltd. | 67,821 | 3,700,992 | ||||||
American Software, Inc. | 865 | 8,806 | ||||||
Amkor Technology, Inc. (1) | 4,079 | 24,800 | ||||||
Anixter International, Inc. (1) | 1,168 | 70,536 | ||||||
ANSYS, Inc. (1) | 3,031 | 280,367 | ||||||
Applied Micro Circuits Corp. (1) | 3,054 | 19,454 | ||||||
Applied Optoelectronics, Inc. (1) | 91 | 1,562 | ||||||
ARRIS Group, Inc. (1) | 4,660 | 142,456 | ||||||
Arrow Electronics, Inc. (1) | 45,124 | 2,444,818 | ||||||
Avago Technologies Ltd. | 37,010 | 5,372,002 | ||||||
Avid Technology, Inc. (1) | 363 | 2,646 | ||||||
Avnet, Inc. | 57,560 | 2,465,870 | ||||||
AVX Corp. | 1,889 | 22,932 | ||||||
Axcelis Technologies, Inc. (1) | 4,470 | 11,577 | ||||||
Bankrate, Inc. (1) | 2,801 | 37,253 | ||||||
Bazaarvoice, Inc. (1) | 1,470 | 6,439 | ||||||
Bel Fuse, Inc. | 665 | 11,498 | ||||||
Benchmark Electronics, Inc. (1) | 2,169 | 44,833 | ||||||
Black Box Corp. | 621 | 5,918 | ||||||
Black Knight Financial Services, Inc. (1) | 106 | 3,504 | ||||||
Blucora, Inc. (1) | 1,649 | 16,160 | ||||||
Booz Allen Hamilton Holding Corp. | 301 | 9,286 | ||||||
Bottomline Technologies, Inc. (1) | 262 | 7,789 | ||||||
Broadridge Financial Solutions, Inc. | 76,050 | 4,086,166 | ||||||
Brocade Communications Systems, Inc. | 17,337 | 159,154 | ||||||
Brooks Automation, Inc. | 2,681 | 28,633 | ||||||
Cabot Microelectronics Corp. (1) | 147 | 6,436 | ||||||
Caci International, Inc. (1) | 37,723 | 3,499,940 | ||||||
Calix, Inc. (1) | 1,684 | 13,253 | ||||||
Care.com, Inc. (1) | 648 | 4,640 | ||||||
Cascade Microtech, Inc. (1) | 121 | 1,966 |
Table of Contents
Cass Information Systems, Inc. | 198 | 10,189 | ||||||
Ceva, Inc. (1) | 414 | 9,671 | ||||||
Check Point Software Technologies Ltd. (1) | 21,400 | 1,741,532 | ||||||
Checkpoint Systems, Inc. | 1,707 | 10,703 | ||||||
Ciber, Inc. (1) | 3,189 | 11,193 | ||||||
Coherent, Inc. (1) | 877 | 57,101 | ||||||
Cohu, Inc. | 1,061 | 12,806 | ||||||
CommScope Holding Co., Inc. (1) | 137,350 | 3,555,991 | ||||||
Comtech Telecommunications Corp. | 660 | 13,259 | ||||||
Control4 Corp. (1) | 853 | 6,201 | ||||||
Convergys Corp. | 4,264 | 106,131 | ||||||
CoreLogic, Inc. (1) | 2,177 | 73,713 | ||||||
Cree, Inc. (1) | 4,280 | 114,148 | ||||||
CTS Corp. | 1,300 | 22,932 | ||||||
Cypress Semiconductor Corp. | 14,223 | 139,528 | ||||||
Daktronics, Inc. | 1,211 | 10,560 | ||||||
Datalink Corp. (1) | 805 | 5,474 | ||||||
DHI Group, Inc. (1) | 1,070 | 9,812 | ||||||
Digi International, Inc. (1) | 963 | 10,959 | ||||||
Diodes, Inc. (1) | 1,489 | 34,217 | ||||||
Dolby Laboratories, Inc. | 2,017 | 67,872 | ||||||
DSP Group, Inc. (1) | 876 | 8,269 | ||||||
DST Systems, Inc. | 348 | 39,693 | ||||||
DTS, Inc. (1) | 83 | 1,874 | ||||||
EchoStar Corp. (1) | 1,944 | 76,030 | ||||||
Electro Rent Corp. | 691 | 6,357 | ||||||
EMCORE Corp. (1) | 945 | 5,793 | ||||||
EnerNOC, Inc. (1) | 1,080 | 4,158 | ||||||
Entegris, Inc. (1) | 181,797 | 2,412,446 | ||||||
EPIQ System, Inc. | 809 | 10,574 | ||||||
Eplus, Inc. (1) | 209 | 19,491 | ||||||
Everi Holdings, Inc. (1) | 2,702 | 11,862 | ||||||
Exar Corp. (1) | 1,358 | 8,325 | ||||||
ExlService Holdings, Inc. (1) | 93 | 4,178 | ||||||
Extreme Networks, Inc. (1) | 3,654 | 14,908 | ||||||
Fabrinet (1) | 1,472 | 35,063 | ||||||
Fairchild Semiconductor International, Inc. (1) | 5,043 | 104,441 | ||||||
FARO Technologies, Inc. (1) | 535 | 15,793 | ||||||
FEI Co. | 18,770 | 1,497,658 | ||||||
Fidelity National Information Services, Inc. | 116,328 | 7,049,477 | ||||||
Finisar Corp. (1) | 4,603 | 66,928 | ||||||
First Data Corp. (1) | 366,375 | 5,869,328 | ||||||
First Solar, Inc. (1) | 3,158 | 208,396 | ||||||
Fiserv, Inc. (1) | 31,925 | 2,919,861 | ||||||
Fitbit, Inc. (1) | 531 | 15,712 | ||||||
Flextronics International Ltd. (1) | 143,137 | 1,604,566 | ||||||
FLIR Systems, Inc. | 2,076 | 58,273 | ||||||
Formfactor, Inc. (1) | 1,225 | 11,025 | ||||||
Global Payments, Inc. | 63,224 | 4,078,580 | ||||||
Glu Mobile, Inc. (1) | 2,309 | 5,611 | ||||||
GSI Group, Inc. (1) | 1,374 | 18,714 | ||||||
Harmonic, Inc. (1) | 3,046 | 12,397 | ||||||
Harris Corp. | 39,005 | 3,389,535 | ||||||
Hewlett-Packard Enterprise Co. | 87,340 | 1,327,568 | ||||||
II-Vi, Inc. (1) | 2,098 | 38,939 |
Table of Contents
Imation Corp. (1) | 1,236 | 1,693 | ||||||
Ingram Micro, Inc. | 6,132 | 186,290 | ||||||
Insight Enterprises, Inc. (1) | 1,554 | 39,036 | ||||||
Instructure, Inc. (1) | 341 | 7,100 | ||||||
InterActiveCorp | 20,139 | 1,209,347 | ||||||
Interdigital, Inc. | 150 | 7,356 | ||||||
Intersil Corp. | 5,323 | 67,921 | ||||||
Intralinks Holdings, Inc. (1) | 737 | 6,685 | ||||||
Itron, Inc. (1) | 53,282 | 1,927,743 | ||||||
Ixia (1) | 270 | 3,356 | ||||||
IXYS Corp. | 1,008 | 12,731 | ||||||
Jabil Circuit, Inc. | 116,897 | 2,722,531 | ||||||
Keysight Technologies, Inc. (1) | 1,080 | 30,596 | ||||||
Kimball Electronics, Inc. (1) | 1,111 | 12,210 | ||||||
Knowles Corp. (1) | 3,502 | 46,682 | ||||||
Kopin Corp. (1) | 2,642 | 7,186 | ||||||
KVH Industries, Inc. (1) | 124 | 1,168 | ||||||
Lattice Semiconductor Corp. (1) | 3,505 | 22,677 | ||||||
Leidos Holdings, Inc. | 2,566 | 144,363 | ||||||
Lexmark International, Inc. | 2,676 | 86,836 | ||||||
Limelight Networks, Inc. (1) | 2,474 | 3,612 | ||||||
Liquidity Services, Inc. (1) | 1,001 | 6,507 | ||||||
Littelfuse, Inc. | 31,860 | 3,409,339 | ||||||
Lumentum Holdings, Inc. (1) | 1,885 | 41,508 | ||||||
M/A-Com Technology Solutions Holdings, Inc. (1) | 70,570 | 2,885,607 | ||||||
Mantech International Corp. | 1,024 | 30,966 | ||||||
Marchex, Inc. | 1,288 | 5,010 | ||||||
Marin Software, Inc. (1) | 1,031 | 3,691 | ||||||
Marvell Technology Group Ltd. | 19,329 | 170,482 | ||||||
Match Group, Inc. (1) | 587 | 7,954 | ||||||
Mentor Graphics Corp. | 104,989 | 1,933,897 | ||||||
Mercury Systems, Inc. (1) | 1,424 | 26,145 | ||||||
Methode Electronics, Inc. | 40,930 | 1,302,802 | ||||||
Micron Technology, Inc. (1) | 186,075 | 2,634,822 | ||||||
Microsemi Corp. (1) | 55,870 | 1,820,803 | ||||||
MKS Instrument, Inc. | 71,642 | 2,579,112 | ||||||
ModusLink Global Solutions, Inc. (1) | 1,548 | 3,839 | ||||||
MoneyGram International, Inc. (1) | 1,200 | 7,524 | ||||||
Monster Worldwide, Inc. (1) | 3,510 | 20,112 | ||||||
Multi-Fineline Electronix, Inc. (1) | 373 | 7,714 | ||||||
Nanometrics, Inc. (1) | 952 | 14,413 | ||||||
National Instruments Corp. | 3,784 | 108,563 | ||||||
NCR Corp. (1) | 163,252 | 3,993,144 | ||||||
Neophotonics Corp. (1) | 1,115 | 12,109 | ||||||
Netease, Inc. | 10,246 | 1,856,985 | ||||||
NetGear, Inc. (1) | 1,305 | 54,693 | ||||||
NetScout Systems, Inc. (1) | 58,992 | 1,811,054 | ||||||
NeuStar, Inc. (1) | 177 | 4,243 | ||||||
Newport Corp. (1) | 1,062 | 16,854 | ||||||
Nuance Communications, Inc. (1) | 10,434 | 207,532 | ||||||
NVE Corp. | 110 | 6,180 | ||||||
Oclaro, Inc. (1) | 3,843 | 13,374 | ||||||
Omnivision Technologies, Inc. (1) | 2,364 | 68,603 | ||||||
ON Semiconductor Corp. (1) | 57,420 | 562,716 | ||||||
OSI Systems, Inc. (1) | 595 | 52,753 |
Table of Contents
Park Electrochemical Corp. | 829 | 12,485 | ||||||
PC Connection, Inc. | 385 | 8,716 | ||||||
Perficient, Inc. (1) | 484 | 8,286 | ||||||
Photronics, Inc. (1) | 2,799 | 34,848 | ||||||
Plexus Corp. (1) | 846 | 29,542 | ||||||
PMC-Sierra, Inc. (1) | 4,599 | 53,440 | ||||||
Polycom, Inc. (1) | 5,929 | 74,646 | ||||||
Power Integrations, Inc. | 397 | 19,306 | ||||||
Progress Software Corp. (1) | 2,045 | 49,080 | ||||||
Pure Storage, Inc. (1) | 602 | 9,373 | ||||||
QAD, Inc. | 299 | 6,135 | ||||||
QLogic Corp. (1) | 3,499 | 42,688 | ||||||
Quantum Corp. (1) | 8,609 | 8,006 | ||||||
QuinStreet, Inc. (1) | 1,411 | 6,053 | ||||||
Rapid7, Inc. (1) | 238 | 3,601 | ||||||
RealNetworks, Inc. (1) | 890 | 3,783 | ||||||
Reis, Inc. | 123 | 2,919 | ||||||
Retailmenot, Inc. (1) | 1,456 | 14,444 | ||||||
Rocket Fuel, Inc. (1) | 1,074 | 3,748 | ||||||
Rofin Sinar Technologies, Inc. (1) | 994 | 26,619 | ||||||
Rogers Corp. (1) | 510 | 26,301 | ||||||
Rovi Corp. (1) | 3,568 | 59,443 | ||||||
Rudolph Technologies, Inc. (1) | 1,187 | 16,879 | ||||||
Sabre Corp. | 164,350 | 4,596,870 | ||||||
Sanmina Corp. (1) | 3,333 | 68,593 | ||||||
Sapiens International Corp. | 232 | 2,366 | ||||||
ScanSource, Inc. (1) | 1,145 | 36,892 | ||||||
SciQuest, Inc. (1) | 469 | 6,083 | ||||||
SeaChange International, Inc. (1) | 1,376 | 9,274 | ||||||
Seagate Technology Plc | 24,402 | 894,577 | ||||||
Semtech Corp. (1) | 1,775 | 33,583 | ||||||
Servicesource International, Inc. (1) | 983 | 4,532 | ||||||
ShoreTel, Inc. (1) | 2,024 | 17,912 | ||||||
Sigma Designs, Inc. (1) | 1,384 | 8,747 | ||||||
Silicon Laboratories, Inc. (1) | 500 | 24,270 | ||||||
Silver Spring Networks, Inc. (1) | 81 | 1,167 | ||||||
Skyworks Solutions, Inc. | 46,175 | 3,547,625 | ||||||
Sonus Networks, Inc. (1) | 1,979 | 14,110 | ||||||
Square, Inc. (1) | 617 | 8,077 | ||||||
SS&C Technologies Holdings, Inc. | 354 | 24,168 | ||||||
Stratasys Ltd. (1) | 2,045 | 48,017 | ||||||
SunEdison, Inc. (1) | 869 | 4,423 | ||||||
SunPower Corp. (1) | 2,034 | 61,040 | ||||||
Sykes Enterprises, Inc. (1) | 1,578 | 48,571 | ||||||
Synnex Corp. | 1,239 | 111,423 | ||||||
Synopsys, Inc. (1) | 6,045 | 275,712 | ||||||
Take-Two Interactive Software, Inc. (1) | 1,782 | 62,085 | ||||||
TE Connectivity Ltd | 24,729 | 1,597,741 | ||||||
Tech Data Corp. (1) | 30,444 | 2,020,873 | ||||||
TechTarget, Inc. (1) | 679 | 5,452 | ||||||
TeleCommunication Systems, Inc. (1) | 2,014 | 10,010 | ||||||
Telenav, Inc. (1) | 1,100 | 6,259 | ||||||
Teletech Holdings, Inc. | 107,614 | 3,003,507 | �� | |||||
Teradata Corp. (1) | 1,475 | 38,970 | ||||||
Teradyne, Inc. | 8,936 | 184,707 |
Table of Contents
Tessera Technologies, Inc. | 822 | 24,668 | ||||||
Total Systems Services, Inc. | 93,611 | 4,661,828 | ||||||
Trimble Navigation Ltd. (1) | 10,199 | 218,769 | ||||||
TTM Technologies , Inc. (1) | 2,441 | 15,891 | ||||||
Ubiquiti Networks, Inc. (1) | 84 | 2,662 | ||||||
Ultra Clean Holdings, Inc. (1) | 1,264 | 6,472 | ||||||
Ultratech, Inc. (1) | 1,105 | 21,901 | ||||||
Unisys Corp. (1) | 783 | 8,652 | ||||||
United Online, Inc. (1) | 578 | 6,815 | ||||||
Veeco Instruments, Inc. (1) | 1,628 | 33,472 | ||||||
Verint Systems, Inc. (1) | 135 | 5,476 | ||||||
Viasat, Inc. (1) | 255 | 15,558 | ||||||
Viavi Solutions, Inc. (1) | 9,428 | 57,417 | ||||||
Vishay Intertechnology, Inc. | 5,474 | 65,962 | ||||||
Vishay Precision Group, Inc. (1) | 511 | 5,785 | ||||||
Western Digital Corp. | 66,870 | 4,015,544 | ||||||
Xcerra Corp. (1) | 1,310 | 7,926 | ||||||
Zillow Group, Inc. - Class A (1) | 711 | 18,514 | ||||||
Zillow Group, Inc. - Class C (1) | 1,422 | 33,389 | ||||||
Zynga, Inc. (1) | 31,994 | 85,744 | ||||||
|
| |||||||
127,927,382 | ||||||||
|
| |||||||
Materials - 7.66% | ||||||||
A. Schulman, Inc. | 119 | 3,645 | ||||||
AK Steel Holding Corp. (1) | 7,455 | 16,699 | ||||||
Albemarle Corp. | 4,683 | 262,295 | ||||||
Allegheny Technologies, Inc. | 4,402 | 49,523 | ||||||
American Vanguard Corp. | 1,070 | 14,991 | ||||||
AptarGroup, Inc. | 2,098 | 152,420 | ||||||
Ashland, Inc. | 2,396 | 246,069 | ||||||
Avery Dennison Corp. | 80,830 | 5,064,808 | ||||||
Axiall Corp. | 2,815 | 43,351 | ||||||
Bemis, Inc. | 3,586 | 160,258 | ||||||
Berry Plastics Group, Inc. (1) | 2,006 | 72,577 | ||||||
Boise Cascade Co. (1) | 256 | 6,536 | ||||||
Cabot Corp. | 2,737 | 111,889 | ||||||
Calgon Carbon Corp. | 87,921 | 1,516,637 | ||||||
Carpenter Technology Corp. | 93,368 | 2,826,249 | ||||||
Century Alum Co. (1) | 1,882 | 8,318 | ||||||
Chase Corp. | 26 | 1,059 | ||||||
Cliffs Natural Resources, Inc. (1) | 6,524 | 10,308 | ||||||
Coeur Mining, Inc. (1) | 5,449 | 13,514 | ||||||
Commercial Metals Co. | 4,683 | 64,110 | ||||||
Constellium (1) | 543,275 | 4,183,218 | ||||||
Crown Holdings, Inc. (1) | 191,514 | 9,709,760 | ||||||
Domtar Corp. | 2,625 | 96,994 | ||||||
Eagle Materials, Inc. | 51,279 | 3,098,790 | ||||||
Flotek Industries, Inc. (1) | 2,160 | 24,710 | ||||||
FutureFuel Corp. | 977 | 13,190 | ||||||
Glatfelter | 98,384 | 1,814,201 | ||||||
Graphic Packaging Holding Co. | 368,368 | 4,726,161 | ||||||
Greif, Inc. | 1,246 | 38,389 | ||||||
Handy & Harman Ltd. (1) | 88 | 1,805 | ||||||
Hawkins, Inc. | 368 | 13,163 | ||||||
Haynes International, Inc. | 475 | 17,428 | ||||||
HB Fuller Co. | 65,295 | 2,381,309 |
Table of Contents
Hecla Mining Co. | 15,006 | 28,361 | ||||||
Horsehead Holding Corp. (1) | 2,264 | 4,641 | ||||||
Huntsman Corp. | 3,020 | 34,337 | ||||||
Innophos Holdings, Inc. | 830 | 24,053 | ||||||
Innospec, Inc. | 1,082 | 58,763 | ||||||
International Paper Co. | 32,537 | 1,226,645 | ||||||
Intrepid Potash, Inc. (1) | 2,336 | 6,891 | ||||||
Kaiser Aluminum Corp. | 478 | 39,990 | ||||||
Kraton Performance Polymers, Inc. (1) | 1,264 | 20,995 | ||||||
Kronos Worldwide, Inc. | 828 | 4,670 | ||||||
Louisiana-Pacific Corp. (1) | 445 | 8,015 | ||||||
LSB Industries, Inc. (1) | 498 | 3,611 | ||||||
Martin Marietta Materials, Inc. | 2,409 | 329,021 | ||||||
Materion Corp. | 800 | 22,400 | ||||||
Methanex Corp. | 21,811 | 719,981 | ||||||
Minerals Technologies, Inc. | 39,770 | 1,823,852 | ||||||
Multi Packaging Solutions International Ltd. (1) | 503 | 8,727 | ||||||
Neenah Paper, Inc. | 308 | 19,228 | ||||||
Olin Corp. | 4,010 | 69,213 | ||||||
Olympic Steel, Inc. | 314 | 3,636 | ||||||
Omnova Solutions, Inc. (1) | 754 | 4,622 | ||||||
Owens-Illinois, Inc. (1) | 6,320 | 110,094 | ||||||
Packaging Corporation of America | 80,042 | 5,046,648 | ||||||
Platform Specialty Products Corp. (1) | 4,449 | 57,081 | ||||||
Polyone Corp. | 30,383 | 964,964 | ||||||
Quaker Chemical Corp. | 163 | 12,593 | ||||||
Rayonier Advanced Materials, Inc. | 1,596 | 15,625 | ||||||
Real Industry, Inc. (1) | 350 | 2,811 | ||||||
Reliance Steel & Aluminum Co. | 61,817 | 3,579,823 | ||||||
Royal Gold, Inc. | 2,509 | 91,503 | ||||||
Ryerson Holding Corp. (1) | 344 | 1,607 | ||||||
Schnitzer Steel Industries, Inc. | 1,066 | 15,318 | ||||||
Schweitzer-Mauduit International, Inc. | 1,018 | 42,746 | ||||||
Scotts Miracle-Gro Co. | 182 | 11,741 | ||||||
Sensient Technologies Corp. | 30,968 | 1,945,410 | ||||||
Sonoco Products Co. | 4,197 | 171,531 | ||||||
Steel Dynamics, Inc. | 49,682 | 887,817 | ||||||
Stepan Co. | 399 | 19,826 | ||||||
Stillwater Mining Co. (1) | 3,292 | 28,212 | ||||||
Suncoke Energy, Inc. | 832 | 2,887 | ||||||
Tahoe Resources, Inc. | 5,617 | 48,699 | ||||||
The Mosaic Co. | 37,843 | 1,044,088 | ||||||
The Valspar Corp. | 37,269 | 3,091,464 | ||||||
TimkenSteel Corp. | 1,618 | 13,559 | ||||||
Tredegar Corp. | 790 | 10,760 | ||||||
Tronox Ltd. | 2,613 | 10,217 | ||||||
United States Lime & Minerals, Inc. | 73 | 4,012 | ||||||
United States Steel Corp. | 5,848 | 46,667 | ||||||
Valhi, Inc. | 368 | 493 | ||||||
Wausau Paper Corp. | 238 | 2,435 | ||||||
WestRock Co. | 85,927 | 3,919,990 | ||||||
Worthington Industries, Inc. | 1,491 | 44,939 | ||||||
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62,471,586 | ||||||||
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Table of Contents
Telecommunication Services - 0.64% | ||||||||
8×8, Inc. (1) | 2,296 | 26,289 | ||||||
Atlantic Tele Network, Inc. | 28,750 | 2,249,113 | ||||||
Boingo Wireless, Inc. (1) | 665 | 4,402 | ||||||
Cincinnati Bell, Inc. (1) | 8,443 | 30,395 | ||||||
Consolidated Communications Holdings, Inc. | 716 | 15,000 | ||||||
Frontier Communications Corp. | 48,702 | 227,438 | ||||||
Globalstar, Inc. (1) | 19,085 | 27,482 | ||||||
Hawaiian Telcom Holdco, Inc. (1) | 427 | 10,615 | ||||||
IDT Corp. | 587 | 6,844 | ||||||
Incontact, Inc. (1) | 307 | 2,929 | ||||||
Inteliquent, Inc. | 791 | 14,056 | ||||||
Intelsat S.A. (1) | 843 | 3,507 | ||||||
Iridium Communications, Inc. (1) | 3,461 | 29,107 | ||||||
Lumos Networks Corp. (1) | 114 | 1,277 | ||||||
NTELOS Holdings Corp. (1) | 677 | 6,188 | ||||||
ORBCOMM, Inc. (1) | 2,214 | 16,029 | ||||||
pdvWireless, Inc. (1) | 157 | 4,318 | ||||||
RingCentral, Inc. (1) | 98,125 | 2,313,788 | ||||||
Shenandoah Telecommunications Company | 168 | 7,232 | ||||||
Spok Holdings, Inc. | 951 | 17,422 | ||||||
Telephone & Data Systems, Inc. | 4,063 | 105,191 | ||||||
United States Cellular Corp. (1) | 526 | 21,466 | ||||||
Vonage Holdings Corp. (1) | 6,724 | 38,596 | ||||||
Windstream Holdings, Inc. | 261 | 1,681 | ||||||
Zayo Group Holdings, Inc. (1) | 776 | 20,634 | ||||||
|
| |||||||
5,200,999 | ||||||||
|
| |||||||
Utilities - 4.07% | ||||||||
Abengoa Yield Plc | 1,948 | 37,577 | ||||||
AES Corp. | 116,616 | 1,116,015 | ||||||
AGL Resources, Inc. | 4,990 | 318,412 | ||||||
Allete, Inc. | 2,004 | 101,863 | ||||||
Alliant Energy Corp. | 46,136 | 2,881,193 | ||||||
Ameren Corp. | 37,260 | 1,610,750 | ||||||
American Electric Power Co., Inc. | 65,156 | 3,796,640 | ||||||
American States Water Co. | 1,425 | 59,779 | ||||||
American Water Works Co., Inc. | 7,458 | 445,615 | ||||||
Aqua America, Inc. | 7,414 | 220,937 | ||||||
Artesian Resources Corp. | 335 | 9,279 | ||||||
Atlantic Power Corp. | 4,602 | 9,066 | ||||||
Atmos Energy Corp. | 4,213 | 265,588 | ||||||
Avista Corp. | 2,563 | 90,653 | ||||||
Black Hills Corp. | 2,189 | 101,635 | ||||||
California Water Service Group | 1,913 | 44,516 | ||||||
Chesapeake Utilities Corp. | 614 | 34,844 | ||||||
Cleco Corp. | 2,480 | 129,481 | ||||||
CMS Energy Corp. | 11,518 | 415,569 | ||||||
Connecticut Water Services, Inc. | 438 | 16,648 | ||||||
Consolidated Water Co., Inc. | 570 | 6,977 | ||||||
Dynegy, Inc. (1) | 5,139 | 68,863 | ||||||
Edison International | 58,414 | 3,458,693 | ||||||
El Paso Electric Co. | 1,639 | 63,102 | ||||||
Empire District Electric Co. | 1,969 | 55,270 | ||||||
FirstEnergy Corp. | 44,174 | 1,401,641 | ||||||
Genie Energy Ltd. | 383 | 4,270 | ||||||
Great Plains Energy, Inc. | 81,133 | 2,215,742 | ||||||
Hawaiian Electric Industries, Inc. | 4,531 | 131,172 |
Table of Contents
IDACORP, Inc. | 2,106 | 143,208 | ||||||
ITC Holdings Corp. | 4,089 | 160,493 | ||||||
Laclede Group, Inc. | 1,843 | 109,493 | ||||||
MDU Resources Group, Inc. | 8,342 | 152,825 | ||||||
MGE Energy, Inc. | 55,188 | 2,560,723 | ||||||
Middlesex Water Co. | 653 | 17,331 | ||||||
National Fuel Gas Co. | 3,506 | 149,882 | ||||||
New Jersey Resources Corp. | 3,526 | 116,217 | ||||||
Northwest Natural Gas Co. | 1,118 | 56,582 | ||||||
Northwestern Corp. | 1,982 | 107,524 | ||||||
NRG Yield, Inc. | 2,471 | 36,472 | ||||||
NRG Yield, Inc. | 1,430 | 19,891 | ||||||
OGE Energy Corp. | 8,324 | 218,838 | ||||||
One Gas, Inc. | 56,145 | 2,816,795 | ||||||
Ormat Technologies, Inc. | 865 | 31,547 | ||||||
Otter Tail Corp. | 1,499 | 39,918 | ||||||
Pattern Energy Group, Inc. | 2,221 | 46,441 | ||||||
Pepco Holdings, Inc. | 10,575 | 275,056 | ||||||
PG&E Corp. | 26,474 | 1,408,152 | ||||||
Piedmont Natural Gas Company, Inc. | 3,281 | 187,083 | ||||||
Pinnacle West Capital Corp. | 4,611 | 297,317 | ||||||
PNM Resources, Inc. | 3,209 | 98,099 | ||||||
Portland General Electric Co. | 49,421 | 1,797,442 | ||||||
Questar Corp. | 7,389 | 143,938 | ||||||
SCANA Corp. | 5,939 | 359,250 | ||||||
SJW Corp. | 621 | 18,413 | ||||||
South Jersey Industries, Inc. | 2,781 | 65,409 | ||||||
Southwest Gas Corp. | 1,997 | 110,155 | ||||||
Spark Energy, Inc. | 70 | 1,450 | ||||||
Talen Energy Corp. (1) | 3,319 | 20,677 | ||||||
TECO Energy, Inc. | 9,790 | 260,904 | ||||||
Terraform Global, Inc. | 1,454 | 8,128 | ||||||
TerraForm Power, Inc. | 2,199 | 27,663 | ||||||
UGI Corp. | 7,126 | 240,574 | ||||||
Unitil Corp. | 599 | 21,492 | ||||||
Vectren Corp. | 3,428 | 145,416 | ||||||
Vivint Solar, Inc. (1) | 319 | 3,050 | ||||||
Westar Energy, Inc. | 39,945 | 1,694,067 | ||||||
WGL Holdings, Inc. | 2,107 | 132,720 | ||||||
York Water Co. | 449 | 11,198 | ||||||
|
| |||||||
33,223,623 | ||||||||
|
| |||||||
Total Common Stocks (Cost $846,603,658) | $ | 792,194,274 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.69% | ||||||||
Money Market Funds - 2.69% | ||||||||
Goldman Sachs Financial Square Funds - Government Fund - Class I, 0.18% | 10,962,435 | $ | 10,962,435 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.12% | 10,962,435 | 10,962,435 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $21,924,870) | $ | 21,924,870 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.85% | $ | 814,119,144 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.15% | 1,242,698 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 815,361,842 | ||||||
|
|
(1) | Non-income producing security. |
Table of Contents
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
Table of Contents
Open Futures Contracts
Number of Contracts Purchased | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | ||||||||||||
2 | E-Mini Russell 2000 Index Futures | Morgan Stanley | Mar. 2016 | $ | 226,689 | $ | 226,300 | $ | (389 | ) | ||||||||
2 | E-Mini S&P 400 Index Futures | Morgan Stanley | Mar. 2016 | 277,734 | 278,700 | 966 | ||||||||||||
|
| |||||||||||||||||
$ | 577 | |||||||||||||||||
|
|
Table of Contents
Bridge Builder International Equity Fund
Schedule of Investments
December 31, 2015 (Unaudited)
Shares | Value | |||||||
Common Stocks - 95.14% | ||||||||
Australia - 2.60% | ||||||||
AGL Energy | 6,352 | $ | 83,117 | |||||
ALS Ltd. | 4,808 | 13,085 | ||||||
Alumina Ltd. | 3,946,928 | 3,293,868 | ||||||
Amcor Ltd. | 8,954 | 86,990 | ||||||
AMP Ltd. | 25,308 | 106,634 | ||||||
Ansell Ltd. | 1,148 | 17,791 | ||||||
APA Group | 7,557 | 47,551 | ||||||
Aristocrat Leisure Ltd. | 4,633 | 34,209 | ||||||
Asciano Ltd. | 9,199 | 58,484 | ||||||
ASX Ltd. | 2,111 | 64,946 | ||||||
Aurizon Holdings Ltd. | 18,344 | 58,235 | ||||||
AusNet Services | 14,559 | 15,673 | ||||||
Australia & New Zealand Banking Group Ltd. | 22,535 | 454,751 | ||||||
Bank of Queensland Ltd. | 4,475 | 45,142 | ||||||
Bendigo & Adelaide Bank Ltd. | 2,783 | 24,072 | ||||||
BHP Billiton Ltd. | 25,697 | 330,708 | ||||||
Boral Ltd. | 6,259 | 26,761 | ||||||
Brambles Ltd. | 657,075 | 5,502,926 | ||||||
Caltex Australia Ltd. | 739 | 20,200 | ||||||
Challenger Ltd. | 4,299 | 27,094 | ||||||
CIMIC Group Ltd. | 858 | 15,051 | ||||||
Coca-Cola Amatil Ltd. | 4,404 | 29,696 | ||||||
Cochlear Ltd. | 171,303 | 11,854,398 | ||||||
Commonwealth Bank of Australia | 13,837 | 855,464 | ||||||
Computershare Ltd. | 2,975 | 25,033 | ||||||
Crown Resorts Ltd. | 2,511 | 22,695 | ||||||
CSL Ltd. | 145,737 | 11,110,919 | ||||||
Dexus Property Group | 5,184 | 28,119 | ||||||
Flight Centre Travel Group Ltd. | 722 | 20,823 | ||||||
Fortescue Metals Group Ltd. | 15,653 | 21,065 | ||||||
Goodman Group | 14,283 | 64,723 | ||||||
GPT Group | 16,503 | 57,153 | ||||||
Harvey Norman Holdings Ltd. | 3,530 | 10,671 | ||||||
Healthscope Ltd. | 19,155 | 36,912 | ||||||
Iluka Resources Ltd. | 2,224 | 9,838 | ||||||
Incitec Pivot Ltd. | 9,959 | 28,457 | ||||||
Insurance Australia Group Ltd. | 20,586 | 82,673 | ||||||
Lend Lease Group | 5,510 | 56,850 | ||||||
Macquarie Group Ltd. | 2,763 | 165,291 | ||||||
Medibank Private Ltd. | 23,943 | 37,335 | ||||||
Mesoblast Ltd. (1) | 589,686 | 788,370 | ||||||
Mirvac Group | 30,126 | 43,126 | ||||||
National Australia Bank Ltd. | 20,813 | 454,177 | ||||||
Newcrest Mining Ltd. (1) | 6,385 | 60,416 | ||||||
Orica Ltd. | 3,305 | 37,028 | ||||||
Origin Energy Ltd. | 14,526 | 49,137 | ||||||
Platinum Asset Management Ltd. | 856 | 5,002 | ||||||
Qantas Airways Ltd. | 5,767 | 17,094 |
Table of Contents
QBE Insurance Group Ltd. | 580,464 | 5,279,412 | ||||||
Ramsay Health Care Ltd. | 766 | 37,666 | ||||||
REA Group Ltd. | 408 | 16,233 | ||||||
Rio Tinto Ltd. | 3,456 | 111,765 | ||||||
Santos Ltd. | 13,086 | 34,854 | ||||||
Scentre Group | 42,004 | 127,404 | ||||||
Seek Ltd. | 545,074 | 6,066,748 | ||||||
Sonic Healthcare Ltd. | 3,914 | 50,675 | ||||||
South32 Ltd. (1) | 35,471 | 27,249 | ||||||
Stockland | 22,133 | 65,701 | ||||||
Suncorp Group Ltd. | 10,153 | 89,143 | ||||||
Sydney Airport | 5,923 | 27,259 | ||||||
Tabcorp Holdings Ltd. | 5,430 | 18,488 | ||||||
Tatts Group Ltd. | 9,644 | 30,618 | ||||||
Telstra Corp Ltd. | 33,511 | 136,178 | ||||||
The Star Entertainment Group | 6,617 | 24,281 | ||||||
TPG Telecom Ltd. | 2,256 | 16,152 | ||||||
Transurban Group | 16,465 | 124,804 | ||||||
Treasury Wine Estates Ltd. | 953,572 | 5,725,370 | ||||||
Vicinity Centres | 33,276 | 67,506 | ||||||
Wesfarmers Ltd. | 8,782 | 264,760 | ||||||
Westfield Corp. | 17,480 | 120,261 | ||||||
Westpac Banking Corp. | 26,526 | 642,983 | ||||||
Whitehaven Coal Ltd. (1) | 2,127,663 | 1,073,898 | ||||||
Woodside Petroleum Ltd. | 6,507 | 135,566 | ||||||
Woolworths Ltd. | 10,201 | 180,991 | ||||||
WorleyParsons Ltd. | 2,936 | 9,849 | ||||||
|
| |||||||
56,805,567 | ||||||||
|
| |||||||
Austria - 0.01% | ||||||||
ams AG | 421 | 14,073 | ||||||
Andritz AG | 463 | 22,534 | ||||||
Erste Group Bank AG (1) | 2,500 | 78,226 | ||||||
EVN AG | 179 | 2,040 | ||||||
IMMOFINANZ AG (1) | 7,476 | 16,981 | ||||||
Mayr Melnhof Karton AG | 247 | 30,735 | ||||||
Oesterreichische Post AG | 268 | 9,784 | ||||||
OMV AG | 1,154 | 32,757 | ||||||
Raiffeisen Bank International AG (1) | 1,113 | 16,311 | ||||||
Strabag SE | 363 | 9,283 | ||||||
UNIQA Insurance Group AG | 1,331 | 10,846 | ||||||
Verbund AG | 1,000 | 12,889 | ||||||
voestalpine AG | 809 | 24,746 | ||||||
|
| |||||||
281,205 | ||||||||
|
| |||||||
Belgium - 0.57% | ||||||||
Ackermans | 151 | 22,183 | ||||||
Ageas | 1,830 | 84,938 | ||||||
Anheuser-Busch InBev SA/NV | 94,861 | 11,805,253 | ||||||
bpost SA | 990 | 24,292 | ||||||
Cie d’Entreprises CFE | 200 | 23,697 | ||||||
Colruyt SA | 346 | 17,799 | ||||||
Delhaize Group | 932 | 90,709 | ||||||
D’ieteren SA/NV | 471 | 17,590 | ||||||
Elia System Operator SA/NV | 356 | 16,552 | ||||||
Financiere de Tubize SA | 27 | 1,994 | ||||||
Groupe Bruxelles Lambert SA | 444 | 37,992 |
Table of Contents
KBC Groep NV | 2,472 | 154,566 | ||||||
Proximus | 1,399 | 45,525 | ||||||
Sofina SA | 100 | 11,223 | ||||||
Solvay SA | 453 | 48,349 | ||||||
Telenet Group Holding NV (1) | 439 | 23,726 | ||||||
UCB SA | 1,120 | 101,095 | ||||||
Umicore SA | 600 | 25,162 | ||||||
|
| |||||||
12,552,645 | ||||||||
|
| |||||||
Bermuda - 0.38% | ||||||||
Hiscox Ltd. | 1,921 | 29,783 | ||||||
Lazard Ltd. | 184,150 | 8,288,591 | ||||||
|
| |||||||
8,318,374 | ||||||||
|
| |||||||
Brazil - 0.75% | ||||||||
Ambev SA - ADR | 1,835,760 | 8,187,490 | ||||||
Kroton Educacional SA | 3,433,530 | 8,212,838 | ||||||
|
| |||||||
16,400,328 | ||||||||
|
| |||||||
Canada - 1.24% | ||||||||
Cameco Corp. | 639,172 | 7,880,991 | ||||||
Canadian Pacific Railway Ltd. | 70,295 | 8,969,642 | ||||||
Constellation Software, Inc. (1) | 21,400 | 8,921,899 | ||||||
InterOil Corp. (1) | 138 | 4,336 | ||||||
Potash Corp of Saskatchewan, Inc. | 77,100 | 1,319,952 | ||||||
|
| |||||||
27,096,820 | ||||||||
|
| |||||||
Chile - 0.20% | ||||||||
Sociedad Quimica y Minera de Chile SA - ADR | 231,951 | 4,409,389 | ||||||
|
| |||||||
China - 3.16% | ||||||||
Alibaba Group Holding Ltd. - ADR (1) | 244,296 | 19,853,936 | ||||||
Baidu, Inc. - ADR (1) | 123,223 | 23,294,076 | ||||||
Ctrip.com International Ltd. - ADR (1) | 321,417 | 14,891,250 | ||||||
JD.com, Inc. - ADR (1) | 183,123 | 5,908,463 | ||||||
Tsingtao Brewery Co. Ltd. | 1,143,000 | 5,148,915 | ||||||
|
| |||||||
69,096,640 | ||||||||
|
| |||||||
Curacoa - 0.00% (2) | ||||||||
HAL Trust | 115 | 20,583 | ||||||
|
| |||||||
Denmark - 3.83% | ||||||||
A.P. Moller-Maersk A/S - Class A | 25 | 32,193 | ||||||
A.P. Moller-Maersk A/S - Class B | 41 | 53,476 | ||||||
Carlsberg A/S | 119,334 | 10,572,000 | ||||||
CHR Hansen Holding A/S | 195,406 | 12,222,723 | ||||||
Coloplast A/S | 145,595 | 11,754,927 | ||||||
D/S Norden A/S (1) | 35,610 | 631,397 | ||||||
Danske Bank A/S | 5,324 | 142,855 | ||||||
DSV A/S | 1,520 | 59,833 | ||||||
FLSmidth & Co. A/S | 306 | 10,632 | ||||||
Genmab A/S (1) | 579 | 76,986 | ||||||
GN Store Nord A/S | 941 | 17,078 | ||||||
H Lundbeck A/S (1) | 604 | 20,624 | ||||||
ISS A/S | 939 | 33,848 | ||||||
Jyske Bank A/S (1) | 512 | 23,159 | ||||||
Novo Nordisk A/S - Class B | 304,459 | 17,627,631 | ||||||
Novo Nordisk A/S - ADR | 259,460 | 15,069,437 | ||||||
Novozymes A/S | 315,942 | 15,126,952 | ||||||
Pandora A/S | 968 | 122,049 |
Table of Contents
Rockwool International A/S | 203 | 28,534 | ||||||
TDC A/S | 8,492 | 42,282 | ||||||
Topdanmark A/S (1) | 723 | 20,542 | ||||||
Tryg A/S | 907 | 18,023 | ||||||
Vestas Wind Systems A/S | 1,675 | 116,980 | ||||||
William Demant Holding A/S (1) | 170 | 16,193 | ||||||
|
| |||||||
83,840,354 | ||||||||
|
| |||||||
Finland - 1.01% | ||||||||
Amer Sports Corp. | 970 | 28,320 | ||||||
Cargotec OYJ | 378 | 14,101 | ||||||
Elisa OYJ | 1,092 | 41,087 | ||||||
Fortum OYJ | 4,344 | 65,449 | ||||||
Huhtamaki OYJ | 845 | 30,663 | ||||||
Kesko OYJ - Class A | 322 | 10,890 | ||||||
Kesko OYJ - Class B | 641 | 22,469 | ||||||
Kone OYJ | 156,155 | 6,611,804 | ||||||
Metso OYJ | 667 | 14,941 | ||||||
Neste OYJ | 1,019 | 30,413 | ||||||
Nokia Corp. | 2,102,112 | 14,871,515 | ||||||
Nokian Renkaat OYJ | 975 | 34,809 | ||||||
Orion OYJ - Class A | 396 | 13,675 | ||||||
Orion OYJ- Class B | 657 | 22,731 | ||||||
Outokumpu OYJ (1) | 1,072 | 3,140 | ||||||
Sampo OYJ | 3,943 | 200,236 | ||||||
Stora Enso OYJ | 4,441 | 40,156 | ||||||
UPM-Kymmene OYJ | 3,966 | 73,630 | ||||||
Wartsila OYJ Abp | 960 | 43,832 | ||||||
|
| |||||||
22,173,861 | ||||||||
|
| |||||||
France - 4.00% | ||||||||
Accor SA | 241,267 | 10,449,318 | ||||||
Aeroports de Paris | 270 | 31,420 | ||||||
Air France-KLM (1) | 2,486 | 18,924 | ||||||
Air Liquide SA | 2,765 | 310,419 | ||||||
Alcatel-Lucent (1) | 22,747 | 89,868 | ||||||
Alstom (1) | 2,119 | 64,725 | ||||||
Amundi (1) | 299 | 14,031 | ||||||
Arkema SA | 521 | 36,469 | ||||||
Atos SE | 801 | 67,246 | ||||||
AXA SA | 17,161 | 468,902 | ||||||
BioMerieux | 1,133 | 135,196 | ||||||
BNP Paribas SA | 234,388 | 13,261,117 | ||||||
Bollore SA | 7,713 | 35,940 | ||||||
Bouygues SA | 1,903 | 75,456 | ||||||
Bureau Veritas SA | 2,445 | 48,733 | ||||||
Cap Gemini SA | 1,294 | 120,065 | ||||||
Carrefour SA | 5,896 | 170,157 | ||||||
Casino Guichard Perrachon SA | 483 | 22,189 | ||||||
Christian Dior SE | 410 | 69,644 | ||||||
Cie de Saint-Gobain | 197,340 | 8,551,829 | ||||||
CNP Assurances | 802 | 10,819 | ||||||
Credit Agricole SA | 9,261 | 109,134 | ||||||
Danone SA | 130,132 | 8,793,520 | ||||||
Dassault Systemes | 1,129 | 90,242 | ||||||
Edenred | 2,115 | 39,980 | ||||||
Eiffage SA | 206 | 13,313 |
Table of Contents
Electricite de France SA | 1,916 | 28,218 | ||||||
Elior | 640 | 13,408 | ||||||
Engie | 12,355 | 218,848 | ||||||
Eramet (1) | 470 | 15,047 | ||||||
Essilor International SA | 1,702 | 212,132 | ||||||
Euler Hermes Group | 137 | 13,190 | ||||||
Eurazeo SA | 296 | 20,415 | ||||||
Eurofins Scientific SE | 57 | 19,883 | ||||||
Eutelsat Communications SA | 1,373 | 41,108 | ||||||
Faurecia | 320 | 12,822 | ||||||
Financiere de L’Odet | 13 | 13,509 | ||||||
Fonciere Des Regions | 482 | 43,111 | ||||||
Gecina SA | 318 | 38,660 | ||||||
Groupe Eurotunnel SE | 4,399 | 54,729 | ||||||
Havas SA | 1,496 | 12,588 | ||||||
ICADE | 168 | 11,276 | ||||||
Iliad SA | 187 | 44,577 | ||||||
Imerys SA | 238 | 16,625 | ||||||
Ingenico Group | 401 | 50,615 | ||||||
Ipsen SA | 255 | 16,896 | ||||||
JCDecaux SA | 451 | 17,289 | ||||||
Kering | 608 | 103,953 | ||||||
Klepierre | 1,774 | 78,854 | ||||||
Korian SA | 45 | 1,646 | ||||||
Legrand SA | 78,039 | 4,414,321 | ||||||
L’Oreal SA | 1,940 | 326,319 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 55,877 | 8,776,661 | ||||||
Metropole Television SA | 777 | 13,362 | ||||||
Natixis SA | 7,929 | 44,855 | ||||||
Numericable-SFR SAS | 791 | 28,736 | ||||||
Orange SA | 15,938 | 266,576 | ||||||
Orpea | 364 | 29,144 | ||||||
Pernod Ricard SA | 1,896 | 216,229 | ||||||
Peugeot SA (1) | 4,123 | 72,272 | ||||||
Plastic Omnium SA | 678 | 21,552 | ||||||
Publicis Groupe SA | 1,552 | 103,201 | ||||||
Remy Cointreau SA | 26,236 | 1,879,172 | ||||||
Renault SA | 1,586 | 158,752 | ||||||
Rexel SA | 2,941 | 39,162 | ||||||
Safran SA | 2,728 | 187,422 | ||||||
Sanofi | 135,215 | 11,523,322 | ||||||
Sartorius Stedim B | 33 | 12,658 | ||||||
Schneider Electric SE | 4,409 | 250,450 | ||||||
SCOR SE | 1,549 | 57,960 | ||||||
SEB SA | 126 | 12,935 | ||||||
Societe BIC SA | 156 | 25,671 | ||||||
Societe Generale SA | 6,382 | 294,098 | ||||||
Societe Television Francaise | 666 | 7,395 | ||||||
Sodexo SA | 849 | 82,945 | ||||||
Suez Environnement Co. | 3,789 | 70,867 | ||||||
Technip SA | 747 | 37,149 | ||||||
Teleperformance | 485 | 40,783 | ||||||
Thales SA | 986 | 73,802 | ||||||
TOTAL SA | 294,020 | 13,181,397 | ||||||
Unibail-Rodamco SE | 805 | 204,416 |
Table of Contents
Valeo SA | 713 | 109,927 | ||||||
Vallourec SA | 752 | 7,001 | ||||||
Veolia Environnement SA | 3,807 | 90,325 | ||||||
Vicat | 22 | 1,323 | ||||||
Vinci SA | 4,369 | 280,032 | ||||||
Vivendi SA | 9,453 | 203,024 | ||||||
Wendel SA | 192 | 22,834 | ||||||
Zodiac Aerospace | 1,983 | 47,216 | ||||||
|
| |||||||
87,413,321 | ||||||||
|
| |||||||
Germany - 6.37% | ||||||||
Adidas AG | 75,744 | 7,351,682 | ||||||
Allianz SE | 34,314 | 6,048,837 | ||||||
Aurubis AG | 254 | 12,862 | ||||||
Axel Springer SE | 423 | 23,523 | ||||||
BASF SE | 7,484 | 570,120 | ||||||
Bayer AG | 104,507 | 13,051,989 | ||||||
Bayer Motoren Werke AG | 2,721 | 286,663 | ||||||
Bayer Motoren Werke AG - Preference | 445 | 37,231 | ||||||
Beiersdorf AG | 43,740 | 3,975,610 | ||||||
Bilfinger SE | 226 | 10,621 | ||||||
Brenntag AG | 127,069 | 6,621,316 | ||||||
Commerzbank AG (1) | 1,089,415 | 11,241,275 | ||||||
Continental AG | 865 | 209,253 | ||||||
Covestro Ag (1) | 800 | 29,242 | ||||||
CTS Eventim AG & Co. KGaA | 365 | 14,472 | ||||||
Daimler AG | 81,668 | 6,823,725 | ||||||
Deutsche Bank AG | 11,111 | 269,828 | ||||||
Deutsche Boerse AG | 1,449 | 127,370 | ||||||
Deutsche Lufthansa AG (1) | 1,528 | 24,068 | ||||||
Deutsche Post AG | 7,762 | 217,010 | ||||||
Deutsche Telekom AG | 519,410 | 9,328,991 | ||||||
Deutsche Wohnen AG | 3,044 | 84,173 | ||||||
Duerr AG | 141 | 11,190 | ||||||
E.ON SE | 1,232,963 | 11,838,983 | ||||||
Evonik Industries AG | 420 | 13,892 | ||||||
Fielmann AG | 200 | 14,747 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 235 | 14,987 | ||||||
Freenet AG | 1,091 | 36,816 | ||||||
Fresenius Medical Care AG & Co. KGaA | 156,954 | 13,189,632 | ||||||
Fresenius SE & Co. KGaA | 3,080 | 219,396 | ||||||
FUCHS PETROLUB SE | 308 | 12,592 | ||||||
FUCHS PETROLUB SE - Preferred | 304 | 14,314 | ||||||
GEA Group AG | 1,569 | 63,389 | ||||||
Hannover Rueck SE | 635 | 72,511 | ||||||
HeidelbergCement AG | 1,278 | 104,154 | ||||||
Hella KGaA Hueck & Co. | 66 | 2,741 | ||||||
Henkel AG & Co. KGaA | 827 | 79,105 | ||||||
Henkel AG & Co. KGaA - Preference | 1,422 | 158,699 | ||||||
HOCHTIEF AG | 155 | 14,376 | ||||||
HUGO BOSS AG | 655 | 54,044 | ||||||
Infineon Technologies AG | 1,001,764 | 14,604,508 | ||||||
K&S AG | 1,800 | 45,884 | ||||||
Kabel Deutschland Holding AG | 153 | 18,905 | ||||||
KION Group AG | 367 | 18,199 | ||||||
Krones AG | 117 | 13,932 |
Table of Contents
LANXESS AG | 745 | 34,283 | ||||||
LEG Immobilien AG | 358 | 29,177 | ||||||
Linde AG | 1,550 | 223,912 | ||||||
MAN SE | 223 | 22,410 | ||||||
Merck KGaA | 1,011 | 97,886 | ||||||
METRO AG | 1,120 | 35,680 | ||||||
MTU Aero Engines AG | 415 | 40,448 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,332 | 265,385 | ||||||
OSRAM Licht AG | 661 | 27,616 | ||||||
Porsche Automobil Holding SE | 1,063 | 57,208 | ||||||
ProSiebenSat.1 Media SE | 1,690 | 85,263 | ||||||
Rheinmetall AG | 310 | 20,606 | ||||||
RHOEN-KLINIKUM AG | 801 | 24,029 | ||||||
Rocket Internet SE (1) | 698 | 21,264 | ||||||
RWE AG | 414,592 | 5,226,949 | ||||||
Salzgitter AG | 464 | 11,339 | ||||||
SAP SE | 156,340 | 12,406,143 | ||||||
Sartorius AG | 25 | 6,533 | ||||||
Schaeffler Ag (1) | 611 | 10,790 | ||||||
Siemens AG | 6,791 | 657,005 | ||||||
Software AG | 751 | 21,405 | ||||||
STADA Arzneimittel AG | 786 | 31,696 | ||||||
Suedzucker AG | 1,169 | 23,170 | ||||||
Symrise AG | 1,400 | 92,678 | ||||||
Talanx AG | 51 | 1,569 | ||||||
Telefonica Deutschland Holding AG | 3,646 | 19,232 | ||||||
ThyssenKrupp AG | 288,658 | 5,722,204 | ||||||
TUI AG | 4,371 | 78,960 | ||||||
United Internet AG | 756 | 41,564 | ||||||
Volkswagen AG | 260 | 39,954 | ||||||
Vonovia SE | 3,867 | 119,464 | ||||||
Wacker Chemie AG | 16 | 1,338 | ||||||
Wirecard AG | 760 | 37,989 | ||||||
Zalando SE (1) | 170,880 | 6,748,846 | ||||||
|
| |||||||
139,260,852 | ||||||||
|
| |||||||
Greece - 0.03% | ||||||||
Diana Shipping, Inc. (1) | 124,580 | 541,923 | ||||||
Star Bulk Carriers Corp. (1) | 238,822 | 144,511 | ||||||
|
| |||||||
686,434 | ||||||||
|
| |||||||
Hong Kong - 4.57% | ||||||||
1st Pacific Co. | 16,000 | 10,599 | ||||||
AIA Group Ltd. | 97,600 | 583,168 | ||||||
Bank Of East Asia Ltd. | 11,200 | 41,546 | ||||||
BOC Hong Kong Holdings Ltd. | 1,090,500 | 3,318,415 | ||||||
Brightoil Petroleum Holdings Ltd. | 54,000 | 18,005 | ||||||
Cathay Pacific Airways Ltd. | 8,000 | 13,765 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 6,000 | 55,433 | ||||||
China Mobile Ltd. | 494,000 | 5,560,516 | ||||||
Chinese Estates Holdings Ltd. | 5,000 | 16,751 | ||||||
CK Hutchison Holdings Ltd. | 977,500 | 13,139,485 | ||||||
CLP Holdings Ltd. | 15,000 | 127,140 | ||||||
Dairy Farm International Holdings Ltd. | 3,300 | 20,022 | ||||||
Esprit Holdings Ltd. | 15,800 | 17,392 | ||||||
Galaxy Entertainment Group Ltd. | 4,579,000 | 14,347,483 | ||||||
Global Brands Group Holding Ltd. (1) | 74,000 | 14,013 |
Table of Contents
Goldin Financial Holdings Ltd. (1) | 18,000 | 35,241 | ||||||
Goldin Properties Holdings Ltd. (1) | 2,000 | 2,296 | ||||||
Guoco Group Ltd. | 3,000 | 32,768 | ||||||
Haitong International Securities | 18,000 | 10,976 | ||||||
Hang Lung Group Ltd. | 6,000 | 19,457 | ||||||
Hang Lung Properties Ltd. | 14,000 | 31,722 | ||||||
Hang Seng Bank Ltd. | 6,600 | 125,092 | ||||||
Henderson Land Development Co. Ltd. | 7,000 | 42,700 | ||||||
HK Electric Investments & HK Electric Investments Ltd. | 20,000 | 16,758 | ||||||
Hong Kong & China Gas Co. Ltd. | 61,000 | 119,379 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 8,700 | 221,631 | ||||||
Hongkong Land Holdings Ltd. | 10,700 | 74,716 | ||||||
Hopewell Holdings Ltd. | 3,500 | 12,539 | ||||||
Hysan Development Co. Ltd. | 6,000 | 24,514 | ||||||
Jardine Matheson Holdings Ltd. | 196,900 | 9,535,382 | ||||||
Jardine Strategic Holdings Ltd. | 1,300 | 35,435 | ||||||
Johnson Electric Holdings | 3,500 | 11,963 | ||||||
Kingston Financial Group Ltd. (1) | 26,000 | 10,962 | ||||||
Lenovo Group Ltd. | 12,842,000 | 12,960,063 | ||||||
Li & Fung Ltd. | 768,000 | 519,388 | ||||||
Link Real Estate Investment Trust | 20,500 | 122,219 | ||||||
L’Occitane International SA | 4,000 | 7,719 | ||||||
Melco Crown Entertainment Ltd. - ADR | 1,210 | 20,328 | ||||||
Melco International Development Ltd. | 2,000 | 2,988 | ||||||
MTR Corp. Ltd. | 12,000 | 59,254 | ||||||
New World Development Co. Ltd. | 33,000 | 32,404 | ||||||
Noble Group Ltd. | 30,800 | 8,609 | ||||||
Pacific Basin Shipping Ltd. | 2,836,000 | 620,707 | ||||||
PCCW Ltd. | 46,000 | 26,890 | ||||||
Power Assets Holdings Ltd. | 10,000 | 91,676 | ||||||
Samsonite International SA | 12,000 | 35,964 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd. | 6,997,187 | 4,784,524 | ||||||
Sino Land Co. Ltd. | 20,000 | 29,135 | ||||||
SJM Holdings Ltd. | 14,000 | 9,921 | ||||||
Sun Hung Kai Properties Ltd. | 8,000 | 96,157 | ||||||
Swire Pacific Ltd. - Class A | 1,094,000 | 12,220,113 | ||||||
Swire Pacific Ltd. - Class B | 7,500 | 15,259 | ||||||
Swire Properties Ltd. | 6,000 | 17,252 | ||||||
Techtronic Industries Co. Ltd. | 11,500 | 46,555 | ||||||
Tencent Holdings Ltd. | 1,038,800 | 20,339,690 | ||||||
VTech Holdings Ltd. | 2,000 | 20,708 | ||||||
WH Group Ltd. (1) | 43,500 | 24,211 | ||||||
Wharf Holdings Ltd. | 13,000 | 71,675 | ||||||
Wheelock & Co Ltd. | 5,000 | 20,981 | ||||||
Xinyi Glass Holdings Ltd. | 16,000 | 9,348 | ||||||
|
| |||||||
99,861,002 | ||||||||
|
| |||||||
India - 0.66% | ||||||||
HDFC Bank Ltd. - ADR | 107,555 | 6,625,388 | ||||||
Mahindra & Mahindra Ltd. - ADR | 403,763 | 7,715,858 | ||||||
|
| |||||||
14,341,246 | ||||||||
|
| |||||||
Indonesia - 0.48% | ||||||||
Bank Mandiri Persero Tbk PT | 15,976,000 | 10,608,703 | ||||||
|
| |||||||
Ireland - 1.63% | ||||||||
Bank Of Ireland (1) | 226,729 | 83,018 |
Table of Contents
CRH Plc | 6,626 | 191,088 | ||||||
Experian Plc | 558,410 | 9,869,625 | ||||||
Glanbia Plc | 1,441 | 26,528 | ||||||
Horizon Pharma Plc (1) | 1,398 | 30,295 | ||||||
James Hardie Industries Plc | 4,087 | 51,529 | ||||||
Kerry Group Plc | 1,294 | 107,066 | ||||||
Kingspan Group Plc | 671 | 17,691 | ||||||
Medtronic Plc | 155,510 | 11,961,829 | ||||||
Paddy Power Plc | 279 | 37,263 | ||||||
Perrigo Co. Plc | 61,430 | 8,888,921 | ||||||
Ryanair Holdings Plc - ADR | 45,903 | 3,968,773 | ||||||
Seagate Technology Plc | 2,250 | 82,485 | ||||||
Shire Plc | 4,785 | 328,288 | ||||||
Smurfit Kappa Group Plc | 1,911 | 48,943 | ||||||
Willis Group Holdings Plc | 1,306 | 63,433 | ||||||
|
| |||||||
35,756,775 | ||||||||
|
| |||||||
Isle Of Man - 0.00% (2) | ||||||||
Playtech Plc | 1,260 | 15,426 | ||||||
|
| |||||||
Israel - 0.20% | ||||||||
Azrieli Group | 323 | 12,033 | ||||||
Bank Hapoalim BM | 5,633 | 29,078 | ||||||
Bank Leumi Le-Israel BM (1) | 8,655 | 30,010 | ||||||
Bezeq The Israeli telecommunication Corp Ltd. | 23,888 | 52,586 | ||||||
Check Point Software Technologies Ltd. (1) | 1,269 | 103,271 | ||||||
Delek Group Ltd. | 43 | 8,611 | ||||||
Elbit Systems Ltd. | 60 | 5,282 | ||||||
Israel Chemicals Ltd. | 1,996 | 8,102 | ||||||
Mizrahi Tefahot Bank Ltd. | 443 | 5,291 | ||||||
NICE-Systems Ltd. | 395 | 22,697 | ||||||
Taro Pharmaceutical Industries Ltd. (1) | 61 | 9,427 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR | 54,200 | 3,557,688 | ||||||
Teva Pharmaceutical Industries Ltd. | 7,829 | 510,771 | ||||||
|
| |||||||
4,354,847 | ||||||||
|
| |||||||
Italy - 0.53% | ||||||||
A2A SpA | 13,647 | 18,479 | ||||||
Assicurazioni Generali SpA | 10,909 | 199,272 | ||||||
Atlantia SpA | 3,753 | 99,299 | ||||||
Autogrill SpA (1) | 1,039 | 9,902 | ||||||
Banca Generali SpA | 440 | 13,841 | ||||||
Banca Mediolanum (1) | 1,345 | 10,685 | ||||||
Banca Monte Dei Paschi di Siena SpA (1) | 21,068 | 27,890 | ||||||
Banca Popolare dell’Emilia Romagna SC | 5,137 | 38,965 | ||||||
Buzzi Unicem SpA | 831 | 14,896 | ||||||
Buzzi Unicem SpA - Savings Share | 2,718 | 30,020 | ||||||
Davide Campari-Milano SpA | 1,750 | 15,130 | ||||||
De’ Longhi | 1,266 | 37,817 | ||||||
Enel Green Power SpA | 12,177 | 24,751 | ||||||
Enel SpA | 57,505 | 241,137 | ||||||
Eni SpA | 622,130 | 9,243,781 | ||||||
EXOR SpA | 857 | 38,897 | ||||||
FinecoBank Banca Fineco SpA | 1,363 | 11,208 | ||||||
Hera SpA | 7,611 | 20,171 | ||||||
Infrastrutture Wireless Italiane SpA (1) | 1,954 | 10,654 | ||||||
Intesa Sanpaolo SpA | 129,113 | 428,787 |
Table of Contents
Intesa Sanpaolo SpA - Savings Share | 8,341 | 25,480 | ||||||
Luxottica Group SpA | 1,431 | 93,252 | ||||||
Mediaset SpA | 4,789 | 19,845 | ||||||
Mediobanca SpA | 6,888 | 66,029 | ||||||
Moncler SpA | 610 | 8,489 | ||||||
Parmalat SpA | 2,843 | 7,384 | ||||||
Poste Italiane SpA (1) | 3,945 | 30,439 | ||||||
Prada SpA | 2,900 | 9,018 | ||||||
Prysmian SpA | 1,805 | 39,438 | ||||||
Recordati SpA | 800 | 20,873 | ||||||
Saipem SpA (1) | 2,306 | 18,639 | ||||||
Salvatore Ferragamo SpA | 557 | 13,055 | ||||||
Snam SpA | 18,423 | 96,149 | ||||||
Telecom Italia SpA (1) | 85,302 | 108,105 | ||||||
Telecom Italia SpA - Savings Share | 47,720 | 48,977 | ||||||
Terna Rete Elettrica Nazionale SpA | 10,499 | 53,995 | ||||||
Tod’s SpA | 230 | 18,152 | ||||||
UniCredit SpA | 46,839 | 258,960 | ||||||
Unione di Banche Italiane SCpA | 7,853 | 52,470 | ||||||
Unipol Gruppo Finanziario SpA | 4,527 | 23,285 | ||||||
UnipolSai SpA | 9,559 | 24,319 | ||||||
|
| |||||||
11,571,935 | ||||||||
|
| |||||||
Japan - 18.64% | ||||||||
ABC-Mart, Inc. | 400 | 21,895 | ||||||
Acom Co. Ltd. | 6,400 | 30,138 | ||||||
Advance Residence Investment Corp. | 8 | 17,592 | ||||||
Advantest Corp. | 1,400 | 11,613 | ||||||
Aeon Co. Ltd. | 6,300 | 97,068 | ||||||
Aeon Financial Service Co. Ltd. | 600 | 13,403 | ||||||
Aeon Mall Co. Ltd. | 500 | 8,576 | ||||||
Air Water, Inc. | 1,000 | 16,083 | ||||||
Aisin Seiki Co. | 1,400 | 60,254 | ||||||
Ajinomoto Co, Inc. | 4,000 | 94,703 | ||||||
Alfresa Holdings | 1,500 | 29,625 | ||||||
Alps Electric Co. | 1,600 | 43,389 | ||||||
Amada Holdings Co. | 2,400 | 22,902 | ||||||
ANA Holdings, Inc. | 10,000 | 28,851 | ||||||
Aozora Bank | 11,000 | 38,388 | ||||||
Asahi Glass Co. Ltd. | 10,000 | 57,288 | ||||||
Asahi Group Holdings Ltd. | 242,500 | 7,591,320 | ||||||
Asahi Kasei Corp. | 9,000 | 60,859 | ||||||
Asics Corp. | 1,000 | 20,747 | ||||||
Astellas Pharma, Inc. | 16,600 | 236,314 | ||||||
Bandai Namco Holdings | 1,200 | 25,353 | ||||||
Bank of Kyoto Ltd. | 2,000 | 18,547 | ||||||
Bank of Yokohama Ltd. | 11,000 | 67,426 | ||||||
Benesse Holdings, Inc. | 500 | 14,399 | ||||||
Bridgestone Corp. | 5,900 | 202,378 | ||||||
Brother Industries Ltd. | 1,600 | 18,380 | ||||||
Calbee, Inc. | 400 | 16,892 | ||||||
Canon, Inc. | 316,200 | 9,565,060 | ||||||
Casio Computer Co. Ltd. | 2,200 | 51,429 | ||||||
Central Japan Railway Co. | 1,300 | 230,794 | ||||||
Century Tokyo Leasing Corp. | 400 | 14,289 | ||||||
Chiba Bank Ltd. | 6,000 | 42,577 |
Table of Contents
Chubu Electric Power Co., Inc. | 5,100 | 69,838 | ||||||
Chugai Pharmaceutical Co. Ltd. | 1,600 | 55,771 | ||||||
Chugoku Bank Ltd. | 800 | 10,675 | ||||||
Chugoku Electric Power Co., Inc. | 3,500 | 46,212 | ||||||
Citizen Holdings Co. Ltd. | 1,900 | 13,656 | ||||||
Credit Saison Co. Ltd. | 900 | 17,732 | ||||||
CYBERDYNE, Inc. | 200 | 3,370 | ||||||
Dai Nippon Printing Co. Ltd. | 4,000 | 39,555 | ||||||
Daicel Corp. | 2,200 | 32,740 | ||||||
Daihatsu Motor Co. Ltd. | 1,100 | 14,839 | ||||||
Dai-ichi Life Insurance Co. Ltd. | 8,400 | 139,757 | ||||||
Daiichi Sankyo Co. Ltd. | 4,900 | 101,135 | ||||||
Daikin Industries Ltd. | 2,400 | 174,774 | ||||||
Daito Trust Construction Co. Ltd. | 110,500 | 12,763,908 | ||||||
Daiwa House Industry Co. Ltd. | 4,400 | 126,484 | ||||||
Daiwa Securities Group, Inc. | 12,000 | 73,364 | ||||||
DeNA Co. Ltd. | 600 | 9,382 | ||||||
Denso Corp. | 124,400 | 5,944,516 | ||||||
Dentsu, Inc. | 1,900 | 103,953 | ||||||
Disco Corp. | 100 | 9,417 | ||||||
Don Quijote Holdings Co. Ltd. | 1,000 | 35,119 | ||||||
East Japan Railway Co. | 153,200 | 14,426,223 | ||||||
Eisai Co. Ltd. | 1,900 | 125,686 | ||||||
Electric Power Development Co. Ltd. | 2,200 | 78,357 | ||||||
Ezaki Glico Co. Ltd. | 300 | 16,207 | ||||||
FamilyMart Co. Ltd. | 500 | 23,267 | ||||||
FANUC Corp. | 1,600 | 275,664 | ||||||
Fast Retailing Co. Ltd. | 500 | 174,906 | ||||||
Fuji Electric Co. Ltd. | 3,000 | 12,582 | ||||||
Fuji Heavy Industries Ltd. | 4,600 | 189,503 | ||||||
FUJIFILM Holdings Corp. | 3,500 | 146,064 | ||||||
Fujitsu Ltd. | 16,000 | 79,858 | ||||||
Fukuoka Financial Group, Inc. | 5,000 | 24,793 | ||||||
GungHo Online Entertainment, Inc. | 1,300 | 3,532 | ||||||
Gunma Bank Ltd. | 2,000 | 11,628 | ||||||
Hachijuni Bank Ltd. | 3,000 | 18,360 | ||||||
Hakuhodo DY Holdings, Inc. | 1,700 | 18,393 | ||||||
Hamamatsu Photonics KK | 1,000 | 27,415 | ||||||
Hankyu Hanshin Holdings, Inc. | 9,000 | 58,499 | ||||||
Haseko Corp. | 2,000 | 22,113 | ||||||
Hikari Tsushin, Inc. | 200 | 13,620 | ||||||
Hino Motors Ltd. | 1,900 | 21,959 | ||||||
Hirose Electric Co. Ltd. | 200 | 24,214 | ||||||
Hiroshima Bank Ltd. | 3,000 | 17,051 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 500 | 20,991 | ||||||
Hitachi Chemical Co. Ltd. | 700 | 11,105 | ||||||
Hitachi Construction Machinery Co. Ltd. | 800 | 12,442 | ||||||
Hitachi High-Technologies Corp. | 600 | 16,226 | ||||||
Hitachi Ltd. | 39,000 | 220,989 | ||||||
Hitachi Metals Ltd. | 2,000 | 24,676 | ||||||
Hokuhoku Financial Group, Inc. | 11,000 | 22,424 | ||||||
Hokuriku Electric Power Co. | 2,000 | 29,557 | ||||||
Honda Motor Co. Ltd. | 381,200 | 12,183,739 | ||||||
Hoshizaki Electric Co. Ltd. | 700 | 43,516 | ||||||
Hoya Corp. | 3,500 | 143,124 |
Table of Contents
Hulic Co. Ltd. | 1,400 | 12,293 | ||||||
Ibiden Co. Ltd. | 800 | 11,469 | ||||||
Idemitsu Kosan Co. Ltd. | 700 | 11,177 | ||||||
IHI Corp. | 8,000 | 22,084 | ||||||
Iida Group Holdings Co. Ltd. | 800 | 14,827 | ||||||
Inpex Corp. | 7,300 | 71,167 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 2,200 | 28,690 | ||||||
Isuzu Motors Ltd. | 4,500 | 48,477 | ||||||
ITOCHU Corp. | 11,500 | 136,027 | ||||||
Iyo Bank Ltd. | 1,500 | 14,574 | ||||||
Izumi Co Ltd. | 300 | 11,647 | ||||||
J Front Retailing Co. Ltd. | 1,500 | 21,806 | ||||||
Japan Airport Terminal Co. Ltd. | 200 | 8,854 | ||||||
Japan Display, Inc. | 1,000 | 2,881 | ||||||
Japan Exchange Group, Inc. | 462,400 | 7,228,132 | ||||||
Japan Petroleum Exploration Co. Ltd. | 500 | 13,429 | ||||||
Japan Post Bank Co. | 3,200 | 46,591 | ||||||
Japan Post Holdings Co. | 3,900 | 60,514 | ||||||
Japan Post Insurance Co., Ltd. | 500 | 12,958 | ||||||
Japan Real Estate Investment Corp. | 13 | 63,086 | ||||||
Japan Retail Fund Investment Corp. | 15 | 28,858 | ||||||
Japan Tobacco, Inc. | 731,700 | 26,863,466 | ||||||
JFE Holdings, Inc. | 3,600 | 56,529 | ||||||
JGC Corp. | 2,000 | 30,612 | ||||||
Joyo Bank Ltd. | 5,000 | 23,644 | ||||||
JSR Corp. | 1,500 | 23,377 | ||||||
JTEKT Corp. | 1,200 | 19,642 | ||||||
JX Holdings, Inc. | 20,300 | 85,201 | ||||||
Kajima Corp. | 8,000 | 47,612 | ||||||
Kakaku.com, Inc. | 197,100 | 3,876,879 | ||||||
Kaken Pharmaceutical Co. Ltd. | 500 | 34,167 | ||||||
Kamigumi Co. Ltd. | 4,000 | 34,439 | ||||||
Kaneka Corp. | 2,000 | 20,788 | ||||||
Kansai Electric Power Co., Inc. | 6,100 | 73,138 | ||||||
Kansai Paint Co. Ltd. | 2,000 | 30,315 | ||||||
Kao Corp. | 384,700 | 19,769,251 | ||||||
Kawasaki Heavy Industries Ltd. | 8,000 | 29,599 | ||||||
KDDI Corp. | 463,200 | 12,029,394 | ||||||
Keihan Electric Railway Co. Ltd. | 3,000 | 20,092 | ||||||
Keikyu Corp. | 3,000 | 24,790 | ||||||
Keio Corp. | 4,000 | 34,543 | ||||||
Keisei Electric Railway Co. Ltd. | 2,000 | 25,517 | ||||||
Kewpie Corp. | 500 | 12,351 | ||||||
Keyence Corp. | 17,400 | 9,563,130 | ||||||
Kikkoman Corp. | 2,000 | 69,295 | ||||||
Kintetsu Group Holdings Co. Ltd. | 13,000 | 52,855 | ||||||
Kirin Holdings Co. Ltd. | 5,700 | 77,390 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 200 | 16,426 | ||||||
Kobe Steel Ltd. | 19,000 | 20,644 | ||||||
Koito Manufacturing Co. Ltd. | 600 | 24,604 | ||||||
Komatsu Ltd. | 6,100 | 99,811 | ||||||
Konami Corp. | 1,000 | 23,805 | ||||||
Konica Minolta, Inc. | 3,200 | 32,049 | ||||||
Kose Corp. | 200 | 18,492 | ||||||
Kubota Corp. | 8,000 | 123,589 |
Table of Contents
Kuraray Co. Ltd. | 4,200 | 50,874 | ||||||
Kurita Water Industries Ltd. | 600 | 12,565 | ||||||
Kyocera Corp. | 3,000 | 139,322 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 2,000 | 31,469 | ||||||
Kyushu Electric Power Co., Inc. | 2,800 | 30,517 | ||||||
Lawson, Inc. | 400 | 32,468 | ||||||
LIXIL Group Corp. | 2,000 | 44,419 | ||||||
M3, Inc. | 1,200 | 24,881 | ||||||
Mabuchi Motor Co. Ltd. | 400 | 21,678 | ||||||
Makita Corp. | 1,100 | 63,389 | ||||||
Marubeni Corp. | 12,500 | 64,264 | ||||||
Marui Group Co. Ltd. | 1,600 | 26,036 | ||||||
Mazda Motor Corp. | 3,900 | 80,476 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 1,000 | 21,747 | ||||||
Medipal Holdings Corp. | 1,600 | 27,270 | ||||||
MEIJI Holdings Co. Ltd. | 1,000 | 82,600 | ||||||
Minebea Co Ltd. | 2,000 | 17,124 | ||||||
MISUMI Group, Inc. | 1,800 | 24,865 | ||||||
Mitsubishi Chemical Holdings Corp. | 9,800 | 62,178 | ||||||
Mitsubishi Corp. | 655,000 | 10,894,694 | ||||||
Mitsubishi Electric Corp. | 15,000 | 157,453 | ||||||
Mitsubishi Estate Co. Ltd. | 9,000 | 187,140 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 2,000 | 10,227 | ||||||
Mitsubishi Heavy Industries Ltd. | 24,000 | 104,940 | ||||||
Mitsubishi Materials Corp. | 8,000 | 25,197 | ||||||
Mitsubishi Motors Corp. | 5,600 | 47,379 | ||||||
Mitsubishi Tanabe Pharma Corp. | 1,300 | 22,397 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 104,900 | 649,777 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 2,500 | 12,866 | ||||||
Mitsui & Co. Ltd. | 13,300 | 158,031 | ||||||
Mitsui Chemicals, Inc. | 8,000 | 35,480 | ||||||
Mitsui Fudosan Co. Ltd. | 7,000 | 175,685 | ||||||
Mitsui OSK Lines Ltd. | 8,000 | 20,178 | ||||||
Mixi, Inc. | 500 | 18,702 | ||||||
Mizuho Financial Group, Inc. | 189,900 | 379,800 | ||||||
MS&AD Insurance Group Holdings, Inc. | 436,400 | 12,797,288 | ||||||
Murata Manufacturing Co. Ltd. | 1,500 | 215,822 | ||||||
Nabtesco Corp. | 1,200 | 24,378 | ||||||
Nagoya Railroad Co. Ltd. | 7,000 | 29,135 | ||||||
Nankai Electric Railway Co. Ltd. | 2,000 | 11,837 | ||||||
NEC Corp. | 19,000 | 60,202 | ||||||
Nexon Co. Ltd. | 900 | 14,641 | ||||||
NGK Insulators Ltd. | 2,000 | 45,080 | ||||||
NGK Spark Plug Co. Ltd. | 1,000 | 26,328 | ||||||
NH Foods Ltd. | 1,000 | 19,600 | ||||||
NHK Spring Co. Ltd. | 1,200 | 12,032 | ||||||
Nidec Corp. | 1,700 | 123,277 | ||||||
Nikon Corp. | 2,100 | 28,126 | ||||||
Nintendo Co. Ltd. | 900 | 123,759 | ||||||
Nippon Building Fund, Inc. | 8 | 38,228 | ||||||
Nippon Electric Glass Co. Ltd. | 2,000 | 10,080 | ||||||
Nippon Express Co. Ltd. | 5,000 | 23,496 | ||||||
Nippon Paint Holdings Co. Ltd. | 900 | 21,782 | ||||||
Nippon Prologis Real Estate Investment Trust, Inc. | 6 | 10,854 | ||||||
Nippon Shokubai Co. Ltd. | 200 | 13,917 |
Table of Contents
Nippon Steel & Sumitomo Metal Corp. | 5,800 | 114,738 | ||||||
Nippon Telegraph & Telephone Corp. | 383,000 | 15,242,679 | ||||||
Nippon Yusen KK | 10,000 | 24,237 | ||||||
Nissan Chemical Industries Ltd. | 800 | 18,161 | ||||||
Nissan Motor Co. Ltd. | 18,400 | 192,662 | ||||||
Nisshin Seifun Group, Inc. | 2,000 | 32,669 | ||||||
Nissin Foods Holdings Co. Ltd. | 600 | 31,838 | ||||||
Nitori Holdings Co. Ltd. | 500 | 41,991 | ||||||
Nitto Denko Corp. | 1,200 | 87,607 | ||||||
NOK Corp. | 400 | 9,344 | ||||||
Nomura Holdings, Inc. | 2,318,300 | 12,913,059 | ||||||
Nomura Real Estate Holdings, Inc. | 1,500 | 27,828 | ||||||
Nomura Research Institute Ltd. | 880 | 33,795 | ||||||
NSK Ltd. | 3,200 | 34,771 | ||||||
NTN Corp. | 2,000 | 8,433 | ||||||
NTT Data Corp. | 1,400 | 67,685 | ||||||
NTT DOCOMO, Inc. | 243,700 | 4,998,677 | ||||||
NTT Urban Development Corp. | 1,600 | 15,373 | ||||||
Obayashi Corp. | 4,000 | 36,909 | ||||||
Obic Co. Ltd. | 300 | 15,880 | ||||||
Odakyu Electric Railway Co. Ltd. | 4,000 | 43,067 | ||||||
Oji Holdings Corp. | 7,000 | 28,133 | ||||||
Olympus Corp. | 223,900 | 8,814,645 | ||||||
Omron Corp. | 333,100 | 11,107,857 | ||||||
Ono Pharmaceutical Co. Ltd. | 800 | 142,649 | ||||||
Oracle Corp Japan | 800 | 37,248 | ||||||
Oriental Land Co. Ltd. | 1,400 | 84,695 | ||||||
ORIX Corp. | 11,000 | 154,313 | ||||||
Orix JREIT, Inc. | 21 | 27,217 | ||||||
Osaka Gas Co. Ltd. | 14,000 | 50,567 | ||||||
Otsuka Corp. | 400 | 19,649 | ||||||
Otsuka Holdings Co. Ltd. | 3,200 | 113,693 | ||||||
Panasonic Corp. | 1,086,900 | 11,018,463 | ||||||
Park24 Co. Ltd. | 700 | 16,959 | ||||||
Pigeon Corp. | 800 | 19,408 | ||||||
Pola Orbis Holdings, Inc. | 200 | 13,182 | ||||||
Rakuten, Inc. | 729,800 | 8,405,658 | ||||||
Recruit Holdings Co. Ltd. | 3,000 | 88,181 | ||||||
Resona Holdings, Inc. | 16,700 | 81,099 | ||||||
Ricoh Co. Ltd. | 5,100 | 52,514 | ||||||
Rinnai Corp. | 300 | 26,581 | ||||||
Rohm Co. Ltd. | 800 | 40,521 | ||||||
Ryohin Keikaku Co. Ltd. | 200 | 40,502 | ||||||
Sankyo Co. Ltd. | 300 | 11,198 | ||||||
Sanrio Co. Ltd. | 700 | 16,445 | ||||||
Santen Pharmaceutical Co. Ltd. | 2,600 | 42,805 | ||||||
SBI Holdings, Inc. | 1,900 | 20,503 | ||||||
Secom Co. Ltd. | 1,600 | 108,432 | ||||||
Sega Sammy Holdings, Inc. | 1,500 | 14,030 | ||||||
Seibu Holdings, Inc. | 1,100 | 22,465 | ||||||
Seiko Epson Corp. | 2,300 | 35,418 | ||||||
Sekisui Chemical Co. Ltd. | 3,100 | 40,474 | ||||||
Sekisui House Ltd. | 737,600 | 12,401,828 | ||||||
Seven & i Holdings Co. Ltd. | 6,500 | 297,600 | ||||||
Seven Bank Ltd. | 5,200 | 22,805 |
Table of Contents
Sharp Corp. | 7,000 | 7,220 | ||||||
Shikoku Electric Power Co., Inc. | 1,400 | 21,870 | ||||||
Shimadzu Corp. | 2,000 | 33,480 | ||||||
Shimamura Co. Ltd. | 300 | 35,133 | ||||||
Shimano, Inc. | 78,000 | 11,977,568 | ||||||
Shimizu Corp. | 6,000 | 48,925 | ||||||
Shin-Etsu Chemical Co. Ltd. | 2,900 | 157,661 | ||||||
Shinsei Bank Ltd. | 12,000 | 22,083 | ||||||
Shionogi & Co. Ltd. | 2,400 | 108,553 | ||||||
Shiseido Co. Ltd. | 371,000 | 7,697,746 | ||||||
Shizuoka Bank Ltd. | 4,000 | 38,792 | ||||||
Showa Shell Sekiyu KK | 1,500 | 12,240 | ||||||
SMC Corp. | 20,100 | 5,220,652 | ||||||
SoftBank Group Corp. | 7,400 | 373,481 | ||||||
Sohgo Security Services Co. Ltd. | 500 | 23,449 | ||||||
Sojitz Corp. | 5,600 | 11,752 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 2,600 | 85,370 | ||||||
Sony Corp. | 10,000 | 245,768 | ||||||
Sony Financial Holdings, Inc. | 1,100 | 19,676 | ||||||
Stanley Electric Co. Ltd. | 600 | 13,163 | ||||||
Sugi Holdings Co. Ltd. | 74,200 | 4,093,816 | ||||||
Sumco Corp. | 900 | 6,790 | ||||||
Sumitomo Chemical Co. Ltd. | 12,000 | 68,917 | ||||||
Sumitomo Corp. | 9,900 | 100,934 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 1,100 | 12,960 | ||||||
Sumitomo Electric Industries Ltd. | 924,900 | 13,060,357 | ||||||
Sumitomo Heavy Industries Ltd. | 5,000 | 22,414 | ||||||
Sumitomo Metal Mining Co. Ltd. | 3,000 | 36,417 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 419,700 | 15,839,918 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 3,770,000 | 14,278,240 | ||||||
Sumitomo Realty & Development Co. Ltd. | 4,000 | 114,171 | ||||||
Sumitomo Rubber Industries Ltd. | 700 | 9,102 | ||||||
Sundrug Co. Ltd. | 200 | 12,859 | ||||||
Suntory Beverage & Food Ltd. | 1,400 | 61,287 | ||||||
Suruga Bank Ltd. | 2,200 | 45,339 | ||||||
Suzuken Co. Ltd. | 700 | 26,602 | ||||||
Suzuki Motor Corp. | 2,300 | 69,883 | ||||||
Sysmex Corp. | 220,900 | 14,169,561 | ||||||
T&D Holdings, Inc. | 4,800 | 63,329 | ||||||
Taiheiyo Cement Corp. | 6,000 | 17,522 | ||||||
Taisei Corp. | 7,000 | 46,109 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 400 | 28,250 | ||||||
Taiyo Nippon Sanso Corp. | 1,600 | 14,470 | ||||||
Takashimaya Co. Ltd. | 208,000 | 1,873,142 | ||||||
Takeda Pharmaceutical Co. Ltd. | 259,400 | 12,933,546 | ||||||
TDK Corp. | 1,000 | 64,044 | ||||||
Teijin Ltd. | 7,000 | 23,855 | ||||||
Terumo Corp. | 2,700 | 83,682 | ||||||
THK Co. Ltd. | 349,500 | 6,477,663 | ||||||
Tobu Railway Co. Ltd. | 8,000 | 39,459 | ||||||
Toho Co. Ltd. | 1,000 | 27,672 | ||||||
Toho Gas Co. Ltd. | 2,000 | 12,916 | ||||||
Tohoku Electric Power Co., Inc. | 3,300 | 41,254 | ||||||
Tokio Marine Holdings, Inc. | 261,900 | 10,115,790 | ||||||
Tokyo Electric Power Co., Inc. | 10,900 | 62,765 |
Table of Contents
Tokyo Electron Ltd. | 1,500 | 90,877 | ||||||
Tokyo Gas Co. Ltd. | 19,000 | 89,277 | ||||||
Tokyo Tatemono Co. Ltd. | 1,300 | 14,149 | ||||||
Tokyu Corp. | 9,000 | 71,122 | ||||||
Tokyu Fudosan Holdings Corp. | 3,100 | 19,430 | ||||||
TonenGeneral Sekiyu KK | 3,000 | 25,326 | ||||||
Toppan Printing Co. Ltd. | 4,000 | 36,853 | ||||||
Toray Industries, Inc. | 12,000 | 111,510 | ||||||
Toshiba Corp. | 27,000 | 55,491 | ||||||
Tosoh Corp. | 3,000 | 15,432 | ||||||
TOTO Ltd. | 1,000 | 35,132 | ||||||
Toyo Seikan Group Holdings Ltd. | 1,300 | 24,114 | ||||||
Toyo Suisan Kaisha Ltd. | 400 | 13,941 | ||||||
Toyoda Gosei Co Ltd. | 600 | 13,630 | ||||||
Toyota Boshoku Corp. | 800 | 16,102 | ||||||
Toyota Industries Corp. | 1,500 | 80,210 | ||||||
Toyota Motor Corp. | 274,900 | 16,928,073 | ||||||
Toyota Tsusho Corp. | 1,100 | 25,732 | ||||||
Trend Micro, Inc. | 800 | 32,462 | ||||||
Tsuruha Holdings, Inc. | 300 | 25,994 | ||||||
Unicharm Corp. | 306,500 | 6,259,243 | ||||||
United Urban Investment Corp. | 33 | 44,799 | ||||||
USS Co. Ltd. | 2,500 | 37,565 | ||||||
West Japan Railway Co. | 1,300 | 89,860 | ||||||
Yahoo Japan Corp. | 11,000 | 44,714 | ||||||
Yakult Honsha Co. Ltd. | 800 | 39,156 | ||||||
Yamada Denki Co. Ltd. | 3,200 | 13,822 | ||||||
Yamaguchi Financial Group, Inc. | 1,000 | 11,847 | ||||||
Yamaha Corp. | 1,000 | 24,154 | ||||||
Yamaha Motor Co. Ltd. | 2,200 | 49,314 | ||||||
Yamato Holdings Co. Ltd. | 2,500 | 52,970 | ||||||
Yamazaki Baking Co. Ltd. | 1,000 | 22,486 | ||||||
Yaskawa Electric Corp. | 1,900 | 25,853 | ||||||
Yokogawa Electric Corp. | 2,000 | 24,052 | ||||||
Yokohama Rubber Co. Ltd. | 700 | 10,750 | ||||||
|
| |||||||
407,652,538 | ||||||||
|
| |||||||
Jersey - 0.00% (2) | ||||||||
Randgold Resources Ltd. | 698 | 43,002 | ||||||
|
| |||||||
Luxembourg - 0.01% | ||||||||
APERSAM SA (1) | 338 | 12,018 | ||||||
ArcelorMittal | 6,355 | 26,813 | ||||||
Millicom International Cellular SA | 592 | 33,969 | ||||||
Regus Plc | 5,586 | 27,447 | ||||||
RTL Group SA | 266 | 22,151 | ||||||
SES SA | 2,524 | 69,940 | ||||||
Subsea 7 SA (1) | 2,000 | 14,156 | ||||||
Tenaris SA | 3,654 | 43,268 | ||||||
|
| |||||||
249,762 | ||||||||
|
| |||||||
Macau - 0.00% (2) | ||||||||
Sands China Ltd. | 18,800 | 63,736 | ||||||
MGM China Holdings Ltd. | 8,000 | 9,943 | ||||||
Wynn Macau Ltd. | 11,200 | 13,012 | ||||||
|
| |||||||
86,691 | ||||||||
|
|
Table of Contents
Mexico - 0.86% | ||||||||
America Movil SAB de CV - ADR | 591,060 | 8,310,303 | ||||||
Wal-Mart de Mexico SAB de CV | 4,119,818 | 10,398,450 | ||||||
|
| |||||||
18,708,753 | ||||||||
|
| |||||||
Netherlands - 3.51% | ||||||||
Aalberts Industries NV | 902 | 31,079 | ||||||
Aegon NV | 11,728 | 66,328 | ||||||
Aercap Holdings NV (1) | 431 | 18,602 | ||||||
Airbus Group SE | 4,608 | 310,523 | ||||||
Akzo Nobel NV | 2,167 | 144,797 | ||||||
Altice NV - Class A (1) | 2,273 | 32,657 | ||||||
Altice NV - Class B (1) | 1,306 | 19,036 | ||||||
ASM International NV | 359 | 14,074 | ||||||
ASML Holding NV | 2,789 | 247,808 | ||||||
Boskalis Westminster | 565 | 23,048 | ||||||
CNH Industrial NV | 8,751 | 59,935 | ||||||
Core Laboratories NV | 98,137 | 10,671,417 | ||||||
Delta Lloyd NV | 1,586 | 9,349 | ||||||
Euronext NV | 496 | 25,449 | ||||||
Fiat Chrysler Automobiles NV (1) | 6,514 | 90,466 | ||||||
Fugro NV (1) | 379 | 6,216 | ||||||
Gemalto NV | 657 | 39,422 | ||||||
Heineken Holding NV | 894 | 68,826 | ||||||
Heineken NV | 1,766 | 150,494 | ||||||
ING Groep NV | 30,900 | 418,080 | ||||||
Koninklijke Ahold NV | 474,849 | 10,016,255 | ||||||
Koninklijke DSM NV | 1,347 | 67,546 | ||||||
Koninklijke KPN NV | 27,254 | 103,085 | ||||||
Koninklijke Philips NV | 7,271 | 185,588 | ||||||
Koninklijke Vopak NV | 456 | 19,638 | ||||||
Mobileye NV (1) | 1,437 | 60,756 | ||||||
NN Group NV | 1,281 | 45,198 | ||||||
NXP Semiconductors NV (1) | 2,370 | 199,673 | ||||||
OCI NV (1) | 590 | 14,568 | ||||||
PostNL NV (1) | 3,190,347 | 12,100,855 | ||||||
QIAGEN (1) | 32,239 | 891,408 | ||||||
QIAGEN NV (1) | 133,190 | 3,610,026 | ||||||
Randstad Holding NV | 1,162 | 72,360 | ||||||
RELX NV | 7,261 | 122,294 | ||||||
Royal Dutch Shell Plc - Class A | 855,781 | 19,517,963 | ||||||
SBM Offshore NV (1) | 1,161 | 14,667 | ||||||
Sensata Technologies Holding NV (1) | 229,976 | 10,592,695 | ||||||
STMicroelectronics NV | 5,598 | 37,654 | ||||||
TNT Express NV | 3,804 | 32,178 | ||||||
Unilever NV | 12,817 | 558,620 | ||||||
VimpelCom Ltd. - ADR | 301 | 987 | ||||||
Wolters Kluwer NV | 2,970 | 99,744 | ||||||
Yandex NV (1) | 375,809 | 5,907,717 | ||||||
|
| |||||||
76,719,081 | ||||||||
|
| |||||||
Netherlands Antilles - 0.40% | ||||||||
Schlumberger Ltd. | 126,750 | 8,840,812 | ||||||
|
| |||||||
New Zealand - 0.01% | ||||||||
Auckland International Airport Ltd. | 4,338 | 17,018 | ||||||
Contact Energy Ltd. | 3,673 | 11,888 | ||||||
Fletcher Building Ltd. | 5,797 | 29,051 |
Table of Contents
Fonterra Co-operative Group Ltd. | 3,246 | 13,281 | ||||||
Meridian Energy Ltd. | 9,364 | 15,271 | ||||||
Mighty River Power Ltd. | 8,829 | 16,753 | ||||||
Ryman Healthcare Ltd. | 2,638 | 15,310 | ||||||
Spark New Zealand Ltd. | 12,082 | 27,204 | ||||||
Xero Ltd. (1) | 136 | 1,837 | ||||||
|
| |||||||
147,613 | ||||||||
|
| |||||||
Norway - 0.19% | ||||||||
DNB ASA | 8,001 | 98,582 | ||||||
Gjensidige Forsikring ASA | 1,495 | 23,928 | ||||||
Kongsberg Gruppen ASA | 1,646 | 26,902 | ||||||
Marine Harvest ASA | 2,175 | 29,264 | ||||||
Norsk Hydro ASA | 980,798 | 3,645,725 | ||||||
Orkla ASA | 8,216 | 64,815 | ||||||
Schibsted ASA - Class A | 195 | 6,411 | ||||||
Schibsted ASA - Class B (1) | 737 | 23,488 | ||||||
Statoil ASA | 9,741 | 135,855 | ||||||
Telenor ASA | 5,057 | 84,293 | ||||||
TGS Nopec Geophysical Co. ASA | 859 | 13,673 | ||||||
Yara International ASA | 1,641 | 70,577 | ||||||
|
| |||||||
4,223,513 | ||||||||
|
| |||||||
Philippines - 0.11% | ||||||||
Puregold Price Club, Inc. | 3,216,500 | 2,371,959 | ||||||
|
| |||||||
Portugal - 0.24% | ||||||||
Banco BPI SA (1) | 10,428 | 12,341 | ||||||
Banco Comercial Portugues SA (1) | 373,989 | 19,819 | ||||||
Galp Energia SGPS SA | 2,181 | �� | 25,450 | |||||
Jeronimo Martins SGPS SA | 403,549 | 5,251,162 | ||||||
NOS SGPS SA | 2,990 | 23,525 | ||||||
Portucel SA | 3,254 | 12,655 | ||||||
Sonae SGPS SA | 9,072 | 10,310 | ||||||
|
| |||||||
5,355,262 | ||||||||
|
| |||||||
Republic of Korea - 1.27% | ||||||||
Samsung Electronic Co. Ltd. | 8,278 | 8,829,168 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 38,061 | 9,949,383 | ||||||
SK Hynix, Inc. | 349,308 | 9,023,659 | ||||||
|
| |||||||
27,802,210 | ||||||||
|
| |||||||
Russia - 0.00% (2) | ||||||||
X5 Retail Group NV - GDR (1) | 619 | 11,730 | ||||||
|
| |||||||
Singapore - 1.14% | ||||||||
Ascendas Real Estate Investment Trust | 12,800 | 20,514 | ||||||
CapitaLand Commercial Trust Ltd. | 24,100 | 22,865 | ||||||
CapitaLand Ltd. | 17,700 | 41,604 | ||||||
CapitaLand Mall Trust | 18,100 | 24,560 | ||||||
City Developments Ltd. | 3,600 | 19,366 | ||||||
ComfortDelGro Corp. Ltd. | 12,800 | 27,408 | ||||||
DBS Group Holdings Ltd. | 13,800 | 161,729 | ||||||
Flextronics International Ltd (1) | 5,863 | 65,724 | ||||||
Frasers Centrepoint Ltd. | 9,500 | 11,235 | ||||||
Genting Singapore Plc | 46,800 | 25,252 | ||||||
Global Logistic Properties Ltd. | 35,100 | 53,007 | ||||||
Golden Agri-Resources Ltd. | 90,200 | 21,545 | ||||||
Hutchison Port Holdings Trust | 38,800 | 20,503 |
Table of Contents
Jardine Cycle & Carriage Ltd. | 800 | 19,558 | ||||||
Keppel Corp. Ltd. | 16,100 | 73,548 | ||||||
Neptune Orient Lines Ltd. (1) | 22,500 | 19,430 | ||||||
Olam International Ltd. | 5,500 | 7,048 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 25,600 | 158,270 | ||||||
SATS Ltd. | 4,700 | 12,713 | ||||||
Sembcorp Industries Ltd. | 4,800 | 10,289 | ||||||
Sembcorp Marine Ltd. | 6,600 | 8,121 | ||||||
SIA Engineering Co. Ltd. | 10,200 | 26,571 | ||||||
Singapore Airlines Ltd. | 2,500 | 19,699 | ||||||
Singapore Exchange Ltd. | 4,900 | 26,501 | ||||||
Singapore Post Ltd. | 27,200 | 31,402 | ||||||
Singapore Press Holdings Ltd. | 4,600 | 12,750 | ||||||
Singapore Technologies Engineering Ltd. | 12,100 | 25,578 | ||||||
Singapore Telecommunications Ltd. | 2,721,800 | 7,017,522 | ||||||
StarHub Ltd. | 4,500 | 11,711 | ||||||
Suntec Real Estate Investment Trust | 11,500 | 12,524 | ||||||
United Industrial Corp. Ltd. | 13,000 | 26,405 | ||||||
United Overseas Bank Ltd. | 1,225,500 | 16,895,742 | ||||||
UOL Group Ltd. | 4,000 | 17,531 | ||||||
Wilmar International Ltd. | 10,900 | 22,490 | ||||||
|
| |||||||
24,970,715 | ||||||||
|
| |||||||
South Africa - 0.90% | ||||||||
Clicks Group Ltd. | 713,930 | 4,110,173 | ||||||
Naspers Ltd. | 88,488 | 12,094,923 | ||||||
Shoprite Holdings Ltd. | 366,435 | 3,395,778 | ||||||
|
| |||||||
19,600,874 | ||||||||
|
| |||||||
Spain - 2.18% | ||||||||
Abengoa SA | 2,005 | 425 | ||||||
Abertis Infraestructuras SA | 5,534 | 86,549 | ||||||
Acciona SA | 202 | 17,298 | ||||||
Acerinox SA | 1,520 | 15,504 | ||||||
ACS Actividades Co. | 2,045 | 59,832 | ||||||
Aena SA (1) | 640 | 73,286 | ||||||
Almirall SA | 377 | 7,620 | ||||||
Amadeus IT Holding SA | 3,509 | 154,659 | ||||||
Atresmedia Corp. | 940 | 10,013 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 52,058 | 380,379 | ||||||
Banco de Sabadell SA | 46,846 | 83,025 | ||||||
Banco Popular Espanol SA | 15,685 | 51,681 | ||||||
Banco Santander | 926,178 | 4,556,238 | ||||||
Bankia SA | 49,191 | 57,245 | ||||||
Bankinter SA | 5,518 | 39,130 | ||||||
CaixaBank SA | 18,772 | 65,338 | ||||||
Cellnex Telecom SAU | 1,495 | 27,952 | ||||||
Corp. Financiera Alba SA | 217 | 9,365 | ||||||
Distribuidora Internacional de Alimentacion SA | 1,145,771 | 6,757,901 | ||||||
Ebro Foods SA | 735 | 14,458 | ||||||
EDP Renovaveis SA | 5,423 | 42,655 | ||||||
Endesa SA | 2,506 | 50,345 | ||||||
Ferrovial SA | 4,101 | 92,737 | ||||||
Gamesa Corp Tecnologica SA | 2,079 | 35,593 | ||||||
Gas Natural SDG SA | 2,573 | 52,469 | ||||||
Grifols SA | 1,318 | 60,921 | ||||||
Grupo Catalana Occidente SA | 486 | 16,848 |
Table of Contents
Iberdrola SA | 1,648,386 | 11,685,426 | ||||||
Industria de Diseno Textil SA | 422,675 | 14,520,709 | ||||||
Mapfre SA | 8,564 | 21,437 | ||||||
Mediaset Espana Comunicacion SA | 1,906 | 20,737 | ||||||
Prosegur Cia de Seguridad SA | 2,360 | 10,869 | ||||||
Repsol SA | 7,660 | 84,331 | ||||||
Sacyr SA | 5,158 | 10,127 | ||||||
Tecnicas Reunidas SA | 507 | 19,170 | ||||||
Telefonica SA | 765,230 | 8,489,451 | ||||||
Zardoya Otis SA | 1,705 | 19,941 | ||||||
|
| |||||||
47,701,664 | ||||||||
|
| |||||||
Sweden - 2.74% | ||||||||
Alfa Laval AB | 2,526 | 46,115 | ||||||
Assa Abloy AB | 8,023 | 167,943 | ||||||
Atlas Copco AB - Class A | 374,657 | 9,188,390 | ||||||
Atlas Copco AB - Class B | 3,345 | 76,903 | ||||||
BillerudKorsnas AB | 1,090 | 20,172 | ||||||
Boliden AB | 2,740 | 45,906 | ||||||
Electrolux AB | 2,511 | 60,584 | ||||||
Elekta AB | 2,002 | 17,011 | ||||||
Fastighets AB Balder (1) | 776 | 19,104 | ||||||
Getinge AB | 1,784 | 46,732 | ||||||
Hennes & Mauritz AB | 7,196 | 255,964 | ||||||
Hexagon AB | 1,579 | 58,412 | ||||||
Hexpol AB | 1,535 | 16,459 | ||||||
Holmen AB | 417 | 12,880 | ||||||
Hufvudstaden AB | 1,824 | 25,785 | ||||||
Husqvarna AB - Class A | 2,876 | 18,919 | ||||||
Husqvarna AB - Class B | 3,316 | 21,884 | ||||||
ICA Gruppen AB | 372 | 13,510 | ||||||
Investment AB Kinnevik | 449,158 | 13,834,643 | ||||||
Investment AB Latour | 646 | 23,802 | ||||||
Investor AB | 187,390 | 6,886,617 | ||||||
L E Lundbergforetagen AB | 300 | 16,528 | ||||||
Lundin Petroleum AB (1) | 1,514 | 21,846 | ||||||
Meda AB | 1,926 | 24,281 | ||||||
Modern Times Group MTG AB | 103,997 | 2,655,436 | ||||||
NCC AB - Class A | 63 | 1,961 | ||||||
NCC AB - Class B | 605 | 18,769 | ||||||
Nibe Industrier AB | 613 | 20,593 | ||||||
Nordea Bank AB | 25,986 | 285,112 | ||||||
Ratos AB | 235 | 1,356 | ||||||
Saab AB | 600 | 18,478 | ||||||
Sandvik AB | 8,564 | 74,652 | ||||||
Securitas AB | 2,835 | 43,350 | ||||||
Skandinaviska Enskilda Banken AB | 11,186 | 117,638 | ||||||
Skanska AB | 3,144 | 60,973 | ||||||
SKF AB | 3,617 | 58,419 | ||||||
SSAB AB - Class A (1) | 2,792 | 7,418 | ||||||
SSAB AB - Class B (1) | 361 | 807 | ||||||
Svenska Cellulosa AB SCA | 5,133 | 148,755 | ||||||
Svenska Handelsbanken AB | 869,274 | 11,545,249 | ||||||
Swedbank AB | 8,634 | 190,152 | ||||||
Swedish Match AB | 124,931 | 4,414,737 | ||||||
Swedish Orphan Biovitrum AB (1) | 477 | 7,566 |
Table of Contents
Tele2 AB | 2,509 | 25,021 | ||||||
Telefonaktiebolaget LM Ericsson - Class A | 1,255 | 11,726 | ||||||
Telefonaktiebolaget LM Ericsson - Class B | 22,353 | 215,512 | ||||||
TeliaSonera AB | 1,811,132 | 8,993,873 | ||||||
Trelleborg AB | 2,758 | 53,527 | ||||||
Volvo AB | 13,954 | 129,389 | ||||||
|
| |||||||
60,020,859 | ||||||||
|
| |||||||
Switzerland - 8.91% | ||||||||
ABB Ltd. | 1,173,411 | 20,942,588 | ||||||
ACE Ltd. | 122,125 | 14,270,307 | ||||||
Actelion Ltd. | 926 | 128,662 | ||||||
Adecco SA | 1,028 | 70,359 | ||||||
Allreal Holding AG | 105 | 14,006 | ||||||
Alpiq Holding AG | 338 | 35,501 | ||||||
Aryzta AG | 608 | 30,758 | ||||||
Baloise Holding AG | 340 | 43,091 | ||||||
Banque Catonale Vaudoise | 15 | 9,516 | ||||||
Barry Callebaut AG | 9 | 9,776 | ||||||
Basellandschaftliche Kantonalbank | 2 | 1,775 | ||||||
Berner Ktbk | 44 | 8,391 | ||||||
Bucher Industries AG | 53 | 11,945 | ||||||
Chocoladefabriken Lindt & Spruengli AG - PC | 7 | 43,713 | ||||||
Chocoladefabriken Lindt & Spruengli AG - REG | 1 | 74,501 | ||||||
Cie Financiere Richemont SA | 77,160 | 5,522,568 | ||||||
Clariant AG | 2,076 | 39,363 | ||||||
Credit Suisse Group AG | 15,109 | 325,478 | ||||||
DKSH Holding AG | 352 | 22,139 | ||||||
Dufry AG (1) | 284 | 33,791 | ||||||
EMS-Chemie Holding AG | 54 | 23,765 | ||||||
Flughafen Zuerich AG | 36 | 27,011 | ||||||
Galenica AG | 25 | 39,114 | ||||||
GAM Holding AG | 1,529 | 25,309 | ||||||
Geberit AG | 356 | 120,578 | ||||||
Georg Fischer AG | 29 | 19,688 | ||||||
Givaudan SA | 76 | 137,937 | ||||||
Glencore Plc | 91,449 | 121,183 | ||||||
Graubuendner Kantonalbank | 9 | 15,806 | ||||||
Helvetia Holding AG | 48 | 27,039 | ||||||
Julius Baer Group Ltd. | 1,627 | 78,710 | ||||||
Kuehne & Nagel International AG | 368 | 50,416 | ||||||
LafargeHolcim Ltd. | 3,357 | 168,101 | ||||||
Lonza Group AG | 424 | 68,957 | ||||||
Luzerner Kantonalbank AG | 16 | 6,009 | ||||||
Nestle SA | 609,773 | 45,266,653 | ||||||
Novartis AG | 275,346 | 23,685,064 | ||||||
Novartis AG - Sponsored ADR | 112,880 | 9,712,195 | ||||||
OC Oerlikon Corp. AG | 1,593 | 14,180 | ||||||
Panalpina Welttransport Holding AG | 109 | 12,169 | ||||||
Partners Group Holding AG | 129 | 46,393 | ||||||
PSP Swiss Property AG | 262 | 22,975 | ||||||
Roche Holding AG - BR | 217 | 59,991 | ||||||
Roche Holding AG - Genusschein | 92,962 | 25,760,552 | ||||||
Schindler Holding AG | 38,312 | 6,409,557 | ||||||
SFS Group AG | 473 | 33,057 | ||||||
SGS SA | 4,787 | 9,097,696 |
Table of Contents
Sika AG | 18 | 65,048 | ||||||
Sonova Holding AG | 519 | 65,941 | ||||||
St Galler Kantonalbank AG | 13 | 4,688 | ||||||
Straumann Holding AG | 39 | 11,837 | ||||||
Sulzer AG | 37,066 | 3,483,967 | ||||||
Sunrise Communications Group AG (1) | 165 | 9,726 | ||||||
Swatch Group AG - BR | 12,567 | 4,364,079 | ||||||
Swatch Group AG - REG | 262 | 17,693 | ||||||
Swiss Life Holding AG | 309 | 83,229 | ||||||
Swiss Prime Site | 550 | 42,953 | ||||||
Swiss Re AG | 2,725 | 266,141 | ||||||
Swisscom AG | 220 | 110,089 | ||||||
Syngenta AG | 30,914 | 12,099,836 | ||||||
TE Connectivity Ltd | 3,248 | 209,853 | ||||||
Transocean Ltd. | 2,224 | 27,801 | ||||||
UBS Group AG | 29,295 | 568,308 | ||||||
Wolseley Plc | 2,008 | 109,061 | ||||||
Zurich Insurance Group AG | 41,771 | 10,730,970 | ||||||
|
| |||||||
194,959,553 | ||||||||
|
| |||||||
Taiwan, Province of China - 2.04% | ||||||||
Delta Electronics, Inc. - ADR | 114,583 | 2,696,023 | ||||||
Hon Hai Precision Industry Co. Ltd. - ADR | 1,315,448 | 6,670,627 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 1,551,641 | 35,299,833 | ||||||
|
| |||||||
44,666,483 | ||||||||
|
| |||||||
Thailand - 0.68% | ||||||||
Bangkok Bank Plc | 2,705,400 | 11,413,901 | ||||||
Thai Beverage Plc | 6,968,800 | 3,383,080 | ||||||
|
| |||||||
14,796,981 | ||||||||
|
| |||||||
United Kingdom - 17.74% | ||||||||
3I Group Plc | 9,339 | 66,156 | ||||||
AA Plc | 4,082 | 18,857 | ||||||
Aberdeen Asset Management Plc | 6,997 | 29,816 | ||||||
Admiral Group Plc | 1,799 | 43,960 | ||||||
Aggreko Plc | 340,008 | 4,577,116 | ||||||
Amec Foster Wheeler Plc | 3,886 | 24,531 | ||||||
Amlin Plc | 3,142 | 30,722 | ||||||
Anglo American Plc | 10,862 | 47,654 | ||||||
Antofagasta Plc | 3,046 | 20,953 | ||||||
ARM Holdings Plc | 223,340 | 10,103,902 | ||||||
ARM Holdings Plc - ADR | 661,623 | 10,084,536 | ||||||
Ashmore Group Plc | 3,529 | 13,296 | ||||||
Ashtead Group Plc | 4,652 | 76,562 | ||||||
ASOS Plc (1) | 217,074 | 11,029,533 | ||||||
Associated British Foods Plc | 2,924 | 143,883 | ||||||
AstraZeneca Plc | 215,561 | 14,560,661 | ||||||
Auto Trader Group | 995,388 | 6,489,828 | ||||||
Aviva Plc | 31,984 | 242,775 | ||||||
B&M European Value Retail SA | 4,299 | 18,008 | ||||||
Babcock International Group Plc | 4,323 | 64,695 | ||||||
BAE Systems Plc | 26,122 | 192,325 | ||||||
Balfour Beatty Plc (1) | 3,548 | 14,132 | ||||||
Barclays Plc | 136,441 | 439,175 | ||||||
Barratt Developments Plc | 7,194 | 66,291 | ||||||
Bellway Plc | 999 | 41,772 | ||||||
Berkeley Group Holdings Plc | 1,205 | 65,508 |
Table of Contents
Betfair Group Plc | 465 | 26,736 | ||||||
BG Group Plc | 1,243,609 | 18,027,263 | ||||||
BHP Billiton Plc | 206,234 | 2,299,898 | ||||||
Booker Group Plc | 13,269 | 35,413 | ||||||
BP Plc | 4,088,315 | 21,245,810 | ||||||
British American Tobacco Plc | 15,188 | 843,456 | ||||||
British Land Co. Plc | 8,154 | 94,349 | ||||||
Britvic Plc | 1,504 | 16,114 | ||||||
BT Group Plc | 68,181 | 473,423 | ||||||
BTG Plc (1) | 2,511 | 25,444 | ||||||
Bunzl Plc | 2,728 | 75,687 | ||||||
Burberry Group Plc | 297,197 | 5,228,923 | ||||||
Cable & Wireless Communications Plc | 25,148 | 27,513 | ||||||
Capita Plc | 445,363 | 7,924,173 | ||||||
Capital & Counties Properties Plc | 4,904 | 31,797 | ||||||
Carnival Plc | 262,455 | 14,951,121 | ||||||
Centrica Plc | 40,486 | 130,000 | ||||||
Close Brothers Group Plc | 574 | 11,319 | ||||||
Cobham Plc | 9,427 | 39,366 | ||||||
Coca-Cola HBC AG | 1,001 | 21,317 | ||||||
Compass Group Plc | 591,370 | 10,247,452 | ||||||
Croda International Plc | 1,043 | 46,732 | ||||||
Daily Mail & General Trust Plc | 1,888 | 19,431 | ||||||
DCC Plc | 721 | 60,234 | ||||||
Derwent London Plc | 1,193 | 64,527 | ||||||
Diageo Plc | 388,688 | 10,614,261 | ||||||
Dialog Semiconductor Plc (1) | 811 | 27,062 | ||||||
Direct Line Insurance Group Plc | 12,519 | 75,041 | ||||||
Dixons Carphone Plc | 6,194 | 45,582 | ||||||
Drax Group Plc | 3,946 | 14,207 | ||||||
DS Smith Plc | 6,986 | 40,865 | ||||||
easyJet Plc | 2,297 | 58,911 | ||||||
Essentra Plc | 1,631 | 19,882 | ||||||
Evraz Plc (1) | 20,000 | 21,575 | ||||||
G4S Plc | 10,126 | 33,637 | ||||||
Genel Energy Plc (1) | 221 | 554 | ||||||
GKN Plc | 13,428 | 60,935 | ||||||
GlaxoSmithKline Plc | 613,046 | 12,381,053 | ||||||
Great Portland Estates Plc | 2,142 | 26,108 | ||||||
Greene King Plc | 1,867 | 25,559 | ||||||
Halma Plc | 2,231 | 28,409 | ||||||
Hammerson Plc | 6,597 | 58,320 | ||||||
Hargreaves Lansdown Plc | 632,451 | 14,040,889 | ||||||
Hays Plc | 8,970 | 19,265 | ||||||
Henderson Group Plc | 13,034 | 59,240 | ||||||
Howden Joinery Group Plc | 4,858 | 37,640 | ||||||
HSBC Holdings Plc | 159,790 | 1,261,424 | ||||||
ICAP Plc | 3,300 | 24,770 | ||||||
ICON Plc (1) | 147,902 | 11,491,985 | ||||||
IG Group Holdings Plc | 2,302 | 27,216 | ||||||
Imagination Technologies Group Plc (1) | 1,005,105 | 1,977,121 | ||||||
IMI Plc | 1,674 | 21,242 | ||||||
Imperial Tobacco Group Plc | 7,671 | 405,167 | ||||||
Inchcape Plc | 3,607 | 41,617 | ||||||
Indivior Plc | 3,271 | 9,039 |
Table of Contents
Informa Plc | 7,042 | 63,642 | ||||||
Inmarsat Plc | 3,858 | 64,678 | ||||||
InterContinental Hotels Group Plc | 1,709 | 66,615 | ||||||
Intermediate Capital Group Plc | 3,941 | 36,331 | ||||||
International Consolidated Airlines Group SA | 7,532 | 67,721 | ||||||
Intertek Group Plc | 136,412 | 5,580,179 | ||||||
Intu Properties Plc | 5,676 | 26,518 | ||||||
Investec Plc | 6,362 | 44,859 | ||||||
ITV Plc | 2,059,951 | 8,386,834 | ||||||
J Sainsbury Plc | 10,481 | 39,914 | ||||||
Jardine Lloyd Thompson Group Plc | 959 | 12,977 | ||||||
John Wood Group Plc | 440,280 | 3,965,283 | ||||||
Johnson Matthey Plc | 209,679 | 8,202,246 | ||||||
Jupiter Fund Management Plc | 818,397 | 5,438,958 | ||||||
Just Eat Plc (1) | 5,220 | 37,902 | ||||||
Kingfisher Plc | 1,124,629 | 5,447,155 | ||||||
Land Securities Group Plc | 6,021 | 104,375 | ||||||
Legal & General Group Plc | 47,552 | 187,637 | ||||||
Liberty Global Plc (1) | 250 | 10,750 | ||||||
Liberty Global Plc - Class A (1) | 271,369 | 11,495,191 | ||||||
Liberty Global Plc - Series C (1) | 5,046 | 205,725 | ||||||
Liberty Global Plc LiLAC - Class A (1) | 186 | 7,695 | ||||||
Lloyds Banking Group Plc | 4,940,052 | 5,315,503 | ||||||
London Stock Exchange Group Plc | 2,320 | 93,863 | ||||||
Man Group Plc | 12,011 | 30,899 | ||||||
Manchester United Plc | 847 | 15,085 | ||||||
Markit Ltd. (1) | 529 | 15,960 | ||||||
Marks & Spencer Group Plc | 14,326 | 95,386 | ||||||
Meggitt Plc | 5,905 | 32,603 | ||||||
Melrose Industries Plc | 6,093 | 26,099 | ||||||
Merlin Entertainments Plc | 4,027 | 27,001 | ||||||
Micro Focus International Plc | 1,770 | 41,567 | ||||||
Millennium & Copthorne Hotels Plc | 3,693 | 25,229 | ||||||
Mitchells & Butlers Plc | 495,838 | 2,506,413 | ||||||
Mondi Plc | 3,190 | 62,527 | ||||||
National Grid Plc | 916,202 | 12,635,954 | ||||||
Next Plc | 1,143 | 122,726 | ||||||
Ocado Group Plc (1) | 5,217 | 23,308 | ||||||
Old Mutual Plc | 42,106 | 110,767 | ||||||
Pearson Plc | 7,252 | 78,398 | ||||||
Pennon Group Plc | 3,349 | 42,487 | ||||||
Persimmon Plc (1) | 2,235 | 66,678 | ||||||
Petrofac Ltd. | 1,425 | 16,715 | ||||||
Provident Financial Plc | 963 | 47,748 | ||||||
Prudential Plc | 20,947 | 471,928 | ||||||
Reckitt Benckiser Group Plc | 149,425 | 13,825,831 | ||||||
RELX Plc | 9,221 | 162,622 | ||||||
Rentokil Initial Plc | 15,166 | 35,583 | ||||||
Rexam Plc | 5,050 | 45,044 | ||||||
Rightmove Plc | 168,631 | 10,247,770 | ||||||
Rio Tinto Plc | 9,954 | 289,815 | ||||||
Rolls-Royce Holdings Plc (1) | 14,953 | 126,659 | ||||||
Rotork Plc | 5,760 | 15,501 | ||||||
Royal Bank of Scotland Group Plc (1) | 3,193,998 | 14,197,604 | ||||||
Royal Dutch Shell Plc - Class B | 19,883 | 453,155 |
Table of Contents
Royal Mail Plc | 5,427 | 35,546 | ||||||
RSA Insurance Group Plc | 8,331 | 52,289 | ||||||
SABMiller Plc | 104,514 | 6,252,486 | ||||||
Saga Plc | 3,919 | 11,569 | ||||||
Sage Group Plc | 10,012 | 88,958 | ||||||
Schroders Plc | 1,046 | 45,814 | ||||||
Schroders Plc - Non Voting | 667 | 22,170 | ||||||
Segro Plc | 7,305 | 46,230 | ||||||
Serco Group Plc (1) | 7,265 | 10,110 | ||||||
Severn Trent Plc | 2,439 | 77,967 | ||||||
Shaftesbury Plc | 1,704 | 22,956 | ||||||
Sky Plc | 8,820 | 144,585 | ||||||
Smith & Nephew Plc | 7,597 | 135,395 | ||||||
Smiths Group Plc | 3,710 | 51,306 | ||||||
Spectris Plc | 789 | 20,939 | ||||||
Spirax-Sarco Engineering Plc | 505 | 24,423 | ||||||
Sports Direct International Plc (1) | 2,036 | 17,302 | ||||||
SSE Plc | 8,314 | 186,682 | ||||||
St James’s Place Plc | 4,895 | 72,552 | ||||||
Stagecoach Group Plc | 3,449 | 15,070 | ||||||
Standard Chartered Plc | 21,686 | 179,933 | ||||||
Standard Life Plc | 17,034 | 97,546 | ||||||
TalkTalk Telecom Group Plc | 2,981 | 9,568 | ||||||
Tate & Lyle Plc | 3,007 | 26,487 | ||||||
Taylor Wimpey Plc | 23,734 | 70,950 | ||||||
Telecity Group Plc | 1,232 | 22,767 | ||||||
Tesco Plc (1) | 11,023,936 | 24,222,773 | ||||||
Thomas Cook Group Plc (1) | 9,717 | 17,338 | ||||||
Travis Perkins Plc | 2,212 | 64,172 | ||||||
Tullow Oil Plc (1) | 6,706 | 16,426 | ||||||
UBM Plc | 3,071 | 23,802 | ||||||
Unilever Plc - ADR | 522,453 | 22,409,269 | ||||||
Unilever Plc - Sponsored ADR | 249,300 | 10,749,816 | ||||||
United Utilities Group Plc | 6,572 | 90,492 | ||||||
Vodafone Group Plc | 4,097,904 | 13,288,626 | ||||||
Weir Group Plc | 325,405 | 4,779,836 | ||||||
Whitbread Plc | 1,411 | 91,457 | ||||||
William Hill Plc | 8,868 | 51,755 | ||||||
WM Morrison Supermarkets Plc | 15,247 | 33,222 | ||||||
WPP Plc | 10,344 | 237,932 | ||||||
Worldpay Group Plc (1) | 8,804 | 39,884 | ||||||
|
| |||||||
388,078,734 | ||||||||
|
| |||||||
United States - 1.35% | ||||||||
Amdocs Ltd. | 199,677 | 10,896,374 | ||||||
Autoliv, Inc. | 774 | 96,572 | ||||||
lululemon athletica, Inc. (1) | 185,370 | 9,726,364 | ||||||
Mettler-Toledo International, Inc. (1) | 25,074 | 8,503,346 | ||||||
|
| |||||||
29,222,656 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,231,419,356) | $ | 2,081,097,752 | ||||||
|
| |||||||
Preferred Stocks - 0.01% | ||||||||
Germany - 0.01% | ||||||||
Volkswagen AG- Preference | 1,218 | $ | 175,855 | |||||
|
| |||||||
Japan - 0.00% | ||||||||
Shinkin Central Bank | 4 | 7,503 | ||||||
|
|
Table of Contents
Spain - 0.00% | ||||||||
Grifols SA - Class B | 882 | 28,583 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $290,324) | $ | 211,941 | ||||||
|
| |||||||
Rights - 0.00% (2) | ||||||||
Italy 0.00% (2) | ||||||||
Ubi Banca SPA | 7,853 | $ | — | |||||
|
| |||||||
Singapore - 0.00% (2) | ||||||||
Ascendas Real Estate Investment Trust | 480 | 21 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $23) | $ | 21 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 4.52% | ||||||||
Money Market Fund - 4.52% | ||||||||
Goldman Sachs Financial Square Funds - Government Fund - Class I, 0.18% | 49,497,470 | $ | 49,497,470 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.12% | 49,497,470 | 49,497,470 | ||||||
|
| |||||||
Total Money Market Funds (Cost $98,994,940) | $ | 98,994,940 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.67% | $ | 2,180,304,654 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.33% | 7,224,952 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,187,529,606 | ||||||
|
|
ADR - American Depository Receipt
(1) | Non-income producing security. |
(2) | Amount less than 0.005%. |
Bridge Builder International Equity Fund | ||
Schedule of Investments by Sector | ||
December 31, 2015 (Unaudited) | ||
% of Net Assets | ||
COMMON STOCKS | ||
Consumer Discretionary | 15.09% | |
Consumer Staples | 14.52% | |
Energy | 5.27% | |
Financials | 14.81% | |
Healthcare | 12.47% | |
Industrials | 10.29% | |
Information Technology | 12.86% | |
Materials | 3.43% | |
Telecommunication Services | 4.38% | |
Utilities | 2.02% | |
| ||
TOTAL COMMON STOCKS | 95.14% | |
| ||
PREFERRED STOCKS | ||
Consumer Discretionary | 0.01% | |
| ||
TOTAL PREFERRED STOCKS | 0.01% | |
| ||
SHORT-TERM INVESTMENTS | 4.52% | |
| ||
TOTAL INVESTMENTS | 99.67% | |
| ||
Other Assets in Excess of Liabilities | 0.33% | |
| ||
TOTAL NET ASSETS | 100.00% | |
|
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Table of Contents
(b) | Not Applicable |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Table of Contents
Item 11. Controls and Procedures.
(a) | The Registrant’s President, Treasurer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Bridge Builder Trust |
By (Signature and Title)* | /s/ Joseph Neuberger | |||||
Joseph Neuberger, President | ||||||
Date 2/26/2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Joseph Neuberger | |||||
Joseph Neuberger, President | ||||||
Date 2/26/2016 | ||||||
By (Signature and Title)* | /s/ Jason Hadler | |||||
Jason Hadler, Treasurer and Principal Financial Officer | ||||||
Date 2/26/2016 |
* | Print the name and title of each signing officer under his or her signature. |