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)
Helge K. Lee, Secretary
Bridge Builder Trust
c/o 12555 Manchester Road
Des Peres, MO 63131
(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: June 30, 2016
Item 1. | Reports to Stockholders. |
Bridge BuilderTM
MUTUAL FUNDS
Annual Report
June 30, 2016
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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Report of Independent Registered Public Accounting Firm | 75 | |||
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Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements | 77 | |||
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Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Letter to Shareholders (Unaudited)
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds annual report for the 12-month period ended June 30, 2016. 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 Mutual Funds.
During the last year, three additional funds were added to the Bridge Builder lineup: the Bridge Builder Core Plus Bond Fund, the Bridge Builder Municipal Bond Fund, and the Bridge Builder International Equity Fund. Additionally, Loomis, Sayles & Company, L.P. was added as a sub-adviser to the Bridge Builder Core Bond Fund while Stephens Investment Management Group, LLC was added to the Bridge Builder Small/Mid Cap Growth Fund.
For details about individual fund performance and market commentary, please refer to the Management’s Discussion of Fund Performance section of this report for each fund.
The Bridge Builder Mutual 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, and are board approved. 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.
Sincerely,
William H. Broderick, III | Chairman, Bridge Builder Trust | |
William E. Fiala | Vice President, Olive Street Investment Advisers
Principal, Edward Jones Investment Advisory |
Annual Report • June 30, 2016 | 1 |
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Bond Fund (the “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 Commentary
For the fiscal year ended June 30, 2016, the Fund returned 6.51%, which outperformed its benchmark, the Barclays Capital U.S. Aggregate Bond Index, return of 6.00%. This period was generally positive for bonds as a general decline in interest rates provided a constructive backdrop. There was heightened volatility over the period, as market participants digested mixed economic data from the U.S. and the first rate hike from the Federal Reserve Board (the “Fed”) in nearly a decade. Despite the Fed’s action to raise its key interest rate in December 2015, monetary policy has remained accommodative, which helped support investors’ risk appetite. This contributed to the strong returns in corporate bonds.
The decline in interest rates was the biggest contributor to the Fund’s overall positive returns. This was primarily due to the Fund’s allocation to longer maturity bonds, which received the biggest boost from the decline in rates. From a sector perspective, the Fund’s largest allocation was to securitized bonds, primarily mortgage backed securities. While this sector delivered positive returns, it was one of the weaker performing areas. Relative to its benchmark the Fund is overweight corporate bonds, which contributed to relative outperformance. Additionally, security selection within corporate bonds and asset backed securities contributed to relative performance. The Fund’s overweight to mortgage-backed securities was a detractor to relative performance.
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. |
2 | Annual Report • June 30, 2016 |
Bridge Builder Core Bond Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (October 28, 2013) to June 30, 2016 as compared with the Barclays Capital U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Barclays Capital U.S. Aggregate Bond Index
Fund Performance as of June 30, 2016
1 Year | Since Inception (10/28/2013) | |||||||
Bridge Builder Core Bond Fund | 6.51 | % | 4.27 | % | ||||
Barclays Capital U.S. Aggregate Bond Index | 6.00 | % | 4.01 | % |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.39%(1) and 0.19%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Mortgage-Backed Obligations | 34.0 | % | ||
Corporate Bonds | 30.2 | % | ||
Government Related | 18.8 | % | ||
Asset-Backed Obligations | 8.9 | % | ||
Short-Term Investments | 8.1 | % | ||
Preferred Stocks | 0.0 | %* |
* | Amount less than 0.05%. |
Annual Report • June 30, 2016 | 3 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Plus Bond Fund (the “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 below investment-grade securities, securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
Since the Fund’s inception (July 13, 2015) through June 30, 2016, the Fund returned 5.43%, which underperformed its benchmark, the Barclays Capital U.S. Aggregate Bond Index, return of 6.35%. This period was generally positive for bonds as a general decline in interest rates provided a constructive backdrop. There was heightened volatility over the period, as market participants digested mixed economic data from the U.S. and the first rate hike from the Fed in nearly a decade. Despite the Fed’s action to raise its key interest rate in December 2015, monetary policy has remained accommodative, which helped support investors’ risk appetite. This contributed to the strong returns in corporate bonds.
The decline in interest rates was the biggest contributor to the Fund’s overall positive returns. This was primarily due to the Fund’s allocation to longer maturity bonds, which received the biggest boost from the decline in rates. From a sector perspective, the Fund’s largest allocation was to corporate bonds, which was one of the better performing areas. As the fiscal year included the initial funding period, the Fund’s heightened cash balance was a detractor from relative performance. Additionally, security selection within mortgage-backed securities was a negative contributor. The Fund’s overweight to corporate bonds, and security selection within this sector, were positive contributors.
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. |
4 | Annual Report • June 30, 2016 |
Bridge Builder Core Plus Bond Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (July 13, 2015) to June 30, 2016 as compared with the Barclays Capital U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Barclays Capital U.S. Aggregate Bond Index
Fund Performance as of June 30, 2016
Since Inception (7/13/2015)+ | ||||
Bridge Builder Core Plus Bond Fund | 5.43 | % | ||
Barclays Capital U.S. Aggregate Bond Index | 6.35 | % |
+ | Cumulative return for all periods with less than 12 months of performance. |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.44%(1) and 0.26%(2), respectively. 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.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Corporate Bonds | 29.4 | % | ||
Mortgage-Backed Obligations | 25.9 | % | ||
Government Related | 25.4 | % | ||
Short-Term Investments | 12.9 | % | ||
Asset-Backed Obligations | 5.3 | % | ||
Bank Loans | 0.9 | % | ||
Preferred Stocks | 0.2 | % |
Annual Report • June 30, 2016 | 5 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Municipal Bond Fund (the “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 Commentary
Since the Fund’s inception (September 14, 2015) through June 30, 2016, the Fund returned 5.46%, which outperformed its benchmark, the Barclays Municipal 1-15 Year Index return of 5.40%. This period was generally positive for municipal bonds as a general decline in interest rates provided a constructive backdrop. Strong demand for municipals also boosted performance, as there was a relatively lower supply of new bond issuance over the period. Credit quality was also a separator of performance with lower quality bonds generally outperforming their higher quality counterparts.
The decline in interest rates was the biggest contributor to the Fund’s overall positive returns. This was primarily due to the Fund’s allocation to longer maturity bonds, which received the biggest boost from the decline in rates. The Fund’s largest allocation was to revenue bonds, which were a stronger performing area of the market. The Fund has a dedicated allocation to below investment grade bonds, which are not included in the index. This resulted in relative outperformance versus the benchmark, as these lower quality bonds performed well over the period. An underweight to transportation and utility bonds contributed to negative relative performance.
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. |
6 | Annual Report • June 30, 2016 |
Bridge Builder Municipal Bond Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (September 14, 2015) to June 30, 2016 as compared with the Barclays Municipal 1-15 Year Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Barclays Municipal 1-15 Year Index
Fund Performance as of June 30, 2016
Since Inception (9/14/2015)+ | ||||
Bridge Builder Municipal Bond Fund | 5.46 | % | ||
Barclays Municipal 1-15 Year Index | 5.40 | % |
+ | Cumulative return for all periods with less than 12 months of performance. |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.48%(1) and 0.32%(2), respectively. 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.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Security Type Breakdown | (% of Investments) | |||
General Obligation | 28.0 | % | ||
General Revenue | 20.7 | % | ||
Transportation | 12.3 | % | ||
Healthcare | 10.3 | % | ||
Education | 9.6 | % | ||
Utilities | 8.8 | % | ||
Short-Term Investments | 7.1 | % | ||
Housing | 3.2 | % |
Breakdown by State | (% of Long-Term Investments) | |||
Texas | 12.6 | % | ||
New York | 10.7 | % | ||
Illinois | 8.8 | % | ||
Florida | 7.4 | % | ||
Pennsylvania | 7.4 | % | ||
California | 5.2 | % | ||
Connecticut | 4.4 | % | ||
Virginia | 4.1 | % | ||
New Jersey | 3.7 | % | ||
Massachusetts | 2.6 | % | ||
Other | 33.1 | % |
Annual Report • June 30, 2016 | 7 |
Bridge Builder Large Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Growth Fund (the “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 Commentary
For the fiscal year ended June 30, 2016, the Fund returned 1.14%, while its benchmark, the Russell 1000® Growth Index, returned 3.02% for the period, which resulted in overall underperformance. The higher-dividend-yielding, more defensive sectors such as utilities, telecommunications, REITs, and consumer staples outperformed the broader market. On the other hand, energy, healthcare, and financials were the worst performing sectors of the market over this period. Within the large-capitalization portion of the market there were minimal differences in performance between value and growth style stocks over the time period as a whole.
Compared to its benchmark, the Fund was underweight in telecommunications and REITs, which negatively impacted relative performance as those sectors outperformed the market. Consumer staples also detracted from performance, due to an underweight to the sector as well as poor stock selection within the sector. An overweight to energy also detracted as the sector underperformed the broader market. However, favorable stock selection within energy and information technology contributed to performance, mitigating a portion of the Fund’s overall underperformance.
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. |
8 | Annual Report • June 30, 2016 |
Bridge Builder Large Cap Growth Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (April 27, 2015) to June 30, 2016 as compared with the Russell 1000® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Russell 1000® Growth Index
Fund Performance as of June 30, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Large Cap Growth Fund | 1.14 | % | -0.49 | % | ||||
Russell 1000® Growth Index | 3.02 | % | 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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.54%(1) and 0.37%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Information Technology | 30.1 | % | ||
Consumer Discretionary | 17.8 | % | ||
Healthcare | 17.1 | % | ||
Consumer Staples | 8.9 | % | ||
Industrials | 7.6 | % | ||
Financials | 7.2 | % | ||
Short-Term Investments | 5.1 | % | ||
Energy | 3.1 | % | ||
Materials | 1.7 | % | ||
Telecommunication Services | 1.4 | % | ||
Utilities | 0.0 | %* |
* | Amount less than 0.05%. |
Top Ten Equity Holdings | (% of Net Assets) | |||
Apple, Inc. | 3.8 | % | ||
Alphabet, Inc. -Class A | 3.0 | % | ||
Amazon.com, Inc. | 2.9 | % | ||
Microsoft Corp. | 2.6 | % | ||
Facebook, Inc. | 2.4 | % | ||
Bristol Myers Squibb Co. | 2.4 | % | ||
Lowes Companies, Inc. | 2.3 | % | ||
Visa, Inc. | 2.2 | % | ||
Schlumberger Ltd. | 1.8 | % | ||
Cerner Corp. | 1.6 | % |
Annual Report • June 30, 2016 | 9 |
Bridge Builder Large Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Value Fund (the “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 Commentary
For the fiscal year ended June 30, 2016, the Fund returned 2.35%, while its benchmark, the Russell 1000® Value Index, returned 2.86% over the period, which resulted in overall underperformance. The higher-dividend-yielding, more defensive sectors such as utilities, telecommunications, REITs, and consumer staples outperformed the broader market. On the other hand, energy, healthcare, and financials were the worst performing sectors of the market over this period. Within the large-capitalization portion of the market there were minimal differences in performance between value and growth style stocks over the time period as a whole.
Compared to its benchmark, the Fund was underweight in the strongly performing utilities sector, which hurt relative performance. Additionally, the Fund was overweight the consumer discretionary sector, which detracted from performance as the sector underperformed the broader market. The Fund benefited from being underweight the financials sector and from positive bottom-up stock selection.
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. |
10 | Annual Report • June 30, 2016 |
Bridge Builder Large Cap Value Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (April 27, 2015) to June 30, 2016 as compared with the Russell 1000® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Russell 1000® Value Index
Fund Performance as of June 30, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Large Cap Value Fund | 2.35 | % | 0.59 | % | ||||
Russell 1000® Value Index | 2.86 | % | 1.29 | % |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.54%(1) and 0.40%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Financials | 20.3 | % | ||
Industrials | 14.2 | % | ||
Healthcare | 13.0 | % | ||
Information Technology | 11.9 | % | ||
Consumer Discretionary | 10.3 | % | ||
Energy | 9.1 | % | ||
Consumer Staples | 8.1 | % | ||
Materials | 7.8 | % | ||
Short-Term Investments | 3.2 | % | ||
Telecommunication Services | 1.4 | % | ||
Utilities | 0.7 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Berkshire Hathaway, Inc. – Class B | 1.8 | % | ||
Oracle Corp. | 1.7 | % | ||
Medtronic Plc | 1.7 | % | ||
Chubb Ltd. | 1.6 | % | ||
Johnson & Johnson | 1.5 | % | ||
Citigroup, Inc. | 1.5 | % | ||
Merck & Co., Inc. | 1.4 | % | ||
Microsoft Corp. | 1.4 | % | ||
Wells Fargo & Co. | 1.3 | % | ||
Samsung Electronic Co. Ltd. | 1.3 | % |
Annual Report • June 30, 2016 | 11 |
Bridge Builder Small/Mid Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Growth Fund (the “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 Commentary
For the fiscal year ended June 30, 2016, the Fund returned -3.16%, while its benchmark, the Russell 2500® Growth Index, returned -7.69% for the period, which resulted in overall outperformance. For the year, mid-capitalization stocks were slightly positive while small-capitalization stocks fell. The higher-dividend-yielding, more defensive portions of the market such as utilities, REITs and consumer staples outperformed the broader market. Conversely, the energy, healthcare, and consumer discretionary sectors underperformed the broader market. Within the small- and mid-capitalization segment of the market, growth stocks underperformed value stocks.
Compared to its benchmark, the majority of relative outperformance was driven by the healthcare sector. The Fund benefited from positive stock selection in the sector and from being underweight the poorly performing biotechnology industry. The Fund also benefited from being overweight consumer staples, an outperforming sector, and from stock selection within the sector. The Fund’s underweight to REITs and overweight to energy detracted from performance during the period.
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 Midcap® Growth Index, which tracks the performance of mid-capitalization companies, and the Russell 2000® Growth Index, which tracks the performance of small capitalization companies. | 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. |
12 | Annual Report • June 30, 2016 |
Bridge Builder Small/Mid Cap Growth Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (April 27, 2015) to June 30, 2016 as compared with the Russell 2500® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Russell 2500® Growth Index
Fund Performance as of June 30, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Small/Mid Cap Growth Fund | -3.16 | % | -3.02 | % | ||||
Russell 2500® Growth Index | -7.69 | % | -6.36 | % |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.77%(1) and 0.49%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Information Technology | 21.3 | % | ||
Healthcare | 19.3 | % | ||
Consumer Discretionary | 14.9 | % | ||
Industrials | 14.8 | % | ||
Financials | 12.1 | % | ||
Consumer Staples | 6.7 | % | ||
Short-Term Investments | 3.8 | % | ||
Materials | 3.0 | % | ||
Energy | 2.8 | % | ||
Telecommunication Services | 1.1 | % | ||
Utilities | 0.2 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Rockwell Automation, Inc. | 1.5 | % | ||
Advance Auto Parts, Inc. | 1.3 | % | ||
IDEX Corp. | 1.2 | % | ||
Mettler-Toledo International, Inc. | 1.1 | % | ||
Core Laboratories NV | 1.1 | % | ||
Fortinet, Inc. | 1.1 | % | ||
Workday, Inc. | 1.1 | % | ||
Ross Stores, Inc. | 1.0 | % | ||
Casey’s General Stores, Inc. | 1.0 | % | ||
Dentsply Sirona, Inc. | 0.9 | % |
Annual Report • June 30, 2016 | 13 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Value Fund (the “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 Commentary
For the fiscal year ended June 30, 2016, the Fund returned -3.08%, while its benchmark, the Russell 2500® Value Index, returned 0.22% for the period, which resulted in overall underperformance. For the year, mid-capitalization stocks were slightly positive while small-capitalization stocks fell. The higher-dividend-yielding, more defensive portions of the market such as utilities, REITs and consumer staples outperformed the broader market. Conversely, the energy, healthcare, and consumer discretionary sectors underperformed the broader market. Within the small- and mid-capitalization segment of the market, growth stocks underperformed value stocks.
Compared to its benchmark, the Fund was underweight the higher-dividend-yielding utilities and REITs sectors. Given the strong performance of those two areas, these underweight positions accounted for most of the Fund’s underperformance. The Fund benefited from being underweight the energy sector and from positive stock selection within the sector.
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 Midcap® Value Index, which tracks the performance of mid-capitalization companies, and the Russell 2000® Value Index, which tracks the performance of small capitalization companies. |
14 | Annual Report • June 30, 2016 |
Bridge Builder Small/Mid Cap Value Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (April 27, 2015) to June 30, 2016 as compared with the Russell 2500® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
Russell 2500® Value Index
Fund Performance as of June 30, 2016
1 Year | Since Inception (4/27/2015) | |||||||
Bridge Builder Small/Mid Cap Value Fund | -3.08 | % | -3.70 | % | ||||
Russell 2500® Value Index | 0.22 | % | -0.87 | % |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.88%(1) and 0.69%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Financials | 29.6 | % | ||
Information Technology | 14.0 | % | ||
Industrials | 12.9 | % | ||
Consumer Discretionary | 10.6 | % | ||
Healthcare | 10.3 | % | ||
Materials | 6.6 | % | ||
Short-Term Investments | 4.9 | % | ||
Energy | 4.5 | % | ||
Utilities | 4.2 | % | ||
Consumer Staples | 1.9 | % | ||
Telecommunication Services | 0.5 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Fidelity National Information Services, Inc. | 1.4 | % | ||
Newell Brands, Inc. | 1.3 | % | ||
Reinsurance Group of America, Inc. | 1.0 | % | ||
New Residential Investment Corp. | 0.9 | % | ||
Crown Holdings, Inc. | 0.8 | % | ||
Arthur J. Gallagher & Co. | 0.8 | % | ||
Investors Bancorp, Inc. | 0.8 | % | ||
HCA Holdings, Inc. | 0.8 | % | ||
VWR Corp. | 0.7 | % | ||
Ares Capital Corp. | 0.7 | % |
Annual Report • June 30, 2016 | 15 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder International Equity Fund (the “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 Commentary
Since the Fund’s inception (July 6, 2015) through June 30, 2016, the Fund returned -5.06%, while its benchmark, the MSCI EAFE Index, returned -9.07%, which resulted in relative outperformance. Europe, specifically Italy, Spain, and the U.K., underperformed the Asia Pacific region where Japan and Australia outperformed the broader market. Consumer staples outperformed all the other sectors as financials lagged all other sectors. Growth stocks in developed markets outperformed value stocks and small cap performed better than large cap. A slight depreciation in the U.S. Dollar boosted returns for U.S. investors.
The majority of the Fund’s relative outperformance was driven by an underweight allocation to financials and Europe, and an overweight allocation to information technology, an outperforming sector. Positive stock selection, especially in emerging markets, supported relative returns. The Fund’s underweight allocation to utilities, an outperforming sector that experienced weak stock selection, detracted from performance over the period.
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. |
16 | Annual Report • June 30, 2016 |
Bridge Builder International Equity Fund (continued)
Management’s Discussion of Fund Performance (Unaudited)
The following chart compares the value of a hypothetical $10,000 investment in the Fund from its inception (July 6, 2015) to June 30, 2016 as compared with the MSCI EAFE Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2016
vs.
MSCI EAFE Index
Fund Performance as of June 30, 2016
Since Inception (7/06/2015)+ | ||||
Bridge Builder International Equity Fund | -5.06 | % | ||
MSCI EAFE Index | -9.07 | % |
+ | Cumulative return for all periods with less than 12 months of performance. |
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. As of the latest prospectus, the gross and net expense ratio of the Fund was 0.74%(1) and 0.49%(2), respectively. 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.
The line graph and performance table do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Advisers fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
Sector Breakdown | (% of Investments) | |||
Consumer Discretionary | 15.2 | % | ||
Consumer Staples | 14.7 | % | ||
Financials | 13.6 | % | ||
Healthcare | 13.5 | % | ||
Information Technology | 13.0 | % | ||
Industrials | 11.2 | % | ||
Energy | 5.7 | % | ||
Short-Term Investments | 4.6 | % | ||
Telecommunication Services | 3.9 | % | ||
Materials | 2.8 | % | ||
Utilities | 1.8 | % |
Country Breakdown | (% of Long-Term Investments) | |||
Japan | 19.4 | % | ||
United Kingdom | 16.6 | % | ||
Switzerland | 9.8 | % | ||
Germany | 6.2 | % | ||
France | 5.5 | % | ||
China | 4.3 | % | ||
Netherlands | 3.8 | % | ||
Denmark | 3.6 | % | ||
Australia | 3.1 | % | ||
Hong Kong | 2.8 | % | ||
Other | 24.9 | % |
Top Ten Equity Holdings | (% of Net Assets) | |||
Nestle SA | 2.0 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 1.6 | % | ||
BP Plc | 1.3 | % | ||
Novartis AG | 1.3 | % | ||
Japan Tobacco, Inc. | 1.2 | % | ||
Roche Holding AG-Genusschein | 1.2 | % | ||
Tesco Plc | 1.2 | % | ||
Sanofi | 1.1 | % | ||
Tencent Holdings Ltd. | 1.1 | % | ||
Unilever Plc | 1.0 | % |
ADR American Depository Receipt
Annual Report • June 30, 2016 | 17 |
Management’s Discussion of Fund Performance (Unaudited)
Disclosures
(1) | The Gross Expense Ratio, per the Fund’s latest Prospectus, includes all categories of expenses before any expense reductions or fee waivers. |
(2) | 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. |
(3) | 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-manager funds may lead to overlapping securities transactions resulting in higher transaction expenses compared to a single manager fund. 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 Capital U.S. Aggregate Bond Index measures the broad market for U.S. dollar-denominated investment grade, fixed-rate taxable bond market.
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.
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.
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 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.
18 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Management’s Discussion of Fund Performance (Unaudited) (Continued)
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.
The Russell 2500® Value Index measures the performance of the small to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 Index companies with lower price-to-book and lower forecasted growth values.
The Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe.
The Russell Midcap® Growth Index measures the performance of the mid-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 Midcap® Value Index measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values.
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.
Annual Report • June 30, 2016 | 19 |
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 January 1, 2016 to June 30, 2016.
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs of owning shares of a Fund only and do not reflect any annual Edward Jones Advisory Solutions® program and administrative fees. If fees of Edward Jones Advisory Solutions® had been included, your costs would have been higher.
Beginning account value | Ending account value | Annual Expense Ratio | Expenses paid during the period* | |||||||||||||||||
Bridge Builder Core Bond Fund | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,056.80 | 0.15 | % | $ | 0.77 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.12 | 0.75 | |||||||||||||||||
Bridge Builder Core Plus Bond Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,052.30 | 0.23 | 1.17 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.72 | 1.16 | |||||||||||||||||
Bridge Builder Municipal Bond Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,034.80 | 0.24 | 1.21 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.67 | 1.21 | |||||||||||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||||||
Actual | 1,000.00 | 989.00 | 0.31 | 1.53 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.32 | 1.56 | |||||||||||||||||
Bridge Builder Large Cap Value Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,059.00 | 0.34 | 1.74 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,023.17 | 1.71 | |||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,024.50 | 0.48 | 2.42 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,022.48 | 2.41 | |||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,023.70 | 0.55 | 2.77 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,022.13 | 2.77 | |||||||||||||||||
Bridge Builder International Equity Fund | ||||||||||||||||||||
Actual | 1,000.00 | 1,000.00 | 0.47 | 2.34 | ||||||||||||||||
Hypothetical | 1,000.00 | 1,022.53 | 2.36 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (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. |
20 | Annual Report • June 30, 2016 |
Summary Schedule of Investments
June 30, 2016
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES | ||||||||||||
Asset-Backed Obligations | ||||||||||||
Chase Issuance Trust, 0.55%, Jun. 2023 | $ | 19,794,000 | $ | 19,806,425 | 0.18 | % | ||||||
Springleaf Funding Trust 2015-A, 3.16%, Nov. 2024 (1) | 18,692,000 | 18,802,563 | 0.17 | |||||||||
Other Securities (1)(8) | 990,257,435 | 978,071,101 | 9.10 | |||||||||
|
|
|
| |||||||||
Total Asset-Backed Obligations | 1,016,680,089 | 9.45 | ||||||||||
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (1) | 144,899,000 | 151,357,417 | 1.41 | |||||||||
|
|
|
| |||||||||
Total Basic Materials | 151,357,417 | 1.41 | ||||||||||
|
|
|
| |||||||||
Communications | ||||||||||||
Various Securities (1) | 256,886,000 | 279,832,144 | 2.60 | |||||||||
|
|
|
| |||||||||
Total Communications | 279,832,144 | 2.60 | ||||||||||
|
|
|
| |||||||||
Consumer, Cyclical | ||||||||||||
Various Securities (1) | 181,682,878 | 192,501,459 | 1.79 | |||||||||
|
|
|
| |||||||||
Total Consumer, Cyclical | 192,501,459 | 1.79 | ||||||||||
|
|
|
| |||||||||
Consumer, Non-cyclical | ||||||||||||
Various Securities (1) | 425,928,463 | 455,085,596 | 4.23 | |||||||||
|
|
|
| |||||||||
Total Consumer, Non-cyclical | 455,085,596 | 4.23 | ||||||||||
|
|
|
| |||||||||
Diversified | ||||||||||||
Various Securities (1) | 7,597,000 | 8,470,426 | 0.08 | |||||||||
|
|
|
| |||||||||
Total Diversified | 8,470,426 | 0.08 | ||||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Various Securities (1) | 382,736,000 | 394,003,174 | 3.66 | |||||||||
|
|
|
| |||||||||
Total Energy | 394,003,174 | 3.66 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Goldman Sachs Group, Inc., 5.75%, Jan. 2022 | 17,947,000 | 20,850,555 | 0.19 | |||||||||
Other Securities (1) | 1,353,621,625 | 1,433,718,268 | 13.32 | |||||||||
|
|
|
| |||||||||
Total Financials | 1,454,568,823 | 13.51 | ||||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Various Securities (1) | 109,712,735 | 116,238,762 | 1.08 | |||||||||
|
|
|
| |||||||||
Total Industrials | 116,238,762 | 1.08 | ||||||||||
|
|
|
| |||||||||
Technology | ||||||||||||
Various Securities (1) | 135,856,000 | 141,190,260 | 1.31 | |||||||||
|
|
|
| |||||||||
Total Technology | 141,190,260 | 1.31 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1) | 221,754,058 | 240,566,724 | 2.23 | |||||||||
|
|
|
| |||||||||
Total Utilities | 240,566,724 | 2.23 | ||||||||||
|
|
|
| |||||||||
Total Corporate Bonds | 3,433,814,785 | 31.90 | ||||||||||
|
|
|
| |||||||||
Government Related | ||||||||||||
Other Government Related | ||||||||||||
Residual Funding Co. 0.00%, Jul. 2020 PO | 34,973,000 | 33,390,821 | 0.31 | |||||||||
Other Securities (1) | 289,878,000 | 320,139,446 | 2.98 | |||||||||
|
|
|
| |||||||||
Total Other Government Related | 353,530,267 | 3.29 | ||||||||||
|
|
|
| |||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, Apr. 2021 (2) | 23,950,625 | 24,545,654 | 0.23 | |||||||||
U.S. Treasury Note/Bond, 0.88%, May 2018 | 69,162,000 | 69,542,944 | 0.65 | |||||||||
U.S. Treasury Note/Bond, 1.13%, Jun. 2021 | 28,633,000 | 28,778,398 | 0.27 | |||||||||
U.S. Treasury Note/Bond, 1.38%, May 2021 | 44,223,000 | 45,029,716 | 0.42 |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 21 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Note/Bond, 1.63%, Jun. 2020 | $ | 42,401,000 | $ | 43,608,453 | 0.41 | % | ||||||
U.S. Treasury Note/Bond, 1.63%, May 2026 | 42,363,000 | 42,905,755 | 0.40 | |||||||||
U.S. Treasury Note/Bond, 1.75%, Mar. 2022 | 36,045,000 | 37,251,678 | 0.35 | |||||||||
U.S. Treasury Note/Bond, 2.50%, May 2024 | 62,050,000 | 67,416,332 | 0.63 | |||||||||
U.S. Treasury Note/Bond, 2.50%, Feb. 2046 | 22,690,000 | 23,648,131 | 0.22 | |||||||||
U.S. Treasury Note/Bond, 2.88%, May 2043 (4) | 46,700,000 | 52,548,428 | 0.49 | |||||||||
U.S. Treasury Note/Bond, 2.88%, Aug. 2045 | 22,029,000 | 24,743,039 | 0.23 | |||||||||
U.S. Treasury Note/Bond, 3.00%, May 2045 | 52,753,000 | 60,688,634 | 0.56 | |||||||||
U.S. Treasury Note/Bond, 3.00%, Nov. 2045 | 18,613,000 | 21,420,213 | 0.20 | |||||||||
U.S. Treasury Note/Bond, 3.25%, Dec. 2016 | 20,315,000 | 20,601,320 | 0.19 | |||||||||
U.S. Treasury Note/Bond, 3.50%, Feb. 2039 | 127,774,100 | 161,309,818 | 1.50 | |||||||||
U.S. Treasury Note/Bond, 4.75%, Feb. 2037 | 28,202,000 | 41,950,475 | 0.39 | |||||||||
U.S. Treasury Note/Bond, 5.25%, Nov. 2028 | 19,540,500 | 27,508,588 | 0.25 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2019 | 20,278,000 | 19,845,977 | 0.18 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2019 | 22,357,000 | 21,809,388 | 0.20 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2020 | 39,615,000 | 38,211,916 | 0.35 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2020 | 25,243,000 | 24,289,294 | 0.23 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2022 | 33,917,000 | 31,646,664 | 0.29 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2023 | 61,562,000 | 56,370,784 | 0.52 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, May 2023 | 33,770,000 | 30,737,893 | 0.29 | |||||||||
U.S. Treasury Note/Bond, 0.75%–8.75%, Oct. 2016–May 2046 | 304,321,000 | 335,579,423 | 3.12 | |||||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2016–May 2036 | 485,234,000 | 404,566,750 | 3.75 | |||||||||
Other Securities (2) | 40,577,493 | 30,339,490 | 0.28 | |||||||||
|
|
|
| |||||||||
Total U.S. Treasury | 1,786,895,155 | 16.60 | ||||||||||
|
|
|
| |||||||||
Total Government Related | 2,140,425,422 | 19.89 | ||||||||||
|
|
|
| |||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 2.50%, Jul. 2027 (3) | 45,505,000 | 47,079,901 | 0.44 | |||||||||
Fannie Mae, 3.00%, Jul. 2027 (3) | 29,385,000 | 30,810,058 | 0.29 | |||||||||
Fannie Mae, 3.00%, Jul. 2042 (3) | 45,815,000 | 47,543,802 | 0.44 | |||||||||
Fannie Mae, 3.00%, Aug. 2042 (3) | 34,000,000 | 35,219,220 | 0.33 | |||||||||
Fannie Mae, 3.09%, Apr. 2027 | 23,211,000 | 25,217,610 | 0.24 | |||||||||
Fannie Mae, 3.50%, Jul. 2026 (3) | 22,330,000 | 23,658,896 | 0.22 | |||||||||
Fannie Mae, 3.50%, Oct. 2033 | 17,781,650 | 18,912,922 | 0.18 | |||||||||
Fannie Mae, 3.50%, Apr. 2045 | 18,367,976 | 19,387,612 | 0.18 | |||||||||
Fannie Mae, 3.50%, Jan. 2046 | 45,742,646 | 48,402,943 | 0.45 | |||||||||
Fannie Mae, 4.00%, Jul. 2040 (3) | 34,554,323 | 37,047,369 | 0.34 | |||||||||
Fannie Mae, 4.00%, Aug. 2040 (3) | 21,500,000 | 23,027,257 | 0.21 | |||||||||
Fannie Mae, 4.50%, Aug. 2040 | 21,005,737 | 23,023,392 | 0.21 | |||||||||
Freddie Mac, 2.81%, Jan. 2025 | 29,255,000 | 31,049,042 | 0.29 | |||||||||
Freddie Mac, 3.00%, Jul. 2043 (3) | 23,005,000 | 23,843,127 | 0.22 | |||||||||
Freddie Mac, 3.00%, Aug. 2043 (3) | 17,500,000 | 18,104,755 | 0.17 | |||||||||
Freddie Mac, 3.50%, Jul. 2042 (3) | 21,055,000 | 22,197,891 | 0.21 | |||||||||
Freddie Mac, 3.50%, Jul. 2042 | 17,453,307 | 18,430,327 | 0.17 | |||||||||
Freddie Mac, 3.50%, May 2044 | 23,857,121 | 25,524,740 | 0.24 | |||||||||
Freddie Mac, 4.00%, Apr. 2046 | 23,064,945 | 25,057,983 | 0.23 | |||||||||
Ginnie Mae, 3.00%, Jul. 2045 (3) | 51,850,000 | 54,191,349 | 0.50 | |||||||||
Ginnie Mae, 3.50%, Jul. 2045 (3) | 86,435,000 | 91,722,393 | 0.85 | |||||||||
Ginnie Mae, 4.00%, Jul. 2042 (3) | 27,480,000 | 29,373,542 | 0.27 | |||||||||
Fannie Mae, 0.00%–1184.78%, Oct. 2016–Jul. 2051 | 120,845,112 | 108,630,275 | 1.01 | |||||||||
Fannie Mae, 0.79%–10.50%, Jan. 2017–Nov. 2048 (3) | 1,035,999,262 | 1,110,059,839 | 10.31 | |||||||||
Fannie Mae, 0.81%–4.33%, Jan. 2017–Nov. 2025 | 80,164,758 | 85,860,066 | 0.80 | |||||||||
Freddie Mac, 1.01%–5.09%, Mar. 2019–Jan. 2031 | 308,107,583 | 136,723,638 | 1.27 | |||||||||
Freddie Mac, 2.50%–10.00%, Aug. 2016–Apr. 2046 (3) | 378,068,668 | 403,745,194 | 3.75 | |||||||||
Ginnie Mae, 0.00%–27.26%, Nov. 2020–Nov. 2065 | 222,888,933 | 205,398,200 | 1.91 | |||||||||
Ginnie Mae, 3.00%–8.50%, Mar. 2025–May 2063 (3) | 174,598,228 | 185,759,143 | 1.73 | |||||||||
Other Securities (1)(8) | 1,338,614,822 | 918,130,132 | 8.53 | |||||||||
|
|
|
| |||||||||
Total Mortgage-Backed Obligations | 3,873,132,618 | 35.99 | ||||||||||
|
|
|
| |||||||||
Total Bonds & Notes | 10,464,052,914 | 97.23 | ||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
22 | Annual Report • June 30, 2016 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
PREFERRED STOCKS | ||||||||||||
Financials | ||||||||||||
Various Securities | 95,000 | $ | 2,549,800 | 0.02 | % | |||||||
|
|
|
| |||||||||
Total Preferred Stocks | 2,549,800 | 0.02 | ||||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Funds – Class I, 0.26% (5)(7) | 465,684,575 | 465,684,575 | 4.33 | |||||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.16% (5)(7) | 457,237,211 | 457,237,211 | 4.25 | |||||||||
|
|
|
| |||||||||
Total Money Market Funds | 922,921,786 | 8.58 | ||||||||||
|
|
|
| |||||||||
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury Bills | ||||||||||||
U.S. Treasury Bill, 0.00%, May 2017 (4) | $ | 1,000,000 | $ | 996,360 | 0.01 | % | ||||||
|
|
|
| |||||||||
Total U.S. Treasury Bills | 996,360 | 0.01 | ||||||||||
|
|
|
| |||||||||
Total Short-Term Investments | 923,918,146 | 8.59 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES | 11,390,520,860 | 105.84 | ||||||||||
|
|
|
| |||||||||
TBA SALES COMMITMENTS | ||||||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae Pool, 4.50%, Aug. 2040 (6) | (2,000,000 | ) | (2,181,758 | ) | (0.02 | ) | ||||||
|
|
|
| |||||||||
Total TBA Sales Commitments | (2,181,758 | ) | (0.02 | ) | ||||||||
|
|
|
| |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (626,133,265 | ) | (5.82 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 10,762,205,837 | 100.00 | % | ||||||||
|
|
|
|
PO | Principal Only Strip. |
(1) | Restricted security or includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $1,558,554,235, which represents 14.48% of total net assets. See Note 3(d) in the Notes to Financial Statements. |
(2) | Inflation protected or includes inflation protected securities. The value of these securities totals $36,167,360, which represents 0.34% of total net assets. |
(3) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities totals $594,571,946, which represents 5.52% of total net assets. See Note 3(a) in the Notes to Financial Statements. |
(4) | Partially assigned as collateral for certain futures contracts. The value of the pledged issues total $3,638,916, which represent 0.03% of total net assets. |
(5) | Partially assigned as collateral for certain delayed delivery securities. See Note 3(a) in the Notes to Financial Statements. |
(6) | Delayed delivery sale commitment security. See Note 3(a) in the Notes to Financial Statements. |
(7) | Represents annualized seven-day yield as of the close of the reporting period. |
(8) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $26,566,286, which represents 0.25% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 23 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Open Futures Contracts
Number of Contracts | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
(788) | U.S. 10 Year Note Future | J.P. Morgan | Sep. 2016 | $ | (104,232,414 | ) | $ | (104,791,687 | ) | $ | (559,273 | ) | ||||||||
537 | U.S. 2 Year Note Future | J.P. Morgan | Sep. 2016 | 117,043,702 | 117,779,203 | 735,501 | ||||||||||||||
2,208 | U.S. 5 Year Note Future | J.P. Morgan | Sep. 2016 | 266,632,524 | 269,738,251 | 3,105,727 | ||||||||||||||
(576) | U.S. Long Bond Future | J.P. Morgan | Sep. 2016 | (93,581,662 | ) | (99,270,000 | ) | (5,688,338 | ) | |||||||||||
161 | U.S. Ultra Bond Future | J.P. Morgan | Sep. 2016 | 29,366,088 | 30,006,375 | 640,287 | ||||||||||||||
|
| |||||||||||||||||||
$ | (1,766,096 | ) | ||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
24 | Annual Report • June 30, 2016 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2016
Principal Amount | Value | Percentage of Net Assets | ||||||||||
BONDS & NOTES | ||||||||||||
Asset-Backed Obligations | ||||||||||||
Various Securities (1) | $ | 261,339,078 | $ | 257,331,127 | 5.83 | % | ||||||
|
|
|
| |||||||||
Total Asset-Backed Obligations | 257,331,127 | 5.83 | ||||||||||
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||
Basic Materials | ||||||||||||
Various Securities (1) | 41,727,000 | 42,459,200 | 0.96 | |||||||||
|
|
|
| |||||||||
Total Basic Materials | 42,459,200 | 0.96 | ||||||||||
|
|
|
| |||||||||
Communications | ||||||||||||
Various Securities (1) | 125,987,000 | 133,752,854 | 3.03 | |||||||||
|
|
|
| |||||||||
Total Communications | 133,752,854 | 3.03 | ||||||||||
|
|
|
| |||||||||
Consumer Cyclical | ||||||||||||
Various Securities (1) | 154,709,200 | 161,791,950 | 3.67 | |||||||||
|
|
|
| |||||||||
Total Consumer Cyclical | 161,791,950 | 3.67 | ||||||||||
|
|
|
| |||||||||
Consumer Non-cyclical | ||||||||||||
Various Securities (1) | 206,472,000 | 215,147,517 | 4.88 | |||||||||
|
|
|
| |||||||||
Total Consumer Non-cyclical | 215,147,517 | 4.88 | ||||||||||
|
|
|
| |||||||||
Diversified | ||||||||||||
Various Securities (1) | 1,510,000 | 1,480,413 | 0.03 | |||||||||
|
|
|
| |||||||||
Total Diversified | 1,480,413 | 0.03 | ||||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Various Securities (1) | 131,245,000 | 133,156,867 | 3.02 | |||||||||
|
|
|
| |||||||||
Total Energy | 133,156,867 | 3.02 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Various Securities (1)(6) | 494,788,000 | 510,696,033 | 11.58 | |||||||||
|
|
|
| |||||||||
Total Financials | 510,696,033 | 11.58 | ||||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Various Securities (1) | 75,954,000 | 78,829,053 | 1.79 | |||||||||
|
|
|
| |||||||||
Total Industrials | 78,829,053 | 1.79 | ||||||||||
|
|
|
| |||||||||
Technology | ||||||||||||
Various Securities (1) | 65,244,000 | 65,610,735 | 1.49 | |||||||||
|
|
|
| |||||||||
Total Technology | 65,610,735 | 1.49 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1) | 66,544,000 | 71,142,655 | 1.61 | |||||||||
|
|
|
| |||||||||
Total Utilities | 71,142,655 | 1.61 | ||||||||||
|
|
|
| |||||||||
Total Corporate Bonds | 1,414,067,277 | 32.06 | ||||||||||
|
|
|
| |||||||||
Government Related | ||||||||||||
Other Government Related | ||||||||||||
Various Securities (1) | 19,849,147,664 | 68,197,140 | 1.55 | |||||||||
|
|
|
| |||||||||
Total Other Government Related | 68,197,140 | 1.55 | ||||||||||
|
|
|
| |||||||||
U.S. Treasury | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.38%, Jul. 2025 (2) | 21,454,896 | 22,098,264 | 0.50 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, Feb. 2045 (2) | 17,592,906 | 17,681,328 | 0.40 | |||||||||
U.S. Treasury Note/Bond, 0.50%, Jul. 2017 | 32,500,000 | 32,493,662 | 0.74 | |||||||||
U.S. Treasury Note/Bond, 0.63%, Jul. 2017 | 23,055,000 | 23,079,323 | 0.52 | |||||||||
U.S. Treasury Note/Bond, 0.63%, Jun. 2018 | 25,000,000 | 25,011,725 | 0.57 | |||||||||
U.S. Treasury Note/Bond, 0.75%, Oct. 2017 | 58,875,000 | 59,024,484 | 1.34 | |||||||||
U.S. Treasury Note/Bond, 0.75%, Feb. 2018 | 154,475,000 | 154,909,384 | 3.51 | |||||||||
U.S. Treasury Note/Bond, 0.75%, Apr. 2018 | 83,780,000 | 84,028,743 | 1.91 |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 25 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury – (continued) | ||||||||||||
U.S. Treasury Note/Bond, 0.88%, May 2018 | $ | 25,000,000 | $ | 25,137,700 | 0.57 | % | ||||||
U.S. Treasury Note/Bond, 0.88%, May 2019 | 34,710,000 | 34,879,489 | 0.79 | |||||||||
U.S. Treasury Note/Bond, 1.13%, Feb. 2021 | 30,479,000 | 30,695,675 | 0.70 | |||||||||
U.S. Treasury Note/Bond, 1.13%, Jun. 2021 | 94,854,000 | 95,335,669 | 2.16 | |||||||||
U.S. Treasury Note/Bond, 1.25%, Mar. 2021 | 17,146,000 | 17,348,940 | 0.39 | |||||||||
U.S. Treasury Note/Bond, 1.38%, Jan. 2021 | 15,926,000 | 16,210,932 | 0.37 | |||||||||
U.S. Treasury Note/Bond, 1.38%, Apr. 2021 | 21,500,000 | 21,874,573 | 0.50 | |||||||||
U.S. Treasury Note/Bond, 1.38%, May 2021 | 59,470,000 | 60,554,852 | 1.37 | |||||||||
U.S. Treasury Note/Bond, 1.50%, Nov. 2019 | 27,623,000 | 28,269,323 | 0.64 | |||||||||
U.S. Treasury Note/Bond, 1.63%, May 2026 | 50,395,000 | 51,040,661 | 1.16 | |||||||||
U.S. Treasury Note/Bond, 1.75%, Dec. 2020 | 18,211,000 | 18,840,554 | 0.43 | |||||||||
U.S. Treasury Note/Bond, 2.00%, Aug. 2021 | 13,480,000 | 14,121,351 | 0.32 | |||||||||
U.S. Treasury Note/Bond, 2.25%, Nov. 2025 | 18,983,000 | 20,263,612 | 0.46 | |||||||||
U.S. Treasury Note/Bond, 2.50%, Feb. 2046 | 12,869,000 | 13,412,419 | 0.30 | |||||||||
U.S. Treasury Note/Bond, 2.50%, May 2046 | 98,548,000 | 102,809,413 | 2.33 | |||||||||
U.S. Treasury Note/Bond, 3.00%, May 2045 (5) | 36,102,000 | 41,532,824 | 0.94 | |||||||||
U.S. Treasury Note/Bond, 3.13%, Aug. 2044 | 11,995,000 | 14,128,803 | 0.32 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.25%–0.63%, Jan. 2025–Jan. 2026 (2) | 10,659,619 | 11,213,723 | 0.26 | |||||||||
U.S. Treasury Note/Bond, 0.63%–3.75%, Jun. 2017–Nov. 2045 | 110,717,000 | 117,384,093 | 2.65 | |||||||||
|
|
|
| |||||||||
Total U.S. Treasury | 1,153,381,519 | 26.15 | ||||||||||
|
|
|
| |||||||||
Total Government Related | 1,221,578,659 | 27.70 | ||||||||||
|
|
|
| |||||||||
Mortgage-Backed Obligations | ||||||||||||
Fannie Mae, 2.50%, Jul. 2027 (3) | 19,210,000 | 19,874,847 | 0.45 | |||||||||
Fannie Mae, 3.00%, Jul. 2042 (3) | 56,410,000 | 58,538,597 | 1.33 | |||||||||
Fannie Mae, 3.00%, Jun. 2043 | 18,739,436 | 19,487,590 | 0.44 | |||||||||
Fannie Mae, 3.00%, Aug. 2043 | 13,570,117 | 14,143,843 | 0.32 | |||||||||
Fannie Mae, 3.50%, May 2033 | 17,237,060 | 18,352,016 | 0.42 | |||||||||
Fannie Mae, 3.50%, Jul. 2041 (3) | 32,755,000 | 34,555,244 | 0.78 | |||||||||
Fannie Mae, 4.00%, Jul. 2040 (3) | 13,775,000 | 14,766,424 | 0.33 | |||||||||
Fannie Mae, 4.00%, Aug. 2040 (3) | 18,375,000 | 19,680,272 | 0.45 | |||||||||
Fannie Mae, 4.00%, May 2045 | 22,305,505 | 24,532,899 | 0.56 | |||||||||
Fannie Mae, 4.00%, Jan. 2046 | 24,332,386 | 26,599,772 | 0.61 | |||||||||
Fannie Mae, 4.00%, Apr. 2046 | 11,912,200 | 13,133,080 | 0.30 | |||||||||
Fannie Mae, 4.00%, May 2046 | 24,727,642 | 27,173,499 | 0.62 | |||||||||
Fannie Mae, 4.50%, Aug. 2040 (3) | 19,500,000 | 21,272,139 | 0.48 | |||||||||
Fannie Mae, 4.50%, Jan. 2041 | 13,632,723 | 15,217,777 | 0.34 | |||||||||
Fannie Mae, 4.50%, Sep. 2045 | 15,262,991 | 17,103,158 | 0.39 | |||||||||
Freddie Mac, 3.50%, Mar. 2046 | 35,611,383 | 37,831,064 | 0.86 | |||||||||
Freddie Mac, 4.00%, Sep. 2041 | 21,753,943 | 23,913,114 | 0.54 | |||||||||
Freddie Mac, 4.00%, Dec. 2045 | 12,191,024 | 13,184,040 | 0.30 | |||||||||
Freddie Mac, 4.50%, Feb. 2046 | 19,264,753 | 21,588,247 | 0.49 | |||||||||
Freddie Mac, 5.50%, Aug. 2041 | 12,670,677 | 14,474,164 | 0.33 | |||||||||
Ginnie Mae, 3.00%, Jul. 2045 (3) | 39,540,000 | 41,325,476 | 0.94 | |||||||||
Ginnie Mae, 3.50%, Jul. 2045 (3) | 17,820,000 | 18,910,083 | 0.43 | |||||||||
Ginnie Mae, 3.50%, May 2046 | 12,406,801 | 13,189,953 | 0.29 | |||||||||
Ginnie Mae, 3.50%, Jun. 2046 | 17,248,000 | 18,337,002 | 0.41 | |||||||||
Ginnie Mae, 4.50%, May 2044 | 15,999,005 | 17,864,412 | 0.41 | |||||||||
Fannie Mae, 2.28%–6.50%, May 2018–May 2046 (3) | 268,621,766 | 289,444,423 | 6.56 | |||||||||
Freddie Mac, 2.50%–5.00%, Jul. 2030–Jul. 2046 | 102,260,134 | 108,197,591 | 2.45 | |||||||||
Ginnie Mae, 2.50%–5.50%, May 2040–Jun. 2046 (3) | 69,545,298 | 73,804,315 | 1.67 | |||||||||
Other Securities (1) | 210,631,382 | 211,460,545 | 4.80 | |||||||||
|
|
|
| |||||||||
Total Mortgage-Backed Obligations | 1,247,955,586 | 28.30 | ||||||||||
|
|
|
| |||||||||
Total Bonds & Notes | 4,140,932,649 | 93.89 | ||||||||||
|
|
|
| |||||||||
BANK LOANS | ||||||||||||
Various Securities (6) | 45,271,696 | 45,030,268 | 1.02 | |||||||||
|
|
|
| |||||||||
Total Bank Loans | 45,030,268 | 1.02 | ||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
26 | Annual Report • June 30, 2016 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
PREFERRED STOCKS | ||||||||||||
Financials | ||||||||||||
Various Securities | 396,375 | $ | 10,812,131 | 0.24 | % | |||||||
|
|
|
| |||||||||
Total Financials | 10,812,131 | 0.24 | ||||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Various Securities | 26,350 | 698,538 | 0.02 | |||||||||
|
|
|
| |||||||||
Total Industrials | 698,538 | 0.02 | ||||||||||
|
|
|
| |||||||||
Total Preferred Stocks | 11,510,669 | 0.26 | ||||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Funds – Class I, 0.26% (4)(7) | 284,840,192 | 284,840,192 | 6.46 | |||||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 0.16% (4)(7) | 334,937,558 | 334,937,558 | 7.59 | |||||||||
|
|
|
| |||||||||
Total Money Market Funds | 619,777,750 | 14.05 | ||||||||||
|
|
|
| |||||||||
Principal Amount | Value | Percentage of Net Assets | ||||||||||
U.S. Treasury Bills | ||||||||||||
U.S. Treasury Bill, 0.00%, Jul. 2016 (5) | $ | 520,000 | $ | 519,947 | 0.01 | % | ||||||
U.S. Treasury Bill, 0.00%, Sep. 2016 (5) | 620,000 | 619,717 | 0.02 | |||||||||
U.S. Treasury Bill, 0.00%, Sep. 2016 (5) | 120,000 | 119,922 | 0.00 | |||||||||
|
|
|
| |||||||||
Total U.S. Treasury Bills | 1,259,586 | 0.03 | ||||||||||
|
|
|
| |||||||||
Total Short-Term Investments | 621,037,336 | 14.08 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES | 4,818,510,922 | 109.25 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (408,084,829 | ) | (9.25 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 4,410,426,093 | 100.00 | % | ||||||||
|
|
|
|
(1) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities totals $479,008,668 , which represents 10.86% of total net assets. See Note 3(d) in the Notes to Financial Statements. |
(2) | Inflation protected security or includes inflation protected securities. The value of these securities totals $50,993,315, which represents 1.16% of total net assets. |
(3) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities totals $262,022,663, which represents 5.94% 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 and swap contracts. The value of the pledged issues total $2,216,559, which represent 0.05% of total net assets. |
(6) | Includes securities that are treated as illiquid by the Fund. The value of these securities totals $1,393,179, which represents 0.03% of total net assets. |
(7) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 27 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Open Futures Contracts
Number of Contracts | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
148 | U.S. 2 Year Note Future | Citigroup | Sep. 2016 | $ | 32,245,894 | $ | 32,460,563 | $ | 214,669 | |||||||||||
102 | U.S. 2 Year Note Future | Goldman Sachs | Sep. 2016 | 22,217,009 | 22,371,468 | 154,459 | ||||||||||||||
(248) | U.S. Note 5 Year Note Future | Goldman Sachs | Sep. 2016 | (29,739,820 | ) | (30,296,687 | ) | (556,867 | ) | |||||||||||
668 | U.S. Note 5 Year Note Future | Citigroup | Sep. 2016 | 80,965,718 | 81,605,594 | 639,876 | ||||||||||||||
(259) | U.S. 10 Year Note Future | Goldman Sachs | Sep. 2016 | (33,828,813 | ) | (34,442,953 | ) | (614,140 | ) | |||||||||||
251 | U.S. Long Bond Future | Goldman Sachs | Sep. 2016 | 41,814,408 | 43,258,281 | 1,443,873 | ||||||||||||||
9 | U.S. Long Bond Future | Goldman Sachs | Sep. 2016 | 1,570,655 | 1,677,375 | 106,720 | ||||||||||||||
|
| |||||||||||||||||||
$ | 1,388,590 | |||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Over-the-Counter
Purchase Contracts | Counterparty | Currency | Currency Amount Purchased | Value at Settlement Date | Value at June 30, 2016 | Unrealized Appreciation | ||||||||||||||
Mexican Peso, Expiring 7/5/16 | Merrill Lynch | MXN | 23,910,000 | $ | 1,287,561 | $ | 1,307,194 | $ | 19,633 | |||||||||||
Mexican Peso, Expiring 7/5/16 | Merrill Lynch | MXN | 39,035,000 | 2,063,106 | 2,134,100 | 70,994 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 3,350,667 | $ | 3,441,294 | $ | 90,627 | |||||||||||||||
|
|
|
|
|
|
Sales Contracts | Counterparty | Currency | Currency Amount Sold | Value at Settlement Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||
Mexican Peso, Expiring 7/5/16 | Royal Bank of Scotland | MXN | (24,460,000 | ) | $ | (1,310,088 | ) | $ | (1,337,263 | ) | $ | (27,175 | ) | |||||||
Mexican Peso, Expiring 7/5/16 | Morgan Stanley | MXN | (38,485,000 | ) | (2,194,290 | ) | (2,104,030 | ) | 90,260 | |||||||||||
Mexican Peso, Expiring 7/29/16 | Merrill Lynch | MXN | (31,080,000 | ) | (1,638,938 | ) | (1,695,260 | ) | (56,322 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||
(5,143,316 | ) | (5,136,553 | ) | 6,763 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | (1,792,649 | ) | $ | (1,695,259 | ) | $ | 97,390 | |||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps—Buy Protection
Counterparty | Reference Entity | Fixed Annual Rate Paid By Fund | Maturity Date | Credit Spread | Notional Amount | Upfront Premium Received | Unrealized Depreciation | |||||||||||||
J.P. Morgan | Markit CDX North America High Yield Index Series 26 | 5.00% | 06/20/2021 | 4.69% | $ | 2,000,000 | $ | (25,875 | ) | $ | (34,619 | ) |
Centrally Cleared Credit Default Swaps—Sell Protection
Counterparty | Reference Entity | Fixed Annual Rate Received By Fund | Maturity Date | Credit Spread | Notional Amount | Upfront Premium Paid | Unrealized Appreciation | |||||||||||||
J.P. Morgan | Markit CDX North America Investment Grade Index Series 26 | 1.00% | 06/20/2021 | 0.78% | $ | 11,400,000 | $ | 86,407 | $ | 28,370 |
Over-the-Counter Credit Default Swaps—Sell Protection
Counterparty | Reference Entity | Fixed Annual Rate Received By Fund | Maturity Date | Credit Spread | Notional Amount | Upfront Premium Received | Unrealized Depreciation | |||||||||||||||||
Goldman Sachs | Markit CMBX North America AAA CDSI Series 9 | 0.50% | 09/17/2058 | 1.09 | % | $ | 4,000,000 | $ | (195,497 | ) | $ | (9,047 | ) |
The accompanying notes are an integral part of these financial statements.
28 | Annual Report • June 30, 2016 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2016
Principal Amount | Value | Percentage of Net Assets | ||||||||||
MUNICIPAL BONDS | ||||||||||||
Education | ||||||||||||
Connecticut State Health & Educational Facility Authority, 1.00%, Jul. 2042 | $ | 28,000,000 | $ | 28,082,320 | 1.43 | % | ||||||
School Board of Miami-Dade County, 5.00%, May 2031 | 5,000,000 | 6,107,650 | 0.31 | |||||||||
State Public School Building Authority, 5.00%, Dec. 2022 | 7,370,000 | 8,855,571 | 0.45 | |||||||||
State Public School Building Authority, 5.00%, Dec. 2029 | 5,000,000 | 6,228,000 | 0.32 | |||||||||
University of Akron, 5.00%, Jan. 2037 | 6,675,000 | 8,128,415 | 0.41 | |||||||||
Virginia Public School Authority, 5.00%, Aug. 2021 | 6,000,000 | 7,170,300 | 0.36 | |||||||||
New Jersey Economic Development Authority, 4.00%–5.00%, Jun. 2019–Jul. 2036 (3) | 9,180,000 | 10,337,747 | 0.52 | |||||||||
State of Florida, 5.00%, Jun. 2018–Jun. 2019 (3) | 4,710,000 | 5,147,598 | 0.26 | |||||||||
State Public School Building Authority, 4.00%–5.00%, Dec. 2020–Jun. 2025 (3) | 7,090,000 | 8,192,564 | 0.42 | |||||||||
Virginia Public School Authority, 5.00%, Aug. 2017–Aug. 2026 | 13,025,000 | 15,427,489 | 0.78 | |||||||||
Other Securities (1) | 81,105,000 | 94,237,769 | 4.78 | |||||||||
|
|
|
| |||||||||
Total Education | 197,915,423 | 10.04 | ||||||||||
|
|
|
| |||||||||
General Obligation | ||||||||||||
City of New York NY, 5.00%, Aug. 2017 | 6,365,000 | 6,665,173 | 0.34 | |||||||||
City of New York NY, 5.00%, Aug. 2021 | 6,000,000 | 7,147,380 | 0.36 | |||||||||
City of New York NY, 5.00%, Aug. 2028 | 9,250,000 | 11,825,040 | 0.60 | |||||||||
City of New York NY, 0.41%, Aug. 2034 | 10,965,000 | 10,965,000 | 0.56 | |||||||||
City of Philadelphia PA, 5.00%, Aug. 2028 | 6,000,000 | 7,368,840 | 0.37 | |||||||||
Commonwealth of Massachusetts, 4.00%, Dec. 2017 | 6,015,000 | 6,303,720 | 0.32 | |||||||||
Commonwealth of Pennsylvania, 5.00%, Mar. 2023 | 9,970,000 | 12,056,522 | 0.61 | |||||||||
County of Pima AZ, 4.00%, Jul. 2022 | 13,160,000 | 15,216,382 | 0.77 | |||||||||
County of Suffolk NY, 1.50%, Sep. 2016 | 7,500,000 | 7,513,950 | 0.38 | |||||||||
Cypress-Fairbanks Independent School District, 3.00%, Feb. 2040 | 9,000,000 | 9,313,880 | 0.47 | |||||||||
Dallas County Community College District, 5.00%, Feb. 2021 | 7,610,000 | 8,985,051 | 0.46 | |||||||||
Dallas County Community College District, 5.00%, Feb. 2022 | 7,665,000 | 9,286,454 | 0.47 | |||||||||
Massachusetts Authority, 1.05%, Aug. 2043 | 10,500,000 | 10,499,895 | 0.53 | |||||||||
Metropolitan Government of Nashville & Davidson County TN, 5.00%, Jul. 2017 | 8,000,000 | 8,350,400 | 0.42 | |||||||||
State of Connecticut, 5.00%, Aug. 2019 | 20,380,000 | 22,759,161 | 1.15 | |||||||||
State of Connecticut, 5.00%, Sep. 2022 | 5,725,000 | 6,868,569 | 0.35 | |||||||||
State of Maryland, 5.00%, Mar. 2020 | 6,000,000 | 6,914,700 | 0.35 | |||||||||
State of Texas, 5.00%, Apr. 2028 | 5,000,000 | 6,469,450 | 0.33 | |||||||||
State of Texas, 5.00%, Oct. 2032 | 5,000,000 | 6,321,700 | 0.32 | |||||||||
State of Washington, 5.00%, Jul. 2031 | 5,000,000 | 6,222,800 | 0.32 | |||||||||
City of New York NY, 0.96%–5.00%, Aug. 2018–Aug. 2027 | 9,555,000 | 11,033,778 | 0.56 | |||||||||
City of Philadelphia PA, 2.00%–5.00%, Aug. 2016–Jul. 2026 | 14,280,000 | 15,751,026 | 0.80 | |||||||||
Commonwealth of Pennsylvania, 5.00%, Apr. 2017–Sep. 2026 | 13,745,000 | 16,273,790 | 0.82 | |||||||||
State of Connecticut, 5.00%, Aug. 2031 | 4,625,000 | 5,658,872 | 0.29 | |||||||||
State of Florida, 5.00%, Jun. 2017–Jul. 2024 (3) | 14,225,000 | 16,263,228 | 0.83 | |||||||||
State of Texas, 2.00%–5.00%, Aug. 2019–Apr. 2035 | 11,110,000 | 12,605,239 | 0.64 | |||||||||
State of Washington, 5.00%, Jan. 2019–Jul. 2030 | 15,800,000 | 18,752,204 | 0.95 | |||||||||
State Public School Building Authority, 5.00%, Jun. 2029 (3) | 500,000 | 607,520 | 0.03 | |||||||||
Other Securities | 262,430,000 | 295,856,658 | 15.00 | |||||||||
|
|
|
| |||||||||
Total General Obligation | 579,856,382 | 29.40 | ||||||||||
|
|
|
| |||||||||
General Revenue | ||||||||||||
California State Public Works Board, 4.00%, May 2017 | 11,315,000 | 11,631,707 | 0.59 | |||||||||
California State Public Works Board, 5.00%, May 2018 | 15,265,000 | 16,475,514 | 0.83 | |||||||||
Dallas Performing Arts Cultural Facilities Corp., 0.46%, Sep. 2041 | 10,000,000 | 10,000,000 | 0.51 | |||||||||
Industrial Development Board of the City of Mobile Alabama, 1.63%, Jul. 2034 | 11,500,000 | 11,630,525 | 0.59 | |||||||||
Louisiana Public Facilities Authority, 5.00%, Jun. 2021 | 7,695,000 | 8,983,220 | 0.46 | |||||||||
Texas Municipal Gas Acquisition & Supply Corp I, 6.25%, Dec. 2026 | 4,750,000 | 6,139,850 | 0.31 | |||||||||
Utah Transit Authority, 0.00%, Jun. 2035 | 16,935,000 | 6,832,087 | 0.35 | |||||||||
Virginia Commonwealth Transportation Board, 5.00%, May 2026 | 5,000,000 | 6,614,200 | 0.33 | |||||||||
California State Public Works Board, 5.00%, Nov. 2037 | 235,000 | 280,033 | 0.01 | |||||||||
Illinois Finance Authority, 4.00%–8.00%, May 2023–May 2047 (3) | 2,895,000 | 3,304,943 | 0.17 | |||||||||
New Jersey Economic Development Authority, 4.00%–5.63%, Jan. 2020–Jan. 2052 (3) | 15,615,000 | 17,941,647 | 0.91 | |||||||||
New York State Dormitory Authority, 5.00%, Mar. 2017–Mar. 2027 (3) | 15,855,000 | 17,714,029 | 0.90 | |||||||||
Other Securities (1)(2) | 280,660,000 | 311,966,379 | 15.82 | |||||||||
|
|
|
| |||||||||
Total General Revenue | 429,514,134 | 21.78 | ||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 29 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Principal Amount | Value | Percentage of Net Assets | ||||||||||
Healthcare | ||||||||||||
Illinois Finance Authority, 0.42%, Jul. 2032 | $ | 10,000,000 | $ | 10,000,000 | 0.51 | % | ||||||
Indiana Health Facility Financing Authority, 4.00%, Nov. 2027 | 8,000,000 | 8,279,920 | 0.42 | |||||||||
Michigan State Hospital Finance Authority, 1.40%, Nov. 2047 | 7,565,000 | 7,646,551 | 0.39 | |||||||||
Illinois Finance Authority, 5.00%–5.50%, Feb. 2017–Dec. 2046 (3) | 21,095,000 | 24,716,012 | 1.25 | |||||||||
New York State Dormitory Authority, 5.00%, Jul. 2022–Jul. 2025 (3) | 5,870,000 | 7,308,176 | 0.37 | |||||||||
Other Securities (1) | 140,321,250 | 155,939,066 | 7.91 | |||||||||
|
|
|
| |||||||||
Total Healthcare | 213,889,725 | 10.85 | ||||||||||
|
|
|
| |||||||||
Housing | ||||||||||||
Various Securities (1) | 63,785,000 | 65,841,523 | 3.34 | |||||||||
|
|
|
| |||||||||
Total Housing | 65,841,523 | 3.34 | ||||||||||
|
|
|
| |||||||||
Transportation | ||||||||||||
Chicago Transit Authority, 5.00%, Jun. 2026 | 8,275,000 | 9,800,413 | 0.49 | |||||||||
County of Miami–Dade Seaport Department, 0.42%, Oct. 2050 | 10,000,000 | 10,000,000 | 0.51 | |||||||||
Illinois State Toll Highway Authority, 5.00%, Jan. 2041 | 10,625,000 | 13,001,600 | 0.66 | |||||||||
New York State Thruway Authority, 5.00%, May 2019 | 18,525,000 | 20,656,487 | 1.05 | |||||||||
North Texas Tollway Authority, 0.41%, Jan. 2049 | 10,000,000 | 10,000,000 | 0.51 | |||||||||
Pennsylvania Turnpike Commission, 5.00%, Jun. 2029 | 5,000,000 | 6,110,050 | 0.31 | |||||||||
Texas Transportation Commission State Highway Fund, 5.00%, Oct. 2023 | 5,000,000 | 6,269,700 | 0.32 | |||||||||
North Texas Tollway Authority, 5.00%–6.25%, Sep. 2020–Jan. 2045 | 18,335,000 | 21,987,858 | 1.11 | |||||||||
Other Securities | 135,940,000 | 156,398,300 | 7.93 | |||||||||
|
|
|
| |||||||||
Total Transportation | 254,224,408 | 12.89 | ||||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
County of King WA Sewer Revenue, 0.43%, Jan. 2032 | 8,250,000 | 8,250,000 | 0.42 | |||||||||
County of Pima AZ Sewer System Revenue, 5.00%, Jul. 2022 | 10,000,000 | 12,181,200 | 0.62 | |||||||||
New York City Water & Sewer System, 5.00%, Jun. 2031 | 6,075,000 | 7,668,169 | 0.39 | |||||||||
New York City Water & Sewer System, 0.60%, Jun. 2032 | 7,000,000 | 7,000,000 | 0.35 | |||||||||
Piedmont Municipal Power Agency, 5.00%, Jan. 2017 | 13,185,000 | 13,456,347 | 0.68 | |||||||||
South Carolina Public Service Authority, 5.00%, Dec. 2050 | 8,640,000 | 10,301,040 | 0.52 | |||||||||
Other Securities | 109,995,000 | 124,377,984 | 6.31 | |||||||||
|
|
|
| |||||||||
Total Utilities | 183,234,740 | 9.29 | ||||||||||
|
|
|
| |||||||||
Total Municipal Bonds | 1,924,476,335 | 97.59 | ||||||||||
|
|
|
| |||||||||
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Funds | ||||||||||||
Fidelity Institutional Money Market Government Funds – Class I , 0.26% (4) | 73,905,796 | $ | 73,905,796 | 3.75 | % | |||||||
Goldman Sachs Financial Square Treasury Solutions Fund – Class I , 0.16% (4) | 73,905,795 | 73,905,795 | 3.75 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments | 147,811,591 | 7.50 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES | 2,072,287,926 | 105.09 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (100,328,095 | ) | (5.09 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 1,971,959,831 | 100.00 | % | ||||||||
|
|
|
|
(1) | Includes restricted securities as defined in Rule 144A under the Securities Act of 1933. The value of these securities total $23,997,306, which represents 1.22% of total net assets. See Note 3(d) in the Notes to Financial Statements. |
(2) | Includes a security that is treated as illiquid by the Fund. The value of this security totals $963,433, which represents 0.05% of total net assets. |
The accompanying notes are an integral part of these financial statements.
30 | Annual Report • June 30, 2016 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
(3) | Issuer includes securities in multiple catergories. The market value of the issuer as a whole is greater than 1% of the Fund’s Total Net Assets. |
(4) | Represents annualized seven-day yield as of the close of the reporting period. |
Open Futures Contracts
Number of Contracts | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Depreciation | ||||||||||||||
(150) | U.S. 5 Year Note Future | J.P. Morgan | Sep. 2016 | $ | (18,324,324 | ) | $ | (18,324,609 | ) | $ | (285 | ) | ||||||||
|
| |||||||||||||||||||
$ | (285 | ) | ||||||||||||||||||
|
|
State | % of Net Assets | |||
Alabama | 1.06 | % | ||
Alaska | 0.23 | |||
Arizona | 2.21 | |||
Arkansas | 0.04 | |||
California | 5.06 | |||
Colorado | 0.61 | |||
Connecticut | 4.26 | |||
Delaware | 0.10 | |||
District of Columbia | 0.35 | |||
Florida | 7.26 | |||
Georgia | 1.30 | |||
Guam | 0.09 | |||
Hawaii | 0.13 | |||
Idaho | 0.35 | |||
Illinois | 8.62 | |||
Indiana | 2.46 | |||
Iowa | 0.24 | |||
Kansas | 0.27 | |||
Kentucky | 0.64 | |||
Louisiana | 1.52 | |||
Maine | 0.07 | |||
Maryland | 2.25 | |||
Massachusetts | 2.57 | |||
Michigan | 2.44 | |||
Minnesota | 1.01 | |||
Mississippi | 0.76 | |||
Missouri | 0.41 | |||
Nebraska | 0.05 | |||
Nevada | 0.73 |
State | % of Net Assets | |||
New Hampshire | 0.13 | % | ||
New Jersey | 3.56 | |||
New Mexico | 0.23 | |||
New York | 10.39 | |||
North Carolina | 2.17 | |||
North Dakota | 0.03 | |||
Ohio | 1.92 | |||
Oklahoma | 0.43 | |||
Oregon | 0.63 | |||
Pennsylvania | 7.25 | |||
Puerto Rico | 0.16 | |||
Rhode Island | 0.38 | |||
South Carolina | 1.81 | |||
South Dakota | 0.25 | |||
Tennessee | 1.39 | |||
Texas | 12.27 | |||
Utah | 0.35 | |||
Virgin Islands | 0.18 | |||
Virginia | 4.03 | |||
Washington | 2.14 | |||
West Virginia | 0.23 | |||
Wisconsin | 0.57 | |||
|
| |||
Total Municipal Bonds | 97.59 | |||
|
| |||
SHORT-TERM INVESTMENTS | 7.50 | |||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 105.09 | |||
LIABILITIES IN EXCESS OF OTHER ASSETS | (5.09 | ) | ||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 31 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2016
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Amazon.com, Inc. (1) | 95,223 | $ | 68,143,483 | 2.93 | % | |||||||
Chipotle Mexican Grill, Inc. (1) | 44,704 | 18,004,983 | 0.78 | |||||||||
Dollar General Corp. | 226,501 | 21,291,094 | 0.92 | |||||||||
Lowes Companies, Inc. | 687,748 | 54,449,009 | 2.34 | |||||||||
Nike, Inc. | 588,594 | 32,490,389 | 1.40 | |||||||||
Starbucks Corp. | 523,535 | 29,904,319 | 1.29 | |||||||||
The Priceline Group, Inc. (1) | 24,896 | 31,080,415 | 1.34 | |||||||||
Other Securities (1) | 2,981,913 | 162,808,322 | 7.00 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 418,172,014 | 18.00 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Colgate Palmolive Co. | 351,904 | 25,759,373 | 1.11 | |||||||||
Costco Wholesale Corp. | 137,884 | 21,653,303 | 0.93 | |||||||||
Molson Coors Brewing Co. | 159,415 | 16,121,639 | 0.69 | |||||||||
Mondelez International, Inc. | 532,282 | 24,224,154 | 1.04 | |||||||||
Procter & Gamble Co. | 340,276 | 28,811,169 | 1.24 | |||||||||
Whole Foods Market, Inc. | 548,704 | 17,569,502 | 0.76 | |||||||||
Other Securities (1) | 1,167,408 | 75,105,725 | 3.24 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 209,244,865 | 9.01 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Core Laboratories NV | 127,697 | 15,820,381 | 0.68 | |||||||||
Schlumberger Ltd. | 518,669 | 41,016,345 | 1.76 | |||||||||
Other Securities (1) | 170,366 | 15,271,806 | 0.66 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 72,108,532 | 3.10 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Bank of America Corp. | 1,130,860 | 15,006,512 | 0.65 | |||||||||
Equinix, Inc. | 58,749 | 22,778,750 | 0.98 | |||||||||
Intercontinental Exchange, Inc. | 107,580 | 27,536,177 | 1.18 | |||||||||
State Street Corp. | 278,590 | 15,021,573 | 0.65 | |||||||||
Wells Fargo & Co. | 441,950 | 20,917,494 | 0.90 | |||||||||
Other Securities (1) | 1,196,222 | 68,431,682 | 2.94 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 169,692,188 | 7.30 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Amgen, Inc. | 150,388 | 22,881,534 | 0.99 | |||||||||
Bristol Myers Squibb Co. | 757,779 | 55,734,645 | 2.40 | |||||||||
Celgene Corp. (1) | 183,806 | 18,128,786 | 0.78 | |||||||||
Cerner Corp. (1) | 645,641 | 37,834,563 | 1.63 | |||||||||
Eli Lilly & Co. | 176,613 | 13,908,274 | 0.60 | |||||||||
Johnson & Johnson | 218,038 | 26,448,009 | 1.14 | |||||||||
Pfizer, Inc. | 652,526 | 22,975,440 | 0.99 | |||||||||
Regeneron Pharmaceuticals, Inc. (1) | 51,944 | 18,140,403 | 0.78 | |||||||||
Zoetis, Inc. | 494,920 | 23,488,903 | 1.01 | |||||||||
Other Securities (1) | 1,630,918 | 161,625,039 | 6.95 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 401,165,596 | 17.27 | |||||||||
|
|
|
|
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
Honeywell International, Inc. | 196,600 | $ | 22,868,512 | 0.98 | % | |||||||
TransDigm Group, Inc. (1) | 76,766 | 20,242,427 | 0.87 | |||||||||
Union Pacific Corp. | 295,222 | 25,758,120 | 1.11 | |||||||||
Other Securities (1) | 1,257,198 | 107,495,140 | 4.63 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 176,364,199 | 7.59 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Adobe Systems, Inc. (1) | 169,731 | 16,258,532 | 0.70 | |||||||||
Alphabet, Inc. – Class A (1) | 100,636 | 70,800,445 | 3.05 | |||||||||
Alphabet, Inc. – Class C (1) | 50,144 | 34,704,662 | 1.49 | |||||||||
Apple, Inc. | 922,006 | 88,143,774 | 3.80 | |||||||||
ARM Holdings Plc – ADR | 343,373 | 15,626,905 | 0.67 | |||||||||
Automatic Data Processing, Inc. | 245,723 | 22,574,572 | 0.97 | |||||||||
Cisco Systems, Inc. | 691,930 | 19,851,472 | 0.86 | |||||||||
Facebook, Inc. (1) | 487,908 | 55,758,126 | 2.40 | |||||||||
FleetCor Technologies, Inc. (1) | 146,416 | 20,956,522 | 0.90 | |||||||||
MasterCard, Inc. | 183,945 | 16,198,197 | 0.70 | |||||||||
Microsoft Corp. | 1,201,833 | 61,497,795 | 2.65 | |||||||||
Red Hat, Inc. (1) | 481,885 | 34,984,851 | 1.51 | |||||||||
Salesforce.com, Inc. (1) | 393,623 | 31,257,602 | 1.35 | |||||||||
SAP SE – ADR | 192,499 | 14,441,275 | 0.62 | |||||||||
Vantiv, Inc. (1) | 245,310 | 13,884,546 | 0.60 | |||||||||
Visa, Inc. | 682,830 | 50,645,501 | 2.18 | |||||||||
Other Securities (1) | 3,148,355 | 138,610,066 | 5.95 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 706,194,843 | 30.40 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Ecolab, Inc. | 204,788 | 24,287,857 | 1.05 | |||||||||
Other Securities (1) | 172,709 | 14,740,142 | 0.63 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 39,027,999 | 1.68 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
AT&T, Inc. | 511,490 | 22,101,483 | 0.95 | |||||||||
Other Securities (1) | 125,781 | 10,564,420 | 0.46 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 32,665,903 | 1.41 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities | 2,713 | 156,075 | 0.01 | |||||||||
|
|
|
| |||||||||
Total Utilities | 156,075 | 0.01 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks |
| $ | 2,224,792,214 | 95.77 | ||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.29% (2) | 59,891,289 | $ | 59,891,289 | 2.58 |
The accompanying notes are an integral part of these financial statements.
32 | Annual Report • June 30, 2016 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS – (continued) |
| |||||||||||
Money Market Funds – (continued) | ||||||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.30% (2) | 59,891,290 | $ | 59,891,290 | 2.58 | % | |||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 119,782,579 | 5.16 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost $2,270,781,488) | 2,344,574,793 | 100.93 | ||||||||||
|
|
|
| |||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (21,570,016 | ) | (0.93 | ) | ||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 2,323,004,777 | 100.00 | % | ||||||||
|
|
|
|
ADR American Depository Receipt
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Represents annualized seven-day yield as of the close of the reporting period. |
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 | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||
1 | E-Mini NASDAQ 100 Index Futures | Morgan Stanley | Sep. 2016 | $ | 87,948 | $ | 88,140 | $ | 192 | |||||||||||
1 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | 104,227 | 104,510 | 283 | ||||||||||||||
|
| |||||||||||||||||||
$ | 475 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 33 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2016
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Michelin | 189,051 | $ | 17,816,359 | 0.69 | % | |||||||
Nike, Inc. | 415,498 | 22,935,490 | 0.88 | |||||||||
Time Warner, Inc. | 304,445 | 22,388,885 | 0.86 | |||||||||
Other Securities (1) | 4,345,962 | 203,565,200 | 7.85 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 266,705,934 | 10.28 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Altria Group, Inc. | 263,000 | 18,136,480 | 0.70 | |||||||||
Coca Cola Co. | 444,863 | 20,165,640 | 0.78 | |||||||||
Colgate Palmolive Co. | 306,496 | 22,435,507 | 0.86 | |||||||||
Costco Wholesale Corp. | 153,445 | 24,097,003 | 0.93 | |||||||||
Diageo Plc ADR | 156,365 | 17,650,481 | 0.68 | |||||||||
Procter & Gamble Co. | 255,058 | 21,595,761 | 0.83 | |||||||||
Other Securities (1) | 1,053,987 | 85,415,132 | 3.29 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 209,496,004 | 8.07 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Apache Corp. | 523,105 | 29,121,255 | 1.12 | |||||||||
Chevron Corp. | 190,568 | 19,977,243 | 0.77 | |||||||||
Devon Energy Corp. | 810,687 | 29,387,404 | 1.13 | |||||||||
EOG Resources, Inc. | 221,842 | 18,506,060 | 0.71 | |||||||||
Exxon Mobil Corp. | 232,308 | 21,776,552 | 0.84 | |||||||||
Hess Corp. | 349,603 | 21,011,140 | 0.81 | |||||||||
Other Securities (1) | 2,406,515 | 95,089,009 | 3.67 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 234,868,663 | 9.05 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Alleghany Corp. (1) | 32,277 | 17,738,794 | 0.68 | |||||||||
American Express Co. | 440,634 | 26,772,922 | 1.03 | |||||||||
Berkshire Hathaway, Inc. – Class B (1) | 313,681 | 45,417,872 | 1.75 | |||||||||
Chubb Ltd. | 322,945 | 42,212,141 | 1.63 | |||||||||
Citigroup, Inc. | 928,406 | 39,355,130 | 1.52 | |||||||||
JPMorgan Chase & Co. | 343,525 | 21,346,643 | 0.82 | |||||||||
Marsh & McLennan Companies, Inc. | 329,139 | 22,532,856 | 0.87 | |||||||||
PNC Financial Services Group, Inc. | 321,102 | 26,134,492 | 1.01 | |||||||||
The Goldman Sachs Group, Inc. | 135,813 | 20,179,096 | 0.78 | |||||||||
Wells Fargo & Co. | 725,424 | 34,334,318 | 1.32 | |||||||||
Other Securities (1) | 9,074,956 | 228,913,154 | 8.82 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 524,937,418 | 20.23 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Cardinal Health, Inc. | 363,660 | 28,369,117 | 1.09 | |||||||||
Johnson & Johnson | 327,232 | 39,693,242 | 1.53 | |||||||||
Medtronic Plc | 499,093 | 43,306,300 | 1.67 | |||||||||
Merck & Co., Inc. | 643,061 | 37,046,744 | 1.43 | |||||||||
Pfizer, Inc. | 587,907 | 20,700,206 | 0.80 | |||||||||
UnitedHealth Group, Inc. | 242,085 | 34,182,402 | 1.32 | |||||||||
Other Securities (1) | 1,835,765 | 131,097,197 | 5.04 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 334,395,208 | 12.88 | |||||||||
|
|
|
|
Shares | Value | Percentage of Net Assets | ||||||||||
Industrials | ||||||||||||
Air Lease Corp. | 717,236 | $ | 19,207,580 | 0.74 | % | |||||||
Canadian National Railway Co. | 308,837 | 18,239,913 | 0.70 | |||||||||
General Dynamics Corp. | 137,993 | 19,214,145 | 0.74 | |||||||||
Honeywell International, Inc. | 261,367 | 30,402,209 | 1.17 | |||||||||
Jacobs Engineering Group, Inc. (1) | 426,114 | 21,224,738 | 0.82 | |||||||||
Lockheed Martin Corp. | 81,259 | 20,166,046 | 0.78 | |||||||||
Union Pacific Corp. | 380,600 | 33,207,350 | 1.28 | |||||||||
United Parcel Service, Inc. | 215,756 | 23,241,236 | 0.90 | |||||||||
United Technologies Corp. | 304,440 | 31,220,322 | 1.20 | |||||||||
Other Securities (1) | 3,910,099 | 149,167,053 | 5.75 | |||||||||
|
|
|
| |||||||||
Total Industrials | 365,290,592 | 14.08 | ||||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Accenture Plc | 167,205 | 18,942,654 | 0.73 | |||||||||
Apple, Inc. | 343,680 | 32,855,808 | 1.27 | |||||||||
Automatic Data Processing, Inc. | 212,873 | 19,556,643 | 0.75 | |||||||||
Microsoft Corp. | 706,993 | 36,176,832 | 1.40 | |||||||||
Oracle Corp. | 1,085,956 | 44,448,179 | 1.71 | |||||||||
Qualcomm, Inc. | 440,752 | 23,611,085 | 0.91 | |||||||||
Samsung Electronic Co. Ltd. | 27,521 | 34,273,312 | 1.32 | |||||||||
Other Securities (1) | 2,194,755 | 97,025,284 | 3.74 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 306,889,797 | 11.83 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Goldcorp, Inc. | 1,514,653 | 28,975,312 | 1.12 | |||||||||
LyondellBasell Industries NV | 414,967 | 30,881,844 | 1.19 | |||||||||
The Mosaic Co. | 948,310 | 24,826,756 | 0.96 | |||||||||
Other Securities (1) | 5,303,417 | 115,659,354 | 4.45 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 200,343,266 | 7.72 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 871,970 | 35,420,726 | 1.36 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 35,420,726 | 1.36 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities (1) | 350,303 | 18,703,286 | 0.72 | |||||||||
|
|
|
| |||||||||
Total Utilities | 18,703,286 | 0.72 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 2,497,050,894 | 96.22 | |||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.29% (2) | 41,607,735 | 41,607,735 | 1.60 |
The accompanying notes are an integral part of these financial statements.
34 | Annual Report • June 30, 2016 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS – (continued) |
| |||||||||||
Money Market Funds – (continued) | ||||||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.30% (2) | 41,653,338 | $ | 41,653,338 | 1.61 | % | |||||||
|
|
|
| |||||||||
Total Short-Term Investments (Cost: $83,261,073) | 83,261,073 | 3.21 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $2,565,954,416) | 2,580,311,967 | 99.43 | ||||||||||
|
|
|
| |||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 14,764,968 | 0.57 | ||||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 2,595,076,935 | 100.00 | % | ||||||||
|
|
|
|
ADR American Depository Receipt
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Represents annualized seven-day yield as of the close of the reporting period. |
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 | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||
15 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | $ | 1,550,753 | $ | 1,567,650 | $ | 16,897 | |||||||||||
|
| |||||||||||||||||||
$ | 16,897 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 35 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2016
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Advance Auto Parts, Inc. | 133,514 | $ | 21,579,868 | 1.31 | % | |||||||
Buffalo Wild Wings, Inc. (1) | 85,729 | 11,912,045 | 0.72 | |||||||||
CarMax, Inc. (1) | 225,129 | 11,038,075 | 0.67 | |||||||||
Ross Stores, Inc. | 284,986 | 16,155,856 | 0.98 | |||||||||
Sally Beauty Holdings, Inc. (1) | 329,965 | 9,704,271 | 0.59 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 138,433 | 10,237,120 | 0.62 | |||||||||
Tractor Supply Co. | 142,973 | 13,036,278 | 0.79 | |||||||||
TripAdvisor, Inc. (1) | 155,940 | 10,026,942 | 0.61 | |||||||||
Other Securities (1) | 3,848,200 | 141,506,959 | 8.60 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 245,197,414 | 14.89 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Casey’s General Stores, Inc. | 119,091 | 15,661,657 | 0.95 | |||||||||
Flowers Foods, Inc. | 736,837 | 13,815,694 | 0.84 | |||||||||
Snyder’s-Lance, Inc. | 277,426 | 9,401,967 | 0.57 | |||||||||
TreeHouse Foods, Inc. (1) | 141,612 | 14,536,472 | 0.88 | |||||||||
Other Securities (1) | 1,073,808 | 56,554,613 | 3.44 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 109,970,403 | 6.68 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Core Laboratories NV | 144,580 | 17,912,016 | 1.09 | |||||||||
Other Securities (1) | 1,932,659 | 27,556,337 | 1.67 | |||||||||
|
|
|
| |||||||||
Total Energy |
| 45,468,353 | 2.76 | |||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Allied World Assurance Co. Holdings AG | 320,000 | 11,244,800 | 0.68 | |||||||||
Arthur J. Gallagher & Co. | 219,677 | 10,456,625 | 0.63 | |||||||||
Commerce Bancshares, Inc. | 205,500 | 9,843,450 | 0.60 | |||||||||
Cullen/Frost Bankers, Inc. | 162,000 | 10,324,260 | 0.63 | |||||||||
Endurance Specialty Holdings Ltd. | 197,500 | 13,264,100 | 0.81 | |||||||||
Northern Trust Corp. | 165,500 | 10,966,030 | 0.67 | |||||||||
Other Securities (1) | 3,319,216 | 132,265,762 | 8.03 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 198,365,027 | 12.05 | |||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
Centene Corp. (1) | 164,915 | 11,769,984 | 0.72 | |||||||||
Cepheid (1) | 328,494 | 10,101,191 | 0.61 | |||||||||
Dentsply Sirona, Inc. | 247,470 | 15,353,039 | 0.93 | |||||||||
Laboratory Corp. of America Holdings (1) | 82,401 | 10,734,378 | 0.65 | |||||||||
MEDNAX, Inc. (1) | 152,227 | 11,025,802 | 0.67 | |||||||||
Mettler-Toledo International, Inc. (1) | 49,172 | 17,943,846 | 1.09 | |||||||||
NuVasive, Inc. (1) | 171,142 | 10,220,600 | 0.62 | |||||||||
PAREXEL International Corp. (1) | 184,009 | 11,570,486 | 0.70 | |||||||||
St. Jude Medical, Inc. | 175,904 | 13,720,512 | 0.83 |
Shares | Value | Percentage of Net Assets | ||||||||||
STERIS Plc | 161,000 | $ | 11,068,750 | 0.67 | % | |||||||
The Cooper Companies, Inc. | 63,128 | 10,830,871 | 0.66 | |||||||||
Universal Health Services, Inc. | 84,716 | 11,360,416 | 0.69 | |||||||||
Other Securities (1) | 4,487,206 | 170,383,215 | 10.35 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 316,083,090 | 19.19 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
A.O. Smith Corp. | 106,746 | 9,405,390 | 0.57 | |||||||||
CLARCOR, Inc. | 164,008 | 9,976,607 | 0.61 | |||||||||
Dover Corp. | 196,000 | 13,586,720 | 0.83 | |||||||||
IDEX Corp. | 238,021 | 19,541,524 | 1.19 | |||||||||
Rockwell Automation, Inc. | 208,305 | 23,917,580 | 1.45 | |||||||||
W.W. Grainger, Inc. | 57,191 | 12,996,655 | 0.79 | |||||||||
Other Securities (1) | 3,105,206 | 153,946,157 | 9.34 | |||||||||
|
|
|
| |||||||||
Total Industrials |
| 243,370,633 | 14.78 | |||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Aspen Technology, Inc. (1) | 295,383 | 11,886,212 | 0.72 | |||||||||
FEI Co. | 95,995 | 10,259,946 | 0.62 | |||||||||
Fortinet, Inc. (1) | 554,329 | 17,511,253 | 1.06 | |||||||||
MercadoLibre, Inc. | 92,150 | 12,962,740 | 0.78 | |||||||||
Palo Alto Networks, Inc. (1) | 107,081 | 13,132,414 | 0.80 | |||||||||
PTC, Inc. (1) | 300,045 | 11,275,691 | 0.69 | |||||||||
Red Hat, Inc. (1) | 176,069 | 12,782,609 | 0.78 | |||||||||
Splunk, Inc. (1) | 278,121 | 15,068,596 | 0.92 | |||||||||
WEX, Inc. (1) | 143,958 | 12,764,756 | 0.78 | |||||||||
Workday, Inc. (1) | 232,780 | 17,381,683 | 1.06 | |||||||||
Other Securities (1) | 5,110,986 | 215,030,990 | 13.05 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 350,056,890 | 21.26 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Berry Plastics Group, Inc. (1) | 333,920 | 12,972,792 | 0.79 | |||||||||
Martin Marietta Materials, Inc. | 54,877 | 10,536,384 | 0.64 | |||||||||
Other Securities (1) | 581,931 | 26,276,002 | 1.59 | |||||||||
|
|
|
| |||||||||
Total Materials |
| 49,785,178 | 3.02 | |||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
SBA Communications Corp. (1) | 118,323 | 12,771,785 | 0.78 | |||||||||
Other Securities (1) | 392,888 | 4,695,633 | 0.28 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 17,467,418 | 1.06 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
Various Securities | 75,440 | 3,813,770 | 0.23 | |||||||||
|
|
|
| |||||||||
Total Utilities |
| 3,813,770 | 0.23 | |||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 1,579,578,176 | 95.92 | |||||||||
|
|
|
| |||||||||
RIGHTS | ||||||||||||
Healthcare | ||||||||||||
Dyax Corp. (1)(2) | 15,849 | 57,056 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Total Rights |
| 57,056 | 0.00 | (3) | ||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
36 | Annual Report • June 30, 2016 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.29% (4) | 30,529,717 | $ | 30,529,717 | 1.85 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.30% (4) | 30,529,718 | 30,529,718 | 1.86 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 61,059,435 | 3.71 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $1,653,781,341) | 1,640,694,667 | 99.63 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 6,064,703 | 0.37 | ||||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 1,646,759,370 | 100.00 | |||||||||
|
|
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | The price for this security was derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $57,056 or 0.00% of the Fund’s net assets and is classified as a Level 3 security. |
(3) | Amount less than 0.005%. |
(4) | Represents annualized seven-day yield as of the close of the reporting period. |
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 | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||
2 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | $ | 208,205 | $ | 209,020 | $ | 815 | |||||||||||
1 | E-Mini S&P 400 Index Futures | Morgan Stanley | Sep. 2016 | 149,193 | 149,300 | 107 | ||||||||||||||
|
| |||||||||||||||||||
$ | 922 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 37 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2016
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Brunswick Corp. | 262,703 | $ | 11,905,700 | 0.64 | % | |||||||
CST Brands, Inc. | 235,406 | 10,141,290 | 0.54 | |||||||||
Grand Canyon Education, Inc. (1) | 350,225 | 13,980,982 | 0.75 | |||||||||
H&R Block, Inc. | 522,443 | 12,016,189 | 0.64 | |||||||||
Lennar Corp.–Class A | 204,753 | 9,439,113 | 0.50 | |||||||||
Newell Brands, Inc. | 484,013 | 23,508,511 | 1.25 | |||||||||
Other Securities (1) | 3,752,261 | 117,552,429 | 6.26 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 198,544,214 | 10.58 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Spectrum Brands Holdings, Inc. | 85,400 | 10,189,074 | 0.54 | |||||||||
Other Securities (1) | 454,367 | 25,681,081 | 1.37 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 35,870,155 | 1.91 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
Various Securities (1) | 3,312,883 | 84,392,569 | 4.50 | |||||||||
|
|
|
| |||||||||
Total Energy | 84,392,569 | 4.50 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Alleghany Corp. (1) | 16,808 | 9,237,341 | 0.49 | |||||||||
Aon Plc | 95,153 | 10,393,562 | 0.55 | |||||||||
Ares Capital Corp. | 987,775 | 14,026,405 | 0.75 | |||||||||
Arthur J. Gallagher & Co. | 311,675 | 14,835,730 | 0.79 | |||||||||
Boston Properties, Inc. | 75,540 | 9,963,726 | 0.53 | |||||||||
Chemical Financial Corp. | 245,876 | 9,168,716 | 0.49 | |||||||||
Discover Financial Services | 177,560 | 9,515,440 | 0.51 | |||||||||
Equity Residential | 136,286 | 9,387,380 | 0.50 | |||||||||
Fifth Third Bancorp | 603,484 | 10,615,284 | 0.57 | |||||||||
First American Financial Corp. | 296,316 | 11,917,830 | 0.64 | |||||||||
Investors Bancorp, Inc. | 1,301,192 | 14,417,207 | 0.77 | |||||||||
Kimco Realty Corp. | 289,194 | 9,074,908 | 0.48 | |||||||||
Nasdaq OMX Group, Inc. | 163,572 | 10,578,201 | 0.56 | |||||||||
New Residential Investment Corp. | 1,251,592 | 17,322,033 | 0.92 | |||||||||
PacWest Bancorp | 261,809 | 10,414,762 | 0.56 | |||||||||
Regency Centers Corp. | 134,138 | 11,231,375 | 0.60 | |||||||||
Reinsurance Group of America, Inc. | 198,888 | 19,290,147 | 1.03 | |||||||||
SEI Investments Co. | 254,211 | 12,230,091 | 0.65 | |||||||||
SL Green Realty Corp. | 97,215 | 10,350,481 | 0.55 | |||||||||
SunTrust Banks, Inc. | 221,359 | 9,093,428 | 0.48 | |||||||||
Synchrony Financial (1) | 414,029 | 10,466,653 | 0.56 | |||||||||
Unum Group | 282,697 | 8,986,938 | 0.48 | |||||||||
Other Securities (1)(2) | 10,822,469 | 302,349,434 | 16.11 | |||||||||
|
|
|
| |||||||||
Total Financials |
| 554,867,072 | 29.57 | |||||||||
|
|
|
|
Shares | Value | Percentage of Net Assets | ||||||||||
Healthcare | ||||||||||||
Amsurg Corp. (1) | 139,350 | $ | 10,805,199 | 0.58 | % | |||||||
Analogic Corp. | 134,763 | 10,705,573 | 0.57 | |||||||||
Catalent, Inc. (1) | 410,225 | 9,431,073 | 0.50 | |||||||||
HCA Holdings, Inc. (1) | 185,475 | 14,283,430 | 0.76 | |||||||||
IMS Health Holdings, Inc. (1) | 354,550 | 8,991,388 | 0.48 | |||||||||
MEDNAX, Inc. (1) | 186,121 | 13,480,744 | 0.72 | |||||||||
VWR Corp. (1) | 485,416 | 14,028,522 | 0.75 | |||||||||
Other Securities (1) | 3,061,177 | 111,945,462 | 5.96 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 193,671,391 | 10.32 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
Masco Corp. | 360,844 | 11,164,513 | 0.60 | |||||||||
Other Securities (1) | 6,616,307 | 231,984,522 | 12.36 | |||||||||
|
|
|
| |||||||||
Total Industrials | 243,149,035 | 12.96 | ||||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Activision Blizzard, Inc. | 247,702 | 9,816,430 | 0.52 | |||||||||
Alliance Data Systems Corp. (1) | 52,834 | 10,351,237 | 0.55 | |||||||||
Amdocs Ltd. | 195,424 | 11,279,873 | 0.60 | |||||||||
Broadridge Financial Solutions, Inc. | 173,400 | 11,305,680 | 0.60 | |||||||||
Fidelity National Information Services, Inc. | 347,942 | 25,636,367 | 1.37 | |||||||||
Harris Corp. | 113,174 | 9,443,239 | 0.50 | |||||||||
Other Securities (1) | 6,454,425 | 184,148,549 | 9.82 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 261,981,375 | 13.96 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Avery Dennison Corp. | 152,474 | 11,397,431 | 0.61 | |||||||||
Crown Holdings, Inc. (1) | 294,610 | 14,927,889 | 0.80 | |||||||||
HB Fuller Co. | 218,835 | 9,626,552 | 0.51 | |||||||||
Packaging Corporation of America | 197,313 | 13,206,159 | 0.70 | |||||||||
Other Securities (1) | 3,313,313 | 75,285,633 | 4.01 | |||||||||
|
|
|
| |||||||||
Total Materials | 124,443,664 | 6.63 | ||||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Various Securities (1) | 459,739 | 9,285,594 | 0.49 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 9,285,594 | 0.49 | |||||||||
|
|
|
| |||||||||
Utilities | ||||||||||||
American Electric Power Co., Inc. | 138,116 | 9,680,550 | 0.52 | |||||||||
Edison International | 142,436 | 11,063,004 | 0.59 | |||||||||
Portland General Electric Co. | 229,286 | 10,116,098 | 0.54 | |||||||||
Other Securities (1) | 1,115,704 | 48,601,749 | 2.58 | |||||||||
|
|
|
| |||||||||
Total Utilities | 79,461,401 | 4.23 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 1,785,666,470 | 95.15 | |||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
38 | Annual Report • June 30, 2016 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.29% (3) | 46,003,990 | $ | 46,003,990 | 2.45 | % | |||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.30% (3) | 46,003,991 | 46,003,991 | 2.45 | |||||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 92,007,981 | 4.90 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $1,880,959,663) | 1,877,674,451 | 100.05 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (930,098 | ) | (0.05 | ) | ||||||||
|
|
|
| |||||||||
Total Net Assets | $ | 1,876,744,353 | 100.00 | % | ||||||||
|
|
|
|
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Includes the price for a security derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $400 or 0.00% of the Fund’s net assets and is classified as a Level 3 security. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
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 | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||
1 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | $ | 99,490 | $ | 104,510 | $ | 5,020 | |||||||||||
1 | E-Mini S&P 400 Index Futures | Morgan Stanley | Sep. 2016 | 149,193 | 149,300 | 107 | ||||||||||||||
|
| |||||||||||||||||||
$ | 5,127 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 39 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2016
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Ctrip.com International Ltd. – ADR (1) | 337,484 | $ | 13,904,341 | 0.56 | % | |||||||
Galaxy Entertainment Group Ltd. | 4,789,000 | 14,328,784 | 0.58 | |||||||||
Industria de Diseno Textil SA | 461,398 | 15,500,253 | 0.63 | |||||||||
Lululemon Athletica, Inc. (1) | 185,370 | 13,691,428 | 0.56 | |||||||||
Naspers Ltd. | 94,672 | 14,455,948 | 0.59 | |||||||||
Panasonic Corp. | 1,888,700 | 16,249,507 | 0.66 | |||||||||
Sekisui House Ltd. | 771,400 | 13,508,822 | 0.55 | |||||||||
Shimano, Inc. | 93,000 | 14,219,474 | 0.58 | |||||||||
Toyota Motor Corp. | 287,100 | 14,153,610 | 0.57 | |||||||||
Other Securities (1)(2)(4) | 18,196,662 | 241,870,537 | 9.80 | |||||||||
|
|
|
| |||||||||
Total Consumer Discretionary |
| 371,882,704 | 15.08 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Japan Tobacco, Inc. | 751,300 | 30,279,046 | 1.23 | |||||||||
Kao Corp. | 318,400 | 18,544,303 | 0.75 | |||||||||
Nestle SA | 642,396 | 49,771,772 | 2.02 | |||||||||
Reckitt Benckiser Group Plc | 196,601 | 19,713,607 | 0.80 | |||||||||
Tesco Plc (1) | 12,107,122 | 28,434,886 | 1.15 | |||||||||
Unilever Plc | 496,209 | 23,776,050 | 0.96 | |||||||||
Unilever Plc – Sponsored – ADR | 330,600 | 15,839,046 | 0.64 | |||||||||
Other Securities (1)(2) | 25,775,676 | 173,543,860 | 7.04 | |||||||||
|
|
|
| |||||||||
Total Consumer Staples |
| 359,902,570 | 14.59 | |||||||||
|
|
|
| |||||||||
Energy | ||||||||||||
BP Plc | 5,554,734 | 32,514,897 | 1.32 | |||||||||
Royal Dutch Shell Plc | 383,739 | 10,539,509 | 0.43 | |||||||||
Royal Dutch Shell Plc – Class A | 528,039 | 14,484,395 | 0.59 | |||||||||
Royal Dutch Shell Plc – Class B | 525,459 | 14,517,761 | 0.59 | |||||||||
Total S.A. | 307,762 | 14,759,106 | 0.60 | |||||||||
Other Securities (1) | 2,656,584 | 53,680,071 | 2.17 | |||||||||
|
|
|
| |||||||||
Total Energy | 140,495,739 | 5.70 | ||||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Chubb Ltd. | 130,278 | 17,028,637 | 0.69 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 520,400 | 15,026,581 | 0.61 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 5,158,000 | 16,783,167 | 0.68 | |||||||||
United Overseas Bank Ltd. | 1,442,700 | 19,877,458 | 0.80 | |||||||||
Other Securities (1)(2) | 56,104,402 | 264,562,536 | 10.73 | |||||||||
|
|
|
| |||||||||
Total Financials | 333,278,379 | 13.51 | ||||||||||
|
|
|
| |||||||||
Healthcare | ||||||||||||
AstraZeneca Plc | 319,429 | 19,096,685 | 0.78 | |||||||||
Cochlear Ltd. | 184,986 | 16,878,039 | 0.69 | |||||||||
CSL Ltd. | 202,185 | 17,050,807 | 0.69 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 178,111 | 15,514,681 | 0.63 |
Shares | Value | Percentage of Net Assets | ||||||||||
GlaxoSmithKline Plc | 681,375 | $ | 14,632,607 | 0.59 | % | |||||||
Novartis AG | 379,564 | 31,328,663 | 1.27 | |||||||||
Novartis AG – Sponsored – ADR | 173,550 | 14,319,611 | 0.58 | |||||||||
Novo Nordisk A/S – ADR | 276,782 | 14,885,336 | 0.60 | |||||||||
Novo Nordisk A/S – Class B | 335,161 | 18,049,391 | 0.73 | |||||||||
Roche Holding AG – | 261 | 69,353 | 0.00 | (3) | ||||||||
Roche Holding AG- Genusschein | 112,048 | 29,567,207 | 1.20 | |||||||||
Sanofi | 338,821 | 28,150,295 | 1.14 | |||||||||
Other Securities (1) | 7,468,873 | 111,011,586 | 4.50 | |||||||||
|
|
|
| |||||||||
Total Healthcare |
| 330,554,261 | 13.40 | |||||||||
|
|
|
| |||||||||
Industrials | ||||||||||||
ABB Ltd. | 703,517 | 13,924,078 | 0.57 | |||||||||
CK Hutchison Holdings Ltd. | 1,317,500 | 14,493,108 | 0.59 | |||||||||
East Japan Railway Co. | 205,600 | 19,053,637 | 0.77 | |||||||||
PostNL NV (1) | 3,337,682 | 13,615,361 | 0.55 | |||||||||
Other Securities (1)(2) | 7,968,171 | 213,365,263 | 8.65 | |||||||||
|
|
|
| |||||||||
Total Industrials | 274,451,447 | 11.13 | ||||||||||
|
|
|
| |||||||||
Information Technology | ||||||||||||
Alibaba Group Holding Ltd. – ADR (1) | 222,206 | 17,672,043 | 0.72 | |||||||||
ARM Holdings Plc – ADR | 899,921 | 13,669,622 | 0.55 | |||||||||
Baidu, Inc. – ADR (1) | 132,271 | 21,844,556 | 0.88 | |||||||||
Infineon Technologies AG | 1,049,158 | 15,188,109 | 0.61 | |||||||||
Nokia OYJ | 2,753,846 | 15,684,435 | 0.64 | |||||||||
Omron Corp. | 428,000 | 13,970,251 | 0.57 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 384,000 | 1,935,244 | 0.08 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | 1,515,577 | 39,753,585 | 1.61 | |||||||||
Tencent Holdings Ltd. | 1,221,956 | 28,031,271 | 1.14 | |||||||||
Other Securities (1)(2) | 23,109,690 | 150,642,337 | 6.11 | |||||||||
|
|
|
| |||||||||
Total Information Technology |
| 318,391,453 | 12.91 | |||||||||
|
|
|
| |||||||||
Materials | ||||||||||||
Bayer AG | 136,937 | 13,753,314 | 0.56 | |||||||||
Novozymes A/S | 368,593 | 17,700,163 | 0.72 | |||||||||
Other Securities (1)(2) | 5,803,178 | 36,707,703 | 1.48 | |||||||||
|
|
|
| |||||||||
Total Materials | 68,161,180 | 2.76 | ||||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Nippon Telegraph & Telephone Corp. | 399,800 | 18,748,587 | 0.76 | |||||||||
Other Securities (1)(2)(4) | 12,825,273 | 77,607,956 | 3.15 | |||||||||
|
|
|
| |||||||||
Total Telecommunication Services |
| 96,356,543 | 3.91 | |||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
40 | Annual Report • June 30, 2016 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2016 (Continued)
Shares | Value | Percentage of Net Assets | ||||||||||
COMMON STOCKS – (continued) |
| |||||||||||
Utilities | ||||||||||||
Various Securities (1)(2) | 4,623,426 | $ | 44,073,382 | 1.79 | % | |||||||
|
|
|
| |||||||||
Total Utilities | 44,073,382 | 1.79 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks |
| 2,337,547,658 | 94.78 | |||||||||
|
|
|
| |||||||||
PREFERRED STOCKS |
| |||||||||||
Consumer Discretionary | ||||||||||||
Volkswagen AG- Preference | 1,750 | 211,961 | 0.01 | |||||||||
|
|
|
| |||||||||
Consumer Staples | ||||||||||||
Grifols SA – Class B | 2,470 | 41,432 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Financials | ||||||||||||
Shinkin Central Bank | 4 | 8,727 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Total Preferred Stocks |
| 262,120 | 0.01 | |||||||||
|
|
|
| |||||||||
RIGHTS | ||||||||||||
Industrials | ||||||||||||
Abertis Infraestructuras SA (1) | 5,520 | 4,043 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Telecommunication Services | ||||||||||||
Vocus Communications Ltd. (1)(4) | 525 | 419 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
Total Rights |
| 4,462 | 0.00 | (3) | ||||||||
|
|
|
| |||||||||
SHORT-TERM INVESTMENTS |
| |||||||||||
Money Market Funds | ||||||||||||
Goldman Sachs Financial Square Government Fund – Class I, 0.29% (5) | 54,678,792 | 54,678,792 | 2.22 |
Shares | Value | Percentage of Net Assets | ||||||||||
JPMorgan U.S. Government Money Market Fund – Class I, 0.30% (5) | 54,678,793 | $ | 54,678,793 | 2.22 | % | |||||||
|
|
|
| |||||||||
Total Short-Term Investments |
| 109,357,585 | 4.44 | |||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost: $2,609,952,316) | 2,447,171,825 | 99.23 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 19,017,272 | 0.77 | ||||||||||
|
|
|
| |||||||||
TOTAL NET ASSETS | $ | 2,466,189,097 | 100.00 | % | ||||||||
|
|
|
|
ADR American Depository Receipt
(1) | Non-income producing security or includes securities that are non-income producing. |
(2) | Includes restricted securities as defined in rule 144A under the Securities Act of 1933. The value of these securities totals $13,898,692 which represents 0.56% of total net assets. |
(3) | Amount less than 0.005%. |
(4) | Includes prices for securities derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. These securities represents $30,634 or 0.00% of the Fund’s net assets and are classified as Level 3 securities. |
(5) | Represents annualized seven-day yield as of the close of the reporting period. |
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 | 2.93 | % | ||
Austria | 0.01 | |||
Belgium | 0.55 | |||
Bermuda | 0.24 | |||
Brazil | 0.83 | |||
Canada | 1.87 | |||
China | 4.11 | |||
Denmark | 3.41 | |||
Finland | 0.99 | |||
France | 5.23 | |||
Germany | 5.89 | |||
Hong Kong | 2.70 | |||
India | 0.86 | |||
Indonesia | 0.49 | |||
Ireland | 2.28 | |||
Israel | 0.04 | |||
Italy | 0.55 | |||
Japan | 18.38 | |||
Jersey | 0.01 | |||
Luxembourg | 0.01 | |||
Mexico | 0.92 | |||
Netherlands | 3.64 | |||
New Zealand | 0.01 |
COUNTRY | % of Net Assets | |||
Norway | 0.17 | % | ||
Philippines | 0.13 | |||
Portugal | 0.31 | |||
Russia | 0.36 | |||
Singapore | 1.23 | |||
South Africa | 1.03 | |||
South Korea | 1.19 | |||
Spain | 1.98 | |||
Sweden | 2.48 | |||
Switzerland | 9.31 | |||
Taiwan | 2.20 | |||
Thailand | 0.73 | |||
United Kingdom | 15.74 | |||
United States | 1.98 | |||
Other (individually each country is less than 0.005%) | 0.00 | |||
|
| |||
Total Country | 94.79 | |||
|
| |||
SHORT-TERM INVESTMENTS | 4.44 | |||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.23 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.77 | |||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 41 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2016
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) | $ | 11,390,520,860 | $ | 4,818,510,922 | $ | 2,072,287,926 | $ | 2,344,574,793 | ||||||||
Cash | — | 68,346 | — | 30,671 | ||||||||||||
Receivable for investments sold | 401,231,686 | 169,905,702 | — | 9,257,859 | ||||||||||||
Receivable for fund shares sold | 25,253,573 | 26,917,463 | 11,712,835 | 13,987,493 | ||||||||||||
Receivable from custodian | 7,842,213 | 28,821,548 | — | — | ||||||||||||
Dividend and interest receivable | 52,192,652 | 21,593,484 | 18,655,783 | 1,559,771 | ||||||||||||
Tax reclaim receivable | — | 804 | — | 69,765 | ||||||||||||
Receivable for forward foreign currency exchange contracts | — | 180,887 | — | — | ||||||||||||
Variation margin on futures contracts | 565,393 | — | — | 52,641 | ||||||||||||
Variation margin on centrally cleared swap contracts | — | 15,810 | — | — | ||||||||||||
Deposits at broker for futures | — | — | — | 75,260 | ||||||||||||
Prepaid expenses and other assets | 121,930 | 197,720 | 92,585 | 54,816 | ||||||||||||
Total Assets | 11,877,728,307 | 5,066,212,686 | 2,102,749,129 | 2,369,663,069 | ||||||||||||
Liabilities | ||||||||||||||||
TBA sales commitments, at value (2) | 2,181,758 | — | — | — | ||||||||||||
Unfunded loan commitments, at value | — | 10,729,449 | — | — | ||||||||||||
Payable for investments purchased | 1,085,263,436 | 634,717,000 | 125,288,081 | 42,394,812 | ||||||||||||
Payable for fund shares redeemed | 22,936,853 | 8,025,045 | 4,865,287 | 3,563,225 | ||||||||||||
Payable for forward foreign currency exchange contracts | — | 83,497 | — | — | ||||||||||||
Payable to Custodian | 3,140,226 | — | — | — | ||||||||||||
Foreign withholding tax payable | — | 38,946 | — | — | ||||||||||||
OTC swap contracts, at value | — | 204,544 | — | — | ||||||||||||
Variation margin on futures contracts | — | 876,872 | 285 | — | ||||||||||||
Payable to Adviser | 1,017,463 | 446,774 | 264,570 | 481,104 | ||||||||||||
Payable to Trustees | 68,557 | 11,337 | 17,381 | 19,028 | ||||||||||||
Accrued expenses and other liabilities | 914,177 | 653,129 | 353,694 | 200,123 | ||||||||||||
Total Liabilities | 1,115,522,470 | 655,786,593 | 130,789,298 | 46,658,292 | ||||||||||||
Net Assets | $ | 10,762,205,837 | $ | 4,410,426,093 | $ | 1,971,959,831 | $ | 2,323,004,777 | ||||||||
Net Assets Consist of | ||||||||||||||||
Paid in capital ($0.00 par value common stock unlimited authorized shares) | $ | 10,333,332,466 | $ | 4,331,769,356 | $ | 1,917,001,566 | $ | 2,337,669,924 | ||||||||
Undistributed (distribution in excess of) net investment income | (2,659,967 | ) | 382,475 | 449,475 | 12,003,172 | |||||||||||
Accumulated net realized gain/(loss) | 25,793,272 | 4,039,150 | 2,138,262 | (100,465,115 | ) | |||||||||||
Unrealized net appreciation (depreciation) on: | ||||||||||||||||
Investments | 407,504,795 | 72,755,312 | 52,370,813 | 73,793,305 | ||||||||||||
TBA sales commitments | 1,367 | — | — | — | ||||||||||||
Foreign currency translation | — | 9,116 | — | 3,016 | ||||||||||||
Futures contracts | (1,766,096 | ) | 1,388,590 | (285 | ) | 475 | ||||||||||
Forward foreign currency exchange contracts | — | 97,390 | — | — | ||||||||||||
Swap contracts | — | (15,296 | ) | — | — | |||||||||||
Net Assets | $ | 10,762,205,837 | $ | 4,410,426,093 | $ | 1,971,959,831 | $ | 2,323,004,777 | ||||||||
Net Assets | $ | 10,762,205,837 | $ | 4,410,426,093 | $ | 1,971,959,831 | $ | 2,323,004,777 | ||||||||
Shares Outstanding | 1,028,013,351 | 429,207,231 | 189,905,395 | 234,806,335 | ||||||||||||
Net Asset Value | $ | 10.47 | $ | 10.28 | $ | 10.38 | $ | 9.89 | ||||||||
(1) Cost of investments | $ | 10,983,016,065 | $ | 4,745,755,610 | $ | 2,019,917,113 | $ | 2,270,781,488 | ||||||||
(2) Proceeds from TBA sales commitments | 2,183,125 | — | — | — |
The accompanying notes are an integral part of these financial statements.
42 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2016 (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) | $ | 2,580,311,967 | $ | 1,640,694,667 | $ | 1,877,674,451 | $ | 2,447,171,825 | ||||||||
Foreign currency, at value (2) | — | — | — | 2,238,341 | ||||||||||||
Cash | 72,858 | 11,353 | 4,610 | 563,675 | ||||||||||||
Receivable for investments sold | 11,696,347 | 6,621,674 | 9,226,986 | 12,996,319 | ||||||||||||
Receivable for fund shares sold | 16,335,564 | 6,365,572 | 6,661,615 | 23,506,496 | ||||||||||||
Dividend and interest receivable | 3,479,337 | 626,671 | 2,112,481 | 5,258,885 | ||||||||||||
Tax reclaim receivable | 159,621 | 17 | 2,284 | 2,175,125 | ||||||||||||
Variation margin on futures contracts | 46,350 | 39,287 | 27,972 | — | ||||||||||||
Deposits at broker for futures | 70,000 | 40,000 | 26,000 | — | ||||||||||||
Prepaid expenses and other assets | 50,420 | 74,134 | 86,951 | 175,455 | ||||||||||||
Total Assets | 2,612,222,464 | 1,654,473,375 | 1,895,823,350 | 2,494,086,121 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 11,797,970 | 4,375,938 | 15,520,864 | 22,774,195 | ||||||||||||
Payable for fund shares redeemed | 4,532,165 | 2,601,665 | 2,728,287 | 3,320,878 | ||||||||||||
Foreign withholding tax payable | — | — | — | 570,313 | ||||||||||||
Payable to Adviser | 582,394 | 536,306 | 562,141 | 704,734 | ||||||||||||
Payable to Trustees | 18,086 | 12,531 | 10,070 | 15,520 | ||||||||||||
Accrued expenses and other liabilities | 214,914 | 187,565 | 257,635 | 511,384 | ||||||||||||
Total Liabilities | 17,145,529 | 7,714,005 | 19,078,997 | 27,897,024 | ||||||||||||
Net Assets | $ | 2,595,076,935 | $ | 1,646,759,370 | $ | 1,876,744,353 | $ | 2,466,189,097 | ||||||||
Net Assets Consist of | ||||||||||||||||
Paid in capital ($0.00 par value common stock unlimited authorized shares) | $ | 2,637,113,589 | $ | 1,687,118,371 | $ | 1,923,109,791 | $ | 2,636,915,434 | ||||||||
Undistributed (distribution in excess of) net investment income | 808,299 | 3,084,927 | 7,231,980 | 30,408,333 | ||||||||||||
Accumulated net realized gain/(loss) | (57,220,239 | ) | (30,358,176 | ) | (50,317,333 | ) | (38,288,111 | ) | ||||||||
Unrealized net appreciation (depreciation) on: | ||||||||||||||||
Investments | 14,357,551 | (13,086,674 | ) | (3,285,212 | ) | (162,780,491 | ) | |||||||||
Foreign currency translation | 838 | — | — | (66,068 | ) | |||||||||||
Futures contracts | 16,897 | 922 | 5,127 | — | ||||||||||||
Net Assets | $ | 2,595,076,935 | $ | 1,646,759,370 | $ | 1,876,744,353 | $ | 2,466,189,097 | ||||||||
Net Assets | $ | 2,595,076,935 | $ | 1,646,759,370 | $ | 1,876,744,353 | $ | 2,466,189,097 | ||||||||
Shares Outstanding | 263,234,341 | 171,165,757 | 197,601,525 | 261,005,845 | ||||||||||||
Net Asset Value | $ | 9.86 | $ | 9.62 | $ | 9.50 | $ | 9.45 | ||||||||
(1) Cost of investments | $ | 2,565,954,416 | $ | 1,653,781,341 | $ | 1,880,959,663 | $ | 2,609,952,316 | ||||||||
(2) Cost of foreign currency | — | — | — | 2,242,440 |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 43 |
Bridge Builder Mutual Funds
Periods Ended June 30, 2016
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 | $ | 22,591 | $ | 470,811 | $ | — | $ | 30,435,905 | ||||||||
Less: Foreign taxes withheld and issuance fees | — | — | — | (197,137 | ) | |||||||||||
Interest income | 247,321,490 | 53,078,905 | 21,849,262 | 113,838 | ||||||||||||
Less: Foreign taxes withheld | — | (39,903 | ) | — | — | |||||||||||
Other income | 532,590 | 238,406 | — | — | ||||||||||||
Total investment income | 247,876,671 | 53,748,219 | 21,849,262 | 30,352,606 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fee | 31,918,561 | 7,883,204 | 3,915,563 | 11,141,505 | ||||||||||||
Professional fees | 465,784 | 165,208 | 105,536 | 137,324 | ||||||||||||
Administration fee | 1,159,152 | 278,365 | 156,270 | 344,705 | ||||||||||||
Fund accounting fees | 1,126,709 | 200,680 | 49,258 | 16,331 | ||||||||||||
Transfer agent fees and expenses | 37,570 | 19,306 | 14,325 | 20,433 | ||||||||||||
Trustee fees and expenses | 347,900 | 73,323 | 51,569 | 98,519 | ||||||||||||
Printing and mailing expense | 291,244 | 64,623 | 53,702 | 112,603 | ||||||||||||
Custody fees | 288,474 | 69,785 | 14,108 | 88,702 | ||||||||||||
Insurance expense | 94,714 | 8,912 | 3,179 | 10,098 | ||||||||||||
Tax expense | — | — | — | 18,323 | ||||||||||||
Registration fees | 493,148 | 542,529 | 259,506 | 387,709 | ||||||||||||
Offering costs | — | 30,876 | 23,247 | 32,352 | ||||||||||||
Other expenses | 78,303 | 31,855 | 10,743 | 21,286 | ||||||||||||
Total expenses before fee waivers | 36,301,559 | 9,368,666 | 4,657,006 | 12,429,890 | ||||||||||||
Fee waivers by Adviser | (20,204,042 | ) | (4,400,450 | ) | (1,960,256 | ) | (4,640,481 | ) | ||||||||
Net expenses | 16,097,517 | 4,968,216 | 2,696,750 | 7,789,409 | ||||||||||||
Net Investment Income | 231,779,154 | 48,780,003 | 19,152,512 | 22,563,197 | ||||||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
| |||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 63,358,048 | 12,209,231 | 2,892,705 | (96,278,717 | ) | |||||||||||
TBA sales commitments | 470,488 | — | — | — | ||||||||||||
Forward foreign currency exchange contracts | — | 356,412 | — | — | ||||||||||||
Foreign currency transactions | — | (581,006 | ) | — | (2,887 | ) | ||||||||||
Futures contracts | 1,575,843 | 778,065 | (3,330 | ) | (96,658 | ) | ||||||||||
Swap contracts | — | (162,310 | ) | — | — | |||||||||||
Net realized gain/(loss) | 65,404,379 | 12,600,392 | 2,889,375 | (96,378,262 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 335,991,550 | 72,755,312 | 52,370,813 | 103,718,716 | ||||||||||||
TBA sales commitments | 1,367 | — | — | — | ||||||||||||
Forward foreign currency exchange contracts | — | 97,390 | — | — | ||||||||||||
Foreign currency transactions | — | 9,116 | — | 3,016 | ||||||||||||
Futures contracts | (1,842,020 | ) | 1,388,590 | (285 | ) | 11,107 | ||||||||||
Swap contracts | — | (15,296 | ) | |||||||||||||
Net change in unrealized appreciation/(depreciation) | 334,150,897 | 74,235,112 | 52,370,528 | 103,732,839 | ||||||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | 399,555,276 | 86,835,504 | 55,259,903 | 7,354,577 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 631,334,430 | $ | 135,615,507 | $ | 74,412,415 | $ | 29,917,774 |
(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.
44 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Statements of Operations
Periods Ended June 30, 2016 (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(3) | |||||||||||||
Investment Income | ||||||||||||||||
Dividend income | $ | 47,835,478 | $ | 12,393,162 | $ | 15,611,452 | $ | 55,835,741 | ||||||||
Less: Foreign taxes withheld and issuance fees | (459,893 | ) | (91,308 | ) | (10,350 | ) | (5,690,114 | ) | ||||||||
Interest income | 129,129 | 83,124 | 48,617 | 118,133 | ||||||||||||
Other income | — | — | — | 6,818 | ||||||||||||
Total investment income | 47,504,714 | 12,384,978 | 15,649,719 | 50,270,578 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fee | 9,620,817 | 8,962,585 | 5,770,489 | 12,294,870 | ||||||||||||
Professional fees | 120,733 | 109,491 | 84,464 | 124,736 | ||||||||||||
Administration fee | 282,555 | 234,646 | 179,697 | 324,511 | ||||||||||||
Fund accounting fees | 18,259 | 39,179 | 46,591 | 171,696 | ||||||||||||
Transfer agent fees and expenses | 19,336 | 18,258 | 16,717 | 19,538 | ||||||||||||
Trustee fees and expenses | 83,341 | 58,098 | 36,893 | 74,879 | ||||||||||||
Printing and mailing expense | 89,181 | 131,946 | 54,806 | 79,997 | ||||||||||||
Custody fees | 110,889 | 137,198 | 140,441 | 404,822 | ||||||||||||
Insurance expense | 8,193 | 5,366 | 3,279 | 8,184 | ||||||||||||
Tax expense | — | — | 14,757 | 419 | ||||||||||||
Registration fees | 412,602 | 250,488 | 255,488 | 525,055 | ||||||||||||
Offering costs | 26,291 | 19,966 | 13,242 | 44,154 | ||||||||||||
Other expenses | 18,046 | 11,377 | 6,917 | 17,462 | ||||||||||||
Total expenses before fee waivers | 10,810,243 | 9,978,598 | 6,623,781 | 14,090,323 | ||||||||||||
Fee waivers by Adviser | (3,393,917 | ) | (3,350,942 | ) | (1,730,211 | ) | (4,690,611 | ) | ||||||||
Net expenses | 7,416,326 | 6,627,656 | 4,893,570 | 9,399,712 | ||||||||||||
Net Investment Income | 40,088,388 | 5,757,322 | 10,756,149 | 40,870,866 | ||||||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
| |||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | (56,723,723 | ) | (26,763,693 | ) | (49,800,496 | ) | (38,288,111 | ) | ||||||||
Foreign currency transactions | 3,772 | — | (6 | ) | (610,127 | ) | ||||||||||
Futures contracts | (9,495 | ) | (781,988 | ) | (67,524 | ) | — | |||||||||
Net realized gain/(loss) | (56,729,446 | ) | (27,545,681 | ) | (49,868,026 | ) | (38,898,238 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 74,753,617 | (17,803,428 | ) | 9,318,140 | (162,780,491 | ) | ||||||||||
Foreign currency transactions | 456 | — | — | (66,068 | ) | |||||||||||
Futures contracts | 37,013 | 239,765 | 11,471 | — | ||||||||||||
Net change in unrealized appreciation/(depreciation) | 74,791,086 | (17,563,663 | ) | 9,329,611 | (162,846,559 | ) | ||||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | 18,061,640 | (45,109,344 | ) | (40,538,415 | ) | (201,744,797 | ) | |||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 58,150,028 | $ | (39,352,022 | ) | $ | (29,782,266 | ) | $ | (160,873,931 | ) |
(3) | Since Inception on July 6, 2015. |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 45 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | |||||||||||
Year Ended June 30, 2016 | Year Ended June 30, 2015 | From July 13, 2015(1) to June 30, 2016 | ||||||||||
Operations | ||||||||||||
Net investment income | $ | 231,779,154 | $ | 170,106,127 | $ | 48,780,003 | ||||||
Net realized gain | 65,404,379 | 21,301,227 | 12,600,392 | |||||||||
Net change in unrealized appreciation/(depreciation) | 334,150,897 | (50,298,923 | ) | 74,235,112 | ||||||||
Net increase in net assets resulting from operations | 631,334,430 | 141,108,431 | 135,615,507 | |||||||||
Distributions to Shareholders | ||||||||||||
Net investment income | (253,982,394 | ) | (186,830,832 | ) | (51,492,786 | ) | ||||||
Net realized gains | (16,924,614 | ) | — | (5,487,024 | ) | |||||||
Total distributions | (270,907,008 | ) | (186,830,832 | ) | (56,979,810 | ) | ||||||
Capital Transactions | ||||||||||||
Proceeds from shares sold | 3,118,058,832 | 2,206,543,601 | 4,682,322,382 | |||||||||
Reinvestment of dividends | 270,907,008 | 186,830,832 | 56,979,810 | |||||||||
Cost of shares redeemed | (1,598,839,809 | ) | (740,738,260 | ) | (407,511,796 | ) | ||||||
Net increase from capital transactions | 1,790,126,031 | 1,652,636,173 | 4,331,790,396 | |||||||||
Net increase in net assets | 2,150,553,453 | 1,606,913,772 | 4,410,426,093 | |||||||||
Net Assets | ||||||||||||
Beginning of year | 8,611,652,384 | 7,004,738,612 | — | |||||||||
End of Year* | $ | 10,762,205,837 | $ | 8,611,652,384 | $ | 4,410,426,093 | ||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | (2,659,967 | ) | $ | 679,524 | $ | 382,475 | |||||
Change in Shares Outstanding | ||||||||||||
Shares outstanding, beginning of period | 852,228,279 | 690,666,519 | — | |||||||||
Shares sold | 306,024,896 | 215,737,181 | 464,114,031 | |||||||||
Shares issued on reinvestment of distributions | 26,574,504 | 18,274,112 | 5,681,926 | |||||||||
Shares redeemed | (156,814,328 | ) | (72,449,533 | ) | (40,588,726 | ) | ||||||
Shares outstanding, end of period | 1,028,013,351 | 852,228,279 | 429,207,231 | |||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
46 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||
From September 14, 2015(1) to June 30, 2016 | Year Ended June 30, 2016 | From April 27, 2015(1) to June 30, 2015 | ||||||||||
Operations | ||||||||||||
Net investment income | $ | 19,152,512 | $ | 22,563,197 | $ | 3,026,158 | ||||||
Net realized gain/(loss) | 2,889,375 | (96,378,262 | ) | (4,089,220 | ) | |||||||
Net change in unrealized appreciation/(depreciation) | 52,370,528 | 103,732,839 | (29,936,043 | ) | ||||||||
Net increase/(decrease) in net assets resulting from operations | 74,412,415 | 29,917,774 | (30,999,105 | ) | ||||||||
Distributions to Shareholders | ||||||||||||
Net investment income | (18,710,793 | ) | (13,598,060 | ) | — | |||||||
Net realized gains | (751,113 | ) | — | — | ||||||||
Total distributions | (19,461,906 | ) | (13,598,060 | ) | — | |||||||
Capital Transactions | ||||||||||||
Proceeds from shares sold | 2,107,230,136 | 392,563,854 | 2,680,798,759 | |||||||||
Reinvestment of dividends | 19,461,906 | 13,598,060 | — | |||||||||
Cost of shares redeemed | (209,682,720 | ) | (686,778,841 | ) | (62,497,664 | ) | ||||||
Net increase/(decrease) from capital transactions | 1,917,009,322 | (280,616,927 | ) | 2,618,301,095 | ||||||||
Net increase (decrease) in net assets | 1,971,959,831 | (264,297,213 | ) | 2,587,301,990 | ||||||||
Net Assets | ||||||||||||
Beginning of year | — | 2,587,301,990 | — | |||||||||
End of Year* | $ | 1,971,959,831 | $ | 2,323,004,777 | $ | 2,587,301,990 | ||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | 449,475 | $ | 12,003,172 | $ | 3,038,582 | ||||||
Change in Shares Outstanding | ||||||||||||
Shares outstanding, beginning of period | — | 263,257,032 | — | |||||||||
Shares sold | 208,572,659 | 40,329,028 | 269,523,643 | |||||||||
Shares issued on reinvestment of distributions | 1,909,748 | 1,381,917 | — | |||||||||
Shares redeemed | (20,577,012 | ) | (70,161,642 | ) | (6,266,611 | ) | ||||||
Shares outstanding, end of period | 189,905,395 | 234,806,335 | 263,257,032 | |||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 47 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | |||||||||||||||
Year Ended June 30, 2016 | From April 27, 2015(1) to June 30, 2015 | Year Ended June 30, 2016 | From April 27, 2015(1) to June 30, 2015 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 40,088,388 | $ | 6,204,814 | $ | 5,757,322 | $ | 962,590 | ||||||||
Net realized gain/(loss) | (56,729,446 | ) | 549,133 | (27,545,681 | ) | (2,893,285 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) | 74,791,086 | (60,415,800 | ) | (17,563,663 | ) | 4,477,911 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 58,150,028 | (53,661,853 | ) | (39,352,022 | ) | 2,547,216 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
Net investment income | (39,341,020 | ) | (6,142,468 | ) | (3,645,669 | ) | — | |||||||||
Net realized gains | (1,055,143 | ) | — | — | — | |||||||||||
Total distributions | (40,396,163 | ) | (6,142,468 | ) | (3,645,669 | ) | — | |||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 721,481,157 | 2,250,379,331 | 594,799,290 | 1,453,813,530 | ||||||||||||
Reinvestment of dividends | 40,396,163 | 6,142,468 | 3,645,669 | — | ||||||||||||
Cost of shares redeemed | (334,614,371 | ) | (46,657,357 | ) | (332,938,844 | ) | (32,109,800 | ) | ||||||||
Net increase from capital transactions | 427,262,949 | 2,209,864,442 | 265,506,115 | 1,421,703,730 | ||||||||||||
Net increase in net assets | 445,016,814 | 2,150,060,121 | 222,508,424 | 1,424,250,946 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 2,150,060,121 | — | 1,424,250,946 | — | ||||||||||||
End of Year* | $ | 2,595,076,935 | $ | 2,150,060,121 | $ | 1,646,759,370 | $ | 1,424,250,946 | ||||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | 808,299 | $ | 57,233 | $ | 3,084,927 | $ | 971,870 | ||||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 219,174,548 | — | 143,016,696 | — | ||||||||||||
Shares sold | 74,914,480 | 223,189,329 | 63,075,409 | 146,219,051 | ||||||||||||
Shares issued on reinvestment of distributions | 4,275,788 | 626,144 | 395,838 | — | ||||||||||||
Shares redeemed | (35,130,475 | ) | (4,640,925 | ) | (35,322,186 | ) | (3,202,355 | ) | ||||||||
Shares outstanding, end of period | 263,234,341 | 219,174,548 | 171,165,757 | 143,016,696 | ||||||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
48 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Small/Mid Cap Value Fund | Bridge Builder International Equity Fund | |||||||||||
Year Ended June 30, 2016 | From April 27, 2015(1) to June 30, 2015 | From July 6, 2015(1) to June 30, 2016 | ||||||||||
Operations | ||||||||||||
Net investment income | $ | 10,756,149 | $ | 1,398,671 | $ | 40,870,866 | ||||||
Net realized gain/(loss) | (49,868,026 | ) | 119,856 | (38,898,238 | ) | |||||||
Net change in unrealized appreciation/(depreciation) | 9,329,611 | (12,609,696 | ) | (162,846,559 | ) | |||||||
Net decrease in net assets resulting from operations | (29,782,266 | ) | (11,091,169 | ) | (160,873,931 | ) | ||||||
Distributions to Shareholders | ||||||||||||
Net investment income | (4,920,447 | ) | — | (9,875,287 | ) | |||||||
Net realized gains | (620,344 | ) | — | — | ||||||||
Total distributions | (5,540,791 | ) | — | (9,875,287 | ) | |||||||
Capital Transactions | ||||||||||||
Proceeds from shares sold | 1,150,047,952 | 919,471,124 | 2,870,546,054 | |||||||||
Reinvestment of dividends | 5,540,791 | — | 9,875,287 | |||||||||
Cost of shares redeemed | (130,656,224 | ) | (21,245,064 | ) | (243,483,026 | ) | ||||||
Net increase from capital transactions | 1,024,932,519 | 898,226,060 | 2,636,938,315 | |||||||||
Net increase in net assets | 989,609,462 | 887,134,891 | 2,466,189,097 | |||||||||
Net Assets | ||||||||||||
Beginning of year | 887,134,891 | — | — | |||||||||
End of Year* | $ | 1,876,744,353 | $ | 887,134,891 | $ | 2,466,189,097 | ||||||
* Including undistributed (distribution in excess of) net investment income of: | $ | 7,231,980 | $ | 1,408,900 | $ | 30,408,333 | ||||||
Change in Shares Outstanding | ||||||||||||
Shares outstanding, beginning of period | 89,850,507 | — | — | |||||||||
Shares sold | 121,145,000 | 91,964,984 | 285,868,889 | |||||||||
Shares issued on reinvestment of distributions | 609,548 | — | 1,063,002 | |||||||||
Shares redeemed | (14,003,530 | ) | (2,114,477 | ) | (25,926,046 | ) | ||||||
Shares outstanding, end of period | 197,601,525 | 89,850,507 | 261,005,845 | |||||||||
(1) | Inception Date. |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 49 |
Bridge Builder Mutual Funds
Per Share Operating Performance | ||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations | Less Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain/(loss) | Net increase/ (decrease) in net asset value from operations | Distributions from net investment income | Distributions from net realized gains | Total Distributions | ||||||||||||||||||||||
Bridge Builder Core Bond Fund | ||||||||||||||||||||||||||||
For the year ended June 30, 2016 | $ | 10.10 | 0.24 | 0.41 | 0.65 | (0.26 | ) | (0.02 | ) | (0.28 | ) | |||||||||||||||||
For the year ended June 30, 2015 | $ | 10.14 | 0.24 | (0.04 | ) | 0.20 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
For the period 10/28/13(7) - 6/30/14 | $ | 10.00 | 0.14 | 0.15 | 0.29 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Bridge Builder Core Plus Bond Fund | ||||||||||||||||||||||||||||
For the period 7/13/15(7) - 6/30/16 | $ | 10.00 | 0.22 | 0.31 | 0.53 | (0.23 | ) | (0.02 | ) | (0.25 | ) | |||||||||||||||||
Bridge Builder Municipal Bond Fund | ||||||||||||||||||||||||||||
For the period 9/14/15(7) - 6/30/16 | $ | 10.00 | 0.16 | 0.38 | 0.54 | (0.15 | ) | (0.01 | ) | (0.16 | ) | |||||||||||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||||||||||||||
For the year ended June 30, 2016 | $ | 9.83 | 0.09 | 0.02 | 0.11 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
For the period 4/27/15(7) - 6/30/15 | $ | 10.00 | 0.01 | (0.18 | ) | (0.17 | ) | — | — | — | ||||||||||||||||||
Bridge Builder Large Cap Value Fund | ||||||||||||||||||||||||||||
For the year ended June 30, 2016 | $ | 9.81 | 0.17 | 0.05 | 0.22 | (0.17 | ) | (0.00 | )(8) | (0.17 | ) | |||||||||||||||||
For the period 4/27/15(7) - 6/30/15 | $ | 10.00 | 0.03 | (0.19 | ) | (0.16 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||||
For the year ended June 30, 2016 | $ | 9.96 | 0.03 | (0.35 | ) | (0.32 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||
For the period 4/27/15(7) - 6/30/15 | $ | 10.00 | 0.01 | (0.05 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||||||||||
For the year ended June 30, 2016 | $ | 9.87 | 0.08 | (0.38 | ) | (0.30 | ) | (0.06 | ) | (0.01 | ) | (0.07 | ) | |||||||||||||||
For the period 4/27/15(7) - 6/30/15 | $ | 10.00 | 0.02 | (0.15 | ) | (0.13 | ) | — | — | — | ||||||||||||||||||
Bridge Builder International Equity Fund | ||||||||||||||||||||||||||||
For the period 7/6/15(7) - 6/30/16 | $ | 10.00 | 0.16 | (0.67 | ) | (0.51 | ) | (0.04 | ) | — | (0.04 | ) |
(1) | Annualized for periods less than one year. |
(2) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
(3) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(4) | Ratios do not include the impact of the expenses of the underlying funds in which the fund invests. |
(5) | Portfolio turnover is not annualized. |
(6) | Excludes securities received in capital contribution in-kind. |
(7) | Inception Date. |
(8) | Less than $0.005. |
The accompanying notes are an integral part of these financial statements.
50 | Annual Report • June 30, 2016 |
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratios to Average Net Assets of:(1) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return(2)(3) | Net assets, end of period (millions) |
Expenses, | Expenses, net of waivers(4) | Net investment (loss) | Portfolio turnover rate(5) | ||||||||||||||||||||
$ | 10.47 | 6.51 | % | $ | 10,762 | 0.36 | % | 0.16 | % | 2.32 | % | 238 | % | |||||||||||||
$ | 10.10 | 2.01 | % | $ | 8,612 | 0.38 | % | 0.18 | % | 2.17 | % | 115 | % | |||||||||||||
$ | 10.14 | 2.91 | % | $ | 7,005 | 0.40 | % | 0.20 | % | 1.99 | % | 262 | %(6) | |||||||||||||
$ | 10.28 | 5.43 | % | $ | 4,410 | 0.43 | % | 0.23 | % | 2.23 | % | 197 | % | |||||||||||||
$ | 10.38 | 5.46 | % | $ | 1,972 | 0.43 | % | 0.25 | % | 1.76 | % | 21 | % | |||||||||||||
$ | 9.89 | 1.14 | % | $ | 2,323 | 0.49 | % | 0.31 | % | 0.89 | % | 45 | % | |||||||||||||
$ | 9.83 | (1.70 | )% | $ | 2,587 | 0.54 | % | 0.37 | % | 0.86 | % | 7 | % | |||||||||||||
$ | 9.86 | 2.35 | % | $ | 2,595 | 0.49 | % | 0.34 | % | 1.83 | % | 33 | % | |||||||||||||
$ | 9.81 | (1.62 | )% | $ | 2,150 | 0.54 | % | 0.40 | % | 2.14 | % | 7 | % | |||||||||||||
$ | 9.62 | (3.16 | )% | $ | 1,647 | 0.71 | % | 0.47 | % | 0.41 | % | 49 | % | |||||||||||||
$ | 9.96 | (0.40 | )% | $ | 1,424 | 0.77 | % | 0.49 | % | 0.51 | % | 12 | % | |||||||||||||
$ | 9.50 | (3.08 | )% | $ | 1,877 | 0.73 | % | 0.54 | % | 1.19 | % | 49 | % | |||||||||||||
$ | 9.87 | (1.30 | )% | $ | 887 | 0.81 | % | 0.62 | % | 1.21 | % | 8 | % | |||||||||||||
$ | 9.45 | (5.06 | )% | $ | 2,466 | 0.69 | % | 0.46 | % | 1.99 | % | 18 | % |
The accompanying notes are an integral part of these financial statements.
Annual Report • June 30, 2016 | 51 |
Bridge Builder Mutual Funds
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2016, 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 (“Municipal 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 offer 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.
52 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
As of June 30, 2016, the Funds had no tax examinations or audits in progress.
d) Distributions to Shareholders – Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income for the Core Bond, Core Plus Bond and Municipal Bond Funds are generally declared daily and paid 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, as necessary. 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 and are recorded when paid. 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
Annual Report • June 30, 2016 | 53 |
Bridge Builder Mutual Funds
Notes to Financial Statements (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 appreciation/(depreciation) 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 appreciation/(depreciation) 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 unrealized appreciation/(depreciation). When the contract is closed in its foreign currency, 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. 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. Forward foreign currency exchange contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Swap Agreements – Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC Swaps”) or may be cleared through a third-party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into credit default, interest rate and total return
54 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
swap agreements to manage its exposure to credit, interest rate and equity risk. Securities or cash may be used as collateral or margin in accordance with the terms of the swap agreement in order to provide assets in the event of a default or bankruptcy.
Centrally Cleared Swaps are marked-to-market daily and the change, if any, is recorded as swap variation margin on the Statements of Assets and Liabilities, as well as change in unrealized appreciation/(depreciation) on the Statements of Operations. Swap variation margin is accounted for as unrealized appreciation/(depreciation) until the contract is closed, at which time the gains or losses are realized. Upfront premiums received/(paid) represent cash payments made upon the opening of the swap agreement to compensate for differences between the stated terms of the contract and the current market value contract. These upfront payments are recorded as assets/(liabilities) and are included within the market value of the swap contract. Upon liquidation or termination of the swap agreement, these payments are recorded as realized gain/(loss) on the Statements of Operations. Net periodic payments received/(paid) by the Fund are also included in the realized gain/(loss) on swap contracts on the Statements of Operations.
Credit Default Swap Contracts – Certain Funds may 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 swap contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or other equally ranked obligations of the reference entity. As a seller of protection on a credit default swap contract, the Fund, will generally receive from the protection buyer a fixed rate of income throughout the term of the swap provided there is no credit event. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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.
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.
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.
Annual Report • June 30, 2016 | 55 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
d) Restricted Securities – The Funds may own investment securities that are unregistered and thus restricted as to resale. These securities are valued after giving due consideration to pertinent factors, including recent private sales, market conditions and the issuer’s financial performance. Where future disposition of these securities requires registration under the Securities Act of 1933, a Fund may have the right to include these securities in such registration, generally without cost to the Fund. A Fund generally has no right to require registration of the unregistered securities it holds. All restricted securities held at June 30, 2016 met the definition of Rule 144A of the Securities Act of 1933 and can be traded with an institutional investor without registration. The Adviser has determined the following Funds’ June 30, 2016 restricted securities to be liquid and illiquid pursuant to the Funds’ illiquid and restricted securities guidelines:
Restricted Securities | ||||||||
Fund | Illiquid | Liquid | ||||||
Core Bond Fund | $ | 16,773,894 | $ | 1,541,780,341 | ||||
Core Plus Bond Fund | 824,242 | 478,184,426 | ||||||
Municipal Bond Fund | 963,433 | 23,033,873 |
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 derivative 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, dealers or independent pricing services are unreliable.
56 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 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 the majority of 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 the majority of significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’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 generally categorized as Level 2 of the fair value hierarchy.
Annual Report • June 30, 2016 | 57 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
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 June 30, 2016, the below Funds had securities that were fair valued using these valuation adjustments.
Fund | Value | % of Net Assets | ||||||
Large Cap Growth Fund | $ | 4,220,653 | 0.2 | % | ||||
Large Cap Value Fund | 52,089,671 | 2.0 | ||||||
International Equity Fund | 1,926,466,311 | 78.1 |
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 and are generally categorized as Level 2 of the fair value hierarchy.
58 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented in the Summary Schedule of Investments.
Core Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Asset-Backed Obligations | $ | — | $ | 945,184,969 | $ | 71,495,120 | $ | 1,016,680,089 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 151,357,417 | — | 151,357,417 | ||||||||||||
Communications | — | 279,832,144 | — | 279,832,144 | ||||||||||||
Consumer Cyclical | — | 192,468,422 | 33,037 | 192,501,459 | ||||||||||||
Consumer Non-cyclical | — | 455,085,596 | — | 455,085,596 | ||||||||||||
Diversified | — | 8,470,426 | — | 8,470,426 | ||||||||||||
Energy | — | 393,590,019 | 413,155 | 394,003,174 | ||||||||||||
Financials | — | 1,453,953,450 | 615,373 | 1,454,568,823 | ||||||||||||
Industrials | — | 115,031,639 | 1,207,123 | 116,238,762 | ||||||||||||
Technology | — | 141,190,260 | — | 141,190,260 | ||||||||||||
Utilities | — | 240,563,709 | 3,015 | 240,566,724 | ||||||||||||
Government Related | — | 2,140,425,422 | — | 2,140,425,422 | ||||||||||||
Mortgage-Backed Obligations | — | 3,857,094,215 | 16,038,403 | 3,873,132,618 | ||||||||||||
Preferred Stocks | 2,549,800 | — | — | 2,549,800 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 922,921,786 | — | — | 922,921,786 | ||||||||||||
U.S. Treasury Bills | — | 996,360 | — | 996,360 | ||||||||||||
Futures Contracts (1) | 4,481,515 | — | — | 4,481,515 | ||||||||||||
Total Assets | $ | 929,953,101 | $ | 10,375,244,048 | $ | 89,805,226 | $ | 11,395,002,375 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts (1) | $ | 6,247,611 | $ | — | $ | — | $ | 6,247,611 | ||||||||
TBA Sales Commitments | — | 2,181,758 | — | 2,181,758 | ||||||||||||
Total Liabilities | $ | 6,247,611 | $ | 2,181,758 | $ | — | $ | 8,429,369 | ||||||||
Core Plus Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Asset-Backed Obligations | $ | — | $ | 256,239,083 | $ | 1,092,044 | $ | 257,331,127 | ||||||||
Bank Loans | — | 44,461,331 | 568,937 | 45,030,268 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 42,459,200 | — | 42,459,200 | ||||||||||||
Communications | — | 133,752,854 | — | 133,752,854 | ||||||||||||
Consumer Cyclical | — | 156,937,588 | 4,854,362 | 161,791,950 | ||||||||||||
Consumer Non-cyclical | — | 215,147,517 | — | 215,147,517 | ||||||||||||
Diversified | — | 1,480,413 | — | 1,480,413 | ||||||||||||
Energy | — | 133,156,867 | — | 133,156,867 | ||||||||||||
Financials | — | 505,759,566 | 4,936,467 | 510,696,033 | ||||||||||||
Industrials | — | 75,829,053 | 3,000,000 | 78,829,053 | ||||||||||||
Technology | — | 63,546,945 | 2,063,790 | 65,610,735 | ||||||||||||
Utilities | — | 71,142,655 | — | 71,142,655 | ||||||||||||
Government Related | — | 1,221,578,659 | — | 1,221,578,659 | ||||||||||||
Mortgage-Backed Obligations | — | 1,243,702,617 | 4,252,969 | 1,247,955,586 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Financials | 10,812,131 | — | — | 10,812,131 | ||||||||||||
Industrials | 698,538 | — | — | 698,538 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 619,777,750 | — | — | 619,777,750 | ||||||||||||
U.S. Treasury Bills | — | 1,259,586 | — | 1,259,586 | ||||||||||||
Futures Contracts (1) | 2,559,597 | — | — | 2,559,597 | ||||||||||||
Forward Foreign Currency Exchange Contracts (1) | — | 180,887 | — | 180,887 | ||||||||||||
Swap Contracts (1) | — | 114,777 | — | 114,777 | ||||||||||||
Total Assets | $ | 633,848,016 | $ | 4,166,749,598 | $ | 20,768,569 | $ | 4,821,366,183 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts (1) | $ | 1,171,007 | $ | — | $ | — | $ | 1,171,007 | ||||||||
Forward Foreign Currency Exchange Contracts (1) | — | 83,497 | — | 83,497 | ||||||||||||
Swap Contracts (1) | — | 265,038 | — | 265,038 | ||||||||||||
Total Liabilities | $ | 1,171,007 | $ | 348,535 | $ | — | $ | 1,519,542 |
Annual Report • June 30, 2016 | 59 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Municipal Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Municipal Bonds | ||||||||||||||||
Education | $ | — | $ | 197,915,423 | $ | — | $ | 197,915,423 | ||||||||
General Obligation | — | 579,856,382 | — | 579,856,382 | ||||||||||||
General Revenue | — | 427,250,701 | 2,263,433 | 429,514,134 | ||||||||||||
Healthcare | — | 208,489,833 | 5,399,892 | 213,889,725 | ||||||||||||
Housing | — | 65,841,523 | — | 65,841,523 | ||||||||||||
Transportation | — | 254,224,408 | — | 254,224,408 | ||||||||||||
Utilities | — | 183,234,740 | — | 183,234,740 | ||||||||||||
Short-Term Investments | 147,811,591 | — | — | 147,811,591 | ||||||||||||
Total Assets | $ | 147,811,591 | $ | 1,916,813,010 | $ | 7,663,325 | $ | 2,072,287,926 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts (1) | $ | 285 | $ | — | $ | — | $ | 285 | ||||||||
Total Liabilities | $ | 285 | $ | — | $ | — | $ | 285 | ||||||||
Large Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 413,951,361 | $ | 4,220,653 | $ | — | �� | $ | 418,172,014 | |||||||
Consumer Staples | 209,244,865 | — | — | 209,244,865 | ||||||||||||
Energy | 72,108,532 | — | — | 72,108,532 | ||||||||||||
Financials | 169,692,188 | — | — | 169,692,188 | ||||||||||||
Healthcare | 401,165,596 | — | — | 401,165,596 | ||||||||||||
Industrials | 176,364,199 | — | — | 176,364,199 | ||||||||||||
Information Technology | 706,194,843 | — | — | 706,194,843 | ||||||||||||
Materials | 39,027,999 | — | — | 39,027,999 | ||||||||||||
Telecommunication Services | 32,665,903 | — | — | 32,665,903 | ||||||||||||
Utilities | 156,075 | — | — | 156,075 | ||||||||||||
Short-Term Investments | 119,782,579 | — | — | 119,782,579 | ||||||||||||
Futures Contracts (1) | 475 | — | — | 475 | ||||||||||||
Total Assets | $ | 2,340,354,615 | $ | 4,220,653 | $ | — | $ | 2,344,575,268 | ||||||||
Large Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 248,889,575 | $ | 17,816,359 | $ | — | $ | 266,705,934 | ||||||||
Consumer Staples | 209,496,004 | — | — | 209,496,004 | ||||||||||||
Energy | 234,868,663 | — | — | 234,868,663 | ||||||||||||
Financials | 524,937,418 | — | — | 524,937,418 | ||||||||||||
Healthcare | 334,395,208 | — | — | 334,395,208 | ||||||||||||
Industrials | 365,290,592 | — | — | 365,290,592 | ||||||||||||
Information Technology | 272,616,485 | 34,273,312 | — | 306,889,797 | ||||||||||||
Materials | 200,343,266 | — | — | 200,343,266 | ||||||||||||
Telecommunication Services | 35,420,726 | — | — | 35,420,726 | ||||||||||||
Utilities | 18,703,286 | — | — | 18,703,286 | ||||||||||||
Short-Term Investments | 83,261,073 | — | — | 83,261,073 | ||||||||||||
Futures Contracts (1) | 16,897 | — | — | 16,897 | ||||||||||||
Total Assets | $ | 2,528,239,193 | $ | 52,089,671 | $ | — | $ | 2,580,328,864 |
60 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Small/Mid Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 245,197,414 | $ | — | $ | — | $ | 245,197,414 | ||||||||
Consumer Staples | 109,970,403 | — | — | 109,970,403 | ||||||||||||
Energy | 45,468,353 | — | — | 45,468,353 | ||||||||||||
Financials | 198,365,027 | — | — | 198,365,027 | ||||||||||||
Healthcare | 316,083,090 | — | — | 316,083,090 | ||||||||||||
Industrials | 243,370,633 | — | — | 243,370,633 | ||||||||||||
Information Technology | 350,056,890 | — | — | 350,056,890 | ||||||||||||
Materials | 49,785,178 | — | — | 49,785,178 | ||||||||||||
Telecommunication Services | 17,467,418 | — | — | 17,467,418 | ||||||||||||
Utilities | 3,813,770 | — | — | 3,813,770 | ||||||||||||
Rights | ||||||||||||||||
Healthcare | — | — | 57,056 | 57,056 | ||||||||||||
Short-Term Investments | 61,059,435 | — | — | 61,059,435 | ||||||||||||
Futures Contracts (1) | 922 | — | — | 922 | ||||||||||||
Total Assets | $ | 1,640,638,533 | $ | — | $ | 57,056 | $ | 1,640,695,589 | ||||||||
Small/Mid Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 198,544,214 | $ | — | $ | — | $ | 198,544,214 | ||||||||
Consumer Staples | 35,870,155 | — | — | 35,870,155 | ||||||||||||
Energy | 84,392,569 | — | — | 84,392,569 | ||||||||||||
Financials | 554,866,672 | — | 400 | 554,867,072 | ||||||||||||
Healthcare | 193,671,391 | — | — | 193,671,391 | ||||||||||||
Industrials | 243,149,035 | — | — | 243,149,035 | ||||||||||||
Information Technology | 261,981,375 | — | — | 261,981,375 | ||||||||||||
Materials | 124,443,664 | — | — | 124,443,664 | ||||||||||||
Telecommunication Services | 9,285,594 | — | — | 9,285,594 | ||||||||||||
Utilities | 79,461,401 | — | — | 79,461,401 | ||||||||||||
Short-Term Investments | 92,007,981 | — | — | 92,007,981 | ||||||||||||
Futures Contracts (1) | 5,127 | — | — | 5,127 | ||||||||||||
Total Assets | $ | 1,877,679,178 | $ | — | $ | 400 | $ | 1,877,679,578 |
Annual Report • June 30, 2016 | 61 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
International Equity Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 53,772,034 | $ | 318,110,509 | $ | 161 | $ | 371,882,704 | ||||||||
Consumer Staples | 47,924,318 | 311,978,252 | — | 359,902,570 | ||||||||||||
Energy | 36,482,572 | 104,013,167 | — | 140,495,739 | ||||||||||||
Financials | 34,468,069 | 298,810,310 | — | 333,278,379 | ||||||||||||
Healthcare | 74,678,152 | 255,876,109 | — | 330,554,261 | ||||||||||||
Industrials | 20,543,063 | 253,908,384 | — | 274,451,447 | ||||||||||||
Information Technology | 131,437,266 | 186,954,187 | — | 318,391,453 | ||||||||||||
Materials | 16,581 | 68,144,599 | — | 68,161,180 | ||||||||||||
Telecommunication Services | 11,980,432 | 84,346,057 | 30,054 | 96,356,543 | ||||||||||||
Utilities | 2,038 | 44,071,344 | — | 44,073,382 | ||||||||||||
Rights | ||||||||||||||||
Industrials | — | 4,043 | — | 4,043 | ||||||||||||
Telecommunication Services | — | — | 419 | 419 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 211,961 | — | 211,961 | ||||||||||||
Consumer Staples | — | 41,432 | — | 41,432 | ||||||||||||
Financials | 8,727 | — | — | 8,727 | ||||||||||||
Short-Term Investments | 109,357,585 | — | — | 109,357,585 | ||||||||||||
Total Assets | $ | 520,670,837 | $ | 1,926,470,354 | $ | 30,634 | $ | 2,447,171,825 |
(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. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
62 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 observable market activity, resulting in an increase in the number of observable inputs used to determine price.
The Core Bond, Core Plus Bond, Municipal Bond, Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds all held Level 3 securities at the end of the period. In the aggregate, securities classified as Level 3 in the Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds, have been deemed immaterial.
Below are the transfers between levels for the Core Bond Fund during the reporting period from July 1, 2015 to June 30, 2016. There were no transfers between levels for the Core Plus Bond, Municipal Bond, Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds during the reporting period ended June 30, 2016.
Core Bond Fund | ||||
Transfers into Level 1 | $ | — | ||
Transfers out of Level 1 | — | |||
|
| |||
Net transfers out of Level 1 | $ | — | ||
|
| |||
Transfers into Level 2 (1) | $ | 190,727,924 | ||
Transfers out of Level 2 (2) | (1,166,921 | ) | ||
|
| |||
Net transfers into Level 2 | $ | 189,561,003 | ||
|
| |||
Transfers into Level 3 (2) | $ | 1,166,921 | ||
Transfers out of Level 3 (1) | (190,727,924 | ) | ||
|
| |||
Net transfers into/(out of) Level 3 | $ | (189,561,003 | ) | |
|
|
(1) | Securities transferred from Level 3 to Level 2 were the result of additional market data being obtained and observed. |
(2) | Securities transferred from 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 June 30, 2016:
Core Bond Fund | Core Plus Bond Fund | Municipal Bond Fund | ||||||||||
Beginning Balance – June 30, 2015 | $ | 312,609,326 | $ | — | $ | — | ||||||
Purchases | 89,366,084 | 21,101,678 | 11,645,595 | |||||||||
Sales proceeds and paydowns | (119,881,751 | ) | (331,439 | ) | (4,000,000 | ) | ||||||
Transfers into Level 3 | 1,166,921 | — | — | |||||||||
Transfer out of Level 3 | (190,727,924 | ) | — | — | ||||||||
Realized gains/(losses), net | 868,421 | 2,556 | — | |||||||||
Change in unrealized gains/(losses), net | (3,595,851 | ) | (4,226 | ) | 17,730 | |||||||
|
|
|
|
|
| |||||||
Ending Balance – June 30, 2016 | $ | 89,805,226 | $ | 20,768,569 | $ | 7,663,325 | ||||||
|
|
|
|
|
|
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, Core Plus Bond and Municipal Bond Funds at June 30, 2016 total $(419,904), $28,109 and $19,668, 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).
Annual Report • June 30, 2016 | 63 |
Bridge Builder Mutual Funds
Notes to Financial Statements (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 tables present information about unobservable inputs related to the Funds’ categories of Level 3 investments as of June 30, 2016:
Quantitative Information about Level 3 Fair Value Measurements*
Core Bond Fund
Investment Type | Fair Value at 06/30/16 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Asset-Backed Obligations | $ | 9,565,876 | Discounted Cash Flow | Internal Rate of Return | 0.00%-7.80% | 0.55 | % | |||||||
Life expectancy (in months) | 0-1.59 | 0.11 | ||||||||||||
Corporate Bonds | $ | 1,452,202 | Discounted Cash Flow | Internal Rate of Return | 3.97%-8.34% | 4.02 | % | |||||||
Corporate Bonds | $ | 762,896 | Market activity | Recent transaction | $99.796-$99.926 | $ | 99.86 | |||||||
Mortgage-Backed Obligations | $ | 1,096,027 | Discounted Cash Flow | Internal Rate of Return | 8.40% | 8.40 | % | |||||||
Life expectancy (in months) | 2.4 | 2.4 |
Core Plus Bond Fund
Investment Type | Fair Value at 06/30/16 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Asset-Backed Obligations | $ | 909,942 | Discounted Cash Flow | Internal Rate of Return | 0.00% | 0.00 | % | |||||||
Corporate Bonds | $ | 1,863,742 | Discounted Cash Flow | Internal Rate of Return | 3.079%-4.418% | 3.67 | % | |||||||
Corporate Bonds | $ | 12,990,877 | Market activity | Recent transaction | $82.6177-$100.00 | $ | 97.18 | |||||||
Mortgage-Backed Obligations | $ | 4,252,969 | Market activity | Recent transaction | $100.78 | $ | 100.78 |
Municipal Bond Fund
Investment Type | Fair Value at 06/30/16 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Municipal Bonds | $ | 7,663,325 | Discounted Cash Flow | Internal Rate of Return | 0.00%-5.05% | 1.57 | % |
*The tables above do not include Level 3 securities that are valued using a single brokers quote. At June 30, 2016, the value of these securities was $ 76,928,225, $751,039 and $0 for the Core Bond, Core Plus Bond and Municipal Bond Funds, respectively. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.
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
64 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
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.
Assets | Liabilities | |||||||||||||||||||||||
Unrealized Appreciation on Futures Contracts* | Swaps at Value* | Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | Unrealized Depreciation on Futures Contracts* | Swaps at Value* | Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | |||||||||||||||||||
Interest Rate Risk | ||||||||||||||||||||||||
Core Bond Fund | $ | 4,481,515 | $ | — | $ | — | $ | (6,247,611 | ) | $ | — | $ | — | |||||||||||
Core Plus Bond Fund | 2,559,597 | — | — | (1,171,007 | ) | — | — | |||||||||||||||||
Municipal Bond Fund | — | — | — | (285 | ) | — | — | |||||||||||||||||
Equity Risk | ||||||||||||||||||||||||
Large Cap Growth Fund | 475 | — | — | — | — | — | ||||||||||||||||||
Large Cap Value Fund | 16,897 | — | — | — | — | — | ||||||||||||||||||
Small/Mid Cap Growth Fund | 922 | — | — | — | — | — | ||||||||||||||||||
Small/Mid Cap Value Fund | 5,127 | — | — | — | — | — | ||||||||||||||||||
Foreign Exchange Risk | ||||||||||||||||||||||||
Core Plus Bond Fund | — | — | 180,887 | — | — | (83,497 | ) | |||||||||||||||||
Credit Risk | ||||||||||||||||||||||||
Core Plus Bond Fund | — | 114,777 | — | — | 265,038 | — |
* | May include cumulative unrealized appreciation/(depreciation) as reported on the Summary Schedule of Investments. Only current day’s variation margin is reported on the Statements of Assets and Liabilities for exchange traded derivatives. |
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 June 30, 2016.
Realized Gain/(Loss) on Derivatives recognized as a result of Operations | Net Change in Unrealized Appreciation / (Depreciation) on Derivatives recognized as a result of Operations | |||||||||||||||||||||||
Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | |||||||||||||||||||
Interest Rate Risk | ||||||||||||||||||||||||
Core Bond Fund | $ | 1,575,843 | $ | — | $ | — | $ | (1,842,020 | ) | $ | — | $ | — | |||||||||||
Core Plus Bond Fund | 778,065 | — | — | 1,388,590 | — | — | ||||||||||||||||||
Municipal Bond Fund | (3,330 | ) | — | — | (285 | ) | — | — | ||||||||||||||||
Equity Risk | ||||||||||||||||||||||||
Large Cap Growth Fund | (96,658 | ) | — | — | 11,107 | — | — | |||||||||||||||||
Large Cap Value Fund | (9,495 | ) | — | — | 37,013 | — | — | |||||||||||||||||
Small/Mid Cap Growth Fund | (781,988 | ) | — | — | 239,765 | — | — | |||||||||||||||||
Small/Mid Cap Value Fund | (67,524 | ) | — | — | 11,471 | — | — | |||||||||||||||||
Foreign Exchange Risk | ||||||||||||||||||||||||
Core Plus Bond Fund | — | 356,412 | — | — | 97,390 | — | ||||||||||||||||||
Credit Risk | ||||||||||||||||||||||||
Core Plus Bond Fund | — | — | (162,310 | ) | — | — | (15,296 | ) |
Annual Report • June 30, 2016 | 65 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The following tables present the Funds’ gross OTC 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 June 30, 2016:
Core Plus Bond Fund | ||||||||||||||||||||||||||
Investment | Gross Amounts of | Gross Amounts Offset in the | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net | |||||||||||||||||||||
Counterparty | Financial Instruments | Collateral (Pledged)/ Received | ||||||||||||||||||||||||
Merrill Lynch | Forward Foreign Currency Exchange Contracts | $ | 90,627 | $ | (56,322 | ) | $ | 34,305 | $ | — | $ | — | $ | 34,305 | ||||||||||||
Morgan Stanley | Forward Foreign Currency Exchange Contracts | 90,260 | — | 90,260 | — | — | 90,620 | |||||||||||||||||||
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | 180,887 | (56,322 | ) | 124,565 | — | — | 124,565 | |||||||||||||||||||
Investment | Gross Amounts of | Gross Amounts | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net | |||||||||||||||||||||
Counterparty | Financial Instruments | Collateral (Pledged)/ Received | ||||||||||||||||||||||||
Merrill Lynch | Forward Foreign Currency Exchange Contracts | $ | 56,322 | $ | (56,322 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 27,175 | — | 27,175 | — | — | 27,175 | |||||||||||||||||||
Goldman Sachs | Credit Default Swap | 204,544 | — | 204,544 | — | — | 204,544 | |||||||||||||||||||
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | 288,041 | (56,322 | ) | 231,719 | — | — | 231,719 |
66 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Funds’ average monthly notional amount of derivatives during the period ended June 30, 2016 were as follows:
Average Monthly Notional Amount of | ||||||||||||||||||||
Purchased Futures | Sold Futures | Swaps-Buy Protection | Swaps-Sell Protection | Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Core Bond Fund | $ | 369,569,876 | $ | (131,838,230 | ) | $ | — | $ | — | $ | — | |||||||||
Core Plus Bond Fund | 61,894,226 | (46,276,883 | ) | 1,778,750 | (2,200,000 | ) | 10,470,796 | |||||||||||||
Municipal Bond Fund | — | (1,527,027 | ) | — | — | — | ||||||||||||||
Large Cap Growth Fund | 1,405,680 | — | — | — | — | |||||||||||||||
Large Cap Value Fund | 1,581,828 | — | — | — | — | |||||||||||||||
Small/Mid Cap Growth Fund | 1,775,585 | — | — | — | — | |||||||||||||||
Small/Mid Cap Value Fund | 432,359 | — | — | — | — |
6. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
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 Agreement, 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 June 30, 2016 are noted in the table below:
Fund | Annual Management Fee | Management Fees Waived by Adviser | ||||||
Core Bond Fund | 0.32 | % | $ | (20,204,042 | ) | |||
Core Plus Bond Fund | 0.36 | (4,400,450 | ) | |||||
Municipal Bond Fund | 0.36 | (1,960,256 | ) | |||||
Large Cap Growth Fund | 0.44 | (4,640,481 | ) | |||||
Large Cap Value Fund | 0.44 | (3,393,917 | ) | |||||
Small/Mid Cap Growth Fund | 0.64 | (3,350,942 | ) | |||||
Small/Mid Cap Value Fund | 0.64 | (1,730,211 | ) | |||||
International Equity Fund | 0.60 | (4,690,611 | ) |
None of the management fees waived by the Adviser are subject to recoupment by the Adviser.
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 | |
Core Bond Fund | Robert W. Baird & Co., Inc. J.P. Morgan Investment Management, Inc. Loomis, Sayles & Company, L.P. Prudential Investment Management, Inc. | |
Core Plus Bond Fund | Janus Capital Management, LLC Loomis Sayles & Company, L.P. Metropolitan West Asset Management, LLC T.Rowe Price Associates, Inc. |
Annual Report • June 30, 2016 | 67 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Fund | Sub-advisers | |
Municipal Bond Fund | FIAM, LLC T. Rowe Price Associates, Inc. Wells Capital Management, Inc. | |
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 | |
Large Cap Value Fund | Barrow, Hanley, Mewhinney& Strauss, LLC Wellington Management Company LLP Artisan Partners Limited Partnership BlackRock Investment Management, LLC | |
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 | |
Small/Mid Cap Value Fund | Boston Partners Vaughan Nelson Investment Management, L.P. Silvercrest Asset Management Group LLC Advisory Research, Inc. BlackRock Investment Management, LLC | |
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”).
Fund | Expense Cap | |
Core Bond Fund | 0.48% | |
Core Plus Bond Fund | 0.42 | |
Municipal Bond Fund | 0.48 | |
Large Cap Growth Fund | 0.51 | |
Large Cap Value Fund | 0.51 | |
Small/Mid Cap Growth Fund | 0.73 | |
Small/Mid Cap Value Fund | 0.73 | |
International Equity Fund | 0.67 |
The Trust has agreed to repay the expense reimbursement to the Adviser. However, the repayment of previously waived expenses 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 expenses were reimbursed to request reimbursement from a Fund.
68 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
During the period ended June 30, 2016, 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.
As of June 30, 2016, certain employees of the Administrator were 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.
Affiliated Transactions – The Funds may participate in purchase and sale transactions with other funds or accounts that have a common investment adviser (or sub-adviser), commonly referred to as “cross trades.” These cross trades are executed in accordance with procedures adopted by the Funds’ Board and comply with Rule 17a-7 of the 1940 Act, which require, among other things, that such cross trades be effected at the independent current market price of the security. During the year ended June 30, 2016, the aggregate value of purchases and sales cross trades with other Funds or accounts were as follows:
Purchases | Sales | |||||||
Core Plus Bond Fund | $ | 56,396,772 | $ | — | ||||
Municipal Bond Fund | 82,899,014 | 45,849,317 | ||||||
Large Cap Growth Fund | 114,780,172 | 50,904,061 | ||||||
Large Cap Value Fund | 54,997,210 | 114,012,681 | ||||||
Small/Mid Cap Growth Fund | 64,726,449 | 71,751,539 | ||||||
Small/Mid Cap Value Fund | 27,397,131 | 31,569,520 | ||||||
International Equity Fund | — | 195,385 |
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, 2017. The arrangement allows the Funds to borrow for temporary purposes to increase the efficiency of cash flow
management. 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 are not subject to any commitment fees under this arrangement. The Funds did not have any outstanding borrowings under this agreement during the year ended June 30, 2016.
8. INTERFUND LENDING AGREEMENT
On May 4, 2016, the Funds received exemptive relief from the SEC to enter into a master interfund lending agreement with each other that would permit each Fund to lend money directly to and borrow money directly from other Funds for temporary purposes. Each Fund may borrow, in aggregate, up to 15% of its current net assets at the time of the loan and a Fund’s loans, in aggregate, to any one Fund under the agreement shall not exceed 5% of the
Annual Report • June 30, 2016 | 69 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
lending Fund’s net assets. A loan under the agreement will not exceed duration of seven days and interest is charged on borrowings at a rate determined based on current short-term market interest rates and short-term lending rates available to the Funds. As of June 30, 2016, the Funds have yet to borrow under this agreement.
9. INVESTMENT TRANSACTIONS
For the period ended June 30, 2016, purchases and sales of investment securities, other than short-term investments, were as follows:
Core Bond Fund | Core Plus Bond Fund | Municipal Bond Fund | Large Cap Growth Fund | Large Cap Value Fund | Small/Mid Cap Growth Fund | Small/Mid Cap Value Fund | International Equity Fund | |||||||||||||||||||||||||||||||||
Purchases: | ||||||||||||||||||||||||||||||||||||||||
U.S. Government | $ | 20,704,886,397 | $ | 6,386,636,913 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
Other | 3,755,721,901 | 2,296,178,819 | 2,134,274,055 | 1,092,783,450 | 1,136,034,649 | 940,388,039 | 1,410,931,700 | 2,929,209,468 | ||||||||||||||||||||||||||||||||
Sales: | ||||||||||||||||||||||||||||||||||||||||
U.S. Government | 20,329,887,968 | 4,214,934,749 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Other | 2,726,147,376 | 384,757,662 | 279,423,704 | 1,366,529,673 | 691,639,990 | 665,455,758 | 443,926,673 | 383,412,587 |
10. 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, 2016, 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 | ||||||||||
Core Bond Fund | $ | 18,863,749 | $ | (18,863,749 | ) | $ | — | |||||
Core Plus Bond Fund | 3,095,258 | (3,074,218 | ) | (21,040 | ) | |||||||
Municipal Bond Fund | 7,756 | — | (7,756 | ) | ||||||||
Large Cap Growth Fund | (547 | ) | 2,887 | (2,340 | ) | |||||||
Large Cap Value Fund | 3,698 | (1,800 | ) | (1,898 | ) | |||||||
Small/Mid Cap Growth Fund | 1,404 | 80,790 | (82,194 | ) | ||||||||
Small/Mid Cap Value Fund | (12,622 | ) | 52,130 | (39,508 | ) | |||||||
International Equity Fund | (587,246 | ) | 610,127 | (22,881 | ) |
At June 30, 2016, gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes were as follows:
Core Bond Fund | Core Plus Bond Fund | Municipal Bond Fund | Large Cap Growth Fund | Large Cap Value Fund | Small/Mid Cap Growth Fund | Small/Mid Cap Value Fund | International Equity Fund | |||||||||||||||||||||||||
Cost of Investments | $ | 10,988,408,821 | $ | 4,748,089,367 | $ | 2,019,917,113 | $ | 2,283,599,414 | $ | 2,588,129,686 | $ | 1,662,191,170 | $ | 1,897,511,713 | $ | 2,614,845,626 | ||||||||||||||||
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Gross Unrealized Appreciation | $ | 434,036,572 | $ | 81,660,684 | $ | 53,082,189 | $ | 197,558,111 | $ | 172,033,351 | $ | 116,033,310 | $ | 88,066,184 | $ | 113,061,213 | ||||||||||||||||
Gross Unrealized Depreciation | (31,924,533 | ) | (11,239,129 | ) | (711,376 | ) | (136,582,732 | ) | (179,851,070 | ) | (137,529,813 | ) | (107,903,446 | ) | (280,735,014 | ) | ||||||||||||||||
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Net Unrealized Appreciation | $ | 402,112,039 | $ | 70,421,555 | $ | 52,370,813 | $ | 60,975,379 | $ | (7,817,719 | ) | $ | (21,496,503 | ) | $ | (19,837,262 | ) | $ | (167,673,801 | ) | ||||||||||||
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The differences between book basis and tax basis appreciation/(depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of the amortization of premiums.
70 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
As of June 30, 2016, the components of accumulated earnings/(losses) on a tax basis were as follows:
Core Bond Fund | Core Plus Bond Fund | Municipal Bond Fund | Large Cap Growth Fund | Large Cap Value Fund | Small/Mid Cap Growth Fund | Small/Mid Cap Value Fund | International Equity Fund | |||||||||||||||||||||||||
Accumulated Capital and Other Losses | $ | (11,480,083 | ) | $ | (1,085,984 | ) | $ | (28,275 | ) | $ | (87,648,413 | ) | $ | (35,030,211 | ) | $ | (21,948,489 | ) | $ | (33,761,583 | ) | $ | (33,711,997 | ) | ||||||||
Undistributed Net Ordinary Income | 38,241,415 | 7,842,821 | 2,137,977 | 12,007,887 | 811,276 | 3,085,991 | 7,233,407 | 30,659,461 | ||||||||||||||||||||||||
Undistributed Tax-Exempt Income | — | — | 477,750 | — | — | — | — | — | ||||||||||||||||||||||||
Undistributed Long-Term Capital Gain | — | 1,478,345 | — | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized Appreciation/(Depreciation) on Investments | 402,112,039 | 70,421,555 | 52,370,813 | 60,975,379 | (7,817,719 | ) | (21,496,503 | ) | (19,837,262 | ) | (167,673,801 | ) | ||||||||||||||||||||
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Total Accumulated Gain/(Loss) | $ | 428,873,371 | $ | 78,656,737 | $ | 54,958,265 | $ | (14,665,147 | ) | $ | (42,036,654 | ) | $ | (40,359,001 | ) | $ | (46,365,438 | ) | $ | (170,726,337 | ) | |||||||||||
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The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including paydowns, straddle loss deferrals, post-October capital loss deferrals and capital loss carryforwards.
At June 30, 2016, the Funds had the following capital loss carryforwards. The capital loss carryforwards do not have an expiration date and will retain their character as either short-term or long-term capital losses. The ability to utilize capital loss carryforwards in the future may be limited under the Internal Revenue Code and related regulations based on the results of future transactions.
Capital Loss Carryforwards | ||||
Core Bond Fund | $ | — | ||
Core Plus Bond Fund | — | |||
Municipal Bond Fund | — | |||
Large Cap Growth Fund | 86,626,140 | |||
Large Cap Value Fund | 35,054,018 | |||
Small/Mid Cap Growth Fund | 21,940,906 | |||
Small/Mid Cap Value Fund | 33,724,597 | |||
International Equity Fund | 33,529,178 |
At June 30, 2016 the Core Bond Fund deferred, on a tax basis, post-October capital losses of $3,317,008. 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, 2016 and June 30, 2015 were as follows:
Core Bond Fund | Core Plus Bond Fund | Municipal Bond Fund | Large Cap Growth Fund | |||||||||||||||||
2016 | 2015 | 2016 | 2016 | 2016 | ||||||||||||||||
Distributions paid from: | ||||||||||||||||||||
Net Ordinary Income (1) | $ | 262,062,980 | $ | 186,830,832 | $ | 56,840,027 | $ | 883,304 | $ | 13,598,060 | ||||||||||
Tax-Exempt Income | — | — | — | 18,578,602 | — | |||||||||||||||
Net Long-Term Capital Gains | 8,844,028 | — | 139,783 | — | — | |||||||||||||||
Return of Capital | — | — | — | — | — | |||||||||||||||
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Total Distributions Paid | $ | 270,907,008 | $ | 186,830,832 | $ | 56,979,810 | $ | 19,461,906 | $ | 13,598,060 | ||||||||||
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Annual Report • June 30, 2016 | 71 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Large Cap Value Fund | Small/Mid Cap Growth Fund | �� | Small/Mid Cap Value Fund | International Equity Fund | ||||||||||||||||
2016 | 2015 | 2016 | 2016 | 2016 | ||||||||||||||||
Distributions paid from: | ||||||||||||||||||||
Net Ordinary Income (1) | $ | 40,386,381 | $ | 6,142,468 | $ | 3,645,669 | $ | 5,499,345 | $ | 9,875,287 | ||||||||||
Tax-Exempt Income | — | — | — | — | — | |||||||||||||||
Net Long-Term Capital Gains | 9,782 | — | — | 41,446 | — | |||||||||||||||
Return of Capital | — | — | — | — | — | |||||||||||||||
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Total Distributions Paid | $ | 40,396,163 | $ | 6,142,468 | $ | 3,645,669 | $ | 5,540,791 | $ | 9,875,287 | ||||||||||
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(1) | Net Ordinary Income includes net short-term capital gains, if any. |
11. RISKS
Investing in the Funds may involve certain risks including, but not limited to, those described below. Please refer to the Funds’ prospectus and Statements of Additional Information for more information on risks associated with investing in the Funds.
a) Interest Rate Risk – 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 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.
72 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 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.
Annual Report • June 30, 2016 | 73 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
12. 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.
74 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the Bridge Builder Trust
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Bridge Builder 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 and Bridge Builder International Equity Fund (hereafter referred to as the “Funds”) at June 30, 2016, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Chicago, IL
August 25, 2016
Annual Report • June 30, 2016 | 75 |
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 | Retired; Senior Vice President, Chief Compliance & Ethics Officer, TIAA-CREF (2006-2016) | |||
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 | Retired; Executive Vice President, Chief Financial Officer and Treasurer, Centene Corporation (2003-2016) | |||
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 (1) (Born: 1962) | President | Indefinite Term; Since Inception | Executive Vice President, U.S. Bancorp Fund Services, LLC (1994-Present) | |||
Jason F. Hadler (1) (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 (1) (Born: 1968) | Secretary | Indefinite Term; Since Inception | Vice President and Legal Compliance Officer, U.S. Bancorp Fund Services, LLC (Since July 2007) |
(1) | Effective 7/1/2016 offices of President, Treasurer and Secretary were transitioned to Ryan Robson, Aaron Masek and Helge Lee, respectively. |
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.
76 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board” or the “Trustees”) of the Bridge Builder Trust (the “Trust), including a majority of the Trustees who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), must determine annually whether to approve the continuation of the Trust’s investment advisory and sub-advisory agreements.
At an in-person meeting held on May 17-18, 2016 (the “May Meeting”), the Trustees, including the Independent Trustees, considered and approved the annual continuance of an investment advisory agreement (the “Advisory Agreement”) with the Adviser for the Bridge Builder Core Bond Fund (the “Core Bond Fund”), the Bridge Builder Core Plus Bond Fund (the “Core Plus Bond Fund”), the Bridge Builder Municipal Bond Fund (the “Municipal Bond Fund”), the Bridge Builder Large Cap Growth Fund (the “Large Cap Growth Fund”), the Bridge Builder Large Cap Value Fund (the “Large Cap Value Fund”), the Bridge Builder Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”), the Bridge Builder Small/Mid Cap Value Fund (the “Small/Mid Cap Value Fund”), and the Bridge Builder International Equity Fund (the “International Equity Fund”) (collectively, the “Funds”). The Trustees, including the Independent Trustees, also considered and approved an investment sub-advisory agreement (each, a “Sub-advisory Agreement” and collectively, the “Sub-advisory Agreements”) with each of the following sub-advisers: Robert W. Baird & Co. Inc. (“Baird”), J.P. Morgan Investment Management, Inc. (“J.P. Morgan”), Loomis, Sayles & Company, L.P. (“Loomis Sayles”), Prudential Investment Management, Inc. (“Prudential”), Janus Capital Management, LLC (“Janus”), Metropolitan West Asset Management, LLC (“MetWest”), T. Rowe Price Associates, Inc. (“T. Rowe Price”), FIAM, LLC (“FIAM”), Wells Capital Management, Inc. (“Wells Capital”), Lazard Asset Management, LLC (“Lazard”), Sustainable Growth Advisers, LP (“SGA”), Jennison Associates, LLC (“Jennison”), William Blair Investment Management, LLC (“William Blair”), BlackRock Investment Management, LLC (“BlackRock”), Artisan Partners, LP (“Artisan”), Barrow, Hanley, Mewhinney & Strauss, LLC (“Barrow Hanley”), Wellington Management Company, LLP (“Wellington”), Eagle Asset Management, Inc. (“Eagle”), Champlain Investment Partners, LLC (“Champlain”), ClearBridge Investments, LLC (“ClearBridge”), Vaughan Nelson Investment Management, LP (“Vaughan Nelson”), Boston Partners (“Boston Partners”), Silvercrest Asset Management Group, LLC (“Silvercrest”), Advisory Research, Inc. (“Advisory Research”), Baillie Gifford Overseas Limited (“Baillie Gifford”), Edinburgh Partners Limited (“Edinburgh”), Manning & Napier Advisors, LLC (“Manning & Napier”), Mondrian Investment Partners Limited (“Mondrian”), and WCM Investment Management (“WCM”) (collectively, the “Sub-advisers”).
In connection with the renewal process and in advance of the May Meeting, the Adviser and the Sub-advisers provided information to the Board in response to a request for information by the Independent Trustees to facilitate the Board’s evaluation of the terms of the Advisory Agreement and Sub-advisory Agreements (collectively, the “Agreements”). The information furnished by the Adviser and the Sub-advisers included materials describing, among other matters: (i) the nature, extent, and quality of the services provided by the Adviser and the Sub-advisers; (ii) each Fund’s historical performance and the overall performance of the Adviser and the Sub-advisers; (iii) the Adviser’s and the Sub-advisers’ personnel, including portfolio managers; (iv) the investment practices and techniques used by the Adviser and the Sub-advisers in managing each Fund; (v) the advisory fees payable by a Fund to the Adviser and the Fund’s overall fees and operating expenses, compared with those of a category and a peer group of mutual funds; (vi) the sub-advisory fees payable by the Adviser to each Sub-adviser; (vii) the Adviser’s and the Sub-advisers’ compliance policies and procedures; and (viii) other “fall-out” benefits the Adviser and/or its affiliates receive based on their relationship with the Funds. At a telephonic Board meeting held on May 2, 2016 and at the May Meeting (collectively, the “May Meetings”), representatives of the Adviser made presentations and responded to questions regarding the Adviser’s and Sub-advisers’ services and fees, and other aspects of the Agreements.
In addition to the May Meetings, the Board met periodically over the course of the year. At these meetings, representatives of the Adviser and the Sub-advisers furnished quarterly reports and other information to the Board regarding the performance of the Funds, the services provided to the Funds by the Adviser and the Sub-advisers, and compliance and operations matters related to the Trust, the Funds, the Adviser, and the Sub-advisers.
Annual Report • June 30, 2016 | 77 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
At the May Meetings, the Trustees received advice from Trust counsel, and the Independent Trustees received additional advice from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of the approval of advisory arrangements. The Independent Trustees met in executive session, outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and Sub-advisers, to discuss the Agreements and the Adviser’s and Sub-advisers’ services and fees under the Agreements.
In approving the Agreements, the Board considered various factors, as discussed in further detail below:
1. The nature, extent, and quality of the services provided and to be provided by the Adviser and the Sub-advisers under the Agreements. The Trustees considered the nature, extent, and quality of the Adviser’s and each Sub-adviser’s overall services provided to the Funds, as well as their respective responsibilities for investment management of the Funds. In this regard, the Board considered the Adviser’s oversight role and responsibilities with regard to the Sub-advisers and the Sub-advisers’ roles in the day-to-day management of each Fund’s portfolio. The Board considered the Adviser’s oversight of the Sub-advisers, including, but not limited to, management of cash, allocation and reallocation of assets, regular discussions between the Adviser and the Sub-advisers about the investment performance of the Funds and the portion of a Fund allocated to the particular Sub-adviser, and due diligence visits to the Sub-advisers. The Board considered, among other matters, the Adviser’s decision to change the allocation of assets to Loomis Sayles and J.P. Morgan in the Core Bond Fund. The Board also considered the Adviser’s and each Sub-adviser’s operations, and noted that over the course of the year, they had met with representatives of the Adviser and representatives of Loomis Sayles, Artisan, Barrow Hanley, and Wellington to discuss their services and operations.
Based on the above factors, 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 continuing to provide services of the type and nature contemplated by the terms of the Agreements.
2. Fees and Other Expenses. The Board reviewed comparisons of the advisory fee and total fees and expenses of each Fund to its category and peer funds, on a gross basis and also net of fee and expense waivers and reimbursements. In this regard, the Trustees reviewed reports prepared by Morningstar Associates, LLC, an independent provider of mutual fund industry data, comparing a Fund’s advisory fees and gross and net expense ratios to those paid by an independently-selected category and peer group of mutual funds. The Board noted that the Adviser had no similarly-managed separate accounts for purposes of comparison. The Trustees considered that the Adviser, not the Funds, pays the Sub-advisers pursuant to the Sub-advisory Agreements, and evaluated the fees payable under the Sub-advisory Agreements in this context.
In addition, the Board considered that the Adviser had contractually agreed for consecutive year periods to waive its advisory fees to the extent advisory fees paid to the Adviser exceed the sub-advisory fees the Adviser is required to pay to the Sub-advisers. The Board noted that the Adviser may terminate this waiver arrangement, without Board approval, upon 60 days’ notice to the Board with such termination being effective at the end of the current one-year period.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees were reasonable in light of the nature and quality of the services rendered by the Adviser and the Sub-advisers.
3. The Funds’ Investment Performance Record. The Board reviewed the investment performance of each Fund on an absolute basis and in comparison to benchmarks and each Fund’s respective category and peer group as independently selected by Morningstar Associates, LLC (“Morningstar”). The Board reviewed each Sub-adviser’s performance on an absolute basis and in comparison to benchmarks and Morningstar categories. Each Morningstar category includes include all portfolios Morningstar independently classifies into a category/peer group based on a number of factors, including the average holdings of a portfolio over a three-year period.
78 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
The Board observed that the Core Bond Fund was the only Fund with a one-year track record. The Board considered that the Fund outperformed its peer group average and benchmark index for the one-year period ending March 31, 2016. The Board also reviewed the investment performance of each Sub-adviser of the Core Bond Fund with a one-year track record in the Fund, noting that Baird outperformed the benchmark index, while J.P. Morgan and Prudential slightly underperformed the benchmark index. The Board noted that Loomis had not yet achieved a one-year track record.
The Board observed that the Core Plus Bond Fund outperformed its peer group average and underperformed the benchmark index for the period from inception of the Fund (July 13, 2015) through March 31, 2016. The Board also reviewed the investment performance of each Sub-adviser of the Core Plus Bond Fund, noting that they each underperformed the benchmark index.
The Board reviewed the performance of the Municipal Bond Fund, which underperformed its peer group average and the benchmark index for the period from inception of the Fund (September 14, 2015) through March 31, 2016. In reviewing the investment performance of each Sub-adviser of the Municipal Bond Fund, the Board observed that FIAM, Wells Cap, and one of the T. Rowe Price sleeves outperformed the benchmark index, while the other T. Rowe Price sleeve underperformed the benchmark index.
The Board observed that the Large Cap Growth Fund slightly underperformed its peer group average and underperformed its benchmark index for the period from inception of the Fund (April 27, 2015) through March 31, 2016. The Board reviewed the performance of each Sub-adviser as well, noting that each Sub-adviser underperformed the benchmark index.
The Board considered the performance of the Large Cap Value Fund. The Board noted that the Large Cap Value Fund outperformed its peer group average and its benchmark index for the period from inception of the Fund (April 27, 2015) through March 31, 2016. In reviewing the investment performance of each Sub-adviser of the Large Cap Value Fund, the Board noted that Wellington outperformed the benchmark index, and Artisan, Barrow Hanley, and BlackRock underperformed the benchmark index.
The Board observed that the Small/Mid Cap Growth Fund’s performance was better than the performance of its peer group average and its benchmark index for the period from inception of the Fund (April 27, 2015) through March 31, 2016. The Board noted that all of the Small/Mid Cap Growth Fund’s Sub-advisers being reviewed at the May Meetings outperformed the benchmark index.
The Board reviewed the performance of the Small/Mid Cap Value Fund, observing that it underperformed its peer group average and benchmark index for the period from inception of the Fund (April 27, 2015) through March 31, 2016. The Board reviewed the performance of each Sub-adviser as well, noting that Advisory Research, Boston Partners, and Silvercrest outperformed the benchmark index, while BlackRock and Vaughan Nelson underperformed the benchmark index.
Finally, the Board observed that the International Equity Fund outperformed its peer group average and its benchmark index for the period from inception of the Fund (July 6, 2015) through March 31, 2016. In observing the performance of each Sub-adviser of the International Equity Fund, the Board noted that Baillie Gifford, Manning & Napier, and WCM outperformed the benchmark index, and BlackRock, Edinburgh, and Mondrian underperformed the benchmark index.
4. Profitability and Economies of Scale. 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 to the Sub-advisers. Therefore, the Adviser does not profit or receive any differential compensation from allocating assets in any particular manner among the Sub-advisers. Also, the Board did not consider the profitability of the Sub-advisers to be a material factor in their determination, given that the Sub-advisers are not
Annual Report • June 30, 2016 | 79 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Continued)
affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length. The Board also considered whether each Fund’s fee structure is designed to share economies of scale with shareholders. The Board noted that 24 of the 29 Sub-advisers, which includes 26 of the 35 sleeves of the Funds, had agreed to contractual breakpoints in their fee schedules, and that it would have an opportunity to evaluate further sharing of economies of scale at least annually as part of the Agreement renewal process.
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 (asset-based fee program) sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board received and considered information about asset-based fees received by Edward Jones from participants in Edward Jones Advisory Solutions® in connection with their investments in the Funds as an indirect or “fall-out” benefit.
Based on the Board’s deliberations and its evaluation of the information described above and other information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the Agreements for an additional year. In its deliberations, the Board did not identify any particular factor or conclusion with respect thereto, or any single piece of information, as controlling or determinative of its decision, and did not identify any absence of information as material to its decision. Each Trustee may have attributed different weights to the various factors and conclusions with respect thereto.
80 | Annual Report • June 30, 2016 |
Bridge Builder Mutual Funds
General Information (Unaudited)
Proxy Voting Procedures and Proxy Voting Record
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available, free of charge, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the 12-month period ending June 30 is available without charge, upon request, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov.
Form N-Q Disclosure
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Form N-Q filings are available on the Securities and Exchange Commission’s website at http://www.sec.gov. The Trust’s Form N-Q filings may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s Form N-Q filings is also available, without charge, by calling, 1-855-823-3611.
Household Delivery of Shareholder Documents
To reduce expenses the Funds may mail only one copy of the prospectus, Statement of Additional Information and each annual and semiannual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-855-823-3611. You will begin receiving individual copies thirty days after your request is received.
Schedule of Investments
Each Fund’s complete schedule of investments in securities of unaffiliated issuers is available without charge, upon request, by calling 1-855-823-3611, and on the SEC website at http://www.sec.gov as a part of Form N-CSR.
Tax Notice
The following table lists the percentages of dividend income distributed by the Funds for the period ended June 30, 2016, that were designated as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003 and qualify for the corporate dividends received deduction, respectively.
% of Dividend Income Distributed | ||||||||
Fund | Qualified Dividend Income | Corporate Dividends Received Deduction | ||||||
Large Cap Growth Fund | 100.00 | % | 100.00 | % | ||||
Large Cap Value Fund | 100.00 | 97.42 | ||||||
Small/Mid Cap Growth Fund | 100.00 | 100.00 | ||||||
Small/Mid Cap Value Fund | 96.12 | 94.26 | ||||||
International Equity Fund | 100.00 | 0.52 |
Annual Report • June 30, 2016 | 81 |
Bridge Builder Mutual Funds
General Information (Unaudited) (Continued)
The following table lists the percentages of ordinary income distributions paid by the Funds, for the period ended June 30, 2016, that were designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c).
% of Ordinary Income Distributions | ||||
Fund | Short-Term Capital Gain Distributions | |||
Core Bond Fund | 3.08 | % | ||
Core Plus Bond Fund | 9.41 | |||
Municipal Bond Fund | 85.03 | |||
Large Cap Value Fund | 2.58 | |||
Small/Mid Cap Value Fund | 10.50 |
For the year ended June 30, 2016, the International Equity Fund earned foreign source income of $42,031,971 which amounts to $0.16 per share and paid foreign taxes of $4,868,984 which amounts to $0.02 per share, which it intends to pass through to its shareholders pursuant to Section 853 of the Internal Revenue Code.
82 | Annual Report • June 30, 2016 |
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 |
Annual Report • June 30, 2016 | 83 |
Investment Adviser
Olive Street Investment Advisers, LLC
12555 Manchester Road
St. Louis, MO 63131
Administrator, Fund Accountant & Transfer Agent
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
Distributor
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Morgan Lewis & Bockius, LLP
1701 Market Street
Philadelphia, PA 19103
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
One North Wacker
Chicago, IL 60606
84 | Annual Report • June 30, 2016 |
BRIDGE BUILDER TRUST
Bridge Builder International Equity Fund
Supplement dated August 31, 2016
to the Prospectus
dated October 28, 2015,
as supplemented April 18, 2016 and July 22, 2016 (Unaudited)
This supplement provides new and additional information beyond that contained in the
Prospectus and should be read in conjunction with the Prospectus.
The Prospectus is supplemented as follows:
1. The paragraph under the sub-section entitled “Principal Investment Strategies – BlackRock’s Principal Investment Strategies” under the section entitled “Summary Section” is hereby deleted and replaced with the following:
BlackRock invests in international equity securities with the objective of approximating 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, as represented by the MSCI EAFE Growth and MSCI EAFE Value Indices. The MSCI EAFE Growth and MSCI EAFE Value Indices measures the performance of large and mid-capitalization companies across developed markets, excluding the United States and Canada. The MSCI EAFE Growth Index focuses on companies exhibiting overall growth style characteristics, while the MSCI EAFE Value Index focuses on companies exhibiting overall value style characteristics.
2. The paragraph under the sub-section entitled “Principal Investment Strategies – BlackRock’s Principal Investment Strategies” in the section entitled “Additional Information Regarding the Funds’ Investment Objectives and Strategies” is hereby deleted and replaced with the following:
BlackRock invests in international equity securities with the objective of approximating 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, as represented by the MSCI EAFE Growth and MSCI EAFE Value Indices. The MSCI EAFE Growth and MSCI EAFE Value Indices measures the performance of large and mid-capitalization companies across developed markets, excluding the United States and Canada. The MSCI EAFE Growth Index focuses on companies exhibiting overall growth style characteristics, while the MSCI EAFE Value Index focuses on companies exhibiting overall value style characteristics. Growth style characteristics include long-term forward earnings per share (“EPS”) growth rate, short-term forward EPS growth rate, current internal growth rate, long-term historical EPS growth trend, and long-term historical sales per share growth trend. Value style characteristics include book value to price, 12-month forward earnings to price, and dividend yield.
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
Item 2. | Code of Ethics. |
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Incorporated by reference to the Registrant’s Form N-CSR filed December 16, 2015.
Item 3. | Audit Committee Financial Expert. |
The registrant’s board of trustees has determined that John Tesoro and William Scheffel are the “audit committee financial experts” and are considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. | Principal Accountant Fees and Services. |
The registrant has engaged its principal accountant to perform audit services, audit-related services, and tax services during the past two fiscal years. “Audit fees” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related fees” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax fees” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
FYE 6/30/2016 | FYE 6/30/2015 | |||||||
Audit Fees | $ | 409,250 | $ | 198,500 | ||||
Audit-Related Fees | ||||||||
Tax Fees | $ | 64,007 | $ | 27,775 | ||||
All Other Fees |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X were as follows:
FYE 6/30/2016 | FYE 6/30/2015 | |||||||
Audit-Related Fees | 0 | % | 0 | % | ||||
Tax Fees | 0 | % | 0 | % | ||||
All Other Fees | 0 | % | 0 | % |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any entity controlling, controlled by, or under common control with the investment adviser) for the last two years.
The audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
Non-Audit Related Fees | FYE 6/30/2016 | FYE 6/30/2015 | ||||||
Registrant | $ | 64,007 | $ | 27,775 | ||||
Registrant’s Investment Adviser | $ | 0 | $ | 0 |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. | Investments. |
Bridge Builder Core Bond Fund
Schedule of Investments
June 30, 2016
Principal | ||||||||
Amount | Value | |||||||
BONDS & NOTES - 97.23% | ||||||||
Asset-Backed Obligations - 9.45% | ||||||||
ABFC 2005-AQ1 Trust | ||||||||
4.88%, 06/25/2035 | $ | 684,240 | $ | 699,724 | ||||
ABFC 2006-OPT1 Trust | ||||||||
0.60%, 09/25/2036 | 5,454,016 | 5,055,764 | ||||||
Academic Loan Funding Trust 2012-1 | ||||||||
1.25%, 12/27/2022 (Acquired 10/28/2013 through 11/14/2014, Cost $715,003) (1) | 712,780 | 711,670 | ||||||
Academic Loan Funding Trust 2013-1 | ||||||||
1.25%, 12/26/2044 (Acquired 11/15/2013, Cost $1,292,816) (1) | 1,301,338 | 1,287,970 | ||||||
Accredited Mortgage Loan Trust 2006-2 | ||||||||
0.60%, 09/25/2036 | 904,696 | 898,195 | ||||||
Ally Auto Receivables Trust 2014-SN2 | ||||||||
1.03%, 09/20/2017 | 961,844 | 961,874 | ||||||
Ally Auto Receivables Trust 2015-SN1 | ||||||||
0.93%, 06/20/2017 | 859,890 | 859,853 | ||||||
1.21%, 12/20/2017 | 915,000 | 915,163 | ||||||
American Credit Acceptance Receivables Trust 2014-2 | ||||||||
2.26%, 03/10/2020 (Acquired 04/15/2014, Cost $409,156) (1) | 409,171 | 409,165 | ||||||
American Credit Acceptance Receivables Trust 2014-3 | ||||||||
2.43%, 06/10/2020 (Acquired 01/28/2015, Cost $352,713) (1) | 352,507 | 352,678 | ||||||
American Credit Acceptance Receivables Trust 2014-4 | ||||||||
1.33%, 07/10/2018 (Acquired 11/19/2014, Cost $48,509) (1) | 48,510 | 48,509 | ||||||
American Credit Acceptance Receivables Trust 2015-1 | ||||||||
1.43%, 08/12/2019 (Acquired 03/11/2015, Cost $550,568) (1) | 550,589 | 549,907 | ||||||
American Credit Acceptance Receivables Trust 2015-2 | ||||||||
1.57%, 06/12/2019 (Acquired 06/17/2015, Cost $940,803) (1) | 940,802 | 938,504 | ||||||
4.32%, 05/12/2021 (Acquired 06/17/2015, Cost $979,873) (1) | 980,000 | 999,743 | ||||||
American Express Credit Account Master Trust 2013-1 | ||||||||
1.14%, 02/16/2021 | 5,250,000 | 5,231,767 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
3.79%, 10/17/2036 (Acquired 07/16/2015 through 08/12/2015, Cost $1,995,055) (1) | 1,945,503 | 2,087,377 | ||||||
4.29%, 10/17/2036 (Acquired 09/18/2014, Cost $300,420) (1) | 300,000 | 323,343 | ||||||
6.23%, 10/17/2036 (Acquired 04/02/2015, Cost $1,084,586) (1) | 1,000,000 | 1,065,929 |
American Homes 4 Rent 2014-SFR3 Trust | ||||||||
4.60%, 12/17/2036 (Acquired 04/06/2015 through 11/12/2015, Cost $617,373) (1) | 600,000 | 637,831 | ||||||
6.42%, 12/17/2036 (Acquired 04/01/2015 through 04/22/2015, Cost $1,099,685) (1) | 1,000,000 | 1,078,926 | ||||||
American Homes 4 Rent 2015-SFR1 | ||||||||
3.47%, 04/17/2052 (Acquired 04/01/2015 through 04/13/2015, Cost $2,238,195) (1) | 2,202,884 | 2,331,707 | ||||||
5.64%, 04/17/2052 (Acquired 04/01/2015 through 01/14/2016, Cost $1,450,163) (1) | 1,400,000 | 1,435,511 | ||||||
American Homes 4 Rent 2015-SFR2 Trust | ||||||||
3.73%, 10/17/2045 (Acquired 09/14/2015, Cost $1,736,508) (1) | 1,730,453 | 1,867,374 | ||||||
AmeriCredit Automobile Receivables 2015-4 | ||||||||
1.20%, 04/08/2019 | 14,937,512 | 14,961,270 | ||||||
1.70%, 07/08/2020 | 2,778,000 | 2,795,983 | ||||||
AmeriCredit Automobile Receivables 2016-1 | ||||||||
1.20%, 06/10/2019 | 6,603,000 | 6,611,744 | ||||||
2.89%, 01/10/2022 | 1,870,000 | 1,910,345 | ||||||
AmeriCredit Automobile Receivables Trust 2013-4 | ||||||||
0.96%, 04/09/2018 | 23,566 | 23,564 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
0.90%, 09/10/2018 | 465,079 | 465,050 | ||||||
AmeriCredit Automobile Receivables Trust 2014-1 | ||||||||
0.90%, 02/08/2019 | 1,612,181 | 1,611,768 | ||||||
AmeriCredit Automobile Receivables Trust 2015-2 | ||||||||
0.83%, 09/10/2018 | 745,773 | 745,381 | ||||||
AmeriCredit Automobile Receivables Trust 2016-2 | ||||||||
1.15%, 10/08/2019 | 8,400,000 | 8,410,976 | ||||||
1.42%, 10/08/2019 | 2,987,000 | 2,991,296 | ||||||
1.60%, 11/09/2020 | 342,000 | 343,517 | ||||||
2.21%, 05/10/2021 | 659,000 | 664,958 | ||||||
2.87%, 11/08/2021 | 2,578,000 | 2,629,138 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2003-13 | ||||||||
5.02%, 01/25/2034 | 4,825 | 4,909 | ||||||
Anchor Assets IX LLC | ||||||||
5.13%, 02/15/2020 (Acquired 04/04/2016, Cost $4,984,099) (1)(8) | 5,000,000 | 5,000,000 | ||||||
Apidos CLO IX | ||||||||
1.93%, 07/15/2023 (Acquired 03/27/2015, Cost $3,000,000) (1) | 3,000,000 | 2,993,355 | ||||||
Argent Securities, Inc. | ||||||||
1.59%, 03/25/2034 | 3,570,651 | 3,377,218 | ||||||
Argent Securities, Inc. Asset Back Pass Thr Certs Ser 2004-W5 | ||||||||
1.49%, 04/25/2034 | 3,667,317 | 3,324,262 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W3 | ||||||||
0.79%, 11/25/2035 | 5,282,861 | 5,132,815 | ||||||
ARLP Securitization Trust Series 2015-1 | ||||||||
3.97%, 05/25/2055 (Acquired 06/26/2015 through 01/26/2016, Cost $3,097,374) (1) | 3,105,264 | 3,032,911 |
Asset Backed Securities Co. Home Equity Loan Trust Series 2002-HE3 | ||||||||
2.77%, 10/15/2032 | 457,600 | 456,480 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series 2003-HE6 | ||||||||
1.13%, 11/25/2033 | 1,862,969 | 1,761,572 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series 2004-HE6 | ||||||||
1.17%, 09/25/2034 | 4,568,614 | 4,522,894 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series OOMC 2006-HE3 | ||||||||
0.62%, 03/25/2036 | 4,237,993 | 3,982,933 | ||||||
Asset-Backed Pass-Through Certificates Series 2004-R2 | ||||||||
1.23%, 04/25/2034 | 535,336 | 526,511 | ||||||
Atlas Senior Loan Fund IV Ltd. | ||||||||
2.13%, 02/17/2026 (Acquired 12/13/2013 through 04/01/2015, Cost $15,215,775) (1) | 15,250,000 | 15,155,420 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
1.92%, 09/20/2019 (Acquired 12/17/2014, Cost $4,887,582) (1) | 4,900,000 | 4,912,051 | ||||||
2.46%, 07/20/2020 (Acquired 02/05/2014 through 06/27/2014, Cost $10,305,239) (1) | 10,300,000 | 10,445,486 | ||||||
2.50%, 07/20/2021 (Acquired 01/22/2015, Cost $11,998,725) (1) | 12,000,000 | 12,162,772 | ||||||
2.63%, 12/20/2021 (Acquired 05/20/2015, Cost $7,798,868) (1) | 7,800,000 | 7,939,606 | ||||||
Axis Equipment Finance Receivables III LLC | ||||||||
1.90%, 03/20/2020 (Acquired 04/16/2015, Cost $1,314,290) (1) | 1,314,330 | 1,313,969 | ||||||
B2R Mortgage Trust 2015-1 | ||||||||
2.52%, 05/15/2048 (Acquired 04/07/2015, Cost $1,267,951) (1) | 1,267,981 | 1,275,514 | ||||||
B2R Mortgage Trust 2015-2 | ||||||||
3.34%, 11/15/2048 (Acquired 11/10/2015, Cost $2,984,579) (1) | 2,984,598 | 3,078,791 | ||||||
BA Credit Card Trust | ||||||||
1.36%, 09/15/2020 | 1,200,000 | 1,207,236 | ||||||
0.84%, 10/15/2021 | 6,495,000 | 6,495,000 | ||||||
Babson CLO Ltd. 2013-I | ||||||||
1.73%, 04/20/2025 (Acquired 02/19/2015, Cost $766,988) (1) | 775,000 | 766,808 | ||||||
Battalion CLO IV Ltd. | ||||||||
2.04%, 10/22/2025 (Acquired 02/14/2014, Cost $7,960,176) (1) | 8,000,000 | 7,939,232 | ||||||
Battalion CLO VIII Ltd. | ||||||||
2.16%, 04/18/2027 (Acquired 02/27/2015, Cost $1,747,500) (1) | 1,750,000 | 1,743,128 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2007-B | ||||||||
6.83%, 08/28/2047 | 255,228 | 215,919 | ||||||
BCC Funding Co. X | ||||||||
2.22%, 10/20/2020 (Acquired 06/17/2015, Cost $2,346,429) (1) | 2,346,434 | 2,342,759 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | ||||||||
1.31%, 08/25/2034 | 7,536,175 | 6,977,555 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | ||||||||
1.35%, 08/25/2034 | 924,542 | 842,976 | ||||||
Bear Stearns Asset Backed Securities Trust 2003-2 | ||||||||
1.95%, 03/25/2043 | 5,404,634 | 5,285,364 |
Bear Stearns Asset Backed Securities Trust 2006-SD1 | ||||||||
0.82%, 04/25/2036 | 54,057 | 52,221 | ||||||
Benefit Street Partners CLO VII Ltd. | ||||||||
2.16%, 07/18/2027 (Acquired 03/11/2016, Cost $1,977,477) (1) | 2,000,000 | 1,987,648 | ||||||
Blue Elephant Loan Trust 2015-1 | ||||||||
3.12%, 12/15/2022 (Acquired 03/17/2015, Cost $840,562) (1) | 840,601 | 838,836 | ||||||
BMW Floorplan Master Owner Trust | ||||||||
0.94%, 07/15/2020 (Acquired 07/15/2015, Cost $8,600,000) (1) | 8,600,000 | 8,600,528 | ||||||
BMW Vehicle Owner Trust 2014-A | ||||||||
0.97%, 11/26/2018 | 547,680 | 547,835 | ||||||
BXG Receivables Note Trust 2012-A | ||||||||
2.66%, 12/02/2027 (Acquired 10/28/2013, Cost $429,743) (1) | 433,281 | 432,191 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
1.63%, 02/18/2020 (Acquired 10/28/2013, Cost $785,918) (1) | 784,000 | 786,672 | ||||||
California Republic Auto Receivables Trust 2014-2 | ||||||||
1.57%, 12/16/2019 | 188,000 | 188,537 | ||||||
California Republic Auto Receivables Trust 2014-3 | ||||||||
1.09%, 11/15/2018 | 1,162,950 | 1,163,138 | ||||||
California Republic Auto Receivables Trust 2015-2 | ||||||||
1.31%, 08/15/2019 | 5,628,000 | 5,630,184 | ||||||
California Republic Auto Receivables Trust 2015-3 | ||||||||
1.62%, 11/15/2019 | 4,201,000 | 4,215,822 | ||||||
CAM Mortgage LLC 2015-1 | ||||||||
3.50%, 07/15/2064 (Acquired 06/24/2015, Cost $1,115,553) (1) | 1,115,553 | 1,115,978 | ||||||
Capital Auto Receivables Asset Trust 2013-3 | ||||||||
1.31%, 12/20/2017 | 152,500 | 152,513 | ||||||
Capital Auto Receivables Asset Trust 2013-4 | ||||||||
1.09%, 03/20/2018 | 357,405 | 357,409 | ||||||
Capital Auto Receivables Asset Trust 2015-3 | ||||||||
1.72%, 01/22/2019 | 9,725,000 | 9,751,771 | ||||||
Capital Auto Receivables Asset Trust 2016-1 | ||||||||
1.15%, 11/20/2018 | 5,945,000 | 5,950,351 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
0.90%, 02/15/2022 | 8,584,000 | 8,598,817 | ||||||
Carfinance Capital Auto Trust 2013-1 | ||||||||
2.75%, 11/15/2018 (Acquired 10/28/2013, Cost $60,515) (1) | 60,715 | 60,885 | ||||||
CarFinance Capital Auto Trust 2014-1 | ||||||||
1.46%, 12/17/2018 (Acquired 03/17/2014 through 12/02/2015, Cost $209,108) (1) | 209,128 | 208,984 | ||||||
2.72%, 04/15/2020 (Acquired 03/17/2014, Cost $374,958) (1) | 375,000 | 375,319 | ||||||
CarFinance Capital Auto Trust 2014-2 | ||||||||
1.44%, 11/16/2020 (Acquired 07/29/2014, Cost $1,355,791) (1) | 1,355,839 | 1,349,828 | ||||||
CarFinance Capital Auto Trust 2015-1 | ||||||||
1.75%, 06/15/2021 (Acquired 02/18/2015 through 01/20/2016, Cost $3,277,530) (1) | 3,291,068 | 3,277,329 |
Carlyle Global Market Strategies CLO 2013-1 Ltd. | ||||||||
1.93%, 02/14/2025 (Acquired 01/02/2014, Cost $2,083,458) (1) | 2,100,000 | 2,085,460 | ||||||
Carlyle Global Market Strategies Commodities Funding 2014-1 Ltd. | ||||||||
2.53%, 10/15/2021 (Acquired 05/22/2014, Cost $2,015,000) (1)(8) | 2,015,000 | 1,985,591 | ||||||
CarMax Auto Owner Trust 2013-4 | ||||||||
0.80%, 07/16/2018 | 111,868 | 111,803 | ||||||
1.28%, 05/15/2019 | 275,000 | 275,457 | ||||||
CarMax Auto Owner Trust 2014-2 | ||||||||
0.98%, 01/15/2019 | 1,429,704 | 1,429,786 | ||||||
CarMax Auto Owner Trust 2015-2 | ||||||||
0.82%, 06/15/2018 | 868,382 | 868,103 | ||||||
CarMax Auto Owner Trust 2016-2 | ||||||||
1.52%, 02/16/2021 | 4,310,000 | 4,334,976 | ||||||
Carnow Auto Receivables Trust 2014-1 | ||||||||
1.89%, 11/15/2018 (Acquired 09/17/2014, Cost $38,620) (1) | 38,621 | 38,626 | ||||||
Carnow Auto Receivables Trust 2015-1 | ||||||||
1.69%, 01/15/2020 (Acquired 09/11/2015, Cost $1,629,630) (1) | 1,629,630 | 1,626,795 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
0.63%, 02/25/2036 | 1,168,547 | 1,140,579 | ||||||
Catamaran CLO 2014-1 Ltd. | ||||||||
2.18%, 04/20/2026 (Acquired 04/02/2014, Cost $5,491,190) (1) | 5,500,000 | 5,460,620 | ||||||
2.43%, 04/20/2026 (Acquired 04/02/2014, Cost $4,373,048) (1) | 4,500,000 | 4,236,705 | ||||||
Catamaran CLO 2014-2 Ltd. | ||||||||
2.14%, 10/18/2026 (Acquired 12/17/2014, Cost $992,188) (1) | 1,000,000 | 993,040 | ||||||
Catamaran CLO 2015-1 Ltd. | ||||||||
2.19%, 04/22/2027 (Acquired 03/31/2015 through 04/29/2016, Cost $2,242,111) (1) | 2,250,000 | 2,236,183 | ||||||
Chase Funding Trust Series 2003-4 | ||||||||
5.33%, 05/25/2033 | 209,525 | 215,362 | ||||||
Chase Funding Trust Series 2003-6 | ||||||||
4.28%, 11/25/2034 | 555,923 | 566,724 | ||||||
5.19%, 11/25/2034 | 326,509 | 339,044 | ||||||
Chase Issuance Trust | ||||||||
0.90%, 04/15/2019 | 16,700,000 | 16,657,310 | ||||||
1.37%, 06/15/2021 | 11,106,000 | 11,163,468 | ||||||
0.55%, 06/15/2023 | 19,794,000 | 19,806,424 | ||||||
Chrysler Capital Auto Receivables Trust 2014-A | ||||||||
0.83%, 09/17/2018 (Acquired 05/15/2015, Cost $213,437) (1) | 213,410 | 213,334 | ||||||
Citi Held For Asset Issuance 2015-PM1 | ||||||||
1.85%, 12/15/2021 (Acquired 07/29/2015, Cost $1,032,635) (1) | 1,032,643 | 1,030,465 | ||||||
Citi Held For Asset Issuance 2016-MF1 | ||||||||
4.48%, 08/15/2022 (Acquired 02/26/2016, Cost $2,726,839) (1) | 2,732,883 | 2,766,776 | ||||||
6.64%, 08/15/2022 (Acquired 02/26/2016, Cost $3,235,675) (1) | 3,250,000 | 3,247,697 |
Citigroup Mortgage Loan Trust, Inc. | ||||||||
0.81%, 10/25/2035 | 4,702,630 | 4,646,614 | ||||||
Concord Funding Co. LLC | ||||||||
3.15%, 01/15/2017 (Acquired 10/28/2013, Cost $3,096,000) (1) | 3,096,000 | 3,098,613 | ||||||
Conseco Financial Co. | ||||||||
6.40%, 10/15/2018 | 3,715 | 3,715 | ||||||
7.05%, 01/15/2019 | 1,408 | 1,432 | ||||||
6.24%, 12/01/2028 | 52,300 | 54,542 | ||||||
6.22%, 03/01/2030 | 123,501 | 129,838 | ||||||
6.18%, 04/01/2030 | 35,358 | 37,256 | ||||||
Consumer Credit Origination Loan Trust 2015-1 | ||||||||
2.82%, 03/15/2021 (Acquired 02/03/2015, Cost $408,266) (1) | 408,281 | 408,274 | ||||||
Contimortgage Home Equity Loan Trust 1997-2 | ||||||||
7.09%, 04/15/2028 | 0 | 0 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
5.12%, 02/25/2035 | 81,200 | 82,451 | ||||||
4.58%, 02/25/2036 | 430,455 | 441,357 | ||||||
4.82%, 04/25/2036 | 245,758 | 212,913 | ||||||
4.78%, 09/25/2046 | 126,731 | 102,193 | ||||||
CPS Auto Receivables Trust 2012-B | ||||||||
2.52%, 09/16/2019 (Acquired 10/28/2013, Cost $354,712) (1) | 353,524 | 354,316 | ||||||
CPS Auto Receivables Trust 2013-A | ||||||||
1.31%, 06/15/2020 (Acquired 10/28/2013, Cost $295,315) (1) | 295,736 | 292,890 | ||||||
CPS Auto Receivables Trust 2013-C | ||||||||
1.64%, 04/16/2018 (Acquired 10/28/2013 through 12/01/2015, Cost $144,061) (1) | 144,161 | 144,217 | ||||||
CPS Auto Receivables Trust 2013-D | ||||||||
1.54%, 07/16/2018 (Acquired 12/10/2013 through 02/16/2016, Cost $691,245) (1) | 691,769 | 691,751 | ||||||
CPS Auto Receivables Trust 2014-A | ||||||||
1.21%, 08/15/2018 (Acquired 03/10/2014 through 03/29/2016, Cost $557,344) (1) | 558,059 | 557,605 | ||||||
CPS Auto Receivables Trust 2014-B | ||||||||
1.11%, 11/15/2018 (Acquired 06/06/2014, Cost $857,404) (1) | 857,439 | 855,862 | ||||||
CPS Auto Receivables Trust 2014-C | ||||||||
1.31%, 02/15/2019 (Acquired 09/09/2014 through 06/18/2015, Cost $1,434,656) (1) | 1,434,877 | 1,433,225 | ||||||
3.77%, 08/17/2020 (Acquired 09/09/2014, Cost $557,968) (1) | 558,000 | 542,943 | ||||||
CPS Auto Receivables Trust 2014-D | ||||||||
1.49%, 04/15/2019 (Acquired 12/10/2014, Cost $1,350,304) (1) | 1,350,319 | 1,348,732 | ||||||
4.35%, 11/16/2020 (Acquired 12/10/2014, Cost $524,969) (1) | 525,000 | 507,055 | ||||||
CPS Auto Receivables Trust 2015-A | ||||||||
1.53%, 07/15/2019 (Acquired 03/19/2015, Cost $1,358,899) (1) | 1,358,899 | 1,357,088 | ||||||
4.00%, 02/16/2021 (Acquired 03/19/2015, Cost $445,945) (1) | 446,000 | 422,099 | ||||||
CPS Auto Receivables Trust 2015-B | ||||||||
1.65%, 11/15/2019 (Acquired 06/09/2015, Cost $3,124,013) (1) | 3,124,013 | 3,107,372 | ||||||
4.20%, 05/17/2021 (Acquired 06/09/2015, Cost $1,904,916) (1) | 1,905,000 | 1,817,529 |
CPS Auto Receivables Trust 2015-C | ||||||||
1.77%, 06/17/2019 (Acquired 09/11/2015, Cost $3,187,330) (1) | 3,187,483 | 3,183,298 | ||||||
4.63%, 08/16/2021 (Acquired 09/11/2015, Cost $1,375,792) (1) | 1,376,000 | 1,337,187 | ||||||
CPS Auto Receivables Trust 2016-A | ||||||||
2.25%, 10/15/2019 (Acquired 01/22/2016, Cost $1,947,274) (1) | 1,947,302 | 1,949,932 | ||||||
CPS Auto Receivables Trust 2016-B | ||||||||
2.07%, 11/15/2019 (Acquired 04/14/2016 through 05/20/2016, Cost $5,730,839) (1) | 5,729,253 | 5,729,807 | ||||||
CPS Auto Trust | ||||||||
1.82%, 12/16/2019 (Acquired 10/28/2013, Cost $270,273) (1) | 270,010 | 269,742 | ||||||
1.48%, 03/16/2020 (Acquired 10/28/2013, Cost $158,449) (1) | 158,407 | 157,704 | ||||||
Credit Acceptance Auto Loan Trust 2014-1 | ||||||||
1.55%, 10/15/2021 (Acquired 01/21/2015, Cost $1,079,180) (1) | 1,080,131 | 1,080,187 | ||||||
Credit Acceptance Auto Loan Trust 2014-2 | ||||||||
1.88%, 03/15/2022 (Acquired 09/01/2015 through 02/22/2016, Cost $3,644,314) (1) | 3,650,000 | 3,656,669 | ||||||
Credit Acceptance Auto Loan Trust 2015-2 | ||||||||
2.40%, 02/15/2023 (Acquired 08/12/2015, Cost $2,820,914) (1) | 2,821,000 | 2,838,249 | ||||||
3.76%, 02/15/2024 (Acquired 08/12/2015, Cost $433,999) (1) | 434,000 | 434,199 | ||||||
Credit-Based Asset Servicing and Securitization LLC | ||||||||
4.07%, 12/25/2035 | 24,672 | 24,412 | ||||||
CWABS Asset-Backed Certificates Trust 2004-15 | ||||||||
4.61%, 04/25/2035 | 79,171 | 79,679 | ||||||
CWABS Asset-Backed Certificates Trust 2005-1 | ||||||||
5.03%, 07/25/2035 | 109,625 | 112,030 | ||||||
CWABS Asset-Backed Certificates Trust 2005-11 | ||||||||
4.76%, 02/25/2036 | 567,248 | 579,177 | ||||||
CWABS Asset-Backed Certificates Trust 2005-17 | ||||||||
4.71%, 05/25/2036 | 57,623 | 82,981 | ||||||
CWABS, Inc. Asset-Backed Certificates Series 2003-5 | ||||||||
5.41%, 01/25/2034 | 33,283 | 33,241 | ||||||
CWABS, Inc. Asset-Backed Certificates Series 2004-1 | ||||||||
1.20%, 03/25/2034 | 74,949 | 71,782 | ||||||
1.28%, 03/25/2034 | 10,578 | 9,669 | ||||||
1.01%, 04/25/2034 | 1,112 | 923 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust 2004-6 | ||||||||
1.35%, 10/25/2034 | 32,634 | 30,310 | ||||||
1.23%, 11/25/2034 | 1,426,084 | 1,387,132 | ||||||
CWHEQ Home Equity Loan Trust Series 2007-S1 | ||||||||
5.69%, 11/25/2036 | 33,565 | 33,106 | ||||||
Drive Auto Receivables Trust 2015-A | ||||||||
4.12%, 07/15/2022 (Acquired 03/12/2015, Cost $1,765,720) (1) | 1,766,000 | 1,767,388 |
Drive Auto Receivables Trust 2015-B | ||||||||
2.12%, 06/17/2019 (Acquired 05/20/2015, Cost $1,631,943) (1) | 1,632,000 | 1,635,353 | ||||||
3.84%, 07/15/2021 (Acquired 05/20/2015, Cost $1,920,623) (1) | 1,921,000 | 1,906,396 | ||||||
Drive Auto Receivables Trust 2015-C | ||||||||
4.20%, 09/15/2021 (Acquired 07/15/2015, Cost $926,460) (1) | 926,471 | 925,794 | ||||||
Drive Auto Receivables Trust 2015-D | ||||||||
1.23%, 06/15/2018 (Acquired 09/23/2015, Cost $2,351,301) (1) | 2,351,343 | 2,350,757 | ||||||
Drive Auto Receivables Trust 2016-A | ||||||||
1.50%, 03/15/2018 (Acquired 01/21/2016, Cost $2,307,523) (1) | 2,307,546 | 2,307,773 | ||||||
Drive Auto Receivables Trust 2016-B | ||||||||
1.38%, 08/15/2018 (Acquired 05/18/2016, Cost $11,204,803) (1) | 11,205,000 | 11,204,065 | ||||||
2.56%, 06/15/2020 (Acquired 05/18/2016, Cost $635,990) (1) | 636,000 | 638,760 | ||||||
DT Auto Owner Trust 2015-1 | ||||||||
1.06%, 09/17/2018 (Acquired 02/18/2015 through 01/13/2016, Cost $156,287) (1) | 156,340 | 156,330 | ||||||
DT Auto Owner Trust 2015-2 | ||||||||
1.24%, 09/17/2018 (Acquired 06/10/2015, Cost $826,879) (1) | 826,897 | 826,987 | ||||||
4.25%, 02/15/2022 (Acquired 06/10/2015, Cost $1,355,969) (1) | 1,356,000 | 1,355,546 | ||||||
DT Auto Owner Trust 2015-3 | ||||||||
1.66%, 03/15/2019 (Acquired 10/07/2015 through 12/01/2015, Cost $3,790,792) (1) | 3,791,143 | 3,795,358 | ||||||
DT Auto Owner Trust 2016-1 | ||||||||
2.00%, 09/16/2019 (Acquired 01/13/2016, Cost $2,305,211) (1) | 2,305,258 | 2,312,148 | ||||||
DT Auto Owner Trust 2016-2 | ||||||||
1.73%, 08/15/2019 (Acquired 04/06/2016, Cost $983,651) (1) | 983,681 | 983,741 | ||||||
DT Auto Owner Trust 2016-3 | ||||||||
1.75%, 11/15/2019 (Acquired 06/08/2016, Cost $8,644,974) (1) | 8,645,000 | 8,642,298 | ||||||
2.65%, 07/15/2020 (Acquired 06/08/2016, Cost $1,099,858) (1) | 1,100,000 | 1,100,344 | ||||||
Exeter Automobile Receivables Trust 2014-2 | ||||||||
1.06%, 08/15/2018 (Acquired 05/20/2014 through 12/02/2015, Cost $262,074) (1) | 262,173 | 262,031 | ||||||
3.26%, 12/16/2019 (Acquired 05/20/2014, Cost $334,972) (1) | 335,000 | 337,205 | ||||||
Exeter Automobile Receivables Trust 2014-3 | ||||||||
1.32%, 01/15/2019 (Acquired 10/09/2014 through 02/18/2016, Cost $1,717,990) (1) | 1,719,152 | 1,716,560 | ||||||
2.77%, 11/15/2019 (Acquired 10/09/2014, Cost $666,953) (1) | 667,000 | 666,085 | ||||||
Exeter Automobile Receivables Trust 2015-1 | ||||||||
1.60%, 06/17/2019 (Acquired 02/26/2015, Cost $968,395) (1) | 968,423 | 968,974 | ||||||
2.84%, 03/16/2020 (Acquired 02/26/2015, Cost $1,124,847) (1) | 1,125,000 | 1,123,040 | ||||||
Exeter Automobile Receivables Trust 2015-2 | ||||||||
1.54%, 11/15/2019 (Acquired 05/12/2015, Cost $1,425,896) (1) | 1,425,951 | 1,422,435 | ||||||
Exeter Automobile Receivables Trust 2016-1 | ||||||||
2.35%, 07/15/2020 (Acquired 02/04/2016, Cost $2,781,972) (1) | 2,782,176 | 2,787,493 | ||||||
5.52%, 10/15/2021 (Acquired 02/04/2016, Cost $2,229,865) (1) | 2,230,000 | 2,213,245 | ||||||
Exeter Automobile Receivables Trust 2016-2 | ||||||||
2.21%, 07/15/2020 (Acquired 05/09/2016, Cost $1,906,694) (1) | 1,906,848 | 1,906,482 |
Fifth Third Auto Trust 2014-3 | ||||||||
0.96%, 03/15/2019 | 361,006 | 361,008 | ||||||
First Investors Auto Owner Trust 2013-2 | ||||||||
1.23%, 03/15/2019 (Acquired 03/17/2015, Cost $160,609) (1) | 160,546 | 160,425 | ||||||
First Investors Auto Owner Trust 2013-3 | ||||||||
1.44%, 10/15/2019 (Acquired 05/06/2015 through 02/19/2016, Cost $593,115) (1) | 592,651 | 592,312 | ||||||
First Investors Auto Owner Trust 2014-2 | ||||||||
0.86%, 08/15/2018 (Acquired 01/28/2015, Cost $426) (1) | 426 | 426 | ||||||
First Investors Auto Owner Trust 2014-3 | ||||||||
1.06%, 11/15/2018 (Acquired 11/07/2014, Cost $101,273) (1) | 101,274 | 101,265 | ||||||
1.67%, 11/16/2020 (Acquired 11/07/2014 through 12/02/2015, Cost $774,233) (1) | 776,000 | 777,133 | ||||||
First Investors Auto Owner Trust 2015-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/16/2015, Cost $911,199) (1) | 911,205 | 910,043 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
1.59%, 12/16/2019 (Acquired 08/16/2015, Cost $1,344,150) (1) | 1,344,153 | 1,342,155 | ||||||
4.22%, 12/15/2021 (Acquired 08/18/2015, Cost $279,984) (1) | 280,000 | 273,949 | ||||||
First Investors Auto Owner Trust 2016-1 | ||||||||
1.92%, 05/15/2020 (Acquired 03/03/2016, Cost $982,572) (1) | 983,792 | 986,712 | ||||||
FirstKey Lending 2015-SFR1 Trust | ||||||||
2.55%, 03/09/2047 (Acquired 04/09/2015, Cost $3,256,532) (1) | 3,249,517 | 3,271,573 | ||||||
3.42%, 03/09/2047 (Acquired 04/09/2015, Cost $1,454,829) (1) | 1,442,000 | 1,467,775 | ||||||
Flagship Credit Auto Trust 2013-2 | ||||||||
1.94%, 01/15/2019 (Acquired 10/28/2013, Cost $131,908) (1) | 131,907 | 132,062 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
1.21%, 04/15/2019 (Acquired 04/08/2014 through 02/24/2016, Cost $970,299) (1) | 971,580 | 968,768 | ||||||
2.55%, 02/18/2020 (Acquired 04/08/2014, Cost $279,972) (1) | 280,000 | 278,404 | ||||||
Flagship Credit Auto Trust 2014-2 | ||||||||
1.43%, 12/16/2019 (Acquired 10/09/2014 through 01/06/2016, Cost $1,032,901) (1) | 1,033,692 | 1,028,908 | ||||||
2.84%, 11/16/2020 (Acquired 10/09/2014, Cost $891,940) (1) | 892,000 | 885,484 | ||||||
3.95%, 12/15/2020 (Acquired 10/09/2014, Cost $439,946) (1) | 440,000 | 442,597 | ||||||
Flagship Credit Auto Trust 2015-1 | ||||||||
1.63%, 06/15/2020 (Acquired 03/05/2015, Cost $1,786,708) (1) | 1,786,826 | 1,778,173 | ||||||
Flagship Credit Auto Trust 2015-2 | ||||||||
1.98%, 10/15/2020 (Acquired 07/29/2015, Cost $1,534,541) (1) | 1,534,655 | 1,533,671 | ||||||
Flagship Credit Auto Trust 2015-3 | ||||||||
2.38%, 10/15/2020 (Acquired 10/28/2015, Cost $1,751,127) (1) | 1,751,131 | 1,754,229 | ||||||
3.68%, 03/15/2022 (Acquired 10/28/2015, Cost $567,901) (1) | 568,000 | 567,291 | ||||||
4.65%, 03/15/2022 (Acquired 10/28/2015, Cost $566,852) (1) | 567,000 | 545,652 | ||||||
Flagship Credit Auto Trust 2016-1 | ||||||||
2.77%, 12/15/2020 (Acquired 02/19/2016, Cost $2,225,599) (1) | 2,230,198 | 2,248,084 | ||||||
6.22%, 06/15/2022 (Acquired 02/19/2016, Cost $2,980,148) (1) | 3,000,000 | 3,024,896 | ||||||
Flagship Credit Auto Trust 2016-2 | ||||||||
2.28%, 05/15/2020 (Acquired 04/25/2016, Cost $1,717,302) (1) | 1,717,335 | 1,718,526 |
Flatiron CLO 2013-1 Ltd. | ||||||||
2.03%, 01/17/2026 (Acquired 02/19/2015, Cost $746,425) (1) | 750,000 | 743,415 | ||||||
Ford Credit Auto Lease Trust 2014-B | ||||||||
0.89%, 09/15/2017 | 599,408 | 599,366 | ||||||
1.10%, 11/15/2017 | 550,000 | 549,981 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 562,021 | 562,016 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
1.06%, 05/15/2019 | 1,005,820 | 1,007,378 | ||||||
Ford Credit Auto Owner Trust 2014-REV2 | ||||||||
2.31%, 04/15/2026 (Acquired 02/20/2015 through 02/23/2015, Cost $6,859,716) (1) | 6,820,000 | 6,966,852 | ||||||
Ford Credit Auto Owner Trust 2015-A | ||||||||
0.81%, 01/15/2018 | 516,595 | 516,423 | ||||||
1.28%, 09/15/2019 | 942,000 | 945,789 | ||||||
Ford Credit Auto Owner Trust 2015-C | ||||||||
1.74%, 02/15/2021 | 3,338,000 | 3,374,352 | ||||||
Ford Credit Auto Owner Trust 2016-A | ||||||||
1.60%, 06/15/2021 | 3,274,000 | 3,315,869 | ||||||
Ford Credit Auto Owner Trust 2016-B | ||||||||
1.33%, 10/15/2020 | 5,563,000 | 5,590,081 | ||||||
Ford Credit Auto Owner Trust 2016-REV1 | ||||||||
2.31%, 08/15/2027 (Acquired 02/23/2016, Cost $6,998,283) (1) | 7,000,000 | 7,146,460 | ||||||
Ford Credit Auto Owner Trust 2016-REV2 | ||||||||
2.03%, 12/15/2027 (Acquired 06/20/2016, Cost $6,587,735) (1) | 6,590,000 | 6,624,618 | ||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-REV1 | ||||||||
2.26%, 11/15/2025 (Acquired 05/06/2014, Cost $4,899,131) (1) | 4,900,000 | 4,998,547 | ||||||
Fremont Home Loan Trust 2004-2 | ||||||||
1.31%, 07/25/2034 | 1,229,294 | 1,069,065 | ||||||
FRT 2013-1 Trust | ||||||||
5.00%, 10/25/2033 (Acquired 01/08/2014, Cost $195,199) (1)(8) | 198,479 | 195,986 | ||||||
Galaxy XVIII CLO Ltd. | ||||||||
2.10%, 10/15/2026 (Acquired 07/11/2014, Cost $2,250,000) (1) | 2,250,000 | 2,231,233 | ||||||
GCAT 2015-2 | ||||||||
3.75%, 07/25/2020 (Acquired 07/22/2015 through 07/27/2015, Cost $2,713,365) (1) | 2,715,116 | 2,701,932 | ||||||
GE Capital Mortgage Services, Inc. 1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 128 | 129 | ||||||
6.71%, 04/25/2029 | 49,069 | 42,093 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
0.94%, 01/20/2020 | 5,300,000 | 5,283,348 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 8 | 6 |
GLC II Trust 2013-1 | ||||||||
4.00%, 12/18/2020 (Acquired 12/23/2014, Cost $1,080,157) (1) | 1,080,157 | 1,062,334 | ||||||
GLC Trust 2013-1 | ||||||||
3.00%, 07/15/2021 (Acquired 07/01/2014, Cost $1,107,973) (1) | 1,112,694 | 1,094,891 | ||||||
GLS Auto Receivables Trust 2015-1 | ||||||||
2.25%, 12/15/2020 (Acquired 06/26/2015, Cost $1,775,994) (1) | 1,775,994 | 1,774,141 | ||||||
4.43%, 12/15/2020 (Acquired 06/26/2015, Cost $953,968) (1) | 954,000 | 962,676 | ||||||
GLS Auto Receivables Trust 2016-1 | ||||||||
2.73%, 10/15/2020 (Acquired 05/12/2016, Cost $3,154,772) (1) | 3,155,004 | 3,155,126 | ||||||
4.39%, 01/15/2021 (Acquired 05/12/2016, Cost $959,979) (1) | 960,000 | 960,949 | ||||||
GM Financial Automobile Leasing Trust 2015-1 | ||||||||
1.10%, 12/20/2017 | 1,879,789 | 1,880,102 | ||||||
1.53%, 09/20/2018 | 1,198,000 | 1,204,486 | ||||||
1.73%, 06/20/2019 | 502,000 | 505,147 | ||||||
GMAT 2013-1 Trust | ||||||||
3.97%, 11/25/2043 (Acquired 11/06/2013 through 02/10/2014, Cost $768,959) (1) | 768,448 | 768,257 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
0.94%, 05/15/2020 (Acquired 05/13/2015, Cost $4,600,000) (1) | 4,600,000 | 4,569,976 | ||||||
1.29%, 05/17/2021 (Acquired 05/24/2016, Cost $4,900,000) (1) | 4,900,000 | 4,883,367 | ||||||
GO Financial Auto Securitization Trust 2015-1 | ||||||||
1.81%, 03/15/2018 (Acquired 05/19/2015, Cost $593,758) (1) | 593,767 | 593,372 | ||||||
3.59%, 10/15/2020 (Acquired 05/19/2015, Cost $994,965) (1) | 995,000 | 992,442 | ||||||
GO Financial Auto Securitization Trust 2015-2 | ||||||||
3.27%, 11/15/2018 (Acquired 11/19/2015, Cost $1,888,465) (1) | 1,888,465 | 1,884,214 | ||||||
4.80%, 08/17/2020 (Acquired 11/19/2015, Cost $1,872,828) (1) | 1,873,000 | 1,854,100 | ||||||
Gold Key Resorts 2014-A LLC | ||||||||
3.22%, 03/17/2031 (Acquired 12/01/2014, Cost $1,257,001) (1) | 1,257,220 | 1,248,506 | ||||||
Gramercy Park CLO Ltd. | ||||||||
1.93%, 07/17/2023 (Acquired 03/17/2015, Cost $1,125,000) (1) | 1,125,000 | 1,120,606 | ||||||
GSAA Trust | ||||||||
0.77%, 03/25/2035 | 7,369,616 | 7,223,467 | ||||||
0.72%, 06/25/2035 | 1,218,389 | 1,172,846 | ||||||
GSAMP Trust 2005-WMC2 | ||||||||
0.76%, 11/25/2035 | 3,938,465 | 3,825,599 | ||||||
Hertz Vehicle Financing II LP | ||||||||
2.67%, 09/25/2021 (Acquired 09/30/2015, Cost $7,998,393) (1) | 8,000,000 | 8,162,410 | ||||||
Hertz Vehicle Financing LLC 2016-1 | ||||||||
2.32%, 03/25/2020 (Acquired 02/04/2016, Cost $8,698,234) (1) | 8,700,000 | 8,775,960 | ||||||
Hertz Vehicle Financing LLC 2016-4 | ||||||||
2.65%, 07/25/2022 (Acquired 06/01/2016, Cost $2,599,831) (1) | 2,600,000 | 2,619,362 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | ||||||||
0.65%, 03/25/2036 | 72,310 | 64,979 |
Honda Auto Receivables 2014-2 Owner Trust | ||||||||
0.77%, 03/19/2018 | 546,308 | 546,036 | ||||||
Honda Auto Receivables 2015-1 Owner Trust | ||||||||
0.70%, 06/15/2017 | 138,110 | 138,095 | ||||||
Honda Auto Receivables 2015-3 Owner Trust | ||||||||
1.56%, 10/18/2021 | 1,936,000 | 1,955,224 | ||||||
Honda Auto Receivables 2016-2 Owner Trust | ||||||||
1.39%, 04/15/2020 | 3,952,000 | 3,980,876 | ||||||
HSBC Home Equity Loan Trust USA 2007-1 | ||||||||
0.65%, 03/20/2036 | 21,207 | 21,127 | ||||||
HSBC Home Equity Loan Trust USA 2007-3 | ||||||||
1.65%, 11/20/2036 | 326,997 | 326,182 | ||||||
Hyundai Auto Receivables Trust 2014-B | ||||||||
0.90%, 12/17/2018 | 1,319,967 | 1,319,699 | ||||||
Hyundai Auto Receivables Trust 2015-A | ||||||||
0.68%, 10/16/2017 | 136,170 | 136,146 | ||||||
Hyundai Auto Receivables Trust 2015-B | ||||||||
0.69%, 04/16/2018 | 673,819 | 673,513 | ||||||
1.12%, 11/15/2019 | 1,024,000 | 1,025,171 | ||||||
Imc Home Equity Loan Trust 1997-5 | ||||||||
6.88%, 11/20/2028 | 264 | 263 | ||||||
Invitation Homes 2014-SFR1 Trust | ||||||||
1.45%, 06/17/2031 (Acquired 05/14/2015, Cost $1,947,940) (1) | 1,954,478 | 1,924,273 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-CH1 | ||||||||
0.58%, 07/25/2036 | 4,438,472 | 4,271,939 | ||||||
KSBA 2012-2 A | ||||||||
0.85%, 08/25/2038 (Acquired 02/19/2014, Cost $526,685) (1) | 9,006,470 | 247,678 | ||||||
KVK CLO 2014-1 Ltd. | ||||||||
2.22%, 05/15/2026 (Acquired 03/05/2014, Cost $7,786,228) (1) | 7,800,000 | 7,697,547 | ||||||
3.67%, 05/15/2026 (Acquired 03/05/2014, Cost $2,000,000) (1) | 2,000,000 | 2,002,186 | ||||||
KVK CLO 2014-2 Ltd. | ||||||||
2.18%, 07/15/2026 (Acquired 06/02/2014, Cost $4,243,190) (1) | 4,250,000 | 4,230,671 | ||||||
KVK CLO 2015-1 Ltd. | ||||||||
2.22%, 05/20/2027 (Acquired 04/22/2015, Cost $249,858) (1) | 250,000 | 249,008 | ||||||
Lendmark Funding Trust 2016-A | ||||||||
4.82%, 08/21/2023 (Acquired 02/26/2016, Cost $2,396,659) (1) | 2,397,000 | 2,389,414 | ||||||
Lila Mexican Holdings Llc | ||||||||
3.44%, 08/11/2022 (8) | 6,988,172 | 6,819,876 | ||||||
Limerock CLO II Ltd. | ||||||||
2.13%, 04/18/2026 (Acquired 01/28/2015, Cost $248,982) (1) | 250,000 | 247,512 | ||||||
Long Beach Mortgage Loan Trust 2004-1 | ||||||||
1.20%, 02/25/2034 | 1,699,826 | 1,604,239 |
Long Beach Mortgage Loan Trust 2004-3 | ||||||||
1.31%, 07/25/2034 | 68,068 | 65,244 | ||||||
Long Beach Mortgage Loan Trust 2006-WL2 | ||||||||
0.65%, 01/25/2036 | 57,451 | 55,503 | ||||||
LV Tower 52 Issuer 2013-1 | ||||||||
5.50%, 07/15/2019 (Acquired 08/03/2015, Cost $2,957,440) (1)(8) | 2,957,440 | 2,892,080 | ||||||
7.50%, 07/15/2019 (Acquired 08/03/2015, Cost $1,325,597) (1)(8) | 1,325,597 | 1,252,822 | ||||||
Magnetite IX Ltd. | ||||||||
2.06%, 07/25/2026 (Acquired 06/13/2014, Cost $2,248,853) (1) | 2,250,000 | 2,246,614 | ||||||
Magnetite VIII Ltd. | ||||||||
2.11%, 04/15/2026 (Acquired 04/16/2014 through 01/21/2015, Cost $11,732,143) (1) | 11,750,000 | 11,732,340 | ||||||
Magnetite XI Ltd. | ||||||||
2.08%, 01/18/2027 (Acquired 12/04/2014, Cost $1,493,289) (1) | 1,500,000 | 1,495,335 | ||||||
MarketPlace Loan Trust 2015-OD3 | ||||||||
3.25%, 09/17/2017 (Acquired 09/10/2015, Cost $914,241) (1) | 915,408 | 910,348 | ||||||
5.25%, 09/17/2017 (Acquired 09/10/2015, Cost $747,916) (1) | 750,000 | 744,897 | ||||||
MarketPlace Loan Trust 2015-OD4 | ||||||||
3.25%, 12/18/2017 (Acquired 12/22/2015, Cost $1,235,682) (1) | 1,238,788 | 1,238,788 | ||||||
Mastr Asset Backed Securities Trust 2005-HE1 | ||||||||
1.17%, 05/25/2035 | 1,644,996 | 1,615,568 | ||||||
Mastr Asset Backed Securities Trust 2006-NC1 | ||||||||
0.75%, 01/25/2036 | 4,412,183 | 4,257,707 | ||||||
Mercedes-Benz Auto Receivables Trust 2015-1 | ||||||||
0.82%, 06/15/2018 | 1,691,461 | 1,691,482 | ||||||
Mercedes-Benz Master Owner Trust 2016-B | ||||||||
1.14%, 05/17/2021 (Acquired 05/17/2016, Cost $4,291,000) (1) | 4,291,000 | 4,276,402 | ||||||
Mid-State Capital Co. 2006-1 Trust | ||||||||
6.08%, 10/15/2040 (Acquired 10/28/2013, Cost $954,171) (1) | 960,871 | 1,003,537 | ||||||
Mid-State Capital Trust 2010-1 | ||||||||
3.50%, 12/15/2045 (Acquired 10/28/2013, Cost $476,388) (1) | 465,223 | 476,526 | ||||||
5.25%, 12/15/2045 (Acquired 10/28/2013, Cost $862,974) (1) | 837,151 | 888,515 | ||||||
Mill Creek CLO Ltd. 2016-1 | ||||||||
2.34%, 04/20/2028 (Acquired 03/21/2016, Cost $3,750,000) (1) | 3,750,000 | 3,763,211 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust 2004-OP1 | ||||||||
1.32%, 11/25/2034 | 1,737,448 | 1,573,147 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust 2006-NC3 | ||||||||
0.62%, 03/25/2036 | 479,008 | 476,839 | ||||||
Nationstar HECM Loan Trust 2015-1A | ||||||||
3.84%, 05/25/2018 (Acquired 06/10/2015, Cost $1,319,662) (1) | 1,319,662 | 1,319,609 | ||||||
Nationstar HECM Loan Trust 2015-2A | ||||||||
2.88%, 11/25/2025 (Acquired 11/19/2015, Cost $1,415,453) (1) | 1,415,454 | 1,415,676 | ||||||
4.11%, 11/25/2025 (Acquired 11/19/2015, Cost $1,963,997) (1) | 1,964,000 | 1,971,502 |
Nationstar HECM Loan Trust 2016-1A | ||||||||
4.36%, 02/25/2026 (Acquired 02/25/2016, Cost $1,962,000) (1) | 1,962,000 | 1,969,514 | ||||||
Nationstar HECM Loan Trust 2016-2 | ||||||||
2.24%, 06/25/2026 (Acquired 06/23/2016, Cost $1,269,999) (1) | 1,270,000 | 1,269,999 | ||||||
Navient Student Loan Trust 2016-2 | ||||||||
1.32%, 06/25/2065 (Acquired 04/05/2016, Cost $2,791,864) (1) | 2,791,864 | 2,794,306 | ||||||
Navitas Equipment Receivables LLC 2013-1 | ||||||||
1.95%, 11/15/2016 (Acquired 10/31/2013, Cost $1,214) (1) | 1,214 | 1,214 | ||||||
Neuberger Berman CLO Ltd. | ||||||||
2.74%, 07/25/2023 (Acquired 02/19/2015, Cost $249,705) (1) | 250,000 | 247,922 | ||||||
New Century Home Equity Loan Trust Series 2003-5 | ||||||||
5.17%, 11/25/2033 | 304,216 | 312,426 | ||||||
Nissan Auto Lease Trust 2015-A | ||||||||
0.99%, 11/15/2017 | 1,633,718 | 1,633,924 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 396,416 | 397,081 | ||||||
NRPL Trust 2015-1 | ||||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $2,047,707) (1) | 2,047,707 | 2,042,530 | ||||||
3.88%, 11/01/2054 (Acquired 02/19/2015, Cost $957,788) (1) | 1,000,000 | 987,368 | ||||||
NRPL Trust 2015-2 | ||||||||
3.75%, 10/25/2057 (Acquired 06/04/2015, Cost $4,188,671) (1) | 4,206,751 | 4,131,295 | ||||||
3.75%, 10/25/2057 (Acquired 03/08/2016, Cost $1,155,124) (1) | 1,250,000 | 1,180,085 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T1 | ||||||||
2.31%, 08/15/2046 (Acquired 08/25/2015, Cost $1,750,000) (1) | 1,750,000 | 1,748,554 | ||||||
3.10%, 08/15/2046 (Acquired 08/25/2015, Cost $799,253) (1) | 800,000 | 798,861 | ||||||
3.60%, 08/15/2046 (Acquired 08/25/2015, Cost $1,246,234) (1) | 1,250,000 | 1,246,484 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T2 | ||||||||
4.68%, 08/17/2048 (Acquired 08/25/2015, Cost $1,406,000) (1) | 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) (1) | 3,750,000 | 3,750,695 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T4 | ||||||||
3.20%, 11/15/2047 (Acquired 11/20/2015, Cost $6,500,000) (1) | 6,500,000 | 6,530,518 | ||||||
4.67%, 11/15/2047 (Acquired 11/20/2015, Cost $2,000,000) (1) | 2,000,000 | 2,000,626 | ||||||
NRZ Advance Receivables Trust Advance Receivables Backed 2016-T1 | ||||||||
2.75%, 06/15/2049 (Acquired 06/23/2016, Cost $2,537,996) (1) | 2,538,000 | 2,549,873 | ||||||
NYMT Residential 2016-RP1 | ||||||||
4.00%, 03/25/2021 (Acquired 04/04/2016, Cost $934,784) (1) | 939,213 | 941,509 | ||||||
Oak Hill Advisors Residential Loan Trust 2015-NPL2 | ||||||||
3.72%, 07/25/2055 (Acquired 08/04/2015, Cost $2,871,246) (1) | 2,871,246 | 2,857,010 | ||||||
4.00%, 07/25/2055 (Acquired 08/04/2015, Cost $621,380) (1) | 641,000 | 631,680 | ||||||
Oakwood Mortgage Investors, Inc. | ||||||||
6.45%, 11/15/2017 | 3,743 | 3,856 |
Ocwen Master Advance Receivables Trus | ||||||||
2.54%, 09/17/2046 (Acquired 09/11/2015, Cost $1,107,999) (1) | 1,108,000 | 1,108,073 | ||||||
4.10%, 09/17/2046 (Acquired 09/11/2015, Cost $2,624,082) (1) | 2,628,000 | 2,627,348 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
4.26%, 11/15/2046 (Acquired 11/06/2015, Cost $750,999) (1) | 751,000 | 750,777 | ||||||
3.21%, 11/15/2047 (Acquired 11/06/2015, Cost $4,767,959) (1) | 4,768,000 | 4,788,221 | ||||||
4.20%, 11/15/2047 (Acquired 11/06/2015, Cost $729,998) (1) | 730,000 | 730,925 | ||||||
4.69%, 11/15/2047 (Acquired 11/06/2015, Cost $1,749,999) (1) | 1,750,000 | 1,753,500 | ||||||
Ondeck Asset Securitization Trust LLC | ||||||||
4.21%, 05/17/2020 (Acquired 04/27/2016, Cost $1,982,883) (1) | 1,983,000 | 1,983,000 | ||||||
7.63%, 05/17/2020 (Acquired 04/27/2016, Cost $507,981) (1) | 508,000 | 510,540 | ||||||
OneMain Financial Issuance Trust 2014-1 | ||||||||
2.43%, 06/18/2024 (Acquired 04/09/2014 through 04/16/2014, Cost $2,741,227) (1) | 2,741,038 | 2,744,098 | ||||||
3.24%, 06/18/2024 (Acquired 04/09/2014, Cost $401,949) (1) | 402,000 | 402,349 | ||||||
OneMain Financial Issuance Trust 2014-2 | ||||||||
2.47%, 09/18/2024 (Acquired 07/23/2014 through 08/04/2014, Cost $5,050,672) (1) | 5,049,000 | 5,059,981 | ||||||
3.02%, 09/18/2024 (Acquired 07/23/2014, Cost $1,864,000) (1) | 1,864,000 | 1,854,766 | ||||||
OneMain Financial Issuance Trust 2015-1 | ||||||||
3.19%, 03/18/2026 (Acquired 01/28/2015, Cost $3,451,161) (1) | 3,452,000 | 3,487,551 | ||||||
3.85%, 03/18/2026 (Acquired 02/13/2015, Cost $500,257) (1) | 500,000 | 491,191 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 05/12/2015 through 09/25/2015, Cost $18,062,066) (1) | 18,062,000 | 18,056,924 | ||||||
3.10%, 07/18/2025 (Acquired 05/12/2015, Cost $1,626,605) (1) | 1,627,000 | 1,592,328 | ||||||
OneMain Financial Issuance Trust 2016-1A | ||||||||
6.00%, 02/20/2029 (Acquired 05/12/2016, Cost $1,871,404) (1) | 1,900,000 | 1,842,962 | ||||||
Oportun Funding II LLC | ||||||||
4.70%, 03/08/2021 (Acquired 02/12/2016, Cost $2,900,792) (1) | 2,901,000 | 2,901,000 | ||||||
6.41%, 03/08/2021 (Acquired 02/12/2016, Cost $810,938) (1) | 811,000 | 810,514 | ||||||
3.69%, 07/08/2021 (Acquired 06/22/2016, Cost $3,331,651) (1) | 3,332,000 | 3,331,651 | ||||||
Option One Mortgage Loan Trust | ||||||||
1.29%, 02/25/2033 | 15,845 | 14,757 | ||||||
Option One Mortgage Loan Trust 2004-3 | ||||||||
1.35%, 11/25/2034 | 1,691,802 | 1,551,709 | ||||||
Palmer Square CLO 2015-1 Ltd. | ||||||||
2.15%, 05/21/2027 (Acquired 04/10/2015 through 06/17/2016, Cost $5,227,495) (1) | 5,250,000 | 5,213,460 | ||||||
Palmer Square Loan Funding 2016-2 Ltd. | ||||||||
2.73%, 06/21/2024 (Acquired 04/26/2016, Cost $2,500,000) (1) | 2,500,000 | 2,487,458 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-MCW | ||||||||
1.39%, 10/25/2034 | 25,451 | 25,442 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCH | ||||||||
1.29%, 01/25/2036 | 4,800,000 | 4,703,273 | ||||||
PFS Tax Lien Trust 2014-1 | ||||||||
1.44%, 05/15/2029 (Acquired 04/29/2014, Cost $343,052) (1) | 343,065 | 341,214 |
Prestige Auto Receivables Trust 2014-1 | ||||||||
0.97%, 03/15/2018 (Acquired 05/06/2015, Cost $6,484) (1) | 6,482 | 6,481 | ||||||
Pretium Mortgage Credit Partners I 2015-NPL2 LLC | ||||||||
3.75%, 07/27/2030 (Acquired 07/22/2015, Cost $1,279,865) (1) | 1,280,928 | 1,277,596 | ||||||
4.25%, 07/27/2030 (Acquired 07/22/2015, Cost $1,476,744) (1) | 1,500,000 | 1,478,549 | ||||||
Progreso Receivables Funding II LLC | ||||||||
3.50%, 07/08/2019 (Acquired 06/18/2014 through 07/21/2014, Cost $3,500,244) (1) | 3,500,000 | 3,499,727 | ||||||
Progreso Receivables Funding III LLC | ||||||||
3.63%, 02/08/2020 (Acquired 01/20/2015, Cost $3,090,000) (1) | 3,090,000 | 3,069,693 | ||||||
5.50%, 02/08/2020 (Acquired 01/20/2015, Cost $793,000) (1) | 793,000 | 787,158 | ||||||
Progreso Receivables Funding LLC | ||||||||
3.00%, 07/28/2020 (Acquired 06/30/2015, Cost $1,203,000) (1) | 1,203,000 | 1,181,706 | ||||||
5.00%, 07/28/2020 (Acquired 06/30/2015, Cost $605,000) (1) | 605,000 | 595,925 | ||||||
Progress Residential 2015-SFR2 Trust | ||||||||
2.74%, 06/12/2032 (Acquired 05/20/2015, Cost $3,389,998) (1) | 3,390,057 | 3,438,396 | ||||||
3.14%, 06/12/2032 (Acquired 05/20/2015, Cost $2,011,971) (1) | 2,012,000 | 2,025,439 | ||||||
3.44%, 06/12/2032 (Acquired 05/20/2015, Cost $2,137,962) (1) | 2,138,000 | 2,136,512 | ||||||
4.43%, 06/12/2032 (Acquired 05/20/2015, Cost $891,980) (1) | 892,000 | 872,551 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
3.07%, 11/12/2032 (Acquired 10/23/2015, Cost $5,245,312) (1) | 5,245,499 | 5,390,251 | ||||||
4.67%, 11/12/2032 (Acquired 10/23/2015, Cost $294,989) (1) | 295,000 | 304,806 | ||||||
5.66%, 11/12/2032 (Acquired 10/23/2015, Cost $999,985) (1) | 1,000,000 | 1,026,532 | ||||||
PURCHASING POWER FUNDING 2015-A LLC | ||||||||
4.75%, 12/15/2019 (Acquired 11/03/2015, Cost $3,500,000) (1) | 3,500,000 | 3,486,875 | ||||||
RAAC Series 2004-SP1 Trust | ||||||||
5.29%, 08/25/2027 | 2,995 | 3,034 | ||||||
Race Point VIII CLO Ltd. | ||||||||
1.89%, 02/20/2025 (Acquired 02/19/2015, Cost $248,191) (1) | 250,000 | 247,200 | ||||||
RAMP Series 2003-RS7 Trust | ||||||||
5.34%, 08/25/2033 | 15,935 | 15,972 | ||||||
RAMP Series 2004-RS11 Trust | ||||||||
1.38%, 11/25/2034 | 135,731 | 134,748 | ||||||
RAMP Series 2005-RS1 Trust | ||||||||
4.71%, 01/25/2035 | 20,322 | 20,536 | ||||||
RAMP Series 2006-RZ1 Trust | ||||||||
0.75%, 03/25/2036 | 754,380 | 747,191 | ||||||
RASC Series 2002-KS4 Trust | ||||||||
0.95%, 07/25/2032 | 4,790 | 4,207 | ||||||
RASC Series 2003-KS2 Trust | ||||||||
3.99%, 04/25/2033 | 30,412 | 30,378 | ||||||
RASC Series 2003-KS5 Trust | ||||||||
1.03%, 07/25/2033 | 5,345 | 4,718 | ||||||
3.62%, 07/25/2033 | 1,846 | 1,796 |
RASC Series 2003-KS9 Trust | ||||||||
1.09%, 11/25/2033 | 6,804 | 5,657 | ||||||
RASC Series 2004-KS2 Trust | ||||||||
4.30%, 03/25/2034 | 3,663 | 3,700 | ||||||
RASC Series 2005-KS6 Trust | ||||||||
1.07%, 07/25/2035 | 1,550,000 | 1,486,639 | ||||||
RBSHD 2013-1 Trust | ||||||||
7.69%, 10/25/2047 (Acquired 02/20/2014, Cost $679,309) (1)(8) | 677,350 | 677,480 | ||||||
Regatta V Funding Ltd. | ||||||||
2.20%, 10/25/2026 (Acquired 04/16/2015, Cost $999,360) (1) | 1,000,000 | 992,613 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037 | 309,039 | 149,686 | ||||||
Renaissance Home Equity Loan Trust 2005-3 | ||||||||
4.81%, 11/25/2035 | 171,056 | 172,329 | ||||||
RMAT 2015-NPL1 LLC | ||||||||
3.75%, 05/25/2055 (Acquired 06/03/2015, Cost $1,453,691) (1) | 1,453,691 | 1,440,593 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
1.84%, 11/18/2019 (Acquired 06/10/2015, Cost $97,511) (1) | 97,512 | 96,781 | ||||||
1.97%, 03/16/2021 (Acquired 06/10/2015, Cost $539,664) (1) | 539,675 | 535,627 | ||||||
Santander Drive Auto Receivables Trust 2014-1 | ||||||||
1.59%, 10/15/2018 | 2,694,431 | 2,696,126 | ||||||
Santander Drive Auto Receivables Trust 2014-4 | ||||||||
1.82%, 05/15/2019 | 474,000 | 475,667 | ||||||
Santander Drive Auto Receivables Trust 2015-2 | ||||||||
1.83%, 01/15/2020 | 67,000 | 67,245 | ||||||
Santander Drive Auto Receivables Trust 2015-3 | ||||||||
2.07%, 04/15/2020 | 2,311,000 | 2,326,490 | ||||||
Santander Drive Auto Receivables Trust 2015-4 | ||||||||
1.14%, 12/17/2018 | 3,410,668 | 3,412,493 | ||||||
1.20%, 12/17/2018 | 2,213,261 | 2,213,544 | ||||||
Santander Drive Auto Receivables Trust 2015-5 | ||||||||
1.19%, 12/17/2018 | 8,693,987 | 8,698,982 | ||||||
Santander Drive Auto Receivables Trust 2015-S1 | ||||||||
1.93%, 09/17/2019 (Acquired 06/10/2015, Cost $658,762) (1) | 658,773 | 653,833 | ||||||
Santander Drive Auto Receivables Trust 2016-1 | ||||||||
2.47%, 12/15/2020 | 1,639,000 | 1,662,746 | ||||||
Santander Drive Auto Receivables Trust 2016-2 | ||||||||
2.08%, 02/16/2021 | 3,075,000 | 3,088,601 | ||||||
2.66%, 11/15/2021 | 815,000 | 828,786 | ||||||
3.39%, 04/15/2022 | 522,000 | 528,010 |
Saxon Asset Securities Trust 2003-1 | ||||||||
4.80%, 06/25/2033 | 126,099 | 127,277 | ||||||
Securitized Asset Backed Receivables LLC Trust 2005-OP2 | ||||||||
0.78%, 10/25/2035 (Acquired 03/13/2014, Cost $1,112,315) (1) | 1,123,706 | 1,112,807 | ||||||
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | ||||||||
3.42%, 01/25/2036 | 78,004 | 57,073 | ||||||
Selene Non-Performing Loans LLC | ||||||||
2.98%, 05/25/2054 (Acquired 05/23/2014 through 04/23/2015, Cost $617,602) (1) | 619,028 | 614,777 | ||||||
Sierra Auto Receivables Securitization Trust 2016-1 | ||||||||
2.85%, 01/18/2022 (Acquired 06/22/2016, Cost $983,984) (1) | 984,000 | 983,982 | ||||||
Silver Spring CLO LTD | ||||||||
2.08%, 10/15/2026 (Acquired 06/24/2016, Cost $5,850,541) (1) | 5,954,635 | 5,905,277 | ||||||
Skopos Auto Receivables Trust 2015-2 | ||||||||
3.55%, 02/15/2020 (Acquired 11/05/2015, Cost $593,659) (1) | 593,700 | 593,078 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | ||||||||
1.12%, 10/25/2035 | 345,106 | 337,162 | ||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1 | ||||||||
0.75%, 12/25/2036 | 2,225,000 | 2,193,861 | ||||||
SpringCastle America Funding LLC | ||||||||
2.70%, 05/25/2023 (Acquired 09/18/2014, Cost $4,833,000) (1) | 4,833,205 | 4,849,691 | ||||||
4.61%, 10/25/2027 (Acquired 09/18/2014, Cost $1,749,716) (1) | 1,750,000 | 1,752,803 | ||||||
Springleaf Funding Trust 2014-A | ||||||||
2.41%, 12/15/2022 (Acquired 03/19/2014 through 01/25/2016, Cost $10,872,336) (1) | 10,879,370 | 10,886,005 | ||||||
3.45%, 12/15/2022 (Acquired 03/19/2014, Cost $582,884) (1) | 583,000 | 582,503 | ||||||
Springleaf Funding Trust 2015-A | ||||||||
3.16%, 11/15/2024 (Acquired 02/18/2015 through 02/17/2016, Cost $18,644,908) (1) | 18,692,000 | 18,802,563 | ||||||
3.62%, 11/15/2024 (Acquired 02/18/2015, Cost $1,086,743) (1) | 1,087,000 | 1,064,013 | ||||||
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T2 | ||||||||
4.23%, 01/15/2047 (Acquired 12/10/2015, Cost $1,718,919) (1) | 1,719,000 | 1,721,379 | ||||||
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T3 | ||||||||
4.43%, 07/15/2047 (Acquired 12/10/2015, Cost $1,781,922) (1) | 1,782,000 | 1,818,058 | ||||||
Structured Asset Investment Loan Trust 2004-4 | ||||||||
1.25%, 04/25/2034 | 720,327 | 667,468 | ||||||
Structured Asset Sec Co. Pass Through Cert Series 2002-al1 | ||||||||
3.45%, 02/25/2032 | 63,770 | 63,485 | ||||||
3.45%, 02/25/2032 | 141,956 | 140,493 | ||||||
Structured Asset Securities Co. Mortgage Loan Trust 2005-7XS | ||||||||
5.44%, 04/25/2035 | 14,905 | 15,514 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2004-6XS | ||||||||
5.53%, 03/25/2034 | 218,118 | 218,454 | ||||||
5.55%, 03/25/2034 | 174,438 | 176,587 | ||||||
Sunset Mortgage Loan Co. 2014-NPL2 LLC | ||||||||
3.72%, 11/16/2044 (Acquired 11/25/2014, Cost $1,777,306) (1) | 1,777,306 | 1,767,887 |
Synchrony Credit Card Master Note Trust 2015-1 | ||||||||
2.37%, 03/15/2023 | 4,950,000 | 5,097,313 | ||||||
Synchrony Credit Card Master Note Trust 2015-2 | ||||||||
1.60%, 04/15/2021 | 4,000,000 | 4,016,260 | ||||||
Synchrony Credit Card Master Note Trust 2015-3 | ||||||||
1.74%, 09/15/2021 | 3,800,000 | 3,824,942 | ||||||
TCF Auto Receivables Owner Trust 2015-2 | ||||||||
2.06%, 04/15/2020 (Acquired 11/18/2015, Cost $9,999,358) (1) | 10,000,000 | 10,088,671 | ||||||
THL Credit Wind River 2014-3 CLO Ltd. | ||||||||
2.26%, 01/22/2027 (Acquired 12/17/2014, Cost $5,730,975) (1) | 5,750,000 | 5,736,919 | ||||||
Tidewater Auto Receivables Trust 2014-A | ||||||||
1.40%, 07/15/2018 (Acquired 06/06/2014 through 06/23/2014, Cost $61,652) (1) | 61,658 | 61,645 | ||||||
1.85%, 12/15/2018 (Acquired 06/06/2014, Cost $2,384,901) (1) | 2,385,000 | 2,383,590 | ||||||
Toyota Auto Receivables 2014-C Owner Trust | ||||||||
0.93%, 07/16/2018 | 575,823 | 575,590 | ||||||
Trafigura Securitisation Finance Plc. 2014-1 | ||||||||
1.39%, 10/15/2018 (Acquired 10/23/2014, Cost $3,719,000) (1)(8) | 3,719,000 | 3,673,907 | ||||||
Tricon American Homes 2015-SFR1 Trust | ||||||||
1.69%, 05/17/2032 (Acquired 04/28/2015, Cost $953,548) (1) | 953,548 | 939,184 | ||||||
Trinitas CLO Ltd | ||||||||
2.27%, 04/18/2028 (Acquired 05/02/2016, Cost $7,500,000) (1) | 7,500,000 | 7,470,188 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL2 | ||||||||
4.00%, 06/25/2054 (Acquired 09/09/2014, Cost $98,937) (1) | 100,832 | 100,708 | ||||||
Truman Capital Mortgage Loan Trust 2014-NPL3 | ||||||||
3.13%, 04/25/2053 (Acquired 09/09/2014, Cost $4,942) (1) | 4,947 | 4,945 | ||||||
United Auto Credit Securitization Trust 2016-1 | ||||||||
2.00%, 10/15/2017 (Acquired 01/21/2016, Cost $1,068,330) (1) | 1,068,330 | 1,068,073 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 02/06/2015 through 08/12/2015, Cost $4,245,599) (1) | 4,252,583 | 4,207,938 | ||||||
Vibrant CLO Ltd. 2015-3 | ||||||||
2.26%, 04/20/2026 (Acquired 02/05/2015, Cost $5,237,209) (1) | 5,250,000 | 5,209,911 | ||||||
Volkswagen Auto Lease Trust 2015-A | ||||||||
0.87%, 06/20/2017 | 630,936 | 630,724 | ||||||
VOLT NPL X LLC | ||||||||
3.38%, 10/26/2054 (Acquired 11/13/2014, Cost $473,318) (1) | 473,689 | 470,840 | ||||||
VOLT XIX LLC | ||||||||
3.88%, 04/25/2055 (Acquired 12/15/2014, Cost $1,343,738) (1) | 1,344,716 | 1,343,417 | ||||||
VOLT XL LLC | ||||||||
4.38%, 11/27/2045 (Acquired 12/08/2015, Cost $2,181,741) (1) | 2,183,362 | 2,191,741 | ||||||
VOLT XLV LLC | ||||||||
4.00%, 05/25/2046 (Acquired 05/25/2016, Cost $3,892,042) (1) | 3,896,218 | 3,888,420 |
VOLT XLVI LLC | ||||||||
3.84%, 06/25/2046 (Acquired 06/14/2016, Cost $2,043,000) (1) | 2,043,000 | 2,043,000 | ||||||
VOLT XLVII LLC | ||||||||
3.75%, 06/25/2046 (Acquired 06/22/2016, Cost $2,375,000) (1) | 2,375,000 | 2,375,000 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 02/26/2015, Cost $1,850,115) (1) | 1,851,702 | 1,841,320 | ||||||
4.25%, 02/25/2055 (Acquired 02/25/2015, Cost $657,007) (1) | 666,826 | 634,216 | ||||||
VOLT XXIV LLC | ||||||||
3.50%, 02/25/2055 (Acquired 03/23/2015, Cost $3,338,769) (1) | 3,341,690 | 3,325,138 | ||||||
VOLT XXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/17/2015, Cost $6,281,130) (1) | 6,287,496 | 6,243,041 | ||||||
VOLT XXVI LLC | ||||||||
3.13%, 09/25/2043 (Acquired 09/19/2014, Cost $2,574,512) (1) | 2,576,887 | 2,555,810 | ||||||
4.25%, 09/25/2043 (Acquired 09/19/2014, Cost $1,359,871) (1) | 1,380,166 | 1,328,616 | ||||||
VOLT XXVII LLC | ||||||||
3.38%, 08/27/2057 (Acquired 10/24/2014, Cost $3,416,347) (1) | 3,419,607 | 3,398,719 | ||||||
VOLT XXX LLC | ||||||||
3.63%, 10/25/2057 (Acquired 01/15/2015 through 09/30/2015, Cost $3,867,404) (1) | 3,868,204 | 3,849,328 | ||||||
VOLT XXXI LLC | ||||||||
3.38%, 02/25/2055 (Acquired 01/22/2015, Cost $1,986,931) (1) | 1,988,780 | 1,969,178 | ||||||
VOLT XXXIII LLC | ||||||||
3.50%, 03/25/2055 (Acquired 03/13/2015, Cost $2,939,903) (1) | 2,942,625 | 2,917,416 | ||||||
VOLT XXXIV LLC | ||||||||
3.25%, 02/25/2055 (Acquired 01/21/2016, Cost $1,118,359) (1) | 1,137,517 | 1,128,790 | ||||||
VOLT XXXV LLC | ||||||||
3.50%, 06/26/2045 (Acquired 06/26/2015, Cost $2,140,595) (1) | 2,142,451 | 2,125,030 | ||||||
VOLT XXXVIII LLC | ||||||||
3.88%, 09/25/2045 (Acquired 09/10/2015, Cost $1,029,622) (1) | 1,030,428 | 1,025,315 | ||||||
Voya CLO 2013-3 Ltd. | ||||||||
2.08%, 01/18/2026 (Acquired 11/26/2013, Cost $7,400,000) (1) | 7,400,000 | 7,328,679 | ||||||
Westgate Resorts 2012-A LLC | ||||||||
2.25%, 08/20/2025 (Acquired 01/12/2015, Cost $626,021) (1) | 625,293 | 624,511 | ||||||
Westgate Resorts 2015-1 LLC | ||||||||
2.75%, 05/20/2027 (Acquired 02/20/2015, Cost $403,894) (1) | 403,928 | 402,185 | ||||||
Westlake Automobile Receivables Trust 2015-3 | ||||||||
4.40%, 05/17/2021 (Acquired 02/10/2016, Cost $994,814) (1) | 1,000,000 | 1,008,252 | ||||||
Westlake Automobile Receivables Trust 2016-2 | ||||||||
1.57%, 06/17/2019 (Acquired 06/07/2016, Cost $1,460,917) (1) | 1,461,000 | 1,461,014 | ||||||
4.10%, 06/15/2021 (Acquired 06/07/2016, Cost $299,943) (1) | 300,000 | 302,525 | ||||||
World Omni Auto Receivables Trust 2015-A | ||||||||
0.79%, 07/16/2018 | 315,207 | 315,088 | ||||||
1.34%, 05/15/2020 | 643,000 | 645,897 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $1,015,380,107) | $ | 1,016,680,089 | ||||||
|
|
Corporate Bonds - 31.90% | ||||||||
Basic Materials - 1.41% | ||||||||
Agrium, Inc. | ||||||||
3.15%, 10/01/2022 | $ | 875,000 | $ | 891,350 | ||||
3.38%, 03/15/2025 | 430,000 | 437,602 | ||||||
4.13%, 03/15/2035 | 1,960,000 | 1,893,813 | ||||||
6.13%, 01/15/2041 | 2,850,000 | 3,383,811 | ||||||
5.25%, 01/15/2045 | 712,000 | 764,229 | ||||||
Anglo American Capital PLC | ||||||||
9.38%, 04/08/2019 (Acquired 10/28/2013, Cost $245,299) (1) | 215,000 | 245,906 | ||||||
Barrick North America Finance LLC | ||||||||
4.40%, 05/30/2021 | 3,882,000 | 4,180,231 | ||||||
5.75%, 05/01/2043 | 2,592,000 | 2,816,311 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
5.40%, 03/29/2017 | 165,000 | 170,042 | ||||||
6.50%, 04/01/2019 | 284,000 | 321,467 | ||||||
3.85%, 09/30/2023 | 646,000 | 703,237 | ||||||
5.00%, 09/30/2043 | 3,530,000 | 4,083,052 | ||||||
6.25%, 10/19/2075 (Acquired 10/14/2015, Cost $2,655,000) (1) | 2,655,000 | 2,795,715 | ||||||
CF Industries, Inc. | ||||||||
7.13%, 05/01/2020 | 900,000 | 1,038,501 | ||||||
5.38%, 03/15/2044 | 2,040,000 | 1,924,979 | ||||||
Corp. Nacional del Co.bre de Chile | ||||||||
4.88%, 11/04/2044 (Acquired 07/28/2015, Cost $342,864) (1) | 370,000 | 371,809 | ||||||
Dow Chemical Co./The | ||||||||
8.55%, 05/15/2019 | 96,000 | 114,134 | ||||||
4.13%, 11/15/2021 | 470,000 | 515,686 | ||||||
3.00%, 11/15/2022 | 918,000 | 947,359 | ||||||
7.38%, 11/01/2029 | 339,000 | 454,790 | ||||||
5.25%, 11/15/2041 | 199,000 | 221,221 | ||||||
4.38%, 11/15/2042 | 1,570,000 | 1,604,243 | ||||||
Eastman Chemical Co | ||||||||
2.70%, 01/15/2020 | 7,390,000 | 7,600,963 | ||||||
4.50%, 01/15/2021 | 5,175,000 | 5,643,627 | ||||||
Ecolab, Inc. | ||||||||
1.45%, 12/08/2017 | 5,928,000 | 5,938,451 | ||||||
2.25%, 01/12/2020 | 233,000 | 237,207 | ||||||
3.25%, 01/14/2023 | 452,000 | 474,630 | ||||||
5.50%, 12/08/2041 | 103,000 | 129,035 | ||||||
EI du Pont de Nemours & Co | ||||||||
5.60%, 12/15/2036 | 155,000 | 185,627 | ||||||
4.90%, 01/15/2041 | 161,000 | 178,778 |
Freeport-McMoRan, Inc. | ||||||||
2.15%, 03/01/2017 | 1,001,000 | 993,492 | ||||||
3.55%, 03/01/2022 | 5,025,000 | 4,422,000 | ||||||
3.88%, 03/15/2023 | 844,000 | 738,500 | ||||||
5.40%, 11/14/2034 | 1,314,000 | 1,044,630 | ||||||
5.45%, 03/15/2043 | 682,000 | 547,305 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020 (Acquired 11/22/2013, Cost $3,430,699) (1) | 3,160,000 | 3,579,392 | ||||||
3.73%, 07/15/2023 (Acquired 12/10/2013, Cost $5,271,411) (1) | 5,380,000 | 5,765,558 | ||||||
Glencore Finance Canada Ltd. | ||||||||
5.80%, 11/15/2016 (Acquired 10/28/2013 through 11/26/2013, Cost $190,469) (1) | 188,000 | 190,256 | ||||||
4.25%, 10/25/2022 (Acquired 11/20/2013, Cost $4,847,385) (1) | 5,000,000 | 4,702,500 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019 (Acquired 10/28/2013, Cost $526,926) (1) | 537,000 | 516,191 | ||||||
4.13%, 05/30/2023 (Acquired 10/28/2013, Cost $52,060) (1) | 54,000 | 49,680 | ||||||
4.63%, 04/29/2024 (Acquired 10/08/2014, Cost $1,025,117) (1) | 1,000,000 | 935,000 | ||||||
Goldcorp, Inc. | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,864,657 | ||||||
International Paper Co | ||||||||
5.00%, 09/15/2035 | 2,065,000 | 2,237,855 | ||||||
6.00%, 11/15/2041 | 3,150,000 | 3,735,865 | ||||||
5.15%, 05/15/2046 | 1,085,000 | 1,171,247 | ||||||
Lubrizol Co. | ||||||||
8.88%, 02/01/2019 | 1,205,000 | 1,435,409 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 831,576 | ||||||
4.88%, 03/15/2044 | 4,017,000 | 4,250,175 | ||||||
LyondellBasell Industries NV | ||||||||
5.00%, 04/15/2019 | 3,690,000 | 3,995,776 | ||||||
5.75%, 04/15/2024 | 2,550,000 | 3,036,234 | ||||||
4.63%, 02/26/2055 | 545,000 | 527,050 | ||||||
MeadWestvaco Co. | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,787,974 | ||||||
9.75%, 06/15/2020 | 17,000 | 20,942 | ||||||
8.20%, 01/15/2030 | 537,000 | 721,285 | ||||||
Monsanto Co | ||||||||
4.40%, 07/15/2044 | 140,000 | 137,685 | ||||||
4.70%, 07/15/2064 | 91,000 | 82,955 | ||||||
Mosaic Co./The | ||||||||
3.75%, 11/15/2021 | 1,227,000 | 1,303,269 | ||||||
4.25%, 11/15/2023 | 9,279,000 | 9,997,928 |
5.45%, 11/15/2033 | 814,000 | 900,664 | ||||||
4.88%, 11/15/2041 | 52,000 | 52,496 | ||||||
5.63%, 11/15/2043 | 3,515,000 | 3,900,979 | ||||||
Nucor Co. | ||||||||
4.00%, 08/01/2023 | 176,000 | 188,033 | ||||||
Placer Dome, Inc. | ||||||||
6.45%, 10/15/2035 | 203,000 | 216,884 | ||||||
Potash Co. of Saskatchewan, Inc. | ||||||||
3.25%, 12/01/2017 | 31,000 | 31,781 | ||||||
6.50%, 05/15/2019 | 392,000 | 443,035 | ||||||
3.00%, 04/01/2025 | 1,100,000 | 1,115,186 | ||||||
PPG Industries, Inc. | ||||||||
6.65%, 03/15/2018 | 112,000 | 121,181 | ||||||
9.00%, 05/01/2021 | 217,000 | 277,839 | ||||||
5.50%, 11/15/2040 | 118,000 | 138,795 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
5.75%, 06/01/2035 | 54,000 | 59,949 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
9.00%, 05/01/2019 | 797,000 | 957,624 | ||||||
3.75%, 06/15/2025 | 8,735,000 | 9,177,699 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023 (Acquired 10/28/2013, Cost $537,546) (1) | 537,000 | 206,745 | ||||||
Solvay Finance America LLC | ||||||||
3.40%, 12/03/2020 (Acquired 01/08/2016, Cost $3,996,680) (1) | 4,000,000 | 4,189,328 | ||||||
Southern Copper Co. | ||||||||
5.88%, 04/23/2045 | 2,300,000 | 2,158,971 | ||||||
Teck Resources Ltd. | ||||||||
4.75%, 01/15/2022 | 1,709,000 | 1,443,934 | ||||||
3.75%, 02/01/2023 | 453,000 | 344,280 | ||||||
Union Carbide Co. | ||||||||
7.50%, 06/01/2025 | 624,000 | 781,681 | ||||||
7.75%, 10/01/2096 | 681,000 | 832,310 | ||||||
Vale Overseas Ltd. | ||||||||
5.88%, 06/10/2021 | 4,493,000 | 4,498,616 | ||||||
4.38%, 01/11/2022 | 5,000,000 | 4,686,000 | ||||||
8.25%, 01/17/2034 | 424,000 | 443,373 | ||||||
6.88%, 11/21/2036 | 1,307,000 | 1,202,440 | ||||||
6.88%, 11/10/2039 | 107,000 | 97,402 | ||||||
|
| |||||||
151,357,417 | ||||||||
|
|
Communications - 2.60% | ||||||||
21st Century Fox America, Inc. | ||||||||
8.00%, 10/17/2016 | 114,000 | 116,227 | ||||||
7.25%, 05/18/2018 | 203,000 | 224,813 | ||||||
8.88%, 04/26/2023 | 108,000 | 147,050 | ||||||
9.50%, 07/15/2024 | 175,000 | 252,553 | ||||||
3.70%, 10/15/2025 | 380,000 | 411,175 | ||||||
7.30%, 04/30/2028 | 454,000 | 600,991 | ||||||
7.63%, 11/30/2028 | 310,000 | 428,379 | ||||||
6.20%, 12/15/2034 | 258,000 | 323,651 | ||||||
6.65%, 11/15/2037 | 310,000 | 406,753 | ||||||
6.90%, 08/15/2039 | 155,000 | 207,460 | ||||||
Amazon.com, Inc. | ||||||||
3.80%, 12/05/2024 | 1,086,000 | 1,217,773 | ||||||
4.80%, 12/05/2034 | 854,000 | 1,005,018 | ||||||
America Movil SAB de CV | ||||||||
2.38%, 09/08/2016 | 441,000 | 442,294 | ||||||
5.00%, 10/16/2019 | 3,500,000 | 3,853,069 | ||||||
5.00%, 03/30/2020 | 7,300,000 | 8,089,239 | ||||||
3.13%, 07/16/2022 | 374,000 | 383,782 | ||||||
6.13%, 03/30/2040 | 283,000 | 347,189 | ||||||
AT&T, Inc. | ||||||||
5.50%, 02/01/2018 | 543,000 | 578,081 | ||||||
4.60%, 02/15/2021 | 578,000 | 632,558 | ||||||
3.88%, 08/15/2021 | 494,000 | 532,259 | ||||||
3.00%, 02/15/2022 | 1,219,000 | 1,243,303 | ||||||
3.80%, 03/15/2022 | 1,665,000 | 1,773,695 | ||||||
3.00%, 06/30/2022 | 2,649,000 | 2,713,119 | ||||||
3.60%, 02/17/2023 | 14,861,000 | 15,555,975 | ||||||
3.90%, 03/11/2024 | 3,750,000 | 3,971,032 | ||||||
3.95%, 01/15/2025 | 205,000 | 216,955 | ||||||
3.40%, 05/15/2025 | 4,538,000 | 4,644,148 | ||||||
4.50%, 05/15/2035 | 5,500,000 | 5,620,235 | ||||||
6.30%, 01/15/2038 | 743,000 | 893,882 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,460,960 | ||||||
5.35%, 09/01/2040 | 1,543,000 | 1,688,883 | ||||||
6.38%, 03/01/2041 | 329,000 | 400,612 | ||||||
5.15%, 03/15/2042 | 866,000 | 932,220 | ||||||
4.30%, 12/15/2042 | 2,472,000 | 2,369,212 | ||||||
4.80%, 06/15/2044 | 4,305,000 | 4,435,454 | ||||||
4.35%, 06/15/2045 | 511,000 | 495,483 | ||||||
4.75%, 05/15/2046 | 3,860,000 | 3,956,292 | ||||||
5.65%, 02/15/2047 | 3,833,000 | 4,384,898 | ||||||
BellSouth Co. | ||||||||
6.88%, 10/15/2031 | 1,100,000 | 1,313,804 | ||||||
6.55%, 06/15/2034 | 2,520,000 | 2,955,103 |
British Telecommunications PLC | ||||||||
5.95%, 01/15/2018 | 289,000 | 309,311 | ||||||
2.35%, 02/14/2019 | 220,000 | 224,727 | ||||||
9.38%, 12/15/2030 | 721,000 | 1,107,525 | ||||||
CBS Co. | ||||||||
1.95%, 07/01/2017 | 4,840,000 | 4,867,370 | ||||||
3.70%, 08/15/2024 | 848,000 | 885,963 | ||||||
4.00%, 01/15/2026 | 1,000,000 | 1,067,895 | ||||||
5.90%, 10/15/2040 | 67,000 | 75,898 | ||||||
4.85%, 07/01/2042 | 77,000 | 77,416 | ||||||
4.90%, 08/15/2044 | 315,000 | 319,654 | ||||||
Centel Capital Co. | ||||||||
9.00%, 10/15/2019 | 464,000 | 537,103 | ||||||
CenturyLink, Inc. | ||||||||
5.15%, 06/15/2017 | 322,000 | 329,245 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.58%, 07/23/2020 (Acquired 08/31/2015 through 06/08/2016, Cost $6,175,237) (1) | 6,107,000 | 6,385,095 | ||||||
4.46%, 07/23/2022 (Acquired 07/09/2015, Cost $1,753,000) (1) | 1,753,000 | 1,887,408 | ||||||
6.38%, 10/23/2035 (Acquired 07/09/2015 through 06/08/2016, Cost $1,946,033) (1) | 1,861,000 | 2,204,859 | ||||||
6.83%, 10/23/2055 (Acquired 07/09/2015, Cost $690,000) (1) | 690,000 | 820,954 | ||||||
Cisco Systems, Inc. | ||||||||
2.90%, 03/04/2021 | 186,000 | 197,564 | ||||||
3.00%, 06/15/2022 | 889,000 | 955,658 | ||||||
3.63%, 03/04/2024 | 550,000 | 616,768 | ||||||
2.95%, 02/28/2026 | 467,000 | 495,246 | ||||||
5.90%, 02/15/2039 | 515,000 | 699,511 | ||||||
5.50%, 01/15/2040 | 481,000 | 630,388 | ||||||
Comcast Cable Communications Holdings, Inc. | ||||||||
9.46%, 11/15/2022 | 542,000 | 772,211 | ||||||
Comcast Cable Communications LLC | ||||||||
8.88%, 05/01/2017 | 103,000 | 109,703 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 251,947 | ||||||
Comcast Co. | ||||||||
6.50%, 01/15/2017 | 103,000 | 106,021 | ||||||
4.25%, 01/15/2033 | 1,895,000 | 2,092,459 | ||||||
4.20%, 08/15/2034 | 5,843,000 | 6,436,964 | ||||||
6.50%, 11/15/2035 | 1,342,000 | 1,866,553 | ||||||
6.45%, 03/15/2037 | 310,000 | 426,787 | ||||||
6.95%, 08/15/2037 | 107,000 | 153,988 | ||||||
4.50%, 01/15/2043 | 2,154,000 | 2,433,309 |
Cox Communications, Inc. | ||||||||
3.25%, 12/15/2022 (Acquired 10/28/2013, Cost $324,599) (1) | 348,000 | 347,080 | ||||||
3.85%, 02/01/2025 (Acquired 12/01/2014, Cost $1,997,131) (1) | 2,000,000 | 2,015,334 | ||||||
4.80%, 02/01/2035 (Acquired 12/01/2014, Cost $7,148,485) (1) | 7,150,000 | 6,684,177 | ||||||
8.38%, 03/01/2039 (Acquired 10/28/2013, Cost $163,815) (1) | 134,000 | 162,006 | ||||||
Cox Enterprises, Inc. | ||||||||
7.38%, 07/15/2027 (Acquired 10/28/2013, Cost $314,625) (1) | 273,000 | 330,230 | ||||||
Crown Castle Towers LLC | ||||||||
3.22%, 05/15/2022 (Acquired 04/30/2015, Cost $589,000) (1) | 589,000 | 612,192 | ||||||
Deutsche Telekom International Finance BV | ||||||||
2.25%, 03/06/2017 (Acquired 10/28/2013 through 12/11/2013, Cost $4,551,198) (1) | 4,529,000 | 4,559,027 | ||||||
6.00%, 07/08/2019 | 209,000 | 234,453 | ||||||
8.75%, 06/15/2030 | 648,000 | 976,388 | ||||||
4.88%, 03/06/2042 (Acquired 10/28/2013, Cost $233,269) (1) | 240,000 | 279,765 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 807,557 | ||||||
4.95%, 05/15/2042 | 1,161,000 | 1,008,517 | ||||||
eBay, Inc. | ||||||||
2.60%, 07/15/2022 | 2,356,000 | 2,333,211 | ||||||
3.45%, 08/01/2024 | 669,000 | 684,123 | ||||||
4.00%, 07/15/2042 | 213,000 | 179,621 | ||||||
Grupo Televisa SAB | ||||||||
6.13%, 01/31/2046 | 382,000 | 421,831 | ||||||
GTE Co. | ||||||||
8.75%, 11/01/2021 | 11,000 | 13,957 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 06/15/2020 (Acquired 05/20/2015, Cost $271,000) (1) | 271,000 | 270,420 | ||||||
3.48%, 06/16/2025 (Acquired 05/20/2015, Cost $314,000) (1) | 314,000 | 317,259 | ||||||
Historic TW, Inc. | ||||||||
9.15%, 02/01/2023 | 347,000 | 466,491 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 784,479 | ||||||
6.40%, 04/30/2040 | 372,000 | 515,385 | ||||||
5.95%, 04/01/2041 | 527,000 | 701,586 | ||||||
4.45%, 01/15/2043 | 1,765,000 | 1,968,014 | ||||||
New Cingular Wireless Services, Inc. | ||||||||
8.75%, 03/01/2031 | 1,140,000 | 1,701,836 | ||||||
Nippon Telegraph & Telephone Co. | ||||||||
1.40%, 07/18/2017 | 237,000 | 237,563 | ||||||
Orange SA | ||||||||
2.75%, 09/14/2016 | 437,000 | 438,631 | ||||||
2.75%, 02/06/2019 | 3,000,000 | 3,091,506 | ||||||
9.00%, 03/01/2031 | 1,393,000 | 2,158,672 |
Qwest Co. | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 4,175,280 | ||||||
Rogers Communications, Inc. | ||||||||
4.10%, 10/01/2023 | 1,255,000 | 1,394,879 | ||||||
3.63%, 12/15/2025 | 4,350,000 | 4,649,693 | ||||||
8.75%, 05/01/2032 | 258,000 | 364,913 | ||||||
SK Telecom Co. Ltd. | ||||||||
6.63%, 07/20/2027 (Acquired 10/28/2013 through 11/27/2013, Cost $426,223) (1) | 361,000 | 492,332 | ||||||
Sky PLC | ||||||||
3.75%, 09/16/2024 (Acquired 09/09/2014, Cost $286,064) (1) | 287,000 | 298,311 | ||||||
Sprint Capital Co. | ||||||||
6.90%, 05/01/2019 | 301,000 | 287,455 | ||||||
8.75%, 03/15/2032 | 38,000 | 32,490 | ||||||
TCI Communications, Inc. | ||||||||
7.13%, 02/15/2028 | 138,000 | 191,927 | ||||||
Telecom Italia Capital SA | ||||||||
7.00%, 06/04/2018 | 5,000,000 | 5,412,500 | ||||||
7.18%, 06/18/2019 | 215,000 | 242,413 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,646,055 | ||||||
Telefonica Emisiones SAU | ||||||||
6.22%, 07/03/2017 | 545,000 | 569,013 | ||||||
3.19%, 04/27/2018 | 221,000 | 226,919 | ||||||
5.13%, 04/27/2020 | 500,000 | 551,961 | ||||||
5.46%, 02/16/2021 | 233,000 | 265,855 | ||||||
Telstra Co. Ltd. | ||||||||
3.13%, 04/07/2025 (Acquired 03/30/2015, Cost $2,281,507) (1) | 2,285,000 | 2,388,547 | ||||||
Thomson Reuters Co. | ||||||||
4.70%, 10/15/2019 | 222,000 | 240,132 | ||||||
3.95%, 09/30/2021 | 934,000 | 996,156 | ||||||
3.85%, 09/29/2024 | 342,000 | 364,621 | ||||||
4.50%, 05/23/2043 | 312,000 | 309,460 | ||||||
Time Warner Cable, Inc. | ||||||||
5.85%, 05/01/2017 | 100,000 | 103,518 | ||||||
6.75%, 07/01/2018 | 5,490,000 | 6,022,805 | ||||||
8.75%, 02/14/2019 | 184,000 | 214,840 | ||||||
8.25%, 04/01/2019 | 222,000 | 257,787 | ||||||
6.55%, 05/01/2037 | 375,000 | 437,543 | ||||||
7.30%, 07/01/2038 | 1,023,000 | 1,281,705 | ||||||
6.75%, 06/15/2039 | 539,000 | 633,606 | ||||||
5.88%, 11/15/2040 | 475,000 | 517,561 | ||||||
5.50%, 09/01/2041 | 385,000 | 404,100 |
Time Warner Cos, Inc. | ||||||||
7.57%, 02/01/2024 | 330,000 | 419,247 | ||||||
Time Warner Entertainment Co. LP | ||||||||
8.38%, 07/15/2033 | 879,000 | 1,178,795 | ||||||
Time Warner, Inc. | ||||||||
4.75%, 03/29/2021 | 585,000 | 657,238 | ||||||
4.00%, 01/15/2022 | 900,000 | 970,733 | ||||||
3.60%, 07/15/2025 | 5,167,000 | 5,470,055 | ||||||
2.95%, 07/15/2026 | 4,782,000 | 4,820,658 | ||||||
7.63%, 04/15/2031 | 4,513,000 | 6,194,038 | ||||||
7.70%, 05/01/2032 | 842,000 | 1,173,516 | ||||||
6.50%, 11/15/2036 | 257,000 | 326,085 | ||||||
6.20%, 03/15/2040 | 323,000 | 396,934 | ||||||
6.25%, 03/29/2041 | 170,000 | 214,064 | ||||||
5.38%, 10/15/2041 | 181,000 | 208,226 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 2,256,186 | ||||||
4.85%, 07/15/2045 | 2,306,000 | 2,508,951 | ||||||
Verizon Communications, Inc. | ||||||||
2.63%, 02/21/2020 | 2,094,000 | 2,165,912 | ||||||
4.50%, 09/15/2020 | 1,070,000 | 1,188,038 | ||||||
5.15%, 09/15/2023 | 4,605,000 | 5,365,193 | ||||||
6.40%, 09/15/2033 | 7,360,000 | 9,415,332 | ||||||
4.40%, 11/01/2034 | 2,056,000 | 2,121,159 | ||||||
5.85%, 09/15/2035 | 349,000 | 423,852 | ||||||
4.27%, 01/15/2036 | 6,861,000 | 7,013,637 | ||||||
4.86%, 08/21/2046 | 8,698,000 | 9,498,642 | ||||||
4.52%, 09/15/2048 | 6,396,000 | 6,606,652 | ||||||
5.01%, 08/21/2054 | 6,261,000 | 6,648,769 | ||||||
4.67%, 03/15/2055 | 6,860,000 | 6,929,766 | ||||||
Viacom, Inc. | ||||||||
2.75%, 12/15/2019 | 149,000 | 151,162 | ||||||
3.88%, 12/15/2021 | 581,000 | 613,086 | ||||||
3.13%, 06/15/2022 | 286,000 | 285,595 | ||||||
3.25%, 03/15/2023 | 69,000 | 67,892 | ||||||
4.85%, 12/15/2034 | 156,000 | 145,511 | ||||||
4.50%, 02/27/2042 | 209,000 | 173,506 | ||||||
4.38%, 03/15/2043 | 718,000 | 580,333 | ||||||
Vodafone Group PLC | ||||||||
1.63%, 03/20/2017 | 423,000 | 424,214 | ||||||
1.50%, 02/19/2018 | 1,218,000 | 1,217,358 | ||||||
2.95%, 02/19/2023 | 78,000 | 78,673 | ||||||
Walt Disney Co./The | ||||||||
3.00%, 02/13/2026 | 1,000,000 | 1,076,369 | ||||||
|
| |||||||
279,832,144 | ||||||||
|
|
Consumer, Cyclical - 1.79% | ||||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 10/28/2013, Cost $336,942) (1) | 350,544 | 361,060 | ||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25%, 01/31/2021 | 110,032 | 118,559 | ||||||
American Airlines 2013-2 Class A Pass Through Trust | ||||||||
4.95%, 01/15/2023 | 4,321,767 | 4,699,922 | ||||||
American Airlines 2015-1 Class A Pass Through Trust | ||||||||
3.38%, 05/01/2027 | 2,858,750 | 2,876,474 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 06/15/2028 | 244,000 | 252,540 | ||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
3.20%, 06/15/2028 | 1,520,000 | 1,571,558 | ||||||
American Honda Finance Co. | ||||||||
2.13%, 10/10/2018 | 352,000 | 361,410 | ||||||
2.25%, 08/15/2019 | 739,000 | 763,054 | ||||||
Arrow Electronics, Inc. | ||||||||
3.00%, 03/01/2018 | 197,000 | 199,019 | ||||||
6.88%, 06/01/2018 | 279,000 | 300,942 | ||||||
6.00%, 04/01/2020 | 478,000 | 532,890 | ||||||
4.50%, 03/01/2023 | 183,000 | 193,816 | ||||||
7.50%, 01/15/2027 | 992,000 | 1,206,229 | ||||||
Bed Bath & Beyond, Inc. | ||||||||
4.92%, 08/01/2034 | 1,865,000 | 1,741,682 | ||||||
Continental Airlines 1997-4 Class A Pass Through Trust | ||||||||
6.90%, 01/02/2018 | 6,126 | 6,230 | ||||||
Continental Airlines 1999-2 Class A-1 Pass Through Trust | ||||||||
7.26%, 03/15/2020 | 30,876 | 33,037 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 5,830,559 | 6,530,227 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 190,987 | 200,536 | ||||||
CVS Health Co. | ||||||||
2.13%, 06/01/2021 | 1,527,000 | 1,545,043 | ||||||
4.00%, 12/05/2023 | 6,000,000 | 6,637,770 | ||||||
2.88%, 06/01/2026 | 617,000 | 630,619 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 4,072,288 | ||||||
CVS Health Corp. | ||||||||
3.50%, 07/20/2022 | 3,401,000 | 3,662,289 |
CVS Pass-Through Trust | ||||||||
5.93%, 01/10/2034 (Acquired 10/28/2013, Cost $728,448) (1) | 662,604 | 768,563 | ||||||
Daimler Finance North America LLC | ||||||||
2.63%, 09/15/2016 (Acquired 10/28/2013, Cost $543,323) (1) | 542,000 | 543,783 | ||||||
2.95%, 01/11/2017 (Acquired 10/28/2013, Cost $1,017,703) (1) | 1,011,000 | 1,020,949 | ||||||
1.38%, 08/01/2017 (Acquired 07/24/2014, Cost $3,295,170) (1) | 3,300,000 | 3,306,402 | ||||||
1.88%, 01/11/2018 (Acquired 10/28/2013 through 12/10/2013, Cost $3,077,568) (1) | 3,080,000 | 3,108,860 | ||||||
2.38%, 08/01/2018 (Acquired 10/28/2013, Cost $195,535) (1) | 195,000 | 199,113 | ||||||
2.00%, 08/03/2018 (Acquired 07/28/2015, Cost $299,572) (1) | 300,000 | 303,852 | ||||||
2.25%, 07/31/2019 (Acquired 11/19/2013 through 11/20/2013, Cost $3,226,216) (1) | 3,250,000 | 3,333,099 | ||||||
2.25%, 03/02/2020 (Acquired 02/23/2015, Cost $3,568,873) (1) | 3,575,000 | 3,641,770 | ||||||
2.88%, 03/10/2021 (Acquired 03/03/2014, Cost $698,989) (1) | 700,000 | 727,959 | ||||||
8.50%, 01/18/2031 | 155,000 | 251,965 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | ||||||||
6.82%, 08/10/2022 | 2,805,474 | 3,259,961 | ||||||
Delta Air Lines 2010-2 Class A Pass Through Trust | ||||||||
4.95%, 05/23/2019 | 250,587 | 264,996 | ||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 87,577 | 93,269 | ||||||
Delta Air Lines 2012-1 Class A Pass Through Trust | ||||||||
4.75%, 05/07/2020 | 296,547 | 314,340 | ||||||
Ford Motor Co | ||||||||
4.75%, 01/15/2043 | 7,240,000 | 7,642,276 | ||||||
Ford Motor Credit Co. LLC | ||||||||
1.46%, 03/27/2017 | 8,794,000 | 8,809,583 | ||||||
2.15%, 01/09/2018 | 386,000 | 389,380 | ||||||
2.24%, 06/15/2018 | 942,000 | 951,269 | ||||||
2.55%, 10/05/2018 | 1,500,000 | 1,527,728 | ||||||
3.16%, 08/04/2020 | 1,300,000 | 1,347,983 | ||||||
4.13%, 08/04/2025 | 265,000 | 284,257 | ||||||
4.39%, 01/08/2026 | 1,200,000 | 1,310,629 | ||||||
Gap, Inc./The | ||||||||
5.95%, 04/12/2021 | 368,000 | 385,756 | ||||||
General Motors Co | ||||||||
4.88%, 10/02/2023 | 500,000 | 531,460 | ||||||
4.00%, 04/01/2025 | 8,070,000 | 8,137,853 | ||||||
6.60%, 04/01/2036 | 1,671,000 | 1,917,083 | ||||||
6.25%, 10/02/2043 | 3,016,000 | 3,352,299 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.20%, 07/13/2020 | 1,682,000 | 1,704,137 | ||||||
3.20%, 07/06/2021 | 5,188,000 | 5,203,019 | ||||||
3.45%, 04/10/2022 | 4,820,000 | 4,817,195 | ||||||
3.70%, 05/09/2023 | 5,249,000 | 5,283,145 |
Home Depot, Inc./The | ||||||||
2.00%, 04/01/2021 | 147,000 | 150,996 | ||||||
2.63%, 06/01/2022 | 347,000 | 363,196 | ||||||
3.00%, 04/01/2026 | 148,000 | 157,373 | ||||||
5.88%, 12/16/2036 | 5,490,000 | 7,500,202 | ||||||
4.40%, 03/15/2045 | 268,000 | 310,780 | ||||||
4.25%, 04/01/2046 | 655,000 | 748,646 | ||||||
Hyundai Capital America | ||||||||
2.40%, 10/30/2018 (Acquired 10/27/2015, Cost $2,716,745) (1) | 2,717,000 | 2,754,948 | ||||||
2.00%, 07/01/2019 (Acquired 06/07/2016, Cost $300,789) (1) | 301,000 | 302,859 | ||||||
2.45%, 06/15/2021 (Acquired 06/07/2016 through 06/30/2016, Cost $11,092,615) (1) | 11,085,000 | 11,140,525 | ||||||
Johnson Controls, Inc. | ||||||||
4.25%, 03/01/2021 | 344,000 | 371,018 | ||||||
3.75%, 12/01/2021 | 475,000 | 506,714 | ||||||
3.63%, 07/02/2024 | 161,000 | 170,227 | ||||||
6.00%, 01/15/2036 | 107,000 | 126,887 | ||||||
5.25%, 12/01/2041 | 722,000 | 805,762 | ||||||
4.95%, 07/02/2064 | 1,380,000 | 1,376,770 | ||||||
Lowe’s Cos, Inc. | ||||||||
3.38%, 09/15/2025 | 477,000 | 521,877 | ||||||
5.50%, 10/15/2035 | 550,000 | 685,860 | ||||||
7.11%, 05/15/2037 | 361,000 | 516,691 | ||||||
5.13%, 11/15/2041 | 238,000 | 293,088 | ||||||
4.65%, 04/15/2042 | 449,000 | 523,560 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
7.45%, 07/15/2017 | 134,000 | 141,907 | ||||||
2.88%, 02/15/2023 | 1,371,000 | 1,304,759 | ||||||
4.38%, 09/01/2023 | 393,000 | 408,395 | ||||||
6.90%, 01/15/2032 | 400,000 | 428,171 | ||||||
4.50%, 12/15/2034 | 368,000 | 326,172 | ||||||
6.38%, 03/15/2037 | 300,000 | 303,681 | ||||||
5.13%, 01/15/2042 | 101,000 | 89,871 | ||||||
Marriott International, Inc./MD | ||||||||
3.00%, 03/01/2019 | 7,250,000 | 7,481,928 | ||||||
McDonald’s Co. | ||||||||
4.70%, 12/09/2035 | 216,000 | 243,792 | ||||||
6.30%, 10/15/2037 | 1,054,000 | �� | 1,398,598 | |||||
Newell Rubbermaid, Inc. | ||||||||
3.85%, 04/01/2023 | 2,577,000 | 2,733,715 | ||||||
5.50%, 04/01/2046 | 1,756,000 | 2,090,562 | ||||||
Nissan Motor Acceptance Co. | ||||||||
1.80%, 03/15/2018 (Acquired 10/28/2013, Cost $721,950) (1) | 727,000 | 733,031 | ||||||
2.65%, 09/26/2018 (Acquired 02/25/2014, Cost $503,740) (1) | 500,000 | 512,884 |
Nordstrom, Inc. | ||||||||
4.00%, 10/15/2021 | 398,000 | 425,596 | ||||||
PACCAR Financial Co. | ||||||||
1.28%, 12/06/2018 | 3,000,000 | 3,015,429 | ||||||
Starbucks Co. | ||||||||
4.30%, 06/15/2045 | 604,000 | 717,980 | ||||||
Target Co. | ||||||||
3.50%, 07/01/2024 | 355,000 | 393,539 | ||||||
Toyota Motor Credit Co. | ||||||||
1.75%, 05/22/2017 | 516,000 | 520,031 | ||||||
1.45%, 01/12/2018 | 193,000 | 194,407 | ||||||
2.80%, 07/13/2022 | 640,000 | 673,200 | ||||||
United Airlines 2016-1 Class A Pass Through Trust | ||||||||
3.45%, 07/07/2028 | 882,000 | 904,050 | ||||||
United Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.10%, 07/07/2028 | 6,990,000 | 7,112,325 | ||||||
US Airways 1998-1A Pass Through Trust | ||||||||
6.85%, 01/30/2018 | 19,448 | 20,031 | ||||||
Walgreen Co | ||||||||
3.10%, 09/15/2022 | 1,778,000 | 1,831,761 | ||||||
4.40%, 09/15/2042 | 400,000 | 405,714 | ||||||
Walgreens Boots Alliance Inc | ||||||||
2.60%, 06/01/2021 | 5,054,000 | 5,137,320 | ||||||
3.10%, 06/01/2023 | 463,000 | 470,715 | ||||||
3.80%, 11/18/2024 | 670,000 | 710,169 | ||||||
4.50%, 11/18/2034 | 1,079,000 | 1,133,059 | ||||||
4.80%, 11/18/2044 | 1,603,000 | 1,720,829 | ||||||
4.65%, 06/01/2046 | 1,167,000 | 1,245,503 | ||||||
Wal-Mart Stores, Inc. | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 4,186,441 | ||||||
7.55%, 02/15/2030 | 72,000 | 109,904 | ||||||
5.25%, 09/01/2035 | 103,000 | 135,376 | ||||||
6.20%, 04/15/2038 | 108,000 | 152,933 | ||||||
5.00%, 10/25/2040 | 21,000 | 26,282 | ||||||
WW Grainger, Inc. | ||||||||
4.60%, 06/15/2045 | 423,000 | 502,293 | ||||||
|
| |||||||
192,501,459 | ||||||||
|
|
Consumer, Non-cyclical - 4.23% | ||||||||
AbbVie, Inc. | ||||||||
1.75%, 11/06/2017 | 866,000 | 871,126 | ||||||
1.80%, 05/14/2018 | 7,230,000 | 7,281,000 | ||||||
2.90%, 11/06/2022 | 574,000 | 585,341 | ||||||
3.20%, 11/06/2022 | 769,000 | 795,273 | ||||||
2.85%, 05/14/2023 | 5,543,000 | 5,596,972 | ||||||
3.60%, 05/14/2025 | 12,060,000 | 12,637,300 | ||||||
3.20%, 05/14/2026 | 368,000 | 372,084 | ||||||
4.50%, 05/14/2035 | 2,282,000 | 2,380,477 | ||||||
4.30%, 05/14/2036 | 450,000 | 458,350 | ||||||
Actavis Funding SCS | ||||||||
3.00%, 03/12/2020 | 3,660,000 | 3,771,206 | ||||||
3.45%, 03/15/2022 | 1,198,000 | 1,244,608 | ||||||
3.80%, 03/15/2025 | 2,355,000 | 2,450,378 | ||||||
4.55%, 03/15/2035 | 5,601,000 | 5,738,958 | ||||||
4.75%, 03/15/2045 | 1,020,000 | 1,068,114 | ||||||
Actavis, Inc. | ||||||||
3.25%, 10/01/2022 | 271,000 | 277,936 | ||||||
Aetna, Inc. | ||||||||
2.80%, 06/15/2023 | 419,000 | 428,341 | ||||||
3.20%, 06/15/2026 | 4,700,000 | 4,840,601 | ||||||
4.25%, 06/15/2036 | 306,000 | 316,182 | ||||||
6.75%, 12/15/2037 | 341,000 | 462,514 | ||||||
4.50%, 05/15/2042 | 205,000 | 217,158 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,987,628 | ||||||
4.38%, 06/15/2046 | 5,379,000 | 5,568,766 | ||||||
Allergan, Inc./United States | ||||||||
3.38%, 09/15/2020 | 539,000 | 562,151 | ||||||
2.80%, 03/15/2023 | 700,000 | 696,268 | ||||||
Amgen, Inc. | ||||||||
5.70%, 02/01/2019 | 204,000 | 226,024 | ||||||
2.13%, 05/01/2020 | 123,000 | 124,953 | ||||||
3.88%, 11/15/2021 | 722,000 | 787,896 | ||||||
2.70%, 05/01/2022 | 5,600,000 | 5,763,867 | ||||||
3.13%, 05/01/2025 | 525,000 | 547,958 | ||||||
4.95%, 10/01/2041 | 464,000 | 509,897 | ||||||
4.40%, 05/01/2045 | 380,000 | 396,593 | ||||||
4.66%, 06/15/2051 (Acquired 10/28/2013 through 06/15/2016, Cost $7,887,010) (1) | 8,785,000 | 9,166,726 | ||||||
Anheuser-Busch Cos LLC | ||||||||
5.50%, 01/15/2018 | 103,000 | 109,755 | ||||||
5.75%, 04/01/2036 | 114,000 | 140,111 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
1.90%, 02/01/2019 | 132,000 | 134,238 | ||||||
2.65%, 02/01/2021 | 6,986,000 | 7,239,305 | ||||||
2.63%, 01/17/2023 | 160,000 | 161,893 |
3.30%, 02/01/2023 | 4,301,000 | 4,524,979 | ||||||
3.70%, 02/01/2024 | 960,000 | 1,034,453 | ||||||
4.70%, 02/01/2036 | 9,266,000 | 10,424,834 | ||||||
4.00%, 01/17/2043 | 810,000 | 841,451 | ||||||
4.90%, 02/01/2046 | 4,364,000 | 5,111,850 | ||||||
Anthem, Inc. | ||||||||
2.30%, 07/15/2018 | 289,000 | 293,259 | ||||||
3.13%, 05/15/2022 | 484,000 | 500,795 | ||||||
3.30%, 01/15/2023 | 271,000 | 279,961 | ||||||
3.50%, 08/15/2024 | 694,000 | 718,827 | ||||||
4.63%, 05/15/2042 | 400,000 | 419,855 | ||||||
4.65%, 01/15/2043 | 391,000 | 408,326 | ||||||
5.10%, 01/15/2044 | 1,881,000 | 2,115,815 | ||||||
4.65%, 08/15/2044 | 395,000 | 420,942 | ||||||
BAT International Finance PLC | ||||||||
3.95%, 06/15/2025 (Acquired 06/10/2015, Cost $6,990,606) (1) | 7,010,000 | 7,805,102 | ||||||
Baxalta Inc. | ||||||||
3.60%, 06/23/2022 | 367,000 | 378,817 | ||||||
5.25%, 06/23/2045 | 167,000 | 181,251 | ||||||
Bayer US Finance LLC | ||||||||
3.38%, 10/08/2024 (Acquired 10/01/2014, Cost $466,974) (1) | 471,000 | 489,827 | ||||||
Baylor Scott & White Holdings | ||||||||
4.19%, 11/15/2045 | 1,800,000 | 2,008,492 | ||||||
3.97%, 11/15/2046 | 3,700,000 | 3,967,055 | ||||||
Becton Dickinson and Co | ||||||||
5.00%, 05/15/2019 | 72,000 | 78,573 | ||||||
2.68%, 12/15/2019 | 154,000 | 158,394 | ||||||
3.73%, 12/15/2024 | 4,267,000 | 4,598,235 | ||||||
Biogen, Inc. | ||||||||
3.63%, 09/15/2022 | 673,000 | 714,488 | ||||||
5.20%, 09/15/2045 | 366,000 | 411,858 | ||||||
Brown-Forman Co. | ||||||||
4.50%, 07/15/2045 | 375,000 | 428,869 | ||||||
Bunge Ltd. Finance Co. | ||||||||
3.20%, 06/15/2017 | 4,010,000 | 4,066,140 | ||||||
8.50%, 06/15/2019 | 7,456,000 | 8,718,107 | ||||||
3.50%, 11/24/2020 | 283,000 | 296,674 | ||||||
Bunge NA Finance LP | ||||||||
5.90%, 04/01/2017 | 470,000 | 485,079 | ||||||
Cardinal Health, Inc. | ||||||||
3.75%, 09/15/2025 | 412,000 | 448,447 | ||||||
4.90%, 09/15/2045 | 315,000 | 351,317 |
Cargill, Inc. | ||||||||
6.00%, 11/27/2017 (Acquired 10/28/2013, Cost $168,896) (1) | 160,000 | 170,678 | ||||||
7.35%, 03/06/2019 (Acquired 10/28/2013, Cost $329,808) (1) | 294,000 | 339,730 | ||||||
4.31%, 05/14/2021 (Acquired 10/28/2013, Cost $294,367) (1) | 281,000 | 309,490 | ||||||
3.30%, 03/01/2022 (Acquired 10/28/2013, Cost $793,379) (1) | 800,000 | 845,945 | ||||||
Celgene Co. | ||||||||
3.25%, 08/15/2022 | 1,220,000 | 1,260,237 | ||||||
4.00%, 08/15/2023 | 298,000 | 321,103 | ||||||
Celgene Corp. | ||||||||
3.63%, 05/15/2024 | 686,000 | 714,739 | ||||||
5.00%, 08/15/2045 | 302,000 | 332,829 | ||||||
Cigna Co. | ||||||||
3.25%, 04/15/2025 | 970,000 | 990,833 | ||||||
5.38%, 02/15/2042 | 3,040,000 | 3,600,248 | ||||||
City of Hope | ||||||||
5.62%, 11/15/2043 | 1,522,000 | 1,959,619 | ||||||
Cleveland Clinic Foundation/The | ||||||||
4.86%, 01/01/2114 | 1,612,000 | 1,799,102 | ||||||
Coca-Cola Co./The | ||||||||
2.55%, 06/01/2026 | 6,821,000 | 7,025,159 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
2.38%, 11/26/2018 | 9,890,000 | 10,080,234 | ||||||
ConAgra Foods, Inc. | ||||||||
5.82%, 06/15/2017 | 644,000 | 670,061 | ||||||
2.10%, 03/15/2018 | 189,000 | 190,766 | ||||||
4.95%, 08/15/2020 | 93,000 | 101,741 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 2,225,769 | ||||||
7.00%, 10/01/2028 | 1,250,000 | 1,562,671 | ||||||
Danaher Co. | ||||||||
2.40%, 09/15/2020 | 280,000 | 292,096 | ||||||
Diageo Investment Co. | ||||||||
8.00%, 09/15/2022 | 516,000 | 682,577 | ||||||
DP World Ltd. | ||||||||
6.85%, 07/02/2037 (Acquired 07/30/2015, Cost $1,274,811) (1) | 1,160,000 | 1,270,641 | ||||||
Equifax, Inc. | ||||||||
2.30%, 06/01/2021 | 338,000 | 342,815 | ||||||
ERAC USA Finance LLC | ||||||||
2.75%, 03/15/2017 (Acquired 10/28/2013, Cost $276,955) (1) | 275,000 | 277,724 | ||||||
6.38%, 10/15/2017 (Acquired 10/28/2013, Cost $43,277) (1) | 41,000 | 43,460 | ||||||
2.80%, 11/01/2018 (Acquired 01/07/2014, Cost $4,920,350) (1) | 4,875,000 | 4,996,236 | ||||||
4.50%, 08/16/2021 (Acquired 10/28/2013, Cost $415,528) (1) | 400,000 | 443,061 | ||||||
6.70%, 06/01/2034 (Acquired 10/28/2013, Cost $578,918) (1) | 508,000 | 673,379 | ||||||
5.63%, 03/15/2042 (Acquired 10/28/2013, Cost $368,715) (1) | 357,000 | 433,110 | ||||||
4.50%, 02/15/2045 (Acquired 02/10/2015, Cost $296,620) (1) | 300,000 | 317,186 |
Express Scripts Holding Co | ||||||||
2.65%, 02/15/2017 | 7,518,000 | 7,597,969 | ||||||
4.75%, 11/15/2021 | 4,000,000 | 4,487,152 | ||||||
3.00%, 07/15/2023 | 178,000 | 178,255 | ||||||
3.50%, 06/15/2024 | 897,000 | 926,418 | ||||||
4.50%, 02/25/2026 | 455,000 | 500,129 | ||||||
4.80%, 07/15/2046 | 2,940,000 | 2,938,062 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 546,657 | ||||||
Forest Laboratories LLC | ||||||||
4.38%, 02/01/2019 (Acquired 08/13/2014, Cost $5,341,126) (1) | 5,100,000 | 5,379,189 | ||||||
5.00%, 12/15/2021 (Acquired 08/04/2014 through 01/12/2015, Cost $5,074,996) (1) | 4,738,000 | 5,303,040 | ||||||
Gilead Sciences, Inc. | ||||||||
3.25%, 09/01/2022 | 431,000 | 459,032 | ||||||
3.70%, 04/01/2024 | 900,000 | 974,986 | ||||||
3.65%, 03/01/2026 | 374,000 | 406,919 | ||||||
4.60%, 09/01/2035 | 4,558,000 | 5,064,471 | ||||||
5.65%, 12/01/2041 | 2,910,000 | 3,630,903 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/2022 | 320,000 | 336,766 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
6.38%, 05/15/2038 | 217,000 | 310,716 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024 (Acquired 06/27/2014, Cost $3,004,102) (1) | 3,000,000 | 3,120,597 | ||||||
Heineken NV | ||||||||
1.40%, 10/01/2017 (Acquired 10/28/2013, Cost $297,866) (1) | 299,000 | 300,383 | ||||||
Humana, Inc. | ||||||||
7.20%, 06/15/2018 | 215,000 | 238,079 | ||||||
JM Smucker Co./The | ||||||||
3.00%, 03/15/2022 | 4,750,000 | 4,988,317 | ||||||
Johnson & Johnson | ||||||||
4.38%, 12/05/2033 | 1,070,000 | 1,289,286 | ||||||
3.55%, 03/01/2036 | 300,000 | 330,916 | ||||||
4.50%, 12/05/2043 | 2,780,000 | 3,479,195 | ||||||
3.70%, 03/01/2046 | 1,505,000 | 1,695,673 | ||||||
Kellogg Co | ||||||||
1.75%, 05/17/2017 | 262,000 | 263,847 | ||||||
3.25%, 05/21/2018 | 234,000 | 242,775 | ||||||
Kimberly-Clark Co. | ||||||||
7.50%, 11/01/2018 | 52,000 | 59,471 | ||||||
2.40%, 03/01/2022 | 140,000 | 145,451 |
Kraft Foods Group, Inc. | ||||||||
6.13%, 08/23/2018 | 531,000 | 582,333 | ||||||
5.38%, 02/10/2020 | 138,000 | 155,484 | ||||||
3.50%, 06/06/2022 | 768,000 | 816,887 | ||||||
6.88%, 01/26/2039 | 1,645,000 | 2,246,185 | ||||||
6.50%, 02/09/2040 | 310,000 | 409,626 | ||||||
5.00%, 06/04/2042 | 505,000 | 580,198 | ||||||
Kraft Heinz Foods Co | ||||||||
1.60%, 06/30/2017 (Acquired 07/27/2015 through 09/29/2015, Cost $6,646,187) (1) | 6,640,000 | 6,661,580 | ||||||
2.00%, 07/02/2018 (Acquired 06/29/2016, Cost $1,703,782) (1) | 1,682,000 | 1,704,976 | ||||||
2.80%, 07/02/2020 (Acquired 06/23/2015, Cost $3,768,044) (1) | 3,775,000 | 3,920,466 | ||||||
3.95%, 07/15/2025 (Acquired 06/23/2015 through 06/24/2015, Cost $1,476,814) (1) | 1,478,000 | 1,607,760 | ||||||
3.00%, 06/01/2026 (Acquired 05/10/2016, Cost $3,609,267) (1) | 3,625,000 | 3,663,798 | ||||||
5.00%, 07/15/2035 (Acquired 06/23/2015, Cost $2,065,808) (1) | 2,085,000 | 2,392,608 | ||||||
4.38%, 06/01/2046 (Acquired 05/10/2016, Cost $5,492,628) (1) | 5,510,000 | 5,831,139 | ||||||
Kroger Co./The | ||||||||
6.40%, 08/15/2017 | 62,000 | 65,587 | ||||||
6.15%, 01/15/2020 | 206,000 | 237,152 | ||||||
4.00%, 02/01/2024 | 63,000 | 69,892 | ||||||
7.50%, 04/01/2031 | 1,417,000 | 1,983,230 | ||||||
5.40%, 07/15/2040 | 95,000 | 114,394 | ||||||
5.00%, 04/15/2042 | 1,434,000 | 1,655,329 | ||||||
Laboratory Co. of America Holdings | ||||||||
4.63%, 11/15/2020 | 6,630,000 | 7,231,023 | ||||||
3.20%, 02/01/2022 | 1,127,000 | 1,165,889 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,962,110 | ||||||
Mead Johnson Nutrition Co | ||||||||
4.13%, 11/15/2025 | 891,000 | 972,334 | ||||||
Medtronic, Inc. | ||||||||
3.15%, 03/15/2022 | 815,000 | 869,852 | ||||||
3.50%, 03/15/2025 | 13,000,000 | 14,178,424 | ||||||
4.38%, 03/15/2035 | 3,718,000 | 4,192,621 | ||||||
4.63%, 03/15/2045 | 1,183,000 | 1,392,082 | ||||||
Merck & Co., Inc. | ||||||||
2.40%, 09/15/2022 | 376,000 | 387,129 | ||||||
2.80%, 05/18/2023 | 361,000 | 379,037 | ||||||
4.15%, 05/18/2043 | 4,000,000 | 4,507,812 | ||||||
3.70%, 02/10/2045 | 70,000 | 73,578 | ||||||
Molson Coors Brewing Co | ||||||||
3.00%, 07/15/2026 | 581,000 | 580,744 | ||||||
4.20%, 07/15/2046 | 3,235,000 | 3,251,175 |
Mondelez International, Inc. | ||||||||
2.25%, 02/01/2019 | 6,550,000 | 6,692,823 | ||||||
4.00%, 02/01/2024 | 1,590,000 | 1,739,635 | ||||||
Mylan NV | ||||||||
3.15%, 06/15/2021 (Acquired 05/31/2016 through 06/08/2016, Cost $9,980,829) (1) | 9,988,000 | 10,142,854 | ||||||
3.95%, 06/15/2026 (Acquired 05/31/2016, Cost $527,929) (1) | 532,000 | 538,160 | ||||||
5.25%, 06/15/2046 (Acquired 05/31/2016 through 06/08/2016, Cost $1,884,818) (1) | 1,884,000 | 1,978,368 | ||||||
MYLAN NV | ||||||||
2.50%, 06/07/2019 (Acquired 05/31/2016, Cost $4,889,624) (1) | 4,895,000 | 4,959,996 | ||||||
Mylan, Inc. | ||||||||
2.55%, 03/28/2019 | 600,000 | 607,373 | ||||||
3.13%, 01/15/2023 (Acquired 06/01/2016, Cost $223,451) (1) | 230,000 | 228,422 | ||||||
New York and Presbyterian Hospital/The | ||||||||
3.56%, 08/01/2036 | 1,260,000 | 1,317,772 | ||||||
4.02%, 08/01/2045 | 125,000 | 136,293 | ||||||
4.76%, 08/01/2116 | 1,785,000 | 1,886,076 | ||||||
Novartis Capital Co. | ||||||||
2.40%, 09/21/2022 | 6,440,000 | 6,686,794 | ||||||
3.40%, 05/06/2024 | 922,000 | 1,008,264 | ||||||
PepsiCo., Inc. | ||||||||
7.90%, 11/01/2018 | 24,000 | 27,759 | ||||||
3.00%, 08/25/2021 | 258,000 | 274,512 | ||||||
3.10%, 07/17/2022 | 593,000 | 631,404 | ||||||
4.88%, 11/01/2040 | 82,000 | 97,785 | ||||||
4.60%, 07/17/2045 | 196,000 | 232,195 | ||||||
Perrigo Co. PLC | ||||||||
2.30%, 11/08/2018 | 4,223,000 | 4,259,356 | ||||||
Pfizer, Inc. | ||||||||
1.95%, 06/03/2021 | 16,708,000 | 16,925,438 | ||||||
3.00%, 06/15/2023 | 449,000 | 479,049 | ||||||
5.80%, 08/12/2023 | 4,000,000 | 4,917,296 | ||||||
Procter & Gamble - Esop | ||||||||
9.36%, 01/01/2021 | 149,463 | 180,745 | ||||||
Procter & Gamble Co./The | ||||||||
5.50%, 02/01/2034 | 103,000 | 137,954 | ||||||
Quest Diagnostics, Inc. | ||||||||
3.50%, 03/30/2025 | 4,820,000 | 4,979,378 | ||||||
3.45%, 06/01/2026 | 223,000 | 230,549 | ||||||
Reynolds American, Inc. | ||||||||
2.30%, 06/12/2018 | 7,430,000 | 7,550,232 | ||||||
4.00%, 06/12/2022 | 4,590,000 | 4,988,991 |
Roche Holdings, Inc. | ||||||||
3.35%, 09/30/2024 (Acquired 11/13/2014, Cost $790,041) (1) | 780,000 | 846,596 | ||||||
RR Donnelley & Sons Co | ||||||||
8.60%, 08/15/2016 | 269,000 | 271,018 | ||||||
6.13%, 01/15/2017 | 11,000 | 11,137 | ||||||
7.63%, 06/15/2020 | 107,000 | 112,083 | ||||||
SABMiller Holdings, Inc. | ||||||||
2.20%, 08/01/2018 (Acquired 12/17/2013, Cost $5,098,288) (1) | 5,080,000 | 5,163,414 | ||||||
3.75%, 01/15/2022 (Acquired 10/28/2013 through 05/18/2015, Cost $1,479,713) (1) | 1,441,000 | 1,545,285 | ||||||
4.95%, 01/15/2042 (Acquired 06/28/2016, Cost $3,170,439) (1) | 2,735,000 | 3,175,067 | ||||||
Stryker Co. | ||||||||
3.50%, 03/15/2026 | 213,000 | 226,083 | ||||||
Sysco Co. | ||||||||
3.75%, 10/01/2025 | 277,000 | 296,522 | ||||||
Texas Health Resources | ||||||||
4.33%, 11/15/2055 | 1,000,000 | 1,125,961 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.00%, 04/15/2023 | 227,000 | 231,162 | ||||||
Tyson Foods, Inc. | ||||||||
4.50%, 06/15/2022 | 2,485,000 | 2,768,844 | ||||||
3.95%, 08/15/2024 | 1,451,000 | 1,568,859 | ||||||
4.88%, 08/15/2034 | 400,000 | 446,477 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.70%, 02/15/2019 | 291,000 | 294,181 | ||||||
3.38%, 11/15/2021 | 685,000 | 739,406 | ||||||
3.35%, 07/15/2022 | 334,000 | 357,742 | ||||||
2.75%, 02/15/2023 | 186,000 | 191,222 | ||||||
2.88%, 03/15/2023 | 310,000 | 322,777 | ||||||
3.10%, 03/15/2026 | 550,000 | 577,066 | ||||||
4.63%, 07/15/2035 | 427,000 | 496,195 | ||||||
6.63%, 11/15/2037 | 562,000 | 794,910 | ||||||
4.38%, 03/15/2042 | 5,170,000 | 5,742,743 | ||||||
Ventas Realty LP | ||||||||
3.75%, 05/01/2024 | 382,000 | 399,459 | ||||||
Wesleyan University | ||||||||
4.78%, 07/01/2116 | 2,338,000 | 2,510,236 | ||||||
Wm Wrigley Jr Co | ||||||||
2.90%, 10/21/2019 (Acquired 12/10/2013, Cost $4,975,321) (1) | 4,960,000 | 5,154,333 | ||||||
Wyeth LLC | ||||||||
6.45%, 02/01/2024 | 82,000 | 105,373 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
2.70%, 04/01/2020 | 3,790,000 | 3,836,329 | ||||||
3.55%, 04/01/2025 | 6,000,000 | 6,187,086 |
Zoetis, Inc. | ||||||||
3.45%, 11/13/2020 | 150,000 | 154,871 | ||||||
3.25%, 02/01/2023 | 1,000,000 | 1,019,157 | ||||||
4.50%, 11/13/2025 | 336,000 | 370,733 | ||||||
4.70%, 02/01/2043 | 300,000 | 297,449 | ||||||
|
| |||||||
455,085,596 | ||||||||
|
| |||||||
Diversified - 0.08% | ||||||||
Hutchison Whampoa International 09 Ltd. | ||||||||
7.63%, 04/09/2019 (Acquired 10/28/2013, Cost $682,865) (1) | 612,000 | 706,190 | ||||||
Hutchison Whampoa International 09/19 Ltd. | ||||||||
5.75%, 09/11/2019 (Acquired 12/03/2013, Cost $6,680,368) (1) | 6,175,000 | 6,927,072 | ||||||
Hutchison Whampoa International 12 II Ltd. | ||||||||
3.25%, 11/08/2022 (Acquired 10/28/2013, Cost $426,877) (1) | 450,000 | 474,535 | ||||||
MUFG Americas Holdings Co. | ||||||||
2.25%, 02/10/2020 | 360,000 | 362,629 | ||||||
|
| |||||||
8,470,426 | ||||||||
|
| |||||||
Energy - 3.66% | ||||||||
Alberta Energy Co. Ltd. | ||||||||
7.38%, 11/01/2031 | 274,000 | 289,754 | ||||||
Anadarko Finance Co | ||||||||
7.50%, 05/01/2031 | 206,000 | 246,783 | ||||||
Anadarko Holding Co | ||||||||
7.15%, 05/15/2028 | 170,000 | 188,149 | ||||||
Anadarko Petroleum Co. | ||||||||
8.70%, 03/15/2019 | 664,000 | 757,240 | ||||||
6.95%, 06/15/2019 | 3,896,000 | 4,317,364 | ||||||
6.45%, 09/15/2036 | 2,685,000 | 3,068,542 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,511,160 | ||||||
4.50%, 07/15/2044 | 1,577,000 | 1,449,312 | ||||||
Anadarko Petroleum Corp. | ||||||||
6.38%, 09/15/2017 | 92,000 | 96,836 | ||||||
4.85%, 03/15/2021 | 1,167,000 | 1,237,859 | ||||||
6.60%, 03/15/2046 | 1,500,000 | 1,812,361 | ||||||
ANR Pipeline Co | ||||||||
9.63%, 11/01/2021 | 337,000 | 442,216 | ||||||
Apache Co. | ||||||||
6.90%, 09/15/2018 | 258,000 | 282,585 | ||||||
3.25%, 04/15/2022 | 99,000 | 101,428 | ||||||
5.10%, 09/01/2040 | 600,000 | 625,255 | ||||||
4.75%, 04/15/2043 | 416,000 | 427,952 |
Boardwalk Pipelines LP | ||||||||
4.95%, 12/15/2024 | 257,000 | 252,889 | ||||||
5.95%, 06/01/2026 | 254,000 | 266,930 | ||||||
BP Capital Markets PLC | ||||||||
1.38%, 11/06/2017 | 229,000 | 229,803 | ||||||
2.24%, 05/10/2019 | 400,000 | 410,758 | ||||||
3.06%, 03/17/2022 | 757,000 | 782,277 | ||||||
3.25%, 05/06/2022 | 262,000 | 275,635 | ||||||
2.75%, 05/10/2023 | 262,000 | 264,744 | ||||||
3.81%, 02/10/2024 | 4,633,000 | 4,965,483 | ||||||
3.54%, 11/04/2024 | 700,000 | 737,947 | ||||||
3.51%, 03/17/2025 | 45,000 | 47,394 | ||||||
3.12%, 05/04/2026 | 7,946,000 | 8,083,577 | ||||||
Buckeye Partners LP | ||||||||
2.65%, 11/15/2018 | 2,900,000 | 2,921,391 | ||||||
4.88%, 02/01/2021 | 704,000 | 739,653 | ||||||
4.15%, 07/01/2023 | 348,000 | 350,353 | ||||||
4.35%, 10/15/2024 | 390,000 | 386,372 | ||||||
5.85%, 11/15/2043 | 591,000 | 574,885 | ||||||
Burlington Resources Finance Co | ||||||||
7.40%, 12/01/2031 | 53,000 | 69,233 | ||||||
Burlington Resources, Inc. | ||||||||
8.20%, 03/15/2025 | 206,000 | 269,195 | ||||||
Cameron International Co. | ||||||||
3.60%, 04/30/2022 | 5,900,000 | 6,058,710 | ||||||
Canadian Natural Resources Ltd. | ||||||||
1.75%, 01/15/2018 | 687,000 | 680,987 | ||||||
5.90%, 02/01/2018 | 1,961,000 | 2,071,738 | ||||||
3.45%, 11/15/2021 | 4,028,000 | 4,027,235 | ||||||
7.20%, 01/15/2032 | 41,000 | 45,560 | ||||||
6.45%, 06/30/2033 | 675,000 | 737,132 | ||||||
6.50%, 02/15/2037 | 118,000 | 128,816 | ||||||
6.25%, 03/15/2038 | 478,000 | 520,221 | ||||||
6.75%, 02/01/2039 | 1,415,000 | 1,584,423 | ||||||
Cenovus Energy, Inc. | ||||||||
3.00%, 08/15/2022 | 1,884,000 | 1,720,054 | ||||||
6.75%, 11/15/2039 | 468,000 | 491,716 | ||||||
4.45%, 09/15/2042 | 310,000 | 247,869 | ||||||
CenterPoint Energy Resources Co. | ||||||||
4.50%, 01/15/2021 | 158,000 | 171,462 | ||||||
Chevron Co. | ||||||||
2.36%, 12/05/2022 | 315,000 | 320,374 | ||||||
2.57%, 05/16/2023 | 2,000,000 | 2,042,884 |
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | ||||||||
1.70%, 05/01/2018 (Acquired 07/13/2015 through 07/28/2015, Cost $2,226,728) (1) | 2,230,000 | 2,224,875 | ||||||
CNOOC Finance 2013 Ltd. | ||||||||
3.00%, 05/09/2023 | 2,200,000 | 2,185,297 | ||||||
CNOOC Finance 2015 Australia Pty Ltd. | ||||||||
2.63%, 05/05/2020 | 1,583,000 | 1,597,731 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.50%, 05/05/2025 | 670,000 | 678,740 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
1.63%, 04/30/2017 | 1,000,000 | 1,001,635 | ||||||
4.25%, 04/30/2024 | 1,165,000 | 1,234,643 | ||||||
Conoco Funding Co. | ||||||||
2.20%, 05/15/2020 | 328,000 | 331,248 | ||||||
3.35%, 11/15/2024 | 598,000 | 616,036 | ||||||
7.25%, 10/15/2031 | 54,000 | 68,819 | ||||||
ConocoPhillips | ||||||||
5.20%, 05/15/2018 | 155,000 | 165,900 | ||||||
5.75%, 02/01/2019 | 206,000 | 226,633 | ||||||
6.00%, 01/15/2020 | 150,000 | 170,617 | ||||||
6.50%, 02/01/2039 | 150,000 | 192,960 | ||||||
ConocoPhillips Canada Funding Co. I | ||||||||
5.63%, 10/15/2016 | 126,000 | 127,541 | ||||||
ConocoPhillips Holding Co | ||||||||
6.95%, 04/15/2029 | 400,000 | 497,378 | ||||||
DCP Midstream LLC | ||||||||
9.75%, 03/15/2019 (Acquired 10/28/2013 through 12/09/2013, Cost $5,681,775) (1) | 4,960,000 | 5,431,200 | ||||||
Devon Energy Co. | ||||||||
1.19%, 12/15/2016 | 4,000,000 | 3,975,164 | ||||||
3.25%, 05/15/2022 | 896,000 | 869,047 | ||||||
7.95%, 04/15/2032 | 2,500,000 | 2,865,695 | ||||||
5.60%, 07/15/2041 | 1,000,000 | 964,500 | ||||||
4.75%, 05/15/2042 | 323,000 | 289,660 | ||||||
5.00%, 06/15/2045 | 685,000 | 639,419 | ||||||
Devon Energy Corp. | ||||||||
2.25%, 12/15/2018 | 3,000,000 | 2,978,844 | ||||||
6.30%, 01/15/2019 | 1,174,000 | 1,271,847 | ||||||
5.85%, 12/15/2025 | 4,649,000 | 5,130,585 | ||||||
Diamond Offshore Drilling, Inc. | ||||||||
5.70%, 10/15/2039 | 500,000 | 378,993 | ||||||
4.88%, 11/01/2043 | 767,000 | 546,776 |
Ecopetrol SA | ||||||||
5.88%, 09/18/2023 | 395,000 | 406,850 | ||||||
4.13%, 01/16/2025 | 383,000 | 346,500 | ||||||
5.38%, 06/26/2026 | 537,000 | 522,233 | ||||||
Enbridge Energy Partners LP | ||||||||
4.38%, 10/15/2020 | 6,575,000 | 6,748,534 | ||||||
Encana Co. | ||||||||
6.50%, 05/15/2019 | 240,000 | 254,400 | ||||||
6.50%, 08/15/2034 | 118,000 | 118,288 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 121,144 | ||||||
3.60%, 02/01/2023 | 716,000 | 686,353 | ||||||
4.75%, 01/15/2026 | 682,000 | 703,961 | ||||||
6.63%, 10/15/2036 | 1,240,000 | 1,299,469 | ||||||
5.15%, 03/15/2045 | 140,000 | 127,294 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040 (Acquired 10/28/2013, Cost $546,968) (1) | 557,000 | 583,267 | ||||||
EnLink Midstream Partners LP | ||||||||
4.15%, 06/01/2025 | 1,129,000 | 1,040,982 | ||||||
5.05%, 04/01/2045 | 378,000 | 309,048 | ||||||
Ensco PLC | ||||||||
4.70%, 03/15/2021 | 500,000 | 415,460 | ||||||
5.20%, 03/15/2025 | 422,000 | 293,290 | ||||||
5.75%, 10/01/2044 | 333,000 | 199,800 | ||||||
Enterprise Products Operating LLC | ||||||||
4.05%, 02/15/2022 | 400,000 | 431,684 | ||||||
3.35%, 03/15/2023 | 1,017,000 | 1,044,404 | ||||||
3.90%, 02/15/2024 | 3,000,000 | 3,176,364 | ||||||
3.75%, 02/15/2025 | 515,000 | 537,381 | ||||||
3.70%, 02/15/2026 | 304,000 | 318,300 | ||||||
6.65%, 10/15/2034 | 672,000 | 799,554 | ||||||
5.75%, 03/01/2035 | 1,075,000 | 1,186,801 | ||||||
5.95%, 02/01/2041 | 201,000 | 235,653 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 4,259,852 | ||||||
4.90%, 05/15/2046 | 199,000 | 214,534 | ||||||
4.95%, 10/15/2054 | 177,000 | 179,004 | ||||||
EOG Resources, Inc. | ||||||||
6.88%, 10/01/2018 | 186,000 | 206,617 | ||||||
4.10%, 02/01/2021 | 547,000 | 594,693 | ||||||
2.63%, 03/15/2023 | 249,000 | 248,132 | ||||||
5.10%, 01/15/2036 | 784,000 | 895,114 | ||||||
EQT Midstream Partners LP | ||||||||
4.00%, 08/01/2024 | 2,000,000 | 1,921,778 |
Exxon Mobil Co. | ||||||||
2.73%, 03/01/2023 | 1,338,000 | 1,397,600 | ||||||
4.11%, 03/01/2046 | 716,000 | 805,854 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc. | ||||||||
6.75%, 02/01/2022 | 649,000 | 636,223 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
6.51%, 03/07/2022 (Acquired 05/16/2016 through 05/18/2016, Cost $1,243,724) (1) | 1,140,000 | 1,245,678 | ||||||
4.95%, 07/19/2022 (Acquired 06/07/2016, Cost $623,626) (1) | 610,000 | 631,814 | ||||||
Gulf South Pipeline Co. LP | ||||||||
4.00%, 06/15/2022 | 2,000,000 | 1,916,224 | ||||||
Halliburton Co | ||||||||
6.15%, 09/15/2019 | 77,000 | 87,478 | ||||||
3.50%, 08/01/2023 | 1,032,000 | 1,070,868 | ||||||
3.80%, 11/15/2025 | 2,500,000 | 2,598,698 | ||||||
6.70%, 09/15/2038 | 350,000 | 440,852 | ||||||
7.45%, 09/15/2039 | 521,000 | 721,763 | ||||||
7.60%, 08/15/2096 (Acquired 10/28/2013, Cost $350,974) (1) | 258,000 | 334,844 | ||||||
Helmerich & Payne International Drilling Co | ||||||||
4.65%, 03/15/2025 | 4,710,000 | 5,027,770 | ||||||
Hess Corp. | ||||||||
7.88%, 10/01/2029 | 173,000 | 206,158 | ||||||
Husky Energy, Inc. | ||||||||
6.20%, 09/15/2017 | 3,630,000 | 3,763,362 | ||||||
6.15%, 06/15/2019 | 119,000 | 128,192 | ||||||
Kerr-McGee Co. | ||||||||
6.95%, 07/01/2024 | 127,000 | 146,899 | ||||||
7.88%, 09/15/2031 | 1,191,000 | 1,419,864 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 454,000 | 517,000 | ||||||
5.00%, 10/01/2021 | 4,875,000 | 5,163,161 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,797,305 | ||||||
6.95%, 01/15/2038 | 242,000 | 267,657 | ||||||
6.50%, 09/01/2039 | 107,000 | 111,966 | ||||||
7.50%, 11/15/2040 | 483,000 | 546,757 | ||||||
Kinder Morgan, Inc./DE | ||||||||
5.30%, 12/01/2034 | 2,218,000 | 2,168,945 | ||||||
5.05%, 02/15/2046 | 2,641,000 | 2,511,918 | ||||||
Korea National Oil Co. | ||||||||
3.13%, 04/03/2017 (Acquired 11/26/2014, Cost $202,294) (1) | 200,000 | 202,642 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 232,622 | ||||||
4.25%, 02/01/2021 | 502,000 | 543,314 | ||||||
3.20%, 03/15/2025 | 386,000 | 383,230 | ||||||
5.15%, 10/15/2043 | 941,000 | 1,004,680 |
Marathon Oil Co. | ||||||||
6.00%, 10/01/2017 | 289,000 | 299,419 | ||||||
5.90%, 03/15/2018 | 291,000 | 301,865 | ||||||
2.80%, 11/01/2022 | 700,000 | 634,935 | ||||||
6.60%, 10/01/2037 | 410,000 | 414,680 | ||||||
Marathon Petroleum Co. | ||||||||
3.63%, 09/15/2024 | 1,241,000 | 1,219,201 | ||||||
Murphy Oil Co. | ||||||||
4.00%, 06/01/2022 | 537,000 | 476,398 | ||||||
Nabors Industries, Inc. | ||||||||
2.35%, 09/15/2016 | 5,000,000 | 4,992,275 | ||||||
6.15%, 02/15/2018 | 118,000 | 121,386 | ||||||
5.00%, 09/15/2020 | 595,000 | 559,900 | ||||||
4.63%, 09/15/2021 | 1,195,000 | 1,093,267 | ||||||
National Oilwell Varco, Inc. | ||||||||
1.35%, 12/01/2017 | 162,000 | 160,828 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 408,000 | 505,342 | ||||||
7.50%, 07/30/2039 | 4,000,000 | 5,407,772 | ||||||
Noble Energy, Inc. | ||||||||
8.25%, 03/01/2019 | 5,115,000 | 5,858,276 | ||||||
5.63%, 05/01/2021 | 355,000 | 369,838 | ||||||
4.15%, 12/15/2021 | 550,000 | 578,376 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,759,460 | ||||||
5.05%, 11/15/2044 | 386,000 | 388,961 | ||||||
Noble Holding International Ltd. | ||||||||
5.00%, 03/16/2018 | 158,000 | 155,630 | ||||||
3.95%, 03/15/2022 | 90,000 | 62,662 | ||||||
6.05%, 03/01/2041 | 500,000 | 300,000 | ||||||
5.25%, 03/15/2042 | 64,000 | 36,480 | ||||||
7.95%, 04/01/2045 | 254,000 | 178,435 | ||||||
Occidental Petroleum Co. | ||||||||
2.70%, 02/15/2023 | 100,000 | 101,709 | ||||||
3.50%, 06/15/2025 | 455,000 | 481,039 | ||||||
3.40%, 04/15/2026 | 246,000 | 259,589 | ||||||
4.63%, 06/15/2045 | 158,000 | 176,316 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021 (Acquired 04/30/2014, Cost $223,887) (1) | 225,000 | 219,825 |
ONEOK Partners LP | ||||||||
6.15%, 10/01/2016 | 365,000 | 368,583 | ||||||
3.20%, 09/15/2018 | 1,815,000 | 1,836,617 | ||||||
8.63%, 03/01/2019 | 353,000 | 399,918 | ||||||
3.38%, 10/01/2022 | 485,000 | 474,586 | ||||||
4.90%, 03/15/2025 | 2,500,000 | 2,622,842 | ||||||
6.65%, 10/01/2036 | 1,050,000 | 1,099,491 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,657,557 | ||||||
Petrobras Global Finance BV | ||||||||
3.50%, 02/06/2017 | 537,000 | 537,000 | ||||||
3.02%, 03/17/2017 | 1,050,000 | 1,050,514 | ||||||
7.88%, 03/15/2019 | 206,000 | 212,695 | ||||||
Petro-Canada | ||||||||
6.05%, 05/15/2018 | 263,000 | 282,849 | ||||||
5.95%, 05/15/2035 | 350,000 | 412,599 | ||||||
6.80%, 05/15/2038 | 330,000 | 434,282 | ||||||
Petrofac Ltd. | ||||||||
3.40%, 10/10/2018 (Acquired 10/28/2013 through 11/14/2013, Cost $5,072,241) (1) | 5,029,000 | 5,028,985 | ||||||
Petroleos Mexicanos | ||||||||
5.75%, 03/01/2018 | 301,000 | 314,744 | ||||||
5.50%, 02/04/2019 (Acquired 01/28/2016 through 04/20/2016, Cost $3,634,046) (1) | 3,525,000 | 3,710,062 | ||||||
5.50%, 01/21/2021 | 2,920,000 | 3,094,879 | ||||||
6.38%, 02/04/2021 (Acquired 01/28/2016, Cost $448,000) (1) | 448,000 | 487,110 | ||||||
4.88%, 01/24/2022 | 6,000,000 | 6,133,500 | ||||||
4.88%, 01/18/2024 | 363,000 | 368,173 | ||||||
4.25%, 01/15/2025 | 306,000 | 294,678 | ||||||
4.50%, 01/23/2026 | 1,193,000 | 1,148,143 | ||||||
6.88%, 08/04/2026 (Acquired 01/28/2016, Cost $537,032) (1) | 538,000 | 601,484 | ||||||
6.63%, 06/15/2035 | 647,000 | 667,057 | ||||||
6.38%, 01/23/2045 | 3,002,000 | 3,017,010 | ||||||
5.63%, 01/23/2046 | 4,108,000 | 3,744,442 | ||||||
Phillips 66 | ||||||||
2.95%, 05/01/2017 | 241,000 | 244,530 | ||||||
4.30%, 04/01/2022 | 5,736,000 | 6,265,593 | ||||||
5.88%, 05/01/2042 | 3,000,000 | 3,604,620 | ||||||
Phillips 66 Partners LP | ||||||||
2.65%, 02/15/2020 | 3,650,000 | 3,670,261 | ||||||
Pioneer Natural Resources Co | ||||||||
5.88%, 07/15/2016 | 211,000 | 211,287 | ||||||
Plains All American Pipeline LP / PAA Finance Co. | ||||||||
2.60%, 12/15/2019 | 5,094,000 | 4,962,672 | ||||||
3.60%, 11/01/2024 | 1,050,000 | 986,494 | ||||||
4.65%, 10/15/2025 | 1,950,000 | 1,969,728 | ||||||
6.65%, 01/15/2037 | 817,000 | 849,182 | ||||||
4.90%, 02/15/2045 | 2,568,000 | 2,297,043 |
QEP Resources, Inc. | ||||||||
6.80%, 03/01/2020 | 107,000 | 107,803 | ||||||
Regency Energy Partners LP / Regency Energy Finance Co. | ||||||||
4.50%, 11/01/2023 | 4,825,000 | 4,712,066 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 5,000,000 | 5,309,840 | ||||||
Reliance Holding USA, Inc. | ||||||||
5.40%, 02/14/2022 (Acquired 11/20/2013, Cost $1,772,473) (1) | 1,750,000 | 1,959,729 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020 (Acquired 10/28/2013, Cost $192,609) (1) | 215,000 | 215,538 | ||||||
Schlumberger Holdings Co. | ||||||||
3.63%, 12/21/2022 (Acquired 12/10/2015, Cost $9,087,538) (1) | 9,099,000 | 9,626,624 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021 (Acquired 10/28/2013, Cost $339,180) (1) | 337,000 | 357,165 | ||||||
3.65%, 12/01/2023 | 3,754,000 | 4,031,424 | ||||||
Shell International Finance BV | ||||||||
4.30%, 09/22/2019 | 310,000 | 337,641 | ||||||
4.38%, 03/25/2020 | 885,000 | 972,752 | ||||||
2.13%, 05/11/2020 | 699,000 | 713,481 | ||||||
1.88%, 05/10/2021 | 7,775,000 | 7,823,858 | ||||||
3.25%, 05/11/2025 | 7,025,000 | 7,373,440 | ||||||
2.88%, 05/10/2026 | 2,296,000 | 2,333,960 | ||||||
4.13%, 05/11/2035 | 625,000 | 674,373 | ||||||
6.38%, 12/15/2038 | 619,000 | 841,366 | ||||||
4.00%, 05/10/2046 | 6,045,000 | 6,169,950 | ||||||
Sinopec Group Overseas Development 2012 Ltd. | ||||||||
3.90%, 05/17/2022 (Acquired 06/22/2015, Cost $613,388) (1) | 600,000 | 634,900 | ||||||
Sinopec Group Overseas Development 2013 Ltd. | ||||||||
4.38%, 10/17/2023 (Acquired 10/28/2013, Cost $475,926) (1) | 475,000 | 512,755 | ||||||
Sinopec Group Overseas Development 2014 Ltd. | ||||||||
1.75%, 04/10/2017 (Acquired 04/02/2014 through 06/22/2015, Cost $4,397,051) (1) | 4,400,000 | 4,414,353 | ||||||
Sinopec Group Overseas Development 2015 Ltd. | ||||||||
2.50%, 04/28/2020 (Acquired 04/21/2015, Cost $8,970,376) (1) | 9,000,000 | 9,097,875 | ||||||
Sinopec Group Overseas Development 2016 Ltd. | ||||||||
3.50%, 05/03/2026 (Acquired 04/25/2016, Cost $1,983,545) (1) | 2,000,000 | 2,045,346 | ||||||
Southern Natural Gas Co. LLC | ||||||||
5.90%, 04/01/2017 (Acquired 10/28/2013, Cost $154,578) (1) | 150,000 | 153,991 | ||||||
Spectra Energy Capital LLC | ||||||||
8.00%, 10/01/2019 | 515,000 | 591,227 | ||||||
5.65%, 03/01/2020 | 253,000 | 271,130 | ||||||
3.30%, 03/15/2023 | 467,000 | 448,876 | ||||||
7.50%, 09/15/2038 | 1,457,000 | 1,669,121 |
Spectra Energy Partners LP | ||||||||
2.95%, 09/25/2018 | 306,000 | 311,868 | ||||||
3.50%, 03/15/2025 | 787,000 | 805,493 | ||||||
5.95%, 09/25/2043 | 207,000 | 244,889 | ||||||
4.50%, 03/15/2045 | 3,000,000 | 3,051,468 | ||||||
Statoil ASA | ||||||||
1.20%, 01/17/2018 | 221,000 | 221,353 | ||||||
1.15%, 05/15/2018 | 304,000 | 304,272 | ||||||
5.25%, 04/15/2019 | 382,000 | 420,660 | ||||||
3.15%, 01/23/2022 | 237,000 | 248,855 | ||||||
2.45%, 01/17/2023 | 280,000 | 283,584 | ||||||
2.65%, 01/15/2024 | 663,000 | 669,440 | ||||||
3.25%, 11/10/2024 | 508,000 | 536,723 | ||||||
4.25%, 11/23/2041 | 193,000 | 203,292 | ||||||
Suncor Energy, Inc. | ||||||||
6.10%, 06/01/2018 | 2,333,000 | 2,522,801 | ||||||
3.60%, 12/01/2024 | 677,000 | 714,049 | ||||||
5.95%, 12/01/2034 | 248,000 | 292,794 | ||||||
6.85%, 06/01/2039 | 93,000 | 123,696 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
5.50%, 02/15/2020 | 410,000 | 441,782 | ||||||
4.25%, 04/01/2024 | 833,000 | 841,781 | ||||||
5.95%, 12/01/2025 | 200,000 | 224,674 | ||||||
4.95%, 01/15/2043 | 1,482,000 | 1,371,179 | ||||||
5.30%, 04/01/2044 | 200,000 | 196,899 | ||||||
5.35%, 05/15/2045 | 633,000 | 627,651 | ||||||
Talisman Energy, Inc. | ||||||||
7.75%, 06/01/2019 | 129,000 | 141,611 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/2025 | 3,500,000 | 3,447,367 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 10/28/2013, Cost $672,284) (1) | 714,000 | 699,913 | ||||||
Tosco Co. | ||||||||
7.80%, 01/01/2027 | 392,000 | 496,705 | ||||||
8.13%, 02/15/2030 | 361,000 | 478,605 | ||||||
Total Capital Canada Ltd. | ||||||||
2.75%, 07/15/2023 | 350,000 | 359,868 | ||||||
Total Capital International SA | ||||||||
1.50%, 02/17/2017 | 218,000 | 218,660 | ||||||
1.55%, 06/28/2017 | 581,000 | 584,026 | ||||||
2.75%, 06/19/2021 | 900,000 | 935,672 | ||||||
2.70%, 01/25/2023 | 144,000 | 148,161 | ||||||
3.75%, 04/10/2024 | 229,000 | 252,165 |
TransCanada PipeLines Ltd. | ||||||||
1.63%, 11/09/2017 | 7,038,000 | 7,054,969 | ||||||
1.88%, 01/12/2018 | 205,000 | 205,983 | ||||||
6.50%, 08/15/2018 | 196,000 | 214,889 | ||||||
7.13%, 01/15/2019 | 273,000 | 307,267 | ||||||
4.88%, 01/15/2026 | 5,792,000 | 6,617,632 | ||||||
6.20%, 10/15/2037 | 573,000 | 701,882 | ||||||
7.25%, 08/15/2038 | 217,000 | 293,776 | ||||||
Transocean, Inc. | ||||||||
6.50%, 11/15/2020 | 200,000 | 177,740 | ||||||
8.13%, 12/15/2021 | 697,000 | 588,965 | ||||||
5.05%, 10/15/2022 | 287,000 | 203,053 | ||||||
7.50%, 04/15/2031 | 52,000 | 34,060 | ||||||
9.10%, 12/15/2041 | 153,000 | 104,040 | ||||||
Ultramar Diamond Shamrock Co. | ||||||||
7.20%, 10/15/2017 | 1,800,000 | 1,894,455 | ||||||
Union Electric Co | ||||||||
3.65%, 04/15/2045 | 1,370,000 | 1,418,706 | ||||||
Valero Energy Co. | ||||||||
6.63%, 06/15/2037 | 5,000,000 | 5,469,555 | ||||||
Western Gas Partners LP | ||||||||
4.65%, 07/01/2026 | 414,000 | 413,155 | ||||||
5.45%, 04/01/2044 | 680,000 | 649,899 | ||||||
WESTERN GAS PARTNERS LP | ||||||||
Williams Cos, Inc./The | ||||||||
5.75%, 06/24/2044 | 2,500,000 | 2,131,250 | ||||||
Williams Partners LP | ||||||||
5.25%, 03/15/2020 | 3,425,000 | 3,523,972 | ||||||
4.30%, 03/04/2024 | 2,500,000 | 2,352,833 | ||||||
6.30%, 04/15/2040 | 333,000 | 316,034 | ||||||
4.90%, 01/15/2045 | 1,946,000 | 1,654,096 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025 (Acquired 02/26/2015, Cost $3,298,287) (1) | 3,300,000 | 3,224,994 | ||||||
|
| |||||||
394,003,174 | ||||||||
|
| |||||||
Financials - 13.51% | ||||||||
ABN AMRO Bank NV | ||||||||
1.80%, 06/04/2018 (Acquired 05/28/2015, Cost $1,593,369) (1) | 1,594,000 | 1,605,788 | ||||||
2.50%, 10/30/2018 (Acquired 10/28/2013 through 11/07/2014, Cost $6,557,357) (1) | 6,542,000 | 6,693,853 | ||||||
2.45%, 06/04/2020 (Acquired 05/28/2015, Cost $1,996,500) (1) | 2,000,000 | 2,045,156 | ||||||
4.75%, 07/28/2025 (Acquired 07/21/2015, Cost $230,427) (1) | 231,000 | 239,796 | ||||||
4.80%, 04/18/2026 (Acquired 04/11/2016, Cost $399,319) (1) | 400,000 | 416,471 |
ACE INA Holdings, Inc. | ||||||||
2.30%, 11/03/2020 | 7,000,000 | 7,191,170 | ||||||
2.88%, 11/03/2022 | 312,000 | 326,408 | ||||||
2.70%, 03/13/2023 | 300,000 | 308,419 | ||||||
3.15%, 03/15/2025 | 3,409,000 | 3,561,239 | ||||||
3.35%, 05/03/2026 | 2,070,000 | 2,204,784 | ||||||
4.35%, 11/03/2045 | 305,000 | 351,137 | ||||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust | ||||||||
3.95%, 02/01/2022 | 438,000 | 438,000 | ||||||
AIA Group Ltd. | ||||||||
2.25%, 03/11/2019 (Acquired 04/15/2016, Cost $1,280,952) (1) | 1,270,000 | 1,286,296 | ||||||
3.20%, 03/11/2025 (Acquired 03/04/2015 through 09/29/2015, Cost $9,280,904) (1) | 9,545,000 | 9,734,020 | ||||||
4.50%, 03/16/2046 (Acquired 03/09/2016 through 05/20/2016, Cost $1,554,713) (1) | 1,565,000 | 1,698,274 | ||||||
AIG Global Funding | ||||||||
1.65%, 12/15/2017 (Acquired 12/08/2014, Cost $452,791) (1) | 453,000 | 454,982 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032 (Acquired 10/28/2013, Cost $1,169,884) (1) | 955,000 | 1,243,156 | ||||||
Air Lease Co. | ||||||||
3.88%, 04/01/2021 | 400,000 | 412,000 | ||||||
Allstate Co./The | ||||||||
3.15%, 06/15/2023 | 420,000 | 446,698 | ||||||
Ally Financial, Inc. | ||||||||
2.75%, 01/30/2017 | 5,000,000 | 5,037,500 | ||||||
8.00%, 12/31/2018 | 43,000 | 46,977 | ||||||
3.50%, 01/27/2019 | 1,000,000 | 993,750 | ||||||
American Express Centurion Bank | ||||||||
6.00%, 09/13/2017 | 506,000 | 533,079 | ||||||
American Express Co | ||||||||
7.00%, 03/19/2018 | 284,000 | 310,222 | ||||||
American Express Credit Co. | ||||||||
1.80%, 07/31/2018 | 456,000 | 460,043 | ||||||
1.88%, 11/05/2018 | 831,000 | 839,841 | ||||||
2.13%, 03/18/2019 | 637,000 | 650,120 | ||||||
2.25%, 08/15/2019 | 500,000 | 510,409 | ||||||
2.38%, 05/26/2020 | 644,000 | 658,960 | ||||||
American Express Credit Corp | ||||||||
2.25%, 05/05/2021 | 620,000 | 631,203 | ||||||
American Honda Finance Co. | ||||||||
2.13%, 02/28/2017 (Acquired 10/28/2013, Cost $426,626) (1) | 425,000 | 428,789 | ||||||
1.60%, 02/16/2018 (Acquired 10/28/2013, Cost $300,707) (1) | 302,000 | 304,895 |
American International Group, Inc. | ||||||||
6.40%, 12/15/2020 | 5,100,000 | 5,998,482 | ||||||
4.88%, 06/01/2022 | 3,500,000 | 3,899,028 | ||||||
4.13%, 02/15/2024 | 879,000 | 927,669 | ||||||
3.75%, 07/10/2025 | 444,000 | 452,741 | ||||||
3.90%, 04/01/2026 | 3,034,000 | 3,128,209 | ||||||
3.88%, 01/15/2035 | 376,000 | 360,207 | ||||||
4.80%, 07/10/2045 | 1,244,000 | 1,261,792 | ||||||
8.18%, 05/15/2058 | 107,000 | 134,492 | ||||||
American Tower Corp. | ||||||||
3.50%, 01/31/2023 | 341,000 | 352,900 | ||||||
3.38%, 10/15/2026 | 911,000 | 916,231 | ||||||
American Tower Trust I | ||||||||
1.55%, 03/15/2018 (Acquired 10/28/2013, Cost $388,879) (1) | 396,000 | 396,846 | ||||||
3.07%, 03/15/2023 (Acquired 12/05/2014 through 05/20/2015, Cost $2,880,335) (1) | 2,900,000 | 2,978,508 | ||||||
Ameriprise Financial, Inc. | ||||||||
7.30%, 06/28/2019 | 215,000 | 249,244 | ||||||
4.00%, 10/15/2023 | 650,000 | 703,862 | ||||||
Ameritech Capital Funding Co. | ||||||||
6.45%, 01/15/2018 | 321,000 | 343,519 | ||||||
AmSouth Bancorp | ||||||||
6.75%, 11/01/2025 | 527,000 | 606,227 | ||||||
ANZ New Zealand Int’l Ltd./London | ||||||||
1.75%, 03/29/2018 (Acquired 03/24/2015, Cost $2,436,811) (1) | 2,437,000 | 2,447,379 | ||||||
2.60%, 09/23/2019 (Acquired 09/16/2014, Cost $3,648,402) (1) | 3,650,000 | 3,734,709 | ||||||
2.85%, 08/06/2020 (Acquired 07/30/2015, Cost $249,828) (1) | 250,000 | 257,842 | ||||||
Aon Co. | ||||||||
6.25%, 09/30/2040 | 172,000 | 218,840 | ||||||
Aon PLC | ||||||||
4.00%, 11/27/2023 | 5,000,000 | 5,343,765 | ||||||
3.50%, 06/14/2024 | 815,000 | 839,184 | ||||||
3.88%, 12/15/2025 | 500,000 | 527,628 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.40%, 11/23/2016 (Acquired 10/28/2013, Cost $1,033,338) (1) | 1,028,000 | 1,033,941 | ||||||
4.88%, 01/12/2021 (Acquired 10/28/2013, Cost $317,224) (1) | 296,000 | 333,981 | ||||||
4.40%, 05/19/2026 (Acquired 05/12/2016, Cost $225,892) (1) | 226,000 | 231,726 | ||||||
Australia & New Zealand Banking Group Ltd./New York NY | ||||||||
1.45%, 05/15/2018 | 640,000 | 642,680 | ||||||
AvalonBay Communities, Inc. | ||||||||
2.85%, 03/15/2023 | 600,000 | 609,737 | ||||||
AXIS Specialty Finance PLC | ||||||||
2.65%, 04/01/2019 | 2,890,000 | 2,921,232 | ||||||
BAC Capital Trust VI | ||||||||
5.63%, 03/08/2035 | 43,000 | 46,704 |
Bank Nederlandse Gemeenten NV | ||||||||
2.63%, 04/28/2021 (Acquired 01/25/2016, Cost $6,537,700) (1) | 6,350,000 | 6,719,125 | ||||||
2.38%, 03/16/2026 (Acquired 03/08/2016, Cost $5,070,712) (1) | 5,090,000 | 5,341,090 | ||||||
Bank of America Co. | ||||||||
5.75%, 12/01/2017 | 480,000 | 508,052 | ||||||
6.88%, 04/25/2018 | 1,513,000 | 1,651,822 | ||||||
5.65%, 05/01/2018 | 825,000 | 884,110 | ||||||
1.95%, 05/12/2018 | 500,000 | 502,940 | ||||||
6.88%, 11/15/2018 | 1,500,000 | 1,669,535 | ||||||
2.60%, 01/15/2019 | 978,000 | 1,000,757 | ||||||
2.65%, 04/01/2019 | 710,000 | 727,984 | ||||||
7.63%, 06/01/2019 | 360,000 | 416,828 | ||||||
2.25%, 04/21/2020 | 1,440,000 | 1,448,176 | ||||||
5.63%, 07/01/2020 | 2,625,000 | 2,953,487 | ||||||
5.88%, 01/05/2021 | 15,340,000 | 17,599,275 | ||||||
2.63%, 04/19/2021 | 2,500,000 | 2,538,190 | ||||||
5.00%, 05/13/2021 | 1,830,000 | 2,049,556 | ||||||
4.10%, 07/24/2023 | 217,000 | 232,571 | ||||||
4.13%, 01/22/2024 | 1,600,000 | 1,723,683 | ||||||
4.00%, 01/22/2025 | 654,000 | 667,297 | ||||||
3.95%, 04/21/2025 | 5,201,000 | 5,288,096 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 4,232,781 | ||||||
7.75%, 05/14/2038 | 137,000 | 193,010 | ||||||
Bank of America Corp. | ||||||||
6.40%, 08/28/2017 | 2,293,000 | 2,419,491 | ||||||
2.00%, 01/11/2018 | 2,408,000 | 2,424,545 | ||||||
2.63%, 10/19/2020 | 2,885,000 | 2,931,264 | ||||||
3.30%, 01/11/2023 | 5,843,000 | 6,015,538 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,551,913 | ||||||
4.20%, 08/26/2024 | 5,765,000 | 5,961,990 | ||||||
3.88%, 08/01/2025 | 621,000 | 660,960 | ||||||
4.45%, 03/03/2026 | 11,302,000 | 11,827,068 | ||||||
3.50%, 04/19/2026 | 7,522,000 | 7,781,050 | ||||||
4.25%, 10/22/2026 | 544,000 | 564,475 | ||||||
Bank of America NA | ||||||||
5.30%, 03/15/2017 | 5,191,000 | 5,329,615 | ||||||
2.05%, 12/07/2018 | 11,922,000 | 12,092,795 | ||||||
Bank of Montreal | ||||||||
1.40%, 09/11/2017 | 201,000 | 202,019 | ||||||
2.38%, 01/25/2019 | 215,000 | 220,719 | ||||||
2.55%, 11/06/2022 | 878,000 | 907,792 |
Bank of New York Mellon Co./The | ||||||||
4.60%, 01/15/2020 | 387,000 | 427,244 | ||||||
2.60%, 08/17/2020 | 663,000 | 687,626 | ||||||
2.45%, 11/27/2020 | 247,000 | 254,154 | ||||||
3.55%, 09/23/2021 | 355,000 | 384,397 | ||||||
3.65%, 02/04/2024 | 93,000 | 101,760 | ||||||
3.25%, 09/11/2024 | 650,000 | 692,162 | ||||||
3.00%, 02/24/2025 | 5,360,000 | 5,622,067 | ||||||
2.80%, 05/04/2026 | 305,000 | 316,530 | ||||||
Bank of New York Mellon Corp./The | ||||||||
2.50%, 04/15/2021 | 215,000 | 222,811 | ||||||
Bank of Nova Scotia/The | ||||||||
1.45%, 04/25/2018 | 867,000 | 870,087 | ||||||
1.70%, 06/11/2018 | 2,825,000 | 2,851,018 | ||||||
1.85%, 04/14/2020 | 1,900,000 | 1,925,175 | ||||||
Bank of Tokyo-Mitsubishi UFJ Ltd./The | ||||||||
2.35%, 02/23/2017 (Acquired 10/28/2013, Cost $984,821) (1) | 980,000 | 987,530 | ||||||
2.15%, 09/14/2018 (Acquired 09/08/2015, Cost $349,925) (1) | 350,000 | 353,701 | ||||||
2.30%, 03/10/2019 (Acquired 03/04/2014 through 06/26/2015, Cost $5,520,002) (1) | 5,525,000 | 5,625,179 | ||||||
2.35%, 09/08/2019 (Acquired 09/02/2014, Cost $339,926) (1) | 340,000 | 347,707 | ||||||
4.10%, 09/09/2023 (Acquired 10/28/2013, Cost $244,676) (1) | 239,000 | 265,271 | ||||||
3.75%, 03/10/2024 (Acquired 03/04/2014, Cost $3,209,175) (1) | 3,215,000 | 3,497,615 | ||||||
BanPonce Trust I | ||||||||
8.33%, 02/01/2027 | 234,000 | 219,828 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
1.70%, 01/20/2017 (Acquired 01/14/2014, Cost $1,649,521) (1) | 1,650,000 | 1,654,237 | ||||||
Barclays Bank PLC | ||||||||
5.00%, 09/22/2016 | 114,000 | 114,966 | ||||||
2.25%, 05/10/2017 (Acquired 10/28/2013, Cost $277,558) (1) | 275,000 | 277,797 | ||||||
6.05%, 12/04/2017 (Acquired 10/28/2013, Cost $399,317) (1) | 382,000 | 400,048 | ||||||
Barclays PLC | ||||||||
2.00%, 03/16/2018 | 2,915,000 | 2,892,552 | ||||||
3.25%, 01/12/2021 | 1,743,000 | 1,736,894 | ||||||
3.65%, 03/16/2025 | 2,522,000 | 2,425,077 | ||||||
4.38%, 01/12/2026 | 3,514,000 | 3,548,086 | ||||||
5.25%, 08/17/2045 | 413,000 | 431,929 | ||||||
BB&T Co. | ||||||||
1.60%, 08/15/2017 | 384,000 | 386,081 | ||||||
6.85%, 04/30/2019 | 170,000 | 195,106 | ||||||
5.25%, 11/01/2019 | 284,000 | 314,692 | ||||||
2.63%, 06/29/2020 | 1,100,000 | 1,136,385 | ||||||
Bear Stearns Cos LLC/The | ||||||||
7.25%, 02/01/2018 | 4,806,000 | 5,238,997 |
Berkshire Hathaway Finance Co. | ||||||||
3.00%, 05/15/2022 | 268,000 | 286,357 | ||||||
5.75%, 01/15/2040 | 134,000 | 178,033 | ||||||
4.30%, 05/15/2043 | 322,000 | 359,232 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
4.40%, 05/15/2042 | 1,524,000 | 1,711,892 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.75%, 08/15/2021 | 605,000 | 667,633 | ||||||
3.40%, 01/31/2022 | 1,798,000 | 1,940,833 | ||||||
2.75%, 03/15/2023 | 2,727,000 | 2,818,693 | ||||||
3.13%, 03/15/2026 | 11,860,000 | 12,442,207 | ||||||
BlackRock, Inc. | ||||||||
5.00%, 12/10/2019 | 484,000 | 542,052 | ||||||
4.25%, 05/24/2021 | 475,000 | 532,952 | ||||||
3.38%, 06/01/2022 | 493,000 | 535,701 | ||||||
3.50%, 03/18/2024 | 405,000 | 439,556 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
5.88%, 03/15/2021 (Acquired 10/28/2013, Cost $1,572,177) (1) | 1,445,000 | 1,693,359 | ||||||
4.45%, 07/15/2045 (Acquired 04/22/2015 through 04/23/2015, Cost $168,872) (1) | 170,000 | 171,689 | ||||||
BNP Paribas SA | ||||||||
2.38%, 05/21/2020 | 1,390,000 | 1,416,646 | ||||||
3.25%, 03/03/2023 | 430,000 | 447,345 | ||||||
4.38%, 09/28/2025 (Acquired 09/21/2015, Cost $1,783,949) (1) | 1,800,000 | 1,826,145 | ||||||
BNZ International Funding Ltd./London | ||||||||
2.35%, 03/04/2019 (Acquired 02/25/2014, Cost $515,894) (1) | 516,000 | 523,957 | ||||||
Boston Properties LP | ||||||||
3.65%, 02/01/2026 | 557,000 | 593,903 | ||||||
BPCE SA | ||||||||
1.48%, 02/10/2017 | 306,000 | 307,054 | ||||||
1.63%, 01/26/2018 | 1,300,000 | 1,304,865 | ||||||
2.50%, 12/10/2018 | 2,500,000 | 2,563,570 | ||||||
2.50%, 07/15/2019 | 1,000,000 | 1,023,858 | ||||||
5.70%, 10/22/2023 (Acquired 10/28/2013 through 11/04/2013, Cost $3,730,786) (1) | 3,645,000 | 3,909,488 | ||||||
4.63%, 07/11/2024 (Acquired 04/13/2016, Cost $778,140) (1) | 800,000 | 802,124 | ||||||
5.15%, 07/21/2024 (Acquired 05/16/2016, Cost $1,541,659) (1) | 1,500,000 | 1,561,560 | ||||||
4.88%, 04/01/2026 (Acquired 03/29/2016, Cost $594,087) (1) | 600,000 | 615,877 | ||||||
Branch Banking & Trust Co | ||||||||
5.63%, 09/15/2016 | 480,000 | 484,576 | ||||||
0.95%, 05/23/2017 | 2,500,000 | 2,496,943 | ||||||
Brixmor Operating Partnership LP | ||||||||
4.13%, 06/15/2026 | 4,982,000 | 5,115,393 |
Caisse Centrale Desjardins | ||||||||
1.30%, 01/29/2018 (Acquired 01/26/2015, Cost $7,000,000) (1) | 7,000,000 | 6,981,275 | ||||||
Capital One Bank USA NA | ||||||||
2.15%, 11/21/2018 | 5,000,000 | 5,035,365 | ||||||
3.38%, 02/15/2023 | 2,164,000 | 2,214,324 | ||||||
Capital One Financial Co. | ||||||||
2.45%, 04/24/2019 | 353,000 | 359,258 | ||||||
4.75%, 07/15/2021 | 6,800,000 | 7,555,609 | ||||||
3.50%, 06/15/2023 | 1,200,000 | 1,241,098 | ||||||
3.75%, 04/24/2024 | 2,580,000 | 2,692,823 | ||||||
3.20%, 02/05/2025 | 350,000 | 353,433 | ||||||
4.20%, 10/29/2025 | 1,240,000 | 1,275,391 | ||||||
Capital One NA/Mclean VA | ||||||||
1.31%, 02/05/2018 | 3,000,000 | 2,997,651 | ||||||
1.65%, 02/05/2018 | 7,202,000 | 7,208,064 | ||||||
2.40%, 09/05/2019 | 500,000 | 508,170 | ||||||
2.95%, 07/23/2021 | 4,120,000 | 4,234,239 | ||||||
CDP Financial, Inc. | ||||||||
4.40%, 11/25/2019 (Acquired 10/28/2013, Cost $331,362) (1) | 310,000 | 341,160 | ||||||
Charles Schwab Co./The | ||||||||
3.23%, 09/01/2022 | 165,000 | 175,680 | ||||||
Chubb Co./The | ||||||||
5.75%, 05/15/2018 | 117,000 | 126,924 | ||||||
CIT Group, Inc. | ||||||||
6.63%, 04/01/2018 (Acquired 11/22/2013, Cost $1,371,591) (1) | 1,300,000 | 1,374,750 | ||||||
Citigroup, Inc. | ||||||||
1.70%, 04/27/2018 | 1,500,000 | 1,502,405 | ||||||
1.75%, 05/01/2018 | 800,000 | 803,517 | ||||||
2.15%, 07/30/2018 | 658,000 | 666,020 | ||||||
2.05%, 12/07/2018 | 3,600,000 | 3,628,609 | ||||||
2.40%, 02/18/2020 | 2,500,000 | 2,525,803 | ||||||
2.70%, 03/30/2021 | 7,818,000 | 7,968,536 | ||||||
4.50%, 01/14/2022 | 10,000,000 | 11,054,750 | ||||||
3.50%, 05/15/2023 | 5,000,000 | 5,103,310 | ||||||
3.75%, 06/16/2024 | 4,000,000 | 4,211,796 | ||||||
4.40%, 06/10/2025 | 11,257,000 | 11,749,933 | ||||||
5.50%, 09/13/2025 | 494,000 | 554,002 | ||||||
3.70%, 01/12/2026 | 10,200,000 | 10,742,895 | ||||||
3.40%, 05/01/2026 | 1,000,000 | 1,026,201 | ||||||
4.30%, 11/20/2026 | 1,570,000 | 1,618,365 | ||||||
6.63%, 01/15/2028 | 387,000 | 490,826 | ||||||
8.13%, 07/15/2039 | 164,000 | 255,920 | ||||||
5.88%, 01/30/2042 | 212,000 | 268,516 | ||||||
4.65%, 07/30/2045 | 222,000 | 244,134 | ||||||
4.75%, 05/18/2046 | 1,200,000 | 1,202,324 |
Citizens Bank NA/Providence RI | ||||||||
2.45%, 12/04/2019 | 8,000,000 | 8,106,080 | ||||||
Citizens Financial Group, Inc. | ||||||||
4.30%, 12/03/2025 | 343,000 | 361,202 | ||||||
CME Group, Inc./IL | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,204,979 | ||||||
3.00%, 03/15/2025 | 838,000 | 875,784 | ||||||
5.30%, 09/15/2043 | 115,000 | 147,025 | ||||||
CNA Financial Co. | ||||||||
7.35%, 11/15/2019 | 700,000 | 808,331 | ||||||
7.25%, 11/15/2023 | 7,470,000 | 9,104,070 | ||||||
3.95%, 05/15/2024 | 303,000 | 320,191 | ||||||
4.50%, 03/01/2026 | 221,000 | 235,349 | ||||||
Comerica Bank | ||||||||
2.50%, 06/02/2020 | 8,000,000 | 8,234,488 | ||||||
Comerica, Inc. | ||||||||
3.80%, 07/22/2026 | 984,000 | 1,001,705 | ||||||
Commonwealth Bank of Australia | ||||||||
2.25%, 03/16/2017 (Acquired 10/28/2013, Cost $841,806) (1) | 836,000 | 843,751 | ||||||
4.50%, 12/09/2025 (Acquired 12/02/2015, Cost $776,462) (1) | 778,000 | 814,176 | ||||||
Commonwealth Bank of Australia/New York NY | ||||||||
2.05%, 03/15/2019 | 2,750,000 | 2,788,371 | ||||||
Compass Bank | ||||||||
2.75%, 09/29/2019 | 5,000,000 | 4,937,805 | ||||||
3.88%, 04/10/2025 | 5,840,000 | 5,606,826 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
3.38%, 01/19/2017 | 258,000 | 261,336 | ||||||
3.88%, 02/08/2022 | 5,323,000 | 5,783,615 | ||||||
4.38%, 08/04/2025 | 316,000 | 330,228 | ||||||
5.80%, 09/30/2110 (Acquired 10/28/2013, Cost $375,764) (1) | 361,000 | 437,149 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.63%, 12/01/2023 | 400,000 | 421,967 | ||||||
Credit Agricole SA | ||||||||
1.48%, 10/03/2016 (Acquired 10/28/2013 through 08/25/2014, Cost $750,702) (1) | 750,000 | 751,047 | ||||||
6.64%, 05/29/2049 (Acquired 10/28/2013, Cost $104,234) (1) | 107,000 | 105,395 | ||||||
Credit Agricole SA/London | ||||||||
2.38%, 07/01/2021 (Acquired 04/20/2016, Cost $3,756,345) (1) | 3,773,000 | 3,815,801 |
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
2.75%, 03/26/2020 | 541,000 | 534,175 | ||||||
3.45%, 04/16/2021 (Acquired 06/03/2016, Cost $2,026,802) (1) | 2,000,000 | 2,017,574 | ||||||
3.80%, 09/15/2022 | 4,113,000 | 4,131,323 | ||||||
3.80%, 06/09/2023 (Acquired 06/07/2016, Cost $2,991,482) (1) | 3,000,000 | 2,994,051 | ||||||
4.55%, 04/17/2026 (Acquired 04/13/2016, Cost $2,192,482) (1) | 2,193,000 | 2,280,988 | ||||||
4.88%, 05/15/2045 | 250,000 | 249,117 | ||||||
Credit Suisse/New York NY | ||||||||
1.75%, 01/29/2018 | 375,000 | 375,312 | ||||||
2.30%, 05/28/2019 | 413,000 | 418,546 | ||||||
5.30%, 08/13/2019 | 169,000 | 186,528 | ||||||
3.00%, 10/29/2021 | 1,265,000 | 1,295,890 | ||||||
3.63%, 09/09/2024 | 560,000 | 578,683 | ||||||
Crown Castle International Corp. | ||||||||
4.88%, 04/15/2022 | 650,000 | 713,830 | ||||||
Dai-ichi Life Insurance Co. Ltd./The | ||||||||
5.10%, 10/29/2049 (Acquired 10/23/2014, Cost $250,000) (1) | 250,000 | 273,125 | ||||||
Deutsche Bank AG | ||||||||
2.95%, 08/20/2020 | 439,000 | 435,187 | ||||||
3.13%, 01/13/2021 | 2,000,000 | 1,997,676 | ||||||
3.38%, 05/12/2021 | 701,000 | 703,488 | ||||||
4.10%, 01/13/2026 | 850,000 | 844,564 | ||||||
Deutsche Bank AG/London | ||||||||
6.00%, 09/01/2017 | 901,000 | 940,077 | ||||||
1.88%, 02/13/2018 | 2,429,000 | 2,413,792 | ||||||
2.50%, 02/13/2019 | 6,000,000 | 6,016,620 | ||||||
3.70%, 05/30/2024 | 3,610,000 | 3,590,077 | ||||||
Discover Bank/Greenwood DE | ||||||||
3.10%, 06/04/2020 | 8,000,000 | 8,183,208 | ||||||
3.20%, 08/09/2021 | 1,600,000 | 1,628,003 | ||||||
4.20%, 08/08/2023 | 6,711,000 | 7,096,386 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 2,920,000 | 2,943,045 | ||||||
Duke Realty LP | ||||||||
4.38%, 06/15/2022 | 344,000 | 373,829 | ||||||
3.25%, 06/30/2026 | 203,000 | 205,927 | ||||||
Equity Commonwealth | ||||||||
6.65%, 01/15/2018 | 401,000 | 418,672 | ||||||
5.88%, 09/15/2020 | 1,393,000 | 1,546,864 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 661,720 | ||||||
4.63%, 12/15/2021 | 260,000 | 293,631 | ||||||
3.00%, 04/15/2023 | 200,000 | 205,428 | ||||||
Essex Portfolio LP | ||||||||
5.20%, 03/15/2021 | 4,115,000 | 4,608,652 |
Fifth Third Bancorp | ||||||||
5.45%, 01/15/2017 | 150,000 | 153,392 | ||||||
2.88%, 07/27/2020 | 3,007,000 | 3,133,775 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
2.38%, 04/25/2019 | 1,100,000 | 1,127,881 | ||||||
2.25%, 06/14/2021 | 2,831,000 | 2,876,961 | ||||||
First Tennessee Bank NA | ||||||||
2.95%, 12/01/2019 | 5,000,000 | 5,022,795 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033 (Acquired 10/28/2013, Cost $247,446) (1) | 250,000 | 277,974 | ||||||
6.45%, 11/15/2039 (Acquired 10/28/2013, Cost $297,957) (1) | 258,000 | 336,911 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.00%, 06/12/2017 | 905,000 | 917,870 | ||||||
6.63%, 08/15/2017 | 3,473,000 | 3,665,897 | ||||||
1.68%, 09/08/2017 | 944,000 | 946,090 | ||||||
1.72%, 12/06/2017 | 2,000,000 | 2,004,282 | ||||||
2.38%, 03/12/2019 | 2,672,000 | 2,709,478 | ||||||
2.60%, 11/04/2019 | 1,800,000 | 1,841,544 | ||||||
4.25%, 09/20/2022 | 397,000 | 428,182 | ||||||
GE Capital International Funding Co. | ||||||||
2.34%, 11/15/2020 (Acquired 10/28/2013 through 01/06/2015, Cost $11,298,483) (1) | 11,841,000 | 12,239,343 | ||||||
3.37%, 11/15/2025 (Acquired 10/28/2013 through 07/15/2015, Cost $2,651,804) (1) | 2,789,000 | 3,044,804 | ||||||
4.42%, 11/15/2035 (Acquired 10/28/2013 through 04/26/2016, Cost $14,594,512) (1) | 15,450,000 | 17,331,455 | ||||||
General Electric Capital Co. | ||||||||
0.80%, 02/15/2017 | 361,000 | 361,203 | ||||||
5.40%, 02/15/2017 | 155,000 | 159,285 | ||||||
2.30%, 04/27/2017 | 790,000 | 797,887 | ||||||
1.60%, 11/20/2017 | 328,000 | 330,931 | ||||||
6.00%, 08/07/2019 | 157,000 | 179,847 | ||||||
2.10%, 12/11/2019 | 152,000 | 156,812 | ||||||
5.50%, 01/08/2020 | 581,000 | 664,146 | ||||||
2.20%, 01/09/2020 | 161,000 | 166,021 | ||||||
5.55%, 05/04/2020 | 191,000 | 219,980 | ||||||
4.38%, 09/16/2020 | 426,000 | 474,500 | ||||||
4.63%, 01/07/2021 | 2,348,000 | 2,662,785 | ||||||
5.30%, 02/11/2021 | 184,000 | 213,496 | ||||||
3.15%, 09/07/2022 | 554,000 | 594,623 | ||||||
3.10%, 01/09/2023 | 516,000 | 551,272 | ||||||
6.75%, 03/15/2032 | 274,000 | 384,721 | ||||||
5.88%, 01/14/2038 | 196,000 | 265,238 | ||||||
6.88%, 01/10/2039 | 2,782,000 | 4,201,716 |
Genworth Holdings, Inc. | ||||||||
4.90%, 08/15/2023 | 161,000 | 121,152 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 149,418 | ||||||
Goldman Sachs Group, Inc./The | ||||||||
5.95%, 01/18/2018 | 1,711,000 | 1,822,708 | ||||||
6.15%, 04/01/2018 | 1,466,000 | 1,580,273 | ||||||
2.63%, 01/31/2019 | 263,000 | 269,172 | ||||||
7.50%, 02/15/2019 | 3,617,000 | 4,133,417 | ||||||
2.55%, 10/23/2019 | 1,000,000 | 1,023,155 | ||||||
5.38%, 03/15/2020 | 2,985,000 | 3,323,018 | ||||||
2.60%, 04/23/2020 | 1,328,000 | 1,350,217 | ||||||
6.00%, 06/15/2020 | 1,514,000 | 1,727,674 | ||||||
2.75%, 09/15/2020 | 396,000 | 404,253 | ||||||
5.25%, 07/27/2021 | 694,000 | 784,100 | ||||||
5.75%, 01/24/2022 | 17,947,000 | 20,850,555 | ||||||
3.63%, 01/22/2023 | 4,815,000 | 5,052,538 | ||||||
3.85%, 07/08/2024 | 723,000 | 766,932 | ||||||
3.50%, 01/23/2025 | 6,509,000 | 6,691,102 | ||||||
3.75%, 05/22/2025 | 288,000 | 300,920 | ||||||
3.75%, 02/25/2026 | 7,581,000 | 7,954,198 | ||||||
6.75%, 10/01/2037 | 4,938,000 | 6,094,381 | ||||||
5.15%, 05/22/2045 | 128,000 | 133,386 | ||||||
Great-West Life & Annuity Insurance Capital LP II | ||||||||
3.16%, 05/16/2046 (Acquired 10/28/2013, Cost $301,000) (1) | 301,000 | 265,632 | ||||||
Guardian Life Insurance Co. of America/The | ||||||||
7.38%, 09/30/2039 (Acquired 12/03/2015, Cost $5,297,478) (1) | 4,083,000 | 5,615,007 | ||||||
Hartford Financial Services Group, Inc./The | ||||||||
6.00%, 01/15/2019 | 4,591,000 | 5,039,316 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 6,255,887 | ||||||
8.13%, 06/15/2038 | 236,000 | 252,520 | ||||||
HCP, Inc. | ||||||||
2.63%, 02/01/2020 | 474,000 | 477,836 | ||||||
4.20%, 03/01/2024 | 241,000 | 248,318 | ||||||
3.88%, 08/15/2024 | 1,507,000 | 1,516,009 | ||||||
3.40%, 02/01/2025 | 662,000 | 640,405 | ||||||
Highmark, Inc. | ||||||||
4.75%, 05/15/2021 (Acquired 10/28/2013 through 07/30/2014, Cost $3,331,149) (1) | 3,322,000 | 3,401,515 | ||||||
HSBC Bank PLC | ||||||||
1.50%, 05/15/2018 (Acquired 10/28/2013, Cost $937,015) (1) | 944,000 | 939,368 | ||||||
4.13%, 08/12/2020 (Acquired 10/28/2013, Cost $641,769) (1) | 615,000 | 662,057 | ||||||
4.75%, 01/19/2021 (Acquired 10/28/2013 through 10/29/2014, Cost $1,477,258) (1) | 1,382,000 | 1,523,721 |
HSBC Finance Co. | ||||||||
6.68%, 01/15/2021 | 2,500,000 | 2,796,045 | ||||||
7.35%, 11/27/2032 | 32,000 | 39,233 | ||||||
HSBC Holdings PLC | ||||||||
3.40%, 03/08/2021 | 4,961,000 | 5,112,464 | ||||||
4.00%, 03/30/2022 | 1,494,000 | 1,570,608 | ||||||
3.60%, 05/25/2023 | 2,901,000 | 2,965,156 | ||||||
4.25%, 03/14/2024 | 1,795,000 | 1,817,840 | ||||||
4.25%, 08/18/2025 | 587,000 | 592,606 | ||||||
3.90%, 05/25/2026 | 7,116,000 | 7,344,324 | ||||||
6.50%, 09/15/2037 | 226,000 | 273,037 | ||||||
6.10%, 01/14/2042 | 743,000 | 961,683 | ||||||
HSBC USA, Inc. | ||||||||
1.63%, 01/16/2018 | 769,000 | 767,630 | ||||||
2.35%, 03/05/2020 | 1,256,000 | 1,255,691 | ||||||
2.75%, 08/07/2020 | 247,000 | 248,965 | ||||||
5.00%, 09/27/2020 | 3,000,000 | 3,223,617 | ||||||
9.13%, 05/15/2021 | 75,000 | 93,037 | ||||||
Huntington Bancshares, Inc./OH | ||||||||
3.15%, 03/14/2021 | 225,000 | 233,105 | ||||||
Huntington National Bank/The | ||||||||
2.00%, 06/30/2018 | 440,000 | 444,368 | ||||||
2.20%, 11/06/2018 | 3,328,000 | 3,368,741 | ||||||
2.88%, 08/20/2020 | 4,534,000 | 4,663,124 | ||||||
Hyundai Capital Services, Inc. | ||||||||
4.38%, 07/27/2016 (Acquired 10/28/2013 through 02/05/2014, Cost $2,371,687) (1) | 2,367,000 | 2,371,239 | ||||||
3.50%, 09/13/2017 (Acquired 10/28/2013 through 09/30/2014, Cost $4,744,748) (1) | 4,650,000 | 4,763,460 | ||||||
Industrial & Commercial Bank of China Ltd./New York | ||||||||
2.35%, 11/13/2017 | 676,000 | 682,125 | ||||||
ING Bank NV | ||||||||
3.75%, 03/07/2017 (Acquired 10/28/2013, Cost $1,385,767) (1) | 1,369,000 | 1,392,643 | ||||||
2.00%, 11/26/2018 (Acquired 11/17/2015 through 06/08/2016, Cost $7,957,163) (1) | 7,946,000 | 8,030,569 | ||||||
2.50%, 10/01/2019 (Acquired 09/23/2014, Cost $1,145,685) (1) | 1,150,000 | 1,173,395 | ||||||
2.45%, 03/16/2020 (Acquired 03/10/2015, Cost $1,997,182) (1) | 2,000,000 | 2,040,500 | ||||||
5.80%, 09/25/2023 (Acquired 01/14/2014, Cost $5,013,764) (1) | 4,800,000 | 5,276,107 | ||||||
Intercontinental Exchange, Inc. | ||||||||
2.50%, 10/15/2018 | 243,000 | 249,803 | ||||||
4.00%, 10/15/2023 | 578,000 | 627,310 | ||||||
Invesco Finance PLC | ||||||||
4.00%, 01/30/2024 | 2,889,000 | 3,162,051 | ||||||
3.75%, 01/15/2026 | 4,249,000 | 4,563,388 |
Jackson National Life Global Funding | ||||||||
4.70%, 06/01/2018 (Acquired 10/28/2013, Cost $318,981) (1) | 310,000 | 328,597 | ||||||
1.88%, 10/15/2018 (Acquired 10/07/2015, Cost $224,910) (1) | 225,000 | 227,690 | ||||||
3.05%, 04/29/2026 (Acquired 04/25/2016, Cost $471,047) (1) | 473,000 | 479,599 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 04/13/2018 | 1,534,000 | 1,604,487 | ||||||
6.88%, 04/15/2021 | 1,385,000 | 1,573,083 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,731,680 | ||||||
6.45%, 06/08/2027 | 578,000 | 642,392 | ||||||
6.25%, 01/15/2036 | 155,000 | 158,475 | ||||||
John Deere Capital Co. | ||||||||
2.25%, 04/17/2019 | 5,000,000 | 5,138,240 | ||||||
1.70%, 01/15/2020 | 123,000 | 123,959 | ||||||
3.15%, 10/15/2021 | 257,000 | 275,556 | ||||||
2.80%, 01/27/2023 | 373,000 | 389,968 | ||||||
John Hancock Life Insurance Co | ||||||||
7.38%, 02/15/2024 (Acquired 10/28/2013, Cost $860,048) (1) | 731,000 | 902,855 | ||||||
JPMorgan Chase & Co | ||||||||
2.20%, 10/22/2019 | 2,000,000 | 2,032,918 | ||||||
2.25%, 01/23/2020 | 8,174,000 | 8,283,573 | ||||||
4.25%, 10/15/2020 | 64,000 | 69,763 | ||||||
2.40%, 06/07/2021 | 11,692,000 | 11,852,624 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 11,002,570 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,874,761 | ||||||
3.13%, 01/23/2025 | 4,000,000 | 4,088,472 | ||||||
3.30%, 04/01/2026 | 7,100,000 | 7,351,049 | ||||||
3.20%, 06/15/2026 | 6,587,000 | 6,773,880 | ||||||
5.60%, 07/15/2041 | 494,000 | 626,794 | ||||||
4.95%, 06/01/2045 | 5,575,000 | 6,125,397 | ||||||
Kemper Co. | ||||||||
6.00%, 05/15/2017 | 5,000,000 | 5,176,270 | ||||||
KeyBank NA/Cleveland OH | ||||||||
3.18%, 05/22/2022 | 567,000 | 582,778 | ||||||
KeyCo. | ||||||||
5.10%, 03/24/2021 | 211,000 | 237,383 | ||||||
KeyCorp. | ||||||||
2.90%, 09/15/2020 | 280,000 | 289,628 | ||||||
KFW | ||||||||
2.75%, 10/01/2020 | 8,095,000 | 8,623,887 | ||||||
Korea Development Bank/The | ||||||||
1.26%, 01/22/2017 | 5,125,000 | 5,125,015 | ||||||
LeasePlan Co. NV | ||||||||
2.88%, 01/22/2019 (Acquired 10/14/2015, Cost $724,628) (1) | 725,000 | 725,345 |
LeasePlan Corp. NV | ||||||||
2.50%, 05/16/2018 (Acquired 10/28/2013 through 10/20/2014, Cost $9,216,997) (1) | 9,206,000 | 9,209,609 | ||||||
Legg Mason, Inc. | ||||||||
3.95%, 07/15/2024 | 820,000 | 829,286 | ||||||
4.75%, 03/15/2026 | 267,000 | 281,691 | ||||||
Liberty Mutual Group, Inc. | ||||||||
5.00%, 06/01/2021 (Acquired 10/28/2013, Cost $368,720) (1) | 351,000 | 387,621 | ||||||
4.25%, 06/15/2023 (Acquired 10/28/2013, Cost $319,607) (1) | 322,000 | 342,171 | ||||||
6.50%, 03/15/2035 (Acquired 11/19/2013 through 04/28/2016, Cost $5,002,901) (1) | 4,500,000 | 5,523,714 | ||||||
10.75%, 06/15/2058 (Acquired 10/28/2013, Cost $402,120) (1) | 269,000 | 390,050 | ||||||
Liberty Mutual Insurance Co | ||||||||
8.50%, 05/15/2025 (Acquired 07/01/2014, Cost $880,835) (1) | 700,000 | 877,268 | ||||||
7.70%, 10/15/2097 (Acquired 10/28/2013, Cost $106,314) (1) | 100,000 | 127,775 | ||||||
Lincoln National Co. | ||||||||
8.75%, 07/01/2019 | 5,000,000 | 5,914,595 | ||||||
4.85%, 06/24/2021 | 168,000 | 185,787 | ||||||
4.20%, 03/15/2022 | 705,000 | 756,251 | ||||||
7.00%, 06/15/2040 | 6,200,000 | 7,988,688 | ||||||
6.05%, 04/20/2067 | 121,000 | 80,767 | ||||||
Lloyds Bank PLC | ||||||||
1.75%, 03/16/2018 | 1,106,000 | 1,103,125 | ||||||
1.75%, 05/14/2018 | 3,200,000 | 3,190,998 | ||||||
2.00%, 08/17/2018 | 300,000 | 299,664 | ||||||
2.30%, 11/27/2018 | 1,075,000 | 1,081,052 | ||||||
5.80%, 01/13/2020 (Acquired 10/28/2013, Cost $187,459) (1) | 172,000 | 192,427 | ||||||
2.40%, 03/17/2020 | 5,000,000 | 5,043,590 | ||||||
3.50%, 05/14/2025 | 7,735,000 | 7,951,665 | ||||||
LLOYDS BANKING GROUP PLC | ||||||||
3.10%, 07/06/2021 | 350,000 | 349,741 | ||||||
Mack-Cali Realty LP | ||||||||
2.50%, 12/15/2017 | 5,050,000 | 5,065,665 | ||||||
Macquarie Bank Ltd. | ||||||||
1.60%, 10/27/2017 (Acquired 10/22/2014 through 03/18/2016, Cost $2,821,682) (1) | 2,829,000 | 2,832,055 | ||||||
2.60%, 06/24/2019 (Acquired 06/16/2014 through 03/16/2016, Cost $1,093,631) (1) | 1,093,000 | 1,114,802 | ||||||
2.40%, 01/21/2020 (Acquired 01/14/2015, Cost $1,597,454) (1) | 1,600,000 | 1,615,437 | ||||||
2.85%, 07/29/2020 (Acquired 07/23/2015, Cost $399,541) (1) | 400,000 | 410,079 | ||||||
4.00%, 07/29/2025 (Acquired 07/23/2015, Cost $499,321) (1) | 500,000 | 525,837 | ||||||
Macquarie Group Ltd. | ||||||||
3.00%, 12/03/2018 (Acquired 11/25/2013, Cost $5,984,890) (1) | 6,000,000 | 6,162,090 | ||||||
6.00%, 01/14/2020 (Acquired 10/28/2013, Cost $504,228) (1) | 475,000 | 529,569 | ||||||
6.25%, 01/14/2021 (Acquired 10/28/2013 through 09/19/2014, Cost $1,191,998) (1) | 1,111,000 | 1,269,907 | ||||||
Manufacturers & Traders Trust Co | ||||||||
6.63%, 12/04/2017 | 464,000 | 495,111 |
Manulife Financial Co. | ||||||||
4.90%, 09/17/2020 | 225,000 | 249,594 | ||||||
Markel Co. | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 4,345,927 | ||||||
5.00%, 04/05/2046 | 1,265,000 | 1,336,203 | ||||||
Marsh & McLennan Cos, Inc. | ||||||||
2.30%, 04/01/2017 | 269,000 | 271,384 | ||||||
2.35%, 03/06/2020 | 3,769,000 | 3,845,771 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,545,075 | ||||||
3.50%, 03/10/2025 | 580,000 | 602,964 | ||||||
Massachusetts Mutual Life Insurance Co | ||||||||
7.63%, 11/15/2023 (Acquired 10/30/2014, Cost $678,930) (1) | 550,000 | 684,066 | ||||||
8.88%, 06/01/2039 (Acquired 10/28/2013 through 04/26/2016, Cost $8,382,074) (1) | 5,848,000 | 8,755,667 | ||||||
5.38%, 12/01/2041 (Acquired 10/28/2013, Cost $212,746) (1) | 203,000 | 235,863 | ||||||
MassMutual Global Funding II | ||||||||
2.50%, 10/17/2022 (Acquired 10/28/2013, Cost $365,223) (1) | 386,000 | 391,281 | ||||||
MBIA Insurance Co. | ||||||||
11.89%, 01/15/2033 (Acquired 10/28/2013, Cost $63,107) (1) | 86,000 | 31,820 | ||||||
MetLife, Inc. | ||||||||
6.82%, 08/15/2018 | 84,000 | 93,782 | ||||||
7.72%, 02/15/2019 | 118,000 | 136,862 | ||||||
4.37%, 09/15/2023 | 6,787,000 | 7,516,616 | ||||||
6.50%, 12/15/2032 | 56,000 | 72,096 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,318,363 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.30%, 04/10/2017 (Acquired 07/29/2015 through 09/29/2015, Cost $12,064,706) (1) | 12,050,000 | 12,087,716 | ||||||
1.50%, 01/10/2018 (Acquired 10/28/2013 through 11/05/2014, Cost $1,387,322) (1) | 1,392,000 | 1,400,023 | ||||||
3.65%, 06/14/2018 (Acquired 10/28/2013, Cost $1,413,996) (1) | 1,373,000 | 1,435,001 | ||||||
2.30%, 04/10/2019 (Acquired 03/10/2016, Cost $226,159) (1) | 225,000 | 230,249 | ||||||
3.88%, 04/11/2022 (Acquired 10/28/2013, Cost $1,511,738) (1) | 1,480,000 | 1,610,092 | ||||||
3.00%, 01/10/2023 (Acquired 07/14/2015, Cost $399,511) (1) | 407,000 | 417,420 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.95%, 03/01/2021 | 330,000 | 341,829 | ||||||
Mizuho Bank Ltd | ||||||||
1.85%, 03/21/2018 (Acquired 10/28/2013, Cost $373,866) (1) | 376,000 | 378,668 | ||||||
1.80%, 03/26/2018 (Acquired 03/19/2015, Cost $604,536) (1) | 605,000 | 608,628 | ||||||
2.65%, 09/25/2019 (Acquired 09/18/2014, Cost $2,996,452) (1) | 3,000,000 | 3,082,464 | ||||||
2.40%, 03/26/2020 (Acquired 03/19/2015, Cost $4,995,222) (1) | 5,000,000 | 5,098,910 | ||||||
3.60%, 09/25/2024 (Acquired 09/18/2014, Cost $1,247,961) (1) | 1,250,000 | 1,343,440 |
Morgan Stanley | ||||||||
5.95%, 12/28/2017 | 110,000 | 116,974 | ||||||
6.63%, 04/01/2018 | 994,000 | 1,077,650 | ||||||
7.30%, 05/13/2019 | 2,257,000 | 2,593,203 | ||||||
2.38%, 07/23/2019 | 450,000 | 457,425 | ||||||
5.63%, 09/23/2019 | 2,302,000 | 2,554,087 | ||||||
2.65%, 01/27/2020 | 750,000 | 762,429 | ||||||
2.80%, 06/16/2020 | 1,282,000 | 1,312,868 | ||||||
5.50%, 07/24/2020 | 360,000 | 403,997 | ||||||
5.75%, 01/25/2021 | 12,049,000 | 13,738,944 | ||||||
2.50%, 04/21/2021 | 2,000,000 | 2,021,138 | ||||||
5.50%, 07/28/2021 | 2,692,000 | 3,074,259 | ||||||
3.75%, 02/25/2023 | 600,000 | 635,593 | ||||||
4.10%, 05/22/2023 | 3,460,000 | 3,597,594 | ||||||
3.88%, 04/29/2024 | 1,350,000 | 1,445,684 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,221,295 | ||||||
4.00%, 07/23/2025 | 5,916,000 | 6,337,858 | ||||||
5.00%, 11/24/2025 | 4,306,000 | 4,713,128 | ||||||
4.35%, 09/08/2026 | 430,000 | 450,065 | ||||||
3.95%, 04/23/2027 | 7,343,000 | 7,406,715 | ||||||
6.38%, 07/24/2042 | 2,000,000 | 2,699,492 | ||||||
4.30%, 01/27/2045 | 459,000 | 482,346 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 258,000 | 263,797 | ||||||
National Australia Bank Ltd. | ||||||||
3.00%, 07/27/2016 (Acquired 10/28/2013, Cost $722,957) (1) | 722,000 | 723,056 | ||||||
1.12%, 12/02/2016 (Acquired 11/21/2013, Cost $5,000,000) (1) | 5,000,000 | 5,004,695 | ||||||
2.00%, 06/20/2017 (Acquired 10/28/2013, Cost $2,077,805) (1) | 2,064,000 | 2,082,205 | ||||||
National City Bank/Cleveland OH | ||||||||
5.80%, 06/07/2017 | 1,013,000 | 1,053,902 | ||||||
National Rural Utilities Cooperative Finance Co. | ||||||||
10.38%, 11/01/2018 | 3,522,000 | 4,255,640 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,185,332 | ||||||
Nationwide Financial Services, Inc. | ||||||||
5.38%, 03/25/2021 (Acquired 02/05/2015, Cost $2,228,213) (1) | 2,000,000 | 2,234,066 | ||||||
Nationwide Mutual Insurance Co | ||||||||
8.25%, 12/01/2031 (Acquired 02/13/2014, Cost $378,299) (1) | 300,000 | 419,358 | ||||||
9.38%, 08/15/2039 (Acquired 10/28/2013 through 10/06/2015, Cost $9,553,320) (1) | 6,433,000 | 9,785,281 | ||||||
Navient Co. | ||||||||
5.63%, 08/01/2033 | 54,000 | 37,935 | ||||||
New York Life Global Funding | ||||||||
2.10%, 01/02/2019 (Acquired 12/05/2013, Cost $8,144,048) (1) | 8,150,000 | 8,329,952 | ||||||
2.15%, 06/18/2019 (Acquired 06/11/2014 through 06/10/2015, Cost $1,911,983) (1) | 1,912,000 | 1,958,615 | ||||||
Nippon Life Insurance Co | ||||||||
5.10%, 10/16/2044 (Acquired 10/09/2014, Cost $5,020,000) (1) | 5,020,000 | 5,402,102 |
Nomura Holdings, Inc. | ||||||||
2.00%, 09/13/2016 | 6,972,000 | 6,984,034 | ||||||
6.70%, 03/04/2020 | 5,300,000 | 6,154,105 | ||||||
Nordea Bank AB | ||||||||
3.13%, 03/20/2017 (Acquired 10/28/2013, Cost $590,531) (1) | 584,000 | 592,489 | ||||||
1.63%, 05/15/2018 (Acquired 10/28/2013, Cost $256,237) (1) | 258,000 | 259,585 | ||||||
1.88%, 09/17/2018 (Acquired 09/09/2015, Cost $4,825,016) (1) | 4,835,000 | 4,884,240 | ||||||
2.50%, 09/17/2020 (Acquired 09/09/2015, Cost $449,089) (1) | 450,000 | 461,463 | ||||||
4.25%, 09/21/2022 (Acquired 12/03/2015, Cost $655,507) (1) | 640,000 | 676,484 | ||||||
Northern Trust Co. | ||||||||
3.95%, 10/30/2025 | 6,915,000 | 7,723,972 | ||||||
Pacific Life Global Funding | ||||||||
5.00%, 05/15/2017 (Acquired 10/28/2013, Cost $419,046) (1) | 413,000 | 424,236 | ||||||
Pacific Life Insurance Co | ||||||||
9.25%, 06/15/2039 (Acquired 10/28/2013, Cost $730,217) (1) | 526,000 | 797,927 | ||||||
Pemex Finance Ltd. | ||||||||
10.61%, 08/15/2017 | 100,625 | 105,989 | ||||||
People’s United Bank NA | ||||||||
4.00%, 07/15/2024 | 1,220,000 | 1,245,821 | ||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,621,322 | ||||||
4.20%, 11/01/2025 | 322,000 | 362,015 | ||||||
PNC Financial Services Group, Inc./The | ||||||||
2.85%, 11/09/2022 | 575,000 | 596,269 | ||||||
3.90%, 04/29/2024 | 2,090,000 | 2,243,211 | ||||||
PNC Funding Co. | ||||||||
2.70%, 09/19/2016 | 133,000 | 133,306 | ||||||
5.63%, 02/01/2017 | 127,000 | 130,138 | ||||||
6.70%, 06/10/2019 | 423,000 | 485,022 | ||||||
5.13%, 02/08/2020 | 588,000 | 657,903 | ||||||
4.38%, 08/11/2020 | 468,000 | 512,649 | ||||||
Pricoa Global Funding I | ||||||||
1.90%, 09/21/2018 (Acquired 09/14/2015, Cost $1,914,371) (1) | 1,915,000 | 1,943,848 | ||||||
Principal Financial Group, Inc. | ||||||||
8.88%, 05/15/2019 | 810,000 | 961,160 | ||||||
3.13%, 05/15/2023 | 380,000 | 385,012 | ||||||
3.40%, 05/15/2025 | 7,000,000 | 7,170,947 | ||||||
Principal Life Global Funding II | ||||||||
3.00%, 04/18/2026 (Acquired 04/11/2016, Cost $1,994,773) (1) | 2,000,000 | 2,040,958 |
Private Export Funding Co. | ||||||||
1.88%, 07/15/2018 | 975,000 | 994,880 | ||||||
4.38%, 03/15/2019 | 970,000 | 1,057,059 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,286,383 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,780,641 | ||||||
3.25%, 06/15/2025 | 2,730,000 | 3,026,817 | ||||||
Prologis LP | ||||||||
4.25%, 08/15/2023 | 295,000 | 326,774 | ||||||
3.75%, 11/01/2025 | 177,000 | 188,745 | ||||||
Protective Life Co. | ||||||||
7.38%, 10/15/2019 | 854,000 | 991,078 | ||||||
Protective Life Global Funding | ||||||||
2.70%, 11/25/2020 (Acquired 11/19/2015, Cost $4,996,098) (1) | 5,000,000 | 5,170,180 | ||||||
Prudential Financial, Inc. | ||||||||
2.35%, 08/15/2019 | 650,000 | 662,113 | ||||||
6.63%, 06/21/2040 | 4,195,000 | 5,418,627 | ||||||
Prudential Insurance Co. of America/The | ||||||||
8.30%, 07/01/2025 (Acquired 10/28/2013 through 08/06/2015, Cost $2,141,777) (1) | 1,691,000 | 2,255,207 | ||||||
Realty Income Co. | ||||||||
3.25%, 10/15/2022 | 1,490,000 | 1,528,210 | ||||||
Realty Income Corp. | ||||||||
2.00%, 01/31/2018 | 4,700,000 | 4,739,090 | ||||||
Regions Bank/Birmingham AL | ||||||||
7.50%, 05/15/2018 | 2,787,000 | 3,056,489 | ||||||
2.25%, 09/14/2018 | 1,400,000 | 1,409,321 | ||||||
Regions Financial Co. | ||||||||
3.20%, 02/08/2021 | 5,643,000 | 5,808,910 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.15%, 10/15/2018 (Acquired 10/13/2015, Cost $3,997,771) (1) | 4,000,000 | 4,037,352 | ||||||
2.38%, 05/04/2020 (Acquired 04/27/2015, Cost $5,985,791) (1) | 6,000,000 | 6,023,850 | ||||||
3.05%, 01/20/2021 (Acquired 01/12/2016, Cost $527,444) (1) | 528,000 | 545,697 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/2017 | 727,000 | 728,578 | ||||||
2.20%, 07/27/2018 | 155,000 | 158,044 | ||||||
2.00%, 10/01/2018 | 1,231,000 | 1,248,117 | ||||||
1.88%, 02/05/2020 | 1,100,000 | 1,114,555 | ||||||
Santander Bank NA | ||||||||
8.75%, 05/30/2018 | 4,878,000 | 5,432,316 | ||||||
Santander Holdings USA Inc. | ||||||||
2.70%, 05/24/2019 | 2,000,000 | 2,004,964 | ||||||
Santander Issuances SAU | ||||||||
5.18%, 11/19/2025 | 2,510,000 | 2,508,748 | ||||||
Santander UK Group Holdings PLC | ||||||||
3.13%, 01/08/2021 | 308,000 | 308,670 |
Santander UK PLC | ||||||||
2.38%, 03/16/2020 | 7,325,000 | 7,340,170 | ||||||
5.00%, 11/07/2023 (Acquired 01/21/2015, Cost $2,124,304) (1) | 2,000,000 | 2,052,998 | ||||||
Simon Property Group LP | ||||||||
2.15%, 09/15/2017 | 946,000 | 955,907 | ||||||
4.38%, 03/01/2021 | 6,932,000 | 7,693,480 | ||||||
4.13%, 12/01/2021 | 442,000 | 490,068 | ||||||
3.75%, 02/01/2024 | 910,000 | 992,987 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.75%, 03/19/2018 (Acquired 10/28/2013, Cost $297,584) (1) | 299,000 | 300,476 | ||||||
2.38%, 11/20/2018 (Acquired 11/13/2013 through 11/07/2014, Cost $5,198,760) (1) | 5,200,000 | 5,304,723 | ||||||
2.38%, 03/25/2019 (Acquired 03/18/2014, Cost $1,224,411) (1) | 1,225,000 | 1,246,745 | ||||||
2.45%, 05/27/2020 (Acquired 05/19/2015, Cost $2,996,344) (1) | 3,000,000 | 3,064,920 | ||||||
Societe Generale SA | ||||||||
1.73%, 10/01/2018 | 1,000,000 | 1,007,880 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 330,174 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
1.75%, 11/15/2019 (Acquired 10/28/2013, Cost $526,287) (1) | 537,000 | 542,160 | ||||||
Springleaf Finance Co. | ||||||||
6.90%, 12/15/2017 | 100,000 | 103,625 | ||||||
Stadshypotek AB | ||||||||
1.88%, 10/02/2019 (Acquired 10/28/2013, Cost $675,888) (1) | 683,000 | 693,031 | ||||||
Standard Chartered PLC | ||||||||
1.70%, 04/17/2018 (Acquired 04/13/2015, Cost $749,497) (1) | 750,000 | 741,950 | ||||||
2.40%, 09/08/2019 (Acquired 09/03/2014, Cost $7,640,927) (1) | 7,650,000 | 7,669,561 | ||||||
3.05%, 01/15/2021 (Acquired 01/12/2016, Cost $3,293,908) (1) | 3,300,000 | 3,343,626 | ||||||
5.20%, 01/26/2024 (Acquired 10/28/2013, Cost $627,337) (1) | 609,000 | 634,583 | ||||||
State Street Co. | ||||||||
3.10%, 05/15/2023 | 321,000 | 332,127 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,525,673 | ||||||
3.55%, 08/18/2025 | 247,000 | 268,738 | ||||||
Stifel Financial Co. | ||||||||
3.50%, 12/01/2020 | 5,000,000 | 5,068,480 | ||||||
Sumitomo Mitsui Banking Co. | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 5,106,640 | ||||||
2.45%, 01/16/2020 | 2,725,000 | 2,784,936 | ||||||
3.95%, 07/19/2023 | 250,000 | 273,266 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
3.78%, 03/09/2026 | 644,000 | 701,670 | ||||||
SunTrust Bank/Atlanta GA | ||||||||
7.25%, 03/15/2018 | 1,608,000 | 1,752,607 |
SunTrust Banks, Inc. | ||||||||
6.00%, 09/11/2017 | 103,000 | 108,528 | ||||||
2.50%, 05/01/2019 | 8,810,000 | 9,001,142 | ||||||
2.90%, 03/03/2021 | 324,000 | 335,498 | ||||||
Susa Partnership LP | ||||||||
8.20%, 06/01/2017 | 111,000 | 117,832 | ||||||
Svenska Handelsbanken AB | ||||||||
3.13%, 07/12/2016 | 691,000 | 691,321 | ||||||
2.50%, 01/25/2019 | 2,000,000 | 2,059,428 | ||||||
2.40%, 10/01/2020 | 2,000,000 | 2,049,630 | ||||||
Swedbank AB | ||||||||
2.13%, 09/29/2017 (Acquired 10/28/2013, Cost $215,855) (1) | 215,000 | 217,246 | ||||||
2.38%, 02/27/2019 (Acquired 02/20/2014, Cost $5,993,463) (1) | 6,000,000 | 6,122,562 | ||||||
Synchrony Financial | ||||||||
1.88%, 08/15/2017 | 2,620,000 | 2,624,105 | ||||||
2.60%, 01/15/2019 | 1,350,000 | 1,364,328 | ||||||
3.00%, 08/15/2019 | 4,775,000 | 4,869,220 | ||||||
3.75%, 08/15/2021 | 6,000,000 | 6,216,294 | ||||||
4.25%, 08/15/2024 | 2,000,000 | 2,070,736 | ||||||
TD Ameritrade Holding Co. | ||||||||
5.60%, 12/01/2019 | 355,000 | 399,781 | ||||||
TD Ameritrade Holding Corp. | ||||||||
2.95%, 04/01/2022 | 725,000 | 755,481 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039 (Acquired 11/22/2013, Cost $3,183,889) (1) | 2,580,000 | 3,506,808 | ||||||
TIAA Asset Management Finance Co. LLC | ||||||||
2.95%, 11/01/2019 (Acquired 03/10/2015, Cost $3,749,985) (1) | 3,700,000 | 3,790,495 | ||||||
Toronto-Dominion Bank/The | ||||||||
1.50%, 03/13/2017 (Acquired 10/28/2013, Cost $446,386) (1) | 445,000 | 446,773 | ||||||
1.75%, 07/23/2018 | 556,000 | 561,693 | ||||||
2.25%, 11/05/2019 | 432,000 | 443,310 | ||||||
2.50%, 12/14/2020 | 500,000 | 517,229 | ||||||
Travelers Cos, Inc./The | ||||||||
5.80%, 05/15/2018 | 110,000 | 119,315 | ||||||
UBS AG/Stamford CT | ||||||||
1.38%, 06/01/2017 | 13,088,000 | 13,107,881 | ||||||
5.75%, 04/25/2018 | 322,000 | 345,374 | ||||||
1.52%, 06/01/2020 | 8,200,000 | 8,188,241 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
2.95%, 09/24/2020 (Acquired 09/21/2015, Cost $1,248,171) (1) | 1,250,000 | 1,271,331 | ||||||
4.13%, 09/24/2025 (Acquired 06/14/2016, Cost $205,799) (1) | 200,000 | 207,706 | ||||||
4.13%, 04/15/2026 (Acquired 03/29/2016, Cost $600,699) (1) | 602,000 | 626,866 |
UDR, Inc. | ||||||||
4.63%, 01/10/2022 | 5,306,000 | 5,875,185 | ||||||
Ventas Realty LP | ||||||||
3.50%, 02/01/2025 | 251,000 | 257,412 | ||||||
4.13%, 01/15/2026 | 449,000 | 482,748 | ||||||
Voya Financial, Inc. | ||||||||
5.50%, 07/15/2022 | 8,000,000 | 9,106,640 | ||||||
3.65%, 06/15/2026 | 200,000 | 201,128 | ||||||
Wachovia Co. | ||||||||
5.75%, 06/15/2017 | 315,000 | 328,516 | ||||||
5.75%, 02/01/2018 | 1,865,000 | 1,995,981 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC | ||||||||
3.25%, 10/05/2020 (Acquired 09/28/2015, Cost $5,982,251) (1) | 6,000,000 | 6,244,764 | ||||||
4.75%, 09/17/2044 (Acquired 06/23/2016 through 06/29/2016, Cost $3,097,431) (1) | 2,904,000 | 3,106,409 | ||||||
Wells Fargo & Co | ||||||||
5.63%, 12/11/2017 | 948,000 | 1,007,814 | ||||||
2.15%, 01/30/2020 | 1,583,000 | 1,609,987 | ||||||
2.60%, 07/22/2020 | 478,000 | 491,294 | ||||||
4.60%, 04/01/2021 | 1,377,000 | 1,538,847 | ||||||
3.50%, 03/08/2022 | 1,929,000 | 2,069,402 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,993,678 | ||||||
3.00%, 02/19/2025 | 4,075,000 | 4,175,730 | ||||||
3.55%, 09/29/2025 | 700,000 | 746,392 | ||||||
3.00%, 04/22/2026 | 5,000,000 | 5,096,610 | ||||||
4.30%, 07/22/2027 | 13,158,000 | 14,201,364 | ||||||
5.61%, 01/15/2044 | 317,000 | 379,750 | ||||||
4.65%, 11/04/2044 | 675,000 | 709,263 | ||||||
4.90%, 11/17/2045 | 2,451,000 | 2,683,987 | ||||||
4.40%, 06/14/2046 | 3,108,000 | 3,156,562 | ||||||
Wells Fargo Bank NA | ||||||||
6.00%, 11/15/2017 | 2,224,000 | 2,366,427 | ||||||
Welltower, Inc. | ||||||||
3.75%, 03/15/2023 | 560,000 | 580,610 | ||||||
4.50%, 01/15/2024 | 461,000 | 500,095 | ||||||
4.00%, 06/01/2025 | 372,000 | 391,157 | ||||||
Westpac Banking Co. | ||||||||
2.45%, 11/28/2016 (Acquired 10/28/2013, Cost $679,769) (1) | 676,000 | 680,167 | ||||||
1.60%, 01/12/2018 | 846,000 | 850,680 | ||||||
1.38%, 07/30/2018 | 3,060,000 | 3,064,786 | ||||||
4.88%, 11/19/2019 | 1,105,000 | 1,222,506 | ||||||
2.00%, 03/03/2020 (Acquired 02/24/2015, Cost $1,347,595) (1) | 1,349,000 | 1,360,466 | ||||||
2.85%, 05/13/2026 | 2,604,000 | 2,644,693 |
Weyerhaeuser Co | ||||||||
7.38%, 03/15/2032 | 500,000 | 661,788 | ||||||
Willis North America, Inc. | ||||||||
7.00%, 09/29/2019 | 537,000 | 607,937 | ||||||
WR Berkley Co. | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 3,575,941 | ||||||
XLIT Ltd. | ||||||||
2.30%, 12/15/2018 | 4,375,000 | 4,420,054 | ||||||
5.25%, 12/15/2043 | 2,700,000 | 2,920,552 | ||||||
|
| |||||||
1,454,568,823 | ||||||||
|
| |||||||
Industrials - 1.08% | ||||||||
ABB Finance USA, Inc. | ||||||||
1.63%, 05/08/2017 | 173,000 | 173,734 | ||||||
2.88%, 05/08/2022 | 241,000 | 251,108 | ||||||
4.38%, 05/08/2042 | 107,000 | 121,795 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
6.00%, 12/15/2019 | 451,000 | 505,481 | ||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 10/28/2013, Cost $358,840) (1) | 376,000 | 390,938 | ||||||
Arrow Electronics, Inc. | ||||||||
3.50%, 04/01/2022 | 965,000 | 988,991 | ||||||
BAE Systems Holdings, Inc. | ||||||||
6.38%, 06/01/2019 (Acquired 10/28/2013, Cost $264,025) (1) | 243,000 | 273,160 | ||||||
3.80%, 10/07/2024 (Acquired 09/30/2014 through 08/28/2015, Cost $772,795) (1) | 770,000 | 810,394 | ||||||
3.85%, 12/15/2025 (Acquired 12/03/2015, Cost $494,373) (1) | 500,000 | 530,232 | ||||||
BAE Systems PLC | ||||||||
5.80%, 10/11/2041 (Acquired 10/28/2013, Cost $578,762) (1) | 550,000 | 678,078 | ||||||
Boeing Co./The | ||||||||
4.88%, 02/15/2020 | 52,000 | 58,473 | ||||||
7.95%, 08/15/2024 | 124,000 | 175,434 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.65%, 05/01/2017 | 378,000 | 392,622 | ||||||
5.75%, 03/15/2018 | 173,000 | 186,464 | ||||||
3.60%, 09/01/2020 | 146,000 | 156,892 | ||||||
3.45%, 09/15/2021 | 215,000 | 233,022 | ||||||
3.05%, 03/15/2022 | 440,000 | 469,144 | ||||||
3.00%, 03/15/2023 | 206,000 | 216,721 | ||||||
6.70%, 08/01/2028 | 62,000 | 84,886 | ||||||
7.29%, 06/01/2036 | 134,000 | 191,349 | ||||||
5.75%, 05/01/2040 | 373,000 | 478,742 | ||||||
5.40%, 06/01/2041 | 542,000 | 672,012 | ||||||
4.38%, 09/01/2042 | 462,000 | 514,008 | ||||||
5.15%, 09/01/2043 | 389,000 | 475,081 | ||||||
4.15%, 04/01/2045 | 1,825,000 | 1,988,927 | ||||||
3.90%, 08/01/2046 | 400,000 | 422,202 |
Canadian Pacific Railway Co | ||||||||
4.50%, 01/15/2022 | 1,200,000 | 1,324,118 | ||||||
2.90%, 02/01/2025 | 644,000 | 654,271 | ||||||
7.13%, 10/15/2031 | 155,000 | 217,295 | ||||||
6.13%, 09/15/2115 | 428,000 | 534,055 | ||||||
Caterpillar Financial Services Co. | ||||||||
5.45%, 04/15/2018 | 103,000 | 110,720 | ||||||
7.05%, 10/01/2018 | 361,000 | 405,367 | ||||||
7.15%, 02/15/2019 | 62,000 | 71,212 | ||||||
2.75%, 08/20/2021 | 420,000 | 443,231 | ||||||
2.85%, 06/01/2022 | 446,000 | 466,835 | ||||||
3.75%, 11/24/2023 | 2,825,000 | 3,125,026 | ||||||
3.25%, 12/01/2024 | 714,000 | 765,789 | ||||||
Caterpillar, Inc. | ||||||||
1.50%, 06/26/2017 | 193,000 | 194,146 | ||||||
2.60%, 06/26/2022 | 220,000 | 226,923 | ||||||
CRH America, Inc. | ||||||||
3.88%, 05/18/2025 (Acquired 05/12/2015, Cost $353,605) (1) | 354,000 | 373,703 | ||||||
5.13%, 05/18/2045 (Acquired 05/12/2015, Cost $227,233) (1) | 230,000 | 244,550 | ||||||
CSX Co. | ||||||||
7.90%, 05/01/2017 | 413,000 | 435,891 | ||||||
7.38%, 02/01/2019 | 72,000 | 82,646 | ||||||
4.25%, 06/01/2021 | 205,000 | 224,659 | ||||||
3.40%, 08/01/2024 | 600,000 | 645,127 | ||||||
5.50%, 04/15/2041 | 402,000 | 515,224 | ||||||
4.10%, 03/15/2044 | 175,000 | 187,084 | ||||||
3.95%, 05/01/2050 | 246,000 | 246,432 | ||||||
Danaher Co. | ||||||||
3.90%, 06/23/2021 | 387,000 | 425,059 | ||||||
Deere & Co | ||||||||
2.60%, 06/08/2022 | 619,000 | 635,794 | ||||||
3.90%, 06/09/2042 | 275,000 | 293,805 | ||||||
Eaton Co. | ||||||||
1.50%, 11/02/2017 | 163,000 | 163,795 | ||||||
5.60%, 05/15/2018 | 273,000 | 293,649 | ||||||
7.63%, 04/01/2024 | 206,000 | 262,523 | ||||||
4.00%, 11/02/2032 | 143,000 | 152,035 | ||||||
5.80%, 03/15/2037 | 500,000 | 607,069 | ||||||
Federal Express Co. 1998 Pass Through Trust | ||||||||
6.85%, 01/15/2019 | 1,108,716 | 1,183,555 | ||||||
6.72%, 01/15/2022 | 192,131 | 218,356 |
FedEx Co. | ||||||||
3.90%, 02/01/2035 | 414,000 | 421,088 | ||||||
4.10%, 04/15/2043 | 86,000 | 86,884 | ||||||
General Electric Capital Corp | ||||||||
4.65%, 10/17/2021 | 514,000 | 588,686 | ||||||
General Electric Co | ||||||||
2.70%, 10/09/2022 | 350,000 | 367,375 | ||||||
3.38%, 03/11/2024 | 655,000 | 713,220 | ||||||
Hanson Ltd. | ||||||||
6.13%, 08/15/2016 | 625,000 | 625,781 | ||||||
Harris Co. | ||||||||
3.83%, 04/27/2025 | 820,000 | 869,831 | ||||||
Holcim US Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019 (Acquired 10/28/2013, Cost $160,833) (1) | 148,000 | 165,316 | ||||||
Honeywell International, Inc. | ||||||||
5.30%, 03/01/2018 | 155,000 | 166,011 | ||||||
Illinois Tool Works, Inc. | ||||||||
1.95%, 03/01/2019 | 167,000 | 170,927 | ||||||
3.90%, 09/01/2042 | 1,754,000 | 1,887,041 | ||||||
Ingersoll-Rand Co | ||||||||
6.39%, 11/15/2027 | 80,000 | 97,034 | ||||||
Ingersoll-Rand Global Holding Co. Ltd. | ||||||||
4.25%, 06/15/2023 | 329,000 | 365,369 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 365,838 | ||||||
John Deere Capital Co. | ||||||||
1.60%, 07/13/2018 | 315,000 | 318,173 | ||||||
2.05%, 03/10/2020 | 300,000 | 306,444 | ||||||
2.45%, 09/11/2020 | 335,000 | 346,027 | ||||||
Koninklijke Philips NV | ||||||||
5.75%, 03/11/2018 | 172,000 | 183,929 | ||||||
3.75%, 03/15/2022 | 864,000 | 928,071 | ||||||
7.20%, 06/01/2026 | 57,000 | 72,253 | ||||||
Lafarge SA | ||||||||
6.50%, 07/15/2016 | 1,650,000 | 1,652,021 | ||||||
7.13%, 07/15/2036 | 107,000 | 130,095 | ||||||
Lockheed Martin Co. | ||||||||
4.25%, 11/15/2019 | 103,000 | 112,757 | ||||||
3.10%, 01/15/2023 | 346,000 | 364,813 | ||||||
6.15%, 09/01/2036 | 400,000 | 531,328 | ||||||
4.85%, 09/15/2041 | 181,000 | 211,547 | ||||||
4.07%, 12/15/2042 | 462,000 | 491,681 |
Martin Marietta Materials, Inc. | ||||||||
4.25%, 07/02/2024 | 1,705,000 | 1,816,812 | ||||||
6.25%, 05/01/2037 | 107,000 | 118,671 | ||||||
Norfolk Southern Co. | ||||||||
7.70%, 05/15/2017 | 14,000 | 14,779 | ||||||
3.25%, 12/01/2021 | 570,000 | 602,736 | ||||||
2.90%, 02/15/2023 | 294,000 | 303,844 | ||||||
5.59%, 05/17/2025 | 6,000 | 7,276 | ||||||
7.80%, 05/15/2027 | 1,705,000 | 2,415,942 | ||||||
3.95%, 10/01/2042 | 332,000 | 342,779 | ||||||
4.80%, 08/15/2043 | 3,400,000 | 3,969,405 | ||||||
6.00%, 03/15/2105 | 351,000 | 422,157 | ||||||
6.00%, 05/23/2111 | 1,083,000 | 1,335,981 | ||||||
Northrop Grumman Co. | ||||||||
3.85%, 04/15/2045 | 195,000 | 204,636 | ||||||
Northrop Grumman Systems Co. | ||||||||
7.75%, 02/15/2031 | 206,000 | 308,338 | ||||||
Odebrecht Finance Ltd. | ||||||||
5.25%, 06/27/2029 (Acquired 06/19/2014, Cost $1,375,000) (1) | 1,375,000 | 547,250 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 35,275 | ||||||
Parker-Hannifin Co. | ||||||||
5.50%, 05/15/2018 | 80,000 | 86,828 | ||||||
3.30%, 11/21/2024 | 149,000 | 161,118 | ||||||
4.45%, 11/21/2044 | 333,000 | 392,813 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp. | ||||||||
2.50%, 06/15/2019 (Acquired 06/12/2014, Cost $183,966) (1) | 184,000 | 186,005 | ||||||
4.25%, 01/17/2023 (Acquired 01/23/2015, Cost $230,060) (1) | 220,000 | 230,445 | ||||||
Penske Truck Leasing Co. Lp / PTL Finance Co. | ||||||||
2.88%, 07/17/2018 (Acquired 10/28/2013, Cost $432,237) (1) | 431,000 | 438,938 | ||||||
3.38%, 02/01/2022 (Acquired 01/26/2015 through 06/05/2015, Cost $1,987,054) (1) | 2,011,000 | 2,051,047 | ||||||
Pentair Finance SA | ||||||||
2.90%, 09/15/2018 | 915,000 | 924,269 | ||||||
3.63%, 09/15/2020 | 6,650,000 | 6,817,733 | ||||||
Precision Castparts Co. | ||||||||
3.25%, 06/15/2025 | 880,000 | 938,808 | ||||||
4.20%, 06/15/2035 | 75,000 | 84,573 | ||||||
4.38%, 06/15/2045 | 415,000 | 485,758 | ||||||
Raytheon Co | ||||||||
3.15%, 12/15/2024 | 378,000 | 409,843 |
Republic Services, Inc. | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 3,230,685 | ||||||
3.55%, 06/01/2022 | 496,000 | 535,751 | ||||||
2.90%, 07/01/2026 | 245,000 | 248,605 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 208,000 | 215,066 | ||||||
Ryder System, Inc. | ||||||||
2.50%, 03/01/2017 | 165,000 | 166,106 | ||||||
2.50%, 03/01/2018 | 165,000 | 167,478 | ||||||
2.50%, 05/11/2020 | 1,020,000 | 1,032,357 | ||||||
2.88%, 09/01/2020 | 345,000 | 350,974 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
5.75%, 10/17/2016 (Acquired 10/28/2013, Cost $140,907) (1) | 139,000 | 140,947 | ||||||
1.45%, 05/25/2018 (Acquired 07/29/2015 through 08/07/2015, Cost $3,355,883) (1) | 3,370,000 | 3,395,902 | ||||||
2.90%, 05/27/2022 (Acquired 05/18/2015, Cost $553,000) (1) | 553,000 | 586,227 | ||||||
4.40%, 05/27/2045 (Acquired 05/18/2015, Cost $509,262) (1) | 513,000 | 595,203 | ||||||
Timken Co./The | ||||||||
3.88%, 09/01/2024 | 1,000,000 | 1,011,027 | ||||||
TTX Co | ||||||||
2.25%, 02/01/2019 (Acquired 01/12/2016, Cost $2,008,782) (1) | 2,011,000 | 2,045,052 | ||||||
3.60%, 01/15/2025 (Acquired 11/13/2014, Cost $1,999,898) (1) | 2,000,000 | 2,092,196 | ||||||
3.90%, 02/01/2045 (Acquired 01/26/2015, Cost $3,968,616) (1) | 4,000,000 | 3,917,932 | ||||||
Tyco Electronics Group SA | ||||||||
6.55%, 10/01/2017 | 752,000 | 799,428 | ||||||
2.38%, 12/17/2018 | 7,025,000 | 7,128,984 | ||||||
Tyco International Finance SA | ||||||||
5.13%, 09/14/2045 | 205,000 | 235,215 | ||||||
Union Pacific Co. | ||||||||
4.16%, 07/15/2022 | 453,000 | 509,865 | ||||||
2.95%, 01/15/2023 | 149,000 | 157,808 | ||||||
3.65%, 02/15/2024 | 142,000 | 157,071 | ||||||
3.25%, 01/15/2025 | 200,000 | 216,705 | ||||||
3.38%, 02/01/2035 | 1,500,000 | 1,512,056 | ||||||
4.30%, 06/15/2042 | 165,000 | 182,598 | ||||||
4.82%, 02/01/2044 | 106,000 | 128,151 | ||||||
4.15%, 01/15/2045 | 300,000 | 329,080 | ||||||
Union Pacific Railroad Co. 2003 Pass Through Trust | ||||||||
4.70%, 01/02/2024 | 21,924 | 23,568 | ||||||
Union Pacific Railroad Co. 2015-1 Pass Through Trust | ||||||||
2.70%, 05/12/2027 | 675,964 | 682,953 | ||||||
United Parcel Service of America, Inc. | ||||||||
8.38%, 04/01/2020 | 243,000 | 304,540 | ||||||
8.38%, 04/01/2030 | 83,000 | 124,306 |
United Parcel Service, Inc. | ||||||||
2.45%, 10/01/2022 | 186,000 | 193,399 | ||||||
United Technologies Co. | ||||||||
1.78%, 05/04/2018 | 14,316,000 | 14,444,615 | ||||||
3.10%, 06/01/2022 | 524,000 | 558,623 | ||||||
4.50%, 06/01/2042 | 693,000 | 794,560 | ||||||
4.15%, 05/15/2045 | 785,000 | 861,191 | ||||||
Vulcan Materials Co | ||||||||
7.00%, 06/15/2018 | 215,000 | 235,425 | ||||||
7.15%, 11/30/2037 | 54,000 | 63,720 | ||||||
Wabtec Co./DE | ||||||||
4.38%, 08/15/2023 | 322,000 | 351,696 | ||||||
Waste Management, Inc. | ||||||||
4.75%, 06/30/2020 | 195,000 | 218,448 | ||||||
2.40%, 05/15/2023 | 318,000 | 322,714 | ||||||
3.13%, 03/01/2025 | 424,000 | 443,541 | ||||||
3.90%, 03/01/2035 | 156,000 | 163,561 | ||||||
|
| |||||||
116,238,762 | ||||||||
|
| |||||||
Technology - 1.31% | ||||||||
Apple, Inc. | ||||||||
0.89%, 05/03/2018 | 790,000 | 791,203 | ||||||
2.15%, 02/09/2022 | 1,200,000 | 1,223,159 | ||||||
2.85%, 02/23/2023 | 795,000 | 835,458 | ||||||
2.40%, 05/03/2023 | 2,081,000 | 2,118,982 | ||||||
3.20%, 05/13/2025 | 1,010,000 | 1,070,871 | ||||||
4.50%, 02/23/2036 | 723,000 | 814,194 | ||||||
3.45%, 02/09/2045 | 500,000 | 470,464 | ||||||
Dell, Inc. | ||||||||
7.10%, 04/15/2028 | 196,000 | 192,080 | ||||||
Diamond 1 Finance Co / Diamond 2 Finance Co. | ||||||||
3.48%, 06/01/2019 (Acquired 05/17/2016, Cost $7,483,178) (1) | 7,485,000 | 7,667,709 | ||||||
4.42%, 06/15/2021 (Acquired 05/17/2016, Cost $2,894,181) (1) | 2,895,000 | 2,975,495 | ||||||
5.45%, 06/15/2023 (Acquired 05/17/2016, Cost $842,644) (1) | 843,000 | 874,129 | ||||||
Diamond 1 Finance Corp / Diamond 2 Finance Corp | ||||||||
6.02%, 06/15/2026 (Acquired 05/17/2016, Cost $737,652) (1) | 738,000 | 765,677 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1.45%, 06/05/2017 | 665,000 | 664,221 | ||||||
3.63%, 10/15/2020 | 4,000,000 | 4,227,848 | ||||||
3.50%, 04/15/2023 | 2,430,000 | 2,523,368 | ||||||
3.88%, 06/05/2024 | 2,150,000 | 2,274,100 |
Fiserv, Inc. | ||||||||
4.63%, 10/01/2020 | 215,000 | 237,280 | ||||||
4.75%, 06/15/2021 | 5,231,000 | 5,807,676 | ||||||
3.85%, 06/01/2025 | 5,000,000 | 5,347,340 | ||||||
Hewlett Packard Co. | ||||||||
4.38%, 09/15/2021 | 293,000 | 315,640 | ||||||
4.65%, 12/09/2021 | 326,000 | 352,567 | ||||||
4.40%, 10/15/2022 (Acquired 09/30/2015, Cost $7,486,544) (1) | 7,500,000 | 8,029,470 | ||||||
6.00%, 09/15/2041 | 731,000 | 703,487 | ||||||
Hewlett Packard Enterprise Co | ||||||||
2.45%, 10/05/2017 (Acquired 03/21/2016, Cost $10,338,006) (1) | 10,300,000 | 10,433,488 | ||||||
HP Enterprise Services LLC | ||||||||
7.45%, 10/15/2029 | 250,000 | 304,462 | ||||||
Intel Co. | ||||||||
3.30%, 10/01/2021 | 259,000 | 280,821 | ||||||
3.10%, 07/29/2022 | 245,000 | 262,363 | ||||||
3.70%, 07/29/2025 | 456,000 | 506,730 | ||||||
2.60%, 05/19/2026 | 1,736,000 | 1,763,226 | ||||||
4.00%, 12/15/2032 | 1,195,000 | 1,293,487 | ||||||
International Business Machines Co. | ||||||||
7.63%, 10/15/2018 | 872,000 | 996,117 | ||||||
2.25%, 02/19/2021 | 1,670,000 | 1,722,209 | ||||||
6.22%, 08/01/2027 | 68,000 | 89,376 | ||||||
6.50%, 01/15/2028 | 120,000 | 163,852 | ||||||
4.00%, 06/20/2042 | 79,000 | 84,055 | ||||||
Intuit, Inc. | ||||||||
5.75%, 03/15/2017 | 8,059,000 | 8,321,417 | ||||||
Lam Research Co. | ||||||||
2.80%, 06/15/2021 | 5,968,000 | 6,110,373 | ||||||
3.90%, 06/15/2026 | 3,815,000 | 4,013,120 | ||||||
Maxim Integrated Products, Inc. | ||||||||
2.50%, 11/15/2018 | 4,200,000 | 4,272,958 | ||||||
Microsoft Co. | ||||||||
2.13%, 11/15/2022 | 350,000 | 355,673 | ||||||
2.38%, 05/01/2023 | 1,055,000 | 1,082,515 | ||||||
3.63%, 12/15/2023 | 445,000 | 493,376 | ||||||
3.50%, 02/12/2035 | 318,000 | 327,672 | ||||||
4.20%, 11/03/2035 | 231,000 | 259,484 | ||||||
4.50%, 10/01/2040 | 125,000 | 142,180 | ||||||
4.00%, 02/12/2055 | 333,000 | 333,391 | ||||||
4.75%, 11/03/2055 | 408,000 | 462,000 | ||||||
National Semiconductor Co. | ||||||||
6.60%, 06/15/2017 | 855,000 | 900,215 |
Oracle Co. | ||||||||
5.75%, 04/15/2018 | 351,000 | 379,975 | ||||||
5.00%, 07/08/2019 | 547,000 | 606,770 | ||||||
2.80%, 07/08/2021 | 766,000 | 804,102 | ||||||
1.90%, 09/15/2021 | 6,896,000 | 6,922,825 | ||||||
3.63%, 07/15/2023 | 149,000 | 163,289 | ||||||
3.40%, 07/08/2024 | 2,000,000 | 2,144,014 | ||||||
2.95%, 05/15/2025 | 2,000,000 | 2,079,584 | ||||||
4.30%, 07/08/2034 | 4,314,000 | 4,596,459 | ||||||
3.85%, 07/15/2036 | 5,464,000 | 5,481,381 | ||||||
6.50%, 04/15/2038 | 201,000 | 273,844 | ||||||
6.13%, 07/08/2039 | 265,000 | 349,814 | ||||||
4.38%, 05/15/2055 | 400,000 | 420,498 | ||||||
ORACLE Corp. | ||||||||
2.40%, 09/15/2023 | 608,000 | 610,887 | ||||||
Pitney Bowes, Inc. | ||||||||
5.60%, 03/15/2018 | 175,000 | 185,901 | ||||||
QUALCOMM, Inc. | ||||||||
3.00%, 05/20/2022 | 7,000,000 | 7,388,087 | ||||||
Texas Instruments, Inc. | ||||||||
1.65%, 08/03/2019 | 434,000 | 439,713 | ||||||
TSMC Global Ltd. | ||||||||
1.63%, 04/03/2018 (Acquired 02/04/2016, Cost $4,932,618) (1) | 5,000,000 | 5,006,685 | ||||||
Xerox Co. | ||||||||
6.75%, 02/01/2017 | 2,170,000 | 2,228,247 | ||||||
2.95%, 03/15/2017 | 202,000 | 203,751 | ||||||
2.75%, 03/15/2019 | 3,200,000 | 3,181,696 | ||||||
5.63%, 12/15/2019 | 392,000 | 420,212 | ||||||
2.75%, 09/01/2020 | 1,930,000 | 1,860,491 | ||||||
4.50%, 05/15/2021 | 183,000 | 185,057 | ||||||
|
| |||||||
141,190,260 | ||||||||
|
| |||||||
Utilities - 2.23% | ||||||||
AGL Capital Co. | ||||||||
6.38%, 07/15/2016 | 691,000 | 691,792 | ||||||
3.50%, 09/15/2021 | 530,000 | 562,634 | ||||||
3.25%, 06/15/2026 | 225,000 | 230,090 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,477,307 | ||||||
4.40%, 06/01/2043 | 160,000 | 163,763 | ||||||
Alabama Power Co | ||||||||
2.80%, 04/01/2025 | 2,025,000 | 2,098,696 | ||||||
6.13%, 05/15/2038 | 219,000 | 290,511 | ||||||
6.00%, 03/01/2039 | 89,000 | 118,070 | ||||||
4.15%, 08/15/2044 | 205,000 | 224,418 | ||||||
3.75%, 03/01/2045 | 415,000 | 431,890 |
American Electric Power Co., Inc. | ||||||||
1.65%, 12/15/2017 | 246,000 | 246,712 | ||||||
American Water Capital Co. | ||||||||
3.85%, 03/01/2024 | 500,000 | 552,594 | ||||||
3.40%, 03/01/2025 | 592,000 | 642,195 | ||||||
6.59%, 10/15/2037 | 386,000 | 559,228 | ||||||
Appalachian Power Co | ||||||||
6.70%, 08/15/2037 | 430,000 | 556,457 | ||||||
Arizona Public Service Co | ||||||||
8.75%, 03/01/2019 | 91,000 | 107,824 | ||||||
2.20%, 01/15/2020 | 167,000 | 171,075 | ||||||
3.35%, 06/15/2024 | 676,000 | 729,005 | ||||||
5.05%, 09/01/2041 | 349,000 | 431,060 | ||||||
4.50%, 04/01/2042 | 221,000 | 255,753 | ||||||
3.75%, 05/15/2046 | 2,290,000 | 2,397,009 | ||||||
Atmos Energy Co. | ||||||||
8.50%, 03/15/2019 | 71,000 | 83,703 | ||||||
4.15%, 01/15/2043 | 830,000 | 883,128 | ||||||
4.13%, 10/15/2044 | 450,000 | 490,902 | ||||||
Baltimore Gas & Electric Co | ||||||||
2.80%, 08/15/2022 | 509,000 | 527,378 | ||||||
Beaver Valley II Funding Co. | ||||||||
9.00%, 06/01/2017 | 3,000 | 3,015 | ||||||
Berkshire Hathaway Energy Co | ||||||||
5.75%, 04/01/2018 | 168,000 | 181,018 | ||||||
2.40%, 02/01/2020 | 409,000 | 420,144 | ||||||
3.50%, 02/01/2025 | 625,000 | 674,384 | ||||||
4.50%, 02/01/2045 | 375,000 | 421,252 | ||||||
Boston Gas Co | ||||||||
4.49%, 02/15/2042 (Acquired 10/28/2013, Cost $241,583) (1) | 253,000 | 274,923 | ||||||
Brooklyn Union Gas Co./The | ||||||||
4.50%, 03/10/2046 (Acquired 03/07/2016, Cost $2,000,000) (1) | 2,000,000 | 2,264,874 | ||||||
CenterPoint Energy, Inc. | ||||||||
6.50%, 05/01/2018 | 390,000 | 422,614 | ||||||
Centrica PLC | ||||||||
4.00%, 10/16/2023 (Acquired 11/18/2013, Cost $4,979,242) (1) | 5,000,000 | 5,319,700 | ||||||
Cleveland Electric Illuminating Co./The | ||||||||
7.88%, 11/01/2017 | 356,000 | 384,391 | ||||||
CMS Energy Co. | ||||||||
3.88%, 03/01/2024 | 300,000 | 326,400 | ||||||
3.00%, 05/15/2026 | 110,000 | 112,436 |
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021 (Acquired 10/28/2013, Cost $565,931) (1) | 551,000 | 587,504 | ||||||
4.88%, 01/15/2024 (Acquired 10/28/2013 through 11/22/2013, Cost $1,822,068) (1) | 1,822,000 | 1,913,100 | ||||||
Commonwealth Edison Co. | ||||||||
3.65%, 06/15/2046 | 364,000 | 372,897 | ||||||
Connecticut Light & Power Co./The | ||||||||
5.65%, 05/01/2018 | 95,000 | 102,580 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
5.70%, 06/15/2040 | 318,000 | 410,522 | ||||||
3.85%, 06/15/2046 | 2,940,000 | 3,046,025 | ||||||
Consumers Energy Co | ||||||||
5.65%, 04/15/2020 | 144,000 | 165,088 | ||||||
2.85%, 05/15/2022 | 155,000 | 161,388 | ||||||
4.35%, 08/31/2064 | 191,000 | 211,652 | ||||||
Delmarva Power & Light Co | ||||||||
4.00%, 06/01/2042 | 170,000 | 179,720 | ||||||
Dominion Gas Holdings LLC | ||||||||
2.50%, 12/15/2019 | 1,260,000 | 1,288,762 | ||||||
2.80%, 11/15/2020 | 264,000 | 272,827 | ||||||
4.60%, 12/15/2044 | 726,000 | 756,150 | ||||||
Dominion Resources, Inc./VA | ||||||||
2.96%, 07/01/2019 | 1,807,000 | 1,839,587 | ||||||
4.10%, 04/01/2021 | 512,000 | 541,872 | ||||||
5.25%, 08/01/2033 | 583,000 | 647,343 | ||||||
7.00%, 06/15/2038 | 124,000 | 166,871 | ||||||
4.90%, 08/01/2041 | 212,000 | 232,937 | ||||||
DTE Electric Co | ||||||||
2.65%, 06/15/2022 | 194,000 | 202,266 | ||||||
3.70%, 03/15/2045 | 463,000 | 491,152 | ||||||
DTE Energy Co | ||||||||
2.40%, 12/01/2019 | 278,000 | 283,855 | ||||||
3.30%, 06/15/2022 | 5,391,000 | 5,682,454 | ||||||
3.85%, 12/01/2023 | 292,000 | 315,529 | ||||||
3.50%, 06/01/2024 | 692,000 | 734,791 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.10%, 04/15/2018 | 144,000 | 154,183 | ||||||
4.30%, 06/15/2020 | 205,000 | 228,082 | ||||||
6.00%, 12/01/2028 | 235,000 | 304,988 | ||||||
6.00%, 01/15/2038 | 161,000 | 215,800 | ||||||
4.25%, 12/15/2041 | 141,000 | 158,103 |
Duke Energy Co. | ||||||||
2.15%, 11/15/2016 | 439,000 | 440,682 | ||||||
6.25%, 06/15/2018 | 1,781,000 | 1,940,798 | ||||||
3.55%, 09/15/2021 | 306,000 | 326,129 | ||||||
Duke Energy Florida LLC | ||||||||
5.65%, 06/15/2018 | 116,000 | 126,122 | ||||||
6.40%, 06/15/2038 | 72,000 | 102,622 | ||||||
Duke Energy Indiana LLC | ||||||||
3.75%, 05/15/2046 | 600,000 | 623,358 | ||||||
Duke Energy Indiana, Inc. | ||||||||
3.75%, 07/15/2020 | 398,000 | 432,544 | ||||||
6.35%, 08/15/2038 | 320,000 | 450,688 | ||||||
Duke Energy Progress LLC | ||||||||
5.30%, 01/15/2019 | 206,000 | 226,810 | ||||||
3.00%, 09/15/2021 | 372,000 | 397,117 | ||||||
2.80%, 05/15/2022 | 335,000 | 350,933 | ||||||
3.25%, 08/15/2025 | 158,000 | 170,895 | ||||||
4.10%, 05/15/2042 | 217,000 | 237,647 | ||||||
4.10%, 03/15/2043 | 181,000 | 197,952 | ||||||
4.38%, 03/30/2044 | 132,000 | 151,192 | ||||||
4.15%, 12/01/2044 | 129,000 | 142,158 | ||||||
4.20%, 08/15/2045 | 325,000 | 364,922 | ||||||
Edison International | ||||||||
2.95%, 03/15/2023 | 400,000 | 410,116 | ||||||
Electricite de France SA | ||||||||
1.15%, 01/20/2017 (Acquired 01/13/2014, Cost $4,994,039) (1) | 5,000,000 | 4,999,995 | ||||||
2.15%, 01/22/2019 (Acquired 01/13/2014, Cost $3,531,808) (1) | 3,558,000 | 3,631,071 | ||||||
4.75%, 10/13/2035 (Acquired 10/07/2015, Cost $4,897,366) (1) | 5,000,000 | 5,319,105 | ||||||
6.00%, 01/22/2114 (Acquired 01/13/2014, Cost $1,003,520) (1) | 1,035,000 | 1,107,315 | ||||||
Emera US Finance LP | ||||||||
3.55%, 06/15/2026 (Acquired 06/09/2016, Cost $2,228,875) (1) | 2,235,000 | 2,282,467 | ||||||
Enel Finance International NV | ||||||||
5.13%, 10/07/2019 (Acquired 10/28/2013, Cost $924,427) (1) | 888,000 | 980,606 | ||||||
6.80%, 09/15/2037 (Acquired 10/28/2013, Cost $210,817) (1) | 204,000 | 264,720 | ||||||
6.00%, 10/07/2039 (Acquired 10/28/2013, Cost $98,682) (1) | 103,000 | 121,750 | ||||||
Entergy Arkansas, Inc. | ||||||||
3.50%, 04/01/2026 | 307,000 | 336,570 | ||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/2031 | 440,000 | 451,051 | ||||||
Entergy Mississippi, Inc. | ||||||||
2.85%, 06/01/2028 | 497,000 | 505,183 |
Exelon Co. | ||||||||
1.55%, 06/09/2017 | 8,499,000 | 8,513,788 | ||||||
3.40%, 04/15/2026 | 222,000 | 232,138 | ||||||
4.95%, 06/15/2035 | 1,500,000 | 1,693,685 | ||||||
5.63%, 06/15/2035 | 1,030,000 | 1,229,408 | ||||||
4.45%, 04/15/2046 | 2,887,000 | 3,084,378 | ||||||
Exelon Generation Co. LLC | ||||||||
6.20%, 10/01/2017 | 3,436,000 | 3,630,560 | ||||||
2.95%, 01/15/2020 | 300,000 | 308,623 | ||||||
4.00%, 10/01/2020 | 619,000 | 660,337 | ||||||
5.75%, 10/01/2041 | 192,000 | 199,186 | ||||||
FirstEnergy Transmission LLC | ||||||||
5.45%, 07/15/2044 (Acquired 05/14/2014 through 06/06/2016, Cost $3,480,571) (1) | 3,422,000 | 3,730,709 | ||||||
Florida Power & Light Co | ||||||||
5.63%, 04/01/2034 | 57,000 | 73,851 | ||||||
5.95%, 02/01/2038 | 103,000 | 141,402 | ||||||
Georgia Power Co | ||||||||
3.25%, 04/01/2026 | 147,000 | 156,264 | ||||||
5.95%, 02/01/2039 | 41,000 | 53,544 | ||||||
Great Plains Energy, Inc. | ||||||||
4.85%, 06/01/2021 | 156,000 | 171,430 | ||||||
Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 245,476 | ||||||
8.40%, 01/15/2022 | 826,000 | 1,091,023 | ||||||
8.05%, 07/07/2024 | 638,000 | 893,240 | ||||||
Indiana Michigan Power Co | ||||||||
7.00%, 03/15/2019 | 112,000 | 127,249 | ||||||
3.20%, 03/15/2023 | 991,000 | 1,033,933 | ||||||
ITC Holdings Co. | ||||||||
5.30%, 07/01/2043 | 2,553,000 | 2,866,817 | ||||||
Jersey Central Power & Light Co | ||||||||
7.35%, 02/01/2019 | 31,000 | 34,962 | ||||||
4.30%, 01/15/2026 (Acquired 08/11/2015 through 06/06/2016, Cost $4,035,745) (1) | 3,977,000 | 4,251,652 | ||||||
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 460,425 | 539,417 | ||||||
Kansas City Power & Light Co | ||||||||
3.15%, 03/15/2023 | 375,000 | 385,253 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,226,440 | ||||||
Korea Electric Power Co. | ||||||||
6.75%, 08/01/2027 | 233,000 | 302,369 | ||||||
Korea Gas Co. | ||||||||
4.25%, 11/02/2020 (Acquired 10/28/2013, Cost $288,684) (1) | 279,000 | 308,707 | ||||||
Korea Hydro & Nuclear Power Co. Ltd. | ||||||||
2.88%, 10/02/2018 (Acquired 11/18/2013, Cost $4,021,078) (1) | 4,000,000 | 4,099,232 |
Mega Advance Investments Ltd. | ||||||||
5.00%, 05/12/2021 (Acquired 10/28/2013, Cost $611,804) (1) | 591,000 | 654,145 | ||||||
MidAmerican Energy Co | ||||||||
5.30%, 03/15/2018 | 72,000 | 77,020 | ||||||
3.50%, 10/15/2024 | 317,000 | 347,162 | ||||||
Nevada Power Co | ||||||||
6.50%, 08/01/2018 | 232,000 | 257,080 | ||||||
7.13%, 03/15/2019 | 188,000 | 217,120 | ||||||
5.38%, 09/15/2040 | 38,000 | 46,924 | ||||||
5.45%, 05/15/2041 | 386,000 | 490,010 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.06%, 09/01/2017 | 3,748,000 | 3,774,375 | ||||||
6.00%, 03/01/2019 | 124,000 | 137,479 | ||||||
2.40%, 09/15/2019 | 487,000 | 497,200 | ||||||
2.70%, 09/15/2019 | 3,473,000 | 3,582,292 | ||||||
7.30%, 09/01/2067 | 295,000 | �� | 281,725 | |||||
Niagara Mohawk Power Co. | ||||||||
4.88%, 08/15/2019 (Acquired 10/28/2013, Cost $179,522) (1) | 168,000 | 183,925 | ||||||
3.51%, 10/01/2024 (Acquired 09/22/2014, Cost $258,000) (1) | 258,000 | 277,857 | ||||||
NiSource Finance Co. | ||||||||
3.85%, 02/15/2023 | 283,000 | 305,460 | ||||||
5.80%, 02/01/2042 | 774,000 | 991,070 | ||||||
Northern States Power Co./MN | ||||||||
6.25%, 06/01/2036 | 258,000 | 357,560 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,658,034 | ||||||
Ohio Power Co | ||||||||
6.05%, 05/01/2018 | 160,000 | 172,543 | ||||||
5.38%, 10/01/2021 | 65,000 | 75,476 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
6.80%, 09/01/2018 | 635,000 | 705,695 | ||||||
7.00%, 09/01/2022 | 124,000 | 157,926 | ||||||
4.55%, 12/01/2041 | 3,035,000 | 3,477,873 | ||||||
Pacific Gas & Electric Co | ||||||||
5.63%, 11/30/2017 | 204,000 | 216,386 | ||||||
8.25%, 10/15/2018 | 4,484,000 | 5,164,815 | ||||||
3.25%, 09/15/2021 | 146,000 | 156,534 | ||||||
2.45%, 08/15/2022 | 581,000 | 593,840 | ||||||
3.25%, 06/15/2023 | 206,000 | 219,714 | ||||||
3.40%, 08/15/2024 | 11,150,000 | 11,942,297 | ||||||
3.50%, 06/15/2025 | 547,000 | 596,563 | ||||||
2.95%, 03/01/2026 | 194,000 | 202,131 | ||||||
6.05%, 03/01/2034 | 146,000 | 194,623 | ||||||
4.50%, 12/15/2041 | 749,000 | 848,646 | ||||||
4.45%, 04/15/2042 | 194,000 | 218,242 |
PacifiCo. | ||||||||
5.65%, 07/15/2018 | 294,000 | 321,541 | ||||||
5.50%, 01/15/2019 | 26,000 | 28,632 | ||||||
3.85%, 06/15/2021 | 103,000 | 113,214 | ||||||
PECO Energy Co | ||||||||
5.35%, 03/01/2018 | 93,000 | 99,398 | ||||||
2.38%, 09/15/2022 | 578,000 | 594,941 | ||||||
4.15%, 10/01/2044 | 353,000 | 403,266 | ||||||
Pennsylvania Electric Co | ||||||||
6.05%, 09/01/2017 | 93,000 | 97,687 | ||||||
Potomac Electric Power Co | ||||||||
6.50%, 11/15/2037 | 136,000 | 191,974 | ||||||
PPL Capital Funding Inc. | ||||||||
3.10%, 05/15/2026 | 2,469,000 | 2,497,144 | ||||||
PPL Electric Utilities Co. | ||||||||
2.50%, 09/01/2022 | 178,000 | 184,056 | ||||||
4.13%, 06/15/2044 | 208,000 | 228,762 | ||||||
Progress Energy, Inc. | ||||||||
4.40%, 01/15/2021 | 390,000 | 426,696 | ||||||
3.15%, 04/01/2022 | 389,000 | 404,857 | ||||||
7.75%, 03/01/2031 | 4,228,000 | 5,923,580 | ||||||
PSEG Power LLC | ||||||||
5.32%, 09/15/2016 | 346,000 | 348,585 | ||||||
5.13%, 04/15/2020 | 430,000 | 467,705 | ||||||
3.00%, 06/15/2021 | 2,310,000 | 2,342,178 | ||||||
4.15%, 09/15/2021 | 332,000 | 354,467 | ||||||
8.63%, 04/15/2031 | 130,000 | 162,766 | ||||||
Public Service Co. of Colorado | ||||||||
5.80%, 08/01/2018 | 28,000 | 30,614 | ||||||
3.20%, 11/15/2020 | 120,000 | 128,393 | ||||||
2.25%, 09/15/2022 | 210,000 | 215,372 | ||||||
3.55%, 06/15/2046 | 353,000 | 363,962 | ||||||
Public Service Co. of New Hampshire | ||||||||
3.50%, 11/01/2023 | 101,000 | 108,355 | ||||||
Public Service Co. of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 159,127 | ||||||
4.40%, 02/01/2021 | 203,000 | 222,282 | ||||||
6.63%, 11/15/2037 | 649,000 | 837,306 | ||||||
Public Service Electric & Gas Co | ||||||||
1.80%, 06/01/2019 | 85,000 | 86,399 | ||||||
3.15%, 08/15/2024 | 1,000,000 | 1,070,758 | ||||||
5.38%, 11/01/2039 | 117,000 | 151,274 |
RGS I&M Funding Co. | ||||||||
9.82%, 06/07/2022 | 86,633 | 88,521 | ||||||
San Diego Gas & Electric Co | ||||||||
6.00%, 06/01/2026 | 213,000 | 279,283 | ||||||
3.95%, 11/15/2041 | 310,000 | 334,281 | ||||||
Sempra Energy | ||||||||
6.15%, 06/15/2018 | 237,000 | 257,768 | ||||||
9.80%, 02/15/2019 | 10,035,000 | 12,078,528 | ||||||
2.88%, 10/01/2022 | 361,000 | 369,354 | ||||||
4.05%, 12/01/2023 | 10,325,000 | 11,174,675 | ||||||
3.55%, 06/15/2024 | 709,000 | 743,438 | ||||||
6.00%, 10/15/2039 | 155,000 | 194,518 | ||||||
South Carolina Electric & Gas Co | ||||||||
4.50%, 06/01/2064 | 161,000 | 166,628 | ||||||
Southern California Edison Co | ||||||||
5.50%, 08/15/2018 | 144,000 | 157,168 | ||||||
3.88%, 06/01/2021 | 102,000 | 112,368 | ||||||
1.85%, 02/01/2022 | 288,000 | 286,166 | ||||||
3.50%, 10/01/2023 | 328,000 | 359,203 | ||||||
5.95%, 02/01/2038 | 67,000 | 90,323 | ||||||
6.05%, 03/15/2039 | 253,000 | 346,082 | ||||||
3.90%, 12/01/2041 | 392,000 | 420,628 | ||||||
Southern Co./The | ||||||||
1.95%, 09/01/2016 | 307,000 | 307,470 | ||||||
2.15%, 09/01/2019 | 555,000 | 565,210 | ||||||
2.35%, 07/01/2021 | 4,834,000 | 4,929,060 | ||||||
4.40%, 07/01/2046 | 2,404,000 | 2,585,985 | ||||||
Southern Power Co | ||||||||
4.15%, 12/01/2025 | 218,000 | 235,850 | ||||||
5.15%, 09/15/2041 | 146,000 | 157,061 | ||||||
Southwestern Electric Power Co | ||||||||
6.45%, 01/15/2019 | 320,000 | 356,979 | ||||||
Southwestern Public Service Co | ||||||||
8.75%, 12/01/2018 | 351,000 | 410,270 | ||||||
State Grid Overseas Investment 2013 Ltd. | ||||||||
1.75%, 05/22/2018 (Acquired 10/28/2013, Cost $239,453) (1) | 241,000 | 241,900 | ||||||
State Grid Overseas Investment 2014 Ltd. | ||||||||
2.75%, 05/07/2019 (Acquired 04/28/2014 through 05/22/2014, Cost $4,229,713) (1) | 4,240,000 | 4,366,717 | ||||||
Talent Yield Investments Ltd. | ||||||||
4.50%, 04/25/2022 (Acquired 10/28/2013 through 02/27/2014, Cost $712,921) (1) | 715,000 | 776,512 |
Tri-State Generation & Transmission Association Inc. | ||||||||
4.25%, 06/01/2046 (Acquired 05/16/2016, Cost $368,016) (1) | 371,000 | 383,505 | ||||||
Virginia Electric & Power Co | ||||||||
5.40%, 04/30/2018 | 558,000 | 599,199 | ||||||
2.95%, 01/15/2022 | 80,000 | 84,289 | ||||||
3.45%, 02/15/2024 | 191,000 | 206,946 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 4,150,416 | ||||||
4.45%, 02/15/2044 | 126,000 | 144,925 | ||||||
WEC Energy Group, Inc. | ||||||||
1.65%, 06/15/2018 | 4,043,000 | 4,078,720 | ||||||
3.55%, 06/15/2025 | 865,000 | 928,622 | ||||||
Westar Energy, Inc. | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,607,025 | ||||||
Wisconsin Electric Power Co. | ||||||||
2.95%, 09/15/2021 | 27,000 | 28,574 | ||||||
3.10%, 06/01/2025 | 285,000 | 303,474 | ||||||
Xcel Energy, Inc. | ||||||||
1.20%, 06/01/2017 | 8,332,000 | 8,337,357 | ||||||
4.70%, 05/15/2020 | 62,000 | 68,530 | ||||||
2.40%, 03/15/2021 | 250,000 | 257,040 | ||||||
6.50%, 07/01/2036 | 351,000 | 467,906 | ||||||
4.80%, 09/15/2041 | 95,000 | 109,253 | ||||||
|
| |||||||
240,566,724 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $3,301,653,850) | $ | 3,433,814,785 | ||||||
|
| |||||||
Government Related - 19.89% | ||||||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | $ | 2,720,000 | $ | 3,306,995 | ||||
American Municipal Power, Inc. | ||||||||
7.50%, 02/15/2050 | 1,350,000 | 1,983,839 | ||||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 647,607 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,570,964 | ||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||
2.00%, 03/22/2021 (Acquired 03/15/2016, Cost $2,937,242) (1) | 2,940,000 | 3,029,852 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 991,390 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 299,098 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 2,136,602 |
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,295,860 | ||||||
Colombia Government International Bond | ||||||||
4.38%, 07/12/2021 | 1,000,000 | 1,075,000 | ||||||
4.00%, 02/26/2024 | 437,000 | 456,665 | ||||||
4.50%, 01/28/2026 | 8,945,000 | 9,526,425 | ||||||
5.63%, 02/26/2044 | 200,000 | 222,000 | ||||||
5.00%, 06/15/2045 | 842,000 | 875,680 | ||||||
Corp. Andina de Fomento | ||||||||
2.00%, 05/10/2019 | 3,215,000 | 3,250,911 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 3,053,327 | ||||||
County of Contra Costa CA | ||||||||
5.14%, 06/01/2017 | 640,000 | 658,272 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 106,890 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
5.52%, 10/01/2044 | 2,900,000 | 3,874,429 | ||||||
4.81%, 10/01/2114 | 875,000 | 1,030,566 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 295,666 | ||||||
Elgin Local School District | ||||||||
5.50%, 08/31/2027 | 535,000 | 570,808 | ||||||
Export-Import Bank of Korea | ||||||||
4.00%, 01/11/2017 | 200,000 | 202,980 | ||||||
2.25%, 01/21/2020 | 1,800,000 | 1,827,392 | ||||||
4.38%, 09/15/2021 | 250,000 | 278,939 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 PO | 929,000 | 651,026 | ||||||
Federal Farm Credit Banks | ||||||||
5.13%, 11/15/2018 | 344,000 | 378,974 | ||||||
Federal Home Loan Banks | ||||||||
4.00%, 10/24/2029 | 2,000,000 | 2,394,754 | ||||||
5.50%, 07/15/2036 | 1,135,000 | 1,641,025 | ||||||
Federal Home Loan Mortgage Co. | ||||||||
2.38%, 01/13/2022 | 6,824,000 | 7,228,561 | ||||||
6.25%, 07/15/2032 | 2,570,000 | 3,886,526 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 06/01/2017 | 2,735,000 | 2,716,727 | ||||||
2.63%, 09/06/2024 | 3,695,000 | 3,977,195 | ||||||
6.25%, 05/15/2029 | 1,285,000 | 1,868,909 | ||||||
7.13%, 01/15/2030 | 1,500,000 | 2,354,796 |
Financing Co. | ||||||||
0.00%, 11/30/2017 PO | 404,000 | 399,597 | ||||||
0.00%, 04/06/2018 PO | 194,000 | 191,585 | ||||||
0.00%, 05/11/2018 PO | 6,860,000 | 6,756,798 | ||||||
0.00%, 03/07/2019 PO | 205,000 | 200,199 | ||||||
0.00%, 09/26/2019 PO | 3,174,000 | 3,078,294 | ||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,332,068 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
3.00%, 06/30/2025 | 3,495,000 | 3,812,517 | ||||||
Hungary Government International Bond | ||||||||
7.63%, 03/29/2041 | 5,410,000 | 7,844,500 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 03/13/2020 | 5,000,000 | 5,560,420 | ||||||
5.88%, 01/15/2024 (Acquired 03/20/2015, Cost $1,484,948) (1) | 1,300,000 | 1,503,408 | ||||||
4.13%, 01/15/2025 (Acquired 01/08/2015, Cost $1,317,935) (1) | 1,325,000 | 1,379,936 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 855,000 | 871,946 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 11/01/2019 IO | 345,000 | 330,739 | ||||||
0.00%, 08/15/2022 | 7,201,000 | 6,476,126 | ||||||
0.00%, 05/01/2023 | 1,000,000 | 878,189 | ||||||
0.00%, 08/15/2023 | 300,000 | 261,556 | ||||||
0.00%, 09/15/2023 | 1,837,000 | 1,597,927 | ||||||
5.50%, 09/18/2023 | 8,856,000 | 11,199,236 | ||||||
0.00%, 11/01/2023 IO | 413,000 | 357,967 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,719,226 | ||||||
0.00%, 02/15/2024 | 2,000,000 | 1,719,282 | ||||||
5.50%, 04/26/2024 | 4,424,000 | 5,605,381 | ||||||
0.00%, 05/15/2024 | 3,640,000 | 3,106,525 | ||||||
0.00%, 08/15/2024 | 1,500,000 | 1,270,678 | ||||||
0.00%, 11/01/2024 PO | 3,849,000 | 3,239,753 | ||||||
0.00%, 11/15/2024 | 2,299,000 | 1,932,813 | ||||||
0.00%, 08/15/2025 | 2,500,000 | 2,052,567 | ||||||
0.00%, 11/15/2026 | 258,000 | 203,098 | ||||||
5.50%, 09/18/2033 | 619,000 | 870,622 | ||||||
Japan Finance Organization for Municipalities | ||||||||
2.13%, 04/13/2021 (Acquired 04/06/2016, Cost $1,596,625) (1) | 1,600,000 | 1,626,648 | ||||||
Lithuania Government International Bond | ||||||||
7.38%, 02/11/2020 (Acquired 08/12/2014, Cost $1,138,182) (1) | 995,000 | 1,174,100 | ||||||
Los Angeles Department of Water & Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,810,936 |
Mexico Government International Bond | ||||||||
3.50%, 01/21/2021 | 1,786,000 | 1,888,695 | ||||||
3.63%, 03/15/2022 | 2,000,000 | 2,110,000 | ||||||
4.00%, 10/02/2023 | 842,000 | 906,203 | ||||||
3.60%, 01/30/2025 | 868,000 | 908,145 | ||||||
4.13%, 01/21/2026 | 719,000 | 779,216 | ||||||
4.75%, 03/08/2044 | 450,000 | 484,875 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,789,065 | ||||||
5.75%, 10/12/2110 | 588,000 | 651,210 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 105,000 | 109,603 | ||||||
3.75%, 07/01/2034 | 250,000 | 259,305 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.75%, 12/15/2028 | 5,140,000 | 5,577,106 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,877,964 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 358,085 | ||||||
North American Development Bank | ||||||||
4.38%, 02/11/2020 | 1,800,000 | 1,965,188 | ||||||
2.40%, 10/26/2022 | 2,595,000 | 2,650,263 | ||||||
North Carolina Housing Finance Agency | ||||||||
3.00%, 01/01/2033 | 5,870,000 | 5,979,828 | ||||||
Ohio State University/The | ||||||||
4.05%, 12/01/2056 | 406,000 | 451,232 | ||||||
4.80%, 06/01/2111 | 1,102,000 | 1,230,901 | ||||||
Panama Government International Bond | ||||||||
5.20%, 01/30/2020 | 2,930,000 | 3,244,975 | ||||||
4.00%, 09/22/2024 | 3,133,000 | 3,367,975 | ||||||
3.75%, 03/16/2025 | 1,234,000 | 1,304,955 | ||||||
Peruvian Government International Bond | ||||||||
5.63%, 11/18/2050 | 190,000 | 236,075 | ||||||
Poland Government International Bond | ||||||||
6.38%, 07/15/2019 | 1,000,000 | 1,133,000 | ||||||
4.00%, 01/22/2024 | 1,040,000 | 1,123,200 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,682,327 | ||||||
5.65%, 11/01/2040 | 435,000 | 580,803 | ||||||
4.46%, 10/01/2062 | 2,065,000 | 2,355,298 | ||||||
Province of Manitoba Canada | ||||||||
2.13%, 06/22/2026 | 3,170,000 | 3,153,063 | ||||||
Province of Quebec Canada | ||||||||
7.37%, 03/06/2026 | 58,000 | 81,577 |
Qatar Government International Bond | ||||||||
2.38%, 06/02/2021 (Acquired 05/25/2016, Cost $5,123,117) (1) | 5,178,000 | 5,233,922 | ||||||
4.63%, 06/02/2046 (Acquired 05/25/2016, Cost $1,259,155) (1) | 1,290,000 | 1,402,457 | ||||||
Residual Funding Co. Principal Strip | ||||||||
0.00%, 10/15/2019 PO | 6,032,000 | 5,838,530 | ||||||
0.00%, 07/15/2020 PO | 34,973,000 | 33,390,821 | ||||||
0.00%, 10/15/2020 PO | 9,066,000 | 8,628,756 | ||||||
0.00%, 01/15/2021 PO | 5,036,000 | 4,749,507 | ||||||
0.00%, 01/15/2030 | 3,380,000 | 2,433,516 | ||||||
0.00%, 04/15/2030 | 1,085,000 | 782,568 | ||||||
Rhode Island Housing & Mortgage Finance Co./RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,303,040 | ||||||
Romanian Government International Bond | ||||||||
4.88%, 01/22/2024 (Acquired 01/14/2014, Cost $435,691) (1) | 440,000 | 485,144 | ||||||
6.13%, 01/22/2044 | 1,000,000 | 1,247,200 | ||||||
San Dieguito Public Facilities Authority | ||||||||
6.46%, 05/01/2027 | 685,000 | 892,569 | ||||||
South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 2,071,000 | 2,306,058 | ||||||
5.38%, 07/24/2044 | 1,077,000 | 1,127,016 | ||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 8,393,709 | ||||||
7.30%, 10/01/2039 | 3,605,000 | 5,459,845 | ||||||
7.35%, 11/01/2039 | 1,131,000 | 1,715,094 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 2,636,000 | 2,533,381 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,708,001 | ||||||
Svensk Exportkredit AB | ||||||||
1.75%, 03/10/2021 | 7,180,000 | 7,317,037 | ||||||
Tennessee Valley Authority | ||||||||
7.13%, 05/01/2030 | 5,425,000 | 8,312,554 | ||||||
5.88%, 04/01/2036 | 882,000 | 1,278,854 | ||||||
5.50%, 06/15/2038 | 57,000 | 79,756 | ||||||
5.25%, 09/15/2039 | 949,000 | 1,301,385 | ||||||
3.50%, 12/15/2042 | 2,850,000 | 3,083,865 | ||||||
4.63%, 09/15/2060 | 303,000 | 377,781 | ||||||
4.25%, 09/15/2065 | 5,801,000 | 6,814,417 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 05/01/2019 IO | 1,238,000 | 1,198,842 | ||||||
0.00%, 07/15/2028 IO | 2,000,000 | 1,427,090 | ||||||
0.00%, 03/15/2032 | 1,514,000 | 963,402 |
Tennessee Valley Authority Principal Strip | ||||||||
0.00%, 12/15/2017 PO | 427,000 | 422,072 | ||||||
0.00%, 11/01/2025 PO | 1,847,000 | 1,494,956 | ||||||
0.00%, 06/15/2035 PO | 258,000 | 143,354 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 307,803 | ||||||
Tokyo Metropolitan Government | ||||||||
2.00%, 05/17/2021 (Acquired 05/10/2016, Cost $2,392,124) (1) | 2,400,000 | 2,427,490 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 3,910,000 | 4,434,605 | ||||||
5.75%, 03/22/2024 | 494,000 | 550,864 | ||||||
4.25%, 04/14/2026 | 895,000 | 908,559 | ||||||
4.88%, 10/09/2026 | 2,162,000 | 2,276,673 | ||||||
Ukraine Government AID Bonds | ||||||||
1.85%, 05/29/2020 | 3,470,000 | 3,552,069 | ||||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.13%, 04/15/2019 (2) | 918,982 | 938,462 | ||||||
1.38%, 01/15/2020 (2) | 328,610 | 350,928 | ||||||
0.13%, 04/15/2021 (2) | 23,950,625 | 24,545,654 | ||||||
0.13%, 01/15/2022 (2) | 2,348,898 | 2,394,530 | ||||||
1.75%, 01/15/2028 (2) | 685,248 | 801,321 | ||||||
3.63%, 04/15/2028 (2) | 1,542,899 | 2,135,268 | ||||||
2.50%, 01/15/2029 (2) | 460,247 | 583,250 | ||||||
1.00%, 02/15/2046 (2) | 4,089,609 | 4,417,947 | ||||||
United States Treasury Note/Bond | ||||||||
3.13%, 10/31/2016 | 3,400,000 | 3,431,107 | ||||||
2.75%, 11/30/2016 | 258,000 | 260,550 | ||||||
3.25%, 12/31/2016 | 20,315,000 | 20,601,320 | ||||||
3.13%, 01/31/2017 | 206,000 | 209,219 | ||||||
4.63%, 02/15/2017 | 980,000 | 1,005,497 | ||||||
3.25%, 03/31/2017 | 6,295,000 | 6,423,972 | ||||||
2.75%, 05/31/2017 | 5,000,000 | 5,100,975 | ||||||
0.88%, 10/15/2017 | 7,960,000 | 7,992,333 | ||||||
4.25%, 11/15/2017 | 3,353,000 | 3,522,353 | ||||||
2.25%, 11/30/2017 | 206,000 | 210,852 | ||||||
2.75%, 12/31/2017 | 1,459,000 | 1,506,076 | ||||||
0.88%, 01/31/2018 | 245,000 | 246,149 | ||||||
2.63%, 01/31/2018 | 2,683,000 | 2,769,148 | ||||||
3.50%, 02/15/2018 | 6,993,000 | 7,321,888 | ||||||
0.88%, 05/31/2018 | 69,162,000 | 69,542,944 | ||||||
0.63%, 06/30/2018 | 6,608,000 | 6,611,099 | ||||||
1.50%, 08/31/2018 | 5,061,000 | 5,157,078 | ||||||
1.25%, 10/31/2018 | 1,930,000 | 1,956,839 |
1.25%, 12/15/2018 | 246,000 | 249,584 | ||||||
1.38%, 12/31/2018 | 722,000 | 734,804 | ||||||
0.75%, 02/15/2019 | 5,000,000 | 5,010,350 | ||||||
0.88%, 05/15/2019 | 3,922,000 | 3,941,151 | ||||||
3.13%, 05/15/2019 | 10,774,000 | 11,517,654 | ||||||
1.50%, 05/31/2019 | 1,360,000 | 1,390,865 | ||||||
0.88%, 06/15/2019 | 7,298,000 | 7,334,205 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,407,979 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 6,055,138 | ||||||
3.50%, 05/15/2020 | 1,300,000 | 1,429,137 | ||||||
8.75%, 05/15/2020 | 2,000,000 | 2,598,828 | ||||||
1.63%, 06/30/2020 | 42,401,000 | 43,608,453 | ||||||
1.63%, 07/31/2020 | 15,569,000 | 16,012,966 | ||||||
2.63%, 08/15/2020 | 3,709,000 | 3,966,167 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 8,311,433 | ||||||
2.13%, 08/31/2020 | 2,032,000 | 2,131,694 | ||||||
1.38%, 09/30/2020 | 13,816,000 | 14,069,648 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,924,899 | ||||||
1.63%, 11/30/2020 | 3,776,000 | 3,887,067 | ||||||
2.00%, 11/30/2020 | 1,000,000 | 1,045,117 | ||||||
1.75%, 12/31/2020 | 2,523,000 | 2,610,220 | ||||||
3.63%, 02/15/2021 | 1,961,000 | 2,195,018 | ||||||
7.88%, 02/15/2021 | 900,000 | 1,180,617 | ||||||
1.13%, 02/28/2021 | 7,772,000 | 7,827,251 | ||||||
1.25%, 03/31/2021 | 1,996,000 | 2,019,625 | ||||||
1.38%, 04/30/2021 | 5,995,000 | 6,099,445 | ||||||
2.25%, 04/30/2021 | 1,800,000 | 1,905,469 | ||||||
3.13%, 05/15/2021 | 4,592,000 | 5,053,175 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 2,300,979 | ||||||
1.38%, 05/31/2021 | 44,223,000 | 45,029,716 | ||||||
1.13%, 06/30/2021 | 28,633,000 | 28,778,398 | ||||||
2.13%, 08/15/2021 | 2,805,000 | 2,956,644 | ||||||
2.00%, 10/31/2021 | 15,000,000 | 15,715,425 | ||||||
8.00%, 11/15/2021 | 4,414,000 | 6,010,800 | ||||||
1.88%, 11/30/2021 | 10,000 | 10,417 | ||||||
1.50%, 01/31/2022 | 1,250,000 | 1,275,684 | ||||||
1.75%, 03/31/2022 | 36,045,000 | 37,251,678 | ||||||
1.75%, 05/15/2022 | 2,000,000 | 2,067,110 | ||||||
2.13%, 06/30/2022 | 2,000,000 | 2,109,376 | ||||||
2.00%, 07/31/2022 | 8,500,000 | 8,902,092 | ||||||
2.00%, 11/30/2022 | 14,055,000 | 14,712,732 | ||||||
2.00%, 02/15/2023 | 500,000 | 523,847 |
1.50%, 02/28/2023 | 4,497,000 | 4,564,455 | ||||||
1.63%, 04/30/2023 | 1,480,000 | 1,513,704 | ||||||
1.75%, 05/15/2023 | 9,000,000 | 9,286,524 | ||||||
1.63%, 05/31/2023 | 226,000 | 231,147 | ||||||
1.38%, 06/30/2023 | 2,430,000 | 2,442,908 | ||||||
2.50%, 08/15/2023 | 1,000,000 | 1,083,516 | ||||||
2.75%, 02/15/2024 | 1,000,000 | 1,104,141 | ||||||
2.50%, 05/15/2024 | 62,050,000 | 67,416,332 | ||||||
2.38%, 08/15/2024 | 2,000,000 | 2,153,594 | ||||||
1.63%, 05/15/2026 | 42,363,000 | 42,905,755 | ||||||
5.25%, 11/15/2028 | 19,540,500 | 27,508,588 | ||||||
5.38%, 02/15/2031 | 1,312,000 | 1,946,271 | ||||||
4.75%, 02/15/2037 | 28,202,000 | 41,950,475 | ||||||
4.38%, 02/15/2038 | 10,000,000 | 14,260,550 | ||||||
3.50%, 02/15/2039 | 127,774,100 | 161,309,818 | ||||||
4.25%, 05/15/2039 | 6,800,000 | 9,508,576 | ||||||
4.50%, 08/15/2039 | 706,000 | 1,021,163 | ||||||
4.38%, 11/15/2039 | 7,900,000 | 11,234,353 | ||||||
4.38%, 05/15/2040 | 3,600,000 | 5,125,781 | ||||||
3.88%, 08/15/2040 | 4,380,000 | 5,817,187 | ||||||
4.25%, 11/15/2040 | 2,000,000 | 2,802,734 | ||||||
2.75%, 11/15/2042 | 12,325,000 | 13,569,542 | ||||||
2.88%, 05/15/2043 (4) | 46,700,000 | 52,548,428 | ||||||
3.00%, 11/15/2044 | 2,700,000 | 3,107,003 | ||||||
2.50%, 02/15/2045 | 10,415,000 | 10,853,565 | ||||||
3.00%, 05/15/2045 | 52,753,000 | 60,688,634 | ||||||
2.88%, 08/15/2045 | 22,029,000 | 24,743,039 | ||||||
3.00%, 11/15/2045 | 18,613,000 | 21,420,213 | ||||||
2.50%, 02/15/2046 | 22,690,000 | 23,648,131 | ||||||
2.50%, 05/15/2046 | 4,164,000 | 4,344,060 | ||||||
United States Treasury Strip Coupon | ||||||||
0.00%, 08/15/2016 | 3,966,000 | 3,964,382 | ||||||
0.00%, 11/15/2016 | 4,261,000 | 4,255,346 | ||||||
0.00%, 08/15/2017 | 4,176,000 | 4,150,096 | ||||||
0.00%, 11/15/2017 | 9,529,000 | 9,451,863 | ||||||
0.00%, 02/15/2018 | 3,658,000 | 3,622,203 | ||||||
0.00%, 08/15/2018 | 10,000,000 | 9,871,910 | ||||||
0.00%, 11/15/2018 | 500,000 | 492,514 | ||||||
0.00%, 05/15/2019 | 20,278,000 | 19,845,977 | ||||||
0.00%, 08/15/2019 | 22,357,000 | 21,809,388 | ||||||
0.00%, 11/15/2019 | 7,500,000 | 7,287,173 | ||||||
0.00%, 02/15/2020 | 6,078,000 | 5,889,849 |
0.00%, 05/15/2020 | 39,615,000 | 38,211,916 | ||||||
0.00%, 08/15/2020 | 25,243,000 | 24,289,294 | ||||||
0.00%, 02/15/2021 | 14,550,000 | 13,864,375 | ||||||
0.00%, 05/15/2021 | 14,843,000 | 14,096,115 | ||||||
0.00%, 08/15/2021 | 9,469,000 | 8,943,366 | ||||||
0.00%, 11/15/2021 | 11,144,000 | 10,466,556 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 31,646,664 | ||||||
0.00%, 05/15/2022 | 18,154,000 | 16,868,316 | ||||||
0.00%, 08/15/2022 | 12,500,000 | 11,579,088 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 16,028,549 | ||||||
0.00%, 02/15/2023 | 61,562,000 | 56,370,784 | ||||||
0.00%, 05/15/2023 | 33,770,000 | 30,737,893 | ||||||
0.00%, 08/15/2023 | 19,635,000 | 17,802,937 | ||||||
0.00%, 11/15/2023 | 9,300,000 | 8,378,798 | ||||||
0.00%, 02/15/2024 | 6,124,000 | 5,491,023 | ||||||
0.00%, 05/15/2024 | 1,322,000 | 1,179,128 | ||||||
0.00%, 08/15/2024 | 1,834,000 | 1,625,177 | ||||||
0.00%, 11/15/2024 | 6,105,000 | 5,384,396 | ||||||
0.00%, 02/15/2025 | 799,000 | 699,529 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 2,851,012 | ||||||
0.00%, 08/15/2025 | 1,360,000 | 1,177,119 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 854,688 | ||||||
0.00%, 05/15/2026 | 3,801,000 | 3,227,847 | ||||||
0.00%, 08/15/2026 | 1,681,000 | 1,421,699 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 8,584,333 | ||||||
0.00%, 02/15/2027 | 20,416,000 | 17,060,304 | ||||||
0.00%, 05/15/2027 | 1,866,000 | 1,549,470 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 3,558,735 | ||||||
0.00%, 11/15/2027 | 7,702,000 | 6,317,234 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 6,321,107 | ||||||
0.00%, 05/15/2028 | 3,071,000 | 2,482,993 | ||||||
0.00%, 08/15/2028 | 6,918,000 | 5,567,599 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 6,030,590 | ||||||
0.00%, 02/15/2029 | 7,537,000 | 5,993,144 | ||||||
0.00%, 05/15/2029 | 1,330,000 | 1,049,898 | ||||||
0.00%, 08/15/2029 | 4,738,000 | 3,718,349 | ||||||
0.00%, 11/15/2029 | 5,164,000 | 4,024,961 | ||||||
0.00%, 02/15/2030 | 15,187,000 | 11,756,849 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 6,516,781 | ||||||
0.00%, 08/15/2030 | 13,772,000 | 10,534,341 | ||||||
0.00%, 11/15/2030 | 7,064,000 | 5,373,910 | ||||||
0.00%, 02/15/2031 | 9,298,000 | 7,022,287 |
0.00%, 05/15/2031 | 9,225,000 | 6,918,030 | ||||||
0.00%, 08/15/2031 | 11,262,000 | 8,399,447 | ||||||
0.00%, 11/15/2031 | 8,399,000 | 6,224,986 | ||||||
0.00%, 02/15/2032 | 15,909,000 | 11,707,242 | ||||||
0.00%, 05/15/2032 | 24,453,000 | 17,861,596 | ||||||
0.00%, 08/15/2032 | 10,925,000 | 7,927,737 | ||||||
0.00%, 11/15/2032 | 9,612,000 | 6,928,560 | ||||||
0.00%, 02/15/2033 | 3,000,000 | 2,144,220 | ||||||
0.00%, 05/15/2033 | 10,845,000 | 7,706,251 | ||||||
0.00%, 08/15/2033 | 4,212,000 | 2,968,714 | ||||||
0.00%, 11/15/2033 | 7,216,000 | 5,055,133 | ||||||
0.00%, 02/15/2034 | 8,759,000 | 6,077,783 | ||||||
0.00%, 05/15/2034 | 4,650,000 | 3,202,683 | ||||||
0.00%, 08/15/2034 | 2,895,000 | 1,978,368 | ||||||
0.00%, 11/15/2034 | 3,492,000 | 2,368,994 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 1,229,048 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,284,733 | ||||||
0.00%, 08/15/2035 | 175,000 | 116,315 | ||||||
0.00%, 05/15/2036 | 121,000 | 78,972 | ||||||
United States Treasury Strip Principal | ||||||||
0.00%, 08/15/2039 | 1,225,000 | 738,045 | ||||||
0.00%, 05/15/2044 | 16,765,000 | 8,595,701 | ||||||
0.00%, 05/15/2045 | 5,605,000 | 2,772,939 | ||||||
University of California | ||||||||
4.77%, 05/15/2115 | 2,064,000 | 2,240,183 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 263,549 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 450,554 | ||||||
|
| |||||||
Total Government Related (Cost $1,980,483,221) | $ | 2,140,425,422 | ||||||
|
| |||||||
Mortgage-Backed Obligations - 35.99% | ||||||||
A10 Securitization 2013-1 LLC | ||||||||
2.40%, 11/15/2025 (Acquired 10/28/2013, Cost $14,360) (1) | $ | 14,388 | $ | 14,387 | ||||
A10 Securitization 2015-1 LLC | ||||||||
2.10%, 04/15/2034 (Acquired 04/24/2015, Cost $2,349,585) (1) | 2,349,749 | 2,342,296 | ||||||
3.13%, 04/15/2034 (Acquired 04/24/2015, Cost $861,994) (1) | 862,000 | 868,302 | ||||||
A10 Term Asset Financing 2013-2 LLC | ||||||||
4.38%, 11/15/2027 (Acquired 10/30/2013, Cost $424,899) (1) | 425,000 | 417,819 | ||||||
A10 Term Asset Financing 2014-1 LLC | ||||||||
1.72%, 04/15/2033 (Acquired 06/04/2014 through 01/20/2015, Cost $885,723) (1) | 886,449 | 881,172 | ||||||
3.02%, 04/15/2033 (Acquired 06/04/2014, Cost $1,806,795) (1) | 1,807,000 | 1,778,789 |
Access Point Funding Trust 2016-1 | ||||||||
0.00%, 02/16/2021 (8) | 2,966,376 | 2,972,517 | ||||||
ACRE Commercial Mortgage Trust 2014-FL2 | ||||||||
2.48%, 08/15/2031 (Acquired 08/01/2014 through 12/03/2014, Cost $571,709) (1) | 572,000 | 564,884 | ||||||
2.93%, 08/15/2031 (Acquired 08/01/2014 through 12/05/2014, Cost $721,293) (1) | 722,000 | 711,588 | ||||||
3.83%, 08/15/2031 (Acquired 12/11/2014, Cost $400,000) (1) | 400,000 | 383,966 | ||||||
Ajax Mortgage Loan Trust 2013-C | ||||||||
4.50%, 03/25/2053 (Acquired 11/15/2013, Cost $1,100,418) (1)(8) | 1,104,150 | 1,096,027 | ||||||
Ajax Mortgage Loan Trust 2014-A | ||||||||
3.75%, 10/25/2057 (Acquired 09/30/2014, Cost $1,153,187) (1) | 1,155,307 | 1,142,995 | ||||||
Ajax Mortgage Loan Trust 2015-B | ||||||||
3.88%, 07/25/2060 (Acquired 06/24/2015, Cost $1,357,145) (1) | 1,359,838 | 1,346,068 | ||||||
Alternative Loan Trust 2002-11 | ||||||||
6.25%, 10/25/2032 | 3,581 | 3,605 | ||||||
Alternative Loan Trust 2002-12 | ||||||||
0.00%, 11/25/2032 PO | 13,956 | 10,366 | ||||||
Alternative Loan Trust 2003-20CB | ||||||||
5.50%, 10/25/2033 | 516,217 | 519,229 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
6.00%, 12/25/2033 | 3,934,884 | 3,936,400 | ||||||
Alternative Loan Trust 2004-2CB | ||||||||
5.75%, 03/25/2034 | 1,070,826 | 1,062,606 | ||||||
Alternative Loan Trust 2005-1CB | ||||||||
6.65%, 03/25/2035 IO | 304,050 | 70,288 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
4.30%, 07/25/2035 IO | 972,032 | 141,923 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
4.62%, 06/25/2035 IO | 930,510 | 164,081 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 423,201 | 382,485 | ||||||
6.00%, 08/25/2035 | 12,818 | 9,053 | ||||||
Alternative Loan Trust 2005-37T1 | ||||||||
4.60%, 09/25/2035 IO | 3,275,779 | 632,702 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 54,107 | 53,655 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
4.40%, 11/25/2035 IO | 1,728,430 | 231,880 | ||||||
5.50%, 11/25/2035 | 437,557 | 382,871 | ||||||
5.50%, 11/25/2035 | 5,477 | 4,735 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 177,783 | 160,954 |
Alternative Loan Trust 2005-J1 | ||||||||
4.65%, 02/25/2035 IO | 346,693 | 21,923 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 105,896 | 77,022 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 | 27,997 | 29,775 | ||||||
Alternative Loan Trust 2006-7CB | ||||||||
5.25%, 05/25/2021 | 144,312 | 138,279 | ||||||
Alternative Loan Trust 2006-J5 | ||||||||
4.78%, 07/25/2021 | 50,719 | 45,891 | ||||||
American General Mortgage Loan Trust 2006-1 | ||||||||
5.75%, 12/25/2035 (Acquired 10/28/2013, Cost $49,638) (1) | 48,501 | 49,971 | ||||||
American General Mortgage Loan Trust 2010-1 | ||||||||
5.65%, 03/25/2058 (Acquired 10/28/2013, Cost $377,735) (1) | 368,171 | 371,393 | ||||||
Angel Oak Mortgage Trust LLC 2015-1 | ||||||||
4.50%, 11/25/2045 (Acquired 12/10/2015, Cost $1,532,278) (1) | 1,535,374 | 1,540,136 | ||||||
ASG Resecuritization Trust 2009-1 | ||||||||
2.51%, 06/26/2037 (Acquired 10/28/2013 through 03/03/2014, Cost $200,167) (1) | 201,268 | 199,914 | ||||||
ASG Resecuritization Trust 2009-3 | ||||||||
2.35%, 03/26/2037 (Acquired 10/28/2013, Cost $961,705) (1) | 960,503 | 952,996 | ||||||
ASG Resecuritization Trust 2009-5 | ||||||||
3.48%, 02/28/2037 (Acquired 10/28/2013, Cost $52,580) (1) | 52,241 | 52,257 | ||||||
ASG Resecuritization Trust 2010-2 | ||||||||
1.98%, 01/28/2037 (Acquired 10/28/2013, Cost $314,313) (1) | 318,451 | 314,079 | ||||||
ASG Resecuritization Trust 2011-1 | ||||||||
4.00%, 09/28/2020 (Acquired 10/28/2013, Cost $10,939) (1) | 10,867 | 10,842 | ||||||
2.98%, 11/28/2035 (Acquired 10/28/2013, Cost $405,924) (1) | 411,395 | 404,091 | ||||||
6.00%, 09/28/2036 (Acquired 10/28/2013, Cost $526,221) (1) | 512,412 | 440,545 | ||||||
Assurant Commercial Mortgage Trust 2016-1 | ||||||||
3.17%, 05/15/2049 (Acquired 05/13/2016, Cost $9,370,535) (1) | 9,100,000 | 9,516,401 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030 (Acquired 10/28/2013, Cost $784,543) (1) | 809,000 | 847,141 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.35%, 08/15/2046 (Acquired 08/01/2014, Cost $1,150,614) (1) | 1,200,000 | 1,173,442 | ||||||
Banc of America Alternative Loan Trust 2003-11 | ||||||||
4.75%, 01/25/2019 | 9,492 | 9,530 | ||||||
0.00%, 01/25/2034 PO | 43,996 | 37,766 | ||||||
6.00%, 01/25/2034 | 347,503 | 356,276 | ||||||
6.00%, 01/25/2034 | 385,122 | 394,298 | ||||||
Banc of America Alternative Loan Trust 2003-7 | ||||||||
5.00%, 09/25/2018 | 92,618 | 92,846 | ||||||
5.50%, 09/25/2033 | 391,745 | 395,061 |
Banc of America Alternative Loan Trust 2004-1 | ||||||||
5.50%, 02/25/2019 | 37,431 | 37,753 | ||||||
6.00%, 02/25/2034 | 94,844 | 100,343 | ||||||
Banc of America Alternative Loan Trust 2004-11 | ||||||||
5.50%, 12/25/2019 | 8,887 | 8,980 | ||||||
Banc of America Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 11,248 | 10,952 | ||||||
Banc of America Alternative Loan Trust 2004-7 | ||||||||
5.00%, 08/25/2019 | 163,848 | 165,783 | ||||||
Banc of America Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 76,454 | 74,517 | ||||||
Banc of America Alternative Loan Trust 2005-10 | ||||||||
5.25%, 11/25/2020 | 35,850 | 36,162 | ||||||
Banc of America Alternative Loan Trust 2005-11 | ||||||||
5.50%, 12/25/2035 | 21,513 | 19,528 | ||||||
Banc of America Alternative Loan Trust 2005-2 | ||||||||
5.50%, 03/25/2020 | 12,997 | 13,177 | ||||||
5.50%, 03/25/2035 | 13,105 | 11,884 | ||||||
Banc of America Alternative Loan Trust 2005-4 | ||||||||
5.50%, 05/25/2020 | 92,984 | 92,205 | ||||||
Banc of America Alternative Loan Trust 2005-5 | ||||||||
5.50%, 06/25/2035 | 69,885 | 64,547 | ||||||
Banc of America Alternative Loan Trust 2005-9 | ||||||||
5.50%, 10/25/2035 | 32,588 | 29,298 | ||||||
Banc of America Alternative Loan Trust 2006-5 | ||||||||
6.00%, 06/25/2046 | 70,079 | 57,278 | ||||||
Banc of America Alternative Loan Trust 2007-1 | ||||||||
5.84%, 04/25/2022 | 76,782 | 73,826 | ||||||
Banc of America Commercial Mortgage Trust 2006-3 | ||||||||
5.89%, 07/10/2044 | 249,504 | 249,224 | ||||||
Banc of America Commercial Mortgage Trust 2006-5 | ||||||||
0.87%, 09/10/2047 IO (Acquired 10/28/2013, Cost $272,847) (1) | 11,701,482 | 16,877 | ||||||
5.41%, 09/10/2047 | 804,263 | 806,940 | ||||||
Banc of America Commercial Mortgage Trust 2006-6 | ||||||||
5.37%, 10/10/2045 | 16,738 | 16,723 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.36%, 02/10/2051 | 8,741,703 | 9,072,495 | ||||||
5.49%, 02/10/2051 | 2,944,822 | 3,030,978 | ||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 | ||||||||
3.71%, 09/15/2048 | 514,000 | 564,332 | ||||||
Banc of America Funding 2004-1 Trust | ||||||||
0.00%, 03/25/2034 PO | 47,758 | 38,664 |
Banc of America Funding 2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 3,754,253 | 3,883,432 | ||||||
Banc of America Funding 2004-C Trust | ||||||||
3.08%, 12/20/2034 | 101,107 | 98,944 | ||||||
Banc of America Funding 2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 62,601 | 59,847 | ||||||
Banc of America Funding 2005-7 Trust | ||||||||
0.00%, 11/25/2035 PO | 46,960 | 37,583 | ||||||
Banc of America Funding 2005-8 Trust | ||||||||
0.00%, 01/25/2036 PO | 19,477 | 13,466 | ||||||
Banc of America Funding 2005-C Trust | ||||||||
0.69%, 05/20/2035 | 5,810,717 | 5,363,567 | ||||||
Banc of America Funding 2005-E Trust | ||||||||
2.89%, 03/20/2035 | 126,759 | 124,833 | ||||||
Banc of America Funding 2006-1 Trust | ||||||||
0.00%, 01/25/2036 PO | 28,215 | 21,764 | ||||||
Banc of America Funding 2010-R11 Trust | ||||||||
5.08%, 08/26/2035 (Acquired 10/28/2013, Cost $284,669) (1) | 281,632 | 282,548 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc. | ||||||||
5.53%, 11/10/2042 | 92,759 | 92,676 | ||||||
4.73%, 07/10/2043 | 163,251 | 162,738 | ||||||
0.05%, 10/10/2045 IO (Acquired 10/28/2013, Cost $85,689) (1) | 4,988,170 | 1,966 | ||||||
Banc of America Mortgage 2003-C Trust | ||||||||
3.18%, 04/25/2033 | 24,309 | 24,505 | ||||||
Banc of America Mortgage 2003-E Trust | ||||||||
3.27%, 06/25/2033 | 174,937 | 174,068 | ||||||
Banc of America Mortgage 2004-J Trust | ||||||||
3.15%, 11/25/2034 | 93,166 | 91,051 | ||||||
Banc of America Mortgage Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 1,246 | 1,128 | ||||||
Banc of America Mortgage Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 106,706 | 107,320 | ||||||
Banc of America Mortgage Trust 2004-4 | ||||||||
0.00%, 05/25/2034 PO | 5,419 | 4,698 | ||||||
Banc of America Mortgage Trust 2004-5 | ||||||||
4.75%, 06/25/2019 | 13,396 | 13,375 | ||||||
5.50%, 06/25/2034 | 72,736 | 73,550 | ||||||
Banc of America Mortgage Trust 2004-9 | ||||||||
0.00%, 09/25/2032 PO | 423 | 389 | ||||||
6.50%, 09/25/2032 | 37,587 | 38,893 | ||||||
Banc of America Mortgage Trust 2005-1 | ||||||||
5.00%, 02/25/2020 | 65,487 | 66,468 |
Banc of America Re-REMIC Trust 2009-UBER1 | ||||||||
5.68%, 06/24/2050 (Acquired 10/28/2013, Cost $661,018) (1) | 610,040 | 615,980 | ||||||
Battalion CLO V Ltd. | ||||||||
2.13%, 04/17/2026 (Acquired 03/07/2014, Cost $9,630,742) (1) | 9,650,000 | 9,589,244 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030 (Acquired 10/28/2013, Cost $2,848,748) (1) | 2,941,000 | 3,012,908 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/05/2036 (Acquired 10/28/2013 through 12/04/2013, Cost $2,486,433) (1) | 2,602,000 | 2,769,813 | ||||||
BCAP LLC 2009-RR13-I Trust | ||||||||
5.50%, 04/26/2037 (Acquired 10/28/2013, Cost $170,436) (1) | 166,328 | 166,622 | ||||||
BCAP LLC 2009-RR14 Trust | ||||||||
2.76%, 08/26/2035 (Acquired 10/28/2013, Cost $388,545) (1) | 409,680 | 410,621 | ||||||
BCAP LLC 2009-RR5 Trust | ||||||||
5.50%, 11/26/2034 (Acquired 10/28/2013, Cost $226,927) (1) | 224,464 | 231,943 | ||||||
BCAP LLC 2010-RR12 Trust | ||||||||
2.82%, 01/26/2036 (Acquired 10/28/2013 through 02/01/2015, Cost $62,711) (1) | 62,077 | 61,453 | ||||||
2.76%, 10/26/2036 (Acquired 10/28/2013, Cost $157,237) (1) | 156,165 | 154,546 | ||||||
BCAP LLC 2010-RR5-I Trust | ||||||||
5.40%, 04/26/2037 (Acquired 10/28/2013, Cost $156,260) (1) | 156,444 | 157,716 | ||||||
BCAP LLC 2010-RR6 Trust | ||||||||
3.03%, 06/26/2036 (Acquired 10/28/2013, Cost $72,720) (1) | 70,935 | 70,634 | ||||||
BCAP LLC 2010-RR7 Trust | ||||||||
3.02%, 04/26/2035 (Acquired 10/28/2013, Cost $93,644) (1) | 95,001 | 93,964 | ||||||
2.56%, 07/26/2045 (Acquired 10/28/2013, Cost $1,359,027) (1) | 1,394,425 | 1,384,155 | ||||||
BCAP LLC 2010-RR8 Trust | ||||||||
3.08%, 05/26/2035 (Acquired 10/28/2013, Cost $613,933) (1) | 631,486 | 619,592 | ||||||
BCAP LLC 2011-RR10 Trust | ||||||||
1.39%, 09/26/2037 (Acquired 10/28/2013, Cost $988,937) (1) | 1,051,807 | 1,015,043 | ||||||
BCAP LLC 2011-RR11 Trust | ||||||||
4.00%, 08/26/2021 (Acquired 10/28/2013, Cost $92,642) (1) | 91,980 | 92,226 | ||||||
3.00%, 08/26/2022 (Acquired 10/28/2013, Cost $23,431) (1) | 23,381 | 23,341 | ||||||
BCAP LLC 2011-RR4-I Trust | ||||||||
5.00%, 08/26/2037 (Acquired 10/28/2013, Cost $819,329) (1) | 816,342 | 824,998 | ||||||
BCAP LLC 2011-RR5-I Trust | ||||||||
0.60%, 05/28/2036 (Acquired 10/28/2013, Cost $205,758) (1) | 215,667 | 214,598 | ||||||
BCAP LLC 2012-RR1 Trust | ||||||||
9.39%, 07/26/2037 (Acquired 10/28/2013, Cost $250,577) (1) | 245,718 | 256,302 | ||||||
BCAP LLC 2012-RR10-I Trust | ||||||||
0.68%, 02/26/2037 (Acquired 10/28/2013, Cost $364,488) (1) | 379,637 | 366,923 | ||||||
BCAP LLC 2012-RR3 Trust | ||||||||
2.38%, 05/26/2037 (Acquired 10/28/2013, Cost $703,790) (1) | 710,240 | 707,775 | ||||||
BCAP LLC 2012-RR4 Trust | ||||||||
0.67%, 06/26/2047 (Acquired 10/28/2013, Cost $342,561) (1) | 357,401 | 346,755 |
BCAP LLC 2015-RR1 | ||||||||
1.44%, 09/11/2038 (Acquired 03/24/2015, Cost $1,351,599) (1) | 1,428,097 | 1,326,732 | ||||||
Bear Stearns ALT-A Trust 2005-2 | ||||||||
0.95%, 03/25/2035 | 249,523 | 242,948 | ||||||
Bear Stearns ARM Trust 2003-2 | ||||||||
2.76%, 01/25/2033 (Acquired 10/28/2013, Cost $194,283) (1) | 200,516 | 201,199 | ||||||
Bear Stearns ARM Trust 2003-7 | ||||||||
2.81%, 10/25/2033 | 23,767 | 23,275 | ||||||
Bear Stearns ARM Trust 2004-2 | ||||||||
3.37%, 05/25/2034 | 105,420 | 104,539 | ||||||
Bear Stearns ARM Trust 2005-5 | ||||||||
2.38%, 08/25/2035 | 588,287 | 590,108 | ||||||
Bear Stearns ARM Trust 2006-1 | ||||||||
2.58%, 02/25/2036 | 527,038 | 513,545 | ||||||
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | ||||||||
5.00%, 05/25/2034 | 78,808 | 78,138 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.82%, 12/11/2038 IO (Acquired 10/28/2013, Cost $271,857) (1) | 19,629,955 | 29,735 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.54%, 10/12/2041 | 108,051 | 108,374 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.29%, 01/12/2045 IO (Acquired 10/28/2013, Cost $301,804) (1) | 60,428,291 | 67,160 | ||||||
CD 2006-CD3 Mortgage Trust | ||||||||
0.64%, 10/15/2048 IO (Acquired 10/28/2013, Cost $186,549) (1) | 7,332,882 | 55,274 | ||||||
CD 2007-CD4 Commercial Mortgage Trust | ||||||||
0.58%, 12/11/2049 IO (Acquired 10/28/2013, Cost $192,844) (1) | 15,191,048 | 24,075 | ||||||
5.32%, 12/11/2049 | 5,524,961 | 5,583,059 | ||||||
CGBAM Commercial Mortgage Trust 2014-HD | ||||||||
1.24%, 02/15/2031 (Acquired 05/13/2014, Cost $747,820) (1) | 747,820 | 740,988 | ||||||
Chase Mortgage Finance Trust Series 2006-A1 | ||||||||
2.76%, 09/25/2036 | 278,015 | 246,533 | ||||||
Chase Mortgage Finance Trust Series 2007-A1 | ||||||||
2.89%, 02/25/2037 | 102,822 | 101,297 | ||||||
2.90%, 02/25/2037 | 123,980 | 122,373 | ||||||
2.93%, 02/25/2037 | 29,330 | 29,250 | ||||||
3.04%, 02/25/2037 | 212,307 | 211,690 | ||||||
Chase Mortgage Finance Trust Series 2007-A2 | ||||||||
2.71%, 07/25/2037 | 133,739 | 129,589 | ||||||
3.14%, 07/25/2037 | 84,835 | 84,115 | ||||||
CHL Mortgage Pass-Through Trust 2002-18 | ||||||||
0.00%, 11/25/2032 PO | 18,047 | 15,468 |
CHL Mortgage Pass-Through Trust 2004-3 | ||||||||
5.50%, 04/25/2034 | 54,903 | 57,231 | ||||||
5.75%, 04/25/2034 | 37,406 | 38,664 | ||||||
CHL Mortgage Pass-Through Trust 2004-5 | ||||||||
5.50%, 06/25/2034 | 246,264 | 254,088 | ||||||
CHL Mortgage Pass-Through Trust 2004-7 | ||||||||
2.94%, 06/25/2034 | 17,183 | 16,766 | ||||||
CHL Mortgage Pass-Through Trust 2004-8 | ||||||||
4.50%, 06/25/2019 | 85,664 | 87,211 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
2.75%, 05/20/2034 | 32,182 | 30,403 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
2.76%, 06/20/2034 | 141,994 | 134,728 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
2.69%, 11/20/2034 | 87,840 | 83,300 | ||||||
CHL Mortgage Pass-Through Trust 2004-J8 | ||||||||
4.75%, 11/25/2019 | 9,919 | 10,053 | ||||||
CHL Mortgage Pass-Through Trust 2005-14 | ||||||||
5.50%, 07/25/2035 | 42,183 | 40,588 | ||||||
CHL Mortgage Pass-Through Trust 2005-16 | ||||||||
5.50%, 09/25/2035 | 21,789 | 20,299 | ||||||
CHL Mortgage Pass-Through Trust 2005-22 | ||||||||
2.76%, 11/25/2035 | 335,723 | 269,442 | ||||||
Citicorp Mortgage Securities Trust Series 2006-1 | ||||||||
5.00%, 02/25/2021 | 16,593 | 17,028 | ||||||
Citicorp Mortgage Securities Trust Series 2006-4 | ||||||||
6.00%, 08/25/2036 | 111,789 | 112,310 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC19 | ||||||||
3.75%, 03/10/2047 | 7,125,000 | 7,814,598 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,920,000 | 7,510,339 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/10/2047 | 12,300,000 | 13,194,264 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC29 | ||||||||
2.94%, 04/10/2048 | 10,000,000 | 10,365,007 | ||||||
Citigroup Commercial Mortgage Trust 2016-GC37 | ||||||||
3.05%, 04/10/2049 | 13,750,000 | 14,318,739 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
0.00%, 12/25/2018 PO | 1,500 | 1,364 | ||||||
3.95%, 04/25/2032 (Acquired 10/28/2013, Cost $33,155) (1) | 33,613 | 33,262 | ||||||
7.00%, 06/25/2033 | 30,559 | 30,947 | ||||||
2.74%, 09/25/2033 | 224,734 | 222,274 |
Citigroup Mortgage Loan Trust 2008-AR4 | ||||||||
2.97%, 11/25/2038 (Acquired 10/28/2013, Cost $723,974) (1) | 718,220 | 712,654 | ||||||
Citigroup Mortgage Loan Trust 2009-10 | ||||||||
2.51%, 09/25/2033 (Acquired 10/28/2013, Cost $550,695) (1) | 545,037 | 547,827 | ||||||
7.00%, 12/25/2035 (Acquired 10/28/2013, Cost $326,461) (1) | 318,674 | 326,966 | ||||||
Citigroup Mortgage Loan Trust 2009-11 | ||||||||
5.75%, 05/25/2037 (Acquired 10/28/2013, Cost $285,302) (1) | 281,022 | 284,249 | ||||||
Citigroup Mortgage Loan Trust 2009-5 | ||||||||
6.00%, 06/25/2036 (Acquired 10/28/2013, Cost $158,883) (1) | 157,104 | 158,681 | ||||||
Citigroup Mortgage Loan Trust 2009-8 | ||||||||
6.00%, 11/25/2036 (Acquired 10/28/2013, Cost $116,899) (1) | 114,106 | 116,995 | ||||||
Citigroup Mortgage Loan Trust 2010-10 | ||||||||
2.70%, 02/25/2036 (Acquired 10/28/2013, Cost $216,233) (1) | 215,030 | 215,964 | ||||||
Citigroup Mortgage Loan Trust 2010-3 | ||||||||
2.58%, 02/25/2036 (Acquired 10/28/2013, Cost $71,229) (1) | 71,069 | 70,320 | ||||||
Citigroup Mortgage Loan Trust 2010-7 | ||||||||
2.76%, 02/25/2035 (Acquired 10/28/2013, Cost $72,878) (1) | 72,278 | 71,586 | ||||||
Citigroup Mortgage Loan Trust 2010-8 | ||||||||
4.00%, 11/25/2036 (Acquired 10/28/2013, Cost $589,673) (1) | 587,193 | 588,788 | ||||||
4.50%, 12/25/2036 (Acquired 10/28/2013, Cost $839,849) (1) | 828,258 | 833,362 | ||||||
Citigroup Mortgage Loan Trust 2015-A | ||||||||
4.50%, 06/25/2058 (Acquired 03/31/2015, Cost $481,811) (1) | 488,608 | 502,420 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
0.00%, 12/25/2018 PO | 4,071 | 3,964 | ||||||
0.00%, 12/25/2018 PO | 2,358 | 2,290 | ||||||
5.50%, 12/25/2018 | 18,518 | 18,482 | ||||||
0.00%, 09/25/2033 PO | 9,861 | 8,800 | ||||||
7.00%, 09/25/2033 | 8,538 | 8,668 | ||||||
0.00%, 10/25/2033 PO | 9,941 | 8,916 | ||||||
5.25%, 10/25/2033 | 73,564 | 74,425 | ||||||
0.83%, 12/25/2033 | 54,065 | 52,126 | ||||||
2.65%, 08/25/2034 | 58,012 | 55,543 | ||||||
2.78%, 02/25/2035 | 38,277 | 30,367 | ||||||
5.50%, 05/25/2035 | 199,527 | 203,833 | ||||||
3.38%, 08/25/2035 | 117,771 | 84,471 | ||||||
5.50%, 11/25/2035 | 20,824 | 20,649 | ||||||
6.00%, 11/25/2035 | 4,891,716 | 4,419,544 | ||||||
Citigroup Commercial Mortgage Trust 2016-C1 | ||||||||
2.94%, 05/10/2049 | 10,100,000 | 10,421,126 | ||||||
COBALT CMBS Commercial Mortgage Trust 2006-C1 | ||||||||
0.94%, 08/15/2048 IO | 11,747,576 | 30,515 | ||||||
5.22%, 08/15/2048 | 324,453 | 325,400 | ||||||
5.25%, 08/15/2048 | 578,000 | 578,340 |
COMM 2012-9W57 Mortgage Trust | ||||||||
2.36%, 02/10/2029 (Acquired 10/28/2013 through 06/24/2016, Cost $10,706,986) (1) | 10,596,000 | 10,651,522 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/15/2045 | 4,035,538 | 4,345,151 | ||||||
COMM 2012-CCRE2 Mortgage Trust | ||||||||
1.90%, 08/15/2045 IO | 3,042,142 | 246,992 | ||||||
3.15%, 08/15/2045 | 9,614,464 | 10,235,706 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030 (Acquired 10/28/2013, Cost $530,827) (1) | 516,000 | 584,315 | ||||||
COMM 2013-CCRE10 Mortgage Trust | ||||||||
3.92%, 08/10/2046 | 4,125,000 | 4,569,428 | ||||||
COMM 2013-CCRE11 Mortgage Trust | ||||||||
3.98%, 10/10/2046 | 1,770,000 | 1,963,006 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/10/2046 | 7,700,000 | 8,472,703 | ||||||
COMM 2013-CCRE9 Mortgage Trust | ||||||||
4.02%, 07/10/2045 | 4,000,000 | 4,448,575 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
3.09%, 04/12/2035 (Acquired 10/28/2013, Cost $680,884) (1) | 708,000 | 743,437 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/10/2047 | 6,100,000 | 6,305,599 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/10/2047 | �� | 5,000,000 | 5,503,702 | |||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/10/2047 | 12,000,000 | 12,843,458 | ||||||
COMM 2014-PAT Mortgage Trust | ||||||||
1.25%, 08/13/2027 (Acquired 09/18/2014, Cost $1,649,000) (1) | 1,649,000 | 1,632,467 | ||||||
COMM 2014-TWC Mortgage Trust | ||||||||
1.29%, 02/13/2032 (Acquired 01/30/2014 through 08/12/2014, Cost $3,250,826) (1) | 3,250,000 | 3,229,331 | ||||||
2.05%, 02/13/2032 (Acquired 08/12/2014, Cost $1,001,825) (1) | 1,000,000 | 987,917 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/10/2047 | 11,000,000 | 11,443,153 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.43%, 08/10/2055 | 7,500,000 | 8,068,073 | ||||||
3.70%, 08/10/2055 | 770,833 | 844,366 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.51%, 08/10/2048 | 13,200,000 | 14,232,920 | ||||||
3.76%, 08/10/2048 | 4,456,000 | 4,888,977 | ||||||
COMM 2015-LC21 Mortgage Trust | ||||||||
3.71%, 07/10/2048 | 924,527 | 1,012,989 | ||||||
Commercial Mortgage Trust 2006-GG7 | ||||||||
6.06%, 07/10/2038 | 167,357 | 167,195 |
COOF Securitization Trust 2014-1 Ltd. | ||||||||
2.99%, 06/25/2040 IO (Acquired 05/16/2014, Cost $411,187) (1) | 2,699,418 | 343,833 | ||||||
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | ||||||||
0.21%, 01/15/2049 IO (Acquired 10/28/2013, Cost $70,877) (1) | 22,717,379 | 12,649 | ||||||
Credit Suisse First Boston Mortgage Securities Co. | ||||||||
4.50%, 10/25/2018 | 4,231 | 4,204 | ||||||
5.00%, 10/25/2018 | 22,463 | 22,508 | ||||||
0.00%, 08/25/2019 PO | 1,359 | 1,347 | ||||||
5.25%, 08/25/2019 | 79,299 | 80,385 | ||||||
6.74%, 02/25/2033 | 127,146 | 128,556 | ||||||
3.13%, 06/25/2033 | 68,156 | 67,392 | ||||||
5.25%, 07/25/2033 | 3,374,978 | 3,465,193 | ||||||
5.25%, 09/25/2033 | 127,519 | 130,746 | ||||||
0.00%, 10/25/2033 PO | 100,218 | 86,176 | ||||||
5.25%, 11/25/2033 | 72,965 | 73,841 | ||||||
5.25%, 11/25/2033 | 183,587 | 185,663 | ||||||
5.50%, 09/25/2034 | 113,980 | 118,976 | ||||||
5.50%, 12/25/2034 | 180,262 | 187,688 | ||||||
0.00%, 10/25/2035 PO | 27,142 | 19,046 | ||||||
5.50%, 10/25/2035 IO | 395,430 | 27,048 | ||||||
0.00%, 11/25/2035 PO | 20,399 | 12,531 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
6.00%, 01/27/2038 (Acquired 10/28/2013, Cost $144,247) (1) | 142,183 | 143,916 | ||||||
CSAIL 2015-C4 Commercial Mortgage Trust | ||||||||
3.54%, 11/15/2048 | 7,500,000 | 7,989,526 | ||||||
3.81%, 11/15/2048 | 1,027,000 | 1,131,037 | ||||||
CSMC Series 2010-11R | ||||||||
1.45%, 06/28/2047 (Acquired 10/28/2013, Cost $3,454,908) (1) | 3,582,711 | 3,435,382 | ||||||
CSMC Series 2010-17R | ||||||||
2.67%, 06/26/2036 (Acquired 10/28/2013, Cost $262,685) (1) | 257,898 | 259,593 | ||||||
CSMC Series 2011-16R | ||||||||
3.40%, 12/27/2036 (Acquired 10/28/2013, Cost $419,687) (1) | 416,138 | 416,436 | ||||||
CSMC Series 2011-6R | ||||||||
2.93%, 07/28/2036 (Acquired 10/28/2013, Cost $141,333) (1) | 142,569 | 143,222 | ||||||
CSMC Series 2012-2R | ||||||||
2.63%, 03/27/2047 (Acquired 10/28/2013 through 06/01/2014, Cost $183,985) (1) | 188,937 | 187,201 | ||||||
CSMC Series 2012-3R | ||||||||
2.50%, 07/27/2037 (Acquired 10/28/2013, Cost $352,319) (1) | 352,848 | 354,412 | ||||||
CSMC Trust 2014-USA | ||||||||
3.95%, 09/15/2037 (Acquired 10/15/2015, Cost $1,209,486) (1) | 1,145,000 | 1,252,122 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
1.15%, 07/10/2044 IO (Acquired 10/28/2013, Cost $214,676) (1) | 2,770,202 | 119,652 |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1 | ||||||||
5.82%, 02/25/2020 | 69,161 | 69,911 | ||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 | ||||||||
4.99%, 06/25/2020 | 94,956 | 94,770 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-1 | ||||||||
0.00%, 10/25/2018 PO | 1,809 | 1,777 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 | ||||||||
6.00%, 04/25/2034 | 2,060 | 2,090 | ||||||
Fannie Mae | ||||||||
3.50%, 07/15/2026 (3) | 22,330,000 | 23,658,896 | ||||||
3.00%, 07/15/2027 (3) | 29,385,000 | 30,810,058 | ||||||
3.00%, 07/15/2042 (3) | 45,815,000 | 47,543,802 | ||||||
Fannie Mae Grantor Trust 1999-T2 | ||||||||
7.50%, 01/19/2039 | 126,091 | 145,052 | ||||||
Fannie Mae Grantor Trust 2001-T3 | ||||||||
7.50%, 11/25/2040 | 174,448 | 211,553 | ||||||
Fannie Mae Grantor Trust 2002-T16 | ||||||||
7.00%, 07/25/2042 | 184,195 | 221,686 | ||||||
Fannie Mae Grantor Trust 2004-T1 | ||||||||
6.50%, 01/25/2044 | 50,745 | 61,533 | ||||||
Fannie Mae Grantor Trust 2004-T2 | ||||||||
3.63%, 07/25/2043 | 227,714 | 236,316 | ||||||
7.50%, 11/25/2043 | 379,146 | 456,764 | ||||||
Fannie Mae Grantor Trust 2004-T3 | ||||||||
9.12%, 01/25/2044 | 49,949 | 45,406 | ||||||
6.50%, 02/25/2044 | 537,644 | 614,363 | ||||||
7.00%, 02/25/2044 | 218,746 | 263,088 | ||||||
Fannie Mae Interest Strip | ||||||||
10.00%, 09/25/2017 IO | 48 | 2 | ||||||
4.50%, 07/25/2018 IO | 26,863 | 846 | ||||||
4.50%, 08/25/2018 IO | 37,588 | 917 | ||||||
5.50%, 08/25/2018 IO | 19,389 | 598 | ||||||
10.50%, 03/25/2019 IO | 76 | 6 | ||||||
4.50%, 11/25/2020 IO | 6,776 | 312 | ||||||
7.50%, 04/25/2023 IO | 1,726 | 316 | ||||||
9.00%, 03/25/2024 | 1,300 | 1,570 | ||||||
0.00%, 09/25/2024 PO | 132,209 | 123,459 | ||||||
0.00%, 01/25/2033 PO | 18,076 | 16,755 | ||||||
5.00%, 12/25/2033 IO | 23,362 | 4,254 | ||||||
5.50%, 05/25/2036 IO | 97,324 | 18,274 | ||||||
5.50%, 08/25/2036 IO | 64,275 | 12,339 | ||||||
5.50%, 04/25/2037 IO | 27,608 | 4,623 |
6.00%, 01/25/2038 IO | 65,377 | 11,173 | ||||||
0.95%, 08/25/2042 | 1,146,011 | 1,136,257 | ||||||
1.00%, 08/25/2042 | 3,274,237 | 3,257,740 | ||||||
Fannie Mae Pool | ||||||||
1.94%, 01/01/2017 | 483,009 | 482,828 | ||||||
5.50%, 03/01/2017 | 1,791 | 1,807 | ||||||
6.50%, 03/01/2017 | 530 | 533 | ||||||
7.00%, 03/01/2017 | 361 | 363 | ||||||
7.00%, 03/01/2017 | 702 | 706 | ||||||
7.50%, 03/01/2017 | 65 | 65 | ||||||
5.24%, 05/01/2017 | 878,575 | 894,771 | ||||||
7.00%, 05/01/2017 | 656 | 665 | ||||||
7.00%, 06/01/2017 | 421 | 424 | ||||||
7.00%, 06/01/2017 | 540 | 544 | ||||||
3.39%, 08/01/2017 | 274,000 | 279,161 | ||||||
6.00%, 08/01/2017 | 799 | 805 | ||||||
6.50%, 08/01/2017 | 667 | 676 | ||||||
5.50%, 09/01/2017 | 2,441 | 2,477 | ||||||
7.00%, 09/01/2017 | 1,049 | 1,069 | ||||||
2.49%, 10/01/2017 | 449,575 | 455,142 | ||||||
2.62%, 10/01/2017 | 599,000 | 607,155 | ||||||
2.69%, 10/01/2017 | 385,613 | 391,070 | ||||||
5.90%, 10/01/2017 | 2,251,161 | 2,369,739 | ||||||
6.50%, 10/01/2017 | 997 | 1,004 | ||||||
6.00%, 11/01/2017 | 10,374 | 10,503 | ||||||
6.00%, 11/01/2017 | 1,048 | 1,062 | ||||||
6.50%, 11/01/2017 | 341 | 342 | ||||||
7.00%, 11/01/2017 | 56 | 57 | ||||||
3.38%, 01/01/2018 | 1,032,000 | 1,057,994 | ||||||
3.52%, 01/01/2018 | 625,855 | 642,787 | ||||||
3.63%, 01/01/2018 | 310,000 | 318,822 | ||||||
5.50%, 02/01/2018 | 11,104 | 11,394 | ||||||
5.50%, 02/01/2018 | 19,471 | 19,892 | ||||||
3.80%, 03/01/2018 | 568,846 | 588,409 | ||||||
6.00%, 03/01/2018 | 2,578 | 2,609 | ||||||
6.50%, 03/01/2018 | 923 | 926 | ||||||
5.00%, 04/01/2018 | 7,574 | 7,791 | ||||||
4.50%, 05/01/2018 | 4,069 | 4,173 | ||||||
5.00%, 05/01/2018 | 11,590 | 11,923 | ||||||
5.00%, 05/01/2018 | 24,029 | 24,714 | ||||||
6.00%, 05/01/2018 | 3,267 | 3,354 | ||||||
9.00%, 05/01/2018 | 347 | 351 |
3.64%, 06/01/2018 | 688,838 | 715,481 | ||||||
3.74%, 06/01/2018 | 1,873,112 | 1,941,191 | ||||||
4.50%, 06/01/2018 | 5,578 | 5,721 | ||||||
5.00%, 06/01/2018 | 25,601 | 26,330 | ||||||
5.00%, 06/01/2018 | 18,253 | 18,750 | ||||||
5.00%, 06/01/2018 | 4,863 | 5,000 | ||||||
5.00%, 07/01/2018 | 30,050 | 30,925 | ||||||
4.50%, 08/01/2018 | 5,804 | 5,960 | ||||||
5.00%, 08/01/2018 | 15,411 | 15,827 | ||||||
5.00%, 09/01/2018 | 22,268 | 22,918 | ||||||
4.50%, 10/01/2018 | 12,794 | 13,121 | ||||||
5.00%, 10/01/2018 | 13,191 | 13,553 | ||||||
5.00%, 10/01/2018 | 14,201 | 14,594 | ||||||
4.50%, 11/01/2018 | 23,338 | 23,963 | ||||||
5.00%, 11/01/2018 | 3,646 | 3,769 | ||||||
5.00%, 11/01/2018 | 13,675 | 14,047 | ||||||
5.00%, 11/01/2018 | 31,549 | 32,501 | ||||||
6.07%, 11/01/2018 | 583,395 | 604,273 | ||||||
3.04%, 12/01/2018 | 1,238,000 | 1,294,952 | ||||||
5.00%, 12/01/2018 | 214 | 220 | ||||||
5.00%, 12/01/2018 | 66,388 | 68,276 | ||||||
9.50%, 12/01/2018 | 808 | 848 | ||||||
1.88%, 01/01/2019 | 340 | 352 | ||||||
6.00%, 01/01/2019 | 5,336 | 5,427 | ||||||
0.99%, 02/01/2019 | 4,684,996 | 4,674,973 | ||||||
2.19%, 03/01/2019 | 792 | 808 | ||||||
4.50%, 03/01/2019 | 18,785 | 19,299 | ||||||
6.00%, 03/01/2019 | 13,541 | 13,822 | ||||||
2.14%, 04/01/2019 | 1,974,068 | 2,023,358 | ||||||
3.50%, 04/01/2019 | 18,876 | 20,013 | ||||||
5.00%, 04/01/2019 | 61,385 | 63,752 | ||||||
5.00%, 04/01/2019 | 1,324 | 1,360 | ||||||
10.50%, 04/15/2019 | 3,456 | 3,716 | ||||||
2.19%, 05/01/2019 | 953,893 | 979,537 | ||||||
4.50%, 05/01/2019 | 5,221 | 5,364 | ||||||
2.45%, 06/01/2019 | 1,593,305 | 1,647,468 | ||||||
4.50%, 06/01/2019 | 40,449 | 41,554 | ||||||
1.94%, 07/01/2019 | 1,295,785 | 1,324,180 | ||||||
2.20%, 07/01/2019 | 723,424 | 744,041 | ||||||
2.37%, 07/01/2019 | 1,548,000 | 1,611,080 | ||||||
5.50%, 07/01/2019 | 49,231 | 51,350 | ||||||
6.00%, 07/01/2019 | 2,701 | 2,743 |
2.03%, 08/01/2019 | 239,717 | 248,009 | ||||||
2.63%, 08/01/2019 | 105 | 105 | ||||||
5.50%, 08/01/2019 | 54,610 | 56,980 | ||||||
5.00%, 09/01/2019 | 1,660 | 1,719 | ||||||
5.50%, 09/01/2019 | 40,353 | 42,365 | ||||||
9.00%, 09/01/2019 | 47 | 47 | ||||||
5.00%, 10/01/2019 | 11,862 | 12,372 | ||||||
6.00%, 10/01/2019 | 12,776 | 13,163 | ||||||
4.13%, 11/01/2019 | 877,000 | 954,136 | ||||||
4.24%, 11/01/2019 | 344,573 | 374,920 | ||||||
4.50%, 11/01/2019 | 16,047 | 16,474 | ||||||
4.50%, 11/01/2019 | 27,452 | 28,164 | ||||||
4.50%, 11/01/2019 | 8,880 | 9,135 | ||||||
1.47%, 12/01/2019 | 805,641 | 813,297 | ||||||
1.69%, 12/01/2019 | 1,032,000 | 1,049,606 | ||||||
4.18%, 12/01/2019 | 463,927 | 504,711 | ||||||
4.26%, 12/01/2019 | 932,155 | 1,016,583 | ||||||
4.50%, 12/01/2019 | 27,812 | 28,619 | ||||||
4.51%, 12/01/2019 | 2,000,594 | 2,187,198 | ||||||
4.28%, 01/01/2020 | 1,844,188 | 1,996,711 | ||||||
4.54%, 01/01/2020 | 328,424 | 360,458 | ||||||
5.50%, 01/01/2020 | 104,042 | 108,438 | ||||||
4.37%, 02/01/2020 | 1,132,773 | 1,242,352 | ||||||
4.40%, 02/01/2020 | 6,347,000 | 6,985,213 | ||||||
4.40%, 02/01/2020 | 289,000 | 317,923 | ||||||
5.50%, 03/01/2020 | 16,777 | 17,303 | ||||||
6.00%, 03/01/2020 | 11,157 | 11,664 | ||||||
4.00%, 04/01/2020 | 6,903 | 7,018 | ||||||
4.35%, 04/01/2020 | 1,464,876 | 1,611,269 | ||||||
4.38%, 04/01/2020 | 1,648,556 | 1,811,285 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,548,938 | ||||||
5.50%, 06/01/2020 | 33,415 | 34,965 | ||||||
5.50%, 06/01/2020 | 122,429 | 125,983 | ||||||
3.74%, 07/01/2020 | 561,669 | 608,523 | ||||||
3.93%, 07/01/2020 | 1,460,196 | 1,591,395 | ||||||
3.95%, 07/01/2020 | 826,000 | 901,044 | ||||||
3.95%, 07/01/2020 | 702,521 | 768,704 | ||||||
4.07%, 07/01/2020 | 3,107,406 | 3,399,214 | ||||||
5.50%, 07/01/2020 | 27,378 | 28,187 | ||||||
3.89%, 08/01/2020 | 1,209,025 | 1,319,250 | ||||||
3.96%, 08/01/2020 | 975,061 | 1,066,837 | ||||||
4.30%, 08/01/2020 | 470,345 | 481,687 |
6.50%, 08/01/2020 | 4,986 | 5,239 | ||||||
3.43%, 09/01/2020 | 936,027 | 1,009,594 | ||||||
3.60%, 09/01/2020 | 188,489 | 204,581 | ||||||
3.85%, 09/01/2020 | 1,701,386 | 1,859,059 | ||||||
3.29%, 10/01/2020 | 789,587 | 848,620 | ||||||
3.36%, 10/01/2020 | 817,517 | 880,437 | ||||||
3.50%, 10/01/2020 | 1,130,162 | 1,223,407 | ||||||
3.54%, 10/01/2020 | 991,000 | 1,074,411 | ||||||
3.59%, 10/01/2020 | 1,496,985 | 1,626,650 | ||||||
3.92%, 10/01/2020 | 689,464 | 754,121 | ||||||
3.23%, 11/01/2020 | 581,304 | 622,851 | ||||||
3.27%, 11/01/2020 | 778,437 | 837,051 | ||||||
3.35%, 11/01/2020 | 638,535 | 686,579 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,592,094 | ||||||
3.48%, 12/01/2020 | 870,728 | 942,214 | ||||||
3.54%, 12/01/2020 | 853,541 | 923,249 | ||||||
3.70%, 12/01/2020 | 374,046 | 407,025 | ||||||
3.83%, 12/01/2020 | 892,840 | 976,421 | ||||||
3.56%, 01/01/2021 | 2,093,972 | 2,274,164 | ||||||
3.77%, 01/01/2021 | 1,181,942 | 1,294,816 | ||||||
3.87%, 01/01/2021 | 1,169,051 | 1,283,428 | ||||||
3.93%, 01/01/2021 | 399,136 | 438,559 | ||||||
4.05%, 01/01/2021 | 482,000 | 532,162 | ||||||
4.28%, 01/01/2021 | 704,506 | 779,470 | ||||||
4.45%, 01/01/2021 | 420,362 | 470,165 | ||||||
4.64%, 01/01/2021 | 1,254,819 | 1,414,460 | ||||||
4.33%, 02/01/2021 | 492,734 | 550,168 | ||||||
4.16%, 03/01/2021 | 1,707,457 | 1,895,206 | ||||||
6.00%, 03/01/2021 | 39,594 | 42,445 | ||||||
8.00%, 03/01/2021 | 67 | 68 | ||||||
4.25%, 04/01/2021 | 784,000 | 875,859 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,152,916 | ||||||
4.30%, 04/01/2021 | 296,601 | 330,764 | ||||||
4.33%, 04/01/2021 | 719,459 | 799,387 | ||||||
6.00%, 04/01/2021 | 13,791 | 14,678 | ||||||
6.00%, 04/01/2021 | 70,864 | 73,335 | ||||||
4.36%, 05/01/2021 | 1,504,289 | 1,684,199 | ||||||
4.39%, 05/01/2021 | 756,848 | 847,264 | ||||||
3.97%, 06/01/2021 | 628,690 | 694,435 | ||||||
4.02%, 06/01/2021 | 691,000 | 767,014 | ||||||
4.10%, 06/01/2021 | 676,630 | 750,447 | ||||||
4.19%, 06/01/2021 | 543,686 | 605,194 |
4.24%, 06/01/2021 | 1,700,315 | 1,896,823 | ||||||
4.26%, 06/01/2021 | 719,765 | 796,650 | ||||||
4.30%, 06/01/2021 | 1,246,315 | 1,395,790 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 2,089,484 | ||||||
4.48%, 06/01/2021 | 929,000 | 1,049,458 | ||||||
3.86%, 07/01/2021 | 953,223 | 1,049,698 | ||||||
3.89%, 07/01/2021 | 913,000 | 1,006,982 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,144,107 | ||||||
3.99%, 07/01/2021 | 530,702 | 586,891 | ||||||
4.06%, 07/01/2021 | 998,000 | 1,107,538 | ||||||
4.26%, 07/01/2021 | 2,252,000 | 2,519,265 | ||||||
4.31%, 07/01/2021 | 928,816 | 1,042,469 | ||||||
6.00%, 07/01/2021 | 7,482 | 7,827 | ||||||
4.05%, 08/01/2021 | 177,264 | 196,668 | ||||||
4.13%, 08/01/2021 | 776,682 | 864,098 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 3,218,660 | ||||||
6.00%, 08/01/2021 | 86,012 | 91,018 | ||||||
3.77%, 09/01/2021 | 2,776,000 | 3,051,034 | ||||||
3.78%, 09/01/2021 | 725,448 | 797,872 | ||||||
3.85%, 09/01/2021 | 859,027 | 947,687 | ||||||
3.88%, 09/01/2021 | 1,713,488 | 1,886,160 | ||||||
3.89%, 09/01/2021 | 1,445,000 | 1,597,342 | ||||||
3.92%, 09/01/2021 | 653,577 | 722,675 | ||||||
3.31%, 10/01/2021 | 1,677,612 | 1,812,205 | ||||||
3.40%, 10/01/2021 | 348,011 | 377,353 | ||||||
4.07%, 10/01/2021 | 1,786,078 | 1,988,775 | ||||||
3.43%, 11/01/2021 | 989,142 | 1,073,805 | ||||||
5.00%, 11/01/2021 | 157,668 | 163,236 | ||||||
3.03%, 12/01/2021 | 949,054 | 1,014,449 | ||||||
3.31%, 12/01/2021 | 383,631 | 415,055 | ||||||
3.42%, 12/01/2021 | 5,087,858 | 5,586,882 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,719,561 | ||||||
6.00%, 12/01/2021 | 41,181 | 43,984 | ||||||
2.97%, 01/01/2022 | 760,926 | 811,642 | ||||||
3.03%, 01/01/2022 | 875,738 | 935,411 | ||||||
3.09%, 01/01/2022 | 1,329,760 | 1,426,275 | ||||||
3.12%, 01/01/2022 | 1,238,000 | 1,331,376 | ||||||
3.20%, 01/01/2022 | 826,000 | 890,870 | ||||||
2.99%, 02/01/2022 | 285,561 | 305,078 | ||||||
3.06%, 02/01/2022 | 863,000 | 927,820 | ||||||
3.09%, 02/01/2022 | 1,092,938 | 1,172,898 | ||||||
3.14%, 02/01/2022 | 476,752 | 512,383 |
1.24%, 03/01/2022 | 944,437 | 943,563 | ||||||
2.75%, 03/01/2022 | 955,111 | 1,009,324 | ||||||
3.08%, 03/01/2022 | 418,437 | 449,106 | ||||||
3.14%, 03/01/2022 | 296,737 | 319,132 | ||||||
3.21%, 03/01/2022 | 310,000 | 335,658 | ||||||
2.70%, 04/01/2022 | 1,618,176 | 1,705,046 | ||||||
3.08%, 04/01/2022 | 989,433 | 1,064,277 | ||||||
3.73%, 04/01/2022 | 2,424,926 | 2,682,706 | ||||||
6.50%, 04/01/2022 | 31,666 | 34,049 | ||||||
2.77%, 05/01/2022 | 1,651,000 | 1,749,486 | ||||||
2.86%, 05/01/2022 | 1,439,690 | 1,530,919 | ||||||
2.90%, 05/01/2022 | 960,054 | 1,022,883 | ||||||
2.94%, 05/01/2022 | 1,055,140 | 1,126,356 | ||||||
3.02%, 05/01/2022 | 666,379 | 714,281 | ||||||
3.10%, 05/01/2022 | 784,574 | 844,592 | ||||||
3.12%, 05/01/2022 | 961,544 | 1,035,505 | ||||||
6.50%, 05/01/2022 | 7,345 | 8,453 | ||||||
2.60%, 06/01/2022 | 852,453 | 895,926 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,701,918 | ||||||
2.67%, 07/01/2022 | 624,000 | 656,998 | ||||||
2.69%, 07/01/2022 | 1,006,188 | 1,061,998 | ||||||
2.71%, 07/01/2022 | 1,000,000 | 1,056,756 | ||||||
2.82%, 07/01/2022 | 1,095,393 | 1,163,197 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,088,522 | ||||||
2.47%, 09/01/2022 | 383,437 | 400,052 | ||||||
4.03%, 09/01/2022 | 1,214,701 | 1,375,399 | ||||||
2.39%, 10/01/2022 | 653,143 | 680,542 | ||||||
2.52%, 10/01/2022 | 980,684 | 1,026,129 | ||||||
2.57%, 10/01/2022 | 606,913 | 636,843 | ||||||
2.64%, 10/01/2022 | 676,046 | 711,816 | ||||||
2.37%, 11/01/2022 | 481,773 | 501,538 | ||||||
2.38%, 11/01/2022 | 872,425 | 908,758 | ||||||
2.41%, 11/01/2022 | 604,164 | 628,585 | ||||||
2.44%, 11/01/2022 | 830,488 | 865,428 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,459,413 | ||||||
2.47%, 11/01/2022 | 516,000 | 538,202 | ||||||
2.55%, 11/01/2022 | 1,263,784 | 1,324,793 | ||||||
2.55%, 11/01/2022 | 403,696 | 423,184 | ||||||
7.50%, 11/01/2022 | 2,291 | 2,476 | ||||||
2.24%, 12/01/2022 | 652,750 | 674,871 | ||||||
2.28%, 12/01/2022 | 1,035,894 | 1,073,334 | ||||||
2.32%, 12/01/2022 | 384,407 | 399,130 |
2.34%, 12/01/2022 | 2,384,142 | 2,478,450 | ||||||
2.38%, 12/01/2022 | 501,811 | 522,796 | ||||||
2.39%, 12/01/2022 | 1,066,469 | 1,111,626 | ||||||
2.40%, 12/01/2022 | 1,632,000 | 1,695,070 | ||||||
2.42%, 12/01/2022 | 1,182,961 | 1,231,644 | ||||||
2.66%, 12/01/2022 | 1,500,000 | 1,611,567 | ||||||
6.50%, 12/01/2022 | 30,751 | 35,390 | ||||||
0.79%, 01/01/2023 | 4,372,450 | 4,370,078 | ||||||
0.83%, 01/01/2023 | 777,237 | 782,258 | ||||||
2.15%, 01/01/2023 | 492,113 | 506,276 | ||||||
2.33%, 01/01/2023 | 1,729,422 | 1,797,026 | ||||||
2.34%, 01/01/2023 | 1,381,897 | 1,436,682 | ||||||
2.37%, 01/01/2023 | 1,111,024 | 1,156,920 | ||||||
2.45%, 01/01/2023 | 738,814 | 770,608 | ||||||
2.51%, 01/01/2023 | 949,000 | 991,185 | ||||||
2.60%, 01/01/2023 | 778,792 | 818,961 | ||||||
0.82%, 02/01/2023 | 1,135,000 | 1,138,629 | ||||||
2.40%, 02/01/2023 | 1,465,000 | 1,521,856 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,344,331 | ||||||
6.00%, 02/01/2023 | 349,791 | 385,063 | ||||||
2.49%, 03/01/2023 | 808,203 | 843,668 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,506,876 | ||||||
2.64%, 04/01/2023 | 356,704 | 374,066 | ||||||
2.70%, 04/01/2023 | 636,478 | 671,773 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,465,282 | ||||||
2.54%, 05/01/2023 | 310,000 | 324,787 | ||||||
5.00%, 05/01/2023 | 29,402 | 31,570 | ||||||
2.42%, 06/01/2023 | 908,403 | 944,690 | ||||||
2.76%, 06/01/2023 | 1,912,782 | 2,020,068 | ||||||
2.77%, 06/01/2023 | 929,000 | 983,288 | ||||||
2.64%, 07/01/2023 | 413,000 | 433,986 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,396,914 | ||||||
3.74%, 07/01/2023 | 568,000 | 632,321 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,252,790 | ||||||
4.18%, 09/01/2023 | 1,420,174 | 1,621,887 | ||||||
3.76%, 10/01/2023 | 978,328 | 1,091,218 | ||||||
3.38%, 12/01/2023 | 2,500,000 | 2,743,079 | ||||||
3.50%, 12/01/2023 | 2,234,000 | 2,461,746 | ||||||
3.45%, 01/01/2024 | 1,800,000 | 1,979,240 | ||||||
6.00%, 01/01/2024 | 94,621 | 104,294 | ||||||
6.00%, 01/01/2024 | 269,532 | 295,983 | ||||||
7.00%, 01/01/2024 | 594 | 664 |
6.50%, 02/01/2024 | 132,897 | 146,714 | ||||||
10.00%, 02/01/2024 | 655 | 658 | ||||||
3.32%, 05/01/2024 | 2,500,000 | 2,733,501 | ||||||
8.00%, 05/01/2024 | 740 | 828 | ||||||
6.00%, 07/01/2024 | 64,077 | 71,196 | ||||||
6.50%, 07/01/2024 | 66,915 | 77,010 | ||||||
8.50%, 07/01/2024 | 1,678 | 1,965 | ||||||
5.00%, 08/01/2024 | 102,263 | 109,786 | ||||||
0.92%, 09/01/2024 | 3,747,146 | 3,756,332 | ||||||
7.50%, 10/01/2024 | 737 | 832 | ||||||
0.81%, 12/01/2024 | 5,000,000 | 5,012,233 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 2,118,814 | ||||||
2.92%, 12/01/2024 | 1,000,000 | 1,060,557 | ||||||
3.08%, 12/01/2024 | 1,977,750 | 2,133,056 | ||||||
3.11%, 12/01/2024 | 2,500,000 | 2,687,061 | ||||||
2.93%, 01/01/2025 | 1,987,727 | 2,107,989 | ||||||
2.99%, 01/01/2025 | 1,580,000 | 1,682,620 | ||||||
3.64%, 01/01/2025 | 568,732 | 629,823 | ||||||
0.82%, 03/01/2025 | 3,891,134 | 3,899,195 | ||||||
2.70%, 04/01/2025 | 5,000,000 | 5,231,427 | ||||||
6.50%, 04/01/2025 | 9,546 | 10,987 | ||||||
2.68%, 05/01/2025 | 1,964,746 | 2,052,503 | ||||||
8.50%, 05/01/2025 | 80 | 81 | ||||||
5.50%, 07/01/2025 | 115,609 | 129,744 | ||||||
3.10%, 09/01/2025 | 5,000,000 | 5,374,503 | ||||||
3.77%, 12/01/2025 | 3,500,000 | 3,946,642 | ||||||
3.50%, 01/01/2026 | 593,073 | 632,034 | ||||||
7.00%, 04/01/2026 | 6,355 | 6,765 | ||||||
6.00%, 07/01/2026 | 64,098 | 73,200 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,277,227 | ||||||
3.29%, 08/01/2026 | 1,500,000 | 1,640,678 | ||||||
4.55%, 08/01/2026 | 1,052,649 | 1,234,942 | ||||||
4.76%, 08/01/2026 | 1,057,692 | 1,266,828 | ||||||
4.77%, 08/01/2026 | 672,855 | 806,120 | ||||||
6.50%, 08/01/2026 | 114,133 | 133,111 | ||||||
3.25%, 09/01/2026 | 1,500,000 | 1,637,803 | ||||||
3.24%, 10/01/2026 | 1,945,420 | 2,118,237 | ||||||
3.12%, 11/01/2026 | 1,000,000 | 1,081,555 | ||||||
3.29%, 11/01/2026 | 2,000,000 | 2,187,122 | ||||||
3.14%, 12/01/2026 | 1,948,340 | 2,106,623 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,630,119 | ||||||
3.26%, 12/01/2026 | 1,000,000 | 1,092,191 |
4.66%, 12/01/2026 | 1,150,489 | 1,374,397 | ||||||
3.12%, 02/01/2027 | 1,492,181 | 1,613,294 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,644,608 | ||||||
2.91%, 03/01/2027 | 10,000,000 | 10,627,509 | ||||||
3.50%, 03/01/2027 | 3,823,835 | 4,059,207 | ||||||
8.00%, 03/01/2027 | 8,011 | 9,156 | ||||||
3.00%, 04/01/2027 | 1,024,230 | 1,075,668 | ||||||
3.03%, 04/01/2027 | 1,500,000 | 1,602,185 | ||||||
2.79%, 05/01/2027 | 2,000,000 | 2,097,791 | ||||||
2.81%, 05/01/2027 | 2,000,000 | 2,092,761 | ||||||
2.83%, 05/01/2027 | 8,000,000 | 8,418,971 | ||||||
3.00%, 05/01/2027 | 6,128,465 | 6,437,719 | ||||||
3.00%, 06/01/2027 | 2,000,000 | 2,130,807 | ||||||
8.00%, 06/01/2027 | 8,962 | 10,296 | ||||||
2.50%, 07/01/2027 (3) | 45,505,000 | 47,079,901 | ||||||
3.50%, 07/01/2027 | 4,690,117 | 4,978,349 | ||||||
6.00%, 07/01/2027 | 82,422 | 94,126 | ||||||
2.50%, 09/01/2027 | 791,390 | 821,225 | ||||||
2.58%, 09/01/2027 | 8,390 | 8,922 | ||||||
7.00%, 09/01/2027 | 1,262 | 1,495 | ||||||
6.00%, 11/01/2027 | 35,840 | 40,929 | ||||||
2.50%, 12/01/2027 | 1,839,164 | 1,908,381 | ||||||
6.00%, 12/01/2027 | 112,254 | 128,193 | ||||||
6.00%, 01/01/2028 | 177,291 | 202,466 | ||||||
2.50%, 03/01/2028 | 6,275,790 | 6,513,124 | ||||||
2.50%, 04/01/2028 | 7,424,745 | 7,705,131 | ||||||
5.00%, 05/01/2028 | 39,998 | 44,369 | ||||||
8.00%, 06/01/2028 | 5,006 | 5,717 | ||||||
9.50%, 07/01/2028 | 1,377 | 1,494 | ||||||
2.57%, 07/25/2028 | 5,400,000 | 5,442,174 | ||||||
3.00%, 08/01/2028 | 2,448,533 | 2,571,996 | ||||||
3.00%, 09/01/2028 | 3,520,877 | 3,713,979 | ||||||
8.00%, 09/01/2028 | 13,932 | 16,473 | ||||||
2.50%, 10/01/2028 | 836,333 | 867,926 | ||||||
6.00%, 10/01/2028 | 146,880 | 167,737 | ||||||
8.00%, 11/01/2028 | 42,438 | 52,881 | ||||||
3.00%, 12/01/2028 | 1,518,589 | 1,593,102 | ||||||
6.00%, 12/01/2028 | 4,731 | 5,403 | ||||||
6.00%, 01/01/2029 | 6,792 | 7,814 | ||||||
7.00%, 01/01/2029 | 9,314 | 10,433 | ||||||
3.80%, 03/01/2029 | 5,147 | 5,456 | ||||||
6.50%, 03/01/2029 | 23,062 | 26,634 |
4.50%, 08/01/2029 | 322,196 | 351,441 | ||||||
4.50%, 09/01/2029 | 362,031 | 394,892 | ||||||
6.00%, 09/01/2029 | 99,485 | 113,612 | ||||||
3.63%, 10/01/2029 | 1,470,105 | 1,636,681 | ||||||
6.50%, 11/01/2029 | 903,515 | 1,057,424 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,668,468 | ||||||
8.50%, 02/01/2030 | 1,567 | 1,582 | ||||||
2.50%, 04/01/2030 | 3,555,399 | 3,693,354 | ||||||
3.03%, 04/01/2030 | 3,500,000 | 3,723,763 | ||||||
3.08%, 04/01/2030 | 2,000,000 | 2,130,818 | ||||||
2.50%, 05/01/2030 | 4,395,951 | 4,553,055 | ||||||
2.92%, 05/01/2030 | 4,000,000 | 4,163,828 | ||||||
2.94%, 05/01/2030 | 2,500,000 | 2,624,727 | ||||||
2.96%, 06/01/2030 | 2,032,619 | 2,140,377 | ||||||
3.13%, 06/01/2030 | 1,000,000 | 1,059,562 | ||||||
3.20%, 06/01/2030 | 1,000,000 | 1,076,386 | ||||||
3.30%, 07/01/2030 | 1,005,000 | 1,095,223 | ||||||
3.34%, 07/01/2030 | 1,500,000 | 1,638,333 | ||||||
3.39%, 09/01/2030 | 1,976,262 | 2,156,901 | ||||||
3.26%, 10/01/2030 | 5,192,921 | 5,615,077 | ||||||
3.00%, 11/01/2030 | 3,845,369 | 4,061,990 | ||||||
3.00%, 11/01/2030 | 3,848,896 | 4,063,175 | ||||||
9.00%, 12/01/2030 | 1,409 | 1,423 | ||||||
3.00%, 02/01/2031 | 17,065,435 | 17,902,795 | ||||||
5.00%, 04/01/2031 | 201,165 | 227,823 | ||||||
6.50%, 08/01/2031 | 22,278 | 25,639 | ||||||
4.00%, 11/01/2031 | 8,742,753 | 9,466,459 | ||||||
6.50%, 02/01/2032 | 96,574 | 113,222 | ||||||
7.00%, 06/01/2032 | 5,768 | 6,201 | ||||||
3.50%, 07/01/2032 | 195,861 | 208,603 | ||||||
7.00%, 08/01/2032 | 2,735 | 2,928 | ||||||
5.50%, 11/01/2032 | 70,569 | 80,510 | ||||||
3.50%, 12/01/2032 | 531,220 | 565,479 | ||||||
5.00%, 12/01/2032 | 2,557 | 2,757 | ||||||
6.00%, 12/01/2032 | 255,092 | 295,103 | ||||||
6.00%, 12/01/2032 | 35,576 | 41,281 | ||||||
3.50%, 02/01/2033 | 932,167 | 992,288 | ||||||
5.50%, 02/01/2033 | 3,977 | 4,503 | ||||||
7.00%, 02/01/2033 | 1,818 | 1,979 | ||||||
5.50%, 03/01/2033 | 137,406 | 158,245 | ||||||
6.00%, 03/01/2033 | 6,902 | 7,976 | ||||||
6.00%, 03/01/2033 | 3,227 | 3,685 |
6.00%, 03/01/2033 | 4,606 | 5,291 | ||||||
6.00%, 03/01/2033 | 8,252 | 9,445 | ||||||
6.00%, 03/01/2033 | 9,046 | 10,494 | ||||||
5.50%, 04/01/2033 | 96,342 | 109,275 | ||||||
6.00%, 05/01/2033 | 32,465 | 38,168 | ||||||
3.50%, 06/01/2033 | 334,149 | 355,840 | ||||||
5.00%, 06/01/2033 | 28,940 | 32,567 | ||||||
7.00%, 06/01/2033 | 161,325 | 194,929 | ||||||
5.00%, 07/01/2033 | 38,771 | 43,629 | ||||||
5.00%, 07/01/2033 | 26,425 | 29,585 | ||||||
5.50%, 07/01/2033 | 26,185 | 29,537 | ||||||
2.51%, 08/01/2033 | 52,100 | 54,546 | ||||||
6.00%, 08/01/2033 | 13,988 | 16,232 | ||||||
2.22%, 09/01/2033 | 66,668 | 68,965 | ||||||
2.69%, 09/01/2033 | 27,871 | 29,786 | ||||||
5.50%, 09/01/2033 | 373,197 | 423,114 | ||||||
6.00%, 09/01/2033 | 16,063 | 18,095 | ||||||
6.00%, 09/01/2033 | 23,350 | 27,331 | ||||||
3.50%, 10/01/2033 | 17,781,650 | 18,912,922 | ||||||
4.50%, 10/01/2033 | 9,163,743 | 10,063,215 | ||||||
2.36%, 11/01/2033 | 51,532 | 54,690 | ||||||
4.50%, 11/01/2033 | 33,236 | 36,418 | ||||||
5.00%, 11/01/2033 | 9,239 | 10,311 | ||||||
5.00%, 11/01/2033 | 81,932 | 91,444 | ||||||
5.00%, 11/01/2033 | 6,584,119 | 7,347,744 | ||||||
5.50%, 11/01/2033 | 6,029 | 6,840 | ||||||
4.00%, 12/01/2033 | 90,736 | 97,602 | ||||||
5.50%, 12/01/2033 | 139,388 | 161,423 | ||||||
2.28%, 01/01/2034 | 3,517 | 3,525 | ||||||
2.55%, 01/01/2034 | 21,316 | 22,374 | ||||||
5.50%, 01/01/2034 | 12,684 | 14,639 | ||||||
5.50%, 03/01/2034 | 14,225 | 16,378 | ||||||
2.64%, 04/01/2034 | 18,040 | 18,435 | ||||||
5.00%, 04/01/2034 | 188,313 | 213,503 | ||||||
5.00%, 05/01/2034 | 55,430 | 62,627 | ||||||
2.91%, 06/01/2034 | 80,750 | 85,527 | ||||||
2.42%, 07/01/2034 | 7,668 | 8,173 | ||||||
5.50%, 07/01/2034 | 804,829 | 914,232 | ||||||
1.86%, 08/01/2034 | 41,282 | 42,332 | ||||||
2.40%, 08/01/2034 | 34,063 | 35,891 | ||||||
2.50%, 08/01/2034 | 11,509 | 12,205 | ||||||
2.32%, 09/01/2034 | 8,160 | 8,631 |
4.50%, 09/01/2034 | 49,501 | 54,243 | ||||||
5.50%, 09/01/2034 | 976,079 | 1,108,477 | ||||||
2.24%, 10/01/2034 | 31,965 | 33,864 | ||||||
2.65%, 10/01/2034 | 64,698 | 68,636 | ||||||
5.50%, 10/01/2034 | 35,334 | 37,008 | ||||||
2.35%, 11/01/2034 | 19,051 | 20,125 | ||||||
2.49%, 11/01/2034 | 31,623 | 33,556 | ||||||
3.57%, 11/01/2034 | 1,447,969 | 1,566,300 | ||||||
3.61%, 11/01/2034 | 1,462,772 | 1,590,757 | ||||||
5.50%, 11/01/2034 | 109,304 | 124,001 | ||||||
6.00%, 11/01/2034 | 9,228 | 10,660 | ||||||
5.00%, 12/01/2034 | 492,239 | 549,252 | ||||||
5.00%, 12/01/2034 | 49,714 | 55,475 | ||||||
5.50%, 12/01/2034 | 6,680,767 | 7,591,364 | ||||||
2.29%, 01/01/2035 | 460,898 | 480,181 | ||||||
2.45%, 01/01/2035 | 16,413 | 17,315 | ||||||
5.00%, 01/01/2035 | 44,500 | 50,265 | ||||||
7.50%, 01/01/2035 | 72,688 | 85,907 | ||||||
2.27%, 02/01/2035 | 32,151 | 33,427 | ||||||
5.00%, 02/01/2035 | 5,607,813 | 6,257,697 | ||||||
5.00%, 02/01/2035 | 5,463,002 | 6,093,912 | ||||||
5.50%, 02/01/2035 | 119,878 | 136,006 | ||||||
2.51%, 03/01/2035 | 64,395 | 67,895 | ||||||
7.50%, 03/01/2035 | 80,962 | 104,831 | ||||||
2.68%, 04/01/2035 | 76,688 | 80,055 | ||||||
3.45%, 04/01/2035 | 1,966,005 | 2,101,076 | ||||||
6.00%, 04/01/2035 | 170,755 | 197,505 | ||||||
2.56%, 05/01/2035 | 53,765 | 56,418 | ||||||
2.85%, 05/01/2035 | 10,612 | 11,125 | ||||||
3.12%, 06/01/2035 | 3,400,000 | 3,596,541 | ||||||
5.00%, 06/01/2035 | 1,011,913 | 1,128,626 | ||||||
2.43%, 07/01/2035 | 75,996 | 80,789 | ||||||
5.00%, 07/01/2035 | 5,451,490 | 6,078,710 | ||||||
5.00%, 07/01/2035 | 40,634 | 45,231 | ||||||
5.00%, 07/01/2035 | 4,773,512 | 5,326,277 | ||||||
2.21%, 08/01/2035 | 17,124 | 18,102 | ||||||
2.40%, 09/01/2035 | 42,293 | 44,502 | ||||||
5.00%, 09/01/2035 | 98,839 | 112,006 | ||||||
2.97%, 10/01/2035 | 100,986 | 107,905 | ||||||
5.00%, 10/01/2035 | 528,030 | 587,724 | ||||||
5.50%, 12/01/2035 | 83,352 | 88,772 | ||||||
2.40%, 01/01/2036 | 191,167 | 200,433 |
2.67%, 01/01/2036 | 83,200 | 87,865 | ||||||
3.25%, 01/01/2036 | 3,875 | 3,931 | ||||||
5.00%, 01/01/2036 | 97,862 | 108,927 | ||||||
6.50%, 01/01/2036 | 520,457 | 616,948 | ||||||
3.19%, 02/01/2036 | 35,984 | 37,982 | ||||||
5.00%, 02/01/2036 | 76,734 | 85,391 | ||||||
6.00%, 02/01/2036 | 8,353 | 9,196 | ||||||
7.00%, 02/01/2036 | 59,911 | 71,146 | ||||||
3.22%, 03/01/2036 | 759,414 | 792,294 | ||||||
7.00%, 03/01/2036 | 2,272 | 2,425 | ||||||
5.50%, 04/01/2036 | 141,713 | 160,144 | ||||||
6.50%, 04/01/2036 | 1,071 | 1,086 | ||||||
2.98%, 05/01/2036 | 41,006 | 43,318 | ||||||
5.50%, 05/01/2036 | 117,655 | 133,199 | ||||||
5.50%, 05/01/2036 | 183,764 | 208,582 | ||||||
2.64%, 06/01/2036 | 267,104 | 284,937 | ||||||
2.93%, 06/01/2036 | 49,043 | 51,691 | ||||||
2.95%, 06/01/2036 | 78,502 | 83,437 | ||||||
2.52%, 07/01/2036 | 123,954 | 132,501 | ||||||
6.50%, 07/01/2036 | 9,752 | 11,532 | ||||||
2.39%, 08/01/2036 | 71,010 | 75,264 | ||||||
2.49%, 08/01/2036 | 282,444 | 299,028 | ||||||
3.13%, 08/01/2036 | 22,522 | 23,560 | ||||||
6.33%, 08/01/2036 | 66,338 | 68,485 | ||||||
6.50%, 08/01/2036 | 315,372 | 366,763 | ||||||
2.23%, 09/01/2036 | 406,355 | 420,841 | ||||||
2.36%, 09/01/2036 | 88,935 | 93,846 | ||||||
2.48%, 09/01/2036 | 80,028 | 83,752 | ||||||
2.54%, 09/01/2036 | 243,851 | 258,356 | ||||||
2.70%, 09/01/2036 | 101,746 | 107,597 | ||||||
5.50%, 09/01/2036 | 2,292,951 | 2,603,755 | ||||||
6.00%, 09/01/2036 | 642,495 | 741,430 | ||||||
2.51%, 10/01/2036 | 165,819 | 176,212 | ||||||
2.84%, 10/01/2036 | 157,680 | 167,879 | ||||||
2.84%, 10/01/2036 | 390,908 | 416,346 | ||||||
6.50%, 10/01/2036 | 81,867 | 95,376 | ||||||
2.74%, 11/01/2036 | 90,963 | 96,304 | ||||||
3.01%, 11/01/2036 | 81,996 | 87,749 | ||||||
5.50%, 11/01/2036 | 47,633 | 53,655 | ||||||
6.00%, 11/01/2036 | 96,226 | 110,487 | ||||||
2.72%, 12/01/2036 | 306,483 | 323,895 | ||||||
2.81%, 12/01/2036 | 185,723 | 197,049 |
7.00%, 12/01/2036 | 11,358 | 12,760 | ||||||
2.12%, 01/01/2037 | 108,773 | 112,966 | ||||||
2.75%, 01/01/2037 | 56,701 | 60,004 | ||||||
6.50%, 01/01/2037 | 219,979 | 246,464 | ||||||
7.50%, 01/01/2037 | 15,208 | 16,654 | ||||||
2.12%, 02/01/2037 | 150,417 | 156,263 | ||||||
2.67%, 02/01/2037 | 187,247 | 198,185 | ||||||
5.50%, 03/01/2037 | 882,041 | 994,430 | ||||||
6.00%, 03/01/2037 | 201,319 | 229,099 | ||||||
7.00%, 03/01/2037 | 25,615 | 29,956 | ||||||
2.84%, 04/01/2037 | 303,747 | 320,326 | ||||||
5.50%, 04/01/2037 | 280,455 | 318,065 | ||||||
7.00%, 04/01/2037 | 144,532 | 171,402 | ||||||
7.00%, 04/01/2037 | 35,313 | 40,489 | ||||||
5.50%, 05/01/2037 | 510,539 | 573,398 | ||||||
6.50%, 05/01/2037 | 8,807 | 9,116 | ||||||
7.50%, 05/01/2037 | 60,450 | 72,024 | ||||||
1.93%, 07/01/2037 | 149,929 | 155,729 | ||||||
2.41%, 07/01/2037 | 8,618 | 8,972 | ||||||
2.53%, 07/01/2037 | 404,649 | 431,118 | ||||||
2.61%, 07/01/2037 | 138,848 | 146,757 | ||||||
5.00%, 07/01/2037 | 1,377,025 | 1,537,111 | ||||||
3.28%, 08/01/2037 | 331,969 | 354,583 | ||||||
5.50%, 08/01/2037 | 3,507,452 | 3,977,952 | ||||||
6.50%, 08/01/2037 | 71,319 | 82,079 | ||||||
6.50%, 08/01/2037 | 43,354 | 52,788 | ||||||
2.21%, 09/01/2037 | 46,397 | 48,889 | ||||||
2.53%, 09/01/2037 | 11,208 | 11,500 | ||||||
2.56%, 09/01/2037 | 126,396 | 134,287 | ||||||
2.75%, 09/01/2037 | 14,650 | 15,018 | ||||||
6.00%, 09/01/2037 | 136,979 | 157,605 | ||||||
6.03%, 09/01/2037 | 32,081 | 34,061 | ||||||
7.00%, 09/01/2037 | 90,428 | 108,756 | ||||||
6.50%, 10/01/2037 | 151,406 | 174,898 | ||||||
7.50%, 10/01/2037 | 298,929 | 361,113 | ||||||
2.28%, 11/01/2037 | 288,890 | 303,389 | ||||||
2.37%, 11/01/2037 | 96,257 | 101,916 | ||||||
7.50%, 11/01/2037 | 113,623 | 137,316 | ||||||
8.00%, 11/01/2037 | 16,730 | 18,869 | ||||||
2.60%, 12/01/2037 | 543,258 | 576,967 | ||||||
2.75%, 01/01/2038 | 59,607 | 62,844 | ||||||
5.50%, 01/01/2038 | 300,514 | 341,018 |
7.00%, 01/01/2038 | 30,949 | 33,419 | ||||||
8.00%, 01/01/2038 | 7,988 | 9,964 | ||||||
5.50%, 02/01/2038 | 347,061 | 393,671 | ||||||
6.00%, 04/01/2038 | 39,511 | 45,135 | ||||||
5.50%, 05/01/2038 | 63,059 | 69,418 | ||||||
6.00%, 05/01/2038 | 485,456 | 555,431 | ||||||
5.50%, 06/01/2038 | 2,216,952 | 2,493,295 | ||||||
5.50%, 06/01/2038 | 282,170 | 317,595 | ||||||
5.50%, 09/01/2038 | 1,588,461 | 1,800,758 | ||||||
7.00%, 09/01/2038 | 94,127 | 119,341 | ||||||
6.50%, 10/01/2038 | 679,432 | 792,401 | ||||||
6.50%, 10/01/2038 | 175,512 | 205,100 | ||||||
7.00%, 10/01/2038 | 151,738 | 193,139 | ||||||
6.00%, 11/01/2038 | 99,035 | 113,715 | ||||||
7.00%, 11/01/2038 | 114,687 | 137,705 | ||||||
7.50%, 11/01/2038 | 70,097 | 82,425 | ||||||
7.00%, 12/01/2038 | 283,830 | 317,990 | ||||||
5.00%, 01/01/2039 | 4,577,173 | 5,077,329 | ||||||
7.00%, 01/01/2039 | 490,534 | 604,890 | ||||||
7.50%, 04/01/2039 | 348,166 | 461,125 | ||||||
4.50%, 05/01/2039 | 1,517,275 | 1,670,075 | ||||||
5.50%, 06/01/2039 | 34,779 | 37,953 | ||||||
5.00%, 09/01/2039 | 240,766 | 269,191 | ||||||
5.50%, 09/01/2039 | 141,142 | 159,502 | ||||||
4.50%, 11/01/2039 | 49,842 | 54,528 | ||||||
5.50%, 12/01/2039 | 160,987 | 181,970 | ||||||
6.00%, 12/01/2039 | 2,600,876 | 2,976,262 | ||||||
5.00%, 04/01/2040 | 2,026,892 | 2,282,515 | ||||||
4.00%, 07/01/2040 (3) | 25,490,000 | 27,324,584 | ||||||
4.00%, 07/01/2040 | 9,064,323 | 9,722,785 | ||||||
5.50%, 07/01/2040 (3) | 6,000,000 | 6,744,492 | ||||||
4.00%, 08/01/2040 | 341,325 | 367,111 | ||||||
4.50%, 08/01/2040 | 578,024 | 633,411 | ||||||
4.50%, 08/01/2040 | 7,117,832 | 7,798,905 | ||||||
4.50%, 08/01/2040 | 5,058,117 | 5,567,094 | ||||||
4.50%, 08/01/2040 | 8,251,765 | 9,023,982 | ||||||
5.00%, 08/01/2040 | 1,296,889 | 1,441,833 | ||||||
5.00%, 08/01/2040 | 642,156 | 721,051 | ||||||
3.50%, 08/15/2040 (3) | 3,000,000 | 3,161,133 | ||||||
4.00%, 08/15/2040 (3) | 21,500,000 | 23,027,257 | ||||||
4.00%, 09/01/2040 | 2,377,951 | 2,558,628 | ||||||
4.50%, 09/01/2040 | 1,569,267 | 1,727,364 |
6.00%, 10/01/2040 | 3,281,715 | 3,754,277 | ||||||
4.00%, 11/01/2040 | 1,793,074 | 1,929,156 | ||||||
4.50%, 11/01/2040 | 625,495 | 688,664 | ||||||
4.50%, 11/01/2040 | 7,718,328 | 8,505,438 | ||||||
3.50%, 12/01/2040 | 193,253 | 204,349 | ||||||
4.00%, 12/01/2040 | 411,193 | 441,962 | ||||||
4.00%, 12/01/2040 | 2,361,838 | 2,539,712 | ||||||
4.50%, 12/01/2040 | 414,678 | 456,557 | ||||||
4.50%, 12/01/2040 | 3,046,640 | 3,340,141 | ||||||
4.50%, 12/01/2040 | 10,248,358 | 11,208,040 | ||||||
4.00%, 01/01/2041 | 2,815,914 | 3,029,260 | ||||||
4.00%, 01/01/2041 | 960,256 | 1,032,837 | ||||||
4.00%, 01/01/2041 | 1,900,508 | 2,043,335 | ||||||
4.00%, 01/01/2041 | 3,112,675 | 3,348,905 | ||||||
4.00%, 01/01/2041 | 470,485 | 505,863 | ||||||
4.00%, 01/01/2041 | 3,099,314 | 3,333,177 | ||||||
4.00%, 01/01/2041 | 1,151,398 | 1,237,913 | ||||||
3.50%, 02/01/2041 | 15,937,462 | 16,852,589 | ||||||
4.00%, 02/01/2041 | 110,699 | 118,956 | ||||||
4.00%, 02/01/2041 | 2,599,564 | 2,795,723 | ||||||
5.00%, 02/01/2041 | 813,799 | 918,560 | ||||||
4.50%, 03/01/2041 | 2,012,398 | 2,201,665 | ||||||
4.50%, 04/01/2041 | 1,926,143 | 2,111,606 | ||||||
4.50%, 05/01/2041 | 358,688 | 394,946 | ||||||
4.50%, 05/01/2041 | 3,513,622 | 3,851,426 | ||||||
4.50%, 05/01/2041 | 132,659 | 146,200 | ||||||
4.50%, 07/01/2041 | 1,864,330 | 2,052,788 | ||||||
4.50%, 07/01/2041 | 138,131 | 152,094 | ||||||
3.50%, 07/15/2041 (3) | 8,715,000 | 9,193,984 | ||||||
4.50%, 07/15/2041 (3) | 14,790,000 | 16,143,343 | ||||||
4.50%, 08/01/2041 | 972,544 | 1,071,605 | ||||||
4.00%, 09/01/2041 | 544,633 | 585,447 | ||||||
4.50%, 09/01/2041 | 108,325 | 119,460 | ||||||
4.00%, 10/01/2041 | 1,907,258 | 2,051,634 | ||||||
4.00%, 10/01/2041 | 1,418,886 | 1,525,051 | ||||||
3.50%, 11/01/2041 | 675,160 | 714,983 | ||||||
3.50%, 11/01/2041 | 7,090,137 | 7,507,647 | ||||||
4.50%, 11/01/2041 | 2,025,571 | 2,231,680 | ||||||
3.50%, 12/01/2041 | 899,180 | 952,763 | ||||||
4.00%, 12/01/2041 | 2,619,538 | 2,818,640 | ||||||
4.00%, 12/01/2041 | 2,753,871 | 2,964,863 | ||||||
4.00%, 12/01/2041 | 4,145,414 | 4,455,699 |
4.00%, 01/01/2042 | 6,212,640 | 6,704,789 | ||||||
4.50%, 01/01/2042 | 4,739,271 | 5,192,628 | ||||||
4.50%, 01/01/2042 | 38,138 | 42,179 | ||||||
3.50%, 02/01/2042 | 817,795 | 865,646 | ||||||
4.00%, 03/01/2042 | 267,861 | 280,685 | ||||||
3.00%, 05/01/2042 | 882,246 | 917,445 | ||||||
3.50%, 05/01/2042 | 13,160,432 | 13,930,863 | ||||||
5.00%, 05/01/2042 | 4,564,768 | 5,090,077 | ||||||
3.50%, 06/01/2042 | 3,087,417 | 3,268,721 | ||||||
3.50%, 07/01/2042 | 6,794,728 | 7,189,665 | ||||||
3.50%, 07/01/2042 | 1,854,910 | 1,965,800 | ||||||
4.00%, 07/01/2042 | 789,014 | 855,676 | ||||||
4.00%, 07/01/2042 | 721,834 | 782,832 | ||||||
4.00%, 07/01/2042 | 1,308,048 | 1,417,805 | ||||||
4.00%, 07/01/2042 | 645,911 | 700,496 | ||||||
4.00%, 08/01/2042 | 9,252,817 | 10,011,220 | ||||||
3.00%, 08/15/2042 (3) | 34,000,000 | 35,219,220 | ||||||
3.50%, 09/01/2042 | 9,016,182 | 9,539,049 | ||||||
3.50%, 09/01/2042 | 1,551,064 | 1,652,980 | ||||||
3.00%, 10/01/2042 | 8,102,826 | 8,427,384 | ||||||
3.50%, 10/01/2042 | 682,774 | 723,132 | ||||||
3.50%, 10/01/2042 | 1,216,537 | 1,286,951 | ||||||
4.50%, 10/01/2042 | 281,423 | 310,173 | ||||||
3.00%, 11/01/2042 | 2,912,493 | 3,029,160 | ||||||
3.50%, 11/01/2042 | 11,217,835 | 11,863,833 | ||||||
3.50%, 11/01/2042 | 4,574,616 | 4,845,812 | ||||||
3.00%, 12/01/2042 | 176,918 | 184,005 | ||||||
3.00%, 12/01/2042 | 1,885,702 | 1,961,115 | ||||||
3.00%, 01/01/2043 | 2,626,230 | 2,731,430 | ||||||
3.00%, 01/01/2043 | 2,331,877 | 2,428,302 | ||||||
3.00%, 01/01/2043 | 2,511,046 | 2,611,630 | ||||||
3.00%, 01/01/2043 | 1,561,701 | 1,624,260 | ||||||
3.50%, 01/01/2043 | 1,803,554 | 1,906,409 | ||||||
3.50%, 01/01/2043 | 1,231,363 | 1,312,255 | ||||||
3.00%, 02/01/2043 | 1,299,914 | 1,353,966 | ||||||
3.50%, 02/01/2043 | 118,426 | 125,394 | ||||||
3.50%, 02/01/2043 | 118,799 | 125,641 | ||||||
3.50%, 03/01/2043 | 852,170 | 908,258 | ||||||
3.50%, 03/01/2043 | 2,409,941 | 2,560,485 | ||||||
3.00%, 04/01/2043 | 4,297,224 | 4,468,916 | ||||||
3.00%, 04/01/2043 | 1,936,932 | 2,014,396 | ||||||
3.50%, 04/01/2043 | 2,866,431 | 3,029,372 |
3.50%, 04/01/2043 | 7,717,255 | 8,159,482 | ||||||
3.00%, 05/01/2043 | 206,453 | 214,686 | ||||||
3.00%, 05/01/2043 | 16,742,086 | 17,410,261 | ||||||
3.50%, 05/01/2043 | 3,107,198 | 3,311,853 | ||||||
3.50%, 05/01/2043 | 1,171,316 | 1,248,018 | ||||||
3.50%, 05/01/2043 | 2,441,373 | 2,601,812 | ||||||
3.50%, 05/01/2043 | 154,825 | 165,453 | ||||||
3.00%, 06/01/2043 | 131,356 | 136,607 | ||||||
3.00%, 06/01/2043 | 349,507 | 363,450 | ||||||
3.00%, 06/01/2043 | 171,351 | 178,201 | ||||||
3.00%, 06/01/2043 | 855,676 | 889,742 | ||||||
3.00%, 06/01/2043 | 1,228,230 | 1,277,359 | ||||||
3.00%, 06/01/2043 | 10,462,174 | 10,879,850 | ||||||
3.50%, 06/01/2043 | 2,765,179 | 2,947,047 | ||||||
3.00%, 07/01/2043 | 673,312 | 700,164 | ||||||
3.00%, 07/01/2043 | 114,842 | 119,427 | ||||||
3.00%, 07/01/2043 | 167,477 | 174,143 | ||||||
3.00%, 07/01/2043 | 633,866 | 658,379 | ||||||
3.00%, 07/01/2043 | 527,626 | 548,704 | ||||||
3.00%, 07/01/2043 | 132,846 | 137,983 | ||||||
3.00%, 07/01/2043 | 2,239,859 | 2,329,169 | ||||||
3.00%, 07/01/2043 | 1,608,470 | 1,672,644 | ||||||
3.00%, 07/01/2043 | 4,923,933 | 5,120,510 | ||||||
3.50%, 07/01/2043 | 15,134,515 | 16,085,095 | ||||||
4.00%, 07/01/2043 | 1,662,176 | 1,802,602 | ||||||
3.00%, 08/01/2043 | 1,608,394 | 1,672,808 | ||||||
3.00%, 08/01/2043 | 2,242,389 | 2,331,687 | ||||||
3.00%, 08/01/2043 | 5,042,515 | 5,243,569 | ||||||
3.00%, 08/01/2043 | 5,870,345 | 6,105,432 | ||||||
3.00%, 08/01/2043 | 2,605,148 | 2,709,020 | ||||||
3.00%, 09/01/2043 | 100,861 | 104,870 | ||||||
3.00%, 09/01/2043 | 149,776 | 155,722 | ||||||
3.00%, 09/01/2043 | 2,623,647 | 2,727,990 | ||||||
3.00%, 09/01/2043 | 3,765,901 | 3,915,959 | ||||||
5.00%, 09/01/2043 | 2,521,870 | 2,797,439 | ||||||
2.50%, 10/01/2043 | 3,234,719 | 3,275,406 | ||||||
3.00%, 10/01/2043 | 138,007 | 143,506 | ||||||
3.00%, 10/01/2043 | 144,969 | 150,767 | ||||||
3.00%, 10/01/2043 | 87,257 | 90,632 | ||||||
4.00%, 11/01/2043 | 7,882,384 | 8,446,599 | ||||||
4.00%, 12/01/2043 | 3,951,512 | 4,302,512 | ||||||
4.00%, 12/01/2043 | 331,511 | 355,240 |
5.00%, 01/01/2044 | 3,767,208 | 4,199,206 | ||||||
4.00%, 09/01/2044 | 3,054,480 | 3,273,117 | ||||||
3.00%, 04/01/2045 | 12,013,952 | 12,511,003 | ||||||
3.50%, 04/01/2045 | 18,367,976 | 19,387,612 | ||||||
3.50%, 07/01/2045 | 3,792,075 | 4,053,821 | ||||||
3.50%, 07/01/2045 | 4,447,546 | 4,727,955 | ||||||
4.00%, 07/01/2045 | 13,932,064 | 15,035,415 | ||||||
3.50%, 08/01/2045 | 5,639,158 | 5,994,406 | ||||||
4.00%, 08/01/2045 | 3,457,994 | 3,749,993 | ||||||
4.00%, 09/01/2045 | 3,512,868 | 3,810,100 | ||||||
3.50%, 10/01/2045 | 5,860,425 | 6,266,024 | ||||||
4.00%, 10/01/2045 | 2,101,526 | 2,279,892 | ||||||
3.50%, 11/01/2045 | 4,820,343 | 5,089,432 | ||||||
3.50%, 11/01/2045 | 5,815,218 | 6,148,821 | ||||||
3.50%, 11/01/2045 | 5,884,231 | 6,221,793 | ||||||
4.00%, 11/01/2045 | 2,080,720 | 2,257,051 | ||||||
4.00%, 12/01/2045 | 5,888,010 | 6,387,752 | ||||||
4.50%, 12/01/2045 | 4,284,107 | 4,736,291 | ||||||
3.50%, 01/01/2046 | 7,608,253 | 8,037,688 | ||||||
3.50%, 01/01/2046 | 5,854,066 | 6,259,671 | ||||||
3.50%, 01/01/2046 | 17,241,964 | 18,205,562 | ||||||
3.50%, 01/01/2046 | 13,205,640 | 13,951,818 | ||||||
3.50%, 01/01/2046 | 1,832,723 | 1,948,204 | ||||||
3.50%, 03/01/2046 | 7,979,304 | 8,518,383 | ||||||
4.00%, 03/01/2046 | 9,815,469 | 10,648,235 | ||||||
3.50%, 05/01/2046 | 6,995,736 | 7,414,739 | ||||||
6.00%, 11/01/2048 | 63,026 | 69,972 | ||||||
Fannie Mae REMIC Trust 2003-W1 | ||||||||
5.65%, 12/25/2042 | 157,703 | 181,047 | ||||||
6.30%, 12/25/2042 | 41,402 | 49,198 | ||||||
Fannie Mae REMIC Trust 2003-W4 | ||||||||
6.29%, 10/25/2042 | 23,920 | 28,258 | ||||||
Fannie Mae REMIC Trust 2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 831,602 | ||||||
Fannie Mae REMIC Trust 2004-W11 | ||||||||
6.00%, 05/25/2044 | 130,529 | 156,415 | ||||||
Fannie Mae REMIC Trust 2004-W6 | ||||||||
5.50%, 07/25/2034 | 28,067 | 28,194 | ||||||
Fannie Mae REMIC Trust 2005-W1 | ||||||||
6.50%, 10/25/2044 | 227,674 | 270,864 | ||||||
Fannie Mae REMIC Trust 2006-W3 | ||||||||
6.00%, 09/25/2046 | 223,619 | 252,313 |
Fannie Mae REMIC Trust 2007-W1 | ||||||||
6.34%, 08/25/2047 | 32,355 | 37,101 | ||||||
Fannie Mae REMIC Trust 2007-W3 | ||||||||
6.75%, 04/25/2037 | 71,734 | 81,061 | ||||||
Fannie Mae REMIC Trust 2007-W5 | ||||||||
0.00%, 06/25/2037 PO | 70,353 | 65,201 | ||||||
Fannie Mae REMIC Trust 2007-W7 | ||||||||
36.46%, 07/25/2037 | 50,778 | 80,693 | ||||||
Fannie Mae REMIC Trust 2009-W1 | ||||||||
6.00%, 12/25/2049 | 1,158,159 | 1,342,198 | ||||||
Fannie Mae REMICS | ||||||||
0.64%, 10/25/2016 IO | 469,219 | 727 | ||||||
6.00%, 12/25/2016 | 540 | 546 | ||||||
6.00%, 12/25/2016 | 1,252 | 1,270 | ||||||
6.00%, 12/25/2016 | 6,179 | 6,266 | ||||||
6.00%, 12/25/2016 | 24 | 24 | ||||||
6.00%, 02/25/2017 | 1,956 | 1,966 | ||||||
6.00%, 02/25/2017 | 3,323 | 3,377 | ||||||
0.95%, 03/25/2017 | 106 | 106 | ||||||
6.00%, 03/25/2017 | 124 | 124 | ||||||
6.00%, 03/25/2017 | 246 | 246 | ||||||
6.00%, 04/25/2017 | 9,045 | 9,216 | ||||||
6.00%, 04/25/2017 | 417 | 418 | ||||||
6.00%, 04/25/2017 | 4,714 | 4,739 | ||||||
18.23%, 05/25/2017 | 5,212 | 5,598 | ||||||
6.00%, 06/25/2017 | 1,680 | 1,698 | ||||||
5.50%, 09/25/2017 | 8,285 | 8,360 | ||||||
5.00%, 10/25/2017 | 4,126 | 4,181 | ||||||
5.00%, 05/25/2018 | 15,480 | 15,834 | ||||||
4.75%, 09/25/2018 | 78,329 | 80,344 | ||||||
4.00%, 04/25/2019 | 19,504 | 19,977 | ||||||
8.00%, 07/25/2019 | 5,619 | 5,982 | ||||||
8.00%, 10/25/2019 | 1,909 | 2,043 | ||||||
4.00%, 11/25/2019 | 21,680 | 22,218 | ||||||
8.50%, 11/25/2019 | 1,132 | 1,224 | ||||||
9.00%, 11/25/2019 | 603 | 648 | ||||||
9.40%, 11/25/2019 | 948 | 1,021 | ||||||
7.50%, 12/25/2019 | 2,332 | 2,481 | ||||||
8.50%, 01/25/2020 | 252 | 273 | ||||||
8.80%, 01/25/2020 | 636 | 688 | ||||||
7.00%, 05/25/2020 | 274 | 298 | ||||||
5.50%, 06/25/2020 | 267 | 281 |
9.50%, 06/25/2020 | 401 | 438 | ||||||
7.00%, 07/25/2020 | 2,292 | 2,440 | ||||||
5.50%, 08/25/2020 | 305 | 322 | ||||||
6.50%, 08/25/2020 | 3,146 | 3,334 | ||||||
505.00%, 08/25/2020 | 5 | 46 | ||||||
1118.04%, 08/25/2020 IO | 6 | 60 | ||||||
6.50%, 09/25/2020 | 1,465 | 1,551 | ||||||
7.00%, 09/25/2020 | 444 | 476 | ||||||
9.00%, 10/25/2020 | 1,764 | 1,921 | ||||||
20.92%, 11/25/2020 | 248 | 354 | ||||||
652.15%, 12/25/2020 IO | 13 | 153 | ||||||
7.00%, 01/25/2021 | 571 | 611 | ||||||
908.50%, 02/25/2021 IO | 1 | 5 | ||||||
5.00%, 03/25/2021 | 590 | 624 | ||||||
7.00%, 03/25/2021 | 20,745 | 22,323 | ||||||
16.88%, 05/25/2021 | 442 | 548 | ||||||
8.50%, 06/25/2021 | 532 | 591 | ||||||
8.75%, 06/25/2021 | 2,262 | 2,504 | ||||||
1034.28%, 06/25/2021 | 17 | 179 | ||||||
6.50%, 07/25/2021 | 1,323 | 1,415 | ||||||
6.50%, 09/25/2021 | 123,277 | 137,144 | ||||||
14.65%, 09/25/2021 | 1,427 | 1,655 | ||||||
8.75%, 10/25/2021 | 4,139 | 4,503 | ||||||
25.31%, 12/25/2021 | 673 | 905 | ||||||
6.00%, 02/25/2022 | 126,624 | 139,783 | ||||||
6.50%, 02/25/2022 | 19,628 | 21,871 | ||||||
0.00%, 03/25/2022 PO | 50,038 | 47,812 | ||||||
7.50%, 06/25/2022 | 113 | 125 | ||||||
7.00%, 07/25/2022 | 1,852 | 2,013 | ||||||
7.50%, 07/25/2022 | 20,337 | 22,579 | ||||||
8.00%, 07/25/2022 | 21,632 | 24,097 | ||||||
8.00%, 07/25/2022 | 9,346 | 9,652 | ||||||
1184.78%, 07/25/2022 IO | 7 | 152 | ||||||
6.00%, 08/25/2022 | 3,862 | 3,906 | ||||||
6.00%, 08/25/2022 | 3,645 | 3,905 | ||||||
6.50%, 08/25/2022 | 4,576 | 4,933 | ||||||
0.47%, 09/25/2022 | 1,925 | 1,924 | ||||||
5.50%, 09/25/2022 | 3,010 | 3,219 | ||||||
6.00%, 09/25/2022 | 151,208 | 167,685 | ||||||
7.50%, 09/25/2022 | 19,447 | 21,172 | ||||||
7.75%, 09/25/2022 | 9,215 | 10,247 | ||||||
8.00%, 09/25/2022 | 26,135 | 29,041 |
0.00%, 10/25/2022 PO | 2,688 | 2,602 | ||||||
1.39%, 10/25/2022 | 1,718 | 1,741 | ||||||
7.00%, 10/25/2022 | 3,718 | 4,138 | ||||||
7.50%, 10/25/2022 | 12,642 | 14,208 | ||||||
7.90%, 01/25/2023 | 13,132 | 14,857 | ||||||
6.50%, 02/25/2023 | 5,277 | 5,869 | ||||||
7.00%, 02/25/2023 | 54,802 | 61,024 | ||||||
15.50%, 02/25/2023 | 2,287 | 3,162 | ||||||
5.50%, 03/25/2023 | 264,082 | 288,787 | ||||||
6.50%, 03/25/2023 | 4,019 | 4,429 | ||||||
7.00%, 03/25/2023 | 33,738 | 37,335 | ||||||
7.50%, 03/25/2023 | 12,747 | 14,139 | ||||||
7.70%, 03/25/2023 | 5,647 | 6,367 | ||||||
0.00%, 04/25/2023 PO | 1,906 | 1,844 | ||||||
5.50%, 04/25/2023 | 15,215 | 16,446 | ||||||
5.50%, 04/25/2023 | 493,064 | 540,866 | ||||||
6.00%, 04/25/2023 | 8,923 | 10,251 | ||||||
7.00%, 04/25/2023 | 12,301 | 13,610 | ||||||
18.50%, 04/25/2023 IO | 10,157 | 4,057 | ||||||
18.92%, 04/25/2023 | 5,901 | 8,451 | ||||||
5.50%, 05/25/2023 | 113,349 | 123,049 | ||||||
7.00%, 05/25/2023 | 130,976 | 146,216 | ||||||
5.00%, 06/25/2023 | 106,785 | 111,247 | ||||||
6.05%, 06/25/2023 IO | 83,063 | 7,506 | ||||||
7.20%, 06/25/2023 IO | 39,307 | 1,256 | ||||||
4.50%, 07/25/2023 | 196,195 | 208,586 | ||||||
6.50%, 07/25/2023 | 3,225 | 3,577 | ||||||
6.79%, 07/25/2023 | 68,942 | 75,881 | ||||||
7.00%, 07/25/2023 | 44,669 | 49,771 | ||||||
7.00%, 07/25/2023 | 63,497 | 69,613 | ||||||
1.33%, 08/25/2023 | 7,950 | 8,076 | ||||||
6.88%, 08/25/2023 | 58,417 | 64,711 | ||||||
7.00%, 08/25/2023 | 106,172 | 117,417 | ||||||
7.60%, 08/25/2023 IO | 4,903 | 439 | ||||||
8.93%, 08/25/2023 IO | 53,048 | 11,875 | ||||||
0.00%, 09/25/2023 PO | 1,835 | 1,772 | ||||||
0.00%, 09/25/2023 PO | 4,981 | 4,818 | ||||||
1.10%, 09/25/2023 | 71,045 | 71,125 | ||||||
6.50%, 09/25/2023 | 5,542 | 6,184 | ||||||
12.50%, 09/25/2023 | 3,824 | 4,423 | ||||||
13.39%, 09/25/2023 | 3,081 | 4,028 | ||||||
1.00%, 10/25/2023 | 1,157 | 1,158 |
6.50%, 10/25/2023 | 84,068 | 96,692 | ||||||
6.50%, 10/25/2023 | 38,597 | 42,982 | ||||||
10.50%, 10/25/2023 | 1,799 | 2,274 | ||||||
22.11%, 10/25/2023 | 5,015 | 7,703 | ||||||
26.73%, 10/25/2023 | 2,699 | 4,419 | ||||||
0.00%, 11/25/2023 PO | 578 | 558 | ||||||
6.50%, 11/25/2023 | 31,645 | 36,397 | ||||||
1.05%, 12/25/2023 | 2,349 | 2,381 | ||||||
1.45%, 12/25/2023 | 6,748 | 6,825 | ||||||
6.50%, 12/25/2023 | 8,129 | 9,129 | ||||||
12.26%, 12/25/2023 | 3,140 | 4,074 | ||||||
22.91%, 12/25/2023 | 6,748 | 10,508 | ||||||
27.96%, 12/25/2023 | 8,294 | 13,828 | ||||||
5.00%, 02/25/2024 IO | 128,621 | 8,475 | ||||||
5.00%, 03/25/2024 IO | 51,925 | 2,758 | ||||||
5.00%, 03/25/2024 IO | 94,352 | 3,889 | ||||||
6.50%, 03/25/2024 | 27,865 | 31,036 | ||||||
6.50%, 03/25/2024 | 148,062 | 162,559 | ||||||
7.00%, 04/25/2024 | 220,418 | 245,877 | ||||||
7.00%, 04/25/2024 | 98,269 | 110,887 | ||||||
5.50%, 07/25/2024 | 28,302 | 30,956 | ||||||
5.50%, 08/25/2024 | 252,378 | 277,378 | ||||||
5.00%, 11/25/2024 | 411,278 | 448,250 | ||||||
8.50%, 01/25/2025 | 5,312 | 6,116 | ||||||
8.80%, 01/25/2025 | 8,244 | 9,447 | ||||||
0.75%, 07/25/2025 | 65,458 | 65,591 | ||||||
5.50%, 08/25/2025 | 239,746 | 266,018 | ||||||
5.50%, 01/25/2026 | 165,804 | 182,000 | ||||||
30.98%, 10/25/2026 | 31,728 | 55,516 | ||||||
7.00%, 11/25/2026 | 52,979 | 59,034 | ||||||
1.84%, 03/25/2027 IO | 10,617 | 355 | ||||||
1.84%, 03/25/2027 IO | 34,158 | 1,157 | ||||||
7.50%, 04/18/2027 | 8,593 | 9,555 | ||||||
7.50%, 04/20/2027 | 12,817 | 15,028 | ||||||
6.50%, 04/25/2027 | 32,189 | 37,023 | ||||||
7.50%, 05/20/2027 | 51,694 | 60,710 | ||||||
0.85%, 05/25/2027 | 4,690,139 | 4,689,602 | ||||||
6.50%, 07/18/2027 | 2,743 | 3,155 | ||||||
7.00%, 12/18/2027 IO | 13,550 | 1,508 | ||||||
6.00%, 07/18/2028 | 20,322 | 23,237 | ||||||
7.15%, 07/25/2028 IO | 511,903 | 88,799 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,291,332 |
6.00%, 12/25/2028 | 10,169 | 11,251 | ||||||
7.70%, 12/25/2028 IO | 18,831 | 3,326 | ||||||
5.00%, 03/25/2029 | 457,076 | 500,249 | ||||||
5.50%, 04/18/2029 | 46,245 | 51,467 | ||||||
6.35%, 04/25/2029 | 10,872 | 12,152 | ||||||
7.50%, 12/18/2029 | 14,945 | 17,603 | ||||||
7.50%, 02/25/2030 | 81,884 | 94,558 | ||||||
8.65%, 07/25/2030 IO | 29,185 | 8,133 | ||||||
8.50%, 01/25/2031 IO | 3,809 | 697 | ||||||
7.00%, 03/25/2031 | 10,988 | 12,743 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,178,791 | ||||||
6.00%, 07/25/2031 IO | 54,603 | 10,875 | ||||||
7.00%, 07/25/2031 | 30,592 | 35,238 | ||||||
7.00%, 08/25/2031 | 57,644 | 67,770 | ||||||
6.50%, 09/25/2031 | 13,426 | 15,617 | ||||||
7.00%, 09/25/2031 | 14,962 | 17,099 | ||||||
7.00%, 09/25/2031 | 73,544 | 85,282 | ||||||
7.00%, 09/25/2031 | 12,668 | 14,737 | ||||||
13.29%, 09/25/2031 | 1,628 | 1,638 | ||||||
22.91%, 09/25/2031 | 41,352 | 75,965 | ||||||
6.50%, 10/25/2031 | 9,314 | 10,547 | ||||||
21.59%, 10/25/2031 | 25,635 | 39,457 | ||||||
6.00%, 11/25/2031 | 102,440 | 117,502 | ||||||
7.00%, 11/25/2031 | 100,069 | 114,474 | ||||||
14.60%, 11/25/2031 | 28,944 | 41,717 | ||||||
16.41%, 12/25/2031 | 3,404 | 4,795 | ||||||
0.00%, 01/25/2032 PO | 4,160 | 3,957 | ||||||
23.71%, 02/25/2032 | 14,487 | 25,292 | ||||||
1.60%, 03/25/2032 IO | 106,175 | 5,641 | ||||||
10.00%, 03/25/2032 | 1,565 | 2,045 | ||||||
0.00%, 04/25/2032 PO | 3,127 | 2,959 | ||||||
6.00%, 04/25/2032 | 250,586 | 287,683 | ||||||
6.50%, 04/25/2032 | 47,010 | 53,881 | ||||||
6.50%, 05/25/2032 | 95,754 | 108,144 | ||||||
6.50%, 06/25/2032 | 37,331 | 43,554 | ||||||
6.50%, 07/25/2032 IO | 185,516 | 31,587 | ||||||
6.50%, 08/25/2032 | 109,962 | 128,726 | ||||||
18.55%, 08/25/2032 | 91,009 | 108,529 | ||||||
1.25%, 11/25/2032 | 495,262 | 506,641 | ||||||
5.00%, 11/25/2032 | 24,312 | 26,665 | ||||||
6.00%, 11/25/2032 | 720,090 | 832,758 | ||||||
8.50%, 11/25/2032 | 32,336 | 39,203 |
0.00%, 12/25/2032 PO | 20,997 | 19,971 | ||||||
5.50%, 12/25/2032 | 266,534 | 290,942 | ||||||
13.65%, 12/25/2032 | 17,238 | 23,201 | ||||||
0.00%, 01/25/2033 PO | 39,568 | 38,889 | ||||||
6.50%, 02/25/2033 | 36,992 | 41,459 | ||||||
5.00%, 03/25/2033 IO | 52,164 | 7,798 | ||||||
6.00%, 03/25/2033 | 66,000 | 69,882 | ||||||
4.00%, 04/25/2033 | 386,268 | 418,305 | ||||||
0.00%, 05/25/2033 PO | 13,125 | 12,109 | ||||||
4.00%, 05/25/2033 | 20,973 | 22,710 | ||||||
6.00%, 05/25/2033 | 124,000 | 147,519 | ||||||
6.00%, 05/25/2033 IO | 16,866 | 3,724 | ||||||
6.00%, 05/25/2033 | 233,000 | 265,523 | ||||||
6.00%, 05/25/2033 | 70,322 | 80,913 | ||||||
6.50%, 05/25/2033 IO | 162,912 | �� | 28,484 | |||||
7.00%, 05/25/2033 IO | 269,981 | 33,188 | ||||||
5.75%, 06/25/2033 | 107,550 | 122,627 | ||||||
6.65%, 06/25/2033 IO | 147,840 | 15,862 | ||||||
13.29%, 06/25/2033 | 109,973 | 135,518 | ||||||
5.50%, 07/25/2033 | 7,884 | 7,884 | ||||||
12.61%, 07/25/2033 | 45,373 | 58,700 | ||||||
13.29%, 07/25/2033 | 38,689 | 44,166 | ||||||
0.00%, 08/25/2033 PO | 12,150 | 11,639 | ||||||
5.50%, 08/25/2033 | 202,527 | 228,895 | ||||||
5.50%, 08/25/2033 IO | 428,666 | 72,143 | ||||||
5.50%, 08/25/2033 | 62,367 | 63,105 | ||||||
6.86%, 08/25/2033 | 114,854 | 132,271 | ||||||
9.35%, 08/25/2033 | 9,560 | 11,330 | ||||||
16.79%, 08/25/2033 | 67,657 | 93,972 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,643,739 | ||||||
11.74%, 09/25/2033 | 31,771 | 39,318 | ||||||
3.00%, 10/25/2033 | 908,000 | 940,399 | ||||||
5.50%, 10/25/2033 | 1,378,698 | 1,584,098 | ||||||
7.15%, 11/25/2033 IO | 215,007 | 50,562 | ||||||
0.00%, 12/25/2033 PO | 162,059 | 155,144 | ||||||
13.19%, 12/25/2033 | 52,422 | 59,712 | ||||||
1.20%, 01/25/2034 | 250,426 | 255,104 | ||||||
10.84%, 01/25/2034 | 13,071 | 16,233 | ||||||
15.29%, 01/25/2034 | 26,954 | 34,489 | ||||||
5.50%, 02/25/2034 | 53,554 | 56,219 | ||||||
26.79%, 02/25/2034 | 74,995 | 93,564 | ||||||
0.00%, 03/25/2034 PO | 213,233 | 201,587 |
0.85%, 03/25/2034 | 195,574 | 195,745 | ||||||
5.50%, 04/25/2034 | 349,053 | 394,941 | ||||||
6.00%, 04/25/2034 | 1,019 | 1,019 | ||||||
18.28%, 04/25/2034 | 122,184 | 179,321 | ||||||
0.85%, 05/25/2034 | 437,982 | 438,291 | ||||||
15.25%, 05/25/2034 | 31,643 | 42,642 | ||||||
18.28%, 05/25/2034 | 187,259 | 271,225 | ||||||
22.19%, 05/25/2034 | 39,797 | 61,696 | ||||||
5.50%, 07/25/2034 | 799,382 | 900,159 | ||||||
13.33%, 07/25/2034 | 28,514 | 38,858 | ||||||
0.70%, 08/25/2034 | 154,693 | 154,644 | ||||||
18.55%, 11/25/2034 | 62,786 | 80,942 | ||||||
20.30%, 12/25/2034 | 2,404 | 2,622 | ||||||
23.43%, 01/25/2035 | 22,161 | 28,766 | ||||||
0.00%, 04/25/2035 PO | 138,223 | 133,822 | ||||||
0.80%, 04/25/2035 | 200,675 | 200,208 | ||||||
15.87%, 05/25/2035 | 19,482 | 25,493 | ||||||
18.77%, 05/25/2035 | 246,579 | 356,880 | ||||||
18.88%, 05/25/2035 | 169,514 | 245,918 | ||||||
23.09%, 05/25/2035 | 56,604 | 84,465 | ||||||
5.00%, 06/25/2035 | 67,297 | 70,899 | ||||||
6.50%, 06/25/2035 | 2,708 | 2,828 | ||||||
23.23%, 06/25/2035 | 66,421 | 101,883 | ||||||
5.75%, 07/25/2035 | 2,202,538 | 2,548,981 | ||||||
6.26%, 07/25/2035 IO | 140,793 | 28,155 | ||||||
16.24%, 07/25/2035 | 51,709 | 77,787 | ||||||
5.50%, 08/25/2035 | 1,137,382 | 1,230,735 | ||||||
5.50%, 08/25/2035 | 218,301 | 248,667 | ||||||
15.57%, 08/25/2035 | 73,468 | 106,049 | ||||||
15.74%, 08/25/2035 | �� | 104,881 | 147,019 | |||||
0.00%, 09/25/2035 PO | 34,477 | 33,284 | ||||||
22.39%, 09/25/2035 | 26,112 | 41,905 | ||||||
0.00%, 10/25/2035 PO | 46,089 | 43,777 | ||||||
5.75%, 10/25/2035 | 216,758 | 237,981 | ||||||
15.74%, 10/25/2035 | 87,632 | 120,828 | ||||||
22.90%, 11/25/2035 | 434,601 | 684,359 | ||||||
5.50%, 12/25/2035 | 584,000 | 697,254 | ||||||
5.50%, 12/25/2035 | 111,387 | 121,754 | ||||||
6.00%, 12/25/2035 | 43,705 | 49,031 | ||||||
6.00%, 12/25/2035 | 1,000,000 | 1,123,323 | ||||||
0.00%, 01/25/2036 PO | 23,763 | 22,984 | ||||||
5.50%, 01/25/2036 | 83,167 | 91,671 |
0.00%, 03/25/2036 PO | 320,662 | 283,250 | ||||||
0.00%, 03/25/2036 PO | 36,124 | 32,580 | ||||||
5.50%, 03/25/2036 | 491,171 | 556,863 | ||||||
5.50%, 03/25/2036 | 457,620 | 517,913 | ||||||
5.50%, 03/25/2036 | 198,234 | 214,409 | ||||||
6.25%, 03/25/2036 IO | 1,175,761 | 250,651 | ||||||
22.90%, 03/25/2036 | 29,015 | 45,827 | ||||||
0.00%, 04/25/2036 PO | 110,319 | 98,901 | ||||||
0.00%, 04/25/2036 PO | 56,064 | 51,564 | ||||||
0.00%, 04/25/2036 PO | 129,853 | 120,763 | ||||||
0.70%, 04/25/2036 | 192,689 | 191,387 | ||||||
28.11%, 05/25/2036 | 35,967 | 67,024 | ||||||
0.00%, 06/25/2036 PO | 212,104 | 204,108 | ||||||
0.00%, 06/25/2036 PO | 93,068 | 89,764 | ||||||
0.00%, 06/25/2036 PO | 31,207 | 30,024 | ||||||
0.00%, 06/25/2036 PO | 267,976 | 256,281 | ||||||
0.00%, 06/25/2036 PO | 63,134 | 59,963 | ||||||
0.85%, 06/25/2036 | 70,326 | 70,279 | ||||||
6.13%, 06/25/2036 IO | 268,290 | 41,247 | ||||||
22.54%, 06/25/2036 | 11,230 | 15,813 | ||||||
0.77%, 06/27/2036 | 1,383,605 | 1,382,098 | ||||||
0.00%, 07/25/2036 PO | 72,603 | 69,041 | ||||||
0.00%, 07/25/2036 PO | 39,234 | 37,564 | ||||||
0.00%, 07/25/2036 PO | 62,789 | 61,540 | ||||||
0.00%, 07/25/2036 PO | 20,671 | 19,832 | ||||||
0.74%, 07/25/2036 | 584,262 | 582,219 | ||||||
0.91%, 07/25/2036 | 63,339 | 63,474 | ||||||
6.00%, 07/25/2036 | 881,028 | 1,020,973 | ||||||
6.07%, 07/25/2036 IO | 106,937 | 21,358 | ||||||
6.50%, 07/25/2036 | 422,974 | 503,383 | ||||||
6.50%, 07/25/2036 | 560,616 | 649,716 | ||||||
26.99%, 07/25/2036 | 34,359 | 65,024 | ||||||
37.18%, 07/25/2036 | 27,470 | 56,169 | ||||||
0.00%, 08/25/2036 PO | 68,608 | 66,535 | ||||||
0.00%, 08/25/2036 PO | 53,818 | 50,955 | ||||||
0.00%, 08/25/2036 PO | 25,600 | 24,729 | ||||||
0.00%, 08/25/2036 PO | 129,441 | 123,287 | ||||||
0.80%, 08/25/2036 | 227,053 | 226,698 | ||||||
6.05%, 08/25/2036 IO | 93,197 | 22,576 | ||||||
6.50%, 08/25/2036 | 70,078 | 80,015 | ||||||
6.50%, 08/25/2036 | 317,229 | 369,278 | ||||||
0.00%, 09/25/2036 PO | 68,450 | 66,002 |
0.00%, 09/25/2036 PO | 47,267 | 45,791 | ||||||
0.00%, 09/25/2036 PO | 71,294 | 67,514 | ||||||
6.50%, 09/25/2036 | 53,562 | 61,204 | ||||||
4.50%, 10/25/2036 | 340,225 | 374,134 | ||||||
24.39%, 10/25/2036 | 43,038 | 70,979 | ||||||
0.00%, 11/25/2036 PO | 118,549 | 113,809 | ||||||
0.00%, 11/25/2036 PO | 18,294 | 17,559 | ||||||
0.00%, 11/25/2036 PO | 48,891 | 46,989 | ||||||
0.00%, 12/25/2036 PO | 25,071 | 23,861 | ||||||
0.00%, 12/25/2036 PO | 58,972 | 52,785 | ||||||
0.51%, 12/25/2036 | 173,742 | 169,934 | ||||||
0.52%, 12/25/2036 | 659,239 | 657,114 | ||||||
6.20%, 12/25/2036 IO | 272,822 | 33,479 | ||||||
24.75%, 12/25/2036 | 13,998 | 22,102 | ||||||
0.00%, 01/25/2037 PO | 56,007 | 52,438 | ||||||
0.00%, 01/25/2037 PO | 176,574 | 162,846 | ||||||
5.50%, 01/25/2037 | 101,990 | 109,808 | ||||||
0.70%, 02/25/2037 | 217,593 | 216,689 | ||||||
36.28%, 02/25/2037 | 8,374 | 22,024 | ||||||
0.00%, 03/25/2037 PO | 51,698 | 49,473 | ||||||
0.95%, 03/25/2037 | 137,308 | 137,753 | ||||||
1.20%, 03/25/2037 | 184,499 | 186,690 | ||||||
5.00%, 03/25/2037 | 14,912 | 16,485 | ||||||
5.63%, 03/25/2037 IO | 20,294 | 3,593 | ||||||
5.99%, 03/25/2037 IO | 492,446 | 84,601 | ||||||
6.00%, 03/25/2037 | 958,767 | 1,058,117 | ||||||
0.00%, 04/25/2037 PO | 170,651 | 165,281 | ||||||
5.65%, 04/25/2037 IO | 181,868 | 31,281 | ||||||
21.16%, 04/25/2037 | 105,140 | 160,550 | ||||||
0.00%, 05/25/2037 PO | 37,205 | 36,041 | ||||||
0.75%, 05/25/2037 | 94,613 | 94,293 | ||||||
6.00%, 05/25/2037 | 562,894 | 643,336 | ||||||
0.85%, 06/25/2037 | 574,736 | 574,763 | ||||||
0.90%, 06/25/2037 | 44,554 | 46,472 | ||||||
5.33%, 06/25/2037 IO | 101,218 | 15,507 | ||||||
5.65%, 06/25/2037 IO | 129,845 | 25,157 | ||||||
5.65%, 06/25/2037 IO | 373,851 | 59,702 | ||||||
6.50%, 06/25/2037 | 60,711 | 68,907 | ||||||
0.00%, 07/25/2037 PO | 123,915 | 112,618 | ||||||
0.82%, 07/25/2037 | 102,110 | 102,294 | ||||||
0.95%, 07/25/2037 | 68,211 | 68,473 | ||||||
5.50%, 07/25/2037 | 300,916 | 340,213 |
5.95%, 07/25/2037 IO | 759,240 | 137,163 | ||||||
6.17%, 07/25/2037 IO | 425,323 | 57,284 | ||||||
6.70%, 07/25/2037 IO | 1,195,554 | 276,648 | ||||||
15.37%, 07/25/2037 | 70,258 | 95,311 | ||||||
0.90%, 08/25/2037 | 497,273 | 499,019 | ||||||
5.50%, 08/25/2037 | 176,622 | 194,745 | ||||||
6.00%, 08/25/2037 | 47,764 | 54,417 | ||||||
6.00%, 08/25/2037 | 265,075 | 301,318 | ||||||
6.00%, 08/25/2037 | 229,402 | 259,393 | ||||||
6.00%, 08/25/2037 | 305,707 | 336,620 | ||||||
22.35%, 08/25/2037 | 105,746 | 168,278 | ||||||
0.90%, 09/25/2037 | 1,905,058 | 1,914,997 | ||||||
6.09%, 09/25/2037 IO | 377,017 | 81,122 | ||||||
15.02%, 09/25/2037 | 27,320 | 39,153 | ||||||
0.00%, 10/25/2037 PO | 1,036,847 | 949,122 | ||||||
6.00%, 10/25/2037 IO | 362,751 | 65,296 | ||||||
6.01%, 10/25/2037 IO | 410,217 | 63,428 | ||||||
6.12%, 10/25/2037 | 156,524 | 176,253 | ||||||
0.65%, 10/27/2037 | 1,387,613 | 1,384,035 | ||||||
5.91%, 12/25/2037 IO | 28,154 | 3,474 | ||||||
5.95%, 12/25/2037 IO | 473,456 | 60,003 | ||||||
6.00%, 12/25/2037 IO | 384,490 | 80,702 | ||||||
6.50%, 12/25/2037 | 342,954 | 404,239 | ||||||
1.53%, 01/25/2038 IO | 1,014,274 | 68,307 | ||||||
5.46%, 02/25/2038 IO | 441,764 | 73,003 | ||||||
5.55%, 02/25/2038 IO | 746,977 | 130,349 | ||||||
1.35%, 03/25/2038 | 95,362 | 96,884 | ||||||
5.75%, 03/25/2038 IO | 124,750 | 21,095 | ||||||
5.78%, 03/25/2038 IO | 109,435 | 16,873 | ||||||
6.54%, 03/25/2038 IO | 178,627 | 33,584 | ||||||
13.09%, 03/25/2038 | 48,551 | 60,635 | ||||||
5.50%, 04/25/2038 | 1,102,122 | 1,143,270 | ||||||
6.40%, 04/25/2038 IO | 124,782 | 20,449 | ||||||
6.45%, 04/25/2038 IO | 163,844 | 28,181 | ||||||
6.50%, 04/25/2038 | 116,806 | 129,239 | ||||||
19.34%, 04/25/2038 | 58,118 | 85,491 | ||||||
0.00%, 05/25/2038 PO | 5,317 | 5,034 | ||||||
1.72%, 06/25/2038 IO | 428,772 | 29,409 | ||||||
5.00%, 07/25/2038 | 101,592 | 113,495 | ||||||
5.00%, 07/25/2038 | 87,688 | 96,652 | ||||||
5.50%, 07/25/2038 | 622,412 | 684,849 | ||||||
6.75%, 07/25/2038 IO | 108,003 | 21,914 |
5.40%, 09/25/2038 IO | 406,505 | 59,935 | ||||||
5.40%, 09/25/2038 IO | 235,206 | 34,796 | ||||||
4.50%, 11/25/2038 | 60,509 | 62,345 | ||||||
0.85%, 12/25/2038 | 240,103 | 240,603 | ||||||
4.00%, 02/25/2039 | 330,415 | 343,439 | ||||||
4.50%, 02/25/2039 | 23,245 | 24,954 | ||||||
6.10%, 02/25/2039 IO | 259,374 | 56,241 | ||||||
6.20%, 03/25/2039 IO | 204,682 | 32,348 | ||||||
0.90%, 04/25/2039 | 561,991 | 565,127 | ||||||
5.00%, 07/25/2039 IO | 176,595 | 23,504 | ||||||
7.00%, 07/25/2039 | 13,038 | 14,626 | ||||||
5.00%, 08/25/2039 | 636,482 | 710,439 | ||||||
6.00%, 08/25/2039 | 757,590 | 873,697 | ||||||
5.00%, 09/25/2039 | 605,935 | 654,987 | ||||||
6.02%, 09/25/2039 | 324,943 | 378,006 | ||||||
5.45%, 10/25/2039 IO | 173,319 | 21,764 | ||||||
5.50%, 10/25/2039 IO | 416,435 | 61,380 | ||||||
2.75%, 12/25/2039 | 731,376 | 773,621 | ||||||
5.73%, 12/25/2039 IO | 224,613 | 31,826 | ||||||
6.29%, 12/25/2039 | 473,951 | 549,380 | ||||||
0.00%, 01/25/2040 PO | 95,050 | 90,061 | ||||||
5.80%, 01/25/2040 IO | 316,284 | 50,905 | ||||||
6.23%, 02/25/2040 | 125,867 | 144,963 | ||||||
1.05%, 03/25/2040 | 215,405 | 218,102 | ||||||
6.24%, 03/25/2040 | 357,744 | 416,141 | ||||||
6.44%, 03/25/2040 | 387,888 | 458,154 | ||||||
11.75%, 03/25/2040 | 628,369 | 812,478 | ||||||
1.05%, 04/25/2040 | 187,100 | 188,501 | ||||||
5.97%, 04/25/2040 IO | 276,784 | 37,282 | ||||||
16.16%, 04/25/2040 | 288,812 | 412,525 | ||||||
1.05%, 05/25/2040 | 175,867 | 177,308 | ||||||
5.95%, 05/25/2040 IO | 164,077 | 29,770 | ||||||
0.00%, 06/25/2040 PO | 156,295 | 142,730 | ||||||
5.00%, 06/25/2040 | 1,538,028 | 1,715,955 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,128,484 | ||||||
5.50%, 07/25/2040 | 725,026 | 838,244 | ||||||
4.00%, 08/25/2040 | 2,597,739 | 2,703,832 | ||||||
5.00%, 09/25/2040 | 206,000 | 250,940 | ||||||
5.50%, 10/25/2040 | 2,012,000 | 2,412,977 | ||||||
3.99%, 11/25/2040 IO | 1,539,381 | 156,706 | ||||||
1.00%, 01/25/2041 | 408,866 | 410,733 | ||||||
6.08%, 01/25/2041 IO | 1,198,664 | 287,094 |
1.86%, 04/25/2041 IO | 2,600,460 | 179,948 | ||||||
0.95%, 07/25/2041 | 138,156 | 138,560 | ||||||
1.00%, 08/25/2041 | 420,651 | 425,731 | ||||||
0.95%, 11/25/2041 | 485,433 | 486,746 | ||||||
7.00%, 11/25/2041 | 2,360,089 | 2,825,800 | ||||||
7.00%, 11/25/2041 | 2,727,526 | 3,245,600 | ||||||
7.00%, 11/25/2041 | 3,163,005 | 3,787,281 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 1,080,578 | ||||||
6.50%, 06/25/2042 | 87,009 | 102,759 | ||||||
0.90%, 09/25/2042 | 721,258 | 726,678 | ||||||
0.95%, 09/25/2042 | 358,419 | 358,309 | ||||||
0.95%, 09/25/2042 | 2,655,909 | 2,634,771 | ||||||
0.95%, 10/25/2042 | 1,172,288 | 1,173,358 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 1,009,578 | ||||||
3.50%, 02/25/2043 | 694,297 | 736,750 | ||||||
0.00%, 09/25/2043 PO | 2,114,121 | 1,749,302 | ||||||
0.00%, 10/25/2043 PO | 1,500,352 | 1,228,180 | ||||||
0.00%, 12/25/2043 PO | 4,095,750 | 3,375,431 | ||||||
3.00%, 01/25/2046 | 3,083,185 | 3,255,590 | ||||||
5.65%, 11/25/2049 IO | 182,686 | 27,223 | ||||||
5.82%, 02/25/2051 | 226,721 | 253,046 | ||||||
5.45%, 07/25/2051 | 72,983 | 82,707 | ||||||
Fannie Mae Trust 2003-W2 | ||||||||
5.90%, 07/25/2042 | 84,967 | 98,444 | ||||||
6.50%, 07/25/2042 | 146,006 | 173,202 | ||||||
Fannie Mae Trust 2003-W6 | ||||||||
5.20%, 09/25/2042 | 561,820 | 653,775 | ||||||
6.50%, 09/25/2042 | 241,414 | 287,301 | ||||||
Fannie Mae Trust 2003-W8 | ||||||||
0.85%, 05/25/2042 | 53,327 | 52,799 | ||||||
7.00%, 10/25/2042 | 291,173 | 348,007 | ||||||
Fannie Mae Trust 2004-W1 | ||||||||
7.00%, 12/25/2033 | 392,559 | 472,462 | ||||||
5.04%, 11/25/2043 | 89,142 | 89,407 | ||||||
Fannie Mae Trust 2004-W15 | ||||||||
0.70%, 08/25/2044 | 258,718 | 257,435 | ||||||
Fannie Mae Trust 2004-W2 | ||||||||
7.00%, 02/25/2044 | 90,485 | 106,591 | ||||||
Fannie Mae Trust 2004-W8 | ||||||||
7.50%, 06/25/2044 | 95,441 | 114,121 | ||||||
Fannie Mae Trust 2005-W3 | ||||||||
0.67%, 03/25/2045 | 2,141,521 | 2,084,303 |
Fannie Mae Trust 2005-W4 | ||||||||
6.00%, 08/25/2045 | 117,708 | 136,337 | ||||||
Fannie Mae Trust 2006-W2 | ||||||||
2.48%, 11/25/2045 | 279,891 | 298,060 | ||||||
0.67%, 02/25/2046 | 988,187 | 987,719 | ||||||
Fannie Mae Whole Loan | ||||||||
0.71%, 11/25/2046 | 2,502,077 | 2,507,649 | ||||||
Fannie Mae-Aces | ||||||||
0.81%, 01/25/2017 | 49,952 | 49,922 | ||||||
0.97%, 08/25/2019 | 598,916 | 598,834 | ||||||
1.80%, 12/25/2019 | 743,000 | 754,637 | ||||||
4.33%, 03/25/2020 | 766,922 | 836,519 | ||||||
3.66%, 11/25/2020 | 612,695 | 659,626 | ||||||
3.73%, 06/25/2021 | 5,158,000 | 5,674,212 | ||||||
3.76%, 06/25/2021 | 1,032,000 | 1,138,809 | ||||||
2.92%, 08/25/2021 | 706,000 | 751,121 | ||||||
2.61%, 10/25/2021 | 3,000,000 | 3,146,003 | ||||||
1.37%, 11/25/2022 | 4,378,684 | 4,389,582 | ||||||
2.28%, 12/27/2022 | 1,357,000 | 1,401,606 | ||||||
2.39%, 01/25/2023 | 1,342,000 | 1,387,494 | ||||||
3.51%, 12/25/2023 | 8,394,000 | 9,320,120 | ||||||
3.50%, 01/25/2024 | 16,000,000 | 17,630,309 | ||||||
3.10%, 07/25/2024 | 1,066,000 | 1,145,955 | ||||||
3.02%, 08/25/2024 | 1,273,000 | 1,365,101 | ||||||
2.53%, 09/25/2024 | 1,390,000 | 1,440,196 | ||||||
2.72%, 10/25/2024 | 13,450,000 | 14,107,868 | ||||||
2.59%, 12/25/2024 | 1,640,000 | 1,704,852 | ||||||
3.15%, 12/25/2024 | 2,906,588 | 3,112,663 | ||||||
2.83%, 01/25/2025 | 3,500,000 | 3,722,333 | ||||||
2.90%, 01/25/2025 | 2,000,000 | 2,131,625 | ||||||
3.04%, 11/25/2025 | 8,800,000 | 9,390,679 | ||||||
3.09%, 04/25/2027 | 23,211,000 | 25,217,609 | ||||||
FDIC Guaranteed Notes Trust 2010-C1 | ||||||||
2.98%, 12/06/2020 (Acquired 10/28/2013, Cost $943,872) (1) | 932,153 | 947,377 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
5.09%, 03/25/2019 | 9,000,000 | 9,824,151 | ||||||
1.80%, 06/25/2020 IO | 58,428,165 | 2,807,456 | ||||||
2.57%, 09/25/2020 | 9,500,000 | 9,931,768 | ||||||
2.60%, 09/25/2020 | 763,000 | 794,675 | ||||||
2.87%, 12/25/2021 | 5,500,000 | 5,830,409 | ||||||
1.58%, 05/25/2022 IO | 55,174,052 | 3,893,666 | ||||||
2.37%, 05/25/2022 | 15,905,000 | 16,494,140 |
1.14%, 09/25/2022 | 5,404,215 | 5,412,684 | ||||||
1.01%, 10/25/2022 IO | 23,176,151 | 1,041,824 | ||||||
2.52%, 01/25/2023 | 2,000,000 | 2,089,072 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,815,207 | ||||||
3.06%, 07/25/2023 | 8,150,000 | 8,816,042 | ||||||
3.53%, 07/25/2023 | 12,628,000 | 14,022,740 | ||||||
3.49%, 01/25/2024 | 5,000,000 | 5,553,408 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,737,900 | ||||||
3.24%, 09/25/2024 | 2,152,000 | 2,356,461 | ||||||
3.17%, 10/25/2024 | 2,301,000 | 2,507,278 | ||||||
2.81%, 01/25/2025 | 29,255,000 | 31,049,042 | ||||||
2.77%, 05/25/2025 | 4,250,000 | 4,474,457 | ||||||
3.16%, 05/25/2025 | 5,600,000 | 6,059,012 | ||||||
3.28%, 06/25/2025 | 4,191,000 | 4,601,272 | ||||||
3.01%, 07/25/2025 | 1,532,000 | 1,648,885 | ||||||
3.00%, 12/25/2025 | 2,236,000 | 2,401,761 | ||||||
2.75%, 01/25/2026 | 2,225,000 | 2,341,221 | ||||||
1.37%, 03/25/2026 | 56,080,000 | 5,878,412 | ||||||
3.08%, 01/25/2031 | 4,126,000 | 4,389,736 | ||||||
FHLMC PC | ||||||||
3.50%, 02/01/2046 | 12,835,672 | 13,567,604 | ||||||
FHLMC Structured Pass Through Securities | ||||||||
6.62%, 07/25/2032 | 80,695 | 86,990 | ||||||
5.43%, 07/25/2033 | 242,524 | 284,145 | ||||||
1.58%, 10/25/2037 | 2,053,074 | 2,174,780 | ||||||
7.50%, 02/25/2042 | 333,155 | 402,256 | ||||||
7.50%, 08/25/2042 | 51,880 | 64,369 | ||||||
6.50%, 02/25/2043 | 322,628 | 392,334 | ||||||
7.00%, 02/25/2043 | 109,942 | 133,321 | ||||||
5.23%, 05/25/2043 | 771,059 | 869,595 | ||||||
0.00%, 07/25/2043 PO | 30,826 | 26,935 | ||||||
7.50%, 07/25/2043 | 79,105 | 98,809 | ||||||
0.00%, 09/25/2043 PO | 37,178 | 32,628 | ||||||
7.50%, 09/25/2043 | 447,695 | 546,785 | ||||||
0.00%, 10/25/2043 PO | 40,331 | 34,102 | ||||||
7.00%, 10/25/2043 | 436,587 | 528,186 | ||||||
1.61%, 10/25/2044 | 885,070 | 918,952 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 19,716 | 21,656 | ||||||
6.25%, 11/25/2023 | 12,434 | 13,910 | ||||||
7.50%, 04/25/2024 | 90,537 | 102,050 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA7 | ||||||||
5.00%, 09/25/2020 | 14,380 | 14,471 |
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | ||||||||
5.50%, 11/25/2035 | 160,181 | 136,458 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | ||||||||
5.75%, 11/25/2021 | 46,336 | 46,155 | ||||||
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | ||||||||
5.75%, 02/25/2037 | 84,795 | 72,854 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | ||||||||
5.20%, 08/25/2037 IO | 1,343,775 | 334,798 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR2 | ||||||||
3.06%, 05/25/2034 | 76,466 | 75,429 | ||||||
First Horizon Mortgage Pass-Through Trust 2004-AR7 | ||||||||
2.72%, 02/25/2035 | 448,739 | 446,123 | ||||||
First Horizon Mortgage Pass-Through Trust 2005-AR1 | ||||||||
2.94%, 04/25/2035 | 229,251 | 224,042 | ||||||
Freddie Mac | ||||||||
4.50%, 07/15/2040 (3) | 8,500,000 | 9,270,312 | ||||||
4.00%, 07/15/2041 (3) | 12,825,000 | 13,725,863 | ||||||
3.50%, 07/15/2042 (3) | 21,055,000 | 22,197,891 | ||||||
Freddie Mac Gold Pool | ||||||||
6.50%, 08/01/2016 | 144 | 144 | ||||||
6.00%, 04/01/2017 | 54,043 | 54,786 | ||||||
6.00%, 04/01/2017 | 23,697 | 23,945 | ||||||
5.50%, 06/01/2017 | 942 | 956 | ||||||
5.00%, 10/01/2017 | 11,568 | 11,866 | ||||||
6.00%, 10/01/2017 | 15 | 15 | ||||||
6.50%, 11/01/2017 | 658 | 672 | ||||||
5.00%, 12/01/2017 | 50,573 | 51,887 | ||||||
5.00%, 12/01/2017 | 46,446 | 47,641 | ||||||
6.50%, 12/01/2017 | 1,381 | 1,411 | ||||||
5.50%, 01/01/2018 | 13,434 | 13,730 | ||||||
5.50%, 02/01/2018 | 13,039 | 13,394 | ||||||
5.50%, 04/01/2018 | 143,609 | 147,861 | ||||||
6.00%, 04/01/2018 | 3,047 | 3,122 | ||||||
6.50%, 04/01/2018 | 7,516 | 7,617 | ||||||
4.00%, 06/01/2018 | 2,135 | 2,211 | ||||||
4.50%, 08/01/2018 | 4,282 | 4,380 | ||||||
4.50%, 10/01/2018 | 2,678 | 2,739 | ||||||
4.50%, 10/01/2018 | 26,539 | 27,165 | ||||||
5.00%, 12/01/2018 | 7,828 | 8,034 | ||||||
5.50%, 01/01/2019 | 22,715 | 23,294 | ||||||
6.50%, 09/01/2019 | 6,327 | 6,487 |
5.50%, 12/01/2019 | 26,773 | 27,821 | ||||||
6.00%, 02/01/2020 | 4,823 | 4,958 | ||||||
5.50%, 04/01/2020 | 29,303 | 30,512 | ||||||
5.50%, 06/01/2020 | 14,889 | 15,265 | ||||||
6.00%, 06/01/2020 | 16,637 | 17,481 | ||||||
8.00%, 07/01/2020 | 55 | 56 | ||||||
6.00%, 08/01/2020 | 8,485 | 8,900 | ||||||
6.00%, 07/01/2021 | 39,627 | 41,397 | ||||||
6.00%, 07/01/2021 | 14,778 | 15,059 | ||||||
6.00%, 01/01/2022 | 2,819 | 2,890 | ||||||
6.00%, 02/01/2022 | 3,938 | 3,996 | ||||||
6.00%, 03/01/2022 | 17,930 | 18,325 | ||||||
6.50%, 03/01/2022 | 6,855 | 7,295 | ||||||
6.00%, 12/01/2022 | 10,335 | 11,732 | ||||||
5.50%, 02/01/2024 | 24,383 | 26,445 | ||||||
4.00%, 07/01/2024 | 522,956 | 555,958 | ||||||
8.00%, 08/01/2024 | 997 | 1,170 | ||||||
8.00%, 11/01/2024 | 747 | 831 | ||||||
7.50%, 08/01/2025 | 1,789 | 2,139 | ||||||
3.50%, 11/01/2025 | 615,717 | 652,638 | ||||||
3.50%, 12/01/2025 | 1,930,598 | 2,061,205 | ||||||
10.00%, 03/17/2026 | 36,727 | 38,331 | ||||||
7.00%, 04/01/2026 | 1,944 | 2,249 | ||||||
3.50%, 08/01/2026 | 2,140,856 | 2,284,406 | ||||||
3.50%, 01/01/2027 | 358,743 | 382,896 | ||||||
2.50%, 08/15/2027 (3) | 6,000,000 | 6,192,656 | ||||||
6.50%, 01/01/2028 | 56,904 | 65,741 | ||||||
2.50%, 03/01/2028 | 14,779,133 | 15,307,044 | ||||||
2.50%, 04/01/2028 | 3,864,538 | 4,002,440 | ||||||
3.00%, 07/01/2028 | 3,145,023 | 3,313,142 | ||||||
8.50%, 07/01/2028 | 5,219 | 6,429 | ||||||
2.50%, 07/15/2028 (3) | 4,000,000 | 4,135,938 | ||||||
3.00%, 08/01/2028 | 1,693,667 | 1,790,293 | ||||||
3.00%, 09/01/2028 | 6,604,338 | 6,971,695 | ||||||
3.00%, 10/01/2028 | 2,658,247 | 2,812,393 | ||||||
7.00%, 12/01/2028 | 79,574 | 94,847 | ||||||
3.00%, 05/01/2029 | 2,446,137 | 2,587,622 | ||||||
6.50%, 06/01/2029 | 26,781 | 31,722 | ||||||
7.00%, 07/01/2029 | 1,100 | 1,237 | ||||||
6.50%, 08/01/2029 | 123,998 | 146,739 | ||||||
6.00%, 10/01/2029 | 25,092 | 28,496 | ||||||
2.50%, 03/01/2030 | 2,585,051 | 2,682,683 |
2.50%, 07/01/2030 | 6,237,185 | 6,473,320 | ||||||
10.00%, 10/01/2030 | 215,535 | 236,808 | ||||||
7.00%, 01/01/2031 | 68,750 | 81,141 | ||||||
3.50%, 01/01/2032 | 984,828 | 1,055,338 | ||||||
7.50%, 01/01/2032 | 158,957 | 191,099 | ||||||
3.50%, 03/01/2032 | 398,639 | 427,205 | ||||||
7.00%, 07/01/2032 | 6,039 | 6,893 | ||||||
7.00%, 08/01/2032 | 8,680 | 10,344 | ||||||
5.50%, 01/01/2033 | 201,017 | 223,750 | ||||||
3.50%, 02/01/2033 | 336,473 | 359,797 | ||||||
6.00%, 02/01/2033 | 111,570 | 127,000 | ||||||
3.50%, 05/01/2033 | 393,343 | 420,575 | ||||||
3.50%, 05/01/2033 | 1,344,482 | 1,437,337 | ||||||
5.50%, 10/01/2033 | 66,123 | 76,257 | ||||||
6.00%, 12/01/2033 | 15,084 | 17,162 | ||||||
5.00%, 01/01/2034 | 52,614 | 58,894 | ||||||
6.00%, 01/01/2034 | 47,528 | 55,669 | ||||||
6.00%, 01/01/2034 | 40,758 | 44,463 | ||||||
5.00%, 06/01/2034 | 267,578 | 296,901 | ||||||
5.00%, 09/01/2034 | 123,094 | 138,305 | ||||||
6.50%, 11/01/2034 | 15,241 | 18,122 | ||||||
6.50%, 01/01/2035 | 169,106 | 203,092 | ||||||
5.00%, 03/01/2035 | 83,187 | 92,394 | ||||||
5.50%, 07/01/2035 | 125,921 | 142,134 | ||||||
4.50%, 11/01/2035 | 20,799 | 22,744 | ||||||
6.50%, 12/01/2035 | 56,650 | 62,024 | ||||||
6.50%, 12/01/2035 | 106,642 | 128,679 | ||||||
5.50%, 01/01/2036 | 44,871 | 50,493 | ||||||
5.00%, 03/01/2036 | 5,487,750 | 6,094,357 | ||||||
5.00%, 07/01/2036 | 4,834 | 5,371 | ||||||
5.00%, 11/01/2036 | 150,235 | 166,853 | ||||||
6.00%, 11/01/2036 | 22,674 | 25,057 | ||||||
6.50%, 11/01/2036 | 40,196 | 49,458 | ||||||
6.50%, 11/01/2036 | 245,215 | 280,351 | ||||||
6.50%, 11/01/2036 | 516,980 | 591,766 | ||||||
5.50%, 12/01/2036 | 70,526 | 79,221 | ||||||
6.00%, 12/01/2036 | 34,266 | 39,287 | ||||||
6.00%, 12/01/2036 | 17,740 | 20,341 | ||||||
6.50%, 12/01/2036 | 501,584 | 575,993 | ||||||
6.50%, 12/01/2036 | 181,332 | 207,884 | ||||||
7.50%, 12/01/2036 | 570,506 | 684,413 | ||||||
6.50%, 01/01/2037 | 31,462 | 34,750 |
6.50%, 01/01/2037 | 6,751 | 7,008 | ||||||
6.50%, 02/01/2037 | 53,424 | 61,018 | ||||||
7.00%, 02/01/2037 | 14,403 | 17,583 | ||||||
5.00%, 03/01/2037 | 447,100 | 495,818 | ||||||
5.00%, 06/01/2037 | 465,153 | 514,829 | ||||||
6.50%, 06/01/2037 | 24,318 | 27,288 | ||||||
5.00%, 08/01/2037 | 434,350 | 481,242 | ||||||
6.50%, 11/01/2037 | 101,766 | 124,115 | ||||||
7.50%, 01/01/2038 | 70,473 | 87,702 | ||||||
7.50%, 01/01/2038 | 103,863 | 126,367 | ||||||
5.00%, 02/01/2038 | 474,155 | 522,960 | ||||||
5.00%, 03/01/2038 | 530,218 | 585,139 | ||||||
5.00%, 03/01/2038 | 799,653 | 885,789 | ||||||
5.00%, 03/01/2038 | 512,177 | 564,896 | ||||||
5.00%, 03/01/2038 | 119,633 | 132,241 | ||||||
6.50%, 03/01/2038 | 94,933 | 112,140 | ||||||
5.00%, 04/01/2038 | 502,211 | 553,904 | ||||||
5.50%, 05/01/2038 | 134,758 | 151,168 | ||||||
5.50%, 08/01/2038 | 162,501 | 182,311 | ||||||
5.00%, 09/01/2038 | 386,754 | 426,562 | ||||||
5.00%, 09/01/2038 | 1,884 | 2,078 | ||||||
7.50%, 09/01/2038 | 51,929 | 64,685 | ||||||
5.00%, 11/01/2038 | 166,717 | 183,877 | ||||||
5.00%, 11/01/2038 | 2,844 | 3,137 | ||||||
5.00%, 12/01/2038 | 1,613 | 1,779 | ||||||
5.00%, 12/01/2038 | 458,683 | 505,959 | ||||||
5.50%, 01/01/2039 | 5,552,295 | 6,282,884 | ||||||
5.00%, 02/01/2039 | 946,849 | 1,044,309 | ||||||
5.00%, 05/01/2039 | 13,462 | 15,210 | ||||||
4.50%, 07/01/2039 | 428,116 | 467,051 | ||||||
4.50%, 10/01/2039 | 3,271,129 | 3,587,659 | ||||||
5.00%, 10/01/2039 | 1,033,606 | 1,139,996 | ||||||
4.50%, 11/01/2039 | 5,313,328 | 5,810,760 | ||||||
4.50%, 11/01/2039 | 3,726,496 | 4,088,064 | ||||||
5.00%, 03/01/2040 | 5,123,175 | 5,653,039 | ||||||
5.50%, 03/01/2040 | 49,002 | 54,818 | ||||||
5.50%, 05/01/2040 | 3,882,579 | 4,367,063 | ||||||
4.50%, 08/01/2040 | 89,554 | 98,863 | ||||||
4.50%, 08/01/2040 | 854,895 | 939,136 | ||||||
4.50%, 08/01/2040 | 5,842,000 | 6,486,251 | ||||||
5.00%, 08/01/2040 | 675,138 | 747,786 | ||||||
5.00%, 08/01/2040 | 2,511,186 | 2,782,809 |
5.50%, 08/01/2040 | 1,631,152 | 1,830,583 | ||||||
4.00%, 08/15/2040 (3) | 4,500,000 | 4,811,873 | ||||||
4.00%, 09/01/2040 | 1,318,821 | 1,417,581 | ||||||
4.50%, 09/01/2040 | 661,014 | 726,078 | ||||||
4.50%, 09/01/2040 | 2,607,897 | 2,857,953 | ||||||
4.00%, 11/01/2040 | 4,134,173 | 4,444,123 | ||||||
4.00%, 11/01/2040 | 67,053 | 72,067 | ||||||
4.00%, 12/01/2040 | 733,418 | 794,393 | ||||||
4.00%, 12/01/2040 | 1,661,859 | 1,800,131 | ||||||
4.00%, 12/01/2040 | 2,528,915 | 2,718,595 | ||||||
4.00%, 12/01/2040 | 2,453,004 | 2,637,206 | ||||||
4.00%, 12/01/2040 | 1,991,878 | 2,157,603 | ||||||
4.00%, 01/01/2041 | 1,574,042 | 1,684,495 | ||||||
4.50%, 03/01/2041 | 493,650 | 542,339 | ||||||
5.00%, 04/01/2041 | 2,172,197 | 2,401,197 | ||||||
4.50%, 05/01/2041 | 3,632,365 | 3,998,947 | ||||||
5.00%, 06/01/2041 | 592,867 | 656,049 | ||||||
4.00%, 10/01/2041 | 8,729,486 | 9,385,652 | ||||||
4.00%, 11/01/2041 | 21,384 | 22,991 | ||||||
4.00%, 01/01/2042 | 392,094 | 421,567 | ||||||
4.00%, 05/01/2042 | 28,424 | 30,557 | ||||||
4.50%, 05/01/2042 | 5,213,849 | 5,732,847 | ||||||
3.50%, 06/01/2042 | 4,414,468 | 4,703,646 | ||||||
3.50%, 06/01/2042 | 768,248 | 811,362 | ||||||
4.00%, 06/01/2042 | 3,732,213 | 4,043,137 | ||||||
3.50%, 07/01/2042 | 17,453,307 | 18,430,327 | ||||||
3.00%, 08/01/2042 | 3,007,767 | 3,125,779 | ||||||
3.50%, 08/01/2042 | 1,491,683 | 1,574,786 | ||||||
3.50%, 08/15/2042 (3) | 14,250,000 | 15,005,695 | ||||||
3.50%, 09/01/2042 | 6,064,430 | 6,407,047 | ||||||
3.00%, 10/01/2042 | 7,355,124 | 7,642,204 | ||||||
3.50%, 10/01/2042 | 4,744,243 | 5,008,259 | ||||||
4.00%, 10/01/2042 | 165,314 | 173,053 | ||||||
3.00%, 11/01/2042 | 9,533,507 | 9,986,785 | ||||||
3.50%, 11/01/2042 | 176,361 | 187,880 | ||||||
4.00%, 01/01/2043 | 420,961 | 456,115 | ||||||
3.00%, 02/01/2043 | 616,889 | 640,823 | ||||||
3.00%, 03/01/2043 | 7,983,965 | 8,293,879 | ||||||
3.00%, 03/01/2043 | 3,933,726 | 4,086,219 | ||||||
3.50%, 03/01/2043 | 1,333,780 | 1,408,296 | ||||||
3.00%, 04/01/2043 | 149,940 | 155,705 | ||||||
3.50%, 05/01/2043 | 422,620 | 450,315 |
3.00%, 06/01/2043 | 61,910 | 64,259 | ||||||
3.00%, 06/01/2043 | 16,955,129 | 17,607,191 | ||||||
3.50%, 06/01/2043 | 1,503,405 | 1,601,895 | ||||||
3.50%, 06/01/2043 | 2,735,338 | 2,885,231 | ||||||
4.00%, 06/01/2043 | 23,511 | 25,598 | ||||||
3.00%, 07/01/2043 | 42,272 | 43,889 | ||||||
3.00%, 07/01/2043 | 550,489 | 571,602 | ||||||
3.00%, 07/15/2043 (3) | 23,005,000 | 23,843,127 | ||||||
3.00%, 08/01/2043 | 833,781 | 865,504 | ||||||
3.00%, 08/01/2043 | 10,494,003 | 10,894,347 | ||||||
3.00%, 08/15/2043 (3) | 17,500,000 | 18,104,755 | ||||||
3.00%, 09/01/2043 | 688,942 | 714,877 | ||||||
4.00%, 09/01/2043 | 270,887 | 291,746 | ||||||
3.50%, 10/01/2043 | 337,937 | 356,423 | ||||||
3.00%, 11/01/2043 | 82,046 | 85,159 | ||||||
4.00%, 11/01/2043 | 162,281 | 175,017 | ||||||
4.00%, 11/01/2043 | 381,656 | 408,683 | ||||||
4.00%, 12/01/2043 | 434,613 | 465,226 | ||||||
4.00%, 12/01/2043 | 3,499,170 | 3,747,507 | ||||||
4.00%, 12/01/2043 | 1,096,002 | 1,180,417 | ||||||
4.00%, 01/01/2044 | 191,077 | 205,337 | ||||||
4.00%, 01/01/2044 | 1,061,168 | 1,136,205 | ||||||
4.00%, 03/01/2044 | 5,931,071 | 6,346,998 | ||||||
3.50%, 05/01/2044 | 23,857,121 | 25,524,740 | ||||||
4.50%, 07/01/2044 | 125,898 | 137,399 | ||||||
4.00%, 10/01/2044 | 14,694,011 | 15,904,547 | ||||||
3.50%, 03/01/2045 | 5,231,314 | 5,523,217 | ||||||
3.00%, 05/01/2045 | 3,233,967 | 3,374,593 | ||||||
3.00%, 05/01/2045 | 1,871,699 | 1,954,825 | ||||||
3.00%, 06/01/2045 | 969,983 | 1,006,304 | ||||||
3.50%, 08/01/2045 | 7,253,580 | 7,741,457 | ||||||
3.50%, 10/01/2045 | 8,066,972 | 8,574,538 | ||||||
3.50%, 12/01/2045 | 6,719,313 | 7,098,690 | ||||||
3.50%, 01/01/2046 | 7,315,466 | 7,774,545 | ||||||
4.00%, 01/01/2046 | 4,896,008 | 5,386,464 | ||||||
4.00%, 01/01/2046 | 4,001,863 | 4,362,252 | ||||||
3.50%, 04/01/2046 | 7,940,935 | 8,392,500 | ||||||
4.00%, 04/01/2046 | 9,956,334 | 10,852,935 | ||||||
4.00%, 04/01/2046 | 13,108,611 | 14,205,048 | ||||||
Freddie Mac Non Gold Pool | ||||||||
2.38%, 07/01/2019 | 1,593 | 1,614 | ||||||
2.38%, 07/01/2026 | 4,666 | 4,702 |
2.57%, 01/01/2027 | 8,985 | 9,432 | ||||||
2.53%, 04/01/2030 | 4,290 | 4,518 | ||||||
2.62%, 09/01/2032 | 8,464 | 8,973 | ||||||
2.78%, 05/01/2033 | 255,570 | 270,395 | ||||||
2.61%, 12/01/2033 | 46,029 | 48,875 | ||||||
2.86%, 04/01/2034 | 82,350 | 87,267 | ||||||
2.73%, 09/01/2034 | 179,271 | 189,820 | ||||||
2.63%, 01/01/2035 | 274,712 | 289,985 | ||||||
2.64%, 01/01/2035 | 82,808 | 87,718 | ||||||
2.69%, 08/01/2035 | 26,909 | 28,428 | ||||||
2.82%, 12/01/2035 | 101,865 | 108,214 | ||||||
2.58%, 02/01/2036 | 182,557 | 192,485 | ||||||
2.60%, 02/01/2036 | 38,428 | 40,552 | ||||||
3.14%, 03/01/2036 | 189,827 | 200,748 | ||||||
3.33%, 03/01/2036 | 189,995 | 199,909 | ||||||
2.76%, 05/01/2036 | 118,482 | 125,498 | ||||||
2.82%, 05/01/2036 | 198,401 | 209,690 | ||||||
3.44%, 05/01/2036 | 41,375 | 43,953 | ||||||
3.05%, 06/01/2036 | 491,123 | 521,241 | ||||||
3.12%, 06/01/2036 | 170,663 | 181,267 | ||||||
2.34%, 07/01/2036 | 84,604 | 89,262 | ||||||
2.56%, 07/01/2036 | 65,591 | 69,584 | ||||||
3.23%, 07/01/2036 | 73,713 | 76,669 | ||||||
2.24%, 08/01/2036 | 43,823 | 45,286 | ||||||
2.46%, 08/01/2036 | 106,730 | 111,760 | ||||||
2.51%, 08/01/2036 | 670,843 | 708,590 | ||||||
2.64%, 09/01/2036 | 236,952 | 251,362 | ||||||
2.83%, 09/01/2036 | 211,911 | 224,225 | ||||||
2.35%, 10/01/2036 | 83,522 | 88,170 | ||||||
2.58%, 10/01/2036 | 389,483 | 407,383 | ||||||
2.61%, 10/01/2036 | 184,180 | 195,231 | ||||||
2.63%, 10/01/2036 | 199,636 | 208,946 | ||||||
2.68%, 10/01/2036 | 103,196 | 109,264 | ||||||
2.91%, 10/01/2036 | 48,727 | 50,547 | ||||||
2.96%, 10/01/2036 | 149,810 | 159,508 | ||||||
2.50%, 11/01/2036 | 45,036 | 47,683 | ||||||
2.52%, 11/01/2036 | 185,551 | 194,554 | ||||||
2.52%, 11/01/2036 | 291,447 | 309,150 | ||||||
2.54%, 11/01/2036 | 87,428 | 92,628 | ||||||
2.54%, 11/01/2036 | 80,016 | 84,809 | ||||||
2.43%, 12/01/2036 | 540,073 | 563,811 | ||||||
2.47%, 12/01/2036 | 557,748 | 590,370 |
2.57%, 12/01/2036 | 18,562 | 19,489 | ||||||
2.89%, 12/01/2036 | 207,127 | 221,108 | ||||||
3.08%, 12/01/2036 | 27,814 | 30,090 | ||||||
2.54%, 01/01/2037 | 17,017 | 17,813 | ||||||
2.86%, 01/01/2037 | 103,461 | 109,755 | ||||||
2.65%, 02/01/2037 | 19,427 | 20,584 | ||||||
2.79%, 02/01/2037 | 308,349 | 325,868 | ||||||
2.80%, 02/01/2037 | 16,950 | 17,932 | ||||||
2.97%, 02/01/2037 | 165,367 | 175,625 | ||||||
3.26%, 02/01/2037 | 40,915 | 43,856 | ||||||
2.66%, 03/01/2037 | 534,371 | 562,285 | ||||||
3.15%, 03/01/2037 | 85,297 | 89,542 | ||||||
3.33%, 03/01/2037 | 46,323 | 49,275 | ||||||
2.43%, 04/01/2037 | 69,440 | 72,780 | ||||||
2.95%, 04/01/2037 | 10,017 | 10,351 | ||||||
3.20%, 04/01/2037 | 137,711 | 145,401 | ||||||
2.43%, 05/01/2037 | 166,344 | 172,950 | ||||||
2.89%, 05/01/2037 | 74,121 | 78,986 | ||||||
2.89%, 05/01/2037 | 155,101 | 162,158 | ||||||
3.00%, 05/01/2037 | 51,701 | 55,115 | ||||||
3.09%, 05/01/2037 | 366,292 | 389,031 | ||||||
3.32%, 05/01/2037 | 238,348 | 254,664 | ||||||
2.57%, 06/01/2037 | 115,798 | 121,676 | ||||||
2.73%, 07/01/2037 | 96,588 | 101,693 | ||||||
2.55%, 11/01/2037 | 52,695 | 55,726 | ||||||
3.10%, 04/01/2038 | 212,744 | 226,962 | ||||||
2.96%, 05/01/2038 | 141,841 | 150,225 | ||||||
3.94%, 07/01/2040 | 145,482 | 152,260 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 629,824 | 724,091 | ||||||
6.00%, 05/15/2036 | 858,595 | 981,847 | ||||||
Freddie Mac REMICS | ||||||||
6.50%, 08/15/2016 | 438 | 445 | ||||||
6.00%, 09/15/2016 | 187 | 189 | ||||||
6.00%, 09/15/2016 | 961 | 972 | ||||||
6.00%, 09/15/2016 | 24 | 24 | ||||||
6.00%, 09/15/2016 | 258 | 261 | ||||||
6.00%, 09/15/2016 | 2,191 | 2,216 | ||||||
6.00%, 10/15/2016 | 555 | 561 | ||||||
5.50%, 12/15/2016 | 1,195 | 1,206 | ||||||
6.00%, 12/15/2016 | 946 | 950 | ||||||
6.00%, 03/15/2017 | 2,167 | 2,201 |
5.50%, 06/15/2017 | 6 | 6 | ||||||
6.00%, 06/15/2017 | 2,208 | 2,230 | ||||||
15.75%, 08/15/2017 | 1,423 | 1,501 | ||||||
5.50%, 10/15/2017 | 5,128 | 5,235 | ||||||
5.00%, 12/15/2017 | 11,213 | 11,427 | ||||||
5.50%, 12/15/2017 | 22,790 | 23,351 | ||||||
5.00%, 01/15/2018 | 8,559 | 8,714 | ||||||
4.50%, 05/15/2018 | 13,108 | 13,443 | ||||||
6.50%, 05/15/2018 | 2,266 | 2,342 | ||||||
4.50%, 06/15/2018 | 111,560 | 114,161 | ||||||
5.66%, 06/15/2018 IO | 18,957 | 776 | ||||||
4.50%, 07/15/2018 | 104,739 | 107,202 | ||||||
0.00%, 03/15/2019 PO | 51,784 | 51,064 | ||||||
6.50%, 03/15/2019 IO | 1,629 | 110 | ||||||
4.50%, 04/15/2019 | 845 | 877 | ||||||
0.00%, 07/15/2019 PO | 449 | 447 | ||||||
0.00%, 02/15/2020 PO | 251,107 | 244,495 | ||||||
5.00%, 02/15/2020 IO | 46,861 | 2,580 | ||||||
5.00%, 02/15/2020 IO | 74,814 | 4,685 | ||||||
6.50%, 03/15/2020 | 5,558 | 5,870 | ||||||
11.50%, 03/15/2020 | 18,477 | 20,086 | ||||||
9.50%, 04/15/2020 | 381 | 395 | ||||||
9.60%, 04/15/2020 | 800 | 851 | ||||||
10.00%, 06/15/2020 | 138 | 148 | ||||||
7.80%, 09/15/2020 | 141 | 146 | ||||||
9.00%, 10/15/2020 | 610 | 647 | ||||||
6.95%, 01/15/2021 | 2,152 | 2,279 | ||||||
8.60%, 01/15/2021 | 9 | 10 | ||||||
9.50%, 01/15/2021 | 584 | 632 | ||||||
1066.21%, 02/15/2021 IO | 1 | 6 | ||||||
9.00%, 04/15/2021 | 458 | 520 | ||||||
1.39%, 05/15/2021 | 383 | 388 | ||||||
5.00%, 05/15/2021 | 1,261 | 1,304 | ||||||
6.75%, 05/15/2021 | 974 | 1,026 | ||||||
7.00%, 05/15/2021 | 7,526 | 8,175 | ||||||
32.50%, 05/15/2021 | 183 | 287 | ||||||
43.24%, 05/15/2021 | 269 | 422 | ||||||
6.00%, 07/15/2021 | 1,168 | 1,248 | ||||||
5.50%, 08/15/2021 | 616 | 649 | ||||||
7.00%, 09/15/2021 | 3,004 | 3,210 | ||||||
8.50%, 09/15/2021 | 2,913 | 3,241 | ||||||
6.73%, 11/15/2021 | 163,976 | 172,485 |
1181.25%, 11/15/2021 IO | 2 | 10 | ||||||
0.00%, 12/15/2021 PO | 173,011 | 171,002 | ||||||
1145.19%, 01/15/2022 IO | 24 | 362 | ||||||
5.00%, 03/15/2022 | 568,000 | 598,591 | ||||||
7.00%, 03/15/2022 | 1,265 | 1,386 | ||||||
6.00%, 05/15/2022 | 903 | 962 | ||||||
7.00%, 05/15/2022 | 1,891 | 2,089 | ||||||
7.50%, 08/15/2022 | 2,242 | 2,550 | ||||||
8.00%, 08/15/2022 | 5,620 | 6,352 | ||||||
1.59%, 09/15/2022 | 3,868 | 3,945 | ||||||
5.50%, 10/15/2022 | 109,475 | 119,521 | ||||||
4.45%, 12/15/2022 | 3,675 | 3,991 | ||||||
5.50%, 12/15/2022 | 34,978 | 37,935 | ||||||
1.69%, 02/15/2023 | 497 | 507 | ||||||
7.50%, 02/15/2023 | 34,338 | 38,142 | ||||||
5.50%, 03/15/2023 | 146,000 | 167,478 | ||||||
1.59%, 04/15/2023 | 19,724 | 20,183 | ||||||
5.50%, 04/15/2023 | 147,000 | 169,896 | ||||||
7.00%, 04/15/2023 | 28,638 | 31,351 | ||||||
7.50%, 04/15/2023 | 6,053 | 6,726 | ||||||
5.00%, 05/15/2023 | 30,778 | 33,140 | ||||||
7.00%, 05/15/2023 | 3,269 | 3,665 | ||||||
8.61%, 05/15/2023 | 13,629 | 16,191 | ||||||
0.00%, 06/15/2023 PO | 2,048 | 2,025 | ||||||
0.00%, 06/15/2023 PO | 2,812 | 2,781 | ||||||
5.60%, 06/15/2023 | 65,402 | 69,768 | ||||||
6.11%, 06/15/2023 IO | 18,938 | 839 | ||||||
1.10%, 07/15/2023 | 11,995 | 11,989 | ||||||
8.16%, 07/15/2023 | 13,366 | 14,654 | ||||||
24.76%, 07/15/2023 | 2,520 | 3,924 | ||||||
2.19%, 08/15/2023 | 734 | 757 | ||||||
6.50%, 09/15/2023 | 84,093 | 96,605 | ||||||
7.00%, 09/15/2023 | 26,264 | 29,147 | ||||||
32.59%, 09/15/2023 | 10,935 | 19,192 | ||||||
0.00%, 10/15/2023 PO | 41,709 | 41,160 | ||||||
6.25%, 10/15/2023 | 14,459 | 16,008 | ||||||
21.31%, 10/15/2023 | 5,255 | 8,210 | ||||||
5.00%, 11/15/2023 | 401,893 | 438,470 | ||||||
5.50%, 11/15/2023 | 95,768 | 104,601 | ||||||
6.00%, 11/15/2023 | 32,728 | 36,026 | ||||||
5.00%, 12/15/2023 | 40,556 | 44,038 | ||||||
6.50%, 12/15/2023 | 42,033 | 46,631 |
6.50%, 12/15/2023 | 20,521 | 22,649 | ||||||
7.00%, 01/15/2024 | 13,204 | 14,805 | ||||||
0.00%, 02/15/2024 PO | 5,959 | 5,530 | ||||||
0.00%, 02/15/2024 PO | 14,306 | 13,908 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,910 | ||||||
10.00%, 02/15/2024 | 2,165 | 3,147 | ||||||
18.24%, 02/15/2024 | 1,430 | 2,067 | ||||||
0.97%, 03/15/2024 | 1,074 | 1,069 | ||||||
1.04%, 03/15/2024 | 2,234 | 2,264 | ||||||
7.00%, 03/15/2024 | 57,993 | 65,055 | ||||||
7.00%, 03/15/2024 | 11,278 | 12,651 | ||||||
28.33%, 03/15/2024 IO | 7,391 | 3,756 | ||||||
7.50%, 04/15/2024 | 42,264 | 47,737 | ||||||
0.00%, 05/15/2024 PO | 8,542 | 8,234 | ||||||
8.78%, 05/15/2024 IO | 20,452 | 4,160 | ||||||
0.74%, 06/15/2024 | 32,811 | 32,829 | ||||||
6.00%, 06/15/2024 | 39,166 | 44,547 | ||||||
7.50%, 08/15/2024 | 7,417 | 8,436 | ||||||
4.00%, 12/15/2024 | 206,000 | 230,264 | ||||||
5.00%, 12/15/2024 | 114,540 | 124,871 | ||||||
31.39%, 04/15/2025 | 32,651 | 51,549 | ||||||
4.50%, 06/15/2025 | 722,000 | 815,873 | ||||||
15.77%, 08/15/2025 | 19,995 | 26,216 | ||||||
26.08%, 10/15/2025 | 37,982 | 58,729 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,181,936 | ||||||
5.00%, 03/15/2026 | 296,244 | 321,267 | ||||||
6.50%, 03/15/2026 | 6,090 | 6,689 | ||||||
6.50%, 07/15/2026 | 38,492 | 44,219 | ||||||
7.50%, 09/15/2026 | 5,691 | 6,557 | ||||||
8.00%, 09/15/2026 | 15,774 | 18,260 | ||||||
6.50%, 01/15/2027 | 28,209 | 32,406 | ||||||
7.50%, 01/15/2027 | 36,132 | 41,474 | ||||||
7.50%, 01/15/2027 | 12,325 | 14,223 | ||||||
1.14%, 02/15/2027 | 958 | 974 | ||||||
6.00%, 05/15/2027 | 30,821 | 34,419 | ||||||
7.25%, 07/15/2027 | 1,775 | 2,039 | ||||||
7.50%, 09/15/2027 | 12,406 | 13,856 | ||||||
6.50%, 12/15/2027 | 19,142 | 21,478 | ||||||
7.00%, 03/15/2028 IO | 20,378 | 4,082 | ||||||
7.50%, 03/15/2028 | 64,003 | 73,758 | ||||||
7.50%, 05/15/2028 | 21,428 | 24,744 | ||||||
6.50%, 06/15/2028 | 32,420 | 37,507 |
7.00%, 06/15/2028 | 3,987 | 4,556 | ||||||
6.00%, 07/15/2028 | 13,024 | 14,499 | ||||||
6.25%, 08/15/2028 | 72,240 | 81,236 | ||||||
6.50%, 08/15/2028 | 67,481 | 75,573 | ||||||
6.00%, 09/15/2028 | 13,871 | 15,712 | ||||||
7.00%, 10/15/2028 IO | 25,980 | 2,939 | ||||||
6.00%, 11/15/2028 | 60,142 | 68,598 | ||||||
6.00%, 12/15/2028 | 112,509 | 126,429 | ||||||
1.04%, 01/15/2029 | 26,621 | 27,030 | ||||||
6.00%, 01/15/2029 | 153,905 | 176,272 | ||||||
6.00%, 02/15/2029 | 32,872 | 36,557 | ||||||
6.25%, 02/15/2029 | 169,844 | 192,939 | ||||||
28.57%, 03/15/2029 | 4,469 | 8,216 | ||||||
7.00%, 04/15/2029 IO | 2,514 | 302 | ||||||
4.00%, 05/15/2029 | 678,611 | 705,183 | ||||||
7.00%, 06/15/2029 | 142,042 | 163,718 | ||||||
7.50%, 06/15/2029 IO | 10,511 | 1,362 | ||||||
7.00%, 07/15/2029 | 63,568 | 72,312 | ||||||
7.00%, 08/15/2029 | 34,947 | 40,923 | ||||||
4.00%, 11/15/2029 IO | 339,178 | 22,815 | ||||||
7.50%, 11/15/2029 | 188 | 224 | ||||||
8.00%, 11/15/2029 | 30,759 | 35,565 | ||||||
7.00%, 01/15/2030 | 66,262 | 76,868 | ||||||
8.00%, 01/15/2030 | 18,458 | 22,399 | ||||||
8.00%, 01/15/2030 | 61,295 | 71,371 | ||||||
8.00%, 03/15/2030 | 11,182 | 13,453 | ||||||
5.00%, 04/15/2030 | 702,000 | 843,190 | ||||||
8.00%, 04/15/2030 | 17,265 | 20,214 | ||||||
7.50%, 05/15/2030 | 13,115 | 15,319 | ||||||
7.50%, 08/15/2030 | 12,401 | 14,506 | ||||||
7.25%, 09/15/2030 | 32,757 | 38,097 | ||||||
7.00%, 10/15/2030 | 43,486 | 50,281 | ||||||
7.50%, 10/15/2030 | 4,142 | 4,849 | ||||||
7.50%, 10/15/2030 | 873 | 1,018 | ||||||
7.25%, 12/15/2030 | 55,772 | 64,683 | ||||||
7.00%, 03/15/2031 | 23,768 | 27,979 | ||||||
6.50%, 05/15/2031 | 13,840 | 16,215 | ||||||
7.00%, 06/15/2031 | 26,095 | 30,807 | ||||||
8.50%, 06/15/2031 | 54,190 | 64,658 | ||||||
6.00%, 07/15/2031 | 11,296 | 11,250 | ||||||
7.00%, 07/15/2031 | 55,128 | 63,616 | ||||||
6.50%, 08/15/2031 | 28,488 | 33,059 |
6.50%, 08/15/2031 | 314,667 | 375,129 | ||||||
6.50%, 08/15/2031 | 30,530 | 35,497 | ||||||
6.50%, 08/15/2031 | 27,448 | 32,173 | ||||||
6.50%, 10/15/2031 | 27,890 | 32,038 | ||||||
6.50%, 01/15/2032 | 31,070 | 35,246 | ||||||
6.50%, 01/15/2032 | 51,366 | 58,015 | ||||||
1.34%, 02/15/2032 | 163,710 | 167,285 | ||||||
6.38%, 02/15/2032 | 37,405 | 41,253 | ||||||
6.50%, 02/15/2032 | 55,428 | 62,898 | ||||||
6.50%, 02/15/2032 | 59,426 | 68,075 | ||||||
7.56%, 02/15/2032 IO | 128,489 | 30,127 | ||||||
8.21%, 02/15/2032 IO | 26,476 | 8,298 | ||||||
15.22%, 02/15/2032 | 69,272 | 94,321 | ||||||
18.35%, 02/15/2032 | 66,156 | 106,276 | ||||||
6.50%, 03/15/2032 | 81,551 | 95,869 | ||||||
6.50%, 03/15/2032 | 74,567 | 86,005 | ||||||
7.00%, 03/15/2032 | 47,575 | 55,349 | ||||||
7.00%, 03/15/2032 | 62,388 | 72,691 | ||||||
7.51%, 03/15/2032 IO | 52,020 | 14,818 | ||||||
7.56%, 03/15/2032 IO | 33,936 | 9,761 | ||||||
6.50%, 04/15/2032 | 186,638 | 215,269 | ||||||
6.50%, 04/15/2032 | 121,087 | 140,162 | ||||||
6.50%, 04/15/2032 | 19,458 | 22,959 | ||||||
7.00%, 04/15/2032 | 114,627 | 135,186 | ||||||
7.00%, 04/15/2032 | 41,028 | 46,441 | ||||||
5.50%, 05/15/2032 | 46,090 | 46,779 | ||||||
6.50%, 05/15/2032 | 67,315 | 78,392 | ||||||
7.00%, 05/15/2032 | 46,643 | 53,945 | ||||||
6.50%, 06/15/2032 | 39,626 | 45,810 | ||||||
6.50%, 06/15/2032 | 77,430 | 89,367 | ||||||
6.50%, 06/15/2032 | 55,572 | 64,645 | ||||||
6.50%, 07/15/2032 | 67,048 | 77,512 | ||||||
6.50%, 07/15/2032 | 86,547 | 101,477 | ||||||
0.00%, 09/15/2032 PO | 1,802,036 | 1,688,823 | ||||||
6.00%, 09/15/2032 | 96,643 | 110,131 | ||||||
0.00%, 12/15/2032 PO | 11,121 | 10,231 | ||||||
0.00%, 12/15/2032 PO | 7,445 | 7,373 | ||||||
0.00%, 12/15/2032 PO | 58,863 | 58,026 | ||||||
1.19%, 12/15/2032 | 88,485 | 90,124 | ||||||
6.00%, 12/15/2032 | 82,658 | 94,075 | ||||||
6.00%, 12/15/2032 | 154,789 | 175,983 | ||||||
17.54%, 12/15/2032 | 52,167 | 75,564 |
0.00%, 01/15/2033 PO | 12,453 | 12,439 | ||||||
6.00%, 01/15/2033 | 98,209 | 112,805 | ||||||
6.00%, 02/15/2033 | 87,402 | 100,044 | ||||||
6.00%, 02/15/2033 | 377,450 | 419,430 | ||||||
6.00%, 03/15/2033 | 65,439 | 72,543 | ||||||
6.50%, 03/15/2033 IO | 42,205 | 7,383 | ||||||
14.04%, 06/15/2033 | 137,117 | 190,972 | ||||||
5.00%, 07/15/2033 | 1,002,040 | 1,159,720 | ||||||
6.57%, 07/15/2033 | 462 | 548 | ||||||
12.40%, 07/15/2033 | 39,055 | 45,269 | ||||||
3.00%, 08/15/2033 | 495,000 | 519,838 | ||||||
13.95%, 09/15/2033 | 43,392 | 58,384 | ||||||
7.61%, 10/15/2033 | 1,084,000 | 1,220,688 | ||||||
15.53%, 11/15/2033 | 22,521 | 30,359 | ||||||
1.04%, 12/15/2033 | 339,106 | 340,907 | ||||||
5.50%, 12/15/2033 | 77,041 | 78,687 | ||||||
5.00%, 01/15/2034 | 535,398 | 599,991 | ||||||
5.50%, 02/15/2034 | 24,806 | 26,358 | ||||||
6.00%, 05/15/2034 | 321,731 | 353,446 | ||||||
22.87%, 06/15/2034 | 130,159 | 184,914 | ||||||
0.00%, 07/15/2034 PO | 227,846 | 218,569 | ||||||
2.66%, 07/15/2034 | 84,498 | 89,772 | ||||||
4.00%, 11/15/2034 IO | 552,961 | 14,894 | ||||||
0.00%, 01/15/2035 PO | 1,922 | 1,891 | ||||||
0.00%, 02/15/2035 PO | 63,497 | 60,472 | ||||||
26.21%, 02/15/2035 | 77,457 | 126,904 | ||||||
0.00%, 04/15/2035 PO | 113,259 | 104,927 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,276,710 | ||||||
0.84%, 05/15/2035 | 112,725 | 112,674 | ||||||
0.74%, 06/15/2035 | 120,703 | 120,083 | ||||||
15.89%, 06/15/2035 | 13,450 | 16,193 | ||||||
0.00%, 08/15/2035 PO | 9,654 | 9,383 | ||||||
1.24%, 08/15/2035 | 118,291 | 120,564 | ||||||
0.00%, 09/15/2035 PO | 58,611 | 56,377 | ||||||
6.00%, 09/15/2035 | 78,274 | 79,166 | ||||||
18.53%, 11/15/2035 | 69,379 | 103,877 | ||||||
0.00%, 01/15/2036 PO | 23,671 | 23,564 | ||||||
6.00%, 01/15/2036 | 265,288 | 305,534 | ||||||
22.95%, 01/15/2036 | 20,654 | 33,524 | ||||||
0.00%, 02/15/2036 PO | 52,001 | 48,019 | ||||||
0.00%, 02/15/2036 PO | 74,443 | 70,334 | ||||||
0.00%, 02/15/2036 PO | 44,874 | 39,927 |
0.00%, 02/15/2036 PO | 224,500 | 208,833 | ||||||
0.00%, 03/15/2036 PO | 14,343 | 13,010 | ||||||
0.00%, 03/15/2036 PO | 128,292 | 121,796 | ||||||
0.00%, 03/15/2036 PO | 137,902 | 128,162 | ||||||
6.00%, 03/15/2036 | 2,065 | 2,758 | ||||||
0.00%, 04/15/2036 PO | 260,298 | 241,637 | ||||||
0.00%, 04/15/2036 PO | 146,012 | 139,683 | ||||||
0.00%, 04/15/2036 PO | 76,186 | 73,488 | ||||||
0.00%, 04/15/2036 PO | 267,894 | 256,282 | ||||||
6.00%, 04/15/2036 IO | 146,931 | 26,545 | ||||||
6.00%, 04/15/2036 | 1,366,751 | 1,573,005 | ||||||
6.00%, 04/15/2036 | 167,565 | 193,396 | ||||||
0.00%, 05/15/2036 PO | 21,255 | 20,355 | ||||||
0.00%, 05/15/2036 PO | 103,221 | 93,982 | ||||||
0.00%, 05/15/2036 PO | 62,138 | 60,224 | ||||||
0.00%, 05/15/2036 PO | 14,446 | 13,244 | ||||||
0.89%, 05/15/2036 | 1,033,314 | 1,037,716 | ||||||
0.94%, 05/15/2036 | 622,021 | 625,410 | ||||||
0.00%, 06/15/2036 PO | 242,572 | 231,414 | ||||||
6.00%, 06/15/2036 | 32,894 | 36,974 | ||||||
6.00%, 06/15/2036 | 132,385 | 136,760 | ||||||
18.45%, 06/15/2036 | 48,454 | 67,860 | ||||||
0.00%, 07/15/2036 PO | 48,207 | 45,348 | ||||||
6.50%, 07/15/2036 | 215,003 | 250,320 | ||||||
6.50%, 07/15/2036 | 161,709 | 184,790 | ||||||
6.66%, 07/15/2036 IO | 20,152 | 2,563 | ||||||
0.00%, 08/15/2036 PO | 69,067 | 62,102 | ||||||
5.50%, 08/15/2036 | 337,898 | 382,933 | ||||||
5.50%, 08/15/2036 | 120,480 | 132,518 | ||||||
6.21%, 08/15/2036 IO | 1,021,611 | 199,374 | ||||||
0.00%, 09/15/2036 PO | 42,912 | 41,289 | ||||||
0.00%, 09/15/2036 PO | 29,691 | 26,152 | ||||||
0.00%, 10/15/2036 PO | 81,209 | 73,224 | ||||||
6.26%, 10/15/2036 IO | 88,840 | 16,715 | ||||||
7.50%, 11/15/2036 | 1,258,961 | 1,515,821 | ||||||
0.00%, 12/15/2036 PO | 37,555 | 33,719 | ||||||
7.00%, 12/15/2036 | 3,134,688 | 3,749,325 | ||||||
7.50%, 12/15/2036 | 1,114,235 | 1,378,559 | ||||||
0.00%, 01/15/2037 PO | 37,618 | 36,044 | ||||||
5.70%, 01/15/2037 IO | 69,535 | 10,323 | ||||||
0.00%, 02/15/2037 PO | 19,404 | 18,260 | ||||||
0.00%, 02/15/2037 PO | 101,364 | 90,401 |
0.88%, 02/15/2037 | 90,351 | 90,472 | ||||||
6.00%, 02/15/2037 | 137,834 | 153,177 | ||||||
0.00%, 03/15/2037 PO | 39,366 | 37,177 | ||||||
6.01%, 03/15/2037 IO | 107,926 | 15,621 | ||||||
9.00%, 03/15/2037 | 30,116 | 37,385 | ||||||
0.00%, 04/15/2037 PO | 48,574 | 46,543 | ||||||
6.00%, 04/15/2037 | 114,701 | 130,696 | ||||||
0.00%, 05/15/2037 PO | 84,760 | 81,600 | ||||||
0.00%, 05/15/2037 PO | 428,568 | 385,815 | ||||||
0.00%, 05/15/2037 PO | 5,069 | 4,725 | ||||||
6.00%, 05/15/2037 | 293,928 | 317,865 | ||||||
0.00%, 06/15/2037 PO | 43,281 | 41,198 | ||||||
0.00%, 06/15/2037 PO | 21,301 | 20,381 | ||||||
0.00%, 07/15/2037 PO | 520,466 | 468,268 | ||||||
0.84%, 07/15/2037 | 2,275,473 | 2,246,023 | ||||||
4.50%, 07/15/2037 IO | 1,228,868 | 46,767 | ||||||
6.16%, 07/15/2037 IO | 99,590 | 17,120 | ||||||
4.00%, 08/15/2037 IO | 1,062,666 | 46,417 | ||||||
0.00%, 09/15/2037 PO | 56,932 | 54,491 | ||||||
1.04%, 09/15/2037 | 32,159 | 32,398 | ||||||
4.00%, 10/15/2037 IO | 675,718 | 24,637 | ||||||
4.00%, 10/15/2037 IO | 427,461 | 10,278 | ||||||
1.12%, 11/15/2037 | 1,318,243 | 1,332,279 | ||||||
5.98%, 11/15/2037 IO | 488,970 | 84,319 | ||||||
6.01%, 11/15/2037 IO | 326,628 | 44,348 | ||||||
5.56%, 01/15/2038 IO | 580,197 | 89,998 | ||||||
16.34%, 02/15/2038 | 23,596 | 32,387 | ||||||
5.50%, 03/15/2038 | 910,674 | 1,050,554 | ||||||
6.36%, 04/15/2038 IO | 224,791 | 36,962 | ||||||
5.50%, 05/15/2038 | 162,637 | 179,353 | ||||||
5.76%, 06/15/2038 IO | 238,518 | 42,097 | ||||||
6.00%, 06/15/2038 | 36,808 | 42,400 | ||||||
6.00%, 06/15/2038 | 695,703 | 792,546 | ||||||
5.41%, 08/15/2038 IO | 443,389 | 60,790 | ||||||
5.70%, 10/15/2038 | 194,348 | 219,222 | ||||||
5.50%, 01/15/2039 | 354,527 | 400,423 | ||||||
2.16%, 02/15/2039 | 167,824 | 172,173 | ||||||
5.56%, 02/15/2039 IO | 192,139 | 35,844 | ||||||
0.84%, 04/15/2039 | 833,418 | 838,746 | ||||||
0.89%, 05/15/2039 | 1,049,817 | 1,050,883 | ||||||
5.66%, 05/15/2039 IO | 144,296 | 17,173 | ||||||
5.86%, 05/15/2039 IO | 233,674 | 32,750 |
1.64%, 07/15/2039 | 134,076 | 136,403 | ||||||
4.50%, 07/15/2039 | 1,241,635 | 1,354,888 | ||||||
0.89%, 08/15/2039 | 303,705 | 304,482 | ||||||
3.50%, 08/15/2039 | 934,303 | 990,786 | ||||||
0.00%, 10/15/2039 PO | 200,434 | 177,758 | ||||||
5.00%, 10/15/2039 IO | 653,944 | 87,984 | ||||||
5.81%, 12/15/2039 IO | 247,525 | 37,525 | ||||||
0.00%, 01/15/2040 PO | 205,313 | 185,503 | ||||||
1.88%, 01/15/2040 IO | 2,658,089 | 203,874 | ||||||
16.03%, 02/15/2040 | 475,000 | 710,166 | ||||||
0.94%, 10/15/2040 | 348,964 | 350,955 | ||||||
5.56%, 10/15/2040 IO | 1,126,689 | 183,104 | ||||||
5.56%, 10/15/2040 IO | 895,736 | 151,610 | ||||||
0.99%, 12/15/2040 | 2,756,863 | 2,779,593 | ||||||
0.99%, 03/15/2041 | 1,974,840 | 1,983,152 | ||||||
5.00%, 05/15/2041 | 1,094,111 | 1,397,165 | ||||||
5.50%, 05/15/2041 | 1,407,638 | 1,601,361 | ||||||
5.50%, 05/15/2041 | 534,422 | 592,184 | ||||||
0.84%, 10/15/2041 | 1,418,494 | 1,417,635 | ||||||
4.00%, 11/15/2041 | 1,290,670 | 1,398,317 | ||||||
4.00%, 12/15/2041 | 615,771 | 674,558 | ||||||
0.94%, 03/15/2042 | 1,302,891 | 1,307,319 | ||||||
0.94%, 07/15/2042 | 671,214 | 671,852 | ||||||
0.89%, 08/15/2042 | 3,404,958 | 3,431,303 | ||||||
0.84%, 09/15/2042 | 1,225,150 | 1,215,212 | ||||||
4.00%, 01/15/2043 | 2,967,914 | 3,190,191 | ||||||
3.00%, 06/15/2043 | 206,000 | 215,838 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,198,547 | ||||||
1.75%, 02/15/2046 | 3,040,898 | 3,177,208 | ||||||
7.27%, 11/15/2046 | 1,447,140 | 1,698,224 | ||||||
3.50%, 06/15/2048 | 7,530,464 | 7,937,635 | ||||||
0.00%, 10/15/2049 PO | 874,526 | 826,955 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 IO | 86,585 | 3,881 | ||||||
4.50%, 12/15/2020 IO | 58,653 | 3,086 | ||||||
9.00%, 04/01/2022 IO | 160 | 27 | ||||||
0.00%, 04/01/2028 PO | 117,153 | 104,358 | ||||||
5.00%, 09/15/2035 IO | 213,711 | 36,235 | ||||||
5.00%, 09/15/2035 IO | 401,737 | 61,485 | ||||||
5.00%, 09/15/2035 IO | 255,193 | 38,036 | ||||||
7.26%, 08/15/2036 IO | 767,418 | 144,059 | ||||||
0.99%, 07/15/2042 | 4,006,161 | 3,992,369 |
3.50%, 07/15/2042 | 9,080,643 | 9,586,300 | ||||||
0.94%, 08/15/2042 | 2,610,596 | 2,594,867 | ||||||
0.99%, 08/15/2042 | 2,264,628 | 2,281,034 | ||||||
3.00%, 08/15/2042 | 3,194,430 | 3,282,255 | ||||||
3.00%, 01/15/2043 | 770,118 | 803,318 | ||||||
0.00%, 09/15/2043 PO | 1,376,258 | 1,166,495 | ||||||
FREMF 2016-K722 Mortgage Trust | ||||||||
3.83%, 07/25/2049 (Acquired 06/22/2016, Cost $1,742,946) (1) | 1,845,000 | 1,742,896 | ||||||
Ginnie Mae | ||||||||
4.00%, 07/15/2042 (3) | 27,480,000 | 29,373,542 | ||||||
Ginnie Mae I pool | ||||||||
9.00%, 08/15/2016 | 1 | 1 | ||||||
9.00%, 12/15/2016 | 14 | 14 | ||||||
6.50%, 06/15/2017 | 1,744 | 1,758 | ||||||
6.00%, 10/15/2017 | 666 | 667 | ||||||
8.50%, 11/15/2017 | 150 | 152 | ||||||
9.00%, 02/15/2020 | 71 | 71 | ||||||
9.50%, 09/15/2020 | 2 | 2 | ||||||
8.00%, 07/15/2022 | 51 | 51 | ||||||
8.00%, 09/15/2022 | 351 | 355 | ||||||
7.50%, 11/15/2022 | 712 | 770 | ||||||
7.50%, 03/15/2023 | 296 | 324 | ||||||
7.00%, 08/15/2023 | 679 | 738 | ||||||
7.00%, 09/15/2023 | 20,289 | 22,139 | ||||||
7.00%, 11/15/2023 | 1,301 | 1,493 | ||||||
6.50%, 01/15/2024 | 5,202 | 5,934 | ||||||
7.00%, 02/15/2024 | 9,434 | 10,236 | ||||||
9.50%, 10/15/2024 | 62,015 | 67,581 | ||||||
9.00%, 11/15/2024 | 1,466 | 1,630 | ||||||
9.50%, 12/15/2025 | 3,380 | 3,799 | ||||||
7.50%, 11/15/2026 | 1,267 | 1,316 | ||||||
7.50%, 07/15/2027 | 1,969 | 2,031 | ||||||
6.50%, 03/15/2028 | 8,722 | 9,949 | ||||||
7.50%, 07/15/2028 | 835 | 861 | ||||||
8.00%, 08/15/2028 | 1,745 | 1,761 | ||||||
6.50%, 09/15/2028 | 28,355 | 32,342 | ||||||
7.50%, 09/15/2028 | 6,059 | 6,876 | ||||||
6.50%, 10/15/2028 | 1,591 | 1,819 | ||||||
6.00%, 11/15/2028 | 12,589 | 14,386 | ||||||
7.00%, 09/15/2031 | 129,404 | 160,024 | ||||||
6.50%, 01/15/2032 | 114,354 | 137,969 | ||||||
6.50%, 07/15/2032 | 2,693 | 3,071 |
6.50%, 02/15/2033 | 17,097 | 19,544 | ||||||
7.00%, 02/15/2033 | 6,425 | 7,311 | ||||||
5.50%, 04/15/2033 | 386,856 | 445,715 | ||||||
6.50%, 04/15/2033 | 13,946 | 15,908 | ||||||
5.50%, 06/15/2033 | 6,064 | 6,814 | ||||||
7.00%, 06/15/2033 | 25,621 | 32,193 | ||||||
5.50%, 12/15/2033 | 20,757 | 23,625 | ||||||
5.50%, 07/15/2034 | 8,549 | 9,793 | ||||||
5.50%, 09/15/2034 | 25,717 | 29,391 | ||||||
7.00%, 06/15/2035 | 363,391 | 443,251 | ||||||
6.50%, 12/15/2035 | 121,390 | 146,828 | ||||||
7.00%, 04/15/2037 | 39,569 | 46,339 | ||||||
7.50%, 10/15/2037 | 63,152 | 70,262 | ||||||
4.00%, 06/15/2039 | 981,343 | 1,054,707 | ||||||
4.50%, 04/15/2040 | 5,597,404 | 6,176,721 | ||||||
4.00%, 10/15/2040 | 474,436 | 510,150 | ||||||
3.50%, 03/15/2043 | 1,630,707 | 1,746,307 | ||||||
3.50%, 04/15/2043 | 6,981,853 | 7,455,017 | ||||||
3.00%, 05/15/2043 | 1,187,837 | 1,244,388 | ||||||
3.50%, 06/15/2043 | 2,558,533 | 2,730,031 | ||||||
3.50%, 07/15/2043 | 905,422 | 968,841 | ||||||
Ginnie Mae II pool | ||||||||
8.50%, 03/20/2025 | 487 | 550 | ||||||
8.50%, 04/20/2025 | 2,858 | 3,263 | ||||||
8.50%, 05/20/2025 | 6,369 | 7,269 | ||||||
8.00%, 12/20/2025 | 897 | 1,036 | ||||||
8.00%, 06/20/2026 | 2,157 | 2,531 | ||||||
8.00%, 08/20/2026 | 1,746 | 2,149 | ||||||
8.00%, 09/20/2026 | 1,875 | 2,282 | ||||||
8.00%, 11/20/2026 | 1,555 | 1,864 | ||||||
8.00%, 10/20/2027 | 4,339 | 5,177 | ||||||
8.00%, 11/20/2027 | 3,486 | 4,129 | ||||||
8.00%, 12/20/2027 | 1,653 | 1,898 | ||||||
7.50%, 02/20/2028 | 2,612 | 3,192 | ||||||
6.00%, 03/20/2028 | 11,183 | 13,128 | ||||||
8.00%, 06/20/2028 | 621 | 635 | ||||||
8.00%, 08/20/2028 | 168 | 177 | ||||||
7.50%, 09/20/2028 | 7,339 | 9,106 | ||||||
8.00%, 09/20/2028 | 520 | 546 | ||||||
6.50%, 07/20/2029 | 122,314 | 145,147 | ||||||
6.00%, 11/20/2033 | 8,362 | 9,882 | ||||||
5.00%, 10/20/2037 | 690,702 | 768,240 |
7.00%, 08/20/2038 | 57,391 | 74,699 | ||||||
6.00%, 09/20/2038 | 963,679 | 1,100,662 | ||||||
6.00%, 11/20/2038 | 9,934 | 10,807 | ||||||
6.00%, 08/20/2039 | 468,147 | 540,661 | ||||||
5.50%, 09/20/2039 | 266,863 | 304,128 | ||||||
4.50%, 06/20/2040 | 1,688,718 | 1,839,275 | ||||||
5.00%, 07/20/2040 | 430,171 | 478,597 | ||||||
4.00%, 10/20/2040 | 4,619,461 | 4,977,757 | ||||||
4.50%, 01/20/2041 | 1,263,622 | 1,379,707 | ||||||
4.50%, 03/20/2041 | 1,230,635 | 1,343,692 | ||||||
4.50%, 05/20/2041 | 626,119 | 683,642 | ||||||
4.50%, 06/20/2041 | 4,454,080 | 4,863,287 | ||||||
4.50%, 09/20/2041 | 1,337,938 | 1,460,861 | ||||||
4.00%, 06/20/2042 | 5,916,677 | 6,361,787 | ||||||
3.00%, 08/20/2042 | 8,281,193 | 8,684,016 | ||||||
3.50%, 10/20/2042 | 9,593,333 | 10,223,167 | ||||||
4.00%, 02/20/2043 | 2,634,702 | 2,832,105 | ||||||
3.50%, 05/20/2043 | 2,227,999 | 2,373,851 | ||||||
3.00%, 09/20/2043 | 792,186 | 830,724 | ||||||
4.50%, 10/20/2043 | 7,362,552 | 7,910,411 | ||||||
4.50%, 12/20/2043 | 1,885,796 | 2,026,271 | ||||||
3.00%, 01/20/2044 | 1,508,726 | 1,582,123 | ||||||
3.00%, 04/20/2045 | 10,593,812 | 11,086,533 | ||||||
3.50%, 04/20/2045 | 9,805,016 | 10,412,762 | ||||||
4.00%, 05/20/2045 | 13,501,256 | 14,439,096 | ||||||
3.00%, 07/15/2045 (3) | 51,850,000 | 54,191,349 | ||||||
3.50%, 07/15/2045 (3) | 86,435,000 | 91,722,393 | ||||||
3.50%, 07/20/2045 | 11,886,663 | 12,628,209 | ||||||
4.46%, 05/20/2063 | 522,769 | 568,711 | ||||||
Ginnie Mae II Pool | ||||||||
3.00%, 08/15/2042 (3) | 14,000,000 | 14,603,749 | ||||||
3.50%, 08/15/2043 (3) | 16,500,000 | 17,486,133 | ||||||
3.50%, 02/20/2046 | 15,806,298 | 16,799,133 | ||||||
3.00%, 04/20/2046 | 13,420,515 | 14,044,706 | ||||||
4.00%, 06/20/2046 | 10,070,737 | 10,825,680 | ||||||
GMACM Mortgage Loan Trust 2003-AR1 | ||||||||
3.13%, 10/19/2033 | 471,981 | 465,249 | ||||||
GMACM Mortgage Loan Trust 2003-AR2 | ||||||||
3.17%, 12/19/2033 | 400,983 | 393,765 | ||||||
GMACM Mortgage Loan Trust 2003-J8 | ||||||||
5.25%, 12/25/2033 | 14,467 | 14,968 | ||||||
GMACM Mortgage Loan Trust 2004-J5 | ||||||||
6.50%, 01/25/2035 | 187,918 | 193,903 |
GMACM Mortgage Loan Trust 2004-J6 | ||||||||
5.00%, 01/25/2020 | 58,249 | 59,357 | ||||||
GMACM Mortgage Loan Trust 2005-AR3 | ||||||||
3.30%, 06/19/2035 | 315,843 | 308,111 | ||||||
Gnma Remic Trust 2015-137 | ||||||||
5.48%, 01/20/2038 | 1,234,620 | 1,408,385 | ||||||
Government National Mortgage Association | ||||||||
5.50%, 11/20/2020 | 342,967 | 359,149 | ||||||
5.00%, 04/16/2023 | 619,000 | 648,754 | ||||||
6.50%, 10/16/2024 | 195,272 | 221,877 | ||||||
6.00%, 02/20/2029 | 177,534 | 201,019 | ||||||
8.16%, 08/16/2029 IO | 17,217 | 4,393 | ||||||
7.50%, 11/20/2029 | 23,873 | 27,912 | ||||||
8.50%, 02/16/2030 | 212,529 | 252,371 | ||||||
9.00%, 03/16/2030 | 190,392 | 232,482 | ||||||
7.06%, 04/16/2030 IO | 178,152 | 34,420 | ||||||
8.00%, 06/20/2030 | 19,809 | 23,791 | ||||||
9.00%, 10/20/2030 | 30,616 | 35,670 | ||||||
9.00%, 11/16/2030 IO | 1,671 | 246 | ||||||
9.00%, 11/20/2030 | 18,091 | 19,536 | ||||||
8.26%, 01/16/2031 IO | 11,341 | 3,139 | ||||||
8.11%, 03/16/2031 IO | 8,291 | 2,904 | ||||||
19.85%, 03/17/2031 | 92,670 | 156,153 | ||||||
7.61%, 08/16/2031 IO | 20,406 | 7,092 | ||||||
7.81%, 08/16/2031 IO | 21,944 | 7,672 | ||||||
0.80%, 03/20/2032 | 92,444 | 92,512 | ||||||
7.51%, 04/16/2032 IO | 87,434 | 19,524 | ||||||
11.26%, 04/16/2032 | 8,093 | 10,411 | ||||||
9.00%, 06/16/2032 | 2,865 | 3,681 | ||||||
6.50%, 06/20/2032 | 85,744 | 102,470 | ||||||
6.50%, 06/20/2032 | 333,466 | 399,498 | ||||||
6.50%, 07/16/2032 | 99,409 | 117,787 | ||||||
6.00%, 07/20/2032 | 35,156 | 39,929 | ||||||
6.50%, 07/20/2032 | 168,392 | 200,856 | ||||||
6.50%, 07/20/2032 | 113,320 | 136,876 | ||||||
7.25%, 08/20/2032 IO | 20,379 | 743 | ||||||
6.50%, 10/20/2032 IO | 91,372 | 1,226 | ||||||
13.89%, 11/17/2032 | 24,620 | 30,900 | ||||||
6.00%, 11/20/2032 | 146,000 | 173,337 | ||||||
0.00%, 12/20/2032 PO | 165,347 | 161,745 | ||||||
5.50%, 01/16/2033 | 693,225 | 789,539 |
0.00%, 01/17/2033 PO | 690 | 690 | ||||||
6.50%, 01/20/2033 | 180,540 | 207,922 | ||||||
7.26%, 02/16/2033 IO | 88,037 | 15,435 | ||||||
0.00%, 02/17/2033 PO | 64,522 | 62,137 | ||||||
7.25%, 02/20/2033 IO | 38,675 | 10,695 | ||||||
0.00%, 03/16/2033 PO | 13,695 | 12,914 | ||||||
7.16%, 03/17/2033 | 21,612 | 23,292 | ||||||
6.50%, 03/20/2033 | 326,000 | 379,276 | ||||||
6.50%, 03/20/2033 | 99,715 | 114,762 | ||||||
5.50%, 04/20/2033 | 390,528 | 441,563 | ||||||
6.50%, 05/20/2033 | 116,000 | 138,463 | ||||||
0.00%, 06/16/2033 PO | 66,817 | 60,113 | ||||||
6.00%, 09/16/2033 | 234,773 | 268,925 | ||||||
0.00%, 10/20/2033 PO | 10,664 | 9,925 | ||||||
5.82%, 10/20/2033 | 248,927 | 285,733 | ||||||
6.11%, 11/16/2033 IO | 153,081 | 26,176 | ||||||
6.11%, 12/16/2033 IO | 131,993 | 29,530 | ||||||
5.50%, 03/16/2034 | 5,414,424 | 6,157,417 | ||||||
6.06%, 03/16/2034 IO | 95,898 | 4,221 | ||||||
18.45%, 04/16/2034 | 61,066 | 93,963 | ||||||
15.75%, 05/18/2034 | 16,358 | 20,842 | ||||||
0.00%, 06/20/2034 PO | 121,793 | 116,941 | ||||||
6.00%, 06/20/2034 | 434,595 | 495,281 | ||||||
13.94%, 08/17/2034 | 67,710 | 84,328 | ||||||
5.73%, 08/20/2034 | 127,786 | 145,202 | ||||||
6.11%, 09/16/2034 IO | 436,213 | 87,769 | ||||||
7.00%, 09/20/2034 | 56,758 | 64,045 | ||||||
27.26%, 09/20/2034 | 56,758 | 98,801 | ||||||
13.30%, 10/16/2034 | 14,987 | 18,413 | ||||||
22.76%, 10/16/2034 | 44,190 | 71,307 | ||||||
5.65%, 10/20/2034 IO | 703,044 | 112,062 | ||||||
11.30%, 10/20/2034 | 22,955 | 26,518 | ||||||
5.63%, 11/20/2034 IO | 358,020 | 60,166 | ||||||
6.30%, 01/20/2035 IO | 490,016 | 83,781 | ||||||
15.37%, 06/17/2035 | 224,902 | 325,027 | ||||||
6.35%, 06/20/2035 | 260,050 | 302,546 | ||||||
5.50%, 07/20/2035 IO | 51,832 | 10,881 | ||||||
19.36%, 08/16/2035 | 24,691 | 38,012 | ||||||
0.00%, 08/20/2035 PO | 304,783 | 289,655 | ||||||
21.03%, 08/20/2035 | 3,093 | 4,583 | ||||||
5.50%, 09/20/2035 | 335,246 | 378,954 | ||||||
5.85%, 09/20/2035 IO | 1,028,608 | 188,216 |
0.00%, 10/20/2035 PO | 56,946 | 54,179 | ||||||
0.00%, 11/20/2035 PO | 90,199 | 83,700 | ||||||
6.00%, 12/20/2035 IO | 95,211 | 16,894 | ||||||
5.75%, 02/20/2036 | 79,230 | 86,119 | ||||||
0.00%, 03/20/2036 PO | 84,389 | 81,279 | ||||||
0.00%, 05/20/2036 PO | 116,747 | 111,935 | ||||||
6.05%, 06/20/2036 IO | 19,001 | 2,443 | ||||||
0.00%, 07/20/2036 PO | 17,047 | 16,274 | ||||||
6.25%, 07/20/2036 IO | 99,907 | 4,834 | ||||||
6.50%, 07/20/2036 | 474,529 | 567,114 | ||||||
6.50%, 08/20/2036 | 634,851 | 751,666 | ||||||
5.56%, 10/20/2036 | 265,101 | 299,638 | ||||||
6.25%, 10/20/2036 IO | 152,141 | 27,568 | ||||||
6.35%, 11/20/2036 IO | 257,904 | 52,136 | ||||||
5.93%, 02/20/2037 | 85,612 | 96,656 | ||||||
0.00%, 03/20/2037 PO | 341,786 | 327,763 | ||||||
5.75%, 03/20/2037 IO | 244,610 | 43,074 | ||||||
0.00%, 04/16/2037 PO | 156,458 | 150,564 | ||||||
6.37%, 04/16/2037 IO | 403,220 | 84,826 | ||||||
5.75%, 04/20/2037 IO | 155,325 | 25,512 | ||||||
6.11%, 04/20/2037 | 179,926 | 204,021 | ||||||
0.74%, 05/16/2037 | 92,760 | 92,626 | ||||||
0.00%, 05/20/2037 PO | 25,372 | 23,504 | ||||||
5.75%, 05/20/2037 IO | 280,129 | 57,900 | ||||||
5.75%, 05/20/2037 IO | 314,140 | 58,633 | ||||||
0.00%, 06/16/2037 PO | 54,403 | 52,122 | ||||||
0.00%, 06/16/2037 PO | 404,823 | 392,793 | ||||||
6.03%, 06/16/2037 IO | 233,285 | 45,119 | ||||||
5.80%, 06/20/2037 IO | 247,704 | 35,938 | ||||||
6.19%, 07/20/2037 IO | 342,600 | 70,928 | ||||||
6.23%, 07/20/2037 IO | 357,812 | 65,680 | ||||||
6.30%, 07/20/2037 IO | 238,395 | 44,511 | ||||||
6.33%, 08/20/2037 IO | 89,186 | 13,588 | ||||||
0.00%, 09/20/2037 PO | 61,433 | 59,246 | ||||||
6.10%, 09/20/2037 IO | 221,394 | 42,897 | ||||||
18.86%, 09/20/2037 | 62,759 | 90,378 | ||||||
5.50%, 10/16/2037 IO | 423,080 | 47,815 | ||||||
12.50%, 10/20/2037 | 41,112 | 55,537 | ||||||
0.00%, 11/16/2037 PO | 484,104 | 438,914 | ||||||
6.10%, 11/16/2037 IO | 239,201 | 42,306 | ||||||
5.50%, 11/20/2037 | 13,603 | 14,030 | ||||||
5.55%, 11/20/2037 IO | 270,076 | 43,187 |
6.05%, 11/20/2037 IO | 522,995 | 94,405 | ||||||
6.06%, 11/20/2037 IO | 294,581 | 51,220 | ||||||
6.10%, 11/20/2037 IO | 240,205 | 43,644 | ||||||
18.61%, 11/20/2037 | 29,374 | 45,263 | ||||||
6.10%, 12/20/2037 IO | 379,868 | 70,725 | ||||||
0.00%, 01/20/2038 PO | 18,195 | 16,891 | ||||||
0.00%, 01/20/2038 PO | 33,537 | 33,210 | ||||||
5.50%, 02/20/2038 IO | 60,538 | 9,141 | ||||||
5.55%, 02/20/2038 IO | 2,292,551 | 390,412 | ||||||
7.26%, 04/16/2038 IO | 134,899 | 29,804 | ||||||
5.85%, 04/20/2038 IO | 370,120 | 61,839 | ||||||
5.96%, 05/16/2038 IO | 1,120,906 | 219,817 | ||||||
5.75%, 06/20/2038 IO | 93,414 | 16,404 | ||||||
6.00%, 06/20/2038 | 189,800 | 218,821 | ||||||
1.27%, 07/20/2038 | 686,073 | 697,015 | ||||||
5.70%, 07/20/2038 IO | 338,777 | 48,722 | ||||||
5.75%, 07/20/2038 | 390,250 | 421,177 | ||||||
5.55%, 08/20/2038 IO | 125,192 | 17,072 | ||||||
5.58%, 08/20/2038 | 495,179 | 573,869 | ||||||
5.45%, 09/20/2038 IO | 397,769 | 58,851 | ||||||
5.75%, 09/20/2038 IO | 810,549 | 127,363 | ||||||
7.15%, 09/20/2038 IO | 173,502 | 34,842 | ||||||
6.10%, 11/20/2038 | 302,563 | 345,655 | ||||||
5.96%, 12/16/2038 IO | 138,910 | 8,846 | ||||||
5.25%, 12/20/2038 IO | 408,816 | 62,963 | ||||||
5.55%, 12/20/2038 IO | 232,274 | 35,850 | ||||||
5.86%, 12/20/2038 | 985,942 | 1,135,901 | ||||||
6.00%, 12/20/2038 IO | 113,903 | 16,387 | ||||||
6.85%, 12/20/2038 IO | 740,310 | 147,626 | ||||||
5.46%, 01/20/2039 | 1,645,471 | 1,841,369 | ||||||
5.66%, 02/16/2039 IO | 185,579 | 29,485 | ||||||
5.71%, 02/16/2039 IO | 282,596 | 38,000 | ||||||
5.50%, 02/20/2039 IO | 350,760 | 49,503 | ||||||
5.59%, 02/20/2039 IO | 205,826 | 34,839 | ||||||
5.85%, 03/20/2039 IO | 174,537 | 14,589 | ||||||
5.85%, 03/20/2039 IO | 370,548 | 43,558 | ||||||
6.50%, 03/20/2039 IO | 105,773 | 23,387 | ||||||
6.50%, 03/20/2039 IO | 231,734 | 50,121 | ||||||
5.82%, 04/20/2039 IO | 631,864 | 100,338 | ||||||
5.50%, 05/20/2039 IO | 78,211 | 12,120 | ||||||
6.00%, 05/20/2039 IO | 103,590 | 18,465 | ||||||
5.96%, 06/16/2039 IO | 721,917 | 62,270 |
5.50%, 06/20/2039 IO | 329,661 | 56,017 | ||||||
5.63%, 06/20/2039 IO | 479,989 | 84,856 | ||||||
5.66%, 07/16/2039 IO | 574,530 | 64,674 | ||||||
5.81%, 08/16/2039 IO | 501,790 | 79,634 | ||||||
7.00%, 08/16/2039 | 252,468 | 285,026 | ||||||
5.50%, 09/20/2039 | 317,000 | 391,784 | ||||||
5.64%, 09/20/2039 IO | 787,541 | 125,007 | ||||||
5.96%, 11/16/2039 IO | 665,691 | 116,827 | ||||||
6.00%, 12/20/2039 | 393,393 | 407,928 | ||||||
5.22%, 06/20/2040 | 297,096 | 328,458 | ||||||
5.54%, 07/20/2040 | 424,569 | 486,282 | ||||||
7.00%, 10/16/2040 | 852,686 | 1,014,208 | ||||||
0.00%, 12/20/2040 PO | 1,210,031 | 1,097,567 | ||||||
6.15%, 05/20/2041 IO | 582,659 | 135,448 | ||||||
4.66%, 09/20/2041 | 622,453 | 685,109 | ||||||
4.68%, 10/20/2041 | 1,157,959 | 1,270,395 | ||||||
4.53%, 11/16/2041 | 626,651 | 701,030 | ||||||
3.00%, 12/20/2041 | 1,000,000 | 1,054,501 | ||||||
3.72%, 01/20/2042 | 659,965 | 705,921 | ||||||
3.98%, 09/16/2042 | 434,994 | 462,732 | ||||||
4.68%, 10/20/2042 | 2,454,426 | 2,697,594 | ||||||
4.70%, 11/20/2042 | 325,343 | 357,531 | ||||||
4.50%, 04/20/2043 | 363,056 | 393,696 | ||||||
0.89%, 11/20/2059 | 976,175 | 976,366 | ||||||
0.92%, 01/20/2060 | 571,043 | 571,259 | ||||||
0.89%, 03/20/2060 | 708,151 | 708,234 | ||||||
0.87%, 04/20/2060 | 1,925,133 | 1,917,042 | ||||||
5.24%, 07/20/2060 | 3,150,337 | 3,378,001 | ||||||
0.74%, 08/20/2060 | 380,865 | 380,772 | ||||||
0.91%, 01/20/2061 | 3,290,738 | 3,274,229 | ||||||
0.94%, 03/20/2061 | 2,897,776 | 2,882,919 | ||||||
1.09%, 05/20/2061 | 3,267,496 | 3,264,747 | ||||||
1.14%, 05/20/2061 | 3,203,907 | 3,204,616 | ||||||
0.91%, 08/20/2061 | 722,365 | 717,586 | ||||||
0.99%, 10/20/2061 | 1,670,400 | 1,670,161 | ||||||
0.99%, 12/20/2061 | 7,745,226 | 7,717,933 | ||||||
0.99%, 04/20/2062 | 594,772 | 594,617 | ||||||
1.14%, 04/20/2062 | 1,167,361 | 1,170,226 | ||||||
0.89%, 05/20/2062 | 766,757 | 766,856 | ||||||
0.99%, 07/20/2062 | 2,399,328 | 2,392,217 | ||||||
1.02%, 09/20/2062 | 3,742,540 | 3,736,444 | ||||||
1.03%, 09/20/2062 | 1,019,803 | 1,020,223 |
0.94%, 10/20/2062 | 1,023,392 | 1,020,826 | ||||||
0.95%, 10/20/2062 | 3,194,763 | 3,179,036 | ||||||
1.04%, 10/20/2062 | 511,699 | 509,677 | ||||||
0.74%, 11/20/2062 | 144,021 | 143,929 | ||||||
0.78%, 12/20/2062 | 3,058,590 | 3,023,483 | ||||||
0.76%, 01/20/2063 | 1,394,858 | 1,375,609 | ||||||
0.94%, 01/20/2063 | 1,155,200 | 1,154,269 | ||||||
1.65%, 01/20/2063 | 3,205,870 | 3,219,505 | ||||||
0.86%, 02/20/2063 | 316,308 | 312,834 | ||||||
0.89%, 02/20/2063 | 1,716,244 | 1,702,704 | ||||||
1.65%, 02/20/2063 | 4,312,753 | 4,331,114 | ||||||
0.85%, 03/20/2063 | 1,296,277 | 1,283,596 | ||||||
0.91%, 03/20/2063 | 399,331 | 396,519 | ||||||
1.75%, 03/20/2063 | 1,056,610 | 1,069,918 | ||||||
1.65%, 04/20/2063 | 1,336,677 | 1,342,420 | ||||||
0.91%, 06/20/2063 | 3,354,220 | 3,331,016 | ||||||
1.09%, 01/20/2064 | 3,366,928 | 3,367,661 | ||||||
1.09%, 02/20/2064 | 6,927,185 | 6,928,675 | ||||||
1.13%, 02/20/2064 | 3,762,526 | 3,771,530 | ||||||
1.09%, 03/20/2064 | 3,840,237 | 3,841,002 | ||||||
1.04%, 04/20/2064 | 3,999,522 | 3,990,388 | ||||||
1.04%, 04/20/2064 | 4,346,747 | 4,338,368 | ||||||
1.04%, 05/20/2064 | 6,849,232 | 6,833,120 | ||||||
0.94%, 06/20/2064 | 2,881,988 | 2,859,510 | ||||||
0.91%, 07/20/2064 | 4,621,633 | 4,586,819 | ||||||
0.94%, 07/20/2064 | 2,331,651 | 2,313,653 | ||||||
0.94%, 07/20/2064 | 3,048,105 | 3,024,424 | ||||||
0.91%, 09/20/2064 | 4,562,150 | 4,520,515 | ||||||
1.04%, 10/20/2064 | 1,802,700 | 1,779,647 | ||||||
0.94%, 12/20/2064 | 4,385,250 | 4,360,138 | ||||||
0.00%, 02/20/2065 | 2,890,333 | 2,869,173 | ||||||
0.92%, 02/20/2065 | 4,715,704 | 4,672,665 | ||||||
0.92%, 03/20/2065 | 9,518,064 | 9,431,523 | ||||||
0.92%, 04/20/2065 | 6,809,680 | 6,746,154 | ||||||
0.89%, 06/20/2065 | 2,348,848 | 2,327,463 | ||||||
0.88%, 07/20/2065 | 3,980,576 | 3,932,332 | ||||||
0.91%, 08/20/2065 | 758,273 | 750,672 | ||||||
1.04%, 11/20/2065 | 7,908,055 | 7,887,534 | ||||||
GS Mortgage Securities Co. II | ||||||||
2.71%, 12/10/2027 (Acquired 10/28/2013, Cost $1,280,643) (1) | 1,283,115 | 1,313,058 | ||||||
3.38%, 05/10/2050 | 180,000 | 192,704 | ||||||
GS Mortgage Securities Co. Trust 2012-ALOHA | ||||||||
3.55%, 04/10/2034 (Acquired 04/01/2014, Cost $4,220,782) (1) | 4,200,000 | 4,544,750 |
GS Mortgage Securities Co. Trust 2012-SHOP | ||||||||
1.44%, 06/05/2031 IO (Acquired 10/28/2013, Cost $371,006) (1) | 7,793,000 | 272,368 | ||||||
2.93%, 06/05/2031 (Acquired 07/28/2015 through 03/31/2016, Cost $4,524,723) (1) | 4,402,000 | 4,553,144 | ||||||
GS Mortgage Securities Co. Trust 2013-NYC5 | ||||||||
2.32%, 01/10/2030 (Acquired 10/28/2013, Cost $507,735) (1) | 505,000 | 509,250 | ||||||
GS Mortgage Securities Corp. II | ||||||||
2.77%, 11/10/2045 | 13,211,562 | 13,809,811 | ||||||
GS Mortgage Securities Trust 2006-GG8 | ||||||||
0.74%, 11/10/2039 IO (Acquired 10/28/2013, Cost $159,488) (1) | 8,178,530 | 628 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.55%, 08/10/2044 (Acquired 03/27/2014, Cost $509,907) (1) | 500,000 | 495,605 | ||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/10/2046 | 5,880,000 | 6,520,020 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.62%, 11/10/2046 IO | 24,695,529 | 1,451,040 | ||||||
GS Mortgage Securities Trust 2013-GCJ14 | ||||||||
0.99%, 08/10/2046 IO | 29,333,525 | 1,112,805 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.07%, 01/10/2047 | 2,600,000 | 2,905,275 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/10/2047 | 8,000,000 | 8,546,663 | ||||||
GS Mortgage Securities Trust 2015-590M | ||||||||
3.62%, 10/10/2035 (Acquired 10/23/2015, Cost $1,326,694) (1) | 1,291,000 | 1,396,445 | ||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
3.14%, 02/10/2048 | 9,000,000 | 9,449,712 | ||||||
GSMPS Mortgage Loan Trust 2004-4 | ||||||||
0.85%, 06/25/2034 (Acquired 10/28/2013, Cost $72,157) (1) | 79,072 | 65,528 | ||||||
GSMPS Mortgage Loan Trust 2005-RP2 | ||||||||
0.80%, 03/25/2035 (Acquired 10/28/2013, Cost $130,791) (1) | 146,275 | 123,399 | ||||||
GSMPS Mortgage Loan Trust 2005-RP3 | ||||||||
0.80%, 09/25/2035 (Acquired 10/28/2013, Cost $781,680) (1) | 887,455 | 717,430 | ||||||
4.31%, 09/25/2035 IO (Acquired 10/28/2013, Cost $93,211) (1) | 654,289 | 95,137 | ||||||
GSMS Trust 2009-RR1 | ||||||||
5.37%, 05/17/2045 (Acquired 10/28/2013, Cost $222,882) (1) | 206,526 | 206,395 | ||||||
GSR Mortgage Loan Trust 2003-3F | ||||||||
5.75%, 04/25/2033 | 51,342 | 53,401 | ||||||
GSR Mortgage Loan Trust 2003-6F | ||||||||
0.85%, 09/25/2032 | 18,986 | 17,900 | ||||||
GSR Mortgage Loan Trust 2004-13F | ||||||||
6.00%, 11/25/2034 | 138,253 | 141,821 | ||||||
GSR Mortgage Loan Trust 2004-6F | ||||||||
5.50%, 05/25/2034 | 166,553 | 170,843 | ||||||
6.50%, 05/25/2034 | 110,763 | 117,469 |
GSR Mortgage Loan Trust 2005-5F | ||||||||
0.95%, 06/25/2035 | 52,170 | 49,286 | ||||||
GSR Mortgage Loan Trust 2005-7F | ||||||||
6.00%, 09/25/2035 | 279,270 | 289,177 | ||||||
GSR Mortgage Loan Trust 2005-AR6 | ||||||||
3.06%, 09/25/2035 | 19,321 | 19,207 | ||||||
GSR Mortgage Loan Trust 2006-1F | ||||||||
5.50%, 02/25/2036 | 148,879 | 140,039 | ||||||
6.00%, 02/25/2036 | 575,114 | 501,749 | ||||||
GSR Mortgage Loan Trust 2007-1F | ||||||||
5.50%, 01/25/2037 | 464,913 | 448,491 | ||||||
HILT 2014-ORL Mortgage Trust | ||||||||
1.34%, 07/15/2029 (Acquired 09/02/2014 through 01/27/2016, Cost $1,897,661) (1) | 1,900,000 | 1,867,431 | ||||||
Impac CMB Trust Series 2004-4 | ||||||||
4.97%, 09/25/2034 | 14,108 | 13,600 | ||||||
Impac CMB Trust Series 2004-7 | ||||||||
1.19%, 11/25/2034 | 1,642,526 | 1,531,041 | ||||||
Impac CMB Trust Series 2005-4 | ||||||||
1.05%, 05/25/2035 | 172,349 | 167,213 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 109,376 | 110,395 | ||||||
1.25%, 11/25/2034 | 4,789 | 4,686 | ||||||
Impac Secured Assets Trust 2006-1 | ||||||||
0.80%, 05/25/2036 | 547,228 | 489,872 | ||||||
Impac Secured Assets Trust 2006-2 | ||||||||
0.80%, 08/25/2036 | 602,324 | 586,725 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
2.81%, 03/25/2036 | 52,969 | 44,074 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.06%, 08/12/2037 IO (Acquired 10/28/2013, Cost $79,684) (1) | 9,631,815 | 8,917 | ||||||
5.59%, 08/12/2037 | 48,997 | 48,979 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.13%, 12/15/2044 IO (Acquired 10/28/2013, Cost $102,861) (1) | 8,608,865 | 8,951 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.48%, 06/12/2043 IO | 10,857,541 | 7,276 | ||||||
5.81%, 06/12/2043 | 11,136 | 11,121 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 31,487 | 31,456 | ||||||
5.55%, 05/12/2045 | 452,996 | 452,608 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 | ||||||||
5.40%, 05/15/2045 | 16,952 | 16,929 |
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
0.60%, 05/15/2047 | 202,934 | 201,706 | ||||||
5.34%, 05/15/2047 | 413,000 | 410,655 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 | ||||||||
5.72%, 02/15/2051 | 135,650 | 140,054 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19 | ||||||||
5.89%, 02/12/2049 | 1,504,989 | 1,543,581 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.19%, 02/15/2051 IO | 28,661,774 | 23,382 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | ||||||||
2.38%, 10/15/2045 | 7,800,000 | 8,013,560 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,495,058 | ||||||
JP Morgan Mortgage Trust 2004-A3 | ||||||||
3.25%, 07/25/2034 | 78,670 | 80,645 | ||||||
JP Morgan Mortgage Trust 2004-A4 | ||||||||
2.95%, 09/25/2034 | 97,222 | 98,907 | ||||||
JP Morgan Mortgage Trust 2004-S1 | ||||||||
5.00%, 09/25/2034 | 34,274 | 35,076 | ||||||
JP Morgan Mortgage Trust 2005-A1 | ||||||||
2.92%, 02/25/2035 | 223,203 | 226,718 | ||||||
JP Morgan Mortgage Trust 2005-A4 | ||||||||
2.87%, 07/25/2035 | 273,704 | 267,819 | ||||||
JP Morgan Mortgage Trust 2006-A2 | ||||||||
2.71%, 11/25/2033 | 795,721 | 797,802 | ||||||
3.02%, 08/25/2034 | 1,400,485 | 1,403,768 | ||||||
JP Morgan Mortgage Trust 2006-A3 | ||||||||
2.95%, 08/25/2034 | 191,769 | 191,428 | ||||||
JP Morgan Mortgage Trust 2006-A7 | ||||||||
2.79%, 01/25/2037 | 138,626 | 123,080 | ||||||
2.79%, 01/25/2037 | 243,171 | 214,493 | ||||||
JP Morgan Mortgage Trust 2007-A1 | ||||||||
2.83%, 07/25/2035 | 153,714 | 153,240 | ||||||
2.83%, 07/25/2035 | 2,344,780 | 2,367,329 | ||||||
JP Morgan Mortgage Trust 2007-A2 | ||||||||
2.86%, 04/25/2037 | 506,472 | 444,745 | ||||||
JP Morgan Resecuritization Trust Series 2009-6 | ||||||||
2.76%, 09/26/2036 (Acquired 10/28/2013, Cost $99,972) (1) | 99,296 | 99,366 | ||||||
JP Morgan Resecuritization Trust Series 2010-4 | ||||||||
1.99%, 08/26/2035 (Acquired 10/28/2013, Cost $169) (1) | 170 | 169 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
3.67%, 04/15/2047 | 2,010,000 | 2,162,381 |
JPMBB Commercial Mortgage Securities Trust 2014-C24 | ||||||||
3.10%, 11/15/2047 | 13,000,000 | 13,610,438 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C25 | ||||||||
3.41%, 11/15/2047 | 13,000,000 | 13,920,858 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
2.77%, 10/15/2048 | 3,200,000 | 3,330,940 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.59%, 05/25/2039 IO (Acquired 10/28/2013, Cost $172,943) (1) | 5,623,976 | 105,450 | ||||||
KGS-Alpha SBA COOF Trust 2014-2 | ||||||||
3.00%, 04/25/2040 IO (Acquired 10/21/2014, Cost $420,588) (1) | 2,434,312 | 290,596 | ||||||
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036 (Acquired 10/28/2013, Cost $980,583) (1) | 1,027,000 | 1,120,340 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.46%, 02/15/2040 | 490,000 | 495,671 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
0.74%, 02/15/2040 IO | 12,983,735 | 41,370 | ||||||
5.39%, 02/15/2040 | 14,211,920 | 14,460,291 | ||||||
5.43%, 02/15/2040 | 618,858 | 627,636 | ||||||
Lehman Mortgage Trust 2006-2 | ||||||||
5.93%, 04/25/2036 | 95,594 | 84,737 | ||||||
Lehman Mortgage Trust 2007-6 | ||||||||
6.00%, 07/25/2037 | 74,871 | 66,275 | ||||||
Lehman Mortgage Trust 2008-2 | ||||||||
6.00%, 03/25/2038 | 491,757 | 369,057 | ||||||
Luminent Mortgage Trust 2005-1 | ||||||||
0.71%, 11/25/2035 | 2,775,710 | 2,477,283 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | ||||||||
2.85%, 04/21/2034 | 371,870 | 372,011 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-15 | ||||||||
3.41%, 12/25/2034 | 62,651 | 61,531 | ||||||
MASTR Adjustable Rate Mortgages Trust 2004-3 | ||||||||
2.59%, 04/25/2034 | 102,192 | 94,513 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
6.00%, 08/25/2033 | 436,750 | 456,812 | ||||||
MASTR Alternative Loan Trust 2003-9 | ||||||||
6.00%, 12/25/2033 | 102,678 | 101,763 | ||||||
6.00%, 01/25/2034 | 29,168 | 29,076 | ||||||
MASTR Alternative Loan Trust 2004-1 | ||||||||
5.00%, 01/25/2019 | 28,200 | 28,325 | ||||||
MASTR Alternative Loan Trust 2004-10 | ||||||||
4.50%, 09/25/2019 | 18,803 | 18,884 |
MASTR Alternative Loan Trust 2004-13 | ||||||||
5.50%, 01/25/2020 | 459,608 | 470,230 | ||||||
MASTR Alternative Loan Trust 2004-2 | ||||||||
5.00%, 02/25/2019 | 1,602 | 1,615 | ||||||
MASTR Alternative Loan Trust 2004-3 | ||||||||
6.00%, 04/25/2034 | 281,460 | 294,160 | ||||||
6.25%, 04/25/2034 | 83,540 | 86,898 | ||||||
MASTR Alternative Loan Trust 2004-4 | ||||||||
5.00%, 04/25/2019 | 25,066 | 25,270 | ||||||
MASTR Alternative Loan Trust 2004-6 | ||||||||
0.00%, 07/25/2034 PO | 52,016 | 40,493 | ||||||
6.00%, 07/25/2034 | 31,677 | 31,263 | ||||||
MASTR Alternative Loan Trust 2004-7 | ||||||||
0.00%, 08/25/2034 PO | 44,566 | 34,110 | ||||||
MASTR Alternative Loan Trust 2004-8 | ||||||||
5.50%, 09/25/2019 | 57,895 | 58,870 | ||||||
MASTR Alternative Loan Trust 2005-1 | ||||||||
5.00%, 02/25/2035 | 1,351,136 | 1,351,597 | ||||||
MASTR Alternative Loan Trust 2005-6 | ||||||||
5.50%, 11/25/2020 | 77,468 | 74,836 | ||||||
MASTR Asset Securitization Trust | ||||||||
4.50%, 12/25/2018 | 5,276 | 5,326 | ||||||
MASTR Asset Securitization Trust 2003-12 | ||||||||
0.00%, 12/25/2033 PO | 7,778 | 6,958 | ||||||
5.00%, 12/25/2033 | 28,041 | 28,191 | ||||||
MASTR Asset Securitization Trust 2003-2 | ||||||||
4.50%, 03/25/2018 | 3,131 | 3,120 | ||||||
4.50%, 03/25/2018 | 9,940 | 9,905 | ||||||
5.00%, 03/25/2018 | 4,795 | 4,792 | ||||||
MASTR Asset Securitization Trust 2003-8 | ||||||||
5.50%, 09/25/2033 | 6,610 | 6,583 | ||||||
MASTR Asset Securitization Trust 2003-9 | ||||||||
0.00%, 10/25/2018 PO | 8,482 | 8,447 | ||||||
5.50%, 10/25/2033 | 15,544 | 15,486 | ||||||
MASTR Asset Securitization Trust 2004-1 | ||||||||
0.00%, 02/25/2034 PO | 8,110 | 6,967 | ||||||
MASTR Asset Securitization Trust 2004-4 | ||||||||
4.50%, 04/25/2019 | 1,095 | 1,101 | ||||||
5.25%, 12/26/2033 | 193,482 | 200,032 | ||||||
MASTR Asset Securitization Trust 2004-6 | ||||||||
0.00%, 07/25/2019 PO | 5,120 | 4,904 | ||||||
MASTR Asset Securitization Trust 2004-8 | ||||||||
0.00%, 08/25/2019 PO | 3,389 | 3,194 | ||||||
4.75%, 08/25/2019 | 18,721 | 19,033 |
MASTR Asset Securitization Trust 2004-9 | ||||||||
5.25%, 09/25/2019 | 28,106 | 28,500 | ||||||
MASTR Reperforming Loan Trust 2005-2 | ||||||||
0.80%, 05/25/2035 (Acquired 10/28/2013, Cost $1,067,894) (1) | 1,192,153 | 936,419 | ||||||
MASTR Reperforming Loan Trust 2006-2 | ||||||||
4.57%, 05/25/2036 (Acquired 10/28/2013, Cost $139,704) (1) | 147,308 | 132,814 | ||||||
Mastr Resecuritization Trust 2005-PO | ||||||||
0.00%, 05/28/2035 PO (Acquired 10/28/2013, Cost $79,118) (1) | 83,642 | 66,068 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | ||||||||
1.53%, 06/25/2037 | 340,514 | 329,337 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | ||||||||
2.64%, 08/25/2033 | 94,629 | 94,982 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | ||||||||
1.07%, 10/25/2028 | 181,774 | 172,722 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | ||||||||
1.09%, 10/25/2028 | 211,569 | 206,194 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | ||||||||
2.51%, 12/25/2034 | 193,070 | 192,799 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | ||||||||
0.91%, 04/25/2029 | 79,947 | 74,713 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | ||||||||
1.53%, 07/25/2029 | 159,158 | 150,727 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | ||||||||
2.76%, 08/25/2034 | 158,651 | 161,007 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | ||||||||
2.65%, 02/25/2035 | 306,334 | 298,297 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 820 | 860 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3 | ||||||||
5.41%, 07/12/2046 | 1,462,922 | 1,464,790 | ||||||
ML-CFC Commercial Mortgage Trust 2006-4 | ||||||||
0.79%, 12/12/2049 IO (Acquired 10/28/2013, Cost $388,097) (1) | 27,358,535 | 50,537 | ||||||
5.20%, 12/12/2049 | 2,000,000 | 2,018,547 | ||||||
ML-CFC Commercial Mortgage Trust 2007-9 | ||||||||
5.70%, 09/12/2049 | 606,371 | 630,751 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | ||||||||
2.86%, 11/15/2045 | 9,144,055 | 9,586,380 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | ||||||||
3.96%, 08/15/2046 | 5,200,000 | 5,805,094 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | ||||||||
4.26%, 10/15/2046 | 1,027,000 | 1,160,457 |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | ||||||||
2.92%, 02/15/2047 | 10,000,000 | 10,394,046 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,686,594 | ||||||
3.79%, 02/15/2047 | 659,000 | 724,798 | ||||||
4.06%, 02/15/2047 | 122,000 | 136,364 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | ||||||||
3.45%, 07/15/2050 | 12,200,000 | 13,149,721 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.48%, 05/15/2048 | 5,000,000 | 5,384,265 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.63%, 12/15/2043 IO (Acquired 10/28/2013, Cost $227,557) (1) | 14,540,375 | 16,205 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.38%, 02/12/2044 IO (Acquired 10/28/2013, Cost $153,667) (1) | 33,453,039 | 31,673 | ||||||
5.42%, 02/12/2044 | 310,535 | 315,140 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.63%, 12/15/2044 IO (Acquired 10/28/2013, Cost $114,740) (1) | 8,192,009 | 37,331 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.57%, 03/15/2044 IO (Acquired 10/28/2013, Cost $316,172) (1) | 27,002,911 | 63,011 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
4.05%, 07/15/2049 | 630,000 | 662,974 | ||||||
Morgan Stanley Capital I Trust 2012-C4 | ||||||||
2.99%, 03/15/2045 | 826,000 | 856,185 | ||||||
Morgan Stanley Capital I Trust 2014-CPT | ||||||||
3.35%, 07/13/2029 (Acquired 07/31/2015 through 06/30/2016, Cost $2,131,590) (1) | 2,048,000 | 2,176,533 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-3 | ||||||||
5.68%, 04/25/2034 | 352,015 | 367,934 | ||||||
Morgan Stanley Mortgage Loan Trust 2004-9 | ||||||||
4.96%, 10/25/2019 | 85,604 | 84,256 | ||||||
Morgan Stanley Reremic Trust | ||||||||
0.25%, 07/27/2049 (Acquired 10/28/2013, Cost $1,022,993) (1) | 1,182,000 | 1,050,561 | ||||||
2.00%, 07/27/2049 (Acquired 10/28/2013, Cost $1,227,187) (1) | 1,220,663 | 1,211,276 | ||||||
1.00%, 03/27/2051 (Acquired 10/28/2013, Cost $890,148) (1) | 897,987 | 886,762 | ||||||
MortgageIT Trust 2005-1 | ||||||||
1.09%, 02/25/2035 | 128,528 | 123,417 | ||||||
MortgageIT Trust 2005-2 | ||||||||
0.71%, 05/25/2035 | 2,014,791 | 1,963,179 | ||||||
MortgageIT Trust 2005-3 | ||||||||
0.75%, 08/25/2035 | 5,383,468 | 4,965,979 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
0.92%, 06/15/2030 | 396,821 | 375,007 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
0.88%, 12/15/2030 | 84,753 | 80,450 |
NACC Reperforming Loan REMIC Trust 2004-R2 | ||||||||
6.50%, 10/25/2034 (Acquired 10/28/2013, Cost $83,814) (1) | 82,492 | 83,201 | ||||||
NCUA Guaranteed Notes Trust 2010-C1 | ||||||||
2.65%, 10/29/2020 | 216,943 | 217,085 | ||||||
NCUA Guaranteed Notes Trust 2010-R3 | ||||||||
1.01%, 12/08/2020 | 1,928,529 | 1,932,027 | ||||||
2.40%, 12/08/2020 | 334,571 | 338,762 | ||||||
Nomura Asset Acceptance Co. Alternative Loan Trust Series 2003-A1 | ||||||||
5.00%, 04/25/2018 | 412 | 413 | ||||||
7.00%, 04/25/2033 | 7,954 | 8,131 | ||||||
5.50%, 05/25/2033 | 36,298 | 36,831 | ||||||
6.00%, 05/25/2033 | 22,940 | 23,288 | ||||||
Nomura Resecuritization Trust 2010-6R | ||||||||
3.01%, 03/26/2036 (Acquired 10/28/2013, Cost $43,243) (1) | 43,164 | 42,514 | ||||||
NorthStar 2013-1 | ||||||||
5.45%, 08/25/2029 (Acquired 10/28/2013 through 11/13/2013, Cost $868,846) (1) | 866,045 | 874,705 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 562 | 604 | ||||||
PFP 2015-2 Ltd. | ||||||||
1.88%, 07/14/2034 (Acquired 07/28/2015, Cost $1,208,000) (1) | 1,208,000 | 1,197,633 | ||||||
3.68%, 07/14/2034 (Acquired 07/28/2015, Cost $821,000) (1) | 821,000 | 806,745 | ||||||
4.43%, 07/14/2034 (Acquired 07/28/2015, Cost $730,000) (1) | 730,000 | 719,547 | ||||||
Prime Mortgage Trust 2004-CL1 | ||||||||
6.00%, 02/25/2034 | 149,796 | 156,283 | ||||||
Provident Funding Mortgage Loan Trust 2005-1 | ||||||||
2.84%, 05/25/2035 | 64,873 | 66,060 | ||||||
RAIT 2014-FL2 Trust | ||||||||
2.59%, 05/13/2031 (Acquired 11/18/2015, Cost $1,465,450) (1) | 1,500,000 | 1,486,930 | ||||||
RAIT 2014-FL3 Trust | ||||||||
1.69%, 12/15/2031 (Acquired 10/23/2014, Cost $544,214) (1) | 544,214 | 535,261 | ||||||
2.27%, 12/15/2031 (Acquired 10/23/2014, Cost $1,489,835) (1) | 1,489,836 | 1,464,676 | ||||||
RAIT 2015-FL4 Trust | ||||||||
1.79%, 12/15/2031 (Acquired 05/19/2015, Cost $1,184,159) (1) | 1,184,159 | 1,180,423 | ||||||
2.18%, 12/15/2031 (Acquired 05/19/2015, Cost $966,832) (1) | 966,832 | 966,778 | ||||||
RAIT 2015-FL5 Trust | ||||||||
4.34%, 01/15/2031 (Acquired 12/16/2015, Cost $1,485,000) (1) | 1,485,000 | 1,483,367 | ||||||
RALI Series 2001-QS19 Trust | ||||||||
6.00%, 12/25/2016 | 3,359 | 3,339 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
15.67%, 10/25/2017 | 6,566 | 6,843 | ||||||
RALI Series 2002-QS8 Trust | ||||||||
6.25%, 06/25/2017 | 18,675 | 18,670 |
RALI Series 2003-QR19 Trust | ||||||||
5.75%, 10/25/2033 | 203,117 | 211,107 | ||||||
RALI Series 2003-QR24 Trust | ||||||||
4.00%, 07/25/2033 | 24,805 | 24,771 | ||||||
RALI Series 2003-QS13 Trust | ||||||||
4.00%, 07/25/2033 | 1,036,818 | 979,330 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2018 | 73,318 | 73,606 | ||||||
RALI Series 2003-QS15 Trust | ||||||||
5.50%, 08/25/2033 | 1,043,484 | 1,045,080 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2018 | 21,879 | 22,029 | ||||||
RALI Series 2003-QS19 Trust | ||||||||
5.75%, 10/25/2033 | 556,780 | 583,223 | ||||||
RALI Series 2003-QS3 Trust | ||||||||
15.50%, 02/25/2018 | 15,983 | 16,739 | ||||||
RALI Series 2003-QS9 Trust | ||||||||
7.10%, 05/25/2018 IO | 47,697 | 1,787 | ||||||
RALI Series 2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 11,764 | 11,753 | ||||||
RALI Series 2004-QS7 Trust | ||||||||
5.50%, 05/25/2034 | 879,769 | 893,025 | ||||||
RALI Series 2005-QA6 Trust | ||||||||
3.94%, 05/25/2035 | 268,417 | 225,268 | ||||||
RALI Series 2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 28,611 | 23,539 | ||||||
RBS Commercial Funding, Inc. 2013-SMV Trust | ||||||||
3.26%, 03/11/2031 (Acquired 10/28/2013, Cost $491,195) (1) | 512,000 | 534,193 | ||||||
RBSSP Resecuritization Trust 2009-1 | ||||||||
6.50%, 02/26/2036 (Acquired 10/28/2013, Cost $456,386) (1) | 440,528 | 466,275 | ||||||
RBSSP Resecuritization Trust 2009-12 | ||||||||
4.52%, 11/25/2033 (Acquired 10/28/2013, Cost $495,916) (1) | 484,110 | 500,434 | ||||||
RBSSP Resecuritization Trust 2009-2 | ||||||||
7.00%, 08/26/2037 (Acquired 10/28/2013, Cost $118,384) (1) | 115,013 | 119,621 | ||||||
RBSSP Resecuritization Trust 2009-9 | ||||||||
6.00%, 07/26/2037 (Acquired 10/28/2013, Cost $71,384) (1) | 70,910 | 71,292 | ||||||
RBSSP Resecuritization Trust 2010-9 | ||||||||
5.00%, 10/26/2034 (Acquired 10/28/2013, Cost $149,212) (1) | 144,307 | 146,783 | ||||||
4.00%, 05/26/2037 (Acquired 10/28/2013, Cost $280,186) (1) | 277,083 | 274,511 | ||||||
Reperforming Loan REMIC Trust 2005-R1 | ||||||||
0.00%, 03/25/2035 PO (Acquired 10/28/2013, Cost $11,839) (1) | 12,703 | 10,380 |
Residential Asset Securitization Trust 2003-A13 | ||||||||
5.50%, 01/25/2034 | 35,050 | 35,683 | ||||||
Residential Asset Securitization Trust 2003-A14 | ||||||||
4.75%, 02/25/2019 | 1,742 | 1,761 | ||||||
Residential Asset Securitization Trust 2003-A8 | ||||||||
4.25%, 10/25/2018 | 25,024 | 25,074 | ||||||
Residential Asset Securitization Trust 2004-A7 | ||||||||
5.50%, 10/25/2034 | 2,892,636 | 2,894,196 | ||||||
Residential Asset Securitization Trust 2005-A2 | ||||||||
4.60%, 03/25/2035 IO | 1,126,122 | 168,228 | ||||||
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 116,912 | 105,804 | ||||||
Resource Capital Co. 2015-CRE4 Ltd. | ||||||||
1.84%, 08/15/2032 (Acquired 08/05/2015, Cost $700,000) (1) | 700,000 | 689,741 | ||||||
3.44%, 08/15/2032 (Acquired 08/05/2015, Cost $1,151,000) (1) | 1,151,000 | 1,081,940 | ||||||
RFMSI Series 2003-S11 Trust | ||||||||
4.00%, 06/25/2018 | 402 | 399 | ||||||
RFMSI Series 2003-S14 Trust | ||||||||
0.00%, 07/25/2018 PO | 4,955 | 4,771 | ||||||
RFMSI Series 2003-S16 Trust | ||||||||
5.00%, 09/25/2018 | 14,765 | 14,822 | ||||||
RFMSI Series 2003-S20 Trust | ||||||||
4.75%, 12/25/2018 | 26,233 | 26,411 | ||||||
RFMSI Series 2004-S6 Trust | ||||||||
0.00%, 06/25/2034 PO | 18,748 | 15,960 | ||||||
RFMSI Series 2005-SA4 Trust | ||||||||
2.95%, 09/25/2035 | 102,619 | 84,454 | ||||||
RREF 2015-LT7 LLC | ||||||||
3.00%, 12/25/2032 (Acquired 06/15/2015, Cost $574,968) (1) | 575,356 | 575,356 | ||||||
Sequoia Mortgage Trust 2004-10 | ||||||||
1.07%, 11/20/2034 | 85,043 | 79,393 | ||||||
Sequoia Mortgage Trust 2004-11 | ||||||||
1.05%, 12/20/2034 | 266,700 | 257,091 | ||||||
Sequoia Mortgage Trust 2004-12 | ||||||||
1.24%, 01/20/2035 | 221,103 | 202,459 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
1.15%, 09/20/2034 | 1,586,356 | 1,501,078 | ||||||
1.61%, 09/20/2034 | 275,245 | 263,774 | ||||||
Springleaf Mortgage Loan Trust 2013-1 | ||||||||
1.27%, 06/25/2058 (Acquired 10/28/2013, Cost $642,790) (1) | 649,329 | 647,936 | ||||||
2.31%, 06/25/2058 (Acquired 10/28/2013, Cost $1,088,891) (1) | 1,121,000 | 1,119,934 | ||||||
3.14%, 06/25/2058 (Acquired 10/28/2013, Cost $797,362) (1) | 817,000 | 815,847 | ||||||
3.79%, 06/25/2058 (Acquired 10/28/2013, Cost $662,831) (1) | 688,000 | 686,994 |
Springleaf Mortgage Loan Trust 2013-2 | ||||||||
1.78%, 12/25/2065 (Acquired 10/28/2013, Cost $1,050,599) (1) | 1,055,183 | 1,054,274 | ||||||
3.52%, 12/25/2065 (Acquired 10/28/2013, Cost $878,343) (1) | 899,000 | 898,112 | ||||||
Springleaf Mortgage Loan Trust 2013-3 | ||||||||
3.79%, 09/25/2057 (Acquired 10/28/2013, Cost $1,261,701) (1) | 1,262,000 | 1,267,685 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.81%, 06/25/2034 | 32,679 | 32,578 | ||||||
2.95%, 06/25/2034 | 725,423 | 719,517 | ||||||
Structured Asset Mortgage Investments II Trust 2004-AR5 | ||||||||
1.11%, 10/19/2034 | 235,675 | 224,234 | ||||||
Structured Asset Mortgage Investments II Trust 2005-AR5 | ||||||||
0.70%, 07/19/2035 | 850,183 | 818,293 | ||||||
Structured Asset Mortgage Investments Trust 2003-CL1 | ||||||||
0.85%, 07/25/2032 | 662,976 | 625,849 | ||||||
Structured Asset Sec Co. Mort Pas Thr Certs Se 2003 29 | ||||||||
4.75%, 09/25/2018 | 40,189 | 40,590 | ||||||
Structured Asset Sec Co. Mort Pas Thr Certs Ser 2003 30 | ||||||||
5.50%, 10/25/2033 | 33,998 | 35,521 | ||||||
Structured Asset Sec Co. Mort Pass Th Certs Ser 2003-32 | ||||||||
5.26%, 11/25/2033 | 25,015 | 25,006 | ||||||
Structured Asset Securities Co. | ||||||||
2.66%, 12/25/2033 | 293,244 | 290,907 | ||||||
2.85%, 12/25/2033 | 2,406,768 | 2,358,208 | ||||||
5.62%, 02/25/2034 | 292,274 | 300,388 | ||||||
0.80%, 06/25/2035 (Acquired 10/28/2013, Cost $94,763) (1) | 109,130 | 87,215 | ||||||
Structured Asset Securities Co. Mort Pass Thru Ser 2004-5H | ||||||||
5.54%, 12/25/2033 | 653,877 | 671,557 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2003-33H | ||||||||
5.50%, 10/25/2033 | 320,213 | 326,656 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2003-34A | ||||||||
2.88%, 11/25/2033 | 94,524 | 92,573 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2004-22 | ||||||||
5.07%, 01/25/2035 | 4,419,537 | 4,522,195 | ||||||
Structured Asset Securities Co. Trust 2005-6 | ||||||||
5.00%, 05/25/2035 | 53,240 | 53,634 | ||||||
Thornburg Mortgage Securities Trust 2003-4 | ||||||||
1.09%, 09/25/2043 | 1,164,529 | 1,117,898 | ||||||
Thornburg Mortgage Securities Trust 2003-5 | ||||||||
2.42%, 10/25/2043 | 6,881,309 | 6,893,921 | ||||||
Thornburg Mortgage Securities Trust 2004-4 | ||||||||
2.24%, 12/25/2044 | 641,123 | 631,240 |
Thornburg Mortgage Securities Trust 2005-1 | ||||||||
2.54%, 04/25/2045 | 1,775,507 | 1,775,510 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
2.34%, 05/10/2045 IO (Acquired 10/28/2013, Cost $217,816) (1) | 1,829,836 | 169,597 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/10/2030 (Acquired 10/28/2013, Cost $1,762,879) (1) | 1,787,000 | 1,895,854 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
1.81%, 05/10/2063 IO (Acquired 10/28/2013, Cost $595,491) (1) | 7,242,753 | 413,026 | ||||||
3.53%, 05/10/2063 | 1,073,000 | 1,163,171 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.24%, 04/10/2046 | 271,000 | 287,972 | ||||||
Vendee Mortgage Trust 1993-1 | ||||||||
7.25%, 02/15/2023 | 505,763 | 571,469 | ||||||
Vendee Mortgage Trust 1994-1 | ||||||||
5.51%, 02/15/2024 | 123,539 | 135,828 | ||||||
6.50%, 02/15/2024 | 386,335 | 438,277 | ||||||
Vendee Mortgage Trust 1996-1 | ||||||||
6.75%, 02/15/2026 | 181,633 | 211,870 | ||||||
Vendee Mortgage Trust 1996-2 | ||||||||
6.75%, 06/15/2026 | 82,373 | 95,444 | ||||||
Vendee Mortgage Trust 1997-1 | ||||||||
7.50%, 02/15/2027 | 253,351 | 300,161 | ||||||
Vendee Mortgage Trust 1998-1 | ||||||||
7.00%, 03/15/2028 | 168,532 | 203,938 | ||||||
VML 2014-NPL1 LLC | ||||||||
3.88%, 04/27/2054 (Acquired 11/26/2014, Cost $629,797) (1) | 629,797 | 629,235 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030 (Acquired 10/28/2013 through 02/19/2014, Cost $2,212,537) (1) | 2,283,000 | 2,397,094 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029 (Acquired 12/05/2013, Cost $2,550,154) (1) | 2,500,000 | 2,660,424 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2005-C21 | ||||||||
5.47%, 10/15/2044 | 423,959 | 423,606 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | ||||||||
0.17%, 03/15/2045 IO (Acquired 10/28/2013, Cost $242,041) (1) | 5,672,340 | 17 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | ||||||||
5.89%, 06/15/2049 | 5,682,221 | 5,842,168 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
2.53%, 10/25/2033 | 477,695 | 480,534 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | ||||||||
2.48%, 08/25/2033 | 159,241 | 159,059 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | ||||||||
2.51%, 09/25/2033 | 851,900 | 855,561 | ||||||
2.59%, 09/25/2033 | 153,560 | 149,146 |
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 145,952 | 149,995 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | ||||||||
5.00%, 10/25/2018 | 7,339 | 7,386 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | ||||||||
1.00%, 12/25/2018 | 18,971 | 18,497 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | ||||||||
16.22%, 06/25/2033 | 34,811 | 43,865 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | ||||||||
4.50%, 09/25/2018 | 34,746 | 34,861 | ||||||
4.50%, 09/25/2018 | 12,171 | 12,219 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | ||||||||
0.00%, 10/25/2033 PO | 11,695 | 9,883 | ||||||
5.25%, 10/25/2033 | 577,755 | 600,172 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | ||||||||
2.79%, 06/25/2034 | 4,939,234 | 4,969,800 | ||||||
2.79%, 06/25/2034 | 278,320 | 280,042 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 44,945 | 45,465 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 54,640 | 55,211 | ||||||
5.50%, 08/25/2019 | 118,714 | 120,349 | ||||||
6.00%, 08/25/2034 | 1,151,904 | 1,214,569 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 17,328 | 17,587 | ||||||
6.00%, 10/25/2019 | 17,912 | 18,530 | ||||||
6.50%, 10/25/2034 | 4,518,561 | 4,866,646 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 30,530 | 31,079 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | ||||||||
5.00%, 11/25/2033 | 97,643 | 99,084 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 508,529 | 529,700 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 112,488 | 116,633 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
2.48%, 09/25/2036 | 22,164 | 18,673 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | ||||||||
2.45%, 08/25/2046 | 117,910 | 101,984 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | ||||||||
0.00%, 03/25/2035 PO | 17,980 | 12,881 | ||||||
5.50%, 03/25/2035 | 205,881 | 204,055 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | ||||||||
4.55%, 04/25/2035 IO | 334,821 | 46,696 | ||||||
4.60%, 04/25/2035 IO | 1,237,672 | 203,208 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 433,391 | 400,700 | ||||||
5.50%, 06/25/2035 IO | 409,623 | 85,324 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 83,919 | 76,324 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 34,665 | 31,654 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | ||||||||
0.95%, 03/25/2018 | 6,176 | 6,117 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 PO | 2,237 | 1,872 | ||||||
Wedgewood Real Estate Trust 2016-1 | ||||||||
3.75%, 07/15/2046 (Acquired 06/22/2016, Cost $1,544,911) (1) | 1,545,000 | 1,544,896 | ||||||
Wells Fargo Alternative Loan 2003-1 Trust | ||||||||
0.00%, 09/25/2033 PO | 13,006 | 11,464 | ||||||
Wells Fargo Alternative Loan 2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 44,824 | 39,240 | ||||||
Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.80%, 03/18/2028 (Acquired 10/28/2013, Cost $1,521,975) (1) | 1,548,000 | 1,597,861 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
2.99%, 02/15/2048 | 9,300,000 | 9,721,098 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 | ||||||||
3.37%, 06/15/2048 | 10,000,000 | 10,664,816 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/15/2058 | 729,000 | 795,719 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.50%, 07/15/2058 | 15,000,000 | 16,134,596 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS3 | ||||||||
3.62%, 09/15/2057 | 548,000 | 595,386 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 | ||||||||
3.79%, 12/15/2047 | 969,000 | 1,066,198 | ||||||
Wells Fargo Mortgage Backed Securities 2003-K Trust | ||||||||
2.62%, 11/25/2033 | 316,917 | 316,685 | ||||||
2.62%, 11/25/2033 | 12,157 | 12,206 | ||||||
Wells Fargo Mortgage Backed Securities 2003-L Trust | ||||||||
2.72%, 11/25/2033 | 48,527 | 47,300 | ||||||
Wells Fargo Mortgage Backed Securities 2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 68,739 | 70,117 |
Wells Fargo Mortgage Backed Securities 2004-B Trust | ||||||||
2.73%, 02/25/2034 | 104,147 | 103,296 | ||||||
Wells Fargo Mortgage Backed Securities 2004-EE Trust | ||||||||
2.95%, 12/25/2034 | 4,020,457 | 4,043,092 | ||||||
2.95%, 12/25/2034 | 165,680 | 168,512 | ||||||
2.98%, 12/25/2034 | 296,679 | 305,422 | ||||||
2.98%, 12/25/2034 | 96,839 | 99,693 | ||||||
Wells Fargo Mortgage Backed Securities 2004-I Trust | ||||||||
2.83%, 07/25/2034 | 412,222 | 416,313 | ||||||
Wells Fargo Mortgage Backed Securities 2004-P Trust | ||||||||
2.77%, 09/25/2034 | 1,149,640 | 1,150,094 | ||||||
Wells Fargo Mortgage Backed Securities 2004-V Trust | ||||||||
2.98%, 10/25/2034 | 168,584 | 169,259 | ||||||
2.98%, 10/25/2034 | 216,225 | 221,087 | ||||||
Wells Fargo Mortgage Backed Securities 2005-14 Trust | ||||||||
0.00%, 12/25/2035 PO | 25,458 | 22,385 | ||||||
5.50%, 12/25/2035 | 118,102 | 122,258 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR10 Trust | ||||||||
2.88%, 06/25/2035 | 7,063,564 | 7,140,592 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | ||||||||
3.01%, 03/25/2035 | 2,672,577 | 2,728,556 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | ||||||||
2.91%, 06/25/2035 | 238,686 | 242,662 | ||||||
Wells Fargo Mortgage Backed Securities 2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 307,247 | 304,615 | ||||||
Wells Fargo Mortgage Backed Securities 2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 52,975 | 52,554 | ||||||
Wells Fargo Resecuritization Trust 2012-IO | ||||||||
1.75%, 08/20/2021 (Acquired 10/28/2013, Cost $101,984) (1) | 102,130 | 102,116 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3 | ||||||||
4.38%, 03/15/2044 (Acquired 10/28/2013, Cost $1,118,305) (1) | 1,059,000 | 1,170,554 | ||||||
WFRBS Commercial Mortgage Trust 2012-C6 | ||||||||
3.44%, 04/15/2045 | 9,470,780 | 10,180,121 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11 | ||||||||
4.32%, 03/15/2045 (Acquired 08/04/2014, Cost $287,178) (1) | 300,000 | 273,558 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
3.68%, 08/15/2047 | 7,000,000 | 7,639,400 | ||||||
WFRBS Commercial Mortgage Trust 2014-C23 | ||||||||
3.64%, 10/15/2057 | 3,500,000 | 3,778,014 | ||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.32%, 11/15/2047 | 5,000,000 | 5,310,330 |
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,969,540 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $3,759,206,884) | $ | 3,873,132,618 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $10,056,724,062) | $ | 10,464,052,914 | ||||||
|
| |||||||
Shares | Value | |||||||
PREFERRED STOCKS - 0.02% | ||||||||
Financials - 0.02% | ||||||||
State Street Corp. | 95,000 | $ | 2,549,800 | |||||
|
| |||||||
Total Preferred Stocks (Cost $2,375,000) | $ | 2,549,800 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 8.59% | ||||||||
Money Market Funds - 8.58% | ||||||||
Fidelity Institutional Money Market Government Funds - Class I, 0.26% (5)(7) | 465,684,575 | $ | 465,684,575 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund - Class I, 0.16% (5)(7) | 457,237,211 | 457,237,211 | ||||||
|
| |||||||
Total Money Market Funds (Cost $922,921,786) | 922,921,786 | |||||||
|
| |||||||
Principal | ||||||||
Amount | Value | |||||||
United States Treasury Bills - 0.01% | ||||||||
United States Treasury Bill, 0.00%, May 2017 (4) | $ | 1,000,000 | 996,360 | |||||
|
| |||||||
Total United States Treasury Bills (Cost $995,217) | 996,360 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $923,917,003) | $ | 923,918,146 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 105.84% | $ | 11,390,520,860 | ||||||
TBA SALES COMMITMENTS - (0.02)% | ||||||||
Mortgage-Backed Obligations - (0.02)% | ||||||||
Fannie Mae Pool, 4.50%, Aug. 2040 (6) | (2,000,000 | ) | $ | (2,181,758 | ) | |||
|
| |||||||
Total TBA Sales Commitments (Proceeds Received $2,183,125) | $ | (2,181,758 | ) | |||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.82)% | (626,133,265 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 10,762,205,837 | ||||||
|
|
Percentages are stated as a percent of net assets.
IO | Interest Only Strip. |
PO | Principal Only Strip. |
(1) | Restricted security as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities total $1,558,554,235, which represents 14.48% of total net assets. |
(2) | Inflation protected security. The value of these securities total $36,167,360, which represents 0.34% of total net assets. |
(3) | Delayed delivery purchase commitment security. The value of these securities total $594,571,946, which represents 5.52% of total net assets. |
(4) | Partially assigned as collateral for certain futures contracts. The value of the pledged issues total $3,638,916, which represent 0.03% of total net assets. |
(5) | Partially assigned as collateral for certain delayed delivery securities. |
(6) | Delayed delivery sale commitment security. |
(7) | Represents annualized seven-day yield as of the close of the reporting period. |
(8) | Securitiy is treated as illiquid by the Fund. The value of these securities total $26,566,286, which represents 0.25% of the total net assets. |
Open Futures Contracts
Number of Contracts Purchased (Sold) | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
(788) | U.S. 10 Year Note Future | J.P. Morgan | Sep. 2016 | $ | (104,232,414 | ) | $ | (104,791,687 | ) | $ | (559,273 | ) | ||||||
537 | U.S. 2 Year Note Future | J.P. Morgan | Sep. 2016 | 117,043,702 | 117,779,203 | 735,501 | ||||||||||||
2,208 | U.S. 5 Year Note Future | J.P. Morgan | Sep. 2016 | 266,632,524 | 269,738,251 | 3,105,727 | ||||||||||||
(576) | U.S. Long Bond Future | J.P. Morgan | Sep. 2016 | (93,581,662 | ) | (99,270,000 | ) | (5,688,338 | ) | |||||||||
161 | U.S. Ultra Bond Future | J.P. Morgan | Sep. 2016 | 29,366,088 | 30,006,375 | 640,287 | ||||||||||||
|
| |||||||||||||||||
$ | (1,766,096 | ) | ||||||||||||||||
|
|
Bridge Builder Core Plus Bond Fund
Schedule of Investments
June 30, 2016
Principal Amount | Value | |||||||
BONDS & NOTES - 93.89% | ||||||||
Asset-Backed Obligations - 5.83% | ||||||||
ABFC 2007-NC1 Trust | ||||||||
0.75%, 05/25/2037 (Acquired 09/03/2015, Cost $3,051,873) (1) | $ | 4,000,000 | $ | 2,972,518 | ||||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE7 | ||||||||
1.11%, 11/25/2035 | 1,390,004 | 1,371,266 | ||||||
Ally Auto Receivables Trust 2016-3 | ||||||||
1.72%, 04/15/2021 | 2,060,000 | 2,077,648 | ||||||
Ally Master Owner Trust | ||||||||
1.54%, 09/15/2019 | 1,450,000 | 1,454,571 | ||||||
1.63%, 05/15/2020 | 1,670,000 | 1,674,900 | ||||||
American Express Credit Account Master Trust | ||||||||
1.49%, 04/15/2020 | 2,000,000 | 2,015,410 | ||||||
American Homes 4 Rent 2014-SFR1 | ||||||||
2.53%, 06/17/2031 (Acquired 04/05/2016, Cost $95,800) (1) | 100,000 | 98,092 | ||||||
AmeriCredit Automobile Receivables 2015-1 | ||||||||
1.26%, 11/08/2019 | 1,645,000 | 1,645,510 | ||||||
AmeriCredit Automobile Receivables 2015-4 | ||||||||
3.72%, 12/08/2021 | 531,000 | 549,442 | ||||||
AmeriCredit Automobile Receivables 2016-1 | ||||||||
1.81%, 10/08/2020 | 175,000 | 176,481 | ||||||
3.59%, 02/08/2022 | 916,000 | 940,410 | ||||||
AmeriCredit Automobile Receivables Trust 2013-5 | ||||||||
2.86%, 12/09/2019 | 3,270,000 | 3,322,574 | ||||||
Americredit Automobile Receivables Trust 2014-4 | ||||||||
3.07%, 11/09/2020 | 5,600,000 | 5,671,795 | ||||||
AmeriCredit Automobile Receivables Trust 2015-3 | ||||||||
3.34%, 08/08/2021 | 1,865,000 | 1,912,302 | ||||||
AmeriCredit Automobile Receivables Trust 2016-2 | ||||||||
1.60%, 11/09/2020 | 1,260,000 | 1,265,587 | ||||||
3.65%, 05/09/2022 | 605,000 | 620,591 | ||||||
Ameriquest Mortgage Securities Trust 2006-R2 | ||||||||
0.63%, 04/25/2036 | 2,554,342 | 2,508,678 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2004-R8 | ||||||||
1.41%, 09/25/2034 | 3,202,327 | 3,188,336 |
AMPLIT Trust 2015-A | ||||||||
5.00%, 09/15/2021 (Acquired 11/13/2015, Cost $958,241) (1) | 958,241 | 972,567 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC | ||||||||
4.28%, 09/05/2044 (Acquired 05/16/2016, Cost $5,073,445) (1) | 5,000,000 | 5,088,916 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.97%, 02/20/2020 (Acquired 08/26/2015, Cost $1,018,183) (1) | 1,000,000 | 1,025,338 | ||||||
2.46%, 07/20/2020 (Acquired 07/15/2015 through 06/17/2016, Cost $2,651,819) (1) | 2,630,000 | 2,667,148 | ||||||
BA Credit Card Trust | ||||||||
0.71%, 09/16/2019 | 3,500,000 | 3,503,326 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
2.41%, 07/15/2022 | 1,395,000 | 1,435,171 | ||||||
2.20%, 12/15/2022 | 1,705,000 | 1,753,953 | ||||||
BMW Vehicle Owner Trust 2013-A | ||||||||
1.12%, 04/27/2020 | 2,370,000 | 2,372,793 | ||||||
Brazos Higher Education Authority, Inc. | ||||||||
0.76%, 12/26/2019 | 945,114 | 942,859 | ||||||
Cabela’s Credit Card Master Note Trust | ||||||||
2.26%, 03/15/2023 | 850,000 | 871,279 | ||||||
CAM Mortgage Trust 2016-1 | ||||||||
4.00%, 01/15/2056 (Acquired 04/18/2016, Cost $260,085) (1) | 260,605 | 259,998 | ||||||
Capital Auto Receivables Asset Trust 2014-1 | ||||||||
2.84%, 04/22/2019 | 1,185,000 | 1,201,333 | ||||||
Capital Auto Receivables Asset Trust 2014-2 | ||||||||
1.62%, 10/22/2018 | 553,000 | 554,183 | ||||||
Capital Auto Receivables Asset Trust 2015-3 | ||||||||
1.94%, 01/21/2020 | 2,000,000 | 2,023,082 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1.39%, 01/15/2021 | 5,385,000 | 5,422,054 | ||||||
CarMax Auto Owner Trust 2013-3 | ||||||||
1.49%, 01/15/2019 | 1,600,000 | 1,606,296 | ||||||
CarMax Auto Owner Trust 2014-3 | ||||||||
1.16%, 06/17/2019 | 981,848 | 982,979 | ||||||
CarMax Auto Owner Trust 2016-1 | ||||||||
1.88%, 06/15/2021 | 365,000 | 369,743 | ||||||
CarMax Auto Owner Trust 2016-2 | ||||||||
2.16%, 12/15/2021 | 100,000 | 100,339 | ||||||
Carnow Auto Receivables Trust 2015-1 | ||||||||
3.88%, 04/15/2020 (Acquired 09/11/2015, Cost $649,979) (1) | 650,000 | 628,874 | ||||||
CCG Receivables Trust 2016-1 | ||||||||
1.69%, 09/14/2022 (Acquired 06/08/2016, Cost $1,404,905) (1) | 1,405,000 | 1,407,365 | ||||||
Chase Issuance Trust | ||||||||
1.15%, 01/15/2019 | 3,000,000 | 3,006,034 |
0.76%, 02/18/2020 | 2,625,000 | 2,625,784 | ||||||
0.87%, 09/15/2020 | 2,000,000 | 2,004,012 | ||||||
1.37%, 06/15/2021 | 6,150,000 | 6,181,823 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
1.02%, 02/22/2019 | 5,335,000 | 5,340,585 | ||||||
1.60%, 01/23/2020 | 3,500,000 | 3,548,249 | ||||||
CKE Restaurant Holdings, Inc. | ||||||||
4.47%, 03/20/2043 (Acquired 07/28/2015, Cost $2,160,644) (1) | 2,107,019 | 2,108,745 | ||||||
CLI Funding V LLC | ||||||||
3.38%, 10/18/2029 (Acquired 07/23/2015, Cost $1,088,006) (1) | �� | 1,082,514 | 1,044,171 | |||||
CNH Equipment Trust 2013-A | ||||||||
1.01%, 02/18/2020 | 1,450,000 | 1,449,503 | ||||||
CNH Equipment Trust 2013-D | ||||||||
1.37%, 10/15/2020 | 800,000 | 802,202 | ||||||
CNH Equipment Trust 2015-A | ||||||||
1.85%, 04/15/2021 | 1,047,000 | 1,060,020 | ||||||
Colony American Finance 2015-1 Ltd. | ||||||||
4.83%, 10/15/2047 (Acquired 10/22/2015, Cost $724,992) (1) | 725,000 | 725,058 | ||||||
Colony American Homes 2014-2 | ||||||||
2.80%, 07/17/2031 (Acquired 03/28/2016, Cost $120,123) (1) | 125,000 | 123,168 | ||||||
DB Master Finance LLC 2015-1 | ||||||||
3.26%, 02/20/2045 (Acquired 07/29/2015, Cost $523,798) (1) | 523,375 | 528,242 | ||||||
Diamond Resorts Owner Trust 2013-1 | ||||||||
1.95%, 01/20/2025 (Acquired 08/26/2015, Cost $864,678) (1) | 868,541 | 863,691 | ||||||
Diamond Resorts Owner Trust 2014-1 | ||||||||
2.54%, 05/20/2027 (Acquired 07/15/2015, Cost $265,147) (1) | 264,915 | 265,604 | ||||||
Diamond Resorts Owner Trust 2015-1 | ||||||||
2.73%, 07/20/2027 (Acquired 07/23/2015, Cost $190,653) (1) | 190,669 | 191,794 | ||||||
Discover Card Execution Note Trust | ||||||||
1.85%, 10/16/2023 | 655,000 | 661,531 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
5.22%, 01/25/2042 (Acquired 07/15/2015 through 07/29/2015, Cost $1,886,232) (1) | 1,827,617 | 1,880,984 | ||||||
3.48%, 10/25/2045 (Acquired 10/14/2015, Cost $1,702,445) (1) | 1,702,445 | 1,729,378 | ||||||
Drive Auto Receivables Trust 2015-B | ||||||||
2.76%, 07/15/2021 (Acquired 08/06/2015, Cost $842,391) (1) | 845,000 | 845,672 | ||||||
Drive Auto Receivables Trust 2015-C | ||||||||
3.01%, 05/17/2021 (Acquired 07/15/2015, Cost $824,909) (1) | 825,000 | 826,116 | ||||||
Dryden XXXI Senior Loan Fund | ||||||||
1.98%, 04/18/2026 (Acquired 07/21/2015, Cost $1,659,630) (1) | 1,665,000 | 1,654,977 | ||||||
DT Auto Owner Trust 2014-3 | ||||||||
4.47%, 11/15/2021 (Acquired 06/28/2016, Cost $1,826,438) (1) | 1,800,000 | 1,825,312 | ||||||
DT Auto Owner Trust 2016-1 | ||||||||
4.66%, 12/15/2022 (Acquired 01/13/2016, Cost $1,599,607) (1) | 1,600,000 | 1,612,675 |
Enterprise Fleet Financing LLC | ||||||||
2.09%, 02/22/2021 (Acquired 07/22/2015 through 06/08/2016, Cost $1,540,801) (1) | 1,535,000 | 1,548,229 | ||||||
2.08%, 09/20/2021 (Acquired 02/09/2016, Cost $509,931) (1) | 510,000 | 510,079 | ||||||
First Investors Auto Owner Trust 2015-2 | ||||||||
4.22%, 12/15/2021 (Acquired 08/18/2015, Cost $269,985) (1) | 270,000 | 264,165 | ||||||
First NLC Trust 2005-2 | ||||||||
0.93%, 09/25/2035 | 3,814,675 | 3,734,992 | ||||||
Flagship Credit Auto Trust 2014-1 | ||||||||
3.34%, 04/15/2020 (Acquired 09/01/2015, Cost $99,851) (1) | 100,000 | 98,372 | ||||||
Flatiron CLO 2014-1 Ltd. | ||||||||
2.01%, 07/17/2026 (Acquired 07/21/2015, Cost $1,657,666) (1) | 1,660,000 | 1,642,940 | ||||||
Ford Credit Auto Owner Trust 2014-A | ||||||||
1.90%, 09/15/2019 | 1,100,000 | 1,107,180 | ||||||
Ford Credit Auto Owner Trust 2014-B | ||||||||
0.90%, 10/15/2018 | 1,515,563 | 1,515,547 | ||||||
Ford Credit Auto Owner Trust 2014-C | ||||||||
1.06%, 05/15/2019 | 430,375 | 431,042 | ||||||
Ford Credit Auto Owner Trust 2015-C | ||||||||
1.41%, 02/15/2020 | 2,000,000 | 2,012,103 | ||||||
Ford Credit Auto Owner Trust 2016-A | ||||||||
1.60%, 06/15/2021 | 2,635,000 | 2,668,697 | ||||||
Ford Credit Auto Owner Trust 2016-REV2 | ||||||||
2.03%, 12/15/2027 (Acquired 06/20/2016, Cost $4,003,624) (1) | 4,005,000 | 4,026,039 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
1.92%, 01/15/2019 | 869,000 | 872,507 | ||||||
GM Financial Automobile Leasing Trust 2016-2 | ||||||||
1.76%, 03/20/2020 | 995,000 | 997,471 | ||||||
2.08%, 03/20/2020 | 570,000 | 570,930 | ||||||
2.58%, 03/20/2020 | 350,000 | 350,179 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
1.96%, 05/17/2021 (Acquired 05/24/2016, Cost $2,034,604) (1) | 2,035,000 | 2,042,863 | ||||||
2.41%, 05/17/2021 (Acquired 05/24/2016, Cost $144,988) (1) | 145,000 | 145,409 | ||||||
2.85%, 05/17/2021 (Acquired 05/24/2016, Cost $99,978) (1) | 100,000 | 100,404 | ||||||
HOA Funding LLC | ||||||||
4.85%, 08/20/2044 (Acquired 07/15/2015 through 12/09/2015, Cost $630,833) (1) | 656,200 | 580,606 | ||||||
Home Partners of America 2016-1 Trust | ||||||||
3.73%, 03/17/2033 (Acquired 01/22/2016, Cost $675,775) (1) | 705,000 | 708,104 | ||||||
Honda Auto Receivables 2013-4 Owner Trust | ||||||||
0.69%, 09/18/2017 | 514,791 | 514,554 | ||||||
Honda Auto Receivables 2014-1 Owner Trust | ||||||||
0.67%, 11/21/2017 | 759,219 | 758,977 |
Honda Auto Receivables 2015-3 Owner Trust | ||||||||
1.27%, 04/18/2019 | 2,100,000 | 2,108,870 | ||||||
Honda Auto Receivables 2015-4 Owner Trust | ||||||||
1.23%, 09/23/2019 | 2,000,000 | 2,007,021 | ||||||
HSI Asset Securitization Corp. Trust 2006-OPT1 | ||||||||
0.67%, 12/25/2035 | 2,673,900 | 2,630,482 | ||||||
Hyundai Auto Lease Securitization Trust 2015-B | ||||||||
1.66%, 07/15/2019 (Acquired 07/15/2015 through 07/29/2015, Cost $1,676,122) (1) | 1,675,000 | 1,684,416 | ||||||
Hyundai Auto Lease Securitization Trust 2016-B | ||||||||
1.52%, 10/15/2019 (Acquired 05/17/2016, Cost $449,971) (1) | 450,000 | 450,971 | ||||||
1.68%, 04/15/2020 (Acquired 05/17/2016, Cost $139,983) (1) | 140,000 | 140,340 | ||||||
Invitation Homes 2013-SFR1 Trust | ||||||||
2.60%, 12/17/2030 (Acquired 08/05/2015, Cost $894,942) (1) | 905,000 | 893,050 | ||||||
Invitation Homes 2014-SFR2 Trust | ||||||||
3.20%, 09/17/2031 (Acquired 05/26/2016, Cost $1,495,283) (1) | 1,500,000 | 1,502,373 | ||||||
John Deere Owner Trust 2015-B | ||||||||
1.44%, 10/15/2019 | 315,000 | 316,031 | ||||||
Kubota Credit Owner Trust 2014-1 | ||||||||
1.16%, 05/15/2018 (Acquired 07/15/2015, Cost $375,313) (1) | 375,574 | 375,620 | ||||||
Kubota Credit Owner Trust 2015-1 | ||||||||
1.79%, 08/16/2021 (Acquired 11/12/2015, Cost $496,326) (1) | 500,000 | 502,439 | ||||||
Mercedes Benz Auto Lease Trust 2015-A | ||||||||
1.21%, 10/15/2020 | 1,500,000 | 1,501,902 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 | ||||||||
0.69%, 05/25/2037 | 3,690,175 | 2,052,367 | ||||||
MMAF Equipment Finance LLC 2016-A | ||||||||
1.76%, 01/17/2023 (Acquired 05/03/2016, Cost $279,966) (1) | 280,000 | 281,757 | ||||||
MVW Owner Trust 2015-1 | ||||||||
2.52%, 12/20/2032 (Acquired 08/04/2015, Cost $1,684,110) (1) | 1,684,223 | 1,683,161 | ||||||
Nationstar HECM Loan Trust 2016-1A | ||||||||
2.98%, 02/25/2026 (Acquired 02/25/2016, Cost $181,877) (1) | 181,877 | 182,102 | ||||||
Navient Student Loan Trust 2014-2 | ||||||||
1.09%, 03/25/2083 | 1,115,873 | 1,064,355 | ||||||
Navient Student Loan Trust 2014-3 | ||||||||
1.07%, 03/25/2083 | 413,915 | 394,873 | ||||||
Navient Student Loan Trust 2016-2 | ||||||||
2.07%, 06/25/2065 (Acquired 04/05/2016, Cost $2,000,000) (1) | 2,000,000 | 2,007,626 | ||||||
Navient Student Loan Trust 2016-3 | ||||||||
1.46%, 06/25/2065 (Acquired 06/07/2016, Cost $2,300,000) (1) | 2,300,000 | 2,292,943 | ||||||
Nelnet Student Loan Trust 2007-1 | ||||||||
0.73%, 05/27/2025 | 4,150,000 | 3,947,788 | ||||||
Nelnet Student Loan Trust 2008-3 | ||||||||
2.31%, 11/25/2024 | 495,000 | 499,191 |
Nelnet Student Loan Trust 2014-2 | ||||||||
1.29%, 07/27/2037 (Acquired 01/27/2016, Cost $3,906,679) (1) | 4,250,000 | 3,856,324 | ||||||
Nelnet Student Loan Trust 2015-2 | ||||||||
1.05%, 09/25/2042 (Acquired 06/16/2016, Cost $1,722,910) (1) | 1,799,592 | 1,716,867 | ||||||
New Century Home Equity Loan Trust 2005-3 | ||||||||
0.94%, 07/25/2035 | 1,875,000 | 1,837,993 | ||||||
Nissan Auto Receivables 2014-B Owner Trust | ||||||||
1.11%, 05/15/2019 | 2,348,767 | 2,352,705 | ||||||
Nissan Auto Receivables 2015-A Owner Trust | ||||||||
0.67%, 09/15/2017 | 550,739 | 550,626 | ||||||
Nissan Auto Receivables 2016-A Owner Trust | ||||||||
1.59%, 07/15/2022 | 230,000 | 232,386 | ||||||
Nissan Auto Receivables 2015-B Owner Trust | ||||||||
1.34%, 03/16/2020 | 3,220,000 | 3,241,323 | ||||||
NovaStar Mortgage Funding Trust Series 2005-2 | ||||||||
1.10%, 10/25/2035 | 2,725,597 | 2,709,974 | ||||||
NYMT Residential 2016-RP1 | ||||||||
4.00%, 03/25/2021 (Acquired 04/04/2016, Cost $249,276) (1) | 250,457 | 251,069 | ||||||
Oak Hill Advisors Residential Loan Trust 2015-NPL2 | ||||||||
3.72%, 07/25/2055 (Acquired 08/04/2015, Cost $314,428) (1) | 314,429 | 312,869 | ||||||
OneMain Financial Issuance Trust 2015-2 | ||||||||
2.57%, 07/18/2025 (Acquired 07/23/2015, Cost $1,400,845) (1) | 1,400,000 | 1,399,607 | ||||||
3.10%, 07/18/2025 (Acquired 06/06/2016, Cost $1,254,099) (1) | 1,280,000 | 1,252,722 | ||||||
OneMain Financial Issuance Trust 2015-3 | ||||||||
4.16%, 11/20/2028 (Acquired 09/24/2015, Cost $709,863) (1) | 710,000 | 684,243 | ||||||
OneMain Financial Issuance Trust 2016-1A | ||||||||
3.66%, 02/20/2029 (Acquired 02/03/2016, Cost $269,933) (1) | 270,000 | 276,018 | ||||||
4.57%, 02/20/2029 (Acquired 02/03/2016, Cost $1,124,818) (1) | 1,125,000 | 1,068,426 | ||||||
OneMain Financial Issuance Trust 2016-2 | ||||||||
4.10%, 03/20/2028 (Acquired 03/16/2016, Cost $284,952) (1) | 285,000 | 293,863 | ||||||
5.94%, 03/20/2028 (Acquired 03/16/2016, Cost $1,439,714) (1) | 1,440,000 | 1,485,224 | ||||||
Option One Mortgage Loan Trust 2005-2 | ||||||||
1.11%, 05/25/2035 | 1,327,797 | 1,270,748 | ||||||
Option One Mortgage Loan Trust 2005-3 | ||||||||
0.92%, 08/25/2035 | 2,230,887 | 2,213,585 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
4.67%, 11/12/2032 (Acquired 10/23/2015, Cost $504,982) (1) | 505,000 | 521,787 | ||||||
RAMP Series 2005-RS5 Trust | ||||||||
0.89%, 05/25/2035 | 1,967,096 | 1,952,105 | ||||||
RCO Depositor II LLC | ||||||||
4.50%, 11/25/2045 (Acquired 12/04/2015, Cost $585,080) (1) | 587,413 | 588,268 |
RCO Mortgage LLC 2016-1 | ||||||||
4.50%, 11/25/2047 | 385,174 | 387,587 | ||||||
Santander Drive Auto Receivables Trust 2013-2 | ||||||||
2.98%, 04/15/2020 (Acquired 06/17/2016, Cost $5,042,904) (1) | 5,000,000 | 5,039,379 | ||||||
Santander Drive Auto Receivables Trust 2015-4 | ||||||||
3.53%, 08/16/2021 | 937,000 | 967,229 | ||||||
Shenton Aircraft Investment I Ltd. | ||||||||
4.75%, 10/15/2042 (Acquired 10/09/2015 through 06/08/2016, Cost $916,530) (1) | 927,773 | 909,942 | ||||||
Sierra Timeshare 2015-2 Receivables Funding LLC | ||||||||
2.43%, 06/20/2032 (Acquired 07/15/2015 through 07/29/2015, Cost $921,039) (1) | 924,730 | 934,095 | ||||||
SLM Student Loan Trust 2004-10 | ||||||||
1.19%, 04/27/2026 (Acquired 12/04/2015, Cost $3,119,584) (1) | 3,180,000 | 3,138,019 | ||||||
SLM Student Loan Trust 2007-3 | ||||||||
0.70%, 01/25/2022 | 4,150,000 | 3,864,961 | ||||||
SLM Student Loan Trust 2007-8 | ||||||||
1.64%, 04/27/2043 | 2,203,313 | 1,876,888 | ||||||
SLM Student Loan Trust 2008-4 | ||||||||
2.29%, 07/25/2022 | 100,000 | 100,060 | ||||||
SLM Student Loan Trust 2008-5 | ||||||||
2.34%, 07/25/2023 | 4,301,300 | 4,302,644 | ||||||
SLM Student Loan Trust 2008-9 | ||||||||
2.14%, 04/25/2023 | 463,381 | 463,075 | ||||||
SLM Student Loan Trust 2009-3 | ||||||||
1.20%, 01/25/2045 (Acquired 06/13/2016, Cost $2,974,316) (1) | 3,103,806 | 2,956,114 | ||||||
SLM Student Loan Trust 2012-3 | ||||||||
1.10%, 12/26/2025 | 1,779,700 | 1,712,039 | ||||||
SLM Student Loan Trust 2012-7 | ||||||||
2.25%, 09/25/2043 | 2,220,000 | 1,947,193 | ||||||
SLM Student Loan Trust 2013-2 | ||||||||
0.90%, 06/25/2043 | 3,410,550 | 3,278,388 | ||||||
SMB Private Education Loan Trust 2015-B | ||||||||
2.98%, 07/15/2027 (Acquired 07/23/2015, Cost $358,584) (1) | 360,000 | 370,877 | ||||||
SMB Private Education Loan Trust 2015-C | ||||||||
2.75%, 07/15/2027 (Acquired 10/21/2015, Cost $609,919) (1) | 610,000 | 622,860 | ||||||
SMB Private Education Loan Trust 2016-A | ||||||||
2.70%, 05/15/2031 (Acquired 05/18/2016 through 06/23/2016, Cost $526,775) (1) | 525,000 | 532,198 | ||||||
SoFi Professional Loan Program 2015-B LLC | ||||||||
3.52%, 03/25/2036 (Acquired 07/23/2015, Cost $1,246,310) (1) | 1,250,000 | 1,235,767 | ||||||
SoFi Professional Loan Program 2015-C LLC | ||||||||
3.58%, 08/25/2036 (Acquired 07/29/2015 through 12/01/2015, Cost $1,118,486) (1) | 1,125,000 | 1,110,812 | ||||||
SoFi Professional Loan Program 2015-d LLC | ||||||||
3.59%, 10/26/2037 (Acquired 11/13/2015, Cost $613,222) (1) | 620,000 | 613,795 |
Sofi Professional Loan Program 2016-B LLC | ||||||||
3.80%, 04/25/2037 (Acquired 05/20/2016, Cost $194,895) (1) | 195,000 | 196,679 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
1.69%, 03/15/2021 | 1,675,000 | 1,673,625 | ||||||
2.21%, 09/15/2022 | 1,700,000 | 1,717,547 | ||||||
Synchrony Credit Card Master Note Trust 2015-1 | ||||||||
2.37%, 03/15/2023 | 2,215,000 | 2,280,919 | ||||||
Taco Bell Funding LLC | ||||||||
3.83%, 05/25/2046 (Acquired 05/04/2016, Cost $1,198,000) (1) | 1,198,000 | 1,212,616 | ||||||
Toyota Auto Receivables 2014-B Owner Trust | ||||||||
0.76%, 03/15/2018 | 1,244,775 | 1,243,199 | ||||||
Toyota Auto Receivables 2015-A Owner Trust | ||||||||
1.12%, 02/15/2019 | 1,965,000 | 1,968,542 | ||||||
Toyota Auto Receivables 2015-B Owner Trust | ||||||||
1.27%, 05/15/2019 | 1,300,000 | 1,305,732 | ||||||
Vericrest Opportunity Loan Trust 2015-NPL3 | ||||||||
3.38%, 10/25/2058 (Acquired 08/12/2015, Cost $356,701) (1) | 357,600 | 353,846 | ||||||
VOLT XXII LLC | ||||||||
3.50%, 02/25/2055 (Acquired 10/30/2015, Cost $173,266) (1) | 174,385 | 173,407 | ||||||
VOLT XXXIII LLC | ||||||||
3.50%, 03/25/2055 (Acquired 04/29/2016 through 06/13/2016, Cost $1,186,342) (1) | 1,195,441 | 1,185,200 | ||||||
VOLT XXXIX LLC | ||||||||
4.13%, 10/25/2045 (Acquired 10/22/2015, Cost $572,953) (1) | 573,462 | 574,224 | ||||||
VOLT XXXVIII LLC | ||||||||
3.88%, 09/25/2045 (Acquired 09/10/2015, Cost $506,372) (1) | 506,768 | 504,253 | ||||||
Volvo Financial Equipment LLC Series 2016-1 | ||||||||
1.67%, 02/18/2020 (Acquired 01/20/2016, Cost $394,957) (1) | 395,000 | 395,612 | ||||||
Voya CLO 2014-3 Ltd. | ||||||||
2.06%, 07/25/2026 (Acquired 02/02/2016 through 02/03/2016, Cost $1,137,093) (1) | 1,152,000 | 1,144,800 | ||||||
Wendys Funding LLC 2015-1 | ||||||||
3.37%, 06/15/2045 (Acquired 07/13/2015 through 07/29/2015, Cost $2,618,825) (1) | 2,627,148 | 2,641,597 | ||||||
Westlake Automobile Receivables Trust 2016-1 | ||||||||
3.29%, 09/15/2021 (Acquired 01/14/2016, Cost $800,000) (1) | 800,000 | 808,359 | ||||||
Westlake Automobile Receivables Trust 2016-2 | ||||||||
2.83%, 05/17/2021 (Acquired 06/07/2016, Cost $1,049,974) (1) | 1,050,000 | 1,054,112 | ||||||
Wheels SPV 2 LLC | ||||||||
1.27%, 04/22/2024 (Acquired 07/15/2015 through 07/22/2015, Cost $1,724,407) (1) | 1,728,062 | 1,725,189 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
1.61%, 12/15/2021 | 1,450,000 | 1,456,911 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $257,217,010) | $ | 257,331,127 | ||||||
|
|
Corporate Bonds - 32.06% | ||||||||
Basic Materials - 0.96% | ||||||||
Albemarle Corp. | ||||||||
4.15%, 12/01/2024 | $ | 684,000 | $ | 716,542 | ||||
5.45%, 12/01/2044 | 1,203,000 | 1,283,440 | ||||||
Alcoa, Inc. | ||||||||
6.15%, 08/15/2020 | 1,640,000 | 1,775,300 | ||||||
5.13%, 10/01/2024 | 5,613,000 | 5,598,968 | ||||||
Ashland, Inc. | ||||||||
3.88%, 04/15/2018 | 1,353,000 | 1,380,060 | ||||||
Barrick Gold Corp. | ||||||||
4.10%, 05/01/2023 | 3,227,000 | 3,411,972 | ||||||
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC | ||||||||
6.50%, 05/15/2021 (Acquired 04/28/2016 through 05/03/2016, Cost $380,367) (1) | 375,000 | 388,275 | ||||||
Freeport-McMoRan, Inc. | ||||||||
4.55%, 11/14/2024 | 1,995,000 | 1,745,625 | ||||||
Georgia-Pacific LLC | ||||||||
3.16%, 11/15/2021 (Acquired 07/13/2015 through 06/20/2016, Cost $4,265,243) (1) | 4,171,000 | 4,389,427 | ||||||
3.60%, 03/01/2025 (Acquired 07/14/2015 through 06/06/2016, Cost $1,777,041) (1) | 1,740,000 | 1,861,913 | ||||||
Glencore Funding LLC | ||||||||
4.00%, 04/16/2025 (Acquired 07/13/2015 through 06/15/2016, Cost $3,976,530) (1) | 4,450,000 | 3,938,250 | ||||||
Goldcorp, Inc. | ||||||||
3.70%, 03/15/2023 | 3,270,000 | 3,329,164 | ||||||
Lundin Mining Corp. | ||||||||
7.50%, 11/01/2020 (Acquired 07/13/2015 through 07/22/2015, Cost $124,247) (1) | 120,000 | 122,400 | ||||||
LYB International Finance BV | ||||||||
4.00%, 07/15/2023 | 1,205,000 | 1,290,674 | ||||||
Mercer International, Inc. | ||||||||
7.75%, 12/01/2022 | 1,075,000 | 1,075,000 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
4.50%, 04/15/2023 | 2,796,000 | 2,858,823 | ||||||
Solvay Finance America LLC | ||||||||
4.45%, 12/03/2025 (Acquired 11/30/2015 through 06/17/2016, Cost $7,066,235) (1) | 6,810,000 | 7,293,367 | ||||||
|
| |||||||
42,459,200 | ||||||||
|
| |||||||
Communications - 3.03% | ||||||||
21st Century Fox America, Inc. | ||||||||
3.70%, 09/15/2024 | 2,500,000 | 2,700,477 | ||||||
4.75%, 09/15/2044 | 1,445,000 | 1,601,991 | ||||||
4.95%, 10/15/2045 | 1,525,000 | 1,737,617 | ||||||
Alcatel-Lucent USA, Inc. | ||||||||
6.50%, 01/15/2028 | 700,000 | 719,250 | ||||||
6.45%, 03/15/2029 | 4,290,000 | 4,472,325 | ||||||
Alibaba Group Holding Ltd. | ||||||||
3.13%, 11/28/2021 | 875,000 | 894,823 | ||||||
3.60%, 11/28/2024 | 3,025,000 | 3,089,039 |
Altice Luxembourg SA | ||||||||
7.63%, 02/15/2025 (Acquired 08/21/2015 through 06/16/2016, Cost $1,614,562) (1) | 1,675,000 | 1,635,219 | ||||||
Altice US Finance I Corp. | ||||||||
5.38%, 07/15/2023 (Acquired 11/10/2015 through 06/14/2016, Cost $1,246,588) (1) | 1,250,000 | 1,254,687 | ||||||
Amazon.com, Inc. | ||||||||
3.80%, 12/05/2024 | 1,625,000 | 1,822,174 | ||||||
4.95%, 12/05/2044 | 1,815,000 | 2,202,935 | ||||||
AT&T, Inc. | ||||||||
3.00%, 06/30/2022 | 2,925,000 | 2,995,800 | ||||||
4.45%, 04/01/2024 | 2,600,000 | 2,847,502 | ||||||
3.40%, 05/15/2025 | 5,525,000 | 5,654,235 | ||||||
4.13%, 02/17/2026 | 2,885,000 | 3,099,188 | ||||||
4.30%, 12/15/2042 | 500,000 | 479,209 | ||||||
4.80%, 06/15/2044 | 1,515,000 | 1,560,909 | ||||||
4.35%, 06/15/2045 | 300,000 | 290,891 | ||||||
BellSouth LLC | ||||||||
4.40%, 04/26/2017 (Acquired 06/03/2016 through 06/21/2016, Cost $6,982,709) (1) | 6,816,000 | 6,986,400 | ||||||
CalAmp Corp. | ||||||||
1.63%, 05/15/2020 | 20,000 | 18,550 | ||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. | ||||||||
3.85%, 04/15/2023 | 2,450,000 | 2,613,697 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
5.25%, 03/15/2021 | 1,537,000 | 1,590,795 | ||||||
5.13%, 05/01/2023 (Acquired 09/29/2015, Cost $369,613) (1) | 400,000 | 404,000 | ||||||
5.50%, 05/01/2026 (Acquired 04/07/2016 through 05/24/2016, Cost $4,871,520) (1) | 4,835,000 | 4,907,525 | ||||||
5.88%, 04/01/2024 (Acquired 02/04/2016, Cost $500,000) (1) | 500,000 | 521,250 | ||||||
5.75%, 02/15/2026 (Acquired 06/27/2016, Cost $904,500) (1) | 900,000 | 927,000 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
4.46%, 07/23/2022 (Acquired 10/20/2015 through 06/16/2016, Cost $2,565,932) (1) | 2,476,000 | 2,665,842 | ||||||
4.91%, 07/23/2025 (Acquired 07/13/2015 through 06/20/2016, Cost $5,254,048) (1) | 5,125,000 | 5,585,722 | ||||||
6.38%, 10/23/2035 (Acquired 01/21/2016 through 01/25/2016, Cost $348,808) (1) | 345,000 | 408,746 | ||||||
6.48%, 10/23/2045 (Acquired 07/13/2015 through 07/27/2015, Cost $1,636,467) (1) | 1,625,000 | 1,941,466 | ||||||
Cox Communications, Inc. | ||||||||
3.85%, 02/01/2025 (Acquired 07/22/2015, Cost $1,389,096) (1) | 1,450,000 | 1,461,117 | ||||||
4.80%, 02/01/2035 (Acquired 03/28/2016, Cost $21,973) (1) | 25,000 | 23,371 | ||||||
4.70%, 12/15/2042 (Acquired 03/24/2016, Cost $95,333) (1) | 115,000 | 102,217 | ||||||
4.50%, 06/30/2043 (Acquired 03/24/2016 through 04/19/2016, Cost $346,659) (1) | 415,000 | 362,120 | ||||||
Crown Castle Towers LLC | ||||||||
3.66%, 05/15/2025 (Acquired 07/14/2015 through 07/27/2015, Cost $1,284,587) (1) | 1,300,000 | 1,344,291 | ||||||
DISH DBS Corp. | ||||||||
6.75%, 06/01/2021 | 400,000 | 414,500 | ||||||
7.75%, 07/01/2026 (Acquired 06/08/2016, Cost $1,075,000) (1) | 1,075,000 | 1,109,937 |
Expedia, Inc. | ||||||||
5.00%, 02/15/2026 (Acquired 12/01/2015 through 05/23/2016, Cost $2,118,487) (1) | 2,120,000 | 2,198,898 | ||||||
Interpublic Group of Cos, Inc./The | ||||||||
4.00%, 03/15/2022 | 1,100,000 | 1,170,966 | ||||||
4.20%, 04/15/2024 | 1,538,000 | 1,648,768 | ||||||
JD.com, Inc. | ||||||||
3.88%, 04/29/2026 | 800,000 | 761,036 | ||||||
Level 3 Financing, Inc. | ||||||||
5.38%, 08/15/2022 | 500,000 | 505,000 | ||||||
5.63%, 02/01/2023 | 375,000 | 378,517 | ||||||
5.38%, 05/01/2025 | 1,475,000 | 1,463,937 | ||||||
5.25%, 03/15/2026 (Acquired 05/23/2016 through 06/28/2016, Cost $4,216,058) (1) | 4,225,000 | 4,140,500 | ||||||
MDC Partners, Inc. | ||||||||
6.50%, 05/01/2024 (Acquired 03/18/2016 through 06/17/2016, Cost $570,719) (1) | 575,000 | 570,687 | ||||||
Neptune Finco Corp. | ||||||||
10.13%, 01/15/2023 (Acquired 09/25/2015 through 05/31/2016, Cost $616,401) (1) | 575,000 | 644,000 | ||||||
6.63%, 10/15/2025 (Acquired 09/25/2015, Cost $790,000) (1) | 790,000 | 831,475 | ||||||
Omnicom Group, Inc. | ||||||||
3.65%, 11/01/2024 | 1,600,000 | 1,687,558 | ||||||
Priceline Group, Inc./The | ||||||||
3.65%, 03/15/2025 | 645,000 | 683,588 | ||||||
3.60%, 06/01/2026 | 5,834,000 | 6,006,418 | ||||||
Proven Honour Capital Ltd. | ||||||||
4.13%, 05/19/2025 | 1,000,000 | 1,038,900 | ||||||
Rogers Communications, Inc. | ||||||||
3.63%, 12/15/2025 | 255,000 | 272,568 | ||||||
SBA Telecommunications, Inc. | ||||||||
5.75%, 07/15/2020 | 500,000 | 515,000 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.25%, 05/15/2020 (Acquired 09/25/2015, Cost $372,223) (1) | 375,000 | 379,115 | ||||||
5.25%, 08/15/2022 (Acquired 07/20/2015 through 07/29/2015, Cost $1,145,968) (1) | 1,100,000 | 1,157,750 | ||||||
Sky PLC | ||||||||
3.75%, 09/16/2024 (Acquired 10/08/2015, Cost $276,654) (1) | 280,000 | 291,035 | ||||||
Sprint Communications, Inc. | ||||||||
9.00%, 11/15/2018 (Acquired 08/26/2015 through 04/29/2016, Cost $962,710) (1) | 900,000 | 958,500 | ||||||
Telefonica Emisiones SAU | ||||||||
4.57%, 04/27/2023 | 150,000 | 166,119 | ||||||
Tencent Holdings Ltd. | ||||||||
3.80%, 02/11/2025 | 1,680,000 | 1,770,075 | ||||||
Thomson Reuters Corp | ||||||||
3.35%, 05/15/2026 | 325,000 | 332,386 |
Time Warner Cable, Inc. | ||||||||
5.85%, 05/01/2017 | 2,256,000 | 2,335,373 | ||||||
6.55%, 05/01/2037 | 1,190,000 | 1,388,468 | ||||||
7.30%, 07/01/2038 | 1,505,000 | 1,885,598 | ||||||
6.75%, 06/15/2039 | 930,000 | 1,093,235 | ||||||
4.50%, 09/15/2042 | 1,575,000 | 1,468,829 | ||||||
T-Mobile USA, Inc. | ||||||||
6.25%, 04/01/2021 | 785,000 | 818,849 | ||||||
6.63%, 04/28/2021 | 580,000 | 606,100 | ||||||
6.73%, 04/28/2022 | 1,285,000 | 1,351,242 | ||||||
Townsquare Media, Inc. | ||||||||
6.50%, 04/01/2023 (Acquired 01/20/2016 through 06/30/2016, Cost $532,607) (1) | 560,000 | 553,700 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 02/15/2025 (Acquired 07/13/2015 through 06/16/2016, Cost $680,621) (1) | 690,000 | 682,238 | ||||||
Verizon Communications, Inc. | ||||||||
5.15%, 09/15/2023 | 2,500,000 | 2,912,700 | ||||||
6.40%, 09/15/2033 | 5,915,000 | 7,566,805 | ||||||
4.27%, 01/15/2036 | 4,220,000 | 4,313,882 | ||||||
4.86%, 08/21/2046 | 1,500,000 | 1,638,074 | ||||||
4.52%, 09/15/2048 | 400,000 | 413,174 | ||||||
Viacom, Inc. | ||||||||
5.85%, 09/01/2043 | 200,000 | 200,642 | ||||||
Viavi Solutions, Inc. | ||||||||
0.63%, 08/15/2033 | 95,000 | 92,566 | ||||||
Virgin Media Secured Finance PLC | ||||||||
5.25%, 01/15/2026 (Acquired 01/12/2016, Cost $776,850) (1) | 800,000 | 775,000 | ||||||
5.50%, 08/15/2026 (Acquired 04/13/2016, Cost $200,000) (1) | 200,000 | 194,500 | ||||||
WPP Finance 2010 | ||||||||
4.75%, 11/21/2021 | 1,300,000 | 1,442,266 | ||||||
|
| |||||||
133,752,854 | ||||||||
|
| |||||||
Consumer, Cyclical - 3.67% | ||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
4.63%, 01/15/2022 (Acquired 07/13/2015 through 06/30/2016, Cost $3,067,169) (1) | 3,040,000 | 3,085,600 | ||||||
Air Canada | ||||||||
7.75%, 04/15/2021 (Acquired 05/31/2016, Cost $392,576) (1) | 375,000 | 389,062 | ||||||
Air Canada 2013-1 Class A Pass Through Trust | ||||||||
4.13%, 05/15/2025 (Acquired 07/14/2015, Cost $1,355,740) (1) | 1,343,165 | 1,383,460 | ||||||
Air Canada 2013-1 Class B Pass Through Trust | ||||||||
5.38%, 05/15/2021 (Acquired 05/04/2016, Cost $343,373) (1) | 343,373 | 345,090 | ||||||
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 | 2,405,900 |
American Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.00%, 07/15/2025 | 2,101,075 | 2,216,634 | ||||||
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70%, 10/01/2026 | 2,009,462 | 2,089,840 | ||||||
American Airlines 2015-1 Class B Pass Through Trust | ||||||||
3.70%, 05/01/2023 | 2,906,437 | 2,848,309 | ||||||
American Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.58%, 01/15/2028 | 610,000 | 644,904 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 06/15/2028 | 1,080,000 | 1,117,800 | ||||||
American Airlines 2016-2 Class B Pass Through Trust | ||||||||
4.38%, 06/15/2024 (Acquired 06/28/2016, Cost $4,854,362) (1) | 4,860,000 | 4,854,362 | ||||||
Aramark Services Inc | ||||||||
5.13%, 01/15/2024 (Acquired 05/16/2016 through 06/28/2016, Cost $1,085,709) (1) | 1,068,000 | 1,089,360 | ||||||
AutoNation, Inc. | ||||||||
4.50%, 10/01/2025 | 465,000 | 492,101 | ||||||
Brinker International, Inc. | ||||||||
3.88%, 05/15/2023 | 2,401,000 | 2,436,568 | ||||||
CalAtlantic Group, Inc. | ||||||||
0.25%, 06/01/2019 | 510,000 | 472,069 | ||||||
Choice Hotels International, Inc. | ||||||||
5.75%, 07/01/2022 | 3,000,000 | 3,215,700 | ||||||
Churchill Downs, Inc. | ||||||||
5.38%, 12/15/2021 | 750,000 | 765,937 | ||||||
Cintas Corp. No 2 | ||||||||
4.30%, 06/01/2021 | 28,000 | 30,954 | ||||||
Continental Airlines 2000-1 Class A-1 Pass Through Trust | ||||||||
8.05%, 11/01/2020 | 481,852 | 526,423 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 04/19/2022 | 1,158,543 | 1,297,568 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust | ||||||||
7.25%, 11/10/2019 | 1,038,564 | 1,186,559 | ||||||
Continental Airlines 2012-1 Class A Pass Through Trust | ||||||||
4.15%, 04/11/2024 | 1,108,047 | 1,171,760 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 10/29/2024 | 2,001,435 | 2,101,507 | ||||||
CVS Health Corp. | ||||||||
2.80%, 07/20/2020 | 4,972,000 | 5,175,240 | ||||||
3.50%, 07/20/2022 | 735,000 | 791,468 | ||||||
4.75%, 12/01/2022 (Acquired 07/22/2015 through 06/20/2016, Cost $494,737) (1) | 466,000 | 532,340 | ||||||
5.00%, 12/01/2024 | 1,795,000 | 2,101,776 | ||||||
3.88%, 07/20/2025 | 135,000 | 148,568 | ||||||
4.88%, 07/20/2035 | 250,000 | 297,962 | ||||||
5.13%, 07/20/2045 | 200,000 | 247,941 |
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036 (Acquired 07/22/2015 through 08/28/2015, Cost $3,307,482) (1) | 3,290,978 | 3,268,929 | ||||||
Delphi Automotive PLC | ||||||||
4.25%, 01/15/2026 | 3,400,000 | 3,704,208 | ||||||
Delphi Corp. | ||||||||
5.00%, 02/15/2023 | 1,385,000 | 1,468,100 | ||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | ||||||||
6.72%, 01/02/2023 | 1,999,984 | 2,277,482 | ||||||
Delta Air Lines 2015-1 Class AA Pass Through Trust | ||||||||
3.63%, 07/30/2027 | 725,343 | 765,237 | ||||||
Dollar Tree, Inc. | ||||||||
5.75%, 03/01/2023 (Acquired 07/13/2015 through 06/30/2016, Cost $710,862) (1) | 675,000 | 717,187 | ||||||
DR Horton, Inc. | ||||||||
4.75%, 05/15/2017 | 640,000 | 653,196 | ||||||
3.75%, 03/01/2019 | 1,785,000 | 1,811,775 | ||||||
Ford Motor Credit Co. LLC | ||||||||
8.00%, 12/15/2016 | 950,000 | 978,747 | ||||||
3.16%, 08/04/2020 | 1,220,000 | 1,265,030 | ||||||
4.13%, 08/04/2025 | 3,300,000 | 3,539,808 | ||||||
4.39%, 01/08/2026 | 8,885,000 | 9,704,117 | ||||||
General Motors Co. | ||||||||
4.88%, 10/02/2023 | 4,891,000 | 5,198,742 | ||||||
4.00%, 04/01/2025 | 3,495,000 | 3,524,386 | ||||||
6.60%, 04/01/2036 | 975,000 | 1,118,585 | ||||||
6.25%, 10/02/2043 | 65,000 | 72,248 | ||||||
5.20%, 04/01/2045 | 1,160,000 | 1,149,970 | ||||||
General Motors Financial Co, Inc. | ||||||||
3.10%, 01/15/2019 | 2,202,000 | 2,249,473 | ||||||
3.70%, 05/09/2023 | 2,852,000 | 2,870,552 | ||||||
4.00%, 01/15/2025 | 10,800,000 | 10,932,408 | ||||||
GLP Capital LP / GLP Financing II Inc | ||||||||
4.38%, 04/15/2021 | 25,000 | 25,750 | ||||||
5.38%, 04/15/2026 | 100,000 | 103,500 | ||||||
H&E Equipment Services Inc | ||||||||
7.00%, 09/01/2022 | 225,000 | 232,875 | ||||||
Hanesbrands Inc | ||||||||
4.63%, 05/15/2024 (Acquired 05/03/2016 through 06/21/2016, Cost $3,512,052) (1) | 3,499,000 | 3,507,747 | ||||||
4.88%, 05/15/2026 (Acquired 05/03/2016 through 06/06/2016, Cost $1,200,000) (1) | 1,200,000 | 1,204,320 | ||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. | ||||||||
5.63%, 10/15/2021 | 1,185,000 | 1,226,475 |
Iconix Brand Group, Inc. | ||||||||
1.50%, 03/15/2018 | 10,000 | 8,088 | ||||||
Ingram Micro, Inc. | ||||||||
4.95%, 12/15/2024 | 1,400,000 | 1,395,037 | ||||||
International Game Technology PLC | ||||||||
6.25%, 02/15/2022 (Acquired 08/21/2015 through 06/16/2016, Cost $1,078,461) (1) | 1,075,000 | 1,101,649 | ||||||
KB Home | ||||||||
1.38%, 02/01/2019 | 140,000 | 133,700 | ||||||
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC | ||||||||
5.00%, 06/01/2024 (Acquired 06/02/2016, Cost $200,000) (1) | 200,000 | 205,000 | ||||||
5.25%, 06/01/2026 (Acquired 06/02/2016, Cost $225,000) (1) | 225,000 | 230,625 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
5.90%, 12/01/2016 | 866,000 | 883,836 | ||||||
Magna International, Inc. | ||||||||
4.15%, 10/01/2025 | 665,000 | 731,035 | ||||||
Marriott International, Inc./MD | ||||||||
3.75%, 10/01/2025 | 2,280,000 | 2,437,126 | ||||||
MDC Holdings, Inc. | ||||||||
5.50%, 01/15/2024 | 1,181,000 | 1,169,190 | ||||||
MGM Resorts International | ||||||||
6.00%, 03/15/2023 | 25,000 | 26,375 | ||||||
Mobile Mini, Inc. | ||||||||
5.88%, 07/01/2024 (Acquired 05/04/2016, Cost $175,000) (1) | 175,000 | 179,813 | ||||||
New Albertsons, Inc. | ||||||||
7.45%, 08/01/2029 | 175,000 | 169,750 | ||||||
Newell Brands, Inc. | ||||||||
5.00%, 11/15/2023 (Acquired 05/26/2016, Cost $1,195,463) (1) | 1,146,000 | 1,203,686 | ||||||
Newell Rubbermaid, Inc. | ||||||||
3.15%, 04/01/2021 | 1,526,000 | 1,589,926 | ||||||
3.85%, 04/01/2023 | 1,129,000 | 1,197,658 | ||||||
3.90%, 11/01/2025 | 270,000 | 282,952 | ||||||
4.20%, 04/01/2026 | 4,036,000 | 4,377,421 | ||||||
5.50%, 04/01/2046 | 1,520,000 | 1,809,598 | ||||||
O’Reilly Automotive, Inc. | ||||||||
4.63%, 09/15/2021 | 1,300,000 | 1,435,467 | ||||||
QVC, Inc. | ||||||||
5.13%, 07/02/2022 | 1,600,000 | 1,725,121 | ||||||
4.38%, 03/15/2023 | 920,000 | 925,823 | ||||||
4.85%, 04/01/2024 | 2,150,000 | 2,226,495 | ||||||
4.45%, 02/15/2025 | 125,000 | 125,751 | ||||||
Schaeffler Finance BV | ||||||||
4.25%, 05/15/2021 (Acquired 05/26/2016 through 06/21/2016, Cost $1,331,377) (1) | 1,308,000 | 1,325,985 |
Shingle Springs Tribal Gaming Authority | ||||||||
9.75%, 09/01/2021 (Acquired 03/18/2016 through 06/16/2016, Cost $772,022) (1) | 700,000 | 763,000 | ||||||
Southwest Airlines Co. | ||||||||
5.13%, 03/01/2017 | 1,315,000 | 1,350,764 | ||||||
Spirit Airlines 2015-1 Pass Through Trust A | ||||||||
4.10%, 04/01/2028 | 4,500,000 | 4,567,500 | ||||||
Toll Brothers Finance Corp. | ||||||||
4.00%, 12/31/2018 | 1,497,000 | 1,551,641 | ||||||
5.88%, 02/15/2022 | 415,000 | 446,540 | ||||||
4.38%, 04/15/2023 | 540,000 | 531,900 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
3.75%, 09/03/2026 | 2,038,897 | 2,156,133 | ||||||
US Airways 2011-1 Class A Pass Through Trust | ||||||||
7.13%, 10/22/2023 | 2,211,001 | 2,620,036 | ||||||
US Airways 2013-1 Class A Pass Through Trust | ||||||||
3.95%, 11/15/2025 | 1,974,044 | 2,082,616 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
2.60%, 06/01/2021 | 1,543,000 | 1,568,438 | ||||||
3.45%, 06/01/2026 | 2,850,000 | 2,930,088 | ||||||
3.10%, 06/01/2023 | 305,000 | 310,082 | ||||||
4.80%, 11/18/2044 | 926,000 | 994,066 | ||||||
4.65%, 06/01/2046 | 213,000 | 227,328 | ||||||
Wyndham Worldwide Corp. | ||||||||
5.10%, 10/01/2025 | 1,120,000 | 1,217,541 | ||||||
ZF North America Capital, Inc. | ||||||||
4.00%, 04/29/2020 (Acquired 07/24/2015 through 06/21/2016, Cost $1,095,806) (1) | 1,070,000 | 1,097,414 | ||||||
4.50%, 04/29/2022 (Acquired 07/24/2015 through 05/24/2016, Cost $678,763) (1) | 675,000 | 684,281 | ||||||
4.75%, 04/29/2025 (Acquired 07/13/2015 through 06/15/2016, Cost $739,508) (1) | 752,000 | 761,866 | ||||||
|
| |||||||
161,791,950 | ||||||||
|
| |||||||
Consumer, Non-cyclical - 4.88% | ||||||||
AbbVie, Inc. | ||||||||
3.20%, 11/06/2022 | 1,330,000 | 1,375,439 | ||||||
3.20%, 05/14/2026 | 3,696,000 | 3,737,022 | ||||||
4.70%, 05/14/2045 | 750,000 | 793,704 | ||||||
4.45%, 05/14/2046 | 4,250,000 | 4,312,696 | ||||||
Actavis Funding SCS | ||||||||
3.00%, 03/12/2020 | 3,992,000 | 4,113,293 | ||||||
3.80%, 03/15/2025 | 5,390,000 | 5,608,295 | ||||||
4.55%, 03/15/2035 | 400,000 | 409,852 | ||||||
4.75%, 03/15/2045 | 1,000,000 | 1,047,171 |
Aetna, Inc. | ||||||||
2.40%, 06/15/2021 | 2,558,000 | 2,614,130 | ||||||
2.80%, 06/15/2023 | 2,798,000 | 2,860,379 | ||||||
3.20%, 06/15/2026 | 11,124,000 | 11,456,774 | ||||||
4.38%, 06/15/2046 | 1,120,000 | 1,159,513 | ||||||
Amgen, Inc. | ||||||||
4.40%, 05/01/2045 | 500,000 | 521,832 | ||||||
4.56%, 06/15/2048 (Acquired 06/13/2016, Cost $1,542,724) (1) | 1,500,000 | 1,557,839 | ||||||
4.66%, 06/15/2051 (Acquired 12/04/2015, Cost $409,182) (1) | 447,000 | 466,423 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
2.65%, 02/01/2021 | 1,737,000 | 1,799,982 | ||||||
3.30%, 02/01/2023 | 4,308,000 | 4,532,343 | ||||||
3.65%, 02/01/2026 | 5,000,000 | 5,351,560 | ||||||
4.90%, 02/01/2046 | 1,745,000 | 2,044,037 | ||||||
Anthem, Inc. | ||||||||
3.50%, 08/15/2024 | 2,965,000 | 3,071,070 | ||||||
Ascension Health | ||||||||
3.95%, 11/15/2046 | 825,000 | 890,447 | ||||||
AstraZeneca PLC | ||||||||
3.38%, 11/16/2025 | 1,475,000 | 1,544,940 | ||||||
Baxalta, Inc. | ||||||||
2.88%, 06/23/2020 | 1,000,000 | 1,016,368 | ||||||
4.00%, 06/23/2025 | 4,180,000 | 4,357,065 | ||||||
Baylor Scott & White Holdings | ||||||||
3.97%, 11/15/2046 | 875,000 | 938,155 | ||||||
Becton Dickinson and Co. | ||||||||
1.80%, 12/15/2017 | 2,249,000 | 2,267,509 | ||||||
Biogen, Inc. | ||||||||
2.90%, 09/15/2020 | 290,000 | 302,254 | ||||||
4.05%, 09/15/2025 | 1,105,000 | 1,190,048 | ||||||
5.20%, 09/15/2045 | 1,175,000 | 1,322,222 | ||||||
BioMarin Pharmaceutical, Inc. | ||||||||
1.50%, 10/15/2020 | 640,000 | 740,000 | ||||||
Block Financial LLC | ||||||||
5.25%, 10/01/2025 | 1,040,000 | 1,115,453 | ||||||
Brookdale Senior Living, Inc. | ||||||||
2.75%, 06/15/2018 | 330,000 | 322,369 | ||||||
Celgene Corp. | ||||||||
3.63%, 05/15/2024 | 500,000 | 520,947 | ||||||
3.88%, 08/15/2025 | 4,870,000 | 5,197,137 | ||||||
5.00%, 08/15/2045 | 1,000,000 | 1,102,083 | ||||||
Centene Corp. | ||||||||
4.75%, 05/15/2022 | 300,000 | 306,000 | ||||||
Centene Escrow Corp. | ||||||||
5.63%, 02/15/2021 (Acquired 01/28/2016, Cost $50,000) (1) | 50,000 | 52,125 | ||||||
6.13%, 02/15/2024 (Acquired 01/28/2016 through 06/20/2016, Cost $1,110,803) (1) | 1,075,000 | 1,142,859 |
Constellation Brands, Inc. | ||||||||
6.00%, 05/01/2022 | 750,000 | 843,750 | ||||||
DaVita HealthCare Partners, Inc. | ||||||||
5.00%, 05/01/2025 | 1,292,000 | 1,280,695 | ||||||
Delhaize Group | ||||||||
5.70%, 10/01/2040 | 690,000 | 806,812 | ||||||
DP World Ltd. | ||||||||
6.85%, 07/02/2037 | 400,000 | 438,152 | ||||||
DS Services of America, Inc. | ||||||||
10.00%, 09/01/2021 (Acquired 10/05/2015, Cost $875,134) (1) | 785,000 | 881,163 | ||||||
Endo Ltd. / Endo Finance LLC / Endo Finco, Inc. | ||||||||
6.00%, 02/01/2025 (Acquired 07/14/2015 through 05/31/2016, Cost $620,415) (1) | 675,000 | 585,563 | ||||||
ERAC USA Finance LLC | ||||||||
3.80%, 11/01/2025 (Acquired 11/02/2015, Cost $3,024,560) (1) | 3,030,000 | 3,243,109 | ||||||
3.30%, 12/01/2026 (Acquired 05/23/2016, Cost $2,192,886) (1) | 2,200,000 | 2,259,686 | ||||||
Express Scripts Holdings Co. | ||||||||
3.30%, 02/25/2021 | 95,000 | 99,629 | ||||||
4.50%, 02/25/2026 | 9,221,000 | 10,135,576 | ||||||
3.40%, 03/01/2027 | 9,640,000 | 9,650,594 | ||||||
4.80%, 07/15/2046 | 2,687,000 | 2,685,229 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
5.88%, 01/31/2022 (Acquired 07/13/2015 through 05/24/2016, Cost $1,001,728) (1) | 929,000 | 1,018,416 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
5.75%, 02/15/2021 (Acquired 01/11/2016, Cost $748,979) (1) | 700,000 | 777,000 | ||||||
Gilead Sciences, Inc. | ||||||||
4.75%, 03/01/2046 | 375,000 | 425,801 | ||||||
Grifols Worldwide Operations Ltd. | ||||||||
5.25%, 04/01/2022 | 750,000 | 763,125 | ||||||
HCA, Inc. | ||||||||
3.75%, 03/15/2019 | 1,111,000 | 1,149,885 | ||||||
6.50%, 02/15/2020 | 550,000 | 609,813 | ||||||
4.75%, 05/01/2023 | 500,000 | 512,500 | ||||||
5.38%, 02/01/2025 | 4,525,000 | 4,638,125 | ||||||
5.25%, 04/15/2025 | 1,810,000 | 1,891,450 | ||||||
5.88%, 02/15/2026 | 460,000 | 477,250 | ||||||
5.25%, 06/15/2026 | 850,000 | 881,875 | ||||||
Hill-Rom Holdings, Inc. | ||||||||
5.75%, 09/01/2023 (Acquired 06/01/2016, Cost $491,283) (1) | 480,000 | 490,800 | ||||||
HPHT Finance 15 Ltd. | ||||||||
2.25%, 03/17/2018 (Acquired 10/09/2015, Cost $839,408) (1) | 840,000 | 846,450 |
Humana, Inc. | ||||||||
3.15%, 12/01/2022 | 935,000 | 960,163 | ||||||
3.85%, 10/01/2024 | 1,735,000 | 1,853,801 | ||||||
Imperial Tobacco Finance PLC | ||||||||
2.95%, 07/21/2020 (Acquired 07/15/2015 through 10/08/2015, Cost $1,666,789) (1) | 1,665,000 | 1,714,743 | ||||||
4.25%, 07/21/2025 (Acquired 10/15/2015, Cost $1,388,359) (1) | 1,345,000 | 1,456,685 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.50%, 04/01/2022 | 1,275,000 | 1,371,498 | ||||||
Kraft Heinz Foods Co. | ||||||||
2.80%, 07/02/2020 (Acquired 07/13/2015 through 06/15/2016, Cost $1,496,209) (1) | 1,478,000 | 1,534,953 | ||||||
3.50%, 07/15/2022 (Acquired 07/22/2015 through 06/21/2016, Cost $2,228,066) (1) | 2,150,000 | 2,283,713 | ||||||
3.95%, 07/15/2025 (Acquired 07/22/2015, Cost $2,166,835) (1) | 2,155,000 | 2,344,196 | ||||||
3.00%, 06/01/2026 (Acquired 05/10/2016 through 05/24/2016, Cost $1,669,124) (1) | 1,685,000 | 1,703,035 | ||||||
5.20%, 07/15/2045 (Acquired 08/13/2015, Cost $1,041,591) (1) | 1,000,000 | 1,184,964 | ||||||
4.38%, 06/01/2046 (Acquired 05/10/2016, Cost $797,478) (1) | 800,000 | 846,626 | ||||||
Laboratory Corp. of America Holdings | ||||||||
3.60%, 02/01/2025 | 1,475,000 | 1,531,675 | ||||||
Life Technologies Corp. | ||||||||
6.00%, 03/01/2020 | 2,209,000 | 2,493,130 | ||||||
Mead Johnson Nutrition Co. | ||||||||
4.13%, 11/15/2025 | 170,000 | 185,518 | ||||||
Medtronic, Inc. | ||||||||
4.63%, 03/15/2045 | 1,455,000 | 1,712,155 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38%, 11/15/2022 (Acquired 11/05/2015, Cost $125,000) (1) | 125,000 | 124,688 | ||||||
Molson Coors Brewing Co. | ||||||||
3.00%, 07/15/2026 | 7,474,000 | 7,470,711 | ||||||
4.20%, 07/15/2046 | 838,000 | 842,190 | ||||||
MYLAN NV | ||||||||
2.50%, 06/07/2019 (Acquired 05/31/2016, Cost $3,496,156) (1) | 3,500,000 | 3,546,473 | ||||||
New York and Presbyterian Hospital/The | ||||||||
3.56%, 08/01/2036 | 2,630,000 | 2,750,588 | ||||||
Novartis Capital Corp. | ||||||||
4.00%, 11/20/2045 | 1,000,000 | 1,140,762 | ||||||
Post Holdings, Inc. | ||||||||
7.38%, 02/15/2022 | 275,000 | 289,094 | ||||||
Quintiles Transnational Corp. | ||||||||
4.88%, 05/15/2023 (Acquired 05/09/2016, Cost $816,586) (1) | 800,000 | 812,000 | ||||||
Reynolds American, Inc. | ||||||||
3.25%, 11/01/2022 | 1,215,000 | 1,273,389 | ||||||
4.45%, 06/12/2025 | 680,000 | 759,773 | ||||||
5.85%, 08/15/2045 | 1,020,000 | 1,304,150 |
Safeway, Inc. | ||||||||
7.25%, 02/01/2031 | 50,000 | 48,200 | ||||||
Smithfield Foods, Inc. | ||||||||
5.25%, 08/01/2018 (Acquired 07/13/2015 through 05/19/2016, Cost $516,517) (1) | 510,000 | 515,100 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75%, 07/15/2025 | 350,000 | 364,438 | ||||||
Sysco Corp. | ||||||||
2.50%, 07/15/2021 | 1,317,000 | 1,345,949 | ||||||
3.30%, 07/15/2026 | 1,182,000 | 1,226,944 | ||||||
Tenet Healthcare Corp. | ||||||||
4.15%, 06/15/2020 | 775,000 | 765,313 | ||||||
Teva Pharmaceutical Finance LLC | ||||||||
6.15%, 02/01/2036 | 1,310,000 | 1,569,960 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
3.65%, 11/10/2021 | 725,000 | 768,391 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.30%, 02/15/2022 | 1,510,000 | 1,571,918 | ||||||
Total System Services, Inc. | ||||||||
3.80%, 04/01/2021 | 1,078,000 | 1,141,621 | ||||||
4.80%, 04/01/2026 | 4,002,000 | 4,341,822 | ||||||
Transurban Finance Co Pty Ltd. | ||||||||
4.13%, 02/02/2026 (Acquired 10/27/2015, Cost $153,704) (1) | 155,000 | 164,744 | ||||||
TreeHouse Foods, Inc. | ||||||||
6.00%, 02/15/2024 (Acquired 01/21/2016 through 05/04/2016, Cost $942,212) (1) | 900,000 | 960,120 | ||||||
Tyson Foods, Inc. | ||||||||
4.50%, 06/15/2022 | 645,000 | 718,674 | ||||||
3.95%, 08/15/2024 | 105,000 | 113,529 | ||||||
UBM PLC | ||||||||
5.75%, 11/03/2020 (Acquired 07/13/2015 through 07/29/2015, Cost $906,858) (1) | 845,000 | 914,435 | ||||||
Universal Health Services, Inc. | ||||||||
4.75%, 08/01/2022 (Acquired 08/24/2015 through 06/21/2016, Cost $6,517,214) (1) | 6,402,000 | 6,511,602 | ||||||
5.00%, 06/01/2026 (Acquired 05/19/2016, Cost $2,403,000) (1) | 2,403,000 | 2,409,008 | ||||||
Valeant Pharmaceuticals International | ||||||||
6.38%, 10/15/2020 (Acquired 06/13/2016 through 06/22/2016, Cost $154,356) (1) | 175,000 | 150,500 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
5.50%, 03/01/2023 (Acquired 07/21/2015 through 06/06/2016, Cost $3,620,050) (1) | 4,015,000 | 3,224,547 | ||||||
5.88%, 05/15/2023 (Acquired 08/12/2015 through 10/06/2015, Cost $951,278) (1) | 950,000 | 767,125 | ||||||
6.13%, 04/15/2025 (Acquired 05/27/2016, Cost $850,944) (1) | 1,000,000 | 802,500 | ||||||
Verisk Analytics, Inc. | ||||||||
4.88%, 01/15/2019 | 540,000 | 575,758 | ||||||
5.80%, 05/01/2021 | 1,650,000 | 1,892,666 | ||||||
4.13%, 09/12/2022 | 1,547,000 | 1,647,456 | ||||||
5.50%, 06/15/2045 | 1,648,000 | 1,695,784 |
Wm Wrigley Jr Co. | ||||||||
2.40%, 10/21/2018 (Acquired 07/13/2015 through 05/25/2016, Cost $1,636,795) (1) | 1,620,000 | 1,652,152 | ||||||
3.38%, 10/21/2020 (Acquired 07/22/2015 through 06/20/2016, Cost $3,177,374) (1) | 3,040,000 | 3,242,805 | ||||||
|
| |||||||
215,147,517 | ||||||||
|
| |||||||
Diversified - 0.03% | ||||||||
Argos Merger Sub, Inc. | ||||||||
7.13%, 03/15/2023 (Acquired 01/20/2016 through 02/24/2016, Cost $49,089) (1) | 50,000 | 51,438 | ||||||
RWT Holdings, Inc. | ||||||||
5.63%, 11/15/2019 | 1,460,000 | 1,428,975 | ||||||
|
| |||||||
1,480,413 | ||||||||
|
| |||||||
Energy - 3.02% | ||||||||
Anadarko Petroleum Corp. | ||||||||
6.38%, 09/15/2017 | 42,000 | 44,208 | ||||||
4.85%, 03/15/2021 | 691,000 | 732,957 | ||||||
5.55%, 03/15/2026 | 2,018,000 | 2,229,490 | ||||||
6.60%, 03/15/2046 | 765,000 | 924,304 | ||||||
APT Pipelines Ltd. | ||||||||
3.88%, 10/11/2022 (Acquired 08/06/2015 through 08/19/2015, Cost $1,354,676) (1) | 1,360,000 | 1,407,140 | ||||||
Boardwalk Pipelines LP | ||||||||
5.75%, 09/15/2019 | 1,850,000 | 1,937,218 | ||||||
5.95%, 06/01/2026 | 1,500,000 | 1,576,361 | ||||||
BP Capital Markets PLC | ||||||||
3.06%, 03/17/2022 | 1,525,000 | 1,575,921 | ||||||
Canadian Natural Resources Ltd. | ||||||||
5.70%, 05/15/2017 | 1,408,000 | 1,448,494 | ||||||
5.90%, 02/01/2018 | 442,000 | 466,960 | ||||||
3.90%, 02/01/2025 | 130,000 | 128,802 | ||||||
Cenovus Energy, Inc. | ||||||||
5.70%, 10/15/2019 | 40,000 | 42,308 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
7.00%, 06/30/2024 (Acquired 05/12/2016 through 05/13/2016, Cost $428,830) (1) | 425,000 | 436,424 | ||||||
Chesapeake Energy Corp. | ||||||||
6.13%, 02/15/2021 | 1,625,000 | 1,072,500 | ||||||
Cimarex Energy Co. | ||||||||
5.88%, 05/01/2022 | 1,739,000 | 1,821,679 | ||||||
4.38%, 06/01/2024 | 1,819,000 | 1,902,994 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/2024 | 900,000 | 953,801 | ||||||
Concho Resources, Inc. | ||||||||
7.00%, 01/15/2021 | 425,000 | 436,687 | ||||||
5.50%, 10/01/2022 | 280,000 | 281,400 | ||||||
5.50%, 04/01/2023 | 450,000 | 451,125 |
ConocoPhillips Co | ||||||||
4.20%, 03/15/2021 | 1,595,000 | 1,722,733 | ||||||
4.95%, 03/15/2026 | 4,958,000 | 5,620,106 | ||||||
Continental Resources, Inc./OK | ||||||||
4.50%, 04/15/2023 | 250,000 | 233,125 | ||||||
3.80%, 06/01/2024 | 5,360,000 | 4,676,600 | ||||||
Devon Energy Corp. | ||||||||
2.25%, 12/15/2018 | 1,604,000 | 1,592,688 | ||||||
6.30%, 01/15/2019 | 527,000 | 570,923 | ||||||
5.85%, 12/15/2025 | 1,295,000 | 1,429,148 | ||||||
Enable Midstream Partners LP | ||||||||
3.90%, 05/15/2024 | 1,910,000 | 1,703,143 | ||||||
Enbridge Energy Partners LP | ||||||||
5.88%, 10/15/2025 | 750,000 | 829,810 | ||||||
Energy Transfer Equity LP | ||||||||
5.50%, 06/01/2027 | 400,000 | 376,000 | ||||||
Energy Transfer Partners LP | ||||||||
4.15%, 10/01/2020 | 3,879,000 | 3,937,344 | ||||||
4.75%, 01/15/2026 | 4,720,000 | 4,871,988 | ||||||
6.50%, 02/01/2042 | 1,000,000 | 1,050,626 | ||||||
5.15%, 03/15/2045 | 700,000 | 636,473 | ||||||
6.13%, 12/15/2045 | 100,000 | 103,753 | ||||||
EnLink Midstream Partners LP | ||||||||
4.40%, 04/01/2024 | 35,000 | 32,846 | ||||||
4.15%, 06/01/2025 | 5,555,000 | 5,121,926 | ||||||
Enterprise Products Operating LLC | ||||||||
2.85%, 04/15/2021 | 1,760,000 | 1,818,629 | ||||||
3.75%, 02/15/2025 | 2,585,000 | 2,697,341 | ||||||
3.95%, 02/15/2027 | 280,000 | 297,137 | ||||||
5.10%, 02/15/2045 | 2,065,000 | 2,272,198 | ||||||
Exxon Mobil Corp. | ||||||||
3.57%, 03/06/2045 | 885,000 | 915,287 | ||||||
Helmerich & Payne International Drilling Co | ||||||||
4.65%, 03/15/2025 | 1,894,000 | 2,021,783 | ||||||
Hess Corp. | ||||||||
8.13%, 02/15/2019 | 691,000 | 770,056 | ||||||
7.88%, 10/01/2029 | 25,000 | 29,792 | ||||||
7.30%, 08/15/2031 | 45,000 | 51,707 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
5.95%, 02/15/2018 | 1,015,000 | 1,071,356 | ||||||
5.00%, 10/01/2021 | 575,000 | 608,988 |
3.95%, 09/01/2022 | 988,000 | 1,005,626 | ||||||
4.15%, 02/01/2024 | 220,000 | 221,217 | ||||||
4.30%, 05/01/2024 | 3,418,000 | 3,448,766 | ||||||
4.25%, 09/01/2024 | 295,000 | 298,823 | ||||||
Kinder Morgan Finance Co LLC | ||||||||
6.00%, 01/15/2018 (Acquired 02/09/2016 through 06/06/2016, Cost $476,588) (1) | 470,000 | 494,534 | ||||||
Kinder Morgan, Inc./DE | ||||||||
4.30%, 06/01/2025 | 6,515,000 | 6,673,888 | ||||||
Korea National Oil Corp. | ||||||||
4.00%, 10/27/2016 (Acquired 07/22/2015 through 07/24/2015, Cost $564,935) (1) | 560,000 | 565,788 | ||||||
Matador Resources Co. | ||||||||
6.88%, 04/15/2023 | 530,000 | 540,600 | ||||||
Motiva Enterprises LLC | ||||||||
5.75%, 01/15/2020 (Acquired 07/22/2015 through 06/20/2016, Cost $1,348,315) (1) | 1,244,000 | 1,361,080 | ||||||
Newfield Exploration Co. | ||||||||
5.75%, 01/30/2022 | 425,000 | 430,312 | ||||||
5.38%, 01/01/2026 | 3,715,000 | 3,612,838 | ||||||
Oceaneering International, Inc. | ||||||||
4.65%, 11/15/2024 | 1,429,000 | 1,382,299 | ||||||
Parsley Energy LLC / Parsley Finance Corp. | ||||||||
6.25%, 06/01/2024 (Acquired 05/24/2016, Cost $125,000) (1) | 125,000 | 127,188 | ||||||
Pertamina Persero PT | ||||||||
6.00%, 05/03/2042 | 280,000 | 283,078 | ||||||
6.00%, 05/03/2042 | 200,000 | 202,198 | ||||||
Petrobras Global Finance BV | ||||||||
8.38%, 05/23/2021 | 1,680,000 | 1,733,760 | ||||||
8.75%, 05/23/2026 | 3,125,000 | 3,146,344 | ||||||
Petroleos Mexicanos | ||||||||
6.38%, 02/04/2021 (Acquired 01/28/2016, Cost $410,000) (1) | 410,000 | 445,793 | ||||||
4.88%, 01/24/2022 | 300,000 | 306,675 | ||||||
4.50%, 01/23/2026 | 1,105,000 | 1,063,452 | ||||||
5.63%, 01/23/2046 | 235,000 | 214,203 | ||||||
Phillips 66 Partners LP | ||||||||
3.61%, 02/15/2025 | 932,000 | 916,271 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||||
6.50%, 05/01/2018 | 665,000 | 707,233 | ||||||
Regency Energy Partners LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 500,000 | 530,984 | ||||||
5.00%, 10/01/2022 | 1,000,000 | 1,026,227 | ||||||
Rowan Cos, Inc. | ||||||||
4.75%, 01/15/2024 | 2,280,000 | 1,852,500 | ||||||
Sabine Pass LNG LP | ||||||||
7.50%, 11/30/2016 | 400,000 | 407,600 |
Schlumberger Holdings Corp. | ||||||||
3.00%, 12/21/2020 (Acquired 12/10/2015, Cost $598,777) (1) | 600,000 | 625,835 | ||||||
4.00%, 12/21/2025 (Acquired 12/10/2015 through 06/21/2016, Cost $4,397,113) (1) | 4,235,000 | 4,560,096 | ||||||
Seven Generations Energy Ltd. | ||||||||
8.25%, 05/15/2020 (Acquired 07/13/2015 through 06/16/2016, Cost $663,111) (1) | 645,000 | 668,381 | ||||||
Shell International Finance BV | ||||||||
2.13%, 05/11/2020 | 400,000 | 408,287 | ||||||
3.25%, 05/11/2025 | 3,900,000 | 4,093,440 | ||||||
2.88%, 05/10/2026 | 2,495,000 | 2,536,250 | ||||||
4.38%, 05/11/2045 | 1,000,000 | 1,084,198 | ||||||
SM Energy Co. | ||||||||
6.13%, 11/15/2022 | 10,000 | 9,188 | ||||||
5.00%, 01/15/2024 | 115,000 | 98,325 | ||||||
5.63%, 06/01/2025 | 75,000 | 64,500 | ||||||
Southwestern Energy Co. | ||||||||
4.95%, 01/23/2025 | 2,675,000 | 2,564,656 | ||||||
Spectra Energy Partners LP | ||||||||
4.75%, 03/15/2024 | 1,460,000 | 1,605,248 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 04/01/2024 | 1,500,000 | 1,515,812 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
4.13%, 11/15/2019 | 380,000 | 376,200 | ||||||
6.75%, 03/15/2024 (Acquired 09/09/2015 through 09/11/2015, Cost $823,239) (1) | 825,000 | 845,625 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022 (Acquired 07/16/2015 through 07/22/2015, Cost $729,483) (1) | 775,000 | 759,710 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.88%, 01/15/2026 | 2,640,000 | 3,016,324 | ||||||
Western Gas Partners LP | ||||||||
5.38%, 06/01/2021 | 2,407,000 | 2,538,054 | ||||||
Whiting Petroleum Corp. | ||||||||
1.25%, 06/05/2020 | 1,000,000 | 892,500 | ||||||
Williams Partners LP / ACMP Finance Corp. | ||||||||
4.88%, 03/15/2024 | 5,170,000 | 4,960,682 | ||||||
|
| |||||||
133,156,867 | ||||||||
|
| |||||||
Financials - 11.58% | ||||||||
ABN AMRO Bank NV | ||||||||
4.75%, 07/28/2025 (Acquired 07/21/2015 through 06/29/2016, Cost $976,171) (1) | 955,000 | 991,366 | ||||||
4.80%, 04/18/2026 (Acquired 05/02/2016 through 06/15/2016, Cost $3,111,152) (1) | 3,000,000 | 3,123,531 | ||||||
ACE INA Holdings, Inc. | ||||||||
2.30%, 11/03/2020 | 485,000 | 498,246 | ||||||
4.35%, 11/03/2045 | 380,000 | 437,482 |
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust | ||||||||
4.63%, 10/30/2020 | 1,198,000 | 1,242,026 | ||||||
3.95%, 02/01/2022 | 2,600,000 | 2,600,000 | ||||||
4.63%, 07/01/2022 | 2,100,000 | 2,150,568 | ||||||
Air Lease Corp. | ||||||||
4.25%, 09/15/2024 | 3,175,000 | 3,214,687 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
2.75%, 01/15/2020 | 643,000 | 648,687 | ||||||
4.60%, 04/01/2022 | 2,625,000 | 2,840,059 | ||||||
3.95%, 01/15/2027 | 1,450,000 | 1,500,618 | ||||||
4.50%, 07/30/2029 | 636,000 | 661,497 | ||||||
Allied World Assurance Co Holdings Ltd. | ||||||||
4.35%, 10/29/2025 | 2,490,000 | 2,549,033 | ||||||
Ally Financial, Inc. | ||||||||
8.00%, 12/31/2018 | 638,000 | 697,015 | ||||||
4.63%, 03/30/2025 | 4,950,000 | 4,869,562 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/2020 | 1,900,000 | 1,973,931 | ||||||
American Express Co. | ||||||||
6.80%, 09/01/2066 | 1,971,000 | 1,968,536 | ||||||
American Express Credit Corp. | ||||||||
2.80%, 09/19/2016 | 2,000,000 | 2,008,496 | ||||||
2.25%, 05/05/2021 | 2,417,000 | 2,460,675 | ||||||
American International Group, Inc. | ||||||||
3.90%, 04/01/2026 | 4,800,000 | 4,949,045 | ||||||
American Tower Corp. | ||||||||
3.30%, 02/15/2021 | 3,098,000 | 3,232,168 | ||||||
3.45%, 09/15/2021 | 110,000 | 114,508 | ||||||
3.50%, 01/31/2023 | 717,000 | 742,021 | ||||||
4.40%, 02/15/2026 | 1,177,000 | 1,278,494 | ||||||
3.38%, 10/15/2026 | 3,608,000 | 3,628,717 | ||||||
AvalonBay Communities, Inc. | ||||||||
5.75%, 09/15/2016 | 1,025,000 | 1,033,526 | ||||||
Bank Amer Corp. | ||||||||
5.42%, 03/15/2017 | 400,000 | 411,238 | ||||||
Bank of America Corp. | ||||||||
3.75%, 07/12/2016 | 1,750,000 | 1,750,840 | ||||||
5.75%, 08/15/2016 | 761,000 | 764,615 | ||||||
5.70%, 05/02/2017 | 1,897,000 | 1,963,748 | ||||||
6.40%, 08/28/2017 | 1,000,000 | 1,055,164 | ||||||
2.00%, 01/11/2018 | 1,000,000 | 1,006,871 | ||||||
2.63%, 10/19/2020 | 1,390,000 | 1,412,290 |
3.30%, 01/11/2023 | 4,425,000 | 4,555,666 | ||||||
4.00%, 04/01/2024 | 2,155,000 | 2,300,993 | ||||||
4.20%, 08/26/2024 | 340,000 | 351,618 | ||||||
3.88%, 08/01/2025 | 4,400,000 | 4,683,131 | ||||||
4.45%, 03/03/2026 | 3,941,000 | 4,124,091 | ||||||
3.50%, 04/19/2026 | 1,184,000 | 1,224,776 | ||||||
4.25%, 10/22/2026 | 4,875,000 | 5,058,480 | ||||||
6.30%, 12/29/2049 | 1,151,000 | 1,218,621 | ||||||
8.00%, 12/31/2099 | 1,393,000 | 1,384,294 | ||||||
Bank of America NA | ||||||||
6.10%, 06/15/2017 | 2,350,000 | 2,450,394 | ||||||
Bank of New York Mellon Corp./The | ||||||||
2.50%, 04/15/2021 | 1,955,000 | 2,026,023 | ||||||
Barclays Bank PLC | ||||||||
5.14%, 10/14/2020 | 275,000 | 291,456 | ||||||
Barclays PLC | ||||||||
4.38%, 09/11/2024 | 2,200,000 | 2,127,814 | ||||||
4.38%, 01/12/2026 | 6,815,000 | 6,881,105 | ||||||
5.20%, 05/12/2026 | 1,240,000 | 1,252,850 | ||||||
BBVA Bancomer SA/Texas | ||||||||
6.50%, 03/10/2021 | 750,000 | 823,125 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
4.40%, 05/15/2042 | 1,000,000 | 1,123,289 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.13%, 03/15/2026 | 1,077,000 | 1,129,870 | ||||||
4.50%, 02/11/2043 | 1,000,000 | 1,143,514 | ||||||
Boston Properties LP | ||||||||
3.65%, 02/01/2026 | 415,000 | 442,495 | ||||||
BPCE SA | ||||||||
5.15%, 07/21/2024 (Acquired 07/13/2015 through 06/28/2016, Cost $2,234,487) (1) | 2,170,000 | 2,259,057 | ||||||
4.88%, 04/01/2026 (Acquired 04/26/2016 through 05/23/2016, Cost $2,750,660) (1) | 2,740,000 | 2,812,503 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.88%, 08/15/2022 | 2,550,000 | 2,620,138 | ||||||
4.13%, 06/15/2026 | 2,980,000 | 3,059,789 | ||||||
Capital One Bank USA NA | ||||||||
1.15%, 11/21/2016 | 500,000 | 500,301 | ||||||
Capital One NA/Mclean VA | ||||||||
2.35%, 08/17/2018 | 1,000,000 | 1,014,221 | ||||||
2.40%, 09/05/2019 | 1,000,000 | 1,016,339 | ||||||
Carlyle Holdings Finance LLC | ||||||||
3.88%, 02/01/2023 (Acquired 07/31/2015 through 06/15/2016, Cost $1,643,028) (1) | 1,596,000 | 1,663,696 | ||||||
CBRE Services, Inc. | ||||||||
4.88%, 03/01/2026 | 2,115,000 | 2,163,370 |
Charles Schwab Corp./The | ||||||||
3.00%, 03/10/2025 | 1,125,000 | 1,175,208 | ||||||
7.00%, 02/28/2049 | 2,384,000 | 2,714,780 | ||||||
CIT Group, Inc. | ||||||||
5.00%, 05/15/2017 | 775,000 | 787,594 | ||||||
4.25%, 08/15/2017 | 6,082,000 | 6,194,517 | ||||||
5.25%, 03/15/2018 | 785,000 | 808,770 | ||||||
5.50%, 02/15/2019 (Acquired 07/13/2015 through 05/24/2016, Cost $1,459,273) (1) | 1,401,000 | 1,465,796 | ||||||
Citigroup, Inc. | ||||||||
1.30%, 11/15/2016 | 625,000 | 625,275 | ||||||
1.80%, 02/05/2018 | 6,000,000 | 6,026,454 | ||||||
2.15%, 07/30/2018 | 650,000 | 657,923 | ||||||
4.45%, 09/29/2027 | 2,551,000 | 2,622,647 | ||||||
Citizens Financial Group, Inc. | ||||||||
4.30%, 12/03/2025 | 3,606,000 | 3,797,356 | ||||||
CNA Financial Corp. | ||||||||
5.88%, 08/15/2020 | 1,700,000 | 1,916,313 | ||||||
CNO Financial Group, Inc. | ||||||||
4.50%, 05/30/2020 | 1,150,000 | 1,190,250 | ||||||
5.25%, 05/30/2025 | 2,255,000 | 2,322,650 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
4.38%, 08/04/2025 | 2,475,000 | 2,586,437 | ||||||
Credit Agricole SA | ||||||||
4.38%, 03/17/2025 (Acquired 07/31/2015 through 05/23/2016, Cost $4,808,375) (1) | 4,875,000 | 4,926,119 | ||||||
Credit Suisse AG | ||||||||
6.50%, 08/08/2023 (Acquired 07/13/2015 through 07/29/2015, Cost $1,051,639) (1) | 960,000 | 1,003,680 | ||||||
Crown Castle International Corp. | ||||||||
3.40%, 02/15/2021 | 345,000 | 360,194 | ||||||
4.88%, 04/15/2022 | 3,473,000 | 3,814,049 | ||||||
5.25%, 01/15/2023 | 2,504,000 | 2,810,239 | ||||||
4.45%, 02/15/2026 | 3,900,000 | 4,236,051 | ||||||
3.70%, 06/15/2026 | 3,225,000 | 3,319,115 | ||||||
DDR Corp. | ||||||||
3.63%, 02/01/2025 | 2,225,000 | 2,232,643 | ||||||
4.25%, 02/01/2026 | 3,815,000 | 4,001,508 | ||||||
Digital Realty Trust LP | ||||||||
4.75%, 10/01/2025 | 1,640,000 | 1,762,175 | ||||||
Discover Bank/Greenwood DE | ||||||||
2.60%, 11/13/2018 | 2,010,000 | 2,040,236 | ||||||
3.10%, 06/04/2020 | 2,000,000 | 2,045,802 | ||||||
Discover Financial Services | ||||||||
3.95%, 11/06/2024 | 2,167,000 | 2,222,007 | ||||||
3.75%, 03/04/2025 | 5,095,000 | 5,135,210 |
E*TRADE Financial Corp. | ||||||||
5.38%, 11/15/2022 | 2,300,000 | 2,426,500 | ||||||
4.63%, 09/15/2023 | 2,270,000 | 2,298,375 | ||||||
Farmers Exchange Capital II | ||||||||
6.15%, 11/01/2053 (Acquired 08/31/2015, Cost $298,678) (1) | 280,000 | 294,613 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 2,938,000 | 3,456,625 | ||||||
Goldman Sachs Group, Inc./The | ||||||||
5.63%, 01/15/2017 | 680,000 | 694,995 | ||||||
2.38%, 01/22/2018 | 1,180,000 | 1,196,142 | ||||||
6.15%, 04/01/2018 | 4,000,000 | 4,311,796 | ||||||
7.50%, 02/15/2019 | 1,455,000 | 1,662,738 | ||||||
2.63%, 04/25/2021 | 2,500,000 | 2,535,590 | ||||||
4.25%, 10/21/2025 | 720,000 | 745,074 | ||||||
3.75%, 02/25/2026 | 3,166,000 | 3,321,856 | ||||||
6.75%, 10/01/2037 | 460,000 | 567,723 | ||||||
Goodman Funding Pty Ltd. | ||||||||
6.38%, 04/15/2021 (Acquired 07/13/2015 through 08/21/2015, Cost $2,152,947) (1) | 1,915,000 | 2,238,597 | ||||||
HBOS PLC | ||||||||
1.33%, 09/30/2016 | 1,500,000 | 1,496,364 | ||||||
HCP, Inc. | ||||||||
5.63%, 05/01/2017 | 700,000 | 723,080 | ||||||
4.00%, 12/01/2022 | 1,900,000 | 1,972,844 | ||||||
4.00%, 06/01/2025 | 4,900,000 | 4,942,341 | ||||||
Highwoods Realty LP | ||||||||
5.85%, 03/15/2017 | 1,465,000 | 1,506,479 | ||||||
7.50%, 04/15/2018 | 3,100,000 | 3,382,658 | ||||||
Host Hotels & Resorts LP | ||||||||
3.75%, 10/15/2023 | 2,175,000 | 2,191,719 | ||||||
Howard Hughes Corp./The | ||||||||
6.88%, 10/01/2021 (Acquired 04/26/2016, Cost $458,600) (1) | 450,000 | 453,375 | ||||||
HSBC Holdings PLC | ||||||||
2.95%, 05/25/2021 | 1,805,000 | 1,823,899 | ||||||
4.30%, 03/08/2026 | 4,705,000 | 4,992,160 | ||||||
6.38%, 03/29/2049 | 1,500,000 | 1,428,750 | ||||||
ING Bank NV | ||||||||
5.80%, 09/25/2023 (Acquired 07/29/2015 through 11/13/2015, Cost $3,214,987) (1) | 2,965,000 | 3,259,095 | ||||||
4.13%, 11/21/2023 | 1,840,000 | 1,865,576 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.75%, 12/01/2025 | 2,934,000 | 3,166,760 |
International Lease Finance Corp. | ||||||||
6.75%, 09/01/2016 (Acquired 08/06/2015 through 06/09/2016, Cost $4,841,054) (1) | 4,804,000 | 4,828,020 | ||||||
8.75%, 03/15/2017 | 1,761,000 | 1,838,484 | ||||||
7.13%, 09/01/2018 (Acquired 07/14/2015, Cost $542,274) (1) | 500,000 | 548,970 | ||||||
Intesa Sanpaolo SpA | ||||||||
6.50%, 02/24/2021 (Acquired 07/13/2015 through 08/17/2015, Cost $788,637) (1) | 700,000 | 796,615 | ||||||
5.02%, 06/26/2024 (Acquired 07/29/2015, Cost $2,858,769) (1) | 2,900,000 | 2,665,283 | ||||||
5.71%, 01/15/2026 (Acquired 05/25/2016, Cost $3,877,100) (1) | 4,000,000 | 3,794,196 | ||||||
Jackson National Life Global Funding | ||||||||
1.88%, 10/15/2018 (Acquired 10/07/2015, Cost $999,601) (1) | 1,000,000 | 1,011,954 | ||||||
2.60%, 12/09/2020 (Acquired 12/02/2015, Cost $1,563,698) (1) | 1,565,000 | 1,616,180 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/2023 | 3,100,000 | 3,257,003 | ||||||
Jones Lang LaSalle, Inc. | ||||||||
4.40%, 11/15/2022 | 1,270,000 | 1,326,137 | ||||||
JP Morgan Chase Capital XIII | ||||||||
1.58%, 09/30/2034 | 3,917,000 | 3,123,807 | ||||||
JPMorgan Chase & Co. | ||||||||
3.15%, 07/05/2016 | 1,000,000 | 1,000,000 | ||||||
2.55%, 10/29/2020 | 1,915,000 | 1,956,724 | ||||||
4.50%, 01/24/2022 | 1,440,000 | 1,602,688 | ||||||
2.70%, 05/18/2023 | 1,850,000 | 1,869,081 | ||||||
3.90%, 07/15/2025 | 1,500,000 | 1,621,024 | ||||||
4.25%, 10/01/2027 | 4,026,000 | 4,277,428 | ||||||
JPMorgan Chase Bank NA | ||||||||
6.00%, 10/01/2017 | 4,811,000 | 5,081,494 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.59%, 02/02/2037 | 1,625,000 | 1,239,063 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.88%, 04/01/2024 | 3,326,000 | 3,242,850 | ||||||
KeyCorp. | ||||||||
2.90%, 09/15/2020 | 980,000 | 1,013,697 | ||||||
Kilroy Realty LP | ||||||||
4.38%, 10/01/2025 | 1,515,000 | 1,636,464 | ||||||
Kimco Realty Corp. | ||||||||
3.40%, 11/01/2022 | 150,000 | 157,250 | ||||||
KFW | ||||||||
0.88%, 04/19/2018 | 1,000,000 | 1,001,550 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
5.88%, 08/01/2021 (Acquired 08/31/2015 through 10/14/2015, Cost $1,671,065) (1) | 1,745,000 | 1,561,775 | ||||||
Lazard Group LLC | ||||||||
4.25%, 11/14/2020 | 1,560,000 | 1,660,637 | ||||||
3.75%, 02/13/2025 | 716,000 | 712,093 |
LeasePlan Corp. NV | ||||||||
2.50%, 05/16/2018 (Acquired 07/13/2015 through 05/23/2016, Cost $3,334,331) (1) | 3,325,000 | 3,326,303 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.85%, 08/01/2044 (Acquired 07/21/2015 through 06/21/2016, Cost $3,031,030) (1) | 3,045,000 | 3,119,298 | ||||||
Liberty Property LP | ||||||||
4.13%, 06/15/2022 | 2,000,000 | 2,114,798 | ||||||
Lloyds Banking Group PLC | ||||||||
3.10%, 07/06/2021 | 3,075,000 | 3,072,725 | ||||||
4.50%, 11/04/2024 | 2,825,000 | 2,867,172 | ||||||
4.65%, 03/24/2026 | 2,700,000 | 2,735,405 | ||||||
MetLife, Inc. | ||||||||
6.40%, 12/15/2036 | 1,000,000 | 1,067,520 | ||||||
Mid-America Apartments LP | ||||||||
6.05%, 09/01/2016 | 975,000 | 981,382 | ||||||
Morgan Stanley | ||||||||
5.45%, 01/09/2017 | 2,500,000 | 2,553,472 | ||||||
5.55%, 04/27/2017 | 2,967,000 | 3,070,249 | ||||||
5.95%, 12/28/2017 | 1,145,000 | 1,217,594 | ||||||
2.45%, 02/01/2019 | 2,927,000 | 2,981,954 | ||||||
7.30%, 05/13/2019 | 1,000,000 | 1,148,960 | ||||||
2.50%, 04/21/2021 | 1,580,000 | 1,596,699 | ||||||
4.88%, 11/01/2022 | 1,263,000 | 1,383,233 | ||||||
3.75%, 02/25/2023 | 3,000,000 | 3,177,963 | ||||||
5.00%, 11/24/2025 | 7,275,000 | 7,962,844 | ||||||
3.95%, 04/23/2027 | 6,602,000 | 6,659,286 | ||||||
5.55%, 12/29/2049 | 3,365,000 | 3,333,369 | ||||||
MPT Operating Partnership LP / MPT Finance Corp. | ||||||||
6.38%, 03/01/2024 | 475,000 | 505,875 | ||||||
Murray Street Investment Trust I | ||||||||
4.65%, 03/09/2017 | 1,948,000 | 1,991,770 | ||||||
Nationstar Mortgage LLC / Nationstar Capital Corp. | ||||||||
7.88%, 10/01/2020 | 330,000 | 309,375 | ||||||
Nationwide Building Society | ||||||||
3.90%, 07/21/2025 (Acquired 07/14/2015 through 06/28/2016, Cost $2,053,394) (1) | 1,980,000 | 2,117,970 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
2.94%, 12/15/2024 (Acquired 09/29/2015, Cost $1,010,932) (1) | 1,050,000 | 1,039,500 | ||||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp. | ||||||||
5.88%, 03/15/2022 (Acquired 07/13/2015 through 06/20/2016, Cost $3,006,280) (1) | 2,880,000 | 3,006,000 | ||||||
4.88%, 04/15/2045 (Acquired 07/22/2015 through 05/26/2016, Cost $2,433,954) (1) | 2,739,000 | 2,422,591 | ||||||
New York Life Global Funding | ||||||||
1.55%, 11/02/2018 (Acquired 10/27/2015, Cost $1,997,758) (1) | 2,000,000 | 2,018,566 |
Old Republic International Corp. | ||||||||
4.88%, 10/01/2024 | 1,600,000 | 1,709,736 | ||||||
Post Apartment Homes LP | ||||||||
4.75%, 10/15/2017 | 91,000 | 93,942 | ||||||
Pricoa Global Funding I | ||||||||
2.20%, 06/03/2021 (Acquired 05/26/2016, Cost $1,997,227) (1) | 2,000,000 | 2,029,574 | ||||||
2.55%, 11/24/2020 (Acquired 11/17/2015, Cost $1,555,000) (1) | 1,555,000 | 1,607,752 | ||||||
Primerica, Inc. | ||||||||
4.75%, 07/15/2022 | 4,101,000 | 4,514,840 | ||||||
Principal Financial Group, Inc. | ||||||||
4.70%, 05/15/2055 | 1,435,000 | 1,400,919 | ||||||
Prologis LP | ||||||||
3.75%, 11/01/2025 | 1,325,000 | 1,412,924 | ||||||
Protective Life Global Funding | ||||||||
1.21%, 06/08/2018 (Acquired 06/07/2016, Cost $4,000,000) (1) | 4,000,000 | 3,998,476 | ||||||
2.70%, 11/25/2020 (Acquired 11/19/2015, Cost $1,948,478) (1) | 1,950,000 | 2,016,370 | ||||||
Quicken Loans, Inc. | ||||||||
5.75%, 05/01/2025 (Acquired 07/22/2015 through 11/12/2015, Cost $786,460) (1) | 815,000 | 786,475 | ||||||
Raymond James Financial, Inc. | ||||||||
5.63%, 04/01/2024 | 3,185,000 | 3,643,538 | ||||||
Realty Income Corp. | ||||||||
5.95%, 09/15/2016 | 2,545,000 | 2,568,170 | ||||||
2.00%, 01/31/2018 | 2,000,000 | 2,016,634 | ||||||
Redwood Trust, Inc. | ||||||||
4.63%, 04/15/2018 | 20,000 | 19,763 | ||||||
Reinsurance Group of America, Inc. | ||||||||
5.00%, 06/01/2021 | 500,000 | 553,615 | ||||||
4.70%, 09/15/2023 | 1,000,000 | 1,087,851 | ||||||
Retail Opportunity Investments Partnership LP | ||||||||
4.00%, 12/15/2024 | 895,000 | 880,187 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/2017 | 2,840,000 | 2,846,163 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
6.40%, 10/21/2019 | 550,000 | 611,037 | ||||||
6.13%, 12/15/2022 | 3,025,000 | 3,172,750 | ||||||
6.10%, 06/10/2023 | 2,265,000 | 2,317,328 | ||||||
6.00%, 12/19/2023 | 960,000 | 978,400 | ||||||
5.13%, 05/28/2024 | 375,000 | 365,813 | ||||||
4.80%, 04/05/2026 | 2,795,000 | 2,842,711 | ||||||
Santander Holdings USA, Inc. | ||||||||
4.50%, 07/17/2025 | 2,200,000 | 2,263,862 | ||||||
Santander Issuances SAU | ||||||||
5.18%, 11/19/2025 | 2,400,000 | 2,398,802 |
Santander UK Group Holdings PLC | ||||||||
2.88%, 10/16/2020 | 1,135,000 | 1,126,231 | ||||||
4.75%, 09/15/2025 (Acquired 09/08/2015, Cost $1,022,350) (1) | 1,025,000 | 1,011,695 | ||||||
Santander UK PLC | ||||||||
1.38%, 03/13/2017 | 1,500,000 | 1,498,576 | ||||||
5.00%, 11/07/2023 (Acquired 07/13/2015 through 06/15/2016, Cost $3,603,286) (1) | 3,492,000 | 3,584,535 | ||||||
Scottrade Financial Services, Inc. | ||||||||
6.13%, 07/11/2021 (Acquired 05/03/2016 through 05/24/2016, Cost $811,954) (1)(6) | 766,000 | 824,242 | ||||||
Senior Housing Properties Trust | ||||||||
6.75%, 12/15/2021 | 603,000 | 683,007 | ||||||
Simon Property Group LP | ||||||||
2.50%, 09/01/2020 | 1,530,000 | 1,582,560 | ||||||
3.30%, 01/15/2026 | 1,025,000 | 1,096,257 | ||||||
SL Green Realty Corp. | ||||||||
5.00%, 08/15/2018 | 1,963,000 | 2,058,749 | ||||||
7.75%, 03/15/2020 | 1,398,000 | 1,634,455 | ||||||
Societe Generale SA | ||||||||
4.25%, 04/14/2025 (Acquired 07/13/2015 through 08/31/2015, Cost $4,073,283) (1) | 4,300,000 | 4,255,216 | ||||||
Standard Chartered PLC | ||||||||
5.20%, 01/26/2024 (Acquired 07/22/2015 through 06/17/2016, Cost $2,141,474) (1) | 2,040,000 | 2,125,696 | ||||||
Stifel Financial Corp. | ||||||||
4.25%, 07/18/2024 | 1,760,000 | 1,805,850 | ||||||
SVB Financial Group | ||||||||
5.38%, 09/15/2020 | 2,649,000 | 2,957,312 | ||||||
Synchrony Financial | ||||||||
2.60%, 01/15/2019 | 585,000 | 591,209 | ||||||
3.00%, 08/15/2019 | 2,593,000 | 2,644,165 | ||||||
TD Ameritrade Holding Corp. | ||||||||
2.95%, 04/01/2022 | 2,773,000 | 2,889,585 | ||||||
3.63%, 04/01/2025 | 4,197,000 | 4,498,051 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.38%, 09/15/2054 (Acquired 11/09/2015 through 06/02/2016, Cost $4,433,840) (1) | 4,500,000 | 4,432,500 | ||||||
Trinity Acquisition PLC | ||||||||
3.50%, 09/15/2021 | 200,000 | 207,341 | ||||||
UBS AG | ||||||||
4.75%, 05/22/2023 | 450,000 | 459,000 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
4.13%, 09/24/2025 (Acquired 09/21/2015 through 01/26/2016, Cost $3,200,041) (1) | 3,205,000 | 3,328,489 | ||||||
Unum Group | ||||||||
3.00%, 05/15/2021 | 290,000 | 297,147 | ||||||
3.88%, 11/05/2025 | 2,500,000 | 2,547,035 |
Ventas Realty LP | ||||||||
1.25%, 04/17/2017 | 3,500,000 | 3,500,994 | ||||||
VEREIT Operating Partnership LP | ||||||||
4.88%, 06/01/2026 | 150,000 | 153,750 | ||||||
Visa, Inc. | ||||||||
3.15%, 12/14/2025 | 1,170,000 | 1,251,496 | ||||||
4.30%, 12/14/2045 | 2,880,000 | 3,323,601 | ||||||
Voya Financial, Inc. | ||||||||
5.65%, 05/15/2053 | 1,832,000 | 1,726,660 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC | ||||||||
1.75%, 09/15/2017 (Acquired 06/03/2016, Cost $3,693,621) (1) | 3,690,000 | 3,700,332 | ||||||
2.70%, 09/17/2019 (Acquired 07/31/2015 through 06/01/2016, Cost $4,810,722) (1) | 4,789,000 | 4,881,854 | ||||||
3.25%, 10/05/2020 (Acquired 09/28/2015 through 01/06/2016, Cost $844,631) (1) | 845,000 | 879,471 | ||||||
3.75%, 09/17/2024 (Acquired 06/28/2016, Cost $1,642,518) (1) | 1,570,000 | 1,637,455 | ||||||
Wells Fargo & Co | ||||||||
2.60%, 07/22/2020 | 310,000 | 318,622 | ||||||
3.00%, 04/22/2026 | 6,747,000 | 6,877,365 | ||||||
5.88%, 12/31/2049 | 1,523,000 | 1,623,899 | ||||||
Welltower, Inc. | ||||||||
4.00%, 06/01/2025 | 4,690,000 | 4,931,526 | ||||||
4.25%, 04/01/2026 | 2,000,000 | 2,151,132 | ||||||
|
| |||||||
510,696,033 | ||||||||
|
| |||||||
Industrials - 1.79% | ||||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023 (Acquired 08/04/2015, Cost $728,983) (1) | 750,000 | 779,796 | ||||||
Amcor Finance USA, Inc. | ||||||||
3.63%, 04/28/2026 (Acquired 06/08/2016, Cost $1,005,489) (1) | 990,000 | 1,017,968 | ||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. | ||||||||
3.65%, 12/15/2019 (Acquired 09/21/2015, Cost $395,009) (1) | 400,000 | 401,500 | ||||||
3.88%, 05/15/2021 (Acquired 04/29/2016, Cost $199,015) (1) | 200,000 | 200,750 | ||||||
4.63%, 05/15/2023 (Acquired 05/02/2016, Cost $450,000) (1) | 450,000 | 443,250 | ||||||
Arrow Electronics, Inc. | ||||||||
4.00%, 04/01/2025 | 2,150,000 | 2,200,531 | ||||||
Autoridad del Canal de Panama | ||||||||
4.95%, 07/29/2035 (Acquired 09/24/2015, Cost $196,527) (1) | 200,000 | 216,000 | ||||||
Aviation Capital Group Corp. | ||||||||
6.75%, 04/06/2021 (Acquired 07/22/2015, Cost $2,706,709) (1) | 2,425,000 | 2,740,250 | ||||||
4.88%, 10/01/2025 (Acquired 06/28/2016, Cost $1,829,494) (1) | 1,855,000 | 1,820,664 | ||||||
Avnet, Inc. | ||||||||
4.63%, 04/15/2026 | 3,815,000 | 3,964,479 | ||||||
Ball Corp. | ||||||||
4.38%, 12/15/2020 | 2,862,000 | 3,010,466 |
Brambles USA, Inc. | ||||||||
4.13%, 10/23/2025 (Acquired 10/19/2015, Cost $833,086) (1) | 835,000 | 896,069 | ||||||
CCCI Treasure Ltd. | ||||||||
3.50%, 12/29/2049 | 200,000 | 202,919 | ||||||
CNH Industrial Capital LLC | ||||||||
3.63%, 04/15/2018 | 1,499,000 | 1,499,000 | ||||||
CRCC Yupeng Ltd. | ||||||||
3.95%, 02/28/2049 | 200,000 | 205,732 | ||||||
Embraer Overseas Ltd. | ||||||||
5.70%, 09/16/2023 (Acquired 07/13/2015, Cost $1,424,337) (1) | 1,350,000 | 1,387,125 | ||||||
Exelis, Inc. | ||||||||
4.25%, 10/01/2016 | 180,000 | 181,091 | ||||||
Flextronics International Ltd. | ||||||||
5.00%, 02/15/2023 | 2,095,000 | 2,173,563 | ||||||
FLIR Systems, Inc. | ||||||||
3.75%, 09/01/2016 | 1,402,000 | 1,408,291 | ||||||
General Electric Co. | ||||||||
5.00%, 12/29/2049 | 2,686,000 | 2,853,875 | ||||||
Hanson Ltd. | ||||||||
6.13%, 08/15/2016 | 2,235,000 | 2,237,794 | ||||||
Jabil Circuit, Inc. | ||||||||
4.70%, 09/15/2022 | 2,120,000 | 2,130,600 | ||||||
Keysight Technologies, Inc. | ||||||||
4.55%, 10/30/2024 | 3,100,000 | 3,160,162 | ||||||
Lockheed Martin Corp. | ||||||||
2.90%, 03/01/2025 | 3,635,000 | 3,757,161 | ||||||
3.55%, 01/15/2026 | 1,660,000 | 1,811,032 | ||||||
Martin Marietta Materials, Inc. | ||||||||
4.25%, 07/02/2024 | 1,235,000 | 1,315,990 | ||||||
Masco Corp. | ||||||||
3.50%, 04/01/2021 | 2,118,000 | 2,160,995 | ||||||
4.45%, 04/01/2025 | 4,700,000 | 4,864,970 | ||||||
NCI Building Systems, Inc. | ||||||||
8.25%, 01/15/2023 (Acquired 07/13/2015 through 07/22/2015, Cost $126,268) (1) | 120,000 | 128,975 | ||||||
Owens Corning | ||||||||
4.20%, 12/15/2022 | 35,000 | 37,327 | ||||||
4.20%, 12/01/2024 | 5,737,000 | 6,005,778 | ||||||
Penske Truck Leasing Co Lp / PTL Finance Corp. | ||||||||
3.38%, 03/15/2018 (Acquired 07/14/2015 through 05/19/2016, Cost $378,561) (1) | 371,000 | 380,841 | ||||||
2.50%, 06/15/2019 (Acquired 07/22/2015 through 06/08/2016, Cost $790,066) (1) | 793,000 | 801,640 | ||||||
4.25%, 01/17/2023 (Acquired 07/22/2015, Cost $720,498) (1) | 710,000 | 743,710 | ||||||
4.88%, 07/11/2022 (Acquired 05/31/2016 through 06/21/2016, Cost $1,046,805) (1) | 968,000 | 1,055,771 |
Reliance Intermediate Holdings LP | ||||||||
6.50%, 04/01/2023 (Acquired 07/13/2015 through 08/17/2015, Cost $227,633) (1) | 220,000 | 228,800 | ||||||
Republic Services, Inc. | ||||||||
2.90%, 07/01/2026 | 3,000,000 | 3,044,148 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
4.13%, 07/15/2021 (Acquired 06/13/2016, Cost $1,188,021) (1) | 1,200,000 | 1,203,000 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 2,140,000 | 2,212,694 | ||||||
SBA Tower Trust | ||||||||
2.90%, 10/15/2019 (Acquired 07/14/2015 through 07/30/2015, Cost $1,669,488) (1) | 1,650,000 | 1,672,928 | ||||||
2.88%, 07/15/2021 (Acquired 06/21/2016, Cost $3,000,000) (1) | 3,000,000 | 3,000,000 | ||||||
3.87%, 10/15/2024 (Acquired 09/02/2015, Cost $836,433) (1) | 830,000 | 849,612 | ||||||
Spirit AeroSystems, Inc. | ||||||||
3.85%, 06/15/2026 | 195,000 | 202,182 | ||||||
Trimble Navigation Ltd. | ||||||||
4.75%, 12/01/2024 | 3,641,000 | 3,797,214 | ||||||
Vulcan Materials Co. | ||||||||
7.00%, 06/15/2018 | 185,000 | 202,575 | ||||||
7.50%, 06/15/2021 | 1,125,000 | 1,351,462 | ||||||
4.50%, 04/01/2025 | 2,687,000 | 2,868,373 | ||||||
|
| |||||||
78,829,053 | ||||||||
|
| |||||||
Technology - 1.49% | ||||||||
Apple, Inc. | ||||||||
2.40%, 05/03/2023 | 2,780,000 | 2,830,741 | ||||||
4.38%, 05/13/2045 | 785,000 | 855,862 | ||||||
4.65%, 02/23/2046 | 1,250,000 | 1,408,260 | ||||||
Autodesk, Inc. | ||||||||
4.38%, 06/15/2025 | 4,610,000 | 4,820,525 | ||||||
Brocade Communications Systems Inc | ||||||||
1.38%, 01/01/2020 | 230,000 | 225,687 | ||||||
Cadence Design Systems, Inc. | ||||||||
4.38%, 10/15/2024 | 3,153,000 | 3,259,275 | ||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | ||||||||
6.02%, 06/15/2026 (Acquired 05/17/2016 through 06/27/2016, Cost $5,941,063) (1) | 5,915,000 | 6,136,830 | ||||||
Fidelity National Information Services, Inc. | ||||||||
3.63%, 10/15/2020 | 1,990,000 | 2,103,354 | ||||||
5.00%, 03/15/2022 | 655,000 | 682,477 | ||||||
4.50%, 10/15/2022 | 696,000 | 770,941 | ||||||
5.00%, 10/15/2025 | 4,208,000 | 4,779,278 | ||||||
First Data Corp. | ||||||||
5.38%, 08/15/2023 (Acquired 08/21/2015 through 09/25/2015, Cost $1,005,405) (1) | 1,000,000 | 1,015,510 | ||||||
7.00%, 12/01/2023 (Acquired 10/29/2015 through 06/30/2016, Cost $634,999) (1) | 635,000 | 644,525 | ||||||
5.00%, 01/15/2024 (Acquired 05/25/2016 through 06/02/2016, Cost $1,454,021) (1) | 1,450,000 | 1,453,625 |
Hewlett Packard Enterprise Co. | ||||||||
4.90%, 10/15/2025 (Acquired 09/30/2015 through 05/23/2016, Cost $4,821,216) (1) | 4,825,000 | 5,043,606 | ||||||
KLA-Tencor Corp. | ||||||||
4.65%, 11/01/2024 | 2,500,000 | 2,728,358 | ||||||
Microsoft Corp. | ||||||||
3.75%, 02/12/2045 | 650,000 | 661,006 | ||||||
4.45%, 11/03/2045 | 1,100,000 | 1,237,190 | ||||||
MSCI, Inc. | ||||||||
5.25%, 11/15/2024 (Acquired 06/22/2016, Cost $153,850) (1) | 150,000 | 153,375 | ||||||
5.75%, 08/15/2025 (Acquired 08/10/2015 through 06/21/2016, Cost $852,463) (1) | 834,000 | 865,275 | ||||||
Nuance Communications, Inc. | ||||||||
1.00%, 12/15/2035 (Acquired 05/19/2016 through 06/27/2016, Cost $2,975,225) (1) | 3,345,000 | 2,939,419 | ||||||
NXP BV / NXP Funding LLC | ||||||||
4.13%, 06/01/2021 (Acquired 05/18/2016, Cost $400,000) (1) | 400,000 | 406,000 | ||||||
ORACLE Corp. | ||||||||
2.40%, 09/15/2023 | 3,070,000 | 3,084,576 | ||||||
2.65%, 07/15/2026 | 5,500,000 | 5,506,287 | ||||||
Rovi Corp. | ||||||||
0.50%, 03/01/2020 | 970,000 | 916,650 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 01/01/2025 | 4,708,000 | 3,725,205 | ||||||
4.88%, 06/01/2027 | 2,498,000 | 2,063,790 | ||||||
5.75%, 12/01/2034 | 504,000 | 354,060 | ||||||
TSMC Global Ltd. | ||||||||
1.63%, 04/03/2018 (Acquired 07/13/2015 through 06/09/2016, Cost $3,303,117) (1) | 3,308,000 | 3,312,423 | ||||||
Western Digital Corp. | ||||||||
7.38%, 04/01/2023 (Acquired 03/30/2016 through 06/16/2016, Cost $1,054,998) (1) | 1,025,000 | 1,091,625 | ||||||
10.50%, 04/01/2024 (Acquired 03/30/2016 through 05/31/2016, Cost $513,678) (1) | 500,000 | 535,000 | ||||||
|
| |||||||
65,610,735 | ||||||||
|
| |||||||
Utilities - 1.61% | ||||||||
AEP Texas Central Co. | ||||||||
3.85%, 10/01/2025 (Acquired 09/15/2015, Cost $1,486,288) (1) | 1,500,000 | 1,634,733 | ||||||
Black Hills Corp. | ||||||||
2.50%, 01/11/2019 | 1,555,000 | 1,587,440 | ||||||
Cleco Power LLC | ||||||||
6.00%, 12/01/2040 | 1,000,000 | 1,257,952 | ||||||
Commonwealth Edison Co. | ||||||||
3.65%, 06/15/2046 | 3,610,000 | 3,698,232 | ||||||
Dominion Resources, Inc./VA | ||||||||
3.90%, 10/01/2025 | 2,480,000 | 2,657,967 | ||||||
Duke Energy Progress LLC | ||||||||
4.10%, 03/15/2043 | 900,000 | 984,289 | ||||||
4.20%, 08/15/2045 | 1,000,000 | 1,122,836 |
Duquesne Light Holdings, Inc. | ||||||||
6.40%, 09/15/2020 (Acquired 07/21/2015, Cost $450,647) (1) | 400,000 | 460,250 | ||||||
5.90%, 12/01/2021 (Acquired 10/01/2015, Cost $1,686,569) (1) | 1,500,000 | 1,719,700 | ||||||
Dynegy, Inc. | ||||||||
5.88%, 06/01/2023 | 207,000 | 182,160 | ||||||
Emera US Finance LP | ||||||||
2.70%, 06/15/2021 (Acquired 06/09/2016, Cost $3,396,727) (1) | 3,400,000 | 3,474,504 | ||||||
Enel Finance International NV | ||||||||
6.00%, 10/07/2039 (Acquired 07/22/2015, Cost $2,782,661) (1) | 2,445,000 | 2,890,102 | ||||||
Entergy Corp. | ||||||||
4.70%, 01/15/2017 | 1,000,000 | 1,014,082 | ||||||
5.13%, 09/15/2020 | 1,250,000 | 1,369,825 | ||||||
Exelon Corp. | ||||||||
2.85%, 06/15/2020 | 1,890,000 | 1,949,834 | ||||||
Exelon Generation Co. LLC | ||||||||
2.95%, 01/15/2020 | 1,355,000 | 1,393,948 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.35%, 01/15/2025 (Acquired 07/21/2015 through 08/06/2015, Cost $1,895,513) (1) | 1,850,000 | 1,956,741 | ||||||
Florida Power & Light Co. | ||||||||
4.05%, 10/01/2044 | 350,000 | 396,118 | ||||||
Indiana Michigan Power Co. | ||||||||
7.00%, 03/15/2019 | 1,397,000 | 1,587,203 | ||||||
Indianapolis Power & Light Co. | ||||||||
4.70%, 09/01/2045 (Acquired 09/08/2015, Cost $994,806) (1) | 1,000,000 | 1,127,454 | ||||||
IPALCO Enterprises, Inc. | ||||||||
5.00%, 05/01/2018 | 1,520,000 | 1,588,400 | ||||||
ITC Holdings Corp. | ||||||||
3.25%, 06/30/2026 | 2,000,000 | 2,002,928 | ||||||
Jersey Central Power & Light Co. | ||||||||
4.30%, 01/15/2026 (Acquired 06/28/2016, Cost $1,072,590) (1) | 1,000,000 | 1,069,060 | ||||||
4.70%, 04/01/2024 (Acquired 06/13/2016, Cost $163,470) (1) | 150,000 | 164,494 | ||||||
4.80%, 06/15/2018 | 2,000,000 | 2,096,530 | ||||||
Kansas City Power & Light Co. | ||||||||
3.65%, 08/15/2025 | 1,700,000 | 1,799,673 | ||||||
MidAmerican Energy Co. | ||||||||
4.25%, 05/01/2046 | 949,000 | 1,074,132 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.06%, 09/01/2017 | 1,000,000 | 1,007,037 | ||||||
Northern States Power Co/MN | ||||||||
4.00%, 08/15/2045 | 1,000,000 | 1,133,300 |
NRG Energy, Inc. | ||||||||
6.63%, 03/15/2023 | 625,000 | 615,625 | ||||||
Oncor Electric Delivery Co LLC | ||||||||
5.00%, 09/30/2017 | 862,000 | 900,160 | ||||||
Origin Energy Finance Ltd. | ||||||||
3.50%, 10/09/2018 (Acquired 08/05/2015, Cost $1,176,759) (1) | 1,160,000 | 1,167,097 | ||||||
Perusahaan Gas Negara Persero Tbk | ||||||||
5.13%, 05/16/2024 | 200,000 | 208,453 | ||||||
Perusahaan Gas Negara Persero Tbk PT | ||||||||
5.13%, 05/16/2024 | 800,000 | 833,812 | ||||||
PPL WEM Ltd. / Western Power Distribution Ltd. | ||||||||
5.38%, 05/01/2021 (Acquired 07/14/2015 through 06/20/2016, Cost $2,205,870) (1) | 1,991,000 | 2,217,166 | ||||||
Public Service Co. of New Mexico | ||||||||
3.85%, 08/01/2025 | 2,000,000 | 2,141,324 | ||||||
Puget Energy, Inc. | ||||||||
6.50%, 12/15/2020 | 2,903,000 | 3,381,934 | ||||||
Sempra Energy | ||||||||
2.85%, 11/15/2020 | 375,000 | 388,766 | ||||||
Southern Co./The | ||||||||
2.35%, 07/01/2021 | 3,306,000 | 3,371,013 | ||||||
2.95%, 07/01/2023 | 6,090,000 | 6,313,795 | ||||||
3.25%, 07/01/2026 | 3,424,000 | 3,559,549 | ||||||
Southwestern Electric Power Co. | ||||||||
6.20%, 03/15/2040 | 1,000,000 | 1,245,907 | ||||||
3.90%, 04/01/2045 | 400,000 | 397,130 | ||||||
|
| |||||||
71,142,655 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $1,380,662,321) | $ | 1,414,067,277 | ||||||
|
| |||||||
Government Related - 27.70% | ||||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | $ | 650,000 | $ | 1,012,804 | ||||
Bermuda Government International Bond | ||||||||
4.85%, 02/06/2024 (Acquired 05/25/2016, Cost $413,625) (1) | 385,000 | 411,950 | ||||||
City of New York NY | ||||||||
6.27%, 12/01/2037 | 2,050,000 | 2,936,072 | ||||||
East Bay Municipal Utility District Water System Revenue | ||||||||
5.87%, 06/01/2040 | 985,000 | 1,371,878 | ||||||
European Investment Bank | ||||||||
1.75%, 06/17/2019 | 2,850,000 | 2,910,448 | ||||||
Indonesia Government International Bond | ||||||||
4.75%, 01/08/2026 (Acquired 12/01/2015, Cost $298,865) (1) | 300,000 | 326,661 | ||||||
International Bank for Reconstruction & Development | ||||||||
4.50%, 08/03/2017 | COP 19,170,000,000 | 6,353,083 |
International Finance Corp. | ||||||||
7.80%, 06/03/2019 | INR 621,230,000 | 9,449,838 | ||||||
Metropolitan Transportation Authority | ||||||||
7.34%, 11/15/2039 | $ | 475,000 | 765,078 | |||||
Metropolitan Water Reclamation District of Greater Chicago | ||||||||
5.72%, 12/01/2038 | 1,000,000 | 1,294,210 | ||||||
Mexican Bonos | ||||||||
4.75%, 06/14/2018 | MXN 402,132 | 2,195,389 | ||||||
5.00%, 12/11/2019 | 1,281,000 | 6,957,866 | ||||||
6.50%, 06/10/2021 | 220,550 | 1,260,651 | ||||||
8.50%, 11/18/2038 | 6,895,000 | 469,139 | ||||||
7.75%, 11/13/2042 | 677,500 | 4,310,404 | ||||||
Mexican Udibonos | ||||||||
4.50%, 12/04/2025 | 16,462,482 | 1,026,456 | ||||||
Mexico Government International Bond | ||||||||
4.00%, 10/02/2023 | $ | 324,000 | 348,705 | |||||
3.60%, 01/30/2025 | 1,060,000 | 1,109,025 | ||||||
4.13%, 01/21/2026 | 915,000 | 991,631 | ||||||
Morocco Government International Bond | ||||||||
4.25%, 12/11/2022 (Acquired 07/22/2015 through 07/30/2015, Cost $506,009) (1) | 495,000 | 518,470 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 1,000,000 | 1,512,430 | ||||||
New York City Water & Sewer System | ||||||||
5.75%, 06/15/2041 | 240,000 | 338,352 | ||||||
5.95%, 06/15/2042 | 810,000 | 1,197,164 | ||||||
5.88%, 06/15/2044 | 500,000 | 724,500 | ||||||
New York State Dormitory Authority | ||||||||
3.88%, 07/01/2046 | 1,650,000 | 1,713,509 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.35%, 09/10/2024 | 400,000 | 413,000 | ||||||
Province of Manitoba Canada | ||||||||
3.05%, 05/14/2024 | 430,000 | 465,845 | ||||||
Province of Ontario Canada | ||||||||
3.15%, 12/15/2017 | 2,845,000 | 2,943,579 | ||||||
1.20%, 02/14/2018 | 9,850,000 | 9,902,333 | ||||||
2.50%, 09/10/2021 | 945,000 | 987,705 | ||||||
State Board of Administration Finance Corp. | ||||||||
2.16%, 07/01/2019 | 1,220,000 | 1,252,184 | ||||||
State of Texas | ||||||||
4.68%, 04/01/2040 | 410,000 | 515,058 |
United States Treasury Inflation Indexed Bonds | ||||||||
0.25%, 01/15/2025 (2) | 363,657 | 369,316 | ||||||
0.38%, 07/15/2025 (2) | 21,454,896 | 22,098,264 | ||||||
0.63%, 01/15/2026 (2) | 10,295,962 | 10,844,407 | ||||||
0.75%, 02/15/2045 (2) | 17,592,906 | 17,681,328 | ||||||
United States Treasury Note/Bond | ||||||||
0.63%, 06/30/2017 | 1,110,000 | 1,111,171 | ||||||
0.50%, 07/31/2017 | 32,500,000 | 32,493,662 | ||||||
0.63%, 07/31/2017 | 23,055,000 | 23,079,323 | ||||||
0.75%, 10/31/2017 | 58,875,000 | 59,024,484 | ||||||
0.75%, 02/28/2018 | 154,475,000 | 154,909,384 | ||||||
0.75%, 04/30/2018 | 83,780,000 | 84,028,743 | ||||||
0.88%, 05/31/2018 | 25,000,000 | 25,137,700 | ||||||
0.63%, 06/30/2018 | 25,000,000 | 25,011,725 | ||||||
1.00%, 09/15/2018 | 8,508,000 | 8,577,459 | ||||||
1.13%, 01/15/2019 | 6,706,000 | 6,782,227 | ||||||
0.75%, 02/15/2019 | 6,853,000 | 6,867,186 | ||||||
0.88%, 04/15/2019 | 3,383,000 | 3,399,519 | ||||||
0.88%, 05/15/2019 | 34,710,000 | 34,879,489 | ||||||
0.88%, 06/15/2019 | 10,668,000 | 10,720,924 | ||||||
1.63%, 07/31/2019 | 10,856,000 | 11,149,872 | ||||||
1.75%, 09/30/2019 | 7,728,000 | 7,970,103 | ||||||
1.50%, 10/31/2019 | 10,908,000 | 11,163,225 | ||||||
1.50%, 11/30/2019 | 27,623,000 | 28,269,323 | ||||||
1.38%, 09/30/2020 | 1,766,000 | 1,798,422 | ||||||
1.75%, 12/31/2020 | 18,211,000 | 18,840,554 | ||||||
1.38%, 01/31/2021 | 15,926,000 | 16,210,932 | ||||||
1.13%, 02/28/2021 | 30,479,000 | 30,695,675 | ||||||
1.25%, 03/31/2021 | 17,146,000 | 17,348,940 | ||||||
1.38%, 04/30/2021 | 21,500,000 | 21,874,573 | ||||||
1.38%, 05/31/2021 | 59,470,000 | 60,554,852 | ||||||
1.13%, 06/30/2021 | 94,854,000 | 95,335,669 | ||||||
2.00%, 08/31/2021 | 13,480,000 | 14,121,351 | ||||||
2.13%, 09/30/2021 | 6,586,000 | 6,942,052 | ||||||
1.38%, 06/30/2023 | 2,261,000 | 2,273,010 | ||||||
2.25%, 11/15/2024 | 3,735,000 | 3,985,798 | ||||||
2.00%, 08/15/2025 | 3,614,000 | 3,780,020 | ||||||
2.25%, 11/15/2025 | 18,983,000 | 20,263,612 | ||||||
1.63%, 02/15/2026 | 2,118,000 | 2,143,151 | ||||||
1.63%, 05/15/2026 | 50,395,000 | 51,040,661 | ||||||
3.75%, 11/15/2043 | 1,279,000 | 1,688,830 | ||||||
3.63%, 02/15/2044 | 9,293,000 | 11,990,507 | ||||||
3.38%, 05/15/2044 | 146,000 | 180,088 |
3.13%, 08/15/2044 | 11,995,000 | 14,128,802 | ||||||
3.00%, 11/15/2044 | 3,265,000 | 3,757,173 | ||||||
2.50%, 02/15/2045 | 1,447,000 | 1,507,932 | ||||||
3.00%, 05/15/2045 (5) | 36,102,000 | 41,532,824 | ||||||
2.88%, 08/15/2045 | 6,213,000 | 6,978,460 | ||||||
3.00%, 11/15/2045 | 2,274,000 | 2,616,965 | ||||||
2.50%, 02/15/2046 | 12,869,000 | 13,412,419 | ||||||
2.50%, 05/15/2046 | 98,548,000 | 102,809,413 | ||||||
University of California | ||||||||
4.13%, 05/15/2045 | 190,000 | 211,723 | ||||||
|
| |||||||
Total Government Related (Cost $1,195,354,379) | $ | 1,221,578,659 | ||||||
|
| |||||||
Mortgage-Backed Obligations - 28.30% | ||||||||
225 Liberty Street Trust 2016-225L | ||||||||
3.60%, 02/10/2036 (Acquired 02/17/2016, Cost $1,064,752) (1) | $ | 1,035,000 | $ | 1,122,767 | ||||
7 WTC Depositor LLC Trust | ||||||||
4.08%, 03/13/2031 (Acquired 06/17/2016, Cost $492,071) (1) | 482,128 | 487,862 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
6.00%, 12/25/2033 | 356,153 | 356,290 | ||||||
Alternative Loan Trust 2005-61 | ||||||||
0.83%, 12/25/2035 | 95,521 | 74,204 | ||||||
Alternative Loan Trust 2006-HY12 | ||||||||
3.46%, 08/25/2036 | 544,839 | 513,512 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/10/2030 (Acquired 06/09/2016, Cost $1,486,092) (1) | 1,430,000 | 1,497,419 | ||||||
Banc of America Commercial Mortgage Trust 2006-6 | ||||||||
5.42%, 10/10/2045 | 3,474,399 | 3,463,604 | ||||||
Banc of America Commercial Mortgage Trust 2007-3 | ||||||||
5.72%, 06/10/2049 | 468,735 | 471,106 | ||||||
Banc of America Commercial Mortgage Trust 2007-5 | ||||||||
5.49%, 02/10/2051 | 1,745,859 | 1,796,937 | ||||||
Banc of America Funding 2007-6 Trust | ||||||||
0.73%, 07/25/2037 | 157,815 | 132,482 | ||||||
0.74%, 07/25/2037 | 143,890 | 120,490 | ||||||
Banc of America Funding 2015-R7 Trust | ||||||||
1.33%, 09/26/2046 (Acquired 07/27/2015 through 09/25/2015, Cost $2,450,857) (1) | 2,555,460 | 2,460,923 | ||||||
Banc of America Funding 2015-R8 Trust | ||||||||
1.25%, 11/26/2046 (Acquired 09/28/2015, Cost $3,501,012) (1) | 3,718,745 | 3,470,976 | ||||||
Bear Stearns ALT-A Trust 2005-8 | ||||||||
0.99%, 10/25/2035 | 770,644 | 699,877 | ||||||
Bear Stearns ARM Trust 2003-3 | ||||||||
3.01%, 05/25/2033 | 1,331,080 | 1,324,292 |
Citigroup Commercial Mortgage Trust 2012-GC8 | ||||||||
1.81%, 09/10/2045 | 2,000,000 | 2,008,429 | ||||||
Citigroup Commercial Mortgage Trust 2013-375P | ||||||||
3.25%, 05/10/2035 (Acquired 02/11/2016, Cost $780,014) (1) | 760,000 | 806,432 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||
2.69%, 02/10/2048 | 1,700,000 | 1,767,178 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
3.78%, 09/10/2058 | 340,000 | 374,540 | ||||||
Citigroup Commercial Mortgage Trust 2015-P1 | ||||||||
3.72%, 09/15/2048 | 670,000 | 736,431 | ||||||
4.49%, 09/15/2048 | 660,000 | 673,570 | ||||||
Citigroup Commercial Mortgage Trust 2016-GC36 | ||||||||
3.62%, 02/10/2049 | 595,000 | 647,270 | ||||||
COBALT CMBS Commercial Mortgage Trust 2007-C2 | ||||||||
5.57%, 04/15/2047 | 238,691 | 236,894 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/10/2030 (Acquired 01/22/2016, Cost $774,650) (1) | 720,000 | 815,323 | ||||||
COMM 2013-SFS Mortgage Trust | ||||||||
3.09%, 04/12/2035 (Acquired 06/02/2016, Cost $1,488,186) (1) | 1,445,000 | 1,517,326 | ||||||
COMM 2014-277P Mortgage Trust | ||||||||
3.73%, 08/10/2049 (Acquired 05/10/2016, Cost $790,597) (1) | 735,000 | 800,996 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
4.88%, 08/10/2047 | 1,195,000 | 1,222,063 | ||||||
Comm 2014-UBS2 Mortgage Trust | ||||||||
5.15%, 03/10/2047 | 800,000 | 846,920 | ||||||
COMM 2015-3BP Mortgage Trust | ||||||||
3.18%, 02/10/2035 (Acquired 01/25/2016, Cost $776,371) (1) | 780,000 | 821,871 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.70%, 08/10/2055 | 2,020,000 | 2,212,696 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.76%, 08/10/2048 | 320,000 | 351,094 | ||||||
COMM 2015-CCRE26 Mortgage Trust | ||||||||
3.63%, 10/10/2048 | 905,000 | 979,928 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
3.15%, 07/10/2050 | 890,000 | 935,032 | ||||||
3.90%, 07/10/2050 | 515,000 | 566,099 | ||||||
4.29%, 07/10/2050 | 1,075,000 | 1,176,246 | ||||||
4.59%, 07/10/2050 | 440,000 | 443,939 | ||||||
COMM 2016-787S Mortgage Trust | ||||||||
3.55%, 02/10/2036 (Acquired 02/19/2016, Cost $781,873) (1) | 760,000 | 823,947 | ||||||
COMM 2016-CCRE28 Mortgage Trust | ||||||||
3.65%, 02/10/2049 | 395,000 | 419,946 | ||||||
3.76%, 02/10/2049 | 565,000 | 618,885 |
Core Industrial Trust 2015-TEXW | ||||||||
3.98%, 02/10/2034 (Acquired 06/08/2016, Cost $515,019) (1) | 542,000 | 515,635 | ||||||
CSAIL 2015-C4 Commercial Mortgage Trust | ||||||||
3.81%, 11/15/2048 | 295,000 | 324,884 | ||||||
CSAIL 2016-C6 Commercial Mortgage Trust | ||||||||
3.09%, 01/15/2049 | 840,000 | 868,303 | ||||||
CSMC Trust 2015-GLPB | ||||||||
3.64%, 11/15/2034 (Acquired 12/04/2015 through 02/22/2016, Cost $1,373,541) (1) | 1,330,000 | 1,437,289 | ||||||
3.94%, 11/15/2034 (Acquired 12/04/2015, Cost $572,314) (1) | 560,000 | 592,360 | ||||||
DBUBS 2011-LC3 Mortgage Trust | ||||||||
3.64%, 08/10/2044 | 317,930 | 317,827 | ||||||
Eleven Madison Trust 2015-11MD Mortgage Trust | ||||||||
3.67%, 09/10/2035 (Acquired 09/15/2015, Cost $217,774) (1) | 215,000 | 233,735 | ||||||
Fannie Mae | ||||||||
3.00%, 07/15/2027 (3) | 6,495,000 | 6,809,982 | ||||||
2.50%, 07/01/2027 (3) | 19,210,000 | 19,874,847 | ||||||
2.50%, 08/15/2027 (3) | 9,605,000 | 9,922,415 | ||||||
4.00%, 07/01/2040 (3) | 13,775,000 | 14,766,424 | ||||||
4.00%, 08/15/2040 (3) | 18,375,000 | 19,680,272 | ||||||
4.50%, 08/15/2040 (3) | 19,500,000 | 21,272,139 | ||||||
3.50%, 07/15/2041 (3) | 32,755,000 | 34,555,244 | ||||||
4.50%, 07/15/2041 (3) | 7,755,000 | 8,464,613 | ||||||
3.00%, 07/15/2042 (3) | 56,410,000 | 58,538,598 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
1.95%, 07/25/2025 | 315,714 | 316,613 | ||||||
1.95%, 07/25/2025 | 719,150 | 722,612 | ||||||
2.60%, 09/25/2028 | 555,088 | 561,667 | ||||||
Fannie Mae Pool | ||||||||
3.74%, 05/01/2018 | 1,169,547 | 1,213,971 | ||||||
4.52%, 08/01/2019 | 1,409,027 | 1,535,598 | ||||||
4.91%, 10/01/2019 | 1,801,486 | 1,990,446 | ||||||
3.54%, 10/01/2020 | 1,250,000 | 1,355,211 | ||||||
3.92%, 10/01/2020 | 257,833 | 282,012 | ||||||
3.76%, 12/01/2020 | 1,794,834 | 1,953,898 | ||||||
4.28%, 01/01/2021 | 1,391,570 | 1,539,642 | ||||||
4.30%, 07/01/2021 | 2,975,474 | 3,328,826 | ||||||
3.68%, 10/01/2021 | 1,185,076 | 1,299,261 | ||||||
3.02%, 04/01/2022 | 2,249,440 | 2,408,570 | ||||||
6.00%, 08/01/2022 | 609,345 | 663,354 | ||||||
2.40%, 10/01/2022 | 1,310,271 | 1,358,017 | ||||||
2.28%, 11/01/2022 | 1,648,783 | 1,708,145 |
3.67%, 08/01/2023 | 780,862 | 865,711 | ||||||
3.95%, 10/01/2024 | 719,163 | 813,909 | ||||||
2.81%, 04/01/2025 | 980,000 | 1,029,902 | ||||||
3.89%, 08/01/2025 | 1,470,000 | 1,653,802 | ||||||
4.15%, 12/01/2025 | 1,410,000 | 1,629,001 | ||||||
2.74%, 03/01/2026 | 1,535,000 | 1,603,808 | ||||||
4.59%, 08/01/2026 | 1,169,501 | 1,385,929 | ||||||
3.40%, 11/01/2026 | 2,838,653 | 3,126,670 | ||||||
4.19%, 11/01/2026 | 1,196,270 | 1,379,821 | ||||||
3.47%, 12/01/2026 | 3,000,000 | 3,299,287 | ||||||
3.00%, 01/01/2027 | 2,348,891 | 2,466,541 | ||||||
4.00%, 05/01/2027 | 1,930,984 | 2,057,919 | ||||||
3.28%, 02/01/2028 | 2,355,000 | 2,582,184 | ||||||
2.91%, 04/01/2028 | 2,020,000 | 2,134,364 | ||||||
2.82%, 05/01/2028 | 2,277,331 | 2,393,828 | ||||||
4.08%, 01/01/2029 | 1,437,934 | 1,658,013 | ||||||
4.00%, 03/01/2029 | 506,205 | 541,805 | ||||||
4.00%, 07/01/2029 | 513,162 | 546,816 | ||||||
3.00%, 09/01/2029 | 1,511,285 | 1,585,619 | ||||||
5.00%, 01/01/2030 | 1,276,339 | 1,416,137 | ||||||
3.00%, 05/01/2030 | 357,280 | 374,811 | ||||||
2.50%, 07/01/2030 | 1,803,228 | 1,870,465 | ||||||
2.50%, 07/01/2030 | 1,011,503 | 1,049,220 | ||||||
2.50%, 08/01/2030 | 2,542,616 | 2,637,403 | ||||||
3.55%, 08/01/2030 | 1,571,692 | 1,741,849 | ||||||
3.00%, 09/01/2030 | 4,115,633 | 4,330,631 | ||||||
2.50%, 01/01/2031 | 358,247 | 370,997 | ||||||
2.50%, 01/01/2031 | 5,641,489 | 5,842,278 | ||||||
3.00%, 02/01/2031 | 856,802 | 898,843 | ||||||
3.43%, 02/01/2031 | 2,755,000 | 3,020,473 | ||||||
2.97%, 05/01/2031 | 2,925,000 | 3,037,713 | ||||||
3.00%, 04/01/2033 | 12,652 | 13,309 | ||||||
3.50%, 05/01/2033 | 17,237,060 | 18,352,016 | ||||||
3.00%, 06/01/2033 | 22,214 | 23,350 | ||||||
3.00%, 10/01/2033 | 3,512,976 | 3,703,266 | ||||||
6.00%, 03/01/2034 | 3,927,781 | 4,556,113 | ||||||
5.50%, 05/01/2034 | 3,383,204 | 3,838,679 | ||||||
5.50%, 07/01/2034 | 827,912 | 940,452 | ||||||
5.00%, 02/01/2036 | 2,786,091 | 3,100,396 | ||||||
6.00%, 06/01/2036 | 27,524 | 31,557 | ||||||
5.50%, 07/01/2036 | 328,391 | 373,002 | ||||||
6.00%, 07/01/2038 | 2,610,841 | 3,006,616 |
6.00%, 10/01/2038 | 173,773 | 199,063 | ||||||
5.50%, 12/01/2039 | 653,951 | 738,836 | ||||||
5.50%, 03/01/2040 | 3,920,188 | 4,450,886 | ||||||
5.00%, 05/01/2040 | 70,692 | 78,417 | ||||||
6.50%, 05/01/2040 | 990,435 | 1,155,250 | ||||||
5.00%, 06/01/2040 | 21,591 | 23,998 | ||||||
4.50%, 08/01/2040 | 205,050 | 224,500 | ||||||
4.50%, 09/01/2040 | 79,280 | 86,894 | ||||||
4.00%, 11/01/2040 | 657,190 | 707,108 | ||||||
4.00%, 11/01/2040 | 179,950 | 193,562 | ||||||
4.00%, 12/01/2040 | 432,018 | 464,595 | ||||||
4.00%, 01/01/2041 | 330,060 | 354,865 | ||||||
4.50%, 01/01/2041 | 13,587,189 | 15,167,869 | ||||||
4.50%, 01/01/2041 | 45,534 | 49,908 | ||||||
4.00%, 02/01/2041 | 1,423,191 | 1,530,583 | ||||||
4.00%, 02/01/2041 | 323,220 | 347,556 | ||||||
4.50%, 02/01/2041 | 718,445 | 787,343 | ||||||
4.50%, 04/01/2041 | 169,376 | 185,664 | ||||||
5.50%, 06/01/2041 | 743,401 | 852,109 | ||||||
4.50%, 08/01/2041 | 84,658 | 92,765 | ||||||
5.00%, 08/01/2041 | 677,488 | 754,998 | ||||||
4.00%, 09/01/2041 | 641,067 | 689,369 | ||||||
4.50%, 11/01/2041 | 1,459,492 | 1,599,941 | ||||||
4.50%, 11/01/2041 | 5,773,609 | 6,443,593 | ||||||
4.00%, 01/01/2042 | 94,114 | 101,068 | ||||||
4.00%, 01/01/2042 | 5,535,987 | 5,950,463 | ||||||
4.00%, 02/01/2042 | 155,498 | 167,023 | ||||||
5.50%, 02/01/2042 | 3,151,242 | 3,559,658 | ||||||
5.00%, 03/01/2042 | 1,177,391 | 1,312,403 | ||||||
3.50%, 06/01/2042 | 164,587 | 175,374 | ||||||
3.50%, 06/01/2042 | 110,935 | 118,193 | ||||||
3.50%, 07/01/2042 | 301,454 | 321,214 | ||||||
3.50%, 07/01/2042 | 152,479 | 162,460 | ||||||
3.50%, 08/01/2042 | 302,881 | 322,730 | ||||||
4.50%, 11/01/2042 | 360,481 | 399,097 | ||||||
2.50%, 12/01/2042 | 396,778 | 401,769 | ||||||
3.50%, 12/01/2042 | 2,881,082 | 3,066,932 | ||||||
3.50%, 12/01/2042 | 1,372,274 | 1,452,779 | ||||||
2.50%, 01/01/2043 | 5,825,295 | 5,898,565 | ||||||
3.00%, 01/01/2043 | 20,154 | 20,986 | ||||||
3.50%, 01/01/2043 | 441,776 | 470,779 | ||||||
3.00%, 02/01/2043 | 23,330 | 24,295 |
3.00%, 03/01/2043 | 18,018 | 18,766 | ||||||
3.00%, 03/01/2043 | 39,335 | 40,966 | ||||||
2.50%, 04/01/2043 | 512,994 | 519,446 | ||||||
3.00%, 04/01/2043 | 1,296,773 | 1,348,674 | ||||||
3.00%, 04/01/2043 | 20,627 | 21,483 | ||||||
3.50%, 04/01/2043 | 181,414 | 191,809 | ||||||
3.00%, 05/01/2043 | 994,586 | 1,034,302 | ||||||
3.00%, 06/01/2043 | 18,739,436 | 19,487,590 | ||||||
3.50%, 06/01/2043 | 1,443,808 | 1,526,551 | ||||||
3.50%, 06/01/2043 | 3,363,220 | 3,555,954 | ||||||
3.50%, 07/01/2043 | 231,009 | 244,247 | ||||||
3.50%, 07/01/2043 | 318,210 | 336,447 | ||||||
3.50%, 07/01/2043 | 192,390 | 203,415 | ||||||
3.50%, 07/01/2043 | 191,267 | 202,228 | ||||||
3.50%, 07/01/2043 | 179,678 | 189,612 | ||||||
3.00%, 08/01/2043 | 471,419 | 490,937 | ||||||
3.00%, 08/01/2043 | 12,832,816 | 13,376,524 | ||||||
3.00%, 08/01/2043 | 265,883 | 276,382 | ||||||
3.50%, 08/01/2043 | 179,193 | 189,463 | ||||||
3.50%, 08/01/2043 | 320,077 | 337,745 | ||||||
3.50%, 08/01/2043 | 209,259 | 220,810 | ||||||
3.50%, 08/01/2043 | 189,595 | 200,361 | ||||||
3.50%, 09/01/2043 | 309,186 | 326,848 | ||||||
3.50%, 09/01/2043 | 264,284 | 279,416 | ||||||
3.50%, 09/01/2043 | 359,946 | 380,383 | ||||||
3.50%, 09/01/2043 | 208,758 | 220,721 | ||||||
3.50%, 09/01/2043 | 353,213 | 372,711 | ||||||
3.50%, 09/01/2043 | 204,430 | 216,007 | ||||||
3.50%, 09/01/2043 | 232,916 | 246,116 | ||||||
3.50%, 10/01/2043 | 4,845,297 | 5,121,966 | ||||||
4.00%, 12/01/2043 | 7,303,617 | 7,826,403 | ||||||
3.50%, 01/01/2044 | 580,166 | 618,253 | ||||||
3.00%, 02/01/2044 | 68,579 | 71,286 | ||||||
4.50%, 06/01/2044 | 1,336,574 | 1,459,785 | ||||||
4.50%, 06/01/2044 | 4,937,522 | 5,402,531 | ||||||
4.50%, 08/01/2044 | 1,656,187 | 1,811,548 | ||||||
3.00%, 09/01/2044 | 94,903 | 98,841 | ||||||
5.00%, 11/01/2044 | 6,574,888 | 7,313,021 | ||||||
4.50%, 02/01/2045 | 1,313,044 | 1,434,299 | ||||||
3.00%, 04/01/2045 | 43,954 | 45,777 | ||||||
3.00%, 05/01/2045 | 2,099,501 | 2,185,394 | ||||||
3.50%, 05/01/2045 | 4,539,434 | 4,810,875 |
3.50%, 05/01/2045 | 1,559,697 | 1,658,202 | ||||||
4.00%, 05/01/2045 | 22,305,505 | 24,532,899 | ||||||
4.50%, 05/01/2045 | 270,936 | 304,697 | ||||||
3.00%, 06/01/2045 | 7,531,848 | 7,865,534 | ||||||
4.50%, 06/01/2045 | 597,484 | 667,339 | ||||||
3.00%, 07/01/2045 | 9,049,817 | 9,459,128 | ||||||
4.00%, 07/01/2045 | 2,077,895 | 2,228,673 | ||||||
4.00%, 09/01/2045 | 320,788 | 344,072 | ||||||
4.00%, 09/01/2045 | 4,110,809 | 4,489,259 | ||||||
4.50%, 09/01/2045 | 15,262,991 | 17,103,158 | ||||||
3.50%, 10/01/2045 | 620,296 | 657,294 | ||||||
4.00%, 10/01/2045 | 331,561 | 355,631 | ||||||
4.00%, 10/01/2045 | 2,412,948 | 2,638,173 | ||||||
4.50%, 10/01/2045 | 1,140,243 | 1,278,076 | ||||||
4.50%, 10/01/2045 | 2,426,724 | 2,729,125 | ||||||
3.50%, 11/01/2045 | 8,857,980 | 9,350,119 | ||||||
4.00%, 11/01/2045 | 2,968,329 | 3,183,969 | ||||||
3.50%, 12/01/2045 | 610,586 | 653,561 | ||||||
3.50%, 12/01/2045 | 2,468,480 | 2,605,839 | ||||||
4.00%, 12/01/2045 | 285,960 | 308,695 | ||||||
4.00%, 12/01/2045 | 2,004,439 | 2,174,562 | ||||||
4.00%, 12/01/2045 | 841,782 | 926,572 | ||||||
4.00%, 12/01/2045 | 2,005,515 | 2,164,959 | ||||||
3.50%, 01/01/2046 | 168,959 | 178,367 | ||||||
4.00%, 01/01/2046 | 3,497,936 | 3,752,410 | ||||||
4.00%, 01/01/2046 | 20,834,451 | 22,847,362 | ||||||
3.50%, 02/01/2046 | 772,639 | 815,643 | ||||||
4.50%, 02/01/2046 | 1,889,980 | 2,124,835 | ||||||
4.50%, 02/01/2046 | 792,106 | 889,091 | ||||||
3.50%, 03/01/2046 | 4,123,578 | 4,352,881 | ||||||
4.00%, 04/01/2046 | 11,912,200 | 13,133,080 | ||||||
4.50%, 04/01/2046 | 1,961,502 | 2,221,693 | ||||||
3.50%, 05/01/2046 | 1,452,824 | 1,539,840 | ||||||
4.00%, 05/01/2046 | 24,727,642 | 27,173,499 | ||||||
Fannie Mae-Aces | ||||||||
0.76%, 10/25/2021 | 932,092 | 929,881 | ||||||
FHLMC Multifamily Structured Pass Through Certificates | ||||||||
1.00%, 07/25/2020 | 1,600,530 | 1,604,299 | ||||||
1.08%, 07/25/2020 | 1,844,039 | 1,847,684 | ||||||
3.51%, 04/25/2030 | 1,415,000 | 1,568,149 | ||||||
Freddie Mac Gold Pool | ||||||||
2.50%, 07/01/2030 | 2,221,565 | 2,299,553 |
3.00%, 01/01/2031 | 1,156,417 | 1,214,033 | ||||||
3.00%, 03/01/2031 | 1,399,181 | 1,468,892 | ||||||
5.50%, 08/01/2041 | 12,670,677 | 14,474,164 | ||||||
4.00%, 09/01/2041 | 21,753,943 | 23,913,114 | ||||||
5.00%, 11/01/2041 | 2,126,182 | 2,357,392 | ||||||
5.00%, 03/01/2042 | 682,425 | 767,463 | ||||||
4.50%, 07/01/2042 | 1,389,397 | 1,523,791 | ||||||
3.00%, 02/01/2043 | 125,218 | 130,287 | ||||||
3.00%, 02/01/2043 | 1,288,201 | 1,338,180 | ||||||
3.00%, 03/01/2043 | 22,771 | 23,692 | ||||||
3.00%, 03/01/2043 | 48,552 | 50,519 | ||||||
3.50%, 10/01/2043 | 1,473,102 | 1,553,685 | ||||||
3.50%, 01/01/2044 | 1,667,034 | 1,759,455 | ||||||
4.50%, 05/01/2044 | 716,198 | 795,587 | ||||||
4.00%, 01/01/2045 | 3,452,371 | 3,770,511 | ||||||
3.50%, 06/01/2045 | 1,054,749 | 1,127,044 | ||||||
4.50%, 06/01/2045 | 1,182,973 | 1,330,553 | ||||||
4.00%, 07/01/2045 | 1,247,416 | 1,335,796 | ||||||
3.50%, 08/01/2045 | 5,587,668 | 5,981,832 | ||||||
3.50%, 10/01/2045 | 7,147,316 | 7,637,225 | ||||||
4.00%, 11/01/2045 | 3,451,565 | 3,695,947 | ||||||
4.00%, 12/01/2045 | 6,997,116 | 7,621,883 | ||||||
4.00%, 12/01/2045 | 5,193,908 | 5,562,157 | ||||||
3.00%, 01/01/2046 | 4,951,191 | 5,136,584 | ||||||
3.50%, 01/01/2046 | 2,740,462 | 2,895,562 | ||||||
4.00%, 01/01/2046 | 1,844,591 | 1,975,326 | ||||||
3.00%, 02/01/2046 | 2,835,894 | 2,942,082 | ||||||
4.00%, 02/01/2046 | 2,935,899 | 3,143,982 | ||||||
4.50%, 02/01/2046 | 1,172,117 | 1,318,351 | ||||||
4.50%, 02/01/2046 | 18,092,636 | 20,269,896 | ||||||
3.50%, 03/01/2046 | 12,102,934 | 12,788,350 | ||||||
3.50%, 03/01/2046 | 17,016,028 | 18,183,644 | ||||||
3.50%, 03/01/2046 | 6,492,420 | 6,859,070 | ||||||
3.00%, 04/01/2046 | 4,921,431 | 5,105,710 | ||||||
3.50%, 04/01/2046 | 1,245,734 | 1,316,573 | ||||||
4.00%, 04/01/2046 | 2,516,093 | 2,694,423 | ||||||
3.50%, 05/01/2046 | 941,513 | 997,566 | ||||||
3.50%, 05/01/2046 | 10,717,027 | 11,326,597 | ||||||
3.00%, 06/01/2046 | 10,620,000 | 11,017,657 | ||||||
3.50%, 06/01/2046 | 12,315,000 | 13,015,630 | ||||||
3.00%, 07/01/2046 | 6,235,000 | 6,468,464 |
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
2.65%, 02/25/2024 | 600,000 | 608,069 | ||||||
2.10%, 04/25/2024 | 3,000,000 | 2,999,999 | ||||||
2.85%, 08/25/2024 | 481,686 | 485,373 | ||||||
3.10%, 10/25/2024 | 700,000 | 708,768 | ||||||
2.85%, 01/25/2025 | 705,000 | 710,712 | ||||||
2.65%, 03/25/2025 | 2,160,000 | 2,168,874 | ||||||
2.40%, 05/25/2025 | 720,000 | 714,201 | ||||||
2.30%, 10/25/2027 | 950,000 | 949,097 | ||||||
3.05%, 12/25/2027 | 2,700,000 | 2,751,721 | ||||||
3.10%, 03/25/2028 | 795,000 | 813,446 | ||||||
3.30%, 04/25/2028 | 2,245,000 | 2,307,937 | ||||||
3.25%, 05/25/2028 | 580,000 | 593,892 | ||||||
3.35%, 07/25/2028 | 325,000 | 335,133 | ||||||
2.45%, 12/25/2028 | 955,000 | 961,361 | ||||||
FREMF 2015-K47 Mortgage Trust | ||||||||
3.72%, 06/25/2048 (Acquired 07/24/2015, Cost $647,791) (1) | 700,000 | 669,265 | ||||||
FREMF 2015-K48 Mortgage Trust | ||||||||
3.76%, 08/25/2048 (Acquired 09/16/2015, Cost $482,818) (1) | 535,000 | 508,574 | ||||||
FREMF 2015-K718 Mortgage Trust | ||||||||
3.67%, 02/25/2022 (Acquired 07/14/2015 through 07/29/2015, Cost $904,808) (1) | 925,000 | 906,372 | ||||||
GAHR Commercial Mortgage Trust 2015-NRF | ||||||||
3.49%, 12/15/2034 (Acquired 07/13/2015, Cost $1,239,519) (1) | 1,250,000 | 1,244,263 | ||||||
Ginnie Mae | ||||||||
4.50%, 07/15/2041 (3) | 2,015,000 | 2,162,544 | ||||||
4.00%, 07/15/2042 (3) | 5,370,000 | 5,740,026 | ||||||
3.00%, 07/15/2045 (3) | 39,540,000 | 41,325,476 | ||||||
3.50%, 07/15/2045 (3) | 17,820,000 | 18,910,083 | ||||||
Ginnie Mae I Pool | ||||||||
7.50%, 08/15/2033 | 575,646 | 692,199 | ||||||
5.50%, 02/15/2039 | 434,489 | 500,211 | ||||||
5.00%, 09/15/2039 | 84,942 | 96,154 | ||||||
5.00%, 10/15/2039 | 725,152 | 814,207 | ||||||
5.00%, 12/15/2039 | 1,011,064 | 1,134,362 | ||||||
5.00%, 02/15/2040 | 124,124 | 141,845 | ||||||
5.00%, 02/15/2040 | 124,124 | 141,906 | ||||||
5.00%, 06/15/2040 | 389,991 | 441,320 | ||||||
4.50%, 05/15/2041 | 879,311 | 1,009,185 | ||||||
3.00%, 10/15/2042 | 352,800 | 368,640 | ||||||
3.50%, 12/15/2042 | 18,802 | 20,097 | ||||||
3.00%, 12/15/2042 | 51,344 | 53,756 | ||||||
3.50%, 01/15/2043 | 24,390 | 26,067 | ||||||
3.00%, 05/15/2043 | 177,174 | 185,506 |
3.00%, 06/15/2043 | 17,243 | 18,019 | ||||||
3.00%, 06/15/2043 | 17,082 | 17,850 | ||||||
3.50%, 10/15/2043 | 90,374 | 96,541 | ||||||
4.50%, 05/15/2044 | 15,999,005 | 17,864,412 | ||||||
5.00%, 07/15/2044 | 351,437 | 398,943 | ||||||
4.50%, 09/15/2045 | 354,795 | 391,612 | ||||||
3.00%, 02/20/2046 | 206,963 | 216,518 | ||||||
3.00%, 02/20/2046 | 213,004 | 222,839 | ||||||
3.00%, 04/20/2046 | 114,630 | 119,918 | ||||||
Ginnie Mae II Pool | ||||||||
5.00%, 05/20/2040 | 406,267 | 452,022 | ||||||
5.00%, 06/20/2040 | 215,292 | 239,485 | ||||||
5.00%, 08/20/2040 | 165,831 | 184,485 | ||||||
5.00%, 09/20/2040 | 138,145 | 153,685 | ||||||
4.00%, 10/20/2040 | 142,983 | 154,073 | ||||||
3.00%, 07/20/2042 | 2,918,613 | 3,060,581 | ||||||
3.00%, 08/20/2042 | 95,479 | 100,123 | ||||||
3.50%, 08/20/2042 | 36,429 | 38,821 | ||||||
3.50%, 09/20/2042 | 7,017,350 | 7,478,057 | ||||||
3.50%, 12/20/2042 | 14,538 | 15,493 | ||||||
2.50%, 12/20/2042 | 320,614 | 329,029 | ||||||
3.50%, 01/20/2043 | 2,617,529 | 2,789,380 | ||||||
3.50%, 02/20/2043 | 39,919 | 42,540 | ||||||
3.50%, 05/20/2043 | 19,157 | 20,411 | ||||||
2.50%, 06/20/2043 | 390,257 | 400,502 | ||||||
3.50%, 09/20/2043 | 269,679 | 287,305 | ||||||
3.50%, 10/20/2044 | 77,586 | 82,394 | ||||||
5.00%, 12/20/2044 | 515,057 | 586,540 | ||||||
2.50%, 01/20/2045 | 2,822,542 | 2,893,454 | ||||||
3.50%, 05/20/2045 | 27,411 | 29,109 | ||||||
5.50%, 06/20/2045 | 674,981 | 749,077 | ||||||
3.50%, 10/20/2045 | 184,103 | 196,540 | ||||||
3.50%, 10/20/2045 | 139,727 | 149,168 | ||||||
4.00%, 10/20/2045 | 2,000,167 | 2,139,418 | ||||||
4.00%, 12/20/2045 | 2,364,699 | 2,530,578 | ||||||
2.50%, 06/20/2045 | 1,123,579 | 1,147,860 | ||||||
4.00%, 11/20/2045 | 5,058,962 | 5,412,846 | ||||||
4.00%, 01/20/2046 | 4,025,761 | 4,308,200 | ||||||
3.50%, 02/20/2046 | 1,145,629 | 1,220,678 | ||||||
3.50%, 02/20/2046 | 2,120,826 | 2,267,080 | ||||||
3.50%, 03/20/2046 | 4,338,138 | 4,611,743 | ||||||
2.50%, 04/20/2046 | 1,668,162 | 1,704,260 |
3.00%, 04/20/2046 | 1,595,550 | 1,669,759 | ||||||
3.50%, 04/20/2046 | 4,983,693 | 5,297,725 | ||||||
3.50%, 05/20/2046 | 126,850 | 135,598 | ||||||
3.50%, 05/20/2046 | 24,964 | 26,686 | ||||||
3.50%, 05/20/2046 | 24,946 | 26,667 | ||||||
3.50%, 05/20/2046 | 12,230,040 | 13,001,002 | ||||||
4.50%, 05/20/2046 | 3,181,046 | 3,422,154 | ||||||
3.00%, 06/20/2046 | 8,770,000 | 9,177,895 | ||||||
3.50%, 06/20/2046 | 17,110,000 | 18,189,485 | ||||||
3.50%, 06/20/2046 | 138,000 | 147,517 | ||||||
Government National Mortgage Association | ||||||||
3.50%, 03/20/2039 IO | 2,176,523 | 183,076 | ||||||
4.39%, 10/16/2040 | 68,534 | 68,583 | ||||||
3.50%, 05/20/2043 IO | 426,278 | 77,470 | ||||||
GS Mortgage Securities Corp. II | ||||||||
2.77%, 11/10/2045 | 2,420,000 | 2,529,583 | ||||||
GS Mortgage Securities Corp. Trust 2013-NYC5 | ||||||||
3.77%, 01/10/2030 (Acquired 08/20/2015, Cost $331,388) (1) | 330,000 | 328,047 | ||||||
GS Mortgage Securities Trust 2011-GC3 | ||||||||
5.82%, 03/10/2044 (Acquired 09/11/2015, Cost $363,969) (1) | 340,000 | 360,732 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
5.55%, 08/10/2044 (Acquired 01/25/2016, Cost $219,595) (1) | 220,000 | 218,066 | ||||||
GS Mortgage Securities Trust 2015-GC34 | ||||||||
3.51%, 10/10/2048 | 540,000 | 583,034 | ||||||
3.91%, 10/10/2048 | 170,000 | 184,579 | ||||||
GS Mortgage Securities Trust 2016-GS2 | ||||||||
3.05%, 05/10/2049 | 935,000 | 979,820 | ||||||
HarborView Mortgage Loan Trust 2006-12 | ||||||||
0.64%, 01/19/2038 | 479,000 | 396,920 | ||||||
Hilton USA Trust 2013-HLT | ||||||||
4.41%, 11/05/2030 (Acquired 07/22/2015 through 06/07/2016, Cost $1,918,782) (1) | 1,903,000 | 1,914,294 | ||||||
4.60%, 11/05/2030 (Acquired 08/26/2015, Cost $1,372,576) (1) | 1,366,000 | 1,374,581 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 | ||||||||
5.55%, 05/12/2045 | 138,707 | 138,574 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17 | ||||||||
5.43%, 12/12/2043 | 2,003,858 | 2,017,778 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
5.34%, 05/15/2047 | 1,662,297 | 1,677,017 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19 | ||||||||
5.89%, 02/12/2049 | 1,675,000 | 1,705,325 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 | ||||||||
5.79%, 02/12/2051 | 883,644 | 917,421 |
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11 | ||||||||
5.93%, 06/15/2049 | 1,655,000 | 1,655,247 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
6.20%, 02/15/2051 | 1,650,000 | 1,710,539 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2010-CNTR | ||||||||
4.31%, 08/05/2032 (Acquired 07/14/2015 through 09/18/2015, Cost $2,371,543) (1) | 2,195,000 | 2,366,603 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 | ||||||||
4.72%, 02/15/2046 (Acquired 08/25/2015, Cost $1,205,475) (1) | 1,100,000 | 1,220,620 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | ||||||||
3.15%, 08/15/2046 | 1,637,622 | 1,637,629 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 | ||||||||
2.21%, 05/15/2045 | 1,223,324 | 1,228,421 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC | ||||||||
3.09%, 07/05/2032 (Acquired 09/14/2015, Cost $783,595) (1) | 775,000 | 814,615 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO | ||||||||
2.24%, 01/15/2032 (Acquired 05/25/2016, Cost $286,852) (1) | 289,000 | 287,006 | ||||||
3.74%, 01/15/2032 (Acquired 07/13/2015, Cost $1,200,000) (1) | 1,200,000 | 1,190,213 | ||||||
4.39%, 01/15/2032 (Acquired 05/25/2016, Cost $5,122,551) (1) | 5,161,000 | 5,086,558 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP | ||||||||
3.19%, 07/15/2036 (Acquired 09/28/2015, Cost $250,000) (1) | 250,000 | 249,844 | ||||||
4.94%, 07/15/2036 (Acquired 09/28/2015 through 02/23/2016, Cost $884,212) (1) | 887,000 | 879,230 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES | ||||||||
3.74%, 09/05/2032 (Acquired 10/07/2015, Cost $560,717) (1) | 590,000 | 568,030 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-ATRM | ||||||||
2.96%, 10/05/2028 (Acquired 02/04/2016, Cost $829,028) (1) | 830,000 | 846,836 | ||||||
JP Morgan Resecuritization Trust Series 2014-6 | ||||||||
0.66%, 07/27/2046 (Acquired 08/18/2015 through 09/18/2015, Cost $3,190,448) (1) | 3,357,176 | 3,118,014 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C22 | ||||||||
3.80%, 09/15/2047 | 335,000 | 367,607 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C28 | ||||||||
3.99%, 10/15/2048 | 1,200,000 | 1,176,255 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30 | ||||||||
3.09%, 07/15/2048 | 15,000 | 15,817 | ||||||
3.82%, 07/15/2048 | 1,440,000 | 1,585,001 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C31 | ||||||||
3.80%, 08/15/2048 | 5,065,000 | 5,572,439 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1 | ||||||||
5.28%, 02/15/2041 | 4,506,200 | 4,461,305 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1 | ||||||||
5.48%, 02/15/2040 | 544,019 | 547,010 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2 | ||||||||
5.49%, 02/15/2040 | 1,000,000 | 1,014,323 |
LB-UBS Commercial Mortgage Trust 2007-C6 | ||||||||
6.11%, 07/15/2040 | 565,000 | 582,633 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7 | ||||||||
6.45%, 09/15/2045 | 485,951 | 486,114 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | ||||||||
2.50%, 04/25/2029 | 1,691,135 | 1,652,235 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | ||||||||
1.97%, 08/15/2045 | 5,795,871 | 5,834,247 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | ||||||||
1.86%, 02/15/2046 | 2,005,000 | 2,018,063 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | ||||||||
4.46%, 08/15/2047 | 1,140,000 | 1,236,109 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | ||||||||
3.73%, 05/15/2048 | 3,035,000 | 3,328,749 | ||||||
4.04%, 05/15/2048 | 45,000 | 49,030 | ||||||
4.50%, 05/15/2048 | 85,000 | 90,037 | ||||||
4.50%, 05/15/2048 | 55,000 | 51,519 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | ||||||||
3.64%, 10/15/2048 | 305,000 | 332,811 | ||||||
Morgan Stanley Capital I Trust 2007-IQ14 | ||||||||
5.87%, 04/15/2049 | 1,660,000 | 1,657,355 | ||||||
Morgan Stanley Capital I Trust 2011-C3 | ||||||||
3.22%, 07/15/2049 | 1,090,409 | 1,091,196 | ||||||
Morgan Stanley Resecuritization Trust 2013-R10 | ||||||||
2.78%, 01/26/2051 (Acquired 07/24/2015, Cost $1,661,224) (1) | 1,646,879 | 1,636,916 | ||||||
Nomura Resecuritization Trust 2015-7R | ||||||||
2.66%, 08/26/2036 (Acquired 08/20/2015, Cost $2,410,187) (1) | 2,380,816 | 2,417,323 | ||||||
Palisades Ctr Tr 2016-plsd | ||||||||
2.71%, 04/13/2033 (Acquired 04/20/2016, Cost $640,000) (1) | 640,000 | 649,920 | ||||||
RBS Commercial Funding, Inc. 2013-GSP Trust | ||||||||
3.96%, 01/13/2032 (Acquired 01/19/2016 through 05/03/2016, Cost $1,670,912) (1) | 1,565,000 | 1,723,868 | ||||||
Sequoia Mortgage Trust 2003-2 | ||||||||
1.11%, 06/20/2033 | 1,723,854 | 1,623,737 | ||||||
Sequoia Mortgage Trust 2004-9 | ||||||||
1.61%, 10/20/2034 | 2,722,965 | 2,601,931 | ||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE | ||||||||
3.87%, 01/05/2043 (Acquired 05/03/2016, Cost $1,326,433) (1) | 1,375,000 | 1,358,818 | ||||||
Springleaf Mortgage Loan Trust 2013-1 | ||||||||
1.27%, 06/25/2058 (Acquired 08/04/2015, Cost $1,484,687) (1) | 1,485,961 | 1,482,773 | ||||||
Starwood Retail Property Trust 2014-STAR | ||||||||
2.94%, 11/15/2027 (Acquired 07/22/2015 through 09/08/2015, Cost $2,206,995) (1) | 2,206,000 | 2,154,575 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
2.72%, 03/25/2034 | 1,117,949 | 1,110,439 |
Structured Asset Mortgage Investments Trust 2003-AR3 | ||||||||
1.13%, 11/19/2033 | 1,539,617 | 1,462,319 | ||||||
Towd Point Mortgage Trust 2015-3 | ||||||||
3.00%, 03/25/2054 (Acquired 07/23/2015, Cost $523,415) (1) | 523,263 | 533,457 | ||||||
Towd Point Mortgage Trust 2015-4 | ||||||||
2.75%, 04/25/2055 (Acquired 09/25/2015, Cost $594,318) (1) | 594,538 | 601,769 | ||||||
Towd Point Mortgage Trust 2015-5 | ||||||||
2.75%, 05/25/2055 (Acquired 10/23/2015, Cost $540,832) (1) | 539,936 | 546,639 | ||||||
Towd Point Mortgage Trust 2016-1 | ||||||||
2.75%, 02/25/2055 (Acquired 03/18/2016, Cost $533,068) (1) | 533,697 | 540,743 | ||||||
3.00%, 02/25/2055 (Acquired 03/18/2016, Cost $635,810) (1) | 635,523 | 644,196 | ||||||
Towd Point Mortgage Trust 2016-2 | ||||||||
2.75%, 08/25/2055 (Acquired 05/20/2016, Cost $388,144) (1) | 388,140 | 393,393 | ||||||
Trust Company of the West | ||||||||
2.68%, 08/28/2028 | 4,220,000 | 4,252,969 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 | ||||||||
5.04%, 05/10/2063 (Acquired 07/24/2015, Cost $2,760,653) (1) | 2,750,000 | 2,630,393 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C30 | ||||||||
5.38%, 12/15/2043 | 1,000,000 | 1,017,289 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31 | ||||||||
5.66%, 04/15/2047 | 5,786,863 | 5,799,744 | ||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C33 | ||||||||
6.15%, 02/15/2051 | 1,063,282 | 1,054,503 | ||||||
Wachovia Cmbs 2007-c34 | ||||||||
6.14%, 05/15/2046 | 455,129 | 450,586 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust | ||||||||
1.23%, 01/25/2045 | 264,812 | 230,983 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | ||||||||
0.77%, 08/25/2045 | 3,645,114 | 3,350,632 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | ||||||||
0.74%, 10/25/2045 | 2,815,471 | 2,603,295 | ||||||
0.94%, 10/25/2045 | 302,901 | 255,092 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | ||||||||
0.71%, 11/25/2045 | 2,209,579 | 2,011,550 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust | ||||||||
0.80%, 12/25/2045 | 1,938,566 | 1,693,834 | ||||||
0.95%, 12/25/2045 | 243,214 | 196,005 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR8 | ||||||||
0.91%, 07/25/2045 | 924,295 | 820,397 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C30 | ||||||||
3.66%, 09/15/2058 | 1,280,000 | 1,397,147 |
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.77%, 07/15/2058 | 2,980,000 | 3,268,459 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 | ||||||||
3.79%, 12/15/2047 | 500,000 | 550,154 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 | ||||||||
3.10%, 06/15/2049 | 1,135,000 | 1,183,435 | ||||||
WF-RBS Commercial Mortgage Trust 2011-C2 | ||||||||
5.79%, 02/15/2044 (Acquired 09/02/2015 through 09/14/2015, Cost $1,503,606) (1) | 1,405,000 | 1,462,201 | ||||||
WFRBS Commercial Mortgage Trust 2011-C5 | ||||||||
5.85%, 11/15/2044 (Acquired 01/26/2016, Cost $120,194) (1) | 115,000 | 123,548 | ||||||
WFRBS Commercial Mortgage Trust 2012-C7 | ||||||||
4.99%, 06/15/2045 (Acquired 11/23/2015 through 12/03/2015, Cost $353,520) (1) | 360,000 | 345,242 | ||||||
WFRBS Commercial Mortgage Trust 2013-C18 | ||||||||
3.65%, 12/15/2046 | 320,000 | 343,830 | ||||||
WFRBS Commercial Mortgage Trust 2014-C22 | ||||||||
4.07%, 09/15/2057 | 4,250,000 | 4,650,068 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $1,235,014,367) | $ | 1,247,955,586 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $4,068,248,077) | $ | 4,140,932,649 | ||||||
|
| |||||||
Bank Loans - 1.02% | ||||||||
Americold Realty Trust, Inc. | ||||||||
5.40%, 12/01/2022 | $ | 325,000 | $ | 326,219 | ||||
Ancestry.com, Inc. | ||||||||
4.65%, 08/29/2022 | 548,618 | 544,849 | ||||||
Aramark Services, Inc. | ||||||||
3.15%, 09/07/2019 | 1,145,368 | 1,145,368 | ||||||
Asurion LLC | ||||||||
4.65%, 08/04/2022 | 2,226,965 | 2,193,003 | ||||||
4.15%, 07/08/2020 | 425,568 | 414,928 | ||||||
Avago Technologies Cayman Finance Ltd. | ||||||||
4.15%, 02/01/2023 | 2,936,640 | 2,938,020 | ||||||
Charter Communications | ||||||||
2.90%, 07/01/2020 | 556,565 | 552,046 | ||||||
2.90%, 12/31/2020 | 2,044,023 | 2,030,737 | ||||||
3.40%, 01/24/2023 | 3,276,683 | 3,276,683 | ||||||
DaVita HealthCare Partners, Inc. | ||||||||
3.40%, 06/24/2021 | 835,868 | 836,913 | ||||||
Examworks | ||||||||
4.40%, 06/17/2023 | 1,100,000 | 1,096,909 | ||||||
First Data Corp. | ||||||||
4.65%, 03/24/2021 | 625,000 | 622,137 | ||||||
4.4%, 07/10/2022 | 2,741,874 | 2,714,455 |
HCA, Inc. | ||||||||
3.40%, 05/01/2018 | 1,901,210 | 1,901,648 | ||||||
Hilton Worldwide Finance LLC | ||||||||
3.15%, 10/26/2020 | 2,440,000 | 2,440,000 | ||||||
HUB International Ltd. | ||||||||
3.65%, 10/02/2020 | 1,098,661 | 1,077,599 | ||||||
Intelsat Jackson Holdings SA | ||||||||
3.40%, 06/30/2019 | 420,000 | 381,885 | ||||||
J.C. Penny | ||||||||
0.00%, 06/09/2023 | 450,000 | 446,346 | ||||||
Kronos, Inc./MA | ||||||||
4.15%, 10/30/2019 | 2,399,943 | 2,391,543 | ||||||
Level 3 Financing, Inc. | ||||||||
3.40%, 05/31/2022 | 2,879,000 | 2,866,045 | ||||||
Match Group, Inc. | ||||||||
5.15%, 11/16/2022 | 280,312 | 281,481 | ||||||
MPH Acquisition Holdings LLC | ||||||||
0.00%, 06/30/2023 | 250,000 | 250,563 | ||||||
Nielsen Finance LLC | ||||||||
3.65%, 04/15/2021 | 681,000 | 681,851 | ||||||
Nord Anglia Education Finance LLC | ||||||||
4.65%, 03/31/2021 | 1,824,300 | 1,814,048 | ||||||
Petsmart | ||||||||
3.90%, 03/11/2022 | 2,525,065 | 2,512,136 | ||||||
PTL Acquisition, Inc. | ||||||||
3.40%, 04/12/2021 | 557,000 | 556,538 | ||||||
Shearer’s Foods | ||||||||
0.00%, 06/18/2021 | 500,000 | 485,000 | ||||||
0.00%, 06/29/2021 (6) | 581,040 | 568,937 | ||||||
T-Mobile USA, Inc. | ||||||||
3.40%, 11/09/2022 | 2,571,639 | 2,578,480 | ||||||
Univision Communications | ||||||||
3.65%, 03/01/2020 | 841,811 | 836,398 | ||||||
US Renal Care, Inc. | ||||||||
4.90%, 12/31/2022 | 1,625,000 | 1,621,961 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
4.65%, 02/13/2019 | 116,376 | 112,849 | ||||||
4.90%, 04/01/2022 | 457,167 | 444,467 | ||||||
Western Digital | ||||||||
6.15%, 03/16/2023 | 1,350,000 | 1,354,226 | ||||||
YUM! Brands | ||||||||
0.00%, 06/06/2023 | 734,000 | 734,000 | ||||||
|
| |||||||
Total Bank Loans (Cost $45,260,184) | $ | 45,030,268 | ||||||
|
|
Shares | Value | |||||||
PREFERRED STOCKS - 0.26% | ||||||||
Financials - 0.24% | ||||||||
Citigroup Capital XIII, 7.01% | 153,150 | $ | 3,992,620 | |||||
Discover Financial Services, 6.50% | 102,575 | 2,712,083 | ||||||
Morgan Stanley, 6.88% | 72,775 | 2,091,554 | ||||||
Morgan Stanley, 7.13% | 45,400 | 1,347,018 | ||||||
Wells Fargo & Co., 6.63% | 22,475 | 668,856 | ||||||
|
| |||||||
10,812,131 | ||||||||
|
| |||||||
Industrials - 0.02% | ||||||||
General Electric Capital Corp., 4.70% | 26,350 | 698,538 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $11,210,044) | $ | 11,510,669 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 14.08% | ||||||||
Money Market Funds - 14.05% | ||||||||
Fidelity Institutional Money Market Government Funds - Class I, 0.25% (4)(7) | 284,840,192 | $ | 284,840,192 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund - Class I, 0.16% (4)(7) | 334,937,558 | 334,937,558 | ||||||
|
| |||||||
619,777,750 | ||||||||
|
| |||||||
Principal | ||||||||
Amount | Value | |||||||
United States Treasury Bills - 0.03% | ||||||||
United States Treasury Bill, 0.00%, 07/21/2016 (5) | 520,000 | 519,947 | ||||||
United States Treasury Bill, 0.00%, 09/15/2016 (5) | 620,000 | 619,717 | ||||||
United States Treasury Bill, 0.00%, 09/29/2016 (5) | 120,000 | 119,922 | ||||||
|
| |||||||
1,259,586 | ||||||||
|
| |||||||
Total Short-Term Investments (Cost $621,037,305) | $ | 621,037,336 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 109.25% | 4,818,510,922 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.25)% | (408,084,829 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 4,410,426,093 | ||||||
|
|
Percentages are stated as a percent of net assets.
IO | Interest Only Strip. |
(1) | Restricted security as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities total $479,008,668, which represents 10.86% of total net assets. |
(2) | Inflation protected security. The value of these securities total $50,993,315 which represents 1.16% of total net assets. |
(3) | Delayed delivery purchase commitment security. The value of these securities total $262,022,663, which represents 5.94% of total net assets. |
(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 and swap contracts. The value of the pledged issues total $2,216,559, which represents 0.05% of total net assets. |
(6) | Securitiy is treated as illiquid by the Fund. The value of these securities total $1,393,179, which represents 0.03% of the total net assets. |
(7) | Represents annualized seven-day yield as of the close of the reporting period. |
Open Futures Contracts
Number of Contracts Purchased (Sold) | Description | Counterparty | Settlement Month | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
148 | U.S. 2 Year Note Future | Citigroup | Sep. 2016 | $ | 32,245,894 | $ | 32,460,563 | $ | 214,669 | |||||||||
102 | U.S. 2 Year Note Future | Goldman Sachs | Sep. 2016 | 22,217,009 | 22,371,468 | 154,459 | ||||||||||||
(248) | U.S. Note 5 Year Note Future | Goldman Sachs | Sep. 2016 | (29,739,820 | ) | (30,296,687 | ) | (556,867 | ) | |||||||||
668 | U.S. Note 5 Year Note Future | Citigroup | Sep. 2016 | 80,965,718 | 81,605,594 | 639,876 | ||||||||||||
(259) | U.S. 10 Year Note Future | Goldman Sachs | Sep. 2016 | (33,828,813 | ) | (34,442,953 | ) | (614,140 | ) | |||||||||
251 | U.S. Long Bond Future | Goldman Sachs | Sep. 2016 | 41,814,408 | 43,258,281 | 1,443,873 | ||||||||||||
9 | U.S. Long Bond Future | Goldman Sachs | Sep. 2016 | 1,570,655 | 1,677,375 | 106,720 | ||||||||||||
|
| |||||||||||||||||
$ | 1,388,590 | |||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Over-the-Counter
Purchase Contracts | Counterparty | Currency | Currency Amount Purchased | Value at Settlement Date | Value at June 30, 2016 | Unrealized Appreciation | ||||||||||||||||
Mexican Peso, Expiring 7/5/16 | Merrill Lynch | MXN | 23,910,000 | $ | 1,287,561 | $ | 1,307,194 | $ | 19,633 | |||||||||||||
Mexican Peso, Expiring 7/5/16 | Merrill Lynch | MXN | 39,035,000 | 2,063,106 | 2,134,100 | 70,994 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 3,350,667 | $ | 3,441,294 | $ | 90,627 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Sales Contracts | Counterparty | Currency | Currency Amount Sold | Value at Settlement Date | Value at June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Mexican Peso, Expiring 7/5/16 | Royal Bank of Scotland | MXN | (24,460,000 | ) | ($ | 1,310,088 | ) | ($ | 1,337,263 | ) | ($ | 27,175 | ) | |||||||||
Mexican Peso, Expiring 7/5/16 | Morgan Stanley | MXN | (38,485,000 | ) | (2,194,290 | ) | (2,104,030 | ) | 90,260 | |||||||||||||
Mexican Peso, Expiring 7/29/16 | Merrill Lynch | MXN | (31,080,000 | ) | (1,638,938 | ) | (1,695,260 | ) | (56,322 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||
($ | 5,143,316 | ) | ($ | 5,136,553 | ) | $ | 6,763 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
($ | 1,792,649 | ) | ($ | 1,695,259 | ) | $ | 97,390 | |||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps - Buy Protection
Counterparty | Reference Entity | Fixed Annual Rate Paid By Fund | Maturity Date | Credit Spread | Notional Amount | Upfront Premium Received | Unrealized Depreciation | |||||||||||||||||
J.P. Morgan | Markit CDX North America High Yield Index Series 26 | 5.00 | % | 06/20/2021 | 4.69 | % | $ | 2,000,000 | $ | (25,875 | ) | $ | (34,619 | ) | ||||||||||
Centrally Cleared Credit Default Swaps - Sell Protection | ||||||||||||||||||||||||
Counterparty | Reference Entity | Fixed Annual Rate Received By Fund | Maturity Date | Credit Spread | Notional Amount | Upfront Premium Paid | Unrealized Appreciation | |||||||||||||||||
J.P. Morgan | Markit CDX North America Investment Grade Index Series 26 | 1.00 | % | 06/20/2021 | 0.78 | % | $ | 11,400,000 | $ | 86,407 | $ | 28,370 | ||||||||||||
Over-the-Counter Credit Default Swaps - Sell Protection | ||||||||||||||||||||||||
Counterparty | Reference Entity | Fixed Annual Rate Received By Fund | Maturity Date | Credit Spread | Notional Amount | Upfront Premium Received | Unrealized Depreciation | |||||||||||||||||
Goldman Sachs | Markit CMBX North America AAA CDSI Series 9 | 0.50 | % | 09/17/2058 | 1.09 | % | 4,000,000 | (195,497 | ) | (9,047 | ) |
Bridge Builder Municipal Bond Fund
Schedule of Investments
June 30, 2016
Principal | ||||||||
Amount | Value | |||||||
MUNICIPAL BONDS - 97.59% | ||||||||
Alabama - 1.06% | ||||||||
County of Jefferson AL Sewer Revenue | ||||||||
5.00%, 10/01/2044 | $ | 1,500,000 | $ | 1,760,895 | ||||
5.25%, 10/01/2048 | 1,500,000 | 1,747,530 | ||||||
Industrial Development Board of the City of Mobile Alabama | ||||||||
1.63%, 07/15/2034 | 11,500,000 | 11,630,525 | ||||||
Montgomery Medical Clinic Board | ||||||||
5.00%, 03/01/2019 | 1,500,000 | 1,633,545 | ||||||
5.00%, 03/01/2029 | 1,000,000 | 1,166,500 | ||||||
Selma Industrial Development Board | ||||||||
5.80%, 05/01/2034 | 2,275,000 | 2,652,445 | ||||||
5.38%, 12/01/2035 | 215,000 | 247,695 | ||||||
|
| |||||||
20,839,135 | ||||||||
|
| |||||||
Alaska - 0.23% | ||||||||
City of Valdez AK | ||||||||
5.00%, 01/01/2021 | 4,000,000 | 4,607,080 | ||||||
|
| |||||||
Arizona - 2.21% | ||||||||
Arizona Health Facilities Authority | ||||||||
5.00%, 01/01/2020 | 2,000,000 | 2,279,840 | ||||||
5.00%, 02/01/2042 | 2,000,000 | 2,214,540 | ||||||
City of Phoenix Civic Improvement Corp. | ||||||||
5.25%, 07/01/2017 | 2,750,000 | 2,876,665 | ||||||
County of Pima AZ | ||||||||
4.00%, 07/01/2022 | 13,160,000 | 15,216,382 | ||||||
County of Pima AZ Sewer System Revenue | ||||||||
5.00%, 07/01/2022 | 10,000,000 | 12,181,200 | ||||||
Glendale Industrial Development Authority | ||||||||
5.00%, 12/01/2027 | 1,000,000 | 1,060,060 | ||||||
5.00%, 12/01/2032 | 1,050,000 | 1,113,063 |
McAllister Academic Village LLC | ||||||||
5.00%, 07/01/2021 | 200,000 | 236,444 | ||||||
5.00%, 07/01/2026 | 600,000 | 775,362 | ||||||
Mohave County Arizone Unified School District Revenue Bonds | ||||||||
5.00%, 07/01/2024 | 1,800,000 | 2,204,622 | ||||||
Peoria Industrial Development Authority | ||||||||
5.00%, 11/15/2019 | 220,000 | 226,981 | ||||||
Salt Verde Financial Corp. | ||||||||
5.00%, 12/01/2037 | 2,500,000 | 3,238,975 | ||||||
|
| |||||||
43,624,134 | ||||||||
|
| |||||||
Arkansas - 0.04% | ||||||||
Benton Washington Regional Public Water Authority | ||||||||
0.55%, 10/01/2016 | 740,000 | 738,712 | ||||||
|
| |||||||
California - 5.06% | ||||||||
Abag Finance Authority for Nonprofit Corps | ||||||||
5.00%, 08/01/2033 | 1,300,000 | 1,579,786 | ||||||
Acalanes Union High School District | ||||||||
5.00%, 08/01/2018 | 1,160,000 | 1,264,562 | ||||||
Alameda Corridor Transportation Authority | ||||||||
5.00%, 10/01/2036 | 2,500,000 | 3,056,225 | ||||||
5.00%, 10/01/2037 | 2,000,000 | 2,440,940 | ||||||
California Health Facilities Financing Authority | ||||||||
5.63%, 07/01/2025 | 2,130,000 | 2,431,970 | ||||||
California Pollution Control Financing Authority | ||||||||
0.90%, 08/01/2023 (Acquired 04/29/2016, Cost $4,500,000) (1) | 4,500,000 | 4,500,045 | ||||||
California State Public Works Board | ||||||||
4.00%, 05/01/2017 | 11,315,000 | 11,631,707 | ||||||
5.00%, 05/01/2018 | 8,200,000 | 8,850,260 | ||||||
5.00%, 05/01/2018 | 7,065,000 | 7,625,254 | ||||||
5.00%, 11/01/2037 | 235,000 | 280,033 | ||||||
California Statewide Communities Development Authority | ||||||||
5.00%, 10/01/2028 | 1,100,000 | 1,274,361 | ||||||
5.00%, 05/15/2040 | 400,000 | 482,612 | ||||||
5.38%, 11/01/2049 | 100,000 | 113,427 | ||||||
Campbell Union High School District | ||||||||
5.00%, 08/01/2021 | 275,000 | 287,818 | ||||||
City of San Jose CA | ||||||||
0.95%, 12/01/2017 | 5,000,000 | 4,999,300 |
Golden State Tobacco Securitization Corp. | ||||||||
4.50%, 06/01/2027 | 3,785,000 | 3,856,499 | ||||||
5.00%, 06/01/2040 | 2,000,000 | 2,436,040 | ||||||
5.75%, 06/01/2047 | 3,000,000 | 3,067,170 | ||||||
Los Angeles County Public Works Financing Authority | ||||||||
5.00%, 12/01/2029 | 1,200,000 | 1,526,016 | ||||||
5.00%, 12/01/2030 | 2,520,000 | 3,189,715 | ||||||
Mendocino-Lake Community College District | ||||||||
5.00%, 08/01/2027 | 1,700,000 | 2,146,811 | ||||||
5.00%, 08/01/2028 | 1,000,000 | 1,259,030 | ||||||
5.00%, 08/01/2029 | 775,000 | 969,145 | ||||||
5.00%, 08/01/2030 | 2,530,000 | 3,142,437 | ||||||
Orange County Community Facilities District | ||||||||
5.25%, 08/15/2045 | 1,000,000 | 1,172,910 | ||||||
Orchard School District | ||||||||
0.00%, 08/01/2022 | 2,940,000 | 2,675,400 | ||||||
Port of Los Angeles | ||||||||
4.00%, 08/01/2017 | 1,000,000 | 1,036,840 | ||||||
Sacramento City Financing Authority | ||||||||
5.00%, 12/01/2033 | 875,000 | 1,079,549 | ||||||
Sacramento Municipal Utility District | ||||||||
5.00%, 08/15/2028 | 1,475,000 | 1,985,601 | ||||||
State of California | ||||||||
5.00%, 08/01/2017 | 5,000,000 | 5,237,450 | ||||||
5.00%, 09/01/2018 | 4,000,000 | 4,367,720 | ||||||
5.00%, 08/01/2019 | 1,000,000 | 1,129,040 | ||||||
5.00%, 08/01/2023 | 3,000,000 | 3,765,810 | ||||||
5.00%, 08/01/2027 | 620,000 | 793,681 | ||||||
4.00%, 09/01/2035 | 3,625,000 | 4,194,270 | ||||||
|
| |||||||
99,849,434 | ||||||||
|
| |||||||
Colorado - 0.61% | ||||||||
City & County of Denver CO Airport System Revenue | ||||||||
5.50%, 11/15/2016 | 1,210,000 | 1,231,272 | ||||||
Colorado Health Facilities Authority | ||||||||
5.00%, 02/01/2020 | 1,210,000 | 1,373,362 | ||||||
5.00%, 12/01/2022 | 1,855,000 | 2,231,083 |
5.00%, 10/01/2038 | 630,000 | 734,473 | ||||||
1.56%, 10/01/2039 | 2,000,000 | 2,000,600 | ||||||
5.25%, 01/01/2045 | 510,000 | 588,540 | ||||||
6.13%, 12/01/2045 (Acquired 11/20/2015, Cost $276,264) (1) | 275,000 | 289,740 | ||||||
Park Creek Metropolitan District | ||||||||
5.00%, 12/01/2045 | 500,000 | 582,280 | ||||||
Sierra Ridge Metropolitan District No 2 | ||||||||
4.50%, 12/01/2031 | 750,000 | 765,233 | ||||||
5.50%, 12/01/2046 | 1,500,000 | 1,593,135 | ||||||
University of Colorado | ||||||||
5.00%, 06/01/2047 | 500,000 | 618,435 | ||||||
|
| |||||||
12,008,153 | ||||||||
|
| |||||||
Connecticut - 4.26% | ||||||||
City of Hartford CT | ||||||||
5.00%, 04/01/2018 | 2,885,000 | 3,078,439 | ||||||
5.00%, 08/15/2019 | 1,700,000 | 1,893,188 | ||||||
5.00%, 07/15/2021 | 3,300,000 | 3,824,073 | ||||||
5.00%, 07/15/2022 | 2,250,000 | 2,655,135 | ||||||
5.00%, 07/15/2023 | 2,000,000 | 2,404,460 | ||||||
5.00%, 07/15/2026 | 2,430,000 | 2,990,893 | ||||||
City of West Haven CT | ||||||||
5.00%, 08/01/2021 | 2,495,000 | 2,910,418 | ||||||
Connecticut State Health & Educational Facility Authority | ||||||||
1.00%, 07/01/2042 | 10,000,000 | 10,029,400 | ||||||
1.00%, 07/01/2042 | 18,000,000 | 18,052,920 | ||||||
Mohegan Tribe of Indians of Connecticut | ||||||||
5.25%, 02/01/2022 (Acquired 11/25/2015, Cost $943,657) (1)(2) | 955,000 | 963,433 | ||||||
State of Connecticut | ||||||||
5.00%, 08/01/2019 | 20,380,000 | 22,759,161 | ||||||
5.00%, 09/01/2022 | 5,725,000 | 6,868,569 | ||||||
5.00%, 08/01/2031 | 4,625,000 | 5,658,872 | ||||||
|
| |||||||
84,088,961 | ||||||||
|
| |||||||
Delaware - 0.10% | ||||||||
Delaware State Economic Development Authority | ||||||||
5.40%, 02/01/2031 | 500,000 | 573,495 | ||||||
5.00%, 09/01/2036 | 500,000 | 581,240 | ||||||
5.00%, 09/01/2046 | 700,000 | 799,330 | ||||||
|
| |||||||
1,954,065 | ||||||||
|
|
District of Columbia - 0.35% | ||||||||
Metropolitan Washington Airports Authority | ||||||||
5.00%, 10/01/2019 | 1,400,000 | 1,575,952 | ||||||
5.00%, 10/01/2023 | 850,000 | 1,042,151 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | ||||||||
0.00%, 10/01/2041 | 2,000,000 | 2,733,960 | ||||||
Washington Metropolitan Area Transit Authority | ||||||||
4.00%, 07/01/2019 | 1,425,000 | 1,513,792 | ||||||
|
| |||||||
6,865,855 | ||||||||
|
| |||||||
Florida - 7.26% | ||||||||
Alachua County Health Facilities Authority | ||||||||
6.38%, 11/15/2049 | 300,000 | 336,363 | ||||||
Central Florida Expressway Authority | ||||||||
5.00%, 07/01/2017 | 2,105,000 | 2,193,999 | ||||||
City of Jacksonville FL | ||||||||
5.00%, 10/01/2021 | 1,165,000 | 1,388,342 | ||||||
City of Lakeland FL Department of Electric Utilities | ||||||||
5.00%, 10/01/2017 | 5,200,000 | 5,483,296 | ||||||
City of Tallahassee FL | ||||||||
5.00%, 12/01/2026 | 1,380,000 | 1,718,500 | ||||||
City of Tampa FL | ||||||||
5.00%, 04/01/2040 | 1,115,000 | 1,283,365 | ||||||
County of Broward FL Airport System Revenue | ||||||||
5.00%, 10/01/2016 | 1,885,000 | 1,904,151 | ||||||
5.00%, 10/01/2029 | 500,000 | 608,950 | ||||||
5.00%, 10/01/2042 | 110,000 | 127,783 | ||||||
County of Hillsborough FL | ||||||||
5.00%, 11/01/2025 | 1,775,000 | 2,293,761 | ||||||
County of Miami-Dade FL Aviation Revenue | ||||||||
5.75%, 10/01/2020 | 615,000 | 710,768 | ||||||
5.25%, 10/01/2021 | 3,000,000 | 3,156,570 | ||||||
5.25%, 10/01/2022 | 5,000,000 | 5,260,350 | ||||||
5.00%, 10/01/2031 | 3,000,000 | 3,436,080 | ||||||
5.00%, 10/01/2035 | 1,000,000 | 1,173,630 | ||||||
County of Miami-Dade Seaport Department | ||||||||
0.42%, 10/01/2050 | 10,000,000 | 10,000,000 |
Florida Department of Environmental Protection | ||||||||
5.00%, 07/01/2018 | 5,000,000 | 5,419,150 | ||||||
5.00%, 07/01/2019 | 300,000 | 336,633 | ||||||
Florida Housing Finance Corp. | ||||||||
0.60%, 09/01/2016 | 3,500,000 | 3,500,175 | ||||||
Florida’s Turnpike Enterprise | ||||||||
5.00%, 07/01/2017 | 2,000,000 | 2,087,200 | ||||||
Greater Orlando Aviation Authority | ||||||||
5.00%, 10/01/2031 | 2,000,000 | 2,435,800 | ||||||
5.00%, 10/01/2033 | 2,000,000 | 2,415,520 | ||||||
Hernando County School District | ||||||||
5.00%, 07/01/2024 | 805,000 | 1,004,640 | ||||||
5.00%, 07/01/2025 | 1,000,000 | 1,265,350 | ||||||
JEA Electric System Revenue | ||||||||
5.00%, 10/01/2020 | 4,400,000 | 5,136,120 | ||||||
Marion County School Board | ||||||||
5.00%, 06/01/2026 | 1,435,000 | 1,803,092 | ||||||
Martin County Health Facilities Authority | ||||||||
5.00%, 11/15/2023 | 800,000 | 963,440 | ||||||
Miami-Dade County Educational Facilities Authority | ||||||||
5.00%, 04/01/2040 | 2,000,000 | 2,411,040 | ||||||
Miami-Dade County Expressway Authority | ||||||||
5.00%, 07/01/2019 | 1,250,000 | 1,399,875 | ||||||
Miami-Dade County Industrial Development Authority | ||||||||
4.00%, 09/15/2019 | 480,000 | 507,086 | ||||||
Palm Beach County Health Facilities Authority | ||||||||
7.50%, 06/01/2049 | 100,000 | 123,456 | ||||||
Palm Beach County School District | ||||||||
5.00%, 08/01/2030 | 4,520,000 | 5,635,310 | ||||||
5.00%, 08/01/2032 | 3,000,000 | 3,712,200 | ||||||
Reedy Creek Improvement District | ||||||||
5.00%, 06/01/2021 | 1,855,000 | 2,200,327 | ||||||
5.00%, 06/01/2023 | 2,740,000 | 3,411,300 | ||||||
5.00%, 06/01/2027 | 1,500,000 | 1,941,345 | ||||||
5.00%, 06/01/2035 | 2,865,000 | 3,580,877 | ||||||
School Board of Miami-Dade County/The | ||||||||
5.00%, 05/01/2025 | 3,000,000 | 3,816,030 | ||||||
5.00%, 02/01/2030 | 500,000 | 626,090 | ||||||
5.00%, 05/01/2031 | 5,000,000 | 6,107,650 |
School District of Broward County/FL | ||||||||
5.00%, 07/01/2021 | 4,000,000 | 4,727,120 | ||||||
Seminole Tribe of Florida, Inc. | ||||||||
5.50%, 10/01/2024 (Acquired 09/15/2015 through 09/30/2015, Cost $3,630,134) (1) | 3,500,000 | 3,651,795 | ||||||
South Broward Hospital District | ||||||||
5.00%, 05/01/2019 | 2,195,000 | 2,444,967 | ||||||
5.00%, 05/01/2021 | 2,035,000 | 2,401,259 | ||||||
State of Florida | ||||||||
5.00%, 06/01/2017 | 3,135,000 | 3,261,309 | ||||||
5.00%, 06/01/2017 | 2,500,000 | 2,600,725 | ||||||
5.00%, 06/01/2018 | 3,500,000 | 3,790,220 | ||||||
5.00%, 06/01/2019 | 1,210,000 | 1,357,378 | ||||||
5.00%, 07/01/2019 | 3,500,000 | 3,938,445 | ||||||
5.00%, 07/01/2023 | 2,630,000 | 3,305,831 | ||||||
5.00%, 07/01/2024 | 2,460,000 | 3,156,918 | ||||||
State of Florida Lottery Revenue | ||||||||
5.00%, 07/01/2018 | 4,915,000 | 5,330,121 | ||||||
5.00%, 07/01/2020 | 315,000 | 364,786 | ||||||
|
| |||||||
143,246,488 | ||||||||
|
| |||||||
Georgia - 1.30% | ||||||||
City of Atlanta GA | ||||||||
5.00%, 01/01/2017 | 375,000 | 382,980 | ||||||
5.00%, 01/01/2018 | 315,000 | 334,795 | ||||||
5.00%, 01/01/2019 | 225,000 | 247,160 | ||||||
5.00%, 01/01/2020 | 275,000 | 310,673 | ||||||
City of Atlanta GA Water & Wastewater Revenue | ||||||||
5.50%, 11/01/2017 | 3,010,000 | 3,203,934 | ||||||
5.00%, 11/01/2021 | 1,000,000 | 1,200,950 | ||||||
City of East Point GA | ||||||||
4.00%, 08/01/2017 | 340,000 | 349,935 | ||||||
4.00%, 08/01/2018 | 400,000 | 419,796 | ||||||
5.00%, 08/01/2019 | 955,000 | 1,047,349 | ||||||
5.00%, 08/01/2020 | 415,000 | 465,144 | ||||||
5.00%, 08/01/2021 | 250,000 | 285,205 | ||||||
Georgia Housing & Finance Authority | ||||||||
1.40%, 06/01/2018 | 750,000 | 755,002 |
Gwinnett County School District | ||||||||
5.00%, 02/01/2032 | 1,000,000 | 1,069,110 | ||||||
Monroe County Development Authority | ||||||||
2.35%, 10/01/2048 | 500,000 | 519,895 | ||||||
Municipal Electric Authority of Georgia | ||||||||
5.00%, 01/01/2019 | 1,000,000 | 1,102,920 | ||||||
5.00%, 01/01/2020 | 2,095,000 | 2,389,138 | ||||||
5.00%, 01/01/2020 | 2,980,000 | 3,398,392 | ||||||
4.00%, 01/01/2021 | 350,000 | 394,964 | ||||||
5.00%, 01/01/2022 | 250,000 | 300,145 | ||||||
5.00%, 01/01/2023 | 250,000 | 307,358 | ||||||
Savannah Economic Development Authority | ||||||||
7.25%, 01/01/2049 | 120,000 | 137,980 | ||||||
Savannah Housing Authority | ||||||||
1.15%, 07/01/2019 | 3,700,000 | 3,697,817 | ||||||
State of Georgia | ||||||||
5.00%, 02/01/2018 | 3,035,000 | 3,245,750 | ||||||
|
| |||||||
25,566,392 | ||||||||
|
| |||||||
Guam - 0.09% | ||||||||
Guam Government Waterworks Authority | ||||||||
5.00%, 07/01/2035 | 1,500,000 | 1,744,935 | ||||||
|
| |||||||
Hawaii - 0.13% | ||||||||
City & County of Honolulu HI | ||||||||
5.00%, 10/01/2029 | 2,000,000 | 2,538,400 | ||||||
|
| |||||||
Idaho - 0.35% | ||||||||
Idaho Health Facilities Authority | ||||||||
5.00%, 03/01/2034 | 3,155,000 | 3,727,696 | ||||||
Idaho Housing & Finance Association | ||||||||
0.80%, 04/01/2017 | 3,150,000 | 3,150,535 | ||||||
|
| |||||||
6,878,231 | ||||||||
|
| |||||||
Illinois - 8.62% | ||||||||
Chicago Board of Education | ||||||||
5.00%, 12/01/2021 | 2,000,000 | 2,027,560 | ||||||
5.00%, 12/01/2041 | 770,000 | 681,157 | ||||||
5.25%, 12/01/2041 | 3,000,000 | 2,655,030 |
Chicago Midway International Airport | ||||||||
5.00%, 01/01/2021 | 5,000,000 | 5,758,850 | ||||||
5.00%, 01/01/2027 | 1,800,000 | 2,205,198 | ||||||
5.00%, 01/01/2032 | 2,000,000 | 2,343,900 | ||||||
5.00%, 01/01/2034 | 1,000,000 | 1,164,520 | ||||||
5.00%, 01/01/2046 | 300,000 | 358,791 | ||||||
Chicago O’Hare International Airport | ||||||||
5.00%, 01/01/2022 | 520,000 | 610,412 | ||||||
5.00%, 01/01/2023 | 1,000,000 | 1,219,000 | ||||||
5.00%, 01/01/2025 | 415,000 | 514,285 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,388,620 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,446,940 | ||||||
Chicago Park District | ||||||||
5.00%, 01/01/2017 | 1,000,000 | 1,018,800 | ||||||
Chicago Transit Authority | ||||||||
5.25%, 06/01/2024 | 2,000,000 | 2,284,000 | ||||||
5.00%, 06/01/2026 | 8,275,000 | 9,800,413 | ||||||
City of Chicago IL | ||||||||
4.25%, 01/01/2020 | 465,000 | 502,181 | ||||||
5.00%, 01/01/2020 | 3,500,000 | 3,563,665 | ||||||
5.25%, 01/01/2021 | 1,565,000 | 1,595,439 | ||||||
5.00%, 01/01/2022 | 460,000 | 530,329 | ||||||
5.00%, 01/01/2023 | 1,535,000 | 1,679,014 | ||||||
5.00%, 01/01/2026 | 425,000 | 485,869 | ||||||
5.00%, 01/01/2027 | 500,000 | 563,645 | ||||||
5.25%, 01/01/2027 | 2,435,000 | 2,514,040 | ||||||
5.00%, 01/01/2028 | 865,000 | 918,613 | ||||||
5.00%, 01/01/2035 | 2,500,000 | 2,497,000 | ||||||
5.00%, 01/01/2035 | 750,000 | 749,100 | ||||||
5.50%, 01/01/2035 | 1,000,000 | 1,027,960 | ||||||
City of Chicago IL Motor Fuel Tax Revenue | ||||||||
5.00%, 01/01/2025 | 2,000,000 | 2,183,680 | ||||||
City of Chicago IL Wastewater Transmission Revenue | ||||||||
5.00%, 01/01/2028 | 1,530,000 | 1,778,319 | ||||||
5.00%, 01/01/2029 | 1,300,000 | 1,505,244 | ||||||
5.00%, 01/01/2033 | 2,000,000 | 2,312,300 | ||||||
5.00%, 01/01/2039 | 1,000,000 | 1,140,810 |
City of Chicago IL Waterworks Revenue | ||||||||
5.00%, 11/01/2020 | 915,000 | 1,036,137 | ||||||
5.00%, 11/01/2021 | 1,500,000 | 1,731,705 | ||||||
5.00%, 11/01/2024 | 1,150,000 | 1,383,852 | ||||||
5.00%, 11/01/2024 | 250,000 | 300,838 | ||||||
5.00%, 11/01/2033 | 500,000 | 583,535 | ||||||
County of Cook IL | �� | |||||||
5.00%, 11/15/2023 | 2,500,000 | 3,014,550 | ||||||
5.00%, 11/15/2025 | 2,500,000 | 2,929,350 | ||||||
5.00%, 11/15/2026 | 1,000,000 | 1,115,730 | ||||||
5.00%, 11/15/2026 | 1,000,000 | 1,237,750 | ||||||
5.25%, 11/15/2028 | 1,035,000 | 1,183,574 | ||||||
Illinois Finance Authority | ||||||||
5.50%, 02/15/2017 | 2,000,000 | 2,054,420 | ||||||
4.00%, 05/15/2023 | 500,000 | 541,410 | ||||||
5.00%, 11/15/2023 | 750,000 | 919,328 | ||||||
5.25%, 11/15/2026 | 50,000 | 50,476 | ||||||
5.00%, 07/01/2030 | 275,000 | 338,429 | ||||||
5.00%, 11/15/2030 | 2,000,000 | 2,446,640 | ||||||
0.42%, 07/01/2032 | 10,000,000 | 10,000,000 | ||||||
4.75%, 05/15/2033 | 145,000 | 151,903 | ||||||
5.00%, 11/15/2034 | 3,000,000 | 3,603,120 | ||||||
5.00%, 08/15/2035 | 100,000 | 117,752 | ||||||
5.00%, 07/01/2036 | 325,000 | 391,625 | ||||||
5.25%, 11/15/2036 | 50,000 | 50,360 | ||||||
5.00%, 05/15/2037 | 1,050,000 | 1,103,613 | ||||||
5.00%, 11/15/2038 | 3,795,000 | 4,524,968 | ||||||
8.00%, 05/15/2040 | 500,000 | 585,640 | ||||||
5.00%, 08/15/2044 | 200,000 | 232,532 | ||||||
5.00%, 11/15/2045 | 2,500,000 | 2,965,800 | ||||||
8.00%, 05/15/2046 | 1,500,000 | 1,753,350 | ||||||
5.00%, 12/01/2046 | 5,000,000 | 5,916,950 | ||||||
5.25%, 05/15/2047 | 250,000 | 272,640 | ||||||
Illinois Housing Development Authority | ||||||||
1.10%, 06/01/2018 | 2,500,000 | 2,501,775 | ||||||
Illinois Sports Facilities Authority/The | ||||||||
5.00%, 06/15/2017 | 750,000 | 774,375 | ||||||
5.25%, 06/15/2032 | 1,735,000 | 2,011,663 |
Illinois State Toll Highway Authority | ||||||||
5.00%, 01/01/2038 | 2,700,000 | 3,249,855 | ||||||
5.00%, 01/01/2041 | 10,625,000 | 13,001,600 | ||||||
Kane County School District No 129 West Aurora | ||||||||
5.00%, 02/01/2026 | 1,000,000 | 1,233,620 | ||||||
Lake County Community Unit School District No 60 Waukegan | ||||||||
5.00%, 01/01/2026 | 1,000,000 | 1,218,260 | ||||||
5.00%, 01/01/2027 | 2,200,000 | 2,657,446 | ||||||
Metropolitan Pier & Exposition Authority | ||||||||
5.00%, 12/15/2020 | 430,000 | 484,559 | ||||||
5.00%, 12/15/2026 | 2,000,000 | 2,265,000 | ||||||
5.00%, 12/15/2028 | 2,400,000 | 2,701,104 | ||||||
5.25%, 06/15/2050 | 3,275,000 | 3,492,951 | ||||||
State of Illinois | ||||||||
5.00%, 01/01/2017 | 1,145,000 | 1,167,041 | ||||||
5.00%, 04/01/2024 | 3,000,000 | 3,406,920 | ||||||
5.00%, 03/01/2028 | 5,000,000 | 5,421,450 | ||||||
5.25%, 02/01/2029 | 3,720,000 | 4,173,171 | ||||||
5.25%, 02/01/2031 | 500,000 | 558,085 | ||||||
5.50%, 07/01/2038 | 1,500,000 | 1,687,470 | ||||||
Village of Bedford Park IL | ||||||||
4.00%, 12/01/2020 | 1,180,000 | 1,248,287 | ||||||
Will & Kankakee Counties School District No 255 | ||||||||
4.00%, 06/01/2018 | 1,070,000 | 1,132,852 | ||||||
|
| |||||||
169,950,145 | ||||||||
|
| |||||||
Indiana - 2.46% | ||||||||
City of Evansville IN | ||||||||
0.90%, 06/01/2018 | 5,000,000 | 4,993,050 | ||||||
City of Indianapolis IN Thermal Energy System Revenue | ||||||||
5.00%, 10/01/2017 | 1,000,000 | 1,051,800 | ||||||
City of Whiting IN | ||||||||
5.00%, 11/01/2045 | 2,485,000 | 2,936,748 | ||||||
Indiana Development Finance Authority | ||||||||
1.75%, 10/01/2031 | 3,600,000 | 3,619,692 | ||||||
Indiana Finance Authority | ||||||||
5.00%, 09/15/2019 | 700,000 | 775,600 | ||||||
6.00%, 12/01/2026 | 2,035,000 | 1,994,849 |
5.25%, 02/01/2033 | 2,500,000 | 3,151,900 | ||||||
5.00%, 03/01/2036 | 4,000,000 | 4,676,280 | ||||||
5.00%, 09/01/2046 | 2,750,000 | 3,023,873 | ||||||
5.00%, 07/01/2048 | 330,000 | 378,708 | ||||||
5.25%, 01/01/2051 | 2,675,000 | 3,106,638 | ||||||
Indiana Health Facility Financing Authority | ||||||||
2.00%, 10/01/2026 | 4,360,000 | 4,455,484 | ||||||
4.00%, 11/01/2027 | 8,000,000 | 8,279,920 | ||||||
5.00%, 11/01/2027 | 1,955,000 | 1,960,337 | ||||||
Indianapolis Local Public Improvement Bond Bank | ||||||||
5.00%, 01/01/2021 | 370,000 | 428,945 | ||||||
5.00%, 01/01/2022 | 755,000 | 894,977 | ||||||
5.00%, 01/01/2023 | 245,000 | 296,293 | ||||||
5.00%, 01/01/2029 | 1,000,000 | 1,247,770 | ||||||
5.00%, 01/01/2031 | 1,000,000 | 1,235,650 | ||||||
|
| |||||||
48,508,514 | ||||||||
|
| |||||||
Iowa - 0.24% | ||||||||
City of Altoona IA | ||||||||
5.00%, 06/01/2026 | 2,200,000 | 2,756,930 | ||||||
Iowa Finance Authority | ||||||||
5.25%, 12/01/2025 | 1,500,000 | 1,631,070 | ||||||
4.75%, 08/01/2042 | 270,000 | 281,399 | ||||||
|
| |||||||
4,669,399 | ||||||||
|
| |||||||
Kansas - 0.27% | ||||||||
City of Wichita KS | ||||||||
5.00%, 11/15/2017 | 2,375,000 | 2,513,130 | ||||||
5.25%, 11/15/2024 | 350,000 | 400,628 | ||||||
Kansas Development Finance Authority | ||||||||
5.00%, 11/15/2032 | 2,000,000 | 2,388,660 | ||||||
|
| |||||||
5,302,418 | ||||||||
|
| |||||||
Kentucky - 0.64% | ||||||||
City of Russell KY | ||||||||
5.00%, 11/01/2022 | 3,200,000 | 3,847,136 | ||||||
Kentucky Asset Liability Commission | ||||||||
5.00%, 09/01/2024 | 1,000,000 | 1,239,050 | ||||||
5.00%, 09/01/2025 | 1,250,000 | 1,578,900 |
Kentucky Economic Development Finance Authority | ||||||||
5.25%, 06/01/2020 | 500,000 | 573,680 | ||||||
6.38%, 06/01/2040 | 1,550,000 | 1,777,881 | ||||||
6.50%, 03/01/2045 | 1,000,000 | 1,149,840 | ||||||
6.25%, 11/15/2046 | 750,000 | 772,402 | ||||||
Kentucky Public Transportation Infrastructure Authority | ||||||||
5.00%, 07/01/2017 | 910,000 | 943,797 | ||||||
6.00%, 07/01/2053 | 530,000 | 645,572 | ||||||
|
| |||||||
12,528,258 | ||||||||
|
| |||||||
Louisiana - 1.52% | ||||||||
City of New Orleans LA | ||||||||
5.00%, 12/01/2019 | 2,450,000 | 2,765,609 | ||||||
Jefferson Parish Hospital Service District No 1 | ||||||||
5.50%, 01/01/2026 | 3,000,000 | 3,587,880 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | ||||||||
6.50%, 08/01/2029 | 2,000,000 | 2,383,720 | ||||||
6.50%, 11/01/2035 | 1,000,000 | 1,200,910 | ||||||
Louisiana Public Facilities Authority | ||||||||
5.00%, 06/01/2021 | 7,695,000 | 8,983,220 | ||||||
New Orleans Aviation Board | ||||||||
5.00%, 01/01/2024 | 1,400,000 | 1,691,746 | ||||||
5.00%, 01/01/2040 | 1,540,000 | 1,831,445 | ||||||
5.00%, 01/01/2040 | 1,000,000 | 1,180,040 | ||||||
Parish of St John the Baptist LA | ||||||||
5.13%, 06/01/2037 | 3,000,000 | 3,086,970 | ||||||
State of Louisiana | ||||||||
5.00%, 11/15/2017 | 1,000,000 | 1,058,160 | ||||||
5.00%, 02/01/2018 | 2,000,000 | 2,133,980 | ||||||
|
| |||||||
29,903,680 | ||||||||
|
| |||||||
Maine - 0.07% | ||||||||
Maine Health & Higher Educational Revenue Bonds | ||||||||
5.00%, 07/01/2046 | 1,250,000 | 1,447,637 | ||||||
|
| |||||||
Maryland - 2.25% | ||||||||
City of Westminster MD | ||||||||
6.25%, 07/01/2044 | 1,100,000 | 1,224,036 | ||||||
County of Anne Arundel MD | ||||||||
5.00%, 04/01/2018 | 1,115,000 | 1,200,197 | ||||||
Maryland Community Development Administration | ||||||||
1.35%, 01/01/2019 (Acquired 06/22/2016, Cost $2,200,000) (1) | 2,200,000 | 2,201,936 |
Maryland Economic Development Corp. | ||||||||
5.00%, 06/01/2019 | 3,415,000 | 3,822,580 | ||||||
5.00%, 03/31/2024 | 2,500,000 | 2,940,850 | ||||||
5.00%, 09/30/2027 | 50,000 | 62,765 | ||||||
5.00%, 09/30/2030 | 905,000 | 1,122,915 | ||||||
5.00%, 03/31/2046 | 1,295,000 | 1,568,737 | ||||||
5.00%, 03/31/2051 | 665,000 | 800,274 | ||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||
5.00%, 08/15/2017 | 1,370,000 | 1,434,760 | ||||||
5.00%, 07/01/2018 | 2,100,000 | 2,277,786 | ||||||
5.50%, 01/01/2028 | 2,500,000 | 2,680,575 | ||||||
5.00%, 07/01/2032 | 750,000 | 911,828 | ||||||
1.14%, 05/15/2038 | 1,000,000 | 1,000,390 | ||||||
5.00%, 08/15/2038 | 1,945,000 | 2,322,777 | ||||||
4.00%, 07/01/2042 | 120,000 | 130,073 | ||||||
5.00%, 07/01/2045 | 1,500,000 | 1,750,200 | ||||||
Maryland Stadium Authority | ||||||||
5.00%, 05/01/2033 | 1,000,000 | 1,259,120 | ||||||
Maryland State Transportation Authority | ||||||||
5.00%, 03/01/2023 | 1,000,000 | 1,177,700 | ||||||
State of Maryland | ||||||||
5.25%, 03/01/2017 | 500,000 | 515,490 | ||||||
5.00%, 11/01/2018 | 3,000,000 | 3,299,910 | ||||||
5.00%, 03/01/2020 | 6,000,000 | 6,914,700 | ||||||
5.00%, 08/01/2022 | 3,000,000 | 3,693,030 | ||||||
|
| |||||||
44,312,629 | ||||||||
|
| |||||||
Massachusetts - 2.57% | ||||||||
City of Boston MA | ||||||||
5.00%, 04/01/2023 | 2,095,000 | 2,625,580 | ||||||
City of Springfield MA | ||||||||
5.00%, 08/01/2017 | 4,580,000 | 4,797,000 | ||||||
Commonwealth of Massachusetts | ||||||||
4.00%, 12/01/2017 | 6,015,000 | 6,303,720 | ||||||
5.00%, 03/01/2046 | 205,000 | 247,947 | ||||||
Commonwealth of Massachusetts Transportation Fund Revenue | ||||||||
5.00%, 06/01/2025 | 2,490,000 | 2,954,858 |
Massachusetts Authority | ||||||||
1.05%, 08/01/2043 | 10,500,000 | 10,499,895 | ||||||
Massachusetts Department of Transportation | ||||||||
5.00%, 01/01/2019 | 1,500,000 | 1,654,770 | ||||||
Massachusetts Development Finance Agency | ||||||||
1.05%, 11/01/2017 | 1,000,000 | 1,000,120 | ||||||
0.89%, 07/01/2050 | 4,000,000 | 3,955,360 | ||||||
Massachusetts Educational Financing Authority | ||||||||
4.00%, 01/01/2018 | 1,500,000 | 1,558,065 | ||||||
4.00%, 07/01/2019 | 2,000,000 | 2,140,020 | ||||||
5.00%, 07/01/2021 | 1,000,000 | 1,141,180 | ||||||
Massachusetts Health & Educational Facilities Authority | ||||||||
5.00%, 10/01/2017 | 2,000,000 | 2,104,880 | ||||||
1.29%, 07/01/2038 | 5,400,000 | 5,399,892 | ||||||
Massachusetts School Building Authority | ||||||||
5.00%, 01/15/2028 | 1,500,000 | 1,899,450 | ||||||
Massachusetts Water Resources Authority | ||||||||
5.00%, 08/01/2040 | 1,900,000 | 2,401,657 | ||||||
|
| |||||||
50,684,394 | ||||||||
|
| |||||||
Michigan - 2.44% | ||||||||
City of Detroit MI Sewage Disposal System Revenue | ||||||||
5.25%, 07/01/2039 | 3,000,000 | 3,418,440 | ||||||
City of Wyandotte MI Electric System Revenue | ||||||||
5.00%, 10/01/2021 | 750,000 | 852,900 | ||||||
5.00%, 10/01/2022 | 800,000 | 920,280 | ||||||
5.00%, 10/01/2023 | 500,000 | 582,255 | ||||||
5.00%, 10/01/2024 | 765,000 | 901,545 | ||||||
County of Kent MI | ||||||||
5.00%, 06/01/2028 | 700,000 | 907,487 | ||||||
Holly Area School District | ||||||||
4.00%, 05/01/2017 | 500,000 | 513,830 | ||||||
Lake Orion Community School District | ||||||||
5.00%, 05/01/2020 | 1,390,000 | 1,588,826 | ||||||
5.00%, 05/01/2021 | 1,385,000 | 1,620,796 | ||||||
Michigan Finance Authority | ||||||||
5.00%, 07/01/2030 | 600,000 | 726,504 | ||||||
5.00%, 07/01/2033 | 350,000 | 413,542 |
Michigan State Hospital Finance Authority | ||||||||
1.63%, 11/01/2027 | 3,500,000 | 3,536,820 | ||||||
1.40%, 11/15/2047 | 7,565,000 | 7,646,551 | ||||||
1.50%, 11/15/2047 | 6,000,000 | 6,035,520 | ||||||
Portage Public Schools | ||||||||
5.00%, 11/01/2028 | 1,000,000 | 1,259,120 | ||||||
University of Michigan | ||||||||
5.00%, 04/01/2017 | 5,220,000 | 5,391,164 | ||||||
Wayne County Airport Authority | ||||||||
5.00%, 12/01/2018 | 250,000 | 272,993 | ||||||
5.00%, 12/01/2019 | 200,000 | 225,264 | ||||||
5.00%, 12/01/2020 | 200,000 | 231,564 | ||||||
5.00%, 12/01/2021 | 400,000 | 473,760 | ||||||
5.00%, 12/01/2022 | 200,000 | 240,548 | ||||||
5.00%, 12/01/2023 | 400,000 | 488,336 | ||||||
5.00%, 12/01/2024 | 250,000 | 309,265 | ||||||
5.00%, 12/01/2027 | 3,000,000 | 3,650,190 | ||||||
5.00%, 12/01/2040 | 4,000,000 | 4,810,920 | ||||||
5.00%, 12/01/2042 | 1,000,000 | 1,141,330 | ||||||
|
| |||||||
48,159,750 | ||||||||
|
| |||||||
Minnesota - 1.01% | ||||||||
City of Minneapolis MN | ||||||||
1.10%, 01/01/2018 | 3,000,000 | 3,001,920 | ||||||
City of Rochester MN | ||||||||
5.00%, 12/01/2025 | 850,000 | 977,832 | ||||||
5.25%, 12/01/2038 | 1,000,000 | 1,095,480 | ||||||
Forest Lake Independent School District No 831 | ||||||||
5.00%, 02/01/2017 | 2,805,000 | 2,873,751 | ||||||
State of Minnesota | ||||||||
5.00%, 06/01/2017 | 2,010,000 | 2,090,802 | ||||||
5.00%, 08/01/2018 | 2,650,000 | 2,887,705 | ||||||
5.00%, 11/01/2018 | 1,830,000 | 2,012,945 | ||||||
5.00%, 12/01/2018 | 1,000,000 | 1,103,540 | ||||||
5.00%, 03/01/2020 | 1,040,000 | 1,193,275 | ||||||
5.00%, 06/01/2020 | 2,345,000 | 2,711,899 | ||||||
|
| |||||||
19,949,149 | ||||||||
|
|
Mississippi - 0.76% | ||||||||
County of Warren MS | ||||||||
6.50%, 09/01/2032 | 300,000 | 334,434 | ||||||
State of Mississippi | ||||||||
3.00%, 10/15/2017 | 1,500,000 | 1,541,190 | ||||||
4.00%, 10/15/2018 | 2,100,000 | 2,243,304 | ||||||
5.00%, 10/15/2019 | 4,545,000 | 5,129,260 | ||||||
5.00%, 10/15/2020 | 1,750,000 | 2,028,652 | ||||||
5.00%, 10/15/2021 | 1,300,000 | 1,544,426 | ||||||
5.00%, 10/15/2022 | 1,750,000 | 2,121,298 | ||||||
|
| |||||||
14,942,564 | ||||||||
|
| |||||||
Missouri - 0.41% | ||||||||
Health & Educational Facilities Authority of the State of Missouri | ||||||||
5.00%, 02/01/2029 | 1,000,000 | 1,212,570 | ||||||
5.00%, 02/01/2036 | 200,000 | 235,724 | ||||||
4.00%, 02/01/2040 | 100,000 | 107,148 | ||||||
5.00%, 08/01/2040 | 1,145,000 | 1,235,558 | ||||||
5.00%, 02/01/2045 | 300,000 | 350,178 | ||||||
Missouri Highway & Transportation Commission | ||||||||
5.00%, 05/01/2018 | 2,990,000 | 3,226,539 | ||||||
St Louis County Industrial Development Authority | ||||||||
5.00%, 12/01/2025 | 1,275,000 | 1,448,961 | ||||||
5.13%, 08/15/2045 | 200,000 | 207,130 | ||||||
|
| |||||||
8,023,808 | ||||||||
|
| |||||||
Nebraska - 0.05% | ||||||||
Central Plains Energy Project | ||||||||
5.00%, 09/01/2019 | 915,000 | 1,020,133 | ||||||
|
| |||||||
Nevada - 0.73% | ||||||||
City of Las Vegas NV | ||||||||
5.00%, 09/01/2030 | 1,815,000 | 2,299,877 | ||||||
Clark County School District | ||||||||
5.00%, 06/15/2018 | 4,000,000 | 4,255,240 | ||||||
County of Clark NV | ||||||||
5.00%, 11/01/2032 | 3,000,000 | 3,718,830 | ||||||
County of Washoe NV | ||||||||
1.50%, 08/01/2031 | 1,000,000 | 1,002,550 | ||||||
3.00%, 03/01/2036 | 700,000 | 755,769 | ||||||
Las Vegas Valley Water District | ||||||||
5.00%, 06/01/2039 | 1,950,000 | 2,391,909 | ||||||
|
| |||||||
14,424,175 | ||||||||
|
|
New Hampshire - 0.13% | ||||||||
New Hampshire Business Finance Authority | ||||||||
4.00%, 01/01/2017 | 520,000 | 526,958 | ||||||
4.00%, 01/01/2018 | 545,000 | 566,015 | ||||||
4.00%, 01/01/2019 | 565,000 | 599,058 | ||||||
5.00%, 01/01/2024 | 720,000 | 852,991 | ||||||
|
| |||||||
2,545,022 | ||||||||
|
| |||||||
New Jersey - 3.56% | ||||||||
Burlington County Bridge Commission | ||||||||
5.63%, 01/01/2038 | 750,000 | 789,840 | ||||||
City of Millville NJ | ||||||||
2.00%, 07/15/2016 | 1,070,000 | 1,070,503 | ||||||
City of New Brunswick NJ | ||||||||
3.00%, 06/06/2017 | 5,000,000 | 5,090,200 | ||||||
City of Trenton NJ | ||||||||
4.00%, 07/15/2016 | 600,000 | 600,624 | ||||||
New Brunswick Parking Authority | ||||||||
5.00%, 09/01/2039 | 2,000,000 | 2,451,860 | ||||||
New Jersey Economic Development Authority | ||||||||
5.00%, 06/15/2019 | 4,500,000 | 4,874,355 | ||||||
4.00%, 01/01/2020 | 115,000 | 119,863 | ||||||
5.00%, 03/01/2023 | 1,000,000 | 1,128,130 | ||||||
5.00%, 03/01/2024 | 2,405,000 | 2,694,827 | ||||||
5.00%, 06/15/2024 | 2,000,000 | 2,270,180 | ||||||
5.00%, 06/15/2025 | 5,000,000 | 5,753,700 | ||||||
5.50%, 01/01/2027 | 500,000 | 602,210 | ||||||
5.63%, 11/15/2030 | 2,095,000 | 2,416,352 | ||||||
5.00%, 01/01/2031 | 500,000 | 593,485 | ||||||
5.63%, 01/01/2052 | 2,000,000 | 2,362,900 | ||||||
New Jersey Educational Facilities Authority | ||||||||
5.00%, 07/01/2020 | 375,000 | 437,310 | ||||||
5.00%, 07/01/2021 | 225,000 | 269,759 | ||||||
5.00%, 06/01/2023 | 930,000 | 1,045,785 | ||||||
5.00%, 07/01/2023 | 3,390,000 | 4,031,286 | ||||||
4.00%, 07/01/2036 | 1,290,000 | 1,432,107 |
New Jersey Health Care Facilities Financing Authority | ||||||||
5.00%, 07/01/2024 | 2,500,000 | 2,939,650 | ||||||
5.00%, 07/01/2025 | 1,580,000 | 1,849,074 | ||||||
5.00%, 07/01/2028 | 155,000 | 194,034 | ||||||
5.00%, 07/01/2031 | 430,000 | 484,163 | ||||||
5.63%, 07/01/2032 | 380,000 | 453,420 | ||||||
5.00%, 07/01/2033 | 500,000 | 614,325 | ||||||
5.00%, 07/01/2046 | 575,000 | 677,384 | ||||||
New Jersey Higher Education Student Assistance Authority | ||||||||
5.00%, 12/01/2019 | 500,000 | 552,920 | ||||||
5.50%, 12/01/2021 | 2,000,000 | 2,311,240 | ||||||
5.00%, 12/01/2044 | 1,000,000 | 1,078,770 | ||||||
New Jersey Housing & Mortgage Finance Agency | ||||||||
0.80%, 11/01/2017 | 3,000,000 | 2,999,250 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.25%, 12/15/2022 | 1,760,000 | 2,016,978 | ||||||
5.00%, 12/15/2023 | 2,700,000 | 3,086,748 | ||||||
5.00%, 06/15/2025 | 450,000 | 505,714 | ||||||
0.00%, 12/15/2026 | 2,400,000 | 1,634,976 | ||||||
0.00%, 12/15/2030 | 2,000,000 | 1,208,300 | ||||||
New Jersey Turnpike Authority | ||||||||
5.00%, 01/01/2017 | 255,000 | 260,375 | ||||||
5.00%, 01/01/2020 | 1,220,000 | 1,389,934 | ||||||
Tobacco Settlement Financing Corp/NJ | ||||||||
4.50%, 06/01/2023 | 995,000 | 1,013,258 | ||||||
4.63%, 06/01/2026 | 2,500,000 | 2,525,825 | ||||||
5.00%, 06/01/2041 | 2,470,000 | 2,404,693 | ||||||
|
| |||||||
70,236,307 | ||||||||
|
| |||||||
New Mexico - 0.23% | ||||||||
Farmington Municipal School District No 5/NM | ||||||||
5.00%, 09/01/2024 | 490,000 | 623,290 | ||||||
Town of Clayton NM | ||||||||
4.00%, 11/01/2020 | 3,545,000 | 3,878,478 | ||||||
|
| |||||||
4,501,768 | ||||||||
|
| |||||||
New York - 10.39% | ||||||||
Binghamton City School District | ||||||||
2.00%, 11/18/2016 | 1,400,000 | 1,406,048 |
Build NYC Resource Corp. | ||||||||
5.00%, 08/01/2022 | 200,000 | 237,524 | ||||||
5.00%, 08/01/2023 | 230,000 | 277,631 | ||||||
5.00%, 01/01/2035 (Acquired 09/23/2015, Cost $3,174,875) (1) | 3,000,000 | 3,422,430 | ||||||
Chautauqua County Capital Resource Corp. | ||||||||
1.30%, 11/01/2031 | 1,100,000 | 1,097,987 | ||||||
City of New York NY | ||||||||
5.00%, 08/01/2017 | 6,365,000 | 6,665,173 | ||||||
4.00%, 08/01/2018 | 1,165,000 | 1,243,847 | ||||||
5.00%, 08/01/2018 | 3,850,000 | 4,189,532 | ||||||
5.00%, 08/01/2021 | 6,000,000 | 7,147,380 | ||||||
5.00%, 08/01/2022 | 1,065,000 | 1,297,724 | ||||||
0.96%, 08/01/2025 | 500,000 | 500,030 | ||||||
5.00%, 08/01/2027 | 2,975,000 | 3,802,645 | ||||||
5.00%, 08/01/2028 | 5,275,000 | 6,763,394 | ||||||
5.00%, 08/01/2028 | 3,975,000 | 5,061,646 | ||||||
0.41%, 08/01/2034 | 10,965,000 | 10,965,000 | ||||||
City of Yonkers NY | ||||||||
4.00%, 07/01/2018 | 2,000,000 | 2,122,180 | ||||||
5.00%, 09/01/2022 | 2,350,000 | 2,823,995 | ||||||
5.00%, 09/01/2025 | 1,015,000 | 1,288,918 | ||||||
County of Erie NY | ||||||||
5.00%, 06/01/2017 | 1,000,000 | 1,039,830 | ||||||
5.00%, 09/15/2017 | 550,000 | 578,826 | ||||||
5.00%, 06/01/2018 | 500,000 | 540,860 | ||||||
5.00%, 09/15/2018 | 365,000 | 398,653 | ||||||
5.00%, 06/01/2019 | 1,000,000 | 1,119,040 | ||||||
5.00%, 09/15/2019 | 500,000 | 564,855 | ||||||
5.00%, 06/01/2020 | 500,000 | 576,775 | ||||||
5.00%, 09/15/2020 | 350,000 | 407,169 | ||||||
5.00%, 06/01/2021 | 750,000 | 888,045 | ||||||
5.00%, 09/15/2021 | 225,000 | 268,407 | ||||||
5.00%, 06/01/2025 | 1,630,000 | 2,086,579 | ||||||
County of Rockland NY | ||||||||
4.00%, 01/01/2021 | 1,100,000 | 1,220,901 | ||||||
County of Suffolk NY | ||||||||
2.00%, 07/27/2016 | 5,000,000 | 5,004,850 | ||||||
1.50%, 09/30/2016 | 7,500,000 | 7,513,950 | ||||||
3.00%, 10/15/2016 | 400,000 | 402,520 |
Metropolitan Transportation Authority | ||||||||
5.00%, 11/15/2019 | 2,005,000 | 2,277,740 | ||||||
5.00%, 11/15/2019 | 1,290,000 | 1,465,479 | ||||||
1.16%, 11/01/2026 | 520,000 | 520,135 | ||||||
0.92%, 11/01/2032 | 1,000,000 | 997,300 | ||||||
5.00%, 11/15/2040 | 1,850,000 | 2,238,297 | ||||||
Nassau County Industrial Development Agency | ||||||||
6.50%, 01/01/2034 | 481,250 | 479,758 | ||||||
6.70%, 01/01/2049 | 285,000 | 283,874 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
5.00%, 11/01/2018 | 1,650,000 | 1,814,142 | ||||||
5.00%, 02/01/2019 | 1,000,000 | 1,109,300 | ||||||
0.57%, 11/01/2022 | 2,000,000 | 2,000,000 | ||||||
0.64%, 11/01/2022 | 6,000,000 | 6,000,000 | ||||||
5.00%, 11/01/2028 | 1,500,000 | 1,926,420 | ||||||
5.00%, 11/01/2029 | 2,000,000 | 2,530,900 | ||||||
5.00%, 02/01/2040 | 1,785,000 | 2,219,362 | ||||||
5.00%, 02/01/2041 | 200,000 | 244,740 | ||||||
New York City Water & Sewer System | ||||||||
5.00%, 06/15/2031 | 6,075,000 | 7,668,169 | ||||||
0.60%, 06/15/2032 | 7,000,000 | 7,000,000 | ||||||
New York Convention Center Development Corp. | ||||||||
5.00%, 11/15/2033 | 3,000,000 | 3,741,360 | ||||||
New York Liberty Development Corp. | ||||||||
5.25%, 10/01/2035 | 1,900,000 | 2,558,046 | ||||||
5.38%, 11/15/2040 (Acquired 09/15/2015, Cost $1,566,236) (1) | 1,500,000 | 1,782,330 | ||||||
5.00%, 11/15/2044 (Acquired 09/18/2015, Cost $1,510,189) (1) | 1,500,000 | 1,737,090 | ||||||
New York State Dormitory Authority | ||||||||
5.00%, 03/15/2017 | 2,750,000 | 2,835,525 | ||||||
5.00%, 03/15/2018 | 4,000,000 | 4,295,760 | ||||||
5.00%, 12/15/2018 | 1,105,000 | 1,126,559 | ||||||
5.00%, 03/15/2019 | 3,500,000 | 3,904,565 | ||||||
5.00%, 03/15/2021 | 2,000,000 | 2,373,820 | ||||||
5.00%, 07/01/2022 | 250,000 | 300,075 | ||||||
5.00%, 07/01/2023 | 250,000 | 305,047 |
5.00%, 05/01/2024 | 4,870,000 | 6,078,296 | ||||||
5.00%, 07/01/2024 | 250,000 | 310,310 | ||||||
5.00%, 07/01/2025 | 250,000 | 314,447 | ||||||
5.00%, 03/15/2027 | 2,500,000 | 3,177,800 | ||||||
New York State Thruway Authority | ||||||||
5.00%, 05/01/2019 | 18,525,000 | 20,656,486 | ||||||
New York State Urban Development Corp. | ||||||||
5.00%, 03/15/2020 | 3,215,000 | 3,698,858 | ||||||
5.00%, 03/15/2023 | 700,000 | 870,030 | ||||||
5.00%, 03/15/2024 | 400,000 | 507,656 | ||||||
5.00%, 03/15/2035 | 2,800,000 | 3,416,112 | ||||||
New York Transportation Development Corp. | ||||||||
5.00%, 01/01/2023 | 125,000 | 151,428 | ||||||
5.00%, 08/01/2031 | 2,975,000 | 3,251,348 | ||||||
5.00%, 07/01/2046 | 800,000 | 921,456 | ||||||
5.25%, 01/01/2050 | 210,000 | 245,771 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.00%, 09/01/2017 | 3,000,000 | 3,146,400 | ||||||
5.00%, 10/15/2033 | 3,500,000 | 4,231,710 | ||||||
Sales Tax Asset Receivable Corp. | ||||||||
5.00%, 10/15/2017 | 1,500,000 | 1,584,885 | ||||||
Suffolk County Economic Development Corp. | ||||||||
5.00%, 07/01/2028 | 300,000 | 358,224 | ||||||
5.00%, 07/01/2028 | 1,750,000 | 1,975,785 | ||||||
Tompkins County Development Corp. | ||||||||
5.00%, 07/01/2044 | 125,000 | 141,876 | ||||||
Town of Oyster Bay NY | ||||||||
4.00%, 06/01/2018 | 500,000 | 505,615 | ||||||
Upper Mohawk Valley Regional Water Finance Authority | ||||||||
5.00%, 04/01/2019 | 500,000 | 556,285 | ||||||
Westchester County Local Development Corp. | ||||||||
5.50%, 05/01/2042 | 150,000 | 176,301 | ||||||
|
| |||||||
204,937,216 | ||||||||
|
| |||||||
North Carolina - 2.17% | ||||||||
Charlotte-Mecklenburg Hospital Authority/The | ||||||||
5.00%, 01/15/2031 | 1,500,000 | 1,773,000 |
County of Mecklenburg NC | ||||||||
5.00%, 08/01/2018 | 3,000,000 | 3,269,760 | ||||||
5.00%, 12/01/2021 | 2,050,000 | 2,480,213 | ||||||
County of Wake NC | �� | |||||||
5.00%, 03/01/2020 | 1,515,000 | 1,747,143 | ||||||
5.00%, 09/01/2021 | 350,000 | 421,113 | ||||||
5.00%, 12/01/2027 | 3,785,000 | 4,992,415 | ||||||
North Carolina Capital Facilities Finance Agency | ||||||||
5.00%, 06/01/2019 | 500,000 | 551,170 | ||||||
0.85%, 12/01/2020 | 300,000 | 300,000 | ||||||
5.00%, 06/01/2021 | 500,000 | 574,755 | ||||||
North Carolina Eastern Municipal Power Agency | ||||||||
5.00%, 01/01/2020 | 1,000,000 | 1,104,490 | ||||||
5.00%, 01/01/2021 | 1,420,000 | 1,568,376 | ||||||
5.00%, 01/01/2021 | 1,965,000 | 2,311,803 | ||||||
5.00%, 01/01/2026 | 5,000,000 | 5,522,450 | ||||||
North Carolina Medical Care Commission | ||||||||
6.25%, 07/01/2035 | 1,000,000 | 1,187,520 | ||||||
5.00%, 09/01/2037 | 2,000,000 | 2,184,400 | ||||||
4.88%, 07/01/2040 | 550,000 | 592,911 | ||||||
North Carolina Municipal Power Agency No 1 | ||||||||
5.00%, 01/01/2020 | 1,100,000 | 1,256,882 | ||||||
5.00%, 01/01/2025 | 2,935,000 | 3,241,678 | ||||||
5.00%, 01/01/2026 | 2,515,000 | 2,777,793 | ||||||
State of North Carolina | ||||||||
5.00%, 06/01/2017 | 2,400,000 | 2,496,696 | ||||||
5.00%, 05/01/2018 | 800,000 | 863,896 | ||||||
5.00%, 06/01/2020 | 1,360,000 | 1,580,755 | ||||||
|
| |||||||
42,799,219 | ||||||||
|
| |||||||
North Dakota - 0.03% | ||||||||
City of Hazen ND | ||||||||
2.50%, 07/01/2017 | 500,000 | 500,360 | ||||||
|
| |||||||
Ohio - 1.92% | ||||||||
American Municipal Power, Inc. | ||||||||
5.00%, 02/15/2046 | 740,000 | 900,661 | ||||||
Buckeye Tobacco Settlement Financing Authority | ||||||||
6.50%, 06/01/2047 | 3,000,000 | 3,078,090 | ||||||
City of Cleveland OH Airport System Revenue | ||||||||
5.25%, 01/01/2018 | 1,215,000 | 1,291,545 |
Clermont County Port Authority | ||||||||
5.00%, 12/01/2029 | 750,000 | 927,480 | ||||||
5.00%, 12/01/2030 | 850,000 | 1,047,081 | ||||||
5.00%, 12/01/2031 | 650,000 | 797,621 | ||||||
County of Cuyahoga OH | ||||||||
5.00%, 12/01/2026 | 2,500,000 | 3,080,600 | ||||||
Ohio Air Quality Development Authority | ||||||||
5.70%, 08/01/2020 | 1,500,000 | 1,665,570 | ||||||
Ohio Housing Finance Agency | ||||||||
0.85%, 08/01/2017 | 2,000,000 | 2,002,340 | ||||||
Ohio Water Development Authority | ||||||||
4.00%, 12/01/2033 | 3,285,000 | 3,386,868 | ||||||
Southeastern Ohio Port Authority | ||||||||
5.75%, 12/01/2032 | 220,000 | 253,339 | ||||||
5.50%, 12/01/2043 | 1,000,000 | 1,116,700 | ||||||
State of Ohio | ||||||||
4.00%, 09/01/2021 | 3,980,000 | 4,573,856 | ||||||
1.70%, 11/01/2022 | 3,000,000 | 3,025,950 | ||||||
University of Akron/The | ||||||||
5.00%, 01/01/2037 | 6,675,000 | 8,128,415 | ||||||
University of Cincinnati | ||||||||
5.00%, 06/01/2027 | 2,000,000 | 2,578,100 | ||||||
|
| |||||||
37,854,216 | ||||||||
|
| |||||||
Oklahoma - 0.43% | ||||||||
Cleveland County Educational Facilities Authority | ||||||||
5.00%, 07/01/2018 | 1,000,000 | 1,079,490 | ||||||
Garvin County Educational Facilities Authority | ||||||||
4.00%, 09/01/2017 | 500,000 | 518,145 | ||||||
5.00%, 12/01/2024 | 515,000 | 629,042 | ||||||
5.00%, 12/01/2025 | 545,000 | 674,492 | ||||||
5.00%, 12/01/2026 | 320,000 | 399,526 | ||||||
Oklahoma County Finance Authority | ||||||||
5.70%, 04/01/2025 | 650,000 | 650,774 | ||||||
5.13%, 04/01/2042 | 1,900,000 | 1,893,122 | ||||||
Oklahoma Development Finance Authority | ||||||||
3.00%, 06/01/2022 | 1,015,000 | 1,108,502 | ||||||
4.00%, 06/01/2023 | 1,305,000 | 1,518,159 | ||||||
|
| |||||||
8,471,252 | ||||||||
|
|
Oregon - 0.63% | ||||||||
Klamath Falls Intercommunity Hospital Authority | ||||||||
5.00%, 09/01/2031 | 200,000 | 246,804 | ||||||
5.00%, 09/01/2032 | 270,000 | 331,819 | ||||||
5.00%, 09/01/2046 | 1,000,000 | 1,204,000 | ||||||
Port of Portland OR | ||||||||
5.00%, 07/01/2032 | 1,000,000 | 1,204,850 | ||||||
5.00%, 07/01/2033 | 3,485,000 | 4,190,434 | ||||||
State of Oregon Department of Transportation | ||||||||
5.00%, 11/15/2023 | 2,000,000 | 2,238,100 | ||||||
State of Oregon Housing & Community Services Department | ||||||||
0.80%, 08/01/2018 | 3,000,000 | 2,998,980 | ||||||
|
| |||||||
12,414,987 | ||||||||
|
| |||||||
Pennsylvania - 7.25% | ||||||||
Allegheny County Airport Authority | ||||||||
5.00%, 01/01/2017 | 1,755,000 | 1,790,609 | ||||||
Beaver County Industrial Development Authority | ||||||||
3.50%, 12/01/2035 | 3,285,000 | 3,336,509 | ||||||
Capital Region Water | ||||||||
5.00%, 07/15/2023 | 1,750,000 | 2,127,002 | ||||||
Central Greene School District | ||||||||
5.00%, 02/15/2018 | 860,000 | 916,450 | ||||||
Chester County Industrial Development Authority | ||||||||
0.65%, 02/01/2017 | 3,350,000 | 3,348,224 | ||||||
City of Philadelphia PA | ||||||||
2.00%, 08/01/2016 | 5,805,000 | 5,811,211 | ||||||
5.00%, 08/01/2017 | 2,000,000 | 2,089,040 | ||||||
5.00%, 08/01/2023 | 4,000,000 | 4,840,160 | ||||||
5.00%, 07/15/2026 | 2,475,000 | 3,010,615 | ||||||
5.00%, 08/01/2028 | 6,000,000 | 7,368,840 | ||||||
Commonwealth Financing Authority | ||||||||
5.00%, 06/01/2025 | 1,500,000 | 1,879,185 | ||||||
Commonwealth of Pennsylvania | ||||||||
5.00%, 04/01/2017 | 1,000,000 | 1,032,180 | ||||||
5.00%, 02/01/2020 | 2,050,000 | 2,325,212 |
5.00%, 02/01/2021 | 1,400,000 | 1,622,320 | ||||||
5.00%, 08/15/2021 | 1,015,000 | 1,191,234 | ||||||
5.00%, 02/01/2022 | 1,470,000 | 1,736,144 | ||||||
5.00%, 09/15/2022 | 1,750,000 | 2,093,665 | ||||||
5.00%, 02/01/2023 | 1,440,000 | 1,736,165 | ||||||
5.00%, 03/15/2023 | 9,970,000 | 12,056,522 | ||||||
5.00%, 02/01/2024 | 1,620,000 | 1,990,429 | ||||||
5.00%, 09/15/2026 | 2,000,000 | 2,546,440 | ||||||
County of Allegheny PA | ||||||||
4.00%, 12/01/2017 | 3,725,000 | 3,893,593 | ||||||
Cumberland County Municipal Authority | ||||||||
5.25%, 01/01/2041 | 170,000 | 178,495 | ||||||
Dauphin County General Authority | ||||||||
5.00%, 06/01/2020 | 815,000 | 935,082 | ||||||
Delaware County Authority | ||||||||
5.00%, 08/01/2030 | 1,150,000 | 1,440,260 | ||||||
Delaware Valley Regional Finance Authority | ||||||||
5.75%, 07/01/2017 | 3,000,000 | 3,148,920 | ||||||
Lancaster County Hospital Authority/PA | ||||||||
5.00%, 07/01/2045 | 1,970,000 | 2,228,582 | ||||||
Montgomery County Industrial Development Authority/PA | ||||||||
5.25%, 01/15/2036 | 2,500,000 | 2,841,750 | ||||||
5.25%, 01/01/2040 | 1,510,000 | 1,566,489 | ||||||
5.38%, 01/01/2050 | 500,000 | 519,845 | ||||||
Northampton County General Purpose Authority | ||||||||
5.50%, 08/15/2040 | 125,000 | 135,936 | ||||||
Octorara Area School District | ||||||||
5.00%, 06/01/2018 | 375,000 | 403,718 | ||||||
Pennsylvania Economic Development Financing Authority | ||||||||
0.85%, 08/01/2045 | 1,000,000 | 1,000,000 | ||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||
5.00%, 06/15/2024 | 3,005,000 | 3,726,140 | ||||||
5.00%, 06/15/2024 | 1,000,000 | 1,239,150 | ||||||
5.00%, 06/15/2025 | 1,855,000 | 2,336,243 | ||||||
1.20%, 11/01/2031 | 2,500,000 | 2,497,700 | ||||||
Pennsylvania State University | ||||||||
5.00%, 03/01/2017 | 1,500,000 | 1,543,530 |
5.00%, 09/01/2020 | 2,440,000 | 2,843,600 | ||||||
5.00%, 09/01/2021 | 1,400,000 | 1,675,100 | ||||||
5.00%, 09/01/2022 | 2,295,000 | 2,809,195 | ||||||
Pennsylvania Turnpike Commission | ||||||||
5.00%, 06/01/2029 | 5,000,000 | 6,110,050 | ||||||
Reading School District | ||||||||
5.00%, 02/01/2018 | 1,450,000 | 1,537,508 | ||||||
5.00%, 02/01/2019 | 1,660,000 | 1,805,449 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,117,490 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,117,490 | ||||||
5.00%, 02/01/2021 | 1,000,000 | 1,138,340 | ||||||
5.00%, 02/01/2022 | 1,920,000 | 2,222,131 | ||||||
Redevelopment Authority of the City of Philadelphia | ||||||||
5.00%, 04/15/2023 | 1,335,000 | 1,570,881 | ||||||
School District of Philadelphia/The | ||||||||
5.00%, 09/01/2018 | 150,000 | 159,956 | ||||||
State Public School Building Authority | ||||||||
4.00%, 12/01/2020 | 1,590,000 | 1,770,099 | ||||||
5.00%, 12/01/2022 | 7,370,000 | 8,855,571 | ||||||
5.00%, 04/01/2023 | 2,500,000 | 2,768,525 | ||||||
5.00%, 06/15/2025 | 3,000,000 | 3,653,940 | ||||||
5.00%, 06/01/2029 | 500,000 | 607,520 | ||||||
5.00%, 12/01/2029 | 5,000,000 | 6,228,000 | ||||||
Susquehanna Area Regional Airport Authority | ||||||||
6.50%, 01/01/2038 | 475,000 | 504,051 | ||||||
|
| |||||||
142,978,485 | ||||||||
|
| |||||||
Puerto Rico - 0.16% | ||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | ||||||||
5.13%, 07/01/2047 | 1,000,000 | 1,038,710 | ||||||
Puerto Rico Electric Power Authority | ||||||||
5.00%, 07/01/2019 | 1,500,000 | 1,514,580 | ||||||
5.50%, 07/01/2019 | 500,000 | 520,195 | ||||||
5.25%, 07/01/2027 | 145,000 | 150,158 | ||||||
|
| |||||||
3,223,643 | ||||||||
|
| |||||||
Rhode Island - 0.38% | ||||||||
Providence Redevelopment Agency | ||||||||
5.00%, 04/01/2028 | 1,200,000 | 1,377,228 |
Rhode Island Commerce Corp. | ||||||||
5.00%, 06/15/2019 | 1,040,000 | 1,158,685 | ||||||
5.00%, 06/15/2020 | 3,200,000 | 3,665,440 | ||||||
5.00%, 06/15/2021 | 625,000 | 732,062 | ||||||
Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund | ||||||||
5.00%, 10/01/2028 | 500,000 | 640,960 | ||||||
|
| |||||||
7,574,375 | ||||||||
|
| |||||||
South Carolina - 1.81% | ||||||||
City of Woodruff SC Sewer System Revenue | ||||||||
1.05%, 04/01/2017 | 3,000,000 | 2,998,680 | ||||||
Fort Mill School Facilities Corp. | ||||||||
3.00%, 12/01/2016 | 1,420,000 | 1,434,257 | ||||||
Piedmont Municipal Power Agency | ||||||||
5.00%, 01/01/2017 | 13,185,000 | 13,456,347 | ||||||
Scago Educational Facilities Corp for Sumter County School 17 | ||||||||
4.00%, 12/01/2019 | 630,000 | 683,582 | ||||||
4.00%, 12/01/2021 | 1,895,000 | 2,098,390 | ||||||
Scago Educational Facilities Corp for Union School District | ||||||||
5.00%, 12/01/2023 | 1,060,000 | 1,289,172 | ||||||
South Carolina Public Service Authority | ||||||||
5.00%, 12/01/2050 | 8,640,000 | 10,301,040 | ||||||
South Carolina State Housing Finance & Development Authority | ||||||||
1.05%, 01/01/2019 | 3,500,000 | 3,496,570 | ||||||
|
| |||||||
35,758,038 | ||||||||
|
| |||||||
South Dakota - 0.25% | ||||||||
South Dakota Health & Educational Facilities Authority | ||||||||
3.00%, 11/01/2017 | 450,000 | 462,303 | ||||||
5.00%, 09/01/2019 | 300,000 | 334,965 | ||||||
5.00%, 11/01/2029 | 800,000 | 979,480 | ||||||
5.00%, 11/01/2030 | 1,000,000 | 1,220,600 | ||||||
5.00%, 11/01/2042 | 145,000 | 166,064 | ||||||
5.00%, 11/01/2045 | 1,500,000 | 1,774,380 | ||||||
|
| |||||||
4,937,792 | ||||||||
|
| |||||||
Tennessee - 1.39% | ||||||||
Chattanooga Health Educational & Housing Facility Board | ||||||||
4.00%, 10/01/2016 | 2,120,000 | 2,135,073 | ||||||
3.00%, 10/01/2018 | 500,000 | 519,115 |
3.00%, 10/01/2019 | 600,000 | 632,412 | ||||||
5.00%, 10/01/2021 | 1,000,000 | 1,171,740 | ||||||
5.00%, 10/01/2022 | 325,000 | 389,259 | ||||||
5.00%, 10/01/2030 | 500,000 | 605,720 | ||||||
5.00%, 10/01/2032 | 1,215,000 | 1,442,035 | ||||||
5.00%, 10/01/2035 | 2,260,000 | 2,662,077 | ||||||
Johnson City Health & Educational Facilities Board | ||||||||
5.00%, 08/15/2042 | 2,000,000 | 2,215,800 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | ||||||||
5.00%, 07/01/2046 | 1,500,000 | 1,814,820 | ||||||
Metropolitan Government of Nashville & Davidson County TN | ||||||||
5.00%, 07/01/2017 | 8,000,000 | 8,350,400 | ||||||
Tennessee Energy Acquisition Corp. | ||||||||
5.00%, 09/01/2016 | 1,020,000 | 1,027,365 | ||||||
5.00%, 02/01/2023 | 870,000 | 1,045,940 | ||||||
5.00%, 02/01/2027 | 2,725,000 | 3,391,535 | ||||||
|
| |||||||
27,403,291 | ||||||||
|
| |||||||
Texas - 12.27% | ||||||||
Alamito Public Facility Corp. | ||||||||
1.00%, 10/01/2018 | 700,000 | 699,181 | ||||||
Alamo Community College District | ||||||||
4.00%, 02/15/2019 | 1,000,000 | 1,083,790 | ||||||
4.00%, 02/15/2020 | 1,000,000 | 1,111,320 | ||||||
4.00%, 02/15/2021 | 715,000 | 810,674 | ||||||
4.00%, 02/15/2022 | 665,000 | 766,472 | ||||||
4.00%, 02/15/2023 | 1,000,000 | 1,173,200 | ||||||
Aledo Independent School District | ||||||||
5.00%, 02/15/2043 | 475,000 | 593,346 | ||||||
Austin Convention Enterprises, Inc. | ||||||||
5.25%, 01/01/2024 | 1,330,000 | 1,352,038 | ||||||
Board of Managers Joint Guadalupe County-City of Seguin Hospital | ||||||||
5.25%, 12/01/2035 | 525,000 | 591,328 | ||||||
Brazos Harbor Industrial Development Corp. | ||||||||
5.90%, 05/01/2038 | 1,000,000 | 1,076,030 | ||||||
Central Texas Regional Mobility Authority | ||||||||
5.00%, 01/01/2022 | 990,000 | 1,164,973 | ||||||
5.00%, 01/01/2034 | 1,475,000 | 1,764,882 |
6.00%, 01/01/2041 | 2,125,000 | 2,593,116 | ||||||
5.00%, 01/01/2042 | 1,335,000 | 1,499,672 | ||||||
5.00%, 01/01/2046 | 1,600,000 | 1,901,728 | ||||||
Central Texas Turnpike System | ||||||||
5.00%, 08/15/2037 | 2,500,000 | 2,942,025 | ||||||
City of Austin TX | ||||||||
5.00%, 09/01/2019 | 610,000 | 690,416 | ||||||
5.00%, 09/01/2033 | 2,920,000 | 3,685,507 | ||||||
City of Austin TX Water & Wastewater System Revenue | ||||||||
5.00%, 11/15/2020 | 1,350,000 | 1,579,716 | ||||||
5.00%, 11/15/2028 | 1,000,000 | 1,304,450 | ||||||
5.00%, 11/15/2030 | 4,000,000 | 5,182,680 | ||||||
City of Dallas TX Waterworks & Sewer System Revenue | ||||||||
5.00%, 10/01/2028 | 2,750,000 | 3,514,472 | ||||||
City of El Paso TX | ||||||||
5.00%, 08/15/2025 | 2,245,000 | 2,882,939 | ||||||
City of Houston TX Airport System Revenue | ||||||||
5.00%, 07/01/2017 | 1,500,000 | 1,562,670 | ||||||
City Public Service Board of San Antonio TX | ||||||||
5.00%, 02/01/2017 | 2,075,000 | 2,127,892 | ||||||
5.00%, 02/01/2017 | 1,175,000 | 1,205,021 | ||||||
5.00%, 02/01/2032 | 4,250,000 | 4,356,633 | ||||||
3.00%, 12/01/2045 | 5,000,000 | 5,367,000 | ||||||
County of El Paso TX | ||||||||
5.00%, 02/15/2031 | 1,280,000 | 1,588,851 | ||||||
County of Williamson TX | ||||||||
5.00%, 02/15/2021 | 1,000,000 | 1,184,160 | ||||||
Cypress-Fairbanks Independent School District | ||||||||
5.00%, 02/15/2017 | 1,205,000 | 1,237,812 | ||||||
5.00%, 02/15/2021 | 4,720,000 | 5,558,839 | ||||||
3.00%, 02/15/2040 | 4,000,000 | 4,100,480 | ||||||
3.00%, 02/15/2040 | 5,000,000 | 5,213,400 | ||||||
5.00%, 02/15/2044 | 500,000 | 604,190 | ||||||
Dallas Area Rapid Transit | ||||||||
5.00%, 12/01/2028 | 2,160,000 | 2,379,262 | ||||||
Dallas County Community College District | ||||||||
5.00%, 02/15/2021 | 7,610,000 | 8,985,051 | ||||||
5.00%, 02/15/2022 | 7,665,000 | 9,286,454 |
Dallas Independent School District | ||||||||
5.00%, 02/15/2036 | 5,000,000 | 5,994,450 | ||||||
Dallas Performing Arts Cultural Facilities Corp. | ||||||||
0.46%, 09/01/2041 | 10,000,000 | 10,000,000 | ||||||
Dallas/Fort Worth International Airport | ||||||||
5.00%, 11/01/2017 | 1,000,000 | 1,057,870 | ||||||
5.00%, 11/01/2023 | 245,000 | 298,346 | ||||||
5.00%, 11/01/2038 | 3,000,000 | 3,414,570 | ||||||
Edinburg Consolidated Independent School District/TX | ||||||||
5.00%, 02/15/2028 | 1,140,000 | 1,460,534 | ||||||
Fort Bend Independent School District | ||||||||
0.66%, 08/01/2040 | 1,695,000 | 1,695,237 | ||||||
Garland Independent School District | ||||||||
5.00%, 02/15/2021 | 1,000,000 | 1,176,740 | ||||||
5.00%, 02/15/2022 | 1,000,000 | 1,203,090 | ||||||
Harris County Cultural Education Facilities Finance Corp. | ||||||||
4.00%, 12/01/2016 | 500,000 | 506,825 | ||||||
5.00%, 06/01/2018 | 3,000,000 | 3,238,620 | ||||||
5.00%, 01/01/2043 | 120,000 | 127,712 | ||||||
Harris County Flood Control District | ||||||||
5.00%, 10/01/2025 | 1,000,000 | 1,274,640 | ||||||
Harris County Health Facilities Development Corp. | ||||||||
7.25%, 12/01/2035 | 4,500,000 | 5,197,500 | ||||||
Houston Independent School District | ||||||||
0.95%, 06/01/2035 | 1,000,000 | 1,002,240 | ||||||
Love Field Airport Modernization Corp. | ||||||||
5.00%, 11/01/2028 | 250,000 | 288,450 | ||||||
5.25%, 11/01/2040 | 1,435,000 | 1,648,844 | ||||||
Lower Colorado River Authority | ||||||||
5.00%, 05/15/2020 | 1,070,000 | 1,232,897 | ||||||
5.00%, 05/15/2020 | 340,000 | 391,761 | ||||||
5.00%, 05/15/2021 | 800,000 | 945,120 | ||||||
5.00%, 05/15/2022 | 1,025,000 | 1,236,960 | ||||||
Mission Economic Development Corp. | ||||||||
5.75%, 10/01/2031 (Acquired 05/09/2016 through 05/23/2016, Cost $2,363,855) (1) | 2,250,000 | 2,406,127 |
New Hope Cultural Education Facilities Corp. | ||||||||
5.00%, 04/01/2031 | 335,000 | 398,040 | ||||||
5.00%, 07/01/2035 | 2,000,000 | 2,366,600 | ||||||
5.00%, 04/01/2036 | 355,000 | 414,874 | ||||||
5.00%, 07/01/2047 | 1,075,000 | 1,222,372 | ||||||
5.00%, 04/01/2048 | 1,250,000 | 1,422,313 | ||||||
North Texas Municipal Water District | ||||||||
5.00%, 06/01/2017 | 2,230,000 | 2,319,022 | ||||||
North Texas Tollway Authority | ||||||||
5.00%, 09/01/2020 | 1,445,000 | 1,682,081 | ||||||
5.00%, 01/01/2022 | 325,000 | 389,808 | ||||||
5.00%, 01/01/2023 | 3,500,000 | 4,288,375 | ||||||
5.00%, 01/01/2031 | 1,900,000 | 2,287,144 | ||||||
5.00%, 01/01/2033 | 3,150,000 | 3,821,202 | ||||||
5.00%, 01/01/2036 | 550,000 | 674,333 | ||||||
5.00%, 01/01/2039 | 125,000 | 152,070 | ||||||
6.25%, 01/01/2039 | 65,000 | 72,880 | ||||||
6.25%, 01/01/2039 | 275,000 | 312,186 | ||||||
5.00%, 01/01/2040 | 2,000,000 | 2,344,680 | ||||||
5.00%, 01/01/2045 | 5,000,000 | 5,963,100 | ||||||
0.41%, 01/01/2049 | 10,000,000 | 10,000,000 | ||||||
Plano Independent School District | ||||||||
5.00%, 02/15/2018 | 820,000 | 877,384 | ||||||
5.00%, 02/15/2020 | 550,000 | 630,300 | ||||||
5.00%, 02/15/2021 | 550,000 | 648,835 | ||||||
5.00%, 02/15/2022 | 225,000 | 271,372 | ||||||
Rockwall Independent School District | ||||||||
5.00%, 02/15/2046 | 2,200,000 | 2,684,506 | ||||||
San Antonio Electric and Gas Revenue Bond | ||||||||
5.00%, 02/01/2020 | 1,000,000 | 1,144,840 | ||||||
State of Texas | ||||||||
5.00%, 08/01/2019 | 2,815,000 | 3,178,022 | ||||||
5.00%, 10/01/2019 | 1,950,000 | 2,211,768 | ||||||
5.00%, 04/01/2020 | 2,845,000 | 3,059,314 | ||||||
2.00%, 08/01/2025 | 1,000,000 | 1,010,810 | ||||||
5.00%, 04/01/2028 | 5,000,000 | 6,469,450 | ||||||
5.00%, 10/01/2032 | 5,000,000 | 6,321,700 | ||||||
5.00%, 04/01/2035 | 2,500,000 | 3,145,325 |
Tarrant County Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 11/15/2035 | 1,750,000 | 1,944,583 | ||||||
5.00%, 11/15/2040 | 1,800,000 | 1,982,088 | ||||||
Texas Municipal Gas Acquisition & Supply Corp I | ||||||||
1.89%, 12/15/2026 | 2,000,000 | 1,814,140 | ||||||
6.25%, 12/15/2026 | 4,750,000 | 6,139,850 | ||||||
Texas Municipal Gas Acquisition & Supply Corp III | ||||||||
5.00%, 12/15/2019 | 3,000,000 | 3,386,460 | ||||||
5.00%, 12/15/2032 | 3,000,000 | 3,449,400 | ||||||
Texas Transportation Commission State Highway Fund | ||||||||
5.00%, 10/01/2023 | 5,000,000 | 6,269,700 | ||||||
Texas Water Development Board | ||||||||
5.00%, 10/15/2040 | 1,000,000 | 1,237,510 | ||||||
The University of Texas System | ||||||||
5.00%, 08/15/2019 | 685,000 | 774,276 | ||||||
5.00%, 08/15/2021 | 505,000 | 605,071 | ||||||
5.00%, 08/15/2026 | 1,750,000 | 2,316,685 | ||||||
|
| |||||||
242,224,672 | ||||||||
|
| |||||||
Utah - 0.35% | ||||||||
Utah Transit Authority | ||||||||
0.00%, 06/15/2035 | 16,935,000 | 6,832,087 | ||||||
|
| |||||||
Virgin Islands - 0.18% | ||||||||
Virgin Islands Public Finance Authority | ||||||||
5.00%, 10/01/2032 | 3,000,000 | 3,453,870 | ||||||
|
| |||||||
Virginia - 4.03% | ||||||||
Chesterfield County Economic Development Authority | ||||||||
5.00%, 05/01/2023 | 200,000 | 221,416 | ||||||
City of Norfolk VA Water Revenue | ||||||||
5.00%, 11/01/2017 | 1,000,000 | 1,058,280 | ||||||
County of Arlington VA | ||||||||
5.00%, 08/15/2020 | 1,630,000 | 1,904,688 | ||||||
County of Botetourt VA | ||||||||
4.75%, 07/01/2023 | 100,000 | 103,974 | ||||||
6.00%, 07/01/2034 | 1,500,000 | 1,618,230 | ||||||
County of Fairfax VA | ||||||||
5.00%, 10/01/2017 | 5,320,000 | 5,612,547 | ||||||
Fairfax County Economic Development Authority | ||||||||
5.00%, 04/01/2017 | 1,785,000 | 1,843,655 |
Fairfax County Industrial Development Authority | ||||||||
5.00%, 05/15/2035 | 1,175,000 | 1,394,643 | ||||||
5.00%, 05/15/2044 | 750,000 | 898,972 | ||||||
Fredericksburg Economic Development Authority | ||||||||
5.00%, 06/15/2031 | 500,000 | 597,475 | ||||||
Greater Richmond Convention Center Authority | ||||||||
5.00%, 06/15/2020 | 1,000,000 | 1,149,610 | ||||||
Hanover County Economic Development Authority | ||||||||
5.00%, 07/01/2042 | 1,000,000 | 1,062,060 | ||||||
5.00%, 07/01/2047 | 2,000,000 | 2,118,620 | ||||||
Norfolk Economic Development Authority | ||||||||
5.00%, 11/01/2020 | 645,000 | 753,792 | ||||||
Richmond Metropolitan Transportation Authority/The | ||||||||
5.25%, 07/15/2017 | 200,000 | 203,576 | ||||||
Stafford County Economic Development Authority | ||||||||
5.00%, 06/15/2030 | 150,000 | 185,207 | ||||||
5.00%, 06/15/2033 | 150,000 | 182,532 | ||||||
4.00%, 06/15/2037 | 50,000 | 53,913 | ||||||
Virginia College Building Authority | ||||||||
5.00%, 02/01/2017 | 200,000 | 205,134 | ||||||
5.00%, 02/01/2017 | 500,000 | 512,835 | ||||||
5.00%, 02/01/2018 | 5,000,000 | 5,341,500 | ||||||
3.00%, 09/01/2025 | 2,000,000 | 2,231,680 | ||||||
5.00%, 07/01/2030 (Acquired 12/17/2015, Cost $523,283) (1) | 500,000 | 568,965 | ||||||
5.00%, 07/01/2045 (Acquired 09/17/2015, Cost $500,000) (1) | 500,000 | 552,525 | ||||||
5.00%, 07/01/2045 (Acquired 09/17/2015, Cost $1,000,000) (1) | 1,000,000 | 1,105,050 | ||||||
Virginia Commonwealth Transportation Board | ||||||||
5.00%, 05/15/2021 | 2,280,000 | 2,716,187 | ||||||
5.00%, 05/15/2022 | 2,000,000 | 2,440,060 | ||||||
5.00%, 05/15/2023 | 2,000,000 | 2,498,900 | ||||||
5.00%, 05/15/2026 | 5,000,000 | 6,614,200 | ||||||
Virginia Public School Authority | ||||||||
5.00%, 08/01/2017 | 1,310,000 | 1,372,212 | ||||||
5.00%, 07/15/2018 | 1,510,000 | 1,642,563 | ||||||
5.00%, 08/01/2018 | 1,480,000 | 1,610,195 | ||||||
5.00%, 07/15/2020 | 3,000,000 | 3,495,480 |
5.00%, 08/01/2021 | 6,000,000 | 7,170,300 | ||||||
5.00%, 08/01/2022 | 2,505,000 | 3,077,042 | ||||||
5.00%, 08/01/2024 | 1,000,000 | 1,279,040 | ||||||
5.00%, 08/01/2026 | 2,220,000 | 2,950,957 | ||||||
Virginia Small Business Financing Authority | ||||||||
5.00%, 01/01/2040 | 1,555,000 | 1,708,758 | ||||||
5.50%, 01/01/2042 | 3,595,000 | 4,219,524 | ||||||
Wise County Industrial Development Authority | ||||||||
1.88%, 11/01/2040 | 5,000,000 | 5,110,950 | ||||||
|
| |||||||
79,387,247 | ||||||||
|
| |||||||
Washington - 2.14% | ||||||||
City of Kent WA | ||||||||
5.00%, 12/01/2027 | 695,000 | 890,802 | ||||||
5.00%, 12/01/2028 | 860,000 | 1,101,394 | ||||||
City of Tacoma WA Solid Waste Utility Revenue | ||||||||
5.00%, 12/01/2031 | 460,000 | 563,693 | ||||||
County of King WA Sewer Revenue | ||||||||
0.43%, 01/01/2032 | 8,250,000 | 8,250,000 | ||||||
Energy Northwest | ||||||||
5.00%, 07/01/2018 | 1,000,000 | 1,084,660 | ||||||
5.00%, 07/01/2027 | 1,000,000 | 1,278,710 | ||||||
Skagit County Public Hospital District No 1 | ||||||||
5.00%, 12/01/2020 | 1,000,000 | 1,124,470 | ||||||
State of Washington | ||||||||
5.00%, 01/01/2019 | 2,000,000 | 2,210,020 | ||||||
5.00%, 07/01/2019 | 3,150,000 | 3,542,585 | ||||||
5.00%, 02/01/2020 | 2,420,000 | 2,764,995 | ||||||
5.00%, 07/01/2021 | 1,200,000 | 1,424,532 | ||||||
5.00%, 08/01/2021 | 2,000,000 | 2,377,600 | ||||||
5.00%, 07/01/2025 | 2,000,000 | 2,582,540 | ||||||
5.00%, 08/01/2027 | 550,000 | 703,010 | ||||||
5.00%, 07/01/2030 | 2,480,000 | 3,146,921 | ||||||
5.00%, 07/01/2031 | 5,000,000 | 6,222,800 | ||||||
Washington Health Care Facilities Authority | ||||||||
5.00%, 10/01/2017 | 1,150,000 | 1,210,892 | ||||||
5.00%, 10/01/2021 | 1,510,000 | 1,800,328 | ||||||
|
| |||||||
42,279,952 | ||||||||
|
|
West Virginia - 0.23% | ||||||||
West Virginia Economic Development Authority | ||||||||
1.20%, 02/01/2018 | 3,500,000 | 3,505,180 | ||||||
5.38%, 12/01/2038 | 885,000 | 992,784 | ||||||
|
| |||||||
4,497,964 | ||||||||
|
| |||||||
Wisconsin - 0.57% | ||||||||
County of La Crosse WI | ||||||||
3.00%, 10/01/2017 | 510,000 | 525,239 | ||||||
Public Finance Authority | ||||||||
5.00%, 12/01/2025 | 500,000 | 585,860 | ||||||
4.13%, 05/01/2026 (Acquired 05/12/2016, Cost $800,000) (1) | 800,000 | 815,840 | ||||||
4.00%, 08/01/2035 | 2,750,000 | 2,856,315 | ||||||
State of Wisconsin | ||||||||
5.00%, 05/01/2018 | 1,000,000 | 1,078,730 | ||||||
5.00%, 11/01/2020 | 2,005,000 | 2,350,622 | ||||||
Stratford School District/WI | ||||||||
2.00%, 08/09/2016 | 1,900,000 | 1,902,356 | ||||||
Wisconsin Health & Educational Facilities Authority | ||||||||
5.00%, 08/15/2016 | 500,000 | 502,455 | ||||||
5.00%, 12/01/2022 | 560,000 | 670,527 | ||||||
|
| |||||||
11,287,944 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $1,872,105,522) | $ | 1,924,476,335 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENTS - 7.50% | ||||||||
Money Market Funds - 7.50% | ||||||||
Fidelity Institutional Money Market Government Funds - Class I, 0.26% (3) | 73,905,796 | $ | 73,905,796 | |||||
Goldman Sachs Financial Square Treasury Solutions Fund - Class I, 0.16% (3) | 73,905,795 | 73,905,795 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $147,811,591) | $ | 147,811,591 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 105.09% | $ | 2,072,287,926 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.09)% | (100,328,095 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 1,971,959,831 | ||||||
|
|
Percentages are stated as a percent of net assets.
(1) | Security is restricted as defined in Rule 144(A) under the Securities Act of 1933. The value of these securities total $23,997,306, which represents 1.22% of total net assets. |
(2) | Security is treated as illiquid by the Fund. The value of this security totals $963,433, which represents 0.05% of total net assets. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
Open Futures Contracts
Settlement | Notional | Unrealized | ||||||||||||||||||||||
Number of Contracts Sold | Description | Counterparty | Month | Amount | Value | Depreciation | ||||||||||||||||||
(150) | U.S. 5 Year Note Future | J.P. Morgan | Sep. 2016 | (18,324,324 | ) | (18,324,609 | ) | $ | (285 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
$ | (285 | ) | ||||||||||||||||||||||
|
|
Bridge Builder Large Cap Growth Fund
Schedule of Investments
June 30, 2016
Shares | Value | |||||||
COMMON STOCKS - 95.77% | ||||||||
Consumer Discretionary - 18.00% | ||||||||
Adidas AG | 29,402 | $ | 4,220,653 | |||||
Advance Auto Parts, Inc. | 23,823 | 3,850,511 | ||||||
Amazon.com, Inc. (1) | 95,223 | 68,143,483 | ||||||
AMC Networks, Inc. (1) | 1,353 | 81,748 | ||||||
Aramark | 2,386 | 79,740 | ||||||
AutoNation, Inc. (1) | 590 | 27,718 | ||||||
AutoZone, Inc. (1) | 14,940 | 11,859,970 | ||||||
Bed Bath & Beyond, Inc. | 357 | 15,430 | ||||||
Borgwarner, Inc. | 601 | 17,742 | ||||||
Brinker International, Inc. | 1,297 | 59,052 | ||||||
Brunswick Corp. | 1,682 | 76,228 | ||||||
Burlington Stores, Inc. (1) | 920 | 61,373 | ||||||
Cabela’s, Inc. (1) | 115 | 5,757 | ||||||
Cable One, Inc. | 108 | 55,232 | ||||||
CalAtlantic Group, Inc. | 210 | 7,709 | ||||||
CarMax, Inc. (1) | 4,418 | 216,615 | ||||||
Carter’s, Inc. | 1,136 | 120,950 | ||||||
CBS Corp. | 9,326 | 507,707 | ||||||
Charter Communications, Inc. (1) | 4,621 | 1,056,545 | ||||||
Chipotle Mexican Grill, Inc. (1) | 44,704 | 18,004,983 | ||||||
Choice Hotels International, Inc. | 517 | 24,620 | ||||||
Cinemark Holdings, Inc. | 2,420 | 88,233 | ||||||
Clear Channel Outdoor Holdings, Inc. | 338 | 2,102 | ||||||
Coach, Inc. | 1,205 | 49,092 | ||||||
Comcast Corp. - Class A | 168,406 | 10,978,387 | ||||||
D. R. Horton, Inc. | 4,233 | 133,255 | ||||||
Darden Restaurants, Inc. | 2,663 | 168,674 | ||||||
Delphi Automotive Plc | 185,730 | 11,626,698 | ||||||
Dick’s Sporting Goods, Inc. | 1,560 | 70,294 | ||||||
Discovery Communications, Inc. - Class A (1) | 3,247 | 81,922 |
Discovery Communications, Inc. - Class C (1) | 5,110 | 121,874 | ||||||
DISH Network Corp. (1) | 3,872 | 202,893 | ||||||
Dollar General Corp. | 226,501 | 21,291,094 | ||||||
Dollar Tree, Inc. (1) | 5,231 | 492,969 | ||||||
Domino’s Pizza, Inc. | 1,141 | 149,905 | ||||||
Dunkin’ Brands Group, Inc. | 2,095 | 91,384 | ||||||
Expedia, Inc. | 2,774 | 294,876 | ||||||
Extended Stay America, Inc. | 233 | 3,483 | ||||||
Foot Locker, Inc. | 2,773 | 152,127 | ||||||
Gap, Inc. | 326 | 6,918 | ||||||
Gentex Corp. | 4,173 | 64,473 | ||||||
Genuine Parts Co. | 3,183 | 322,279 | ||||||
Groupon, Inc. (1) | 9,263 | 30,105 | ||||||
Hanesbrands, Inc. | 8,616 | 216,520 | ||||||
Harley-Davidson, Inc. | 4,138 | 187,451 | ||||||
Harman International Industries, Inc. | 745 | 53,506 | ||||||
Hasbro, Inc. | 2,568 | 215,686 | ||||||
Hilton Worldwide Holdings, Inc. | 10,539 | 237,444 | ||||||
Home Depot, Inc. | 28,720 | 3,667,257 | ||||||
Hyatt Hotels Corp. (1) | 31 | 1,523 | ||||||
Industria De Diseno Textil SA - ADR | 526,870 | 8,777,654 | ||||||
Interpublic Group of Companies, Inc. | 9,264 | 213,998 | ||||||
J.C. Penney Co., Inc. (1) | 344,455 | 3,058,760 | ||||||
Johnson Controls, Inc. | 4,472 | 197,931 | ||||||
Kate Spade & Co. (1) | 2,870 | 59,151 | ||||||
L Brands, Inc. | 1,004 | 67,399 | ||||||
Las Vegas Sands Corp. | 8,418 | 366,099 | ||||||
Lear Corp. | 1,397 | 142,159 | ||||||
Leggett & Platt, Inc. | 3,090 | 157,930 | ||||||
Lennar Corp. - Class A | 2,157 | 99,438 | ||||||
Lennar Corp. - Class B | 157 | 5,848 | ||||||
Liberty Interactive Corp. (1) | 5,713 | 144,939 | ||||||
Liberty Ventures (1) | 566 | 20,982 | ||||||
Lions Gate Entertainment Corp. | 1,380 | 27,917 | ||||||
Live Nation Entertainment, Inc. (1) | 1,711 | 40,209 | ||||||
LKQ Corp. (1) | 6,974 | 221,076 | ||||||
Lowes Companies, Inc. | 687,748 | 54,449,009 |
Lululemon Athletica, Inc. (1) | 2,219 | 163,895 | ||||||
Marriott International, Inc. | 111,673 | 7,421,788 | ||||||
Mattel, Inc. | 7,945 | 248,599 | ||||||
McDonald’s Corp. | 65,468 | 7,878,419 | ||||||
MGM Resorts International (1) | 976 | 22,087 | ||||||
Michael Kors Holdings Ltd. (1) | 3,923 | 194,110 | ||||||
Mohawk Industries, Inc. (1) | 1,115 | 211,582 | ||||||
Morningstar, Inc. | 413 | 33,775 | ||||||
Murphy USA, Inc. (1) | 514 | 38,118 | ||||||
Netflix, Inc. (1) | 117,180 | 10,719,626 | ||||||
Newell Brands, Inc. | 171,661 | 8,337,575 | ||||||
Nike, Inc. | 588,594 | 32,490,389 | ||||||
Nordstrom, Inc. | 2,840 | 108,062 | ||||||
Norwegian Cruise Line Holdings Ltd. (1) | 338 | 13,466 | ||||||
NVR, Inc. (1) | 80 | 142,427 | ||||||
Omnicom Group, Inc. | 5,443 | 443,550 | ||||||
O’Reilly Automotive, Inc. (1) | 2,179 | 590,727 | ||||||
Panera Bread Co. (1) | 517 | 109,573 | ||||||
Polaris Industries, Inc. | 1,375 | 112,420 | ||||||
Pool Corp. | 922 | 86,696 | ||||||
Pulte Group, Inc. | 2,338 | 45,568 | ||||||
Ralph Lauren Corp. | 79 | 7,080 | ||||||
Regal Entertainment Group | 521 | 11,483 | ||||||
Ross Stores, Inc. | 157,099 | 8,905,942 | ||||||
Sally Beauty Holdings, Inc. (1) | 201,563 | 5,927,968 | ||||||
Scripps Networks Interactive, Inc. | 1,882 | 117,192 | ||||||
Service Corp. International | 4,260 | 115,190 | ||||||
ServiceMaster Global Holdings, Inc. (1) | 3,097 | 123,261 | ||||||
Shake Shack, Inc. (1) | 42,933 | 1,564,049 | ||||||
Signet Jewelers Ltd. | 1,637 | 134,905 | ||||||
Sirius XM Holdings, Inc. (1) | 40,684 | 160,702 | ||||||
Six Flags Entertainment Corp. | 1,655 | 95,907 | ||||||
Skechers USA, Inc. (1) | 2,977 | 88,476 | ||||||
Starbucks Corp. | 523,535 | 29,904,319 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 2,284 | 168,902 | ||||||
Starz (1) | 1,907 | 57,057 | ||||||
Steven Madden Ltd. (1) | 136,275 | 4,657,880 |
Target Corp. | 1,460 | 101,937 | ||||||
Tempur Sealy International, Inc. (1) | 1,216 | 67,269 | ||||||
Tesla Motors, Inc. (1) | 29,434 | 6,248,250 | ||||||
The Madison Square Garden Co. (1) | 52,721 | 9,094,900 | ||||||
The Michaels Companies, Inc. (1) | 1,668 | 47,438 | ||||||
The Priceline Group, Inc. (1) | 24,896 | 31,080,415 | ||||||
Thor Industries, Inc. | 1,107 | 71,667 | ||||||
Time Warner, Inc. | 11,922 | 876,744 | ||||||
TJX Companies, Inc. | 15,245 | 1,177,371 | ||||||
Toll Brothers, Inc. (1) | 1,660 | 44,671 | ||||||
Tractor Supply Co. | 3,080 | 280,834 | ||||||
Tribune Media Co. | 139 | 5,446 | ||||||
TripAdvisor, Inc. (1) | 2,603 | 167,373 | ||||||
Tupperware Brands Corp. | 1,147 | 64,553 | ||||||
Twenty-First Century Fox, Inc. - Class A | 19,430 | 525,582 | ||||||
Twenty-First Century Fox, Inc. - Class B | 8,660 | 235,985 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (1) | 1,358 | 330,863 | ||||||
Under Armour, Inc. (1) | 4,232 | 154,044 | ||||||
Under Armour, Inc. (1) | 4,183 | 167,864 | ||||||
Urban Outfitters, Inc. (1) | 1,589 | 43,698 | ||||||
Vail Resorts, Inc. | 823 | 113,763 | ||||||
VF Corp. | 107,010 | 6,580,045 | ||||||
Viacom, Inc. - Class A | 260 | 12,069 | ||||||
Viacom, Inc. - Class B | 7,067 | 293,068 | ||||||
Vista Outdoor, Inc. (1) | 297 | 14,176 | ||||||
Visteon Corp. | 819 | 53,898 | ||||||
Walt Disney Co. | 103,121 | 10,087,296 | ||||||
Wendy’s Co. | 2,734 | 26,301 | ||||||
Whirlpool Corp. | 170 | 28,329 | ||||||
Williams-Sonoma, Inc. | 2,046 | 106,658 | ||||||
Wyndham Worldwide Corp. | 2,537 | 180,711 | ||||||
Wynn Resorts Ltd. | 1,668 | 151,188 | ||||||
Yum! Brands, Inc. | 8,902 | 738,154 | ||||||
|
| |||||||
418,172,014 | ||||||||
|
| |||||||
Consumer Staples - 9.01% | ||||||||
Altria Group, Inc. | 45,149 | 3,113,475 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 1,362 | 31,789 |
Brown Forman Corp. - Class A | 586 | 63,306 | ||||||
Brown Forman Corp. - Class B | 2,145 | 213,985 | ||||||
Campbell Soup Co. | 4,335 | 288,407 | ||||||
Casey’s General Stores, Inc. | 888 | 116,781 | ||||||
Church & Dwight Co., Inc. | 2,975 | 306,098 | ||||||
Clorox Co. | 2,558 | 354,002 | ||||||
Coca Cola Co. | 67,256 | 3,048,714 | ||||||
Colgate Palmolive Co. | 351,904 | 25,759,373 | ||||||
ConAgra Foods, Inc. | 7,994 | 382,193 | ||||||
Constellation Brands, Inc. | 3,819 | 631,663 | ||||||
Costco Wholesale Corp. | 137,884 | 21,653,303 | ||||||
Coty, Inc. | 575 | 14,944 | ||||||
CVS Health Corp. | 127,404 | 12,197,659 | ||||||
Dr Pepper Snapple Group, Inc. | 4,268 | 412,417 | ||||||
Energizer Holdings, Inc. | 438 | 22,553 | ||||||
Flowers Foods, Inc. | 3,762 | 70,537 | ||||||
General Mills, Inc. | 13,710 | 977,797 | ||||||
Herbalife Ltd. (1) | 1,685 | 98,623 | ||||||
Hormel Foods Corp. | 5,408 | 197,933 | ||||||
Ingredion, Inc. | 1,158 | 149,857 | ||||||
Kellogg Co. | 88,533 | 7,228,719 | ||||||
Kimberly-Clark Corp. | 7,060 | 970,609 | ||||||
Kraft Heinz Co. | 1,748 | 154,663 | ||||||
Kroger Co. | 339,705 | 12,497,747 | ||||||
Lauder Estee Companies, Inc. | 5,008 | 455,828 | ||||||
McCormick & Co, Inc. | 2,689 | 286,836 | ||||||
Mead Johnson Nutrition Co. | 1,538 | 139,573 | ||||||
Molson Coors Brewing Co. | 159,415 | 16,121,639 | ||||||
Mondelez International, Inc. | 532,282 | 24,224,154 | ||||||
Monster Beverage Corp. (1) | 28,871 | 4,639,858 | ||||||
Nu Skin Enterprises, Inc. | 396 | 18,291 | ||||||
PepsiCo, Inc. | 29,000 | 3,072,260 | ||||||
Philip Morris International, Inc. | 3,846 | 391,215 | ||||||
Pilgrim’s Pride Corp. | 165 | 4,204 | ||||||
Post Holdings, Inc. (1) | 847 | 70,038 | ||||||
Procter & Gamble Co. | 340,276 | 28,811,169 | ||||||
Reynolds American, Inc. | 130,791 | 7,053,559 |
Rite Aid Corp. (1) | 23,500 | 176,015 | ||||||
Spectrum Brands Holdings, Inc. | 576 | 68,723 | ||||||
Sprouts Farmers Market, Inc. (1) | 3,188 | 73,005 | ||||||
Sysco Corp. | 12,100 | 613,954 | ||||||
The Hain Celestial Group, Inc. (1) | 1,735 | 86,316 | ||||||
The Hershey Co. | 3,238 | 367,481 | ||||||
TreeHouse Foods, Inc. (1) | 395 | 40,547 | ||||||
Tyson Foods, Inc. | 72,649 | 4,852,227 | ||||||
US Foods Holding Corp. (1) | 1,020 | 24,725 | ||||||
Walgreens Boots Alliance, Inc. | 107,364 | 8,940,200 | ||||||
WhiteWave Foods Co. (1) | 3,971 | 186,399 | ||||||
Whole Foods Market, Inc. | 548,704 | 17,569,502 | ||||||
|
| |||||||
209,244,865 | ||||||||
|
| |||||||
Energy - 3.10% | ||||||||
Apache Corp. | 6,068 | 337,806 | ||||||
Cabot Oil & Gas Corp. | 7,418 | 190,939 | ||||||
Chesapeake Energy Corp. (1) | 1,168 | 4,999 | ||||||
Cimarex Energy Co. | 338 | 40,330 | ||||||
Concho Resources, Inc. (1) | 34,372 | 4,099,548 | ||||||
Continental Resources, Inc. (1) | 881 | 39,883 | ||||||
Core Laboratories NV | 127,697 | 15,820,381 | ||||||
Devon Energy Corp. | 1,064 | 38,570 | ||||||
Diamondback Energy, Inc. (1) | 403 | 36,758 | ||||||
EOG Resources, Inc. | 71,955 | 6,002,486 | ||||||
Memorial Resource Development Corp. (1) | 463 | 7,352 | ||||||
Newfield Exploration Co. (1) | 1,157 | 51,116 | ||||||
ONEOK, Inc. | 4,780 | 226,811 | ||||||
Parsley Energy, Inc. (1) | 301 | 8,145 | ||||||
Pioneer Natural Resources Co. | 25,975 | 3,927,680 | ||||||
Schlumberger Ltd. | 518,669 | 41,016,345 | ||||||
Southwestern Energy Co. (1) | 8,942 | 112,490 | ||||||
Spectra Energy Corp. | 2,466 | 90,330 | ||||||
The Williams Companies, Inc. | 2,615 | 56,563 | ||||||
|
| |||||||
72,108,532 | ||||||||
|
| |||||||
Financials - 7.30% | ||||||||
Affiliated Managers Group, Inc. (1) | 26,281 | 3,699,576 | ||||||
Alexandria Real Estate Equities, Inc. | 169 | 17,495 |
American Campus Communities, Inc. | 105,635 | 5,584,922 | ||||||
American Tower Corp. | 9,721 | 1,104,403 | ||||||
Ameriprise Financial, Inc. | 1,091 | 98,026 | ||||||
AmTrust Financial Services, Inc. | 104 | 2,548 | ||||||
Aon Plc | 113,323 | 12,378,271 | ||||||
Arthur J. Gallagher & Co. | 2,751 | 130,948 | ||||||
Artisan Partners Asset Management, Inc. | 848 | 23,473 | ||||||
Bank of America Corp. | 1,130,860 | 15,006,512 | ||||||
Boston Properties, Inc. | 596 | 78,612 | ||||||
Brown & Brown, Inc. | 160 | 5,995 | ||||||
Care Capital Properties, Inc. | 188 | 4,928 | ||||||
CBOE Holdings, Inc. | 1,880 | 125,246 | ||||||
CBRE Group, Inc. (1) | 6,854 | 181,494 | ||||||
Charles Schwab Corp. | 319,501 | 8,086,570 | ||||||
Citizens Financial Group, Inc. | 4,990 | 99,700 | ||||||
Credit Acceptance Corp. (1) | 202 | 37,386 | ||||||
Crown Castle International Corp. | 6,862 | 696,013 | ||||||
CubeSmart | 2,756 | 85,105 | ||||||
CyrusOne, Inc. | 1,418 | 78,926 | ||||||
Digital Realty Trust, Inc. | 2,354 | 256,562 | ||||||
Discover Financial Services | 3,100 | 166,129 | ||||||
Eaton Vance Corp. | 2,506 | 88,562 | ||||||
Empire State Realty Trust, Inc. | 1,699 | 32,264 | ||||||
Equinix, Inc. | 58,749 | 22,778,750 | ||||||
Equity Lifestyle Properties, Inc. | 1,745 | 139,687 | ||||||
Erie Indemnity Co. | 409 | 40,630 | ||||||
Essex Property Trust, Inc. | 622 | 141,872 | ||||||
Extra Space Storage, Inc. | 2,759 | 255,318 | ||||||
Federal Realty Investment Trust | 1,644 | 272,164 | ||||||
Federated Investors, Inc. | 2,137 | 61,503 | ||||||
First Republic Bank | 2,676 | 187,293 | ||||||
Gaming and Leisure Properties, Inc. | 4,276 | 147,436 | ||||||
Harford Financial Services Group, Inc. | 204,430 | 9,072,603 | ||||||
Healthcare Trust of America, Inc. | 2,270 | 73,412 | ||||||
Interactive Brokers Group, Inc. | 180 | 6,372 | ||||||
Intercontinental Exchange, Inc. | 107,580 | 27,536,177 | ||||||
Invesco Ltd. | 1,580 | 40,353 |
Iron Mountain, Inc. | 5,948 | 236,909 | ||||||
Lamar Advertising Co. | 1,874 | 124,246 | ||||||
Lazard Ltd. | 399 | 11,882 | ||||||
Lincoln National Corp. | 1,240 | 48,075 | ||||||
LPL Financial Holdings, Inc. | 283 | 6,376 | ||||||
MarketAxess Holdings, Inc. | 838 | 121,845 | ||||||
Marsh & McLennan Companies, Inc. | 12,021 | 822,958 | ||||||
Moody’s Corp. | 3,517 | 329,578 | ||||||
Morgan Stanley | 165,230 | 4,292,675 | ||||||
MSCI, Inc. | 2,080 | 160,410 | ||||||
NorthStar Asset Management Group, Inc. | 4,210 | 42,984 | ||||||
Omega Healthcare Investors, Inc. | 1,561 | 52,996 | ||||||
Outfront Media, Inc. | 508 | 12,278 | ||||||
Public Storage | 3,402 | 869,517 | ||||||
Regency Centers Corp. | 383 | 32,069 | ||||||
S&P Global, Inc. | 6,078 | 651,926 | ||||||
SEI Investments Co. | 2,917 | 140,337 | ||||||
Senior Housing Properties Trust | 629 | 13,102 | ||||||
Signature Bank (1) | 39,537 | 4,938,962 | ||||||
Simon Property Group, Inc. | 6,433 | 1,395,318 | ||||||
Sovran Self Storage, Inc. | 684 | 71,765 | ||||||
State Street Corp. | 278,590 | 15,021,573 | ||||||
SVB Financial Group (1) | 875 | 83,265 | ||||||
T. Rowe Price Group, Inc. | 4,306 | 314,209 | ||||||
Tanger Factory Outlet Centers, Inc. | 1,925 | 77,347 | ||||||
Taubman Centers, Inc. | 664 | 49,269 | ||||||
TD Ameritrade Holding Corp. | 5,078 | 144,596 | ||||||
The Progressive Corp. | 1,277 | 42,780 | ||||||
Ventas, Inc. | 2,427 | 176,734 | ||||||
Wells Fargo & Co. | 441,950 | 20,917,494 | ||||||
Western Alliance Bancorp (1) | 1,205 | 39,343 | ||||||
Willis Towers Watson Plc | 76,873 | 9,556,083 | ||||||
XL Group Plc | 2,103 | 70,051 | ||||||
|
| |||||||
169,692,188 | ||||||||
|
| |||||||
Healthcare - 17.27% | ||||||||
AbbVie, Inc. | 37,342 | 2,311,843 | ||||||
ABIOMED, Inc. (1) | 907 | 99,126 |
Acadia Healthcare Co., Inc. (1) | 573 | 31,744 | ||||||
ACADIA Pharmaceuticals, Inc. (1) | 2,065 | 67,030 | ||||||
Aetna, Inc. | 74,551 | 9,104,914 | ||||||
Agilent Technologies, Inc. | 1,948 | 86,413 | ||||||
Agios Pharmaceuticals, Inc. (1) | 617 | 25,849 | ||||||
Akorn, Inc. (1) | 1,871 | 53,295 | ||||||
Alere, Inc. (1) | 366 | 15,255 | ||||||
Alexion Pharmaceuticals, Inc. (1) | 69,742 | 8,143,076 | ||||||
Align Technology, Inc. (1) | 52,315 | 4,213,973 | ||||||
Alkermes Plc (1) | 3,436 | 148,504 | ||||||
Allergan Plc (1) | 30,268 | 6,994,632 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 1,484 | 82,347 | ||||||
AmerisourceBergen Corp. | 4,128 | 327,433 | ||||||
Amgen, Inc. | 150,388 | 22,881,534 | ||||||
Amsurg Corp. (1) | 691 | 53,580 | ||||||
Anthem, Inc. | 1,640 | 215,398 | ||||||
Athenahealth, Inc. (1) | 890 | 122,829 | ||||||
Baxter International, Inc. | 1,267 | 57,294 | ||||||
Becton Dickinson and Co. | 4,823 | 817,933 | ||||||
Biogen, Inc. (1) | 44,718 | 10,813,707 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 154,684 | 12,034,415 | ||||||
Bio-Techne Corp. | 839 | 94,614 | ||||||
Boston Scientific Corp. (1) | 31,070 | 726,106 | ||||||
Bristol Myers Squibb Co. | 757,779 | 55,734,645 | ||||||
Bruker Corp. | 2,521 | 57,328 | ||||||
C.R. Bard, Inc. | 1,700 | 399,772 | ||||||
Cardinal Health, Inc. | 6,972 | 543,886 | ||||||
Celgene Corp. (1) | 183,806 | 18,128,786 | ||||||
Centene Corp. (1) | 2,846 | 203,119 | ||||||
Cerner Corp. (1) | 645,641 | 37,834,563 | ||||||
Charles River Laboratories International, Inc. (1) | 1,097 | 90,437 | ||||||
Cigna Corp. | 1,943 | 248,685 | ||||||
Danaher Corp. | 128,140 | 12,942,140 | ||||||
DaVita HealthCare Partners, Inc. (1) | 1,506 | 116,444 | ||||||
DexCom, Inc. (1) | 1,878 | 148,982 | ||||||
Edwards Lifesciences Corp. (1) | 4,875 | 486,184 | ||||||
Eli Lilly & Co. | 176,613 | 13,908,274 |
Envision Healthcare Holdings, Inc. (1) | 3,549 | 90,038 | ||||||
Express Scripts Holding Co. (1) | 12,884 | 976,607 | ||||||
Gilead Sciences, Inc. | 159,279 | 13,287,054 | ||||||
HCA Holdings, Inc. (1) | 4,815 | 370,803 | ||||||
Henry Schein, Inc. (1) | 1,899 | 335,743 | ||||||
Hill-Rom Holdings, Inc. | 1,400 | 70,630 | ||||||
Hologic, Inc. (1) | 6,377 | 220,644 | ||||||
Humana, Inc. | 3,236 | 582,092 | ||||||
IDEXX Laboratories, Inc. (1) | 2,042 | 189,620 | ||||||
Illumina, Inc. (1) | 3,378 | 474,204 | ||||||
IMS Health Holdings, Inc. (1) | 3,455 | 87,619 | ||||||
Incyte Corp. (1) | 3,779 | 302,244 | ||||||
Inovalon Holdings, Inc. (1) | 1,348 | 24,278 | ||||||
Intercept Pharmaceuticals, Inc. (1) | 381 | 54,361 | ||||||
Intrexon Corp. (1) | 1,366 | 33,617 | ||||||
Intuitive Surgical, Inc. (1) | 872 | 576,750 | ||||||
Ionis Pharmaceuticals, Inc. (1) | 2,726 | 63,489 | ||||||
Johnson & Johnson | 218,038 | 26,448,009 | ||||||
Juno Therapeutics, Inc. (1) | 1,294 | 49,741 | ||||||
Laboratory Corp. of America Holdings (1) | 1,048 | 136,523 | ||||||
McKesson Corp. | 46,654 | 8,707,969 | ||||||
Medivation, Inc. (1) | 3,640 | 219,492 | ||||||
MEDNAX, Inc. (1) | 129,981 | 9,414,524 | ||||||
Mettler-Toledo International, Inc. (1) | 600 | 218,952 | ||||||
Mylan (1) | 2,835 | 122,585 | ||||||
Neurocrine Biosciences, Inc. (1) | 1,963 | 89,218 | ||||||
Novo Nordisk A/S - ADR | 110,718 | 5,954,414 | ||||||
OPKO Health, Inc. (1) | 6,880 | 64,259 | ||||||
Patterson Companies, Inc. | 1,915 | 91,709 | ||||||
PerkinElmer, Inc. | 521 | 27,311 | ||||||
Pfizer, Inc. | 652,526 | 22,975,440 | ||||||
Premier, Inc. (1) | 319 | 10,431 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 121,645 | 7,945,851 | ||||||
Regeneron Pharmaceuticals, Inc. (1) | 51,944 | 18,140,403 | ||||||
ResMed, Inc. | 3,182 | 201,198 | ||||||
Seattle Genetics, Inc. (1) | 2,197 | 88,781 | ||||||
Shire Plc - ADR | 68,634 | 12,634,147 |
St. Jude Medical, Inc. | 4,476 | 349,128 | ||||||
Stryker Corp. | 7,759 | 929,761 | ||||||
Teleflex, Inc. | 184 | 32,625 | ||||||
Tenet Healthcare Corp. (1) | 1,831 | 50,609 | ||||||
The Cooper Companies, Inc. | 844 | 144,805 | ||||||
Thermo Fisher Scientific, Inc. | 66,011 | 9,753,785 | ||||||
United Therapeutics Corp. (1) | 280 | 29,658 | ||||||
UnitedHealth Group, Inc. | 21,636 | 3,055,003 | ||||||
Universal Health Services, Inc. | 484 | 64,904 | ||||||
Varian Medical Systems, Inc. (1) | 2,230 | 183,373 | ||||||
VCA, Inc. (1) | 1,776 | 120,075 | ||||||
Veeva Systems, Inc. (1) | 2,193 | 74,825 | ||||||
Vertex Pharmaceuticals, Inc. (1) | 121,978 | 10,492,548 | ||||||
VWR Corp. (1) | 104 | 3,006 | ||||||
Waters Corp. (1) | 1,755 | 246,841 | ||||||
WellCare Health Plans, Inc. (1) | 931 | 99,878 | ||||||
West Pharmaceutical Services, Inc. | 1,640 | 124,443 | ||||||
Zimmer Holdings, Inc. | 2,281 | 274,587 | ||||||
Zoetis, Inc. | 494,920 | 23,488,903 | ||||||
|
| |||||||
401,165,596 | ||||||||
|
| |||||||
Industrials - 7.59% | ||||||||
3M Co. | 13,578 | 2,377,779 | ||||||
A.O. Smith Corp. | 1,665 | 146,703 | ||||||
Acuity Brands, Inc. | 995 | 246,720 | ||||||
Air Lease Corp. | 1,091 | 29,217 | ||||||
Alaska Air Group, Inc. | 2,251 | 131,211 | ||||||
Allegion Plc | 2,193 | 152,260 | ||||||
AMERCO | 84 | 31,462 | ||||||
AMETEK, Inc. | 969 | 44,797 | ||||||
Avis Budget Group, Inc. (1) | 1,910 | 61,559 | ||||||
B/E Aerospace, Inc. | 2,333 | 107,726 | ||||||
Boeing Co. | 73,826 | 9,587,783 | ||||||
BWX Technologies, Inc. | 2,130 | 76,190 | ||||||
C.H. Robinson Worldwide, Inc. | 3,293 | 244,505 | ||||||
Carlisle Companies, Inc. | 428 | 45,231 | ||||||
Cintas Corp. | 2,043 | 200,480 | ||||||
Clean Harbors, Inc. (1) | 95 | 4,950 |
Copart, Inc. (1) | 2,234 | 109,488 | ||||||
Covanta Holding Corp. | 2,732 | 44,941 | ||||||
Deere & Co. | 1,780 | 144,251 | ||||||
Delta Air Lines, Inc. | 13,878 | 505,576 | ||||||
Donaldson Co., Inc. | 2,675 | 91,913 | ||||||
Dun & Bradstreet Corp. | 46,761 | 5,697,360 | ||||||
Emerson Electric Co. | 2,377 | 123,984 | ||||||
Equifax, Inc. | 50,073 | 6,429,373 | ||||||
Expeditors International of Washington, Inc. | 2,922 | 143,295 | ||||||
Fastenal Co. | 121,525 | 5,394,495 | ||||||
FedEx Corp. | 5,756 | 873,646 | ||||||
Flowserve Corp. | 1,805 | 81,532 | ||||||
Fortune Brands Home & Security, Inc. | 3,491 | 202,373 | ||||||
General Dynamics Corp. | 2,360 | 328,606 | ||||||
General Electric Co. | 41,209 | 1,297,259 | ||||||
Graco, Inc. | 1,273 | 100,554 | ||||||
HD Supply Holdings, Inc. (1) | 4,595 | 159,998 | ||||||
HEICO Corp. | 444 | 29,664 | ||||||
Heico Corp. - Class A | 873 | 46,836 | ||||||
Hertz Global Holdings, Inc. (1) | 1,632 | 18,066 | ||||||
Hexcel Corp. | 2,196 | 91,441 | ||||||
Honeywell International, Inc. | 196,600 | 22,868,512 | ||||||
Hubbell, Inc. | 805 | 84,903 | ||||||
Huntington Ingalls Industries, Inc. | 890 | 149,547 | ||||||
IDEX Corp. | 1,617 | 132,756 | ||||||
IHS, Inc. (1) | 1,371 | 158,501 | ||||||
Illinois Tool Works, Inc. | 6,791 | 707,351 | ||||||
Ingersoll-Rand Plc | 2,955 | 188,174 | ||||||
J.B. Hunt Transportation Services, Inc. | 2,027 | 164,045 | ||||||
JetBlue Airways Corp. (1) | 552 | 9,141 | ||||||
Kansas City Southern | 137,328 | 12,371,880 | ||||||
KAR Auction Services, Inc. | 3,146 | 131,314 | ||||||
Landstar System, Inc. | 999 | 68,591 | ||||||
Lennox International, Inc. | 841 | 119,927 | ||||||
Lincoln Electric Holdings, Inc. | 881 | 52,049 | ||||||
Lockheed Martin Corp. | 6,053 | 1,502,173 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,267 | 22,325 |
Masco Corp. | 4,922 | 152,287 | ||||||
MSC Industrial Direct Co., Inc. | 452 | 31,893 | ||||||
Nielsen Holdings Plc | 6,533 | 339,520 | ||||||
Nordson Corp. | 1,318 | 110,198 | ||||||
Northrop Grumman Corp. | 3,838 | 853,111 | ||||||
Old Dominion Freight Line, Inc. (1) | 959 | 57,837 | ||||||
PACCAR, Inc. | 690 | 35,790 | ||||||
Pitney Bowes, Inc. | 4,311 | 76,736 | ||||||
Quanta Services, Inc. (1) | 945 | 21,848 | ||||||
Raytheon Co. | 65,678 | 8,928,924 | ||||||
Robert Half International, Inc. | 2,899 | 110,626 | ||||||
Rockwell Automation, Inc. | 76,045 | 8,731,487 | ||||||
Rockwell Collins, Inc. | 57,323 | 4,880,480 | ||||||
Rollins, Inc. | 2,190 | 64,101 | ||||||
Roper Technologies, Inc. | 1,167 | 199,044 | ||||||
RR Donnelley & Sons Co. | 3,226 | 54,584 | ||||||
Snap-on, Inc. | 968 | 152,770 | ||||||
Southwest Airlines Co. | 14,747 | 578,230 | ||||||
Spirit AeroSystems Holdings, Inc. (1) | 1,561 | 67,123 | ||||||
Stanley Black & Decker, Inc. | 414 | 46,045 | ||||||
Stericycle, Inc. (1) | 1,780 | 185,334 | ||||||
Textron, Inc. | 1,917 | 70,086 | ||||||
The Middleby Corp. (1) | 1,294 | 149,134 | ||||||
The Toro Co. | 1,239 | 109,280 | ||||||
TransDigm Group, Inc. (1) | 76,766 | 20,242,427 | ||||||
TransUnion (1) | 1,211 | 40,496 | ||||||
Tyco International Plc | 166,573 | 7,096,010 | ||||||
Union Pacific Corp. | 295,222 | 25,758,120 | ||||||
United Parcel Service, Inc. | 15,956 | 1,718,780 | ||||||
United Rentals, Inc. (1) | 1,723 | 115,613 | ||||||
United Technologies Corp. | 133,560 | 13,696,578 | ||||||
Valmont Industries, Inc. | 406 | 54,920 | ||||||
Verisk Analytics, Inc. (1) | 76,709 | 6,219,566 | ||||||
W.W. Grainger, Inc. | 1,287 | 292,471 | ||||||
WABCO Holdings, Inc. (1) | 1,213 | 111,074 | ||||||
Wabtec Corp. | 1,963 | 137,862 | ||||||
Waste Management, Inc. | 8,457 | 560,445 | ||||||
Watsco, Inc. | 596 | 83,851 | ||||||
Xylem, Inc. | 2,130 | 95,105 | ||||||
|
| |||||||
176,364,199 | ||||||||
|
|
Information Technology - 30.40% | ||||||||
Accenture Plc | 14,391 | 1,630,356 | ||||||
Activision Blizzard, Inc. | 12,931 | 512,456 | ||||||
Adobe Systems, Inc. (1) | 169,731 | 16,258,532 | ||||||
Akamai Technologies, Inc. (1) | 145,444 | 8,134,683 | ||||||
Alibaba Group Holding Ltd. - ADR (1) | 113,451 | 9,022,758 | ||||||
Alliance Data Systems Corp. (1) | 1,320 | 258,614 | ||||||
Alphabet, Inc. - Class A (1) | 100,636 | 70,800,445 | ||||||
Alphabet, Inc. - Class C (1) | 50,144 | 34,704,662 | ||||||
Amphenol Corp. | 6,909 | 396,093 | ||||||
ANSYS, Inc. (1) | 521 | 47,281 | ||||||
Apple, Inc. | 922,006 | 88,143,774 | ||||||
Applied Materials, Inc. | 394,350 | 9,452,569 | ||||||
Arista Networks, Inc. (1) | 891 | 57,363 | ||||||
ARM Holdings Plc - ADR | 343,373 | 15,626,905 | ||||||
ARRIS International Plc (1) | 978 | 20,499 | ||||||
Atlassian Corporation Plc (1) | 673 | 17,431 | ||||||
Autodesk, Inc. (1) | 3,961 | 214,449 | ||||||
Automatic Data Processing, Inc. | 245,723 | 22,574,572 | ||||||
Black Knight Financial Services, Inc. (1) | 572 | 21,507 | ||||||
Booz Allen Hamilton Holding Corp. | 128,009 | 3,794,187 | ||||||
Broadcom Ltd. | 8,697 | 1,351,514 | ||||||
Broadridge Financial Solutions, Inc. | 2,723 | 177,540 | ||||||
Cadence Design Systems, Inc. (1) | 6,833 | 166,042 | ||||||
CDK Global, Inc. | 3,624 | 201,096 | ||||||
CDW Corp. | 3,716 | 148,937 | ||||||
Cisco Systems, Inc. | 691,930 | 19,851,472 | ||||||
Citrix Systems, Inc. (1) | 3,586 | 287,203 | ||||||
Cognex Corp. | 1,855 | 79,950 | ||||||
Cognizant Technology Solutions - Class A (1) | 13,924 | 797,010 | ||||||
CommScope Holding Co., Inc. (1) | 2,924 | 90,732 | ||||||
CoreLogic, Inc. (1) | 1,189 | 45,753 | ||||||
CoStar Group, Inc. (1) | 23,729 | 5,188,583 | ||||||
Cree, Inc. (1) | 829 | 20,261 |
CSRA, Inc. | 210,545 | 4,933,069 | ||||||
DST Systems, Inc. | 751 | 87,439 | ||||||
eBay, Inc. (1) | 435,909 | 10,204,630 | ||||||
Electronic Arts, Inc. (1) | 6,716 | 508,804 | ||||||
EMC Corp. | 4,739 | 128,759 | ||||||
Euronet Worldwide, Inc. (1) | 1,139 | 78,807 | ||||||
F5 Networks, Inc. (1) | 1,568 | 178,501 | ||||||
Facebook, Inc. (1) | 487,908 | 55,758,126 | ||||||
FactSet Research Systems, Inc. | 917 | 148,022 | ||||||
FEI Co. | 935 | 99,933 | ||||||
Fidelity National Information Services, Inc. | 109,159 | 8,042,835 | ||||||
FireEye, Inc. (1) | 806 | 13,275 | ||||||
First Data Corp. (1) | 7,147 | 79,117 | ||||||
Fiserv, Inc. (1) | 5,119 | 556,589 | ||||||
Fitbit, Inc. (1) | 2,349 | 28,705 | ||||||
FleetCor Technologies, Inc. (1) | 146,416 | 20,956,522 | ||||||
Fortinet, Inc. (1) | 3,282 | 103,678 | ||||||
Gartner, Inc. (1) | 1,870 | 182,157 | ||||||
Genpact Ltd. (1) | 3,396 | 91,149 | ||||||
Global Payments, Inc. | 3,523 | 251,472 | ||||||
GoDaddy, Inc. (1) | 1,064 | 33,186 | ||||||
Guidewire Software, Inc. (1) | 65,714 | 4,058,497 | ||||||
Intel Corp. | 9,892 | 324,458 | ||||||
InterActiveCorp | 1,260 | 70,938 | ||||||
International Business Machines Corp. | 13,941 | 2,115,965 | ||||||
Intuit, Inc. | 5,619 | 627,137 | ||||||
IPG Photonics Corp. (1) | 679 | 54,320 | ||||||
J2 Global, Inc. | 61,149 | 3,862,782 | ||||||
Jack Henry & Associates, Inc. | 1,800 | 157,086 | ||||||
KLA-Tencor Corp. | 3,631 | 265,971 | ||||||
Lam Research Corp. | 2,914 | 244,951 | ||||||
Linear Technology Corp. | 2,553 | 118,791 | ||||||
LinkedIn Corp. (1) | 2,712 | 513,246 | ||||||
Manhattan Associates, Inc. (1) | 1,638 | 105,045 | ||||||
MasterCard, Inc. | 183,945 | 16,198,197 | ||||||
Match Group, Inc. (1) | 690 | 10,402 | ||||||
Maxim Integrated Products, Inc. | 6,462 | 230,629 |
Microchip Technology, Inc. | 4,873 | 247,353 | ||||||
Microsoft Corp. | 1,201,833 | 61,497,795 | ||||||
Motorola Solutions, Inc. | 452 | 29,818 | ||||||
National Instruments Corp. | 1,861 | 50,991 | ||||||
NCR Corp. (1) | 2,822 | 78,367 | ||||||
NetSuite, Inc. (1) | 908 | 66,102 | ||||||
NeuStar, Inc. (1) | 168,111 | 3,952,290 | ||||||
Nuance Communications, Inc. (1) | 3,862 | 60,363 | ||||||
NVIDIA Corp. | 11,744 | 552,085 | ||||||
NXP Semiconductors NV (1) | 119,815 | 9,386,307 | ||||||
ON Semiconductor Corp. (1) | 942 | 8,308 | ||||||
Oracle Corp. | 6,755 | 276,482 | ||||||
Palo Alto Networks, Inc. (1) | 35,703 | 4,378,616 | ||||||
Pandora Media, Inc. (1) | 4,322 | 53,809 | ||||||
Paychex, Inc. | 7,457 | 443,692 | ||||||
PayPal Holdings, Inc. (1) | 26,101 | 952,948 | ||||||
PTC, Inc. (1) | 1,156 | 43,442 | ||||||
Qorvo, Inc. (1) | 308 | 17,020 | ||||||
QUALCOMM, Inc. | 7,053 | 377,829 | ||||||
Rackspace Hosting, Inc. (1) | 2,451 | 51,128 | ||||||
Red Hat, Inc. (1) | 481,885 | 34,984,851 | ||||||
Sabre Corp. | 4,732 | 126,770 | ||||||
Salesforce.com, Inc. (1) | 393,623 | 31,257,602 | ||||||
SAP SE - ADR | 192,499 | 14,441,275 | ||||||
ServiceNow, Inc. (1) | 3,603 | 239,239 | ||||||
Skyworks Solutions, Inc. | 4,058 | 256,790 | ||||||
Splunk, Inc. (1) | 73,597 | 3,987,485 | ||||||
Square, Inc. (1) | 1,181 | 10,688 | ||||||
SS&C Technologies Holdings, Inc. | 3,536 | 99,291 | ||||||
Symantec Corp. | 1,992 | 40,916 | ||||||
Synopsys, Inc. (1) | 359 | 19,415 | ||||||
Tableau Software, Inc. (1) | 1,255 | 61,395 | ||||||
Tencent Holdings Ltd. - ADR | 398,429 | 9,151,914 | ||||||
Teradata Corp. (1) | 2,960 | 74,207 | ||||||
Texas Instruments, Inc. | 218,280 | 13,675,242 | ||||||
The Western Union Co. | 11,334 | 217,386 | ||||||
Total System Services, Inc. | 3,796 | 201,606 |
Trimble Navigation Ltd. (1) | 4,549 | 110,814 | ||||||
Twitter, Inc. (1) | 12,793 | 216,330 | ||||||
Tyler Technologies, Inc. (1) | 755 | 125,866 | ||||||
Ultimate Software Group, Inc. (1) | 646 | 135,847 | ||||||
Vantiv, Inc. (1) | 245,310 | 13,884,546 | ||||||
VeriFone Systems, Inc. (1) | 2,580 | 47,833 | ||||||
VeriSign, Inc. (1) | 2,166 | 187,272 | ||||||
Visa, Inc. | 682,830 | 50,645,501 | ||||||
VMware, Inc. (1) | 583 | 33,359 | ||||||
WEX, Inc. (1) | 887 | 78,650 | ||||||
Workday, Inc. (1) | 101,530 | 7,581,245 | ||||||
Xilinx, Inc. | 1,841 | 84,925 | ||||||
Yelp, Inc. (1) | 1,201 | 36,462 | ||||||
Zebra Technologies Corp. (1) | 968 | 48,497 | ||||||
Zillow Group, Inc. - Class A (1) | 809 | 29,650 | ||||||
Zillow Group, Inc. - Class C (1) | 1,621 | 58,810 | ||||||
|
| |||||||
706,194,843 | ||||||||
|
| |||||||
Materials - 1.68% | ||||||||
Air Products & Chemicals, Inc. | 3,930 | 558,217 | ||||||
AptarGroup, Inc. | 360 | 28,487 | ||||||
Avery Dennison Corp. | 1,920 | 143,520 | ||||||
Axalta Coating Systems Ltd. (1) | 3,761 | 99,779 | ||||||
Ball Corp. | 3,970 | 286,991 | ||||||
Bemis, Inc. | 346 | 17,816 | ||||||
Berry Plastics Group, Inc. (1) | 2,761 | 107,265 | ||||||
Celanese Corp. | 327 | 21,402 | ||||||
Crown Holdings, Inc. (1) | 3,074 | 155,760 | ||||||
DuPont | 20,171 | 1,307,081 | ||||||
Eagle Materials, Inc. | 1,068 | 82,396 | ||||||
Ecolab, Inc. | 204,788 | 24,287,857 | ||||||
FMC Corp. | 2,461 | 113,969 | ||||||
Freeport-McMoRan, Inc. | 6,238 | 69,491 | ||||||
Graphic Packaging Holding Co. | 5,120 | 64,205 | ||||||
International Flavors & Fragrances, Inc. | 1,823 | 229,826 | ||||||
Lyondellbasell Industries NV | 3,573 | 265,903 | ||||||
Martin Marietta Materials, Inc. | 1,339 | 257,088 | ||||||
Monsanto Co. | 6,530 | 675,267 |
NewMarket Corp. | 157 | 65,058 | ||||||
Owens-Illinois, Inc. (1) | 3,682 | 66,313 | ||||||
Packaging Corporation of America | 2,179 | 145,840 | ||||||
PPG Industries, Inc. | 73,510 | 7,656,066 | ||||||
Praxair, Inc. | 5,781 | 649,727 | ||||||
Royal Gold, Inc. | 82 | 5,906 | ||||||
RPM International, Inc. | 2,992 | 149,450 | ||||||
Scotts Miracle-Gro Co. | 980 | 68,512 | ||||||
Sealed Air Corp. | 4,489 | 206,359 | ||||||
Silgan Holdings, Inc. | 972 | 50,019 | ||||||
Southern Copper Corp. | 891 | 24,039 | ||||||
Steel Dynamics, Inc. | 823 | 20,163 | ||||||
The Sherwin-Williams Co. | 1,857 | 545,345 | ||||||
The Valspar Corp. | 1,792 | 193,590 | ||||||
Vulcan Materials Co. | 2,858 | 343,989 | ||||||
W.R. Grace & Co. | 892 | 65,303 | ||||||
|
| |||||||
39,027,999 | ||||||||
|
| |||||||
Telecommunication Services - 1.41% | ||||||||
AT&T, Inc. | 511,490 | 22,101,483 | ||||||
SBA Communications Corp. (1) | 70,931 | 7,656,292 | ||||||
T-Mobile US, Inc. (1) | 4,027 | 174,248 | ||||||
Verizon Communications, Inc. | 47,094 | 2,629,729 | ||||||
Zayo Group Holdings, Inc. (1) | 3,729 | 104,151 | ||||||
|
| |||||||
32,665,903 | ||||||||
|
| |||||||
Utilities - 0.01% | ||||||||
Dominion Resources, Inc. | 874 | 68,111 | ||||||
ITC Holdings Corp. | 1,699 | 79,547 | ||||||
Piedmont Natural Gas Company, Inc. | 140 | 8,417 | ||||||
|
| |||||||
156,075 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,150,998,909) | $ | 2,224,792,214 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 5.16% | ||||||||
Money Market Funds - 5.16% | ||||||||
Goldman Sachs Financial Square Government Fund - Class I , 0.29% (2) | 59,891,289 | $ | 59,891,289 | |||||
JPMorgan U.S. Government Money Market Fund - Class I , 0.30% (2) | 59,891,290 | 59,891,290 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $119,782,579) | $ | 119,782,579 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 100.93% | $ | 2,344,574,793 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.93)% | (21,570,016 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,323,004,777 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(1) | Non-income producing security. |
(2) | Represents annualized seven-day yield as of the close of the reporting period. |
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
Settlement | Notional | Unrealized | ||||||||||||||||||
Number of Contracts Purchased | Description | Counterparty | Month | Amount | Value | Appreciation | ||||||||||||||
1 | E-Mini NASDAQ 100 Index Futures | Morgan Stanley | Sep. 2016 | 87,948 | 88,140 | $ | 192 | |||||||||||||
1 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | 104,227 | 104,510 | 283 | ||||||||||||||
|
| |||||||||||||||||||
$ | 475 | |||||||||||||||||||
|
|
Bridge Builder Large Cap Value Fund
Schedule of Investments
June 30, 2016
Shares | Value | |||||||
COMMON STOCKS - 96.22% | ||||||||
Consumer Discretionary - 10.28% | ||||||||
Aramark | 3,463 | $ | 115,733 | |||||
AutoNation, Inc. (1) | 985 | 46,275 | ||||||
Bed Bath & Beyond, Inc. | 3,343 | 144,484 | ||||||
Best Buy, Inc. | 6,966 | 213,160 | ||||||
Borgwarner, Inc. | 4,796 | 141,578 | ||||||
Brunswick Corp. | 423 | 19,170 | ||||||
Burlington Stores, Inc. (1) | 754 | 50,299 | ||||||
Cabela’s, Inc. (1) | 1,084 | 54,265 | ||||||
CalAtlantic Group, Inc. | 1,646 | 60,425 | ||||||
Carnival Corp. | 274,260 | 12,122,292 | ||||||
CBS Corp. | 323,038 | 17,586,189 | ||||||
Choice Hotels International, Inc. | 260 | 12,381 | ||||||
Clear Channel Outdoor Holdings, Inc. | 519 | 3,228 | ||||||
Coach, Inc. | 5,683 | 231,525 | ||||||
Comcast Corp. - Class A | 4,554 | 296,875 | ||||||
CST Brands, Inc. | 1,870 | 80,560 | ||||||
D. R. Horton, Inc. | 3,824 | 120,380 | ||||||
Dick’s Sporting Goods, Inc. | 479 | 21,584 | ||||||
Dillard’s, Inc. | 477 | 28,906 | ||||||
Discovery Communications, Inc. - Class A (1) | 283 | 7,140 | ||||||
Discovery Communications, Inc. - Class C (1) | 499 | 11,901 | ||||||
DISH Network Corp. (1) | 1,265 | 66,286 | ||||||
Extended Stay America, Inc. | 1,594 | 23,830 | ||||||
Foot Locker, Inc. | 343 | 18,817 | ||||||
Ford Motor Co. | 97,778 | 1,229,069 | ||||||
GameStop Corp. | 2,568 | 68,257 | ||||||
Gap, Inc. | 5,230 | 110,981 | ||||||
Garmin Ltd. | 2,799 | 118,734 | ||||||
General Motors Co. | 35,297 | 998,905 | ||||||
Gentex Corp. | 2,526 | 39,027 |
Genuine Parts Co. | 235 | 23,794 | ||||||
Goodyear Tire & Rubber Co. | 6,715 | 172,307 | ||||||
Graham Holdings Co. | 109 | 53,360 | ||||||
H&R Block, Inc. | 5,642 | 129,766 | ||||||
Hanesbrands, Inc. | 486,800 | 12,233,284 | ||||||
Harman International Industries, Inc. | 950 | 68,229 | ||||||
Hilton Worldwide Holdings, Inc. | 1,581 | 35,620 | ||||||
Hyatt Hotels Corp. (1) | 567 | 27,862 | ||||||
International Game Technology Plc | 2,362 | 44,264 | ||||||
J.C. Penney Co., Inc. (1) | 7,725 | 68,598 | ||||||
John Wiley & Sons, Inc. | 1,103 | 57,555 | ||||||
Johnson Controls, Inc. | 349,618 | 15,474,093 | ||||||
Kohl’s Corp. | 4,641 | 175,987 | ||||||
L Brands, Inc. | 4,991 | 335,046 | ||||||
Lear Corp. | 320 | 32,563 | ||||||
Lennar Corp. - Class A | 2,171 | 100,083 | ||||||
Lennar Corp. - Class B | 120 | 4,470 | ||||||
Liberty Broadband Corp. - Class A (1) | 668 | 39,679 | ||||||
Liberty Broadband Corp. - Class C (1) | 2,594 | 155,640 | ||||||
Liberty Interactive Corp. (1) | 657,338 | 16,676,665 | ||||||
Liberty SiriusXM Group - Class A (1) | 2,283 | 71,595 | ||||||
Liberty SiriusXM Group - Class C (1) | 4,605 | 142,156 | ||||||
Liberty Ventures (1) | 393,185 | 14,575,368 | ||||||
Lions Gate Entertainment Corp. | 839 | 16,973 | ||||||
Live Nation Entertainment, Inc. (1) | 1,413 | 33,205 | ||||||
Lowes Companies, Inc. | 196,772 | 15,578,439 | ||||||
Macy’s, Inc. | 7,753 | 260,578 | ||||||
Marriott International, Inc. | 597 | 39,677 | ||||||
McDonald’s Corp. | 118,798 | 14,296,151 | ||||||
MGM Resorts International (1) | 10,843 | 245,377 | ||||||
Michelin | 189,051 | 17,816,359 | ||||||
Mohawk Industries, Inc. (1) | 324 | 61,482 | ||||||
Murphy USA, Inc. (1) | 365 | 27,068 | ||||||
News Corp. - Class A | 9,541 | 108,290 | ||||||
News Corp. - Class B | 3,051 | 35,605 | ||||||
Nike, Inc. | 415,498 | 22,935,490 | ||||||
Norwegian Cruise Line Holdings Ltd. (1) | 282,032 | 11,236,155 |
NVR, Inc. (1) | 6,300 | 11,216,142 | ||||||
Penske Automotive Group, Inc. | 965 | 30,359 | ||||||
Pulte Group, Inc. | 6,085 | 118,597 | ||||||
PVH Corp. | 2,028 | 191,098 | ||||||
Ralph Lauren Corp. | 1,335 | 119,643 | ||||||
Regal Entertainment Group | 1,458 | 32,134 | ||||||
Royal Caribbean Cruises Ltd. | 185,633 | 12,465,256 | ||||||
SeaWorld Entertainment, Inc. | 229,800 | 3,293,034 | ||||||
Signet Jewelers Ltd. | 172 | 14,175 | ||||||
Staples, Inc. | 16,488 | 142,127 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,738 | 128,525 | ||||||
Target Corp. | 13,258 | 925,674 | ||||||
TEGNA, Inc. | 5,468 | 126,694 | ||||||
The Madison Square Garden Co. (1) | 440 | 75,904 | ||||||
The Michaels Companies, Inc. (1) | 540 | 15,358 | ||||||
Thomson Reuters Corp. | 7,545 | 304,969 | ||||||
Tiffany & Co. | 2,751 | 166,821 | ||||||
Time Warner, Inc. | 304,445 | 22,388,885 | ||||||
TJX Companies, Inc. | 218,640 | 16,885,567 | ||||||
Toll Brothers, Inc. (1) | 2,058 | 55,381 | ||||||
Tribune Media Co. | 1,797 | 70,406 | ||||||
Twenty-First Century Fox, Inc. - Class A | 6,184 | 167,277 | ||||||
Twenty-First Century Fox, Inc. - Class B | 2,781 | 75,782 | ||||||
Urban Outfitters, Inc. (1) | 496 | 13,640 | ||||||
VF Corp. | 176,608 | 10,859,626 | ||||||
Viacom, Inc. - Class A | 54 | 2,507 | ||||||
Viacom, Inc. - Class B | 1,023 | 42,424 | ||||||
Vista Outdoor, Inc. (1) | 1,257 | 59,997 | ||||||
Walt Disney Co. | 91,685 | 8,968,627 | ||||||
Wendy’s Co. | 2,259 | 21,732 | ||||||
Whirlpool Corp. | 1,684 | 280,622 | ||||||
Wynn Resorts Ltd. | 175 | 15,862 | ||||||
|
| |||||||
266,705,934 | ||||||||
|
| |||||||
Consumer Staples - 8.07% | ||||||||
Altria Group, Inc. | 263,000 | 18,136,480 | ||||||
Archer-Daniels-Midland Co. | 14,471 | 620,661 | ||||||
Brown Forman Corp. - Class A | 39 | 4,213 |
Brown Forman Corp. - Class B | 143 | 14,266 | ||||||
Bunge Ltd. | 3,494 | 206,670 | ||||||
Clorox Co. | 482 | 66,704 | ||||||
Coca Cola Co. | 444,863 | 20,165,640 | ||||||
Colgate Palmolive Co. | 306,496 | 22,435,507 | ||||||
ConAgra Foods, Inc. | 2,308 | 110,346 | ||||||
Costco Wholesale Corp. | 153,445 | 24,097,003 | ||||||
Coty, Inc. | 503 | 13,073 | ||||||
CVS Health Corp. | 149,310 | 14,294,939 | ||||||
Diageo Plc ADR | 156,365 | 17,650,481 | ||||||
Edgewell Personal Care Co. (1) | 1,482 | 125,096 | ||||||
Energizer Holdings, Inc. | 1,062 | 54,682 | ||||||
Flowers Foods, Inc. | 384 | 7,200 | ||||||
Hormel Foods Corp. | 858 | 31,403 | ||||||
Ingredion, Inc. | 531 | 68,717 | ||||||
Kellogg Co. | 481 | 39,274 | ||||||
Kimberly-Clark Corp. | 1,339 | 184,086 | ||||||
Kraft Heinz Co. | 13,092 | 1,158,380 | ||||||
Mead Johnson Nutrition Co. | 3,007 | 272,885 | ||||||
Molson Coors Brewing Co. | 4,322 | 437,084 | ||||||
Mondelez International, Inc. | 37,631 | 1,712,587 | ||||||
Nu Skin Enterprises, Inc. | 984 | 45,451 | ||||||
PepsiCo, Inc. | 149,532 | 15,841,420 | ||||||
Philip Morris International, Inc. | 147,064 | 14,959,350 | ||||||
Pilgrim’s Pride Corp. | 1,273 | 32,436 | ||||||
Pinnacle Foods, Inc. | 2,902 | 134,334 | ||||||
Post Holdings, Inc. (1) | 680 | 56,229 | ||||||
Procter & Gamble Co. | 255,058 | 21,595,761 | ||||||
Reynolds American, Inc. | 255,495 | 13,778,845 | ||||||
The Hain Celestial Group, Inc. (1) | 650 | 32,338 | ||||||
The J. M. Smucker Co. | 2,913 | 443,970 | ||||||
TreeHouse Foods, Inc. (1) | 943 | 96,799 | ||||||
Tyson Foods, Inc. | 3,898 | 260,347 | ||||||
Walgreens Boots Alliance, Inc. | 207,937 | 17,314,914 | ||||||
Wal-Mart Stores, Inc. | 38,114 | 2,783,084 | ||||||
Whole Foods Market, Inc. | 6,663 | 213,349 | ||||||
|
| |||||||
209,496,004 | ||||||||
|
|
Energy - 9.05% | ||||||||
Anadarko Petroleum Corp. | 12,850 | 684,262 | ||||||
Antero Resources Corp. (1) | 4,121 | 107,064 | ||||||
Apache Corp. | 523,105 | 29,121,255 | ||||||
Baker Hughes, Inc. | 11,028 | 497,694 | ||||||
BP Plc ADR | 419,600 | 14,899,996 | ||||||
Cabot Oil & Gas Corp. | 3,413 | 87,851 | ||||||
Cheniere Energy, Inc. (1) | 5,013 | 188,238 | ||||||
Chesapeake Energy Corp. (1) | 14,000 | 59,920 | ||||||
Chevron Corp. | 190,568 | 19,977,243 | ||||||
Cimarex Energy Co. | 1,979 | 236,134 | ||||||
Columbia Pipeline Group, Inc. | 10,156 | 258,876 | ||||||
Concho Resources, Inc. (1) | 3,297 | 393,233 | ||||||
ConocoPhillips | 339,750 | 14,813,100 | ||||||
CONSOL Energy, Inc. | 5,828 | 93,773 | ||||||
Continental Resources, Inc. (1) | 1,208 | 54,686 | ||||||
Devon Energy Corp. | 810,687 | 29,387,404 | ||||||
Diamond Offshore Drilling, Inc. | 1,654 | 40,242 | ||||||
Diamondback Energy, Inc. (1) | 1,357 | 123,772 | ||||||
Dril-Quip, Inc. (1) | 950 | 55,508 | ||||||
Energen Corp. | 2,484 | 119,754 | ||||||
Ensco Plc | 7,550 | 73,310 | ||||||
EOG Resources, Inc. | 221,842 | 18,506,060 | ||||||
EQT Corp. | 4,328 | 335,117 | ||||||
Exxon Mobil Corp. | 232,308 | 21,776,552 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 548,600 | 4,229,706 | ||||||
FMC Technologies, Inc. (1) | 5,666 | 151,112 | ||||||
Franks International | 887 | 12,959 | ||||||
Gulfport Energy Corp. (1) | 3,128 | 97,781 | ||||||
Halliburton Co. | 21,593 | 977,947 | ||||||
Helmerich & Payne, Inc. | 2,422 | 162,589 | ||||||
Hess Corp. | 349,603 | 21,011,140 | ||||||
HollyFrontier Corp. | 4,076 | 96,887 | ||||||
Kinder Morgan, Inc. | 48,434 | 906,684 | ||||||
Kosmos Energy Ltd. (1) | 3,942 | 21,484 | ||||||
Laredo Petroleum, Inc. (1) | 3,369 | 35,307 | ||||||
Marathon Oil Corp. | 21,312 | �� | 319,893 |
Marathon Petroleum Corp. | 149,430 | 5,672,363 | ||||||
Memorial Resource Development Corp. (1) | 2,036 | 32,332 | ||||||
Murphy Oil Corp. | 4,099 | 130,143 | ||||||
Nabors Industries Ltd. | 6,813 | 68,471 | ||||||
National Oilwell Varco, Inc. | 9,497 | 319,574 | ||||||
Newfield Exploration Co. (1) | 3,717 | 164,217 | ||||||
Noble Corp. Plc | 6,031 | 49,695 | ||||||
Noble Energy, Inc. | 10,688 | 383,379 | ||||||
Occidental Petroleum Corp. | 213,803 | 16,154,955 | ||||||
Oceaneering International, Inc. | 2,459 | 73,426 | ||||||
Parsley Energy, Inc. (1) | 3,464 | 93,736 | ||||||
Patterson-UTI Energy, Inc. | 3,741 | 79,758 | ||||||
PBF Energy, Inc. | 2,456 | 58,404 | ||||||
Phillips 66 | 179,349 | 14,229,550 | ||||||
Pioneer Natural Resources Co. | 4,096 | 619,356 | ||||||
QEP Resources, Inc. | 5,450 | 96,083 | ||||||
Range Resources Corp. | 4,182 | 180,411 | ||||||
Rowan Companies Plc | 3,156 | 55,735 | ||||||
RPC, Inc. (1) | 1,424 | 22,115 | ||||||
Schlumberger Ltd. | 178,034 | 14,078,929 | ||||||
SM Energy Co. | 1,690 | 45,630 | ||||||
Spectra Energy Corp. | 14,892 | 545,494 | ||||||
Superior Energy Services, Inc. | 3,774 | 69,479 | ||||||
Targa Resources Corp. | 3,922 | 165,273 | ||||||
Tesoro Corp. | 3,031 | 227,083 | ||||||
The Williams Companies, Inc. | 14,444 | 312,424 | ||||||
Transocean Ltd. | 8,670 | 103,086 | ||||||
Valero Energy Corp. | 11,822 | 602,922 | ||||||
Weatherford International Plc (1) | 22,428 | 124,475 | ||||||
Whiting Petroleum Corp. (1) | 5,254 | 48,652 | ||||||
World Fuel Services Corp. | 1,736 | 82,443 | ||||||
WPX Energy, Inc. (1) | 6,932 | 64,537 | ||||||
|
| |||||||
234,868,663 | ||||||||
|
| |||||||
Financials - 20.23% | ||||||||
Affiliated Managers Group, Inc. (1) | 175 | 24,635 | ||||||
Aflac, Inc. | 10,118 | 730,115 | ||||||
Alexandria Real Estate Equities, Inc. | 1,649 | 170,704 |
Alleghany Corp. (1) | 32,277 | 17,738,794 | ||||||
Allied World Assurance Co. Holdings AG | 2,202 | 77,378 | ||||||
Allstate Corp. | 9,413 | 658,439 | ||||||
Ally Financial, Inc. (1) | 11,112 | 189,682 | ||||||
American Campus Communities, Inc. | 3,301 | 174,524 | ||||||
American Capital Agency Corp. | 820,972 | 16,271,665 | ||||||
American Express Co. | 440,634 | 26,772,922 | ||||||
American Financial Group, Inc. | 1,741 | 128,712 | ||||||
American Homes 4 Rent | 4,180 | 85,606 | ||||||
American International Group, Inc. | 244,936 | 12,954,665 | ||||||
American National Insurance Co. | 202 | 22,856 | ||||||
Ameriprise Financial, Inc. | 86,347 | 7,758,278 | ||||||
AmTrust Financial Services, Inc. | 2,059 | 50,445 | ||||||
Annaly Capital Management, Inc. | 23,250 | 257,377 | ||||||
Apartment Investment & Management Co. | 3,890 | 171,782 | ||||||
Apple Hospitality REIT, Inc. | 4,127 | 77,629 | ||||||
Arch Capital Group Ltd. (1) | 2,881 | 207,432 | ||||||
Arthur J. Gallagher & Co. | 1,385 | 65,926 | ||||||
Aspen Insurance Holdings Ltd. | 1,512 | 70,127 | ||||||
Associated Banc Corp. | 3,674 | 63,009 | ||||||
Assurant, Inc. | 1,552 | 133,953 | ||||||
Assured Guaranty Ltd. | 3,341 | 84,761 | ||||||
AvalonBay Communities, Inc. | 3,448 | 621,985 | ||||||
Axis Capital Holdings Ltd. | 2,297 | 126,335 | ||||||
Bank of America Corp. | 1,232,770 | 16,358,858 | ||||||
Bank of Hawaii Corp. | 1,065 | 73,272 | ||||||
Bank of New York Mellon Corp. | 26,362 | 1,024,164 | ||||||
BankUnited, Inc. | 2,493 | 76,585 | ||||||
BB&T Corp. | 20,470 | 728,937 | ||||||
Berkshire Hathaway, Inc. - Class B (1) | 313,681 | 45,417,872 | ||||||
BlackRock, Inc. | 40,312 | 13,808,069 | ||||||
BOK Financial Corp. | 644 | 40,379 | ||||||
Boston Properties, Inc. | 3,195 | 421,420 | ||||||
Brandywine Realty Trust | 4,319 | 72,559 | ||||||
Brixmor Property Group, Inc. | 4,804 | 127,114 | ||||||
Brown & Brown, Inc. | 2,748 | 102,968 | ||||||
Camden Property Trust | 2,155 | 190,545 |
Capital One Financial Corp. | 241,750 | 15,353,542 | ||||||
Care Capital Properties, Inc. | 1,900 | 49,799 | ||||||
Charles Schwab Corp. | 6,014 | 152,214 | ||||||
Chimera Investment Corp. | 4,707 | 73,900 | ||||||
Chubb Ltd. | 322,945 | 42,212,141 | ||||||
Cincinnati Financial Corp. | 3,768 | 282,186 | ||||||
CIT Group, Inc. | 5,002 | 159,614 | ||||||
Citigroup, Inc. | 928,406 | 39,355,130 | ||||||
Citizens Financial Group, Inc. | 7,805 | 155,944 | ||||||
CME Group, Inc. | 8,503 | 828,192 | ||||||
CNA Financial Corp. | 729 | 22,905 | ||||||
Columbia Property Trust, Inc. | 3,142 | 67,239 | ||||||
Comerica, Inc. | 4,386 | 180,396 | ||||||
Commerce Bancshares, Inc. | 2,133 | 102,171 | ||||||
Communications Sales & Leasing, Inc. | 3,109 | 89,850 | ||||||
Corporate Office Properties Trust | 2,371 | 70,110 | ||||||
Corrections Corp of America | 2,964 | 103,799 | ||||||
Crown Castle International Corp. | 964 | 97,779 | ||||||
CubeSmart | 1,426 | 44,035 | ||||||
Cullen/Frost Bankers, Inc. | 1,334 | 85,016 | ||||||
CyrusOne, Inc. | 217 | 12,078 | ||||||
DCT Industrial Trust, Inc. | 2,262 | 108,666 | ||||||
DDR Corp. | 7,861 | 142,599 | ||||||
Digital Realty Trust, Inc. | 1,105 | 120,434 | ||||||
Discover Financial Services | 202,320 | 10,842,329 | ||||||
Douglas Emmett, Inc. | 3,512 | 124,746 | ||||||
Duke Realty Corp. | 8,701 | 231,969 | ||||||
E*TRADE Financial Corp. (1) | 385,915 | 9,065,143 | ||||||
East West Bancorp, Inc. | 3,604 | 123,185 | ||||||
Empire State Realty Trust, Inc. | 1,180 | 22,408 | ||||||
Endurance Specialty Holdings Ltd. | 1,605 | 107,792 | ||||||
EPR Properties | 1,584 | 127,797 | ||||||
Equity Commonwealth (1) | 3,066 | 89,313 | ||||||
Equity One, Inc. | 2,298 | 73,950 | ||||||
Equity Residential | 8,964 | 617,440 | ||||||
Erie Indemnity Co. | 163 | 16,192 | ||||||
Essex Property Trust, Inc. | 956 | 218,054 |
Everest Re Group Ltd. | 1,024 | 187,054 | ||||||
Fifth Third Bancorp | 513,519 | 9,032,799 | ||||||
First American Financial Corp. | 2,677 | 107,669 | ||||||
First Horizon National Corp. | 5,786 | 79,731 | ||||||
First Niagara Financial Group, Inc. | 9,036 | 88,011 | ||||||
First Republic Bank | 722 | 50,533 | ||||||
FNF Group | 293,398 | 11,002,425 | ||||||
Forest City Realty Trust, Inc. | 5,737 | 127,992 | ||||||
Franklin Resources, Inc. | 9,071 | 302,699 | ||||||
General Growth Properties, Inc. | 14,479 | 431,764 | ||||||
Hanover Insurance Group, Inc. | 1,062 | 89,866 | ||||||
Harford Financial Services Group, Inc. | 9,843 | 436,832 | ||||||
HCP, Inc. | 11,759 | 416,033 | ||||||
Healthcare Trust of America, Inc. | 900 | 29,106 | ||||||
Highwoods Properties, Inc. | 2,406 | 127,037 | ||||||
Hospitality Properties Trust | 3,601 | 103,709 | ||||||
Host Hotels & Resorts, Inc. | 18,503 | 299,934 | ||||||
Huntington Bancshares, Inc. | 20,151 | 180,150 | ||||||
Interactive Brokers Group, Inc. | 1,407 | 49,808 | ||||||
Intercontinental Exchange, Inc. | 1,543 | 394,946 | ||||||
Invesco Ltd. | 8,602 | 219,695 | ||||||
Jones Lang LaSalle, Inc. | 1,131 | 110,216 | ||||||
JPMorgan Chase & Co. | 343,525 | 21,346,643 | ||||||
KeyCorp | 922,299 | 10,191,404 | ||||||
Kilroy Realty Corp. | 2,299 | 152,401 | ||||||
Kimco Realty Corp. | 10,145 | 318,350 | ||||||
Lazard Ltd. | 2,762 | 82,252 | ||||||
Legg Mason, Inc. | 2,641 | 77,883 | ||||||
Leucadia National Corp. | 8,259 | 143,128 | ||||||
Liberty Property Trust | 3,671 | 145,812 | ||||||
Lincoln National Corp. | 4,640 | 179,893 | ||||||
Loews Corp. | 7,041 | 289,315 | ||||||
LPL Financial Holdings, Inc. | 1,848 | 41,635 | ||||||
M&T Bank Corp. | 3,760 | 444,545 | ||||||
Markel Corp. (1) | 344 | 327,756 | ||||||
Marsh & McLennan Companies, Inc. | 329,139 | 22,532,856 | ||||||
Mercury General Corp. | 241 | 12,812 |
MetLife, Inc. | 23,420 | 932,819 | ||||||
MFA Financial, Inc. | 9,290 | 67,538 | ||||||
Mid-America Apartment Communities, Inc. | 1,892 | 201,309 | ||||||
Moody’s Corp. | 448 | 41,982 | ||||||
Morgan Stanley | 35,938 | 933,669 | ||||||
Nasdaq OMX Group, Inc. | 2,816 | 182,111 | ||||||
National Retail Properties, Inc. | 3,589 | 185,623 | ||||||
Navient Corp. | 694,763 | 8,302,418 | ||||||
New York Community Bancorp, Inc. | 898,411 | 13,467,181 | ||||||
Northern Trust Corp. | 5,205 | 344,883 | ||||||
NorthStar Realty Finance Corp. | 4,452 | 50,886 | ||||||
Old Republic International Corp. | 6,071 | 117,110 | ||||||
Omega Healthcare Investors, Inc. | 2,909 | 98,761 | ||||||
OneMain Holdings, Inc. (1) | 1,277 | 29,141 | ||||||
Outfront Media, Inc. | 2,909 | 70,311 | ||||||
PacWest Bancorp | 2,949 | 117,311 | ||||||
Paramount Group, Inc. | 4,525 | 72,129 | ||||||
People’s United Financial, Inc. | 7,765 | 113,835 | ||||||
Piedmont Office Realty Trust, Inc. | 3,658 | 78,793 | ||||||
PNC Financial Services Group, Inc. | 321,102 | 26,134,492 | ||||||
Popular, Inc. | 2,595 | 76,034 | ||||||
Post Properties, Inc. | 1,323 | 80,769 | ||||||
Principal Financial Group, Inc. | 6,727 | 276,547 | ||||||
ProAssurance Corp. | 1,320 | 70,686 | ||||||
Prologis, Inc. | 13,131 | 643,944 | ||||||
Prudential Financial, Inc. | 11,127 | 793,800 | ||||||
Public Storage | 53,345 | 13,634,449 | ||||||
Raymond James Financial, Inc. | 3,194 | 157,464 | ||||||
Rayonier, Inc. | 3,081 | 80,845 | ||||||
Realogy Holdings Corp. (1) | 3,631 | 105,372 | ||||||
Realty Income Corp. | 6,481 | 449,522 | ||||||
Regency Centers Corp. | 1,998 | 167,293 | ||||||
Regions Financial Corp. | 31,886 | 271,350 | ||||||
Reinsurance Group of America, Inc. | 1,605 | 155,669 | ||||||
RenaissanceRe Holdings Ltd. | 1,061 | 124,604 | ||||||
Retail Properties of America, Inc. | 5,964 | 100,792 | ||||||
Santander Consumer USA Holdings, Inc. (1) | 2,649 | 27,364 |
Senior Housing Properties Trust | 5,221 | 108,753 | ||||||
Signature Bank (1) | 544 | 67,956 | ||||||
Simon Property Group, Inc. | 729 | 158,120 | ||||||
SL Green Realty Corp. | 2,451 | 260,958 | ||||||
SLM Corp. (1) | 1,276,897 | 7,891,223 | ||||||
Sovran Self Storage, Inc. | 396 | 41,548 | ||||||
Spirit Realty Capital, Inc. | 12,044 | 153,802 | ||||||
Starwood Property Trust, Inc. | 5,823 | 120,653 | ||||||
State Street Corp. | 178,326 | 9,615,338 | ||||||
STORE Capital Corp. | 3,789 | 111,586 | ||||||
Sun Communities, Inc. | 1,570 | 120,325 | ||||||
SunTrust Banks, Inc. | 12,617 | 518,306 | ||||||
SVB Financial Group (1) | 339 | 32,259 | ||||||
Synchrony Financial (1) | 21,035 | 531,765 | ||||||
Synovus Financial Corp. | 3,203 | 92,855 | ||||||
T. Rowe Price Group, Inc. | 1,441 | 105,150 | ||||||
Tanger Factory Outlet Centers, Inc. | 225 | 9,041 | ||||||
Taubman Centers, Inc. | 740 | 54,908 | ||||||
TCF Financial Corp. | 4,052 | 51,258 | ||||||
TD Ameritrade Holding Corp. | 682 | 19,420 | ||||||
TFS Financial Corp. | 1,434 | 24,693 | ||||||
The Goldman Sachs Group, Inc. | 135,813 | 20,179,096 | ||||||
The Howard Hughes Corp. (1) | 908 | 103,803 | ||||||
The Macerich Co. | 3,606 | 307,916 | ||||||
The Progressive Corp. | 13,223 | 442,971 | ||||||
Torchmark Corp. | 2,985 | 184,533 | ||||||
Travelers Companies, Inc. | 7,347 | 874,587 | ||||||
Two Harbors Investment Corp. | 8,685 | 74,344 | ||||||
U.S. Bancorp | 40,899 | 1,649,457 | ||||||
UDR, Inc. | 6,663 | 245,998 | ||||||
Unum Group | 5,981 | 190,136 | ||||||
Validus Holdings Ltd. | 1,888 | 91,738 | ||||||
Ventas, Inc. | 5,831 | 424,613 | ||||||
VEREIT, Inc. | 22,808 | 231,273 | ||||||
Vornado Realty Trust | 4,316 | 432,118 | ||||||
Voya Financial, Inc. | 5,096 | 126,177 | ||||||
W.P. Carey, Inc. | 2,601 | 180,561 |
W.R. Berkley Corp. | 2,423 | 145,186 | ||||||
Weingarten Realty Investors | 2,925 | 119,399 | ||||||
Wells Fargo & Co. | 725,424 | 34,334,318 | ||||||
Welltower, Inc. | 8,984 | 684,311 | ||||||
Western Alliance Bancorp (1) | 1,020 | 33,303 | ||||||
Weyerhaeuser Co. | 18,650 | 555,211 | ||||||
White Mountains Insurance Group Ltd. | 118 | 99,356 | ||||||
Willis Towers Watson Plc | 66,600 | 8,279,046 | ||||||
XL Group Plc | 4,652 | 154,958 | ||||||
Zions Bancorp | 5,056 | 127,057 | ||||||
|
| |||||||
524,937,418 | ||||||||
|
| |||||||
Healthcare - 12.88% | ||||||||
Abbott Laboratories | 36,975 | 1,453,487 | ||||||
Acadia Healthcare Co., Inc. (1) | 1,201 | 66,535 | ||||||
Aetna, Inc. | 5,672 | 692,721 | ||||||
Agilent Technologies, Inc. | 6,032 | 267,580 | ||||||
Alere, Inc. (1) | 1,770 | 73,774 | ||||||
Allergan Plc (1) | 4,065 | 939,381 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 4,686 | 59,512 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 249 | 13,817 | ||||||
Amgen, Inc. | 95,113 | 14,471,443 | ||||||
Amsurg Corp. (1) | 592 | 45,904 | ||||||
Anthem, Inc. | 107,527 | 14,122,596 | ||||||
Baxter International, Inc. | 11,156 | 504,474 | ||||||
Bayer AG ADR | 89,200 | 8,977,980 | ||||||
Bio-Rad Laboratories, Inc. (1) | 522 | 74,657 | ||||||
Brookdale Senior Living, Inc. (1) | 4,624 | 71,395 | ||||||
Cardinal Health, Inc. | 363,660 | 28,369,117 | ||||||
Centene Corp. (1) | 1,114 | 79,506 | ||||||
Cigna Corp. | 89,659 | 11,475,455 | ||||||
Danaher Corp. | 11,217 | 1,132,917 | ||||||
DaVita HealthCare Partners, Inc. (1) | 2,557 | 197,707 | ||||||
DENTSPLY SIRONA, Inc. | 5,778 | 358,467 | ||||||
Endo International Plc (1) | 5,143 | 80,179 | ||||||
Envision Healthcare Holdings, Inc. (1) | 772 | 19,586 | ||||||
Express Scripts Holding Co. (1) | 200,664 | 15,210,331 | ||||||
Gilead Sciences, Inc. | 156,693 | 13,071,330 |
HCA Holdings, Inc. (1) | 2,495 | 192,140 | ||||||
Hill-Rom Holdings, Inc. | 93 | 4,692 | ||||||
Humana, Inc. | 222 | 39,933 | ||||||
Johnson & Johnson | 327,232 | 39,693,242 | ||||||
Juno Therapeutics, Inc. (1) | 155 | 5,958 | ||||||
Laboratory Corp. of America Holdings (1) | 1,420 | 184,983 | ||||||
LifePoint Health, Inc. (1) | 1,012 | 66,154 | ||||||
Mallinckrodt Plc (1) | 2,749 | 167,084 | ||||||
McKesson Corp. | 45,274 | 8,450,392 | ||||||
MEDNAX, Inc. (1) | 684 | 49,542 | ||||||
Medtronic Plc | 499,093 | 43,306,300 | ||||||
Merck & Co., Inc. | 643,061 | 37,046,744 | ||||||
Mylan (1) | 7,860 | 339,866 | ||||||
OPKO Health, Inc. (1) | 687 | 6,417 | ||||||
PerkinElmer, Inc. | 2,155 | 112,965 | ||||||
Perrigo Co. Plc | 3,461 | 313,809 | ||||||
Pfizer, Inc. | 587,907 | 20,700,206 | ||||||
Premier, Inc. (1) | 798 | 26,095 | ||||||
QIAGEN (1) | 5,732 | 125,015 | ||||||
Quest Diagnostics, Inc. | 3,559 | 289,738 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 715 | 46,704 | ||||||
Roche Holding Ltd. ADR | 415,098 | 13,677,479 | ||||||
Sanofi ADR | 302,800 | 12,672,180 | ||||||
Shire Plc ADR | 0 | 27 | ||||||
St. Jude Medical, Inc. | 2,141 | 166,998 | ||||||
Teleflex, Inc. | 895 | 158,693 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 180,600 | 9,071,538 | ||||||
The Cooper Companies, Inc. | 267 | 45,809 | ||||||
Thermo Fisher Scientific, Inc. | 5,385 | 795,688 | ||||||
United Therapeutics Corp. (1) | 799 | 84,630 | ||||||
UnitedHealth Group, Inc. | 242,085 | 34,182,402 | ||||||
Universal Health Services, Inc. | 1,620 | 217,242 | ||||||
VWR Corp. (1) | 1,844 | 53,292 | ||||||
WellCare Health Plans, Inc. (1) | 87 | 9,333 | ||||||
Zimmer Holdings, Inc. | 2,177 | 262,067 | ||||||
|
| |||||||
334,395,208 | ||||||||
|
|
Industrials - 14.08% | ||||||||
AECOM (1) | 3,825 | 121,520 | ||||||
AGCO Corp. | 1,749 | 82,430 | ||||||
Air Lease Corp. | 717,236 | 19,207,580 | ||||||
Alaska Air Group, Inc. | 533 | 31,069 | ||||||
Allison Transmission Holdings, Inc. | 3,554 | 100,329 | ||||||
AMERCO | 59 | 22,098 | ||||||
American Airlines Group, Inc. | 14,508 | 410,721 | ||||||
AMETEK, Inc. | 4,724 | 218,390 | ||||||
Armstrong World Industries, Inc. (1) | 1,166 | 45,649 | ||||||
Canadian National Railway Co. | 308,837 | 18,239,913 | ||||||
Carlisle Companies, Inc. | 1,103 | 116,565 | ||||||
Caterpillar, Inc. | 14,043 | 1,064,600 | ||||||
Chicago Bridge & Iron Co. | 2,619 | 90,696 | ||||||
Clean Harbors, Inc. (1) | 1,210 | 63,053 | ||||||
Colfax Corp. (1) | 2,434 | 64,404 | ||||||
Copa Holdings SA | 822 | 42,958 | ||||||
Crane Co. | 1,245 | 70,616 | ||||||
CSX Corp. | 24,026 | 626,598 | ||||||
Cummins, Inc. | 3,970 | 446,387 | ||||||
Deere & Co. | 163,165 | 13,222,892 | ||||||
Delta Air Lines, Inc. | 4,290 | 156,285 | ||||||
Donaldson Co., Inc. | 279 | 9,586 | ||||||
Dover Corp. | 3,855 | 267,229 | ||||||
Dun & Bradstreet Corp. | 545 | 66,403 | ||||||
Eaton Corp. Plc | 78,712 | 4,701,468 | ||||||
Emerson Electric Co. | 13,516 | 704,995 | ||||||
Expeditors International of Washington, Inc. | 1,351 | 66,253 | ||||||
Flowserve Corp. | 1,280 | 57,818 | ||||||
Fluor Corp. | 3,521 | 173,515 | ||||||
General Dynamics Corp. | 137,993 | 19,214,145 | ||||||
General Electric Co. | 186,899 | 5,883,580 | ||||||
Genesee & Wyoming, Inc. (1) | 1,421 | 83,768 | ||||||
Hertz Global Holdings, Inc. (1) | 7,266 | 80,435 | ||||||
Honeywell International, Inc. | 261,367 | 30,402,209 | ||||||
Hubbell, Inc. | 494 | 52,102 | ||||||
Huntington Ingalls Industries, Inc. | 192 | 32,262 | ||||||
IDEX Corp. | 136 | 11,166 |
IHS, Inc. (1) | 179 | 20,694 | ||||||
Ingersoll-Rand Plc | 3,223 | 205,241 | ||||||
ITT, Inc. | 2,270 | 72,595 | ||||||
Jacobs Engineering Group, Inc. (1) | 426,114 | 21,224,738 | ||||||
JetBlue Airways Corp. (1) | 7,484 | 123,935 | ||||||
Joy Global, Inc. | 625,241 | 13,217,595 | ||||||
Kansas City Southern | 2,707 | 243,874 | ||||||
KBR, Inc. | 424,096 | 5,615,031 | ||||||
Kirby Corp. (1) | 1,325 | 82,667 | ||||||
L-3 Communications Holdings, Inc. | 1,927 | 282,672 | ||||||
Lennox International, Inc. | 73 | 10,410 | ||||||
Lincoln Electric Holdings, Inc. | 567 | 33,498 | ||||||
Lockheed Martin Corp. | 81,259 | 20,166,046 | ||||||
Macquarie Infrastructure Corp. | 1,875 | 138,844 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,780 | 31,364 | ||||||
ManpowerGroup, Inc. | 1,792 | 115,297 | ||||||
Masco Corp. | 2,927 | 90,561 | ||||||
MSC Industrial Direct Co., Inc. | 694 | 48,969 | ||||||
Nielsen Holdings Plc | 231,576 | 12,035,005 | ||||||
Norfolk Southern Corp. | 7,433 | 632,771 | ||||||
Northrop Grumman Corp. | 56,036 | 12,455,682 | ||||||
Old Dominion Freight Line, Inc. (1) | 641 | 38,659 | ||||||
Orbital ATK, Inc. | 1,466 | 124,815 | ||||||
Oshkosh Corp. | 1,828 | 87,214 | ||||||
Owens Corning | 291,881 | 15,037,709 | ||||||
PACCAR, Inc. | 7,853 | 407,335 | ||||||
Parker-Hannifin Corp. | 3,358 | 362,832 | ||||||
Pentair Plc | 4,178 | 243,536 | ||||||
Quanta Services, Inc. (1) | 2,635 | 60,921 | ||||||
Raytheon Co. | 83,221 | 11,313,895 | ||||||
Regal-Beloit Corp. | 1,118 | 61,546 | ||||||
Republic Services, Inc. | 5,926 | 304,063 | ||||||
Rockwell Automation, Inc. | 680 | 78,078 | ||||||
Rolls-Royce Holdings Plc ADR | 871,400 | 8,409,010 | ||||||
Roper Technologies, Inc. | 1,228 | 209,448 | ||||||
RR Donnelley & Sons Co. | 1,685 | 28,510 | ||||||
Ryder System, Inc. | 1,362 | 83,273 |
Snap-on, Inc. | 390 | 61,550 | ||||||
SolarCity Corp. (1) | 1,643 | 39,317 | ||||||
Spirit AeroSystems Holdings, Inc. (1) | 268,410 | 11,541,630 | ||||||
Spirit Airlines, Inc. (1) | 1,792 | 80,407 | ||||||
Stanley Black & Decker, Inc. | 110,006 | 12,234,867 | ||||||
Stericycle, Inc. (1) | 114 | 11,870 | ||||||
Terex Corp. | 2,656 | 53,943 | ||||||
Textron, Inc. | 4,669 | 170,699 | ||||||
The Timken Co. | 1,742 | 53,410 | ||||||
Trinity Industries, Inc. | 3,750 | 69,637 | ||||||
Tyco International Plc | 296,494 | 12,630,644 | ||||||
Union Pacific Corp. | 380,600 | 33,207,350 | ||||||
United Continental Holdings, Inc. (1) | 8,437 | 346,254 | ||||||
United Parcel Service, Inc. | 215,756 | 23,241,236 | ||||||
United Rentals, Inc. (1) | 324 | 21,740 | ||||||
United Technologies Corp. | 304,440 | 31,220,322 | ||||||
USG Corp. (1) | 2,188 | 58,988 | ||||||
Valmont Industries, Inc. | 113 | 15,285 | ||||||
Waste Management, Inc. | 1,943 | 128,763 | ||||||
WESCO International, Inc. (1) | 1,097 | 56,484 | ||||||
Xylem, Inc. | 2,154 | 96,176 | ||||||
|
| |||||||
365,290,592 | ||||||||
|
| |||||||
Information Technology - 11.83% | ||||||||
Accenture Plc | 167,205 | 18,942,654 | ||||||
Akamai Technologies, Inc. (1) | 481 | 26,902 | ||||||
Alphabet, Inc. - Class C (1) | 19,254 | 13,325,693 | ||||||
Amdocs Ltd. | 3,721 | 214,776 | ||||||
Analog Devices, Inc. | 7,717 | 437,091 | ||||||
ANSYS, Inc. (1) | 1,638 | 148,648 | ||||||
Apple, Inc. | 343,680 | 32,855,808 | ||||||
Applied Materials, Inc. | 7,844 | 188,021 | ||||||
ARRIS International Plc (1) | 3,661 | 76,735 | ||||||
Arrow Electronics, Inc. (1) | 224,383 | 13,889,308 | ||||||
Autodesk, Inc. (1) | 970 | 52,516 | ||||||
Automatic Data Processing, Inc. | 212,873 | 19,556,643 | ||||||
Avnet, Inc. | 324,175 | 13,132,329 | ||||||
Booz Allen Hamilton Holding Corp. | 143 | 4,239 |
Brocade Communications Systems, Inc. | 11,731 | 107,691 | ||||||
CA, Inc. | 7,328 | 240,578 | ||||||
Cisco Systems, Inc. | 567,942 | 16,294,256 | ||||||
Computer Sciences Corp. | 3,463 | 171,938 | ||||||
CoreLogic, Inc. (1) | 913 | 35,132 | ||||||
Corning, Inc. | 27,070 | 554,394 | ||||||
Cree, Inc. (1) | 1,585 | 38,737 | ||||||
Cypress Semiconductor Corp. | 7,826 | 82,564 | ||||||
Dolby Laboratories, Inc. | 1,274 | 60,961 | ||||||
EchoStar Corp. (1) | 1,141 | 45,298 | ||||||
EMC Corp. | 43,943 | 1,193,931 | ||||||
Fidelity National Information Services, Inc. | 3,519 | 259,280 | ||||||
FireEye, Inc. (1) | 2,916 | 48,027 | ||||||
First Solar, Inc. (1) | 1,878 | 91,045 | ||||||
Fitbit, Inc. (1) | 583 | 7,124 | ||||||
FLIR Systems, Inc. | 3,442 | 106,530 | ||||||
Harris Corp. | 3,138 | 261,835 | ||||||
Hewlett Packard Enterprise Co. | 43,505 | 794,836 | ||||||
HP, Inc. | 43,539 | 546,414 | ||||||
Ingram Micro, Inc. | 3,609 | 125,521 | ||||||
Intel Corp. | 243,962 | 8,001,954 | ||||||
InterActiveCorp | 382 | 21,507 | ||||||
International Business Machines Corp. | 6,934 | 1,052,443 | ||||||
IPG Photonics Corp. (1) | 142 | 11,360 | ||||||
Jabil Circuit, Inc. | 4,695 | 86,717 | ||||||
Juniper Networks, Inc. | 9,384 | 211,046 | ||||||
Keysight Technologies, Inc. (1) | 4,310 | 125,378 | ||||||
Lam Research Corp. | 806 | 67,752 | ||||||
Leidos Holdings, Inc. | 1,668 | 79,847 | ||||||
Lexmark International, Inc. | 1,553 | 58,626 | ||||||
Linear Technology Corp. | 3,179 | 147,919 | ||||||
Marvell Technology Group Ltd. | 10,111 | 96,358 | ||||||
Microchip Technology, Inc. | 203,000 | 10,304,280 | ||||||
Micron Technology, Inc. (1) | 26,045 | 358,379 | ||||||
Microsoft Corp. | 706,993 | 36,176,832 | ||||||
Motorola Solutions, Inc. | 3,894 | 256,887 | ||||||
National Instruments Corp. | 551 | 15,097 |
NetApp, Inc. | 7,289 | 179,237 | ||||||
Nuance Communications, Inc. (1) | 1,364 | 21,319 | ||||||
ON Semiconductor Corp. (1) | 9,318 | 82,185 | ||||||
Oracle Corp. | 1,085,956 | 44,448,179 | ||||||
Pandora Media, Inc. (1) | 774 | 9,636 | ||||||
PTC, Inc. (1) | 1,592 | 59,827 | ||||||
Qorvo, Inc. (1) | 3,108 | 171,748 | ||||||
Qualcomm, Inc. | 440,752 | 23,611,085 | ||||||
Samsung Electronic Co. Ltd. | 27,521 | 34,273,312 | ||||||
Skyworks Solutions, Inc. | 392 | 24,806 | ||||||
SS&C Technologies Holdings, Inc. | 362 | 10,165 | ||||||
SunPower Corp. (1) | 1,445 | 22,383 | ||||||
Symantec Corp. | 13,233 | 271,806 | ||||||
Synopsys, Inc. (1) | 3,438 | 185,927 | ||||||
Teradyne, Inc. | 5,109 | 100,596 | ||||||
Texas Instruments, Inc. | 168,800 | 10,575,320 | ||||||
Trimble Navigation Ltd. (1) | 1,322 | 32,204 | ||||||
Twitter, Inc. (1) | 1,864 | 31,520 | ||||||
VMware, Inc. (1) | 1,400 | 80,108 | ||||||
Western Digital Corp. | 7,100 | 335,540 | ||||||
Xerox Corp. | 25,297 | 240,069 | ||||||
Xilinx, Inc. | 4,361 | 201,173 | ||||||
Yahoo!, Inc. (1) | 21,824 | 819,709 | ||||||
Yelp, Inc. (1) | 390 | 11,840 | ||||||
Zebra Technologies Corp. (1) | 239 | 11,974 | ||||||
Zillow Group, Inc. - Class A (1) | 358 | 13,121 | ||||||
Zillow Group, Inc. - Class C (1) | 793 | 28,770 | ||||||
Zynga, Inc. (1) | 18,635 | 46,401 | ||||||
|
| |||||||
306,889,797 | ||||||||
|
| |||||||
Materials - 7.72% | ||||||||
Air Products & Chemicals, Inc. | 98,836 | 14,038,665 | ||||||
Albemarle Corp. | 2,813 | 223,099 | ||||||
Alcoa, Inc. | 33,362 | 309,266 | ||||||
AptarGroup, Inc. | 1,162 | 91,949 | ||||||
Ashland, Inc. | 1,560 | 179,041 | ||||||
Avery Dennison Corp. | 129 | 9,643 | ||||||
Bemis, Inc. | 2,025 | 104,267 |
Cabot Corp. | 1,535 | 70,088 | ||||||
Celanese Corp. | 190,325 | 12,456,771 | ||||||
CF Industries Holdings, Inc. | 5,865 | 141,346 | ||||||
Compass Minerals International, Inc. | 846 | 62,765 | ||||||
CRH Plc ADR | 508,100 | 15,029,598 | ||||||
Domtar Corp. | 1,626 | 56,926 | ||||||
Dow Chemical Co. | 28,260 | 1,404,805 | ||||||
Eastman Chemical Co. | 3,713 | 252,113 | ||||||
Ecolab, Inc. | 85,259 | 10,111,717 | ||||||
FMC Corp. | 294,752 | 13,649,965 | ||||||
Freeport-McMoRan, Inc. | 24,602 | 274,066 | ||||||
Goldcorp, Inc. | 1,514,653 | 28,975,312 | ||||||
Graphic Packaging Holding Co. | 2,379 | 29,833 | ||||||
Huntsman Corp. | 4,976 | 66,927 | ||||||
International Paper Co. | 10,317 | 437,234 | ||||||
Kinross Gold Corp. (1) | 3,585,844 | 17,534,777 | ||||||
LyondellBasell Industries NV | 414,967 | 30,881,844 | ||||||
Martin Marietta Materials, Inc. | 152 | 29,184 | ||||||
Monsanto Co. | 3,856 | 398,749 | ||||||
NewMarket Corp. | 13 | 5,387 | ||||||
Newmont Mining Corp. | 13,415 | 524,795 | ||||||
Nucor Corp. | 216,839 | 10,714,015 | ||||||
Platform Specialty Products Corp. (1) | 4,128 | 36,657 | ||||||
Praxair, Inc. | 145,413 | 16,342,967 | ||||||
Reliance Steel & Aluminum Co. | 1,746 | 134,267 | ||||||
Royal Gold, Inc. | 1,544 | 111,199 | ||||||
Scotts Miracle-Gro Co. | 94 | 6,572 | ||||||
Sonoco Products Co. | 2,495 | 123,902 | ||||||
Southern Copper Corp. | 1,172 | 31,621 | ||||||
Steel Dynamics, Inc. | 5,017 | 122,916 | ||||||
Tahoe Resources, Inc. | 7,550 | 113,023 | ||||||
The Mosaic Co. | 948,310 | 24,826,756 | ||||||
United States Steel Corp. | 3,417 | 57,611 | ||||||
Vulcan Materials Co. | 230 | 27,683 | ||||||
W.R. Grace & Co. | 790 | 57,836 | ||||||
Westlake Chemical Corp. | 966 | 41,461 | ||||||
WestRock Co. | 6,294 | 244,648 | ||||||
|
| |||||||
200,343,266 | ||||||||
|
|
Telecommunication Services - 1.36% | ||||||||
AT&T, Inc. | 155,238 | 6,707,834 | ||||||
CenturyLink, Inc. | 13,518 | 392,157 | ||||||
Frontier Communications Corp. | 29,401 | 145,241 | ||||||
Level 3 Communications, Inc. (1) | 7,349 | 378,400 | ||||||
SBA Communications Corp. (1) | 1,136 | 122,620 | ||||||
Sprint Corp. (1) | 19,027 | 86,192 | ||||||
Telephone & Data Systems, Inc. | 2,394 | 71,006 | ||||||
T-Mobile US, Inc. (1) | 2,749 | 118,949 | ||||||
United States Cellular Corp. (1) | 348 | 13,666 | ||||||
Verizon Communications, Inc. | 304,210 | 16,987,087 | ||||||
Vodafone Group Plc ADR | 336,600 | 10,397,574 | ||||||
|
| |||||||
35,420,726 | ||||||||
|
| |||||||
Utilities - 0.72% | ||||||||
AES Corp. | 16,580 | 206,918 | ||||||
AGL Resources, Inc. | 3,018 | 199,097 | ||||||
Alliant Energy Corp. | 5,711 | 226,727 | ||||||
Ameren Corp. | 6,139 | 328,928 | ||||||
American Electric Power Co., Inc. | 12,412 | 869,957 | ||||||
American Water Works Co., Inc. | 4,495 | 379,872 | ||||||
Aqua America, Inc. | 4,491 | 160,149 | ||||||
Atmos Energy Corp. | 2,541 | 206,634 | ||||||
Avangrid, Inc. | 1,411 | 64,991 | ||||||
Calpine Corp. (1) | 8,980 | 132,455 | ||||||
CenterPoint Energy, Inc. | 10,848 | 260,352 | ||||||
CMS Energy Corp. | 6,974 | 319,828 | ||||||
Consolidated Edison, Inc. | 7,673 | 617,216 | ||||||
Dominion Resources, Inc. | 14,531 | 1,132,401 | ||||||
DTE Energy Co. | 4,520 | 448,022 | ||||||
Duke Energy Corp. | 17,368 | 1,490,001 | ||||||
Edison International | 7,959 | 618,176 | ||||||
Entergy Corp. | 4,500 | 366,075 | ||||||
Eversource Energy | 7,984 | 478,242 | ||||||
Exelon Corp. | 22,332 | 811,992 | ||||||
FirstEnergy Corp. | 10,699 | 373,502 | ||||||
Great Plains Energy, Inc. | 3,886 | 118,134 |
Hawaiian Electric Industries, Inc. | 2,766 | 90,697 | ||||||
ITC Holdings Corp. | 1,914 | 89,613 | ||||||
MDU Resources Group, Inc. | 4,900 | 117,600 | ||||||
National Fuel Gas Co. | 1,851 | 105,285 | ||||||
NextEra Energy, Inc. | 11,602 | 1,512,901 | ||||||
NiSource, Inc. | 8,134 | 215,714 | ||||||
NRG Energy, Inc. | 7,909 | 118,556 | ||||||
OGE Energy Corp. | 5,046 | 165,256 | ||||||
PG&E Corp. | 12,501 | 799,064 | ||||||
Piedmont Natural Gas Company, Inc. | 1,865 | 112,124 | ||||||
Pinnacle West Capital Corp. | 2,785 | 225,752 | ||||||
PPL Corp. | 17,067 | 644,279 | ||||||
Public Service Enterprise Group, Inc. | 12,725 | 593,112 | ||||||
Questar Corp. | 4,404 | 111,729 | ||||||
SCANA Corp. | 3,275 | 247,786 | ||||||
Sempra Energy | 6,285 | 716,616 | ||||||
TECO Energy, Inc. | 5,880 | 162,523 | ||||||
The Southern Co. | 23,666 | 1,269,208 | ||||||
UGI Corp. | 4,301 | 194,620 | ||||||
Vectren Corp. | 2,085 | 109,817 | ||||||
WEC Energy Group, Inc. | 7,966 | 520,180 | ||||||
Westar Energy, Inc. | 3,554 | 199,344 | ||||||
Xcel Energy, Inc. | 12,770 | 571,841 | ||||||
|
| |||||||
18,703,286 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,482,693,343) | $ | 2,497,050,894 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.21% | ||||||||
Money Market Funds - 3.21% | ||||||||
Goldman Sachs Financial Square Government Fund - Class I , 0.29% (2) | 41,607,735 | $ | 41,607,735 | |||||
JPMorgan U.S. Government Money Market Fund - Class I , 0.30% (2) | 41,653,338 | 41,653,338 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $83,261,073) | $ | 83,261,073 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.43% | $ | 2,580,311,967 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.57% | 14,764,968 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,595,076,935 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(1) | Non-income producing security. |
(2) | Represents annualized seven-day yield as of the close of the reporting period. |
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
Settlement | Notional | Unrealized | ||||||||||||||||||||||
Number of Contracts Purchased | Description | Counterparty | Month | Amount | Value | Appreciation | ||||||||||||||||||
15 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | 1,550,753 | 1,567,650 | $ | 16,897 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 16,897 | |||||||||||||||||||||||
|
|
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
June 30, 2016
Shares | Value | |||||||
COMMON STOCKS - 95.92% | ||||||||
Consumer Discretionary - 14.89% | ||||||||
1-800-Flowers.com, Inc. (1) | 1,486 | $ | 13,404 | |||||
Aaron’s, Inc. | 52,345 | 1,145,832 | ||||||
Advance Auto Parts, Inc. | 133,514 | 21,579,868 | ||||||
AMC Entertainment Holdings, Inc. | 315 | 8,697 | ||||||
AMC Networks, Inc. (1) | 1,820 | 109,964 | ||||||
American Axle & Manufacturing Holdings, Inc. (1) | 15,101 | 218,662 | ||||||
American Eagle Outfitters, Inc. | 29,649 | 472,309 | ||||||
Aramark | 3,189 | 106,576 | ||||||
Arctic Cat, Inc. | 1,093 | 18,581 | ||||||
Asbury Automotive Group, Inc. (1) | 3,996 | 210,749 | ||||||
Ascena Retail Group, Inc. (1) | 11,294 | 78,945 | ||||||
AutoNation, Inc. (1) | 789 | 37,067 | ||||||
AutoZone, Inc. (1) | 900 | 714,456 | ||||||
Bassett Furniture Industries, Inc. | 1,123 | 26,885 | ||||||
Bed Bath & Beyond, Inc. | 477 | 20,616 | ||||||
Big Lots, Inc. | 9,835 | 492,832 | ||||||
Biglari Holdings, Inc. (1) | 19 | 7,663 | ||||||
BJ’s Restaurants, Inc. (1) | 4,559 | 199,821 | ||||||
Bloomin Brands, Inc. | 190,935 | 3,412,008 | ||||||
Blue Nile, Inc. | 2,162 | 59,196 | ||||||
Bob Evans Farms, Inc. | 3,874 | 147,018 | ||||||
Bojangles, Inc. (1) | 1,951 | 33,069 | ||||||
Borgwarner, Inc. | 803 | 23,705 | ||||||
Boyd Gaming Corp. (1) | 16,385 | 301,484 | ||||||
Bright Horizons Family Solutions, Inc. (1) | 20,862 | 1,383,359 | ||||||
Brinker International, Inc. | 1,691 | 76,991 | ||||||
Brunswick Corp. | 2,248 | 101,879 | ||||||
Buckle, Inc. | 1,868 | 48,549 | ||||||
Buffalo Wild Wings, Inc. (1) | 85,729 | 11,912,045 | ||||||
Build-A-Bear Workshop, Inc. (1) | 203 | 2,724 |
Burlington Stores, Inc. (1) | 1,229 | 81,987 | ||||||
Cabela’s, Inc. (1) | 88,191 | 4,414,841 | ||||||
Cable One, Inc. | 143 | 73,132 | ||||||
CalAtlantic Group, Inc. | 281 | 10,316 | ||||||
Callaway Golf Co. | 107,618 | 1,098,780 | ||||||
Capella Education Company | 2,055 | 108,175 | ||||||
CarMax, Inc. (1) | 225,129 | 11,038,075 | ||||||
Carmike Cinemas, Inc. (1) | 3,104 | 93,492 | ||||||
Carriage Services, Inc. | 2,688 | 63,652 | ||||||
Carrols Restaurant Group, Inc. (1) | 5,903 | 70,246 | ||||||
Carter’s, Inc. | 1,529 | 162,793 | ||||||
Cato Corp. | 914 | 34,476 | ||||||
Cavco Industries, Inc. (1) | 1,654 | 154,980 | ||||||
Central European Media Enterprises Ltd. (1) | 14,647 | 30,905 | ||||||
Century Casinos, Inc. (1) | 1,884 | 11,737 | ||||||
Century Communities, Inc. (1) | 285 | 4,942 | ||||||
Cheesecake Factory, Inc. | 8,969 | 431,768 | ||||||
Chegg, Inc. (1) | 6,885 | 34,425 | ||||||
Chicos FAS, Inc. | 23,408 | 250,700 | ||||||
Children’s Place, Inc. | 3,716 | 297,949 | ||||||
Chipotle Mexican Grill, Inc. (1) | 863 | 347,582 | ||||||
Choice Hotels International, Inc. | 691 | 32,905 | ||||||
Churchill Downs, Inc. | 2,674 | 337,887 | ||||||
Chuy’s Holdings, Inc. (1) | 49,412 | 1,710,149 | ||||||
Cinemark Holdings, Inc. | 3,235 | 117,948 | ||||||
Clear Channel Outdoor Holdings, Inc. | 555 | 3,452 | ||||||
ClubCorp Holdings, Inc. | 12,519 | 162,747 | ||||||
Coach, Inc. | 1,610 | 65,591 | ||||||
Collectors Universe, Inc. | 1,630 | 32,192 | ||||||
Columbia Sportswear Co. | 5,336 | 307,033 | ||||||
Container Store Group, Inc. (1) | 854 | 4,569 | ||||||
Cooper-Standard Holdings, Inc. (1) | 2,687 | 212,246 | ||||||
Core Mark Holding Company, Inc. | 46,467 | 2,177,444 | ||||||
Cracker Barrel Old Country Store, Inc. | 3,560 | 610,433 | ||||||
Crocs, Inc. (1) | 14,348 | 161,845 | ||||||
CST Brands, Inc. | 120,500 | 5,191,140 | ||||||
Culp, Inc. | 2,089 | 57,719 |
D. R. Horton, Inc. | 5,659 | 178,145 | ||||||
Daily Journal Corp. (1) | 149 | 35,312 | ||||||
Darden Restaurants, Inc. | 3,560 | 225,490 | ||||||
Dave & Buster’s Entertainment, Inc. (1) | 7,499 | 350,878 | ||||||
Deckers Outdoor Corp. (1) | 443 | 25,481 | ||||||
Del Frisco’s Restaurant Group, Inc. (1) | 306 | 4,382 | ||||||
Delphi Automotive Plc | 8,345 | 522,397 | ||||||
Denny’s Corp. (1) | 10,747 | 115,315 | ||||||
Destination XL Group, Inc. (1) | 4,937 | 22,562 | ||||||
Diamond Resorts International, Inc. (1) | 7,433 | 222,693 | ||||||
Dick’s Sporting Goods, Inc. | 2,086 | 93,995 | ||||||
DineEquity, Inc. | 2,007 | 170,153 | ||||||
Discovery Communications, Inc. - Class A (1) | 4,252 | 107,278 | ||||||
Discovery Communications, Inc. - Class C (1) | 6,686 | 159,461 | ||||||
Dollar General Corp. | 8,701 | 817,894 | ||||||
Dollar Tree, Inc. (1) | 6,929 | 652,989 | ||||||
Domino’s Pizza, Inc. | 1,524 | 200,223 | ||||||
Dorman Products, Inc. (1) | 5,252 | 300,414 | ||||||
DreamWorks Animation SKG, Inc. (1) | 15,293 | 625,025 | ||||||
Drew Industries, Inc. | 4,698 | 398,578 | ||||||
Duluth Holdings, Inc. (1) | 1,864 | 45,593 | ||||||
Dunkin’ Brands Group, Inc. | 2,800 | 122,136 | ||||||
Eldorado Resorts, Inc. (1) | 5,110 | 77,646 | ||||||
Empire Resorts, Inc. (1) | 40 | 629 | ||||||
Entravision Communications Corp. | 12,689 | 85,270 | ||||||
Ethan Allen Interiors, Inc. | 4,816 | 159,121 | ||||||
Etsy, Inc. (1) | 21,162 | 202,944 | ||||||
Expedia, Inc. | 16,033 | 1,704,308 | ||||||
Extended Stay America, Inc. | 310 | 4,634 | ||||||
Fiesta Restaurant Group, Inc. (1) | 4,265 | 93,020 | ||||||
Finish Line, Inc. | 2,506 | 50,596 | ||||||
Five Below, Inc. (1) | 10,598 | 491,853 | ||||||
Foot Locker, Inc. | 3,707 | 203,366 | ||||||
Fox Factory Holding Corp. (1) | 4,345 | 75,473 | ||||||
Francesca’s Holdings Corp. (1) | 7,989 | 88,278 | ||||||
Fred’s, Inc. | 331 | 5,332 | ||||||
Gaiam, Inc. (1) | 1,174 | 9,087 |
Gap, Inc. | 435 | 9,231 | ||||||
Genesco, Inc. (1) | 474 | 30,483 | ||||||
Gentex Corp. | 5,579 | 86,196 | ||||||
Gentherm, Inc. (1) | 62,752 | 2,149,256 | ||||||
Genuine Parts Co. | 4,211 | 426,364 | ||||||
G-III Apparel Group Ltd. (1) | 6,823 | 311,948 | ||||||
Global Eagle Entertainment, Inc. (1) | 621 | 4,123 | ||||||
GNC Holdings, Inc. | 13,621 | 330,854 | ||||||
Golden Entertainment, Inc. (1) | 451 | 5,272 | ||||||
Grand Canyon Education, Inc. (1) | 8,900 | 355,288 | ||||||
Gray Television, Inc. (1) | 211,133 | 2,290,793 | ||||||
Group 1 Automotive, Inc. | 921 | 45,461 | ||||||
Groupon, Inc. (1) | 11,235 | 36,514 | ||||||
Hanesbrands, Inc. | 11,520 | 289,498 | ||||||
Harley-Davidson, Inc. | 5,533 | 250,645 | ||||||
Harman International Industries, Inc. | 12,626 | 906,799 | ||||||
Hasbro, Inc. | 3,433 | 288,338 | ||||||
Helen Of Troy Corp. (1) | 22,669 | 2,331,280 | ||||||
Hemisphere Media Group, Inc. (1) | 1,105 | 13,039 | ||||||
Hibbett Sports, Inc. (1) | 3,542 | 123,226 | ||||||
Hilton Worldwide Holdings, Inc. | 14,091 | 317,470 | ||||||
Hooker Furniture Corp. | 91 | 1,956 | ||||||
Horizon Global Corp. (1) | 3,528 | 40,043 | ||||||
Houghton Mifflin Harcourt Co. (1) | 16,548 | 258,645 | ||||||
HSN, Inc. | 6,198 | 303,268 | ||||||
Hyatt Hotels Corp. (1) | 41 | 2,015 | ||||||
IMAX Corp. (1) | 75,047 | 2,212,386 | ||||||
Installed Building Products, Inc. (1) | 3,955 | 143,527 | ||||||
Interpublic Group of Companies, Inc. | 12,266 | 283,345 | ||||||
Interval Leisure Group, Inc. | 2,099 | 33,374 | ||||||
iRobot Corp. (1) | 5,242 | 183,889 | ||||||
Isle of Capri Casinos, Inc. (1) | 4,876 | 89,328 | ||||||
Jack in the Box, Inc. | 5,020 | 431,318 | ||||||
Jamba, Inc. (1) | 2,556 | 26,301 | ||||||
John Wiley & Sons, Inc. | 141,500 | 7,383,470 | ||||||
Kate Spade & Co. (1) | 3,907 | 80,523 | ||||||
KB Home | 3,545 | 53,919 |
Kirkland’s, Inc. (1) | 1,288 | 18,908 | ||||||
Kona Grill, Inc. (1) | 745 | 7,986 | ||||||
Krispy Kreme Doughnuts, Inc. (1) | 11,556 | 242,214 | ||||||
L Brands, Inc. | 1,341 | 90,021 | ||||||
La Quinta Holdings, Inc. (1) | 3,403 | 38,794 | ||||||
La-Z-Boy, Inc. | 4,097 | 113,979 | ||||||
Lear Corp. | 1,868 | 190,088 | ||||||
Leggett & Platt, Inc. | 4,048 | 206,893 | ||||||
Lennar Corp. - Class A | 2,883 | 132,906 | ||||||
Lennar Corp. - Class B | 156 | 5,811 | ||||||
LGI Homes, Inc. (1) | 2,846 | 90,901 | ||||||
Libbey, Inc. | 339 | 5,387 | ||||||
Liberty Braves Group - Class C (1) | 437 | 6,406 | ||||||
Liberty Interactive Corp. (1) | 7,638 | 193,776 | ||||||
Liberty Media Group - Class A (1) | 777 | 14,872 | ||||||
Liberty Media Group - Class C (1) | 1,562 | 29,631 | ||||||
Liberty Tax, Inc. | 1,211 | 16,131 | ||||||
Liberty TripAdvisor Holdings, Inc. (1) | 14,421 | 315,531 | ||||||
Liberty Ventures (1) | 756 | 28,025 | ||||||
LifeLock, Inc. (1) | 16,880 | 266,873 | ||||||
Lindblad Expeditions Holdings, Inc. (1) | 2,814 | 27,099 | ||||||
Lions Gate Entertainment Corp. | 1,844 | 37,304 | ||||||
Lithia Motors, Inc. | 4,713 | 334,953 | ||||||
Live Nation Entertainment, Inc. (1) | 2,287 | 53,744 | ||||||
LKQ Corp. (1) | 73,880 | 2,341,996 | ||||||
Loral Space and Communications, Inc. (1) | 2,508 | 88,457 | ||||||
Lululemon Athletica, Inc. (1) | 2,967 | 219,143 | ||||||
M.D.C. Holdings, Inc. | 2,961 | 72,071 | ||||||
M/I Homes, Inc. (1) | 820 | 15,441 | ||||||
Malibu Boats, Inc. (1) | 3,596 | 43,440 | ||||||
Marine Products Corp. | 2,093 | 17,707 | ||||||
MarineMax, Inc. (1) | 2,780 | 47,177 | ||||||
Marriott International, Inc. | 4,988 | 331,502 | ||||||
Marriott Vacations Worldwide Corp. | 275 | 18,835 | ||||||
Mattel, Inc. | 10,424 | 326,167 | ||||||
Mattress Firm Holding Corp. (1) | 3,283 | 110,145 | ||||||
MCBC Holdings, Inc. | 1,467 | 16,210 |
MDC Partners, Inc. | 198,194 | 3,624,968 | ||||||
Meritage Homes Corp. (1) | 567 | 21,285 | ||||||
Metaldyne Performance Group, Inc. | 1,798 | 24,723 | ||||||
MGM Resorts International (1) | 1,304 | 29,510 | ||||||
Michael Kors Holdings Ltd. (1) | 5,245 | 259,523 | ||||||
Mohawk Industries, Inc. (1) | 1,490 | 282,742 | ||||||
Monro Muffler Brake, Inc. | 51,505 | 3,273,658 | ||||||
Morningstar, Inc. | 546 | 44,652 | ||||||
Motorcar Parts of America, Inc. (1) | 3,372 | 91,651 | ||||||
MSG Networks, Inc. (1) | 3,905 | 59,903 | ||||||
Murphy USA, Inc. (1) | 687 | 50,948 | ||||||
Nathan’s Famous, Inc. (1) | 606 | 26,967 | ||||||
National CineMedia, Inc. | 166,690 | 2,580,361 | ||||||
Nautilus, Inc. (1) | 5,984 | 106,755 | ||||||
Netflix, Inc. (1) | 16,280 | 1,489,294 | ||||||
New Home Company, Inc. (1) | 451 | 4,303 | ||||||
New Media Investment Group, Inc. | 1,257 | 22,714 | ||||||
Newell Brands, Inc. | 13,442 | 652,878 | ||||||
Nexstar Broadcasting Group, Inc. | 5,926 | 281,959 | ||||||
Noodles & Co. (1) | 1,720 | 16,822 | ||||||
Nordstrom, Inc. | 3,765 | 143,258 | ||||||
Norwegian Cruise Line Holdings Ltd. (1) | 452 | 18,008 | ||||||
Nutrisystem, Inc. | 5,745 | 145,693 | ||||||
NVR, Inc. (1) | 107 | 190,496 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (1) | 160,630 | 3,998,081 | ||||||
Omnicom Group, Inc. | 7,224 | 588,684 | ||||||
O’Reilly Automotive, Inc. (1) | 6,960 | 1,886,856 | ||||||
Outerwall, Inc. | 3,320 | 139,440 | ||||||
Overstock.com, Inc. (1) | 2,665 | 42,933 | ||||||
Oxford Industries, Inc. | 3,001 | 169,917 | ||||||
Panera Bread Co. (1) | 682 | 144,543 | ||||||
Papa John’s International, Inc. | 24,579 | 1,671,372 | ||||||
Party City Holdings, Inc. (1) | 2,302 | 32,021 | ||||||
Penn National Gaming, Inc. (1) | 12,546 | 175,017 | ||||||
PetMed Express, Inc. | 3,939 | 73,896 | ||||||
Pier 1 Imports, Inc. | 2,474 | 12,716 | ||||||
Pinnacle Entertainment, Inc. (1) | 964 | 10,681 |
Planet Fitness, Inc. (1) | 3,071 | 57,980 | ||||||
Polaris Industries, Inc. | 84,179 | 6,882,475 | ||||||
Pool Corp. | 1,233 | 115,939 | ||||||
Popeyes Louisiana Kitchen, Inc. (1) | 65,500 | 3,578,920 | ||||||
Potbelly Corp. (1) | 63,565 | 797,105 | ||||||
Pulte Group, Inc. | 3,126 | 60,926 | ||||||
Radio One, Inc. (1) | 4,291 | 13,688 | ||||||
Ralph Lauren Corp. | 120 | 10,754 | ||||||
Reading International, Inc. (1) | 954 | 11,915 | ||||||
Red Robin Gourmet Burgers, Inc. (1) | 506 | 24,000 | ||||||
Red Rock Resorts, Inc. (1) | 5,864 | 128,891 | ||||||
Regal Entertainment Group | 696 | 15,340 | ||||||
Ross Stores, Inc. | 284,986 | 16,155,856 | ||||||
Ruth’s Hospitality Group, Inc. | 6,203 | 98,938 | ||||||
Sally Beauty Holdings, Inc. (1) | 329,965 | 9,704,271 | ||||||
Scientific Games Corp. (1) | 10,184 | 93,591 | ||||||
Scripps Networks Interactive, Inc. | 2,516 | 156,671 | ||||||
Sears Holdings Corp. (1) | 369 | 5,022 | ||||||
SeaWorld Entertainment, Inc. | 13,079 | 187,422 | ||||||
Select Comfort Corp. (1) | 9,041 | 193,297 | ||||||
Service Corp. International | 5,729 | 154,912 | ||||||
ServiceMaster Global Holdings, Inc. (1) | 4,140 | 164,772 | ||||||
Shake Shack, Inc. (1) | 3,065 | 111,658 | ||||||
Shutterfly, Inc. (1) | 6,849 | 319,232 | ||||||
Signet Jewelers Ltd. | 89,005 | 7,334,902 | ||||||
Sinclair Broadcast Group, Inc. | 13,083 | 390,658 | ||||||
Sirius XM Holdings, Inc. (1) | 54,400 | 214,880 | ||||||
Six Flags Entertainment Corp. | 2,185 | 126,621 | ||||||
Skechers USA, Inc. (1) | 3,980 | 118,286 | ||||||
Smith & Wesson Holding Corp. (1) | 10,828 | 294,305 | ||||||
Sonic Corp. | 9,345 | 252,782 | ||||||
Sotheby’s | 5,891 | 161,413 | ||||||
Sportsman’s Warehouse Holdings, Inc. (1) | 4,796 | 38,656 | ||||||
Standard Motor Products, Inc. | 2,478 | 98,575 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 138,433 | 10,237,120 | ||||||
Starz (1) | 2,574 | 77,014 | ||||||
Stein Mart, Inc. | 5,991 | 46,251 |
Steven Madden Ltd. (1) | 55,266 | 1,888,992 | ||||||
Stoneridge, Inc. (1) | 5,184 | 77,449 | ||||||
Strayer Education, Inc. (1) | 953 | 46,821 | ||||||
Sturm, Ruger & Company, Inc. | 3,635 | 232,676 | ||||||
Superior Uniform Group, Inc. | 1,469 | 28,043 | ||||||
Tailored Brands, Inc. | 2,844 | 36,005 | ||||||
Taylor Morrison Home Corp. (1) | 5,913 | 87,749 | ||||||
Tempur Sealy International, Inc. (1) | 1,626 | 89,950 | ||||||
Tenneco, Inc. (1) | 11,150 | 519,702 | ||||||
Texas Roadhouse, Inc. | 74,680 | 3,405,408 | ||||||
The Habit Restaurants, Inc. (1) | 2,607 | 42,703 | ||||||
The Madison Square Garden Co. (1) | 59 | 10,178 | ||||||
The Michaels Companies, Inc. (1) | 2,182 | 62,056 | ||||||
Thor Industries, Inc. | 1,469 | 95,103 | ||||||
Tile Shop Holdings, Inc. (1) | 6,357 | 126,377 | ||||||
Toll Brothers, Inc. (1) | 2,219 | 59,713 | ||||||
TopBuild Corp. (1) | 1,018 | 36,852 | ||||||
Tractor Supply Co. | 142,973 | 13,036,278 | ||||||
Travelport Worldwide Ltd. | 16,874 | 217,506 | ||||||
TRI Pointe Group, Inc. (1) | 1,744 | 20,614 | ||||||
Tribune Media Co. | 185 | 7,248 | ||||||
TripAdvisor, Inc. (1) | 155,940 | 10,026,942 | ||||||
tronc, Inc. | 3,160 | 43,608 | ||||||
Tumi Holdings, Inc. (1) | 11,205 | 299,622 | ||||||
Tupperware Brands Corp. | 64,033 | 3,603,777 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (1) | 12,834 | 3,126,876 | ||||||
Under Armour, Inc. (1) | 164,535 | 5,989,080 | ||||||
Under Armour, Inc. (1) | 5,592 | 224,407 | ||||||
Unique Fabricating, Inc. | 1,253 | 16,778 | ||||||
Universal Electronics, Inc. (1) | 2,766 | 199,926 | ||||||
Urban Outfitters, Inc. (1) | 2,124 | 58,410 | ||||||
Vail Resorts, Inc. | 1,099 | 151,915 | ||||||
Vera Bradley, Inc. (1) | 2,764 | 39,166 | ||||||
Viacom, Inc. - Class A | 271 | 12,580 | ||||||
Viacom, Inc. - Class B | 9,295 | 385,464 | ||||||
Vince Holding Corp. (1) | 381 | 2,088 | ||||||
Vista Outdoor, Inc. (1) | 35,572 | 1,697,852 |
Visteon Corp. | 1,043 | 68,640 | ||||||
Vitamin Shoppe, Inc. (1) | 284 | 8,682 | ||||||
Wayfair, Inc. (1) | 6,266 | 244,374 | ||||||
Weight Watchers International, Inc. (1) | 5,108 | 59,406 | ||||||
Wendy’s Co. | 3,655 | 35,161 | ||||||
Weyco Group, Inc. | 51 | 1,417 | ||||||
Whirlpool Corp. | 41,512 | 6,917,560 | ||||||
Williams-Sonoma, Inc. | 2,699 | 140,699 | ||||||
Wingstop, Inc. (1) | 3,068 | 83,603 | ||||||
Winmark Corp. | 446 | 44,453 | ||||||
Winnebago Industries, Inc. | 5,214 | 119,505 | ||||||
Wolverine World Wide, Inc. | 2,973 | 60,411 | ||||||
Workhorse Group, Inc. (1) | 2,033 | 13,926 | ||||||
World Wrestling Entertainment, Inc. | 7,058 | 129,938 | ||||||
Wyndham Worldwide Corp. | 3,365 | 239,689 | ||||||
Wynn Resorts Ltd. | 2,230 | 202,127 | ||||||
ZAGG, Inc. (1) | 585 | 3,071 | ||||||
Zoe’s Kitchen, Inc. (1) | 3,736 | 135,505 | ||||||
|
| |||||||
245,197,414 | ||||||||
|
| |||||||
Consumer Staples - 6.68% | ||||||||
Alico, Inc. | 72 | 2,178 | ||||||
Amplify Snack Brands, Inc. (1) | 5,719 | 84,355 | ||||||
Avon Products, Inc. | 18,233 | 68,921 | ||||||
B&G Foods, Inc. | 12,238 | 589,872 | ||||||
Blue Buffalo Pet Products, Inc. (1) | 191,981 | 4,480,836 | ||||||
Boston Beer, Inc. (1) | 1,754 | 299,987 | ||||||
Brown Forman Corp. - Class A | 782 | 84,479 | ||||||
Brown Forman Corp. - Class B | 2,867 | 286,012 | ||||||
Calavo Growers, Inc. | 34,250 | 2,294,750 | ||||||
Cal-Maine Foods, Inc. | 4,695 | 208,082 | ||||||
Campbell Soup Co. | 5,697 | 379,021 | ||||||
Casey’s General Stores, Inc. | 119,091 | 15,661,657 | ||||||
Central Garden & Pet Co. (1) | 190 | 4,338 | ||||||
Central Garden & Pet Co. - Class A (1) | 872 | 18,931 | ||||||
Church & Dwight Co., Inc. | 3,920 | 403,329 | ||||||
Clorox Co. | 3,373 | 466,789 | ||||||
Coca-Cola Bottling Co. Consolidated | 922 | 135,967 |
ConAgra Foods, Inc. | 10,558 | 504,778 | ||||||
Coty, Inc. | 769 | 19,986 | ||||||
Craft Brew Alliance, Inc. (1) | 752 | 8,663 | ||||||
Darling Ingredients, Inc. (1) | 8,713 | 129,824 | ||||||
Dean Foods Co. | 8,939 | 161,706 | ||||||
Diplomat Pharmacy, Inc. (1) | 9,070 | 317,450 | ||||||
Dr Pepper Snapple Group, Inc. | 5,665 | 547,409 | ||||||
Elizabeth Arden, Inc. (1) | 4,211 | 57,943 | ||||||
Energizer Holdings, Inc. | 585 | 30,122 | ||||||
Farmer Brothers Co. (1) | 1,547 | 49,597 | ||||||
Flowers Foods, Inc. | 736,837 | 13,815,694 | ||||||
Fresh Del Monte Produce, Inc. | 367 | 19,976 | ||||||
Freshpet, Inc. (1) | 4,492 | 41,910 | ||||||
Herbalife Ltd. (1) | 2,252 | 131,810 | ||||||
Hormel Foods Corp. | 7,231 | 264,655 | ||||||
HRG Group, Inc. (1) | 23,482 | 322,408 | ||||||
Ingredion, Inc. | 1,548 | 200,327 | ||||||
Inter Parfums, Inc. | 1,510 | 43,141 | ||||||
Inventure Foods, Inc. (1) | 3,855 | 30,108 | ||||||
J & J Snack Foods Corp. | 20,023 | 2,388,143 | ||||||
John B. Sanfilippo & Son, Inc. | 447 | 19,056 | ||||||
Kellogg Co. | 7,010 | 572,366 | ||||||
Lancaster Colony Corp. | 3,704 | 472,667 | ||||||
Landec Corp. (1) | 1,384 | 14,892 | ||||||
Lifevantage Corp. (1) | 2,670 | 36,312 | ||||||
Lifeway Foods, Inc. (1) | 774 | 7,485 | ||||||
Limoneira Co. | 2,135 | 37,619 | ||||||
McCormick & Co, Inc. | 3,534 | 376,972 | ||||||
Mead Johnson Nutrition Co. | 92,556 | 8,399,457 | ||||||
Medifast, Inc. | 2,078 | 69,135 | ||||||
MGP Ingredients, Inc. | 2,456 | 93,893 | ||||||
Molson Coors Brewing Co. | 73,000 | 7,382,490 | ||||||
Monster Beverage Corp. (1) | 14,535 | 2,335,920 | ||||||
National Beverage Corp. (1) | 2,293 | 144,023 | ||||||
Natural Health Trends Corp. | 1,462 | 41,214 | ||||||
Nu Skin Enterprises, Inc. | 484 | 22,356 | ||||||
Omega Protein Corp. (1) | 234 | 4,678 |
Orchids Paper Products Co. | 1,768 | 62,888 | ||||||
Performance Food Group Co. (1) | 7,310 | 196,712 | ||||||
Pilgrim’s Pride Corp. | 260 | 6,625 | ||||||
Post Holdings, Inc. (1) | 1,132 | 93,605 | ||||||
PriceSmart, Inc. | 3,965 | 371,005 | ||||||
Primo Water Corp. (1) | 4,093 | 48,338 | ||||||
Revlon, Inc. (1) | 726 | 23,363 | ||||||
Rite Aid Corp. (1) | 31,422 | 235,351 | ||||||
Smart & Final Stores, Inc. (1) | 3,161 | 47,067 | ||||||
Snyder’s-Lance, Inc. | 277,426 | 9,401,967 | ||||||
Spectrum Brands Holdings, Inc. | 750 | 89,482 | ||||||
Sprouts Farmers Market, Inc. (1) | 4,262 | 97,600 | ||||||
Synutra International, Inc. (1) | 1,199 | 4,568 | ||||||
The Chefs’ Warehouse, Inc. (1) | 3,455 | 55,280 | ||||||
The Hain Celestial Group, Inc. (1) | 2,319 | 115,370 | ||||||
The Hershey Co. | 4,286 | 486,418 | ||||||
The J. M. Smucker Co. | 51,000 | 7,772,910 | ||||||
Tootsie Roll Industries, Inc. | 3,360 | 129,461 | ||||||
TreeHouse Foods, Inc. (1) | 141,612 | 14,536,472 | ||||||
Turning Point Brands, Inc. (1) | 610 | 6,265 | ||||||
Tyson Foods, Inc. | 4,169 | 278,447 | ||||||
US Foods Holding Corp. (1) | 1,363 | 33,039 | ||||||
USANA Health Sciences, Inc. (1) | 1,020 | 113,659 | ||||||
Vector Group Ltd. | 7,587 | 170,101 | ||||||
WD-40 Co. | 2,756 | 323,692 | ||||||
WhiteWave Foods Co. (1) | 33,809 | 1,586,994 | ||||||
Whole Foods Market, Inc. | 284,136 | 9,098,035 | ||||||
|
| |||||||
109,970,403 | ||||||||
|
| |||||||
Energy - 2.76% | ||||||||
Abraxas Petroleum Corp. (1) | 10,121 | 11,437 | ||||||
Baker Hughes, Inc. | 22,100 | 997,373 | ||||||
Cabot Oil & Gas Corp. | 9,918 | 255,289 | ||||||
Callon Petroleum Co. (1) | 24,052 | 270,104 | ||||||
Carrizo Oil & Gas, Inc. (1) | 92,853 | 3,328,780 | ||||||
Chesapeake Energy Corp. (1) | 1,561 | 6,681 | ||||||
Cimarex Energy Co. | 452 | 53,933 | ||||||
Continental Resources, Inc. (1) | 1,178 | 53,328 |
Core Laboratories NV | 144,580 | 17,912,016 | ||||||
CVR Energy, Inc. | 234 | 3,627 | ||||||
Denbury Resources, Inc. | 890,500 | 3,196,895 | ||||||
Devon Energy Corp. | 1,422 | 51,547 | ||||||
Diamondback Energy, Inc. (1) | 538 | 49,071 | ||||||
Evolution Petroleum Corp. | 4,867 | 26,622 | ||||||
Forum Energy Technologies, Inc. (1) | 184,151 | 3,187,654 | ||||||
Isramco, Inc. (1) | 149 | 12,255 | ||||||
Matador Resources Co. (1) | 16,503 | 326,759 | ||||||
Memorial Resource Development Corp. (1) | 619 | 9,830 | ||||||
Newfield Exploration Co. (1) | 1,547 | 68,346 | ||||||
Oceaneering International, Inc. | 185,060 | 5,525,892 | ||||||
Oil States International, Inc. (1) | 37,353 | 1,228,167 | ||||||
ONEOK, Inc. | 6,391 | 303,253 | ||||||
Panhandle Oil and Gas, Inc. | 1,543 | 25,722 | ||||||
Par Petroleum Corp. (1) | 1,986 | 30,465 | ||||||
Parsley Energy, Inc. (1) | 401 | 10,851 | ||||||
PHI, Inc. (1) | 162 | 2,897 | ||||||
Range Resources Corp. | 25,590 | 1,103,953 | ||||||
Renewable Energy Group, Inc. (1) | 467 | 4,124 | ||||||
Rice Energy, Inc. (1) | 93,640 | 2,063,826 | ||||||
RigNet, Inc. (1) | 184 | 2,464 | ||||||
RPC, Inc. (1) | 55,835 | 867,117 | ||||||
RSP Permian, Inc. (1) | 80,194 | 2,797,969 | ||||||
Sanchez Energy Corp. (1) | 2,282 | 16,111 | ||||||
Southwestern Energy Co. (1) | 11,956 | 150,406 | ||||||
Synergy Resources Corp. (1) | 140,651 | 936,736 | ||||||
TETRA Technologies, Inc. (1) | 10,012 | 63,776 | ||||||
The Williams Companies, Inc. | 3,496 | 75,618 | ||||||
US Silica Holdings, Inc. | 12,691 | 437,459 | ||||||
|
| |||||||
45,468,353 | ||||||||
|
| |||||||
Financials - 12.05% | ||||||||
Acadia Realty Trust | 3,166 | 112,456 | ||||||
Affiliated Managers Group, Inc. (1) | 57,872 | 8,146,641 | ||||||
Alexander & Baldwin, Inc. | 5,063 | 182,977 | ||||||
Alexander’s, Inc. | 411 | 168,194 | ||||||
Alexandria Real Estate Equities, Inc. | 225 | 23,292 |
Allegiance Bancshares, Inc. (1) | 189 | 4,702 | ||||||
Allied World Assurance Co. Holdings AG | 320,000 | 11,244,800 | ||||||
Altisource Portfolio Solutions S.A. (1) | 2,267 | 63,113 | ||||||
American Assets Trust, Inc. | 85,901 | 3,645,638 | ||||||
Ameriprise Financial, Inc. | 1,459 | 131,091 | ||||||
Ameris Bancorp | 4,888 | 145,174 | ||||||
AMERISAFE, Inc. | 47,821 | 2,927,602 | ||||||
AmTrust Financial Services, Inc. | 191 | 4,680 | ||||||
Armada Hoffler Properties, Inc. | 5,624 | 77,274 | ||||||
Arthur J. Gallagher & Co. | 219,677 | 10,456,625 | ||||||
Artisan Partners Asset Management, Inc. | 1,136 | 31,444 | ||||||
Atlantic Capital Bancshares, Inc. (1) | 563 | 8,141 | ||||||
Atlas Financial Holdings, Inc. (1) | 1,175 | 20,234 | ||||||
AV Homes, Inc. (1) | 669 | 8,175 | ||||||
Avenue Financial Holdings, Inc. (1) | 1,398 | 27,471 | ||||||
Banc of California, Inc. | 6,820 | 123,442 | ||||||
Bank of the Ozarks, Inc. | 16,636 | 624,183 | ||||||
Bankwell Financial Group, Inc. | 191 | 4,213 | ||||||
BGC Partners, Inc. | 43,227 | 376,507 | ||||||
Blue Hills Bancorp, Inc. | 430 | 6,347 | ||||||
BNC Bancorp | 660 | 14,989 | ||||||
Bofi Holding, Inc. (1) | 11,036 | 195,448 | ||||||
Boston Properties, Inc. | 796 | 104,992 | ||||||
Brown & Brown, Inc. | 213 | 7,981 | ||||||
C1 Financial, Inc. (1) | 1,446 | 33,735 | ||||||
Capital Bank Financial Corp. | 2,004 | 57,715 | ||||||
Cardinal Financial Corp. | 371 | 8,140 | ||||||
Care Capital Properties, Inc. | 251 | 6,579 | ||||||
CareTrust REIT, Inc. | 11,423 | 157,409 | ||||||
CBOE Holdings, Inc. | 2,473 | 164,751 | ||||||
CBRE Group, Inc. (1) | 9,164 | 242,663 | ||||||
Central Pacific Financial Corp. | 107,220 | 2,530,392 | ||||||
Chesapeake Lodging Trust | 3,478 | 80,864 | ||||||
Citizens Financial Group, Inc. | 6,671 | 133,287 | ||||||
City Office REIT, Inc. | 3,064 | 39,771 | ||||||
CoBiz Financial, Inc. | 718 | 8,401 | ||||||
Cohen & Steers, Inc. | 4,121 | 166,653 |
Commerce Bancshares, Inc. | 205,500 | 9,843,450 | ||||||
Consolidated-Tomoka Land Co. | 712 | 33,799 | ||||||
CoreSite Realty Corp. | 30,272 | 2,684,824 | ||||||
Corporate Office Properties Trust | 91,560 | 2,707,429 | ||||||
County Bancorp, Inc. | 601 | 12,393 | ||||||
Cowen Group, Inc. (1) | 1,427 | 4,224 | ||||||
Crawford & Co. | 2,196 | 18,644 | ||||||
Credit Acceptance Corp. (1) | 252 | 46,640 | ||||||
CU Bancorp (1) | 409 | 9,297 | ||||||
CubeSmart | 3,685 | 113,793 | ||||||
Cullen/Frost Bankers, Inc. | 162,000 | 10,324,260 | ||||||
Customers Bancorp, Inc. (1) | 1,949 | 48,978 | ||||||
CyrusOne, Inc. | 1,895 | 105,476 | ||||||
Diamond Hill Investment Group, Inc. | 600 | 113,052 | ||||||
Digital Realty Trust, Inc. | 3,148 | 343,101 | ||||||
DuPont Fabros Technology, Inc. | 14,726 | 700,074 | ||||||
Eagle Bancorp, Inc. (1) | 62,585 | 3,010,964 | ||||||
EastGroup Properties, Inc. | 6,187 | 426,408 | ||||||
Eaton Vance Corp. | 3,350 | 118,389 | ||||||
Education Realty Trust, Inc. | 1,809 | 83,467 | ||||||
eHealth, Inc. (1) | 3,614 | 50,668 | ||||||
Empire State Realty Trust, Inc. | 2,271 | 43,126 | ||||||
Encore Capital Group, Inc. (1) | 42,515 | 1,000,378 | ||||||
Endurance Specialty Holdings Ltd. | 197,500 | 13,264,100 | ||||||
Equinix, Inc. | 2,117 | 820,824 | ||||||
Equity Lifestyle Properties, Inc. | 2,333 | 186,757 | ||||||
Erie Indemnity Co. | 546 | 54,240 | ||||||
Essent Group Ltd. (1) | 14,887 | 324,685 | ||||||
Essex Property Trust, Inc. | 831 | 189,543 | ||||||
Evercore Partners, Inc. | 52,635 | 2,325,941 | ||||||
Extra Space Storage, Inc. | 3,682 | 340,732 | ||||||
Federal Realty Investment Trust | 2,159 | 357,422 | ||||||
Federated Investors, Inc. | 2,853 | 82,109 | ||||||
FelCor Lodging Trust, Inc. | 24,632 | 153,457 | ||||||
Fifth Street Asset Management, Inc. | 1,153 | 4,658 | ||||||
Financial Engines, Inc. | 83,241 | 2,153,445 | ||||||
First Cash Financial Services, Inc. | 5,489 | 281,750 |
First Connecticut Bancorp, Inc. | 552 | 9,141 | ||||||
First Financial Bankshares, Inc. | 7,974 | 261,467 | ||||||
First Foundation, Inc. (1) | 852 | 18,318 | ||||||
First Industrial Realty Trust, Inc. | 5,229 | 145,471 | ||||||
First Midwest Bancorp, Inc. | 155,522 | 2,730,966 | ||||||
First Republic Bank | 127,557 | 8,927,714 | ||||||
Forestar Group, Inc. (1) | 557 | 6,623 | ||||||
Four Corners Property Trust, Inc. | 5,254 | 108,180 | ||||||
Franklin Financial Network, Inc. (1) | 475 | 14,896 | ||||||
GAIN Capital Holdings, Inc. | 1,389 | 8,778 | ||||||
GAMCO Investors, Inc. | 184 | 6,030 | ||||||
Gaming and Leisure Properties, Inc. | 5,717 | 197,122 | ||||||
Gramercy Property Trust, Inc. | 12,917 | 119,095 | ||||||
Great Western Bancorp, Inc. | 83,488 | 2,633,212 | ||||||
Green Dot Corp. (1) | 1,429 | 32,853 | ||||||
Greenhill & Co, Inc. | 4,014 | 64,625 | ||||||
Healthcare Trust of America, Inc. | 3,034 | 98,120 | ||||||
Hennessy Advisors, Inc. | 562 | 18,810 | ||||||
Heritage Commerce Corp. | 444 | 4,675 | ||||||
Hersha Hospitality Trust | 503 | 8,626 | ||||||
HFF, Inc. | 101,509 | 2,931,580 | ||||||
Hilltop Holdings, Inc. (1) | 63,975 | 1,342,835 | ||||||
Hingham Institution for Savings | 126 | 15,488 | ||||||
Home Bancorp, Inc. | 147 | 4,038 | ||||||
Home Bancshares, Inc. | 23,950 | 473,971 | ||||||
Houlihan Lokey, Inc. | 2,350 | 52,570 | ||||||
Hudson Pacific Properties, Inc. | 84,605 | 2,468,774 | ||||||
Interactive Brokers Group, Inc. | 220 | 7,788 | ||||||
Invesco Ltd. | 2,112 | 53,940 | ||||||
Investment Technology Group, Inc. | 824 | 13,777 | ||||||
Iron Mountain, Inc. | 7,952 | 316,728 | ||||||
iStar, Inc. (1) | 15,155 | 145,336 | ||||||
James River Group Holdings Ltd. | 111,123 | 3,773,737 | ||||||
Jones Lang LaSalle, Inc. | 78,770 | 7,676,137 | ||||||
Kennedy-Wilson Holdings, Inc. | 8,016 | 151,983 | ||||||
Ladenburg Thalmann Financial Services, Inc. (1) | 2,521 | 5,950 | ||||||
Lamar Advertising Co. | 2,505 | 166,082 |
Lazard Ltd. | 128,183 | 3,817,290 | ||||||
LendingClub Corp. (1) | 28,578 | 122,885 | ||||||
LendingTree, Inc. (1) | 20,804 | 1,837,617 | ||||||
Lincoln National Corp. | 1,657 | 64,242 | ||||||
Live Oak Bancshares, Inc. | 3,790 | 53,477 | ||||||
LPL Financial Holdings, Inc. | 378 | 8,516 | ||||||
LTC Properties, Inc. | 6,517 | 337,124 | ||||||
Maiden Holdings Ltd. | 1,653 | 20,233 | ||||||
Marcus & Millichap, Inc. (1) | 2,870 | 72,927 | ||||||
MarketAxess Holdings, Inc. | 15,079 | 2,192,487 | ||||||
Medical Properties Trust, Inc. | 16,131 | 245,353 | ||||||
Medley Management, Inc. | 518 | 3,046 | ||||||
Meridian Bancorp, Inc. | 1,539 | 22,746 | ||||||
Moelis & Co. | 3,610 | 81,225 | ||||||
Monmouth Real Estate Investment Corp. | 2,321 | 30,776 | ||||||
Moody’s Corp. | 4,634 | 434,252 | ||||||
MSCI, Inc. | 2,781 | 214,471 | ||||||
National Bank Holdings Corp. | 5,076 | 103,347 | ||||||
National General Holdings Corp. | 5,523 | 118,303 | ||||||
National Health Investors, Inc. | 7,398 | 555,516 | ||||||
National Interstate Corp. | 348 | 10,527 | ||||||
National Storage Affiliates Trust Co. | 602 | 12,534 | ||||||
Nationstar Mortgage Holdings, Inc. (1) | 3,131 | 35,255 | ||||||
Northern Trust Corp. | 165,500 | 10,966,030 | ||||||
Northfield Bancorp, Inc. | 809 | 11,997 | ||||||
NorthStar Asset Management Group, Inc. | 5,633 | 57,513 | ||||||
OM Asset Management Plc | 5,307 | 70,848 | ||||||
Omega Healthcare Investors, Inc. | 2,086 | 70,820 | ||||||
Opus Bank | 2,157 | 72,907 | ||||||
Orchid Island Capital, Inc. | 797 | 8,201 | ||||||
Outfront Media, Inc. | 679 | 16,411 | ||||||
Pacific Premier Bancorp, Inc. (1) | 1,772 | 42,528 | ||||||
Park Sterling Corp. | 3,216 | 22,801 | ||||||
Patriot National, Inc. (1) | 2,125 | 17,383 | ||||||
Pennsylvania Real Estate Investment Trust | 4,174 | 89,532 | ||||||
Physicians Realty Trust | 13,946 | 293,005 | ||||||
PICO Holdings, Inc. (1) | 430 | 4,068 |
Pinnacle Financial Partners, Inc. | 602 | 29,408 | ||||||
Potlatch Corp. | 8,176 | 278,802 | ||||||
PRA Group, Inc. (1) | 82,097 | 1,981,822 | ||||||
Primerica, Inc. | 9,251 | 529,527 | ||||||
Prosperity Bancshares, Inc. | 167,500 | 8,540,825 | ||||||
PS Business Parks, Inc. | 3,929 | 416,788 | ||||||
Pzena Investment Management, Inc. | 2,069 | 15,745 | ||||||
QTS Realty Trust, Inc. | 9,221 | 516,192 | ||||||
Regency Centers Corp. | 512 | 42,870 | ||||||
Regional Management Corp. (1) | 247 | 3,621 | ||||||
Retail Opportunity Investments Corp. | 131,760 | 2,855,239 | ||||||
Rexford Industrial Realty, Inc. | 5,302 | 111,819 | ||||||
RLI Corp. | 6,178 | 424,923 | ||||||
RMR Group, Inc. | 1,371 | 42,460 | ||||||
Ryman Hospitality Properties, Inc. | 8,639 | 437,565 | ||||||
Sabra Health Care REIT, Inc. | 2,428 | 50,102 | ||||||
Saul Centers, Inc. | 1,799 | 111,016 | ||||||
SEI Investments Co. | 3,900 | 187,629 | ||||||
Senior Housing Properties Trust | 840 | 17,497 | ||||||
ServisFirst Bancshares, Inc. | 4,501 | 222,304 | ||||||
Signature Bank (1) | 51,812 | 6,472,355 | ||||||
Silvercrest Asset Management Group, Inc. | 1,327 | 16,242 | ||||||
South State Corp. | 53,855 | 3,664,833 | ||||||
Sovran Self Storage, Inc. | 914 | 95,897 | ||||||
STAG Industrial, Inc. | 13,835 | 329,411 | ||||||
State National Companies, Inc. | 372 | 3,917 | ||||||
SVB Financial Group (1) | 61,700 | 5,871,372 | ||||||
T. Rowe Price Group, Inc. | 5,670 | 413,740 | ||||||
Talmer BanCorp., Inc. | 143,918 | 2,758,908 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,573 | 103,383 | ||||||
Taubman Centers, Inc. | 887 | 65,815 | ||||||
TD Ameritrade Holding Corp. | 6,769 | 192,747 | ||||||
Terreno Realty Corp. | 139,672 | 3,613,315 | ||||||
Texas Capital Bancshares, Inc. (1) | 34,436 | 1,610,227 | ||||||
The GEO Group, Inc. | 3,365 | 115,016 | ||||||
The Progressive Corp. | 1,707 | 57,185 | ||||||
Third Point Reinsurance Ltd. (1) | 1,128 | 13,220 |
Trinity Place Holdings, Inc. (1) | 572 | 4,399 | ||||||
Trupanion, Inc. (1) | 2,778 | 36,809 | ||||||
UMH Properties, Inc. | 1,559 | 17,539 | ||||||
Union Bankshares, Inc. | 675 | 24,543 | ||||||
United Insurance Holdings Corp. | 2,461 | 40,311 | ||||||
Universal Health Realty Income Trust | 347 | 19,841 | ||||||
Universal Insurance Holdings, Inc. | 4,687 | 87,084 | ||||||
Urban Edge Properties | 17,837 | 532,613 | ||||||
Urstadt Biddle Properties, Inc. | 5,106 | 126,527 | ||||||
Value Line, Inc. | 250 | 4,088 | ||||||
Ventas, Inc. | 3,245 | 236,301 | ||||||
Veritex Holdings, Inc. (1) | 478 | 7,658 | ||||||
Virtu Financial, Inc. | 4,599 | 82,782 | ||||||
Waddell & Reed Financial, Inc. | 591 | 10,177 | ||||||
Washington Real Estate Investment Trust | 5,085 | 159,974 | ||||||
Western Alliance Bancorp (1) | 64,911 | 2,119,344 | ||||||
Westfield Financial, Inc. | 526 | 4,050 | ||||||
Westwood Holdings Group, Inc. | 1,695 | 87,801 | ||||||
WisdomTree Investments, Inc. | 22,266 | 217,984 | ||||||
WMIH Corp. (1) | 39,368 | 87,397 | ||||||
WP Glimcher, Inc. | 8,590 | 96,122 | ||||||
XL Group Plc | 2,811 | 93,634 | ||||||
|
| |||||||
198,365,027 | ||||||||
|
| |||||||
Healthcare - 19.19% | ||||||||
AAC Holdings, Inc. (1) | 48,937 | 1,116,742 | ||||||
Abaxis, Inc. | 4,288 | 202,522 | ||||||
ABIOMED, Inc. (1) | 15,172 | 1,658,148 | ||||||
Acadia Healthcare Co., Inc. (1) | 37,990 | 2,104,646 | ||||||
ACADIA Pharmaceuticals, Inc. (1) | 2,761 | 89,622 | ||||||
Accelerate Diagnostics, Inc. (1) | 4,202 | 60,467 | ||||||
Acceleron Pharma, Inc. (1) | 5,347 | 181,691 | ||||||
Accuray, Inc. (1) | 15,387 | 79,859 | ||||||
AcelRx Pharmaceuticals, Inc. (1) | 6,872 | 18,486 | ||||||
Aceto Corp. | 5,082 | 111,245 | ||||||
Achillion Pharmaceuticals, Inc. (1) | 22,872 | 178,402 | ||||||
Aclaris Therapeutics, Inc. (1) | 1,737 | 32,082 | ||||||
Acorda Therapeutics, Inc. (1) | 1,198 | 30,555 |
Adamas Pharmaceuticals, Inc. (1) | 1,613 | 24,421 | ||||||
Addus HomeCare Corp. (1) | 106 | 1,848 | ||||||
Adeptus Health, Inc. (1) | 2,419 | 124,966 | ||||||
Aduro Biotech, Inc. (1) | 6,875 | 77,756 | ||||||
Advaxis, Inc. (1) | 6,473 | 52,367 | ||||||
Aerie Pharmaceuticals, Inc. (1) | 4,695 | 82,632 | ||||||
Agenus, Inc. (1) | 12,016 | 48,665 | ||||||
Agile Therapeutics, Inc. (1) | 2,675 | 20,357 | ||||||
Agilent Technologies, Inc. | 2,604 | 115,513 | ||||||
Agios Pharmaceuticals, Inc. (1) | 867 | 36,323 | ||||||
Aimmune Therapeutics, Inc. (1) | 5,098 | 55,160 | ||||||
Air Methods Corp. (1) | 7,089 | 253,999 | ||||||
Akebia Therapeutics, Inc. (1) | 2,042 | 15,274 | ||||||
Akorn, Inc. (1) | 58,977 | 1,679,960 | ||||||
Albany Molecular Research, Inc. (1) | 2,398 | 32,229 | ||||||
Alder Biopharmaceuticals, Inc. (1) | 9,398 | 234,668 | ||||||
Alere, Inc. (1) | 488 | 20,340 | ||||||
Alexion Pharmaceuticals, Inc. (1) | 51,260 | 5,985,118 | ||||||
Align Technology, Inc. (1) | 84,708 | 6,823,229 | ||||||
Alkermes Plc (1) | 4,593 | 198,509 | ||||||
Almost Family, Inc. (1) | 395 | 16,831 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 1,984 | 110,092 | ||||||
AMAG Pharmaceuticals, Inc. (1) | 2,094 | 50,088 | ||||||
Amedisys, Inc. (1) | 5,543 | 279,811 | ||||||
American Renal Associates Holdings, Inc. (1) | 1,502 | 43,513 | ||||||
AmerisourceBergen Corp. | 95,078 | 7,541,587 | ||||||
Amicus Therapeutics, Inc. (1) | 24,790 | 135,353 | ||||||
AMN Healthcare Services, Inc. (1) | 9,358 | 374,039 | ||||||
Amphastar Pharmaceuticals, Inc. (1) | 6,934 | 111,776 | ||||||
Ampio Pharmaceuticals, Inc. (1) | 8,491 | 10,953 | ||||||
Amsurg Corp. (1) | 923 | 71,569 | ||||||
Analogic Corp. | 210 | 16,682 | ||||||
Anavex Life Sciences Corp. (1) | 6,435 | 39,318 | ||||||
ANI Pharmaceuticals, Inc. (1) | 1,559 | 87,023 | ||||||
Anika Therapeutics, Inc. (1) | 2,215 | 118,835 | ||||||
Anthera Pharmaceuticals, Inc. (1) | 7,638 | 23,601 | ||||||
Applied Genetic Technologies Corp. (1) | 2,463 | 34,802 |
Aratana Therapeutics, Inc. (1) | 6,042 | 38,185 | ||||||
Ardelyx, Inc. (1) | 724 | 6,321 | ||||||
Arena Pharmaceuticals, Inc. (1) | 47,435 | 81,114 | ||||||
Argos Therapeutics, Inc. (1) | 2,012 | 12,334 | ||||||
ARIAD Pharmaceuticals, Inc. (1) | 33,374 | 246,634 | ||||||
Array BioPharma, Inc. (1) | 2,644 | 9,413 | ||||||
Arrowhead Pharmaceuticals, Inc. (1) | 10,953 | 58,270 | ||||||
Asterias Biotherapeutics, Inc. - Class A (1) | 4,296 | 10,310 | ||||||
Atara Biotherapeutics, Inc. (1) | 250 | 5,628 | ||||||
Athenahealth, Inc. (1) | 14,564 | 2,009,978 | ||||||
Athersys, Inc. (1) | 13,801 | 29,948 | ||||||
AtriCure, Inc. (1) | 4,796 | 67,767 | ||||||
Atrion Corp. | 269 | 115,094 | ||||||
Avexis, Inc. (1) | 937 | 35,625 | ||||||
Avinger, Inc. (1) | 2,098 | 25,029 | ||||||
AxoGen, Inc. (1) | 4,671 | 32,136 | ||||||
Axovant Sciences Ltd. (1) | 4,751 | 61,003 | ||||||
Axsome Therapeutics, Inc. (1) | 2,084 | 15,713 | ||||||
Bellicum Pharmaceuticals, Inc. (1) | 2,689 | 34,849 | ||||||
BioCryst Pharmaceuticals, Inc. (1) | 11,626 | 33,018 | ||||||
BioMarin Pharmaceutical, Inc. (1) | 86,389 | 6,721,064 | ||||||
Bio-Path Holdings, Inc. (1) | 16,081 | 32,001 | ||||||
Bio-Rad Laboratories, Inc. (1) | 20,561 | 2,940,634 | ||||||
BioScrip, Inc. (1) | 1,447 | 3,690 | ||||||
BioSpecifics Technologies Corp. (1) | 1,030 | 41,138 | ||||||
Bio-Techne Corp. | 22,021 | 2,483,308 | ||||||
BioTelemetry, Inc. (1) | 5,269 | 85,885 | ||||||
BioTime, Inc. (1) | 13,266 | 34,624 | ||||||
Bluebird Bio, Inc. (1) | 2,703 | 117,013 | ||||||
Blueprint Medicines Corp. (1) | 3,887 | 78,712 | ||||||
Bruker Corp. | 3,193 | 72,609 | ||||||
C.R. Bard, Inc. | 37,245 | 8,758,534 | ||||||
Cambrex Corp. (1) | 6,315 | 326,675 | ||||||
Cantel Medical Corp. | 33,430 | 2,297,644 | ||||||
Capital Senior Living Corp. (1) | 5,508 | 97,326 | ||||||
Cara Therapeutics, Inc. (1) | 513 | 2,468 | ||||||
Cardiovascular Systems, Inc. (1) | 6,258 | 114,991 |
Castlight Health, Inc. (1) | 8,226 | 32,575 | ||||||
Catalent, Inc. (1) | 69,461 | 1,596,908 | ||||||
Celator Pharmaceuticals, Inc. (1) | 6,373 | 192,337 | ||||||
Cellular Biomedicine Group, Inc. (1) | 1,584 | 18,992 | ||||||
Cempra, Inc. (1) | 8,058 | 132,876 | ||||||
Centene Corp. (1) | 164,915 | 11,769,984 | ||||||
Cepheid (1) | 328,494 | 10,101,191 | ||||||
Cerner Corp. (1) | 46,794 | 2,742,128 | ||||||
Cerus Corp. (1) | 17,290 | 107,890 | ||||||
Charles River Laboratories International, Inc. (1) | 1,425 | 117,477 | ||||||
Chemed Corp. | 3,167 | 431,694 | ||||||
ChemoCentryx, Inc. (1) | 4,099 | 18,405 | ||||||
ChromaDex Corp. (1) | 5,667 | 23,461 | ||||||
Cidara Therapeutics, Inc. (1) | 111 | 1,144 | ||||||
Civitas Solutions, Inc. (1) | 2,950 | 61,449 | ||||||
Clovis Oncology, Inc. (1) | 6,166 | 84,598 | ||||||
Coherus Biosciences, Inc. (1) | 5,730 | 96,780 | ||||||
Collegium Pharmaceutical, Inc. (1) | 2,634 | 31,213 | ||||||
Computer Programs & Systems, Inc. | 2,307 | 92,095 | ||||||
Concert Pharmaceuticals, Inc. (1) | 1,313 | 14,745 | ||||||
ConforMIS, Inc. (1) | 6,903 | 48,459 | ||||||
Corcept Therapeutics, Inc. (1) | 14,531 | 79,339 | ||||||
Corindus Vascular Robotics, Inc. (1) | 10,209 | 14,599 | ||||||
CorVel Corp. (1) | 1,924 | 83,078 | ||||||
Cotiviti Holdings, Inc. (1) | 1,924 | 40,654 | ||||||
Cross Country Healthcare, Inc. (1) | 6,233 | 86,763 | ||||||
CryoLife, Inc. | 4,039 | 47,701 | ||||||
Curis, Inc. (1) | 22,415 | 34,967 | ||||||
Cutera, Inc. (1) | 2,262 | 25,357 | ||||||
Cynosure, Inc. (1) | 4,636 | 225,518 | ||||||
Cytokinetics, Inc. (1) | 6,566 | 62,311 | ||||||
CytomX Therapeutics, Inc. (1) | 3,933 | 40,176 | ||||||
CytRx Corp. (1) | 11,416 | 25,458 | ||||||
DaVita HealthCare Partners, Inc. (1) | 2,013 | 155,645 | ||||||
Dentsply Sirona, Inc. | 247,470 | 15,353,039 | ||||||
Depomed, Inc. (1) | 11,936 | 234,184 | ||||||
Dermira, Inc. (1) | 4,101 | 119,954 |
DexCom, Inc. (1) | 2,510 | 199,118 | ||||||
Dimension Therapeutics, Inc. (1) | 889 | 5,334 | ||||||
Durect Corp. (1) | 25,949 | 31,658 | ||||||
Dynavax Technologies Corp. (1) | 7,644 | 111,450 | ||||||
Eagle Pharmaceuticals, Inc. (1) | 1,836 | 71,218 | ||||||
Edge Therapeutics, Inc. (1) | 1,253 | 12,668 | ||||||
Editas Medicine, Inc. (1) | 1,363 | 33,257 | ||||||
Edwards Lifesciences Corp. (1) | 34,454 | 3,436,097 | ||||||
Egalet Corp. (1) | 948 | 4,702 | ||||||
Eiger BioPharmaceuticals, Inc. (1) | 648 | 12,843 | ||||||
Emergent BioSolutions, Inc. (1) | 6,360 | 178,843 | ||||||
Endologix, Inc. (1) | 15,811 | 197,005 | ||||||
Ensign Group, Inc. | 83,448 | 1,753,242 | ||||||
Entellus Medical, Inc. (1) | 1,449 | 26,473 | ||||||
Envision Healthcare Holdings, Inc. (1) | 4,745 | 120,381 | ||||||
Enzo Biochem, Inc. (1) | 7,241 | 43,229 | ||||||
Epizyme, Inc. (1) | 5,570 | 57,037 | ||||||
Exact Sciences Corp. (1) | 19,707 | 241,411 | ||||||
ExamWorks Group, Inc. (1) | 7,992 | 278,521 | ||||||
Exelixis, Inc. (1) | 27,486 | 214,666 | ||||||
FibroGen, Inc. (1) | 10,322 | 169,384 | ||||||
Five Prime Therapeutics, Inc. (1) | 1,233 | 50,985 | ||||||
Flex Pharma, Inc. (1) | 1,716 | 17,520 | ||||||
Flexion Therapeutics, Inc. (1) | 3,584 | 53,635 | ||||||
Fluidigm Corp. (1) | 5,650 | 51,020 | ||||||
Fortress Biotech, Inc. (1) | 6,531 | 17,568 | ||||||
Foundation Medicine, Inc. (1) | 2,606 | 48,628 | ||||||
Galena Biopharma, Inc. (1) | 36,340 | 16,938 | ||||||
Genesis Healthcare, Inc. (1) | 3,305 | 5,850 | ||||||
GenMark Diagnostics, Inc. (1) | 7,806 | 67,912 | ||||||
Genomic Health, Inc. (1) | 3,646 | 94,413 | ||||||
Geron Corp. (1) | 29,414 | 78,830 | ||||||
Glaukos Corp. (1) | 3,259 | 95,032 | ||||||
Global Blood Therapeutics, Inc. (1) | 2,727 | 45,241 | ||||||
Globus Medical, Inc. (1) | 101,945 | 2,429,349 | ||||||
GlycoMimetics, Inc. (1) | 1,936 | 14,075 | ||||||
Halozyme Therapeutics, Inc. (1) | 22,209 | 191,664 |
HealthEquity, Inc. (1) | 83,907 | 2,549,514 | ||||||
HealthSouth Corp. | 17,668 | 685,872 | ||||||
HealthStream, Inc. (1) | 5,052 | 133,979 | ||||||
HeartWare International, Inc. (1) | 3,517 | 203,107 | ||||||
Henry Schein, Inc. (1) | 2,502 | 442,354 | ||||||
Heron Therapeutics, Inc. (1) | 6,181 | 111,567 | ||||||
Heska Corp. (1) | 1,224 | 45,496 | ||||||
Hill-Rom Holdings, Inc. | 1,871 | 94,392 | ||||||
HMS Holdings Corp. (1) | 145,330 | 2,559,261 | ||||||
Hologic, Inc. (1) | 53,889 | 1,864,559 | ||||||
Horizon Pharma Plc (1) | 32,067 | 528,143 | ||||||
ICON Plc (1) | 25,590 | 1,791,556 | ||||||
ICU Medical, Inc. (1) | 33,092 | 3,731,123 | ||||||
Idera Pharmaceuticals, Inc. (1) | 15,172 | 23,213 | ||||||
IDEXX Laboratories, Inc. (1) | 30,627 | 2,844,023 | ||||||
Ignyta, Inc. (1) | 3,315 | 17,967 | ||||||
Illumina, Inc. (1) | 18,431 | 2,587,344 | ||||||
Immune Design Corp. (1) | 1,871 | 15,267 | ||||||
ImmunoGen, Inc. (1) | 16,107 | 49,610 | ||||||
Immunomedics, Inc. (1) | 15,331 | 35,568 | ||||||
Impax Laboratories, Inc. (1) | 14,608 | 421,003 | ||||||
Imprivata, Inc. (1) | 3,119 | 43,666 | ||||||
IMS Health Holdings, Inc. (1) | 4,619 | 117,138 | ||||||
INC Research Holdings, Inc. (1) | 8,201 | 312,704 | ||||||
Incyte Corp. (1) | 4,973 | 397,741 | ||||||
Infinity Pharmaceuticals, Inc. (1) | 9,735 | 12,948 | ||||||
Innoviva, Inc. | 14,028 | 147,715 | ||||||
Inogen, Inc. (1) | 3,267 | 163,709 | ||||||
Inotek Pharmaceuticals Corp. (1) | 3,017 | 22,446 | ||||||
Inovalon Holdings, Inc. (1) | 1,801 | 32,436 | ||||||
Inovio Pharmaceuticals, Inc. (1) | 12,990 | 120,028 | ||||||
Insmed, Inc. (1) | 12,912 | 127,312 | ||||||
Insulet Corp. (1) | 11,516 | 348,244 | ||||||
Insys Therapeutics, Inc. (1) | 4,681 | 60,572 | ||||||
Integra LifeSciences Holdings Corp. (1) | 117,727 | 9,392,260 | ||||||
Intellia Therapeutics, Inc. (1) | 1,358 | 28,993 | ||||||
Intercept Pharmaceuticals, Inc. (1) | 501 | 71,483 |
Intersect ENT, Inc. (1) | 4,953 | 64,042 | ||||||
Intra-Cellular Therapies, Inc. (1) | 6,898 | 267,780 | ||||||
Intrexon Corp. (1) | 1,689 | 41,566 | ||||||
Intuitive Surgical, Inc. (1) | 2,920 | 1,931,317 | ||||||
InVitae Corp. (1) | 4,353 | 32,169 | ||||||
InVivo Therapeutics Holdings Corp. (1) | 6,295 | 36,385 | ||||||
Ionis Pharmaceuticals, Inc. (1) | 3,677 | 85,637 | ||||||
iRadimed Corp. (1) | 787 | 17,125 | ||||||
IRIDEX Corp. (1) | 1,467 | 21,697 | ||||||
Ironwood Pharmaceuticals, Inc. (1) | 25,407 | 332,197 | ||||||
Juno Therapeutics, Inc. (1) | 1,729 | 66,463 | ||||||
K2M Group Holdings, Inc. (1) | 1,548 | 24,025 | ||||||
Karyopharm Therapeutics, Inc. (1) | 936 | 6,281 | ||||||
Keryx Biopharmaceuticals, Inc. (1) | 15,381 | 101,822 | ||||||
Kite Pharma, Inc. (1) | 7,834 | 391,700 | ||||||
La Jolla Pharmaceutical Co. (1) | 2,706 | 43,296 | ||||||
Laboratory Corp. of America Holdings (1) | 82,401 | 10,734,378 | ||||||
Landauer, Inc. | 1,919 | 78,986 | ||||||
LDR Holding Corp. (1) | 5,526 | 204,186 | ||||||
LeMaitre Vascular, Inc. | 2,629 | 37,516 | ||||||
Lexicon Pharmaceuticals, Inc. (1) | 8,234 | 118,158 | ||||||
LHC Group, Inc. (1) | 131 | 5,670 | ||||||
Ligand Pharmaceuticals, Inc. (1) | 23,710 | 2,827,892 | ||||||
Lion Biotechnologies, Inc. (1) | 8,948 | 72,479 | ||||||
Lipocine, Inc. (1) | 3,202 | 9,734 | ||||||
Loxo Oncology, Inc. (1) | 2,598 | 60,222 | ||||||
Luminex Corp. (1) | 3,259 | 65,930 | ||||||
MacroGenics, Inc. (1) | 6,284 | 169,605 | ||||||
Magellan Health, Inc. (1) | 3,436 | 225,986 | ||||||
MannKind Corp. (1) | 62,856 | 72,913 | ||||||
Masimo Corp. (1) | 48,083 | 2,525,079 | ||||||
Medgenics, Inc. (1) | 4,978 | 27,628 | ||||||
Medicines Co. (1) | 12,225 | 411,127 | ||||||
MediciNova, Inc. (1) | 5,744 | 43,367 | ||||||
Medidata Solutions, Inc. (1) | 121,918 | 5,714,297 | ||||||
Medivation, Inc. (1) | 26,967 | 1,626,110 | ||||||
MEDNAX, Inc. (1) | 152,227 | 11,025,802 |
Meridian Bioscience, Inc. | 7,028 | 137,046 | ||||||
Merit Medical Systems, Inc. (1) | 90,163 | 1,787,932 | ||||||
Merrimack Pharmaceuticals, Inc. (1) | 14,736 | 79,427 | ||||||
Mettler-Toledo International, Inc. (1) | 49,172 | 17,943,846 | ||||||
MiMedx Group, Inc. (1) | 20,010 | 159,680 | ||||||
Minerva Neurosciences, Inc. (1) | 3,101 | 31,661 | ||||||
Mirati Therapeutics, Inc. (1) | 2,426 | 13,246 | ||||||
Molina Healthcare, Inc. (1) | 5,712 | 285,029 | ||||||
Momenta Pharmaceuticals, Inc. (1) | 3,021 | 32,627 | ||||||
MyoKardia, Inc. (1) | 2,172 | 26,933 | ||||||
Myriad Genetics, Inc. (1) | 39,129 | 1,197,347 | ||||||
NanoString Technologies, Inc. (1) | 2,999 | 37,787 | ||||||
NantKwest, Inc. (1) | 274 | 1,704 | ||||||
Natera, Inc. (1) | 5,059 | 61,037 | ||||||
National Research Corp. | 1,473 | 20,180 | ||||||
Natus Medical, Inc. (1) | 66,537 | 2,515,099 | ||||||
Nektar Therapeutics (1) | 25,776 | 366,792 | ||||||
Neogen Corp. (1) | 53,226 | 2,993,963 | ||||||
NeoGenomics, Inc. (1) | 10,480 | 84,259 | ||||||
Neos Therapeutics, Inc. (1) | 2,451 | 22,745 | ||||||
Neurocrine Biosciences, Inc. (1) | 2,624 | 119,261 | ||||||
Nevro Corp. (1) | 4,755 | 350,729 | ||||||
NewLink Genetics Corp. (1) | 3,195 | 35,976 | ||||||
Nobilis Health Corp. (1) | 810 | 1,806 | ||||||
Novavax, Inc. (1) | 54,026 | 392,769 | ||||||
Novocure Ltd. (1) | 9,846 | 114,903 | ||||||
NuVasive, Inc. (1) | 171,142 | 10,220,600 | ||||||
NxStage Medical, Inc. (1) | 12,699 | 275,314 | ||||||
Ocular Therapeutix, Inc. (1) | 3,773 | 18,676 | ||||||
Omeros Corp. (1) | 4,562 | 47,992 | ||||||
Omnicell, Inc. (1) | 77,183 | 2,641,974 | ||||||
OncoMed Pharmaceuticals, Inc. (1) | 3,351 | 41,251 | ||||||
Ophthotech Corp. (1) | 6,113 | 311,946 | ||||||
OPKO Health, Inc. (1) | 8,988 | 83,948 | ||||||
OraSure Technologies, Inc. (1) | 10,542 | 62,303 | ||||||
Organovo Holdings, Inc. (1) | 16,628 | 61,856 | ||||||
Orthofix International (1) | 3,425 | 145,220 |
Osiris Therapeutics, Inc. | 3,594 | 18,293 | ||||||
OvaScience, Inc. (1) | 749 | 3,902 | ||||||
Owens & Minor, Inc. | 1,445 | 54,014 | ||||||
Oxford Immunotec Global Plc (1) | 4,394 | 39,546 | ||||||
Pacific Biosciences of California, Inc. (1) | 14,835 | 104,364 | ||||||
Pacira Pharmaceuticals, Inc. (1) | 35,558 | 1,199,371 | ||||||
Paratek Pharmaceuticals, Inc. (1) | 2,769 | 38,517 | ||||||
PAREXEL International Corp. (1) | 184,009 | 11,570,486 | ||||||
Patterson Companies, Inc. | 2,560 | 122,598 | ||||||
Penumbra, Inc. (1) | 5,078 | 302,141 | ||||||
PerkinElmer, Inc. | 696 | 36,484 | ||||||
Pfenex, Inc. (1) | 3,171 | 26,541 | ||||||
PharmAthene, Inc. (1) | 11,461 | 27,965 | ||||||
Phibro Animal Health Corp. | 3,542 | 66,094 | ||||||
Portola Pharmaceuticals, Inc. (1) | 8,800 | 207,680 | ||||||
PRA Health Sciences, Inc. (1) | 4,739 | 197,901 | ||||||
Premier, Inc. (1) | 426 | 13,930 | ||||||
Press Ganey Holdings, Inc. (1) | 55,554 | 2,186,050 | ||||||
Prestige Brands Holdings, Inc. (1) | 35,685 | 1,976,949 | ||||||
Progenics Pharmaceuticals, Inc. (1) | 13,710 | 57,856 | ||||||
Proteostasis Therapeutics, Inc. (1) | 1,216 | 14,750 | ||||||
Prothena Corporation Plc (1) | 6,823 | 238,532 | ||||||
Puma Biotechnology, Inc. (1) | 4,815 | 143,439 | ||||||
Quality Systems, Inc. | 9,996 | 119,052 | ||||||
Quidel Corp. (1) | 4,930 | 88,050 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 1,650 | 107,778 | ||||||
Quorum Health Corp. (1) | 5,776 | 61,861 | ||||||
Radius Health, Inc. (1) | 6,163 | 226,490 | ||||||
RadNet, Inc. (1) | 7,501 | 40,055 | ||||||
Raptor Pharmaceutical Corp. (1) | 16,944 | 90,989 | ||||||
Reata Pharmaceuticals, Inc. (1) | 1,104 | 21,804 | ||||||
Regulus Therapeutics, Inc. (1) | 7,474 | 21,600 | ||||||
Relypsa, Inc. (1) | 7,351 | 135,994 | ||||||
Repligen Corp. (1) | 39,304 | 1,075,357 | ||||||
ResMed, Inc. | 32,169 | 2,034,046 | ||||||
Revance Therapeutics, Inc. (1) | 3,964 | 53,910 | ||||||
Rigel Pharmaceuticals, Inc. (1) | 14,953 | 33,345 |
Rockwell Medical, Inc. (1) | 8,736 | 66,132 | ||||||
SAGE Therapeutics, Inc. (1) | 5,161 | 155,501 | ||||||
Sagent Pharmaceuticals, Inc. (1) | 311 | 4,659 | ||||||
Sangamo BioSciences, Inc. (1) | 13,586 | 78,663 | ||||||
Sarepta Therapeutics, Inc. (1) | 8,338 | 159,006 | ||||||
SciClone Pharmaceuticals, Inc. (1) | 9,899 | 129,281 | ||||||
Seattle Genetics, Inc. (1) | 2,938 | 118,725 | ||||||
Second Sight Medical Products, Inc. (1) | 3,277 | 11,732 | ||||||
Select Medical Holdings Corp. (1) | 1,565 | 17,012 | ||||||
Senseonics Holdings, Inc. (1) | 5,363 | 21,077 | ||||||
Seres Therapeutics, Inc. (1) | 3,469 | 100,774 | ||||||
Sorrento Therapeutics, Inc. (1) | 5,679 | 31,802 | ||||||
Spark Therapeutics, Inc. (1) | 3,344 | 170,979 | ||||||
Spectrum Pharmaceuticals, Inc. (1) | 3,635 | 23,882 | ||||||
St. Jude Medical, Inc. | 175,904 | 13,720,512 | ||||||
STAAR Surgical Co. (1) | 7,758 | 42,747 | ||||||
Stemline Therapeutics, Inc. (1) | 786 | 5,321 | ||||||
STERIS Plc | 161,000 | 11,068,750 | ||||||
Sucampo Pharmaceuticals, Inc. (1) | 4,554 | 49,957 | ||||||
Supernus Pharmaceuticals, Inc. (1) | 9,157 | 186,528 | ||||||
Surgery Partners, Inc. (1) | 2,114 | 37,841 | ||||||
Surgical Care Affiliates, Inc. (1) | 5,334 | 254,272 | ||||||
SurModics, Inc. (1) | 2,524 | 59,264 | ||||||
Syndax Pharmaceuticals, Inc. (1) | 413 | 4,068 | ||||||
Synergy Pharmaceuticals, Inc. (1) | 35,342 | 134,300 | ||||||
Synthetic Biologics, Inc. (1) | 14,570 | 26,226 | ||||||
T2 Biosystems, Inc. (1) | 2,786 | 21,982 | ||||||
Tandem Diabetes Care, Inc. (1) | 3,405 | 25,674 | ||||||
Team Health Holdings, Inc. (1) | 13,398 | 544,897 | ||||||
Teladoc, Inc. (1) | 4,004 | 64,144 | ||||||
Teleflex, Inc. | 17,245 | 3,057,711 | ||||||
Teligent, Inc. (1) | 8,316 | 59,376 | ||||||
Tenet Healthcare Corp. (1) | 2,448 | 67,663 | ||||||
TESARO, Inc. (1) | 4,928 | 414,198 | ||||||
TG Therapeutics, Inc. (1) | 7,318 | 44,347 | ||||||
The Cooper Companies, Inc. | 63,128 | 10,830,871 | ||||||
The Providence Service Corp. (1) | 2,538 | 113,905 |
The Spectranetics Corp. (1) | 8,441 | 157,931 | ||||||
TherapeuticsMD, Inc. (1) | 27,452 | 233,342 | ||||||
Theravance Biopharma, Inc. (1) | 7,063 | 160,259 | ||||||
Titan Pharmaceuticals, Inc. (1) | 3,432 | 18,773 | ||||||
Tobira Therapeutics, Inc. (1) | 1,673 | 21,013 | ||||||
Tokai Pharmaceuticals, Inc. (1) | 1,828 | 10,072 | ||||||
TransEnterix, Inc. (1) | 876 | 1,069 | ||||||
Trevena, Inc. (1) | 8,703 | 54,829 | ||||||
Trovagene, Inc. (1) | 4,991 | 22,609 | ||||||
Ultragenyx Pharmaceutical, Inc. (1) | 7,201 | 352,201 | ||||||
United Therapeutics Corp. (1) | 374 | 39,614 | ||||||
Universal Health Services, Inc. | 84,716 | 11,360,416 | ||||||
US Physical Therapy, Inc. | 2,371 | 142,758 | ||||||
Utah Medical Products, Inc. | 684 | 43,092 | ||||||
Vanda Pharmaceuticals, Inc. (1) | 7,131 | 79,796 | ||||||
Varian Medical Systems, Inc. (1) | 2,912 | 239,454 | ||||||
Vascular Solutions, Inc. (1) | 3,303 | 137,603 | ||||||
VCA, Inc. (1) | 2,374 | 160,506 | ||||||
Veeva Systems, Inc. (1) | 2,932 | 100,040 | ||||||
Veracyte, Inc. (1) | 2,857 | 14,371 | ||||||
Versartis, Inc. (1) | 319 | 3,528 | ||||||
ViewRay, Inc. (1) | 1,204 | 4,924 | ||||||
Vitae Pharmaceuticals, Inc. (1) | 5,100 | 55,029 | ||||||
Vital Therapies, Inc. (1) | 4,678 | 29,004 | ||||||
Vocera Communications, Inc. (1) | 3,439 | 44,191 | ||||||
Voyager Therapeutics, Inc. (1) | 1,128 | 12,397 | ||||||
vTv Therapeutics, Inc. (1) | 1,743 | 10,109 | ||||||
VWR Corp. (1) | 138 | 3,988 | ||||||
Waters Corp. (1) | 50,846 | 7,151,490 | ||||||
WaVe Life Sciences Ltd. (1) | 1,152 | 23,835 | ||||||
WellCare Health Plans, Inc. (1) | 1,242 | 133,242 | ||||||
West Pharmaceutical Services, Inc. | 23,960 | 1,818,085 | ||||||
XBiotech, Inc. (1) | 3,393 | 70,982 | ||||||
Xencor, Inc. (1) | 6,265 | 118,972 | ||||||
XenoPort, Inc. (1) | 11,094 | 78,102 | ||||||
Zeltiq Aesthetics, Inc. (1) | 6,929 | 189,370 | ||||||
Zimmer Holdings, Inc. | 2,997 | 360,779 | ||||||
ZIOPHARM Oncology, Inc. (1) | 23,680 | 130,003 | ||||||
Zoetis, Inc. | 13,935 | 661,355 | ||||||
|
| |||||||
316,083,090 | ||||||||
|
|
Industrials - 14.78% | ||||||||
A.O. Smith Corp. | 106,746 | 9,405,390 | ||||||
AAON, Inc. | 79,906 | 2,198,214 | ||||||
Actuant Corp. | 5,508 | 124,536 | ||||||
Acuity Brands, Inc. | 9,470 | 2,348,181 | ||||||
Advanced Drainage Systems, Inc. | 6,851 | 187,512 | ||||||
Aerojet Rocketdyne Holdings, Inc. (1) | 6,166 | 112,714 | ||||||
AeroVironment, Inc. (1) | 647 | 17,987 | ||||||
Air Lease Corp. | 1,458 | 39,045 | ||||||
Air Transport Services Group, Inc. (1) | 1,438 | 18,636 | ||||||
Alamo Group, Inc. | 419 | 27,641 | ||||||
Alaska Air Group, Inc. | 91,170 | 5,314,299 | ||||||
Albany International Corp. | 847 | 33,821 | ||||||
Allegiant Travel Co. | 2,607 | 394,960 | ||||||
Allegion Plc | 2,931 | 203,499 | ||||||
Allied Motion Technologies, Inc. | 1,228 | 28,563 | ||||||
Altra Industrial Motion Corp. | 4,078 | 110,024 | ||||||
AMERCO | 116 | 43,448 | ||||||
American Woodmark Corp. (1) | 2,704 | 179,492 | ||||||
AMETEK, Inc. | 1,295 | 59,868 | ||||||
Apogee Enterprises, Inc. | 5,689 | 263,685 | ||||||
Applied Industrial Technologies, Inc. | 3,076 | 138,851 | ||||||
Aqua Metals, Inc. (1) | 2,054 | 24,165 | ||||||
Argan, Inc. | 2,614 | 109,056 | ||||||
Armstrong Flooring, Inc. (1) | 250 | 4,237 | ||||||
Astec Industries, Inc. | 1,773 | 99,554 | ||||||
Astronics Corp. (1) | 86,197 | 2,866,912 | ||||||
Avis Budget Group, Inc. (1) | 2,553 | 82,283 | ||||||
AZZ, Inc. | 5,130 | 307,697 | ||||||
B/E Aerospace, Inc. | 3,118 | 143,974 | ||||||
Barrett Business Services, Inc. | 1,412 | 58,344 | ||||||
Beacon Roofing Supply, Inc. (1) | 79,670 | 3,622,595 | ||||||
Blue Bird Corp. (1) | 134 | 1,595 | ||||||
BMC Stock Holdings, Inc. (1) | 9,136 | 162,804 |
Brady Corp. | 6,786 | 207,380 | ||||||
Builders FirstSource, Inc. (1) | 16,359 | 184,039 | ||||||
BWX Technologies, Inc. | 2,848 | 101,873 | ||||||
C.H. Robinson Worldwide, Inc. | 103,850 | 7,710,863 | ||||||
Caesarstone Ltd. (1) | 4,645 | 161,460 | ||||||
Carlisle Companies, Inc. | 572 | 60,449 | ||||||
CEB, Inc. | 23,844 | 1,470,698 | ||||||
Cintas Corp. | 2,712 | 266,129 | ||||||
CLARCOR, Inc. | 164,008 | 9,976,607 | ||||||
Clean Harbors, Inc. (1) | 126 | 6,566 | ||||||
Comfort Systems USA, Inc. | 7,242 | 235,872 | ||||||
Continental Building Products, Inc. (1) | 6,877 | 152,876 | ||||||
Copart, Inc. (1) | 2,986 | 146,344 | ||||||
Covanta Holding Corp. | 3,558 | 58,529 | ||||||
Curtiss-Wright Corp. | 6,329 | 533,218 | ||||||
Deluxe Corp. | 9,629 | 639,077 | ||||||
Donaldson Co., Inc. | 196,077 | 6,737,206 | ||||||
Douglas Dynamics, Inc. | 3,697 | 95,124 | ||||||
Dover Corp. | 196,000 | 13,586,720 | ||||||
Dun & Bradstreet Corp. | 449 | 54,706 | ||||||
Dycom Industries, Inc. (1) | 6,025 | 540,804 | ||||||
Echo Global Logistics, Inc. (1) | 4,944 | 110,844 | ||||||
EMCOR Group, Inc. | 1,969 | 96,993 | ||||||
Energous Corp. (1) | 2,866 | 37,115 | ||||||
Energy Recovery, Inc. (1) | 6,703 | 59,590 | ||||||
EnerSys, Inc. | 2,512 | 149,389 | ||||||
EnPro Industries, Inc. | 4,209 | 186,838 | ||||||
Equifax, Inc. | 3,621 | 464,936 | ||||||
Exone Co. (1) | 394 | 4,165 | ||||||
Expeditors International of Washington, Inc. | 3,906 | 191,550 | ||||||
Exponent, Inc. | 5,027 | 293,627 | ||||||
Fastenal Co. | 131,797 | 5,850,469 | ||||||
Flowserve Corp. | 2,413 | 108,995 | ||||||
Fortune Brands Home & Security, Inc. | 4,667 | 270,546 | ||||||
Forward Air Corp. | 5,823 | 259,298 | ||||||
Franklin Covey Co. (1) | 1,576 | 24,160 | ||||||
Franklin Electric Company, Inc. | 8,576 | 283,437 |
FTI Consulting, Inc. (1) | 694 | 28,232 | ||||||
G&K Services, Inc. | 2,955 | 226,264 | ||||||
Generac Holdings, Inc. (1) | 12,898 | 450,914 | ||||||
General Cable Corp. | 9,167 | 116,513 | ||||||
Genesee & Wyoming, Inc. (1) | 47,573 | 2,804,428 | ||||||
Gibraltar Industries, Inc. (1) | 3,999 | 126,248 | ||||||
Global Brass and Copper Holdings, Inc. | 3,961 | 108,096 | ||||||
GMS, Inc. (1) | 1,388 | 30,883 | ||||||
Gorman Rupp Co. | 2,971 | 81,435 | ||||||
GP Strategies Corp. (1) | 2,466 | 53,488 | ||||||
Graco, Inc. | 1,687 | 133,256 | ||||||
Granite Construction, Inc. | 5,964 | 271,660 | ||||||
Great Lakes Dredge & Dock Corp. (1) | 827 | 3,606 | ||||||
Griffon Corp. | 4,922 | 82,985 | ||||||
H&E Equipment Services, Inc. | 6,255 | 119,033 | ||||||
Hawaiian Holdings, Inc. (1) | 10,407 | 395,050 | ||||||
HD Supply Holdings, Inc. (1) | 6,143 | 213,899 | ||||||
Healthcare Services Group, Inc. | 81,512 | 3,372,967 | ||||||
Heartland Express, Inc. | 9,025 | 156,945 | ||||||
HEICO Corp. | 58,085 | 3,880,659 | ||||||
Heico Corp. - Class A | 18,612 | 998,534 | ||||||
Heritage Crystal Clean, Inc. (1) | 1,312 | 16,020 | ||||||
Herman Miller, Inc. | 11,929 | 356,558 | ||||||
Hertz Global Holdings, Inc. (1) | 2,181 | 24,144 | ||||||
Hexcel Corp. | 2,830 | 117,841 | ||||||
Hill International, Inc. (1) | 2,683 | 10,920 | ||||||
Hillenbrand, Inc. | 11,691 | 351,198 | ||||||
HNI Corp. | 9,004 | 418,596 | ||||||
Hub Group, Inc. (1) | 6,070 | 232,906 | ||||||
Hubbell, Inc. | 1,076 | 113,486 | ||||||
Huntington Ingalls Industries, Inc. | 1,189 | 199,788 | ||||||
Huron Consulting Group, Inc. (1) | 561 | 33,896 | ||||||
Hyster-Yale Materials Handling, Inc. | 552 | 32,838 | ||||||
IDEX Corp. | 238,021 | 19,541,524 | ||||||
IES Holdings, Inc. (1) | 1,355 | 16,829 | ||||||
IHS, Inc. (1) | 8,808 | 1,018,293 | ||||||
Ingersoll-Rand Plc | 3,950 | 251,536 |
InnerWorkings, Inc. (1) | 6,956 | 57,526 | ||||||
Insperity, Inc. | 3,067 | 236,864 | ||||||
Insteel Industries, Inc. | 3,553 | 101,580 | ||||||
Interface, Inc. | 11,184 | 170,556 | ||||||
J.B. Hunt Transportation Services, Inc. | 12,593 | 1,019,151 | ||||||
JetBlue Airways Corp. (1) | 738 | 12,221 | ||||||
John Bean Technologies Corp. | 5,765 | 352,933 | ||||||
Kadant, Inc. | 362 | 18,647 | ||||||
Kaman Corp. | 513 | 21,813 | ||||||
KAR Auction Services, Inc. | 4,206 | 175,558 | ||||||
Kforce, Inc. | 5,106 | 86,240 | ||||||
Kimball International, Inc. | 6,036 | 68,690 | ||||||
Knight Transportation, Inc. | 12,333 | 327,811 | ||||||
Knoll, Inc. | 9,392 | 228,038 | ||||||
Korn/Ferry International | 6,604 | 136,703 | ||||||
Landstar System, Inc. | 27,851 | 1,912,250 | ||||||
Lawson Products, Inc. (1) | 1,019 | 20,237 | ||||||
Lennox International, Inc. | 1,124 | 160,282 | ||||||
Lincoln Electric Holdings, Inc. | 1,177 | 69,537 | ||||||
Lindsay Corp. | 1,812 | 122,962 | ||||||
LSI Industries, Inc. | 600 | 6,642 | ||||||
Lydall, Inc. (1) | 3,244 | 125,089 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,693 | 29,831 | ||||||
Masco Corp. | 6,581 | 203,616 | ||||||
Masonite International Corp. (1) | 6,047 | 399,949 | ||||||
MasTec, Inc. (1) | 13,160 | 293,731 | ||||||
Matson, Inc. | 3,773 | 121,830 | ||||||
Matthews International Corp. | 6,343 | 352,925 | ||||||
Mercury Systems, Inc. (1) | 594 | 14,767 | ||||||
Milacron Holdings Corp. (1) | 2,452 | 35,579 | ||||||
Miller Industries, Inc. | 99 | 2,038 | ||||||
Mistras Group, Inc. (1) | 3,343 | 79,797 | ||||||
Mobile Mini, Inc. | 6,542 | 226,615 | ||||||
Moog, Inc. (1) | 582 | 31,381 | ||||||
MSA Safety, Inc. | 4,144 | 217,684 | ||||||
MSC Industrial Direct Co., Inc. | 15,138 | 1,068,137 | ||||||
Mueller Industries, Inc. | 8,105 | 258,387 |
Mueller Water Products, Inc. | 30,821 | 351,976 | ||||||
Multi-Color Corp. | 2,664 | 168,898 | ||||||
National Presto Industries, Inc. | 105 | 9,907 | ||||||
Navistar International Corp. (1) | 596 | 6,967 | ||||||
NCI Building Systems, Inc. (1) | 5,425 | 86,746 | ||||||
Neff Corp. (1) | 870 | 9,509 | ||||||
Nielsen Holdings Plc | 8,615 | 447,722 | ||||||
Nordson Corp. | 1,742 | 145,649 | ||||||
Nortek, Inc. (1) | 2,062 | 122,297 | ||||||
NV5 Global, Inc. (1) | 1,057 | 30,061 | ||||||
Old Dominion Freight Line, Inc. (1) | 1,282 | 77,317 | ||||||
Omega Flex, Inc. | 561 | 21,340 | ||||||
On Assignment, Inc. (1) | 10,082 | 372,530 | ||||||
Orbital ATK, Inc. | 20,355 | 1,733,025 | ||||||
Orion Group Holdings, Inc. (1) | 774 | 4,110 | ||||||
PACCAR, Inc. | 921 | 47,772 | ||||||
Parker-Hannifin Corp. | 60,500 | 6,537,025 | ||||||
Patrick Industries, Inc. (1) | 2,839 | 171,163 | ||||||
Paylocity Holding Corp. (1) | 4,210 | 181,872 | ||||||
PGT, Inc. (1) | 9,401 | 96,830 | ||||||
Pitney Bowes, Inc. | 5,763 | 102,581 | ||||||
Plug Power, Inc. (1) | 22,786 | 42,382 | ||||||
Ply Gem Holdings, Inc. (1) | 4,198 | 61,165 | ||||||
Power Solutions International, Inc. (1) | 824 | 14,708 | ||||||
Primoris Services Corp. | 101,678 | 1,924,765 | ||||||
Proto Labs, Inc. (1) | 74,916 | 4,312,165 | ||||||
Quad/Graphics, Inc. | 2,959 | 68,915 | ||||||
Quanex Building Products Corp. | 572 | 10,633 | ||||||
Quanta Services, Inc. (1) | 1,197 | 27,675 | ||||||
Radiant Logistics, Inc. (1) | 4,053 | 12,159 | ||||||
Raven Industries, Inc. | 4,372 | 82,806 | ||||||
RBC Bearings, Inc. (1) | 39,210 | 2,842,725 | ||||||
Rexnord Corp. (1) | 12,730 | 249,890 | ||||||
Ritchie Bros Auctioneers, Inc. | 81,485 | 2,752,563 | ||||||
Robert Half International, Inc. | 3,892 | 148,519 | ||||||
Rockwell Automation, Inc. | 208,305 | 23,917,580 | ||||||
Rockwell Collins, Inc. | 3,978 | 338,687 |
Rollins, Inc. | 2,928 | 85,703 | ||||||
Roper Technologies, Inc. | 1,560 | 266,074 | ||||||
RR Donnelley & Sons Co. | 4,312 | 72,959 | ||||||
Sensata Technologies Holding NV (1) | 181,962 | 6,348,654 | ||||||
Simpson Manufacturing Company, Inc. | 8,214 | 328,314 | ||||||
SiteOne Landscape Supply, Inc. (1) | 2,271 | 77,191 | ||||||
Snap-on, Inc. | 48,234 | 7,612,290 | ||||||
SP Plus Corp. (1) | 3,139 | 70,879 | ||||||
Sparton Corp. (1) | 131 | 2,852 | ||||||
Spirit AeroSystems Holdings, Inc. (1) | 2,087 | 89,741 | ||||||
Standex International Corp. | 1,915 | 158,236 | ||||||
Stanley Black & Decker, Inc. | 553 | 61,505 | ||||||
Steelcase, Inc. | 16,799 | 227,962 | ||||||
Stericycle, Inc. (1) | 15,755 | 1,640,411 | ||||||
Sun Hydraulics Corp. | 4,064 | 120,660 | ||||||
Supreme Industries, Inc. | 1,433 | 19,632 | ||||||
Swift Transportation Co. (1) | 14,872 | 229,178 | ||||||
TASER International, Inc. (1) | 67,383 | 1,676,489 | ||||||
Team, Inc. (1) | 5,268 | 130,804 | ||||||
Teledyne Technologies, Inc. (1) | 1,899 | 188,096 | ||||||
Tennant Co. | 3,228 | 173,892 | ||||||
Tetra Tech, Inc. | 1,849 | 56,848 | ||||||
Textron, Inc. | 2,562 | 93,667 | ||||||
The Advisory Board Co. (1) | 100,026 | 3,539,920 | ||||||
The Brink’s Co. | 8,974 | 255,669 | ||||||
The Middleby Corp. (1) | 1,729 | 199,267 | ||||||
The Toro Co. | 21,483 | 1,894,801 | ||||||
TransDigm Group, Inc. (1) | 1,531 | 403,709 | ||||||
TransUnion (1) | 1,618 | 54,106 | ||||||
Trex Company, Inc. (1) | 5,863 | 263,366 | ||||||
TriNet Group, Inc. (1) | 8,217 | 170,831 | ||||||
TrueBlue, Inc. (1) | 521 | 9,857 | ||||||
Tutor Perini Corp. (1) | 1,114 | 26,235 | ||||||
Tyco International Plc | 1,134 | 48,308 | ||||||
UniFirst Corp. | 286 | 33,096 | ||||||
United Rentals, Inc. (1) | 124,120 | 8,328,452 | ||||||
Univar, Inc. (1) | 8,365 | 158,182 |
Universal Forest Products, Inc. | 3,418 | 316,814 | ||||||
Universal Logistics Holdings, Inc. | 1,039 | 13,403 | ||||||
US Ecology, Inc. | 4,299 | 197,539 | ||||||
Valmont Industries, Inc. | 542 | 73,316 | ||||||
Vectrus, Inc. (1) | 432 | 12,308 | ||||||
Verisk Analytics, Inc. (1) | 30,855 | 2,501,723 | ||||||
Veritiv Corp. (1) | 103 | 3,871 | ||||||
Viad Corp. | 2,280 | 70,680 | ||||||
Vicor Corp. (1) | 2,780 | 27,995 | ||||||
Virgin America, Inc. (1) | 3,572 | 200,782 | ||||||
W.W. Grainger, Inc. | 57,191 | 12,996,655 | ||||||
Wabash National Corp. (1) | 3,396 | 43,129 | ||||||
WABCO Holdings, Inc. (1) | 83,044 | 7,604,339 | ||||||
Wabtec Corp. | 61,628 | 4,328,134 | ||||||
WageWorks, Inc. (1) | 98,821 | 5,910,484 | ||||||
Watsco, Inc. | 793 | 111,567 | ||||||
Watts Water Technologies, Inc. | 5,139 | 299,398 | ||||||
Wesco Aircraft Holdings, Inc. (1) | 2,343 | 31,443 | ||||||
West Corp. | 1,217 | 23,926 | ||||||
Woodward, Inc. | 10,422 | 600,724 | ||||||
Xylem, Inc. | 2,848 | 127,163 | ||||||
YRC Worldwide, Inc. (1) | 1,549 | 13,631 | ||||||
|
| |||||||
243,370,633 | ||||||||
|
| |||||||
Information Technology - 21.26% | ||||||||
2U, Inc. (1) | 7,165 | 210,723 | ||||||
3D Systems Corp. (1) | 21,320 | 291,871 | ||||||
A10 Networks, Inc. (1) | 8,570 | 55,448 | ||||||
Acacia Communications, Inc. (1) | 1,023 | 40,859 | ||||||
ACI Worldwide, Inc. (1) | 22,796 | 444,750 | ||||||
Acxiom Corp. (1) | 7,436 | 163,518 | ||||||
ADTRAN, Inc. | 6,193 | 115,499 | ||||||
Advanced Energy Industries, Inc. (1) | 7,438 | 282,346 | ||||||
Advanced Micro Devices, Inc. (1) | 62,149 | 319,446 | ||||||
Aerohive Networks, Inc. (1) | 4,727 | 31,293 | ||||||
Agilysys, Inc. (1) | 376 | 3,937 | ||||||
Akamai Technologies, Inc. (1) | 23,291 | 1,302,666 | ||||||
Alarm.com Holdings, Inc. (1) | 2,014 | 51,619 |
ALJ Regional Holdings, Inc. (1) | 3,891 | 19,455 | ||||||
Alliance Data Systems Corp. (1) | 45,844 | 8,981,756 | ||||||
Ambarella, Inc. (1) | 2,521 | 128,092 | ||||||
Amber Road, Inc. (1) | 3,624 | 27,941 | ||||||
American Software, Inc. | 5,025 | 52,662 | ||||||
Amkor Technology, Inc. (1) | 1,041 | 5,986 | ||||||
Amphenol Corp. | 9,171 | 525,773 | ||||||
Angie’s List, Inc. (1) | 7,772 | 50,596 | ||||||
ANSYS, Inc. (1) | 95,001 | 8,621,341 | ||||||
Apigee Corp. (1) | 2,972 | 36,318 | ||||||
Appfolio, Inc. (1) | 1,475 | 21,328 | ||||||
Applied Micro Circuits Corp. (1) | 14,738 | 94,618 | ||||||
Arista Networks, Inc. (1) | 1,191 | 76,677 | ||||||
ARRIS International Plc (1) | 1,307 | 27,395 | ||||||
Aspen Technology, Inc. (1) | 295,383 | 11,886,212 | ||||||
Atlassian Corporation Plc (1) | 240,576 | 6,230,918 | ||||||
Autobytel, Inc. (1) | 309 | 4,286 | ||||||
Autodesk, Inc. (1) | 5,296 | 286,725 | ||||||
AVG Technologies (1) | 8,497 | 161,358 | ||||||
Avid Technology, Inc. (1) | 4,058 | 23,577 | ||||||
Badger Meter, Inc. | 2,747 | 200,613 | ||||||
Barracuda Networks, Inc. (1) | 4,274 | 64,708 | ||||||
Belden, Inc. | 8,293 | 500,648 | ||||||
Benefitfocus, Inc. (1) | 2,508 | 95,605 | ||||||
Black Knight Financial Services, Inc. (1) | 707 | 26,583 | ||||||
Blackbaud, Inc. | 51,792 | 3,516,677 | ||||||
Blackhawk Network Holdings, Inc. (1) | 10,791 | 361,391 | ||||||
Blucora, Inc. (1) | 1,551 | 16,068 | ||||||
Booz Allen Hamilton Holding Corp. | 3,264 | 96,745 | ||||||
Bottomline Technologies, Inc. (1) | 77,077 | 1,659,468 | ||||||
Box, Inc. (1) | 9,495 | 98,178 | ||||||
Brightcove, Inc. (1) | 6,088 | 53,574 | ||||||
Broadridge Financial Solutions, Inc. | 3,597 | 234,524 | ||||||
BroadSoft, Inc. (1) | 5,787 | 237,441 | ||||||
Cabot Microelectronics Corp. | 621 | 26,293 | ||||||
Cadence Design Systems, Inc. (1) | 72,531 | 1,762,503 | ||||||
CalAmp Corp. (1) | 7,009 | 103,803 |
Callidus Software, Inc. (1) | 11,101 | 221,798 | ||||||
Carbonite, Inc. (1) | 3,646 | 35,476 | ||||||
Cardtronics, Inc. (1) | 65,898 | 2,623,399 | ||||||
Care.com, Inc. (1) | 3,061 | 35,752 | ||||||
Cass Information Systems, Inc. | 1,337 | 69,123 | ||||||
Cavium, Inc. (1) | 91,277 | 3,523,292 | ||||||
CDK Global, Inc. | 4,749 | 263,522 | ||||||
CDW Corp. | 4,969 | 199,158 | ||||||
CEVA, Inc. (1) | 3,844 | 104,441 | ||||||
ChannelAdvisor Corp. (1) | 4,235 | 61,365 | ||||||
Check Point Software Technologies Ltd. (1) | 96,000 | 7,649,280 | ||||||
Ciena Corp. (1) | 27,202 | 510,037 | ||||||
Cimpress (1) | 4,956 | 458,331 | ||||||
Cirrus Logic, Inc. (1) | 12,381 | 480,259 | ||||||
Citrix Systems, Inc. (1) | 104,122 | 8,339,131 | ||||||
Clearfield, Inc. (1) | 2,264 | 40,503 | ||||||
Cognex Corp. | 102,610 | 4,422,491 | ||||||
Coherent, Inc. (1) | 4,780 | 438,708 | ||||||
CommScope Holding Co., Inc. (1) | 3,910 | 121,327 | ||||||
CommVault Systems, Inc. (1) | 7,691 | 332,174 | ||||||
comScore, Inc. (1) | 9,556 | 228,197 | ||||||
Convergys Corp. | 8,820 | 220,500 | ||||||
CoreLogic, Inc. (1) | 1,590 | 61,183 | ||||||
Cornerstone OnDemand, Inc. (1) | 9,978 | 379,763 | ||||||
CoStar Group, Inc. (1) | 13,771 | 3,011,167 | ||||||
CPI Card Group, Inc. | 1,513 | 7,580 | ||||||
Cray, Inc. (1) | 7,866 | 235,351 | ||||||
Cree, Inc. (1) | 1,107 | 27,055 | ||||||
CSG Systems International, Inc. | 6,294 | 253,711 | ||||||
CSRA, Inc. | 4,993 | 116,986 | ||||||
Cvent, Inc. (1) | 5,885 | 210,212 | ||||||
Cyberark Software Ltd. (1) | 22,090 | 1,073,353 | ||||||
Datalink Corp. (1) | 226 | 1,695 | ||||||
Demandware, Inc. (1) | 29,283 | 2,193,297 | ||||||
DHI Group, Inc. (1) | 9,738 | 60,668 | ||||||
Diebold, Inc. | 2,798 | 69,474 | ||||||
Digimarc Corp. (1) | 1,569 | 50,145 |
DST Systems, Inc. | 1,003 | 116,779 | ||||||
DTS, Inc. (1) | 3,397 | 89,851 | ||||||
EarthLink Holdings Corp. | 20,545 | 131,488 | ||||||
Eastman Kodak Co. (1) | 2,819 | 45,330 | ||||||
Ebix, Inc. | 4,925 | 235,907 | ||||||
Electronic Arts, Inc. (1) | 8,895 | 673,885 | ||||||
Electronics For Imaging, Inc. (1) | 9,338 | 401,908 | ||||||
Ellie Mae, Inc. (1) | 53,878 | 4,937,919 | ||||||
Endurance International Group Holdings, Inc. (1) | 11,698 | 105,165 | ||||||
EnerNOC, Inc. (1) | 4,367 | 27,599 | ||||||
Entegris, Inc. (1) | 17,318 | 250,591 | ||||||
Envestnet, Inc. (1) | 64,080 | 2,134,505 | ||||||
EPAM Systems, Inc. (1) | 9,512 | 611,717 | ||||||
Epiq Systems, Inc. | 1,890 | 27,594 | ||||||
ePlus, Inc. (1) | 888 | 72,630 | ||||||
Euronet Worldwide, Inc. (1) | 32,169 | 2,225,773 | ||||||
EVERTEC, Inc. | 10,138 | 157,545 | ||||||
Everyday Health, Inc. (1) | 1,792 | 14,121 | ||||||
Exa Corp. (1) | 2,691 | 38,885 | ||||||
Exar Corp. (1) | 1,394 | 11,222 | ||||||
ExlService Holdings, Inc. (1) | 6,467 | 338,935 | ||||||
Extreme Networks, Inc. (1) | 20,088 | 68,098 | ||||||
F5 Networks, Inc. (1) | 2,050 | 233,372 | ||||||
Fabrinet (1) | 6,926 | 257,093 | ||||||
FactSet Research Systems, Inc. | 1,222 | 197,255 | ||||||
Fair Isaac Corp. | 6,104 | 689,813 | ||||||
Fairchild Semiconductor International, Inc. (1) | 8,222 | 163,207 | ||||||
FARO Technologies, Inc. (1) | 814 | 27,538 | ||||||
FEI Co. | 95,995 | 10,259,946 | ||||||
Fidelity National Information Services, Inc. | 5,649 | 416,218 | ||||||
FireEye, Inc. (1) | 34,227 | 563,719 | ||||||
First Data Corp. (1) | 9,556 | 105,785 | ||||||
Fiserv, Inc. (1) | 6,786 | 737,842 | ||||||
Fitbit, Inc. (1) | 3,141 | 38,383 | ||||||
Five9, Inc. (1) | 6,443 | 76,672 | ||||||
FleetCor Technologies, Inc. (1) | 2,799 | 400,621 | ||||||
Fleetmatics Group Plc (1) | 7,775 | 336,891 |
FLIR Systems, Inc. | 45,945 | 1,421,998 | ||||||
FormFactor, Inc. (1) | 7,708 | 69,295 | ||||||
Forrester Research, Inc. | 2,015 | 74,273 | ||||||
Fortinet, Inc. (1) | 554,329 | 17,511,253 | ||||||
Gartner, Inc. (1) | 2,442 | 237,875 | ||||||
Genpact Ltd. (1) | 4,593 | 123,276 | ||||||
Gigamon, Inc. (1) | 6,466 | 241,764 | ||||||
Global Payments, Inc. | 4,687 | 334,558 | ||||||
Globant S.A. (1) | 5,030 | 197,930 | ||||||
GoDaddy, Inc. (1) | 1,421 | 44,321 | ||||||
Gogo, Inc. (1) | 11,599 | 97,316 | ||||||
GrubHub, Inc. (1) | 204,915 | 6,366,709 | ||||||
GTT Communications, Inc. (1) | 5,148 | 95,135 | ||||||
Guidance Software, Inc. (1) | 4,352 | 26,939 | ||||||
Guidewire Software, Inc. (1) | 129,849 | 8,019,474 | ||||||
Hackett Group, Inc. | 4,449 | 61,708 | ||||||
Hortonworks, Inc. (1) | 7,823 | 83,628 | ||||||
HubSpot, Inc. (1) | 5,742 | 249,318 | ||||||
II-VI, Inc. (1) | 3,263 | 61,214 | ||||||
Immersion Corp. (1) | 1,859 | 13,645 | ||||||
Imperva, Inc. (1) | 5,716 | 245,845 | ||||||
Infinera Corp. (1) | 19,181 | 216,362 | ||||||
Infoblox, Inc. (1) | 11,009 | 206,529 | ||||||
Information Services Group, Inc. (1) | 6,176 | 23,160 | ||||||
Inphi Corp. (1) | 7,855 | 251,596 | ||||||
Instructure, Inc. (1) | 2,031 | 38,589 | ||||||
Integrated Device Technology, Inc. (1) | 76,631 | 1,542,582 | ||||||
Interactive Intelligence Group, Inc. (1) | 3,544 | 145,269 | ||||||
InterActiveCorp | 1,685 | 94,865 | ||||||
Interdigital, Inc. | 6,878 | 382,967 | ||||||
Intralinks Holdings, Inc. (1) | 415 | 2,697 | ||||||
IPG Photonics Corp. (1) | 76,607 | 6,128,560 | ||||||
Itron, Inc. (1) | 6,678 | 287,822 | ||||||
J2 Global, Inc. | 20,619 | 1,302,502 | ||||||
Jack Henry & Associates, Inc. | 2,405 | 209,884 | ||||||
Jive Software, Inc. (1) | 11,150 | 41,924 | ||||||
KLA-Tencor Corp. | 4,768 | 349,256 |
Lam Research Corp. | 3,896 | 327,498 | ||||||
Lattice Semiconductor Corp. (1) | 23,365 | 125,003 | ||||||
Linear Technology Corp. | 3,414 | 158,853 | ||||||
LinkedIn Corp. (1) | 3,593 | 679,975 | ||||||
Lionbridge Technologies, Inc. (1) | 11,288 | 44,588 | ||||||
Littelfuse, Inc. | 26,063 | 3,080,386 | ||||||
LivePerson, Inc. (1) | 10,358 | 65,670 | ||||||
LogMeIn, Inc. (1) | 4,990 | 316,516 | ||||||
Lumentum Holdings, Inc. (1) | 10,083 | 244,009 | ||||||
MACOM Technology Solutions Holdings, Inc. (1) | 4,546 | 149,927 | ||||||
Majesco (1) | 1,055 | 5,602 | ||||||
Manhattan Associates, Inc. (1) | 22,719 | 1,456,969 | ||||||
Marketo, Inc. (1) | 8,243 | 287,021 | ||||||
Match Group, Inc. (1) | 884 | 13,326 | ||||||
Maxim Integrated Products, Inc. | 8,640 | 308,362 | ||||||
MAXIMUS, Inc. | 12,688 | 702,535 | ||||||
MaxLinear, Inc. (1) | 10,893 | 195,856 | ||||||
MeetMe, Inc. (1) | 6,908 | 36,820 | ||||||
MercadoLibre, Inc. | 92,150 | 12,962,740 | ||||||
Mesa Laboratories, Inc. | 577 | 70,971 | ||||||
Methode Electronics, Inc. | 6,521 | 223,214 | ||||||
Microchip Technology, Inc. | 44,810 | 2,274,556 | ||||||
Microsemi Corp. (1) | 48,644 | 1,589,686 | ||||||
MicroStrategy, Inc. (1) | 989 | 173,095 | ||||||
MINDBODY, Inc. (1) | 2,784 | 44,934 | ||||||
Mitek Systems, Inc. (1) | 5,748 | 40,868 | ||||||
MKS Instruments, Inc. | 555 | 23,898 | ||||||
MobileIron, Inc. (1) | 8,506 | 25,943 | ||||||
Mobileye NV (1) | 145,450 | 6,711,063 | ||||||
Model N, Inc. (1) | 4,759 | 63,533 | ||||||
Monolithic Power Systems, Inc. | 55,709 | 3,806,039 | ||||||
Monotype Imaging Holdings, Inc. | 128,935 | 3,175,669 | ||||||
Motorola Solutions, Inc. | 603 | 39,780 | ||||||
MTS Systems Corp. | 2,630 | 115,299 | ||||||
Nanometrics, Inc. (1) | 3,711 | 77,152 | ||||||
National Instruments Corp. | 32,728 | 896,747 | ||||||
NCR Corp. (1) | 3,772 | 104,748 |
NeoPhotonics Corp. (1) | 972 | 9,263 | ||||||
NETGEAR, Inc. (1) | 4,188 | 199,098 | ||||||
NetScout Systems, Inc. (1) | 67,640 | 1,504,990 | ||||||
NetSuite, Inc. (1) | 1,215 | 88,452 | ||||||
NeuStar, Inc. (1) | 60,482 | 1,421,932 | ||||||
New Relic, Inc. (1) | 4,283 | 125,835 | ||||||
NIC, Inc. | 12,405 | 272,166 | ||||||
Nice-Systems Ltd. ADR | 66,789 | 4,264,478 | ||||||
Nimble Storage, Inc. (1) | 12,228 | 97,335 | ||||||
Novanta, Inc. (1) | 1,608 | 24,361 | ||||||
Nuance Communications, Inc. (1) | 5,163 | 80,698 | ||||||
Numerex Corp. (1) | 526 | 3,940 | ||||||
NVE Corp. | 439 | 25,747 | ||||||
NVIDIA Corp. | 15,570 | 731,946 | ||||||
Oclaro, Inc. (1) | 16,441 | 80,232 | ||||||
ON Semiconductor Corp. (1) | 1,259 | 11,104 | ||||||
Palo Alto Networks, Inc. (1) | 107,081 | 13,132,414 | ||||||
Pandora Media, Inc. (1) | 5,746 | 71,538 | ||||||
Park City Group, Inc. (1) | 2,504 | 22,461 | ||||||
Paychex, Inc. | 9,859 | 586,610 | ||||||
Paycom Software, Inc. (1) | 99,988 | 4,320,481 | ||||||
PDF Solutions, Inc. (1) | 4,985 | 69,740 | ||||||
Pegasystems, Inc. | 7,092 | 191,129 | ||||||
Perficient, Inc. (1) | 4,913 | 99,783 | ||||||
PFSweb, Inc. (1) | 2,922 | 27,759 | ||||||
Planet Payment, Inc. (1) | 8,332 | 37,411 | ||||||
Plantronics, Inc. | 49,904 | 2,195,776 | ||||||
Power Integrations, Inc. | 83,366 | 4,174,136 | ||||||
Progress Software Corp. (1) | 1,371 | 37,648 | ||||||
Proofpoint, Inc. (1) | 45,538 | 2,872,992 | ||||||
PROS Holdings, Inc. (1) | 5,213 | 90,863 | ||||||
PTC, Inc. (1) | 300,045 | 11,275,691 | ||||||
Pure Storage, Inc. (1) | 11,881 | 129,503 | ||||||
Q2 Holdings, Inc. (1) | 4,992 | 139,876 | ||||||
Qlik Technologies, Inc. (1) | 149,443 | 4,420,524 | ||||||
Qorvo, Inc. (1) | 411 | 22,712 | ||||||
Qualys, Inc. (1) | 123,005 | 3,666,779 |
Quotient Technology, Inc. (1) | 12,490 | 167,491 | ||||||
Rackspace Hosting, Inc. (1) | 3,277 | 68,358 | ||||||
Radisys Corp. (1) | 6,433 | 28,820 | ||||||
Rambus, Inc. (1) | 5,409 | 65,341 | ||||||
Rapid7, Inc. (1) | 3,846 | 48,383 | ||||||
RealPage, Inc. (1) | 10,815 | 241,499 | ||||||
Red Hat, Inc. (1) | 176,069 | 12,782,609 | ||||||
Reis, Inc. | 1,264 | 31,474 | ||||||
Rogers Corp. (1) | 1,279 | 78,147 | ||||||
Rosetta Stone, Inc. (1) | 2,859 | 22,157 | ||||||
Rubicon Project, Inc. (1) | 2,877 | 39,271 | ||||||
Sabre Corp. | 6,327 | 169,500 | ||||||
Sapiens International Corp. | 4,740 | 55,505 | ||||||
Science Applications International Corp. | 8,399 | 490,082 | ||||||
SciQuest, Inc. (1) | 5,320 | 93,951 | ||||||
SecureWorks Corp. (1) | 314 | 4,427 | ||||||
Semtech Corp. (1) | 63,647 | 1,518,617 | ||||||
ServiceNow, Inc. (1) | 4,818 | 319,915 | ||||||
ServiceSource International, Inc. (1) | 7,726 | 31,136 | ||||||
Shopify, Inc. (1) | 25,325 | 778,997 | ||||||
ShoreTel, Inc. (1) | 2,821 | 18,872 | ||||||
Shutterstock, Inc. (1) | 3,701 | 169,506 | ||||||
Silicom Ltd. | 284 | 8,492 | ||||||
Silicon Graphics International Corp. (1) | 5,835 | 29,350 | ||||||
Silicon Laboratories, Inc. (1) | 8,196 | 399,473 | ||||||
Silver Spring Networks, Inc. (1) | 7,053 | 85,694 | ||||||
Skyworks Solutions, Inc. | 5,325 | 336,966 | ||||||
Sonus Networks, Inc. (1) | 1,199 | 10,419 | ||||||
Splunk, Inc. (1) | 278,121 | 15,068,596 | ||||||
SPS Commerce, Inc. (1) | 73,003 | 4,423,982 | ||||||
Square, Inc. (1) | 1,579 | 14,290 | ||||||
SS&C Technologies Holdings, Inc. | 4,726 | 132,706 | ||||||
Stamps.com, Inc. (1) | 9,020 | 788,528 | ||||||
Stratasys Ltd. (1) | 4,489 | 102,753 | ||||||
Super Micro Computer, Inc. (1) | 1,617 | 40,182 | ||||||
Symantec Corp. | 2,663 | 54,698 | ||||||
Synaptics, Inc. (1) | 7,355 | 395,331 |
Synchronoss Technologies, Inc. (1) | 8,236 | 262,399 | ||||||
Synopsys, Inc. (1) | 82,939 | 4,485,341 | ||||||
Syntel, Inc. (1) | 6,435 | 291,248 | ||||||
Tableau Software, Inc. (1) | 15,638 | 765,011 | ||||||
Take-Two Interactive Software, Inc. (1) | 16,424 | 622,798 | ||||||
TechTarget, Inc. (1) | 1,223 | 9,906 | ||||||
TeleTech Holdings, Inc. | 3,250 | 88,172 | ||||||
Teradata Corp. (1) | 3,957 | 99,202 | ||||||
Tessera Technologies, Inc. | 6,297 | 192,940 | ||||||
The Western Union Co. | 15,039 | 288,448 | ||||||
TiVo, Inc. (1) | 18,375 | 181,912 | ||||||
Total System Services, Inc. | 5,075 | 269,533 | ||||||
Trimble Navigation Ltd. (1) | 6,081 | 148,133 | ||||||
TrueCar, Inc. (1) | 10,537 | 82,715 | ||||||
TubeMogul, Inc. (1) | 4,282 | 50,956 | ||||||
Twitter, Inc. (1) | 17,104 | 289,229 | ||||||
Tyler Technologies, Inc. (1) | 9,734 | 1,622,755 | ||||||
Ubiquiti Networks, Inc. (1) | 5,073 | 196,122 | ||||||
Ultimate Software Group, Inc. (1) | 12,469 | 2,622,106 | ||||||
Ultratech, Inc. (1) | 332 | 7,626 | ||||||
Unisys Corp. (1) | 6,749 | 49,133 | ||||||
Universal Display Corp. (1) | 8,192 | 555,418 | ||||||
USA Technologies, Inc. (1) | 6,213 | 26,530 | ||||||
Vantiv, Inc. (1) | 4,733 | 267,888 | ||||||
Varonis Systems, Inc. (1) | 2,085 | 50,082 | ||||||
VASCO Data Security International, Inc. (1) | 5,320 | 87,195 | ||||||
VeriFone Systems, Inc. (1) | 3,341 | 61,942 | ||||||
VeriSign, Inc. (1) | 2,899 | 250,648 | ||||||
ViaSat, Inc. (1) | 7,654 | 546,496 | ||||||
VirnetX Holding Corp. (1) | 9,340 | 37,360 | ||||||
Virtusa Corp. (1) | 71,895 | 2,076,328 | ||||||
Web.com Group, Inc. (1) | 8,306 | 151,003 | ||||||
WebMD Health Corp. (1) | 7,368 | 428,154 | ||||||
WEX, Inc. (1) | 143,958 | 12,764,756 | ||||||
Workday, Inc. (1) | 232,780 | 17,381,683 | ||||||
Workiva, Inc. (1) | 4,278 | 58,437 | ||||||
Xactly Corp. (1) | 4,470 | 57,261 |
Xilinx, Inc. | 79,961 | 3,688,601 | ||||||
XO Group, Inc. (1) | 4,890 | 85,233 | ||||||
Xura, Inc. (1) | 4,651 | 113,624 | ||||||
Yelp, Inc. (1) | 1,605 | 48,728 | ||||||
Zebra Technologies Corp. (1) | 1,293 | 64,779 | ||||||
Zendesk, Inc. (1) | 16,086 | 424,349 | ||||||
Zillow Group, Inc. - Class A (1) | 1,082 | 39,655 | ||||||
Zillow Group, Inc. - Class C (1) | 2,166 | 78,582 | ||||||
Zix Corp. (1) | 10,439 | 39,146 | ||||||
|
| |||||||
350,056,890 | ||||||||
|
| |||||||
Materials - 3.02% | ||||||||
AEP Industries, Inc. | 794 | 63,885 | ||||||
AptarGroup, Inc. | 83,981 | 6,645,417 | ||||||
Avery Dennison Corp. | 2,566 | 191,808 | ||||||
Axalta Coating Systems Ltd. (1) | 5,028 | 133,393 | ||||||
Balchem Corp. | 65,869 | 3,929,086 | ||||||
Ball Corp. | 5,223 | 377,571 | ||||||
Bemis, Inc. | 417 | 21,471 | ||||||
Berry Plastics Group, Inc. (1) | 333,920 | 12,972,792 | ||||||
Boise Cascade Co. (1) | 6,621 | 151,952 | ||||||
Celanese Corp. | 410 | 26,834 | ||||||
Century Aluminum Co. (1) | 592 | 3,747 | ||||||
Chase Corp. | 1,380 | 81,517 | ||||||
Chemours Co. | 30,513 | 251,427 | ||||||
Chemtura Corp. (1) | 6,366 | 167,935 | ||||||
Clearwater Paper Corp. (1) | 3,316 | 216,767 | ||||||
Codexis, Inc. (1) | 6,116 | 24,647 | ||||||
Coeur Mining, Inc. (1) | 22,374 | 238,507 | ||||||
Crown Holdings, Inc. (1) | 4,110 | 208,254 | ||||||
Deltic Timber Corp. | 2,076 | 139,362 | ||||||
Eagle Materials, Inc. | 1,427 | 110,093 | ||||||
Ferro Corp. (1) | 16,673 | 223,085 | ||||||
Flotek Industries, Inc. (1) | 10,139 | 133,835 | ||||||
FMC Corp. | 3,290 | 152,360 | ||||||
Freeport-McMoRan, Inc. | 8,340 | 92,908 | ||||||
GCP Applied Technologies, Inc. (1) | 11,940 | 310,918 | ||||||
Gold Resource Corp. | 7,759 | 27,855 |
Graphic Packaging Holding Co. | 6,846 | 85,849 | ||||||
Hawkins, Inc. | 384 | 16,669 | ||||||
HB Fuller Co. | 9,922 | 436,469 | ||||||
Headwaters, Inc. (1) | 14,528 | 260,632 | ||||||
Ingevity Corp. (1) | 6,847 | 233,072 | ||||||
Innophos Holdings, Inc. | 3,340 | 140,981 | ||||||
Innospec, Inc. | 32,248 | 1,483,086 | ||||||
International Flavors & Fragrances, Inc. | 2,437 | 307,233 | ||||||
Kaiser Aluminum Corp. | 995 | 89,958 | ||||||
KapStone Paper and Packaging Corp. | 1,094 | 14,233 | ||||||
KMG Chemicals, Inc. | 796 | 20,688 | ||||||
Koppers Holdings, Inc. (1) | 3,179 | 97,691 | ||||||
Louisiana-Pacific Corp. (1) | 26,588 | 461,302 | ||||||
Martin Marietta Materials, Inc. | 54,877 | 10,536,384 | ||||||
Minerals Technologies, Inc. | 3,727 | 211,694 | ||||||
Multi Packaging Solutions International Ltd. (1) | 4,141 | 55,282 | ||||||
Myers Industries, Inc. | 4,235 | 60,984 | ||||||
Neenah Paper, Inc. | 3,304 | 239,110 | ||||||
NewMarket Corp. | 209 | 86,605 | ||||||
OMNOVA Solutions, Inc. (1) | 5,371 | 38,940 | ||||||
Owens-Illinois, Inc. (1) | 4,923 | 88,663 | ||||||
Packaging Corporation of America | 2,854 | 191,018 | ||||||
PolyOne Corp. | 16,566 | 583,786 | ||||||
Quaker Chemical Corp. | 42,220 | 3,766,024 | ||||||
Rayonier Advanced Materials, Inc. | 5,058 | 68,738 | ||||||
Real Industry, Inc. (1) | 5,053 | 39,262 | ||||||
Royal Gold, Inc. | 129 | 9,291 | ||||||
RPM International, Inc. | 3,982 | 198,901 | ||||||
Schweitzer-Mauduit International, Inc. | 1,183 | 41,736 | ||||||
Scotts Miracle-Gro Co. | 1,271 | 88,856 | ||||||
Sealed Air Corp. | 6,002 | 275,912 | ||||||
Sensient Technologies Corp. | 8,803 | 625,365 | ||||||
Silgan Holdings, Inc. | 1,245 | 64,068 | ||||||
Southern Copper Corp. | 1,133 | 30,568 | ||||||
Steel Dynamics, Inc. | 1,068 | 26,166 | ||||||
Stepan Co. | 379 | 22,562 | ||||||
Summit Materials, Inc. (1) | 12,644 | 258,696 |
The Valspar Corp. | 2,396 | 258,840 | ||||||
Trecora Resources (1) | 3,129 | 32,635 | ||||||
Trinseo S.A. (1) | 5,619 | 241,224 | ||||||
United States Lime & Minerals, Inc. | 95 | 5,604 | ||||||
US Concrete, Inc. (1) | 2,806 | 170,913 | ||||||
Valhi, Inc. | 1,963 | 3,082 | ||||||
Vulcan Materials Co. | 3,769 | 453,637 | ||||||
W.R. Grace & Co. | 1,192 | 87,266 | ||||||
Worthington Industries, Inc. | 8,938 | 378,077 | ||||||
|
| |||||||
49,785,178 | ||||||||
|
| |||||||
Telecommunication Services - 1.06% | ||||||||
8x8, Inc. (1) | 76,913 | 1,123,699 | ||||||
Boingo Wireless, Inc. (1) | 4,294 | 38,302 | ||||||
Cogent Communications Holdings, Inc. | 8,238 | 330,014 | ||||||
Consolidated Communications Holdings, Inc. | 6,737 | 183,516 | ||||||
FairPoint Communications, Inc. (1) | 3,310 | 48,591 | ||||||
General Communication, Inc. (1) | 5,671 | 89,602 | ||||||
Globalstar, Inc. (1) | 45,162 | 54,646 | ||||||
IDT Corp. | 2,011 | 28,536 | ||||||
inContact, Inc. (1) | 11,453 | 158,624 | ||||||
Inteliquent, Inc. | 6,350 | 126,301 | ||||||
Iridium Communications, Inc. (1) | 176,255 | 1,565,144 | ||||||
Lumos Networks Corp. (1) | 387 | 4,683 | ||||||
ORBCOMM, Inc. (1) | 11,540 | 114,823 | ||||||
RingCentral, Inc. (1) | 11,695 | 230,625 | ||||||
SBA Communications Corp. (1) | 118,323 | 12,771,785 | ||||||
Shenandoah Telecommunications Co. | 9,144 | 357,165 | ||||||
Straight Path Communications, Inc. (1) | 1,933 | 53,486 | ||||||
Vonage Holdings Corp. (1) | 4,575 | 27,908 | ||||||
Windstream Holdings, Inc. | 2,234 | 20,709 | ||||||
Zayo Group Holdings, Inc. (1) | 4,986 | 139,259 | ||||||
|
| |||||||
17,467,418 | ||||||||
|
| |||||||
Utilities - 0.23% | ||||||||
ALLETE, Inc. | 35,604 | 2,301,087 | ||||||
American States Water Co. | 4,820 | 211,212 | ||||||
California Water Service Group | 5,563 | 194,316 | ||||||
Chesapeake Utilities Corp. | 346 | 22,898 |
Connecticut Water Services, Inc. | 484 | 27,201 | ||||||
Global Water Resources, Inc. | 1,593 | 14,018 | ||||||
ITC Holdings Corp. | 2,272 | 106,375 | ||||||
MGE Energy, Inc. | 3,148 | 177,909 | ||||||
Middlesex Water Co. | 2,618 | 113,569 | ||||||
New Jersey Resources Corp. | 1,390 | 53,585 | ||||||
Ormat Technologies, Inc. | 3,439 | 150,491 | ||||||
Pattern Energy Group, Inc. | 9,302 | 213,667 | ||||||
Piedmont Natural Gas Company, Inc. | 186 | 11,182 | ||||||
Southwest Gas Corp. | 974 | 76,664 | ||||||
Spark Energy, Inc. | 973 | 32,158 | ||||||
WGL Holdings, Inc. | 517 | 36,598 | ||||||
York Water Co. | 2,211 | 70,840 | ||||||
|
| |||||||
3,813,770 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,592,686,236) | $ | 1,579,578,176 | ||||||
|
| |||||||
RIGHTS - 0.00% (3) | ||||||||
Healthcare - 0.00% (3) | ||||||||
Dyax Corp. (1)(2) | 15,849 | $ | 57,056 | |||||
|
| |||||||
Total Rights (Cost $35,670) | $ | 57,056 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.71% | ||||||||
Money Market Funds - 3.71% | ||||||||
Goldman Sachs Financial Square Government Fund - Class I, 0.29% (4) | 30,529,717 | $ | 30,529,717 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.30% (4) | 30,529,718 | 30,529,718 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $61,059,435) | $ | 61,059,435 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.63% | $ | 1,640,694,667 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.37% | 6,064,703 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 1,646,759,370 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(1) | Non-income producing security. |
(2) | The price for this security was derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $57,056 or 0.00% of the Fund’s net assets and is classified as a Level 3 security. |
(3) | Amount less than 0.005%. |
(4) | Represents annualized seven-day yield as of the close of the reporting period. |
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
Settlement | Notional | Unrealized | ||||||||||||||||||||
Number of Contracts Purchased | Description | Counterparty | Month | Amount | Value | Appreciation | ||||||||||||||||
2 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | 208,205 | 209,020 | $ | 815 | |||||||||||||||
1 | E-Mini S&P 400 Index Futures | Morgan Stanley | Sep. 2016 | 149,193 | 149,300 | 107 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 922 | |||||||||||||||||||||
|
|
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
June 30, 2016
Shares | Value | |||||||
COMMON STOCKS - 95.15% | ||||||||
Consumer Discretionary - 10.58% | ||||||||
1-800-Flowers.com, Inc. (1) | 2,807 | $ | 25,319 | |||||
Aaron’s, Inc. | 10,568 | 231,334 | ||||||
Abercrombie & Fitch Co. | 10,652 | 189,712 | ||||||
AMC Entertainment Holdings, Inc. | 3,120 | 86,143 | ||||||
American Eagle Outfitters, Inc. | 2,655 | 42,294 | ||||||
American Public Education, Inc. (1) | 2,469 | 69,379 | ||||||
America’s Car-Mart, Inc. (1) | 1,255 | 35,441 | ||||||
Apollo Education Group, Inc. (1) | 13,402 | 122,226 | ||||||
Aramark | 2,741 | 91,604 | ||||||
Arctic Cat, Inc. | 1,094 | 18,598 | ||||||
Ascena Retail Group, Inc. (1) | 17,966 | 125,582 | ||||||
Ascent Capital Group, Inc. (1) | 1,677 | 25,809 | ||||||
AutoNation, Inc. (1) | 784 | 36,832 | ||||||
Barnes & Noble Education, Inc. (1) | 6,274 | 63,681 | ||||||
Barnes & Noble, Inc. | 9,897 | 112,331 | ||||||
Bassett Furniture Industries, Inc. | 781 | 18,697 | ||||||
Beazer Homes USA, Inc. (1) | 5,743 | 44,508 | ||||||
Bed Bath & Beyond, Inc. | 2,654 | 114,706 | ||||||
Belmond Ltd. (1) | 13,076 | 129,452 | ||||||
Best Buy, Inc. | 103,385 | 3,163,581 | ||||||
Big 5 Sporting Goods Corp. | 2,583 | 23,944 | ||||||
Biglari Holdings, Inc. (1) | 149 | 60,098 | ||||||
Boot Barn Holdings, Inc. (1) | 2,109 | 18,180 | ||||||
Borgwarner, Inc. | 3,808 | 112,412 | ||||||
Bridgepoint Education, Inc. (1) | 2,908 | 21,054 | ||||||
Brunswick Corp. | 262,703 | 11,905,700 | ||||||
Buckle, Inc. | 2,948 | 76,619 | ||||||
Build-A-Bear Workshop, Inc. (1) | 2,088 | 28,021 | ||||||
Burlington Stores, Inc. (1) | 599 | 39,959 | ||||||
Cabela’s, Inc. (1) | 875 | 43,802 |
Caesars Acquisition Co. (1) | 7,265 | 81,513 | ||||||
Caesars Entertainment Corp. (1) | 8,942 | 68,764 | ||||||
CalAtlantic Group, Inc. | 1,315 | 48,274 | ||||||
Caleres, Inc. | 6,691 | 161,989 | ||||||
Callaway Golf Co. | 9,264 | 94,585 | ||||||
Cambium Learning Group, Inc. (1) | 2,012 | 9,074 | ||||||
Capella Education Company | 101 | 5,317 | ||||||
Career Education Corp. (1) | 10,341 | 61,529 | ||||||
Carmike Cinemas, Inc. (1) | 1,301 | 39,186 | ||||||
Carriage Services, Inc. | 223 | 5,281 | ||||||
Carrols Restaurant Group, Inc. (1) | 825 | 9,818 | ||||||
Cato Corp. | 3,246 | 122,439 | ||||||
CBS Corp. | 51,964 | 2,828,920 | ||||||
Century Casinos, Inc. (1) | 1,497 | 9,326 | ||||||
Century Communities, Inc. (1) | 2,445 | 42,396 | ||||||
Chegg, Inc. (1) | 7,361 | 36,805 | ||||||
Chicos FAS, Inc. | 2,095 | 22,437 | ||||||
Choice Hotels International, Inc. | 202 | 9,619 | ||||||
Citi Trends, Inc. | 2,081 | 32,318 | ||||||
Clear Channel Outdoor Holdings, Inc. | 362 | 2,252 | ||||||
Coach, Inc. | 4,525 | 184,349 | ||||||
Columbia Sportswear Co. | 82,540 | 4,749,352 | ||||||
Conn’s, Inc. (1) | 3,092 | 23,252 | ||||||
Container Store Group, Inc. (1) | 1,875 | 10,031 | ||||||
Cooper Tire & Rubber Co. | 8,637 | 257,555 | ||||||
Cooper-Standard Holdings, Inc. (1) | 182 | 14,376 | ||||||
Core Mark Holding Company, Inc. | 39,572 | 1,854,344 | ||||||
Cracker Barrel Old Country Store, Inc. | 154 | 26,406 | ||||||
CSS Industries, Inc. | 1,331 | 35,684 | ||||||
CST Brands, Inc. | 235,406 | 10,141,290 | ||||||
D. R. Horton, Inc. | 3,060 | 96,329 | ||||||
Daily Journal Corp. (1) | 70 | 16,589 | ||||||
Dana Holding Corp. | 23,919 | 252,585 | ||||||
Deckers Outdoor Corp. (1) | 4,831 | 277,879 | ||||||
Del Frisco’s Restaurant Group, Inc. (1) | 3,491 | 49,991 | ||||||
Del Taco Restaurants, Inc. (1) | 3,608 | 32,833 | ||||||
Delta Apparel, Inc. (1) | 1,074 | 24,219 |
Denny’s Corp. (1) | 3,145 | 33,746 | ||||||
Destination XL Group, Inc. (1) | 1,614 | 7,376 | ||||||
DeVry Education Group, Inc. | 9,786 | 174,582 | ||||||
Dick’s Sporting Goods, Inc. | 379 | 17,078 | ||||||
Dillard’s, Inc. | 380 | 23,028 | ||||||
DineEquity, Inc. | 1,218 | 103,262 | ||||||
Discovery Communications, Inc. - Class A (1) | 166 | 4,188 | ||||||
Discovery Communications, Inc. - Class C (1) | 381 | 9,087 | ||||||
DSW, Inc. | 10,796 | 228,659 | ||||||
E.W. Scripps Co. (1) | 174,748 | 2,768,008 | ||||||
El Pollo Loco Holdings, Inc. (1) | 3,228 | 41,964 | ||||||
Eldorado Resorts, Inc. (1) | 396 | 6,017 | ||||||
Empire Resorts, Inc. (1) | 449 | 7,097 | ||||||
Entercom Communications Corp. | 4,065 | 55,162 | ||||||
Eros International Plc (1) | 4,610 | 75,005 | ||||||
Escalade, Inc. | 1,486 | 15,217 | ||||||
Expedia, Inc. | 30,285 | 3,219,296 | ||||||
Express, Inc. (1) | 11,647 | 168,998 | ||||||
Extended Stay America, Inc. | 1,327 | 19,839 | ||||||
Federal Mogul Holdings Corp. (1) | 4,817 | 40,029 | ||||||
Fiesta Restaurant Group, Inc. (1) | 732 | 15,965 | ||||||
Finish Line, Inc. | 4,786 | 96,629 | ||||||
Flexsteel Industries, Inc. | 963 | 38,154 | ||||||
Fogo De Chao, Inc. (1) | 767 | 10,017 | ||||||
Foot Locker, Inc. | 270 | 14,812 | ||||||
Fossil Group, Inc. (1) | 6,560 | 187,157 | ||||||
Fred’s, Inc. | 5,226 | 84,191 | ||||||
FTD Cos, Inc. (1) | 2,757 | 68,815 | ||||||
Gaiam, Inc. (1) | 1,015 | 7,856 | ||||||
GameStop Corp. | 2,053 | 54,569 | ||||||
Gannett Co., Inc. | 18,849 | 260,305 | ||||||
Gap, Inc. | 4,158 | 88,233 | ||||||
Garmin Ltd. | 2,228 | 94,512 | ||||||
Genesco, Inc. (1) | 2,838 | 182,512 | ||||||
Gentex Corp. | 1,996 | 30,838 | ||||||
Genuine Parts Co. | 158 | 15,998 | ||||||
G-III Apparel Group Ltd. (1) | 1,348 | 61,631 |
Gildan Activewear, Inc. | 201,000 | 5,895,330 | ||||||
Global Eagle Entertainment, Inc. (1) | 6,703 | 44,508 | ||||||
Golden Entertainment, Inc. (1) | 1,247 | 14,577 | ||||||
Goodyear Tire & Rubber Co. | 5,314 | 136,357 | ||||||
GoPro, Inc. (1) | 16,386 | 177,133 | ||||||
Graham Holdings Co. | 86 | 42,100 | ||||||
Grand Canyon Education, Inc. (1) | 350,225 | 13,980,982 | ||||||
Gray Television, Inc. (1) | 3,816 | 41,404 | ||||||
Green Brick Partners, Inc. (1) | 3,693 | 26,848 | ||||||
Group 1 Automotive, Inc. | 2,529 | 124,831 | ||||||
Guess, Inc. | 9,501 | 142,990 | ||||||
H&R Block, Inc. | 522,443 | 12,016,189 | ||||||
Harley-Davidson, Inc. | 62,401 | 2,826,765 | ||||||
Harman International Industries, Inc. | 755 | 54,224 | ||||||
Haverty Furniture, Inc. | 3,142 | 56,650 | ||||||
Hemisphere Media Group, Inc. (1) | 258 | 3,044 | ||||||
Hibbett Sports, Inc. (1) | 759 | 26,406 | ||||||
Hilton Worldwide Holdings, Inc. | 1,250 | 28,163 | ||||||
Hooker Furniture Corp. | 1,587 | 34,105 | ||||||
Houghton Mifflin Harcourt Co. (1) | 6,458 | 100,939 | ||||||
Hovnanian Enterprises, Inc. (1) | 20,405 | 34,280 | ||||||
HSN, Inc. | 113,875 | 5,571,904 | ||||||
Hyatt Hotels Corp. (1) | 435 | 21,376 | ||||||
Iconix Brand Group, Inc. (1) | 7,025 | 47,489 | ||||||
International Game Technology Plc | 1,901 | 35,625 | ||||||
International Speedway Corp. | 4,089 | 136,777 | ||||||
Interval Leisure Group, Inc. | 16,410 | 260,919 | ||||||
Intrawest Resorts Holdings, Inc. (1) | 2,604 | 33,800 | ||||||
J. Alexander’s Holdings, Inc. (1) | 2,033 | 20,188 | ||||||
J.C. Penney Co., Inc. (1) | 6,157 | 54,674 | ||||||
Jack in the Box, Inc. | 49,063 | 4,215,493 | ||||||
JAKKS Pacific, Inc. (1) | 2,225 | 17,600 | ||||||
John Wiley & Sons, Inc. | 892 | 46,545 | ||||||
Johnson Outdoors, Inc. | 636 | 16,345 | ||||||
K12, Inc. (1) | 5,281 | 65,960 | ||||||
KB Home | 10,450 | 158,945 | ||||||
Kirkland’s, Inc. (1) | 1,235 | 18,130 |
Kohl’s Corp. | 3,696 | 140,152 | ||||||
Kona Grill, Inc. (1) | 535 | 5,735 | ||||||
L Brands, Inc. | 3,969 | 266,439 | ||||||
La Quinta Holdings, Inc. (1) | 11,076 | 126,266 | ||||||
Lands End, Inc. (1) | 2,333 | 38,308 | ||||||
La-Z-Boy, Inc. | 206,271 | 5,738,459 | ||||||
Lear Corp. | 22,707 | 2,310,664 | ||||||
Lennar Corp. - Class A | 204,753 | 9,439,113 | ||||||
Lennar Corp. - Class B | 128 | 4,768 | ||||||
LGI Homes, Inc. (1) | 208 | 6,644 | ||||||
Libbey, Inc. | 3,140 | 49,895 | ||||||
Liberty Braves Group - Class A (1) | 1,281 | 19,266 | ||||||
Liberty Braves Group - Class C (1) | 4,542 | 66,586 | ||||||
Liberty Broadband Corp. - Class A (1) | 494 | 29,344 | ||||||
Liberty Broadband Corp. - Class C (1) | 2,088 | 125,280 | ||||||
Liberty Interactive Corp. (1) | 3,854 | 97,776 | ||||||
Liberty Media Group - Class A (1) | 3,129 | 59,889 | ||||||
Liberty Media Group - Class C (1) | 5,976 | 113,365 | ||||||
Liberty SiriusXM Group - Class A (1) | 1,860 | 58,330 | ||||||
Liberty SiriusXM Group - Class C (1) | 3,676 | 113,478 | ||||||
Liberty Tax, Inc. | 321 | 4,276 | ||||||
Liberty Ventures (1) | 2,179 | 80,776 | ||||||
Lifetime Brands, Inc. | 1,741 | 25,401 | ||||||
Lions Gate Entertainment Corp. | 699 | 14,141 | ||||||
Lithia Motors, Inc. | 42,670 | 3,032,557 | ||||||
Live Nation Entertainment, Inc. (1) | 1,116 | 26,226 | ||||||
Luby’s, Inc. (1) | 3,062 | 15,371 | ||||||
Lumber Liquidators Holdings, Inc. (1) | 4,162 | 64,178 | ||||||
M.D.C. Holdings, Inc. | 3,991 | 97,141 | ||||||
M/I Homes, Inc. (1) | 3,317 | 62,459 | ||||||
Macy’s, Inc. | 6,178 | 207,643 | ||||||
Marcus Corp. | 2,834 | 59,797 | ||||||
MarineMax, Inc. (1) | 1,767 | 29,986 | ||||||
Marriott International, Inc. | 464 | 30,837 | ||||||
Marriott Vacations Worldwide Corp. | 3,357 | 229,921 | ||||||
MDC Partners, Inc. | 5,644 | 103,229 | ||||||
Media General, Inc. (1) | 17,058 | 293,227 |
Meredith Corp. | 5,995 | 311,200 | ||||||
Meritage Homes Corp. (1) | 5,728 | 215,029 | ||||||
Metaldyne Performance Group, Inc. | 979 | 13,461 | ||||||
MGM Resorts International (1) | 8,653 | 195,817 | ||||||
Modine Manufacturing Co. (1) | 7,324 | 64,451 | ||||||
Mohawk Industries, Inc. (1) | 256 | 48,579 | ||||||
Monarch Casino & Resort, Inc. (1) | 1,568 | 34,449 | ||||||
Motorcar Parts of America, Inc. (1) | 200 | 5,436 | ||||||
Movado Group, Inc. | 2,328 | 50,471 | ||||||
MSG Networks, Inc. (1) | 6,198 | 95,077 | ||||||
Murphy USA, Inc. (1) | 290 | 21,506 | ||||||
NACCO Industries, Inc. | 609 | 34,104 | ||||||
National CineMedia, Inc. | 9,808 | 151,828 | ||||||
New Home Company, Inc. (1) | 1,873 | 17,868 | ||||||
New Media Investment Group, Inc. | 5,145 | 92,970 | ||||||
New York Times Co. | 19,491 | 235,841 | ||||||
Newell Brands, Inc. | 484,013 | 23,508,511 | ||||||
News Corp. - Class A | 7,547 | 85,658 | ||||||
News Corp. - Class B | 2,487 | 29,023 | ||||||
Noodles & Co. (1) | 583 | 5,702 | ||||||
Norwegian Cruise Line Holdings Ltd. (1) | 2,896 | 115,377 | ||||||
Office Depot, Inc. (1) | 87,936 | 291,068 | ||||||
Omnicom Group, Inc. | 89,268 | 7,274,449 | ||||||
Party City Holdings, Inc. (1) | 2,391 | 33,259 | ||||||
Penn National Gaming, Inc. (1) | 1,745 | 24,343 | ||||||
Penske Automotive Group, Inc. | 768 | 24,161 | ||||||
Performance Sports Group Ltd. (1) | 6,240 | 18,720 | ||||||
Perry Ellis International, Inc. (1) | 1,936 | 38,952 | ||||||
Pier 1 Imports, Inc. | 10,725 | 55,127 | ||||||
Pinnacle Entertainment, Inc. (1) | 8,441 | 93,526 | ||||||
Potbelly Corp. (1) | 149,660 | 1,876,736 | ||||||
Pulte Group, Inc. | 148,120 | 2,886,859 | ||||||
PVH Corp. | 58,715 | 5,532,714 | ||||||
Ralph Lauren Corp. | 1,060 | 94,997 | ||||||
Reading International, Inc. (1) | 1,884 | 23,531 | ||||||
Red Lion Hotels Corp. (1) | 1,968 | 14,288 | ||||||
Red Robin Gourmet Burgers, Inc. (1) | 1,732 | 82,149 |
Regal Entertainment Group | 1,167 | 25,721 | ||||||
Regis Corp. (1) | 5,787 | 72,048 | ||||||
Rent-A-Center, Inc. | 8,036 | 98,682 | ||||||
Restoration Hardware Holdings, Inc. (1) | 6,079 | 174,346 | ||||||
Royal Caribbean Cruises Ltd. | 3,374 | 226,564 | ||||||
Ruby Tuesday, Inc. (1) | 8,941 | 32,277 | ||||||
Saga Communications, Inc. | 515 | 20,363 | ||||||
Salem Media Group, Inc. | 1,625 | 11,733 | ||||||
Scholastic Corp. | 76,165 | 3,016,896 | ||||||
Sears Holdings Corp. (1) | 1,468 | 19,979 | ||||||
Sears Hometown and Outlet Stores, Inc. (1) | 1,821 | 12,274 | ||||||
Sequential Brands Group, Inc. (1) | 6,045 | 48,239 | ||||||
ServiceMaster Global Holdings, Inc. (1) | 188,600 | 7,506,280 | ||||||
Shoe Carnival, Inc. | 2,125 | 53,253 | ||||||
Signet Jewelers Ltd. | 36,361 | 2,996,510 | ||||||
Sonic Automotive, Inc. | 4,738 | 81,067 | ||||||
Sotheby’s | 3,611 | 98,941 | ||||||
Spartan Motors, Inc. | 4,895 | 30,643 | ||||||
Speedway Motorsports, Inc. | 1,813 | 32,181 | ||||||
Sportsman’s Warehouse Holdings, Inc. (1) | 344 | 2,773 | ||||||
Stage Stores, Inc. | 3,988 | 19,461 | ||||||
Standard Motor Products, Inc. | 1,343 | 53,425 | ||||||
Staples, Inc. | 12,883 | 111,051 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,383 | 102,273 | ||||||
Strattec Security Corp. | 519 | 21,160 | ||||||
Strayer Education, Inc. (1) | 946 | 46,477 | ||||||
Superior Industries International, Inc. | 3,858 | 103,317 | ||||||
Systemax, Inc. (1) | 1,583 | 13,503 | ||||||
Tailored Brands, Inc. | 166,714 | 2,110,599 | ||||||
TEGNA, Inc. | 124,359 | 2,881,398 | ||||||
Tenneco, Inc. (1) | 95,470 | 4,449,857 | ||||||
The Madison Square Garden Co. (1) | 347 | 59,861 | ||||||
The Michaels Companies, Inc. (1) | 426 | 12,115 | ||||||
Tiffany & Co. | 2,188 | 132,680 | ||||||
Tilly’s, Inc. (1) | 1,756 | 10,167 | ||||||
Time, Inc. | 16,121 | 265,352 | ||||||
Toll Brothers, Inc. (1) | 1,636 | 44,025 |
TopBuild Corp. (1) | 5,258 | 190,340 | ||||||
Tower International, Inc. | 3,237 | 66,617 | ||||||
Townsquare Media, Inc. (1) | 1,617 | 12,758 | ||||||
Travelport Worldwide Ltd. | 5,128 | 66,100 | ||||||
TRI Pointe Group, Inc. (1) | 22,207 | 262,487 | ||||||
Tribune Media Co. | 142,556 | 5,585,344 | ||||||
tronc, Inc. | 1,712 | 23,626 | ||||||
Tuesday Morning Corp. (1) | 6,986 | 49,042 | ||||||
UCP, Inc. (1) | 1,396 | 11,196 | ||||||
Unifi, Inc. (1) | 2,413 | 65,706 | ||||||
Urban Outfitters, Inc. (1) | 390 | 10,725 | ||||||
Vera Bradley, Inc. (1) | 939 | 13,306 | ||||||
Viacom, Inc. - Class A | 50 | 2,321 | ||||||
Viacom, Inc. - Class B | 791 | 32,803 | ||||||
Vince Holding Corp. (1) | 2,979 | 16,325 | ||||||
Vista Outdoor, Inc. (1) | 994 | 47,444 | ||||||
Visteon Corp. | 14,293 | 940,622 | ||||||
Vitamin Shoppe, Inc. (1) | 3,747 | 114,546 | ||||||
WCI Communities, Inc. (1) | 3,501 | 59,167 | ||||||
Weight Watchers International, Inc. (1) | 318 | 3,698 | ||||||
Wendy’s Co. | 1,797 | 17,287 | ||||||
West Marine, Inc. (1) | 2,619 | 21,973 | ||||||
Weyco Group, Inc. | 878 | 24,391 | ||||||
Whirlpool Corp. | 1,341 | 223,464 | ||||||
William Lyon Homes (1) | 3,878 | 62,513 | ||||||
Wolverine World Wide, Inc. | 245,584 | 4,990,267 | ||||||
Wynn Resorts Ltd. | 142 | 12,871 | ||||||
ZAGG, Inc. (1) | 3,805 | 19,976 | ||||||
Zumiez, Inc. (1) | 2,816 | 40,297 | ||||||
|
| |||||||
198,544,214 | ||||||||
|
| |||||||
Consumer Staples - 1.91% | ||||||||
Alico, Inc. | 522 | 15,791 | ||||||
Alliance One International, Inc. (1) | 1,305 | 20,097 | ||||||
Avon Products, Inc. | 55,531 | 209,907 | ||||||
Brown Forman Corp. - Class A | 43 | 4,645 | ||||||
Brown Forman Corp. - Class B | 108 | 10,774 | ||||||
Bunge Ltd. | 2,789 | 164,969 |
Cal-Maine Foods, Inc. | 1,082 | 47,954 | ||||||
Casey’s General Stores, Inc. | 33,200 | 4,366,132 | ||||||
Central Garden & Pet Co. (1) | 1,401 | 31,985 | ||||||
Central Garden & Pet Co. - Class A (1) | 4,550 | 98,781 | ||||||
Clorox Co. | 383 | 53,003 | ||||||
Coca-Cola European Partners Plc | 87,792 | 3,133,297 | ||||||
ConAgra Foods, Inc. | 1,840 | 87,970 | ||||||
Constellation Brands, Inc. | 22,186 | 3,669,564 | ||||||
Coty, Inc. | 407 | 10,578 | ||||||
Craft Brew Alliance, Inc. (1) | 1,047 | 12,061 | ||||||
Darling Ingredients, Inc. (1) | 19,134 | 285,097 | ||||||
Dean Foods Co. | 7,235 | 130,881 | ||||||
Edgewell Personal Care Co. (1) | 1,171 | 98,844 | ||||||
Elizabeth Arden, Inc. (1) | 353 | 4,857 | ||||||
Energizer Holdings, Inc. | 854 | 43,972 | ||||||
Flowers Foods, Inc. | 287 | 5,381 | ||||||
Fresh Del Monte Produce, Inc. | 4,749 | 258,488 | ||||||
Hormel Foods Corp. | 686 | 25,108 | ||||||
Ingles Markets, Inc. | 2,200 | 82,060 | ||||||
Ingredion, Inc. | 425 | 54,999 | ||||||
Inter Parfums, Inc. | 1,417 | 40,484 | ||||||
J & J Snack Foods Corp. | 37,450 | 4,466,662 | ||||||
John B. Sanfilippo & Son, Inc. | 975 | 41,564 | ||||||
Kellogg Co. | 379 | 30,945 | ||||||
Lancaster Colony Corp. | 31,740 | 4,050,341 | ||||||
Landec Corp. (1) | 3,000 | 32,280 | ||||||
Mead Johnson Nutrition Co. | 2,392 | 217,074 | ||||||
Molson Coors Brewing Co. | 3,448 | 348,696 | ||||||
Natural Grocers by Vitamin Cottage, Inc. (1) | 1,404 | 18,322 | ||||||
Nature’s Sunshine Products, Inc. | 1,409 | 13,428 | ||||||
Nu Skin Enterprises, Inc. | 788 | 36,398 | ||||||
Nutraceutical International Corp. (1) | 1,305 | 30,211 | ||||||
Oil-Dri Corp. of America | 684 | 23,619 | ||||||
Omega Protein Corp. (1) | 3,318 | 66,327 | ||||||
Pilgrim’s Pride Corp. | 1,044 | 26,601 | ||||||
Pinnacle Foods, Inc. | 2,308 | 106,837 | ||||||
Post Holdings, Inc. (1) | 546 | 45,149 |
Revlon, Inc. (1) | 1,438 | 46,275 | ||||||
Sanderson Farms, Inc. | 3,127 | 270,923 | ||||||
Seaboard Corp. (1) | 42 | 120,567 | ||||||
Seneca Foods Corp. (1) | 1,096 | 39,686 | ||||||
Smart & Final Stores, Inc. (1) | 1,164 | 17,332 | ||||||
Snyder’s-Lance, Inc. | 12,748 | 432,030 | ||||||
SpartanNash Co. | 5,816 | 177,853 | ||||||
Spectrum Brands Holdings, Inc. | 85,400 | 10,189,074 | ||||||
SUPERVALU, Inc. (1) | 42,894 | 202,460 | ||||||
Synutra International, Inc. (1) | 2,540 | 9,677 | ||||||
The Andersons, Inc. | 4,166 | 148,060 | ||||||
The Chefs’ Warehouse, Inc. (1) | 274 | 4,384 | ||||||
The Hain Celestial Group, Inc. (1) | 515 | 25,621 | ||||||
The J. M. Smucker Co. | 2,316 | 352,982 | ||||||
TreeHouse Foods, Inc. (1) | 751 | 77,090 | ||||||
Turning Point Brands, Inc. (1) | 451 | 4,632 | ||||||
Tyson Foods, Inc. | 3,112 | 207,851 | ||||||
United Natural Foods, Inc. (1) | 7,899 | 369,673 | ||||||
Universal Corp. | 3,505 | 202,379 | ||||||
Vector Group Ltd. | 7,755 | 173,867 | ||||||
Village Super Market, Inc. | 1,111 | 32,097 | ||||||
Weis Markets, Inc. | 1,460 | 73,803 | ||||||
Whole Foods Market, Inc. | 5,300 | 169,706 | ||||||
|
| |||||||
35,870,155 | ||||||||
|
| |||||||
Energy - 4.50% | ||||||||
Abraxas Petroleum Corp. (1) | 11,086 | 12,527 | ||||||
Adams Resources & Energy, Inc. | 299 | 11,511 | ||||||
Alon USA Energy, Inc. | 5,117 | 33,158 | ||||||
Anadarko Petroleum Corp. | 30,581 | 1,628,438 | ||||||
Antero Resources Corp. (1) | 3,328 | 86,461 | ||||||
Archrock, Inc. | 10,994 | 103,563 | ||||||
Ardmore Shipping Corp. | 3,283 | 22,226 | ||||||
Atwood Oceanics, Inc. | 9,584 | 119,992 | ||||||
Baker Hughes, Inc. | 8,787 | 396,557 | ||||||
Bill Barrett Corp. (1) | 7,721 | 49,337 | ||||||
Bristow Group, Inc. | 5,287 | 60,325 | ||||||
Cabot Oil & Gas Corp. | 2,770 | 71,300 |
California Resources Corp. | 4,957 | 60,475 | ||||||
Callon Petroleum Co. (1) | 312,430 | 3,508,589 | ||||||
CARBO Ceramics, Inc. | 3,065 | 40,152 | ||||||
Carrizo Oil & Gas, Inc. (1) | 96,065 | 3,443,930 | ||||||
Cheniere Energy, Inc. (1) | 4,030 | 151,327 | ||||||
Chesapeake Energy Corp. (1) | 11,403 | 48,805 | ||||||
Cimarex Energy Co. | 36,331 | 4,335,015 | ||||||
Clayton Williams Energy, Inc. (1) | 997 | 27,378 | ||||||
Clean Energy Fuels Corp. (1) | 13,673 | 47,445 | ||||||
Cobalt International Energy, Inc. (1) | 63,769 | 85,450 | ||||||
Columbia Pipeline Group, Inc. | 8,039 | 204,914 | ||||||
Concho Resources, Inc. (1) | 2,622 | 312,726 | ||||||
CONSOL Energy, Inc. | 4,628 | 74,465 | ||||||
Contango Oil & Gas Company (1) | 2,750 | 33,660 | ||||||
Continental Resources, Inc. (1) | 991 | 44,863 | ||||||
CVR Energy, Inc. | 2,294 | 35,557 | ||||||
Dawson Geophysical Co. (1) | 3,032 | 24,711 | ||||||
Delek US Holdings, Inc. | 9,668 | 127,714 | ||||||
Denbury Resources, Inc. | 54,863 | 196,958 | ||||||
Devon Energy Corp. | 9,573 | 347,021 | ||||||
DHT Holdings, Inc. | 14,466 | 72,764 | ||||||
Diamond Offshore Drilling, Inc. | 1,319 | 32,091 | ||||||
Diamondback Energy, Inc. (1) | 84,567 | 7,713,356 | ||||||
Dorian LPG Ltd. (1) | 3,841 | 27,079 | ||||||
Dril-Quip, Inc. (1) | 772 | 45,108 | ||||||
Earthstone Energy, Inc. (1) | 90 | 970 | ||||||
Eclipse Resources Corp. (1) | 7,798 | 26,045 | ||||||
Energen Corp. | 157,432 | 7,589,797 | ||||||
Ensco Plc | 6,093 | 59,163 | ||||||
EP Energy Corp. (1) | 6,095 | 31,572 | ||||||
EQT Corp. | 71,134 | 5,507,906 | ||||||
Era Group, Inc. (1) | 2,877 | 27,044 | ||||||
Erin Energy Corp. (1) | 3,030 | 7,302 | ||||||
EXCO Resources, Inc. (1) | 22,533 | 29,293 | ||||||
Exterran Corp. (1) | 4,972 | 63,890 | ||||||
Fairmount Santrol Holdings, Inc. (1) | 10,180 | 78,488 | ||||||
FMC Technologies, Inc. (1) | 4,543 | 121,162 |
Forum Energy Technologies, Inc. (1) | 212,511 | 3,678,565 | ||||||
Franks International | 772 | 11,279 | ||||||
Frontline Ltd. | 10,169 | 80,030 | ||||||
GasLog Ltd. | 6,380 | 82,812 | ||||||
Gener8 Maritime, Inc. (1) | 6,092 | 38,989 | ||||||
Geospace Technologies Corp. (1) | 2,074 | 33,951 | ||||||
Golar LNG Ltd. | 13,849 | 214,660 | ||||||
Green Plains, Inc. | 5,734 | 113,074 | ||||||
Gulfport Energy Corp. (1) | 116,425 | 3,639,446 | ||||||
Helix Energy Solutions Group, Inc. (1) | 15,985 | 108,059 | ||||||
Helmerich & Payne, Inc. | 1,962 | 131,709 | ||||||
Hess Corp. | 5,667 | 340,587 | ||||||
HollyFrontier Corp. | 3,267 | 77,657 | ||||||
Hornbeck Offshore Services, Inc. (1) | 5,173 | 43,143 | ||||||
Independence Contract Drilling, Inc. (1) | 4,487 | 24,364 | ||||||
Jones Energy, Inc. (1) | 5,322 | 21,927 | ||||||
Kosmos Energy Ltd. (1) | 3,326 | 18,127 | ||||||
Laredo Petroleum, Inc. (1) | 2,796 | 29,302 | ||||||
Marathon Oil Corp. | 162,296 | 2,436,063 | ||||||
Marathon Petroleum Corp. | 154,110 | 5,850,016 | ||||||
Matador Resources Co. (1) | 213,660 | 4,230,468 | ||||||
Matrix Service Co. (1) | 4,215 | 69,505 | ||||||
McDermott International, Inc. (1) | 38,076 | 188,095 | ||||||
Memorial Resource Development Corp. (1) | 112,907 | 1,792,963 | ||||||
Murphy Oil Corp. | 3,306 | 104,966 | ||||||
Nabors Industries Ltd. | 5,568 | 55,958 | ||||||
National Oilwell Varco, Inc. | 7,577 | 254,966 | ||||||
Natural Gas Services Group, Inc. (1) | 1,842 | 42,182 | ||||||
Navios Maritime Acquisition Corp. | 12,247 | 19,228 | ||||||
Newfield Exploration Co. (1) | 106,231 | 4,693,286 | ||||||
Newpark Resources, Inc. (1) | 12,816 | 74,205 | ||||||
Noble Corp. Plc | 4,907 | 40,434 | ||||||
Noble Energy, Inc. | 8,550 | 306,689 | ||||||
Nordic American Tanker Ltd. | 13,484 | 187,293 | ||||||
Northern Oil & Gas, Inc. (1) | 7,465 | 34,488 | ||||||
Oasis Petroleum, Inc. (1) | 28,422 | 265,461 | ||||||
Oceaneering International, Inc. | 1,972 | 58,884 |
Oil States International, Inc. (1) | 8,192 | 269,353 | ||||||
Overseas Shipholding Group, Inc. | 5,658 | 62,181 | ||||||
Pacific Ethanol, Inc. (1) | 4,557 | 24,836 | ||||||
Panhandle Oil and Gas, Inc. | 1,077 | 17,954 | ||||||
Par Petroleum Corp. (1) | 2,747 | 42,139 | ||||||
Parker Drilling Co. (1) | 18,739 | 42,912 | ||||||
Parsley Energy, Inc. (1) | 263,660 | 7,134,640 | ||||||
Patterson-UTI Energy, Inc. | 2,923 | 62,318 | ||||||
PBF Energy, Inc. | 1,977 | 47,013 | ||||||
PDC Energy, Inc. (1) | 7,304 | 420,783 | ||||||
PHI, Inc. (1) | 1,683 | 30,092 | ||||||
Pioneer Energy Services Corp. (1) | 9,877 | 45,434 | ||||||
QEP Resources, Inc. | 4,391 | 77,413 | ||||||
Range Resources Corp. | 3,360 | 144,950 | ||||||
Renewable Energy Group, Inc. (1) | 6,363 | 56,185 | ||||||
REX American Resources Corp. (1) | 911 | 54,505 | ||||||
RigNet, Inc. (1) | 1,747 | 23,392 | ||||||
Ring Energy, Inc. (1) | 5,550 | 48,951 | ||||||
Rowan Companies Plc | 2,561 | 45,227 | ||||||
RPC, Inc. (1) | 1,216 | 18,884 | ||||||
RSP Permian, Inc. (1) | 136,779 | 4,772,219 | ||||||
Sanchez Energy Corp. (1) | 5,978 | 42,205 | ||||||
Scorpio Tankers, Inc. | 25,767 | 108,221 | ||||||
SEACOR Holdings, Inc. (1) | 2,509 | 145,397 | ||||||
Seadrill Ltd. (1) | 59,067 | 191,377 | ||||||
SemGroup Corp. | 7,122 | 231,892 | ||||||
Ship Finance International Ltd. | 9,309 | 137,215 | ||||||
SM Energy Co. | 1,384 | 37,368 | ||||||
Stone Energy Corp. (1) | 1 | 11 | ||||||
Superior Energy Services, Inc. | 3,031 | 55,801 | ||||||
Synergy Resources Corp. (1) | 25,672 | 170,976 | ||||||
Targa Resources Corp. | 3,139 | 132,277 | ||||||
Teekay Corp. | 7,015 | 50,017 | ||||||
Teekay Tankers Ltd. | 18,371 | 54,746 | ||||||
Tesco Corp. | 5,877 | 39,317 | ||||||
Tesoro Corp. | 2,401 | 179,883 | ||||||
TETRA Technologies, Inc. (1) | 4,291 | 27,334 |
The Williams Companies, Inc. | 11,526 | 249,307 | ||||||
Tidewater, Inc. | 7,430 | 32,766 | ||||||
Transocean Ltd. | 6,936 | 82,469 | ||||||
Unit Corp. (1) | 7,899 | 122,908 | ||||||
W&T Offshore, Inc. (1) | 5,205 | 12,076 | ||||||
Weatherford International Plc (1) | 17,923 | 99,473 | ||||||
Western Refining, Inc. | 95,613 | 1,972,496 | ||||||
Westmoreland Coal Co. (1) | 3,153 | 30,017 | ||||||
Whiting Petroleum Corp. (1) | 4,137 | 38,309 | ||||||
Willbros Group, Inc. (1) | 6,408 | 16,212 | ||||||
World Fuel Services Corp. | 1,391 | 66,059 | ||||||
WPX Energy, Inc. (1) | 5,655 | 52,648 | ||||||
|
| |||||||
84,392,569 | ||||||||
|
| |||||||
Financials - 29.57% | ||||||||
1st Source Corp. | 2,443 | 79,129 | ||||||
Acadia Realty Trust | 8,775 | 311,688 | ||||||
Access National Corp. | 1,200 | 23,412 | ||||||
ACNB Corp. | 854 | 21,444 | ||||||
Affiliated Managers Group, Inc. (1) | 139 | 19,567 | ||||||
AG Mortgage Investment Trust, Inc. | 4,492 | 64,864 | ||||||
Agree Realty Corp. | 3,686 | 177,813 | ||||||
Alexander & Baldwin, Inc. | 178,908 | 6,465,735 | ||||||
Alexander’s, Inc. | 30 | 12,277 | ||||||
Alexandria Real Estate Equities, Inc. | 1,308 | 135,404 | ||||||
Alleghany Corp. (1) | 16,808 | 9,237,341 | ||||||
Allegiance Bancshares, Inc. (1) | 1,553 | 38,639 | ||||||
Allied World Assurance Co. Holdings AG | 210,784 | 7,406,950 | ||||||
Allstate Corp. | 104,139 | 7,284,523 | ||||||
Ally Financial, Inc. (1) | 101,580 | 1,733,971 | ||||||
Altisource Residential Corp. | 8,319 | 76,452 | ||||||
Ambac Financial Group, Inc. (1) | 4,215 | 69,379 | ||||||
American Assets Trust, Inc. | 81,332 | 3,451,730 | ||||||
American Campus Communities, Inc. | 2,615 | 138,255 | ||||||
American Capital Agency Corp. | 6,668 | 132,160 | ||||||
American Capital Mortgage Investment Corp. | 7,235 | 114,241 | ||||||
American Equity Investment Life Holding Co. | 7,866 | 112,090 | ||||||
American Financial Group, Inc. | 1,386 | 102,467 |
American Homes 4 Rent | 206,023 | 4,219,351 | ||||||
American Independence Corp. (1) | 178 | 4,366 | ||||||
American National Bankshares, Inc. | 1,204 | 30,317 | ||||||
American National Insurance Co. | 155 | 17,538 | ||||||
Ameriprise Financial, Inc. | 2,187 | 196,502 | ||||||
Ameris Bancorp | 1,429 | 42,441 | ||||||
AMERISAFE, Inc. | 817 | 50,017 | ||||||
Ames National Corp. | 1,284 | 34,437 | ||||||
AmTrust Financial Services, Inc. | 1,691 | 41,429 | ||||||
Annaly Capital Management, Inc. | 18,607 | 205,979 | ||||||
Anworth Mortgage Asset Corp. | 15,222 | 71,543 | ||||||
Aon Plc | 95,153 | 10,393,562 | ||||||
Apartment Investment & Management Co. | 3,109 | 137,293 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 9,588 | 154,079 | ||||||
Apollo Residential Mortgage, Inc. | 5,168 | 69,251 | ||||||
Apple Hospitality REIT, Inc. | 3,304 | 62,148 | ||||||
Arch Capital Group Ltd. (1) | 2,313 | 166,536 | ||||||
Ares Capital Corp. | 987,775 | 14,026,405 | ||||||
Ares Commercial Real Estate Corp. | 4,441 | 54,580 | ||||||
Argo Group International Holdings Ltd. | 4,674 | 242,570 | ||||||
Arlington Asset Investment Corp. | 925 | 12,034 | ||||||
Armada Hoffler Properties, Inc. | 740 | 10,168 | ||||||
ARMOUR Residential REIT, Inc. | 5,904 | 118,080 | ||||||
Arrow Financial Corp. | 1,602 | 48,525 | ||||||
Arthur J. Gallagher & Co. | 311,675 | 14,835,730 | ||||||
Ashford Hospitality Prime, Inc. | 4,081 | 57,705 | ||||||
Ashford Hospitality Trust, Inc. | 13,408 | 72,001 | ||||||
Aspen Insurance Holdings Ltd. | 1,230 | 57,047 | ||||||
Associated Banc Corp. | 2,995 | 51,364 | ||||||
Associated Capital Group, Inc. | 924 | 26,500 | ||||||
Assurant, Inc. | 1,251 | 107,974 | ||||||
Assured Guaranty Ltd. | 2,712 | 68,803 | ||||||
Astoria Financial Corp. | 14,821 | 227,206 | ||||||
Atlantic Capital Bancshares, Inc. (1) | 2,245 | 32,463 | ||||||
Atlas Financial Holdings, Inc. (1) | 1,018 | 17,530 | ||||||
AV Homes, Inc. (1) | 1,524 | 18,623 | ||||||
AvalonBay Communities, Inc. | 2,741 | 494,449 |
Avenue Financial Holdings, Inc. (1) | 202 | 3,969 | ||||||
Axis Capital Holdings Ltd. | 1,853 | 101,915 | ||||||
B. Riley Financial, Inc. | 1,360 | 13,029 | ||||||
Baldwin & Lyons, Inc. | 1,531 | 37,754 | ||||||
Banc of California, Inc. | 2,281 | 41,286 | ||||||
BancFirst Corp. | 1,210 | 72,987 | ||||||
Banco Latinoamericano De Comerico | 4,821 | 127,757 | ||||||
BancorpSouth, Inc. | 373,944 | 8,484,789 | ||||||
Bank Mutual Corp. | 6,573 | 50,481 | ||||||
Bank of Hawaii Corp. | 845 | 58,136 | ||||||
Bank of Marin Bancorp | 918 | 44,404 | ||||||
Bank of the Ozarks, Inc. | 83,080 | 3,117,162 | ||||||
BankFinancial Corp. | 2,337 | 28,021 | ||||||
BankUnited, Inc. | 173,006 | 5,314,744 | ||||||
Bankwell Financial Group, Inc. | 738 | 16,280 | ||||||
Banner Corp. | 4,694 | 199,683 | ||||||
Bar Harbor Bankshares | 889 | 31,204 | ||||||
BB&T Corp. | 49,793 | 1,773,129 | ||||||
BBCN Bancorp, Inc. | 12,127 | 180,935 | ||||||
BBX Capital Corp. (1) | 377 | 5,794 | ||||||
Bear State Financial, Inc. | 2,803 | 26,432 | ||||||
Beneficial Bancorp, Inc. (1) | 11,101 | 141,205 | ||||||
Berkshire Hills Bancorp, Inc. | 4,826 | 129,916 | ||||||
Blue Capital Reinsurance Holdings Ltd. | 1,272 | 23,545 | ||||||
Blue Hills Bancorp, Inc. | 3,573 | 52,737 | ||||||
Bluerock Resident Growth REIT, Inc. - Class A | 3,106 | 40,378 | ||||||
BNC Bancorp | 5,316 | 120,726 | ||||||
Bofi Holding, Inc. (1) | 630 | 11,157 | ||||||
BOK Financial Corp. | 508 | 31,852 | ||||||
Boston Private Financial Holdings, Inc. | 13,352 | 157,287 | ||||||
Boston Properties, Inc. | 75,540 | 9,963,726 | ||||||
Brandywine Realty Trust | 3,473 | 58,346 | ||||||
Bridge Bancorp, Inc. | 2,586 | 73,442 | ||||||
Brixmor Property Group, Inc. | 3,807 | 100,733 | ||||||
Brookline Bancorp, Inc. | 11,383 | 125,554 | ||||||
Brown & Brown, Inc. | 2,203 | 82,546 | ||||||
Bryn Mawr Bank Corp. | 2,590 | 75,628 |
BSB Bancorp, Inc. (1) | 1,240 | 28,086 | ||||||
C&F Financial Corp. | 477 | 21,351 | ||||||
Calamos Asset Management, Inc. | 3,501 | 25,592 | ||||||
California First National Bancorp | 290 | 4,283 | ||||||
Camden National Corp. | 1,575 | 66,150 | ||||||
Camden Property Trust | 1,705 | 150,756 | ||||||
Capital Bank Financial Corp. | 151,395 | 4,360,176 | ||||||
Capital City Bank Group, Inc. | 1,749 | 24,346 | ||||||
Capitol Federal Financial, Inc. | 20,127 | 280,772 | ||||||
Capstead Mortgage Corp. | 15,594 | 151,262 | ||||||
Cardinal Financial Corp. | 4,573 | 100,332 | ||||||
Care Capital Properties, Inc. | 1,537 | 40,285 | ||||||
Carolina Financial Corp. | 1,522 | 28,431 | ||||||
Cascade Bancorp (1) | 5,266 | 29,174 | ||||||
Cash America International, Inc. | 3,719 | 158,504 | ||||||
CatchMark Timber Trust, Inc. | 6,089 | 74,408 | ||||||
Cathay General Bancorp | 11,770 | 331,914 | ||||||
CBL & Associates Properties, Inc. | 27,088 | 252,189 | ||||||
Cedar Realty Trust, Inc. | 13,013 | 96,687 | ||||||
CenterState Banks, Inc. | 7,253 | 114,235 | ||||||
Central Pacific Financial Corp. | 4,748 | 112,053 | ||||||
Central Valley Community Bancorp | 1,268 | 17,752 | ||||||
Century Bancorp, Inc. | 516 | 21,842 | ||||||
Charles Schwab Corp. | 46,164 | 1,168,411 | ||||||
Charter Financial Corp. | 2,202 | 29,243 | ||||||
Chatham Lodging Trust | 5,994 | 131,748 | ||||||
Chemical Financial Corp. | 245,876 | 9,168,716 | ||||||
Chemung Financial Corp. | 441 | 12,943 | ||||||
Chesapeake Lodging Trust | 6,859 | 159,472 | ||||||
Chimera Investment Corp. | 3,832 | 60,162 | ||||||
Cincinnati Financial Corp. | 3,020 | 226,168 | ||||||
CIT Group, Inc. | 3,983 | 127,098 | ||||||
Citizens & Northern Corp. | 1,682 | 34,010 | ||||||
Citizens Financial Group, Inc. | 6,210 | 124,076 | ||||||
Citizens, Inc. (1) | 7,897 | 60,017 | ||||||
City Holding Company | 2,302 | 104,672 | ||||||
City Office REIT, Inc. | 759 | 9,852 |
Clifton Bancorp, Inc. | 3,441 | 51,856 | ||||||
CNA Financial Corp. | 575 | 18,066 | ||||||
CNB Financial Corporation, Inc. | 2,044 | 36,383 | ||||||
CNO Financial Group, Inc. | 215,083 | 3,755,349 | ||||||
CoBiz Financial, Inc. | 5,135 | 60,079 | ||||||
Codorus Valley Bancorp, Inc. | 1,132 | 23,059 | ||||||
Colony Capital, Inc. | 17,845 | 273,921 | ||||||
Colony Starwood Homes | 10,382 | 315,820 | ||||||
Columbia Banking System, Inc. | 9,047 | 253,859 | ||||||
Columbia Property Trust, Inc. | 2,427 | 51,938 | ||||||
Comerica, Inc. | 3,499 | 143,914 | ||||||
Commerce Bancshares, Inc. | 1,685 | 80,711 | ||||||
Communications Sales & Leasing, Inc. | 2,467 | 71,296 | ||||||
Community Bank System, Inc. | 6,834 | 280,809 | ||||||
Community Healthcare Trust, Inc. | 1,942 | 41,054 | ||||||
Community Trust Bancorp, Inc. | 2,345 | 81,278 | ||||||
CommunityOne Bancorp (1) | 2,096 | 26,493 | ||||||
ConnectOne Bancorp, Inc. | 4,590 | 72,017 | ||||||
Consolidated-Tomoka Land Co. | 122 | 5,791 | ||||||
CorEnergy Infrastructure Trust, Inc. | 1,875 | 54,094 | ||||||
Corporate Office Properties Trust | 1,901 | 56,213 | ||||||
Corrections Corp of America | 2,340 | 81,947 | ||||||
County Bancorp, Inc. | 190 | 3,918 | ||||||
Cousins Properties, Inc. | 33,121 | 344,458 | ||||||
Cowen Group, Inc. (1) | 17,140 | 50,734 | ||||||
CU Bancorp (1) | 2,263 | 51,438 | ||||||
CubeSmart | 1,161 | 35,852 | ||||||
Cullen/Frost Bankers, Inc. | 1,069 | 68,127 | ||||||
Customers Bancorp, Inc. (1) | 2,366 | 59,458 | ||||||
CVB Financial Corp. | 380,803 | 6,241,361 | ||||||
CyrusOne, Inc. | 186 | 10,353 | ||||||
CYS Investments, Inc. | 24,111 | 201,809 | ||||||
DCT Industrial Trust, Inc. | 1,819 | 87,385 | ||||||
DDR Corp. | 6,114 | 110,908 | ||||||
DiamondRock Hospitality Co. | 32,119 | 290,035 | ||||||
Digital Realty Trust, Inc. | 884 | 96,347 | ||||||
Dime Community Bancshares, Inc. | 4,914 | 83,587 |
Discover Financial Services | 177,560 | 9,515,440 | ||||||
Donegal Group, Inc. | 1,688 | 27,835 | ||||||
Douglas Emmett, Inc. | 132,702 | 4,713,575 | ||||||
Duke Realty Corp. | 6,940 | 185,020 | ||||||
Dynex Capital, Inc. | 7,101 | 49,281 | ||||||
E*TRADE Financial Corp. (1) | 5,597 | 131,474 | ||||||
Eagle Bancorp, Inc. (1) | 1,054 | 50,708 | ||||||
East West Bancorp, Inc. | 145,235 | 4,964,132 | ||||||
Easterly Government Properties, Inc. | 3,641 | 71,837 | ||||||
EastGroup Properties, Inc. | 94,400 | 6,506,048 | ||||||
Education Realty Trust, Inc. | 9,215 | 425,180 | ||||||
EMC Insurance Group, Inc. | 1,452 | 40,249 | ||||||
Empire State Realty Trust, Inc. | 981 | 18,629 | ||||||
Employers Holdings, Inc. | 4,706 | 136,568 | ||||||
Encore Capital Group, Inc. (1) | 3,217 | 75,696 | ||||||
Endurance Specialty Holdings Ltd. | 1,298 | 87,174 | ||||||
Enova International, Inc. (1) | 4,352 | 32,031 | ||||||
Enstar Group Ltd. (1) | 37,668 | 6,101,839 | ||||||
Enterprise Bancorp, Inc. | 1,272 | 30,515 | ||||||
Enterprise Financial Services Corp. | 2,969 | 82,805 | ||||||
EPR Properties | 1,263 | 101,899 | ||||||
Equity Bancshares, Inc. (1) | 799 | 17,690 | ||||||
Equity Commonwealth (1) | 2,422 | 70,553 | ||||||
Equity One, Inc. | 1,815 | 58,407 | ||||||
Equity Residential | 136,286 | 9,387,380 | ||||||
Erie Indemnity Co. | 127 | 12,616 | ||||||
ESSA Bancorp, Inc. | 1,265 | 16,951 | ||||||
Essex Property Trust, Inc. | 21,028 | 4,796,277 | ||||||
EverBank Financial Corp. | 16,545 | 245,859 | ||||||
Everest Re Group Ltd. | 592 | 108,141 | ||||||
EZCORP, Inc. (1) | 8,061 | 60,941 | ||||||
F.N.B. Corp. | 33,328 | 417,933 | ||||||
Farmers Capital Bank Corp. | 1,085 | 29,675 | ||||||
Farmers National Banc Corp. | 3,615 | 31,812 | ||||||
Farmland Partners, Inc. | 1,942 | 21,983 | ||||||
FBL Financial Group, Inc. | 1,821 | 110,480 | ||||||
FBR & Co. | 1,393 | 20,797 |
FCB Financial Holdings, Inc. (1) | 4,698 | 159,732 | ||||||
Federal Agricultural Mortgage Corp. | 1,357 | 47,251 | ||||||
Federated National Holding Co. | 2,121 | 40,384 | ||||||
FelCor Lodging Trust, Inc. | 2,947 | 18,360 | ||||||
Fidelity & Guaranty Life | 2,372 | 54,983 | ||||||
Fidelity National Financial Ventures Group (1) | 10,466 | 120,045 | ||||||
Fidelity Southern Corp. | 3,213 | 50,348 | ||||||
Fifth Third Bancorp | 603,484 | 10,615,284 | ||||||
Financial Institutions, Inc. | 2,149 | 56,024 | ||||||
First American Financial Corp. | 296,316 | 11,917,830 | ||||||
First Bancorp NC | 3,046 | 53,549 | ||||||
First Bancorp PR (1) | 18,643 | 74,013 | ||||||
First Bancorp, Inc. | 1,457 | 31,384 | ||||||
First Busey Corp. | 4,749 | 101,581 | ||||||
First Business Financial Services, Inc. | 1,211 | 28,422 | ||||||
First Citizens Bancshares, Inc. | 1,194 | 309,139 | ||||||
First Commonwealth Financial Corp. | 13,944 | 128,285 | ||||||
First Community Bancshares, Inc. | 2,412 | 54,125 | ||||||
First Community Financial Partners, Inc. (1) | 2,061 | 18,137 | ||||||
First Connecticut Bancorp, Inc. | 1,805 | 29,891 | ||||||
First Defiance Financial Corp. | 1,338 | 51,981 | ||||||
First Financial Bancorp | 9,553 | 185,806 | ||||||
First Financial Bankshares, Inc. | 3,743 | 122,733 | ||||||
First Financial Corp. | 1,484 | 54,344 | ||||||
First Financial Northwest, Inc. | 1,324 | 17,583 | ||||||
First Foundation, Inc. (1) | 1,433 | 30,809 | ||||||
First Horizon National Corp. | 4,633 | 63,843 | ||||||
First Industrial Realty Trust, Inc. | 14,219 | 395,573 | ||||||
First Internet Bancorp | 790 | 18,818 | ||||||
First Interstate BancSystem, Inc. | 3,079 | 86,520 | ||||||
First Merchants Corp. | 6,338 | 158,006 | ||||||
First Mid-Illinois Bancshares, Inc. | 811 | 20,275 | ||||||
First Midwest Bancorp, Inc. | 12,579 | 220,887 | ||||||
First NBC Bank Holding Co. (1) | 2,476 | 41,572 | ||||||
First Niagara Financial Group, Inc. | 7,120 | 69,349 | ||||||
First Northwest Bancorp (1) | 1,764 | 22,473 | ||||||
First of Long Island Corp. | 2,200 | 63,074 |
First Potomac Realty Trust | 9,020 | 82,984 | ||||||
First Republic Bank | 577 | 40,384 | ||||||
FirstMerit Corp. | 26,139 | 529,838 | ||||||
Flagstar Bancorp, Inc. (1) | 3,334 | 81,383 | ||||||
Flushing Financial Corp. | 4,370 | 86,876 | ||||||
FNF Group | 5,293 | 198,487 | ||||||
Forest City Realty Trust, Inc. | 4,547 | 101,444 | ||||||
Forestar Group, Inc. (1) | 4,871 | 57,916 | ||||||
Four Corners Property Trust, Inc. | 2,066 | 42,539 | ||||||
Fox Chase Bancorp, Inc. | 1,626 | 33,073 | ||||||
Franklin Financial Network, Inc. (1) | 1,075 | 33,712 | ||||||
Franklin Street Properties Corp. | 15,140 | 185,768 | ||||||
FRP Holdings, Inc. (1) | 978 | 33,741 | ||||||
Fulton Financial Corp. | 27,218 | 367,443 | ||||||
GAIN Capital Holdings, Inc. | 4,864 | 30,740 | ||||||
GAMCO Investors, Inc. | 744 | 24,381 | ||||||
General Growth Properties, Inc. | 134,386 | 4,007,391 | ||||||
Genworth Financial, Inc. (1) | 28,876 | 74,500 | ||||||
German American Bancorp, Inc. | 2,377 | 75,993 | ||||||
Getty Realty Corp. | 4,036 | 86,572 | ||||||
Glacier Bancorp, Inc. | 12,092 | 321,405 | ||||||
Gladstone Commercial Corp. | 3,418 | 57,730 | ||||||
Global Indemnity Plc (1) | 1,488 | 40,965 | ||||||
Global Net Lease, Inc. | 27,498 | 218,609 | ||||||
Government Properties Income Trust | 2,522 | 58,157 | ||||||
Gramercy Property Trust, Inc. | 56,283 | 518,929 | ||||||
Great Ajax Corp. | 1,967 | 27,282 | ||||||
Great Southern Bancorp, Inc. | 1,659 | 61,333 | ||||||
Great Western Bancorp, Inc. | 9,196 | 290,042 | ||||||
Green Bancorp, Inc. (1) | 3,253 | 28,366 | ||||||
Green Dot Corp. (1) | 5,565 | 127,939 | ||||||
Greene County Bancorp, Inc. | 301 | 4,897 | ||||||
Greenhill & Co, Inc. | 1,510 | 24,311 | ||||||
Greenlight Capital Re Ltd. (1) | 4,838 | 97,534 | ||||||
Guaranty Bancorp | 2,359 | 39,395 | ||||||
Hallmark Financial Services, Inc. (1) | 2,731 | 31,652 | ||||||
Hampton Roads Bankshares, Inc. (1) | 5,148 | 9,215 |
Hancock Holding Co. | 12,046 | 314,521 | ||||||
Hanmi Financial Corp. | 4,833 | 113,527 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 5,851 | 126,382 | ||||||
Hanover Insurance Group, Inc. | 861 | 72,858 | ||||||
Harford Financial Services Group, Inc. | 157,097 | 6,971,965 | ||||||
Hatteras Financial Corp. | 15,121 | 247,984 | ||||||
HCI Group, Inc. | 1,582 | 43,157 | ||||||
HCP, Inc. | 9,340 | 330,449 | ||||||
Healthcare Realty Trust, Inc. | 16,433 | 574,991 | ||||||
Healthcare Trust of America, Inc. | 731 | 23,641 | ||||||
Heartland Financial USA, Inc. | 3,417 | 120,586 | ||||||
Heritage Commerce Corp. | 3,793 | 39,940 | ||||||
Heritage Financial Corp. | 4,567 | 80,288 | ||||||
Heritage Insurance Holdings, Inc. | 4,686 | 56,091 | ||||||
Heritage Oaks Bancorp | 3,772 | 29,950 | ||||||
Hersha Hospitality Trust | 6,210 | 106,501 | ||||||
Highwoods Properties, Inc. | 1,908 | 100,742 | ||||||
Hilltop Holdings, Inc. (1) | 12,042 | 252,762 | ||||||
Hingham Institution for Savings | 128 | 15,734 | ||||||
Home Bancorp, Inc. | 728 | 19,998 | ||||||
HomeStreet, Inc. (1) | 3,803 | 75,756 | ||||||
HomeTrust Bancshares, Inc. (1) | 2,689 | 49,746 | ||||||
Horace Mann Educators Corp. | 242,266 | 8,186,168 | ||||||
Horizon Bancorp | 1,801 | 45,277 | ||||||
Hospitality Properties Trust | 2,980 | 85,824 | ||||||
Host Hotels & Resorts, Inc. | 14,729 | 238,757 | ||||||
Hudson Pacific Properties, Inc. | 12,416 | 362,299 | ||||||
Huntington Bancshares, Inc. | 870,183 | 7,779,436 | ||||||
IBERIABANK Corp. | 137,617 | 8,219,863 | ||||||
Impac Mortgage Holdings, Inc. (1) | 1,257 | 19,710 | ||||||
Independence Holding Co. | 1,583 | 28,447 | ||||||
Independence Realty Trust, Inc. | 6,538 | 53,481 | ||||||
Independent Bank Corp. | 164,280 | 7,507,596 | ||||||
Independent Bank Corp. MI | 3,118 | 45,242 | ||||||
Independent Bank Group, Inc. | 1,729 | 74,191 | ||||||
Infinity Property & Casualty Corp. | 460 | 37,104 | ||||||
InfraREIT, Inc. | 6,596 | 115,694 |
Interactive Brokers Group, Inc. | 1,134 | 40,144 | ||||||
International Bancshares Corp. | 8,529 | 222,522 | ||||||
INTL FCStone, Inc. (1) | 2,593 | 70,763 | ||||||
Invesco Ltd. | 6,848 | 174,898 | ||||||
Invesco Mortgage Capital, Inc. | 17,835 | 244,161 | ||||||
Investment Technology Group, Inc. | 4,254 | 71,127 | ||||||
Investors Bancorp, Inc. | 1,301,192 | 14,417,207 | ||||||
Investors Real Estate Trust | 18,849 | 121,953 | ||||||
Investors Title Co. | 245 | 23,336 | ||||||
James River Group Holdings Ltd. | 2,278 | 77,361 | ||||||
Janus Capital Group, Inc. | 23,059 | 320,981 | ||||||
Jones Lang LaSalle, Inc. | 898 | 87,510 | ||||||
KCG Holdings, Inc. (1) | 8,685 | 115,510 | ||||||
Kearny Financial Corp. | 14,503 | 182,448 | ||||||
Kemper Corp. | 6,436 | 199,387 | ||||||
Kennedy-Wilson Holdings, Inc. | 285,194 | 5,407,278 | ||||||
KeyCorp | 16,790 | 185,529 | ||||||
Kilroy Realty Corp. | 41,901 | 2,777,617 | ||||||
Kimco Realty Corp. | 289,194 | 9,074,908 | ||||||
Kite Realty Group Trust | 13,163 | 368,959 | ||||||
Ladder Capital Corp. | 6,212 | 75,786 | ||||||
Ladenburg Thalmann Financial Services, Inc. (1) | 16,718 | 39,454 | ||||||
Lake Sunapee Bank Group | 1,187 | 20,310 | ||||||
Lakeland Bancorp, Inc. | 6,022 | 68,530 | ||||||
Lakeland Financial Corp. | 2,481 | 116,632 | ||||||
LaSalle Hotel Properties | 16,969 | 400,129 | ||||||
Lazard Ltd. | 2,227 | 66,320 | ||||||
LCNB Corp. | 1,209 | 19,102 | ||||||
LegacyTexas Financial Group, Inc. | 6,925 | 186,352 | ||||||
Legg Mason, Inc. | 2,098 | 61,870 | ||||||
LendingClub Corp. (1) | 29,884 | 128,501 | ||||||
Leucadia National Corp. | 6,544 | 113,408 | ||||||
Lexington Realty Trust | 36,611 | 370,137 | ||||||
Liberty Property Trust | 2,926 | 116,221 | ||||||
Lincoln National Corp. | 3,711 | 143,875 | ||||||
Loews Corp. | 125,470 | 5,155,562 | ||||||
LPL Financial Holdings, Inc. | 1,475 | 33,232 |
LTC Properties, Inc. | 859 | 44,436 | ||||||
M&T Bank Corp. | 2,989 | 353,389 | ||||||
Macatawa Bank Corp. | 3,882 | 28,804 | ||||||
Mack Cali Realty Corp. | 14,190 | 383,130 | ||||||
Maiden Holdings Ltd. | 8,328 | 101,935 | ||||||
MainSource Financial Group, Inc. | 3,587 | 79,093 | ||||||
Manning & Napier, Inc. | 2,999 | 28,490 | ||||||
Markel Corp. (1) | 275 | 262,014 | ||||||
Marlin Business Services Corp. | 1,174 | 19,136 | ||||||
Marsh & McLennan Companies, Inc. | 109,953 | 7,527,382 | ||||||
MB Financial, Inc. | 11,092 | 402,418 | ||||||
MBIA, Inc. (1) | 21,054 | 143,799 | ||||||
MBT Financial Corp. | 2,609 | 20,872 | ||||||
Medical Properties Trust, Inc. | 24,937 | 379,292 | ||||||
Medley Management, Inc. | 598 | 3,516 | ||||||
Mercantile Bank Corp. | 2,376 | 56,691 | ||||||
Merchants Bancshares, Inc. | 838 | 25,542 | ||||||
Mercury General Corp. | 241 | 12,812 | ||||||
Meridian Bancorp, Inc. | 6,462 | 95,508 | ||||||
Meta Financial Group, Inc. | 1,278 | 65,127 | ||||||
MFA Financial, Inc. | 7,557 | 54,939 | ||||||
MGIC Investment Corp. (1) | 54,462 | 324,049 | ||||||
Mid-America Apartment Communities, Inc. | 1,515 | 161,196 | ||||||
Middleburg Financial Corp. | 677 | 18,414 | ||||||
Midland States Bancorp, Inc. (1) | 582 | 12,624 | ||||||
MidWestOne Financial Group, Inc. | 1,260 | 35,986 | ||||||
Monmouth Real Estate Investment Corp. | 8,225 | 109,063 | ||||||
Monogram Residential Trust, Inc. | 26,978 | 275,445 | ||||||
Moody’s Corp. | 22,967 | 2,152,238 | ||||||
MutualFirst Financial, Inc. | 785 | 21,470 | ||||||
Nasdaq OMX Group, Inc. | 163,572 | 10,578,201 | ||||||
National Bankshares, Inc. | 958 | 33,453 | ||||||
National Commerce Corp. (1) | 1,320 | 30,782 | ||||||
National General Holdings Corp. | 3,402 | 72,871 | ||||||
National Interstate Corp. | 978 | 29,584 | ||||||
National Retail Properties, Inc. | 2,867 | 148,281 | ||||||
National Storage Affiliates Trust Co. | 3,196 | 66,541 |
National Western Life Group, Inc. - Class A | 435 | 84,942 | ||||||
Nationstar Mortgage Holdings, Inc. (1) | 3,044 | 34,275 | ||||||
Navient Corp. | 298,181 | 3,563,263 | ||||||
Navigators Group, Inc. | 60,403 | 5,555,264 | ||||||
NBT Bancorp, Inc. | 6,664 | 190,790 | ||||||
Nelnet, Inc. | 3,267 | 113,528 | ||||||
New Residential Investment Corp. | 1,251,592 | 17,322,033 | ||||||
New Senior Investment Group, Inc. | 12,164 | 129,912 | ||||||
New York Community Bancorp, Inc. | 9,452 | 141,685 | ||||||
New York Mortgage Trust, Inc. | 17,867 | 108,989 | ||||||
New York REIT, Inc. | 26,542 | 245,513 | ||||||
NewStar Financial, Inc. (1) | 3,942 | 33,192 | ||||||
NexPoint Residential Trust, Inc. | 2,865 | 52,143 | ||||||
Nicolet Bankshares, Inc. (1) | 1,172 | 44,630 | ||||||
NMI Holdings, Inc. (1) | 8,264 | 45,287 | ||||||
Northern Trust Corp. | 4,135 | 273,985 | ||||||
Northfield Bancorp, Inc. | 115,083 | 1,706,681 | ||||||
Northrim BanCorp, Inc. | 995 | 26,159 | ||||||
NorthStar Realty Europe Corp. | 9,338 | 86,377 | ||||||
NorthStar Realty Finance Corp. | 3,610 | 41,262 | ||||||
Northwest Bancshares, Inc. | 15,266 | 226,395 | ||||||
OceanFirst Financial Corp. | 3,203 | 58,199 | ||||||
Ocwen Financial Corp. (1) | 15,614 | 26,700 | ||||||
OFG Bancorp | 6,862 | 56,955 | ||||||
Old Line Bancshares, Inc. | 1,239 | 22,302 | ||||||
Old National Bancorp | 21,228 | 265,987 | ||||||
Old Republic International Corp. | 4,904 | 94,598 | ||||||
Old Second Bancorp, Inc. | 4,544 | 31,036 | ||||||
OM Asset Management Plc | 2,471 | 32,988 | ||||||
Omega Healthcare Investors, Inc. | 2,327 | 79,002 | ||||||
On Deck Capital, Inc. (1) | 7,610 | 39,192 | ||||||
One Liberty Properties, Inc. | 2,007 | 47,867 | ||||||
OneBeacon Insurance Group Ltd. | 3,551 | 49,004 | ||||||
OneMain Holdings, Inc. (1) | 1,060 | 24,189 | ||||||
Oppenheimer Holdings, Inc. | 1,957 | 30,255 | ||||||
Opus Bank | 993 | 33,563 | ||||||
Orchid Island Capital, Inc. | 2,720 | 27,989 |
Oritani Financial Corp. | 6,033 | 96,468 | ||||||
Orrstown Financial Services, Inc. | 1,039 | 18,754 | ||||||
Outfront Media, Inc. | 2,355 | 56,920 | ||||||
Owens Realty Mortgage, Inc. | 1,483 | 24,677 | ||||||
Pacific Continental Corp. | 2,855 | 44,852 | ||||||
Pacific Mercantile Bancorp (1) | 2,280 | 16,188 | ||||||
Pacific Premier Bancorp, Inc. (1) | 3,104 | 74,496 | ||||||
PacWest Bancorp | 261,809 | 10,414,762 | ||||||
Paramount Group, Inc. | 3,589 | 57,209 | ||||||
Park National Corp. | 2,073 | 190,260 | ||||||
Park Sterling Corp. | 5,540 | 39,279 | ||||||
Parkway Properties, Inc. | 12,927 | 216,269 | ||||||
Peapack Gladstone Financial Corp. | 2,406 | 44,535 | ||||||
Pebblebrook Hotel Trust | 221,961 | 5,826,476 | ||||||
Penns Woods Bancorp, Inc. | 671 | 28,175 | ||||||
Pennsylvania Real Estate Investment Trust | 7,663 | 164,371 | ||||||
PennyMac Mortgage Investment Trust | 10,603 | 172,087 | ||||||
Peoples Bancorp, Inc. | 2,613 | 56,937 | ||||||
Peoples Financial Services Corp. | 1,069 | 41,841 | ||||||
People’s United Financial, Inc. | 6,174 | 90,511 | ||||||
People’s Utah Bancorp | 1,976 | 32,802 | ||||||
PHH Corp. (1) | 8,345 | 111,155 | ||||||
Physicians Realty Trust | 311,753 | 6,549,931 | ||||||
PICO Holdings, Inc. (1) | 3,395 | 32,117 | ||||||
Piedmont Office Realty Trust, Inc. | 2,860 | 61,604 | ||||||
Pinnacle Financial Partners, Inc. | 5,772 | 281,962 | ||||||
Piper Jaffray Cos. (1) | 2,568 | 96,814 | ||||||
PJT Partners, Inc. | 2,768 | 63,664 | ||||||
Popular, Inc. | 2,092 | 61,296 | ||||||
Post Properties, Inc. | 1,039 | 63,431 | ||||||
PRA Group, Inc. (1) | 7,459 | 180,060 | ||||||
Preferred Apartment Communities, Inc. | 3,590 | 52,845 | ||||||
Preferred Bank Los Angeles | 1,841 | 53,159 | ||||||
Premier Financial Bancorp, Inc. | 1,210 | 20,389 | ||||||
Principal Financial Group, Inc. | 5,364 | 220,514 | ||||||
PrivateBancorp, Inc. | 12,397 | 545,840 | ||||||
ProAssurance Corp. | 1,076 | 57,620 |
Prologis, Inc. | 10,449 | 512,419 | ||||||
Prosperity Bancshares, Inc. | 10,558 | 538,352 | ||||||
Provident Bancorp, Inc. (1) | 593 | 9,144 | ||||||
Provident Financial Holdings, Inc. | 978 | 17,897 | ||||||
Provident Financial Services, Inc. | 9,814 | 192,747 | ||||||
Pzena Investment Management, Inc. | 1,392 | 10,593 | ||||||
QCR Holdings, Inc. | 1,866 | 50,737 | ||||||
QTS Realty Trust, Inc. | 116,520 | 6,522,790 | ||||||
Radian Group, Inc. | 34,330 | 357,719 | ||||||
RAIT Financial Trust | 12,998 | 40,684 | ||||||
Ramco-Gershenson Properties Trust | 12,340 | 241,987 | ||||||
Raymond James Financial, Inc. | 148,179 | 7,305,225 | ||||||
Rayonier, Inc. | 2,444 | 64,131 | ||||||
Re/Max Holdings, Inc. | 2,809 | 113,090 | ||||||
Realogy Holdings Corp. (1) | 2,881 | 83,607 | ||||||
Realty Income Corp. | 5,165 | 358,244 | ||||||
Redwood Trust, Inc. | 12,392 | 171,134 | ||||||
Regency Centers Corp. | 134,138 | 11,231,375 | ||||||
Regional Management Corp. (1) | 1,713 | 25,113 | ||||||
Regions Financial Corp. | 25,423 | 216,350 | ||||||
Reinsurance Group of America, Inc. | 198,888 | 19,290,147 | ||||||
RenaissanceRe Holdings Ltd. | 857 | 100,646 | ||||||
Renasant Corp. | 6,360 | 205,619 | ||||||
Republic Bancorp, Inc. | 1,435 | 39,649 | ||||||
Republic First Bancorp, Inc. (1) | 5,140 | 22,153 | ||||||
Resource America, Inc. | 1,663 | 16,164 | ||||||
Resource Capital Corp. | 5,045 | 64,879 | ||||||
Retail Opportunity Investments Corp. | 4,581 | 99,270 | ||||||
Retail Properties of America, Inc. | 4,768 | 80,579 | ||||||
Rexford Industrial Realty, Inc. | 6,304 | 132,951 | ||||||
RLI Corp. | 1,144 | 78,684 | ||||||
RLJ Lodging Trust | 19,375 | 415,594 | ||||||
Rouse Properties, Inc. | 6,013 | 109,737 | ||||||
Ryman Hospitality Properties, Inc. | 70,405 | 3,566,013 | ||||||
S & T Bancorp, Inc. | 5,524 | 135,062 | ||||||
Sabra Health Care REIT, Inc. | 8,556 | 176,553 | ||||||
Safeguard Scientifics, Inc. (1) | 3,659 | 45,701 |
Safety Insurance Group, Inc. | 2,238 | 137,816 | ||||||
Sandy Spring Bancorp, Inc. | 3,634 | 105,604 | ||||||
Santander Consumer USA Holdings, Inc. (1) | 2,110 | 21,796 | ||||||
Saul Centers, Inc. | 212 | 13,083 | ||||||
Seacoast Banking Corp. of Florida (1) | 4,660 | 75,678 | ||||||
SEI Investments Co. | 254,211 | 12,230,091 | ||||||
Select Income REIT | 10,169 | 264,292 | ||||||
Selective Insurance Group, Inc. | 8,846 | 338,006 | ||||||
Senior Housing Properties Trust | 4,168 | 86,819 | ||||||
Seritage Growth Properties | 3,907 | 194,725 | ||||||
Shore Bancshares, Inc. | 1,854 | 21,785 | ||||||
SI Financial Group, Inc. | 1,700 | 22,508 | ||||||
Sierra Bancorp | 1,869 | 31,194 | ||||||
Signature Bank (1) | 433 | 54,090 | ||||||
Silver Bay Realty Trust Corp. | 5,344 | 91,008 | ||||||
Simmons First National Corp. | 4,571 | 211,112 | ||||||
SL Green Realty Corp. | 97,215 | 10,350,481 | ||||||
SLM Corp. (1) | 359,613 | 2,222,408 | ||||||
South State Corp. | 3,693 | 251,309 | ||||||
Southern First Bancshares, Inc. (1) | 847 | 20,413 | ||||||
Southern Missouri Bancorp, Inc. | 836 | 19,671 | ||||||
Southern National Bancorp of Virginia, Inc. | 1,609 | 19,549 | ||||||
Southside Bancshares, Inc. | 3,848 | 118,988 | ||||||
Southwest Bancorp, Inc. | 2,845 | 48,166 | ||||||
Sovran Self Storage, Inc. | 318 | 33,365 | ||||||
Spirit Realty Capital, Inc. | 9,646 | 123,179 | ||||||
Starwood Property Trust, Inc. | 4,695 | 97,280 | ||||||
State Auto Financial Corp. | 2,576 | 56,440 | ||||||
State Bank Financial Corp. | 5,443 | 110,765 | ||||||
State National Companies, Inc. | 4,713 | 49,628 | ||||||
State Street Corp. | 54,014 | 2,912,435 | ||||||
Sterling Bancorp | 20,192 | 317,014 | ||||||
Stewart Information Services Corp. | 3,557 | 147,295 | ||||||
Stifel Financial Corp. (1) | 9,997 | 314,406 | ||||||
Stock Yards Bancorp, Inc. | 3,353 | 94,655 | ||||||
Stonegate Bank | 1,857 | 59,925 | ||||||
STORE Capital Corp. | 3,054 | 89,940 |
Stratus Properties, Inc. (1) | 1,027 | 19,236 | ||||||
Suffolk Bancorp | 1,828 | 57,235 | ||||||
Summit Financial Group, Inc. | 1,218 | 21,315 | ||||||
Summit Hotel Properties, Inc. | 14,024 | 185,678 | ||||||
Sun Bancorp, Inc. (1) | 1,603 | 33,118 | ||||||
Sun Communities, Inc. | 1,248 | 95,647 | ||||||
Sunstone Hotel Investors, Inc. | 34,479 | 416,162 | ||||||
SunTrust Banks, Inc. | 221,359 | 9,093,428 | ||||||
SVB Financial Group (1) | 267 | 25,408 | ||||||
Synchrony Financial (1) | 414,029 | 10,466,653 | ||||||
Synovus Financial Corp. | 2,505 | 72,620 | ||||||
T. Rowe Price Group, Inc. | 1,142 | 83,332 | ||||||
Talmer BanCorp., Inc. | 2,180 | 41,791 | ||||||
Tanger Factory Outlet Centers, Inc. | 189 | 7,594 | ||||||
Taubman Centers, Inc. | 587 | 43,555 | ||||||
TCF Financial Corp. | 3,181 | 40,240 | ||||||
TD Ameritrade Holding Corp. | 295,809 | 8,423,161 | ||||||
Tejon Ranch Co. (1) | 2,223 | 52,552 | ||||||
Terreno Realty Corp. | 4,997 | 129,272 | ||||||
Territorial Bancorp, Inc. | 1,236 | 32,717 | ||||||
Texas Capital Bancshares, Inc. (1) | 6,787 | 317,360 | ||||||
TFS Financial Corp. | 1,170 | 20,147 | ||||||
The Bancorp, Inc. (1) | 5,481 | 32,996 | ||||||
The GEO Group, Inc. | 9,284 | 317,327 | ||||||
The Howard Hughes Corp. (1) | 39,153 | 4,475,971 | ||||||
The Macerich Co. | 66,168 | 5,650,086 | ||||||
The Progressive Corp. | 10,576 | 354,296 | ||||||
The St. Joe Co. (1) | 1,534 | 27,182 | ||||||
Third Point Reinsurance Ltd. (1) | 10,014 | 117,364 | ||||||
Tier REIT, Inc. | 7,469 | 114,500 | ||||||
Tiptree Financial, Inc. | 4,645 | 25,455 | ||||||
Tompkins Financial Corp. | 2,324 | 151,060 | ||||||
Torchmark Corp. | 75,583 | 4,672,541 | ||||||
Towne Bank | 8,683 | 187,987 | ||||||
TriCo Bancshares | 3,165 | 87,354 | ||||||
Trinity Place Holdings, Inc. (1) | 2,228 | 17,133 | ||||||
TriState Capital Holdings, Inc. (1) | 3,432 | 47,121 |
Triumph Bancorp, Inc. (1) | 2,421 | 38,736 | ||||||
TrustCo Bank Corp. | 14,352 | 91,996 | ||||||
Trustmark Corp. | 10,761 | 267,411 | ||||||
Two Harbors Investment Corp. | 7,056 | 60,399 | ||||||
UDR, Inc. | 5,273 | 194,679 | ||||||
UMB Financial Corp. | 7,086 | 377,046 | ||||||
UMH Properties, Inc. | 2,870 | 32,288 | ||||||
Umpqua Holdings Corp. | 34,910 | 540,058 | ||||||
Union Bankshares Corp. | 6,703 | 165,631 | ||||||
United Bankshares, Inc. | 10,292 | 386,053 | ||||||
United Community Banks, Inc. | 10,907 | 199,489 | ||||||
United Community Financial Corp. | 6,951 | 42,262 | ||||||
United Development Funding IV (2) | 1,250 | 400 | ||||||
United Financial Bancorp, Inc. | 7,875 | 102,218 | ||||||
United Fire Group, Inc. | 3,450 | 146,384 | ||||||
United Insurance Holdings Corp. | 829 | 13,579 | ||||||
Universal Insurance Holdings, Inc. | 1,369 | 25,436 | ||||||
Univest Corp. of Pennsylvania | 2,980 | 62,640 | ||||||
Unum Group | 282,697 | 8,986,938 | ||||||
Validus Holdings Ltd. | 1,531 | 74,391 | ||||||
Valley National Bancorp | 39,352 | 358,890 | ||||||
Ventas, Inc. | 4,634 | 337,448 | ||||||
VEREIT, Inc. | 18,240 | 184,954 | ||||||
Veritex Holdings, Inc. (1) | 862 | 13,809 | ||||||
Virtu Financial, Inc. | 600 | 10,800 | ||||||
Virtus Investment Partners, Inc. | 1,067 | 75,949 | ||||||
Vornado Realty Trust | 3,426 | 343,011 | ||||||
Voya Financial, Inc. | 4,096 | 101,417 | ||||||
W.P. Carey, Inc. | 2,084 | 144,671 | ||||||
W.R. Berkley Corp. | 90,167 | 5,402,807 | ||||||
Waddell & Reed Financial, Inc. | 4,383 | 75,475 | ||||||
Walker & Dunlop, Inc. (1) | 4,399 | 100,209 | ||||||
Walter Investment Management Corp. (1) | 3,427 | 9,459 | ||||||
Washington Federal, Inc. | 14,388 | 349,053 | ||||||
Washington Real Estate Investment Trust | 7,619 | 239,694 | ||||||
Washington Trust Bancorp, Inc. | 2,282 | 86,533 | ||||||
WashingtonFirst Bankshares, Inc. | 1,188 | 25,673 |
Waterstone Financial, Inc. | 3,878 | 59,450 | ||||||
Webster Financial Corp. | 14,522 | 493,022 | ||||||
Weingarten Realty Investors | 2,327 | 94,988 | ||||||
Welltower, Inc. | 7,142 | 544,006 | ||||||
WesBanco, Inc. | 5,563 | 172,731 | ||||||
West Bancorporation, Inc. | 2,392 | 44,467 | ||||||
Westamerica Bancorporation | 3,866 | 190,439 | ||||||
Western Alliance Bancorp (1) | 834 | 27,230 | ||||||
Western Asset Mortgage Capital Corp. | 6,718 | 63,082 | ||||||
Westfield Financial, Inc. | 2,138 | 16,463 | ||||||
Weyerhaeuser Co. | 14,851 | 442,114 | ||||||
White Mountains Insurance Group Ltd. | 96 | 80,832 | ||||||
Whitestone REIT | 4,016 | 60,561 | ||||||
Willis Towers Watson Plc | 23,721 | 2,948,758 | ||||||
Wilshire Bancorp, Inc. | 11,159 | 116,277 | ||||||
Wintrust Financial Corp. | 7,669 | 391,119 | ||||||
World Acceptance Corp. (1) | 981 | 44,734 | ||||||
WP Glimcher, Inc. | 23,388 | 261,712 | ||||||
WSFS Financial Corp. | 4,474 | 144,018 | ||||||
Xenia Hotels & Resorts, Inc. | 16,561 | 277,894 | ||||||
XL Group Plc | 53,082 | 1,768,161 | ||||||
Yadkin Financial Corp. | 129,026 | 3,237,262 | ||||||
Your Community Bankshares, Inc. | 735 | 27,313 | ||||||
Zions Bancorp | 4,031 | 101,299 | ||||||
|
| |||||||
554,867,072 | ||||||||
|
| |||||||
Healthcare - 10.32% | ||||||||
Acadia Healthcare Co., Inc. (1) | 961 | 53,239 | ||||||
Accelerate Diagnostics, Inc. (1) | 260 | 3,741 | ||||||
Aceto Corp. | 515 | 11,273 | ||||||
Acorda Therapeutics, Inc. (1) | 5,769 | 147,138 | ||||||
Adamas Pharmaceuticals, Inc. (1) | 1,312 | 19,864 | ||||||
Addus HomeCare Corp. (1) | 97,398 | 1,697,647 | ||||||
Adverum Biotechnologies, Inc. (1) | 3,628 | 11,464 | ||||||
Agenus, Inc. (1) | 1,803 | 7,302 | ||||||
Agilent Technologies, Inc. | 4,806 | 213,194 | ||||||
Akebia Therapeutics, Inc. (1) | 3,937 | 29,449 | ||||||
Albany Molecular Research, Inc. (1) | 2,148 | 28,869 |
Alere, Inc. (1) | 1,407 | 58,644 | ||||||
Allscripts Healthcare Solutions, Inc. (1) | 3,737 | 47,460 | ||||||
Almost Family, Inc. (1) | 964 | 41,076 | ||||||
Alnylam Pharmaceuticals, Inc. (1) | 199 | 11,043 | ||||||
AMAG Pharmaceuticals, Inc. (1) | 3,816 | 91,279 | ||||||
American Renal Associates Holdings, Inc. (1) | 217 | 6,287 | ||||||
Amsurg Corp. (1) | 139,350 | 10,805,199 | ||||||
Analogic Corp. | 134,763 | 10,705,573 | ||||||
AngioDynamics, Inc. (1) | 4,248 | 61,044 | ||||||
Anika Therapeutics, Inc. (1) | 385 | 20,655 | ||||||
Aratana Therapeutics, Inc. (1) | 492 | 3,109 | ||||||
Ardelyx, Inc. (1) | 2,906 | 25,369 | ||||||
ARIAD Pharmaceuticals, Inc. (1) | 1,760 | 13,006 | ||||||
Array BioPharma, Inc. (1) | 20,344 | 72,425 | ||||||
Arrowhead Pharmaceuticals, Inc. (1) | 656 | 3,490 | ||||||
Atara Biotherapeutics, Inc. (1) | 3,387 | 76,241 | ||||||
AtriCure, Inc. (1) | 1,053 | 14,879 | ||||||
Becton Dickinson and Co. | 34,708 | 5,886,130 | ||||||
Bellicum Pharmaceuticals, Inc. (1) | 1,075 | 13,932 | ||||||
BioCryst Pharmaceuticals, Inc. (1) | 1,689 | 4,797 | ||||||
Bio-Rad Laboratories, Inc. (1) | 410 | 58,638 | ||||||
BioScrip, Inc. (1) | 9,440 | 24,072 | ||||||
Bluebird Bio, Inc. (1) | 3,615 | 156,493 | ||||||
Boston Scientific Corp. (1) | 328,346 | 7,673,446 | ||||||
Brookdale Senior Living, Inc. (1) | 264,410 | 4,082,490 | ||||||
Bruker Corp. | 49,664 | 1,129,359 | ||||||
Capital Senior Living Corp. (1) | 260,915 | 4,610,368 | ||||||
Cara Therapeutics, Inc. (1) | 2,793 | 13,434 | ||||||
Cardinal Health, Inc. | 85,922 | 6,702,775 | ||||||
Catalent, Inc. (1) | 410,225 | 9,431,073 | ||||||
Celldex Therapeutics, Inc. (1) | 14,907 | 65,442 | ||||||
Cellular Biomedicine Group, Inc. (1) | 548 | 6,571 | ||||||
Centene Corp. (1) | 97,939 | 6,989,906 | ||||||
Cerus Corp. (1) | 2,216 | 13,828 | ||||||
Chimerix, Inc. (1) | 6,678 | 26,245 | ||||||
Cidara Therapeutics, Inc. (1) | 1,489 | 15,352 | ||||||
Community Health Systems, Inc. (1) | 209,270 | 2,521,704 |
Concert Pharmaceuticals, Inc. (1) | 1,474 | 16,553 | ||||||
CONMED Corp. | 4,309 | 205,669 | ||||||
Corvus Pharmaceuticals, Inc. (1) | 419 | 5,975 | ||||||
Cotiviti Holdings, Inc. (1) | 664 | 14,030 | ||||||
CryoLife, Inc. | 1,616 | 19,085 | ||||||
DaVita HealthCare Partners, Inc. (1) | 55,261 | 4,272,781 | ||||||
DENTSPLY SIRONA, Inc. | 4,597 | 285,198 | ||||||
Dimension Therapeutics, Inc. (1) | 1,112 | 6,672 | ||||||
Edge Therapeutics, Inc. (1) | 1,507 | 15,236 | ||||||
Egalet Corp. (1) | 2,511 | 12,455 | ||||||
Enanta Pharmaceuticals, Inc. (1) | 2,429 | 53,559 | ||||||
Endo International Plc (1) | 167,148 | 2,605,837 | ||||||
Endocyte, Inc. (1) | 5,760 | 18,490 | ||||||
Envision Healthcare Holdings, Inc. (1) | 616 | 15,628 | ||||||
Epizyme, Inc. (1) | 1,771 | 18,135 | ||||||
Esperion Therapeutics, Inc. (1) | 2,251 | 22,240 | ||||||
Evolent Health, Inc. (1) | 2,476 | 47,539 | ||||||
Exactech, Inc. (1) | 1,647 | 44,041 | ||||||
Exelixis, Inc. (1) | 13,533 | 105,693 | ||||||
Five Prime Therapeutics, Inc. (1) | 3,216 | 132,982 | ||||||
Flex Pharma, Inc. (1) | 357 | 3,645 | ||||||
Genesis Healthcare, Inc. (1) | 2,674 | 4,733 | ||||||
Greatbatch, Inc. (1) | 101,686 | 3,145,148 | ||||||
Haemonetics Corp. (1) | 8,222 | 238,356 | ||||||
Halyard Health, Inc. (1) | 7,316 | 237,916 | ||||||
HCA Holdings, Inc. (1) | 185,475 | 14,283,430 | ||||||
HealthSouth Corp. | 58,375 | 2,266,118 | ||||||
Healthways, Inc. (1) | 4,932 | 56,965 | ||||||
Hill-Rom Holdings, Inc. | 83 | 4,187 | ||||||
ICON Plc (1) | 43,939 | 3,076,169 | ||||||
ICU Medical, Inc. (1) | 60,306 | 6,799,502 | ||||||
Ignyta, Inc. (1) | 1,261 | 6,835 | ||||||
Immunomedics, Inc. (1) | 853 | 1,979 | ||||||
IMS Health Holdings, Inc. (1) | 354,550 | 8,991,388 | ||||||
INC Research Holdings, Inc. (1) | 148,120 | 5,647,816 | ||||||
Innoviva, Inc. | 1,384 | 14,574 | ||||||
Integra LifeSciences Holdings Corp. (1) | 46,490 | 3,708,972 |
Invacare Corp. | 5,085 | 61,681 | ||||||
Juno Therapeutics, Inc. (1) | 128 | 4,920 | ||||||
K2M Group Holdings, Inc. (1) | 2,734 | 42,432 | ||||||
Karyopharm Therapeutics, Inc. (1) | 2,837 | 19,036 | ||||||
Kindred Healthcare, Inc. | 13,329 | 150,484 | ||||||
Laboratory Corp. of America Holdings (1) | 43,700 | 5,692,799 | ||||||
Lannet, Inc. (1) | 4,598 | 109,386 | ||||||
LHC Group, Inc. (1) | 2,177 | 94,221 | ||||||
LifePoint Health, Inc. (1) | 803 | 52,492 | ||||||
Luminex Corp. (1) | 3,612 | 73,071 | ||||||
Magellan Health, Inc. (1) | 1,029 | 67,677 | ||||||
Mallinckrodt Plc (1) | 2,195 | 133,412 | ||||||
Medicines Co. (1) | 948 | 31,881 | ||||||
MEDNAX, Inc. (1) | 186,121 | 13,480,744 | ||||||
Meridian Bioscience, Inc. | 791 | 15,425 | ||||||
Merit Medical Systems, Inc. (1) | 4,149 | 82,275 | ||||||
Merrimack Pharmaceuticals, Inc. (1) | 7,286 | 39,272 | ||||||
Molina Healthcare, Inc. (1) | 2,307 | 115,119 | ||||||
Momenta Pharmaceuticals, Inc. (1) | 7,662 | 82,750 | ||||||
NantKwest, Inc. (1) | 2,224 | 13,833 | ||||||
National HealthCare Corp. | 1,737 | 112,453 | ||||||
National Research Corp. | 397 | 5,439 | ||||||
NewLink Genetics Corp. (1) | 815 | 9,177 | ||||||
Nobilis Health Corp. (1) | 8,110 | 18,085 | ||||||
Omeros Corp. (1) | 2,124 | 22,344 | ||||||
OPKO Health, Inc. (1) | 554 | 5,174 | ||||||
Osiris Therapeutics, Inc. | 642 | 3,268 | ||||||
Otonomy, Inc. (1) | 3,713 | 58,962 | ||||||
OvaScience, Inc. (1) | 4,215 | 21,960 | ||||||
Owens & Minor, Inc. | 8,787 | 328,458 | ||||||
PDL BioPharma, Inc. | 27,845 | 87,433 | ||||||
PerkinElmer, Inc. | 1,716 | 89,953 | ||||||
Perrigo Co. Plc | 25,950 | 2,352,887 | ||||||
PharMerica Corp. (1) | 4,626 | 114,077 | ||||||
Phibro Animal Health Corp. | 205 | 3,825 | ||||||
Portola Pharmaceuticals, Inc. (1) | 644 | 15,198 | ||||||
Premier, Inc. (1) | 269,786 | 8,822,002 |
PTC Therapeutics, Inc. (1) | 5,251 | 36,862 | ||||||
QIAGEN (1) | 4,583 | 99,955 | ||||||
Quest Diagnostics, Inc. | 2,834 | 230,716 | ||||||
Quidel Corp. (1) | 294 | 5,251 | ||||||
Quintiles Transitional Holdings, Inc. (1) | 569 | 37,167 | ||||||
REGENXBIO, Inc. (1) | 3,086 | 24,688 | ||||||
Retrophin, Inc. (1) | 5,626 | 100,199 | ||||||
Rigel Pharmaceuticals, Inc. (1) | 3,030 | 6,757 | ||||||
Rockwell Medical, Inc. (1) | 854 | 6,465 | ||||||
RTI Surgical, Inc. (1) | 8,851 | 31,775 | ||||||
Sagent Pharmaceuticals, Inc. (1) | 3,762 | 56,355 | ||||||
Select Medical Holdings Corp. (1) | 15,447 | 167,909 | ||||||
Spectrum Pharmaceuticals, Inc. (1) | 8,335 | 54,761 | ||||||
St. Jude Medical, Inc. | 87,392 | 6,816,576 | ||||||
Stemline Therapeutics, Inc. (1) | 2,372 | 16,058 | ||||||
Surgery Partners, Inc. (1) | 1,297 | 23,216 | ||||||
Symmetry Surgical, Inc. (1) | 1,427 | 18,737 | ||||||
Syndax Pharmaceuticals, Inc. (1) | 369 | 3,635 | ||||||
Teleflex, Inc. | 715 | 126,777 | ||||||
Tetraphase Pharmaceuticals, Inc. (1) | 5,649 | 24,291 | ||||||
The Cooper Companies, Inc. | 213 | 36,544 | ||||||
TherapeuticsMD, Inc. (1) | 1,426 | 12,121 | ||||||
TransEnterix, Inc. (1) | 9,528 | 11,624 | ||||||
Triple-S Management Corp. (1) | 3,683 | 89,976 | ||||||
United Therapeutics Corp. (1) | 636 | 67,365 | ||||||
Universal American Corp. | 8,976 | 68,038 | ||||||
Universal Health Services, Inc. | 1,292 | 173,257 | ||||||
USMD Holdings, Inc. (1) | 291 | 5,453 | ||||||
Versartis, Inc. (1) | 3,853 | 42,614 | ||||||
Vocera Communications, Inc. (1) | 1,376 | 17,682 | ||||||
Voyager Therapeutics, Inc. (1) | 965 | 10,605 | ||||||
VWR Corp. (1) | 485,416 | 14,028,522 | ||||||
WaVe Life Sciences Ltd. (1) | 202 | 4,179 | ||||||
WellCare Health Plans, Inc. (1) | 70 | 7,510 | ||||||
Wright Medical Group NV (1) | 16,520 | 286,952 | ||||||
Zafgen, Inc. (1) | 3,566 | 21,360 | ||||||
Zimmer Holdings, Inc. | 69,147 | 8,323,916 | ||||||
Zogenix, Inc. (1) | 3,773 | 30,373 | ||||||
|
| |||||||
193,671,391 | ||||||||
|
|
Industrials - 12.96% | ||||||||
AAR Corp. | 5,157 | 120,364 | ||||||
ABM Industries, Inc. | 8,680 | 316,646 | ||||||
Acacia Research Corp. | 2,169 | 9,544 | ||||||
ACCO Brands Corp. (1) | 17,259 | 178,285 | ||||||
Actuant Corp. | 4,822 | 109,025 | ||||||
AECOM (1) | 3,043 | 96,676 | ||||||
Aegion Corp. (1) | 5,425 | 105,842 | ||||||
Aerojet Rocketdyne Holdings, Inc. (1) | 4,601 | 84,106 | ||||||
AeroVironment, Inc. (1) | 2,662 | 74,004 | ||||||
AGCO Corp. | 1,391 | 65,558 | ||||||
Air Lease Corp. | 977 | 26,164 | ||||||
Air Transport Services Group, Inc. (1) | 6,920 | 89,683 | ||||||
Aircastle Ltd. | 7,520 | 147,091 | ||||||
Alamo Group, Inc. | 1,152 | 75,997 | ||||||
Alaska Air Group, Inc. | 418 | 24,365 | ||||||
Albany International Corp. | 3,762 | 150,217 | ||||||
Allison Transmission Holdings, Inc. | 164,865 | 4,654,139 | ||||||
Altra Industrial Motion Corp. | 157,257 | 4,242,794 | ||||||
AMERCO | 48 | 17,978 | ||||||
Ameresco, Inc. (1) | 4,029 | 17,607 | ||||||
American Airlines Group, Inc. | 11,556 | 327,150 | ||||||
American Railcar Industries, Inc. | 1,207 | 47,640 | ||||||
American Science & Engineering, Inc. | 1,132 | 42,348 | ||||||
American Superconductor Corp. (1) | 1,793 | 15,133 | ||||||
AMETEK, Inc. | 3,755 | 173,594 | ||||||
Applied Industrial Technologies, Inc. | 3,229 | 145,757 | ||||||
ARC Document Solutions, Inc. (1) | 6,566 | 25,542 | ||||||
ArcBest Corp. | 3,850 | 62,562 | ||||||
Armstrong Flooring, Inc. (1) | 3,481 | 59,003 | ||||||
Armstrong World Industries, Inc. (1) | 71,466 | 2,797,894 | ||||||
Astec Industries, Inc. | 1,603 | 90,008 | ||||||
Atlas Air Worldwide Holdings, Inc. (1) | 3,863 | 160,005 | ||||||
Babcock & Wilcox Enterprises, Inc. (1) | 259,382 | 3,810,322 | ||||||
Barnes Group, Inc. | 7,858 | 260,257 |
Blue Bird Corp. (1) | 780 | 9,282 | ||||||
BMC Stock Holdings, Inc. (1) | 1,442 | 25,696 | ||||||
Brady Corp. | 1,725 | 52,716 | ||||||
Briggs & Stratton Corp. | 6,624 | 140,296 | ||||||
Caesarstone Ltd. (1) | 238,050 | 8,274,618 | ||||||
CAI International, Inc. (1) | 2,586 | 19,395 | ||||||
Carlisle Companies, Inc. | 880 | 92,998 | ||||||
Casella Waste Systems, Inc. (1) | 6,044 | 47,445 | ||||||
CBIZ, Inc. (1) | 7,971 | 82,978 | ||||||
CECO Environmental Corp. | 4,520 | 39,505 | ||||||
Celadon Group, Inc. | 4,326 | 35,343 | ||||||
Chart Industries, Inc. (1) | 4,792 | 115,631 | ||||||
Chicago Bridge & Iron Co. | 2,099 | 72,688 | ||||||
CIRCOR International, Inc. | 65,060 | 3,707,769 | ||||||
Clean Harbors, Inc. (1) | 969 | 50,495 | ||||||
Colfax Corp. (1) | 1,972 | 52,179 | ||||||
Columbus Mckinnon Corp. | 2,925 | 41,389 | ||||||
CompX International, Inc. | 351 | 4,036 | ||||||
Copa Holdings SA | 624 | 32,610 | ||||||
Costamare, Inc. | 4,073 | 31,240 | ||||||
Covenant Transportation Group, Inc. - Class A (1) | 1,839 | 33,231 | ||||||
CRA International, Inc. (1) | 1,407 | 35,485 | ||||||
Crane Co. | 976 | 55,359 | ||||||
CSW Industrials, Inc. (1) | 140,495 | 4,581,542 | ||||||
Cubic Corp. | 3,967 | 159,315 | ||||||
Cummins, Inc. | 3,163 | 355,648 | ||||||
Curtiss-Wright Corp. | 21,261 | 1,791,239 | ||||||
DigitalGlobe, Inc. (1) | 9,859 | 210,884 | ||||||
Donaldson Co., Inc. | 195 | 6,700 | ||||||
Douglas Dynamics, Inc. | 539 | 13,868 | ||||||
Dover Corp. | 3,080 | 213,506 | ||||||
Ducommun, Inc. (1) | 1,597 | 31,589 | ||||||
Dun & Bradstreet Corp. | 437 | 53,244 | ||||||
DXP Enterprises, Inc. (1) | 2,069 | 30,890 | ||||||
Dynamic Materials Corp. | 2,056 | 22,102 | ||||||
Echo Global Logistics, Inc. (1) | 647 | 14,506 | ||||||
EMCOR Group, Inc. | 137,782 | 6,787,141 |
Encore Wire Corp. | 98,055 | 3,655,490 | ||||||
EnerSys, Inc. | 4,915 | 292,295 | ||||||
Engility Holdings, Inc. (1) | 2,806 | 59,263 | ||||||
Ennis, Inc. | 3,918 | 75,147 | ||||||
EnPro Industries, Inc. | 58,820 | 2,611,020 | ||||||
Equifax, Inc. | 54,127 | 6,949,907 | ||||||
ESCO Technologies, Inc. | 137,396 | 5,487,596 | ||||||
Essendant, Inc. | 6,040 | 184,582 | ||||||
Esterline Technologies Corp. (1) | 4,732 | 293,573 | ||||||
Exone Co. (1) | 1,497 | 15,823 | ||||||
Expeditors International of Washington, Inc. | 1,070 | 52,473 | ||||||
Federal Signal Corp. | 9,333 | 120,209 | ||||||
Flowserve Corp. | 1,022 | 46,164 | ||||||
Fluor Corp. | 49,430 | 2,435,910 | ||||||
Franklin Covey Co. (1) | 342 | 5,243 | ||||||
Franklin Electric Company, Inc. | 519 | 17,153 | ||||||
FreightCar America, Inc. | 1,885 | 26,484 | ||||||
FTI Consulting, Inc. (1) | 5,993 | 243,795 | ||||||
FuelCell Energy, Inc. (1) | 3,828 | 23,810 | ||||||
G&K Services, Inc. | 53,504 | 4,096,801 | ||||||
GATX Corp. | 6,545 | 287,784 | ||||||
Gencor Industries, Inc. (1) | 765 | 11,873 | ||||||
General Cable Corp. | 689 | 8,757 | ||||||
Genesee & Wyoming, Inc. (1) | 1,134 | 66,849 | ||||||
Gibraltar Industries, Inc. (1) | 1,812 | 57,205 | ||||||
Global Brass and Copper Holdings, Inc. | 455 | 12,417 | ||||||
Gorman Rupp Co. | 353 | 9,676 | ||||||
Graham Corp. | 1,439 | 26,506 | ||||||
Granite Construction, Inc. | 1,566 | 71,331 | ||||||
Great Lakes Dredge & Dock Corp. (1) | 9,023 | 39,340 | ||||||
Greenbrier Companies, Inc. | 4,262 | 124,152 | ||||||
Griffon Corp. | 899 | 15,157 | ||||||
Hardinge, Inc. | 1,743 | 17,535 | ||||||
Harsco Corp. | 12,669 | 84,122 | ||||||
HC2 Holdings, Inc. (1) | 5,272 | 22,670 | ||||||
HD Supply Holdings, Inc. (1) | 234,050 | 8,149,621 | ||||||
Heidrick & Struggles International, Inc. | 2,830 | 47,770 |
Heritage Crystal Clean, Inc. (1) | 973 | 11,880 | ||||||
Hertz Global Holdings, Inc. (1) | 487,145 | 5,392,695 | ||||||
Hill International, Inc. (1) | 3,371 | 13,720 | ||||||
Hillenbrand, Inc. | 89,220 | 2,680,169 | ||||||
Hub Group, Inc. (1) | 450 | 17,266 | ||||||
Hubbell, Inc. | 31,974 | 3,372,298 | ||||||
Huntington Ingalls Industries, Inc. | 27,084 | 4,550,925 | ||||||
Hurco Companies, Inc. | 932 | 25,938 | ||||||
Huron Consulting Group, Inc. (1) | 2,985 | 180,354 | ||||||
Hyster-Yale Materials Handling, Inc. | 991 | 58,955 | ||||||
ICF International, Inc. (1) | 2,900 | 118,610 | ||||||
IDEX Corp. | 104 | 8,538 | ||||||
IDI, Inc. (1) | 2,484 | 11,749 | ||||||
IHS, Inc. (1) | 144 | 16,648 | ||||||
Ingersoll-Rand Plc | 111,792 | 7,118,915 | ||||||
InnerWorkings, Inc. (1) | 611 | 5,053 | ||||||
Interface, Inc. | 1,133 | 17,278 | ||||||
ITT, Inc. | 1,825 | 58,364 | ||||||
Jacobs Engineering Group, Inc. (1) | 2,397 | 119,395 | ||||||
JetBlue Airways Corp. (1) | 5,940 | 98,366 | ||||||
Joy Global, Inc. | 15,685 | 331,581 | ||||||
Kadant, Inc. | 1,396 | 71,908 | ||||||
Kaman Corp. | 3,849 | 163,659 | ||||||
Kansas City Southern | 2,162 | 194,775 | ||||||
KAR Auction Services, Inc. | 179,425 | 7,489,200 | ||||||
KBR, Inc. | 2,866 | 37,946 | ||||||
Kelly Services, Inc. | 4,567 | 86,636 | ||||||
Kennametal, Inc. | 12,652 | 279,736 | ||||||
KEYW Holding Corp. (1) | 5,520 | 54,869 | ||||||
Kimball International, Inc. | 833 | 9,480 | ||||||
Kirby Corp. (1) | 1,061 | 66,196 | ||||||
KLX, Inc. (1) | 8,258 | 255,998 | ||||||
Knight Transportation, Inc. | 715 | 19,005 | ||||||
Knoll, Inc. | 254,630 | 6,182,416 | ||||||
Korn/Ferry International | 3,683 | 76,238 | ||||||
Kratos Defense & Security Solutions, Inc. (1) | 7,500 | 30,750 | ||||||
L-3 Communications Holdings, Inc. | 1,534 | 225,022 |
Lawson Products, Inc. (1) | 170 | 3,376 | ||||||
Layne Christensen Co. (1) | 2,969 | 24,049 | ||||||
Lennox International, Inc. | 59 | 8,413 | ||||||
Lincoln Electric Holdings, Inc. | 452 | 26,704 | ||||||
Lindsay Corp. | 258 | 17,508 | ||||||
LSI Industries, Inc. | 3,081 | 34,107 | ||||||
Lydall, Inc. (1) | 118,277 | 4,560,761 | ||||||
Macquarie Infrastructure Corp. | 1,512 | 111,964 | ||||||
Manitowoc Foodservice, Inc. (1) | 1,471 | 25,919 | ||||||
ManpowerGroup, Inc. | 78,309 | 5,038,401 | ||||||
Marten Transport Ltd. | 3,485 | 69,003 | ||||||
Masco Corp. | 360,844 | 11,164,513 | ||||||
Masonite International Corp. (1) | 93,705 | 6,197,649 | ||||||
Matson, Inc. | 69,377 | 2,240,183 | ||||||
McGrath RentCorp | 3,677 | 112,479 | ||||||
Mercury Systems, Inc. (1) | 5,589 | 138,943 | ||||||
Meritor, Inc. (1) | 13,620 | 98,064 | ||||||
Milacron Holdings Corp. (1) | 470,734 | 6,830,350 | ||||||
Miller Industries, Inc. | 1,447 | 29,794 | ||||||
Mobile Mini, Inc. | 1,809 | 62,664 | ||||||
Moog, Inc. (1) | 4,528 | 244,150 | ||||||
MRC Global, Inc. (1) | 14,619 | 207,736 | ||||||
MSA Safety, Inc. | 112,581 | 5,913,880 | ||||||
MSC Industrial Direct Co., Inc. | 554 | 39,090 | ||||||
Mueller Industries, Inc. | 2,689 | 85,725 | ||||||
Mueller Water Products, Inc. | 334,740 | 3,822,731 | ||||||
MYR Group, Inc. (1) | 2,707 | 65,185 | ||||||
National Presto Industries, Inc. | 639 | 60,290 | ||||||
Navigant Consulting, Inc. (1) | 7,569 | 122,239 | ||||||
Navistar International Corp. (1) | 7,317 | 85,536 | ||||||
Neff Corp. (1) | 1,107 | 12,100 | ||||||
Nielsen Holdings Plc | 1,580 | 82,113 | ||||||
NL Industries, Inc. (1) | 1,930 | 4,960 | ||||||
NN, Inc. | 4,098 | 57,331 | ||||||
NOW, Inc. (1) | 16,694 | 302,829 | ||||||
NV5 Global, Inc. (1) | 327 | 9,300 | ||||||
Old Dominion Freight Line, Inc. (1) | 510 | 30,758 |
Orbital ATK, Inc. | 1,172 | 99,784 | ||||||
Orion Group Holdings, Inc. (1) | 4,161 | 22,095 | ||||||
Oshkosh Corp. | 1,458 | 69,561 | ||||||
Owens Corning | 2,298 | 118,393 | ||||||
P.A.M. Transportation Services, Inc. (1) | 372 | 5,911 | ||||||
PACCAR, Inc. | 6,245 | 323,928 | ||||||
Parker-Hannifin Corp. | 2,670 | 288,494 | ||||||
Park-Ohio Holdings Corp. | 1,326 | 37,499 | ||||||
Pentair Plc | 3,333 | 194,281 | ||||||
Plug Power, Inc. (1) | 10,206 | 18,983 | ||||||
Powell Industries, Inc. | 1,319 | 51,889 | ||||||
Power Solutions International, Inc. (1) | 235 | 4,195 | ||||||
Preformed Line Products Co. | 374 | 15,106 | ||||||
Quad/Graphics, Inc. | 2,159 | 50,283 | ||||||
Quanex Building Products Corp. | 226,983 | 4,219,614 | ||||||
Quanta Services, Inc. (1) | 2,105 | 48,668 | ||||||
Radiant Logistics, Inc. (1) | 2,174 | 6,522 | ||||||
Raven Industries, Inc. | 2,082 | 39,433 | ||||||
Regal-Beloit Corp. | 888 | 48,884 | ||||||
Republic Services, Inc. | 4,724 | 242,388 | ||||||
Resources Connection, Inc. (1) | 5,660 | 83,655 | ||||||
Rexnord Corp. (1) | 3,066 | 60,186 | ||||||
Roadrunner Transportation Systems, Inc. (1) | 4,872 | 36,345 | ||||||
Robert Half International, Inc. | 194,218 | 7,411,359 | ||||||
Rockwell Automation, Inc. | 539 | 61,888 | ||||||
Roper Technologies, Inc. | 975 | 166,296 | ||||||
RPX Corp. (1) | 7,925 | 72,672 | ||||||
RR Donnelley & Sons Co. | 1,351 | 22,859 | ||||||
Rush Enterprises, Inc. (1) | 834 | 17,339 | ||||||
Rush Enterprises, Inc. (1) | 4,832 | 104,130 | ||||||
Ryder System, Inc. | 1,076 | 65,787 | ||||||
Saia, Inc. (1) | 3,906 | 98,197 | ||||||
Scorpio Bulkers, Inc. (1) | 6,214 | 17,337 | ||||||
SkyWest, Inc. | 7,777 | 205,779 | ||||||
Snap-on, Inc. | 44,785 | 7,067,969 | ||||||
SolarCity Corp. (1) | 1,313 | 31,420 | ||||||
SP Plus Corp. (1) | 236 | 5,329 |
Sparton Corp. (1) | 1,362 | 29,651 | ||||||
Spirit AeroSystems Holdings, Inc. (1) | 1,283 | 55,169 | ||||||
Spirit Airlines, Inc. (1) | 1,423 | 63,850 | ||||||
SPX Corp. (1) | 6,937 | 103,014 | ||||||
SPX FLOW, Inc. (1) | 5,516 | 143,802 | ||||||
Standex International Corp. | 62,222 | 5,141,404 | ||||||
Stanley Black & Decker, Inc. | 80,439 | 8,946,426 | ||||||
Stericycle, Inc. (1) | 87 | 9,058 | ||||||
Sun Hydraulics Corp. | 345 | 10,243 | ||||||
Sunrun, Inc. (1) | 9,930 | 58,885 | ||||||
Supreme Industries, Inc. | 765 | 10,481 | ||||||
TAL International Group, Inc. | 5,272 | 70,698 | ||||||
Team, Inc. (1) | 327 | 8,119 | ||||||
Teledyne Technologies, Inc. (1) | 3,909 | 387,186 | ||||||
Tennant Co. | 201 | 10,828 | ||||||
Terex Corp. | 2,118 | 43,017 | ||||||
Tetra Tech, Inc. | 7,549 | 232,094 | ||||||
Textainer Group Holdings Ltd. | 3,603 | 40,137 | ||||||
Textron, Inc. | 111,192 | 4,065,180 | ||||||
The Brink’s Co. | 215,054 | 6,126,888 | ||||||
The Manitowoc Co., Inc. | 20,014 | 109,076 | ||||||
The Timken Co. | 85,917 | 2,634,215 | ||||||
Thermon Group Holdings, Inc. (1) | 5,009 | 96,223 | ||||||
Titan International, Inc. | 7,052 | 43,722 | ||||||
Titan Machinery, Inc. (1) | 2,885 | 32,168 | ||||||
TRC Companies, Inc. (1) | 3,081 | 19,472 | ||||||
TriMas Corp. (1) | 7,050 | 126,900 | ||||||
Trinity Industries, Inc. | 3,001 | 55,729 | ||||||
Triumph Group, Inc. | 7,900 | 280,450 | ||||||
TrueBlue, Inc. (1) | 6,180 | 116,926 | ||||||
Tutor Perini Corp. (1) | 5,082 | 119,681 | ||||||
Tyco International Plc | 7,245 | 308,637 | ||||||
UniFirst Corp. | 2,139 | 247,525 | ||||||
United Continental Holdings, Inc. (1) | 6,714 | 275,543 | ||||||
United Rentals, Inc. (1) | 45,990 | 3,085,929 | ||||||
Universal Forest Products, Inc. | 401 | 37,169 | ||||||
Universal Logistics Holdings, Inc. | 425 | 5,483 |
US Ecology, Inc. | 137,040 | 6,296,988 | ||||||
USA Truck, Inc. (1) | 1,357 | 23,761 | ||||||
USG Corp. (1) | 1,766 | 47,611 | ||||||
Valmont Industries, Inc. | 92 | 12,445 | ||||||
Vectrus, Inc. (1) | 1,416 | 40,342 | ||||||
Veritiv Corp. (1) | 1,231 | 46,261 | ||||||
Viad Corp. | 1,459 | 45,229 | ||||||
Vicor Corp. (1) | 231 | 2,326 | ||||||
Virgin America, Inc. (1) | 150 | 8,432 | ||||||
VSE Corp. | 719 | 48,029 | ||||||
Wabash National Corp. (1) | 7,433 | 94,399 | ||||||
WABCO Holdings, Inc. (1) | 30,433 | 2,786,750 | ||||||
Watts Water Technologies, Inc. | 70,266 | 4,093,697 | ||||||
Werner Enterprises, Inc. | 6,906 | 158,631 | ||||||
Wesco Aircraft Holdings, Inc. (1) | 6,726 | 90,263 | ||||||
WESCO International, Inc. (1) | 97,608 | 5,025,836 | ||||||
West Corp. | 5,951 | 116,997 | ||||||
Willis Lease Finance Corp. (1) | 700 | 15,561 | ||||||
XPO Logistics, Inc. (1) | 15,571 | 408,894 | ||||||
Xylem, Inc. | 1,727 | 77,111 | ||||||
YRC Worldwide, Inc. (1) | 4,244 | 37,347 | ||||||
|
| |||||||
243,149,035 | ||||||||
|
| |||||||
Information Technology - 13.96% | ||||||||
ACI Worldwide, Inc. (1) | 205,640 | 4,012,036 | ||||||
Activision Blizzard, Inc. | 247,702 | 9,816,430 | ||||||
Actua Corp. (1) | 5,573 | 50,324 | ||||||
Acxiom Corp. (1) | 6,296 | 138,449 | ||||||
ADTRAN, Inc. | 2,690 | 50,168 | ||||||
Advanced Energy Industries, Inc. (1) | 308 | 11,692 | ||||||
Advanced Micro Devices, Inc. (1) | 53,283 | 273,875 | ||||||
Agilysys, Inc. (1) | 2,104 | 22,029 | ||||||
Akamai Technologies, Inc. (1) | 375 | 20,974 | ||||||
Alliance Data Systems Corp. (1) | 52,834 | 10,351,237 | ||||||
Alpha and Omega Semiconductor Ltd. (1) | 2,674 | 37,249 | ||||||
Ambarella, Inc. (1) | 2,985 | 151,668 | ||||||
Amdocs Ltd. | 195,424 | 11,279,873 | ||||||
Amkor Technology, Inc. (1) | 14,996 | 86,227 |
Analog Devices, Inc. | 6,138 | 347,656 | ||||||
Anixter International, Inc. (1) | 4,538 | 241,785 | ||||||
ANSYS, Inc. (1) | 1,305 | 118,429 | ||||||
Applied Optoelectronics, Inc. (1) | 2,578 | 28,745 | ||||||
ARRIS International Plc (1) | 2,939 | 61,601 | ||||||
Arrow Electronics, Inc. (1) | 134,697 | 8,337,744 | ||||||
Autobytel, Inc. (1) | 1,019 | 14,134 | ||||||
Autodesk, Inc. (1) | 774 | 41,904 | ||||||
Avid Technology, Inc. (1) | 2,009 | 11,672 | ||||||
Avnet, Inc. | 87,791 | 3,556,413 | ||||||
AVX Corp. | 7,187 | 97,599 | ||||||
Axcelis Technologies, Inc. (1) | 17,957 | 48,304 | ||||||
Bankrate, Inc. (1) | 7,458 | 55,786 | ||||||
Bazaarvoice, Inc. (1) | 12,650 | 50,726 | ||||||
Bel Fuse, Inc. | 1,481 | 26,332 | ||||||
Benchmark Electronics, Inc. (1) | 7,743 | 163,764 | ||||||
Black Box Corp. | 2,429 | 31,771 | ||||||
Blucora, Inc. (1) | 4,928 | 51,054 | ||||||
Booz Allen Hamilton Holding Corp. | 139 | 4,120 | ||||||
Bottomline Technologies, Inc. (1) | 976 | 21,013 | ||||||
Broadcom Ltd. | 16,747 | 2,602,484 | ||||||
Broadridge Financial Solutions, Inc. | 173,400 | 11,305,680 | ||||||
Brocade Communications Systems, Inc. | 9,339 | 85,732 | ||||||
Brooks Automation, Inc. | 10,518 | 118,012 | ||||||
CA, Inc. | 5,838 | 191,662 | ||||||
Cabot Microelectronics Corp. | 3,175 | 134,429 | ||||||
CACI International, Inc. (1) | 87,552 | 7,915,576 | ||||||
Calix, Inc. (1) | 6,473 | 44,728 | ||||||
Cass Information Systems, Inc. | 703 | 36,345 | ||||||
Check Point Software Technologies Ltd. (1) | 110,375 | 8,794,680 | ||||||
Cohu, Inc. | 4,018 | 43,595 | ||||||
CommScope Holding Co., Inc. (1) | 134,175 | 4,163,450 | ||||||
Computer Sciences Corp. | 2,781 | 138,077 | ||||||
Comtech Telecommunications Corp. | 2,265 | 29,083 | ||||||
Control4 Corp. (1) | 3,094 | 25,247 | ||||||
Convergys Corp. | 7,000 | 175,000 | ||||||
CoreLogic, Inc. (1) | 728 | 28,013 |
CPI Card Group, Inc. | 2,109 | 10,566 | ||||||
Cree, Inc. (1) | 1,253 | 30,623 | ||||||
CTS Corp. | 4,846 | 86,840 | ||||||
Cypress Semiconductor Corp. | 6,241 | 65,843 | ||||||
Daktronics, Inc. | 5,876 | 36,725 | ||||||
Datalink Corp. (1) | 3,262 | 24,465 | ||||||
Diebold, Inc. | 7,370 | 182,997 | ||||||
Digi International, Inc. (1) | 3,954 | 42,426 | ||||||
Digimarc Corp. (1) | 109 | 3,484 | ||||||
Diodes, Inc. (1) | 5,963 | 112,045 | ||||||
Dolby Laboratories, Inc. | 1,022 | 48,903 | ||||||
DSP Group, Inc. (1) | 3,139 | 33,305 | ||||||
Eastman Kodak Co. (1) | 544 | 8,748 | ||||||
eBay, Inc. (1) | 183,200 | 4,288,712 | ||||||
EchoStar Corp. (1) | 907 | 36,008 | ||||||
Electro Rent Corp. | 2,598 | 40,035 | ||||||
Electro Scientific Industries, Inc. (1) | 4,014 | 23,442 | ||||||
EMCORE Corp. (1) | 3,991 | 23,707 | ||||||
EnerNOC, Inc. (1) | 601 | 3,798 | ||||||
Entegris, Inc. (1) | 448,629 | 6,491,662 | ||||||
Epiq Systems, Inc. | 2,307 | 33,682 | ||||||
ePlus, Inc. (1) | 286 | 23,392 | ||||||
EVERTEC, Inc. | 1,891 | 29,386 | ||||||
Everyday Health, Inc. (1) | 2,901 | 22,860 | ||||||
Exar Corp. (1) | 5,198 | 41,844 | ||||||
Fairchild Semiconductor International, Inc. (1) | 11,363 | 225,556 | ||||||
FARO Technologies, Inc. (1) | 1,915 | 64,784 | ||||||
Fidelity National Information Services, Inc. | 347,942 | 25,636,367 | ||||||
Finisar Corp. (1) | 17,187 | 300,944 | ||||||
FireEye, Inc. (1) | 2,311 | 38,062 | ||||||
First Data Corp. (1) | 611,625 | 6,770,689 | ||||||
First Solar, Inc. (1) | 1,516 | 73,496 | ||||||
Fiserv, Inc. (1) | 61,250 | 6,659,712 | ||||||
Fitbit, Inc. (1) | 459 | 5,609 | ||||||
Flextronics International Ltd. (1) | 406,149 | 4,792,558 | ||||||
FLIR Systems, Inc. | 2,736 | 84,679 | ||||||
FormFactor, Inc. (1) | 4,326 | 38,891 |
GigPeak, Inc. (1) | 6,364 | 12,473 | ||||||
Global Payments, Inc. | 114,050 | 8,140,889 | ||||||
Global Sources Ltd. (1) | 1,156 | 10,601 | ||||||
Glu Mobile, Inc. (1) | 16,393 | 36,065 | ||||||
Harmonic, Inc. (1) | 11,896 | 33,904 | ||||||
Harris Corp. | 113,174 | 9,443,239 | ||||||
Higher One Holdings, Inc. (1) | 5,036 | 25,734 | ||||||
II-VI, Inc. (1) | 6,674 | 125,204 | ||||||
Immersion Corp. (1) | 2,996 | 21,991 | ||||||
Infinera Corp. (1) | 6,617 | 74,640 | ||||||
Ingram Micro, Inc. | 2,906 | 101,071 | ||||||
Insight Enterprises, Inc. (1) | 5,737 | 149,162 | ||||||
InterActiveCorp | 79,772 | 4,491,164 | ||||||
Intersil Corp. | 20,832 | 282,065 | ||||||
Intralinks Holdings, Inc. (1) | 6,002 | 39,013 | ||||||
InvenSense, Inc. (1) | 12,788 | 78,390 | ||||||
IPG Photonics Corp. (1) | 111 | 8,880 | ||||||
Itron, Inc. (1) | 76,400 | 3,292,840 | ||||||
Ixia (1) | 9,949 | 97,699 | ||||||
IXYS Corp. | 3,863 | 39,596 | ||||||
Jabil Circuit, Inc. | 119,837 | 2,213,389 | ||||||
Juniper Networks, Inc. | 7,470 | 168,000 | ||||||
Keysight Technologies, Inc. (1) | 3,430 | 99,779 | ||||||
Kimball Electronics, Inc. (1) | 4,191 | 52,178 | ||||||
Knowles Corp. (1) | 13,796 | 188,729 | ||||||
Kopin Corp. (1) | 9,452 | 20,983 | ||||||
KVH Industries, Inc. (1) | 2,341 | 18,026 | ||||||
Lam Research Corp. | 647 | 54,387 | ||||||
Leidos Holdings, Inc. | 1,316 | 62,997 | ||||||
Lexmark International, Inc. | 1,241 | 46,848 | ||||||
Limelight Networks, Inc. (1) | 11,753 | 17,512 | ||||||
Linear Technology Corp. | 2,529 | 117,674 | ||||||
Liquidity Services, Inc. (1) | 4,008 | 31,423 | ||||||
Littelfuse, Inc. | 70,220 | 8,299,302 | ||||||
MACOM Technology Solutions Holdings, Inc. (1) | 157,420 | 5,191,712 | ||||||
Mantech International Corp. | 3,911 | 147,914 | ||||||
Marchex, Inc. (1) | 5,941 | 18,892 |
Marvell Technology Group Ltd. | 8,109 | 77,279 | ||||||
Maxwell Technologies, Inc. (1) | 4,852 | 25,619 | ||||||
MeetMe, Inc. (1) | 853 | 4,546 | ||||||
Mentor Graphics Corp. | 241,489 | 5,134,056 | ||||||
Methode Electronics, Inc. | 105,524 | 3,612,087 | ||||||
Micron Technology, Inc. (1) | 402,905 | 5,543,973 | ||||||
Microsemi Corp. (1) | 158,525 | 5,180,597 | ||||||
MicroStrategy, Inc. (1) | 711 | 124,439 | ||||||
MKS Instruments, Inc. | 195,150 | 8,403,159 | ||||||
MoneyGram International, Inc. (1) | 4,882 | 33,442 | ||||||
Monster Worldwide, Inc. (1) | 14,696 | 35,123 | ||||||
Motorola Solutions, Inc. | 3,108 | 205,035 | ||||||
MTS Systems Corp. | 196 | 8,593 | ||||||
Multi-Fineline Electronix, Inc. (1) | 1,487 | 34,498 | ||||||
Nanometrics, Inc. (1) | 720 | 14,969 | ||||||
National Instruments Corp. | 442 | 12,111 | ||||||
NCI, Inc. | 969 | 13,614 | ||||||
NCR Corp. (1) | 192,800 | 5,354,056 | ||||||
NeoPhotonics Corp. (1) | 4,191 | 39,940 | ||||||
NetApp, Inc. | 5,792 | 142,425 | ||||||
NetEase, Inc. ADR | 29,080 | 5,618,838 | ||||||
NETGEAR, Inc. (1) | 1,714 | 81,484 | ||||||
NetScout Systems, Inc. (1) | 191,389 | 4,258,405 | ||||||
NeuStar, Inc. (1) | 177 | 4,161 | ||||||
Novanta, Inc. (1) | 3,661 | 55,464 | ||||||
Nuance Communications, Inc. (1) | 1,091 | 17,052 | ||||||
Numerex Corp. (1) | 1,635 | 12,246 | ||||||
NVE Corp. | 414 | 24,281 | ||||||
Oclaro, Inc. (1) | 2,192 | 10,697 | ||||||
ON Semiconductor Corp. (1) | 166,543 | 1,468,909 | ||||||
OSI Systems, Inc. (1) | 2,728 | 158,579 | ||||||
Pandora Media, Inc. (1) | 638 | 7,943 | ||||||
Park Electrochemical Corp. | 2,943 | 42,762 | ||||||
PC Connection, Inc. | 1,741 | 41,436 | ||||||
PDF Solutions, Inc. (1) | 408 | 5,708 | ||||||
Perficient, Inc. (1) | 1,634 | 33,187 | ||||||
PFSweb, Inc. (1) | 269 | 2,555 |
Photronics, Inc. (1) | 10,026 | 89,332 | ||||||
Plexus Corp. (1) | 5,195 | 224,424 | ||||||
Polycom, Inc. (1) | 21,234 | 238,882 | ||||||
Progress Software Corp. (1) | 6,792 | 186,508 | ||||||
PTC, Inc. (1) | 1,267 | 47,614 | ||||||
QAD, Inc. | 1,512 | 29,136 | ||||||
QLogic Corp. (1) | 13,054 | 192,416 | ||||||
Qorvo, Inc. (1) | 2,478 | 136,934 | ||||||
QuinStreet, Inc. (1) | 6,117 | 21,715 | ||||||
Rambus, Inc. (1) | 12,631 | 152,582 | ||||||
RealNetworks, Inc. (1) | 3,805 | 16,400 | ||||||
Reis, Inc. | 540 | 13,446 | ||||||
RetailMeNot, Inc. (1) | 6,007 | 46,314 | ||||||
Rightside Group Ltd. (1) | 1,673 | 17,801 | ||||||
Rofin Sinar Technologies, Inc. (1) | 4,197 | 134,052 | ||||||
Rogers Corp. (1) | 1,850 | 113,035 | ||||||
Rosetta Stone, Inc. (1) | 774 | 5,998 | ||||||
Rovi Corp. (1) | 7,409 | 115,877 | ||||||
Rubicon Project, Inc. (1) | 3,606 | 49,222 | ||||||
Rudolph Technologies, Inc. (1) | 4,647 | 72,168 | ||||||
Sabre Corp. | 248,450 | 6,655,976 | ||||||
Sanmina Corp. (1) | 11,452 | 307,028 | ||||||
ScanSource, Inc. (1) | 3,928 | 145,768 | ||||||
SecureWorks Corp. (1) | 631 | 8,897 | ||||||
ServiceSource International, Inc. (1) | 3,819 | 15,391 | ||||||
ShoreTel, Inc. (1) | 8,002 | 53,533 | ||||||
Sigma Designs, Inc. (1) | 5,569 | 35,809 | ||||||
Silicom Ltd. | 634 | 18,957 | ||||||
Silicon Graphics International Corp. (1) | 995 | 5,005 | ||||||
Silver Spring Networks, Inc. (1) | 387 | 4,702 | ||||||
Skyworks Solutions, Inc. | 310 | 19,617 | ||||||
Sonus Networks, Inc. (1) | 6,451 | 56,059 | ||||||
SS&C Technologies Holdings, Inc. | 282 | 7,919 | ||||||
Stratasys Ltd. (1) | 4,055 | 92,819 | ||||||
SunPower Corp. (1) | 1,151 | 17,829 | ||||||
Super Micro Computer, Inc. (1) | 4,745 | 117,913 | ||||||
Sykes Enterprises, Inc. (1) | 6,146 | 177,988 |
Symantec Corp. | 10,543 | 216,553 | ||||||
SYNNEX Corp. | 4,600 | 436,172 | ||||||
Synopsys, Inc. (1) | 2,742 | 148,287 | ||||||
Tangoe, Inc. (1) | 4,412 | 34,061 | ||||||
TE Connectivity Ltd. | 70,172 | 4,007,523 | ||||||
Tech Data Corp. (1) | 5,482 | 393,882 | ||||||
TechTarget, Inc. (1) | 1,938 | 15,698 | ||||||
Telenav, Inc. (1) | 5,272 | 26,887 | ||||||
TeleTech Holdings, Inc. | 202,866 | 5,503,755 | ||||||
Teradyne, Inc. | 4,065 | 80,040 | ||||||
Tessera Technologies, Inc. | 2,621 | 80,307 | ||||||
Total System Services, Inc. | 110,213 | 5,853,412 | ||||||
Trimble Navigation Ltd. (1) | 1,057 | 25,749 | ||||||
TTM Technologies, Inc. (1) | 11,345 | 85,428 | ||||||
Twitter, Inc. (1) | 1,480 | 25,027 | ||||||
Ultra Clean Holdings, Inc. (1) | 5,197 | 29,571 | ||||||
Ultratech, Inc. (1) | 3,105 | 71,322 | ||||||
Unisys Corp. (1) | 2,853 | 20,770 | ||||||
United Online, Inc. (1) | 2,234 | 24,574 | ||||||
USA Technologies, Inc. (1) | 997 | 4,257 | ||||||
VASCO Data Security International, Inc. (1) | 518 | 8,490 | ||||||
Veeco Instruments, Inc. (1) | 6,193 | 102,556 | ||||||
Verint Systems, Inc. (1) | 9,909 | 328,285 | ||||||
ViaSat, Inc. (1) | 923 | 65,902 | ||||||
Viavi Solutions, Inc. (1) | 36,606 | 242,698 | ||||||
Vishay Intertechnology, Inc. | 21,268 | 263,511 | ||||||
Vishay Precision Group, Inc. (1) | 1,798 | 24,129 | ||||||
Western Digital Corp. | 58,185 | 2,749,843 | ||||||
Xcerra Corp. (1) | 8,168 | 46,966 | ||||||
Xerox Corp. | 20,147 | 191,195 | ||||||
Xilinx, Inc. | 3,472 | 160,163 | ||||||
Yelp, Inc. (1) | 316 | 9,594 | ||||||
Zebra Technologies Corp. (1) | 189 | 9,469 | ||||||
Zillow Group, Inc. - Class A (1) | 309 | 11,325 | ||||||
Zillow Group, Inc. - Class C (1) | 650 | 23,582 | ||||||
Zynga, Inc. (1) | 14,567 | 36,272 | ||||||
|
| |||||||
261,981,375 | ||||||||
|
|
Materials - 6.63% | ||||||||
A. Schulman, Inc. | 4,497 | 109,817 | ||||||
AgroFresh Solutions, Inc. (1) | 3,428 | 18,203 | ||||||
AK Steel Holding Corp. (1) | 37,296 | 173,799 | ||||||
Albemarle Corp. | 2,248 | 178,289 | ||||||
Alcoa, Inc. | 26,394 | 244,672 | ||||||
Allegheny Technologies, Inc. | 17,504 | 223,176 | ||||||
American Vanguard Corp. (1) | 4,388 | 66,303 | ||||||
Ampco-Pittsburgh Corp. | 1,334 | 15,088 | ||||||
AptarGroup, Inc. | 930 | 73,591 | ||||||
Ashland, Inc. | 1,242 | 142,544 | ||||||
Avery Dennison Corp. | 152,474 | 11,397,431 | ||||||
Axiall Corp. | 11,296 | 368,363 | ||||||
Bemis, Inc. | 1,608 | 82,796 | ||||||
Berry Plastics Group, Inc. (1) | 96,020 | 3,730,377 | ||||||
Boise Cascade Co. (1) | 992 | 22,766 | ||||||
Cabot Corp. | 1,230 | 56,162 | ||||||
Calgon Carbon Corp. | 7,819 | 102,820 | ||||||
Carpenter Technology Corp. | 88,414 | 2,911,473 | ||||||
Celanese Corp. | 2,691 | 176,126 | ||||||
Century Aluminum Co. (1) | 7,607 | 48,152 | ||||||
CF Industries Holdings, Inc. | 66,452 | 1,601,493 | ||||||
Chemours Co. | 4,845 | 39,923 | ||||||
Chemtura Corp. (1) | 4,894 | 129,104 | ||||||
Cliffs Natural Resources, Inc. (1) | 27,964 | 158,556 | ||||||
Coeur Mining, Inc. (1) | 6,335 | 67,531 | ||||||
Commercial Metals Co. | 18,190 | 307,411 | ||||||
Compass Minerals International, Inc. | 674 | 50,004 | ||||||
Constellium (1) | 1,039,475 | 4,875,138 | ||||||
Crown Holdings, Inc. (1) | 294,610 | 14,927,889 | ||||||
Domtar Corp. | 1,240 | 43,412 | ||||||
Eagle Materials, Inc. | 69,699 | 5,377,278 | ||||||
Eastman Chemical Co. | 2,966 | 201,391 | ||||||
Ferroglobe Plc | �� | 10,423 | 89,742 | |||||
FMC Corp. | 523 | 24,220 | ||||||
Freeport-McMoRan, Inc. | 19,661 | 219,024 | ||||||
FutureFuel Corp. | 3,784 | 41,170 |
GCP Applied Technologies, Inc. (1) | 1,727 | 44,971 | ||||||
Gold Resource Corp. | 1,422 | 5,105 | ||||||
Graphic Packaging Holding Co. | 341,994 | 4,288,605 | ||||||
Greif, Inc. - Class A | 4,065 | 151,503 | ||||||
Greif, Inc. - Class B | 861 | 47,140 | ||||||
Handy & Harman Ltd. (1) | 449 | 11,759 | ||||||
Hawkins, Inc. | 1,139 | 49,444 | ||||||
Haynes International, Inc. | 1,986 | 63,711 | ||||||
HB Fuller Co. | 218,835 | 9,626,552 | ||||||
Hecla Mining Co. | 60,392 | 307,999 | ||||||
Huntsman Corp. | 3,988 | 53,639 | ||||||
Ingevity Corp. (1) | 19,839 | 675,320 | ||||||
Innophos Holdings, Inc. | 341 | 14,394 | ||||||
Innospec, Inc. | 3,701 | 170,209 | ||||||
International Paper Co. | 8,207 | 347,813 | ||||||
Kaiser Aluminum Corp. | 732 | 66,180 | ||||||
KapStone Paper and Packaging Corp. | 12,608 | 164,030 | ||||||
KMG Chemicals, Inc. | 741 | 19,259 | ||||||
Koppers Holdings, Inc. (1) | 676 | 20,773 | ||||||
Kraton Performance Polymers, Inc. (1) | 4,688 | 130,936 | ||||||
Kronos Worldwide, Inc. | 3,701 | 19,430 | ||||||
Louisiana-Pacific Corp. (1) | 1,648 | 28,593 | ||||||
LSB Industries, Inc. (1) | 3,287 | 39,707 | ||||||
Martin Marietta Materials, Inc. | 123 | 23,616 | ||||||
Materion Corp. | 3,262 | 80,767 | ||||||
Methanex Corp. | 61,890 | 1,800,999 | ||||||
Minerals Technologies, Inc. | 99,476 | 5,650,237 | ||||||
NewMarket Corp. | 10 | 4,144 | ||||||
Newmont Mining Corp. | 10,658 | 416,941 | ||||||
Nucor Corp. | 6,379 | 315,186 | ||||||
Olin Corp. | 26,182 | 650,361 | ||||||
Olympic Steel, Inc. | 1,475 | 40,282 | ||||||
OMNOVA Solutions, Inc. (1) | 2,314 | 16,776 | ||||||
Packaging Corporation of America | 197,313 | 13,206,159 | ||||||
PH Glatfelter Co. | 222,406 | 4,350,261 | ||||||
Platform Specialty Products Corp. (1) | 3,297 | 29,277 | ||||||
PPG Industries, Inc. | 31,430 | 3,273,434 |
Quaker Chemical Corp. | 502 | 44,778 | ||||||
Rayonier Advanced Materials, Inc. | 2,696 | 36,639 | ||||||
Reliance Steel & Aluminum Co. | 79,049 | 6,078,868 | ||||||
Royal Gold, Inc. | 1,221 | 87,936 | ||||||
Ryerson Holding Corp. (1) | 1,757 | 30,747 | ||||||
Schnitzer Steel Industries, Inc. | 4,092 | 72,019 | ||||||
Schweitzer-Mauduit International, Inc. | 3,879 | 136,851 | ||||||
Scotts Miracle-Gro Co. | 77 | 5,383 | ||||||
Sealed Air Corp. | 63,950 | 2,939,781 | ||||||
Sensient Technologies Corp. | 36,920 | 2,622,797 | ||||||
Sonoco Products Co. | 1,990 | 98,823 | ||||||
Southern Copper Corp. | 932 | 25,145 | ||||||
Steel Dynamics, Inc. | 163,138 | 3,996,881 | ||||||
Stepan Co. | 2,751 | 163,767 | ||||||
Stillwater Mining Co. (1) | 19,232 | 228,092 | ||||||
SunCoke Energy, Inc. | 10,120 | 58,898 | ||||||
Tahoe Resources, Inc. | 6,065 | 90,793 | ||||||
TerraVia Holdings, Inc. (1) | 11,974 | 31,372 | ||||||
The Mosaic Co. | 114,382 | 2,994,521 | ||||||
The Valspar Corp. | 19,978 | 2,158,223 | ||||||
TimkenSteel Corp. | 6,271 | 60,327 | ||||||
Trecora Resources (1) | 532 | 5,549 | ||||||
Tredegar Corp. | 3,914 | 63,094 | ||||||
Tronox Ltd. | 10,217 | 45,057 | ||||||
UFP Technologies, Inc. (1) | 933 | 21,030 | ||||||
United States Lime & Minerals, Inc. | 325 | 19,172 | ||||||
United States Steel Corp. | 2,728 | 45,994 | ||||||
Valhi, Inc. | 3,539 | 5,556 | ||||||
Vulcan Materials Co. | 187 | 22,507 | ||||||
W.R. Grace & Co. | 631 | 46,196 | ||||||
Westlake Chemical Corp. | 765 | 32,834 | ||||||
WestRock Co. | 197,409 | 7,673,288 | ||||||
|
| |||||||
124,443,664 | ||||||||
|
| |||||||
Telecommunication Services - 0.49% | ||||||||
ATN International, Inc. | 38,731 | 3,013,659 | ||||||
Boingo Wireless, Inc. (1) | 2,449 | 21,845 | ||||||
CenturyLink, Inc. | 10,768 | 312,380 |
Cincinnati Bell, Inc. (1) | 33,405 | 152,661 | ||||||
Consolidated Communications Holdings, Inc. | 2,366 | 64,450 | ||||||
FairPoint Communications, Inc. (1) | 847 | 12,434 | ||||||
Frontier Communications Corp. | 23,419 | 115,690 | ||||||
Globalstar, Inc. (1) | 21,841 | 26,427 | ||||||
Hawaiian Telcom Holdco, Inc. (1) | 1,023 | 21,677 | ||||||
IDT Corp. | 1,142 | 16,205 | ||||||
Intelsat S.A. (1) | 4,906 | 12,657 | ||||||
Iridium Communications, Inc. (1) | 13,624 | 120,981 | ||||||
Level 3 Communications, Inc. (1) | 5,857 | 301,577 | ||||||
Lumos Networks Corp. (1) | 2,689 | 32,537 | ||||||
NII Holdings, Inc. (1) | 8,582 | 27,291 | ||||||
ORBCOMM, Inc. (1) | 866 | 8,617 | ||||||
pdvWireless, Inc. (1) | 1,559 | 33,347 | ||||||
RingCentral, Inc. (1) | 223,425 | 4,405,941 | ||||||
SBA Communications Corp. (1) | 902 | 97,362 | ||||||
Spok Holdings, Inc. | 3,194 | 61,213 | ||||||
Sprint Corp. (1) | 15,124 | 68,512 | ||||||
Telephone & Data Systems, Inc. | 1,908 | 56,591 | ||||||
United States Cellular Corp. (1) | 262 | 10,289 | ||||||
Vonage Holdings Corp. (1) | 27,580 | 168,238 | ||||||
Windstream Holdings, Inc. | 13,270 | 123,013 | ||||||
|
| |||||||
9,285,594 | ||||||||
|
| |||||||
Utilities - 4.23% | ||||||||
AES Corp. | 13,194 | 164,661 | ||||||
AGL Resources, Inc. | 2,418 | 159,515 | ||||||
ALLETE, Inc. | 7,805 | 504,437 | ||||||
Alliant Energy Corp. | 106,888 | 4,243,454 | �� | |||||
Ameren Corp. | 75,977 | 4,070,848 | ||||||
American Electric Power Co., Inc. | 138,116 | 9,680,550 | ||||||
American States Water Co. | 1,934 | 84,748 | ||||||
American Water Works Co., Inc. | 3,576 | 302,208 | ||||||
Aqua America, Inc. | 3,562 | 127,021 | ||||||
Artesian Resources Corp. | 1,072 | 36,362 | ||||||
Atlantic Power Corp. | 19,262 | 47,770 | ||||||
Atlantica Yield Plc | 9,550 | 177,439 | ||||||
Atmos Energy Corp. | 2,036 | 165,568 |
Avangrid, Inc. | 1,114 | 51,311 | ||||||
Avista Corp. | 9,961 | 446,253 | ||||||
Black Hills Corp. | 8,125 | 512,200 | ||||||
California Water Service Group | 3,080 | 107,584 | ||||||
Calpine Corp. (1) | 7,135 | 105,241 | ||||||
CenterPoint Energy, Inc. | 8,668 | 208,032 | ||||||
Chesapeake Utilities Corp. | 2,015 | 133,353 | ||||||
CMS Energy Corp. | 5,580 | 255,899 | ||||||
Connecticut Water Services, Inc. | 1,286 | 72,273 | ||||||
Consolidated Edison, Inc. | 6,105 | 491,086 | ||||||
Consolidated Water Co., Inc. | 2,015 | 26,316 | ||||||
Delta Natural Gas Co, Inc. | 891 | 24,004 | ||||||
DTE Energy Co. | 3,585 | 355,345 | ||||||
Dynegy, Inc. (1) | 18,654 | 321,595 | ||||||
Edison International | 142,436 | 11,063,004 | ||||||
El Paso Electric Co. | 6,289 | 297,281 | ||||||
Empire District Electric Co. | 6,845 | 232,525 | ||||||
Entergy Corp. | 3,570 | 290,419 | ||||||
Eversource Energy | 6,358 | 380,844 | ||||||
FirstEnergy Corp. | 86,324 | 3,013,571 | ||||||
Genie Energy Ltd. | 1,835 | 12,423 | ||||||
Great Plains Energy, Inc. | 169,809 | 5,162,194 | ||||||
Hawaiian Electric Industries, Inc. | 2,145 | 70,335 | ||||||
IDACORP, Inc. | 7,907 | 643,234 | ||||||
ITC Holdings Corp. | 1,547 | 72,431 | ||||||
MDU Resources Group, Inc. | 3,904 | 93,696 | ||||||
MGE Energy, Inc. | 62,930 | 3,556,489 | ||||||
Middlesex Water Co. | 349 | 15,140 | ||||||
National Fuel Gas Co. | 1,497 | 85,149 | ||||||
New Jersey Resources Corp. | 12,396 | 477,866 | ||||||
NiSource, Inc. | 6,451 | 171,081 | ||||||
Northwest Natural Gas Co. | 4,226 | 273,929 | ||||||
NorthWestern Corp. | 7,659 | 483,053 | ||||||
NRG Energy, Inc. | 6,315 | 94,662 | ||||||
NRG Yield, Inc. | 5,671 | 86,313 | ||||||
NRG Yield, Inc. | 9,818 | 153,063 | ||||||
OGE Energy Corp. | 4,016 | 131,524 |
ONE Gas, Inc. | 57,034 | 3,797,894 | ||||||
Ormat Technologies, Inc. | 3,269 | 143,051 | ||||||
Otter Tail Corp. | 5,874 | 196,720 | ||||||
Pattern Energy Group, Inc. | 1,799 | 41,323 | ||||||
PG&E Corp. | 139,496 | 8,916,584 | ||||||
Piedmont Natural Gas Company, Inc. | 1,499 | 90,120 | ||||||
Pinnacle West Capital Corp. | 2,220 | 179,953 | ||||||
PNM Resources, Inc. | 12,615 | 447,076 | ||||||
Portland General Electric Co. | 229,286 | 10,116,098 | ||||||
PPL Corp. | 13,610 | 513,777 | ||||||
Public Service Enterprise Group, Inc. | 10,126 | 471,973 | ||||||
Questar Corp. | 3,558 | 90,266 | ||||||
SCANA Corp. | 2,612 | 197,624 | ||||||
Sempra Energy | 5,007 | 570,898 | ||||||
SJW Corp. | 2,529 | 99,592 | ||||||
South Jersey Industries, Inc. | 12,697 | 401,479 | ||||||
Southwest Gas Corp. | 6,644 | 522,949 | ||||||
Spire, Inc. | 7,049 | 499,351 | ||||||
Talen Energy Corp. (1) | 13,216 | 179,077 | ||||||
TECO Energy, Inc. | 4,706 | 130,074 | ||||||
TerraForm Global, Inc. | 14,387 | 46,902 | ||||||
TerraForm Power, Inc. | 14,080 | 153,472 | ||||||
UGI Corp. | 3,465 | 156,791 | ||||||
Unitil Corp. | 2,191 | 93,490 | ||||||
Vectren Corp. | 1,671 | 88,012 | ||||||
Vivint Solar, Inc. (1) | 3,900 | 11,973 | ||||||
WEC Energy Group, Inc. | 6,343 | 414,198 | ||||||
Westar Energy, Inc. | 2,854 | 160,081 | ||||||
WGL Holdings, Inc. | 7,533 | 533,261 | ||||||
Xcel Energy, Inc. | 10,185 | 456,084 | ||||||
York Water Co. | 186 | 5,959 | ||||||
|
| |||||||
79,461,401 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,788,951,682) | $ | 1,785,666,470 | ||||||
|
|
SHORT-TERM INVESTMENTS - 4.90% | ||||||||
Money Market Funds - 4.90% | ||||||||
Goldman Sachs Financial Square Government Fund - Class I, 0.29% (3) | 46,003,990 | $ | 46,003,990 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 0.30% (3) | 46,003,991 | 46,003,991 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $92,007,981) | $ | 92,007,981 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 100.05% | $ | 1,877,674,451 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.05)% | (930,098 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 1,876,744,353 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depository Receipt |
(1) | Non-income producing security. |
(2) | The price for this security was derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $400 or 0.00% of the Fund’s net assets and is classified as a Level 3 security. |
(3) | Represents annualized seven-day yield as of the close of the reporting period. |
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 Appreciation | ||||||||||||||
1 | E-Mini S&P 500 Index Futures | Morgan Stanley | Sep. 2016 | 99,490 | 104,510 | $ | 5,020 | |||||||||||||
1 | E-Mini S&P 400 Index Futures | Morgan Stanley | Sep. 2016 | 149,193 | 149,300 | 107 | ||||||||||||||
|
| |||||||||||||||||||
$ | 5,127 | |||||||||||||||||||
|
|
Bridge Builder International Equity Fund
Schedule of Investments
June 30, 2016
Shares | Value | |||||||
COMMON STOCKS - 94.78% | ||||||||
Australia - 2.93% | ||||||||
Adelaide Brighton Ltd. | 5,906 | $ | 24,765 | |||||
AGL Energy | 6,352 | 92,251 | ||||||
Alumina Ltd. | 3,922,776 | 3,855,976 | ||||||
Amcor Ltd. | 11,715 | 131,719 | ||||||
AMP Ltd. | 29,027 | 113,124 | ||||||
Ansell Ltd. | 1,148 | 15,712 | ||||||
APA Group | 9,672 | 67,272 | ||||||
Aristocrat Leisure Ltd. | 7,074 | 73,591 | ||||||
Asciano Ltd. | 5,564 | 36,916 | ||||||
ASX Ltd. | 2,111 | 72,683 | ||||||
Aurizon Holdings Ltd. | 18,344 | 66,557 | ||||||
AusNet Services | 14,559 | 17,931 | ||||||
Australia & New Zealand Banking Group Ltd. | 27,707 | 504,824 | ||||||
Bank of Queensland Ltd. | 4,475 | 35,703 | ||||||
Bendigo & Adelaide Bank Ltd. | 4,363 | 31,590 | ||||||
BHP Billiton Ltd. | 30,524 | 425,390 | ||||||
BHP Billiton Plc | 20,598 | 260,709 | ||||||
Boral Ltd. | 6,259 | 29,385 | ||||||
Brambles Ltd. | 811,331 | 7,574,915 | ||||||
Caltex Australia Ltd. | 2,721 | 65,603 | ||||||
Challenger Ltd. | 4,299 | 28,086 | ||||||
CIMIC Group Ltd. | 858 | 23,164 | ||||||
Coca-Cola Amatil Ltd. | 4,404 | 27,186 | ||||||
Cochlear Ltd. | 184,986 | 16,878,039 | ||||||
Commonwealth Bank of Australia | 16,129 | 905,325 | ||||||
Computershare Ltd. | 4,486 | 31,020 | ||||||
Crown Resorts Ltd. | 3,861 | 36,724 | ||||||
CSL Ltd. | 202,185 | 17,050,807 | ||||||
Dexus Property Group | 8,334 | 56,552 | ||||||
Domino’s Pizza Enterprises Ltd | 470 | 24,185 |
DUET Group | 26,221 | 49,180 | ||||||
Flight Centre Travel Group Ltd. | 722 | 17,177 | ||||||
Fortescue Metals Group Ltd. | 15,653 | 41,888 | ||||||
Goodman Group | 16,483 | 88,407 | ||||||
GPT Group | 16,503 | 67,112 | ||||||
Harvey Norman Holdings Ltd. | 6,617 | 23,024 | ||||||
Healthscope Ltd. | 7,762 | 16,703 | ||||||
Iluka Resources Ltd. | 5,124 | 25,261 | ||||||
Incitec Pivot Ltd. | 14,842 | 33,340 | ||||||
Insurance Australia Group Ltd. | 24,083 | 99,205 | ||||||
LendLease Group | 5,510 | 52,340 | ||||||
Macquarie Group Ltd. | 3,057 | 159,131 | ||||||
Magellan Financial Group Ltd. | 1,329 | 22,402 | ||||||
Medibank Private Ltd. | 23,943 | 53,095 | ||||||
Mesoblast Ltd. (1) | 589,686 | 479,224 | ||||||
Mirvac Group | 39,885 | 60,659 | ||||||
National Australia Bank Ltd. | 25,779 | 494,943 | ||||||
Newcrest Mining Ltd. (1) | 7,104 | 123,126 | ||||||
Orica Ltd. | 3,305 | 30,745 | ||||||
Origin Energy Ltd. | 17,304 | 75,604 | ||||||
Platinum Asset Management Ltd. | 856 | 3,718 | ||||||
Qantas Airways Ltd. | 5,767 | 12,216 | ||||||
QBE Insurance Group Ltd. | 807,417 | 6,378,284 | ||||||
Ramsay Health Care Ltd. | 1,143 | 61,774 | ||||||
REA Group Ltd. | 408 | 18,310 | ||||||
Santos Ltd. | 17,644 | 62,456 | ||||||
Scentre Group | 49,610 | 183,754 | ||||||
Seek Ltd. | 589,378 | 6,765,860 | ||||||
Sonic Healthcare Ltd. | 3,914 | 63,474 | ||||||
South32 Ltd. (1) | 46,208 | 54,192 | ||||||
Stockland | 22,133 | 78,473 | ||||||
Suncorp Group Ltd. | 12,936 | 118,622 | ||||||
Sydney Airport | 8,120 | 42,400 | ||||||
Tabcorp Holdings Ltd. | 10,010 | 34,482 | ||||||
Tatts Group Ltd. | 13,549 | 38,990 | ||||||
Telstra Corp Ltd. | 39,983 | 167,119 | ||||||
The Star Entertainment Group | 6,617 | 26,963 |
TPG Telecom Ltd. | 2,256 | 20,229 | ||||||
Transurban Group | 18,525 | 166,851 | ||||||
Treasury Wine Estates Ltd. | 827,326 | 5,748,992 | ||||||
Vicinity Centres | 33,276 | 83,019 | ||||||
Vocus Communications Ltd. (4) | 4,675 | 30,054 | ||||||
Washington H Soul Pattinson & Co. Ltd. | 922 | 11,718 | ||||||
Wesfarmers Ltd. | 10,784 | 325,212 | ||||||
Westfield Corp. | 19,050 | 153,023 | ||||||
Westpac Banking Corp. | 32,290 | 716,050 | ||||||
Woodside Petroleum Ltd. | 7,377 | 149,586 | ||||||
Woolworths Ltd. | 11,722 | 184,370 | ||||||
|
| |||||||
72,270,461 | ||||||||
|
| |||||||
Austria - 0.01% | ||||||||
ams AG | 421 | 11,688 | ||||||
Andritz AG | 838 | 39,736 | ||||||
Erste Group Bank AG | 2,500 | 56,920 | ||||||
EVN AG | 179 | 2,038 | ||||||
IMMOFINANZ AG (1) | 7,476 | 16,037 | ||||||
Mayr Melnhof Karton AG | 35 | 3,796 | ||||||
Oesterreichische Post AG | 268 | 8,655 | ||||||
OMV AG | 1,683 | 47,310 | ||||||
Raiffeisen Bank International AG (1) | 1,113 | 14,060 | ||||||
Strabag SE | 363 | 10,952 | ||||||
UNIQA Insurance Group AG | 1,331 | 7,994 | ||||||
Verbund AG | 1,000 | 14,103 | ||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 538 | 10,218 | ||||||
voestalpine AG | 809 | 27,227 | ||||||
|
| |||||||
270,734 | ||||||||
|
| |||||||
Belgium - 0.55% | ||||||||
Ackermans | 151 | 18,527 | ||||||
Ageas | 1,830 | 63,610 | ||||||
Anheuser-Busch InBev SA/NV | 96,212 | 12,722,786 | ||||||
Bekaert SA | 529 | 23,043 | ||||||
bpost SA | 990 | 25,343 | ||||||
Cie d’Entreprises CFE | 200 | 18,202 | ||||||
Colruyt SA | 534 | 29,551 | ||||||
Delhaize Group | 932 | 98,452 |
D’ieteren SA/NV | 471 | 20,465 | ||||||
Elia System Operator SA/NV | 356 | 19,903 | ||||||
Financiere de Tubize SA | 192 | 11,919 | ||||||
Galapagos NV (1) | 460 | 25,278 | ||||||
Groupe Bruxelles Lambert SA | 648 | 53,140 | ||||||
KBC Ancora (1) | 426 | 13,944 | ||||||
KBC Groep NV (1) | 2,681 | 131,854 | ||||||
Proximus | 1,399 | 44,458 | ||||||
Sofina SA | 212 | 28,060 | ||||||
Solvay SA | 626 | 58,474 | ||||||
Telenet Group Holding NV (1) | 439 | 20,074 | ||||||
UCB SA | 1,120 | 84,098 | ||||||
Umicore SA | 866 | 44,733 | ||||||
|
| |||||||
13,555,914 | ||||||||
|
| |||||||
Bermuda - 0.24% | ||||||||
Hiscox Ltd. | 2,725 | 37,625 | ||||||
Lazard Ltd. | 196,442 | 5,850,043 | ||||||
|
| |||||||
5,887,668 | ||||||||
|
| |||||||
Brazil - 0.83% | ||||||||
Ambev SA - ADR | 1,835,760 | 10,849,342 | ||||||
Kroton Educacional SA | 2,253,260 | 9,518,643 | ||||||
|
| |||||||
20,367,985 | ||||||||
|
| |||||||
Canada - 1.87% | ||||||||
Cameco Corp. | 957,462 | 10,503,358 | ||||||
Canadian Pacific Railway Ltd. | 102,298 | 13,174,959 | ||||||
Constellation Software, Inc. (1) | 22,806 | 8,826,370 | ||||||
Lululemon Athletica, Inc. (1) | 185,370 | 13,691,428 | ||||||
|
| |||||||
46,196,115 | ||||||||
|
| |||||||
Chile - 0.00% (3) | ||||||||
Antofagasta Plc | 3,046 | 19,047 | ||||||
|
| |||||||
China - 4.11% | ||||||||
AAC Technologies Holdings, Inc. | 6,500 | 55,569 | ||||||
Alibaba Group Holding Ltd. - ADR (1) | 222,206 | 17,672,043 | ||||||
Baidu, Inc. - ADR (1) | 132,271 | 21,844,556 | ||||||
China Mengniu Dairy Co Ltd. | 27,000 | 47,234 | ||||||
Ctrip.com International Ltd. - ADR (1) | 337,484 | 13,904,341 | ||||||
JD.com, Inc. - ADR (1) | 200,894 | 4,264,980 |
Lenovo Group Ltd. | 13,436,000 | 8,166,861 | ||||||
Minth Group Ltd | 8,000 | 25,912 | ||||||
Semiconductor Manufacturing International Corp. (1) | 351,000 | 28,273 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd. | 4,998,373 | 2,864,165 | ||||||
Tencent Holdings Ltd. | 1,221,956 | 28,031,271 | ||||||
Tingyi Cayman Islands Holding Corp. | 28,000 | 26,588 | ||||||
Tsingtao Brewery Co. Ltd. | 1,257,000 | 4,370,149 | ||||||
Want Want China Holdings Ltd. | 68,000 | 48,139 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 42,800 | 28,706 | ||||||
|
| |||||||
101,378,787 | ||||||||
|
| |||||||
Curacao - 0.00% (3) | ||||||||
HAL Trust | 174 | 33,090 | ||||||
|
| |||||||
Denmark - 3.41% | ||||||||
A.P. Moller-Maersk A/S - Class A | 38 | 47,894 | ||||||
A.P. Moller-Maersk A/S - Class B | 41 | 53,552 | ||||||
Carlsberg A/S | 110,598 | 10,551,933 | ||||||
CHR Hansen Holding A/S | 155,989 | 10,244,627 | ||||||
Coloplast A/S | 155,226 | 11,619,383 | ||||||
Danske Bank A/S | 7,433 | 195,640 | ||||||
Dfds A/S | 527 | 23,132 | ||||||
DSV A/S | 1,777 | 74,720 | ||||||
FLSmidth & Co. A/S | 724 | 25,853 | ||||||
Genmab A/S (1) | 579 | 105,579 | ||||||
GN Store Nord A/S | 1,694 | 30,601 | ||||||
H Lundbeck A/S (1) | 604 | 22,642 | ||||||
ISS A/S | 2,016 | 75,823 | ||||||
Jyske Bank A/S | 512 | 19,437 | ||||||
Novo Nordisk A/S - ADR | 276,782 | 14,885,336 | ||||||
Novo Nordisk A/S - Class B | 335,161 | 18,049,391 | ||||||
Novozymes A/S | 368,593 | 17,700,163 | ||||||
Pandora A/S | 1,053 | 143,418 | ||||||
Rockwool International A/S | 72 | 13,028 | ||||||
TDC A/S | 8,492 | 41,615 | ||||||
Topdanmark A/S (1) | 723 | 17,231 | ||||||
Tryg A/S | 907 | 16,239 | ||||||
Vestas Wind Systems A/S | 2,083 | 141,580 | ||||||
William Demant Holding A/S (1) | 850 | 16,546 | ||||||
|
| |||||||
84,115,363 | ||||||||
|
|
Finland - 0.99% | ||||||||
Amer Sports Corp. | 970 | 26,612 | ||||||
Cargotec OYJ | 378 | 15,406 | ||||||
Elisa OYJ | 1,392 | 53,485 | ||||||
Fortum OYJ | 4,344 | 69,793 | ||||||
Huhtamaki OYJ | 845 | 35,068 | ||||||
Kesko OYJ - Class A | 322 | 12,706 | ||||||
Kesko OYJ - Class B | 641 | 27,221 | ||||||
Kone OYJ | 170,261 | 7,857,638 | ||||||
Metso OYJ | 667 | 15,681 | ||||||
Neste OYJ | 1,019 | 36,540 | ||||||
Nokia OYJ | 2,753,846 | 15,684,435 | ||||||
Nokian Renkaat OYJ | 975 | 34,946 | ||||||
Orion OYJ - Class A | 396 | 14,930 | ||||||
Orion OYJ - Class B | 991 | 38,481 | ||||||
Outokumpu OYJ (1) | 3,749 | 15,760 | ||||||
Sampo OYJ | 4,509 | 184,402 | ||||||
Stora Enso OYJ | 5,682 | 45,695 | ||||||
UPM-Kymmene OYJ | 5,231 | 96,098 | ||||||
Wartsila OYJ Abp | 1,239 | 50,553 | ||||||
|
| |||||||
24,315,450 | ||||||||
|
| |||||||
France - 5.23% | ||||||||
Accor SA | 278,917 | 10,687,070 | ||||||
Aeroports de Paris | 270 | 29,584 | ||||||
Air France-KLM (1) | 2,486 | 15,689 | ||||||
Air Liquide SA | 3,293 | 343,072 | ||||||
Airbus Group SE | 5,397 | 309,357 | ||||||
Alstom (1) | 1,125 | 25,975 | ||||||
Altran Technologies SA | 1,683 | 22,295 | ||||||
Amundi (Acquired 12/18/2015, $14,450) (2) | 299 | 12,424 | ||||||
Arkema SA | 670 | 51,224 | ||||||
Atos SE | 801 | 66,042 | ||||||
AXA SA | 18,454 | 364,885 | ||||||
BioMerieux | 127 | 17,208 | ||||||
BNP Paribas SA | 245,285 | 10,757,149 | ||||||
Bollore SA | 7,819 | 26,323 |
Bouygues SA | 1,903 | 54,518 | ||||||
Bureau Veritas SA | 2,445 | 51,333 | ||||||
Capgemini SA | 1,651 | 142,470 | ||||||
Carrefour SA | 5,678 | 139,655 | ||||||
Casino Guichard Perrachon SA | 483 | 26,811 | ||||||
Christian Dior SE | 480 | 76,892 | ||||||
Cie de Saint-Gobain | 227,761 | 8,633,454 | ||||||
CNP Assurances | 1,479 | 21,821 | ||||||
Credit Agricole SA | 10,448 | 87,836 | ||||||
Criteo SA - ADR (1) | 554 | 25,440 | ||||||
Danone SA | 130,612 | 9,140,611 | ||||||
Dassault Aviation SA | 22 | 21,800 | ||||||
Dassault Systemes | 1,129 | 85,122 | ||||||
Edenred | 2,115 | 43,307 | ||||||
Eiffage SA | 364 | 25,877 | ||||||
Electricite de France SA | 2,887 | 35,006 | ||||||
Elior (Acquired 07/29/2015, $12,737) (2) | 640 | 13,887 | ||||||
Engie | 14,255 | 228,889 | ||||||
Essilor International SA | 85,262 | 11,205,956 | ||||||
Euler Hermes Group | 137 | 11,377 | ||||||
Eurazeo SA | 489 | 29,010 | ||||||
Eutelsat Communications SA | 1,373 | 25,916 | ||||||
Faurecia | 616 | 19,557 | ||||||
Financiere de L’Odet | 13 | 10,456 | ||||||
Fonciere Des Regions | 282 | 24,925 | ||||||
Gecina SA | 318 | 43,073 | ||||||
Groupe Eurotunnel SE | 5,315 | 56,141 | ||||||
Havas SA | 1,496 | 11,538 | ||||||
Hermes International | 20,668 | 7,704,614 | ||||||
ICADE | 375 | 26,351 | ||||||
Iliad SA | 237 | 47,842 | ||||||
Imerys SA | 238 | 15,186 | ||||||
Ingenico Group | 505 | 58,532 | ||||||
Ipsen SA | 255 | 15,624 | ||||||
JCDecaux SA | 705 | 23,770 | ||||||
Kering | 759 | 122,186 | ||||||
Klepierre | 2,024 | 89,310 |
Korian SA | 517 | 16,705 | ||||||
Legrand SA | 101,611 | 5,201,626 | ||||||
L’Oreal SA | 2,261 | 432,878 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 59,481 | 8,965,892 | ||||||
Mercialys SA | 485 | 10,326 | ||||||
Metropole Television SA | 777 | 12,918 | ||||||
Natixis SA | 7,929 | 29,836 | ||||||
Nexity SA | 462 | 23,371 | ||||||
Numericable-SFR SAS | 791 | 19,767 | ||||||
Orange SA | 17,605 | 286,267 | ||||||
Orpea | 499 | 40,917 | ||||||
Pernod Ricard SA | 2,136 | 236,491 | ||||||
Peugeot SA (1) | 4,123 | 49,419 | ||||||
Plastic Omnium SA | 678 | 18,954 | ||||||
Publicis Groupe SA | 1,740 | 116,411 | ||||||
Remy Cointreau SA | 206 | 17,733 | ||||||
Renault SA | 1,600 | 120,797 | ||||||
Rexel SA | 2,941 | 36,976 | ||||||
Safran SA | 108,718 | 7,321,298 | ||||||
Sanofi | 338,821 | 28,150,295 | ||||||
Sartorius Stedim Biotech | 198 | 13,352 | ||||||
Schneider Electric SE | 5,307 | 309,615 | ||||||
SCOR SE | 1,549 | 45,796 | ||||||
SEB SA | 234 | 28,215 | ||||||
Societe BIC SA | 231 | 32,547 | ||||||
Societe Generale SA | 6,889 | 215,530 | ||||||
Sodexo SA | 849 | 90,953 | ||||||
Sopra Steria Group | 192 | 19,790 | ||||||
SPIE SA | 563 | 10,008 | ||||||
Suez Environnement Co. | 3,789 | 59,099 | ||||||
Technicolor SA | 3,623 | 22,436 | ||||||
Technip SA | 1,046 | 56,615 | ||||||
Teleperformance | 485 | 41,313 | ||||||
Television Francaise 1 | 666 | 7,053 | ||||||
Thales SA | 986 | 81,882 | ||||||
Total S.A. | 307,762 | 14,759,106 | ||||||
UBISOFT Entertainment (1) | 652 | 23,753 |
Unibail-Rodamco SE | 941 | 243,432 | ||||||
Valeo SA | 2,139 | 94,959 | ||||||
Veolia Environnement SA | 4,313 | 93,138 | ||||||
Vicat | 22 | 1,239 | ||||||
Vinci SA | 4,350 | 306,967 | ||||||
Vivendi SA | 11,525 | 215,619 | ||||||
Wendel SA | 291 | 30,085 | ||||||
Worldline SA (Acquired 06/08/2016, $11,580) (1)(2) | 380 | 11,053 | ||||||
Zodiac Aerospace | 1,983 | 46,261 | ||||||
|
| |||||||
129,093,083 | ||||||||
|
| |||||||
Germany - 5.88% | ||||||||
Adidas AG | 86,000 | 12,345,289 | ||||||
Allianz SE | 52,488 | 7,487,837 | ||||||
Aurubis AG | 630 | 28,648 | ||||||
Axel Springer SE | 423 | 22,209 | ||||||
BASF SE | 8,723 | 668,872 | ||||||
Bayer AG | 136,937 | 13,753,314 | ||||||
Bayer Motoren Werke AG | 3,123 | 227,278 | ||||||
Bayer Motoren Werke AG - Preference | 445 | 28,367 | ||||||
Beiersdorf AG | 43,740 | 4,141,083 | ||||||
Bilfinger SE (1) | 226 | 6,624 | ||||||
Brenntag AG | 185,918 | 9,006,271 | ||||||
Commerzbank AG | 1,392,529 | 9,068,680 | ||||||
Continental AG | 970 | 183,551 | ||||||
Covestro AG (Acquired 12/18/2015, $29,713) (2) | 800 | 35,632 | ||||||
CTS Eventim AG & Co. KGaA | 365 | 11,158 | ||||||
Daimler AG | 126,390 | 7,563,000 | ||||||
Deutsche Bank AG (1) | 12,656 | 174,946 | ||||||
Deutsche Boerse AG | 1,731 | 142,211 | ||||||
Deutsche Lufthansa AG | 1,528 | 17,966 | ||||||
Deutsche Post AG | 9,279 | 261,414 | ||||||
Deutsche Telekom AG | 470,689 | 8,026,352 | ||||||
Deutsche Wohnen AG | 3,044 | 103,643 | ||||||
Duerr AG | 141 | 10,706 | ||||||
E.ON SE | 1,291,882 | 13,041,370 | ||||||
Evonik Industries AG | 1,170 | 34,876 | ||||||
Fielmann AG | 200 | 14,628 |
Fraport AG Frankfurt Airport Services Worldwide | 235 | 12,582 | ||||||
Freenet AG | 1,091 | 28,097 | ||||||
Fresenius Medical Care AG & Co. KGaA | 178,111 | 15,514,681 | ||||||
Fresenius SE & Co. KGaA | 3,663 | 269,149 | ||||||
FUCHS PETROLUB SE | 308 | 11,081 | ||||||
FUCHS PETROLUB SE - Preferred | 604 | 23,762 | ||||||
GEA Group AG | 1,813 | 85,576 | ||||||
GRENKE AG | 129 | 22,529 | ||||||
Hannover Rueck SE | 635 | 66,534 | ||||||
HeidelbergCement AG | 1,278 | 96,275 | ||||||
Hella KGaA Hueck & Co. | 66 | 2,118 | ||||||
Henkel AG & Co. KGaA | 1,189 | 128,612 | ||||||
Henkel AG & Co. KGaA - Preference | 1,657 | 202,504 | ||||||
HOCHTIEF AG | 155 | 20,012 | ||||||
HUGO BOSS AG | 655 | 37,238 | ||||||
Infineon Technologies AG | 1,049,158 | 15,188,109 | ||||||
Jungheinrich AG | 450 | 13,544 | ||||||
K&S AG | 1,800 | 36,850 | ||||||
KION Group AG | 367 | 17,788 | ||||||
Krones AG | 117 | 12,359 | ||||||
KUKA AG | 252 | 29,890 | ||||||
LANXESS AG | 745 | 32,686 | ||||||
LEG Immobilien AG | 545 | 50,995 | ||||||
Linde AG | 1,807 | 251,782 | ||||||
MAN SE | 324 | 33,067 | ||||||
Merck KGaA | 1,290 | 131,120 | ||||||
METRO AG | 1,588 | 48,841 | ||||||
MTU Aero Engines AG | 540 | 50,451 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,477 | 247,687 | ||||||
Nordex SE (1) | 804 | 22,822 | ||||||
OSRAM Licht AG | 877 | 45,566 | ||||||
Porsche Automobil Holding SE | 1,330 | 61,475 | ||||||
ProSiebenSat.1 Media SE | 1,905 | 83,329 | ||||||
Rational AG | 29 | 13,421 | ||||||
Rheinmetall AG | 452 | 26,885 | ||||||
RHOEN-KLINIKUM AG | 801 | 23,447 | ||||||
RWE AG (1) | 350,980 | 5,589,452 |
Salzgitter AG | 464 | 12,268 | ||||||
SAP SE | 161,062 | 12,096,640 | ||||||
Sartorius AG | 296 | 21,872 | ||||||
Schaeffler AG | 611 | 8,070 | ||||||
Scout24 AG (Acquired 06/08/2016, $12,381) (1)(2) | 286 | 10,631 | ||||||
Siemens AG | 7,391 | 758,477 | ||||||
Software AG | 751 | 25,536 | ||||||
STADA Arzneimittel AG | 786 | 40,736 | ||||||
Stroeer SE & Co KGaA | 460 | 21,160 | ||||||
Suedzucker AG | 1,169 | 25,748 | ||||||
Symrise AG | 1,026 | 69,985 | ||||||
Talanx AG | 381 | 11,347 | ||||||
Telefonica Deutschland Holding AG | 3,646 | 15,018 | ||||||
ThyssenKrupp AG | 3,227 | 64,864 | ||||||
United Internet AG | 1,050 | 43,648 | ||||||
Volkswagen AG | 260 | 34,467 | ||||||
Vonovia SE | 4,272 | 155,988 | ||||||
Wacker Chemie AG | 146 | 12,786 | ||||||
Wirecard AG | 1,072 | 47,216 | ||||||
Zalando SE (Acquired 07/15/2015 through 06/08/2016, $8,076,151) (1)(2) | 246,359 | 6,520,270 | ||||||
|
| |||||||
144,934,968 | ||||||||
|
| |||||||
Hong Kong - 2.70% | ||||||||
1st Pacific Co. | 16,000 | 11,616 | ||||||
AIA Group Ltd. | 114,400 | 687,970 | ||||||
ASM Pacific Technology Ltd. | 3,200 | 23,009 | ||||||
Bank Of East Asia Ltd. | 11,200 | 43,313 | ||||||
BOC Hong Kong Holdings Ltd. | 36,500 | 109,987 | ||||||
Brightoil Petroleum Holdings Ltd. | 54,000 | 15,867 | ||||||
Cathay Pacific Airways Ltd. | 8,000 | 11,736 | ||||||
Champion REIT | 21,000 | 11,896 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 6,000 | 51,732 | ||||||
Cheung Kong Property Holdings Ltd. | 28,000 | 176,418 | ||||||
China Mobile Ltd. | 642,500 | 7,423,583 | ||||||
Chinese Estates Holdings Ltd. | 5,000 | 10,625 | ||||||
CK Hutchison Holdings Ltd. | 1,317,500 | 14,493,108 | ||||||
CLP Holdings Ltd. | 14,500 | 148,120 | ||||||
Dah Sing Banking Group Ltd | 6,400 | 11,898 |
Dairy Farm International Holdings Ltd. | 3,300 | 22,277 | ||||||
Galaxy Entertainment Group Ltd. | 4,789,000 | 14,328,784 | ||||||
Guoco Group Ltd. | 3,000 | 31,772 | ||||||
GUOTAI JUNAN International | 50,000 | 17,187 | ||||||
Haitong International Securities | 18,000 | 10,930 | ||||||
Hang Lung Group Ltd. | 6,000 | 18,077 | ||||||
Hang Lung Properties Ltd. | 20,000 | 40,406 | ||||||
Hang Seng Bank Ltd. | 6,600 | 113,209 | ||||||
Henderson Land Development Co. Ltd. | 9,900 | 55,923 | ||||||
HK Electric Investments & HK Electric Investments Ltd. (Acquired 07/24/2015, 13,939) (2) | 20,000 | 18,662 | ||||||
Hong Kong & China Gas Co. Ltd. | 76,100 | 139,051 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 11,300 | 275,331 | ||||||
Hongkong & Shanghai Hotels Ltd/The | 11,500 | 11,677 | ||||||
Hongkong Land Holdings Ltd. | 10,700 | 65,487 | ||||||
Hopewell Holdings Ltd. | 3,500 | 11,129 | ||||||
Hysan Development Co. Ltd. | 6,000 | 26,757 | ||||||
Jardine Matheson Holdings Ltd. | 196,800 | 11,505,660 | ||||||
Jardine Strategic Holdings Ltd. | 2,200 | 66,594 | ||||||
Johnson Electric Holdings | 3,500 | 7,833 | ||||||
Kingston Financial Group Ltd. (1) | 26,000 | 11,781 | ||||||
Li & Fung Ltd. | 54,000 | 26,184 | ||||||
Lifestyle International Holdings Ltd. | 7,500 | 12,605 | ||||||
Link Real Estate Investment Trust | 23,000 | 157,279 | ||||||
Melco Crown Entertainment Ltd. - ADR | 2,046 | 25,739 | ||||||
Melco International Development Ltd. | 11,000 | 10,318 | ||||||
MTR Corp. Ltd. | 12,000 | 60,879 | ||||||
New World Development Co. Ltd. | 61,000 | 62,120 | ||||||
NWS Holdings Ltd. | 16,000 | 25,326 | ||||||
PAX Global Technology Ltd. | 2,813,000 | 2,476,214 | ||||||
PCCW Ltd. | 46,000 | 30,910 | ||||||
Power Assets Holdings Ltd. | 13,500 | 124,126 | ||||||
Shangri-La Asia Ltd. | 24,000 | 24,096 | ||||||
Sino Land Co. Ltd. | 28,000 | 46,102 | ||||||
SJM Holdings Ltd. | 14,000 | 8,572 | ||||||
Sun Art Retail Group Ltd. | 38,000 | 26,721 | ||||||
Sun Hung Kai Properties Ltd. | 17,000 | 205,171 | ||||||
Swire Pacific Ltd. - Class A | 1,144,500 | 12,934,263 |
Swire Pacific Ltd. - Class B | 7,500 | 14,865 | ||||||
Swire Properties Ltd. | 10,400 | 27,710 | ||||||
Techtronic Industries Co. Ltd. | 11,500 | 48,024 | ||||||
Value Partners Group Ltd. | 11,000 | 10,186 | ||||||
VTech Holdings Ltd. | 2,000 | 21,085 | ||||||
WH Group Ltd. (Acquired 07/21/2015 through 07/23/2015, $30,792) (2) | 43,500 | 34,452 | ||||||
Wharf Holdings Ltd. | 13,000 | 79,333 | ||||||
Wheelock & Co. Ltd. | 8,000 | 37,581 | ||||||
Xinyi Automobile Glass Hong Kong Enterprises Ltd. (1)(4) | 2,000 | 161 | ||||||
Xinyi Glass Holdings Ltd. | 16,000 | 11,835 | ||||||
Yue Yuen Industrial Holdings Ltd. | 6,500 | 25,762 | ||||||
|
| |||||||
66,577,024 | ||||||||
|
| |||||||
India - 0.86% | ||||||||
HDFC Bank Ltd. - ADR | 171,492 | 11,378,494 | ||||||
Mahindra & Mahindra Ltd. - GDR | 455,770 | 9,708,286 | ||||||
|
| |||||||
21,086,780 | ||||||||
|
| |||||||
Indonesia - 0.49% | ||||||||
Bank Mandiri Persero Tbk PT | 16,713,800 | 12,095,027 | ||||||
|
| |||||||
Ireland - 2.28% | ||||||||
Accenture Plc | 62,333 | 7,061,705 | ||||||
AerCap Holdings NV (1) | 1,817 | 61,033 | ||||||
Bank Of Ireland (1) | 226,729 | 46,740 | ||||||
CRH Plc | 8,037 | 234,202 | ||||||
DCC Plc | 849 | 74,712 | ||||||
Experian Plc | 596,392 | 11,314,846 | ||||||
Glanbia Plc | 1,441 | 27,127 | ||||||
ICON Plc (1) | 140,612 | 9,844,246 | ||||||
James Hardie Industries Plc | 4,087 | 63,297 | ||||||
Jazz Pharmaceuticals Plc (1) | 541 | 76,449 | ||||||
Kerry Group Plc | 1,294 | 114,764 | ||||||
Kingspan Group Plc | 1,249 | 27,029 | ||||||
Medtronic Plc | 155,510 | 13,493,603 | ||||||
Paddy Power Plc | 680 | 71,466 | ||||||
Perrigo Co. Plc | 71,040 | 6,441,197 | ||||||
Ryanair Holdings Plc - ADR | 103,763 | 7,215,679 | ||||||
Smurfit Kappa Group Plc | 2,500 | 55,046 | ||||||
|
| |||||||
56,223,141 | ||||||||
|
|
Isle of Man - 0.00% (3) | ||||||||
Paysafe Group Plc (1) | 4,391 | 22,902 | ||||||
Playtech Plc | 2,147 | 22,841 | ||||||
|
| |||||||
45,743 | ||||||||
|
| |||||||
Israel - 0.04% | ||||||||
Azrieli Group | 323 | 13,735 | ||||||
Bank Hapoalim BM | 8,105 | 40,832 | ||||||
Bank Leumi Le-Israel BM (1) | 12,021 | 42,208 | ||||||
Bezeq The Israeli telecommunication Corp Ltd. | 23,888 | 47,320 | ||||||
Check Point Software Technologies Ltd. (1) | 1,269 | 101,114 | ||||||
Delek Group Ltd. | 43 | 8,371 | ||||||
Elbit Systems Ltd. | 171 | 15,485 | ||||||
Frutarom Industries Ltd. | 521 | 24,053 | ||||||
Israel Chemicals Ltd. | 4,562 | 17,774 | ||||||
Mizrahi Tefahot Bank Ltd. | 1,386 | 15,982 | ||||||
Mobileye NV (1) | 1,748 | 80,653 | ||||||
NICE-Systems Ltd. | 395 | 25,135 | ||||||
Taro Pharmaceutical Industries Ltd. (1) | 140 | 20,384 | ||||||
Teva Pharmaceutical Industries Ltd. | 9,641 | 487,933 | ||||||
|
| |||||||
940,979 | ||||||||
|
| |||||||
Italy - 0.55% | ||||||||
A2A SpA | 13,647 | 17,895 | ||||||
Assicurazioni Generali SpA | 11,733 | 138,361 | ||||||
Atlantia SpA | 5,060 | 126,424 | ||||||
Autogrill SpA | 1,039 | 8,400 | ||||||
Azimut Holding SpA | 787 | 12,841 | ||||||
Banca Generali SpA | 440 | 8,819 | ||||||
Banca Mediolanum | 2,784 | 19,108 | ||||||
Banca Monte Dei Paschi di Siena SpA (1) | 21,068 | 8,977 | ||||||
Banca Popolare dell’Emilia Romagna SC | 5,137 | 18,860 | ||||||
Banca Popolare di Milano Scarl | 37,362 | 15,359 | ||||||
Banco Popolare SC | 8,012 | 19,223 | ||||||
Brembo SpA | 411 | 22,640 | ||||||
Buzzi Unicem SpA | 831 | 14,563 | ||||||
Buzzi Unicem SpA - Savings Share | 2,718 | 27,244 | ||||||
Credito Emiliano SpA | 1,569 | 9,521 | ||||||
Davide Campari-Milano SpA | 2,855 | 28,261 |
De’ Longhi | 333 | 7,935 | ||||||
Enel SpA | 72,807 | 323,224 | ||||||
Eni SpA | 706,169 | 11,374,435 | ||||||
EXOR SpA | 1,270 | 46,883 | ||||||
Ferrari NV | 500 | 20,465 | ||||||
Ferrari NV | 1,073 | 44,049 | ||||||
FinecoBank Banca Fineco SpA | 1,363 | 8,902 | ||||||
Hera SpA | 7,611 | 20,773 | ||||||
Infrastrutture Wireless Italiane SpA (Acquired 12/18/2015, $10,670) (2) | 1,954 | 8,629 | ||||||
Intesa Sanpaolo SpA | 149,113 | 284,019 | ||||||
Intesa Sanpaolo SpA - Savings Share | 8,341 | 14,932 | ||||||
Italcementi SpA (1) | 2,026 | 23,748 | ||||||
Luxottica Group SpA | 1,431 | 69,744 | ||||||
Mediaset SpA | 4,789 | 16,747 | ||||||
Mediobanca SpA | 6,888 | 39,687 | ||||||
Moncler SpA | 1,304 | 20,587 | ||||||
Parmalat SpA | 2,843 | 7,389 | ||||||
Poste Italiane SpA (Acquired 12/18/2015 through 06/20/2016, $45,192) (2) | 5,837 | 38,757 | ||||||
Prada SpA | 2,900 | �� | 8,981 | |||||
Prysmian SpA | 1,805 | 39,618 | ||||||
Recordati SpA | 800 | 24,064 | ||||||
Saipem SpA (1) | 53,038 | 21,206 | ||||||
Salvatore Ferragamo SpA | 557 | 11,354 | ||||||
Snam SpA | 24,605 | 147,100 | ||||||
Telecom Italia SpA (1) | 102,463 | 84,154 | ||||||
Telecom Italia SpA - Savings Share | 47,720 | 30,702 | ||||||
Terna Rete Elettrica Nazionale SpA | 12,409 | 69,058 | ||||||
Tod’s SpA | 230 | 12,330 | ||||||
UniCredit SpA | 46,878 | 103,097 | ||||||
Unione di Banche Italiane SCpA | 7,853 | 21,687 | ||||||
Unipol Gruppo Finanziario SpA | 4,527 | 10,660 | ||||||
UnipolSai SpA | 9,559 | 14,426 | ||||||
Yoox Net-A-Porter Group SpA (1) | 897 | 20,818 | ||||||
|
| |||||||
13,486,656 | ||||||||
|
| |||||||
Japan - 18.38% | ||||||||
ABC-Mart, Inc. | 400 | 26,845 | ||||||
Acom Co. Ltd. | 6,400 | 31,005 |
Activia Properties, Inc. | 5 | 26,427 | ||||||
Advance Residence Investment Corp. | 13 | 34,839 | ||||||
Advantest Corp. | 1,400 | 15,618 | ||||||
Aeon Co. Ltd. | 6,300 | 97,817 | ||||||
Aeon Financial Service Co. Ltd. | 600 | 12,992 | ||||||
Aeon Mall Co. Ltd. | 500 | 6,542 | ||||||
Air Water, Inc. | 1,000 | 14,714 | ||||||
Aisin Seiki Co. | 1,800 | 73,320 | ||||||
Ajinomoto Co., Inc. | 4,000 | 94,244 | ||||||
Alfresa Holdings Corp. | 1,500 | 31,338 | ||||||
Alps Electric Co. | 1,600 | 30,397 | ||||||
Amada Holdings Co. | 3,500 | 35,532 | ||||||
ANA Holdings, Inc. | 10,000 | 28,496 | ||||||
Aozora Bank | 11,000 | 38,159 | ||||||
Asahi Glass Co. Ltd. | 10,000 | 54,269 | ||||||
Asahi Group Holdings Ltd. | 259,300 | 8,384,415 | ||||||
Asahi Intecc Co. Ltd. | 500 | 24,433 | ||||||
Asahi Kasei Corp. | 11,000 | 76,549 | ||||||
Asics Corp. | 1,800 | 30,411 | ||||||
Astellas Pharma, Inc. | 17,200 | 269,736 | ||||||
Bandai Namco Holdings | 1,800 | 46,452 | ||||||
Bank of Kyoto Ltd. | 2,000 | 12,267 | ||||||
Benesse Holdings, Inc. | 500 | 11,738 | ||||||
Bridgestone Corp. | 6,700 | 215,318 | ||||||
Brother Industries Ltd. | 1,600 | 17,162 | ||||||
Calbee, Inc. | 700 | 29,285 | ||||||
Canon, Inc. | 331,900 | 9,475,814 | ||||||
Casio Computer Co. Ltd. | 2,200 | 31,680 | ||||||
Central Japan Railway Co. | 1,500 | 266,795 | ||||||
Century Tokyo Leasing Corp. | 400 | 12,945 | ||||||
Chiba Bank Ltd. | 6,000 | 28,355 | ||||||
Chiyoda Corp | 2,000 | 13,226 | ||||||
Chubu Electric Power Co., Inc. | 6,000 | 85,386 | ||||||
Chugai Pharmaceutical Co. Ltd. | 2,000 | 71,276 | ||||||
Chugoku Bank Ltd. | 1,900 | 19,386 | ||||||
Chugoku Electric Power Co., Inc. | 3,500 | 44,496 | ||||||
Citizen Holdings Co. Ltd. | 1,900 | 9,248 |
Coca-Cola West Co. Ltd. | 900 | 25,453 | ||||||
Concordia Financial Group Ltd | 11,000 | 42,481 | ||||||
Cosmos Pharmaceutical Corp. | 100 | 20,149 | ||||||
Credit Saison Co. Ltd. | 1,600 | 26,878 | ||||||
CyberAgent, Inc. | 400 | 24,212 | ||||||
CYBERDYNE, Inc. | 800 | 18,032 | ||||||
Dai Nippon Printing Co. Ltd. | 4,000 | 44,580 | ||||||
Daicel Corp. | 2,200 | 22,797 | ||||||
Daihatsu Motor Co. Ltd. | 1,100 | 14,329 | ||||||
Dai-ichi Life Insurance Co. Ltd. | 9,300 | 104,108 | ||||||
Daiichi Sankyo Co. Ltd. | 5,500 | 133,623 | ||||||
Daikin Industries Ltd. | 2,200 | 184,898 | ||||||
Daito Trust Construction Co. Ltd. | 50,100 | 8,134,355 | ||||||
Daiwa House Industry Co. Ltd. | 4,900 | 143,898 | ||||||
Daiwa Office Investment Corp. | 4 | 23,687 | ||||||
Daiwa Securities Group, Inc. | 14,000 | 73,757 | ||||||
DeNA Co. Ltd. | 1,300 | 30,412 | ||||||
Denso Corp. | 161,400 | 5,678,912 | ||||||
Dentsu, Inc. | 2,200 | 103,127 | ||||||
Disco Corp. | 300 | 27,132 | ||||||
Don Quijote Holdings Co. Ltd. | 1,000 | 37,163 | ||||||
East Japan Railway Co. | 205,600 | 19,053,637 | ||||||
Eisai Co. Ltd. | 2,100 | 117,256 | ||||||
Electric Power Development Co. Ltd. | 1,100 | 25,628 | ||||||
Ezaki Glico Co. Ltd. | 600 | 35,100 | ||||||
FamilyMart Co. Ltd. | 500 | 30,471 | ||||||
FANUC Corp. | 1,800 | 292,812 | ||||||
Fast Retailing Co. Ltd. | 500 | 134,240 | ||||||
Fuji Electric Co. Ltd. | 7,000 | 29,145 | ||||||
Fuji Heavy Industries Ltd. | 5,300 | 182,179 | ||||||
FUJIFILM Holdings Corp. | 3,800 | 147,442 | ||||||
Fujitsu Ltd. | 16,000 | 58,837 | ||||||
Fukuoka Financial Group, Inc. | 5,000 | 16,486 | ||||||
GLP J-Reit | 20 | 25,245 | ||||||
GungHo Online Entertainment, Inc. | 6,300 | 17,071 | ||||||
Gunma Bank Ltd. | 2,000 | 7,263 | ||||||
Hachijuni Bank Ltd. | 3,000 | 13,066 |
Hakuhodo DY Holdings, Inc. | 2,700 | 32,362 | ||||||
Hamamatsu Photonics KK | 1,400 | 39,283 | ||||||
Hankyu Hanshin Holdings, Inc. | 11,000 | 82,022 | ||||||
Haseko Corp. | 2,000 | 20,136 | ||||||
Hikari Tsushin, Inc. | 200 | 16,755 | ||||||
Hino Motors Ltd. | 1,900 | 18,924 | ||||||
Hirose Electric Co. Ltd. | 300 | 36,890 | ||||||
Hiroshima Bank Ltd. | 3,000 | 10,024 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 500 | 28,831 | ||||||
Hitachi Capital Corp. | 500 | 9,923 | ||||||
Hitachi Chemical Co. Ltd. | 700 | 13,073 | ||||||
Hitachi Construction Machinery Co. Ltd. | 800 | 11,677 | ||||||
Hitachi High-Technologies Corp. | 600 | 16,421 | ||||||
Hitachi Ltd. | 46,000 | 192,733 | ||||||
Hitachi Metals Ltd. | 2,000 | 20,318 | ||||||
Hokuriku Electric Power Co. | 2,000 | 24,782 | ||||||
Honda Motor Co. Ltd. | 467,800 | 11,734,887 | ||||||
Hoshizaki Electric Co. Ltd. | 500 | 48,947 | ||||||
Hoya Corp. | 3,600 | 128,578 | ||||||
Hulic Co. Ltd. | 2,600 | 27,398 | ||||||
Ibiden Co. Ltd. | 800 | 9,045 | ||||||
Idemitsu Kosan Co. Ltd. | 700 | 15,197 | ||||||
IHI Corp. | 13,000 | 35,041 | ||||||
Iida Group Holdings Co. Ltd. | 1,400 | 28,671 | ||||||
Inpex Corp. | 8,700 | 68,039 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 3,200 | 28,483 | ||||||
Isuzu Motors Ltd. | 5,700 | 70,207 | ||||||
Ito En Ltd | 600 | 23,243 | ||||||
ITOCHU Corp. | 12,500 | 152,915 | ||||||
Itochu Techno-Solutions Corp. | 600 | 12,926 | ||||||
Iyo Bank Ltd. | 1,500 | 9,187 | ||||||
Izumi Co Ltd. | 300 | 11,687 | ||||||
J Front Retailing Co. Ltd. | 1,500 | 15,553 | ||||||
Japan Airport Terminal Co. Ltd. | 200 | 7,256 | ||||||
Japan Exchange Group, Inc. | 589,900 | 6,791,799 | ||||||
Japan Hotel REIT Investment Corp. | 27 | 22,768 | ||||||
Japan Post Bank Co. | 4,200 | 49,386 |
Japan Post Holdings Co. | 4,900 | 59,610 | ||||||
Japan Post Insurance Co., Ltd. | 500 | 10,268 | ||||||
Japan Prime Realty Investment Corp. | 6 | 25,747 | ||||||
Japan Real Estate Investment Corp. | 13 | 80,295 | ||||||
Japan Retail Fund Investment Corp. | 22 | 56,176 | ||||||
Japan Tobacco, Inc. | 751,300 | 30,279,046 | ||||||
JFE Holdings, Inc. | 4,800 | 62,617 | ||||||
JGC Corp. | 2,000 | 28,631 | ||||||
Joyo Bank Ltd. | 5,000 | 18,692 | ||||||
JSR Corp. | 1,500 | 19,865 | ||||||
JTEKT Corp. | 1,200 | 13,601 | ||||||
JX Holdings, Inc. | 20,300 | 79,237 | ||||||
Kajima Corp. | 8,000 | 55,574 | ||||||
Kakaku.com, Inc. | 401,200 | 7,971,718 | ||||||
Kaken Pharmaceutical Co. Ltd. | 500 | 32,781 | ||||||
Kamigumi Co. Ltd. | 1,000 | 9,243 | ||||||
Kaneka Corp. | 2,000 | 13,344 | ||||||
Kansai Electric Power Co., Inc. | 6,100 | 59,409 | ||||||
Kansai Paint Co. Ltd. | 2,000 | 40,379 | ||||||
Kao Corp. | 318,400 | 18,544,303 | ||||||
Kawasaki Heavy Industries Ltd. | 12,000 | 33,836 | ||||||
KDDI Corp. | 15,700 | 477,433 | ||||||
Keihan Electric Railway Co. Ltd. | 5,000 | 34,647 | ||||||
Keikyu Corp. | 5,000 | 50,315 | ||||||
Keio Corp. | 4,000 | 37,731 | ||||||
Keisei Electric Railway Co. Ltd. | 2,000 | 25,780 | ||||||
Kewpie Corp. | 1,000 | 31,897 | ||||||
Keyence Corp. | 18,557 | 12,661,971 | ||||||
Kikkoman Corp. | 1,000 | 36,900 | ||||||
Kintetsu Group Holdings Co. Ltd. | 16,000 | 68,471 | ||||||
Kirin Holdings Co. Ltd. | 7,700 | 129,869 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 800 | 35,526 | ||||||
Kobe Steel Ltd. | 19,000 | 15,616 | ||||||
Koito Manufacturing Co. Ltd. | 900 | 41,440 | ||||||
Komatsu Ltd. | 8,100 | 140,711 | ||||||
Konami Holdings Corp. | 1,000 | 38,150 | ||||||
Konica Minolta, Inc. | 3,200 | 23,311 |
Kose Corp. | 200 | 16,948 | ||||||
Kubota Corp. | 8,900 | 120,375 | ||||||
Kuraray Co. Ltd. | 2,300 | 27,442 | ||||||
Kurita Water Industries Ltd. | 600 | 13,375 | ||||||
Kyocera Corp. | 3,300 | 157,023 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 2,000 | 34,112 | ||||||
Kyushu Electric Power Co., Inc. | 4,000 | 40,118 | ||||||
Lawson, Inc. | 600 | 47,901 | ||||||
Lion Corp. | 2,000 | 32,999 | ||||||
LIXIL Group Corp. | 1,600 | 26,275 | ||||||
M3, Inc. | 1,700 | 59,330 | ||||||
Mabuchi Motor Co. Ltd. | 400 | 16,942 | ||||||
Makita Corp. | 1,100 | 73,037 | ||||||
Marubeni Corp. | 12,500 | 56,472 | ||||||
Marui Group Co. Ltd. | 2,400 | 32,309 | ||||||
Maruichi Steel Tube Ltd. | 700 | 24,465 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 500 | 24,444 | ||||||
Mazda Motor Corp. | 4,700 | 62,196 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 1,000 | 27,163 | ||||||
Medipal Holdings Corp. | 1,600 | 26,305 | ||||||
MEIJI Holdings Co. Ltd. | 900 | 92,480 | ||||||
Minebea Co Ltd. | 3,600 | 24,458 | ||||||
MISUMI Group, Inc. | 2,600 | 46,942 | ||||||
Mitsubishi Chemical Holdings Corp. | 9,800 | 44,923 | ||||||
Mitsubishi Corp. | 686,100 | 12,080,392 | ||||||
Mitsubishi Electric Corp. | 379,000 | 4,524,637 | ||||||
Mitsubishi Estate Co. Ltd. | 11,000 | 201,771 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 2,000 | 10,434 | ||||||
Mitsubishi Heavy Industries Ltd. | 27,000 | 108,573 | ||||||
Mitsubishi Logistics Corp. | 1,000 | 13,990 | ||||||
Mitsubishi Materials Corp. | 8,000 | 19,155 | ||||||
Mitsubishi Motors Corp. | 5,600 | 25,851 | ||||||
Mitsubishi Tanabe Pharma Corp. | 2,000 | 36,136 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 122,300 | 548,253 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 2,500 | 9,606 | ||||||
Mitsui & Co. Ltd. | 15,700 | 187,414 | ||||||
Mitsui Chemicals, Inc. | 8,000 | 29,398 |
Mitsui Fudosan Co. Ltd. | 8,000 | 183,606 | ||||||
Mitsui OSK Lines Ltd. | 8,000 | 17,012 | ||||||
Mixi, Inc. | 500 | 20,673 | ||||||
Mizuho Financial Group, Inc. | 225,500 | 324,508 | ||||||
MonotaRO Co. Ltd. | 800 | 26,449 | ||||||
MS&AD Insurance Group Holdings, Inc. | 474,000 | 12,281,399 | ||||||
Murata Manufacturing Co. Ltd. | 1,600 | 179,383 | ||||||
Nabtesco Corp. | 1,200 | 28,632 | ||||||
Nagoya Railroad Co. Ltd. | 7,000 | 39,441 | ||||||
Nankai Electric Railway Co. Ltd. | 4,000 | 22,555 | ||||||
NEC Corp. | 25,000 | 58,247 | ||||||
Nexon Co. Ltd. | 1,600 | 23,680 | ||||||
NGK Insulators Ltd. | 2,000 | 40,435 | ||||||
NGK Spark Plug Co. Ltd. | 1,700 | 25,661 | ||||||
NH Foods Ltd. | 2,000 | 48,988 | ||||||
NHK Spring Co. Ltd. | 1,200 | 9,739 | ||||||
Nidec Corp. | 1,900 | 144,634 | ||||||
Nifco Inc/Japan | 500 | 26,216 | ||||||
Nikon Corp. | 2,800 | 37,911 | ||||||
Nintendo Co. Ltd. | 1,000 | 143,699 | ||||||
Nippon Building Fund, Inc. | 14 | 86,241 | ||||||
Nippon Electric Glass Co. Ltd. | 2,000 | 8,349 | ||||||
Nippon Express Co. Ltd. | 8,000 | 36,558 | ||||||
Nippon Paint Holdings Co. Ltd. | 1,400 | 34,610 | ||||||
Nippon Prologis Real Estate Investment Trust, Inc. | 13 | 31,759 | ||||||
Nippon Shinyaku Co Ltd | 500 | 26,218 | ||||||
Nippon Shokubai Co. Ltd. | 200 | 11,503 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 6,500 | 125,838 | ||||||
Nippon Telegraph & Telephone Corp. | 399,800 | 18,748,587 | ||||||
Nippon Yusen KK | 17,000 | 29,907 | ||||||
Nissan Chemical Industries Ltd. | 1,300 | 37,930 | ||||||
Nissan Motor Co. Ltd. | 20,800 | 185,626 | ||||||
Nisshin Seifun Group, Inc. | 2,000 | 32,150 | ||||||
Nissin Foods Holdings Co. Ltd. | 600 | 32,767 | ||||||
Nitori Holdings Co. Ltd. | 700 | 84,899 | ||||||
Nitto Denko Corp. | 1,400 | 88,808 | ||||||
NOK Corp. | 1,300 | 22,107 |
Nomura Holdings, Inc. | 3,074,300 | 10,933,930 | ||||||
Nomura Real Estate Holdings, Inc. | 1,500 | 26,211 | ||||||
Nomura Real Estate Master Fund, Inc. | 26 | 41,101 | ||||||
Nomura Research Institute Ltd. | 1,380 | 50,612 | ||||||
NSK Ltd. | 3,200 | 23,424 | ||||||
NTN Corp. | 2,000 | 5,397 | ||||||
NTT Data Corp. | 1,400 | 66,120 | ||||||
NTT DOCOMO, Inc. | 213,500 | 5,757,785 | ||||||
NTT Urban Development Corp. | 1,600 | 17,201 | ||||||
Obayashi Corp. | 5,600 | 59,623 | ||||||
Obic Co. Ltd. | 600 | 33,028 | ||||||
Odakyu Electric Railway Co. Ltd. | 6,000 | 70,356 | ||||||
Oji Holdings Corp. | 7,000 | 26,873 | ||||||
Olympus Corp. | 237,600 | 8,872,364 | ||||||
Omron Corp. | 428,000 | 13,970,251 | ||||||
Ono Pharmaceutical Co. Ltd. | 3,700 | 161,176 | ||||||
Oracle Corp Japan | 200 | 10,665 | ||||||
Oriental Land Co. Ltd. | 1,600 | 103,599 | ||||||
ORIX Corp. | 11,900 | 153,992 | ||||||
Orix JREIT, Inc. | 21 | 36,166 | ||||||
Osaka Gas Co. Ltd. | 18,000 | 69,201 | ||||||
Otsuka Corp. | 400 | 18,705 | ||||||
Otsuka Holdings Co. Ltd. | 3,600 | 165,898 | ||||||
Panasonic Corp. | 1,888,700 | 16,249,507 | ||||||
Park24 Co. Ltd. | 1,100 | 37,801 | ||||||
PeptiDream, Inc. | 400 | 23,924 | ||||||
Pigeon Corp. | 337,700 | 10,095,360 | ||||||
Pola Orbis Holdings, Inc. | 200 | 18,822 | ||||||
Rakuten, Inc. | 851,500 | 9,241,617 | ||||||
Recruit Holdings Co. Ltd. | 2,300 | 84,028 | ||||||
Renesas Electronics Corp. | 1,700 | 9,723 | ||||||
Resona Holdings, Inc. | 19,900 | 72,733 | ||||||
Ricoh Co. Ltd. | 6,800 | 58,946 | ||||||
Rinnai Corp. | 300 | 26,509 | ||||||
Rohm Co. Ltd. | 800 | 31,576 | ||||||
Ryohin Keikaku Co. Ltd. | 200 | 48,740 | ||||||
Sankyo Co. Ltd. | 300 | 11,248 |
Santen Pharmaceutical Co. Ltd. | �� | 3,400 | 53,438 | |||||
Sawai Pharmaceutical Co. Ltd. | 300 | 23,256 | ||||||
SBI Holdings, Inc. | 1,900 | 18,920 | ||||||
SCSK Corp. | 700 | 26,222 | ||||||
Secom Co. Ltd. | 1,700 | 125,686 | ||||||
Sega Sammy Holdings, Inc. | 1,500 | 16,155 | ||||||
Seibu Holdings, Inc. | 2,600 | 44,037 | ||||||
Seiko Epson Corp. | 3,000 | 48,095 | ||||||
Sekisui Chemical Co. Ltd. | 3,100 | 38,194 | ||||||
Sekisui House Ltd. | 771,400 | 13,508,822 | ||||||
Seven & i Holdings Co. Ltd. | 7,100 | 297,690 | ||||||
Seven Bank Ltd. | 5,200 | 16,140 | ||||||
Sharp Corp. | 7,000 | 7,580 | ||||||
Shikoku Electric Power Co., Inc. | 1,400 | 16,584 | ||||||
Shimadzu Corp. | 2,000 | 30,067 | ||||||
Shimamura Co. Ltd. | 300 | 44,636 | ||||||
Shimano, Inc. | 93,000 | 14,219,474 | ||||||
Shimizu Corp. | 6,000 | 56,214 | ||||||
Shin-Etsu Chemical Co. Ltd. | 3,500 | 205,060 | ||||||
Shinsei Bank Ltd. | 20,000 | 29,140 | ||||||
Shionogi & Co. Ltd. | 2,600 | 142,132 | ||||||
Shiseido Co. Ltd. | 409,800 | 10,678,471 | ||||||
Shizuoka Bank Ltd. | 4,000 | 28,170 | ||||||
Showa Shell Sekiyu KK | 1,500 | 14,000 | ||||||
SMC Corp. | 22,000 | 5,412,576 | ||||||
SoftBank Group Corp. | 8,200 | 463,727 | ||||||
Sohgo Security Services Co. Ltd. | 800 | 39,548 | ||||||
Sojitz Corp. | 10,800 | 25,591 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 3,100 | 82,498 | ||||||
Sony Corp. | 12,000 | 353,544 | ||||||
Sony Financial Holdings, Inc. | 1,100 | 12,438 | ||||||
Sosei Group Corp. | 200 | 37,248 | ||||||
Sotetsu Holdings, Inc. | 4,000 | 22,465 | ||||||
Square Enix Holdings Co. Ltd. | 700 | 22,724 | ||||||
Stanley Electric Co. Ltd. | 1,300 | 27,763 | ||||||
Start Today Co. Ltd. | 500 | 26,429 | ||||||
Sugi Holdings Co. Ltd. | 81,700 | 4,555,420 |
Sumco Corp. | 900 | 5,766 | ||||||
Sumitomo Chemical Co. Ltd. | 12,000 | 49,513 | ||||||
Sumitomo Corp. | 9,900 | 99,791 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 1,100 | 19,066 | ||||||
Sumitomo Electric Industries Ltd. | 968,300 | 12,815,880 | ||||||
Sumitomo Heavy Industries Ltd. | 5,000 | 21,964 | ||||||
Sumitomo Metal Mining Co. Ltd. | 5,000 | 50,862 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 520,400 | 15,026,581 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 5,158,000 | 16,783,167 | ||||||
Sumitomo Realty & Development Co. Ltd. | 4,000 | 108,469 | ||||||
Sumitomo Rubber Industries Ltd. | 1,400 | 18,743 | ||||||
Sundrug Co. Ltd. | 400 | 37,558 | ||||||
Suntory Beverage & Food Ltd. | 1,400 | 63,352 | ||||||
Suruga Bank Ltd. | 320,900 | 7,252,069 | ||||||
Suzuken Co. Ltd. | 700 | 22,033 | ||||||
Suzuki Motor Corp. | 3,700 | 100,188 | ||||||
Sysmex Corp. | 133,655 | 9,203,280 | ||||||
T&D Holdings, Inc. | 4,800 | 40,762 | ||||||
Taiheiyo Cement Corp. | 11,000 | 26,054 | ||||||
Taisei Corp. | 11,000 | 90,384 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 400 | 42,092 | ||||||
Taiyo Nippon Sanso Corp. | 2,800 | 25,735 | ||||||
Takashimaya Co. Ltd. | 1,424,000 | 10,199,464 | ||||||
Takeda Pharmaceutical Co. Ltd. | 291,600 | 12,576,180 | ||||||
TDK Corp. | 1,000 | 55,976 | ||||||
Teijin Ltd. | 7,000 | 23,195 | ||||||
Temp Holdings Co. Ltd. | 1,500 | 25,989 | ||||||
Terumo Corp. | 2,700 | 115,223 | ||||||
THK Co. Ltd. | 377,500 | 6,434,267 | ||||||
Tobu Railway Co. Ltd. | 8,000 | 43,908 | ||||||
Toho Co. Ltd. | 1,000 | 27,691 | ||||||
Toho Gas Co. Ltd. | 4,000 | 32,731 | ||||||
Tohoku Electric Power Co., Inc. | 4,300 | 54,268 | ||||||
Tokio Marine Holdings, Inc. | 285,400 | 9,501,276 | ||||||
Tokyo Electric Power Co., Inc. | 13,000 | 55,056 | ||||||
Tokyo Electron Ltd. | 1,500 | 126,763 | ||||||
Tokyo Gas Co. Ltd. | 19,000 | 78,446 |
Tokyo Tatemono Co. Ltd. | 1,300 | 15,590 | ||||||
Tokyu Corp. | 9,000 | 79,017 | ||||||
Tokyu Fudosan Holdings Corp. | 5,500 | 34,312 | ||||||
TonenGeneral Sekiyu KK | 3,000 | 27,329 | ||||||
Toppan Printing Co. Ltd. | 4,000 | 34,395 | ||||||
Toray Industries, Inc. | 12,000 | 102,395 | ||||||
Toshiba Corp. | 33,000 | 89,892 | ||||||
Tosoh Corp. | 6,000 | 27,676 | ||||||
TOTO Ltd. | 1,400 | 55,943 | ||||||
Toyo Seikan Group Holdings Ltd. | 1,300 | 24,840 | ||||||
Toyo Suisan Kaisha Ltd. | 800 | 32,450 | ||||||
Toyoda Gosei Co Ltd. | 600 | 10,686 | ||||||
Toyota Boshoku Corp. | 800 | 16,700 | ||||||
Toyota Industries Corp. | 1,500 | 59,640 | ||||||
Toyota Motor Corp. | 287,100 | 14,153,610 | ||||||
Toyota Tsusho Corp. | 1,700 | 36,600 | ||||||
Trend Micro, Inc. | 800 | 28,611 | ||||||
Tsuruha Holdings, Inc. | 300 | 36,327 | ||||||
Unicharm Corp. | 3,500 | 78,637 | ||||||
United Urban Investment Corp. | 33 | 59,445 | ||||||
USS Co. Ltd. | 2,500 | 41,316 | ||||||
Welcia Holdings Co. Ltd. | 400 | 25,289 | ||||||
West Japan Railway Co. | 1,500 | 95,060 | ||||||
Yahoo Japan Corp. | 11,000 | 48,778 | ||||||
Yakult Honsha Co. Ltd. | 1,100 | 57,170 | ||||||
Yamada Denki Co. Ltd. | 6,100 | 32,201 | ||||||
Yamaguchi Financial Group, Inc. | 3,000 | 28,369 | ||||||
Yamaha Corp. | 1,400 | 37,735 | ||||||
Yamaha Motor Co. Ltd. | 713,400 | 10,882,712 | ||||||
Yamato Holdings Co. Ltd. | 3,100 | 71,179 | ||||||
Yamazaki Baking Co. Ltd. | 1,000 | 27,918 | ||||||
Yaskawa Electric Corp. | 1,900 | 24,807 | ||||||
Yokogawa Electric Corp. | 2,000 | 22,554 | ||||||
Yokohama Rubber Co. Ltd. | 700 | 8,779 | ||||||
|
| |||||||
453,484,734 | ||||||||
|
| |||||||
Jersey - 0.01% | ||||||||
Phoenix Group Holdings | 1,892 | 20,322 | ||||||
Randgold Resources Ltd. | 974 | 109,300 | ||||||
|
| |||||||
129,622 | ||||||||
|
|
Luxembourg - 0.01% | ||||||||
APERSAM SA | 338 | 11,832 | ||||||
ArcelorMittal (1) | 15,810 | 72,082 | ||||||
B&M European Value Retail SA | 4,299 | 14,649 | ||||||
Eurofins Scientific SE | 57 | 21,117 | ||||||
L’Occitane International SA | 4,000 | 8,193 | ||||||
Millicom International Cellular SA | 592 | 36,313 | ||||||
Regus Plc | 5,586 | 21,599 | ||||||
RTL Group SA | 396 | 32,341 | ||||||
SES SA | 2,490 | 53,305 | ||||||
Tenaris SA | 4,502 | 65,068 | ||||||
Ternium SA - ADR | 598 | 11,398 | ||||||
|
| |||||||
347,897 | ||||||||
|
| |||||||
Macau - 0.00% (3) | ||||||||
MGM China Holdings Ltd. | 8,000 | 10,446 | ||||||
Sands China Ltd. | 21,600 | 73,092 | ||||||
Wynn Macau Ltd. | 11,200 | 16,230 | ||||||
|
| |||||||
99,768 | ||||||||
|
| |||||||
Malta - 0.00% (3) | ||||||||
Unibet Group Plc | 2,214 | 20,339 | ||||||
|
| |||||||
Mexico - 0.92% | ||||||||
America Movil SAB de CV - ADR | 975,690 | 11,961,960 | ||||||
Wal-Mart de Mexico SAB de CV | 4,469,268 | 10,751,148 | ||||||
|
| |||||||
22,713,108 | ||||||||
|
| |||||||
Netherlands - 3.64% | ||||||||
Aalberts Industries NV | 902 | 27,041 | ||||||
ABN AMRO Group NV (Acquired 04/15/2016, $39,555) (2) | 1,882 | 30,941 | ||||||
Aegon NV | 22,136 | 87,710 | ||||||
Akzo Nobel NV | 2,433 | 151,141 | ||||||
Altice NV - Class A (1) | 2,944 | 43,958 | ||||||
Altice NV - Class B (1) | 1,306 | 19,676 | ||||||
ASM International NV | 359 | 13,857 | ||||||
ASML Holding NV | 3,063 | 301,518 | ||||||
Boskalis Westminster | 892 | 30,438 | ||||||
Core Laboratories NV | 104,659 | 12,966,204 |
Delta Lloyd NV | 3,172 | 11,145 | ||||||
Euronext NV (Acquired 07/21/2015 through 12/04/2015, $22,978) (2) | 496 | 18,196 | ||||||
Gemalto NV | 657 | 39,804 | ||||||
GrandVision NV (Acquired 03/29/2016, $12,220) (2) | 443 | 11,459 | ||||||
Heineken Holding NV | 894 | 72,434 | ||||||
Heineken NV | 2,007 | 184,086 | ||||||
ING Groep NV | 36,762 | 380,338 | ||||||
InterXion Holding NV (1) | 748 | 27,586 | ||||||
Koninklijke Ahold NV | 526,249 | 11,620,982 | ||||||
Koninklijke DSM NV | 1,791 | 103,324 | ||||||
Koninklijke KPN NV | 33,831 | 120,589 | ||||||
Koninklijke Philips NV | 8,961 | 222,559 | ||||||
Koninklijke Vopak NV | 671 | 33,402 | ||||||
NN Group NV | 3,266 | 89,908 | ||||||
NXP Semiconductors NV (1) | 2,832 | 221,859 | ||||||
OCI NV (1) | 590 | 7,993 | ||||||
PostNL NV (1) | 3,337,682 | 13,615,361 | ||||||
QIAGEN (1) | 250,179 | 5,456,404 | ||||||
QIAGEN NV (1) | 186,000 | 4,053,380 | ||||||
Randstad Holding NV | 1,162 | 46,470 | ||||||
Royal Dutch Shell Plc | 383,739 | 10,539,509 | ||||||
Royal Dutch Shell Plc - Class A | 528,039 | 14,484,395 | ||||||
Royal Dutch Shell Plc - Class B | 525,459 | 14,517,761 | ||||||
SBM Offshore NV | 1,161 | 13,455 | ||||||
VimpelCom Ltd. - ADR | 301 | 1,168 | ||||||
Wolters Kluwer NV | 2,970 | 120,259 | ||||||
|
| |||||||
89,686,310 | ||||||||
|
| |||||||
New Zealand - 0.01% | ||||||||
Auckland International Airport Ltd. | 8,068 | 37,531 | ||||||
Contact Energy Ltd. | 8,255 | 30,647 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 5,251 | 37,727 | ||||||
Fletcher Building Ltd. | 5,797 | 35,657 | ||||||
Fonterra Co-operative Group Ltd. | 3,246 | 12,686 | ||||||
Meridian Energy Ltd. | 17,316 | 32,680 | ||||||
Mighty River Power Ltd. | 8,829 | 19,055 | ||||||
Ryman Healthcare Ltd. | 2,638 | 17,608 | ||||||
Spark New Zealand Ltd. | 16,527 | 42,006 | ||||||
|
| |||||||
265,597 | ||||||||
|
|
Norway - 0.17% | ||||||||
DNB ASA | 10,498 | 125,659 | ||||||
Gjensidige Forsikring ASA | 1,495 | 24,908 | ||||||
Kongsberg Gruppen ASA | 48 | 705 | ||||||
Marine Harvest ASA | 2,972 | 50,130 | ||||||
Norsk Hydro ASA | 984,898 | 3,605,545 | ||||||
Orkla ASA | 8,216 | 73,069 | ||||||
Salmar ASA | 793 | 23,598 | ||||||
Schibsted ASA - Class A | 652 | 19,544 | ||||||
Schibsted ASA - Class B | 737 | 21,086 | ||||||
Statoil ASA | 9,741 | 168,310 | ||||||
Telenor ASA | 6,272 | 103,821 | ||||||
Yara International ASA | 1,641 | 52,129 | ||||||
|
| |||||||
4,268,504 | ||||||||
|
| |||||||
Philippines - 0.13% | ||||||||
Puregold Price Club, Inc. | 3,693,700 | 3,309,197 | ||||||
|
| |||||||
Portugal - 0.31% | ||||||||
Banco BPI SA (1) | 10,428 | 12,866 | ||||||
Banco Comercial Portugues SA (1) | 378,074 | 7,659 | ||||||
EDP - Energias de Portugal SA | 20,645 | 63,206 | ||||||
Galp Energia SGPS SA | 2,689 | 37,400 | ||||||
Jeronimo Martins SGPS SA | 477,543 | 7,531,722 | ||||||
NOS SGPS SA | 2,990 | 18,095 | ||||||
Portucel SA | 6,254 | 17,439 | ||||||
Sonae SGPS SA | 6,523 | 5,124 | ||||||
|
| |||||||
7,693,511 | ||||||||
|
| |||||||
Russia - 0.36% | ||||||||
Evraz Plc (1) | 5,290 | 9,723 | ||||||
X5 Retail Group NV - GDR (1) | 619 | 12,412 | ||||||
Yandex NV (1) | 401,467 | 8,772,054 | ||||||
|
| |||||||
8,794,189 | ||||||||
|
| |||||||
Singapore - 1.23% | ||||||||
Ascendas Real Estate Investment Trust | 19,380 | 35,867 | ||||||
CapitaLand Commercial Trust Ltd. | 24,100 | 26,507 | ||||||
CapitaLand Ltd. | 24,500 | 56,251 | ||||||
CapitaLand Mall Trust | 27,600 | 43,885 |
City Developments Ltd. | 6,500 | 39,499 | ||||||
ComfortDelGro Corp. Ltd. | 18,600 | 38,198 | ||||||
DBS Group Holdings Ltd. | 16,600 | 195,729 | ||||||
Frasers Centrepoint Ltd. | 9,500 | 10,819 | ||||||
Genting Singapore Plc | 46,800 | 25,387 | ||||||
Global Logistic Properties Ltd. | 35,100 | 47,387 | ||||||
Great Eastern Holdings Ltd. | 700 | 10,703 | ||||||
Hutchison Port Holdings Trust | 38,800 | 17,754 | ||||||
InterOil Corp. (1) | 413 | 18,585 | ||||||
Jardine Cycle & Carriage Ltd. | 800 | 21,885 | ||||||
Keppel Corp. Ltd. | 16,100 | 66,417 | ||||||
Keppel REIT | 15,300 | 11,968 | ||||||
Neptune Orient Lines Ltd. (1) | 22,500 | 21,763 | ||||||
Olam International Ltd. | 5,500 | 7,591 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 29,200 | 189,859 | ||||||
SATS Ltd. | 4,700 | 14,370 | ||||||
Sembcorp Industries Ltd. | 4,800 | 10,165 | ||||||
Sembcorp Marine Ltd. | 6,600 | 7,680 | ||||||
SIA Engineering Co. Ltd. | 1,400 | 3,831 | ||||||
Singapore Airlines Ltd. | 4,600 | 36,528 | ||||||
Singapore Exchange Ltd. | 4,900 | 27,912 | ||||||
Singapore Post Ltd. | 27,200 | 29,806 | ||||||
Singapore Press Holdings Ltd. | 5,900 | 17,386 | ||||||
Singapore Technologies Engineering Ltd. | 12,100 | 28,482 | ||||||
Singapore Telecommunications Ltd. | 3,026,600 | 9,348,013 | ||||||
StarHub Ltd. | 4,500 | 12,698 | ||||||
Suntec Real Estate Investment Trust | 21,800 | 28,806 | ||||||
United Industrial Corp. Ltd. | 9,600 | 19,727 | ||||||
United Overseas Bank Ltd. | 1,442,700 | 19,877,458 | ||||||
UOL Group Ltd. | 4,000 | 16,305 | ||||||
Wilmar International Ltd. | 16,200 | 39,436 | ||||||
|
| |||||||
30,404,657 | ||||||||
|
| |||||||
South Africa - 1.03% | ||||||||
Clicks Group Ltd. | 770,208 | 6,416,657 | ||||||
Investec Plc | 6,362 | 39,545 | ||||||
Mondi Plc | 3,190 | 59,725 | ||||||
Naspers Ltd. | 94,672 | 14,455,948 |
Shoprite Holdings Ltd. | 390,896 | 4,427,253 | ||||||
|
| |||||||
25,399,128 | ||||||||
|
| |||||||
South Korea - 1.19% | ||||||||
Samsung Electronic Co. Ltd. | 7,493 | 9,331,417 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 41,938 | 9,632,319 | ||||||
SK Hynix, Inc. | 365,440 | 10,399,321 | ||||||
|
| |||||||
29,363,057 | ||||||||
|
| |||||||
Spain - 1.98% | ||||||||
Abertis Infraestructuras SA | 5,534 | 81,779 | ||||||
Acciona SA | 403 | 29,408 | ||||||
Acerinox SA | 1,520 | 16,908 | ||||||
ACS Actividades Co. | 2,081 | 57,080 | ||||||
Aena SA (Acquired 07/14/2015 through 09/04/2015, $62,625) (1)(2) | 572 | 75,819 | ||||||
Almirall SA | 377 | 5,668 | ||||||
Amadeus IT Holding SA | 4,422 | 194,829 | ||||||
Atresmedia Corp. | 940 | 9,188 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 62,152 | 356,098 | ||||||
Banco de Sabadell SA | 53,727 | 71,149 | ||||||
Banco Popular Espanol SA | 27,816 | 36,149 | ||||||
Banco Santander | 947,036 | 3,675,158 | ||||||
Bankia SA | 49,191 | 35,810 | ||||||
Bankinter SA | 7,039 | 45,438 | ||||||
CaixaBank SA | 22,643 | 49,905 | ||||||
Cellnex Telecom SAU (Acquired 07/21/2015 through 06/29/2016, $44,095) (2) | 2,663 | 41,789 | ||||||
Corp. Financiera Alba SA | 217 | 8,784 | ||||||
Distribuidora Internacional de Alimentacion SA | 1,222,706 | 7,136,836 | ||||||
Ebro Foods SA | 735 | 16,918 | ||||||
EDP Renovaveis SA | 2,274 | 17,116 | ||||||
Enagas SA | 184 | 5,621 | ||||||
Endesa SA | 3,060 | 61,401 | ||||||
Ferrovial SA | 5,942 | 116,333 | ||||||
Gamesa Corp Tecnologica SA | 2,079 | 41,422 | ||||||
Gas Natural SDG SA | 2,573 | 51,145 | ||||||
Grifols SA - Class B | 3,147 | 71,489 | ||||||
Grupo Catalana Occidente SA | 486 | 13,479 | ||||||
Iberdrola SA | 1,692,016 | 11,542,251 | ||||||
Industria de Diseno Textil SA | 461,398 | 15,500,253 |
Mapfre SA | 8,564 | 18,808 | ||||||
Mediaset Espana Comunicacion SA | 1,906 | 21,516 | ||||||
Melia Hotels International SA | 2,001 | 21,600 | ||||||
Merlin Properties Socimi SA | 4,176 | 44,069 | ||||||
Obrascon Huarte Lain SA | 1,743 | 6,140 | ||||||
Prosegur Cia de Seguridad SA | 2,360 | 14,223 | ||||||
Red Electrica Corp SA | 259 | 23,143 | ||||||
Repsol SA | 9,854 | 126,318 | ||||||
Tecnicas Reunidas SA | 507 | 15,196 | ||||||
Telefonica SA | 956,416 | 9,080,075 | ||||||
Zardoya Otis SA | 1,705 | 16,101 | ||||||
|
| |||||||
48,752,412 | ||||||||
|
| |||||||
Sweden - 2.48% | ||||||||
AAK AB | 336 | 23,986 | ||||||
Alfa Laval AB | 2,526 | 39,812 | ||||||
Assa Abloy AB | 8,545 | 175,795 | ||||||
Atlas Copco AB - Class A | 413,683 | 10,744,235 | ||||||
Atlas Copco AB - Class B | 3,345 | 79,284 | ||||||
Autoliv, Inc. | 894 | 96,060 | ||||||
Axfood AB | 811 | 15,577 | ||||||
BillerudKorsnas AB | 1,090 | 16,266 | ||||||
Boliden AB | 2,740 | 53,551 | ||||||
Castellum AB | 2,019 | 28,706 | ||||||
Electrolux AB | 2,511 | 68,462 | ||||||
Elekta AB | 3,552 | 28,894 | ||||||
Fabege AB | 1,421 | 24,168 | ||||||
Fastighets AB Balder (1) | 776 | 19,665 | ||||||
Fingerprint Cards AB (1) | 2,833 | 27,736 | ||||||
Getinge AB | 1,784 | 36,833 | ||||||
Hennes & Mauritz AB | 8,931 | 262,757 | ||||||
Hexagon AB | 2,710 | 99,175 | ||||||
Hexpol AB | 1,535 | 15,763 | ||||||
Holmen AB | 417 | 13,376 | ||||||
Hufvudstaden AB | 1,824 | 28,629 | ||||||
Husqvarna AB - Class A | 924 | 6,837 | ||||||
Husqvarna AB - Class B | 3,316 | 24,693 | ||||||
ICA Gruppen AB | 822 | 27,549 |
Investment AB Latour | 646 | 24,342 | ||||||
Investor AB | 199,888 | 6,715,396 | ||||||
Kinnevik AB | 473,520 | 11,319,327 | ||||||
L E Lundbergforetagen AB | 300 | 17,111 | ||||||
Lifco AB | 619 | 17,817 | ||||||
Lundin Petroleum AB (1) | 2,143 | 39,052 | ||||||
Meda AB | 2,517 | 45,641 | ||||||
Modern Times Group MTG AB | 56,709 | 1,507,406 | ||||||
NCC AB - Class A | 63 | 1,458 | ||||||
NCC AB - Class B | 605 | 14,048 | ||||||
Nibe Industrier AB | 2,452 | 20,390 | ||||||
Nordea Bank AB | 30,851 | 261,729 | ||||||
Ratos AB | 2,237 | 10,914 | ||||||
Saab AB | 600 | 18,711 | ||||||
Sandvik AB | 10,084 | 100,960 | ||||||
Securitas AB | 2,835 | 43,766 | ||||||
Skandinaviska Enskilda Banken AB | 14,991 | 130,957 | ||||||
Skanska AB | 3,144 | 65,832 | ||||||
SKF AB | 3,617 | 57,955 | ||||||
SSAB AB (1) | 2,758 | 5,183 | ||||||
SSAB AB - Class A (1) | 2,792 | 6,502 | ||||||
SSAB AB - Class B (1) | 361 | 688 | ||||||
Svenska Cellulosa AB SCA | 5,679 | 182,470 | ||||||
Svenska Handelsbanken AB | 905,900 | 10,998,092 | ||||||
Swedbank AB | 10,128 | 212,719 | ||||||
Swedish Match AB | 124,931 | 4,359,856 | ||||||
Swedish Orphan Biovitrum AB (1) | 1,343 | 16,487 | ||||||
Tele2 AB | 3,709 | 32,563 | ||||||
Telefonaktiebolaget LM Ericsson - Class A | 1,255 | 9,332 | ||||||
Telefonaktiebolaget LM Ericsson - Class B | 27,356 | 210,164 | ||||||
TeliaSonera AB | 2,649,073 | 12,544,626 | ||||||
Trelleborg AB | 2,758 | 48,942 | ||||||
Volvo AB | 15,331 | 152,303 | ||||||
Volvo AB | 1,664 | 16,477 | ||||||
Wallenstam AB | 2,939 | 23,907 | ||||||
|
| |||||||
61,190,932 | ||||||||
|
|
Switzerland - 9.31% | ||||||||
ABB Ltd. | 703,517 | 13,924,078 | ||||||
Actelion Ltd. | 1,015 | 170,924 | ||||||
Adecco SA | 252,935 | 12,757,557 | ||||||
Allreal Holding AG | 105 | 14,525 | ||||||
Alpiq Holding AG (1) | 338 | 23,585 | ||||||
Aryzta AG | 608 | 22,469 | ||||||
Baloise Holding AG | 426 | 47,448 | ||||||
Banque Catonale Vaudoise | 31 | 20,754 | ||||||
Barry Callebaut AG | 19 | 23,394 | ||||||
Basellandschaftliche Kantonalbank | 2 | 1,886 | ||||||
Berner Kantonalbank AG | 44 | 8,443 | ||||||
Bucher Industries AG | 53 | 12,408 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 9 | 53,677 | ||||||
Chocoladefabriken Lindt & Spruengli AG - REG | 1 | 71,463 | ||||||
Chubb Ltd. | 130,278 | 17,028,637 | ||||||
Cie Financiere Richemont SA | 77,960 | 4,563,366 | ||||||
Clariant AG | 2,076 | 35,083 | ||||||
Coca-Cola HBC AG | 1,638 | 33,144 | ||||||
Credit Suisse Group AG | 19,530 | 208,042 | ||||||
DKSH Holding AG | 352 | 23,059 | ||||||
dorma+kaba Holding AG | 34 | 23,753 | ||||||
Dufry AG (1) | 366 | 43,775 | ||||||
Emmi AG | 38 | 23,168 | ||||||
EMS-Chemie Holding AG | 86 | 44,402 | ||||||
Flughafen Zuerich AG | 180 | 31,855 | ||||||
Galenica AG | 35 | 47,183 | ||||||
GAM Holding AG | 1,529 | 16,323 | ||||||
Geberit AG | 356 | 134,839 | ||||||
Georg Fischer AG | 48 | 38,372 | ||||||
Givaudan SA | 90 | 181,217 | ||||||
Glencore Plc | 109,932 | 226,584 | ||||||
Graubuendner Kantonalbank | 9 | 15,985 | ||||||
Helvetia Holding AG | 68 | 35,377 | ||||||
Julius Baer Group Ltd. | 1,894 | 76,230 | ||||||
Kuehne & Nagel International AG | 484 | 67,813 | ||||||
LafargeHolcim Ltd. | 4,967 | 207,807 | ||||||
Lonza Group AG | 514 | 85,381 |
Luzerner Kantonalbank AG | 16 | 6,751 | ||||||
Nestle SA | 642,396 | 49,771,772 | ||||||
Novartis AG | 379,564 | 31,328,663 | ||||||
Novartis AG - Sponsored ADR | 173,550 | 14,319,611 | ||||||
OC Oerlikon Corp. AG | 1,593 | 13,987 | ||||||
Panalpina Welttransport Holding AG | 109 | 13,048 | ||||||
Partners Group Holding AG | 163 | 69,856 | ||||||
PSP Swiss Property AG | 415 | 40,266 | ||||||
Roche Holding AG - BR | 261 | 69,353 | ||||||
Roche Holding AG - Genusschein | 112,048 | 29,567,207 | ||||||
Schindler Holding AG | 61 | 11,101 | ||||||
Schindler Holding AG | 41,529 | 7,518,742 | ||||||
SFS Group AG | 146 | 10,249 | ||||||
SGS SA | 5,104 | 11,691,994 | ||||||
Sika AG | 21 | 88,054 | ||||||
Sonova Holding AG | 519 | 68,884 | ||||||
St Galler Kantonalbank AG | 13 | 5,032 | ||||||
STMicroelectronics NV | 5,598 | 32,875 | ||||||
Straumann Holding AG | 70 | 27,616 | ||||||
Sulzer AG | 54,966 | 4,769,742 | ||||||
Sunrise Communications Group AG (Acquired 07/21/2015 through 03/29/2016, $23,717) (2) | 319 | 20,396 | ||||||
Swatch Group AG - BR | 17,063 | 4,965,365 | ||||||
Swatch Group AG - REG | 492 | 28,176 | ||||||
Swiss Life Holding AG | 309 | 71,409 | ||||||
Swiss Prime Site | 550 | 49,791 | ||||||
Swiss Re AG | 3,137 | 273,987 | ||||||
Swisscom AG | 200 | 99,361 | ||||||
Syngenta AG | 32,761 | 12,575,264 | ||||||
TE Connectivity Ltd. | 3,440 | 196,458 | ||||||
Temenos Group AG | 412 | 20,564 | ||||||
UBS Group AG | 33,153 | 430,180 | ||||||
Wolseley Plc | 2,544 | 131,738 | ||||||
Zurich Insurance Group AG | 44,249 | 10,946,439 | ||||||
|
| |||||||
229,577,937 | ||||||||
|
| |||||||
Taiwan - 2.20% | ||||||||
Delta Electronics, Inc. - GDR | 282,368 | 6,861,020 | ||||||
Hon Hai Precision Industry Co. Ltd. - GDR | 1,118,705 | 5,660,300 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 384,000 | 1,935,244 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 1,515,577 | 39,753,585 | ||||||
|
| |||||||
54,210,149 | ||||||||
|
| |||||||
Thailand - 0.73% | ||||||||
Bangkok Bank Plc | 2,830,300 | 12,812,815 | ||||||
Thai Beverage Plc | 7,742,900 | 5,250,395 | ||||||
|
| |||||||
18,063,210 | ||||||||
|
| |||||||
United Kingdom - 15.74% | ||||||||
3I Group Plc | 9,339 | 68,522 | ||||||
AA Plc | 4,082 | 13,069 | ||||||
Aberdeen Asset Management Plc | 9,975 | 37,425 | ||||||
Admiral Group Plc | 2,209 | 60,063 | ||||||
Aggreko Plc | 2,078 | 35,540 | ||||||
Amec Foster Wheeler Plc | 3,886 | 25,551 | ||||||
Anglo American Plc | 13,519 | 132,517 | ||||||
ARM Holdings Plc - ADR | 238,250 | 10,842,758 | ||||||
ARM Holdings Plc - ADR | 899,921 | 13,669,622 | ||||||
Ashmore Group Plc | 3,529 | 14,051 | ||||||
Ashtead Group Plc | 4,652 | 66,449 | ||||||
ASOS Plc (1) | 235,215 | 12,565,048 | ||||||
Associated British Foods Plc | 3,518 | 128,191 | ||||||
AstraZeneca Plc | 319,429 | 19,096,685 | ||||||
Auto Trader Group (Acquired 07/14/2015 through 06/20/2016, $7,609,648) (2) | 1,465,611 | 6,928,393 | ||||||
Aviva Plc | 39,628 | 208,892 | ||||||
Babcock International Group Plc | 4,323 | 52,266 | ||||||
BAE Systems Plc | 31,399 | 219,812 | ||||||
Balfour Beatty Plc (1) | 6,980 | 20,063 | ||||||
Barclays Plc | 159,863 | 297,329 | ||||||
Barratt Developments Plc | 8,611 | 46,793 | ||||||
BBA Aviation Plc | 10,176 | 30,112 | ||||||
Beazley Plc | 4,397 | 21,377 | ||||||
Bellway Plc | 999 | 25,342 | ||||||
Berendsen Plc | 1,356 | 22,031 | ||||||
Berkeley Group Holdings Plc | 1,205 | 40,690 | ||||||
Booker Group Plc | 19,375 | 44,869 | ||||||
BP Plc | 5,554,734 | 32,514,897 | ||||||
British American Tobacco Plc | 18,968 | 1,229,683 |
British Land Co. Plc | 9,210 | 74,779 | ||||||
Britvic Plc | 3,118 | 24,399 | ||||||
BT Group Plc | 79,472 | 436,828 | ||||||
BTG Plc (1) | 3,730 | 36,026 | ||||||
Bunzl Plc | 3,120 | 95,998 | ||||||
Burberry Group Plc | 324,535 | 5,048,306 | ||||||
Capita Plc | 523,279 | 6,742,753 | ||||||
Capital & Counties Properties Plc | 7,262 | 28,913 | ||||||
Centrica Plc | 47,820 | 144,608 | ||||||
Close Brothers Group Plc | 1,342 | 20,343 | ||||||
CNH Industrial NV | 8,751 | 63,477 | ||||||
Cobham Plc | 14,140 | 29,791 | ||||||
Coca-Cola European Partners Plc | 2,039 | 72,772 | ||||||
Compass Group Plc | 632,396 | 12,031,643 | ||||||
Croda International Plc | 1,283 | 53,859 | ||||||
CYBG Plc (1) | 8,829 | 27,414 | ||||||
Daily Mail & General Trust Plc | 3,530 | 28,180 | ||||||
Derwent London Plc | 1,193 | 41,621 | ||||||
Diageo Plc | 479,030 | 13,382,087 | ||||||
Dialog Semiconductor Plc (1) | 811 | 24,300 | ||||||
Direct Line Insurance Group Plc | 12,519 | 57,878 | ||||||
Dixons Carphone Plc | 8,125 | 34,873 | ||||||
Drax Group Plc | 3,946 | 17,126 | ||||||
DS Smith Plc | 9,048 | 46,812 | ||||||
Dunelm Group Plc | 820 | 8,608 | ||||||
easyJet Plc | 2,297 | 33,379 | ||||||
Essentra Plc | 2,583 | 17,722 | ||||||
Fiat Chrysler Automobiles NV | 8,186 | 50,389 | ||||||
G4S Plc | 14,220 | 34,844 | ||||||
GKN Plc | 16,332 | 59,048 | ||||||
GlaxoSmithKline Plc | 681,375 | 14,632,607 | ||||||
Great Portland Estates Plc | 3,108 | 26,015 | ||||||
Greene King Plc | 2,752 | 28,659 | ||||||
Halma Plc | 3,284 | 44,666 | ||||||
Hammerson Plc | 6,597 | 47,516 | ||||||
Hargreaves Lansdown Plc | 688,809 | 11,490,101 | ||||||
Hays Plc | 14,916 | 19,489 |
Henderson Group Plc | 13,034 | 37,055 | ||||||
Howden Joinery Group Plc | 6,472 | 33,241 | ||||||
HSBC Holdings Plc | 1,950,347 | 12,083,539 | ||||||
ICAP Plc | 4,907 | 27,610 | ||||||
IG Group Holdings Plc | 3,234 | 35,019 | ||||||
Imagination Technologies Group Plc (1) | 1,211,787 | 3,133,640 | ||||||
IMI Plc | 2,474 | 32,061 | ||||||
Imperial Tobacco Group Plc | 9,089 | 492,924 | ||||||
Inchcape Plc | 3,607 | 30,329 | ||||||
Indivior Plc | 7,122 | 23,964 | ||||||
Informa Plc | 7,042 | 68,669 | ||||||
Inmarsat Plc | 3,858 | 41,577 | ||||||
InterContinental Hotels Group Plc | 1,708 | 62,992 | ||||||
Intermediate Capital Group Plc | 3,941 | 25,821 | ||||||
International Consolidated Airlines Group SA | 7,532 | 37,357 | ||||||
Intertek Group Plc | 145,218 | 6,766,220 | ||||||
Intu Properties Plc | 8,266 | 32,137 | ||||||
ITV Plc | 4,978,926 | 11,937,909 | ||||||
J Sainsbury Plc | 13,294 | 41,414 | ||||||
Jardine Lloyd Thompson Group Plc | 959 | 12,015 | ||||||
John Wood Group Plc | 486,428 | 4,477,664 | ||||||
Johnson Matthey Plc | 241,028 | 9,040,338 | ||||||
Jupiter Fund Management Plc | 926,933 | 4,551,742 | ||||||
Just Eat Plc (1) | 5,220 | 29,799 | ||||||
Kingfisher Plc | 1,898,268 | 8,153,263 | ||||||
Land Securities Group Plc | 7,784 | 108,319 | ||||||
Legal & General Group Plc | 55,019 | 140,855 | ||||||
Liberty Global Plc (1) | 2,195 | 71,320 | ||||||
Liberty Global Plc - Class A (1) | 360,587 | 10,478,658 | ||||||
Liberty Global Plc - Series C (1) | 5,932 | 169,952 | ||||||
Liberty Global Plc LiLAC - Class A (1) | 45,867 | 1,479,670 | ||||||
Lloyds Banking Group Plc | 14,261,895 | 10,329,806 | ||||||
London Stock Exchange Group Plc | 2,970 | 100,917 | ||||||
Man Group Plc | 12,011 | 18,661 | ||||||
Manchester United Plc | 847 | 13,493 | ||||||
Markit Ltd. (1) | 934 | 30,448 | ||||||
Marks & Spencer Group Plc | 14,326 | 61,352 |
Meggitt Plc | 7,821 | 42,511 | ||||||
Melrose Industries Plc | 1 | 3 | ||||||
Merlin Entertainments Plc (Acquired 07/20/2015 through 03/29/2016, $39,997) (2) | 5,987 | 35,258 | ||||||
Micro Focus International Plc | 2,437 | 52,576 | ||||||
Millennium & Copthorne Hotels Plc | 3,693 | 19,791 | ||||||
Moneysupermarket.com Group Plc | 5,710 | 20,688 | ||||||
National Grid Plc | 719,434 | 10,579,565 | ||||||
Next Plc | 1,520 | 100,436 | ||||||
Ocado Group Plc (1) | 5,217 | 16,097 | ||||||
Old Mutual Plc | 46,489 | 125,589 | ||||||
Pearson Plc | 7,252 | 94,335 | ||||||
Pennon Group Plc | 3,349 | 42,356 | ||||||
Persimmon Plc | 3,200 | 62,054 | ||||||
Petrofac Ltd. | 2,276 | 23,658 | ||||||
Provident Financial Plc | 1,276 | 39,344 | ||||||
Prudential Plc | 24,416 | 414,315 | ||||||
Reckitt Benckiser Group Plc | 196,601 | 19,713,607 | ||||||
RELX NV | 8,754 | 151,450 | ||||||
RELX Plc | 10,450 | 192,432 | ||||||
Rentokil Initial Plc | 15,166 | 39,165 | ||||||
Rightmove Plc | 186,416 | 9,104,781 | ||||||
Rio Tinto Ltd. | 3,889 | 134,523 | ||||||
Rio Tinto Plc | 11,718 | 364,040 | ||||||
Rolls-Royce Holdings Plc (1) | 16,717 | 159,564 | ||||||
Rotork Plc | 5,760 | 16,676 | ||||||
Royal Bank of Scotland Group Plc (1) | 3,455,661 | 7,831,102 | ||||||
Royal Mail Plc | 12,545 | 84,285 | ||||||
RPC Group Plc | 2,005 | 20,985 | ||||||
RSA Insurance Group Plc | 10,582 | 70,925 | ||||||
SABMiller Plc | 9,501 | 554,093 | ||||||
Saga Plc | 11,632 | 29,919 | ||||||
Sage Group Plc | 10,012 | 86,540 | ||||||
Schroders Plc | 1,046 | 33,054 | ||||||
Schroders Plc - Non Voting | 667 | 16,127 | ||||||
Segro Plc | 7,305 | 40,491 | ||||||
Serco Group Plc (1) | 7,265 | 10,812 | ||||||
Severn Trent Plc | 2,439 | 79,583 |
Shaftesbury Plc | 2,548 | 29,984 | ||||||
Sky Plc | 9,679 | 109,987 | ||||||
Smith & Nephew Plc | 8,277 | 140,554 | ||||||
Smiths Group Plc | 3,710 | 57,332 | ||||||
Spectris Plc | 1,411 | 34,346 | ||||||
Spirax-Sarco Engineering Plc | 735 | 36,805 | ||||||
Sports Direct International Plc (1) | 2,036 | 8,718 | ||||||
SSE Plc | 9,346 | 194,521 | ||||||
St James’s Place Plc | 4,895 | 51,622 | ||||||
Stagecoach Group Plc | 3,449 | 10,667 | ||||||
Standard Chartered Plc | 24,903 | 188,939 | ||||||
Standard Life Plc | 20,409 | 80,521 | ||||||
STERIS Plc | 910 | 62,563 | ||||||
Subsea 7 SA (1) | 2,000 | 19,659 | ||||||
TalkTalk Telecom Group Plc | 5,930 | 17,304 | ||||||
Tate & Lyle Plc | 4,246 | 37,964 | ||||||
Taylor Wimpey Plc | 34,194 | 60,663 | ||||||
Tesco Plc (1) | 12,107,122 | 28,434,886 | ||||||
Thomas Cook Group Plc (1) | 9,717 | 8,166 | ||||||
Travis Perkins Plc | 2,212 | 43,643 | ||||||
Tullow Oil Plc (1) | 6,706 | 23,651 | ||||||
UBM Plc | 3,907 | 33,505 | ||||||
Unilever NV | 14,409 | 670,160 | ||||||
Unilever Plc | 496,209 | 23,776,050 | ||||||
Unilever Plc - Sponsored ADR | 330,600 | 15,839,046 | ||||||
United Utilities Group Plc | 6,572 | 91,091 | ||||||
Vodafone Group Plc | 3,393,614 | 10,346,703 | ||||||
Weir Group Plc | 463,516 | 8,952,143 | ||||||
WH Smith Plc | 970 | 20,378 | ||||||
Whitbread Plc | 1,605 | 75,097 | ||||||
William Hill Plc | 8,868 | 30,546 | ||||||
Willis Towers Watson Plc | 1,260 | 156,631 | ||||||
WM Morrison Supermarkets Plc | 20,319 | 51,009 | ||||||
Worldpay Group Plc (Acquired 12/18/2015, $39,349) (1)(2) | 8,804 | 32,044 | ||||||
WPP Plc | 12,614 | 262,895 | ||||||
|
| |||||||
388,120,142 | ||||||||
|
|
United States - 1.98% | ||||||||
Amdocs Ltd. | 220,747 | 12,741,517 | ||||||
Carnival Plc | 274,986 | 12,198,386 | ||||||
Flextronics International Ltd. (1) | 5,863 | 69,183 | ||||||
Mettler-Toledo International, Inc. (1) | 27,618 | 10,078,361 | ||||||
Samsonite International SA | 12,000 | 33,226 | ||||||
Schlumberger Ltd. | 164,320 | 12,994,426 | ||||||
Seagate Technology Plc | 2,740 | 66,746 | ||||||
Sensata Technologies Holding NV (1) | 1,551 | 54,114 | ||||||
Shire Plc | 8,467 | 523,284 | ||||||
|
| |||||||
48,759,243 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,500,218,320) | $ | 2,337,547,658 | ||||||
|
| |||||||
PREFERRED STOCKS - 0.01% | ||||||||
Germany - 0.01% | ||||||||
Volkswagen AG- Preference | 1,750 | $ | 211,961 | |||||
|
| |||||||
Japan - 0.00% (3) | ||||||||
Shinkin Central Bank | 4 | 8,727 | ||||||
|
| |||||||
Spain - 0.00% (3) | ||||||||
Grifols SA | 2,470 | 41,432 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $371,737) | $ | 262,120 | ||||||
|
| |||||||
RIGHTS - 0.00% (3) | ||||||||
Australia - 0.00% (3) | ||||||||
Vocus Communications Ltd. (1)(4) | 525 | $ | 419 | |||||
|
| |||||||
Spain - 0.00% (3) | ||||||||
Abertis Infraestructuras SA (1) | 5,520 | 4,043 | ||||||
|
| |||||||
Total Rights (Cost $4,674) | $ | 4,462 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.44% | ||||||||
Money Market Funds - 4.44% | ||||||||
Goldman Sachs Financial Square Government Fund - Class I , 0.29% (5) | 54,678,792 | $ | 54,678,792 | |||||
JPMorgan U.S. Government Money Market Fund - Class I , 0.30% (5) | 54,678,793 | 54,678,793 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $109,357,585) | $ | 109,357,585 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.23% | $ | 2,447,171,825 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.77% | 19,017,272 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% | $ | 2,466,189,097 | ||||||
|
|
Percentages | are stated as a percent of net assets. |
ADR | American Depository Receipt |
GDR | Global Depository Receipt |
(1) | Non-income producing security. |
(2) | Restricted securitiy as defined in rule 144A under the Securities Act of 1933. The value of these securities total $13,898,692 which represents 0.56% of total net assets. |
(3) | Amount less than 0.005%. |
(4) | The prices for these securities were derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. These securities represent $30,634 or 0.00% of the Fund’s net assets and are classified as Level 3 securities. |
(5) | Represents annualized seven-day yield as of the close of the reporting period. |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
the Bridge Builder Trust
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of the Bridge Builder 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 and Bridge Builder International Equity Fund (hereafter referred to as the “Funds”) at June 30, 2016, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedules of investments (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Chicago, IL
August 25, 2016
(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.
Item 11. | Controls and Procedures. |
(a) | The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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/ Ryan Robson | |
Ryan Robson, President |
Date 8/26/2016
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/ Ryan Robson | |
Ryan Robson, President |
Date 8/26/2016
By (Signature and Title)* | /s/ Aaron Masek | |
Aaron Masek, Treasurer |
Date 8/26/2016
* | Print the name and title of each signing officer under his or her signature. |